Schedules of Investments
May 28, 2021@
(unaudited)
Large Cap Equity Fund
Shares/Units | Security | Value | ||||
COMMON STOCKS - 97.0% |
| |||||
COMMUNICATION SERVICES - 9.3% |
| |||||
Diversified Telecommunication Services - 1.2% |
| |||||
188,663 | AT&T Inc. | $ | 5,552,352 | |||
189,151 | Liberty Global PLC, Class C Shares* | 5,148,690 | ||||
28,892 | Lumen Technologies Inc.(a) | 399,866 | ||||
251,027 | Verizon Communications Inc. | 14,180,515 | ||||
|
| |||||
Total Diversified Telecommunication Services | 25,281,423 | |||||
|
| |||||
Entertainment - 1.9% |
| |||||
56,261 | Activision Blizzard Inc. | 5,471,382 | ||||
16,555 | Electronic Arts Inc. | 2,366,206 | ||||
736 | Liberty Media Corp-Liberty Formula One, Class A Shares* | 29,470 | ||||
5,052 | Liberty Media Corp-Liberty Formula One, Class C Shares* | 225,572 | ||||
1,492 | Lions Gate Entertainment Corp., Class A Shares* | 29,064 | ||||
3,040 | Lions Gate Entertainment Corp., Class B Shares* | 52,835 | ||||
3,744 | Live Nation Entertainment Inc.* | 337,372 | ||||
579 | Madison Square Garden Entertainment Corp.* | 51,664 | ||||
413 | Madison Square Garden Sports Corp., Class A Shares* | 76,422 | ||||
11,251 | Netflix Inc.* | 5,657,115 | ||||
2,011 | Playtika Holding Corp.* | 55,162 | ||||
2,877 | Roku Inc., Class A Shares* | 997,485 | ||||
9,070 | Sea Ltd., ADR*(a) | 2,296,887 | ||||
3,541 | Spotify Technology SA* | 855,399 | ||||
3,011 | Take-Two Interactive Software Inc.* | 558,721 | ||||
114,422 | Walt Disney Co. (The)* | 20,441,490 | ||||
1,268 | World Wrestling Entertainment Inc., Class A Shares(a) | 70,805 | ||||
22,312 | Zynga Inc., Class A Shares* | 241,862 | ||||
|
| |||||
Total Entertainment | 39,814,913 | |||||
|
| |||||
Interactive Media & Services - 5.0% |
| |||||
14,554 | Alphabet Inc., Class A Shares* | 34,301,595 | ||||
7,693 | Alphabet Inc., Class C Shares* | 18,552,131 | ||||
126,224 | Facebook Inc., Class A Shares* | 41,493,616 | ||||
2,002 | IAC/InterActiveCorp* | 319,259 | ||||
38,675 | Match Group Inc.* | 5,545,221 | ||||
10,611 | Pinterest Inc., Class A Shares* | 692,898 | ||||
2,723 | TripAdvisor Inc.* | 118,314 | ||||
20,597 | Twitter Inc.* | 1,194,626 | ||||
3,250 | Vimeo Inc.* | 136,500 | ||||
1,606 | Zillow Group Inc., Class A Shares* | 189,974 | ||||
3,824 | Zillow Group Inc., Class C Shares*(a) | 448,632 | ||||
|
| |||||
Total Interactive Media & Services | 102,992,766 | |||||
|
| |||||
Media - 1.1% |
| |||||
5,683 | Altice USA Inc., Class A Shares* | 204,929 | ||||
152 | Cable One Inc. | 275,965 | ||||
3,713 | Charter Communications Inc., Class A Shares* | 2,578,790 | ||||
264,305 | Comcast Corp., Class A Shares | 15,155,249 | ||||
4,326 | Discovery Inc., Class A Shares*(a) | 138,908 | ||||
7,757 | Discovery Inc., Class C Shares*(a) | 233,098 | ||||
6,757 | DISH Network Corp., Class A Shares* | 294,065 | ||||
8,842 | Fox Corp., Class A Shares(a) | 330,249 | ||||
3,783 | Fox Corp., Class B Shares | 137,247 | ||||
10,180 | Interpublic Group of Cos., Inc. (The) | 342,964 | ||||
1,295 | John Wiley & Sons Inc., Class A Shares | 82,077 | ||||
423 | Liberty Broadband Corp., Class A Shares* | 68,551 | ||||
4,221 | Liberty Broadband Corp., Class C Shares* | 701,910 | ||||
2,263 | Liberty Media Corp-Liberty SiriusXM, Class A Shares* | 98,803 | ||||
4,349 | Liberty Media Corp-Liberty SiriusXM, Class C Shares* | 189,225 |
1
Schedules of Investments
(unaudited) (continued)
Large Cap Equity Fund
Shares/Units | Security | Value | ||||
COMMUNICATION SERVICES - 9.3% - (continued) |
| |||||
Media - 1.1% - (continued) |
| |||||
4,067 | New York Times Co. (The), Class A Shares | $ | 174,149 | |||
10,057 | News Corp., Class A Shares | 271,438 | ||||
3,589 | News Corp., Class B Shares | 92,201 | ||||
1,235 | Nexstar Media Group Inc., Class A Shares | 187,609 | ||||
5,541 | Omnicom Group Inc. | 455,692 | ||||
28,654 | Sirius XM Holdings Inc.(a) | 179,087 | ||||
181 | ViacomCBS Inc., Class A Shares | 8,424 | ||||
15,181 | ViacomCBS Inc., Class B Shares | 643,978 | ||||
|
| |||||
Total Media | 22,844,608 | |||||
|
| |||||
Wireless Telecommunication Services - 0.1% |
| |||||
2,906 | Telephone & Data Systems Inc. | 74,742 | ||||
14,547 | T-Mobile US Inc.* | 2,057,673 | ||||
446 | United States Cellular Corp.* | 16,837 | ||||
|
| |||||
Total Wireless Telecommunication Services | 2,149,252 | |||||
|
| |||||
TOTAL COMMUNICATION SERVICES | 193,082,962 | |||||
|
| |||||
CONSUMER DISCRETIONARY - 12.6% |
| |||||
Auto Components - 0.3% |
| |||||
40,266 | Adient PLC* | 2,015,716 | ||||
27,384 | Aptiv PLC* | 4,119,101 | ||||
6,333 | BorgWarner Inc. | 324,820 | ||||
6,195 | Gentex Corp. | 219,922 | ||||
1,666 | Lear Corp. | 322,138 | ||||
|
| |||||
Total Auto Components | 7,001,697 | |||||
|
| |||||
Automobiles - 0.8% |
| |||||
103,033 | Ford Motor Co.* | 1,497,069 | ||||
33,035 | General Motors Co.* | 1,959,306 | ||||
4,418 | Harley-Davidson Inc. | 214,140 | ||||
20,258 | Tesla Inc.* | 12,665,707 | ||||
1,368 | Thor Industries Inc. | 168,264 | ||||
|
| |||||
Total Automobiles | 16,504,486 | |||||
|
| |||||
Distributors - 0.3% |
| |||||
3,698 | Genuine Parts Co. | 484,882 | ||||
103,132 | LKQ Corp.* | 5,255,607 | ||||
1,024 | Pool Corp. | 447,027 | ||||
|
| |||||
Total Distributors | 6,187,516 | |||||
|
| |||||
Diversified Consumer Services - 0.1% |
| |||||
1,658 | 2U Inc.*(a) | 60,384 | ||||
1,570 | Bright Horizons Family Solutions Inc.* | 217,021 | ||||
3,498 | Chegg Inc.* | 269,031 | ||||
2,473 | frontdoor Inc.* | 132,800 | ||||
120 | Graham Holdings Co., Class B Shares | 79,505 | ||||
1,056 | Grand Canyon Education Inc.*(a) | 96,033 | ||||
5,433 | H&R Block Inc. | 134,847 | ||||
4,272 | Service Corp. International(a) | 226,502 | ||||
3,766 | Terminix Global Holdings Inc.* | 185,814 | ||||
|
| |||||
Total Diversified Consumer Services | 1,401,937 | |||||
|
| |||||
Hotels, Restaurants & Leisure - 2.0% |
| |||||
5,718 | Aramark | 213,567 | ||||
4,852 | Booking Holdings Inc.* | 11,458,241 | ||||
16,524 | Carnival Corp.* | 488,449 | ||||
736 | Chipotle Mexican Grill Inc., Class A Shares* | 1,009,777 | ||||
983 | Choice Hotels International Inc.* | 118,855 | ||||
3,435 | Darden Restaurants Inc. | 491,995 | ||||
1,029 | Dominos Pizza Inc.(a) | 439,249 | ||||
3,646 | Expedia Group Inc.* | 645,160 | ||||
5,326 | Extended Stay America Inc. | 104,975 | ||||
7,206 | Hilton Worldwide Holdings Inc.* | 902,696 | ||||
1,062 | Hyatt Hotels Corp., Class A Shares*(a) | 82,921 | ||||
8,771 | Las Vegas Sands Corp.* | 506,525 | ||||
7,100 | Marriott International Inc., Class A Shares* | 1,019,418 |
2
Schedules of Investments
(unaudited) (continued)
Large Cap Equity Fund
Shares/Units | Security | Value | ||||
CONSUMER DISCRETIONARY - 12.6% - (continued) |
| |||||
Hotels, Restaurants & Leisure - 2.0% - (continued) |
| |||||
51,439 | McDonalds Corp. | $ | 12,031,068 | |||
12,118 | MGM Resorts International | 519,499 | ||||
9,909 | Norwegian Cruise Line Holdings Ltd.*(a) | 316,097 | ||||
2,292 | Planet Fitness Inc., Class A Shares* | 180,541 | ||||
5,074 | Royal Caribbean Cruises Ltd.* | 473,252 | ||||
2,187 | Six Flags Entertainment Corp.* | 99,355 | ||||
64,491 | Starbucks Corp. | 7,344,235 | ||||
2,115 | Travel + Leisure Co. | 137,792 | ||||
1,004 | Vail Resorts Inc.*(a) | 328,188 | ||||
5,249 | Wendys Co. (The) | 121,882 | ||||
2,223 | Wyndham Hotels & Resorts Inc. | 166,858 | ||||
2,828 | Wynn Resorts Ltd.* | 372,928 | ||||
10,581 | Yum China Holdings Inc.(a) | 715,699 | ||||
7,963 | Yum! Brands Inc. | 955,321 | ||||
|
| |||||
Total Hotels, Restaurants & Leisure | 41,244,543 | |||||
|
| |||||
Household Durables - 0.5% |
| |||||
8,813 | DR Horton Inc. | 839,791 | ||||
3,844 | Garmin Ltd. | 546,770 | ||||
3,266 | Leggett & Platt Inc. | 179,728 | ||||
7,148 | Lennar Corp., Class A Shares | 707,723 | ||||
460 | Lennar Corp., Class B Shares | 36,023 | ||||
1,523 | Mohawk Industries Inc.* | 320,866 | ||||
9,936 | Newell Brands Inc. | 285,064 | ||||
90 | NVR Inc.* | 439,851 | ||||
7,062 | PulteGroup Inc. | 408,113 | ||||
5,228 | Tempur Sealy International Inc. | 201,278 | ||||
2,807 | Toll Brothers Inc. | 183,129 | ||||
27,371 | Whirlpool Corp. | 6,489,390 | ||||
|
| |||||
Total Household Durables | 10,637,726 | |||||
|
| |||||
Internet & Direct Marketing Retail - 3.7% |
| |||||
8,410 | Alibaba Group Holding Ltd., ADR* | 1,799,404 | ||||
18,730 | Amazon.com Inc.* | 60,368,101 | ||||
40,396 | Chewy Inc., Class A Shares*(a) | 2,973,954 | ||||
124,080 | eBay Inc.(a) | 7,553,990 | ||||
3,117 | Etsy Inc.* | 513,463 | ||||
2,185 | Grubhub Inc.* | 131,340 | ||||
187,679 | Qurate Retail Inc., Class A Shares | 2,558,065 | ||||
1,870 | Wayfair Inc., Class A Shares*(a) | 573,230 | ||||
|
| |||||
Total Internet & Direct Marketing Retail | 76,471,547 | |||||
|
| |||||
Leisure Products - 0.1% |
| |||||
1,995 | Brunswick Corp. | 203,949 | ||||
3,355 | Hasbro Inc. | 321,979 | ||||
8,897 | Mattel Inc.* | 188,705 | ||||
6,711 | Peloton Interactive Inc., Class A Shares* | 740,291 | ||||
1,454 | Polaris Inc. | 190,794 | ||||
|
| |||||
Total Leisure Products | 1,645,718 | |||||
|
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Multiline Retail - 1.3% |
| |||||
48,152 | Dollar General Corp. | 9,772,930 | ||||
138,758 | Dollar Tree Inc.* | 13,528,905 | ||||
4,375 | Kohls Corp. | 242,769 | ||||
3,084 | Nordstrom Inc.* | 103,437 | ||||
1,517 | Ollies Bargain Outlet Holdings Inc.*(a) | 131,130 | ||||
13,220 | Target Corp. | 2,999,882 | ||||
|
| |||||
Total Multiline Retail | 26,779,053 | |||||
|
| |||||
Specialty Retail - 2.7% |
| |||||
17,557 | Advance Auto Parts Inc. | 3,331,090 | ||||
1,577 | AutoNation Inc.*(a) | 161,059 | ||||
601 | AutoZone Inc.* | 845,367 | ||||
5,985 | Best Buy Co., Inc. | 695,697 | ||||
1,716 | Burlington Stores Inc.* | 554,903 |
3
Schedules of Investments
(unaudited) (continued)
Large Cap Equity Fund
Shares/Units | Security | Value | ||||
CONSUMER DISCRETIONARY - 12.6% - (continued) |
| |||||
Specialty Retail - 2.7% - (continued) |
| |||||
4,354 | CarMax Inc.* | $ | 501,537 | |||
1,465 | Carvana Co., Class A Shares*(a) | 388,357 | ||||
1,860 | Dicks Sporting Goods Inc. | 181,406 | ||||
1,383 | Five Below Inc.* | 254,638 | ||||
2,452 | Floor & Decor Holdings Inc., Class A Shares* | 241,056 | ||||
2,448 | Foot Locker Inc. | 154,934 | ||||
4,908 | Gap Inc. (The) | 164,173 | ||||
47,611 | Home Depot Inc. (The) | 15,183,624 | ||||
6,022 | L Brands Inc.* | 420,757 | ||||
1,440 | Leslies Inc.* | 41,990 | ||||
10,473 | Lithia Motors Inc., Class A Shares | 3,686,391 | ||||
89,112 | Lowes Cos., Inc. | 17,361,691 | ||||
1,853 | OReilly Automotive Inc.* | 991,577 | ||||
992 | Penske Automotive Group Inc. | 84,905 | ||||
1,143 | Petco Health & Wellness Co., Inc., Class A Shares*(a) | 25,889 | ||||
9,231 | Ross Stores Inc. | 1,166,706 | ||||
31,695 | TJX Cos., Inc. (The) | 2,140,680 | ||||
19,672 | Tractor Supply Co. | 3,574,402 | ||||
13,055 | Ulta Beauty Inc.* | 4,508,675 | ||||
2,760 | Vroom Inc.* | 122,020 | ||||
2,028 | Williams-Sonoma Inc. | 343,827 | ||||
|
| |||||
Total Specialty Retail | 57,127,351 | |||||
|
| |||||
Textiles, Apparel & Luxury Goods - 0.8% |
| |||||
3,540 | Capri Holdings Ltd.* | 200,753 | ||||
982 | Carters Inc. | 100,400 | ||||
843 | Columbia Sportswear Co. | 86,601 | ||||
167,968 | Hanesbrands Inc. | 3,282,095 | ||||
3,001 | lululemon athletica Inc.* | 969,713 | ||||
78,922 | NIKE Inc., Class B Shares | 10,769,696 | ||||
1,699 | PVH Corp.* | 195,079 | ||||
1,341 | Ralph Lauren Corp., Class A Shares* | 166,391 | ||||
3,281 | Skechers USA Inc., Class A Shares* | 155,848 | ||||
7,279 | Tapestry Inc.* | 326,754 | ||||
5,350 | Under Armour Inc., Class A Shares* | 120,803 | ||||
5,519 | Under Armour Inc., Class C Shares*(a) | 105,192 | ||||
8,448 | VF Corp. | 673,475 | ||||
|
| |||||
Total Textiles, Apparel & Luxury Goods | 17,152,800 | |||||
|
| |||||
TOTAL CONSUMER DISCRETIONARY | 262,154,374 | |||||
|
| |||||
CONSUMER STAPLES - 4.6% |
| |||||
Beverages - 1.0% |
| |||||
26,460 | Anheuser-Busch InBev SA, ADR(a) | 2,004,874 | ||||
232 | Boston Beer Co., Inc. (The), Class A Shares*(a) | 245,493 | ||||
1,309 | Brown-Forman Corp., Class A Shares(a) | 98,175 | ||||
4,770 | Brown-Forman Corp., Class B Shares | 383,317 | ||||
102,277 | Coca-Cola Co. (The) | 5,654,895 | ||||
4,252 | Constellation Brands Inc., Class A Shares | 1,019,290 | ||||
18,773 | Keurig Dr Pepper Inc. | 693,850 | ||||
4,446 | Molson Coors Beverage Co., Class B Shares*(a) | 259,291 | ||||
44,734 | Monster Beverage Corp.* | 4,217,074 | ||||
36,722 | PepsiCo Inc. | 5,432,653 | ||||
|
| |||||
Total Beverages | 20,008,912 | |||||
|
| |||||
Food & Staples Retailing - 1.1% |
| |||||
3,197 | Albertsons Cos., Inc., Class A Shares(a) | 61,350 | ||||
921 | Caseys General Stores Inc. | 203,394 | ||||
23,208 | Costco Wholesale Corp. | 8,778,890 | ||||
2,060 | Grocery Outlet Holding Corp.* | 70,184 | ||||
20,017 | Kroger Co. (The) | 740,229 | ||||
3,487 | Sprouts Farmers Market Inc.* | 92,754 | ||||
77,062 | Sysco Corp. | 6,242,022 | ||||
5,735 | US Foods Holding Corp.* | 223,321 |
4
Schedules of Investments
(unaudited) (continued)
Large Cap Equity Fund
Shares/Units | Security | Value | ||||
CONSUMER STAPLES - 4.6% - (continued) |
| |||||
Food & Staples Retailing - 1.1% - (continued) |
| |||||
19,138 | Walgreens Boots Alliance Inc. | $ | 1,007,807 | |||
36,868 | Walmart Inc. | 5,236,362 | ||||
|
| |||||
Total Food & Staples Retailing | 22,656,313 | |||||
|
| |||||
Food Products - 1.3% |
| |||||
138,135 | Archer-Daniels-Midland Co. | 9,190,122 | ||||
1,469 | Beyond Meat Inc.*(a) | 213,622 | ||||
3,525 | Bunge Ltd. | 306,040 | ||||
5,118 | Campbell Soup Co.(a) | 249,093 | ||||
234,074 | Conagra Brands Inc. | 8,918,219 | ||||
4,855 | Flowers Foods Inc. | 116,957 | ||||
16,043 | General Mills Inc. | 1,008,463 | ||||
1,774 | Hain Celestial Group Inc. (The)*(a) | 72,308 | ||||
3,897 | Hershey Co. (The) | 674,376 | ||||
7,192 | Hormel Foods Corp. | 349,100 | ||||
1,923 | Ingredion Inc. | 182,550 | ||||
2,916 | J.M. Smucker Co. (The)(a) | 388,674 | ||||
6,630 | Kellogg Co. | 434,199 | ||||
17,015 | Kraft Heinz Co. (The) | 741,684 | ||||
3,819 | Lamb Weston Holdings Inc. | 315,029 | ||||
6,551 | McCormick & Co., Inc. | 583,432 | ||||
36,952 | Mondelez International Inc., Class A Shares | 2,347,561 | ||||
1,576 | Pilgrims Pride Corp.* | 37,887 | ||||
1,623 | Post Holdings Inc.* | 187,505 | ||||
8 | Seaboard Corp. | 29,320 | ||||
1,644 | TreeHouse Foods Inc.* | 80,079 | ||||
7,594 | Tyson Foods Inc., Class A Shares | 603,723 | ||||
Total Food Products | 27,029,943 | |||||
|
| |||||
Household Products - 0.6% |
| |||||
6,561 | Church & Dwight Co., Inc. | 562,475 | ||||
3,315 | Clorox Co. (The) | 585,860 | ||||
22,290 | Colgate-Palmolive Co. | 1,867,456 | ||||
1,937 | Energizer Holdings Inc. | 89,179 | ||||
8,980 | Kimberly-Clark Corp. | 1,173,057 | ||||
64,475 | Procter & Gamble Co. (The) | 8,694,454 | ||||
1,441 | Reynolds Consumer Products Inc. | 43,432 | ||||
1,140 | Spectrum Brands Holdings Inc. | 101,335 | ||||
|
| |||||
Total Household Products | 13,117,248 | |||||
|
| |||||
Personal Products - 0.3% |
| |||||
8,462 | Coty Inc., Class A Shares* | 75,396 | ||||
17,532 | Estee Lauder Cos., Inc. (The), Class A Shares | 5,373,909 | ||||
2,445 | Herbalife Nutrition Ltd.* | 128,534 | ||||
1,422 | Nu Skin Enterprises Inc., Class A Shares | 85,547 | ||||
|
| |||||
Total Personal Products | 5,663,386 | |||||
|
| |||||
Tobacco - 0.3% |
| |||||
49,198 | Altria Group Inc. | 2,421,526 | ||||
41,167 | Philip Morris International Inc. | 3,969,734 | ||||
|
| |||||
Total Tobacco | 6,391,260 | |||||
|
| |||||
TOTAL CONSUMER STAPLES | 94,867,062 | |||||
|
| |||||
ENERGY - 1.9% |
| |||||
Energy Equipment & Services - 0.1% |
| |||||
17,335 | Baker Hughes Co., Class A Shares | 422,974 | ||||
23,431 | Halliburton Co. | 526,026 | ||||
3,038 | Helmerich & Payne Inc. | 85,823 | ||||
10,988 | NOV Inc.* | 177,126 | ||||
36,702 | Schlumberger NV | 1,149,874 | ||||
|
| |||||
Total Energy Equipment & Services | 2,361,823 | |||||
|
| |||||
Oil, Gas & Consumable Fuels - 1.8% |
| |||||
8,284 | Antero Midstream Corp. | 79,526 | ||||
9,979 | APA Corp. | 207,563 | ||||
9,603 | Cabot Oil & Gas Corp.(a) | 157,489 |
5
Schedules of Investments
(unaudited) (continued)
Large Cap Equity Fund
Shares/Units | Security | Value | ||||
ENERGY - 1.9% - (continued) |
| |||||
Oil, Gas & Consumable Fuels - 1.8% - (continued) |
| |||||
6,110 | Cheniere Energy Inc.* | $ | 518,739 | |||
50,958 | Chevron Corp. | 5,288,931 | ||||
2,850 | Cimarex Energy Co. | 193,088 | ||||
178,124 | ConocoPhillips | 9,928,632 | ||||
1,596 | Continental Resources Inc. | 51,982 | ||||
15,416 | Devon Energy Corp. | 409,449 | ||||
4,548 | Diamondback Energy Inc. | 364,158 | ||||
15,395 | EOG Resources Inc. | 1,236,834 | ||||
7,745 | EQT Corp.*(a) | 161,716 | ||||
12,196 | Equitrans Midstream Corp. | 100,495 | ||||
111,974 | Exxon Mobil Corp. | 6,535,922 | ||||
7,252 | Hess Corp. | 607,863 | ||||
3,742 | HollyFrontier Corp. | 121,503 | ||||
51,415 | Kinder Morgan Inc. | 942,951 | ||||
21,936 | Marathon Oil Corp. | 265,645 | ||||
17,097 | Marathon Petroleum Corp. | 1,056,595 | ||||
4,392 | Murphy Oil Corp. | 95,262 | ||||
21,674 | Occidental Petroleum Corp. | 562,657 | ||||
11,704 | ONEOK Inc. | 617,269 | ||||
11,532 | Phillips 66 | 971,225 | ||||
5,331 | Pioneer Natural Resources Co. | 811,325 | ||||
169,284 | Suncor Energy Inc. | 3,910,460 | ||||
5,545 | Targa Resources Corp. | 215,479 | ||||
10,756 | Valero Energy Corp. | 864,782 | ||||
31,881 | Williams Cos., Inc. (The) | 839,746 | ||||
|
| |||||
Total Oil, Gas & Consumable Fuels | 37,117,286 | |||||
|
| |||||
TOTAL ENERGY | 39,479,109 | |||||
|
| |||||
FINANCIALS - 10.2% |
| |||||
Banks - 3.1% |
| |||||
4,563 | Associated Banc-Corp. | 104,903 | ||||
204,642 | Bank of America Corp. | 8,674,774 | ||||
1,161 | Bank of Hawaii Corp. | 104,188 | ||||
3,100 | Bank OZK(a) | 132,401 | ||||
973 | BOK Financial Corp. | 88,582 | ||||
55,087 | Citigroup Inc. | 4,335,898 | ||||
11,312 | Citizens Financial Group Inc. | 564,469 | ||||
3,932 | Comerica Inc. | 308,623 | ||||
2,650 | Commerce Bancshares Inc. | 206,382 | ||||
1,428 | Cullen/Frost Bankers Inc. | 172,374 | ||||
3,655 | East West Bancorp Inc. | 273,321 | ||||
18,784 | Fifth Third Bancorp(a) | 791,558 | ||||
167 | First Citizens BancShares Inc., Class A Shares(a) | 143,720 | ||||
2,988 | First Hawaiian Inc. | 84,142 | ||||
12,429 | First Horizon Corp. | 237,021 | ||||
4,562 | First Republic Bank | 873,349 | ||||
7,759 | FNB Corp. | 104,048 | ||||
26,071 | Huntington Bancshares Inc. | 413,486 | ||||
80,139 | JPMorgan Chase & Co. | 13,162,029 | ||||
25,539 | KeyCorp | 588,419 | ||||
3,435 | M&T Bank Corp. | 551,970 | ||||
3,217 | PacWest Bancorp | 145,312 | ||||
12,217 | Peoples United Financial Inc. | 231,023 | ||||
1,816 | Pinnacle Financial Partners Inc. | 165,111 | ||||
11,215 | PNC Financial Services Group Inc. (The) | 2,183,336 | ||||
2,034 | Popular Inc. | 165,995 | ||||
2,578 | Prosperity Bancshares Inc. | 193,994 | ||||
25,232 | Regions Financial Corp. | 590,681 | ||||
1,544 | Signature Bank | 385,614 | ||||
5,768 | Sterling Bancorp | 153,660 | ||||
1,357 | SVB Financial Group* | 790,982 |
6
Schedules of Investments
(unaudited) (continued)
Large Cap Equity Fund
Shares/Units | Security | Value | ||||
FINANCIALS - 10.2% - (continued) |
| |||||
Banks - 3.1% - (continued) |
| |||||
3,860 | Synovus Financial Corp. | $ | 189,603 | |||
3,584 | TCF Financial Corp. | 170,240 | ||||
172,521 | Truist Financial Corp. | 10,658,347 | ||||
6,708 | Umpqua Holdings Corp. | 127,989 | ||||
173,946 | US Bancorp | 10,572,438 | ||||
2,233 | Webster Financial Corp. | 126,566 | ||||
100,404 | Wells Fargo & Co. | 4,690,875 | ||||
2,755 | Western Alliance Bancorp(a) | 275,528 | ||||
1,618 | Wintrust Financial Corp. | 130,120 | ||||
3,872 | Zions Bancorp NA | 224,111 | ||||
|
| |||||
Total Banks | 64,087,182 | |||||
|
| |||||
Capital Markets - 3.1% |
| |||||
21,273 | Affiliated Managers Group Inc. | 3,488,772 | ||||
34,895 | Ameriprise Financial Inc. | 9,067,117 | ||||
4,203 | Apollo Global Management Inc., Class A Shares(a) | 241,000 | ||||
2,911 | Ares Management Corp., Class A Shares | 160,629 | ||||
21,108 | Bank of New York Mellon Corp. (The) | 1,099,305 | ||||
3,894 | BlackRock Inc., Class A Shares | 3,415,194 | ||||
3,396 | Carlyle Group Inc. (The) | 148,201 | ||||
2,785 | Cboe Global Markets Inc. | 309,971 | ||||
36,431 | Charles Schwab Corp. (The) | 2,690,429 | ||||
9,388 | CME Group Inc., Class A Shares | 2,053,719 | ||||
1,126 | Evercore Inc., Class A Shares | 164,238 | ||||
970 | FactSet Research Systems Inc. | 324,329 | ||||
7,826 | Franklin Resources Inc. | 267,728 | ||||
8,762 | Goldman Sachs Group Inc. (The) | 3,259,639 | ||||
1,672 | Interactive Brokers Group Inc., Class A Shares | 112,459 | ||||
96,982 | Intercontinental Exchange Inc. | 10,947,328 | ||||
9,704 | Invesco Ltd. | 276,855 | ||||
5,894 | Jefferies Financial Group Inc. | 189,374 | ||||
14,354 | KKR & Co., Inc. | 799,374 | ||||
2,441 | Lazard Ltd., Class A Shares | 115,166 | ||||
1,933 | LPL Financial Holdings Inc. | 285,852 | ||||
966 | MarketAxess Holdings Inc. | 450,678 | ||||
4,295 | Moodys Corp. | 1,440,328 | ||||
36,965 | Morgan Stanley(b) | 3,361,967 | ||||
638 | Morningstar Inc. | 150,562 | ||||
13,454 | MSCI Inc., Class A Shares | 6,298,221 | ||||
3,022 | Nasdaq Inc. | 506,064 | ||||
5,073 | Northern Trust Corp. | 614,797 | ||||
3,241 | Raymond James Financial Inc. | 429,724 | ||||
25,888 | S&P Global Inc. | 9,823,719 | ||||
2,886 | SEI Investments Co. | 183,088 | ||||
9,248 | State Street Corp. | 804,391 | ||||
5,977 | T. Rowe Price Group Inc. | 1,143,699 | ||||
2,054 | Tradeweb Markets Inc., Class A Shares | 172,084 | ||||
1,549 | Virtu Financial Inc., Class A Shares | 47,167 | ||||
|
| |||||
Total Capital Markets | 64,843,168 | |||||
|
| |||||
Consumer Finance - 0.8% |
| |||||
9,865 | Ally Financial Inc. | 539,714 | ||||
17,297 | American Express Co. | 2,769,769 | ||||
11,965 | Capital One Financial Corp. | 1,923,733 | ||||
194 | Credit Acceptance Corp.*(a) | 86,807 | ||||
77,903 | Discover Financial Services | 9,134,906 | ||||
330 | LendingTree Inc.*(a) | 67,733 | ||||
1,910 | OneMain Holdings Inc., Class A Shares | 110,474 | ||||
2,175 | Santander Consumer USA Holdings Inc.(a) | 82,433 | ||||
9,810 | SLM Corp. | 198,652 | ||||
15,781 | Synchrony Financial | 748,177 | ||||
438 | Upstart Holdings Inc.*(a) | 64,920 | ||||
|
| |||||
Total Consumer Finance | 15,727,318 | |||||
|
|
7
Schedules of Investments
(unaudited) (continued)
Large Cap Equity Fund
Shares/Units | Security | Value | ||||
FINANCIALS - 10.2% - (continued) |
| |||||
Diversified Financial Services - 0.7% |
| |||||
49,771 | Berkshire Hathaway Inc., Class B Shares* | $ | 14,405,718 | |||
10,475 | Equitable Holdings Inc. | 332,582 | ||||
3,508 | Voya Financial Inc. | 229,844 | ||||
|
| |||||
Total Diversified Financial Services | 14,968,144 | |||||
|
| |||||
Insurance - 2.4% |
| |||||
18,110 | Aflac Inc. | 1,026,475 | ||||
355 | Alleghany Corp.* | 254,382 | ||||
8,022 | Allstate Corp. (The) | 1,095,885 | ||||
1,836 | American Financial Group Inc. | 244,298 | ||||
182,985 | American International Group Inc. | 9,668,927 | ||||
225 | American National Group Inc. | 33,755 | ||||
5,993 | Aon PLC, Class A Shares | 1,518,446 | ||||
10,384 | Arch Capital Group Ltd.* | 414,218 | ||||
5,043 | Arthur J. Gallagher & Co. | 739,354 | ||||
25,700 | Assurant Inc. | 4,141,555 | ||||
1,927 | Assured Guaranty Ltd. | 91,783 | ||||
2,822 | Athene Holding Ltd., Class A Shares* | 176,742 | ||||
2,302 | Axis Capital Holdings Ltd. | 123,479 | ||||
2,684 | Brighthouse Financial Inc.* | 130,604 | ||||
6,159 | Brown & Brown Inc. | 323,471 | ||||
11,888 | Chubb Ltd. | 2,020,841 | ||||
3,954 | Cincinnati Financial Corp. | 481,241 | ||||
826 | CNA Financial Corp. | 39,491 | ||||
717 | Erie Indemnity Co., Class A Shares | 144,210 | ||||
994 | Everest Re Group Ltd. | 258,400 | ||||
8,081 | Fidelity National Financial Inc. | 379,726 | ||||
2,617 | First American Financial Corp. | 168,299 | ||||
2,716 | Globe Life Inc. | 286,321 | ||||
1,070 | Hanover Insurance Group Inc. (The) | 149,254 | ||||
9,442 | Hartford Financial Services Group Inc. (The) | 617,035 | ||||
1,401 | Kemper Corp. | 104,893 | ||||
895 | Lemonade Inc.*(a) | 80,971 | ||||
91,381 | Lincoln National Corp. | 6,377,480 | ||||
6,059 | Loews Corp. | 353,724 | ||||
357 | Markel Corp.* | 437,500 | ||||
13,383 | Marsh & McLennan Cos., Inc. | 1,851,538 | ||||
827 | Mercury General Corp.(a) | 52,597 | ||||
148,392 | MetLife Inc. | 9,698,901 | ||||
8,020 | Old Republic International Corp. | 210,605 | ||||
1,056 | Primerica Inc. | 171,294 | ||||
6,946 | Principal Financial Group Inc. | 454,199 | ||||
15,458 | Progressive Corp. (The) | 1,531,579 | ||||
10,433 | Prudential Financial Inc. | 1,116,018 | ||||
1,912 | Reinsurance Group of America Inc., Class A Shares | 240,969 | ||||
1,287 | RenaissanceRe Holdings Ltd. | 198,353 | ||||
6,683 | Travelers Cos., Inc. (The) | 1,067,275 | ||||
5,702 | Unum Group | 176,591 | ||||
85 | White Mountains Insurance Group Ltd. | 101,436 | ||||
3,399 | Willis Towers Watson PLC | 888,363 | ||||
3,491 | WR Berkley Corp. | 272,263 | ||||
|
| |||||
Total Insurance | 49,914,741 | |||||
|
| |||||
Mortgage Real Estate Investment Trusts (REITs) - 0.1% |
| |||||
14,044 | AGNC Investment Corp. | 260,376 | ||||
37,037 | Annaly Capital Management Inc. | 343,333 | ||||
12,835 | New Residential Investment Corp. | 135,794 | ||||
6,748 | Starwood Property Trust Inc. | 171,332 | ||||
|
| |||||
Total Mortgage Real Estate Investment Trusts (REITs) | 910,835 | |||||
|
|
8
Schedules of Investments
(unaudited) (continued)
Large Cap Equity Fund
Shares/Units | Security | Value | ||||
FINANCIALS - 10.2% - (continued) |
| |||||
Thrifts & Mortgage Finance - 0.0% |
| |||||
9,755 | MGIC Investment Corp. | $ | 143,594 | |||
10,891 | New York Community Bancorp Inc.(a) | 130,365 | ||||
2,729 | Rocket Cos., Inc., Class A Shares(a) | 48,331 | ||||
1,501 | TFS Financial Corp. | 33,262 | ||||
|
| |||||
Total Thrifts & Mortgage Finance | 355,552 | |||||
|
| |||||
TOTAL FINANCIALS | 210,806,940 | |||||
|
| |||||
HEALTH CARE - 14.0% |
| |||||
Biotechnology - 1.6% |
| |||||
46,608 | AbbVie Inc. | 5,276,026 | ||||
3,276 | ACADIA Pharmaceuticals Inc.* | 73,186 | ||||
1,377 | Acceleron Pharma Inc.* | 180,236 | ||||
1,730 | Agios Pharmaceuticals Inc.* | 96,499 | ||||
5,619 | Alexion Pharmaceuticals Inc.* | 992,034 | ||||
4,562 | Alkermes PLC* | 103,421 | ||||
3,048 | Alnylam Pharmaceuticals Inc.* | 432,786 | ||||
27,972 | Amgen Inc. | 6,655,658 | ||||
4,015 | Biogen Inc.* | 1,073,932 | ||||
56,796 | BioMarin Pharmaceutical Inc.* | 4,390,331 | ||||
2,000 | Bluebird Bio Inc.* | 62,240 | ||||
34,893 | Exact Sciences Corp.* | 3,856,723 | ||||
7,868 | Exelixis Inc.* | 177,423 | ||||
33,219 | Gilead Sciences Inc. | 2,196,108 | ||||
1,745 | Global Blood Therapeutics Inc.*(a) | 67,060 | ||||
5,194 | Horizon Therapeutics PLC* | 476,082 | ||||
4,864 | Incyte Corp.* | 407,506 | ||||
3,194 | Ionis Pharmaceuticals Inc.*(a) | 118,976 | ||||
3,068 | Iovance Biotherapeutics Inc.* | 56,973 | ||||
7,542 | Moderna Inc.* | 1,395,345 | ||||
2,458 | Neurocrine Biosciences Inc.* | 236,509 | ||||
2,558 | Regeneron Pharmaceuticals Inc.* | 1,285,216 | ||||
1,478 | Sage Therapeutics Inc.* | 102,869 | ||||
885 | Sana Biotechnology Inc.* | 18,558 | ||||
20,300 | Sarepta Therapeutics Inc.* | 1,535,695 | ||||
3,323 | Seagen Inc.* | 516,228 | ||||
1,078 | United Therapeutics Corp.* | 200,400 | ||||
6,866 | Vertex Pharmaceuticals Inc.* | 1,432,454 | ||||
|
| |||||
Total Biotechnology | 33,416,474 | |||||
|
| |||||
Health Care Equipment & Supplies - 3.8% |
| |||||
45,731 | Abbott Laboratories | 5,334,521 | ||||
12,541 | ABIOMED Inc.*(a) | 3,568,918 | ||||
39,270 | Alcon Inc. | 2,736,334 | ||||
10,430 | Align Technology Inc.* | 6,155,265 | ||||
102,430 | Baxter International Inc. | 8,411,552 | ||||
7,622 | Becton Dickinson and Co. | 1,843,686 | ||||
37,790 | Boston Scientific Corp.* | 1,607,964 | ||||
1,250 | Cooper Cos., Inc. (The) | 491,813 | ||||
16,563 | Danaher Corp. | 4,242,447 | ||||
5,737 | DENTSPLY SIRONA Inc. | 383,920 | ||||
2,431 | DexCom Inc.* | 897,987 | ||||
53,410 | Edwards Lifesciences Corp.* | 5,122,019 | ||||
3,899 | Envista Holdings Corp.* | 170,152 | ||||
2,160 | Globus Medical Inc., Class A Shares* | 155,650 | ||||
1,451 | Haemonetics Corp.* | 81,923 | ||||
1,650 | Hill-Rom Holdings Inc. | 183,612 | ||||
6,855 | Hologic Inc.* | 432,276 | ||||
583 | ICU Medical Inc.* | 121,299 | ||||
10,684 | IDEXX Laboratories Inc.* | 5,962,847 | ||||
1,732 | Insulet Corp.* | 467,068 | ||||
2,077 | Integra LifeSciences Holdings Corp.*(a) | 143,417 | ||||
5,002 | Intuitive Surgical Inc.* | 4,212,584 |
9
Schedules of Investments
(unaudited) (continued)
Large Cap Equity Fund
Shares/Units | Security | Value | ||||
HEALTH CARE - 14.0% - (continued) |
| |||||
Health Care Equipment & Supplies - 3.8% - (continued) |
| |||||
1,271 | Masimo Corp.* | $ | 274,028 | |||
158,719 | Medtronic PLC | 20,092,238 | ||||
2,639 | Novocure Ltd.* | 538,356 | ||||
910 | Penumbra Inc.*(a) | 226,690 | ||||
1,074 | Quidel Corp.*(a) | 126,850 | ||||
3,786 | ResMed Inc. | 779,348 | ||||
2,193 | STERIS PLC | 418,556 | ||||
9,163 | Stryker Corp. | 2,339,039 | ||||
1,749 | Tandem Diabetes Care Inc.* | 149,347 | ||||
1,227 | Teleflex Inc. | 493,487 | ||||
1,938 | West Pharmaceutical Services Inc. | 673,474 | ||||
5,473 | Zimmer Biomet Holdings Inc. | 921,270 | ||||
|
| |||||
Total Health Care Equipment & Supplies | 79,759,937 | |||||
|
| |||||
Health Care Providers & Services - 3.9% |
| |||||
2,475 | Acadia Healthcare Co., Inc.* | 159,291 | ||||
830 | Amedisys Inc.* | 214,447 | ||||
3,849 | AmerisourceBergen Corp., Class A Shares | 441,634 | ||||
6,586 | Anthem Inc. | 2,622,677 | ||||
136,826 | Cardinal Health Inc. | 7,671,834 | ||||
103,098 | Centene Corp.* | 7,588,013 | ||||
421 | Chemed Corp. | 206,854 | ||||
63,861 | Cigna Corp. | 16,530,420 | ||||
126,483 | CVS Health Corp. | 10,933,190 | ||||
1,871 | DaVita Inc.* | 224,651 | ||||
2,467 | Encompass Health Corp. | 211,644 | ||||
2,225 | Guardant Health Inc.* | 276,167 | ||||
35,470 | HCA Healthcare Inc. | 7,618,601 | ||||
3,736 | Henry Schein Inc.* | 284,085 | ||||
3,407 | Humana Inc. | 1,491,244 | ||||
2,649 | Laboratory Corp. of America Holdings* | 727,098 | ||||
4,207 | McKesson Corp. | 809,385 | ||||
1,552 | Molina Healthcare Inc.* | 390,111 | ||||
2,417 | Oak Street Health Inc.*(a) | 145,963 | ||||
3,170 | Premier Inc., Class A Shares | 104,610 | ||||
3,530 | Quest Diagnostics Inc. | 464,795 | ||||
50,274 | UnitedHealth Group Inc. | 20,708,866 | ||||
1,878 | Universal Health Services Inc., Class B Shares | 299,785 | ||||
|
| |||||
Total Health Care Providers & Services | 80,125,365 | |||||
|
| |||||
Health Care Technology - 0.1% |
| |||||
1,198 | American Well Corp., Class A Shares*(a) | 14,915 | ||||
8,400 | Cerner Corp. | 657,300 | ||||
847 | Certara Inc.* | 22,285 | ||||
6,869 | Change Healthcare Inc.* | 161,009 | ||||
2,842 | Teladoc Health Inc.* | 427,948 | ||||
3,573 | Veeva Systems Inc., Class A Shares* | 1,040,958 | ||||
|
| |||||
Total Health Care Technology | 2,324,415 | |||||
|
| |||||
Life Sciences Tools & Services - 1.2% |
| |||||
1,459 | 10X Genomics Inc., Class A Shares* | 262,620 | ||||
2,032 | Adaptive Biotechnologies Corp.* | 76,830 | ||||
8,060 | Agilent Technologies Inc. | 1,113,328 | ||||
13,376 | Avantor Inc.* | 430,038 | ||||
739 | Berkeley Lights Inc.* | 32,146 | ||||
544 | Bio-Rad Laboratories Inc., Class A Shares* | 327,689 | ||||
979 | Bio-Techne Corp. | 405,140 | ||||
2,602 | Bruker Corp. | 180,683 | ||||
1,290 | Charles River Laboratories International Inc.* | 436,007 | ||||
13,378 | Illumina Inc.* | 5,426,652 | ||||
5,023 | IQVIA Holdings Inc.* | 1,206,324 | ||||
1,725 | Maravai LifeSciences Holdings Inc., Class A Shares* | 64,757 | ||||
610 | Mettler-Toledo International Inc.* | 793,579 |
10
Schedules of Investments
(unaudited) (continued)
Large Cap Equity Fund
Shares/Units | Security | Value | ||||
HEALTH CARE - 14.0% - (continued) |
| |||||
Life Sciences Tools & Services - 1.2% - (continued) |
| |||||
2,898 | PerkinElmer Inc. | $ | 420,413 | |||
4,476 | PPD Inc.* | 206,433 | ||||
1,628 | PRA Health Sciences Inc.* | 278,258 | ||||
5,898 | QIAGEN NV* | 291,125 | ||||
1,354 | Repligen Corp.* | 247,254 | ||||
111,788 | Sotera Health Co.* | 2,694,091 | ||||
2,214 | Syneos Health Inc., Class A Shares* | 194,611 | ||||
21,119 | Thermo Fisher Scientific Inc. | 9,915,370 | ||||
1,616 | Waters Corp.* | 520,756 | ||||
|
| |||||
Total Life Sciences Tools & Services | 25,524,104 | |||||
|
| |||||
Pharmaceuticals - 3.4% |
| |||||
117,534 | Bristol-Myers Squibb Co. | 7,724,334 | ||||
4,171 | Catalent Inc.* | 437,246 | ||||
11,827 | Elanco Animal Health Inc.* | 425,535 | ||||
32,629 | Eli Lilly & Co. | 6,517,316 | ||||
1,528 | Jazz Pharmaceuticals PLC* | 272,183 | ||||
118,566 | Johnson & Johnson | 20,067,296 | ||||
170,038 | Merck & Co., Inc. | 12,904,184 | ||||
5,112 | Nektar Therapeutics, Class A Shares*(a) | 92,374 | ||||
3,555 | Perrigo Co. PLC(a) | 164,028 | ||||
147,127 | Pfizer Inc. | 5,698,229 | ||||
712 | Reata Pharmaceuticals Inc., Class A Shares* | 97,359 | ||||
8,624 | Royalty Pharma PLC, Class A Shares(a) | 345,995 | ||||
547,571 | Viatris Inc. | 8,344,982 | ||||
41,224 | Zoetis Inc., Class A Shares | 7,283,456 | ||||
|
| |||||
Total Pharmaceuticals | 70,374,517 | |||||
|
| |||||
TOTAL HEALTH CARE | 291,524,812 | |||||
|
| |||||
INDUSTRIALS - 10.2% |
| |||||
Aerospace & Defense - 1.8% |
| |||||
1,650 | Axon Enterprise Inc.* | 231,973 | ||||
14,127 | Boeing Co. (The)* | 3,489,652 | ||||
2,294 | BWX Technologies Inc. | 143,467 | ||||
1,177 | Curtiss-Wright Corp. | 147,502 | ||||
6,706 | General Dynamics Corp. | 1,273,536 | ||||
1,089 | HEICO Corp. | 152,961 | ||||
2,086 | HEICO Corp., Class A Shares | 276,312 | ||||
1,977 | Hexcel Corp.* | 117,552 | ||||
10,331 | Howmet Aerospace Inc.* | 366,544 | ||||
994 | Huntington Ingalls Industries Inc. | 214,913 | ||||
5,542 | L3Harris Technologies Inc. | 1,208,488 | ||||
6,546 | Lockheed Martin Corp. | 2,501,881 | ||||
1,616 | Mercury Systems Inc.* | 105,767 | ||||
26,132 | Northrop Grumman Corp. | 9,560,915 | ||||
172,227 | Raytheon Technologies Corp. | 15,278,257 | ||||
2,933 | Spirit AeroSystems Holdings Inc., Class A Shares | 144,333 | ||||
1,200 | Teledyne Technologies Inc.* | 503,364 | ||||
6,304 | Textron Inc. | 431,635 | ||||
1,395 | TransDigm Group Inc.* | 905,132 | ||||
1,744 | Virgin Galactic Holdings Inc.*(a) | 54,465 | ||||
|
| |||||
Total Aerospace & Defense | 37,108,649 | |||||
|
| |||||
Air Freight & Logistics - 1.0% |
| |||||
3,482 | CH Robinson Worldwide Inc. | 337,824 | ||||
4,458 | Expeditors International of Washington Inc. | 560,326 | ||||
6,482 | FedEx Corp. | 2,040,598 | ||||
44,660 | United Parcel Service Inc., Class B Shares | 9,584,036 | ||||
48,815 | XPO Logistics Inc.* | 7,172,388 | ||||
|
| |||||
Total Air Freight & Logistics | 19,695,172 | |||||
|
| |||||
Airlines - 0.2% |
| |||||
3,042 | Alaska Air Group Inc.* | 210,506 | ||||
16,990 | American Airlines Group Inc.*(a) | 411,838 |
11
Schedules of Investments
(unaudited) (continued)
Large Cap Equity Fund
Shares/Units | Security | Value | ||||
INDUSTRIALS - 10.2% - (continued) |
| |||||
Airlines - 0.2% - (continued) |
| |||||
893 | Copa Holdings SA, Class A Shares* | $ | 73,458 | |||
16,841 | Delta Air Lines Inc.* | 802,979 | ||||
7,862 | JetBlue Airways Corp.* | 158,026 | ||||
15,569 | Southwest Airlines Co.* | 956,871 | ||||
8,164 | United Airlines Holdings Inc.* | 476,369 | ||||
|
| |||||
Total Airlines | 3,090,047 | |||||
|
| |||||
Building Products - 0.7% |
| |||||
2,374 | Allegion PLC | 333,500 | ||||
3,615 | AO Smith Corp. | 256,918 | ||||
56,397 | Armstrong World Industries Inc. | 5,997,821 | ||||
1,924 | AZEK Co., Inc. (The), Class A Shares* | 83,752 | ||||
22,940 | Carrier Global Corp. | 1,053,634 | ||||
3,636 | Fortune Brands Home & Security Inc. | 375,090 | ||||
19,210 | Johnson Controls International PLC | 1,278,233 | ||||
893 | Lennox International Inc.(a) | 312,487 | ||||
6,636 | Masco Corp. | 400,217 | ||||
2,932 | Owens Corning | 312,698 | ||||
25,853 | Trane Technologies PLC | 4,818,999 | ||||
3,005 | Trex Co., Inc.* | 292,717 | ||||
|
| |||||
Total Building Products | 15,516,066 | |||||
|
| |||||
Commercial Services & Supplies - 0.6% |
| |||||
3,147 | ADT Inc. | 32,540 | ||||
2,332 | Cintas Corp. | 824,455 | ||||
1,468 | Clean Harbors Inc.* | 136,671 | ||||
5,420 | Copart Inc.* | 699,234 | ||||
3,335 | IAA Inc.*(a) | 189,995 | ||||
1,052 | MSA Safety Inc. | 176,799 | ||||
5,536 | Republic Services Inc., Class A Shares | 604,421 | ||||
5,618 | Rollins Inc. | 191,518 | ||||
2,298 | Stericycle Inc.* | 180,531 | ||||
73,655 | Waste Management Inc. | 10,361,785 | ||||
|
| |||||
Total Commercial Services & Supplies | 13,397,949 | |||||
|
| |||||
Construction & Engineering - 0.0% |
| |||||
3,849 | AECOM* | 250,224 | ||||
3,500 | Quanta Services Inc. | 333,725 | ||||
472 | Valmont Industries Inc. | 117,056 | ||||
|
| |||||
Total Construction & Engineering | 701,005 | |||||
|
| |||||
Electrical Equipment - 0.4% |
| |||||
865 | Acuity Brands Inc.(a) | 160,674 | ||||
5,986 | AMETEK Inc. | 808,708 | ||||
2,280 | Array Technologies Inc.* | 37,164 | ||||
85,969 | Bloom Energy Corp., Class A Shares*(a) | 2,077,871 | ||||
10,575 | Eaton Corp. PLC | 1,536,019 | ||||
15,736 | Emerson Electric Co. | 1,505,778 | ||||
1,631 | Generac Holdings Inc.* | 536,142 | ||||
4,280 | GrafTech International Ltd. | 56,838 | ||||
1,395 | Hubbell Inc., Class B Shares | 265,943 | ||||
4,394 | nVent Electric PLC | 142,981 | ||||
1,029 | Regal Beloit Corp. | 146,355 | ||||
3,062 | Rockwell Automation Inc. | 807,511 | ||||
4,172 | Sensata Technologies Holding PLC* | 247,942 | ||||
2,140 | Shoals Technologies Group Inc., Class A Shares* | 59,064 | ||||
5,803 | Vertiv Holdings Co., Class A Shares | 144,030 | ||||
|
| |||||
Total Electrical Equipment | 8,533,020 | |||||
|
| |||||
Industrial Conglomerates - 1.0% |
| |||||
14,867 | 3M Co. | 3,018,596 | ||||
1,457 | Carlisle Cos., Inc. | 280,210 | ||||
229,883 | General Electric Co. | 3,232,155 | ||||
55,620 | Honeywell International Inc. | 12,843,214 | ||||
2,752 | Roper Technologies Inc. | 1,238,428 | ||||
|
| |||||
Total Industrial Conglomerates | 20,612,603 | |||||
|
|
12
Schedules of Investments
(unaudited) (continued)
Large Cap Equity Fund
Shares/Units | Security | Value | ||||
INDUSTRIALS - 10.2% - (continued) |
| |||||
Machinery - 1.3% |
| |||||
1,599 | AGCO Corp. | $ | 221,254 | |||
3,329 | Allison Transmission Holdings Inc. | 140,850 | ||||
48,226 | Caterpillar Inc. | 11,626,324 | ||||
2,825 | Colfax Corp.* | 124,865 | ||||
1,428 | Crane Co. | 136,360 | ||||
3,894 | Cummins Inc. | 1,001,848 | ||||
7,458 | Deere & Co. | 2,693,084 | ||||
3,144 | Donaldson Co., Inc. | 193,639 | ||||
3,795 | Dover Corp. | 571,147 | ||||
3,220 | Flowserve Corp.(a) | 136,496 | ||||
7,858 | Fortive Corp. | 569,862 | ||||
1,535 | Gates Industrial Corp. PLC* | 27,876 | ||||
4,347 | Graco Inc. | 329,155 | ||||
1,989 | IDEX Corp. | 442,871 | ||||
8,325 | Illinois Tool Works Inc. | 1,929,402 | ||||
9,151 | Ingersoll Rand Inc.* | 454,256 | ||||
2,266 | ITT Inc. | 212,777 | ||||
1,392 | Lincoln Electric Holdings Inc. | 178,983 | ||||
1,510 | Middleby Corp. (The)* | 248,063 | ||||
1,465 | Nordson Corp. | 324,776 | ||||
1,698 | Oshkosh Corp. | 223,185 | ||||
10,675 | Otis Worldwide Corp. | 836,173 | ||||
8,961 | PACCAR Inc. | 820,469 | ||||
3,382 | Parker-Hannifin Corp. | 1,042,163 | ||||
4,262 | Pentair PLC | 293,950 | ||||
1,481 | Snap-on Inc. | 377,092 | ||||
4,073 | Stanley Black & Decker Inc. | 883,026 | ||||
1,528 | Timken Co. (The) | 135,152 | ||||
2,795 | Toro Co. (The) | 310,497 | ||||
1,813 | Trinity Industries Inc. | 50,365 | ||||
5,083 | Westinghouse Air Brake Technologies Corp.(a) | 420,669 | ||||
1,641 | Woodward Inc. | 208,702 | ||||
4,724 | Xylem Inc. | 557,999 | ||||
|
| |||||
Total Machinery | 27,723,330 | |||||
|
| |||||
Marine - 0.0% |
| |||||
1,722 | Kirby Corp.* | 112,498 | ||||
|
| |||||
Professional Services - 0.8% |
| |||||
3,518 | Booz Allen Hamilton Holding Corp., Class A Shares | 298,784 | ||||
585 | CACI International Inc., Class A Shares* | 149,152 | ||||
1,959 | CoreLogic Inc. | 155,740 | ||||
4,740 | CoStar Group Inc.* | 4,047,960 | ||||
2,959 | Dun & Bradstreet Holdings Inc.*(a) | 63,530 | ||||
3,125 | Equifax Inc. | 734,500 | ||||
866 | FTI Consulting Inc.* | 119,118 | ||||
46,677 | IHS Markit Ltd. | 4,915,555 | ||||
3,396 | Jacobs Engineering Group Inc. | 482,504 | ||||
3,487 | Leidos Holdings Inc. | 358,289 | ||||
1,459 | ManpowerGroup Inc. | 176,524 | ||||
10,191 | Nielsen Holdings PLC | 277,297 | ||||
2,978 | Robert Half International Inc. | 264,417 | ||||
1,676 | Science Applications International Corp. | 150,605 | ||||
5,017 | TransUnion | 536,819 | ||||
26,443 | Verisk Analytics Inc., Class A Shares | 4,570,144 | ||||
|
| |||||
Total Professional Services | 17,300,938 | |||||
|
| |||||
Road & Rail - 1.2% |
| |||||
252 | AMERCO | 144,910 | ||||
20,171 | CSX Corp. | 2,019,521 | ||||
2,236 | JB Hunt Transport Services Inc. | 383,564 |
13
Schedules of Investments
(unaudited) (continued)
Large Cap Equity Fund
Shares/Units | Security | Value | ||||
INDUSTRIALS - 10.2% - (continued) |
| |||||
Road & Rail - 1.2% - (continued) |
| |||||
2,394 | Kansas City Southern | $ | 712,646 | |||
3,106 | Knight-Swift Transportation Holdings Inc., Class A Shares | 148,249 | ||||
1,102 | Landstar System Inc. | 187,891 | ||||
6,648 | Lyft Inc., Class A Shares* | 379,534 | ||||
19,551 | Norfolk Southern Corp. | 5,491,876 | ||||
2,540 | Old Dominion Freight Line Inc. | 674,243 | ||||
1,485 | Ryder System Inc. | 121,458 | ||||
1,656 | Schneider National Inc., Class B Shares | 40,555 | ||||
188,665 | Uber Technologies Inc.* | 9,589,842 | ||||
17,730 | Union Pacific Corp. | 3,984,463 | ||||
|
| |||||
Total Road & Rail | 23,878,752 | |||||
|
| |||||
Trading Companies & Distributors - 1.2% |
| |||||
72,500 | AerCap Holdings NV* | 4,277,500 | ||||
59,846 | Air Lease Corp., Class A Shares | 2,816,353 | ||||
15,045 | Fastenal Co. | 797,987 | ||||
1,358 | MSC Industrial Direct Co., Inc., Class A Shares | 128,195 | ||||
26,704 | United Rentals Inc.* | 8,918,068 | ||||
87,716 | Univar Solutions Inc.* | 2,376,226 | ||||
941 | Watsco Inc. | 274,207 | ||||
9,437 | WW Grainger Inc. | 4,361,404 | ||||
|
| |||||
Total Trading Companies & Distributors | 23,949,940 | |||||
|
| |||||
Transportation Infrastructure - 0.0% |
| |||||
2,091 | Macquarie Infrastructure Corp. | 72,934 | ||||
|
| |||||
TOTAL INDUSTRIALS | 211,692,903 | |||||
|
| |||||
INFORMATION TECHNOLOGY - 26.6% |
| |||||
Communications Equipment - 1.3% |
| |||||
1,550 | Arista Networks Inc.* | 526,039 | ||||
3,859 | Ciena Corp.* | 204,025 | ||||
267,547 | Cisco Systems Inc. | 14,153,236 | ||||
78,010 | CommScope Holding Co., Inc.* | 1,584,383 | ||||
1,404 | EchoStar Corp., Class A Shares* | 37,192 | ||||
1,681 | F5 Networks Inc.* | 311,708 | ||||
8,703 | Juniper Networks Inc. | 229,150 | ||||
2,060 | Lumentum Holdings Inc.* | 167,622 | ||||
46,493 | Motorola Solutions Inc. | 9,545,478 | ||||
247 | Ubiquiti Inc. | 74,476 | ||||
1,717 | ViaSat Inc.* | 91,310 | ||||
|
| |||||
Total Communications Equipment | 26,924,619 | |||||
|
| |||||
Electronic Equipment, Instruments & Components - 1.1% |
| |||||
15,422 | Amphenol Corp., Class A Shares | 1,037,284 | ||||
36,792 | Arrow Electronics Inc.* | 4,427,181 | ||||
2,963 | Avnet Inc. | 130,550 | ||||
16,647 | CDW Corp. | 2,753,747 | ||||
4,393 | Cognex Corp. | 348,760 | ||||
696 | Coherent Inc.* | 182,777 | ||||
19,807 | Corning Inc. | 864,180 | ||||
206,276 | Flex Ltd.* | 3,768,663 | ||||
890 | IPG Photonics Corp.*(a) | 186,241 | ||||
3,672 | Jabil Inc. | 207,284 | ||||
4,882 | Keysight Technologies Inc.* | 695,099 | ||||
672 | Littelfuse Inc. | 175,553 | ||||
3,258 | National Instruments Corp. | 132,926 | ||||
23,459 | SYNNEX Corp. | 2,969,909 | ||||
6,586 | Trimble Inc.* | 512,325 | ||||
3,463 | Vontier Corp.* | 121,482 | ||||
9,300 | Zebra Technologies Corp., Class A Shares* | 4,622,565 | ||||
|
| |||||
Total Electronic Equipment, Instruments & Components | 23,136,526 | |||||
|
| |||||
IT Services - 6.5% |
| |||||
16,863 | Accenture PLC, Class A Shares | 4,758,064 | ||||
29,738 | Akamai Technologies Inc.* | 3,396,377 |
14
Schedules of Investments
(unaudited) (continued)
Large Cap Equity Fund
Shares/Units | Security | Value | ||||
INFORMATION TECHNOLOGY - 26.6% - (continued) |
| |||||
IT Services - 6.5% - (continued) |
| |||||
27,208 | Alliance Data Systems Corp. | $ | 3,293,528 | |||
3,412 | Amdocs Ltd. | 266,477 | ||||
11,368 | Automatic Data Processing Inc. | 2,228,355 | ||||
1,156 | BigCommerce Holdings Inc.* | 62,875 | ||||
3,891 | Black Knight Inc.* | 285,560 | ||||
3,027 | Broadridge Financial Solutions Inc. | 482,746 | ||||
122,369 | Cognizant Technology Solutions Corp., Class A Shares | 8,756,726 | ||||
23,218 | Concentrix Corp.* | 3,545,853 | ||||
6,465 | DXC Technology Co.* | 245,153 | ||||
1,413 | EPAM Systems Inc.* | 674,849 | ||||
1,235 | Euronet Worldwide Inc.* | 184,805 | ||||
2,194 | Fastly Inc., Class A Shares*(a) | 103,535 | ||||
94,784 | Fidelity National Information Services Inc. | 14,120,920 | ||||
131,653 | Fiserv Inc.* | 15,166,426 | ||||
2,237 | FleetCor Technologies Inc.* | 613,922 | ||||
2,266 | Gartner Inc.* | 525,349 | ||||
5,094 | Genpact Ltd. | 233,000 | ||||
7,872 | Global Payments Inc. | 1,524,885 | ||||
1,078 | Globant SA* | 234,864 | ||||
4,421 | GoDaddy Inc., Class A Shares* | 357,924 | ||||
23,504 | International Business Machines Corp. | 3,378,465 | ||||
1,998 | Jack Henry & Associates Inc. | 307,992 | ||||
61,025 | LiveRamp Holdings Inc.* | 3,065,896 | ||||
23,341 | MasterCard Inc., Class A Shares | 8,416,298 | ||||
1,338 | MongoDB Inc., Class A Shares* | 390,616 | ||||
3,126 | Okta Inc., Class A Shares* | 695,347 | ||||
8,472 | Paychex Inc. | 856,858 | ||||
55,549 | PayPal Holdings Inc.* | 14,443,851 | ||||
7,975 | Sabre Corp.* | 110,454 | ||||
27,330 | Square Inc., Class A Shares* | 6,081,472 | ||||
5,276 | StoneCo Ltd., Class A Shares* | 348,058 | ||||
2,304 | Switch Inc., Class A Shares | 43,476 | ||||
3,798 | Twilio Inc., Class A Shares* | 1,276,128 | ||||
13,715 | VeriSign Inc.* | 3,016,203 | ||||
135,965 | Visa Inc., Class A Shares | 30,904,845 | ||||
10,789 | Western Union Co. (The) | 264,007 | ||||
1,110 | WEX Inc.* | 217,460 | ||||
|
| |||||
Total IT Services | 134,879,619 | |||||
|
| |||||
Semiconductors & Semiconductor Equipment - 5.5% |
| |||||
31,676 | Advanced Micro Devices Inc.* | 2,536,614 | ||||
979 | Allegro MicroSystems Inc.* | 25,660 | ||||
85,173 | Analog Devices Inc. | 14,019,476 | ||||
24,236 | Applied Materials Inc. | 3,347,719 | ||||
4,070 | ASML Holding NV, ADR | 2,749,163 | ||||
42,626 | Broadcom Inc. | 20,133,539 | ||||
1,700 | Cirrus Logic Inc.* | 132,719 | ||||
2,858 | Cree Inc.*(a) | 285,829 | ||||
21,916 | Enphase Energy Inc.* | 3,135,084 | ||||
3,537 | Entegris Inc.(a) | 404,810 | ||||
2,561 | First Solar Inc.* | 194,918 | ||||
108,543 | Intel Corp. | 6,199,976 | ||||
4,101 | KLA Corp. | 1,299,566 | ||||
3,775 | Lam Research Corp. | 2,453,184 | ||||
20,507 | Marvell Technology Inc. | 990,488 | ||||
7,013 | Maxim Integrated Products Inc. | 715,396 | ||||
6,599 | Microchip Technology Inc. | 1,035,713 | ||||
29,415 | Micron Technology Inc.* | 2,474,978 | ||||
1,419 | MKS Instruments Inc. | 267,098 | ||||
1,137 | Monolithic Power Systems Inc. | 390,127 | ||||
37,399 | NVIDIA Corp. | 24,301,122 |
15
Schedules of Investments
(unaudited) (continued)
Large Cap Equity Fund
Shares/Units | Security | Value | ||||
INFORMATION TECHNOLOGY - 26.6% - (continued) |
| |||||
Semiconductors & Semiconductor Equipment - 5.5% - (continued) |
| |||||
14,020 | NXP Semiconductors NV | $ | 2,964,108 | |||
10,714 | ON Semiconductor Corp.* | 428,988 | ||||
3,070 | Qorvo Inc.* | 560,950 | ||||
64,686 | QUALCOMM Inc. | 8,702,854 | ||||
45,401 | Skyworks Solutions Inc. | 7,718,170 | ||||
1,290 | SolarEdge Technologies Inc.* | 332,833 | ||||
4,468 | Teradyne Inc.(a) | 591,340 | ||||
24,285 | Texas Instruments Inc. | 4,609,779 | ||||
1,113 | Universal Display Corp. | 240,252 | ||||
6,453 | Xilinx Inc. | 819,531 | ||||
|
| |||||
Total Semiconductors & Semiconductor Equipment | 114,061,984 | |||||
|
| |||||
Software - 8.4% |
| |||||
37,279 | Adobe Inc.* | 18,810,238 | ||||
1,521 | Alteryx Inc., Class A Shares* | 118,288 | ||||
3,742 | Anaplan Inc.* | 192,750 | ||||
2,263 | ANSYS Inc.* | 764,758 | ||||
1,753 | Aspen Technology Inc.* | 239,232 | ||||
15,938 | Atlassian Corp. PLC, Class A Shares* | 3,718,017 | ||||
5,799 | Autodesk Inc.* | 1,657,702 | ||||
2,094 | Avalara Inc.* | 276,764 | ||||
1,891 | Bill.com Holdings Inc.*(a) | 281,608 | ||||
348 | C3.ai Inc., Class A Shares*(a) | 21,475 | ||||
7,283 | Cadence Design Systems Inc.* | 924,868 | ||||
3,518 | CDK Global Inc. | 184,132 | ||||
3,179 | Ceridian HCM Holding Inc.*(a) | 284,393 | ||||
3,255 | Citrix Systems Inc. | 374,195 | ||||
3,223 | Cloudflare Inc., Class A Shares* | 264,479 | ||||
1,880 | Coupa Software Inc.*(a) | 447,816 | ||||
4,091 | Crowdstrike Holdings Inc., Class A Shares* | 908,816 | ||||
4,026 | Datadog Inc., Class A Shares* | 366,567 | ||||
20,059 | DocuSign Inc., Class A Shares* | 4,044,296 | ||||
1,598 | Dolby Laboratories Inc., Class A Shares | 155,869 | ||||
6,184 | Dropbox Inc., Class A Shares* | 169,132 | ||||
1,889 | Duck Creek Technologies Inc.*(a) | 74,257 | ||||
4,749 | Dynatrace Inc.* | 245,713 | ||||
1,654 | Elastic NV* | 195,519 | ||||
1,028 | Everbridge Inc.* | 120,790 | ||||
739 | Fair Isaac Corp.* | 373,978 | ||||
5,842 | FireEye Inc.*(a) | 130,686 | ||||
1,605 | Five9 Inc.* | 284,246 | ||||
3,512 | Fortinet Inc.*(a) | 767,512 | ||||
2,103 | Guidewire Software Inc.* | 205,547 | ||||
1,093 | HubSpot Inc.* | 551,287 | ||||
18,462 | Intuit Inc. | 8,106,480 | ||||
721 | Jamf Holding Corp.* | 25,004 | ||||
460 | JFrog Ltd.*(a) | 19,205 | ||||
1,567 | Manhattan Associates Inc.* | 213,081 | ||||
1,105 | McAfee Corp., Class A Shares | 27,769 | ||||
2,389 | Medallia Inc.* | 61,326 | ||||
238,425 | Microsoft Corp. | 59,529,954 | ||||
1,158 | nCino Inc.* | 70,777 | ||||
1,533 | New Relic Inc.* | 96,088 | ||||
14,031 | NortonLifeLock Inc. | 388,097 | ||||
7,355 | Nuance Communications Inc.*(a) | 389,079 | ||||
48,092 | Nutanix Inc., Class A Shares*(a) | 1,515,379 | ||||
153,047 | Oracle Corp. | 12,050,921 | ||||
2,025 | PagerDuty Inc.* | 82,316 | ||||
15,638 | Palo Alto Networks Inc.* | 5,680,503 | ||||
1,306 | Paycom Software Inc.* | 430,458 | ||||
1,000 | Paylocity Holding Corp.* | 169,830 |
16
Schedules of Investments
(unaudited) (continued)
Large Cap Equity Fund
Shares/Units | Security | Value | ||||
INFORMATION TECHNOLOGY - 26.6% - (continued) |
| |||||
Software - 8.4% - (continued) |
| |||||
1,169 | Pegasystems Inc. | $ | 138,106 | |||
1,618 | Proofpoint Inc.* | 279,607 | ||||
2,755 | PTC Inc.* | 369,556 | ||||
16,572 | RingCentral Inc., Class A Shares* | 4,349,653 | ||||
68,367 | salesforce.com Inc.* | 16,278,183 | ||||
15,601 | ServiceNow Inc.* | 7,393,002 | ||||
13,047 | Slack Technologies Inc., Class A Shares* | 574,590 | ||||
2,835 | Smartsheet Inc., Class A Shares* | 167,492 | ||||
1,293 | SolarWinds Corp.* | 21,399 | ||||
50,961 | Splunk Inc.* | 6,176,473 | ||||
5,933 | SS&C Technologies Holdings Inc. | 438,271 | ||||
3,995 | Synopsys Inc.* | 1,016,088 | ||||
2,485 | Teradata Corp.*(a) | 118,957 | ||||
1,092 | Trade Desk Inc. (The), Class A Shares* | 642,249 | ||||
1,031 | Tyler Technologies Inc.* | 415,658 | ||||
13,710 | UiPath Inc., Class A Shares*(a) | 1,094,332 | ||||
797 | Unity Software Inc.* | 75,285 | ||||
18,101 | VMware Inc., Class A Shares*(a) | 2,857,967 | ||||
16,152 | Workday Inc., Class A Shares* | 3,694,285 | ||||
3,048 | Zendesk Inc.* | 416,540 | ||||
4,629 | Zoom Video Communications Inc., Class A Shares* | 1,534,652 | ||||
1,907 | Zscaler Inc.* | 370,339 | ||||
|
| |||||
Total Software | 174,433,881 | |||||
|
| |||||
Technology Hardware, Storage & Peripherals - 3.8% |
| |||||
489,908 | Apple Inc. | 61,047,436 | ||||
91,694 | Dell Technologies Inc., Class C Shares* | 9,044,696 | ||||
33,684 | Hewlett Packard Enterprise Co. | 537,597 | ||||
34,106 | HP Inc. | 996,918 | ||||
3,670 | NCR Corp.* | 176,894 | ||||
6,050 | NetApp Inc. | 468,088 | ||||
6,763 | Pure Storage Inc., Class A Shares* | 128,835 | ||||
87,246 | Western Digital Corp.* | 6,563,517 | ||||
4,044 | Xerox Holdings Corp. | 94,832 | ||||
|
| |||||
Total Technology Hardware, Storage & Peripherals | 79,058,813 | |||||
|
| |||||
TOTAL INFORMATION TECHNOLOGY | 552,495,442 | |||||
|
| |||||
MATERIALS - 2.9% |
| |||||
Chemicals - 1.5% |
| |||||
5,840 | Air Products & Chemicals Inc. | 1,750,014 | ||||
3,007 | Albemarle Corp. | 502,410 | ||||
1,389 | Ashland Global Holdings Inc.(a) | 131,733 | ||||
5,230 | Axalta Coating Systems Ltd.* | 169,661 | ||||
1,624 | Cabot Corp. | 103,254 | ||||
3,004 | Celanese Corp., Class A Shares | 497,012 | ||||
5,871 | CF Industries Holdings Inc. | 312,161 | ||||
4,838 | Chemours Co. (The) | 173,829 | ||||
19,817 | Corteva Inc. | 901,673 | ||||
19,616 | Dow Inc. | 1,342,127 | ||||
113,086 | DuPont de Nemours Inc. | 9,565,945 | ||||
3,525 | Eastman Chemical Co. | 442,035 | ||||
18,747 | Ecolab Inc. | 4,032,105 | ||||
5,028 | Element Solutions Inc. | 117,605 | ||||
3,348 | FMC Corp. | 390,678 | ||||
5,644 | Huntsman Corp. | 160,177 | ||||
6,579 | International Flavors & Fragrances Inc. | 932,047 | ||||
13,896 | Linde PLC | 4,177,138 | ||||
6,712 | LyondellBasell Industries NV, Class A Shares | 755,905 | ||||
8,986 | Mosaic Co. (The) | 324,754 | ||||
206 | NewMarket Corp. | 70,705 | ||||
3,734 | Olin Corp. | 182,555 | ||||
6,232 | PPG Industries Inc. | 1,120,015 |
17
Schedules of Investments
(unaudited) (continued)
Large Cap Equity Fund
Shares/Units | Security | Value | ||||
MATERIALS - 2.9% - (continued) |
| |||||
Chemicals - 1.5% - (continued) |
| |||||
3,358 | RPM International Inc. | $ | 314,074 | |||
1,063 | Scotts Miracle-Gro Co. (The) | 231,064 | ||||
6,536 | Sherwin-Williams Co. (The) | 1,853,152 | ||||
5,261 | Valvoline Inc. | 173,613 | ||||
687 | Westlake Chemical Corp. | 69,298 | ||||
1,628 | WR Grace & Co. | 111,551 | ||||
|
| |||||
Total Chemicals | 30,908,290 | |||||
|
| |||||
Construction Materials - 0.4% |
| |||||
986 | Eagle Materials Inc.* | 144,705 | ||||
1,641 | Martin Marietta Materials Inc. | 596,750 | ||||
40,102 | Vulcan Materials Co. | 7,351,499 | ||||
|
| |||||
Total Construction Materials | 8,092,954 | |||||
|
| |||||
Containers & Packaging - 0.8% |
| |||||
41,944 | Amcor PLC | 494,939 | ||||
1,641 | AptarGroup Inc. | 241,736 | ||||
532 | Ardagh Group SA, Class A Shares | 13,146 | ||||
2,198 | Avery Dennison Corp. | 484,725 | ||||
8,394 | Ball Corp. | 689,651 | ||||
69,496 | Berry Global Group Inc.* | 4,740,322 | ||||
55,805 | Crown Holdings Inc. | 5,761,308 | ||||
8,029 | Graphic Packaging Holding Co. | 141,953 | ||||
10,385 | International Paper Co. | 655,293 | ||||
74,112 | O-I Glass Inc.* | 1,365,884 | ||||
2,399 | Packaging Corp. of America | 356,611 | ||||
4,081 | Sealed Air Corp. | 232,046 | ||||
2,255 | Silgan Holdings Inc. | 95,003 | ||||
2,530 | Sonoco Products Co. | 170,826 | ||||
6,829 | WestRock Co. | 398,267 | ||||
|
| |||||
Total Containers & Packaging | 15,841,710 | |||||
|
| |||||
Metals & Mining - 0.2% |
| |||||
38,302 | Freeport-McMoRan Inc. | 1,636,262 | ||||
21,230 | Newmont Corp. | 1,559,980 | ||||
7,958 | Nucor Corp. | 816,013 | ||||
1,729 | Reliance Steel & Aluminum Co. | 290,593 | ||||
1,616 | Royal Gold Inc. | 200,012 | ||||
1,970 | Southern Copper Corp.(a) | 137,388 | ||||
5,185 | Steel Dynamics Inc. | 323,700 | ||||
|
| |||||
Total Metals & Mining | 4,963,948 | |||||
|
| |||||
TOTAL MATERIALS | 59,806,902 | |||||
|
| |||||
REAL ESTATE - 3.0% |
| |||||
Equity Real Estate Investment Trusts (REITs) - 3.0% |
| |||||
3,583 | Alexandria Real Estate Equities Inc. | 638,706 | ||||
3,920 | American Campus Communities Inc. | 184,867 | ||||
7,498 | American Homes 4 Rent, Class A Shares | 285,449 | ||||
11,670 | American Tower Corp. | 2,981,218 | ||||
6,551 | Americold Realty Trust | 249,069 | ||||
4,211 | Apartment Income REIT Corp. | 196,148 | ||||
4,211 | Apartment Investment & Management Co., Class A Shares | 29,688 | ||||
6,154 | Apple Hospitality REIT Inc. | 97,664 | ||||
3,663 | AvalonBay Communities Inc. | 758,021 | ||||
4,108 | Boston Properties Inc. | 482,936 | ||||
4,963 | Brandywine Realty Trust | 69,780 | ||||
8,429 | Brixmor Property Group Inc. | 191,423 | ||||
1,594 | Brookfield Property REIT Inc., Class A Shares | 29,872 | ||||
2,322 | Camden Property Trust | 291,132 | ||||
1,145 | CoreSite Realty Corp. | 138,831 | ||||
3,225 | Corporate Office Properties Trust | 89,010 | ||||
3,524 | Cousins Properties Inc. | 130,705 | ||||
50,895 | Crown Castle International Corp. | 9,644,603 | ||||
4,800 | CubeSmart | 210,192 |
18
Schedules of Investments
(unaudited) (continued)
Large Cap Equity Fund
Shares/Units | Security | Value | ||||
REAL ESTATE - 3.0% - (continued) |
| |||||
Equity Real Estate Investment Trusts (REITs) - 3.0% - (continued) |
| |||||
2,983 | CyrusOne Inc. | $ | 219,996 | |||
7,378 | Digital Realty Trust Inc. | 1,118,210 | ||||
4,687 | Douglas Emmett Inc. | 162,733 | ||||
9,612 | Duke Realty Corp. | 446,574 | ||||
4,296 | Empire State Realty Trust Inc., Class A Shares | 50,822 | ||||
2,164 | EPR Properties* | 106,361 | ||||
6,619 | Equinix Inc. | 4,876,350 | ||||
2,452 | Equity Commonwealth | 67,283 | ||||
4,552 | Equity LifeStyle Properties Inc. | 322,555 | ||||
119,927 | Equity Residential | 9,288,346 | ||||
1,722 | Essex Property Trust Inc. | 508,489 | ||||
3,306 | Extra Space Storage Inc. | 495,272 | ||||
1,863 | Federal Realty Investment Trust | 213,015 | ||||
3,495 | First Industrial Realty Trust Inc. | 176,987 | ||||
6,025 | Gaming and Leisure Properties Inc. | 279,319 | ||||
5,194 | Healthcare Trust of America Inc., Class A Shares | 142,368 | ||||
14,215 | Healthpeak Properties Inc. | 474,497 | ||||
3,096 | Highwoods Properties Inc. | 141,425 | ||||
18,055 | Host Hotels & Resorts Inc.* | 310,004 | ||||
3,473 | Hudson Pacific Properties Inc. | 100,682 | ||||
14,954 | Invitation Homes Inc. | 542,382 | ||||
7,439 | Iron Mountain Inc. | 323,894 | ||||
2,780 | JBG SMITH Properties | 89,544 | ||||
3,269 | Kilroy Realty Corp. | 229,516 | ||||
11,571 | Kimco Realty Corp. | 246,578 | ||||
2,164 | Lamar Advertising Co., Class A Shares | 226,830 | ||||
2,020 | Life Storage Inc. | 200,869 | ||||
15,023 | Medical Properties Trust Inc. | 318,037 | ||||
2,986 | Mid-America Apartment Communities Inc. | 479,850 | ||||
4,269 | National Retail Properties Inc. | 197,868 | ||||
6,439 | Omega Healthcare Investors Inc. | 235,796 | ||||
4,270 | Outfront Media Inc.* | 102,224 | ||||
5,736 | Paramount Group Inc. | 62,981 | ||||
6,794 | Park Hotels & Resorts Inc.* | 141,247 | ||||
19,469 | Prologis Inc. | 2,294,227 | ||||
42,039 | Public Storage | 11,875,177 | ||||
3,046 | Rayonier Inc. | 116,327 | ||||
9,940 | Realty Income Corp. | 679,896 | ||||
4,305 | Regency Centers Corp. | 278,103 | ||||
3,653 | Rexford Industrial Realty Inc. | 201,755 | ||||
2,921 | SBA Communications Corp., Class A Shares | 870,809 | ||||
8,639 | Simon Property Group Inc. | 1,110,025 | ||||
1,970 | SL Green Realty Corp. | 156,063 | ||||
3,020 | Spirit Realty Capital Inc. | 142,725 | ||||
6,651 | STORE Capital Corp. | 228,794 | ||||
2,794 | Sun Communities Inc. | 467,771 | ||||
7,735 | UDR Inc. | 368,418 | ||||
10,120 | Ventas Inc. | 561,154 | ||||
5,775 | VEREIT Inc. | 274,717 | ||||
14,169 | VICI Properties Inc. | 441,081 | ||||
4,323 | Vornado Realty Trust | 204,391 | ||||
2,692 | Weingarten Realty Investors | 88,217 | ||||
11,046 | Welltower Inc. | 825,909 | ||||
19,731 | Weyerhaeuser Co. | 748,989 | ||||
4,340 | WP Carey Inc. | 327,453 | ||||
|
| |||||
Total Equity Real Estate Investment Trusts (REITs) | 61,860,219 | |||||
|
| |||||
Real Estate Management & Development - 0.0% |
| |||||
8,677 | CBRE Group Inc., Class A Shares* | 761,667 | ||||
1,168 | Howard Hughes Corp. (The)* | 123,609 | ||||
1,315 | Jones Lang LaSalle Inc.* | 265,959 | ||||
|
| |||||
Total Real Estate Management & Development | 1,151,235 | |||||
|
| |||||
TOTAL REAL ESTATE | 63,011,454 | |||||
|
|
19
Schedules of Investments
(unaudited) (continued)
Large Cap Equity Fund
Shares/Units | Security | Value | ||||
UTILITIES - 1.7% |
| |||||
Electric Utilities - 1.3% |
| |||||
6,596 | Alliant Energy Corp. | $ | 376,961 | |||
13,128 | American Electric Power Co., Inc. | 1,129,008 | ||||
1,630 | Avangrid Inc. | 85,868 | ||||
19,430 | Duke Energy Corp. | 1,947,275 | ||||
139,491 | Edison International | 7,793,362 | ||||
5,306 | Entergy Corp. | 558,510 | ||||
5,978 | Evergy Inc. | 370,576 | ||||
9,046 | Eversource Energy | 734,445 | ||||
25,736 | Exelon Corp. | 1,161,208 | ||||
14,317 | FirstEnergy Corp. | 542,757 | ||||
3,042 | Hawaiian Electric Industries Inc. | 130,958 | ||||
1,429 | IDACORP Inc. | 139,971 | ||||
51,789 | NextEra Energy Inc. | 3,791,991 | ||||
106,734 | NRG Energy Inc. | 3,431,498 | ||||
4,819 | OGE Energy Corp. | 166,256 | ||||
33,982 | PG&E Corp.* | 344,577 | ||||
2,875 | Pinnacle West Capital Corp. | 243,168 | ||||
20,356 | PPL Corp. | 592,563 | ||||
27,933 | Southern Co. (The) | 1,785,477 | ||||
13,886 | Xcel Energy Inc. | 984,240 | ||||
|
| |||||
Total Electric Utilities | 26,310,669 | |||||
|
| |||||
Gas Utilities - 0.0% |
| |||||
3,419 | Atmos Energy Corp. | 339,062 | ||||
2,437 | National Fuel Gas Co. | 126,456 | ||||
5,280 | UGI Corp. | 243,144 | ||||
|
| |||||
Total Gas Utilities | 708,662 | |||||
|
| |||||
Independent Power & Renewable Electricity Producers - 0.0% |
| |||||
17,459 | AES Corp. (The) | 443,633 | ||||
12,544 | Vistra Corp. | 202,837 | ||||
|
| |||||
Total Independent Power & Renewable Electricity Producers | 646,470 | |||||
|
| |||||
Multi-Utilities - 0.4% |
| |||||
6,504 | Ameren Corp.(a) | 547,637 | ||||
13,229 | CenterPoint Energy Inc. | 334,694 | ||||
7,774 | CMS Energy Corp. | 487,741 | ||||
8,953 | Consolidated Edison Inc. | 691,530 | ||||
21,559 | Dominion Energy Inc. | 1,641,502 | ||||
5,074 | DTE Energy Co. | 700,161 | ||||
5,142 | MDU Resources Group Inc. | 173,080 | ||||
10,108 | NiSource Inc. | 257,754 | ||||
13,348 | Public Service Enterprise Group Inc. | 829,178 | ||||
7,660 | Sempra Energy | 1,037,853 | ||||
8,295 | WEC Energy Group Inc. | 778,983 | ||||
|
| |||||
Total Multi-Utilities | 7,480,113 | |||||
|
| |||||
Water Utilities - 0.0% |
| |||||
4,787 | American Water Works Co., Inc. | 742,081 | ||||
5,679 | Essential Utilities Inc. | 271,456 | ||||
|
| |||||
Total Water Utilities | 1,013,537 | |||||
|
| |||||
TOTAL UTILITIES | 36,159,451 | |||||
|
| |||||
TOTAL COMMON STOCKS (Cost - $987,027,270) | 2,015,081,411 | |||||
|
| |||||
CLOSED END MUTUAL FUND SECURITY - 1.0% |
| |||||
FINANCIALS - 1.0% |
| |||||
Capital Markets - 1.0% |
| |||||
278,711 | iShares® Core S&P U.S. Value ETF, Common Class Shares(a) (Cost - $15,841,906) | 20,410,007 | ||||
|
| |||||
TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS (Cost - $1,002,869,176) | 2,035,491,418 | |||||
|
|
20
Schedules of Investments
(unaudited) (continued)
Large Cap Equity Fund
Face Amount | Security | Value | ||||||
SHORT-TERM INVESTMENTS (c) - 3.7% |
| |||||||
MONEY MARKET FUND - 1.9% |
| |||||||
$ 38,374,784 | Invesco STIT - Government & Agency Portfolio, 0.030%, Institutional Class(d) (Cost - $38,374,784) | $ | 38,374,784 | |||||
|
| |||||||
TIME DEPOSITS - 1.8% |
| |||||||
13,834,359 | ANZ National Bank - London, 0.005% due 6/1/21 | 13,834,359 | ||||||
29,804 | CAD | BBH - Grand Cayman, 0.010% due 5/31/21 | 24,682 | |||||
8,742,021 | BNP Paribas - Paris, 0.005% due 6/1/21 | 8,742,021 | ||||||
15,425,632 | Skandinaviska Enskilda Banken AB - Stockholm, 0.005% due 6/1/21 | 15,425,632 | ||||||
|
| |||||||
TOTAL TIME DEPOSITS (Cost - $38,026,694) | 38,026,694 | |||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost - $76,401,478) | 76,401,478 | |||||||
|
| |||||||
TOTAL INVESTMENTS - 101.7% (Cost - $1,079,270,654) | 2,111,892,896 | |||||||
|
| |||||||
Liabilities in Excess of Other Assets - (1.7)% | (35,030,852 | ) | ||||||
|
| |||||||
TOTAL NET ASSETS - 100.0% | $ | 2,076,862,044 | ||||||
|
|
@ | May 28, 2021 represents the last business day of the Funds quarterly period. |
| Amount denominated in U.S. dollars, unless otherwise noted. |
* | Non-income producing security. |
(a) | All or a portion of this security is on loan (See Note 1). |
(b) | Affiliated security. As of May 28, 2021, total cost and total market value of affiliated securities amounted to $877,052 and $3,361,967, respectively. |
Underlying Security | Beginning Value as of August 31, 2020 | Purchases at Cost | Proceeds from Sales | Net Realized Gain on Sales | Change in Unrealized Appreciation | Dividend/Interest Income | Ending Value as of May 28, 2021 | |||||||||||||||||||||
Morgan Stanley | $ | 1,721,653 | $ | 224,424 | $ | (260,713 | ) | $ | 117,447 | $ | 1,559,156 | $ | 39,780 | $ | 3,361,967 |
(c) | Inclusive of all short-term holdings, including investments of collateral received from securities lending transactions. Excluding such collateral, the percentage of portfolio holdings would be 1.8%. |
(d) | Represents investments of collateral received from securities lending transactions. |
At May 28, 2021, 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 | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation | ||||||||||||
Large Cap Equity Fund | $ | 1,079,270,654 | $ | 1,053,623,848 | $ | (20,209,532 | ) | $ | 1,033,414,316 |
Abbreviations used in this schedule:
ADR | | American Depositary Receipts | ||
PLC | | Public Limited Company | ||
REIT | | Real Estate Investment Trust |
Summary of Investments by Security Sector^ | ||||
Information Technology | 26.7 | % | ||
Health Care | 14.1 | |||
Consumer Discretionary | 12.6 | |||
Financials | 11.2 | |||
Industrials | 10.2 | |||
Communication Services | 9.3 | |||
Consumer Staples | 4.6 | |||
Real Estate | 3.0 | |||
Materials | 2.9 | |||
Energy | 1.9 | |||
Utilities | 1.7 | |||
Short-Term Investments | 1.8 | |||
|
| |||
100.0 | %+ | |||
|
|
^ | As a percentage of total investments. |
+ | Does not reflect investments of collateral received from securities lending transactions. |
21
Schedules of Investments
(unaudited) (continued)
Large Cap Equity Fund
At May 28, 2021, Large Cap Equity Fund had open exchange-traded futures contracts as described below.
The unrealized appreciation on the open contracts were as follows:
Open Futures Contracts | Number of Contracts | Expiration Date (Month/Year) | Notional Amount | Market Value | Unrealized Appreciation | |||||||||||||||
Contracts to Buy: | ||||||||||||||||||||
S&P 500 E-mini Index June Futures. | 68 | 6/21 | $ | 13,526,569 | $ | 14,288,500 | $ | 761,931 | ||||||||||||
S&P MidCap 400 E-mini Index June Futures | 4 | 6/21 | 1,060,537 | 1,090,680 | 30,143 | |||||||||||||||
|
| |||||||||||||||||||
$ | 792,074 | |||||||||||||||||||
|
|
At May 28, 2021, Large Cap Equity Fund had deposited cash of $805,984 with a broker or brokers as margin collateral on an open exchange-traded futures contracts.
Currency Abbreviation used in this schedule:
CAD | | Canadian Dollar |
22
Schedules of Investments
May 28, 2021@
(unaudited) (continued)
Small-Mid Cap Equity Fund
Shares/Units | Security | Value | ||||
COMMON STOCKS - 95.0% |
| |||||
COMMUNICATION SERVICES - 2.3% |
| |||||
Diversified Telecommunication Services - 0.1% |
| |||||
2,933 | Alaska Communications Systems Group Inc.* | $ | 9,738 | |||
591 | Anterix Inc.* | 29,231 | ||||
595 | ATN International Inc. | 28,126 | ||||
950 | Bandwidth Inc., Class A Shares* | 112,375 | ||||
1,942 | Cincinnati Bell Inc.* | 29,907 | ||||
2,116 | Cogent Communications Holdings Inc. | 159,970 | ||||
4,038 | Consolidated Communications Holdings Inc.* | 37,796 | ||||
991 | IDT Corp., Class B Shares* | 28,600 | ||||
5,593 | Iridium Communications Inc.* | 213,709 | ||||
1,068 | Liberty Latin America Ltd., Class A Shares* | 15,240 | ||||
8,167 | Liberty Latin America Ltd., Class C Shares* | 117,441 | ||||
1,271 | Ooma Inc.* | 24,670 | ||||
2,923 | ORBCOMM Inc.* | 32,708 | ||||
|
| |||||
Total Diversified Telecommunication Services | 839,511 | |||||
|
| |||||
Entertainment - 0.6% |
| |||||
17,843 | AMC Entertainment Holdings Inc., Class A Shares*(a) | 466,059 | ||||
4,675 | Cinemark Holdings Inc.*(a) | 105,936 | ||||
7,782 | Eros STX Global Corp.* | 9,338 | ||||
276 | Gaia Inc., Class A Shares* | 3,204 | ||||
1,952 | IMAX Corp.* | 42,183 | ||||
594 | Liberty Media Corp-Liberty Braves, Class A Shares* | 16,585 | ||||
2,091 | Liberty Media Corp-Liberty Braves, Class C Shares* | 57,189 | ||||
1,079 | Liberty Media Corp-Liberty Formula One, Class A Shares* | 43,203 | ||||
9,377 | Liberty Media Corp-Liberty Formula One, Class C Shares*(a) | 418,683 | ||||
3,046 | Lions Gate Entertainment Corp., Class A Shares* | 59,336 | ||||
5,022 | Lions Gate Entertainment Corp., Class B Shares* | 87,282 | ||||
931 | LiveXLive Media Inc.* | 4,599 | ||||
960 | Madison Square Garden Entertainment Corp.* | 85,661 | ||||
3,436 | Madison Square Garden Sports Corp., Class A Shares* | 635,798 | ||||
1,226 | Marcus Corp. (The)* | 25,881 | ||||
13,060 | World Wrestling Entertainment Inc., Class A Shares(a) | 729,270 | ||||
169,545 | Zynga Inc., Class A Shares* | 1,837,868 | ||||
|
| |||||
Total Entertainment | 4,628,075 | |||||
|
| |||||
Interactive Media & Services - 0.3% |
| |||||
4,205 | Cargurus Inc., Class A Shares* | 118,665 | ||||
2,511 | Cars.com Inc.* | 36,686 | ||||
2,121 | DHI Group Inc.* | 6,787 | ||||
2,915 | Eventbrite Inc., Class A Shares*(a) | 59,175 | ||||
774 | EverQuote Inc., Class A Shares* | 24,404 | ||||
3,362 | Liberty TripAdvisor Holdings Inc., Class A Shares* | 16,003 | ||||
498 | MediaAlpha Inc., Class A Shares* | 21,076 | ||||
1,891 | QuinStreet Inc.* | 34,246 | ||||
4,754 | TripAdvisor Inc.* | 206,561 | ||||
5,080 | TrueCar Inc.* | 30,023 | ||||
3,528 | Yelp Inc., Class A Shares* | 141,508 | ||||
2,831 | Zillow Group Inc., Class A Shares* | 334,879 | ||||
6,879 | Zillow Group Inc., Class C Shares*(a) | 807,044 | ||||
|
| |||||
Total Interactive Media & Services | 1,837,057 | |||||
|
| |||||
Media - 1.2% |
| |||||
1,444 | AMC Networks Inc., Class A Shares*(a) | 77,514 | ||||
700 | Boston Omaha Corp., Class A Shares* | 21,462 | ||||
1,517 | Cable One Inc. | 2,754,204 | ||||
1,405 | Cardlytics Inc.* | 149,703 | ||||
3,423 | comScore Inc.* | 13,692 | ||||
69,549 | Criteo SA, ADR* | 2,590,005 |
23
Schedules of Investments
(unaudited) (continued)
Small-Mid Cap Equity Fund
Shares/Units | Security | Value | ||||
COMMUNICATION SERVICES - 2.3% - (continued) |
| |||||
Media - 1.2% - (continued) |
| |||||
62 | Daily Journal Corp.* | $ | 19,809 | |||
930 | Emerald Holding Inc.* | 5,254 | ||||
6,016 | Entercom Communications Corp., Class A Shares* | 26,170 | ||||
2,331 | Entravision Communications Corp., Class A Shares | 10,886 | ||||
3,017 | EW Scripps Co. (The), Class A Shares(a) | 63,990 | ||||
2,051 | Fluent Inc.* | 5,927 | ||||
7,491 | Gannett Co., Inc.* | 38,429 | ||||
4,483 | Gray Television Inc. | 104,275 | ||||
634 | Hemisphere Media Group Inc., Class A Shares* | 7,843 | ||||
3,322 | iHeartMedia Inc., Class A Shares* | 77,104 | ||||
18,416 | Interpublic Group of Cos., Inc. (The) | 620,435 | ||||
1,963 | John Wiley & Sons Inc., Class A Shares(a) | 124,415 | ||||
764 | Loral Space & Communications Inc. | 28,917 | ||||
5,147 | Magnite Inc.*(a) | 152,866 | ||||
1,905 | Meredith Corp.* | 64,160 | ||||
1,272 | MSG Networks Inc., Class A Shares* | 19,614 | ||||
1,390 | National CineMedia Inc. | 6,728 | ||||
7,749 | New York Times Co. (The), Class A Shares | 331,812 | ||||
18,606 | News Corp., Class A Shares | 502,176 | ||||
5,600 | News Corp., Class B Shares | 143,864 | ||||
2,021 | Nexstar Media Group Inc., Class A Shares | 307,010 | ||||
152 | Saga Communications Inc., Class A Shares* | 3,589 | ||||
1,571 | Scholastic Corp. | 52,911 | ||||
2,329 | Sinclair Broadcast Group Inc., Class A Shares(a) | 78,464 | ||||
1,034 | TechTarget Inc.* | 72,700 | ||||
10,315 | TEGNA Inc. | 200,008 | ||||
2,901 | WideOpenWest Inc.* | 48,360 | ||||
|
| |||||
Total Media | 8,724,296 | |||||
|
| |||||
Wireless Telecommunication Services - 0.1% |
| |||||
1,404 | Boingo Wireless Inc.* | 19,628 | ||||
2,907 | Gogo Inc.*(a) | 39,593 | ||||
2,388 | Shenandoah Telecommunications Co. | 119,137 | ||||
801 | Spok Holdings Inc. | 9,348 | ||||
5,208 | Telephone & Data Systems Inc. | 133,950 | ||||
846 | United States Cellular Corp.* | 31,936 | ||||
|
| |||||
Total Wireless Telecommunication Services | 353,592 | |||||
|
| |||||
TOTAL COMMUNICATION SERVICES | 16,382,531 | |||||
|
| |||||
CONSUMER DISCRETIONARY - 9.2% |
| |||||
Auto Components - 0.5% |
| |||||
4,433 | Adient PLC* | 221,916 | ||||
4,554 | American Axle & Manufacturing Holdings Inc.* | 51,005 | ||||
11,634 | BorgWarner Inc. | 596,708 | ||||
2,401 | Cooper Tire & Rubber Co. | 142,571 | ||||
800 | Cooper-Standard Holdings Inc.* | 23,808 | ||||
6,693 | Dana Inc. | 181,581 | ||||
1,180 | Dorman Products Inc.* | 120,808 | ||||
1,959 | Fox Factory Holding Corp.* | 304,585 | ||||
11,645 | Gentex Corp.(a) | 413,398 | ||||
1,590 | Gentherm Inc.* | 115,323 | ||||
11,482 | Goodyear Tire & Rubber Co. (The)* | 227,688 | ||||
1,263 | LCI Industries | 188,250 | ||||
2,853 | Lear Corp. | 551,656 | ||||
2,230 | Modine Manufacturing Co.* | 39,226 | ||||
1,072 | Motorcar Parts of America Inc.* | 25,053 | ||||
979 | Patrick Industries Inc. | 83,900 | ||||
889 | Standard Motor Products Inc. | 40,023 | ||||
1,385 | Stoneridge Inc.* | 42,159 | ||||
2,911 | Tenneco Inc., Class A Shares* | 45,644 | ||||
1,278 | Visteon Corp.*(a) | 156,504 | ||||
912 | XPEL Inc.* | 74,784 | ||||
|
| |||||
Total Auto Components | 3,646,590 | |||||
|
|
24
Schedules of Investments
(unaudited) (continued)
Small-Mid Cap Equity Fund
Shares/Units | Security | Value | ||||
CONSUMER DISCRETIONARY - 9.2% - (continued) |
| |||||
Automobiles - 0.1% |
| |||||
7,264 | Harley-Davidson Inc. | $ | 352,086 | |||
2,536 | Thor Industries Inc. | 311,928 | ||||
1,437 | Winnebago Industries Inc. | 106,280 | ||||
3,953 | Workhorse Group Inc.*(a) | 37,040 | ||||
|
| |||||
Total Automobiles | 807,334 | |||||
|
| |||||
Distributors - 0.1% |
| |||||
2,147 | Core-Mark Holding Co., Inc. | 98,461 | ||||
878 | Funko Inc., Class A Shares* | 23,048 | ||||
421 | Greenlane Holdings Inc., Class A Shares*(a) | 1,633 | ||||
1,852 | Pool Corp. | 808,491 | ||||
241 | Weyco Group Inc. | 4,960 | ||||
|
| |||||
Total Distributors | 936,593 | |||||
|
| |||||
Diversified Consumer Services - 0.7% |
| |||||
16,623 | 2U Inc.*(a) | 605,410 | ||||
2,185 | Adtalem Global Education Inc.* | 79,490 | ||||
838 | American Public Education Inc.* | 23,464 | ||||
1,014 | Aspen Group Inc.* | 5,901 | ||||
15,068 | Bright Horizons Family Solutions Inc.* | 2,082,850 | ||||
928 | Carriage Services Inc., Class A Shares | 35,598 | ||||
6,209 | Chegg Inc.* | 477,534 | ||||
4,255 | frontdoor Inc.* | 228,494 | ||||
179 | Graham Holdings Co., Class B Shares | 118,595 | ||||
2,204 | Grand Canyon Education Inc.*(a) | 200,432 | ||||
8,645 | H&R Block Inc. | 214,569 | ||||
5,527 | Houghton Mifflin Harcourt Co.* | 54,938 | ||||
4,656 | Laureate Education Inc., Class A Shares* | 68,024 | ||||
1,806 | OneSpaWorld Holdings Ltd.* | 20,245 | ||||
3,809 | Perdoceo Education Corp.* | 46,432 | ||||
1,186 | Regis Corp.* | 10,840 | ||||
8,006 | Service Corp. International(a) | 424,478 | ||||
1,153 | Strategic Education Inc.(a) | 81,679 | ||||
1,738 | Stride Inc.* | 46,717 | ||||
6,278 | Terminix Global Holdings Inc.* | 309,757 | ||||
1,566 | Universal Technical Institute Inc.* | 9,474 | ||||
4,255 | Vivint Smart Home Inc.* | 59,187 | ||||
2,394 | WW International Inc.* | 94,084 | ||||
|
| |||||
Total Diversified Consumer Services | 5,298,192 | |||||
|
| |||||
Hotels, Restaurants & Leisure - 2.0% |
| |||||
2,216 | Accel Entertainment Inc., Class A Shares* | 29,074 | ||||
10,759 | Aramark | 401,849 | ||||
903 | Ballys Corp.* | 52,401 | ||||
3 | Biglari Holdings Inc., Class A Shares* | 2,459 | ||||
43 | Biglari Holdings Inc., Class B Shares* | 6,887 | ||||
1,137 | BJs Restaurants Inc.*(a) | 62,853 | ||||
4,233 | Bloomin Brands Inc.* | 125,085 | ||||
628 | Bluegreen Vacations Holding Corp., Class A Shares* | 13,182 | ||||
3,816 | Boyd Gaming Corp.* | 245,712 | ||||
2,111 | Brinker International Inc.*(a) | 129,721 | ||||
8,531 | Caesars Entertainment Inc.* | 916,656 | ||||
2,267 | Carrols Restaurant Group Inc.* | 13,398 | ||||
1,124 | Century Casinos Inc.* | 15,725 | ||||
20,476 | Cheesecake Factory Inc. (The)* | 1,204,398 | ||||
1,647 | Choice Hotels International Inc.* | 199,139 | ||||
8,290 | Churchill Downs Inc. | 1,654,104 | ||||
783 | Chuys Holdings Inc.* | 32,455 | ||||
1,105 | Cracker Barrel Old Country Store Inc. | 174,281 | ||||
1,879 | Dave & Busters Entertainment Inc.* | 79,444 | ||||
1,875 | Del Taco Restaurants Inc. | 19,050 |
25
Schedules of Investments
(unaudited) (continued)
Small-Mid Cap Equity Fund
Shares/Units | Security | Value | ||||
CONSUMER DISCRETIONARY - 9.2% - (continued) |
| |||||
Hotels, Restaurants & Leisure - 2.0% - (continued) |
| |||||
2,847 | Dennys Corp.* | $ | 50,050 | |||
1,898 | Diamond Resorts International Inc.*# | | ||||
709 | Dine Brands Global Inc.* | 67,320 | ||||
1,056 | El Pollo Loco Holdings Inc.* | 17,804 | ||||
4,367 | Everi Holdings Inc.* | 90,528 | ||||
8,352 | Extended Stay America Inc. | 164,618 | ||||
893 | Fiesta Restaurant Group Inc.* | 12,136 | ||||
1,592 | GAN Ltd.* | 27,542 | ||||
881 | Golden Entertainment Inc.* | 37,566 | ||||
3,841 | Hilton Grand Vacations Inc.* | 175,649 | ||||
1,841 | Hyatt Hotels Corp., Class A Shares* | 143,745 | ||||
77,294 | International Game Technology PLC* | 1,875,152 | ||||
1,121 | Jack in the Box Inc. | 127,346 | ||||
296 | Kura Sushi USA Inc., Class A Shares* | 12,722 | ||||
1,459 | Lindblad Expeditions Holdings Inc.* | 24,832 | ||||
1,920 | Marriott Vacations Worldwide Corp.* | 330,797 | ||||
697 | Monarch Casino & Resort Inc.* | 49,738 | ||||
185 | Nathans Famous Inc. | 11,945 | ||||
232 | NEOGAMES SA* | 14,871 | ||||
2,016 | Noodles & Co., Class A Shares* | 25,966 | ||||
17,278 | Norwegian Cruise Line Holdings Ltd.*(a) | 551,168 | ||||
1,506 | Papa Johns International Inc.(a) | 141,489 | ||||
7,383 | Penn National Gaming Inc.*(a) | 605,184 | ||||
3,912 | Planet Fitness Inc., Class A Shares* | 308,148 | ||||
118,940 | Playa Hotels & Resorts NV* | 869,451 | ||||
1,121 | PlayAGS Inc.* | 11,412 | ||||
426 | RCI Hospitality Holdings Inc. | 33,015 | ||||
767 | Red Robin Gourmet Burgers Inc.* | 27,505 | ||||
3,393 | Red Rock Resorts Inc., Class A Shares*(a) | 151,837 | ||||
1,747 | Ruths Hospitality Group Inc.* | 42,173 | ||||
2,690 | Scientific Games Corp., Class A Shares* | 195,133 | ||||
13,758 | SeaWorld Entertainment Inc.* | 748,848 | ||||
1,732 | Shake Shack Inc., Class A Shares*(a) | 162,773 | ||||
3,605 | Six Flags Entertainment Corp.* | 163,775 | ||||
1,394 | Target Hospitality Corp.* | 5,367 | ||||
3,091 | Texas Roadhouse Inc., Class A Shares | 311,295 | ||||
3,993 | Travel + Leisure Co. | 260,144 | ||||
1,913 | Vail Resorts Inc.*(a) | 625,321 | ||||
8,321 | Wendys Co. (The) | 193,214 | ||||
1,389 | Wingstop Inc.(a) | 198,182 | ||||
4,360 | Wyndham Hotels & Resorts Inc. | 327,262 | ||||
|
| |||||
Total Hotels, Restaurants & Leisure | 14,570,896 | |||||
|
| |||||
Household Durables - 1.5% |
| |||||
1,540 | Beazer Homes USA Inc.* | 36,667 | ||||
1,304 | Casper Sleep Inc.* | 11,906 | ||||
451 | Cavco Industries Inc.* | 99,793 | ||||
1,319 | Century Communities Inc.* | 107,340 | ||||
1,148 | Ethan Allen Interiors Inc. | 33,143 | ||||
6,222 | GoPro Inc., Class A Shares* | 69,811 | ||||
1,313 | Green Brick Partners Inc.* | 30,645 | ||||
302 | Hamilton Beach Brands Holding Co., Class A Shares | 7,610 | ||||
1,162 | Helen of Troy Ltd.* | 244,578 | ||||
681 | Hooker Furniture Corp. | 24,414 | ||||
1,062 | Installed Building Products Inc. | 125,953 | ||||
1,272 | iRobot Corp.* | 124,274 | ||||
4,365 | KB Home(a) | 204,326 | ||||
2,174 | La-Z-Boy Inc.(a) | 89,634 | ||||
368 | Legacy Housing Corp.* | 7,007 | ||||
6,286 | Leggett & Platt Inc. | 345,919 | ||||
1,051 | LGI Homes Inc.* | 190,031 |
26
Schedules of Investments
(unaudited) (continued)
Small-Mid Cap Equity Fund
Shares/Units | Security | Value | ||||
CONSUMER DISCRETIONARY - 9.2% - (continued) |
| |||||
Household Durables - 1.5% - (continued) |
| |||||
500 | Lifetime Brands Inc. | $ | 7,500 | |||
489 | Lovesac Co. (The)* | 40,597 | ||||
1,210 | M/I Homes Inc.* | 85,329 | ||||
2,608 | MDC Holdings Inc. | 151,134 | ||||
1,720 | Meritage Homes Corp.* | 185,192 | ||||
2,774 | Mohawk Industries Inc.* | 584,426 | ||||
50,500 | Newell Brands Inc. | 1,448,845 | ||||
161 | NVR Inc.* | 786,844 | ||||
12,866 | PulteGroup Inc. | 743,526 | ||||
1,630 | Purple Innovation Inc., Class A Shares* | 46,488 | ||||
2,688 | Skyline Champion Corp.* | 136,147 | ||||
5,702 | Sonos Inc.* | 210,974 | ||||
5,839 | Taylor Morrison Home Corp., Class A Shares* | 172,951 | ||||
40,371 | Tempur Sealy International Inc.(a) | 1,554,284 | ||||
5,318 | Toll Brothers Inc. | 346,946 | ||||
10,620 | TopBuild Corp.* | 2,103,291 | ||||
5,479 | Tri Pointe Homes Inc.* | 132,153 | ||||
2,118 | Tupperware Brands Corp.* | 54,306 | ||||
701 | Universal Electronics Inc.* | 35,092 | ||||
1,020 | VOXX International Corp., Class A Shares* | 15,341 | ||||
|
| |||||
Total Household Durables | 10,594,417 | |||||
|
| |||||
Internet & Direct Marketing Retail - 0.4% |
| |||||
23,241 | 1-800-Flowers.com Inc., Class A Shares*(a) | 708,153 | ||||
1,895 | CarParts.com Inc.* | 30,964 | ||||
429 | Duluth Holdings Inc., Class B Shares* | 6,907 | ||||
5,633 | Etsy Inc.* | 927,924 | ||||
1,217 | Groupon Inc., Class A Shares* | 57,503 | ||||
4,380 | Grubhub Inc.* | 263,282 | ||||
533 | Lands End Inc.* | 13,650 | ||||
1,398 | Liquidity Services Inc.* | 33,426 | ||||
1,989 | Overstock.com Inc.*(a) | 169,920 | ||||
960 | PetMed Express Inc. | 27,744 | ||||
3,827 | Quotient Technology Inc.* | 45,006 | ||||
18,117 | Qurate Retail Inc., Class A Shares | 246,935 | ||||
2,758 | RealReal Inc. (The)* | 48,182 | ||||
963 | Shutterstock Inc. | 87,392 | ||||
805 | Stamps.com Inc.* | 151,083 | ||||
2,796 | Stitch Fix Inc., Class A Shares*(a) | 149,474 | ||||
4,149 | Waitr Holdings Inc.* | 8,423 | ||||
|
| |||||
Total Internet & Direct Marketing Retail | 2,975,968 | |||||
|
| |||||
Leisure Products - 0.4% |
| |||||
1,574 | Acushnet Holdings Corp. | 83,737 | ||||
770 | American Outdoor Brands Inc.* | 24,663 | ||||
11,610 | BRP Inc. | 979,071 | ||||
3,769 | Brunswick Corp. | 385,305 | ||||
4,340 | Callaway Golf Co.* | 160,233 | ||||
773 | Clarus Corp. | 18,312 | ||||
544 | Escalade Inc. | 13,301 | ||||
285 | Johnson Outdoors Inc., Class A Shares | 34,824 | ||||
967 | Malibu Boats Inc., Class A Shares* | 75,832 | ||||
338 | Marine Products Corp. | 5,489 | ||||
1,019 | MasterCraft Boat Holdings Inc.* | 28,287 | ||||
16,376 | Mattel Inc.* | 347,335 | ||||
1,615 | Nautilus Inc.* | 29,086 | ||||
2,773 | Polaris Inc. | 363,873 | ||||
3,080 | Smith & Wesson Brands Inc. | 65,481 | ||||
748 | Sturm Ruger & Co., Inc. | 59,047 | ||||
3,013 | Vista Outdoor Inc.* | 131,337 | ||||
3,798 | YETI Holdings Inc.* | 332,705 | ||||
|
| |||||
Total Leisure Products | 3,137,918 | |||||
|
|
27
Schedules of Investments
(unaudited) (continued)
Small-Mid Cap Equity Fund
Shares/Units | Security | Value | ||||
CONSUMER DISCRETIONARY - 9.2% - (continued) |
| |||||
Multiline Retail - 0.2% |
| |||||
1,714 | Big Lots Inc. | $ | 104,451 | |||
328 | Dillards Inc., Class A Shares | 43,266 | ||||
1,146 | Franchise Group Inc. | 42,333 | ||||
7,489 | Kohls Corp. | 415,565 | ||||
14,705 | Macys Inc.* | 268,807 | ||||
5,172 | Nordstrom Inc.* | 173,469 | ||||
2,599 | Ollies Bargain Outlet Holdings Inc.*(a) | 224,658 | ||||
|
| |||||
Total Multiline Retail | 1,272,549 | |||||
|
| |||||
Specialty Retail - 2.3% |
| |||||
1,850 | Aarons Co., Inc. (The) | 66,545 | ||||
2,876 | Abercrombie & Fitch Co., Class A Shares* | 122,805 | ||||
1,389 | Academy Sports & Outdoors Inc.* | 50,740 | ||||
7,119 | American Eagle Outfitters Inc.(a) | 252,226 | ||||
318 | Americas Car-Mart Inc.*(a) | 52,276 | ||||
905 | Asbury Automotive Group Inc.* | 179,452 | ||||
2,775 | At Home Group Inc.* | 104,174 | ||||
2,693 | AutoNation Inc.*(a) | 275,036 | ||||
5,714 | Bed Bath & Beyond Inc.*(a) | 159,935 | ||||
1,341 | Boot Barn Holdings Inc.* | 102,439 | ||||
1,495 | Buckle Inc. (The)(a) | 62,969 | ||||
14,043 | Caleres Inc.(a) | 352,198 | ||||
1,422 | Camping World Holdings Inc., Class A Shares(a) | 63,123 | ||||
14,149 | CarMax Inc.* | 1,629,823 | ||||
1,221 | Cato Corp. (The), Class A Shares* | 18,877 | ||||
34,268 | Chicos FAS Inc.*(a) | 159,346 | ||||
7,024 | Childrens Place Inc. (The)*(a) | 653,162 | ||||
480 | Citi Trends Inc.* | 40,003 | ||||
814 | Conns Inc.* | 18,877 | ||||
1,498 | Container Store Group Inc. (The)* | 20,313 | ||||
29,951 | Designer Brands Inc., Class A Shares*(a) | 523,843 | ||||
3,103 | Dicks Sporting Goods Inc. | 302,636 | ||||
2,386 | Express Inc.* | 10,236 | ||||
8,452 | Five Below Inc.* | 1,556,182 | ||||
4,489 | Floor & Decor Holdings Inc., Class A Shares* | 441,314 | ||||
4,912 | Foot Locker Inc. | 310,881 | ||||
2,710 | GameStop Corp., Class A Shares*(a) | 601,620 | ||||
8,673 | Gap Inc. (The) | 290,112 | ||||
748 | Genesco Inc.* | 41,140 | ||||
807 | Group 1 Automotive Inc.(a) | 128,700 | ||||
1,817 | GrowGeneration Corp.* | 80,693 | ||||
2,065 | Guess? Inc. | 60,649 | ||||
812 | Haverty Furniture Cos., Inc. | 37,303 | ||||
750 | Hibbett Sports Inc.* | 63,570 | ||||
10,938 | L Brands Inc.* | 764,238 | ||||
4,064 | Leslies Inc.*(a) | 118,506 | ||||
1,380 | Lithia Motors Inc., Class A Shares | 485,746 | ||||
1,569 | Lumber Liquidators Holdings Inc.* | 35,742 | ||||
972 | MarineMax Inc.*(a) | 49,990 | ||||
18,209 | Monro Inc.(a) | 1,135,149 | ||||
1,214 | Murphy USA Inc. | 163,659 | ||||
34,751 | National Vision Holdings Inc.* | 1,726,082 | ||||
15,454 | ODP Corp. (The)* | 675,958 | ||||
461 | OneWater Marine Inc., Class A Shares* | 22,700 | ||||
1,484 | Penske Automotive Group Inc. | 127,016 | ||||
2,528 | Petco Health & Wellness Co., Inc., Class A Shares*(a) | 57,259 | ||||
2,243 | Rent-A-Center Inc. | 138,640 | ||||
747 | RH*(a) | 478,864 | ||||
5,032 | Sally Beauty Holdings Inc.* | 109,748 | ||||
312 | Shoe Carnival Inc. | 21,063 | ||||
2,447 | Signet Jewelers Ltd.* | 148,239 |
28
Schedules of Investments
(unaudited) (continued)
Small-Mid Cap Equity Fund
Shares/Units | Security | Value | ||||
CONSUMER DISCRETIONARY - 9.2% - (continued) |
| |||||
Specialty Retail - 2.3% - (continued) |
| |||||
1,276 | Sleep Number Corp.* | $ | 142,261 | |||
1,119 | Sonic Automotive Inc., Class A Shares | 53,969 | ||||
1,617 | Sportsmans Warehouse Holdings Inc.* | 28,783 | ||||
429 | Tillys Inc., Class A Shares* | 5,860 | ||||
3,205 | Urban Outfitters Inc.* | 125,508 | ||||
4,897 | Vroom Inc.*(a) | 216,496 | ||||
3,666 | Williams-Sonoma Inc. | 621,534 | ||||
173 | Winmark Corp. | 33,877 | ||||
908 | Zumiez Inc.* | 39,789 | ||||
|
| |||||
Total Specialty Retail | 16,359,874 | |||||
|
| |||||
Textiles, Apparel & Luxury Goods - 1.0% |
| |||||
6,833 | Capri Holdings Ltd.* | 387,499 | ||||
14,570 | Carters Inc. | 1,489,637 | ||||
1,447 | Columbia Sportswear Co. | 148,650 | ||||
3,174 | Crocs Inc.* | 321,336 | ||||
1,332 | Deckers Outdoor Corp.* | 446,806 | ||||
2,154 | Fossil Group Inc.* | 30,414 | ||||
2,282 | G-III Apparel Group Ltd.* | 75,397 | ||||
16,513 | Hanesbrands Inc. | 322,664 | ||||
2,559 | Kontoor Brands Inc. | 163,827 | ||||
426 | Lakeland Industries Inc.* | 10,744 | ||||
703 | Movado Group Inc. | 19,494 | ||||
710 | Oxford Industries Inc. | 67,983 | ||||
3,336 | PVH Corp.* | 383,040 | ||||
2,244 | Ralph Lauren Corp., Class A Shares* | 278,436 | ||||
175 | Rocky Brands Inc. | 10,206 | ||||
6,375 | Skechers USA Inc., Class A Shares* | 302,813 | ||||
3,793 | Steven Madden Ltd. | 157,030 | ||||
353 | Superior Group of Cos., Inc. | 9,012 | ||||
13,175 | Tapestry Inc.* | 591,426 | ||||
8,587 | Under Armour Inc., Class A Shares* | 193,894 | ||||
9,854 | Under Armour Inc., Class C Shares*(a) | 187,817 | ||||
433 | Unifi Inc.* | 11,921 | ||||
915 | Vera Bradley Inc.* | 10,504 | ||||
37,015 | Wolverine World Wide Inc. | 1,349,567 | ||||
|
| |||||
Total Textiles, Apparel & Luxury Goods | 6,970,117 | |||||
|
| |||||
TOTAL CONSUMER DISCRETIONARY | 66,570,448 | |||||
|
| |||||
CONSUMER STAPLES - 3.9% |
| |||||
Beverages - 0.2% |
| |||||
426 | Boston Beer Co., Inc. (The), Class A Shares*(a) | 450,776 | ||||
2,728 | Brown-Forman Corp., Class B Shares | 219,222 | ||||
1,843 | Celsius Holdings Inc.*(a) | 120,790 | ||||
213 | Coca-Cola Consolidated Inc.(a) | 86,248 | ||||
478 | MGP Ingredients Inc. | 33,312 | ||||
1,225 | National Beverage Corp.(a) | 61,164 | ||||
5,798 | NewAge Inc.* | 13,742 | ||||
7,175 | Primo Water Corp. | 124,199 | ||||
|
| |||||
Total Beverages | 1,109,453 | |||||
|
| |||||
Food & Staples Retailing - 0.3% |
| |||||
7,613 | Albertsons Cos., Inc., Class A Shares(a) | 146,093 | ||||
1,628 | Andersons Inc. (The) | 50,598 | ||||
6,494 | BJs Wholesale Club Holdings Inc.*(a) | 290,866 | ||||
1,752 | Caseys General Stores Inc. | 386,912 | ||||
1,515 | Chefs Warehouse Inc. (The)* | 46,601 | ||||
3,381 | Grocery Outlet Holding Corp.* | 115,191 | ||||
1,917 | HF Foods Group Inc.* | 11,713 | ||||
526 | Ingles Markets Inc., Class A Shares | 32,580 | ||||
321 | Natural Grocers by Vitamin Cottage Inc. | 3,849 | ||||
6,188 | Performance Food Group Co.* | 310,204 | ||||
1,104 | PriceSmart Inc. | 97,483 |
29
Schedules of Investments
(unaudited) (continued)
Small-Mid Cap Equity Fund
Shares/Units | Security | Value | ||||
CONSUMER STAPLES - 3.9% - (continued) |
| |||||
Food & Staples Retailing - 0.3% - (continued) |
| |||||
2,186 | Rite Aid Corp.* | $ | 39,938 | |||
1,740 | SpartanNash Co. | 36,488 | ||||
5,533 | Sprouts Farmers Market Inc.* | 147,178 | ||||
2,862 | United Natural Foods Inc.* | 108,642 | ||||
10,437 | US Foods Holding Corp.* | 406,417 | ||||
542 | Village Super Market Inc., Class A Shares | 13,068 | ||||
487 | Weis Markets Inc. | 24,779 | ||||
|
| |||||
Total Food & Staples Retailing | 2,268,600 | |||||
|
| |||||
Food Products - 1.9% |
| |||||
325 | Alico Inc. | 10,400 | ||||
2,767 | B&G Foods Inc.(a) | 84,670 | ||||
2,488 | Beyond Meat Inc.*(a) | 361,805 | ||||
71 | Bridgford Foods Corp.* | 1,255 | ||||
6,505 | Bunge Ltd. | 564,764 | ||||
3,467 | Calavo Growers Inc.(a) | 246,850 | ||||
77,429 | Cal-Maine Foods Inc.(a) | 2,703,046 | ||||
7,645 | Darling Ingredients Inc.* | 523,377 | ||||
956 | Farmer Brothers Co.* | 11,510 | ||||
9,556 | Flowers Foods Inc. | 230,204 | ||||
1,267 | Fresh Del Monte Produce Inc. | 42,406 | ||||
1,940 | Freshpet Inc.* | 343,031 | ||||
26,672 | Hain Celestial Group Inc. (The)*(a) | 1,087,151 | ||||
5,051 | Hostess Brands Inc., Class A Shares*(a) | 79,200 | ||||
3,216 | Ingredion Inc.(a) | 305,295 | ||||
778 | J&J Snack Foods Corp. | 136,601 | ||||
455 | John B Sanfilippo & Son Inc. | 42,456 | ||||
6,972 | Lamb Weston Holdings Inc. | 575,120 | ||||
900 | Lancaster Colony Corp.(a) | 168,003 | ||||
36 | Landec Corp.* | 431 | ||||
80 | Limoneira Co. | 1,503 | ||||
16,325 | Mission Produce Inc.*(a) | 331,561 | ||||
2,665 | Pilgrims Pride Corp.* | 64,067 | ||||
2,883 | Post Holdings Inc.*(a) | 333,073 | ||||
19,970 | Sanderson Farms Inc. | 3,250,118 | ||||
14 | Seaboard Corp. | 51,310 | ||||
375 | Seneca Foods Corp., Class A Shares* | 17,340 | ||||
3,961 | Simply Good Foods Co. (The)*(a) | 136,773 | ||||
543 | Tootsie Roll Industries Inc. | 16,990 | ||||
36,653 | TreeHouse Foods Inc.* | 1,785,368 | ||||
1,131 | Vital Farms Inc.* | 24,079 | ||||
|
| |||||
Total Food Products | 13,529,757 | |||||
|
| |||||
Household Products - 0.4% |
| |||||
409 | Central Garden & Pet Co., Class A Shares* | 22,466 | ||||
1,904 | Central Garden & Pet Co., Class A Shares*(a) | 96,057 | ||||
3,368 | Energizer Holdings Inc. | 155,063 | ||||
8,815 | Henkel AG & Co. KGaA, ADR | 219,793 | ||||
17,736 | Kimberly-Clark Corp. | 2,316,854 | ||||
205 | Oil-Dri Corp. of America | 7,493 | ||||
2,249 | Reynolds Consumer Products Inc. | 67,785 | ||||
1,988 | Spectrum Brands Holdings Inc. | 176,713 | ||||
670 | WD-40 Co.(a) | 164,016 | ||||
|
| |||||
Total Household Products | 3,226,240 | |||||
|
| |||||
Personal Products - 1.1% |
| |||||
202,301 | Beiersdorf AG, ADR | 4,796,557 | ||||
1,626 | BellRing Brands Inc., Class A Shares* | 46,634 | ||||
13,348 | Coty Inc., Class A Shares* | 118,931 | ||||
2,797 | Edgewell Personal Care Co.(a) | 126,928 | ||||
2,343 | elf Beauty Inc.* | 65,604 | ||||
24,409 | Herbalife Nutrition Ltd.* | 1,283,181 | ||||
814 | Inter Parfums Inc.(a) | 62,255 |
30
Schedules of Investments
(unaudited) (continued)
Small-Mid Cap Equity Fund
Shares/Units | Security | Value | ||||
CONSUMER STAPLES - 3.9% - (continued) |
| |||||
Personal Products - 1.1% - (continued) |
| |||||
920 | Lifevantage Corp.* | $ | 7,332 | |||
509 | Medifast Inc. | 169,115 | ||||
462 | Natures Sunshine Products Inc. | 9,466 | ||||
15,122 | Nu Skin Enterprises Inc., Class A Shares(a) | 909,740 | ||||
325 | Revlon Inc., Class A Shares*(a) | 4,163 | ||||
580 | USANA Health Sciences Inc.* | 61,329 | ||||
2,601 | Veru Inc.* | 22,967 | ||||
|
| |||||
Total Personal Products | 7,684,202 | |||||
|
| |||||
Tobacco - 0.0% |
| |||||
454 | Turning Point Brands Inc. | 19,417 | ||||
1,125 | Universal Corp. | 63,045 | ||||
6,288 | Vector Group Ltd.(a) | 86,460 | ||||
|
| |||||
Total Tobacco | 168,922 | |||||
|
| |||||
TOTAL CONSUMER STAPLES | 27,987,174 | |||||
|
| |||||
ENERGY - 1.7% |
| |||||
Energy Equipment & Services - 0.4% |
| |||||
5,795 | Archrock Inc. | 53,314 | ||||
1,053 | Aspen Aerogels Inc.* | 21,355 | ||||
284 | Bristow Group Inc.* | 7,748 | ||||
2,103 | Cactus Inc., Class A Shares(a) | 73,689 | ||||
8,761 | ChampionX Corp.* | 232,167 | ||||
743 | DMC Global Inc.* | 39,357 | ||||
8,000 | Dril-Quip Inc.* | 268,240 | ||||
1,217 | Exterran Corp.* | 5,744 | ||||
1,500 | Forum Energy Technologies Inc.* | 38,310 | ||||
8,417 | Franks International NV* | 28,281 | ||||
4,872 | Helix Energy Solutions Group Inc.* | 25,481 | ||||
5,076 | Helmerich & Payne Inc. | 143,397 | ||||
7,488 | ION Geophysical Corp.* | 15,051 | ||||
4,173 | Liberty Oilfield Services Inc., Class A Shares* | 62,428 | ||||
349 | Nabors Industries Ltd.* | 32,673 | ||||
984 | National Energy Services Reunited Corp.* | 12,625 | ||||
5,187 | Newpark Resources Inc.* | 17,325 | ||||
60,210 | NexTier Oilfield Solutions Inc.* | 255,892 | ||||
17,959 | NOV Inc.* | 289,499 | ||||
26,950 | Oceaneering International Inc.* | 384,576 | ||||
18,286 | Oil States International Inc.*(a) | 117,579 | ||||
29,089 | Patterson-UTI Energy Inc. | 243,475 | ||||
3,675 | ProPetro Holding Corp.* | 36,529 | ||||
3,734 | RPC Inc.* | 18,334 | ||||
3,334 | Select Energy Services Inc., Class A Shares* | 18,937 | ||||
1,342 | Solaris Oilfield Infrastructure Inc., Class A Shares | 13,407 | ||||
34,152 | TETRA Technologies Inc.* | 122,947 | ||||
1,554 | Tidewater Inc.* | 21,383 | ||||
30,516 | Transocean Ltd.* | 115,350 | ||||
3,716 | US Silica Holdings Inc.* | 38,126 | ||||
|
| |||||
Total Energy Equipment & Services | 2,753,219 | |||||
|
| |||||
Oil, Gas & Consumable Fuels - 1.3% |
| |||||
166 | Adams Resources & Energy Inc. | 4,502 | ||||
14,431 | Antero Midstream Corp. | 138,538 | ||||
11,404 | Antero Resources Corp.* | 147,226 | ||||
17,993 | APA Corp. | 374,254 | ||||
776 | Arch Resources Inc.* | 44,286 | ||||
1,299 | Ardmore Shipping Corp.* | 5,833 | ||||
4,260 | Berry Corp. | 27,094 | ||||
1,131 | Bonanza Creek Energy Inc.* | 48,588 | ||||
1,533 | Brigham Minerals Inc., Class A Shares | 27,809 | ||||
4,764 | Cimarex Energy Co. | 322,761 | ||||
6,617 | Clean Energy Fuels Corp.* | 52,407 | ||||
10,296 | CNX Resources Corp.* | 140,232 |
31
Schedules of Investments
(unaudited) (continued)
Small-Mid Cap Equity Fund
Shares/Units | Security | Value | ||||
ENERGY - 1.7% - (continued) |
| |||||
Oil, Gas & Consumable Fuels - 1.3% - (continued) |
| |||||
671 | Comstock Resources Inc.* | $ | 3,778 | |||
1,079 | CONSOL Energy Inc.* | 16,552 | ||||
4,895 | Contango Oil & Gas Co.* | 21,342 | ||||
3,726 | Continental Resources Inc.(a) | 121,356 | ||||
1,608 | CVR Energy Inc.* | 33,366 | ||||
2,737 | Delek US Holdings Inc. | 61,008 | ||||
69,963 | Devon Energy Corp. | 1,858,217 | ||||
5,873 | DHT Holdings Inc. | 37,587 | ||||
1,459 | Diamond S Shipping Inc.* | 15,597 | ||||
13,938 | Diamondback Energy Inc. | 1,116,016 | ||||
1,888 | Dorian LPG Ltd.* | 26,828 | ||||
660 | Earthstone Energy Inc., Class A Shares* | 6,343 | ||||
6,337 | Energy Fuels Inc.* | 41,127 | ||||
13,103 | EQT Corp.*(a) | 273,591 | ||||
18,928 | Equitrans Midstream Corp. | 155,967 | ||||
969 | Evolution Petroleum Corp. | 3,576 | ||||
1,579 | Falcon Minerals Corp. | 7,358 | ||||
4,770 | Frontline Ltd. | 40,640 | ||||
5,145 | Golar LNG Ltd.* | 65,341 | ||||
224 | Goodrich Petroleum Corp.* | 2,480 | ||||
1,908 | Green Plains Inc.* | 60,846 | ||||
7,052 | HollyFrontier Corp. | 228,978 | ||||
1,318 | International Seaways Inc. | 26,413 | ||||
17,250 | Kosmos Energy Ltd.* | 54,855 | ||||
5,737 | Magnolia Oil & Gas Corp., Class A Shares* | 74,122 | ||||
37,584 | Marathon Oil Corp. | 455,142 | ||||
5,154 | Matador Resources Co. | 157,919 | ||||
7,638 | Murphy Oil Corp. | 165,668 | ||||
175 | NACCO Industries Inc., Class A Shares | 4,478 | ||||
636 | NextDecade Corp.* | 1,227 | ||||
7,882 | Nordic American Tankers Ltd. | 27,429 | ||||
3,617 | Overseas Shipholding Group Inc., Class A Shares* | 8,355 | ||||
12,383 | Ovintiv Inc. | 329,759 | ||||
1,976 | Par Pacific Holdings Inc.* | 27,506 | ||||
4,926 | PBF Energy Inc., Class A Shares* | 79,506 | ||||
13,272 | PDC Energy Inc.* | 560,344 | ||||
3,508 | Peabody Energy Corp.* | 23,258 | ||||
589 | Penn Virginia Corp.* | 11,356 | ||||
28 | PrimeEnergy Resources Corp.* | 1,156 | ||||
51,769 | Range Resources Corp.*(a) | 701,988 | ||||
1,976 | Renewable Energy Group Inc.* | 120,674 | ||||
219 | REX American Resources Corp.* | 21,031 | ||||
2,103 | Scorpio Tankers Inc. | 47,065 | ||||
3,173 | SFL Corp., Ltd. | 27,478 | ||||
4,965 | SM Energy Co. | 98,803 | ||||
30,459 | Southwestern Energy Co.* | 157,473 | ||||
669 | Talos Energy Inc.* | 9,486 | ||||
10,716 | Targa Resources Corp. | 416,424 | ||||
8,170 | Tellurian Inc.* | 35,621 | ||||
10,570 | Uranium Energy Corp.* | 33,084 | ||||
5,333 | W&T Offshore Inc.* | 19,945 | ||||
50 | Whiting Petroleum Corp.* | 2,289 | ||||
2,744 | World Fuel Services Corp. | 84,323 | ||||
|
| |||||
Total Oil, Gas & Consumable Fuels | 9,315,601 | |||||
|
| |||||
TOTAL ENERGY | 12,068,820 | |||||
|
| |||||
FINANCIALS - 13.3% |
| |||||
Banks - 5.4% |
| |||||
350 | 1st Constitution Bancorp | 7,385 | ||||
963 | 1st Source Corp. | 47,640 | ||||
494 | ACNB Corp. | 14,227 |
32
Schedules of Investments
(unaudited) (continued)
Small-Mid Cap Equity Fund
Shares/Units | Security | Value | ||||
FINANCIALS - 13.3% - (continued) |
| |||||
Banks - 5.4% - (continued) |
| |||||
950 | Allegiance Bancshares Inc. | $ | 38,532 | |||
624 | Altabancorp | 28,704 | ||||
634 | Amalgamated Financial Corp. | 10,315 | ||||
1,137 | Amerant Bancorp Inc., Class A Shares* | 27,424 | ||||
732 | American National Bankshares Inc. | 25,386 | ||||
3,144 | Ameris Bancorp | 172,731 | ||||
548 | Ames National Corp. | 13,864 | ||||
777 | Arrow Financial Corp. | 28,827 | ||||
7,669 | Associated Banc-Corp. | 176,310 | ||||
874 | Atlantic Capital Bancshares Inc.* | 24,577 | ||||
3,525 | Atlantic Union Bankshares Corp. | 144,595 | ||||
136 | Auburn National Bancorporation Inc. | 5,195 | ||||
2,293 | Banc of California Inc. | 40,150 | ||||
727 | BancFirst Corp. | 50,141 | ||||
2,309 | Bancorp Inc. (The)*(a) | 55,970 | ||||
4,569 | BancorpSouth Bank | 139,720 | ||||
331 | Bank First Corp. | 23,574 | ||||
485 | Bank of Commerce Holdings | 7,154 | ||||
1,780 | Bank of Hawaii Corp. | 159,737 | ||||
518 | Bank of Marin Bancorp | 17,462 | ||||
2,561 | Bank of NT Butterfield & Son Ltd. (The) | 97,677 | ||||
221 | Bank of Princeton (The) | 6,504 | ||||
5,855 | Bank OZK(a) | 250,067 | ||||
201 | Bank7 Corp. | 3,664 | ||||
701 | BankFinancial Corp. | 7,746 | ||||
74,207 | BankUnited Inc. | 3,546,353 | ||||
317 | Bankwell Financial Group Inc. | 9,054 | ||||
7,062 | Banner Corp. | 413,339 | ||||
911 | Bar Harbor Bankshares | 27,731 | ||||
780 | Baycom Corp.* | 14,446 | ||||
686 | BCB Bancorp Inc. | 10,022 | ||||
25,096 | Berkshire Hills Bancorp Inc.(a) | 696,414 | ||||
1,497 | BOK Financial Corp. | 136,287 | ||||
4,532 | Boston Private Financial Holdings Inc. | 69,476 | ||||
4,128 | Brookline Bancorp Inc. | 69,598 | ||||
619 | Bryn Mawr Bank Corp. | 29,588 | ||||
797 | Business First Bancshares Inc. | 19,447 | ||||
1,431 | Byline Bancorp Inc. | 33,027 | ||||
237 | C&F Financial Corp. | 11,727 | ||||
5,682 | Cadence BanCorp, Class A Shares | 127,163 | ||||
430 | California BanCorp* | 8,131 | ||||
388 | Cambridge Bancorp | 33,271 | ||||
760 | Camden National Corp. | 36,191 | ||||
297 | Capital Bancorp Inc.* | 6,531 | ||||
632 | Capital City Bank Group Inc. | 16,938 | ||||
187 | Capstar Financial Holdings Inc. | 4,093 | ||||
946 | Carter Bankshares Inc.* | 14,729 | ||||
3,917 | Cathay General Bancorp | 163,261 | ||||
286 | CB Financial Services Inc. | 6,220 | ||||
674 | CBTX Inc. | 19,950 | ||||
1,125 | Central Pacific Financial Corp. | 31,174 | ||||
335 | Central Valley Community Bancorp | 7,125 | ||||
185 | Century Bancorp Inc., Class A Shares | 21,108 | ||||
124 | Chemung Financial Corp. | 5,778 | ||||
377 | ChoiceOne Financial Services Inc. | 9,708 | ||||
4,646 | CIT Group Inc. | 246,145 | ||||
722 | Citizens & Northern Corp. | 17,826 | ||||
268 | Citizens Holding Co.(a) | 5,065 | ||||
639 | City Holding Co. | 51,261 | ||||
355 | Civista Bancshares Inc. | 8,428 |
33
Schedules of Investments
(unaudited) (continued)
Small-Mid Cap Equity Fund
Shares/Units | Security | Value | ||||
FINANCIALS - 13.3% - (continued) |
| |||||
Banks - 5.4% - (continued) |
| |||||
776 | CNB Financial Corp. | $ | 18,865 | |||
223 | Coastal Financial Corp.* | 6,935 | ||||
632 | Codorus Valley Bancorp Inc. | 11,983 | ||||
315 | Colony Bankcorp Inc. | 5,783 | ||||
3,316 | Columbia Banking System Inc. | 143,119 | ||||
24,329 | Comerica Inc. | 1,909,583 | ||||
5,135 | Commerce Bancshares Inc. | 399,914 | ||||
2,521 | Community Bank System Inc. | 204,504 | ||||
856 | Community Bankers Trust Corp. | 7,567 | ||||
155 | Community Financial Corp. (The) | 5,498 | ||||
518 | Community Trust Bancorp Inc. | 22,885 | ||||
1,564 | ConnectOne Bancorp Inc. | 43,307 | ||||
293 | County Bancorp Inc. | 7,296 | ||||
2,532 | CrossFirst Bankshares Inc.* | 37,246 | ||||
2,712 | Cullen/Frost Bankers Inc. | 327,366 | ||||
1,569 | Customers Bancorp Inc.* | 59,387 | ||||
5,986 | CVB Financial Corp. | 132,769 | ||||
1,788 | Dime Community Bancshares Inc. | 62,061 | ||||
1,760 | Eagle Bancorp Inc. | 100,566 | ||||
391 | Eagle Bancorp Montana Inc. | 9,779 | ||||
6,785 | East West Bancorp Inc. | 507,382 | ||||
7,955 | Eastern Bankshares Inc. | 178,192 | ||||
544 | Enterprise Bancorp Inc. | 18,746 | ||||
938 | Enterprise Financial Services Corp. | 46,347 | ||||
542 | Equity Bancshares Inc., Class A Shares* | 17,810 | ||||
279 | Esquire Financial Holdings Inc.* | 6,872 | ||||
187 | Evans Bancorp Inc. | 7,072 | ||||
473 | Farmers & Merchants Bancorp Inc. | 10,406 | ||||
859 | Farmers National Banc Corp. | 14,947 | ||||
1,697 | FB Financial Corp. | 71,019 | ||||
224 | Fidelity D&D Bancorp Inc. | 12,484 | ||||
750 | Financial Institutions Inc. | 24,097 | ||||
12,224 | First Bancorp | 190,325 | ||||
581 | First Bancorp Inc. (The) | 18,301 | ||||
1,080 | First Bancshares Inc. (The) | 42,174 | ||||
727 | First Bank | 9,982 | ||||
1,849 | First Busey Corp. | 49,535 | ||||
370 | First Business Financial Services Inc. | 10,142 | ||||
193 | First Capital Inc.(a) | 8,608 | ||||
702 | First Choice Bancorp | 22,555 | ||||
2,294 | First Citizens BancShares Inc., Class A Shares(a) | 1,974,216 | ||||
3,394 | First Commonwealth Financial Corp. | 51,419 | ||||
1,018 | First Community Bancshares Inc. | 31,721 | ||||
407 | First Community Corp. | 8,181 | ||||
4,254 | First Financial Bancorp | 108,349 | ||||
6,199 | First Financial Bankshares Inc.(a) | 312,120 | ||||
743 | First Financial Corp. | 33,717 | ||||
2,043 | First Foundation Inc.(a) | 51,279 | ||||
211 | First Guaranty Bancshares Inc. | 4,159 | ||||
6,118 | First Hawaiian Inc. | 172,283 | ||||
66,969 | First Horizon Corp. | 1,277,099 | ||||
264 | First Internet Bancorp | 8,955 | ||||
1,917 | First Interstate BancSystem Inc., Class A Shares | 90,233 | ||||
2,382 | First Merchants Corp.(a) | 110,382 | ||||
677 | First Mid Bancshares Inc. | 29,720 | ||||
4,950 | First Midwest Bancorp Inc. | 103,603 | ||||
347 | First Northwest Bancorp | 6,180 | ||||
673 | First of Long Island Corp. (The) | 15,142 | ||||
108 | First Savings Financial Group Inc. | 7,780 | ||||
378 | First United Corp. | 6,872 |
34
Schedules of Investments
(unaudited) (continued)
Small-Mid Cap Equity Fund
Shares/Units | Security | Value | ||||
FINANCIALS - 13.3% - (continued) |
| |||||
Banks - 5.4% - (continued) |
| |||||
357 | First Western Financial Inc.* | $ | 9,907 | |||
1,650 | Flushing Financial Corp. | 38,560 | ||||
16,187 | FNB Corp. | 217,068 | ||||
712 | FNCB Bancorp Inc. | 5,247 | ||||
188 | Franklin Financial Services Corp. | 5,747 | ||||
26,039 | Fulton Financial Corp. | 451,256 | ||||
502 | FVCBankcorp Inc.* | 8,910 | ||||
1,272 | German American Bancorp Inc. | 53,170 | ||||
4,579 | Glacier Bancorp Inc. | 266,727 | ||||
489 | Great Southern Bancorp Inc. | 27,624 | ||||
2,814 | Great Western Bancorp Inc. | 94,156 | ||||
421 | Guaranty Bancshares Inc. | 16,141 | ||||
4,170 | Hancock Whitney Corp. | 206,457 | ||||
1,156 | Hanmi Financial Corp. | 24,253 | ||||
2,982 | HarborOne Bancorp Inc. | 44,283 | ||||
244 | Hawthorn Bancshares Inc. | 5,893 | ||||
695 | HBT Financial Inc. | 12,642 | ||||
1,436 | Heartland Financial USA Inc. | 71,441 | ||||
2,745 | Heritage Commerce Corp. | 32,556 | ||||
1,981 | Heritage Financial Corp. | 57,469 | ||||
2,917 | Hilltop Holdings Inc. | 108,367 | ||||
7,522 | Home BancShares Inc. | 205,802 | ||||
925 | HomeTrust Bancshares Inc. | 26,242 | ||||
5,886 | Hope Bancorp Inc. | 90,056 | ||||
2,452 | Horizon Bancorp Inc. | 45,362 | ||||
590 | Howard Bancorp Inc.* | 9,947 | ||||
558 | Independent Bank Corp. | 13,001 | ||||
1,520 | Independent Bank Corp.(a) | 124,047 | ||||
1,724 | Independent Bank Group Inc. | 135,765 | ||||
2,574 | International Bancshares Corp. | 119,434 | ||||
659 | Investar Holding Corp. | 14,880 | ||||
10,694 | Investors Bancorp Inc. | 159,127 | ||||
2,410 | Lakeland Bancorp Inc. | 45,814 | ||||
1,255 | Lakeland Financial Corp. | 77,446 | ||||
249 | Landmark Bancorp Incnhattan | 6,447 | ||||
848 | LCNB Corp. | 14,959 | ||||
228 | Level One Bancorp Inc. | 6,318 | ||||
1,246 | Live Oak Bancshares Inc. | 75,483 | ||||
2,001 | Macatawa Bank Corp. | 19,210 | ||||
392 | Mackinac Financial Corp. | 8,499 | ||||
314 | MainStreet Bancshares Inc.* | 6,723 | ||||
493 | Mercantile Bank Corp. | 15,924 | ||||
303 | Meridian Corp. | 8,202 | ||||
937 | Metrocity Bankshares Inc. | 16,126 | ||||
159 | Metropolitan Bank Holding Corp.* | 10,146 | ||||
367 | Mid Penn Bancorp Inc. | 10,349 | ||||
341 | Middlefield Banc Corp. | 8,184 | ||||
1,085 | Midland States Bancorp Inc. | 30,228 | ||||
770 | MidWestOne Financial Group Inc. | 24,286 | ||||
291 | MVB Financial Corp. | 12,475 | ||||
30,963 | National Bank Holdings Corp., Class A Shares | 1,226,135 | ||||
376 | National Bankshares Inc. | 13,198 | ||||
2,217 | NBT Bancorp Inc. | 86,441 | ||||
519 | Nicolet Bankshares Inc.* | 41,157 | ||||
318 | Northeast Bank | 9,336 | ||||
197 | Northrim BanCorp Inc. | 8,579 | ||||
377 | Norwood Financial Corp. | 9,580 | ||||
304 | Oak Valley Bancorp | 5,746 | ||||
2,988 | OceanFirst Financial Corp. | 66,065 | ||||
2,769 | OFG Bancorp | 66,733 |
35
Schedules of Investments
(unaudited) (continued)
Small-Mid Cap Equity Fund
Shares/Units | Security | Value | ||||
FINANCIALS - 13.3% - (continued) |
| |||||
Banks - 5.4% - (continued) |
| |||||
134 | Ohio Valley Banc Corp. | $ | 3,141 | |||
8,358 | Old National Bancorp | 159,220 | ||||
827 | Old Second Bancorp Inc. | 11,462 | ||||
938 | Origin Bancorp Inc. | 41,413 | ||||
454 | Orrstown Financial Services Inc. | 11,459 | ||||
32,384 | Pacific Premier Bancorp Inc. | 1,488,692 | ||||
25,510 | PacWest Bancorp | 1,152,287 | ||||
744 | Park National Corp. | 94,131 | ||||
491 | Parke Bancorp Inc. | 10,556 | ||||
634 | Partners Bancorp | 4,977 | ||||
473 | PCB Bancorp | 7,592 | ||||
1,042 | Peapack Gladstone Financial Corp. | 34,615 | ||||
484 | Penns Woods Bancorp Inc. | 12,395 | ||||
863 | Peoples Bancorp Inc. | 28,030 | ||||
165 | Peoples Bancorp of North Carolina Inc. | 4,107 | ||||
428 | Peoples Financial Services Corp. | 18,468 | ||||
20,261 | Peoples United Financial Inc. | 383,136 | ||||
