WILSHIRE MUTUAL FUNDS, INC. | ||||
LARGE COMPANY GROWTH PORTFOLIO | September 30, 2023 (Unaudited) | |||
SCHEDULE OF INVESTMENTS |
Shares | Value | ||||||
COMMON STOCKS - 78.1% (a) | |||||||
Communication Services - 9.7% | |||||||
Alphabet, Inc. - Class A (b) | 21,085 | $ | 2,759,183 | ||||
Alphabet, Inc. - Class C (b) | 66,792 | 8,806,525 | |||||
Liberty Media Corp. - Liberty Formula One - Class C (b) | 11,717 | 729,969 | |||||
Live Nation Entertainment, Inc. (b) | 4,081 | �� 338,887 | |||||
Meta Platforms, Inc. - Class A (b) | 17,751 | 5,329,028 | |||||
Netflix, Inc. (b) | 4,512 | 1,703,731 | |||||
Pinterest, Inc. - Class A (b) | 23,703 | 640,692 | |||||
The Trade Desk, Inc. - Class A (b) | 6,227 | 486,640 | |||||
20,794,655 | |||||||
Consumer Discretionary - 10.6% | |||||||
Amazon.com, Inc. (b) | 76,874 | 9,772,223 | |||||
Booking Holdings, Inc. (b) | 272 | 838,834 | |||||
CarMax, Inc. (b) | 2,121 | 150,018 | |||||
Chipotle Mexican Grill, Inc. (b) | 357 | 653,963 | |||||
Domino's Pizza, Inc. | 224 | 84,849 | |||||
DraftKings, Inc. - Class A (b) | 11,991 | 353,015 | |||||
Expedia Group, Inc. (b) | 496 | 51,123 | |||||
Ferrari NV | 1,353 | 399,866 | |||||
Grand Canyon Education, Inc. (b) | 688 | 80,414 | |||||
Lululemon Athletica, Inc. (b) | 2,038 | 785,873 | |||||
Marriott International, Inc. - Class A | 1,475 | 289,926 | |||||
McDonald's Corp. | 1,270 | 334,569 | |||||
MercadoLibre, Inc. (b) | 871 | 1,104,324 | |||||
MGM Resorts International | 4,927 | 181,117 | |||||
Mobileye Global, Inc. - Class A (b) | 12,815 | 532,463 | |||||
NIKE, Inc. - Class B | 7,378 | 705,484 | |||||
NVR, Inc. (b) | 17 | 101,376 | |||||
O'Reilly Automotive, Inc. (b) | 70 | 63,620 | |||||
PulteGroup, Inc. | 3,798 | 281,242 | |||||
Ross Stores, Inc. | 114 | 12,876 | |||||
Royal Caribbean Cruises Ltd. (b) | 1,145 | 105,500 | |||||
Starbucks Corp. | 383 | 34,956 | |||||
Tesla, Inc. (b) | 12,511 | 3,130,503 | |||||
The Home Depot, Inc. | 3,667 | 1,108,021 | |||||
The TJX Cos., Inc. | 2,191 | 194,736 | |||||
Toll Brothers, Inc. | 4,071 | 301,091 | |||||
TopBuild Corp. (b) | 187 | 47,049 | |||||
Tractor Supply Co. | 2,475 | 502,549 | |||||
Trip.com Group Ltd. - ADR (b) | 14,531 | 508,149 | |||||
22,709,729 | |||||||
Consumer Staples - 2.2% | |||||||
Celsius Holdings, Inc. (b) | 1,007 | 172,801 | |||||
Costco Wholesale Corp. | 3,944 | 2,228,202 | |||||
Monster Beverage Corp. (b) | 37,887 | 2,006,117 | |||||
PepsiCo, Inc. | 1,491 | 252,635 | |||||
The Boston Beer Co., Inc. - Class A (b) | 139 | 54,145 | |||||
The Coca-Cola Co. | 96 | 5,374 | |||||
4,719,274 | |||||||
Energy - 1.2% | |||||||
Antero Midstream Corp. | 4,780 | 57,265 | |||||
APA Corp. | 4,423 | 181,785 | |||||
Cheniere Energy, Inc. | 1,615 | 268,025 | |||||
EOG Resources, Inc. | 9,742 | 1,234,896 | |||||
Equitrans Midstream Corp. | 4,091 | 38,333 | |||||
Schlumberger NV | 14,780 | 861,674 | |||||
2,641,978 | |||||||
Financials - 5.4% | |||||||
Apollo Global Management, Inc. | 1,797 | 161,299 | |||||
Ares Management Corp. - Class A | 2,907 | 299,043 | |||||
CME Group, Inc. | 3,289 | 658,524 | |||||
Kinsale Capital Group, Inc. | 582 | 241,024 | |||||
MarketAxess Holdings, Inc. | 385 | 82,251 | |||||
Marsh & McLennan Cos., Inc. | 794 | 151,098 | |||||
Mastercard, Inc. - Class A | 3,061 | 1,211,881 | |||||
MSCI, Inc. | 2,166 | 1,111,331 | |||||
Primerica, Inc. | 838 | 162,580 | |||||
S&P Global, Inc. | 2,770 | 1,012,186 | |||||
The Progressive Corp. | 1,304 | 181,647 | |||||
The Western Union Co. | 3,924 | 51,718 | |||||
Toast, Inc. - Class A (b) | 17,719 | 331,877 | |||||
Tradeweb Markets, Inc. - Class A | 486 | 38,977 | |||||
Visa, Inc. - Class A | 25,305 | 5,820,403 | |||||
11,515,839 | |||||||
Health Care - 12.6% | |||||||
Acadia Healthcare Co., Inc. (b) | 7,912 | 556,293 | |||||
Align Technology, Inc. (b) | 1,548 | 472,635 | |||||
Amgen, Inc. | 390 | 104,816 | |||||
AstraZeneca PLC - ADR | 6,587 | 446,072 | |||||
Boston Scientific Corp. (b) | 19,183 | 1,012,862 | |||||
Danaher Corp. | 2,161 | 536,144 | |||||
Edwards Lifesciences Corp. (b) | 16,536 | 1,145,614 | |||||
Eli Lilly & Co. | 5,233 | 2,810,801 | |||||
Genmab A/S - ADR (b)(c) | 7,583 | 267,452 | |||||
Globus Medical, Inc. - Class A (b) | 1,510 | 74,971 | |||||
Humana, Inc. | 1,180 | 574,094 | |||||
IDEXX Laboratories, Inc. (b) | 2,625 | 1,147,834 | |||||
Incyte Corp. (b) | 3,423 | 197,747 | |||||
Intuitive Surgical, Inc. (b) | 7,097 | 2,074,382 | |||||
McKesson Corp. | 1,622 | 705,327 | |||||
Medpace Holdings, Inc. (b) | 1,480 | 358,352 | |||||
Mettler-Toledo International, Inc. (b) | 301 | 333,529 | |||||
Molina Healthcare, Inc. (b) | 1,074 | 352,154 | |||||
Natera, Inc. (b) | 23,582 | 1,043,503 | |||||
Neurocrine Biosciences, Inc. (b) | 958 | 107,775 | |||||
Regeneron Pharmaceuticals, Inc. (b) | 471 | 387,614 | |||||
Stryker Corp. | 221 | 60,393 | |||||
TransMedics Group, Inc. (b) | 17,261 | 945,040 | |||||
UnitedHealth Group, Inc. | 9,876 | 4,979,380 | |||||
Vaxcyte, Inc. (b) | 10,571 | 538,910 | |||||
Veeva Systems, Inc. - Class A (b) | 7,199 | 1,464,637 | |||||
Vertex Pharmaceuticals, Inc. (b) | 6,597 | 2,294,041 | |||||
Waters Corp. (b) | 1,284 | 352,086 | |||||
Zoetis, Inc. | 9,796 | 1,704,308 | |||||
27,048,766 | |||||||
Industrials - 4.9% | |||||||
AECOM | 619 | 51,402 | |||||
Allison Transmission Holdings, Inc. | 1,401 | 82,743 | |||||
AMETEK, Inc. | 2,551 | 376,936 | |||||
Caterpillar, Inc. | 2,748 | 750,204 | |||||
Cintas Corp. | 230 | 110,632 | |||||
Copart, Inc. (b) | 30,214 | 1,301,921 | |||||
Core & Main, Inc. - Class A (b) | 4,189 | 120,853 | |||||
Deere & Co. | 310 | 116,988 | |||||
Eaton Corp. PLC | 699 | 149,083 | |||||
EMCOR Group, Inc. | 3,593 | 755,931 | |||||
GFL Environmental, Inc. | 47,772 | 1,517,239 | |||||
IDEX Corp. | 1,034 | 215,093 | |||||
Otis Worldwide Corp. | 8,067 | 647,861 | |||||
Paycom Software, Inc. | 2,524 | 654,397 | |||||
