UNITED STATES SECURITIES AND EXCHANGE COMMISSION |
Washington, D.C. 20549 |
FORM N-CSR |
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES |
Investment Company Act file number: | (811-07121) |
Exact name of registrant as specified in charter: | Putnam Asset Allocation Funds |
Address of principal executive offices: | 100 Federal Street, Boston, Massachusetts 02110 |
Name and address of agent for service: | Stephen Tate, Vice President 100 Federal Street Boston, Massachusetts 02110 |
Copy to: | Bryan Chegwidden, Esq. Ropes & Gray LLP 1211 Avenue of the Americas New York, New York 10036 |
James E. Thomas, Esq. Ropes & Gray LLP 800 Boylston Street Boston, Massachusetts 02199 |
Registrant’s telephone number, including area code: | (617) 292-1000 |
Date of fiscal year end: | September 30, 2023 |
Date of reporting period: | October 1, 2022 – March 31, 2023 |
Item 1. Report to Stockholders: |
The following is a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Investment Company Act of 1940: |
Putnam Dynamic
Asset Allocation
Growth Fund
Semiannual report
3 | 31 | 23
Message from the Trustees | 1 | ||
Your fund at a glance | 2 | ||
Your fund’s expenses | 3 | ||
Other information for shareholders | 5 | ||
Financial statements | 6 |
Message from the Trustees
May 9, 2023
Dear Fellow Shareholder:
Stocks and bonds have experienced shifting conditions since the start of the year. Inflation has gradually declined from the higher levels of 2022. Additionally, the U.S. Federal Reserve has reduced the size of its interest-rate increases. Markets have shown optimism that the Fed may soon end its rate-hiking cycle altogether. Still, the effects of high interest rates may weigh on economic growth and corporate profit margins in the months ahead.
The investment professionals at Putnam continue to actively research stock and bond markets for attractive opportunities while monitoring potential risks.
The following semiannual report provides an overview of your fund’s portfolio and expenses. For additional information, please visit putnam.com.
Thank you for investing with Putnam.
Allocations are shown as a percentage of the fund’s net assets as of 3/31/23. Cash and net other assets, if any, represent the market value weights of cash, derivatives, short-term securities, and other unclassified assets in the portfolio. Summary information may differ from the portfolio schedule included in the financial statements due to the inclusion of derivative securities, any interest accruals, the exclusion of as-of trades, if any, the use of different classifications of securities for presentation purposes, and rounding. Holdings and allocations may vary over time. Due to rounding, percentages may not equal 100%.
2 Dynamic Asset Allocation Growth Fund |
Your fund’s expenses
As a mutual fund investor, you pay ongoing expenses, such as management fees, distribution fees (12b-1 fees), and other expenses. Using the following information, you can estimate how these expenses affect your investment and compare them with the expenses of other funds. You may also pay one-time transaction expenses, including sales charges (loads) and redemption fees, which are not shown in this section and would have resulted in higher total expenses. For more information, see your fund’s prospectus or talk to your financial representative.
Expense ratios
Class A | Class B | Class C | Class P | Class R | Class R5 | Class R6 | Class Y | |
Total annual operating | ||||||||
expenses for the fiscal year | ||||||||
ended 9/30/22 | 1.03% | 1.78% | 1.78% | 0.65% | 1.28% | 0.79% | 0.69% | 0.78% |
Annualized expense ratio | ||||||||
for the six-month period | ||||||||
ended 3/31/23 | 1.05% | 1.80% | 1.80% | 0.66% | 1.30% | 0.80% | 0.70% | 0.80% |
Fiscal year expense information in this table is taken from the most recent prospectus, is subject to change, and may differ from that shown for the annualized expense ratio and in the financial highlights of this report.
Expenses are shown as a percentage of average net assets.
Expenses per $1,000
The following table shows the expenses you would have paid on a $1,000 investment in each class of the fund from 10/1/22 to 3/31/23. It also shows how much a $1,000 investment would be worth at the close of the period, assuming actual returns and expenses.
Class A | Class B | Class C | Class P | Class R | Class R5 | Class R6 | Class Y | |
Expenses paid per $1,000*† | $5.59 | $9.57 | $9.57 | $3.52 | $6.92 | $4.26 | $3.73 | $4.26 |
Ending value (after expenses) | $1,136.60 | $1,131.60 | $1,132.70 | $1,138.30 | $1,134.50 | $1,137.70 | $1,138.30 | $1,137.40 |
* Expenses for each share class are calculated using the fund’s annualized expense ratio for each class, which represents the ongoing expenses as a percentage of average net assets for the six months ended 3/31/23. The expense ratio may differ for each share class.
† Expenses are calculated by multiplying the expense ratio by the average account value for the period; then multiplying the result by the number of days in the period (182); and then dividing that result by the number of days in the year (365).
Dynamic Asset Allocation Growth Fund 3 |
Estimate the expenses you paid
To estimate the ongoing expenses you paid for the six months ended 3/31/23, use the following calculation method. To find the value of your investment on 10/1/22, call Putnam at 1-800-225-1581.
Compare expenses using the SEC’s method
The Securities and Exchange Commission (SEC) has established guidelines to help investors assess fund expenses. Per these guidelines, the following table shows your fund’s expenses based on a $1,000 investment, assuming a hypothetical 5% annualized return. You can use this information to compare the ongoing expenses (but not transaction expenses or total costs) of investing in the fund with those of other funds. All mutual fund shareholder reports will provide this information to help you make this comparison. Please note that you cannot use this information to estimate your actual ending account balance and expenses paid during the period.
Class A | Class B | Class C | Class P | Class R | Class R5 | Class R6 | Class Y | |
Expenses paid per $1,000*† | $5.29 | $9.05 | $9.05 | $3.33 | $6.54 | $4.03 | $3.53 | $4.03 |
Ending value (after expenses) | $1,019.70 | $1,015.96 | $1,015.96 | $1,021.64 | $1,018.45 | $1,020.94 | $1,021.44 | $1,020.94 |
* Expenses for each share class are calculated using the fund’s annualized expense ratio for each class, which represents the ongoing expenses as a percentage of average net assets for the six months ended 3/31/23. The expense ratio may differ for each share class.
† Expenses are calculated by multiplying the expense ratio by the average account value for the six-month period; then multiplying the result by the number of days in the six-month period (182); and then dividing that result by the number of days in the year (365).
4 Dynamic Asset Allocation Growth Fund |
Other information for shareholders
Important notice regarding delivery of shareholder documents
In accordance with Securities and Exchange Commission (SEC) regulations, Putnam sends a single notice of internet availability, or a single printed copy, of annual and semiannual shareholder reports, prospectuses, and proxy statements to Putnam shareholders who share the same address, unless a shareholder requests otherwise. If you prefer to receive your own copy of these documents, please call Putnam at 1-800-225-1581 or, for exchange-traded funds only, 1-833-228-5577. We will begin sending individual copies within 30 days.
Proxy voting
Putnam is committed to managing our funds in the best interests of our shareholders. The Putnam funds’ proxy voting guidelines and procedures, as well as information regarding how your fund voted proxies relating to portfolio securities during the 12-month period ended June 30, 2022, are available in the Individual Investors section of putnam.com and on the SEC’s website, www.sec.gov. If you have questions about finding forms on the SEC’s website, you may call the SEC at 1-800-SEC-0330. You may also obtain the Putnam funds’ proxy voting guidelines and procedures at no charge by calling Putnam’s Shareholder Services at 1-800-225-1581 or, for exchange-traded funds only, 1-833-228-5577.
Fund portfolio holdings
The fund will file a complete schedule of its portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-PORT within 60 days of the end of such fiscal quarter. Shareholders may obtain the fund’s Form N-PORT on the SEC’s website at www.sec.gov.
Trustee and employee fund ownership
Putnam employees and members of the Board of Trustees place their faith, confidence, and, most importantly, investment dollars in Putnam funds. As of March 31, 2023, Putnam employees had approximately $463,000,000 and the Trustees had approximately $65,000,000 invested in Putnam funds. These amounts include investments by the Trustees’ and employees’ immediate family members as well as investments through retirement and deferred compensation plans.
Dynamic Asset Allocation Growth Fund 5 |
Financial statements
These sections of the report, as well as the accompanying Notes, constitute the fund’s financial statements.
The fund’s portfolio lists all the fund’s investments and their values as of the last day of the reporting period. Holdings are organized by asset type and industry sector, country, or state to show areas of concentration and diversification.
Statement of assets and liabilities shows how the fund’s net assets and share price are determined. All investment and non-investment assets are added together. Any unpaid expenses and other liabilities are subtracted from this total. The result is divided by the number of shares to determine the net asset value per share, which is calculated separately for each class of shares. (For funds with preferred shares, the amount subtracted from total assets includes the liquidation preference of preferred shares.)
Statement of operations shows the fund’s net investment gain or loss. This is done by first adding up all the fund’s earnings — from dividends and interest income — and subtracting its operating expenses to determine net investment income (or loss). Then, any net gain or loss the fund realized on the sales of its holdings — as well as any unrealized gains or losses over the period — is added to or subtracted from the net investment result to determine the fund’s net gain or loss for the fiscal period.
Statement of changes in net assets shows how the fund’s net assets were affected by the fund’s net investment gain or loss, by distributions to shareholders, and by changes in the number of the fund’s shares. It lists distributions and their sources (net investment income or realized capital gains) over the current reporting period and the most recent fiscal year-end. The distributions listed here may not match the sources listed in the Statement of operations because the distributions are determined on a tax basis and may be paid in a different period from the one in which they were earned. Dividend sources are estimated at the time of declaration. Actual results may vary. Any non-taxable return of capital cannot be determined until final tax calculations are completed after the end of the fund’s fiscal period.
Financial highlights provide an overview of the fund’s investment results, per-share distributions, expense ratios, net investment income ratios, and portfolio turnover (not required for money market funds) in one summary table, reflecting the five most recent reporting periods. In a semiannual report, the highlights table also includes the current reporting period.
6 Dynamic Asset Allocation Growth Fund |
The fund’s portfolio 3/31/23 (Unaudited) | ||
COMMON STOCKS (79.1%)* | Shares | Value |
Basic materials (3.8%) | ||
AdvanSix, Inc. | 7,856 | $300,649 |
Alcoa Corp. | 17,334 | 737,735 |
American Vanguard Corp. | 5,037 | 110,210 |
American Woodmark Corp. † | 1,887 | 98,256 |
Andersons, Inc. (The) | 2,311 | 95,491 |
Anglo American PLC (London Exchange) (United Kingdom) | 105,813 | 3,502,146 |
Anglo American PLC (Johannesburg Exchange) (United Kingdom) | 18,902 | 624,418 |
Archer-Daniels-Midland Co. | 8,400 | 669,144 |
Arcosa, Inc. | 1,728 | 109,054 |
Ashland Global Holdings, Inc. | 6,700 | 688,157 |
Atkore, Inc. † | 5,099 | 716,308 |
BHP Group, Ltd. (ASE Exchange) (Australia) | 186,838 | 5,926,101 |
BHP Group, Ltd. (London Exchange) (Australia) | 9,859 | 311,974 |
BlueScope Steel, Ltd. (Australia) | 85,200 | 1,154,476 |
Boise Cascade Co. | 9,166 | 579,750 |
CF Industries Holdings, Inc. | 43,424 | 3,147,806 |
Clearwater Paper Corp. † | 4,007 | 133,914 |
Codexis, Inc. † | 41,768 | 172,920 |
Compagnie de Saint-Gobain (France) | 42,392 | 2,413,703 |
Constellium SE (France) † | 37,571 | 574,085 |
Corteva, Inc. | 139,238 | 8,397,444 |
CRH PLC (Ireland) | 179,920 | 9,092,813 |
Dow, Inc. | 14,188 | 777,786 |
DuPont de Nemours, Inc. | 46,727 | 3,353,597 |
Eastman Chemical Co. | 25,267 | 2,131,019 |
Eiffage SA (France) | 11,364 | 1,230,153 |
Freeport-McMoRan, Inc. (Indonesia) | 159,675 | 6,532,304 |
Glencore PLC (United Kingdom) | 292,510 | 1,682,548 |
Hansol Chemical Co., Ltd. (South Korea) | 3,490 | 646,867 |
Holcim AG (Switzerland) | 11,556 | 745,443 |
Innospec, Inc. | 3,378 | 346,819 |
LightWave Logic, Inc. † | 28,585 | 149,500 |
Linde PLC | 8,691 | 3,089,129 |
Minerals Technologies, Inc. | 1,727 | 104,345 |
Misumi Group, Inc. (Japan) | 8,000 | 201,269 |
Mueller Industries, Inc. | 8,400 | 617,232 |
Nucor Corp. | 4,900 | 756,903 |
NV5 Global, Inc. † | 898 | 93,365 |
OCI NV (Netherlands) | 22,067 | 749,084 |
Olin Corp. | 13,284 | 737,262 |
Orion Engineered Carbons SA (Luxembourg) | 6,604 | 172,298 |
PotlatchDeltic Corp. R | 11,220 | 555,390 |
PPG Industries, Inc. | 24,274 | 3,242,521 |
Rayonier Advanced Materials, Inc. † | 22,738 | 142,567 |
Reliance Steel & Aluminum Co. | 3,200 | 821,568 |
Rio Tinto PLC (United Kingdom) | 25,952 | 1,758,900 |
Sealed Air Corp. | 13,592 | 624,009 |
Sherwin-Williams Co. (The) | 15,823 | 3,556,536 |
Dynamic Asset Allocation Growth Fund 7 |
COMMON STOCKS (79.1%)* cont. | Shares | Value |
Basic materials cont. | ||
Shin-Etsu Chemical Co., Ltd. (Japan) | 93,000 | $3,016,414 |
Simpson Manufacturing Co., Inc. | 2,071 | 227,064 |
South32, Ltd. (Australia) | 186,631 | 553,536 |
Standex International Corp. | 1,654 | 202,516 |
Sterling Construction Co., Inc. † | 8,119 | 307,548 |
TopBuild Corp. † | 4,700 | 978,258 |
Tronox Holdings PLC Class A | 34,960 | 502,725 |
Tutor Perini Corp. † | 8,863 | 54,685 |
UFP Industries, Inc. | 8,556 | 679,945 |
Vale Indonesia Tbk PT (Indonesia) † | 821,400 | 365,040 |
WestRock Co. | 20,622 | 628,352 |
Weyerhaeuser Co. R | 49,146 | 1,480,769 |
Yara International ASA (Norway) | 21,557 | 938,548 |
84,310,368 | ||
Capital goods (3.7%) | ||
Aerojet Rocketdyne Holdings, Inc. † | 7,661 | 430,318 |
Aeva Technologies, Inc. † | 83,401 | 99,247 |
Albany International Corp. Class A | 1,428 | 127,606 |
Allegion PLC (Ireland) | 6,000 | 640,380 |
Allison Transmission Holdings, Inc. | 14,000 | 633,360 |
American Axle & Manufacturing Holdings, Inc. † | 49,912 | 389,813 |
Applied Industrial Technologies, Inc. | 1,323 | 188,038 |
Aptiv PLC † | 6,900 | 774,111 |
ASSA ABLOY AB Class B (Sweden) | 24,174 | 580,414 |
Astec Industries, Inc. | 2,403 | 99,124 |
Astronics Corp. † | 6,888 | 92,024 |
BAE Systems PLC (United Kingdom) | 217,606 | 2,638,039 |