3,562 | Pinnacle Financial Partners Inc. | 323,857 | ||||
284 | Plumas Bancorp | 8,642 | ||||
3,991 | Popular Inc. | 325,706 | ||||
797 | Preferred Bank(a) | 54,427 | ||||
854 | Premier Financial Bancorp Inc. | 15,927 | ||||
772 | Primis Financial Corp. | 11,372 | ||||
196 | Professional Holding Corp., Class A Shares* | 3,587 | ||||
4,308 | Prosperity Bancshares Inc. | 324,177 | ||||
573 | QCR Holdings Inc. | 27,395 | ||||
1,057 | RBB Bancorp | 25,791 | ||||
148 | Red River Bancshares Inc. | 8,082 | ||||
870 | Reliant Bancorp Inc. | 25,795 | ||||
2,386 | Renasant Corp. | 105,509 | ||||
549 | Republic Bancorp Inc., Class A Shares | 25,501 | ||||
1,597 | Republic First Bancorp Inc.* | 6,580 | ||||
617 | Richmond Mutual Bancorporation Inc. | 9,014 | ||||
2,114 | S&T Bancorp Inc. | 71,728 | ||||
151 | Salisbury Bancorp Inc. | 7,023 | ||||
2,360 | Sandy Spring Bancorp Inc. | 109,646 | ||||
398 | SB Financial Group Inc. | 7,880 | ||||
2,622 | Seacoast Banking Corp. of Florida* | 97,198 | ||||
823 | Select Bancorp Inc.* | 11,588 | ||||
2,331 | ServisFirst Bancshares Inc. | 161,911 | ||||
7 | Shore Bancshares Inc. | 120 | ||||
850 | Sierra Bancorp | 23,562 | ||||
7,761 | Signature Bank | 1,938,310 | ||||
904 | Silvergate Capital Corp., Class A Shares* | 100,706 | ||||
5,336 | Simmons First National Corp., Class A Shares | 162,748 | ||||
243 | SmartFinancial Inc. | 5,893 | ||||
108 | South Plains Financial Inc. | 2,534 | ||||
3,283 | South State Corp. | 291,563 | ||||
405 | Southern First Bancshares Inc.* | 21,639 | ||||
1,594 | Southside Bancshares Inc. | 68,287 | ||||
867 | Spirit of Texas Bancshares Inc. | 20,010 | ||||
9,171 | Sterling Bancorp | 244,315 | ||||
1,052 | Stock Yards Bancorp Inc.(a) | 56,534 | ||||
722 | Summit Financial Group Inc. | 17,205 | ||||
6,968 | Synovus Financial Corp. | 342,268 | ||||
50,527 | TCF Financial Corp. | 2,400,032 | ||||
32,799 | Texas Capital Bancshares Inc.* | 2,259,195 | ||||
553 | Tompkins Financial Corp. | 44,876 | ||||
10,063 | Towne Bank | 322,318 | ||||
1,243 | TriCo Bancshares | 59,602 |
36
Schedules of Investments
(unaudited) (continued)
Small-Mid Cap Equity Fund
Shares/Units | Security | Value | ||||
FINANCIALS - 13.3% - (continued) |
| |||||
Banks - 5.4% - (continued) |
| |||||
1,410 | TriState Capital Holdings Inc.* | $ | 32,416 | |||
1,150 | Triumph Bancorp Inc.* | 96,312 | ||||
3,116 | Trustmark Corp. | 104,542 | ||||
8,952 | UMB Financial Corp. | 865,748 | ||||
9,896 | Umpqua Holdings Corp. | 188,816 | ||||
5,906 | United Bankshares Inc. | 243,268 | ||||
3,772 | United Community Banks Inc. | 130,436 | ||||
508 | United Security Bancshares | 4,318 | ||||
281 | Unity Bancorp Inc. | 6,811 | ||||
811 | Univest Financial Corp. | 23,649 | ||||
63,820 | Valley National Bancorp | 913,902 | ||||
2,500 | Veritex Holdings Inc. | 87,825 | ||||
790 | Washington Trust Bancorp Inc. | 43,442 | ||||
4,277 | Webster Financial Corp. | 242,420 | ||||
3,155 | WesBanco Inc. | 122,793 | ||||
1,053 | West Bancorporation Inc. | 29,400 | ||||
1,170 | Westamerica Bancorporation | 73,394 | ||||
4,686 | Western Alliance Bancorp | 468,647 | ||||
2,643 | Wintrust Financial Corp. | 212,550 | ||||
7,826 | Zions Bancorp NA | 452,969 | ||||
|
| |||||
Total Banks | 39,329,420 | |||||
|
| |||||
Capital Markets - 2.3% |
| |||||
2,171 | Affiliated Managers Group Inc. | 356,044 | ||||
5,165 | Ares Management Corp., Class A Shares | 285,005 | ||||
2,664 | Artisan Partners Asset Management Inc., Class A Shares(a) | 136,077 | ||||
884 | Assetmark Financial Holdings Inc.* | 23,037 | ||||
56 | Associated Capital Group Inc., Class A Shares | 2,052 | ||||
883 | B. Riley Financial Inc. | 65,024 | ||||
15,707 | BGC Partners Inc., Class A Shares | 92,671 | ||||
2,610 | Blucora Inc.* | 45,257 | ||||
3,147 | Brightsphere Investment Group Inc. | 70,084 | ||||
5,601 | Carlyle Group Inc. (The) | 244,428 | ||||
15,081 | Cohen & Steers Inc. | 1,102,874 | ||||
1,400 | Cowen Inc., Class A Shares | 55,062 | ||||
172 | Diamond Hill Investment Group Inc. | 30,171 | ||||
1,549 | Donnelley Financial Solutions Inc.* | 46,176 | ||||
8,142 | Evercore Inc., Class A Shares | 1,187,592 | ||||
1,775 | FactSet Research Systems Inc. | 593,489 | ||||
4,359 | Federated Hermes Inc., Class B Shares | 138,616 | ||||
1,870 | Focus Financial Partners Inc., Class A Shares* | 94,790 | ||||
205 | GAMCO Investors Inc., Class A Shares | 5,250 | ||||
659 | Greenhill & Co., Inc. | 11,473 | ||||
1,435 | Hamilton Lane Inc., Class A Shares(a) | 129,681 | ||||
2,544 | Houlihan Lokey Inc., Class A Shares | 190,520 | ||||
17,974 | Invesco Ltd. | 512,798 | ||||
10,555 | Jefferies Financial Group Inc. | 339,132 | ||||
4,774 | Lazard Ltd., Class A Shares | 225,237 | ||||
10,202 | LPL Financial Holdings Inc. | 1,508,672 | ||||
2,658 | Moelis & Co., Class A Shares | 142,708 | ||||
7,017 | Moodys Corp. | 2,353,151 | ||||
1,035 | Morningstar Inc. | 244,250 | ||||
6,580 | Nasdaq Inc. | 1,101,887 | ||||
30,522 | Northern Trust Corp. | 3,698,961 | ||||
410 | Oppenheimer Holdings Inc., Class A Shares | 20,488 | ||||
841 | Piper Sandler Cos. | 107,194 | ||||
959 | PJT Partners Inc., Class A Shares | 69,834 | ||||
552 | Pzena Investment Management Inc., Class A Shares | 6,403 | ||||
1,386 | Safeguard Scientifics Inc.* | 9,688 | ||||
1,055 | Sculptor Capital Management Inc., Class A Shares | 27,567 | ||||
5,380 | SEI Investments Co. | 341,307 |
37
Schedules of Investments
(unaudited) (continued)
Small-Mid Cap Equity Fund
Shares/Units | Security | Value | ||||
FINANCIALS - 13.3% - (continued) |
| |||||
Capital Markets - 2.3% - (continued) |
| |||||
309 | Siebert Financial Corp.* | $ | 1,279 | |||
518 | Silvercrest Asset Management Group Inc., Class A Shares | 8,247 | ||||
41,123 | SLR Investment Corp.(a) | 766,944 | ||||
832 | StepStone Group Inc., Class A Shares | 26,374 | ||||
4,742 | Stifel Financial Corp. | 328,526 | ||||
675 | StoneX Group Inc.* | 45,698 | ||||
2,948 | Virtu Financial Inc., Class A Shares | 89,767 | ||||
357 | Virtus Investment Partners Inc. | 100,399 | ||||
331 | Westwood Holdings Group Inc. | 6,531 | ||||
7,976 | WisdomTree Investments Inc. | 53,439 | ||||
|
| |||||
Total Capital Markets | 17,041,854 | |||||
|
| |||||
Consumer Finance - 0.4% |
| |||||
17,807 | Ally Financial Inc. | 974,221 | ||||
345 | Atlanticus Holdings Corp.* | 13,665 | ||||
445 | Credit Acceptance Corp.*(a) | 199,120 | ||||
334 | Curo Group Holdings Corp. | 5,514 | ||||
1,392 | Encore Capital Group Inc.*(a) | 64,436 | ||||
1,722 | Enova International Inc.* | 65,212 | ||||
2,954 | EZCORP Inc., Class A Shares* | 21,712 | ||||
2,021 | FirstCash Inc. | 161,114 | ||||
2,652 | Green Dot Corp., Class A Shares* | 107,645 | ||||
3,681 | LendingClub Corp.* | 56,246 | ||||
502 | LendingTree Inc.*(a) | 103,035 | ||||
9,073 | Navient Corp. | 165,764 | ||||
904 | Nelnet Inc., Class A Shares | 68,270 | ||||
3,435 | OneMain Holdings Inc., Class A Shares | 198,680 | ||||
1,053 | Oportun Financial Corp.* | 20,091 | ||||
2,046 | PRA Group Inc.*(a) | 79,651 | ||||
3,118 | PROG Holdings Inc. | 164,381 | ||||
359 | Regional Management Corp. | 16,779 | ||||
3,763 | Santander Consumer USA Holdings Inc.(a) | 142,618 | ||||
17,871 | SLM Corp. | 361,888 | ||||
603 | Upstart Holdings Inc.*(a) | 89,377 | ||||
151 | World Acceptance Corp.* | 24,252 | ||||
|
| |||||
Total Consumer Finance | 3,103,671 | |||||
|
| |||||
Diversified Financial Services - 0.2% |
| |||||
873 | Alerus Financial Corp. | 28,765 | ||||
261 | A-Mark Precious Metals Inc. | 13,916 | ||||
1,751 | Banco Latinoamericano de Comercio Exterior SA, Class E Shares | 26,738 | ||||
4,046 | Cannae Holdings Inc.* | 145,049 | ||||
1,062 | GWG Holdings Inc.* | 7,275 | ||||
329 | Marlin Business Services Corp. | 7,409 | ||||
345 | SWK Holdings Corp.* | 5,551 | ||||
15,478 | Voya Financial Inc. | 1,014,119 | ||||
|
| |||||
Total Diversified Financial Services | 1,248,822 | |||||
|
| |||||
Insurance - 4.1% |
| |||||
2,140 | Alleghany Corp.* | 1,533,460 | ||||
2,471 | Ambac Financial Group Inc.* | 37,287 | ||||
4,681 | American Equity Investment Life Holding Co. | 142,771 | ||||
3,389 | American Financial Group Inc. | 450,940 | ||||
413 | American National Group Inc. | 61,958 | ||||
741 | AMERISAFE Inc. | 48,558 | ||||
1,362 | Argo Group International Holdings Ltd. | 73,058 | ||||
2,787 | Assurant Inc. | 449,125 | ||||
3,663 | Assured Guaranty Ltd. | 174,469 | ||||
5,418 | Athene Holding Ltd., Class A Shares* | 339,329 | ||||
4,162 | Axis Capital Holdings Ltd. | 223,250 | ||||
4,083 | Brighthouse Financial Inc.* | 198,679 | ||||
11,220 | Brown & Brown Inc. | 589,274 | ||||
53,856 | BRP Group Inc., Class A Shares* | 1,323,780 |
38
Schedules of Investments
(unaudited) (continued)
Small-Mid Cap Equity Fund
Shares/Units | Security | Value | ||||
FINANCIALS - 13.3% - (continued) |
| |||||
Insurance - 4.1% - (continued) |
| |||||
12,808 | Chubb Ltd. | $ | 2,177,232 | |||
2,289 | Citizens Inc., Class A Shares* | 11,949 | ||||
5,988 | CNO Financial Group Inc. | 159,041 | ||||
698 | Crawford & Co., Class A Shares | 6,750 | ||||
558 | Donegal Group Inc., Class A Shares | 8,532 | ||||
8,182 | eHealth Inc.* | 533,876 | ||||
1,059 | Employers Holdings Inc. | 44,690 | ||||
582 | Enstar Group Ltd.* | 147,764 | ||||
1,194 | Erie Indemnity Co., Class A Shares(a) | 240,149 | ||||
11,590 | Everest Re Group Ltd. | 3,012,936 | ||||
812 | FedNat Holding Co. | 3,889 | ||||
5,154 | First American Financial Corp. | 331,454 | ||||
25,681 | Genworth Financial Inc., Class A Shares* | 107,860 | ||||
4,884 | Globe Life Inc. | 514,871 | ||||
2,381 | GoHealth Inc., Class A Shares* | 27,072 | ||||
715 | Goosehead Insurance Inc., Class A Shares | 64,257 | ||||
1,274 | Greenlight Capital Re Ltd., Class A Shares* | 11,785 | ||||
1,694 | Hanover Insurance Group Inc. (The) | 236,296 | ||||
12,620 | Hartford Financial Services Group Inc. (The) | 824,717 | ||||
293 | HCI Group Inc. | 23,604 | ||||
1,523 | Heritage Insurance Holdings Inc. | 12,687 | ||||
2,104 | Horace Mann Educators Corp. | 83,887 | ||||
214 | Independence Holding Co. | 9,420 | ||||
67 | Investors Title Co. | 11,915 | ||||
1,294 | James River Group Holdings Ltd. | 45,186 | ||||
3,051 | Kemper Corp. | 228,428 | ||||
995 | Kinsale Capital Group Inc. | 165,628 | ||||
1,572 | Lemonade Inc.*(a) | 142,219 | ||||
2,503 | Markel Corp.* | 3,067,401 | ||||
2,409 | MBIA Inc.* | 24,066 | ||||
1,410 | Mercury General Corp.(a) | 89,676 | ||||
13,328 | MetLife Inc. | 871,118 | ||||
154 | National Western Life Group Inc., Class A Shares | 37,733 | ||||
380 | NI Holdings Inc.* | 7,243 | ||||
13,344 | Old Republic International Corp. | 350,413 | ||||
9,985 | Palomar Holdings Inc., Class A Shares* | 728,905 | ||||
9,152 | Primerica Inc.(a) | 1,484,546 | ||||
2,768 | ProAssurance Corp. | 67,401 | ||||
465 | ProSight Global Inc.* | 5,952 | ||||
420 | Protective Insurance Corp., Class B Shares | 9,786 | ||||
9,608 | Reinsurance Group of America Inc., Class A Shares | 1,210,896 | ||||
2,406 | RenaissanceRe Holdings Ltd. | 370,813 | ||||
1,868 | RLI Corp.(a) | 197,037 | ||||
708 | Safety Insurance Group Inc. | 60,258 | ||||
2,913 | Selective Insurance Group Inc. | 219,262 | ||||
6,170 | Selectquote Inc.* | 125,374 | ||||
4,714 | SiriusPoint Ltd.* | 49,591 | ||||
1,024 | State Auto Financial Corp. | 19,354 | ||||
1,381 | Stewart Information Services Corp. | 83,343 | ||||
1,343 | Tiptree Inc. | 14,464 | ||||
27,083 | Travelers Cos., Inc. (The) | 4,325,155 | ||||
573 | Trean Insurance Group Inc.* | 9,626 | ||||
1,546 | Trupanion Inc.* | 139,403 | ||||
742 | United Fire Group Inc. | 22,742 | ||||
904 | United Insurance Holdings Corp. | 5,099 | ||||
1,507 | Universal Insurance Holdings Inc. | 21,249 | ||||
9,560 | Unum Group | 296,073 | ||||
873 | Watford Holdings Ltd.* | 30,503 | ||||
142 | White Mountains Insurance Group Ltd. | 169,457 | ||||
11,801 | WR Berkley Corp. | 920,360 | ||||
|
| |||||
Total Insurance | 29,868,331 | |||||
|
|
39
Schedules of Investments
(unaudited) (continued)
Small-Mid Cap Equity Fund
Shares/Units | Security | Value | ||||
FINANCIALS - 13.3% - (continued) |
| |||||
Mortgage Real Estate Investment Trusts (REITs) - 0.4% |
| |||||
25,737 | AGNC Investment Corp. | $ | 477,164 | |||
7,399 | Apollo Commercial Real Estate Finance Inc. | 115,794 | ||||
5,484 | Arbor Realty Trust Inc. | 100,028 | ||||
868 | Ares Commercial Real Estate Corp. | 13,168 | ||||
1,767 | Arlington Asset Investment Corp., Class A Shares* | 7,192 | ||||
3,544 | ARMOUR Residential REIT Inc. | 42,493 | ||||
6,618 | Blackstone Mortgage Trust Inc., Class A Shares | 211,975 | ||||
5,612 | Broadmark Realty Capital Inc. | 57,747 | ||||
5,021 | Capstead Mortgage Corp. | 32,385 | ||||
783 | Cherry Hill Mortgage Investment Corp. | 7,689 | ||||
8,734 | Chimera Investment Corp. | 123,411 | ||||
2,940 | Colony Credit Real Estate Inc. | 27,783 | ||||
1,280 | Dynex Capital Inc. | 25,024 | ||||
1,840 | Ellington Financial Inc. | 34,739 | ||||
486 | Ellington Residential Mortgage REIT | 5,963 | ||||
2,658 | Granite Point Mortgage Trust Inc. | 38,222 | ||||
1,102 | Great Ajax Corp. | 13,885 | ||||
3,470 | Hannon Armstrong Sustainable Infrastructure Capital Inc. | 170,759 | ||||
11,464 | Invesco Mortgage Capital Inc. | 38,978 | ||||
1,472 | KKR Real Estate Finance Trust Inc. | 31,471 | ||||
4,606 | Ladder Capital Corp., Class A Shares | 53,890 | ||||
21,204 | MFA Financial Inc. | 92,661 | ||||
19,754 | New Residential Investment Corp. | 208,997 | ||||
19,560 | New York Mortgage Trust Inc. | 88,411 | ||||
3,629 | Orchid Island Capital Inc., Class A Shares(a) | 19,851 | ||||
4,731 | PennyMac Mortgage Investment Trust | 92,728 | ||||
2,708 | Ready Capital Corp. | 41,216 | ||||
5,112 | Redwood Trust Inc. | 56,897 | ||||
13,152 | Starwood Property Trust Inc. | 333,929 | ||||
3,378 | TPG RE Finance Trust Inc. | 44,049 | ||||
12,082 | Two Harbors Investment Corp. | 86,870 | ||||
2,534 | Western Asset Mortgage Capital Corp. | 8,388 | ||||
|
| |||||
Total Mortgage Real Estate Investment Trusts (REITs) | 2,703,757 | |||||
|
| |||||
Thrifts & Mortgage Finance - 0.5% |
| |||||
2,586 | Axos Financial Inc.* | 122,602 | ||||
506 | Bogota Financial Corp.* | 5,085 | ||||
665 | Bridgewater Bancshares Inc.* | 11,544 | ||||
6,596 | Capitol Federal Financial Inc. | 85,352 | ||||
2,151 | Columbia Financial Inc.* | 38,223 | ||||
639 | ESSA Bancorp Inc. | 10,128 | ||||
5,212 | Essent Group Ltd. | 249,342 | ||||
537 | Federal Agricultural Mortgage Corp., Class C Shares | 54,484 | ||||
2,267 | Flagstar Bancorp Inc. | 103,829 | ||||
171 | FS Bancorp Inc. | 12,172 | ||||
75 | Greene County Bancorp Inc. | 2,150 | ||||
84 | Hingham Institution for Savings | 24,381 | ||||
128 | Home Bancorp Inc. | 4,973 | ||||
818 | HomeStreet Inc. | 36,826 | ||||
2,979 | Kearny Financial Corp. | 39,055 | ||||
1,062 | Luther Burbank Corp. | 12,893 | ||||
320 | Merchants Bancorp | 13,744 | ||||
1,793 | Meridian Bancorp Inc. | 39,536 | ||||
1,714 | Meta Financial Group Inc. | 90,859 | ||||
16,134 | MGIC Investment Corp. | 237,493 | ||||
202 | MMA Capital Holdings Inc.* | 5,466 | ||||
3,720 | Mr Cooper Group Inc.* | 128,675 | ||||
21,143 | New York Community Bancorp Inc. | 253,082 | ||||
3,850 | NMI Holdings Inc., Class A Shares* | 93,132 |
40
Schedules of Investments
(unaudited) (continued)
Small-Mid Cap Equity Fund
Shares/Units | Security | Value | ||||
FINANCIALS - 13.3% - (continued) |
| |||||
Thrifts & Mortgage Finance - 0.5% - (continued) |
| |||||
2,608 | Northfield Bancorp Inc. | $ | 44,153 | |||
4,687 | Northwest Bancshares Inc. | 66,368 | ||||
581 | OP Bancorp | 6,025 | ||||
738 | PCSB Financial Corp. | 13,564 | ||||
270 | PDL Community Bancorp* | 3,780 | ||||
1,846 | PennyMac Financial Services Inc. | 115,578 | ||||
545 | Pioneer Bancorp Inc.* | 6,654 | ||||
1,930 | Premier Financial Corp.(a) | 58,865 | ||||
375 | Provident Bancorp Inc. | 6,330 | ||||
253 | Provident Financial Holdings Inc. | 4,402 | ||||
3,829 | Provident Financial Services Inc. | 96,721 | ||||
276 | Prudential Bancorp Inc. | 3,828 | ||||
9,107 | Radian Group Inc. | 212,649 | ||||
886 | Riverview Bancorp Inc. | 6,087 | ||||
664 | Security National Financial Corp., Class A Shares* | 5,783 | ||||
517 | Southern Missouri Bancorp Inc. | 22,851 | ||||
228 | Standard AVB Financial Corp. | 7,524 | ||||
662 | Sterling Bancorp Inc.* | 3,184 | ||||
521 | Territorial Bancorp Inc. | 13,609 | ||||
1,957 | TFS Financial Corp. | 43,367 | ||||
287 | Timberland Bancorp Inc. | 8,369 | ||||
987 | TrustCo Bank Corp. NY | 38,621 | ||||
1,321 | Walker & Dunlop Inc. | 134,134 | ||||
3,347 | Washington Federal Inc. | 111,589 | ||||
1,142 | Waterstone Financial Inc. | 22,589 | ||||
950 | Western New England Bancorp Inc. | 8,085 | ||||
10,659 | WSFS Financial Corp. | 567,165 | ||||
|
| |||||
Total Thrifts & Mortgage Finance | 3,306,900 | |||||
|
| |||||
TOTAL FINANCIALS | 96,602,755 | |||||
|
| |||||
HEALTH CARE - 15.9% |
| |||||
Biotechnology - 3.9% |
| |||||
365 | 4D Molecular Therapeutics Inc.* | 9,694 | ||||
438 | 89bio Inc.* | 8,278 | ||||
3,868 | Abeona Therapeutics Inc.* | 6,382 | ||||
5,134 | ACADIA Pharmaceuticals Inc.* | 114,694 | ||||
13,573 | Acceleron Pharma Inc.* | 1,776,570 | ||||
3,377 | ADMA Biologics Inc.*(a) | 5,910 | ||||
870 | Aduro Biotech*(b)(c) | 2,610 | ||||
4,744 | Adverum Biotechnologies Inc.* | 16,414 | ||||
2,283 | Aeglea BioTherapeutics Inc.* | 15,091 | ||||
5,720 | Affimed NV* | 50,736 | ||||
8,826 | Agenus Inc.* | 37,599 | ||||
2,897 | Agios Pharmaceuticals Inc.* | 161,595 | ||||
7,120 | Akebia Therapeutics Inc.* | 24,991 | ||||
782 | Akero Therapeutics Inc.* | 20,473 | ||||
1,195 | Akouos Inc.* | 15,607 | ||||
938 | Albireo Pharma Inc.* | 31,376 | ||||
2,535 | Alector Inc.* | 45,123 | ||||
490 | Aligos Therapeutics Inc.* | 13,661 | ||||
7,180 | Alkermes PLC* | 162,771 | ||||
1,235 | Allakos Inc.*(a) | 125,278 | ||||
2,496 | Allogene Therapeutics Inc.* | 64,147 | ||||
1,472 | Allovir Inc.* | 34,504 | ||||
885 | ALX Oncology Holdings Inc.*(a) | 50,056 | ||||
12,648 | Amicus Therapeutics Inc.* | 117,120 | ||||
1,171 | AnaptysBio Inc.* | 27,952 | ||||
2,783 | Anavex Life Sciences Corp.* | 34,648 | ||||
802 | Anika Therapeutics Inc.* | 37,413 | ||||
1,337 | Annexon Inc.* | 28,237 | ||||
2,770 | Apellis Pharmaceuticals Inc.* | 155,896 |
41
Schedules of Investments
(unaudited) (continued)
Small-Mid Cap Equity Fund
Shares/Units | Security | Value | ||||
HEALTH CARE - 15.9% - (continued) |
| |||||
Biotechnology - 3.9% - (continued) |
| |||||
1,265 | Applied Genetic Technologies Corp.* | $ | 5,073 | |||
1,136 | Applied Molecular Transport Inc.*(a) | 54,460 | ||||
730 | Applied Therapeutics Inc.* | 14,038 | ||||
346 | Aprea Therapeutics Inc.* | 1,460 | ||||
1,282 | Aptinyx Inc., Class A Shares* | 3,256 | ||||
655 | Aravive Inc.* | 3,360 | ||||
1,046 | Arcturus Therapeutics Holdings Inc.* | 30,564 | ||||
1,787 | Arcus Biosciences Inc.* | 44,353 | ||||
1,204 | Arcutis Biotherapeutics Inc.* | 31,725 | ||||
3,971 | Ardelyx Inc.* | 28,393 | ||||
2,709 | Arena Pharmaceuticals Inc.* | 165,547 | ||||
4,837 | Arrowhead Pharmaceuticals Inc.* | 351,166 | ||||
9,270 | Ascendis Pharma AS, ADR* | 1,245,703 | ||||
1,672 | Assembly Biosciences Inc.* | 6,638 | ||||
3,922 | Atara Biotherapeutics Inc.* | 53,182 | ||||
3,372 | Athenex Inc.* | 15,815 | ||||
9,424 | Athersys Inc.* | 15,738 | ||||
1,597 | Atreca Inc., Class A Shares* | 14,405 | ||||
864 | AVEO Pharmaceuticals Inc.* | 6,307 | ||||
3,072 | Avid Bioservices Inc.* | 65,372 | ||||
1,528 | Avidity Biosciences Inc.* | 36,275 | ||||
1,693 | Avrobio Inc.* | 15,220 | ||||
805 | Axcella Health Inc.* | 2,568 | ||||
1,806 | Beam Therapeutics Inc.*(a) | 141,283 | ||||
748 | Beyondspring Inc.* | 7,757 | ||||
574 | BioAtla Inc.* | 24,711 | ||||
9,008 | BioCryst Pharmaceuticals Inc.*(a) | 142,056 | ||||
2,206 | Biohaven Pharmaceutical Holding Co., Ltd.* | 191,922 | ||||
579 | Bioxcel Therapeutics Inc.* | 19,124 | ||||
372 | Black Diamond Therapeutics Inc.* | 4,881 | ||||
2,974 | Bluebird Bio Inc.* | 92,551 | ||||
18,046 | Blueprint Medicines Corp.*(a) | 1,648,502 | ||||
600 | Bolt Biotherapeutics Inc.* | 10,506 | ||||
1,464 | BrainStorm Cell Therapeutics Inc.* | 5,241 | ||||
18,784 | Bridgebio Pharma Inc.*(a) | 1,112,013 | ||||
529 | C4 Therapeutics Inc.* | 19,547 | ||||
661 | Cabaletta Bio Inc.* | 7,496 | ||||
3,348 | Calithera Biosciences Inc.* | 7,633 | ||||
526 | Calyxt Inc.* | 2,267 | ||||
2,348 | CareDx Inc.* | 188,779 | ||||
3,407 | CASI Pharmaceuticals Inc.* | 5,451 | ||||
952 | Catabasis Pharmaceuticals Inc.* | 1,942 | ||||
944 | Catalyst Biosciences Inc.* | 4,031 | ||||
5,270 | Catalyst Pharmaceuticals Inc.* | 29,143 | ||||
1,653 | CEL-SCI Corp.*(a) | 35,556 | ||||
214 | Centogene NV* | 2,099 | ||||
77 | Checkmate Pharmaceuticals Inc.* | 521 | ||||
2,484 | Checkpoint Therapeutics Inc.* | 6,657 | ||||
2,170 | ChemoCentryx Inc.* | 22,025 | ||||
2,890 | Chimerix Inc.* | 22,600 | ||||
186 | Chinook Therapeutics Inc.* | 3,069 | ||||
1,796 | Cidara Therapeutics Inc.* | 3,628 | ||||
4,768 | Clovis Oncology Inc.*(a) | 24,460 | ||||
394 | Codiak Biosciences Inc.* | 8,912 | ||||
1,995 | Cohbar Inc.* | 2,494 | ||||
41,805 | Coherus Biosciences Inc.*(a) | 550,154 | ||||
1,457 | Concert Pharmaceuticals Inc.* | 5,857 | ||||
1,476 | Constellation Pharmaceuticals Inc.* | 29,240 | ||||
1,814 | ContraFect Corp.* | 7,329 | ||||
3,572 | Corbus Pharmaceuticals Holdings Inc.* | 7,751 |
42
Schedules of Investments
(unaudited) (continued)
Small-Mid Cap Equity Fund
Shares/Units | Security | Value | ||||
HEALTH CARE - 15.9% - (continued) |
| |||||
Biotechnology - 3.9% - (continued) |
| |||||
858 | Cortexyme Inc.* | $ | 35,495 | |||
1,461 | Crinetics Pharmaceuticals Inc.* | 25,641 | ||||
1,517 | Cue Biopharma Inc.* | 21,754 | ||||
652 | Cullinan Oncology Inc.* | 19,384 | ||||
993 | Cyclerion Therapeutics Inc.* | 3,217 | ||||
2,975 | Cytokinetics Inc.*(a) | 64,944 | ||||
2,753 | CytomX Therapeutics Inc.* | 19,711 | ||||
433 | Decibel Therapeutics Inc.* | 3,875 | ||||
1,705 | Deciphera Pharmaceuticals Inc.*(a) | 57,527 | ||||
2,925 | Denali Therapeutics Inc.* | 186,001 | ||||
554 | DermTech Inc.* | 22,670 | ||||
2,972 | Dicerna Pharmaceuticals Inc.* | 96,887 | ||||
1,057 | Dyadic International Inc.* | 3,985 | ||||
4,825 | Dynavax Technologies Corp., Class A Shares* | 39,565 | ||||
700 | Dyne Therapeutics Inc.* | 13,377 | ||||
586 | Eagle Pharmaceuticals Inc.* | 23,217 | ||||
3,072 | Editas Medicine Inc., Class A Shares*(a) | 104,294 | ||||
1,397 | Eiger BioPharmaceuticals Inc.* | 10,980 | ||||
2,090 | Emergent BioSolutions Inc.* | 126,758 | ||||
1,031 | Enanta Pharmaceuticals Inc.* | 50,168 | ||||
1,204 | Enochian Biosciences Inc.*(a) | 4,900 | ||||
4,880 | Epizyme Inc.* | 40,162 | ||||
1,424 | Esperion Therapeutics Inc.*(a) | 28,352 | ||||
1,124 | Evelo Biosciences Inc.* | 15,084 | ||||
14,605 | Exelixis Inc.*(a) | 329,343 | ||||
3,120 | Exicure Inc.* | 5,210 | ||||
13,060 | Fate Therapeutics Inc.* | 1,000,396 | ||||
1,180 | Fennec Pharmaceuticals Inc.* | 8,697 | ||||
3,735 | FibroGen Inc.* | 79,369 | ||||
2,525 | Flexion Therapeutics Inc.* | 21,134 | ||||
422 | Foghorn Therapeutics Inc.* | 4,393 | ||||
1,513 | Forma Therapeutics Holdings Inc.* | 42,470 | ||||
3,102 | Fortress Biotech Inc.* | 12,501 | ||||
1,265 | Frequency Therapeutics Inc.* | 11,195 | ||||
1,416 | G1 Therapeutics Inc.* | 30,756 | ||||
1,363 | Galectin Therapeutics Inc.* | 5,411 | ||||
508 | Galera Therapeutics Inc.*(a) | 4,354 | ||||
2,040 | Generation Bio Co.* | 69,890 | ||||
1,520 | Genprex Inc.* | 5,685 | ||||
15,456 | Geron Corp.* | 21,329 | ||||
2,730 | Global Blood Therapeutics Inc.*(a) | 104,914 | ||||
1,545 | GlycoMimetics Inc.* | 3,940 | ||||
1,497 | Gossamer Bio Inc.* | 12,680 | ||||
1,742 | Gritstone bio Inc.* | 16,026 | ||||
6,258 | Halozyme Therapeutics Inc.*(a) | 259,144 | ||||
576 | Harpoon Therapeutics Inc.* | 11,877 | ||||
3,843 | Heron Therapeutics Inc.*(a) | 50,997 | ||||
1,849 | Homology Medicines Inc.* | 12,277 | ||||
627 | Hookipa Pharma Inc.* | 10,465 | ||||
9,307 | Horizon Therapeutics PLC* | 853,080 | ||||
11,162 | iBio Inc.*(a) | 16,185 | ||||
961 | Ideaya Biosciences Inc.* | 19,364 | ||||
388 | IGM Biosciences Inc.* | 28,964 | ||||
323 | Immunic Inc.* | 4,364 | ||||
1,592 | ImmunityBio Inc.*(a) | 27,940 | ||||
8,260 | ImmunoGen Inc.* | 51,047 | ||||
1,895 | Immunovant Inc.* | 28,728 | ||||
394 | Inhibrx Inc.* | 8,337 | ||||
9,481 | Inovio Pharmaceuticals Inc.*(a) | 71,582 | ||||
434 | Inozyme Pharma Inc.* | 7,100 |
43
Schedules of Investments
(unaudited) (continued)
Small-Mid Cap Equity Fund
Shares/Units | Security | Value | ||||
HEALTH CARE - 15.9% - (continued) |
| |||||
Biotechnology - 3.9% - (continued) |
| |||||
34,931 | Insmed Inc.* | $ | 859,303 | |||
2,588 | Intellia Therapeutics Inc.* | 193,945 | ||||
1,416 | Intercept Pharmaceuticals Inc.* | 23,548 | ||||
38,171 | Invitae Corp.*(a) | 1,098,561 | ||||
6,146 | Ionis Pharmaceuticals Inc.*(a) | 228,938 | ||||
6,518 | Iovance Biotherapeutics Inc.* | 121,039 | ||||
85,496 | Ironwood Pharmaceuticals Inc., Class A Shares*(a) | 989,189 | ||||
970 | iTeos Therapeutics Inc.* | 19,924 | ||||
4,294 | IVERIC bio Inc.* | 30,359 | ||||
747 | Jounce Therapeutics Inc.* | 5,864 | ||||
8,288 | Kadmon Holdings Inc.* | 31,826 | ||||
954 | KalVista Pharmaceuticals Inc.* | 25,758 | ||||
741 | Karuna Therapeutics Inc.*(a) | 82,859 | ||||
3,837 | Karyopharm Therapeutics Inc.* | 35,607 | ||||
684 | Keros Therapeutics Inc.* | 37,319 | ||||
1,825 | Kezar Life Sciences Inc.* | 10,439 | ||||
1,656 | Kindred Biosciences Inc.* | 7,998 | ||||
1,462 | Kiniksa Pharmaceuticals Ltd., Class A Shares* | 19,927 | ||||
648 | Kinnate Biopharma Inc.* | 15,215 | ||||
1,555 | Kodiak Sciences Inc.* | 130,029 | ||||
754 | Kronos Bio Inc.* | 18,405 | ||||
574 | Krystal Biotech Inc.* | 37,448 | ||||
2,750 | Kura Oncology Inc.* | 61,187 | ||||
522 | Kymera Therapeutics Inc.* | 25,103 | ||||
798 | La Jolla Pharmaceutical Co.*(a) | 3,431 | ||||
2,519 | Lexicon Pharmaceuticals Inc.* | 11,058 | ||||
655 | Ligand Pharmaceuticals Inc.*(a) | 77,093 | ||||
748 | LogicBio Therapeutics Inc.* | 3,269 | ||||
2,379 | MacroGenics Inc.* | 76,580 | ||||
362 | Madrigal Pharmaceuticals Inc.* | 40,653 | ||||
815 | Magenta Therapeutics Inc.* | 10,065 | ||||
12,398 | MannKind Corp.*(a) | 54,799 | ||||
1,128 | Marker Therapeutics Inc.* | 3,282 | ||||
2,415 | MediciNova Inc.*(a) | 10,191 | ||||
6,139 | MEI Pharma Inc.* | 17,680 | ||||
1,099 | MeiraGTx Holdings PLC* | 15,155 | ||||
38,238 | Mersana Therapeutics Inc.*(a) | 547,568 | ||||
1,669 | Minerva Neurosciences Inc.* | 4,924 | ||||
2,021 | Mirati Therapeutics Inc.* | 319,621 | ||||
194 | Mirum Pharmaceuticals Inc.* | 3,209 | ||||
1,052 | Molecular Templates Inc.* | 9,405 | ||||
748 | Morphic Holding Inc.* | 36,921 | ||||
1,465 | Mustang Bio Inc.* | 4,908 | ||||
3,208 | Myriad Genetics Inc.* | 91,909 | ||||
3,577 | Natera Inc.* | 336,739 | ||||
1,619 | Neoleukin Therapeutics Inc.* | 16,239 | ||||
950 | NeuBase Therapeutics Inc.* | 4,912 | ||||
4,424 | Neurocrine Biosciences Inc.* | 425,677 | ||||
312 | NexImmune Inc.*(a) | 5,797 | ||||
960 | NextCure Inc.* | 7,536 | ||||
15,873 | Nkarta Inc.*(a) | 386,508 | ||||
4,419 | Novavax Inc.*(a) | 652,333 | ||||
1,213 | Nurix Therapeutics Inc.* | 33,843 | ||||
2,127 | Nymox Pharmaceutical Corp.*(a) | 3,233 | ||||
583 | Olema Pharmaceuticals Inc.* | 16,301 | ||||
3,535 | Oncocyte Corp.* | 15,625 | ||||
319 | Oncorus Inc.* | 5,487 | ||||
19 | Oncternal Therapeutics Inc.*(b)(c) | 19 | ||||
19,136 | OPKO Health Inc.*(a) | 73,100 | ||||
1,173 | Organogenesis Holdings Inc., Class A Shares* | 20,915 |
44
Schedules of Investments
(unaudited) (continued)
Small-Mid Cap Equity Fund
Shares/Units | Security | Value | ||||
HEALTH CARE - 15.9% - (continued) |
| |||||
Biotechnology - 3.9% - (continued) |
| |||||
941 | Orgenesis Inc.* | $ | 4,545 | |||
1,142 | ORIC Pharmaceuticals Inc.* | 26,095 | ||||
2,352 | Ovid therapeutics Inc.* | 9,761 | ||||
307 | Oyster Point Pharma Inc.* | 5,501 | ||||
1,259 | Passage Bio Inc.* | 16,682 | ||||
567 | PhaseBio Pharmaceuticals Inc.* | 1,916 | ||||
3,285 | Pieris Pharmaceuticals Inc.*(a) | 11,300 | ||||
700 | PMV Pharmaceuticals Inc.* | 24,080 | ||||
1,556 | Poseida Therapeutics Inc.* | 13,148 | ||||
566 | Praxis Precision Medicines Inc.* | 11,088 | ||||
3,925 | Precigen Inc.* | 25,905 | ||||
2,470 | Precision BioSciences Inc.* | 26,009 | ||||
477 | Prelude Therapeutics Inc.* | 16,581 | ||||
1,634 | Protagonist Therapeutics Inc.* | 57,370 | ||||
145 | Protara Therapeutics Inc.* | 1,375 | ||||
1,690 | Prothena Corp. PLC* | 49,297 | ||||
2,822 | PTC Therapeutics Inc.* | 110,820 | ||||
1,741 | Puma Biotechnology Inc.* | 18,368 | ||||
2,482 | Radius Health Inc.* | 47,878 | ||||
599 | RAPT Therapeutics Inc.* | 11,561 | ||||
1,859 | REGENXBIO Inc.* | 65,567 | ||||
1,911 | Relay Therapeutics Inc.*(a) | 61,381 | ||||
1,300 | Replimune Group Inc.* | 50,661 | ||||
2,098 | REVOLUTION Medicines Inc.*(a) | 62,751 | ||||
1,813 | Rhythm Pharmaceuticals Inc.* | 35,553 | ||||
9,148 | Rigel Pharmaceuticals Inc.* | 34,031 | ||||
23,166 | Rocket Pharmaceuticals Inc.*(a) | 984,555 | ||||
1,900 | Rubius Therapeutics Inc.*(a) | 46,417 | ||||
2,436 | Sage Therapeutics Inc.* | 169,546 | ||||
1,323 | Sana Biotechnology Inc.* | 27,743 | ||||
5,955 | Sangamo Therapeutics Inc.* | 64,195 | ||||
3,561 | Sarepta Therapeutics Inc.* | 269,390 | ||||
2,794 | Savara Inc.* | 5,029 | ||||
1,271 | Scholar Rock Holding Corp.* | 34,152 | ||||
3,599 | Selecta Biosciences Inc.* | 15,620 | ||||
424 | Sensei Biotherapeutics Inc.* | 5,270 | ||||
2,886 | Seres Therapeutics Inc.* | 60,923 | ||||
654 | Shattuck Labs Inc.* | 17,750 | ||||
312 | Sigilon Therapeutics Inc.* | 3,641 | ||||
623 | Silverback Therapeutics Inc.*(a) | 17,151 | ||||
2,415 | Soleno Therapeutics Inc.* | 2,487 | ||||
1,724 | Solid Biosciences Inc.* | 6,551 | ||||
12,043 | Sorrento Therapeutics Inc.*(a) | 90,563 | ||||
7,783 | Spectrum Pharmaceuticals Inc.* | 26,851 | ||||
771 | Spero Therapeutics Inc.* | 11,179 | ||||
1,105 | SpringWorks Therapeutics Inc.*(a) | 90,102 | ||||
396 | Spruce Biosciences Inc.* | 5,595 | ||||
343 | SQZ Biotechnologies Co.* | 4,655 | ||||
669 | Stoke Therapeutics Inc.* | 26,533 | ||||
1,566 | Sutro Biopharma Inc.* | 29,143 | ||||
1,524 | Syndax Pharmaceuticals Inc.* | 27,996 | ||||
2,249 | Syros Pharmaceuticals Inc.* | 14,506 | ||||
417 | Taysha Gene Therapies Inc.* | 9,383 | ||||
1,365 | TCR2 Therapeutics Inc.* | 26,140 | ||||
5,744 | TG Therapeutics Inc.* | 200,293 | ||||
2,826 | Translate Bio Inc.* | 50,896 | ||||
2,661 | Travere Therapeutics Inc., Class Preferre Shares* | 40,367 | ||||
21,079 | Turning Point Therapeutics Inc.* | 1,395,008 | ||||
2,218 | Twist Bioscience Corp.*(a) | 238,014 | ||||
2,439 | Tyme Technologies Inc.* | 3,756 |
45
Schedules of Investments
(unaudited) (continued)
Small-Mid Cap Equity Fund
Shares/Units | Security | Value | ||||
HEALTH CARE - 15.9% - (continued) |
| |||||
Biotechnology - 3.9% - (continued) |
| |||||
3,000 | Ultragenyx Pharmaceutical Inc.* | $ | 305,130 | |||
2,065 | United Therapeutics Corp.* | 383,883 | ||||
1,781 | UNITY Biotechnology Inc.* | 7,979 | ||||
1,093 | UroGen Pharma Ltd.* | 19,259 | ||||
2,919 | Vanda Pharmaceuticals Inc.* | 51,637 | ||||
2,372 | Vaxart Inc.*(a) | 15,703 | ||||
1,437 | Vaxcyte Inc.* | 30,278 | ||||
9,834 | VBI Vaccines Inc.* | 31,764 | ||||
3,233 | Veracyte Inc.*(a) | 126,249 | ||||
8,821 | Verastem Inc.* | 34,137 | ||||
2,212 | Vericel Corp.*(a) | 124,978 | ||||
1,312 | Viking Therapeutics Inc.* | 6,875 | ||||
2,446 | Vir Biotechnology Inc.*(a) | 102,512 | ||||
545 | Vor BioPharma Inc.* | 11,500 | ||||
1,389 | Voyager Therapeutics Inc.* | 5,917 | ||||
942 | X4 Pharmaceuticals Inc.* | 8,949 | ||||
822 | XBiotech Inc.* | 14,179 | ||||
2,460 | Xencor Inc.* | 94,612 | ||||
325 | XOMA Corp.* | 9,578 | ||||
1,109 | Y-mAbs Therapeutics Inc.* | 39,735 | ||||
1,517 | Zentalis Pharmaceuticals Inc.* | 84,724 | ||||
11,604 | ZIOPHARM Oncology Inc.* | 35,276 | ||||
|
| |||||
Total Biotechnology | 27,894,977 | |||||
|
| |||||
Health Care Equipment & Supplies - 4.8% |
| |||||
1,665 | Accelerate Diagnostics Inc.*(a) | 12,637 | ||||
124,649 | Accuray Inc.* | 531,005 | ||||
518 | Acutus Medical Inc.* | 8,428 | ||||
2,812 | Alphatec Holdings Inc.* | 40,774 | ||||
1,873 | AngioDynamics Inc.* | 43,304 | ||||
1,433 | Apyx Medical Corp.* | 14,029 | ||||
3,198 | Aspira Womens Health Inc.* | 17,877 | ||||
15,448 | AtriCure Inc.* | 1,154,429 | ||||
79 | Atrion Corp. | 49,059 | ||||
12,938 | Avanos Medical Inc.* | 518,814 | ||||
1,964 | AxoGen Inc.* | 39,869 | ||||
1,403 | Axonics Inc.* | 80,939 | ||||
38,364 | Baxter International Inc. | 3,150,452 | ||||
353 | Bellerophon Therapeutics Inc.*(a) | 1,461 | ||||
679 | Beyond Air Inc.* | 3,361 | ||||
720 | BioLife Solutions Inc.* | 23,983 | ||||
1,143 | BioSig Technologies Inc.*(a) | 4,138 | ||||
1,563 | Bioventus Inc., Class A Shares* | 27,790 | ||||
1,904 | Cantel Medical Corp.* | 154,852 | ||||
1,661 | Cardiovascular Systems Inc.* | 65,095 | ||||
8,852 | Cerus Corp.* | 51,253 | ||||
1,250 | Chembio Diagnostics Inc.* | 3,987 | ||||
1,413 | Co.-Diagnostics Inc.*(a) | 11,403 | ||||
1,272 | CONMED Corp. | 175,142 | ||||
2,118 | CryoLife Inc.*(a) | 61,020 | ||||
2,051 | CryoPort Inc.*(a) | 114,692 | ||||
902 | Cutera Inc.* | 34,619 | ||||
21,455 | CytoSorbents Corp.*(a) | 173,571 | ||||
34,976 | DENTSPLY SIRONA Inc. | 2,340,594 | ||||
333 | Eargo Inc.* | 11,329 | ||||
388 | Electromed Inc.* | 3,826 | ||||
7,562 | Envista Holdings Corp.* | 330,006 | ||||
349 | FONAR Corp.* | 6,317 | ||||
1,985 | Glaukos Corp.* | 146,056 | ||||
9,730 | Globus Medical Inc., Class A Shares* | 701,144 | ||||
34,341 | Haemonetics Corp.* | 1,938,893 |
46
Schedules of Investments
(unaudited) (continued)
Small-Mid Cap Equity Fund
Shares/Units | Security | Value | ||||
HEALTH CARE - 15.9% - (continued) |
| |||||
Health Care Equipment & Supplies - 4.8% - (continued) |
| |||||
284 | Heska Corp.* | $ | 56,275 | |||
3,175 | Hill-Rom Holdings Inc. | 353,314 | ||||
14,400 | ICU Medical Inc.* | 2,996,064 | ||||
1,861 | IDEXX Laboratories Inc.* | 1,038,643 | ||||
842 | Inari Medical Inc.* | 73,212 | ||||
936 | Inogen Inc.* | 57,854 | ||||
1,485 | Integer Holdings Corp.* | 134,348 | ||||
3,373 | Integra LifeSciences Holdings Corp.*(a) | 232,906 | ||||
23,344 | Intersect ENT Inc.*(a) | 412,022 | ||||
84 | IntriCon Corp.* | 1,876 | ||||
1,714 | Intuitive Surgical Inc.* | 1,443,496 | ||||
1,981 | Invacare Corp.* | 15,848 | ||||
388 | iRadimed Corp.* | 10,790 | ||||
1,413 | iRhythm Technologies Inc.*(a) | 106,625 | ||||
3,121 | Lantheus Holdings Inc.* | 75,684 | ||||
719 | LeMaitre Vascular Inc. | 36,820 | ||||
463 | LENSAR Inc.* | 3,829 | ||||
2,290 | LivaNova PLC* | 191,307 | ||||
434 | Lucira Health Inc.*(a) | 2,144 | ||||
4,258 | Masimo Corp.* | 918,025 | ||||
2,264 | Meridian Bioscience Inc.* | 47,001 | ||||
38,197 | Merit Medical Systems Inc.* | 2,304,807 | ||||
186 | Mesa Laboratories Inc. | 45,767 | ||||
1,981 | Milestone Scientific Inc.* | 4,120 | ||||
757 | Misonix Inc.* | 14,527 | ||||
1,737 | Natus Medical Inc.* | 46,552 | ||||
367 | Nemaura Medical Inc.*(a) | 4,995 | ||||
2,477 | Neogen Corp.* | 228,652 | ||||
1,593 | Nevro Corp.*(a) | 240,065 | ||||
4,805 | Novocure Ltd.*(a) | 980,220 | ||||
2,390 | NuVasive Inc.* | 162,998 | ||||
46,769 | OraSure Technologies Inc.*(a) | 449,450 | ||||
4,260 | Ortho Clinical Diagnostics Holdings PLC* | 87,543 | ||||
999 | Orthofix Medical Inc.* | 40,659 | ||||
652 | OrthoPediatrics Corp.* | 36,831 | ||||
445 | Outset Medical Inc.* | 21,480 | ||||
2,040 | PAVmed Inc.* | 10,812 | ||||
1,571 | Penumbra Inc.*(a) | 391,352 | ||||
547 | Pulmonx Corp.* | 23,477 | ||||
819 | Pulse Biosciences Inc.*(a) | 14,775 | ||||
3,821 | Quidel Corp.*(a) | 451,298 | ||||
3,288 | Quotient Ltd.* | 13,678 | ||||
1,341 | Repro-Med Systems Inc.* | 5,726 | ||||
776 | Retractable Technologies Inc.* | 7,054 | ||||
4,050 | Rockwell Medical Inc.*(a) | 3,524 | ||||
1,404 | SeaSpine Holdings Corp.* | 28,613 | ||||
1,326 | Shockwave Medical Inc.* | 238,547 | ||||
1,468 | SI-BONE Inc.* | 44,290 | ||||
2,668 | Sientra Inc.* | 18,569 | ||||
1,149 | Silk Road Medical Inc.* | 55,818 | ||||
82,149 | Smith & Nephew PLC, ADR(a) | 3,575,124 | ||||
364 | Soliton Inc.* | 8,110 | ||||
2,170 | STAAR Surgical Co.* | 316,885 | ||||
2,430 | Stereotaxis Inc.* | 19,489 | ||||
3,478 | Surgalign Holdings Inc.* | 6,817 | ||||
771 | Surmodics Inc.* | 40,901 | ||||
970 | Tactile Systems Technology Inc.*(a) | 52,157 | ||||
529 | Talis Biomedical Corp.* | 5,152 | ||||
14,954 | Tandem Diabetes Care Inc.* | 1,276,922 | ||||
294 | Tela Bio Inc.* | 4,040 |
47
Schedules of Investments
(unaudited) (continued)
Small-Mid Cap Equity Fund
Shares/Units | Security | Value | ||||
HEALTH CARE - 15.9% - (continued) |
| |||||
Health Care Equipment & Supplies - 4.8% - (continued) |
| |||||
6,563 | Teleflex Inc. | $ | 2,639,573 | |||
947 | TransMedics Group Inc.* | 24,281 | ||||
188 | Utah Medical Products Inc. | 16,113 | ||||
1,053 | Vapotherm Inc.* | 20,828 | ||||
18,637 | Varex Imaging Corp.* | 467,602 | ||||
1,159 | Venus Concept Inc.*(a) | 2,364 | ||||
5,877 | ViewRay Inc.* | 34,557 | ||||
1,214 | VolitionRX Ltd.* | 4,237 | ||||
915 | Zynex Inc.*(a) | 13,926 | ||||
|
| |||||
Total Health Care Equipment & Supplies | 34,759,508 | |||||
|
| |||||
Health Care Providers & Services - 2.5% |
| |||||
3,702 | 1Life Healthcare Inc.* | 136,974 | ||||
54,219 | Acadia Healthcare Co., Inc.* | 3,489,535 | ||||
1,613 | Accolade Inc.* | 81,440 | ||||
3,449 | AdaptHealth Corp., Class A Shares* | 90,329 | ||||
752 | Addus HomeCare Corp.*(a) | 72,320 | ||||
6,754 | Amedisys Inc.* | 1,745,031 | ||||
2,178 | AMN Healthcare Services Inc.* | 193,189 | ||||
953 | Apollo Medical Holdings Inc.* | 33,241 | ||||
287 | Apria Inc.* | 8,739 | ||||
741 | Avalon GloboCare Corp.* | 845 | ||||
8,612 | Brookdale Senior Living Inc.* | 58,045 | ||||
726 | Castle Biosciences Inc.* | 43,509 | ||||
3,168 | Chemed Corp. | 1,556,565 | ||||
4,644 | Community Health Systems Inc.* | 66,270 | ||||
386 | CorVel Corp.* | 48,096 | ||||
5,239 | Covetrus Inc.*(a) | 145,330 | ||||
1,196 | Cross Country Healthcare Inc.* | 18,717 | ||||
12,845 | Encompass Health Corp. | 1,101,973 | ||||
2,438 | Ensign Group Inc. (The) | 202,842 | ||||
1,486 | Enzo Biochem Inc.* | 4,577 | ||||
312 | Exagen Inc.* | 4,446 | ||||
1,165 | Five Star Senior Living Inc.* | 7,002 | ||||
549 | Fulgent Genetics Inc.* | 40,664 | ||||
3,907 | Guardant Health Inc.* | 484,937 | ||||
1,597 | Hanger Inc.* | 41,250 | ||||
13,656 | HealthEquity Inc.*(a) | 1,135,087 | ||||
783 | InfuSystem Holdings Inc.* | 14,485 | ||||
694 | Joint Corp. (The)* | 49,329 | ||||
1,434 | LHC Group Inc.* | 282,283 | ||||
1,107 | Magellan Health Inc.* | 104,268 | ||||
35,039 | MEDNAX Inc.* | 1,120,547 | ||||
553 | ModivCare Inc.* | 81,418 | ||||
7,804 | Molina Healthcare Inc.* | 1,961,613 | ||||
497 | National HealthCare Corp. | 36,385 | ||||
733 | National Research Corp. | 35,059 | ||||
379 | Ontrak Inc.* | 11,514 | ||||
4,287 | Option Care Health Inc.* | 78,624 | ||||
3,451 | Owens & Minor Inc.(a) | 154,294 | ||||
20,999 | Patterson Cos., Inc.(a) | 683,307 | ||||
1,372 | Pennant Group Inc. (The)* | 47,018 | ||||
5,390 | PetIQ Inc., Class A Shares*(a) | 221,529 | ||||
5,952 | Premier Inc., Class A Shares | 196,416 | ||||
1,089 | Progyny Inc.*(a) | 69,740 | ||||
5,100 | R1 RCM Inc.* | 118,065 | ||||
2,289 | RadNet Inc.* | 60,590 | ||||
5,110 | Select Medical Holdings Corp. | 204,758 | ||||
767 | Sharps Compliance Corp.* | 10,447 | ||||
999 | Signify Health Inc., Class A Shares* | 25,275 | ||||
1,299 | Surgery Partners Inc.*(a) | 76,030 |
48
Schedules of Investments
(unaudited) (continued)
Small-Mid Cap Equity Fund
Shares/Units | Security | Value | ||||
HEALTH CARE - 15.9% - (continued) |
| |||||
Health Care Providers & Services - 2.5% - (continued) |
| |||||
4,935 | Tenet Healthcare Corp.*(a) | $ | 330,201 | |||
2,251 | Tivity Health Inc.*(a) | 58,976 | ||||
1,056 | Triple-S Management Corp., Class B Shares* | 26,717 | ||||
9,232 | Universal Health Services Inc., Class B Shares | 1,473,704 | ||||
549 | US Physical Therapy Inc.(a) | 63,882 | ||||
1,875 | Viemed Healthcare Inc.* | 14,644 | ||||
|
| |||||
Total Health Care Providers & Services | 18,422,071 | |||||
|
| |||||
Health Care Technology - 0.5% |
| |||||
7,298 | Allscripts Healthcare Solutions Inc.*(a) | 126,912 | ||||
2,924 | American Well Corp., Class A Shares*(a) | 36,404 | ||||
2,997 | Cerner Corp. | 234,515 | ||||
1,560 | Certara Inc.* | 41,044 | ||||
11,510 | Change Healthcare Inc.* | 269,794 | ||||
245 | Computer Programs & Systems Inc. | 7,931 | ||||
3,975 | Evolent Health Inc., Class A Shares* | 77,234 | ||||
1,745 | Health Catalyst Inc.*(a) | 93,689 | ||||
1,375 | HealthStream Inc.* | 35,997 | ||||
1,084 | iCAD Inc.* | 17,832 | ||||
3,532 | Inovalon Holdings Inc., Class A Shares* | 110,764 | ||||
1,239 | Inspire Medical Systems Inc.* | 240,738 | ||||
1,523 | NantHealth Inc.* | 3,975 | ||||
2,890 | NextGen Healthcare Inc.*(a) | 47,454 | ||||
2,011 | Omnicell Inc.* | 279,529 | ||||
852 | OptimizeRx Corp.* | 41,850 | ||||
1,438 | Phreesia Inc.* | 71,181 | ||||
1,395 | Schrodinger Inc.* | 97,901 | ||||
786 | Simulations Plus Inc. | 41,485 | ||||
1,119 | Tabula Rasa HealthCare Inc.*(a) | 48,352 | ||||
5,662 | Veeva Systems Inc., Class A Shares* | 1,649,567 | ||||
1,304 | Vocera Communications Inc.* | 43,971 | ||||
|
| |||||
Total Health Care Technology | 3,618,119 | |||||
|
| |||||
Life Sciences Tools & Services - 2.9% |
| |||||
2,739 | 10X Genomics Inc., Class A Shares* | 493,020 | ||||
3,451 | Adaptive Biotechnologies Corp.* | 130,482 | ||||
23,618 | Avantor Inc.* | 759,319 | ||||
1,254 | Berkeley Lights Inc.* | 54,549 | ||||
2,160 | Bio-Rad Laboratories Inc., Class A Shares* | 1,301,119 | ||||
9,273 | Bio-Techne Corp. | 3,837,446 | ||||
4,922 | Bruker Corp. | 341,784 | ||||
503 | Champions Oncology Inc.* | 4,733 | ||||
14,575 | Charles River Laboratories International Inc.* | 4,926,204 | ||||
2,386 | ChromaDex Corp.* | 19,804 | ||||
2,824 | Codexis Inc.*(a) | 57,892 | ||||
103,164 | Fluidigm Corp.*(a) | 598,351 | ||||
2,006 | Harvard Bioscience Inc.* | 14,042 | ||||
3,240 | ICON PLC, ADR*(a) | 724,982 | ||||
6,381 | Illumina Inc.* | 2,588,389 | ||||
8,898 | Luminex Corp. | 328,247 | ||||
4,068 | Maravai LifeSciences Holdings Inc., Class A Shares* | 152,713 | ||||
1,303 | Medpace Holdings Inc.* | 217,679 | ||||
2,065 | NanoString Technologies Inc.* | 114,587 | ||||
5,089 | NeoGenomics Inc.* | 208,802 | ||||
34,747 | Pacific Biosciences of California Inc.* | 939,906 | ||||
5,303 | PerkinElmer Inc. | 769,306 | ||||
1,436 | Personalis Inc.* | 32,296 | ||||
7,578 | PPD Inc.* | 349,497 | ||||
3,004 | PRA Health Sciences Inc.* | 513,444 | ||||
10,689 | QIAGEN NV* | 527,609 | ||||
1,220 | Quanterix Corp.* | 62,818 | ||||
2,588 | Repligen Corp.* | 472,595 |
49
Schedules of Investments
(unaudited) (continued)
Small-Mid Cap Equity Fund
Shares/Units | Security | Value | ||||
HEALTH CARE - 15.9% - (continued) |
| |||||
Life Sciences Tools & Services - 2.9% - (continued) |
| |||||
704 | Seer Inc., Class A Shares* | $ | 20,824 | |||
3,903 | Sotera Health Co.* | 94,062 | ||||
4,189 | Syneos Health Inc., Class A Shares* | 368,213 | ||||
|
| |||||
Total Life Sciences Tools & Services | 21,024,714 | |||||
|
| |||||
Pharmaceuticals - 1.3% |
| |||||
3,301 | AcelRx Pharmaceuticals Inc.* | 4,588 | ||||
5,051 | Achillion Pharmaceuticals Inc.*(c) | 2,323 | ||||
1,968 | Aerie Pharmaceuticals Inc.* | 32,059 | ||||
3,643 | Agile Therapeutics Inc.* | 5,865 | ||||
86,014 | Amneal Pharmaceuticals Inc.* | 486,839 | ||||
1,164 | Amphastar Pharmaceuticals Inc.* | 22,023 | ||||
328 | Angion Biomedica Corp.* | 5,064 | ||||
502 | ANI Pharmaceuticals Inc.* | 17,244 | ||||
9,660 | Antares Pharma Inc.* | 38,350 | ||||
1,030 | Aquestive Therapeutics Inc.*(a) | 3,821 | ||||
1,633 | Arvinas Inc.* | 118,784 | ||||
737 | Atea Pharmaceuticals Inc.* | 15,050 | ||||
631 | Athira Pharma Inc.* | 12,582 | ||||
421 | Avenue Therapeutics Inc.*(a) | 2,088 | ||||
1,311 | Axsome Therapeutics Inc.* | 79,591 | ||||
924 | Aytu BioPharma Inc.* | 4,694 | ||||
4,869 | BioDelivery Sciences International Inc.* | 17,188 | ||||
1,848 | Cara Therapeutics Inc.* | 25,114 | ||||
1,675 | Cassava Sciences Inc.*(a) | 90,316 | ||||
21,971 | Catalent Inc.* | 2,303,220 | ||||
902 | Cerecor Inc.* | 2,381 | ||||
3,139 | Chiasma Inc.* | 13,278 | ||||
1,263 | Collegium Pharmaceutical Inc.* | 30,173 | ||||
4,748 | Corcept Therapeutics Inc.*(a) | 102,557 | ||||
1,684 | CorMedix Inc.*(a) | 12,175 | ||||
3,979 | Cymabay Therapeutics Inc.* | 16,831 | ||||
10,719 | Durect Corp.* | 17,686 | ||||
785 | Eloxx Pharmaceuticals Inc.* | 1,225 | ||||
11,394 | Endo International PLC* | 66,883 | ||||
814 | Eton Pharmaceuticals Inc.*(a) | 5,747 | ||||
2,570 | Evofem Biosciences Inc.* | 2,210 | ||||
1,199 | Evolus Inc.* | 12,973 | ||||
647 | Fulcrum Therapeutics Inc.* | 5,778 | ||||
348 | Graybug Vision Inc.* | 1,385 | ||||
238 | Harmony Biosciences Holdings Inc.* | 7,606 | ||||
1,226 | Harrow Health Inc.* | 11,279 | ||||
275 | IMARA Inc.* | 1,999 | ||||
87,330 | Innoviva Inc.* | 1,174,588 | ||||
3,065 | Intra-Cellular Therapies Inc.* | 120,792 | ||||
2,613 | Jazz Pharmaceuticals PLC* | 465,454 | ||||
2,157 | Kala Pharmaceuticals Inc.*(a) | 12,187 | ||||
431 | Kaleido Biosciences Inc.*(a) | 3,095 | ||||
1,738 | Lannett Co., Inc.* | 7,473 | ||||
1,088 | Liquidia Corp.* | 3,275 | ||||
394 | Lyra Therapeutics Inc.* | 2,829 | ||||
1,268 | Marinus Pharmaceuticals Inc.* | 21,328 | ||||
8,086 | Nektar Therapeutics, Class A Shares*(a) | 146,114 | ||||
1,357 | NGM Biopharmaceuticals Inc.* | 20,436 | ||||
3,596 | Ocular Therapeutix Inc.* | 52,358 | ||||
718 | Odonate Therapeutics Inc.* | 2,484 | ||||
2,503 | Omeros Corp.*(a) | 38,021 | ||||
1,693 | Optinose Inc.* | 5,401 | ||||
430 | Osmotica Pharmaceuticals PLC* | 1,251 | ||||
25,571 | Pacira BioSciences Inc.* | 1,551,393 | ||||
2,176 | Paratek Pharmaceuticals Inc.* | 17,887 |
50
Schedules of Investments
(unaudited) (continued)
Small-Mid Cap Equity Fund
Shares/Units | Security | Value | ||||
HEALTH CARE - 15.9% - (continued) |
| |||||
Pharmaceuticals - 1.3% - (continued) |
| |||||
6,426 | Perrigo Co. PLC(a) | $ | 296,496 | |||
567 | Phathom Pharmaceuticals Inc.* | 20,043 | ||||
1,086 | Phibro Animal Health Corp., Class A Shares | 30,614 | ||||
1,188 | Pliant Therapeutics Inc.* | 35,711 | ||||
15,074 | Prestige Consumer Healthcare Inc.* | 751,740 | ||||
3,674 | Progenics Pharmaceuticals Inc.*#(c) | | ||||
2,318 | Provention Bio Inc.* | 17,640 | ||||
1,201 | Reata Pharmaceuticals Inc., Class A Shares*(a) | 164,225 | ||||
719 | Recro Pharma Inc.* | 1,646 | ||||
769 | Relmada Therapeutics Inc.* | 26,600 | ||||
2,868 | Revance Therapeutics Inc.* | 84,921 | ||||
501 | Satsuma Pharmaceuticals Inc.* | 2,615 | ||||
1,083 | SIGA Technologies Inc.* | 7,635 | ||||
1,532 | Strongbridge Biopharma PLC* | 3,861 | ||||
25,460 | Supernus Pharmaceuticals Inc.* | 759,981 | ||||
280 | Tarsus Pharmaceuticals Inc.* | 9,330 | ||||
378 | Terns Pharmaceuticals Inc.* | 6,468 | ||||
17,127 | TherapeuticsMD Inc.* | 20,724 | ||||
2,545 | Theravance Biopharma Inc.* | 43,978 | ||||
1,534 | Tricida Inc.* | 7,072 | ||||
710 | Verrica Pharmaceuticals Inc.* | 7,995 | ||||
2,348 | VYNE Therapeutics Inc.* | 9,275 | ||||
1,508 | WaVe Life Sciences Ltd.* | 10,315 | ||||
1,493 | Xeris Pharmaceuticals Inc.* | 4,658 | ||||
2,252 | Zogenix Inc.* | 39,523 | ||||
|
| |||||
Total Pharmaceuticals | 9,608,401 | |||||
|
| |||||
TOTAL HEALTH CARE | 115,327,790 | |||||
|
| |||||
INDUSTRIALS - 16.9% |
| |||||
Aerospace & Defense - 2.3% |
| |||||
1,446 | AAR Corp.* | 60,371 | ||||
12,334 | Aerojet Rocketdyne Holdings Inc.(a) | 597,582 | ||||
1,127 | Aerovironment Inc.*(a) | 123,553 | ||||
1,401 | Astronics Corp.* | 23,761 | ||||
2,981 | Axon Enterprise Inc.* | 419,099 | ||||
4,521 | BWX Technologies Inc. | 282,743 | ||||
1,942 | Curtiss-Wright Corp. | 243,371 | ||||
645 | Ducommun Inc.* | 34,682 | ||||
24,875 | HEICO Corp., Class A Shares | 3,294,943 | ||||
29,658 | Hexcel Corp.*(a) | 1,763,465 | ||||
18,784 | Howmet Aerospace Inc.* | 666,456 | ||||
1,885 | Huntington Ingalls Industries Inc. | 407,556 | ||||
1,153 | Kaman Corp. | 62,054 | ||||
5,657 | Kratos Defense & Security Solutions Inc.* | 141,482 | ||||
3,194 | Maxar Technologies Inc. | 99,333 | ||||
12,432 | Mercury Systems Inc.* | 813,674 | ||||
1,274 | Moog Inc., Class A Shares | 114,915 | ||||
284 | National Presto Industries Inc. | 28,803 | ||||
5,709 | Northrop Grumman Corp. | 2,088,752 | ||||
3,240 | PAE Inc.* | 26,309 | ||||
809 | Park Aerospace Corp. | 12,475 | ||||
1,239 | Parsons Corp.* | 49,077 | ||||
16,239 | Spirit AeroSystems Holdings Inc., Class A Shares | 799,121 | ||||
3,179 | Teledyne Technologies Inc.* | 1,333,495 | ||||
10,830 | Textron Inc. | 741,530 | ||||
3,408 | TransDigm Group Inc.* | 2,211,247 | ||||
2,169 | Triumph Group Inc.* | 41,688 | ||||
596 | Vectrus Inc.* | 30,408 | ||||
3,254 | Virgin Galactic Holdings Inc.*(a) | 101,622 | ||||
|
| |||||
Total Aerospace & Defense | 16,613,567 | |||||
|
|
51
Schedules of Investments
(unaudited) (continued)
Small-Mid Cap Equity Fund
Shares/Units | Security | Value | ||||
INDUSTRIALS - 16.9% - (continued) |
| |||||
Air Freight & Logistics - 0.2% |
| |||||
2,688 | Air Transport Services Group Inc.* | $ | 66,770 | |||
1,183 | Atlas Air Worldwide Holdings Inc.* | 88,642 | ||||
1,550 | Echo Global Logistics Inc.* | 52,948 | ||||
1,443 | Forward Air Corp. | 139,813 | ||||
1,594 | Hub Group Inc., Class A Shares* | 111,277 | ||||
1,467 | Radiant Logistics Inc.* | 11,281 | ||||
4,329 | XPO Logistics Inc.* | 636,060 | ||||
|
| |||||
Total Air Freight & Logistics | 1,106,791 | |||||
|
| |||||
Airlines - 0.3% |
| |||||
5,789 | Alaska Air Group Inc.* | 400,599 | ||||
614 | Allegiant Travel Co., Class A Shares* | 135,976 | ||||
29,474 | American Airlines Group Inc.*(a) | 714,450 | ||||
1,471 | Copa Holdings SA, Class A Shares* | 121,004 | ||||
2,424 | Hawaiian Holdings Inc.* | 62,539 | ||||
14,887 | JetBlue Airways Corp.* | 299,229 | ||||
1,619 | Mesa Air Group Inc.* | 15,737 | ||||
2,341 | SkyWest Inc.* | 114,779 | ||||
4,614 | Spirit Airlines Inc.* | 164,766 | ||||
|
| |||||
Total Airlines | 2,029,079 | |||||
|
| |||||
Building Products - 1.7% |
| |||||
2,015 | AAON Inc.(a) | 133,494 | ||||
21,833 | Advanced Drainage Systems Inc. | 2,476,299 | ||||
4,402 | Allegion PLC | 618,393 | ||||
670 | Alpha Pro Tech Ltd.*(a) | 5,521 | ||||
735 | American Woodmark Corp.* | 63,886 | ||||
6,340 | AO Smith Corp. | 450,584 | ||||
1,375 | Apogee Enterprises Inc. | 52,264 | ||||
2,248 | Armstrong World Industries Inc. | 239,075 | ||||
4,323 | AZEK Co., Inc. (The), Class A Shares* | 188,180 | ||||
9,668 | Builders FirstSource Inc.* | 430,613 | ||||
1,082 | Caesarstone Ltd. | 17,853 | ||||
2,075 | Cornerstone Building Brands Inc.* | 35,192 | ||||
716 | CSW Industrials Inc. | 87,223 | ||||
6,577 | Fortune Brands Home & Security Inc. | 678,483 | ||||
1,642 | Gibraltar Industries Inc.* | 130,457 | ||||
2,421 | Griffon Corp. | 63,648 | ||||
1,106 | Insteel Industries Inc. | 38,666 | ||||
3,099 | JELD-WEN Holding Inc.* | 86,803 | ||||
1,657 | Lennox International Inc.(a) | 579,834 | ||||
1,133 | Masonite International Corp.* | 135,450 | ||||
5,074 | Owens Corning | 541,142 | ||||
2,959 | PGT Innovations Inc.* | 71,489 | ||||
1,347 | Quanex Building Products Corp. | 35,871 | ||||
87,456 | Resideo Technologies Inc.* | 2,614,934 | ||||
1,992 | Simpson Manufacturing Co., Inc. | 223,741 | ||||
20,426 | Trex Co., Inc.* | 1,989,697 | ||||
2,927 | UFP Industries Inc. | 232,755 | ||||
|
| |||||
Total Building Products | 12,221,547 | |||||
|
| |||||
Commercial Services & Supplies - 2.1% |
| |||||
3,097 | ABM Industries Inc. | 154,509 | ||||
5,085 | ACCO Brands Corp. | 46,324 | ||||
7,650 | ADT Inc.(a) | 79,101 | ||||
2,132 | Brady Corp., Class A Shares | 122,014 | ||||
1,536 | BrightView Holdings Inc.* | 26,650 | ||||
2,314 | Brinks Co. (The)(a) | 174,499 | ||||
2,200 | Casella Waste Systems Inc., Class A Shares* | 148,346 | ||||
1,390 | CECO Environmental Corp.* | 10,606 | ||||
857 | Cimpress PLC* | 85,109 | ||||
10,985 | Clean Harbors Inc.* | 1,022,703 | ||||
6,495 | CoreCivic Inc.* | 50,856 |
52
Schedules of Investments
(unaudited) (continued)
Small-Mid Cap Equity Fund
Shares/Units | Security | Value | ||||
INDUSTRIALS - 16.9% - (continued) |
| |||||
Commercial Services & Supplies - 2.1% - (continued) |
| |||||
88,684 | Covanta Holding Corp. | $ | 1,313,410 | |||
2,036 | Deluxe Corp. | 92,760 | ||||
1,553 | Driven Brands Holdings Inc.* | 46,000 | ||||
695 | Ennis Inc. | 14,567 | ||||
131,291 | Harsco Corp.*(a) | 2,943,544 | ||||
3,571 | Healthcare Services Group Inc. | 107,094 | ||||
898 | Heritage-Crystal Clean Inc.* | 27,658 | ||||
2,922 | Herman Miller Inc. | 139,672 | ||||
2,175 | HNI Corp. | 99,223 | ||||
6,381 | IAA Inc.*(a) | 363,526 | ||||
3,021 | Interface Inc., Class A Shares | 49,363 | ||||
32,431 | KAR Auction Services Inc.* | 581,812 | ||||
1,975 | Kimball International Inc., Class B Shares | 26,307 | ||||
2,592 | Knoll Inc. | 67,392 | ||||
24,144 | Matthews International Corp., Class A Shares | 943,306 | ||||
1,063 | Montrose Environmental Group Inc.*(a) | 53,299 | ||||
6,011 | MSA Safety Inc.(a) | 1,010,209 | ||||
157 | NL Industries Inc. | 1,137 | ||||
8,688 | Pitney Bowes Inc. | 72,805 | ||||
1,336 | Quad/Graphics Inc.* | 4,422 | ||||
1,194 | SP Plus Corp.* | 39,032 | ||||
3,660 | Steelcase Inc., Class A Shares | 52,960 | ||||
23,862 | Stericycle Inc.*(a) | 1,874,599 | ||||
60,714 | Team Inc.*(a) | 516,069 | ||||
2,555 | Tetra Tech Inc. | 305,246 | ||||
705 | UniFirst Corp. | 156,284 | ||||
1,684 | US Ecology Inc.* | 66,737 | ||||
1,116 | Viad Corp.* | 49,260 | ||||
787 | Vidler Water Resouces Inc.* | 8,264 | ||||
531 | VSE Corp. | 25,260 | ||||
19,868 | Waste Connections Inc. | 2,412,770 | ||||
|
| |||||
Total Commercial Services & Supplies | 15,384,704 | |||||
|
| |||||
Construction & Engineering - 0.8% |
| |||||
6,717 | AECOM* | 436,672 | ||||
1,072 | Ameresco Inc., Class A Shares* | 57,631 | ||||
6,600 | API Group Corp.*(d) | 139,590 | ||||
2,219 | Arcosa Inc. | 140,907 | ||||
793 | Argan Inc. | 38,936 | ||||
1,659 | Comfort Systems USA Inc. | 137,531 | ||||
1,823 | Concrete Pumping Holdings Inc.* | 14,620 | ||||
1,375 | Construction Partners Inc., Class A Shares* | 44,289 | ||||
18,634 | Dycom Industries Inc.* | 1,396,059 | ||||
2,570 | EMCOR Group Inc. | 324,103 | ||||
6,584 | Fluor Corp.* | 121,804 | ||||
2,100 | Granite Construction Inc. | 84,756 | ||||
2,796 | Great Lakes Dredge & Dock Corp.* | 40,850 | ||||
3,693 | HC2 Holdings Inc.*(a) | 14,772 | ||||
505 | IES Holdings Inc.* | 26,795 | ||||
2,660 | MasTec Inc.* | 309,438 | ||||
1,521 | Matrix Service Co.* | 16,579 | ||||
722 | MYR Group Inc.* | 62,843 | ||||
554 | Northwest Pipe Co.* | 17,540 | ||||
559 | NV5 Global Inc.* | 51,053 | ||||
2,166 | Primoris Services Corp. | 68,857 | ||||
6,552 | Quanta Services Inc. | 624,733 | ||||
1,526 | Sterling Construction Co., Inc.* | 34,335 | ||||
2,164 | Tutor Perini Corp.* | 33,499 | ||||
3,418 | Valmont Industries Inc. | 847,664 | ||||
30,698 | WillScot Mobile Mini Holdings Corp., Class A Shares* | 890,242 | ||||
|
| |||||
Total Construction & Engineering | 5,976,098 | |||||
|
|
53
Schedules of Investments
(unaudited) (continued)
Small-Mid Cap Equity Fund
Shares/Units | Security | Value | ||||
INDUSTRIALS - 16.9% - (continued) |
| |||||
Electrical Equipment - 1.3% |
| |||||
1,708 | Acuity Brands Inc.(a) | $ | 317,261 | |||
579 | Allied Motion Technologies Inc. | 20,497 | ||||
1,407 | American Superconductor Corp.* | 21,063 | ||||
5,826 | Array Technologies Inc.*(a) | 94,964 | ||||
22,619 | Atkore Inc.* | 1,746,187 | ||||
13,054 | AZZ Inc. | 698,258 | ||||
138,399 | Babcock & Wilcox Enterprises Inc.* | 1,192,999 | ||||
23,651 | Bloom Energy Corp., Class A Shares* | 571,645 | ||||
853 | Encore Wire Corp. | 70,116 | ||||
1,962 | EnerSys | 184,899 | ||||
14,891 | FuelCell Energy Inc.* | 146,230 | ||||
2,921 | Generac Holdings Inc.* | 960,191 | ||||
8,661 | GrafTech International Ltd. | 115,018 | ||||
2,614 | Hubbell Inc., Class B Shares | 498,333 | ||||
1,362 | LSI Industries Inc. | 12,667 | ||||
7,225 | nVent Electric PLC | 235,101 | ||||
1,358 | Orion Energy Systems Inc.* | 8,705 | ||||
19,544 | Plug Power Inc.*(a) | 600,001 | ||||
76 | Powell Industries Inc. | 2,611 | ||||
194 | Preformed Line Products Co. | 14,437 | ||||
1,947 | Regal Beloit Corp. | 276,922 | ||||
7,347 | Sensata Technologies Holding PLC* | 436,632 | ||||
4,093 | Shoals Technologies Group Inc., Class A Shares* | 112,967 | ||||
7,531 | Sunrun Inc.* | 336,786 | ||||
1,647 | Thermon Group Holdings Inc.* | 28,707 | ||||
1,399 | TPI Composites Inc.* | 67,572 | ||||
623 | Ultralife Corp.* | 5,688 | ||||
11,224 | Vertiv Holdings Co., Class A Shares(a) | 278,580 | ||||
976 | Vicor Corp.* | 87,918 | ||||
|
| |||||
Total Electrical Equipment | 9,142,955 | |||||
|
| |||||
Industrial Conglomerates - 0.5% |
| |||||
6,973 | Carlisle Cos., Inc. | 1,341,047 | ||||
1,680 | Raven Industries Inc. | 74,138 | ||||
4,861 | Roper Technologies Inc. | 2,187,499 | ||||
|
| |||||
Total Industrial Conglomerates | 3,602,684 | |||||
|
| |||||
Machinery - 3.4% |
| |||||
2,958 | AGCO Corp. | 409,298 | ||||
539 | Alamo Group Inc. | 83,103 | ||||
14,816 | Albany International Corp., Class A Shares(a) | 1,323,810 | ||||
5,357 | Allison Transmission Holdings Inc.(a) | 226,655 | ||||
22,636 | Altra Industrial Motion Corp. | 1,486,959 | ||||
1,158 | Astec Industries Inc. | 79,358 | ||||
13,173 | Barnes Group Inc. | 703,702 | ||||
916 | Blue Bird Corp.* | 23,962 | ||||
1,711 | Chart Industries Inc.* | 249,703 | ||||
772 | CIRCOR International Inc.* | 29,050 | ||||
5,167 | Colfax Corp.*(a) | 228,381 | ||||
1,274 | Columbus McKinnon Corp.(a) | 64,592 | ||||
2,412 | Crane Co. | 230,322 | ||||
6,036 | Donaldson Co., Inc. | 371,757 | ||||
850 | Douglas Dynamics Inc. | 37,272 | ||||
203 | Eastern Co. (The) | 6,472 | ||||
2,160 | Energy Recovery Inc.* | 41,062 | ||||
23,847 | Enerpac Tool Group Corp., Class A Shares | 653,408 | ||||
892 | EnPro Industries Inc. | 82,055 | ||||
1,324 | ESCO Technologies Inc. | 125,303 | ||||
5,825 | Evoqua Water Technologies Corp.* | 181,274 | ||||
795 | ExOne Co. (The)* | 16,949 | ||||
2,570 | Federal Signal Corp. | 109,174 | ||||
20,026 | Flowserve Corp.(a) | 848,902 |
54
Schedules of Investments
(unaudited) (continued)
Small-Mid Cap Equity Fund
Shares/Units | Security | Value | ||||
INDUSTRIALS - 16.9% - (continued) |
| |||||
Machinery - 3.4% - (continued) |
| |||||
2,143 | Franklin Electric Co., Inc. | $ | 179,776 | |||
2,633 | Gates Industrial Corp. PLC* | 47,815 | ||||
303 | Gencor Industries Inc.* | 3,806 | ||||
1,012 | Gorman-Rupp Co. (The) | 36,412 | ||||
7,911 | Graco Inc. | 599,021 | ||||
303 | Graham Corp. | 4,451 | ||||
1,726 | Greenbrier Cos., Inc. (The)(a) | 76,652 | ||||
1,609 | Helios Technologies Inc. | 114,319 | ||||
3,416 | Hillenbrand Inc. | 155,770 | ||||
389 | Hurco Cos., Inc. | 13,378 | ||||
393 | Hydrofarm Holdings Group Inc.* | 24,480 | ||||
354 | Hyster-Yale Materials Handling Inc. | 26,759 | ||||
4,550 | IDEX Corp. | 1,013,103 | ||||
16,112 | ITT Inc. | 1,512,917 | ||||
1,479 | John Bean Technologies Corp. | 213,020 | ||||
511 | Kadant Inc. | 85,858 | ||||
3,824 | Kennametal Inc. | 143,438 | ||||
712 | LB Foster Co., Class A Shares* | 12,809 | ||||
11,929 | Lincoln Electric Holdings Inc. | 1,533,831 | ||||
464 | Lindsay Corp. | 76,388 | ||||
1,527 | Luxfer Holdings PLC, ADR | 34,907 | ||||
24,306 | Lydall Inc.*(a) | 884,252 | ||||
1,860 | Manitowoc Co., Inc. (The)* | 48,025 | ||||
267 | Mayville Engineering Co., Inc.* | 5,190 | ||||
3,052 | Meritor Inc.* | 79,352 | ||||
2,629 | Middleby Corp. (The)* | 431,892 | ||||
588 | Miller Industries Inc. | 24,608 | ||||
2,357 | Mueller Industries Inc. | 109,435 | ||||
121,362 | Mueller Water Products Inc., Class A Shares | 1,756,108 | ||||
2,242 | Navistar International Corp.* | 99,164 | ||||
982 | NN Inc.* | 7,375 | ||||
2,745 | Nordson Corp. | 608,539 | ||||
134 | Omega Flex Inc. | 19,705 | ||||
3,238 | Oshkosh Corp. | 425,603 | ||||
384 | Park-Ohio Holdings Corp. | 14,166 | ||||
7,870 | Pentair PLC | 542,794 | ||||
1,220 | Proto Labs Inc.* | 109,056 | ||||
1,152 | RBC Bearings Inc.* | 225,550 | ||||
1,342 | REV Group Inc.* | 25,122 | ||||
5,706 | Rexnord Corp. | 285,129 | ||||
1,887 | Shyft Group Inc. (The) | 73,555 | ||||
2,574 | Snap-on Inc. | 655,392 | ||||
2,222 | SPX Corp.* | 139,164 | ||||
1,934 | SPX FLOW Inc. | 132,730 | ||||
679 | Standex International Corp. | 67,655 | ||||
705 | Tennant Co. | 58,332 | ||||
3,045 | Terex Corp. | 159,467 | ||||
20,577 | Timken Co. (The) | 1,820,036 | ||||
5,130 | Toro Co. (The) | 569,892 | ||||
1,992 | TriMas Corp.* | 64,581 | ||||
4,263 | Trinity Industries Inc. | 118,426 | ||||
6,670 | Twin Disc Inc.* | 91,913 | ||||
2,140 | Wabash National Corp. | 34,133 | ||||
1,268 | Watts Water Technologies Inc., Class A Shares | 172,321 | ||||
40,057 | Welbilt Inc.* | 989,808 | ||||
2,954 | Westinghouse Air Brake Technologies Corp.(a) | 244,473 | ||||
2,687 | Woodward Inc. | 341,733 | ||||
|
| |||||
Total Machinery | 24,956,109 | |||||
|
| |||||
Marine - 0.0% |
| |||||
1,942 | Costamare Inc. | 20,838 |
55
Schedules of Investments
(unaudited) (continued)
Small-Mid Cap Equity Fund
Shares/Units | Security | Value | ||||
INDUSTRIALS - 16.9% - (continued) |
| |||||
Marine - 0.0% - (continued) |
| |||||
263 | Eagle Bulk Shipping Inc.* | $ | 12,448 | |||
401 | Eneti Inc. | 8,064 | ||||
761 | Genco Shipping & Trading Ltd. | 12,024 | ||||
2,761 | Kirby Corp.* | 180,376 | ||||
1,955 | Matson Inc. | 126,391 | ||||
2,124 | Safe Bulkers Inc.* | 7,837 | ||||
|
| |||||
Total Marine | 367,978 | |||||
|
| |||||
Professional Services - 2.2% |
| |||||
721 | Acacia Research Corp.* | 3,857 | ||||
537 | Akerna Corp.* | 2,352 | ||||
17,542 | ASGN Inc.* | 1,808,405 | ||||
440 | Barrett Business Services Inc. | 32,767 | ||||
477 | BGSF Inc. | 5,662 | ||||
6,468 | Booz Allen Hamilton Holding Corp., Class A Shares | 549,327 | ||||
1,184 | CACI International Inc., Class A Shares* | 301,873 | ||||
2,798 | CBIZ Inc.*(a) | 92,922 | ||||
3,474 | CoreLogic Inc. | 276,183 | ||||
1,936 | CoStar Group Inc.* | 1,653,344 | ||||
255 | CRA International Inc. | 20,874 | ||||
2,420 | Exponent Inc. | 220,777 | ||||
615 | Forrester Research Inc.* | 26,390 | ||||
684 | Franklin Covey Co.* | 21,204 | ||||
13,479 | FTI Consulting Inc.* | 1,854,036 | ||||
467 | GP Strategies Corp.* | 8,261 | ||||
1,013 | Heidrick & Struggles International Inc. | 43,600 | ||||
14,753 | Huron Consulting Group Inc.* | 807,137 | ||||
998 | ICF International Inc. | 87,724 | ||||
1,735 | Insperity Inc. | 159,950 | ||||
6,206 | Jacobs Engineering Group Inc. | 881,749 | ||||
68,491 | KBR Inc. | 2,790,323 | ||||
1,817 | Kelly Services Inc., Class A Shares* | 46,642 | ||||
830 | Kforce Inc. | 52,049 | ||||
2,479 | Korn Ferry | 162,151 | ||||
2,753 | ManpowerGroup Inc. | 333,085 | ||||
1,320 | ManTech International Corp., Class A Shares | 114,853 | ||||
233 | Mastech Digital Inc.* | 3,672 | ||||
729 | Mistras Group Inc.* | 7,589 | ||||
16,879 | Nielsen Holdings PLC(a) | 459,278 | ||||
345 | Red Violet Inc.*(a) | 7,583 | ||||
1,834 | Resources Connection Inc. | 26,740 | ||||
5,261 | Robert Half International Inc. | 467,124 | ||||
2,761 | Science Applications International Corp. | 248,103 | ||||
1,948 | TriNet Group Inc.* | 146,762 | ||||
1,429 | TrueBlue Inc.* | 38,769 | ||||
4,259 | Upwork Inc.* | 200,471 | ||||
12,614 | Verisk Analytics Inc., Class A Shares | 2,180,078 | ||||
586 | Willdan Group Inc.* | 21,307 | ||||
|
| |||||
Total Professional Services | 16,164,973 | |||||
|
| |||||
Road & Rail - 1.0% |
| |||||
428 | AMERCO | 246,117 | ||||
1,296 | ArcBest Corp. | 100,881 | ||||
17,540 | Avis Budget Group Inc.*(a) | 1,540,363 | ||||
321 | Covenant Logistics Group Inc., Class A Shares* | 7,226 | ||||
1,107 | Daseke Inc.* | 8,015 | ||||
2,499 | Heartland Express Inc. | 45,357 | ||||
18,748 | Knight-Swift Transportation Holdings Inc., Class A Shares | 894,842 | ||||
1,834 | Landstar System Inc. | 312,697 | ||||
2,542 | Marten Transport Ltd. | 43,366 | ||||
4,525 | Old Dominion Freight Line Inc. | 1,201,161 | ||||
82 | PAM Transportation Services Inc.* | 4,759 |
56
Schedules of Investments
(unaudited) (continued)
Small-Mid Cap Equity Fund
Shares/Units | Security | Value | ||||
INDUSTRIALS - 16.9% - (continued) |
| |||||
Road & Rail - 1.0% - (continued) |
| |||||
7,457 | Ryder System Inc. | $ | 609,908 | |||
7,779 | Saia Inc.* | 1,790,415 | ||||
3,237 | Schneider National Inc., Class B Shares | 79,274 | ||||
346 | Universal Logistics Holdings Inc. | 8,650 | ||||
948 | US Xpress Enterprises Inc., Class A Shares* | 10,655 | ||||
7,430 | Werner Enterprises Inc.(a) | 356,566 | ||||
|
| |||||
Total Road & Rail | 7,260,252 | |||||
|
| |||||
Trading Companies & Distributors - 1.1% |
| |||||
47,320 | AerCap Holdings NV* | 2,791,880 | ||||
5,060 | Air Lease Corp., Class A Shares | 238,124 | ||||
924 | Alta Equipment Group Inc.* | 13,546 | ||||
1,724 | Applied Industrial Technologies Inc. | 168,883 | ||||
2,543 | Beacon Roofing Supply Inc.* | 144,035 | ||||
1,781 | Boise Cascade Co. | 117,528 | ||||
597 | CAI International Inc. | 25,623 | ||||
1,125 | Custom Truck One Source Inc.* | 11,936 | ||||
941 | DXP Enterprises Inc.* | 29,067 | ||||
107 | EVI Industries Inc.* | 3,217 | ||||
34,141 | Fastenal Co. | 1,810,839 | ||||
1,616 | GATX Corp.(a) | 159,435 | ||||
1,802 | GMS Inc.* | 82,514 | ||||
1,849 | H&E Equipment Services Inc. | 69,153 | ||||
1,116 | Herc Holdings Inc.* | 128,362 | ||||
282 | Lawson Products Inc.* | 17,061 | ||||
1,076 | McGrath RentCorp | 92,245 | ||||
4,213 | MRC Global Inc.* | 45,248 | ||||
2,185 | MSC Industrial Direct Co., Inc., Class A Shares | 206,264 | ||||
5,678 | NOW Inc.*(a) | 59,449 | ||||
2,039 | Rush Enterprises Inc., Class A Shares | 97,464 | ||||
288 | Rush Enterprises Inc., Class B Shares | 12,488 | ||||
2,089 | SiteOne Landscape Supply Inc.* | 359,392 | ||||
687 | Systemax Inc. | 23,578 | ||||
1,939 | Textainer Group Holdings Ltd.* | 65,344 | ||||
701 | Titan Machinery Inc.* | 21,507 | ||||
309 | Transcat Inc.* | 16,328 | ||||
2,849 | Triton International Ltd. | 154,558 | ||||
7,827 | Univar Solutions Inc.* | 212,033 | ||||
727 | Veritiv Corp.* | 44,652 | ||||
1,568 | Watsco Inc. | 456,915 | ||||
2,329 | WESCO International Inc.* | 248,202 | ||||
120 | Willis Lease Finance Corp.* | 5,322 | ||||
|
| |||||
Total Trading Companies & Distributors | 7,932,192 | |||||
|
| |||||
Transportation Infrastructure - 0.0% |
| |||||
3,621 | Macquarie Infrastructure Corp. | 126,300 | ||||
|
| |||||
TOTAL INDUSTRIALS | 122,885,229 | |||||
|
| |||||
INFORMATION TECHNOLOGY - 17.7% |
| |||||
Communications Equipment - 1.3% |
| |||||
1,950 | ADTRAN Inc. | 38,629 | ||||
1,155 | Applied Optoelectronics Inc.*(a) | 9,506 | ||||
55,631 | CalAmp Corp.* | 771,602 | ||||
2,746 | Calix Inc.* | 121,675 | ||||
368 | Cambium Networks Corp.* | 21,237 | ||||
1,434 | Casa Systems Inc.* | 12,447 | ||||
54,405 | Ciena Corp.* | 2,876,392 | ||||
390 | Clearfield Inc.* | 14,750 | ||||
9,790 | CommScope Holding Co., Inc.* | 198,835 | ||||
1,333 | Comtech Telecommunications Corp. | 33,712 | ||||
1,623 | Digi International Inc.* | 30,772 | ||||
734 | DZS Inc.* | 12,148 | ||||
2,179 | EchoStar Corp., Class A Shares* | 57,722 |
57
Schedules of Investments
(unaudited) (continued)
Small-Mid Cap Equity Fund
Shares/Units | Security | Value | ||||
INFORMATION TECHNOLOGY - 17.7% - (continued) |
| |||||
Communications Equipment - 1.3% - (continued) |
| |||||
46,257 | EMCORE Corp.* | $ | 448,693 | |||
4,495 | Extreme Networks Inc.* | 51,423 | ||||
1,820 | Genasys Inc.* | 9,919 | ||||
3,661 | Harmonic Inc.* | 25,517 | ||||
106,839 | Infinera Corp.*(a) | 1,025,654 | ||||
3,751 | Inseego Corp.*(a) | 32,259 | ||||
659 | KVH Industries Inc.* | 9,417 | ||||
3,600 | Lumentum Holdings Inc.* | 292,932 | ||||
1,345 | NETGEAR Inc.* | 52,294 | ||||
3,628 | NetScout Systems Inc.* | 106,663 | ||||
936 | PCTEL Inc.* | 6,168 | ||||
1,485 | Plantronics Inc.* | 48,708 | ||||
8,502 | Radware Ltd.* | 248,258 | ||||
2,628 | Resonant Inc.* | 8,567 | ||||
74,563 | Ribbon Communications Inc.*(a) | 554,749 | ||||
24,133 | ViaSat Inc.*(a) | 1,283,393 | ||||
68,155 | Viavi Solutions Inc.* | 1,194,757 | ||||
|
| |||||
Total Communications Equipment | 9,598,798 | |||||
|
| |||||
Electronic Equipment, Instruments & Components - 2.6% |
| |||||
294 | 908 Devices Inc.*(a) | 12,386 | ||||
26,118 | Advanced Energy Industries Inc. | 2,664,297 | ||||
1,846 | Akoustis Technologies Inc.* | 17,685 | ||||
24,114 | Amphenol Corp., Class A Shares | 1,621,908 | ||||
4,445 | Arlo Technologies Inc.* | 29,826 | ||||
3,571 | Arrow Electronics Inc.* | 429,698 | ||||
4,591 | Avnet Inc. | 202,279 | ||||
1,323 | Badger Meter Inc. | 126,439 | ||||
420 | Bel Fuse Inc., Class B Shares | 6,922 | ||||
19,871 | Belden Inc. | 1,005,473 | ||||
1,879 | Benchmark Electronics Inc.(a) | 58,155 | ||||
7,996 | Cognex Corp. | 634,802 | ||||
1,161 | Coherent Inc.* | 304,890 | ||||
1,669 | CTS Corp. | 63,839 | ||||
1,375 | Daktronics Inc.* | 9,295 | ||||
557 | ePlus Inc.* | 52,675 | ||||
1,679 | Fabrinet* | 150,590 | ||||
762 | FARO Technologies Inc.* | 57,645 | ||||
10,216 | II-VI Inc.*(a) | 688,252 | ||||
1,613 | Insight Enterprises Inc.* | 168,526 | ||||
857 | Intellicheck Inc.* | 6,428 | ||||
4,104 | IPG Photonics Corp.*(a) | 858,803 | ||||
2,709 | Iteris Inc.* | 19,965 | ||||
33,657 | Itron Inc.* | 3,209,195 | ||||
7,014 | Jabil Inc. | 395,940 | ||||
906 | Kimball Electronics Inc.* | 20,276 | ||||
50,424 | Knowles Corp.* | 1,035,709 | ||||
1,136 | Littelfuse Inc. | 296,769 | ||||
1,557 | Luna Innovations Inc.* | 15,804 | ||||
1,710 | Methode Electronics Inc.(a) | 82,730 | ||||
702 | Napco Security Technologies Inc.* | 22,843 | ||||
6,121 | National Instruments Corp.(a) | 249,737 | ||||
1,517 | nLight Inc.* | 44,478 | ||||
1,616 | Novanta Inc.* | 224,576 | ||||
7,960 | OSI Systems Inc.*(a) | 767,026 | ||||
856 | PAR Technology Corp.*(a) | 57,318 | ||||
650 | PC Connection Inc. | 31,713 | ||||
1,274 | Plexus Corp.* | 125,884 | ||||
1,439 | Powerfleet Inc.* | 9,699 | ||||
1,448 | Research Frontiers Inc.* | 3,446 | ||||
7,466 | Rogers Corp.*(a) | 1,398,755 |
58
Schedules of Investments
(unaudited) (continued)
Small-Mid Cap Equity Fund
Shares/Units | Security | Value | ||||
INFORMATION TECHNOLOGY - 17.7% - (continued) |
| |||||
Electronic Equipment, Instruments & Components - 2.6% - (continued) |
| |||||
3,184 | Sanmina Corp.*(a) | $ | 134,078 | |||
1,388 | ScanSource Inc.* | 42,376 | ||||
1,988 | SYNNEX Corp. | 251,681 | ||||
11,910 | Trimble Inc.* | 926,479 | ||||
4,507 | TTM Technologies Inc.* | 68,281 | ||||
6,070 | Vishay Intertechnology Inc. | 146,105 | ||||
672 | Vishay Precision Group Inc.* | 21,907 | ||||
695 | Wrap Technologies Inc.* | 6,227 | ||||
|
| |||||
Total Electronic Equipment, Instruments & Components | 18,779,810 | |||||
|
| |||||
IT Services - 3.0% |
| |||||
2,205 | Alliance Data Systems Corp. | 266,915 | ||||
6,179 | Amdocs Ltd. | 482,580 | ||||
1,992 | BigCommerce Holdings Inc.*(a) | 108,345 | ||||
46,960 | Black Knight Inc.* | 3,446,394 | ||||
241 | BM Technologies Inc.*(b) | 3,097 | ||||
2,182 | Brightcove Inc.* | 31,639 | ||||
1,711 | Cardtronics PLC, Class A Shares*(a) | 66,609 | ||||
772 | Cass Information Systems Inc. | 35,226 | ||||
1,982 | Concentrix Corp.* | 302,691 | ||||
263,839 | Conduent Inc.* | 1,999,900 | ||||
1,351 | CSG Systems International Inc. | 59,498 | ||||
12,047 | DXC Technology Co.* | 456,822 | ||||
9,691 | Euronet Worldwide Inc.* | 1,450,161 | ||||
2,652 | EVERTEC Inc. | 115,442 | ||||
2,237 | Evo Payments Inc., Class A Shares* | 64,068 | ||||
1,512 | ExlService Holdings Inc.* | 154,194 | ||||
3,746 | Fastly Inc., Class A Shares*(a) | 176,774 | ||||
4,655 | Gartner Inc.* | 1,079,215 | ||||
8,931 | Genpact Ltd. | 408,504 | ||||
1,842 | Globant SA* | 401,317 | ||||
3,413 | GreenSky Inc., Class A Shares* | 20,000 | ||||
1,136 | Grid Dynamics Holdings Inc.* | 17,460 | ||||
1,968 | GTT Communications Inc.*(a) | 2,932 | ||||
1,321 | Hackett Group Inc. (The) | 23,527 | ||||
841 | I3 Verticals Inc., Class A Shares* | 26,130 | ||||
73 | IBEX Holdings Ltd.* | 1,587 | ||||
1,089 | Information Services Group Inc.* | 6,382 | ||||
1,199 | International Money Express Inc.* | 18,309 | ||||
6,270 | Limelight Networks Inc.* | 19,437 | ||||
3,055 | LiveRamp Holdings Inc.* | 153,483 | ||||
3,027 | Maximus Inc. | 280,512 | ||||
3,433 | MoneyGram International Inc.* | 33,643 | ||||
2,487 | MongoDB Inc., Class A Shares* | 726,055 | ||||
3,476 | Okta Inc., Class A Shares* | 773,201 | ||||
1,815 | Paysign Inc.* | 6,008 | ||||
1,575 | Perficient Inc.* | 112,754 | ||||
780 | PFSweb Inc.* | 5,873 | ||||
482 | Priority Technology Holdings Inc.* | 3,736 | ||||
1,707 | Rackspace Technology Inc.*(a) | 34,447 | ||||
3,197 | Repay Holdings Corp., Class A Shares* | 72,604 | ||||
15,092 | Sabre Corp.*(a) | 209,024 | ||||
4,566 | ServiceSource International Inc.* | 5,662 | ||||
13,350 | Shift4 Payments Inc., Class A Shares* | 1,245,422 | ||||
675 | StarTek Inc.* | 4,273 | ||||
9,619 | StoneCo Ltd., Class A Shares* | 634,565 | ||||
3,972 | Switch Inc., Class A Shares | 74,952 | ||||
1,612 | Sykes Enterprises Inc.* | 67,575 | ||||
863 | TTEC Holdings Inc. | 93,558 | ||||
341 | Tucows Inc., Class A Shares* | 26,632 | ||||
2,490 | Twilio Inc., Class A Shares* | 836,640 |
59
Schedules of Investments
(unaudited) (continued)
Small-Mid Cap Equity Fund
Shares/Units | Security | Value | ||||
INFORMATION TECHNOLOGY - 17.7% - (continued) |
| |||||
IT Services - 3.0% - (continued) |
| |||||
89,145 | Unisys Corp.* | $ | 2,291,918 | |||
6,101 | Verra Mobility Corp., Class A Shares* | 86,939 | ||||
8,225 | WEX Inc.* | 1,611,360 | ||||
11,580 | WNS Holdings Ltd., ADR* | 862,710 | ||||
|
| |||||
Total IT Services | 21,498,701 | |||||
|
| |||||
Semiconductors & Semiconductor Equipment - 3.2% |
| |||||
2,236 | Allegro MicroSystems Inc.* | 58,605 | ||||
928 | Alpha & Omega Semiconductor Ltd.* | 29,891 | ||||
1,560 | Ambarella Inc.* | 156,593 | ||||
4,666 | Amkor Technology Inc. | 98,453 | ||||
785 | Atomera Inc.*(a) | 13,777 | ||||
1,736 | Axcelis Technologies Inc.* | 71,940 | ||||
1,304 | AXT Inc.* | 13,275 | ||||
30,145 | Brooks Automation Inc. | 3,077,503 | ||||
923 | CEVA Inc.* | 41,415 | ||||
2,852 | Cirrus Logic Inc.* | 222,656 | ||||
1,379 | CMC Materials Inc. | 212,821 | ||||
2,105 | Cohu Inc.*(a) | 78,348 | ||||
5,266 | Cree Inc.*(a) | 526,653 | ||||
392 | CyberOptics Corp.* | 11,682 | ||||
2,100 | Diodes Inc.* | 158,907 | ||||
1,175 | DSP Group Inc.* | 18,471 | ||||
5,043 | Enphase Energy Inc.* | 721,401 | ||||
12,790 | Entegris Inc.(a) | 1,463,815 | ||||
4,383 | First Solar Inc.* | 333,590 | ||||
3,647 | FormFactor Inc.* | 128,557 | ||||
606 | GSI Technology Inc.* | 3,787 | ||||
1,306 | Ichor Holdings Ltd.* | 73,475 | ||||
6,382 | Impinj Inc.*(a) | 332,183 | ||||
6,453 | Lattice Semiconductor Corp.* | 342,461 | ||||
56,500 | MACOM Technology Solutions Holdings Inc.*(a) | 3,344,800 | ||||
562 | Maxeon Solar Technologies Ltd.* | 8,778 | ||||
3,195 | MaxLinear Inc., Class A Shares* | 121,474 | ||||
2,614 | MKS Instruments Inc. | 492,033 | ||||
2,112 | Monolithic Power Systems Inc. | 724,669 | ||||
2,843 | NeoPhotonics Corp.* | 29,027 | ||||
288 | NVE Corp. | 20,120 | ||||
19,390 | ON Semiconductor Corp.* | 776,376 | ||||
2,161 | Onto Innovation Inc.* | 155,095 | ||||
1,549 | PDF Solutions Inc.* | 27,014 | ||||
3,498 | Photronics Inc.* | 47,363 | ||||
1,973 | Pixelworks Inc.* | 6,886 | ||||
2,808 | Power Integrations Inc.(a) | 230,789 | ||||
72,059 | Rambus Inc.* | 1,409,474 | ||||
3,043 | Semtech Corp.* | 191,709 | ||||
2,060 | Silicon Laboratories Inc.*(a) | 281,314 | ||||
23,310 | Silicon Motion Technology Corp., ADR(a) | 1,537,761 | ||||
588 | SiTime Corp.* | 57,818 | ||||
16,585 | SMART Global Holdings Inc.*(a) | 786,129 | ||||
2,333 | SolarEdge Technologies Inc.* | 601,937 | ||||
3,502 | SunPower Corp., Class A Shares*(a) | 81,912 | ||||
8,017 | Synaptics Inc.* | 1,012,788 | ||||
7,917 | Teradyne Inc.(a) | 1,047,815 | ||||
1,826 | Ultra Clean Holdings Inc.* | 102,858 | ||||
2,050 | Universal Display Corp. | 442,513 | ||||
68,762 | Veeco Instruments Inc.*(a) | 1,637,911 | ||||
|
| |||||
Total Semiconductors & Semiconductor Equipment | 23,366,622 | |||||
|
| |||||
Software - 6.6% |
| |||||
5,017 | 8x8 Inc.*(a) | 118,150 | ||||
3,336 | A10 Networks Inc.* | 32,459 |
60
Schedules of Investments
(unaudited) (continued)
Small-Mid Cap Equity Fund
Shares/Units | Security | Value | ||||
INFORMATION TECHNOLOGY - 17.7% - (continued) |
| |||||
Software - 6.6% - (continued) |
| |||||
35,608 | ACI Worldwide Inc.* | $ | 1,362,362 | |||
949 | Agilysys Inc.* | 48,200 | ||||
2,251 | Alarm.com Holdings Inc.* | 184,312 | ||||
2,042 | Altair Engineering Inc., Class A Shares*(a) | 137,570 | ||||
2,558 | Alteryx Inc., Class A Shares*(a) | 198,936 | ||||
1,562 | American Software Inc., Class A Shares | 31,427 | ||||
6,425 | Anaplan Inc.* | 330,952 | ||||
8,317 | ANSYS Inc.* | 2,810,647 | ||||
784 | Appfolio Inc., Class A Shares* | 105,754 | ||||
1,648 | Appian Corp., Class A Shares*(a) | 149,111 | ||||
10,110 | Aspen Technology Inc.*(a) | 1,379,712 | ||||
583 | Asure Software Inc.* | 4,926 | ||||
3,408 | Atlassian Corp. PLC, Class A Shares* | 795,018 | ||||
3,935 | Avalara Inc.* | 520,089 | ||||
3,891 | Avaya Holdings Corp.*(a) | 111,594 | ||||
1,594 | Benefitfocus Inc.* | 23,575 | ||||
3,537 | Bill.com Holdings Inc.*(a) | 526,730 | ||||
2,276 | Blackbaud Inc.*(a) | 160,890 | ||||
28,649 | Blackline Inc.* | 2,978,637 | ||||
38,777 | Bottomline Technologies de Inc.* | 1,449,484 | ||||
63,263 | Box Inc., Class A Shares* | 1,474,661 | ||||
5,817 | CDK Global Inc.(a) | 304,462 | ||||
1,796 | Cerence Inc.*(a) | 170,853 | ||||
5,560 | Ceridian HCM Holding Inc.*(a) | 497,398 | ||||
1,588 | ChannelAdvisor Corp.* | 37,683 | ||||
160,827 | Cloudera Inc.* | 2,068,235 | ||||
5,552 | Cloudflare Inc., Class A Shares* | 455,597 | ||||
65,498 | Cognyte Software Ltd.* | 1,685,919 | ||||
1,942 | CommVault Systems Inc.* | 147,922 | ||||
3,022 | Cornerstone OnDemand Inc.* | 132,877 | ||||
2,692 | Coupa Software Inc.* | 641,234 | ||||
4,438 | Crowdstrike Holdings Inc., Class A Shares* | 985,902 | ||||
4,830 | CyberArk Software Ltd.* | 611,188 | ||||
1,254 | Datto Holding Corp.* | 33,783 | ||||
704 | Digimarc Corp.* | 24,478 | ||||
3,995 | Digital Turbine Inc.* | 264,349 | ||||
3,045 | Dolby Laboratories Inc., Class A Shares | 297,009 | ||||
1,138 | Domo Inc., Class B Shares* | 75,677 | ||||
3,365 | Duck Creek Technologies Inc.*(a) | 132,278 | ||||
8,722 | Dynatrace Inc.* | 451,276 | ||||
1,396 | Ebix Inc. | 38,250 | ||||
552 | eGain Corp.* | 5,542 | ||||
3,147 | Elastic NV* | 372,007 | ||||
15,598 | Envestnet Inc.* | 1,122,588 | ||||
1,685 | Everbridge Inc.* | 197,988 | ||||
1,337 | Fair Isaac Corp.* | 676,602 | ||||
89,905 | FireEye Inc.*(a) | 2,011,175 | ||||
2,949 | Five9 Inc.* | 522,268 | ||||
2,223 | GTY Technology Holdings Inc.* | 13,338 | ||||
13,157 | Guidewire Software Inc.* | 1,285,965 | ||||
1,976 | HubSpot Inc.* | 996,655 | ||||
416 | Intelligent Systems Corp.* | 13,591 | ||||
1,498 | InterDigital Inc. | 121,008 | ||||
2,055 | j2 Global Inc.*(a) | 255,909 | ||||
2,077 | Jamf Holding Corp.* | 72,030 | ||||
706 | JFrog Ltd.*(a) | 29,476 | ||||
2,943 | LivePerson Inc.*(a) | 161,718 | ||||
3,012 | Manhattan Associates Inc.* | 409,572 | ||||
1,939 | McAfee Corp., Class A Shares | 48,727 | ||||
4,548 | Medallia Inc.* | 116,747 |
61
Schedules of Investments
(unaudited) (continued)
Small-Mid Cap Equity Fund
Shares/Units | Security | Value | ||||
INFORMATION TECHNOLOGY - 17.7% - (continued) |
| |||||
Software - 6.6% - (continued) |
| |||||
344 | MicroStrategy Inc., Class A Shares*(a) | $ | 161,680 | |||
23,807 | Mimecast Ltd.* | 1,190,112 | ||||
1,743 | Mitek Systems Inc.* | 29,561 | ||||
1,866 | Model N Inc.* | 66,560 | ||||
2,129 | nCino Inc.* | 130,124 | ||||
8,583 | New Relic Inc.* | 537,982 | ||||
13,599 | Nuance Communications Inc.* | 719,387 | ||||
8,946 | Nutanix Inc., Class A Shares* | 281,888 | ||||
394 | ON24 Inc.* | 12,679 | ||||
35,024 | OneSpan Inc.* | 915,878 | ||||
3,380 | PagerDuty Inc.*(a) | 137,397 | ||||
929 | Park City Group Inc.*(a) | 5,565 | ||||
1,827 | Paylocity Holding Corp.* | 310,279 | ||||
1,882 | Pegasystems Inc. | 222,339 | ||||
1,955 | Ping Identity Holding Corp.* | 47,135 | ||||
2,294 | Progress Software Corp. | 102,244 | ||||
6,434 | Proofpoint Inc.* | 1,111,860 | ||||
13,866 | PROS Holdings Inc.*(a) | 615,234 | ||||
4,985 | PTC Inc.* | 668,688 | ||||
2,375 | Q2 Holdings Inc.* | 225,459 | ||||
672 | QAD Inc., Class A Shares | 48,021 | ||||
1,649 | Qualys Inc.*(a) | 159,425 | ||||
2,434 | Rapid7 Inc.* | 203,604 | ||||
1,073 | Rimini Street Inc.* | 6,985 | ||||
4,162 | SailPoint Technologies Holding Inc.*(a) | 193,658 | ||||
1,405 | Sapiens International Corp. NV | 40,338 | ||||
1,260 | Seachange International Inc.* | 1,462 | ||||
333 | SecureWorks Corp., Class A Shares* | 4,689 | ||||
415 | ShotSpotter Inc.* | 16,895 | ||||
5,389 | Smartsheet Inc., Class A Shares* | 318,382 | ||||
1,796 | Smith Micro Software Inc.* | 9,680 | ||||
1,816 | SolarWinds Corp.* | 30,055 | ||||
1,212 | Sprout Social Inc., Class A Shares* | 84,137 | ||||
1,665 | SPS Commerce Inc.* | 156,277 | ||||
632 | Sumo Logic Inc.* | 11,882 | ||||
5,674 | SVMK Inc.* | 110,359 | ||||
2,724 | Synchronoss Technologies Inc.* | 7,927 | ||||
755 | Telos Corp.* | 24,824 | ||||
3,344 | Tenable Holdings Inc.* | 139,779 | ||||
5,339 | Teradata Corp.*(a) | 255,578 | ||||
1,333 | Upland Software Inc.*(a) | 54,640 | ||||
4,796 | Varonis Systems Inc., Class B Shares* | 231,647 | ||||
29,092 | Verint Systems Inc.* | 1,341,432 | ||||
1,276 | Veritone Inc.*(a) | 24,461 | ||||
490 | Viant Technology Inc., Class A Shares* | 14,303 | ||||
3,570 | VirnetX Holding Corp.* | 16,351 | ||||
36,126 | Vonage Holdings Corp.* | 497,816 | ||||
5,210 | Workiva Inc., Class A Shares* | 494,429 | ||||
102,648 | Xperi Holding Corp. | 2,198,720 | ||||
4,516 | Yext Inc.* | 65,347 | ||||
5,515 | Zendesk Inc.* | 753,680 | ||||
1,249 | Zix Corp.* | 8,706 | ||||
3,450 | Zscaler Inc.* | 669,990 | ||||
5,346 | Zuora Inc., Class A Shares* | 82,703 | ||||
|
| |||||
Total Software | 48,194,705 | |||||
|
| |||||
Technology Hardware, Storage & Peripherals - 1.0% |
| |||||
5,643 | 3D Systems Corp.* | 165,961 | ||||
1,710 | Avid Technology Inc.* | 52,805 | ||||
1,104 | Corsair Gaming Inc.*(a) | 34,467 | ||||
55,201 | Diebold Nixdorf Inc.* | 747,421 |
62
Schedules of Investments
(unaudited) (continued)
Small-Mid Cap Equity Fund
Shares/Units | Security | Value | ||||
INFORMATION TECHNOLOGY - 17.7% - (continued) |
| |||||
Technology Hardware, Storage & Peripherals - 1.0% - (continued) |
| |||||
990 | Eastman Kodak Co.* | $ | 7,049 | |||
693 | Immersion Corp.* | 5,925 | ||||
1,166 | Intevac Inc.* | 8,104 | ||||
54,734 | NCR Corp.* | 2,638,179 | ||||
42,717 | Pure Storage Inc., Class A Shares* | 813,759 | ||||
171,604 | Quantum Corp.* | 1,288,746 | ||||
39,457 | Stratasys Ltd.*(a) | 911,062 | ||||
1,846 | Super Micro Computer Inc.* | 64,130 | ||||
758 | Turtle Beach Corp.* | 25,090 | ||||
7,983 | Xerox Holdings Corp. | 187,201 | ||||
|
| |||||
Total Technology Hardware, Storage & Peripherals | 6,949,899 | |||||
|
| |||||
TOTAL INFORMATION TECHNOLOGY | 128,388,535 | |||||
|
| |||||
MATERIALS - 5.2% |
| |||||
Chemicals - 2.0% |
| |||||
664 | Advanced Emissions Solutions Inc.* | 5,272 | ||||
1,530 | AdvanSix Inc.* | 48,440 | ||||
1,569 | AgroFresh Solutions Inc.* | 3,467 | ||||
8,634 | Albemarle Corp. | 1,442,569 | ||||
816 | American Vanguard Corp. | 15,006 | ||||
5,538 | Amyris Inc.*(a) | 78,806 | ||||
2,750 | Ashland Global Holdings Inc.(a) | 260,810 | ||||
21,097 | Avient Corp. | 1,096,622 | ||||
9,893 | Axalta Coating Systems Ltd.* | 320,929 | ||||
1,514 | Balchem Corp. | 198,334 | ||||
2,822 | Cabot Corp. | 179,423 | ||||
10,168 | CF Industries Holdings Inc. | 540,632 | ||||
283 | Chase Corp. | 29,998 | ||||
7,745 | Chemours Co. (The) | 278,278 | ||||
12,223 | Ecolab Inc. | 2,628,923 | ||||
10,205 | Element Solutions Inc. | 238,695 | ||||
3,334 | Ferro Corp.* | 72,014 | ||||
1,486 | FutureFuel Corp. | 15,261 | ||||
2,585 | GCP Applied Technologies Inc.* | 63,022 | ||||
680 | Hawkins Inc. | 23,134 | ||||
2,329 | HB Fuller Co. | 160,980 | ||||
9,906 | Huntsman Corp. | 281,132 | ||||
2,097 | Ingevity Corp.* | 172,604 | ||||
1,064 | Innospec Inc. | 107,581 | ||||
359 | Intrepid Potash Inc.* | 10,275 | ||||
1,137 | Koppers Holdings Inc.* | 39,420 | ||||
24,145 | Kraton Corp.* | 819,723 | ||||
1,402 | Kronos Worldwide Inc. | 22,768 | ||||
6,826 | Livent Corp.* | 133,175 | ||||
2,518 | Marrone Bio Innovations Inc.* | 3,525 | ||||
1,449 | Minerals Technologies Inc. | 126,063 | ||||
16,463 | Mosaic Co. (The) | 594,973 | ||||
336 | NewMarket Corp. | 115,325 | ||||
6,762 | Olin Corp. | 330,594 | ||||
3,196 | Orion Engineered Carbons SA* | 64,687 | ||||
2,114 | PQ Group Holdings Inc. | 34,543 | ||||
627 | Quaker Chemical Corp. | 152,079 | ||||
3,651 | Rayonier Advanced Materials Inc.* | 28,186 | ||||
6,107 | RPM International Inc. | 571,188 | ||||
1,937 | Scotts Miracle-Gro Co. (The) | 421,046 | ||||
1,902 | Sensient Technologies Corp. | 164,998 | ||||
1,057 | Stepan Co. | 142,336 | ||||
396 | Trecora Resources* | 3,243 | ||||
1,482 | Tredegar Corp. | 22,586 | ||||
1,777 | Trinseo SA | 115,398 | ||||
57,891 | Tronox Holdings PLC, Class A Shares | 1,359,281 |
63
Schedules of Investments
(unaudited) (continued)
Small-Mid Cap Equity Fund
Shares/Units | Security | Value | ||||
MATERIALS - 5.2% - (continued) |
| |||||
Chemicals - 2.0% - (continued) |
| |||||
8,615 | Valvoline Inc. | $ | 284,295 | |||
1,602 | Westlake Chemical Corp. | 161,594 | ||||
2,640 | WR Grace & Co. | 180,893 | ||||
|
| |||||
Total Chemicals | 14,164,126 | |||||
|
| |||||
Construction Materials - 0.5% |
| |||||
1,962 | Eagle Materials Inc.* | 287,943 | ||||
1,388 | Forterra Inc.* | 32,451 | ||||
5,638 | Summit Materials Inc., Class A Shares* | 196,315 | ||||
136 | United States Lime & Minerals Inc. | 18,924 | ||||
743 | US Concrete Inc.* | 42,344 | ||||
18,030 | Vulcan Materials Co. | 3,305,260 | ||||
|
| |||||
Total Construction Materials | 3,883,237 | |||||
|
| |||||
Containers & Packaging - 1.7% |
| |||||
11,915 | AptarGroup Inc. | 1,755,199 | ||||
616 | Ardagh Group SA, Class A Shares | 15,221 | ||||
13,370 | Avery Dennison Corp. | 2,948,486 | ||||
25,865 | Berry Global Group Inc.* | 1,764,252 | ||||
28,497 | Crown Holdings Inc. | 2,942,030 | ||||
12,533 | Graphic Packaging Holding Co. | 221,583 | ||||
1,140 | Greif Inc., Class A Shares | 70,349 | ||||
197 | Greif Inc., Class B Shares | 11,777 | ||||
1,948 | Myers Industries Inc. | 42,914 | ||||
7,249 | O-I Glass Inc.* | 133,599 | ||||
4,473 | Packaging Corp. of America | 664,912 | ||||
1,431 | Pactiv Evergreen Inc. | 21,236 | ||||
32,170 | Ranpak Holdings Corp., Class A Shares*(a) | 710,314 | ||||
7,373 | Sealed Air Corp. | 419,229 | ||||
12,314 | Silgan Holdings Inc.(a) | 518,789 | ||||
4,731 | Sonoco Products Co. | 319,437 | ||||
411 | UFP Technologies Inc.* | 22,375 | ||||
|
| |||||
Total Containers & Packaging | 12,581,702 | |||||
|
| |||||
Metals & Mining - 0.9% |
| |||||
78,366 | Alamos Gold Inc., Class A Shares | 715,482 | ||||
8,868 | Alcoa Corp.* | 351,793 | ||||
5,824 | Allegheny Technologies Inc.* | 142,630 | ||||
4,425 | Arconic Corp.* | 160,052 | ||||
615 | Caledonia Mining Corp. PLC | 9,053 | ||||
2,441 | Carpenter Technology Corp. | 116,973 | ||||
2,619 | Century Aluminum Co.* | 35,645 | ||||
103,583 | Cleveland-Cliffs Inc.*(a) | 2,084,090 | ||||
10,969 | Coeur Mining Inc.* | 114,078 | ||||
5,727 | Commercial Metals Co. | 180,229 | ||||
1,539 | Compass Minerals International Inc. | 107,576 | ||||
3,346 | Ferroglobe Representation & Warranty Insurance Trust*#(b)(c) | | ||||
1,007 | Gatos Silver Inc.* | 17,159 | ||||
3,913 | Gold Resource Corp. | 10,878 | ||||
717 | Haynes International Inc. | 24,952 | ||||
24,527 | Hecla Mining Co. | 220,743 | ||||
835 | Kaiser Aluminum Corp. | 108,041 | ||||
877 | Materion Corp. | 69,151 | ||||
11,546 | Novagold Resources Inc.* | 118,462 | ||||
372 | Olympic Steel Inc. | 13,299 | ||||
3,006 | Reliance Steel & Aluminum Co. | 505,218 | ||||
3,118 | Royal Gold Inc. | 385,915 | ||||
539 | Ryerson Holding Corp.* | 8,926 | ||||
1,398 | Schnitzer Steel Industries Inc., Class A Shares(a) | 76,163 | ||||
9,474 | Steel Dynamics Inc. | 591,462 | ||||
4,484 | SunCoke Energy Inc. | 33,764 | ||||
2,318 | TimkenSteel Corp.* | 35,118 | ||||
12,307 | United States Steel Corp.(a) | 319,120 |
64
Schedules of Investments
(unaudited) (continued)
Small-Mid Cap Equity Fund
Shares/Units | Security | Value | ||||
MATERIALS - 5.2% - (continued) |
| |||||
Metals & Mining - 0.9% - (continued) |
| |||||
2,101 | Warrior Met Coal Inc. | $ | 38,448 | |||
1,637 | Worthington Industries Inc. | 108,648 | ||||
|
| |||||
Total Metals & Mining | 6,703,068 | |||||
|
| |||||
Paper & Forest Products - 0.1% |
| |||||
930 | Clearwater Paper Corp.* | 26,533 | ||||
2,817 | Domtar Corp.* | 152,766 | ||||
1,543 | Glatfelter Corp. | 22,775 | ||||
5,207 | Louisiana-Pacific Corp. | 349,962 | ||||
936 | Neenah Inc. | 49,543 | ||||
1,365 | Schweitzer-Mauduit International Inc. | 55,842 | ||||
1,838 | Verso Corp., Class A Shares | 31,264 | ||||
|
| |||||
Total Paper & Forest Products | 688,685 | |||||
|
| |||||
TOTAL MATERIALS | 38,020,818 | |||||
|
| |||||
REAL ESTATE - 5.9% |
| |||||
Equity Real Estate Investment Trusts (REITs) - 5.4% |
| |||||
4,382 | Acadia Realty Trust | 95,089 | ||||
3,004 | Agree Realty Corp. | 211,121 | ||||
2,918 | Alexander & Baldwin Inc. | 56,055 | ||||
106 | Alexanders Inc. | 28,743 | ||||
368 | Alpine Income Property Trust Inc. | 6,709 | ||||
3,210 | American Assets Trust Inc. | 117,325 | ||||
6,473 | American Campus Communities Inc. | 305,267 | ||||
6,220 | American Finance Trust Inc. | 56,602 | ||||
13,111 | American Homes 4 Rent, Class A Shares | 499,136 | ||||
11,341 | Americold Realty Trust | 431,185 | ||||
7,048 | Apartment Income REIT Corp. | 328,296 | ||||
8,209 | Apartment Investment & Management Co., Class A Shares | 57,873 | ||||
9,547 | Apple Hospitality REIT Inc. | 151,511 | ||||
2,971 | Armada Hoffler Properties Inc. | 39,425 | ||||
3,604 | AvalonBay Communities Inc. | 745,812 | ||||
1,411 | Bluerock Residential Growth REIT Inc., Class A Shares | 13,701 | ||||
11,868 | Boston Properties Inc. | 1,395,202 | ||||
7,374 | Brandywine Realty Trust | 103,678 | ||||
14,080 | Brixmor Property Group Inc. | 319,757 | ||||
1,555 | Broadstone Net Lease Inc., Class A Shares | 33,961 | ||||
750 | BRT Apartments Corp. | 13,447 | ||||
4,501 | Camden Property Trust | 564,335 | ||||
4,299 | CareTrust REIT Inc. | 100,081 | ||||
2,823 | CatchMark Timber Trust Inc., Class A Shares | 33,735 | ||||
674 | Centerspace | 47,982 | ||||
1,875 | Chatham Lodging Trust* | 24,694 | ||||
765 | CIM Commercial Trust Corp. | 9,165 | ||||
1,305 | City Office REIT Inc. | 15,086 | ||||
586 | Clipper Realty Inc. | 4,747 | ||||
22,468 | Colony Capital Inc.* | 154,355 | ||||
5,515 | Columbia Property Trust Inc. | 96,457 | ||||
1,153 | Community Healthcare Trust Inc. | 54,514 | ||||
945 | CorEnergy Infrastructure Trust Inc. | 5,755 | ||||
1,600 | CorePoint Lodging Inc.* | 16,784 | ||||
1,916 | CoreSite Realty Corp. | 232,315 | ||||
5,673 | Corporate Office Properties Trust | 156,575 | ||||
21,707 | Cousins Properties Inc. | 805,113 | ||||
334 | CTO Realty Growth Inc. | 17,642 | ||||
9,245 | CubeSmart | 404,839 | ||||
5,731 | CyrusOne Inc. | 422,661 | ||||
10,430 | DiamondRock Hospitality Co.* | 100,962 | ||||
12,469 | Diversified Healthcare Trust | 45,262 | ||||
7,762 | Douglas Emmett Inc. | 269,497 | ||||
3,794 | Easterly Government Properties Inc. | 78,650 | ||||
1,853 | EastGroup Properties Inc. | 292,922 |
65
Schedules of Investments
(unaudited) (continued)
Small-Mid Cap Equity Fund
Shares/Units | Security | Value | ||||
REAL ESTATE - 5.9% - (continued) |
| |||||
Equity Real Estate Investment Trusts (REITs) - 5.4% - (continued) |
| |||||
6,958 | Empire State Realty Trust Inc., Class A Shares | $ | 82,313 | |||
3,491 | EPR Properties* | 171,583 | ||||
168,406 | Equity Commonwealth | 4,621,061 | ||||
8,328 | Equity LifeStyle Properties Inc. | 590,122 | ||||
4,755 | Essential Properties Realty Trust Inc. | 121,728 | ||||
1,263 | Farmland Partners Inc. | 15,699 | ||||
3,638 | Federal Realty Investment Trust | 415,969 | ||||
6,124 | First Industrial Realty Trust Inc. | 310,119 | ||||
3,147 | Four Corners Property Trust Inc. | 87,361 | ||||
5,536 | Franklin Street Properties Corp. | 28,455 | ||||
10,359 | Gaming and Leisure Properties Inc. | 480,243 | ||||
6,430 | GEO Group Inc. (The)(a) | 33,372 | ||||
1,217 | Getty Realty Corp. | 37,885 | ||||
1,912 | Gladstone Commercial Corp. | 41,433 | ||||
1,077 | Gladstone Land Corp. | 24,911 | ||||
2,245 | Global Medical REIT Inc. | 32,328 | ||||
5,060 | Global Net Lease Inc. | 98,872 | ||||
62,033 | Healthcare Realty Trust Inc. | 1,882,081 | ||||
10,248 | Healthcare Trust of America Inc., Class A Shares | 280,898 | ||||
1,614 | Hersha Hospitality Trust, Class A Shares* | 17,351 | ||||
4,854 | Highwoods Properties Inc. | 221,731 | ||||
7,022 | Hudson Pacific Properties Inc. | 203,568 | ||||
4,131 | Independence Realty Trust Inc. | 70,557 | ||||
141 | Indus Realty Trust Inc. | 9,286 | ||||
3,546 | Industrial Logistics Properties Trust | 88,863 | ||||
1,111 | Innovative Industrial Properties Inc., Class A Shares | 200,236 | ||||
13,670 | Iron Mountain Inc. | 595,192 | ||||
4,094 | iStar Inc.(a) | 68,820 | ||||
28,979 | JBG SMITH Properties | 933,414 | ||||
5,539 | Kilroy Realty Corp. | 388,893 | ||||
19,694 | Kimco Realty Corp. | 419,679 | ||||
3,562 | Kite Realty Group Trust | 75,514 | ||||
4,104 | Lamar Advertising Co., Class A Shares | 430,181 | ||||
13,519 | Lexington Realty Trust, Class B Shares | 167,365 | ||||
3,520 | Life Storage Inc. | 350,029 | ||||
1,450 | LTC Properties Inc. | 56,811 | ||||
6,467 | Macerich Co. (The) | 102,890 | ||||
4,500 | Mack-Cali Realty Corp. | 76,815 | ||||
27,399 | Medical Properties Trust Inc. | 580,037 | ||||
14,810 | Monmouth Real Estate Investment Corp. | 279,020 | ||||
1,998 | National Health Investors Inc. | 131,688 | ||||
8,208 | National Retail Properties Inc. | 380,441 | ||||
2,750 | National Storage Affiliates Trust | 126,775 | ||||
592 | NETSTREIT Corp. | 13,213 | ||||
4,700 | New Senior Investment Group Inc. | 31,161 | ||||
863 | NexPoint Residential Trust Inc. | 44,738 | ||||
2,617 | Office Properties Income Trust | 76,495 | ||||
10,873 | Omega Healthcare Investors Inc. | 398,169 | ||||
892 | One Liberty Properties Inc. | 22,791 | ||||
6,703 | Outfront Media Inc.* | 160,470 | ||||
8,216 | Paramount Group Inc. | 90,212 | ||||
11,116 | Park Hotels & Resorts Inc.* | 231,102 | ||||
5,980 | Pebblebrook Hotel Trust | 133,653 | ||||
10,552 | Physicians Realty Trust | 191,308 | ||||
6,233 | Piedmont Office Realty Trust Inc., Class A Shares | 115,248 | ||||
728 | Plymouth Industrial REIT Inc. | 13,934 | ||||
3,068 | PotlatchDeltic Corp. | 184,694 | ||||
2,691 | Preferred Apartment Communities Inc., Class A Shares | 26,399 | ||||
7,884 | PS Business Parks Inc. | 1,221,705 | ||||
25,289 | QTS Realty Trust Inc., Class A Shares | 1,602,817 |
66
Schedules of Investments
(unaudited) (continued)
Small-Mid Cap Equity Fund
Shares/Units | Security | Value | ||||
REAL ESTATE - 5.9% - (continued) |
| |||||
Equity Real Estate Investment Trusts (REITs) - 5.4% - (continued) |
| |||||
6,247 | Rayonier Inc. | $ | 238,573 | |||
8,015 | Regency Centers Corp. | 517,769 | ||||
6,240 | Retail Opportunity Investments Corp. | 111,446 | ||||
9,741 | Retail Properties of America Inc., Class A Shares | 117,379 | ||||
784 | Retail Value Inc. | 13,767 | ||||
6,247 | Rexford Industrial Realty Inc. | 345,022 | ||||
7,371 | RLJ Lodging Trust | 113,292 | ||||
4,143 | RPT Realty | 52,823 | ||||
2,374 | Ryman Hospitality Properties Inc.* | 177,836 | ||||
9,491 | Sabra Health Care REIT Inc. | 165,808 | ||||
731 | Safehold Inc. | 51,243 | ||||
672 | Saul Centers Inc. | 29,870 | ||||
10,733 | SBA Communications Corp., Class A Shares | 3,199,722 | ||||
1,697 | Seritage Growth Properties, Class A Shares* | 28,645 | ||||
7,282 | Service Properties Trust | 91,462 | ||||
8,042 | SITE Centers Corp. | 120,389 | ||||
3,291 | SL Green Realty Corp. | 260,713 | ||||
34,136 | Spirit Realty Capital Inc. | 1,613,267 | ||||
13,657 | STAG Industrial Inc. | 487,691 | ||||
11,501 | STORE Capital Corp. | 395,634 | ||||
5,650 | Summit Hotel Properties Inc.* | 54,296 | ||||
9,647 | Sunstone Hotel Investors Inc.* | 121,166 | ||||
4,736 | Tanger Factory Outlet Centers Inc.(a) | 83,022 | ||||
3,496 | Terreno Realty Corp. | 222,416 | ||||
2,056 | UMH Properties Inc. | 43,608 | ||||
9,994 | Uniti Group Inc. | 108,535 | ||||
507 | Universal Health Realty Income Trust | 35,084 | ||||
5,562 | Urban Edge Properties | 107,625 | ||||
1,665 | Urstadt Biddle Properties Inc., Class A Shares | 30,436 | ||||
10,386 | VEREIT Inc. | 494,062 | ||||
25,542 | VICI Properties Inc. | 795,122 | ||||
3,620 | Washington Real Estate Investment Trust | 85,613 | ||||
5,584 | Weingarten Realty Investors | 182,988 | ||||
2,227 | Whitestone REIT, Class B Shares | 18,440 | ||||
5,084 | Xenia Hotels & Resorts Inc.* | 98,680 | ||||
|
| |||||
Total Equity Real Estate Investment Trusts (REITs) | 39,467,165 | |||||
|
| |||||
Real Estate Management & Development - 0.5% |
| |||||
191 | Altisource Portfolio Solutions SA* | 1,305 | ||||
17,989 | CBRE Group Inc., Class A Shares* | 1,579,074 | ||||
5,056 | Cushman & Wakefield PLC* | 96,115 | ||||
2,337 | eXp World Holdings Inc.*(a) | 75,392 | ||||
200 | Fathom Holdings Inc.*(a) | 6,604 | ||||
802 | Forestar Group Inc.* | 18,454 | ||||
386 | FRP Holdings Inc.* | 22,129 | ||||
1,847 | Howard Hughes Corp. (The)* | 195,468 | ||||
2,465 | Jones Lang LaSalle Inc.* | 498,546 | ||||
5,344 | Kennedy-Wilson Holdings Inc.(a) | 106,025 | ||||
1,299 | Marcus & Millichap Inc.* | 51,051 | ||||
322 | Maui Land & Pineapple Co., Inc.* | 3,433 | ||||
7,140 | Newmark Group Inc., Class A Shares | 92,106 | ||||
435 | Rafael Holdings Inc., Class B Shares* | 22,490 | ||||
1,039 | RE/MAX Holdings Inc., Class A Shares | 36,375 | ||||
5,000 | Realogy Holdings Corp.* | 88,550 | ||||
4,729 | Redfin Corp.*(a) | 279,153 | ||||
693 | RMR Group Inc. (The), Class A Shares | 27,110 | ||||
1,477 | St Joe Co. (The) | 69,079 | ||||
302 | Stratus Properties Inc.* | 8,205 | ||||
1,130 | Tejon Ranch Co.* | 16,905 | ||||
70 | Transcontinental Realty Investors Inc.* | 2,037 | ||||
|
| |||||
Total Real Estate Management & Development | 3,295,606 | |||||
|
| |||||
TOTAL REAL ESTATE | 42,762,771 | |||||
|
|
67
Schedules of Investments
(unaudited) (continued)
Small-Mid Cap Equity Fund
Shares/Units | Security | Value | ||||
UTILITIES - 3.0% |
| |||||
Electric Utilities - 0.6% |
| |||||
21,162 | ALLETE Inc. | $ | 1,457,850 | |||
596 | Genie Energy Ltd., Class B Shares | 3,636 | ||||
5,089 | Hawaiian Electric Industries Inc. | 219,081 | ||||
4,535 | IDACORP Inc. | 444,203 | ||||
1,835 | MGE Energy Inc. | 137,662 | ||||
11,597 | NRG Energy Inc. | 372,843 | ||||
9,324 | OGE Energy Corp. | 321,678 | ||||
2,170 | Otter Tail Corp. | 104,095 | ||||
63,114 | PG&E Corp.* | 639,976 | ||||
5,355 | Pinnacle West Capital Corp. | 452,926 | ||||
3,940 | PNM Resources Inc. | 193,533 | ||||
4,152 | Portland General Electric Co. | 199,047 | ||||
502 | Spark Energy Inc., Class A Shares | 5,216 | ||||
|
| |||||
Total Electric Utilities | 4,551,746 | |||||
|
| |||||
Gas Utilities - 0.2% |
| |||||
1,604 | Brookfield Infrastructure Corp., Class A Shares(a) | 114,814 | ||||
742 | Chesapeake Utilities Corp. | 85,003 | ||||
4,099 | National Fuel Gas Co. | 212,697 | ||||
4,437 | New Jersey Resources Corp. | 189,549 | ||||
1,310 | Northwest Natural Holding Co. | 69,273 | ||||
2,410 | ONE Gas Inc. | 179,111 | ||||
457 | RGC Resources Inc. | 10,456 | ||||
4,836 | South Jersey Industries Inc. | 128,928 | ||||
2,801 | Southwest Gas Holdings Inc. | 184,894 | ||||
2,327 | Spire Inc. | 166,753 | ||||
9,918 | UGI Corp. | 456,724 | ||||
|
| |||||
Total Gas Utilities | 1,798,202 | |||||
|
| |||||
Independent Power & Renewable Electricity Producers - 0.4% |
| |||||
6,074 | Brookfield Renewable Corp., Class A Shares | 259,481 | ||||
1,647 | Clearway Energy Inc., Class A Shares | 41,389 | ||||
4,115 | Clearway Energy Inc., Class C Shares(a) | 110,405 | ||||
15,113 | Ormat Technologies Inc.(a) | 1,043,553 | ||||
2,442 | Sunnova Energy International Inc.* | 71,306 | ||||
71,380 | Vistra Corp. | 1,154,215 | ||||
|
| |||||
Total Independent Power & Renewable Electricity Producers | 2,680,349 | |||||
|
| |||||
Multi-Utilities - 0.4% |
| |||||
29,332 | Avista Corp. | 1,329,620 | ||||
2,877 | Black Hills Corp. | 189,278 | ||||
9,495 | MDU Resources Group Inc. | 319,602 | ||||
10,240 | NorthWestern Corp. | 648,704 | ||||
744 | Unitil Corp. | 40,808 | ||||
|
| |||||
Total Multi-Utilities | 2,528,012 | |||||
|
| |||||
Water Utilities - 1.4% |
| |||||
1,832 | American States Water Co. | 145,406 | ||||
4,105 | American Water Works Co., Inc. | 636,357 | ||||
492 | Artesian Resources Corp., Class A Shares | 20,290 | ||||
1,059 | Cadiz Inc.*(a) | 14,572 | ||||
16,243 | California Water Service Group | 923,252 | ||||
873 | Consolidated Water Co., Ltd. | 10,747 | ||||
46,955 | Essential Utilities Inc. | 2,244,449 | ||||
818 | Global Water Resources Inc. | 13,971 | ||||
2,994 | Middlesex Water Co.(a) | 257,364 | ||||
7,021 | Pennon Group PLC, ADR | 213,649 | ||||
1,083 | Pure Cycle Corp.* | 15,314 | ||||
36,428 | SJW Group | 2,347,785 | ||||
112,223 | United Utilities Group PLC, ADR(a) | 3,145,049 | ||||
681 | York Water Co. (The) | 34,275 |
68
Schedules of Investments
(unaudited) (continued)
Small-Mid Cap Equity Fund
Shares/Units | Security | Value | ||||||||
UTILITIES - 3.0% - (continued) | ||||||||||
Water Utilities - 1.4% - (continued) | ||||||||||
Total Water Utilities | $ | 10,022,480 | ||||||||
|
| |||||||||
TOTAL UTILITIES | 21,580,789 | |||||||||
|
| |||||||||
TOTAL COMMON STOCKS (Cost - $410,466,810) | 688,577,660 | |||||||||
|
| |||||||||
CONVERTIBLE PREFERRED STOCKS - 0.7% | ||||||||||
HEALTH CARE - 0.5% | ||||||||||
Health Care Equipment & Supplies - 0.5% | ||||||||||
56,014 | Becton Dickinson & Co., 6.000% due 6/1/23 | 3,052,763 | ||||||||
1,884 | Boston Scientific Corp., 5.500% due 6/1/23 | 214,606 | ||||||||
|
| |||||||||
Total Health Care Equipment & Supplies | 3,267,369 | |||||||||
|
| |||||||||
TOTAL HEALTH CARE | 3,267,369 | |||||||||
|
| |||||||||
UTILITIES - 0.2% | ||||||||||
Water Utilities - 0.2% | ||||||||||
28,118 | Essential Utilities Inc., 6.000% due 4/30/22 | 1,693,547 | ||||||||
|
| |||||||||
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost - $4,615,755) | 4,960,916 | |||||||||
|
| |||||||||
CLOSED END MUTUAL FUND SECURITIES - 0.3% | ||||||||||
FINANCIALS - 0.3% | ||||||||||
Capital Markets - 0.3% | ||||||||||
4,364 | iShares® Core S&P Small-Capital ETF | 492,477 | ||||||||
4,208 | iShares® Russell 2000 ETF, Common Class Shares(a) | 948,904 | ||||||||
12,117 | iShares® Russell Mid-Capital ETF, Common Class Shares(a) | 949,125 | ||||||||
|
| |||||||||
TOTAL CLOSED END MUTUAL FUND SECURITIES (Cost - $1,361,311) | 2,390,506 | |||||||||
|
| |||||||||
PREFERRED STOCKS - 0.3% | ||||||||||
FINANCIALS - 0.3% | ||||||||||
Banks - 0.2% | ||||||||||
58,851 | US Bancorp, 3.500% (3-Month USD-LIBOR + 0.600%)(e)(f) | 1,438,907 | ||||||||
11,178 | US Bancorp, 6.500% (3-Month USD-LIBOR + 4.468%)(e)(f) | 293,087 | ||||||||
|
| |||||||||
Total Banks | 1,731,994 | |||||||||
|
| |||||||||
Insurance - 0.1% | ||||||||||
16,133 | MetLife Inc., 4.750%(f) | 428,331 | ||||||||
6,440 | MetLife Inc., 5.625%(f) | 176,392 | ||||||||
|
| |||||||||
Total Insurance | 604,723 | |||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (Cost - $2,233,912) | 2,336,717 | |||||||||
|
| |||||||||
Face Amount/Units | Rating | |||||||||
CORPORATE BONDS & NOTES - 0.1% | ||||||||||
COMMUNICATION SERVICES - 0.1% | ||||||||||
Diversified Telecommunication Services - 0.1% | ||||||||||
702,000 | NR | Infinera Corp., Senior Unsecured Notes, 2.500% due 3/1/27(b)(d) | 1,018,950 | |||||||
ENERGY - 0.0% | ||||||||||
Oil & Gas - 0.0% | ||||||||||
20,000 | CCC | ION Geophysical Corp., Secured Notes, 8.000% due 12/15/25 | 21,311 | |||||||
|
| |||||||||
TOTAL CORPORATE BONDS & NOTES (Cost - $722,015) | 1,040,261 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS (Cost - $419,399,803) | 699,306,060 | |||||||||
|
| |||||||||
Face Amount | ||||||||||
SHORT-TERM INVESTMENTS (g) - 14.3% | ||||||||||
MONEY MARKET FUND - 10.8% | ||||||||||
$77,990,029 | Invesco STIT - Government & Agency Portfolio, 0.030%, Institutional Class(h) (Cost - $77,990,029) | 77,990,029 | ||||||||
|
| |||||||||
TIME DEPOSITS - 3.5% | ||||||||||
5,635,162 | ANZ National Bank - London, 0.005% due 6/1/21 | 5,635,162 | ||||||||
20,372 | CAD | BBH - Grand Cayman, 0.010% due 5/31/21 | 16,871 | |||||||
1,159,771 | BNP Paribas - Paris, 0.005% due 6/1/21 | 1,159,771 | ||||||||
15,269,641 | Skandinaviska Enskilda Banken AB - Stockholm, 0.005% due 6/1/21 | 15,269,641 | ||||||||
3,342,577 | Sumitomo Mitsui Banking Corp. - Tokyo, 0.005% due 6/1/21 | 3,342,577 | ||||||||
|
| |||||||||
TOTAL TIME DEPOSITS (Cost - $25,424,022) | 25,424,022 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost - $103,414,051) | 103,414,051 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS - 110.7% (Cost - $522,813,854) | 802,720,111 | |||||||||
|
| |||||||||
Liabilities in Excess of Other Assets - (10.7)% | (77,596,750 | ) | ||||||||
|
| |||||||||
TOTAL NET ASSETS - 100.0% | $ | 725,123,361 | ||||||||
|
|
69
Schedules of Investments
(unaudited) (continued)
Small-Mid Cap Equity Fund
@ | May 28, 2021 represents the last business day of the Funds quarterly period. |
| Amount denominated in U.S. dollars, unless otherwise noted. |
| All ratings are by Standard & Poors Rating Service, unless otherwise noted. |
* | Non-income producing security. |
(a) | All or a portion of this security is on loan (See Note 1). |
(b) | Illiquid security. |
(c) | Security is valued in good faith at fair value by or under the direction of the Board of Trustees. |
(d) | Restricted security that may be sold to qualified institutional buyers pursuant to the conditions of Rule 144A under the Securities Act of 1933, as amended. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted. The aggregate value of restricted 144A holdings at May 28, 2021, amounts to $1,158,540 and represents 0.2% of net assets. |
(e) | Variable rate security. Interest rate disclosed is that which was in effect at May 28, 2021. |
(f) | Security is perpetual in nature and has no stated maturity date. |
(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 3.5%. |
(h) | Represents investments of collateral received from securities lending transactions. |
# | Security that used significant unobservable inputs to determine fair value. |
At May 28, 2021, 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 | $ | 522,813,854 | $ | 290,134,729 | $ | (10,164,944 | ) | $ | 279,969,785 |
Abbreviations used in this schedule:
ADR | | American Depositary Receipts | ||
LIBOR | | London Interbank Offered Rate | ||
PLC | | Public Limited Company | ||
REIT | | Real Estate Investment Trust |
Summary of Investments by Security Sector^ | ||||
Information Technology | 17.6 | % | ||
Industrials | 17.0 | |||
Health Care | 16.4 | |||
Financials | 14.0 | |||
Consumer Discretionary | 9.2 | |||
Real Estate | 5.9 | |||
Materials | 5.2 | |||
Consumer Staples | 3.9 | |||
Utilities | 3.2 | |||
Communication Services | 2.4 | |||
Energy | 1.7 | |||
Short-Term Investments | 3.5 | |||
|
| |||
100.0 | %+ | |||
|
|
^ | As a percentage of total investments. |
+ | Does not reflect investments of collateral received from securities lending transactions. |
70
Schedules of Investments
(unaudited) (continued)
Small-Mid Cap Equity Fund
At May 28, 2021, Small-Mid Cap Equity Fund had open exchange-traded futures contracts as described below.
The unrealized appreciation (depreciation) on the open contracts were as follows:
Open Futures Contracts | Number of Contracts | Expiration Date (Month/Year) | Notional Amount | Market Value | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Contracts to Buy: | ||||||||||||||||||||
Russell 2000 E-mini Index June Futures | 32 | 6/21 | $ | 3,640,872 | $ | 3,629,760 | $ | (11,112 | ) | |||||||||||
NASDAQ 100 E-mini Index June Futures | 1 | 6/21 | 260,793 | 273,730 | 12,937 | |||||||||||||||
S&P MidCap 400 E-mini Index June Futures | 8 | 6/21 | 2,119,657 | 2,181,360 | 61,703 | |||||||||||||||
|
| |||||||||||||||||||
$ | 63,528 | |||||||||||||||||||
|
|
At May 28, 2021, Small-Mid Cap Equity Fund had deposited cash of $332,000 with a broker or brokers as margin collateral on an open exchange-traded futures contracts.
Currency Abbreviation used in this schedule:
CAD | | Canadian Dollar | ||
USD | | United States Dollar |
See pages 252-254 for definitions of ratings.
