SA Wellington Capital
Appreciation Portfolio
Portfolio (Class) | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
SA Wellington Capital Appreciation Portfolio (Class 1)* | $40.65 | 0.72%** |
* | The expenses shown in the table do not reflect any fees or expenses that may be charged by the Variable Contracts that invest in the Portfolio. |
** | Annualized |
Net assets | $2,154M |
Total number of portfolio holdings | 55 |
Total net advisory fee paid | $7.2M |
Portfolio turnover rate during the reporting period | 72% |
Internet | 24.1% |
Semiconductors | 22.2% |
Computers | 15.2% |
Software | 7.7% |
Pharmaceuticals | 6.0% |
Healthcare-Products | 3.9% |
Entertainment | 2.2% |
Telecommunications | 2.2% |
Diversified Financial Services | 2.1% |
Leisure Time | 1.8% |
Media | 1.6% |
Apparel | 1.2% |
Cosmetics/Personal Care | 1.2% |
Miscellaneous Manufacturing | 1.2% |
Distribution/Wholesale | 1.1% |
SA Wellington Capital
Appreciation Portfolio
Portfolio (Class) | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
SA Wellington Capital Appreciation Portfolio (Class 2)* | $49.10 | 0.87%** |
* | The expenses shown in the table do not reflect any fees or expenses that may be charged by the Variable Contracts that invest in the Portfolio. |
** | Annualized |
Net assets | $2,154M |
Total number of portfolio holdings | 55 |
Total net advisory fee paid | $7.2M |
Portfolio turnover rate during the reporting period | 72% |
Internet | 24.1% |
Semiconductors | 22.2% |
Computers | 15.2% |
Software | 7.7% |
Pharmaceuticals | 6.0% |
Healthcare-Products | 3.9% |
Entertainment | 2.2% |
Telecommunications | 2.2% |
Diversified Financial Services | 2.1% |
Leisure Time | 1.8% |
Media | 1.6% |
Apparel | 1.2% |
Cosmetics/Personal Care | 1.2% |
Miscellaneous Manufacturing | 1.2% |
Distribution/Wholesale | 1.1% |
SA Wellington Capital
Appreciation Portfolio
Portfolio (Class) | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
SA Wellington Capital Appreciation Portfolio (Class 3)* | $54.73 | 0.97%** |
* | The expenses shown in the table do not reflect any fees or expenses that may be charged by the Variable Contracts that invest in the Portfolio. |
** | Annualized |
Net assets | $2,154M |
Total number of portfolio holdings | 55 |
Total net advisory fee paid | $7.2M |
Portfolio turnover rate during the reporting period | 72% |
Internet | 24.1% |
Semiconductors | 22.2% |
Computers | 15.2% |
Software | 7.7% |
Pharmaceuticals | 6.0% |
Healthcare-Products | 3.9% |
Entertainment | 2.2% |
Telecommunications | 2.2% |
Diversified Financial Services | 2.1% |
Leisure Time | 1.8% |
Media | 1.6% |
Apparel | 1.2% |
Cosmetics/Personal Care | 1.2% |
Miscellaneous Manufacturing | 1.2% |
Distribution/Wholesale | 1.1% |
SA Wellington Government
and Quality Bond Portfolio
Portfolio (Class) | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
SA Wellington Government and Quality Bond Portfolio (Class 1)* | $ 28.77 | 0.58%** |
* | The expenses shown in the table do not reflect any fees or expenses that may be charged by the Variable Contracts that invest in the Portfolio. |
** | Annualized |
Net assets | $1,215M |
Total number of portfolio holdings | 665 |
Total net advisory fee paid | $3.3M |
Portfolio turnover rate during the reporting period | 56% |
(% of net assets)
(% of total debt issues)
SA Wellington Government
and Quality Bond Portfolio
Portfolio (Class) | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
SA Wellington Government and Quality Bond Portfolio (Class 2)* | $36.19 | 0.73%** |
* | The expenses shown in the table do not reflect any fees or expenses that may be charged by the Variable Contracts that invest in the Portfolio. |
** | Annualized |
Net assets | $ 1,215M |
Total number of portfolio holdings | 665 |
Total net advisory fee paid | $ 3.3M |
Portfolio turnover rate during the reporting period | 56% |
(% of net assets)
(% of total debt issues)
SA Wellington Government
and Quality Bond Portfolio
Portfolio (Class) | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
SA Wellington Government and Quality Bond Portfolio (Class 3)* | $41.15 | 0.83%** |
* | The expenses shown in the table do not reflect any fees or expenses that may be charged by the Variable Contracts that invest in the Portfolio. |
** | Annualized |
Net assets | $ 1,215M |
Total number of portfolio holdings | 665 |
Total net advisory fee paid | $ 3.3M |
Portfolio turnover rate during the reporting period | 56% |
(% of net assets)
(% of total debt issues)
SA Wellington Strategic
Multi-Asset Portfolio
Portfolio (Class) | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
SA Wellington Strategic Multi-Asset Portfolio (Class 1)* | $42.03 | 0.81%** |
* | The expenses shown in the table do not reflect any fees or expenses that may be charged by the Variable Contracts that invest in the Portfolio. |
** | Annualized |
Net assets | $ 168M |
Total number of portfolio holdings | 684 |
Total net advisory fee paid | $ 0.5M |
Portfolio turnover rate during the reporting period | 24% |
Foreign Government Obligations | 15.8% |
U.S. Government & Agency Obligations | 13.3% |
Internet | 9.2% |
Semiconductors | 6.8% |
Software | 6.2% |
Banks | 4.2% |
Pharmaceuticals | 4.1% |
Computers | 2.6% |
Diversified Financial Services | 2.5% |
Short-Term Investments | 2.4% |
Aerospace/Defense | 2.4% |
Healthcare-Services | 2.0% |
Commercial Services | 1.9% |
Mining | 1.8% |
Cosmetics/Personal Care | 1.7% |
SA Wellington Strategic
Multi-Asset Portfolio
Portfolio (Class) | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
SA Wellington Strategic Multi-Asset Portfolio (Class 3)* | $54.95 | 1.06%** |
* | The expenses shown in the table do not reflect any fees or expenses that may be charged by the Variable Contracts that invest in the Portfolio. |
** | Annualized |
Net assets | $ 168M |
Total number of portfolio holdings | 684 |
Total net advisory fee paid | $ 0.5M |
Portfolio turnover rate during the reporting period | 24% |
Foreign Government Obligations | 15.8% |
U.S. Government & Agency Obligations | 13.3% |
Internet | 9.2% |
Semiconductors | 6.8% |
Software | 6.2% |
Banks | 4.2% |
Pharmaceuticals | 4.1% |
Computers | 2.6% |
Diversified Financial Services | 2.5% |
Short-Term Investments | 2.4% |
Aerospace/Defense | 2.4% |
Healthcare-Services | 2.0% |
Commercial Services | 1.9% |
Mining | 1.8% |
Cosmetics/Personal Care | 1.7% |
(b) Not applicable.
Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) Included in Item 7 to the Form.
(b) Not applicable.
Item 7. Financial Statements and Financial Highlights for Open-End Management Investment Companies.
TABLE OF CONTENTS | |
Portfolio of Investments: | |
5 | |
7 | |
13 | |
26 | |
27 | |
28 | |
29 | |
41 | |
43 | |
44 | |
45 | |
46 |
Security Description | Shares or Principal Amount | Value | |
COMMON STOCKS — 101.5% | |||
Aerospace/Defense — 0.9% | |||
General Electric Co. | 128,075 | $ 20,360,083 | |
Apparel — 1.2% | |||
On Holding AG, Class A† | 657,957 | 25,528,731 | |
Biotechnology — 1.0% | |||
Vertex Pharmaceuticals, Inc.† | 43,780 | 20,520,562 | |
Building Materials — 0.9% | |||
Vulcan Materials Co. | 76,192 | 18,947,426 | |
Computers — 15.2% | |||
Apple, Inc. | 1,246,913 | 262,624,816 | |
Crowdstrike Holdings, Inc., Class A† | 60,096 | 23,028,187 | |
Dell Technologies, Inc., Class C | 169,065 | 23,315,754 | |
Pure Storage, Inc., Class A† | 280,977 | 18,041,533 | |
327,010,290 | |||
Cosmetics/Personal Care — 1.2% | |||
e.l.f. Beauty, Inc.† | 119,040 | 25,084,109 | |
Distribution/Wholesale — 1.1% | |||
Copart, Inc.† | 457,750 | 24,791,740 | |
Diversified Financial Services — 2.1% | |||
Tradeweb Markets, Inc., Class A | 419,381 | 44,454,386 | |
Electronics — 1.0% | |||
Flex, Ltd.† | 766,384 | 22,600,664 | |
Engineering & Construction — 0.8% | |||
Fluor Corp.† | 380,264 | 16,560,497 | |
Entertainment — 2.2% | |||
DraftKings, Inc., Class A† | 730,366 | 27,878,070 | |
Live Nation Entertainment, Inc.† | 206,198 | 19,329,001 | |
47,207,071 | |||
Healthcare-Products — 3.9% | |||
Align Technology, Inc.† | 73,002 | 17,624,873 | |
Exact Sciences Corp.† | 467,521 | 19,752,762 | |
Intuitive Surgical, Inc.† | 78,606 | 34,967,879 | |
Natera, Inc.† | 103,105 | 11,165,241 | |
83,510,755 | |||
Internet — 24.1% | |||
Alphabet, Inc., Class A | 561,612 | 102,297,626 | |
Amazon.com, Inc.† | 569,815 | 110,116,749 | |
Meta Platforms, Inc., Class A | 164,807 | 83,098,986 | |
Netflix, Inc.† | 111,854 | 75,488,027 | |
Pinterest, Inc., Class A† | 952,124 | 41,960,105 | |
Shopify, Inc., Class A† | 270,524 | 17,868,110 | |
Spotify Technology SA† | 136,486 | 42,827,942 | |
Uber Technologies, Inc.† | 621,811 | 45,193,223 | |
518,850,768 | |||
Leisure Time — 1.8% | |||
Royal Caribbean Cruises, Ltd.† | 146,525 | 23,360,481 | |
Viking Holdings, Ltd.† | 445,067 | 15,105,574 | |
38,466,055 | |||
Media — 1.6% | |||
Liberty Media Corp.-Liberty Formula One, Class C† | 469,095 | 33,699,785 | |
Miscellaneous Manufacturing — 1.2% | |||
Axon Enterprise, Inc.† | 84,749 | 24,936,546 |
Security Description | Shares or Principal Amount | Value | |
Pharmaceuticals — 6.0% | |||
Dexcom, Inc.† | 212,531 | $ 24,096,765 | |
Eli Lilly & Co. | 117,346 | 106,242,721 | |
130,339,486 | |||
Pipelines — 0.7% | |||
Targa Resources Corp. | 119,850 | 15,434,283 | |
Private Equity — 1.0% | |||
KKR & Co., Inc. | 203,535 | 21,420,023 | |
REITS — 0.5% | |||
AvalonBay Communities, Inc. | 54,935 | 11,365,502 | |
Retail — 1.0% | |||
O'Reilly Automotive, Inc.† | 20,698 | 21,858,330 | |
Semiconductors — 22.2% | |||
ARM Holdings PLC ADR† | 141,059 | 23,080,074 | |
Broadcom, Inc. | 57,253 | 91,921,409 | |
Marvell Technology, Inc. | 282,131 | 19,720,957 | |
Micron Technology, Inc. | 227,282 | 29,894,401 | |
NVIDIA Corp. | 2,264,520 | 279,758,801 | |
QUALCOMM, Inc. | 173,750 | 34,607,525 | |
478,983,167 | |||
Software — 7.7% | |||
Datadog, Inc., Class A† | 126,978 | 16,467,777 | |
Magic Leap, Inc., Class A†(1)(2) | 186 | 89 | |
Microsoft Corp. | 210,230 | 93,962,299 | |
Salesforce, Inc. | 43,024 | 11,061,470 | |
ServiceNow, Inc.† | 57,038 | 44,870,083 | |
166,361,718 | |||
Telecommunications — 2.2% | |||
Arista Networks, Inc.† | 71,846 | 25,180,586 | |
T-Mobile US, Inc. | 124,798 | 21,986,912 | |
47,167,498 | |||
Total Long-Term Investment Securities (cost $1,532,381,593) | 2,185,459,475 | ||
REPURCHASE AGREEMENTS — 0.7% | |||
Bank of America Securities LLC Joint Repurchase Agreement(3) | $3,300,000 | 3,300,000 | |
Barclays Capital, Inc. Joint Repurchase Agreement(3) | 2,750,000 | 2,750,000 | |
BNP Paribas SA Joint Repurchase Agreement(3) | 2,750,000 | 2,750,000 | |
Deutsche Bank AG Joint Repurchase Agreement(3) | 3,300,000 | 3,300,000 |
Security Description | Shares or Principal Amount | Value | ||
REPURCHASE AGREEMENTS (continued) | ||||
RBS Securities, Inc. Joint Repurchase Agreement(3) | $3,315,000 | $ 3,315,000 | ||
Total Repurchase Agreements (cost $15,415,000) | 15,415,000 | |||
TOTAL INVESTMENTS (cost $1,547,796,593)(4) | 102.2% | 2,200,874,475 | ||
Other assets less liabilities | (2.2) | (46,677,664) | ||
NET ASSETS | 100.0% | $2,154,196,811 |
† | Non-income producing security |
(1) | Securities classified as Level 3 (see Note 2). |
(2) | Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the “1933 Act”); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 2. Certain restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Portfolio has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Portfolio to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of June 30, 2024, the Portfolio held the following restricted securities: |
Description | Acquisition Date | Shares or Principal Amount | Acquisition Cost | Value | Value Per Share | % of Net Assets | ||||||
Common Stocks | ||||||||||||
Magic Leap, Inc., Class A | 12/28/2015 | 186 | $2,157,962 | $89 | $0.48 | 0.0% |
(3) | See Note 2 for details of Joint Repurchase Agreements. |
(4) | See Note 4 for cost of investments on a tax basis. |
ADR—American Depositary Receipt |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks: | |||||||
Software | $166,361,629 | $— | $89 | $166,361,718 | |||
Other Industries | 2,019,097,757 | — | — | 2,019,097,757 | |||
Repurchase Agreements | — | 15,415,000 | — | 15,415,000 | |||
Total Investments at Value | $2,185,459,386 | $15,415,000 | $89 | $2,200,874,475 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
Security Description | Shares or Principal Amount | Value | |
CORPORATE BONDS & NOTES — 16.1% | |||
Agriculture — 0.6% | |||
Philip Morris International, Inc. | |||
5.25%, 02/13/2034 | $ 7,972,000 | $ 7,821,071 | |
Banks — 4.1% | |||
Bank of America Corp. | |||
3.97%, 02/07/2030 | 2,645,000 | 2,504,878 | |
5.82%, 09/15/2029 | 1,017,000 | 1,038,290 | |
BNP Paribas SA | |||
5.89%, 12/05/2034* | 3,650,000 | 3,738,630 | |
BPCE SA | |||
5.28%, 05/30/2029* | 2,125,000 | 2,116,919 | |
5.94%, 05/30/2035* | 1,230,000 | 1,225,103 | |
Canadian Imperial Bank of Commerce | |||
5.24%, 06/28/2027 | 6,725,000 | 6,714,300 | |
Commonwealth Bank of Australia | |||
5.07%, 09/14/2028* | 5,890,000 | 5,941,149 | |
Danske Bank A/S | |||
1.55%, 09/10/2027* | 10,225,000 | 9,389,212 | |
5.71%, 03/01/2030* | 885,000 | 887,469 | |
ING Groep NV | |||
5.34%, 03/19/2030 | 1,870,000 | 1,862,688 | |
Morgan Stanley | |||
5.47%, 01/18/2035 | 2,280,000 | 2,274,050 | |
UBS Group AG | |||
6.30%, 09/22/2034* | 3,310,000 | 3,442,206 | |
US Bancorp | |||
7.50%, 06/01/2026 | 400,000 | 414,840 | |
Wells Fargo & Co. | |||
3.00%, 10/23/2026 | 1,780,000 | 1,690,886 | |
4.90%, 07/25/2033 | 2,845,000 | 2,736,504 | |
6.30%, 10/23/2029 | 3,730,000 | 3,870,669 | |
49,847,793 | |||
Building Materials — 0.1% | |||
Trane Technologies Financing, Ltd. | |||
5.10%, 06/13/2034 | 1,065,000 | 1,061,397 | |
Commercial Services — 0.4% | |||
ERAC USA Finance LLC | |||
5.20%, 10/30/2034* | 1,995,000 | 1,975,682 | |
Georgetown University | |||
5.12%, 04/01/2053 | 953,000 | 937,357 | |
University of Southern California | |||
4.98%, 10/01/2053 | 2,155,000 | 2,088,141 | |
5,001,180 | |||
Diversified Financial Services — 0.7% | |||
American Express Co. | |||
5.04%, 05/01/2034 | 3,820,000 | 3,735,720 | |
6.49%, 10/30/2031 | 340,000 | 362,463 | |
BlackRock Funding, Inc. | |||
5.25%, 03/14/2054 | 1,165,000 | 1,125,812 | |
Capital One Financial Corp. | |||
5.70%, 02/01/2030 | 965,000 | 969,589 | |
7.15%, 10/29/2027 | 1,205,000 | 1,245,305 | |
LSEG US Fin Corp. | |||
5.30%, 03/28/2034* | 1,425,000 | 1,421,170 | |
8,860,059 | |||
Electric — 1.4% | |||
Dominion Energy South Carolina, Inc. | |||
5.45%, 02/01/2041 | 1,195,000 | 1,162,524 | |
6.05%, 01/15/2038 | 2,400,000 | 2,505,036 |
Security Description | Shares or Principal Amount | Value | |
Electric (continued) | |||
Georgia Power Co. | |||