The Boeing Co. (b) | 1,345 | 257,809 | |||||
Trane Technologies PLC | 93 | 18,871 | |||||
TransDigm Group, Inc. (b) | 1,274 | 1,074,148 | |||||
Trex Co., Inc. (b) | 4,279 | 263,715 | |||||
Uber Technologies, Inc. (b) | 4,658 | 214,221 | |||||
Verisk Analytics, Inc. | 2,247 | 530,831 | |||||
Vertiv Holdings Co. | 12,125 | 451,050 | |||||
Westinghouse Air Brake Technologies Corp. | 3,963 | 421,148 | |||||
WW Grainger, Inc. | 489 | 338,310 | |||||
Xylem, Inc. | 1,107 | 100,770 | |||||
10,522,156 | |||||||
Information Technology - 30.5% | |||||||
Adobe, Inc. (b) | 6,356 | 3,240,924 | |||||
Advanced Micro Devices, Inc. (b) | 2,437 | 250,572 | |||||
Amphenol Corp. - Class A | 2,646 | 222,238 | |||||
Apple, Inc. | 63,366 | 10,848,893 | |||||
Applied Materials, Inc. | 1,696 | 234,811 | |||||
AppLovin Corp. - Class A (b) | 322 | 12,867 | |||||
Arista Networks, Inc. (b) | 6,604 | 1,214,674 | |||||
ASML Holding NV - ADR | 692 | 407,353 | |||||
Atlassian Corp. - Class A (b) | 564 | 113,652 | |||||
Autodesk, Inc. (b) | 3,805 | 787,293 | |||||
Broadcom, Inc. | 1,391 | 1,155,337 | |||||
Cadence Design Systems, Inc. (b) | 3,927 | 920,096 | |||||
Cognex Corp. | 2,500 | 106,100 | |||||
Crowdstrike Holdings, Inc. - Class A (b) | 2,455 | 410,918 | |||||
Datadog, Inc. - Class A (b) | 2,664 | 242,664 | |||||
DocuSign, Inc. (b) | 242 | 10,164 | |||||
Entegris, Inc. | 3,291 | 309,058 | |||||
EPAM Systems, Inc. (b) | 971 | 248,275 | |||||
Fair Isaac Corp. (b) | 98 | 85,116 | |||||
Fortinet, Inc. (b) | 23,849 | 1,399,459 | |||||
Gartner, Inc. (b) | 159 | 54,634 | |||||
Intuit, Inc. | 1,030 | 526,268 | |||||
Jabil, Inc. | 721 | 91,488 | |||||
KLA Corp. | 1,250 | 573,325 | |||||
Lam Research Corp. | 329 | 206,207 | |||||
Manhattan Associates, Inc. (b) | 4,462 | 881,959 | |||||
Marvell Technology, Inc. | 20,531 | 1,111,343 | |||||
Microsoft Corp. | 65,166 | 20,576,164 | |||||
MongoDB, Inc. (b) | 87 | 30,090 | |||||
Motorola Solutions, Inc. | 2,503 | 681,417 | |||||
New Relic, Inc. (b) | 1,977 | 169,271 | |||||
Nutanix, Inc. - Class A (b) | 2,930 | 102,198 | |||||
NVIDIA Corp. | 23,946 | 10,416,271 | |||||
Palo Alto Networks, Inc. (b) | 2,643 | 619,625 | |||||
Pegasystems, Inc. | 4,294 | 186,403 | |||||
PTC, Inc. (b) | 1,555 | 220,312 | |||||
QUALCOMM, Inc. | 10,983 | 1,219,772 | |||||
Roper Technologies, Inc. | 2,201 | 1,065,900 | |||||
Salesforce, Inc. (b) | 3,513 | 712,366 | |||||
ServiceNow, Inc. (b) | 2,920 | 1,632,163 | |||||
Splunk, Inc. (b) | 594 | 86,872 | |||||
Synopsys, Inc. (b) | 1,489 | 683,406 | |||||
Taiwan Semiconductor Co. Ltd. - ADR | 7,460 | 648,274 | |||||
Teradata Corp. (b) | 441 | 19,854 | |||||
Tyler Technologies, Inc. (b) | 1,152 | 444,833 | |||||
Workday, Inc. - Class A (b) | 1,486 | 319,267 | |||||
65,500,146 | |||||||
Materials - 1.0% | |||||||
Air Products and Chemicals, Inc. | 1,485 | 420,849 | |||||
Eagle Materials, Inc. | 846 | 140,876 | |||||
Martin Marietta Materials, Inc. | 2,469 | 1,013,475 | |||||
The Sherwin-Williams Co. | 1,987 | 506,784 | |||||
2,081,984 | |||||||
Total Common Stocks (Cost $107,971,491) | 167,534,527 | ||||||
U.S. TREASURY OBLIGATIONS - 0.8% | Par Value | ||||||
U.S. Treasury Notes - 0.8% | |||||||
0.250%, due 06/15/24 | $ | 172,000 | 165,792 | ||||
2.125%, due 09/30/24 | 19,000 | 18,391 | |||||
0.750%, due 11/15/24 | 52,000 | 49,376 | |||||
3.000%, due 07/15/25 | 61,000 | 58,770 | |||||
5.000%, due 08/31/25 | 120,000 | 119,756 | |||||
5.000%, due 09/30/25 | 95,000 | 94,911 | |||||
0.250%, due 10/31/25 | 55,000 | 49,852 | |||||
4.125%, due 06/15/26 | 120,000 | 117,769 | |||||
4.625%, due 09/15/26 | 368,000 | 366,160 | |||||
0.875%, due 09/30/26 | 156,000 | 139,206 | |||||
1.500%, due 01/31/27 | 44,800 | 40,334 | |||||
2.750%, due 04/30/27 | 2,000 | 1,870 | |||||
3.250%, due 06/30/27 | 2,400 | 2,280 | |||||
4.375%, due 08/31/28 | 146,500 | 145,035 | |||||
2.750%, due 08/15/32 | 19,000 | 16,453 | |||||
4.125%, due 11/15/32 | 84,400 | 81,406 | |||||
3.500%, due 02/15/33 | 178,900 | 164,197 | |||||
Total U.S. Treasury Obligations (Cost $1,686,679) | 1,631,558 | ||||||
AGENCY MORTGAGE-BACKED OBLIGATIONS INTEREST-ONLY STRIPS - 0.1% | |||||||
Federal Home Loan Mortgage Corp. - 0.1% | |||||||
Freddie Mac Multifamily Structured Pass Through Certificates | |||||||
Series K-110, 1.813%, due 04/25/30, Callable: 02/25/30 (d) | 397,698 | 32,587 | |||||
Series K-118, 1.051%, due 09/25/30, Callable: 06/25/30 (d) | 993,670 | 50,030 | |||||
Series K-123, 0.863%, due 12/25/30, Callable: 10/25/30 (d) | 1,393,756 | 57,894 | |||||
Series K-1501, 0.508%, due 04/25/30, Callable: 02/25/30 (d) | 2,471,413 | 46,922 | |||||
Total Agency Mortgage-Backed Obligations Interest-Only Strips (Cost $143,354) | 187,433 | ||||||
NON-AGENCY MORTGAGE-BACKED OBLIGATIONS - 2.2% | |||||||
BBCMS 2018-TALL Mortgage Trust | |||||||
Series 2018-TALL, 6.252%, due 03/15/37 (1 Month SOFR Rate + 0.919%) (e)(f) | 180,000 | 166,499 | |||||
BBCMS 2020-BID Mortgage Trust | |||||||
Series 2020-BID, 7.587%, due 10/15/37 (1 Month SOFR Rate + 2.254%) (e)(f) | 60,000 | 57,184 | |||||
BX Commercial Mortgage Trust 2020-VKNG | |||||||
Series 2020-VKNG, 6.847%, due 10/15/37 (1 Month SOFR Rate + 1.514%) (e)(f) | 70,000 | 68,828 | |||||
BX Trust 2022-LBA6 | |||||||
Series 2022-LBA6, 6.332%, due 01/15/39 (1 Month SOFR Rate + 1.000%) (e)(f) | 200,000 | 195,499 | |||||
CIM Trust 2021-J3 | |||||||
Series 2021-J3, 2.500%, due 06/25/51, Callable: 04/25/45 (d)(f) | 429,742 | 315,709 | |||||
COLT 2021-2 Mortgage Loan Trust | |||||||
Series 2021-2, 0.924%, due 08/25/66, Callable: 10/25/23 (d)(f) | 223,940 | 160,695 | |||||
Deephaven Residential Mortgage Trust 2022-2 | |||||||
Series 2022-2, 4.300%, due 03/25/67, Callable: 04/25/25 (d)(f) | 250,872 | 228,530 | |||||
Great Wolf Trust 2019-WOLF | |||||||
Series 2019-WOLF, 6.480%, due 12/15/36 (1 Month SOFR Rate + 1.148%) (e)(f) | 106,000 | 105,470 | |||||