71
Schedules of Investments
May 28, 2021@
(unaudited) (continued)
International Equity Fund
Shares/Units | Security | Value | ||||
COMMON STOCKS - 96.2% |
| |||||
Argentina - 0.0% |
| |||||
425 | MercadoLibre Inc.* | $ | 577,435 | |||
|
| |||||
Australia - 3.3% |
| |||||
4,603 | Afterpay Ltd.* | 332,860 | ||||
13,687 | AGL Energy Ltd. | 87,241 | ||||
5,110 | Ampol Ltd. | 114,856 | ||||
27,079 | Ansell Ltd. | 849,233 | ||||
24,347 | APA Group | 172,711 | ||||
12,775 | Aristocrat Leisure Ltd. | 412,421 | ||||
4,076 | ASX Ltd. | 240,068 | ||||
41,663 | Aurizon Holdings Ltd. | 116,830 | ||||
36,895 | AusNet Services Ltd., Class Miscella Shares | 49,907 | ||||
60,545 | Australia & New Zealand Banking Group Ltd. | 1,347,532 | ||||
82,693 | Bank of Queensland Ltd. | 574,847 | ||||
100,413 | Bapcor Ltd. | 624,311 | ||||
719,017 | Beach Energy Ltd. | 706,502 | ||||
63,051 | BHP Group Ltd. | 2,334,255 | ||||
45,069 | BHP Group PLC | 1,356,050 | ||||
10,085 | BlueScope Steel Ltd. | 165,611 | ||||
30,764 | Brambles Ltd. | 256,873 | ||||
106,274 | Charter Hall Group, REIT | 1,159,315 | ||||
14,965 | Cochlear Ltd. | 2,596,808 | ||||
29,391 | Coles Group Ltd. | 375,902 | ||||
38,132 | Commonwealth Bank of Australia | 2,945,366 | ||||
12,846 | Computershare Ltd. | 160,009 | ||||
7,474 | Crown Resorts Ltd.* | 74,387 | ||||
31,056 | CSL Ltd. | 6,918,748 | ||||
121,062 | CSR Ltd. | 518,729 | ||||
23,276 | Dexus, REIT | 185,815 | ||||
1,282 | Dominos Pizza Enterprises Ltd. | 105,895 | ||||
81,423 | Elders Ltd. | 700,205 | ||||
34,893 | Evolution Mining Ltd. | 142,563 | ||||
36,411 | Fortescue Metals Group Ltd. | 618,695 | ||||
35,855 | Goodman Group, REIT | 534,939 | ||||
39,900 | GPT Group (The), REIT | 142,290 | ||||
53,269 | Insurance Australia Group Ltd. | 204,820 | ||||
18,890 | JB Hi-Fi Ltd. | 701,162 | ||||
14,273 | Lendlease Corp., Ltd. | 135,714 | ||||
19,952 | Macquarie Group Ltd. | 2,344,294 | ||||
2,673 | Magellan Financial Group Ltd. | 99,222 | ||||
58,441 | Medibank Pvt Ltd. | 141,148 | ||||
50,875 | Mineral Resources Ltd. | 1,793,170 | ||||
83,120 | Mirvac Group, REIT | 179,406 | ||||
71,064 | National Australia Bank Ltd. | 1,479,744 | ||||
17,827 | Newcrest Mining Ltd. | 387,791 | ||||
23,287 | Northern Star Resources Ltd. | 206,394 | ||||
42,522 | Oil Search Ltd. | 121,767 | ||||
8,577 | Orica Ltd. | 90,850 | ||||
37,374 | Origin Energy Ltd. | 117,510 | ||||
66,233 | OZ Minerals Ltd. | 1,299,278 | ||||
128,036 | Pendal Group Ltd. | 794,626 | ||||
18,281 | Qantas Airways Ltd.* | 67,589 | ||||
31,126 | QBE Insurance Group Ltd. | 264,350 | ||||
4,203 | Ramsay Health Care Ltd. | 204,663 | ||||
1,077 | REA Group Ltd. | 136,472 | ||||
6,086 | Reece Ltd. | 95,986 | ||||
8,005 | Rio Tinto Ltd. | 759,836 | ||||
40,754 | Santos Ltd. | 216,076 |
72
Schedules of Investments
(unaudited) (continued)
International Equity Fund
Shares/Units | Security | Value | ||||
Australia - 3.3% - (continued) |
| |||||
111,490 | Scentre Group, REIT | $ | 235,423 | |||
7,060 | SEEK Ltd. | 168,488 | ||||
39,881 | Seven Group Holdings Ltd. | 624,033 | ||||
275,735 | Shopping Centres Australasia Property Group, REIT, Class Miscella Shares | 526,140 | ||||
533,441 | Silver Lake Resources Ltd.* | 818,108 | ||||
9,575 | Sonic Healthcare Ltd. | 256,891 | ||||
104,884 | South32 Ltd. | 242,816 | ||||
50,069 | Stockland, REIT | 179,177 | ||||
26,756 | Suncorp Group Ltd. | 230,374 | ||||
30,454 | Sydney Airport* | 138,620 | ||||
46,820 | Tabcorp Holdings Ltd. | 185,863 | ||||
78,504 | Technology One Ltd. | 556,432 | ||||
87,637 | Telstra Corp., Ltd. | 235,353 | ||||
59,247 | Transurban Group | 633,431 | ||||
15,164 | Treasury Wine Estates Ltd. | 137,043 | ||||
84,094 | Vicinity Centres, REIT | 102,070 | ||||
2,114 | Washington H Soul Pattinson & Co., Ltd. | 48,274 | ||||
24,282 | Wesfarmers Ltd. | 1,037,220 | ||||
78,937 | Westpac Banking Corp. | 1,612,937 | ||||
3,097 | WiseTech Global Ltd. | 66,275 | ||||
20,841 | Woodside Petroleum Ltd. | 355,202 | ||||
27,115 | Woolworths Group Ltd. | 874,139 | ||||
|
| |||||
Total Australia | 48,027,951 | |||||
|
| |||||
Austria - 0.2% |
| |||||
66,299 | Erste Group Bank AG | 2,750,959 | ||||
3,382 | OMV AG | 196,497 | ||||
3,089 | Raiffeisen Bank International AG | 73,598 | ||||
1,373 | Verbund AG | 127,001 | ||||
2,612 | Voestalpine AG | 117,390 | ||||
|
| |||||
Total Austria | 3,265,445 | |||||
|
| |||||
Belgium - 0.6% |
| |||||
3,789 | Ageas SA NV | 245,597 | ||||
16,298 | Anheuser-Busch InBev SA/NV | 1,236,134 | ||||
666 | Elia Group SA/NV | 72,522 | ||||
1,256 | Etablissements Franz Colruyt NV | 76,504 | ||||
2,366 | Groupe Bruxelles Lambert SA | 269,073 | ||||
5,299 | KBC Group NV | 434,496 | ||||
3,139 | Proximus SADP | 64,057 | ||||
332 | Sofina SA | 136,308 | ||||
1,573 | Solvay SA | 213,283 | ||||
26,488 | UCB SA | 2,489,393 | ||||
45,117 | Umicore SA | 2,714,135 | ||||
|
| |||||
Total Belgium | 7,951,502 | |||||
|
| |||||
Canada - 2.4% |
| |||||
341,900 | Air Canada* | 7,695,935 | ||||
133,335 | Alimentation Couche-Tard Inc., Class B Shares | 4,878,460 | ||||
139,205 | ARC Resources Ltd.(a) | 1,058,304 | ||||
29,509 | ATS Automation Tooling Systems Inc.* | 725,323 | ||||
14,962 | Ballard Power Systems Inc.* | 259,341 | ||||
18,606 | Boardwalk Real Estate Investment Trust | 601,401 | ||||
10,951 | BRP Inc. | 923,421 | ||||
61,593 | Canadian National Railway Co. | 6,937,183 | ||||
29,038 | Canadian Western Bank(a) | 880,158 | ||||
24,542 | Canfor Corp.* | 608,316 | ||||
30,557 | CI Financial Corp. | 567,614 | ||||
7,143 | Cogeco Communications Inc. | 697,086 | ||||
7,997 | Descartes Systems Group Inc. (The)* | 467,965 | ||||
75,447 | Dundee Precious Metals Inc. | 550,466 | ||||
31,158 | Finning International Inc. | 774,112 | ||||
73,100 | Fortuna Silver Mines Inc.*(a) | 507,916 | ||||
30,163 | Northland Power Inc.(a) | 1,009,680 |
73
Schedules of Investments
(unaudited) (continued)
International Equity Fund
Shares/Units | Security | Value | ||||
Canada - 2.4% - (continued) |
| |||||
66,318 | Parex Resources Inc.* | $ | 1,132,486 | |||
15,812 | Stella-Jones Inc. | 605,505 | ||||
19,926 | TFI International Inc. | 1,910,916 | ||||
28,632 | Tilray Inc., Class 2 Shares*(a) | 478,978 | ||||
81,992 | Tricon Residential Inc. | 878,656 | ||||
|
| |||||
Total Canada | 34,149,222 | |||||
|
| |||||
Chile - 0.1% |
| |||||
93,910 | Antofagasta PLC | 2,056,256 | ||||
|
| |||||
China - 0.6% |
| |||||
11,608 | Alibaba Group Holding Ltd., ADR* | 2,483,648 | ||||
3,287 | Baidu Inc., ADR* | 645,139 | ||||
2,816,000 | Beijing Capital International Airport Co., Ltd., Class H Shares(b) | 1,907,435 | ||||
2,815 | Futu Holdings Ltd., ADR*(a) | 400,490 | ||||
337,000 | Kingdee International Software Group Co., Ltd.* | 1,280,781 | ||||
30,300 | Tencent Holdings Ltd. | 2,345,673 | ||||
|
| |||||
Total China | 9,063,166 | |||||
|
| |||||
Denmark - 2.4% |
| |||||
3,518 | Ambu AS, Class B Shares | 134,307 | ||||
67 | AP Moller - Maersk AS, Class A Shares | 176,794 | ||||
129 | AP Moller - Maersk AS, Class B Shares | 356,177 | ||||
2,248 | Carlsberg AS, Class B Shares | 413,717 | ||||
49,038 | Chr Hansen Holding AS | 4,403,372 | ||||
30,301 | Coloplast AS, Class B Shares | 4,819,134 | ||||
14,912 | Danske Bank AS | 281,438 | ||||
2,342 | Demant AS* | 125,293 | ||||
4,436 | DSV PANALPINA AS | 1,082,537 | ||||
1,424 | Genmab AS* | 578,980 | ||||
2,715 | GN Store Nord AS | 231,015 | ||||
4,914 | Netcompany Group AS(c) | 572,393 | ||||
112,738 | Novo Nordisk AS, Class B Shares | 8,895,900 | ||||
69,726 | Novozymes AS, Class B Shares | 5,093,764 | ||||
4,109 | Orsted AS(c) | 629,307 | ||||
22,700 | Pandora AS | 3,076,583 | ||||
170 | ROCKWOOL International AS, Class B Shares | 84,505 | ||||
6,422 | Royal Unibrew AS | 830,323 | ||||
7,820 | Tryg AS | 185,840 | ||||
88,758 | Vestas Wind Systems AS | 3,478,108 | ||||
|
| |||||
Total Denmark | 35,449,487 | |||||
|
| |||||
Finland - 0.9% |
| |||||
3,018 | Elisa OYJ | 178,994 | ||||
9,425 | Fortum OYJ | 272,396 | ||||
31,206 | Kemira OYJ | 512,148 | ||||
5,752 | Kesko OYJ, Class B Shares | 200,082 | ||||
60,977 | Kone OYJ, Class B Shares | 4,961,479 | ||||
69,682 | Metso Outotec OYJ | 826,292 | ||||
9,207 | Neste OYJ | 606,934 | ||||
115,984 | Nokia OYJ* | 604,949 | ||||
69,983 | Nordea Bank Abp | 760,828 | ||||
2,533 | Orion OYJ, Class B Shares | 111,937 | ||||
10,683 | Sampo OYJ, Class A Shares | 508,747 | ||||
12,345 | Stora Enso OYJ, Class R Shares | 219,617 | ||||
20,934 | TietoEVRY OYJ | 683,824 | ||||
11,703 | UPM-Kymmene OYJ | 446,708 | ||||
36,119 | Valmet OYJ | 1,566,759 | ||||
10,090 | Wartsila OYJ Abp | 136,445 | ||||
|
| |||||
Total Finland | 12,598,139 | |||||
|
| |||||
France - 10.8% |
| |||||
4,212 | Accor SA* | 167,808 | ||||
667 | Aeroports de Paris* | 90,626 | ||||
36,367 | Air Liquide SA | 6,183,916 | ||||
82,469 | Airbus SE* | 10,861,706 |
74
Schedules of Investments
(unaudited) (continued)
International Equity Fund
Shares/Units | Security | Value | ||||
France - 10.8% - (continued) |
| |||||
126,371 | Alstom SA*(c) | $ | 7,132,558 | |||
18,383 | Amundi SA(c) | 1,636,307 | ||||
5,570 | Arkema SA(a) | 738,177 | ||||
8,348 | Atos SE | 558,460 | ||||
292,275 | AXA SA(a) | 8,134,622 | ||||
878 | BioMerieux | 101,436 | ||||
60,297 | BNP Paribas SA(a) | 4,156,919 | ||||
18,090 | Bollore SA | 93,675 | ||||
4,636 | Bouygues SA | 188,634 | ||||
6,234 | Bureau Veritas SA* | 191,152 | ||||
3,387 | Capgemini SE | 633,662 | ||||
81,468 | Carrefour SA(a) | 1,658,052 | ||||
10,788 | Cie de Saint-Gobain* | 724,585 | ||||
3,628 | Cie Générale des Établissements Michelin SCA(a) | 554,927 | ||||
4,073 | CNP Assurances | 74,995 | ||||
1,151 | Covivio, REIT | 108,469 | ||||
24,486 | Credit Agricole SA(a)(d) | 367,632 | ||||
109,720 | Danone SA | 7,816,155 | ||||
61 | Dassault Aviation SA | 76,649 | ||||
22,687 | Dassault Systemes SE | 5,215,800 | ||||
5,161 | Edenred(d) | 284,285 | ||||
14,288 | Eiffage SA | 1,576,148 | ||||
10,238 | Electricite de France SA | 144,860 | ||||
35,719 | Elis SA* | 680,613 | ||||
38,453 | Engie SA(a) | 574,331 | ||||
6,096 | EssilorLuxottica SA(a) | 1,058,673 | ||||
952 | Eurazeo SE | 84,339 | ||||
25,514 | Faurecia SE* | 1,401,244 | ||||
970 | Gecina SA, REIT | 155,054 | ||||
9,277 | Getlink SE | 146,331 | ||||
682 | Hermes International | 950,309 | ||||
344 | Iliad SA | 56,487 | ||||
794 | Ipsen SA | 82,887 | ||||
1,618 | Kering SA | 1,475,260 | ||||
50,553 | Klepierre SA, REIT | 1,470,432 | ||||
15,767 | Korian SA* | 577,080 | ||||
14,089 | La Francaise des Jeux SAEM(c) | 794,831 | ||||
24,887 | Legrand SA(a) | 2,607,956 | ||||
16,531 | LOréal SA | 7,484,410 | ||||
12,451 | LVMH Moët Hennessy Louis Vuitton SE | 9,944,022 | ||||
23,006 | Natixis SA*(a) | 113,765 | ||||
10,942 | Nexans SA | 969,427 | ||||
14,280 | Nexity SA | 743,478 | ||||
42,002 | Orange SA | 536,345 | ||||
1,114 | Orpea SA* | 140,009 | ||||
33,318 | Pernod Ricard SA | 7,367,207 | ||||
23,497 | Publicis Groupe SA | 1,588,173 | ||||
518 | Remy Cointreau SA | 108,017 | ||||
4,327 | Renault SA* | 179,684 | ||||
27,675 | Rexel SA | 562,503 | ||||
7,313 | Safran SA(a) | 1,105,284 | ||||
151,068 | Sanofi | 16,193,836 | ||||
581 | Sartorius Stedim Biotech | 251,981 | ||||
37,356 | Schneider Electric SE | 5,942,796 | ||||
3,320 | SCOR SE*(a) | 108,165 | ||||
3,700 | SEB SA | 694,324 | ||||
17,640 | Societe Generale SA | 565,230 | ||||
1,877 | Sodexo SA* | 181,124 | ||||
4,677 | SOITEC* | 944,292 | ||||
4,315 | Sopra Steria Group SACA* | 798,443 | ||||
7,252 | Suez SA*(a) | 176,705 |
75
Schedules of Investments
(unaudited) (continued)
International Equity Fund
Shares/Units | Security | Value | ||||
France - 10.8% - (continued) |
| |||||
1,283 | Teleperformance | $ | 492,302 | |||
2,261 | Thales SA | 231,923 | ||||
362,641 | TOTAL SE | 16,917,585 | ||||
1,919 | Ubisoft Entertainment SA* | 140,233 | ||||
2,694 | Unibail-Rodamco-Westfield, REIT* | 236,924 | ||||
63,664 | Valeo SA(a) | 2,093,127 | ||||
11,436 | Veolia Environnement SA | 360,614 | ||||
60,347 | Vinci SA | 6,863,236 | ||||
15,696 | Vivendi SE* | 571,561 | ||||
575 | Wendel SE | 80,443 | ||||
5,031 | Worldline SA*(c) | 483,623 | ||||
|
| |||||
Total France | 156,758,833 | |||||
|
| |||||
Germany - 8.7% |
| |||||
24,629 | adidas AG | 8,972,188 | ||||
21,318 | Allianz SE, Class Registered Shares | 5,653,072 | ||||
46,923 | alstria office REIT-AG | 859,022 | ||||
7,467 | Aurubis AG | 698,739 | ||||
127,740 | BASF SE | 10,446,454 | ||||
89,504 | Bayer AG, Class Registered Shares | 5,699,049 | ||||
32,313 | Bayerische Motoren Werke AG | 3,434,564 | ||||
5,363 | Bechtle AG* | 1,038,199 | ||||
2,139 | Beiersdorf AG | 253,740 | ||||
13,283 | Brenntag SE | 1,248,581 | ||||
5,226 | Carl Zeiss Meditec AG | 967,242 | ||||
20,700 | Commerzbank AG* | 166,992 | ||||
2,334 | Continental AG | 345,707 | ||||
15,550 | Covestro AG(c) | 1,084,893 | ||||
43,934 | Daimler AG, Class Registered Shares | 4,103,557 | ||||
3,371 | Delivery Hero SE*(c) | 457,146 | ||||
44,372 | Deutsche Bank AG, Class Registered Shares* | 667,806 | ||||
4,102 | Deutsche Boerse AG | 670,275 | ||||
6,500 | Deutsche Lufthansa AG, Class Registered Shares* | 84,563 | ||||
62,899 | Deutsche Pfandbriefbank AG(c) | 744,904 | ||||
21,171 | Deutsche Post AG, Class Registered Shares | 1,439,350 | ||||
71,945 | Deutsche Telekom AG, Class Registered Shares | 1,497,645 | ||||
7,527 | Deutsche Wohnen SE | 479,116 | ||||
15,550 | DWS Group GmbH & Co. KGaA(c) | 737,395 | ||||
48,692 | E.ON SE | 592,612 | ||||
4,450 | Evonik Industries AG | 159,924 | ||||
35,687 | Freenet AG* | 984,497 | ||||
4,431 | Fresenius Medical Care AG & Co. KGaA | 355,341 | ||||
8,801 | Fresenius SE & Co. KGaA | 478,861 | ||||
29,719 | GEA Group AG | 1,294,218 | ||||
7,670 | Gerresheimer AG | 847,203 | ||||
1,269 | Hannover Rueck SE | 222,238 | ||||
3,158 | HeidelbergCement AG | 288,997 | ||||
11,691 | HelloFresh SE* | 1,057,925 | ||||
2,205 | Henkel AG & Co. KGaA | 218,864 | ||||
160,865 | Infineon Technologies AG | 6,519,649 | ||||
1,642 | KION Group AG | 174,690 | ||||
18,820 | Knorr-Bremse AG | 2,338,459 | ||||
1,914 | Lanxess AG | 143,178 | ||||
1,487 | LEG Immobilien SE(d) | 218,740 | ||||
23,933 | Merck KGaA | 4,301,952 | ||||
1,107 | MTU Aero Engines AG | 288,087 | ||||
3,007 | Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen, Class Registered Shares | 864,251 | ||||
1,244 | Nemetschek SE | 92,660 | ||||
44,015 | ProSiebenSat.1 Media SE* | 989,699 | ||||
2,063 | Puma SE | 236,068 | ||||
108 | Rational AG | 97,861 | ||||
9,296 | Rheinmetall AG | 970,407 |
76
Schedules of Investments
(unaudited) (continued)
International Equity Fund
Shares/Units | Security | Value | ||||
Germany - 8.7% - (continued) |
| |||||
255,910 | RWE AG | $ | 9,734,089 | |||
156,060 | SAP SE | 21,875,430 | ||||
1,906 | Scout24 AG(c) | 154,995 | ||||
86,704 | Siemens AG, Class Registered Shares | 14,253,410 | ||||
8,632 | Siemens Energy AG* | 274,903 | ||||
5,978 | Siemens Healthineers AG(c) | 337,190 | ||||
2,709 | Symrise AG, Class A Shares | 360,815 | ||||
36,962 | TAG Immobilien AG | 1,161,049 | ||||
3,593 | TeamViewer AG*(c) | 140,713 | ||||
23,429 | Telefonica Deutschland Holding AG | 64,522 | ||||
2,281 | Uniper SE | 83,738 | ||||
14,506 | United Internet AG, Class Registered Shares | 605,346 | ||||
689 | Volkswagen AG | 251,472 | ||||
11,439 | Vonovia SE | 717,740 | ||||
3,570 | Zalando SE*(c) | 381,266 | ||||
|
| |||||
Total Germany | 125,883,258 | |||||
|
| |||||
Gibraltar - 0.0% |
| |||||
101,144 | 888 Holdings PLC | 574,135 | ||||
|
| |||||
Hong Kong - 3.4% |
| |||||
1,063,000 | AIA Group Ltd. | 14,100,116 | ||||
38,900 | ASM Pacific Technology Ltd. | 512,449 | ||||
25,600 | Bank of East Asia Ltd. (The) | 52,449 | ||||
836,500 | BOC Hong Kong Holdings Ltd. | 3,083,891 | ||||
37,100 | Budweiser Brewing Co. APAC Ltd.(c) | 127,479 | ||||
190,000 | China Mengniu Dairy Co., Ltd.* | 1,122,966 | ||||
41,200 | Chow Tai Fook Jewellery Group Ltd. | 77,136 | ||||
54,500 | CK Asset Holdings Ltd. | 370,409 | ||||
59,500 | CK Hutchison Holdings Ltd. | 473,239 | ||||
15,000 | CK Infrastructure Holdings Ltd. | 95,455 | ||||
476,000 | CLP Holdings Ltd. | 4,908,121 | ||||
41,000 | ESR Cayman Ltd.*(c) | 130,883 | ||||
46,000 | Galaxy Entertainment Group Ltd.* | 384,511 | ||||
1,733,000 | Hang Lung Properties Ltd. | 4,473,575 | ||||
17,000 | Hang Seng Bank Ltd. | 361,531 | ||||
32,894 | Henderson Land Development Co., Ltd. | 158,465 | ||||
53,500 | HK Electric Investments & HK Electric Investments Ltd. | 54,445 | ||||
80,000 | HKT Trust & HKT Ltd., Class Miscella Shares | 109,188 | ||||
1,601,600 | Hong Kong & China Gas Co., Ltd. | 2,817,568 | ||||
55,019 | Hong Kong Exchanges & Clearing Ltd. | 3,376,343 | ||||
27,400 | Hongkong Land Holdings Ltd. | 134,237 | ||||
226,000 | Hysan Development Co., Ltd. | 893,466 | ||||
68,800 | Jardine Matheson Holdings Ltd. | 4,460,547 | ||||
44,500 | Link REIT | 428,843 | ||||
4,414 | Melco Resorts & Entertainment Ltd., ADR* | 75,877 | ||||
32,500 | MTR Corp., Ltd. | 183,902 | ||||
32,669 | New World Development Co., Ltd. | 177,225 | ||||
1,034,000 | Pacific Basin Shipping Ltd.* | 389,899 | ||||
29,500 | Power Assets Holdings Ltd. | 185,079 | ||||
64,646 | Sino Land Co., Ltd. | 103,068 | ||||
42,000 | SJM Holdings Ltd. | 47,947 | ||||
28,000 | Sun Hung Kai Properties Ltd. | 436,948 | ||||
12,500 | Swire Pacific Ltd., Class A Shares | 97,072 | ||||
24,800 | Swire Properties Ltd. | 74,739 | ||||
147,500 | Techtronic Industries Co., Ltd. | 2,779,884 | ||||
744,000 | Towngas China Co., Ltd.* | 498,953 | ||||
610,000 | United Laboratories International Holdings Ltd. (The) | 555,285 | ||||
203,000 | WH Group Ltd.(c) | 174,756 | ||||
36,000 | Wharf Real Estate Investment Co., Ltd. | 217,873 | ||||
38,000 | Xinyi Glass Holdings Ltd. | 148,408 | ||||
|
| |||||
Total Hong Kong | 48,854,227 | |||||
|
|
77
Schedules of Investments
(unaudited) (continued)
International Equity Fund
Shares/Units | Security | Value | ||||
India - 0.1% |
| |||||
74,134 | HDFC Bank Ltd.* | $ | 1,540,179 | |||
|
| |||||
Indonesia - 0.2% |
| |||||
522,100 | Bank Central Asia Tbk PT | 1,157,621 | ||||
4,607,173 | Bank Mandiri Persero Tbk PT | 1,867,843 | ||||
|
| |||||
Total Indonesia | 3,025,464 | |||||
|
| |||||
Ireland - 1.3% |
| |||||
12,219 | AerCap Holdings NV* | 720,921 | ||||
158,372 | Bank of Ireland Group PLC* | 1,028,476 | ||||
16,887 | CRH PLC | 882,034 | ||||
113,177 | Dalata Hotel Group PLC* | 609,791 | ||||
2,088 | DCC PLC | 177,154 | ||||
146,092 | Experian PLC | 5,598,740 | ||||
3,527 | Flutter Entertainment PLC* | 661,913 | ||||
9,394 | James Hardie Industries PLC, CDI | 305,950 | ||||
16,619 | Kerry Group PLC, Class A Shares | 2,252,347 | ||||
3,262 | Kingspan Group PLC | 310,376 | ||||
45,725 | Ryanair Holdings PLC, ADR* | 5,338,394 | ||||
5,181 | Smurfit Kappa Group PLC | 275,562 | ||||
76,739 | UDG Healthcare PLC | 1,151,858 | ||||
|
| |||||
Total Ireland | 19,313,516 | |||||
|
| |||||
Isle of Man - 0.1% |
| |||||
40,862 | Entain PLC* | 954,611 | ||||
|
| |||||
Israel - 0.2% |
| |||||
922 | Azrieli Group Ltd. | 70,253 | ||||
24,083 | Bank Hapoalim BM* | 211,221 | ||||
31,114 | Bank Leumi Le-Israel BM* | 249,617 | ||||
2,451 | Check Point Software Technologies Ltd.* | 286,718 | ||||
804 | CyberArk Software Ltd.* | 101,738 | ||||
614 | Elbit Systems Ltd. | 81,334 | ||||
14,106 | ICL Group Ltd. | 100,621 | ||||
13,863 | Inmode Ltd.* | 1,183,346 | ||||
24,701 | Israel Discount Bank Ltd., Class A Shares* | 126,564 | ||||
3,396 | Mizrahi Tefahot Bank Ltd.* | 102,748 | ||||
1,363 | Nice Ltd.* | 303,124 | ||||
23,175 | Teva Pharmaceutical Industries Ltd., ADR* | 241,020 | ||||
1,165 | Wix.com Ltd.* | 302,737 | ||||
|
| |||||
Total Israel | 3,361,041 | |||||
|
| |||||
Italy - 3.2% |
| |||||
36,232 | ACEA SpA | 866,278 | ||||
2,622 | Amplifon SpA | 123,299 | ||||
23,134 | Assicurazioni Generali SpA | 474,356 | ||||
10,514 | Atlantia SpA* | 200,240 | ||||
73,512 | Banca Mediolanum SpA | 709,603 | ||||
31,043 | Buzzi Unicem SpA | 879,363 | ||||
12,133 | Davide Campari-Milano NV | 155,706 | ||||
543 | DiaSorin SpA | 95,475 | ||||
1,323,494 | Enel SpA | 13,121,479 | ||||
53,558 | Eni SpA | 657,596 | ||||
2,725 | Ferrari NV | 574,428 | ||||
100,994 | FinecoBank Banca Fineco SpA* | 1,680,031 | ||||
7,104 | Infrastrutture Wireless Italiane SpA(c) | 79,496 | ||||
11,019 | Interpump Group SpA | 618,290 | ||||
1,405,717 | Intesa Sanpaolo SpA | 4,121,859 | ||||
14,070 | Mediobanca Banca di Credito Finanziario SpA* | 167,434 | ||||
4,213 | Moncler SpA | 297,655 | ||||
9,269 | Nexi SpA*(c) | 188,125 | ||||
12,127 | Poste Italiane SpA(c) | 169,772 | ||||
5,654 | Prysmian SpA | 195,111 | ||||
42,019 | Recordati Industria Chimica e Farmaceutica SpA | 2,344,023 | ||||
6,982 | Reply SpA | 1,130,209 | ||||
42,883 | Snam SpA | 252,361 |
78
Schedules of Investments
(unaudited) (continued)
International Equity Fund
Shares/Units | Security | Value | ||||
Italy - 3.2% - (continued) |
| |||||
335,552 | Telecom Italia SpA | $ | 184,647 | |||
29,857 | Terna SPA | 228,162 | ||||
1,281,304 | UniCredit SpA | 16,356,605 | ||||
|
| |||||
Total Italy | 45,871,603 | |||||
|
| |||||
Japan - 16.6% |
| |||||
400 | ABC-Mart Inc. | 23,008 | ||||
8,800 | Acom Co., Ltd. | 40,113 | ||||
4,400 | Advantest Corp. | 386,527 | ||||
13,900 | Aeon Co., Ltd. | 375,465 | ||||
4,100 | AGC Inc. | 179,315 | ||||
2,900 | Aisin Corp. | 126,678 | ||||
10,100 | Ajinomoto Co., Inc. | 234,873 | ||||
3,300 | ANA Holdings Inc.* | 79,909 | ||||
29,800 | Anritsu Corp. | 563,907 | ||||
9,600 | Asahi Group Holdings Ltd. | 463,950 | ||||
4,100 | Asahi Intecc Co., Ltd. | 101,913 | ||||
26,600 | Asahi Kasei Corp. | 300,071 | ||||
35,000 | ASKUL Corp. | 564,244 | ||||
40,300 | Astellas Pharma Inc. | 643,809 | ||||
2,600 | Azbil Corp. | 105,162 | ||||
4,200 | Bandai Namco Holdings Inc. | 301,925 | ||||
5,100 | BayCurrent Consulting Inc. | 1,540,142 | ||||
1,700 | Bell System24 Holdings Inc. | 25,149 | ||||
86,300 | Bridgestone Corp. | 3,827,770 | ||||
5,200 | Brother Industries Ltd. | 110,985 | ||||
21,000 | Canon Inc. | 501,127 | ||||
35,000 | Capcom Co., Ltd. | 1,124,204 | ||||
4,100 | Casio Computer Co., Ltd. | 71,719 | ||||
3,200 | Central Japan Railway Co. | 480,404 | ||||
11,200 | Chiba Bank Ltd. (The) | 72,918 | ||||
13,700 | Chubu Electric Power Co., Inc. | 163,671 | ||||
14,600 | Chugai Pharmaceutical Co., Ltd. | 553,783 | ||||
22,500 | Concordia Financial Group Ltd. | 85,435 | ||||
400 | Cosmos Pharmaceutical Corp. | 56,108 | ||||
8,400 | CyberAgent Inc. | 167,371 | ||||
4,300 | Dai Nippon Printing Co., Ltd. | 93,490 | ||||
2,200 | Daifuku Co., Ltd. | 189,589 | ||||
14,400 | Daihen Corp. | 639,189 | ||||
21,900 | Dai-ichi Life Holdings Inc. | 458,137 | ||||
37,000 | Daiichi Sankyo Co., Ltd. | 849,820 | ||||
36,100 | Daikin Industries Ltd. | 7,230,678 | ||||
1,300 | Daito Trust Construction Co., Ltd. | 141,741 | ||||
12,000 | Daiwa House Industry Co., Ltd. | 350,506 | ||||
42 | Daiwa House REIT Investment Corp., Class A Shares | 114,722 | ||||
31,700 | Daiwa Securities Group Inc. | 183,501 | ||||
22,100 | Denka Co., Ltd. | 844,994 | ||||
9,400 | Denso Corp. | 642,185 | ||||
4,900 | Dentsu Group Inc. | 170,944 | ||||
7,100 | Disco Corp. | 2,164,505 | ||||
6,600 | East Japan Railway Co. | 467,603 | ||||
33,100 | Eiken Chemical Co., Ltd. | 657,467 | ||||
5,000 | Eisai Co., Ltd. | 335,585 | ||||
65,150 | ENEOS Holdings Inc. | 269,473 | ||||
59,800 | FANUC Corp. | 14,349,520 | ||||
1,300 | Fast Retailing Co., Ltd. | 1,057,431 | ||||
19,200 | Food & Life Cos., Ltd. | 856,068 | ||||
4,500 | Freee KK* | 335,236 | ||||
36,300 | Fuji Corp. | 915,694 | ||||
2,600 | Fuji Electric Co., Ltd. | 122,244 | ||||
9,800 | Fuji Soft Inc. | 492,600 | ||||
7,700 | FUJIFILM Holdings Corp. | 529,739 |
79
Schedules of Investments
(unaudited) (continued)
International Equity Fund
Shares/Units | Security | Value | ||||
Japan - 16.6% - (continued) |
| |||||
4,300 | Fujitsu Ltd. | $ | 702,389 | |||
24,400 | FULLCAST Holdings Co., Ltd. | 459,455 | ||||
89 | GLP J-REIT | 151,249 | ||||
1,000 | GMO Payment Gateway Inc. | 120,107 | ||||
22,000 | H.U. Group Holdings Inc. | 593,478 | ||||
5,400 | Hakuhodo DY Holdings Inc. | 92,016 | ||||
3,000 | Hamamatsu Photonics KK | 183,983 | ||||
4,900 | Hankyu Hanshin Holdings Inc. | 153,728 | ||||
800 | Harmonic Drive Systems Inc. | 43,865 | ||||
500 | Hikari Tsushin Inc. | 99,293 | ||||
7,200 | Hino Motors Ltd. | 68,762 | ||||
745 | Hirose Electric Co., Ltd. | 106,608 | ||||
1,100 | Hisamitsu Pharmaceutical Co., Inc. | 60,980 | ||||
2,300 | Hitachi Construction Machinery Co., Ltd. | 77,841 | ||||
20,800 | Hitachi Ltd. | 1,096,406 | ||||
4,900 | Hitachi Metals Ltd. | 94,595 | ||||
35,000 | Honda Motor Co., Ltd. | 1,092,359 | ||||
1,000 | Hoshizaki Corp. | 90,626 | ||||
44,600 | Hoya Corp. | 5,862,636 | ||||
6,400 | Hulic Co., Ltd. | 72,180 | ||||
2,200 | Ibiden Co., Ltd. | 102,029 | ||||
4,737 | Idemitsu Kosan Co., Ltd. | 112,629 | ||||
3,400 | Iida Group Holdings Co., Ltd. | 91,484 | ||||
21,700 | Inpex Corp. | 148,770 | ||||
38,200 | Internet Initiative Japan Inc. | 1,036,162 | ||||
1,312 | Invincible Investment Corp., REIT | 534,375 | ||||
12,300 | Isuzu Motors Ltd. | 166,601 | ||||
1,200 | Ito En Ltd. | 68,019 | ||||
25,700 | ITOCHU Corp. | 776,855 | ||||
2,000 | Itochu Techno-Solutions Corp. | 63,659 | ||||
12,700 | Izumi Co., Ltd. | 480,414 | ||||
2,800 | Japan Airlines Co., Ltd.* | 63,776 | ||||
10,800 | Japan Exchange Group Inc. | 251,916 | ||||
148 | Japan Metropolitan Fund Invest, REIT | 148,143 | ||||
8,300 | Japan Post Bank Co., Ltd. | 71,626 | ||||
33,400 | Japan Post Holdings Co., Ltd.* | 281,592 | ||||
5,200 | Japan Post Insurance Co., Ltd. | 103,740 | ||||
29 | Japan Real Estate Investment Corp., REIT | 175,760 | ||||
25,300 | Japan Tobacco Inc. | 502,872 | ||||
10,000 | JFE Holdings Inc. | 135,432 | ||||
4,300 | JSR Corp. | 130,904 | ||||
9,200 | Kajima Corp. | 127,692 | ||||
2,400 | Kakaku.com Inc. | 71,342 | ||||
18,900 | Kanamoto Co., Ltd. | 474,403 | ||||
13,400 | Kaneka Corp. | 556,208 | ||||
14,900 | Kansai Electric Power Co., Inc. (The) | 140,954 | ||||
3,800 | Kansai Paint Co., Ltd. | 102,861 | ||||
10,400 | Kao Corp. | 639,485 | ||||
92,200 | KDDI Corp. | 3,137,680 | ||||
2,200 | Keio Corp. | 139,849 | ||||
2,700 | Keisei Electric Railway Co., Ltd. | 86,259 | ||||
85 | Kenedix Office Investment Corp., REIT, Class A Shares | 630,622 | ||||
20,400 | Keyence Corp. | 10,083,790 | ||||
3,200 | Kikkoman Corp. | 211,394 | ||||
3,600 | Kintetsu Group Holdings Co., Ltd. | 127,663 | ||||
28,900 | Kintetsu World Express Inc. | 656,561 | ||||
17,300 | Kirin Holdings Co., Ltd. | 348,666 | ||||
1,100 | Kobayashi Pharmaceutical Co., Ltd. | 97,494 | ||||
3,300 | Kobe Bussan Co., Ltd. | 83,841 | ||||
1,300 | Koei Tecmo Holdings Co., Ltd. | 61,147 | ||||
2,000 | Koito Manufacturing Co., Ltd. | 131,808 |
80
Schedules of Investments
(unaudited) (continued)
International Equity Fund
Shares/Units | Security | Value | ||||
Japan - 16.6% - (continued) |
| |||||
19,100 | Komatsu Ltd. | $ | 574,633 | |||
17,600 | Komeri Co., Ltd. | 420,035 | ||||
2,100 | Konami Holdings Corp. | 135,515 | ||||
800 | Kose Corp. | 127,993 | ||||
121,400 | Kubota Corp. | 2,797,257 | ||||
20,100 | Kumagai Gumi Co., Ltd. | 551,127 | ||||
2,200 | Kurita Water Industries Ltd. | 104,308 | ||||
7,000 | Kyocera Corp. | 430,527 | ||||
5,800 | Kyowa Kirin Co., Ltd. | 176,708 | ||||
1,600 | Lasertec Corp. | 283,207 | ||||
1,100 | Lawson Inc. | 50,395 | ||||
4,700 | Lion Corp. | 82,880 | ||||
5,900 | Lixil Corp. | 159,924 | ||||
9,300 | M3 Inc. | 626,890 | ||||
78,200 | Makita Corp. | 3,728,606 | ||||
33,500 | Marubeni Corp. | 299,787 | ||||
12,100 | Mazda Motor Corp. | 106,250 | ||||
1,800 | McDonalds Holdings Co. Japan Ltd. | 80,723 | ||||
3,900 | Medipal Holdings Corp. | 74,407 | ||||
2,400 | MEIJI Holdings Co., Ltd. | 149,445 | ||||
2,300 | Mercari Inc.* | 109,637 | ||||
7,700 | MINEBEA MITSUMI Inc. | 210,488 | ||||
77,600 | MISUMI Group Inc. | 2,510,568 | ||||
27,200 | Mitsubishi Chemical Holdings Corp. | 220,825 | ||||
27,200 | Mitsubishi Corp. | 744,371 | ||||
38,400 | Mitsubishi Electric Corp. | 599,067 | ||||
24,900 | Mitsubishi Estate Co., Ltd. | 409,180 | ||||
2,800 | Mitsubishi Gas Chemical Co., Inc. | 65,759 | ||||
14,000 | Mitsubishi HC Capital Inc. | 78,976 | ||||
6,800 | Mitsubishi Heavy Industries Ltd. | 209,348 | ||||
260,400 | Mitsubishi UFJ Financial Group Inc. | 1,496,769 | ||||
33,300 | Mitsui & Co., Ltd. | 737,650 | ||||
3,900 | Mitsui Chemicals Inc. | 132,134 | ||||
20,000 | Mitsui Fudosan Co., Ltd. | 474,581 | ||||
1,900 | Miura Co., Ltd. | 86,854 | ||||
52,090 | Mizuho Financial Group Inc. | 803,894 | ||||
5,400 | MonotaRO Co., Ltd. | 126,214 | ||||
12,000 | Morinaga Milk Industry Co., Ltd. | 624,801 | ||||
9,400 | MS&AD Insurance Group Holdings Inc. | 288,232 | ||||
212,300 | Murata Manufacturing Co., Ltd. | 16,133,055 | ||||
56,400 | Nabtesco Corp. | 2,620,700 | ||||
5,200 | NEC Corp. | 242,526 | ||||
44,300 | NEC Networks & System Integration Corp. | 710,566 | ||||
10,400 | Nexon Co., Ltd. | 246,482 | ||||
5,800 | NGK Insulators Ltd. | 102,862 | ||||
1,700 | NH Foods Ltd. | 68,636 | ||||
17,400 | Nichirei Corp. | 449,606 | ||||
9,600 | Nidec Corp. | 1,101,690 | ||||
6,400 | Nihon M&A Center Inc. | 155,788 | ||||
41,800 | Nikkiso Co., Ltd. | 455,621 | ||||
2,400 | Nintendo Co., Ltd. | 1,484,463 | ||||
116 | Nippon Accommodations Fund Inc., REIT, Class A Shares | 664,128 | ||||
31 | Nippon Building Fund Inc., REIT | 198,068 | ||||
31,500 | Nippon Electric Glass Co., Ltd. | 758,614 | ||||
1,500 | Nippon Express Co., Ltd. | 121,330 | ||||
15,500 | Nippon Paint Holdings Co., Ltd. | 225,473 | ||||
42 | Nippon Prologis REIT Inc. | 129,983 | ||||
3,700 | Nippon Sanso Holdings Corp. | 73,318 | ||||
1,100 | Nippon Shinyaku Co., Ltd. | 79,231 | ||||
18,100 | Nippon Steel Corp. | 345,775 | ||||
27,800 | Nippon Telegraph & Telephone Corp. | 750,056 |
81
Schedules of Investments
(unaudited) (continued)
International Equity Fund
Shares/Units | Security | Value | ||||
Japan - 16.6% - (continued) |
| |||||
3,800 | Nippon Yusen KK | $ | 154,870 | |||
2,600 | Nissan Chemical Corp. | 136,212 | ||||
49,300 | Nissan Motor Co., Ltd.* | 247,192 | ||||
3,900 | Nisshin Seifun Group Inc. | 59,201 | ||||
1,300 | Nissin Foods Holdings Co., Ltd. | 94,344 | ||||
1,700 | Nitori Holdings Co., Ltd. | 294,619 | ||||
3,100 | Nitto Denko Corp. | 244,474 | ||||
66,200 | Nomura Holdings Inc. | 365,285 | ||||
2,700 | Nomura Real Estate Holdings Inc. | 70,894 | ||||
87 | Nomura Real Estate Master Fund Inc., REIT | 136,848 | ||||
7,480 | Nomura Research Institute Ltd. | 238,847 | ||||
190,600 | North Pacific Bank Ltd. | 439,026 | ||||
9,500 | NSK Ltd. | 92,135 | ||||
13,400 | NTT Data Corp. | 216,943 | ||||
13,400 | Obayashi Corp. | 114,156 | ||||
1,500 | Obic Co., Ltd. | 281,872 | ||||
6,300 | Odakyu Electric Railway Co., Ltd. | 165,744 | ||||
16,600 | Oji Holdings Corp. | 99,627 | ||||
25,400 | Olympus Corp. | 542,138 | ||||
3,900 | Omron Corp. | 308,762 | ||||
7,800 | Ono Pharmaceutical Co., Ltd. | 177,772 | ||||
24,900 | Open House Co., Ltd. | 1,151,746 | ||||
800 | Oracle Corp. Japan | 72,224 | ||||
4,200 | Oriental Land Co., Ltd. | 622,192 | ||||
26,400 | ORIX Corp. | 463,184 | ||||
55 | Orix JREIT Inc. | 100,905 | ||||
8,000 | Osaka Gas Co., Ltd. | 153,080 | ||||
2,600 | Otsuka Corp. | 140,804 | ||||
8,200 | Otsuka Holdings Co., Ltd. | 343,150 | ||||
26,500 | Outsourcing Inc. | 483,724 | ||||
8,700 | Pan Pacific International Holdings Corp. | 173,948 | ||||
46,500 | Panasonic Corp. | 529,394 | ||||
103,200 | Penta-Ocean Construction Co., Ltd. | 737,924 | ||||
2,000 | PeptiDream Inc.* | 92,346 | ||||
4,200 | Persol Holdings Co., Ltd. | 81,693 | ||||
2,400 | Pigeon Corp. | 69,372 | ||||
2,000 | Pola Orbis Holdings Inc. | 52,262 | ||||
19,900 | Rakuten Group Inc. | 230,870 | ||||
87,700 | Recruit Holdings Co., Ltd. | 4,487,777 | ||||
18,600 | Renesas Electronics Corp.* | 199,387 | ||||
97,000 | Rengo Co., Ltd. | 821,543 | ||||
44,400 | Resona Holdings Inc. | 191,549 | ||||
31,200 | Resorttrust Inc. | 498,608 | ||||
14,200 | Ricoh Co., Ltd. | 169,823 | ||||
800 | Rinnai Corp. | 79,466 | ||||
1,900 | Rohm Co., Ltd. | 178,746 | ||||
5,000 | Ryohin Keikaku Co., Ltd. | 96,172 | ||||
11,100 | Sankyu Inc. | 485,705 | ||||
7,600 | Santen Pharmaceutical Co., Ltd. | 101,360 | ||||
50,800 | Sanwa Holdings Corp. | 632,867 | ||||
13,800 | Sawai Group Holdings Co., Ltd. | 604,971 | ||||
5,000 | SBI Holdings Inc. | 127,161 | ||||
1,100 | SCSK Corp. | 65,614 | ||||
4,500 | Secom Co., Ltd. | 356,397 | ||||
5,600 | Seiko Epson Corp. | 101,871 | ||||
85,200 | Sekisui Chemical Co., Ltd. | 1,488,421 | ||||
13,200 | Sekisui House Ltd. | 278,282 | ||||
15,900 | Seven & i Holdings Co., Ltd. | 701,283 | ||||
7,000 | SG Holdings Co., Ltd. | 155,219 | ||||
4,700 | Sharp Corp. | 87,605 | ||||
4,900 | Shimadzu Corp. | 173,930 |
82
Schedules of Investments
(unaudited) (continued)
International Equity Fund
Shares/Units | Security | Value | ||||
Japan - 16.6% - (continued) |
| |||||
1,600 | Shimano Inc. | $ | 364,800 | |||
12,500 | Shimizu Corp. | 101,849 | ||||
33,100 | Shin-Etsu Chemical Co., Ltd. | 5,736,165 | ||||
48,800 | Shinko Electric Industries Co., Ltd. | 1,577,221 | ||||
5,700 | Shionogi & Co., Ltd. | 291,069 | ||||
26,300 | Ship Healthcare Holdings Inc. | 631,468 | ||||
8,700 | Shiseido Co., Ltd. | 628,786 | ||||
9,700 | Shizuoka Bank Ltd. (The) | 77,674 | ||||
12,700 | SMC Corp. | 7,634,738 | ||||
60,400 | Softbank Corp. | 775,069 | ||||
26,900 | SoftBank Group Corp. | 2,052,069 | ||||
1,400 | Sohgo Security Services Co., Ltd. | 65,618 | ||||
86,400 | Sompo Holdings Inc. | 3,484,654 | ||||
73,100 | Sony Group Corp. | 7,263,211 | ||||
1,900 | Square Enix Holdings Co., Ltd. | 101,887 | ||||
3,300 | Stanley Electric Co., Ltd. | 99,116 | ||||
21,100 | Starts Corp., Inc. | 538,127 | ||||
13,100 | Subaru Corp. | 256,163 | ||||
5,600 | SUMCO Corp. | 129,504 | ||||
30,200 | Sumitomo Chemical Co., Ltd. | 167,657 | ||||
23,600 | Sumitomo Corp. | 334,412 | ||||
3,900 | Sumitomo Dainippon Pharma Co., Ltd. | 75,065 | ||||
16,000 | Sumitomo Electric Industries Ltd. | 246,626 | ||||
31,800 | Sumitomo Forestry Co., Ltd. | 649,467 | ||||
5,400 | Sumitomo Metal Mining Co., Ltd. | 241,994 | ||||
195,590 | Sumitomo Mitsui Financial Group Inc. | 7,141,225 | ||||
7,300 | Sumitomo Mitsui Trust Holdings Inc. | 255,844 | ||||
6,500 | Sumitomo Realty & Development Co., Ltd. | 221,479 | ||||
2,800 | Suntory Beverage & Food Ltd. | 104,270 | ||||
7,800 | Suzuki Motor Corp. | 342,098 | ||||
44,100 | Sysmex Corp. | 4,575,427 | ||||
11,000 | T&D Holdings Inc. | 150,303 | ||||
4,300 | Taisei Corp. | 151,906 | ||||
1,000 | Taisho Pharmaceutical Holdings Co., Ltd. | 57,146 | ||||
17,600 | Taiyo Yuden Co., Ltd. | 840,339 | ||||
459,954 | Takeda Pharmaceutical Co., Ltd. | 15,764,482 | ||||
25,200 | Takeuchi Manufacturing Co., Ltd. | 679,738 | ||||
2,900 | TDK Corp. | 367,090 | ||||
47,000 | Terumo Corp. | 1,817,050 | ||||
2,700 | THK Co., Ltd. | 88,959 | ||||
4,800 | TIS Inc. | 123,564 | ||||
3,300 | Tobu Railway Co., Ltd. | 84,854 | ||||
2,300 | Toho Co., Ltd. | 95,961 | ||||
1,500 | Toho Gas Co., Ltd. | 83,203 | ||||
9,100 | Tohoku Electric Power Co., Inc. | 74,194 | ||||
57,200 | Tokio Marine Holdings Inc. | 2,691,282 | ||||
800 | Tokyo Century Corp. | 47,009 | ||||
32,400 | Tokyo Electric Power Co. Holdings Inc.* | 101,447 | ||||
3,200 | Tokyo Electron Ltd. | 1,400,945 | ||||
8,000 | Tokyo Gas Co., Ltd. | 158,736 | ||||
13,900 | Tokyo Seimitsu Co., Ltd. | 694,927 | ||||
10,400 | Tokyotokeiba Co., Ltd. | 512,814 | ||||
10,600 | Tokyu Corp. | 142,232 | ||||
4,700 | Toppan Printing Co., Ltd. | 82,266 | ||||
29,400 | Toray Industries Inc. | 194,993 | ||||
8,800 | Toshiba Corp. | 372,301 | ||||
5,500 | Tosoh Corp. | 97,931 | ||||
3,000 | TOTO Ltd. | 165,326 | ||||
1,800 | Toyo Suisan Kaisha Ltd. | 73,413 | ||||
52,200 | Toyo Tire Corp. | 1,062,541 | ||||
3,100 | Toyota Industries Corp. | 268,914 |
83
Schedules of Investments
(unaudited) (continued)
International Equity Fund
Shares/Units | Security | Value | ||||
Japan - 16.6% - (continued) |
| |||||
88,900 | Toyota Motor Corp. | $ | 7,365,195 | |||
4,500 | Toyota Tsusho Corp. | 205,309 | ||||
2,700 | Trend Micro Inc. | 137,370 | ||||
800 | Tsuruha Holdings Inc. | 97,258 | ||||
8,600 | Unicharm Corp. | 342,660 | ||||
59 | United Urban Investment Corp., REIT | 84,452 | ||||
5,000 | USS Co., Ltd. | 88,028 | ||||
24,700 | Valor Holdings Co., Ltd. | 510,340 | ||||
1,800 | Welcia Holdings Co., Ltd. | 55,348 | ||||
3,500 | West Japan Railway Co. | 200,116 | ||||
2,900 | Yakult Honsha Co., Ltd. | 156,439 | ||||
12,400 | Yamada Holdings Co., Ltd. | 60,501 | ||||
2,900 | Yamaha Corp. | 174,914 | ||||
5,900 | Yamaha Motor Co., Ltd. | 173,452 | ||||
6,500 | Yamato Holdings Co., Ltd. | 177,598 | ||||
43,200 | Yaskawa Electric Corp. | 2,047,221 | ||||
5,600 | Yokogawa Electric Corp. | 90,939 | ||||
56,300 | Z Holdings Corp. | 269,205 | ||||
17,400 | Zenkoku Hosho Co., Ltd. | 720,363 | ||||
33,400 | Zeon Corp. | 508,141 | ||||
2,700 | ZOZO Inc. | 92,378 | ||||
|
| |||||
Total Japan | 240,552,666 | |||||
|
| |||||
Jordan - 0.1% |
| |||||
21,097 | Hikma Pharmaceuticals PLC | 731,407 | ||||
|
| |||||
Luxembourg - 0.3% |
| |||||
104,024 | ArcelorMittal SA* | 3,355,312 | ||||
21,196 | Aroundtown SA | 178,974 | ||||
2,840 | Eurofins Scientific SE* | 303,983 | ||||
10,817 | Tenaris SA | 123,854 | ||||
|
| |||||
Total Luxembourg | 3,962,123 | |||||
|
| |||||
Macau - 0.3% |
| |||||
1,052,800 | Sands China Ltd.* | 4,817,712 | ||||
33,200 | Wynn Macau Ltd.* | 57,339 | ||||
|
| |||||
Total Macau | 4,875,051 | |||||
|
| |||||
Malta - 0.1% |
| |||||
73,334 | Kindred Group PLC | 1,257,004 | ||||
|
| |||||
Mexico - 0.2% |
| |||||
332,031 | Grupo Financiero Banorte SAB de CV, Class O Shares | 2,264,971 | ||||
|
| |||||
Monaco - 0.0% |
| |||||
27,335 | Endeavour Mining Corp.(a) | 656,493 | ||||
|
| |||||
Netherlands - 4.6% |
| |||||
36,357 | Aalberts NV | 2,064,683 | ||||
8,743 | ABN AMRO Group NV, Dutch Certificate, GDR*(c) | 117,018 | ||||
424 | Adyen NV*(c) | 982,920 | ||||
37,524 | Aegon NV | 177,714 | ||||
91,090 | Akzo Nobel NV | 11,624,537 | ||||
2,834 | Argenx SE*(a) | 793,555 | ||||
6,664 | ASM International NV | 2,081,307 | ||||
26,596 | ASML Holding NV | 17,900,517 | ||||
22,931 | ASR Nederland NV | 987,341 | ||||
7,544 | Euronext NV(c) | 801,559 | ||||
2,286 | EXOR NV | 196,629 | ||||
2,445 | Heineken Holding NV | 247,322 | ||||
5,608 | Heineken NV(a) | 670,786 | ||||
547,760 | ING Groep NV | 7,634,360 | ||||
25,695 | Intertrust NV*(c) | 475,040 | ||||
1,579 | JDE Peets NV*(a) | 62,278 | ||||
2,591 | Just Eat Takeaway.com NV*(c) | 233,894 | ||||
22,553 | Koninklijke Ahold Delhaize NV | 655,293 | ||||
3,729 | Koninklijke DSM NV | 686,910 | ||||
70,482 | Koninklijke KPN NV | 235,165 |
84
Schedules of Investments
(unaudited) (continued)
International Equity Fund
Shares/Units | Security | Value | ||||
Netherlands - 4.6% - (continued) |
| |||||
45,598 | Koninklijke Philips NV | $ | 2,574,196 | |||
1,492 | Koninklijke Vopak NV | 70,716 | ||||
6,148 | NN Group NV | 312,853 | ||||
10,407 | Prosus NV* | 1,076,430 | ||||
4,811 | QIAGEN NV* | 238,844 | ||||
2,640 | Randstad NV | 205,678 | ||||
367,049 | Royal Dutch Shell PLC, Class A Shares | 7,068,443 | ||||
79,360 | Royal Dutch Shell PLC, Class B Shares | 1,446,549 | ||||
33,883 | SBM Offshore NV | 584,178 | ||||
24,129 | Signify NV(c) | 1,489,912 | ||||
158,397 | Stellantis NV | 3,102,567 | ||||
5,944 | Wolters Kluwer NV | 570,516 | ||||
|
| |||||
Total Netherlands | 67,369,710 | |||||
|
| |||||
New Zealand - 0.2% |
| |||||
15,616 | a2 Milk Co., Ltd. (The)*(a) | 66,591 | ||||
26,711 | Auckland International Airport Ltd.* | 141,200 | ||||
12,702 | Fisher & Paykel Healthcare Corp., Ltd. | 268,740 | ||||
17,295 | Mercury NZ Ltd. | 81,894 | ||||
27,194 | Meridian Energy Ltd. | 101,282 | ||||
8,488 | Ryman Healthcare Ltd. | 80,367 | ||||
38,983 | Spark New Zealand Ltd. | 126,862 | ||||
15,971 | Xero Ltd.* | 1,604,311 | ||||
|
| |||||
Total New Zealand | 2,471,247 | |||||
|
| |||||
Norway - 0.6% |
| |||||
6,069 | Adevinta ASA, Class B Shares* | 117,772 | ||||
102,883 | DNB ASA | 2,297,248 | ||||
186,705 | Equinor ASA | 4,097,506 | ||||
3,986 | Gjensidige Forsikring ASA | 89,810 | ||||
9,327 | Mowi ASA | 242,844 | ||||
29,251 | Norsk Hydro ASA | 189,262 | ||||
15,938 | Orkla ASA | 166,329 | ||||
1,592 | Schibsted ASA, Class A Shares | 77,710 | ||||
1,911 | Schibsted ASA, Class B Shares | 79,200 | ||||
50,933 | Sparebanken Vest | 541,006 | ||||
15,305 | Telenor ASA | 266,586 | ||||
3,757 | Yara International ASA | 200,447 | ||||
|
| |||||
Total Norway | 8,365,720 | |||||
|
| |||||
Peru - 0.0% |
| |||||
3,867 | Credicorp Ltd.* | 531,597 | ||||
|
| |||||
Poland - 0.0% |
| |||||
4,037 | InPost SA* | 78,508 | ||||
|
| |||||
Portugal - 0.3% |
| |||||
58,580 | EDP - Energias de Portugal SA | 341,423 | ||||
281,237 | Galp Energia SGPS SA | 3,528,962 | ||||
5,342 | Jeronimo Martins SGPS SA | 103,365 | ||||
|
| |||||
Total Portugal | 3,973,750 | |||||
|
| |||||
Singapore - 0.7% |
| |||||
103,400 | AEM Holdings Ltd. | 279,491 | ||||
1,993,158 | Ascendas Real Estate Investment Trust, REIT | 4,382,586 | ||||
93,094 | CapitaLand Integrated Commercial Trust, REIT | 144,260 | ||||
57,900 | CapitaLand Ltd. | 160,200 | ||||
9,400 | City Developments Ltd. | 54,171 | ||||
37,800 | DBS Group Holdings Ltd. | 868,241 | ||||
642,700 | Frasers Logistics & Commercial Trust, REIT | 689,617 | ||||
128,300 | Genting Singapore Ltd. | 81,956 | ||||
30,900 | Keppel Corp., Ltd. | 125,097 | ||||
48,500 | Mapletree Commercial Trust, REIT | 75,892 | ||||
69,888 | Mapletree Logistics Trust, REIT | 104,537 | ||||
70,200 | Oversea-Chinese Banking Corp., Ltd. | 663,295 | ||||
6,275 | Sea Ltd., ADR*(a) | 1,589,081 | ||||
28,650 | Singapore Airlines Ltd.* | 107,383 |
85
Schedules of Investments
(unaudited) (continued)
International Equity Fund
Shares/Units | Security | Value | ||||
Singapore - 0.7% - (continued) |
| |||||
17,600 | Singapore Exchange Ltd. | $ | 138,148 | |||
33,100 | Singapore Technologies Engineering Ltd. | 97,341 | ||||
173,300 | Singapore Telecommunications Ltd. | 316,902 | ||||
24,803 | United Overseas Bank Ltd. | 492,719 | ||||
9,271 | UOL Group Ltd. | 51,969 | ||||
5,800 | Venture Corp., Ltd. | 84,367 | ||||
40,800 | Wilmar International Ltd. | 147,743 | ||||
|
| |||||
Total Singapore | 10,654,996 | |||||
|
| |||||
South Korea - 2.7% |
| |||||
10,858 | AfreecaTV Co., Ltd. | 931,434 | ||||
7,530 | Coway Co., Ltd. | 548,514 | ||||
15,489 | Hite Jinro Co., Ltd. | 526,108 | ||||
6,642 | Maeil Dairies Co., Ltd. | 467,916 | ||||
29,758 | Neowiz* | 620,725 | ||||
15,175 | Osstem Implant Co., Ltd. | 1,210,628 | ||||
55,789 | Partron Co., Ltd. | 515,601 | ||||
10,418 | PharmaResearch Co., Ltd. | 777,391 | ||||
252,016 | Samsung Electronics Co., Ltd. | 18,109,765 | ||||
40,983 | Samsung Engineering Co., Ltd.* | 709,710 | ||||
3,272 | Samsung SDI Co., Ltd. | 1,879,703 | ||||
30,061 | Seoul Semiconductor Co., Ltd. | 532,654 | ||||
14,837 | SFA Engineering Corp. | 574,401 | ||||
94,063 | SK Hynix Inc. | 10,557,352 | ||||
5,711 | Soulbrain Co., Ltd. | 1,681,169 | ||||
3,875 | WONIK IPS Co., Ltd. | 174,836 | ||||
|
| |||||
Total South Korea | 39,817,907 | |||||
|
| |||||
Spain - 4.4% |
| |||||
4,570 | Acciona SA | 790,123 | ||||
36,549 | Acerinox SA(a) | 521,078 | ||||
5,243 | ACS Actividades de Construccion y Servicios SA | 161,633 | ||||
42,092 | Aena SME SA*(c) | 7,331,479 | ||||
187,141 | Amadeus IT Group SA* | 14,129,932 | ||||
56,285 | Applus Services SA* | 588,096 | ||||
1,851,665 | Banco Bilbao Vizcaya Argentaria SA | 11,566,784 | ||||
370,574 | Banco Santander SA | 1,561,059 | ||||
117,018 | Bankinter SA | 668,406 | ||||
2,111,085 | CaixaBank SA | 7,311,000 | ||||
10,881 | Cellnex Telecom SA(c) | 660,750 | ||||
31,928 | Cia de Distribucion Integral Logista Holdings SA | 698,447 | ||||
6,052 | EDP Renovaveis SA | 143,862 | ||||
4,798 | Enagas SA | 112,734 | ||||
6,687 | Endesa SA | 192,836 | ||||
10,609 | Ferrovial SA | 309,849 | ||||
6,330 | Grifols SA | 176,367 | ||||
392,159 | Iberdrola SA | 5,405,642 | ||||
219,584 | Industria de Diseno Textil SA | 8,536,913 | ||||
13,477 | Laboratorios Farmaceuticos Rovi SA | 923,532 | ||||
69,737 | Merlin Properties Socimi SA, REIT | 804,490 | ||||
6,265 | Naturgy Energy Group SA | 163,925 | ||||
9,186 | Red Electrica Corp. SA | 183,931 | ||||
31,603 | Repsol SA | 422,712 | ||||
5,015 | Siemens Gamesa Renewable Energy SA | 165,476 | ||||
108,172 | Telefonica SA | 534,043 | ||||
7,275 | Viscofan SA | 513,109 | ||||
|
| |||||
Total Spain | 64,578,208 | |||||
|
| |||||
Sweden - 1.5% |
| |||||
6,676 | Alfa Laval AB | 248,917 | ||||
99,791 | Assa Abloy AB, Class B Shares | 3,074,933 | ||||
14,497 | Atlas Copco AB, Class A Shares | 886,850 | ||||
8,281 | Atlas Copco AB, Class B Shares | 432,096 | ||||
5,804 | Boliden AB | 232,806 |
86
Schedules of Investments
(unaudited) (continued)
International Equity Fund
Shares/Units | Security | Value | ||||
Sweden - 1.5% - (continued) |
| |||||
51,944 | Dometic Group AB(c) | $ | 893,170 | |||
4,612 | Electrolux AB, Series B | 131,260 | ||||
5,494 | Embracer Group AB, Class B Shares* | 161,170 | ||||
13,985 | Epiroc AB, Class A Shares | 318,965 | ||||
8,454 | Epiroc AB, Class B Shares | 171,369 | ||||
5,134 | EQT AB(a) | 186,517 | ||||
13,298 | Essity AB, Class B Shares | 460,340 | ||||
3,655 | Evolution AB(c) | 681,077 | ||||
2,133 | Fastighets AB Balder, Class B Shares* | 134,274 | ||||
11,333 | G5 Entertainment AB(a) | 733,856 | ||||
30,991 | Getinge AB, Class B Shares | 1,098,908 | ||||
15,820 | Hennes & Mauritz AB, Class B Shares* | 408,852 | ||||
42,455 | Hexagon AB, Class B Shares | 607,243 | ||||
8,868 | Husqvarna AB, Class B Shares | 130,688 | ||||
2,167 | ICA Gruppen AB | 106,265 | ||||
2,250 | Industrivarden AB, Class A Shares | 91,677 | ||||
3,262 | Industrivarden AB, Class C Shares | 127,405 | ||||
3,190 | Investment AB Latour, Class B Shares | 107,936 | ||||
39,196 | Investor AB, Class B Shares | 901,741 | ||||
10,016 | Kinnevik AB, Class B Shares* | 276,047 | ||||
1,736 | L E Lundbergforetagen AB, Class B Shares | 106,744 | ||||
3,909 | Lundin Energy AB | 134,160 | ||||
30,569 | Nibe Industrier AB, Class B Shares | 321,446 | ||||
45,530 | Peab AB, Class B Shares | 626,193 | ||||
24,460 | Sandvik AB | 651,259 | ||||
7,153 | Securitas AB, Class B Shares | 117,234 | ||||
978 | Sinch AB*(c) | 175,285 | ||||
35,645 | Skandinaviska Enskilda Banken AB, Class A Shares | 461,037 | ||||
7,101 | Skanska AB, Class B Shares | 200,783 | ||||
8,075 | SKF AB, Class B Shares | 218,793 | ||||
13,056 | Svenska Cellulosa AB SCA, Class B Shares | 218,272 | ||||
188,893 | Svenska Handelsbanken AB, Class A Shares | 2,159,763 | ||||
19,217 | Swedbank AB, Class A Shares | 352,602 | ||||
34,140 | Swedish Match AB | 316,317 | ||||
10,597 | Tele2 AB, Class B Shares | 144,386 | ||||
62,691 | Telefonaktiebolaget LM Ericsson, Class B Shares | 841,907 | ||||
57,519 | Telia Co. AB | 255,437 | ||||
1,536 | Volvo AB, Class A Shares | 41,665 | ||||
33,379 | Volvo AB, Class B Shares | 879,580 | ||||
33,829 | Wihlborgs Fastigheter AB | 766,294 | ||||
|
| |||||
Total Sweden | 21,593,519 | |||||
|
| |||||
Switzerland - 10.9% |
| |||||
189,287 | ABB Ltd., Class Registered Shares | 6,450,799 | ||||
17,470 | Adecco Group AG, Class Registered Shares | 1,211,053 | ||||
36,044 | Alcon Inc. | 2,513,229 | ||||
943 | Baloise Holding AG, Class Registered Shares | 156,879 | ||||
649 | Banque Cantonale Vaudoise, Class Registered Shares | 61,180 | ||||
76 | Barry Callebaut AG, Class Registered Shares | 173,028 | ||||
2,055 | Bucher Industries AG, Class Registered Shares | 1,124,591 | ||||
237 | Chocoladefabriken Lindt & Spruengli AG | 2,237,372 | ||||
2 | Chocoladefabriken Lindt & Spruengli AG, Class Registered Shares | 200,381 | ||||
100,361 | Cie Financiere Richemont SA, Class Registered Shares | 12,186,159 | ||||
4,226 | Clariant AG, Class Registered Shares | 91,512 | ||||
19,501 | Coca-Cola HBC AG | 710,562 | ||||
515,670 | Credit Suisse Group AG, Class Registered Shares | 5,650,350 | ||||
174 | EMS-Chemie Holding AG, Class Registered Shares | 163,054 | ||||
295 | Forbo Holding AG, Class Registered Shares | 591,537 | ||||
806 | Geberit AG, Class Registered Shares | 584,458 | ||||
1,299 | Givaudan SA, Class Registered Shares | 5,810,670 | ||||
214,442 | Glencore PLC* | 976,960 | ||||
11,265 | Holcim Ltd., Class Registered Shares* | 673,616 |
87
Schedules of Investments
(unaudited) (continued)
International Equity Fund
Shares/Units | Security | Value | ||||
Switzerland - 10.9% - (continued) |
| |||||
19,522 | Julius Baer Group Ltd. | $ | 1,331,088 | |||
15,646 | Kuehne + Nagel International AG, Class Registered Shares | 5,286,075 | ||||
21,762 | Logitech International SA, Class Registered Shares | 2,674,127 | ||||
3,588 | Lonza Group AG, Class Registered Shares | 2,321,848 | ||||
159,269 | Nestlé SA, Class Registered Shares | 19,672,294 | ||||
297,206 | Novartis AG, Class Registered Shares | 26,285,156 | ||||
493 | Partners Group Holding AG | 743,200 | ||||
7,749 | PSP Swiss Property AG, Class Registered Shares | 1,013,712 | ||||
81,922 | Roche Holding AG | 28,723,970 | ||||
864 | Schindler Holding AG | 256,701 | ||||
427 | Schindler Holding AG, Class Registered Shares | 123,890 | ||||
1,228 | SGS SA, Class Registered Shares | 3,836,836 | ||||
9,111 | Sika AG, Class Registered Shares | 2,929,276 | ||||
1,169 | Sonova Holding AG, Class Registered Shares* | 414,038 | ||||
14,511 | STMicroelectronics NV | 541,477 | ||||
776 | Straumann Holding AG, Class Registered Shares | 1,211,843 | ||||
4,534 | Sulzer AG, Class Registered Shares | 580,280 | ||||
657 | Swatch Group AG (The) | 237,768 | ||||
1,068 | Swatch Group AG (The), Class Registered Shares | 73,857 | ||||
2,405 | Swiss Life Holding AG, Class Registered Shares | 1,254,354 | ||||
1,612 | Swiss Prime Site AG, Class Registered Shares | 165,773 | ||||
6,470 | Swiss Re AG | 626,891 | ||||
550 | Swisscom AG, Class Registered Shares | 310,757 | ||||
1,556 | Tecan Group AG, Class Registered Shares | 777,592 | ||||
1,388 | Temenos AG, Class Registered Shares | 214,669 | ||||
78,931 | UBS Group AG, Class Registered Shares | 1,288,716 | ||||
8,270 | VAT Group AG(c) | 2,524,671 | ||||
1,096 | Vifor Pharma AG | 160,055 | ||||
10,517 | Vontobel Holding AG, Class Registered Shares | 820,181 | ||||
11,348 | Wizz Air Holdings PLC*(c) | 775,403 | ||||
994 | Zur Rose Group AG* | 373,448 | ||||
22,886 | Zurich Insurance Group AG | 9,630,166 | ||||
|
| |||||
Total Switzerland | 158,747,502 | |||||
|
| |||||
Taiwan - 0.6% |
| |||||
132,000 | Taiwan Semiconductor Manufacturing Co., Ltd. | 2,809,007 | ||||
45,500 | Taiwan Semiconductor Manufacturing Co., Ltd., ADR | 5,339,880 | ||||
|
| |||||
Total Taiwan | 8,148,887 | |||||
|
| |||||
United Kingdom - 13.4% |
| |||||
20,296 | 3i Group PLC | 358,302 | ||||
4,051 | Admiral Group PLC | 168,856 | ||||
27,650 | Anglo American PLC | 1,228,409 | ||||
9,641 | Ashtead Group PLC | 704,378 | ||||
7,560 | Associated British Foods PLC* | 248,521 | ||||
61,803 | AstraZeneca PLC | 7,040,233 | ||||
15,694 | Atlantica Sustainable Infrastructure PLC(a) | 570,477 | ||||
20,574 | Auto Trader Group PLC*(c) | 163,739 | ||||
2,344 | AVEVA Group PLC | 116,251 | ||||
84,850 | Aviva PLC | 494,223 | ||||
92,343 | B&M European Value Retail SA | 754,270 | ||||
69,967 | BAE Systems PLC | 522,433 | ||||
388,852 | Balfour Beatty PLC* | 1,713,784 | ||||
3,378,016 | Barclays PLC | 8,786,643 | ||||
21,587 | Barratt Developments PLC | 231,347 | ||||
2,564 | Berkeley Group Holdings PLC | 170,004 | ||||
2,401,885 | BP PLC | 10,459,216 | ||||
223,301 | British American Tobacco PLC | 8,595,715 | ||||
18,088 | British Land Co. PLC (The), REIT | 130,926 | ||||
191,370 | BT Group PLC* | 474,542 | ||||
54,759 | Bunzl PLC | 1,775,766 | ||||
106,257 | Burberry Group PLC* | 3,213,259 | ||||
268,333 | Cairn Energy PLC | 618,253 |
88
Schedules of Investments
(unaudited) (continued)
International Equity Fund
Shares/Units | Security | Value | ||||
United Kingdom - 13.4% - (continued) |
| |||||
29,936 | Close Brothers Group PLC | $ | 697,659 | |||
21,498 | CNH Industrial NV | 368,318 | ||||
4,321 | Coca-Cola European Partners PLC | 261,507 | ||||
351,075 | Compass Group PLC* | 7,999,895 | ||||
33,161 | Computacenter PLC | 1,262,616 | ||||
10,979 | Cranswick PLC | 616,097 | ||||
21,293 | Croda International PLC | 2,109,782 | ||||
236,360 | Diageo PLC | 11,410,057 | ||||
29,178 | Direct Line Insurance Group PLC | 123,157 | ||||
39,349 | Electrocomponents PLC | 552,091 | ||||
12,864 | Evraz PLC | 116,282 | ||||
4,884 | Ferguson PLC | 663,662 | ||||
36,230 | Future PLC | 1,457,498 | ||||
7,821 | Genus PLC | 560,226 | ||||
206,381 | GlaxoSmithKline PLC | 3,943,288 | ||||
8,056 | Halma PLC | 297,377 | ||||
7,816 | Hargreaves Lansdown PLC | 183,527 | ||||
437,406 | HSBC Holdings PLC | 2,836,432 | ||||
54,235 | IG Group Holdings PLC | 659,172 | ||||
50,651 | IMI PLC | 1,193,275 | ||||
19,925 | Imperial Brands PLC | 451,823 | ||||
31,875 | Informa PLC* | 245,845 | ||||
3,937 | InterContinental Hotels Group PLC* | 274,696 | ||||
23,267 | Intermediate Capital Group PLC | 694,963 | ||||
362,246 | International Consolidated Airlines Group SA* | 1,041,571 | ||||
45,698 | Intertek Group PLC | 3,518,294 | ||||
37,562 | J Sainsbury PLC | 141,455 | ||||
10,927 | JD Sports Fashion PLC* | 146,282 | ||||
4,012 | Johnson Matthey PLC | 173,205 | ||||
614,917 | Kingfisher PLC* | 3,140,589 | ||||
15,981 | Land Securities Group PLC, REIT | 159,226 | ||||
130,191 | Legal & General Group PLC | 525,821 | ||||
1,512,267 | Lloyds Banking Group PLC | 1,071,877 | ||||
6,966 | London Stock Exchange Group PLC | 747,836 | ||||
227,236 | LondonMetric Property PLC, REIT | 757,231 | ||||
53,910 | M&G PLC | 186,864 | ||||
103,094 | Melrose Industries PLC | 252,096 | ||||
89,354 | Micro Focus International PLC | 658,227 | ||||
10,304 | Mondi PLC | 278,270 | ||||
300,663 | National Grid PLC | 4,023,040 | ||||
108,300 | Natwest Group PLC | 317,611 | ||||
18,166 | Next PLC* | 2,099,103 | ||||
36,780 | Ocado Group PLC* | 985,220 | ||||
125,854 | OSB Group PLC | 835,381 | ||||
15,839 | Pearson PLC | 184,203 | ||||
6,714 | Persimmon PLC | 300,504 | ||||
103,673 | Pets at Home Group PLC | 660,154 | ||||
11,573 | Phoenix Group Holdings PLC | 120,728 | ||||
454,821 | Prudential PLC | 9,700,407 | ||||
97,845 | Reckitt Benckiser Group PLC | 8,838,190 | ||||
106,841 | Redrow PLC | 1,029,187 | ||||
278,308 | RELX PLC | 7,265,909 | ||||
39,244 | Rentokil Initial PLC | 263,672 | ||||
24,018 | Rio Tinto PLC | 2,063,858 | ||||
10,047,743 | Rolls-Royce Holdings PLC* | 15,238,989 | ||||
112,338 | Royal Mail PLC* | 922,464 | ||||
22,430 | RSA Insurance Group Ltd. | 217,782 | ||||
81,551 | Safestore Holdings PLC, REIT | 1,091,588 | ||||
24,577 | Sage Group PLC (The) | 228,730 | ||||
2,625 | Schroders PLC | 132,309 | ||||
25,583 | Segro PLC, REIT | 378,526 |
89
Schedules of Investments
(unaudited) (continued)
International Equity Fund
Shares/Units | Security | Value | ||||||
United Kingdom - 13.4% - (continued) | ||||||||
389,340 | Serco Group PLC | $ | 745,947 | |||||
5,049 | Severn Trent PLC | 175,659 | ||||||
247,413 | Smith & Nephew PLC | 5,397,413 | ||||||
8,407 | Smiths Group PLC | 184,543 | ||||||
1,563 | Spirax-Sarco Engineering PLC | 281,400 | ||||||
148,548 | Spirent Communications PLC | 525,903 | ||||||
22,560 | SSE PLC | 493,035 | ||||||
11,202 | St. Jamess Place PLC | 222,350 | ||||||
57,197 | Standard Chartered PLC | 412,483 | ||||||
49,835 | Standard Life Aberdeen PLC | 194,330 | ||||||
147,912 | Stock Spirits Group PLC | 563,765 | ||||||
105,126 | Synthomer PLC | 788,798 | ||||||
70,635 | Tate & Lyle PLC | 767,219 | ||||||
79,091 | Taylor Wimpey PLC | 191,987 | ||||||
168,323 | Tesco PLC | 532,553 | ||||||
26,853 | Travis Perkins PLC* | 625,228 | ||||||
19,443 | Ultra Electronics Holdings PLC | 568,121 | ||||||
269,039 | Unilever PLC | 16,125,041 | ||||||
43,662 | UNITE Group PLC (The), REIT | 703,068 | ||||||
14,470 | United Utilities Group PLC | 201,878 | ||||||
51,593 | Vistry Group PLC | 969,571 | ||||||
572,921 | Vodafone Group PLC | 1,044,910 | ||||||
174,053 | WH Smith PLC* | 4,263,416 | ||||||
33,417 | Whitbread PLC* | 1,505,980 | ||||||
51,017 | WM Morrison Supermarkets PLC | 128,002 | ||||||
26,779 | WPP PLC | 370,401 | ||||||
|
| |||||||
Total United Kingdom | 195,198,192 | |||||||
|
| |||||||
United States - 0.2% | ||||||||
836 | Booking Holdings Inc.* | 1,974,256 | ||||||
376,000 | Nexteer Automotive Group Ltd. | 473,194 | ||||||
168,473 | Reliance Worldwide Corp., Ltd. | 669,542 | ||||||
|
| |||||||
Total United States | 3,116,992 | |||||||
|
| |||||||
TOTAL COMMON STOCKS (Cost - $1,035,973,451) | 1,398,221,920 | |||||||
|
| |||||||
PREFERRED STOCKS - 0.3% | ||||||||
Germany - 0.3% | ||||||||
1,135 | Bayerische Motoren Werke AG, Class Preferred Shares | 103,683 | ||||||
1,540 | FUCHS PETROLUB SE, Class Preferred Shares | 79,042 | ||||||
3,751 | Henkel AG & Co. KGaA, Class Preferred Shares | 432,582 | ||||||
3,249 | Porsche Automobil Holding SE, Class Preferred Shares | 361,224 | ||||||
573 | Sartorius AG, Class Preferred Shares | 284,044 | ||||||
11,558 | Volkswagen AG, Class Preferred Shares | 3,181,339 | ||||||
|
| |||||||
TOTAL PREFERRED STOCKS (Cost - $2,346,120) | 4,441,914 | |||||||
|
| |||||||
CLOSED END MUTUAL FUND SECURITY - 0.1% | ||||||||
United States - 0.1% | ||||||||
28,004 | Vanguard FTSE Developed Markets ETF, Common Class (Cost - $1,263,300) | 1,467,970 | ||||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS (Cost - $1,039,582,871) | 1,404,131,804 | |||||||
|
| |||||||
Face Amount | ||||||||
SHORT-TERM INVESTMENTS (e) - 4.5% | ||||||||
CONVERTIBLE BOND - 0.1% | ||||||||
Credit Suisse Group Guernsey VII Ltd.: | ||||||||
1,170,000 | CHF | 3.000% due 11/12/21(c)(d) | ||||||
(Cost - $1,279,876) | 1,300,723 | |||||||
|
| |||||||
MONEY MARKET FUND - 1.6% | ||||||||
$23,456,920 | Invesco STIT - Government & Agency Portfolio, 0.030%, Institutional Class(g) (Cost - $23,456,920) | 23,456,920 | ||||||
|
|
90
Schedules of Investments
(unaudited) (continued)
International Equity Fund
Shares/Units | Security | Value | ||||||
TIME DEPOSITS - 2.8% | ||||||||
United States - 0.1% - (continued) | ||||||||
122,744 | ANZ National Bank - London, 0.005% due 6/1/21 | $ | 122,744 | |||||
BBH - Grand Cayman: | ||||||||
241,849 | DKK | (0.550)% due 5/31/21 | 39,660 | |||||
54,414 | SEK | (0.270)% due 5/31/21 | 6,553 | |||||
442,747 | AUD | (0.200)% due 5/31/21 | 341,314 | |||||
451,868 | NOK | (0.130)% due 5/31/21 | 54,050 | |||||
31,645 | NZD | 0.005% due 5/31/21 | 22,933 | |||||
2,339 | CAD | 0.010% due 5/31/21 | 1,937 | |||||
1,156 | ZAR | 3.500% due 5/31/21 | 84 | |||||
BNP Paribas - Paris: | ||||||||
736,490 | CHF | (1.360)% due 5/31/21 | 818,778 | |||||
1,023,774 | EUR | (0.780)% due 5/31/21 | 1,248,492 | |||||
26,884,801 | 0.005% due 6/1/21 | 26,884,801 | ||||||
45,936 | GBP | Citibank - London, 0.005% due 6/1/21 | 65,192 | |||||
877,113 | HKD | HSBC Bank - Hong Kong, 0.000% due 5/31/21 | 113,018 | |||||
19,707 | SGD | HSBC Bank - Singapore, 0.005% due 5/31/21 | 14,902 | |||||
107,930 | Skandinaviska Enskilda Banken AB - Stockholm, 0.005% due 6/1/21 | 107,930 | ||||||
Sumitomo Mitsui Banking Corp. - Tokyo: | ||||||||
72,788,223 | JPY | (0.310)% due 5/31/21 | 662,705 | |||||
10,412,099 | 0.005% due 6/1/21 | 10,412,099 | ||||||
|
| |||||||
TOTAL TIME DEPOSITS (Cost - $40,917,192) | 40,917,192 | |||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost - $65,653,988) | 65,674,835 | |||||||
|
| |||||||
TOTAL INVESTMENTS - 101.1% (Cost - $1,105,236,859) | 1,469,806,639 | |||||||
|
| |||||||
Liabilities in Excess of Other Assets - (1.1)% | (15,944,382 | ) | ||||||
|
| |||||||
TOTAL NET ASSETS - 100.0% | $ | 1,453,862,257 | ||||||
|
|
@ | May 28, 2021 represents the last business day of the Funds quarterly period. |
| Amount denominated in U.S. dollars, unless otherwise noted. |
* | Non-income producing security. |
(a) | All or a portion of this security is on loan (See Note 1). |
(b) | Security trades on the Hong Kong exchange. |
(c) | Restricted security that may be sold to qualified institutional buyers pursuant to the conditions of Rule 144A under the Securities Act of 1933, as amended. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted. The aggregate value of restricted 144A holdings at May 28, 2021, amounts to $34,764,672 and represents 2.4% of net assets. |
(d) | Illiquid security. |
(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 2.8%. |
(f) | Represents investments of collateral received from securities lending transactions. |
At May 28, 2021, 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 | $ | 1,105,236,859 | $ | 394,570,202 | $ | (29,937,474 | ) | $ | 364,632,728 |
Abbreviations used in this schedule:
ADR | | American Depositary Receipts | ||
CDI | | Clearing House Electronics System (CHESS) Depositary Interest | ||
GDR | | Global Depositary Receipt | ||
PLC | | Public Limited Company | ||
REIT | | Real Estate Investment Trust |
91
Schedules of Investments
(unaudited) (continued)
International Equity Fund
Summary of Investments by Security Sector^ | ||||
Industrials | 19.1 | % | ||
Financials | 14.8 | |||
Health Care | 13.1 | |||
Information Technology | 12.0 | |||
Consumer Discretionary | 10.9 | |||
Consumer Staples | 8.5 | |||
Materials | 6.9 | |||
Energy | 3.5 | |||
Utilities | 3.5 | |||
Real Estate | 2.5 | |||
Communication Services | 2.4 | |||
Short-Term Investments | 2.8 | |||
|
| |||
100.0 | %+ | |||
|
|
^ | As a percentage of total investments. |
+ | Does not reflect investments of collateral received from securities lending transactions. |
At May 28, 2021, International Equity Fund had open exchange-traded futures contracts as described below.
The unrealized appreciation on the open contracts were as follows:
Open Futures Contracts | Number of Contracts | Expiration Date (Month/Year) | Notional Amount | Market Value | Unrealized Appreciation | |||||||||||||||
Contracts to Buy: | ||||||||||||||||||||
Euro STOXX 50 June Futures | 22 | 6/21 | $ | 1,055,615 | $ | 1,090,867 | $ | 35,252 | ||||||||||||
FTSE 100 Index June Futures | 6 | 6/21 | 590,870 | 598,065 | 7,195 | |||||||||||||||
SPI 200 Index June Futures | 2 | 6/21 | 271,295 | 276,560 | 5,265 | |||||||||||||||
TOPIX Index June Futures | 5 | 6/21 | 871,549 | 886,785 | 15,236 | |||||||||||||||
|
| |||||||||||||||||||
$ | 62,948 | |||||||||||||||||||
|
|
At May 28, 2021, International Equity Fund had deposited cash of $185,576 with a broker or brokers as margin collateral on an open exchange-traded futures contracts.
Currency Abbreviations used in this schedule:
AUD | | Australian Dollar | ||
CAD | | Canadian Dollar | ||
CHF | | Swiss Franc | ||
DKK | | Danish Krone | ||
EUR | | Euro | ||
GBP | | British Pound | ||
HKD | | Hong Kong Dollar | ||
JPY | | Japanese Yen | ||
NOK | | Norwegian Krone | ||
NZD | | New Zealand Dollar | ||
SEK | | Swedish Krona | ||
SGD | | Singapore Dollar | ||
ZAR | | South African Rand |
92
Schedules of Investments
May 28, 2021@
(unaudited) (continued)
Emerging Markets Equity Fund
Shares/Units | Security | Value | ||||
COMMON STOCKS - 95.4% |
| |||||
Argentina - 0.4% |
| |||||
816 | Globant SA* | $ | 177,782 | |||
1,520 | MercadoLibre Inc.* | 2,065,179 | ||||
5,996 | YPF SA, ADR* | 28,181 | ||||
|
| |||||
Total Argentina | 2,271,142 | |||||
|
| |||||
Australia - 0.0% |
| |||||
52,000 | MMG Ltd.* | 31,643 | ||||
|
| |||||
Brazil - 4.3% |
| |||||
102,908 | Ambev SA | 352,550 | ||||
7,621 | Atacadao SA | 32,047 | ||||
4,429 | B2W Cia Digital* | 50,909 | ||||
803,886 | B3 SA - Brasil Bolsa Balcao | 2,696,926 | ||||
35,917 | Banco Bradesco SA | 157,583 | ||||
6,103 | Banco BTG Pactual SA | 144,002 | ||||
390,586 | Banco do Brasil SA | 2,514,275 | ||||
7,416 | Banco Inter SA | 95,078 | ||||
9,295 | Banco Santander Brasil SA | 72,785 | ||||
310,826 | BB Seguridade Participacoes SA | 1,395,342 | ||||
10,506 | BRF SA* | 51,922 | ||||
711,680 | CCR SA | 1,893,133 | ||||
7,810 | Centrais Eletricas Brasileiras SA | 64,649 | ||||
7,187 | Cia de Saneamento Basico do Estado de Sao Paulo | 55,120 | ||||
17,041 | Compania Siderurgica Nacional SA | 146,000 | ||||
18,204 | Cosan SA | 76,584 | ||||
164,241 | Cosan SA, ADR | 2,762,534 | ||||
4,500 | CPFL Energia SA | 25,055 | ||||
5,411 | Energisa SA | 49,038 | ||||
110,426 | Engie Brasil Energia SA | 847,320 | ||||
19,967 | Equatorial Energia SA | 97,414 | ||||
211,900 | Fleury SA | 1,074,883 | ||||
22,090 | Hapvida Participacoes e Investimentos SA(a) | 67,622 | ||||
8,769 | Hypera SA | 60,924 | ||||
23,419 | JBS SA | 135,381 | ||||
420,700 | JSL SA | 871,218 | ||||
16,556 | Klabin SA* | 83,219 | ||||
13,764 | Localiza Rent a Car SA | 163,625 | ||||
158,900 | Locaweb Servicos de Internet SA, (Restricted, cost - $148,039, acquired 4/17/20)(a)(b) | 798,411 | ||||
20,800 | Lojas Renner SA | 189,343 | ||||
63,386 | Magazine Luiza SA | 246,349 | ||||
294,800 | Movida Participacoes SA | 1,002,592 | ||||
19,315 | Natura & Co. Holding SA* | 189,208 | ||||
12,210 | Notre Dame Intermedica Participacoes SA | 205,588 | ||||
456,700 | Odontoprev SA | 1,143,865 | ||||
266,449 | Petrobras Distribuidora SA | 1,307,609 | ||||
79,920 | Petroleo Brasileiro SA | 409,697 | ||||
24,959 | Raia Drogasil SA | 130,918 | ||||
14,529 | Rede DOr Sao Luiz SA, (Restricted, cost - $173,499, acquired 12/9/20)(a)(b) | 197,983 | ||||
170,941 | Rumo SA* | 685,030 | ||||
16,504 | Suzano SA* | 194,931 | ||||
18,442 | TIM SA | 42,793 | ||||
12,300 | TOTVS SA | 79,201 | ||||
16,567 | Ultrapar Participações SA | 60,604 | ||||
86,480 | Vale SA | 1,852,141 | ||||
87,600 | Vamos Locacao de Caminhoes Maquinas e Equipamentos SA* | 859,128 | ||||
37,547 | Vasta Platform Ltd., Class A Shares* | 330,038 | ||||
24,735 | Via Varejo SA* | 60,385 | ||||
36,784 | WEG SA | 242,857 | ||||
153,100 | Westwing Comercio Varejista Ltda* | 264,454 | ||||
|
| |||||
Total Brazil | 26,530,263 | |||||
|
|
93
Schedules of Investments
(unaudited) (continued)
Emerging Markets Equity Fund
Shares/Units | Security | Value | ||||
Chile - 0.6% |
| |||||
133,688 | Antofagasta PLC | $ | 2,927,236 | |||
1,140,767 | Banco de Chile | 114,155 | ||||
969 | Banco de Credito e Inversiones SA | 45,742 | ||||
1,335,050 | Banco Santander Chile | 71,737 | ||||
29,156 | Cencosud SA | 56,742 | ||||
12,906 | Cencosud Shopping SA | 24,139 | ||||
2,598 | Cia Cervecerias Unidas SA | 23,308 | ||||
115,265 | Colbun SA | 15,948 | ||||
31,677 | Empresas CMPC SA | 79,094 | ||||
9,480 | Empresas COPEC SA | 94,342 | ||||
473,707 | Enel Americas SA | 64,338 | ||||
564,409 | Enel Chile SA | 33,444 | ||||
16,321 | Falabella SA | 71,389 | ||||
|
| |||||
Total Chile | 3,621,614 | |||||
|
| |||||
China - 29.2% |
| |||||
2,081 | 21Vianet Group Inc., ADR* | 46,448 | ||||
1,844 | 360 DigiTech Inc., ADR* | 51,761 | ||||
9,300 | 360 Security Technology Inc., Class A Shares* | 17,801 | ||||
32,500 | 3SBio Inc.*(a) | 37,185 | ||||
662 | 51job Inc., ADR* | 47,452 | ||||
140,482 | AAC Technologies Holdings Inc. | 849,366 | ||||
3,000 | AECC Aviation Power Co., Ltd., Class A Shares | 23,943 | ||||
24,000 | Agile Group Holdings Ltd. | 33,876 | ||||
1,011 | Agora Inc., ADR* | 45,182 | ||||
106,600 | Agricultural Bank of China Ltd., Class A Shares | 54,991 | ||||
555,000 | Agricultural Bank of China Ltd., Class H Shares(c) | 225,361 | ||||
5,073 | Aier Eye Hospital Group Co., Ltd., Class A Shares* | 66,861 | ||||
40,000 | Air China Ltd., Class H Shares*(c) | 33,268 | ||||
6,000 | Akeso Inc.*(a) | 46,234 | ||||
401,244 | Alibaba Group Holding Ltd.* | 10,757,001 | ||||
63,620 | Alibaba Group Holding Ltd., ADR* | 13,612,135 | ||||
672,500 | A-Living Smart City Services Co., Ltd., (Restricted, cost - $1,450,639, acquired 10/8/18), Class H Shares(a)(b)(c) | 3,267,365 | ||||
31,400 | Aluminum Corp. of China Ltd., Class A Shares* | 26,492 | ||||
74,000 | Aluminum Corp. of China Ltd., Class H Shares*(c) | 43,561 | ||||
2,500 | Angel Yeast Co., Ltd., Class A Shares* | 25,605 | ||||
6,100 | Anhui Conch Cement Co., Ltd., Class A Shares | 46,987 | ||||
301,837 | Anhui Conch Cement Co., Ltd., Class H Shares(c) | 1,864,642 | ||||
1,100 | Anhui Gujing Distillery Co., Ltd., Class A Shares | 41,996 | ||||
700 | Anhui Gujing Distillery Co., Ltd., Class B Shares | 9,449 | ||||
24,000 | ANTA Sports Products Ltd. | 482,203 | ||||
500 | Asymchem Laboratories Tianjin Co., Ltd., Class A Shares | 28,048 | ||||
1,581 | Autohome Inc., ADR(d) | 121,848 | ||||
34,799 | Avic Capital Co., Ltd., Class A Shares | 22,002 | ||||
1,700 | AVIC Jonhon Optronic Technology Co., Ltd., Class A Shares* | 20,338 | ||||
2,600 | AVIC Shenyang Aircraft Co., Ltd., Class A Shares | 30,971 | ||||
3,600 | AVIC Xian Aircraft Industry Group Co., Ltd., Class A Shares | 15,303 | ||||
42,000 | AviChina Industry & Technology Co., Ltd., Class H Shares*(c) | 28,116 | ||||
5,895 | Baidu Inc., ADR* | 1,157,012 | ||||
19,200 | Bank of Beijing Co., Ltd., Class A Shares | 14,848 | ||||
58,930 | Bank of China Ltd., Class A Shares | 30,946 | ||||
1,719,000 | Bank of China Ltd., Class H Shares(c) | 651,313 | ||||
39,800 | Bank of Communications Co., Ltd., Class A Shares | 30,837 | ||||
212,000 | Bank of Communications Co., Ltd., Class H Shares(c) | 143,057 | ||||
4,600 | Bank of Hangzhou Co., Ltd., Class A Shares | 11,992 | ||||
19,890 | Bank of Jiangsu Co., Ltd., Class A Shares | 23,936 | ||||
16,600 | Bank of Nanjing Co., Ltd., Class A Shares | 26,826 | ||||
10,900 | Bank of Ningbo Co., Ltd., Class A Shares | 73,076 | ||||
29,640 | Bank of Shanghai Co., Ltd., Class A Shares | 39,560 | ||||
30,184 | Baoshan Iron & Steel Co., Ltd., Class A Shares | 37,321 |
94
Schedules of Investments
(unaudited) (continued)
Emerging Markets Equity Fund
Shares/Units | Security | Value | ||||
China - 29.2% - (continued) |
| |||||
1,609 | Baozun Inc., ADR*(d) | $ | 55,816 | |||
973 | BeiGene Ltd., ADR* | 348,830 | ||||
54,000 | Beijing Capital International Airport Co., Ltd., Class H Shares(c) | 36,577 | ||||
2,000 | Beijing New Building Materials PLC, Class A Shares | 13,696 | ||||
1,350 | Beijing Oriental Yuhong Waterproof Technology Co., Ltd., Class A Shares | 12,143 | ||||
4,000 | Beijing Tiantan Biological Products Corp., Ltd., Class A Shares | 21,666 | ||||
53,300 | Beijing-Shanghai High Speed Railway Co., Ltd., Class A Shares | 48,484 | ||||
200 | Betta Pharmaceuticals Co., Ltd., Class A Shares | 3,395 | ||||
1,000 | BGI Genomics Co., Ltd., Class A Shares | 19,479 | ||||
3,577 | Bilibili Inc., ADR*(d) | 383,383 | ||||
38,300 | BOE Technology Group Co., Ltd., Class A Shares | 37,912 | ||||
939 | Burning Rock Biotech Ltd., ADR* | 25,419 | ||||
2,500 | BYD Co., Ltd., Class A Shares | 71,147 | ||||
17,500 | BYD Co., Ltd., Class H Shares(c) | 399,135 | ||||
14,500 | BYD Electronic International Co., Ltd.(d) | 92,095 | ||||
1,800 | Cansino Blologics Inc., Class H Shares*(a)(c)(d) | 73,149 | ||||
227,000 | CGN Power Co., Ltd., Class H Shares(a)(c) | 50,270 | ||||
400 | Changchun High & New Technology Industry Group Inc., Class A Shares | 25,138 | ||||
1,100 | Changjiang Securities Co., Ltd., Class A Shares | 1,362 | ||||
3,900 | Chaozhou Three-Circle Group Co., Ltd., Class A Shares* | 23,012 | ||||
35,000 | China Aoyuan Group Ltd. | 41,062 | ||||
5,300 | China Avionics Systems Co., Ltd., Class A Shares | 13,078 | ||||
57,500 | China Bohai Bank Co., Ltd., Class H Shares(a)(c) | 24,323 | ||||
255,000 | China Cinda Asset Management Co., Ltd., Class H Shares(c) | 54,519 | ||||
189,000 | China CITIC Bank Corp., Ltd., Class H Shares*(c) | 103,321 | ||||
82,000 | China Communications Services Corp., Ltd., Class H Shares(c) | 34,413 | ||||
118,500 | China Conch Venture Holdings Ltd. | 544,903 | ||||
21,100 | China Construction Bank Corp., Class A Shares | 23,274 | ||||
6,880,224 | China Construction Bank Corp., Class H Shares(c) | 5,675,974 | ||||
16,000 | China East Education Holdings Ltd.(a) | 34,654 | ||||
27,298 | China Eastern Airlines Corp., Ltd., Class A Shares | 24,011 | ||||
30,812 | China Everbright Bank Co., Ltd., Class A Shares | 18,696 | ||||
93,000 | China Everbright Bank Co., Ltd., Class H Shares(c) | 39,648 | ||||
47,000 | China Evergrande Group | 73,164 | ||||
486,000 | China Feihe Ltd., (Restricted, cost - $1,356,332, acquired 4/8/21)(a)(b) | 1,322,400 | ||||
4,901 | China Fortune Land Development Co., Ltd., Class A Shares | 4,215 | ||||
13,200 | China Galaxy Securities Co., Ltd., Class A Shares | 22,990 | ||||
50,500 | China Galaxy Securities Co., Ltd., Class H Shares(c) | 31,849 | ||||
1,500 | China Greatwall Technology Group Co., Ltd., Class A Shares | 3,568 | ||||
45,500 | China Hongqiao Group Ltd. | 73,225 | ||||
286,000 | China Huarong Asset Management Co., Ltd., Class H Shares(a)(c)(e)(f) | 28,191 | ||||
102,000 | China Huishan Dairy Holdings Co., Ltd.*#(e)(f) | | ||||
34,000 | China International Capital Corp., Ltd., Class H Shares(a)(c) | 99,769 | ||||
7,200 | China Jushi Co., Ltd., Class A Shares | 18,116 | ||||
22,000 | China Lesso Group Holdings Ltd. | 55,746 | ||||
4,800 | China Life Insurance Co., Ltd., Class A Shares | 27,721 | ||||
161,000 | China Life Insurance Co., Ltd., Class H Shares(c) | 341,540 | ||||
8,800 | China Literature Ltd.*(a) | 93,321 | ||||
70,000 | China Longyuan Power Group Corp., Ltd., Class H Shares(c) | 100,478 | ||||
27,000 | China Medical System Holdings Ltd. | 67,267 | ||||
14,000 | China Meidong Auto Holdings Ltd. | 74,538 | ||||
27,000 | China Merchants Bank Co., Ltd., Class A Shares | 247,986 | ||||
671,891 | China Merchants Bank Co., Ltd., Class H Shares(c) | 6,201,085 | ||||
20,400 | China Merchants Energy Shipping Co., Ltd., Class A Shares | 17,138 | ||||
9,230 | China Merchants Securities Co., Ltd., Class A Shares | 29,694 | ||||
14,820 | China Merchants Shekou Industrial Zone Holdings Co., Ltd., Class A Shares | 27,197 | ||||
55,920 | China Minsheng Banking Corp., Ltd., Class A Shares | 41,480 | ||||
140,200 | China Minsheng Banking Corp., Ltd., Class H Shares(c)(d) | 74,587 | ||||
26,600 | China Molybdenum Co., Ltd., Class A Shares | 23,881 | ||||
81,000 | China Molybdenum Co., Ltd., Class H Shares(c) | 54,137 | ||||
84,000 | China National Building Material Co., Ltd., Class H Shares(c) | 111,114 |
95
Schedules of Investments
(unaudited) (continued)
Emerging Markets Equity Fund
Shares/Units | Security | Value | ||||
China - 29.2% - (continued) |
| |||||
18,900 | China National Nuclear Power Co., Ltd., Class A Shares | $ | 15,562 | |||
600 | China National Software & Service Co., Ltd., Class A Shares | 5,490 | ||||
8,500 | China Northern Rare Earth Group High-Tech Co., Ltd., Class A Shares* | 27,281 | ||||
30,000 | China Oilfield Services Ltd., Class H Shares(c) | 27,939 | ||||
10,500 | China Pacific Insurance Group Co., Ltd., Class A Shares | 57,756 | ||||
59,400 | China Pacific Insurance Group Co., Ltd., Class H Shares*(c) | 224,964 | ||||
38,900 | China Petroleum & Chemical Corp., Class A Shares | 27,336 | ||||
534,000 | China Petroleum & Chemical Corp., Class H Shares(c) | 289,636 | ||||
27,800 | China Railway Group Ltd., Class A Shares | 23,751 | ||||
77,000 | China Railway Group Ltd., Class H Shares(c) | 40,646 | ||||
6,000 | China Resources Mixc Lifestyle Services Ltd.*(a) | 34,309 | ||||
20,500 | China Resources Pharmaceutical Group Ltd.(a) | 14,571 | ||||
6,299 | China Shenhua Energy Co., Ltd., Class A Shares | 19,709 | ||||
957,500 | China Shenhua Energy Co., Ltd., Class H Shares(c) | 2,113,077 | ||||
21,800 | China Shipbuilding Industry Co., Ltd., Class A Shares* | 14,358 | ||||
9,100 | China South Publishing & Media Group Co., Ltd., Class A Shares | 14,055 | ||||
20,400 | China Southern Airlines Co., Ltd., Class A Shares* | 21,140 | ||||
44,000 | China Southern Airlines Co., Ltd., Class H Shares*(c) | 31,265 | ||||
57,440 | China State Construction Engineering Corp., Ltd., Class A Shares | 44,226 | ||||
2,735 | China Tourism Group Duty Free Corp., Ltd., Class A Shares | 147,605 | ||||
972,000 | China Tower Corp., Ltd., Class H Shares(a)(c) | 132,623 | ||||
15,600 | China Vanke Co., Ltd., Class A Shares | 66,078 | ||||
394,500 | China Vanke Co., Ltd., Class H Shares(c) | 1,358,265 | ||||
31,600 | China Yangtze Power Co., Ltd., Class A Shares | 97,725 | ||||
34,000 | China Yuhua Education Corp., Ltd.(a) | 34,117 | ||||
1,760 | Chindata Group Holdings Ltd., ADR* | 28,512 | ||||
1,200 | Chongqing Brewery Co., Ltd., Class A Shares* | 32,649 | ||||
4,100 | Chongqing Changan Automobile Co., Ltd., Class A Shares* | 14,846 | ||||
24,000 | Chongqing Rural Commercial Bank Co., Ltd., Class H Shares*(c) | 11,066 | ||||
2,000 | Chongqing Zhifei Biological Products Co., Ltd., Class A Shares | 59,047 | ||||
84,000 | CIFI Holdings Group Co., Ltd. | 73,213 | ||||
15,100 | CITIC Securities Co., Ltd., Class A Shares | 62,097 | ||||
50,000 | CITIC Securities Co., Ltd., Class H Shares(c) | 138,303 | ||||
50,100 | Contemporary Amperex Technology Co., Ltd., Class A Shares | 3,222,623 | ||||
9,400 | COSCO SHIPPING Holdings Co., Ltd., Class A Shares* | 31,883 | ||||
62,500 | COSCO SHIPPING Holdings Co., Ltd., Class H Shares*(c) | 130,258 | ||||
167,000 | Country Garden Holdings Co., Ltd. | 212,606 | ||||
33,000 | Country Garden Services Holdings Co., Ltd. | 334,354 | ||||
3,800 | CSC Financial Co., Ltd., Class A Shares | 20,447 | ||||
199,120 | CSPC Pharmaceutical Group Ltd. | 298,862 | ||||
1,263 | Dada Nexus Ltd., ADR* | 31,739 | ||||
59,000 | Dali Foods Group Co., Ltd.(a) | 37,466 | ||||
34,999 | Daqin Railway Co., Ltd., Class A Shares | 38,130 | ||||
1,334 | Daqo New Energy Corp., ADR* | 99,223 | ||||
1,900 | DaShenLin Pharmaceutical Group Co., Ltd., Class A Shares | 22,163 | ||||
800 | DHC Software Co., Ltd., Class A Shares | 931 | ||||
64,000 | Dongfeng Motor Group Co., Ltd., Class H Shares(c) | 60,798 | ||||
2,574 | DouYu International Holdings Ltd., ADR* | 20,335 | ||||
13,032 | East Money Information Co., Ltd., Class A Shares | 64,103 | ||||
900 | Ecovacs Robotics Co., Ltd., Class A Shares* | 25,033 | ||||
17,400 | ENN Energy Holdings Ltd. | 319,529 | ||||
2,581 | Eve Energy Co., Ltd., Class A Shares | 42,138 | ||||
16,000 | Ever Sunshine Lifestyle Services Group Ltd. | 44,265 | ||||
7,300 | Everbright Securities Co., Ltd., Class A Shares | 19,333 | ||||
20,400 | Financial Street Holdings Co., Ltd., Class A Shares | 23,885 | ||||
11,000 | Flat Glass Group Co., Ltd., Class H Shares(c) | 30,994 | ||||
20,800 | Focus Media Information Technology Co., Ltd., Class A Shares | 33,973 | ||||
4,550 | Foshan Haitian Flavouring & Food Co., Ltd., Class A Shares | 97,127 | ||||
51,000 | Fosun International Ltd. | 82,235 | ||||
16,400 | Founder Securities Co., Ltd., Class A Shares* | 26,580 | ||||
15,000 | Foxconn Industrial Internet Co., Ltd., Class A Shares | 29,116 |
96
Schedules of Investments
(unaudited) (continued)
Emerging Markets Equity Fund
Shares/Units | Security | Value | ||||
China - 29.2% - (continued) |
| |||||
600 | Fu Jian Anjoy Foods Co., Ltd., Class A Shares* | $ | 23,419 | |||
977,000 | Fu Shou Yuan International Group Ltd. | 1,048,161 | ||||
4,100 | Fuyao Glass Industry Group Co., Ltd., Class A Shares | 33,171 | ||||
11,200 | Fuyao Glass Industry Group Co., Ltd., Class H Shares(a)(c) | 70,325 | ||||
1,200 | Ganfeng Lithium Co., Ltd., Class A Shares | 22,395 | ||||
4,000 | Ganfeng Lithium Co., Ltd., Class H Shares(a)(c) | 53,524 | ||||
26,700 | GDS Holdings Ltd., ADR*(d) | 2,008,374 | ||||
9,300 | Gemdale Corp., Class A Shares | 15,892 | ||||
26,000 | Genscript Biotech Corp.* | 91,539 | ||||
8,200 | GF Securities Co., Ltd., Class A Shares | 20,811 | ||||
31,400 | GF Securities Co., Ltd., Class H Shares(c) | 45,276 | ||||
8,700 | Giant Network Group Co., Ltd., Class A Shares | 18,929 | ||||
924 | Gigadevice Semiconductor Beijing Inc., Class A Shares | 19,389 | ||||
4,300 | GoerTek Inc., Class A Shares | 26,051 | ||||
294,000 | GOME Retail Holdings Ltd.* | 48,375 | ||||
2,000 | Gotion High-tech Co., Ltd., Class A Shares* | 11,116 | ||||
4,100 | Great Wall Motor Co., Ltd., Class A Shares | 23,643 | ||||
67,000 | Great Wall Motor Co., Ltd., Class H Shares(c) | 185,532 | ||||
21,900 | Greenland Holdings Corp., Ltd., Class A Shares | 19,883 | ||||
22,000 | Greentown China Holdings Ltd. | 25,138 | ||||
32,000 | Greentown Service Group Co., Ltd. | 49,435 | ||||
1,828 | GSX Techedu Inc., ADR*(d) | 33,891 | ||||
2,200 | Guangdong Haid Group Co., Ltd., Class A Shares* | 27,465 | ||||
200 | Guangdong Kinlong Hardware Products Co., Ltd., Class A Shares | 5,615 | ||||
30,000 | Guanghui Energy Co., Ltd., Class A Shares* | 15,243 | ||||
60,000 | Guangzhou Automobile Group Co., Ltd., Class H Shares(c) | 51,901 | ||||
2,600 | Guangzhou Baiyunshan Pharmaceutical Holdings Co., Ltd., Class A Shares | 12,880 | ||||
7,900 | Guangzhou Haige Communications Group Inc. Co., Class A Shares | 12,429 | ||||
1,100 | Guangzhou Kingmed Diagnostics Group Co., Ltd., Class A Shares | 25,184 | ||||
38,000 | Guangzhou R&F Properties Co., Ltd., Class H Shares(c) | 51,279 | ||||
600 | Guangzhou Shiyuan Electronic Technology Co., Ltd., Class A Shares | 12,503 | ||||
2,210 | Guangzhou Tinci Materials Technology Co., Ltd., Class A Shares | 30,380 | ||||
9,400 | Guosen Securities Co., Ltd., Class A Shares* | 16,830 | ||||
16,600 | Guotai Junan Securities Co., Ltd., Class A Shares | 45,895 | ||||
5,900 | Guoyuan Securities Co., Ltd., Class A Shares | 7,544 | ||||
23,000 | Haidilao International Holding Ltd.(a) | 129,868 | ||||
7,300 | Haier Smart Home Co., Ltd., Class A Shares | 35,148 | ||||
43,800 | Haier Smart Home Co., Ltd., Class H Shares*(c) | 183,729 | ||||
16,000 | Haitian International Holdings Ltd. | 57,767 | ||||
9,300 | Haitong Securities Co., Ltd., Class A Shares | 17,168 | ||||
62,400 | Haitong Securities Co., Ltd., Class H Shares(c) | 59,711 | ||||
1,800 | Hangzhou First Applied Material Co., Ltd., Class A Shares | 22,334 | ||||
400 | Hangzhou Tigermed Consulting Co., Ltd., Class A Shares* | 10,796 | ||||
3,300 | Hangzhou Tigermed Consulting Co., Ltd., Class H Shares(a)(c) | 65,656 | ||||
28,000 | Hansoh Pharmaceutical Group Co., Ltd.*(a) | 119,220 | ||||
900 | Hefei Meiya Optoelectronic Technology Inc., Class A Shares | 6,673 | ||||
5,300 | Henan Shuanghui Investment & Development Co., Ltd., Class A Shares | 29,641 | ||||
280,500 | Hengan International Group Co., Ltd. | 1,891,400 | ||||
10,778 | Hengli Petrochemical Co.,Ltd., Class A Shares | 48,868 | ||||
60,000 | HengTen Networks Group Ltd.* | 60,535 | ||||
10,600 | Hengtong Optic-electric Co., Ltd., Class A Shares | 19,818 | ||||
2,990 | Hengyi Petrochemical Co., Ltd., Class A Shares* | 5,919 | ||||
43,300 | Hesteel Co., Ltd., Class A Shares* | 17,094 | ||||
299 | Hithink RoyalFlush Information Network Co., Ltd., Class A Shares | 5,596 | ||||
12,000 | Hua Hong Semiconductor Ltd.*(a) | 65,071 | ||||
38,500 | Huadian Power International Corp., Ltd., Class A Shares | 20,942 | ||||
1,694 | Huadong Medicine Co., Ltd., Class A Shares | 13,558 | ||||
2,260 | Hualan Biological Engineering Inc., Class A Shares* | 14,167 | ||||
52,000 | Huaneng Power International Inc., Class H Shares(c) | 18,482 | ||||
7,200 | Huatai Securities Co., Ltd., Class A Shares | 19,375 | ||||
33,600 | Huatai Securities Co., Ltd., Class H Shares(a)(c) | 51,906 |
97
Schedules of Investments
(unaudited) (continued)
Emerging Markets Equity Fund
Shares/Units | Security | Value | ||||
China - 29.2% - (continued) |
| |||||
35,600 | Huaxia Bank Co., Ltd., Class A Shares | $ | 35,976 | |||
1,600 | Huaxin Cement Co., Ltd., Class A Shares | 5,558 | ||||
5,800 | Huayu Automotive Systems Co., Ltd., Class A Shares | 21,974 | ||||
3,879 | Huazhu Group Ltd., ADR* | 221,762 | ||||
62,080 | Hundsun Technologies Inc., Class A Shares | 912,936 | ||||
1,756 | HUYA Inc., ADR*(d) | 26,867 | ||||
3,900 | Iflytek Co., Ltd., Class A Shares | 37,970 | ||||
725 | I-Mab, ADR* | 58,776 | ||||
82,200 | Industrial & Commercial Bank of China Ltd., Class A Shares | 68,074 | ||||
1,229,000 | Industrial & Commercial Bank of China Ltd., Class H Shares(c) | 806,917 | ||||
31,500 | Industrial Bank Co., Ltd., Class A Shares | 115,363 | ||||
300 | Industrial Securities Co., Ltd., Class A Shares | 520 | ||||
98,200 | Inner Mongolia BaoTou Steel Union Co., Ltd., Class A Shares* | 24,723 | ||||
16,300 | Inner Mongolia Junzheng Energy & Chemical Industry Group Co., Ltd., Class A Shares* | 14,559 | ||||
8,700 | Inner Mongolia Yili Industrial Group Co., Ltd., Class A Shares | 55,453 | ||||
25,500 | Innovent Biologics Inc.*(a) | 293,587 | ||||
3,700 | Inspur Electronic Information Industry Co., Ltd., Class A Shares | 16,711 | ||||
6,066 | iQIYI Inc., ADR*(d) | 86,501 | ||||
1,500 | Jafron Biomedical Co., Ltd., Class A Shares | 21,685 | ||||
4,000 | JCET Group Co., Ltd., Class A Shares* | 21,525 | ||||
6,700 | JD Health International Inc.*(a)(d) | 91,675 | ||||
56,681 | JD.com Inc., ADR*(d) | 4,190,993 | ||||
24,000 | Jiangsu Expressway Co., Ltd., Class H Shares(c) | 28,872 | ||||
1,948 | Jiangsu Hengli Hydraulic Co., Ltd., Class A Shares | 24,819 | ||||
8,068 | Jiangsu Hengrui Medicine Co., Ltd., Class A Shares* | 108,854 | ||||
1,000 | Jiangsu KingS Luck Brewery JSC Ltd., Class A Shares | 9,302 | ||||
1,700 | Jiangsu Yanghe Brewery Joint-Stock Co., Ltd., Class A Shares | 58,230 | ||||
6,200 | Jiangsu Zhongtian Technology Co., Ltd., Class A Shares | 10,081 | ||||
5,300 | Jiangxi Copper Co., Ltd., Class A Shares | 21,546 | ||||
19,000 | Jiangxi Copper Co., Ltd., Class H Shares(c) | 44,339 | ||||
7,800 | Jiangxi Zhengbang Technology Co., Ltd., Class A Shares* | 15,948 | ||||
10,000 | Jilin Aodong Pharmaceutical Group Co., Ltd., Class A Shares | 24,839 | ||||
7,400 | Jinke Properties Group Co., Ltd., Class A Shares | 7,048 | ||||
32,000 | Jinxin Fertility Group Ltd.(a) | 78,322 | ||||
200 | JiuGui Liquor Co., Ltd., Class A Shares | 7,491 | ||||
16,000 | Jiumaojiu International Holdings Ltd.*(a) | 62,730 | ||||
6,800 | Joincare Pharmaceutical Group Industry Co., Ltd., Class A Shares | 15,826 | ||||
7,800 | Jointown Pharmaceutical Group Co., Ltd., Class A Shares* | 20,959 | ||||
2,200 | Jonjee Hi-Tech Industrial And Commercial Holding Co., Ltd., Class A Shares | 17,290 | ||||
1,271 | JOYY Inc., ADR(d) | 97,803 | ||||
1,500 | Juewei Food Co., Ltd., Class A Shares | 20,154 | ||||
52,000 | Kaisa Group Holdings Ltd. | 23,845 | ||||
7,759 | KE Holdings Inc., ADR* | 402,615 | ||||
58,000 | Kingdee International Software Group Co., Ltd.* | 220,431 | ||||
5,800 | Kingfa Sci. & Tech. Co., Ltd., Class A Shares | 20,250 | ||||
1,431 | Kingsoft Cloud Holdings Ltd., ADR*(d) | 55,895 | ||||
21,000 | Kingsoft Corp., Ltd. | 141,602 | ||||
5,700 | Kuaishou Technology, Class B Shares*(a) | 146,850 | ||||
1,688 | Kweichow Moutai Co., Ltd., Class A Shares | 591,500 | ||||
20,500 | KWG Group Holdings Ltd. | 31,187 | ||||
152,000 | Lenovo Group Ltd. | 182,900 | ||||
9,000 | Lens Technology Co., Ltd., Class A Shares | 41,252 | ||||
4,500 | Lepu Medical Technology Beijing Co., Ltd., Class A Shares | 23,984 | ||||
10,357 | Li Auto Inc., ADR*(d) | 241,318 | ||||
49,500 | Li Ning Co., Ltd. | 454,525 | ||||
14,500 | Lingyi iTech Guangdong Co., Class A Shares | 19,488 | ||||
27,000 | Logan Group Co., Ltd. | 43,259 | ||||
4,200 | Lomon Billions Group Co., Ltd., Class A Shares | 22,134 | ||||
40,000 | Longfor Group Holdings Ltd.(a) | 233,909 | ||||
5,800 | LONGi Green Energy Technology Co., Ltd., Class A Shares | 88,647 | ||||
4,663 | Lufax Holding Ltd., ADR*(d) | 56,842 |
98
Schedules of Investments
(unaudited) (continued)
Emerging Markets Equity Fund
Shares/Units | Security | Value | ||||
China - 29.2% - (continued) |
| |||||
11,038 | Luxshare Precision Industry Co., Ltd., Class A Shares | $ | 68,146 | |||
2,000 | Luzhou Laojiao Co., Ltd., Class A Shares | 86,241 | ||||
3,400 | Mango Excellent Media Co., Ltd., Class A Shares | 39,293 | ||||
540 | Maxscend Microelectronics Co., Ltd., Class A Shares | 34,879 | ||||
9,480 | Meinian Onehealth Healthcare Holdings Co., Ltd., Class A Shares* | 17,755 | ||||
308,900 | Meituan Dianping, (Restricted, cost - $7,160,719, acquired 3/23/20), Class B Shares*(a)(b) | 10,514,309 | ||||
36,900 | Metallurgical Corp. of China Ltd., Class A Shares | 17,763 | ||||
15,000 | Microport Scientific Corp. | 116,733 | ||||
5,300 | Midea Group Co., Ltd., Class A Shares | 68,601 | ||||
9,000 | Ming Yuan Cloud Group Holdings Ltd.* | 46,256 | ||||
444,000 | Minth Group Ltd. | 1,877,516 | ||||
4,216 | Momo Inc., ADR | 59,150 | ||||
4,990 | Muyuan Foodstuff Co., Ltd., Class A Shares | 70,680 | ||||
7,600 | Nanjing Securities Co., Ltd., Class A Shares | 11,401 | ||||
5,900 | NARI Technology Co., Ltd., Class A Shares | 28,062 | ||||
1,000 | NAURA Technology Group Co., Ltd., Class A Shares | 29,416 | ||||
16,730 | NetEase Inc., ADR | 1,972,969 | ||||
2,400 | New China Life Insurance Co., Ltd., Class A Shares | 19,516 | ||||
19,500 | New China Life Insurance Co., Ltd., Class H Shares(c) | 73,258 | ||||
6,400 | New Hope Liuhe Co., Ltd., Class A Shares | 15,268 | ||||
127,012 | New Oriental Education & Technology Group Inc., ADR* | 1,299,333 | ||||
10,200 | Ningxia Baofeng Energy Group Co., Ltd., Class A Shares | 23,637 | ||||
28,610 | NIO Inc., ADR* | 1,104,918 | ||||
834 | Noah Holdings Ltd., ADR* | 38,014 | ||||
6,000 | Nongfu Spring Co., Ltd., Class H Shares*(a)(c) | 34,509 | ||||
1,400 | Offcn Education Technology Co., Ltd., Class A Shares* | 5,503 | ||||
9,000 | OFILM Group Co., Ltd., Class A Shares | 12,377 | ||||
44,619 | OneConnect Financial Technology Co., Ltd., ADR* | 645,191 | ||||
1,000 | Oppein Home Group Inc., Class A Shares | 23,105 | ||||
11,300 | Orient Securities Co., Ltd., Class A Shares | 18,197 | ||||
10,800 | Oriental Pearl Group Co., Ltd., Class A Shares | 15,236 | ||||
2,030 | Ovctek China Inc., Class A Shares | 31,362 | ||||
14,200 | Pacific Securities Co., Ltd., Class A Shares* | 8,429 | ||||
204,000 | Peoples Insurance Co. Group of China Ltd., Class H Shares(c) | 75,670 | ||||
4,650 | Perfect World Co., Ltd., Class A Shares | 15,712 | ||||
21,700 | PetroChina Co., Ltd., Class A Shares | 15,933 | ||||
470,000 | PetroChina Co., Ltd., Class H Shares(c) | 192,994 | ||||
47,200 | Pharmaron Beijing Co., Ltd., (Restricted, cost - $893,378, acquired 4/8/21), Class H Shares(a)(b)(c) | 1,109,032 | ||||
900 | Pharmaron Beijing Co., Ltd., Class A Shares | 25,300 | ||||
142,000 | PICC Property & Casualty Co., Ltd., Class H Shares(c) | 138,415 | ||||
9,605 | Pinduoduo Inc., ADR* | 1,199,472 | ||||
936,580 | Ping An Bank Co., Ltd., Class A Shares | 3,610,080 | ||||
10,900 | Ping An Healthcare & Technology Co., Ltd.*(a) | 125,050 | ||||
15,800 | Ping An Insurance Group Co. of China Ltd., Class A Shares | 181,074 | ||||
863,000 | Ping An Insurance Group Co. of China Ltd., Class H Shares(c) | 9,421,303 | ||||
18,000 | Poly Developments & Holdings Group Co., Ltd., Class A Shares* | 38,385 | ||||
3,400 | Poly Property Services Co., Ltd., Class H Shares(c) | 27,274 | ||||
45,300 | Postal Savings Bank of China Co., Ltd., Class A Shares | 39,620 | ||||
166,000 | Postal Savings Bank of China Co., Ltd., Class H Shares(a)(c) | 119,054 | ||||
22,300 | Power Construction Corp. of China Ltd., Class A Shares | 13,700 | ||||
29,000 | Powerlong Real Estate Holdings Ltd. | 28,179 | ||||
271,971 | Qingdao TGOOD Electric Co., Ltd., Class A Shares | 1,166,562 | ||||
18,700 | RiseSun Real Estate Development Co., Ltd., Class A Shares | 18,606 | ||||
2,965 | RLX Technology Inc., ADR*(d) | 33,534 | ||||
7,700 | Rongsheng Petro Chemical Co., Ltd., Class A Shares* | 32,388 | ||||
11,800 | SAIC Motor Corp., Ltd., Class A Shares | 37,760 | ||||
8,900 | Sanan Optoelectronics Co., Ltd., Class A Shares | 38,296 | ||||
800 | Sangfor Technologies Inc., Class A Shares* | 34,447 | ||||
24,000 | Sany Heavy Equipment International Holdings Co., Ltd. | 26,716 | ||||
9,500 | Sany Heavy Industry Co., Ltd., Class A Shares | 45,517 | ||||
8,700 | SDIC Capital Co., Ltd., Class A Shares | 19,083 |
99
Schedules of Investments
(unaudited) (continued)
Emerging Markets Equity Fund
Shares/Units | Security | Value | ||||
China - 29.2% - (continued) |
| |||||
12,700 | SDIC Power Holdings Co., Ltd., Class A Shares | $ | 19,028 | |||
50,000 | Seazen Group Ltd.* | 56,656 | ||||
3,000 | Seazen Holdings Co., Ltd., Class A Shares | 22,987 | ||||
5,400 | SF Holding Co., Ltd., Class A Shares | 59,216 | ||||
12,300 | Shaanxi Coal Industry Co., Ltd., Class A Shares | 22,835 | ||||
5,600 | Shandong Gold Mining Co., Ltd., Class A Shares | 18,677 | ||||
11,250 | Shandong Gold Mining Co., Ltd., Class H Shares(a)(c) | 24,476 | ||||
5,850 | Shandong Hualu Hengsheng Chemical Co., Ltd., Class A Shares | 26,012 | ||||
3,100 | Shandong Linglong Tyre Co., Ltd., Class A Shares | 24,100 | ||||
14,900 | Shandong Nanshan Aluminum Co., Ltd., Class A Shares | 9,406 | ||||
6,800 | Shandong Sun Paper Industry JSC Ltd., Class A Shares | 15,154 | ||||
52,000 | Shandong Weigao Group Medical Polymer Co., Ltd., Class H Shares(c) | 108,051 | ||||
1,300 | Shanghai Bairun Investment Holging Group Co., Ltd., Class A Shares | 26,110 | ||||
105,985 | Shanghai Baosight Software Co., Ltd., Class A Shares | 1,098,353 | ||||
4,000 | Shanghai Fosun Pharmaceutical Group Co., Ltd., Class A Shares | 43,214 | ||||
446,000 | Shanghai Fosun Pharmaceutical Group Co., Ltd., Class H Shares(c)(d) | 3,676,187 | ||||
2,000 | Shanghai International Airport Co., Ltd., Class A Shares | 15,522 | ||||
17,999 | Shanghai International Port Group Co., Ltd., Class A Shares | 13,485 | ||||
32,520 | Shanghai Lujiazui Finance & Trade Zone Development Co., Ltd., Class B Shares | 28,221 | ||||
2,200 | Shanghai M&G Stationery Inc., Class A Shares | 29,386 | ||||
8,700 | Shanghai Pharmaceuticals Holding Co., Ltd., Class A Shares | 31,263 | ||||
6,900 | Shanghai Pharmaceuticals Holding Co., Ltd., Class H Shares(c) | 15,078 | ||||
40,200 | Shanghai Pudong Development Bank Co., Ltd., Class A Shares | 65,376 | ||||
1,680 | Shanghai Putailai New Energy Technology Co., Ltd., Class A Shares | 25,129 | ||||
15,800 | Shanghai RAAS Blood Products Co., Ltd., Class A Shares | 18,766 | ||||
3,500 | Shanxi Meijin Energy Co., Ltd., Class A Shares* | 4,029 | ||||
9,600 | Shanxi Securities Co., Ltd., Class A Shares* | 10,790 | ||||
1,100 | Shanxi Xinghuacun Fen Wine Factory Co., Ltd., Class A Shares | 78,172 | ||||
2,100 | Shenergy Co., Ltd., Class A Shares | 1,938 | ||||
4,400 | Shengyi Technology Co., Ltd., Class A Shares | 15,758 | ||||
1,260 | Shennan Circuits Co., Ltd., Class A Shares* | 16,792 | ||||
48,700 | Shenwan Hongyuan Group Co., Ltd., Class A Shares | 36,734 | ||||
1,680 | Shenzhen Energy Group Co., Ltd., Class A Shares | 2,850 | ||||
700 | Shenzhen Goodix Technology Co., Ltd., Class A Shares | 13,889 | ||||
3,000 | Shenzhen Inovance Technology Co., Ltd., Class A Shares | 45,163 | ||||
1,400 | Shenzhen Kangtai Biological Products Co., Ltd., Class A Shares | 37,153 | ||||
1,600 | Shenzhen Mindray Bio-Medical Electronics Co., Ltd., Class A Shares | 121,795 | ||||
15,200 | Shenzhen Overseas Chinese Town Co., Ltd., Class A Shares | 19,874 | ||||
3,000 | Shenzhen Sunway Communication Co., Ltd., Class A Shares | 13,148 | ||||
18,100 | Shenzhou International Group Holdings Ltd. | 477,978 | ||||
3,321 | Shijiazhuang Yiling Pharmaceutical Co., Ltd., Class A Shares | 15,021 | ||||
12,000 | Shimao Services Holdings Ltd.(a) | 32,209 | ||||
4,000 | Sichuan Chuantou Energy Co., Ltd., Class A Shares | 7,251 | ||||
2,000 | Silergy Corp. | 251,920 | ||||
3,700 | Sinolink Securities Co., Ltd., Class A Shares | 7,671 | ||||
766,972 | Sinopharm Group Co., Ltd., Class H Shares(c) | 2,557,867 | ||||
20,000 | Sinotruk Hong Kong Ltd. | 48,007 | ||||
600 | Skshu Paint Co., Ltd., Class A Shares | 21,410 | ||||
26,000 | Smoore International Holdings Ltd.(a) | 172,302 | ||||
1,120 | Songcheng Performance Development Co., Ltd., Class A Shares* | 3,140 | ||||
56,000 | Sunac China Holdings Ltd. | 205,601 | ||||
12,000 | Sunac Services Holdings Ltd.*(a) | 35,800 | ||||
2,500 | Sungrow Power Supply Co., Ltd., Class A Shares | 35,562 | ||||
24,400 | Suning.com Co., Ltd., Class A Shares | 26,269 | ||||
120,300 | Sunny Optical Technology Group Co., Ltd. | 3,057,796 | ||||
5,400 | Suzhou Dongshan Precision Manufacturing Co., Ltd., Class A Shares | 15,383 | ||||
6,199 | Suzhou Gold Mantis Construction Decoration Co., Ltd., Class A Shares* | 8,636 | ||||
8,995 | TAL Education Group, ADR* | 359,530 | ||||
2,100 | Tangshan Jidong Cement Co., Ltd., Class A Shares* | 4,653 | ||||
6,200 | TBEA Co., Ltd., Class A Shares | 11,432 | ||||
18,200 | TCL Technology Group Corp., Class A Shares | 23,207 |
100
Schedules of Investments
(unaudited) (continued)
Emerging Markets Equity Fund
Shares/Units | Security | Value | ||||
China - 29.2% - (continued) |
| |||||
399,731 | Tencent Holdings Ltd. | $ | 30,945,158 | |||
54,226 | Tencent Music Entertainment Group, ADR* | 853,517 | ||||
1,200 | Thunder Software Technology Co., Ltd., Class A Shares | 27,358 | ||||
7,400 | Tianjin Zhonghuan Semiconductor Co., Ltd., Class A Shares | 31,420 | ||||
9,900 | Tianma Microelectronics Co., Ltd., Class A Shares* | 21,186 | ||||
466,000 | Tingyi Cayman Islands Holding Corp. | 885,352 | ||||
24,000 | Tongcheng-Elong Holdings Ltd.* | 64,410 | ||||
5,900 | Tongkun Group Co., Ltd., Class A Shares | 19,688 | ||||
5,400 | Tongwei Co., Ltd., Class A Shares | 32,498 | ||||
400 | Topchoice Medical Investment Co., Inc., Class A Shares* | 22,022 | ||||
696,000 | Topsports International Holdings Ltd., (Restricted, cost - $711,896, acquired 3/24/20)(a)(b) | 1,076,904 | ||||
3,700 | Transfar Zhilian Co., Ltd., Class A Shares | 3,765 | ||||
20,000 | TravelSky Technology Ltd., Class H Shares(c) | 43,159 | ||||
11,044 | Trip.com Group Ltd., ADR* | 462,191 | ||||
14,000 | Tsingtao Brewery Co., Ltd., Class H Shares(c) | 148,523 | ||||
700 | Unigroup Guoxin Microelectronics Co., Ltd., Class A Shares | 14,653 | ||||
37,000 | Uni-President China Holdings Ltd. | 40,406 | ||||
7,560 | Unisplendour Corp., Ltd., Class A Shares | 22,384 | ||||
2,600 | Universal Scientific Industrial Shanghai Co., Ltd., Class A Shares | 6,684 | ||||
1,715 | Up Fintech Holding Ltd., ADR* | 39,085 | ||||
4,500 | Venus MedTech Hangzhou Inc., Class H Shares*(a)(c) | 40,106 | ||||
10,229 | Vipshop Holdings Ltd., ADR* | 236,597 | ||||
1,800 | Walvax Biotechnology Co., Ltd., Class A Shares | 19,204 | ||||
4,700 | Wanhua Chemical Group Co., Ltd., Class A Shares | 80,518 | ||||
125,000 | Want Want China Holdings Ltd. | 92,733 | ||||
1,280 | Weibo Corp., ADR*(d) | 65,075 | ||||
5,300 | Weichai Power Co., Ltd., Class A Shares | 15,126 | ||||
376,200 | Weichai Power Co., Ltd., Class H Shares(c) | 870,977 | ||||
1,900 | Weihai Guangwei Composites Co., Ltd., Class A Shares | 20,543 | ||||
40,000 | Weimob Inc.*(a)(d) | 88,493 | ||||
14,040 | Wens Foodstuffs Group Co., Ltd., Class A Shares | 31,046 | ||||
11,400 | Western Securities Co., Ltd., Class A Shares | 15,939 | ||||
1,200 | Will Semiconductor Co., Ltd., Class A Shares | 54,004 | ||||
1,600 | Wingtech Technology Co., Ltd., Class A Shares | 22,085 | ||||
29,900 | Wuchan Zhongda Group Co., Ltd., Class A Shares | 31,350 | ||||
800 | Wuhan Guide Infrared Co., Ltd., Class A Shares | 4,680 | ||||
3,900 | Wuhu Sanqi Interactive Entertainment Network Technology Group Co., Ltd., Class A Shares | 14,841 | ||||
5,300 | Wuliangye Yibin Co., Ltd., Class A Shares | 263,869 | ||||
6,600 | WUS Printed Circuit Kunshan Co., Ltd., Class A Shares* | 15,848 | ||||
3,220 | WuXi AppTec Co., Ltd., Class A Shares | 83,072 | ||||
6,648 | WuXi AppTec Co., Ltd., Class H Shares(a)(c) | 137,464 | ||||
177,000 | Wuxi Biologics Cayman Inc., (Restricted, cost - $707,637, acquired 11/26/19)*(a)(b) | 2,620,283 | ||||
101,500 | Wuxi Lead Intelligent Equipment Co., Ltd., Class A Shares | 1,439,401 | ||||
5,000 | Xiamen Tungsten Co., Ltd., Class A Shares | 14,709 | ||||
313,000 | Xiaomi Corp., Class B Shares*(a) | 1,151,458 | ||||
10,200 | Xinjiang Goldwind Science & Technology Co., Ltd., Class A Shares | 19,409 | ||||
16,982 | Xinjiang Goldwind Science & Technology Co., Ltd., Class H Shares(c) | 28,323 | ||||
908,000 | Xinyi Solar Holdings Ltd. | 1,610,202 | ||||
7,099 | XPeng Inc., ADR*(d) | 228,091 | ||||
28,000 | Yadea Group Holdings., Ltd.(a) | 61,043 | ||||
38,000 | Yanzhou Coal Mining Co., Ltd., Class H Shares(c) | 48,372 | ||||
1,050 | Yealink Network Technology Corp., Ltd., Class A Shares | 13,079 | ||||
93,680 | Yifeng Pharmacy Chain Co., Ltd., Class A Shares* | 1,262,119 | ||||
9,000 | Yihai International Holding Ltd.* | 70,915 | ||||
1,800 | Yihai Kerry Arawana Holdings Co., Ltd., Class A Shares | 25,781 | ||||
12,500 | Yonghui Superstores Co., Ltd., Class A Shares | 11,180 | ||||
5,330 | Yonyou Network Technology Co., Ltd., Class A Shares | 30,316 | ||||
30,866 | Yum China Holdings Inc.(d) | 2,087,776 | ||||
4,160 | Yunda Holding Co., Ltd., Class A Shares | 9,494 | ||||
1,400 | Yunnan Baiyao Group Co., Ltd., Class A Shares | 27,440 | ||||
1,300 | Yunnan Energy New Material Co., Ltd., Class A Shares | 33,669 |
101
Schedules of Investments
(unaudited) (continued)
Emerging Markets Equity Fund
Shares/Units | Security | Value | ||||
China - 29.2% - (continued) |
| |||||
6,619 | Zai Lab Ltd., ADR* | $ | 1,175,932 | |||
800 | Zhangzhou Pientzehuang Pharmaceutical Co., Ltd., Class A Shares | 47,426 | ||||
27,000 | Zhaojin Mining Industry Co., Ltd., Class H Shares(c) | 28,101 | ||||
14,520 | Zhejiang Century Huatong Group Co., Ltd., Class A Shares* | 15,154 | ||||
4,800 | Zhejiang Chint Electrics Co., Ltd., Class A Shares | 23,972 | ||||
6,400 | Zhejiang Dahua Technology Co., Ltd., Class A Shares | 23,600 | ||||
1,300 | Zhejiang Dingli Machinery Co., Ltd., Class A Shares | 13,302 | ||||
36,000 | Zhejiang Expressway Co., Ltd., Class H Shares(c) | 31,804 | ||||
4,400 | Zhejiang Huahai Pharmaceutical Co., Ltd., Class A Shares | 13,900 | ||||
1,660 | Zhejiang Huayou Cobalt Co., Ltd., Class A Shares | 25,643 | ||||
7,900 | Zhejiang Longsheng Group Co., Ltd., Class A Shares | 17,724 | ||||
6,000 | Zhejiang NHU Co., Ltd., Class A Shares | 30,338 | ||||
9,100 | Zhejiang Sanhua Intelligent Controls Co., Ltd., Class A Shares | 31,544 | ||||
44,000 | Zhenro Properties Group Ltd. | 28,294 | ||||
7,900 | Zheshang Securities Co., Ltd., Class A Shares | 16,379 | ||||
10,000 | ZhongAn Online P&C Insurance Co., Ltd., Class H Shares*(a)(c)(d) | 49,750 | ||||
11,600 | Zhongjin Gold Corp., Ltd., Class A Shares | 17,468 | ||||
13,000 | Zhongsheng Group Holdings Ltd. | 108,022 | ||||
10,900 | Zhuzhou CRRC Times Electric Co., Ltd., Class H Shares(c) | 52,442 | ||||
30,500 | Zijin Mining Group Co., Ltd., Class A Shares | 53,328 | ||||
122,000 | Zijin Mining Group Co., Ltd., Class H Shares(c) | 188,391 | ||||
13,200 | Zoomlion Heavy Industry Science & Technology Co., Ltd., Class A Shares | 22,617 | ||||
29,200 | Zoomlion Heavy Industry Science & Technology Co., Ltd., Class H Shares(c) | 36,266 | ||||
6,400 | ZTE Corp., Class A Shares | 31,526 | ||||
19,000 | ZTE Corp., Class H Shares(c) | 51,256 | ||||
9,753 | ZTO Express Cayman Inc., ADR | 312,974 | ||||
|
| |||||
Total China | 180,404,835 | |||||
|
| |||||
Colombia - 0.0% |
| |||||
4,158 | Bancolombia SA | 30,613 | ||||
101,878 | Ecopetrol SA | 60,747 | ||||
7,067 | Grupo de Inversiones Suramericana SA | 38,785 | ||||
11,971 | Interconexion Electrica SA ESP | 66,667 | ||||
|
| |||||
Total Colombia | 196,812 | |||||
|
| |||||
Cyprus - 0.4% |
| |||||
894 | Ozon Holdings PLC, ADR* | 47,364 | ||||
25,742 | TCS Group Holding PLC, (Restricted, cost - $1,457,277, acquired 3/24/21), GDR(b) | 1,931,260 | ||||
2,605 | TCS Group Holdings PLC, Class Registered Shares, GDR | 195,798 | ||||
|
| |||||
Total Cyprus | 2,174,422 | |||||
|
| |||||
Czech Republic - 0.0% |
| |||||
3,761 | CEZ AS | 112,399 | ||||
1,684 | Komercní Banka AS* | 62,000 | ||||
10,661 | Moneta Money Bank AS*(a) | 39,896 | ||||
|
| |||||
Total Czech Republic | 214,295 | |||||
|
| |||||
Egypt - 0.6% |
| |||||
1,929,004 | Cleopatra Hospital* | 490,258 | ||||
602,106 | Commercial International Bank Egypt SAE, Class Registered Shares, GDR* | 2,095,711 | ||||
52,145 | Commercial International Bank Egypt SAE, GDR* | 176,483 | ||||
22,745 | Eastern Co. SAE | 17,424 | ||||
435,047 | Fawry for Banking & Payment Technology Services SAE* | 586,682 | ||||
489,156 | Juhayna Food Industries* | 140,502 | ||||
|
| |||||
Total Egypt | 3,507,060 | |||||
|
| |||||
Georgia - 0.2% |
| |||||
56,700 | Bank of Georgia Group PLC* | 1,054,012 | ||||
32,700 | Georgia Capital PLC* | 282,982 | ||||
|
| |||||
Total Georgia | 1,336,994 | |||||
|
| |||||
Germany - 0.4% |
| |||||
19,140 | Delivery Hero SE, (Restricted, cost - $858,284, acquired 2/26/19)*(a)(b) | 2,595,600 | ||||
|
| |||||
Greece - 0.1% |
| |||||
53,636 | Eurobank Ergasias Services & Holdings SA* | 50,233 | ||||
1,594 | FF Group*#(e)(f) | 20 | ||||
5,034 | Hellenic Telecommunications Organization SA | 89,854 |
102
Schedules of Investments
(unaudited) (continued)
Emerging Markets Equity Fund
Shares/Units | Security | Value | ||||
Greece - 0.1% - (continued) |
| |||||
2,114 | JUMBO SA | $ | 40,671 | |||
39,454 | OPAP SA | 619,993 | ||||
|
| |||||
Total Greece | 800,771 | |||||
|
| |||||
Hong Kong - 2.9% |
| |||||
321,600 | AIA Group Ltd. | 4,265,849 | ||||
592,000 | Alibaba Health Information Technology Ltd.* | 1,461,802 | ||||
250,000 | Alibaba Pictures Group Ltd.* | 33,417 | ||||
78,000 | ASM Pacific Technology Ltd. | 1,027,532 | ||||
11,000 | Beijing Enterprises Holdings Ltd. | 38,394 | ||||
74,000 | Beijing Enterprises Water Group Ltd.* | 29,524 | ||||
92,000 | Bosideng International Holdings Ltd. | 50,035 | ||||
932,000 | Brilliance China Automotive Holdings Ltd.(e) | 876,657 | ||||
1,349,000 | China Education Group Holdings Ltd., (Restricted, cost - $1,996,527, acquired 3/22/19)(b) | 3,404,142 | ||||
67,888 | China Everbright Environment Group Ltd. | 40,468 | ||||
24,000 | China Everbright Ltd. | 30,217 | ||||
793,600 | China Gas Holdings Ltd. | 3,016,673 | ||||
156,000 | China Jinmao Holdings Group Ltd. | 60,312 | ||||
61,000 | China Mengniu Dairy Co., Ltd.* | 360,531 | ||||
39,538 | China Merchants Port Holdings Co., Ltd. | 65,258 | ||||
83,500 | China Overseas Land & Investment Ltd. | 202,127 | ||||
20,000 | China Overseas Property Holdings Ltd. | 20,711 | ||||
92,000 | China Power International Development Ltd. | 23,105 | ||||
32,000 | China Resources Beer Holdings Co., Ltd. | 283,347 | ||||
54,000 | China Resources Cement Holdings Ltd. | 57,160 | ||||
20,000 | China Resources Gas Group Ltd. | 123,949 | ||||
70,000 | China Resources Land Ltd. | 329,945 | ||||
38,000 | China Resources Power Holdings Co., Ltd. | 49,043 | ||||
36,000 | China State Construction International Holdings Ltd. | 25,407 | ||||
35,800 | China Taiping Insurance Holdings Co., Ltd. | 66,725 | ||||
72,000 | China Traditional Chinese Medicine Holdings Co., Ltd. | 46,248 | ||||
324,000 | China Youzan Ltd.* | 66,676 | ||||
126,000 | CITIC Ltd. | 147,983 | ||||
46,000 | COSCO SHIPPING Ports Ltd. | 37,386 | ||||
46,000 | Far East Horizon Ltd. | 50,404 | ||||
130,000 | Geely Automobile Holdings Ltd. | 328,775 | ||||
60,000 | Guangdong Investment Ltd. | 89,390 | ||||
18,000 | Hopson Development Holdings Ltd. | 87,258 | ||||
1,788 | Hutchmed China Ltd., ADR* | 53,193 | ||||
17,500 | Kingboard Holdings Ltd. | 96,699 | ||||
20,500 | Kingboard Laminates Holdings Ltd. | 44,296 | ||||
84,000 | Kunlun Energy Co., Ltd. | 95,226 | ||||
11,000 | Lee & Man Paper Manufacturing Ltd. | 9,969 | ||||
38,000 | Nine Dragons Paper Holdings Ltd. | 59,960 | ||||
20,000 | Perennial Energy Holdings Ltd. | 12,346 | ||||
26,000 | Shenzhen International Holdings Ltd. | 39,575 | ||||
80,000 | Shenzhen Investment Ltd. | 28,641 | ||||
23,500 | Shimao Group Holdings Ltd. | 67,297 | ||||
226,750 | Sino Biopharmaceutical Ltd. | 251,052 | ||||
50,000 | SSY Group Ltd. | 33,296 | ||||
58,000 | Sun Art Retail Group Ltd.* | 44,072 | ||||
11,000 | Vinda International Holdings Ltd. | 34,637 | ||||
36,000 | Wharf Holdings Ltd. | 124,047 | ||||
64,000 | Yuexiu Property Co., Ltd. | 15,824 | ||||
|
| |||||
Total Hong Kong | 17,806,580 | |||||
|
| |||||
Hungary - 1.4% |
| |||||
9,056 | MOL Hungarian Oil & Gas PLC* | 72,772 | ||||
155,427 | OTP Bank Nyrt* | 8,541,517 | ||||
2,785 | Richter Gedeon Nyrt | 77,786 | ||||
|
| |||||
Total Hungary | 8,692,075 | |||||
|
| |||||
India - 10.5% |
| |||||
1,964 | ACC Ltd. | 53,775 |
103
Schedules of Investments
(unaudited) (continued)
Emerging Markets Equity Fund
Shares/Units | Security | Value | ||||
India - 10.5% - (continued) |
| |||||
4,617 | Adani Enterprises Ltd.* | $ | 82,961 | |||
8,561 | Adani Green Energy Ltd.* | 146,362 | ||||
12,372 | Adani Ports & Special Economic Zone Ltd.* | 132,463 | ||||
5,995 | Adani Total Gas Ltd.* | 111,030 | ||||
5,953 | Adani Transmission Ltd.* | 118,671 | ||||
13,286 | Ambuja Cements Ltd. | 59,696 | ||||
2,365 | Apollo Hospitals Enterprise Ltd. | 102,705 | ||||
84,162 | Asian Paints Ltd. | 3,414,798 | ||||
5,958 | Aurobindo Pharma Ltd. | 84,056 | ||||
3,778 | Avenue Supermarts Ltd., Class A Shares*(a) | 157,603 | ||||
205,760 | Axis Bank Ltd.* | 2,099,519 | ||||
15,237 | Bajaj Auto Ltd.* | 883,098 | ||||
5,970 | Bajaj Finance Ltd.* | 461,750 | ||||
899 | Bajaj Finserv Ltd.* | 145,270 | ||||
2,275 | Balkrishna Industries Ltd. | 68,728 | ||||
102,608 | Bandhan Bank Ltd., (Restricted, cost - $462,793, acquired 5/19/20)*(a)(b) | 429,502 | ||||
6,522 | Berger Paints India Ltd. | 72,151 | ||||
25,719 | Bharat Electronics Ltd. | 51,434 | ||||
6,110 | Bharat Forge Ltd.* | 57,032 | ||||
145,351 | Bharat Petroleum Corp., Ltd. | 945,292 | ||||
54,406 | Bharti Airtel Ltd. | 393,092 | ||||
8,802 | Biocon Ltd.* | 46,397 | ||||
2,219 | Britannia Industries Ltd.(e) | 104,866 | ||||
225,290 | Cholamandalam Investment & Finance Co., Ltd. | 1,686,453 | ||||
9,291 | Cipla Ltd.* | 119,790 | ||||
443,303 | Coal India Ltd. | 898,357 | ||||
3,227 | Colgate-Palmolive India Ltd. | 76,083 | ||||
6,095 | Container Corp. Of India Ltd. | 56,134 | ||||
10,469 | Dabur India Ltd. | 76,651 | ||||
2,812 | Divis Laboratories Ltd.* | 159,906 | ||||
16,810 | DLF Ltd. | 66,367 | ||||
2,413 | Dr Reddys Laboratories Ltd. | 173,042 | ||||
2,834 | Eicher Motors Ltd.* | 103,134 | ||||
34,196 | GAIL India Ltd. | 72,127 | ||||
7,137 | Godrej Consumer Products Ltd.* | 83,229 | ||||
6,335 | Grasim Industries Ltd. | 128,041 | ||||
5,321 | Havells India Ltd. | 74,750 | ||||
23,718 | HCL Technologies Ltd. | 308,480 | ||||
1,229 | HDFC Asset Management Co., Ltd.(a) | 50,353 | ||||
151,780 | HDFC Bank Ltd.* | 3,153,322 | ||||
74,294 | HDFC Bank Ltd., ADR* | 5,685,720 | ||||
18,294 | HDFC Life Insurance Co., Ltd.*(a) | 168,880 | ||||
19,325 | Hero MotoCorp Ltd. | 797,892 | ||||
33,072 | Hindalco Industries Ltd. | 177,002 | ||||
17,094 | Hindustan Petroleum Corp., Ltd. | 66,172 | ||||
18,272 | Hindustan Unilever Ltd. | 585,241 | ||||
37,307 | Housing Development Finance Corp., Ltd. | 1,306,938 | ||||
113,090 | ICICI Bank Ltd.* | 1,002,809 | ||||
117,439 | ICICI Bank Ltd., ADR* | 2,115,076 | ||||
5,614 | ICICI Lombard General Insurance Co., Ltd.(a) | 115,428 | ||||
9,515 | ICICI Prudential Life Insurance Co., Ltd.*(a) | 71,777 | ||||
34,476 | Indian Oil Corp., Ltd. | 52,231 | ||||
5,863 | Indraprastha Gas Ltd. | 41,537 | ||||
308,231 | Indus Towers Ltd. | 1,027,780 | ||||
1,743 | Info Edge India Ltd.* | 107,297 | ||||
74,329 | Infosys Ltd. | 1,440,837 | ||||
28,042 | Infosys Ltd., ADR | 542,332 | ||||
1,670 | InterGlobe Aviation Ltd.*(a) | 40,951 | ||||
1,817 | Ipca Laboratories Ltd. | 50,814 | ||||
62,052 | ITC Ltd. | 182,301 | ||||
17,890 | JSW Steel Ltd. | 170,335 |
104
Schedules of Investments
(unaudited) (continued)
Emerging Markets Equity Fund
Shares/Units | Security | Value | ||||
India - 10.5% - (continued) |
| |||||
1,567 | Jubilant Foodworks Ltd.* | $ | 67,427 | |||
68,992 | Kotak Mahindra Bank Ltd.* | 1,716,110 | ||||
1,369 | Larsen & Toubro Infotech Ltd.(a) | 74,397 | ||||
14,935 | Larsen & Toubro Ltd. | 304,612 | ||||
746,423 | Lemon Tree Hotels Ltd., (Restricted, cost - $574,413, acquired 8/29/19)*(a)(b) | 429,582 | ||||
5,356 | Lupin Ltd. | 89,304 | ||||
19,302 | Mahindra & Mahindra Ltd. | 225,202 | ||||
12,963 | Marico Ltd. | 84,265 | ||||
29,932 | Maruti Suzuki India Ltd. | 2,878,679 | ||||
28,021 | Motherson Sumi Systems Ltd.* | 90,887 | ||||
50 | MRF Ltd. | 57,536 | ||||
3,147 | Muthoot Finance Ltd. | 55,007 | ||||
769 | Nestle India Ltd. | 185,843 | ||||
94,057 | NTPC Ltd. | 141,402 | ||||
79,240 | Oberoi Realty Ltd.* | 638,871 | ||||
618,892 | Oil & Natural Gas Corp., Ltd. | 959,218 | ||||
111 | Page Industries Ltd. | 47,965 | ||||
17,509 | Petronet LNG Ltd. | 58,190 | ||||
71,000 | Phoenix Mills Ltd.* | 750,479 | ||||
2,182 | PI Industries Ltd. | 78,286 | ||||
3,010 | Pidilite Industries Ltd.* | 85,862 | ||||
2,673 | Piramal Enterprises Ltd. | 65,712 | ||||
338,987 | Power Grid Corp. of India Ltd. | 1,054,506 | ||||
13,216 | REC Ltd. | 26,680 | ||||
279,649 | Reliance Industries Ltd. | 8,030,467 | ||||
3,512 | SBI Cards & Payment Services Ltd.* | 50,746 | ||||
10,061 | SBI Life Insurance Co., Ltd.(a) | 135,595 | ||||
257 | Shree Cement Ltd.* | 98,044 | ||||
4,001 | Shriram Transport Finance Co., Ltd. | 80,372 | ||||
2,065 | Siemens Ltd. | 58,068 | ||||
38,438 | State Bank of India* | 224,247 | ||||
17,435 | Sun Pharmaceutical Industries Ltd. | 161,157 | ||||
38,428 | Tata Consultancy Services Ltd. | 1,666,684 | ||||
13,065 | Tata Consumer Products Ltd. | 118,060 | ||||
35,565 | Tata Motors Ltd.* | 156,397 | ||||
13,401 | Tata Steel Ltd. | 203,819 | ||||
14,678 | Tech Mahindra Ltd. | 207,868 | ||||
214,265 | Titan Co., Ltd. | 4,661,424 | ||||
929 | Torrent Pharmaceuticals Ltd. | 34,791 | ||||
4,741 | Trent Ltd. | 54,063 | ||||
26,892 | UltraTech Cement Ltd. | 2,447,625 | ||||
5,897 | United Spirits Ltd.* | 49,740 | ||||
204,695 | UPL Ltd. | 2,290,665 | ||||
24,221 | Vedanta Ltd. | 89,268 | ||||
29,150 | Wipro Ltd. | 216,617 | ||||
241,179 | Yes Bank Ltd.*(e) | 44,594 | ||||
|
| |||||
Total India | 64,504,153 | |||||
|
| |||||
Indonesia - 1.8% |
| |||||
299,900 | Adaro Energy Tbk PT | 24,540 | ||||
197,700 | Aneka Tambang Tbk | 33,976 | ||||
2,683,000 | Astra International Tbk PT | 966,235 | ||||
6,390,000 | Bank BTPN Syariah Tbk PT | 1,184,377 | ||||
226,700 | Bank Central Asia Tbk PT | 502,648 | ||||
4,658,924 | Bank Mandiri Persero Tbk PT | 1,888,824 | ||||
151,100 | Bank Negara Indonesia Persero Tbk PT | 54,949 | ||||
9,860,700 | Bank Rakyat Indonesia Persero Tbk PT | 2,805,754 | ||||
798,600 | Barito Pacific Tbk PT | 49,734 | ||||
174,600 | Charoen Pokphand Indonesia Tbk PT | 81,851 | ||||
14,300 | Gudang Garam Tbk PT* | 32,922 | ||||
77,100 | Indah Kiat Pulp & Paper Tbk PT | 45,157 | ||||
34,200 | Indocement Tunggal Prakarsa Tbk PT | 28,533 |
105
Schedules of Investments
(unaudited) (continued)
Emerging Markets Equity Fund
Shares/Units | Security | Value | ||||
Indonesia - 1.8% - (continued) |
| |||||
69,500 | Indofood CBP Sukses Makmur Tbk PT | $ | 39,521 | |||
90,400 | Indofood Sukses Makmur Tbk PT | 39,364 | ||||
492,600 | Kalbe Farma Tbk PT | 49,638 | ||||
220,500 | Merdeka Copper Gold Tbk PT* | 40,083 | ||||
505,900 | Sarana Menara Nusantara Tbk PT | 41,588 | ||||
69,600 | Semen Indonesia Persero Tbk PT | 46,974 | ||||
6,436,687 | Telkom Indonesia Persero Tbk PT | 1,472,367 | ||||
73,209 | Telkom Indonesia Persero Tbk PT, ADR | 1,699,913 | ||||
146,000 | Tower Bersama Infrastructure Tbk PT | 24,403 | ||||
190,000 | Unilever Indonesia Tbk PT | 76,783 | ||||
38,900 | United Tractors Tbk PT | 59,376 | ||||
|
| |||||
Total Indonesia | 11,289,510 | |||||
|
| |||||
Kazakhstan - 0.2% |
| |||||
13,670 | Kaspi.KZ JSC, (Restricted, cost - $461,363, acquired 10/15/20), GDR(b) | 1,253,539 | ||||
|
| |||||
Kenya - 0.1% |
| |||||
1,602,800 | Safaricom PLC | 625,605 | ||||
|
| |||||
Kuwait - 0.2% |
| |||||
28,974 | Agility Public Warehousing Co., KSC | 88,890 | ||||
26,304 | Boubyan Bank KSCP* | 57,867 | ||||
47,000 | Humansoft Holding Co., KSC | 563,393 | ||||
99,763 | Kuwait Finance House KSCP | 248,276 | ||||
12,432 | Mabanee Co., KPSC | 30,166 | ||||
46,291 | Mobile Telecommunications Co., KSCP | 91,392 | ||||
152,943 | National Bank of Kuwait SAKP | 416,591 | ||||
|
| |||||
Total Kuwait | 1,496,575 | |||||
|
| |||||
Luxembourg - 0.0% |
| |||||
2,843 | Reinet Investments SCA | 59,505 | ||||
|
| |||||
Malaysia - 0.4% |
| |||||
46,100 | AMMB Holdings Bhd | 32,224 | ||||
77,700 | Axiata Group Bhd | 69,522 | ||||
133,707 | CIMB Group Holdings Bhd | 140,676 | ||||
85,400 | Dialog Group Bhd | 60,519 | ||||
60,900 | DiGi.Com Bhd | 63,337 | ||||
3,000 | Fraser & Neave Holdings Bhd | 19,442 | ||||
57,500 | Genting Bhd | 68,284 | ||||
80,300 | Genting Malaysia Bhd | 53,799 | ||||
20,100 | HAP Seng Consolidated Bhd | 40,353 | ||||
39,400 | Hartalega Holdings Bhd | 87,740 | ||||
15,800 | Hong Leong Bank Bhd | 71,083 | ||||
2,900 | Hong Leong Financial Group Bhd | 12,514 | ||||
48,500 | IHH Healthcare Bhd | 62,624 | ||||
56,900 | IOI Corp. Bhd | 56,556 | ||||
21,300 | Kossan Rubber Industries | 21,185 | ||||
5,500 | Kuala Lumpur Kepong Bhd | 29,579 | ||||
91,809 | Malayan Banking Bhd | 182,107 | ||||
25,900 | Malaysia Airports Holdings Bhd* | 34,459 | ||||
57,900 | Maxis Bhd | 66,549 | ||||
34,300 | MISC Bhd | 57,157 | ||||
1,600 | Nestle Malaysia Bhd | 52,810 | ||||
47,200 | Petronas Chemicals Group Bhd | 92,911 | ||||
3,600 | Petronas Dagangan Bhd | 16,808 | ||||
18,400 | Petronas Gas Bhd | 72,112 | ||||
16,700 | PPB Group Bhd | 75,219 | ||||
75,000 | Press Metal Aluminium Holdings Bhd | 94,330 | ||||
318,400 | Public Bank Bhd | 328,933 | ||||
31,500 | QL Resources Bhd | 45,728 | ||||
37,800 | RHB Bank Bhd | 49,092 | ||||
77,200 | Sime Darby Bhd | 42,576 | ||||
28,400 | Sime Darby Plantation Bhd | 31,178 | ||||
24,660 | Supermax Corp. Bhd | 25,310 | ||||
31,400 | Telekom Malaysia Bhd | 47,091 |
106
Schedules of Investments
(unaudited) (continued)
Emerging Markets Equity Fund
Shares/Units | Security | Value | ||||
Malaysia - 0.4% - (continued) |
| |||||
52,800 | Tenaga Nasional Bhd | $ | 127,590 | |||
123,200 | Top Glove Corp. Bhd | 151,815 | ||||
13,800 | Westports Holdings Bhd | 14,360 | ||||
|
| |||||
Total Malaysia | 2,497,572 | |||||
|
| |||||
Mexico - 2.2% |
| |||||
155,879 | America Movil SAB de CV, Class L Shares, ADR | 2,395,860 | ||||
758,366 | America Movil SAB de CV, Series L | 581,828 | ||||
7,586 | Arca Continental SAB de CV | 42,142 | ||||
15,467 | Becle SAB de CV | 38,690 | ||||
318,068 | Cemex SAB de CV, Class Preferred Shares* | 262,871 | ||||
12,281 | Coca-Cola Femsa SAB de CV | 60,029 | ||||
76,190 | Fibra Uno Administracion SA de CV, REIT | 89,326 | ||||
42,903 | Fomento Economico Mexicano SAB de CV | 351,819 | ||||
3,623 | Gruma SAB de CV, Class B Shares | 39,022 | ||||
8,082 | Grupo Aeroportuario del Pacifico SAB de CV, Class B Shares* | 85,177 | ||||
4,684 | Grupo Aeroportuario del Sureste SAB de CV, Class B Shares | 82,837 | ||||
33,100 | Grupo Bimbo SAB de CV, Series A | 71,963 | ||||
12,114 | Grupo Carso SAB de CV, Series A1* | 36,434 | ||||
297,528 | Grupo Financiero Banorte SAB de CV, Class O Shares | 2,029,607 | ||||
48,261 | Grupo Financiero Inbursa SAB de CV, Class O Shares* | 47,737 | ||||
375,550 | Grupo México SAB de CV, Series B | 1,802,678 | ||||
52,398 | Grupo Televisa SAB de CV | 136,360 | ||||
2,464 | Industrias Peñoles SAB de CV* | 36,776 | ||||
474,140 | Kimberly-Clark de México SAB de CV, Class A Shares | 854,422 | ||||
7,978 | Megacable Holdings SAB de CV | 29,923 | ||||
502,479 | Orbia Advance Corp. SAB de CV | 1,418,156 | ||||
3,707 | Promotora y Operadora de Infraestructura SAB de CV | 29,675 | ||||
247,381 | Qualitas Controladora SAB de CV | 1,360,728 | ||||
292,100 | Regional SAB de CV | 1,575,906 | ||||
29,228 | Telesites SAB de CV* | 28,060 | ||||
115,659 | Wal-Mart de Mexico SAB de CV | 369,284 | ||||
|
| |||||
Total Mexico | 13,857,310 | |||||
|
| |||||
Netherlands - 1.2% |
| |||||
72,648 | Prosus NV* | 7,514,222 | ||||
|
| |||||
Pakistan - 0.0% |
| |||||
21,800 | Habib Bank Ltd. | 18,885 | ||||
4,036 | Lucky Cement Ltd.* | 23,869 | ||||
822 | MCB Bank Ltd. | 870 | ||||
|
| |||||
Total Pakistan | 43,624 | |||||
|
| |||||
Peru - 0.3% |
| |||||
4,824 | Cia de Minas Buenaventura SAA, ADR* | 55,573 | ||||
14,285 | Credicorp Ltd.* | 1,963,759 | ||||
1,829 | Southern Copper Corp.(d) | 127,554 | ||||
|
| |||||
Total Peru | 2,146,886 | |||||
|
| |||||
Philippines - 0.8% |
| |||||
43,280 | Aboitiz Equity Ventures Inc. | 36,195 | ||||
6,660 | Ayala Corp. | 108,600 | ||||
520,660 | Ayala Land Inc. | 376,113 | ||||
34,918 | Bank of the Philippine Islands | 61,373 | ||||
45,844 | BDO Unibank Inc. | 97,714 | ||||
5,586,900 | Bloomberry Resorts Corp.* | 795,360 | ||||
620 | Globe Telecom Inc. | 23,502 | ||||
2,800 | GT Capital Holdings Inc. | 34,576 | ||||
637,640 | International Container Terminal Services Inc. | 1,954,219 | ||||
67,856 | JG Summit Holdings Inc. | 82,656 | ||||
9,470 | Jollibee Foods Corp. | 37,862 | ||||
6,170 | Manila Electric Co. | 36,648 | ||||
419,500 | Metro Pacific Investments Corp. | 34,514 | ||||
31,956 | Metropolitan Bank & Trust Co. | 32,698 | ||||
1,505 | PLDT Inc. | 41,605 | ||||
638,790 | Robinsons Retail Holdings Inc. | 692,680 |
107
Schedules of Investments
(unaudited) (continued)
Emerging Markets Equity Fund
Shares/Units | Security | Value | ||||
Philippines - 0.8% - (continued) |
| |||||
5,930 | SM Investments Corp. | $ | 121,571 | |||
209,900 | SM Prime Holdings Inc. | 162,097 | ||||
22,540 | Universal Robina Corp. | 66,942 | ||||
|
| |||||
Total Philippines | 4,796,925 | |||||
|
| |||||
Poland - 0.3% |
| |||||
7,174 | Allegro.eu SA*(a) | 114,383 | ||||
3,979 | Bank Polska Kasa Opieki SA* | 103,461 | ||||
1,667 | CD Projekt SA(d) | 80,857 | ||||
6,856 | Cyfrowy Polsat SA | 57,231 | ||||
1,144 | Dino Polska SA*(a) | 88,610 | ||||
25,800 | InPost SA* | 501,739 | ||||
3,033 | KGHM Polska Miedz SA* | 167,021 | ||||
24 | LPP SA* | 74,874 | ||||
9,733 | Orange Polska SA* | 17,758 | ||||
21,825 | PGE Polska Grupa Energetyczna SA* | 60,318 | ||||
7,141 | Polski Koncern Naftowy ORLEN SA | 155,199 | ||||
38,865 | Polskie Gornictwo Naftowe i Gazownictwo SA | 69,638 | ||||
18,828 | Powszechna Kasa Oszczednosci Bank Polski SA* | 203,565 | ||||
13,963 | Powszechny Zaklad Ubezpieczen SA* | 140,314 | ||||
646 | Santander Bank Polska SA* | 47,711 | ||||
|
| |||||
Total Poland | 1,882,679 | |||||
|
| |||||
Portugal - 0.2% |
| |||||
104,663 | Galp Energia SGPS SA | 1,313,311 | ||||
|
| |||||
Qatar - 0.2% |
| |||||
58,133 | Barwa Real Estate Co. | 51,565 | ||||
56,283 | Commercial Bank PSQC | 81,723 | ||||
31,452 | Industries Qatar QSC | 109,976 | ||||
68,894 | Masraf Al Rayan QSC | 83,356 | ||||
85,967 | Mesaieed Petrochemical Holding Co. | 44,211 | ||||
13,747 | Ooredoo QPSC | 25,744 | ||||
12,424 | Qatar Electricity & Water Co. QSC | 56,035 | ||||
10,432 | Qatar Fuel QSC | 51,938 | ||||
50,244 | Qatar Gas Transport Co., Ltd. | 42,518 | ||||
16,205 | Qatar International Islamic Bank QSC | 41,779 | ||||
20,139 | Qatar Islamic Bank SAQ | 94,503 | ||||
100,645 | Qatar National Bank QPSC | 480,020 | ||||
|
| |||||
Total Qatar | 1,163,368 | |||||
|
| |||||
Romania - 0.0% |
| |||||
9,224 | NEPI Rockcastle PLC | 64,105 | ||||
|
| |||||
Russia - 4.4% |
| |||||
853,518 | Alrosa PJSC | 1,332,349 | ||||
386,100 | Detsky Mir PJSC, (Restricted, cost-$606,362, acquired 10/15/20)(a)(b) | 800,514 | ||||
153,000 | Fix Price Group Ltd., (Restricted, cost-$1,473,726, acquired 3/5/21), GDR*(b) | 1,246,950 | ||||
263,193 | Gazprom PJSC | 941,780 | ||||
185,058 | Gazprom PJSC, ADR | 1,314,652 | ||||
885,983 | Inter RAO UES PJSC* | 61,136 | ||||
9,203 | Lukoil PJSC | 747,704 | ||||
59,920 | Lukoil PJSC, ADR | 4,866,103 | ||||
1,934 | Lukoil PJSC, ADR | 157,544 | ||||
58,603 | Magnit PJSC, Class Registered Shares, GDR | 894,998 | ||||
2,330 | Mail.Ru Group Ltd., GDR* | 53,641 | ||||
1,414 | MMC Norilsk Nickel PJSC | 526,137 | ||||
211,994 | Mobile TeleSystems PJSC, ADR | 1,933,385 | ||||
27,471 | Moscow Exchange MICEX-RTS PJSC | 62,932 | ||||
2,057 | Novatek PJSC, Class Registered Shares, GDR | 409,700 | ||||
29,577 | Novolipetsk Steel PJSC | 106,352 | ||||
2,783 | PhosAgro PJSC, Class Registered Shares, GDR | 56,948 | ||||
7,431 | Polymetal International PLC | 178,883 | ||||
740 | Polyus PJSC | 160,217 | ||||
25,771 | Rosneft Oil Co. PJSC | 184,006 | ||||
931,898 | Sberbank of Russia PJSC | 3,943,421 |
108
Schedules of Investments
(unaudited) (continued)
Emerging Markets Equity Fund
Shares/Units | Security | Value | ||||
Russia - 4.4% - (continued) |
| |||||
244,619 | Sberbank of Russia PJSC, ADR | $ | 4,129,418 | |||
5,352 | Severstal PAO | 128,285 | ||||
157,330 | Surgutneftegas PJSC | 77,747 | ||||
31,567 | Tatneft PJSC | 212,277 | ||||
60,086,472 | VTB Bank PJSC | 39,717 | ||||
7,748 | X5 Retail Group NV, Class Registered Shares, GDR | 231,860 | ||||
20,663 | X5 Retail Group NV, GDR | 617,824 | ||||
24,584 | Yandex NV, Class A Shares* | 1,662,209 | ||||
|
| |||||
Total Russia | 27,078,689 | |||||
|
| |||||
Saudi Arabia - 0.9% |
| |||||
584 | Abdullah Al Othaim Markets Co. | 20,091 | ||||
2,938 | Advanced Petrochemical Co. | 63,718 | ||||
27,169 | Al Rajhi Bank | 746,355 | ||||
23,349 | Alinma Bank | 124,573 | ||||
6,060 | Almarai Co. JSC | 88,090 | ||||
14,805 | Arab National Bank | 87,028 | ||||
7,275 | Bank AlBilad* | 73,759 | ||||
2,975 | Bank Al-Jazira* | 14,665 | ||||
12,740 | Banque Saudi Fransi | 123,214 | ||||
877 | Bupa Arabia for Cooperative Insurance Co.* | 27,894 | ||||
1,797 | Co. for Cooperative Insurance | 38,103 | ||||
5,741 | Dar Al Arkan Real Estate Development Co.* | 15,923 | ||||
944 | Dr Sulaiman Al Habib Medical Services Group Co. | 41,115 | ||||
3,935 | Emaar Economic City* | 11,591 | ||||
8,287 | Etihad Etisalat Co. | 72,823 | ||||
1,138 | Jarir Marketing Co. | 63,606 | ||||
12,541 | Mobile Telecommunications Co.* | 48,431 | ||||
757 | Mouwasat Medical Services Co. | 36,452 | ||||
9,889 | National Industrialization Co.* | 49,232 | ||||
1,719 | National Petrochemical Co. | 21,077 | ||||
6,566 | Rabigh Refining & Petrochemical Co.* | 40,285 | ||||
29,590 | Riyad Bank | 207,579 | ||||
4,953 | SABIC Agri-Nutrients Co. | 132,880 | ||||
5,198 | Sahara International Petrochemical Co. | 40,516 | ||||
293 | Saudi Airlines Catering Co.* | 6,232 | ||||
10,443 | Saudi Arabian Mining Co.* | 158,111 | ||||
49,419 | Saudi Arabian Oil Co.(a) | 464,568 | ||||
19,764 | Saudi Basic Industries Corp. | 654,692 | ||||
19,518 | Saudi British Bank* | 162,420 | ||||
2,168 | Saudi Cement Co. | 38,157 | ||||
18,903 | Saudi Electricity Co. | 124,036 | ||||
6,611 | Saudi Industrial Investment Group | 67,778 | ||||
15,381 | Saudi Kayan Petrochemical Co.* | 72,143 | ||||
47,292 | Saudi National Bank | 678,725 | ||||
13,301 | Saudi Telecom Co. | 435,708 | ||||
5,902 | Savola Group | 64,040 | ||||
6,603 | Yanbu National Petrochemical Co. | 122,363 | ||||
|
| |||||
Total Saudi Arabia | 5,237,973 | |||||
|
| |||||
Singapore - 0.8% |
| |||||
3,600 | BOC Aviation Ltd.(a) | 32,385 | ||||
18,414 | Sea Ltd., ADR* | 4,663,162 | ||||
|
| |||||
Total Singapore | 4,695,547 | |||||
|
| |||||
South Africa - 2.8% |
| |||||
15,861 | Absa Group Ltd.* | 164,344 | ||||
1,957 | African Rainbow Minerals Ltd. | 37,173 | ||||
1,188 | Anglo American Platinum Ltd. | 149,513 | ||||
9,328 | AngloGold Ashanti Ltd. | 221,996 | ||||
7,696 | Aspen Pharmacare Holdings Ltd.* | 91,603 | ||||
7,144 | Bid Corp., Ltd.* | 151,008 | ||||
100,676 | Bidvest Group Ltd. | 1,421,335 | ||||
1,799 | Capitec Bank Holdings Ltd. | 216,155 |
109
Schedules of Investments
(unaudited) (continued)
Emerging Markets Equity Fund
Shares/Units | Security | Value | ||||
South Africa - 2.8% - (continued) |
| |||||
5,665 | Clicks Group Ltd. | $ | 106,585 | |||
10,460 | Discovery Ltd.*(d) | 108,655 | ||||
5,384 | Exxaro Resources Ltd. | 59,383 | ||||
105,457 | FirstRand Ltd. | 431,675 | ||||
19,725 | Gold Fields Ltd. | 239,406 | ||||
79,517 | Growthpoint Properties Ltd., REIT | 84,296 | ||||
14,005 | Harmony Gold Mining Co., Ltd. | 71,765 | ||||
17,429 | Impala Platinum Holdings Ltd. | 301,227 | ||||
1,245 | Kumba Iron Ore Ltd. | 55,536 | ||||
689,202 | Life Healthcare Group Holdings Ltd.* | 1,095,529 | ||||
5,962 | Mr Price Group Ltd. | 100,282 | ||||
37,797 | MTN Group* | 278,000 | ||||
9,556 | MultiChoice Group | 94,822 | ||||
19,281 | Naspers Ltd., Class N Shares | 4,240,913 | ||||
162,346 | Nedbank Group Ltd.* | 1,886,699 | ||||
8,443 | Northam Platinum Ltd.* | 135,611 | ||||
109,246 | Old Mutual Ltd. | 113,460 | ||||
18,253 | Rand Merchant Investment Holdings Ltd. | 43,065 | ||||
10,942 | Remgro Ltd. | 96,023 | ||||
238,619 | Sanlam Ltd. | 1,020,675 | ||||
12,407 | Sasol Ltd.* | 202,150 | ||||
10,563 | Shoprite Holdings Ltd. | 116,936 | ||||
61,397 | Sibanye Stillwater Ltd. | 280,721 | ||||
3,447 | SPAR Group Ltd. | 47,473 | ||||
131,806 | Standard Bank Group Ltd. | 1,272,292 | ||||
4,420 | Tiger Brands Ltd. | 72,301 | ||||
558,173 | Transaction Capital Ltd.* | 1,478,622 | ||||
98,044 | Vodacom Group Ltd. | 939,426 | ||||
20,440 | Woolworths Holdings Ltd.* | 82,525 | ||||
|
| |||||
Total South Africa | 17,509,180 | |||||
|
| |||||
South Korea - 12.9% |
| |||||
471 | Alteogen Inc.*(d) | 29,838 | ||||
709 | Amorepacific Corp. | 182,573 | ||||
638 | AMOREPACIFIC Group | 43,670 | ||||
233 | BGF retail Co., Ltd. | 37,443 | ||||
1,825 | Celltrion Healthcare Co., Ltd.*(d) | 196,908 | ||||
2,145 | Celltrion Inc.* | 525,357 | ||||
413 | Celltrion Pharm Inc.* | 51,078 | ||||
1,194 | Cheil Worldwide Inc. | 25,770 | ||||
160 | CJ CheilJedang Corp. | 67,847 | ||||
243 | CJ Corp. | 23,877 | ||||
153 | CJ ENM Co., Ltd. | 21,501 | ||||
135 | CJ Logistics Corp.* | 20,584 | ||||
24,113 | Coway Co., Ltd. | 1,756,482 | ||||
1,129 | Daewoo Shipbuilding & Marine Engineering Co., Ltd.* | 34,190 | ||||
962 | DB Insurance Co., Ltd. | 43,667 | ||||
1,233 | Doosan Bobcat Inc.* | 55,844 | ||||
15,860 | Doosan Fuel Cell Co., Ltd.* | 608,199 | ||||
5,019 | Doosan Heavy Industries & Construction Co., Ltd.* | 80,380 | ||||
545 | Douzone Bizon Co., Ltd. | 41,274 | ||||
446 | E-MART Inc. | 62,433 | ||||
831 | Fila Holdings Corp. | 40,936 | ||||
127 | Green Cross Corp. | 39,601 | ||||
1,204 | GS Engineering & Construction Corp. | 47,962 | ||||
1,234 | GS Holdings Corp. | 51,136 | ||||
6,517 | Hana Financial Group Inc. | 266,740 | ||||
1,886 | Hankook Tire & Technology Co., Ltd. | 81,761 | ||||
115 | Hanmi Pharm Co., Ltd. | 36,338 | ||||
3,831 | Hanon Systems | 58,270 | ||||
2,437 | Hanwha Solutions Corp.* | 98,933 | ||||
1,826 | HLB Inc.* | 55,250 |
110
Schedules of Investments
(unaudited) (continued)
Emerging Markets Equity Fund
Shares/Units | Security | Value | ||||
South Korea - 12.9% - (continued) |
| |||||
5,668 | HMM Co., Ltd.* | $ | 252,516 | |||
672 | Hotel Shilla Co., Ltd. | 58,736 | ||||
189 | HYBE Co., Ltd.* | 44,222 | ||||
1,803 | Hyundai Engineering & Construction Co., Ltd. | 90,753 | ||||
434 | Hyundai Glovis Co., Ltd. | 74,569 | ||||
1,100 | Hyundai Heavy Industries Holdings Co., Ltd. | 68,690 | ||||
7,878 | Hyundai Mobis Co., Ltd. | 1,968,516 | ||||
3,027 | Hyundai Motor Co. | 630,085 | ||||
1,832 | Hyundai Steel Co. | 87,607 | ||||
5,013 | Industrial Bank of Korea | 48,860 | ||||
6,706 | Kakao Corp. | 734,162 | ||||
2,405 | Kangwon Land Inc.* | 60,213 | ||||
51,547 | KB Financial Group Inc. | 2,639,641 | ||||
5,837 | Kia Corp. | 443,581 | ||||
751 | KMW Co., Ltd.* | 34,034 | ||||
1,943 | Korea Aerospace Industries Ltd. | 59,096 | ||||
6,075 | Korea Electric Power Corp. | 138,751 | ||||
955 | Korea Investment Holdings Co., Ltd. | 89,356 | ||||
890 | Korea Shipbuilding & Offshore Engineering Co., Ltd.* | 114,184 | ||||
194 | Korea Zinc Co., Ltd. | 80,166 | ||||
3,548 | Korean Air Lines Co., Ltd.* | 101,079 | ||||
20,895 | KT&G Corp. | 1,569,401 | ||||
408 | Kumho Petrochemical Co., Ltd. | 85,289 | ||||
11,483 | LG Chem Ltd. | 8,572,377 | ||||
1,886 | LG Corp. | 180,816 | ||||
5,648 | LG Display Co., Ltd.(d) | 118,240 | ||||
2,347 | LG Electronics Inc. | 318,884 | ||||
1,704 | LG Household & Health Care Ltd. | 2,338,904 | ||||
336 | LG Innotek Co., Ltd. | 60,737 | ||||
4,603 | LG Uplus Corp. | 61,484 | ||||
422 | Lotte Chemical Corp. | 106,392 | ||||
312 | Lotte Shopping Co., Ltd. | 32,753 | ||||
915 | LX Holdings Corp.* | 10,062 | ||||
4,055 | Meritz Securities Co., Ltd. | 16,289 | ||||
5,758 | Mirae Asset Securities Co., Ltd. | 50,940 | ||||
18,845 | NAVER Corp. | 6,053,058 | ||||
360 | NCSoft Corp. | 275,206 | ||||
529 | Netmarble Corp.(a) | 65,032 | ||||
1,507 | NH Investment & Securities Co., Ltd. | 18,164 | ||||
640 | Orion Corp. | 68,018 | ||||
6,901 | Pan Ocean Co., Ltd. | 42,785 | ||||
885 | Pearl Abyss Corp.* | 46,191 | ||||
1,631 | POSCO | 521,880 | ||||
598 | POSCO Chemical Co., Ltd. | 79,952 | ||||
256 | S-1 Corp. | 18,614 | ||||
362 | Samsung Biologics Co., Ltd.*(a) | 268,536 | ||||
1,837 | Samsung C&T Corp. | 227,457 | ||||
1,209 | Samsung Electro-Mechanics Co., Ltd. | 182,300 | ||||
380,115 | Samsung Electronics Co., Ltd. | 27,314,906 | ||||
3,127 | Samsung Engineering Co., Ltd.* | 54,151 | ||||
662 | Samsung Fire & Marine Insurance Co., Ltd. | 124,683 | ||||
9,859 | Samsung Heavy Industries Co., Ltd.* | 51,926 | ||||
1,745 | Samsung Life Insurance Co., Ltd. | 130,466 | ||||
9,234 | Samsung SDI Co., Ltd. | 5,304,760 | ||||
721 | Samsung SDS Co., Ltd. | 117,423 | ||||
1,147 | Samsung Securities Co., Ltd. | 47,754 | ||||
794 | Seegene Inc. | 48,662 | ||||
766 | Shin Poong Pharmaceutical Co., Ltd. | 44,985 | ||||
62,208 | Shinhan Financial Group Co., Ltd. | 2,361,645 | ||||
131 | Shinsegae Inc. | 37,029 | ||||
400 | SK Biopharmaceuticals Co., Ltd.* | 40,480 |
111
Schedules of Investments
(unaudited) (continued)
Emerging Markets Equity Fund
Shares/Units | Security | Value | ||||
South Korea - 12.9% - (continued) |
| |||||
200 | SK Chemicals Co., Ltd. | $ | 45,490 | |||
679 | SK Holdings Co., Ltd. | 161,745 | ||||
78,866 | SK Hynix Inc. | 8,851,686 | ||||
1,115 | SK Innovation Co., Ltd.* | 274,073 | ||||
865 | SK Telecom Co., Ltd. | 245,681 | ||||
436 | SKC Co., Ltd. | 50,844 | ||||
1,034 | S-Oil Corp.* | 88,245 | ||||
11,081 | Woori Financial Group Inc. | 110,018 | ||||
938 | Yuhan Corp. | 53,873 | ||||
|
| |||||
Total South Korea | 79,454,945 | |||||
|
| |||||
Taiwan - 11.3% |
| |||||
12,000 | Accton Technology Corp. | 126,923 | ||||
72,000 | Acer Inc. | 82,420 | ||||
7,777 | Advantech Co., Ltd. | 91,608 | ||||
3,000 | Airtac International Group | 108,687 | ||||
486,498 | ASE Technology Holding Co., Ltd. | 1,937,310 | ||||
46,000 | Asia Cement Corp. | 83,692 | ||||
15,000 | Asustek Computer Inc. | 211,921 | ||||
175,000 | AU Optronics Corp.* | 148,156 | ||||
49,000 | Catcher Technology Co., Ltd. | 323,630 | ||||
175,738 | Cathay Financial Holding Co., Ltd. | 352,637 | ||||
26,088 | Chailease Holding Co., Ltd. | 197,023 | ||||
86,154 | Chang Hwa Commercial Bank Ltd. | 52,550 | ||||
31,000 | Cheng Shin Rubber Industry Co., Ltd. | 53,044 | ||||
324,000 | China Development Financial Holding Corp. | 144,061 | ||||
36,193 | China Life Insurance Co., Ltd. | 32,238 | ||||
258,000 | China Steel Corp. | 340,636 | ||||
124,000 | Chroma ATE Inc. | 858,179 | ||||
86,000 | Chunghwa Telecom Co., Ltd. | 350,770 | ||||
104,000 | Compal Electronics Inc. | 87,446 | ||||
412,880 | CTBC Financial Holding Co., Ltd. | 342,442 | ||||
274,000 | Delta Electronics Inc. | 2,881,405 | ||||
249,246 | E.Sun Financial Holding Co., Ltd. | 228,584 | ||||
4,100 | Eclat Textile Co., Ltd. | 96,034 | ||||
61,478 | Evergreen Marine Corp. Taiwan Ltd.* | 213,665 | ||||
54,000 | Far Eastern New Century Corp. | 60,942 | ||||
35,000 | Far EasTone Telecommunications Co., Ltd. | 81,476 | ||||
10,920 | Feng TAY Enterprise Co., Ltd. | 96,589 | ||||
225,198 | First Financial Holding Co., Ltd. | 177,666 | ||||
74,000 | Formosa Chemicals & Fibre Corp. | 227,823 | ||||
28,000 | Formosa Petrochemical Corp. | 99,741 | ||||
83,000 | Formosa Plastics Corp. | 303,639 | ||||
22,230 | Foxconn Technology Co., Ltd. | 51,797 | ||||
140,000 | Fubon Financial Holding Co., Ltd. | 364,612 | ||||
6,000 | Giant Manufacturing Co., Ltd. | 72,052 | ||||
197,000 | Globalwafers Co., Ltd. | 5,653,303 | ||||
6,422 | Hiwin Technologies Corp. | 85,308 | ||||
739,660 | Hon Hai Precision Industry Co., Ltd. | 2,961,745 | ||||
6,000 | Hotai Motor Co., Ltd. | 122,175 | ||||
186,562 | Hua Nan Financial Holdings Co., Ltd. | 122,298 | ||||
206,000 | Innolux Corp.* | 165,526 | ||||
49,000 | Inventec Corp. | 45,455 | ||||
2,541 | Largan Precision Co., Ltd. | 266,866 | ||||
48,264 | Lite-On Technology Corp., ADR | 114,428 | ||||
97,000 | MediaTek Inc. | 3,360,057 | ||||
242,000 | Mega Financial Holding Co., Ltd. | 289,222 | ||||
17,000 | Micro-Star International Co., Ltd. | 102,084 | ||||
109,000 | Nan Ya Plastics Corp. | 328,218 | ||||
6,000 | Nan Ya Printed Circuit Board Corp.* | 67,731 | ||||
29,000 | Nanya Technology Corp. | 84,284 | ||||
3,000 | Nien Made Enterprise Co., Ltd. | 44,151 |
112
Schedules of Investments
(unaudited) (continued)
Emerging Markets Equity Fund
Shares/Units | Security | Value | ||||
Taiwan - 11.3% - (continued) |
| |||||
132,000 | Novatek Microelectronics Corp. | $ | 2,402,661 | |||
5,000 | Oneness Biotech Co., Ltd.* | 37,335 | ||||
43,000 | Pegatron Corp. | 113,647 | ||||
4,000 | Phison Electronics Corp. | 67,249 | ||||
44,000 | Pou Chen Corp. | 60,759 | ||||
8,000 | Powertech Technology Inc. | 30,588 | ||||
74,660 | Poya International Co., Ltd.* | 1,460,244 | ||||
13,539 | President Chain Store Corp. | 128,002 | ||||
321,000 | Quanta Computer Inc. | 1,016,990 | ||||
10,000 | Realtek Semiconductor Corp. | 179,139 | ||||
24,180 | Ruentex Development Co., Ltd. | 45,711 | ||||
73,206 | Shanghai Commercial & Savings Bank Ltd. | 119,597 | ||||
239,221 | Shin Kong Financial Holding Co., Ltd. | 85,793 | ||||
222,846 | SinoPac Financial Holdings Co., Ltd. | 108,203 | ||||
35,700 | Synnex Technology International Corp. | 75,651 | ||||
225,811 | Taishin Financial Holding Co., Ltd. | 119,834 | ||||
121,313 | Taiwan Business Bank | 41,885 | ||||
109,980 | Taiwan Cement Corp. | 200,803 | ||||
216,792 | Taiwan Cooperative Financial Holding Co., Ltd. | 163,219 | ||||
36,000 | Taiwan High Speed Rail Corp. | 37,542 | ||||
29,000 | Taiwan Mobile Co., Ltd. | 104,357 | ||||
805,507 | Taiwan Semiconductor Manufacturing Co., Ltd. | 17,141,475 | ||||
148,219 | Taiwan Semiconductor Manufacturing Co., Ltd., ADR | 17,394,982 | ||||
25,000 | Unimicron Technology Corp. | 94,240 | ||||
107,000 | Uni-President Enterprises Corp. | 281,142 | ||||
263,000 | United Microelectronics Corp. | 496,575 | ||||
23,000 | Vanguard International Semiconductor Corp. | 97,049 | ||||
7,000 | Walsin Technology Corp. | 52,336 | ||||
3,000 | Wan Hai Lines Ltd. | 16,738 | ||||
8,000 | Win Semiconductors Corp. | 94,092 | ||||
59,000 | Winbond Electronics Corp. | 71,963 | ||||
73,361 | Wistron Corp. | 80,917 | ||||
69,000 | Wiwynn Corp. | 2,262,606 | ||||
25,760 | WPG Holdings Ltd. | 47,965 | ||||
8,188 | Yageo Corp. | 144,679 | ||||
35,000 | Yang Ming Marine Transport Corp.* | 136,244 | ||||
232,960 | Yuanta Financial Holding Co., Ltd. | 214,892 | ||||
14,000 | Zhen Ding Technology Holding Ltd. | 48,997 | ||||
|
| |||||
Total Taiwan | 69,970,350 | |||||
|
| |||||
Thailand - 1.0% |
| |||||
28,100 | Advanced Info Service PCL, NVDR | 151,860 | ||||
91,100 | Airports of Thailand PCL, NVDR | 181,326 | ||||
185,700 | Asset World Corp. PCL, NVDR* | 28,500 | ||||
20,800 | B Grimm Power PCL, NVDR | 29,101 | ||||
10,000 | Bangkok Bank PCL, Class Registered Shares | 36,789 | ||||
51,800 | Bangkok Commercial Asset Mangement PCL, NVDR | 30,846 | ||||
229,400 | Bangkok Dusit Medical Services PCL, NVDR | 157,759 | ||||
110,600 | Bangkok Expressway & Metro PCL, NVDR | 28,480 | ||||
34,400 | Berli Jucker PCL, NVDR | 37,940 | ||||
98,100 | BTS Group Holdings PCL, NVDR | 28,241 | ||||
9,500 | Bumrungrad Hospital PCL, NVDR | 39,788 | ||||
6,000 | Carabao Group PCL, NVDR | 25,235 | ||||
52,000 | Central Pattana PCL, NVDR | 83,944 | ||||
33,616 | Central Retail Corp. PCL, NVDR | 35,736 | ||||
86,300 | Charoen Pokphand Foods PCL, NVDR | 75,204 | ||||
127,100 | CP ALL PCL, NVDR | 246,939 | ||||
6,600 | Delta Electronics Thailand PCL, NVDR | 115,658 | ||||
4,600 | Electricity Generating PCL, NVDR | 25,606 | ||||
37,100 | Energy Absolute PCL, NVDR | 70,575 | ||||
17,400 | Global Power Synergy PCL, NVDR | 40,062 | ||||
64,600 | Gulf Energy Development PCL, NVDR | 69,705 |
113
Schedules of Investments
(unaudited) (continued)
Emerging Markets Equity Fund
Shares/Units | Security | Value | ||||
Thailand - 1.0% - (continued) |
| |||||
137,900 | Home Product Center PCL, NVDR | $ | 60,850 | |||
31,100 | Indorama Ventures PCL, NVDR | 45,218 | ||||
37,900 | Intouch Holdings PCL, NVDR | 77,587 | ||||
262,800 | Kasikornbank PCL | 1,008,792 | ||||
9,700 | Kasikornbank PCL, NVDR | 37,102 | ||||
60,700 | Krung Thai Bank PCL, NVDR | 21,007 | ||||
22,200 | Krungthai Card PCL, NVDR | 52,053 | ||||
56,500 | Land and Houses PCL, NVDR | 14,456 | ||||
60,300 | Minor International PCL, NVDR* | 60,712 | ||||
19,800 | Muangthai Capital PCL, NVDR | 38,989 | ||||
22,800 | Osotspa PCL, NVDR | 26,794 | ||||
35,100 | PTT Exploration & Production PCL, NVDR | 131,874 | ||||
54,100 | PTT Global Chemical PCL, NVDR | 109,179 | ||||
60,000 | PTT Oil & Retail Business PCL, NVDR | 58,016 | ||||
212,500 | PTT PCL, NVDR | 267,012 | ||||
21,400 | Ratch Group PCL, NVDR | 34,749 | ||||
24,300 | SCG Packaging PCL, NVDR | 43,128 | ||||
126,600 | Siam Cement PCL, Class Registered Shares | 1,790,630 | ||||
16,900 | Siam Cement PCL, NVDR | 238,898 | ||||
20,000 | Siam Commercial Bank PCL, NVDR | 65,214 | ||||
21,600 | Sri Trang Gloves Thailand PCL, NVDR | 30,752 | ||||
20,800 | Srisawad Corp. PCL, NVDR | 50,098 | ||||
24,300 | Thai Oil PCL, NVDR | 46,012 | ||||
51,000 | Thai Union Group PCL, NVDR | 28,867 | ||||
336,600 | True Corp. PCL, NVDR(d) | 33,796 | ||||
|
| |||||
Total Thailand | 5,911,079 | |||||
|
| |||||
Turkey - 0.5% |
| |||||
61,436 | Akbank TAS | 37,265 | ||||
17,844 | Aselsan Elektronik Sanayi Ve Ticaret AS | 31,360 | ||||
123,590 | AvivaSA Emeklilik ve Hayat AS | 272,883 | ||||
11,261 | BIM Birlesik Magazalar AS | 84,525 | ||||
28,391 | Eregli Demir ve Celik Fabrikalari TAS | 63,733 | ||||
1,793 | Ford Otomotiv Sanayi AS | 35,984 | ||||
10,393 | KOC Holding AS | 22,571 | ||||
446,440 | MLP Saglik Hizmetleri AS, (Restricted, cost - $918,329, acquired 4/15/20), Class B Shares*(a)(b) | 1,197,924 | ||||
458,820 | Sok Marketler Ticaret AS* | 609,025 | ||||
144,020 | Tofas Turk Otomobil Fabrikasi AS | 485,775 | ||||
165 | Turk Hava Yollari AO* | 250 | ||||
25,061 | Turkcell Iletisim Hizmetleri AS | 46,160 | ||||
49,356 | Türkiye Garanti Bankasi AS | 46,033 | ||||
18,380 | Turkiye Is Bankasi AS, Class C Shares | 10,956 | ||||
3,542 | Turkiye Petrol Rafinerileri AS* | 40,397 | ||||
36,548 | Türkiye Sise ve Cam Fabrikalari AS | 33,870 | ||||
|
| |||||
Total Turkey | 3,018,711 | |||||
|
| |||||
United Arab Emirates - 0.2% |
| |||||
65,895 | Abu Dhabi Commercial Bank PJSC | 122,071 | ||||
20,043 | Abu Dhabi Islamic Bank PJSC | 30,896 | ||||
43,575 | Abu Dhabi National Oil Co. for Distribution PJSC | 52,790 | ||||
87,516 | Aldar Properties PJSC | 88,273 | ||||
52,710 | Dubai Islamic Bank PJSC | 69,303 | ||||
4,202 | Emaar Malls PJSC* | 2,260 | ||||
68,151 | Emaar Properties PJSC | 74,901 | ||||
61,913 | Emirates NBD Bank PJSC | 228,065 | ||||
37,646 | Emirates Telecommunications Group Co. PJSC | 221,729 | ||||
83,602 | First Abu Dhabi Bank PJSC | 377,393 | ||||
|
| |||||
Total United Arab Emirates | 1,267,681 | |||||
|
| |||||
United Kingdom - 1.0% |
| |||||
34,173 | Anglo American PLC | 1,518,207 | ||||
628,959 | Helios Towers PLC* | 1,488,604 | ||||
32,535 | Mondi PLC | 878,641 | ||||
34,070 | Unilever PLC | 2,041,767 | ||||
|
| |||||
Total United Kingdom | 5,927,219 | |||||
|
|
114
Schedules of Investments
(unaudited) (continued)
Emerging Markets Equity Fund
Shares/Units | Security | Value | ||||||
United States - 0.7% |
| |||||||
8,494 | EPAM Systems Inc.* | $ | 4,056,734 | |||||
|
| |||||||
TOTAL COMMON STOCKS (Cost - $408,392,907) | 588,821,103 | |||||||
|
| |||||||
PREFERRED STOCKS - 1.3% |
| |||||||
Brazil - 0.4% |
| |||||||
4,378 | Alpargatas SA, Class Preferred Shares* | 39,517 | ||||||
107,013 | Banco Bradesco SA, Class Preferred Shares | 545,093 | ||||||
5,534 | Bradespar SA, Class Preferred Shares | 74,263 | ||||||
3,867 | Braskem SA, Class Preferred A Shares* | 38,400 | ||||||
3,015 | Centrais Eletricas Brasileiras SA, Class Preferred B Shares | 24,842 | ||||||
23,342 | Cia Energetica de Minas Gerais, Class Preferred Shares | 61,375 | ||||||
24,800 | Cia Paranaense de Energia, Class Preferred B Shares | 30,796 | ||||||
25,282 | Gerdau SA, Class Preferred Shares | 158,427 | ||||||
107,564 | Itau Unibanco Holding SA, Class Preferred Shares | 611,690 | ||||||
94,262 | Itausa SA, Class Preferred Shares | 197,195 | ||||||
17,261 | Lojas Americanas SA, Class Preferred Shares | 66,422 | ||||||
104,567 | Petroleo Brasileiro SA, Class Preferred Shares | 541,665 | ||||||
10,499 | Telefonica Brasil SA, Class Preferred Shares | 88,903 | ||||||
|
| |||||||
Total Brazil | 2,478,588 | |||||||
|
| |||||||
Chile - 0.0% |
| |||||||
2,885 | Sociedad Quimica y Minera de Chile SA, Class Preferred B Shares | 125,435 | ||||||
|
| |||||||
Colombia - 0.0% |
| |||||||
10,030 | Bancolombia SA, Class Preferred Shares | 75,576 | ||||||
|
| |||||||
Russia - 0.0% |
| |||||||
79,826 | Surgutneftegas PJSC, Class Preferred Shares | 100,118 | ||||||
|
| |||||||
South Korea - 0.9% |
| |||||||
715 | Hyundai Motor Co., Class Preferred 2nd Shares | 70,244 | ||||||
565 | Hyundai Motor Co., Class Preferred Shares | 55,761 | ||||||
157 | LG Chem Ltd., Class Preferred Shares | 53,949 | ||||||
55 | LG Household & Health Care Ltd., Class Preferred Shares | 35,444 | ||||||
75,908 | Samsung Electronics Co., Ltd., Class Preferred Shares | 4,918,119 | ||||||
|
| |||||||
Total South Korea | 5,133,517 | |||||||
|
| |||||||
TOTAL PREFERRED STOCKS (Cost - $6,718,964) | 7,913,234 | |||||||
|
| |||||||
RIGHT - 0.0% |
| |||||||
China - 0.0% |
| |||||||
1,176 | Legend Holdings Corp. *(e)(f) (Cost - $0) | 1,861 | ||||||
|
| |||||||
WARRANTS - 0.0% |
| |||||||
Thailand - 0.0% |
| |||||||
1,884 | Minor International PCL, expires 2/15/24*#(e) | | ||||||
2,079 | Minor International PCL, expires 5/5/23*#(e)(f) | | ||||||
|
| |||||||
TOTAL WARRANTS (Cost - $0) | | |||||||
|
| |||||||
Face Amount/Units | Rating | |||||||
CORPORATE BOND & NOTE - 0.0% |
| |||||||
India - 0.0% |
| |||||||
221,900 INR | NR | Britannia Industries Ltd., Senior Unsecured Notes, 5.500% due 6/3/24#(f) (Cost - $0) | | |||||
|
| |||||||
TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS (Cost - $415,111,871) | 596,736,198 | |||||||
|
| |||||||
Face Amount | ||||||||
SHORT-TERM INVESTMENTS (g) - 3.5% |
| |||||||
MONEY MARKET FUND - 0.7% |
| |||||||
$ 3,914,304 | Invesco STIT - Government & Agency Portfolio, 0.030%, Institutional Class(h) (Cost - $3,914,304) | 3,914,304 | ||||||
|
|
115
Schedules of Investments
(unaudited) (continued)
Emerging Markets Equity Fund
Shares/Units | Security | Value | ||||||
TIME DEPOSITS - 2.8% | ||||||||
3,218,828 | ANZ National Bank - London, 0.005% due 6/1/21 | $ | 3,218,828 | |||||
262,550 | HKD | Banco Santader, Frankfurt, 0.000% due 5/31/21 | 33,830 | |||||
BBH - Grand Cayman: | ||||||||
2 | SGD | 0.005% due 5/31/21 | 1 | |||||
183,934 | ZAR | 3.500% due 5/31/21 | 13,348 | |||||
BNP Paribas - Paris: | ||||||||
70,831 | EUR | (0.780)% due 5/31/21 | 86,379 | |||||
15,265 | 0.005% due 6/1/21 | 15,265 | ||||||
52,319 | EUR | Citibank - London, (0.780)% due 5/31/21 | 63,804 | |||||
3,616,012 | HKD | HSBC Bank - Hong Kong, 0.000% due 5/31/21 | 465,930 | |||||
1,533,946 | Skandinaviska Enskilda Banken AB - Stockholm, 0.005% due 6/1/21 | 1,533,946 | ||||||
Sumitomo Mitsui Banking Corp. - Tokyo: | ||||||||
9 | GBP | 0.005% due 6/1/21 | 13 | |||||
12,033,206 | 0.005% due 6/1/21 | 12,033,206 | ||||||
|
| |||||||
TOTAL TIME DEPOSITS (Cost - $17,464,550) | 17,464,550 | |||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost - $21,378,854) | 21,378,854 | |||||||
|
| |||||||
TOTAL INVESTMENTS - 100.2% (Cost - $436,490,725) | 618,115,052 | |||||||
|
| |||||||
Liabilities in Excess of Other Assets - (0.2)% | (1,286,997 | ) | ||||||
|
| |||||||
TOTAL NET ASSETS - 100.0% | $ | 616,828,055 | ||||||
|
|
@ | May 28, 2021 represents the last business day of the Funds quarterly period. |
| Amount denominated in U.S. dollars, unless otherwise noted. |
| All ratings are by Standard & Poors Rating Service, unless otherwise noted. |
* | Non-income producing security. |
(a) | Restricted security that may be sold to qualified institutional buyers pursuant to the conditions of Rule 144A under the Securities Act of 1933, as amended. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted. The aggregate value of restricted 144A holdings at May 28, 2021, amounts to $32,590,364 and represents 5.3% of net assets. |
(b) | The aggregate value of restricted securities (excluding 144A holdings) at May 28, 2021, amounts to $34,195,700 and represents 5.5% of net assets. |
(c) | Security trades on the Hong Kong exchange. |
(d) | All or a portion of this security is on loan (See Note 1). |
(e) | Illiquid security. |
(f) | Security is valued in good faith at fair value by or under the direction of the Board of Trustees. |
(g) | Inclusive of all short-term holdings, including investments of collateral received from securities lending transactions. Excluding such collateral, the percentage of portfolio holdings would be 2.8%. |
(h) | Represents investments of collateral received from securities lending transactions. |
# | Security that used significant unobservable inputs to determine fair value. |
At May 28, 2021, 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 | $ | 436,490,725 | $ | 198,609,864 | $ | (16,955,635 | ) | $ | 181,654,229 |
Abbreviations used in this schedule:
ADR | | American Depositary Receipts | ||
GDR | | Global Depositary Receipt | ||
NVDR | | Non Voting Depository Receipt | ||
PCL | | Public Company Limited | ||
PLC | | Public Limited Company | ||
REIT | | Real Estate Investment Trust |
116
Schedules of Investments
(unaudited) (continued)
Emerging Markets Equity Fund
Summary of Investments by Security Sector^ | ||||
Financials | ||||
Banks | 15.0 | % | ||
Insurance | 3.5 | |||
Consumer Finance | 0.9 | |||
Other | 1.2 | |||
Information Technology | 19.2 | |||
Consumer Discretionary | 16.7 | |||
Communication Services | 10.8 | |||
Materials | 7.2 | |||
Energy | 4.9 | |||
Industrials | 4.3 | |||
Health Care | 4.1 | |||
Consumer Staples | 4.1 | |||
Information Technology | 2.8 | |||
Utilities | 1.4 | |||
Real Estate | 1.1 | |||
Short-Term Investments | 2.8 | |||
|
| |||
100.0 | %+ | |||
|
|
^ | As a percentage of total investments. |
+ | Does not reflect investments of collateral received from securities lending transactions. |
At May 28, 2021, Emerging Markets Equity Fund had open exchange-traded futures contracts as described below.