5.25%, 03/15/2034 | $ 3,965,000 | $ 3,952,485 | |
PG&E Wildfire Recovery Funding LLC | |||
4.45%, 12/01/2049 | 995,000 | 873,403 | |
5.10%, 06/01/2054 | 980,000 | 937,546 | |
5.21%, 12/01/2049 | 1,185,000 | 1,145,179 | |
SCE Recovery Funding LLC | |||
0.86%, 11/15/2033 | 1,077,854 | 920,910 | |
1.94%, 05/15/2040 | 630,000 | 462,749 | |
2.51%, 11/15/2043 | 365,000 | 246,426 | |
Southern California Edison Co. | |||
5.45%, 06/01/2031 | 1,265,000 | 1,274,043 | |
Texas Electric Market Stabilization Funding N LLC | |||
4.27%, 08/01/2036* | 3,617,597 | 3,473,131 | |
16,953,432 | |||
Environmental Control — 0.3% | |||
Republic Services, Inc. | |||
5.20%, 11/15/2034 | 3,025,000 | 3,002,976 | |
Gas — 0.1% | |||
CenterPoint Energy Resources Corp. | |||
5.40%, 07/01/2034 | 1,030,000 | 1,019,889 | |
Healthcare-Services — 1.7% | |||
Bon Secours Mercy Health, Inc. | |||
2.10%, 06/01/2031 | 840,000 | 694,264 | |
3.56%, 08/01/2027 | 2,700,000 | 2,581,093 | |
4.30%, 07/01/2028 | 2,645,000 | 2,576,601 | |
Children's Hospital | |||
2.93%, 07/15/2050 | 1,135,000 | 728,669 | |
CommonSpirit Health | |||
5.21%, 12/01/2031 | 6,190,000 | 6,108,310 | |
Dignity Health | |||
3.81%, 11/01/2024 | 1,242,000 | 1,232,741 | |
Piedmont Healthcare, Inc. | |||
2.04%, 01/01/2032 | 4,525,000 | 3,651,299 | |
Providence St Joseph Health Obligated Group | |||
5.40%, 10/01/2033 | 2,151,000 | 2,133,686 | |
Sutter Health | |||
2.29%, 08/15/2030 | 500,000 | 428,573 | |
20,135,236 | |||
Insurance — 2.9% | |||
Athene Global Funding | |||
5.58%, 01/09/2029* | 7,170,000 | 7,199,005 | |
Brighthouse Financial Global Funding | |||
5.65%, 06/10/2029* | 4,245,000 | 4,242,699 | |
GA Global Funding Trust | |||
5.50%, 01/08/2029* | 3,030,000 | 3,030,024 | |
Met Tower Global Funding | |||
5.25%, 04/12/2029* | 1,230,000 | 1,236,185 | |
New York Life Global Funding | |||
5.00%, 01/09/2034* | 7,745,000 | 7,613,628 | |
Northwestern Mutual Global Funding | |||
5.16%, 05/28/2031* | 3,530,000 | 3,535,141 | |
RGA Global Funding | |||
5.45%, 05/24/2029* | 3,135,000 | 3,142,413 | |
5.50%, 01/11/2031* | 4,570,000 | 4,563,298 | |
34,562,393 |
Security Description | Shares or Principal Amount | Value | |
CORPORATE BONDS & NOTES (continued) | |||
Investment Companies — 0.6% | |||
Abu Dhabi Developmental Holding Co. PJSC | |||
5.38%, 05/08/2029* | $ 3,795,000 | $ 3,854,968 | |
5.50%, 05/08/2034* | 3,805,000 | 3,908,306 | |
7,763,274 | |||
Media — 0.2% | |||
Comcast Corp. | |||
5.50%, 05/15/2064 | 2,600,000 | 2,501,606 | |
Oil & Gas — 0.8% | |||
BP Capital Markets America, Inc. | |||
5.23%, 11/17/2034 | 6,760,000 | 6,709,416 | |
Eni SpA | |||
5.95%, 05/15/2054* | 1,215,000 | 1,193,348 | |
TotalEnergies Capital SA | |||
5.49%, 04/05/2054 | 570,000 | 562,111 | |
5.64%, 04/05/2064 | 1,025,000 | 1,014,947 | |
9,479,822 | |||
Pharmaceuticals — 0.1% | |||
Bristol-Myers Squibb Co. | |||
5.65%, 02/22/2064 | 1,649,000 | 1,610,839 | |
REITS — 1.4% | |||
American Tower Trust #1 | |||
5.49%, 03/15/2053* | 8,530,000 | 8,563,819 | |
Realty Income Corp. | |||
5.13%, 02/15/2034 | 5,840,000 | 5,668,786 | |
SBA Tower Trust | |||
1.63%, 05/15/2051* | 1,555,000 | 1,412,395 | |
1.88%, 07/15/2050* | 810,000 | 761,756 | |
2.84%, 01/15/2050* | 1,030,000 | 1,011,909 | |
17,418,665 | |||
Retail — 0.2% | |||
Home Depot, Inc. | |||
5.30%, 06/25/2054 | 2,189,000 | 2,137,243 | |
5.40%, 06/25/2064 | 165,000 | 160,807 | |
2,298,050 | |||
Semiconductors — 0.5% | |||
Intel Corp. | |||
5.60%, 02/21/2054 | 4,135,000 | 4,006,590 | |
KLA Corp. | |||
4.95%, 07/15/2052 | 2,410,000 | 2,239,248 | |
6,245,838 | |||
Total Corporate Bonds & Notes (cost $199,998,865) | 195,583,520 | ||
ASSET BACKED SECURITIES — 5.1% | |||
Auto Loan Receivables — 2.4% | |||
CFMT LLC | |||
Series 2021-AL1, Class B 1.39%, 09/22/2031* | 1,548,547 | 1,530,633 | |
Enterprise Fleet Financing LLC | |||
Series 2022-3, Class A2 4.38%, 07/20/2029* | 583,132 | 577,329 | |
Series 2023-3, Class A2 6.40%, 03/20/2030* | 4,120,000 | 4,166,441 | |
Ford Credit Auto Owner Trust | |||
Series 2021-1, Class B 1.61%, 10/17/2033* | 835,000 | 778,018 | |
Series 2021-1, Class C 1.91%, 10/17/2033* | 725,000 | 675,629 |
Security Description | Shares or Principal Amount | Value | |
Auto Loan Receivables (continued) | |||
GM Financial Revolving Receivables Trust | |||
Series 2024-1, Class A 4.98%, 12/11/2036* | $ 5,545,000 | $ 5,523,033 | |
Honda Auto Receivables Owner Trust | |||
Series 2024-2, Class A3 5.27%, 11/20/2028 | 6,945,000 | 6,963,745 | |
SFS Auto Receivables Securitization Trust | |||
Series 2024-2A, Class A3 5.33%, 11/20/2029* | 5,885,000 | 5,900,359 | |
Series 2023-1A, Class A2A 5.89%, 03/22/2027* | 786,821 | 787,540 | |
Wheels Fleet Lease Funding 1 LLC | |||
Series 2023-2A, Class A 6.46%, 08/18/2038* | 2,820,000 | 2,842,351 | |
29,745,078 | |||
Other Asset Backed Securities — 2.7% | |||
Aaset Trust | |||
Series 2019-1, Class A 3.84%, 05/15/2039* | 108,337 | 102,381 | |
Castlelake Aircraft Structured Trust | |||
Series 2019-1A, Class A 3.97%, 04/15/2039* | 683,843 | 615,634 | |
CF Hippolyta Issuer LLC | |||
Series 2021-1A, Class A1 1.53%, 03/15/2061* | 3,600,150 | 3,297,559 | |
Series 2022-1A, Class A1 5.97%, 08/15/2062* | 1,025,987 | 1,010,337 | |
FirstKey Homes Trust | |||
Series 2021-SFR3, Class A 2.14%, 12/17/2038* | 3,469,998 | 3,201,986 | |
Home Partners of America Trust | |||
Series 2021-2, Class B 2.30%, 12/17/2026* | 3,560,548 | 3,271,621 | |
Horizon Aircraft Finance II, Ltd. | |||
Series 2019-1, Class A 3.72%, 07/15/2039* | 284,959 | 260,557 | |
Horizon Aircraft Finance III, Ltd. | |||
Series 2019-2, Class A 3.43%, 11/15/2039* | 646,401 | 559,685 | |
Kubota Credit Owner Trust | |||
Series 2023-2A, Class A3 5.28%, 01/18/2028* | 2,825,000 | 2,826,192 | |
MACH 1, Ltd. | |||
Series 2019-1, Class A 3.47%, 10/15/2039* | 301,003 | 274,671 | |
MMAF Equipment Finance LLC | |||
Series 2019-B, Class A5 2.29%, 11/12/2041* | 2,960,000 | 2,798,638 | |
Navient Private Education Refi Loan Trust | |||
Series 2023-A, Class A 5.51%, 10/15/2071* | 3,248,673 | 3,258,427 | |
New Economy Assets Phase 1 Sponsor LLC | |||
Series 2021-1, Class A1 1.91%, 10/20/2061* | 4,785,000 | 4,263,331 | |
Retained Vantage Data Centers Issuer LLC | |||
Series 2023-1A, Class A2A 5.00%, 09/15/2048* | 6,098,000 | 5,873,132 | |
SCF Equipment Leasing LLC | |||
Series 2021-1A, Class A3 0.83%, 08/21/2028* | 551,697 | 547,937 |
Security Description | Shares or Principal Amount | Value | |
ASSET BACKED SECURITIES (continued) | |||
Other Asset Backed Securities (continued) | |||
Start II, Ltd. | |||
Series 2019-1, Class A 4.09%, 03/15/2044* | $ 361,326 | $ 346,024 | |
32,508,112 | |||
Total Asset Backed Securities (cost $63,247,042) | 62,253,190 | ||
COLLATERALIZED MORTGAGE OBLIGATIONS — 4.0% | |||
Commercial and Residential — 0.6% | |||
Angel Oak Mtg. Trust VRS | |||
Series 2019-6, Class A1 2.62%, 11/25/2059*(1) | 106,410 | 103,083 | |
Flagstar Mtg. Trust VRS | |||
Series 2021-9INV, Class A2 2.00%, 09/25/2041*(1) | 1,547,925 | 1,316,031 | |
Series 2018-3INV, Class A3 4.00%, 05/25/2048*(1) | 733,373 | 670,216 | |
MetLife Securitization Trust VRS | |||
Series 2017-1A, Class A 3.00%, 04/25/2055*(1) | 377,919 | 353,294 | |
Mill City Mtg. Loan Trust VRS | |||
Series 2017-3, Class A1 2.75%, 01/25/2061*(1) | 110,065 | 108,567 | |
SFAVE Commercial Mtg. Securities Trust VRS | |||
Series 2015-5AVE, Class A2B 4.14%, 01/05/2043*(1) | 1,340,000 | 1,121,991 | |
Towd Point Mtg. Trust VRS | |||
Series 2017-4, Class A1 2.75%, 06/25/2057*(1) | 498,258 | 476,043 | |
Series 2018-1, Class A1 3.00%, 01/25/2058*(1) | 181,510 | 176,418 | |
Wells Fargo Mtg. Backed Securities Trust VRS | |||
Series 2021-INV1, Class A4 2.50%, 08/25/2051*(1) | 4,339,159 | 3,746,276 | |
8,071,919 | |||
U.S. Government Agency — 3.4% | |||
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. | |||
Series K142, Class A2 2.40%, 03/25/2032 | 4,000,000 | 3,392,182 | |
Series K516, Class A2 5.48%, 01/25/2029 | 6,000,000 | 6,141,257 | |
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. VRS | |||
Series K-156, Class A2 4.43%, 02/25/2033(1) | 3,010,000 | 2,929,784 | |
Federal Home Loan Mtg. Corp. REMIC | |||
Series 4146, Class AB 1.13%, 12/15/2027 | 522,542 | 495,602 | |
Series 4142, Class PT 1.25%, 12/15/2027 | 406,309 | 384,979 | |
Series 5170, Class DP 2.00%, 07/25/2050 | 4,129,920 | 3,488,426 | |
Series 4654, Class KA 3.00%, 06/15/2045 | 2,012,770 | 1,879,204 | |
Series 3967, Class ZP 4.00%, 09/15/2041 | 1,669,724 | 1,583,788 | |
Series 4809, Class CZ 4.00%, 07/15/2048 | 1,499,457 | 1,378,661 |
Security Description | Shares or Principal Amount | Value | |
U.S. Government Agency (continued) | |||
Federal Home Loan Mtg. Corp. SCRT | |||
Series 2021-1, Class MTU 2.50%, 09/25/2060 | $ 6,781,541 | $ 5,516,897 | |
Series 2019-3, Class MA 3.50%, 10/25/2058 | 810,228 | 754,201 | |
Federal National Mtg. Assoc. REMIC | |||
Series 2013-9, Class PT 1.25%, 02/25/2028 | 360,686 | 340,854 | |
Series 2012-103, Class HB 1.50%, 09/25/2027 | 1,092,561 | 1,040,320 | |
Series 2020-27, Class HC 1.50%, 10/25/2049 | 3,393,069 | 2,617,630 | |
Series 2014-95, Class ZC 3.00%, 01/25/2045 | 1,389,107 | 1,209,698 | |
Series 2015-7, Class GZ 3.00%, 03/25/2045 | 3,715,308 | 3,289,419 | |
Series 2019-6, Class GJ 3.00%, 02/25/2049 | 276,063 | 260,339 | |
Federal National Mtg. Assoc. REMIC FRS | |||
Series 2017-M13, Class FA 5.84%, (SOFR30A+0.51%), 10/25/2024 | 113,162 | 112,604 | |
Government National Mtg. Assoc. REMIC | |||
Series 2021-215, Class KA 2.50%, 10/20/2049 | 4,855,450 | 4,182,666 | |
Series 2005-74, Class HA 7.50%, 09/16/2035 | 267 | 270 | |
Series 2005-74, Class HB 7.50%, 09/16/2035 | 25,006 | 25,311 | |
Series 2005-74, Class HC 7.50%, 09/16/2035 | 24,385 | 24,802 | |
41,048,894 | |||
Total Collateralized Mortgage Obligations (cost $54,175,929) | 49,120,813 | ||
U.S. GOVERNMENT & AGENCY OBLIGATIONS — 70.8% | |||
U.S. Government — 38.9% | |||
United States Treasury Bonds | |||
1.75%, 08/15/2041 | 570,000 | 376,645 | |
1.88%, 02/15/2041 | 45,000 | 30,792 | |
2.25%, 02/15/2052 | 1,427,100 | 909,107 | |
2.50%, 02/15/2045 to 05/15/2046 | 7,435,000 | 5,293,850 | |
2.75%, 08/15/2047 to 11/15/2047 | 5,488,500 | 3,992,539 | |
2.88%, 08/15/2045 to 05/15/2052 | 19,961,900 | 14,768,574 | |
3.38%, 08/15/2042 | 15,041,100 | 12,703,854 | |
3.63%, 02/15/2053 to 05/15/2053 | 17,926,300 | 15,252,284 | |
3.88%, 02/15/2043 to 05/15/2043 | 28,941,600 | 26,137,172 | |
4.00%, 11/15/2042 to 11/15/2052 | 11,914,200 | 10,931,541 | |
4.13%, 08/15/2053 | 8,998,900 | 8,379,874 | |
4.25%, 02/15/2054 | 7,780,500 | 7,408,495 | |
4.38%, 08/15/2043 | 9,089,100 | 8,773,112 | |
4.50%, 02/15/2044 | 7,701,100 | 7,554,298 | |
4.63%, 05/15/2054 | 991,000 | 1,004,781 | |
4.75%, 11/15/2043 to 11/15/2053 | 19,296,000 | 19,667,677 | |
United States Treasury Notes | |||
1.63%, 05/15/2031 | 15,000 | 12,589 | |
2.88%, 04/30/2029 | 1,240,000 | 1,159,642 | |
3.13%, 08/31/2027 | 4,058,400 | 3,893,528 | |
3.50%, 01/31/2028 to 04/30/2028 | 7,681,000 | 7,430,368 | |
3.63%, 03/31/2028 to 05/31/2028 | 13,143,500 | 12,772,178 | |
3.75%, 12/31/2028(2) | 18,947,900 | 18,463,840 | |
3.75%, 05/31/2030 to 12/31/2030 | 2,150,000 | 2,078,612 | |
3.88%, 11/30/2027 to 11/30/2029 | 5,429,000 | 5,314,286 | |
4.00%, 12/15/2025 to 02/15/2034 | 36,750,200 | 36,150,159 |
Security Description | Shares or Principal Amount | Value | |
U.S. GOVERNMENT & AGENCY OBLIGATIONS (continued) | |||
U.S. Government (continued) | |||
4.13%, 09/30/2027 to 03/31/2029 | $43,583,200 | $ 43,114,761 | |
4.25%, 01/31/2026 to 02/28/2029 | 21,620,100 | 21,471,888 | |
4.38%, 12/15/2026 to 05/15/2034 | 39,668,900 | 39,629,544 | |
4.50%, 11/15/2025 to 05/31/2029 | 30,083,900 | 30,200,960 | |
4.63%, 02/28/2026 to 05/31/2031 | 53,589,400 | 53,866,012 | |
4.88%, 11/30/2025 to 10/31/2028 | 42,586,900 | 42,831,444 | |
5.00%, 09/30/2025 to 10/31/2025 | 10,865,700 | 10,863,830 | |
472,438,236 | |||
U.S. Government Agency — 31.9% | |||
Federal Home Loan Mtg. Corp. | |||
2.00%, 11/01/2041 to 04/01/2052 | 39,906,043 | 31,762,753 | |
2.50%, 10/01/2031 to 10/01/2051 | 27,829,115 | 23,480,163 | |
3.00%, 11/01/2046 to 05/01/2052 | 24,273,538 | 21,015,135 | |
4.00%, 09/01/2026 to 05/01/2049 | 3,469,623 | 3,262,954 | |
4.50%, 01/01/2038 to 08/01/2052 | 8,595,654 | 8,197,934 | |
5.00%, 11/01/2043 to 01/01/2053 | 16,733,450 | 16,237,200 | |
5.50%, 01/01/2053 to 11/01/2053 | 31,403,517 | 30,998,629 | |
6.00%, 12/01/2039 to 10/01/2053 | 10,038,032 | 10,068,883 | |
6.50%, 11/01/2053 | 8,677,796 | 8,854,706 | |
7.50%, 05/01/2027 | 132 | 132 | |
Federal National Mtg. Assoc. | |||
1.50%, 11/01/2041 | 4,816,230 | 3,881,575 | |
2.00%, 04/01/2041 to 09/01/2051 | 36,480,529 | 29,042,701 | |
2.50%, 03/01/2030 to 01/01/2052 | 29,527,365 | 24,686,368 | |
3.00%, 05/01/2027 to 10/01/2051 | 11,585,743 | 10,076,055 | |
3.01%, 12/01/2024 | 3,253,238 | 3,207,505 | |
3.12%, 05/01/2033 | 2,405,162 | 2,149,810 | |
3.50%, 06/01/2037 to 07/01/2051 | 13,299,102 | 12,057,058 | |
4.00%, 09/01/2026 to 10/01/2052 | 11,211,855 | 10,520,515 | |
4.50%, 11/01/2026 to 11/01/2052 | 17,525,344 | 16,895,368 | |
5.00%, 08/01/2052 to 10/01/2052 | 1,995,923 | 1,933,141 | |
5.50%, 03/01/2038 to 08/01/2053 | 8,153,527 | 8,069,401 | |
6.00%, 09/01/2053 | 11,866,891 | 11,931,505 | |
6.50%, 02/01/2038 to 10/01/2039 | 44,530 | 46,004 | |
Government National Mtg. Assoc. | |||
2.00%, 12/20/2050 to 02/20/2051 | 15,209,774 | 12,321,479 | |
2.50%, 03/20/2051 to 12/20/2052 | 20,820,827 | 17,508,411 | |
3.00%, 11/20/2049 to 07/20/2051 | 11,211,752 | 9,792,516 | |
3.00%, July 30 TBA | 1,671,000 | 1,455,728 | |
3.50%, 01/20/2052 to 03/20/2052 | 15,894,650 | 14,281,025 | |
4.00%, 02/15/2041 to 08/20/2052 | 12,894,676 | 11,930,476 | |
4.50%, 05/15/2040 to 08/20/2052 | 7,942,489 | 7,578,312 | |
5.00%, 07/15/2033 to 04/15/2041 | 731,566 | 728,693 | |
5.50%, 10/15/2032 to 04/15/2036 | 414,160 | 420,485 | |
6.00%, 06/15/2028 to 06/15/2041 | 2,095,912 | 2,149,232 | |
6.50%, 02/15/2027 to 05/15/2032 | 273,927 | 279,610 | |
7.00%, 11/15/2031 to 11/15/2033 | 44,179 | 45,205 | |
8.00%, 10/15/2029 to 03/15/2031 | 40,863 | 41,191 | |
Uniform Mtg. Backed Securities | |||
4.00%, July 30 TBA | 4,012,000 | 3,670,823 | |
5.00%, July 30 TBA | 7,025,000 | 6,789,004 | |
6.00%, July 30 TBA | 9,496,000 | 9,522,337 | |
386,890,022 | |||
Total U.S. Government & Agency Obligations (cost $897,471,966) | 859,328,258 | ||
FOREIGN GOVERNMENT OBLIGATIONS — 0.5% | |||
Diversified Financial Services — 0.2% | |||
OMERS Finance Trust | |||
4.00%, 04/20/2028* | 1,810,000 | 1,757,407 |
Security Description | Shares or Principal Amount | Value | |
Sovereign — 0.3% | |||
Kingdom of Saudi Arabia | |||
5.75%, 01/16/2054* | $ 3,930,000 | $ 3,819,960 | |
Total Foreign Government Obligations (cost $5,648,266) | 5,577,367 | ||