Ball Corp. | 35,711 | 1,968,033 |
Barnes Group, Inc. | 2,912 | 117,295 |
Belden, Inc. | 2,857 | 247,902 |
Boeing Co. (The) † | 3,300 | 701,019 |
Carrier Global Corp. | 18,155 | 830,591 |
Caterpillar, Inc. | 8,000 | 1,830,720 |
CTS Corp. | 2,067 | 102,234 |
Cummins, Inc. | 2,563 | 612,249 |
Dassault Aviation SA (France) | 3,269 | 647,512 |
Deere & Co. | 1,700 | 701,896 |
Eaton Corp. PLC | 3,885 | 665,656 |
Emerson Electric Co. | 8,500 | 740,690 |
Encore Wire Corp. | 2,034 | 376,961 |
ESCO Technologies, Inc. | 1,737 | 165,797 |
Fortive Corp. | 64,441 | 4,392,943 |
Franklin Electric Co., Inc. | 1,315 | 123,742 |
GEA Group AG (Germany) | 19,509 | 887,748 |
General Dynamics Corp. | 32,300 | 7,371,183 |
Gentherm, Inc. † | 1,577 | 95,282 |
GrafTech International, Ltd. | 77,790 | 378,059 |
HEICO Corp. | 4,401 | 752,747 |
Heritage-Crystal Clean, Inc. † | 3,968 | 141,300 |
8 Dynamic Asset Allocation Growth Fund |
COMMON STOCKS (79.1%)* cont. | Shares | Value |
Capital goods cont. | ||
Hillenbrand, Inc. | 4,070 | $193,447 |
Honeywell International, Inc. | 21,612 | 4,130,485 |
Ingersoll Rand, Inc. | 59,195 | 3,443,965 |
ITT, Inc. | 7,379 | 636,808 |
Johnson Controls International PLC | 129,050 | 7,771,391 |
KEI Industries, Ltd. (India) | 48,514 | 1,004,667 |
Legrand SA (France) | 26,069 | 2,384,514 |
LKQ Corp. | 12,000 | 681,120 |
Lockheed Martin Corp. | 1,400 | 661,822 |
Mitsubishi Heavy Industries, Ltd. (Japan) | 45,200 | 1,666,669 |
Moog, Inc. Class A | 4,382 | 441,487 |
MRC Global, Inc. † | 14,561 | 141,533 |
MYR Group, Inc. † | 1,234 | 155,496 |
Nordson Corp. | 2,900 | 644,554 |
Northrop Grumman Corp. | 9,862 | 4,553,483 |
O-I Glass, Inc. † | 27,689 | 628,817 |
Otis Worldwide Corp. | 8,700 | 734,280 |
Parker Hannifin Corp. | 1,737 | 583,823 |
Prysmian SpA (Italy) | 50,549 | 2,128,228 |
Raytheon Technologies Corp. | 51,345 | 5,028,216 |
Republic Services, Inc. | 5,500 | 743,710 |
Rheinmetall AG (Germany) | 9,660 | 2,869,655 |
Ryerson Holding Corp. | 13,966 | 508,083 |
Shyft Group, Inc. (The) | 4,237 | 96,392 |
Spirax-Sarco Engineering PLC (United Kingdom) | 8,080 | 1,185,768 |
Stoneridge, Inc. † | 3,060 | 57,222 |
Terex Corp. | 11,660 | 564,111 |
Tetra Tech, Inc. | 4,757 | 698,851 |
Textron, Inc. | 17,100 | 1,207,773 |
Titan International, Inc. † | 10,901 | 114,242 |
Titan Machinery, Inc. † | 4,851 | 147,713 |
TransDigm Group, Inc. | 4,533 | 3,341,048 |
Waste Connections, Inc. | 14,935 | 2,077,010 |
Waste Management, Inc. | 4,800 | 783,216 |
Watts Water Technologies, Inc. Class A | 779 | 131,121 |
Zurn Water Solutions Corp. | 19,559 | 417,780 |
83,102,533 | ||
Communication services (1.8%) | ||
Altice USA, Inc. Class A † | 110,800 | 378,936 |
American Tower Corp. R | 44,921 | 9,179,157 |
AT&T, Inc. | 259,177 | 4,989,157 |
Bezeq The Israeli Telecommunication Corp., Ltd. (Israel) | 217,096 | 295,958 |
Cambium Networks Corp. † | 4,942 | 87,572 |
Charter Communications, Inc. Class A † | 7,956 | 2,845,145 |
Comcast Corp. Class A | 97,516 | 3,696,832 |
Crown Castle, Inc. R | 5,100 | 682,584 |
EchoStar Corp. Class A † | 13,342 | 244,025 |
KDDI Corp. (Japan) | 78,200 | 2,414,935 |
Liberty Latin America, Ltd. Class C (Chile) † | 51,157 | 422,557 |
Dynamic Asset Allocation Growth Fund 9 |
COMMON STOCKS (79.1%)* cont. | Shares | Value |
Communication services cont. | ||
Liberty Media Corp.-SiriusXM Series A † | 20,700 | $581,463 |
Samsung SDI Co., Ltd. (South Korea) | 3,177 | 1,810,704 |
SBA Communications Corp. R | 2,600 | 678,782 |
T-Mobile US, Inc. † | 35,579 | 5,153,263 |
Telstra Group, Ltd. (Australia) | 613,457 | 1,732,936 |
Verizon Communications, Inc. | 136,715 | 5,316,846 |
40,510,852 | ||
Communications equipment (—%) | ||
arista Networks, Inc. † | 5,200 | 872,872 |
Viavi Solutions, Inc. † | 9,496 | 102,842 |
975,714 | ||
Computers (5.6%) | ||
A10 Networks, Inc. | 28,865 | 447,119 |
Accton Technology Corp. (Taiwan) | 77,000 | 814,913 |
Adeia, Inc. | 27,497 | 243,623 |
Agilysys, Inc. † | 3,387 | 279,461 |
Apple, Inc. | 511,452 | 84,338,435 |
Avid Technology, Inc. † | 14,117 | 451,462 |
Calix, Inc. † | 5,544 | 297,103 |
Cisco Systems, Inc./Delaware | 150,800 | 7,883,070 |
CommVault Systems, Inc. † | 8,907 | 505,383 |
Dropbox, Inc. Class A † | 33,467 | 723,557 |
Enfusion, Inc. Class A † | 10,380 | 108,990 |
Extreme Networks, Inc. † | 31,225 | 597,022 |
Fortinet, Inc. † | 11,720 | 778,911 |
Fujitsu, Ltd. (Japan) | 17,400 | 2,351,872 |
MongoDB, Inc. † | 17,828 | 4,156,063 |
MSCI, Inc. | 6,640 | 3,716,342 |
NetApp, Inc. | 10,900 | 695,965 |
NetScout Systems, Inc. † | 3,966 | 113,626 |
OneSpan, Inc. † | 7,244 | 126,770 |
PDF Solutions, Inc. † | 2,862 | 121,349 |
Phreesia, Inc. † | 9,941 | 320,995 |
Pure Storage, Inc. Class A † | 21,786 | 555,761 |
Qualys, Inc. † | 4,627 | 601,603 |
Rapid7, Inc. † | 13,680 | 628,049 |
RingCentral, Inc. Class A † | 19,300 | 591,931 |
Smartsheet, Inc. Class A † | 23,949 | 1,144,762 |
Snowflake, Inc. Class A † | 4,351 | 671,316 |
Super Micro Computer, Inc. † | 6,315 | 672,863 |
Synopsys, Inc. † | 24,400 | 9,424,500 |
Vimeo, Inc. † | 45,049 | 172,538 |
Yext, Inc. † | 29,972 | 288,031 |
Zscaler, Inc. † | 5,400 | 630,882 |
124,454,267 | ||
Conglomerates (0.7%) | ||
3M Co. | 5,912 | 621,410 |
AMETEK, Inc. | 31,650 | 4,599,695 |
General Electric Co. | 8,800 | 841,280 |
10 Dynamic Asset Allocation Growth Fund |
COMMON STOCKS (79.1%)* cont. | Shares | Value |
Conglomerates cont. | ||
Marubeni Corp. (Japan) | 178,600 | $2,427,805 |
Mitsubishi Corp. (Japan) | 104,800 | 3,767,787 |
Mitsui & Co., Ltd. (Japan) | 83,700 | 2,608,506 |
SPX Technologies, Inc. † | 4,284 | 302,365 |
15,168,848 | ||
Consumer cyclicals (11.7%) | ||
AAON, Inc. | 1,015 | 98,140 |
ADT, Inc. | 72,400 | 523,452 |
Amazon.com, Inc. † | 279,467 | 28,866,146 |
Aristocrat Leisure, Ltd. (Australia) | 90,535 | 2,263,879 |
Arrowhead Pharmaceuticals, Inc. † | 13,729 | 348,717 |
Asics Corp. (Japan) | 42,000 | 1,194,368 |
Automatic Data Processing, Inc. | 2,800 | 623,364 |
Autonation, Inc. † | 4,800 | 644,928 |
AutoZone, Inc. † | 2,800 | 6,882,820 |
Bandai Namco Holdings, Inc. (Japan) | 99,600 | 2,145,158 |
Barrett Business Services, Inc. | 1,121 | 99,365 |
Bath & Body Works, Inc. | 16,500 | 603,570 |
Beazer Homes USA, Inc. † | 10,857 | 172,409 |
BJ’s Wholesale Club Holdings, Inc. † | 28,167 | 2,142,664 |
Bluegreen Vacations Holding Corp. | 3,768 | 103,168 |
BlueLinx Holdings, Inc. † | 2,819 | 191,579 |
Booking Holdings, Inc. † | 5,546 | 14,710,266 |
Booz Allen Hamilton Holding Corp. | 7,200 | 667,368 |
Boyd Gaming Corp. | 11,700 | 750,204 |
Buckle, Inc. (The) | 3,146 | 112,281 |
BYD Co., Ltd. Class H (China) | 57,000 | 1,674,827 |
Caleres, Inc. | 15,741 | 340,478 |
Capri Holdings, Ltd. † | 14,100 | 662,700 |
Casey’S General Stores, Inc. | 1,600 | 346,336 |
Centre Testing International Group Co., Ltd. Class A (China) | 273,769 | 817,786 |
Cintas Corp. | 4,576 | 2,117,224 |
Compass Group PLC (United Kingdom) | 84,252 | 2,118,426 |
CoStar Group, Inc. † | 31,710 | 2,183,234 |
Crocs, Inc. † | 1,787 | 225,948 |
Dillard’s, Inc. Class A | 1,710 | 526,133 |
Dr. Ing. h.c. F. Porsche AG (Preference) (Germany) † | 3,613 | 462,408 |
Expedia Group, Inc. † | 54,864 | 5,323,454 |
Experian PLC (United Kingdom) | 98,875 | 3,254,491 |
FactSet Research Systems, Inc. | 1,789 | 742,596 |
Foot Locker, Inc. | 3,092 | 122,721 |
Ford Motor Co. | 55,014 | 693,176 |
Forrester Research, Inc. † | 1,353 | 43,770 |
Franklin Covey Co. † | 2,094 | 80,556 |
Gartner, Inc. † | 15,841 | 5,160,523 |
General Motors Co. | 221,897 | 8,139,182 |
Genuine Parts Co. | 3,900 | 652,509 |
GMS, Inc. † | 7,222 | 418,082 |
Golden Entertainment, Inc. † | 4,878 | 212,242 |
Dynamic Asset Allocation Growth Fund 11 |
COMMON STOCKS (79.1%)* cont. | Shares | Value |
Consumer cyclicals cont. | ||
Goodyear Tire & Rubber Co. (The) † | 8,886 | $97,924 |
Group 1 Automotive, Inc. | 662 | 149,890 |
H World Group, Ltd. ADR (China) | 31,186 | 1,527,490 |
Hermes International (France) | 1,502 | 3,042,468 |
Hilton Worldwide Holdings, Inc. | 20,939 | 2,949,677 |
Home Depot, Inc. (The) | 7,945 | 2,344,728 |
Hovnanian Enterprises, Inc. Class A † | 2,128 | 144,364 |
Huron Consulting Group, Inc. † | 1,175 | 94,435 |
iHeartMedia, Inc. Class A † | 12,085 | 47,132 |
Indian Hotels Co., Ltd. (India) | 341,992 | 1,350,848 |
Industria de Diseno Textil SA (Spain) | 79,433 | 2,667,587 |
InterContinental Hotels Group PLC (United Kingdom) | 37,637 | 2,473,067 |
International Game Technology PLC | 22,240 | 596,032 |
Jardine Matheson Holdings, Ltd. (Hong Kong) | 10,500 | 511,495 |
JD Sports Fashion PLC (United Kingdom) | 1,560,090 | 3,434,881 |
Kontoor Brands, Inc. | 2,766 | 133,847 |
La Francaise des Jeux SAEM (France) | 8,544 | 356,207 |
Laureate Education, Inc. | 40,146 | 472,117 |
Li Ning Co., Ltd. (China) | 185,500 | 1,462,144 |
Light & Wonder, Inc. † | 12,338 | 740,897 |
Live Nation Entertainment, Inc. † | 29,073 | 2,035,110 |
LiveRamp Holdings, Inc. † | 24,400 | 535,092 |
Lojas Renner SA (Brazil) | 104,700 | 342,290 |
Lowe’s Cos., Inc. | 3,496 | 699,095 |
Lululemon Athletica, Inc. (Canada) † | 10,791 | 3,929,974 |
LVMH Moet Hennessy Louis Vuitton SA (France) | 12,326 | 11,296,258 |
M/I Homes, Inc. † | 1,685 | 106,307 |
Macy’s, Inc. | 33,600 | 587,664 |
Marriott International, Inc./MD Class A | 4,600 | 763,784 |
Masonite International Corp. † | 1,709 | 155,126 |
Mastercard, Inc. Class A | 22,907 | 8,324,633 |
MasterCraft Boat Holdings, Inc. † | 4,321 | 131,488 |
Medifast, Inc. | 951 | 98,590 |
Modine Manufacturing Co. † | 21,273 | 490,343 |
Moncler SpA (Italy) | 18,230 | 1,260,045 |
Movado Group, Inc. | 3,242 | 93,272 |
Murphy USA, Inc. | 434 | 111,994 |
NeoGames SA (Israel) † | 4,073 | 61,910 |
New York Times Co. (The) Class A | 16,588 | 644,941 |
Nike, Inc. Class B | 40,454 | 4,961,279 |
Nintendo Co., Ltd. (Japan) | 62,100 | 2,407,336 |
NVR, Inc. † | 165 | 919,411 |
O’Reilly Automotive, Inc. † | 7,888 | 6,696,755 |
Owens Corning | 7,600 | 728,080 |
Oxford Industries, Inc. | 1,321 | 139,484 |
Pan Pacific International Holdings Corp. (Japan) | 112,700 | 2,180,920 |
Pandora A/S (Denmark) | 14,281 | 1,368,612 |
PayPal Holdings, Inc. † | 25,600 | 1,944,064 |
PGT Innovations, Inc. † | 4,896 | 122,939 |
12 Dynamic Asset Allocation Growth Fund |
COMMON STOCKS (79.1%)* cont. | Shares | Value |
Consumer cyclicals cont. | ||
Pitney Bowes, Inc. | 62,743 | $244,070 |
Porsche Automobil Holding SE (Preference) (Germany) | 7,048 | 404,499 |
PRADA SpA (Italy) | 269,700 | 1,915,724 |
PROG Holdings, Inc. † | 4,224 | 100,489 |
Publicis Groupe SA (France) | 15,500 | 1,210,948 |
PulteGroup, Inc. | 92,117 | 5,368,579 |
Rational AG (Germany) | 379 | 253,664 |
RE/MAX Holdings, Inc. Class A | 5,624 | 105,506 |
Red Rock Resorts, Inc. Class A | 13,100 | 583,867 |
Ryman Hospitality Properties, Inc. R | 7,832 | 702,765 |
Scholastic Corp. | 1,322 | 45,239 |
Shenzhou International Group Holdings, Ltd. (China) | 130,500 | 1,362,831 |
Signet Jewelers, Ltd. | 8,120 | 631,574 |
Sinclair Broadcast Group, Inc. Class A | 5,988 | 102,754 |
Skyline Champion Corp. † | 9,114 | 685,646 |
Sony Group Corp. (Japan) | 30,900 | 2,809,250 |
SP Plus Corp. † | 3,018 | 103,487 |
Stellantis NV (Italy) | 146,266 | 2,661,198 |
StoneCo., Ltd. Class A (Brazil) † | 41,738 | 398,181 |
Tapestry, Inc. | 17,900 | 771,669 |
Target Corp. | 16,989 | 2,813,888 |
TechnoPro Holdings, Inc. (Japan) | 41,600 | 1,152,974 |
Tesla, Inc. † | 70,574 | 14,641,282 |
Thomson Reuters Corp. (Canada) | 15,581 | 2,027,202 |
TJX Cos., Inc. (The) | 9,000 | 705,240 |
Toast, Inc. Class A † | 34,800 | 617,700 |
Toll Brothers, Inc. | 21,078 | 1,265,312 |
Trade Desk, Inc. (The) Class A † | 19,400 | 1,181,654 |
TRI Pointe Homes, Inc. † | 22,826 | 577,954 |
TuSimple Holdings, Inc. Class A † | 98,463 | 144,741 |
United Rentals, Inc. | 8,916 | 3,528,596 |
Universal Music Group NV (Netherlands) | 242,689 | 6,134,941 |
Verisk Analytics, Inc. | 33,300 | 6,388,938 |
Vista Outdoor, Inc. † | 7,185 | 199,096 |
Visteon Corp. † | 4,087 | 640,964 |
Volkswagen AG (Preference) (Germany) | 16,803 | 2,292,843 |
WalMart de Mexico (Walmex) SAB de CV (Mexico) | 578,540 | 2,311,592 |
Walmart, Inc. | 56,935 | 8,395,066 |
Walt Disney Co. (The) † | 7,135 | 714,428 |
Warner Bros Discovery, Inc. † | 42,557 | 642,611 |
Wolters Kluwer NV (Netherlands) | 27,570 | 3,479,031 |
Worldline SA/France (France) † | 62,489 | 2,655,740 |
Wyndham Hotels & Resorts, Inc. | 9,400 | 637,790 |
260,808,197 | ||
Consumer staples (6.8%) | ||
A-Mark Precious Metals, Inc. | 4,820 | 167,013 |
ACCO Brands Corp. | 18,611 | 99,011 |
Airbnb, Inc. Class A † | 7,599 | 945,316 |
Albertsons Cos., Inc. Class A | 30,300 | 629,634 |
Dynamic Asset Allocation Growth Fund 13 |
COMMON STOCKS (79.1%)* cont. | Shares | Value |
Consumer staples cont. | ||
Asahi Group Holdings, Ltd. (Japan) | 89,900 | $3,346,977 |
Bloomin’ Brands, Inc. | 6,228 | 159,748 |
Brink’s Co. (The) | 7,223 | 482,496 |
British American Tobacco PLC (United Kingdom) | 6,297 | 220,677 |
Cal-Maine Foods, Inc. | 1,787 | 108,810 |
Cargurus, Inc. † | 20,212 | 377,560 |
Carlsberg A/S Class B (Denmark) | 2,060 | 318,518 |
China Mengniu Dairy Co., Ltd. (China) | 260,000 | 1,066,242 |
Chipotle Mexican Grill, Inc. † | 1,910 | 3,262,834 |
CK Hutchison Holdings, Ltd. (Hong Kong) | 729,000 | 4,526,683 |
Coca-Cola Co. (The) | 260,272 | 16,144,672 |
Coca-Cola Consolidated, Inc. | 1,064 | 569,325 |
Coca-Cola Europacific Partners PLC (Spain) | 63,809 | 3,776,855 |
Coca-Cola HBC AG (Italy) | 45,208 | 1,236,670 |
Coles Group, Ltd. (Australia) | 117,217 | 1,413,305 |
Colgate-Palmolive Co. | 8,758 | 658,164 |
Conagra Brands, Inc. | 18,800 | 706,128 |
CoreCivic, Inc. † | 24,393 | 224,416 |
Costco Wholesale Corp. | 13,316 | 6,616,321 |
Dave & Buster’s Entertainment, Inc. † | 4,948 | 182,037 |
Diageo PLC (United Kingdom) | 103,898 | 4,637,007 |
Dino Polska SA (Poland) † | 9,845 | 892,144 |
DoorDash, Inc. Class A † | 11,200 | 711,872 |
Estee Lauder Cos., Inc. (The) Class A | 11,622 | 2,864,358 |
EverQuote, Inc. Class A † | 14,527 | 201,925 |
First Watch Restaurant Group, Inc. † | 12,435 | 199,706 |
Heidrick & Struggles International, Inc. | 6,402 | 194,365 |
Hershey Co. (The) | 19,928 | 5,069,883 |
Hostess Brands, Inc. † | 17,060 | 424,453 |
Hudson Technologies, Inc. † | 11,734 | 102,438 |
Imperial Brands PLC (United Kingdom) | 97,290 | 2,237,392 |
Ingles Markets, Inc. Class A | 2,541 | 225,387 |
Insperity, Inc. | 803 | 97,605 |
Inter Parfums, Inc. | 2,206 | 313,781 |
ITOCHU Corp. (Japan) | 108,700 | 3,539,596 |
Itron, Inc. † | 10,293 | 570,747 |
JD.com, Inc. Class A (China) | 23,220 | 508,905 |
John B. Sanfilippo & Son, Inc. | 1,387 | 134,428 |
Kerry Group PLC Class A (Ireland) | 16,346 | 1,629,031 |
Kesko Oyj Class B (Finland) | 24,820 | 533,843 |
Keurig Dr Pepper, Inc. | 84,245 | 2,972,164 |
Kforce, Inc. | 3,460 | 218,810 |
Koninklijke Ahold Delhaize NV (Netherlands) | 75,481 | 2,581,861 |
Korn Ferry | 9,661 | 499,860 |
Kraft Heinz Co. (The) | 17,100 | 661,257 |
L’Oreal SA (France) | 8,145 | 3,644,089 |
ManpowerGroup, Inc. | 7,600 | 627,228 |
McDonald’s Corp. | 2,215 | 619,336 |
McDonald’s Holdings Co. (Japan), Ltd. (Japan) | 22,900 | 952,269 |
14 Dynamic Asset Allocation Growth Fund |
COMMON STOCKS (79.1%)* cont. | Shares | Value |
Consumer staples cont. | ||
MercadoLibre, Inc. (Brazil) † | 957 | $1,261,383 |
Mondelez International, Inc. Class A | 9,900 | 690,228 |
Nestle SA (Switzerland) | 52,934 | 6,462,014 |
Netflix, Inc. † | 10,913 | 3,770,223 |
PepsiCo, Inc. | 13,000 | 2,369,900 |