GSCG Trust 2019-600C | |||||||
Series 2019-600C, 2.936%, due 09/06/34 (f) | 180,000 | 136,147 | |||||
GS Mortgage Securities Corp Trust 2018-HART | |||||||
Series 2018-HART, 6.483%, due 10/15/31 (1 Month SOFR Rate + 1.143%) (e)(f) | 117,751 | 116,784 | |||||
GS Mortgage-Backed Securities Trust 2021-PJ10 | |||||||
Series 2021-PJ10, 2.500%, due 03/25/52, Callable: 10/25/47 (d)(f) | 329,105 | 276,218 | |||||
GS Mortgage-Backed Securities Trust 2023-PJ4 | |||||||
Series 2023-PJ4, 6.000%, due 01/25/54, Callable: 04/25/36 (d)(f) | 196,707 | 191,313 | |||||
JP Morgan Chase Commercial Mortgage Securities Trust 2019-ICON | |||||||
Series A, 3.884%, due 01/05/34 (f) | 130,000 | 128,780 | |||||
JP Morgan Mortgage Trust 2017-2 | |||||||
Series 2017-2, 3.500%, due 05/25/47, Callable: 06/25/28 (d)(f) | 50,489 | 42,702 | |||||
JP Morgan Mortgage Trust 2018-5 | |||||||
Series 2018-5, 3.500%, due 10/25/48, Callable: 03/25/28 (d)(f) | 93,252 | 78,831 | |||||
JP Morgan Mortgage Trust 2019-1 | |||||||
Series 2019-1, 4.000%, due 05/25/49, Callable: 10/25/23 (d)(f) | 9,642 | 8,591 | |||||
JP Morgan Mortgage Trust 2019-INV3 | |||||||
Series 2019-INV3, 3.500%, due 05/25/50, Callable: 03/25/31 (d)(f) | 72,625 | 62,190 | |||||
JP Morgan Mortgage Trust 2020-2 | |||||||
Series 2020-2, 3.500%, due 07/25/50, Callable: 02/25/29 (d)(f) | 67,582 | 56,441 | |||||
JP Morgan Mortgage Trust 2021-7 | |||||||
Series TR, 2.500%, due 11/25/51, Callable: 01/25/47 (d)(f) | 246,136 | 181,131 | |||||
JP Morgan Mortgage Trust 2021-14 | |||||||
Series 2021-14, 2.500%, due 05/25/52, Callable: 10/25/45 (d)(f) | 213,878 | 161,269 | |||||
JP Morgan Mortgage Trust 2021-INV7 | |||||||
Series 2021-INV7, 2.500%, due 02/25/52, Callable: 12/25/42 (d)(f) | 329,833 | 276,751 | |||||
JP Morgan Mortgage Trust 2022-5 | |||||||
Series 2022-5, 2.500%, due 09/25/52, Callable: 10/25/43 (d)(f) | 369,203 | 271,465 | |||||
JP Morgan Mortgage Trust 2022-6 | |||||||
Series 2022-6, 3.000%, due 11/25/52, Callable: 04/25/46 (d)(f) | 183,601 | 144,694 | |||||
JP Morgan Mortgage Trust 2023-2 | |||||||
Series 2023-2, 5.000%, due 07/25/53, Callable: 07/25/42 (d)(f) | 90,218 | 83,719 | |||||
JP Morgan Trust 2015-3 | |||||||
Series 2015-3, 3.500%, due 05/25/45, Callable: 10/25/23 (d)(f) | 48,904 | 42,399 | |||||
KREST Commercial Mortgage Securities Trust 2021-CHIP | |||||||
Series C, 3.024%, due 11/05/44 (d)(f) | 275,000 | 184,278 | |||||
OBX 2021-J3 Trust | |||||||
Series 2021-J3, 2.500%, due 10/25/51, Callable: 12/25/48 (d)(f) | 400,000 | 239,071 | |||||
Provident Funding Mortgage Trust 2021-J1 | |||||||
Series FLT, 2.000%, due 10/25/51, Callable: 02/25/43 (d)(f) | 100,000 | 52,284 | |||||
Sequoia Mortgage Trust 2019-CH2 | |||||||
Series 2019-CH2, 4.500%, due 08/25/49, Callable: 11/25/23 (d)(f) | 2,673 | 2,587 | |||||
Sequoia Mortgage Trust 2019-CH3 | |||||||
Series 2019-CH3, 4.000%, due 09/25/49, Callable: 02/25/35 (d)(f) | 5,743 | 5,157 | |||||
Sequoia Mortgage Trust 2020-4 | |||||||
Series 2020-4, 2.500%, due 11/25/50, Callable: 01/25/47 (d)(f) | 200,000 | 128,857 | |||||
Sequoia Mortgage Trust 2021-1 | |||||||
Series A-7, 2.500%, due 03/25/51, Callable: 08/25/46 (d)(f) | 350,000 | 214,091 | |||||
SLG Office Trust 2021-OVA | |||||||
Series 2021-OVA, 2.585%, due 07/15/41 (f) | 190,000 | 147,666 | |||||
Wells Fargo Mortgage Backed Securities 2020-RR1 Trust | |||||||
Series A-1, 3.000%, due 05/25/50, Callable: 12/25/27 (d)(f) | 92,746 | 75,643 | |||||
WFRBS Commercial Mortgage Trust 2014-C21 | |||||||
Series 2014-C21, 4.213%, due 08/15/47, Callable: 08/15/24 (d) | 180,000 | 166,251 | |||||
Total Non-Agency Mortgage-Backed Obligations (Cost $5,833,677) | 4,773,724 | ||||||
NON-AGENCY MORTGAGE-BACKED OBLIGATIONS INTEREST-ONLY STRIPS - 0.1% | |||||||
BBCMS Trust 2021-C10 | |||||||
Series 2021-C10, 1.412%, due 07/15/54, Callable: 05/15/31 (d) | 986,551 | 64,949 | |||||
Benchmark 2020-B19 Mortgage Trust | |||||||
Series 2020-B19, 1.880%, due 09/15/53, Callable: 10/15/30 (d) | 990,741 | 67,844 | |||||
Benchmark 2021-B29 Mortgage Trust | |||||||
Series X-A, 1.146%, due 09/15/54, Callable: 08/15/31 (d) | 991,798 | 48,913 | |||||
DBJPM 20-C9 Mortgage Trust | |||||||
Series 2020-C9, 1.824%, due 09/15/53, Callable: 06/15/30 (d) | 705,526 | 41,528 | |||||
Total Non-Agency Mortgage-Backed Obligations Interest-Only Strips (Cost $338,361) | 223,234 | ||||||
ASSET-BACKED SECURITIES - 1.8% | |||||||
American Airlines 2015-2 Class AA Pass Through Trust | |||||||
Series 2015-2, 3.600%, due 03/22/27 | 73,497 | 67,543 | |||||
American Airlines 2016-1 Class AA Pass Through Trust | |||||||
Series 2016-1, 3.575%, due 01/15/28 | 5,335 | 4,894 | |||||
American Airlines 2016-2 Class AA Pass Through Trust | |||||||
Series 2016-2, 3.200%, due 06/15/28 | 32,759 | 29,455 | |||||
ACHV ABS TRUST 2023-1PL | |||||||
Series 2023-1PL, 6.420%, due 03/18/30, Callable: Currently (f) | 20,700 | 20,706 | |||||
AmeriCredit Automobile Receivables Trust 2021-2 | |||||||
Series TR, 1.010%, due 01/19/27, Callable: 10/18/25 | 100,000 | 92,082 | |||||
Beacon Container Finance II LLC | |||||||
Series NT, 2.250%, due 10/22/46, Callable: 11/20/23 (f) | 80,833 | 68,938 | |||||
Carmax Auto Owner Trust 2023-3 | |||||||
Series B, 5.470%, due 02/15/29, Callable: 10/15/26 | 150,000 | 148,269 | |||||
CLI Funding VIII LLC | |||||||
Series LLC, 2.720%, due 01/18/47, Callable: 01/18/24 (f) | 107,267 | 90,819 | |||||
CNH Equipment Trust 2023-A | |||||||
Series 2023-A, 4.770%, due 10/15/30, Callable: 08/15/27 | 250,000 | 242,876 | |||||
Commonbond Student Loan Trust 2018-C-GS | |||||||
Series A-1, 3.870%, due 02/25/46, Callable: Currently (f) | 79,864 | 76,138 | |||||
FedEx Corp 2020-1 Class AA Pass Through Trust | |||||||
Series 2020-1AA, 1.875%, due 02/20/34 | 213,254 | 168,984 | |||||
GM Financial Consumer Automobile Receivables Trust 2023-1 | |||||||
Series B, 5.030%, due 09/18/28, Callable: 10/16/26 | 200,000 | 194,334 | |||||