MUNICIPAL SECURITIES — 2.1% | |||
Bay Area Toll Authority Revenue Bonds | |||
7.04%, 04/01/2050 | 70,000 | 82,744 | |
Chicago Transit Authority Revenue Bonds | |||
6.90%, 12/01/2040 | 135,843 | 150,079 | |
Commonwealth of Massachusetts Revenue Bonds | |||
4.11%, 07/15/2031 | 2,189,299 | 2,149,931 | |
Dallas Fort Worth International Airport Revenue Bonds | |||
4.09%, 11/01/2051 | 150,000 | 124,495 | |
4.51%, 11/01/2051 | 280,000 | 248,516 | |
Foothill-Eastern Transportation Corridor Agency Revenue Bonds | |||
3.92%, 01/15/2053 | 780,000 | 626,672 | |
Golden State Tobacco Securitization Corp. Revenue Bonds | |||
3.00%, 06/01/2046 | 355,000 | 324,083 | |
Illinois Municipal Electric Agency Revenue Bonds | |||
6.83%, 02/01/2035 | 1,785,000 | 1,887,874 | |
JobsOhio Beverage System Revenue Bonds | |||
4.43%, 01/01/2033 | 1,710,000 | 1,680,070 | |
Kansas Development Finance Authority Revenue Bonds | |||
2.77%, 05/01/2051 | 1,555,000 | 1,071,977 | |
5.37%, 05/01/2026 | 295,000 | 294,675 | |
Metropolitan Transportation Authority Revenue Bonds | |||
6.20%, 11/15/2026 | 65,000 | 65,338 | |
Municipal Electric Authority of Georgia Revenue Bonds | |||
6.64%, 04/01/2057 | 1,384,000 | 1,506,157 | |
Oregon School Boards Association General Obligation Bonds | |||
4.76%, 06/30/2028 | 1,550,541 | 1,539,501 | |
Philadelphia Authority for Industrial Development Revenue Bonds | |||
6.55%, 10/15/2028 | 2,845,000 | 3,036,136 | |
Port Authority of New York & New Jersey Revenue Bonds | |||
5.07%, 07/15/2053 | 1,350,000 | 1,318,147 | |
State of Illinois General Obligation Bonds | |||
5.10%, 06/01/2033 | 4,352,941 | 4,271,149 | |
State of Wisconsin Revenue Bonds | |||
5.70%, 05/01/2026 | 1,065,000 | 1,069,752 | |
Texas Natural Gas Securitization Finance Corp. Revenue Bonds | |||
5.17%, 04/01/2041 | 1,650,000 | 1,652,919 |
Security Description | Shares or Principal Amount | Value | ||
MUNICIPAL SECURITIES (continued) | ||||
Texas Natural Gas Securitization Finance Corp. Series 2023-1, Class A1 | ||||
5.10%, 04/01/2035 | $ 2,109,838 | $ 2,107,322 | ||
Total Municipal Securities (cost $27,070,957) | 25,207,537 | |||
Total Long-Term Investment Securities (cost $1,247,613,025) | 1,197,070,685 | |||
REPURCHASE AGREEMENTS — 2.2% | ||||
Bank of America Securities LLC Joint Repurchase Agreement(3) | 5,720,000 | 5,720,000 | ||
Barclays Capital, Inc. Joint Repurchase Agreement(3) | 4,770,000 | 4,770,000 | ||
BNP Paribas SA Joint Repurchase Agreement(3) | 4,770,000 | 4,770,000 | ||
Deutsche Bank AG Joint Repurchase Agreement(3) | 5,720,000 | 5,720,000 | ||
RBS Securities, Inc. Joint Repurchase Agreement(3) | 5,735,000 | 5,735,000 | ||
Total Repurchase Agreements (cost $26,715,000) | 26,715,000 | |||
TOTAL INVESTMENTS (cost $1,274,328,025)(4) | 100.8% | 1,223,785,685 | ||
Other assets less liabilities | (0.8) | (9,185,074) | ||
NET ASSETS | 100.0% | $1,214,600,611 |
* | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The SA Wellington Government and Quality Bond Portfolio has no right to demand registration of these securities. At June 30, 2024, the aggregate value of these securities was $157,818,296 representing 13.0% of net assets. |
(1) | Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
(2) | The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts. |
(3) | See Note 2 for details of Joint Repurchase Agreements. |
(4) | See Note 4 for cost of investments on a tax basis. |
FRS—Floating Rate Security |
REMIC—Real Estate Mortgage Investment Conduit |
SCRT—Structured Credit Risk Transfer |
SOFR30A—US 30 Day Average Secured Overnight Financing Rate |
TBA—Securities purchased on a forward commitment basis with an approximate principal amount and no definite maturity date. The actual principal amount and maturity date will be determined upon settlement date. |
VRS—Variable Rate Security |
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation |
97 | Short | U.S. Treasury 10 Year Notes | September 2024 | $10,716,594 | $10,668,485 | $48,109 |
* | Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract. |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Corporate Bonds & Notes | $— | $195,583,520 | $— | $195,583,520 | |||
Asset Backed Securities | — | 62,253,190 | — | 62,253,190 | |||
Collateralized Mortgage Obligations | — | 49,120,813 | — | 49,120,813 | |||
U.S. Government & Agency Obligations | — | 859,328,258 | — | 859,328,258 | |||
Foreign Government Obligations | — | 5,577,367 | — | 5,577,367 | |||
Municipal Securities | — | 25,207,537 | — | 25,207,537 | |||
Repurchase Agreements | — | 26,715,000 | — | 26,715,000 | |||
Total Investments at Value | $— | $1,223,785,685 | $— | $1,223,785,685 | |||
Other Financial Instruments:† | |||||||
Futures Contracts | $48,109 | $— | $— | $48,109 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
Security Description | Shares or Principal Amount | Value | |
COMMON STOCKS — 65.5% | |||
Aerospace/Defense — 2.4% | |||
Airbus SE | 9,622 | $ 1,321,679 | |
BAE Systems PLC | 90,536 | 1,510,694 | |
General Dynamics Corp. | 4,047 | 1,174,196 | |
4,006,569 | |||
Apparel — 1.2% | |||
adidas AG | 5,784 | 1,381,346 | |
Hermes International SCA | 292 | 669,216 | |
2,050,562 | |||
Auto Manufacturers — 0.9% | |||
Ferrari NV | 798 | 325,353 | |
Renault SA | 23,339 | 1,195,757 | |
1,521,110 | |||
Banks — 3.9% | |||
Axis Bank, Ltd. GDR | 14,611 | 1,110,436 | |
Goldman Sachs Group, Inc. | 3,697 | 1,672,227 | |
HSBC Holdings PLC | 206,438 | 1,784,693 | |
Mitsubishi UFJ Financial Group, Inc. | 180,200 | 1,936,514 | |
6,503,870 | |||
Chemicals — 0.8% | |||
Linde PLC | 3,163 | 1,390,196 | |
Commercial Services — 1.9% | |||
Booz Allen Hamilton Holding Corp. | 5,987 | 921,400 | |
RB Global, Inc. | 15,424 | 1,176,375 | |
S&P Global, Inc. | 2,487 | 1,109,202 | |
3,206,977 | |||
Computers — 2.6% | |||
Apple, Inc. | 20,529 | 4,323,818 | |
Cosmetics/Personal Care — 1.7% | |||
Estee Lauder Cos., Inc., Class A | 5,230 | 556,472 | |
Proya Cosmetics Co., Ltd., Class A | 33,873 | 517,415 | |
Unilever PLC | 31,702 | 1,741,236 | |
2,815,123 | |||
Distribution/Wholesale — 0.7% | |||
ITOCHU Corp. | 23,400 | 1,142,294 | |
Diversified Financial Services — 2.5% | |||
Ares Management Corp., Class A | 3,794 | 505,664 | |
London Stock Exchange Group PLC | 12,079 | 1,435,292 | |
Visa, Inc., Class A | 8,823 | 2,315,773 | |
4,256,729 | |||
Electric — 1.4% | |||
PG&E Corp. | 82,416 | 1,438,984 | |
RWE AG | 26,243 | 897,953 | |
2,336,937 | |||
Engineering & Construction — 0.6% | |||
Larsen & Toubro, Ltd. GDR | 23,722 | 1,010,557 | |
Entertainment — 0.4% | |||
Live Nation Entertainment, Inc.† | 7,800 | 731,172 | |
Environmental Control — 0.3% | |||
GFL Environmental, Inc. | 12,900 | 502,197 | |
Gas — 0.8% | |||
Atmos Energy Corp. | 11,185 | 1,304,730 |
Security Description | Shares or Principal Amount | Value | |
Healthcare-Products — 1.4% | |||
Boston Scientific Corp.† | 13,542 | $ 1,042,870 | |
Danaher Corp. | 5,359 | 1,338,946 | |
2,381,816 | |||
Healthcare-Services — 2.0% | |||
ICON PLC† | 3,540 | 1,109,684 | |
UnitedHealth Group, Inc. | 4,367 | 2,223,938 | |
3,333,622 | |||
Home Builders — 0.7% | |||
Lennar Corp., Class A | 7,436 | 1,114,433 | |
Home Furnishings — 1.0% | |||
Sony Group Corp. | 19,800 | 1,678,613 | |
Household Products/Wares — 0.6% | |||
Reckitt Benckiser Group PLC | 18,611 | 1,007,390 | |
Insurance — 0.7% | |||
Prudential PLC | 46,091 | 418,566 | |
T&D Holdings, Inc. | 41,200 | 719,188 | |
1,137,754 | |||
Internet — 9.2% | |||
Alphabet, Inc., Class C | 24,944 | 4,575,228 | |
Amazon.com, Inc.† | 20,891 | 4,037,186 | |
DoorDash, Inc., Class A† | 6,755 | 734,809 | |
MercadoLibre, Inc.† | 391 | 642,569 | |
Meta Platforms, Inc., Class A | 2,445 | 1,232,818 | |
Shopify, Inc., Class A† | 10,405 | 687,633 | |
Tencent Holdings, Ltd. | 34,200 | 1,630,938 | |
Uber Technologies, Inc.† | 26,542 | 1,929,073 | |
15,470,254 | |||
Machinery-Diversified — 1.5% | |||
Keyence Corp. | 2,730 | 1,197,100 | |
Westinghouse Air Brake Technologies Corp. | 8,171 | 1,291,427 | |
2,488,527 | |||
Metal Fabricate/Hardware — 0.3% | |||
Vallourec SACA† | 35,836 | 562,054 | |
Mining — 1.8% | |||
Anglo American PLC | 41,307 | 1,306,448 | |
Lundin Mining Corp. | 48,381 | 538,608 | |
Rio Tinto PLC | 17,266 | 1,135,167 | |
2,980,223 | |||
Miscellaneous Manufacturing — 0.8% | |||
Siemens AG | 7,028 | 1,307,528 | |
Oil & Gas — 1.5% | |||
ConocoPhillips | 10,876 | 1,243,997 | |
EOG Resources, Inc. | 4,645 | 584,666 | |
Reliance Industries, Ltd. GDR* | 3,746 | 279,451 | |
Reliance Industries, Ltd. GDR (LSE)* | 6,183 | 461,252 | |
2,569,366 | |||
Oil & Gas Services — 1.0% | |||
Saipem SpA† | 263,439 | 674,855 | |
Schlumberger NV | 20,984 | 990,025 | |
1,664,880 | |||
Pharmaceuticals — 3.9% | |||
AstraZeneca PLC | 8,336 | 1,302,018 | |
Eli Lilly & Co. | 2,474 | 2,239,910 |
Security Description | Shares or Principal Amount | Value | |
COMMON STOCKS (continued) | |||
Pharmaceuticals (continued) | |||
Merck & Co., Inc. | 13,594 | $ 1,682,937 | |
Novartis AG | 12,160 | 1,301,605 | |
6,526,470 | |||
Pipelines — 0.6% | |||
Targa Resources Corp. | 8,113 | 1,044,792 | |
Private Equity — 0.4% | |||
Partners Group Holding AG | 586 | 752,679 | |
Retail — 1.6% | |||
Chipotle Mexican Grill, Inc.† | 13,800 | 864,570 | |
Fast Retailing Co., Ltd. | 3,201 | 806,965 | |
Ross Stores, Inc. | 7,233 | 1,051,099 | |
2,722,634 | |||
Semiconductors — 6.8% | |||
ASML Holding NV | 1,695 | 1,750,275 | |
Infineon Technologies AG | 39,309 | 1,444,172 | |
Micron Technology, Inc. | 6,767 | 890,063 | |
NVIDIA Corp. | 35,440 | 4,378,258 | |
Taiwan Semiconductor Manufacturing Co., Ltd. | 101,000 | 3,007,444 | |
11,470,212 | |||
Software — 6.2% | |||
Adobe, Inc.† | 2,025 | 1,124,969 | |
Autodesk, Inc.† | 2,837 | 702,016 | |
Microsoft Corp. | 12,536 | 5,602,965 | |
Roper Technologies, Inc. | 2,083 | 1,174,104 | |
Salesforce, Inc. | 7,305 | 1,878,115 | |
10,482,169 | |||
Telecommunications — 0.9% | |||
Motorola Solutions, Inc. | 3,733 | 1,441,125 | |
Transportation — 0.5% | |||
Canadian Pacific Kansas City, Ltd. | 11,630 | 915,914 | |
Total Common Stocks (cost $82,421,742) | 110,155,296 | ||
CORPORATE BONDS & NOTES — 1.8% | |||
Auto Manufacturers — 0.1% | |||
Daimler Truck Finance Canada, Inc. | |||
2.14%, 12/13/2024 | CAD | 300,000 | 216,453 |
Banks — 0.3% | |||
Bank of America Corp. | |||
3.38%, 04/02/2026 | $ 130,000 | 127,672 | |
Goldman Sachs Group, Inc. | |||
4.48%, 08/23/2028 | 25,000 | 24,433 | |
JPMorgan Chase & Co. | |||
4.85%, 07/25/2028 | 95,000 | 94,027 | |
State Street Corp. | |||
5.27%, 08/03/2026 | 55,000 | 55,105 | |
Toronto-Dominion Bank | |||
4.29%, 09/13/2024 | 100,000 | 99,672 | |
5.10%, 01/09/2026 | 55,000 | 54,799 | |
455,708 | |||
Biotechnology — 0.0% | |||
Amgen, Inc. | |||
5.15%, 03/02/2028 | 50,000 | 49,993 | |
Electric — 0.1% | |||
Eversource Energy | |||
4.75%, 05/15/2026 | 25,000 | 24,673 |
Security Description | Shares or Principal Amount | Value | |
Electric (continued) | |||
NextEra Energy Capital Holdings, Inc. | |||
5.75%, 09/01/2025 | $ 45,000 | $ 45,098 | |
Southern Co. | |||
5.50%, 03/15/2029 | 80,000 | 81,053 | |
150,824 | |||
Environmental Control — 0.1% | |||
Veralto Corp. | |||
5.50%, 09/18/2026* | 80,000 | 80,008 | |
Healthcare-Products — 0.1% | |||
GE HealthCare Technologies, Inc. | |||
5.55%, 11/15/2024 | 115,000 | 114,879 | |
Healthcare-Services — 0.0% | |||
UnitedHealth Group, Inc. | |||
1.25%, 01/15/2026 | 15,000 | 14,133 | |
5.25%, 02/15/2028 | 40,000 | 40,521 | |
54,654 | |||
Insurance — 0.1% | |||
New York Life Global Funding | |||
5.00%, 06/06/2029* | 125,000 | 124,601 | |
Principal Life Global Funding II | |||
1.25%, 06/23/2025* | 25,000 | 23,994 | |
148,595 | |||
Machinery-Diversified — 0.0% | |||
John Deere Capital Corp. | |||
4.75%, 06/08/2026 | 50,000 | 49,684 | |
Media — 0.1% | |||
Comcast Corp. | |||
Zero Coupon, 09/14/2026 | EUR | 100,000 | 99,375 |
Discovery Communications LLC | |||
3.90%, 11/15/2024 | 120,000 | 119,066 | |
218,441 | |||
Multi-National — 0.1% | |||
International Finance Corp. | |||
2.88%, 12/18/2024 | GBP | 100,000 | 125,093 |
Oil & Gas — 0.1% | |||
Diamondback Energy, Inc. | |||
5.20%, 04/18/2027 | 115,000 | 115,024 | |
Pharmaceuticals — 0.2% | |||
Cigna Group | |||
5.69%, 03/15/2026 | 120,000 | 119,998 | |
Eli Lilly & Co. | |||
5.00%, 02/27/2026 | 150,000 | 149,936 | |
Pfizer Investment Enterprises Pte., Ltd. | |||
4.45%, 05/19/2026 | 75,000 | 74,042 | |
343,976 | |||
Pipelines — 0.2% | |||
Columbia Pipelines Holding Co. LLC | |||
6.06%, 08/15/2026* | 50,000 | 50,398 | |
Enbridge, Inc. | |||
3.95%, 11/19/2024 | CAD | 250,000 | 181,943 |
5.25%, 04/05/2027 | 85,000 | 84,995 | |
317,336 | |||
REITS — 0.0% | |||
American Tower Corp. | |||
1.30%, 09/15/2025 | 45,000 | 42,752 |
Security Description | Shares or Principal Amount | Value | |
CORPORATE BONDS & NOTES (continued) | |||
Retail — 0.0% | |||
AutoZone, Inc. | |||
6.25%, 11/01/2028 | $ 10,000 | $ 10,426 | |
Semiconductors — 0.0% | |||
Intel Corp. | |||
4.88%, 02/10/2026 | 60,000 | 59,641 | |
Telecommunications — 0.2% | |||
AT&T, Inc. | |||
1.65%, 02/01/2028 | 80,000 | 71,043 | |
5.54%, 02/20/2026 | 75,000 | 74,996 | |
Cisco Systems, Inc. | |||
4.80%, 02/26/2027 | 80,000 | 79,783 | |
Verizon Communications, Inc. | |||
2.10%, 03/22/2028 | 105,000 | 94,430 | |
320,252 | |||
Transportation — 0.1% | |||
Canadian Pacific Railway Co. | |||
1.35%, 12/02/2024 | 145,000 | 142,368 | |
Total Corporate Bonds & Notes (cost $3,126,010) | 3,016,107 | ||
U.S. GOVERNMENT & AGENCY OBLIGATIONS — 13.3% | |||
U.S. Government — 13.1% | |||
United States Treasury Bonds | |||
1.38%, 11/15/2040 | 573,000 | 361,550 | |
1.75%, 08/15/2041 | 1,733,000 | 1,145,134 | |
2.00%, 08/15/2051 | 2,668,000 | 1,602,676 | |
3.00%, 02/15/2048 | 757,500 | 576,381 | |
3.13%, 11/15/2041 | 343,000 | 282,586 | |
3.50%, 02/15/2039 | 260,000 | 233,949 | |
3.75%, 08/15/2041 | 248,000 | 223,965 | |
4.50%, 02/15/2036 | 173,000 | 176,224 | |
5.00%, 05/15/2037 | 271,000 | 287,705 | |
United States Treasury Notes | |||
0.25%, 09/30/2025 | 1,150,000 | 1,084,324 | |
0.38%, 01/31/2026 | 890,000 | 829,473 | |
0.75%, 08/31/2026 | 641,000 | 589,520 | |
1.25%, 08/15/2031 | 853,000 | 692,263 | |
1.63%, 10/31/2026 | 1,028,000 | 960,015 | |
2.38%, 05/15/2029 | 837,000 | 764,351 | |
2.75%, 07/31/2027 | 501,000 | 475,715 | |
3.50%, 09/15/2025 | 1,362,000 | 1,337,473 | |
3.63%, 03/31/2028 | 1,333,000 | 1,295,509 | |
3.88%, 11/30/2027(1) | 1,327,000 | 1,301,756 | |
3.88%, 08/15/2033 | 1,707,000 | 1,642,187 | |
4.13%, 11/15/2032 | 812,000 | 798,329 | |
4.50%, 05/31/2029 | 1,048,000 | 1,055,123 | |
4.88%, 10/31/2028 | 3,854,000 | 3,925,961 | |
United States Treasury Notes TIPS | |||
1.75%, 01/15/2034 | 161,144 | 156,349 | |