Perdoceo Education Corp. † | 23,990 | 322,186 |
Philip Morris International, Inc. | 111,616 | 10,854,656 |
Pinduoduo, Inc. ADR (China) † | 13,792 | 1,046,813 |
Primo Water Corp. | 25,044 | 384,425 |
Procter & Gamble Co. (The) | 111,230 | 16,538,789 |
Recruit Holdings Co., Ltd. (Japan) | 83,100 | 2,303,332 |
Resideo Technologies, Inc. † | 6,393 | 116,864 |
Resources Connection, Inc. | 5,771 | 98,453 |
Sally Beauty Holdings, Inc. † | 32,434 | 505,322 |
Shoprite Holdings, Ltd. (South Africa) | 74,700 | 932,520 |
Simply Good Foods Co. (The) † | 10,074 | 400,643 |
Sodexo SA (France) | 7,440 | 726,843 |
Sumber Alfaria Trijaya Tbk PT (Indonesia) | 4,068,800 | 782,735 |
TriNet Group, Inc. † | 7,038 | 567,333 |
Uber Technologies, Inc. † | 235,551 | 7,466,967 |
Udemy, Inc. † | 10,455 | 92,318 |
Ulta Beauty, Inc. † | 1,500 | 818,505 |
Unilever PLC (United Kingdom) | 55,248 | 2,862,279 |
United Natural Foods, Inc. † | 7,445 | 196,176 |
US Foods Holding Corp. † | 9,400 | 347,236 |
USANA Health Sciences, Inc. † | 1,918 | 120,642 |
Vector Group, Ltd. | 15,968 | 191,776 |
Veritiv Corp. | 3,487 | 471,233 |
Wendy’s Co. (The) | 15,000 | 326,700 |
WH Group, Ltd. (Hong Kong) | 1,132,500 | 673,121 |
Yakult Honsha Co., Ltd. (Japan) | 27,200 | 1,977,431 |
150,784,198 | ||
Electronics (4.1%) | ||
Advanced Micro Devices, Inc. † | 45,189 | 4,428,974 |
Agilent Technologies, Inc. | 5,489 | 759,348 |
Allied Motion Technologies, Inc. | 2,449 | 94,654 |
Ambarella, Inc. † | 1,686 | 130,530 |
Broadcom, Inc. | 13,134 | 8,425,986 |
CEVA, Inc. † | 4,401 | 133,922 |
E Ink Holdings, Inc. (Taiwan) | 73,000 | 447,112 |
Enovix Corp. † | 10,731 | 159,999 |
Hamamatsu Photonics KK (Japan) | 12,700 | 685,553 |
Hoya Corp. (Japan) | 49,000 | 5,418,577 |
Keysight Technologies, Inc. † | 4,500 | 726,660 |
Lattice Semiconductor Corp. † | 28,071 | 2,680,781 |
MinebeaMitsumi, Inc. (Japan) | 88,800 | 1,695,319 |
Murata Manufacturing Co., Ltd. (Japan) | 25,100 | 1,532,703 |
nVent Electric PLC (United Kingdom) | 16,800 | 721,392 |
NVIDIA Corp. | 101,153 | 28,097,269 |
Dynamic Asset Allocation Growth Fund 15 |
COMMON STOCKS (79.1%)* cont. | Shares | Value |
Electronics cont. | ||
NXP Semiconductors NV | 8,922 | $1,663,730 |
Qualcomm, Inc. | 120,811 | 15,413,067 |
Rambus, Inc. † | 14,739 | 755,521 |
Samsung Electronics Co., Ltd. (South Korea) | 89,014 | 4,414,054 |
Shenzhen Inovance Technology Co., Ltd. Class A (China) | 70,450 | 721,950 |
Sinbon Electronics Co., Ltd. (Taiwan) | 121,000 | 1,363,360 |
STMicroelectronics NV (France) | 50,444 | 2,698,560 |
Synaptics, Inc. † | 2,422 | 269,205 |
TDK Corp. (Japan) | 58,100 | 2,085,070 |
Thales SA (France) | 29,778 | 4,402,368 |
Trimble Inc. † | 5,700 | 298,794 |
TTM Technologies, Inc. † | 3,728 | 50,291 |
Vishay Intertechnology, Inc. | 5,784 | 130,834 |
Vontier Corp. | 59,240 | 1,619,622 |
92,025,205 | ||
Energy (3.8%) | ||
Alpha Metallurgical Resources, Inc. | 3,691 | 575,796 |
APA Corp. | 18,507 | 667,362 |
Arch Resources, Inc. | 2,334 | 306,828 |
BP PLC (United Kingdom) | 954,715 | 6,044,245 |
California Resources Corp. | 11,719 | 451,182 |
Cheniere Energy, Inc. | 29,700 | 4,680,720 |
Chevron Corp. | 4,649 | 758,531 |
Chord Energy Corp. | 4,013 | 540,150 |
Comstock Resources, Inc. | 8,936 | 96,419 |
ConocoPhillips | 53,781 | 5,335,613 |
CONSOL Energy, Inc. | 5,547 | 323,224 |
Delek US Holdings, Inc. | 21,344 | 489,845 |
Energy Vault Holdings, Inc. † | 46,125 | 98,708 |
Enphase Energy, Inc. † | 3,300 | 693,924 |
Equinor ASA (Norway) | 67,950 | 1,932,442 |
Exxon Mobil Corp. | 200,474 | 21,983,979 |
Golar LNG, Ltd. (Norway) † | 21,677 | 468,223 |
Marathon Oil Corp. | 165,506 | 3,965,524 |
Marathon Petroleum Corp. | 52,686 | 7,103,653 |
Nabors Industries, Ltd. † | 1,700 | 207,247 |
NexTier Oilfield Solutions, Inc. † | 15,395 | 122,390 |
NOW, Inc. † | 33,052 | 368,530 |
Occidental Petroleum Corp. | 11,350 | 708,581 |
OMV AG (Austria) | 11,853 | 542,852 |
Par Pacific Holdings, Inc. † | 4,185 | 122,202 |
PBF Energy, Inc. Class A | 16,049 | 695,885 |
PetroChina Co., Ltd. Class H (China) | 2,262,000 | 1,341,841 |
Range Resources Corp. | 27,100 | 717,337 |
Reliance Industries, Ltd. (India) | 70,962 | 2,017,200 |
Repsol SA (Spain) | 144,913 | 2,230,697 |
Schlumberger, Ltd. | 12,400 | 608,840 |
Shell PLC (Euronext Amsterdam Exchange) (United Kingdom) | 152,668 | 4,388,719 |
Shell PLC (London Exchange) (United Kingdom) | 125,224 | 3,585,875 |
16 Dynamic Asset Allocation Growth Fund |
COMMON STOCKS (79.1%)* cont. | Shares | Value |
Energy cont. | ||
SM Energy Co. | 14,895 | $419,443 |
SunCoke Energy, Inc. | 21,221 | 190,565 |
Talos Energy, Inc. † | 24,076 | 357,288 |
Targa Resources Corp. | 9,300 | 678,435 |
Thermon Group Holdings, Inc. † | 7,074 | 176,284 |
TotalEnergies SE (France) | 42,012 | 2,478,824 |
US Silica Holdings, Inc. † | 37,077 | 442,699 |
Valero Energy Corp. | 34,921 | 4,874,972 |
Warrior Met Coal, Inc. | 15,509 | 569,335 |
Weatherford International PLC † | 11,197 | 664,542 |
85,026,951 | ||
Financials (11.3%) | ||
3i Group PLC (United Kingdom) | 109,751 | 2,288,496 |
Abu Dhabi Islamic Bank PJSC (United Arab Emirates) | 318,299 | 865,253 |
Affiliated Managers Group, Inc. | 4,300 | 612,406 |
AIA Group, Ltd. (Hong Kong) | 141,200 | 1,483,642 |
Alexander & Baldwin, Inc. R | 13,034 | 246,473 |
Alinma Bank (Saudi Arabia) | 190,157 | 1,496,342 |
Allianz SE (Germany) | 4,614 | 1,065,105 |
Ally Financial, Inc. | 25,100 | 639,799 |
Amalgamated Financial Corp. | 9,394 | 166,180 |
American Assets Trust, Inc. R | 3,025 | 56,235 |
American Equity Investment Life Holding Co. | 3,578 | 130,561 |
American Express Co. | 7,054 | 1,163,557 |
American Financial Group, Inc. | 5,050 | 613,575 |
American International Group, Inc. | 162,365 | 8,176,701 |
Ameriprise Financial, Inc. | 11,500 | 3,524,750 |
Ameris Bancorp | 2,483 | 90,828 |
AMERISAFE, Inc. | 2,238 | 109,550 |
Anywhere Real Estate, Inc. † | 38,859 | 205,176 |
Apollo Global Management, Inc. | 39,691 | 2,506,884 |
Apple Hospitality REIT, Inc. R | 15,293 | 237,347 |
Argo Group International Holdings, Ltd. (Bermuda) | 4,903 | 143,609 |
Armada Hoffler Properties, Inc. R | 8,183 | 96,641 |
Associated Banc-Corp. | 4,920 | 88,462 |
Assured Guaranty, Ltd. | 44,056 | 2,214,695 |
AvalonBay Communities, Inc. R | 3,700 | 621,822 |
Aviva PLC (United Kingdom) | 242,775 | 1,213,499 |
AXA SA (France) | 230,087 | 7,035,331 |
Axos Financial, Inc. † | 14,556 | 537,408 |
B3 SA — Brasil Bolsa Balcao (Brazil) | 179,400 | 366,343 |
BancFirst Corp. | 1,106 | 91,909 |
Banco Bilbao Vizcaya Argentaria SA (Spain) | 280,638 | 2,004,944 |
Bank Central Asia Tbk PT (Indonesia) | 1,637,800 | 956,967 |
Bank Leumi Le-Israel BM (Israel) | 207,292 | 1,567,683 |
Bank Mandiri Persero Tbk PT (Indonesia) | 1,986,000 | 1,365,391 |
Bank of America Corp. | 218,163 | 6,239,462 |
Bank of Ireland Group PLC (Ireland) | 385,502 | 3,900,951 |
Bank of New York Mellon Corp. (The) | 13,800 | 627,072 |
Dynamic Asset Allocation Growth Fund 17 |
COMMON STOCKS (79.1%)* cont. | Shares | Value |
Financials cont. | ||
Bank of NT Butterfield & Son, Ltd. (The) (Bermuda) | 5,392 | $145,584 |
Banner Corp. | 9,929 | 539,840 |
Barclays PLC (United Kingdom) | 430,150 | 776,645 |
Berkshire Hathaway, Inc. Class B † | 10,670 | 3,294,576 |
BGC Partners, Inc. Class A | 75,954 | 397,239 |
BrightSpire Capital, Inc. R | 16,402 | 96,772 |
Brixmor Property Group, Inc. R | 57,451 | 1,236,346 |
Brown & Brown, Inc. | 11,500 | 660,330 |
Camden Property Trust R | 5,400 | 566,136 |
Capital One Financial Corp. | 47,830 | 4,599,333 |
Carlyle Group, Inc. (The) | 90,923 | 2,824,068 |
Cathay General Bancorp | 13,061 | 450,866 |
CBRE Group, Inc. Class A † | 8,800 | 640,728 |
Central Pacific Financial Corp. | 4,877 | 87,298 |
Charles Schwab Corp. (The) | 70,723 | 3,704,470 |
Chubb, Ltd. | 3,556 | 690,504 |
Citigroup, Inc. | 265,779 | 12,462,377 |
City Office REIT, Inc. (Canada) R | 15,294 | 105,529 |
CK Asset Holdings, Ltd. (Hong Kong) | 241,418 | 1,462,591 |
CNB Financial Corp./PA | 2,041 | 39,187 |
CNO Financial Group, Inc. | 26,354 | 584,795 |
Columbia Banking System, Inc. | 21,567 | 461,965 |
Comerica, Inc. | 9,200 | 399,464 |
ConnectOne Bancorp, Inc. | 5,063 | 89,514 |
Corebridge Financial, Inc. | 38,200 | 611,964 |
Corporate Office Properties Trust R | 4,354 | 103,233 |
Cushman & Wakefield PLC † | 28,783 | 303,373 |
Customers Bancorp, Inc. † | 11,247 | 208,294 |
DBS Group Holdings, Ltd. (Singapore) | 223,000 | 5,542,043 |
Deutsche Boerse AG (Germany) | 12,420 | 2,417,199 |
Discover Financial Services | 43,663 | 4,315,651 |
DNB Bank ASA (Norway) | 146,759 | 2,632,459 |
Eagle Bancorp, Inc. | 2,557 | 85,583 |
East West Bancorp, Inc. | 8,700 | 482,850 |
Employers Holdings, Inc. | 2,992 | 124,736 |
Enova International, Inc. † | 3,177 | 141,154 |
Enstar Group, Ltd. † | 1,780 | 412,586 |
Enterprise Financial Services Corp. | 1,058 | 47,176 |
Equitable Holdings, Inc. | 107,895 | 2,739,454 |
Equity Lifestyle Properties, Inc. R | 9,687 | 650,288 |
Equity Residential R | 11,100 | 666,000 |
Essent Group, Ltd. | 15,903 | 636,915 |
Essential Properties Realty Trust, Inc. R | 4,357 | 108,271 |
Eurazeo SE (France) | 3,997 | 284,761 |
Fifth Third Bancorp | 19,300 | 514,152 |
First BanCorp/Puerto Rico (Puerto Rico) | 48,766 | 556,908 |
First Commonwealth Financial Corp. | 7,770 | 96,581 |
First Financial Corp./IN | 2,615 | 98,010 |
First Foundation, Inc. | 6,621 | 49,326 |
18 Dynamic Asset Allocation Growth Fund |
COMMON STOCKS (79.1%)* cont. | Shares | Value |
Financials cont. | ||
Fulton Financial Corp. | 21,113 | $291,782 |
Gaming and Leisure Properties, Inc. R | 81,531 | 4,244,504 |
Genworth Financial, Inc. Class A † | 116,060 | 582,621 |
Gjensidige Forsikring ASA (Norway) | 13,024 | 213,435 |
Goldman Sachs Group, Inc. (The) | 28,867 | 9,442,684 |
Goodman Group (Australia) R | 151,232 | 1,923,387 |
Granite Point Mortgage Trust, Inc. R | 19,765 | 98,034 |
Grupo Financiero Banorte SAB de CV Class O (Mexico) | 269,762 | 2,271,270 |
Hana Financial Group, Inc. (South Korea) | 33,753 | 1,061,384 |
Hancock Whitney Corp. | 12,617 | 459,259 |
Hanmi Financial Corp. | 6,486 | 120,445 |
Healthpeak Properties, Inc. R | 110,800 | 2,434,276 |
Heartland Financial USA, Inc. | 8,365 | 320,881 |
Heritage Commerce Corp. | 10,845 | 90,339 |
Hersha Hospitality Trust Class A R | 15,219 | 102,272 |
Hilltop Holdings, Inc. | 3,999 | 118,650 |
HomeStreet, Inc. | 4,914 | 88,403 |
Hope Bancorp, Inc. | 26,826 | 263,431 |
Horace Mann Educators Corp. | 10,384 | 347,656 |
ICICI Bank, Ltd. (India) | 377,656 | 4,050,066 |
Independent Bank Corp./MI | 5,319 | 94,519 |
Intercontinental Exchange, Inc. | 6,900 | 719,601 |
International Bancshares Corp. | 2,792 | 119,553 |
Investor AB Class B (Sweden) | 138,960 | 2,768,225 |
Israel Discount Bank, Ltd. Class A (Israel) | 129,426 | 636,637 |
Jackson Financial, Inc. Class A | 16,053 | 600,543 |
Japan Exchange Group, Inc. (Japan) | 168,500 | 2,570,907 |
Japan Post Holdings Co., Ltd. (Japan) | 286,600 | 2,332,007 |
Jones Lang LaSalle, Inc. † | 3,957 | 575,704 |
JPMorgan Chase & Co. | 123,291 | 16,066,050 |
Julius Baer Group, Ltd. (Switzerland) | 27,066 | 1,853,192 |
KB Financial Group, Inc. (South Korea) | 20,799 | 763,947 |
Kennedy-Wilson Holdings, Inc. | 25,387 | 421,170 |
KeyCorp | 31,287 | 391,713 |
Ladder Capital Corp. R | 9,998 | 94,481 |
Life Storage, Inc. R | 5,777 | 757,307 |
Lloyds Banking Group PLC (United Kingdom) | 4,456,225 | 2,628,930 |
London Stock Exchange Group PLC (United Kingdom) | 31,363 | 3,047,989 |
Marcus & Millichap, Inc. | 6,677 | 214,398 |
Marsh & McLennan Cos., Inc. | 4,200 | 699,510 |
MetLife, Inc. | 88,900 | 5,150,866 |
MFA Financial, Inc. R | 9,461 | 93,853 |
MGIC Investment Corp. | 71,051 | 953,504 |
Midland States Bancorp, Inc. | 4,173 | 89,386 |
Mitsubishi Estate Co., Ltd. (Japan) | 162,300 | 1,937,688 |
Mitsubishi UFJ Financial Group, Inc. (Japan) | 661,000 | 4,241,110 |
Mizrahi Tefahot Bank, Ltd. (Israel) | 20,999 | 658,945 |
Mr. Cooper Group, Inc. † | 13,076 | 535,724 |
Nasdaq, Inc. | 12,000 | 656,040 |
Dynamic Asset Allocation Growth Fund 19 |
COMMON STOCKS (79.1%)* cont. | Shares | Value |
Financials cont. | ||
National Australia Bank, Ltd. (Australia) | 138,888 | $2,578,316 |
National Bank Holdings Corp. Class A | 3,022 | 101,116 |
National Health Investors, Inc. R | 2,159 | 111,361 |
National Retail Properties, Inc. | 15,000 | 662,250 |
Navient Corp. | 32,454 | 518,939 |
NBT Bancorp, Inc. | 2,803 | 94,489 |
NN Group NV (Netherlands) | 5,453 | 197,848 |
Nomura Real Estate Holdings, Inc. (Japan) | 27,300 | 604,508 |
Nordea Bank ABP (Finland) | 171,596 | 1,831,355 |
OceanFirst Financial Corp. | 4,775 | 88,242 |
OFG Bancorp (Puerto Rico) | 7,022 | 175,129 |
Outfront Media, Inc. R | 30,408 | 493,522 |
Partners Group Holding AG (Switzerland) | 889 | 838,181 |
Pathward Financial, Inc. | 8,512 | 353,163 |
Peapack-Gladstone Financial Corp. | 3,322 | 98,398 |
PennyMac Financial Services, Inc. | 6,657 | 396,824 |
Phoenix Mills, Ltd. (The) (India) | 34,212 | 541,955 |
Piedmont Office Realty Trust, Inc. Class A R | 21,407 | 156,271 |
Ping An Insurance Group Co. of China, Ltd. Class H (China) | 210,000 | 1,361,085 |
Piper Sandler Cos. | 641 | 88,849 |
PNC Financial Services Group, Inc. (The) | 30,445 | 3,869,560 |
Popular, Inc. (Puerto Rico) | 9,800 | 562,618 |
Preferred Bank/Los Angeles CA | 1,782 | 97,671 |
ProAssurance Corp. | 5,690 | 105,151 |
Prologis, Inc. R | 5,957 | 743,255 |
Prudential PLC (United Kingdom) | 297,262 | 4,065,442 |
Public Storage R | 2,500 | 755,350 |
QCR Holdings, Inc. | 2,083 | 91,465 |
Regency Centers Corp. R | 10,900 | 666,862 |
Reinsurance Group of America, Inc. | 4,846 | 643,355 |
Retail Opportunity Investments Corp. R | 25,834 | 360,643 |
RMR Group, Inc. (The) Class A | 3,613 | 94,805 |
S&T Bancorp, Inc. | 3,634 | 114,289 |
Safehold, Inc. R | 3,851 | 113,096 |
Sampo Oyj Class A (Finland) | 45,258 | 2,134,894 |
SEI Investments Co. | 5,700 | 328,035 |
Sekisui Chemical Co., Ltd. (Japan) | 26,400 | 374,502 |
Simon Property Group, Inc. R | 18,746 | 2,098,990 |
SITE Centers Corp. R | 8,399 | 103,140 |
SLM Corp. | 48,313 | 598,598 |
SouthState Corp. | 3,491 | 248,769 |
STAG Industrial, Inc. R | 13,050 | 441,351 |
Star Holdings † | 3,682 | 64,030 |
State Street Corp. | 21,365 | 1,617,117 |
StoneX Group, Inc. † | 5,199 | 538,252 |
Sunstone Hotel Investors, Inc. R | 51,083 | 504,700 |
Synchrony Financial | 19,522 | 567,700 |
Taylor Morrison Home Corp. † | 17,024 | 651,338 |
Terreno Realty Corp. R | 1,544 | 99,742 |
20 Dynamic Asset Allocation Growth Fund |
COMMON STOCKS (79.1%)* cont. | Shares | Value |
Financials cont. | ||
TPG RE Finance Trust, Inc. R | 15,886 | $115,332 |
TrustCo Bank Corp. NY | 2,794 | 89,240 |
UBS Group AG (Switzerland) | 142,545 | 3,010,002 |
UMB Financial Corp. | 6,728 | 388,340 |
Universal Insurance Holdings, Inc. | 5,486 | 99,955 |
Unum Group | 16,617 | 657,369 |
Urban Edge Properties R | 6,648 | 100,119 |
Vicinity, Ltd. (Australia) R | 555,901 | 728,086 |
Virtu Financial, Inc. Class A | 36,500 | 689,850 |
Virtus Investment Partners, Inc. | 1,461 | 278,160 |
Visa, Inc. Class A | 32,908 | 7,419,438 |
Vornado Realty Trust R | 87,957 | 1,351,899 |
W.R. Berkley Corp. | 9,732 | 605,914 |
Washington Federal, Inc. | 7,544 | 227,225 |
Wells Fargo & Co. | 133,917 | 5,005,817 |
WesBanco, Inc. | 6,987 | 214,501 |
Wintrust Financial Corp. | 3,543 | 258,462 |
Zurich Insurance Group AG (Switzerland) | 2,076 | 993,347 |
251,274,028 | ||
Health care (10.8%) | ||
2seventy bio, Inc. † | 10,235 | 104,397 |