Harley-Davidson Motorcycle Trust 2023-B | |||||||
Series A-4, 5.780%, due 04/15/31, Callable: 05/15/27 | 150,000 | 149,551 | |||||
Kubota Credit Owner Trust 2023-1 | |||||||
Series A-3, 5.020%, due 06/15/27, Callable: 11/15/26 (f) | 100,000 | 98,489 | |||||
Laurel Road Prime Student Loan Trust 2020-A | |||||||
Series 1.40000, 1.400%, due 11/25/50, Callable: 10/25/28 (f) | 135,418 | 119,238 | |||||
Loanpal Solar Loan 2020-2 Ltd. | |||||||
Series A, 2.750%, due 07/20/47, Callable: 05/20/36 (f) | 159,123 | 120,628 | |||||
Marlette Funding Trust 2021-1 | |||||||
Series C, 1.410%, due 06/16/31, Callable: 03/15/25 (f) | 131,656 | 129,987 | |||||
Mosaic Solar Loan Trust 2020-2 | |||||||
Series 2020-2, 1.440%, due 08/20/46, Callable: 09/20/30 (f) | 51,745 | 42,171 | |||||
Mosaic Solar Loans 2017-2 LLC | |||||||
Series 2017-2, 3.820%, due 06/22/43, Callable: 06/20/29 (f) | 266,000 | 239,863 | |||||
Navient Private Education Refi Loan Trust 2021-A | |||||||
Series A, 0.840%, due 05/15/69, Callable: 04/15/28 (f) | 59,346 | 51,209 | |||||
Navient Private Education Refi Loan Trust 2023-A | |||||||
Series A, 5.510%, due 10/15/71, Callable: 10/15/32 (f) | 191,549 | 188,902 | |||||
OneMain Financial Issuance Trust 2023-1 | |||||||
Series A, 5.500%, due 06/14/38, Callable: 06/14/28 (f) | 150,000 | 146,093 | |||||
Oscar US Funding XII LLC | |||||||
Series 2021-12, 1.000%, due 04/10/28, Callable: 02/10/25 (f) | 200,000 | 188,962 | |||||
PFS Financing Corp. | |||||||
Series 2021-A, 0.710%, due 04/15/26, Callable: Currently (f) | 100,000 | 97,230 | |||||
Santander Consumer Auto Receivables Trust 2021-A | |||||||
Series 2021-A, 1.030%, due 11/16/26, Callable: 09/15/25 (f) | 150,000 | 139,170 | |||||
Santander Drive Auto Receivables Trust 2021-2 | |||||||
Series C, 0.900%, due 06/15/26, Callable: 03/15/25 | 35,297 | 34,974 | |||||
SoFi Consumer Loan Program 2021-1 Trust | |||||||
Series B, 1.300%, due 09/25/30, Callable: 08/25/24 (f) | 350,000 | 343,218 | |||||
SoFi Consumer Loan Program 2023-1S Trust | |||||||
Series 2023-1S, 5.810%, due 05/15/31, Callable: 10/15/25 (f) | 54,288 | 54,209 | |||||
Sofi Professional Loan Program 2018-B Trust | |||||||
Series 3.34000, 3.340%, due 08/25/47, Callable: 09/25/25 (f) | 43,574 | 42,170 | |||||
Sunnova Helios IV Issuer LLC | |||||||
Series A, 2.980%, due 06/20/47, Callable: 06/20/27 (f) | 178,173 | 156,855 | |||||
Vivint Solar Financing VII LLC | |||||||
Series LLC, 2.210%, due 07/31/51 (f) | 174,101 | 136,772 | |||||
Volvo Financial Equipment LLC Series 2020-1 | |||||||
Series A-4, 0.600%, due 03/15/28, Callable: 06/15/24 (f) | 100,000 | 97,412 | |||||
Total Asset-Backed Securities (Cost $4,080,233) | 3,782,141 | ||||||
COLLATERALIZED LOAN OBLIGATIONS - 2.2% | |||||||
Arbor Realty Commercial Real Estate Notes 2021-FL2 Ltd. | |||||||
Series B, 7.047%, due 05/15/36, Callable: 12/15/23 (1 Month SOFR Rate + 1.714%) (e)(f) | 350,000 | 339,124 | |||||
Arbor Realty Commercial Real Estate Notes 2021-FL3 Ltd. | |||||||
Series C, 7.297%, due 08/15/34, Callable: 03/15/24 (1 Month SOFR Rate + 1.964%) (e)(f)(g) | 275,000 | 259,619 | |||||
Benefit Street Partners CLO XXIII Ltd. | |||||||
Series A-1, 6.693%, due 04/25/34, Callable: 10/25/23 (3 Month SOFR Rate + 1.342%) (e)(f) | 250,000 | 247,045 | |||||
CIFC Funding 2021-I Ltd. | |||||||
Series LTD, 6.723%, due 04/25/33, Callable: 10/25/23 (3 Month SOFR Rate + 1.372%) (e)(f) | 250,000 | 249,408 | |||||
CIFC Funding 2022-I Ltd. | |||||||
Series 2022-1, 6.628%, due 04/17/35, Callable: 04/17/24 (3 Month SOFR Rate + 1.320%) (e)(f) | 250,000 | 247,865 | |||||
Greystone CRE Notes 2021-FL3 Ltd. | |||||||
Series 2021-FL3, 7.447%, due 07/15/39, Callable: 10/15/23 (1 Month SOFR Rate + 2.114%) (e)(f)(g) | 275,000 | 256,829 | |||||
Marble Point CLO XIV Ltd. | |||||||
Series FLT, 6.868%, due 01/20/32, Callable: 10/20/23 (3 Month SOFR Rate + 1.542%) (e)(f) | 450,000 | 447,418 | |||||
MF1 2021-FL6 Ltd. | |||||||
Series 2021-FL6, 7.295%, due 07/16/36, Callable: 10/16/23 (1 Month SOFR Rate + 1.964%) (e)(f)(g) | 175,000 | 165,311 | |||||
MF1 2021-FL7 Ltd. | |||||||
Series 2021-FL7, 7.495%, due 10/16/36, Callable: 10/16/23 (1 Month SOFR Rate + 2.164%) (e)(f)(g) | 200,000 | 190,000 | |||||
Neuberger Berman Loan Advisers CLO 34 Ltd. | |||||||
Series FLT, 6.566%, due 01/20/35, Callable: 10/20/23 (3 Month SOFR Rate + 1.240%) (e)(f) | 300,000 | 298,054 | |||||
Oaktree CLO 2019-1 Ltd. | |||||||
Series 2019-1R, 6.717%, due 04/22/30, Callable: 10/22/23 (3 Month SOFR Rate + 1.372%) (e)(f) | 250,000 | 247,783 | |||||
Octagon Investment Partners 32 Ltd. | |||||||
Series FLT, 6.770%, due 07/15/29, Callable: 10/15/23 (3 Month SOFR Rate + 1.462%) (e)(f) | 250,000 | 246,938 | |||||
OHA Credit Funding 4 Ltd. | |||||||
Series A-R, 6.757%, due 10/22/36, Callable: 10/22/23 (3 Month SOFR Rate + 1.412%) (e)(f) | 500,000 | 496,937 | |||||
Palmer Square CLO 2019-1 Ltd. | |||||||
Series 2019-1R, 6.781%, due 11/14/34, Callable: 11/14/23 (3 Month SOFR Rate + 1.412%) (e)(f) | 250,000 | 249,222 | |||||
Ready Capital Mortgage Financing 2021-FL5 LLC | |||||||
Series 2021-FL5, 7.184%, due 04/25/38, Callable: 03/25/24 (1 Month SOFR Rate + 1.864%) (e)(f) | 350,000 | 342,277 | |||||
TCI-Symphony CLO 2016-1 Ltd. | |||||||
Series FLT, 6.583%, due 10/13/32, Callable: 10/13/23 (3 Month SOFR Rate + 1.282%) (e)(f) | 500,000 | 497,019 | |||||
Total Collateralized Loan Obligations (Cost $4,868,784) | 4,780,849 | ||||||
CORPORATE BONDS - 4.2% | |||||||
Basic Materials - 0.2% | |||||||
Ecolab, Inc. | |||||||
4.800%, due 03/24/30, Callable: 12/24/29 | 61,000 | 59,322 | |||||
Nucor Corp. | |||||||
4.300%, due 05/23/27, Callable: 04/23/27 | 67,000 | 64,271 | |||||
Nutrien Ltd. | |||||||
5.950%, due 11/07/25 | 95,000 | 94,948 | |||||
PPG Industries, Inc. | |||||||
1.200%, due 03/15/26, Callable: 02/15/26 | 111,000 | 99,712 | |||||