2.13%, 04/15/2029 | 238,222 | 238,497 | |
22,037,015 | |||
U.S. Government Agency — 0.2% | |||
Federal Home Loan Mtg. Corp. | |||
6.00%, 09/01/2053 | 324,538 | 325,538 | |
Total U.S. Government & Agency Obligations (cost $23,805,094) | 22,362,553 |
Security Description | Shares or Principal Amount | Value | |
FOREIGN GOVERNMENT OBLIGATIONS — 15.8% | |||
Regional(State/Province) — 0.3% | |||
New South Wales Treasury Corp. | |||
4.25%, 02/20/2036 | AUD | 352,000 | $ 214,817 |
Province of Alberta | |||
5.20%, 05/15/2034 | AUD | 145,000 | 96,448 |
Province of British Columbia | |||
5.25%, 05/23/2034 | AUD | 170,000 | 113,693 |
Province of Ontario | |||
3.75%, 12/02/2053 | CAD | 107,000 | 70,796 |
Treasury Corp. of Victoria | |||
2.00%, 11/20/2037 | AUD | 218,000 | 97,594 |
593,348 | |||
Sovereign — 15.5% | |||
Commonwealth of Australia | |||
1.75%, 11/21/2032 | AUD | 251,000 | 137,832 |
1.75%, 06/21/2051 | AUD | 585,000 | 215,920 |
1.75%, 06/21/2051 | AUD | 94,000 | 34,695 |
2.75%, 05/21/2041 | AUD | 257,000 | 134,739 |
3.25%, 04/21/2029 | AUD | 263,000 | 169,143 |
4.75%, 06/21/2054 | AUD | 65,000 | 44,041 |
Federal Republic of Germany | |||
Zero Coupon, 10/18/2024 | EUR | 331,000 | 350,934 |
Zero Coupon, 08/15/2052 | EUR | 198,000 | 102,264 |
1.00%, 05/15/2038 | EUR | 783,000 | 679,991 |
2.30%, 02/15/2033 | EUR | 402,000 | 425,924 |
2.40%, 10/19/2028 | EUR | 782,000 | 834,158 |
2.60%, 05/15/2041 | EUR | 83,000 | 87,604 |
Government of Canada | |||
0.50%, 12/01/2030 | CAD | 51,000 | 30,975 |
0.50%, 12/01/2030 | CAD | 69,000 | 41,907 |
2.00%, 06/01/2032 | CAD | 494,000 | 323,750 |
3.25%, 09/01/2028 | CAD | 211,000 | 152,493 |
3.50%, 08/01/2025 | CAD | 302,000 | 218,812 |
3.75%, 04/26/2028 | CAD | 225,000 | 218,634 |
4.00%, 06/01/2041 | CAD | 286,000 | 222,643 |
Government of France | |||
1.75%, 05/25/2066* | EUR | 70,000 | 46,036 |
2.50%, 09/24/2026* | EUR | 482,000 | 509,320 |
2.50%, 09/24/2027* | EUR | 679,000 | 715,013 |
2.50%, 05/25/2043* | EUR | 44,000 | 39,988 |
2.75%, 02/25/2029* | EUR | 1,013,000 | 1,071,210 |
3.00%, 05/25/2033* | EUR | 960,000 | 1,012,139 |
3.00%, 06/25/2049* | EUR | 346,000 | 332,212 |
3.25%, 05/25/2055* | EUR | 303,000 | 295,122 |
Government of France TIPS | |||
0.60%, 07/25/2034* | EUR | 199,964 | 204,144 |
Government of Japan | |||
0.10%, 12/20/2031 | JPY | 124,150,000 | 732,345 |
0.40%, 12/20/2049 | JPY | 166,300,000 | 695,196 |
0.40%, 03/20/2056 | JPY | 37,200,000 | 137,121 |
0.80%, 09/20/2047 | JPY | 88,350,000 | 428,670 |
1.00%, 03/20/2062 | JPY | 50,350,000 | 210,848 |
2.30%, 03/20/2040 | JPY | 209,800,000 | 1,431,006 |
Government of Malaysia | |||
3.50%, 05/31/2027 | MYR | 192,000 | 40,651 |
3.52%, 04/20/2028 | MYR | 125,000 | 26,408 |
4.46%, 03/31/2053 | MYR | 144,000 | 31,643 |
4.76%, 04/07/2037 | MYR | 173,000 | 39,435 |
Government of New Zealand | |||
2.75%, 05/15/2051 | NZD | 106,000 | 43,344 |
4.25%, 05/15/2034 | NZD | 109,000 | 64,161 |
4.25%, 05/15/2034 | NZD | 29,000 | 17,070 |
Security Description | Shares or Principal Amount | Value | |
FOREIGN GOVERNMENT OBLIGATIONS (continued) | |||
Sovereign (continued) | |||
5.00%, 05/15/2054 | NZD | 488,000 | $ 297,259 |
Government of Sweden | |||
1.75%, 11/11/2033 | SEK | 655,000 | 59,425 |
Kingdom of Belgium | |||
2.70%, 10/22/2029* | EUR | 267,000 | 283,772 |
2.85%, 10/22/2034* | EUR | 248,000 | 258,894 |
3.45%, 06/22/2043* | EUR | 123,000 | 131,129 |
3.50%, 06/22/2055* | EUR | 93,000 | 96,859 |
Kingdom of Denmark | |||
4.50%, 11/15/2039 | DKK | 532,000 | 93,423 |
Kingdom of Norway | |||
3.00%, 08/15/2033* | NOK | 246,000 | 21,918 |
3.00%, 08/15/2033* | NOK | 44,000 | 3,920 |
3.63%, 04/13/2034* | NOK | 2,320,000 | 217,197 |
3.63%, 05/31/2039* | NOK | 165,000 | 15,452 |
Kingdom of Spain | |||
1.90%, 10/31/2052* | EUR | 220,000 | 154,583 |
2.50%, 05/31/2027 | EUR | 119,000 | 125,405 |
2.80%, 05/31/2026 | EUR | 703,000 | 747,834 |
3.25%, 04/30/2034* | EUR | 355,000 | 376,424 |
3.45%, 10/31/2034* | EUR | 140,000 | 150,340 |
3.45%, 07/30/2043* | EUR | 258,000 | 261,326 |
3.50%, 05/31/2029 | EUR | 657,000 | 717,743 |
Kingdom of the Netherlands | |||
Zero Coupon, 01/15/2038* | EUR | 294,000 | 212,780 |
Zero Coupon, 01/15/2052* | EUR | 134,000 | 66,816 |
2.50%, 01/15/2030* | EUR | 250,000 | 264,804 |
Republic of Austria | |||
1.50%, 02/20/2047* | EUR | 166,000 | 127,803 |
2.10%, 09/20/2117* | EUR | 17,000 | 13,237 |
2.90%, 02/20/2033* | EUR | 134,000 | 142,147 |
3.45%, 10/20/2030* | EUR | 175,000 | 192,916 |
Republic of Finland | |||
2.88%, 04/15/2029* | EUR | 99,000 | 105,904 |
2.95%, 04/15/2055* | EUR | 22,000 | 22,095 |
3.00%, 09/15/2034* | EUR | 87,000 | 92,513 |
Republic of Ireland | |||
0.20%, 10/18/2030 | EUR | 67,000 | 61,101 |
1.30%, 05/15/2033 | EUR | 86,000 | 80,873 |
1.50%, 05/15/2050 | EUR | 59,000 | 44,009 |
Republic of Italy | |||
2.80%, 03/01/2067* | EUR | 66,000 | 49,657 |
3.10%, 03/01/2040* | EUR | 53,000 | 48,807 |
3.35%, 07/01/2029 | EUR | 181,000 | 192,010 |
3.50%, 02/15/2031* | EUR | 251,000 | 265,288 |
3.80%, 08/01/2028 | EUR | 754,000 | 817,358 |
3.85%, 09/15/2026 | EUR | 975,000 | 1,053,783 |
4.05%, 10/30/2037* | EUR | 1,018,000 | 1,071,543 |
4.10%, 02/01/2029 | EUR | 91,000 | 99,886 |
4.50%, 10/01/2053* | EUR | 138,000 | 146,463 |
Republic of Poland | |||
1.75%, 04/25/2032 | PLN | 131,000 | 24,744 |
6.00%, 10/25/2033 | PLN | 379,000 | 96,448 |
Republic of Singapore | |||
1.88%, 10/01/2051 | SGD | 85,000 | 48,723 |
2.13%, 06/01/2026 | SGD | 151,000 | 108,673 |
2.38%, 06/01/2025 | SGD | 28,000 | 20,409 |
3.38%, 05/01/2034 | SGD | 84,000 | 62,749 |
3.50%, 03/01/2027 | SGD | 74,000 | 54,845 |
State of Israel | |||
1.30%, 04/30/2032 | ILS | 122,000 | 25,048 |
Security Description | Shares or Principal Amount | Value | |
Sovereign (continued) | |||
United Kingdom Gilt Treasury | |||
0.88%, 07/31/2033 | GBP | 500,000 | $ 477,028 |
3.75%, 01/29/2038 | GBP | 692,000 | 817,373 |
3.75%, 10/22/2053 | GBP | 192,184 | 207,786 |
4.00%, 10/22/2063 | GBP | 164,000 | 185,254 |
4.38%, 07/31/2054 | GBP | 208,400 | 251,136 |
4.50%, 06/07/2028 | GBP | 610,000 | 779,887 |
4.75%, 10/22/2043 | GBP | 202,000 | 259,858 |
United Kingdom Gilt Treasury TIPS | |||
0.75%, 11/22/2033 | GBP | 115,819 | 148,400 |
United Mexican States | |||
5.50%, 03/04/2027 | MXN | 1,472,900 | 71,496 |
7.00%, 09/03/2026 | MXN | 1,837,000 | 93,302 |
7.50%, 06/03/2027 | MXN | 5,466,600 | 277,851 |
7.50%, 05/26/2033 | MXN | 3,336,400 | 156,896 |
7.75%, 11/23/2034 | MXN | 1,253,600 | 58,964 |
8.00%, 07/31/2053 | MXN | 148,100 | 6,534 |
8.00%, 07/31/2053 | MXN | 576,900 | 25,453 |
8.50%, 03/01/2029 | MXN | 2,140,000 | 109,704 |
26,102,798 | |||
Total Foreign Government Obligations (cost $28,477,167) | 26,696,146 | ||
Total Long-Term Investment Securities (cost $137,830,013) | 162,230,102 | ||
SHORT-TERM INVESTMENTS — 2.4% | |||
Commercial Paper — 0.4% | |||
AT&T, Inc. | |||
5.47%, 07/18/2024* | $ 400,000 | 398,803 | |
Canadian National Railway Co. | |||
5.43%, 07/22/2024* | 300,000 | 298,917 | |
697,720 | |||
U.S. Government — 2.0% | |||
United States Treasury Bills | |||
5.21%, 09/12/2024 | 583,000 | 576,808 | |
5.22%, 09/12/2024 | 1,168,000 | 1,155,594 | |
5.23%, 07/05/2024 | 846,000 | 845,504 | |
5.23%, 09/12/2024 | 875,000 | 865,707 | |
3,443,613 | |||
Total Short-Term Investments (cost $4,141,722) | 4,141,333 | ||
REPURCHASE AGREEMENTS — 1.4% | |||
Bank of America Securities LLC Joint Repurchase Agreement(2) | 505,000 | 505,000 | |
Barclays Capital, Inc. Joint Repurchase Agreement(2) | 425,000 | 425,000 | |
BNP Paribas SA Joint Repurchase Agreement(2) | 425,000 | 425,000 | |
Deutsche Bank AG Joint Repurchase Agreement(2) | 505,000 | 505,000 |
Security Description | Shares or Principal Amount | Value | ||
REPURCHASE AGREEMENTS (continued) | ||||
RBS Securities, Inc. Joint Repurchase Agreement(2) | $ 520,000 | $ 520,000 | ||
Total Repurchase Agreements (cost $2,380,000) | 2,380,000 | |||
TOTAL INVESTMENTS (cost $144,351,735)(3) | 100.2% | 168,751,435 | ||
Other assets less liabilities | (0.2) | (408,243) | ||
NET ASSETS | 100.0% | $168,343,192 |
† | Non-income producing security |
* | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The SA Wellington Strategic Multi-Asset Portfolio has no right to demand registration of these securities. At June 30, 2024, the aggregate value of these securities was $10,737,195 representing 6.4% of net assets. |
(1) | The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts. |
(2) | See Note 2 for details of Joint Repurchase Agreements. |
(3) | See Note 4 for cost of investments on a tax basis. |
GDR—Global Depositary Receipt |
LSE—London Stock Exchange |
TIPS—Treasury Inflation Protected Securities |
AUD—Australian Dollar |
CAD—Canadian Dollar |
DKK—Danish Krone |
EUR—Euro Currency |
GBP—British Pound |
ILS—Israeli New Sheqel |
JPY—Japanese Yen |
MXN—Mexican Peso |
MYR—Malaysian Ringgit |
NOK—Norwegian Krone |
NZD—New Zealand Dollar |
PLN—Polish Zloty |
SEK—Swedish Krona |
SGD—Singapore Dollar |
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation |
6 | Long | Euro-BOBL | September 2024 | $ 744,032 | $ 748,209 | $ 4,177 |
19 | Long | U.S. Treasury 10 Year Notes | September 2024 | 2,083,617 | 2,089,703 | 6,086 |
13 | Long | U.S. Treasury 2 Year Notes | September 2024 | 2,647,031 | 2,654,844 | 7,813 |
22 | Long | U.S. Treasury 5 Year Notes | September 2024 | 2,335,383 | 2,344,719 | 9,336 |
2 | Long | U.S. Treasury Long Bonds | September 2024 | 235,132 | 236,625 | 1,493 |
34 | Short | Australian 3 Year Bonds | September 2024 | 2,402,330 | 2,391,907 | 10,423 |
4 | Short | Canada 10 Year Bonds | September 2024 | 356,884 | 351,069 | 5,815 |
1 | Short | Euro Buxl 30 Year Bonds | September 2024 | 140,016 | 139,481 | 535 |
6 | Short | Euro-BTP | September 2024 | 747,475 | 740,819 | 6,656 |
6 | Short | Euro-OAT | September 2024 | 797,973 | 791,132 | 6,841 |
15 | Short | Mini-10 Year JGB | September 2024 | 1,336,522 | 1,330,692 | 5,830 |
$65,005 |
Unrealized (Depreciation) | ||||||
3 | Long | Australian 10 Year Bonds | September 2024 | $ 228,863 | $ 227,285 | $ (1,578) |
11 | Long | Euro-BUND | September 2024 | 1,559,037 | 1,550,544 | (8,493) |
1 | Short | Euro-Schatz | September 2024 | 112,712 | 113,199 | (487) |
7 | Short | Long Gilt | September 2024 | 859,411 | 863,368 | (3,957) |
10 | Short | U.S. Treasury Ultra 10 Year Notes | September 2024 | 1,122,844 | 1,135,313 | (12,469) |
5 | Short | U.S. Treasury Ultra Bonds | September 2024 | 622,070 | 626,719 | (4,649) |
$(31,633) | ||||||
Net Unrealized Appreciation (Depreciation) | $33,372 |
* | Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract. |
Forward Foreign Currency Contracts | |||||||
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized (Depreciation) | ||
Bank of America, N.A. | BRL | 185,000 | USD | 34,202 | 07/02/2024 | $ 1,108 | $ — |
BRL | 30,000 | USD | 5,524 | 08/02/2024 | 177 | — | |
CHF | 15,000 | USD | 16,855 | 07/02/2024 | 159 | — | |
CLP | 55,890,000 | USD | 61,227 | 07/02/2024 | 1,836 | — | |
CNH | 495,000 | USD | 68,201 | 07/02/2024 | 396 | — | |
CNH | 495,000 | USD | 67,981 | 08/02/2024 | 6 | — | |
COP | 200,000,000 | USD | 50,878 | 07/02/2024 | 2,694 | — | |
COP | 100,000 | USD | 24 | 08/02/2024 | — | (0) |
Forward Foreign Currency Contracts — (continued) | ||||||||
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized (Depreciation) | |||
EUR | 13,000 | USD | 14,171 | 07/02/2024 | $ 249 | $ — | ||
EUR | 54,000 | USD | 57,952 | 08/02/2024 | 37 | — | ||
JPY | 2,200,000 | USD | 14,066 | 07/02/2024 | 392 | — | ||
KRW | 285,490,000 | USD | 207,663 | 07/02/2024 | 260 | — | ||
KRW | 20,040,000 | USD | 14,482 | 08/02/2024 | — | (62) | ||
MXN | 2,140,000 | USD | 118,071 | 07/02/2024 | 1,100 | — | ||
NZD | 25,000 | USD | 15,400 | 07/02/2024 | 172 | — | ||
USD | 33,426 | BRL | 185,000 | 07/02/2024 | — | (332) | ||
USD | 5,439 | BRL | 30,000 | 08/02/2024 | — | (92) | ||
USD | 29,205 | CAD | 40,000 | 07/02/2024 | 34 | — | ||
USD | 14,655 | CAD | 20,000 | 08/02/2024 | — | (25) | ||
USD | 16,857 | CHF | 15,000 | 07/02/2024 | — | (162) | ||
USD | 100,753 | CHF | 90,000 | 08/02/2024 | — | (207) | ||
USD | 59,335 | CLP | 55,890,000 | 07/02/2024 | 56 | — | ||
USD | 835 | CLP | 790,000 | 08/02/2024 | 5 | — | ||
USD | 67,832 | CNH | 495,000 | 07/02/2024 | — | (27) | ||
USD | 51,394 | COP | 200,000,000 | 07/02/2024 | — | (3,211) | ||
USD | 71,830 | EUR | 66,000 | 07/02/2024 | — | (1,147) | ||
USD | 207,509 | KRW | 285,490,000 | 07/02/2024 | — | (106) | ||
USD | 14,057 | MXN | 260,000 | 07/02/2024 | 155 | — | ||
USD | 7,647 | NOK | 80,000 | 07/02/2024 | — | (155) | ||
USD | 14,325 | TWD | 465,000 | 08/02/2024 | — | (11) | ||
USD | 34,651 | ZAR | 650,000 | 07/02/2024 | 1,076 | — | ||
9,912 | (5,537) | |||||||
Barclays Bank PLC | AUD | 2,160,000 | USD | 1,439,156 | 07/02/2024 | — | (1,780) | |
AUD | 1,132,000 | USD | 753,989 | 08/02/2024 | — | (1,805) | ||
CAD | 20,000 | USD | 14,538 | 07/02/2024 | — | (81) | ||
CHF | 15,000 | USD | 16,867 | 07/02/2024 | 171 | — | ||
CZK | 1,310,000 | USD | 57,695 | 07/02/2024 | 1,692 | — | ||
EUR | 167,000 | USD | 179,495 | 07/02/2024 | 646 | — | ||
JPY | 40,400,000 | USD | 257,700 | 07/02/2024 | 6,596 | — | ||
MXN | 9,339,000 | USD | 551,557 | 07/02/2024 | 41,090 | — | ||
NZD | 50,000 | USD | 30,636 | 07/02/2024 | 181 | — | ||
PLN | 35,000 | USD | 8,760 | 07/02/2024 | 66 | — | ||
SGD | 60,000 | USD | 44,432 | 07/02/2024 | 185 | — | ||
THB | 2,590,000 | USD | 70,524 | 07/02/2024 | — | (53) | ||
THB | 1,040,000 | USD | 28,373 | 08/02/2024 | — | (38) | ||
USD | 1,165,220 | AUD | 1,750,000 | 07/02/2024 | 2,205 | — | ||
USD | 278,416 | AUD | 418,000 | 08/02/2024 | 667 | — | ||
USD | 33,643 | CHF | 30,000 | 07/02/2024 | — | (252) | ||
USD | 6,086 | CZK | 140,000 | 07/02/2024 | — | (101) | ||
USD | 128,225 | EUR | 118,000 | 07/02/2024 | — | (1,853) | ||
USD | 8,022 | ILS | 30,000 | 07/02/2024 | — | (80) | ||
USD | 353,940 | JPY | 55,400,000 | 07/02/2024 | — | (9,606) | ||
USD | 138,650 | MXN | 2,417,000 | 07/02/2024 | — | (6,537) | ||
USD | 14,172 | NOK | 150,000 | 07/02/2024 | — | (124) | ||
USD | 22,855 | PLN | 90,000 | 07/02/2024 | — | (498) | ||
USD | 43,335 | SEK | 450,000 | 07/02/2024 | — | (878) | ||
USD | 37,167 | SGD | 50,000 | 07/02/2024 | — | (293) | ||
USD | 42,902 | THB | 1,570,000 | 07/02/2024 | — | (120) | ||
ZAR | 630,000 | USD | 33,827 | 07/02/2024 | — | (800) | ||
53,499 | (24,899) | |||||||
BNP Paribas SA | AUD | 550,000 | USD | 365,310 | 07/02/2024 | — | (1,595) | |
AUD | 342,000 | USD | 228,029 | 08/02/2024 | — | (311) | ||
CAD | 260,000 | USD | 190,424 | 07/02/2024 | 373 | — | ||
CAD | 40,000 | USD | 29,284 | 08/02/2024 | 25 | — | ||
CHF | 542,000 | USD | 604,512 | 07/02/2024 | 1,250 | — | ||
CNH | 15,000 | USD | 2,056 | 07/02/2024 | 1 | — | ||