Abbott Laboratories | 141,566 | 14,334,973 |
AbbVie, Inc. | 43,121 | 6,872,194 |
ACADIA Pharmaceuticals, Inc. † | 7,054 | 132,756 |
Adaptive Biotechnologies Corp. † | 54,626 | 482,348 |
Agenus, Inc. † | 89,115 | 135,455 |
Alkermes PLC † | 21,967 | 619,250 |
Allscripts Healthcare Solutions, Inc. † | 30,764 | 401,470 |
AmerisourceBergen Corp. | 4,304 | 689,113 |
Amgen, Inc. | 2,725 | 658,769 |
AMN Healthcare Services, Inc. † | 5,572 | 462,253 |
Amylyx Pharmaceuticals, Inc. † | 13,076 | 383,650 |
AngioDynamics, Inc. † | 8,336 | 86,194 |
Apollo Hospitals Enterprise, Ltd. (India) | 20,349 | 1,069,717 |
Arcellx, Inc. † | 14,459 | 445,482 |
AstraZeneca PLC (United Kingdom) | 68,684 | 9,533,345 |
AstraZeneca PLC (Rights) (United Kingdom) F | 3,617 | 11,068 |
AstraZeneca PLC ADR (United Kingdom) | 69,184 | 4,802,061 |
AtriCure, Inc. † | 2,973 | 123,231 |
Avanos Medical, Inc. † | 8,601 | 255,794 |
Bio-Rad Laboratories, Inc. Class A † | 2,168 | 1,038,515 |
BioCryst Pharmaceuticals, Inc. † | 10,780 | 89,905 |
Biohaven, Ltd. † | 6,986 | 95,429 |
bioMerieux (France) | 4,389 | 463,066 |
Boston Scientific Corp. † | 15,702 | 785,571 |
BridgeBio Pharma, Inc. † | 13,276 | 220,116 |
Bristol-Myers Squibb Co. | 87,543 | 6,067,605 |
Cardinal Health, Inc. | 8,836 | 667,118 |
Castle Biosciences, Inc. † | 3,751 | 85,223 |
Dynamic Asset Allocation Growth Fund 21 |
COMMON STOCKS (79.1%)* cont. | Shares | Value |
Health care cont. | ||
Catalyst Pharmaceuticals, Inc. † | 6,759 | $112,064 |
Chugai Pharmaceutical Co., Ltd. (Japan) | 29,500 | 729,139 |
Cigna Corp. | 25,214 | 6,442,933 |
Cogent Biosciences, Inc. † | 8,713 | 94,013 |
Computer Programs and Systems, Inc. † | 3,362 | 101,532 |
Corcept Therapeutics, Inc. † | 4,991 | 108,105 |
CVS Health Corp. | 103,395 | 7,683,282 |
Daiichi Sankyo Co., Ltd. (Japan) | 44,700 | 1,631,401 |
Danaher Corp. | 25,319 | 6,381,400 |
Dexcom, Inc. † | 21,804 | 2,533,189 |
Dyne Therapeutics, Inc. † | 10,046 | 115,730 |
Edwards Lifesciences Corp. † | 9,099 | 752,760 |
Elevance Health, Inc. | 15,375 | 7,069,579 |
Eli Lilly and Co. | 47,737 | 16,393,840 |
Enanta Pharmaceuticals, Inc. † | 8,372 | 338,564 |
Exelixis, Inc. † | 40,300 | 782,223 |
FibroGen, Inc. † | 26,239 | 489,620 |
Fulgent Genetics, Inc. † | 7,259 | 226,626 |
GE HealthCare Technologies, Inc. † | 4,866 | 399,158 |
Geron Corp. † | 45,487 | 98,707 |
Ginkgo Bioworks Holdings, Inc. † | 413,900 | 550,487 |
Glaukos Corp. † | 2,908 | 145,691 |
GlaxoSmithKline PLC (United Kingdom) | 129,097 | 2,302,493 |
HCA Healthcare, Inc. | 12,247 | 3,229,289 |
Hologic, Inc. † | 9,200 | 742,440 |
Humana, Inc. | 8,643 | 4,195,831 |
IDEXX Laboratories, Inc. † | 3,002 | 1,501,240 |
IGM Biosciences, Inc. † | 5,742 | 78,895 |
Illumina, Inc. † | 1,609 | 374,173 |
ImmunoGen, Inc. † | 54,042 | 207,521 |
Inari Medical, Inc. † | 1,685 | 104,032 |
Incyte Corp. † | 28,291 | 2,044,591 |
Inspire Medical Systems, Inc. † | 3,053 | 714,616 |
Intercept Pharmaceuticals, Inc. † | 35,394 | 475,341 |
Intuitive Surgical, Inc. † | 7,945 | 2,029,709 |
Ipsen SA (France) | 5,698 | 628,053 |
IQVIA Holdings, Inc. † | 12,404 | 2,467,031 |
IVERIC bio, Inc. † | 6,046 | 147,099 |
Johnson & Johnson | 14,492 | 2,246,260 |
Karuna Therapeutics, Inc. † | 3,346 | 607,767 |
Karyopharm Therapeutics, Inc. † | 32,780 | 127,514 |
Keros Therapeutics, Inc. † | 2,204 | 94,111 |
Kiniksa Pharmaceuticals, Ltd. Class A † | 11,272 | 121,287 |
Lantheus Holdings, Inc. † | 8,624 | 711,997 |
LivaNova PLC (United Kingdom) † | 9,280 | 404,422 |
Lonza Group AG (Switzerland) | 2,299 | 1,382,768 |
Max Healthcare Institute, Ltd. (India) † | 205,169 | 1,103,523 |
McKesson Corp. | 17,120 | 6,095,576 |
Medpace Holdings, Inc. † | 741 | 139,345 |
22 Dynamic Asset Allocation Growth Fund |
COMMON STOCKS (79.1%)* cont. | Shares | Value |
Health care cont. | ||
Medtronic PLC | 23,600 | $1,902,632 |
Merck & Co., Inc. | 172,907 | 18,395,575 |
Merck KGaA (Germany) | 31,587 | 5,872,667 |
Mettler-Toledo International, Inc. † | 400 | 612,084 |
Molina Healthcare, Inc. † | 2,200 | 588,478 |
NextGen Healthcare, Inc. † | 14,821 | 258,034 |
NGM Biopharmaceuticals, Inc. † | 12,313 | 50,237 |
Novartis AG (Switzerland) | 54,017 | 4,959,024 |
Novo Nordisk A/S Class B (Denmark) | 59,081 | 9,375,717 |
Olympus Corp. (Japan) | 71,900 | 1,262,711 |
Ono Pharmaceutical Co., Ltd. (Japan) | 56,300 | 1,174,556 |
Option Care Health, Inc. † | 18,982 | 603,058 |
Orthofix Medical, Inc. (Netherlands) † | 6,208 | 103,984 |
Pacific Biosciences of California, Inc. † | 11,306 | 130,923 |
Pfizer, Inc. | 102,726 | 4,191,221 |
Provention Bio, Inc. † | 4,328 | 104,305 |
PTC Therapeutics, Inc. † | 13,259 | 642,266 |
RadNet, Inc. † | 7,201 | 180,241 |
RAPT Therapeutics, Inc. † | 5,819 | 106,779 |
Regeneron Pharmaceuticals, Inc. † | 9,542 | 7,840,376 |
Rigel Pharmaceuticals, Inc. † | 70,859 | 93,534 |
Roche Holding AG (Switzerland) | 11,752 | 3,363,274 |
Sabra Health Care REIT, Inc. R | 25,758 | 296,217 |
Sanofi (France) | 64,893 | 7,066,987 |
Shenzhen Mindray Bio-Medical Electronics Co., Ltd. Class A (China) | 20,500 | 934,304 |
Sonic Healthcare, Ltd. (Australia) | 66,340 | 1,550,665 |
Sonova Holding AG (Switzerland) | 5,045 | 1,487,687 |
STAAR Surgical Co. † | 7,112 | 454,812 |
Sun Pharmaceutical Industries, Ltd. (India) | 60,955 | 730,249 |
Sutro Biopharma, Inc. † | 18,921 | 87,415 |
Teladoc Health, Inc. † | 23,300 | 603,470 |
Thermo Fisher Scientific, Inc. | 8,978 | 5,174,650 |
TransMedics Group, Inc. † | 7,405 | 560,781 |
UnitedHealth Group, Inc. | 22,752 | 10,752,368 |
Vertex Pharmaceuticals, Inc. † | 27,600 | 8,695,932 |
Vir Biotechnology, Inc. † | 20,396 | 474,615 |
Waters Corp. † | 2,100 | 650,223 |
Xencor, Inc. † | 3,188 | 88,913 |
239,993,999 | ||
Miscellaneous (—%) | ||
Hangzhou Tigermed Consulting Co., Ltd. Class H (China) | 91,200 | 859,193 |
859,193 | ||
Semiconductor (1.0%) | ||
Applied Materials, Inc. | 32,476 | 3,989,027 |
ASML Holding NV (Netherlands) | 3,222 | 2,201,576 |
Axcelis Technologies, Inc. † | 4,954 | 660,121 |
Faraday Technology Corp. (Taiwan) | 133,000 | 867,701 |
KLA Corp. | 2,483 | 991,139 |
Lam Research Corp. | 1,823 | 966,409 |
Dynamic Asset Allocation Growth Fund 23 |
COMMON STOCKS (79.1%)* cont. | Shares | Value |
Semiconductor cont. | ||
LEENO Industrial, Inc. (South Korea) | 1,238 | $137,492 |
MaxLinear, Inc. Class A † | 15,952 | 561,670 |
Renesas Electronics Corp. (Japan) † | 168,100 | 2,440,590 |
Taiwan Semiconductor Manufacturing Co., Ltd. (Taiwan) | 521,350 | 9,236,170 |
22,051,895 | ||
Software (5.6%) | ||
Adobe, Inc. † | 19,674 | 7,581,769 |
American Software, Inc./GA Class A | 5,866 | 73,970 |
Appian Corp. † | 2,265 | 100,521 |
Atlassian Corp. Class A † | 13,800 | 2,362,146 |
Autodesk, Inc. † | 3,800 | 791,008 |
Cadence Design Systems, Inc. † | 72,136 | 15,155,053 |
Dassault Systemes SE (France) | 31,092 | 1,284,098 |
Domo, Inc. Class B † | 27,527 | 390,608 |
Intapp, Inc. † | 9,668 | 433,513 |
Intuit, Inc. | 11,637 | 5,188,124 |
Manhattan Associates, Inc. † | 4,600 | 712,310 |
Microsoft Corp. | 244,012 | 70,348,660 |
Okta, Inc. † | 9,100 | 784,784 |
Oracle Corp. | 106,824 | 9,926,086 |
PROS Holdings, Inc. † | 9,482 | 259,807 |
ROBLOX Corp. Class A † | 23,400 | 1,052,532 |
Square Enix Holdings Co., Ltd. (Japan) | 30,500 | 1,465,548 |
Squarespace, Inc. Class A † | 16,329 | 518,772 |
Tata Consultancy Services, Ltd. (India) | 57,272 | 2,243,103 |
TIS, Inc. (Japan) | 45,600 | 1,205,330 |
Totvs SA (Brazil) | 179,755 | 998,708 |
Wix.com, Ltd. (Israel) † | 21,500 | 2,145,700 |
Workday, Inc. Class A † | 3,600 | 743,544 |
125,765,694 | ||
Technology services (5.1%) | ||
Accenture PLC Class A | 48,882 | 13,970,964 |
Alibaba Group Holding, Ltd. (China) † | 162,856 | 2,071,155 |
Alphabet, Inc. Class A † | 260,373 | 27,008,491 |
Alphabet, Inc. Class C † | 135,080 | 14,048,320 |
Capgemini SE (France) | 12,691 | 2,360,603 |
CSG Systems International, Inc. | 7,345 | 394,427 |
DocuSign, Inc. † | 14,610 | 851,763 |
eBay, Inc. | 144,542 | 6,413,329 |
Fair Isaac Corp. † | 1,079 | 758,203 |
GoDaddy, Inc. Class A † | 8,600 | 668,392 |
HealthStream, Inc. † | 5,002 | 135,554 |
Leidos Holdings, Inc. | 18,442 | 1,697,771 |
Meituan Class B (China) † | 103,641 | 1,882,496 |
Meta Platforms, Inc. Class A † | 109,623 | 23,233,498 |
Palo Alto Networks, Inc. † | 31,184 | 6,228,692 |
Persistent Systems, Ltd. (India) | 10,045 | 565,431 |
Pinterest, Inc. Class A † | 25,600 | 698,112 |
Roku, Inc. † | 9,700 | 638,454 |
24 Dynamic Asset Allocation Growth Fund |
COMMON STOCKS (79.1%)* cont. | Shares | Value |
Technology services cont. | ||
Salesforce, Inc. † | 17,129 | $3,422,032 |
Spotify Technology SA (Sweden) † | 8,223 | 1,098,757 |
Tencent Holdings, Ltd. (China) | 113,111 | 5,526,982 |
Zebra Technologies Corp. Class A † | 2,605 | 828,390 |
114,501,816 | ||
Transportation (1.4%) | ||
A.P. Moeller-Maersck A/S Class B (Denmark) | 146 | 264,585 |
ArcBest Corp. | 3,544 | 327,536 |
Ardmore Shipping Corp. (Ireland) | 9,981 | 148,417 |
Arlo Technologies, Inc. † | 26,815 | 162,499 |
Canadian National Railway Co. (Canada) | 25,423 | 2,999,782 |
Canadian Pacific Railway, Ltd. (Canada) | 20,981 | 1,614,278 |
Copa Holdings SA Class A (Panama) † | 11,505 | 1,062,487 |
Covenant Logistics Group, Inc. | 3,858 | 136,650 |
CSX Corp. | 170,300 | 5,098,782 |
Daseke, Inc. † | 13,566 | 104,865 |
Delta Air Lines, Inc. † | 19,700 | 687,924 |
Deutsche Lufthansa AG (Germany) † | 56,820 | 632,201 |
Deutsche Post AG (Germany) | 55,108 | 2,574,109 |
Dorian LPG, Ltd. | 10,881 | 216,967 |
Hub Group, Inc. Class A † | 4,698 | 394,350 |
International Container Terminal Services, Inc. (Philippines) | 328,440 | 1,290,333 |
Kongsberg Gruppen ASA (Norway) | 6,473 | 261,437 |
Matson, Inc. | 6,981 | 416,556 |
Nippon Yusen (Japan) | 44,400 | 1,037,507 |
Qantas Airways, Ltd. (voting rights) (Australia) † | 332,444 | 1,476,868 |
Safe Bulkers, Inc. (Monaco) | 26,432 | 97,534 |
Scorpio Tankers, Inc. | 6,775 | 381,500 |
SITC International Holdings Co., Ltd. (Hong Kong) | 57,000 | 122,503 |
Southwest Airlines Co. | 100,932 | 3,284,327 |
Teekay Corp. (Bermuda) † | 22,693 | 140,243 |
Union Pacific Corp. | 26,060 | 5,244,835 |
United Parcel Service, Inc. Class B | 3,934 | 763,157 |
30,942,232 | ||
Utilities and power (1.9%) | ||
AES Corp. (The) | 25,604 | 616,544 |
ALLETE, Inc. | 5,303 | 341,354 |
Ameren Corp. | 47,220 | 4,079,336 |
American Electric Power Co., Inc. | 7,400 | 673,326 |
Black Hills Corp. | 1,547 | 97,616 |
Chesapeake Utilities Corp. | 2,722 | 348,389 |
China Resources Gas Group, Ltd. (China) | 227,400 | 840,839 |
Constellation Energy Corp. | 76,533 | 6,007,841 |
Dominion Energy, Inc. | 12,100 | 676,511 |
DTE Energy Co. | 5,986 | 655,706 |
Duke Energy Corp. | 7,008 | 676,062 |
E.ON SE (Germany) | 204,522 | 2,551,158 |
Edison International | 10,358 | 731,171 |
Enel SpA (Italy) | 363,757 | 2,221,569 |
Dynamic Asset Allocation Growth Fund 25 |
COMMON STOCKS (79.1%)* cont. | Shares | Value |
Utilities and power cont. | ||
Eversource Energy | 8,900 | $696,514 |
Exelon Corp. | 96,358 | 4,036,437 |
FirstEnergy Corp. | 16,718 | 669,723 |
National Guel Gas co. | 11,800 | 681,332 |
New Jersey Resources Corp. | 3,528 | 187,690 |
NextEra Energy, Inc. | 9,300 | 716,844 |
Northwest Natural Holding Co. | 6,086 | 289,450 |
NRG Energy, Inc. | 119,468 | 4,096,558 |
Otter Tail Corp. | 2,966 | 214,353 |
PNM Resources, Inc. | 12,507 | 608,841 |
Portland General Electric Co. | 4,745 | 231,983 |
PPL Corp. | 11,300 | 314,027 |
Public Service Enterprise Group, Inc. | 11,200 | 699,440 |
RWE AG (Germany) | 53,410 | 2,296,025 |
SJW Group | 3,077 | 234,252 |
Southern Co. (The) | 9,535 | 663,445 |
Texas Competitive Electric Holdings Co., LLC/TCEH Finance, Inc. (Rights) | 11,872 | 13,653 |
Tokyo Gas Co., Ltd. (Japan) | 60,400 | 1,137,358 |
Unitil Corp. | 2,261 | 128,967 |
Vistra Corp. | 108,744 | 2,609,856 |
WEC Energy Group, Inc. | 7,300 | 691,967 |
Xcel Energy, Inc. | 10,358 | 698,544 |
42,434,681 | ||
Total common stocks (cost $1,354,223,040) | $1,764,990,671 | |
U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (17.8%)* | Principal amount | Value |
U.S. Government Guaranteed Mortgage Obligations (1.6%) | ||
Government National Mortgage Association Pass-Through Certificates | ||
6.00%, with due dates from 12/20/48 to 4/20/49 | $315,180 | $332,927 |
5.00%, 5/20/49 | 11,342 | 11,441 |
4.70%, with due dates from 5/20/67 to 8/20/67 | 90,457 | 90,580 |
4.639%, 6/20/67 | 50,915 | 50,821 |
4.525%, 3/20/67 | 66,557 | 66,331 |
4.50%, TBA, 4/1/53 | 7,000,000 | 6,894,713 |
4.50%, 5/20/49 | 52,344 | 52,085 |
4.00%, TBA, 4/1/53 | 5,000,000 | 4,813,346 |
3.00%, TBA, 4/1/53 | 14,000,000 | 12,735,326 |
3.00%, with due dates from 8/20/49 to 4/20/51 | 12,205,762 | 11,191,262 |
36,238,832 | ||
U.S. Government Agency Mortgage Obligations (16.2%) | ||
Federal Home Loan Mortgage Corporation Pass-Through Certificates | ||
4.00%, 9/1/45 | 152,191 | 149,338 |
3.00%, with due dates from 2/1/47 to 1/1/48 | 4,500,304 | 4,101,273 |
2.50%, with due dates from 8/1/50 to 8/1/51 | 2,213,391 | 1,916,683 |
Federal National Mortgage Association Pass-Through Certificates | ||
4.50%, with due dates from 2/1/39 to 4/1/39 | 17,410 | 17,512 |
4.00%, 1/1/57 | 454,989 | 440,062 |
4.00%, with due dates from 6/1/48 to 5/1/49 | 4,264,424 | 4,135,159 |
26 Dynamic Asset Allocation Growth Fund |
U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (17.8%)* cont. | Principal amount | Value |
U.S. Government Agency Mortgage Obligations cont. | ||
Federal National Mortgage Association Pass-Through Certificates | ||
3.50%, 6/1/56 | $1,332,324 | $1,247,417 |
3.50%, with due dates from 4/1/52 to 5/1/52 | 1,880,542 | 1,763,783 |
3.00%, with due dates from 4/1/46 to 11/1/48 | 6,335,017 | 5,802,651 |
2.50%, with due dates from 7/1/50 to 8/1/51 | 20,032,883 | 17,345,105 |
Uniform Mortgage-Backed Securities | ||
6.00%, TBA, 5/1/53 | 12,000,000 | 12,239,066 |
6.00%, TBA, 4/1/53 | 12,000,000 | 12,246,097 |
5.50%, TBA, 5/1/53 | 20,000,000 | 20,196,088 |
5.50%, TBA, 4/1/53 | 20,000,000 | 20,203,120 |
5.00%, TBA, 5/1/53 | 64,000,000 | 63,812,474 |
5.00%, TBA, 4/1/53 | 71,000,000 | 70,797,508 |
4.50%, TBA, 5/1/53 | 14,000,000 | 13,716,165 |
4.50%, TBA, 4/1/53 | 14,000,000 | 13,713,431 |
4.00%, TBA, 4/1/53 | 2,000,000 | 1,912,656 |
3.50%, TBA, 5/1/53 | 14,000,000 | 13,010,695 |
3.50%, TBA, 4/1/53 | 14,000,000 | 13,002,494 |
3.00%, TBA, 4/1/53 | 11,000,000 | 9,863,911 |
2.50%, TBA, 5/1/53 | 14,000,000 | 12,078,279 |
2.50%, TBA, 4/1/53 | 20,000,000 | 17,238,279 |
2.50%, TBA, 5/1/38 | 14,000,000 | 12,996,487 |
2.50%, TBA, 4/1/38 | 14,000,000 | 12,983,362 |
2.00%, TBA, 4/1/53 | 6,000,000 | 4,957,685 |
361,886,780 | ||
Total U.S. government and agency mortgage obligations (cost $400,608,668) | $398,125,612 | |
U.S. TREASURY OBLIGATIONS (—%)* | Principal amount | Value |
U.S. Treasury Notes 0.750%, 04/30/26 i | $145,000 | $132,649 |
U.S. Treasury Notes 1.875%, 02/28/27 i | 91,000 | 85,067 |
Total U.S. treasury obligations (cost $217,716) | $217,716 | |
CORPORATE BONDS AND NOTES (9.3%)* | Principal amount | Value | |
Basic materials (0.8%) | |||
ArcelorMittal SA sr. unsec. unsub. notes 7.00%, 10/15/39 (France) | $465,000 | $475,182 | |
ATI, Inc. sr. unsec. notes 4.875%, 10/1/29 | 85,000 | 77,354 | |
ATI, Inc. sr. unsec. sub. notes 5.875%, 12/1/27 | 385,000 | 376,107 | |
Avient Corp. 144A sr. unsec. unsub. notes 7.125%, 8/1/30 | 80,000 | 82,500 | |
Axalta Coating Systems, LLC 144A company guaranty sr. unsec. notes 3.375%, 2/15/29 | 440,000 | 376,985 | |