The unrealized appreciation on the open contracts were as follows:
Open Futures Contracts | Number of Contracts | Expiration Date | Notional Amount | Market Value | Unrealized Appreciation | ||||||||||||||||||||
Contracts to Buy: | |||||||||||||||||||||||||
MSCI Emerging Markets E-mini Index June Futures | 29 | 6/21 | $ | 1,943,403 | $ | 1,973,305 | $ | 29,902 | |||||||||||||||||
|
|
At May 28, 2021, Emerging Markets Equity Fund had deposited cash of $124,497 with a broker or brokers as margin collateral on an open exchange-traded futures contracts.
Currency Abbreviations used in this schedule:
EUR | | Euro | ||
GBP | | British Pound | ||
HKD | | Hong Kong Dollar | ||
INR | | Indian Rupee | ||
SGD | | Singapore Dollar | ||
ZAR | | South African Rand |
See pages 252-254 for definitions of ratings.
117
Schedules of Investments
May 28, 2021@
(unaudited) (continued)
Core Fixed Income Fund
Face Amount/Units | Rating | Security | Value | |||||||
CORPORATE BONDS & NOTES - 30.2% | ||||||||||
Aerospace/Defense - 0.9% | ||||||||||
BAE Systems Holdings Inc., Company Guaranteed Notes: | ||||||||||
$ 205,000 | BBB | 3.800% due 10/7/24(a) | $ | 224,921 | ||||||
776,000 | BBB | 3.850% due 12/15/25(a) | 860,061 | |||||||
Boeing Co. (The), Senior Unsecured Notes: | ||||||||||
520,000 | BBB- | 4.875% due 5/1/25 | 584,381 | |||||||
210,000 | BBB- | 2.196% due 2/4/26 | 210,969 | |||||||
50,000 | BBB- | 3.100% due 5/1/26 | 53,233 | |||||||
118,000 | BBB- | 2.250% due 6/15/26 | 120,225 | |||||||
70,000 | BBB- | 2.700% due 2/1/27 | 72,567 | |||||||
60,000 | BBB- | 2.800% due 3/1/27 | 62,431 | |||||||
260,000 | BBB- | 3.200% due 3/1/29 | 270,404 | |||||||
250,000 | BBB- | 5.150% due 5/1/30 | 293,087 | |||||||
440,000 | BBB- | 3.250% due 2/1/35 | 436,493 | |||||||
40,000 | BBB- | 3.550% due 3/1/38 | 39,679 | |||||||
210,000 | BBB- | 5.705% due 5/1/40 | 262,142 | |||||||
140,000 | BBB- | 3.750% due 2/1/50 | 137,696 | |||||||
490,000 | BBB- | 5.805% due 5/1/50 | 633,490 | |||||||
10,000 | BBB- | 5.930% due 5/1/60 | 13,063 | |||||||
General Dynamics Corp., Company Guaranteed Notes: | ||||||||||
121,000 | A- | 3.500% due 4/1/27 | 135,103 | |||||||
607,000 | A- | 3.750% due 5/15/28 | 686,838 | |||||||
10,000 | A- | 4.250% due 4/1/40 | 11,896 | |||||||
70,000 | A- | 4.250% due 4/1/50 | 85,774 | |||||||
141,000 | BBB | L3 Technologies Inc., Company Guaranteed Notes, 3.850% due 12/15/26 | 153,774 | |||||||
L3Harris Technologies Inc., Senior Unsecured Notes: | ||||||||||
595,000 | BBB | 3.850% due 12/15/26 | 666,665 | |||||||
767,000 | BBB | 4.400% due 6/15/28 | 879,032 | |||||||
60,000 | BBB | 5.054% due 4/27/45 | 76,251 | |||||||
Lockheed Martin Corp., Senior Unsecured Notes: | ||||||||||
30,000 | A- | 3.100% due 1/15/23 | 31,216 | |||||||
170,000 | A- | 3.550% due 1/15/26 | 189,007 | |||||||
40,000 | A- | 4.500% due 5/15/36 | 48,945 | |||||||
91,000 | A- | 4.070% due 12/15/42 | 106,779 | |||||||
206,000 | A- | 3.800% due 3/1/45 | 231,305 | |||||||
Northrop Grumman Corp., Senior Unsecured Notes: | ||||||||||
534,000 | BBB+ | 2.930% due 1/15/25 | 571,689 | |||||||
340,000 | BBB+ | 3.250% due 1/15/28 | 368,492 | |||||||
91,000 | BBB+ | 4.750% due 6/1/43 | 113,463 | |||||||
92,000 | BBB+ | 4.030% due 10/15/47 | 105,236 | |||||||
248,000 | BBB+ | 5.250% due 5/1/50 | 337,069 | |||||||
Raytheon Co., Senior Unsecured Notes: | ||||||||||
40,000 | A- | 7.200% due 8/15/27 | 52,663 | |||||||
24,000 | A- | 7.000% due 11/1/28 | 31,300 | |||||||
55,000 | A- | 4.200% due 12/15/44 | 59,809 | |||||||
Raytheon Technologies Corp., Senior Unsecured Notes: | ||||||||||
70,000 | A- | 3.150% due 12/15/24 | 75,542 | |||||||
120,000 | A- | 3.950% due 8/16/25 | 133,991 | |||||||
370,000 | A- | 4.125% due 11/16/28 | 422,040 | |||||||
262,000 | A- | 2.250% due 7/1/30 | 261,832 |
118
Schedules of Investments
(unaudited) (continued)
Core Fixed Income Fund
Face Amount/Units | Rating | Security | Value | |||||||
CORPORATE BONDS & NOTES - 30.2% - (continued) | ||||||||||
Aerospace/Defense - 0.9% - (continued) | ||||||||||
$ 160,000 | A- | 4.500% due 6/1/42 | $ | 192,394 | ||||||
167,000 | A- | 3.750% due 11/1/46 | 181,305 | |||||||
108,000 | A- | 4.050% due 5/4/47 | 122,251 | |||||||
94,000 | A- | 4.625% due 11/16/48 | 116,354 | |||||||
|
| |||||||||
Total Aerospace/Defense | 10,722,857 | |||||||||
|
| |||||||||
Agriculture - 0.6% | ||||||||||
Altria Group Inc., Company Guaranteed Notes: | ||||||||||
40,000 | BBB | 2.350% due 5/6/25 | 41,941 | |||||||
130,000 | BBB | 4.400% due 2/14/26 | 147,414 | |||||||
137,000 | BBB | 4.800% due 2/14/29 | 157,145 | |||||||
560,000 | BBB | 2.450% due 2/4/32 | 530,190 | |||||||
765,000 | BBB | 5.800% due 2/14/39 | 927,094 | |||||||
32,000 | BBB | 4.250% due 8/9/42 | 32,770 | |||||||
80,000 | BBB | 3.875% due 9/16/46 | 76,466 | |||||||
260,000 | BBB | 5.950% due 2/14/49 | 320,522 | |||||||
82,000 | BBB | 6.200% due 2/14/59 | 103,323 | |||||||
BAT Capital Corp., Company Guaranteed Notes: | ||||||||||
332,000 | BBB+ | 3.215% due 9/6/26 | 352,688 | |||||||
507,000 | BBB+ | 3.557% due 8/15/27 | 539,279 | |||||||
231,000 | BBB+ | 4.906% due 4/2/30 | 261,996 | |||||||
1,070,000 | BBB+ | 4.540% due 8/15/47 | 1,074,836 | |||||||
135,000 | BBB+ | 4.758% due 9/6/49 | 139,080 | |||||||
23,000 | BBB+ | 5.282% due 4/2/50 | 25,248 | |||||||
150,000 | BBB+ | 3.984% due 9/25/50 | 140,449 | |||||||
135,000 | BBB+ | BAT International Finance PLC, Company Guaranteed Notes, 3.950% due 6/15/25(a) | 148,948 | |||||||
150,000 | A | Cargill Inc., Senior Unsecured Notes, 1.375% due 7/23/23(a) | 153,183 | |||||||
Philip Morris International Inc., Senior Unsecured Notes: | ||||||||||
190,000 | A | 2.900% due 11/15/21 | 192,396 | |||||||
110,000 | A | 2.500% due 11/2/22 | 113,385 | |||||||
100,000 | A | 1.125% due 5/1/23 | 101,704 | |||||||
100,000 | A | 2.100% due 5/1/30 | 97,975 | |||||||
60,000 | A | 4.500% due 3/20/42 | 69,356 | |||||||
809,000 | BBB+ | Reynolds American Inc., Company Guaranteed Notes, 5.850% due 8/15/45 | 944,634 | |||||||
|
| |||||||||
Total Agriculture | 6,692,022 | |||||||||
|
| |||||||||
Airlines - 0.4% | ||||||||||
48,832 | A3(b) | Air Canada Class AA Pass-Through Trust, Pass-Thru Certificates, | 49,443 | |||||||
38,921 | A | American Airlines Class AA Pass-Through Trust, Series 2015-2, Pass-Thru Certificates, | 39,880 | |||||||
314,248 | A | American Airlines Class AA Pass-Through Trust, Series 2016-1, Pass-Thru Certificates, | 321,821 | |||||||
45,332 | A | American Airlines Class AA Pass-Through Trust, Series 2016-2, Pass-Thru Certificates, | 45,985 | |||||||
92,409 | A+ | American Airlines Class AA Pass-Through Trust, Series 2016-3, Pass-Thru Certificates, | 94,315 | |||||||
38,640 | Baa1(b) | American Airlines Class AA Pass-Through Trust, Series 2017-1, Pass-Thru Certificates, | 39,656 | |||||||
111,059 | B | American Airlines Class B Pass-Through Trust, Series 2015-2, Pass-Thru Certificates, | 107,378 | |||||||
78,937 | B | American Airlines Class B Pass-Through Trust, Series 2016-1, Pass-Thru Certificates, | 77,173 | |||||||
64,000 | B | American Airlines Class B Pass-Through Trust, Series 2016-2, Pass-Thru Certificates, | 62,063 | |||||||
691 | B+ | American Airlines Class B Pass-Through Trust, Series 2016-3, Pass-Thru Certificates, | 662 | |||||||
50,146 | Ba2(b) | American Airlines Class B Pass-Through Trust, Series 2017-1, Pass-Thru Certificates, | 48,332 | |||||||
Delta Air Lines Inc.: | ||||||||||
970,000 | BBB- | Senior Secured Notes, 7.000% due 5/1/25(a) | 1,128,554 | |||||||
Senior Unsecured Notes: | ||||||||||
120,000 | B+ | 3.625% due 3/15/22 | 122,000 | |||||||
50,000 | B+ | 3.800% due 4/19/23 | 51,764 | |||||||
200,000 | B+ | 2.900% due 10/28/24 | 202,915 | |||||||
210,000 | B+ | 7.375% due 1/15/26 | 247,514 |
119
Schedules of Investments
(unaudited) (continued)
Core Fixed Income Fund
Face Amount/Units | Rating | Security | Value | |||||||
CORPORATE BONDS & NOTES - 30.2% - (continued) | ||||||||||
Airlines - 0.4% - (continued) | ||||||||||
Delta Air Lines Inc./SkyMiles IP Ltd., Senior Secured Notes: | ||||||||||
$ 230,000 | Baa1(b) | 4.500% due 10/20/25(a) | $ | 248,443 | ||||||
120,000 | Baa1(b) | 4.750% due 10/20/28(a) | 131,196 | |||||||
170,000 | Baa3(b) | Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., Senior Secured Notes, 6.500% due 6/20/27(a) | 186,311 | |||||||
200,846 | BB | Northwest Airlines Inc. Class A-1 Pass-Through Trust, Series 2001-1, Pass-Thru Certificates, 7.041% due 4/1/22 | 200,959 | |||||||
95,743 | Ba3(b) | Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., Senior Secured Notes, | 108,668 | |||||||
United Airlines Class AA Pass-Through Trust, Pass-Thru Certificates: | ||||||||||
32,861 | A+ | 3.450% due 12/1/27 | 34,718 | |||||||
4,077 | A1(b) | 3.100% due 7/7/28 | 4,227 | |||||||
43,194 | A1(b) | 2.875% due 10/7/28 | 44,523 | |||||||
17,669 | A1(b) | 3.500% due 3/1/30 | 18,510 | |||||||
54,768 | A1(b) | 4.150% due 8/25/31 | 59,380 | |||||||
81,694 | A1(b) | 2.700% due 5/1/32 | 81,390 | |||||||
United Airlines Class B Pass-Through Trust, Pass-Thru Certificates: | ||||||||||
29,639 | BB | 4.750% due 4/11/22 | 30,248 | |||||||
43,600 | BB | 4.625% due 9/3/22 | 44,709 | |||||||
4,201 | Baa2(b) | 3.650% due 10/7/25 | 4,130 | |||||||
85,995 | Baa2(b) | 3.500% due 5/1/28 | 84,591 | |||||||
140,000 | BB- | United Airlines Inc., Senior Secured Notes, 4.625% due 4/15/29(a) | 144,816 | |||||||
|
| |||||||||
Total Airlines | 4,066,274 | |||||||||
|
| |||||||||
Apparel - 0.1% | ||||||||||
NIKE Inc., Senior Unsecured Notes: | ||||||||||
40,000 | AA- | 2.400% due 3/27/25 | 42,445 | |||||||
70,000 | AA- | 2.750% due 3/27/27 | 75,743 | |||||||
140,000 | AA- | 2.850% due 3/27/30 | 150,112 | |||||||
100,000 | AA- | 3.250% due 3/27/40 | 106,146 | |||||||
300,000 | AA- | 3.375% due 3/27/50 | 324,243 | |||||||
|
| |||||||||
Total Apparel | 698,689 | |||||||||
|
| |||||||||
Auto Manufacturers - 1.0% | ||||||||||
123,000 | A | BMW US Capital LLC, Company Guaranteed Notes, 2.550% due 4/1/31(a) | 126,295 | |||||||
Daimler Finance North America LLC, Company Guaranteed Notes: | ||||||||||
160,000 | BBB+ | 2.125% due 3/10/25(a) | 165,723 | |||||||
150,000 | BBB+ | 3.300% due 5/19/25(a) | 162,590 | |||||||
300,000 | BBB+ | 3.500% due 8/3/25(a) | 329,019 | |||||||
Ford Motor Co., Senior Unsecured Notes: | ||||||||||
40,000 | BB+ | 8.500% due 4/21/23 | 44,703 | |||||||
30,000 | BB+ | 4.750% due 1/15/43 | 30,305 | |||||||
Ford Motor Credit Co. LLC, Senior Unsecured Notes: | ||||||||||
440,000 | BB+ | 1.068% (3-Month USD-LIBOR + 0.880%) due 10/12/21(c) | 439,120 | |||||||
470,000 | BB+ | 3.339% due 3/28/22 | 477,050 | |||||||
1,250,000 | BB+ | 1.256% (3-Month USD-LIBOR + 1.080%) due 8/3/22(c) | 1,245,145 | |||||||
200,000 | BB+ | 4.000% due 11/13/30 | 204,244 | |||||||
General Motors Co., Senior Unsecured Notes: | ||||||||||
5,000 | BBB | 4.875% due 10/2/23 | 5,469 | |||||||
70,000 | BBB | 5.400% due 10/2/23 | 77,456 | |||||||
110,000 | BBB | 6.125% due 10/1/25 | 130,884 | |||||||
250,000 | BBB | 6.250% due 10/2/43 | 337,479 | |||||||
455,000 | BBB | 5.200% due 4/1/45 | 543,812 | |||||||
General Motors Financial Co., Inc.: | ||||||||||
Company Guaranteed Notes: | ||||||||||
760,000 | BBB | 3.200% due 7/6/21 | 760,241 | |||||||
1,183,000 | BBB | 4.375% due 9/25/21 | 1,198,114 | |||||||
95,000 | BBB | 3.450% due 4/10/22 | 97,079 |
120
Schedules of Investments
(unaudited) (continued)
Core Fixed Income Fund
Face Amount/Units | Rating | Security | Value | |||||||
CORPORATE BONDS & NOTES - 30.2% - (continued) | ||||||||||
Auto Manufacturers - 1.0% - (continued) | ||||||||||
$ 80,000 | BBB | 3.500% due 11/7/24 | $ | 86,356 | ||||||
236,000 | BBB | 4.000% due 1/15/25 | 257,787 | |||||||
156,000 | BBB | 4.000% due 10/6/26 | 172,795 | |||||||
100,000 | BBB | 4.350% due 1/17/27 | 112,699 | |||||||
Senior Unsecured Notes: | ||||||||||
642,000 | BBB | 4.200% due 11/6/21 | 652,679 | |||||||
505,000 | BBB | 5.200% due 3/20/23 | 546,128 | |||||||
313,000 | BBB | 2.750% due 6/20/25 | 331,046 | |||||||
Hyundai Capital America, Senior Unsecured Notes: | ||||||||||
10,000 | BBB+ | 3.750% due 7/8/21(a) | 10,032 | |||||||
250,000 | BBB+ | 3.950% due 2/1/22(a) | 255,716 | |||||||
412,000 | BBB+ | 2.375% due 2/10/23(a) | 423,569 | |||||||
Hyundai Capital Services Inc., Senior Unsecured Notes: | ||||||||||
200,000 | BBB+ | 3.000% due 8/29/22(a) | 205,796 | |||||||
200,000 | BBB+ | 3.750% due 3/5/23(a) | 210,435 | |||||||
Nissan Motor Acceptance Corp., Senior Unsecured Notes: | ||||||||||
20,000 | BBB- | 3.650% due 9/21/21(a) | 20,185 | |||||||
176,000 | BBB- | 2.750% due 3/9/28(a) | 176,932 | |||||||
Nissan Motor Co., Ltd., Senior Unsecured Notes: | ||||||||||
250,000 | BBB- | 3.043% due 9/15/23(a) | 261,681 | |||||||
400,000 | BBB- | 3.522% due 9/17/25(a) | 427,467 | |||||||
300,000 | BBB- | 4.345% due 9/17/27(a) | 327,922 | |||||||
Toyota Motor Credit Corp., Senior Unsecured Notes: | ||||||||||
3,000 | A+ | 3.450% due 9/20/23 | 3,217 | |||||||
192,000 | A+ | 3.000% due 4/1/25 | 208,113 | |||||||
|
| |||||||||
Total Auto Manufacturers | 11,065,283 | |||||||||
|
| |||||||||
Auto Parts & Equipment - 0.0% | ||||||||||
239,000 | A- | Magna International Inc., Senior Unsecured Notes, 2.450% due 6/15/30 | 242,967 | |||||||
|
| |||||||||
Banks - 7.9% | ||||||||||
Banco Santander SA, Senior Unsecured Notes: | ||||||||||
200,000 | A- | 3.848% due 4/12/23 | 212,413 | |||||||
400,000 | A | 2.706% due 6/27/24 | 423,719 | |||||||
600,000 | A- | 2.746% due 5/28/25 | 636,445 | |||||||
Bank of America Corp.: | ||||||||||
Senior Unsecured Notes: | ||||||||||
490,000 | A- | 4.125% due 1/22/24 | 537,200 | |||||||
902,000 | A- | 3.550% (3-Month USD-LIBOR + 0.780%) due 3/5/24(c) | 951,772 | |||||||
280,000 | A- | 4.000% due 4/1/24 | 307,658 | |||||||
458,000 | A- | 0.976% (SOFR + 0.690%) due 4/22/25(c) | 460,987 | |||||||
227,000 | A- | 0.981% (SOFR + 0.910%) due 9/25/25(c) | 228,506 | |||||||
210,000 | A- | 3.500% due 4/19/26 | 233,116 | |||||||
1,441,000 | A- | 1.319% (SOFR + 1.150%) due 6/19/26(c) | 1,452,584 | |||||||
180,000 | A- | 1.197% (SOFR + 1.010%) due 10/24/26(c) | 179,733 | |||||||
100,000 | A- | 3.559% (3-Month USD-LIBOR + 1.060%) due 4/23/27(c) | 110,046 | |||||||
360,000 | A- | 1.734% (SOFR + 0.960%) due 7/22/27(c) | 364,845 | |||||||
643,000 | A- | 3.824% (3-Month USD-LIBOR + 1.575%) due 1/20/28(c) | 718,293 | |||||||
252,000 | A- | 3.705% (3-Month USD-LIBOR + 1.512%) due 4/24/28(c) | 279,537 | |||||||
266,000 | A- | 3.593% (3-Month USD-LIBOR + 1.370%) due 7/21/28(c) | 293,424 | |||||||
435,000 | A- | 3.419% (3-Month USD-LIBOR + 1.040%) due 12/20/28(c) | 475,796 | |||||||
410,000 | A- | 3.970% (3-Month USD-LIBOR + 1.070%) due 3/5/29(c) | 459,291 | |||||||
291,000 | A- | 4.271% (3-Month USD-LIBOR + 1.310%) due 7/23/29(c) | 332,377 | |||||||
500,000 | A- | 3.974% (3-Month USD-LIBOR + 1.210%) due 2/7/30(c) | 561,619 | |||||||
809,000 | A- | 3.194% (3-Month USD-LIBOR + 1.180%) due 7/23/30(c) | 861,623 |
121
Schedules of Investments
(unaudited) (continued)
Core Fixed Income Fund
Face Amount/Units | Rating | Security | Value | |||||||
CORPORATE BONDS & NOTES - 30.2% - (continued) | ||||||||||
Banks - 7.9% - (continued) | ||||||||||
$ 593,000 | A- | 2.884% (3-Month USD-LIBOR + 1.190%) due 10/22/30(c) | $ | 617,620 | ||||||
190,000 | A- | 2.592% (SOFR + 2.150%) due 4/29/31(c) | 193,463 | |||||||
291,000 | A- | 4.078% (3-Month USD-LIBOR + 1.320%) due 4/23/40(c) | 333,307 | |||||||
147,000 | A- | 3.311% (SOFR + 1.580%) due 4/22/42(c) | 150,911 | |||||||
240,000 | A- | 5.000% due 1/21/44 | 306,095 | |||||||
710,000 | A- | 4.330% (3-Month USD-LIBOR + 1.520%) due 3/15/50(c) | 839,519 | |||||||
310,000 | A- | 4.083% (3-Month USD-LIBOR + 3.150%) due 3/20/51(c) | 354,502 | |||||||
Subordinated Notes: | ||||||||||
632,000 | BBB+ | 4.200% due 8/26/24 | 699,155 | |||||||
1,040,000 | BBB+ | 4.000% due 1/22/25 | 1,147,822 | |||||||
388,000 | BBB+ | 3.950% due 4/21/25 | 428,530 | |||||||
30,000 | BBB+ | 7.250% due 10/15/25 | 37,288 | |||||||
103,000 | BBB+ | 4.450% due 3/3/26 | 117,501 | |||||||
20,000 | BBB+ | 4.250% due 10/22/26 | 22,800 | |||||||
Bank of Montreal: | ||||||||||
300,000 | A- | Senior Unsecured Notes, 1.850% due 5/1/25 | 311,129 | |||||||
50,000 | BBB+ | Subordinated Notes, 3.803% (5-Year USD Swap Rate + 1.432%) due 12/15/32(c) | 55,367 | |||||||
Bank of New York Mellon Corp. (The), Senior Unsecured Notes: | ||||||||||
90,000 | A | 1.600% due 4/24/25 | 92,860 | |||||||
115,000 | A | 3.250% due 5/16/27 | 126,974 | |||||||
24,000 | A | 3.400% due 1/29/28 | 26,519 | |||||||
157,000 | A | 3.442% (3-Month USD-LIBOR + 1.069%) due 2/7/28(c) | 173,883 | |||||||
170,000 | A- | Bank of Nova Scotia (The), Senior Unsecured Notes, 1.300% due 6/11/25 | 172,072 | |||||||
200,000 | A | Barclays Bank PLC, Senior Unsecured Notes, 1.700% due 5/12/22 | 202,640 | |||||||
Barclays PLC: | ||||||||||
Senior Unsecured Notes: | ||||||||||
333,000 | BBB | 3.684% due 1/10/23 | 339,596 | |||||||
686,000 | BBB | 4.610% (3-Month USD-LIBOR + 1.400%) due 2/15/23(c) | 706,305 | |||||||
863,000 | BBB | 4.972% (3-Month USD-LIBOR + 1.902%) due 5/16/29(c) | 1,001,718 | |||||||
365,000 | BBB | 2.667% (1-Year CMT Index + 1.200%) due 3/10/32(c) | 362,390 | |||||||
Subordinated Notes: | ||||||||||
200,000 | BB+ | 5.088% (3-Month USD-LIBOR + 3.054%) due 6/20/30(c) | 230,885 | |||||||
213,000 | BB+ | 3.811% (1-Year CMT Index + 1.700%) due 3/10/42(c) | 214,270 | |||||||
BNP Paribas SA: | ||||||||||
Senior Unsecured Notes: | ||||||||||
470,000 | A- | 4.705% (3-Month USD-LIBOR + 2.235%) due 1/10/25(a)(c) | 516,354 | |||||||
490,000 | A- | 2.819% (3-Month USD-LIBOR + 1.111%) due 11/19/25(a)(c) | 518,164 | |||||||
220,000 | A- | 2.219% (SOFR + 2.074%) due 6/9/26(a)(c) | 227,748 | |||||||
750,000 | A- | 4.400% due 8/14/28(a) | 858,844 | |||||||
200,000 | BBB+ | Subordinated Notes, 4.375% (5-Year USD Swap Rate + 1.483%) due 3/1/33(a)(c) | 219,330 | |||||||
434,000 | A+ | BPCE SA, Senior Unsecured Notes, 2.700% due 10/1/29(a) | 447,426 | |||||||
CIT Group Inc., Senior Unsecured Notes: | ||||||||||
90,000 | BB+ | 4.750% due 2/16/24 | 98,142 | |||||||
40,000 | BB+ | 5.250% due 3/7/25 | 45,293 | |||||||
Citigroup Inc.: | ||||||||||
220,000 | BB+ | Junior Subordinated Notes, 5.950% (3-Month USD-LIBOR + 3.905%)(c)(d) | 242,110 | |||||||
Senior Unsecured Notes: | ||||||||||
180,000 | BBB+ | 1.678% (SOFR + 1.667%) due 5/15/24(c) | 184,482 | |||||||
120,000 | BBB+ | 3.106% (SOFR + 2.842%) due 4/8/26(c) | 129,140 | |||||||
390,000 | BBB+ | 1.122% (SOFR + 0.765%) due 1/28/27(c) | 385,736 | |||||||
100,000 | BBB+ | 3.980% (3-Month USD-LIBOR + 1.338%) due 3/20/30(c) | 112,647 | |||||||
210,000 | BBB+ | 4.412% (SOFR + 3.914%) due 3/31/31(c) | 241,710 | |||||||
70,000 | BBB+ | 2.572% (SOFR + 2.107%) due 6/3/31(c) | 70,937 |
122
Schedules of Investments
(unaudited) (continued)
Core Fixed Income Fund
Face Amount/Units | Rating | Security | Value | |||||||
CORPORATE BONDS & NOTES - 30.2% - (continued) | ||||||||||
Banks - 7.9% - (continued) | ||||||||||
$ 314,000 | BBB+ | 8.125% due 7/15/39 | $ | 529,101 | ||||||
196,000 | BBB+ | 4.650% due 7/30/45 | 242,981 | |||||||
70,000 | BBB+ | 4.650% due 7/23/48 | 87,720 | |||||||
Subordinated Notes: | ||||||||||
890,000 | BBB | 4.400% due 6/10/25 | 998,973 | |||||||
250,000 | BBB | 5.500% due 9/13/25 | 294,269 | |||||||
890,000 | BBB | 4.300% due 11/20/26 | 1,010,461 | |||||||
30,000 | BBB | 6.625% due 6/15/32 | 40,639 | |||||||
100,000 | BBB | 6.675% due 9/13/43 | 150,911 | |||||||
286,000 | BBB | 5.300% due 5/6/44 | 371,174 | |||||||
30,000 | BBB | 4.750% due 5/18/46 | 36,611 | |||||||
42,000 | BBB+ | Citizens Financial Group Inc., Senior Unsecured Notes, 2.850% due 7/27/26 | 45,013 | |||||||
58,000 | AA- | Commonwealth Bank of Australia, Senior Unsecured Notes, 3.900% due 7/12/47(a) | 66,796 | |||||||
Cooperatieve Rabobank UA, Company Guaranteed Notes: | ||||||||||
310,000 | BBB+ | 4.625% due 12/1/23 | 340,663 | |||||||
990,000 | BBB+ | 4.375% due 8/4/25 | 1,105,715 | |||||||
500,000 | A- | Credit Agricole SA, Senior Unsecured Notes, 1.907% (SOFR + 1.676%) due 6/16/26(a)(c) | 512,325 | |||||||
250,000 | A+ | Credit Suisse AG, Senior Unsecured Notes, 2.950% due 4/9/25 | 268,831 | |||||||
Credit Suisse Group AG, Senior Unsecured Notes: | ||||||||||
272,000 | BBB+ | 3.750% due 3/26/25 | 295,803 | |||||||
625,000 | BBB+ | 4.550% due 4/17/26 | 709,622 | |||||||
780,000 | BBB+ | 2.193% (SOFR + 2.044%) due 6/5/26(a)(c) | 800,744 | |||||||
435,000 | BBB+ | 1.305% (SOFR + 0.980%) due 2/2/27(a)(c) | 426,364 | |||||||
65,000 | BBB+ | 4.282% due 1/9/28(a) | 72,363 | |||||||
250,000 | BBB+ | 4.194% (SOFR + 3.730%) due 4/1/31(a)(c) | 278,304 | |||||||
1,101,000 | BBB+ | 3.091% (SOFR + 1.730%) due 5/14/32(a)(c) | 1,121,432 | |||||||
Danske Bank AS, Senior Unsecured Notes: | ||||||||||
200,000 | BBB+ | 5.000% due 1/12/22(a) | 205,435 | |||||||
430,000 | BBB+ | 3.001% (3-Month USD-LIBOR + 1.249%) due 9/20/22(a)(c) | 433,060 | |||||||
327,000 | BBB+ | 5.000% (1-Year CMT Index + 1.730%) due 1/12/23(a)(c) | 335,504 | |||||||
200,000 | BBB+ | 3.875% due 9/12/23(a) | 213,699 | |||||||
272,000 | BBB+ | 1.171% (1-Year CMT Index + 1.030%) due 12/8/23(a)(c) | 273,502 | |||||||
1,235,000 | BBB+ | 5.375% due 1/12/24(a) | 1,377,354 | |||||||
944,000 | A | 1.226% due 6/22/24(a) | 956,413 | |||||||
Deutsche Bank AG, Senior Unsecured Notes: | ||||||||||
256,000 | A3(b) | 0.898% due 5/28/24 | 256,422 | |||||||
474,000 | BBB- | 1.447% (SOFR + 1.131%) due 4/1/25(c) | 478,702 | |||||||
38,000 | BBB- | 4.100% due 1/13/26 | 41,884 | |||||||
520,000 | BBB+ | 1.686% due 3/19/26 | 525,672 | |||||||
441,000 | BBB- | 2.129% (SOFR + 1.870%) due 11/24/26(c) | 448,957 | |||||||
162,000 | Baa3(b) | 3.035% (SOFR + 1.718%) due 5/28/32(c) | 162,374 | |||||||
21,000 | BB | Goldman Sachs Capital II, Limited Guaranteed Notes, 4.000% (3-Month USD-LIBOR + 0.768%)(c)(d) | 20,517 | |||||||
Goldman Sachs Group Inc. (The): | ||||||||||
Senior Unsecured Notes: | ||||||||||
40,000 | BBB+ | 0.966% (3-Month USD-LIBOR + 0.780%) due 10/31/22(c) | 40,109 | |||||||
738,000 | BBB+ | 2.876% (3-Month USD-LIBOR + 0.821%) due 10/31/22(c) | 745,845 | |||||||
130,000 | BBB+ | 3.200% due 2/23/23 | 136,120 | |||||||
245,000 | BBB+ | 2.908% (3-Month USD-LIBOR + 1.053%) due 6/5/23(c) | 251,263 | |||||||
1,913,000 | BBB+ | 3.500% due 4/1/25 | 2,085,532 | |||||||
437,000 | BBB+ | 3.750% due 5/22/25 | 480,821 | |||||||
57,000 | BBB+ | 3.750% due 2/25/26 | 63,425 | |||||||
150,000 | BBB+ | 1.326% (3-Month USD-LIBOR + 1.170%) due 5/15/26(c) | 154,199 | |||||||
613,000 | BBB+ | 3.500% due 11/16/26 | 670,348 |
123
Schedules of Investments
(unaudited) (continued)
Core Fixed Income Fund
Face Amount/Units | Rating | Security | Value | |||||||
CORPORATE BONDS & NOTES - 30.2% - (continued) | ||||||||||
Banks - 7.9% - (continued) | ||||||||||
$ 685,000 | BBB+ | 1.431% (SOFR + 0.798%) due 3/9/27(c) | $ | 685,901 | ||||||
185,000 | BBB+ | 3.691% (3-Month USD-LIBOR + 1.510%) due 6/5/28(c) | 204,801 | |||||||
620,000 | BBB+ | 3.814% (3-Month USD-LIBOR + 1.158%) due 4/23/29(c) | 688,256 | |||||||
1,330,000 | BBB+ | 4.223% (3-Month USD-LIBOR + 1.301%) due 5/1/29(c) | 1,510,970 | |||||||
346,000 | BBB+ | 4.411% (3-Month USD-LIBOR + 1.430%) due 4/23/39(c) | 410,414 | |||||||
210,000 | BBB+ | 6.250% due 2/1/41 | 302,550 | |||||||
91,000 | BBB+ | 3.210% (SOFR + 1.513%) due 4/22/42(c) | 92,291 | |||||||
200,000 | BBB+ | 4.750% due 10/21/45 | 253,609 | |||||||
Subordinated Notes: | ||||||||||
600,000 | BBB- | 4.250% due 10/21/25 | 674,782 | |||||||
460,000 | BBB- | 6.750% due 10/1/37 | 656,977 | |||||||
290,000 | BBB- | 5.150% due 5/22/45 | 379,566 | |||||||
HSBC Holdings PLC: | ||||||||||
Senior Unsecured Notes: | ||||||||||
200,000 | A- | 3.262% (3-Month USD-LIBOR + 1.055%) due 3/13/23(c) | 204,711 | |||||||
105,000 | A- | 2.633% (SOFR + 1.402%) due 11/7/25(c) | 110,855 | |||||||
510,000 | A- | 1.589% (SOFR + 1.290%) due 5/24/27(c) | 512,704 | |||||||
785,000 | A- | 2.013% (SOFR+ 1.732%) due 9/22/28(c) | 786,696 | |||||||
288,000 | A- | 4.583% (3-Month USD-LIBOR + 1.535%) due 6/19/29(c) | 330,414 | |||||||
229,000 | A- | 4.950% due 3/31/30 | 271,848 | |||||||
676,000 | A- | 3.973% (3-Month USD-LIBOR + 1.610%) due 5/22/30(c) | 747,231 | |||||||
255,000 | A- | 2.804% (SOFR + 1.187%) due 5/24/32(c) | 258,101 | |||||||
190,000 | BBB | Subordinated Notes, 6.500% due 9/15/37 | 259,336 | |||||||
100,000 | A- | HSBC USA Inc., Senior Unsecured Notes, 3.500% due 6/23/24 | 108,747 | |||||||
200,000 | A- | ING Groep NV, Senior Unsecured Notes, 1.726% (SOFR + 1.005%) due 4/1/27(c) | 202,595 | |||||||
Intesa Sanpaolo SpA: | ||||||||||
Senior Unsecured Notes: | ||||||||||
200,000 | BBB | 3.125% due 7/14/22(a) | 205,715 | |||||||
200,000 | BBB | 3.375% due 1/12/23(a) | 208,723 | |||||||
200,000 | BB+ | Subordinated Notes, 5.017% due 6/26/24(a) | 218,180 | |||||||
JPMorgan Chase & Co.: | ||||||||||
Senior Unsecured Notes: | ||||||||||
55,000 | A- | 1.406% (3-Month USD-LIBOR + 1.230%) due 10/24/23(c) | 55,828 | |||||||
460,000 | A- | 1.514% (SOFR + 1.455%) due 6/1/24(c) | 469,782 | |||||||
455,000 | A- | 4.023% (3-Month USD-LIBOR + 1.000%) due 12/5/24(c) | 493,353 | |||||||
282,000 | A- | 2.301% (SOFR + 1.160%) due 10/15/25(c) | 295,526 | |||||||
1,140,000 | A- | 2.005% (SOFR + 1.585%) due 3/13/26(c) | 1,182,858 | |||||||
430,000 | A- | 2.083% (SOFR + 1.850%) due 4/22/26(c) | 447,030 | |||||||
145,000 | A- | 2.950% due 10/1/26 | 156,814 | |||||||
644,000 | A- | 3.960% (3-Month USD-LIBOR + 1.245%) due 1/29/27(c) | 721,017 | |||||||
1,595,000 | A- | 1.578% (SOFR + 0.885%) due 4/22/27(c) | 1,608,480 | |||||||
677,000 | A- | 3.782% (3-Month USD-LIBOR + 1.337%) due 2/1/28(c) | 754,388 | |||||||
270,000 | A- | 3.540% (3-Month USD-LIBOR + 1.380%) due 5/1/28(c) | 297,934 | |||||||
422,000 | A- | 4.005% (3-Month USD-LIBOR + 1.120%) due 4/23/29(c) | 475,541 | |||||||
480,000 | A- | 4.203% (3-Month USD-LIBOR + 1.260%) due 7/23/29(c) | 549,926 | |||||||
864,000 | A- | 4.452% (3-Month USD-LIBOR + 1.330%) due 12/5/29(c) | 1,002,063 | |||||||
150,000 | A- | 2.522% (SOFR + 2.040%) due 4/22/31(c) | 152,365 | |||||||
314,000 | A- | 3.109% (SOFR + 2.460%) due 4/22/41(c) | 315,778 | |||||||
38,000 | A- | 4.260% (3-Month USD-LIBOR + 1.580%) due 2/22/48(c) | 44,529 | |||||||
199,000 | A- | 4.032% (3-Month USD-LIBOR + 1.460%) due 7/24/48(c) | 225,661 | |||||||
335,000 | A- | 3.964% (3-Month USD-LIBOR + 1.380%) due 11/15/48(c) | 376,473 | |||||||
49,000 | A- | 3.897% (3-Month USD-LIBOR + 1.220%) due 1/23/49(c) | 54,535 | |||||||
50,000 | A- | 3.109% (SOFR + 2.440%) due 4/22/51(c) | 49,235 |
124
Schedules of Investments
(unaudited) (continued)
Core Fixed Income Fund
Face Amount/Units | Rating | Security | Value | |||||||
CORPORATE BONDS & NOTES - 30.2% - (continued) | ||||||||||
Banks - 7.9% - (continued) | ||||||||||
Subordinated Notes: | ||||||||||
$ 270,000 | BBB+ | 3.875% due 9/10/24 | $ | 296,015 | ||||||
210,000 | BBB+ | 4.250% due 10/1/27 | 241,961 | |||||||
490,000 | BBB+ | 4.950% due 6/1/45 | 623,883 | |||||||
47,000 | BBB+ | KeyCorp, Senior Unsecured Notes, 2.250% due 4/6/27 | 48,958 | |||||||
Lloyds Banking Group PLC: | ||||||||||
Senior Unsecured Notes: | ||||||||||
399,000 | BBB+ | 1.326% (1-Year CMT Index + 1.100%) due 6/15/23(c) | 402,789 | |||||||
860,000 | BBB+ | 2.907% (3-Month USD-LIBOR + 0.810%) due 11/7/23(c) | 890,097 | |||||||
400,000 | BBB+ | 3.900% due 3/12/24 | 436,854 | |||||||
273,000 | BBB+ | 3.750% due 1/11/27 | 302,875 | |||||||
350,000 | BBB+ | 1.627% (1-Year CMT Index + 0.850%) due 5/11/27(c) | 351,714 | |||||||
468,000 | BBB+ | 4.375% due 3/22/28 | 535,557 | |||||||
245,000 | BBB- | Subordinated Notes, 4.582% due 12/10/25 | 276,684 | |||||||
540,000 | BBB+ | Macquarie Group Ltd., Senior Unsecured Notes, 1.340% (SOFR + 1.069%) due 1/12/27(a)(c) | 535,479 | |||||||
Mizuho Financial Group Inc., Senior Unsecured Notes: | ||||||||||
738,000 | A- | 2.839% (SOFR + 1.242%) due 7/16/25(c) | 782,564 | |||||||
536,000 | A- | 2.226% (3-Month USD-LIBOR + 0.830%) due 5/25/26(c) | 556,095 | |||||||
655,000 | A- | 1.979% (SOFR + 1.532%) due 9/8/31(c) | 631,120 | |||||||
250,000 | AA+ | National Securities Clearing Corp., Senior Unsecured Notes, 1.500% due 4/23/25(a) | 255,777 | |||||||
Natwest Group PLC, Senior Unsecured Notes: | ||||||||||
200,000 | BBB | 4.519% (3-Month USD-LIBOR + 1.550%) due 6/25/24(c) | 215,865 | |||||||
200,000 | BBB | 4.269% (3-Month USD-LIBOR + 1.762%) due 3/22/25(c) | 218,347 | |||||||
400,000 | BBB | 5.076% (3-Month USD-LIBOR + 1.905%) due 1/27/30(c) | 468,668 | |||||||
33,000 | A+ | Northern Trust Corp., Senior Unsecured Notes, 3.150% due 5/3/29 | 36,039 | |||||||
Royal Bank of Canada, Senior Unsecured Notes: | ||||||||||
260,000 | A | 1.600% due 4/17/23 | 266,631 | |||||||
160,000 | A | 1.150% due 6/10/25 | 161,183 | |||||||
30,000 | BBB+ | Santander Holdings USA Inc., Senior Unsecured Notes, 4.500% due 7/17/25 | 33,468 | |||||||
Santander UK Group Holdings PLC, Senior Unsecured Notes: | ||||||||||
360,000 | BBB | 3.373% (3-Month USD-LIBOR + 1.080%) due 1/5/24(c) | 376,263 | |||||||
180,000 | BBB | 4.796% (3-Month USD-LIBOR + 1.570%) due 11/15/24(c) | 198,002 | |||||||
550,000 | BBB | 1.089% (SOFR + 0.787%) due 3/15/25(c) | 554,011 | |||||||
582,000 | BBB | 1.532% (1-Year CMT Index + 1.250%) due 8/21/26(c) | 585,424 | |||||||
175,000 | BBB- | Santander UK PLC, Subordinated Notes, 5.000% due 11/7/23(a) | 191,685 | |||||||
Sumitomo Mitsui Financial Group Inc., Senior Unsecured Notes: | ||||||||||
200,000 | A- | 3.040% due 7/16/29 | 212,227 | |||||||
200,000 | A- | 2.750% due 1/15/30 | 207,545 | |||||||
200,000 | A+ | Swedbank AB, Senior Unsecured Notes, 1.300% due 6/2/23(a) | 203,436 | |||||||
96,000 | BBB- | Synovus Financial Corp., Senior Unsecured Notes, 3.125% due 11/1/22 | 99,005 | |||||||
Toronto-Dominion Bank (The), Senior Unsecured Notes: | ||||||||||
310,000 | A | 0.750% due 6/12/23 | 312,918 | |||||||
150,000 | A | 1.150% due 6/12/25 | 151,590 | |||||||
290,000 | A+ | UBS AG, Senior Unsecured Notes, 1.750% due 4/21/22(a) | 293,697 | |||||||
UBS Group AG: | ||||||||||
1,070,000 | BB | Junior Subordinated Notes, 7.000% (5-Year USD Swap Rate + 4.344%)(a)(c)(d) | 1,179,755 | |||||||
Senior Unsecured Notes: | ||||||||||
260,000 | A- | 2.650% due 2/1/22(a) | 264,265 | |||||||
650,000 | A- | 3.491% due 5/23/23(a) | 669,755 | |||||||
795,000 | A- | 2.859% (3-Month USD-LIBOR + 0.954%) due 8/15/23(a)(c) | 818,083 | |||||||
UniCredit SpA: | ||||||||||
580,000 | BBB- | Senior Unsecured Notes, 6.572% due 1/14/22(a) | 600,828 | |||||||
200,000 | BB+ | Subordinated Notes, 7.296% (5-Year USD 1100 Run ICE Swap Rate + 4.914%) | 239,150 |
125
Schedules of Investments
(unaudited) (continued)
Core Fixed Income Fund
Face Amount/Units | Rating | Security | Value | |||||||
CORPORATE BONDS & NOTES - 30.2% - (continued) | ||||||||||
Banks - 7.9% - (continued) | ||||||||||
US Bancorp: | ||||||||||
$ 350,000 | A+ | Senior Unsecured Notes, 1.450% due 5/12/25 | $ | 359,038 | ||||||
56,000 | A- | Subordinated Notes, 3.100% due 4/27/26 | 61,193 | |||||||
Wells Fargo & Co.: | ||||||||||
50,000 | BB+ | Junior Subordinated Notes, 5.875% (3-Month USD-LIBOR + 3.990%)(c)(d) | 55,750 | |||||||
Senior Unsecured Notes: | ||||||||||
270,000 | BBB+ | 3.750% due 1/24/24 | 292,044 | |||||||
135,000 | BBB+ | 3.000% due 2/19/25 | 145,349 | |||||||
201,000 | BBB+ | 2.164% (3-Month USD-LIBOR + 0.750%) due 2/11/26(c) | 209,713 | |||||||
300,000 | BBB+ | 2.188% (SOFR + 2.000%) due 4/30/26(c) | 313,033 | |||||||
260,000 | BBB+ | 3.000% due 10/23/26 | 282,090 | |||||||
1,508,000 | BBB+ | 3.584% (3-Month USD-LIBOR + 1.310%) due 5/22/28(c) | 1,668,009 | |||||||
690,000 | BBB+ | 4.150% due 1/24/29 | 789,126 | |||||||
806,000 | BBB+ | 2.879% (SOFR + 1.432%) due 10/30/30(c) | 845,056 | |||||||
100,000 | BBB+ | 4.478% (SOFR + 4.032%) due 4/4/31(c) | 116,627 | |||||||
83,000 | BBB+ | 5.375% due 2/7/35 | 109,701 | |||||||
362,000 | BBB+ | 3.068% (SOFR + 2.530%) due 4/30/41(c) | 362,486 | |||||||
1,500,000 | BBB+ | 5.013% (SOFR + 4.502%) due 4/4/51(c) | 1,987,684 | |||||||
Subordinated Notes: | ||||||||||
330,000 | BBB | 3.450% due 2/13/23 | 347,286 | |||||||
169,000 | BBB | 4.480% due 1/16/24 | 186,113 | |||||||
230,000 | BBB | 5.375% due 11/2/43 | 296,762 | |||||||
110,000 | BBB | 5.606% due 1/15/44 | 145,651 | |||||||
280,000 | BBB | 4.650% due 11/4/44 | 332,962 | |||||||
450,000 | BBB | 4.900% due 11/17/45 | 552,901 | |||||||
40,000 | BBB | 4.400% due 6/14/46 | 46,476 | |||||||
160,000 | BBB | 4.750% due 12/7/46 | 195,086 | |||||||
517,000 | A+ | Wells Fargo Bank NA, Senior Unsecured Notes, 2.082% (3-Month USD-LIBOR + 0.650%) due 9/9/22(c) | 519,673 | |||||||
|
| |||||||||
Total Banks | 89,769,300 | |||||||||
|
| |||||||||
Beverages - 0.6% | ||||||||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide Inc., Company Guaranteed Notes: | ||||||||||
340,000 | BBB+ | 3.650% due 2/1/26 | 376,643 | |||||||
1,202,000 | BBB+ | 4.700% due 2/1/36 | 1,435,401 | |||||||
1,115,000 | BBB+ | 4.900% due 2/1/46 | 1,346,302 | |||||||
Anheuser-Busch InBev Worldwide Inc., Company Guaranteed Notes: | ||||||||||
160,000 | BBB+ | 4.000% due 4/13/28 | 181,832 | |||||||
260,000 | BBB+ | 3.500% due 6/1/30 | 285,342 | |||||||
160,000 | BBB+ | 4.350% due 6/1/40 | 183,278 | |||||||
270,000 | BBB+ | 5.550% due 1/23/49 | 354,424 | |||||||
335,000 | BBB+ | 4.500% due 6/1/50 | 385,831 | |||||||
2,000 | BBB+ | 4.750% due 4/15/58 | 2,350 | |||||||
140,000 | BBB- | Bacardi Ltd., Company Guaranteed Notes, 5.300% due 5/15/48(a) | 176,213 | |||||||
Coca-Cola Co. (The), Senior Unsecured Notes: | ||||||||||
110,000 | A+ | 3.375% due 3/25/27 | 123,099 | |||||||
160,000 | A+ | 1.450% due 6/1/27 | 161,986 | |||||||
217,000 | A+ | 2.125% due 9/6/29 | 220,818 | |||||||
144,000 | A+ | 1.650% due 6/1/30 | 139,245 | |||||||
60,000 | A+ | 1.375% due 3/15/31 | 56,303 | |||||||
10,000 | A+ | 2.500% due 6/1/40 | 9,502 | |||||||
60,000 | A+ | 2.600% due 6/1/50 | 54,978 | |||||||
145,000 | BBB | Keurig Dr Pepper Inc., Company Guaranteed Notes, 3.200% due 5/1/30 | 154,498 | |||||||
PepsiCo Inc., Senior Unsecured Notes: | ||||||||||
180,000 | A+ | 0.750% due 5/1/23 | 181,988 |
126
Schedules of Investments
(unaudited) (continued)
Core Fixed Income Fund
Face Amount/Units | Rating | Security | Value | |||||||
CORPORATE BONDS & NOTES - 30.2% - (continued) | ||||||||||
Beverages - 0.6% - (continued) | ||||||||||
$ 20,000 | A+ | 2.625% due 3/19/27 | $ | 21,610 | ||||||
150,000 | A+ | 1.625% due 5/1/30 | 146,133 | |||||||
60,000 | A+ | 2.875% due 10/15/49 | 59,517 | |||||||
20,000 | A+ | 3.625% due 3/19/50 | 22,382 | |||||||
40,000 | A+ | 3.875% due 3/19/60 | 47,042 | |||||||
355,000 | BBB | Suntory Holdings Ltd., Senior Unsecured Notes, 2.250% due 10/16/24(a) | 370,339 | |||||||
|
| |||||||||
Total Beverages | 6,497,056 | |||||||||
|
| |||||||||
Biotechnology - 0.1% | ||||||||||
Amgen Inc., Senior Unsecured Notes: | ||||||||||
70,000 | A- | 3.625% due 5/22/24 | 76,003 | |||||||
107,000 | A- | 3.150% due 2/21/40 | 108,606 | |||||||
91,000 | A- | 4.400% due 5/1/45 | 106,885 | |||||||
29,000 | A- | 3.375% due 2/21/50 | 29,410 | |||||||
65,000 | A- | 4.663% due 6/15/51 | 80,431 | |||||||
Biogen Inc., Senior Unsecured Notes: | ||||||||||
149,000 | A- | 2.250% due 5/1/30 | 147,156 | |||||||
70,000 | A- | 3.150% due 5/1/50 | 65,474 | |||||||
65,000 | A+ | Celgene Corp., Senior Unsecured Notes, 3.900% due 2/20/28 | 71,743 | |||||||
Gilead Sciences Inc., Senior Unsecured Notes: | ||||||||||
160,000 | BBB+ | 3.700% due 4/1/24 | 172,983 | |||||||
60,000 | BBB+ | 3.650% due 3/1/26 | 66,402 | |||||||
211,000 | BBB+ | 4.800% due 4/1/44 | 257,308 | |||||||
48,000 | BBB+ | 4.500% due 2/1/45 | 56,412 | |||||||
130,000 | BBB+ | 4.750% due 3/1/46 | 158,605 | |||||||
|
| |||||||||
Total Biotechnology | 1,397,418 | |||||||||
|
| |||||||||
Building Materials - 0.0% | ||||||||||
Carrier Global Corp., Senior Unsecured Notes: | ||||||||||
361,000 | BBB | 2.242% due 2/15/25 | 377,693 | |||||||
70,000 | BBB | 3.377% due 4/5/40 | 71,539 | |||||||
10,000 | BBB | 3.577% due 4/5/50 | 10,209 | |||||||
|
| |||||||||
Total Building Materials | 459,441 | |||||||||
|
| |||||||||
Chemicals - 0.2% | ||||||||||
80,000 | A | Air Products & Chemicals Inc., Senior Unsecured Notes, 2.800% due 5/15/50 | 76,530 | |||||||
65,000 | BBB- | Dow Chemical Co. (The), Senior Unsecured Notes, 4.800% due 5/15/49 | 80,053 | |||||||
392,000 | BBB+ | DuPont de Nemours Inc., Senior Unsecured Notes, 4.493% due 11/15/25 | 447,454 | |||||||
200,000 | BBB | Equate Petrochemical BV, Company Guaranteed Notes, 4.250% due 11/3/26(a) | 222,374 | |||||||
405,000 | BBB | International Flavors & Fragrances Inc., Senior Unsecured Notes, 5.000% due 9/26/48 | 500,312 | |||||||
32,000 | BBB- | LYB International Finance III LLC, Company Guaranteed Notes, 4.200% due 10/15/49 | 35,238 | |||||||
25,000 | BBB- | LyondellBasell Industries NV, Senior Unsecured Notes, 4.625% due 2/26/55 | 28,936 | |||||||
30,000 | BBB | Monsanto Co., Senior Unsecured Notes, 4.400% due 7/15/44 | 31,410 | |||||||
200,000 | BB+ | OCP SA, Senior Unsecured Notes, 4.500% due 10/22/25(a) | 214,425 | |||||||
Orbia Advance Corp. SAB de CV, Company Guaranteed Notes: | ||||||||||
270,000 | BBB- | 1.875% due 5/11/26(a) | 271,971 | |||||||
260,000 | BBB- | 2.875% due 5/11/31(a) | 260,130 | |||||||
Sherwin-Williams Co. (The), Senior Unsecured Notes: | ||||||||||
210,000 | BBB | 4.200% due 1/15/22 | 213,044 | |||||||
28,000 | BBB | 4.500% due 6/1/47 | 33,636 | |||||||
36,000 | BBB | 3.800% due 8/15/49 | 39,323 | |||||||
|
| |||||||||
Total Chemicals | 2,454,836 | |||||||||
|
| |||||||||
Commercial Services - 0.3% | ||||||||||
110,000 | A- | Cintas Corp. No 2, Company Guaranteed Notes, 3.700% due 4/1/27 | 123,745 | |||||||
270,000 | BBB- | Global Payments Inc., Senior Unsecured Notes, 3.200% due 8/15/29 | 284,943 | |||||||
IHS Markit Ltd.: |
127
Schedules of Investments
(unaudited) (continued)
Core Fixed Income Fund
Face Amount/Units | Rating | Security | Value | |||||||
CORPORATE BONDS & NOTES - 30.2% - (continued) | ||||||||||
Commercial Services - 0.3% - (continued) | ||||||||||
Company Guaranteed Notes: | ||||||||||
$ 584,000 | Ba1(b) | 5.000% due 11/1/22(a) | $ | 613,674 | ||||||
112,000 | Ba1(b) | 4.750% due 2/15/25(a) | 125,765 | |||||||
28,000 | Ba1(b) | 4.000% due 3/1/26(a) | 31,032 | |||||||
450,000 | Ba1(b) | Senior Unsecured Notes, 4.750% due 8/1/28 | 525,368 | |||||||
46,000 | BBB+ | Moodys Corp., Senior Unsecured Notes, 4.250% due 2/1/29 | 52,709 | |||||||
PayPal Holdings Inc., Senior Unsecured Notes: | ||||||||||
130,000 | BBB+ | 1.350% due 6/1/23 | 132,662 | |||||||
65,000 | BBB+ | 2.400% due 10/1/24 | 68,709 | |||||||
140,000 | BBB+ | 1.650% due 6/1/25 | 144,824 | |||||||
100,000 | BBB+ | 2.300% due 6/1/30 | 101,402 | |||||||
RELX Capital Inc., Company Guaranteed Notes: | ||||||||||
305,000 | BBB+ | 3.500% due 3/16/23 | 320,908 | |||||||
59,000 | BBB+ | 4.000% due 3/18/29 | 66,300 | |||||||
308,000 | BBB+ | 3.000% due 5/22/30 | 323,538 | |||||||
20,000 | BBB- | United Rentals North America Inc., Secured Notes, 3.875% due 11/15/27 | 21,023 | |||||||
|
| |||||||||
Total Commercial Services | 2,936,602 | |||||||||
|
| |||||||||
Computers - 0.4% | ||||||||||
Apple Inc., Senior Unsecured Notes: | ||||||||||
300,000 | AA+ | 2.400% due 5/3/23 | 312,069 | |||||||
290,000 | AA+ | 1.125% due 5/11/25 | 294,632 | |||||||
280,000 | AA+ | 2.450% due 8/4/26 | 298,665 | |||||||
550,000 | AA+ | 3.350% due 2/9/27 | 611,472 | |||||||
360,000 | AA+ | 2.900% due 9/12/27 | 392,140 | |||||||
25,000 | AA+ | 2.375% due 2/8/41 | 23,393 | |||||||
55,000 | AA+ | 3.850% due 5/4/43 | 62,775 | |||||||
165,000 | AA+ | 4.375% due 5/13/45 | 202,366 | |||||||
111,000 | AA+ | 2.800% due 2/8/61 | 102,432 | |||||||
70,000 | BBB- | Dell International LLC/EMC Corp., Senior Secured Notes, 8.350% due 7/15/46(a) | 109,965 | |||||||
227,000 | BBB | Hewlett Packard Enterprise Co., Senior Unsecured Notes, 4.650% due 10/1/24 | 253,799 | |||||||
International Business Machines Corp., Senior Unsecured Notes: | ||||||||||
680,000 | A- | 3.000% due 5/15/24 | 729,550 | |||||||
349,000 | A- | 3.300% due 5/15/26 | 384,387 | |||||||
220,000 | A- | 2.850% due 5/15/40 | 214,029 | |||||||
Leidos Inc., Company Guaranteed Notes: | ||||||||||
560,000 | BBB- | 4.375% due 5/15/30(a) | 629,742 | |||||||
143,000 | BBB- | 2.300% due 2/15/31(a) | 137,040 | |||||||
71,000 | BB+ | Seagate HDD Cayman, Company Guaranteed Notes, 4.091% due 6/1/29(a) | 71,624 | |||||||
|
| |||||||||
Total Computers | 4,830,080 | |||||||||
|
| |||||||||
Cosmetics/Personal Care - 0.0% | ||||||||||
Procter & Gamble Co. (The), Senior Unsecured Notes: | ||||||||||
30,000 | AA- | 2.800% due 3/25/27 | 32,684 | |||||||
80,000 | AA- | 3.000% due 3/25/30 | 87,298 | |||||||
|
| |||||||||
Total Cosmetics/Personal Care | 119,982 | |||||||||
|
| |||||||||
Diversified Financial Services - 0.8% | ||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Company Guaranteed Notes: | ||||||||||
290,000 | BBB | 3.950% due 2/1/22 | 295,603 | |||||||
280,000 | BBB | 4.875% due 1/16/24 | 305,497 | |||||||
190,000 | BBB | 3.150% due 2/15/24 | 199,364 | |||||||
350,000 | BBB | 3.500% due 1/15/25 | 370,399 | |||||||
150,000 | BBB | 4.450% due 4/3/26 | 164,736 | |||||||
Air Lease Corp., Senior Unsecured Notes: | ||||||||||
460,000 | BBB | 3.500% due 1/15/22 | 468,853 |
128
Schedules of Investments
(unaudited) (continued)
Core Fixed Income Fund
Face Amount/Units | Rating | Security | Value | |||||||
CORPORATE BONDS & NOTES - 30.2% - (continued) | ||||||||||
Diversified Financial Services - 0.8% - (continued) | ||||||||||
$ 495,000 | BBB | 3.250% due 3/1/25 | $ | 525,716 | ||||||
200,000 | BBB | 3.375% due 7/1/25 | 214,961 | |||||||
Avolon Holdings Funding Ltd., Company Guaranteed Notes: | ||||||||||
75,000 | BBB- | 5.250% due 5/15/24(a) | 82,410 | |||||||
500,000 | BBB- | 2.875% due 2/15/25(a) | 515,283 | |||||||
71,000 | BBB | Capital One Financial Corp., Senior Unsecured Notes, 3.750% due 3/9/27 | 79,623 | |||||||
120,000 | A | Charles Schwab Corp. (The), Senior Unsecured Notes, 3.250% due 5/22/29 | 131,103 | |||||||
100,000 | AA- | CME Group Inc., Senior Unsecured Notes, 3.750% due 6/15/28 | 113,462 | |||||||
99,000 | A+ | Credit Suisse USA Inc., Company Guaranteed Notes, 7.125% due 7/15/32 | 140,975 | |||||||
35,000 | BBB- | Discover Financial Services, Senior Unsecured Notes, 4.100% due 2/9/27 | 39,327 | |||||||
1,586,000 | BBB+ | GE Capital International Funding Co. Unlimited Co., Company Guaranteed Notes, 4.418% due 11/15/35 | 1,851,600 | |||||||
340,000 | BBB+ | Intercontinental Exchange Inc., Senior Unsecured Notes, 2.100% due 6/15/30 | 335,131 | |||||||
30,000 | A | KKR Group Finance Co. II LLC, Company Guaranteed Notes, 5.500% due 2/1/43(a) | 39,081 | |||||||
650,000 | NR | Lehman Brothers Holdings Inc., Subordinated Notes, 6.750% due 12/18/17#(e)(f)(g) | | |||||||
535,000 | A | LSEGA Financing PLC, Company Guaranteed Notes, 2.000% due 4/6/28(a) | 536,874 | |||||||
Mastercard Inc., Senior Unsecured Notes: | ||||||||||
123,000 | A+ | 3.350% due 3/26/30 | 136,868 | |||||||
30,000 | A+ | 3.850% due 3/26/50 | 34,550 | |||||||
Park Aerospace Holdings Ltd., Company Guaranteed Notes: | ||||||||||
779,000 | BBB- | 5.250% due 8/15/22(a) | 819,186 | |||||||
60,000 | BBB- | 5.500% due 2/15/24(a) | 65,987 | |||||||
220,000 | BBB+ | Raymond James Financial Inc., Senior Unsecured Notes, 4.950% due 7/15/46 | 279,805 | |||||||
Synchrony Financial, Senior Unsecured Notes: | ||||||||||
6,000 | BBB- | 4.500% due 7/23/25 | 6,730 | |||||||
68,000 | BBB- | 3.700% due 8/4/26 | 74,590 | |||||||
150,000 | AA | USAA Capital Corp., Senior Unsecured Notes, 2.125% due 5/1/30(a) | 150,281 | |||||||
Visa Inc., Senior Unsecured Notes: | ||||||||||
420,000 | AA- | 3.150% due 12/14/25 | 460,959 | |||||||
110,000 | AA- | 2.050% due 4/15/30 | 111,619 | |||||||
154,000 | AA- | 4.150% due 12/14/35 | 185,109 | |||||||
310,000 | AA- | 4.300% due 12/14/45 | 381,801 | |||||||
|
| |||||||||
Total Diversified Financial Services | 9,117,483 | |||||||||
|
| |||||||||
Electric - 1.2% | ||||||||||
AEP Texas Inc., Senior Unsecured Notes: | ||||||||||
50,000 | A- | 2.400% due 10/1/22 | 51,253 | |||||||
82,000 | A- | 3.450% due 1/15/50 | 82,036 | |||||||
150,000 | A- | 3.450% due 5/15/51 | 149,971 | |||||||
AEP Transmission Co. LLC, Senior Unsecured Notes: | ||||||||||
597,000 | A- | 3.750% due 12/1/47 | 651,011 | |||||||
35,000 | A- | 3.150% due 9/15/49 | 34,998 | |||||||
Alabama Power Co., Senior Unsecured Notes: | ||||||||||
17,000 | A | 5.200% due 6/1/41 | 21,861 | |||||||
121,000 | A | 4.150% due 8/15/44 | 141,837 | |||||||
60,000 | A | 3.450% due 10/1/49 | 64,206 | |||||||
100,000 | A | Ameren Illinois Co., 1st Mortgage Notes, 3.250% due 3/15/50 | 103,703 | |||||||
Baltimore Gas & Electric Co., Senior Unsecured Notes: | ||||||||||
6,000 | A | 3.500% due 8/15/46 | 6,362 | |||||||
150,000 | A | 3.750% due 8/15/47 | 166,974 | |||||||
67,000 | A | 2.900% due 6/15/50 | 63,822 | |||||||
CenterPoint Energy Houston Electric LLC: | ||||||||||
146,000 | A | 1st Mortgage Notes, 3.350% due 4/1/51 | 154,077 | |||||||
15,000 | A | General Refiinance Mortgage, 3.950% due 3/1/48 | 17,215 | |||||||
84,000 | A | Commonwealth Edison Co., 1st Mortgage Notes, 3.125% due 3/15/51 | 84,383 |
129
Schedules of Investments
(unaudited) (continued)
Core Fixed Income Fund
Face Amount/Units | Rating | Security | Value | |||||||
CORPORATE BONDS & NOTES - 30.2% - (continued) | ||||||||||
Electric - 1.2% - (continued) | ||||||||||
Consolidated Edison Co. of New York Inc., Senior Unsecured Notes: | ||||||||||
$ 60,000 | A- | 3.350% due 4/1/30 | $ | 65,227 | ||||||
40,000 | A- | 3.950% due 4/1/50 | 44,090 | |||||||
Consumers Energy Co., 1st Mortgage Notes: | ||||||||||
25,000 | A | 3.750% due 2/15/50 | 28,115 | |||||||
60,000 | A | 3.100% due 8/15/50 | 60,606 | |||||||
256,000 | A | 3.500% due 8/1/51 | 279,169 | |||||||
7,000 | BBB+ | Dayton Power & Light Co. (The), 1st Mortgage Notes, 3.950% due 6/15/49 | 7,472 | |||||||
DTE Electric Co., General Refinance Mortgage: | ||||||||||
30,000 | A | 4.050% due 5/15/48 | 35,026 | |||||||
100,000 | A | 3.950% due 3/1/49 | 116,508 | |||||||
42,000 | A | 3.250% due 4/1/51 | 43,340 | |||||||
Duke Energy Carolinas LLC, 1st Mortgage Notes: | ||||||||||
22,000 | A | 3.950% due 11/15/28 | 25,071 | |||||||
500,000 | A | 4.250% due 12/15/41 | 589,091 | |||||||
95,000 | A | 3.200% due 8/15/49 | 96,318 | |||||||
83,000 | A | 3.450% due 4/15/51 | 88,356 | |||||||
Duke Energy Florida LLC, 1st Mortgage Notes: | ||||||||||
334,000 | A | 2.500% due 12/1/29 | 346,922 | |||||||
24,000 | A | 4.200% due 7/15/48 | 28,534 | |||||||
335,000 | A | Duke Energy Ohio Inc., 1st Mortgage Notes, 3.650% due 2/1/29 | 368,949 | |||||||
Duke Energy Progress LLC, 1st Mortgage Notes: | ||||||||||
130,000 | A | 3.450% due 3/15/29 | 143,008 | |||||||
162,000 | A | 4.100% due 5/15/42 | 186,631 | |||||||
35,000 | A | 4.200% due 8/15/45 | 40,960 | |||||||
44,000 | A | 2.500% due 8/15/50 | 38,856 | |||||||
Edison International, Senior Unsecured Notes: | ||||||||||
22,000 | BBB- | 3.125% due 11/15/22 | 22,707 | |||||||
91,000 | BBB- | 4.950% due 4/15/25 | 101,415 | |||||||
29,000 | BBB- | 5.750% due 6/15/27 | 33,360 | |||||||
87,000 | A | Entergy Arkansas LLC, 1st Mortgage Notes, 3.350% due 6/15/52 | 89,787 | |||||||
Entergy Louisiana LLC, 1st Mortgage Notes: | ||||||||||
110,000 | A | 1.600% due 12/15/30 | 104,203 | |||||||
96,000 | A | 2.350% due 6/15/32 | 95,934 | |||||||
60,000 | A | 2.900% due 3/15/51 | 57,225 | |||||||
60,000 | A | Entergy Texas Inc., 1st Mortgage Notes, 3.450% due 12/1/27 | 64,810 | |||||||
775,000 | A- | Evergy Missouri West Inc., Senior Unsecured Notes, 8.270% due 11/15/21 | 800,388 | |||||||
Exelon Corp., Senior Unsecured Notes: | ||||||||||
143,000 | BBB | 5.625% due 6/15/35 | 185,836 | |||||||
13,000 | BBB | 5.100% due 6/15/45 | 16,410 | |||||||
39,000 | BBB | 4.700% due 4/15/50 | 47,366 | |||||||
FirstEnergy Corp., Senior Unsecured Notes: | ||||||||||
60,000 | BB | 1.600% due 1/15/26 | 58,264 | |||||||
310,000 | BB | 4.400% due 7/15/27 | 338,325 | |||||||
550,000 | BB | 7.375% due 11/15/31 | 733,389 | |||||||
Florida Power & Light Co., 1st Mortgage Notes: | ||||||||||
209,000 | A+ | 3.700% due 12/1/47 | 236,191 | |||||||
57,000 | A+ | 3.950% due 3/1/48 | 66,852 | |||||||
110,000 | A+ | 3.150% due 10/1/49 | 115,207 | |||||||
400,000 | BBB+ | ITC Holdings Corp., Senior Unsecured Notes, 4.050% due 7/1/23 | 426,199 | |||||||
700,000 | BB+ | Jersey Central Power & Light Co., Senior Unsecured Notes, 4.700% due 4/1/24(a) | 762,971 | |||||||
MidAmerican Energy Co., 1st Mortgage Notes: | ||||||||||
115,000 | A+ | 3.100% due 5/1/27 | 126,825 |
130
Schedules of Investments
(unaudited) (continued)
Core Fixed Income Fund
Face Amount/Units | Rating | Security | Value | |||||||
CORPORATE BONDS & NOTES - 30.2% - (continued) | ||||||||||
Electric - 1.2% - (continued) | ||||||||||
$ 100,000 | A+ | 3.650% due 4/15/29 | $ | 112,308 | ||||||
100,000 | A+ | 3.150% due 4/15/50 | 103,024 | |||||||
Northern States Power Co., 1st Mortgage Notes: | ||||||||||
85,000 | A | 3.600% due 5/15/46 | 93,720 | |||||||
70,000 | A | 2.900% due 3/1/50 | 68,512 | |||||||
50,000 | A | 3.200% due 4/1/52 | 51,614 | |||||||
NRG Energy Inc., Senior Secured Notes: | ||||||||||
89,000 | BBB- | 2.450% due 12/2/27(a) | 89,585 | |||||||
122,000 | BBB- | 4.450% due 6/15/29(a) | 133,037 | |||||||
Ohio Power Co., Senior Unsecured Notes: | ||||||||||
118,000 | A- | 1.625% due 1/15/31 | 111,505 | |||||||
29,000 | A- | 4.000% due 6/1/49 | 33,150 | |||||||
Oncor Electric Delivery Co. LLC, Senior Secured Notes: | ||||||||||
168,000 | A+ | 3.700% due 11/15/28 | 188,885 | |||||||
98,000 | A+ | 3.100% due 9/15/49 | 99,328 | |||||||
88,000 | A | PECO Energy Co., 1st Mortgage Notes, 3.050% due 3/15/51 | 88,631 | |||||||
500,000 | BBB | Public Service Co. of New Mexico, Senior Unsecured Notes, 3.850% due 8/1/25 | 542,895 | |||||||
Public Service Electric & Gas Co.: | ||||||||||
1st Mortgage Notes: | ||||||||||
23,000 | A | 3.000% due 5/15/27 | 24,958 | |||||||
40,000 | A | 3.200% due 5/15/29 | 43,667 | |||||||
40,000 | A | 2.050% due 8/1/50 | 32,974 | |||||||
12,000 | A | Senior Secured Notes, 3.000% due 3/1/51 | 11,938 | |||||||
Southern California Edison Co., 1st Mortgage Notes: | ||||||||||
6,429 | A- | 1.845% due 2/1/22 | 6,435 | |||||||
386,000 | A- | 3.700% due 8/1/25 | 423,297 | |||||||
206,000 | A- | 1.200% due 2/1/26 | 204,676 | |||||||
97,000 | A- | 4.200% due 3/1/29 | 108,483 | |||||||
134,000 | A | Southwestern Public Services Co., 1st Mortgage Notes, 3.150% due 5/1/50 | 135,465 | |||||||
115,000 | BBB+ | Tampa Electric Co., Senior Unsecured Notes, 3.625% due 6/15/50 | 123,991 | |||||||
800,000 | A- | Tucson Electric Power Co., Senior Unsecured Notes, 3.850% due 3/15/23 | 841,987 | |||||||
Virginia Electric & Power Co., Senior Unsecured Notes: | ||||||||||
33,000 | BBB+ | 6.000% due 1/15/36 | 45,210 | |||||||
32,000 | BBB+ | 6.000% due 5/15/37 | 43,654 | |||||||
119,000 | BBB+ | 4.600% due 12/1/48 | 148,449 | |||||||
Vistra Operations Co. LLC, Senior Secured Notes: | ||||||||||
211,000 | BBB- | 3.700% due 1/30/27(a) | 222,037 | |||||||
174,000 | BBB- | 4.300% due 7/15/29(a) | 184,856 | |||||||
|
| |||||||||
Total Electric | 13,227,893 | |||||||||
|
| |||||||||
Electronics - 0.0% | ||||||||||
264,000 | BBB+ | Agilent Technologies Inc., Senior Unsecured Notes, 2.300% due 3/12/31 | 259,755 | |||||||
Honeywell International Inc., Senior Unsecured Notes: | ||||||||||
110,000 | A | 1.350% due 6/1/25 | 112,622 | |||||||
28,000 | A | 3.812% due 11/21/47 | 32,190 | |||||||
20,000 | A- | Tyco Electronics Group SA, Company Guaranteed Notes, 3.450% due 8/1/24 | 21,575 | |||||||
|
| |||||||||
Total Electronics | 426,142 | |||||||||
|
| |||||||||
Engineering & Construction - 0.0% | ||||||||||
87,000 | B- | PowerTeam Services LLC, Senior Secured Notes, 9.033% due 12/4/25(a) | 96,192 | |||||||
|
| |||||||||
Entertainment - 0.0% | ||||||||||
100,000 | B | Caesars Entertainment Inc., Senior Secured Notes, 6.250% due 7/1/25(a) | 105,625 | |||||||
158,000 | B+ | Churchill Downs Inc., Company Guaranteed Notes, 5.500% due 4/1/27(a) | 164,473 | |||||||
|
| |||||||||
Total Entertainment | 270,098 | |||||||||
|
|
131
Schedules of Investments
(unaudited) (continued)
Core Fixed Income Fund
Face Amount/Units | Rating | Security | Value | |||||||
CORPORATE BONDS & NOTES - 30.2% - (continued) | ||||||||||
Environmental Control - 0.1% | ||||||||||
$ 289,000 | BB+ | Clean Harbors Inc., Company Guaranteed Notes, 5.125% due 7/15/29(a) | $ | 314,199 | ||||||
Republic Services Inc., Senior Unsecured Notes: | ||||||||||
130,000 | BBB+ | 2.500% due 8/15/24 | 137,273 | |||||||
219,000 | BBB+ | 3.375% due 11/15/27 | 241,118 | |||||||
71,000 | A- | Waste Management Inc., Company Guaranteed Notes, 2.950% due 6/1/41 | 70,940 | |||||||
109,000 | B- | Waste Pro USA Inc., Senior Unsecured Notes, 5.500% due 2/15/26(a) | 111,233 | |||||||
|
| |||||||||
Total Environmental Control | 874,763 | |||||||||
|
| |||||||||
Food - 0.3% | ||||||||||
50,000 | A | Hershey Co. (The), Senior Unsecured Notes, 0.900% due 6/1/25 | 50,300 | |||||||
275,000 | BB+ | JBS USA LUX SA/JBS USA Food Co./JBS USA Finance Inc., Senior Unsecured Notes, 5.500% due 1/15/30(a) | 302,847 | |||||||
Kraft Heinz Foods Co., Company Guaranteed Notes: | ||||||||||
10,000 | BB+ | 3.000% due 6/1/26 | 10,584 | |||||||
40,000 | BB+ | 4.250% due 3/1/31 | 44,557 | |||||||
10,000 | BB+ | 6.750% due 3/15/32 | 13,159 | |||||||
40,000 | BB+ | 5.000% due 7/15/35 | 47,393 | |||||||
30,000 | BB+ | 6.875% due 1/26/39 | 41,348 | |||||||
10,000 | BB+ | 7.125% due 8/1/39(a) | 14,196 | |||||||
10,000 | BB+ | 4.625% due 10/1/39 | 11,229 | |||||||
445,000 | BB+ | 5.000% due 6/4/42 | 518,899 | |||||||
150,000 | BB+ | 5.200% due 7/15/45 | 177,789 | |||||||
678,000 | BB+ | 4.375% due 6/1/46 | 729,674 | |||||||
80,000 | BB+ | 5.500% due 6/1/50 | 99,802 | |||||||
Mars Inc., Company Guaranteed Notes: | ||||||||||
110,000 | A | 2.700% due 4/1/25(a) | 117,349 | |||||||
350,000 | A | 3.200% due 4/1/30(a) | 379,863 | |||||||
330,000 | BBB | Mondelez International Inc., Senior Unsecured Notes, 1.500% due 5/4/25 | 337,905 | |||||||
Post Holdings Inc.: | ||||||||||
100,000 | B+ | Company Guaranteed Notes, 5.625% due 1/15/28(a) | 105,887 | |||||||
325,000 | B+ | Senior Unsecured Notes, 4.500% due 9/15/31(a) | 321,792 | |||||||
200,000 | A- | Seven & i Holdings Co., Ltd., Senior Unsecured Notes, 3.350% due 9/17/21(a) | 201,792 | |||||||
285,000 | BBB+ | Tyson Foods Inc., Senior Unsecured Notes, 3.900% due 9/28/23 | 306,531 | |||||||
|
| |||||||||
Total Food | 3,832,896 | |||||||||
|
| |||||||||
Forest Products & Paper - 0.1% | ||||||||||
Georgia-Pacific LLC, Senior Unsecured Notes: | ||||||||||
175,000 | A+ | 3.600% due 3/1/25(a) | 190,918 | |||||||
190,000 | A+ | 0.950% due 5/15/26(a) | 187,208 | |||||||
70,000 | BBB | International Paper Co., Senior Unsecured Notes, 4.800% due 6/15/44 | 86,227 | |||||||
380,000 | BBB- | Suzano Austria GmbH, Company Guaranteed Notes, 3.750% due 1/15/31 | 394,957 | |||||||
|
| |||||||||
Total Forest Products & Paper | 859,310 | |||||||||
|
| |||||||||
Gas - 0.1% | ||||||||||
32,000 | A- | Atmos Energy Corp., Senior Unsecured Notes, 4.125% due 10/15/44 | 36,395 | |||||||
270,000 | BBB+ | CenterPoint Energy Resources Corp., Senior Unsecured Notes, 1.750% due 10/1/30 | 253,221 | |||||||
38,000 | A | Eastern Energy Gas Holdings LLC, Senior Unsecured Notes, 4.600% due 12/15/44 | 44,021 | |||||||
30,000 | BBB+ | ONE Gas Inc., Senior Unsecured Notes, 2.000% due 5/15/30 | 29,137 | |||||||
86,000 | BBB+ | Piedmont Natural Gas Co., Inc., Senior Unsecured Notes, 3.500% due 6/1/29 | 93,915 | |||||||
250,000 | A- | Southern Co. Gas Capital Corp., Company Guaranteed Notes, 4.400% due 5/30/47 | 285,888 | |||||||
|
| |||||||||
Total Gas | 742,577 | |||||||||
|
| |||||||||
Healthcare - Products - 0.1% | ||||||||||
Abbott Laboratories, Senior Unsecured Notes: | ||||||||||
164,000 | A+ | 3.750% due 11/30/26 | 185,792 | |||||||
70,000 | A+ | 4.750% due 11/30/36 | 87,921 | |||||||
150,000 | A+ | 4.900% due 11/30/46 | 198,628 | |||||||
62,000 | BBB | Boston Scientific Corp., Senior Unsecured Notes, 2.650% due 6/1/30 | 63,217 |
132
Schedules of Investments
(unaudited) (continued)
Core Fixed Income Fund
Face Amount/Units | Rating | Security | Value | |||||||
CORPORATE BONDS & NOTES - 30.2% - (continued) | ||||||||||
Healthcare - Products - 0.1% - (continued) | ||||||||||
$ 100,000 | BB- | Hologic Inc., Company Guaranteed Notes, 4.625% due 2/1/28(a) | $ | 104,500 | ||||||
61,000 | A | Medtronic Inc., Company Guaranteed Notes, 3.500% due 3/15/25 | 67,424 | |||||||
13,000 | WR(b) | St Jude Medical LLC, Senior Unsecured Notes, 4.750% due 4/15/43 | 15,515 | |||||||
Thermo Fisher Scientific Inc., Senior Unsecured Notes: | ||||||||||
6,000 | BBB+ | 2.600% due 10/1/29 | 6,227 | |||||||
211,000 | BBB+ | 4.497% due 3/25/30 | 248,294 | |||||||
|
| |||||||||
Total Healthcare - Products | 977,518 | |||||||||
|
| |||||||||
Healthcare - Services - 0.7% | ||||||||||
Aetna Inc., Senior Unsecured Notes: | ||||||||||
40,000 | BBB | 2.800% due 6/15/23 | 41,772 | |||||||
78,000 | BBB | 6.625% due 6/15/36 | 112,261 | |||||||
Anthem Inc., Senior Unsecured Notes: | ||||||||||
1,120,000 | A | 3.650% due 12/1/27 | 1,249,950 | |||||||
122,000 | A | 4.375% due 12/1/47 | 142,779 | |||||||
41,000 | A | 4.550% due 3/1/48 | 49,575 | |||||||
33,000 | A | 4.850% due 8/15/54 | 40,898 | |||||||
Centene Corp., Senior Unsecured Notes: | ||||||||||
20,000 | BBB- | 5.375% due 6/1/26(a) | 20,859 | |||||||
30,000 | BBB- | 4.625% due 12/15/29 | 32,426 | |||||||
30,000 | BBB- | 3.375% due 2/15/30 | 30,340 | |||||||
CommonSpirit Health: | ||||||||||
30,000 | BBB+ | Secured Notes, 4.350% due 11/1/42 | 34,235 | |||||||
Senior Secured Notes: | ||||||||||
150,000 | BBB+ | 3.347% due 10/1/29 | 161,059 | |||||||
190,000 | BBB+ | 2.782% due 10/1/30 | 194,523 | |||||||
95,000 | BBB+ | 3.910% due 10/1/50 | 100,277 | |||||||
HCA Inc., Senior Secured Notes: | ||||||||||
598,000 | BBB- | 5.000% due 3/15/24 | 667,188 | |||||||
622,000 | BBB- | 5.250% due 4/15/25 | 717,041 | |||||||
152,000 | BBB- | 5.250% due 6/15/26 | 176,971 | |||||||
429,000 | BBB- | 4.125% due 6/15/29 | 481,080 | |||||||
160,000 | BBB- | 5.500% due 6/15/47 | 201,740 | |||||||
295,000 | BBB- | 5.250% due 6/15/49 | 364,678 | |||||||
Humana Inc., Senior Unsecured Notes: | ||||||||||
280,000 | BBB+ | 3.150% due 12/1/22 | 289,598 | |||||||
201,000 | BBB+ | 4.500% due 4/1/25 | 226,324 | |||||||
30,000 | BBB+ | 3.950% due 3/15/27 | 33,809 | |||||||
70,000 | BBB+ | 4.625% due 12/1/42 | 83,405 | |||||||
40,000 | BBB+ | 4.950% due 10/1/44 | 49,181 | |||||||
35,000 | BBB+ | 3.950% due 8/15/49 | 38,234 | |||||||
500,000 | AA- | Kaiser Foundation Hospitals, Company Guaranteed Notes, 3.150% due 5/1/27 | 549,816 | |||||||
39,000 | A+ | MidMichigan Health, Secured Notes, 3.409% due 6/1/50 | 40,182 | |||||||
Molina Healthcare Inc., Senior Unsecured Notes: | ||||||||||
255,000 | BB- | 5.375% due 11/15/22 | 267,112 | |||||||
39,000 | BB- | 3.875% due 11/15/30(a) | 39,828 | |||||||
276,000 | Aa2(b) | New York & Presbyterian Hospital (The), Unsecured Notes, 3.954% due 8/1/19 | 309,176 | |||||||
131,000 | B+ | Tenet Healthcare Corp., Senior Secured Notes, 4.875% due 1/1/26(a) | 135,485 | |||||||
UnitedHealth Group Inc., Senior Unsecured Notes: | ||||||||||
20,000 | A+ | 2.375% due 10/15/22 | 20,604 | |||||||
60,000 | A+ | 3.500% due 6/15/23 | 63,946 | |||||||
70,000 | A+ | 3.750% due 7/15/25 | 78,055 | |||||||
60,000 | A+ | 1.250% due 1/15/26 | 60,805 | |||||||
50,000 | A+ | 3.875% due 12/15/28 | 57,181 |
133
Schedules of Investments
(unaudited) (continued)
Core Fixed Income Fund
Face Amount/Units | Rating | Security | Value | |||||||
CORPORATE BONDS & NOTES - 30.2% - (continued) | ||||||||||
Healthcare - Services - 0.7% - (continued) | ||||||||||
$ 50,000 | A+ | 2.000% due 5/15/30 | $ | 49,827 | ||||||
305,000 | A+ | 4.750% due 7/15/45 | 389,717 | |||||||
70,000 | A+ | 3.750% due 10/15/47 | 77,068 | |||||||
71,000 | A+ | 4.250% due 6/15/48 | 85,044 | |||||||
30,000 | A+ | 4.450% due 12/15/48 | 37,180 | |||||||
105,000 | A+ | 3.700% due 8/15/49 | 116,382 | |||||||
120,000 | A+ | 3.875% due 8/15/59 | 136,412 | |||||||
20,000 | A+ | 3.125% due 5/15/60 | 19,896 | |||||||
|
| |||||||||
Total Healthcare - Services | 8,073,919 | |||||||||
|
| |||||||||
Home Builders - 0.0% | ||||||||||
Lennar Corp., Company Guaranteed Notes: | ||||||||||
10,000 | BB+ | 5.000% due 6/15/27 | 11,612 | |||||||
150,000 | BB+ | 4.750% due 11/29/27 | 173,660 | |||||||
10,000 | BBB- | MDC Holdings Inc., Company Guaranteed Notes, 6.000% due 1/15/43 | 12,718 | |||||||
50,000 | BB+ | Toll Brothers Finance Corp., Company Guaranteed Notes, 4.375% due 4/15/23 | 52,543 | |||||||
|
| |||||||||
Total Home Builders | 250,533 | |||||||||
|
| |||||||||
Household Products/Wares - 0.0% | ||||||||||
90,000 | B | Spectrum Brands Inc., Company Guaranteed Notes, 5.750% due 7/15/25 | 92,363 | |||||||
|
| |||||||||
Insurance - 0.6% | ||||||||||
American International Group Inc., Senior Unsecured Notes: | ||||||||||
90,000 | BBB+ | 2.500% due 6/30/25 | 95,263 | |||||||
211,000 | BBB+ | 4.500% due 7/16/44 | 246,801 | |||||||
Aon Corp., Company Guaranteed Notes: | ||||||||||
22,000 | A- | 4.500% due 12/15/28 | 25,576 | |||||||
270,000 | A- | 2.800% due 5/15/30 | 279,806 | |||||||
535,000 | A+ | Athene Global Funding, Senior Secured Notes, 0.710% (SOFR + 0.700%) due 5/24/24(a)(c) | 536,412 | |||||||
Berkshire Hathaway Finance Corp., Company Guaranteed Notes: | ||||||||||
400,000 | AA | 4.400% due 5/15/42 | 488,610 | |||||||
350,000 | AA | 4.250% due 1/15/49 | 418,661 | |||||||
70,000 | A | Chubb INA Holdings Inc., Company Guaranteed Notes, 3.350% due 5/3/26 | 77,045 | |||||||
100,000 | BBB+ | Farmers Exchange Capital, Subordinated Notes, 7.200% due 7/15/48(a) | 135,142 | |||||||
900,000 | BBB+ | Farmers Exchange Capital II, Subordinated Notes, 6.151% (3-Month USD-LIBOR + 3.744%) due 11/1/53(a)(c) | 1,159,621 | |||||||
Hartford Financial Services Group Inc. (The), Senior Unsecured Notes: | ||||||||||
4,000 | BBB+ | 4.300% due 4/15/43 | 4,607 | |||||||
50,000 | BBB+ | 3.600% due 8/19/49 | 52,726 | |||||||
Marsh & McLennan Cos., Inc., Senior Unsecured Notes: | ||||||||||
69,000 | A- | 4.375% due 3/15/29 | 80,511 | |||||||
249,000 | A- | 2.250% due 11/15/30 | 249,925 | |||||||
620,000 | BBB | MetLife Inc., Junior Subordinated Notes, 6.400% due 12/15/36 | 793,018 | |||||||
850,000 | A- | Nationwide Mutual Insurance Co., Subordinated Notes, 2.474% (3-Month USD-LIBOR + 2.290%) due 12/15/24(a)(c) | 849,626 | |||||||
Teachers Insurance & Annuity Association of America, Subordinated Notes: | ||||||||||
24,000 | AA- | 6.850% due 12/16/39(a) | 35,195 | |||||||
348,000 | AA- | 4.900% due 9/15/44(a) | 434,706 | |||||||
85,000 | AA- | 4.270% due 5/15/47(a) | 97,793 | |||||||
595,000 | AA- | 3.300% due 5/15/50(a) | 589,672 | |||||||
97,000 | BBB | Willis North America Inc., Company Guaranteed Notes, 4.500% due 9/15/28 | 111,869 | |||||||
|
| |||||||||
Total Insurance | 6,762,585 | |||||||||
|
| |||||||||
Internet - 0.4% | ||||||||||
Alphabet Inc., Senior Unsecured Notes: | ||||||||||
40,000 | AA+ | 0.450% due 8/15/25 | 39,716 | |||||||
70,000 | AA+ | 0.800% due 8/15/27 | 68,238 | |||||||
80,000 | AA+ | 1.100% due 8/15/30 | 74,795 | |||||||
140,000 | AA+ | 2.050% due 8/15/50 | 118,778 |
134
Schedules of Investments
(unaudited) (continued)
Core Fixed Income Fund
Face Amount/Units | Rating | Security | Value | |||||||
CORPORATE BONDS & NOTES - 30.2% - (continued) | ||||||||||
Internet - 0.4% - (continued) | ||||||||||
Amazon.com Inc., Senior Unsecured Notes: | ||||||||||
$ 190,000 | AA- | 0.800% due 6/3/25 | $ | 191,353 | ||||||
240,000 | AA- | 1.200% due 6/3/27 | 239,393 | |||||||
130,000 | AA- | 3.150% due 8/22/27 | 143,554 | |||||||
180,000 | AA- | 1.500% due 6/3/30 | 174,008 | |||||||
40,000 | AA- | 2.100% due 5/12/31 | 40,120 | |||||||
80,000 | AA- | 3.875% due 8/22/37 | 92,289 | |||||||
360,000 | AA- | 2.875% due 5/12/41 | 359,075 | |||||||
160,000 | AA- | 4.950% due 12/5/44 | 208,733 | |||||||
100,000 | AA- | 4.050% due 8/22/47 | 116,499 | |||||||
200,000 | AA- | 2.500% due 6/3/50 | 180,314 | |||||||
40,000 | AA- | 4.250% due 8/22/57 | 48,449 | |||||||
Expedia Group Inc., Company Guaranteed Notes: | ||||||||||
43,000 | BBB- | 6.250% due 5/1/25(a) | 50,163 | |||||||
69,000 | BBB- | 3.250% due 2/15/30 | 70,766 | |||||||
114,000 | BBB- | 2.950% due 3/15/31(a) | 113,958 | |||||||
370,000 | BBB- | Prosus NV, Company Guaranteed Notes, 4.850% due 7/6/27(a) | 421,124 | |||||||
Tencent Holdings Ltd., Senior Unsecured Notes: | ||||||||||
407,000 | A+ | 2.985% due 1/19/23(a) | 421,938 | |||||||
165,000 | A+ | 3.975% due 4/11/29(a) | 181,817 | |||||||
670,000 | A+ | 3.680% due 4/22/41(a) | 688,819 | |||||||
350,000 | A+ | 3.840% due 4/22/51(a) | 359,075 | |||||||
|
| |||||||||
Total Internet | 4,402,974 | |||||||||
|
| |||||||||
Investment Companies - 0.0% | ||||||||||
Ares Capital Corp., Senior Unsecured Notes: | ||||||||||
119,000 | BBB- | 3.250% due 7/15/25 | 125,553 | |||||||
391,000 | BBB- | 2.150% due 7/15/26 | 389,424 | |||||||
|
| |||||||||
Total Investment Companies | 514,977 | |||||||||
|
| |||||||||
Iron/Steel - 0.1% | ||||||||||
ArcelorMittal SA, Senior Unsecured Notes: | ||||||||||
210,000 | BBB- | 3.600% due 7/16/24 | 224,075 | |||||||
460,000 | BBB- | 4.550% due 3/11/26 | 514,163 | |||||||
30,000 | BBB- | 7.250% due 10/15/39 | 41,288 | |||||||
33,000 | A- | Nucor Corp., Senior Unsecured Notes, 2.979% due 12/15/55(a) | 30,833 | |||||||
125,000 | BBB- | Vale Overseas Ltd., Company Guaranteed Notes, 6.875% due 11/21/36 | 169,548 | |||||||
|
| |||||||||
Total Iron/Steel | 979,907 | |||||||||
|
| |||||||||
Leisure Time - 0.0% | ||||||||||
110,000 | B | VOC Escrow Ltd., Senior Secured Notes, 5.000% due 2/15/28(a) | 110,837 | |||||||
|
| |||||||||
Lodging - 0.1% | ||||||||||
Las Vegas Sands Corp., Senior Unsecured Notes: | ||||||||||
270,000 | BBB- | 3.200% due 8/8/24 | 284,016 | |||||||
50,000 | BBB- | 2.900% due 6/25/25 | 52,234 | |||||||
89,000 | BBB- | Marriott International Inc., Senior Unsecured Notes, 4.625% due 6/15/30 | 100,567 | |||||||
Sands China Ltd., Senior Unsecured Notes: | ||||||||||
400,000 | BBB- | 5.125% due 8/8/25 | 448,006 | |||||||
200,000 | BBB- | 3.800% due 1/8/26 | 217,000 | |||||||
|
| |||||||||
Total Lodging | 1,101,823 | |||||||||
|
| |||||||||
Machinery - Diversified - 0.1% | ||||||||||
Deere & Co., Senior Unsecured Notes: | ||||||||||
40,000 | A | 3.100% due 4/15/30 | 43,732 | |||||||
130,000 | A | 3.750% due 4/15/50 | 150,905 | |||||||
320,000 | BBB- | nVent Finance Sarl, Company Guaranteed Notes, 3.950% due 4/15/23 | 335,671 | |||||||
Otis Worldwide Corp., Senior Unsecured Notes: |
135
Schedules of Investments
(unaudited) (continued)
Core Fixed Income Fund
Face Amount/Units | Rating | Security | Value | |||||||
CORPORATE BONDS & NOTES - 30.2% - (continued) | ||||||||||
Machinery - Diversified - 0.1% - (continued) | ||||||||||
$ 80,000 | BBB | 2.056% due 4/5/25 | $ | 83,103 | ||||||
78,000 | BBB | 2.565% due 2/15/30 | 79,728 | |||||||
|
| |||||||||
Total Machinery - Diversified | 693,139 | |||||||||
|
| |||||||||
Media - 1.2% | ||||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Unsecured Notes: | ||||||||||
130,000 | BB | 5.125% due 5/1/27(a) | 136,013 | |||||||
842,000 | BB | 4.500% due 8/15/30(a) | 859,088 | |||||||
100,000 | BB | 4.500% due 5/1/32 | 101,236 | |||||||
Charter Communications Operating LLC/Charter Communications Operating Capital, Senior Secured Notes: | ||||||||||
300,000 | BBB- | 4.908% due 7/23/25 | 341,441 | |||||||
210,000 | BBB- | 3.750% due 2/15/28 | 228,767 | |||||||
260,000 | BBB- | 4.200% due 3/15/28 | 291,030 | |||||||
50,000 | BBB- | 5.375% due 4/1/38 | 59,634 | |||||||
647,000 | BBB- | 6.484% due 10/23/45 | 855,145 | |||||||
767,000 | BBB- | 5.750% due 4/1/48 | 940,735 | |||||||
100,000 | BBB- | 4.800% due 3/1/50 | 110,184 | |||||||
84,000 | BBB- | 3.900% due 6/1/52 | 81,239 | |||||||
128,000 | BBB- | 4.400% due 12/1/61 | 129,719 | |||||||
160,000 | A- | Comcast Cable Communications Holdings Inc., Company Guaranteed Notes, 9.455% due 11/15/22 | 181,397 | |||||||
Comcast Corp., Company Guaranteed Notes: | ||||||||||
10,000 | A- | 3.100% due 4/1/25 | 10,851 | |||||||
30,000 | A- | 3.950% due 10/15/25 | 33,753 | |||||||
80,000 | A- | 3.150% due 3/1/26 | 87,399 | |||||||
177,000 | A- | 3.300% due 4/1/27 | 195,259 | |||||||
992,000 | A- | 4.150% due 10/15/28 | 1,145,034 | |||||||
342,000 | A- | 2.650% due 2/1/30 | 354,840 | |||||||
494,000 | A- | 3.400% due 4/1/30 | 539,334 | |||||||
200,000 | A- | 4.250% due 10/15/30 | 232,281 | |||||||
159,000 | A- | 1.950% due 1/15/31 | 154,047 | |||||||
30,000 | A- | 6.500% due 11/15/35 | 42,860 | |||||||
50,000 | A- | 3.900% due 3/1/38 | 56,277 | |||||||
153,000 | A- | 4.600% due 10/15/38 | 185,273 | |||||||
20,000 | A- | 3.250% due 11/1/39 | 20,694 | |||||||
20,000 | A- | 3.750% due 4/1/40 | 22,090 | |||||||
27,000 | A- | 4.750% due 3/1/44 | 33,644 | |||||||
119,000 | A- | 4.600% due 8/15/45 | 145,101 | |||||||
20,000 | A- | 3.400% due 7/15/46 | 20,748 | |||||||
82,000 | A- | 4.000% due 8/15/47 | 92,909 | |||||||
272,000 | A- | 3.969% due 11/1/47 | 306,121 | |||||||
20,000 | A- | 4.000% due 3/1/48 | 22,580 | |||||||
364,000 | A- | 4.700% due 10/15/48 | 453,155 | |||||||
66,000 | A- | 3.999% due 11/1/49 | 74,716 | |||||||
80,000 | A- | 3.450% due 2/1/50 | 83,445 | |||||||
60,000 | A- | 2.800% due 1/15/51 | 55,418 | |||||||
39,000 | A- | 4.049% due 11/1/52 | 44,646 | |||||||
Cox Communications Inc., Senior Unsecured Notes: | ||||||||||
40,000 | BBB | 3.250% due 12/15/22(a) | 41,761 | |||||||
238,000 | BBB | 3.150% due 8/15/24(a) | 255,676 | |||||||
70,000 | BBB | 3.850% due 2/1/25(a) | 76,641 | |||||||
18,000 | BBB | 3.350% due 9/15/26(a) | 19,563 | |||||||
66,000 | BBB | 4.600% due 8/15/47(a) | 77,306 | |||||||
325,000 | CCC+ | Diamond Sports Group LLC/Diamond Sports Finance Co., Senior Secured Notes, 5.375% due 8/15/26(a) | 240,906 | |||||||
129,000 | BBB- | Discovery Communications LLC, Company Guaranteed Notes, 4.125% due 5/15/29 | 142,442 |
136
Schedules of Investments
(unaudited) (continued)
Core Fixed Income Fund
Face Amount/Units | Rating | Security | Value | |||||||
CORPORATE BONDS & NOTES - 30.2% - (continued) | ||||||||||
Media - 1.2% - (continued) | ||||||||||
DISH DBS Corp., Company Guaranteed Notes: | ||||||||||
$ 140,000 | B- | 7.750% due 7/1/26 | $ | 159,208 | ||||||
70,000 | B- | 5.125% due 6/1/29(a) | 69,598 | |||||||
Fox Corp., Senior Unsecured Notes: | ||||||||||
200,000 | BBB | 4.030% due 1/25/24 | 217,587 | |||||||
240,000 | BBB | 5.476% due 1/25/39 | 300,182 | |||||||
115,000 | BB | Sirius XM Radio Inc., Company Guaranteed Notes, 3.875% due 8/1/22(a) | 115,702 | |||||||
Time Warner Cable LLC, Senior Secured Notes: | ||||||||||
385,000 | BBB- | 4.000% due 9/1/21 | 386,016 | |||||||
230,000 | BBB- | 7.300% due 7/1/38 | 326,525 | |||||||
128,000 | BBB- | 5.875% due 11/15/40 | 161,357 | |||||||
490,000 | BBB- | 5.500% due 9/1/41 | 591,691 | |||||||
240,000 | BBB- | Time Warner Entertainment Co. LP, Senior Secured Notes, 8.375% due 7/15/33 | 358,783 | |||||||
ViacomCBS Inc., Senior Unsecured Notes: | ||||||||||
10,000 | BBB | 3.875% due 4/1/24 | 10,819 | |||||||
255,000 | BBB | 4.200% due 5/19/32 | 287,661 | |||||||
114,000 | BBB | 5.850% due 9/1/43 | 147,583 | |||||||
225,000 | BB- | Virgin Media Secured Finance PLC, Senior Secured Notes, 5.500% due 5/15/29(a) | 241,031 | |||||||
Walt Disney Co. (The), Company Guaranteed Notes: | ||||||||||
418,000 | BBB+ | 2.000% due 9/1/29 | 416,665 | |||||||
680,000 | BBB+ | 2.650% due 1/13/31 | 703,542 | |||||||
25,000 | BBB+ | 6.200% due 12/15/34 | 34,744 | |||||||
30,000 | BBB+ | 6.650% due 11/15/37 | 43,999 | |||||||
|
| |||||||||
Total Media | 14,155,091 | |||||||||
|
| |||||||||
Mining - 0.4% | ||||||||||
Anglo American Capital PLC, Company Guaranteed Notes: | ||||||||||
350,000 | BBB | 3.625% due 9/11/24(a) | 380,073 | |||||||
617,000 | BBB | 4.750% due 4/10/27(a) | 712,174 | |||||||
400,000 | BBB | 4.000% due 9/11/27(a) | 445,307 | |||||||
200,000 | BBB | 2.625% due 9/10/30(a) | 198,563 | |||||||
40,000 | BBB | Barrick Gold Corp., Senior Unsecured Notes, 5.250% due 4/1/42 | 51,074 | |||||||
Barrick North America Finance LLC, Company Guaranteed Notes: | ||||||||||
70,000 | BBB | 5.700% due 5/30/41 | 93,274 | |||||||
190,000 | BBB | 5.750% due 5/1/43 | 256,559 | |||||||
150,000 | A | BHP Billsiton Finance USA Ltd., Company Guaranteed Notes, 5.000% due 9/30/43 | 198,996 | |||||||
Freeport-McMoRan Inc., Company Guaranteed Notes: | ||||||||||
10,000 | BB+ | 3.875% due 3/15/23 | 10,381 | |||||||
10,000 | BB+ | 4.550% due 11/14/24 | 10,863 | |||||||
70,000 | BB+ | 5.450% due 3/15/43 | 84,612 | |||||||
Glencore Funding LLC, Company Guaranteed Notes: | ||||||||||
820,000 | BBB+ | 4.125% due 3/12/24(a) | 888,381 | |||||||
210,000 | BBB+ | 4.625% due 4/29/24(a) | 231,978 | |||||||
261,000 | BBB+ | 2.500% due 9/1/30(a) | 256,000 | |||||||
200,000 | Baa2(b) | Indonesia Asahan Aluminium Persero PT, Senior Unsecured Notes, 6.530% due 11/15/28(a) | 242,961 | |||||||
26,000 | BBB | Newmont Corp., Company Guaranteed Notes, 4.875% due 3/15/42 | 32,114 | |||||||
760,000 | BBB+ | Southern Copper Corp., Senior Unsecured Notes, 5.250% due 11/8/42 | 913,140 | |||||||
10,000 | BBB- | Teck Resources Ltd., Senior Unsecured Notes, 6.000% due 8/15/40 | 12,535 | |||||||
90,000 | BB+ | Yamana Gold Inc., Company Guaranteed Notes, 4.625% due 12/15/27 | 99,609 | |||||||
|
| |||||||||
Total Mining | 5,118,594 | |||||||||
|
| |||||||||
Miscellaneous Manufacturers - 0.4% | ||||||||||
3M Co., Senior Unsecured Notes: | ||||||||||
150,000 | A+ | 2.375% due 8/26/29 | 155,561 | |||||||
30,000 | A+ | 3.050% due 4/15/30 | 32,701 |
137
Schedules of Investments
(unaudited) (continued)
Core Fixed Income Fund
Face Amount/Units | Rating | Security | Value | |||||||
CORPORATE BONDS & NOTES - 30.2% - (continued) | ||||||||||
Miscellaneous Manufacturers - 0.4% - (continued) | ||||||||||
$ 190,000 | A+ | 3.700% due 4/15/50 | $ | 217,140 | ||||||
160,000 | A- | Eaton Corp., Company Guaranteed Notes, 4.150% due 11/2/42 | 185,719 | |||||||
General Electric Co., Senior Unsecured Notes: | ||||||||||
30,000 | BBB+ | 3.450% due 5/1/27 | 33,057 | |||||||
70,000 | BBB+ | 3.625% due 5/1/30 | 77,013 | |||||||
390,000 | BBB+ | 6.750% due 3/15/32 | 529,970 | |||||||
1,025,000 | BBB+ | 0.636% (3-Month USD-LIBOR + 0.480%) due 8/15/36(c) | 854,580 | |||||||
122,000 | BBB+ | 6.150% due 8/7/37 | 165,963 | |||||||
230,000 | BBB+ | 5.875% due 1/14/38 | 305,402 | |||||||
720,000 | BBB+ | 6.875% due 1/10/39 | 1,050,825 | |||||||
70,000 | BBB+ | 4.250% due 5/1/40 | 79,392 | |||||||
90,000 | BBB+ | 4.350% due 5/1/50 | 102,943 | |||||||
116,000 | BBB+ | Parker-Hannifin Corp., Senior Unsecured Notes, 3.250% due 6/14/29 | 125,481 | |||||||
Textron Inc., Senior Unsecured Notes: | ||||||||||
16,000 | BBB | 3.875% due 3/1/25 | 17,458 | |||||||
70,000 | BBB | 3.650% due 3/15/27 | 77,199 | |||||||
140,000 | BBB | 3.900% due 9/17/29 | 155,077 | |||||||
|
| |||||||||
Total Miscellaneous Manufacturers | 4,165,481 | |||||||||
|
| |||||||||
Oil & Gas - 1.7% | ||||||||||
Apache Corp., Senior Unsecured Notes: | ||||||||||
181,000 | BB+ | 3.250% due 4/15/22 | 183,358 | |||||||
220,000 | BB+ | 4.375% due 10/15/28 | 225,995 | |||||||
30,000 | BB+ | 4.750% due 4/15/43 | 29,697 | |||||||
60,000 | BB+ | 4.250% due 1/15/44 | 56,587 | |||||||
BP Capital Markets America Inc., Company Guaranteed Notes: | ||||||||||
110,000 | A- | 3.245% due 5/6/22 | 113,155 | |||||||
20,000 | A- | 2.937% due 4/6/23 | 20,953 | |||||||
230,000 | A- | 3.216% due 11/28/23 | 245,164 | |||||||
30,000 | A- | 3.790% due 2/6/24 | 32,597 | |||||||
300,000 | A- | 3.410% due 2/11/26 | 330,826 | |||||||
110,000 | A- | 3.633% due 4/6/30 | 121,853 | |||||||
BP Capital Markets PLC, Company Guaranteed Notes: | ||||||||||
270,000 | A- | 3.814% due 2/10/24 | 294,266 | |||||||
30,000 | A- | 3.535% due 11/4/24 | 32,903 | |||||||
270,000 | A- | 3.506% due 3/17/25 | 297,555 | |||||||
Chevron Corp., Senior Unsecured Notes: | ||||||||||
190,000 | AA- | 1.554% due 5/11/25 | 196,352 | |||||||
230,000 | AA- | 2.954% due 5/16/26 | 250,148 | |||||||
70,000 | AA- | 1.995% due 5/11/27 | 72,769 | |||||||
Chevron USA Inc., Company Guaranteed Notes: | ||||||||||
240,000 | AA- | 3.850% due 1/15/28 | 273,968 | |||||||
183,000 | AA- | 5.250% due 11/15/43 | 243,086 | |||||||
93,000 | AA- | 4.950% due 8/15/47 | 120,917 | |||||||
Cimarex Energy Co., Senior Unsecured Notes: | ||||||||||
470,000 | BBB- | 3.900% due 5/15/27 | 517,278 | |||||||
150,000 | BBB- | 4.375% due 3/15/29 | 168,685 | |||||||
ConocoPhillips, Company Guaranteed Notes: | ||||||||||
80,000 | A- | 3.750% due 10/1/27(a) | 89,928 | |||||||
550,000 | A- | 4.300% due 8/15/28(a) | 631,572 | |||||||
870,000 | BB+ | Continental Resources Inc., Company Guaranteed Notes, 3.800% due 6/1/24 | 914,648 | |||||||
Devon Energy Corp., Senior Unsecured Notes: | ||||||||||
506,000 | BBB- | 5.850% due 12/15/25 | 599,264 | |||||||
280,000 | BBB- | 5.600% due 7/15/41 | 338,663 |
138
Schedules of Investments
(unaudited) (continued)
Core Fixed Income Fund
Face Amount/Units | Rating | Security | Value | |||||||
CORPORATE BONDS & NOTES - 30.2% - (continued) | ||||||||||
Oil & Gas - 1.7% - (continued) | ||||||||||
$ 10,000 | BBB- | 4.750% due 5/15/42 | $ | 11,040 | ||||||
280,000 | BBB- | 5.000% due 6/15/45 | 318,984 | |||||||
Diamondback Energy Inc., Company Guaranteed Notes: | ||||||||||
292,000 | BBB- | 3.500% due 12/1/29 | 310,094 | |||||||
298,000 | BBB- | 3.125% due 3/24/31 | 305,420 | |||||||
Ecopetrol SA, Senior Unsecured Notes: | ||||||||||
95,000 | BB+ | 4.125% due 1/16/25 | 99,869 | |||||||
760,000 | BB+ | 5.875% due 5/28/45 | 788,500 | |||||||
29,000 | BB- | Endeavor Energy Resources LP/EER Finance Inc., Senior Unsecured Notes, 5.750% due | 30,738 | |||||||
EOG Resources Inc., Senior Unsecured Notes: | ||||||||||
184,000 | A- | 3.150% due 4/1/25 | 198,606 | |||||||
10,000 | A- | 4.150% due 1/15/26 | 11,296 | |||||||
20,000 | A- | 4.375% due 4/15/30 | 23,325 | |||||||
260,000 | A- | 3.900% due 4/1/35 | 288,781 | |||||||
170,000 | A- | 4.950% due 4/15/50 | 216,486 | |||||||
EQT Corp., Senior Unsecured Notes: | ||||||||||
20,000 | BB | 3.000% due 10/1/22 | 20,462 | |||||||
10,000 | BB | 7.625% due 2/1/25 | 11,692 | |||||||
30,000 | BB | 3.900% due 10/1/27 | 32,075 | |||||||
10,000 | BB | 5.000% due 1/15/29 | 11,112 | |||||||
Exxon Mobil Corp., Senior Unsecured Notes: | ||||||||||
30,000 | AA- | 1.571% due 4/15/23 | 30,735 | |||||||
430,000 | AA- | 2.992% due 3/19/25 | 463,987 | |||||||
380,000 | AA- | 3.043% due 3/1/26 | 414,199 | |||||||
180,000 | AA- | 3.482% due 3/19/30 | 199,254 | |||||||
70,000 | AA- | 4.114% due 3/1/46 | 79,642 | |||||||
110,000 | AA- | 4.327% due 3/19/50 | 130,780 | |||||||
100,000 | AA- | 3.452% due 4/15/51 | 104,132 | |||||||
200,000 | Baa3(b) | KazMunayGas National Co. JSC, Senior Unsecured Notes, 5.375% due 4/24/30 | 239,067 | |||||||
28,000 | BBB | Marathon Petroleum Corp., Senior Unsecured Notes, 6.500% due 3/1/41 | 38,065 | |||||||
30,000 | BB- | MEG Energy Corp., Company Guaranteed Notes, 5.875% due 2/1/29(a) | 31,281 | |||||||
Occidental Petroleum Corp., Senior Unsecured Notes: | ||||||||||
200,000 | BB- | 6.950% due 7/1/24 | 222,650 | |||||||
310,000 | BB- | 2.900% due 8/15/24 | 309,613 | |||||||
760,000 | BB- | 5.550% due 3/15/26 | 812,250 | |||||||
90,000 | BB- | 3.400% due 4/15/26 | 87,867 | |||||||
140,000 | BB- | 7.500% due 5/1/31 | 166,893 | |||||||
75,000 | BB- | 7.875% due 9/15/31 | 91,402 | |||||||
150,000 | BB- | 4.500% due 7/15/44 | 130,257 | |||||||
90,000 | BB- | 4.625% due 6/15/45 | 79,579 | |||||||
30,000 | BB- | 4.100% due 2/15/47 | 24,119 | |||||||
560,000 | BB- | 4.200% due 3/15/48 | 460,611 | |||||||
200,000 | Baa2(b) | Pertamina Persero PT, Senior Unsecured Notes, 3.100% due 8/27/30(a) | 205,345 | |||||||
360,000 | BB- | Petrobras Global Finance BV, Company Guaranteed Notes, 5.750% due 2/1/29 | 406,170 | |||||||
Petroleos Mexicanos, Company Guaranteed Notes: | ||||||||||
280,000 | BBB | 5.950% due 1/28/31 | 272,650 | |||||||
199,000 | BBB | 6.625% due 6/15/35 | 192,284 | |||||||
1,170,000 | BBB | 6.750% due 9/21/47 | 1,035,637 | |||||||
170,000 | BBB | 6.950% due 1/28/60 | 150,798 | |||||||
200,000 | A- | Petronas Capital Ltd., Company Guaranteed Notes, 2.480% due 1/28/32(a) | 199,236 | |||||||
Pioneer Natural Resources Co., Senior Unsecured Notes: | ||||||||||
162,000 | BBB | 1.125% due 1/15/26 | 160,697 | |||||||
250,000 | BBB | 2.150% due 1/15/31 | 240,608 |
139
Schedules of Investments
(unaudited) (continued)
Core Fixed Income Fund
Face Amount/Units | Rating | Security | Value | |||||||
CORPORATE BONDS & NOTES - 30.2% - (continued) | ||||||||||
Oil & Gas - 1.7% - (continued) | ||||||||||
Range Resources Corp., Company Guaranteed Notes: | ||||||||||
$ 8,000 | B+ | 5.875% due 7/1/22 | $ | 8,195 | ||||||
105,000 | B+ | 5.000% due 3/15/23 | 108,150 | |||||||
50,000 | B+ | 4.875% due 5/15/25 | 50,938 | |||||||
Shell International Finance BV, Company Guaranteed Notes: | ||||||||||
260,000 | A+ | 2.875% due 5/10/26 | 282,726 | |||||||
300,000 | A+ | 3.875% due 11/13/28 | 341,791 | |||||||
252,000 | A+ | 2.375% due 11/7/29 | 258,817 | |||||||
60,000 | A+ | 2.750% due 4/6/30 | 63,108 | |||||||
90,000 | A+ | 4.550% due 8/12/43 | 109,881 | |||||||
292,000 | A+ | 4.375% due 5/11/45 | 349,459 | |||||||
40,000 | A+ | 4.000% due 5/10/46 | 45,644 | |||||||
31,000 | A+ | 3.750% due 9/12/46 | 34,427 | |||||||
270,000 | A+ | 3.250% due 4/6/50 | 276,214 | |||||||
400,000 | A+ | Sinopec Group Overseas Development 2014 Ltd., Company Guaranteed Notes, 4.375% due 4/10/24(a) | 438,803 | |||||||
58,000 | BBB+ | Suncor Energy Inc., Senior Unsecured Notes, 6.800% due 5/15/38 | 81,357 | |||||||
92,075 | CCC+ | Transocean Pontus Ltd., Senior Secured Notes, 6.125% due 8/1/25(a) | 91,557 | |||||||
140,000 | CCC+ | Transocean Poseidon Ltd., Senior Secured Notes, 6.875% due 2/1/27(a) | 136,326 | |||||||
WPX Energy Inc., Senior Unsecured Notes: | ||||||||||
32,000 | BBB- | 5.250% due 10/15/27 | 34,288 | |||||||
20,000 | BBB- | 4.500% due 1/15/30 | 21,620 | |||||||
|
| |||||||||
Total Oil & Gas | 18,793,776 | |||||||||
|
| |||||||||
Oil & Gas Services - 0.0% | ||||||||||
Halliburton Co., Senior Unsecured Notes: | ||||||||||
14,000 | BBB+ | 3.800% due 11/15/25 | 15,529 | |||||||
20,000 | BBB+ | 4.850% due 11/15/35 | 23,075 | |||||||
50,000 | BBB+ | 5.000% due 11/15/45 | 58,633 | |||||||
Schlumberger Holdings Corp., Senior Unsecured Notes: | ||||||||||
90,000 | A | 4.000% due 12/21/25(a) | 100,565 | |||||||
171,000 | A | 3.900% due 5/17/28(a) | 188,824 | |||||||
20,900 | CCC+ | Transocean Phoenix 2 Ltd., Senior Secured Notes, 7.750% due 10/15/24(a) | 21,247 | |||||||
75,000 | CCC+ | Transocean Proteus Ltd., Senior Secured Notes, 6.250% due 12/1/24(a) | 74,507 | |||||||
|
| |||||||||
Total Oil & Gas Services | 482,380 | |||||||||
|
| |||||||||
Packaging & Containers - 0.1% | ||||||||||
130,000 | BB+ | Ball Corp., Company Guaranteed Notes, 4.000% due 11/15/23 | 138,136 | |||||||
Berry Global Inc., Senior Secured Notes: | ||||||||||
530,000 | BBB- | 1.570% due 1/15/26(a) | 531,049 | |||||||
165,000 | BBB- | 4.875% due 7/15/26(a) | 174,589 | |||||||
24,000 | B+ | OI European Group BV, Company Guaranteed Notes, 4.000% due 3/15/23(a) | 24,765 | |||||||
20,000 | BBB | WestRock RKT LLC, Company Guaranteed Notes, 4.000% due 3/1/23 | 21,034 | |||||||
|
| |||||||||
Total Packaging & Containers | 889,573 | |||||||||
|
| |||||||||
Pharmaceuticals - 2.0% | ||||||||||
AbbVie Inc., Senior Unsecured Notes: | ||||||||||
100,000 | BBB+ | 3.450% due 3/15/22 | 101,954 | |||||||
680,000 | BBB+ | 2.300% due 11/21/22 | 699,834 | |||||||
30,000 | BBB+ | 3.750% due 11/14/23 | 32,332 | |||||||
730,000 | BBB+ | 2.600% due 11/21/24 | 773,503 | |||||||
260,000 | BBB+ | 3.800% due 3/15/25 | 285,585 | |||||||
100,000 | BBB+ | 3.600% due 5/14/25 | 109,396 | |||||||
150,000 | BBB+ | 2.950% due 11/21/26 | 161,056 | |||||||
470,000 | BBB+ | 3.200% due 11/21/29 | 504,887 | |||||||
88,000 | BBB+ | 4.550% due 3/15/35 | 104,963 | |||||||
155,000 | BBB+ | 4.500% due 5/14/35 | 184,067 |
140
Schedules of Investments
(unaudited) (continued)
Core Fixed Income Fund
Face Amount/Units | Rating | Security | Value | |||||||
CORPORATE BONDS & NOTES - 30.2% - (continued) | ||||||||||
Pharmaceuticals - 2.0% - (continued) | ||||||||||
$ 430,000 | BBB+ | 4.300% due 5/14/36 | $ | 498,298 | ||||||
175,000 | BBB+ | 4.050% due 11/21/39 | 196,190 | |||||||
7,000 | BBB+ | 4.625% due 10/1/42 | 8,368 | |||||||
489,000 | BBB+ | 4.400% due 11/6/42 | 569,603 | |||||||
150,000 | BBB+ | 4.750% due 3/15/45 | 182,803 | |||||||
345,000 | BBB+ | 4.250% due 11/21/49 | 397,635 | |||||||
255,000 | WR(b) | Allergan Funding SCS, Company Guaranteed Notes, 4.550% due 3/15/35 | 275,481 | |||||||
168,000 | BBB+ | AstraZeneca PLC, Senior Unsecured Notes, 1.375% due 8/6/30 | 157,910 | |||||||
Bayer US Finance II LLC, Company Guaranteed Notes: | ||||||||||
280,000 | BBB | 4.250% due 12/15/25(a) | 314,229 | |||||||
625,000 | BBB | 4.375% due 12/15/28(a) | 711,869 | |||||||
285,000 | BBB | 4.625% due 6/25/38(a) | 330,471 | |||||||
140,000 | BBB | 4.400% due 7/15/44(a) | 158,275 | |||||||
670,000 | BBB | 4.875% due 6/25/48(a) | 804,398 | |||||||
Becton Dickinson & Co., Senior Unsecured Notes: | ||||||||||
830,000 | BBB | 3.363% due 6/6/24 | 893,548 | |||||||
61,000 | BBB | 3.734% due 12/15/24 | 66,807 | |||||||
47,000 | BBB | 4.685% due 12/15/44 | 56,588 | |||||||
Bristol-Myers Squibb Co., Senior Unsecured Notes: | ||||||||||
190,000 | A+ | 2.600% due 5/16/22 | 194,477 | |||||||
60,000 | A+ | 3.550% due 8/15/22 | 62,430 | |||||||
326,000 | A+ | 2.900% due 7/26/24 | 349,618 | |||||||
137,000 | A+ | 3.875% due 8/15/25 | 153,745 | |||||||
240,000 | A+ | 3.200% due 6/15/26 | 264,149 | |||||||
130,000 | A+ | 3.400% due 7/26/29 | 144,313 | |||||||
46,000 | A+ | 5.000% due 8/15/45 | 60,489 | |||||||
Cigna Corp., Company Guaranteed Notes: | ||||||||||
216,000 | A- | 3.750% due 7/15/23 | 230,795 | |||||||
121,000 | A- | 3.500% due 6/15/24 | 130,700 | |||||||
660,000 | A- | 4.125% due 11/15/25 | 744,427 | |||||||
90,000 | A- | 3.400% due 3/1/27 | 99,082 | |||||||
720,000 | A- | 4.375% due 10/15/28 | 831,904 | |||||||
300,000 | A- | 4.800% due 8/15/38 | 365,351 | |||||||
400,000 | A- | 4.900% due 12/15/48 | 499,640 | |||||||
CVS Health Corp., Senior Unsecured Notes: | ||||||||||
340,000 | BBB | 2.750% due 12/1/22 | 350,566 | |||||||
28,000 | BBB | 3.700% due 3/9/23 | 29,608 | |||||||
116,000 | BBB | 3.875% due 7/20/25 | 128,594 | |||||||
292,000 | BBB | 3.000% due 8/15/26 | 317,126 | |||||||
114,000 | BBB | 3.625% due 4/1/27 | 126,556 | |||||||
98,000 | BBB | 1.300% due 8/21/27 | 95,844 | |||||||
943,000 | BBB | 4.300% due 3/25/28 | 1,081,132 | |||||||
230,000 | BBB | 3.750% due 4/1/30 | 255,196 | |||||||
500,000 | BBB | 4.875% due 7/20/35 | 604,429 | |||||||
440,000 | BBB | 4.780% due 3/25/38 | 525,532 | |||||||
50,000 | BBB | 4.125% due 4/1/40 | 55,874 | |||||||
310,000 | BBB | 5.125% due 7/20/45 | 388,686 | |||||||
1,375,000 | BBB | 5.050% due 3/25/48 | 1,708,617 | |||||||
30,000 | BBB | 4.250% due 4/1/50 | 33,939 | |||||||
138,458 | BBB | CVS Pass-Through Trust, Senior Secured Notes, 6.036% due 12/10/28 | 163,731 | |||||||
88,000 | A- | Evernorth Health Inc., Company Guaranteed Notes, 4.500% due 2/25/26 | 99,505 | |||||||
Johnson & Johnson, Senior Unsecured Notes: | ||||||||||
100,000 | AAA | 0.550% due 9/1/25 | 99,552 |
141
Schedules of Investments
(unaudited) (continued)
Core Fixed Income Fund
Face Amount/Units | Rating | Security | Value | |||||||
CORPORATE BONDS & NOTES - 30.2% - (continued) | ||||||||||
Pharmaceuticals - 2.0% - (continued) | ||||||||||
$ 400,000 | AAA | 2.450% due 3/1/26 | $ | 428,644 | ||||||
210,000 | AAA | 0.950% due 9/1/27 | 207,234 | |||||||
110,000 | AAA | 3.625% due 3/3/37 | 126,215 | |||||||
Pfizer Inc., Senior Unsecured Notes: | ||||||||||
230,000 | A+ | 0.800% due 5/28/25 | 231,546 | |||||||
160,000 | A+ | 2.625% due 4/1/30 | 168,231 | |||||||
140,000 | A+ | 1.700% due 5/28/30 | 137,042 | |||||||
42,000 | BBB+ | Shire Acquisitions Investments Ireland DAC, Company Guaranteed Notes, 3.200% due 9/23/26 | 45,930 | |||||||
Takeda Pharmaceutical Co., Ltd., Senior Unsecured Notes: | ||||||||||
200,000 | BBB+ | 4.400% due 11/26/23 | 218,255 | |||||||
607,000 | BBB+ | 2.050% due 3/31/30 | 592,514 | |||||||
Teva Pharmaceutical Finance Co. BV, Company Guaranteed Notes: | ||||||||||
50,000 | BB- | 3.650% due 11/10/21 | 50,352 | |||||||
50,000 | BB- | 2.950% due 12/18/22 | 50,307 | |||||||
Teva Pharmaceutical Finance Netherlands III BV, Company Guaranteed Notes: | ||||||||||
120,000 | BB- | 2.200% due 7/21/21 | 119,910 | |||||||
300,000 | BB- | 2.800% due 7/21/23 | 297,750 | |||||||
220,000 | BB- | 7.125% due 1/31/25 | 240,585 | |||||||
540,000 | BB- | 3.150% due 10/1/26 | 509,622 | |||||||
130,000 | A+ | Wyeth LLC, Company Guaranteed Notes, 5.950% due 4/1/37 | 181,734 | |||||||
|
| |||||||||
Total Pharmaceuticals | 22,381,528 | |||||||||
|
| |||||||||
Pipelines - 1.6% | ||||||||||
Cameron LNG LLC, Senior Secured Notes: | ||||||||||
50,000 | A | 2.902% due 7/15/31(a) | 52,075 | |||||||
533,000 | A | 3.302% due 1/15/35(a) | 557,915 | |||||||
285,000 | BBB- | Cheniere Corpus Christi Holdings LLC, Senior Secured Notes, 5.125% due 6/30/27 | 331,206 | |||||||
40,000 | BB+ | DCP Midstream Operating LP, Company Guaranteed Notes, 6.450% due 11/3/36(a) | 45,814 | |||||||
Energy Transfer LP: | ||||||||||
140,000 | BB | Junior Subordinated Notes, 6.750% (5-Year CMT Index + 5.134%)(c)(d) | 140,700 | |||||||
Senior Unsecured Notes: | ||||||||||
230,000 | BBB- | 5.875% due 1/15/24 | 256,087 | |||||||
270,000 | BBB- | 4.500% due 4/15/24 | 296,048 | |||||||
98,000 | BBB- | 4.050% due 3/15/25 | 106,520 | |||||||
10,000 | BBB- | 3.900% due 7/15/26 | 10,947 | |||||||
89,000 | BBB- | 4.200% due 4/15/27 | 97,984 | |||||||
530,000 | BBB- | 5.500% due 6/1/27 | 620,903 | |||||||
303,000 | BBB- | 4.000% due 10/1/27 | 331,266 | |||||||
30,000 | BBB- | 4.950% due 6/15/28 | 34,410 | |||||||
266,000 | BBB- | 5.250% due 4/15/29 | 310,317 | |||||||
300,000 | BBB- | 8.250% due 11/15/29 | 406,916 | |||||||
430,000 | BBB- | 3.750% due 5/15/30 | 458,443 | |||||||
200,000 | BBB- | 5.300% due 4/1/44 | 221,436 | |||||||
10,000 | BBB- | 5.350% due 5/15/45 | 11,272 | |||||||
300,000 | BBB- | 5.400% due 10/1/47 | 341,087 | |||||||
200,000 | BBB- | 6.000% due 6/15/48 | 242,878 | |||||||
10,000 | BBB- | 6.250% due 4/15/49 | 12,525 | |||||||
470,000 | BBB- | 5.000% due 5/15/50 | 521,165 | |||||||
Enterprise Products Operating LLC, Company Guaranteed Notes: | ||||||||||
50,000 | BBB+ | 3.900% due 2/15/24 | 54,092 | |||||||
780,000 | BBB+ | 4.150% due 10/16/28 | 886,997 | |||||||
340,000 | BBB+ | 2.800% due 1/31/30 | 354,491 | |||||||
200,000 | BBB+ | 4.850% due 3/15/44 | 237,386 | |||||||
90,000 | BBB+ | 3.700% due 1/31/51 | 90,748 |
142
Schedules of Investments
(unaudited) (continued)
Core Fixed Income Fund
Face Amount/Units | Rating | Security | Value | |||||||
CORPORATE BONDS & NOTES - 30.2% - (continued) | ||||||||||
Pipelines - 1.6% - (continued) | ||||||||||
$ 70,000 | BBB+ | 3.950% due 1/31/60 | $ | 72,273 | ||||||
Kinder Morgan Energy Partners LP, Company Guaranteed Notes: | ||||||||||
42,000 | BBB | 6.950% due 1/15/38 | 58,614 | |||||||
29,000 | BBB | 5.000% due 3/1/43 | 33,658 | |||||||
Kinder Morgan Inc., Company Guaranteed Notes: | ||||||||||
480,000 | BBB | 5.625% due 11/15/23(a) | 531,186 | |||||||
290,000 | BBB | 4.300% due 3/1/28 | 328,500 | |||||||
100,000 | BBB | 5.550% due 6/1/45 | 123,848 | |||||||
10,000 | BBB | 5.200% due 3/1/48 | 12,088 | |||||||
35,000 | BBB+ | Magellan Midstream Partners LP, Senior Unsecured Notes, 4.200% due 10/3/47 | 37,349 | |||||||
MPLX LP, Senior Unsecured Notes: | ||||||||||
180,000 | BBB | 4.875% due 6/1/25 | 203,438 | |||||||
360,000 | BBB | 4.800% due 2/15/29 | 417,616 | |||||||
150,000 | BBB | 4.500% due 4/15/38 | 166,833 | |||||||
260,000 | BBB | 4.700% due 4/15/48 | 290,757 | |||||||
150,000 | BBB | 5.500% due 2/15/49 | 186,170 | |||||||
NGPL PipeCo LLC, Senior Unsecured Notes: | ||||||||||
327,000 | BBB- | 4.375% due 8/15/22(a) | 338,788 | |||||||
190,000 | BBB- | 4.875% due 8/15/27(a) | 217,560 | |||||||
166,000 | BBB- | 3.250% due 7/15/31(a) | 168,682 | |||||||
55,000 | BBB- | 7.768% due 12/15/37(a) | 76,014 | |||||||
Northern Natural Gas Co., Senior Unsecured Notes: | ||||||||||
94,000 | A | 4.300% due 1/15/49(a) | 108,554 | |||||||
54,000 | A | 3.400% due 10/16/51(a) | 53,861 | |||||||
187,000 | BBB | Northwest Pipeline LLC, Senior Unsecured Notes, 4.000% due 4/1/27 | 209,965 | |||||||
270,240 | BBB | Pipeline Funding Co. LLC, Senior Secured Notes, 7.500% due 1/15/30(a) | 349,208 | |||||||
300,000 | BBB- | Plains All American Pipeline LP/PAA Finance Corp., Senior Unsecured Notes, 4.650% due 10/15/25 | 335,970 | |||||||
Rockies Express Pipeline LLC, Senior Unsecured Notes: | ||||||||||
300,000 | BB+ | 4.950% due 7/15/29(a) | 307,911 | |||||||
280,000 | BB+ | 6.875% due 4/15/40(a) | 301,757 | |||||||
287,879 | CCC+ | Ruby Pipeline LLC, Senior Unsecured Notes, 8.000% due 4/1/22(a)(f) | 254,891 | |||||||
Sabine Pass Liquefaction LLC, Senior Secured Notes: | ||||||||||
424,000 | BBB- | 5.750% due 5/15/24 | 478,947 | |||||||
110,000 | BBB- | 5.625% due 3/1/25 | 126,402 | |||||||
215,000 | BBB- | 5.000% due 3/15/27 | 249,258 | |||||||
296,000 | BBB- | 4.200% due 3/15/28 | 330,563 | |||||||
258,000 | BBB+ | Southern Natural Gas Co. LLC, Senior Unsecured Notes, 8.000% due 3/1/32 | 361,463 | |||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Company Guaranteed Notes: | ||||||||||
20,000 | BB | 5.875% due 4/15/26 | 20,975 | |||||||
20,000 | BB | 5.375% due 2/1/27 | 20,848 | |||||||
50,000 | BB | 6.500% due 7/15/27 | 54,251 | |||||||
20,000 | BB | 6.875% due 1/15/29 | 22,250 | |||||||
50,000 | BB | 5.500% due 3/1/30 | 54,086 | |||||||
40,000 | BB | 4.000% due 1/15/32(a) | 39,716 | |||||||
560,000 | BBB | Tennessee Gas Pipeline Co. LLC, Company Guaranteed Notes, 2.900% due 3/1/30(a) | 571,391 | |||||||
Texas Eastern Transmission LP, Senior Unsecured Notes: | ||||||||||
30,000 | BBB+ | 2.800% due 10/15/22(a) | 30,732 | |||||||
184,000 | BBB+ | 3.500% due 1/15/28(a) | 198,318 | |||||||
221,000 | BBB+ | 4.150% due 1/15/48(a) | 237,639 | |||||||
Transcontinental Gas Pipe Line Co. LLC, Senior Unsecured Notes: | ||||||||||
949,000 | BBB | 7.850% due 2/1/26 | 1,211,285 | |||||||
489,000 | BBB | 4.000% due 3/15/28 | 550,052 | |||||||
42,000 | BBB | 3.950% due 5/15/50 | 44,342 |
143
Schedules of Investments
(unaudited) (continued)
Core Fixed Income Fund
Face Amount/Units | Rating | Security | Value | |||||||
CORPORATE BONDS & NOTES - 30.2% - (continued) | ||||||||||
Pipelines - 1.6% - (continued) | ||||||||||
Western Midstream Operating LP, Senior Unsecured Notes: | ||||||||||
$ 50,000 | BB | 2.288% (3-Month USD-LIBOR + 2.100%) due 1/13/23(c) | $ | 49,888 | ||||||
140,000 | BB | 4.350% due 2/1/25 | 146,125 | |||||||
40,000 | BB | 4.500% due 3/1/28 | 42,500 | |||||||
430,000 | BB | 5.300% due 2/1/30 | 474,613 | |||||||
10,000 | BB | 5.500% due 8/15/48 | 10,386 | |||||||
90,000 | BB | 6.500% due 2/1/50 | 100,344 | |||||||
Williams Cos., Inc. (The), Senior Unsecured Notes: | ||||||||||
50,000 | BBB | 7.500% due 1/15/31 | 67,756 | |||||||
260,000 | BBB | 7.750% due 6/15/31 | 352,839 | |||||||
116,000 | BBB | 8.750% due 3/15/32 | 173,847 | |||||||
|
| |||||||||
Total Pipelines | 18,237,935 | |||||||||
|
| |||||||||
Real Estate Investment Trusts (REITs) - 0.7% | ||||||||||
103,000 | BBB+ | Alexandria Real Estate Equities Inc., Company Guaranteed Notes, 3.800% due 4/15/26 | 114,952 | |||||||
American Tower Corp., Senior Unsecured Notes: | ||||||||||
111,000 | BBB- | 3.950% due 3/15/29 | 123,487 | |||||||
212,000 | BBB- | 3.800% due 8/15/29 | 233,771 | |||||||
197,000 | BBB- | 2.100% due 6/15/30 | 190,676 | |||||||
489,000 | BBB- | CC Holdings GS V LLC/Crown Castle GS III Corp., Senior Secured Notes, 3.849% due 4/15/23 | 519,776 | |||||||
Crown Castle International Corp., Senior Unsecured Notes: | ||||||||||
172,000 | BBB- | 3.700% due 6/15/26 | 189,691 | |||||||
150,000 | BBB- | 3.100% due 11/15/29 | 156,980 | |||||||
248,000 | BBB- | 3.300% due 7/1/30 | 263,471 | |||||||
25,000 | BBB- | 2.250% due 1/15/31 | 24,193 | |||||||
74,000 | BBB- | 4.150% due 7/1/50 | 80,897 | |||||||
400,000 | BBB- | CyrusOne LP/CyrusOne Finance Corp., Company Guaranteed Notes, 3.450% due 11/15/29 | 419,280 | |||||||
392,000 | BBB+ | Duke Realty LP, Senior Unsecured Notes, 2.875% due 11/15/29 | 408,345 | |||||||
181,000 | BBB | Equifax Inc., Senior Unsecured Notes, 3.200% due 11/18/29 | 191,615 | |||||||
125,000 | BBB | Equinix Inc., Senior Unsecured Notes, 2.000% due 5/15/28 | 125,154 | |||||||
GLP Capital LP/GLP Financing II Inc., Company Guaranteed Notes: | ||||||||||
620,000 | BBB- | 5.250% due 6/1/25 | 701,161 | |||||||
490,000 | BBB- | 5.375% due 4/15/26 | 560,359 | |||||||
220,000 | BBB- | 5.300% due 1/15/29 | 254,108 | |||||||
311,000 | BBB- | 4.000% due 1/15/30 | 329,957 | |||||||
485,000 | BBB | Healthcare Realty Trust Inc., Senior Unsecured Notes, 3.625% due 1/15/28 | 526,641 | |||||||
350,000 | BBB | Healthcare Trust of America Holdings LP, Company Guaranteed Notes, 3.100% due 2/15/30 | 366,165 | |||||||
31,000 | BBB+ | Healthpeak Properties Inc., Senior Unsecured Notes, 3.400% due 2/1/25 | 33,482 | |||||||
350,000 | BBB | Life Storage LP, Company Guaranteed Notes, 3.875% due 12/15/27 | 392,381 | |||||||
160,000 | BB- | MGM Growth Properties Operating Partnership LP/MGP Finance Co.-Issuer Inc., Company Guaranteed Notes, 4.500% due 1/15/28 | 167,920 | |||||||
164,000 | BBB+ | National Retail Properties Inc., Senior Unsecured Notes, 3.100% due 4/15/50 | 153,550 | |||||||
67,000 | A- | Prologis LP, Senior Unsecured Notes, 3.000% due 4/15/50 | 65,026 | |||||||