CZK | 980,000 | USD | 43,094 | 07/02/2024 | 1,198 | — | ||
EUR | 52,000 | USD | 56,618 | 07/02/2024 | 928 | — | ||
EUR | 108,000 | USD | 115,910 | 08/02/2024 | 78 | — | ||
GBP | 106,000 | USD | 135,202 | 07/02/2024 | 1,208 | — |
Forward Foreign Currency Contracts — (continued) | ||||||||
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized (Depreciation) | |||
GBP | 36,000 | USD | 45,516 | 08/02/2024 | $ 1 | $ — | ||
HKD | 655,000 | USD | 84,311 | 04/16/2025 | — | (65) | ||
HUF | 200,000 | USD | 544 | 07/02/2024 | 1 | — | ||
ILS | 95,000 | USD | 25,579 | 08/02/2024 | 396 | — | ||
JPY | 589,273,000 | USD | 3,778,730 | 07/02/2024 | 116,147 | — | ||
JPY | 6,900,000 | USD | 43,199 | 08/02/2024 | 110 | — | ||
MXN | 3,990,000 | USD | 215,365 | 07/02/2024 | — | (2,728) | ||
MYR | 453,000 | USD | 96,251 | 07/02/2024 | 225 | — | ||
NOK | 1,883,000 | USD | 178,768 | 07/02/2024 | 2,407 | — | ||
NZD | 190,000 | USD | 117,084 | 07/02/2024 | 1,355 | — | ||
PLN | 536,000 | USD | 136,618 | 07/02/2024 | 3,472 | — | ||
SEK | 5,104,000 | USD | 485,462 | 07/02/2024 | 3,907 | — | ||
USD | 348,713 | AUD | 525,000 | 07/02/2024 | 1,515 | — | ||
USD | 113,363 | AUD | 170,000 | 08/02/2024 | 140 | — | ||
USD | 364,381 | CAD | 500,000 | 07/02/2024 | 1,103 | — | ||
USD | 58,460 | CAD | 80,000 | 08/02/2024 | 59 | — | ||
USD | 313,070 | CHF | 280,000 | 07/02/2024 | — | (1,422) | ||
USD | 2,068 | CNH | 15,000 | 07/02/2024 | — | (13) | ||
USD | 2,060 | CNH | 15,000 | 08/02/2024 | — | — | ||
USD | 302,340 | EUR | 280,000 | 07/02/2024 | — | (2,474) | ||
USD | 179,553 | GBP | 141,000 | 07/02/2024 | — | (1,315) | ||
USD | 29,070 | GBP | 23,000 | 08/02/2024 | 10 | — | ||
USD | 11,400 | HUF | 4,100,000 | 07/02/2024 | — | (283) | ||
USD | 543 | HUF | 200,000 | 08/02/2024 | — | (1) | ||
USD | 25,545 | ILS | 95,000 | 07/02/2024 | — | (394) | ||
USD | 606,788 | JPY | 94,649,000 | 07/02/2024 | — | (18,504) | ||
USD | 57,690 | JPY | 9,200,000 | 08/02/2024 | — | (238) | ||
USD | 96,474 | MXN | 1,700,000 | 07/02/2024 | — | (3,553) | ||
USD | 266,423 | NOK | 2,810,000 | 07/02/2024 | — | (3,241) | ||
USD | 101,140 | NZD | 165,000 | 07/02/2024 | — | (638) | ||
USD | 171,815 | SEK | 1,800,000 | 07/02/2024 | — | (1,988) | ||
USD | 57,702 | SEK | 610,000 | 08/02/2024 | — | (61) | ||
USD | 34,024 | ZAR | 630,000 | 08/02/2024 | 523 | — | ||
ZAR | 100,000 | USD | 5,368 | 07/02/2024 | — | (128) | ||
136,432 | (38,952) | |||||||
Citibank, N.A. | AUD | 28,000 | USD | 18,576 | 07/02/2024 | — | (103) | |
CNH | 311,000 | USD | 42,932 | 07/02/2024 | 332 | — | ||
CNH | 311,000 | USD | 42,711 | 08/02/2024 | 3 | — | ||
CNH | 210,000 | USD | 29,581 | 06/20/2025 | 79 | — | ||
DKK | 628,000 | USD | 90,522 | 08/02/2024 | 183 | — | ||
EUR | 205,000 | USD | 222,094 | 07/02/2024 | 2,550 | — | ||
GBP | 22,000 | USD | 28,046 | 07/02/2024 | 235 | — | ||
GBP | 45,000 | USD | 57,051 | 08/02/2024 | 156 | — | ||
JPY | 29,178,000 | USD | 186,471 | 07/02/2024 | 5,117 | — | ||
JPY | 46,136,000 | USD | 288,444 | 08/02/2024 | 335 | — | ||
MXN | 3,753,000 | USD | 217,724 | 07/02/2024 | 12,586 | — | ||
NOK | 2,808,000 | USD | 266,372 | 07/02/2024 | 3,376 | — | ||
NZD | 70,000 | USD | 42,825 | 07/02/2024 | 188 | — | ||
NZD | 25,000 | USD | 15,254 | 08/02/2024 | 26 | — | ||
PLN | 55,000 | USD | 13,881 | 07/02/2024 | 219 | — | ||
SEK | 900,000 | USD | 85,847 | 07/02/2024 | 934 | — | ||
SEK | 610,000 | USD | 58,200 | 08/02/2024 | 558 | — | ||
SGD | 86,000 | USD | 63,683 | 07/02/2024 | 261 | — | ||
USD | 14,593 | CAD | 20,000 | 07/02/2024 | 26 | — | ||
USD | 73,226 | CHF | 65,000 | 07/02/2024 | — | (879) | ||
USD | 16,777 | CHF | 15,000 | 08/02/2024 | — | (19) | ||
USD | 42,619 | CNH | 311,000 | 07/02/2024 | — | (18) | ||
USD | 29,026 | CNH | 210,000 | 09/26/2024 | — | (80) | ||
USD | 48,811 | CZK | 1,110,000 | 07/02/2024 | — | (1,358) | ||
USD | 90,360 | DKK | 628,000 | 07/02/2024 | — | (181) | ||
USD | 220,553 | EUR | 203,000 | 07/02/2024 | — | (3,150) | ||
USD | 57,913 | EUR | 54,000 | 08/02/2024 | 3 | — |
Forward Foreign Currency Contracts — (continued) | ||||||||
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized (Depreciation) | |||
USD | 238,091 | GBP | 187,000 | 07/02/2024 | $ — | $ (1,704) | ||
USD | 19,850 | HUF | 7,100,000 | 07/02/2024 | — | (599) | ||
USD | 115,570 | JPY | 18,000,000 | 07/02/2024 | — | (3,692) | ||
USD | 62,687 | MXN | 1,100,000 | 07/02/2024 | — | (2,562) | ||
USD | 71,147 | NOK | 760,000 | 07/02/2024 | 34 | — | ||
USD | 70,596 | NZD | 115,000 | 07/02/2024 | — | (550) | ||
USD | 11,184 | PLN | 45,000 | 08/02/2024 | — | (9) | ||
USD | 80,776 | SEK | 852,000 | 07/02/2024 | — | (391) | ||
USD | 37,153 | SGD | 50,000 | 07/02/2024 | — | (280) | ||
27,201 | (15,575) | |||||||
Commonwealth Bank of Australia Sydney | GBP | 11,000 | USD | 13,950 | 07/02/2024 | 45 | — | |
Credit Agricole SA | CNH | 596,000 | USD | 82,168 | 07/02/2024 | 528 | — | |
CNH | 596,000 | USD | 81,849 | 08/02/2024 | 5 | — | ||
JPY | 5,500,000 | USD | 35,450 | 07/02/2024 | 1,265 | — | ||
USD | 81,674 | CNH | 596,000 | 07/02/2024 | — | (34) | ||
1,798 | (34) | |||||||
Deutsche Bank AG | AUD | 105,000 | USD | 70,164 | 08/02/2024 | 59 | — | |
CHF | 30,000 | USD | 33,308 | 07/02/2024 | — | (83) | ||
EUR | 14,535,000 | USD | 15,841,791 | 07/02/2024 | 275,526 | — | ||
EUR | 14,535,000 | USD | 15,618,250 | 08/02/2024 | 29,267 | — | ||
ILS | 200,000 | USD | 54,497 | 07/02/2024 | 1,548 | — | ||
JPY | 9,000,000 | USD | 57,439 | 07/02/2024 | 1,500 | — | ||
NOK | 300,000 | USD | 28,417 | 07/02/2024 | 320 | — | ||
SEK | 300,000 | USD | 28,683 | 07/02/2024 | 378 | — | ||
USD | 16,875 | CHF | 15,000 | 07/02/2024 | — | (180) | ||
USD | 15,731,569 | EUR | 14,660,000 | 07/02/2024 | — | (31,435) | ||
USD | 25,960 | ILS | 95,000 | 07/02/2024 | — | (809) | ||
USD | 14,647 | JPY | 2,300,000 | 07/02/2024 | — | (352) | ||
USD | 14,230 | NOK | 150,000 | 07/02/2024 | — | (181) | ||
USD | 15,229 | NZD | 25,000 | 08/02/2024 | — | (1) | ||
USD | 14,037 | SEK | 150,000 | 07/02/2024 | 115 | — | ||
308,713 | (33,041) | |||||||
Goldman Sachs International | AUD | 88,000 | USD | 58,600 | 08/02/2024 | — | (154) | |
BRL | 210,000 | USD | 38,320 | 07/02/2024 | 754 | — | ||
CAD | 20,000 | USD | 14,611 | 07/02/2024 | — | (8) | ||
CLP | 92,690,000 | USD | 99,972 | 07/02/2024 | 1,475 | — | ||
CNH | 741,000 | USD | 101,539 | 07/02/2024 | 38 | — | ||
CZK | 400,000 | USD | 17,516 | 07/02/2024 | 416 | — | ||
EUR | 27,000 | USD | 28,914 | 07/02/2024 | — | (2) | ||
GBP | 23,000 | USD | 29,212 | 07/02/2024 | 138 | — | ||
HUF | 2,900,000 | USD | 8,064 | 07/02/2024 | 201 | — | ||
ILS | 50,000 | USD | 13,585 | 07/02/2024 | 347 | — | ||
JPY | 16,900,000 | USD | 107,823 | 07/02/2024 | 2,782 | — | ||
JPY | 7,000,000 | USD | 43,863 | 08/02/2024 | 150 | — | ||
KRW | 529,594,000 | USD | 384,128 | 07/02/2024 | — | (611) | ||
KRW | 10,944,000 | USD | 7,879 | 08/02/2024 | — | (64) | ||
MXN | 2,050,000 | USD | 115,840 | 07/02/2024 | 3,787 | — | ||
NOK | 912,000 | USD | 85,548 | 07/02/2024 | 131 | — | ||
NZD | 50,000 | USD | 30,585 | 07/02/2024 | 130 | — | ||
SEK | 1,280,000 | USD | 121,909 | 07/02/2024 | 1,143 | — | ||
TWD | 925,000 | USD | 28,688 | 07/02/2024 | 175 | — | ||
TWD | 1,390,000 | USD | 42,798 | 08/02/2024 | 9 | — | ||
USD | 29,906 | AUD | 45,000 | 07/02/2024 | 113 | — | ||
USD | 39,708 | BRL | 210,000 | 07/02/2024 | — | (2,142) | ||
USD | 29,063 | CAD | 40,000 | 07/02/2024 | 176 | — | ||
USD | 27,667 | CHF | 25,000 | 07/02/2024 | 159 | — | ||
USD | 101,002 | CLP | 92,690,000 | 07/02/2024 | — | (2,506) | ||
USD | 102,148 | CNH | 741,000 | 07/02/2024 | — | (647) | ||
USD | 101,766 | CNH | 741,000 | 08/02/2024 | — | (10) | ||
USD | 22,930 | CZK | 520,000 | 07/02/2024 | — | (700) |
Forward Foreign Currency Contracts — (continued) | ||||||||
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized (Depreciation) | |||
USD | 88,005 | JPY | 13,900,000 | 07/02/2024 | $ — | $ (1,611) | ||
USD | 386,276 | KRW | 529,594,000 | 07/02/2024 | — | (1,537) | ||
USD | 190,031 | KRW | 263,970,000 | 08/02/2024 | 1,550 | — | ||
USD | 329,242 | MXN | 6,022,000 | 07/02/2024 | — | (81) | ||
USD | 65,357 | NOK | 690,000 | 07/02/2024 | — | (732) | ||
USD | 27,914 | NZD | 45,000 | 07/02/2024 | — | (504) | ||
USD | 190,082 | SEK | 1,998,000 | 07/02/2024 | — | (1,574) | ||
USD | 14,810 | SGD | 20,000 | 07/02/2024 | — | (61) | ||
USD | 28,478 | TWD | 925,000 | 07/02/2024 | 35 | — | ||
USD | 33,743 | ZAR | 640,000 | 07/02/2024 | 1,434 | — | ||
ZAR | 160,000 | USD | 8,886 | 07/02/2024 | 92 | — | ||
15,235 | (12,944) | |||||||
HSBC Bank PLC | CAD | 160,000 | USD | 116,383 | 07/02/2024 | — | (572) | |
CZK | 10,000 | USD | 432 | 08/02/2024 | 4 | — | ||
EUR | 180,000 | USD | 193,086 | 08/02/2024 | 34 | — | ||
MYR | 192,000 | USD | 40,851 | 07/02/2024 | 152 | — | ||
USD | 44,884 | CHF | 40,000 | 07/02/2024 | — | (362) | ||
USD | 432 | CZK | 10,000 | 07/02/2024 | — | (4) | ||
USD | 116,631 | JPY | 18,200,000 | 07/02/2024 | — | (3,511) | ||
USD | 159,909 | MXN | 2,990,000 | 07/02/2024 | 3,524 | — | ||
USD | 43,316 | SEK | 450,000 | 07/02/2024 | — | (859) | ||
ZAR | 650,000 | USD | 34,376 | 07/02/2024 | — | (1,351) | ||
3,714 | (6,659) | |||||||
JPMorgan Chase Bank, N.A. | AUD | 34,000 | USD | 22,654 | 07/02/2024 | — | (27) | |
AUD | 85,000 | USD | 56,762 | 08/02/2024 | 10 | — | ||
CAD | 40,000 | USD | 29,296 | 08/02/2024 | 37 | — | ||
CHF | 144,000 | USD | 161,027 | 07/02/2024 | 751 | — | ||
CNH | 1,746,000 | USD | 240,716 | 07/02/2024 | 1,551 | — | ||
CNH | 707,000 | USD | 97,092 | 08/02/2024 | 5 | — | ||
CNH | 207,000 | USD | 29,294 | 05/22/2025 | 269 | — | ||
EUR | 132,000 | USD | 142,842 | 07/02/2024 | 1,476 | — | ||
EUR | 52,000 | USD | 55,835 | 08/02/2024 | 64 | — | ||
HKD | 655,000 | USD | 84,309 | 04/17/2025 | — | (67) | ||
JPY | 29,200,000 | USD | 186,781 | 07/02/2024 | 5,291 | — | ||
MXN | 510,000 | USD | 28,555 | 07/02/2024 | 679 | — | ||
NOK | 610,000 | USD | 57,370 | 07/02/2024 | 238 | — | ||
NZD | 25,000 | USD | 15,465 | 07/02/2024 | 237 | — | ||
SEK | 1,290,000 | USD | 123,043 | 07/02/2024 | 1,333 | — | ||
SGD | 397,000 | USD | 293,489 | 08/02/2024 | 284 | — | ||
USD | 112,688 | AUD | 170,000 | 07/02/2024 | 719 | — | ||
USD | 56,382 | AUD | 85,000 | 08/02/2024 | 370 | — | ||
USD | 55,888 | CHF | 50,000 | 07/02/2024 | — | (236) | ||
USD | 72,817 | CHF | 65,000 | 08/02/2024 | — | (200) | ||
USD | 240,213 | CNH | 1,746,000 | 07/02/2024 | — | (1,048) | ||
USD | 28,721 | CNH | 207,000 | 08/29/2024 | — | (247) | ||
USD | 31,184 | CZK | 710,000 | 07/02/2024 | — | (831) | ||
USD | 119,747 | EUR | 110,000 | 07/02/2024 | — | (1,942) | ||
USD | 14,082 | GBP | 11,000 | 07/02/2024 | — | (177) | ||
USD | 171,614 | JPY | 26,850,000 | 07/02/2024 | — | (4,729) | ||
USD | 28,726 | JPY | 4,600,000 | 08/02/2024 | — | — | ||
USD | 61,433 | MXN | 1,050,000 | 07/02/2024 | — | (4,040) | ||
USD | 72,286 | NOK | 760,000 | 07/02/2024 | — | (1,105) | ||
USD | 15,403 | NZD | 25,000 | 07/02/2024 | — | (175) | ||
USD | 85,103 | SEK | 900,000 | 07/02/2024 | — | (189) | ||
USD | 28,441 | SEK | 300,000 | 08/02/2024 | — | (93) | ||
USD | 293,071 | SGD | 397,000 | 07/02/2024 | — | (298) | ||
13,314 | (15,404) | |||||||
Morgan Stanley & Co. International PLC | AUD | 150,000 | USD | 99,759 | 07/02/2024 | — | (306) | |
AUD | 45,000 | USD | 30,063 | 08/02/2024 | 18 | — | ||
CAD | 20,000 | USD | 14,607 | 07/02/2024 | — | (12) | ||
CAD | 2,065,000 | USD | 1,509,867 | 08/02/2024 | — | (652) |
Forward Foreign Currency Contracts — (continued) | ||||||||
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized (Depreciation) | |||
CHF | 290,000 | USD | 323,770 | 07/02/2024 | $ 992 | $ — | ||
CNH | 194,000 | USD | 26,585 | 07/02/2024 | 11 | — | ||
CZK | 910,000 | USD | 39,918 | 07/02/2024 | 1,015 | — | ||
CZK | 270,000 | USD | 11,663 | 08/02/2024 | 114 | — | ||
EUR | 83,000 | USD | 89,026 | 07/02/2024 | 137 | — | ||
GBP | 33,000 | USD | 41,908 | 07/02/2024 | 193 | — | ||
HKD | 1,110,000 | USD | 143,097 | 05/12/2025 | 58 | — | ||
HUF | 10,400,000 | USD | 28,777 | 07/02/2024 | 578 | — | ||
ILS | 120,000 | USD | 32,537 | 07/02/2024 | 767 | — | ||
JPY | 53,155,000 | USD | 335,420 | 07/02/2024 | 5,039 | — | ||
JPY | 543,907,000 | USD | 3,404,771 | 08/02/2024 | 8,190 | — | ||
MXN | 490,000 | USD | 27,781 | 07/02/2024 | 997 | — | ||
NOK | 542,000 | USD | 51,757 | 07/02/2024 | 993 | — | ||
NZD | 303,000 | USD | 184,549 | 07/02/2024 | — | (9) | ||
NZD | 653,000 | USD | 396,959 | 08/02/2024 | — | (787) | ||
SEK | 300,000 | USD | 28,750 | 07/02/2024 | 446 | — | ||
SGD | 86,000 | USD | 63,818 | 07/02/2024 | 396 | — | ||
THB | 520,000 | USD | 14,185 | 07/02/2024 | 15 | — | ||
USD | 29,868 | AUD | 45,000 | 07/02/2024 | 152 | — | ||
USD | 1,538,060 | CAD | 2,105,000 | 07/02/2024 | 626 | — | ||
USD | 66,845 | CHF | 60,000 | 07/02/2024 | — | (64) | ||
USD | 26,740 | CNH | 194,000 | 07/02/2024 | — | (166) | ||
USD | 26,640 | CNH | 194,000 | 08/02/2024 | — | — | ||
USD | 120,750 | EUR | 111,000 | 07/02/2024 | — | (1,874) | ||
USD | 56,298 | GBP | 44,000 | 07/02/2024 | — | (678) | ||
USD | 5,835 | HUF | 2,100,000 | 07/02/2024 | — | (141) | ||
USD | 40,503 | ILS | 150,000 | 07/02/2024 | — | (791) | ||
USD | 3,453,296 | JPY | 554,007,000 | 07/02/2024 | — | (9,906) | ||
USD | 236,260 | JPY | 37,755,000 | 08/02/2024 | — | (488) | ||
USD | 88,730 | MXN | 1,580,000 | 07/02/2024 | — | (2,367) | ||
USD | 14,078 | MXN | 260,000 | 08/02/2024 | 66 | — | ||
USD | 51,102 | NOK | 540,000 | 07/02/2024 | — | (526) | ||
USD | 412,306 | NZD | 678,000 | 07/02/2024 | 664 | — | ||
USD | 138,601 | NZD | 228,000 | 08/02/2024 | 275 | — | ||
USD | 36,913 | PLN | 145,000 | 07/02/2024 | — | (894) | ||
USD | 14,350 | SEK | 150,000 | 07/02/2024 | — | (198) | ||
USD | 29,748 | SGD | 40,000 | 07/02/2024 | — | (250) | ||
ZAR | 432,000 | USD | 23,426 | 07/02/2024 | — | (318) | ||
21,742 | (20,427) | |||||||
Natwest Markets PLC | CHF | 15,000 | USD | 16,918 | 07/02/2024 | 222 | — | |
NOK | 460,000 | USD | 43,061 | 07/02/2024 | — | (22) | ||
222 | (22) | |||||||
Royal Bank of Canada | CAD | 2,465,000 | USD | 1,808,040 | 07/02/2024 | 6,206 | — | |
CNH | 583,000 | USD | 80,379 | 07/02/2024 | 520 | — | ||
CNH | 583,000 | USD | 80,067 | 08/02/2024 | 8 | — | ||
EUR | 224,000 | USD | 242,179 | 07/02/2024 | 2,286 | — | ||
GBP | 56,000 | USD | 71,498 | 07/02/2024 | 709 | — | ||
PLN | 45,000 | USD | 11,216 | 08/02/2024 | 42 | — | ||
SEK | 380,000 | USD | 36,103 | 07/02/2024 | 250 | — | ||
USD | 131,285 | CAD | 180,000 | 07/02/2024 | 289 | — | ||
USD | 79,892 | CNH | 583,000 | 07/02/2024 | — | (33) | ||
USD | 43,099 | CZK | 980,000 | 07/02/2024 | — | (1,203) | ||
USD | 71,658 | EUR | 66,000 | 07/02/2024 | — | (976) | ||
USD | 56,226 | GBP | 44,000 | 07/02/2024 | — | (605) | ||