Beacon Roofing Supply, Inc. 144A company guaranty sr. notes 4.50%, 11/15/26 | 80,000 | 75,800 | |
Beacon Roofing Supply, Inc. 144A sr. unsec. unsub. notes 4.125%, 5/15/29 | 260,000 | 229,416 | |
Big River Steel, LLC/BRS Finance Corp. 144A sr. notes 6.625%, 1/31/29 | 263,000 | 260,991 | |
Boise Cascade Co. 144A company guaranty sr. unsec. notes 4.875%, 7/1/30 | 285,000 | 251,912 |
Dynamic Asset Allocation Growth Fund 27 |
CORPORATE BONDS AND NOTES (9.3%)* cont. | Principal amount | Value | |
Basic materials cont. | |||
Builders FirstSource, Inc. 144A company guaranty sr. unsec. bonds 6.375%, 6/15/32 | $125,000 | $125,446 | |
Builders FirstSource, Inc. 144A company guaranty sr. unsec. bonds 4.25%, 2/1/32 | 145,000 | 126,351 | |
Cabot Corp. sr. unsec. bonds 5.00%, 6/30/32 | 175,000 | 170,333 | |
Celanese US Holdings, LLC company guaranty sr. unsec. bonds 6.379%, 7/15/32 (Germany) | 143,000 | 144,958 | |
Celanese US Holdings, LLC company guaranty sr. unsec. notes 6.33%, 7/15/29 (Germany) | 355,000 | 358,909 | |
Celanese US Holdings, LLC company guaranty sr. unsec. notes 6.165%, 7/15/27 (Germany) | 1,137,000 | 1,143,449 | |
Celanese US Holdings, LLC company guaranty sr. unsec. notes 1.40%, 8/5/26 (Germany) | 170,000 | 146,141 | |
CF Industries, Inc. company guaranty sr. unsec. bonds 4.95%, 6/1/43 | 814,000 | 701,934 | |
CF Industries, Inc. 144A company guaranty sr. notes 4.50%, 12/1/26 | 280,000 | 272,608 | |
Commercial Metals Co. sr. unsec. notes 4.375%, 3/15/32 | 95,000 | 81,721 | |
Commercial Metals Co. sr. unsec. notes 4.125%, 1/15/30 | 255,000 | 225,077 | |
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 6.75%, 12/1/27 | 305,000 | 290,374 | |
Compass Minerals International, Inc. 144A company guaranty sr. unsec. notes 4.875%, 7/15/24 | 100,000 | 94,967 | |
Constellium NV 144A company guaranty sr. unsec. notes 5.875%, 2/15/26 (France) | 250,000 | 250,275 | |
CP Atlas Buyer, Inc. 144A sr. unsec. notes 7.00%, 12/1/28 | 150,000 | 111,392 | |
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 7.50%, 4/1/25 (Canada) | 315,000 | 314,742 | |
First Quantum Minerals, Ltd. 144A company guaranty sr. unsec. notes 6.875%, 3/1/26 (Canada) | 200,000 | 194,001 | |
Freeport-McMoRan, Inc. company guaranty sr. unsec. unsub. notes 5.45%, 3/15/43 (Indonesia) | 280,000 | 261,908 | |
Glencore Funding, LLC 144A company guaranty sr. unsec. notes 4.00%, 3/27/27 | 210,000 | 202,212 | |
Glencore Funding, LLC 144A company guaranty sr. unsec. notes 2.50%, 9/1/30 | 328,000 | 274,782 | |
Graphic Packaging International, LLC 144A company guaranty sr. unsec. notes 3.75%, 2/1/30 | 150,000 | 130,134 | |
Graphic Packaging International, LLC 144A company guaranty sr. unsec. notes 3.50%, 3/1/29 | 150,000 | 129,586 | |
Herens Holdco SARL 144A company guaranty sr. notes 4.75%, 5/15/28 (Luxembourg) | 305,000 | 245,525 | |
HudBay Minerals, Inc. 144A company guaranty sr. unsec. notes 6.125%, 4/1/29 (Canada) | 125,000 | 118,125 | |
Huntsman International, LLC sr. unsec. bonds 2.95%, 6/15/31 | 130,000 | 106,790 | |
Huntsman International, LLC sr. unsec. notes 4.50%, 5/1/29 | 286,000 | 268,565 | |
Ingevity Corp. 144A company guaranty sr. unsec. notes 3.875%, 11/1/28 | 225,000 | 192,375 | |
Intelligent Packaging Holdco Issuer LP 144A sr. unsec. notes 9.00%, 1/15/26 (Canada) ‡‡ | 150,000 | 111,000 |
28 Dynamic Asset Allocation Growth Fund |
CORPORATE BONDS AND NOTES (9.3%)* cont. | Principal amount | Value | |
Basic materials cont. | |||
Intelligent Packaging, Ltd., Finco, Inc./Intelligent Packaging, Ltd. Co-Issuer, LLC 144A sr. notes 6.00%, 9/15/28 (Canada) | $205,000 | $176,300 | |
International Flavors & Fragrances, Inc. sr. unsec. notes 4.45%, 9/26/28 | 251,000 | 238,726 | |
International Flavors & Fragrances, Inc. 144A company guaranty sr. unsec. bonds 3.468%, 12/1/50 | 47,000 | 31,927 | |
International Flavors & Fragrances, Inc. 144A sr. unsec. notes 2.30%, 11/1/30 | 83,000 | 66,607 | |
Kleopatra Holdings 2 SCA company guaranty sr. unsec. notes Ser. REGS, 6.50%, 9/1/26 (Luxembourg) | EUR | 170,000 | 105,527 |
Louisiana-Pacific Corp. 144A sr. unsec. notes 3.625%, 3/15/29 | $235,000 | 202,064 | |
LSF11 A5 HoldCo, LLC 144A sr. unsec. notes 6.625%, 10/15/29 | 375,000 | 315,326 | |
Mauser Packaging Solutions Holding Co. 144A company guaranty notes 9.25%, 4/15/27 | 170,000 | 157,078 | |
Mauser Packaging Solutions Holding Co. 144A sr. notes 7.875%, 8/15/26 | 370,000 | 370,000 | |
Mercer International, Inc. sr. unsec. notes 5.50%, 1/15/26 (Canada) | 230,000 | 224,022 | |
Mercer International, Inc. sr. unsec. notes 5.125%, 2/1/29 (Canada) | 190,000 | 162,710 | |
Minsur SA sr. unsec. notes Ser. REGS, 4.50%, 10/28/31 (Peru) | 410,000 | 349,013 | |
Novelis Corp. 144A company guaranty sr. unsec. bonds 3.875%, 8/15/31 | 200,000 | 168,448 | |
Novelis Corp. 144A company guaranty sr. unsec. notes 4.75%, 1/30/30 | 580,000 | 532,901 | |
Novelis Corp. 144A company guaranty sr. unsec. notes 3.25%, 11/15/26 | 155,000 | 141,649 | |
Nutrien, Ltd. sr. unsec. bonds 5.25%, 1/15/45 (Canada) | 67,000 | 63,631 | |
Nutrien, Ltd. sr. unsec. bonds 4.125%, 3/15/35 (Canada) | 330,000 | 294,771 | |
Nutrien, Ltd. sr. unsec. sub. bonds 4.20%, 4/1/29 (Canada) | 129,000 | 124,250 | |
Olympus Water US Holding Corp. 144A sr. unsec. notes 6.25%, 10/1/29 | 260,000 | 192,454 | |
PMHC II, Inc. 144A sr. unsec. notes 9.00%, 2/15/30 | 295,000 | 226,441 | |
SCIH Salt Holdings, Inc. 144A sr. notes 4.875%, 5/1/28 | 520,000 | 463,622 | |
SCIH Salt Holdings, Inc. 144A sr. unsec. notes 6.625%, 5/1/29 | 380,000 | 314,450 | |
Sherwin-Williams Co. (The) sr. unsec. unsub. bonds 3.45%, 6/1/27 | 255,000 | 244,009 | |
TMS International Holding Corp. 144A sr. unsec. notes 6.25%, 4/15/29 | 280,000 | 215,851 | |
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. 144A company guaranty sr. unsec. notes 5.125%, 4/1/29 (Luxembourg) | 275,000 | 169,015 | |
Tronox, Inc. 144A company guaranty sr. unsec. notes 4.625%, 3/15/29 | 335,000 | 280,529 | |
Univar Solutions USA, Inc. 144A company guaranty sr. unsec. notes 5.125%, 12/1/27 | 265,000 | 265,186 | |
Westlake Corp. sr. unsec. bonds 3.125%, 8/15/51 | 403,000 | 256,131 | |
Westlake Corp. sr. unsec. bonds 2.875%, 8/15/41 | 202,000 | 137,039 | |
Westlake Corp. sr. unsec. unsub. notes 3.60%, 8/15/26 | 638,000 | 609,746 | |
WestRock MWV, LLC company guaranty sr. unsec. unsub. notes 8.20%, 1/15/30 | 305,000 | 355,838 | |
WestRock MWV, LLC company guaranty sr. unsec. unsub. notes 7.95%, 2/15/31 | 106,000 | 122,130 | |
Weyerhaeuser Co. sr. unsec. unsub. notes 7.375%, 3/15/32 R | 30,000 | 34,472 |
Dynamic Asset Allocation Growth Fund 29 |
CORPORATE BONDS AND NOTES (9.3%)* cont. | Principal amount | Value | |
Basic materials cont. | |||
WR Grace Holdings, LLC 144A company guaranty sr. notes 4.875%, 6/15/27 | $250,000 | $240,978 | |
WR Grace Holdings, LLC 144A sr. notes 7.375%, 3/1/31 | 265,000 | 265,331 | |
WR Grace Holdings, LLC 144A sr. unsec. notes 5.625%, 8/15/29 | 310,000 | 262,725 | |
17,380,824 | |||
Capital goods (0.7%) | |||
Adient Global Holdings, Ltd. 144A sr. notes 7.00%, 4/15/28 | 225,000 | 230,625 | |
Adient Global Holdings, Ltd. 144A sr. unsec. unsub. notes 8.25%, 4/15/31 | 265,000 | 272,288 | |
Allison Transmission, Inc. 144A company guaranty sr. unsec. bonds 3.75%, 1/30/31 | 120,000 | 102,382 | |
Allison Transmission, Inc. 144A company guaranty sr. unsec. notes 4.75%, 10/1/27 | 355,000 | 335,360 | |
Amsted Industries, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 7/1/27 | 170,000 | 165,325 | |
Amsted Industries, Inc. 144A sr. unsec. bonds 4.625%, 5/15/30 | 165,000 | 148,248 | |
ARD Finance SA 144A sr. notes Ser. REGS, 6.50%, 6/30/27 (Ireland) ‡‡ | 200,000 | 152,980 | |
Ardagh Metal Packaging Finance USA, LLC/Ardagh Metal Packaging Finance PLC 144A sr. unsec. notes 4.00%, 9/1/29 | 260,000 | 203,450 | |
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 144A company guaranty sr. sub. notes 4.125%, 8/15/26 (Ireland) | 240,000 | 223,800 | |
Ball Corp. company guaranty sr. unsec. notes 3.125%, 9/15/31 | 185,000 | 153,088 | |
Berry Global Escrow Corp. 144A sr. notes 4.875%, 7/15/26 | 24,000 | 23,393 | |
Berry Global, Inc. 144A company guaranty sr. notes 1.65%, 1/15/27 | 180,000 | 157,583 | |
Berry Global, Inc. 144A company guaranty sr. notes 1.57%, 1/15/26 | 450,000 | 408,515 | |
Boeing Co. (The) sr. unsec. notes 2.196%, 2/4/26 | 785,000 | 728,353 | |
Boeing Co. (The) sr. unsec. unsub. bonds 3.375%, 6/15/46 | 140,000 | 99,354 | |
Bombardier, Inc. 144A sr. unsec. notes 7.875%, 4/15/27 (Canada) | 5,000 | 5,062 | |
Bombardier, Inc. 144A sr. unsec. notes 7.125%, 6/15/26 (Canada) | 335,000 | 336,206 | |
Chart Industries, Inc. 144A company guaranty sr. notes 7.50%, 1/1/30 | 325,000 | 335,797 | |
Chart Industries, Inc. 144A company guaranty sr. unsec. notes 9.50%, 1/1/31 | 45,000 | 47,475 | |
Clarios Global LP 144A company guaranty sr. notes 6.75%, 5/15/25 | 144,000 | 145,534 | |
Clarios Global LP/Clarios US Finance Co. company guaranty sr. notes Ser. REGS, 4.375%, 5/15/26 | EUR | 185,000 | 191,125 |
Clean Harbors, Inc. 144A company guaranty sr. unsec. unsub. notes 6.375%, 2/1/31 | $250,000 | 255,064 | |
Covanta Holding Corp. 144A company guaranty sr. unsec. notes 4.875%, 12/1/29 | 380,000 | 338,101 | |
Crown Cork & Seal Co., Inc. company guaranty sr. unsec. bonds 7.375%, 12/15/26 | 165,000 | 174,352 | |
DP World Salaam jr. unsec. sub. FRN 6.00%, 1/1/26 (United Arab Emirates) | 430,000 | 426,775 | |
GFL Environmental, Inc. 144A company guaranty sr. notes 3.50%, 9/1/28 (Canada) | 165,000 | 149,325 | |
GFL Environmental, Inc. 144A company guaranty sr. unsec. notes 4.75%, 6/15/29 (Canada) | 210,000 | 196,161 | |
GFL Environmental, Inc. 144A company guaranty sr. unsec. notes 4.00%, 8/1/28 (Canada) | 50,000 | 45,429 |
30 Dynamic Asset Allocation Growth Fund |
CORPORATE BONDS AND NOTES (9.3%)* cont. | Principal amount | Value | |
Capital goods cont. | |||
GFL Environmental, Inc. 144A sr. notes 5.125%, 12/15/26 (Canada) | $225,000 | $219,997 | |
Great Lakes Dredge & Dock Corp. 144A company guaranty sr. unsec. notes 5.25%, 6/1/29 | 475,000 | 358,986 | |
Honeywell International, Inc. sr. unsec. bonds 3.812%, 11/21/47 | 155,000 | 135,317 | |
Howmet Aerospace, Inc. sr. unsec. unsub. notes 3.00%, 1/15/29 | 570,000 | 505,362 | |
Johnson Controls International PLC sr. unsec. bonds 4.95%, 7/2/64 | 250,000 | 223,725 | |
Johnson Controls International PLC sr. unsec. notes 3.90%, 2/14/26 | 202,000 | 196,729 | |
L3Harris Technologies, Inc. sr. unsec. bonds 1.80%, 1/15/31 | 55,000 | 44,455 | |
L3Harris Technologies, Inc. sr. unsec. notes 3.85%, 12/15/26 | 225,000 | 219,324 | |
L3Harris Technologies, Inc. sr. unsec. sub. notes 4.40%, 6/15/28 | 220,000 | 215,549 | |
Madison IAQ, LLC 144A sr. notes 4.125%, 6/30/28 | 90,000 | 77,850 | |
Madison IAQ, LLC 144A sr. unsec. notes 5.875%, 6/30/29 | 390,000 | 301,275 | |
MajorDrive Holdings IV, LLC 144A sr. unsec. notes 6.375%, 6/1/29 | 525,000 | 388,725 | |
Northrop Grumman Corp. sr. unsec. unsub. notes 3.25%, 1/15/28 | 535,000 | 508,338 | |
Oshkosh Corp. sr. unsec. sub. notes 4.60%, 5/15/28 | 146,000 | 144,065 | |
Otis Worldwide Corp. sr. unsec. notes 2.565%, 2/15/30 | 145,000 | 127,154 | |
Panther BF Aggregator 2 LP/Panther Finance Co., Inc. 144A company guaranty sr. unsec. notes 8.50%, 5/15/27 | 30,000 | 30,113 | |
Raytheon Technologies Corp. sr. unsec. bonds 4.875%, 10/15/40 | 65,000 | 63,358 | |
Raytheon Technologies Corp. sr. unsec. notes 5.15%, 2/27/33 | 60,000 | 62,442 | |
Raytheon Technologies Corp. sr. unsec. unsub. notes 4.125%, 11/16/28 | 445,000 | 438,599 | |
Ritchie Bros Holdings, Inc. 144A company guaranty sr. notes 6.75%, 3/15/28 | 95,000 | 97,494 | |
Ritchie Bros Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 7.75%, 3/15/31 | 190,000 | 198,835 | |
Roller Bearing Co. of America, Inc. 144A sr. notes 4.375%, 10/15/29 | 479,000 | 427,704 | |
Sensata Technologies BV 144A company guaranty sr. unsec. notes 4.00%, 4/15/29 | 600,000 | 542,085 | |
Sensata Technologies BV 144A company guaranty sr. unsec. unsub. notes 5.875%, 9/1/30 | 260,000 | 257,725 | |
Staples, Inc. 144A sr. notes 7.50%, 4/15/26 | 560,000 | 490,633 | |
Terex Corp. 144A company guaranty sr. unsec. notes 5.00%, 5/15/29 | 175,000 | 162,839 | |
TransDigm, Inc. company guaranty sr. unsec. sub. notes 6.375%, 6/15/26 | 185,000 | 180,838 | |
TransDigm, Inc. company guaranty sr. unsec. sub. notes 5.50%, 11/15/27 | 305,000 | 287,588 | |
TransDigm, Inc. company guaranty sr. unsec. sub. notes 4.875%, 5/1/29 | 240,000 | 212,420 | |
TransDigm, Inc. company guaranty sr. unsec. sub. notes 4.625%, 1/15/29 | 235,000 | 208,915 | |
TransDigm, Inc. 144A company guaranty sr. notes 6.25%, 3/15/26 | 710,000 | 710,646 | |
TransDigm, Inc. 144A sr. notes 6.75%, 8/15/28 | 310,000 | 312,325 | |
Vertical Midco GMBH company guaranty sr. notes Ser. REGS, 4.375%, 7/15/27 (Germany) | EUR | 110,000 | 107,734 |
Vertiv Group Corp. 144A company guaranty sr. notes 4.125%, 11/15/28 | $430,000 | 379,413 | |
Waste Connections, Inc. sr. unsec. bonds 3.20%, 6/1/32 | 56,000 | 49,897 |
Dynamic Asset Allocation Growth Fund 31 |
CORPORATE BONDS AND NOTES (9.3%)* cont. | Principal amount | Value | |
Capital goods cont. | |||
Waste Connections, Inc. sr. unsec. sub. bonds 3.50%, 5/1/29 | $265,000 | $247,213 | |
Waste Pro USA, Inc. 144A sr. unsec. notes 5.50%, 2/15/26 | 105,000 | 96,565 | |
WESCO Distribution, Inc. 144A company guaranty sr. unsec. unsub. notes 7.25%, 6/15/28 | 350,000 | 359,380 | |
15,642,762 | |||
Communication services (0.8%) | |||
Altice France Holding SA 144A company guaranty sr. sub. notes 10.50%, 5/15/27 (France) | 255,000 | 195,075 | |
Altice France Holding SA 144A company guaranty sr. unsec. notes 6.00%, 2/15/28 (France) | 505,000 | 322,291 | |
Altice France SA 144A company guaranty sr. notes 5.50%, 10/15/29 (France) | 275,000 | 210,280 | |
Altice France SA 144A company guaranty sr. notes 5.50%, 1/15/28 (France) | 200,000 | 164,310 | |
Altice France SA 144A company guaranty sr. notes 5.125%, 7/15/29 (France) | 200,000 | 150,500 | |
American Tower Corp. sr. unsec. bonds 2.70%, 4/15/31 R | 397,000 | 332,940 | |
American Tower Corp. sr. unsec. notes 2.90%, 1/15/30 R | 154,000 | 133,929 | |
American Tower Corp. sr. unsec. sub. notes 2.75%, 1/15/27 R | 505,000 | 465,589 | |
American Tower Corp. sr. unsec. unsub. notes 3.55%, 7/15/27 R | 476,000 | 448,604 | |
AT&T, Inc. company guaranty sr. unsec. unsub. notes 2.30%, 6/1/27 | 172,000 | 157,623 | |
AT&T, Inc. sr. unsec. bonds 3.55%, 9/15/55 | 1,018,000 | 730,729 | |
AT&T, Inc. sr. unsec. unsub. bonds 2.55%, 12/1/33 | 476,000 | 382,871 | |
AT&T, Inc. sr. unsec. unsub. notes 4.75%, 5/15/46 | 547,000 | 494,009 | |
AT&T, Inc. sr. unsec. unsub. notes 4.25%, 3/1/27 | 130,000 | 128,962 | |
CCO Holdings, LLC/CCO Holdings Capital Corp. sr. unsec. bonds 4.50%, 5/1/32 | 160,000 | 130,851 | |
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 5.375%, 6/1/29 | 110,000 | 101,008 | |
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. bonds 4.75%, 3/1/30 | 1,200,000 | 1,039,674 | |
CCO Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. notes 4.25%, 2/1/31 | 180,000 | 147,179 | |
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. notes 2.25%, 1/15/29 | 510,000 | 425,339 | |
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. sub. bonds 6.484%, 10/23/45 | 380,000 | 360,010 | |
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. sub. bonds 4.80%, 3/1/50 | 220,000 | 167,683 | |