Steel Dynamics, Inc. | |||||||
1.650%, due 10/15/27, Callable: 08/15/27 | 74,000 | 63,153 | |||||
381,406 | |||||||
Communications - 0.3% | |||||||
Amazon.com, Inc. | |||||||
1.500%, due 06/03/30, Callable: 03/03/30 | 100,000 | 78,968 | |||||
AT&T, Inc. | |||||||
2.250%, due 02/01/32, Callable: 11/01/31 | 148,000 | 111,083 | |||||
Meta Platforms, Inc. | |||||||
3.500%, due 08/15/27, Callable: 07/15/27 | 19,000 | 17,918 | |||||
3.850%, due 08/15/32, Callable: 05/15/32 | 28,000 | 24,758 | |||||
The Walt Disney Co. | |||||||
2.000%, due 09/01/29, Callable: 06/01/29 | 68,000 | 56,218 | |||||
T-Mobile USA, Inc. | |||||||
2.250%, due 02/15/26, Callable: 10/10/23 | 122,000 | 112,304 | |||||
3.750%, due 04/15/27, Callable: 02/15/27 | 58,000 | 54,153 | |||||
Verizon Communications, Inc. | |||||||
2.100%, due 03/22/28, Callable: 01/22/28 | 74,000 | 63,422 | |||||
2.355%, due 03/15/32, Callable: 12/15/31 | 158,000 | 120,214 | |||||
639,038 | |||||||
Consumer, Cyclical - 0.2% | |||||||
American Honda Finance Corp. | |||||||
1.200%, due 07/08/25 | 70,000 | 64,805 | |||||
Lowe's Cos., Inc. | |||||||
3.350%, due 04/01/27, Callable: 03/01/27 | 68,000 | 63,299 | |||||
O'Reilly Automotive, Inc. | |||||||
3.600%, due 09/01/27, Callable: 06/01/27 | 141,000 | 131,553 | |||||
Ross Stores, Inc. | |||||||
4.600%, due 04/15/25, Callable: 03/15/25 | 114,000 | 111,766 | |||||
The Home Depot, Inc. | |||||||
1.500%, due 09/15/28, Callable: 07/15/28 | 103,000 | 86,529 | |||||
Walmart, Inc. | |||||||
1.050%, due 09/17/26, Callable: 08/17/26 | 103,000 | 91,864 | |||||
549,816 | |||||||
Consumer, Non-cyclical - 0.6% | |||||||
AbbVie, Inc. | |||||||
3.800%, due 03/15/25, Callable: 12/15/24 | 121,000 | 117,521 | |||||
Amgen, Inc. | |||||||
3.200%, due 11/02/27, Callable: 08/02/27 | 115,000 | 105,513 | |||||
CVS Health Corp. | |||||||
3.875%, due 07/20/25, Callable: 04/20/25 | 242,000 | 233,818 | |||||
1.750%, due 08/21/30, Callable: 05/21/30 | 148,000 | 113,646 | |||||
Global Payments, Inc. | |||||||
1.200%, due 03/01/26, Callable: 02/01/26 | 58,000 | 51,739 | |||||
HCA, Inc. | |||||||
4.125%, due 06/15/29, Callable: 03/15/29 | 98,000 | 88,568 | |||||
Keurig Dr Pepper, Inc. | |||||||
4.417%, due 05/25/25, Callable: 03/25/25 | 16,000 | 15,661 | |||||
Nestle Holdings, Inc. | |||||||
5.250%, due 03/13/26 (f) | 150,000 | 149,651 | |||||
PepsiCo, Inc. | |||||||
2.625%, due 07/29/29, Callable: 04/29/29 | 79,000 | 69,271 | |||||
Royalty Pharma PLC | |||||||
1.200%, due 09/02/25, Callable: 08/02/25 | 61,000 | 55,352 | |||||
1.750%, due 09/02/27, Callable: 07/02/27 | 174,000 | 148,451 | |||||
2.200%, due 09/02/30, Callable: 06/02/30 | 69,000 | 53,613 | |||||
Triton Container International Ltd. | |||||||
2.050%, due 04/15/26, Callable: 03/15/26 (f) | 119,000 | 106,290 | |||||
1,309,094 | |||||||
Energy - 0.3% | |||||||
Enbridge, Inc. | |||||||
1.600%, due 10/04/26, Callable: 09/04/26 | 111,000 | 98,621 | |||||
Enterprise Products Operating LLC | |||||||
2.800%, due 01/31/30, Callable: 10/31/29 | 74,000 | 62,755 | |||||
Kinder Morgan, Inc. | |||||||
1.750%, due 11/15/26, Callable: 10/15/26 | 74,000 | 65,860 | |||||
MPLX LP | |||||||
4.875%, due 12/01/24, Callable: 09/01/24 | 70,000 | 69,058 | |||||
2.650%, due 08/15/30, Callable: 05/15/30 | 33,000 | 26,678 | |||||
Ovintiv, Inc. | |||||||
5.375%, due 01/01/26, Callable: 10/01/25 | 99,000 | 97,515 | |||||
Phillips 66 | |||||||
0.900%, due 02/15/24, Callable: 10/16/23 | 75,000 | 73,609 | |||||
Plains All American Pipeline LP | |||||||
4.650%, due 10/15/25, Callable: 07/15/25 | 99,000 | 96,180 | |||||
Sabine Pass Liquefaction LLC | |||||||
5.000%, due 03/15/27, Callable: 09/15/26 | 57,000 | 55,279 | |||||
645,555 | |||||||
Financial - 1.6% | |||||||
American Express Co. | |||||||
2.250%, due 03/04/25, Callable: 02/01/25 | 68,000 | 64,608 | |||||
American International Group, Inc. | |||||||
3.900%, due 04/01/26, Callable: 01/01/26 | 28,000 | 26,740 | |||||
Aviation Capital Group LLC | |||||||
1.950%, due 09/20/26, Callable: 08/20/26 (f) | 82,000 | 71,551 | |||||
Bank of America Corp. | |||||||
4.000%, due 01/22/25 | 71,000 | 69,152 | |||||
0.976%, due 04/22/25, Callable: 04/22/24 (SOFR Rate + 0.690%) (e) | 191,000 | 185,085 | |||||
1.734%, due 07/22/27, Callable: 07/22/26 (SOFR Rate + 0.960%) (e) | 318,000 | 281,355 | |||||
3.593%, due 07/21/28, Callable: 07/21/27 (3 Month SOFR Rate + 1.632%) (e) | 47,000 | 42,909 | |||||
3.419%, due 12/20/28, Callable: 12/20/27 (3 Month SOFR Rate + 1.302%) (e) | 17,000 | 15,172 | |||||
2.592%, due 04/29/31, Callable: 04/29/30 (SOFR Rate + 2.150%) (e) | 168,000 | 135,140 | |||||
Blackstone Holdings Finance Co. LLC | |||||||
1.625%, due 08/05/28, Callable: 06/05/28 (f) | 101,000 | 82,754 | |||||
2.500%, due 01/10/30, Callable: 10/10/29 (f) | 42,000 | 33,938 | |||||
BNP Paribas SA | |||||||
2.819%, due 11/19/25, Callable: 11/19/24 (3 Month SOFR Rate + 1.373%) (e)(f) | 200,000 | 191,927 | |||||
Capital One Financial Corp. | |||||||
1.878%, due 11/02/27, Callable: 11/02/26 (SOFR Rate + 0.855%) (e) | 95,000 | 82,788 | |||||
Citigroup, Inc. | |||||||
0.981%, due 05/01/25, Callable: 05/01/24 (SOFR Rate + 0.669%) (e) | 120,000 | 115,892 | |||||
Equinix, Inc. | |||||||
1.250%, due 07/15/25, Callable: 06/15/25 | 126,000 | 115,885 | |||||
2.900%, due 11/18/26, Callable: 09/18/26 | 56,000 | 51,404 | |||||
HSBC Holdings PLC | |||||||
2.206%, due 08/17/29, Callable: 08/17/28 (SOFR Rate + 1.285%) (e) | 200,000 | 164,949 | |||||
JPMorgan Chase & Co. | |||||||
1.470%, due 09/22/27, Callable: 09/22/26 (SOFR Rate + 0.765%) (e) | 162,000 | 141,735 | |||||
2.947%, due 02/24/28, Callable: 02/24/27 (SOFR Rate + 1.170%) (e) | 50,000 | 45,324 | |||||
2.069%, due 06/01/29, Callable: 06/01/28 (SOFR Rate + 1.015%) (e) | 52,000 | 43,818 | |||||
1.953%, due 02/04/32, Callable: 02/04/31 (SOFR Rate + 1.065%) (e) | 19,000 | 14,468 | |||||