76,000 | A- | Realty Income Corp., Senior Unsecured Notes, 3.250% due 1/15/31 | 81,442 | |||||||
69,000 | BB- | SBA Communications Corp., Senior Unsecured Notes, 4.875% due 9/1/24 | 70,510 | |||||||
800,000 | BBB- | SL Green Operating Partnership LP, Company Guaranteed Notes, 3.250% due 10/15/22 | 826,283 | |||||||
400,000 | BBB+ | Ventas Realty LP, Company Guaranteed Notes, 3.750% due 5/1/24 | 431,743 | |||||||
|
| |||||||||
Total Real Estate Investment Trusts (REITs) | 8,003,016 | |||||||||
|
| |||||||||
Retail - 0.4% | ||||||||||
250,000 | BBB | Alimentation Couche-Tard Inc., Company Guaranteed Notes, 3.550% due 7/26/27(a) | 274,207 | |||||||
Costco Wholesale Corp., Senior Unsecured Notes: | ||||||||||
260,000 | A+ | 1.375% due 6/20/27 | 261,773 | |||||||
160,000 | A+ | 1.600% due 4/20/30 | 155,425 | |||||||
Home Depot Inc. (The), Senior Unsecured Notes: | ||||||||||
210,000 | A | 2.500% due 4/15/27 | 224,044 |
144
Schedules of Investments
(unaudited) (continued)
Core Fixed Income Fund
Face Amount/Units | Rating | Security | Value | |||||||
CORPORATE BONDS & NOTES - 30.2% - (continued) | ||||||||||
Retail - 0.4% - (continued) | ||||||||||
$ 70,000 | A | 3.300% due 4/15/40 | $ | 73,938 | ||||||
25,000 | A | 4.200% due 4/1/43 | 29,694 | |||||||
20,000 | A | 3.900% due 6/15/47 | 22,757 | |||||||
210,000 | A | 3.350% due 4/15/50 | 221,682 | |||||||
Lowes Cos., Inc., Senior Unsecured Notes: | ||||||||||
251,000 | BBB+ | 3.650% due 4/5/29 | 277,750 | |||||||
70,000 | BBB+ | 4.500% due 4/15/30 | 81,937 | |||||||
155,000 | B | Magic Mergeco Inc., Senior Secured Notes, 5.250% due 5/1/28(a) | 157,132 | |||||||
McDonalds Corp., Senior Unsecured Notes: | ||||||||||
40,000 | BBB+ | 3.300% due 7/1/25 | 43,595 | |||||||
30,000 | BBB+ | 1.450% due 9/1/25 | 30,705 | |||||||
140,000 | BBB+ | 3.700% due 1/30/26 | 155,828 | |||||||
30,000 | BBB+ | 3.500% due 3/1/27 | 33,204 | |||||||
60,000 | BBB+ | 3.500% due 7/1/27 | 66,717 | |||||||
340,000 | BBB+ | 3.800% due 4/1/28 | 381,635 | |||||||
123,000 | BBB+ | 2.125% due 3/1/30 | 122,765 | |||||||
100,000 | BBB+ | 3.600% due 7/1/30 | 110,826 | |||||||
55,000 | BBB+ | 4.600% due 5/26/45 | 65,934 | |||||||
125,000 | BBB+ | 4.875% due 12/9/45 | 155,925 | |||||||
20,000 | BBB+ | 3.625% due 9/1/49 | 21,085 | |||||||
290,000 | BBB+ | 4.200% due 4/1/50 | 336,380 | |||||||
215,000 | BBB+ | Starbucks Corp., Senior Unsecured Notes, 2.250% due 3/12/30 | 214,291 | |||||||
120,000 | A | Target Corp., Senior Unsecured Notes, 2.250% due 4/15/25 | 126,861 | |||||||
110,000 | A | TJX Cos., Inc. (The), Senior Unsecured Notes, 3.500% due 4/15/25 | 120,547 | |||||||
Walmart Inc., Senior Unsecured Notes: | ||||||||||
50,000 | AA | 3.550% due 6/26/25 | 55,506 | |||||||
100,000 | AA | 3.050% due 7/8/26 | 109,887 | |||||||
290,000 | AA | 3.700% due 6/26/28 | 329,522 | |||||||
|
| |||||||||
Total Retail | 4,261,552 | |||||||||
|
| |||||||||
Savings & Loans - 0.1% | ||||||||||
Nationwide Building Society, Senior Unsecured Notes: | ||||||||||
75,000 | BBB+ | 3.766% (3-Month USD-LIBOR + 1.064%) due 3/8/24(a)(c) | 79,115 | |||||||
500,000 | BBB+ | 4.363% (3-Month USD-LIBOR + 1.392%) due 8/1/24(a)(c) | 538,681 | |||||||
|
| |||||||||
Total Savings & Loans | 617,796 | |||||||||
|
| |||||||||
Semiconductors - 0.6% | ||||||||||
63,000 | A- | Applied Materials Inc., Senior Unsecured Notes, 1.750% due 6/1/30 | 61,672 | |||||||
245,000 | BBB- | Broadcom Corp./Broadcom Cayman Finance Ltd., Company Guaranteed Notes, 3.875% due 1/15/27 | 269,469 | |||||||
Broadcom Inc.: | ||||||||||
Company Guaranteed Notes: | ||||||||||
85,000 | BBB- | 3.625% due 10/15/24 | 92,586 | |||||||
370,000 | BBB- | 4.700% due 4/15/25 | 417,403 | |||||||
280,000 | BBB- | 3.150% due 11/15/25 | 301,172 | |||||||
304,000 | BBB- | 4.750% due 4/15/29 | 348,260 | |||||||
653,000 | BBB- | 5.000% due 4/15/30 | 755,050 | |||||||
200,000 | BBB- | 4.150% due 11/15/30 | 219,290 | |||||||
257,000 | BBB- | Senior Unsecured Notes, 3.469% due 4/15/34(a) | 261,005 | |||||||
Intel Corp., Senior Unsecured Notes: | ||||||||||
70,000 | A+ | 3.700% due 7/29/25 | 77,732 | |||||||
2,000 | A+ | 2.450% due 11/15/29 | 2,080 | |||||||
10,000 | A+ | 4.600% due 3/25/40 | 12,193 | |||||||
54,000 | A+ | 3.734% due 12/8/47 | 59,038 | |||||||
600,000 | A+ | 4.750% due 3/25/50 | 765,657 | |||||||
KLA Corp., Senior Unsecured Notes: |
145
Schedules of Investments
(unaudited) (continued)
Core Fixed Income Fund
Face Amount/Units | Rating | Security | Value | |||||||
CORPORATE BONDS & NOTES - 30.2% - (continued) | ||||||||||
Semiconductors - 0.6% - (continued) | ||||||||||
$ 284,000 | BBB+ | 4.100% due 3/15/29 | $ | 323,593 | ||||||
149,000 | BBB+ | 3.300% due 3/1/50 | 148,331 | |||||||
Lam Research Corp., Senior Unsecured Notes: | ||||||||||
100,000 | A- | 3.750% due 3/15/26 | 112,106 | |||||||
49,000 | A- | 4.875% due 3/15/49 | 63,852 | |||||||
125,000 | A- | 2.875% due 6/15/50 | 120,267 | |||||||
150,000 | BBB- | Micron Technology Inc., Senior Unsecured Notes, 2.497% due 4/24/23 | 155,612 | |||||||
NVIDIA Corp., Senior Unsecured Notes: | ||||||||||
120,000 | A- | 3.500% due 4/1/40 | 131,167 | |||||||
533,000 | A- | 3.500% due 4/1/50 | 574,108 | |||||||
160,000 | A- | 3.700% due 4/1/60 | 176,829 | |||||||
NXP BV/NXP Funding LLC/NXP USA Inc., Company Guaranteed Notes: | ||||||||||
90,000 | BBB | 2.700% due 5/1/25(a) | 95,237 | |||||||
91,000 | BBB | 3.150% due 5/1/27(a) | 97,867 | |||||||
462,000 | BBB | 4.300% due 6/18/29(a) | 525,352 | |||||||
81,000 | BBB | 2.500% due 5/11/31(a) | 81,784 | |||||||
QUALCOMM Inc., Senior Unsecured Notes: | ||||||||||
30,000 | A- | 4.650% due 5/20/35 | 37,124 | |||||||
44,000 | A- | 4.800% due 5/20/45 | 56,081 | |||||||
121,000 | A- | 4.300% due 5/20/47 | 144,325 | |||||||
90,000 | A+ | Texas Instruments Inc., Senior Unsecured Notes, 1.750% due 5/4/30 | 88,012 | |||||||
|
| |||||||||
Total Semiconductors | 6,574,254 | |||||||||
|
| |||||||||
Shipbuilding - 0.0% | ||||||||||
Huntington Ingalls Industries Inc., Company Guaranteed Notes: | ||||||||||
145,000 | BBB- | 3.844% due 5/1/25 | 159,382 | |||||||
185,000 | BBB- | 3.483% due 12/1/27 | 202,836 | |||||||
|
| |||||||||
Total Shipbuilding | 362,218 | |||||||||
|
| |||||||||
Software - 0.9% | ||||||||||
Activision Blizzard Inc., Senior Unsecured Notes: | ||||||||||
189,000 | A- | 3.400% due 9/15/26 | 208,908 | |||||||
203,000 | A- | 2.500% due 9/15/50 | 173,795 | |||||||
Autodesk Inc., Senior Unsecured Notes: | ||||||||||
139,000 | BBB | 4.375% due 6/15/25 | 156,114 | |||||||
190,000 | BBB | 2.850% due 1/15/30 | 198,391 | |||||||
227,000 | BBB | Citrix Systems Inc., Senior Unsecured Notes, 3.300% due 3/1/30 | 236,320 | |||||||
435,000 | BBB+ | Electronic Arts Inc., Senior Unsecured Notes, 1.850% due 2/15/31 | 415,058 | |||||||
142,000 | BBB | Fidelity National Information Services Inc., Senior Unsecured Notes, 3.100% due 3/1/41 | 140,144 | |||||||
Fiserv Inc., Senior Unsecured Notes: | ||||||||||
165,000 | BBB | 4.200% due 10/1/28 | 188,406 | |||||||
461,000 | BBB | 3.500% due 7/1/29 | 501,388 | |||||||
Microsoft Corp., Senior Unsecured Notes: | ||||||||||
270,000 | AAA | 2.875% due 2/6/24 | 287,212 | |||||||
70,000 | AAA | 2.700% due 2/12/25 | 75,262 | |||||||
1,030,000 | AAA | 2.400% due 8/8/26 | 1,099,846 | |||||||
670,000 | AAA | 3.300% due 2/6/27 | 746,746 | |||||||
98,000 | AAA | 4.200% due 11/3/35 | 118,978 | |||||||
5,000 | AAA | 3.450% due 8/8/36 | 5,593 | |||||||
7,000 | AAA | 2.525% due 6/1/50 | 6,526 | |||||||
18,000 | AAA | 2.921% due 3/17/52 | 18,090 | |||||||
8,000 | AAA | 2.675% due 6/1/60 | 7,477 | |||||||
42,000 | AAA | 3.041% due 3/17/62 | 42,307 | |||||||
Oracle Corp., Senior Unsecured Notes: | ||||||||||
360,000 | A | 1.650% due 3/25/26 | 364,864 |
146
Schedules of Investments
(unaudited) (continued)
Core Fixed Income Fund
Face Amount/Units | Rating | Security | Value | |||||||
CORPORATE BONDS & NOTES - 30.2% - (continued) | ||||||||||
Software - 0.9% - (continued) | ||||||||||
$ 603,000 | A | 2.800% due 4/1/27 | $ | 641,826 | ||||||
288,000 | A | 3.250% due 11/15/27 | 313,491 | |||||||
309,000 | A | 2.300% due 3/25/28 | 316,447 | |||||||
855,000 | A | 2.875% due 3/25/31 | 877,206 | |||||||
1,154,000 | A | 4.300% due 7/8/34 | 1,318,481 | |||||||
267,000 | A | 3.850% due 7/15/36 | 290,003 | |||||||
37,000 | A | 3.800% due 11/15/37 | 39,551 | |||||||
322,000 | A | 5.375% due 7/15/40 | 404,517 | |||||||
320,000 | A | 3.650% due 3/25/41 | 326,886 | |||||||
157,000 | BBB+ | Roper Technologies Inc., Senior Unsecured Notes, 1.000% due 9/15/25 | 156,823 | |||||||
salesforce.com Inc., Senior Unsecured Notes: | ||||||||||
130,000 | A | 3.250% due 4/11/23 | 137,052 | |||||||
450,000 | A | 3.700% due 4/11/28 | 509,794 | |||||||
|
| |||||||||
Total Software | 10,323,502 | |||||||||
|
| |||||||||
Telecommunications - 2.5% | ||||||||||
AT&T Inc., Senior Unsecured Notes: | ||||||||||
1,000,000 | BBB | zero coupon, due 11/27/22(a) | 992,711 | |||||||
20,000 | BBB | 4.250% due 3/1/27 | 22,770 | |||||||
628,000 | BBB | 2.300% due 6/1/27 | 651,113 | |||||||
294,000 | BBB | 1.650% due 2/1/28 | 290,377 | |||||||
64,000 | BBB | 4.350% due 3/1/29 | 73,300 | |||||||
315,000 | BBB | 4.300% due 2/15/30 | 359,143 | |||||||
304,000 | BBB | 2.750% due 6/1/31 | 308,497 | |||||||
50,000 | BBB | 2.250% due 2/1/32 | 48,141 | |||||||
860,000 | BBB | 2.550% due 12/1/33(a) | 832,423 | |||||||
562,000 | BBB | 4.500% due 5/15/35 | 645,873 | |||||||
47,000 | BBB | 6.250% due 3/29/41 | 64,413 | |||||||
30,000 | BBB | 4.900% due 6/15/42 | 35,694 | |||||||
70,000 | BBB | 3.100% due 2/1/43 | 66,539 | |||||||
301,000 | BBB | 4.650% due 6/1/44 | 342,592 | |||||||
73,000 | BBB | 4.350% due 6/15/45 | 80,741 | |||||||
820,000 | BBB | 4.750% due 5/15/46 | 961,569 | |||||||
238,000 | BBB | 4.500% due 3/9/48 | 268,346 | |||||||
273,000 | BBB | 3.550% due 9/15/55(a) | 259,454 | |||||||
1,248,000 | BBB | 3.800% due 12/1/57(a) | 1,235,612 | |||||||
45,000 | BBB | 3.650% due 9/15/59(a) | 43,205 | |||||||
25,000 | BBB+ | Corning Inc., Senior Unsecured Notes, 4.375% due 11/15/57 | 28,122 | |||||||
160,000 | B+ | Frontier Communications Holdings LLC, Senior Secured Notes, 5.000% due 5/1/28(a) | 164,200 | |||||||
Intelsat Jackson Holdings SA, Company Guaranteed Notes: | ||||||||||
400,000 | WR(b) | 5.500% due 8/1/23(g) | 233,500 | |||||||
184,000 | WR(b) | 8.500% due 10/15/24(a)(g) | 109,498 | |||||||
605,000 | WR(b) | 9.750% due 7/15/25(a)(g) | 354,893 | |||||||
132,000 | BBB- | Level 3 Financing Inc., Senior Secured Notes, 3.400% due 3/1/27(a) | 140,808 | |||||||
Motorola Solutions Inc., Senior Unsecured Notes: | ||||||||||
308,000 | BBB- | 4.600% due 2/23/28 | 353,627 | |||||||
261,000 | BBB- | 4.600% due 5/23/29 | 300,126 | |||||||
171,000 | BBB- | 2.300% due 11/15/30 | 165,841 | |||||||
19,000 | BBB- | 5.500% due 9/1/44 | 23,826 | |||||||
150,000 | BBB- | Qwest Corp., Senior Unsecured Notes, 7.250% due 9/15/25 | 178,125 | |||||||
34,000 | BB | Sprint Corp., Company Guaranteed Notes, 7.875% due 9/15/23 | 38,568 | |||||||
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, Senior Secured Notes: | ||||||||||
368,375 | Baa1(b) | 3.360% due 9/20/21(a) | 369,570 | |||||||
1,405,000 | Baa1(b) | 4.738% due 3/20/25(a) | 1,508,577 |
147
Schedules of Investments
(unaudited) (continued)
Core Fixed Income Fund
Face Amount/Units | Rating | Security | Value | |||||||
CORPORATE BONDS & NOTES - 30.2% - (continued) | ||||||||||
Telecommunications - 2.5% - (continued) | ||||||||||
$ 1,000,000 | Baa1(b) | 5.152% due 3/20/28(a) | $ | 1,147,085 | ||||||
330,000 | BBB- | Telefonica Emisiones SA, Company Guaranteed Notes, 4.103% due 3/8/27 | 372,420 | |||||||
T-Mobile USA Inc.: | ||||||||||
Company Guaranteed Notes: | ||||||||||
63,000 | BB | 4.500% due 2/1/26 | 64,676 | |||||||
40,000 | BB | 2.250% due 2/15/26 | 40,388 | |||||||
192,000 | BB | 4.750% due 2/1/28 | 205,461 | |||||||
110,000 | BB | 2.625% due 2/15/29 | 106,347 | |||||||
80,000 | BB | 2.875% due 2/15/31 | 77,270 | |||||||
1,000,000 | BB | 3.500% due 4/15/31 | 1,017,920 | |||||||
Senior Secured Notes: | ||||||||||
360,000 | BBB- | 3.500% due 4/15/25 | 391,160 | |||||||
1,609,000 | BBB- | 3.750% due 4/15/27 | 1,771,485 | |||||||
175,000 | BBB-(h) | 2.050% due 2/15/28 | 174,519 | |||||||
525,000 | BBB- | 3.875% due 4/15/30 | 575,802 | |||||||
415,000 | Baa3(b) | 2.550% due 2/15/31 | 412,128 | |||||||
60,000 | BBB-(h) | 2.250% due 11/15/31 | 57,909 | |||||||
450,000 | BBB- | 4.375% due 4/15/40 | 504,621 | |||||||
60,000 | BBB-(h) | 3.000% due 2/15/41 | 56,417 | |||||||
10,000 | BBB- | 3.300% due 2/15/51 | 9,423 | |||||||
Verizon Communications Inc., Senior Unsecured Notes: | ||||||||||
80,000 | BBB+ | 3.500% due 11/1/24 | 86,994 | |||||||
100,000 | BBB+ | 3.376% due 2/15/25 | 109,022 | |||||||
40,000 | BBB+ | 0.850% due 11/20/25 | 39,621 | |||||||
90,000 | BBB+ | 1.450% due 3/20/26 | 90,951 | |||||||
220,000 | BBB+ | 2.625% due 8/15/26 | 233,986 | |||||||
223,000 | BBB+ | 4.125% due 3/16/27 | 254,793 | |||||||
422,000 | BBB+ | 2.100% due 3/22/28 | 428,101 | |||||||
758,000 | BBB+ | 4.329% due 9/21/28 | 872,644 | |||||||
887,000 | BBB+ | 3.150% due 3/22/30 | 944,863 | |||||||
157,000 | BBB+ | 1.500% due 9/18/30 | 147,623 | |||||||
79,000 | BBB+ | 1.680% due 10/30/30 | 74,261 | |||||||
233,000 | BBB+ | 1.750% due 1/20/31 | 219,156 | |||||||
442,000 | BBB+ | 2.550% due 3/21/31 | 445,189 | |||||||
630,000 | BBB+ | 4.500% due 8/10/33 | 741,615 | |||||||
140,000 | BBB+ | 4.400% due 11/1/34 | 163,923 | |||||||
150,000 | BBB+ | 5.250% due 3/16/37 | 191,645 | |||||||
379,000 | BBB+ | 2.650% due 11/20/40 | 350,553 | |||||||
53,000 | BBB+ | 3.400% due 3/22/41 | 54,069 | |||||||
369,000 | BBB+ | 4.750% due 11/1/41 | 450,275 | |||||||
100,000 | BBB+ | 4.125% due 8/15/46 | 112,930 | |||||||
226,000 | BBB+ | 4.862% due 8/21/46 | 281,346 | |||||||
20,000 | BBB+ | 5.500% due 3/16/47 | 27,040 | |||||||
150,000 | BBB+ | 4.522% due 9/15/48 | 178,072 | |||||||
109,000 | BBB+ | 4.000% due 3/22/50 | 120,148 | |||||||
430,000 | BBB+ | 2.875% due 11/20/50 | 389,403 | |||||||
42,000 | BBB+ | 3.550% due 3/22/51 | 42,754 | |||||||
60,000 | BBB+ | 2.987% due 10/30/56 | 53,691 | |||||||
54,000 | BBB+ | 3.700% due 3/22/61 | 54,685 | |||||||
450,000 | BB- | Vmed O2 UK Financing I PLC, Senior Secured Notes, 4.250% due 1/31/31(a) | 436,691 | |||||||
Vodafone Group PLC, Senior Unsecured Notes: | ||||||||||
161,000 | BBB | 4.125% due 5/30/25 | 180,447 | |||||||
190,000 | BBB | 4.375% due 5/30/28 | 219,036 |
148
Schedules of Investments
(unaudited) (continued)
Core Fixed Income Fund
Face Amount/Units | Rating | Security | Value | |||||||
CORPORATE BONDS & NOTES - 30.2% - (continued) | ||||||||||
Telecommunications - 2.5% - (continued) | ||||||||||
$ 1,241,000 | BBB | 4.875% due 6/19/49 | $ | 1,499,962 | ||||||
|
| |||||||||
Total Telecommunications | 28,032,314 | |||||||||
|
| |||||||||
Toys/Games/Hobbies - 0.0% | ||||||||||
Hasbro Inc., Senior Unsecured Notes: | ||||||||||
44,000 | BBB- | 2.600% due 11/19/22 | 45,346 | |||||||
7,000 | BBB- | 3.900% due 11/19/29 | 7,690 | |||||||
|
| |||||||||
Total Toys/Games/Hobbies | 53,036 | |||||||||
|
| |||||||||
Transportation - 0.4% | ||||||||||
217,000 | AA- | Burlington Northern Santa Fe LLC, Senior Unsecured Notes, 4.150% due 12/15/48 | 257,079 | |||||||
CSX Corp., Senior Unsecured Notes: | ||||||||||
240,000 | BBB+ | 2.600% due 11/1/26 | 256,363 | |||||||
64,000 | BBB+ | 3.250% due 6/1/27 | 70,121 | |||||||
133,000 | BBB+ | 4.250% due 3/15/29 | 153,188 | |||||||
28,000 | BBB+ | 2.400% due 2/15/30 | 28,455 | |||||||
34,000 | BBB+ | 4.300% due 3/1/48 | 39,400 | |||||||
31,000 | BBB+ | 3.350% due 9/15/49 | 31,504 | |||||||
548,000 | BBB | FedEx Corp., Company Guaranteed Notes, 4.250% due 5/15/30 | 628,579 | |||||||
Norfolk Southern Corp., Senior Unsecured Notes: | ||||||||||
181,000 | BBB+ | 2.550% due 11/1/29 | 187,452 | |||||||
33,000 | BBB+ | 4.800% due 8/15/43 | 38,537 | |||||||
37,000 | BBB+ | 4.100% due 5/15/49 | 42,199 | |||||||
36,000 | BBB+ | 3.050% due 5/15/50 | 34,695 | |||||||
Ryder System Inc., Senior Unsecured Notes: | ||||||||||
69,000 | BBB | 2.500% due 9/1/24 | 72,680 | |||||||
115,000 | BBB | 4.625% due 6/1/25 | 130,827 | |||||||
161,000 | BBB | 2.900% due 12/1/26 | 172,989 | |||||||
Union Pacific Corp., Senior Unsecured Notes: | ||||||||||
64,000 | A- | 4.163% due 7/15/22 | 66,203 | |||||||
50,000 | A- | 3.750% due 7/15/25 | 55,712 | |||||||
60,000 | A- | 2.150% due 2/5/27 | 62,256 | |||||||
529,000 | A- | 2.891% due 4/6/36(a) | 536,624 | |||||||
240,000 | A- | 3.250% due 2/5/50 | 240,136 | |||||||
300,000 | A- | 3.839% due 3/20/60 | 322,763 | |||||||
160,000 | A- | 3.750% due 2/5/70 | 167,242 | |||||||
United Parcel Service Inc., Senior Unsecured Notes: | ||||||||||
264,000 | A- | 3.400% due 3/15/29 | 295,164 | |||||||
151,000 | A- | 2.500% due 9/1/29 | 158,278 | |||||||
110,000 | A- | 4.450% due 4/1/30 | 131,515 | |||||||
|
| |||||||||
Total Transportation | 4,179,961 | |||||||||
|
| |||||||||
Trucking & Leasing - 0.0% | ||||||||||
Penske Truck Leasing Co. LP/PTL Finance Corp., Senior Unsecured Notes: | ||||||||||
110,000 | BBB | 2.700% due 11/1/24(a) | 116,481 | |||||||
97,000 | BBB | 3.950% due 3/10/25(a) | 106,463 | |||||||
99,000 | BBB | 4.000% due 7/15/25(a) | 109,457 | |||||||
98,000 | BBB | 1.200% due 11/15/25(a) | 97,437 | |||||||
123,000 | BBB | 1.700% due 6/15/26(a) | 123,975 | |||||||
|
| |||||||||
Total Trucking & Leasing | 553,813 | |||||||||
|
| |||||||||
TOTAL CORPORATE BONDS & NOTES (Cost - $321,512,875) | 342,546,556 | |||||||||
|
| |||||||||
U.S. GOVERNMENT AGENCIES & OBLIGATIONS - 29.6% | ||||||||||
U.S. GOVERNMENT AGENCIES - 0.1% | ||||||||||
345,000 | Federal Home Loan Bank (FHLB), 4.000% due 9/1/28 | 406,680 | ||||||||
Federal National Mortgage Association (FNMA), Principal Strip: |
149
Schedules of Investments
(unaudited) (continued)
Core Fixed Income Fund
Face Amount/Units | Security | Value | ||||||||
U.S. GOVERNMENT AGENCIES & OBLIGATIONS - 29.6% - (continued) | ||||||||||
U.S. GOVERNMENT AGENCIES - 0.1% - (continued) | ||||||||||
$ 575,000 | zero coupon, due 1/15/30(i) | $ | 493,909 | |||||||
595,000 | zero coupon, due 5/15/30(i) | 508,380 | ||||||||
|
| |||||||||
TOTAL U.S. GOVERNMENT AGENCIES | 1,408,969 | |||||||||
|
| |||||||||
U.S. GOVERNMENT OBLIGATIONS - 29.5% | ||||||||||
U.S. Treasury Bonds: | ||||||||||
1,565,000 | 4.375% due 2/15/38 | 2,103,611 | ||||||||
3,815,000 | 1.125% due 8/15/40 | 3,176,062 | ||||||||
6,170,000 | 1.375% due 11/15/40 | 5,365,490 | ||||||||
7,866,000 | 1.875% due 2/15/41 | 7,467,784 | ||||||||
40,000 | 2.250% due 5/15/41 | 40,406 | ||||||||
2,270,000 | 3.125% due 11/15/41 | 2,630,939 | ||||||||
100,000 | 3.125% due 2/15/43 | 116,010 | ||||||||
502,500 | 3.625% due 8/15/43 | 628,684 | ||||||||
11,510,000 | 3.750% due 11/15/43 | 14,679,072 | ||||||||
1,095,000 | 3.625% due 2/15/44 | 1,373,476 | ||||||||
415,000 | 3.125% due 8/15/44 | 482,624 | ||||||||
1,375,000 | 3.000% due 11/15/44 | 1,566,533 | ||||||||
245,000 | 2.875% due 8/15/45 | 273,639 | ||||||||
1,412,500 | 3.000% due 11/15/45 | 1,613,533 | ||||||||
4,260,000 | 2.500% due 2/15/46 | 4,448,621 | ||||||||
738,000 | 3.000% due 2/15/47 | 845,399 | ||||||||
500,000 | 2.750% due 8/15/47 | 547,617 | ||||||||
2,120,000 | 3.000% due 2/15/48 | 2,431,955 | ||||||||
595,000 | 3.375% due 11/15/48 | 731,571 | ||||||||
4,480,000 | 2.000% due 2/15/50 | 4,208,925 | ||||||||
10,870,000 | 1.250% due 5/15/50 | 8,452,911 | ||||||||
10,210,000 | 1.375% due 8/15/50 | 8,202,299 | ||||||||
5,205,000 | 1.625% due 11/15/50 | 4,462,068 | ||||||||
21,198,000 | 1.875% due 2/15/51 | 19,334,895 | ||||||||
9,620,000 | 2.375% due 5/15/51 | 9,836,450 | ||||||||
U.S. Treasury Inflation Indexed Bonds: | ||||||||||
303,444 | 1.750% due 1/15/28 | 370,088 | ||||||||
1,019,608 | 2.125% due 2/15/40 | 1,500,900 | ||||||||
338,668 | 2.125% due 2/15/41 | 502,982 | ||||||||
726,783 | 0.750% due 2/15/42 | 866,893 | ||||||||
556,895 | 1.375% due 2/15/44 | 749,705 | ||||||||
11,248 | 0.750% due 2/15/45 | 13,465 | ||||||||
2,020,000 | U.S. Treasury Strip Principal, zero coupon, due 5/15/49(i) | 1,052,807 | ||||||||
U.S. Treasury Notes: | ||||||||||
1,635,000 | 0.125% due 6/30/22 | 1,635,926 | ||||||||
6,000,000 | 0.125% due 7/31/22 | 6,003,984 | ||||||||
1,765,000 | 0.125% due 11/30/22 | 1,765,620 | ||||||||
9,845,000 | 0.125% due 2/28/23 | 9,845,385 | ||||||||
26,410,000 | 0.125% due 3/31/23 | 26,406,905 | ||||||||
20,495,000 | 0.125% due 4/30/23 | 20,490,196 | ||||||||
3,315,000 | 0.125% due 5/15/23 | 3,314,223 | ||||||||
20,625,000 | 0.125% due 5/31/23 | 20,617,387 | ||||||||
2,065,000 | 0.250% due 6/15/23 | 2,069,114 | ||||||||
620,000 | 0.125% due 7/15/23 | 619,564 | ||||||||
725,000 | 0.125% due 8/15/23 | 724,320 | ||||||||
5,790,000 | 0.125% due 10/15/23 | 5,781,858 | ||||||||
40,000 | 0.250% due 11/15/23 | 40,055 | ||||||||
3,015,000 | 0.125% due 12/15/23 | 3,008,464 |
150
Schedules of Investments
(unaudited) (continued)
Core Fixed Income Fund
Face Amount/Units | Security | Value | ||||||||
U.S. GOVERNMENT AGENCIES & OBLIGATIONS - 29.6% - (continued) | ||||||||||
U.S. GOVERNMENT OBLIGATIONS - 29.5% - (continued) | ||||||||||
$ 5,940,000 | 0.125% due 2/15/24 | $ | 5,922,366 | |||||||
4,100,000 | 0.250% due 3/15/24 | 4,100,000 | ||||||||
4,424,000 | 0.250% due 5/15/24 | 4,417,952 | ||||||||
210,000 | 1.750% due 7/31/24 | 219,352 | ||||||||
480,000 | 0.375% due 4/30/25 | 477,056 | ||||||||
3,730,000 | 0.250% due 5/31/25 | 3,684,322 | ||||||||
3,060,000 | 0.250% due 6/30/25 | 3,019,778 | ||||||||
375,000 | 0.250% due 9/30/25 | 368,789 | ||||||||
2,840,000 | 0.250% due 10/31/25 | 2,788,691 | ||||||||
1,920,000 | 0.375% due 11/30/25 | 1,893,488 | ||||||||
620,000 | 0.375% due 12/31/25 | 610,785 | ||||||||
545,000 | 0.375% due 1/31/26 | 536,112 | ||||||||
4,214,000 | 0.500% due 2/28/26 | 4,165,934 | ||||||||
25,990,000 | 0.750% due 3/31/26 | 25,973,756 | ||||||||
16,936,000 | 0.750% due 4/30/26 | 16,912,845 | ||||||||
18,735,000 | 0.750% due 5/31/26 | 18,690,907 | ||||||||
130,000 | 0.625% due 12/31/27 | 125,435 | ||||||||
7,910,000 | 0.750% due 1/31/28 | 7,683,669 | ||||||||
223,000 | 1.125% due 2/29/28 | 221,833 | ||||||||
1,830,000 | 1.250% due 3/31/28 | 1,832,859 | ||||||||
3,600,000 | 1.250% due 4/30/28 | 3,601,687 | ||||||||
2,910,000 | 1.250% due 5/31/28 | 2,908,409 | ||||||||
18,000 | 0.875% due 11/15/30 | 16,912 | ||||||||
1,310,000 | 1.125% due 2/15/31 | 1,255,655 | ||||||||
10,600,000 | 1.625% due 5/15/31 | 10,630,641 | ||||||||
|
| |||||||||
TOTAL U.S. GOVERNMENT OBLIGATIONS | 334,459,648 | |||||||||
|
| |||||||||
TOTAL U.S. GOVERNMENT AGENCIES & OBLIGATIONS (Cost - $338,953,634) | 335,868,617 | |||||||||
|
| |||||||||
MORTGAGE-BACKED SECURITIES - 24.5% | ||||||||||
FHLMC - 4.3% | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC): | ||||||||||
1,378,927 | 5.000% due 6/1/21 - 3/1/50 | 1,533,280 | ||||||||
974,291 | 4.500% due 4/1/29 - 3/1/50 | 1,055,172 | ||||||||
303,502 | 5.500% due 1/1/30 - 2/1/40 | 347,343 | ||||||||
6,951,241 | 3.000% due 3/1/31 - 9/1/50 | 7,359,532 | ||||||||
3,178,353 | 2.500% due 11/1/31 - 4/1/51 | 3,305,892 | ||||||||
17,860,933 | 3.500% due 4/1/33 - 5/1/50 | 19,270,937 | ||||||||
4,899,845 | 2.000% due 3/1/36 - 5/1/51 | 4,994,379 | ||||||||
35,830 | 6.000% due 5/1/38 - 6/1/39 | 41,946 | ||||||||
10,113 | 7.000% due 3/1/39 | 11,904 | ||||||||
97,265 | 6.500% due 9/1/39 | 111,707 | ||||||||
8,789,781 | 4.000% due 9/1/40 - 3/1/50 | 9,650,703 | ||||||||
171,001 | 2.083% (5-Year CMT Index + 1.284%) due 3/1/47(c) | 178,281 | ||||||||
296,968 | 1.500% due 3/1/51 | 289,022 | ||||||||
|
| |||||||||
TOTAL FHLMC | 48,150,098 | |||||||||
|
| |||||||||
FNMA - 15.7% | ||||||||||
Federal National Mortgage Association (FNMA): | ||||||||||
247,950 | 6.000% due 9/1/21 - 7/1/41 | 284,825 | ||||||||
2,205,587 | 5.000% due 6/1/22 - 3/1/50 | 2,463,446 | ||||||||
1,049,448 | 5.500% due 3/1/23 - 9/1/56 | 1,217,256 | ||||||||
8,580,772 | 4.500% due 3/1/24 - 8/1/58 | 9,427,968 | ||||||||
8,275,812 | 4.000% due 4/1/24 - 6/1/57 | 8,994,233 | ||||||||
15,499,864 | 3.500% due 11/1/25 - 8/1/50 | 16,595,223 |
151
Schedules of Investments
(unaudited) (continued)
Core Fixed Income Fund
Face Amount/Units | Rating | Security | Value | |||||||
MORTGAGE-BACKED SECURITIES - 24.5% - (continued) | ||||||||||
FNMA - 15.7% - (continued) | ||||||||||
$ 13,650,974 | 2.500% due 11/1/27 - 6/1/51 | $ | 14,209,647 | |||||||
26,776,587 | 3.000% due 12/1/27 - 4/1/51 | 28,328,947 | ||||||||
1,157,358 | 3.640% due 3/1/28 | 1,315,667 | ||||||||
77,936 | 3.160% due 5/1/29 | 86,742 | ||||||||
400,000 | 2.790% due 8/1/29 | 436,739 | ||||||||
96,946 | 1.789% (1-Year USD-LIBOR + 1.539%) due 3/1/34(c) | 97,036 | ||||||||
321,281 | 3.360% due 7/1/35 | 358,466 | ||||||||
18,425 | 2.035% (1-Year Treasury Average Rate + 1.860%) due 10/1/35(c) | 19,481 | ||||||||
20,368 | 2.008% (1-Year Treasury Average Rate + 1.850%) due 11/1/35(c) | 21,527 | ||||||||
5,860 | 2.054% (1-Year Treasury Average Rate + 1.875%) due 11/1/35(c) | 6,199 | ||||||||
95,848 | 1.500% due 12/1/35 | 97,264 | ||||||||
35,800,000 | 2.000% due 6/1/36 - 6/1/51(j) | 36,256,136 | ||||||||
21,529,666 | 2.000% due 6/1/36 - 6/1/51 | 21,846,068 | ||||||||
4,540,000 | 1.500% due 7/1/36(j) | 4,590,148 | ||||||||
20,929 | 7.000% due 4/1/37 | 24,058 | ||||||||
42,264 | 1.515% (1-Year USD-LIBOR + 1.265%) due 5/1/37(c) | 42,461 | ||||||||
169,124 | 6.500% due 9/1/37 - 5/1/40 | 196,588 | ||||||||
200,000 | 4.500% due 6/1/51(j) | 215,832 | ||||||||
29,925,000 | 2.500% due 7/1/51 - 8/1/51(j) | 30,911,996 | ||||||||
|
| |||||||||
TOTAL FNMA | 178,043,953 | |||||||||
|
| |||||||||
GNMA - 4.5% | ||||||||||
Government National Mortgage Association (GNMA): | ||||||||||
21,520 | 6.000% due 12/15/33 - 6/15/37 | 24,476 | ||||||||
321,807 | 5.000% due 10/15/34 - 9/15/40 | 368,356 | ||||||||
29,971 | 5.500% due 5/15/37 - 6/15/38 | 34,993 | ||||||||
44,082 | 6.500% due 1/15/38 - 10/15/38 | 52,223 | ||||||||
71,411 | 4.500% due 3/15/41 | 80,604 | ||||||||
475,887 | 4.000% due 6/15/41 - 11/15/45 | 539,318 | ||||||||
269,496 | 3.000% due 9/15/42 - 10/15/42 | 285,698 | ||||||||
195,819 | 3.500% due 6/15/48 - 5/15/50 | 209,551 | ||||||||
Government National Mortgage Association II (GNMA): | ||||||||||
39 | 9.000% due 11/20/21 | 39 | ||||||||
62,989 | 6.000% due 7/20/37 - 11/20/40 | 73,659 | ||||||||
3,825,812 | 4.500% due 1/20/40 - 3/20/50 | 4,145,333 | ||||||||
1,170,106 | 5.000% due 7/20/40 - 1/20/49 | 1,284,868 | ||||||||
5,180,396 | 4.000% due 11/20/40 - 4/20/50 | 5,588,303 | ||||||||
9,583,182 | 3.000% due 1/20/43 - 4/20/51 | 10,061,761 | ||||||||
10,128,211 | 3.500% due 6/20/43 - 11/20/50 | 10,739,238 | ||||||||
4,015,494 | 2.500% due 9/20/50 - 5/20/51 | 4,165,840 | ||||||||
3,904,019 | 2.000% due 12/20/50 - 5/20/51 | 3,974,367 | ||||||||
3,575,000 | 2.000% due 6/20/51(j) | 3,635,887 | ||||||||
6,000,000 | 2.500% due 6/20/51(j) | 6,214,922 | ||||||||
|
| |||||||||
TOTAL GNMA | 51,479,436 | |||||||||
|
| |||||||||
TOTAL MORTGAGE-BACKED SECURITIES (Cost - $273,690,780) | 277,673,487 | |||||||||
|
| |||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS - 9.0% | ||||||||||
1,503,332 | BB+ | Accredited Mortgage Loan Trust, Series 2007-1, Class A4, 0.312% (1-Month USD-LIBOR + 0.220%) due 2/25/37(c) | 1,489,031 | |||||||
568,984 | Aaa(b) | ACRES Commercial Realty Corp., Series 2020-RSO8, Class A, 1.251% (1-Month USD-LIBOR + 1.150%) due 3/15/35(a)(c) | 570,035 | |||||||
81,417 | CC | AFC Home Equity Loan Trust, Series 1999-2, Class 2A, 0.742% (1-Month USD-LIBOR + 0.650%) due 6/25/29(c) | 67,608 | |||||||
909,134 | CCC | Alternative Loan Trust, Series 2005-56, Class 4A1, 0.712% (1-Month USD-LIBOR + 0.620%) due 11/25/35(c) | 896,881 | |||||||
676,600 | BBB | Applebees Funding LLC/IHOP Funding LLC, Series 2019-1A, Class A2I, 4.194% due 6/7/49(a) | 699,174 |
152
Schedules of Investments
(unaudited) (continued)
Core Fixed Income Fund
Face Amount/Units | Rating | Security | Value | |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS - 9.0% - (continued) | ||||||||||
$ 45,850 | Aaa(b) | Ascentium Equipment Receivables Trust, Series 2017-2A, Class A3, 2.310% due 12/10/21(a) | $ | 45,914 | ||||||
Asset-Backed Securities Corp. Home Equity Loan Trust: | ||||||||||
619,287 | CCC | Series 2007-HE1, Class A1B, 0.242% (1-Month USD-LIBOR + 0.150%) due 12/25/36(c) | 603,899 | |||||||
909,450 | CCC | Series 2007-HE1, Class A4, 0.232% (1-Month USD-LIBOR + 0.140%) due 12/25/36(c) | 890,045 | |||||||
BAMLL Commercial Mortgage Securities Trust: | ||||||||||
480,000 | AA- | Series 2015-200P, Class B, 3.490% due 4/14/33(a) | 514,541 | |||||||
420,000 | AAA(h) | Series 2018-PARK, Class A, 4.091% due 8/10/38(a)(c) | 481,014 | |||||||
710,000 | AAA(h) | Series 2020-JGDN, Class A, 2.851% (1-Month USD-LIBOR + 2.750%) due 11/15/30(a)(c) | 722,048 | |||||||
29,080 | AA+ | Banc of America Mortgage Trust, Series 2004-F, Class 1A1, 2.886% due 7/25/34(c) | 29,682 | |||||||
459,457 | AAA | Barings CLO Ltd., Series 2013-IA, Class AR, 0.988% (3-Month USD-LIBOR + 0.800%) due 1/20/28(a)(c) | 459,787 | |||||||
146,560 | WD(h) | Bear Stearns Adjustable Rate Mortgage Trust, Series 2007-3, Class 1A1, 3.159% due 5/25/47(c) | 145,766 | |||||||
64,026 | CCC | Bear Stearns ALT-A Trust, Series 2005-4, Class 23A2, 2.618% due 5/25/35(c) | 65,617 | |||||||
324,771 | CC | Bear Stearns Asset-Backed Securities I Trust, Series 2005-AC6, Class 1A3, 5.500% due | 328,610 | |||||||
Benchmark Mortgage Trust: | ||||||||||
285,000 | AAA | Series 2018-B1, Class A2, 3.571% due 1/15/51 | 295,185 | |||||||
348,000 | AAA | Series 2019-B13, Class A4, 2.952% due 8/15/57 | 373,074 | |||||||
775,000 | AAA | BlueMountain Fuji US Clo I Ltd., Series 2017-1A, Class A1R, 1.168% (3-Month USD-LIBOR + 0.980%) due 7/20/29(a)(c) | 774,223 | |||||||
BX Commercial Mortgage Trust: | ||||||||||
504,000 | NR | Series 2018-IND, Class G, 2.151% (1-Month USD-LIBOR + 2.050%) due 11/15/35(a)(c) | 505,004 | |||||||
940,000 | AAA | Series 2019-IMC, Class A, 1.101% (1-Month USD-LIBOR + 1.000%) due 4/15/34(a)(c) | 939,483 | |||||||
2,005,158 | AA+ | CD Mortgage Trust, Series 2017-CD4, Class XA, 1.285% due 5/10/50(c)(k) | 106,462 | |||||||
545,000 | AA+ | CGRBS Commercial Mortgage Trust, Series 2013-VN05, Class A, 3.369% due 3/13/35(a) | 566,495 | |||||||
50,894 | BB | Chase Mortgage Finance Trust, Series 2007-A1, Class 5A1, 2.726% due 2/25/37(c) | 51,163 | |||||||
Chevy Chase Funding LLC Mortgage-Backed Certificates: | ||||||||||
343,317 | BBB | Series 2004-2A, Class A1, 0.362% (1-Month USD-LIBOR + 0.270%) due 5/25/35(a)(c) | 343,954 | |||||||
1,272,285 | CCC | Series 2004-2A, Class B1, 0.632% due 5/25/35(a)(c) | 1,154,501 | |||||||
CIM Trust: | ||||||||||
651,185 | NR | Series 2018-R5, Class A1, 3.750% due 7/25/58(a)(c) | 652,590 | |||||||
643,097 | NR | Series 2018-R6, Class A1, 1.186% (1-Month USD-LIBOR + 1.076%) due 9/25/58(a)(c) | 638,591 | |||||||
1,383,241 | NR | Series 2019-R4, Class A1, 3.000% due 10/25/59(a)(c) | 1,353,401 | |||||||
748,194 | NR | Series 2020-R6, Class A1A, 2.250% due 12/25/60(a)(c) | 744,580 | |||||||
1,165,151 | NR | Series 2021-R1, Class A2, 2.400% due 8/25/56(a)(c) | 1,170,583 | |||||||
1,709,184 | NR | Series 2021-R3, Class A1A, 1.951% due 6/25/57(a)(c) | 1,729,902 | |||||||
Citigroup Commercial Mortgage Trust: | ||||||||||
140,000 | Aaa(b) | Series 2013-375P, Class A, 3.251% due 5/10/35(a) | 146,013 | |||||||
575,000 | Aaa(b) | Series 2015-P1, Class A5, 3.717% due 9/15/48 | 635,341 | |||||||
285,000 | Aa3(b) | Series 2016-C2, Class B, 3.176% due 8/10/49 | 297,914 | |||||||
740,000 | Aaa(b) | Series 2016-C3, Class A3, 2.896% due 11/15/49 | 790,474 | |||||||
500,000 | Aaa(b) | Series 2016-P5, Class A4, 2.941% due 10/10/49 | 535,839 | |||||||
355,000 | Aaa(b) | Series 2017-P7, Class AAB, 3.509% due 4/14/50 | 383,846 | |||||||
1,651,640 | CC | Citigroup Mortgage Loan Trust, Series 2006-AR6, Class 2A4, 0.532% (1-Month USD-LIBOR + 0.440%) due 9/25/36(c) | 576,250 | |||||||
Commercial Mortgage Trust: | ||||||||||
190,000 | AA-(h) | Series 2013-300P, Class B, 4.394% due 8/10/30(a)(c) | 200,837 | |||||||
260,000 | CCC | Series 2013-CR9, Class E, 4.270% due 7/10/45(a)(c) | 76,577 | |||||||
534,851 | Aaa(b) | Series 2013-CR11, Class A3, 3.983% due 8/10/50 | 572,843 | |||||||
40,000 | A2(b) | Series 2013-CR12, Class B, 4.762% due 10/10/46(c) | 42,555 | |||||||
20,000 | Ba1(b) | Series 2013-CR12, Class C, 5.072% due 10/10/46(c) | 20,246 | |||||||
205,000 | Baa1(b) | Series 2014-CR17, Class C, 4.784% due 5/10/47(c) | 218,969 | |||||||
140,000 | AAA | Series 2014-CR18, Class A5, 3.828% due 7/15/47 | 152,264 | |||||||
353,328 | AAA | Series 2014-CR18, Class ASB, 3.452% due 7/15/47 | 364,692 | |||||||
210,000 | A-(h) | Series 2014-CR21, Class C, 4.422% due 12/10/47(c) | 221,458 | |||||||
345,000 | Aaa(b) | Series 2014-LC17, Class A5, 3.917% due 10/10/47 | 377,403 | |||||||
2,937,119 | Aa1(b) | Series 2015-CR25, Class XA, 0.824% due 8/10/48(c)(k) | 87,445 |
153
Schedules of Investments
(unaudited) (continued)
Core Fixed Income Fund
Face Amount/Units | Rating | Security | Value | |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS - 9.0% - (continued) | ||||||||||
$ 175,000 | Aaa(b) | Series 2015-CR26, Class A4, 3.630% due 10/10/48 | $ | 192,711 | ||||||
901,983 | Aaa(b) | Series 2015-CR27, Class A3, 3.349% due 10/10/48 | 964,433 | |||||||
465,000 | Aaa(b) | Series 2018-COR3, Class A3, 4.228% due 5/10/51 | 535,357 | |||||||
Countrywide Asset-Backed Certificates: | ||||||||||
82,377 | CCC | Series 2006-SD3, Class A1, 0.752% (1-Month USD-LIBOR + 0.660%) due 7/25/36(a)(c) | 80,371 | |||||||
233,791 | AA | Series 2007-13, Class 2A2, 0.892% (1-Month USD-LIBOR + 0.800%) due 10/25/47(c) | 232,450 | |||||||
Countrywide Home Loan Mortgage Pass-Through Trust: | ||||||||||
64,770 | WR(b) | Series 2005-11, Class 3A3, 2.706% due 4/25/35(c) | 53,118 | |||||||
53,167 | WR(b) | Series 2005-11, Class 6A1, 0.692% (1-Month USD-LIBOR + 0.600%) due 3/25/35(c) | 43,849 | |||||||
Credit Suisse Commercial Mortgage Capital Trust: | ||||||||||
1,260,000 | CCC | Series 2014-USA, Class F, 4.373% due 9/15/37(a) | 972,478 | |||||||
276,639 | NR | Series 2015-5R, Class 1A1, 1.068% due 9/27/46(a)(c) | 278,309 | |||||||
422,262 | NR | Series 2021-2R, Class 1A1, 1.860% (1-Month USD-LIBOR + 1.750%) due 7/25/47(a)(c) | 426,693 | |||||||
1,700,000 | NR | Series 2021-RPL4, Class A1, 1.796% due 12/27/60(a)(c) | 1,703,707 | |||||||
190,000 | BBB- | Credit Suisse Commercial Mortgage Securities Corp., Series 2019-SKLZ, Class D, 3.701% (1-Month USD-LIBOR + 3.600%) due 1/15/34(a)(c) | 187,910 | |||||||
36,737 | WR(b) | Credit Suisse First Boston Mortgage Securities Corp., Series 2005-6, Class 8A1, 4.500% due 7/25/20 | 37,483 | |||||||
Credit Suisse Mortgage Capital Certificates: | ||||||||||
1,024,735 | AAA(h) | Series 2018-J1, Class A2, 3.500% due 2/25/48(a)(c) | 1,055,372 | |||||||
660,000 | Aaa(b) | Series 2019-ICE4, Class A, 1.081% (1-Month USD-LIBOR + 0.980%) due 5/15/36(a)(c) | 662,100 | |||||||
950,000 | B2(b) | Series 2019-ICE4, Class F, 2.751% (1-Month USD-LIBOR + 2.650%) due 5/15/36(a)(c) | 953,877 | |||||||
CSAIL Commercial Mortgage Trust: | ||||||||||
295,000 | Aaa(b) | Series 2015-C1, Class A4, 3.505% due 4/15/50 | 319,416 | |||||||
180,000 | Aaa(b) | Series 2021-C20, Class A3, 2.805% due 3/15/54 | 189,047 | |||||||
757,552 | CC | CWABS Revolving Home Equity Loan Trust, Series 2004-B, Class 2A, 0.321% (1-Month USD-LIBOR + 0.220%) due 2/15/29(c) | 714,487 | |||||||
350,000 | AA-(h) | DBJPM Mortgage Trust, Series 2016-C1, Class B, 4.195% due 5/10/49(c) | 379,204 | |||||||
1,417,000 | Aaa(b) | DBWF Mortgage Trust, Series 2018-AMXP, Class A, 3.747% due 5/5/35(a)(c) | 1,444,646 | |||||||
390,000 | Aaa(b) | DC Office Trust, Series 2019-MTC, Class A, 2.965% due 9/15/45(a) | 414,306 | |||||||
38,953 | CCC | Downey Savings & Loan Association Mortgage Loan Trust, Series 2004-AR2, Class A2B, 0.898% (1-Month USD-LIBOR + 0.800%) due 11/19/44(c) | 36,566 | |||||||
700,000 | AAA | Dryden XXVIII Senior Loan Fund, Series 2013-28A, Class A1LR, 1.356% (3-Month USD-LIBOR + 1.200%) due 8/15/30(a)(c) | 701,077 | |||||||
250,124 | B- | Equifirst Mortgage Loan Trust, Series 2003-2, Class M2, 2.642% (1-Month USD-LIBOR + 2.550%) due 9/25/33(c) | 251,602 | |||||||
Federal Home Loan Mortgage Corp. (FHLMC), Interest Strips: | ||||||||||
70,065 | NR | Series 334, Class S7, 5.999% (6.100% - 1-Month USD-LIBOR) due 8/15/44(k)(l) | 15,152 | |||||||
108,688 | NR | Series 353, Class S1, 5.899% (6.000% - 1-Month USD-LIBOR) due 12/15/46(k)(l) | 22,814 | |||||||
Federal Home Loan Mortgage Corp. (FHLMC), REMICS: | ||||||||||
5,441 | NR | Series 1865, Class DA, 29.624% (31.310% - 11th District Cost of Funds Index) due 2/15/24(k)(l) | 981 | |||||||
20,161 | NR | Series 3451, Class SB, 5.929% (6.030% - 1-Month USD-LIBOR) due 5/15/38(k)(l) | 3,113 | |||||||
59,503 | NR | Series 3621, Class SB, 6.129% (6.230% - 1-Month USD-LIBOR) due 1/15/40(k)(l) | 11,865 | |||||||
555,000 | NR | Series 3743, Class PB, 4.500% due 10/15/40 | 634,219 | |||||||
718,895 | NR | Series 3866, Class SA, 5.849% (5.950% - 1-Month USD-LIBOR) due 5/15/41(k)(l) | 124,513 | |||||||
212,695 | NR | Series 3947, Class SG, 5.849% (5.950% - 1-Month USD-LIBOR) due 10/15/41(k)(l) | 34,395 | |||||||
19,661 | NR | Series 3973, Class SA, 6.389% (6.490% - 1-Month USD-LIBOR) due 12/15/41(k)(l) | 4,334 | |||||||
205,396 | NR | Series 4203, Class PS, 6.149% (6.250% - 1-Month USD-LIBOR) due 9/15/42(k)(l) | 29,753 | |||||||
190,381 | NR | Series 4210, Class Z, 3.000% due 5/15/43 | 198,335 | |||||||
85,298 | NR | Series 4239, Class IO, 3.500% due 6/15/27(k) | 5,082 | |||||||
331,138 | NR | Series 4316, Class XZ, 4.500% due 3/15/44 | 378,338 | |||||||
64,547 | NR | Series 4335, Class SW, 5.899% (6.000% - 1-Month USD-LIBOR) due 5/15/44(k)(l) | 12,197 | |||||||
859,012 | NR | Series 4639, Class HZ, step bond to yield, 3.250% due 4/15/53 | 929,716 | |||||||
410,024 | NR | Series 4879, Class BC, 3.000% due 4/15/49 | 425,214 | |||||||
87,939 | NR | Series 5010, Class IK, 2.500% due 9/25/50(k) | 12,597 | |||||||
286,158 | NR | Series 5010, Class JI, 2.500% due 9/25/50(k) | 45,013 | |||||||
96,760 | NR | Series 5013, Class IN, 2.500% due 9/25/50(k) | 15,757 | |||||||
195,168 | NR | Series 5018, Class MI, 2.000% due 10/25/50(k) | 24,649 | |||||||
95,648 | NR | Series 5040, Class IB, 2.500% due 11/25/50(k) | 13,151 |
154
Schedules of Investments
(unaudited) (continued)
Core Fixed Income Fund
Face Amount/Units | Rating | Security | Value | |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS - 9.0% - (continued) | ||||||||||
$ 61,258 | NR | Series R007, Class ZA, 6.000% due 5/15/36 | $ | 72,559 | ||||||
410,000 | BB+ | Federal Home Loan Mortgage Corp. (FHLMC), Structured Agency Credit Risk REMIC, Series 2021-DNA1, Class M2, 1.810% (SOFR + 1.800%) due 1/25/51(a)(c) | 411,765 | |||||||
Federal National Mortgage Association (FNMA), ACES: | ||||||||||
7,651,677 | NR | Series 2013-M7, Class X2, 0.170% due 12/27/22(c)(k) | 25,993 | |||||||
4,249,101 | NR | Series 2015-M7, Class X2, 0.474% due 12/25/24(c)(k) | 61,187 | |||||||
16,990,760 | NR | Series 2015-M8, Class X2, 0.098% due 1/25/25(c)(k) | 58,008 | |||||||
100,000 | NR | Series 2017-M8, Class A2, 3.061% due 5/25/27(c) | 110,139 | |||||||
80,000 | NR | Series 2019-M4, Class A2, 3.610% due 2/25/31 | 92,683 | |||||||
211,895 | NR | Series 2019-M19, Class A2, 2.560% due 9/25/29 | 227,522 | |||||||
121,478 | NR | Series 2019-M28, Class AV, 2.232% due 2/25/27 | 128,428 | |||||||
94,496 | NR | Series 2020-M6, Class A, 2.500% due 10/25/37 | 96,441 | |||||||
597,214 | NR | Series 2020-M36, Class X1, 1.467% due 9/25/34(c)(k) | 63,542 | |||||||
Federal National Mortgage Association (FNMA), Connecticut Avenue Securities: | ||||||||||
849,675 | Baa3(b) | Series 2017-C03, Class 1M2, 3.092% (1-Month USD-LIBOR + 3.000%) due 10/25/29(a)(c) | 873,541 | |||||||
874,343 | BB(h) | Series 2017-C07, Class 1M2, 2.492% (1-Month USD-LIBOR + 2.400%) due 5/25/30(a)(c) | 887,926 | |||||||
561,778 | BB-(h) | Series 2018-C06, Class 1M2, 2.092% (1-Month USD-LIBOR + 2.000%) due 3/25/31(a)(c) | 565,408 | |||||||
Federal National Mortgage Association (FNMA), Grantor Trust: | ||||||||||
56,331 | NR | Series 2000-T6, Class A3, 4.238% due 11/25/40(c) | 57,697 | |||||||
99,625 | NR | Series 2017-T1, Class A, 2.898% due 6/25/27 | 108,697 | |||||||
Federal National Mortgage Association (FNMA), Interest Strip: | ||||||||||
80,864 | NR | Series 409, Class C13, 3.500% due 11/25/41(k) | 7,701 | |||||||
170,785 | NR | Series 409, Class C18, 4.000% due 4/25/42(k) | 23,569 | |||||||
23,028 | NR | Series 409, Class C22, 4.500% due 11/25/39(k) | 4,291 | |||||||
Federal National Mortgage Association (FNMA), REMICS: | ||||||||||
18,804 | NR | Series 2004-38, Class FK, 0.442% (1-Month USD-LIBOR + 0.350%) due 5/25/34(c) | 18,935 | |||||||
55,365 | NR | Series 2005-117, Class LC, 5.500% due 11/25/35 | 57,803 | |||||||
376,616 | NR | Series 2006-51, Class SP, 6.558% (6.650% - 1-Month USD-LIBOR) due 3/25/36(k)(l) | 50,936 | |||||||
184,424 | NR | Series 2007-68, Class SC, 6.608% (6.700% - 1-Month USD-LIBOR) due 7/25/37(k)(l) | 38,020 | |||||||
479,736 | NR | Series 2008-18, Class SM, 6.908% (7.000% - 1-Month USD-LIBOR) due 3/25/38(k)(l) | 76,754 | |||||||
503,222 | NR | Series 2011-8, Class ZA, 4.000% due 2/25/41 | 541,642 | |||||||
181,123 | NR | Series 2011-87, Class SG, 6.458% (6.550% - 1-Month USD-LIBOR) due 4/25/40(k)(l) | 17,943 | |||||||
770,000 | NR | Series 2011-131, Class PB, 4.500% due 12/25/41 | 885,516 | |||||||
57,100 | NR | Series 2012-35, Class SC, 6.408% (6.500% - 1-Month USD-LIBOR) due 4/25/42(k)(l) | 11,591 | |||||||
78,576 | NR | Series 2012-46, Class BA, 6.000% due 5/25/42 | 92,685 | |||||||
115,571 | NR | Series 2012-51, Class B, 7.000% due 5/25/42 | 142,487 | |||||||
5,287 | NR | Series 2012-70, Class YS, 6.558% (6.650% - 1-Month USD-LIBOR) due 2/25/41(k)(l) | 252 | |||||||
97,338 | NR | Series 2012-74, Class SA, 6.558% (6.650% - 1-Month USD-LIBOR) due 3/25/42(k)(l) | 16,527 | |||||||
16,223 | NR | Series 2012-75, Class AO, zero coupon, due 3/25/42(i) | 15,430 | |||||||
49,133 | NR | Series 2012-101, Class BI, 4.000% due 9/25/27(k) | 2,530 | |||||||
40,494 | NR | Series 2012-118, Class CI, 3.500% due 12/25/39(k) | 858 | |||||||
74,534 | NR | Series 2012-133, Class CS, 6.058% (6.150% - 1-Month USD-LIBOR) due 12/25/42(k)(l) | 15,589 | |||||||
289,226 | NR | Series 2013-9, Class BC, 6.500% due 7/25/42 | 347,540 | |||||||
234,551 | NR | Series 2013-9, Class CB, 5.500% due 4/25/42 | 270,415 | |||||||
64,278 | NR | Series 2013-54, Class BS, 6.058% (6.150% - 1-Month USD-LIBOR) due 6/25/43(k)(l) | 13,820 | |||||||
344,234 | NR | Series 2018-55, Class PA, 3.500% due 1/25/47 | 359,590 | |||||||
294,069 | NR | Series 2018-57, Class QA, 3.500% due 5/25/46 | 303,771 | |||||||
236,787 | NR | Series 2018-94, Class KD, 3.500% due 12/25/48 | 249,718 | |||||||
203,697 | NR | Series 2020-47, Class GZ, 2.000% due 7/25/50 | 181,208 | |||||||
185,649 | NR | Series 2020-56, Class DI, 2.500% due 8/25/50(k) | 29,921 | |||||||
FHLMC Multifamily Structured Pass-Through Certificates: | ||||||||||
198,586 | AAA(h) | Series K016, Class X1, 1.481% due 10/25/21(c)(k) | 37 | |||||||
1,039,413 | AAA(h) | Series K736, Class X1, 1.312% due 7/25/26(c)(k) | 58,869 | |||||||
256,003 | NR | Series KIR2, Class A1, 2.748% due 3/25/27 | 272,646 |
155
Schedules of Investments
(unaudited) (continued)
Core Fixed Income Fund
Face Amount/Units | Rating | Security | Value | |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS - 9.0% - (continued) | ||||||||||
FHLMC Structured Agency Credit Risk Debt Notes: | ||||||||||
$ 366,276 | A3(b) | Series 2016-DNA1, Class M3, 5.642% (1-Month USD-LIBOR + 5.550%) due 7/25/28(c) | $ | 384,458 | ||||||
655,000 | BBB(h) | Series 2017-DNA2, Class M2, 3.542% (1-Month USD-LIBOR + 3.450%) due 10/25/29(c) | 683,552 | |||||||
242,320 | BB(h) | Series 2017-HRP1, Class M2, 2.542% (1-Month USD-LIBOR + 2.450%) due 12/25/42(c) | 241,223 | |||||||
First Franklin Mortgage Loan Trust: | ||||||||||
1,265,552 | CC | Series 2006-FF13, Class A2D, 0.572% (1-Month USD-LIBOR + 0.480%) due 10/25/36(c) | 1,047,710 | |||||||
718,170 | CCC | Series 2006-FF15, Class A2, 0.212% (1-Month USD-LIBOR + 0.120%) due 11/25/36(c) | 687,169 | |||||||
1,370,000 | AAA | Ford Credit Floorplan Master Owner Trust A, Series 2018-3, Class A1, 3.520% due 10/15/23 | 1,387,189 | |||||||
579,189 | NR | FREMF Mortgage Trust, Series 2019-KF58, Class B, 2.257% (1-Month USD-LIBOR + 2.150%) due 1/25/26(a)(c) | 579,296 | |||||||
191,749 | NR | FRESB Mortgage Trust, Series 2019-SB60, Class A10H, 3.500% due 1/25/39(c) | 205,422 | |||||||
Government National Mortgage Association (GNMA): | ||||||||||
363,520 | NR | Series 2007-51, Class SG, 6.481% (6.580% - 1-Month USD-LIBOR) due 8/20/37(k)(l) | 56,079 | |||||||
1,128,982 | NR | Series 2008-51, Class GS, 6.129% (6.230% - 1-Month USD-LIBOR) due 6/16/38(k)(l) | 226,226 | |||||||
23,803 | NR | Series 2010-85, Class HS, 6.551% (6.650% - 1-Month USD-LIBOR) due 1/20/40(k)(l) | 1,739 | |||||||
230,502 | NR | Series 2012-H27, Class AI, 1.754% due 10/20/62(c)(k) | 11,218 | |||||||
148,905 | NR | Series 2013-53, Class OI, 3.500% due 4/20/43(k) | 15,513 | |||||||
1,289,158 | NR | Series 2013-85, Class IA, 0.388% due 3/16/47(c)(k) | 18,747 | |||||||
122,805 | NR | Series 2013-107, Class AD, 2.754% due 11/16/47(c) | 128,962 | |||||||
98,512 | NR | Series 2014-105, Class IO, 0.218% due 6/16/54(c)(k) | 4,447 | |||||||
1,413,529 | NR | Series 2014-H20, Class FA, 0.540% (1-Month USD-LIBOR + 0.430%) due 10/20/64(c) | 1,420,779 | |||||||
69,595 | NR | Series 2015-167, Class OI, 4.000% due 4/16/45(k) | 10,892 | |||||||
243,907 | NR | Series 2015-167, Class SA, 6.151% (6.250% - 1-Month USD-LIBOR) due 11/20/45(k)(l) | 46,039 | |||||||
69,418 | NR | Series 2016-84, Class IG, 4.500% due 11/16/45(k) | 11,856 | |||||||
59,968 | NR | Series 2016-135, Class SB, 5.999% (6.100% - 1-Month USD-LIBOR) due 10/16/46(k)(l) | 17,049 | |||||||
109,976 | NR | Series 2017-187, Class SJ, 6.101% (6.200% - 1-Month USD-LIBOR) due 12/20/47(k)(l) | 23,155 | |||||||
646,172 | NR | Series 2017-H22, Class IC, 2.473% due 11/20/67(c)(k) | 58,522 | |||||||
151,430 | NR | Series 2018-124, Class NW, 3.500% due 9/20/48 | 162,653 | |||||||
38,256 | NR | Series 2018-130, Class A, 3.250% due 5/16/59 | 39,462 | |||||||
372,825 | NR | Series 2019-12, Class QA, 3.500% due 9/20/48 | 394,689 | |||||||
617,115 | NR | Series 2019-86, Class C, 2.500% due 3/20/49 | 646,326 | |||||||
258,992 | NR | Series 2019-119, Class JE, 3.000% due 9/20/49 | 268,255 | |||||||
43,436 | NR | Series 2019-123, Class A, 3.000% due 10/20/49 | 44,768 | |||||||
371,576 | NR | Series 2020-47, Class MI, 3.500% due 4/20/50(k) | 58,034 | |||||||
92,765 | NR | Series 2020-47, Class NI, 3.500% due 4/20/50(k) | 14,254 | |||||||
97,974 | NR | Series 2020-123, Class IL, 2.500% due 8/20/50(k) | 13,954 | |||||||
292,272 | NR | Series 2020-123, Class NI, 2.500% due 8/20/50(k) | 41,730 | |||||||
97,651 | NR | Series 2020-127, Class IN, 2.500% due 8/20/50(k) | 13,889 | |||||||
97,351 | NR | Series 2020-129, Class IE, 2.500% due 9/20/50(k) | 13,819 | |||||||
98,152 | NR | Series 2020-160, Class IH, 2.500% due 10/20/50(k) | 14,217 | |||||||
97,589 | NR | Series 2020-160, Class VI, 2.500% due 10/20/50(k) | 13,943 | |||||||
392,499 | NR | Series 2020-160, Class YI, 2.500% due 10/20/50(k) | 55,330 | |||||||
489,843 | NR | Series 2020-181, Class WI, 2.000% due 12/20/50(k) | 56,182 | |||||||
289,388 | NR | Series 2020-H09, Class FL, 1.249% (1-Month USD-LIBOR + 1.150%) due 5/20/70(c) | 305,105 | |||||||
97,282 | NR | Series 2020-H12, Class F, 0.599% (1-Month USD-LIBOR + 0.500%) due 7/20/70(c) | 98,763 | |||||||
385,219 | NR | Series 2020-H13, Class FA, 0.549% (1-Month USD-LIBOR + 0.450%) due 7/20/70(c) | 390,454 | |||||||
85,440 | NR | Series 2020-H13, Class FC, 0.549% (1-Month USD-LIBOR + 0.450%) due 7/20/70(c) | 86,507 | |||||||
GS Mortgage Securities Corp. II: | ||||||||||
710,000 | A- | Series 2018-SRP5, Class A, 1.401% (1-Month USD-LIBOR + 1.300%) due 9/15/31(a)(c) | 659,364 | |||||||
370,000 | AAA | Series 2021-ROSS, Class A, 1.300% (1-Month USD-LIBOR + 1.150%) due 5/15/26(a)(c) | 370,664 | |||||||
Harborview Mortgage Loan Trust: | ||||||||||
85,540 | AA+ | Series 2004-5, Class 2A6, 2.567% due 6/19/34(c) | 89,248 | |||||||
39,820 | WD(h) | Series 2006-2, Class 1A, 2.623% due 2/25/36(c) | 17,886 | |||||||
821,505 | Caa2(b) | Series 2006-10, Class 1A1A, 0.298% (1-Month USD-LIBOR + 0.200%) due 11/19/36(c) | 767,751 |
156
Schedules of Investments
(unaudited) (continued)
Core Fixed Income Fund
Face Amount/Units | Rating | Security | Value | |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS - 9.0% - (continued) | ||||||||||
$ 400,000 | Aa3(b) | Hildene Community Funding CDO Ltd., Series 2015-1A, Class AR, 3.250% due 11/1/35(a)(e) | $ | 400,000 | ||||||
780,000 | CC | Home Equity Asset Trust, Series 2005-6, Class M5, 1.037% (1-Month USD-LIBOR + 0.945%) due 12/25/35(c) | 773,147 | |||||||
69,886 | AA | Impac CMB Trust, Series 2007-A, Class A, 0.592% (1-Month USD-LIBOR + 0.500%) due 5/25/37(a)(c) | 69,778 | |||||||
710,000 | AAA(h) | Independence Plaza Trust, Series 2018-INDP, Class A, 3.763% due 7/10/35(a) | 756,579 | |||||||
33,502 | Caa2(b) | Indymac Index Mortgage Loan Trust, Series 2005-AR15, Class A2, 2.972% due 9/25/35(c) | 32,125 | |||||||
1,142,602 | CCC | IndyMac INDX Mortgage Loan Trust, Series 2005-AR14, Class 2A1A, 0.692% (1-Month USD-LIBOR + 0.600%) due 7/25/35(c) | 1,071,725 | |||||||
335,585 | NR | InStar Leasing III LLC, Series 2021-1A, Class A, 2.300% due 2/15/54(a) | 338,333 | |||||||
971,314 | CC | IXIS Real Estate Capital Trust, Series 2006-HE2, Class A3, 0.412% (1-Month USD-LIBOR + 0.320%) due 8/25/36(c) | 371,396 | |||||||
JP Morgan Chase Commercial Mortgage Securities Trust: | ||||||||||
350,000 | Aaa(b) | Series 2016-NINE, Class A, 2.854% due 9/6/38(a)(c) | 373,442 | |||||||
1,710,000 | Caa1(b) | Series 2018-PHH, Class F, 4.510% (1-Month USD-LIBOR + 3.010%) due 6/15/35(a)(c)(f) | 509,890 | |||||||
365,000 | Aaa(b) | Series 2019-OSB, Class A, 3.397% due 6/5/39(a) | 400,104 | |||||||
1,131,432 | CCC | JP Morgan Mortgage Acquisition Corp., Series 2006-FRE1, Class M1, 0.677% (1-Month USD-LIBOR + 0.585%) due 5/25/35(c) | 1,127,651 | |||||||
JP Morgan Mortgage Trust: | ||||||||||
8,047 | Aaa(b) | Series 2017-2, Class A6, 3.000% due 5/25/47(a)(c) | 8,054 | |||||||
354,962 | AA+ | Series 2018-3, Class A1, 3.500% due 9/25/48(a)(c) | 362,063 | |||||||
131,607 | AA+ | Series 2018-4, Class A1, 3.500% due 10/25/48(a)(c) | 134,528 | |||||||
322,349 | AA+ | Series 2018-5, Class A1, 3.500% due 10/25/48(a)(c) | 326,673 | |||||||
103,767 | AAA | Series 2019-1, Class A11, 1.042% (1-Month USD-LIBOR + 0.950%) due 5/25/49(a)(c) | 104,399 | |||||||
JPMBB Commercial Mortgage Securities Trust: | ||||||||||
40,000 | Aa3(b) | Series 2013-C17, Class B, 4.889% due 1/15/47(c) | 42,922 | |||||||
350,000 | BB(h) | Series 2014-C23, Class E, 3.364% due 9/15/47(a)(c) | 257,271 | |||||||
399,281 | Aaa(b) | JPMCC Commercial Mortgage Securities Trust, Series 2019-BOLT, Class A, 1.251% (1-Month USD-LIBOR + 1.150%) due 7/15/34(a)(c) | 395,750 | |||||||
JPMDB Commercial Mortgage Securities Trust: | ||||||||||
340,000 | A(h) | Series 2017-C5, Class B, 4.009% due 3/15/50(c) | 363,991 | |||||||
190,000 | Aaa(b) | Series 2017-C7, Class A5, 3.409% due 10/15/50 | 209,765 | |||||||
130,000 | AA- | Series 2018-C8, Class B, 4.522% due 6/15/51 | 148,057 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust: | ||||||||||
175,000 | Aaa(b) | Series 2011-C5, Class AS, 5.422% due 8/15/46(a)(c) | 175,648 | |||||||
370,000 | A1(b) | Series 2011-C5, Class B, 5.422% due 8/15/46(a)(c) | 371,757 | |||||||
460,000 | AA | Series 2012-HSBC, Class C, 4.021% due 7/5/32(a) | 471,063 | |||||||
108,124 | Aaa(b) | JPMorgan Trust, Series 2015-5, Class A9, 2.463% due 5/25/45(a)(c) | 111,889 | |||||||
Legacy Mortgage Asset Trust: | ||||||||||
782,221 | NR | Series 2019-GS5, Class A1, step bond to yield, 3.200% due 5/25/59(a) | 790,002 | |||||||
772,510 | NR | Series 2021-GS2, Class A1, step bond to yield, 1.750% due 4/25/61(a) | 775,007 | |||||||
32,631 | Ca(b) | Lehman XS Trust, Series 2005-7N, Class 1A1B, 0.692% (1-Month USD-LIBOR + 0.600%) due 12/25/35(c) | 26,167 | |||||||
700,000 | Aaa(b) | Magnetite XVIII Ltd., Series 2016-18A, Class AR, 1.236% (3-Month USD-LIBOR + 1.080%) due 11/15/28(a)(c) | 700,180 | |||||||
198,189 | BBB(h) | MASTR Seasoned Securitization Trust, Series 2005-1, Class 4A1, 2.726% due 10/25/32(c) | 205,781 | |||||||
250,660 | CC | Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-4, Class 2A4, 0.342% (1-Month USD-LIBOR + 0.250%) due 7/25/37(c) | 167,986 | |||||||
13,695 | A+ | Merrill Lynch Mortgage Investors Trust, Series 2004-A3, Class 4A3, 2.413% due 5/25/34(c) | 13,736 | |||||||
326,176 | AA+ | Mid-State Capital Corp. Trust, Series 2004-1, Class A, 6.005% due 8/15/37 | 346,158 | |||||||
500,000 | AAA(h) | MKT Mortgage Trust, Series 2020-525M, Class A, 2.694% due 2/12/40(a) | 520,286 | |||||||
ML-CFC Commercial Mortgage Trust: | ||||||||||
31,859 | Caa2(b) | Series 2007-5, Class AJ, 5.450% due 8/12/48(c) | 15,930 | |||||||
5,575 | WD(h) | Series 2007-9, Class AJ, 6.193% due 9/12/49(c) | 5,494 | |||||||
Morgan Stanley Bank of America Merrill Lynch Trust: | ||||||||||
500,000 | Aaa(b) | Series 2013-C13, Class A4, 4.039% due 11/15/46(m) | 537,575 | |||||||
636,035 | Aaa(b) | Series 2016-C28, Class A3, 3.272% due 1/15/49(m) | 677,899 | |||||||
384,123 | NR | Morgan Stanley Resecuritization Trust, Series 2014-R3, Class 2A, zero coupon, due | 387,554 | |||||||
390,000 | Aaa(b) | Natixis Commercial Mortgage Securities Trust, Series 2020-2PAC, Class A, 2.966% due 12/15/38(a) | 409,967 | |||||||
New Residential Mortgage Loan Trust: | ||||||||||
217,991 | AAA | Series 2016-4A, Class A1, 3.750% due 11/25/56(a)(c) | 233,154 | |||||||
731,745 | Aaa(b) | Series 2019-6A, Class A1B, 3.500% due 9/25/59(a)(c) | 775,405 |
157
Schedules of Investments
(unaudited) (continued)
Core Fixed Income Fund
Face Amount/Units | Rating | Security | Value | |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS - 9.0% - (continued) | ||||||||||
$ 366,774 | AAA | Oak Street Investment Grade Net Lease Fund, Series 2020-1A, Class A1, 1.850% due 11/20/50(a) | $ | 373,184 | ||||||
500,000 | Aaa(b) | One Bryant Park Trust, Series 2019-OBP, Class A, 2.516% due 9/15/54(a) | 514,263 | |||||||
412,636 | BBB- | Option One Mortgage Loan Trust, Series 2004-3, Class M1, 0.872% (1-Month USD-LIBOR + 0.780%) due 11/25/34(c) | 412,651 | |||||||
800,000 | AAA | Palmer Square CLO Ltd., Series 2014-1A, Class A1R2, 1.320% (3-Month USD-LIBOR + 1.130%) due 1/17/31(a)(c) | 801,384 | |||||||
1,656,296 | CCC | Park Place Securities Inc. Asset-Backed Pass-Through Certificates, Series 2004-WWF1, Class M5, 1.892% (1-Month USD-LIBOR + 1.800%) due 12/25/34(c) | 1,672,121 | |||||||
790,484 | Aaa(b) | PFP Ltd., Series 2019-5, Class A, 1.068% (1-Month USD-LIBOR + 0.970%) due | 790,721 | |||||||
PFS Financing Corp.: | ||||||||||
1,230,000 | AAA | Series 2019-B, Class A, 0.651% (1-Month USD-LIBOR + 0.550%) due 9/15/23(a)(c) | 1,231,740 | |||||||
400,000 | AAA | Series 2020-E, Class A, 1.000% due 10/15/25(a) | 404,719 | |||||||
190,000 | AAA | Series 2021-A, Class A, 0.710% due 4/15/26(a) | 190,532 | |||||||
PMT Credit Risk Transfer Trust: | ||||||||||
531,590 | NR | Series 2019-2R, Class A, 2.840% (1-Month USD-LIBOR + 2.750%) due 5/27/23(a)(c) | 526,245 | |||||||
354,213 | NR | Series 2019-3R, Class A, 2.790% (1-Month USD-LIBOR + 2.700%) due 10/27/22(a)(c) | 355,455 | |||||||
Prime Mortgage Trust: | ||||||||||
11,288 | WR(b) | Series 2006-DR1, Class 1A1, 5.500% due 5/25/35(a) | 11,297 | |||||||
694,160 | WR(b) | Series 2006-DR1, Class 2A1, 5.500% due 5/25/35(a) | 640,470 | |||||||
1,535,000 | AAA | RBS Commercial Funding Inc. Trust, Series 2013-GSP, Class A, 3.834% due 1/15/32(a)(c) | 1,637,103 | |||||||
142,104 | Caa2(b) | Residential Asset Securitization Trust, Series 2005-A15, Class 1A4, 5.750% due 2/25/36 | 146,319 | |||||||
SBA Small Business Investment Cos.: | ||||||||||
531,230 | NR | Series 2018-10B, Class 1, 3.548% due 9/10/28 | 575,981 | |||||||
330,349 | NR | Series 2019-10A, Class 1, 3.113% due 3/10/29 | 355,266 | |||||||
Seasoned Credit Risk Transfer Trust: | ||||||||||
132,854 | NR | Series 2018-2, Class MA, 3.500% due 11/25/57 | 142,206 | |||||||
790,000 | B-(h) | Series 2019-1, Class M, 4.750% due 7/25/58(a)(c) | 839,179 | |||||||
384,072 | NR | Series 2019-2, Class MA, 3.500% due 8/25/58 | 413,370 | |||||||
789,765 | AA- | Sequoia Mortgage Trust, Series 2003-1, Class 1A, 0.859% (1-Month USD-LIBOR + 0.760%) due 4/20/33(c) | 801,308 | |||||||
642,608 | A | Structured Asset Investment Loan Trust, Series 2004-6, Class A3, 0.892% (1-Month USD-LIBOR + 0.800%) due 7/25/34(c) | 636,135 | |||||||
69,300 | AA+ | Structured Asset Mortgage Investments II Trust, Series 2005-AR5, Class A3, 0.598% (1-Month USD-LIBOR + 0.500%) due 7/19/35(c) | 70,294 | |||||||
90,968 | CCC | Structured Asset Securities Corp., Series 2005-RF3, Class 1A, 0.442% (1-Month USD-LIBOR + 0.350%) due 6/25/35(a)(c) | 81,573 | |||||||
404,227 | NR | Sunrun Atlas Issuer LLC, Series 2019-2, Class A, 3.610% due 2/1/55(a) | 432,359 | |||||||
Tharaldson Hotel Portfolio Trust: | ||||||||||
81,008 | AAA | Series 2018-THL, Class A, 1.006% (1-Month USD-LIBOR + 0.900%) due 11/11/34(a)(c) | 80,904 | |||||||
291,629 | B+ | Series 2018-THL, Class E, 3.436% (1-Month USD-LIBOR + 3.330%) due 11/11/34(a)(c) | 285,364 | |||||||
Towd Point Mortgage Trust: | ||||||||||
760,000 | B1(b) | Series 2015-2, Class 1B3, 3.450% due 11/25/60(a)(c) | 783,931 | |||||||
71,042 | Aaa(b) | Series 2016-3, Class A1, 2.250% due 4/25/56(a)(c) | 71,411 | |||||||
770,000 | Ba1(b) | Series 2016-5, Class B2, 3.668% due 10/25/56(a)(c) | 813,006 | |||||||
200,000 | (P)Aaa(b) | TPGI Trust, Series 2021-DGWD, Class A, 0.800% (1-Month USD-LIBOR + 0.700%) due 6/15/26(a)(c) | 200,000 | |||||||
330,000 | (P)A | TRP LLC, Series 2021-1, Class A, 2.070% due 6/19/51(a) | 329,932 | |||||||
UBS Commercial Mortgage Trust: | ||||||||||
340,000 | AA-(h) | Series 2018-C11, Class B, 4.713% due 6/15/51(c) | 382,699 | |||||||
350,000 | Aaa(b) | Series 2019-C17, Class A3, 2.669% due 10/15/52 | 365,893 | |||||||
795,825 | A- | Vantage Data Centers Issuer LLC, Series 2019-1A, Class A2, 3.188% due 7/15/44(a) | 828,262 | |||||||
530,000 | AAA | VNDO Mortgage Trust, Series 2012-6AVE, Class A, 2.996% due 11/15/30(a) | 545,995 | |||||||
WaMu Mortgage Pass-Through Certificates Trust: | ||||||||||
394,742 | B- | Series 2005-AR1, Class A1B, 0.872% (1-Month USD-LIBOR + 0.780%) due 1/25/45(c) | 387,907 | |||||||
179,466 | BB- | Series 2005-AR4, Class A5, 2.845% due 4/25/35(c) | 181,399 | |||||||
989,961 | A- | Series 2005-AR19, Class A1B3, 0.792% (1-Month USD-LIBOR + 0.700%) due | 985,101 | |||||||
700,915 | CCC | Series 2006-AR3, Class A1A, 1.127% (1-Year Treasury Average Rate + 1.000%) due 2/25/46(c) | 706,279 | |||||||
351,208 | Ca(b) | Washington Mutual Mortgage Pass-Through Certificates WMALT, Series 2007-OA2, Class 2A, 0.827% (1-Year Treasury Average Rate + 0.700%) due 1/25/47(c) | 312,683 | |||||||
Wells Fargo Commercial Mortgage Trust: | ||||||||||
120,000 | Baa3(b) | Series 2013-LC12, Class B, 4.309% due 7/15/46(c) | 121,880 | |||||||
1,000,000 | Aa2(b) | Series 2015-C28, Class AS, 3.872% due 5/15/48(c) | 1,090,112 |
158
Schedules of Investments
(unaudited) (continued)
Core Fixed Income Fund
Face Amount/Units | Rating | Security | Value | |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS - 9.0% - (continued) | ||||||||||
$ 150,000 | Aaa(b) | Series 2015-LC20, Class A5, 3.184% due 4/15/50 | $ | 162,069 | ||||||
500,000 | AAA | Series 2016-BNK1, Class ASB, 2.514% due 8/15/49 | 522,586 | |||||||
492,474 | Aaa(b) | Series 2016-C33, Class A3, 3.162% due 3/15/59 | 527,215 | |||||||
11,546,190 | Aaa(b) | Series 2018-C43, Class XA, 0.668% due 3/15/51(c)(k) | 447,545 | |||||||
250,000 | Aaa(b) | Series 2018-C44, Class A4, 3.948% due 5/15/51 | 280,360 | |||||||
3,578,923 | Aaa(b) | Series 2019-C52, Class XA, 1.615% due 8/15/52(c)(k) | 368,173 | |||||||
180,000 | AAA | Series 2019-C54, Class A4, 3.146% due 12/15/52 | 194,954 | |||||||
247,793 | Aaa(b) | Wells Fargo Mortgage-Backed Securities Trust, Series 2019-4, Class A2, 3.000% due 9/25/49(a)(c) | 252,310 | |||||||
WF-RBS Commercial Mortgage Trust: | ||||||||||
1,563,235 | Aa2(b) | Series 2012-C7, Class XA, 1.297% due 6/15/45(a)(c)(k) | 9,693 | |||||||
125,474 | Aaa(b) | Series 2013-C14, Class A4, 3.073% due 6/15/46 | 128,348 | |||||||
|
| |||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost - $106,374,231) | 102,454,352 | |||||||||
|
| |||||||||
SOVEREIGN BONDS - 2.9% | ||||||||||
Argentina - 0.1% | ||||||||||
Argentine Republic Government International Bonds: | ||||||||||
64,372 | CCC+ | 1.000% due 7/9/29 | 25,103 | |||||||
1,852,700 | CCC+ | step bond to yield, 0.125% due 7/9/30 | 686,944 | |||||||
|
| |||||||||
Total Argentina | 712,047 | |||||||||
|
| |||||||||
Brazil - 0.2% | ||||||||||
656,000 | BRL | BB- | Brazil Notas do Tesouro Nacional Serie B, 6.000% due 8/15/50 | 569,109 | ||||||
1,224,000 | BRL | BB- | Brazil Notas do Tesouro Nacional Serie F, 10.000% due 1/1/27 | 259,554 | ||||||
Brazilian Government International Bonds: | ||||||||||
300,000 | BB- | 4.625% due 1/13/28 | 327,278 | |||||||
200,000 | BB- | 3.875% due 6/12/30 | 202,434 | |||||||
1,280,000 | BB- | 5.000% due 1/27/45 | 1,291,590 | |||||||
|
| |||||||||
Total Brazil | 2,649,965 | |||||||||
|
| |||||||||
Canada - 0.0% | ||||||||||
152,000 | A+ | Province of Manitoba Canada, 3.050% due 5/14/24 | 163,419 | |||||||
|
| |||||||||
Chile - 0.1% | ||||||||||
Chile Government International Bonds: | ||||||||||
100,000 | A | 3.240% due 2/6/28 | 108,538 | |||||||
450,000 | A | 2.450% due 1/31/31 | 454,001 | |||||||
|
| |||||||||
Total Chile | 562,539 | |||||||||
|
| |||||||||
Colombia - 0.2% | ||||||||||
Colombia Government International Bonds: | ||||||||||
220,000 | BB+ | 8.125% due 5/21/24 | 261,176 | |||||||
280,000 | BB+ | 3.875% due 4/25/27 | 297,379 | |||||||
340,000 | BB+ | 3.000% due 1/30/30 | 329,445 | |||||||
315,000 | BB+ | 3.125% due 4/15/31 | 304,728 | |||||||
430,000 | BB+ | 3.250% due 4/22/32 | 416,141 | |||||||
230,000 | BB+ | 4.125% due 2/22/42 | 219,995 | |||||||
200,000 | BB+ | 5.000% due 6/15/45 | 208,124 | |||||||
|
| |||||||||
Total Colombia | 2,036,988 | |||||||||
|
| |||||||||
Dominican Republic - 0.0% | ||||||||||
200,000 | BB- | Dominican Republic International Bonds, 4.500% due 1/30/30(a) | 204,502 | |||||||
|
| |||||||||
Egypt - 0.0% | ||||||||||
230,000 | B | Egypt Government International Bonds, 5.577% due 2/21/23(a) | 242,472 | |||||||
|
| |||||||||
Indonesia - 0.2% | ||||||||||
Indonesia Government International Bonds: | ||||||||||
1,400,000 | BBB | 3.750% due 4/25/22 | 1,442,581 | |||||||
290,000 | Baa2(b) | 3.500% due 1/11/28 | 316,512 | |||||||
80,000 | BBB | 4.100% due 4/24/28 | 90,138 |
159
Schedules of Investments
(unaudited) (continued)
Core Fixed Income Fund
Face Amount/Units | Rating | Security | Value | |||||||
SOVEREIGN BONDS - 2.9% - (continued) | ||||||||||
Indonesia - 0.2% - (continued) | ||||||||||
$ 225,000 | BBB | 2.850% due 2/14/30 | $ | 233,886 | ||||||
330,000 | Baa2(b) | 4.350% due 1/11/48 | 365,674 | |||||||
|
| |||||||||
Total Indonesia | 2,448,791 | |||||||||
|
| |||||||||
Israel - 0.0% | ||||||||||
200,000 | AA- | Israel Government International Bonds, 2.750% due 7/3/30 | 211,808 | |||||||
|
| |||||||||
Kuwait - 0.0% | ||||||||||
360,000 | AA- | Kuwait International Government Bonds, 3.500% due 3/20/27(a) | 400,168 | |||||||
|
| |||||||||
Mexico - 0.9% | ||||||||||
Mexican Bonos: | ||||||||||
15,120,000 | MXN | BBB+ | 10.000% due 12/5/24 | 860,438 | ||||||
22,540,000 | MXN | BBB+ | 8.500% due 5/31/29 | 1,272,154 | ||||||
18,365,700 | MXN | BBB+ | 7.750% due 11/13/42 | 944,880 | ||||||
84,090,000 | MXN | Baa1(b) | 8.000% due 11/7/47 | 4,411,081 | ||||||
Mexico Government International Bonds: | ||||||||||
8,000 | BBB | 4.000% due 10/2/23 | 8,663 | |||||||
200,000 | BBB | 4.150% due 3/28/27 | 227,533 | |||||||
323,000 | BBB | 3.750% due 1/11/28 | 353,031 | |||||||
572,000 | BBB | 4.500% due 4/22/29 | 647,598 | |||||||
550,000 | BBB | 3.250% due 4/16/30 | 568,618 | |||||||
769,000 | BBB | 2.659% due 5/24/31 | 748,714 | |||||||
200,000 | BBB | 4.750% due 4/27/32 | 228,400 | |||||||
210,000 | BBB | 4.750% due 3/8/44 | 229,474 | |||||||
|
| |||||||||
Total Mexico | 10,500,584 | |||||||||
|
| |||||||||
Nigeria - 0.0% | ||||||||||
260,000 | B- | Nigeria Government International Bonds, 7.143% due 2/23/30(a) | 277,274 | |||||||
|
| |||||||||
Panama - 0.1% | ||||||||||
Panama Government International Bonds: | ||||||||||
200,000 | BBB | 4.000% due 9/22/24 | 218,022 | |||||||
210,000 | BBB | 3.875% due 3/17/28 | 232,307 | |||||||
400,000 | BBB | 3.160% due 1/23/30 | 420,428 | |||||||
240,000 | BBB | 2.252% due 9/29/32 | 231,602 | |||||||
75,000 | BBB | 4.500% due 4/1/56 | 83,368 | |||||||
|
| |||||||||
Total Panama | 1,185,727 | |||||||||
|
| |||||||||
Paraguay - 0.0% | ||||||||||
200,000 | BB | Paraguay Government International Bonds, 2.739% due 1/29/33(a) | 194,300 | |||||||
|
| |||||||||
Peru - 0.1% | ||||||||||
Peruvian Government International Bonds: | ||||||||||
625,000 | BBB+ | 4.125% due 8/25/27 | 695,112 | |||||||
210,000 | BBB+ | 2.783% due 1/23/31 | 210,773 | |||||||
70,000 | BBB+ | 6.550% due 3/14/37 | 94,539 | |||||||
160,000 | BBB+ | 5.625% due 11/18/50 | 210,608 | |||||||
|
| |||||||||
Total Peru | 1,211,032 | |||||||||
|
| |||||||||
Philippines - 0.1% | ||||||||||
Philippine Government International Bonds: | ||||||||||
400,000 | BBB+ | 3.000% due 2/1/28 | 432,121 | |||||||
110,000 | BBB+ | 1.648% due 6/10/31 | 106,106 | |||||||
|
| |||||||||
Total Philippines | 538,227 | |||||||||
|
| |||||||||
Poland - 0.1% | ||||||||||
710,000 | A- | Poland Government International Bonds, 4.000% due 1/22/24 | 775,843 | |||||||
|
| |||||||||
Qatar - 0.2% | ||||||||||
Qatar Government International Bonds: | ||||||||||
200,000 | AA- | 4.500% due 4/23/28 | 236,171 | |||||||
250,000 | AA- | 4.000% due 3/14/29(a) | 288,116 |
160
Schedules of Investments
(unaudited) (continued)
Core Fixed Income Fund
Face Amount/Units | Rating | Security | Value | |||||||
SOVEREIGN BONDS - 2.9% - (continued) | ||||||||||
Qatar - 0.2% - (continued) | ||||||||||
$ 820,000 | AA- | 4.817% due 3/14/49(a) | $ | 1,035,840 | ||||||
|
| |||||||||
Total Qatar | 1,560,127 | |||||||||
|
| |||||||||
Russia - 0.4% | ||||||||||
Russian Federal Bonds - OFZ: | ||||||||||
6,950,000 | RUB | NR | 7.750% due 9/16/26 | 99,841 | ||||||
146,093,000 | RUB | BBB | 7.050% due 1/19/28 | 2,027,775 | ||||||
128,030,000 | RUB | BBB(h) | 6.900% due 5/23/29 | 1,751,685 | ||||||
49,650,000 | RUB | NR | 7.700% due 3/16/39 | 716,269 | ||||||
|
| |||||||||
Total Russia | 4,595,570 | |||||||||
|
| |||||||||
Saudi Arabia - 0.0% | ||||||||||
Saudi Government International Bonds: | ||||||||||
200,000 | A1(b) | 3.625% due 3/4/28 | 221,030 | |||||||
200,000 | A1(b) | 3.750% due 1/21/55(a) | 204,275 | |||||||
|
| |||||||||
Total Saudi Arabia | 425,305 | |||||||||
|
| |||||||||
South Africa - 0.0% | ||||||||||
300,000 | BB- | Republic of South Africa Government International Bonds, 4.850% due 9/30/29 | 318,842 | |||||||
|
| |||||||||
United Arab Emirates - 0.1% | ||||||||||
Abu Dhabi Government International Bonds: | ||||||||||
400,000 | AA | 2.500% due 10/11/22(a) | 412,344 | |||||||
200,000 | AA | 2.500% due 9/30/29 | 209,226 | |||||||
590,000 | AA | 3.875% due 4/16/50(a) | 664,175 | |||||||
|
| |||||||||
Total United Arab Emirates | 1,285,745 | |||||||||
|
| |||||||||
Uruguay - 0.1% | ||||||||||
Uruguay Government International Bonds: | ||||||||||
70,000 | BBB | 4.500% due 8/14/24 | 76,297 | |||||||
355,000 | BBB | 4.375% due 10/27/27 | 408,183 | |||||||
|
| |||||||||
Total Uruguay | 484,480 | |||||||||
|
| |||||||||
TOTAL SOVEREIGN BONDS (Cost - $33,468,648) | 32,985,755 | |||||||||
|
| |||||||||
SENIOR LOANS - 1.7% | ||||||||||
237,794 | NR | 1011778 B.C. Unlimited Liability Company, (Restricted, cost - $233,241, acquired 8/12/20), 1.843% (1-Month USD-LIBOR + 1.750%) due 11/19/26(n) | 234,636 | |||||||
40,000 | NR | AECOM, (Restricted, cost - $39,705, acquired 4/9/21), 1.843% (1-Month USD-LIBOR + 1.750%) due 4/13/28(n) | 39,994 | |||||||
419,293 | NR | Allied Universal Holdco LLC, (Restricted, cost - $420,601, acquired 2/19/20), 4.250% (1-Month USD-LIBOR + 3.750%) due 5/12/28(n) | 420,762 | |||||||
156,364 | NR | Alterra Mountain Co., (Restricted, cost - $156,159, acquired 3/27/19), 2.843% (1-Month USD-LIBOR + 2.750%) due 7/31/24(n) | 154,283 | |||||||
329,175 | NR | Aramark Intermediate HoldCo Corp., (Restricted, cost - $331,195, acquired 12/13/19), 1.843% (1-Month USD-LIBOR + 1.750%) due 1/15/27(n) | 325,472 | |||||||
628,172 | NR | Asplundh Tree Expert LLC, (Restricted, cost - $629,813, acquired 3/4/21), 1.843% (1-Month USD-LIBOR + 1.750%) due 9/7/27(n) | 627,534 | |||||||
120,000 | NR | Asurion LLC, (Restricted, cost - $118,857, acquired 1/29/21), 3.343% (1-Month USD-LIBOR + 3.250%) due 7/31/27(n) | 119,563 | |||||||
176,523 | NR | Asurion LLC, (Restricted, cost - $176,177, acquired 11/20/19), 3.093% (1-Month USD-LIBOR + 3.000%) due 11/3/24(n) | 175,999 | |||||||
386,186 | NR | Asurion LLC, (Restricted, cost - $386,629, acquired 4/10/19), 3.343% (1-Month USD-LIBOR + 3.250%) due 12/23/26(n) | 384,768 | |||||||
60,076 | NR | Asurion LLC, (Restricted, cost - $60,076, acquired 2/26/20), 3.093% (1-Month USD-LIBOR + 3.000%) due 11/3/23(n) | 59,994 | |||||||
542,602 | NR | athenahealth Inc., (Restricted, cost - $543,162, acquired 1/9/20), 4.410% (1-Month USD-LIBOR + 4.250%/3-Month USD-LIBOR + 4.250%) due 2/11/26(n) | 545,315 | |||||||
48,875 | NR | Atlantic Aviation FBO Inc., (Restricted, cost - $48,560, acquired 11/30/18), 3.850% (1-Month USD-LIBOR + 3.750%) due 12/6/25(n) | 48,893 | |||||||
563,588 | NR | Avolon TLB Borrower 1 (US) LLC, (Restricted, cost - $563,529, acquired 3/4/21), 3.250% (1-Month USD-LIBOR + 2.500%) due 12/1/27(n) | 565,388 | |||||||
262,500 | NR | Bausch Health Cos., Inc., (Restricted, cost - $259,229, acquired 6/23/20), 2.843% (1-Month USD-LIBOR + 2.750%) due 11/27/25(n) | 261,480 | |||||||
62,480 | NR | Bausch Health Cos., Inc., (Restricted, cost - $62,871, acquired 4/17/19), 3.093% (1-Month USD-LIBOR + 3.000%) due 6/2/25(n) | 62,324 | |||||||
252,368 | NR | Berry Global Inc., (Restricted, cost - $252,998, acquired 2/12/21), 1.845% (1-Month USD-LIBOR + 1.750%) due 7/1/26(n) | 250,632 | |||||||
6,041 | NR | BJs Wholesale Club Inc., (Restricted, cost - $6,018, acquired 8/12/20), 2.094% (1-Month USD-LIBOR + 2.000%) due 2/3/24(n) | 6,049 | |||||||
78,039 | NR | Brookfield WEC Holdings Inc., (Restricted, cost - $78,028, acquired 11/15/19), 3.250% (1-Month USD-LIBOR + 2.750%) due 8/1/25(n) | 77,639 | |||||||
218,900 | NR | Caesars Resort Collection LLC, (Restricted, cost - $213,549, acquired 6/19/20), 4.593% (1-Month USD-LIBOR + 4.500%) due 7/21/25(n) | 219,963 | |||||||
96,669 | NR | Caesars Resort Collection LLC, (Restricted, cost - $96,971, acquired 10/4/17), 2.843% (1-Month USD-LIBOR + 2.750%) due 12/23/24(n) | 96,048 | |||||||
250,590 | NR | Change Healthcare Holdings LLC, (Restricted, cost - $250,247, acquired 2/18/20), 3.500% (1-Month USD-LIBOR + 2.500%/3-Month USD-LIBOR + 2.500%) due 3/1/24(n) | 250,717 | |||||||
207,368 | NR | Charter Communications Operating LLC, (Restricted, cost - $208,016, acquired 2/7/20), 1.850% (1-Month USD-LIBOR + 1.750%) due 2/1/27(n) | 206,429 | |||||||
346,098 | NR | Charter Communications Operating LLC, (Restricted, cost - $347,036, acquired 10/24/19), 1.850% (1-Month USD-LIBOR + 1.750%) due 4/30/25(n) | 346,098 |
161
Schedules of Investments
(unaudited) (continued)
Core Fixed Income Fund
Face Amount/Units | Rating | Security | Value | |||||||
SENIOR LOANS - 1.7% - (continued) | ||||||||||
$ 469,400 | NR | Citadel Securities LP, (Restricted, cost - $468,497, acquired 4/15/21), 2.593% (1-Month USD-LIBOR + 2.500%) due 2/2/28(n) | $ | 466,929 | ||||||
159,497 | NR | CityCenter Holding LLC, (Restricted, cost - $158,787, acquired 1/28/21), 3.000% (1-Month USD-LIBOR + 2.250%) due 4/18/24(n) | 158,538 | |||||||
229,203 | NR | Clarios Global LP, (Restricted, cost - $227,627, acquired 3/18/19), 3.343% (1-Month USD-LIBOR + 3.250%) due 4/30/26(n) | 228,595 | |||||||
426,149 | NR | DCert Buyer Inc., (Restricted, cost - $426,487, acquired 8/8/19), 4.093% (1-Month USD-LIBOR + 4.000%) due 10/16/26(n) | 427,253 | |||||||
643,278 | NR | Dell International LLC, (Restricted, cost - $636,602, acquired 3/4/21), 2.000% (1-Month USD-LIBOR + 1.750%) due 9/19/25(n) | 644,053 | |||||||
750,000 | NR | Delos Finance Sarl, (Restricted, cost - $750,000, acquired 3/4/21), 1.953% (3-Month USD-LIBOR + 1.750%) due 10/6/23(n) | 750,135 | |||||||
174,483 | NR | Edelman Financial Engines Center LLC, (Restricted, cost - $174,964, acquired 4/22/19), 4.500% (1-Month USD-LIBOR + 3.750%) due 4/7/28(n) | 174,961 | |||||||
109,058 | NR | EyeCare Partners LLC, (Restricted, cost - $108,983, acquired 2/18/20), 3.843% (1-Month USD-LIBOR + 3.750%) due 2/18/27(n) | 108,281 | |||||||
18,074 | NR | FinCo I LLC, (Restricted, cost - $17,959, acquired 8/12/20), 2.593% (1-Month USD-LIBOR + 2.500%) due 6/27/25(n) | 18,063 | |||||||
57,126 | NR | First Eagle Holdings Inc., (Restricted, cost - $57,269, acquired 4/5/19), 2.703% (3-Month USD-LIBOR + 2.500%) due 2/1/27(n) | 56,630 | |||||||
160,000 | NR | FleetCor Technologies Operating Company LLC, (Restricted, cost - $158,814, acquired 4/22/21), 1.843% (1-Month USD-LIBOR + 1.750%) due 4/28/28(n) | 160,129 | |||||||
216,860 | NR | Focus Financial Partners LLC, (Restricted, cost - $217,448, acquired 2/18/20), 2.093% (1-Month USD-LIBOR + 2.000%) due 7/3/24(n) | 215,120 | |||||||
20,000 | NR | Formula One Management Ltd., (Restricted, cost - $19,652, acquired 8/12/20), 3.500% (1-Month USD-LIBOR + 2.500%) due 2/1/24(n) | 19,920 | |||||||
49,485 | NR | Four Seasons Holdings Inc., (Restricted, cost - $49,669, acquired 11/21/19), 2.093% (1-Month USD-LIBOR + 2.000%) due 11/30/23(n) | 49,451 | |||||||
158,800 | NR | Froneri International Ltd., (Restricted, cost - $159,106, acquired 2/18/20), 2.343% (1-Month USD-LIBOR + 2.250%) due 1/29/27(n) | 156,905 | |||||||
110,000 | NR | Gainwell Acquisition Corp., (Restricted, cost - $108,480, acquired 2/12/21), 4.750% (3-Month USD-LIBOR + 4.000%) due 10/1/27(n) | 110,357 | |||||||
75,577 | NR | Garda World Security Corp., (Restricted, cost - $74,407, acquired 10/24/19), 4.350% (1-Month USD-LIBOR + 4.250%) due 10/30/26(n) | 75,855 | |||||||
138,213 | NR | Golden Nugget Inc., (Restricted, cost - $138,213, acquired 2/20/20), 3.250% (2-Month USD-LIBOR + 2.500%) due 10/4/23(n) | 137,356 | |||||||
468,822 | NR | Harbor Freight Tools USA Inc., (Restricted, cost - $470,580, acquired 4/15/21) due 10/19/27(n)(o) | 470,360 | |||||||
500,676 | NR | HCA Inc., (Restricted, cost - $503,244, acquired 3/4/21), 1.843% (1-Month USD-LIBOR + 1.750%) due 3/13/25(n) | 500,989 | |||||||
431,964 | NR | Hilton Worldwide Finance LLC, (Restricted, cost - $432,069, acquired 8/18/16), 1.842% (1-Month USD-LIBOR + 1.750%) due 6/22/26(n) | 428,975 | |||||||
181,436 | NR | iHeartCommunications Inc., (Restricted, cost - $181,281, acquired 1/29/20), 3.093% (1-Month USD-LIBOR + 3.000%) due 5/1/26(n) | 179,754 | |||||||
140,000 | NR | INEOS Styrolution Group GmbH, (Restricted, cost - $140,662, acquired 2/19/21), 3.250% (3-Month USD-LIBOR + 2.750%) due 1/29/26(n) | 139,679 | |||||||
186,215 | NR | Jane Street Group LLC, (Restricted, cost - $185,994, acquired 1/21/21), 2.843% (1-Month USD-LIBOR + 2.750%) due 1/26/28(n) | 185,318 | |||||||
390,000 | NR | Jazz Pharmaceuticals Public Ltd. Co., (Restricted, cost - $388,072, acquired 4/22/21), 4.000% (1-Month USD-LIBOR + 3.500%) due 5/5/28(n) | 392,126 | |||||||
382,876 | NR | Level 3 Financing Inc., (Restricted, cost - $382,625, acquired 4/17/19), 1.843% (1-Month USD-LIBOR + 1.750%) due 3/1/27(n) | 379,047 | |||||||
214,384 | NR | LifePoint Health Inc., (Restricted, cost - $212,780, acquired 8/16/19), 3.843% (1-Month USD-LIBOR + 3.750%) due 11/16/25(n) | 214,683 | |||||||
140,000 | NR | Michaels Companies Inc., (Restricted, cost - $138,624, acquired 4/8/21), 5.000% (3-Month USD-LIBOR + 4.250%) due 4/15/28(n) | 140,518 | |||||||
297,974 | NR | MPH Acquisition Holdings LLC, (Restricted, cost - $297,713, acquired 10/13/17), 3.750% (3-Month USD-LIBOR + 2.750%) due 6/7/23(n) | 297,923 | |||||||
490,185 | NR | Nexstar Broadcasting Inc., (Restricted, cost - $489,060, acquired 8/16/19), 2.610% (1-Month USD-LIBOR + 2.500%) due 9/18/26(n) | 489,437 | |||||||
130,066 | NR | Numericable U.S. LLC, (Restricted, cost - $129,883, acquired 10/6/17), 3.871% (3-Month USD-LIBOR + 3.688%) due 1/31/26(n) | 129,578 | |||||||
197,500 | NR | Option Care Health Inc., (Restricted, cost - $196,225, acquired 5/22/19), 3.843% (1-Month USD-LIBOR + 3.750%) due 8/6/26(n) | 198,077 | |||||||
119,727 | NR | PCI Gaming Authority, (Restricted, cost - $119,898, acquired 5/15/19), 2.593% (1-Month USD-LIBOR + 2.500%) due 5/29/26(n) | 119,368 | |||||||
349,125 | NR | Phoenix Guarantor Inc., (Restricted, cost - $349,125, acquired 2/23/21), 3.598% (1-Month USD-LIBOR + 3.500%) due 3/5/26(n) | 347,125 | |||||||
360,000 | NR | PPD Inc., (Restricted, cost - $359,150, acquired 1/6/21), 2.750% (1-Month USD-LIBOR + 2.250%) due 1/13/28(n) | 359,905 | |||||||
404,951 | NR | Prime Security Services Borrower LLC, (Restricted, cost - $407,063, acquired 4/22/19), 3.500% (1-Month USD-LIBOR + 2.750%/3-Month USD-LIBOR + 2.750%) due 9/23/26(n) | 405,374 | |||||||
210,000 | NR | Rackspace Technology Global Inc., (Restricted, cost - $210,563, acquired 2/19/21), 3.500% (2-Month USD-LIBOR + 2.750%/3-Month USD-LIBOR + 2.750%) due 2/15/28(n) | 209,284 | |||||||
11,433 | NR | Realogy Group LLC, (Restricted, cost - $11,079, acquired 8/12/20), 3.000% (1-Month USD-LIBOR + 2.250%) due 2/8/25(n) | 11,408 | |||||||
340,000 | NR | RealPage Inc., (Restricted, cost - $340,109, acquired 2/18/21), 3.750% (1-Month USD-LIBOR + 3.250%) due 4/24/28(n) | 340,000 | |||||||
399,953 | NR | Reynolds Consumer Products LLC, (Restricted, cost - $401,422, acquired 2/18/20), 1.843% (1-Month USD-LIBOR + 1.750%) due 2/4/27(n) | 398,703 | |||||||
316,391 | NR | Scientific Games International Inc., (Restricted, cost - $315,990, acquired 2/14/18), 2.843% (1-Month USD-LIBOR + 2.750%) due 8/14/24(n) | 313,821 | |||||||
360,000 | NR | Sotera Health Holdings LLC, (Restricted, cost - $362,813, acquired 1/20/21), 3.250% (3-Month USD-LIBOR + 2.750%) due 12/11/26(n) | 359,024 | |||||||
205,390 | NR | Trans Union LLC, (Restricted, cost - $206,228, acquired 2/16/21), 1.843% (1-Month USD-LIBOR + 1.750%) due 11/16/26(n) | 204,861 | |||||||
19,949 | NR | TransDigm Inc., (Restricted, cost - $19,668, acquired 2/9/21), 2.343% (1-Month USD-LIBOR + 2.250%) due 12/9/25(n) | 19,715 | |||||||
440,818 | NR | UFC Holdings LLC, (Restricted, cost - $444,124, acquired 4/30/19), 3.750% (3-Month USD-LIBOR + 3.000%) due 4/29/26(n) | 440,854 | |||||||
470,000 | NR | United AirLines Inc., (Restricted, cost - $472,421, acquired 4/14/21), 4.500% (3-Month USD-LIBOR + 3.750%) due 4/21/28(n) | 475,078 | |||||||
331,619 | NR | US Foods Inc., (Restricted, cost - $321,126, acquired 9/28/20), 1.843% (1-Month USD-LIBOR + 1.750%) due 6/27/23(n) | 329,192 | |||||||
145,465 | NR | VFH Parent LLC, (Restricted, cost - $144,000, acquired 10/30/20), 3.098% (3-Month USD-LIBOR + 3.000%) due 3/1/26(n) | 145,617 | |||||||
350,000 | NR | VICI Properties 1 LLC, (Restricted, cost - $348,965, acquired 2/20/20), 1.843% (1-Month USD-LIBOR + 1.750%) due 12/20/24(n) | 347,244 | |||||||
430,000 | NR | Virgin Media Bristol LLC, (Restricted, cost - $427,362, acquired 4/30/19), 2.601% (1-Month USD-LIBOR + 2.500%) due 1/31/28(n) | 428,011 | |||||||
82,329 | NR | Western Digital Corp., (Restricted, cost - $83,152, acquired 10/27/17), 1.843% (1-Month USD-LIBOR + 1.750%) due 4/29/23(n) | 82,461 | |||||||
80,000 | NR | Zayo Group Holdings Inc., (Restricted, cost - $80,088, acquired 2/19/21), 3.093% (1-Month USD-LIBOR + 3.000%) due 3/9/27(n) | 79,525 | |||||||
|
| |||||||||
TOTAL SENIOR LOANS (Cost - $19,008,784) | 19,001,545 | |||||||||
|
|
162
Schedules of Investments
(unaudited) (continued)
Core Fixed Income Fund
Face Amount/Units | Rating | Security | Value | |||||||
ASSET-BACKED SECURITIES - 0.9% | ||||||||||
Automobiles - 0.2% | ||||||||||
Credit Acceptance Auto Loan Trust: | ||||||||||
$ 8,196 | AAA | Series 2018-3A, Class A, 3.550% due 8/15/27(a) | $ | 8,210 | ||||||
450,000 | AAA | Series 2019-3A, Class A, 2.380% due 11/15/28(a) | 459,649 | |||||||
410,000 | AAA | Series 2021-2A, Class A, 0.960% due 2/15/30(a) | 412,323 | |||||||
320,000 | AAA | Series 2021-3A, Class A, 1.000% due 5/15/30(a) | 321,043 | |||||||
Hertz Vehicle Financing II LP: | ||||||||||
133,955 | Baa1(b) | Series 2016-4A, Class A, 2.650% due 7/25/22(a) | 134,539 | |||||||
49,895 | Baa1(b) | Series 2018-1A, Class A, 3.290% due 2/25/24(a) | 50,091 | |||||||
508,869 | AAA | Nissan Auto Receivables Owner Trust, Series 2018-C, Class A3, 3.220% due 6/15/23 | 516,207 | |||||||
|
| |||||||||
Total Automobiles | 1,902,062 | |||||||||
|
| |||||||||
Credit Cards - 0.0% | ||||||||||
315,000 | AAA | Citibank Credit Card Issuance Trust, Series 2017-A6, Class A6, 0.868% (1-Month USD-LIBOR + 0.770%) due 5/14/29(c) | 321,127 | |||||||
|
| |||||||||
Student Loans - 0.7% | ||||||||||
168,570 | AA | College Ave Student Loans LLC, Series 2019-A, Class A2, 3.280% due 12/28/48(a) | 175,057 | |||||||
175,660 | Aaa(b) | ECMC Group Student Loan Trust, Series 2016-1A, Class A, 1.442% (1-Month USD-LIBOR + 1.350%) due 7/26/66(a)(c) | 180,323 | |||||||
129,268 | AAA | Navient Private Education Loan Trust, Series 2014-AA, Class A2B, 1.351% (1-Month USD-LIBOR + 1.250%) due 2/15/29(a)(c) | 130,065 | |||||||
301,444 | AAA | Navient Student Loan Trust, Series 2017-4A, Class A2, 0.592% (1-Month USD-LIBOR + 0.500%) due 9/27/66(a)(c) | 301,985 | |||||||
250,000 | Aaa(b) | Nelnet Student Loan Trust, Series 2021-A, Class APT1, 1.360% due 4/20/62(a) | 253,747 | |||||||
395,000 | AAA | SLM Private Education Loan Trust, Series 2010-C, Class A5, 4.851% (1-Month USD-LIBOR + 4.750%) due 10/15/41(a)(c) | 434,328 | |||||||
SLM Student Loan Trust: | ||||||||||
161,466 | AA+ | Series 2003-4, Class A5E, 0.934% (3-Month USD-LIBOR + 0.750%) due | 159,131 | |||||||
780,000 | AA+ | Series 2003-10A, Class A4, 0.854% (3-Month USD-LIBOR + 0.670%) due | 781,751 | |||||||
1,155,630 | AAA | Series 2005-5, Class A4, 0.316% (3-Month USD-LIBOR + 0.140%) due 10/25/28(c) | 1,150,018 | |||||||
SMB Private Education Loan Trust: | ||||||||||
18,406 | AAA | Series 2015-B, Class A2A, 2.980% due 7/15/27(a) | 18,645 | |||||||
545,000 | AAA | Series 2015-C, Class A3, 2.051% (1-Month USD-LIBOR + 1.950%) due | 557,137 | |||||||
40,657 | Aaa(b) | Series 2016-A, Class A2A, 2.700% due 5/15/31(a) | 41,818 | |||||||
134,221 | AAA | Series 2017-B, Class A2A, 2.820% due 10/15/35(a) | 139,577 | |||||||
79,312 | AAA | Series 2017-B, Class A2B, 0.865% (1-Month USD-LIBOR + 0.750%) due | 79,687 | |||||||
323,521 | AAA | Series 2018-A, Class A2B, 0.915% (1-Month USD-LIBOR + 0.800%) due | 324,304 | |||||||
380,083 | Aaa(b) | Series 2018-B, Class A2A, 3.600% due 1/15/37(a) | 404,736 | |||||||
461,689 | AAA | Series 2018-C, Class A2B, 0.865% (1-Month USD-LIBOR + 0.750%) due | 460,543 | |||||||
100,000 | AAA | Series 2020-A, Class A2B, 0.945% (1-Month USD-LIBOR + 0.830%) due | 100,751 | |||||||
850,000 | AAA | Series 2020-PTB, Class A2A, 1.600% due 9/15/54(a) | 862,883 | |||||||
730,000 | Aaa(b) | Series 2021-A, Class A2B, 1.590% due 1/15/53(a) | 730,046 | |||||||
240,000 | Aa2(b) | Series 2021-A, Class B, 2.310% due 1/15/53(a) | 244,209 | |||||||
256,346 | AAA | Sofi Professional Loan Program Trust, Series 2018-B, Class A2FX, 3.340% due | 263,189 | |||||||
|
| |||||||||
Total Student Loans | 7,793,930 | |||||||||
|
| |||||||||
TOTAL ASSET-BACKED SECURITIES (Cost - $9,927,695) | 10,017,119 | |||||||||
|
| |||||||||
MUNICIPAL BONDS - 0.4% | ||||||||||
California - 0.1% | ||||||||||
530,000 | A+ | Los Angeles Unified School District, GO, 5.750% due 7/1/34 | 709,924 | |||||||
University of California, Revenue Bonds: | ||||||||||
25,000 | AA | Series AD, 4.858% due 5/15/12 | 33,417 | |||||||
266,000 | AA | Series AQ, 4.767% due 5/15/15 | 347,606 | |||||||
|
| |||||||||
Total California | 1,090,947 | |||||||||
|
| |||||||||
Florida - 0.0% | ||||||||||
155,000 | A+ | County of Miami-Dade, FL, Revenue Bonds, Series B, 2.436% due 10/1/32 | 155,744 | |||||||
|
|
163
Schedules of Investments
(unaudited) (continued)
Core Fixed Income Fund
Face Amount/Units | Rating | Security | Value | |||||||
MUNICIPAL BONDS - 0.4% - (continued) | ||||||||||
New Jersey - 0.1% | ||||||||||
$ 570,000 | Aa3(b) | Jersey City Municipal Utilities Authority, Revenue Bonds, Series B, 5.470% due 5/15/27 | $ | 662,676 | ||||||
85,000 | BBB | New Jersey Transportation Trust Fund Authority, Revenue Bonds, Series B, 6.561% due 12/15/40 | 122,211 | |||||||
|
| |||||||||
Total New Jersey | 784,887 | |||||||||
|
| |||||||||
New York - 0.2% | ||||||||||
City of New York: | ||||||||||
375,000 | AA | GO, Series A, 3.000% due 8/1/34 | 393,238 | |||||||
500,000 | AA | Series G-1, 5.968% due 3/1/36 | 685,012 | |||||||
80,000 | AAA | New York City Transitional Finance Authority Future Tax Secured Revenue, Revenue Bonds, Series A-1, 5.000% due 11/1/42 | 88,403 | |||||||
350,000 | AA+ | New York State Dormitory Authority, Revenue Bonds, 5.289% due 3/15/33 | 427,221 | |||||||
170,000 | A | New York State Thruway Authority, Revenue Bonds, Series M, 2.900% due 1/1/35 | 178,458 | |||||||
|
| |||||||||
Total New York | 1,772,332 | |||||||||
|
| |||||||||
Ohio - 0.0% | ||||||||||
90,000 | A- | City of Cleveland, OH, Airport System Revenue, Revenue Bonds, 2.882% due 1/1/31 | 93,133 | |||||||
|
| |||||||||
Texas - 0.0% | ||||||||||
350,000 | A+ | North Texas Tollway Authority, Revenue Bonds, Series A, 2.530% due 1/1/35 | 351,162 | |||||||
|
| |||||||||
Virginia - 0.0% | ||||||||||
142,284 | AAA | Virginia Housing Development Authority, Revenue Bonds, Series C, 6.000% due 6/25/34 | 149,035 | |||||||
|
| |||||||||
TOTAL MUNICIPAL BONDS (Cost - $4,111,646) | 4,397,240 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS (Cost - $1,107,048,293) | 1,124,944,671 | |||||||||
|
| |||||||||
Face Amount | ||||||||||
SHORT-TERM INVESTMENTS - 11.1% | ||||||||||
ASSET-BACKED SECURITY - 0.1% | ||||||||||
530,000 | MRA Issuance Trust, 1.860%(1-Month USD-LIBOR + 1.750%) due 10/8/21(a)(c) (Cost - $530,000) | 530,484 | ||||||||
|
| |||||||||
TIME DEPOSITS - 7.7% | ||||||||||
33,044,079 | ANZ National Bank - London, 0.005% due 6/1/21 | 33,044,079 | ||||||||
33,997 | AUD | BBH - Grand Cayman, (0.200)% due 5/31/21 | 26,208 | |||||||
BNP Paribas - Paris: | ||||||||||
499,973 | EUR | (0.780)% due 5/31/21 | 609,718 | |||||||
1,824 | 0.005% due 6/1/21 | 1,824 | ||||||||
247,719 | GBP | Citibank - London, 0.005% due 6/1/21 | 351,563 | |||||||
14,932,929 | Skandinaviska Enskilda Banken AB - Stockholm, 0.005% due 6/1/21 | 14,932,929 | ||||||||
Sumitomo Mitsui Banking Corp. - Tokyo: | ||||||||||
25,023,988 | JPY | (0.310)% due 5/31/21 | 227,832 | |||||||
38,425,668 | 0.005% due 6/1/21 | 38,425,668 | ||||||||
|
| |||||||||
TOTAL TIME DEPOSITS (Cost - $87,619,821) | 87,619,821 | |||||||||
|
| |||||||||
U.S. GOVERNMENT OBLIGATIONS - 3.3% | ||||||||||
U.S. Treasury Bills: | ||||||||||
1,705,000 | 0.016% due 7/1/21(p) | 1,704,977 | ||||||||
10,380,000 | 0.014% due 7/15/21(p) | 10,379,820 | ||||||||
10,585,000 | 0.051% due 8/12/21(p) | 10,583,914 | ||||||||
13,405,000 | 0.027% due 8/19/21(p) | 13,404,192 | ||||||||
1,180,000 | 0.015% due 8/26/21(p) | 1,179,958 | ||||||||
|
| |||||||||
TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost - $37,252,861) | 37,252,861 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost - $125,402,682) | 125,403,166 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS IN SECURITIES (Cost - $1,232,450,975) | 1,250,347,837 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS IN PURCHASED OPTIONS (Cost - $122,240) | 127,945 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS - 110.3% (Cost - $1,232,573,215) | 1,250,475,782 | |||||||||
|
| |||||||||
Liabilities in Excess of Other Assets - (10.3)% | (117,282,436 | ) | ||||||||
|
| |||||||||
TOTAL NET ASSETS - 100.0% | $ | 1,133,193,346 | ||||||||
|
|
164
Schedules of Investments
(unaudited) (continued)
Core Fixed Income Fund
@ | May 28, 2021 represents the last business day of the Funds quarterly period. |
| Amount denominated in U.S. dollars, unless otherwise noted. |
| All ratings are by Standard & Poors Rating Service, unless otherwise noted. |
(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 May 28, 2021, amounts to $127,669,951 and represents 11.3% of net assets. |
(b) | Rating by Moodys Investors Service. |
(c) | Variable rate security. Interest rate disclosed is that which was in effect at May 28, 2021. |
(d) | Security is perpetual in nature and has no stated maturity date. |
(e) | Security is valued in good faith at fair value by or under the direction of the Board of Trustees. |
(f) | Illiquid security. |
(g) | Security is currently in default. |
(h) | Rating by Fitch Ratings Service. |
(i) | Principal only security. |
(j) | This security is traded on a TBA basis (see Note 1). |
(k) | Interest only security. |
(l) | Inverse Floating Rate Security - interest rate fluctuates with an inverse relationship to an associated interest rate. Indicated rate is the effective rate as of May 28, 2021. |
(m) | Affiliated security. As of May 28, 2021, total cost and total market value of affiliated securities amounted to $1,572,078 and $1,603,028 respectively. |
Underlying Security | Beginning Value as of August 31, 2020 | Purchases at Cost | Proceeds from Sales | Net Realized (Loss) on Sales | Change in Unrealized Appreciation/ (Depreciation) | Dividend/ Interest Income | Ending Value as of | |||||||||||||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust: | ||||||||||||||||||||||||||||
Series 2013-C13, Class A4, 4.039% due 11/15/46 | $ | 541,338 | $ | | $ | | $ | | $ | (3,763 | ) | $ | 15,146 | $ | 537,575 | |||||||||||||
Series 2016-C28, Class A3, 3.272% due 1/15/49 | | 674,681 | (363 | ) | (22 | ) | 3,603 | 3,874 | 677,899 | |||||||||||||||||||
Morgan Stanley Resecuritization Trust, Series 2014-R3, Class 2A, zero coupon, due 7/26/48 | 1,081,594 | | (686,788 | ) | (429 | ) | (6,823 | ) | 12,402 | 387,554 |
(n) | The aggregate value of restricted securities (excluding 144A holdings) at May 28, 2021, amounts to $19,001,545 and represents 1.7% of net assets. |
(o) | This position represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate. |
(p) | Rate shown represents yield-to-maturity. |
# | Security that used significant unobservable inputs to determine fair value. |
Core Fixed Income Fund
At May 28, 2021, for Core Fixed Income Fund the aggregate cost of investments, the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:
Fund | Aggregate Cost For Federal Income Tax Purposes | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation | ||||||||||||
Core Fixed Income Fund | $ | 1,232,573,215 | $ | 41,960,350 | $ | (19,700,586 | ) | $ | 22,259,764 |
Abbreviations used in this schedule:
ABS | | Asset-Based Security | ||||
ACES | | Alternative Credit Enhancement Securities | ||||
CLO | | Collateralized Loan Obligation | ||||
CMT | | Constant Maturity Treasury Rate | ||||
GO | | General Obligation | ||||
ICE | | Intercontinental Exchange | ||||
LIBOR | | London Interbank Offered Rate | ||||
MASTR | | Mortgage Asset Securitization Transactions Incorporation | ||||
PLC | | Public Limited Company | ||||
REMICS | | Real Estate Mortgage Investment Conduits | ||||
SOFR | | Secured Overnight Financing Rate |
165
Schedules of Investments
(unaudited) (continued)
Core Fixed Income Fund
Summary of Investments by Security Type^ | ||||
Corporate Bonds & Notes | 27.4 | % | ||
U.S. Government Agencies & Obligations | 26.9 | |||
Mortgage-Backed Securities | 22.2 | |||
Collateralized Mortgage Obligations | 8.2 | |||
Sovereign Bonds | 2.6 | |||
Senior Loans | 1.5 | |||
Asset-Backed Securities | 0.8 | |||
Municipal Bonds | 0.4 | |||
Purchased Options | 0.0 | * | ||
Short-Term Investments | 10.0 | |||
|
| |||
100.0 | % | |||
|
|
^ | As a percentage of total investments. |
* | Position represents less than 0.05%. |
At May 28, 2021, 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 | ||||||||||
3,860,000 | 423,963,100 JPY | OTC U.S. Dollar versus Japanese Yen, Put | CITI | 7/8/21 | $107.45 | $ | 5,360 | |||||||||
|
|
Interest Rate Cap Option
Number of Contracts | Notional Amount | Security Name | Counterparty | Expiration Date | Exercise Rate | Value | ||||||||||||
1,270,000 | $ | 2,520,950 | OTC USD ICE Swap 3-30 Year, Put | BCLY | 1/19/24 | 2.750% | $ | 65,322 | ||||||||||
|
|
Options on Futures
Number of Contracts | Notional Amount | Security Name | Counterparty | Expiration Date | Strike Price | Value | ||||||||||||||||
204 | $25,265,720 | U.S. Treasury 5-Year Note July Futures, Call | GSC | 6/25/21 | $ | 124.00 | $ | 43,032 | ||||||||||||||
19 | 2,506,813 | U.S. Treasury 10-Year Note June Futures, Call | GSC | 6/4/21 | $ | 132.50 | 1,781 | |||||||||||||||
249 | 62,150,400 | 3-Month Eurodollar March Futures, Put | GSC | 3/14/22 | $ | 99.63 | 12,450 | |||||||||||||||
|
| |||||||||||||||||||||
Total Options on Futures | 57,263 | |||||||||||||||||||||
|
| |||||||||||||||||||||
TOTAL OPTIONS CONTRACTS PURCHASED (Cost $122,240) | $ | 127,945 | ||||||||||||||||||||
|
|
166
Schedules of Investments
(unaudited) (continued)
Core Fixed Income Fund
At May 28, 2021, Core 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 | ||||||||||||||||
170,000 | $229 | OTC 30-Year Swaption, 3-Month USD-LIBOR, Call | CITI | 6/1/21 | 1.750 | % | $ | | ||||||||||||||
170,000 | 229 | OTC 30-Year Swaption, 3-Month USD-LIBOR, Put | CITI | 6/1/21 | 2.250 | % | | |||||||||||||||
|
| |||||||||||||||||||||
Total Interest Rate Swaptions | $ | | ||||||||||||||||||||
|
|
Options on Futures
Number of Contracts | Notional Amount | Security Name | Counterparty | Expiration Date | Strike Price | Value | ||||||||||||||||
204 | $25,265,720 | U.S. Treasury 5-Year Note July Futures, Call | GSC | 6/25/21 | $ | 125.00 | $ | 3,188 | ||||||||||||||
40 | 5,277,500 | U.S. Treasury 10-Year Note August Futures, Call | GSC | 7/23/21 | $ | 134.50 | 3,750 | |||||||||||||||
4 | 527,750 | U.S. Treasury 10-Year Note July Futures, Call | GSC | 6/25/21 | $ | 133.00 | 625 | |||||||||||||||
82 | 10,818,875 | U.S. Treasury 10-Year Note July Futures, Put | GSC | 6/25/21 | $ | 129.50 | 2,563 | |||||||||||||||
146 | 19,262,875 | U.S. Treasury 10-Year Note July Futures, Put | GSC | 6/25/21 | $ | 130.00 | 9,125 | |||||||||||||||
210 | 52,416,000 | 3-Month Eurodollar March Futures, Put | GSC | 3/14/22 | $ | 99.38 | 6,561 | |||||||||||||||
37 | 5,791,656 | U.S. Treasury Bond July Futures, Call | GSC | 6/25/21 | $ | 161.00 | 6,360 | |||||||||||||||
|
| |||||||||||||||||||||
Total Options on Futures | 32,172 | |||||||||||||||||||||
|
| |||||||||||||||||||||
TOTAL OPTIONS CONTRACTS WRITTEN (Premiums received $79,929) | $ | 32,172 | ||||||||||||||||||||
|
|
167
Schedules of Investments
(unaudited) (continued)
Core Fixed Income Fund
At May 28, 2021, Core Fixed Income Fund had open exchange-traded futures contracts as described below.
The unrealized appreciation (depreciation) on the open contracts were as follows:
Open Futures Contracts | Number of Contracts | Expiration Date (Month/Year) | Notional Amount | Market Value | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Contracts to Buy: | ||||||||||||||||||||
90-Day Eurodollar December Futures | 353 | 12/23 | $ | 87,345,813 | $ | 87,402,801 | $ | 56,988 | ||||||||||||
Australian Government 10-Year Bond June Futures | 42 | 6/21 | 4,509,539 | 4,538,519 | 28,980 | |||||||||||||||
Euro-OAT June Futures | 24 | 6/21 | 4,759,855 | 4,695,173 | (64,682 | ) | ||||||||||||||
U.S. Treasury 2-Year Note September Futures | 221 | 9/21 | 48,766,758 | 48,782,297 | 15,539 | |||||||||||||||
U.S. Treasury 5-Year Note September Futures | 621 | 9/21 | 76,854,790 | 76,911,821 | 57,031 | |||||||||||||||
U.S. Treasury Long Bond September Futures | 7 | 9/21 | 1,099,359 | 1,095,718 | (3,641 | ) | ||||||||||||||
U.S. Treasury Ultra Long Bond September Futures | 156 | 9/21 | 28,671,210 | 28,899,000 | 227,790 | |||||||||||||||
|
| |||||||||||||||||||
318,005 | ||||||||||||||||||||
|
| |||||||||||||||||||
Contracts to Sell: | ||||||||||||||||||||
90-Day Eurodollar December Futures | 424 | 12/21 | 105,589,580 | 105,814,500 | (224,920 | ) | ||||||||||||||
Euro-Bund June Futures | 86 | 6/21 | 18,032,551 | 17,822,797 | 209,754 | |||||||||||||||
Japan Government 10-Year Bond June Futures | 5 | 6/21 | 6,877,589 | 6,893,522 | (15,933 | ) | ||||||||||||||
U.S. Treasury 2-Year Note September Futures | 28 | 9/21 | 6,179,875 | 6,180,562 | (687 | ) | ||||||||||||||
U.S. Treasury 10-Year Note September Futures | 190 | 9/21 | 25,056,594 | 25,068,125 | (11,531 | ) | ||||||||||||||
U.S. Treasury Long Bond September Futures | 26 | 9/21 | 4,061,116 | 4,069,813 | (8,697 | ) | ||||||||||||||
U.S. Ultra Long Bond September Futures | 48 | 9/21 | 6,928,514 | 6,957,750 | (29,236 | ) | ||||||||||||||
|
| |||||||||||||||||||
(81,250 | ) | |||||||||||||||||||
|
| |||||||||||||||||||
Net Unrealized Appreciation on Open Exchange-Traded Futures Contracts |
| $ | 236,755 | |||||||||||||||||
|
|
At May 28, 2021, Core Fixed Income Fund had deposited cash of $3,065,454 with a broker or brokers as margin collateral on an open exchange-traded futures contracts.
168
Schedules of Investments
(unaudited) (continued)
Core Fixed Income Fund
At May 28, 2021, Core Fixed Income Fund had open forward foreign currency contracts as described below.