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. company guaranty sr. sub. notes 4.908%, 7/23/25 | 180,000 | 178,204 | |
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp. sr. bonds 3.70%, 4/1/51 | 205,000 | 131,195 | |
Comcast Corp. company guaranty sr. unsec. bonds 2.987%, 11/1/63 | 107,000 | 69,377 | |
Comcast Corp. company guaranty sr. unsec. notes 3.45%, 2/1/50 | 224,000 | 173,002 |
32 Dynamic Asset Allocation Growth Fund |
CORPORATE BONDS AND NOTES (9.3%)* cont. | Principal amount | Value | |
Communication services cont. | |||
Comcast Corp. company guaranty sr. unsec. unsub. bonds 3.999%, 11/1/49 | $130,000 | $109,137 | |
Comcast Corp. company guaranty sr. unsec. unsub. bonds 2.35%, 1/15/27 | 157,000 | 146,243 | |
Cox Communications, Inc. 144A sr. unsec. bonds 3.50%, 8/15/27 | 290,000 | 274,312 | |
Crown Castle, Inc. sr. unsec. bonds 3.80%, 2/15/28 R | 250,000 | 237,254 | |
Crown Castle, Inc. sr. unsec. bonds 3.65%, 9/1/27 R | 319,000 | 302,605 | |
Crown Castle, Inc. sr. unsec. sub. notes 1.05%, 7/15/26 R | 228,000 | 200,907 | |
Crown Castle, Inc. sr. unsec. unsub. bonds 3.70%, 6/15/26 R | 112,000 | 107,975 | |
CSC Holdings, LLC 144A sr. unsec. bonds 5.75%, 1/15/30 | 340,000 | 179,019 | |
Deutsche Telekom International Finance BV company guaranty sr. unsec. unsub. bonds 8.75%, 6/15/30 (Netherlands) | 195,000 | 238,327 | |
DIRECTV Holdings, LLC/DIRECTV Financing Co., Inc. 144A sr. notes 5.875%, 8/15/27 | 100,000 | 90,570 | |
DISH DBS Corp. company guaranty sr. unsec. notes 7.75%, 7/1/26 | 155,000 | 102,300 | |
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5.875%, 11/15/24 | 15,000 | 13,375 | |
DISH DBS Corp. company guaranty sr. unsec. unsub. notes 5.125%, 6/1/29 | 235,000 | 125,138 | |
DISH DBS Corp. 144A company guaranty sr. notes 5.75%, 12/1/28 | 210,000 | 156,713 | |
DISH DBS Corp. 144A company guaranty sr. notes 5.25%, 12/1/26 | 115,000 | 91,758 | |
Embarq Corp. sr. unsec. unsub. bonds 7.995%, 6/1/36 | 550,000 | 231,000 | |
Equinix, Inc. sr. unsec. sub. notes 3.20%, 11/18/29 R | 142,000 | 126,757 | |
Equinix, Inc. sr. unsec. sub. notes 2.90%, 11/18/26 R | 820,000 | 762,556 | |
Frontier Communications Corp. 144A company guaranty sr. notes 5.875%, 10/15/27 | 490,000 | 445,459 | |
Frontier Communications Corp. 144A notes 6.75%, 5/1/29 | 435,000 | 344,738 | |
Level 3 Financing, Inc. 144A company guaranty sr. notes 10.50%, 5/15/30 | 148,500 | 141,818 | |
Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes 4.625%, 9/15/27 | 325,000 | 195,406 | |
Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes 4.25%, 7/1/28 | 545,000 | 307,489 | |
Rogers Communications, Inc. company guaranty sr. unsec. bonds 8.75%, 5/1/32 (Canada) | 166,000 | 200,850 | |
Sprint Capital Corp. company guaranty sr. unsec. unsub. notes 6.875%, 11/15/28 | 701,000 | 753,246 | |
Sprint Corp. company guaranty sr. unsec. notes 7.625%, 3/1/26 | 250,000 | 264,370 | |
T-Mobile USA, Inc. company guaranty sr. bonds 2.25%, 11/15/31 | 600,000 | 491,273 | |
T-Mobile USA, Inc. company guaranty sr. notes 3.875%, 4/15/30 | 108,000 | 101,338 | |
T-Mobile USA, Inc. company guaranty sr. notes 3.75%, 4/15/27 | 862,000 | 828,618 | |
T-Mobile USA, Inc. company guaranty sr. unsec. bonds 5.05%, 7/15/33 | 95,000 | 95,426 | |
T-Mobile USA, Inc. company guaranty sr. unsec. bonds 2.875%, 2/15/31 | 160,000 | 138,022 | |
T-Mobile USA, Inc. company guaranty sr. unsec. notes 5.375%, 4/15/27 | 21,000 | 21,070 | |
T-Mobile USA, Inc. company guaranty sr. unsec. notes 4.95%, 3/15/28 | 365,000 | 368,511 | |
TCI Communications, Inc. sr. unsec. unsub. notes 7.125%, 2/15/28 | 205,000 | 229,146 |
Dynamic Asset Allocation Growth Fund 33 |
CORPORATE BONDS AND NOTES (9.3%)* cont. | Principal amount | Value | |
Communication services cont. | |||
Telefonica Emisiones SA company guaranty sr. unsec. bonds 4.895%, 3/6/48 (Spain) | $520,000 | $432,724 | |
Verizon Communications, Inc. sr. unsec. bonds 3.70%, 3/22/61 | 487,000 | 363,129 | |
Verizon Communications, Inc. sr. unsec. notes 2.55%, 3/21/31 | 243,000 | 207,010 | |
Verizon Communications, Inc. sr. unsec. unsub. notes 4.40%, 11/1/34 | 335,000 | 318,405 | |
Verizon Communications, Inc. sr. unsec. unsub. notes 4.329%, 9/21/28 | 1,264,000 | 1,249,531 | |
Verizon Communications, Inc. sr. unsec. unsub. notes 2.10%, 3/22/28 | 216,000 | 192,417 | |
VZ Secured Financing BV 144A sr. notes 5.00%, 1/15/32 (Netherlands) | 580,000 | 465,450 | |
18,892,626 | |||
Conglomerates (—%) | |||
General Electric Co. jr. unsec. sub. FRN (ICE LIBOR USD 3 Month + 3.33%), 8.196%, perpetual maturity | 62,000 | 61,938 | |
61,938 | |||
Consumer cyclicals (1.4%) | |||
ADT Security Corp. 144A sr. notes 4.125%, 8/1/29 | 390,000 | 347,798 | |
Alimentation Couche-Tard, Inc. 144A company guaranty sr. unsec. notes 3.55%, 7/26/27 (Canada) | 240,000 | 225,000 | |
Alimentation Couche-Tard, Inc. 144A sr. unsec. notes 2.95%, 1/25/30 (Canada) | 148,000 | 129,484 | |
Allied Universal Holdco LLC/Allied Universal Finance Corp. 144A sr. unsec. notes 6.00%, 6/1/29 | 390,000 | 291,119 | |
Amazon.com, Inc. sr. unsec. notes 3.15%, 8/22/27 | 710,000 | 684,054 | |
Amazon.com, Inc. sr. unsec. unsub. notes 2.10%, 5/12/31 | 53,000 | 45,301 | |
AMC Entertainment Holdings, Inc. 144A company guaranty sr. notes 7.50%, 2/15/29 | 135,000 | 93,276 | |
American Builders & Contractors Supply Co., Inc. 144A sr. notes 4.00%, 1/15/28 | 320,000 | 291,360 | |
American Builders & Contractors Supply Co., Inc. 144A sr. unsec. notes 3.875%, 11/15/29 | 265,000 | 226,273 | |
Asbury Automotive Group, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 2/15/32 | 25,000 | 21,900 | |
Asbury Automotive Group, Inc. 144A company guaranty sr. unsec. notes 4.625%, 11/15/29 | 90,000 | 80,550 | |
Autonation, Inc. sr. unsec. bonds 2.40%, 8/1/31 | 155,000 | 119,348 | |
Bath & Body Works, Inc. company guaranty sr. unsec. bonds 6.75%, perpetual maturity | 120,000 | 107,267 | |
Bath & Body Works, Inc. company guaranty sr. unsec. notes 7.50%, perpetual maturity | 250,000 | 255,136 | |
Bath & Body Works, Inc. 144A company guaranty sr. unsec. notes 9.375%, 7/1/25 | 26,000 | 27,777 | |
Bath & Body Works, Inc. 144A company guaranty sr. unsec. unsub. bonds 6.625%, 10/1/30 | 385,000 | 375,329 | |
BCPE Ulysses Intermediate, Inc. 144A sr. unsec. notes 7.75%, 4/1/27 ‡‡ | 110,000 | 86,350 | |
Beasley Mezzanine Holdings, LLC 144A company guaranty sr. notes 8.625%, 2/1/26 | 340,000 | 224,864 | |
Block, Inc. sr. unsec. notes 3.50%, 6/1/31 | 665,000 | 546,132 |
34 Dynamic Asset Allocation Growth Fund |
CORPORATE BONDS AND NOTES (9.3%)* cont. | Principal amount | Value | |
Consumer cyclicals cont. | |||
BMW Finance NV 144A company guaranty sr. unsec. notes 2.85%, 8/14/29 (Netherlands) | $321,000 | $288,672 | |
Booking Holdings, Inc. sr. unsec. sub. notes 4.625%, 4/13/30 | 280,000 | 279,822 | |
Boyd Gaming Corp. company guaranty sr. unsec. notes 4.75%, 12/1/27 | 220,000 | 211,003 | |
Boyd Gaming Corp. 144A sr. unsec. bonds 4.75%, 6/15/31 | 365,000 | 331,493 | |
Caesars Entertainment, Inc. 144A sr. notes 7.00%, 2/15/30 | 165,000 | 167,888 | |
Caesars Entertainment, Inc. 144A sr. unsec. notes 4.625%, 10/15/29 | 170,000 | 148,665 | |
Caesars Resort Collection, LLC/CRC Finco, Inc. 144A company guaranty sr. notes 5.75%, 7/1/25 | 585,000 | 585,125 | |
Camelot Return Merger Sub, Inc. 144A sr. notes 8.75%, 8/1/28 | 65,000 | 60,186 | |
Carnival Corp. 144A notes 10.50%, 2/1/26 | 180,000 | 187,546 | |
Carnival Corp. 144A notes 9.875%, 8/1/27 | 125,000 | 128,762 | |
Carnival Corp. 144A sr. unsec. notes 5.75%, 3/1/27 | 385,000 | 315,827 | |
Carriage Services, Inc. 144A company guaranty sr. unsec. notes 4.25%, 5/15/29 | 215,000 | 177,084 | |
CDI Escrow Issuer, Inc. 144A sr. unsec. notes 5.75%, 4/1/30 | 355,000 | 338,138 | |
Cengage Learning, Inc. 144A sr. unsec. unsub. notes 9.50%, 6/15/24 | 360,000 | 348,066 | |
Cinemark USA, Inc. 144A company guaranty sr. notes 8.75%, 5/1/25 | 45,000 | 45,941 | |
Cinemark USA, Inc. 144A company guaranty sr. unsec. notes 5.875%, 3/15/26 | 230,000 | 216,945 | |
Cinemark USA, Inc. 144A company guaranty sr. unsec. notes 5.25%, 7/15/28 | 255,000 | 220,575 | |
Clear Channel Outdoor Holdings, Inc. 144A company guaranty sr. notes 5.125%, 8/15/27 | 450,000 | 403,875 | |
Clear Channel Outdoor Holdings, Inc. 144A company guaranty sr. unsec. sub. notes 7.75%, 4/15/28 | 250,000 | 187,500 | |
D.R. Horton, Inc. company guaranty sr. unsec. unsub. notes 1.30%, 10/15/26 | 590,000 | 520,491 | |
Ecolab, Inc. sr. unsec. unsub. bonds 2.70%, 11/1/26 | 750,000 | 710,931 | |
Everi Holdings, Inc. 144A company guaranty sr. unsec. notes 5.00%, 7/15/29 | 370,000 | 329,328 | |
Full House Resorts, Inc. 144A company guaranty sr. notes 8.25%, 2/15/28 | 320,000 | 291,200 | |
Garda World Security Corp. 144A sr. notes 7.75%, 2/15/28 (Canada) | 75,000 | 74,438 | |
Garda World Security Corp. 144A sr. notes 4.625%, 2/15/27 (Canada) | 145,000 | 130,159 | |
Garda World Security Corp. 144A sr. unsec. notes 6.00%, 6/1/29 (Canada) | 220,000 | 174,900 | |
Gartner, Inc. 144A company guaranty sr. unsec. bonds 3.75%, 10/1/30 | 245,000 | 219,917 | |
Gartner, Inc. 144A company guaranty sr. unsec. notes 3.625%, 6/15/29 | 60,000 | 53,538 | |
Global Payments, Inc. sr. unsec. notes 2.15%, 1/15/27 | 42,000 | 37,195 | |
Gray Escrow II, Inc. 144A sr. unsec. bonds 5.375%, 11/15/31 | 715,000 | 474,760 | |
GW B-CR Security Corp. 144A sr. unsec. notes 9.50%, 11/1/27 (Canada) | 158,000 | 149,902 | |
Hanesbrands, Inc. 144A company guaranty sr. unsec. unsub. notes 9.00%, perpetual maturity | 140,000 | 143,325 |
Dynamic Asset Allocation Growth Fund 35 |
CORPORATE BONDS AND NOTES (9.3%)* cont. | Principal amount | Value | |
Consumer cyclicals cont. | |||
Hilton Domestic Operating Co., Inc. company guaranty sr. unsec. bonds 4.875%, 1/15/30 | $490,000 | $469,351 | |
Hilton Worldwide Finance, LLC/Hilton Worldwide Finance Corp. company guaranty sr. unsec. notes 4.875%, 4/1/27 | 195,000 | 192,352 | |
Hyatt Hotels Corp. sr. unsec. unsub. notes 4.85%, 3/15/26 | 337,000 | 334,978 | |
iHeartCommunications, Inc. company guaranty sr. unsec. notes 8.375%, 5/1/27 | 453,499 | 329,921 | |
Interpublic Group of Cos., Inc. (The) sr. unsec. sub. bonds 4.65%, 10/1/28 | 698,000 | 684,823 | |
Interpublic Group of Cos., Inc. (The) sr. unsec. unsub. notes 2.40%, 3/1/31 | 32,000 | 26,558 | |
JELD-WEN, Inc. 144A company guaranty sr. sub. notes 6.25%, 5/15/25 | 95,000 | 94,763 | |
JELD-WEN, Inc. 144A company guaranty sr. unsec. notes 4.875%, 12/15/27 | 115,000 | 97,817 | |
Kontoor Brands, Inc. 144A company guaranty sr. unsec. notes 4.125%, 11/15/29 | 290,000 | 248,313 | |
Las Vegas Sands Corp. sr. unsec. unsub. notes 3.90%, 8/8/29 | 310,000 | 279,829 | |
LBM Acquisition, LLC 144A company guaranty sr. unsec. notes 6.25%, 1/15/29 | 175,000 | 133,933 | |
Lennar Corp. company guaranty sr. unsec. unsub. notes 4.75%, 11/29/27 | 379,000 | 375,005 | |
Levi Strauss & Co. 144A sr. unsec. sub. bonds 3.50%, 3/1/31 | 565,000 | 481,663 | |
Live Nation Entertainment, Inc. 144A company guaranty sr. unsec. sub. notes 5.625%, 3/15/26 | 285,000 | 275,738 | |
Live Nation Entertainment, Inc. 144A sr. notes 6.50%, 5/15/27 | 120,000 | 121,289 | |
Macy’s Retail Holdings, LLC 144A company guaranty sr. unsec. unsub. bonds 6.125%, 3/15/32 | 140,000 | 123,241 | |
Macy’s Retail Holdings, LLC 144A company guaranty sr. unsec. unsub. notes 5.875%, 3/15/30 | 35,000 | 31,063 | |
Masonite International Corp. 144A company guaranty sr. unsec. notes 5.375%, 2/1/28 | 90,000 | 85,950 | |
Masonite International Corp. 144A company guaranty sr. unsec. notes 3.50%, 2/15/30 | 340,000 | 281,795 | |
Mattel, Inc. 144A company guaranty sr. unsec. notes 3.75%, 4/1/29 | 250,000 | 224,619 | |
Mattel, Inc. 144A company guaranty sr. unsec. notes 3.375%, 4/1/26 | 140,000 | 131,787 | |
McGraw-Hill Education, Inc. 144A sr. notes 5.75%, 8/1/28 | 395,000 | 343,650 | |
McGraw-Hill Education, Inc. 144A sr. unsec. notes 8.00%, 8/1/29 | 420,000 | 344,400 | |
Michaels Cos., Inc. (The) 144A sr. unsec. notes 7.875%, 5/1/29 | 120,000 | 84,000 | |
MIWD Holdco II, LLC/MIWD Finance Corp. 144A company guaranty sr. unsec. notes 5.50%, 2/1/30 | 105,000 | 88,725 | |
Moody’s Corp. sr. unsec. notes 2.00%, 8/19/31 | 520,000 | 424,110 | |
NCL Corp., Ltd. 144A company guaranty sr. notes 5.875%, 2/15/27 | 125,000 | 115,938 | |
NCL Corp., Ltd. 144A sr. unsec. unsub. notes 7.75%, 2/15/29 | 95,000 | 80,513 | |
Neptune Bidco US, Inc. 144A sr. notes 9.29%, 4/15/29 | 495,000 | 458,915 | |
News Corp. 144A company guaranty sr. unsec. unsub. bonds 5.125%, 2/15/32 | 116,000 | 108,757 | |
News Corp. 144A sr. unsec. notes 3.875%, 5/15/29 | 255,000 | 226,631 | |
Omnicom Group, Inc. company guaranty sr. unsec. unsub. notes 3.60%, 4/15/26 | 390,000 | 378,446 |
36 Dynamic Asset Allocation Growth Fund |
CORPORATE BONDS AND NOTES (9.3%)* cont. | Principal amount | Value | |
Consumer cyclicals cont. | |||
Paramount Global sr. unsec. unsub. notes 4.20%, 6/1/29 | $115,000 | $105,731 | |
Paramount Global sr. unsec. unsub. notes 4.00%, 1/15/26 | 57,000 | 55,125 | |
Paramount Global sr. unsec. unsub. notes 2.90%, 1/15/27 | 121,000 | 110,238 | |
Penn Entertainment, Inc. 144A sr. unsec. notes 5.625%, 1/15/27 | 410,000 | 384,970 | |
Prime Security Services Borrower, LLC/Prime Finance, Inc. 144A company guaranty sr. notes 3.375%, 8/31/27 | 120,000 | 107,550 | |
Prime Security Services Borrower, LLC/Prime Finance, Inc. 144A notes 6.25%, 1/15/28 | 420,000 | 392,700 | |
PulteGroup, Inc. company guaranty sr. unsec. unsub. notes 5.50%, 3/1/26 | 80,000 | 80,210 | |
Raptor Acquisition Corp./Raptor Co-Issuer, LLC 144A sr. notes 4.875%, 11/1/26 | 70,000 | 65,100 | |
Realogy Group, LLC/Realogy Co-Issuer Corp. 144A company guaranty sr. unsec. notes 5.75%, 1/15/29 | 120,000 | 89,815 | |
Royal Caribbean Cruises, Ltd. 144A company guaranty sr. unsec. notes 7.25%, 1/15/30 | 40,000 | 40,250 | |
Royal Caribbean Cruises, Ltd. 144A company guaranty sr. unsec. unsub. notes 9.25%, 1/15/29 | 300,000 | 318,750 | |
Royal Caribbean Cruises, Ltd. 144A sr. unsec. notes 5.50%, 8/31/26 | 110,000 | 102,911 | |
Royal Caribbean Cruises, Ltd. 144A sr. unsec. notes 4.25%, 7/1/26 | 65,000 | 58,338 | |
S&P Global, Inc. company guaranty sr. unsec. bonds 2.50%, 12/1/29 | 20,000 | 17,745 | |
S&P Global, Inc. company guaranty sr. unsec. notes 2.45%, 3/1/27 | 120,000 | 112,539 | |
S&P Global, Inc. company guaranty sr. unsec. notes 1.25%, 8/15/30 | 87,000 | 69,825 | |
Sabre GLBL, Inc. 144A company guaranty sr. notes 9.25%, 4/15/25 | 285,000 | 268,470 | |
Scientific Games Holdings LP/Scientific Games US FinCo., Inc. 144A sr. unsec. notes 6.625%, 3/1/30 | 195,000 | 172,317 | |
Scientific Games International, Inc. 144A company guaranty sr. unsec. notes 7.25%, 11/15/29 | 365,000 | 365,704 | |
Scientific Games International, Inc. 144A sr. unsec. notes 7.00%, 5/15/28 | 110,000 | 108,900 | |
Scotts Miracle-Gro Co. (The) company guaranty sr. unsec. notes 4.50%, 10/15/29 | 600,000 | 515,891 | |
Scotts Miracle-Gro Co. (The) company guaranty sr. unsec. unsub. bonds 4.375%, 2/1/32 | 120,000 | 96,447 | |
Scripps Escrow II, Inc. 144A sr. notes 3.875%, 1/15/29 | 130,000 | 102,006 | |
Scripps Escrow II, Inc. 144A sr. unsec. bonds 5.375%, 1/15/31 | 250,000 | 171,875 | |
Scripps Escrow, Inc. 144A company guaranty sr. unsec. notes 5.875%, 7/15/27 | 115,000 | 84,703 | |
Shift4 Payments, LLC/Shift4 Payments Finance Sub, Inc. 144A company guaranty sr. unsec. notes 4.625%, 11/1/26 | 200,000 | 188,000 | |