2.580%, due 04/22/32, Callable: 04/22/31 (3 Month SOFR Rate + 1.250%) (e) | 70,000 | 55,503 | |||||
Kite Realty Group LP | |||||||
4.000%, due 10/01/26, Callable: 07/01/26 | 74,000 | 67,289 | |||||
Morgan Stanley | |||||||
1.164%, due 10/21/25, Callable: 10/21/24 (SOFR Rate + 0.560%) (e) | 108,000 | 101,690 | |||||
2.188%, due 04/28/26, Callable: 04/28/25 (SOFR Rate + 1.990%) (e) | 223,000 | 209,502 | |||||
1.593%, due 05/04/27, Callable: 05/04/26 (SOFR Rate + 0.879%) (e) | 181,000 | 160,119 | |||||
1.512%, due 07/20/27, Callable: 07/20/26 (SOFR Rate + 0.858%) (e) | 120,000 | 105,658 | |||||
2.239%, due 07/21/32, Callable: 07/21/31 (SOFR Rate + 1.178%) (e) | 35,000 | 26,395 | |||||
6.342%, due 10/18/33, Callable: 10/18/32 (SOFR Rate + 2.560%) (e) | 104,000 | 104,610 | |||||
5.297%, due 04/20/37, Callable: 04/20/32 (SOFR Rate + 2.620%) (e) | 7,000 | 6,256 | |||||
5.948%, due 01/19/38, Callable: 01/19/33 (5 Year CMT Rate + 2.430%) (e) | 1,000 | 938 | |||||
Realty Income Corp. | |||||||
3.250%, due 01/15/31, Callable: 10/15/30 | 110,000 | 92,563 | |||||
Royal Bank of Canada | |||||||
1.200%, due 04/27/26 | 80,000 | 71,347 | |||||
Sumitomo Mitsui Trust Bank Ltd. | |||||||
2.800%, due 03/10/27 (f) | 63,000 | 57,055 | |||||
The Bank of Nova Scotia | |||||||
2.700%, due 08/03/26 | 107,000 | 98,343 | |||||
The Goldman Sachs Group, Inc. | |||||||
0.855%, due 02/12/26, Callable: 02/12/25 (SOFR Rate + 0.609%) (e) | 90,000 | 83,247 | |||||
US Bancorp | |||||||
4.548%, due 07/22/28, Callable: 07/22/27 (SOFR Rate + 1.660%) (e) | 40,000 | 37,533 | |||||
Wells Fargo & Co. | |||||||
2.164%, due 02/11/26, Callable: 02/11/25 (3 Month SOFR Rate + 1.012%) (e) | 38,000 | 35,894 | |||||
4.540%, due 08/15/26, Callable: 08/15/25 (SOFR Rate + 1.560%) (e) | 45,000 | 43,679 | |||||
3.526%, due 03/24/28, Callable: 03/24/27 (SOFR Rate + 1.510%) (e) | 42,000 | 38,422 | |||||
3,372,637 | |||||||
Industrial - 0.2% | |||||||
Carrier Global Corp. | |||||||
2.722%, due 02/15/30, Callable: 11/15/29 | 140,000 | 116,840 | |||||
Caterpillar Financial Services Corp. | |||||||
3.250%, due 12/01/24 | 94,000 | 91,592 | |||||
Parker-Hannifin Corp. | |||||||
4.250%, due 09/15/27, Callable: 08/15/27 | 98,000 | 93,542 | |||||
RTX Corp. | |||||||
3.200%, due 03/15/24, Callable: 01/15/24 | 87,000 | 85,875 | |||||
The Boeing Co. | |||||||
4.875%, due 05/01/25, Callable: 04/01/25 | 76,000 | 74,729 | |||||
462,578 | |||||||
Technology - 0.4% | |||||||
Apple, Inc. | |||||||
1.200%, due 02/08/28, Callable: 12/08/27 | 87,000 | 74,144 | |||||
Broadcom, Inc. | |||||||
3.459%, due 09/15/26, Callable: 07/15/26 | 69,000 | 64,709 | |||||
2.450%, due 02/15/31, Callable: 11/15/30 (f) | 58,000 | 45,157 | |||||
Fidelity National Information Services, Inc. | |||||||
4.700%, due 07/15/27, Callable: 06/15/27 | 101,000 | 98,030 | |||||
Fiserv, Inc. | |||||||
3.850%, due 06/01/25, Callable: 03/01/25 | 54,000 | 52,257 | |||||
5.450%, due 03/02/28, Callable: 02/02/28 | 97,000 | 96,210 | |||||
Intel Corp. | |||||||
3.700%, due 07/29/25, Callable: 04/29/25 | 33,000 | 31,939 | |||||
Oracle Corp. | |||||||
3.250%, due 11/15/27, Callable: 08/15/27 | 105,000 | 95,530 | |||||
2.950%, due 04/01/30, Callable: 01/01/30 | 200,000 | 168,748 | |||||
Vmware, Inc. | |||||||
1.000%, due 08/15/24, Callable: 10/10/23 | 85,000 | 81,425 | |||||
808,149 | |||||||
Utilities - 0.4% | |||||||
Ameren Illinois Co. | |||||||
3.800%, due 05/15/28, Callable: 02/15/28 | 70,000 | 65,789 | |||||
Duke Energy Corp. | |||||||
3.150%, due 08/15/27, Callable: 05/15/27 | 150,000 | 136,978 | |||||
Entergy Corp. | |||||||
0.900%, due 09/15/25, Callable: 08/15/25 | 100,000 | 90,813 | |||||
NextEra Energy Capital Holdings, Inc. | |||||||
4.625%, due 07/15/27, Callable: 06/15/27 | 100,000 | 96,431 | |||||
Sierra Pacific Power Co. | |||||||
2.600%, due 05/01/26, Callable: 02/01/26 | 121,000 | 112,402 | |||||
Southwestern Electric Power Co. | |||||||
1.650%, due 03/15/26, Callable: 02/15/26 | 80,000 | 72,555 | |||||
The AES Corp. | |||||||
1.375%, due 01/15/26, Callable: 12/15/25 | 75,000 | 67,304 | |||||
Trans-Allegheny Interstate Line Co. | |||||||
3.850%, due 06/01/25, Callable: 03/01/25 (f) | 102,000 | 98,545 | |||||
WEC Energy Group, Inc. | |||||||
5.150%, due 10/01/27, Callable: 09/01/27 | 64,000 | 63,050 | |||||
803,867 | |||||||
Total Corporate Bonds (Cost $9,838,322) | 8,972,140 | ||||||
Shares | |||||||
AFFILIATED REGISTERED INVESTMENT COMPANIES - 3.3% | |||||||
Voya VACS Series EMHCD Fund | 149 | 1,462 | |||||
Voya VACS Series HYB Fund | 94,855 | 937,164 | |||||
Voya VACS Series SC Fund | 599,566 | 6,061,607 | |||||
Total Affiliated Registered Investment Companies (Cost $7,386,109) | 7,000,233 | ||||||
RIGHT - 0.0% (h) | |||||||
ABIOMED, Inc. (b)(g)(i) | 1,153 | – | |||||
Total Right (Cost $0) | – | ||||||
Total Investments at Value - 92.8% (Cost $142,147,010) | 198,885,839 | ||||||
Other Assets in Excess of Liabilities - 7.2% | 15,466,746 | ||||||
Net Assets - 100.0% | $ | 214,352,585 |
Percentages are stated as a percent of net assets. | ||||
ADR - American Depositary Receipt | ||||
CMT - Constant Maturity Treasury | ||||
SOFR - Secured Overnight Financing Rate | ||||
(a) More narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting purposes. | ||||
(b) Non-income producing security. | ||||
(c) This security or a partial position of this security is on loan at September 30, 2023. The total market value of securities on loan at September 30, 2023 was $257,471. | ||||
(d) Variable rate security. The coupon is based on an underlying pool of loans. The rate listed is as of September 30, 2023. | ||||
(e) Variable rate security based on a reference index and spread. The rate listed is as of September 30, 2023. | ||||
(f) Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other ‘‘qualified institutional buyers.’’ As of September 30, 2023, the value of these investments was $12,874,369, or 6.0% of total net assets. | ||||