USD | 56,817 | NOK | 600,000 | 07/02/2024 | — | (622) | ||
USD | 23,709 | PLN | 95,000 | 07/02/2024 | — | (110) | ||
10,310 | (3,549) | |||||||
Societe Generale | CAD | 20,000 | USD | 14,665 | 07/02/2024 | 46 | — | |
CHF | 50,000 | USD | 56,204 | 07/02/2024 | 552 | — | ||
CNH | 174,000 | USD | 23,846 | 07/02/2024 | 12 | — | ||
EUR | 26,000 | USD | 28,337 | 07/02/2024 | 492 | — |
Forward Foreign Currency Contracts — (continued) | ||||||||
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized (Depreciation) | |||
MXN | 260,000 | USD | 14,328 | 07/02/2024 | $ 117 | $ — | ||
USD | 106,171 | CHF | 95,000 | 07/02/2024 | — | (433) | ||
USD | 23,987 | CNH | 174,000 | 07/02/2024 | — | (152) | ||
USD | 23,899 | CNH | 174,000 | 08/02/2024 | — | (5) | ||
USD | 28,161 | EUR | 26,000 | 07/02/2024 | — | (316) | ||
USD | 13,995 | GBP | 11,000 | 07/02/2024 | — | (90) | ||
USD | 6,811 | MXN | 120,000 | 07/02/2024 | — | (252) | ||
USD | 14,086 | NOK | 150,000 | 07/02/2024 | — | (38) | ||
1,219 | (1,286) | |||||||
Standard Chartered Bank | CNH | 91,000 | USD | 12,545 | 07/02/2024 | 80 | — | |
CNH | 91,000 | USD | 12,498 | 08/02/2024 | 2 | — | ||
HKD | 900,000 | USD | 116,062 | 06/18/2025 | 25 | — | ||
MYR | 645,000 | USD | 137,511 | 08/02/2024 | 728 | — | ||
USD | 12,470 | CNH | 91,000 | 07/02/2024 | — | (5) | ||
USD | 137,219 | MYR | 645,000 | 07/02/2024 | — | (494) | ||
835 | (499) | |||||||
State Street Bank & Trust Company | AUD | 65,000 | USD | 43,265 | 07/02/2024 | — | (96) | |
AUD | 125,000 | USD | 83,423 | 08/02/2024 | — | (35) | ||
CAD | 100,000 | USD | 73,147 | 07/02/2024 | 50 | — | ||
CHF | 120,000 | USD | 134,236 | 07/02/2024 | 672 | — | ||
CNY | 180,000 | USD | 24,814 | 07/02/2024 | 41 | — | ||
CNY | 180,000 | USD | 24,721 | 08/02/2024 | — | (500) | ||
EUR | 334,000 | USD | 361,626 | 07/02/2024 | 3,929 | — | ||
EUR | 14,000 | USD | 14,973 | 08/02/2024 | — | (43) | ||
GBP | 34,000 | USD | 43,325 | 07/02/2024 | 346 | — | ||
JPY | 24,100,000 | USD | 153,976 | 07/02/2024 | 4,184 | — | ||
MXN | 1,516,000 | USD | 83,932 | 07/02/2024 | 1,068 | — | ||
NOK | 300,000 | USD | 28,338 | 07/02/2024 | 241 | — | ||
NZD | 75,000 | USD | 46,108 | 07/02/2024 | 426 | — | ||
PLN | 100,000 | USD | 25,057 | 07/02/2024 | 217 | — | ||
SEK | 300,000 | USD | 28,527 | 07/02/2024 | 222 | — | ||
USD | 109,520 | AUD | 165,000 | 07/02/2024 | 552 | — | ||
USD | 30,029 | AUD | 45,000 | 08/02/2024 | 15 | — | ||
USD | 43,823 | CAD | 60,000 | 07/02/2024 | 35 | — | ||
USD | 14,629 | CAD | 20,000 | 08/02/2024 | 1 | — | ||
USD | 72,801 | CHF | 65,000 | 07/02/2024 | — | (454) | ||
USD | 127,695 | EUR | 118,000 | 07/02/2024 | — | (1,323) | ||
USD | 77,908 | GBP | 61,000 | 07/02/2024 | — | (798) | ||
USD | 85,943 | JPY | 13,500,000 | 07/02/2024 | — | (2,035) | ||
USD | 52,391 | MXN | 942,000 | 07/02/2024 | — | (901) | ||
USD | 14,026 | NOK | 150,000 | 07/02/2024 | 23 | — | ||
USD | 119,392 | NZD | 195,000 | 07/02/2024 | — | (617) | ||
USD | 14,237 | SEK | 150,000 | 07/02/2024 | — | (85) | ||
ZAR | 640,000 | USD | 34,709 | 07/02/2024 | — | (468) | ||
12,022 | (7,355) | |||||||
Toronto Dominion Bank | AUD | 278,000 | USD | 184,759 | 07/02/2024 | — | (695) | |
AUD | 755,000 | USD | 502,202 | 08/02/2024 | — | (1,884) | ||
CAD | 20,000 | USD | 14,600 | 07/02/2024 | — | (20) | ||
CHF | 30,000 | USD | 33,943 | 07/02/2024 | 552 | — | ||
EUR | 52,000 | USD | 56,364 | 07/02/2024 | 675 | — | ||
EUR | 13,000 | USD | 13,940 | 08/02/2024 | — | (3) | ||
GBP | 2,707,000 | USD | 3,444,046 | 07/02/2024 | 22,128 | — | ||
USD | 501,773 | AUD | 755,000 | 07/02/2024 | 1,887 | — | ||
USD | 184,917 | AUD | 278,000 | 08/02/2024 | 694 | — | ||
USD | 29,277 | CAD | 40,000 | 07/02/2024 | — | (38) | ||
USD | 14,627 | CAD | 20,000 | 08/02/2024 | 3 | — | ||
USD | 13,971 | EUR | 13,000 | 07/02/2024 | — | (49) | ||
USD | 44,530 | GBP | 35,000 | 07/02/2024 | — | (286) | ||
USD | 14,660 | JPY | 2,300,000 | 07/02/2024 | — | (364) | ||
25,939 | (3,339) |
Forward Foreign Currency Contracts — (continued) | ||||||||
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized (Depreciation) | |||
UBS AG | AUD | 165,000 | USD | 110,012 | 07/02/2024 | $ — | $ (60) | |
CAD | 20,000 | USD | 14,601 | 07/02/2024 | — | (18) | ||
CAD | 40,000 | USD | 29,293 | 08/02/2024 | 34 | — | ||
CHF | 287,000 | USD | 321,223 | 08/02/2024 | 592 | — | ||
CNH | 97,000 | USD | 13,390 | 07/02/2024 | 103 | — | ||
CNH | 97,000 | USD | 13,322 | 08/02/2024 | 1 | — | ||
DKK | 628,000 | USD | 91,736 | 07/02/2024 | 1,557 | — | ||
GBP | 122,000 | USD | 154,855 | 07/02/2024 | 634 | — | ||
GBP | 2,576,000 | USD | 3,270,263 | 08/02/2024 | 13,350 | — | ||
HKD | 1,115,000 | USD | 143,754 | 05/12/2025 | 71 | — | ||
JPY | 2,400,000 | USD | 15,371 | 07/02/2024 | 454 | — | ||
MXN | 10,470,000 | USD | 615,497 | 07/02/2024 | 43,210 | — | ||
MXN | 14,934,000 | USD | 816,164 | 08/02/2024 | 3,734 | — | ||
NOK | 1,815,000 | USD | 171,761 | 07/02/2024 | 1,770 | — | ||
NOK | 2,710,000 | USD | 256,660 | 08/02/2024 | 2,640 | — | ||
NZD | 653,000 | USD | 401,987 | 07/02/2024 | 4,245 | — | ||
PLN | 105,000 | USD | 26,455 | 07/02/2024 | 373 | — | ||
PLN | 501,000 | USD | 125,274 | 08/02/2024 | 863 | — | ||
SEK | 2,504,000 | USD | 239,622 | 08/02/2024 | 3,009 | — | ||
SGD | 325,000 | USD | 241,021 | 07/02/2024 | 1,345 | — | ||
THB | 1,050,000 | USD | 28,679 | 07/02/2024 | 67 | — | ||
USD | 87,243 | CAD | 120,000 | 07/02/2024 | 473 | — | ||
USD | 568,336 | CHF | 511,000 | 07/02/2024 | 421 | — | ||
USD | 13,293 | CNH | 97,000 | 07/02/2024 | — | (6) | ||
USD | 5,678 | CZK | 130,000 | 07/02/2024 | — | (121) | ||
USD | 12,032 | CZK | 280,000 | 08/02/2024 | — | (55) | ||
USD | 86,036 | EUR | 79,000 | 07/02/2024 | — | (1,431) | ||
USD | 3,288,890 | GBP | 2,591,000 | 07/02/2024 | — | (13,608) | ||
USD | 213,017 | GBP | 168,000 | 08/02/2024 | — | (610) | ||
USD | 549 | HUF | 200,000 | 07/02/2024 | — | (7) | ||
USD | 14,260 | JPY | 2,200,000 | 07/02/2024 | — | (586) | ||
USD | 902,698 | MXN | 16,337,000 | 07/02/2024 | — | (9,722) | ||
USD | 86,351 | MXN | 1,578,000 | 08/02/2024 | — | (506) | ||
USD | 264,076 | NOK | 2,790,000 | 07/02/2024 | — | (2,767) | ||
USD | 171,896 | NOK | 1,815,000 | 08/02/2024 | — | (1,768) | ||
USD | 121,889 | NZD | 198,000 | 07/02/2024 | — | (1,287) | ||
USD | 125,313 | PLN | 501,000 | 07/02/2024 | — | (861) | ||
USD | 282,458 | SEK | 2,954,000 | 07/02/2024 | — | (3,752) | ||
USD | 70,649 | THB | 2,590,000 | 07/02/2024 | — | (72) | ||
USD | 72,825 | ZAR | 1,322,000 | 07/02/2024 | — | (163) | ||
ZAR | 1,322,000 | USD | 72,656 | 08/02/2024 | 161 | — | ||
79,107 | (37,400) | |||||||
Westpac Banking Corp. | AUD | 45,000 | USD | 30,017 | 07/02/2024 | — | (2) | |
GBP | 11,000 | USD | 14,070 | 07/02/2024 | 165 | — | ||
NZD | 50,000 | USD | 30,850 | 07/02/2024 | 395 | — | ||
USD | 13,291 | AUD | 20,000 | 07/02/2024 | 51 | — | ||
USD | 42,976 | NZD | 70,000 | 07/02/2024 | — | (339) | ||
611 | (341) | |||||||
Unrealized Appreciation (Depreciation) | $721,870 | $(227,263) |
AUD—Australian Dollar |
BRL—Brazilian Real |
CAD—Canadian Dollar |
CHF—Swiss Franc |
CLP—Chilean Peso |
CNH—Yuan Renminbi Offshore |
CNY—Chinese Yuan |
COP—Columbian Peso |
CZK—Czech Koruna |
DKK—Danish Krone |
EUR—Euro Currency |
GBP—British Pound |
HKD—Hong Kong Dollar |
HUF—Hungarian Forint |
ILS—Israeli New Sheqel |
JPY—Japanese Yen |
KRW—South Korean Won |
MXN—Mexican Peso |
MYR—Malaysian Ringgit |
NOK—Norwegian Krone |
NZD—New Zealand Dollar |
PLN—Polish Zloty |
SEK—Swedish Krona |
SGD—Singapore Dollar |
THB—Thailand Baht |
TWD—New Taiwan Dollar |
USD—United States Dollar |
ZAR—South African Rand |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks | $110,155,296 | $— | $— | $110,155,296 | |||
Corporate Bonds & Notes | — | 3,016,107 | — | 3,016,107 | |||
U.S. Government & Agency Obligations | — | 22,362,553 | — | 22,362,553 | |||
Foreign Government Obligations | — | 26,696,146 | — | 26,696,146 | |||
Short-Term Investments | — | 4,141,333 | — | 4,141,333 | |||
Repurchase Agreements | — | 2,380,000 | — | 2,380,000 | |||
Total Investments at Value | $110,155,296 | $58,596,139 | $— | $168,751,435 | |||
Other Financial Instruments:† | |||||||
Futures Contracts | $65,005 | $— | $— | $65,005 | |||
Forward Foreign Currency Contracts | — | 721,870 | — | 721,870 | |||
Total Other Financial Instruments | $65,005 | $721,870 | $— | $786,875 | |||
LIABILITIES: | |||||||
Other Financial Instruments:† | |||||||
Futures Contracts | $31,633 | $— | $— | $31,633 | |||
Forward Foreign Currency Contracts | — | 227,263 | — | 227,263 | |||
Total Other Financial Instruments | $31,633 | $227,263 | $— | $258,896 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
SA Wellington Capital Appreciation | SA Wellington Government and Quality Bond | SA Wellington Strategic Multi-Asset | |||
ASSETS: | |||||
Investments at value (unaffiliated)* | $2,185,459,475 | $1,197,070,685 | $166,371,435 | ||
Repurchase agreements (cost approximates value) | 15,415,000 | 26,715,000 | 2,380,000 | ||
Cash | 1,304 | — | 3,461 | ||
Foreign cash* | 22 | 5 | 187,103 | ||
Receivable for variation margin on futures contracts | — | 25,726 | 4,050 | ||
Receivable for: | |||||
Fund shares sold | 11,475 | 4,580,496 | — | ||
Dividends and interest | 105,230 | 9,748,149 | 543,054 | ||
Investments sold | — | 22,510,263 | 1,089,643 | ||
Prepaid expenses and other assets | 10,923 | 4,738 | 4,170 | ||
Due from investment adviser for expense reimbursements/fee waivers | — | — | 55,878 | ||
Unrealized appreciation on forward foreign currency contracts | — | — | 721,870 | ||
Total assets | 2,201,003,429 | 1,260,655,062 | 171,360,664 | ||
LIABILITIES: | |||||
Payable for: | |||||
Fund shares redeemed | 44,966,213 | 501,195 | 664,911 | ||
Investments purchased | — | 44,316,858 | 1,871,080 | ||
Investment advisory and management fees | 1,248,631 | 538,907 | 138,253 | ||
Service fees—Class 2 | 6,287 | 1,665 | — | ||
Service fees—Class 3 | 297,530 | 110,224 | 31,952 | ||
Transfer agent fees | 793 | 907 | 291 | ||
Trustees' fees and expenses | — | — | 306 | ||
Other accrued expenses | 287,164 | 280,714 | 83,416 | ||
Due to custodian | — | 13,981 | — | ||
Unrealized depreciation on forward foreign currency contracts | — | — | 227,263 | ||
Payable for collateral on TBA commitments | — | 290,000 | — | ||
Total liabilities | 46,806,618 | 46,054,451 | 3,017,472 | ||
Commitments and contingent liabilities (Note 5) | |||||
Net assets | $2,154,196,811 | $1,214,600,611 | $168,343,192 | ||
NET ASSETS REPRESENTED BY: | |||||
Paid in capital | $1,740,754,453 | $1,406,571,003 | $156,556,881 | ||
Total accumulated earnings (loss) | 413,442,358 | (191,970,392) | 11,786,311 | ||
Net assets | $2,154,196,811 | $1,214,600,611 | $168,343,192 | ||
Class 1 (unlimited shares authorized): | |||||
Net assets | $675,592,930 | $662,965,952 | $12,762,789 | ||
Shares of beneficial interest issued and outstanding | 16,616,252 | 50,544,523 | 1,396,535 | ||
Net asset value, offering and redemption price per share | $40.66 | $13.12 | $9.14 | ||
Class 2 (unlimited shares authorized): | |||||
Net assets | $50,939,180 | $13,480,165 | $— | ||
Shares of beneficial interest issued and outstanding | 1,452,036 | 1,023,659 | — | ||
Net asset value, offering and redemption price per share | $35.08 | $13.17 | $— | ||
Class 3 (unlimited shares authorized): | |||||
Net assets | $1,427,664,701 | $538,154,494 | $155,580,403 | ||
Shares of beneficial interest issued and outstanding | 45,260,043 | 41,147,694 | 17,194,511 | ||
Net asset value, offering and redemption price per share | $31.54 | $13.08 | $9.05 | ||
* Cost | |||||
Investments (unaffiliated) | $1,532,381,593 | $1,247,613,025 | $141,971,735 | ||
Foreign cash | $22 | $5 | $188,775 |
SA Wellington Capital Appreciation | SA Wellington Government and Quality Bond | SA Wellington Strategic Multi-Asset | |||
INVESTMENT INCOME: | |||||
Dividends (unaffiliated) | $2,550,054 | $— | $897,218 | ||
Interest (unaffiliated) | 608,898 | 27,130,373 | 1,010,809 | ||
Total investment income* | 3,158,952 | 27,130,373 | 1,908,027 | ||
EXPENSES: | |||||
Investment advisory and management fees | 7,194,904 | 3,305,716 | 816,272 | ||
Service Fees: | |||||
Class 2 | 36,796 | 10,081 | — | ||
Class 3 | 1,715,314 | 665,798 | 188,562 | ||
Transfer agent fees and expenses | 1,834 | 1,812 | 593 | ||
Custodian and accounting fees | 87,665 | 122,741 | 58,000 | ||
Reports to shareholders | 44,278 | 35,456 | 5,898 | ||
Audit and tax fees | 20,921 | 28,815 | 31,047 | ||
Legal fees | 11,810 | 9,881 | 7,344 | ||
Trustees' fees and expenses | 24,062 | 16,580 | 2,153 | ||
Interest expense | 8,169 | 265 | 104 | ||
License fee | — | 3,796 | 43,249 | ||
Other expenses | 32,594 | 26,528 | 25,967 | ||
Total expenses before fee waivers, expense reimbursements, expense recoupments and fees paid indirectly | 9,178,347 | 4,227,469 | 1,179,189 | ||
Net (fees waived and expenses reimbursed)/ recouped by investment advisor (Note 5) | — | — | (328,579) | ||
Fees paid indirectly (Note 2) | (10,844) | — | (4) | ||
Net expenses | 9,167,503 | 4,227,469 | 850,606 | ||
Net investment income (loss) | (6,008,551) | 22,902,904 | 1,057,421 | ||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCIES: | |||||
Net realized gain (loss) on: | |||||
Investments (unaffiliated)** | 151,775,342 | (10,884,807) | 2,633,017 | ||
Futures contracts | — | 123,702 | 42,931 | ||
Forward contracts | — | — | 724,679 | ||
Net realized foreign exchange gain (loss) on other assets and liabilities | — | — | (25,522) | ||
Net realized gain (loss) on investments and foreign currencies | 151,775,342 | (10,761,105) | 3,375,105 | ||
Change in unrealized appreciation (depreciation) on: | |||||
Investments (unaffiliated) | 345,061,340 | (19,910,944) | 8,048,891 | ||
Futures contracts | — | (235,243) | 123,596 | ||
Forward contracts | — | — | 870,177 | ||
Change in unrealized foreign exchange gain (loss) on other assets and liabilities | (85) | — | (18,495) | ||
Net unrealized gain (loss) on investments and foreign currencies | 345,061,255 | (20,146,187) | 9,024,169 | ||
Net realized and unrealized gain (loss) on investments and foreign currencies | 496,836,597 | (30,907,292) | 12,399,274 | ||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $490,828,046 | $(8,004,388) | $13,456,695 | ||
* Net of foreign withholding taxes on interest and dividends of | $— | $— | $51,367 | ||
** Net of foreign withholding taxes on capital gains of | $— | $— | $(154) |
SA Wellington Capital Appreciation | SA Wellington Government and Quality Bond | SA Wellington Strategic Multi-Asset | |||||||||
For the Six Months Ended June 30, 2024 (unaudited) | For the Year Ended December 31, 2023 | For the Six Months Ended June 30, 2024 (unaudited) | For the Year Ended December 31, 2023 | For the Six Months Ended June 30, 2024 (unaudited) | For the Year Ended December 31, 2023 | ||||||