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. bonds 3.875%, 9/1/31 | 320,000 | 248,800 | |
Sirius XM Radio, Inc. 144A company guaranty sr. unsec. notes 4.00%, 7/15/28 | 225,000 | 193,262 | |
Spanish Broadcasting System, Inc. 144A sr. notes 9.75%, 3/1/26 | 145,000 | 98,238 | |
Spectrum Brands, Inc. 144A company guaranty sr. unsec. bonds 5.00%, 10/1/29 | 240,000 | 208,289 | |
Standard Industries, Inc. sr. unsec. notes Ser. REGS, 2.25%, 11/21/26 | 100,000 | 93,999 | |
Standard Industries, Inc. 144A sr. unsec. bonds 3.375%, 1/15/31 | 90,000 | 72,332 | |
Standard Industries, Inc. 144A sr. unsec. notes 5.00%, 2/15/27 | 120,000 | 113,966 |
Dynamic Asset Allocation Growth Fund 37 |
CORPORATE BONDS AND NOTES (9.3%)* cont. | Principal amount | Value | |
Consumer cyclicals cont. | |||
Standard Industries, Inc. 144A sr. unsec. notes 4.75%, 1/15/28 | $20,000 | $18,684 | |
Standard Industries, Inc. 144A sr. unsec. notes 4.375%, 7/15/30 | 380,000 | 330,600 | |
Station Casinos, LLC 144A sr. unsec. bonds 4.625%, 12/1/31 | 190,000 | 160,455 | |
Station Casinos, LLC 144A sr. unsec. notes 4.50%, 2/15/28 | 330,000 | 297,825 | |
Stellantis Finance US, Inc. 144A company guaranty sr. unsec. notes 2.691%, 9/15/31 | 215,000 | 173,744 | |
Stellantis Finance US, Inc. 144A company guaranty sr. unsec. notes 1.711%, 1/29/27 | 200,000 | 177,185 | |
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A company guaranty sr. unsub. notes 5.875%, 5/15/25 | 215,000 | 205,325 | |
Taylor Morrison Communities, Inc. 144A sr. unsec. bonds 5.125%, 8/1/30 | 105,000 | 96,923 | |
Taylor Morrison Communities, Inc. 144A sr. unsec. notes 5.75%, 1/15/28 | 80,000 | 78,694 | |
Townsquare Media, Inc. 144A sr. notes 6.875%, 2/1/26 | 195,000 | 184,472 | |
TRI Pointe Group, Inc./TRI Pointe Homes, Inc. company guaranty sr. unsec. unsub. notes 5.875%, 6/15/24 | 145,000 | 144,275 | |
Univision Communications, Inc. 144A company guaranty sr. notes 6.625%, 6/1/27 | 410,000 | 388,762 | |
Univision Communications, Inc. 144A sr. notes 7.375%, 6/30/30 | 120,000 | 113,453 | |
Urban One, Inc. 144A company guaranty sr. notes 7.375%, 2/1/28 | 230,000 | 208,955 | |
Victoria’s Secret & Co. 144A sr. unsec. notes 4.625%, 7/15/29 | 395,000 | 318,963 | |
Walt Disney Co. (The) company guaranty sr. unsec. bonds 7.75%, 12/1/45 | 194,000 | 254,939 | |
Walt Disney Co. (The) company guaranty sr. unsec. notes 2.20%, 1/13/28 | 78,000 | 71,638 | |
Warnermedia Holdings, Inc. 144A company guaranty sr. unsec. bonds 4.279%, 3/15/32 | 937,000 | 836,551 | |
Warnermedia Holdings, Inc. 144A company guaranty sr. unsec. notes 3.755%, 3/15/27 | 450,000 | 423,778 | |
White Cap Buyer, LLC 144A sr. unsec. notes 6.875%, 10/15/28 | 195,000 | 169,154 | |
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. 144A company guaranty sr. unsec. sub. notes 5.25%, 5/15/27 | 290,000 | 274,050 | |
Wynn Resorts Finance, LLC/Wynn Resorts Capital Corp. 144A company guaranty sr. unsec. unsub. notes 7.125%, 2/15/31 | 130,000 | 131,950 | |
Wynn Resorts Finance, LLC/Wynn Resorts Capital Corp. 144A sr. unsec. bonds 5.125%, 10/1/29 | 390,000 | 354,260 | |
30,440,019 | |||
Consumer staples (0.6%) | |||
1011778 BC ULC/New Red Finance, Inc. 144A bonds 4.00%, 10/15/30 (Canada) | 160,000 | 137,200 | |
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty notes 4.375%, 1/15/28 (Canada) | 335,000 | 309,255 | |
1011778 BC ULC/New Red Finance, Inc. 144A company guaranty sr. notes 3.875%, 1/15/28 (Canada) | 360,000 | 334,800 | |
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 4.875%, 2/15/30 | 285,000 | 266,015 | |
Albertsons Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 4.625%, 1/15/27 | 425,000 | 411,011 |
38 Dynamic Asset Allocation Growth Fund |
CORPORATE BONDS AND NOTES (9.3%)* cont. | Principal amount | Value | |
Consumer staples cont. | |||
Albertsons Cos., LLC/Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 7.50%, 3/15/26 | $205,000 | $210,329 | |
Anheuser-Busch Cos., LLC/Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. unsec. unsub. bonds 4.90%, 2/1/46 | 357,000 | 348,901 | |
Ashtead Capital, Inc. 144A company guaranty sr. unsec. notes 2.45%, 8/12/31 | 200,000 | 157,555 | |
Ashtead Capital, Inc. 144A notes 4.375%, 8/15/27 | 555,000 | 531,724 | |
CDW, LLC/CDW Finance Corp. company guaranty sr. unsec. notes 3.25%, 2/15/29 | 295,000 | 259,450 | |
CVS Pass-Through Trust sr. notes 6.036%, 12/10/28 | 5,891 | 5,917 | |
ERAC USA Finance, LLC 144A company guaranty sr. unsec. bonds 4.50%, 2/15/45 | 140,000 | 124,738 | |
ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 7.00%, 10/15/37 | 190,000 | 224,564 | |
ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 5.625%, 3/15/42 | 226,000 | 231,752 | |
ERAC USA Finance, LLC 144A company guaranty sr. unsec. notes 3.85%, 11/15/24 | 185,000 | 181,291 | |
ERAC USA Finance, LLC 144A company guaranty sr. unsec. unsub. notes 3.30%, 12/1/26 | 129,000 | 121,730 | |
Fertitta Entertainment, LLC/Fertitta Entertainment Finance Co., Inc. 144A company guaranty sr. unsec. notes 6.75%, 1/15/30 | 105,000 | 86,387 | |
Herc Holdings, Inc. 144A company guaranty sr. unsec. notes 5.50%, 7/15/27 | 280,000 | 270,200 | |
IRB Holding Corp. 144A company guaranty sr. notes 7.00%, 6/15/25 | 120,000 | 120,365 | |
JDE Peet’s NV 144A company guaranty sr. unsec. notes 1.375%, 1/15/27 (Netherlands) | 355,000 | 308,208 | |
Kenvue, Inc. 144A company guaranty sr. unsec. notes 4.90%, 3/22/33 | 263,000 | 271,725 | |
Kenvue, Inc. 144A company guaranty sr. unsec. unsub. bonds 5.05%, 3/22/53 | 47,000 | 48,438 | |
Kenvue, Inc. 144A company guaranty sr. unsec. unsub. notes 5.05%, 3/22/28 | 785,000 | 811,294 | |
Keurig Dr Pepper, Inc. company guaranty sr. unsec. notes 2.25%, 3/15/31 | 420,000 | 352,081 | |
Keurig Dr Pepper, Inc. company guaranty sr. unsec. unsub. notes 3.43%, 6/15/27 | 126,000 | 120,201 | |
KFC Holding Co./Pizza Hut Holdings, LLC/Taco Bell of America, LLC 144A company guaranty sr. unsec. notes 4.75%, 6/1/27 | 145,000 | 140,831 | |
Kraft Heinz Foods Co. company guaranty sr. unsec. notes 3.00%, 6/1/26 | 135,000 | 128,957 | |
Kraft Heinz Foods Co. company guaranty sr. unsec. sub. notes 3.875%, 5/15/27 | 468,000 | 456,931 | |
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. notes 4.875%, 5/15/28 | 165,000 | 160,042 | |
Lamb Weston Holdings, Inc. 144A company guaranty sr. unsec. notes 4.125%, 1/31/30 | 450,000 | 411,750 | |
Match Group Holdings II, LLC 144A sr. unsec. bonds 5.00%, 12/15/27 | 113,000 | 107,039 |
Dynamic Asset Allocation Growth Fund 39 |
CORPORATE BONDS AND NOTES (9.3%)* cont. | Principal amount | Value | |
Consumer staples cont. | |||
Match Group Holdings II, LLC 144A sr. unsec. bonds 3.625%, 10/1/31 | $240,000 | $195,306 | |
Match Group Holdings II, LLC 144A sr. unsec. notes 4.125%, 8/1/30 | 50,000 | 43,050 | |
Match Group Holdings II, LLC 144A sr. unsec. unsub. notes 4.625%, 6/1/28 | 715,000 | 664,035 | |
Millennium Escrow Corp. 144A sr. notes 6.625%, 8/1/26 | 155,000 | 100,750 | |
Nestle Holdings, Inc. 144A company guaranty sr. unsec. notes 0.375%, 1/15/24 | 985,000 | 951,404 | |
Netflix, Inc. sr. unsec. bonds Ser. REGS, 3.875%, 11/15/29 | EUR | 515,000 | 547,381 |
Netflix, Inc. sr. unsec. notes 4.875%, 4/15/28 | $335,000 | 333,325 | |
Netflix, Inc. sr. unsec. unsub. notes 5.875%, 11/15/28 | 462,000 | 485,493 | |
Netflix, Inc. sr. unsec. unsub. notes 4.375%, 11/15/26 | 150,000 | 148,313 | |
Netflix, Inc. 144A sr. unsec. bonds 5.375%, 11/15/29 | 85,000 | 86,354 | |
Newell Brands, Inc. sr. unsec. notes 4.875%, 6/1/25 | 135,000 | 131,606 | |
Newell Brands, Inc. sr. unsec. unsub. notes 4.70%, 4/1/26 | 365,000 | 351,313 | |
PECF USS Intermediate Holding III Corp. 144A sr. unsec. notes 8.00%, 11/15/29 | 455,000 | 302,120 | |
TripAdvisor, Inc. 144A company guaranty sr. unsec. notes 7.00%, 7/15/25 | 305,000 | 305,668 | |
Yum! Brands, Inc. sr. unsec. bonds 5.375%, 4/1/32 | 95,000 | 91,963 | |
Yum! Brands, Inc. sr. unsec. sub. bonds 3.625%, 3/15/31 | 115,000 | 100,970 | |
Yum! Brands, Inc. 144A sr. unsec. bonds 4.75%, 1/15/30 | 240,000 | 229,294 | |
12,719,026 | |||
Energy (0.9%) | |||
Antero Midstream Partners LP/Antero Midstream Finance Corp. 144A company guaranty sr. unsec. notes 7.875%, 5/15/26 | 150,000 | 152,736 | |
Antero Resources Corp. 144A company guaranty sr. unsec. notes 7.625%, 2/1/29 | 109,000 | 111,453 | |
Apache Corp. sr. unsec. unsub. notes 5.10%, 9/1/40 | 305,000 | 258,488 | |
Apache Corp. sr. unsec. unsub. notes 4.375%, 10/15/28 | 300,000 | 279,917 | |
BP Capital Markets America, Inc. company guaranty sr. unsec. notes 3.119%, 5/4/26 | 270,000 | 259,787 | |
BP Capital Markets America, Inc. company guaranty sr. unsec. unsub. notes 3.937%, 9/21/28 | 24,000 | 23,487 | |
BP Capital Markets PLC company guaranty sr. unsec. unsub. notes 3.279%, 9/19/27 (United Kingdom) | 400,000 | 384,936 | |
Callon Petroleum Co. 144A company guaranty sr. unsec. notes 8.00%, 8/1/28 | 265,000 | 262,536 | |
Callon Petroleum Co. 144A company guaranty sr. unsec. notes 7.50%, 6/15/30 | 490,000 | 460,600 | |
Cenovus Energy, Inc. sr. unsec. bonds 6.75%, 11/15/39 (Canada) | 87,000 | 92,070 | |
Centennial Resource Production, LLC 144A company guaranty sr. unsec. notes 6.875%, 4/1/27 | 440,000 | 430,461 | |
Cheniere Corpus Christi Holdings, LLC company guaranty sr. notes 5.125%, 6/30/27 | 122,000 | 122,093 | |
Cheniere Energy Partners LP company guaranty sr. unsec. unsub. notes 4.00%, 3/1/31 | 180,000 | 160,189 | |
Cheniere Energy Partners LP company guaranty sr. unsec. unsub. notes 3.25%, 1/31/32 | 117,000 | 96,656 | |
Chord Energy Corp. 144A company guaranty sr. unsec. notes 6.375%, 6/1/26 | 250,000 | 247,618 |
40 Dynamic Asset Allocation Growth Fund |
CORPORATE BONDS AND NOTES (9.3%)* cont. | Principal amount | Value | |
Energy cont. | |||
Comstock Resources, Inc. 144A company guaranty sr. unsec. notes 5.875%, 1/15/30 | $265,000 | $227,674 | |
Comstock Resources, Inc. 144A sr. unsec. notes 6.75%, 3/1/29 | 205,000 | 187,583 | |
Continental Resources, Inc. company guaranty sr. unsec. notes 4.375%, 1/15/28 | 313,000 | 295,065 | |
Continental Resources, Inc. 144A company guaranty sr. unsec. bonds 5.75%, 1/15/31 | 195,000 | 187,392 | |
Continental Resources, Inc. 144A company guaranty sr. unsec. bonds 2.875%, 4/1/32 | 345,000 | 267,891 | |
DCP Midstream Operating LP company guaranty sr. unsec. notes 5.625%, 7/15/27 | 155,000 | 156,411 | |
DCP Midstream Operating LP 144A company guaranty sr. unsec. unsub. bonds 6.75%, 9/15/37 | 305,000 | 330,843 | |
Devon Energy Corp. sr. unsec. unsub. bonds 7.95%, 4/15/32 | 170,000 | 198,217 | |
Devon Energy Corp. sr. unsec. unsub. bonds 7.875%, 9/30/31 | 120,000 | 137,100 | |
Diamondback Energy, Inc. company guaranty sr. unsec. notes 3.25%, 12/1/26 | 170,000 | 161,053 | |
Encino Acquisition Partners Holdings, LLC 144A company guaranty sr. unsec. notes 8.50%, 5/1/28 | 435,000 | 380,625 | |
Endeavor Energy Resources LP/EER Finance, Inc. 144A sr. unsec. bonds 5.75%, 1/30/28 | 640,000 | 635,200 | |
Energy Transfer LP/Regency Energy Finance Corp. sr. unsec. unsub. notes 4.50%, 11/1/23 | 72,000 | 71,460 | |
EnLink Midstream, LLC 144A company guaranty sr. unsec. notes 5.625%, 1/15/28 | 570,000 | 558,600 | |
EQT Corp. sr. unsec. notes 7.00%, 2/1/30 | 195,000 | 204,103 | |
EQT Corp. sr. unsec. notes 5.678%, 10/1/25 | 205,000 | 204,385 | |
EQT Corp. sr. unsec. notes 5.00%, 1/15/29 | 25,000 | 23,704 | |
Hess Midstream Operations LP 144A company guaranty sr. unsec. notes 5.50%, 10/15/30 | 145,000 | 134,831 | |
Hess Midstream Operations LP 144A company guaranty sr. unsec. notes 5.125%, 6/15/28 | 210,000 | 199,387 | |
Hess Midstream Operations LP 144A company guaranty sr. unsec. notes 4.25%, 2/15/30 | 120,000 | 107,172 | |
Hess Midstream Operations LP 144A company guaranty sr. unsec. sub. notes 5.625%, 2/15/26 | 295,000 | 292,021 | |
Holly Energy Partners LP/Holly Energy Finance Corp. 144A company guaranty sr. unsec. notes 5.00%, 2/1/28 | 300,000 | 280,073 | |
KazMunayGas National Co. JSC sr. unsec. notes Ser. REGS, 4.75%, 4/19/27 (Kazakhstan) | 260,000 | 238,550 | |
Kinetik Holdings LP 144A company guaranty sr. unsec. notes 5.875%, 6/15/30 | 275,000 | 264,688 | |
Nabors Industries, Inc. company guaranty sr. unsec. notes 5.75%, 2/1/25 | 265,000 | 256,719 | |
Nabors Industries, Inc. 144A company guaranty sr. unsec. notes 7.375%, 5/15/27 | 225,000 | 220,361 | |
Occidental Petroleum Corp. sr. unsec. bonds 6.625%, 9/1/30 | 155,000 | 163,241 | |
Occidental Petroleum Corp. sr. unsec. bonds 6.125%, 1/1/31 | 60,000 | 62,250 | |
Occidental Petroleum Corp. sr. unsec. sub. bonds 6.20%, 3/15/40 | 800,000 | 804,320 | |
Occidental Petroleum Corp. sr. unsec. sub. notes 8.50%, 7/15/27 | 138,000 | 151,800 | |
Occidental Petroleum Corp. sr. unsec. sub. notes 6.45%, 9/15/36 | 1,140,000 | 1,198,630 |
Dynamic Asset Allocation Growth Fund 41 |
CORPORATE BONDS AND NOTES (9.3%)* cont. | Principal amount | Value | |
Energy cont. | |||
Ovintiv, Inc. company guaranty sr. unsec. unsub. bonds 7.375%, 11/1/31 | $205,000 | $220,846 | |
Ovintiv, Inc. company guaranty sr. unsec. unsub. bonds 6.625%, 8/15/37 | 70,000 | 70,608 | |
Patterson-UTI Energy, Inc. sr. unsec. notes 3.95%, 2/1/28 | 55,000 | 48,846 | |
Patterson-UTI Energy, Inc. sr. unsec. sub. notes 5.15%, 11/15/29 | 460,000 | 423,581 | |
Permian Resources Operating, LLC 144A company guaranty sr. unsec. notes 5.375%, 1/15/26 | 465,000 | 440,742 | |
Pertamina Persero PT 144A sr. unsec. unsub. notes 4.30%, 5/20/23 (Indonesia) | 200,000 | 199,000 | |
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 6.25%, 3/17/24 (Brazil) | 141,000 | 141,012 | |
Petrobras Global Finance BV company guaranty sr. unsec. unsub. notes 5.60%, 1/3/31 (Brazil) | 159,000 | 151,811 | |
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 6.70%, 2/16/32 (Mexico) | 116,000 | 92,337 | |
Petroleos Mexicanos 144A sr. unsec. bonds 10.00%, 2/7/33 (Mexico) | 800,000 | 764,642 | |
Precision Drilling Corp. 144A company guaranty sr. unsec. notes 7.125%, 1/15/26 (Canada) | 530,000 | 517,577 | |
Precision Drilling Corp. 144A company guaranty sr. unsec. notes 6.875%, 1/15/29 (Canada) | 115,000 | 104,363 | |
Rockcliff Energy II, LLC 144A sr. unsec. notes 5.50%, 10/15/29 | 620,000 | 549,484 | |
Sabine Pass Liquefaction, LLC sr. bonds 4.20%, 3/15/28 | 184,000 | 176,769 | |
Sabine Pass Liquefaction, LLC sr. notes 5.00%, 3/15/27 | 62,000 | 61,777 | |
Shell International Finance BV company guaranty sr. unsec. unsub. notes 2.875%, 5/10/26 (Netherlands) | 565,000 | 540,526 | |
SM Energy Co. sr. unsec. notes 6.625%, 1/15/27 | 90,000 | 86,459 | |
SM Energy Co. sr. unsec. unsub. notes 6.75%, 9/15/26 | 240,000 | 235,358 | |
SM Energy Co. sr. unsec. unsub. notes 6.50%, 7/15/28 | 65,000 | 62,027 | |
SM Energy Co. sr. unsec. unsub. notes 5.625%, 6/1/25 | 280,000 | 271,487 | |
Southwestern Energy Co. company guaranty sr. unsec. notes 5.375%, 3/15/30 | 240,000 | 225,634 | |
Southwestern Energy Co. company guaranty sr. unsec. notes 5.375%, 2/1/29 | 655,000 | 617,338 | |
Spectra Energy Partners LP sr. unsec. notes 3.375%, 10/15/26 | 190,000 | 179,999 | |
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. 144A company guaranty sr. unsec. notes 6.00%, 12/31/30 | 205,000 | 181,938 | |
Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp. 144A company guaranty sr. unsec. notes 5.50%, 1/15/28 | 210,000 | 192,150 | |
Targa Resources Partners LP/Targa Resources Partners Finance Corp. company guaranty sr. unsec. unsub. notes 4.875%, 2/1/31 | 240,000 | 224,564 | |