(g) Illiquid security. The total value of such securities is $871,759 as of September 30, 2023, representing 0.4% of net assets. | ||||
(h) Represents less than 0.1%. | ||||
(i) Level 3 security. Security has been valued at fair value by the valuation designee. The total value of such securities is $0 as of September 30, 2023, representing 0.0% of net assets. | ||||
The industry classifications represented in the Schedule of Investments are in accordance with Global Industry Classification Standards (GICS®), which was developed by and/or is the exclusive property of MSCI, Inc. and Standard & Poor Financial Services LLC. | ||||
The Accompanying Footnotes are an Integral Part of this Schedule of Investments. |
LARGE COMPANY GROWTH PORTFOLIO | |||||||||||||
SCHEDULE OF FUTURES CONTRACTS | |||||||||||||
September 30, 2023 (Unaudited) | |||||||||||||
Value/ | |||||||||||||
Notional | Unrealized | ||||||||||||
FUTURES CONTRACTS SOLD SHORT | Contracts | Expiration Date | Amount | Appreciation | |||||||||
2-Year U.S. Treasury Note Future | 4 | 12/29/2023 | $ | 797,461 | $ | 1,828 | |||||||
5-Year U.S. Treasury Note Future | 29 | 12/29/2023 | 2,832,985 | 26,226 | |||||||||
10-Year U.S. Treasury Note Future | 4 | 12/19/2023 | 389,155 | 8,211 | |||||||||
U.S. Treasury Long Bond Future | 10 | 12/19/2023 | 987,505 | 62,713 | |||||||||
Ultra 10-Year U.S. Treasury Bond Future | 11 | 12/19/2023 | 1,001,019 | 37,016 | |||||||||
Ultra Long-Term U.S. Treasury Bond Future | 7 | 12/19/2023 | 510,200 | 61,033 | |||||||||
Total Futures Contracts Sold Short | $ | 6,518,325 | $ | 197,027 |
The average monthly notional amount of futures contracts sold short for Large Company Growth Portfolio during the nine months | |||||
ended September 30, 2023 was $7,271,527. |
LARGE COMPANY GROWTH PORTFOLIO | |||||||||||
SCHEDULE OF TOTAL RETURN SWAPS | |||||||||||
September 30, 2023 (Unaudited) | |||||||||||
Pay/Receive | |||||||||||
Total Return | Value/ | ||||||||||
Reference | on Reference | Financing | Maturity | Payment | Notional | Unrealized | |||||
Counterparty | Entity | Entity | Rate | Date | Frequency | Shares | Amount | Appreciation | |||
Goldman Sachs Bank, USA | Russell 1000 Growth Total Return Index | Receive | (U.S. Federal Funds Rate + 0.300%) | 12/04/2023 | At Maturity | 17,625 | $ | 48,267,984 | $ | 6,409,085 | |
Total Return Swaps | $ | 6,409,085 | |||||||||
The average monthly notional amount of total return swaps for Large Company Growth Portfolio during the nine months ended September 30, 2023 was $46,582,570. |
LARGE COMPANY GROWTH PORTFOLIO | ||||||||||||||
NOTES TO SCHEDULE OF INVESTMENTS | ||||||||||||||
September 30, 2023 (Unaudited) | ||||||||||||||
1. Securities Valuation | ||||||||||||||
Securities listed or traded on U.S. exchanges, including options, futures, swaptions and swap contracts, are valued at the last sales price on the exchange where they are principally traded. In the absence of a current quotation, a security is valued at the mean between the last bid and asked prices on that exchange. Securities quoted on the National Association of Securities Dealers Automatic Quotation (NASDAQ) System, for which there have been sales, are valued at the NASDAQ official closing price. If there are no such sales, a security is valued at the mean between the last bid and ask prices. Securities traded over-the-counter (other than on NASDAQ) are valued at the last current sale price; and if there are no such sales, a security is valued at the mean between the last bid and ask prices. Debt securities are typically valued at an evaluated bid price by a third-party pricing agent employing methodologies that utilize actual market transactions, broker-supplied valuations, or other inputs designed to identify the market value for such securities. Third-party pricing agents often utilize proprietary models that are subjective and require the use of judgment and the application of various assumptions including, but not limited to, interest rates, prepayment speeds, and default rate assumptions. Debt securities that have a remaining maturity of 60 days or less are valued at prices supplied by the Portfolios’ pricing agent for such securities, if available. Otherwise such securities are valued at amortized cost if the Pricing Committee of Wilshire Advisors LLC (the “Adviser”) it approximates fair value. Equity securities primarily traded on a foreign exchange are typically valued daily at a price as provided by an independent pricing service, which is an estimate of the fair value price. | ||||||||||||||
Foreign currency contracts, including forward contracts, are valued at the applicable translation rates as supplied by the third-party pricing vendor. In the event market quotations are not readily available, such securities are valued at fair value according to procedures adopted by the Board of Directors (the “Board”) or as determined in good faith by the Adviser’s Pricing Committee, whose members include at least two representatives of the Adviser, one of whom is an officer of the Company. The Adviser has been named the valuation designee to implement the daily pricing and fair valuation procedures of the Portfolios. Fair value is defined as the amount the owner of a security might reasonably expect to receive upon a current sale. Securities whose value does not reflect fair value because a significant valuation event has occurred may be valued at fair value by the Pricing Committee in accordance with the Company’s valuation procedures. Significant events may include, but are not limited to, the following: significant fluctuations in domestic markets, foreign markets or foreign currencies; occurrences not directly tied to the securities markets such as natural disasters, armed conflicts or significant governmental actions; and major announcements affecting a single issuer or an entire market or market sector. The value of fair valued securities may be different from the last sale price (or the mean between the last bid and asked prices), and there is no guarantee that a fair valued security will be sold at the price at which a Portfolio is carrying the security. | ||||||||||||||