INCREASE (DECREASE) IN NET ASSETS | |||||||||||
OPERATIONS: | |||||||||||
Net investment income (loss) | $(6,008,551) | $(9,598,036) | $22,902,904 | $43,882,957 | $1,057,421 | $1,175,351 | |||||
Net realized gain (loss) on investments and foreign currencies | 151,775,342 | (95,764,473) | (10,761,105) | (50,617,435) | 3,375,105 | (7,608,263) | |||||
Net unrealized gain (loss) on investments and foreign currencies | 345,061,255 | 674,064,819 | (20,146,187) | 67,408,930 | 9,024,169 | 27,075,350 | |||||
Net increase (decrease) in net assets resulting from operations | 490,828,046 | 568,702,310 | (8,004,388) | 60,674,452 | 13,456,695 | 20,642,438 | |||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | |||||||||||
Distributable earnings — Class 1 | — | — | — | (16,012,271) | — | (181,569) | |||||
Distributable earnings — Class 2 | — | — | — | (272,581) | — | — | |||||
Distributable earnings — Class 3 | — | — | — | (10,376,948) | — | (1,831,145) | |||||
Total distributions to shareholders | — | — | — | (26,661,800) | — | (2,012,714) | |||||
CAPITAL SHARE TRANSACTIONS (Note 7) | (218,403,858) | (192,968,623) | (59,974,828) | (121,120,587) | (4,876,274) | 1,373,753 | |||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | 272,424,188 | 375,733,687 | (67,979,216) | (87,107,935) | 8,580,421 | 20,003,477 | |||||
NET ASSETS: | |||||||||||
Beginning of period | 1,881,772,623 | 1,506,038,936 | 1,282,579,827 | 1,369,687,762 | 159,762,771 | 139,759,294 | |||||
End of period | $2,154,196,811 | $1,881,772,623 | $1,214,600,611 | $1,282,579,827 | $168,343,192 | $159,762,771 |
Portfolio | Percentage Ownership | Principal Amount | ||
SA Wellington Capital Appreciation Portfolio | 27.54% | $3,300,000 | ||
SA Wellington Government and Quality Bond Portfolio | 47.73 | 5,720,000 | ||
SA Wellington Strategic Multi-Asset Portfolio | 4.21 | 505,000 |
Type of Collateral | Interest Rate | Maturity Date | Principal Amount | Value | ||||
U.S. Treasury Bonds | 3.13% | 02/15/2043 | $14,817,000 | $12,333,226 |
Portfolio | Percentage Ownership | Principal Amount | ||
SA Wellington Capital Appreciation Portfolio | 27.50% | $2,750,000 | ||
SA Wellington Government and Quality Bond Portfolio | 47.70 | 4,770,000 | ||
SA Wellington Strategic Multi-Asset Portfolio | 4.25 | 425,000 |
Type of Collateral | Interest Rate | Maturity Date | Principal Amount | Value | ||||
U.S. Treasury Notes | 2.88% | 05/15/2032 | $11,217,000 | $10,196,092 |
Portfolio | Percentage Ownership | Principal Amount | ||
SA Wellington Capital Appreciation Portfolio | 27.50% | $2,750,000 | ||
SA Wellington Government and Quality Bond Portfolio | 47.70 | 4,770,000 | ||
SA Wellington Strategic Multi-Asset Portfolio | 4.25 | 425,000 |
Type of Collateral | Interest Rate | Maturity Date | Principal Amount | Value | ||||
U.S. Treasury Notes | 2.88% | 08/15/2028 | $10,695,200 | $10,201,004 |
Portfolio | Percentage Ownership | Principal Amount | ||
SA Wellington Capital Appreciation Portfolio | 27.53% | $3,300,000 | ||
SA Wellington Government and Quality Bond Portfolio | 47.73 | 5,720,000 | ||
SA Wellington Strategic Multi-Asset Portfolio | 4.21 | 505,000 |
Type of Collateral | Interest Rate | Maturity Date | Principal Amount | Value | ||||
U.S. Treasury Notes | 4.63% | 04/30/2031 | $12,013,000 | $12,343,847 |
Portfolio | Percentage Ownership | Principal Amount | ||
SA Wellington Capital Appreciation Portfolio | 27.66% | $3,315,000 | ||
SA Wellington Government and Quality Bond Portfolio | 47.85 | 5,735,000 | ||
SA Wellington Strategic Multi-Asset Portfolio | 4.34 | 520,000 |
Type of Collateral | Interest Rate | Maturity Date | Principal Amount | Value | ||||
U.S. Treasury Bills | 5.42% | 09/26/2024 | $12,390,000 | $12,228,063 |
subject to a contractual sale restriction. The amendments in ASU 2022-03 clarify that a contractual restriction on the sale of an equity security is not considered part of the unit of
account of the equity security and, therefore, is not considered in measuring the fair value. The amendments also require additional disclosures for equity securities subject to
contractual sale restrictions that are measured at fair value in accordance with ASU 2022-03. The Rule became effective for fiscal years beginning after December 15, 2023. Adoption of the Rule had no material impact on the Portfolios.
Asset Derivatives | Liability Derivatives | ||||||||||||||||
Futures Contracts(1) | Swap Contracts | Options Purchased(2) | Foreign Forward Exchange Contracts(3) | Futures Contracts(1) | Swap Contracts | Options Written(4) | Foreign Forward Exchange Contracts(5) | ||||||||||
Portfolio | Interest Rate Contracts | ||||||||||||||||
SA Wellington Government and Quality Bond | $48,109 | $— | $— | $— | $— | $— | $— | $— | |||||||||
SA Wellington Strategic Multi-Asset | 65,005 | — | — | — | 31,633 | — | — | — | |||||||||
Foreign Exchange Contracts | |||||||||||||||||
SA Wellington Strategic Multi-Asset | — | — | — | 721,870 | — | — | — | 227,263 |
(1) | Amount represents cumulative appreciation/depreciation on futures as disclosed in the Portfolio of Investments. Only the Variation margin on futures contracts is separately disclosed on the Statements of Assets and Liabilities. |
(2) | Investments at value (unaffiliated) |
(3) | Unrealized appreciation on forward foreign currency contracts |
(4) | Call and put options written, at value |
(5) | Unrealized depreciation on forward foreign currency contracts |
Realized Gain (Loss) on Derivatives Recognized in Statement of Operations | |||||||||||
Futures Contracts(1) | Swap Contracts(2) | Written Options(3) | Purchased Options(4) | Foreign Forward Exchange Contracts(5) | |||||||
Portfolio | Interest Rate Contracts | ||||||||||
SA Wellington Government and Quality Bond | $123,702 | $— | $— | $— | $— | ||||||
SA Wellington Strategic Multi-Asset | 42,931 | — | — | — | — | ||||||
Foreign Forward Exchange Contracts | |||||||||||
SA Wellington Strategic Multi-Asset | — | — | — | — | 724,679 |
(1) | Net realized gain (loss) on futures contracts |
(2) | Net realized gain (loss) on swap contracts |
(3) | Net realized gain (loss) on written options contracts |
(4) | Net realized gain (loss) on investments |
(5) | Net realized gain (loss) on forward contracts |
Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized in Statement of Operations | |||||||||||
Futures Contracts(1) | Swap Contracts(2) | Written Options(3) | Purchased Options(4) | Foreign Forward Exchange Contracts(5) | |||||||
Portfolio | Interest Rate Contracts | ||||||||||
SA Wellington Government and Quality Bond | $(235,243) | $— | $— | $— | $— | ||||||
SA Wellington Strategic Multi-Asset | 123,596 | — | — | — | — | ||||||
Foreign Forward Exchange Contracts | |||||||||||
SA Wellington Strategic Multi-Asset | — | — | — | — | 870,177 |
(1) | Change in unrealized appreciation (depreciation) on futures contracts |
(2) | Change in unrealized appreciation (depreciation) on swap contracts |
(3) | Change in unrealized appreciation (depreciation) on written options contracts |
(4) | Change in unrealized appreciation (depreciation) on investments |
(5) | Change in unrealized appreciation (depreciation) on forward contracts |
Average Amount Outstanding During the Period | ||||
Portfolio | Futures Contracts(1) | Foreign Forward Exchange Contracts(1) | ||
SA Wellington Government and Quality Bond | $2,716,852 | $— | ||
SA Wellington Strategic Multi-Asset | 13,196,163 | 113,819,022 |
(1) | Amounts represent notional amounts in US dollars. |
Objectives for Using Derivatives | ||||
Portfolio | Futures Contracts | Foreign Forward Exchange Contracts | ||
SA Wellington Government and Quality Bond | 1 | - | ||
SA Wellington Strategic Multi-Asset | 1, 2 | 2 |
(1) | To manage interest rate risk and the duration of the portfolio. |
(2) | To manage foreign currency exchange rate risk. |
SA Wellington Strategic Multi-Asset Portfolio | ||||||||||||||||||||||
Derivative Assets(1) | Derivative Liabilities(1) | |||||||||||||||||||||
Counterparty | Forward Foreign Currency Contracts | OTC Swaps | Options Purchased | Total | Forward Foreign Currency Contracts | OTC Swaps | Options Written | Total | Net Derivative Assets (Liabilities) | Collateral Pledged/ (Received)(2) | Net Amount(3) | |||||||||||
Bank of America, N.A. | $9,912 | $— | $— | $9,912 | $5,537 | $— | $— | $5,537 | $4,375 | $— | $4,375 | |||||||||||
Barclays Bank PLC | 53,499 | — | — | 53,499 | 24,899 | — | — | 24,899 | 28,600 | — | 28,600 | |||||||||||
BNP Paribas SA | 136,432 | — | — | 136,432 | 38,952 | — | — | 38,952 | 97,480 | — | 97,480 | |||||||||||
Citibank, N.A. | 27,201 | — | — | 27,201 | 15,575 | — | — | 15,575 | 11,626 | — | 11,626 | |||||||||||
Commonwealth Bank of Australia Sydney | 45 | — | — | 45 | — | — | — | — | 45 | — | 45 | |||||||||||
Credit Agricole SA | 1,798 | — | — | 1,798 | 34 | — | — | 34 | 1,764 | — | 1,764 | |||||||||||
Deutsche Bank AG | 308,713 | — | — | 308,713 | 33,041 | — | — | 33,041 | 275,672 | — | 275,672 | |||||||||||
Goldman Sachs International | 15,235 | — | — | 15,235 | 12,944 | — | — | 12,944 | 2,291 | — | 2,291 | |||||||||||
HSBC Bank PLC | 3,714 | — | — | 3,714 | 6,659 | — | — | 6,659 | (2,945) | — | (2,945) | |||||||||||
JPMorgan Chase Bank, N.A. | 13,314 | — | — | 13,314 | 15,404 | — | — | 15,404 | (2,090) | — | (2,090) | |||||||||||
Morgan Stanley & Co. International PLC | 21,742 | — | — | 21,742 | 20,427 | — | — | 20,427 | 1,315 | — | 1,315 | |||||||||||
Natwest Markets PLC | 222 | — | — | 222 | 22 | — | — | 22 | 200 | — | 200 | |||||||||||
Royal Bank of Canada | 10,310 | — | — | 10,310 | 3,549 | — | — | 3,549 | 6,761 | — | 6,761 | |||||||||||
Societe Generale | 1,219 | — | — | 1,219 | 1,286 | — | — | 1,286 | (67) | — | (67) | |||||||||||
Standard Chartered Bank | 835 | — | — | 835 | 499 | — | — | 499 | 336 | — | 336 | |||||||||||
State Street Bank & Trust Company | 12,022 | — | — | 12,022 | 7,355 | — | — | 7,355 | 4,667 | — | 4,667 | |||||||||||
Toronto Dominion Bank | 25,939 | — | — | 25,939 | 3,339 | — | — | 3,339 | 22,600 | — | 22,600 | |||||||||||
UBS AG | 79,107 | — | — | 79,107 | 37,400 | — | — | 37,400 | 41,707 | — | 41,707 | |||||||||||
Westpac Banking Corp. | 611 | — | — | 611 | 341 | — | — | 341 | 270 | — | 270 | |||||||||||
Total | $721,870 | $— | $— | $721,870 | $227,263 | $— | $— | $227,263 | $494,607 | $— | $494,607 |
(1) | Gross amounts of recognized assets and liabilities not offset in the Statement of Assets and Liabilities. |
(2) | For each respective counterparty, collateral pledged or (received) is limited to an amount not to exceed 100% of the derivative asset/liability in the table above. |
(3) | Net amount represents the net amount due (to)/from counterparty in the event of a default based on the contractual set-off rights under the agreement. |
Distributable Earnings | Tax Distributions | |||||||||
For the year ended December 31, 2023 | ||||||||||
Portfolio | Ordinary Income | Long-term Gains/Capital Loss Carryover | Unrealized Appreciation (Depreciation)* | Ordinary Income | Long-Term Capital Gains | |||||
SA Wellington Capital Appreciation | $— | $(377,089,557) | $299,703,871 | $— | $— | |||||
SA Wellington Government and Quality Bond | 40,500,991 | (190,826,075) | (33,168,527) | 26,661,800 | — | |||||
SA Wellington Strategic Multi-Asset | 1,811,627 | (17,206,559) | 15,541,562 | 2,012,714 | — |
* | Unrealized appreciation (depreciation) includes amounts for derivatives and other assets and liabilities denominated in foreign currency. |
Capital Loss Carryforward Unlimited | ||||
Portfolio | ST | LT | ||
SA Wellington Capital Appreciation | $232,188,947 | $144,900,610 | ||
SA Wellington Government and Quality Bond | 95,686,091 | 95,139,984 | ||
SA Wellington Strategic Multi-Asset | 13,953,341 | 3,253,218 |
Portfolio | Aggregate Unrealized Gain | Aggregate Unrealized Loss | Net Unrealized Gain (Loss) | Cost of Investments | ||||
SA Wellington Capital Appreciation | $681,157,301 | $(36,392,193) | $644,765,108 | $1,556,109,367 | ||||
SA Wellington Government and Quality Bond | 3,665,956 | (56,413,966) | (52,748,010) | 1,276,865,156 | ||||
SA Wellington Strategic Multi-Asset | 30,584,375 | (6,014,215) | 24,570,160 | 145,146,434 |
Portfolio | Subadviser | Advisory Fee | Advisory Fee after Waiver | |||
SA Wellington Capital Appreciation | Wellington Management Company LLP | 0.750% on the first $50 million 0.725% on the next $50 million 0.700% on assets over $100 million | No fee waiver | |||
SA Wellington Government and Quality Bond | Wellington Management Company LLP | 0.625% on the first $200 million 0.575% on the next $300 million 0.500% on assets over $500 million | No fee waiver | |||
SA Wellington Strategic Multi-Asset | Wellington Management Company LLP | 1.00% on the first $200 million 0.875% on the next $300 million 0.800% on assets over $500 million | 0.650% on the first $200 million 0.525% on the next $300 million 0.450% on assets over $500 million |
Portfolio | Amount | |
SA Wellington Strategic Multi-Asset | $285,695 |
Portfolio | Class 1 | Class 3 | ||
SA Wellington Strategic Multi-Asset | 0.81% | 1.06% |
Portfolio | Amount | |
SA Wellington Strategic Multi-Asset | $42,884 |
Balance Subject to Recoupment | ||||||
Portfolio | December 31, 2024 | December 31, 2025 | June 30,2026 | |||
SA Wellington Strategic Multi-Asset | $277,136 | $412,189 | $42,884 |
Portfolio | Purchases of Investment Securities (excluding U.S. Government Securities) | Sales of Investment Securities (excluding U.S. Government Securities) | Purchase of U.S. Government Securities | Sales of U.S. Government Securities | ||||
SA Wellington Capital Appreciation | $1,457,927,046 | $1,653,517,456 | $— | $— | ||||
SA Wellington Government and Quality Bond | 196,967,451 | 234,356,072 | 483,967,751 | 463,648,127 | ||||
SA Wellington Strategic Multi-Asset | 29,121,277 | 31,178,315 | 8,448,330 | 6,677,718 |
SA Wellington Capital Appreciation Portfolio | SA Wellington Government and Quality Bond Portfolio | ||||||||||||||
Six Months Ended 6/30/24 (unaudited) | Year Ended 12/31/23 | Six Months Ended 6/30/24 (unaudited) | Year Ended 12/31/23 | ||||||||||||
Shares | Amount | Shares | Amount | Shares | Amount | Shares | Amount | ||||||||
Class 1 | |||||||||||||||
Shares sold | 31,654 | $1,176,762 | 547,382 | $16,087,197 | 230,071 | $3,002,393 | 3,552,134 | $46,675,964 | |||||||
Reinvested dividends | — | — | — | — | — | — | 1,300,753 | 16,012,271 | |||||||
Shares redeemed | (1,507,727) | (54,869,717) | (2,615,727) | (72,753,369) | (4,456,743) | (58,029,683) | (13,617,634) | (176,246,318) | |||||||