The unrealized appreciation (depreciation) on the open contracts were as follows:
Foreign Currency | Local Currency | In Exchange For | Counterparty | Market Value | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
Contracts to Buy: | ||||||||||||||||||||||||||||
Australian Dollar | 5,853,339 | USD | 4,480,356 | CITI | $ | 4,513,272 | 7/19/21 | $ | 32,916 | |||||||||||||||||||
Brazilian Real | 174,640 | USD | 30,614 | CITI | 33,363 | 7/19/21 | 2,749 | |||||||||||||||||||||
British Pound | 1,655,489 | USD | 2,273,606 | CITI | 2,349,585 | 7/19/21 | 75,979 | |||||||||||||||||||||
Canadian Dollar | 9,290,000 | USD | 7,422,143 | CITI | 7,693,097 | 7/19/21 | 270,954 | |||||||||||||||||||||
Canadian Dollar | 40,000 | USD | 31,937 | CITI | 33,124 | 7/19/21 | 1,187 | |||||||||||||||||||||
Canadian Dollar | 3,851,556 | USD | 3,075,193 | CITI | 3,189,494 | 7/19/21 | 114,301 | |||||||||||||||||||||
Euro | 6,112,813 | USD | 7,366,811 | CITI | 7,461,447 | 7/19/21 | 94,636 | |||||||||||||||||||||
Indonesian Rupiah | 78,867,595,537 | USD | 5,377,580 | CITI | 5,499,145 | 7/19/21 | 121,565 | |||||||||||||||||||||
Japanese Yen | 464,659,356 | USD | 4,260,256 | CITI | 4,232,083 | 7/19/21 | (28,173 | ) | ||||||||||||||||||||
Mexican Peso | 11,524,054 | USD | 565,068 | CITI | 575,538 | 7/19/21 | 10,470 | |||||||||||||||||||||
Russian Ruble | 173,750,000 | USD | 2,222,464 | CITI | 2,356,923 | 7/19/21 | 134,459 | |||||||||||||||||||||
Russian Ruble | 146,184,239 | USD | 1,864,262 | CITI | 1,982,993 | 7/19/21 | 118,731 | |||||||||||||||||||||
South African Rand | 8,680,000 | USD | 589,634 | CITI | 625,910 | 7/19/21 | 36,276 | |||||||||||||||||||||
|
| |||||||||||||||||||||||||||
986,050 | ||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||
Contracts to Sell: | ||||||||||||||||||||||||||||
Euro | 2,260,000 | USD | 2,688,202 | CITI | 2,758,610 | 7/19/21 | (70,408 | ) | ||||||||||||||||||||
Euro | 4,533,124 | USD | 5,413,595 | CITI | 5,533,241 | 7/19/21 | (119,646 | ) | ||||||||||||||||||||
Mexican Peso | 5,297,066 | USD | 264,041 | CITI | 264,548 | 7/19/21 | (507 | ) | ||||||||||||||||||||
|
| |||||||||||||||||||||||||||
(190,561 | ) | |||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||
Net Unrealized Appreciation on Open Forward Foreign Currency Contracts |
| $ | 795,489 | |||||||||||||||||||||||||
|
|
169
Schedules of Investments
(unaudited) (continued)
Core Fixed Income Fund
At May 28, 2021, Core Fixed Income Fund held the following OTC Interest Rate Swap Contracts:
Pay Floating Rate | Floating Rate Index | Fixed Rate | Maturity Date | Counterparty | Notional Amount | Market Value | Upfront Payment Paid | Unrealized (Depreciation) | ||||||||||||||||||||
Pay | 3-Month BRL-CDI-Compounded | 7.024 | % | 1/4/27 | CITI | BRL 18,325,000 | $ | 441 | $ | 7,443 | $ | (7,002 | ) | |||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
170
Schedules of Investments
(unaudited) (continued)
Core Fixed Income Fund
At May 28, 2021, Core Fixed Income Fund held the following Centrally Cleared Interest Rate Swap Contracts:
Receive Floating Rate | Floating Rate Index | Fixed Rate | Maturity Date | Payment Frequency | Notional Amount | Market Value | Upfront Payment Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||
Receive | 3-Month USD-LIBOR | 0.450 | % | 5/15/27 | 6-Month | USD | 23,485,000 | $ | 840,600 | $ | (22,976 | ) | $ | 863,576 | ||||||||||||||||||
Receive | 3-Month USD-LIBOR | 0.900 | % | 3/17/50 | 6-Month | USD | 1,492,000 | 370,976 | (45 | ) | 371,021 | |||||||||||||||||||||
Receive | 3-Month USD-LIBOR | 1.000 | % | 2/15/47 | 6-Month | USD | 9,250,000 | 1,887,196 | 110,349 | 1,776,847 | ||||||||||||||||||||||
Receive | 3-Month USD-LIBOR | 1.200 | % | 10/7/50 | 6-Month | USD | 662,000 | 120,594 | (290 | ) | 120,884 | |||||||||||||||||||||
Receive | 3-Month USD-LIBOR | 1.225 | % | 2/15/47 | 6-Month | USD | 724,000 | 112,777 | 831 | 111,946 | ||||||||||||||||||||||
Receive | 3-Month USD-LIBOR | 1.250 | % | 2/15/28 | 6-Month | USD | 5,730,000 | (17,870 | ) | 5,733 | (23,603 | ) | ||||||||||||||||||||
Receive | 3-Month USD-LIBOR | 1.350 | % | 2/15/28 | 6-Month | USD | 10,365,000 | (99,507 | ) | (37,165 | ) | (62,342 | ) | |||||||||||||||||||
Receive | 3-Month USD-LIBOR | 2.000 | % | 2/15/47 | 6-Month | USD | 5,005,000 | (15,507 | ) | 27,874 | (43,381 | ) | ||||||||||||||||||||
Receive | 3-Month USD-LIBOR | 2.000 | % | 6/3/51 | 6-Month | USD | 85,000 | (290 | ) | 90 | (380 | ) | ||||||||||||||||||||
Receive | U.S. Federal Funds Effective Rate Index | 0.560 | % | 7/20/45 | 12-Month | USD | 730,000 | 177,737 | | 177,737 | ||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | 3,376,706 | $ | 84,401 | $ | 3,292,305 | |||||||||||||||||||||||||||
|
|
|
|
|
|
At May 28, 2021, Core Fixed Income Fund deposited cash collateral with brokers in the amount of $826,890 for open centrally cleared swap contracts.
171
Schedules of Investments
(unaudited) (continued)
Core Fixed Income Fund
At May 28, 2021, Core 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 | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||
Pay | CPI-U Index, USD Inflation Linked | 2.750 | % | 5/13/26 | USD | 4,460,000 | $ | (20,950 | ) | $ | 4,735 | $ | (25,685 | ) | ||||||||||||||
Receive | CPI-U Index, USD Inflation Linked | 2.940 | % | 5/13/23 | USD | 4,460,000 | 17,578 | | 17,578 | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | (3,372 | ) | $ | 4,735 | $ | (8,107 | ) | |||||||||||||||||||||
|
|
|
|
|
|
172
Schedules of Investments
(unaudited) (continued)
Core Fixed Income Fund
See pages 252-254 for definitions of ratings.
173
Schedules of Investments
May 28, 2021@
(unaudited) (continued)
High Yield Fund
Face Amount/Units | Rating | Security | Value | |||||||
CORPORATE BONDS & NOTES - 87.2% | ||||||||||
Advertising - 0.5% | ||||||||||
$ 810,000 | CCC | Clear Channel Outdoor Holdings Inc., Senior Unsecured Notes, 7.500% due 6/1/29(a) | $ | 809,255 | ||||||
872,000 | CCC+ | Terrier Media Buyer Inc., Company Guaranteed Notes, 8.875% due 12/15/27(a) | 934,130 | |||||||
|
| |||||||||
Total Advertising | 1,743,385 | |||||||||
|
| |||||||||
Aerospace/Defense - 0.8% | ||||||||||
290,000 | BBB- | Boeing Co. (The), Senior Unsecured Notes, 5.150% due 5/1/30 | 339,981 | |||||||
641,000 | BB | Moog Inc., Company Guaranteed Notes, 4.250% due 12/15/27(a) | 657,871 | |||||||
645,000 | B | Spirit AeroSystems Inc., Secured Notes, 7.500% due 4/15/25(a) | 690,956 | |||||||
TransDigm Inc.: | ||||||||||
550,000 | B- | Company Guaranteed Notes, 4.625% due 1/15/29(a) | 544,286 | |||||||
Senior Secured Notes: | ||||||||||
170,000 | B+ | 8.000% due 12/15/25(a) | 183,933 | |||||||
150,000 | B+ | 6.250% due 3/15/26(a) | 158,441 | |||||||
|
| |||||||||
Total Aerospace/Defense | 2,575,468 | |||||||||
|
| |||||||||
Airlines - 2.4% | ||||||||||
1,250,000 | B | American Airlines Inc., Senior Secured Notes, 11.750% due 7/15/25(a) | 1,569,562 | |||||||
American Airlines Inc./AAdvantage Loyalty IP Ltd., Senior Secured Notes: | ||||||||||
473,300 | Ba2(b) | 5.500% due 4/20/26(a) | 498,754 | |||||||
605,000 | Ba2(b) | 5.750% due 4/20/29(a) | 649,452 | |||||||
200,000 | BBB- | Delta Air Lines Inc., Senior Secured Notes, 7.000% due 5/1/25(a) | 232,692 | |||||||
370,000 | Baa1(b) | Delta Air Lines Inc./SkyMiles IP Ltd., Senior Secured Notes, 4.750% due 10/20/28(a) | 404,522 | |||||||
1,265,000 | Ba3(b) | Hawaiian Brand Intellectual Property Ltd./HawaiianMiles Loyalty Ltd., Senior Secured Notes, 5.750% due 1/20/26(a) | 1,345,644 | |||||||
1,192,000 | Baa3(b) | Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd., Senior Secured Notes, 6.500% due 6/20/27(a) | 1,306,366 | |||||||
70,000 | NR | Spirit Airlines Inc., Senior Unsecured Notes, 1.000% due 5/15/26 | 71,841 | |||||||
466,747 | Ba3(b) | Spirit Loyalty Cayman Ltd./Spirit IP Cayman Ltd., Senior Secured Notes, 8.000% | 529,758 | |||||||
203,805 | BBB- | United Airlines Class B Pass Through Trust, Pass-Thru Certificates, 4.875% due 1/15/26 | 217,360 | |||||||
146,000 | B | United Airlines Holdings Inc., Company Guaranteed Notes, 4.875% due 1/15/25 | 149,836 | |||||||
United Airlines Inc., Senior Secured Notes: | ||||||||||
456,000 | BB- | 4.375% due 4/15/26(a) | 473,107 | |||||||
304,000 | BB- | 4.625% due 4/15/29(a) | 314,458 | |||||||
|
| |||||||||
Total Airlines | 7,763,352 | |||||||||
|
| |||||||||
Auto Manufacturers - 3.1% | ||||||||||
700,000 | Ba3(b) | Allison Transmission Inc., Company Guaranteed Notes, 3.750% due 1/30/31(a) | 672,875 | |||||||
Ford Motor Co., Senior Unsecured Notes: | ||||||||||
986,000 | BB+ | 9.000% due 4/22/25 | 1,205,927 | |||||||
393,000 | BB+ | 9.625% due 4/22/30 | 547,767 | |||||||
218,000 | BB+ | 7.450% due 7/16/31 | 275,544 | |||||||
1,141,000 | BB+ | 4.750% due 1/15/43 | 1,152,615 | |||||||
Ford Motor Credit Co. LLC, Senior Unsecured Notes: | ||||||||||
1,900,000 | BB+ | 3.375% due 11/13/25 | 1,947,605 | |||||||
500,000 | BB+ | 4.542% due 8/1/26 | 539,105 | |||||||
468,000 | BB+ | 4.125% due 8/17/27 | 489,645 | |||||||
624,000 | BB+ | 3.815% due 11/2/27 | 638,040 | |||||||
502,000 | BB+ | 2.900% due 2/16/28 | 489,817 | |||||||
320,000 | BB+ | 5.113% due 5/3/29 | 350,400 | |||||||
400,000 | BB+ | 4.000% due 11/13/30 | 408,488 | |||||||
500,000 | B+ | JB Poindexter & Co., Inc., Senior Unsecured Notes, 7.125% due 4/15/26(a) | 528,798 | |||||||
500,000 | B+ | PM General Purchaser LLC, Senior Secured Notes, 9.500% due 10/1/28(a) | 546,875 | |||||||
|
| |||||||||
Total Auto Manufacturers | 9,793,501 | |||||||||
|
| |||||||||
Auto Parts & Equipment - 0.4% | ||||||||||
670,000 | B | American Axle & Manufacturing Inc., Company Guaranteed Notes, 6.500% due 4/1/27 | 712,084 |
174
Schedules of Investments
(unaudited) (continued)
High Yield Fund
Face Amount/Units | Rating | Security | Value | |||||||
CORPORATE BONDS & NOTES - 87.2% - (continued) | ||||||||||
Auto Parts & Equipment - 0.4% - (continued) | ||||||||||
$ 510,000 | B- | Titan International Inc., Senior Secured Notes, 7.000% due 4/30/28(a) | $ | 532,160 | ||||||
|
| |||||||||
Total Auto Parts & Equipment | 1,244,244 | |||||||||
|
| |||||||||
Banks - 1.1% | ||||||||||
Barclays PLC: | ||||||||||
230,000 | B+ | Junior Subordinated Notes, 8.000% (5-Year CMT Index + 5.672%)(c)(d) | 261,481 | |||||||
390,000 | BB+ | Subordinated Notes, 5.088% (3-Month USD-LIBOR + 3.054%) due 6/20/30(c) | 450,227 | |||||||
200,000 | BBB- | Credit Agricole SA, Junior Subordinated Notes, 8.125% (5-Year USD Swap Rate + | 243,061 | |||||||
Credit Suisse Group AG, Junior Subordinated Notes: | ||||||||||
230,000 | BB- | 6.375% (5-Year CMT Index + 4.822%)(a)(c)(d) | 251,467 | |||||||
200,000 | BB- | 7.500% (5-Year USD Swap Rate + 4.600%)(a)(c)(d) | 216,300 | |||||||
190,000 | BBB- | Goldman Sachs Group Inc. (The), Subordinated Notes, 5.150% due 5/22/45 | 248,681 | |||||||
360,000 | BB+ | Intesa Sanpaolo SpA, Subordinated Notes, 4.198% due 6/1/32(a) | 367,343 | |||||||
700,000 | B+ | Natwest Group PLC, Junior Subordinated Notes, 8.625% (5-Year USD Swap Rate + | 708,757 | |||||||
200,000 | BB | UBS Group AG, Junior Subordinated Notes, 7.000% (5-Year USD Swap Rate + | 220,515 | |||||||
520,000 | BB+ | UniCredit SpA, Subordinated Notes, 5.459% (5-Year CMT Index + 4.750%) due 6/30/35(a)(c) | 563,332 | |||||||
|
| |||||||||
Total Banks | 3,531,164 | |||||||||
|
| |||||||||
Beverages - 0.1% | ||||||||||
460,000 | CCC+ | Triton Water Holdings Inc., Senior Unsecured Notes, 6.250% due 4/1/29(a) | 461,817 | |||||||
|
| |||||||||
Building Materials - 1.0% | ||||||||||
320,000 | B- | Cornerstone Building Brands Inc., Company Guaranteed Notes, 6.125% due 1/15/29(a) | 342,344 | |||||||
320,000 | CCC | CP Atlas Buyer Inc., Senior Unsecured Notes, 7.000% due 12/1/28(a) | 331,373 | |||||||
650,000 | B+ | Griffon Corp., Company Guaranteed Notes, 5.750% due 3/1/28 | 686,563 | |||||||
570,000 | B+ | SRM Escrow Issuer LLC, Senior Secured Notes, 6.000% due 11/1/28(a) | 594,729 | |||||||
Standard Industries Inc., Senior Unsecured Notes: | ||||||||||
427,000 | BBB- | 5.000% due 2/15/27(a) | 442,163 | |||||||
248,000 | BBB- | 4.375% due 7/15/30(a) | 251,064 | |||||||
660,000 | BB | Summit Materials LLC/Summit Materials Finance Corp., Company Guaranteed Notes, 5.250% due 1/15/29(a) | 697,699 | |||||||
|
| |||||||||
Total Building Materials | 3,345,935 | |||||||||
|
| |||||||||
Chemicals - 1.2% | ||||||||||
775,000 | B+ | Consolidated Energy Finance SA, Senior Unsecured Notes, 6.875% due 6/15/25(a) | 781,758 | |||||||
340,000 | BB- | Kraton Polymers LLC/Kraton Polymers Capital Corp., Company Guaranteed Notes, 4.250% due 12/15/25(a) | 345,195 | |||||||
601,000 | BB | Methanex Corp., Senior Unsecured Notes, 5.125% due 10/15/27 | 629,487 | |||||||
500,000 | BB- | Minerals Technologies Inc., Company Guaranteed Notes, 5.000% due 7/1/28(a) | 521,510 | |||||||
454,000 | BB | OCI NV, Senior Secured Notes, 5.250% due 11/1/24(a) | 468,612 | |||||||
500,000 | BB | Olin Corp., Senior Unsecured Notes, 5.000% due 2/1/30 | 531,350 | |||||||
429,000 | B- | Trinseo Materials Operating SCA/Trinseo Materials Finance Inc., Company Guaranteed Notes, 5.125% due 4/1/29(a) | 440,965 | |||||||
|
| |||||||||
Total Chemicals | 3,718,877 | |||||||||
|
| |||||||||
Coal - 0.2% | ||||||||||
775,000 | BB- | SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp., Company Guaranteed Notes, 7.500% due 6/15/25(a) | 803,094 | |||||||
|
| |||||||||
Commercial Services - 6.7% | ||||||||||
760,000 | BB- | Adtalem Global Education Inc., Senior Secured Notes, 5.500% due 3/1/28(a) | 761,022 | |||||||
525,000 | CCC | Ahern Rentals Inc., Secured Notes, 7.375% due 5/15/23(a) | 476,926 | |||||||
Allied Universal Holdco LLC/Allied Universal Finance Corp.: | ||||||||||
420,000 | B | Senior Secured Notes, 6.625% due 7/15/26(a) | 446,000 | |||||||
545,000 | CCC+ | Senior Unsecured Notes, 6.000% due 6/1/29(a) | 553,867 | |||||||
840,000 | B | Allied Universal Holdco LLC/Allied Universal Finance Corp./Atlas Luxco 4 Sarl, Senior Secured Notes, 4.625% due 6/1/28(a) | 838,358 | |||||||
490,000 | B- | Alta Equipment Group Inc., Secured Notes, 5.625% due 4/15/26(a) | 504,092 | |||||||
Avis Budget Car Rental LLC/Avis Budget Finance Inc., Company Guaranteed Notes: | ||||||||||
94,000 | B | 5.250% due 3/15/25(a) | 95,939 | |||||||
477,000 | B | 5.750% due 7/15/27(a) | 501,004 | |||||||
460,000 | B- | Bidfair Holdings Inc., Senior Unsecured Notes, 5.875% due 6/1/29(a) | 462,351 | |||||||
775,000 | BB- | Brinks Co. (The), Company Guaranteed Notes, 4.625% due 10/15/27(a) | 795,344 | |||||||
500,000 | B+ | Carriage Services Inc., Company Guaranteed Notes, 4.250% due 5/15/29(a) | 500,000 |
175
Schedules of Investments
(unaudited) (continued)
High Yield Fund
Face Amount/Units | Rating | Security | Value | |||||||
CORPORATE BONDS & NOTES - 87.2% - (continued) | ||||||||||
Commercial Services - 6.7% - (continued) | ||||||||||
CoreCivic Inc., Company Guaranteed Notes: | ||||||||||
$ 120,000 | BB- | 4.625% due 5/1/23 | $ | 119,105 | ||||||
460,000 | BB- | 8.250% due 4/15/26 | 449,873 | |||||||
689,000 | B- | Deluxe Corp., Senior Unsecured Notes, 8.000% due 6/1/29(a) | 719,275 | |||||||
775,000 | B | Garda World Security Corp., Senior Secured Notes, 4.625% due 2/15/27(a) | 774,043 | |||||||
560,000 | BB | Gartner Inc., Company Guaranteed Notes, 3.750% due 10/1/30(a) | 563,200 | |||||||
Jaguar Holding Co. II/PPD Development LP, Company Guaranteed Notes: | ||||||||||
194,000 | B+ | 4.625% due 6/15/25(a) | 203,458 | |||||||
172,000 | B+ | 5.000% due 6/15/28(a) | 186,180 | |||||||
505,000 | BB | Korn Ferry, Company Guaranteed Notes, 4.625% due 12/15/27(a) | 521,180 | |||||||
610,000 | B3(b) | Legends Hospitality Holding Co. LLC/Legends Hospitality Co.-Issuer Inc., Senior Secured Notes, 5.000% due 2/1/26(a) | 632,112 | |||||||
1,696,000 | B- | MPH Acquisition Holdings LLC, Company Guaranteed Notes, 5.750% due 11/1/28(a) | 1,690,022 | |||||||
Nielsen Finance LLC/Nielsen Finance Co., Company Guaranteed Notes: | ||||||||||
96,000 | BB | 5.625% due 10/1/28(a) | 101,640 | |||||||
596,000 | BB | 5.875% due 10/1/30(a) | 644,491 | |||||||
Prime Security Services Borrower LLC/Prime Finance Inc.: | ||||||||||
1,440,000 | B- | Secured Notes, 6.250% due 1/15/28(a) | 1,491,502 | |||||||
1,375,000 | BB- | Senior Secured Notes, 3.375% due 8/31/27(a) | 1,322,406 | |||||||
320,000 | B | Rent-A-Center Inc., Company Guaranteed Notes, 6.375% due 2/15/29(a) | 343,339 | |||||||
590,000 | B | Shift4 Payments LLC/Shift4 Payments Finance Sub Inc., Company Guaranteed Notes, 4.625% due 11/1/26(a) | 618,562 | |||||||
675,000 | B+ | Sothebys, Senior Secured Notes, 7.375% due 10/15/27(a) | 723,107 | |||||||
460,000 | BB | Square Inc., Senior Unsecured Notes, 3.500% due 6/1/31(a) | 460,667 | |||||||
570,000 | CCC+ | StoneMor Inc., Senior Secured Notes, 8.500% due 5/15/29(a) | 564,257 | |||||||
1,153,000 | CCC | Team Health Holdings Inc., Company Guaranteed Notes, 6.375% due 2/1/25(a) | 1,073,731 | |||||||
60,000 | B+ | Terminix Co. LLC (The), Senior Unsecured Notes, 7.450% due 8/15/27 | 70,184 | |||||||
675,000 | BB | TriNet Group Inc., Company Guaranteed Notes, 3.500% due 3/1/29(a) | 658,601 | |||||||
920,000 | BB | United Rentals North America Inc., Company Guaranteed Notes, 5.250% due 1/15/30 | 1,006,195 | |||||||
590,000 | BB- | WW International Inc., Senior Secured Notes, 4.500% due 4/15/29(a) | 590,667 | |||||||
|
| |||||||||
Total Commercial Services | 21,462,700 | |||||||||
|
| |||||||||
Computers - 1.0% | ||||||||||
256,000 | CCC+ | Ahead DB Holdings LLC, Company Guaranteed Notes, 6.625% due 5/1/28(a) | 259,542 | |||||||
500,000 | CCC+ | Banff Merger Sub Inc., Senior Unsecured Notes, 9.750% due 9/1/26(a) | 530,000 | |||||||
600,000 | B- | Diebold Nixdorf Inc., Senior Secured Notes, 9.375% due 7/15/25(a) | 666,855 | |||||||
1,264,000 | B+ | NCR Corp., Company Guaranteed Notes, 5.125% due 4/15/29(a) | 1,298,697 | |||||||
300,000 | BB- | Unisys Corp., Senior Secured Notes, 6.875% due 11/1/27(a) | 327,808 | |||||||
|
| |||||||||
Total Computers | 3,082,902 | |||||||||
|
| |||||||||
Cosmetics/Personal Care - 0.7% | ||||||||||
1,019,000 | B- | Coty Inc., Company Guaranteed Notes, 6.500% due 4/15/26(a) | 1,015,046 | |||||||
Edgewell Personal Care Co., Company Guaranteed Notes: | ||||||||||
296,000 | BB | 5.500% due 6/1/28(a) | 315,433 | |||||||
890,000 | BB | 4.125% due 4/1/29(a) | 893,177 | |||||||
|
| |||||||||
Total Cosmetics/Personal Care | 2,223,656 | |||||||||
|
| |||||||||
Distribution/Wholesale - 1.0% | ||||||||||
108,159 | NR | American News Co. LLC, Secured Notes, 8.500% (8.500% cash or 10.000% PIK) due 9/1/26(a)(e) | 121,088 | |||||||
230,000 | CCC | BCPE Empire Holdings Inc., Senior Unsecured Notes, 7.625% due 5/1/27(a) | 233,738 | |||||||
1,600,000 | BB- | H&E Equipment Services Inc., Company Guaranteed Notes, 3.875% due 12/15/28(a) | 1,549,744 | |||||||
650,000 | B- | KAR Auction Services Inc., Company Guaranteed Notes, 5.125% due 6/1/25(a) | 663,812 | |||||||
635,000 | B | Performance Food Group Inc., Company Guaranteed Notes, 5.500% due 10/15/27(a) | 663,791 | |||||||
|
| |||||||||
Total Distribution/Wholesale | 3,232,173 | |||||||||
|
| |||||||||
Diversified Financial Services - 4.5% | ||||||||||
625,000 | B- | AG Issuer LLC, Senior Secured Notes, 6.250% due 3/1/28(a) | 650,066 | |||||||
1,120,000 | NR | Alliance Data Systems Corp., Company Guaranteed Notes, 4.750% due 12/15/24(a) | 1,155,000 | |||||||
900,000 | CCC | Aretec Escrow Issuer Inc., Senior Unsecured Notes, 7.500% due 4/1/29(a) | 919,130 |
176
Schedules of Investments
(unaudited) (continued)
High Yield Fund
Face Amount/Units | Rating | Security | Value | |||||||
CORPORATE BONDS & NOTES - 87.2% - (continued) | ||||||||||
Diversified Financial Services - 4.5% - (continued) | ||||||||||
$ 924,000 | BB- | Burford Capital Global Finance LLC, Company Guaranteed Notes, 6.250% due 4/15/28(a) | $ | 966,901 | ||||||
775,000 | BB | Credit Acceptance Corp., Company Guaranteed Notes, 6.625% due 3/15/26 | 820,289 | |||||||
900,000 | Ba3(b) | Enact Holdings Inc., Senior Unsecured Notes, 6.500% due 8/15/25(a) | 978,363 | |||||||
950,000 | B- | Enova International Inc., Company Guaranteed Notes, 8.500% due 9/15/25(a) | 988,731 | |||||||
625,000 | B* | Fairstone Financial Inc., Senior Unsecured Notes, 7.875% due 7/15/24(a) | 652,175 | |||||||
1,610,721 | B1(b) | Global Aircraft Leasing Co., Ltd., Senior Unsecured Notes, 6.500% (6.500% cash or 7.250% PIK) due 9/15/24(a)(e) | 1,613,959 | |||||||
goeasy Ltd., Company Guaranteed Notes: | ||||||||||
343,000 | BB- | 5.375% due 12/1/24(a) | 355,382 | |||||||
431,000 | BB- | 4.375% due 5/1/26(a) | 436,926 | |||||||
LD Holdings Group LLC, Company Guaranteed Notes: | ||||||||||
699,000 | B+ | 6.500% due 11/1/25(a) | 724,031 | |||||||
410,000 | B+ | 6.125% due 4/1/28(a) | 405,441 | |||||||
500,000 | B+ | Midcap Financial Issuer Trust, Senior Unsecured Notes, 6.500% due 5/1/28(a) | 522,798 | |||||||
494,000 | B | NFP Corp., Senior Secured Notes, 4.875% due 8/15/28(a) | 495,853 | |||||||
575,000 | BB- | OneMain Finance Corp., Company Guaranteed Notes, 6.875% due 3/15/25 | 650,469 | |||||||
110,000 | BB+ | Quicken Loans LLC, Company Guaranteed Notes, 5.250% due 1/15/28(a) | 115,157 | |||||||
Quicken Loans LLC/Quicken Loans Co.-Issuer Inc., Company Guaranteed Notes: | ||||||||||
875,000 | BB+ | 3.625% due 3/1/29(a) | 854,766 | |||||||
990,000 | BB+ | 3.875% due 3/1/31(a) | 969,586 | |||||||
190,000 | BB- | StoneX Group Inc., Senior Secured Notes, 8.625% due 6/15/25(a) | 203,751 | |||||||
|
| |||||||||
Total Diversified Financial Services | 14,478,774 | |||||||||
|
| |||||||||
Electric - 2.2% | ||||||||||
Calpine Corp.: | ||||||||||
190,000 | BB+ | Senior Secured Notes, 4.500% due 2/15/28(a) | 192,375 | |||||||
Senior Unsecured Notes: | ||||||||||
781,000 | B+ | 5.125% due 3/15/28(a) | 787,861 | |||||||
150,000 | B+ | 4.625% due 2/1/29(a) | 146,668 | |||||||
650,000 | B+ | 5.000% due 2/1/31(a) | 631,280 | |||||||
650,000 | BB | Clearway Energy Operating LLC, Company Guaranteed Notes, 5.000% due 9/15/26 | 671,905 | |||||||
652,000 | BB | NextEra Energy Operating Partners LP, Company Guaranteed Notes, 4.500% due 9/15/27(a) | 709,930 | |||||||
NRG Energy Inc., Company Guaranteed Notes: | ||||||||||
755,000 | BB+ | 5.750% due 1/15/28 | 801,191 | |||||||
138,000 | BB+ | 3.375% due 2/15/29(a) | 133,434 | |||||||
27,000 | BB+ | 5.250% due 6/15/29(a) | 28,419 | |||||||
230,000 | BB+ | 3.625% due 2/15/31(a) | 220,801 | |||||||
645,000 | BB- | Pattern Energy Operations LP/Pattern Energy Operations Inc., Company Guaranteed Notes, 4.500% due 8/15/28(a) | 661,109 | |||||||
Talen Energy Supply LLC: | ||||||||||
40,000 | CCC+ | Company Guaranteed Notes, 10.500% due 1/15/26(a) | 36,450 | |||||||
970,000 | BB- | Senior Secured Notes, 6.625% due 1/15/28(a) | 967,997 | |||||||
Vistra Operations Co. LLC: | ||||||||||
353,000 | BB | Company Guaranteed Notes, 5.000% due 7/31/27(a) | 360,942 | |||||||
508,000 | BBB- | Senior Secured Notes, 4.300% due 7/15/29(a) | 539,695 | |||||||
|
| |||||||||
Total Electric | 6,890,057 | |||||||||
|
| |||||||||
Electrical Components & Equipment - 0.3% | ||||||||||
652,000 | B+ | Energizer Holdings Inc., Company Guaranteed Notes, 4.375% due 3/31/29(a) | 644,665 | |||||||
216,000 | BB+ | EnerSys, Company Guaranteed Notes, 4.375% due 12/15/27(a) | 224,030 | |||||||
|
| |||||||||
Total Electrical Components & Equipment | 868,695 | |||||||||
|
| |||||||||
Electronics - 0.6% | ||||||||||
581,000 | BB- | Imola Merger Corp., Senior Secured Notes, 4.750% due 5/15/29(a) | 587,542 | |||||||
310,000 | BB+ | Sensata Technologies BV, Company Guaranteed Notes, 4.000% due 4/15/29(a) | 310,946 | |||||||
500,000 | BB+ | Sensata Technologies Inc., Company Guaranteed Notes, 4.375% due 2/15/30(a) | 517,125 | |||||||
450,000 | BB- | TTM Technologies Inc., Company Guaranteed Notes, 4.000% due 3/1/29(a) | 445,941 | |||||||
|
| |||||||||
Total Electronics | 1,861,554 | |||||||||
|
|
177
Schedules of Investments
(unaudited) (continued)
High Yield Fund
Face Amount/Units | Rating | Security | Value | |||||||
CORPORATE BONDS & NOTES - 87.2% - (continued) | ||||||||||
Energy - Alternate Sources - 0.1% | ||||||||||
Enphase Energy Inc., Senior Unsecured Notes: | ||||||||||
$ 200,000 | NR | zero coupon, due 3/1/26(a) | $ | 183,200 | ||||||
50,000 | NR | zero coupon, due 3/1/28(a) | 43,551 | |||||||
|
| |||||||||
Total Energy - Alternate Sources | 226,751 | |||||||||
|
| |||||||||
Engineering & Construction - 0.4% | ||||||||||
480,000 | B | Brundage-Bone Concrete Pumping Holdings Inc., Secured Notes, 6.000% due 2/1/26(a) | 497,417 | |||||||
400,000 | BB+ | TopBuild Corp., Company Guaranteed Notes, 3.625% due 3/15/29(a) | 395,048 | |||||||
462,000 | B- | VM Consolidated Inc., Company Guaranteed Notes, 5.500% due 4/15/29(a) | 469,269 | |||||||
|
| |||||||||
Total Engineering & Construction | 1,361,734 | |||||||||
|
| |||||||||
Entertainment - 1.9% | ||||||||||
460,000 | B- | Allen Media LLC/Allen Media Co.-Issuer Inc., Company Guaranteed Notes, 10.500% due 2/15/28(a) | 488,679 | |||||||
1,050,000 | B | Banijay Entertainment SASU, Senior Secured Notes, 5.375% due 3/1/25(a) | 1,079,300 | |||||||
290,000 | B | Boyne USA Inc., Senior Unsecured Notes, 4.750% due 5/15/29(a) | 300,179 | |||||||
814,000 | B | Caesars Entertainment Inc., Senior Secured Notes, 6.250% due 7/1/25(a) | 859,788 | |||||||
440,000 | B | Cinemark USA Inc., Company Guaranteed Notes, 5.875% due 3/15/26(a) | 456,509 | |||||||
360,000 | BB | International Game Technology PLC, Senior Secured Notes, 4.125% due 4/15/26(a) | 372,173 | |||||||
Live Nation Entertainment Inc.: | ||||||||||
451,000 | B- | Company Guaranteed Notes, 4.750% due 10/15/27(a) | 461,172 | |||||||
89,000 | B+ | Senior Secured Notes, 3.750% due 1/15/28(a) | 88,788 | |||||||
550,000 | B- | Scientific Games International Inc., Company Guaranteed Notes, 7.000% due 5/15/28(a) | 595,914 | |||||||
600,000 | B- | SeaWorld Parks & Entertainment Inc., Senior Secured Notes, 8.750% due 5/1/25(a) | 651,561 | |||||||
250,000 | BB- | Speedway Motorsports LLC/Speedway Funding II Inc., Senior Unsecured Notes, 4.875% due 11/1/27(a) | 249,718 | |||||||
400,000 | BB- | Wynn Resorts Finance LLC/Wynn Resorts Capital Corp., Senior Unsecured Notes, 7.750% due 4/15/25(a) | 431,000 | |||||||
|
| |||||||||
Total Entertainment | 6,034,781 | |||||||||
|
| |||||||||
Environmental Control - 1.1% | ||||||||||
Clean Harbors Inc., Company Guaranteed Notes: | ||||||||||
123,000 | BB+ | 4.875% due 7/15/27(a) | 129,580 | |||||||
189,000 | BB+ | 5.125% due 7/15/29(a) | 205,480 | |||||||
935,000 | B | Covanta Holding Corp., Company Guaranteed Notes, 5.000% due 9/1/30 | 964,378 | |||||||
GFL Environmental Inc.: | ||||||||||
930,000 | BB- | Senior Secured Notes, 3.750% due 8/1/25(a) | 953,957 | |||||||
96,000 | B- | Senior Unsecured Notes, 8.500% due 5/1/27(a) | 105,491 | |||||||
1,025,000 | B+ | Harsco Corp., Company Guaranteed Notes, 5.750% due 7/31/27(a) | 1,076,296 | |||||||
|
| |||||||||
Total Environmental Control | 3,435,182 | |||||||||
|
| |||||||||
Food - 2.3% | ||||||||||
Albertsons Cos Inc./Safeway Inc./New Albertsons LP/Albertsons LLC, Company Guaranteed Notes: | ||||||||||
888,000 | BB- | 5.875% due 2/15/28(a) | 945,507 | |||||||
90,000 | BB- | 3.500% due 3/15/29(a) | 86,440 | |||||||
39,000 | BB- | 4.875% due 2/15/30(a) | 40,698 | |||||||
1,000,000 | B | C&S Group Enterprises LLC, Company Guaranteed Notes, 5.000% due 12/15/28(a) | 956,100 | |||||||
Kraft Heinz Foods Co., Company Guaranteed Notes: | ||||||||||
199,000 | BB+ | 3.875% due 5/15/27 | 218,071 | |||||||
89,000 | BB+ | 4.625% due 10/1/39 | 99,941 | |||||||
60,000 | BB+ | 5.000% due 6/4/42 | 69,964 | |||||||
60,000 | BB+ | 5.200% due 7/15/45 | 71,115 | |||||||
1,289,000 | BB+ | 4.375% due 6/1/46 | 1,387,242 | |||||||
75,000 | BB+ | 4.875% due 10/1/49 | 86,374 | |||||||
499,000 | BB+ | 5.500% due 6/1/50 | 622,518 | |||||||
425,000 | BB | Land OLakes Capital Trust I, Limited Guaranteed Notes, 7.450% due 3/15/28(a) | 489,572 | |||||||
500,000 | BB+ | Pilgrims Pride Corp., Company Guaranteed Notes, 5.875% due 9/30/27(a) | 532,500 | |||||||
623,000 | B+ | Post Holdings Inc., Company Guaranteed Notes, 4.625% due 4/15/30(a) | 627,676 | |||||||
1,065,000 | B | Simmons Foods Inc./Simmons Prepared Foods Inc./Simmons Pet Food Inc./Simmons Feed, Secured Notes, 4.625% due 3/1/29(a) | 1,080,426 | |||||||
|
| |||||||||
Total Food | 7,314,144 | |||||||||
|
|
178
Schedules of Investments
(unaudited) (continued)
High Yield Fund
Face Amount/Units | Rating | Security | Value | |||||||
CORPORATE BONDS & NOTES - 87.2% - (continued) | ||||||||||
Forest Products & Paper - 0.3% | ||||||||||
$ 900,000 | BB- | Clearwater Paper Corp., Company Guaranteed Notes, 4.750% due 8/15/28(a) | $ | 884,650 | ||||||
180,000 | B+ | Mercer International Inc., Senior Unsecured Notes, 5.125% due 2/1/29(a) | 186,102 | |||||||
|
| |||||||||
Total Forest Products & Paper | 1,070,752 | |||||||||
|
| |||||||||
Healthcare - Services - 4.3% | ||||||||||
630,000 | B | Acadia Healthcare Co., Inc., Company Guaranteed Notes, 5.000% due 4/15/29(a) | 655,285 | |||||||
530,000 | B- | Akumin Inc., Senior Secured Notes, 7.000% due 11/1/25(a) | 549,175 | |||||||
550,000 | BB- | Catalent Pharma Solutions Inc., Company Guaranteed Notes, 3.125% due 2/15/29(a) | 529,953 | |||||||
Centene Corp., Senior Unsecured Notes: | ||||||||||
30,000 | BBB- | 4.250% due 12/15/27 | 31,539 | |||||||
520,000 | BBB- | 4.625% due 12/15/29 | 562,050 | |||||||
30,000 | BBB- | 3.375% due 2/15/30 | 30,340 | |||||||
CHS/Community Health Systems Inc.: | ||||||||||
Secured Notes: | ||||||||||
610,000 | CCC- | 6.875% due 4/15/29(a) | 623,725 | |||||||
680,000 | CCC- | 6.125% due 4/1/30(a) | 678,779 | |||||||
Senior Secured Notes: | ||||||||||
640,000 | B- | 6.625% due 2/15/25(a) | 674,400 | |||||||
125,000 | B- | 5.625% due 3/15/27(a) | 131,230 | |||||||
DaVita Inc., Company Guaranteed Notes: | ||||||||||
775,000 | B+ | 4.625% due 6/1/30(a) | 791,426 | |||||||
204,000 | B+ | 3.750% due 2/15/31(a) | 195,855 | |||||||
HCA Inc., Company Guaranteed Notes: | ||||||||||
325,000 | BB- | 5.625% due 9/1/28 | 378,219 | |||||||
385,000 | BB- | 5.875% due 2/1/29 | 452,375 | |||||||
1,510,000 | BB- | 3.500% due 9/1/30 | 1,552,771 | |||||||
340,000 | BB- | 7.500% due 11/6/33 | 471,260 | |||||||
160,000 | BB- | 7.500% due 11/15/95 | 219,918 | |||||||
563,000 | B | Legacy LifePoint Health LLC, Senior Secured Notes, 4.375% due 2/15/27(a) | 561,635 | |||||||
362,000 | CCC+ | LifePoint Health Inc., Company Guaranteed Notes, 5.375% due 1/15/29(a) | 353,010 | |||||||
290,000 | CCC | Radiology Partners Inc., Company Guaranteed Notes, 9.250% due 2/1/28(a) | 318,761 | |||||||
494,000 | CCC+ | RegionalCare Hospital Partners Holdings Inc./LifePoint Health Inc., Company Guaranteed Notes, 9.750% due 12/1/26(a) | 532,903 | |||||||
80,000 | CCC | Surgery Center Holdings Inc., Company Guaranteed Notes, 10.000% due 4/15/27(a) | 87,629 | |||||||
410,000 | BB- | Syneos Health Inc., Company Guaranteed Notes, 3.625% due 1/15/29(a) | 400,863 | |||||||
Tenet Healthcare Corp.: | ||||||||||
59,000 | CCC+ | Company Guaranteed Notes, 6.125% due 10/1/28(a) | 61,829 | |||||||
Senior Secured Notes: | ||||||||||
10,000 | B1(b) | 4.625% due 9/1/24(a) | 10,238 | |||||||
710,000 | B+ | 7.500% due 4/1/25(a) | 762,141 | |||||||
542,000 | B+ | 4.875% due 1/1/26(a) | 560,558 | |||||||
62,000 | B+ | 5.125% due 11/1/27(a) | 64,815 | |||||||
713,000 | B+ | 4.625% due 6/15/28(a) | 728,208 | |||||||
94,000 | CCC+ | Senior Unsecured Notes, 6.750% due 6/15/23 | 102,249 | |||||||
610,000 | CCC | US Renal Care Inc., Senior Unsecured Notes, 10.625% due 7/15/27(a) | 637,047 | |||||||
|
| |||||||||
Total Healthcare - Services | 13,710,186 | |||||||||
|
| |||||||||
Home Builders - 0.8% | ||||||||||
480,000 | B- | Empire Communities Corp., Senior Unsecured Notes, 7.000% due 12/15/25(a) | 508,507 | |||||||
Forestar Group Inc., Company Guaranteed Notes: | ||||||||||
410,000 | B+ | 3.850% due 5/15/26(a) | 413,528 | |||||||
580,000 | B+ | 5.000% due 3/1/28(a) | 603,110 | |||||||
380,000 | B+ | Installed Building Products Inc., Company Guaranteed Notes, 5.750% due 2/1/28(a) | 401,303 | |||||||
625,000 | BB | Mattamy Group Corp., Senior Unsecured Notes, 5.250% due 12/15/27(a) | 653,297 | |||||||
|
| |||||||||
Total Home Builders | 2,579,745 | |||||||||
|
|
179
Schedules of Investments
(unaudited) (continued)
High Yield Fund
Face Amount/Units | Rating | Security | Value | |||||||
CORPORATE BONDS & NOTES - 87.2% - (continued) | ||||||||||
Insurance - 0.4% | ||||||||||
$ 650,000 | 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)(e) | $ | 693,904 | ||||||
500,000 | BB | NMI Holdings Inc., Senior Secured Notes, 7.375% due 6/1/25(a) | 573,950 | |||||||
|
| |||||||||
Total Insurance | 1,267,854 | |||||||||
|
| |||||||||
Internet - 1.5% | ||||||||||
310,000 | B | Acuris Finance U.S. Inc./Acuris Finance SARL, Senior Secured Notes, 5.000% due 5/1/28(a) | 310,388 | |||||||
180,000 | NR | Airbnb Inc., Senior Unsecured Notes, zero coupon, due 3/15/26(a) | 168,210 | |||||||
450,000 | B+ | Cablevision Lightpath LLC, Senior Secured Notes, 3.875% due 9/15/27(a) | 438,912 | |||||||
399,000 | BB | Cogent Communications Group Inc., Senior Secured Notes, 3.500% due 5/1/26(a) | 406,577 | |||||||
650,000 | BB- | GrubHub Holdings Inc., Company Guaranteed Notes, 5.500% due 7/1/27(a) | 684,950 | |||||||
920,000 | B | ION Trading Technologies Sarl, Senior Secured Notes, 5.750% due 5/15/28(a) | 935,111 | |||||||
350,000 | BB | Match Group Holdings II LLC, Senior Unsecured Notes, 4.625% due 6/1/28(a) | 359,188 | |||||||
Netflix Inc., Senior Unsecured Notes: | ||||||||||
880,000 | BB+ | 6.375% due 5/15/29 | 1,100,981 | |||||||
130,000 | BB+ | 4.875% due 6/15/30(a) | 149,987 | |||||||
140,000 | NR | Twitter Inc., Senior Unsecured Notes, zero coupon, due 3/15/26(a) | 129,325 | |||||||
|
| |||||||||
Total Internet | 4,683,629 | |||||||||
|
| |||||||||
Investment Companies - 0.1% | ||||||||||
310,000 | B+ | Compass Group Diversified Holdings LLC, Company Guaranteed Notes, 5.250% due | 320,380 | |||||||
|
| |||||||||
Iron/Steel - 0.7% | ||||||||||
Cleveland-Cliffs Inc.: | ||||||||||
400,000 | B2(b) | Company Guaranteed Notes, 4.625% due 3/1/29(a) | 412,254 | |||||||
470,000 | B | Senior Secured Notes, 6.750% due 3/15/26(a) | 508,195 | |||||||
675,000 | BB+ | Commercial Metals Co., Senior Unsecured Notes, 3.875% due 2/15/31 | 667,433 | |||||||
475,000 | B+ | Mineral Resources Ltd., Senior Unsecured Notes, 8.125% due 5/1/27(a) | 521,921 | |||||||
|
| |||||||||
Total Iron/Steel | 2,109,803 | |||||||||
|
| |||||||||
Leisure Time - 3.5% | ||||||||||
Carnival Corp., Senior Unsecured Notes: | ||||||||||
112,000 | B+ | 7.625% due 3/1/26(a) | 122,780 | |||||||
1,413,000 | B+ | 5.750% due 3/1/27(a) | 1,503,079 | |||||||
NCL Corp., Ltd.: | ||||||||||
598,000 | B- | Company Guaranteed Notes, 5.875% due 3/15/26(a) | 624,165 | |||||||
Senior Secured Notes: | ||||||||||
390,000 | B+ | 12.250% due 5/15/24(a) | 472,854 | |||||||
765,000 | B+ | 10.250% due 2/1/26(a) | 894,151 | |||||||
1,605,000 | B- | Senior Unsecured Notes, 3.625% due 12/15/24(a) | 1,535,937 | |||||||
690,000 | B | Royal Caribbean Cruises Ltd., Senior Unsecured Notes, 5.500% due 4/1/28(a) | 727,088 | |||||||
1,635,000 | BB- | Silversea Cruise Finance Ltd., Senior Secured Notes, 7.250% due 2/1/25(a) | 1,696,590 | |||||||
Viking Cruises Ltd.: | ||||||||||
290,000 | CCC | Company Guaranteed Notes, 5.875% due 9/15/27(a) | 280,212 | |||||||
640,000 | CCC+ | Senior Secured Notes, 13.000% due 5/15/25(a) | 752,218 | |||||||
580,000 | CCC | Senior Unsecured Notes, 7.000% due 2/15/29(a) | 595,564 | |||||||
88,000 | B- | Viking Ocean Cruises Ship VII Ltd., Senior Secured Notes, 5.625% due 2/15/29(a) | 89,177 | |||||||
1,735,000 | B | VOC Escrow Ltd., Senior Secured Notes, 5.000% due 2/15/28(a) | 1,748,203 | |||||||
|
| |||||||||
Total Leisure Time | 11,042,018 | |||||||||
|
| |||||||||
Lodging - 2.4% | ||||||||||
561,000 | B | Boyd Gaming Corp., Senior Unsecured Notes, 4.750% due 6/15/31(a) | 568,181 | |||||||
370,000 | B- | Full House Resorts Inc., Senior Secured Notes, 8.250% due 2/15/28(a) | 402,547 | |||||||
675,000 | BBB- | Genting New York LLC/GENNY Capital Inc., Senior Unsecured Notes, 3.300% due 2/15/26(a) | 677,134 | |||||||
990,000 | B- | Hilton Grand Vacations Borrower Escrow LLC/Hilton Grand Vacations Borrower Esc, Senior Unsecured Notes, 5.000% due 6/1/29(a) | 1,001,137 | |||||||
1,400,000 | BB | Melco Resorts Finance Ltd., Senior Unsecured Notes, 5.375% due 12/4/29(a) | 1,495,900 | |||||||
200,000 | BBB- | Sands China Ltd., Senior Unsecured Notes, 3.800% due 1/8/26 | 217,000 | |||||||
40,000 | B- | Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp., Senior Secured Notes, 5.875% due 5/15/25(a) | 39,346 | |||||||
686,000 | BB- | Travel + Leisure Co., Senior Secured Notes, 6.000% due 4/1/27 | 761,710 |
180
Schedules of Investments
(unaudited) (continued)
High Yield Fund
Face Amount/Units | Rating | Security | Value | |||||||
CORPORATE BONDS & NOTES - 87.2% - (continued) | ||||||||||
Lodging - 2.4% - (continued) | ||||||||||
Wynn Macau Ltd., Senior Unsecured Notes: | ||||||||||
$ 1,410,000 | BB- | 5.625% due 8/26/28(a) | $ | 1,484,074 | ||||||
955,000 | BB- | 5.125% due 12/15/29(a) | 988,263 | |||||||
|
| |||||||||
Total Lodging | 7,635,292 | |||||||||
|
| |||||||||
Machinery - Construction & Mining - 0.1% | ||||||||||
230,000 | BB | BWX Technologies Inc., Company Guaranteed Notes, 5.375% due 7/15/26(a) | 237,325 | |||||||
|
| |||||||||
Machinery - Diversified - 0.3% | ||||||||||
340,000 | B+ | ATS Automation Tooling Systems Inc., Company Guaranteed Notes, 4.125% due | 342,373 | |||||||
530,000 | B | Vertical US Newco Inc., Senior Secured Notes, 5.250% due 7/15/27(a) | 551,863 | |||||||
|
| |||||||||
Total Machinery - Diversified | 894,236 | |||||||||
|
| |||||||||
Media - 5.9% | ||||||||||
1,200,000 | B | Altice Financing SA, Senior Secured Notes, 5.000% due 1/15/28(a) | 1,192,422 | |||||||
650,000 | B+ | Block Communications Inc., Company Guaranteed Notes, 4.875% due 3/1/28(a) | 655,525 | |||||||
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Unsecured Notes: | ||||||||||
110,000 | BB | 5.125% due 5/1/27(a) | 115,087 | |||||||
524,000 | BB | 5.375% due 6/1/29(a) | 570,120 | |||||||
1,038,000 | BB | 4.750% due 3/1/30(a) | 1,077,898 | |||||||
830,000 | BB | 4.500% due 8/15/30(a) | 846,845 | |||||||
1,080,000 | BB | 4.500% due 5/1/32 | 1,093,343 | |||||||
190,000 | BBB- | Charter Communications Operating LLC/Charter Communications Operating Capital, Senior Secured Notes, 5.750% due 4/1/48 | 233,037 | |||||||
CSC Holdings LLC: | ||||||||||
Company Guaranteed Notes: | ||||||||||
800,000 | BB | 5.375% due 2/1/28(a) | 842,000 | |||||||
340,000 | BB | 4.500% due 11/15/31(a) | 339,308 | |||||||
1,700,000 | B+ | Senior Unsecured Notes, 5.750% due 1/15/30(a) | 1,776,645 | |||||||
1,970,000 | B- | DISH DBS Corp., Company Guaranteed Notes, 7.750% due 7/1/26 | 2,240,284 | |||||||
DISH Network Corp., Senior Unsecured Notes: | ||||||||||
50,000 | CCC+ | 2.375% due 3/15/24 | 48,563 | |||||||
15,000 | CCC+ | 3.375% due 8/15/26 | 15,517 | |||||||
720,000 | B+ | Gray Television Inc., Company Guaranteed Notes, 4.750% due 10/15/30(a) | 708,235 | |||||||
840,000 | B+ | iHeartCommunications Inc., Senior Secured Notes, 5.250% due 8/15/27(a) | 871,441 | |||||||
120,000 | NR | Liberty Latin America Ltd., Senior Unsecured Notes, 2.000% due 7/15/24 | 124,158 | |||||||
440,000 | BB+ | News Corp., Senior Unsecured Notes, 3.875% due 5/15/29(a) | 444,400 | |||||||
TEGNA Inc., Company Guaranteed Notes: | ||||||||||
94,000 | BB- | 4.750% due 3/15/26(a) | 99,967 | |||||||
60,000 | BB- | 4.625% due 3/15/28 | 61,350 | |||||||
587,000 | BB- | 5.000% due 9/15/29 | 601,731 | |||||||
150,000 | BBB- | Time Warner Cable LLC, Senior Secured Notes, 7.300% due 7/1/38 | 212,951 | |||||||
100,000 | BBB- | Time Warner Entertainment Co. LP, Senior Secured Notes, 8.375% due 7/15/33 | 149,493 | |||||||
Univision Communications Inc., Senior Secured Notes: | ||||||||||
400,000 | B | 9.500% due 5/1/25(a) | 441,562 | |||||||
1,200,000 | B | 6.625% due 6/1/27(a) | 1,299,000 | |||||||
98,000 | (P)B+ | 4.500% due 5/1/29(a) | 99,534 | |||||||
927,000 | BB- | UPC Broadband Finco BV, Senior Secured Notes, 4.875% due 7/15/31(a) | 927,097 | |||||||
430,000 | B | UPC Holding BV, Senior Secured Notes, 5.500% due 1/15/28(a) | 450,414 | |||||||
250,000 | B- | Urban One Inc., Senior Secured Notes, 7.375% due 2/1/28(a) | 265,073 | |||||||
760,000 | BB- | Virgin Media Secured Finance PLC, Senior Secured Notes, 5.500% due 5/15/29(a) | 814,150 | |||||||
340,000 | B | Virgin Media Vendor Financing Notes IV DAC, Senior Unsecured Notes, 5.000% due 7/15/28(a) | 344,670 | |||||||
|
| |||||||||
Total Media | 18,961,820 | |||||||||
|
| |||||||||
Mining - 1.6% | ||||||||||
First Quantum Minerals Ltd., Company Guaranteed Notes: | ||||||||||
400,000 | B | 7.250% due 4/1/23(a) | 408,338 | |||||||
1,315,000 | B | 7.500% due 4/1/25(a) | 1,367,022 |
181
Schedules of Investments
(unaudited) (continued)
High Yield Fund
Face Amount/Units | Rating | Security | Value | |||||||
CORPORATE BONDS & NOTES - 87.2% - (continued) | ||||||||||
Mining - 1.6% - (continued) | ||||||||||
$ 590,000 | B | 6.875% due 10/15/27(a) | $ | 644,575 | ||||||
Freeport-McMoRan Inc., Company Guaranteed Notes: | ||||||||||
375,000 | BB+ | 4.125% due 3/1/28 | 391,875 | |||||||
1,547,000 | BB+ | 5.450% due 3/15/43 | 1,869,936 | |||||||
Hudbay Minerals Inc., Company Guaranteed Notes: | ||||||||||
180,000 | B | 4.500% due 4/1/26(a) | 178,862 | |||||||
220,000 | B | 6.125% due 4/1/29(a) | 229,076 | |||||||
|
| |||||||||
Total Mining | 5,089,684 | |||||||||
|
| |||||||||
Miscellaneous Manufacturers - 0.0% | ||||||||||
9,666 | CCC+(f) | Anagram International Inc./Anagram Holdings LLC, Secured Notes, 10.000% (5.000% cash and 5.000% PIK or 10.000% cash) due 8/15/26(a)(e) | 9,763 | |||||||
|
| |||||||||
Office/Business Equipment - 0.1% | ||||||||||
300,000 | BBB- | CDW LLC/CDW Finance Corp., Company Guaranteed Notes, 4.250% due 4/1/28 | 314,215 | |||||||
|
| |||||||||
Oil & Gas - 6.5% | ||||||||||
590,000 | BB- | Antero Resources Corp., Senior Unsecured Notes, 5.375% due 3/1/30(a) | 591,106 | |||||||
Apache Corp., Senior Unsecured Notes: | ||||||||||
154,000 | BB+ | 4.375% due 10/15/28 | 158,196 | |||||||
230,000 | BB+ | 7.750% due 12/15/29 | 270,106 | |||||||
376,000 | BB+ | 4.250% due 1/15/30 | 379,303 | |||||||
1,070,000 | B | Berry Petroleum Co. LLC, Company Guaranteed Notes, 7.000% due 2/15/26(a) | 1,060,648 | |||||||
950,000 | B+ | California Resources Corp., Company Guaranteed Notes, 7.125% due 2/1/26(a) | 980,875 | |||||||
143,000 | CCC+ | Callon Petroleum Co., Company Guaranteed Notes, 6.375% due 7/1/26 | 128,388 | |||||||
60,000 | BB- | Chesapeake Energy Corp., Company Guaranteed Notes, 5.500% due 2/1/26(a) | 63,379 | |||||||
14,000 | B | Comstock Resources Inc., Company Guaranteed Notes, 7.500% due 5/15/25(a) | 14,539 | |||||||
Continental Resources Inc., Company Guaranteed Notes: | ||||||||||
675,000 | BB+ | 5.750% due 1/15/31(a) | 793,051 | |||||||
10,000 | BB+ | 4.900% due 6/1/44 | 10,861 | |||||||
530,000 | BB- | CrownRock LP/CrownRock Finance Inc., Senior Unsecured Notes, 5.000% due 5/1/29(a) | 545,852 | |||||||
Endeavor Energy Resources LP/EER Finance Inc., Senior Unsecured Notes: | ||||||||||
230,000 | BB- | 6.625% due 7/15/25(a) | 244,392 | |||||||
848,000 | BB- | 5.750% due 1/30/28(a) | 898,821 | |||||||
EQT Corp., Senior Unsecured Notes: | ||||||||||
590,000 | BB | 7.625% due 2/1/25 | 689,825 | |||||||
150,000 | BB | 3.900% due 10/1/27 | 160,372 | |||||||
430,000 | BB | 5.000% due 1/15/29 | 477,835 | |||||||
150,000 | BB | 3.625% due 5/15/31(a) | 154,691 | |||||||
Hilcorp Energy I LP/Hilcorp Finance Co., Senior Unsecured Notes: | ||||||||||
795,000 | BB- | 5.750% due 2/1/29(a) | 817,181 | |||||||
116,000 | BB- | 6.000% due 2/1/31(a) | 120,191 | |||||||
600,000 | B+ | Independence Energy Finance LLC, Senior Unsecured Notes, 7.250% due 5/1/26(a) | 608,328 | |||||||
675,000 | BB- | Indigo Natural Resources LLC, Senior Unsecured Notes, 5.375% due 2/1/29(a) | 677,774 | |||||||
MEG Energy Corp.: | ||||||||||
Company Guaranteed Notes: | ||||||||||
1,165,000 | BB- | 7.125% due 2/1/27(a) | 1,250,930 | |||||||
290,000 | BB- | 5.875% due 2/1/29(a) | 302,382 | |||||||
775,000 | BB | Secured Notes, 6.500% due 1/15/25(a) | 802,931 | |||||||
900,000 | BB | Murphy Oil Corp., Senior Unsecured Notes, 6.375% due 7/15/28 | 946,278 | |||||||
520,000 | B | Northern Oil & Gas Inc., Senior Unsecured Notes, 8.125% due 3/1/28(a) | 545,415 | |||||||
894,000 | B+ | Oasis Petroleum Inc., Company Guaranteed Notes, 6.375% due 6/1/26(a) | 909,645 | |||||||
Occidental Petroleum Corp., Senior Unsecured Notes: | ||||||||||
10,000 | BB- | 1.606% (3-Month USD-LIBOR + 1.450%) due 8/15/22(c) | 9,928 | |||||||
218,000 | BB- | 2.700% due 2/15/23 | 219,584 | |||||||
225,000 | BB- | 2.900% due 8/15/24 | 224,719 | |||||||
425,000 | BB- | 8.500% due 7/15/27 | 517,244 |
182
Schedules of Investments
(unaudited) (continued)
High Yield Fund
Face Amount/Units | Rating | Security | Value | |||||||
CORPORATE BONDS & NOTES - 87.2% - (continued) | ||||||||||
Oil & Gas - 6.5% - (continued) | ||||||||||
$ 122,000 | BB- | 6.375% due 9/1/28 | $ | 135,838 | ||||||
884,000 | BB- | 8.875% due 7/15/30 | 1,135,578 | |||||||
333,000 | BB- | 6.625% due 9/1/30 | 382,054 | |||||||
462,000 | BB- | 6.125% due 1/1/31 | 513,042 | |||||||
105,000 | BB- | 6.200% due 3/15/40 | 110,922 | |||||||
108,000 | BB- | 4.625% due 6/15/45 | 95,495 | |||||||
202,000 | BB- | 4.200% due 3/15/48 | 166,149 | |||||||
161,000 | BB- | 4.400% due 8/15/49 | 135,476 | |||||||
PBF Holding Co. LLC/PBF Finance Corp.: | ||||||||||
850,000 | B+ | Company Guaranteed Notes, 6.000% due 2/15/28 | 627,950 | |||||||
160,000 | BB | Senior Secured Notes, 9.250% due 5/15/25(a) | 164,699 | |||||||
Petrobras Global Finance BV, Company Guaranteed Notes: | ||||||||||
40,000 | BB- | 7.375% due 1/17/27 | 48,872 | |||||||
20,000 | BB- | 5.750% due 2/1/29 | 22,565 | |||||||
Range Resources Corp., Company Guaranteed Notes: | ||||||||||
45,000 | B+ | 5.000% due 3/15/23 | 46,350 | |||||||
500,000 | B+ | 4.875% due 5/15/25 | 509,375 | |||||||
110,000 | B+ | 9.250% due 2/1/26 | 121,468 | |||||||
785,000 | B+ | 8.250% due 1/15/29(a) | 876,386 | |||||||
|
| |||||||||
Total Oil & Gas | 20,666,989 | |||||||||
|
| |||||||||
Oil & Gas Services - 0.5% | ||||||||||
628,000 | B+ | Archrock Partners LP/Archrock Partners Finance Corp., Company Guaranteed Notes, 6.250% due 4/1/28(a) | 652,605 | |||||||
402,000 | BB | ChampionX Corp., Company Guaranteed Notes, 6.375% due 5/1/26 | 422,890 | |||||||
625,000 | B+ | USA Compression Partners LP/USA Compression Finance Corp., Company Guaranteed Notes, 6.875% due 4/1/26 | 657,812 | |||||||
|
| |||||||||
Total Oil & Gas Services | 1,733,307 | |||||||||
|
| |||||||||
Packaging & Containers - 1.8% | ||||||||||
1,231,000 | B- | ARD Finance SA, Senior Secured Notes, 6.500% (6.500% cash or 7.250% PIK) due | 1,286,457 | |||||||
Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC: | ||||||||||
350,000 | BB | Senior Secured Notes, 3.250% due 9/1/28(a) | 350,028 | |||||||
590,000 | B+ | Senior Unsecured Notes, 4.000% due 9/1/29(a) | 581,920 | |||||||
200,000 | B- | Ardagh Packaging Finance PLC/Ardagh Holdings USA Inc., Company Guaranteed Notes, 6.000% due 2/15/25(a) | 206,290 | |||||||
935,000 | BB- | Cascades Inc./Cascades USA Inc., Company Guaranteed Notes, 5.375% due 1/15/28(a) | 971,231 | |||||||
450,000 | B+ | Greif Inc., Company Guaranteed Notes, 6.500% due 3/1/27(a) | 473,063 | |||||||
625,000 | B+ | Intertape Polymer Group Inc., Company Guaranteed Notes, 7.000% due 10/15/26(a) | 661,375 | |||||||
500,000 | BB | Silgan Holdings Inc., Company Guaranteed Notes, 4.750% due 3/15/25 | 508,232 | |||||||
625,000 | CCC+ | Trivium Packaging Finance BV, Company Guaranteed Notes, 8.500% due 8/15/27(a) | 673,409 | |||||||
|
| |||||||||
Total Packaging & Containers | 5,712,005 | |||||||||
|
| |||||||||
Pharmaceuticals - 2.5% | ||||||||||
350,000 | B+ | AdaptHealth LLC, Company Guaranteed Notes, 4.625% due 8/1/29(a) | 343,875 | |||||||
1,090,000 | B | Bausch Health Americas Inc., Company Guaranteed Notes, 8.500% due 1/31/27(a) | 1,169,025 | |||||||
Bausch Health Cos., Inc., Company Guaranteed Notes: | ||||||||||
20,000 | B | 6.125% due 4/15/25(a) | 20,445 | |||||||
1,480,000 | B | 5.000% due 2/15/29(a) | 1,359,928 | |||||||
120,000 | B | 6.250% due 2/15/29(a) | 117,450 | |||||||
540,000 | B | Cheplapharm Arzneimittel GmbH, Senior Secured Notes, 5.500% due 1/15/28(a) | 555,725 | |||||||
290,000 | CCC+ | Endo Dac/Endo Finance LLC/Endo Finco Inc., Secured Notes, 9.500% due 7/31/27(a) | 295,437 | |||||||
595,000 | B+ | Endo Luxembourg Finance Co. I Sarl/Endo US Inc., Senior Secured Notes, 6.125% due | 587,563 | |||||||
196,000 | BB- | Herbalife Nutrition Ltd./HLF Financing Inc., Company Guaranteed Notes, 7.875% due | 213,391 | |||||||
900,000 | BB- | HLF Financing Sarl LLC/Herbalife International Inc., Company Guaranteed Notes, 4.875% | 902,745 | |||||||
380,000 | BB- | Jazz Securities DAC, Senior Secured Notes, 4.375% due 1/15/29(a) | 391,301 | |||||||
1,045,000 | B+ | Par Pharmaceutical Inc., Senior Secured Notes, 7.500% due 4/1/27(a) | 1,067,206 | |||||||
800,000 | BB- | Teva Pharmaceutical Finance Netherlands III BV, Company Guaranteed Notes, 7.125% due 1/31/25 | 874,856 | |||||||
|
| |||||||||
Total Pharmaceuticals | 7,898,947 | |||||||||
|
|
183
Schedules of Investments
(unaudited) (continued)
High Yield Fund
Face Amount/Units | Rating | Security | Value | |||||||
CORPORATE BONDS & NOTES - 87.2% - (continued) | ||||||||||
Pipelines - 5.6% | ||||||||||
Antero Midstream Partners LP/Antero Midstream Finance Corp., Company Guaranteed Notes: | ||||||||||
$ 40,000 | BB- | 5.375% due 9/15/24 | $ | 41,200 | ||||||
183,000 | BB- | 7.875% due 5/15/26(a) | 203,130 | |||||||
539,000 | BB- | 5.750% due 3/1/27(a) | 556,499 | |||||||
950,000 | BB- | 5.750% due 1/15/28(a) | 978,205 | |||||||
Blue Racer Midstream LLC/Blue Racer Finance Corp., Senior Unsecured Notes: | ||||||||||
590,000 | B+ | 7.625% due 12/15/25(a) | 637,383 | |||||||
320,000 | B+ | 6.625% due 7/15/26(a) | 334,984 | |||||||
Buckeye Partners LP, Senior Unsecured Notes: | ||||||||||
189,000 | BB | 4.125% due 3/1/25(a) | 195,143 | |||||||
659,000 | BB | 4.500% due 3/1/28(a) | 660,611 | |||||||
Cheniere Energy Inc.: | ||||||||||
528,000 | BB | Senior Secured Notes, 4.625% due 10/15/28(a) | 555,100 | |||||||
730,000 | NR | Senior Unsecured Notes, 4.250% due 3/15/45 | 613,847 | |||||||
Cheniere Energy Partners LP, Company Guaranteed Notes: | ||||||||||
577,000 | BB | 4.500% due 10/1/29 | 610,899 | |||||||
340,000 | BB | 4.000% due 3/1/31(a) | 351,395 | |||||||
DCP Midstream Operating LP, Company Guaranteed Notes: | ||||||||||
1,000,000 | BB+ | 5.625% due 7/15/27 | 1,102,295 | |||||||
120,000 | BB+ | 6.450% due 11/3/36(a) | 137,443 | |||||||
550,000 | BB+ | 6.750% due 9/15/37(a) | 647,625 | |||||||
DT Midstream Inc., Senior Unsecured Notes: | ||||||||||
209,000 | BB+ | 4.125% due 6/15/29(a) | 210,306 | |||||||
444,000 | BB+ | 4.375% due 6/15/31(a) | 446,220 | |||||||
EQM Midstream Partners LP, Senior Unsecured Notes: | ||||||||||
300,000 | BB- | 4.000% due 8/1/24 | 307,344 | |||||||
180,000 | BB- | 6.000% due 7/1/25(a) | 195,298 | |||||||
150,000 | BB- | 6.500% due 7/1/27(a) | 165,229 | |||||||
340,000 | BB- | 5.500% due 7/15/28 | 363,810 | |||||||
250,000 | BB- | 6.500% due 7/15/48 | 265,791 | |||||||
226,000 | B+ | Genesis Energy LP/ Genesis Energy Finance Corp., Company Guaranteed Notes, 8.000% due 1/15/27 | 232,498 | |||||||
1,375,000 | B+ | Genesis Energy LP/Genesis Energy Finance Corp., Company Guaranteed Notes, 6.500% due 10/1/25 | 1,385,608 | |||||||
1,150,000 | BB- | Harvest Midstream I LP, Senior Unsecured Notes, 7.500% due 9/1/28(a) | 1,239,493 | |||||||
925,000 | BB | Holly Energy Partners LP/Holly Energy Finance Corp., Company Guaranteed Notes, 5.000% due 2/1/28(a) | 949,402 | |||||||
900,000 | BB- | NGL Energy Operating LLC/NGL Energy Finance Corp., Senior Secured Notes, 7.500% due 2/1/26(a) | 936,599 | |||||||
NuStar Logistics LP, Company Guaranteed Notes: | ||||||||||
375,000 | BB- | 5.750% due 10/1/25 | 399,609 | |||||||
350,000 | BB- | 6.375% due 10/1/30 | 383,780 | |||||||
540,000 | BB- | Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., Company Guaranteed Notes, 6.000% due 12/31/30(a) | 552,118 | |||||||
430,000 | BB | Targa Resources Partners LP/Targa Resources Partners Finance Corp., Company Guaranteed Notes, 4.875% due 2/1/31(a) | 450,711 | |||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Company Guaranteed Notes: | ||||||||||
23,000 | BB | 6.500% due 7/15/27 | 24,955 | |||||||
260,000 | BB | 5.000% due 1/15/28 | 272,321 | |||||||
423,000 | BB | 6.875% due 1/15/29 | 470,588 | |||||||
Western Midstream Operating LP, Senior Unsecured Notes: | ||||||||||
250,000 | BB | 4.350% due 2/1/25 | 260,937 | |||||||
250,000 | BB | 3.950% due 6/1/25 | 259,969 | |||||||
410,000 | BB | 5.500% due 8/15/48 | 425,844 | |||||||
|
| |||||||||
Total Pipelines | 17,824,189 | |||||||||
|
| |||||||||
Real Estate - 1.2% | ||||||||||
725,000 | B+ | Cushman & Wakefield US Borrower LLC, Senior Secured Notes, 6.750% due 5/15/28(a) | 782,094 | |||||||
880,000 | B | Five Point Operating Co. LP/Five Point Capital Corp., Company Guaranteed Notes, 7.875% due 11/15/25(a) | 930,195 | |||||||
Kennedy-Wilson Inc., Company Guaranteed Notes: |
184
Schedules of Investments
(unaudited) (continued)
High Yield Fund
Face Amount/Units | Rating | Security | Value | |||||||
CORPORATE BONDS & NOTES - 87.2% - (continued) | ||||||||||
Real Estate - 1.2% - (continued) | ||||||||||
$ 650,000 | BB | 4.750% due 3/1/29 | $ | 666,809 | ||||||
450,000 | BB | 5.000% due 3/1/31 | 460,867 | |||||||
Realogy Group LLC/Realogy Co.-Issuer Corp.: | ||||||||||
360,000 | B- | Company Guaranteed Notes, 5.750% due 1/15/29(a) | 376,756 | |||||||
440,000 | BB- | Secured Notes, 7.625% due 6/15/25(a) | 477,972 | |||||||
130,000 | NR | Senior Secured Notes, 0.250% due 6/15/26(a) | 132,438 | |||||||
|
| |||||||||
Total Real Estate | 3,827,131 | |||||||||
|
| |||||||||
Real Estate Investment Trusts (REITs) - 3.0% | ||||||||||
370,000 | NR | Apollo Commercial Real Estate Finance Inc., Senior Unsecured Notes, 4.750% due 8/23/22 | 377,881 | |||||||
675,000 | BB+ | CTR Partnership LP/CareTrust Capital Corp., Company Guaranteed Notes, 5.250% due 6/1/25 | 693,913 | |||||||
Diversified Healthcare Trust: | ||||||||||
Company Guaranteed Notes: | ||||||||||
570,000 | BB | 9.750% due 6/15/25 | 634,746 | |||||||
180,000 | BB | 4.375% due 3/1/31 | 169,580 | |||||||
450,000 | BB- | Senior Unsecured Notes, 4.750% due 2/15/28 | 434,903 | |||||||
320,000 | BB- | ESH Hospitality Inc., Company Guaranteed Notes, 5.250% due 5/1/25(a) | 326,400 | |||||||
GEO Group Inc. (The), Company Guaranteed Notes: | ||||||||||
540,000 | CCC | 5.875% due 10/15/24 | 394,791 | |||||||
780,000 | CCC | 6.000% due 4/15/26 | 469,950 | |||||||
618,000 | BB+ | HAT Holdings I LLC/HAT Holdings II LLC, Company Guaranteed Notes, 6.000% due | 652,763 | |||||||
220,000 | NR | IIP Operating Partnership LP, Company Guaranteed Notes, 5.500% due 5/25/26(a) | 227,658 | |||||||
1,285,000 | B+ | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., Company Guaranteed Notes, 4.250% due 2/1/27(a) | 1,260,463 | |||||||
MPT Operating Partnership LP/MPT Finance Corp., Company Guaranteed Notes: | ||||||||||
350,000 | BBB- | 5.000% due 10/15/27 | 368,812 | |||||||
60,000 | BBB- | 4.625% due 8/1/29 | 63,735 | |||||||
Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co.-Issuer, Senior Secured Notes: | ||||||||||
725,000 | B+ | 5.875% due 10/1/28(a) | 774,844 | |||||||
67,000 | B+ | 4.875% due 5/15/29(a) | 69,516 | |||||||
Service Properties Trust: | ||||||||||
Company Guaranteed Notes: | ||||||||||
217,000 | BB | 7.500% due 9/15/25 | 242,771 | |||||||
364,000 | BB | 5.500% due 12/15/27 | 375,344 | |||||||
Senior Unsecured Notes: | ||||||||||
333,000 | BB- | 3.950% due 1/15/28 | 298,498 | |||||||
31,000 | BB- | 4.950% due 10/1/29 | 28,948 | |||||||
550,000 | BB- | 4.375% due 2/15/30 | 495,806 | |||||||
Starwood Property Trust Inc., Senior Unsecured Notes: | ||||||||||
220,000 | B+ | 5.500% due 11/1/23(a) | 230,450 | |||||||
900,000 | B+ | 4.750% due 3/15/25 | 940,707 | |||||||
160,000 | BB | VICI Properties LP/VICI Notes Co., Inc., Company Guaranteed Notes, 4.125% due 8/15/30(a) | 162,664 | |||||||
|
| |||||||||
Total Real Estate Investment Trusts (REITs) | 9,695,143 | |||||||||
|
| |||||||||
Retail - 3.7% | ||||||||||
190,000 | B+ | Academy Ltd., Senior Secured Notes, 6.000% due 11/15/27(a) | 202,207 | |||||||
448,000 | BB- | Brinker International Inc., Company Guaranteed Notes, 5.000% due 10/1/24(a) | 469,000 | |||||||
362,000 | CCC+ | Carvana Co., Company Guaranteed Notes, 5.500% due 4/15/27(a) | 373,912 | |||||||
770,000 | CCC | CEC Entertainment LLC, Senior Secured Notes, 6.750% due 5/1/26(a) | 778,655 | |||||||
744,000 | B- | Dave & Busters Inc., Senior Secured Notes, 7.625% due 11/1/25(a) | 793,294 | |||||||
1,025,000 | B- | eG Global Finance PLC, Senior Secured Notes, 6.750% due 2/7/25(a) | 1,050,112 | |||||||
1,020,000 | BB | FirstCash Inc., Company Guaranteed Notes, 4.625% due 9/1/28(a) | 1,058,286 | |||||||
230,000 | CCC+ | Foundation Building Materials Inc., Company Guaranteed Notes, 6.000% due 3/1/29(a) | 225,786 | |||||||
L Brands Inc., Company Guaranteed Notes: | ||||||||||
250,000 | BB- | 9.375% due 7/1/25(a) | 318,889 | |||||||
690,000 | BB- | 5.250% due 2/1/28 | 749,550 |
185
Schedules of Investments
(unaudited) (continued)
High Yield Fund
Face Amount/Units | Rating | Security | Value | |||||||
CORPORATE BONDS & NOTES - 87.2% - (continued) | ||||||||||
Retail - 3.7% - (continued) | ||||||||||
$ 490,000 | BB- | 6.625% due 10/1/30(a) | $ | 560,744 | ||||||
274,000 | BB- | LCM Investments Holdings II LLC, Senior Unsecured Notes, 4.875% due 5/1/29(a) | 281,742 | |||||||
Magic Mergeco Inc.: | ||||||||||
220,000 | B | Senior Secured Notes, 5.250% due 5/1/28(a) | 223,026 | |||||||
560,000 | CCC+ | Senior Unsecured Notes, 7.875% due 5/1/29(a) | 571,900 | |||||||
Murphy Oil USA Inc., Company Guaranteed Notes: | ||||||||||
440,000 | BB+ | 5.625% due 5/1/27 | 464,242 | |||||||
27,000 | BB+ | 4.750% due 9/15/29 | 28,249 | |||||||
668,000 | BB+ | 3.750% due 2/15/31(a) | 650,325 | |||||||
220,000 | CCC+ | NMG Holding Co., Inc./Neiman Marcus Group LLC, Senior Secured Notes, 7.125% due 4/1/26(a) | 232,513 | |||||||
763,000 | CCC | Park River Holdings Inc., Senior Unsecured Notes, 6.750% due 8/1/29(a) | 765,861 | |||||||
510,000 | CCC+ | Party City Holdings Inc., Senior Secured Notes, 8.750% due 2/15/26(a) | 540,600 | |||||||
PetSmart Inc./PetSmart Finance Corp.: | ||||||||||
250,000 | CCC+ | Company Guaranteed Notes, 7.750% due 2/15/29(a) | 275,354 | |||||||
250,000 | BB- | Senior Secured Notes, 4.750% due 2/15/28(a) | 259,237 | |||||||
310,000 | B3(b) | Sizzling Platter LLC/Sizzling Platter Finance Corp., Senior Secured Notes, 8.500% due 11/28/25(a) | 312,880 | |||||||
260,000 | BB- | Suburban Propane Partners LP/Suburban Energy Finance Corp., Senior Unsecured Notes, 5.000% due 6/1/31(a) | 263,279 | |||||||
220,000 | BB- | Superior Plus LP/Superior General Partner Inc., Senior Unsecured Notes, 4.500% due | 224,053 | |||||||
|
| |||||||||
Total Retail | 11,673,696 | |||||||||
|
| |||||||||
Semiconductors - 0.1% | ||||||||||
380,000 | BB | Entegris Inc., Company Guaranteed Notes, 4.375% due 4/15/28(a) | 396,625 | |||||||
|
| |||||||||
Software - 1.5% | ||||||||||
380,000 | B+ | Black Knight InfoServ LLC, Company Guaranteed Notes, 3.625% due 9/1/28(a) | 374,334 | |||||||
500,000 | B | Camelot Finance SA, Senior Secured Notes, 4.500% due 11/1/26(a) | 518,830 | |||||||
625,000 | B+ | Donnelley Financial Solutions Inc., Company Guaranteed Notes, 8.250% due 10/15/24 | 651,250 | |||||||
100,000 | NR | Dropbox Inc., Senior Unsecured Notes, zero coupon, due 3/1/26(a) | 102,300 | |||||||
580,000 | B | Helios Software Holdings Inc./ION Corporate Solutions Finance Sarl, Senior Secured Notes, 4.625% due 5/1/28(a) | 566,138 | |||||||
250,000 | BB | Open Text Corp., Company Guaranteed Notes, 3.875% due 2/15/28(a) | 250,020 | |||||||
330,000 | BB | Open Text Holdings Inc., Company Guaranteed Notes, 4.125% due 2/15/30(a) | 332,056 | |||||||
390,000 | B | Playtika Holding Corp., Company Guaranteed Notes, 4.250% due 3/15/29(a) | 384,994 | |||||||
Rackspace Technology Global Inc.: | ||||||||||
563,000 | B- | Company Guaranteed Notes, 5.375% due 12/1/28(a) | 568,912 | |||||||
460,000 | B+ | Senior Secured Notes, 3.500% due 2/15/28(a) | 443,594 | |||||||
495,000 | B+ | SS&C Technologies Inc., Company Guaranteed Notes, 5.500% due 9/30/27(a) | 524,715 | |||||||
|
| |||||||||
Total Software | 4,717,143 | |||||||||
|
| |||||||||
Telecommunications - 4.5% | ||||||||||
Altice France Holding SA: | ||||||||||
295,000 | CCC+ | Company Guaranteed Notes, 6.000% due 2/15/28(a) | 289,497 | |||||||
350,000 | CCC+ | Senior Secured Notes, 10.500% due 5/15/27(a) | 391,737 | |||||||
Altice France SA, Senior Secured Notes: | ||||||||||
767,000 | B | 7.375% due 5/1/26(a) | 798,577 | |||||||
600,000 | B | 8.125% due 2/1/27(a) | 654,750 | |||||||
200,000 | B | 5.125% due 1/15/29(a) | 198,258 | |||||||
470,000 | B | 5.125% due 7/15/29(a) | 466,595 | |||||||
620,000 | CCC+ | CommScope Inc., Company Guaranteed Notes, 8.250% due 3/1/27(a) | 662,625 | |||||||
CommScope Technologies LLC, Company Guaranteed Notes: | ||||||||||
300,000 | CCC+ | 6.000% due 6/15/25(a) | 306,654 | |||||||
40,000 | CCC+ | 5.000% due 3/15/27(a) | 40,369 | |||||||
1,275,000 | B+ | Connect Finco SARL/Connect US Finco LLC, Senior Secured Notes, 6.750% due 10/1/26(a) | 1,319,663 | |||||||
Frontier Communications Holdings LLC: | ||||||||||
220,000 | CCC+ | Secured Notes, 6.750% due 5/1/29(a) | 229,911 | |||||||
1,140,000 | B+ | Senior Secured Notes, 5.000% due 5/1/28(a) | 1,169,925 | |||||||
878,000 | BB | Hughes Satellite Systems Corp., Company Guaranteed Notes, 6.625% due 8/1/26 | 976,305 |
186
Schedules of Investments
(unaudited) (continued)
High Yield Fund
Face Amount/Units | Rating | Security | Value | |||||||
CORPORATE BONDS & NOTES - 87.2% - (continued) | ||||||||||
Telecommunications - 4.5% - (continued) | ||||||||||
$ 550,000 | WR(b) | Intelsat Jackson Holdings SA, Senior Secured Notes, 8.000% due 2/15/24(a)(g) | $ | 569,712 | ||||||
Lumen Technologies Inc., Senior Unsecured Notes: | ||||||||||
245,000 | BB- | 6.750% due 12/1/23 | 270,579 | |||||||
500,000 | BB- | 5.125% due 12/15/26(a) | 518,594 | |||||||
140,000 | BB- | 4.500% due 1/15/29(a) | 135,727 | |||||||
1,575,000 | BB | Sprint Capital Corp., Company Guaranteed Notes, 8.750% due 3/15/32 | 2,337,253 | |||||||
380,000 | BB | Switch Ltd., Company Guaranteed Notes, 3.750% due 9/15/28(a) | 378,144 | |||||||
Telesat Canada/Telesat LLC: | ||||||||||
475,000 | B | Company Guaranteed Notes, 6.500% due 10/15/27(a) | 452,437 | |||||||
375,000 | BB- | Senior Secured Notes, 4.875% due 6/1/27(a) | 357,885 | |||||||
T-Mobile USA Inc., Company Guaranteed Notes: | ||||||||||
430,000 | BB | 3.500% due 4/15/31 | 437,706 | |||||||
580,000 | Ba3(b) | 3.500% due 4/15/31(a) | 590,394 | |||||||
650,000 | CCC+ | Zayo Group Holdings Inc., Senior Unsecured Notes, 6.125% due 3/1/28(a) | 661,401 | |||||||
|
| |||||||||
Total Telecommunications | 14,214,698 | |||||||||
|
| |||||||||
Transportation - 0.3% | ||||||||||
651,000 | BB | Cargo Aircraft Management Inc., Company Guaranteed Notes, 4.750% due 2/1/28(a) | 667,337 | |||||||
320,000 | B+ | XPO CNW Inc., Senior Unsecured Notes, 6.700% due 5/1/34 | 382,088 | |||||||
|
| |||||||||
Total Transportation | 1,049,425 | |||||||||
|
| |||||||||
Trucking & Leasing - 0.4% | ||||||||||
1,075,000 | BB+ | AerCap Global Aviation Trust, Company Guaranteed Notes, 6.500% (3-Month USD-LIBOR + 4.300%) due 6/15/45(a)(c) | 1,146,219 | |||||||
|
| |||||||||
TOTAL CORPORATE BONDS & NOTES (Cost - $264,781,261) | 277,936,159 | |||||||||
|
| |||||||||
SENIOR LOANS - 4.7% | ||||||||||
59,400 | NR | Acrisure LLC, (Restricted, cost - $59,279, acquired 1/31/20), 3.703% (3-Month USD-LIBOR + 3.500%) due 2/15/27(h) | 58,973 | |||||||
416,762 | NR | Allen Media LLC, (Restricted, cost - $408,348, acquired 7/14/20), 5.703% (3-Month USD-LIBOR + 5.500%) due 2/10/27(h) | 417,067 | |||||||
108,897 | NR | Allied Universal Holdco LLC, (Restricted, cost - $104,787, acquired 5/21/20), 4.250% (1-Month USD-LIBOR + 3.750%) due 5/12/28(h) | 109,279 | |||||||
29,779 | NR | AmeriLife Holdings LLC, (Restricted, cost - $29,725, acquired 2/6/20), 4.110% (1-Month USD-LIBOR + 4.000%) due 3/18/27(h) | 29,817 | |||||||
227,671 | NR | Applovin Corp., (Restricted, cost - $222,026, acquired 4/16/20), 3.343% (1-Month USD-LIBOR + 3.250%) due 8/15/25(h) | 227,671 | |||||||
170,000 | NR | Aramark Intermediate HoldCo Corp., (Restricted, cost - $161,930, acquired 5/21/20), 1.843% (1-Month USD-LIBOR + 1.750%) due 3/11/25(h) | 168,376 | |||||||
316,028 | NR | Arctic Canadian Diamond Company, Ltd., (Restricted, cost - $316,028, acquired 2/2/21) due 12/31/24(h)(i)(j) | 313,563 | |||||||
247,785 | NR | Asurion LLC, (Restricted, cost - $243,336, acquired 4/8/20), 3.343% (1-Month USD-LIBOR + 3.250%) due 12/23/26(h) | 246,876 | |||||||
29,475 | NR | athenahealth Inc., (Restricted, cost - $29,079, acquired 2/7/19), 4.410% (1-Month USD-LIBOR + 4.250%/3-Month USD-LIBOR + 4.250%) due 2/11/26(h) | 29,622 | |||||||
57,301 | NR | Clarios Global LP, (Restricted, cost - $57,235, acquired 4/3/19), 3.343% (1-Month USD-LIBOR + 3.250%) due 4/30/26(h) | 57,149 | |||||||
227,688 | NR | Commscope Inc., (Restricted, cost - $220,256, acquired 4/17/20), 3.343% (1-Month USD-LIBOR + 3.250%) due 4/6/26(h) | 227,261 | |||||||
55,875 | NR | CoreCivic Inc., (Restricted, cost - $53,890, acquired 12/12/19), 5.500% (1-Month USD-LIBOR + 4.500%) due 12/18/24(h) | 54,199 | |||||||
590,000 | NR | DCert Buyer Inc., (Restricted, cost - $588,574, acquired 2/16/21), 7.093% (1-Month USD-LIBOR + 7.000%) due 2/19/29(h) | 595,776 | |||||||
326,700 | NR | DCert Buyer Inc., (Restricted, cost - $318,076, acquired 4/17/20), 4.093% (1-Month USD-LIBOR + 4.000%) due 10/16/26(h) | 327,546 | |||||||
80,000 | NR | Deerfield Dakota Holding LLC, (Restricted, cost - $78,982, acquired 3/5/20), 7.500% (1-Month USD-LIBOR + 6.750%) due 4/7/28(h) | 82,200 | |||||||
267,975 | NR | Equinox Holdings Inc., (Restricted, cost - $261,994, acquired 6/9/20), 10.000% (3-Month USD-LIBOR + 9.000%) due 3/8/24(h) | 270,209 | |||||||
40,000 | NR | EyeCare Partners LLC, (Restricted, cost - $39,663, acquired 2/18/20), 8.343% (1-Month USD-LIBOR + 8.250%) due 2/18/28(h) | 38,500 | |||||||
59,486 | NR | EyeCare Partners LLC, (Restricted, cost - $59,437, acquired 2/5/20), 3.843% (1-Month USD-LIBOR + 3.750%) due 2/18/27(h) | 59,062 | |||||||
125,292 | NR | First Eagle Holdings Inc., (Restricted, cost - $117,033, acquired 5/21/20), 2.703% (3-Month USD-LIBOR + 2.500%) due 2/1/27(h) | 124,205 | |||||||
257,354 | NR | Focus Financial Partners LLC, (Restricted, cost - $247,327, acquired 4/24/20), 2.093% (1-Month USD-LIBOR + 2.000%) due 7/3/24(h) | 255,290 | |||||||
443,162 | NR | Gannett Holdings LLC, (Restricted, cost - $434,845, acquired 1/29/21), 7.750% (3-Month USD-LIBOR + 7.000%) due 2/9/26(h) | 448,147 | |||||||
480,000 | NR | Garda World Security Corp., (Restricted, cost - $461,074, acquired 4/17/20), 4.350% (1-Month USD-LIBOR + 4.250%) due 10/30/26(h) | 481,762 | |||||||
77,825 | NR | Global Tel*Link Corp., (Restricted, cost - $75,453, acquired 8/16/19), 4.343% (1-Month USD-LIBOR + 4.250%) due 11/29/25(h) | 71,696 | |||||||
239,400 | NR | Great Outdoors Group LLC, (Restricted, cost - $238,242, acquired 2/26/21), 5.000% (3-Month USD-LIBOR + 4.250%) due 3/6/28(h) | 241,585 | |||||||
227,694 | NR | Grifols Worldwide Operations Ltd., (Restricted, cost - $224,044, acquired 4/16/20), 2.062% (1-Week USD-LIBOR + 2.000%) due 11/15/27(h) | 225,859 | |||||||
137,609 | NR | Harland Clarke Holdings Corp., (Restricted, cost - $124,950, acquired 3/5/21), 5.750% (3-Month USD-LIBOR + 4.750%) due 11/3/23(h) | 122,797 | |||||||
324,382 | NR | Hillman Group Inc., 4.093% (1-Month USD-LIBOR + 4.000%) due 5/30/25 | 324,423 | |||||||
247,449 | NR | IRB Holding Corp., (Restricted, cost - $225,414, acquired 4/24/20), 3.750% (3-Month USD-LIBOR + 2.750%) due 2/5/25(h) | 246,803 | |||||||
39,302 | NR | Jane Street Group LLC, (Restricted, cost - $39,255, acquired 1/21/21), 2.843% (1-Month USD-LIBOR + 2.750%) due 1/26/28(h) | 39,113 |
187
Schedules of Investments
(unaudited) (continued)
High Yield Fund
Face Amount/Units | Rating | Security | Value | |||||||
SENIOR LOANS - 4.7% - (continued) | ||||||||||
$ 150,000 | NR | Jazz Pharmaceuticals Public Limited Company, (Restricted, cost - $149,259, acquired 4/22/21), 4.000% (1-Month USD-LIBOR + 3.500%) due 5/5/28(h) | $ | 150,817 | ||||||
383,875 | NR | JetBlue Airways Corp., (Restricted, cost - $383,064, acquired 6/12/20), 6.250% (3-Month USD-LIBOR + 5.250%) due 6/17/24(h) | 393,180 | |||||||
200,000 | NR | Level 3 Financing Inc., (Restricted, cost - $193,180, acquired 5/22/20), 1.843% (1-Month USD-LIBOR + 1.750%) due 3/1/27(h) | 198,000 | |||||||
30,369 | NR | LifePoint Health Inc., (Restricted, cost - $30,175, acquired 11/14/18), 3.843% (1-Month USD-LIBOR + 3.750%) due 11/16/25(h) | 30,412 | |||||||
390,000 | NR | Michaels Companies Inc., (Restricted, cost - $386,164, acquired 4/8/21), 5.000% (3-Month USD-LIBOR + 4.250%) due 4/15/28(h) | 391,443 | |||||||
320,000 | NR | Mileage Plus Holdings LLC, (Restricted, cost - $314,427, acquired 6/25/20), 6.250% (1-Month USD-LIBOR + 5.250%/3-Month USD-LIBOR + 5.250%) due 6/21/27(h) | 342,000 | |||||||
224,527 | NR | Nexstar Broadcasting Inc., (Restricted, cost - $218,034, acquired 4/8/20), 2.610% (1-Month USD-LIBOR + 2.500%) due 9/18/26(h) | 224,185 | |||||||
310,000 | NR | Peraton Corp., (Restricted, cost - $308,505, acquired 2/23/21), 4.500% (1-Month USD-LIBOR + 3.750%) due 2/1/28(h) | 311,162 | |||||||
940,000 | NR | Petco Health and Wellness Company Inc., (Restricted, cost - $937,728, acquired 2/25/21), 4.000% (3-Month USD-LIBOR + 3.250%) due 3/3/28(h) | 941,513 | |||||||
370,000 | NR | PetSmart LLC, (Restricted, cost - $366,463, acquired 1/29/21), 4.500% (3-Month USD-LIBOR + 3.750%) due 2/11/28(h) | 371,850 | |||||||
247,494 | NR | Phoenix Guarantor Inc., (Restricted, cost - $233,456, acquired 4/8/20), 3.343% (1-Month USD-LIBOR + 3.250%) due 3/5/26(h) | 245,277 | |||||||
134,704 | NR | Prime Security Services Borrower LLC, (Restricted, cost - $129,884, acquired 5/21/20), 3.500% (1-Month USD-LIBOR + 2.750%/3-Month USD-LIBOR + 2.750%) due 9/23/26(h) | 134,845 | |||||||
380,000 | NR | Rackspace Technology Global Inc., (Restricted, cost - $378,181, acquired 2/3/21), 3.500% (2-Month USD-LIBOR + 2.750%/3-Month USD-LIBOR + 2.750%) due 2/15/28(h) | 378,704 | |||||||
50,000 | NR | Radiology Partners Inc., (Restricted, cost - $47,184, acquired 5/21/20), 4.347% (1-Month USD-LIBOR + 4.250%) due 7/9/25(h) | 50,076 | |||||||
273,110 | NR | Redstone Holdco 2 LP, (Restricted, cost - $270,416, acquired 4/16/21), 5.500% (3-Month USD-LIBOR + 4.750%) due 4/27/28(h) | 271,404 | |||||||
430,000 | NR | Rent-A-Center Inc., (Restricted, cost - $427,939, acquired 2/4/21), 4.750% (1-Month USD-LIBOR + 4.000%) due 2/17/28(h) | 433,584 | |||||||
247,468 | NR | Sedgwick Claims Management Services Inc., (Restricted, cost - $231,381, acquired 4/30/20), 3.343% (1-Month USD-LIBOR + 3.250%) due 12/31/25(h) | 245,044 | |||||||
460,000 | NR | SkyMiles IP Ltd., (Restricted, cost - $455,850, acquired 9/16/20), 4.750% (3-Month USD-LIBOR + 3.750%) due 10/20/27(h) | 482,844 | |||||||
74,323 | NR | Spencer Spirit IH LLC, (Restricted, cost - $73,250, acquired 6/14/19), 6.091% (1-Month USD-LIBOR + 6.000%/3-Month USD-LIBOR + 5.000%) due 6/19/26(h)(j) | 74,193 | |||||||
74,785 | NR | SS&C Technologies Holdings Inc., 1.843% (1-Month USD-LIBOR + 1.750%) due 4/16/25 | 74,166 | |||||||
49,351 | NR | Terrier Media Buyer Inc., (Restricted, cost - $49,156, acquired 12/12/19), 3.593% (1-Month USD-LIBOR + 3.500%) due 12/17/26(h) | 49,201 | |||||||
316,792 | NR | TransDigm Inc., (Restricted, cost - $291,760, acquired 4/8/20), 2.343% (1-Month USD-LIBOR + 2.250%) due 12/9/25(h) | 313,073 | |||||||
250,000 | NR | Truck Hero Inc., (Restricted, cost - $250,000, acquired 1/20/21), 4.500% (1-Month USD-LIBOR + 3.750%) due 1/31/28(h) | 250,507 | |||||||
308,447 | NR | U.S. Renal Care Inc., (Restricted, cost - $307,965, acquired 1/7/21), 5.125% (1-Month USD-LIBOR + 5.000%) due 6/26/26(h) | 307,420 | |||||||
860,000 | NR | United AirLines Inc., (Restricted, cost - $855,766, acquired 4/14/21), 4.500% (3-Month USD-LIBOR + 3.750%) due 4/21/28(h) | 869,292 | |||||||
321,570 | NR | US Foods Inc., (Restricted, cost - $310,761, acquired 4/8/20), 1.843% (1-Month USD-LIBOR + 1.750%) due 6/27/23(h) | 319,216 | |||||||
316,750 | NR | Verscend Holding Corp., (Restricted, cost - $304,996, acquired 4/8/20), 4.093% (1-Month USD-LIBOR + 4.000%) due 8/27/25(h) | 317,570 | |||||||
250,000 | NR | VICI Properties 1 LLC, (Restricted, cost - $238,105, acquired 4/8/20), 1.843% (1-Month USD-LIBOR + 1.750%) due 12/20/24(h) | 248,031 | |||||||
230,000 | NR | Virgin Media Bristol LLC, (Restricted, cost - $224,567, acquired 4/16/20), 2.601% (1-Month USD-LIBOR + 2.500%) due 1/31/28(h) | 228,936 | |||||||
227,700 | NR | VS Buyer LLC, (Restricted, cost - $223,877, acquired 4/17/20), 3.093% (1-Month USD-LIBOR + 3.000%) due 2/28/27(h) | 227,060 | |||||||
229,479 | NR | Whatabrands LLC, (Restricted, cost - $223,559, acquired 4/17/20), 2.851% (1-Month USD-LIBOR + 2.750%) due 7/31/26(h) | 228,774 | |||||||
|
| |||||||||
TOTAL SENIOR LOANS (Cost - $14,645,515) | 14,998,605 | |||||||||
|
| |||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS - 2.6% | ||||||||||
250,000 | BBB | ACIS CLO Ltd., Series 2015-6A, Class D, 3.946% (3-Month USD-LIBOR + 3.770%) due 5/1/27(a)(c) | 251,258 | |||||||
280,000 | BBB- | ARES XLIV CLO Ltd., Series 2017-44A, Class CR, zero coupon (3-Month USD-LIBOR + 3.400%) due 4/15/34(a)(c) | 280,231 | |||||||
500,000 | BB- | Barings CLO Ltd., Series 2020-4A, Class E, 5.904% (3-Month USD-LIBOR + 5.680%) due 1/20/32(a)(c) | 487,836 | |||||||
250,000 | Baa3(b) | Battalion CLO XI Ltd., Series 2017-11A, Class DR, 3.826% (3-Month USD-LIBOR + 3.650%) due 4/24/34(a)(c) | 250,166 | |||||||
280,000 | Ba3(b) | Canyon Capital CLO Ltd., Series 2021-1A, Class E, 6.596% (3-Month USD-LIBOR + 6.410%) due 4/15/34(a)(c) | 279,690 | |||||||
300,000 | BB- | Dryden 43 Senior Loan Fund, Series 2016-43A, Class ER3, 6.588% (3-Month USD-LIBOR + 6.400%) due 4/20/34(a)(c) | 300,165 | |||||||
250,000 | Baa3(b) | Dryden 49 Senior Loan Fund, Series 2017-49A, Class DR, 3.590% (3-Month USD-LIBOR + 3.400%) due 7/18/30(a)(c) | 250,138 | |||||||
350,000 | BB- | Dryden 75 CLO Ltd., Series 2019-75A, Class ER2, 6.802% (3-Month USD-LIBOR + 6.600%) due 4/15/34(a)(c) | 350,774 | |||||||
500,000 | BBB- | Greywolf CLO IV Ltd., Series 2019-1A, Class CR, 3.840% (3-Month USD-LIBOR + 3.650%) due 4/17/34(a)(c) | 503,004 | |||||||
330,000 | Ba3(b) | Grippen Park CLO Ltd., Series 2017-1A, Class E, 5.888% (3-Month USD-LIBOR + 5.700%) due 1/20/30(a)(c) | 328,531 | |||||||
360,000 | BB- | Madison Park Funding XXXV Ltd., Series 2019-35A, Class ER, 6.288% (3-Month USD-LIBOR + 6.100%) due 4/20/32(a)(c) | 360,474 | |||||||
500,000 | Ba3(b) | Magnetite XII Ltd., Series 2015-12A, Class ER, 5.864% (3-Month USD-LIBOR + 5.680%) due 10/15/31(a)(c) | 484,727 | |||||||
500,000 | Ba1(b) | Marble Point CLO XIV Ltd., Series 2018-2A, Class D, 3.718% (3-Month USD-LIBOR + 3.530%) due 1/20/32(a)(c) | 495,628 | |||||||
250,000 | Ba3(b) | Marble Point CLO XVI Ltd., Series 2019-2A, Class E2B, 7.490% (3-Month USD-LIBOR + 7.300%) due 10/19/32(a)(c) | 250,474 | |||||||
280,000 | Baa3(b) | Mountain View CLO IX Ltd., Series 2015-9A, Class CR, 3.304% (3-Month USD-LIBOR + 3.120%) due 7/15/31(a)(c) | 270,977 | |||||||
250,000 | BB- | Neuberger Berman CLO XVIII Ltd., Series 2014-18A, Class DR2, 6.106% (3-Month USD-LIBOR + 5.920%) due 10/21/30(a)(c) | 247,173 | |||||||
210,000 | BB+ | Ocean Trails CLO V, Series 2014-5A, Class DRR, 3.638% (3-Month USD-LIBOR + 3.450%) due 10/13/31(a)(c) | 201,606 | |||||||
310,000 | Baa1(b) | Ocean Trails CLO VI, Series 2016-6A, Class DRR, 3.784% (3-Month USD-LIBOR + 3.600%) due 7/15/28(a)(c) | 310,189 | |||||||
250,000 | BBB- | Octagon Investment Partners 33 Ltd., Series 2017-1A, Class C, 2.938% (3-Month USD-LIBOR + 2.750%) due 1/20/31(a)(c) | 248,278 |
188
Schedules of Investments
(unaudited) (continued)
High Yield Fund
Face Amount/Units | Rating | Security | Value | |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS - 2.6% - (continued) | ||||||||||
$ 550,000 | BB- | OHA Credit Funding 3 LTD, Series 2019-3A, Class E2, 5.688% (3-Month USD-LIBOR + 5.500%) due 7/20/32(a)(c) | $ | 539,967 | ||||||
300,000 | BBB- | Pulsar Funding I LLC, Series 2019-1A, Class C, 4.988% (3-Month USD-LIBOR + 4.800%) due 1/20/33(a)(c) | 302,780 | |||||||
230,000 | NR | Sculptor CLO XXVI Ltd., Series 26A, Class E, zero coupon (3-Month USD-LIBOR + 7.250%) due 7/20/34(a)(c) | 225,975 | |||||||
250,000 | Ba3(b) | Symphony CLO XX Ltd., Series 2018-20A, Class E, 6.474% (3-Month USD-LIBOR + 6.290%) due 1/16/32(a)(c) | 252,546 | |||||||
310,000 | Ba3(b) | THL Credit Wind River CLO Ltd., Series 2017-3A, Class ER, zero coupon (3-Month USD-LIBOR + 7.050%) due 4/15/35(a)(c) | 310,206 | |||||||
350,000 | BB- | Voya CLO Ltd., Series 2017-3A, Class DR, 7.138% (3-Month USD-LIBOR + 6.950%) due 4/20/34(a)(c) | 353,666 | |||||||
|
| |||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost - $8,099,790) | 8,136,459 | |||||||||
|
| |||||||||
Shares/Units | ||||||||||
CONVERTIBLE PREFERRED STOCKS - 0.3% | ||||||||||
ENERGY - 0.3% | ||||||||||
Pipelines - 0.3% | ||||||||||
12,149 | MPLX LP, step bond to yield, (Restricted, cost - $394,843, acquired 12/16/20), | 406,604 | ||||||||
350 | Targa Resources Corp., (Restricted, cost - $367,500, acquired 2/17/21), 9.500%(d)(h) | 372,884 | ||||||||
|
| |||||||||
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost - $762,343) | 779,488 | |||||||||
|
| |||||||||
COMMON STOCKS - 0.1% | ||||||||||
COMMUNICATIONS - 0.0% | ||||||||||
Media - 0.0% | ||||||||||
853 | iHeartMedia Inc., Class A Shares* | 19,798 | ||||||||
|
| |||||||||
ENERGY - 0.1% | ||||||||||
Energy Equipment & Services - 0.0% | ||||||||||
17,453 | Hercules Offshore Inc.*(i)(j) | 10,426 | ||||||||
|
| |||||||||
Oil & Gas - 0.1% | ||||||||||
21,784 | Berry Corp.(k) | 138,546 | ||||||||
1,531 | Oasis Petroleum Inc. | 135,662 | ||||||||
13,508 | Southwestern Energy Co.* | 69,837 | ||||||||
|
| |||||||||
Total Oil & Gas | 344,045 | |||||||||
|
| |||||||||
TOTAL ENERGY | 354,471 | |||||||||
|
| |||||||||
FINANCIALS - 0.0% | ||||||||||
Diversifed Financial Services - 0.0% | ||||||||||
68 | MWO Holdings, ADR*#(i) | 445 | ||||||||
|
| |||||||||
TOTAL COMMON STOCKS (Cost - $2,246,644) | 374,714 | |||||||||
|
| |||||||||
PREFERRED STOCKS - 0.1% | ||||||||||
FINANCIALS - 0.1% | ||||||||||
Banks - 0.0% | ||||||||||
1,807 | GMAC Capital Trust I, 5.941% (3-Month USD-LIBOR + 5.785%) due 2/15/40(c) | 45,717 | ||||||||
|
| |||||||||
Diversified Financial Services - 0.1% | ||||||||||
450 | B. Riley Financial Inc., 6.875% due 9/30/23 | 11,614 | ||||||||
12,150 | B. Riley Financial Inc., 6.000% due 1/31/28 | 316,022 | ||||||||
|
| |||||||||
Total Diversified Financial Services | 327,636 | |||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (Cost - $346,713) | 373,353 | |||||||||
|
| |||||||||
Face Amount/Units | ||||||||||
SOVEREIGN BONDS - 0.0% | ||||||||||
Argentina - 0.0% | ||||||||||
Argentine Republic Government International Bonds: | ||||||||||
9,647 | CCC+ | 1.000% due 7/9/29 | 3,762 | |||||||
51,375 | CCC+ | step bond to yield, 0.125% due 7/9/30 | 19,049 | |||||||
94,124 | CCC+ | step bond to yield, 0.125% due 7/9/35 | 31,250 | |||||||
|
| |||||||||
TOTAL SOVEREIGN BONDS (Cost - $80,432) | 54,061 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS (Cost - $290,962,698) | 302,652,839 | |||||||||
|
|
189
Schedules of Investments
(unaudited) (continued)
High Yield Fund
Face Amount/Units | Security | Value | ||||||||
SHORT-TERM INVESTMENTS (l) - 5.6% | ||||||||||
MONEY MARKET FUND - 0.0% | ||||||||||
$ 128,700 | Invesco STIT - Government & Agency Portfolio, 0.030%, Institutional Class(m) (Cost - $128,700) | $ | 128,700 | |||||||
|
| |||||||||
TIME DEPOSITS - 5.6% | ||||||||||
1,280 | Banco Santander SA - Frankfurt, 0.005% due 6/1/21 | 1,280 | ||||||||
13,985,946 | BNP Paribas - Paris, 0.005% due 6/1/21 | 13,985,946 | ||||||||
3,706,969 | Sumitomo Mitsui Banking Corp. - Tokyo, 0.005% due 6/1/21 | 3,706,969 | ||||||||
|
| |||||||||
TOTAL TIME DEPOSITS (Cost - $17,694,195) | 17,694,195 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost - $17,822,895) | 17,822,895 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS - 100.6% (Cost - $308,785,593) | 320,475,734 | |||||||||
|
| |||||||||
Liabilities in Excess of Other Assets - (0.6)% | (1,778,483 | ) | ||||||||
|
| |||||||||
TOTAL NET ASSETS - 100.0% | $ | 318,697,251 | ||||||||
|
|
@ | May 28, 2021 represents the last business day of the Funds quarterly period. |
| Amount denominated in U.S. dollars, unless otherwise noted. |
| All ratings are by Standard & Poors Rating Service, unless otherwise noted. |
* | Non-income producing security. |
(a) | Restricted security that may be sold to qualified institutional buyers pursuant to the conditions of Rule 144A under the Securities Act of 1933, as amended. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted. The aggregate value of restricted 144A holdings at May 28, 2021, amounts to $219,462,764 and represents 68.9% of net assets. |
(b) | Rating by Moodys Investors Service. |
(c) | Variable rate security. Interest rate disclosed is that which was in effect at May 28, 2021. |
(d) | Security is perpetual in nature and has no stated maturity date. |
(e) | Payment in-kind security for which part of the income earned may be paid as additional principal. |
(f) | Rating by Fitch Ratings Service. |
(g) | Security is currently in default. |
(h) | The aggregate value of restricted securities (excluding 144A holdings) at May 28, 2021, amounts to $15,379,504 and represents 4.8% of net assets. |
(i) | Security is valued in good faith at fair value by or under the direction of the Board of Trustees. |
(j) | Illiquid security. |
(k) | All or a portion of this security is on loan (See Note 1). |
(l) | Inclusive of all short-term holdings, including investments of collateral received from securities lending transactions. Excluding such collateral, the percentage of portfolio holdings would be 5.6%. |
(m) | Represents investments of collateral received from securities lending transactions. |
# | Security that used significant unobservable inputs to determine fair value. |
At May 28, 2021, for High Yield Fund the aggregate cost of investments, the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:
Fund | Aggregate Cost For Federal Income Tax Purposes | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation | ||||||||||||
High Yield Fund | $ | 308,785,593 | $ | 15,136,755 | $ | (3,446,614 | ) | $ | 11,690,141 |
Abbreviations used in this schedule:
ADR | American Depositary Receipts | |
CLO | Collateralized Loan Obligation | |
CMT | Constant Maturity Treasury Rate | |
LIBOR | London Interbank Offered Rate | |
PLC | Public Limited Company | |
USD | United States Dollar |
Summary of Investments by Security Type^ | ||||
Corporate Bonds & Notes | 86.8 | % | ||
Senior Loans | 4.7 | |||
Collateralized Mortgage Obligations | 2.5 | |||
Convertible Preferred Stocks | 0.2 | |||
Common Stocks | 0.1 | |||
Preferred Stocks | 0.1 | |||
Sovereign Bonds | 0.0 | * | ||
Short-Term Investments | 5.6 | |||
|
| |||
100.0 | %+ | |||
|
|
^ | As a percentage of total investments. |
* | Position represents less than 0.05%. |
+ | Does not reflect investments of collateral received from securities lending transactions. |
See pages 252-254 for definitions of ratings.
190
Schedules of Investments
May 28, 2021@
(unaudited) (continued)
International Fixed Income Fund
Face Amount/Units | Security | Value | ||||||||||
SOVEREIGN BONDS - 42.8% | ||||||||||||
Argentina - 0.0% | ||||||||||||
360,000 | ARS | US Capital Funding II Ltd./US Capital Funding II Corp., Asset Backed, 0.926% (3-Month USD-LIBOR + 0.750%) due 8/1/34(b)(c) | $ | 1,622 | ||||||||
4,960,000 | ARS | Bonos del Tesoro Nacional en Pesos Badlar, 36.106% (Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days Index + 2.000%) due 4/3/22(a)(b) | 54,024 | |||||||||
780,000 | ARS | Ciudad Autonoma de Buenos Aires, 39.124% (Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days Index + 5.000%) due 1/23/22(a)(b) | 8,578 | |||||||||
460,000 | ARS | Provincia de Buenos Aires, 37.857% (Argentina Deposit Rates Badlar Private Banks ARS 30 to 35 Days Index + 3.750%) due 4/12/25(a)(b)(c) | 4,320 | |||||||||
|
| |||||||||||
Total Argentina | 68,544 | |||||||||||
|
| |||||||||||
Australia - 0.7% | ||||||||||||
Australia Government Bonds: | ||||||||||||
100,000 | AUD | 2.500% due 5/21/30 | 83,703 | |||||||||
200,000 | AUD | 1.000% due 11/21/31 | 144,026 | |||||||||
200,000 | AUD | 3.000% due 3/21/47 | 167,590 | |||||||||
500,000 | AUD | 1.750% due 6/21/51 | 316,805 | |||||||||
300,000 | AUD | Northern Territory Treasury Corp., 2.000% due 4/21/31 | 229,161 | |||||||||
150,000 | AUD | Treasury Corp. of Victoria, 4.250% due 12/20/32 | 143,091 | |||||||||
|
| |||||||||||
Total Australia | 1,084,376 | |||||||||||
|
| |||||||||||
Canada - 1.8% | ||||||||||||
3,100,000 | CAD | Province of Ontario Canada, 3.150% due 6/2/22 | 2,641,477 | |||||||||
|
| |||||||||||
France - 5.6% | ||||||||||||
French Republic Government Bonds OAT: | ||||||||||||
900,000 | EUR | 3.250% due 5/25/45 | 1,696,331 | |||||||||
3,300,000 | EUR | 2.000% due 5/25/48(c) | 5,123,895 | |||||||||
950,000 | EUR | 0.750% due 5/25/52(c) | 1,090,253 | |||||||||
400,000 | EUR | 0.500% due 5/25/72(c) | 370,152 | |||||||||
|
| |||||||||||
Total France | 8,280,631 | |||||||||||
|
| |||||||||||
Israel - 1.4% | ||||||||||||
Israel Government Bonds - Fixed: | ||||||||||||
3,000,000 | ILS | 5.500% due 1/31/22 | 974,100 | |||||||||
2,000,000 | ILS | 1.000% due 3/31/30 | 607,233 | |||||||||
$ 200,000 | Israel Government International Bonds, 3.250% due 1/17/28 | 220,708 | ||||||||||
200,000 | State of Israel, 3.800% due 5/13/60 | 220,211 | ||||||||||
|
| |||||||||||
Total Israel | 2,022,252 | |||||||||||
|
| |||||||||||
Italy - 4.2% | ||||||||||||
Italy Buoni Poliennali Del Tesoro: | ||||||||||||
900,000 | EUR | 0.350% due 2/1/25 | 1,114,031 | |||||||||
1,700,000 | EUR | 1.850% due 7/1/25(c) | 2,227,543 | |||||||||
950,000 | EUR | 1.700% due 9/1/51(c) | 1,111,437 | |||||||||
800,000 | EUR | 2.150% due 3/1/72(c) | 949,897 | |||||||||
400,000 | GBP | Republic of Italy Government International Bonds, 6.000% due 8/4/28 | 732,784 | |||||||||
|
| |||||||||||
Total Italy | 6,135,692 | |||||||||||
|
| |||||||||||
Japan - 13.3% | ||||||||||||
1,200,000 | Development Bank of Japan Inc., 2.500% due 10/18/22 | 1,234,452 | ||||||||||
200,000 | Japan Finance Organization for Municipalities, 2.625% due 4/20/22(c) | 204,184 | ||||||||||
Japan Government Thirty Year Bonds: | ||||||||||||
210,000,000 | JPY | 1.700% due 9/20/44 | 2,398,880 | |||||||||
310,000,000 | JPY | 1.400% due 9/20/45 | 3,367,911 | |||||||||
152,000,000 | JPY | 0.500% due 9/20/46 | 1,360,569 | |||||||||
168,000,000 | JPY | 0.700% due 12/20/48 | 1,558,960 | |||||||||
310,000,000 | JPY | 0.500% due 3/20/49 | 2,729,022 | |||||||||
Japan Government Twenty Year Bonds: | ||||||||||||
150,000,000 | JPY | 1.300% due 6/20/35 | 1,564,614 |
191
Schedules of Investments
(unaudited) (continued)
International Fixed Income Fund
Face Amount/Units | Security | Value | ||||||||||
Japan - 13.3% - (continued) | ||||||||||||
181,000,000 | JPY | 1.200% due 9/20/35 | $ | 1,867,003 | ||||||||
190,000,000 | JPY | 1.000% due 12/20/35 | 1,912,096 | |||||||||
40,000,000 | JPY | 0.400% due 3/20/36 | 370,939 | |||||||||
111,201,200 | JPY | Japanese Government CPI Linked Bonds, 0.100% due 3/10/28 | 1,036,535 | |||||||||
|
| |||||||||||
Total Japan | 19,605,165 | |||||||||||
|
| |||||||||||
Kuwait - 0.7% | ||||||||||||
$ 900,000 | Kuwait International Government Bonds, 3.500% due 3/20/27 | 1,000,419 | ||||||||||
|
| |||||||||||
Lithuania - 0.4% | ||||||||||||
500,000 | EUR | Lithuania Government Bonds, 0.100% due 4/1/23 | 615,451 | |||||||||
|
| |||||||||||
Malaysia - 0.4% | ||||||||||||
Malaysia Government Bonds: | ||||||||||||
1,100,000 | MYR | 3.906% due 7/15/26 | 282,034 | |||||||||
700,000 | MYR | 3.502% due 5/31/27 | 175,821 | |||||||||
600,000 | MYR | Malaysia Government Investment Issue, 4.369% due 10/31/28 | 157,068 | |||||||||
|
| |||||||||||
Total Malaysia | 614,923 | |||||||||||
|
| |||||||||||
Peru - 0.9% | ||||||||||||
Peruvian Government International Bonds: | ||||||||||||
1,300,000 | PEN | 6.350% due 8/12/28 | 390,709 | |||||||||
1,300,000 | PEN | 6.350% due 8/12/28(c) | 390,709 | |||||||||
800,000 | PEN | 5.940% due 2/12/29 | 235,209 | |||||||||
400,000 | PEN | 5.940% due 2/12/29(c) | 117,605 | |||||||||
700,000 | PEN | 6.950% due 8/12/31(c) | 214,714 | |||||||||
200,000 | PEN | 5.350% due 8/12/40(c) | 47,334 | |||||||||
|
| |||||||||||
Total Peru | 1,396,280 | |||||||||||
|
| |||||||||||
Qatar - 1.6% | ||||||||||||
Qatar Government International Bonds: | ||||||||||||
1,000,000 | 3.875% due 4/23/23 | 1,066,350 | ||||||||||
900,000 | 4.500% due 4/23/28 | 1,062,770 | ||||||||||
200,000 | 4.400% due 4/16/50(c) | 238,674 | ||||||||||
|
| |||||||||||
Total Qatar | 2,367,794 | |||||||||||
|
| |||||||||||
Romania - 0.1% | ||||||||||||
Romanian Government International Bonds: | ||||||||||||
100,000 | EUR | 2.000% due 4/14/33(c) | 120,708 | |||||||||
50,000 | EUR | 2.750% due 4/14/41(c) | 60,481 | |||||||||
|
| |||||||||||
Total Romania | 181,189 | |||||||||||
|
| |||||||||||
Saudi Arabia - 0.8% | ||||||||||||
1,200,000 | Saudi Government International Bonds, 2.375% due 10/26/21 | 1,210,188 | ||||||||||
|
| |||||||||||
Serbia - 0.1% | ||||||||||||
100,000 | EUR | Serbia International Bonds, 1.650% due 3/3/33(c) | 117,876 | |||||||||
|
| |||||||||||
Slovenia - 0.2% | ||||||||||||
250,000 | Slovenia Government International Bonds, 5.250% due 2/18/24 | 282,325 | ||||||||||
|
| |||||||||||
Spain - 6.6% | ||||||||||||
Autonomous Community of Catalonia: | ||||||||||||
100,000 | EUR | 4.900% due 9/15/21 | 124,148 | |||||||||
100,000 | EUR | 4.220% due 4/26/35 | 161,591 | |||||||||
Spain Government Bonds: | ||||||||||||
300,000 | EUR | 0.250% due 7/30/24(c) | 373,589 | |||||||||
2,000,000 | EUR | 1.450% due 10/31/27(c) | 2,665,724 | |||||||||
1,500,000 | EUR | 1.400% due 7/30/28(c) | 1,999,420 | |||||||||
450,000 | EUR | 1.450% due 4/30/29(c) | 602,350 | |||||||||
1,700,000 | EUR | 1.250% due 10/31/30(c) | 2,235,764 | |||||||||
400,000 | EUR | 1.850% due 7/30/35(c) | 553,768 | |||||||||
300,000 | EUR | 1.000% due 10/31/50(c) | 326,556 | |||||||||
600,000 | EUR | 1.450% due 10/31/71(c) | 637,793 | |||||||||
|
| |||||||||||
Total Spain | 9,680,703 | |||||||||||
|
|
192
Schedules of Investments
(unaudited) (continued)
International Fixed Income Fund
Face Amount/Units | Security | Value | ||||||||||
United Arab Emirates - 0.5% | ||||||||||||
Abu Dhabi Government International Bonds: | ||||||||||||
$ 200,000 | 3.125% due 4/16/30 | $ | 217,775 | |||||||||
200,000 | 3.125% due 4/16/30(c) | 217,775 | ||||||||||
200,000 | 3.875% due 4/16/50(c) | 225,144 | ||||||||||
|
| |||||||||||
Total United Arab Emirates | 660,694 | |||||||||||
|
| |||||||||||
United Kingdom - 3.5% | ||||||||||||
United Kingdom Gilt: | ||||||||||||
1,400,000 | GBP | 3.250% due 1/22/44 | 2,754,001 | |||||||||
700,000 | GBP | 3.500% due 1/22/45 | 1,441,640 | |||||||||
300,000 | GBP | 1.750% due 1/22/49 | 470,611 | |||||||||
400,000 | GBP | 0.625% due 10/22/50 | 474,581 | |||||||||
|
| |||||||||||
Total United Kingdom | 5,140,833 | |||||||||||
|
| |||||||||||
TOTAL SOVEREIGN BONDS (Cost - $57,121,890) | 63,106,812 | |||||||||||
|
| |||||||||||
CORPORATE BONDS & NOTES - 21.4% | ||||||||||||
Canada - 0.3% | ||||||||||||
100,000 | EUR | Fairfax Financial Holdings Ltd., Senior Unsecured Notes, 2.750% due 3/29/28(c) | 132,900 | |||||||||
300,000 | HSBC Bank Canada, Covered Notes, 3.300% due 11/28/21(c) | 304,549 | ||||||||||
|
| |||||||||||
Total Canada | 437,449 | |||||||||||
|
| |||||||||||
Cayman Islands - 1.3% | ||||||||||||
300,000 | CK Hutchison International 17 Ltd., Company Guaranteed Notes, 2.875% due 4/5/22(c) | 305,416 | ||||||||||
KSA Sukuk Ltd., Senior Unsecured Notes: | ||||||||||||
200,000 | 2.894% due 4/20/22(c) | 204,733 | ||||||||||
500,000 | 4.303% due 1/19/29(c) | 575,000 | ||||||||||
200,000 | Sands China Ltd., Senior Unsecured Notes, 5.400% due 8/8/28 | 229,600 | ||||||||||
668,604 | US Capital Funding II Ltd./US Capital Funding II Corp., Asset Backed, 0.926% (3-Month USD-LIBOR + 0.750%) due 8/1/34(b)(c) | 636,845 | ||||||||||
|
| |||||||||||
Total Cayman Islands | 1,951,594 | |||||||||||
|
| |||||||||||
Denmark - 3.8% | ||||||||||||
Jyske Realkredit AS, Covered Notes: | ||||||||||||
1 | DKK | 1.500% due 10/1/37 | | |||||||||
1 | DKK | 3.000% due 10/1/47 | | |||||||||
6,372,850 | DKK | 1.000% due 10/1/50 | 1,002,815 | |||||||||
1 | DKK | 1.500% due 10/1/50 | | |||||||||
Nordea Kredit Realkreditaktieselskab, Covered Notes: | ||||||||||||
1 | DKK | 1.500% due 10/1/37 | 1 | |||||||||
1 | DKK | 2.500% due 10/1/37 | | |||||||||
1 | DKK | 2.500% due 10/1/47 | | |||||||||
9,134,828 | DKK | 1.000% due 10/1/50 | 1,426,621 | |||||||||
1 | DKK | 1.500% due 10/1/50 | | |||||||||
1 | DKK | 2.000% due 10/1/50 | | |||||||||
Nykredit Realkredit AS, Covered Notes: | ||||||||||||
1 | DKK | 2.500% due 10/1/36 | | |||||||||
1 | DKK | 1.500% due 10/1/37 | | |||||||||
1 | DKK | 2.000% due 10/1/47 | | |||||||||
1 | DKK | 2.500% due 10/1/47 | | |||||||||
16,775,837 | DKK | 1.000% due 10/1/50 | 2,625,759 | |||||||||
2 | DKK | 1.500% due 10/1/50 | | |||||||||
3,751,763 | DKK | 1.000% due 10/1/53 | 585,560 | |||||||||
Realkredit Danmark AS, Covered Notes: | ||||||||||||
1 | DKK | 2.500% due 4/1/36 | | |||||||||
1 | DKK | 2.500% due 4/1/47 | | |||||||||
|
| |||||||||||
Total Denmark | 5,640,756 | |||||||||||
|
|
193
Schedules of Investments
(unaudited) (continued)
International Fixed Income Fund
Face Amount/Units | Security | Value | ||||||||||
France - 0.6% | ||||||||||||
$ 250,000 | Credit Agricole SA, Senior Unsecured Notes, 3.750% due 4/24/23(c) | $ | 266,203 | |||||||||
200,000 | EUR | ELO SACA, Senior Unsecured Notes, 3.250% due 7/23/27 | 282,941 | |||||||||
300,000 | Societe Generale SA, Junior Subordinated Notes, 7.375% (5-Year USD Swap Rate + | 305,341 | ||||||||||
|
| |||||||||||
Total France | 854,485 | |||||||||||
|
| |||||||||||
Germany - 2.8% | ||||||||||||
Deutsche Bank AG, Senior Unsecured Notes: | ||||||||||||
800,000 | 4.250% due 10/14/21 | 811,234 | ||||||||||
200,000 | 3.300% due 11/16/22 | 207,781 | ||||||||||
300,000 | 3.950% due 2/27/23 | 316,380 | ||||||||||
100,000 | GBP | 2.625% due 12/16/24 | 148,309 | |||||||||
300,000 | EUR | 1.000% (1.600% - 3-Month EURIBOR) due 11/19/25(e) | 372,287 | |||||||||
350,000 | 3.961% (SOFR + 2.581%) due 11/26/25(b) | 380,286 | ||||||||||
300,000 | EUR | 2.625% due 2/12/26 | 399,626 | |||||||||
200,000 | EUR | 1.625% due 1/20/27 | 254,994 | |||||||||
200,000 | EUR | 1.750% (2.050% - 3-Month EURIBOR) due 11/19/30(e) | 254,257 | |||||||||
200,000 | Deutsche Bank AG, (Restricted, cost - $200,406, acquired 1/21/21), Subordinated Notes, 3.729% (SOFR + 2.757%) due 1/14/32(b)(f) | 200,513 | ||||||||||
300,000 | IHO Verwaltungs GmbH, Senior Secured Notes, 6.000% (6.000% cash or 6.750% PIK) due 5/15/27(c)(g) | 316,260 | ||||||||||
400,000 | EUR | Volkswagen Leasing GmbH, Company Guaranteed Notes, zero coupon (3-Month EURIBOR + 0.450%) due 7/6/21(b) | 487,983 | |||||||||
|
| |||||||||||
Total Germany | 4,149,910 | |||||||||||
|
| |||||||||||
Ireland - 0.1% | ||||||||||||
200,000 | SMBC Aviation Capital Finance DAC, Company Guaranteed Notes, 3.000% due 7/15/22(c) | 204,604 | ||||||||||
|
| |||||||||||
Italy - 1.1% | ||||||||||||
Banca Carige SpA, Covered Notes: | ||||||||||||
400,000 | EUR | 1.161% (1.700% - 3-Month EURIBOR) due 10/25/21(e) | 489,688 | |||||||||
400,000 | EUR | 0.957% (1.500% - 3-Month EURIBOR) due 5/25/22(e) | 490,227 | |||||||||
Banca Monte dei Paschi di Siena SpA: | ||||||||||||
200,000 | EUR | Covered Notes, 0.875% due 10/8/26 | 254,116 | |||||||||
100,000 | EUR | Senior Unsecured Notes, 2.625% due 4/28/25 | 125,938 | |||||||||
200,000 | EUR | UniCredit SpA, Junior Subordinated Notes, 9.250% (9.300% - 5-Year EUR Swap Rate)(d)(e) | 263,412 | |||||||||
|
| |||||||||||
Total Italy | 1,623,381 | |||||||||||
|
| |||||||||||
Japan - 0.1% | ||||||||||||
200,000 | Central Nippon Expressway Co., Ltd., Senior Unsecured Notes, 2.091% due 9/14/21 | 201,035 | ||||||||||
|
| |||||||||||
Jersey Channel Islands - 0.1% | ||||||||||||
59,439 | GBP | Kennedy Wilson Europe Real Estate Ltd., Senior Unsecured Notes, 3.950% due 6/30/22 | 86,131 | |||||||||
|
| |||||||||||
Netherlands - 0.3% | ||||||||||||
200,000 | EUR | Cooperatieve Rabobank UA, Junior Subordinated Notes, 6.625% (6.697% - 5-Year EUR Swap Rate)(d)(e) | 245,299 | |||||||||
168,000 | Petrobras Global Finance BV, Company Guaranteed Notes, 5.093% due 1/15/30 | 180,140 | ||||||||||
52,525 | EUR | Stichting AK Rabobank Certificaten, Junior Subordinated Notes, step bond to yield, 2.188%(d) | 83,873 | |||||||||
|
| |||||||||||
Total Netherlands | 509,312 | |||||||||||
|
| |||||||||||
Portugal - 0.1% | ||||||||||||
Banco Espirito Santo SA, Senior Unsecured Notes: | ||||||||||||
200,000 | EUR | 4.750% due 1/15/18(a)(h) | 39,024 | |||||||||
200,000 | EUR | 4.000% due 1/21/19(a)(h) | 39,024 | |||||||||
|
| |||||||||||
Total Portugal | 78,048 | |||||||||||
|
| |||||||||||
Singapore - 0.2% | ||||||||||||
200,000 | BOC Aviation Ltd., Senior Unsecured Notes, 2.750% due 9/18/22(c) | 204,111 | ||||||||||
100,000 | DBS Bank Ltd., Covered Notes, 3.300% due 11/27/21(c) | 101,512 | ||||||||||
|
| |||||||||||
Total Singapore | 305,623 | |||||||||||
|
| |||||||||||
Supranational - 1.1% | ||||||||||||
European Investment Bank, Senior Unsecured Notes: | ||||||||||||
500,000 | AUD | 0.500% due 6/21/23 | 386,342 | |||||||||
800,000 | AUD | 0.500% due 8/10/23 | 617,315 | |||||||||
European Union, Senior Unsecured Notes: | ||||||||||||
400,000 | EUR | zero coupon due 6/2/28 | 494,361 | |||||||||
100,000 | EUR | 0.250% due 4/22/36 | 119,605 | |||||||||
|
| |||||||||||
Total Supranational | 1,617,623 | |||||||||||
|
|
194
Schedules of Investments
(unaudited) (continued)
International Fixed Income Fund
Face Amount/Units | Security | Value | ||||||||||
Switzerland - 1.5% | ||||||||||||
Credit Suisse Group AG: | ||||||||||||
$ 200,000 | Junior Subordinated Notes, 7.500% (5-Year USD Swap Rate + 4.598%)(b)(c)(d) | $ | 221,731 | |||||||||
Senior Unsecured Notes: | ||||||||||||
300,000 | 2.997% (3-Month USD-LIBOR + 1.200%) due 12/14/23(b)(c) | 310,571 | ||||||||||
250,000 | 4.282% due 1/9/28(c) | 278,321 | ||||||||||
250,000 | 3.869% (3-Month USD-LIBOR + 1.410%) due 1/12/29(b)(c) | 273,118 | ||||||||||
UBS AG, Subordinated Notes: | ||||||||||||
250,000 | 7.625% due 8/17/22 | 271,165 | ||||||||||
400,000 | 5.125% due 5/15/24 | 442,494 | ||||||||||
400,000 | UBS Group AG, Senior Unsecured Notes, 1.106% (3-Month USD-LIBOR + 0.950%) due | 403,646 | ||||||||||
|
| |||||||||||
Total Switzerland | 2,201,046 | |||||||||||
|
| |||||||||||
United Kingdom - 5.0% | ||||||||||||
600,000 | Barclays Bank PLC, Subordinated Notes, 7.625% due 11/21/22 | 656,674 | ||||||||||
Barclays PLC: | ||||||||||||
600,000 | GBP | Junior Subordinated Notes, 7.125% (5-Year UK Government Note Generic Bid Yield + | 974,427 | |||||||||
200,000 | Senior Unsecured Notes, 4.610% (3-Month USD-LIBOR + 1.400%) due 2/15/23(b) | 205,920 | ||||||||||
100,000 | British Telecommunications PLC, Senior Unsecured Notes, 9.625% due 12/15/30 | 155,529 | ||||||||||
HSBC Holdings PLC: | ||||||||||||
200,000 | Junior Subordinated Notes, 6.500% (5-Year USD 1100 Run ICE Swap Rate + 3.606%)(b)(d) | 228,499 | ||||||||||
Senior Unsecured Notes: | ||||||||||||
300,000 | 1.155% (3-Month USD-LIBOR + 1.000%) due 5/18/24(b) | 303,857 | ||||||||||
200,000 | 3.803% (3-Month USD-LIBOR + 1.211%) due 3/11/25(b) | 216,471 | ||||||||||
100,000 | GBP | 1.750% (Sterling Overnight Index Average + 1.307%) due 7/24/27(b) | 143,144 | |||||||||
100,000 | GBP | Subordinated Notes, 6.750% due 9/11/28 | 185,431 | |||||||||
Lloyds Banking Group PLC: | ||||||||||||
200,000 | GBP | Junior Subordinated Notes, 5.125% (5-Year UK Government Note Generic Bid Yield + | 299,237 | |||||||||
200,000 | Senior Unsecured Notes, 3.900% due 3/12/24 | 218,427 | ||||||||||
300,000 | Subordinated Notes, 4.582% due 12/10/25 | 338,797 | ||||||||||
200,000 | GBP | Marks & Spencer PLC, Senior Unsecured Notes, 4.250% due 12/8/23 | 302,157 | |||||||||
200,000 | Nationwide Building Society, Senior Unsecured Notes, 3.766% (3-Month USD-LIBOR + 1.064%) due 3/8/24(b)(c) | 210,973 | ||||||||||
Natwest Group PLC: | ||||||||||||
Junior Subordinated Notes: | ||||||||||||
200,000 | GBP | 5.125% (5-Year UK Government Note Generic Bid Yield + 4.985%)(b)(d) | 302,979 | |||||||||
200,000 | 6.000% (5-Year CMT Index + 5.625%)(b)(d) | 222,406 | ||||||||||
400,000 | 8.625% (5-Year USD Swap Rate + 7.598%)(b)(d) | 405,004 | ||||||||||
Senior Unsecured Notes: | ||||||||||||
800,000 | 1.751% (3-Month USD-LIBOR + 1.550%) due 6/25/24(b) | 817,852 | ||||||||||
200,000 | 4.519% (3-Month USD-LIBOR + 1.550%) due 6/25/24(b) | 215,865 | ||||||||||
100,000 | GBP | Rolls-Royce PLC, Company Guaranteed Notes, 5.750% due 10/15/27 | 154,533 | |||||||||
400,000 | Santander UK Group Holdings PLC, Senior Unsecured Notes, 4.796% (3-Month USD-LIBOR + 1.570%) due 11/15/24(b) | 440,005 | ||||||||||
200,000 | Standard Chartered PLC, Junior Subordinated Notes, 7.500% (5-Year USD Swap Rate + | 209,609 | ||||||||||
96,221 | GBP | Tesco Property Finance 4 PLC, Senior Secured Notes, 5.801% due 10/13/40 | 181,910 | |||||||||
|
| |||||||||||
Total United Kingdom | 7,389,706 | |||||||||||
|
| |||||||||||
United States - 3.0% | ||||||||||||
100,000 | AbbVie Inc., Senior Unsecured Notes, 3.450% due 3/15/22 | 101,954 | ||||||||||
200,000 | EUR | AT&T Inc., Junior Subordinated Notes, 2.875% (3.140% - 5-Year EURIBOR ICE Swap | 246,577 | |||||||||
400,000 | Aviation Capital Group LLC, Senior Unsecured Notes, 1.141% (3-Month USD-LIBOR + 0.950%) due 6/1/21(b)(c) | 400,000 | ||||||||||
200,000 | Bank of America Corp., Junior Subordinated Notes, 5.875% (3-Month USD-LIBOR + | 224,750 | ||||||||||
200,000 | Broadcom Inc., Company Guaranteed Notes, 4.150% due 11/15/30 | 219,290 | ||||||||||
58,000 | Campbell Soup Co., Senior Unsecured Notes, 3.650% due 3/15/23 | 61,181 | ||||||||||
700,000 | Charter Communications Operating LLC/Charter Communications Operating Capital, Senior Secured Notes, 4.464% due 7/23/22 | 727,562 |
195
Schedules of Investments
(unaudited) (continued)
International Fixed Income Fund
Face Amount/Units | Security | Value | ||||||||||
United States - 3.0% - (continued) | ||||||||||||
$ 200,000 | Dell International LLC/EMC Corp., Senior Secured Notes, 4.900% due 10/1/26(c) | $ | 229,858 | |||||||||
400,000 | Duke Energy Corp., Senior Unsecured Notes, 0.827% (3-Month USD-LIBOR + 0.650%) due 3/11/22(b) | 401,662 | ||||||||||
200,000 | Emera US Finance LP, Company Guaranteed Notes, 2.700% due 6/15/21 | 200,156 | ||||||||||
100,000 | Equifax Inc., Senior Unsecured Notes, 3.600% due 8/15/21 | 100,668 | ||||||||||
Fidelity National Information Services Inc.: | ||||||||||||
100,000 | EUR | Company Guaranteed Notes, 0.750% due 5/21/23 | 123,943 | |||||||||
100,000 | GBP | Senior Unsecured Notes, 1.700% due 6/30/22 | 143,679 | |||||||||
Ford Motor Credit Co. LLC, Senior Unsecured Notes: | ||||||||||||
100,000 | GBP | 2.748% due 6/14/24 | 142,912 | |||||||||
100,000 | EUR | 0.157% (0.700% - 3-Month EURIBOR) due 12/1/24(e) | 117,151 | |||||||||
200,000 | 5.125% due 6/16/25 | 219,125 | ||||||||||
200,000 | 4.000% due 11/13/30 | 204,244 | ||||||||||
1,300,000 | Lehman Brothers Holdings Inc., Senior Unsecured Notes, zero coupon due 12/28/17(a)(h) | 9,913 | ||||||||||
100,000 | Pacific Gas & Electric Co., 1st Mortgage Notes, 3.450% due 7/1/25 | 104,903 | ||||||||||
100,000 | Santander Holdings USA Inc., Senior Unsecured Notes, 3.400% due 1/18/23 | 104,247 | ||||||||||
300,000 | Zimmer Biomet Holdings Inc., Senior Unsecured Notes, 3.150% due 4/1/22 | 305,644 | ||||||||||
|
| |||||||||||
Total United States | 4,389,419 | |||||||||||
|
| |||||||||||
TOTAL CORPORATE BONDS & NOTES (Cost - $30,548,429) | 31,640,122 | |||||||||||
|
| |||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS - 18.0% | ||||||||||||
209,785 | A10 Bridge Asset Financing LLC, Series 2020-C, Class A, 2.021% due 8/15/40(c) | 210,677 | ||||||||||
400,000 | ACE Securities Corp. Home Equity Loan Trust, Series 2005-HE5, Class M4, 0.992% (1-Month USD-LIBOR + 0.900%) due 8/25/35(b) | 404,487 | ||||||||||
329,976 | GBP | ALBA PLC, Series 2007-1, Class A3, 0.251% (3-Month GBP-LIBOR + 0.170%) due 3/17/39(b) | 453,261 | |||||||||
300,000 | Arch Street CLO Ltd., Series 2016-2A, Class AR2, 1.188% (3-Month USD-LIBOR + 1.000%) due 10/20/28(b)(c) | 300,171 | ||||||||||
493,228 | Argent Mortgage Loan Trust, Series 2005-W1, Class A1, 0.572% (1-Month USD-LIBOR + 0.240%) due 5/25/35(b) | 461,830 | ||||||||||
282,201 | GBP | Avon Finance No 2 PLC, Series 2A, Class A, 0.949% (Sterling Overnight Index Average + 0.900%) due 9/20/48(b)(c) | 401,723 | |||||||||
13,928 | Banc of America Funding Trust, Series 2006-A, Class 1A1, 2.734% due 2/20/36(b) | 13,933 | ||||||||||
202,995 | Bayview Financial Asset Trust, Series 2007-SR1A, Class A, 0.542% (1-Month USD-LIBOR + 0.450%) due 3/25/37(b)(c) | 196,863 | ||||||||||
Bear Stearns Adjustable Rate Mortgage Trust: | ||||||||||||
2,308 | Series 2003-5, Class 1A2, 2.549% due 8/25/33(b) | 2,405 | ||||||||||
4,064 | Series 2003-7, Class 6A, 2.521% due 10/25/33(b) | 4,183 | ||||||||||
11,581 | Series 2004-2, Class 22A, 2.720% due 5/25/34(b) | 11,444 | ||||||||||
5,349 | Series 2004-2, Class 23A, 2.665% due 5/25/34(b) | 5,003 | ||||||||||
55,810 | Bear Stearns Structured Products Inc. Trust, Series 2007-R6, Class 1A1, 2.303% due 1/26/36(b) | 46,578 | ||||||||||
146,850 | EUR | Black Diamond CLO Designated Activity Co., Series 2015-1A, Class A1R, 0.650% (3-Month EURIBOR + 0.650%) due 10/3/29(b)(c) | 179,327 | |||||||||
300,000 | EUR | BlueMountain Euro CLO, Series 2017-2A, Class AR, 0.650% (3-Month EURIBOR +0. 650%) due 7/15/30(b)(c) | 365,890 | |||||||||
250,000 | EUR | Cairn CLO VII BV, Series 2016-7A, Class A1R, 0.670% (3-Month EURIBOR + 0.670%) due 1/31/30(b)(c) | 305,633 | |||||||||
300,000 | Cathedral Lake CLO Ltd., Series 2015-2A, Class A1RR, 1.034% (3-Month USD-LIBOR + 0.850%) due 7/16/29(b)(c) | 300,169 | ||||||||||
300,000 | EUR | Cordatus CLO PLC, Series 11A, Class AR, 0.650% (3-Month EURIBOR + 0.650%) due 10/15/31(b)(c) | 365,395 | |||||||||
Countrywide Alternative Loan Trust: | ||||||||||||
5,192 | Series 2005-21CB, Class A3, 5.250% due 6/25/35 | 4,973 | ||||||||||
28,912 | Series 2007-7T2, Class A9, 6.000% due 4/25/37 | 17,980 | ||||||||||
39,504 | Series 2007-11T1, Class A12, 0.442% (1-Month USD-LIBOR + 0.350%) due 5/25/37(b) | 13,562 | ||||||||||
21,757 | Series 2007-16CB, Class 5A1, 6.250% due 8/25/37 | 16,652 | ||||||||||
Countrywide Asset-Backed Certificates: | ||||||||||||
65,090 | Series 2006-18, Class 2A2, 0.252% (1-Month USD-LIBOR + 0.160%) due 3/25/37(b) | 64,910 | ||||||||||
400,000 | Series 2007-9, Class 2A4, 0.342% (1-Month USD-LIBOR + 0.250%) due 2/25/36(b) | 387,873 | ||||||||||
67,405 | Series 2007-12, Class 1A1, 0.832% (1-Month USD-LIBOR + 0.740%) due 8/25/47(b) | 66,288 | ||||||||||
516,334 | Series 2007-13, Class 1A, 0.932% (1-Month USD-LIBOR + 0.840%) due 10/25/47(b) | 511,506 | ||||||||||
175,888 | Series 2007-SEA2, Class 1A1, 1.092% (1-Month USD-LIBOR + 1.000%) due 8/25/47(b)(c) | 176,849 | ||||||||||
Countrywide Home Loan Mortgage Pass-Through Trust: | ||||||||||||
1,282 | Series 2004-12, Class 11A1, 3.121% due 8/25/34(b) | 1,280 | ||||||||||
59,340 | Series 2005-2, Class 1A1, 0.732% (1-Month USD-LIBOR + 0.640%) due 3/25/35(b) | 53,120 | ||||||||||
4,929 | Series 2005-3, Class 2A1, 0.672% (1-Month USD-LIBOR + 0.580%) due 4/25/35(b) | 4,765 |
196
Schedules of Investments
(unaudited) (continued)
International Fixed Income Fund
Face Amount/Units | Security | Value | ||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS - 18.0% - (continued) | ||||||||||||
$ 58,986 | Series 2005-9, Class 1A3, 0.552% (1-Month USD-LIBOR + 0.460%) due 5/25/35(b) | $ | 52,417 | |||||||||
17,058 | Series 2005-11, Class 3A1, 2.706% due 4/25/35(b) | 15,169 | ||||||||||
15,274 | Series 2005-HYB9, Class 3A2A, 2.195% (1-Year USD-LIBOR + 1.750%) due 2/20/36(b) | 13,563 | ||||||||||
594,662 | Series 2007-4, Class 1A47, 6.000% due 5/25/37 | 407,987 | ||||||||||
94,733 | Series 2007-19, Class 2A1, 6.500% due 11/25/47 | 66,664 | ||||||||||
267,908 | Credit Suisse Mortgage Capital Certificates, Series 2007-NC1, Class 2A1, 0.692% (1-Month USD-LIBOR + 0.600%) due 9/25/37(b) | 266,642 | ||||||||||
Credit Suisse Mortgage Capital Trust: | ||||||||||||
34,874 | Series 2007-5R, Class A5, 6.500% due 7/26/36 | 13,412 | ||||||||||
365,609 | Series 2019-RPL9, Class A1, 2.986% due 10/27/59(b)(c) | 369,129 | ||||||||||
144,620 | CSAB Mortgage-Backed Trust, Series 2006-4, Class A6A, step bond to yield, 6.184% due 12/25/36 | 48,887 | ||||||||||
518,205 | Deutsche Alternative-A Securities Mortgage Loan Trust, Series 2007-3, Class 2A1, 0.842% (1-Month USD-LIBOR + 0.750%) due 10/25/47(b) | 487,297 | ||||||||||
300,000 | EUR | Dryden Leveraged Loan CDO, Series 2017-27A, Class AR, zero coupon (3-Month EURIBOR + 0.660%) due 4/15/33(b)(c) | 366,399 | |||||||||
300,000 | Dryden Senior Loan Fund, Series 2017-47A, Class A1R, zero coupon (3-Month USD-LIBOR + 0.980%) due 4/15/28(b)(c) | 300,181 | ||||||||||
516,511 | Ellington Loan Acquisition Trust, Series 2007-2, Class A1, 1.142% (1-Month USD-LIBOR + 1.050%) due 5/25/37(b)(c) | 519,441 | ||||||||||
155,537 | GBP | Eurohome UK Mortgages PLC, Series 2007-1, Class A, 0.230% (3-Month GBP-LIBOR + 0.150%) due 6/15/44(b) | 216,336 | |||||||||
339,825 | GBP | Eurosail-UK PLC, Series 2007-4X, Class A3, 1.030% (3-Month GBP-LIBOR + 0.950%) due | 482,851 | |||||||||
Federal Home Loan Mortgage Corp. (FHLMC): | ||||||||||||
20,449 | Series T-35, Class A, 0.372% (1-Month USD-LIBOR + 0.280%) due 9/25/31(b) | 20,293 | ||||||||||
26,927 | Series T-62, Class 1A1, 1.327% (1-Year Treasury Average Rate + 1.200%) due 10/25/44(b) | 27,552 | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC), REMICS: | ||||||||||||
19,599 | Series 2391, Class FJ, 0.601% (1-Month USD-LIBOR + 0.500%) due 4/15/28(b) | 19,689 | ||||||||||
33,170 | Series 2614, Class SJ, 19.385% (19.663% - 2.75% × 1-Month USD-LIBOR) due 5/15/33(e) | 48,397 | ||||||||||
133,224 | Series 4579, Class FD, 0.465% (1-Month USD-LIBOR + 0.350%) due 1/15/38(b) | 133,508 | ||||||||||
133,224 | Series 4579, Class SD, 2.122% due 1/15/38(b)(i) | 8,777 | ||||||||||
5,207 | Federal National Mortgage Association (FNMA), Grantor Trust, Series 2004-T3, Class 1A1, 6.000% due 2/25/44 | 6,097 | ||||||||||
Federal National Mortgage Association (FNMA), REMICS: | ||||||||||||
5,248 | Series 2003-34, Class A1, 6.000% due 4/25/43 | 6,088 | ||||||||||
8,904 | Series 2006-48, Class TF, 0.492% (1-Month USD-LIBOR + 0.400%) due 6/25/36(b) | 8,996 | ||||||||||
77,478 | Series 2009-104, Class FA, 0.892% (1-Month USD-LIBOR + 0.800%) due 12/25/39(b) | 77,243 | ||||||||||
37,345 | Federal National Mortgage Association (FNMA), REMICS Trust, Series 2004-W12, Class 1A1, 6.000% due 7/25/44 | 42,980 | ||||||||||
117,574 | First Franklin Mortgage Loan Trust, Series 2005-FF9, Class A4, 0.812% (1-Month USD-LIBOR + 0.720%) due 10/25/35(b) | 117,496 | ||||||||||
21,395 | GMACM Mortgage Loan Trust, Series 2005-AR6, Class 3A1, 2.997% due 11/19/35(b) | 21,240 | ||||||||||
Government National Mortgage Association (GNMA): | ||||||||||||
354,239 | Series 2016-H15, Class FA, 0.910% (1-Month USD-LIBOR + 0.800%) due 7/20/66(b) | 360,419 | ||||||||||
19,303 | Series 2017-121, Class PE, 3.000% due 7/20/46 | 19,772 | ||||||||||
GSR Mortgage Loan Trust: | ||||||||||||
9,362 | Series 2003-1, Class A2, 1.840% (1-Year CMT Index + 1.750%) due 3/25/33(b) | 9,556 | ||||||||||
107,830 | Series 2005-AR7, Class 2A1, 2.824% due 11/25/35(b) | 108,944 | ||||||||||
Harborview Mortgage Loan Trust: | ||||||||||||
13,789 | Series 2005-2, Class 2A1A, 0.538% (1-Month USD-LIBOR + 0.440%) due 5/19/35(b) | 13,313 | ||||||||||
31,348 | Series 2005-3, Class 2A1A, 0.578% (1-Month USD-LIBOR + 0.480%) due 6/19/35(b) | 31,324 | ||||||||||
64,501 | Series 2006-SB1, Class A1A, 0.977% (1-Year Treasury Average Rate + 0.850%) due 12/19/36(b) | 62,342 | ||||||||||
84,617 | Series 2007-1, Class 2A1A, 0.228% (1-Month USD-LIBOR + 0.130%) due 3/19/37(b) | 78,355 | ||||||||||
300,000 | EUR | Harvest CLO XI DAC, Series 2011-A, Class ARR, zero coupon (3-Month EURIBOR + 0.650%) due 6/26/30(b)(c)(j) | 365,850 | |||||||||
393,036 | GBP | Hawksmoor Mortgages, Series 2019-1A, Class A, 1.099% (Sterling Overnight Index Average + 1.050%) due 5/25/53(b)(c) | 560,616 | |||||||||
210,182 | Homeward Opportunities Fund I Trust, Series 2020-2, Class A1, 1.657% due 5/25/65(b)(c) | 211,922 | ||||||||||
JPMorgan Mortgage Trust: | ||||||||||||
2,421 | Series 2003-A2, Class 3A1, 1.923% due 11/25/33(b) | 2,527 | ||||||||||
674 | Series 2005-A1, Class 6T1, 2.596% due 2/25/35(b) | 686 | ||||||||||
13,229 | JPMorgan Resecuritization Trust, Series 2009-7, Class 17A1, 5.234% due 7/27/37(b)(c) | 13,255 | ||||||||||
468,299 | GBP | Ludgate Funding PLC, Series 2007-1, Class A2A, 0.250% (3-Month GBP-LIBOR + 0.160%) due 1/1/61(b) | 642,155 | |||||||||
300,000 | Manhattan West Mortgage Trust, Series 2020-1MW, Class A, 2.130% due 9/10/39(c) | 306,599 | ||||||||||
250,000 | Marble Point CLO X Ltd., Series 2017-1A, Class AR, 1.224% (3-Month USD-LIBOR + 1.040%) due 10/15/30(b)(c) | 250,137 | ||||||||||
3,738 | Merrill Lynch Mortgage Investors Trust, Series 2003-A2, Class 1A1, 1.890% due 2/25/33(b) | 3,668 |
197
Schedules of Investments
(unaudited) (continued)
International Fixed Income Fund
Face Amount/Units | Security | Value | ||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS - 18.0% - (continued) | ||||||||||||
| $ 200,000 | | MF1 Multifamily Housing Mortgage Loan Trust, Series 2021-FL5, Class A, 0.951% (1-Month USD-LIBOR + 0.850%) due 7/15/36(b)(c) | $ | 200,313 | |||||||
514,451 | MFA Trust, Series 2020-NQM2, Class A1, 1.381% due 4/25/65(b)(c) | 517,543 | ||||||||||
New Residential Mortgage Loan Trust: | ||||||||||||
312,966 | Series 2019-RPL3, Class A1, 2.750% due 7/25/59(b)(c) | 328,008 | ||||||||||
321,680 | Series 2020-RPL1, Class A1, 2.750% due 11/25/59(b)(c) | 334,328 | ||||||||||
577,796 | GBP | Newgate Funding PLC, Series 2007-1X, Class A3, 0.230% (3-Month GBP-LIBOR + 0.160%) due 12/1/50(b) | 792,237 | |||||||||
400,000 | NovaStar Mortgage Funding Trust, Series 2006-1, Class A2D, 0.632% (1-Month USD-LIBOR + 0.540%) due 5/25/36(b) | 382,099 | ||||||||||
300,000 | One New York Plaza Trust, Series 2020-1NYP, Class A, 1.051% (1-Month USD-LIBOR + 0.950%) due 1/15/26(b)(c) | 301,980 | ||||||||||
79,458 | Option One Mortgage Loan Trust, Series 2007-CP1, Class 1A1, 0.232% (1-Month USD-LIBOR + 0.140%) due 3/25/37(b) | 74,250 | ||||||||||
72,933 | RAAC Trust, Series 2007-SP3, Class A1, 1.292% (1-Month USD-LIBOR + 1.200%) due | 73,214 | ||||||||||
RALI Trust: | ||||||||||||
109,811 | Series 2006-QS6, Class 1A1, 6.000% due 6/25/36 | 105,657 | ||||||||||
47,910 | Series 2007-QO2, Class A1, 0.242% (1-Month USD-LIBOR + 0.150%) due 2/25/47(b) | 24,608 | ||||||||||
68,308 | CAD | Real Estate Asset Liquidity Trust, Series 2018-1A, Class A1, 3.072% due 8/12/53(c) | 58,366 | |||||||||
Residential Asset Securitization Trust: | ||||||||||||
14,929 | Series 2005-A15, Class 5A1, 5.750% due 2/25/36 | 9,403 | ||||||||||
41,187 | Series 2006-R1, Class A2, 0.492% (1-Month USD-LIBOR + 0.400%) due 1/25/46(b) | 13,988 | ||||||||||
183,026 | GBP | Residential Mortgage Securities 32 PLC, Series 2032-A, Class A, 1.299% (Sterling Overnight Index Average + 1.250%) due 6/20/70(b)(c) | 262,988 | |||||||||
220,347 | GBP | ResLoC UK PLC, Series 2007-1X, Class A3B, 0.240% (3-Month GBP-LIBOR + 0.160%) due 12/15/43(b) | 303,548 | |||||||||
RMAC Securities No 1 PLC: | ||||||||||||
211,422 | GBP | Series 2006-NS1X, Class A2A, 0.230% (3-Month GBP-LIBOR + 0.150%) due 6/12/44(b) | 292,381 | |||||||||
403,195 | GBP | Series 2006-NS3X, Class A2A, 0.230% (3-Month GBP-LIBOR + 0.150%) due 6/12/44(b) | 552,513 | |||||||||
300,000 | Sculptor CLO XXV Ltd., Series 25A, Class A1, 1.410% (3-Month USD-LIBOR + 1.270%) due 1/15/31(b)(c) | 300,347 | ||||||||||
295,372 | Sound Point CLO XIV Ltd., Series 2016-3A, Class AR2, 1.163% (3-Month USD-LIBOR + 0.990%) due 1/23/29(b)(c) | 295,280 | ||||||||||
Soundview Home Loan Trust: | ||||||||||||
417,545 | Series 2006-3, Class A3, 0.412% (1-Month USD-LIBOR + 0.320%) due 11/25/36(b) | 416,785 | ||||||||||
1,300,000 | Series 2006-3, Class A4, 0.592% (1-Month USD-LIBOR + 0.500%) due 11/25/36(b) | 1,256,132 | ||||||||||
193,203 | SP-STATIC CLO 1 Ltd., Series 2020-1A, Class A, 1.584% (3-Month USD-LIBOR + 1.400%) due 7/22/28(b)(c) | 193,344 | ||||||||||
486,218 | GBP | Stratton Mortgage Funding, Series 2021-2A, Class A, 0.948% (Sterling Overnight Index Average + 0.900%) due 7/20/60(b)(c) | 692,870 | |||||||||
Structured Adjustable Rate Mortgage Loan Trust: | ||||||||||||
3,768 | Series 2004-1, Class 4A1, 2.535% due 2/25/34(b) | 3,802 | ||||||||||
12,620 | Series 2004-4, Class 3A2, 2.384% due 4/25/34(b) | 12,832 | ||||||||||
28,694 | Series 2004-19, Class 2A1, 1.527% (1-Year Treasury Average Rate + 1.400%) due 1/25/35(b) | 26,837 | ||||||||||
Structured Asset Mortgage Investments II Trust: | ||||||||||||
35,157 | Series 2005-AR2, Class 2A1, 0.552% (1-Month USD-LIBOR + 0.460%) due 5/25/45(b) | 35,194 | ||||||||||
47,784 | Series 2005-AR8, Class A1A, 0.652% (1-Month USD-LIBOR + 0.560%) due 2/25/36(b) | 45,988 | ||||||||||
30,600 | Series 2006-AR5, Class 1A1, 0.512% (1-Month USD-LIBOR + 0.420%) due 5/25/36(b) | 26,705 | ||||||||||
141,829 | Series 2007-AR4, Class A3, 0.312% (1-Month USD-LIBOR + 0.220%) due 9/25/47(b) | 129,235 | ||||||||||
76,826 | Series 2007-AR6, Class A1, 1.627% (1-Year Treasury Average Rate + 1.500%) due 8/25/47(b) | 75,320 | ||||||||||
54,249 | Structured Asset Securities Corp., Series 2006-RF1, Class 1A, 0.372% (1-Month USD-LIBOR + 0.280%) due 1/25/36(b)(c) | 50,637 | ||||||||||
218,668 | Symphony CLO XIV Ltd., Series 2014-14A, Class AR, 1.136% (3-Month USD-LIBOR + 0.950%) due 7/14/26(b)(c) | 218,797 | ||||||||||
280,712 | EUR | Tikehau CLO II BV, Series 2A, Class AR, 0.880% (3-Month EURIBOR + 0.880%) due | 343,044 | |||||||||
391,576 | EUR | Toro European CLO 2 DAC, Series 2A, Class AR, 0.900% (3-Month EURIBOR + 0.900%) due 10/15/30(b)(c) | 477,879 | |||||||||
517,614 | GBP | Towd Point Mortgage Funding, Series 2019-A13A, Class A1, 0.949% (Sterling Overnight Index Average + 0.900%) due 7/20/45(b)(c) | 736,969 | |||||||||
278,970 | GBP | Towd Point Mortgage Funding Auburn 14 PLC, Series 2020-A14X, Class A, 0.949% (Sterling Overnight Index Average + 0.900%) due 5/20/45(b) | 398,064 | |||||||||
Towd Point Mortgage Trust: | ||||||||||||
998,246 | Series 2019-4, Class A1, 2.900% due 10/25/59(b)(c) | 1,039,464 | ||||||||||
277,439 | Series 2020-1, Class A1, 2.710% due 1/25/60(b)(c) | 285,935 | ||||||||||
394,178 | Tralee CLO V Ltd., Series 2018-5A, Class A1, 1.298% (3-Month USD-LIBOR + 1.110%) due 10/20/28(b)(c) | 394,375 | ||||||||||
200,000 | GBP | Trinity Square PLC, Series 2021-1A, Class A, zero coupon (Sterling Overnight Index Average + 0.850%) due 7/15/59(b)(c) | 284,411 | |||||||||
84,735 | Venture XVII CLO Ltd., Series 2014-17A, Class ARR, 1.064% (3-Month USD-LIBOR + 0.880%) due 4/15/27(b)(c) | 84,738 | ||||||||||
300,000 | Vibrant CLO VI Ltd., Series 2017-6A, Class AR, zero coupon (3-Month USD-LIBOR + 0.950%) due 6/20/29(b)(c) | 300,150 | ||||||||||
300,000 | Vibrant CLO VII Ltd., Series 2017-7A, Class A1R, 1.228% (3-Month USD-LIBOR + 1.040%) due 9/15/30(b)(c) | 300,167 | ||||||||||
400,000 | Voya CLO Ltd., Series 2017-1A, Class A1R, zero coupon (3-Month USD-LIBOR + 0.950%) due 4/17/30(b)(c) | 400,241 |
198
Schedules of Investments
(unaudited) (continued)
International Fixed Income Fund
Face Amount/Units | Security | Value | ||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS - 18.0% - (continued) | ||||||||||||
WaMu Mortgage Pass-Through Certificates Trust: | ||||||||||||
$ 6,010 | Series 2002-AR9, Class 1A, 1.527% (1-Year Treasury Average Rate + 1.400%) due | $ | 5,918 | |||||||||
1,726 | Series 2003-AR5, Class A7, 2.579% due 6/25/33(b) | 1,760 | ||||||||||
118,487 | Series 2003-AR9, Class 2A, 2.786% due 9/25/33(b) | 118,110 | ||||||||||
186,977 | Series 2004-AR1, Class A, 2.409% due 3/25/34(b) | 192,839 | ||||||||||
23,802 | Series 2005-AR13, Class A1A1, 0.672% (1-Month USD-LIBOR + 0.580%) due 10/25/45(b) | 23,811 | ||||||||||
31,426 | Series 2006-AR10, Class 2A1, 3.074% due 9/25/36(b) | 30,407 | ||||||||||
51,218 | Series 2006-AR13, Class 2A, 1.877% (11th District Cost of Funds Index + 1.500%) due 10/25/46(b) | 49,961 | ||||||||||
18,047 | Washington Mutual Mortgage Pass-Through Certificates WMALT, Series 2006-AR5, Class 3A, 1.067% (1-Year Treasury Average Rate + 0.940%) due 7/25/46(b) | 12,623 | ||||||||||
65,454 | Washington Mutual MSC Mortgage Pass-Through Certificates Trust, Series 2002-AR3, Class 1A7, 2.307% due 12/25/32(b) | 67,122 | ||||||||||
|
| |||||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost - $26,165,038) | 26,510,418 | |||||||||||
|
| |||||||||||
MORTGAGE-BACKED SECURITIES - 11.4% | ||||||||||||
FHLMC - 0.5% | ||||||||||||
Federal Home Loan Mortgage Corp. (FHLMC): | ||||||||||||
63,161 | 3.500% due 10/1/39 | 66,860 | ||||||||||
587,016 | 2.500% due 12/1/50 - 2/1/51 | 611,139 | ||||||||||
|
| |||||||||||
Total FHLMC | 677,999 | |||||||||||
|
| |||||||||||
FNMA - 10.9% | ||||||||||||
Federal National Mortgage Association (FNMA): | ||||||||||||
570,616 | 3.500% due 10/1/34 - 7/1/51 | 605,509 | ||||||||||
22,807 | 2.583% (1-Year CMT Index + 2.360%) due 11/1/34(b) | 24,287 | ||||||||||
1,750 | 6.500% due 8/1/37 | 1,827 | ||||||||||
540,134 | 3.000% due 10/1/49 - 5/1/51 | 576,738 | ||||||||||
12,774,529 | 4.000% due 5/1/50 - 7/1/51 | 13,657,499 | ||||||||||
1,253,924 | 2.500% due 11/1/50 - 12/1/50 | 1,302,915 | ||||||||||
|
| |||||||||||
Total FNMA | 16,168,775 | |||||||||||
|
| |||||||||||
GNMA - 0.0% | ||||||||||||
1,600 | Government National Mortgage Association II (GNMA), 6.000% due 9/20/38 | 1,757 | ||||||||||
|
| |||||||||||
TOTAL MORTGAGE-BACKED SECURITIES (Cost - $16,869,446) | 16,848,531 | |||||||||||
|
| |||||||||||
U.S. GOVERNMENT OBLIGATIONS - 3.3% | ||||||||||||
U.S. Treasury Bonds: | ||||||||||||
1,200,000 | 1.375% due 11/15/40 | 1,043,531 | ||||||||||
1,800,000 | 1.875% due 2/15/41 | 1,708,875 | ||||||||||
100,000 | 1.625% due 11/15/50 | 85,727 | ||||||||||
1,073,830 | U.S. Treasury Inflation Indexed Notes, 0.500% due 1/15/28 | 1,214,268 | ||||||||||
800,000 | U.S. Treasury Notes, 2.875% due 4/30/25 | 873,094 | ||||||||||
|
| |||||||||||
TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost - $4,803,997) | 4,925,495 | |||||||||||
|
| |||||||||||
ASSET-BACKED SECURITIES - 0.3% | ||||||||||||
Automobiles - 0.3% | ||||||||||||
400,000 | Toyota Auto Loan Extended Notes Trust, Series 2019-1A, Class A, 2.560% due 11/25/31(c) | 424,404 | ||||||||||
|
| |||||||||||
Student Loans - 0.0% | ||||||||||||
56,616 | Massachusetts Educational Financing Authority, Series 2008-1, Class A1, 1.126% (3-Month USD-LIBOR + 0.950%) due 4/25/38(b) | 56,934 | ||||||||||
|
| |||||||||||
TOTAL ASSET-BACKED SECURITIES (Cost - $456,548) | 481,338 | |||||||||||
|
| |||||||||||
TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS (Cost - $135,965,348) | 143,512,716 | |||||||||||
|
| |||||||||||
SHORT-TERM INVESTMENTS - 11.7% | ||||||||||||
SOVEREIGN BONDS - 1.7% | ||||||||||||
Israel - 1.4% | ||||||||||||
6,900,000 | ILS | Israel Treasury Bills, (0.051)% due 11/30/21(k) | 2,124,547 | |||||||||
|
|
199
Schedules of Investments
(unaudited) (continued)
International Fixed Income Fund
Face Amount/Units | Security | Value | ||||||||||
Japan - 0.3% | ||||||||||||
40,000,000 | JPY | Japan Treasury Discount Bills, (0.096)% due 6/21/21(k) | $ | 364,277 | ||||||||
|
| |||||||||||
TOTAL SOVEREIGN BONDS (Cost - $2,451,454) | 2,488,824 | |||||||||||
|
| |||||||||||
TIME DEPOSITS - 2.6% | ||||||||||||
3,313,098 | ANZ National Bank - London, 0.005% due 6/1/21 | 3,313,098 | ||||||||||
BBH - Grand Cayman: | ||||||||||||
4,585 | DKK | (0.550)% due 5/31/21 | 752 | |||||||||
25,317 | SEK | (0.270)% due 5/31/21 | 3,049 | |||||||||
54,647 | AUD | (0.200)% due 5/31/21 | 42,127 | |||||||||
501,801 | NOK | (0.130)% due 5/31/21 | 60,022 | |||||||||
8,290 | NZD | 0.005% due 5/31/21 | 6,007 | |||||||||
99,028 | CAD | 0.010% due 5/31/21 | 82,011 | |||||||||
60,674 | ZAR | 3.500% due 5/31/21 | 4,403 | |||||||||
BNP Paribas - Paris: | ||||||||||||
18,042 | CHF | (1.360)% due 5/31/21 | 20,058 | |||||||||
180,902 | EUR | (0.780)% due 5/31/21 | 220,610 | |||||||||
5,219 | GBP | Citibank - London, 0.005% due 6/1/21 | 7,407 | |||||||||
452 | HKD | HSBC Bank - Hong Kong, 0.000% due 5/31/21 | 58 | |||||||||
6,154 | SGD | HSBC Bank - Singapore, 0.005% due 5/31/21 | 4,654 | |||||||||
1,598,528 | JPY | Sumitomo Mitsui Banking Corp. - Tokyo, (0.310)% due 5/31/21 | 14,554 | |||||||||
|
| |||||||||||
TOTAL TIME DEPOSITS (Cost - $3,778,810) | 3,778,810 | |||||||||||
|
| |||||||||||
U.S. GOVERNMENT OBLIGATIONS - 7.4% | ||||||||||||
U.S. Cash Management Bills: | ||||||||||||
1,700,000 | 0.008% due 8/24/21(k) | 1,699,970 | ||||||||||
1,200,000 | 0.020% due 9/28/21(k) | 1,199,921 | ||||||||||
U.S. Treasury Bills: | ||||||||||||
1,600,000 | 0.011% due 7/27/21(k)(l) | 1,599,973 | ||||||||||
2,400,000 | 0.012% due 8/12/21(k) | 2,399,942 | ||||||||||
1,299,000 | 0.012% due 6/1/21(k) | 1,299,000 | ||||||||||
2,800,000 | 0.012% due 7/15/21(k) | 2,799,957 | ||||||||||
|
| |||||||||||
TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost - $10,998,763) | 10,998,763 | |||||||||||
|
| |||||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost - $17,229,027) | 17,266,397 | |||||||||||
|
| |||||||||||
TOTAL INVESTMENTS IN SECURITIES (Cost - $153,194,375) | 160,779,113 | |||||||||||
|
| |||||||||||
TOTAL INVESTMENTS IN PURCHASED OPTIONS (Cost - $72,849) | 78,545 | |||||||||||
|
| |||||||||||
TOTAL INVESTMENTS - 108.9% (Cost - $153,267,224) | 160,857,658 | |||||||||||
|
| |||||||||||
Liabilities in Excess of Other Assets - (8.9)% | (13,211,360 | ) | ||||||||||
|
| |||||||||||
TOTAL NET ASSETS - 100.0% | $ | 147,646,298 | ||||||||||
|
|
200
Schedules of Investments
(unaudited) (continued)
International Fixed Income Fund
@ | May 28, 2021 represents the last business day of the Funds quarterly period. |
| Amount denominated in U.S. dollars, unless otherwise noted. |
(a) | Illiquid security. |
(b) | Variable rate security. Interest rate disclosed is that which was in effect at May 28, 2021. |
(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 May 28, 2021, amounts to $43,215,770 and represents 29.3% of net assets. |
(d) | Security is perpetual in nature and has no stated maturity date. |
(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 May 28, 2021. |
(f) | The aggregate value of restricted securities (excluding 144A holdings) at May 28, 2021, amounts to $200,513 and represents 0.1% of net assets. |
(g) | Payment in-kind security for which part of the income earned may be paid as additional principal. |
(h) | Security is currently in default. |
(i) | Interest only security. |
(j) | Security is valued in good faith at fair value by or under the direction of the Board of Trustees. |
(k) | Rate shown represents yield-to-maturity. |
(l) | All or a portion of this security is held at the broker as collateral for open OTC derivative instruments. |
At May 28, 2021, for International Fixed Income Fund the aggregate cost of investments, the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:
Fund | Aggregate Cost For Federal Income Tax Purposes | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation | ||||||||||||
International Fixed Income Fund | $ | 153,267,224 | $ | 14,403,001 | $ | (7,370,467 | ) | $ | 7,032,534 |
Abbreviations used in this schedule:
CLO | | Collateralized Loan Obligation | ||
CMT | | Constant Maturity Treasury Rate | ||
CPI | | Consumer Price Index | ||
EURIBOR | | Euro Interbank Offered Rate | ||
ICE | | Intercontinental Exchange | ||
LIBOR | | London Interbank Offered Rate | ||
OTC | | Over the Counter | ||
PLC | | Public Limited Company | ||
REMICS | | Real Estate Mortgage Investment Conduit | ||
SOFR | | Secured Overnight Financing Rate |
Summary of Investments by Security Type^ | ||||
Sovereign Bonds | 39.2 | % | ||
Corporate Bonds & Notes | 19.7 | |||
Collateralized Mortgage Obligations | 16.5 | |||
Mortgage-Backed Securities | 10.5 | |||
U.S. Government Obligations | 3.1 | |||
Asset-Backed Securities | 0.3 | |||
Purchased Options | 0.0 | * | ||
Short-Term Investments | 10.7 | |||
|
| |||
100.0 | % | |||
|
|
^ | As a percentage of total investments. |
* | Position represents less than 0.05%. |
201
Schedules of Investments
(unaudited) (continued)
International Fixed Income Fund
At May 28, 2021 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 | ||||||||||||||||||
3,100,000 | 16,740 | EUR | OTC 10-Year Swaption, 3-Month EURIBOR, Put | GSC | 1/25/22 | 0.400% | $ | 32,040 | ||||||||||||||||
600,000 | $ | 808 | OTC 10-Year Swaption, 3-Month USD-LIBOR, Put | BOA | 7/15/21 | 1.600% | 6,183 | |||||||||||||||||
600,000 | 808 | OTC 10-Year Swaption, 3-Month USD-LIBOR, Put | BOA | 8/6/21 | 1.648% | 6,540 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Interest Rate Swaptions | $ | 44,763 | ||||||||||||||||||||||
|
|
Option on Futures
Number of Contracts | Notional Amount | Security Name | Counterparty | Expiration Date | Strike Price | Value | ||||||||||||||||||||
200,000 | 19,400,000 EUR | Franch Republic Government Bonds OAT Futures, Put(a) | BNP | 5/23/25 | EUR | 97.00 | $ | 33,782 | ||||||||||||||||||
|
| |||||||||||||||||||||||||
TOTAL OPTIONS CONTRACTS PURCHASED (Cost $72,849) | $ | 78,545 | ||||||||||||||||||||||||
|
|
| 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. |
202
Schedules of Investments
(unaudited) (continued)
International Fixed Income Fund
At May 28, 2021, International Fixed Income Fund held the following Options Contracts Written:
Credit Default Swaptions
Number of Contracts | Notional Amount | Security Name | Counterparty | Expiration Date | Exercise Rate | Value | ||||||||||||||||||
100,000 | $ | 109,599 | OTC Markit CDX North America High Yield Series 35 5-Year Index, Put | BNP | 7/21/21 | 100.000 | % | $ | 90 | |||||||||||||||
100,000 | 109,599 | OTC Markit CDX North America High Yield Series 35 5-Year Index, Put | GSC | 6/16/21 | 102.000 | % | 12 | |||||||||||||||||
300,000 | 137,400 | OTC Markit CDX North America Investment Grade Series 35 5-Year Index, Put | BOA | 6/16/21 | 0.800 | % | 6 | |||||||||||||||||
400,000 | 183,200 | OTC Markit CDX North America Investment Grade Series 35 5-Year Index, Put | BOA | 6/16/21 | 0.900 | % | 4 | |||||||||||||||||
300,000 | 137,400 | OTC Markit CDX North America Investment Grade Series 35 5-Year Index, Put | DUB | 6/16/21 | 0.900 | % | 3 | |||||||||||||||||
600,000 | 302,358 | OTC Markit CDX North America Investment Grade Series 36 5-Year Index, Call | BCLY | 8/18/21 | 0.475 | % | 366 | |||||||||||||||||
300,000 | 151,179 | OTC Markit CDX North America Investment Grade Series 36 5-Year Index, Call | DUB | 8/18/21 | 0.475 | % | 183 | |||||||||||||||||
600,000 | 302,358 | OTC Markit CDX North America Investment Grade Series 36 5-Year Index, Put | BCLY | 9/15/21 | 0.800 | % | 526 | |||||||||||||||||
500,000 | 251,965 | OTC Markit CDX North America Investment Grade Series 36 5-Year Index, Put | BOA | 8/18/21 | 0.750 | % | 326 | |||||||||||||||||
300,000 | 151,179 | OTC Markit CDX North America Investment Grade Series 36 5-Year Index, Put | DUB | 9/15/21 | 0.800 | % | 263 | |||||||||||||||||
1,100,000 | 554,323 | OTC Markit CDX North America Investment Grade Series 36 5-Year Index, Put | DUB | 9/15/21 | 0.900 | % | 740 | |||||||||||||||||
200,000 | 100,786 | OTC Markit CDX North America Investment Grade Series 36 5-Year Index, Put | GSC | 7/21/21 | 0.750 | % | 73 | |||||||||||||||||
200,000 | 100,786 | OTC Markit CDX North America Investment Grade Series 36 5-Year Index, Put | GSC | 8/18/21 | 0.800 | % | 110 | |||||||||||||||||
400,000 | 201,572 | OTC Markit CDX North America Investment Grade Series 36 5-Year Index, Put | GSC | 6/16/21 | 0.850 | % | 8 | |||||||||||||||||
700,000 | 352,751 | OTC Markit CDX North America Investment Grade Series 36 5-Year Index, Put | GSC | 8/18/21 | 0.850 | % | 318 | |||||||||||||||||
400,000 | 201,572 | OTC Markit CDX North America Investment Grade Series 36 5-Year Index, Put | GSC | 7/21/21 | 0.900 | % | 80 | |||||||||||||||||
300,000 | 127,668 | EUR | OTC Markit iTraxx Europe Series 34 5-Year Index, Call | BCLY | 7/21/21 | 0.400 | % | 169 | ||||||||||||||||
300,000 | 255,336 | EUR | OTC Markit iTraxx Europe Series 34 5-Year Index, Put | BCLY | 7/21/21 | 0.750 | % | 133 | ||||||||||||||||
600,000 | 255,336 | EUR | OTC Markit iTraxx Europe Series 34 5-Year Index, Put | BCLY | 6/16/21 | 0.800 | % | 8 | ||||||||||||||||
300,000 | 127,668 | EUR | OTC Markit iTraxx Europe Series 34 5-Year Index, Put | BCLY | 6/16/21 | 0.850 | % | 3 | ||||||||||||||||
200,000 | 85,112 | EUR | OTC Markit iTraxx Europe Series 34 5-Year Index, Put | BOA | 6/16/21 | 0.800 | % | 3 | ||||||||||||||||
300,000 | 127,668 | EUR | OTC Markit iTraxx Europe Series 34 5-Year Index, Put | DUB | 6/16/21 | 0.850 | % | 3 | ||||||||||||||||
200,000 | 85,112 | EUR | OTC Markit iTraxx Europe Series 34 5-Year Index, Put | GSC | 7/21/21 | 0.750 | % | 88 | ||||||||||||||||
300,000 | 127,668 | EUR | OTC Markit iTraxx Europe Series 34 5-Year Index, Put | GSC | 6/16/21 | 0.800 | % | 4 | ||||||||||||||||
300,000 | 127,668 | EUR | OTC Markit iTraxx Europe Series 34 5-Year Index, Put | GSC | 6/16/21 | 0.850 | % | 3 | ||||||||||||||||
300,000 | 151,020 | EUR | OTC Markit iTraxx Europe Series 35 5-Year Index, Put | BCLY | 7/21/21 | 0.700 | % | 152 | ||||||||||||||||
1,200,000 | 604,080 | EUR | OTC Markit iTraxx Europe Series 35 5-Year Index, Put | BCLY | 8/18/21 | 0.700 | % | 1,076 | ||||||||||||||||
400,000 | 201,360 | EUR | OTC Markit iTraxx Europe Series 35 5-Year Index, Put | BCLY | 7/21/21 | 0.750 | % | 168 | ||||||||||||||||
400,000 | 201,360 | EUR | OTC Markit iTraxx Europe Series 35 5-Year Index, Put | BCLY | 8/18/21 | 0.800 | % | 257 | ||||||||||||||||
600,000 | 302,040 | EUR | OTC Markit iTraxx Europe Series 35 5-Year Index, Put | BCLY | 8/18/21 | 0.750 | % | 456 | ||||||||||||||||
200,000 | 100,680 | EUR | OTC Markit iTraxx Europe Series 35 5-Year Index, Put | BCLY | 9/15/21 | 0.800 | % | 198 | ||||||||||||||||
200,000 | 100,680 | EUR | OTC Markit iTraxx Europe Series 35 5-Year Index, Put | BCLY | 8/18/21 | 0.850 | % | 113 | ||||||||||||||||
200,000 | 100,680 | EUR | OTC Markit iTraxx Europe Series 35 5-Year Index, Put | BNP | 9/15/21 | 0.800 | % | 198 | ||||||||||||||||
300,000 | 151,020 | EUR | OTC Markit iTraxx Europe Series 35 5-Year Index, Put | BNP | 8/18/21 | 0.825 | % | 178 | ||||||||||||||||
200,000 | 100,680 | EUR | OTC Markit iTraxx Europe Series 35 5-Year Index, Put | BOA | 7/21/21 | 0.750 | % | 84 | ||||||||||||||||
300,000 | 151,020 | EUR | OTC Markit iTraxx Europe Series 35 5-Year Index, Put | DUB | 8/18/21 | 0.800 | % | 193 | ||||||||||||||||
600,000 | 302,040 | EUR | OTC Markit iTraxx Europe Series 35 5-Year Index, Put | DUB | 9/15/21 | 0.800 | % | 595 | ||||||||||||||||
400,000 | 201,360 | EUR | OTC Markit iTraxx Europe Series 35 5-Year Index, Put | DUB | 8/18/21 | 0.850 | % | 225 | ||||||||||||||||
400,000 | 201,360 | EUR | OTC Markit iTraxx Europe Series 35 5-Year Index, Put | GSC | 7/21/21 | 0.750 | % | 168 | ||||||||||||||||
|
| |||||||||||||||||||||||
Total Credit Default Swaptions | $ | 7,583 | ||||||||||||||||||||||
|
|
Currency Options
Number of Contracts | Notional Amount | Security Name | Counterparty | Expiration Date | Strike Price | Value | ||||||||||||||||||||||
119,000 | 923,010 | CNH | OTC Euro versus Chinese Onshore Renminbi, Call | BOA | 6/4/21 | CNH | 7.91 | $ | 4 | |||||||||||||||||||
119,000 | 119,000 | EUR | OTC Euro versus Chinese Onshore Renminbi, Put | BOA | 6/4/21 | CNH | 7.66 | 12 | ||||||||||||||||||||
742,000 | 895,965 | CAD | OTC U.S. Dollar versus Canadian Dollar, Call | GSC | 2/11/22 | CAD | 1.27 | 6,587 | ||||||||||||||||||||
214,000 | 695,286 | ILS | OTC U.S. Dollar versus Israeli New Shekel, Call | JPM | 6/30/21 | ILS | 3.42 | 85 | ||||||||||||||||||||
214,000 | $ | 214,000 | OTC U.S. Dollar versus Israeli New Shekel, Put | JPM | 6/30/21 | ILS | 3.26 | 1,904 | ||||||||||||||||||||
|
| |||||||||||||||||||||||||||
Total Currency Options | $ | 8,592 | ||||||||||||||||||||||||||
|
|
203
Schedules of Investments
(unaudited) (continued)
International Fixed Income Fund
Interest Rate Swaptions
Number of Contracts | Notional Amount | Security Name | Counterparty | Expiration Date | Exercise Rate | Value | ||||||||||||||||||
1,300,000 | 1,082 | GBP | OTC 1-Year Swaption, 3-Month GBP-EURIBOR, Call | BCLY | 2/7/22 | 0.010 | % | $ | 446 | |||||||||||||||
1,400,000 | 1,166 | GBP | OTC 1-Year Swaption, 3-Month GBP-EURIBOR, Call | GSC | 2/7/22 | 0.010 | % | 481 | ||||||||||||||||
6,900,000 | 5,744 | GBP | OTC 1-Year Swaption, 3-Month GBP-EURIBOR, Call | RBS | 2/7/22 | 0.010 | % | 2,369 | ||||||||||||||||
1,300,000 | 1,082 | GBP | OTC 1-Year Swaption, 3-Month GBP-EURIBOR, Put | BCLY | 2/7/22 | 0.010 | % | 3,078 | ||||||||||||||||
1,400,000 | 1,166 | GBP | OTC 1-Year Swaption, 3-Month GBP-EURIBOR, Put | GSC | 2/7/22 | 0.010 | % | 3,314 | ||||||||||||||||
6,900,000 | 5,744 | GBP | OTC 1-Year Swaption, 3-Month GBP-EURIBOR, Put | RBS | 2/7/22 | 0.010 | % | 16,335 | ||||||||||||||||
3,300,000 | $4,433 | OTC 3-Year Swaption, 3-Month USD-LIBOR, Put | BCLY | 8/23/21 | 1.448 | % | 7 | |||||||||||||||||
8,300,000 | 11,174 | OTC 3-Year Swaption, 3-Month USD-LIBOR, Put | BOA | 9/15/21 | 1.880 | % | 9 | |||||||||||||||||
5,100,000 | 6,866 | OTC 3-Year Swaption, 3-Month USD-LIBOR, Put | DUB | 12/21/21 | 2.020 | % | 383 | |||||||||||||||||
500,000 | 673 | OTC 7-Year Swaption, 3-Month USD-LIBOR, Call | GSC | 6/7/21 | 1.153 | % | 158 | |||||||||||||||||
500,000 | 673 | OTC 7-Year Swaption, 3-Month USD-LIBOR, Put | GSC | 6/7/21 | 1.433 | % | 92 | |||||||||||||||||
600,000 | 808 | OTC 10-Year Swaption, 3-Month USD-LIBOR, Call | BOA | 7/15/21 | 1.400 | % | 1,136 | |||||||||||||||||
600,000 | 808 | OTC 10-Year Swaption, 3-Month USD-LIBOR, Call | BOA | 8/6/21 | 1.448 | % | 2,461 | |||||||||||||||||
500,000 | 673 | OTC 10-Year Swaption, 3-Month USD-LIBOR, Call | GSC | 6/16/21 | 1.433 | % | 391 | |||||||||||||||||
700,000 | 942 | OTC 10-Year Swaption, 3-Month USD-LIBOR, Call | GSC | 7/13/21 | 1.508 | % | 2,899 | |||||||||||||||||
600,000 | 808 | OTC 10-Year Swaption, 3-Month USD-LIBOR, Put | BOA | 7/15/21 | 1.800 | % | 2,131 | |||||||||||||||||
600,000 | 808 | OTC 10-Year Swaption, 3-Month USD-LIBOR, Put | BOA | 8/6/21 | 1.848 | % | 2,753 | |||||||||||||||||
500,000 | 673 | OTC 10-Year Swaption, 3-Month USD-LIBOR, Put | GSC | 6/16/21 | 1.833 | % | 395 | |||||||||||||||||
700,000 | 942 | OTC 10-Year Swaption, 3-Month USD-LIBOR, Put | GSC | 7/13/21 | 1.908 | % | 1,224 | |||||||||||||||||
200,000 | 1,080 | EUR | OTC 25-Year Swaption, 3-Month EURIBOR, Put | BNP | 5/23/25 | 0.451 | % | 32,508 | ||||||||||||||||
200,000 | 269 | OTC 30-Year Swaption, 3-Month USD-LIBOR, Call | BCLY | 6/18/21 | 1.935 | % | 1,244 | |||||||||||||||||
400,000 | 539 | OTC 30-Year Swaption, 3-Month USD-LIBOR, Call | BNP | 6/21/21 | 1.968 | % | 3,539 | |||||||||||||||||
200,000 | 269 | OTC 30-Year Swaption, 3-Month USD-LIBOR, Put | BCLY | 6/18/21 | 2.235 | % | 519 | |||||||||||||||||
400,000 | 539 | OTC 30-Year Swaption, 3-Month USD-LIBOR, Put | BNP | 6/21/21 | 2.268 | % | 800 | |||||||||||||||||
1,300,000 | 1,750 | OTC 30-Year Swaption, 3-Month USD-LIBOR, Put | GSC | 1/25/22 | 2.320 | % | 37,653 | |||||||||||||||||
|
| |||||||||||||||||||||||
Total Interest Rate Swaptions | $ | 116,325 | ||||||||||||||||||||||
|
| |||||||||||||||||||||||
TOTAL OPTIONS CONTRACTS WRITTEN (Premiums received - $236,242) |
| $ | 132,500 | |||||||||||||||||||||
|
|
| Amount denominated in U.S. dollars, unless otherwise noted. |
204
Schedules of Investments
(unaudited) (continued)
International Fixed Income Fund
At May 28, 2021, International Fixed Income Fund held the following Forward Sale Commitments:
Face Amounts | Security | Value | ||||||
Federal National Mortgage Association (FNMA): | ||||||||
$ 100,000 | 3.500% due 6/1/35(a) | $ | 106,814 | |||||
4,750,000 | 2.000% due 7/1/50(a) | 4,787,295 | ||||||
2,100,000 | 3.000% due 8/1/50(a) | 2,190,234 | ||||||
1,100,000 | 2.500% due 6/1/51(a) | 1,139,058 | ||||||
200,000 | 3.000% due 6/1/51(a) | 208,922 | ||||||
|
| |||||||
TOTAL FORWARD SALE COMMITMENTS (Proceeds - $8,427,496) | $ | 8,432,323 | ||||||
|
|
| Amount denominated in U.S. dollars, unless otherwise noted. |
(a) | This security is traded on a TBA basis (see Note 1). |
205
Schedules of Investments
(unaudited) (continued)
International Fixed Income Fund
At May 28, 2021, International Fixed Income Fund had open exchange-traded futures contracts as described below.