In accordance with the authoritative guidance on fair value measurements and disclosures under U.S. GAAP, the Portfolios disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure the fair value. The objective of a fair value measurement is to determine the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (an exit price). Accordingly, the fair value hierarchy gives the highest priority to quoted prices (unadjusted) in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). The guidance establishes three levels of the fair value hierarchy as follows: ● Level 1 – Unadjusted quoted prices in active markets for identical, unrestricted assets or liabilities that the Portfolios have the ability to access at the measurement date; ● Level 2 – Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, referenced indices, quoted prices in inactive markets, adjusted quoted prices in active markets, etc.); and ● Level 3 – Prices, inputs or exotic modeling techniques which are both significant to the fair value measurement and unobservable (supported by little or no market activity). | ||||||||||||||
The inputs or methodology used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. During the period ended September 30, 2023, there have been no significant changes to the Portfolio's fair value methodologies. | ||||||||||||||
The following is a summary of the inputs used to value the Portfolio's investments as of September 30, 2023: |
Large Company Growth Portfolio | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks . . . . . . . . . . . . . . . . . . . . . . . | $ | 167,534,527 | $ | - | $ | - | $ | 167,534,527 | ||||||||
U.S. Treasury Obligations . . . . . . . . . . . . . . . . | - | 1,631,558 | - | 1,631,558 | ||||||||||||
Agency Mortgage-Backed Obligations | ||||||||||||||||
Interest-Only Strips . . . . . . . . . . . . . . . . . . | - | 187,433 | - | 187,433 | ||||||||||||
Non-Agency Mortgage-Backed Obligations . . | - | 4,773,724 | - | 4,773,724 | ||||||||||||
Non-Agency Mortgage-Backed Obligations | ||||||||||||||||
Interest-Only Strips . . . . . . . . . . . . . . . . . . | - | 223,234 | - | 223,234 | ||||||||||||
Asset-Backed Securities . . . . . . . . . . . . . . . . . | 3,782,141 | - | 3,782,141 | |||||||||||||
Collateralized Loan Obligations . . . . . . . . . . . . | - | 4,780,849 | - | 4,780,849 | ||||||||||||
Corporate Bonds . . . . . . . . . . . . . . . . . . . . . . | - | 8,972,140 | - | 8,972,140 | ||||||||||||
Affiliated Registered Investment Companies . . | 7,000,233 | - | - | 7,000,233 | ||||||||||||
Right . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | - | - | - | * | - | |||||||||||
Total . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | $ | 174,534,760 | $ | 24,351,079 | $ | - | $ | 198,885,839 | ||||||||
Other Financial Instruments** | ||||||||||||||||
Assets | ||||||||||||||||
Unrealized appreciation on futures contracts | $ | 197,027 | $ | - | $ | - | $ | 197,027 | ||||||||
Unrealized appreciation on swap contracts | - | 6,409,085 | - | 6,409,085 | ||||||||||||
Total Assets . . . . . . . | $ | 197,027 | $ | 6,409,085 | $ | - | $ | 6,606,112 | ||||||||
* Includes securities that have been fair valued at $0. | ||||||||||||||
** Other financial instruments are derivative financial instruments not reflected in the Schedule of Investments, | ||||||||||||||
such as futures contracts, swap contracts, swaption contracts, and forward foreign currency contracts. These contracts | ||||||||||||||
are valued at the unrealized appreciation (depreciation) on the instrument. | ||||||||||||||
Refer to the Portfolio's Schedule of Investments for a listing of the securities by industry or sector type. Large Company Growth Portfolio held a right that was measured at fair value on a recurring basis using significant unobservable inputs (Level 3) totalling $0 as of September 30, 2023. A reconciliation of Level 3 investments, including certain disclosures related to significant inputs used in valuing Level 3 investments, is only presented when a Portfolio has over 1% of Level 3 investments. |
2. Affiliated Investments | |||||||||||||||||
Due to Voya managing a portion of Large Company Growth Portfolio during the nine months ended September 30, 2023, certain securities held by the Portfolio are considered | |||||||||||||||||
affiliated investments. Purchases and sales of shares of affiliated registered investment companies by Large Company Growth Portfolio during the nine months ended | |||||||||||||||||
September 30, 2023 and the value of such investments as of September 30, 2023 were as follows: |
Fund | Value as of December 31, 2022 | Purchases | Proceeds from Sales | Realized Loss | Change in Unrealized Appreciation | Value as of September 30, 2023 | Income Distribution | Long-Term Capital Gain Distribution | ||||||||||||||||||||||||
Voya Investment Grade Credit Fund - Class P . . | $ | 645,924 | $ | 7,793 | $ | (671,138 | ) | $ | (79,700 | ) | $ | 97,121 | $ | - | $ | 6,587 | $ | - | ||||||||||||||
Voya VACS Series EMHCD Fund . . . | 794,246 | 12,625 | (815,115 | ) | (223,812 | ) | 233,518 | 1,462 | 5,382 | - | ||||||||||||||||||||||
Voya VACS Series HYB Fund . . . . . | 885,766 | 53,714 | - | - | (2,316 | ) | 937,164 | 55,019 | - | |||||||||||||||||||||||
Voya VACS Series SC Fund . . . . . . . | 5,661,694 | 219,170 | - | - | 180,743 | 6,061,607 | 217,183 | - | ||||||||||||||||||||||||
$ | 7,987,630 | $ | 293,302 | $ | (1,486,253 | ) | $ | (303,512 | ) | $ | 509,066 | $ | 7,000,233 | $ | 284,171 | $ | - | |||||||||||||||