Total | (1,476,073) | $(53,692,955) | (2,068,345) | $(56,666,172) | (4,226,672) | $(55,027,290) | (8,764,747) | $(113,558,083) | |||||||
Class 2 | |||||||||||||||
Shares sold | 1,904 | $61,964 | 12,332 | $297,762 | 66,424 | $869,179 | 43,728 | $576,246 | |||||||
Reinvested dividends | — | — | — | — | — | — | 22,036 | 272,581 | |||||||
Shares redeemed | (177,868) | (5,794,496) | (267,229) | (6,493,119) | (77,447) | (1,012,419) | (163,278) | (2,132,417) | |||||||
Total | (175,964) | $(5,732,532) | (254,897) | $(6,195,357) | (11,023) | $(143,240) | (97,514) | $(1,283,590) | |||||||
Class 3 | |||||||||||||||
Shares sold | 375,784 | $10,743,289 | 2,327,207 | $50,221,759 | 2,439,352 | $31,865,981 | 3,510,073 | $46,020,837 | |||||||
Reinvested dividends | — | — | — | — | — | — | 843,654 | 10,376,948 | |||||||
Shares redeemed | (5,736,489) | (169,721,660) | (8,166,795) | (180,328,853) | (2,823,391) | (36,670,279) | (4,853,645) | (62,676,699) | |||||||
Total | (5,360,705) | $(158,978,371) | (5,839,588) | $(130,107,094) | (384,039) | $(4,804,298) | (499,918) | $(6,278,914) | |||||||
Net increase (decrease) | (7,012,742) | $(218,403,858) | (8,162,830) | $(192,968,623) | (4,621,734) | $(59,974,828) | (9,362,179) | $(121,120,587) | |||||||
SA Wellington Strategic Multi-Asset Portfolio | |||||||||||||||
Six Months Ended 6/30/24 (unaudited) | Year Ended 12/31/23 | ||||||||||||||
Shares | Amount | Shares | Amount | ||||||||||||
Class 1 | |||||||||||||||
Shares sold | 41,789 | $351,071 | 36,040 | $284,435 | |||||||||||
Reinvested dividends | — | — | 23,308 | 181,569 | |||||||||||
Shares redeemed | (88,406) | (765,396) | (265,497) | (2,111,439) | |||||||||||
Total | (46,617) | $(414,325) | (206,149) | $(1,645,435) | |||||||||||
Class 3 | |||||||||||||||
Shares sold | 331,458 | $2,892,407 | 1,526,388 | $11,998,106 | |||||||||||
Reinvested dividends | — | — | 236,888 | 1,831,145 | |||||||||||
Shares redeemed | (845,356) | (7,354,356) | (1,380,893) | (10,810,063) | |||||||||||
Total | (513,898) | $(4,461,949) | 382,383 | $3,019,188 | |||||||||||
Net increase (decrease) | (560,515) | $(4,876,274) | 176,234 | $1,373,753 |
Portfolio | American General Life Insurance Co. | The United States Life Insurance Co. | VALIC | SST SA Allocation Balanced Portfolio | SST SA Allocation Growth Portfolio | SST Allocation SA Moderate Growth Portfolio | SST SA Allocation Moderate Portfolio | SAST SA VCP Dynamic Strategy Portfolio | SAST SA VCP Dynamic Allocation Portfolio | |||||||||
SA Wellington Capital Appreciation | 89.21% | 4.39% | 0.52% | 0.07% | 0.25% | 0.22% | 0.12% | —% | 5.00% | |||||||||
SA Wellington Government and Quality Bond | 47.31 | 2.53 | 0.36 | 1.58 | 0.97 | 1.78 | 1.35 | 12.32 | 31.78 | |||||||||
SA Wellington Strategic Multi-Asset | 90.53 | 7.66 | 1.24 | — | — | — | — | — | — |
Portfolio | Cost of Purchases | Proceeds from Sales | Realized Gain (Loss) | |||
SA Wellington Capital Appreciation | $6,133,103 | $— | $— |
Portfolio | Days Outstanding | Interest Charges | Average Debt Utilized | Weighted Average Interest | Balance Outstanding at 06/30/24 | |||||
SA Wellington Capital Appreciation | 1 | $8,169 | $44,025,000 | 6.68% | $— | |||||
SA Wellington Government and Quality Bond | 1 | 264 | 1,425,000 | 6.68 | — |
Selected Data for a Share Outstanding Throughout each Period | Ratios and Supplemental Data | ||||||||||||||
Investment Operations | Distributions to Shareholders From | Ratios to Average Net Assets | |||||||||||||
Period ended | Net Asset Value beginning of period | Net investment income (loss)(1) | Net realized & unrealized gain (loss) on investments | Total from investment operations | Net investment income | Net realized gain on investments | Total distributions | Net Asset Value end of period | Total Return(2) | Net Assets end of period (000’s) | Total expenses before waivers and/or reimburse- ments(3) | Total expenses after waivers and/or reimburse- ments | Net investment income (loss) | Portfolio turnover | |
SA Wellington Capital Appreciation Portfolio — Class 1 | |||||||||||||||
12/31/19 | $40.30 | $(0.15) | $11.88 | $11.73 | $— | $(8.43) | $(8.43) | $43.60 | 31.17% | $709,996 | 0.74% | 0.74% | (0.31)% | 70% | |
12/31/20 | 43.60 | (0.20) | 27.70 | 27.50 | — | (6.30) | (6.30) | 64.80 | 64.53 | 873,694 | 0.74 | 0.74 | (0.39) | 118 | |
12/31/21 | 64.80 | (0.34) | 4.29 | 3.95(4) | — | (15.42) | (15.42) | 53.33 | 5.63 | 812,818 | 0.73 | 0.73 | (0.53) | 110(5) | |
12/31/22 | 53.33 | (0.13) | (19.79) | (19.92) | — | (10.51) | (10.51) | 22.90 | (36.34) | 461,751 | 0.73 | 0.73 | (0.37) | 97 | |
12/31/23 | 22.90 | (0.11) | 9.20 | 9.09 | — | — | — | 31.99 | 39.69 | 578,820 | 0.74 | 0.74 | (0.39) | 95 | |
06/30/24@ | 31.99 | (0.08) | 8.75 | 8.67 | — | — | — | 40.66 | 27.10 | 675,593 | 0.72(6) | 0.72(6) | (0.42)(6) | 72 | |
SA Wellington Capital Appreciation Portfolio — Class 2 | |||||||||||||||
12/31/19 | 38.34 | (0.21) | 11.25 | 11.04 | — | (8.43) | (8.43) | 40.95 | 30.95 | 46,494 | 0.89 | 0.89 | (0.46) | 70 | |
12/31/20 | 40.95 | (0.27) | 25.96 | 25.69 | — | (6.30) | (6.30) | 60.34 | 64.28 | 63,956 | 0.89 | 0.89 | (0.54) | 118 | |
12/31/21 | 60.34 | (0.40) | 4.02 | 3.62(4) | — | (15.42) | (15.42) | 48.54 | 5.49 | 66,092 | 0.88 | 0.88 | (0.68) | 110(5) | |
12/31/22 | 48.54 | (0.16) | (18.06) | (18.22) | — | (10.51) | (10.51) | 19.81 | (36.42) | 37,293 | 0.88 | 0.88 | (0.52) | 97 | |
12/31/23 | 19.81 | (0.13) | 7.94 | 7.81 | — | — | — | 27.62 | 39.42 | 44,973 | 0.89 | 0.89 | (0.54) | 95 | |
06/30/24@ | 27.62 | (0.09) | 7.55 | 7.46 | — | — | — | 35.08 | 27.01 | 50,939 | 0.87(6) | 0.87(6) | (0.57)(6) | 72 | |
SA Wellington Capital Appreciation Portfolio — Class 3 | |||||||||||||||
12/31/19 | 37.08 | (0.24) | 10.85 | 10.61 | — | (8.43) | (8.43) | 39.26 | 30.84 | 655,204 | 0.99 | 0.99 | (0.56) | 70 | |
12/31/20 | 39.26 | (0.30) | 24.84 | 24.54 | — | (6.30) | (6.30) | 57.50 | 64.11 | 938,153 | 0.99 | 0.99 | (0.64) | 118 | |
12/31/21 | 57.50 | (0.43) | 3.83 | 3.40(4) | — | (15.42) | (15.42) | 45.48 | 5.37 | 1,375,583 | 0.98 | 0.98 | (0.79) | 110(5) | |
12/31/22 | 45.48 | (0.17) | (16.96) | (17.13) | — | (10.51) | (10.51) | 17.84 | (36.48) | 1,006,995 | 0.98 | 0.98 | (0.60) | 97 | |
12/31/23 | 17.84 | (0.14) | 7.15 | 7.01 | — | — | — | 24.85 | 39.29 | 1,257,980 | 0.99 | 0.99 | (0.64) | 95 | |
06/30/24@ | 24.85 | (0.09) | 6.78 | 6.69 | — | — | — | 31.54 | 26.92 | 1,427,665 | 0.97(6) | 0.97(6) | (0.67)(6) | 72 | |
SA Wellington Government and Quality Bond Portfolio — Class 1 | |||||||||||||||
12/31/19 | 14.72 | 0.35 | 0.73 | 1.08 | (0.41) | — | (0.41) | 15.39 | 7.32 | 869,709 | 0.57 | 0.57 | 2.29 | 43 | |
12/31/20 | 15.39 | 0.26 | 0.83 | 1.09 | (0.33) | (0.02) | (0.35) | 16.13 | 7.11 | 1,063,081 | 0.57 | 0.57 | 1.59 | 41 | |
12/31/21 | 16.13 | 0.15 | (0.45) | (0.30) | (0.26) | (0.26) | (0.52) | 15.31 | (1.86) | 1,041,985 | 0.56 | 0.56 | 0.99 | 65 | |
12/31/22 | 15.31 | 0.24 | (2.30) | (2.06) | (0.18) | (0.22) | (0.40) | 12.85 | (13.41) | 816,210 | 0.56 | 0.56 | 1.74 | 91 | |
12/31/23 | 12.85 | 0.45 | 0.18 | 0.63 | (0.29) | — | (0.29) | 13.19 | 5.07 | 722,171 | 0.58 | 0.58 | 3.41 | 107 | |
06/30/24@ | 13.19 | 0.25 | (0.32) | (0.07) | — | — | — | 13.12 | (0.53) | 662,966 | 0.58(6) | 0.58(6) | 3.84(6) | 56 | |
SA Wellington Government and Quality Bond Portfolio — Class 2 | |||||||||||||||
12/31/19 | 14.76 | 0.33 | 0.73 | 1.06 | (0.38) | — | (0.38) | 15.44 | 7.19 | 21,489 | 0.72 | 0.72 | 2.14 | 43 | |
12/31/20 | 15.44 | 0.24 | 0.83 | 1.07 | (0.31) | (0.02) | (0.33) | 16.18 | 6.92 | 22,787 | 0.72 | 0.72 | 1.46 | 41 | |
12/31/21 | 16.18 | 0.13 | (0.46) | (0.33) | (0.23) | (0.26) | (0.49) | 15.36 | (2.03) | 19,762 | 0.71 | 0.71 | 0.84 | 65 | |
12/31/22 | 15.36 | 0.22 | (2.31) | (2.09) | (0.15) | (0.22) | (0.37) | 12.90 | (13.54) | 14,605 | 0.71 | 0.71 | 1.59 | 91 | |
12/31/23 | 12.90 | 0.43 | 0.19 | 0.62 | (0.27) | — | (0.27) | 13.25 | 4.93 | 13,707 | 0.73 | 0.73 | 3.27 | 107 | |
06/30/24@ | 13.25 | 0.24 | (0.32) | (0.08) | — | — | — | 13.17 | (0.60) | 13,480 | 0.73(6) | 0.73(6) | 3.69(6) | 56 | |
SA Wellington Government and Quality Bond Portfolio — Class 3 | |||||||||||||||
12/31/19 | 14.68 | 0.31 | 0.73 | 1.04 | (0.37) | — | (0.37) | 15.35 | 7.06 | 665,250 | 0.82 | 0.82 | 2.04 | 43 | |
12/31/20 | 15.35 | 0.22 | 0.83 | 1.05 | (0.29) | (0.02) | (0.31) | 16.09 | 6.88 | 732,226 | 0.82 | 0.82 | 1.36 | 41 | |
12/31/21 | 16.09 | 0.12 | (0.46) | (0.34) | (0.22) | (0.26) | (0.48) | 15.27 | (2.10) | 705,351 | 0.81 | 0.81 | 0.74 | 65 | |
12/31/22 | 15.27 | 0.21 | (2.30) | (2.09) | (0.14) | (0.22) | (0.36) | 12.82 | (13.67) | 538,872 | 0.81 | 0.81 | 1.48 | 91 | |
12/31/23 | 12.82 | 0.41 | 0.18 | 0.59 | (0.25) | — | (0.25) | 13.16 | 4.78 | 546,702 | 0.83 | 0.83 | 3.17 | 107 | |
06/30/24@ | 13.16 | 0.23 | (0.31) | (0.08) | — | — | — | 13.08 | (0.61) | 538,154 | 0.83(6) | 0.83(6) | 3.59(6) | 56 |
@ | Unaudited |
(1) | Calculated based upon average shares outstanding. |
(2) | Total return does not include the effect of fees and charges incurred at the separate account level. If such expenses had been included, total return would have been lower for each period presented. |
(3) | Total expenses represent expenses prior to waivers and/or reimbursements. Such waiver/reimbursement amounts were previously reported in the notes to the financial highlights table. |
(4) | Includes the effect of a merger. |
(5) | Excludes purchases/sales due to merger. |
(6) | Annualized |
Selected Data for a Share Outstanding Throughout each Period | Ratios and Supplemental Data | ||||||||||||||
Investment Operations | Distributions to Shareholders From | Ratios to Average Net Assets | |||||||||||||
Period ended | Net Asset Value beginning of period | Net investment income (loss)(1) | Net realized & unrealized gain (loss) on investments | Total from investment operations | Net investment income | Net realized gain on investments | Total distributions | Net Asset Value end of period | Total Return(2) | Net Assets end of period (000’s) | Total expenses before waivers and/or reimburse- ments(3) | Total expenses after waivers and/or reimburse- ments | Net investment income (loss) | Portfolio turnover | |
SA Wellington Strategic Multi-Asset Portfolio — Class 1 | |||||||||||||||
12/31/19 | $7.13 | $0.05 | $1.31 | $1.36 | $(0.01) | $(0.00) | $(0.01) | $8.48 | 19.08% | $15,509 | 1.36% | 0.86% | 0.62% | 105% | |
12/31/20 | 8.48 | 0.02 | 1.51 | 1.53 | (0.10) | (0.12) | (0.22) | 9.79 | 18.12 | 17,048 | 1.30 | 0.86 | 0.18 | 105 | |
12/31/21 | 9.79 | (0.00) | 0.74 | 0.74 | (0.03) | (0.37) | (0.40) | 10.13 | 7.65 | 16,357 | 1.18 | 0.86 | (0.01) | 85 | |
12/31/22 | 10.13 | 0.05 | (1.84) | (1.79) | (0.08) | (0.84) | (0.92) | 7.42 | (16.99) | 12,241 | 1.19 | 0.86 | 0.54 | 81 | |
12/31/23 | 7.42 | 0.08 | 1.03 | 1.11 | (0.12) | — | (0.12) | 8.41 | 15.12 | 12,136 | 1.19 | 0.85 | 1.01 | 63 | |
06/30/24@ | 8.41 | 0.07 | 0.66 | 0.73 | — | — | — | 9.14 | 8.68 | 12,763 | 1.21(4) | 0.81(4) | 1.52(4) | 24 | |
SA Wellington Strategic Multi-Asset Portfolio — Class 3 | |||||||||||||||
12/31/19 | 7.10 | 0.03 | 1.31 | 1.34 | — | (0.00) | (0.00) | 8.44 | 18.88 | 50,779 | 1.62 | 1.11 | 0.35 | 105 | |
12/31/20 | 8.44 | (0.01) | 1.50 | 1.49 | (0.08) | (0.12) | (0.20) | 9.73 | 17.80 | 89,474 | 1.55 | 1.11 | (0.09) | 105 | |
12/31/21 | 9.73 | (0.03) | 0.75 | 0.72 | (0.02) | (0.37) | (0.39) | 10.06 | 7.47 | 138,205 | 1.43 | 1.11 | (0.27) | 85 | |
12/31/22 | 10.06 | 0.02 | (1.82) | (1.80) | (0.06) | (0.84) | (0.90) | 7.36 | (17.22) | 127,518 | 1.45 | 1.11 | 0.29 | 81 | |
12/31/23 | 7.36 | 0.06 | 1.02 | 1.08 | (0.10) | — | (0.10) | 8.34 | 14.84 | 147,627 | 1.44 | 1.10 | 0.76 | 63 | |
06/30/24@ | 8.34 | 0.06 | 0.65 | 0.71 | — | — | — | 9.05 | 8.51 | 155,580 | 1.46(4) | 1.06(4) | 1.28(4) | 24 |
@ | Unaudited |
(1) | Calculated based upon average shares outstanding. |
(2) | Total return does not include the effect of fees and charges incurred at the separate account level. If such expenses had been included, total return would have been lower for each period presented. |
(3) | Total expenses represent expenses prior to waivers and/or reimbursements. Such waiver/reimbursement amounts were previously reported in the notes to the financial highlights table. |
(4) | Annualized |
Item 8. Changes in and Disagreements with Accountants for Open-End Management Investment Companies.
Included in Item 7 above.
Item 9. Proxy Disclosures for Open-End Management Investment Companies.
Included in Item 7 above.
Item 10. Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies.
Included in Item 7 above.
Item 11. Statement Regarding Basis for Approval of Investment Advisory Contract.
Included in Item 7 above.
Item 12. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 13. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 14. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 15. Submission of Matters to a Vote of Security Holders.
There were no material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board of Directors that were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15)) of Schedule 14A (17 CFR 240.14a-101), or this Item 15.
Item 16. Controls and Procedures.
(a) An evaluation was performed within 90 days of the filing of this report, under the supervision and with the participation of the registrant’s management, including the Principal Executive Officer and Principal Financial Officer, of the effectiveness of the design and operation of the registrant’s disclosure controls and procedures (as defined under Rule30a-3(c) under the Investment Company Act of 1940 (17 CFR 270.30a-3(c))). Based on that evaluation, the registrant's management, including the Principal Executive Officer and Principal Financial Officer, concluded that the registrant's disclosure controls and procedures are effective.
(b) There was no change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940 (17 CFR 270.3a-3(d))) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 17. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 18. Recovery of Erroneously Awarded Compensation.
(a) Not applicable.
(b) Not applicable.
Item 19. Exhibits.
(a)(1) Not applicable.
(a)(2) The certifications required by Rule 30a-2 of the Investment Company Act of 1940 and Sections 302 (EXHIBIT 99.CERT) and 906 (EXHIBIT 99.906.CERT) of the Sarbanes-Oxley Act of 2002 are attached as exhibits hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
SunAmerica Series Trust
By: /s/ John T. Genoy
John T. Genoy
Principal Executive Officer
Date: September 6, 2024
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: /s/ John T. Genoy
John T. Genoy
Principal Executive Officer
Date: September 6, 2024
By: /s/ Gregory R. Kingston
Gregory R. Kingston
Principal Financial Officer
Date: September 6, 2024