The unrealized appreciation (depreciation) on the open contracts were as follows:
Open Futures Contracts | Number of Contracts | Expiration Date (Month/Year) | Notional Amount | Market Value | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Contracts to Buy: | ||||||||||||||||||||
Australian Government 10-Year Bond June Futures | 31 | 6/21 | $ | 3,320,153 | $ | 3,349,859 | $ | 29,706 | ||||||||||||
Australian Government 3-Year Bond June Futures | 54 | 6/21 | 4,871,806 | 4,881,928 | 10,122 | |||||||||||||||
Euro-BTP September Futures | 76 | 9/21 | 13,893,568 | 13,905,080 | 11,512 | |||||||||||||||
Euro-Buxl 30-Year Bond June Futures | 8 | 6/21 | 2,027,492 | 1,960,761 | (66,731 | ) | ||||||||||||||
Euro-OAT June Futures | 43 | 6/21 | 8,504,476 | 8,412,184 | (92,292 | ) | ||||||||||||||
Japan Government 10-Year Bond June Futures | 7 | 6/21 | 9,619,361 | 9,650,931 | 31,570 | |||||||||||||||
U.S. Treasury 5-Year Note September Futures | 64 | 9/21 | 7,916,611 | 7,926,500 | 9,889 | |||||||||||||||
U.S. Treasury 10-Year Note September Futures | 80 | 9/21 | 10,524,300 | 10,555,000 | 30,700 | |||||||||||||||
U.S. Treasury Ultra Long Bond September Futures | 2 | 9/21 | 366,592 | 370,500 | 3,908 | |||||||||||||||
U.S. Ultra Long Bond September Futures | 27 | 9/21 | 3,908,871 | 3,913,735 | 4,864 | |||||||||||||||
|
| |||||||||||||||||||
(26,752 | ) | |||||||||||||||||||
|
| |||||||||||||||||||
Contracts to Sell: | ||||||||||||||||||||
Canada Government 10-Year Bond September Futures | 4 | 9/21 | 476,017 | 477,847 | (1,830 | ) | ||||||||||||||
Euro-Bund September Futures | 14 | 9/21 | 2,930,239 | 2,927,849 | 2,390 | |||||||||||||||
Euro-Schatz Note September Futures | 24 | 9/21 | 3,282,114 | 3,282,553 | (439 | ) | ||||||||||||||
U.S. Treasury Long Bond September Futures | 11 | 9/21 | 1,712,392 | 1,721,844 | (9,452 | ) | ||||||||||||||
United Kingdom Treasury 10-Year Gilt September Futures | 2 | 9/21 | 360,051 | 361,186 | (1,135 | ) | ||||||||||||||
|
| |||||||||||||||||||
(10,466 | ) | |||||||||||||||||||
|
| |||||||||||||||||||
Net Unrealized Depreciation on Open Exchange Traded Futures Contracts |
| $ | (37,218 | ) | ||||||||||||||||
|
|
At May 28, 2021, International Fixed Income Fund had deposited cash of $813,000 with a broker or brokers as margin collateral on an open exchange-traded futures contracts.
206
Schedules of Investments
(unaudited) (continued)
International Fixed Income Fund
At May 28, 2021, International Fixed Income Fund had open forward foreign currency contracts as described below.
The unrealized appreciation (depreciation) on the open contracts were as follows:
Foreign Currency | Local Currency | In Exchange For | Counterparty | Market Value | Settlement Date | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||||||
Contracts to Buy: | |||||||||||||||||||||||||||||||||||
British Pound | 10,321,189 | USD | 14,590,662 | GSC | $14,647,838 | 6/2/21 | $ | 57,176 | |||||||||||||||||||||||||||
Chinese Offshore Renminbi | 5,538,531 | USD | 843,964 | BCLY | 870,018 | 6/16/21 | 26,054 | ||||||||||||||||||||||||||||
Chinese Offshore Renminbi | 1,177,000 | USD | 179,747 | BNP | 184,888 | 6/16/21 | 5,141 | ||||||||||||||||||||||||||||
Chinese Offshore Renminbi | 4,285,744 | USD | 650,429 | GSC | 673,223 | 6/16/21 | 22,794 | ||||||||||||||||||||||||||||
Chinese Offshore Renminbi | 356,000 | USD | 54,048 | HSBC | 55,922 | 6/16/21 | 1,874 | ||||||||||||||||||||||||||||
Danish Krone | 625,000 | USD | 102,951 | BCLY | 102,537 | 7/1/21 | (414 | ) | |||||||||||||||||||||||||||
Danish Krone | 540,000 | USD | 87,073 | BOA | 88,592 | 7/1/21 | 1,519 | ||||||||||||||||||||||||||||
Danish Krone | 965,000 | USD | 153,419 | JPM | 158,317 | 7/1/21 | 4,898 | ||||||||||||||||||||||||||||
Euro | 239,000 | USD | 288,023 | BCLY | 291,461 | 6/2/21 | 3,438 | ||||||||||||||||||||||||||||
Euro | 62,000 | USD | 75,635 | BOA | 75,609 | 6/2/21 | (26 | ) | |||||||||||||||||||||||||||
Euro | 356,000 | USD | 429,293 | GSC | 434,142 | 6/2/21 | 4,849 | ||||||||||||||||||||||||||||
Euro | 94,000 | USD | 113,408 | JPM | 114,633 | 6/2/21 | 1,225 | ||||||||||||||||||||||||||||
Euro | 83,000 | USD | 99,705 | UBS | 101,219 | 6/2/21 | 1,514 | ||||||||||||||||||||||||||||
Indonesian Rupiah | 5,430,920,000 | USD | 373,105 | SCB | 379,740 | 6/16/21 | 6,635 | ||||||||||||||||||||||||||||
Korean Won | 1,526,686,846 | USD | 1,357,948 | BNP | 1,370,528 | 6/16/21 | 12,580 | ||||||||||||||||||||||||||||
Korean Won | 92,981,000 | USD | 82,989 | SOG | 83,470 | 6/16/21 | 481 | ||||||||||||||||||||||||||||
Malaysian Ringgit | 2,615,253 | USD | 630,839 | BNP | 632,143 | 6/23/21 | 1,304 | ||||||||||||||||||||||||||||
Malaysian Ringgit | 1,288,375 | USD | 310,669 | SCB | 311,418 | 6/23/21 | 749 | ||||||||||||||||||||||||||||
Mexican Peso | 1,082,000 | USD | 54,604 | BNP | 54,327 | 6/2/21 | (277 | ) | |||||||||||||||||||||||||||
Mexican Peso | 7,076,806 | USD | 336,520 | HSBC | 351,582 | 9/3/21 | 15,062 | ||||||||||||||||||||||||||||
New Taiwan Dollar | 361,790 | USD | 13,000 | BNP | 13,066 | 6/16/21 | 66 | ||||||||||||||||||||||||||||
New Taiwan Dollar | 27,808 | USD | 1,000 | HSBC | 1,004 | 6/16/21 | 4 | ||||||||||||||||||||||||||||
New Taiwan Dollar | 4,614,800 | USD | 166,000 | JPM | 166,661 | 6/16/21 | 661 | ||||||||||||||||||||||||||||
New Taiwan Dollar | 22,789,480 | USD | 818,000 | SCB | 823,028 | 6/16/21 | 5,028 | ||||||||||||||||||||||||||||
New Taiwan Dollar | 610,060 | USD | 22,000 | SCB | 22,032 | 6/16/21 | 32 | ||||||||||||||||||||||||||||
New Zealand Dollar | 216,000 | USD | 156,481 | HSBC | 156,535 | 6/2/21 | 54 | ||||||||||||||||||||||||||||
Norwegian Krone | 5,962,692 | USD | 727,468 | BNP | 713,220 | 6/2/21 | (14,248 | ) | |||||||||||||||||||||||||||
Norwegian Krone | 5,962,692 | USD | 711,514 | SCB | 713,263 | 7/2/21 | 1,749 | ||||||||||||||||||||||||||||
Peruvian Sol | 432,956 | USD | 115,609 | GSC | 113,637 | 6/14/21 | (1,972 | ) | |||||||||||||||||||||||||||
Peruvian Sol | 199,201 | USD | 53,000 | HSBC | 52,284 | 6/14/21 | (716 | ) | |||||||||||||||||||||||||||
Peruvian Sol | 119,968 | USD | 32,000 | HSBC | 31,488 | 6/14/21 | (512 | ) | |||||||||||||||||||||||||||
Peruvian Sol | 3,569,136 | USD | 932,668 | BCLY | 936,911 | 6/15/21 | 4,243 | ||||||||||||||||||||||||||||
Peruvian Sol | 335,064 | USD | 90,592 | HSBC | 87,998 | 12/9/21 | (2,594 | ) | |||||||||||||||||||||||||||
Polish Zloty | 3,033,000 | USD | 796,950 | GSC | 825,178 | 9/16/21 | 28,228 | ||||||||||||||||||||||||||||
Russian Ruble | 3,152,278 | USD | 41,748 | BOA | 42,928 | 6/22/21 | 1,180 | ||||||||||||||||||||||||||||
Russian Ruble | 1,397,410 | USD | 18,299 | GSC | 19,030 | 6/22/21 | 731 | ||||||||||||||||||||||||||||
Russian Ruble | 2,421,944 | USD | 32,553 | HSBC | 32,982 | 6/22/21 | 429 | ||||||||||||||||||||||||||||
Russian Ruble | 7,707,626 | USD | 103,880 | JPM | 104,963 | 6/22/21 | 1,083 | ||||||||||||||||||||||||||||
Russian Ruble | 2,016,421 | USD | 26,943 | UBS | 27,459 | 6/22/21 | 516 | ||||||||||||||||||||||||||||
Russian Ruble | 2,016,321 | USD | 26,989 | UBS | 27,458 | 6/22/21 | 469 | ||||||||||||||||||||||||||||
Russian Ruble | 6,138,673 | USD | 79,543 | GSC | 83,234 | 7/22/21 | 3,691 | ||||||||||||||||||||||||||||
Russian Ruble | 2,822,670 | USD | 36,338 | SOG | 38,272 | 7/22/21 | 1,934 | ||||||||||||||||||||||||||||
Russian Ruble | 6,661,204 | USD | 86,862 | UBS | 90,319 | 7/22/21 | 3,457 | ||||||||||||||||||||||||||||
Russian Ruble | 3,090,043 | USD | 40,306 | UBS | 41,897 | 7/22/21 | 1,591 | ||||||||||||||||||||||||||||
Russian Ruble | 2,930,314 | USD | 38,971 | BOA | 39,563 | 8/20/21 | 592 | ||||||||||||||||||||||||||||
Russian Ruble | 6,403,208 | USD | 85,459 | GSC | 86,452 | 8/20/21 | 993 | ||||||||||||||||||||||||||||
Russian Ruble | 3,003,326 | USD | 39,800 | HSBC | 40,549 | 8/20/21 | 749 | ||||||||||||||||||||||||||||
Russian Ruble | 3,025,036 | USD | 40,266 | HSBC | 40,842 | 8/20/21 | 576 | ||||||||||||||||||||||||||||
Russian Ruble | 3,350,116 | USD | 44,418 | SOG | 45,231 | 8/20/21 | 813 | ||||||||||||||||||||||||||||
South African Rand | 2,129,077 | USD | 137,971 | HSBC | 154,241 | 6/15/21 | 16,270 | ||||||||||||||||||||||||||||
South African Rand | 921,719 | USD | 60,311 | JPM | 66,774 | 6/15/21 | 6,463 | ||||||||||||||||||||||||||||
|
| ||||||||||||||||||||||||||||||||||
228,136 | |||||||||||||||||||||||||||||||||||
|
|
207
Schedules of Investments
(unaudited) (continued)
International Fixed Income Fund
Foreign Currency | Local Currency | In Exchange For | Counterparty | Market Value | Settlement Date | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||||||
Contracts to Sell: | |||||||||||||||||||||||||||||||||||
Australian Dollar | 820,000 | USD | 634,333 | BCLY | 632,138 | 6/2/21 | 2,195 | ||||||||||||||||||||||||||||
British Pound | 46,000 | USD | 63,878 | BOA | 65,283 | 6/2/21 | (1,405 | ) | |||||||||||||||||||||||||||
British Pound | 107,000 | USD | 151,519 | HSBC | 151,854 | 6/2/21 | (335 | ) | |||||||||||||||||||||||||||
British Pound | 10,168,189 | USD | 14,174,654 | HSBC | 14,430,701 | 6/2/21 | (256,047 | ) | |||||||||||||||||||||||||||
British Pound | 10,321,189 | USD | 14,591,342 | GSC | 14,648,442 | 7/2/21 | (57,100 | ) | |||||||||||||||||||||||||||
Canadian Dollar | 2,090,848 | USD | 1,699,661 | BNP | 1,731,551 | 6/2/21 | (31,890 | ) | |||||||||||||||||||||||||||
Canadian Dollar | 502,295 | USD | 405,018 | HSBC | 415,980 | 6/2/21 | (10,962 | ) | |||||||||||||||||||||||||||
Canadian Dollar | 66,512 | USD | 55,000 | GSC | 55,069 | 2/14/22 | (69 | ) | |||||||||||||||||||||||||||
Canadian Dollar | 106,088 | USD | 88,000 | GSC | 87,837 | 2/14/22 | 163 | ||||||||||||||||||||||||||||
Chinese Offshore Renminbi | 3,711,930 | USD | 568,023 | GSC | 583,087 | 6/16/21 | (15,064 | ) | |||||||||||||||||||||||||||
Chinese Offshore Renminbi | 2,429,000 | USD | 369,974 | GSC | 381,558 | 6/16/21 | (11,584 | ) | |||||||||||||||||||||||||||
Chinese Onshore Renminbi | 2,996,814 | USD | 459,987 | JPM | 470,135 | 6/16/21 | (10,148 | ) | |||||||||||||||||||||||||||
Danish Krone | 14,200,422 | USD | 2,259,770 | BOA | 2,329,705 | 7/1/21 | (69,935 | ) | |||||||||||||||||||||||||||
Danish Krone | 2,720,000 | USD | 435,808 | GSC | 446,240 | 7/1/21 | (10,432 | ) | |||||||||||||||||||||||||||
Danish Krone | 19,416,048 | USD | 3,079,648 | JPM | 3,185,374 | 7/1/21 | (105,726 | ) | |||||||||||||||||||||||||||
Euro | 329,000 | USD | 401,162 | JPM | 401,216 | 6/2/21 | (54 | ) | |||||||||||||||||||||||||||
Euro | 27,368,764 | USD | 32,964,984 | SCB | 33,376,216 | 6/2/21 | (411,232 | ) | |||||||||||||||||||||||||||
Israeli New Shekel | 1,012,017 | USD | 308,906 | BNP | 312,136 | 11/12/21 | (3,230 | ) | |||||||||||||||||||||||||||
Israeli New Shekel | 1,037,643 | USD | 319,879 | HSBC | 320,040 | 11/12/21 | (161 | ) | |||||||||||||||||||||||||||
Israeli New Shekel | 4,501,800 | USD | 1,361,502 | BOA | 1,388,867 | 11/30/21 | (27,365 | ) | |||||||||||||||||||||||||||
Israeli New Shekel | 1,300,000 | USD | 396,191 | HSBC | 401,068 | 11/30/21 | (4,877 | ) | |||||||||||||||||||||||||||
Israeli New Shekel | 1,100,330 | USD | 339,839 | JPM | 339,467 | 11/30/21 | 372 | ||||||||||||||||||||||||||||
Israeli New Shekel | 1,583,025 | USD | 488,860 | GSC | 488,895 | 1/31/22 | (35 | ) | |||||||||||||||||||||||||||
Israeli New Shekel | 1,583,100 | USD | 483,198 | GSC | 488,918 | 1/31/22 | (5,720 | ) | |||||||||||||||||||||||||||
Japanese Yen | 2,001,115,991 | USD | 18,310,874 | BNP | 18,219,293 | 6/2/21 | 91,581 | ||||||||||||||||||||||||||||
Japanese Yen | 40,000,000 | USD | 368,787 | BNP | 364,236 | 6/21/21 | 4,551 | ||||||||||||||||||||||||||||
Korean Won | 152,509,500 | USD | 135,000 | BNP | 136,910 | 6/16/21 | (1,910 | ) | |||||||||||||||||||||||||||
Korean Won | 155,443,200 | USD | 138,000 | SCB | 139,543 | 6/16/21 | (1,543 | ) | |||||||||||||||||||||||||||
Korean Won | 73,242,000 | USD | 65,000 | SCB | 65,750 | 6/16/21 | (750 | ) | |||||||||||||||||||||||||||
Malaysian Ringgit | 3,903,628 | USD | 959,429 | DUB | 943,561 | 6/23/21 | 15,868 | ||||||||||||||||||||||||||||
Malaysian Ringgit | 2,615,253 | USD | 628,671 | BNP | 629,909 | 9/22/21 | (1,238 | ) | |||||||||||||||||||||||||||
Mexican Peso | 1,082,000 | USD | 53,468 | RBS | 54,327 | 6/2/21 | (859 | ) | |||||||||||||||||||||||||||
Mexican Peso | 1,082,000 | USD | 53,599 | BNP | 53,337 | 11/8/21 | 262 | ||||||||||||||||||||||||||||
New Taiwan Dollar | 28,431,525 | USD | 1,034,212 | SCB | 1,026,786 | 6/16/21 | 7,426 | ||||||||||||||||||||||||||||
New Zealand Dollar | 222,000 | USD | 160,058 | GSC | 160,883 | 6/2/21 | (825 | ) | |||||||||||||||||||||||||||
Peruvian Sol | 752,125 | USD | 202,587 | GSC | 197,408 | 6/14/21 | 5,179 | ||||||||||||||||||||||||||||
Peruvian Sol | 3,569,136 | USD | 983,558 | HSBC | 936,911 | 6/15/21 | 46,647 | ||||||||||||||||||||||||||||
Peruvian Sol | 3,569,136 | USD | 933,132 | BCLY | 938,931 | 7/13/21 | (5,799 | ) | |||||||||||||||||||||||||||
Peruvian Sol | 1,589,953 | USD | 435,323 | GSC | 418,227 | 7/19/21 | 17,096 | ||||||||||||||||||||||||||||
Peruvian Sol | 118,757 | USD | 32,287 | GSC | 31,227 | 9/7/21 | 1,060 | ||||||||||||||||||||||||||||
Peruvian Sol | 432,956 | USD | 115,507 | GSC | 113,743 | 11/12/21 | 1,764 | ||||||||||||||||||||||||||||
Polish Zloty | 490,883 | USD | 129,013 | BCLY | 133,553 | 9/16/21 | (4,540 | ) | |||||||||||||||||||||||||||
Polish Zloty | 747,229 | USD | 196,851 | BOA | 203,296 | 9/16/21 | (6,445 | ) | |||||||||||||||||||||||||||
Polish Zloty | 535,550 | USD | 141,044 | GSC | 145,705 | 9/16/21 | (4,661 | ) | |||||||||||||||||||||||||||
Polish Zloty | 250,221 | USD | 65,771 | GSC | 68,077 | 9/16/21 | (2,306 | ) | |||||||||||||||||||||||||||
Polish Zloty | 895,901 | USD | 233,923 | HSBC | 243,744 | 9/16/21 | (9,821 | ) | |||||||||||||||||||||||||||
South African Rand | 702,023 | USD | 46,039 | BOA | 50,858 | 6/15/21 | (4,819 | ) | |||||||||||||||||||||||||||
South African Rand | 677,375 | USD | 45,097 | HSBC | 49,072 | 6/15/21 | (3,975 | ) | |||||||||||||||||||||||||||
South African Rand | 825,830 | USD | 54,438 | UBS | 59,827 | 6/15/21 | (5,389 | ) | |||||||||||||||||||||||||||
South African Rand | 831,772 | USD | 54,739 | UBS | 60,258 | 6/15/21 | (5,519 | ) | |||||||||||||||||||||||||||
Swiss Franc | 46,000 | USD | 50,457 | UBS | 51,140 | 6/2/21 | (683 | ) | |||||||||||||||||||||||||||
|
| ||||||||||||||||||||||||||||||||||
(900,289 | ) | ||||||||||||||||||||||||||||||||||
|
| ||||||||||||||||||||||||||||||||||
Net Unrealized Depreciation on Open Forward Foreign Currency Contracts |
| $ | (672,153 | ) | |||||||||||||||||||||||||||||||
|
|
208
Schedules of Investments
(unaudited) (continued)
International Fixed Income Fund
At May 28, 2021, International Fixed Income Fund held the following OTC Total Return Swap Contracts:
Fund Pay Floating Rate Index | Fund Receive Floating Rate Index | Financing Rate | Payment Frequency | Maturity Date | Counterparty | Notional Amount | Market Value | Upfront Payment Paid | Unrealized Depreciation | |||||||||||||||||||||||
iBoxx Investment Grade Index | 3-Month USD-LIBOR | 3.355 | % | PAM* | 12/20/21 | GSC | USD | 8,500,000 | $ | (133,250 | ) | $ | 4,564 | $ | (137,814 | ) | ||||||||||||||||
|
|
|
|
|
|
* | PAM - paid at maturity. |
209
Schedules of Investments
(unaudited) (continued)
International Fixed Income Fund
At May 28, 2021, International Fixed Income Fund held the following Centrally Cleared Interest Rate Swap Contracts:
Pay/Receive Floating Rate | Floating Rate Index | Fixed Rate | Maturity Date | Payment Frequency | Notional Amount | Market Value | Upfront Payment Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||
Pay | Sterling Overnight Index Average | 0.000 | % | 6/16/23 | 12-Month | GBP | 1,100,000 | $ | (4,607 | ) | 1,412 | $ | (6,019 | ) | ||||||||||||||||||
Pay | Sterling Overnight Index Average | 0.000 | % | 6/16/26 | 12-Month | GBP | 500,000 | (16,246 | ) | (6,371 | ) | (9,875 | ) | |||||||||||||||||||
Pay | Sterling Overnight Index Average | 0.250 | % | 6/16/31 | 12-Month | GBP | 800,000 | (57,380 | ) | (44,671 | ) | (12,709 | ) | |||||||||||||||||||
Receive | Sterling Overnight Index Average | 0.750 | % | 9/15/31 | 12-Month | GBP | 200,000 | 1,395 | 2,917 | (1,522 | ) | |||||||||||||||||||||
Receive | Sterling Overnight Index Average | 0.750 | % | 9/15/51 | 12-Month | GBP | 500,000 | 32,633 | 31,560 | 1,073 | ||||||||||||||||||||||
Pay | Swiss Franc 6-Month LIBOR | (0.500 | )% | 9/16/25 | 12-Month | CHF | 2,800,000 | (1,149 | ) | 4,430 | (5,579 | ) | ||||||||||||||||||||
Pay | Zero Coupon | 0.000 | % | 1/3/22 | PAM* | BRL | 56,100,000 | (44,333 | ) | 1,590 | (45,923 | ) | ||||||||||||||||||||
Pay | Zero Coupon | 0.000 | % | 1/3/22 | PAM* | BRL | 1,200,000 | (1,504 | ) | | (1,504 | ) | ||||||||||||||||||||
Pay | Zero Coupon | 0.000 | % | 1/3/22 | PAM* | BRL | 23,700,000 | (29,248 | ) | (222 | ) | (29,026 | ) | |||||||||||||||||||
Pay | Zero Coupon | 0.000 | % | 1/3/22 | PAM* | BRL | 11,300,000 | (10,700 | ) | (691 | ) | (10,009 | ) | |||||||||||||||||||
Receive | Zero Coupon | 0.000 | % | 1/3/22 | PAM* | BRL | 8,300,000 | 3,758 | (12,477 | ) | 16,235 | |||||||||||||||||||||
Receive | Zero Coupon | 0.000 | % | 1/3/22 | PAM* | BRL | 3,900,000 | 7,778 | (22 | ) | 7,800 | |||||||||||||||||||||
Receive | Zero Coupon | 0.000 | % | 1/3/22 | PAM* | BRL | 9,600,000 | 18,710 | | 18,710 | ||||||||||||||||||||||
Receive | Zero Coupon | 0.000 | % | 1/3/22 | PAM* | BRL | 5,100,000 | 10,185 | (5 | ) | 10,190 | |||||||||||||||||||||
Receive | Zero Coupon | 0.000 | % | 1/3/22 | PAM* | BRL | 2,800,000 | 5,461 | (3 | ) | 5,464 | |||||||||||||||||||||
Receive | Zero Coupon | 0.000 | % | 1/3/22 | PAM* | BRL | 4,200,000 | 8,158 | | 8,158 | ||||||||||||||||||||||
Receive | Zero Coupon | 0.000 | % | 1/3/22 | PAM* | BRL | 4,000,000 | 7,594 | | 7,594 | ||||||||||||||||||||||
Pay | 28-Day MXN TIIE Banxico | 4.870 | % | 7/7/25 | 28-Day | MXN | 31,300,000 | (60,548 | ) | 1,720 | (62,268 | ) | ||||||||||||||||||||
Pay | 3-Month Canadian Bank Bill | 1.220 | % | 3/3/25 | 6-Month | CAD | 2,000,000 | 14,094 | 19 | 14,075 | ||||||||||||||||||||||
Pay | 3-Month Canadian Bank Bill | 1.270 | % | 3/3/22 | 6-Month | CAD | 1,000,000 | 10,056 | 8 | 10,048 | ||||||||||||||||||||||
Pay | 3-Month Canadian Bank Bill | 1.500 | % | 6/17/22 | 6-Month | CAD | 300,000 | 3,863 | 1,320 | 2,543 | ||||||||||||||||||||||
Pay | 3-Month Canadian Bank Bill | 1.500 | % | 6/17/30 | 6-Month | CAD | 2,600,000 | (51,760 | ) | (56,268 | ) | 4,508 | ||||||||||||||||||||
Pay | 3-Month Canadian Bank Bill | 1.713 | % | 10/2/29 | 6-Month | CAD | 700,000 | 2,023 | 135 | 1,888 | ||||||||||||||||||||||
Pay | 3-Month Canadian Bank Bill | 1.900 | % | 12/18/29 | 6-Month | CAD | 800,000 | 10,142 | 6,747 | 3,395 | ||||||||||||||||||||||
Pay | 3-Month FRA New Zealand Bank Bill | 0.528 | % | 3/17/24 | 6-Month | NZD | 100,000 | (569 | ) | (5 | ) | (564 | ) | |||||||||||||||||||
Receive | 3-Month FRA New Zealand Bank Bill | 0.500 | % | 12/16/25 | 6-Month | NZD | 100,000 | 2,354 | (440 | ) | 2,794 | |||||||||||||||||||||
Pay | 3-Month SEK-STIBOR-SIDE | 0.500 | % | 6/19/24 | 12-Month | SEK | 4,800,000 | 9,201 | 10,994 | (1,793 | ) | |||||||||||||||||||||
Pay | 3-Month USD-LIBOR | 0.400 | % | 1/15/28 | 6-Month | USD | 2,400,000 | (119,563 | ) | (26,573 | ) | (92,990 | ) | |||||||||||||||||||
Pay | 3-Month USD-LIBOR | 0.500 | % | 6/16/26 | 6-Month | USD | 3,250,000 | (64,376 | ) | (73,510 | ) | 9,134 | ||||||||||||||||||||
Pay | 3-Month USD-LIBOR | 1.000 | % | 12/16/25 | 6-Month | USD | 1,000,000 | 13,214 | 22,035 | (8,821 | ) | |||||||||||||||||||||
Pay | 3-Month USD-LIBOR | 1.000 | % | 12/16/25 | 6-Month | USD | 2,000,000 | 27,787 | 32,597 | (4,810 | ) | |||||||||||||||||||||
Pay | 3-Month USD-LIBOR | 1.250 | % | 6/16/51 | 6-Month | USD | 1,300,000 | (236,997 | ) | (288,601 | ) | 51,604 | ||||||||||||||||||||
Pay | 3-Month USD-LIBOR | 1.460 | % | 2/2/51 | 6-Month | USD | 400,000 | (50,670 | ) | | (50,670 | ) | ||||||||||||||||||||
Receive | 3-Month USD-LIBOR | 0.250 | % | 3/30/23 | 6-Month | USD | 9,400,000 | (7,681 | ) | 2,029 | (9,710 | ) | ||||||||||||||||||||
Receive | 3-Month USD-LIBOR | 0.400 | % | 3/30/26 | 6-Month | USD | 2,750,000 | 56,952 | 23,622 | 33,330 | ||||||||||||||||||||||
Receive | 3-Month USD-LIBOR | 0.750 | % | 3/30/31 | 6-Month | USD | 2,800,000 | 205,895 | 22,013 | 183,882 | ||||||||||||||||||||||
Receive | 3-Month USD-LIBOR | 0.750 | % | 6/16/31 | 6-Month | USD | 1,000,000 | 77,831 | 47,206 | 30,625 | ||||||||||||||||||||||
Receive | 3-Month USD-LIBOR | 0.750 | % | 6/16/31 | 6-Month | USD | 5,800,000 | 465,036 | 561,419 | (96,383 | ) | |||||||||||||||||||||
Receive | 3-Month USD-LIBOR | 1.000 | % | 12/16/30 | 6-Month | USD | 700,000 | 32,107 | (11,983 | ) | 44,090 | |||||||||||||||||||||
Receive | 3-Month USD-LIBOR | 1.000 | % | 12/16/30 | 6-Month | USD | 2,600,000 | 113,611 | (29,749 | ) | 143,360 | |||||||||||||||||||||
Receive | 3-Month USD-LIBOR | 1.150 | % | 3/30/51 | 6-Month | USD | 500,000 | 97,973 | 15,571 | 82,402 | ||||||||||||||||||||||
Receive | 3-Month USD-LIBOR | 1.250 | % | 6/9/41 | 6-Month | USD | 1,200,000 | 143,794 | 31,998 | 111,796 | ||||||||||||||||||||||
Receive | 3-Month USD-LIBOR | 1.250 | % | 12/16/50 | 6-Month | USD | 200,000 | 33,592 | 597 | 32,995 | ||||||||||||||||||||||
Receive | 3-Month USD-LIBOR | 1.250 | % | 6/16/51 | 6-Month | USD | 100,000 | 17,529 | 19,134 | (1,605 | ) | |||||||||||||||||||||
Receive | 3-Month USD-LIBOR | 1.298 | % | 8/25/24 | 6-Month | USD | 1,400,000 | (33,149 | ) | | (33,149 | ) | ||||||||||||||||||||
Receive | 3-Month USD-LIBOR | 1.305 | % | 8/21/23 | 6-Month | USD | 2,000,000 | (52,778 | ) | | (52,778 | ) | ||||||||||||||||||||
Receive | 3-Month USD-LIBOR | 1.665 | % | 10/27/51 | 6-Month | USD | 100,000 | 9,001 | | 9,001 | ||||||||||||||||||||||
Receive | 3-Month USD-LIBOR | 2.000 | % | 1/15/30 | 6-Month | USD | 2,600,000 | (140,536 | ) | (12,276 | ) | (128,260 | ) | |||||||||||||||||||
Receive | 3-Month USD-LIBOR | 2.090 | % | 12/23/51 | 6-Month | USD | 200,000 | (2,886 | ) | | (2,886 | ) | ||||||||||||||||||||
Receive | 3-Month USD-LIBOR | 2.100 | % | 8/25/51 | 6-Month | USD | 800,000 | (18,322 | ) | | (18,322 | ) | ||||||||||||||||||||
Receive | 3-Month USD-LIBOR | 2.500 | % | 12/18/21 | 6-Month | USD | 2,000,000 | (47,259 | ) | (27,858 | ) | (19,401 | ) | |||||||||||||||||||
Receive | 3-Month USD-LIBOR | 2.250 | % | 6/20/28 | 6-Month | USD | 900,000 | (70,800 | ) | 49,859 | (120,659 | ) | ||||||||||||||||||||
Receive | 6-Month Australian Bank Bill | 1.750 | % | 6/16/31 | 6-Month | AUD | 3,800,000 | (9,953 | ) | 15,499 | (25,452 | ) | ||||||||||||||||||||
Pay | 6-Month EURIBOR | (0.500 | )% | 6/16/23 | 12-Month | EUR | 1,900,000 | (1,636 | ) | (13,512 | ) | 11,876 | ||||||||||||||||||||
Pay | 6-Month EURIBOR | (0.500 | )% | 6/16/26 | 6-Month | EUR | 11,300,000 | (171,611 | ) | (51,213 | ) | (120,398 | ) | |||||||||||||||||||
Pay | 6-Month EURIBOR | (0.250 | )% | 6/16/31 | 12-Month | EUR | 3,100,000 | (144,370 | ) | (93,778 | ) | (50,592 | ) | |||||||||||||||||||
Receive | 6-Month EURIBOR | (0.250 | )% | 9/15/26 | 12-Month | EUR | 500,000 | 917 | 2,604 | (1,687 | ) | |||||||||||||||||||||
Receive | 6-Month EURIBOR | 0.000 | % | 6/16/51 | 12-Month | EUR | 1,300,000 | 236,252 | (13,383 | ) | 249,635 | |||||||||||||||||||||
Receive | 6-Month EURIBOR | 0.054 | % | 5/27/50 | 12-Month | EUR | 50,000 | 8,902 | | 8,902 | ||||||||||||||||||||||
Receive | 6-Month EURIBOR | 0.064 | % | 11/17/52 | 12-Month | EUR | 100,000 | 17,386 | | 17,386 | ||||||||||||||||||||||
Receive | 6-Month EURIBOR | 0.190 | % | 1/27/32 | 12-Month | EUR | 300,000 | 662 | | 662 | ||||||||||||||||||||||
Receive | 6-Month EURIBOR | 0.205 | % | 1/27/32 | 12-Month | EUR | 300,000 | 106 | | 106 | ||||||||||||||||||||||
Receive | 6-Month EURIBOR | 0.450 | % | 12/15/35 | 12-Month | EUR | 100,000 | (2,026 | ) | (8,958 | ) | 6,932 | ||||||||||||||||||||
Receive | 6-Month EURIBOR | 0.500 | % | 9/15/51 | 12-Month | EUR | 900,000 | 8,070 | (39,593 | ) | 47,663 | |||||||||||||||||||||
Pay | 6-Month JPY-LIBOR | 0.000 | % | 3/17/31 | 6-Month | JPY | 460,000,000 | (48,137 | ) | (55,725 | ) | 7,588 | ||||||||||||||||||||
Pay | 6-Month JPY-LIBOR | 0.200 | % | 6/19/29 | 6-Month | JPY | 410,000,000 | 43,077 | 65,192 | (22,115 | ) | |||||||||||||||||||||
Receive | 6-Month JPY-LIBOR | 0.400 | % | 6/19/39 | 6-Month | JPY | 80,000,000 | (8,462 | ) | 1,430 | (9,892 | ) | ||||||||||||||||||||
Receive | 6-Month JPY-LIBOR | 0.500 | % | 6/19/49 | 6-Month | JPY | 30,000,000 | 415 | (1,397 | ) | 1,812 | |||||||||||||||||||||
Pay | 6-Month Norway Interbank Offer Rate | 1.900 | % | 3/10/31 | 12-Month | NOK | 6,000,000 | 10,717 | 180 | 10,537 | ||||||||||||||||||||||
Receive | 6-Month Norway Interbank Offer Rate | 1.500 | % | 3/10/26 | 12-Month | NOK | 11,500,000 | (8,277 | ) | 417 | (8,694 | ) | ||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | 250,698 | $ | 106,970 | $ | 143,728 | |||||||||||||||||||||||||||
|
|
|
|
|
|
* | PAM - paid at maturity. |
210
Schedules of Investments
(unaudited) (continued)
International Fixed Income Fund
Fund Pay Floating Rate Index | Fund Receive Floating Rate Index | Maturity Date | Notional Amount | Market Value | Upfront Payment (Received) | Unrealized Depreciation | ||||||||||||||||||||||
1-Month USD-LIBOR + 0.070% | 3-Month USD-LIBOR | 6/12/22 | USD | 1,400,000 | $ | (417 | ) | $ | | $ | (417 | ) | ||||||||||||||||
1-Month USD-LIBOR + 0.070% | 3-Month USD-LIBOR | 3/7/24 | USD | 1,100,000 | (133 | ) | | (133 | ) | |||||||||||||||||||
1-Month USD-LIBOR + 0.073% | 3-Month USD-LIBOR | 4/27/23 | USD | 4,600,000 | (1,520 | ) | | (1,520 | ) | |||||||||||||||||||
1-Month USD-LIBOR + 0.084% | 3-Month USD-LIBOR | 4/26/22 | USD | 6,700,000 | (2,745 | ) | | (2,745 | ) | |||||||||||||||||||
1-Month USD-LIBOR + 0.084% | 3-Month USD-LIBOR | 6/12/22 | USD | 1,900,000 | (964 | ) | | (964 | ) | |||||||||||||||||||
1-Month USD-LIBOR + 0.085% | 3-Month USD-LIBOR | 6/19/22 | USD | 7,400,000 | (3,515 | ) | (555 | ) | (2,960 | ) | ||||||||||||||||||
1-Month USD-LIBOR + 0.086% | 3-Month USD-LIBOR | 4/12/23 | USD | 3,100,000 | (2,736 | ) | | (2,736 | ) | |||||||||||||||||||
1-Month USD-LIBOR + 0.091% | 3-Month USD-LIBOR | 3/18/22 | USD | 32,200,000 | (15,176 | ) | (854 | ) | (14,322 | ) | ||||||||||||||||||
1-Month USD-LIBOR + 0.102% | 3-Month USD-LIBOR | 10/4/24 | USD | 2,600,000 | (654 | ) | | (654 | ) | |||||||||||||||||||
1-Month USD-LIBOR + 0.105% | 3-Month USD-LIBOR | 9/27/24 | USD | 1,700,000 | (567 | ) | | (567 | ) | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | (28,427 | ) | $ | (1,409 | ) | $ | (27,018 | ) | ||||||||||||||||||||
|
|
|
|
|
|
211
Schedules of Investments
(unaudited) (continued)
International Fixed Income Fund
At May 28, 2021, International Fixed Income Fund held the following Centrally Cleared Inflation Rate Swap Contracts:
Pay/Receive Floating Rate | Floating Rate Index | Fixed Rate | Maturity Date | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||
Pay | 10-Year GBP Inflation Linked | 3.700 | % | 4/15/31 | GBP | 450,000 | $ | (5,858 | ) | $ | (1,739 | ) | $ | (4,119 | ) | |||||||||||||||
Pay | 10-Year GBP Inflation Linked | 3.740 | % | 3/15/31 | GBP | 300,000 | (156 | ) | (418 | ) | 262 | |||||||||||||||||||
Receive | 10-Year GBP Inflation Linked | 3.396 | % | 11/15/30 | GBP | 280,000 | 16,324 | 1,991 | 14,333 | |||||||||||||||||||||
Receive | 10-Year GBP Inflation Linked | 3.445 | % | 11/15/30 | GBP | 140,000 | 6,952 | | 6,952 | |||||||||||||||||||||
Pay | 20-Year GBP Inflation Linked | 3.127 | % | 11/15/40 | GBP | 480,000 | (87,910 | ) | (7,785 | ) | (80,125 | ) | ||||||||||||||||||
Pay | 20-Year GBP Inflation Linked | 3.272 | % | 11/15/40 | GBP | 140,000 | (22,283 | ) | | (22,283 | ) | |||||||||||||||||||
Pay | 20-Year GBP Inflation Linked | 3.272 | % | 11/15/40 | GBP | 100,000 | (15,938 | ) | (22 | ) | (15,916 | ) | ||||||||||||||||||
Receive | 30-Year GBP Inflation Linked | 3.050 | % | 11/15/50 | GBP | 100,000 | 34,222 | | 34,222 | |||||||||||||||||||||
Receive | 30-Year GBP Inflation Linked | 2.999 | % | 11/15/50 | GBP | 200,000 | 76,269 | 6,999 | 69,270 | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
$ | 1,622 | $ | (974 | ) | $ | 2,596 | ||||||||||||||||||||||||
|
|
|
|
|
|
212
Schedules of Investments
(unaudited) (continued)
International Fixed Income Fund
At May 28, 2021, International Fixed Income Fund held the following OTC and Centrally Cleared Credit Default Swap Contracts:
OTC Credit Default Swaps on Sovereign Issues - Buy Protection (1)
Reference Obligation | Fixed Deal (Pay) Rate | Maturity Date | Payment Frequency | Counterparty | Implied Credit Spread at 5/28/21 (2) | Notional Amount (3) | Market Value | Upfront Payment (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||||||||||||||
China Government International, A+ | (1.000)% | 6/20/23 | 3-Month | BCLY | 11.616% | USD | 200,000 | $ | (4,089 | ) | $ | (3,815 | ) | $ | (274 | ) | |||||||||||||||||||||||||||||
China Government International, A+ | (1.000)% | 6/20/23 | 3-Month | GSC | 11.616% | USD | 500,000 | (10,221 | ) | (9,654 | ) | (567 | ) | ||||||||||||||||||||||||||||||||
Japan Government International Bonds, A+ | (1.000)% | 6/20/22 | 3-Month | BCLY | 3.397% | USD | 400,000 | (4,971 | ) | (14,121 | ) | 9,150 | |||||||||||||||||||||||||||||||||
Japan Government International Bonds, A+ | (1.000)% | 6/20/22 | 3-Month | BNP | 3.397% | USD | 700,000 | (8,699 | ) | (25,057 | ) | 16,358 | |||||||||||||||||||||||||||||||||
Japan Government International Bonds, A+ | (1.000)% | 6/20/22 | 3-Month | BOA | 3.397% | USD | 200,000 | (2,485 | ) | (6,913 | ) | 4,428 | |||||||||||||||||||||||||||||||||
Japan Government International Bonds, A+ | (1.000)% | 6/20/22 | 3-Month | GSC | 0.000% | USD | 500,000 | (6,213 | ) | (17,653 | ) | 11,440 | |||||||||||||||||||||||||||||||||
Japan Government International Bonds, A+ | (1.000)% | 6/20/22 | 3-Month | HSBC | 3.397% | USD | 300,000 | (3,728 | ) | (10,159 | ) | 6,431 | |||||||||||||||||||||||||||||||||
Korea International Bonds, AA | (1.000)% | 6/20/23 | 3-Month | BCLY | 8.784% | USD | 600,000 | (12,622 | ) | (15,056 | ) | 2,434 | |||||||||||||||||||||||||||||||||
Korea International Bonds, AA | (1.000)% | 6/20/23 | 3-Month | BNP | 8.784% | USD | 400,000 | (8,415 | ) | (9,884 | ) | 1,469 | |||||||||||||||||||||||||||||||||
Korea International Bonds, AA | (1.000)% | 6/20/23 | 3-Month | HSBC | 8.784% | USD | 200,000 | (4,207 | ) | (4,989 | ) | 782 | |||||||||||||||||||||||||||||||||
Korea International Bonds, AA | (1.000)% | 6/20/23 | 3-Month | JPM | 8.784% | USD | 400,000 | (8,415 | ) | (9,580 | ) | 1,165 | |||||||||||||||||||||||||||||||||
|
|
|
|
|
| ||||||||||||||||||||||||||||||||||||||||
$ | (74,065 | ) | $ | (126,881 | ) | $ | 52,816 | ||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
OTC Credit Default Swaps on Sovereign Issues - Sell Protection (4)
Reference Obligation | Fixed Deal Receive Rate | Maturity Date | Payment Frequency | Counterparty | Implied Credit Spread at 5/28/21 (2) | Notional Amount (3) | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation | |||||||||||||||||||||||
Abu Dhabi Government International Bonds, AA | 1.000% | 6/20/26 | 3-Month | GSC | 43.134% | USD | 350,000 | $ | 10,674 | $ | 10,156 | $ | 518 | |||||||||||||||||||
Republic of Italy Government International Bonds, BBB | 1.000% | 6/20/25 | 3-Month | BCLY | 67.400% | USD | 300,000 | 4,538 | (7,348 | ) | 11,886 | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | 15,212 | $ | 2,808 | $ | 12,404 | |||||||||||||||||||||||||||
|
|
|
|
|
|
213
Schedules of Investments
(unaudited) (continued)
International Fixed Income Fund
Centrally Cleared - Credit Default Swaps on Corporate on Indexes - Buy Protection (1)
Reference Obligation | Fixed Deal Receive Rate | Maturity Date | Payment Frequency | Implied Credit Spread at 5/28/21 (2) | Notional Amount (3) | Market Value | Upfront Payment (Received) | Unrealized Depreciation | |||||||||||||||||||||||||||||||||||||
Markit CDX North America High Yield Series 35 10-Year Index | 5.000% | 12/20/25 | 3-Month | 0.027% | USD | 200,000 | $ | (27,798 | ) | $ | (11,930 | ) | $ | (15,868 | ) | ||||||||||||||||||||||||||||||
Markit CDX North America High Yield Series 36 10-Year Index | 5.000% | 6/20/26 | 3-Month | 0.029% | USD | 300,000 | (32,099 | ) | (28,630 | ) | (3,469 | ) | |||||||||||||||||||||||||||||||||
Markit iTraxx Europe Series 31 10-Year Index | 1.000% | 6/20/29 | 3-Month | 0.008% | EUR | 9,600,000 | (255,016 | ) | (83,831 | ) | (171,185 | ) | |||||||||||||||||||||||||||||||||
Markit CDX North America Investment Grade Series 36 10-Year Index | 1.000% | 6/20/31 | 3-Month | 0.009% | USD | 500,000 | (5,082 | ) | (785 | ) | (4,297 | ) | |||||||||||||||||||||||||||||||||
|
|
|
|
|
| ||||||||||||||||||||||||||||||||||||||||
$ | (319,995 | ) | $ | (125,176 | ) | $ | (194,819 | ) | |||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
Centrally Cleared - Credit Default Swaps on Corporate Issues and Indexes - Sell Protection (4)
Reference Obligation | Fixed Deal Receive Rate | Maturity Date | Payment Frequency | Implied Credit 5/28/21 (2) | Notional Amount (3) | Market Value | Upfront Payment Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||||||||||||||
Markit CDX North America Investment Grade Series 36 5-Year Index | 1.000% | 6/20/26 | 3-Month | 0.005% | USD | 2,000,000 | $ | 52,788 | $ | 47,579 | $ | 5,209 | |||||||||||||||||||||||||||||||||
Rolls-Royce PLC, BB- | 1.000% | 6/20/26 | 3-Month | 0.027% | EUR | 200,000 | (19,128 | ) | (19,762 | ) | 634 | ||||||||||||||||||||||||||||||||||
Ryder System Inc., BBB+ | 1.000% | 6/20/22 | 3-Month | 0.002% | USD | 100,000 | 1,289 | 1,866 | (577 | ) | |||||||||||||||||||||||||||||||||||
Shell International Finance BV, AA- | 1.000% | 12/20/26 | 3-Month | 0.005% | EUR | 200,000 | 8,095 | (5,907 | ) | 14,002 | |||||||||||||||||||||||||||||||||||
|
|
|
|
|
| ||||||||||||||||||||||||||||||||||||||||
$ | 43,044 | $ | 23,776 | $ | 19,268 | ||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
214
Schedules of Investments
(unaudited) (continued)
International Fixed Income Fund
At May 28, 2021, International Fixed Income Fund held the following OTC Cross-Currency Swap Contracts:
Counterparty Pay | Counterparty Receive | Maturity Date (5) | Counterparty | Notional Amount of Currency Received (6) | Notional Amount of Currency Delivered (6) | Market Value | Upfront Payment (Received) | Unrealized Appreciation | ||||||||||||||||||||||||
Floating rate equal to 3-Month USD-LIBOR | Floating rate equal to 3-Month AUD-LIBOR plus 0.423% based on the notional amount of currency delivered | 8/1/29 | GSC | USD 1,449,000 | AUD | 2,100,000 | $ | 177,475 | $ | (3,920 | ) | $ | 181,395 | |||||||||||||||||||
|
|
|
|
|
|
(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 entitys credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as Defaulted indicates a credit event has occurred for the referenced entity or obligation. |
(3) | The maximum potential amount the Fund could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(4) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(5) | At the maturity date, the notional amount of the currency received will be exchanged back for the notional amount of the currency delivered. |
(6) | The notional amounts to be received or delivered may be determined and exchanged at a future date, based on the effective date of the cross-currency swap. |
At May 28, 2021, International Fixed Income Fund deposited cash collateral with brokers in the amount of $1,307,000 for open centrally cleared swap contracts.
At May 28, 2021, International Fixed Income Fund had cash collateral from brokers in the amount of $20,000 for open OTC swap contracts.
215
Schedules of Investments
(unaudited) (continued)
International Fixed Income Fund
Currency Abbreviations used in this schedule: | Counterparty Abbreviations used in this schedule: | |||||||||||||||
ARS | | Argentine Peso | BCLY | | Barclays Bank PLC | |||||||||||
AUD | | Australian Dollar | BNP | | BNP Paribas SA | |||||||||||
BRL | | Brazilian Real | BOA | | Bank of America | |||||||||||
CAD | | Canadian Dollar | DUB | | Deutsche Bank AG | |||||||||||
CHF | | Swiss Franc | GSC | | Goldman Sachs & Co. | |||||||||||
CNH | | Chinese Offshore Renminbi | HSBC | | HSBC Bank USA | |||||||||||
DKK | | Danish Krone | JPM | | JPMorgan Chase & Co. | |||||||||||
EUR | | Euro | RBS | | Royal Bank of Scotland PLC | |||||||||||
GBP | | British Pound | SCB | | Standard Chartered Bank | |||||||||||
HKD | | Hong Kong Dollar | SOG | | Societe Generale SA | |||||||||||
ILS | | Israeli New Shekel | UBS | | UBS Securities LLC | |||||||||||
JPY | | Japanese Yen | ||||||||||||||
MXN | | Mexican Peso | ||||||||||||||
MYR | | Malaysian Ringgit | ||||||||||||||
NOK | | Norwegian Krone | ||||||||||||||
NZD | | New Zealand Dollar | ||||||||||||||
PEN | | Peruvian Sol | ||||||||||||||
SEK | | Swedish Krona | ||||||||||||||
SGD | | Singapore Dollar | ||||||||||||||
USD | | United States Dollar | ||||||||||||||
ZAR | | South African Rand |
216
Schedules of Investments
May 28, 2021@
(unaudited) (continued)
Municipal Bond Fund
Face Amount | Rating | Security | Value | |||||||
MUNICIPAL BONDS - 89.3% | ||||||||||
Arizona - 6.6% | ||||||||||
$ 530,000 | BB | Arizona Industrial Development Authority, Revenue Bonds, Somerset Academy of Las Vegas - Aliante and Skye Canyon Campus Projects, 3.000% due 12/15/31(a) | $ | 557,761 | ||||||
2,815,000 | A+ | Chandler Industrial Development Authority, Revenue Bonds, Variable AMT Intel Corp., 5.000% due 6/1/49(b)(c) | 3,188,216 | |||||||
Industrial Development Authority of the County of Pima (The), Revenue Bonds: | ||||||||||
Facility American Leadership Academy: | ||||||||||
350,000 | NR | 4.125% due 6/15/29(a) | 355,491 | |||||||
250,000 | NR | 4.750% due 6/15/37(a) | 254,530 | |||||||
280,000 | NR | Imagine East Mesa Charter School, 3.250% due 7/1/24(a) | 290,829 | |||||||
500,000 | BB+ | Maricopa County Industrial Development Authority, Revenue Bonds, Paradise School Project Paragon Management Inc., 4.000% due 7/1/26(a) | 537,469 | |||||||
|
| |||||||||
Total Arizona | 5,184,296 | |||||||||
|
| |||||||||
California - 6.0% | ||||||||||
620,000 | A | California County Tobacco Securitization Agency, Revenue Bonds, Series A, 5.000% due 6/1/28 | 793,945 | |||||||
California County Tobacco Securitization Agency, Revenue Bonds, Merced County Tobacco Funding Corp.: | ||||||||||
240,000 | A | 5.000% due 6/1/25 | 284,070 | |||||||
100,000 | A | 5.000% due 6/1/27 | 125,603 | |||||||
100,000 | A | 5.000% due 6/1/28 | 128,615 | |||||||
335,000 | A- | 5.000% due 6/1/31 | 450,552 | |||||||
250,000 | NR | California School Finance Authority, Revenue Bonds, iLead Lancaster Project, Series A, 4.000% due 6/1/31(a) | 272,860 | |||||||
Golden State Tobacco Securitization Corp., Revenue Bonds: | ||||||||||
35,000 | NR | Series A1, 5.000% due 6/1/47 | 36,247 | |||||||
290,000 | NR | Series A2, 5.000% due 6/1/47 | 300,332 | |||||||
1,000,000 | A3(d) | Kaweah Delta Health Care District Guild, Revenue Bonds, Series B, 4.000% due 6/1/45 | 1,071,255 | |||||||
595,000 | AA | Riverside County Public Financing Authority, Tax Allocation, Series A, BAM-Insured, 4.000% due 10/1/40 | 670,594 | |||||||
475,000 | Aa2(d) | Sonoma Valley Unified School District, GO, 4.000% due 8/1/38 | 560,668 | |||||||
|
| |||||||||
Total California | 4,694,741 | |||||||||
|
| |||||||||
Colorado - 7.9% | ||||||||||
750,000 | A+ | City & County of Denver, CO, Airport System Revenue, Revenue Bonds, AMT, Series A, 5.000% due 11/15/30(c) | 931,273 | |||||||
1,435,000 | AA+ | City of Colorado Springs, CO, Utilities System Revenue, Revenue Bonds, System Improvement, Series B-2, 5.000% due 11/15/38 | 1,587,612 | |||||||
1,500,000 | AA- | Colorado Health Facilities Authority, Revenue Bonds, Sisters of Charity of Leavenworth Inc., Series A, 5.000% due 1/1/44 | 1,651,768 | |||||||
2,000,000 | AA | University of Colorado Hospital Authority, Revenue Bonds, Series A, 4.000% due 11/15/36 | 2,069,202 | |||||||
|
| |||||||||
Total Colorado | 6,239,855 | |||||||||
|
| |||||||||
Connecticut - 1.0% | ||||||||||
790,000 | AAA | Connecticut Housing Finance Authority, Revenue Bonds, AMT, Series B2, 2.300% due 11/15/23(c) | 818,646 | |||||||
|
| |||||||||
District of Columbia - 1.5% | ||||||||||
2,075,000 | WD(e) | District of Columbia Tobacco Settlement Financing Corp., Revenue Bonds, Capital Appreciation Asset-Backed, Series B, zero coupon, due 6/15/46 | 359,301 | |||||||
700,000 | A+ | Metropolitan Washington Airports Authority, Revenue Bonds, AMT, Series A, 4.000% due 10/1/36(c) | 789,092 | |||||||
|
| |||||||||
Total District of Columbia | 1,148,393 | |||||||||
|
| |||||||||
Florida - 5.2% | ||||||||||
225,000 | Baa3(d) | Capital Projects Finance Authority, FL, Revenue Bonds, Florida University Project, Series A1, 5.000% due 10/1/26 | 267,992 | |||||||
500,000 | NR | Capital Trust Agency Inc., Revenue Bonds, Educational Growth Fund, LLC Charter School Portfolio Projects, 3.375% due 7/1/31(a) | 535,992 | |||||||
100,000 | Ba2(d) | Capital Trust Agency Inc., Revenue Bonds, Viera Charter Schools Inc. Project, 4.000% due 10/15/29(a) | 107,472 | |||||||
1,400,000 | A+ | City of Cape Coral, FL, Water & Sewer Revenue, Revenue Bonds, 5.000% due 10/1/39 | 1,728,582 | |||||||
250,000 | NR | Finley Woods Community Development District, Special Assessment, Area One, 3.150% due 5/1/25 | 256,590 | |||||||
190,000 | NR | Florida Development Finance Corp., Revenue Bonds, AMT, Waste Pro USA Inc. Project, 5.000% due 5/1/29(a)(c) | 205,382 | |||||||
115,000 | NR | Harbor Bay Community Development District, Special Assessment, Area One, Series A2, 3.100% due 5/1/24 | 117,964 | |||||||
275,000 | NR | Lakewood Ranch Stewardship District, Special Assessment, Isles Lakewood Ranch Project, 3.875% due 5/1/29 | 298,679 | |||||||
310,000 | NR | Seminole County Industrial Development Authority, Revenue Bonds, Legacy Pointe at UCF Project, 3.750% due 11/15/25 | 305,868 | |||||||
240,000 | NR | Southern Groves Community Development District No. 5, Special Assessment, 2.875% due 5/1/24 | 244,570 | |||||||
|
| |||||||||
Total Florida | 4,069,091 | |||||||||
|
| |||||||||
Georgia - 4.9% | ||||||||||
City of Atlanta, GA, Department of Aviation, Revenue Bonds: | ||||||||||
65,000 | Aa3(d) | Series A, 5.000% due 7/1/24 | 74,377 | |||||||
265,000 | Aa3(d) | Series A, 5.000% due 7/1/25 | 313,831 | |||||||
265,000 | Aa3(d) | Series A, 5.000% due 7/1/26 | 323,786 | |||||||
70,000 | Aa3(d) | Series B, AMT, 5.000% due 7/1/24(c) | 79,820 | |||||||
120,000 | Aa3(d) | Series B, AMT, 5.000% due 7/1/25(c) | 141,418 | |||||||
2,610,000 | Aa1(d) | Main Street Natural Gas Inc., Revenue Bonds, Series B, 4.000% due 8/1/49(b) | 2,916,565 | |||||||
|
| |||||||||
Total Georgia | 3,849,797 | |||||||||
|
|
217
Schedules of Investments
(unaudited) (continued)
Municipal Bond Fund
Face Amount | Rating | Security | Value | |||||||
MUNICIPAL BONDS - 89.3% - (continued) | ||||||||||
Guam - 0.1% | ||||||||||
Territory of Guam, Revenue Bonds: | ||||||||||
$ 15,000 | Ba1(d) | Series A, 5.000% due 11/1/27 | $ | 18,435 | ||||||
15,000 | Ba1(d) | Series A, 5.000% due 11/1/28 | 18,730 | |||||||
15,000 | Ba1(d) | Series A, 5.000% due 11/1/29 | 18,979 | |||||||
|
| |||||||||
Total Guam | 56,144 | |||||||||
|
| |||||||||
Idaho - 0.2% | ||||||||||
100,000 | A2(d) | Idaho Housing & Finance Association, Revenue Bonds, Series A, 5.000% due 7/15/29 | 130,817 | |||||||
|
| |||||||||
Illinois - 4.2% | ||||||||||
Illinois Finance Authority, Revenue Bonds: | ||||||||||
Advocate Health Care: | ||||||||||
785,000 | Aa3(d) | Pre-refunded 6/1/22 @ 100, 4.000% due 6/1/47(f) | 814,864 | |||||||
10,000 | NR | Pre-refunded 6/1/22 @ 100, 4.000% due 6/1/47(f) | 10,380 | |||||||
440,000 | AA | Unrefunded Portion, 4.000% due 6/1/47 | 456,964 | |||||||
600,000 | A | DePaul University, 5.000% due 10/1/36 | 712,399 | |||||||
1,000,000 | AA+ | Northwestern University, 5.000% due 12/1/28 | 1,299,125 | |||||||
|
| |||||||||
Total Illinois | 3,293,732 | |||||||||
|
| |||||||||
Indiana - 1.5% | ||||||||||
1,000,000 | A+ | Indiana Municipal Power Agency, Power Supply, Revenue Bonds, Series C, 5.000% due 1/1/37 | 1,208,359 | |||||||
|
| |||||||||
Iowa - 1.5% | ||||||||||
1,000,000 | A3(d) | PEFA Inc., Revenue Bonds, 5.000% due 9/1/49(b) | 1,202,950 | |||||||
|
| |||||||||
Louisiana - 0.8% | ||||||||||
New Orleans Aviation Board, AMT, General Airport North Terminal, Revenue Bonds, Series B: | ||||||||||
250,000 | A- | 5.000% due 1/1/38(c) | 299,170 | |||||||
250,000 | A- | 5.000% due 1/1/37(c) | 299,694 | |||||||
|
| |||||||||
Total Louisiana | 598,864 | |||||||||
|
| |||||||||
Maryland - 1.1% | ||||||||||
City of Baltimore, MD, Tax Allocation, Harbor Point Project: | ||||||||||
200,000 | NR | Series A, 2.600% due 6/1/21(a) | 200,000 | |||||||
200,000 | NR | Series A, 2.750% due 6/1/24(a) | 205,579 | |||||||
125,000 | NR | Series A, 2.800% due 6/1/25(a) | 129,604 | |||||||
135,000 | NR | Series A, 2.850% due 6/1/26(a) | 141,152 | |||||||
160,000 | NR | Series B, 3.000% due 6/1/24(a) | 162,556 | |||||||
|
| |||||||||
Total Maryland | 838,891 | |||||||||
|
| |||||||||
Massachusetts - 1.7% | ||||||||||
Massachusetts Bay Transportation Authority, Revenue Bonds: | ||||||||||
75,000 | AA | Series A1, 5.000% due 7/1/28 | 96,758 | |||||||
1,000,000 | AA | Series A1, 5.000% due 7/1/44 | 1,239,966 | |||||||
|
| |||||||||
Total Massachusetts | 1,336,724 | |||||||||
|
| |||||||||
Michigan - 0.8% | ||||||||||
400,000 | BB+ | Michigan Finance Authority, Revenue Bonds, Cesar Chavez Academy Project, 3.250% due 2/1/24 | 411,220 | |||||||
190,000 | A1(d) | Michigan Finance Authority, Revenue Bonds, McLaren Health Care Corp., 1.200% due 10/15/38(b) | 191,192 | |||||||
|
| |||||||||
Total Michigan | 602,412 | |||||||||
|
| |||||||||
Nevada - 1.9% | ||||||||||
100,000 | Ba2(d) | City of Sparks, NV, Revenue Bonds, Senior Sales Tax Anticipation, Series A, 2.500% due | 101,322 | |||||||
1,130,000 | AAA | State of Nevada Highway Improvement Revenue, Revenue Bonds, 5.000% due 12/1/31 | 1,398,362 | |||||||
|
| |||||||||
Total Nevada | 1,499,684 | |||||||||
|
| |||||||||
New Hampshire - 1.3% | ||||||||||
1,000,000 | B | New Hampshire Business Finance Authority, Revenue Bonds, Casella Waste Systems Inc., 2.950% due 4/1/29(a)(c) | 1,040,483 | |||||||
|
| |||||||||
New Jersey - 4.2% | ||||||||||
1,340,000 | A3(d) | Manalapan-Englishtown Regional Board of Education, GO, FGIC & NPFG-Insured, 5.750% due 12/1/22 | 1,449,136 | |||||||
215,000 | NR | New Jersey Economic Development Authority, Revenue Bonds, Golden Door Charter School Project, 5.125% due 11/1/29(a) | 239,904 | |||||||
1,250,000 | A+ | New Jersey Transportation Trust Fund Authority, Revenue Bonds, Highway Reimbursement, 5.000% due 6/15/30 | 1,480,587 | |||||||
100,000 | A | Tobacco Settlement Financing Corp., Revenue Bonds, Series A, 5.000% due 6/1/25 | 117,687 | |||||||
|
| |||||||||
Total New Jersey | 3,287,314 | |||||||||
|
| |||||||||
New Mexico - 1.5% | ||||||||||
1,000,000 | BBB | City of Farmington, NM, Revenue Bonds, Public Service Company of New Mexico, 1.875% due 4/1/33(b) | 1,004,988 | |||||||
City of Santa Fe, NM, Revenue Bonds, El Castillo Retirement Project: | ||||||||||
100,000 | BB+(e) | 2.250% due 5/15/24 | 100,431 | |||||||
100,000 | BB+(e) | 2.625% due 5/15/25 | 100,573 | |||||||
|
| |||||||||
Total New Mexico | 1,205,992 | |||||||||
|
|
218
Schedules of Investments
(unaudited) (continued)
Municipal Bond Fund
Face Amount | Rating | Security | Value | |||||||
MUNICIPAL BONDS - 89.3% - (continued) | ||||||||||
New York - 3.6% | ||||||||||
$ 1,170,000 | AA | Trust for Cultural Resources of The City of New York/The, Revenue Bonds, Juilliard School, Series A, 5.000% due 1/1/33 | $ | 1,498,524 | ||||||
400,000 | AA+ | New York City Water & Sewer System, Revenue Bonds, 4.625% due 6/15/46 | 431,975 | |||||||
500,000 | AA+ | New York State Dormitory Authority, Revenue Bonds, Bidding Group, Unrefunded Portion, 5.000% due 2/15/43 | 614,203 | |||||||
225,000 | Baa3(d) | New York Transportation Development Corp., Revenue Bonds, Delta Air Lines Inc. - LaGuardia, AMT, 4.000% due 10/1/30(c) | 270,634 | |||||||
|
| |||||||||
Total New York | 2,815,336 | |||||||||
|
| |||||||||
Ohio - 1.0% | ||||||||||
160,000 | NR | Buckeye Tobacco Settlement Financing Authority, Revenue Bonds, Series B2, Class 2, 5.000% due 6/1/55 | 185,478 | |||||||
600,000 | Ba1(d) | Ohio Air Quality Development Authority, Revenue Bonds, Ohio Valley Electric Corp., Remarketing, Series A, 2.875% due 2/1/26 | 633,137 | |||||||
|
| |||||||||
Total Ohio | 818,615 | |||||||||
|
| |||||||||
Oregon - 1.1% | ||||||||||
830,000 | Aa2(d) | Washington & Clackamas Counties School District No. 23J Tigard-Tualatin, GO, NPFG-Insured, 5.000% due 6/15/22 | 872,325 | |||||||
|
| |||||||||
Pennsylvania - 0.2% | ||||||||||
100,000 | BB+ | Bucks County Industrial Development Authority, Revenue Bonds, Grand View Hospital Project, 5.000% due 7/1/28 | 121,625 | |||||||
|
| |||||||||
Puerto Rico - 3.6% | ||||||||||
Puerto Rico Housing Finance Authority, Revenue Bonds ,Puerto Rico Public Housing Project: | ||||||||||
440,000 | AA- | 5.000% due 12/1/21 | 450,416 | |||||||
265,000 | AA- | 5.000% due 12/1/22 | 283,367 | |||||||
200,000 | AA- | 5.000% due 12/1/23 | 222,687 | |||||||
430,000 | AA- | 5.000% due 12/1/24 | 495,610 | |||||||
Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, Revenue Bonds: | ||||||||||
334,000 | NR | Series A1, zero coupon, due 7/1/24 | 318,174 | |||||||
664,000 | NR | Series A1, 4.750% due 7/1/53 | 746,445 | |||||||
90,000 | NR | Series A1, 5.000% due 7/1/58 | 102,672 | |||||||
216,000 | NR | Series A2, 4.784% due 7/1/58 | 242,698 | |||||||
|
| |||||||||
Total Puerto Rico | 2,862,069 | |||||||||
|
| |||||||||
South Carolina - 9.2% | ||||||||||
1,535,000 | Aa3(d) | Clemson University, Revenue Bonds, 5.000% due 5/1/29 | 1,788,114 | |||||||
2,000,000 | A | South Carolina Jobs-Economic Development Authority, Revenue Bonds, Prisma Health Obligation Group, Series A, 5.000% due 5/1/28 | 2,514,792 | |||||||
2,970,000 | Aa3(d) | South Carolina Transportation Infrastructure Bank, Revenue Bonds, Remarketing, Series B, 0.524% (1-Month USD-LIBOR + 0.450%) due 10/1/31(b) | 2,971,683 | |||||||
|
| |||||||||
Total South Carolina | 7,274,589 | |||||||||
|
| |||||||||
Tennessee - 1.2% | ||||||||||
860,000 | Aa2(d) | Tennessee Housing Development Agency, Revenue Bonds, Series A, 3.850% due 1/1/35 | 920,705 | |||||||
|
| |||||||||
Texas - 7.8% | ||||||||||
1,000,000 | A1(d) | City of Houston, TX, Airport System Revenue, Revenue Bonds, AMT, Series C, 5.000% due 7/1/26(c) | 1,212,884 | |||||||
295,000 | A | Lower Colorado River Authority, Revenue Bonds, LCRA Transmission Services Corp. Project, 4.000% due 5/15/36 | 303,731 | |||||||
505,000 | NR | New Hope Cultural Education Facilities Finance Corp., Revenue Bonds, Beta Academy, 3.375% due 8/15/29(a) | 516,627 | |||||||
500,000 | AAA | North East, TX, Independent School District, GO, PSF-GTD-Insured, 5.250% due 2/1/28 | 646,337 | |||||||
1,000,000 | A+ | North Texas Tollway Authority, Revenue Bonds, Series A, 5.000% due 1/1/39 | 1,174,524 | |||||||
795,000 | Aaa(d) | Northside Independent School District, GO, PSF-GTD-Insured, 0.700% due 6/1/50(b) | 798,138 | |||||||
1,250,000 | AA | San Antonio Water System, Revenue Bonds, Junior Lien Revenue and Refunding Bonds, Series C, 5.000% due 5/15/46 | 1,504,532 | |||||||
|
| |||||||||
Total Texas | 6,156,773 | |||||||||
|
| |||||||||
Utah - 0.8% | ||||||||||
500,000 | A- | Utah Associated Municipal Power Systems, Revenue Bonds, Horse Butte Wind, Series A, 5.000% due 9/1/32 | 614,022 | |||||||
|
| |||||||||
Virginia - 2.3% | ||||||||||
Virginia College Building Authority, Revenue Bonds: | ||||||||||
350,000 | A | Series A, 5.000% due 1/15/28 | 439,315 | |||||||
585,000 | A | Series A, 5.000% due 1/15/29 | 748,126 | |||||||
500,000 | A | Series A, 5.000% due 1/15/30 | 650,910 | |||||||
|
| |||||||||
Total Virginia | 1,838,351 | |||||||||
|
| |||||||||
Washington - 1.9% | ||||||||||
1,000,000 | AA+ | King County School District No. 401 Highline, GO, SCH BD GTY-Insured, 5.000% due 12/1/35 | 1,263,161 | |||||||
100,000 | NR | Washington State Convention Center Public Facilities District, Revenue Bonds, Junior Lodging Tax Notes, 4.000% due 7/1/31 | 115,464 | |||||||
100,000 | BB(e) | Washington State Housing Finance Commission, Revenue Bonds, Transforming Age Projects, Series A, 5.000% due 1/1/26(a) | 112,414 | |||||||
|
| |||||||||
Total Washington | 1,491,039 | |||||||||
|
| |||||||||
Wisconsin - 2.7% | ||||||||||
90,000 | A+ | Public Finance Authority, Revenue Bonds, Renown Regional Medical Center Project, 5.000% due 6/1/27 | 112,088 | |||||||
Wisconsin Health & Educational Facilities Authority, Revenue Bonds: | ||||||||||
1,300,000 | AA- | Aspirus Inc. Obligation Group, 4.000% due 8/15/40 | 1,408,861 | |||||||
500,000 | AA | Milwaukee Regional Medical Center Thermal Service Obligated Group, 5.000% due 4/1/37 | 629,106 | |||||||
|
| |||||||||
Total Wisconsin | 2,150,055 | |||||||||
|
|
219
Schedules of Investments
(unaudited) (continued)
Municipal Bond Fund
Face Amount |
| Security | Value | |||||||
MUNICIPAL BONDS - 89.3% - (continued) | ||||||||||
Wisconsin - 2.7% - (continued) | ||||||||||
TOTAL MUNICIPAL BONDS (Cost - $65,607,045) | $ | 70,242,689 | ||||||||
|
| |||||||||
Shares/Units | ||||||||||
CLOSED END MUTUAL FUND SECURITY - 3.9% | ||||||||||
United States - 3.9% | ||||||||||
25,800 | iShares ® National Muni Bond ETF, Common Class (Cost - $3,008,973) | 3,017,826 | ||||||||
|
| |||||||||
TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS (Cost - $68,616,018) | 73,260,515 | |||||||||
|
| |||||||||
Face Amount | ||||||||||
SHORT-TERM INVESTMENTS - 6.1% | ||||||||||
TIME DEPOSITS - 6.1% | ||||||||||
1,333,613 | ANZ National Bank - London, 0.005% due 6/1/21 | 1,333,613 | ||||||||
3,498,398 | Sumitomo Mitsui Banking Corp. - Tokyo, 0.005% due 6/1/21 | 3,498,398 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost - $4,832,011) | 4,832,011 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS - 99.3% (Cost - $73,448,029) | 78,092,526 | |||||||||
|
| |||||||||
Other Assets in Excess of Liabilities - 0.7% | 558,474 | |||||||||
|
| |||||||||
TOTAL NET ASSETS - 100.0% | $ | 78,651,000 | ||||||||
|
|
220
Schedules of Investments
(unaudited) (continued)
Municipal Bond Fund
@ | May 28, 2021 represents the last business day of the Funds quarterly period. |
| Amount denominated in U.S. dollars, unless otherwise noted. |
| All ratings are by Standard & Poors Rating Service, unless otherwise noted. |
(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 May 28, 2021, amounts to $5,967,427 and represents 7.6% of net assets. |
(b) | Variable rate security. Interest rate disclosed is that which was in effect at May 28, 2021. |
(c) | Income from this issue is considered a preference item for purposes of calculating the alternative minimum tax (AMT). |
(d) | Rating by Moodys Investors Service. |
(e) | Rating by Fitch Ratings Service. |
(f) | Pre-refunded bonds are escrowed with government obligations and/or government agency securities and are considered by the Manager to be triple-A rated even if the issuer has not applied for new ratings. |
At May 28, 2021, 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 | $ | 73,448,029 | $ | 4,648,842 | $ | (4,345 | ) | $ | 4,644,497 |
Abbreviations used in this schedule:
BAM | | Build America Mutual | ||
ETF | | Exchange-Traded Fund | ||
FGIC | | Financial Guarantee Insurance Company | ||
GO | | General Obligation | ||
LIBOR | | London Interbank Offered Rate | ||
NPFG | | National Public Finance Guarantee Corp. | ||
PSF-GTD | | Permanent School Fund Guaranteed | ||
SCH BD GTY | | School Bond Guaranty |
See pages 252-254 for definitions of ratings.
Summary of Investments by Industry^ | ||||
General Obligation | 15.8 | % | ||
Health Care Providers & Services | 13.3 | |||
Higher Education | 9.1 | |||
Development | 8.0 | |||
School District | 7.2 | |||
Transportation | 7.1 | |||
Airport | 5.7 | |||
Education | 5.2 | |||
Water and Sewer | 4.7 | |||
Capital Markets | 3.9 | |||
Utilities | 3.6 | |||
Tobacco Settlement | 3.6 | |||
Power | 2.0 | |||
Pollution | 1.3 | |||
Single Family Housing | 1.2 | |||
Multi Family Housing | 1.0 | |||
Nursing Homes | 0.8 | |||
Housing | 0.3 | |||
Short-Term Investments | 6.2 | |||
|
| |||
100.0 | % | |||
|
|
^ | As a percentage of total investments. |
221
Schedules of Investments
May 28, 2021@
(unaudited) (continued)
Inflation-Linked Fixed Income Fund
Face Amount/Units | Rating | Security | Value | |||||||
U.S. GOVERNMENT AGENCIES & OBLIGATIONS - 103.4% | ||||||||||
U.S. Treasury Inflation Indexed Bonds: | ||||||||||
$ 1,700,304 | 2.375% due 1/15/25 | $ | 1,999,097 | |||||||
2,032,504 | 2.000% due 1/15/26 | 2,420,961 | ||||||||
2,019,167 | 1.750% due 1/15/28 | 2,462,625 | ||||||||
5,062,038 | 3.625% due 4/15/28 | 6,889,116 | ||||||||
1,964,066 | 2.500% due 1/15/29 | 2,547,275 | ||||||||
2,009,216 | 3.875% due 4/15/29 | 2,845,648 | ||||||||
35,814 | 3.375% due 4/15/32 | 53,010 | ||||||||
1,691,176 | 2.125% due 2/15/40 | 2,489,473 | ||||||||
2,842,396 | 2.125% due 2/15/41 | 4,221,460 | ||||||||
2,110,014 | 0.750% due 2/15/42 | 2,516,786 | ||||||||
449,311 | 0.625% due 2/15/43 | 523,581 | ||||||||
5,193,896 | 1.375% due 2/15/44 | 6,992,149 | ||||||||
809,878 | 0.750% due 2/15/45 | 969,508 | ||||||||
5,242,904 | 1.000% due 2/15/46 | 6,644,559 | ||||||||
1,744,691 | 0.875% due 2/15/47 | 2,170,477 | ||||||||
1,095,613 | 1.000% due 2/15/48 | 1,411,804 | ||||||||
473,924 | 0.250% due 2/15/50 | 514,916 | ||||||||
467,995 | 0.125% due 2/15/51 | 490,678 | ||||||||
U.S. Treasury Inflation Indexed Notes: | ||||||||||
10,871,895 | 0.125% due 4/15/22(a) | 11,193,947 | ||||||||
15,616,872 | 0.125% due 1/15/23(a) | 16,393,090 | ||||||||
8,658,924 | 0.625% due 4/15/23(a) | 9,217,577 | ||||||||
1,929,840 | 0.625% due 1/15/24 | 2,097,370 | ||||||||
5,356,173 | 0.500% due 4/15/24 | 5,826,627 | ||||||||
1,858,320 | 0.125% due 10/15/24 | 2,023,463 | ||||||||
5,537,484 | 0.125% due 4/15/25 | 6,041,678 | ||||||||
408,336 | 0.125% due 10/15/25 | 449,511 | ||||||||
4,525,885 | 0.625% due 1/15/26 | 5,085,833 | ||||||||
6,558,353 | 0.125% due 7/15/26 | 7,262,253 | ||||||||
3,432,139 | 0.375% due 1/15/27 | 3,839,114 | ||||||||
7,807,132 | 0.375% due 7/15/27(a) | 8,793,429 | ||||||||
7,707,952 | 0.500% due 1/15/28 | 8,716,017 | ||||||||
8,030,224 | 0.750% due 7/15/28(a) | 9,277,805 | ||||||||
4,500,253 | 0.875% due 1/15/29 | 5,239,581 | ||||||||
2,865,256 | 0.250% due 7/15/29 | 3,201,214 | ||||||||
1,688,396 | 0.125% due 1/15/30 | 1,858,278 | ||||||||
3,688,167 | 0.125% due 7/15/30 | 4,074,747 | ||||||||
8,262,263 | 0.125% due 1/15/31(b) | 9,073,164 | ||||||||
130,000 | U.S. Treasury Notes, 1.750% due 12/31/24(c) | 136,007 | ||||||||
|
| |||||||||
TOTAL U.S. GOVERNMENT AGENCIES & OBLIGATIONS (Cost - $152,707,555) | 167,963,828 | |||||||||
|
| |||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS - 8.9% | ||||||||||
Alternative Loan Trust: | ||||||||||
262,754 | Caa2(d) | Series 2006-HY11, Class A1, 0.332% (1-Month USD-LIBOR + 0.240%) due | 255,660 | |||||||
43,766 | WR(d) | Series 2007-4CB, Class 1A35, 6.000% due 4/25/37 | 44,021 | |||||||
536,486 | Caa3(d) | Alternative Loan Trust Resecuritization, Series 2008-2R, Class 1A1, 6.000% due | 539,312 | |||||||
835 | AA | American Home Mortgage Investment Trust, Series 2005-2, Class 4A1, 1.706% (6-Month USD-LIBOR + 1.500%) due 9/25/45(e) | 838 | |||||||
400,000 | Aaa(d) | Arch Street CLO Ltd., Series 2016-2A, Class AR2, 1.188% (3-Month USD-LIBOR + 1.000%) due 10/20/28(e)(f) | 400,228 | |||||||
228,211 | Aaa(d) | Bancorp Commercial Mortgage Trust, Series 2019-CRE6, Class A, 1.151% (1-Month USD-LIBOR + 1.050%) due 9/15/36(e)(f) | 228,290 | |||||||
36,738 | NR | Bayview Opportunity Master Fund IVa Trust, Series 2019-SBR1, Class A1, step bond to yield, 3.475% due 6/28/34(f) | 36,987 |
222
Schedules of Investments
(unaudited) (continued)
Inflation-Linked Fixed Income Fund
Face Amount/Units | Rating | Security | Value | |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS - 8.9% - (continued) | ||||||||||
$ 20,642 | WR(d) | Bear Stearns Adjustable Rate Mortgage Trust, Series 2003-3, Class 3A2, 2.831% due 5/25/33(e) | $ | 20,867 | ||||||
228,376 | CCC | Bear Stearns Asset-Backed Securities Trust, Series 2004-1, Class M1, 1.067% (1-Month USD-LIBOR + 0.975%) due 6/25/34(e) | 233,504 | |||||||
300,000 | EUR | Aaa(d) | Carlyle Global Markets Strategis, Series 2014-2A, Class AR1, 0.750% (3-Month EURIBOR + 0.750% ) due 11/15/31(e)(f) | 365,488 | ||||||
45,306 | AA+ | Chevy Chase Funding LLC Mortgage-Backed Certificates, Series 2004-A, Class A1, 0.452% (1-Month USD-LIBOR + 0.360%) due 3/25/35(e)(f) | 46,801 | |||||||
CHL Mortgage Pass-Through Trust: | ||||||||||
763,909 | WR(d) | Series 2005-HYB6, Class 2A1, 2.835% due 10/20/35(e) | 783,669 | |||||||
80,284 | WR(d) | Series 2005-HYB9, Class 2A1, 2.207% (1-Year USD-LIBOR + 1.750%) due | 77,616 | |||||||
110,191 | Caa2(d) | Series 2006-6, Class A4, 6.000% due 4/25/36 | 83,542 | |||||||
157,467 | WD(g) | Series 2007-1, Class A1, 6.000% due 3/25/37 | 120,716 | |||||||
Citigroup Mortgage Loan Trust: | ||||||||||
5,783 | B- | Series 2004-HYB2, Class 2A, 2.395% due 3/25/34(e) | 6,008 | |||||||
202,354 | Caa2(d) | Series 2007-AR4, Class 1A1A, 3.200% due 3/25/37(e) | 202,322 | |||||||
82,102 | NR | Series 2019-B, Class A1, 3.258% due 4/25/66(e)(f) | 82,902 | |||||||
26,312 | WR(d) | Citigroup Mortgage Loan Trust Inc., Series 2004-NCM2, Class 1CB1, 5.500% due 8/25/34 | 27,059 | |||||||
Countrywide Asset-Backed Certificates: | ||||||||||
379,450 | CC | Series 2007-1, Class 1A, 0.232% (1-Month USD-LIBOR + 0.140%) due 7/25/37(e) | 359,687 | |||||||
80,639 | D | Series 2007-6, Class 1A, 0.292% (1-Month USD-LIBOR + 0.200%) due 9/25/37(e) | 75,429 | |||||||
448,110 | CCC | Series 2007-8, Class 1A1, 0.282% (1-Month USD-LIBOR + 0.190%) due 11/25/37(e) | 429,069 | |||||||
598,677 | NR | Credit Suisse Commercial Mortgage, Series 2015-3R, Class 5A2, 0.242% (1-Month USD-LIBOR + 0.150%) due 9/29/36(e)(f) | 586,827 | |||||||
Credit-Based Asset Servicing & Securitization LLC: | ||||||||||
153,000 | BB | Series 2005-CB3, Class M4, 1.142% (1-Month USD-LIBOR + 1.050%) due | 152,937 | |||||||
893,566 | CC | Series 2007-CB6, Class A3, 0.326% (1-Month USD-LIBOR + 0.220%) due | 709,529 | |||||||
149,011 | D | CWABS Asset-Backed Certificates Trust, Series 2004-7, Class MV5, 1.817% (1-Month USD-LIBOR + 1.725%) due 11/25/34(e) | 150,057 | |||||||
400,000 | Aaa(d) | Dryden Senior Loan Fund, Series 2017-47A, Class A1R, zero coupon, (3-Month USD-LIBOR + 0.980%) due 4/15/28(e)(f) | 400,242 | |||||||
854,558 | CCC | Ellington Loan Acquisition Trust, Series 2007-1, Class A1, 1.192% (1-Month USD-LIBOR + 1.100%) due 5/25/37(e)(f) | 856,860 | |||||||
345,749 | NR | Government National Mortgage Association (GNMA), Series 2018-H15, Class FG, 0.599% (1-Year USD-LIBOR + 0.150%) due 8/20/68(e) | 342,886 | |||||||
25,978 | D | GSAA Trust, Series 2006-7, Class AF4A, step bond to yield, 6.720% due 3/25/46 | 19,545 | |||||||
4,506 | AA- | HarborView Mortgage Loan Trust, Series 2005-9, Class 2A1A, 0.779% (1-Month USD-LIBOR + 0.680%) due 6/20/35(e) | 4,432 | |||||||
300,000 | EUR | AAA | Harvest CLO, Series 11A, Class ARR, 0.650% (3-Month EURIBOR+ 0.650%) due 6/26/30(e)(f) | 365,850 | ||||||
707,465 | GBP | AAA | Hawksmoor Mortgages, Series 2019-1A, Class A, 1.099% (Sterling Overnight Index Average + 1.050%) due 5/25/53(e)(f) | 1,009,109 | ||||||
56,760 | B- | IndyMac INDX Mortgage Loan Trust, Series 2005-16IP, Class A1, 0.732% (1-Month USD-LIBOR + 0.640%) due 7/25/45(e) | 50,853 | |||||||
361,731 | CCC | JP Morgan Alternative Loan Trust, Series 2006-A1, Class 1A1, 0.552% (1-Month USD-LIBOR + 0.460%) due 3/25/36(e) | 353,558 | |||||||
141,981 | A- | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2019-FL12, Class A, 1.551% (1-Month USD-LIBOR + 1.450%) due 12/15/31(e)(f) | 141,046 | |||||||
256,438 | EUR | AAA | Jubilee CLO BV, Series 2015-16A, Class A1R, 0.257% (3-Month EURIBOR + 0.800%) due 12/15/29(f)(h) | 312,215 | ||||||
76,600 | NR | Legacy Mortgage Asset Trust, Series 2019-GS3, Class A1, step bond to yield, 3.750% due 4/25/59(f) | 77,340 | |||||||
350,983 | WD(g) | Lehman XS Trust, Series 2007-20N, Class A1, 1.242% (1-Month USD-LIBOR + 1.150%) due 12/25/37(e) | 363,841 | |||||||
179,250 | CC | Long Beach Mortgage Loan Trust, Series 2006-7, Class 2A2, 0.212% (1-Month USD-LIBOR + 0.120%) due 8/25/36(e) | 97,294 | |||||||
421,764 | AAA | Mountain View CLO X Ltd., Series 2015-10A, Class AR, 1.008% (3-Month USD-LIBOR + 0.820%) due 10/13/27(e)(f) | 421,851 | |||||||
10,112 | AA+ | MRFC Mortgage Pass-Through Trust, Series 2000-TBC2, Class A1, 0.581% (1-Month USD-LIBOR + 0.480%) due 6/15/30(e) | 10,160 | |||||||
New Residential Mortgage Loan Trust: | ||||||||||
58,701 | NR | Series 2018-3A, Class A1, 4.500% due 5/25/58(e)(f) | 64,078 | |||||||
312,966 | Aaa(d) | Series 2019-RPL3, Class A1, 2.750% due 7/25/59(e)(f) | 328,008 | |||||||
Option One Mortgage Loan Trust: | ||||||||||
110,647 | CC | Series 2007-1, Class 1A1, 0.232% (1-Month USD-LIBOR + 0.140%) due 1/25/37(e) | 83,225 | |||||||
108,182 | CC | Series 2007-2, Class 1A1, 0.232% (1-Month USD-LIBOR + 0.140%) due 3/25/37(e) | 82,979 | |||||||
528,634 | B+ | RASC Trust, Series 2006-KS3, Class M1, 0.587% (1-Month USD-LIBOR + 0.330%) due 4/25/36(e) | 519,641 | |||||||
536,343 | WD(g) | Residential Asset Securitization Trust, Series 2006-A10, Class A5, 6.500% due 9/25/36 | 304,346 | |||||||
Securitized Asset-Backed Receivables LLC Trust: | ||||||||||
547,411 | CC | Series 2006-FR3, Class A3, 0.592% (1-Month USD-LIBOR + 0.500%) due 5/25/36(e) | 380,459 | |||||||
107,281 | CC | Series 2006-HE2, Class A2C, 0.392% (1-Month USD-LIBOR + 0.300%) due | 60,841 | |||||||
225,321 | B- | Sequoia Mortgage Trust, Series 6, Class A, 0.738% (1-Month USD-LIBOR + 0.640%) due 4/19/27(e) | 223,705 | |||||||
Soundview Home Loan Trust: | ||||||||||
259,515 | CC | Series 2007-OPT1, Class 1A1, 0.292% (1-Month USD-LIBOR + 0.200%) due | 214,964 | |||||||
69,930 | CCC | Series 2007-OPT2, Class 2A3, 0.272% (1-Month USD-LIBOR + 0.180%) due | 67,384 |
223
Schedules of Investments
(unaudited) (continued)
Inflation-Linked Fixed Income Fund
Face Amount/Units | Rating | Security | Value | |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS - 8.9% - (continued) | ||||||||||
$ 136,668 | Aaa(d) | Symphony CLO XIV Ltd., Series 2014-14A, Class AR, 1.136% (3-Month USD-LIBOR + 0.950%) due 7/14/26(e)(f) | $ | 136,748 | ||||||
222,421 | Aaa(d) | Symphony CLO XVII Ltd., Series 2016-17A, Class AR, 1.064% (3-Month USD-LIBOR + 0.880%) due 4/15/28(e)(f) | 222,818 | |||||||
265,136 | Aaa(d) | TICP CLO III-2 Ltd., Series 2018-3R, Class A, 1.028% (3-Month USD-LIBOR + 0.840%) due 4/20/28(e)(f) | 265,347 | |||||||
279,627 | Aaa(d) | Venture XVII CLO Ltd., Series 2014-17A, Class ARR, 1.064% (3-Month USD-LIBOR + 0.880%) due 4/15/27(e)(f) | 279,634 | |||||||
400,000 | Aaa(d) | Voya CLO Ltd., Series 2017-1A, Class A1R, zero coupon, (3-Month USD-LIBOR+ 0.950%) due 4/17/30(e)(f) | 400,241 | |||||||
WaMu Mortgage Pass-Through Certificates Trust: | ||||||||||
10,380 | Baa1(d) | Series 2002-AR2, Class A, 1.627% (11th District Cost of Funds Index + 1.250%) due 2/27/34(e) | 10,615 | |||||||
4,264 | BB | Series 2002-AR17, Class 1A, 1.327% (1-Year Treasury Average Rate + 1.200%) due 11/25/42(e) | 4,207 | |||||||
|
| |||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost - $14,275,378) | 14,495,687 | |||||||||
|
| |||||||||
SOVEREIGN BONDS - 8.7% | ||||||||||
Australia - 0.8% | ||||||||||
Australia Government Bonds: | ||||||||||
1,040,000 | AUD | Aaa(d) | 1.250% due 2/21/22 | 966,456 | ||||||
290,000 | AUD | Aaa(d) | 3.000% due 9/20/25 | 339,433 | ||||||
|
| |||||||||
Total Australia | 1,305,889 | |||||||||
|
| |||||||||
Canada - 0.3% | ||||||||||
Canadian Government Real Return Bonds: | ||||||||||
476,853 | CAD | AAA | 4.250% due 12/1/26 | 517,492 | ||||||
53,706 | CAD | AAA | 0.500% due 12/1/50 | 48,077 | ||||||
|
| |||||||||
Total Canada | 565,569 | |||||||||
|
| |||||||||
France - 0.5% | ||||||||||
605,478 | EUR | AAu(g) | French Republic Government Bonds OAT, 0.100% due 3/1/26(f) | 807,643 | ||||||
|
| |||||||||
Italy - 4.6% | ||||||||||
Italy Buoni Poliennali Del Tesoro: | ||||||||||
3,725,937 | EUR | NR | 1.400% due 5/26/25(f) | 4,916,370 | ||||||
1,947,082 | EUR | Baa3u(d) | 0.400% due 5/15/30(f) | 2,561,945 | ||||||
|
| |||||||||
Total Italy | 7,478,315 | |||||||||
|
| |||||||||
Japan - 2.0% | ||||||||||
Japanese Government CPI Linked Bonds: | ||||||||||
140,517,880 | JPY | A1(d) | 0.100% due 3/10/28 | 1,309,803 | ||||||
181,713,140 | JPY | A1(d) | 0.100% due 3/10/29 | 1,695,283 | ||||||
20,138,400 | JPY | NR | 0.005% due 3/10/31 | 186,395 | ||||||
|
| |||||||||
Total Japan | 3,191,481 | |||||||||
|
| |||||||||
New Zealand - 0.2% | ||||||||||
270,000 | NZD | AAA | New Zealand Government Bonds Inflation Linked Bonds, 2.500% due 9/20/35 | 271,568 | ||||||
|
| |||||||||
Peru - 0.2% | ||||||||||
1,400,000 | PEN | A- | Peru Government Bonds Inflation Linked Bonds, 6.150% due 8/12/32(f) | 402,556 | ||||||
|
| |||||||||
Qatar - 0.1% | ||||||||||
200,000 | AA- | Qatar Government International Bonds, 3.875% due 4/23/23 | 213,270 | |||||||
|
| |||||||||
TOTAL SOVEREIGN BONDS (Cost - $13,423,463) | 14,236,291 | |||||||||
|
| |||||||||
CORPORATE BONDS & NOTES - 5.1% | ||||||||||
Banks - 2.7% | ||||||||||
100,000 | EUR | Ba1(d) | Banco Santander SA, Junior Subordinated Notes, 6.250% (5-Year EUR Swap Rate + 5.640%)(e)(i) | 123,768 | ||||||
200,000 | EUR | Baa3(d) | Cooperatieve Rabobank UA, Junior Subordinated Notes, 6.625% (5-Year EUR Swap Rate + 6.697%)(h)(i) | 245,299 | ||||||
700,000 | BBB- | Deutsche Bank AG, Senior Unsecured Notes, 4.250% due 10/14/21 | 709,830 | |||||||
100,000 | GBP | BBB | HSBC Holdings PLC, Subordinated Notes, 6.000% due 3/29/40 | 201,587 | ||||||
200,000 | BBB+ | Lloyds Banking Group PLC, Senior Unsecured Notes, 0.987% (3-Month USD-LIBOR + 0.800%) due 6/21/21(e) | 200,090 | |||||||
Natwest Group PLC: | ||||||||||
240,000 | B+ | Junior Subordinated Notes, 8.625% (5-Year USD Swap Rate + 7.598%)(e)(i) | 243,003 | |||||||
Senior Unsecured Notes: | ||||||||||
200,000 | BBB | 1.751% (3-Month USD-LIBOR + 1.550%) due 6/25/24(e) | 204,463 | |||||||
200,000 | BBB | 4.519% (3-Month USD-LIBOR + 1.550%) due 6/25/24(e) | 215,865 | |||||||
14,570,657 | DKK | AAA | Nykredit Realkredit AS, Covered Notes, 1.000% due 10/1/50 | 2,297,423 | ||||||
|
| |||||||||
Total Banks | 4,441,328 | |||||||||
|
|
224
Schedules of Investments
(unaudited) (continued)
Inflation-Linked Fixed Income Fund
Face Amount/Units | Rating | Security | Value | |||||||
CORPORATE BONDS & NOTES - 5.1% - (continued) | ||||||||||
Diversified Financial Services - 1.9% | ||||||||||
17,177,429 | DKK | AAA | Jyske Realkredit AS, Covered Notes, 1.000% due 10/1/50 | $ | 2,710,558 | |||||
2,465,684 | DKK | AAA | Nordea Kredit Realkreditaktieselskab, Covered Notes, 1.000% due 10/1/50 | 389,180 | ||||||
|
| |||||||||
Total Diversified Financial Services | 3,099,738 | |||||||||
|
| |||||||||
Electric - 0.1% | ||||||||||
200,000 | BBB+ | NextEra Energy Capital Holdings Inc., Company Guaranteed Notes, 2.800% due 1/15/23 | 207,563 | |||||||
|
| |||||||||
Oil & Gas - 0.4% | ||||||||||
505,000 | BB- | Petrobras Global Finance BV, Company Guaranteed Notes, 5.093% due 1/15/30 | 541,494 | |||||||
|
| |||||||||
TOTAL CORPORATE BONDS & NOTES (Cost - $7,917,234) | 8,290,123 | |||||||||
|
| |||||||||
MORTGAGE-BACKED SECURITIES - 3.6% | ||||||||||
FNMA - 3.6% | ||||||||||
Federal National Mortgage Association (FNMA): | ||||||||||
49,378 | 4.000% due 3/1/50 | 53,079 | ||||||||
1,566,000 | 3.500% due 7/1/51(j) | 1,654,057 | ||||||||
3,800,000 | 4.000% due 8/1/51(j) | 4,066,148 | ||||||||
|
| |||||||||
TOTAL MORTGAGE-BACKED SECURITIES (Cost - $5,783,304) | 5,773,284 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS (Cost - $194,106,934) | 210,759,213 | |||||||||
|
| |||||||||
Face Amount | ||||||||||
SHORT-TERM INVESTMENTS - 0.8% | ||||||||||
TIME DEPOSITS - 0.8% | ||||||||||
968,114 | ANZ National Bank - London, 0.005% due 6/1/21 | 968,114 | ||||||||
BBH - Grand Cayman: | ||||||||||
2,695 | NOK | (0.130)% due 5/31/21 | 322 | |||||||
4,674 | ZAR | 3.500% due 5/31/21 | 339 | |||||||
BNP Paribas - Paris: | ||||||||||
2,636 | DKK | (0.550)% due 5/31/21 | 433 | |||||||
16,332 | NZD | 0.005% due 5/31/21 | 11,836 | |||||||
441 | SGD | 0.005% due 5/31/21 | 333 | |||||||
4,164,730 | JPY | ING Bank, Amsterdam, (0.310)% due 5/31/21 | 37,918 | |||||||
Societe Generale SA - Paris: | ||||||||||
4,897 | SEK | (0.270)% due 5/31/21 | 590 | |||||||
5,371 | AUD | (0.200)% due 5/31/21 | 4,140 | |||||||
674 | CAD | 0.010% due 5/31/21 | 559 | |||||||
Sumitomo Mitsui Banking Corp. - Tokyo: | ||||||||||
152,147 | EUR | (0.780)% due 5/31/21 | 185,543 | |||||||
62,723 | GBP | 0.005% due 6/1/21 | 89,017 | |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost - $1,299,144) | 1,299,144 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS IN SECURITIES (Cost - $195,406,078) | 212,058,357 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS IN PURCHASED OPTIONS (Cost - $162,073) | 310,427 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS - 130.7% (Cost - $195,568,151) | 212,368,784 | |||||||||
|
| |||||||||
Liabilities in Excess of Other Assets - (30.7)% | (49,868,016 | ) | ||||||||
|
| |||||||||
TOTAL NET ASSETS - 100.0% | $ | 162,500,768 | ||||||||
|
|
225
Schedules of Investments
(unaudited) (continued)
Inflation-Linked Fixed Income Fund
@ | May 28, 2021 represents the last business day of the Funds quarterly period. |
| Amount denominated in U.S. dollars, unless otherwise noted. |
| All ratings are by Standard & Poors Rating Service, unless otherwise noted. |
(a) | Position, or portion thereof, has been segregated to collateralize reverse repurchase agreement. |
(b) | All or a portion of this security was purchased in a sale-buyback transaction. The value of this security is $9,073,164 which represents 5.58% of net assets. |
(c) | All or a portion of this security is held at the broker as collateral for open OTC derivative instruments. |
(d) | Rating by Moodys Investors Service. |
(e) | Variable rate security. Interest rate disclosed is that which was in effect at May 28, 2021. |
(f) | Restricted security that may be sold to qualified institutional buyers pursuant to the conditions of Rule 144A under the Securities Act of 1933, as amended. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted. The aggregate value of restricted 144A holdings at May 28, 2021, amounts to $16,426,953 and represents 10.1% of net assets. |
(g) | Rating by Fitch Ratings Service. |
(h) | Inverse Floating Rate Security - interest rate fluctuates with an inverse relationship to an associated interest rate. Indicated rate is the effective rate as of May 28, 2021. |
(i) | Security is perpetual in nature and has no stated maturity date. |
(j) | This security is traded on a TBA basis (see Note 1). |
At May 28, 2021, for Inflation-Linked Fixed Income Fund the aggregate cost of investments, the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:
Fund | Aggregate Cost For Federal Income Tax Purposes | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation | ||||||||||||
Inflation-Linked Fixed Income Fund | $ | 195,568,151 | $ | 18,590,119 | $ | (2,186,195 | ) | $ | 16,403,924 |
Abbreviations used in this schedule:
CLO | | Collateralized Loan Obligation | ||
CPI | | Consumer Price Index | ||
EURIBOR | | Euro Interbank Offered Rate | ||
LIBOR | | London Interbank Offered Rate | ||
PLC | | Public Limited Company |
Summary of Investments by Security Type^ | ||||
U.S. Government Agencies & Obligations | 79.1 | % | ||
Collateralized Mortgage Obligations | 6.8 | |||
Sovereign Bonds | 6.7 | |||
Corporate Bonds & Notes | 3.9 | |||
Mortgage-Backed Securities | 2.7 | |||
Purchased Options | 0.2 | |||
Short-Term Investments | 0.6 | |||
|
| |||
100.0 | % | |||
|
|
^ | As a percentage of total investments. |
226
Schedules of Investments
(unaudited) (continued)
Inflation-Linked Fixed Income Fund
At May 28, 2021, Inflation-Linked 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 | ||||||||||||||||
6,400,000 | $8,616 | OTC 5-Year Swaption, 3-Month USD-LIBOR, Call | BCLY | 8/24/21 | 0.700% | $ | 6,371 | |||||||||||||||
300,000 | 1,620 EUR | OTC 30-Year Swaption, 3-Month EURIBOR, Put | BCLY | 11/4/22 | 0.197% | 50,573 | ||||||||||||||||
1,500,000 | 8,100 EUR | OTC 30-Year Swaption, 3-Month EURIBOR, Put | BNP | 11/4/22 | 0.197% | 252,867 | ||||||||||||||||
|
| |||||||||||||||||||||
Total Interest Rate Swaptions | $ | 309,811 | ||||||||||||||||||||
|
| |||||||||||||||||||||
| Option on Futures
| |||||||||||||||||||||
Number of Contracts | Notional Amount | Security Name | Counterparty | Expiration Date | Strike Price | Value | ||||||||||||||||
100,000 | $10,323,000 | OTC Federal National Mortgage Association (FNMA) 30-Year August Futures, Put | JPM | 8/5/21 | $103.23 | $ | 616 | |||||||||||||||
|
| |||||||||||||||||||||
TOTAL OPTIONS CONTRACTS PURCHASED (Cost - $162,073) |
| $ | 310,427 | |||||||||||||||||||
|
|
| Amount denominated in U.S. dollars, unless otherwise noted. |
227
Schedules of Investments
(unaudited) (continued)
Inflation-Linked Fixed Income Fund
At May 28, 2021, Inflation-Linked Fixed Income Fund held the following Options Contracts Written:
Credit Default Swaptions
Number of Contracts | Notional Amount | Security Name | Counterparty | Expiration Date | Exercise Rate | Value | ||||||||||||||||||
300,000 | $ | 151,179 | OTC Markit CDX North America Investment Grade Series 36 5-Year Index,, Call | BCLY | 8/18/21 | 0.475% | $ | 183 | ||||||||||||||||
300,000 | 151,179 | OTC Markit CDX North America Investment Grade Series 36 5-Year Index, Call | DUB | 8/18/21 | 0.475% | 183 | ||||||||||||||||||
300,000 | 151,179 | OTC Markit CDX North America Investment Grade Series 36 5-Year Index, Put | BCLY | 9/15/21 | 0.800% | 263 | ||||||||||||||||||
100,000 | 109,599 | OTC Markit CDX North America High Yied Series 35 5-Year Index, Put | BNP | 7/21/21 | 100.000% | 90 | ||||||||||||||||||
300,000 | 151,179 | OTC Markit CDX North America Investment Grade Series 36 5-Year Index, Put | DUB | 9/15/21 | 0.800% | 263 | ||||||||||||||||||
600,000 | 274,800 | OTC Markit CDX North America Investment Grade Series 35 5-Year Index, Put | DUB | 6/16/21 | 0.900% | 7 | ||||||||||||||||||
800,000 | 403,144 | OTC Markit CDX North America Investment Grade Series 36 5-Year Index, Put | DUB | 9/15/21 | 0.900% | 538 | ||||||||||||||||||
100,000 | 42,556 | EUR | OTC Markit iTraxx Europe Series 34 5-Year Index, Call | BCLY | 7/21/21 | 0.400% | 56 | |||||||||||||||||
1,000,000 | 503,400 | EUR | OTC Markit iTraxx Europe Series 35 5-Year Index, Put | BCLY | 8/18/21 | 0.700% | 897 | |||||||||||||||||
100,000 | 42,556 | EUR | OTC Markit iTraxx Europe Series 34 5-Year Index, Put | BCLY | 7/21/21 | 0.750% | 44 | |||||||||||||||||
100,000 | 50,340 | EUR | OTC Markit iTraxx Europe Series 35 5-Year Index, Put | BCLY | 7/21/21 | 0.750% | 42 | |||||||||||||||||
200,000 | 100,680 | EUR | OTC Markit iTraxx Europe Series 35 5-Year Index, Put | BCLY | 8/18/21 | 0.750% | 152 | |||||||||||||||||
200,000 | 85,112 | EUR | OTC Markit iTraxx Europe Series 34 5-Year Index, Put | BCLY | 6/16/21 | 0.800% | 3 | |||||||||||||||||
200,000 | 100,680 | EUR | OTC Markit iTraxx Europe Series 35 5-Year Index, Put | BCLY | 8/18/21 | 0.800% | 128 | |||||||||||||||||
300,000 | 127,668 | EUR | OTC Markit iTraxx Europe Series 34 5-Year Index, Put | BCLY | 6/16/21 | 0.850% | 3 | |||||||||||||||||
200,000 | 100,680 | EUR | OTC Markit iTraxx Europe Series 35 5-Year Index, Put | BCLY | 8/18/21 | 0.850% | 113 | |||||||||||||||||
200,000 | 100,680 | EUR | OTC Markit iTraxx Europe Series 35 5-Year Index, Put | BNP | 8/18/21 | 0.825% | 119 | |||||||||||||||||
200,000 | 100,680 | EUR | OTC Markit iTraxx Europe Series 35 5-Year Index, Put | DUB | 8/18/21 | 0.800% | 128 | |||||||||||||||||
800,000 | 402,720 | EUR | OTC Markit iTraxx Europe Series 35 5-Year Index, Put | DUB | 9/15/21 | 0.800% | 793 | |||||||||||||||||
200,000 | 100,680 | EUR | OTC Markit iTraxx Europe Series 35 5-Year Index, Put | DUB | 8/18/21 | 0.850% | 113 | |||||||||||||||||
|
| |||||||||||||||||||||||
Total Credit Default Swaptions | $ | 4,118 | ||||||||||||||||||||||
|
|
Interest Rate Swaptions
Number of Contracts | Notional Amount | Security Name | Counterparty | Expiration Date | Exercise Rate | Value | ||||||||||||||||||
12,800,000 | $ | 17,233 | OTC 5-Year Swaption, 3-Month USD-LIBOR, Call | BCLY | 8/24/21 | 0.550% | $ | 3,648 | ||||||||||||||||
860,000 | 4,644 | EUR | OTC 10-Year Swaption, 3-Month EURIBOR, Put | BCLY | 11/4/22 | 0.000% | 45,669 | |||||||||||||||||
4,440,000 | 23,976 | EUR | OTC 10-Year Swaption, 3-Month EURIBOR, Put | BNP | 11/4/22 | 0.000% | 235,781 | |||||||||||||||||
3,200,000 | 4,308 | OTC 10-Year Swaption, 3-Month USD-LIBOR, Put | DUB | 9/29/21 | 2.300% | 6,673 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Interest Rate Swaptions | $ | 291,771 | ||||||||||||||||||||||
|
|
228
Schedules of Investments
(unaudited) (continued)
Inflation-Linked Fixed Income Fund
Options on Futures
Number of Contracts | Notional Amount | Security Name | Counterparty | Expiration Date | Strike Price | Value | ||||||||||||||||||
100,000 | $ | 10,053,000 | OTC Federal National Mortgage Association (FNMA) 30-Year June Futures, Call | JPM | 6/7/21 | $100.53 | $ | 601 | ||||||||||||||||
100,000 | 9,853,000 | OTC Federal National Mortgage Association (FNMA) 30-Year June Futures, Put | JPM | 6/7/21 | $98.53 | 3 | ||||||||||||||||||
200,000 | 20,446,000 | OTC Federal National Mortgage Association (FNMA) 30-Year August Futures, Put | JPM | 8/5/21 | $102.23 | 669 | ||||||||||||||||||
100,000 | 10,230,000 | OTC Government National Mortgage Association II (GNMA) 30-Year August Futures, Put | JPM | 8/12/21 | $102.30 | 365 | ||||||||||||||||||
100,000 | 10,374,000 | OTC Federal National Mortgage Association (FNMA) 30-Year June Futures, Put | JPM | 6/7/21 | $103.74 | 1 | ||||||||||||||||||
100,000 | 10,388,000 | OTC Federal National Mortgage Association (FNMA) 30-Year June Futures, Put | JPM | 6/7/21 | $103.88 | 2 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Options on Futures | $ | 1,641 | ||||||||||||||||||||||
|
| |||||||||||||||||||||||
TOTAL OPTIONS CONTRACTS WRITTEN (Premiums received - $187,060) | $ | 297,530 | ||||||||||||||||||||||
|
|
| Amount denominated in U.S. dollars, unless otherwise noted. |
At May 28, 2021, Inflation-Linked Fixed Income Fund held the following Reverse Repurchase Agreements:
Face Amounts | Security | Value | ||||||
Bank of America: | ||||||||
$ | 794,500 | 0.030% due 6/3/21 | $ | 794,500 | ||||
Nomura Securities International, Inc.: | ||||||||
37,164,960 | 0.040% due 6/17/21 | 37,164,960 | ||||||
|
| |||||||
TOTAL REVERSE REPURCHASE AGREEMENTS (Proceeds - $37,959,460) | $ | 37,959,460 | ||||||
|
|
| Amount denominated in U.S. dollars, unless otherwise noted. |
For the period ended May 28, 2021, the daily average borrowing and interest rate under the reverse repurchase agreements were $49,184,729 and 0.128%, respectively.
229
Schedules of Investments
(unaudited) (continued)
Inflation-Linked Fixed Income Fund
At May 28, 2021, Inflation-Linked Fixed Income Fund had open exchange-traded futures contracts as described below.
The unrealized appreciation (depreciation) on the open contracts 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 June Futures | 21 | 6/21 | $ | 3,458,417 | $ | 3,450,624 | $ | (7,793 | ) | |||||||||||
Euro-Bund September Futures | 25 | 9/21 | 5,215,021 | 5,228,301 | 13,280 | |||||||||||||||
U.S. Treasury 2-Year Note September Futures | 3 | 9/21 | 662,203 | 662,203 | | |||||||||||||||
U.S. Treasury 5-Year Note September Futures | 142 | 9/21 | 17,567,768 | 17,586,922 | 19,154 | |||||||||||||||
|
| |||||||||||||||||||
24,641 | ||||||||||||||||||||
|
| |||||||||||||||||||
Contracts to Sell: | ||||||||||||||||||||
Australian Government 3-Year Bond June Futures | 8 | 6/21 | 721,688 | 723,248 | (1,560 | ) | ||||||||||||||
Euro-BTP June Futures | 14 | 6/21 | 2,548,914 | 2,515,536 | 33,378 | |||||||||||||||
Euro-Buxl 30-Year Bond June Futures | 20 | 6/21 | 5,064,071 | 4,901,902 | 162,169 | |||||||||||||||
Euro-Schatz Note September Futures | 194 | 9/21 | 26,530,417 | 26,533,966 | (3,549 | ) | ||||||||||||||
Japan Government 10-Year Bond June Futures | 3 | 6/21 | 4,121,774 | 4,136,114 | (14,340 | ) | ||||||||||||||
U.S. Treasury 10-Year Note September Futures | 6 | 9/21 | 789,328 | 791,625 | (2,297 | ) | ||||||||||||||
U.S. Treasury Long Bond September Futures | 12 | 9/21 | 1,868,064 | 1,878,375 | (10,311 | ) | ||||||||||||||
U.S. Treasury Ultra Long Bond September Futures | 19 | 9/21 | 3,486,286 | 3,519,750 | (33,464 | ) | ||||||||||||||
U.S. Ultra Long Bond September Futures | 18 | 9/21 | 2,599,500 | 2,609,156 | (9,656 | ) | ||||||||||||||
|
| |||||||||||||||||||
120,370 | ||||||||||||||||||||
|
| |||||||||||||||||||
Net Unrealized Appreciation on Open Exchange-Traded Futures Contracts |
| $ | 145,011 | |||||||||||||||||
|
|
At May 28, 2021, Inflation-Linked Fixed Income Fund had deposited cash of $427,000 with a broker or brokers as margin collateral on an open exchange-traded futures contracts.
230
Schedules of Investments
(unaudited) (continued)
Inflation-Linked Fixed Income Fund
At May 28, 2021, Inflation-Linked Fixed Income Fund had open forward foreign currency contracts as described below.
The unrealized appreciation (depreciation) on the open contracts were as follows:
Foreign Currency | Local Currency | In Exchange For | Counterparty | Market Value | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
Contracts to Buy: | ||||||||||||||||||||||||||||
Chinese Offshore Renminbi | 1,241,000 | USD | 191,170 | BCLY | $ | 194,941 | 6/16/21 | $ | 3,771 | |||||||||||||||||||
Chinese Offshore Renminbi | 1,299,000 | USD | 200,423 | SCB | 204,052 | 6/16/21 | 3,629 | |||||||||||||||||||||
Danish Krone | 1,455,000 | USD | 231,321 | JPM | 238,706 | 7/1/21 | 7,385 | |||||||||||||||||||||
Euro | 68,000 | USD | 82,725 | BNP | 82,926 | 6/2/21 | 201 | |||||||||||||||||||||
Indonesian Rupiah | 2,909,073,000 | USD | 201,000 | JPM | 203,408 | 6/16/21 | 2,408 | |||||||||||||||||||||
Indonesian Rupiah | 2,785,152,000 | USD | 192,000 | JPM | 194,743 | 6/16/21 | 2,743 | |||||||||||||||||||||
Norwegian Krone | 3,370,000 | USD | 400,383 | BNP | 403,155 | 8/17/21 | 2,772 | |||||||||||||||||||||
Peruvian Sol | 1,887,374 | USD | 493,199 | BCLY | 495,443 | 6/15/21 | 2,244 | |||||||||||||||||||||
Swedish Krona | 3,300,000 | USD | 394,856 | SCB | 397,638 | 8/17/21 | 2,782 | |||||||||||||||||||||
|
| |||||||||||||||||||||||||||
27,935 | ||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||
Contracts to Sell: | ||||||||||||||||||||||||||||
Australian Dollar | 1,190,000 | USD | 920,556 | BCLY | 917,371 | 6/2/21 | 3,185 | |||||||||||||||||||||
British Pound | 29,000 | USD | 40,954 | JPM | 41,157 | 6/2/21 | (203 | ) | ||||||||||||||||||||
British Pound | 901,000 | USD | 1,251,288 | SCB | 1,278,700 | 6/2/21 | (27,412 | ) | ||||||||||||||||||||
Canadian Dollar | 193,000 | USD | 156,995 | BNP | 159,834 | 6/2/21 | (2,839 | ) | ||||||||||||||||||||
Danish Krone | 21,549,614 | USD | 3,418,061 | JPM | 3,535,405 | 7/1/21 | (117,344 | ) | ||||||||||||||||||||
Danish Krone | 13,141,502 | USD | 2,091,260 | MLP | 2,155,980 | 7/1/21 | (64,720 | ) | ||||||||||||||||||||
Euro | 301,000 | USD | 367,224 | HSBC | 367,069 | 6/2/21 | 155 | |||||||||||||||||||||
Euro | 299,000 | USD | 364,413 | MLP | 364,631 | 6/2/21 | (218 | ) | ||||||||||||||||||||
Euro | 7,516,000 | USD | 9,052,832 | SCB | 9,165,764 | 6/2/21 | (112,932 | ) | ||||||||||||||||||||
Japanese Yen | 10,200,000 | USD | 93,640 | BCLY | 92,867 | 6/2/21 | 773 | |||||||||||||||||||||
Japanese Yen | 10,200,000 | USD | 93,437 | MLP | 92,866 | 6/2/21 | 571 | |||||||||||||||||||||
Japanese Yen | 325,573,931 | USD | 2,979,109 | SCB | 2,964,209 | 6/2/21 | 14,900 | |||||||||||||||||||||
Japanese Yen | 6,300,000 | USD | 57,714 | SCB | 57,359 | 6/2/21 | 355 | |||||||||||||||||||||
New Zealand Dollar | 355,000 | USD | 257,180 | HSBC | 257,269 | 6/2/21 | (89 | ) | ||||||||||||||||||||
Peruvian Sol | 1,887,374 | USD | 520,110 | HSBC | 495,443 | 6/15/21 | 24,667 | |||||||||||||||||||||
Peruvian Sol | 1,887,374 | USD | 493,444 | BCLY | 496,511 | 7/13/21 | (3,067 | ) | ||||||||||||||||||||
|
| |||||||||||||||||||||||||||
(284,218 | ) | |||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||
Net Unrealized Depreciation on Open Forward Foreign Currency Contracts |
| $ | (256,283 | ) | ||||||||||||||||||||||||
|
|
At May 28, 2021, 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 (Received) | Unrealized Appreciation | ||||||||||||||||||||||||||
Receive | 3-Month FRA New Zealand Bank Bill | 3.250 | % | 3/21/28 | 6-Month | NZD | 700,000 | $ | (63,652 | ) | $ | (103,179 | ) | $ | 39,527 | |||||||||||||||||||
Receive | 6-Month JPY-LIBOR | 0.300 | % | 9/20/27 | 6-Month | JPY | 5,590,000 | (984 | ) | (1,230 | ) | 246 | ||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||
$ | (64,636 | ) | $ | (104,409 | ) | $ | 39,773 | |||||||||||||||||||||||||||
|
|
|
|
|
|
231
Schedules of Investments
(unaudited) (continued)
Inflation-Linked Fixed Income Fund
At May 28, 2021, Inflation-Linked Fixed Income Fund held the following Centrally Cleared Inflation Rate Swap Contracts:
Pay/ Receive Floating Rate | Floating Rate Index | Fixed Rate | Maturity Date | Notional Amount | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||
Receive | 2-Year EUR Inflation Linked | 0.090% | 5/15/22 | EUR | 100,000 | $ | 2,945 | $ | 423 | $ | 2,522 | |||||||||||||||||
Receive | 2-Year EUR Inflation Linked | 0.330% | 7/15/22 | EUR | 600,000 | 18,666 | 2,849 | 15,817 | ||||||||||||||||||||
Receive | 5-Year EUR Inflation Linked | 1.030% | 3/15/24 | EUR | 2,000,000 | (10,517 | ) | (75,970 | ) | 65,453 | ||||||||||||||||||
Pay | 10-Year EUR Inflation Linked | 1.380% | 3/15/31 | EUR | 1,300,000 | (44,483 | ) | (9,569 | ) | (34,914 | ) | |||||||||||||||||
Pay | 10-Year EUR Inflation Linked | 1.620% | 5/15/28 | EUR | 910,000 | 30,789 | 93,051 | (62,262 | ) | |||||||||||||||||||
Receive | 15-Year EUR Inflation Linked | 1.710% | 3/15/33 | EUR | 100,000 | (5,693 | ) | (15,114 | ) | 9,421 | ||||||||||||||||||
Pay | 5-Year GBP Inflation Linked | 3.330% | 1/15/25 | GBP | 4,000,000 | 33,768 | 41,097 | (7,329 | ) | |||||||||||||||||||
Pay | 5-Year GBP Inflation Linked | 3.850% | 9/15/24 | GBP | 1,300,000 | 79,053 | 76,362 | 2,691 | ||||||||||||||||||||
Pay | 10-Year GBP Inflation Linked | 3.475% | 8/15/30 | GBP | 900,000 | (35,476 | ) | 9,395 | (44,871 | ) | ||||||||||||||||||
Pay | 10-Year GBP Inflation Linked | 3.717% | 12/15/28 | GBP | 920,000 | 66,233 | 69,593 | (3,360 | ) | |||||||||||||||||||
Pay | 10-Year GBP Inflation Linked | 3.750% | 4/15/31 | GBP | 520,000 | (2,014 | ) | (4 | ) | (2,010 | ) | |||||||||||||||||
Pay | 15-Year GBP Inflation Linked | 3.566% | 3/15/36 | GBP | 100,000 | (3,321 | ) | | (3,321 | ) | ||||||||||||||||||
Pay | 15-Year GBP Inflation Linked | 3.580% | 3/15/36 | GBP | 300,000 | (8,686 | ) | (2,006 | ) | (6,680 | ) | |||||||||||||||||
Pay | 1-Year USD Inflation Linked | 0.860% | 6/15/21 | USD | 100,000 | (2,477 | ) | (877 | ) | (1,600 | ) | |||||||||||||||||
Pay | 1-Year USD Inflation Linked | 0.900% | 6/17/21 | USD | 2,000,000 | (50,797 | ) | (17,863 | ) | (32,934 | ) | |||||||||||||||||
Pay | 1-Year USD Inflation Linked | 1.030% | 6/18/21 | USD | 1,400,000 | (34,460 | ) | (11,080 | ) | (23,380 | ) | |||||||||||||||||
Pay | 1-Year USD Inflation Linked | 1.420% | 7/9/21 | USD | 400,000 | (12,575 | ) | (3,361 | ) | (9,214 | ) | |||||||||||||||||
Pay | 1-Year USD Inflation Linked | 1.825% | 8/14/21 | USD | 1,100,000 | (32,030 | ) | (5,453 | ) | (26,577 | ) | |||||||||||||||||
Pay | 1-Year USD Inflation Linked | 1.840% | 8/14/21 | USD | 600,000 | (17,381 | ) | (2,885 | ) | (14,496 | ) | |||||||||||||||||
Pay | 1-Year USD Inflation Linked | 1.862% | 8/26/21 | USD | 400,000 | (10,954 | ) | (1,304 | ) | (9,650 | ) | |||||||||||||||||
Pay | 1-Year USD Inflation Linked | 2.155% | 1/19/22 | USD | 400,000 | (7,655 | ) | | (7,655 | ) | ||||||||||||||||||
Pay | 1-Year USD Inflation Linked | 2.155% | 2/4/22 | USD | 1,800,000 | (34,914 | ) | | (34,914 | ) | ||||||||||||||||||
Pay | 1-Year USD Inflation Linked | 2.170% | 2/1/22 | USD | 1,100,000 | (21,267 | ) | | (21,267 | ) | ||||||||||||||||||
Pay | 1-Year USD Inflation Linked | 2.180% | 1/19/22 | USD | 1,300,000 | (24,554 | ) | (20 | ) | (24,534 | ) | |||||||||||||||||
Pay | 1-Year USD Inflation Linked | 2.200% | 1/21/22 | USD | 600,000 | (11,245 | ) | | (11,245 | ) | ||||||||||||||||||
Pay | 1-Year USD Inflation Linked | 2.200% | 2/5/22 | USD | 400,000 | (7,556 | ) | | (7,556 | ) | ||||||||||||||||||
Receive | 5-Year USD Inflation Linked | 2.210% | 2/5/23 | USD | 2,090,000 | 24,419 | (62,311 | ) | 86,730 | |||||||||||||||||||
Receive | 5-Year USD Inflation Linked | 2.220% | 4/13/23 | USD | 6,296,000 | 57,804 | (214,466 | ) | 272,270 | |||||||||||||||||||
Receive | 5-Year USD Inflation Linked | 2.703% | 5/25/26 | USD | 510,000 | 186 | 81 | 105 | ||||||||||||||||||||
Receive | 5-Year USD Inflation Linked | 2.767% | 5/13/26 | USD | 500,000 | (997 | ) | | (997 | ) | ||||||||||||||||||
Receive | 5-Year USD Inflation Linked | 2.813% | 5/14/26 | USD | 300,000 | (1,363 | ) | | (1,363 | ) | ||||||||||||||||||
Receive | 7-Year USD Inflation Linked | 1.797% | 8/25/27 | USD | 600,000 | 45,860 | 5,868 | 39,992 | ||||||||||||||||||||
Receive | 7-Year USD Inflation Linked | 1.890% | 8/27/27 | USD | 700,000 | 48,527 | 1,693 | 46,834 | ||||||||||||||||||||
Pay | 10-Year USD Inflation Linked | 1.280% | 5/19/30 | USD | 800,000 | (108,464 | ) | (50,027 | ) | (58,437 | ) | |||||||||||||||||
Pay | 10-Year USD Inflation Linked | 1.760% | 11/4/29 | USD | 1,200,000 | (99,525 | ) | (8,764 | ) | (90,761 | ) | |||||||||||||||||
Pay | 10-Year USD Inflation Linked | 1.882% | 11/20/29 | USD | 1,500,000 | (105,493 | ) | 9,233 | (114,726 | ) | ||||||||||||||||||
Receive | 10-Year USD Inflation Linked | 2.311% | 2/24/31 | USD | 2,300,000 | 79,453 | 1,035 | 78,418 | ||||||||||||||||||||
Pay | 10-Year USD Inflation Linked | 2.335% | 2/5/28 | USD | 960,000 | (11,906 | ) | 59,292 | (71,198 | ) | ||||||||||||||||||
Pay | 10-Year USD Inflation Linked | 2.352% | 5/9/28 | USD | 360,000 | (3,120 | ) | 24,122 | (27,242 | ) | ||||||||||||||||||
Pay | 10-Year USD Inflation Linked | 2.360% | 5/9/28 | USD | 540,000 | (4,214 | ) | 36,670 | (40,884 | ) | ||||||||||||||||||
Pay | 10-Year USD Inflation Linked | 2.364% | 5/10/28 | USD | 550,000 | (4,083 | ) | 37,569 | (41,652 | ) | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | (229,517 | ) | $ | (12,741 | ) | $ | (216,776 | ) | ||||||||||||||||||||
|
|
|
|
|
|
232
Schedules of Investments
(unaudited) (continued)
Inflation-Linked Fixed Income Fund
At May 28, 2021, Inflation-Linked Fixed Income Fund held the following Centrally Cleared Credit Default Swap Contracts:
Centrally Cleared - Credit Default Swaps on Corporate Issues - Sell Protection (1)
Reference Obligation | Fixed Deal Receive Rate | Maturity Date | Payment Frequency | Implied Credit Spread at 5/28/21 (2) | Notional Amount (3) | Market Value | Upfront Payment (Received) | Unrealized Appreciation | ||||||||||||||||||||||
General Electric Co., BBB+ | 1.000% | 12/20/23 | 3-Month | 0.005% | USD | 100,000 | $ | 1,859 | $ | (176 | ) | $ | 2,035 | |||||||||||||||||
|
|
|
|
|
|
(1) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entitys credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as Defaulted indicates a credit event has occurred for the referenced entity or obligation. |
(3) | The maximum potential amount the Fund could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
At May 28, 2021, Inflation-Linked Fixed Income Fund deposited cash collateral with brokers in the amount of $589,000 for open centrally cleared swap contracts.
233
Schedules of Investments
(unaudited) (continued)
Inflation-Linked Fixed Income Fund
See pages 252-254 for definitions of ratings.
At May 28, 2021, Inflation-Linked Fixed Income Fund was involved in following sale-buyback transaction:
Counterparty | Borrowing date | Maturity date | Borrowing rate | Amount borrowed | ||||||||||
BofA Securities, Inc. | 5/24/2021 | 6/1/2021 | 0.18% | $ | 8,831,125 | |||||||||
|
|
234
Schedules of Investments
May 28, 2021@
(unaudited) (continued)
Ultra-Short Term Fixed Income Fund
Face Amount/Units | Rating | Security | Value | |||||||
CORPORATE BONDS & NOTES - 34.3% | ||||||||||
Aerospace/Defense - 1.0% | ||||||||||
Boeing Co. (The), Senior Unsecured Notes: | ||||||||||
$ 1,200,000 | BBB- | 4.508% due 5/1/23 | $ | 1,282,200 | ||||||
100,000 | BBB- | 1.875% due 6/15/23 | 102,232 | |||||||
3,100,000 | BBB- | 1.433% due 2/4/24 | 3,110,827 | |||||||
|
| |||||||||
Total Aerospace/Defense | 4,495,259 | |||||||||
|
| |||||||||
Agriculture - 0.9% | ||||||||||
400,000 | BBB+ | BAT Capital Corp., Company Guaranteed Notes, 3.222% due 8/15/24 | 426,219 | |||||||
2,700,000 | BBB | Imperial Brands Finance PLC, Company Guaranteed Notes, 3.750% due 7/21/22(a) | 2,778,417 | |||||||
600,000 | BBB+ | Reynolds American Inc., Company Guaranteed Notes, 4.450% due 6/12/25 | 667,583 | |||||||
|
| |||||||||
Total Agriculture | 3,872,219 | |||||||||
|
| |||||||||
Airlines - 0.0% | ||||||||||
81,259 | BBB+ | Northwest Airlines Inc. Class G-2 Pass-Through Trust, Pass-Thru Certificates, 6.264% due 11/20/21 | 80,868 | |||||||
|
| |||||||||
Auto Manufacturers - 4.7% | ||||||||||
Ford Motor Credit Co. LLC, Senior Unsecured Notes: | ||||||||||
2,800,000 | BB+ | 5.875% due 8/2/21 | 2,817,500 | |||||||
300,000 | BB+ | 3.340% (3-Month USD-LIBOR + 3.140%) due 1/7/22(b) | 302,877 | |||||||
500,000 | BB+ | 3.219% due 1/9/22 | 506,025 | |||||||
500,000 | BB+ | 2.979% due 8/3/22 | 508,353 | |||||||
200,000 | BBB | General Motors Co., Senior Unsecured Notes, 1.083% (3-Month USD-LIBOR + 0.900%) due 9/10/21(b) | 200,366 | |||||||
General Motors Financial Co., Inc.: | ||||||||||
Company Guaranteed Notes: | ||||||||||
500,000 | BBB | 1.736% (3-Month USD-LIBOR + 1.550%) due 1/14/22(b) | 504,119 | |||||||
1,500,000 | BBB | 1.509% (3-Month USD-LIBOR + 1.310%) due 6/30/22(b) | 1,516,988 | |||||||
2,400,000 | BBB | Senior Unsecured Notes, 1.275% (3-Month USD-LIBOR + 1.100%) due 11/6/21(b) | 2,408,885 | |||||||
700,000 | BBB- | Harley-Davidson Financial Services Inc., Company Guaranteed Notes, 4.050% due 2/4/22(a) | 717,290 | |||||||
Hyundai Capital America, Senior Unsecured Notes: | ||||||||||
1,400,000 | BBB+ | 1.137% (3-Month USD-LIBOR + 0.940%) due 7/8/21(b) | 1,400,935 | |||||||
1,500,000 | BBB+ | 0.800% due 4/3/23(a) | 1,500,300 | |||||||
Nissan Motor Acceptance Corp., Senior Unsecured Notes: | ||||||||||
200,000 | BBB- | 0.817% (3-Month USD-LIBOR + 0.630%) due 9/21/21(a)(b) | 200,195 | |||||||
1,000,000 | BBB- | 3.650% due 9/21/21(a) | 1,009,259 | |||||||
500,000 | BBB- | 2.650% due 7/13/22 | 509,508 | |||||||
2,400,000 | BBB- | 0.883% (3-Month USD-LIBOR + 0.690%) due 9/28/22(a)(b) | 2,404,919 | |||||||
520,000 | AUD | BBB+ | Volkswagen Financial Services Australia Pty Ltd., Company Guaranteed Notes, 1.337% (3-Month Australian Bank Bill + 1.300%) due 9/14/22(b) | 404,713 | ||||||
4,000,000 | CAD | BBB+ | VW Credit Canada Inc., (Restricted, cost - $3,234,910, acquired 3/5/21), Company Guaranteed Notes, 2.650% due 6/27/22(c) | 3,384,871 | ||||||
|
| |||||||||
Total Auto Manufacturers | 20,297,103 | |||||||||
|
| |||||||||
Banks - 13.9% | ||||||||||
1,000,000 | A1(d) | ABN AMRO Bank NV, Senior Unsecured Notes, 0.990% (3-Month USD-LIBOR + 0.800%) due 7/19/22(b) | 1,007,330 | |||||||
700,000 | BBB+ | Aozora Bank Ltd., Senior Unsecured Notes, 2.550% due 9/9/22 | 715,482 | |||||||
800,000 | A- | Banco Santander Chile, Senior Unsecured Notes, 1.335% (3-Month USD-LIBOR + 1.200%) due 11/28/21(b) | 802,489 | |||||||
3,500,000 | CAD | A- | Bank of America Corp., (Restricted, cost - $1,933,841, acquired 10/5/20), Senior Unsecured Notes, 2.604% (3-Month Canadian Bank Bill + 1.125%) due 3/15/23(b)(c) | 2,946,536 | ||||||
Barclays PLC, Senior Unsecured Notes: | ||||||||||
300,000 | BBB | 1.586% (3-Month USD-LIBOR + 1.430%) due 2/15/23(b) | 302,363 | |||||||
500,000 | BBB | 1.536% (3-Month USD-LIBOR + 1.380%) due 5/16/24(b) | 509,285 | |||||||
704,000 | BB+ | CIT Group Inc., Senior Unsecured Notes, 5.000% due 8/15/22 | 740,080 | |||||||
Citigroup Inc., Senior Unsecured Notes: | ||||||||||
1,500,000 | BBB+ | 1.126% (3-Month USD-LIBOR + 0.950%) due 7/24/23(b) | 1,512,540 | |||||||
2,100,000 | BBB+ | 1.565% (3-Month USD-LIBOR + 1.430%) due 9/1/23(b) | 2,131,586 | |||||||
500,000 | BBB+ | 1.256% (3-Month USD-LIBOR + 1.100%) due 5/17/24(b) | 507,903 |
235
Schedules of Investments
(unaudited) (continued)
Ultra-Short Term Fixed Income Fund
Face Amount/Units | Rating | Security | Value | |||||||
CORPORATE BONDS & NOTES - 34.3% - (continued) | ||||||||||
Banks - 13.9% - (continued) | ||||||||||
$ | 300,000 | BBB+ | 1.158% (3-Month USD-LIBOR + 1.023%) due 6/1/24(b) | $ | 304,265 | |||||
1,000,000 | A- | Credit Agricole SA, Senior Unsecured Notes, 1.237% (3-Month USD-LIBOR + 1.050%) due 3/22/24(b) | 1,012,457 | |||||||
Credit Suisse Group AG, Senior Unsecured Notes: | ||||||||||
1,750,000 | BBB+ | 1.424% (3-Month USD-LIBOR + 1.240%) due 6/12/24(b) | 1,776,406 | |||||||
2,000,000 | BBB+ | 1.424% (3-Month USD-LIBOR + 1.240%) due 6/12/24(a)(b) | 2,030,178 | |||||||
Danske Bank AS, Senior Unsecured Notes: | ||||||||||
500,000 | BBB+ | 1.244% (3-Month USD-LIBOR + 1.060%) due 9/12/23(b) | 505,937 | |||||||
1,000,000 | BBB+ | 3.875% due 9/12/23(a) | 1,068,495 | |||||||
2,631,000 | BBB+ | 1.171% (1-Year CMT Index + 1.030%) due 12/8/23(a)(b) | 2,645,524 | |||||||
300,000 | A3(d) | Deutsche Bank AG, (Restricted, cost - $300,399, acquired 5/26/21), Senior Unsecured Notes, 0.898% due 5/28/24(c) | 300,494 | |||||||
1,500,000 | AA- | First Abu Dhabi Bank PJSC, Senior Unsecured Notes, 1.134% (3-Month USD-LIBOR + 0.950%) due 4/16/22(b) | 1,507,898 | |||||||
700,000 | BBB+ | Goldman Sachs Group Inc. (The), Senior Unsecured Notes, 0.441% (SOFR + 0.430%) due 3/8/23(b) | 700,801 | |||||||
1,000,000 | CAD | BBB+ | Goldman Sachs Group Inc. (The), (Restricted, cost - $754,909, acquired 10/5/20), Senior Unsecured Notes, 0.975% (3-Month Canadian Bank Bill + 0.540%) due 7/27/22(b)(c) | 828,955 | ||||||
5,900,000 | A- | HSBC Holdings PLC, Senior Unsecured Notes, 1.407% (3-Month USD-LIBOR + 1.230%) due 3/11/25(b) | 6,022,621 | |||||||
900,000 | A- | ING Groep NV, Senior Unsecured Notes, 1.020% (SOFR + 1.010%) due 4/1/27(b) | 908,251 | |||||||
3,900,000 | A- | JPMorgan Chase & Co., Senior Unsecured Notes, 1.063% (3-Month USD-LIBOR + 0.890%) due 7/23/24(b) | 3,950,238 | |||||||
KEB Hana Bank, Senior Unsecured Notes: | ||||||||||
1,000,000 | A+ | 3.375% due 1/30/22 | 1,019,120 | |||||||
400,000 | A+ | 1.059% (3-Month USD-LIBOR + 0.875%) due 9/14/22(b) | 402,224 | |||||||
Mizuho Financial Group Inc., Senior Unsecured Notes: | ||||||||||
2,900,000 | A- | 1.034% (3-Month USD-LIBOR + 0.850%) due 9/13/23(b) | 2,920,771 | |||||||
1,500,000 | A- | 0.777% (3-Month USD-LIBOR + 0.630%) due 5/25/24(b) | 1,508,314 | |||||||
300,000 | BBB | Natwest Group PLC, Senior Unsecured Notes, 1.751% (3-Month USD-LIBOR + 1.550%) due 6/25/24(b) | 306,694 | |||||||
1,200,000 | A | Nordea Bank Abp, Senior Unsecured Notes, 1.075% (3-Month USD-LIBOR + 0.940%) due 8/30/23(a)(b) | 1,215,246 | |||||||
QNB Finance Ltd., Company Guaranteed Notes: | ||||||||||
1,000,000 | Aa3(d) | 1.760% (3-Month USD-LIBOR + 1.570%) due 7/18/21(b) | 1,002,352 | |||||||
1,000,000 | A | 1.176% (3-Month USD-LIBOR + 1.000%) due 5/2/22(b) | 1,003,987 | |||||||
500,000 | AUD | A | 1.792% (3-Month Australian Bank Bill + 1.750%) due 2/1/23(b) | 390,228 | ||||||
800,000 | Aa3(d) | QNB Finance Ltd., (Restricted, cost - $808,304, acquired 6/20/19), Senior Unsecured Notes, 1.496% (3-Month USD-LIBOR + 1.320%) due 12/6/21(b)(c) | 802,893 | |||||||
2,000,000 | BBB+ | Santander Holdings USA Inc., Senior Unsecured Notes, 4.450% due 12/3/21 | 2,034,810 | |||||||
800,000 | A | Santander UK PLC, Senior Unsecured Notes, 0.811% (3-Month USD-LIBOR + 0.620%) due 6/1/21(b) | 800,000 | |||||||
Standard Chartered PLC, Senior Unsecured Notes: | ||||||||||
600,000 | BBB+ | 1.338% (3-Month USD-LIBOR + 1.150%) due 1/20/23(a)(b) | 603,401 | |||||||
1,700,000 | BBB+ | 3.785% (3-Month USD-LIBOR + 1.560%) due 5/21/25(a)(b) | 1,837,116 | |||||||
5,100,000 | AUD | A+ | UBS AG, Senior Unsecured Notes, 0.910% (3-Month Australian Bank Bill + 0.870%) due 7/30/25(b) | 3,979,986 | ||||||
200,000 | CAD | BBB+ | Wells Fargo & Co., (Restricted, cost - $153,473, acquired 10/6/20), Senior Unsecured Notes, 2.094% due 4/25/22(c) | 167,991 | ||||||
5,200,000 | CAD | BBB+ | Wells Fargo & Co., (Restricted, cost - $2,472,671, acquired 2/11/21), Senior Unsecured Notes, 2.509% due 10/27/23(c) | 4,461,070 | ||||||
1,000,000 | CAD | BBB+ | Wells Fargo & Co., (Restricted, cost - $797,484, acquired 10/6/20), Senior Unsecured Notes, 3.184% due 2/8/24(c) | 873,183 | ||||||
|
| |||||||||
Total Banks | 60,067,500 | |||||||||
|
| |||||||||
Commercial Services - 1.2% | ||||||||||
Central Nippon Expressway Co., Ltd., Senior Unsecured Notes: | ||||||||||
1,000,000 | A1(d) | 1.034% (3-Month USD-LIBOR + 0.850%) due 9/14/21(b) | 1,002,078 | |||||||
1,200,000 | A1(d) | 2.567% due 11/2/21 | 1,210,725 | |||||||
3,000,000 | A1(d) | 0.994% (3-Month USD-LIBOR + 0.810%) due 3/3/22(b) | 3,012,135 | |||||||
|
| |||||||||
Total Commercial Services | 5,224,938 | |||||||||
|
| |||||||||
Diversified Financial Services - 4.4% | ||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Company Guaranteed Notes: | ||||||||||
300,000 | BBB | 5.000% due 10/1/21 | 304,429 | |||||||
500,000 | BBB | 4.450% due 12/16/21 | 509,062 | |||||||
600,000 | BBB | 4.625% due 7/1/22 | 625,952 | |||||||
500,000 | BBB- | Ally Financial Inc., Senior Unsecured Notes, 4.125% due 2/13/22 | 512,975 | |||||||
Aviation Capital Group LLC, Senior Unsecured Notes: | ||||||||||
500,000 | BBB- | 1.141% (3-Month USD-LIBOR + 0.950%) due 6/1/21(a)(b) | 500,000 |
236
Schedules of Investments
(unaudited) (continued)
Ultra-Short Term Fixed Income Fund
Face Amount/Units | Rating | Security | Value | |||||||
CORPORATE BONDS & NOTES - 34.3% - (continued) | ||||||||||
Diversified Financial Services - 4.4% - (continued) | ||||||||||
$ 2,000,000 | BBB- | 0.856% (3-Month USD-LIBOR + 0.670%) due 7/30/21(a)(b) | $ | 1,999,543 | ||||||
500,000 | BBB- | Avolon Holdings Funding Ltd., Company Guaranteed Notes, 5.500% due 1/15/23(a) | 530,789 | |||||||
BOC Aviation Ltd., Senior Unsecured Notes: | ||||||||||
1,200,000 | A- | 3.000% due 5/23/22 | 1,219,458 | |||||||
500,000 | A- | 2.750% due 9/18/22 | 510,277 | |||||||
200,000 | A- | 2.750% due 9/18/22(a) | 204,111 | |||||||
600,000 | A- | BOC Aviation USA Corp., Company Guaranteed Notes, 1.625% due 4/29/24(a) | 604,436 | |||||||
1,300,000 | BBB | International Lease Finance Corp., Senior Unsecured Notes, 8.625% due 1/15/22 | 1,362,818 | |||||||
800,000 | BBB- | LeasePlan Corp. NV, Senior Unsecured Notes, 2.875% due 10/24/24(a) | 842,711 | |||||||
500,000 | Baa2(d) | Mirae Asset Securities Co., Ltd., Senior Unsecured Notes, 4.125% due 11/7/21 | 506,491 | |||||||
500,000 | A- | Mitsubishi HC Capital Inc., Senior Unsecured Notes, 2.652% due 9/19/22(a) | 512,664 | |||||||
Nomura Holdings Inc., Senior Unsecured Notes: | ||||||||||
2,400,000 | BBB+ | 2.648% due 1/16/25 | 2,521,573 | |||||||
1,100,000 | BBB+ | 1.851% due 7/16/25 | 1,120,186 | |||||||
ORIX Corp., Senior Unsecured Notes: | ||||||||||
200,000 | A- | 3.200% due 1/19/22 | 202,852 | |||||||
400,000 | A- | 2.900% due 7/18/22 | 410,958 | |||||||
Park Aerospace Holdings Ltd., Company Guaranteed Notes: | ||||||||||
1,300,000 | BBB- | 5.250% due 8/15/22(a) | 1,367,063 | |||||||
1,000,000 | BBB- | 4.500% due 3/15/23(a) | 1,049,518 | |||||||
1,800,000 | BBB- | Synchrony Financial, Senior Unsecured Notes, 2.850% due 7/25/22 | 1,843,842 | |||||||
|
| |||||||||
Total Diversified Financial Services | 19,261,708 | |||||||||
|
| |||||||||
Electric - 1.3% | ||||||||||
400,000 | BBB | Israel Electric Corp., Ltd., Senior Secured Notes, 6.875% due 6/21/23 | 447,668 | |||||||
400,000 | AUD | Aa2(d) | Korea Southern Power Co., Ltd., Senior Unsecured Notes, 1.010% (3-Month Australian Bank Bill + 0.970%) due 10/30/24(b) | 311,788 | ||||||
Pacific Gas & Electric Co., 1st Mortgage Notes: | ||||||||||
1,300,000 | BBB- | 1.670% (3-Month USD-LIBOR + 1.480%) due 6/16/22(b) | 1,300,629 | |||||||
1,000,000 | BBB- | 1.750% due 6/16/22 | 1,000,073 | |||||||
1,400,000 | Baa3(d) | 4.250% due 8/1/23 | 1,485,524 | |||||||
500,000 | BBB- | 3.850% due 11/15/23 | 528,334 | |||||||
300,000 | BBB- | 3.750% due 2/15/24 | 315,856 | |||||||
100,000 | BBB- | 3.400% due 8/15/24 | 105,272 | |||||||
|
| |||||||||
Total Electric | 5,495,144 | |||||||||
|
| |||||||||
Electronics - 0.1% | ||||||||||
300,000 | BBB- | Arrow Electronics Inc., Senior Unsecured Notes, 3.500% due 4/1/22 | 306,174 | |||||||
|
| |||||||||
Engineering & Construction - 0.0% | ||||||||||
200,000 | BBB+ | Heathrow Funding Ltd., Senior Secured Notes, 4.875% due 7/15/21 | 200,975 | |||||||
|
| |||||||||
Food - 0.1% | ||||||||||
300,000 | BB+ | Kraft Heinz Foods Co., Company Guaranteed Notes, 0.982% (3-Month USD-LIBOR + 0.820%) due 8/10/22(b) | 299,963 | |||||||
|
| |||||||||
Holding Companies - Diversified - 0.3% | ||||||||||
1,250,000 | A | CK Hutchison International 17 Ltd., Company Guaranteed Notes, 2.875% due 4/5/22 | 1,272,566 | |||||||
|
| |||||||||
Home Builders - 0.2% | ||||||||||
Lennar Corp., Company Guaranteed Notes: | ||||||||||
700,000 | BB+ | 4.125% due 1/15/22 | 708,684 | |||||||
200,000 | BB+ | 5.375% due 10/1/22 | 211,780 | |||||||
|
| |||||||||
Total Home Builders | 920,464 | |||||||||
|
| |||||||||
Insurance - 0.2% | ||||||||||
400,000 | A- | GA Global Funding Trust, Secured Notes, 1.625% due 1/15/26(a) | 405,429 | |||||||
400,000 | NR | Pacific Life Global Funding II, Secured Notes, 0.630% (SOFR + 0.620%) due | 401,100 | |||||||
|
| |||||||||
Total Insurance | 806,529 | |||||||||
|
| |||||||||
Lodging - 0.4% | ||||||||||
500,000 | BBB- | Marriott International Inc., Senior Unsecured Notes, 3.125% due 10/15/21 | 501,629 | |||||||
1,300,000 | B+ | MGM Resorts International, Company Guaranteed Notes, 7.750% due 3/15/22 | 1,362,426 | |||||||
|
| |||||||||
Total Lodging | 1,864,055 | |||||||||
|
|
237
Schedules of Investments
(unaudited) (continued)
Ultra-Short Term Fixed Income Fund
Face Amount/Units | Rating | Security | Value | |||||||
CORPORATE BONDS & NOTES - 34.3% - (continued) | ||||||||||
Machinery - Diversified - 0.2% | ||||||||||
$ | 700,000 | BBB | CNH Industrial Capital LLC, Company Guaranteed Notes, 3.875% due 10/15/21 | $ | 708,732 | |||||
Media - 0.7% | ||||||||||
3,000,000 | BBB- | Charter Communications Operating LLC/Charter Communications Operating Capital, Senior Secured Notes, 1.826% (3-Month USD-LIBOR + 1.650%) due 2/1/24(b) | 3,086,430 | |||||||
|
| |||||||||
Oil & Gas - 1.3% | ||||||||||
1,300,000 | A- | BP Capital Markets America Inc., Company Guaranteed Notes, 0.840% (3-Month USD-LIBOR + 0.650%) due 9/19/22(b) | 1,306,324 | |||||||
2,855,000 | BB- | Occidental Petroleum Corp., Senior Unsecured Notes, 1.606% (3-Month USD-LIBOR + 1.450%) due 8/15/22(b) | 2,834,482 | |||||||
400,000 | BBB+ | Reliance Industries Ltd., Senior Unsecured Notes, 5.400% due 2/14/22 | 412,817 | |||||||
1,300,000 | BBB | Valero Energy Corp., Senior Unsecured Notes, 1.334% (3-Month USD-LIBOR + 1.150%) due 9/15/23(b) | 1,302,961 | |||||||
|
| |||||||||
Total Oil & Gas | 5,856,584 | |||||||||
|
| |||||||||
Packaging & Containers - 0.3% | ||||||||||
1,114,000 | BBB- | Berry Global Inc., Senior Secured Notes, 4.875% due 7/15/26(a) | 1,178,740 | |||||||
|
| |||||||||
Pipelines - 0.2% | ||||||||||
600,000 | BBB- | Energy Transfer LP/Regency Energy Finance Corp., Senior Unsecured Notes, 5.000% due 10/1/22 | 627,729 | |||||||
400,000 | BBB- | Sabine Pass Liquefaction LLC, Senior Secured Notes, 6.250% due 3/15/22 | 412,207 | |||||||
|
| |||||||||
Total Pipelines | 1,039,936 | |||||||||
|
| |||||||||
Semiconductors - 0.1% | ||||||||||
300,000 | BBB | NXP BV/NXP Funding LLC, Company Guaranteed Notes, 3.875% due | 312,116 | |||||||
|
| |||||||||
Telecommunications - 2.2% | ||||||||||
3,300,000 | AUD | BBB | AT&T Inc., Senior Unsecured Notes, 1.279% (3-Month Australian Bank Bill + 1.250%) due 9/19/23(b) | 2,572,900 | ||||||
1,000,000 | CAD | BBB | AT&T Inc., (Restricted, cost - $794,831, acquired 10/5/20), Senior Unsecured Notes, 2.850% due 5/25/24(c) | 867,704 | ||||||
400,000 | BB | Sprint Corp., Company Guaranteed Notes, 7.250% due 9/15/21 | 406,672 | |||||||
5,400,000 | AUD | BBB+ | Verizon Communications Inc., Senior Unsecured Notes, 1.259% (3-Month Australian Bank Bill + 1.220%) due 2/17/23(b) | 4,203,111 | ||||||
1,780,000 | AUD | BBB | Vodafone Group PLC, Senior Unsecured Notes, 1.087% (3-Month Australian Bank Bill + 1.050%) due 12/13/22(b) | 1,380,349 | ||||||
|
| |||||||||
Total Telecommunications | 9,430,736 | |||||||||
|
| |||||||||
Trucking & Leasing - 0.6% | ||||||||||
800,000 | BBB | GATX Corp., Senior Unsecured Notes, 0.896% (3-Month USD-LIBOR + 0.720%) due 11/5/21(b) | 801,774 | |||||||
SMBC Aviation Capital Finance DAC, Company Guaranteed Notes: | ||||||||||
300,000 | A- | 2.650% due 7/15/21 | 300,479 | |||||||
200,000 | A- | 2.650% due 7/15/21(a) | 200,320 | |||||||
400,000 | A- | 3.000% due 7/15/22 | 409,207 | |||||||
700,000 | A- | 3.550% due 4/15/24(a) | 744,590 | |||||||
|
| |||||||||
Total Trucking & Leasing | 2,456,370 | |||||||||
|
| |||||||||
TOTAL CORPORATE BONDS & NOTES | 148,535,109 | |||||||||
|
| |||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS - 30.1% | ||||||||||
1,328,639 | Aaa(d) | A10 Bridge Asset Financing LLC, Series 2020-C, Class A, 2.021% due 8/15/40(a) | 1,334,288 | |||||||
513,798 | B- | ACE Securities Corp. Home Equity Loan Trust, Series 2004-OP1, Class M1, 0.872% (1-Month USD-LIBOR + 0.780%) due 4/25/34(b) | 506,925 | |||||||
968,076 | Aaa(d) | ACRES Commercial Realty Corp., Series 2020-RSO9, Class A, 2.601% (1-Month USD-LIBOR + 2.500%) due 4/17/37(a)(b) | 969,718 | |||||||
200,000 | Aaa(d) | AMMC CLO 16 Ltd., Series 2015-16A, Class AR2, 1.166% (3-Month USD-LIBOR + 0.980%) due 4/14/29(a)(b) | 200,066 | |||||||
2,000,000 | Aaa(d) | Anchorage Capital CLO 6 Ltd., Series 2015-6A, Class ARR, 1.234% (3-Month USD-LIBOR + 1.050%) due 7/15/30(a)(b) | 2,001,260 | |||||||
293,635 | AAA | Atlas Senior Loan Fund IX Ltd., Series 2018-9A, Class A, 1.058% (3-Month USD-LIBOR + 0.870%) due 4/20/28(a)(b) | 293,640 | |||||||
700,000 | AAA | Atrium Hotel Portfolio Trust, Series 2018-ATRM, Class A, 1.051% (1-Month USD-LIBOR + 0.950%) due 6/15/35(a)(b) | 700,991 | |||||||
1,693,206 | GBP | AAA | Avon Finance No 2 PLC, Series 2A, Class A, 0.949% (Sterling Overnight Index Average + 0.900%) due 9/20/48(a)(b) | 2,410,339 | ||||||
1,200,000 | EUR | Aaa(d) | Bain Capital Euro CLO DAC, Series 2018-2A, Class AR, 0.740% (3-Month EURIBOR + 0.740%) due 1/20/32(a)(b) | 1,463,542 | ||||||
BAMLL Commercial Mortgage Securities Trust: | ||||||||||
500,000 | AAA | Series 2019-AHT, Class A, 1.301% (1-Month USD-LIBOR + 1.200%) due 3/15/34(a)(b) | 500,760 | |||||||
400,000 | Aaa(d) | Series 2019-RLJ, Class A, 1.151% (1-Month USD-LIBOR + 1.050%) due 4/15/36(a)(b) | 399,478 | |||||||
266,246 | Aaa(d) | Bancorp Commercial Mortgage Trust, Series 2019-CRE6, Class A, 1.151% (1-Month USD-LIBOR + 1.050%) due 9/15/36(a)(b) | 266,338 | |||||||
73,476 | NR | Bayview Opportunity Master Fund IVa Trust, Series 2019-SBR1, Class A1, step bond to yield, 3.475% due 6/28/34(a) | 73,974 | |||||||
608,397 | BBB- | Bear Stearns Asset Backed Securities I Trust, Series 2005-CL1, Class A2, 0.500% (1-Month USD-LIBOR + 0.500%) due 9/25/34)(b) | 587,314 | |||||||
177,195 | B3(d) | Bear Stearns Second Lien Trust, Series 2007-SV1A, Class M2, 1.442% (1-Month USD-LIBOR + 1.350%) due 1/25/36(a)(b) | 177,041 |
238
Schedules of Investments
(unaudited) (continued)
Ultra-Short Term Fixed Income Fund
Face Amount/Units | Rating | Security | Value | |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS - 30.1% - (continued) | ||||||||||
$ 1,000,000 | EUR | AAA | Black Diamond CLO Ltd., Series 2017-2A, Class A1, 0.860% (3-Month EURIBOR + 0.860%) due 1/20/32(a)(b) | $ | 1,220,480 | |||||
220,237 | Aaa(d) | Brass NO 8 PLC, Series 8A, Class A1, 0.856% (3-Month USD-LIBOR + 0.700%) due 11/16/66(a)(b) | 221,412 | |||||||
1,500,000 | Aaa(d) | BXMT Ltd., Series 2020-FL3, Class A, 1.501% (1-Month USD-LIBOR + 1.400%) due 3/15/37(a)(b) | 1,505,161 | |||||||
1,000,000 | GBP | Aaa(d) | Canterbury Finance No 1 PLC, Series 1, Class A2, 1.399% (Sterling Overnight Index Average + 1.350%) due 5/16/56(b) | 1,436,614 | ||||||
600,000 | AAA | Cathedral Lake CLO Ltd., Series 2015-2A, Class A1RR, 1.034% (3-Month USD-LIBOR + 0.850%) due 7/16/29(a)(b) | 600,338 | |||||||
322,682 | AA+ | CD Mortgage Trust, Series 2006-CD3, Class AM, 5.648% due 10/15/48 | 331,874 | |||||||
1,800,000 | NR | CIFC Funding 2017-IV Ltd., Series 2017-4A, Class A1R, zero coupon (3-Month USD-LIBOR + 0.950%) due 10/24/30(a)(b) | 1,800,900 | |||||||
Citigroup Mortgage Loan Trust: | ||||||||||
574,712 | NR | Series 2019-B, Class A1, 3.258% due 4/25/66(a)(b) | 580,317 | |||||||
247,135 | NR | Series 2019-C, Class A1, step bond to yield, 3.228% due 9/25/59(a) | 248,393 | |||||||
1,960,201 | CAD | Aaa(d) | CNH Capital Canada Receivables Trust, Series 2021-1A, Class A1, 0.386% due | 1,623,725 | ||||||
610,078 | AAA(e) | COLT Mortgage Loan Trust, Series 2020-1R, Class A1, 1.255% due 9/25/65(a)(b) | 613,060 | |||||||
31,518 | Aaa(d) | COMM Mortgage Trust, Series 2013-CR6, Class A3FL, 0.728% (1-Month USD-LIBOR + 0.630%) due 3/10/46(a)(b) | 31,519 | |||||||
1,000,000 | NR | Credit Suisse Commercial Mortgage Capital Trust, Series 2021-RPL4, Class A1, 1.796% due 12/27/60(a)(b)(f) | 1,002,181 | |||||||
914,023 | NR | Credit Suisse Mortgage Capital Trust, Series 2019-RPL9, Class A1, 2.986% due | 922,823 | |||||||
252,329 | NR | CSMC Trust, Series 2019-RPL8, Class A1, 3.322% due 10/25/58(a)(b) | 254,410 | |||||||
304,909 | B- | CWABS Inc. Asset-Backed Certificates Trust, Series 2004-5, Class M1, 0.947% (1-Month USD-LIBOR + 0.855%) due 8/25/34(b) | 304,289 | |||||||
662,120 | EUR | Aaa(d) | Dilosk RMBS No. 2 DAC, Series 2, Class A, 0.210% (0.750% - 3-Month EURIBOR) due 12/20/57(g) | 810,074 | ||||||
271,615 | AAA | Dorchester Park CLO DAC, Series 2015-1A, Class AR, 1.088% (3-Month USD-LIBOR + 0.900%) due 4/20/28(a)(b) | 271,891 | |||||||
600,000 | AAA | Dryden 36 Senior Loan Fund, Series 2014-36A, Class AR3, 1.204% (3-Month USD-LIBOR + 1.020%) due 4/15/29(a)(b) | 600,427 | |||||||
1,300,000 | EUR | AAA | Dryden Leveraged Loan CDO, Series 2017-27A, Class AR, 0.660% (3-Month EURIBOR + 0.660%) due 4/15/33(a)(b) | 1,587,728 | ||||||
Federal Home Loan Mortgage Corp. (FHLMC), REMICS: | ||||||||||
945,250 | NR | Series 4344, Class FA, 0.565% (1-Month USD-LIBOR + 0.450%) due 12/15/37(b) | 944,563 | |||||||
1,263,202 | NR | Series 4351, Class FA, 0.565% (1-Month USD-LIBOR + 0.450%) due 5/15/38(b) | 1,257,935 | |||||||
2,309,373 | NR | Series 4906, Class WF, 0.515% (1-Month USD-LIBOR + 0.400%) due 12/15/38(b) | 2,345,181 | |||||||
1,406,446 | NR | Federal National Mortgage Association (FNMA), REMICS, Series 2017-108, Class AF, 0.392% (1-Month USD-LIBOR + 0.300%) due 1/25/48(b) | 1,410,700 | |||||||
192,916 | BBB+ | Finance America Mortgage Loan Trust, Series 2004-2, Class M1, 0.917% (1-Month USD-LIBOR + 0.825%) due 8/25/34(b) | 191,822 | |||||||
Finsbury Square PLC: | ||||||||||
995,143 | GBP | AAA(e) | Series 2019-1, Class A, 1.048% (3-Month GBP-LIBOR + 0.970%) due 6/16/69(b) | 1,417,369 | ||||||
2,271,337 | GBP | AAA(e) | Series 2020-1A, Class A, 0.849% (Sterling Overnight Index Average + 0.800%) due 3/16/70(a)(b) | 3,236,984 | ||||||
9,354 | AAA | FNBA Mortgage Loan Trust, Series 2004-AR1, Class A2, 0.898% (1-Month USD-LIBOR + 0.800%) due 8/19/34(b) | 9,362 | |||||||
700,000 | AAA | Ford Credit Floorplan Master Owner Trust A, Series 2019-3, Class A2, 0.701% (1-Month USD-LIBOR + 0.600%) due 9/15/24(b) | 705,098 | |||||||
377,159 | BB | Fremont Home Loan Trust, Series 2005-A, Class M3, 0.827% (1-Month USD-LIBOR + 0.735%) due 1/25/35(b) | 374,972 | |||||||
GLG Euro CLO: | ||||||||||
3,600,000 | EUR | Aaa(d) | Series 5A, Class A1R, 0.690% (3-Month EURIBOR + 0.690%) due 12/15/31(a)(b) | 4,384,346 | ||||||
250,000 | EUR | AAA | Series 6A, Class A, 0.900% (3-Month EURIBOR + 0.900%) due 10/15/32(a)(b) | 305,116 | ||||||
1,600,000 | AAA | GMF Floorplan Owner Revolving Trust, Series 2018-4, Class A1, 3.500% due 9/15/23(a) | 1,615,662 | |||||||
300,000 | EUR | AAA | GoldentTree Loan Management EUR CLO 4 DAC, Series 4A, Class A, 1.550% (3-Month EURIBOR + 1.550%) due 7/20/31(a)(b) | 367,039 | ||||||
82,512 | Aaa(d) | Gosforth Funding PLC, Series 2017-1A, Class A1A, 0.660% (3-Month USD-LIBOR + 0.470%) due 12/19/59(a)(b) | 82,636 | |||||||
Government National Mortgage Association (GNMA): | ||||||||||
1,983,621 | NR | Series 2016-H06, Class FD, 1.030% (1-Month USD-LIBOR + 0.920%) due 7/20/65(b) | 2,024,183 | |||||||
138,320 | NR | Series 2016-H11, Class F, 0.910% (1-Month USD-LIBOR + 0.800%) due 5/20/66(b) | 140,847 | |||||||
1,606,216 | NR | Series 2017-H15, Class FE, 1.438% (1-Year USD-LIBOR + 0.800%) due 7/20/67(b) | 1,636,120 | |||||||
160,939 | NR | Series 2020-17, Class EU, 2.500% due 10/20/49 | 169,148 | |||||||
113,881 | NR | Series 2020-21, Class AC, 2.500% due 1/20/49 | 120,002 | |||||||
1,000,000 | Aaa(d) | Greystone CRE Notes Ltd., Series 2019-FL2, Class A, 1.281% (1-Month USD-LIBOR + 1.180%) due 9/15/37(a)(b) | 1,001,746 | |||||||
267,623 | Aaa(d) | GS Mortgage Securities Trust, Series 2014-GC18, Class AAB, 3.648% due 1/10/47 | 277,375 | |||||||
2,236,605 | AAA(e) | GS Mortgage-Backed Securities Corp. Trust, Series 2021-RPL1, Class A1, 1.750% due 12/25/60(a)(b) | 2,280,403 | |||||||
1,600,000 | EUR | Aaa(d) | Harvest CLO XVI DAC, Series 2016-A, Class ARR, 0.640% (3-Month EURIBOR + 0.640%) due 10/15/31(a)(b) | 1,954,370 | ||||||
500,000 | EUR | Aaa(d) | Harvest CLO XXI DAC, Series 2021-A, Class A1R, 0.760% (3-Month EURIBOR + 0.760%) due 7/15/31(a)(b) | 609,920 | ||||||
3,144,288 | GBP | AAA | Hawksmoor Mortgages, Series 2019-1A, Class A, 1.099% (Sterling Overnight Index Average + 1.050%) due 5/25/53(a)(b) | 4,484,927 | ||||||
400,000 | EUR | AAA | Hayfin Emerald CLO IV DAC, Series 41, Class A, 1.450% (3-Month EURIBOR + 1.450%) due 2/15/33(a)(b) | 489,520 | ||||||
350,303 | AAA | Homeward Opportunities Fund I Trust, Series 2020-2, Class A1, 1.657% due | 353,203 |
239
Schedules of Investments
(unaudited) (continued)
Ultra-Short Term Fixed Income Fund
Face Amount/Units | Rating | Security | Value | |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS - 30.1% - (continued) | ||||||||||
$ | 113,611 | CCC | Impac CMB Trust, Series 2004-10, Class 1A1, 0.732% (1-Month USD-LIBOR + 0.640%) due 3/25/35(b) | $ | 115,904 | |||||
JP Morgan Chase Commercial Mortgage Securities Trust: | ||||||||||
224,073 | AAA(e) | Series 2018-LAQ, Class A, 1.101% (1-Month USD-LIBOR + 1.000%) due 6/15/32(a)(b) | 224,544 | |||||||
354,951 | A- | Series 2019-FL12, Class A, 1.551% (1-Month USD-LIBOR + 1.450%) due 12/15/31(a)(b) | 352,614 | |||||||
1,972,600 | EUR | AAA | Jubilee CLO BV, Series 2015-16A, Class A1R, 0.252% (0.800% - 3-Month EURIBOR) due 12/15/29(a)(g) | 2,401,654 | ||||||
500,000 | AAA | Lanark Master Issuer PLC, Series 2019-1A, Class 1A1, 0.920% (3-Month USD-LIBOR + 0.770%) due 12/22/69(a)(b) | 500,935 | |||||||
1,700,000 | EUR | Aaa(d) | Laurelin DAC, Series 2016-1A, Class ARR, 0.720% (3-Month EURIBOR + 0.720%) due 10/20/31(a)(b) | 2,073,756 | ||||||
Legacy Mortgage Asset Trust: | ||||||||||
382,998 | NR | Series 2019-GS3, Class A1, step bond to yield, 3.750% due 4/25/59(a) | 386,702 | |||||||
249,653 | NR | Series 2019-GS6, Class A1, step bond to yield, 3.000% due 6/25/59(a) | 251,443 | |||||||
262,615 | GBP | Aaa(d) | London Wall Mortgage Capital PLC, Series 2017-FL1, Class A, 0.936% (3-Month GBP-LIBOR + 0.850%) due 11/15/49(b) | 373,694 | ||||||
179,460 | AAA | Madison Park Funding XVI Ltd., Series 2015-16A, Class A1R, 1.518% (3-Month USD-LIBOR + 1.330%) due 4/20/26(a)(b) | 179,703 | |||||||
402,889 | AAA | Marathon CLO V Ltd., Series 2013-5A, Class A1R, 1.019% (3-Month USD-LIBOR + 0.870%) due 11/21/27(a)(b) | 402,991 | |||||||
209,782 | A | Mastr Asset Backed Securities Trust, Series 2004-OPT2, Class A1, 0.792% (1-Month USD-LIBOR + 0.700%) due 9/25/34(b) | 206,169 | |||||||
MF1 Ltd.: | ||||||||||
1,878,734 | Aaa(d) | Series 2019-FL2, Class A, 1.222% (1-Month USD-LIBOR + 1.130%) due 12/25/34(a)(b) | 1,882,873 | |||||||
800,000 | Aaa(d) | Series 2020-FL3, Class A, 2.151% (1-Month USD-LIBOR + 2.050%) due 7/15/35(a)(b) | 807,760 | |||||||
1,100,000 | Aaa(d) | Series 2020-FL4, Class A, 1.801% (1-Month USD-LIBOR + 1.700%) due 11/15/35(a)(b) | 1,110,977 | |||||||
1,800,000 | Aaa(d) | MF1 Multifamily Housing Mortgage Loan Trust, Series 2021-FL5, Class A, 0.951% (1-Month USD-LIBOR + 0.850%) due 7/15/36(a)(b) | 1,802,817 | |||||||
MFA Trust: | ||||||||||
668,243 | AAA | Series 2020-NQM1, Class A1, 1.479% due 3/25/65(a)(b) | 675,073 | |||||||
808,423 | AAA | Series 2020-NQM2, Class A1, 1.381% due 4/25/65(a)(b) | 813,282 | |||||||
2,000,000 | AAA | MidOcean Credit CLO II, Series 2013-2A, Class ARR, zero coupon (3-Month USD-LIBOR + 1.030%) due 1/29/30(a)(b) | 2,001,168 | |||||||
Mill City Mortgage Loan Trust: | ||||||||||
1,047,707 | Aaa(d) | Series 2019-GS2, Class A1, 2.750% due 8/25/59(a)(b) | 1,089,711 | |||||||
895,779 | AAA(e) | Series 2021-NMR1, Class A1, 1.125% due 11/25/60(a)(b) | 902,071 | |||||||
543,356 | B- | Morgan Stanley ABS Capital I Inc. Trust, Series 2004-HE4, Class M1, 0.992% (1-Month USD-LIBOR + 0.900%) due 5/25/34(b)(h) | 540,781 | |||||||
800,000 | Aaa(d) | Mountain View CLO LLC, Series 2017-1A, Class AR, 1.274% (3-Month USD-LIBOR + 1.090%) due 10/16/29(a)(b) | 799,990 | |||||||
1,278,072 | AAA | Mountain View CLO X Ltd., Series 2015-10A, Class AR, 1.008% (3-Month USD-LIBOR + 0.820%) due 10/13/27(a)(b) | 1,278,337 | |||||||
1,600,000 | Aaa(d) | Mountain View CLO XIV Ltd., Series 2019-1A, Class A1, 1.298% (3-Month USD-LIBOR + 1.120%) due 4/15/29(a)(b) | 1,602,321 | |||||||
New Residential Mortgage Loan Trust: | ||||||||||
293,504 | NR | Series 2018-3A, Class A1, 4.500% due 5/25/58(a)(b) | 320,392 | |||||||
107,224 | AAA(e) | Series 2018-RPL1, Class A1, 3.500% due 12/25/57(a)(b) | 112,639 | |||||||
2,425,489 | Aaa(d) | Series 2019-RPL3, Class A1, 2.750% due 7/25/59(a)(b) | 2,542,059 | |||||||
2,251,760 | Aaa(d) | Series 2020-RPL1, Class A1, 2.750% due 11/25/59(a)(b) | 2,340,295 | |||||||
292,546 | BBB+ | NovaStar Mortgage Funding Trust, Series 2005-4, Class M1, 0.752% (1-Month USD-LIBOR + 0.660%) due 1/25/36(b) | 291,319 | |||||||
OCP CLO Ltd.: | ||||||||||
233,076 | AAA | Series 2015-9A, Class A1R, 0.984% (3-Month USD-LIBOR + 0.800%) due 7/15/27(a)(b) | 233,133 | |||||||
324,719 | AAA | Series 2015-10A, Class A1R, 0.996% (3-Month USD-LIBOR + 0.820%) due 10/26/27(a)(b) | 324,599 | |||||||
208,145 | AAA(e) | Palmer Square CLO Ltd., Series 2018-3A, Class A1, 1.006% (3-Month USD-LIBOR + 0.850%) due 8/15/26(a)(b) | 208,295 | |||||||
427,086 | AAA | Pennsylvania Higher Education Assistance Agency, Series 2006-2, Class A-3, 0.306% (3-Month USD-LIBOR + 0.130%) due 10/25/36(b) | 422,500 | |||||||
1,241,224 | Aaa(d) | PFP Ltd., Series 2019-6, Class A, 1.148% (1-Month USD-LIBOR + 1.050%) due 4/14/37(a)(b) | 1,234,616 | |||||||
PFS Financing Corp.: | ||||||||||
1,200,000 | AAA | Series 2019-A, Class A1, 0.651% (1-Month USD-LIBOR + 0.550%) due | 1,204,164 | |||||||
400,000 | AAA | Series 2020-F, Class A, 0.930% due 8/15/24(a) | 402,419 | |||||||
193,197 | NR | Pretium Mortgage Credit Partners I LLC, Series 2021-NPL1, Class A1, step bond to yield, 2.240% due 9/27/60(a) | 193,613 | |||||||
288,792 | GBP | AAA | Residential Mortgage Securities 31 PLC, Series 2031, Class A, 1.284% (3-Month GBP-LIBOR + 1.200%) due 9/20/65(b) | 410,777 | ||||||
1,830,258 | GBP | AAA | Residential Mortgage Securities 32 PLC, Series 2032, Class A, 1.299% (Sterling Overnight Index Average + 1.250%) due 6/20/70(a)(b) | 2,629,883 | ||||||
Ripon Mortgages PLC: | ||||||||||
731,946 | GBP | AAA | Series 1X, Class A1, 0.881% (3-Month GBP-LIBOR + 0.800%) due 8/20/56(b) | 1,041,627 | ||||||
2,195,837 | GBP | AAA | Series 1A, Class A1, 0.881% (3-Month GBP-LIBOR + 0.800%) due | 3,124,879 | ||||||
351,441 | GBP | AAA | RMAC PLC, Series 2018-1, Class A, 0.780% (3-Month GBP-LIBOR + 0.700%) due 6/12/46(b) | 498,705 |
240
Schedules of Investments
(unaudited) (continued)
Ultra-Short Term Fixed Income Fund
Face Amount/Units | Rating | Security | Value | |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS - 30.1% - (continued) | ||||||||||
Silverstone Master Issuer PLC: | ||||||||||
$127,000 | AAA | Series 2019-1A, Class 1A, 0.756% (3-Month USD-LIBOR + 0.570%) due | $ | 127,171 | ||||||
528,000 | GBP | AAA | Series 2019-1A, Class 2A, 0.799% (Sterling Overnight Index Average + 0.750%) due 1/21/70(a)(b) | 757,333 | ||||||
159,659 | Aaa(d) | Sound Point CLO X Ltd., Series 2015-3A, Class AR, 1.078% (3-Month USD-LIBOR + 0.890%) due 1/20/28(a)(b) | 159,846 | |||||||
843,875 | Aaa(d) | Sound Point CLO XII Ltd., Series 2016-2A, Class AR2, 1.238% (3-Month USD-LIBOR + 1.050%) due 10/20/28(a)(b) | 844,307 | |||||||
1,969,147 | Aaa(d) | Sound Point CLO XIV Ltd., Series 2016-3A, Class AR2, 1.163% (3-Month USD-LIBOR + 0.990%) due 1/23/29(a)(b) | 1,968,535 | |||||||
892,860 | B | Soundview Home Loan Trust, Series 2005-OPT1, Class M2, 0.767% (1-Month USD-LIBOR + 0.675%) due 6/25/35(b) | 891,190 | |||||||
193,454 | NR | Stanwich Mortgage Loan Co. LLC, Series 2019-NPB1, Class A1, step bond to yield, 3.375% due 8/15/24(a) | 194,632 | |||||||
486,218 | GBP | AAA | Stratton Mortgage Funding PLC, Series 2021-2A, Class A, 0.948% (Sterling Overnight Index Average + 0.900%) due 7/20/60(a)(b) | 692,870 | ||||||
1,215,120 | AAA | Tharaldson Hotel Portfolio Trust, Series 2018-THL, Class A, 1.006% (1-Month USD-LIBOR + 0.900%) due 11/11/34(a)(b) | 1,213,564 | |||||||
1,035,228 | GBP | AAA | Towd Point Mortgage Funding, Series 2019-A13A, Class A1, 0.949% (Sterling Overnight Index Average + 0.900%) due 7/20/45(a)(b) | 1,473,938 | ||||||
2,789,700 | GBP | AAA | Towd Point Mortgage Funding Auburn 14 PLC, Series 2020-A14X, Class A, 0.949% (Sterling Overnight Index Average + 0.900%) due 5/20/45(b) | 3,980,644 | ||||||
517,016 | GBP | AAA | Towd Point Mortgage Funding Granite 4 PLC, Series 2019-GR4X, Class A1, 1.111% (3-Month GBP-LIBOR + 1.025%) due 10/20/51(b) | 738,727 | ||||||
Towd Point Mortgage Trust: | ||||||||||
507,586 | Aaa(d) | Series 2017-5, Class A1, 0.692% (1-Month USD-LIBOR + 0.600%) due 2/25/57(a)(b) | 507,840 | |||||||
630,819 | AAA(e) | Series 2018-3, Class A1, 3.750% due 5/25/58(a)(b) | 668,038 | |||||||
418,739 | Aaa(d) | Series 2019-HY2, Class A1, 1.092% (1-Month USD-LIBOR + 1.000%) due | 422,630 | |||||||
482,567 | Aaa(d) | Series 2019-HY3, Class A1A, 1.092% (1-Month USD-LIBOR + 1.000%) due 10/25/59(a)(b) | 487,182 | |||||||
1,109,754 | AAA(e) | Series 2020-1, Class A1, 2.710% due 1/25/60(a)(b) | 1,143,741 | |||||||
3,086,786 | AAA(e) | Series 2020-2, Class A1A, 1.636% due 4/25/60(a)(b) | 3,131,075 | |||||||
1,700,000 | GBP | AAA | Trinity Square PLC, Series 2021-1A, Class A, zero coupon (Sterling Overnight Index Average + 0.850%) due 7/15/59(a)(b) | 2,417,494 | ||||||
1,000,000 | NR | Venture 36 CLO Ltd., Series 2019-36A, Class A1AR, zero coupon (3-Month USD-LIBOR + 1.130%) due 4/20/32(a)(b) | 1,000,608 | |||||||
677,884 | Aaa(d) | Venture XVII CLO Ltd., Series 2014-17A, Class ARR, 1.064% (3-Month USD-LIBOR + 0.880%) due 4/15/27(a)(b) | 677,901 | |||||||
600,000 | Aaa(d) | Venture XXVI CLO Ltd., Series 2017-26A, Class AR, 1.288% (3-Month USD-LIBOR + 1.100%) due 1/20/29(a)(b) | 600,298 | |||||||
388,456 | Aaa(d) | VMC Finance LLC, Series 2019-FL3, Class A, 1.201% (1-Month USD-LIBOR + 1.100%) due 9/15/36(a)(b) | 388,695 | |||||||
556,974 | AA | WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR13, Class A1A1, 0.672% (1-Month USD-LIBOR + 0.580%) due 10/25/45(b) | 557,167 | |||||||
Wells Fargo Commercial Mortgage Trust: | ||||||||||
400,000 | Aaa(d) | Series 2013-LC12, Class A4, 4.218% due 7/15/46(b) | 426,871 | |||||||
500,000 | AAA | Series 2017-HSDB, Class A, 0.944% (1-Month USD-LIBOR + 0.850%) due | 493,063 | |||||||
WFRBS Commercial Mortgage Trust: | ||||||||||
1,347,536 | Aaa(d) | Series 2012-C7, Class AFL, 1.301% (1-Month USD-LIBOR + 1.200%) due | 1,345,804 | |||||||
829,131 | Aaa(d) | Series 2012-C10, Class AFL, 0.891% (1-Month USD-LIBOR + 0.790%) due | 831,092 | |||||||
|
| |||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost - $126,618,799) | 130,499,279 | |||||||||
|
| |||||||||
U.S. GOVERNMENT AGENCIES & OBLIGATIONS - 19.8% | ||||||||||
U.S. GOVERNMENT AGENCIES - 10.7% | ||||||||||
Federal Home Loan Banks: | ||||||||||
3,200,000 | AA+ | 0.750% due 2/24/26 | 3,187,545 | |||||||
3,400,000 | AA+ | 0.960% due 3/5/26 | 3,400,034 | |||||||
900,000 | AA+ | 1.000% due 3/23/26 | 900,037 | |||||||
1,000,000 | AA+ | 1.070% due 5/28/26 | 1,000,020 | |||||||
4,600,000 | AA+ | 0.830% due 2/10/27 | 4,560,367 | |||||||
3,900,000 | AA+ | 0.850% due 2/17/27 | 3,857,660 | |||||||
5,500,000 | AA+ | 1.020% due 2/24/27 | 5,500,705 | |||||||
5,000,000 | AA+ | 0.900% due 2/26/27 | 4,960,346 | |||||||
3,400,000 | AA+ | 0.920% due 2/26/27 | 3,368,977 | |||||||
3,700,000 | AA+ | 1.115% due 2/26/27 | 3,693,248 | |||||||
Federal Home Loan Mortgage Corp.: | ||||||||||
3,000,000 | Aaa(d) | 0.600% due 10/15/25 | 2,986,678 | |||||||
5,000,000 | Aaa(d) | 0.800% due 10/28/26 | 4,957,856 | |||||||
4,000,000 | AA+ | Federal National Mortgage Association, 0.875% due 12/18/26 | 3,986,041 | |||||||
|
| |||||||||
TOTAL U.S. GOVERNMENT AGENCIES | 46,359,514 | |||||||||
|
|
241
Schedules of Investments
(unaudited) (continued)
Ultra-Short Term Fixed Income Fund
Face Amount/Units | Rating | Security | Value | |||||||
U.S. GOVERNMENT AGENCIES & OBLIGATIONS - 19.8% - (continued) | ||||||||||
U.S. GOVERNMENT OBLIGATIONS - 9.1% | ||||||||||
U.S. Treasury Notes: | ||||||||||
$ 34,000,000 | 0.125% due 4/30/23 | $ | 33,992,031 | |||||||
5,600,000 | 0.750% due 1/31/28 | 5,439,765 | ||||||||
|
| |||||||||
TOTAL U.S. GOVERNMENT OBLIGATIONS | 39,431,796 | |||||||||
|
| |||||||||
TOTAL U.S. GOVERNMENT AGENCIES & OBLIGATIONS (Cost - $86,081,429) | 85,791,310 | |||||||||
|
| |||||||||
ASSET-BACKED SECURITIES - 4.9% | ||||||||||
Automobiles - 0.8% | ||||||||||
113,427 | AAA | DT Auto Owner Trust, Series 2020-3A, Class A, 0.540% due 4/15/24(a) | 113,605 | |||||||
76,445 | AAA | Flagship Credit Auto Trust, Series 2019-2, Class A, 2.830% due 10/16/23(a) | 77,038 | |||||||
Ford Auto Securitization Trust: | ||||||||||
678,230 | CAD | Aaa(d) | Series 2020-AA, Class A1, 0.516% due 8/15/22(a) | 561,870 | ||||||
1,900,000 | CAD | Aaa(d) | Series 2020-AA, Class A2, 0.887% due 8/15/24(a) | 1,579,667 | ||||||
761,174 | AAA | GLS Auto Receivables Issuer Trust, Series 2020-3A, Class A, 0.690% due 10/16/23(a) | 762,448 | |||||||
603,596 | CAD | Aaa(d) | GMF Canada Leasing Trust, Series 2020-1A, Class A1, 0.561% due 7/20/22(a) | 500,046 | ||||||
|
| |||||||||
Total Automobiles | 3,594,674 | |||||||||
|
| |||||||||
Credit Cards - 0.9% | ||||||||||
793,144 | NR | LP Credit Card ABS Master Trust, Series 2018-1, Class A, 1.661% (1-Month USD-LIBOR + 1.550%) due 8/20/24(a)(b) | 792,448 | |||||||
3,000,000 | Aaa(d) | Master Credit Card Trust II, Series 2018-1A, Class A, 0.587% (1-Month USD-LIBOR + 0.490%) due 7/21/24(a)(b) | 3,017,844 | |||||||
|
| |||||||||
Total Credit Cards | 3,810,292 | |||||||||
|
| |||||||||
Student Loans - 3.2% | ||||||||||
ECMC Group Student Loan Trust: | ||||||||||
606,467 | Aaa(d) | Series 2017-2A, Class A, 1.142% (1-Month USD-LIBOR + 1.050%) due | 620,347 | |||||||
508,318 | Aaa(d) | Series 2018-1A, Class A, 0.842% (1-Month USD-LIBOR + 0.750%) due | 511,364 | |||||||
795,644 | Aaa(d) | Series 2019-1A, Class A1B, 1.092% (1-Month USD-LIBOR + 1.000%) due | 807,817 | |||||||
159,222 | AAA | EFS Volunteer LLC, Series 2010-1, Class A2, 1.026% (3-Month USD-LIBOR + 0.850%) due 10/25/35(a)(b) | 159,836 | |||||||
55,836 | Aaa(d) | Navient Private Education Loan Trust, Series 2015-AA, Class A2A, 2.650% due 12/15/28(a) | 56,959 | |||||||
Navient Private Education Refi Loan Trust: | ||||||||||
248,184 | AAA | Series 2020-A, Class A1, 0.451% (1-Month USD-LIBOR + 0.350%) due | 248,219 | |||||||
438,351 | AAA | Series 2020-GA, Class A, 1.170% due 9/16/69(a) | 441,184 | |||||||
Navient Student Loan Trust: | ||||||||||
714,902 | AAA | Series 2018-1A, Class A2, 0.442% (1-Month USD-LIBOR + 0.350%) due | 714,385 | |||||||
1,286,987 | AAA | Series 2018-2A, Class A2, 0.472% (1-Month USD-LIBOR + 0.380%) due | 1,286,722 | |||||||
Nelnet Student Loan Trust: | ||||||||||
1,034,850 | AA+ | Series 2017-3A, Class A, 0.942% (1-Month USD-LIBOR + 0.850%) due | 1,035,759 | |||||||
1,185,608 | AA+ | Series 2019-2A, Class A, 0.992% (1-Month USD-LIBOR + 0.900%) due | 1,204,743 | |||||||
1,041,966 | AA+ | Series 2019-3A, Class A, 0.892% (1-Month USD-LIBOR + 0.800%) due | 1,039,848 | |||||||
SLC Student Loan Trust: | ||||||||||
522,243 | AAA | Series 2006-1, Class A5, 0.294% (3-Month USD-LIBOR + 0.110%) due 3/15/27(b) | 521,115 | |||||||
495,172 | AAA | Series 2007-1, Class A4, 0.216% (3-Month USD-LIBOR + 0.060%) due 5/15/29(b) | 492,258 | |||||||
SLM Student Loan Trust: | ||||||||||
104,017 | AAA | Series 2003-10A, Class A3, 0.654% (3-Month USD-LIBOR + 0.470%) due | 104,053 | |||||||
840,027 | AAA | Series 2004-10, Class A7B, 0.776% (3-Month USD-LIBOR + 0.600%) due | 841,711 | |||||||
681,118 | AAA | Series 2005-5, Class A4, 0.316% (3-Month USD-LIBOR + 0.140%) due 10/25/28(b) | 677,810 | |||||||
432,445 | B | Series 2008-5, Class A4, 1.876% (3-Month USD-LIBOR + 1.700%) due 7/25/23(b) | 438,013 | |||||||
649,755 | B | Series 2008-7, Class A4, 1.076% (3-Month USD-LIBOR + 0.900%) due 7/25/23(b) | 644,507 | |||||||
100,209 | B | Series 2008-8, Class A4, 1.676% (3-Month USD-LIBOR + 1.500%) due 4/25/23(b) | 100,887 | |||||||
SMB Private Education Loan Trust: | ||||||||||
350,595 | AAA | Series 2015-B, Class A2B, 1.301% (1-Month USD-LIBOR + 1.200%) due | 351,883 | |||||||
226,485 | AAA | Series 2020-PTA, Class A1, 0.392% (1-Month USD-LIBOR + 0.300%) due | 226,474 | |||||||
500,000 | AAA | Series 2020-PTA, Class A2A, 1.600% due 9/15/54(a) | 507,502 | |||||||
702,423 | AA+ | Utah State Board of Regents, Series 2017-1, Class A, 0.842% (1-Month USD-LIBOR + 0.750%) due 1/25/57(b) | 701,491 | |||||||
|
| |||||||||
Total Student Loans | 13,734,887 | |||||||||
|
| |||||||||
TOTAL ASSET-BACKED SECURITIES (Cost - $20,825,583) | 21,139,853 | |||||||||
|
|
242
Schedules of Investments
(unaudited) (continued)
Ultra-Short Term Fixed Income Fund
Face Amount/Units | Rating | Security | Value | |||||||
SOVEREIGN BONDS - 1.7% | ||||||||||
India - 0.4% | ||||||||||
$ 1,900,000 | Baa3(d) | Export-Import Bank of India, 1.149% (3-Month USD-LIBOR + 1.000%) due | $ | 1,905,377 | ||||||
Saudi Arabia - 0.1% | ||||||||||
400,000 | A1(d) | Saudi Government International Bonds, 2.375% due 10/26/21 | 403,396 | |||||||
|
| |||||||||
South Korea - 0.3% | ||||||||||
1,500,000 | AA | Export-Import Bank of Korea, 1.051% (3-Month USD-LIBOR + 0.875%) due | 1,506,883 | |||||||
|
| |||||||||
Supranational - 0.9% | ||||||||||
3,800,000 | AAA | International Bank for Reconstruction & Development, 0.850% due 2/10/27 | 3,732,544 | |||||||
|
| |||||||||
TOTAL SOVEREIGN BONDS (Cost - $7,620,504) | 7,548,200 | |||||||||
|
| |||||||||
MORTGAGE-BACKED SECURITIES - 0.5% | ||||||||||
FHLMC - 0.5% | ||||||||||
1,932,404 | Federal Home Loan Mortgage Corp. (FHLMC), 4.000% due 6/1/49 - 9/1/49 (Cost - $2,027,213) | 2,063,692 | ||||||||
|
| |||||||||
TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS (Cost - $389,972,263) | 395,577,443 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS - 46.4% | ||||||||||
COMMERCIAL PAPER - 0.3% | ||||||||||
1,200,000 | Conagra Brands Inc., 0.230% due 6/1/21(a)(i) (Cost - $1,200,000) | 1,200,000 | ||||||||
|
| |||||||||
CORPORATE BOND - 0.1% | ||||||||||
500,000 | BBB- | Pacific Gas & Electric Co., 1.506% (3-Month USD-LIBOR + 1.375%) due 11/15/21(b) (Cost - $500,670) | 500,670 | |||||||
|
| |||||||||
REPURCHASE AGREEMENT - 0.7% | ||||||||||
3,000,000 | Nomura Securities, repurchase agreement dated 05/28/21, 4.375% due 6/1/21, Proceeds at maturity - $3,000,000; (Fully collateralized by U.S. Treasury Inflation Indexed Bonds, 1.950%, due 11/15/39; Market Valued - $3,069,515) (Cost - $3,000,000) | 3,000,000 | ||||||||
|
| |||||||||
TIME DEPOSITS - 2.3% | ||||||||||
BBH - Grand Cayman: | ||||||||||
2,583 | DKK | (0.550)% due 5/31/21 | 424 | |||||||
642 | AUD | (0.200)% due 5/31/21 | 495 | |||||||
6,087 | NZD | 0.005% due 5/31/21 | 4,411 | |||||||
184,289 | CAD | 0.010% due 5/31/21 | 152,620 | |||||||
BNP Paribas - Paris: | ||||||||||
1,812 | EUR | (0.780)% due 5/31/21 | 2,209 | |||||||
7,620,650 | 0.005% due 6/1/21 | 7,620,650 | ||||||||
463 | GBP | Citibank - London, 0.005% due 6/1/21 | 658 | |||||||
Sumitomo Mitsui Banking Corp. - Tokyo: | ||||||||||
38,329 | JPY | (0.310)% due 5/31/21 | 349 | |||||||
2,400,798 | 0.005% due 6/1/21 | 2,400,798 | ||||||||
|
| |||||||||
TOTAL TIME DEPOSITS (Cost - $10,182,614) | 10,182,614 | |||||||||
|
| |||||||||
U.S. GOVERNMENT OBLIGATIONS - 43.0% | ||||||||||
8,600,000 | U.S. Cash Management Bills, 0.025% due 8/24/21(i)(j) | 8,599,498 | ||||||||
U.S. Treasury Bills: | ||||||||||
61,000 | 0.003% due 6/22/21(i)(j) | 61,000 |
243
Schedules of Investments
(unaudited) (continued)
Ultra-Short Term Fixed Income Fund
Face Amount/Units | Rating | Security | Value | |||||||
SHORT-TERM INVESTMENTS - 46.4% - (continued) | ||||||||||
U.S. GOVERNMENT OBLIGATIONS - 43.0% - (continued) | ||||||||||
$160,462,000 | 0.010% due 6/29/21(i)(j) | $ | 160,461,682 | |||||||
17,000,000 | 0.040% due 9/30/21(i)(j) | 16,997,715 | ||||||||
|
| |||||||||
TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost - $186,119,895) | 186,119,895 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost - $201,003,179) | 201,003,179 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS - 137.7% (Cost - $590,975,442) | 596,580,622 | |||||||||
|
| |||||||||
Liabilities in Excess of Other Assets - (37.7)% | (163,384,386 | ) | ||||||||
|
| |||||||||
TOTAL NET ASSETS - 100.0% | $ | 433,196,236 | ||||||||
|
|
@ | May 28, 2021 represents the last business day of the Funds quarterly period. |
| Amount denominated in U.S. dollars, unless otherwise noted. |
| All ratings are by Standard & Poors Rating Service, unless otherwise noted. |
(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 May 28, 2021, amounts to $150,628,679 and represents 34.8% of net assets. |
(b) | Variable rate security. Interest rate disclosed is that which was in effect at May 28, 2021. |
(c) | The aggregate value of restricted securities (excluding 144A holdings) at May 28, 2021, amounts to $14,633,697 and represents 3.4% of net assets. |
(d) | Rating by Moodys Investors Service. |
(e) | Rating by Fitch Ratings Service. |
(f) | Illiquid security. |
(g) | Inverse Floating Rate Security - interest rate fluctuates with an inverse relationship to an associated interest rate. Indicated rate is the effective rate as of May 28, 2021. |
(h) | Affiliated security. As of May 28, 2021, total cost and total market value of affiliated securities amounted to $540,925 and $540,781, respectively. |
Underlying Security | Beginning Value as of August 31, 2020 | Purchases at Cost | Proceeds from Sales | Net Realized Gain on Sales | Change in Unrealized Appreciation | Accretion of discount | Dividend/ Interest | Ending Value as of May 28, 2021 | ||||||||||||||||||||||||
Morgan Stanley ABS Capital I Inc. Trust, Series 2004-HE4, Class M1, 1.018% (1-Month USD-LIBOR + 0.900%) due 5/25/34 | $ | 578,232 | $ | | $ | (45,563 | ) | $ | 214 | $ | 7,672 | $ | 226 | $ | 4,465 | $ | 540,781 |
(i) | Rate shown represents yield-to-maturity. |
(j) | All or a portion of this security is held at the broker as collateral for open centrally cleared swap contracts. |
At May 28, 2021, for Ultra-Short Term Fixed Income Fund the aggregate cost of investments, the aggregate gross unrealized appreciation and and depreciation of all investments for federal income tax purposes were as follows:
Fund | Aggregate Cost For Federal Income Tax Purposes | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation | ||||||||||||
Ultra-Short Term Fixed Income Fund | $ | 590,975,442 | $ | 7,207,349 | $ | (3,249,074 | ) | $ | 3,958,275 |
Abbreviations used in this schedule:
ABS | | Asset-Based Security | ||
CLO | | Collateralized Loan Obligation | ||
CMT | | Constant Maturity Treasury Rate | ||
EURIBOR | | Euro Interbank Offered Rate | ||
LIBOR | | London Interbank Offered Rate | ||
PLC | | Public Limited Company | ||
REMICS | | Real Estate Mortgage Investment Conduit | ||
SOFR | | Secured Overnight Financing Rate |
244
Schedules of Investments
(unaudited) (continued)
Ultra-Short Term Fixed Income Fund
Summary of Investments by Security Type^ | ||||
Corporate Bonds & Notes | 24.9 | % | ||
Collateralized Mortgage Obligations | 21.9 | |||
U.S. Government Agencies & Obligations | 14.4 | |||
Asset-Backed Securities | 3.5 | |||
Sovereign Bonds | 1.3 | |||
Mortgage-Backed Securities | 0.3 | |||
Short-Term Investments | 33.7 | |||
|
| |||
100.0 | % | |||
|
|
^ | As a percentage of total investments. |
245
Schedules of Investments
(unaudited) (continued)
Ultra-Short Term Fixed Income Fund
At May 28, 2021, Ultra-Short Term Fixed Income Fund had open exchange-traded futures contracts as described below.
The unrealized depreciation on the open contracts were as follows:
Open Futures Contracts | Number of Contracts | Expiration Date (Month/Year) | Notional Amount | Market Value | Unrealized Depreciation | |||||||||||||||
Contracts to Buy: | ||||||||||||||||||||
Bank Accept December Futures | 135 | 12/22 | $ | 27,705,331 | $ | 27,668,012 | $ | (37,319 | ) | |||||||||||
Bank Accept March Futures | 258 | 3/23 | 53,059,648 | 52,777,826 | (281,822 | ) | ||||||||||||||
|
| |||||||||||||||||||
(319,141 | ) | |||||||||||||||||||
|
| |||||||||||||||||||
Contracts to Sell: | ||||||||||||||||||||
U.S. Treasury 2-Year Note September Futures | 68 | 9/21 | 15,003,031 | 15,009,937 | (6,906 | ) | ||||||||||||||
U.S. Treasury 5-Year Note September Futures | 600 | 9/21 | 74,165,625 | 74,310,938 | (145,313 | ) | ||||||||||||||
U.S. Ultra Long Bond September Futures | 146 | 9/21 | 21,075,328 | 21,163,156 | (87,828 | ) | ||||||||||||||
|
| |||||||||||||||||||
(240,047 | ) | |||||||||||||||||||
|
| |||||||||||||||||||
Net Unrealized Depreciation on Open Exchange-Traded Futures Contracts |
| $ | (559,188 | ) | ||||||||||||||||
|
|
At May 28, 2021, Ultra-Short Term Fixed Income Fund had deposited cash of $1,043,000 with a broker or brokers as margin collateral on an open exchange-traded futures contracts.
246
Schedules of Investments
(unaudited) (continued)
Ultra-Short Term Fixed Income Fund
At May 28, 2021, Ultra-Short Term Fixed Income Fund had open forward foreign currency contracts as described below.
The unrealized appreciation (depreciation) on the open contracts were as follows:
Foreign Currency | Local Currency | In Exchange For | Counterparty | Market Value | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
Contracts to Buy: | ||||||||||||||||||||||||||||
Australian Dollar | 12,754,714 | USD | 9,910,794 | BNP | $ | 9,832,610 | 6/2/21 | $ | (78,184 | ) | ||||||||||||||||||
British Pound | 319,000 | USD | 453,128 | HSBC | 452,725 | 6/2/21 | (403 | ) | ||||||||||||||||||||
British Pound | 311,000 | USD | 440,468 | JPM | 441,371 | 6/2/21 | 903 | |||||||||||||||||||||
British Pound | 21,704,000 | USD | 30,775,632 | SCB | 30,802,331 | 6/2/21 | 26,699 | |||||||||||||||||||||
Canadian Dollar | 852,000 | USD | 705,855 | MLP | 705,590 | 6/2/21 | (265 | ) | ||||||||||||||||||||
Mexican Peso | 7,185,000 | USD | 341,665 | HSBC | 356,956 | 9/3/21 | 15,291 | |||||||||||||||||||||
|
| |||||||||||||||||||||||||||
(35,959 | ) | |||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||
Contracts to Sell: | ||||||||||||||||||||||||||||
Australian Dollar | 3,435,000 | USD | 2,657,235 | BCLY | 2,648,041 | 6/2/21 | 9,194 | |||||||||||||||||||||
Australian Dollar | 4,555,000 | USD | 3,530,977 | BNP | 3,511,450 | 6/2/21 | 19,527 | |||||||||||||||||||||
Australian Dollar | 405,000 | USD | 312,562 | HSBC | 312,214 | 6/2/21 | 348 | |||||||||||||||||||||
Australian Dollar | 1,114,000 | USD | 860,517 | HSBC | 858,783 | 6/2/21 | 1,734 | |||||||||||||||||||||
Australian Dollar | 5,331,204 | USD | 4,128,435 | MLP | 4,109,826 | 6/2/21 | 18,609 | |||||||||||||||||||||
Australian Dollar | 1,809,000 | USD | 1,405,195 | MLP | 1,394,558 | 6/2/21 | 10,637 | |||||||||||||||||||||
Australian Dollar | 525,000 | USD | 403,871 | SCB | 404,723 | 6/2/21 | (852 | ) | ||||||||||||||||||||
Australian Dollar | 12,754,714 | USD | 9,912,130 | BNP | 9,833,922 | 7/2/21 | 78,208 | |||||||||||||||||||||
British Pound | 22,334,000 | USD | 31,134,032 | HSBC | 31,696,428 | 6/2/21 | (562,396 | ) | ||||||||||||||||||||
British Pound | 21,704,000 | USD | 30,777,016 | SCB | 30,803,598 | 7/2/21 | (26,582 | ) | ||||||||||||||||||||
Canadian Dollar | 18,680,334 | USD | 15,185,335 | BNP | 15,470,255 | 6/2/21 | (284,920 | ) | ||||||||||||||||||||
Canadian Dollar | 4,487,676 | USD | 3,618,567 | HSBC | 3,716,502 | 6/2/21 | (97,935 | ) | ||||||||||||||||||||
Euro | 14,464,000 | USD | 17,421,522 | SCB | 17,638,852 | 6/2/21 | (217,330 | ) | ||||||||||||||||||||
|
| |||||||||||||||||||||||||||
(1,051,758 | ) | |||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||
Net Unrealized Depreciation on Open Forward Foreign Currency Contracts |
| $ | (1,087,717 | ) | ||||||||||||||||||||||||
|
|
247
Schedules of Investments
(unaudited) (continued)
Ultra-Short Term Fixed Income Fund
See pages 252-254 for definitions of ratings.
248
Schedules of Investments
May 28, 2021@
(unaudited) (continued)
Alternative Strategies Fund
Units | Security | Value | ||||||
OPEN END MUTUAL FUND SECURITIES - 96.1% | ||||||||
United States - 96.1% | ||||||||
686,521 | American Beacon AHL Managed Futures Strategy Fund, Class Y | $ | 8,039,163 | |||||
521,952 | BlackRock Event Driven Equity Fund, Institutional Class | 5,381,324 | ||||||
413,209 | BlackRock Global Long/Short Credit Fund, Institutional Class | 4,231,257 | ||||||
513,069 | BlackRock Global Long/Short Equity Fund, Institutional Class | 6,218,398 | ||||||
415,090 | BNY Mellon Global Real Return Fund, Class Y | 7,201,816 | ||||||
234,203 | Diamond Hill Long/Short Fund, Class I | 7,192,362 | ||||||
368,694 | Driehaus Event Driven Fund, Common Class | 5,390,306 | ||||||
773,240 | Goldman Sachs Absolute Return Tracker Fund, Institutional Class | 8,119,018 | ||||||
623,900 | John Hancock Seaport Long/Short Fund, Class I | 8,079,507 | ||||||
349,799 | LoCorr Market Trend Fund, Class I | 4,442,448 | ||||||
606,016 | PIMCO CommodityRealReturn Strategy Fund, Institutional Class | 4,399,675 | ||||||
532,849 | PIMCO Credit Opportunities Bond Fund, Institutional Class | 5,371,119 | ||||||
652,716 | PIMCO Mortgage Opportunities and Bond Fund, Class I-2 | 7,140,718 | ||||||
711,079 | Western Asset Macro Opportunities Fund, Class I | 8,106,305 | ||||||
|
| |||||||
TOTAL INVESTMENTS - 96.1% (Cost - $82,577,787) | 89,313,416 | |||||||
|
| |||||||
Other Assets in Excess of Liabilities - 3.9% | 3,604,739 | |||||||
|
| |||||||
TOTAL NET ASSETS - 100.0% | $ | 92,918,155 | ||||||
|
|
@ | May 28, 2021 represents the last business day of the Funds quarterly period. |
Summary of Investments by Security Type^ | ||||
Open End Mutual Fund Securities | 100.0 | % | ||
|
|
^ | As a percentage of total investments. |
249
Schedules of Investments
(unaudited) (continued)
Alternative Strategies Fund
At May 28, 2021, for Alternative Strategies Fund the aggregate cost of investments, the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:
Fund | Aggregate Cost For Federal Income Tax Purposes | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation | ||||||||||||
Alternative Strategies Fund | $ | 82,577,787 | $ | 7,527,703 | $ | | $ | 7,527,703 |
250
Ratings
The definitions of the applicable rating symbols are set forth below:
Standard & Poors Ratings Service (Standard & Poors) Ratings from AA to CCC may be modified by the addition of a plus (+) or minus (-) sign to show relative standings within the major rating categories.
AAA Bonds rated AAA have the highest rating assigned by Standard & Poors. Capacity to pay interest and repay principal is extremely strong.
AA Bonds rated AA have a very strong capacity to pay interest and repay principal and differ from the highest rated issues only in a small degree.
A Bonds rated A have a strong capacity to pay interest and repay principal although they are somewhat more susceptible to the adverse effects of changes in circumstances and economic conditions than debt in higher rated categories.
BBB Bonds rated BBB are regarded as having an adequate capacity to pay interest and repay principal. Whereas they normally exhibit adequate protection parameters, adverse economic conditions or changing circumstances are more likely to lead to a weakened capacity to pay interest and repay principal for bonds in this category than in higher rated categories.
BB, B, CCC, CC and C Bonds rated BB, B, CCC, CC and C are regarded, on balance, as predominantly speculative with respect to capacity to pay interest and repay principal in accordance with the terms of the obligation. BB represents the lowest degree of speculation and C the highest degree of speculation. While such bonds will likely have some quality and protective characteristics, these are outweighed by large uncertainties or major risk exposures to adverse conditions.
D Bonds rated D are in default and payment of interest and/or repayment of principal is in arrears.
P Preliminary rating.
u The upgrade state defines bonds that have recently been upgraded into higher rating categories.
Moodys Investors Service (Moodys) Numerical modifiers 1, 2 and 3 may be applied to each generic rating from Aa to Caa, where 1 is the highest and 3 the lowest ranking within its generic category.
Aaa Bonds rated Aaa are judged to be of the best quality. They carry the smallest degree of investment risk and are generally referred to as gilt edge. Interest payments are protected by a large or by an exceptionally stable margin and principal is secure. While the various protective elements are likely to change, such changes as can be visualized are most unlikely to impair the fundamentally strong position of such issues.
Aa Bonds rated Aa are judged to be of high quality by all standards. Together with the Aaa group they comprise what are generally known as high grade bonds. They are rated lower than the best bonds because margins of protection may not be as large as in Aaa securities or fluctuation of protective elements may be of greater amplitude or there may be other elements present which make the long-term risks appear somewhat larger than in Aaa securities.
A Bonds rated A possess many favorable investment attributes and are to be considered as upper medium grade obligations. Factors giving security to principal and interest are considered adequate but elements may be present which suggest a susceptibility to impairment some time in the future.
Baa Bonds rated Baa are considered as medium grade obligations, i.e., they are neither highly protected nor poorly secured. Interest payments and principal security appear adequate for the present but certain protective elements may be lacking or may be characteristically unreliable over any great length of time. Such bonds lack outstanding investment characteristics and in fact have speculative characteristics as well.
251
Ba Bonds rated Ba are judged to have speculative elements; their future cannot be considered as well assured. Often the protection of interest and principal payments may be very moderate and therefore not well safeguarded during both good and bad times over the future. Uncertainty of position characterizes bonds in this class.
B Bonds rated B generally lack characteristics of desirable investments. Assurance of interest and principal payments or of maintenance of other terms of the contract over any long period of time may be small.
Caa Bonds rated Caa are of poor standing. These may be in default, or present elements of danger may exist with respect to principal or interest.
Ca Bonds rated Ca represent obligations which are speculative in a high degree. Such issues are often in default or have other marked short-comings.
C Bonds rated C are the lowest class of bonds and issues so rated can be regarded as having extremely poor prospects of ever attaining any real investment standing.
e Expected.
u Upgraded.
Fitch Ratings Service (Fitch) Ratings from AA to CCC may be modified by the addition of a plus (+) or minus (-) sign to show relative standings within the major rating categories.
AAA Bonds rated AAA have the highest rating assigned by Fitch. Capacity to pay interest and repay principal is extremely strong.
AAApre Stable Outlook rating is based on the pledge of securities in the escrow deposit fund securing the bonds and reflects the lien of the refunded bondholders on the escrow trust funds and that all amounts have been invested in direct non-callable obligations of the United States.
AA Bonds rated AA have a very strong capacity to pay interest and repay principal and differ from the highest rated issues only in a small degree.
A Bonds rated A have a strong capacity to pay interest and repay principal although they are somewhat more susceptible to the adverse effects of changes in circumstances and economic conditions than debt in higher rated categories.
BBB Bonds rated BBB are regarded as having an adequate capacity to pay interest and repay principal. Whereas they normally exhibit adequate protection parameters, adverse economic conditions or changing circumstances are more likely to lead to a weakened capacity to pay interest and repay principal for bonds in this category than in higher rated categories.
BB, B, CCC, CC and C Bonds rated BB, B, CCC, CC and C are regarded, on balance, as predominantly speculative with respect to capacity to pay interest and repay principal in accordance with the terms of the obligation. BB represents a lower degree of speculation than B, and CC the highest degree of speculation. While such bonds will likely have some quality and protective characteristics, these are outweighed by large uncertainties or major risk exposures to adverse conditions.
D Bonds rated D are in default and payment of interest and/or repayment of principal is in arrears.
NR Indicates that the bond is not rated by Standard & Poors, Moodys, or Fitch.
WD, WR Indicates that the bonds rating has been withdrawn and the issuer is no longer rated by Standard & Poors, Moodys or Fitch.
252
Short-Term Security Ratings
SP-1 Standard & Poors highest rating indicating very strong or strong capacity to pay principal and interest; those issues determined to possess overwhelming safety characteristics are denoted with a plus (+) sign.
A-1 Standard & Poors highest commercial paper and variable-rate demand obligation (VRDO) rating indicating that the degree of safety regarding timely payment is either overwhelming or very strong; those issues determined to possess overwhelming safety characteristics are denoted with a plus (+) sign.
VMIG 1 Moodys highest rating for issues having a demand feature VRDO.
MIG1 Moodys highest rating for short-term municipal obligations.
P-1 Moodys highest rating for commercial paper and for VRDO prior to the advent of the VMIG 1 rating.
F-1 Fitchs highest rating indicating the strongest capacity for timely payment of financial commitments; those issues determined to possess overwhelming strong credit feature are denoted with a plus (+) sign.
F-2 Fitchs rating indicating a good capacity for timely payment of financial commitments.
253
Notes to Schedules of Investments
1. Organization and Significant Accounting Policies
The Morgan Stanley Pathway Funds (the Trust) is organized as a Massachusetts business trust and registered under the Investment Company Act of 1940, as amended (1940 Act), as an open-end management investment company. The Trust currently consists of Large Cap Equity Fund, Small-Mid Cap Equity Fund, International Equity Fund, Emerging Markets Equity Fund, Core Fixed Income Fund, High Yield Fund, International Fixed Income Fund, Municipal Bond Fund, Inflation-Linked Fixed Income Fund, Ultra-Short Term Fixed Income Fund and Alternative Strategies Fund (individually, a Fund and collectively, the Funds). Each Fund is a diversified series of the Trust, except for International Fixed Income Fund, which is non-diversified.
The following is a summary of significant accounting policies consistently followed by the Funds which are in conformity with accounting principles generally accepted in the United States of America (GAAP). Estimates and assumptions are required to be made by management regarding assets, liabilities and changes in net assets resulting from operations when financial statements are prepared. Changes in the economic environment, financial markets and any other parameters used in determining these estimates could cause actual results to differ. The Funds are investment companies and follow the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 Investment Companies.
In March 2020, FASB issued an Accounting Standard Update, ASU 2020-04, Reference Rate Reform (Topic 848) - Facilitation of the Effects of Reference Rate Reform on Financial Reporting (ASU 2020-04), which provides optional, temporary relief with respect to the financial reporting of contracts subject to certain types of modifications due to the planned discontinuation of the London Interbank Offered Rate (LIBOR) and other IBOR-based reference rates at the end of 2021. The temporary relief provided by ASU 2020-04 is effective for certain reference rate-related contract modifications that occur during the period from March 12, 2020 through December 31, 2022. Management is evaluating the impact of ASU 2020-04 on the Funds investments, derivatives, debt and other contracts that will undergo reference rate-related modifications as a result of the reference rate reform.
(a) Investment Valuation. Equity securities for each Fund for which market quotations are readily available and are traded on an exchange are valued at the closing sale price or official closing price on the exchange on which such security is principally traded. In the event there are no sales that day, such securities are valued at the mean between the bid and ask prices. For securities that are primarily traded on foreign exchanges, these values are converted to U.S. dollars using the current exchange rates as of the close of the New York Stock Exchange (NYSE).
Exchange-traded purchased and written options and futures contracts are valued at the last sale price (closing price) in the market where such contracts are principally traded or, if no sales are reported, the bid price. Swaps for which quotations are available on an automated basis from approved third-party pricing services are valued using those automated third-party pricing service quotations. Forward foreign currency contracts are valued using the official closing price for such contracts on the NYSE.
Portfolio securities traded in the over-the-counter market for which market quotations are readily available are valued at the last sales price that day. In the event there are no sales that day, such securities are valued at the mean between the bid and ask prices. Investments in registered open-end management investment companies are valued at reported net asset value per share.
Debt obligations that will mature in 60 days or less are valued at amortized cost, which approximates market value. Debt obligations that will mature in more than 60 days are valued using valuations furnished by an approved third-party pricing service; such valuations are determined by the third-party pricing service based upon its analysis of a variety of factors, including transactions in debt obligations, quotations from bond dealers, market transactions in comparable securities and its analysis of various relationships between securities, prices or yields of securities with similar characteristics, benchmark curves or information pertaining to the issuer, and as well as industry and economic events.
Overnight repurchase agreements and repurchase agreements maturing in seven days or less are valued at cost. Term repurchase agreements maturing in more than seven days are valued at the average of the bid quotations obtained daily from at least two recognized purchasers of such term repurchase agreements selected by Consulting Group Advisory Services, LLC (CGAS) (the Manager).
The Board of Trustees (the Board) has ultimate responsibility for ensuring the Funds investments are valued appropriately. The Board has delegated primary responsibility for determining or causing to be determined the value of the Funds investments (including any fair valuation) to the Manager pursuant to valuation policies and procedures approved by the Board. When market quotations are not readily available or are determined to be unreliable, investments
254
are valued at fair value as determined in good faith by the valuation committee established by the Manager in accordance with such procedures under the oversight of the Board. Circumstances that may indicate that market quotations are not readily available or are unreliable include, but are not limited to, such instances when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, and before the applicable Fund calculates its Net Asset Value (NAV).
Each business day, Emerging Markets Equity Fund and International Equity Fund use a Board-approved third-party pricing service to assist with the valuation of foreign equity securities. Events occurring after the close of trading on foreign exchanges may result in adjustments to the valuation of foreign securities to reflect market trading that occurs after the close of the applicable foreign markets of comparable securities or other instruments that have a strong correlation to the fair-valued securities to more accurately reflect their fair value as of the close of regular trading on the NYSE.
The Funds disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure the fair value. The hierarchy prioritizes inputs to valuation methods and requires disclosure of the fair value hierarchy, separately for each major category of assets and liabilities that segregates fair value measurements into levels (Level 1, 2 and 3). The three levels of the fair value hierarchy are as follows:
Level 1 unadjusted quoted prices in active markets for identical securities.
Level 2 significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3 significant unobservable inputs (including assumptions made by the Board or persons acting at their direction that are used in determining the fair value of investments).
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following are certain inputs and techniques that the Funds generally use to evaluate how to classify each major category of assets and liabilities in accordance with GAAP.
Fixed income securities including corporate, convertible and municipal bonds and notes, U.S. government agencies, U.S. treasury obligations, sovereign bonds, bank loans, convertible preferred securities and non-U.S. bonds are normally valued by third-party pricing service providers that use broker quotations, reported trades or valuation estimates from their internal pricing models. The service providers internal models use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar assets. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy. To the extent that these inputs are significant and unobservable, the values are categorized as Level 3 of the fair value hierarchy.
Mortgage-related and asset-backed securities are usually issued as separate tranches, or classes, of securities within each deal. These securities are also normally valued by third-party pricing service providers that use broker-dealer quotations or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche-level attributes, current market data, estimated cash flows and market-based yield spreads for each tranche, and incorporate deal collateral performance, as available. Mortgage-related and asset-backed securities and the related forward sales commitments that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy. To the extent that these inputs are significant and unobservable, the values are categorized as Level 3 of the fair value hierarchy.
Common stocks, preferred stocks, rights, warrants, exchange-traded funds and financial derivative instruments, such as futures contracts or options contracts that are traded on a national securities exchange, are categorized as Level 1 of the fair value hierarchy, to the extent these securities are actively traded and valuation adjustments are not applied.
Valuation adjustments may be applied to certain securities that are solely traded on a foreign exchange to account for the market movement between the close of the foreign market and the NYSE close. Securities using these valuation adjustments are categorized as Level 2 of the fair value hierarchy. Preferred securities and other equities traded on inactive markets or valued by reference to similar instruments are also categorized as Level 2 of the fair value hierarchy.
Investments in registered open-end investment management companies are valued based upon the NAVs of such investments and are categorized as Level 1 of the fair value hierarchy.
255
Short-term investments having a maturity of 60 days or less are generally valued at amortized cost which approximates fair market value. These investments are categorized as Level 2 of the fair value hierarchy.
Over-the-counter financial derivative instruments, such as foreign currency contracts, forward foreign currency contracts, options contracts, or swap contracts, derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. These contracts are normally valued on the basis of broker dealer quotations or by third-party pricing service providers. Depending on the product and the terms of the transaction, the value of financial derivatives can be estimated by a third-party pricing service provider using a series of techniques, including simulation pricing models. The pricing models use inputs that are observed from actively quoted markets such as issuer details, indices, spreads, interest rates, yield curves, dividends and exchange rates. Financial derivatives that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy. To the extent that these inputs are significant and unobservable, the values are categorized as Level 3 of the fair value hierarchy.
Centrally cleared swaps listed or traded on a multilateral or trade facility platform, such as a registered exchange, are valued at the daily settlement price determined by the respective exchange. For centrally cleared credit default swaps the clearing facility requires its members to provide actionable levels across complete term structures. These levels along with external third party prices are used to produce daily settlement prices. Centrally cleared interest rate swaps are valued using a pricing model that references the underlying rates including the overnight index swap rate and London Interbank Offered Rate (LIBOR) forward rate to produce the daily settlement price. These securities are categorized as Level 2 of the fair value hierarchy.
The Funds policy is to recognize transfers between levels at the end of the reporting period. In some instances, the inputs used to measure fair value might fall in different levels of the fair value hierarchy. The level in the fair value hierarchy within which the fair value measurement in its entirety falls is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value received upon actual sale of those investments.
The following table summarizes the valuation of each Funds assets and liabilities using the fair value hierarchy:
Total Fair Value at May 28, 2021 | Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | |||||||||||||
Large Cap Equity Fund |
| |||||||||||||||
Investments, at Value | ||||||||||||||||
Common Stocks: | ||||||||||||||||
Communication Services | $ | 193,082,962 | $ | 193,082,962 | $ | | $ | | ||||||||
Consumer Discretionary | 262,154,374 | 262,154,374 | | | ||||||||||||
Consumer Staples | 94,867,062 | 94,867,062 | | | ||||||||||||
Energy | 39,479,109 | 39,479,109 | | | ||||||||||||
Financials | 210,806,940 | 210,806,940 | | | ||||||||||||
Health Care | 291,524,812 | 291,524,812 | | | ||||||||||||
Industrials | 211,692,903 | 211,692,903 | | | ||||||||||||
Information Technology | 552,495,442 | 552,495,442 | | | ||||||||||||
Materials | 59,806,902 | 59,806,902 | | | ||||||||||||
Real Estate | 63,011,454 | 63,011,454 | | | ||||||||||||
Utilities | 36,159,451 | 36,159,451 | | | ||||||||||||
Closed End Mutual Fund Security: | ||||||||||||||||
Financials | 20,410,007 | 20,410,007 | | | ||||||||||||
Short-Term Investments: | ||||||||||||||||
Money Market Fund | 38,374,784 | 38,374,784 | | | ||||||||||||
Time Deposits | 38,026,694 | | 38,026,694 | | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments, at Value | $ | 2,111,892,896 | $ | 2,073,866,202 | $ | 38,026,694 | $ | | ||||||||
|
|
|
|
|
|
|
| |||||||||
Securities Lending Transactions - Liabilities | $ | (38,374,784 | ) | $ | | $ | (38,374,784 | ) | $ | | ||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments - Assets | ||||||||||||||||
Futures Contracts | $ | 792,074 | $ | 792,074 | $ | | $ | | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments - Assets | $ | 792,074 | $ | 792,074 | $ | | $ | | ||||||||
|
|
|
|
|
|
|
|
256
Total Fair Value at May 28, 2021 | Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | |||||||||||||
Small-Mid Cap Equity Fund |
| |||||||||||||||
Investments, at Value | ||||||||||||||||
Corporate Bonds & Notes | $ | 1,040,261 | $ | | $ | 1,040,261 | $ | | ||||||||
Common Stocks: | ||||||||||||||||
Communication Services | 16,382,531 | 16,382,531 | | | ||||||||||||
Consumer Discretionary | 66,570,448 | * | 66,570,448 | | | * | ||||||||||
Consumer Staples | 27,987,174 | 27,987,174 | | | ||||||||||||
Energy | 12,068,820 | 12,068,820 | | | ||||||||||||
Financials | 96,602,755 | 96,602,755 | | | ||||||||||||
Health Care | 115,327,790 | * | 115,322,838 | 4,952 | | * | ||||||||||
Industrials | 122,885,229 | 122,885,229 | | | ||||||||||||
Information Technology | 128,388,535 | 128,388,535 | | | ||||||||||||
Materials | 38,020,818 | * | 38,020,818 | | | * | ||||||||||
Real Estate | 42,762,771 | 42,762,771 | | | ||||||||||||
Utilities | 21,580,789 | 21,580,789 | | | ||||||||||||
Convertible Preferred Stocks: | ||||||||||||||||
Health Care | 3,267,369 | 3,267,369 | | | ||||||||||||
Utilities | 1,693,547 | 1,693,547 | | | ||||||||||||
Closed End Mutual Fund Securities: | ||||||||||||||||
Financials | 2,390,506 | 2,390,506 | | | ||||||||||||
Preferred Stocks: | ||||||||||||||||
Financials | 2,336,717 | 2,336,717 | | | ||||||||||||
Short-Term Investments: | ||||||||||||||||
Money Market Fund | 77,990,029 | 77,990,029 | | | ||||||||||||
Time Deposits | 25,424,022 | | 25,424,022 | | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments, at Value | $ | 802,720,111 | * | $ | 776,250,876 | $ | 26,469,235 | $ | | * | ||||||
|
|
|
|
|
|
|
| |||||||||
Securities Lending Transactions - Liabilities | $ | (77,990,029 | ) | $ | | $ | (77,990,029 | ) | $ | | ||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments - Assets | ||||||||||||||||
Futures Contracts | $ | 74,640 | $ | 74,640 | $ | | $ | | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments - Assets | $ | 74,640 | $ | 74,640 | $ | | $ | | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments - Liabilities | ||||||||||||||||
Futures Contract | $ | (11,112 | ) | $ | (11,112 | ) | $ | | $ | | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments - Liabilities | $ | (11,112 | ) | $ | (11,112 | ) | $ | | $ | | ||||||
|
|
|
|
|
|
|
|
257
Total Fair Value at May 28, 2021 | Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | |||||||||||||
International Equity Fund |
| |||||||||||||||
Investments, at Value | ||||||||||||||||
Common Stocks: | ||||||||||||||||
France | $ | 156,758,833 | $ | 236,924 | $ | 156,521,909 | $ | | ||||||||
Germany | 125,883,258 | | 125,883,258 | | ||||||||||||
Japan | 240,552,666 | | 240,552,666 | | ||||||||||||
Switzerland | 158,747,502 | 2,524,671 | 156,222,831 | | ||||||||||||
United Kingdom | 195,198,192 | 831,984 | 194,366,208 | | ||||||||||||
Other Countries** | 521,081,469 | 58,862,963 | 462,218,506 | | ||||||||||||
Preferred Stocks: | ||||||||||||||||
Germany | 4,441,914 | | 4,441,914 | | ||||||||||||
Closed End Mutual Fund Security: | ||||||||||||||||
United States | 1,467,970 | 1,467,970 | | | ||||||||||||
Short-Term Investments: | ||||||||||||||||
Convertible Bond | 1,300,723 | | 1,300,723 | | ||||||||||||
Money Market Fund | 23,456,920 | 23,456,920 | | | ||||||||||||
Time Deposits | 40,917,192 | | 40,917,192 | | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments, at Value | $ | 1,469,806,639 | $ | 87,381,432 | $ | 1,382,425,207 | $ | | ||||||||
|
|
|
|
|
|
|
| |||||||||
Securities Lending Transactions - Liabilities | $ | (23,456,920 | ) | $ | | $ | (23,456,920 | ) | $ | | ||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments - Assets | ||||||||||||||||
Futures Contracts | $ | 62,948 | $ | 62,948 | $ | | $ | | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments - Assets | $ | 62,948 | $ | 62,948 | $ | | $ | | ||||||||
|
|
|
|
|
|
|
|
258
Total Fair Value at May 28, 2021 | Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | |||||||||||||
Emerging Markets Equity Fund | ||||||||||||||||
Investments, at Value | ||||||||||||||||
Common Stocks: | ||||||||||||||||
China | $ | 180,404,835 | * | $ | 35,755,114 | $ | 144,649,721 | $ | | * | ||||||
India | 64,504,153 | 8,343,128 | 56,161,025 | | ||||||||||||
South Korea | 79,454,945 | | 79,454,945 | | ||||||||||||
Taiwan | 69,970,350 | 17,411,720 | 52,558,630 | | ||||||||||||
Other Countries** | 194,486,820 | 84,893,922 | 109,592,878 | 20 | ||||||||||||
Preferred Stocks: | ||||||||||||||||
Brazil | 2,478,588 | 2,478,588 | | | ||||||||||||
Chile | 125,435 | 125,435 | | | ||||||||||||
Colombia | 75,576 | 75,576 | | | ||||||||||||
Russia | 100,118 | 100,118 | | | ||||||||||||
South Korea | 5,133,517 | | 5,133,517 | | ||||||||||||
Right: | ||||||||||||||||
China | 1,861 | | 1,861 | | ||||||||||||
Warrants: | ||||||||||||||||
Thailand | | * | | | | * | ||||||||||
Corporate Bond & Note | ||||||||||||||||
Other Countries** | | * | | | | * | ||||||||||
Short-Term Investments: | ||||||||||||||||
Money Market Fund | 3,914,304 | 3,914,304 | | | ||||||||||||
Time Deposits | 17,464,550 | | 17,464,550 | | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments, at Value | $ | 618,115,052 | * | $ | 153,097,905 | $ | 465,017,127 | $ | 20 | * | ||||||
|
|
|
|
|
|
|
| |||||||||
Securities Lending Transactions - Liabilities | $ | (3,914,304 | ) | $ | | $ | (3,914,304 | ) | $ | | ||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments - Assets | ||||||||||||||||
Futures Contract | $ | 29,902 | $ | 29,902 | $ | | $ | | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments - Assets | $ | 29,902 | $ | 29,902 | $ | | $ | | ||||||||
|
|
|
|
|
|
|
|
259
Total Fair Value at May 28, 2021 | Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | |||||||||||||
Core Fixed Income Fund | ||||||||||||||||
Investments, at Value | ||||||||||||||||
Corporate Bonds & Notes | $ | 342,546,556 | * | $ | | $ | 342,546,556 | $ | | * | ||||||
U.S. Government Agencies & Obligations | 335,868,617 | | 335,868,617 | | ||||||||||||
Mortgage-Backed Securities | 277,673,487 | | 277,673,487 | | ||||||||||||
Collateralized Mortgage Obligations | 102,454,352 | | 102,454,352 | | ||||||||||||
Sovereign Bonds | 32,985,755 | | 32,985,755 | | ||||||||||||
Senior Loans | 19,001,545 | | 19,001,545 | | ||||||||||||
Asset-Backed Securities | 10,017,119 | | 10,017,119 | | ||||||||||||
Municipal Bonds | 4,397,240 | | 4,397,240 | | ||||||||||||
Purchased Options | 127,945 | * | 57,263 | 70,682 | * | | ||||||||||
Short-Term Investments: | ||||||||||||||||
Asset-Backed Security | 530,484 | | 530,484 | | ||||||||||||
Time Deposits | 87,619,821 | | 87,619,821 | | ||||||||||||
U.S. Government Obligations | 37,252,861 | | 37,252,861 | | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments, at Value | $ | 1,250,475,782 | * | $ | 57,263 | $ | 1,250,418,519 | * | $ | | ||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments - Assets | ||||||||||||||||
Futures Contracts | $ | 596,082 | $ | 596,082 | $ | | $ | | ||||||||
Forward Foreign Currency Contracts | 1,014,223 | | 1,014,223 | | ||||||||||||
Centrally Cleared Interest Rate Swaps | 3,422,011 | | 3,422,011 | | ||||||||||||
Centrally Cleared Inflation Rate Swap | 17,578 | | 17,578 | | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments - Assets | $ | 5,049,894 | $ | 596,082 | $ | 4,453,812 | $ | | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments - Liabilities | ||||||||||||||||
Options Contracts Written | $ | (32,172 | ) | $ | (32,172 | ) | $ | | $ | | ||||||
Futures Contracts | (359,327 | ) | (359,327 | ) | | | ||||||||||
Forward Foreign Currency Contracts | (218,734 | ) | | (218,734 | ) | | ||||||||||
OTC Interest Rate Swaps | (7,002 | ) | | (7,002 | ) | | ||||||||||
Centrally Cleared Interest Rate Swaps | (129,706 | ) | | (129,706 | ) | | ||||||||||
Centrally Cleared Inflation Rate Swap | (25,685 | ) | | (25,685 | ) | | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments - Liabilities | $ | (772,626 | ) | $ | (391,499 | ) | $ | (381,127 | ) | $ | | |||||
|
|
|
|
|
|
|
|
260
Total Fair Value at May 28, 2021 | Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | |||||||||||||
High Yield Fund | ||||||||||||||||
Investments, at Value | ||||||||||||||||
Corporate Bonds & Notes | $ | 277,936,159 | $ | | $ | 277,936,159 | $ | | ||||||||
Senior Loans | 14,998,605 | | 14,998,605 | | ||||||||||||
Collateralized Mortgage Obligations | 8,136,459 | | 8,136,459 | | ||||||||||||
Sovereign Bonds | 54,061 | | 54,061 | | ||||||||||||
Convertible Preferred Stocks: | ||||||||||||||||
Energy | 779,488 | 372,884 | 406,604 | | ||||||||||||
Common Stocks: | ||||||||||||||||
Communications | 19,798 | 19,798 | | | ||||||||||||
Energy | 354,471 | 344,045 | 10,426 | | ||||||||||||
Financials | 445 | | | 445 | ||||||||||||
Preferred Stocks: | ||||||||||||||||
Financials | 373,353 | 373,353 | | | ||||||||||||
Short-Term Investments: | ||||||||||||||||
Money Market Fund | 128,700 | 128,700 | | | ||||||||||||
Time Deposits | 17,694,195 | | 17,694,195 | | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments, at Value | $ | 320,475,734 | $ | 1,238,780 | $ | 319,236,509 | $ | 445 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Securities Lending Transactions - Liabilities | $ | (128,700 | ) | $ | | $ | (128,700 | ) | $ | | ||||||
|
|
|
|
|
|
|
|
261
Total Fair Value at May 28, 2021 | Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | |||||||||||||
International Fixed Income Fund | ||||||||||||||||
Investments, at Value | ||||||||||||||||
Sovereign Bonds | ||||||||||||||||
France | $ | 8,280,631 | $ | | $ | 8,280,631 | $ | | ||||||||
Japan | 19,605,165 | | 19,605,165 | | ||||||||||||
Spain | 9,680,703 | | 9,680,703 | | ||||||||||||
Other Countries** | 25,540,313 | | 25,540,313 | | ||||||||||||
Corporate Bonds & Notes | ||||||||||||||||
United Kingdom | 7,389,706 | | 7,389,706 | | ||||||||||||
Other Countries** | 24,250,416 | | 24,250,416 | | ||||||||||||
Collateralized Mortgage Obligations | 26,510,418 | | 26,510,418 | | ||||||||||||
Mortgage-Backed Securities | 16,848,531 | | 16,848,531 | | ||||||||||||
U.S. Government Agencies & Obligations | 4,925,495 | | 4,925,495 | | ||||||||||||
Asset-Backed Securities | 481,338 | | 481,338 | | ||||||||||||
Purchased Options | 78,545 | | 78,545 | | ||||||||||||
Short-Term Investments: | ||||||||||||||||
Sovereign Bonds | 2,488,824 | | 2,488,824 | | ||||||||||||
Time Deposits | 3,778,810 | | 3,778,810 | | ||||||||||||
U.S. Government Obligations | 10,998,763 | | 10,998,763 | | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments, at Value | $ | 160,857,658 | $ | | $ | 160,857,658 | $ | | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments - Assets | ||||||||||||||||
Futures Contracts | $ | 134,661 | $ | 134,661 | $ | | $ | | ||||||||
Forward Foreign Currency Contracts | 443,059 | | 443,059 | | ||||||||||||
Centrally Cleared Interest Rate Swaps | 1,209,793 | | 1,209,793 | | ||||||||||||
Centrally Cleared Inflation Rate Swaps | 125,039 | | 125,039 | | ||||||||||||
OTC Credit Default Swaps | 66,061 | | 66,061 | | ||||||||||||
Centrally Cleared Credit Default Swaps | 19,845 | | 19,845 | | ||||||||||||
OTC Cross-Currency Swap | 181,395 | | 181,395 | | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments Assets | $ | 2,179,853 | $ | 134,661 | $ | 2,045,192 | $ | | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments - Liabilities | ||||||||||||||||
Options Contracts Written | $ | (132,500 | ) | $ | | $ | (132,500 | ) | $ | | ||||||
Forward Sale Commitments | (8,432,323 | ) | | (8,432,323 | ) | | ||||||||||
Futures Contracts | (171,879 | ) | (171,879 | ) | | | ||||||||||
Forward Foreign Currency Contracts | (1,115,212 | ) | | (1,115,212 | ) | | ||||||||||
Centrally Cleared Interest Rate Swaps | (1,093,083 | ) | | (1,093,083 | ) | | ||||||||||
Centrally Cleared Inflation Rate Swaps | (122,443 | ) | | (122,443 | ) | | ||||||||||
OTC Credit Default Swaps | (841 | ) | | (841 | ) | | ||||||||||
Centrally Cleared Credit Default Swaps | (195,396 | ) | | (195,396 | ) | | ||||||||||
OTC Total Return Swap | (137,814 | ) | | (137,814 | ) | | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments - Liabilities | $ | (11,401,491 | ) | $ | (171,879 | ) | $ | (11,229,612 | ) | $ | | |||||
|
|
|
|
|
|
|
|
262
Total Fair Value at May 28, 2021 | Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | |||||||||||||
Municipal Bond Fund | ||||||||||||||||
Investments, at Value | ||||||||||||||||
Municipal Bonds | $ | 70,242,689 | $ | | $ | 70,242,689 | $ | | ||||||||
Closed End Mutual Fund Security: | ||||||||||||||||
United States | 3,017,826 | 3,017,826 | | | ||||||||||||
Short-Term Investments: | ||||||||||||||||
Time Deposits | 4,832,011 | | 4,832,011 | | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments, at Value | $ | 78,092,526 | $ | 3,017,826 | $ | 75,074,700 | $ | | ||||||||
|
|
|
|
|
|
|
|
263
Total Fair Value at May 28, 2021 | Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | |||||||||||||
Inflation-Linked Fixed Income Fund | ||||||||||||||||
Investments, at Value | ||||||||||||||||
U.S. Government Agencies & Obligations | $ | 167,963,828 | $ | | $ | 167,963,828 | $ | | ||||||||
Collateralized Mortgage Obligations | 14,495,687 | | 14,495,687 | | ||||||||||||
Sovereign Bonds | 14,236,291 | | 14,236,291 | | ||||||||||||
Corporate Bonds & Notes | 8,290,123 | | 8,290,123 | | ||||||||||||
Mortgage-Backed Securities | 5,773,284 | | 5,773,284 | | ||||||||||||
Purchased Options | 310,427 | | 310,427 | | ||||||||||||
Short-Term Investments: | ||||||||||||||||
Time Deposits | 1,299,144 | | 1,299,144 | | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments, at Value | $ | 212,368,784 | $ | | $ | 212,368,784 | $ | | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments - Assets | ||||||||||||||||
Futures Contracts | $ | 227,981 | * | $ | 227,981 | * | $ | | $ | | ||||||
Forward Foreign Currency Contracts | 72,541 | | 72,541 | | ||||||||||||
Centrally Cleared Interest Rate Swaps | 39,773 | | 39,773 | | ||||||||||||
Centrally Cleared Inflation Rate Swaps | 620,253 | | 620,253 | | ||||||||||||
Centrally Cleared Credit Default Swap | 2,035 | | 2,035 | | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments - Assets | $ | 962,583 | * | $ | 227,981 | * | $ | 734,602 | $ | | ||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments - Liabilities | ||||||||||||||||
Options Contracts Written | $ | (297,530 | ) | $ | | $ | (297,530 | ) | $ | | ||||||
Reverse Repurchase Agreements | (37,959,460 | ) | | (37,959,460 | ) | | ||||||||||
Futures Contracts | (82,970 | ) | (82,970 | ) | | | ||||||||||
Forward Foreign Currency Contracts | (328,824 | ) | | (328,824 | ) | | ||||||||||
Centrally Cleared Inflation Rate Swaps | (837,029 | ) | | (837,029 | ) | | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments - Liabilities | $ | (39,505,813 | ) | $ | (82,970 | ) | $ | (39,422,843 | ) | $ | | |||||
|
|
|
|
|
|
|
|
264
Total Fair Value at May 28, 2021 | Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | |||||||||||||
Ultra-Short Term Fixed Income Fund | ||||||||||||||||
Investments, at Value | ||||||||||||||||
Corporate Bonds & Notes | $ | 148,535,109 | $ | | $ | 148,535,109 | $ | | ||||||||
Collateralized Mortgage Obligations | 130,499,279 | | 130,499,279 | | ||||||||||||
U.S. Government Agencies & Obligations | 85,791,310 | | 85,791,310 | | ||||||||||||
Asset-Backed Securities | 21,139,853 | | 21,139,853 | | ||||||||||||
Sovereign Bonds | 7,548,200 | | 7,548,200 | | ||||||||||||
Mortgage-Backed Securities | 2,063,692 | | 2,063,692 | | ||||||||||||
Short-Term Investments: | ||||||||||||||||
Commercial Paper | 1,200,000 | | 1,200,000 | | ||||||||||||
Corporate Bond | 500,670 | | 500,670 | | ||||||||||||
Repurchase Agreement | 3,000,000 | | 3,000,000 | | ||||||||||||
Time Deposits | 10,182,614 | | 10,182,614 | | ||||||||||||
U.S. Government Obligations | 186,119,895 | | 186,119,895 | | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments, at Value | $ | 596,580,622 | $ | | $ | 596,580,622 | $ | | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments - Assets | ||||||||||||||||
Forward Foreign Currency Contracts | $ | 181,150 | $ | | $ | 181,150 | $ | | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments - Assets | $ | 181,150 | $ | | $ | 181,150 | $ | | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments - Liabilities | ||||||||||||||||
Futures Contracts | $ | (559,188 | ) | $ | (559,188 | ) | $ | | $ | | ||||||
Forward Foreign Currency Contracts | (1,268,867 | ) | | (1,268,867 | ) | | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments - Liabilities | $ | (1,828,055 | ) | $ | (559,188 | ) | $ | (1,268,867 | ) | $ | | |||||
|
|
|
|
|
|
|
|
265
Total Fair Value at May 28, 2021 | Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | |||||||||||||
Alternative Strategies Fund | ||||||||||||||||
Investments, at Value | ||||||||||||||||
Open End Mutual Fund Securities | ||||||||||||||||
United States | $ | 89,313,416 | $ | 89,313,416 | $ | | $ | | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments, at Value | $ | 89,313,416 | $ | 89,313,416 | $ | | $ | | ||||||||
|
|
|
|
|
|
|
|
* | Includes securities that are valued in good faith at fair value by or under the direction of the Board of Trustees at $0. |
** | Other countries represents countries that are individually less than 5% of Net Assets. |
The level classification by major category of investments is the same as the category presentation in the Schedules of Investments.
Transfer between investment levels may occur as the investment levels may occur markets fluctuate and/or the availability of data used in an investments valuation changes.
266
The following is a reconciliation of assets for which significant unobservable inputs (Level 3) were used in determining fair value during the period September 1, 2020 through May 28, 2021:
Total | Common Stocks | Corporate Bonds & Notes | Warrant | |||||||||||||
Small-Mid Cap Equity Fund | ||||||||||||||||
Balance as of August 31, 2020 | $ | | * | $ | | * | $ | | $ | | ||||||
Realized gain (loss) | | | | | ||||||||||||
Change in unrealized appreciation (depreciation) | | | | | ||||||||||||
Purchases | | | * | | | |||||||||||
(Sales) | | | * | | | |||||||||||
Transfers in | | | | | ||||||||||||
(Transfers out) | | | | | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Balance as of May 28, 2021 | $ | | * | $ | | * | $ | | $ | | ||||||
|
|
|
|
|
|
|
| |||||||||
Change in unrealized appreciation (depreciation) from Investments held as of May 28, 2021 | $ | | $ | | $ | | $ | | ||||||||
|
|
|
|
|
|
|
|
267
Total | Common Stocks | Corporate Bonds & Notes | Warrants | |||||||||||||
Emerging Markets Equity Fund | ||||||||||||||||
Balance as of August 31, 2020 | $ | | $ | | $ | | $ | | ||||||||
Total realized gain (loss) | | | | | ||||||||||||
Change in unrealized appreciation (depreciation) | | * | | | | * | ||||||||||
Purchases | | | | | ||||||||||||
(Sales) | | | | | ||||||||||||
Transfers in | 20 | * | 20 | * | | | ||||||||||
(Transfers out) | | | | | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Balance as of May 28, 2021 | 20 | * | $ | 20 | * | $ | | $ | | * | ||||||
|
|
|
|
|
|
|
| |||||||||
Change in unrealized appreciation (depreciation) from Investments held as of May 28, 2021 | $ | | $ | | $ | | $ | | ||||||||
|
|
|
|
|
|
|
|
268
Total | Common Stocks | Corporate Bonds & Notes | Warrant | |||||||||||||
Core Fixed Income Fund | ||||||||||||||||
Balance as of August 31, 2020 | $ | | * | $ | | $ | | * | $ | | ||||||
Total realized gain (loss) | | | | | ||||||||||||
Change in unrealized appreciation (depreciation) | | | | | ||||||||||||
Purchases | | | | | ||||||||||||
(Sales) | | | | | ||||||||||||
Transfers in | | | | | ||||||||||||
(Transfers out) | | | | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
Balance as of May 28, 2021 | $ | | * | $ | | $ | | * | $ | | ||||||
|
|
|
|
|
|
|
| |||||||||
Change in unrealized appreciation (depreciation) from Investments held as of May 28, 2021 | $ | | $ | | $ | | $ | | ||||||||
|
|
|
|
|
|
|
|
269
Total | Common Stocks | Corporate Bonds & Notes | Warrant | |||||||||||||
High Yield Fund | ||||||||||||||||
Balance as of August 31, 2020 | $ | 19,472 | $ | 19,472 | $ | | $ | | ||||||||
Total realized gain (loss) | | | | | ||||||||||||
Change in unrealized appreciation (depreciation) | (8,601 | ) | (8,601 | ) | | | ||||||||||
Purchases | | | | | ||||||||||||
(Sales) | | | | | ||||||||||||
Transfers in | | | | | ||||||||||||
(Transfers out) | (10,426 | ) | (10,426 | ) | | | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Balance as of May 28, 2021 | $ | 445 | $ | 445 | $ | | $ | | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in unrealized appreciation (depreciation) from Investments held as of May 28, 2021 | $ | (4,770 | ) | $ | (4,770 | ) | $ | | $ | | ||||||
|
|
|
|
|
|
|
|
* | Includes securities that are valued at $0. |
(b) Accounting for Derivative Instruments. Derivative instruments require enhanced disclosures regarding a Funds credit derivatives holdings, including credit default swaps, credit spread options and hybrid financial instruments containing embedded credit derivatives.
All open derivative positions at the period-end for each Fund are disclosed in the Funds Schedule of Investments.
Certain Funds may use derivative instruments including futures, options, forward foreign currency contracts, swaptions and swap contracts as part of their investment strategies. Following is a description of these derivative instruments, including the primary underlying risk exposures related to each instrument type:
(i) Futures Contracts. Certain Funds may enter into futures contracts, to the extent permitted by their investment policies and objectives, for bonafide hedging and other permissible risk management purposes including protecting against anticipated changes in the value of securities a Fund intends to purchase. Upon entering into a futures contract, a
270
Fund is required to deposit cash or securities as initial margin, which is included in deposits for collateral with counterparty on the Statements of Assets and Liabilities. Additional securities are also segregated as collateral up to the current market value of the futures contracts. Subsequent payments, known as variation margin, are made or received by the Fund, depending on the fluctuation in the value of the underlying financial instruments and are reported on the Statements of Assets and Liabilities. The Fund recognizes an unrealized gain or loss equal to the variation margin. When futures contracts are closed, a realized gain or loss is recognized which is equal to the difference between the proceeds from (or cost of) the closing transactions and the Funds basis in the contracts.
The risks associated with entering into futures contracts include the possibility that a change in the value of the contract may not correlate with the changes in the value of the underlying instruments. In addition, investing in futures contracts involves the risk that the Fund could lose more than the original margin deposit due to subsequent payments that may be required for a futures transaction.
(ii) Options Written. Certain Funds may write options to manage exposure to certain changes in the market. When a Fund writes an option, an amount equal to the premium received by the Fund is recorded as a liability, the value of which is marked-to-market daily to reflect the current market value of the option written. If the option expires, the Fund realizes a gain from investments equal to the amount of the premium received. When a written call option is exercised, the premium received is added to the proceeds from the sale of the underlying security in determining whether the Fund has a realized gain or loss. When a written put option is exercised, the amount of the premium received reduces the cost of the security purchased by the Fund.
When writing a covered call option, a Fund may forego the opportunity of profit if the market price of the underlying security increases more than the premium received and the option is exercised. When writing a put option, a Fund may incur a loss if the market price of the underlying security decreases more than the premium received and the option is exercised. In addition, there is the risk that the Fund may not be able to enter into a closing transaction because of an illiquid secondary market.
(iii) Purchased Options. Certain Funds may purchase options to manage exposure to certain changes in the market. A Fund will normally purchase call options in anticipation of an increase in the market value of securities of the type in which they may invest, an amount equal to the value is recorded as an asset. The purchase of a call option will entitle a Fund, in return for the premium paid, to purchase specified securities at a specified price during the option period. A Fund will ordinarily realize a gain if, during the option period, the value of such securities exceeded the sum of the exercise price, the premium paid and transaction costs; otherwise, the Fund will realize a loss equal to the amount of the premium paid on the purchase of the call option.
A Fund will normally purchase put options in anticipation of a decline in the market value of securities in its portfolio
(protective puts) or in securities in which it may invest. The purchase of a put option will entitle the Fund, in exchange for the premium paid, to sell specified securities at a specified price during the option period. The purchase of protective puts is designed to offset or hedge against a decline in the market value of the Funds securities. Put options may also be purchased by a Fund for the purpose of affirmatively benefiting from a decline in the price of securities which it does not own. The Fund will ordinarily realize a gain if, during the option period, the value of the underlying securities decreased below the exercise price sufficiently to more than cover the premium and transaction costs; otherwise the Fund will realize a loss equal to the amount of the premium paid on the purchase of the put option. Gains and losses on the purchase of protective put options would tend to be offset by countervailing changes in the value of the underlying portfolio securities.
(iv) Inflation-Capped Options. Certain Funds may write or purchase inflation-capped options to enhance returns or for hedging opportunities. When a Fund writes an inflation-capped option, an amount equal to the premium received is recorded as a liability on the Statements of Assets and Liabilities and subsequently marked to market to reflect the change value of the option written. When a Fund purchases an inflation-capped option, the Fund pays a premium which is recorded as an asset on the Statements of Assets and Liabilities and subsequently marked to market to reflect the current value of the option. The purpose of purchasing inflation-capped options is to protect a Fund from inflation erosion above a certain rate on a given notional exposure. A floor can be used to give downside protection to investments in inflation-linked products.
(v) Forward Foreign Currency Contracts. Certain Funds may enter into forward foreign currency contracts to hedge against foreign currency exchange rate risk on their non-U.S. dollar denominated securities or to facilitate settlement of foreign currency denominated portfolio transactions. A forward foreign currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. The contract is marked-to-market daily and the change in value is recorded by a Fund as an unrealized gain or loss. When a forward foreign currency contract is extinguished, through either delivery or offset by entering into another forward foreign currency contract, the Fund records a realized
271
gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was extinguished.
Forward foreign currency contracts involve elements of market risk in excess of the amounts reflected in the Statements of Assets and Liabilities. The Fund bears the risk of an unfavorable change in the foreign exchange rate underlying the forward foreign currency contract. Risks may also arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of their contracts.
(vi) Swaptions. Swaptions contracts entered into by the Funds typically represent an option that gives the purchaser the right, but not the obligation, to enter into a swap contract on a future date. Certain Funds may purchase swaptions to manage exposure to fluctuations in interest rates and to enhance portfolio yield. Changes in the value of purchased swaptions are reported as net change in unrealized appreciation or depreciation on the Statements of Operations and Changes in Net Assets. Gain or loss is recognized when the swaptions contract expires or is closed as net realized gain or loss on the Statements of Operations and Changes in Net Assets. Details of purchased swaptions contracts held at period-end are included on the Funds Schedule of Investments under the caption Purchased Options.
Certain Funds may write swaption contracts to manage exposure to fluctuations in interest rates and to enhance portfolio yield. Swaption contracts written by a Fund represent an option that obligates the writer upon exercise by the purchaser, to enter into a previously agreed upon swap contract on a future date. If a written call swaption is exercised, the writer will enter into a swap and is obligated to pay the fixed rate and receive a floating rate in exchange. If a written put swaption is exercised, the writer will enter a swap and is obligated to pay the floating rate and receive a fixed rate in exchange.
When a Fund writes a swaption, the premium received is recorded as a liability in the Statements of Assets and Liabilities and is subsequently adjusted to the current market value of the swaption. Changes in the value of the swaption are reported as unrealized gains or losses in the Statements of Operations. A gain or loss is recognized when the swaption contract expires or is closed. Premiums received from writing swaptions that expire or are exercised are treated by the Fund as realized gains from investments. The difference between the premium and the amount paid on effecting a closing purchase transaction is also treated as a realized gain or, if the premium received is less than the amount paid for the closing purchase, as a realized loss.
Entering into a swaption contract involves, to varying degrees, the elements of credit, market and interest rate risk, associated with both option contracts and swap contracts. To reduce credit risk from potential counterparty default, a Fund only enters into swaption contracts with counterparties that meet certain standards of creditworthiness. A Fund bears the market risk arising from any change in index values or interest rates.
(vii) Swap Contracts. Swaps involve the exchange by a Fund with another party of the respective amounts payable with respect to a notional principal amount related to one or more indices. Certain Funds may enter into these transactions to preserve a return or spread on a particular investment or portion of its assets, as a duration management technique or to protect against any increase in the price of securities the Fund anticipates purchasing at a later date. Certain Funds may also use these transactions for speculative purposes, such as to obtain the price performance of a security without actually purchasing the security in circumstances where, for example, the subject security is illiquid, is unavailable for direct investment or available only on less attractive terms.
Swaps are marked-to-market daily based upon quotations from market makers and the change, if any, is recorded as change in unrealized appreciation or depreciation in the Statements of Operations. Net receipts or payments of interest are recorded as realized gains or losses, respectively. Gains and losses are realized upon termination of a swap contract. An upfront payment received by the Fund, is recorded as a liability on the Funds books. An upfront payment made by the Fund is recorded as an asset on the Funds books. Any upfront payments paid or received upon entering a swap contract to compensate for differences between stated terms of the agreement and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded as a realized gain or loss at the termination of the swap.
Swaps have risks associated with them, including possible default by the counterparty to the transaction, illiquidity and, where swaps are used as hedges, the risk that the use of a swap could result in losses greater than if the swap had not been employed. This risk is mitigated by the posting of collateral by the counterparty to the Fund to cover the Funds exposure to the counterparty. Such amounts are reported on the Statements of Assets and Liabilities as deposits with counterparties.
(viii) Credit Default Swaps. Certain Funds may enter into credit default swap contracts for investment purposes, to manage their credit risk or to add leverage. As a seller in a credit default swap contract, a Fund is required to pay the notional or other agreed-upon value to the counterparty in the event of a default by a third party, such as a U.S. or foreign
272
corporate issuer, on the referenced debt obligation. In return, the Fund receives from the counterparty a periodic stream of payments over the term of the contract provided that no event of default has occurred. If no default occurs, the Fund keeps the stream of payments and has no payment obligations. Such periodic payments are accrued daily and accounted for as realized gains.
Certain Funds may also purchase credit default swap contracts in order to hedge against the risk of default by debt securities held in their portfolios. In these cases, a Fund functions as the counterparty referenced in the preceding paragraph. As a purchaser of a credit default swap contract, the Fund receives the notional or other agreed upon value from the counterparty in the event of a default by a third party, such as a U.S. or foreign corporate issuer, on the referenced debt obligation. In return, the Fund makes periodic payments to the counterparty over the term of the contract provided no event of default has occurred. Such periodic payments are accrued daily and accounted for as realized losses.
For a credit default swap sold by a Fund, payment of the agreed upon amount made by the Fund in the event of default of the referenced debt obligation is recorded as the cost of the referenced debt obligation received. For a credit default swap purchased by a Fund, the agreed upon amount received by the Fund in the event of default of the referenced debt obligation is recorded as proceeds from sale/delivery of the referenced debt obligation and the resulting gain or loss realized on the referenced debt obligation is recorded as such by the Fund.
Entering into credit default swaps involves, to varying degrees, elements of credit and market risk in excess of the related amounts recognized on the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there will be unfavorable changes in net interest rates. As privately negotiated transactions, swaps may involve risk, which is the risk that the swap contracts fail to contemplate a particular outcome or that the parties disagree about the proper interpretation of a transaction term.
(ix) Interest Rate Swaps. Certain Funds may enter into interest rate swaps for investment purposes to manage exposure to fluctuations in interest rates or to add leverage. Interest rate swaps represent an agreement between two counterparties to exchange cash flows based on the difference in the fixed interest rate and the floating interest rate, applied to the notional principal amount for a specified period. The payment flows are usually netted against each other, with the difference being paid by one party to the other. Once the payments are settled in cash, the net amount is recorded as realized gain or loss from swap contracts on the Statements of Operations. The Funds settle accrued net receivable or payable under the swap contracts on a periodic basis.
The primary risk associated with interest rate swaps is that unfavorable changes in interest rates could adversely impact a Fund.
(x) Centrally Cleared Swaps. Certain clearinghouses currently offer clearing for limited types of derivatives transactions, principally credit and interest derivatives. In a centrally cleared derivative transaction, a Fund typically enters into the transaction with financial institution counterparty, and performance of the transaction is effectively guaranteed by a central clearinghouse, thereby reducing or eliminating the Funds exposure to the credit risk of the original counterparty. The Fund typically will be required to post specified levels of margin with the clearinghouse or at the instruction of the clearinghouse. The margin required by a clearinghouse may be greater than the margin the Fund would be required to post in an uncleared derivative transaction. Daily changes in valuation of centrally cleared swaps, if any, are recorded as variation margin receivable or payable on swap contracts for the change in value as appropriate on the Statements of Assets and Liabilities. Only a limited number of derivative transactions are currently eligible for clearing by clearinghouses.
(xi) Cross-Currency Swaps. Certain Funds may enter into cross-currency swaps to gain or mitigate exposure to currency risk. Cross-currency swaps involve two parties exchanging two different currencies with an agreement to reverse the exchange at a later date at specific exchange rates. The exchange of currencies at the inception date of the contract takes place at the current spot rate. The re-exchange at maturity may take place at the same exchange rate, a specified rate, or the then current spot rate. Interest payments, if applicable, are made between the parties based on interest rates available in the two currencies at the inception of the contract. The terms of cross-currency swap contracts may extend for many years. Cross-currency swaps are usually negotiated with commercial and investment banks. Some cross-currency swaps may not provide for exchanging principal cash flows, but only for exchanging interest cash flows.
(xii) Volatility Swap Contracts. A volatility swap is an agreement between counterparties to exchange periodic payments based on the measured volatility of a reference security, index, currency or other reference investment over a specified time frame. One cash flow is typically based on the realized volatility of the reference investment as measured by changes in its price or level over the specified time period while the other cash flow is based on a specified rate representing expected volatility for the reference investment at the time the swap is executed, or the measured volatility
273
of a different reference investment over the specified time period. The appreciation or depreciation on a volatility swap will typically depend on the magnitude of the reference investments volatility, or size of the movements in its price, over the specified time period, rather than general directional increases or decreases in its price.
Volatility swaps are less standard in structure than other types of swaps and provide pure, or isolated, exposure to volatility risk of the specific underlying reference investment. Volatility swaps are typically used to speculate on future volatility levels, to trade the spread between realized and expected volatility, or to decrease the volatility exposure of investments held by the Fund.
Variance swaps are a type of volatility swap where counterparties agree to exchange periodic payments based on the measured variance (or the volatility squared) of a reference security, index, or other reference investment over a specified time period. At payment date, a net cash flow will be exchanged based on the difference between the realized variance of the reference investment over the specified time period and the specified rate representing expected variance for the reference investment at the time the swap is executed multiplied by the notional amount of the contract.
(xiii) Inflation Rate Swap Contracts. The Fund may enter into inflation rate swap contracts to attempt to hedge against inflation. Pursuant to the inflation rate swap agreement, the Fund negotiates with a counterparty to exchange a periodic stream of payments, based on a benchmark inflation index. One cash flow stream will typically be a floating rate payment linked to the specified inflation index while the other is typically a fixed interest rate.
Inflation rate swaps are normally issued on a zero coupon basis where all payments compound during the life of the contract and are netted upon the termination or maturity of the contract. Final payments received or paid by the Fund are recorded as realized gains or losses in the Statements of Operations. Inflation rate swap contracts are subject to movements in interest rates.
(xiv) Total Return Swaps. The Fund may enter into total return swap contracts to gain exposure and benefit from reference asset (single asset, or a basket of assets) without actually having to own it. Total return swap contracts are agreements where the total return of a reference asset is paid in exchange for periodic cash flows. The deal is structured such that the total return (asset income plus capital appreciation/depreciation) is exchanged, in the cash flows. Periodic payments received or made by the Fund are recorded as realized gains or losses in the Statements of Operations.
(c) Repurchase Agreements. When entering into repurchase agreements, it is the Funds policy that their custodian or a third party custodian takes possession of the underlying collateral securities, the market value of which at least equals the principal amount of the repurchase transaction, including accrued interest. To the extent that any repurchase transaction exceeds one business day, the value of the collateral is marked-to-market daily to ensure the adequacy of the collateral. If the seller defaults and the market value of the collateral declines or if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by the Funds may be delayed or limited.
(d) Stripped Securities. Certain Funds may invest in Stripped Securities, a term used collectively for stripped fixed income securities. Stripped Securities can be principal-only securities (PO), which are debt obligations that have been stripped of interest coupons, or interest-only securities (IO), which are interest coupons that have been stripped from debt obligations. As is the case with all securities, the market value of Stripped Securities will fluctuate in response to changes in economic conditions, interest rates and the markets perception of the securities. However, fluctuations in response to interest rates may be greater in Stripped Securities than for debt obligations of comparable maturities that pay interest currently. The amount of fluctuation increases with a longer period of maturity. The yield-to-maturity on an IO is sensitive to the rate of principal repayments (including prepayments) on the related underlying debt obligation and principal payments may have a material effect on yield to maturity. If the underlying debt obligation experiences greater than anticipated prepayments of principal, the Fund may not fully recoup its initial investment in the IO.
(e) Time Deposits. Certain Funds may purchase overnight time deposits issued by offshore branches of U.S. banks that meet credit and risk standards established by the custodian and approved by the Board.
(f) Lending of Portfolio Securities The Trust has an agreement with its custodian, whereby the custodian, as agent, may lend securities owned by the Funds to brokers, dealers and other financial organizations that have been approved as borrowers by the Funds. The custodian enters into agreements with the borrowers. Loans of securities by a Fund are collateralized by cash, U.S. government securities or irrevocable performance letters of credit issued by banks approved by the Funds. All non-cash collateral is received, held and administered by the custodian in an applicable custody account or other account established for the purpose of holding collateral for each Fund. Cash collateral received by the Funds as a result of securities lending activities is invested in an unaffiliated registered money market fund, and is recorded as Payable for collateral received from securities on loan within the Statements of Assets and Liabilities. Securities lending income represents the income earned on investing cash collateral plus any premium payments that may be received on
274
the loan of certain types of securities, less fees and expenses associated with the loan. Each Fund maintains the risk of any market loss on its securities on loan as well as the potential loss on investments purchased with cash collateral received from its securities lending. The custodian has the right under its agreement with the borrowers to recover any loaned securities from the borrower on demand. Additionally, the Funds are exposed to risks that a borrower may not provide additional collateral when required or return loaned securities when due. If the borrower fails to return the securities, the custodian will use the collateral to purchase replacement securities. The custodian is responsible for any shortfall in collateral value under certain circumstances.
At May 28, 2021, the aggregate market value of the loaned securities and the value of the collateral each fund received were as follows:
Gross Amounts Not Offset in the Statements of Assets and Liabilities | ||||||||
Fund | Gross Asset Amount Presented in the Statements of Assets and Liabilities (a) | Financial Instrument | Collateral Received (b)(c) | Net Amount (Not Less than $0) | ||||
Large Cap Equity Fund | $38,403,479 | $ | $(38,403,479) | $0 | ||||
Small-Mid Cap Equity Fund | 76,047,953 | | (76,047,953) | 0 | ||||
International Equity Fund | 23,241,135 | | (23,241,135) | 0 | ||||
Emerging Markets Equity Fund | 3,900,630 | | (3,900,630) | 0 | ||||
High Yield Fund | 125,928 | | (125,928) | 0 |
(a) | Represents market value of securities on loan at period end. |
(b) | The Funds received cash collateral of $38,374,784, $77,990,029, $23,456,920, $3,914,304 and $128,700, respectively, which was subsequently invested in Invesco STIT Government & Agency Portfolio as reported in the Schedules of Investments. In addition, the Funds received non-cash collateral of $964,481, $0, $989,454, $265,927 and $0, respectively, in the form of U.S. Government Obligations, which the Funds cannot sell or repledge, and accordingly are not reflected in the Portfolio of Investments. |
(c) | The actual collateral received could be greater than the amount shown here due to overcollateralization. |
(g) To-Be-Announced Purchase and Sale Commitments. Certain Funds may trade securities on a to-be-announced (TBA) basis. In a TBA transaction, a Fund commits to purchasing or selling securities which have not yet been issued by the issuer and for which specific information is not known, such as the face amount and maturity date and the underlying pool of investments in U.S. government agency mortgage pass-through transactions. Securities purchased on a TBA basis are not settled until they are delivered to the Fund, normally 15 to 45 days later. Beginning on the date the Fund enters into a TBA transaction, cash, U.S. government securities or other liquid high-grade debt obligations are segregated in an amount equal in value to the purchase price of the TBA security. These transactions are marked-to-market on a daily basis and are subject to market fluctuations. Realized gains or losses on TBA purchase commitments are included in Net realized gain (loss) on investments on the Statements of Operations. Any fluctuation in the value of the purchased TBA commitments is included in Net change in unrealized appreciation (depreciation) on investments on the Statements of Operations.
Additionally, when a Fund sells TBA securities without already owning or having the right to obtain the deliverable securities (an uncovered forward commitment to sell), it incurs a risk of loss because it could have to purchase the securities at a price that is higher than the price at which it sold them. A Fund may be unable to purchase the deliverable securities if the corresponding market is illiquid.
TBA securities subject to a forward commitment to sell at period end are included at the end of the Funds Schedule of Investments under the caption Schedule of Forward Sale Commitments. The proceeds and value of these commitments are recorded as Forward Sale Commitments at value in the Statements of Assets and Liabilities.
(h) Short Sales of Securities. A short sale is a transaction in which a Fund sells securities it does not own in anticipation of a decline in the market price of the securities. To complete a short sale, the Fund may arrange through a broker to borrow the securities to be delivered to the buyer. The proceeds received by the Fund for the short sale are retained by the broker until the Fund replaces the borrowed securities. In borrowing the securities to be delivered to the buyer, the Fund becomes obligated to replace the securities borrowed at their market price at the time of replacement, whatever that price may be.
The risk of engaging in short sale transactions is that selling short magnifies the potential for loss to a Fund. The larger the Funds short position, the greater the potential loss. If a security sold short increases in price, the Fund may have to cover its short position at a higher price than the short sale price, resulting in a loss. To borrow the security, the Fund also may be required to pay a premium, which could decrease the proceeds of the security sold short. The amount of any gain will be decreased, and the amount of any loss increased, by the amount of the premium, dividends, interest or expenses the Fund may be required to pay in connection with the short sale. In addition, because the Funds loss on a short sale arises from increases in the value of the security sold short, such loss is unlimited.
(i) Mortgage Dollar Rolls. Certain Funds may sell mortgage-backed securities for delivery in the current month and simultaneously contract to repurchase substantially similar (same type, coupon and maturity) securities to settle on a specific future date at an agreed upon price. Pools of mortgage securities are used to collateralize mortgage dollar roll transactions and may have different prepayment histories than those sold. During the period between the sale and the repurchase, a Fund forgoes principal and interest paid on the securities sold. Proceeds of the sale will be invested in short-term instruments and the income from these investments, together with any additional fee income received on a sale, is intended to generate income for a Fund. A Fund accounts for mortgage dollar roll transactions as purchases and sales and realizes the gain or loss at the time the transaction is entered into on these transactions. If certain criteria are met, these dollar roll transactions may be considered financing transactions, whereby the difference in the sale price and the future purchase price is recorded as an adjustment to interest income.
Mortgage dollar roll transactions involve the risk that the market value of the securities a Fund is obligated to repurchase under the agreement may decline below the repurchase price of those securities. If investment performance of securities
275
purchased with proceeds from these transactions does not exceed the income, capital appreciation and gain or loss that would have been realized on the securities sold as part of the dollar roll, the use of this technique will adversely impact the investment performance of a Fund. In the event the buyer of securities under a mortgage dollar roll files for bankruptcy or becomes insolvent, the Funds use of proceeds of the dollar roll may be restricted pending a determination by the other party, or its trustee or receiver, whether to enforce the Funds obligation to repurchase the securities.
(j) Credit and Market Risk. Certain Funds invest in high yield instruments that are subject to certain credit and market risks. The yields of high yield obligations reflect, among other things, perceived credit and market risks. Each Funds investment in securities rated below investment grade typically involve risks not associated with higher rated securities, including, among others, greater risk related to timely and ultimate payment of interest and principal, greater market price volatility and less liquid secondary market trading.
(k) Foreign Investment and Currency Risks. Certain Funds investments in foreign securities may involve risks not present in domestic investments. Because securities may be denominated in foreign currencies and may require settlement in foreign currencies and pay interest or dividends in foreign currencies, changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of a Fund. Foreign investments may also subject the Fund to foreign government exchange restrictions, expropriation, taxation or other political, social or economic developments, all of which affect the market and/or credit risk of the investments.
(l) Emerging Markets Risk. In addition to foreign investment and currency risks, which tend to be amplified in emerging markets, emerging markets may experience rising interest rates, or, more significantly, rapid inflation or hyperinflation. The economies of emerging market countries may grow at slower rates than expected or suffer a downturn or recession. Emerging market securities may present market, credit, liquidity, legal, political and other risks different from, or greater than, the risks of investing in developed foreign countries.
(m) LIBOR Replacement Risk. Many financial instruments use or may use a floating rate based on LIBOR, the offered rate at which major international banks can obtain wholesale, unsecured funding. LIBOR may be a significant factor in determining the Funds payment obligations under a derivative investment, the cost of financing to the Fund or an investments value or return to the Fund, and may be used in other ways that affect the Funds investment performance. In July 2017, the United Kingdoms Financial Conduct Authority announced a desire to phase out the use of LIBOR by the end of 2021. The unavailability and/or discontinuation of LIBOR may affect the value, liquidity or return on certain Fund investments that mature later than 2021 and may result in costs incurred in connection with closing out positions and entering into new positions. Any pricing adjustments to the Funds investments resulting from a substitute reference rate may also adversely affect the Funds performance and/or net asset value.
(n) Volatility Risk. Volatility risk refers to the magnitude of the movement, but not the direction of the movement, in a financial instruments price over a defined time period. Large increases or decreases in a financial instruments price over a relative time period typically indicate greater volatility risk, while small increases or decreases in its price typically indicate lower volatility risk.
(o) Market Risk. Certain impacts to public health conditions particular to the coronavirus (COVID-19) outbreak could impact the operations and financial performance of certain of the Funds investments. The extent of the impact to the financial performance of Funds investments will depend on future developments, including (i) the duration and spread of the outbreak, (ii) the restrictions and advisories, (iii) the effects on the financial markets, and (iv) the effects on the economy overall, all of which are highly uncertain and cannot be predicted. If the financial performance of Funds investments is impacted because of these factors for an extended period, the Funds investment results may be adversely affected.
(p) Security Transactions and Investment Income. Security transactions are accounted for on a trade date basis. Interest income, adjusted for amortization of premium and accretion of discount, is recorded on an accrual basis. Dividend income is recorded on the ex-dividend date. Foreign dividend income is recorded on the ex-dividend date or as soon as practical after a Fund determines the existence of a dividend declaration after exercising reasonable due diligence. Interest and dividend income payable by delivery of additional shares is reclassified as PIK (payment-in-kind) income upon receipt, if any, and is included in interest and dividend income, respectively. The cost of investments sold is determined by use of the specific identification method. To the extent any issuer defaults on an expected interest payment, the Trusts policy is to generally halt any additional interest income accruals and accretion and consider the Funds ability to realize interest accrued up to the date of default.
(q) Foreign Currency Translation. Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts based upon prevailing exchange rates on the date of valuation.
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Purchases and sales of investment securities and income and expense items denominated in foreign currencies are translated into U.S. dollar amounts based upon prevailing exchange rates on the respective dates of such transactions.
The Funds do not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments in the Statements of Operations.
Net realized foreign exchange gains or losses arise from sales of foreign currencies, including gains and losses on forward foreign currency contracts, currency gains or losses realized between the trade and settlement dates on securities transactions and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities, at the date of valuation, resulting from changes in exchange rates.
Foreign security and currency transactions may involve certain considerations and risks not typically associated with those of U.S. dollar denominated transactions as a result of, among other factors, the possibility of lower levels of governmental supervision and regulation of foreign securities markets and the possibility of political or economic instability.
(r) Distributions to Shareholders. Distributions from net investment income for Large Cap Equity Fund, Small-Mid Cap Equity Fund, International Equity Fund, Emerging Markets Equity Fund, International Fixed Income Fund and Alternative Strategies Fund, if any, are declared and paid on an annual basis. Distributions from net investment income for Core Fixed Income Fund, High Yield Fund, Municipal Bond Fund, Inflation-Linked Fixed Income Fund and Ultra-Short Term Fixed Income Fund, if any, are declared and paid on a monthly basis.
The Funds intend to satisfy conditions that will enable interest from municipal securities, which are exempt from regular federal income tax and from designated state income taxes, to retain such tax-exempt status when distributed to the shareholders of the Funds. Distributions of net realized gains to shareholders of the Funds, if any, are taxable and are declared at least annually. Distributions to shareholders of the Funds are recorded on the ex-dividend date and are determined in accordance with income tax regulations, which may differ from GAAP.
(s) Federal and Other Taxes. It is the Trusts policy to comply with the federal income and excise tax requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies. Accordingly, each Fund intends to distribute substantially all of its income and net realized gains on investments, if any, to shareholders each year. Therefore, no federal income tax provision is required in the Funds financial statements. Under the applicable foreign tax laws, a withholding tax may be imposed on interest, dividends and capital gains at various rates.
Management has reviewed the tax positions and has concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken on returns filed for open tax years or expected to be taken in 2019 tax returns. Each Funds federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
(t) Reclassification. GAAP requires that certain components of net assets be adjusted to reflect permanent differences between financial and tax reporting. These reclassifications have no effect on net assets or net asset values per share.
(u) Restricted Securities. All Funds may invest in non-publicly traded securities, commonly called restricted securities. Restricted securities may be less liquid than publicly-traded securities. Although certain restricted securities may be resold in privately negotiated transactions, the values realized from these sales could be less than originally paid by a Fund. Certain restricted securities may be deemed liquid by the Manager and/or Sub-adviser pursuant to the procedures approved by the Board. The value of restricted securities is determined as described in Note 1(a).
(v) Reverse Repurchase Agreements. Certain Funds may each enter into reverse repurchase agreements with the financial institutions with which it may enter into repurchase agreements. Under a reverse repurchase agreement, a Fund sells securities to a financial institution and agrees to repurchase them at a mutually agreed upon date, price and rate of interest. During the period between the sale and repurchase, the Fund would not be entitled to principal and interest paid on the securities sold by the Fund. The Fund, however, would seek to achieve gains derived from the difference between the current sale price and the forward price for the future purchase as well as the interest earned on the proceeds on the initial sale. Reverse repurchase agreements involve the risk that the market value of the securities purchased with the proceeds from the sale of the securities received by the Fund may decline below the price of the securities the Fund is obligated to repurchase. Reverse repurchase agreements also involve credit risk with the counterparty to the extent that the value of securities subject to repurchase exceed the Funds liability under the reverse repurchase agreement. Reverse
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repurchase agreements will be viewed as borrowings by a Fund for the purpose of calculating the Funds indebtedness and will have the effect of leveraging the Funds assets.
(w) Indemnification. In the normal course of business, the Funds may enter into contracts that provide certain indemnifications. The Funds maximum exposure under these arrangements is dependent on future claims that may be made against the Funds and, therefore, cannot be estimated; however, based on experience, risk of loss from such claims is considered remote.
(x) Senior Floating-Rate Loans. Interests in senior floating-rate loans (Senior Loans) for which reliable market quotations are readily available are valued generally at the average mean of bid and ask quotations obtained from a third party pricing service. Other Senior Loans are valued at fair value by the investment adviser under procedures approved by the Trustees. In fair valuing a Senior Loan, the investment adviser utilizes one or more of the valuation techniques described in (i) through (iii) below to assess the likelihood that the borrower will make a full repayment of the loan underlying such Senior Loan relative to yields on other Senior Loans issued by companies of comparable credit quality. If the investment adviser believes that there is a reasonable likelihood of full repayment, the investment adviser will determine fair value using a matrix pricing approach that considers the yield on the Senior Loan. If the investment adviser believes there is not a reasonable likelihood of full repayment, the investment adviser will determine fair value using analyses that include, but are not limited to: (i) a comparison of the value of the borrowers outstanding equity and debt to that of comparable public companies; (ii) a discounted cash flow analysis; or (iii) when the investment adviser believes it is likely that a borrower will be liquidated or sold, an analysis of the terms of such liquidation or sale. In certain cases, the investment adviser will use a combination of analytical methods to determine fair value, such as when only a portion of a borrowers assets are likely to be sold. In conducting its assessment and analyses for purposes of determining fair value of a Senior Loan, the investment adviser will use its discretion and judgment in considering and appraising relevant factors. Fair value determinations are made by the portfolio managers of the Fund based on information available to such managers. The portfolio managers of other funds managed by the investment adviser that invest in Senior Loans may not possess the same information about a Senior Loan borrower as the portfolio managers of the Fund. At times, the fair value of a Senior Loan determined by the portfolio managers of other funds managed by the investment adviser that invest in Senior Loans may vary from the fair value of the same Senior Loan determined by the portfolio managers of the Fund. The fair value of each Senior Loan is periodically reviewed and approved by the investment advisers Valuation Committee and by the Trustees based upon procedures approved by the Trustees. Junior Loans (i.e., subordinated loans and second lien loans) are valued in the same manner as Senior Loans.
In connection with bank loan interests, the Fund may enter into unfunded bank loan interests (commitments). Unfunded loan commitments may be partially or wholly unfunded. The Fund is obligated to fund those commitments at borrowers discretion. In connection with these commitments, the Fund earns a commitment fee, which is included in interest income in the Statements of Operations and recognized respectively over the commitment period.
The following table summarizes the High Yield Funds fully unfunded loan positions as of May 28, 2021:
Principal | Unfunded Bank Loan Interest (Cost) | Value of Underlying Bank Loan Interest (Value) | Unrealized Appreciation/ (Depreciation) | |||||||||||||
Redstone Holdco 2 LP | $106,890 | $106,890 | $106,223 | $(667) | ||||||||||||
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(y) Disclosure about Offsetting Assets and Liabilities. In order to better define contractual rights under derivative contracts and to secure rights that will help the Funds mitigate their counterparty risk, a Sub-adviser may, on behalf of the Funds, enter into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between the Funds and a counterparty that governs OTC derivatives and foreign exchange contracts and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The ISDA Master Agreement gives a Fund the right, upon an event of default by the applicable counterparty or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net amount payable by one party to the other. Absent an event of default by the counterparty or a termination of the agreement, the ISDA Master Agreement does not result in an offset of reported amounts of assets and liabilities in the Statements of Assets and Liabilities across the transactions between the Funds and the applicable counterparty. The right to offset and net payments across all transactions traded under the ISDA Master Agreement could result in a reduction of the Funds credit risk to such counterparty equal to any amounts payable by the Funds under the applicable transactions, if any. The enforceability of the right to offset may vary by jurisdiction.
Cash collateral that has been received or pledged to cover obligations under derivative contracts, if any, will be reported separately in the Statements of Assets and Liabilities. Generally, the amount of collateral due from or to a counterparty is subject to a minimum transfer threshold amount before a transfer is required, which may vary by counterparty. Collateral pledged for the benefit of the Fund and/or counterparty is held in segregated accounts by the Funds custodian and cannot be sold, re-pledged, assigned or otherwise used while pledged. The portion of such collateral representing cash, if
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any, is reflected as deposits with counterparties and, in the case of cash pledged by counterparty for the benefit of the Fund, a corresponding liability in the Statements of Assets and Liabilities. Securities pledged by the Fund as collateral, if any, are identified as such in the Schedule of Investments. The carrying amount of such deposits due to brokers at May 28, 2021 approximated their fair value. If measured at fair value, such deposits would have been considered as Level 2 in the fair value hierarchy (see Note 1(a)).
Repurchase agreements and reverse repurchase agreements may be entered into by the Funds under Master Repurchase Agreements (MRA) which permit a Fund, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from a Fund. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of the MRA counterpartys bankruptcy or insolvency. The Funds repurchase agreements as of May 28, 2021 are shown on a gross basis and the required offsetting disclosures are shown in the Schedules of Investments. The value of the related collateral exceeded the value of the repurchase agreements as of May 28, 2021.
For financial reporting purposes, the Funds do not offset financial assets and financial liabilities that are subject to master netting arrangements or similar agreements on the Statements of Assets and Liabilities.
2. Investments
The aggregate gross unrealized appreciation and depreciation of investments for federal income tax purposes at May 28, 2021 have been disclosed under respective schedules of investments.
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