Transcanada Trust company guaranty jr. unsec. sub. FRB 5.30%, 3/15/77 (Canada) | 342,000 | 285,570 | |
Transocean Poseidon, Ltd. 144A company guaranty sr. notes 6.875%, 2/1/27 | 211,250 | 207,025 | |
Transocean Titan Financing, Ltd. 144A company guaranty sr. notes 8.375%, 2/1/28 (Cayman Islands) | 105,000 | 108,052 | |
Transocean, Inc. 144A company guaranty sr. notes 8.75%, 2/15/30 | 115,000 | 117,300 | |
Transocean, Inc. 144A company guaranty sr. unsec. notes 11.50%, 1/30/27 | 215,000 | 222,052 |
42 Dynamic Asset Allocation Growth Fund |
CORPORATE BONDS AND NOTES (9.3%)* cont. | Principal amount | Value | |
Energy cont. | |||
USA Compression Partners LP/USA Compression Finance Corp. company guaranty sr. unsec. notes 6.875%, 4/1/26 | $405,000 | $393,638 | |
USA Compression Partners LP/USA Compression Finance Corp. company guaranty sr. unsec. unsub. notes 6.875%, 9/1/27 | 115,000 | 109,892 | |
Venture Global Calcasieu Pass, LLC 144A company guaranty sr. bonds 3.875%, 11/1/33 | 255,000 | 214,200 | |
Venture Global Calcasieu Pass, LLC 144A company guaranty sr. notes 6.25%, 1/15/30 | 60,000 | 60,450 | |
Venture Global Calcasieu Pass, LLC 144A company guaranty sr. notes 3.875%, 8/15/29 | 270,000 | 243,540 | |
Viper Energy Partners LP 144A company guaranty sr. unsec. notes 5.375%, 11/1/27 | 70,000 | 67,320 | |
20,754,290 | |||
Financials (2.2%) | |||
ABN AMRO Bank NV 144A unsec. sub. notes 4.75%, 7/28/25 (Netherlands) | 200,000 | 193,030 | |
AerCap Ireland Capital DAC/AerCap Global Aviation Trust company guaranty sr. unsec. bonds 3.30%, 1/30/32 (Ireland) | 600,000 | 497,057 | |
AerCap Ireland Capital DAC/AerCap Global Aviation Trust company guaranty sr. unsec. notes 4.50%, 9/15/23 (Ireland) | 320,000 | 316,940 | |
AerCap Ireland Capital DAC/AerCap Global Aviation Trust company guaranty sr. unsec. sub. notes 3.65%, 7/21/27 (Ireland) | 600,000 | 551,239 | |
AG Issuer, LLC 144A sr. notes 6.25%, 3/1/28 | 210,000 | 189,192 | |
Air Lease Corp. sr. unsec. notes 2.10%, 9/1/28 | 195,000 | 162,471 | |
Air Lease Corp. sr. unsec. sub. bonds 4.625%, 10/1/28 | 434,000 | 411,806 | |
Air Lease Corp. sr. unsec. sub. notes 3.25%, 10/1/29 | 519,000 | 455,663 | |
Alliant Holdings Intermediate, LLC/Alliant Holdings Co-Issuer 144A sr. unsec. notes 6.75%, 10/15/27 | 385,000 | 357,088 | |
Ally Financial, Inc. company guaranty sr. unsec. notes 8.00%, 11/1/31 | 562,000 | 589,864 | |
Ally Financial, Inc. sr. unsec. notes 4.75%, 6/9/27 | 250,000 | 232,812 | |
Ally Financial, Inc. sr. unsec. notes 2.20%, 11/2/28 | 200,000 | 159,258 | |
AmWINS Group, Inc. 144A sr. unsec. notes 4.875%, 6/30/29 | 95,000 | 84,075 | |
ANZ New Zealand Int’l, Ltd./London 144A company guaranty sr. unsec. notes 3.45%, 7/17/27 (United Kingdom) | 200,000 | 188,922 | |
Ares Capital Corp. sr. unsec. notes 2.875%, 6/15/27 | 495,000 | 424,662 | |
Ares Capital Corp. sr. unsec. sub. notes 3.875%, 1/15/26 | 217,000 | 200,036 | |
Aretec Escrow Issuer, Inc. 144A sr. unsec. notes 7.50%, 4/1/29 | 285,000 | 232,988 | |
Athene Global Funding 144A notes 1.985%, 8/19/28 | 440,000 | 356,054 | |
Australia and New Zealand Banking Group, Ltd./United Kingdom 144A jr. unsec. sub. FRB 6.75%, perpetual maturity (United Kingdom) | 200,000 | 192,035 | |
Banco Santander SA sr. unsec. unsub. FRN 1.722%, 9/14/27 (Spain) | 200,000 | 174,560 | |
Banco Santander SA sr. unsec. unsub. notes 4.379%, 4/12/28 (Spain) | 200,000 | 188,889 | |
Banco Santander SA unsec. sub. FRB 3.225%, 11/22/32 (Spain) | 800,000 | 622,804 | |
Banco Santander SA unsec. sub. notes 5.179%, 11/19/25 (Spain) | 800,000 | 782,525 | |
Bank of America Corp. jr. unsec. sub. FRN Ser. AA, 6.10%, perpetual maturity | 297,000 | 291,158 | |
Bank of America Corp. jr. unsec. sub. FRN Ser. Z, 6.50%, perpetual maturity | 35,000 | 34,913 |
Dynamic Asset Allocation Growth Fund 43 |
CORPORATE BONDS AND NOTES (9.3%)* cont. | Principal amount | Value | |
Financials cont. | |||
Bank of America Corp. sr. unsec. FRN 1.734%, 7/22/27 | $1,055,000 | $946,029 | |
Bank of America Corp. sr. unsec. FRN Ser. MTN, 2.496%, 2/13/31 | 190,000 | 160,917 | |
Bank of America Corp. unsec. sub. FRB 3.846%, 3/8/37 | 1,350,000 | 1,150,860 | |
Bank of America Corp. unsec. sub. notes 6.11%, 1/29/37 | 1,030,000 | 1,083,644 | |
Bank of America Corp. unsec. sub. notes Ser. L, 4.183%, 11/25/27 | 270,000 | 260,916 | |
Berkshire Hathaway Finance Corp. company guaranty sr. unsec. bonds 2.85%, 10/15/50 | 375,000 | 264,500 | |
Berkshire Hathaway Finance Corp. company guaranty sr. unsec. notes 4.30%, 5/15/43 | 90,000 | 83,087 | |
Blackstone Holdings Finance Co., LLC 144A company guaranty sr. unsec. unsub. bonds 1.60%, 3/30/31 | 120,000 | 90,390 | |
BNP Paribas SA 144A unsec. sub. FRB 2.588%, 8/12/35 (France) | 200,000 | 153,595 | |
BNP Paribas SA 144A unsec. sub. notes 4.375%, 5/12/26 (France) | 200,000 | 189,712 | |
BPCE SA 144A sr. unsec. unsub. FRN 5.975%, 1/18/27 (France) | 535,000 | 533,615 | |
BPCE SA 144A unsec. sub. notes 4.50%, 3/15/25 (France) | 327,000 | 315,132 | |
Camden Property Trust sr. unsec. unsub. notes 4.875%, 6/15/23 R | 190,000 | 189,632 | |
Capital One Financial Corp. unsec. sub. FRB 2.359%, 7/29/32 | 926,000 | 661,629 | |
Citigroup, Inc. jr. unsec. sub. FRN 3.875%, perpetual maturity | 278,000 | 234,771 | |
Citigroup, Inc. sr. unsec. FRB 3.668%, 7/24/28 | 1,422,000 | 1,347,204 | |
Citigroup, Inc. sr. unsec. FRN 5.61%, 9/29/26 | 15,000 | 15,112 | |
Citigroup, Inc. sr. unsec. unsub. FRB 3.887%, 1/10/28 | 323,000 | 308,607 | |
Citigroup, Inc. unsec. sub. bonds 4.75%, 5/18/46 | 240,000 | 212,503 | |
Citigroup, Inc. unsec. sub. bonds 4.45%, 9/29/27 | 270,000 | 261,818 | |
Citigroup, Inc. unsec. sub. notes 4.60%, 3/9/26 | 160,000 | 156,668 | |
Citizens Bank NA sr. unsec. FRN 4.119%, 5/23/25 | 340,000 | 320,978 | |
CNO Financial Group, Inc. sr. unsec. notes 5.25%, 5/30/29 | 210,000 | 202,962 | |
Cobra AcquisitionCo, LLC 144A company guaranty sr. unsec. notes 6.375%, 11/1/29 | 250,000 | 144,375 | |
Commonwealth Bank of Australia 144A sr. unsec. notes 3.15%, 9/19/27 (Australia) | 580,000 | 544,420 | |
Commonwealth Bank of Australia 144A sr. unsec. notes 2.552%, 3/14/27 (Australia) | 182,000 | 168,679 | |
Corebridge Financial, Inc. 144A sr. unsec. notes 3.85%, 4/5/29 | 230,000 | 209,864 | |
Credit Suisse Group AG 144A sr. unsec. bonds 3.869%, 1/12/29 (Switzerland) | 285,000 | 253,736 | |
Credit Suisse Group AG 144A sr. unsec. FRN 2.193%, 6/5/26 (Switzerland) | 585,000 | 520,769 | |
Deutsche Bank AG unsec. sub. notes 4.50%, 4/1/25 (Germany) | 400,000 | 367,357 | |
Deutsche Bank AG/New York, NY sr. unsec. unsub. notes 1.686%, 3/19/26 (Germany) | 835,000 | 729,911 | |
Digital Realty Trust LP company guaranty sr. unsec. bonds 4.45%, 7/15/28 R | 143,000 | 134,485 | |
Dresdner Funding Trust I 144A jr. unsec. sub. notes 8.151%, 6/30/31 | 100,000 | 102,000 | |
Fairfax Financial Holdings, Ltd. sr. unsec. notes 4.85%, 4/17/28 (Canada) | 468,000 | 456,012 | |
Fairfax US, Inc. 144A company guaranty sr. unsec. notes 4.875%, 8/13/24 | 364,000 | 357,064 | |
First-Citizens Bank & Trust Co. unsec. sub. notes 6.125%, 3/9/28 | 649,000 | 632,025 | |
Five Corners Funding Trust 144A sr. unsec. bonds 4.419%, 11/15/23 | 230,000 | 227,735 | |
Ford Motor Co. sr. unsec. unsub. notes 3.625%, 6/17/31 | 775,000 | 638,623 |
44 Dynamic Asset Allocation Growth Fund |
CORPORATE BONDS AND NOTES (9.3%)* cont. | Principal amount | Value | |
Financials cont. | |||
Ford Motor Credit Co., LLC sr. unsec. unsub. notes 4.271%, 1/9/27 | $240,000 | $223,464 | |
Ford Motor Credit Co., LLC sr. unsec. unsub. notes 4.00%, 11/13/30 | 245,000 | 208,183 | |
Freedom Mortgage Corp. 144A sr. unsec. notes 8.25%, 4/15/25 | 283,000 | 261,421 | |
Freedom Mortgage Corp. 144A sr. unsec. notes 7.625%, 5/1/26 | 220,000 | 176,790 | |
Freedom Mortgage Corp. 144A sr. unsec. notes 6.625%, 1/15/27 | 125,000 | 96,150 | |
General Motors Financial Co., Inc. company guaranty sr. unsec. notes 4.00%, 10/6/26 | 623,000 | 596,005 | |
General Motors Financial Co., Inc. company guaranty sr. unsec. unsub. notes 4.00%, 1/15/25 | 55,000 | 53,605 | |
General Motors Financial Co., Inc. sr. unsec. notes 6.40%, 1/9/33 | 100,000 | 103,098 | |
General Motors Financial Co., Inc. sr. unsec. notes 3.10%, 1/12/32 | 191,000 | 155,628 | |
General Motors Financial Co., Inc. sr. unsec. notes 1.25%, 1/8/26 | 137,000 | 123,362 | |
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. bonds 3.25%, 1/15/32 R | 175,000 | 141,988 | |
GLP Capital LP/GLP Financing II, Inc. company guaranty sr. unsec. unsub. notes 5.375%, 4/15/26 | 96,000 | 93,163 | |
goeasy, Ltd. 144A company guaranty sr. unsec. notes 5.375%, 12/1/24 (Canada) | 70,000 | 66,027 | |
goeasy, Ltd. 144A company guaranty sr. unsec. notes 4.375%, 5/1/26 (Canada) | 135,000 | 118,125 | |
Goldman Sachs Group, Inc. (The) jr. unsec. sub. FRN 3.65%, 7/28/51 | 66,000 | 53,873 | |
Goldman Sachs Group, Inc. (The) sr. unsec. FRB 4.223%, 5/1/29 | 751,000 | 719,679 | |
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. notes 3.85%, 1/26/27 | 1,285,000 | 1,239,564 | |
Goldman Sachs Group, Inc. (The) sr. unsec. unsub. notes 2.60%, 2/7/30 | 114,000 | 97,829 | |
Goldman Sachs Group, Inc. (The) unsec. sub. notes 6.75%, 10/1/37 | 122,000 | 131,918 | |
HUB International, Ltd. 144A sr. unsec. notes 7.00%, 5/1/26 | 465,000 | 457,006 | |
HUB International, Ltd. 144A sr. unsec. notes 5.625%, 12/1/29 | 70,000 | 60,989 | |
Huntington Bancshares, Inc. unsec. sub. FRB 2.487%, 8/15/36 | 361,000 | 253,632 | |
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 6.25%, 5/15/26 | 210,000 | 206,656 | |
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 5.25%, 5/15/27 | 390,000 | 365,941 | |
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. sub. notes 4.375%, 2/1/29 | 115,000 | 98,900 | |
Intercontinental Exchange, Inc. sr. unsec. bonds 2.65%, 9/15/40 | 280,000 | 202,652 | |
Intercontinental Exchange, Inc. sr. unsec. bonds 1.85%, 9/15/32 | 140,000 | 109,649 | |
Intercontinental Exchange, Inc. sr. unsec. notes 4.00%, 9/15/27 | 104,000 | 102,742 | |
Intesa Sanpaolo SpA 144A unsec. sub. bonds 4.198%, 6/1/32 (Italy) | 520,000 | 378,258 | |
JPMorgan Chase & Co. jr. unsec. bonds 6.10%, perpetual maturity | 94,000 | 91,827 | |
JPMorgan Chase & Co. jr. unsec. sub. FRB Ser. HH, 4.60%, perpetual maturity | 563,000 | 523,590 | |
JPMorgan Chase & Co. jr. unsec. sub. FRB Ser. W, (ICE LIBOR USD 3 Month + 1.00%), 5.864%, 5/15/47 | 116,000 | 95,700 | |
JPMorgan Chase & Co. jr. unsec. sub. FRN 3.65%, perpetual maturity | 44,000 | 38,500 | |
JPMorgan Chase & Co. sr. unsec. unsub. FRB 3.964%, 11/15/48 | 1,485,000 | 1,227,525 | |
JPMorgan Chase & Co. unsec. sub. bonds 3.625%, 12/1/27 | 1,350,000 | 1,290,464 | |
JPMorgan Chase & Co. unsec. sub. notes 4.125%, 12/15/26 | 78,000 | 76,154 |
Dynamic Asset Allocation Growth Fund 45 |
CORPORATE BONDS AND NOTES (9.3%)* cont. | Principal amount | Value | |
Financials cont. | |||
JPMorgan Chase & Co. unsec. sub. notes 3.375%, 5/1/23 | $1,146,000 | $1,143,708 | |
KKR Group Finance Co. III, LLC 144A company guaranty sr. unsec. unsub. bonds 5.125%, 6/1/44 | 160,000 | 140,869 | |
Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A company guaranty sr. unsec. notes 4.75%, 6/15/29 R | 280,000 | 202,392 | |
Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A company guaranty sr. unsec. unsub. notes 5.25%, 10/1/25 R | 65,000 | 57,187 | |
Ladder Capital Finance Holdings, LLLP/Ladder Capital Finance Corp. 144A sr. unsec. notes 4.25%, 2/1/27 R | 415,000 | 327,850 | |
Lloyds Banking Group PLC unsec. sub. notes 4.65%, 3/24/26 (United Kingdom) | 215,000 | 204,108 | |
Marsh & McLennan Cos., Inc. sr. unsec. sub. bonds 4.90%, 3/15/49 | 175,000 | 167,002 | |
Marsh & McLennan Cos., Inc. sr. unsec. sub. notes 4.375%, 3/15/29 | 212,000 | 210,091 | |
Mitsubishi UFJ Financial Group, Inc. sr. unsec. unsub. notes 3.85%, 3/1/26 (Japan) | 255,000 | 244,635 | |
Morgan Stanley sr. unsec. unsub. FRN Ser. GMTN, 3.772%, 1/24/29 | 1,365,000 | 1,292,451 | |
Morgan Stanley unsec. unsub. notes 3.95%, 4/23/27 | 470,000 | 454,382 | |
National Australia Bank, Ltd./New York, NY sr. unsec. notes 2.875%, 4/12/23 (Australia) | 250,000 | 249,873 | |
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 5.75%, 11/15/31 | 455,000 | 352,927 | |
Nationstar Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 5.50%, 8/15/28 | 190,000 | 162,925 | |
NatWest Group PLC sr. unsec. unsub. FRN 5.847%, 3/2/27 (United Kingdom) | 265,000 | 265,691 | |
Neuberger Berman Group, LLC/Neuberger Berman Finance Corp. 144A sr. unsec. notes 4.875%, 4/15/45 | 155,000 | 128,226 | |
New York Life Global Funding 144A notes 1.10%, 5/5/23 | 1,320,000 | 1,314,891 | |
OneMain Finance Corp. company guaranty sr. unsec. sub. notes 7.125%, 3/15/26 | 110,000 | 105,742 | |
OneMain Finance Corp. company guaranty sr. unsec. sub. notes 6.625%, 1/15/28 | 120,000 | 110,017 | |
OneMain Finance Corp. company guaranty sr. unsec. unsub. notes 5.375%, 11/15/29 | 325,000 | 273,411 | |
PennyMac Financial Services, Inc. 144A company guaranty sr. unsec. notes 5.75%, 9/15/31 | 225,000 | 178,180 | |
PennyMac Financial Services, Inc. 144A company guaranty sr. unsec. notes 5.375%, 10/15/25 | 225,000 | 210,150 | |
PHH Mortgage Corp. 144A company guaranty sr. notes 7.875%, 3/15/26 | 360,000 | 313,206 | |
PNC Financial Services Group, Inc. (The) unsec. sub. FRB 4.626%, 6/6/33 | 725,000 | 668,509 | |
Prologis LP sr. unsec. unsub. notes 2.25%, 4/15/30 R | 113,000 | 95,862 | |
Prologis LP sr. unsec. unsub. notes 2.125%, 4/15/27 R | 47,000 | 42,861 | |
Prudential Financial, Inc. jr. unsec. sub. FRN 5.625%, 6/15/43 | 50,000 | 49,220 | |
Prudential Financial, Inc. jr. unsec. sub. FRN 5.20%, 3/15/44 | 115,000 | 109,454 | |
Royal Bank of Canada unsec. sub. notes Ser. GMTN, 4.65%, 1/27/26 (Canada) | 285,000 | 280,814 | |
Service Properties Trust company guaranty sr. unsec. unsub. notes 7.50%, 9/15/25 R | 80,000 | 78,940 |
46 Dynamic Asset Allocation Growth Fund |
CORPORATE BONDS AND NOTES (9.3%)* cont. | Principal amount | Value | |
Financials cont. | |||
Societe Generale SA 144A jr. unsec. sub. notes 5.375%, perpetual maturity (France) | $431,000 | $310,292 | |
Sumitomo Mitsui Trust Bank, Ltd. 144A sr. unsec. notes 0.80%, 9/12/23 (Japan) | 800,000 | 783,396 | |
Toronto-Dominion Bank (The) unsec. sub. FRB 3.625%, 9/15/31 (Canada) | 435,000 | 409,572 | |
Truist Bank unsec. sub. FRN Ser. BKNT, 2.636%, 9/17/29 | 250,000 | 234,701 | |
Truist Financial Corp. jr. unsec. sub. FRB Ser. N, 4.80%, 9/1/24 | 158,000 | 138,250 | |
Truist Financial Corp. sr. unsec. unsub. FRN Ser. MTN, 4.26%, 7/28/26 | 310,000 | 298,843 | |
UBS Group AG 144A sr. unsec. FRN 4.703%, 8/5/27 (Switzerland) | 308,000 | 294,733 | |
UBS Group Funding Switzerland AG company guaranty jr. unsec. sub. FRN Ser. REGS, 6.875%, perpetual maturity (Switzerland) | 206,000 | 183,766 | |
US Bancorp unsec. sub. FRB 2.491%, 11/3/36 | 630,000 | 486,256 | |
USI, Inc./NY 144A sr. unsec. notes 6.875%, 5/1/25 | 245,000 | 241,325 | |
VICI Properties LP sr. unsec. unsub. notes 4.75%, 2/15/28 R | 411,000 | 389,588 | |
VICI Properties LP/VICI Note Co., Inc. 144A company guaranty sr. unsec. notes 3.75%, 2/15/27 R | 154,000 | 142,168 | |
Wells Fargo & Co. jr. unsec. sub. FRB Ser. U, 5.875%, perpetual maturity | 172,000 | 168,990 | |
Wells Fargo & Co. jr. unsec. sub. FRN 3.90%, perpetual maturity | 104,000 | 91,802 | |
Wells Fargo & Co. sr. unsec. unsub. FRB Ser. MTN, 3.35%, 3/2/33 | 1,935,000 | 1,677,162 | |
Wells Fargo & Co. sr. unsec. unsub. FRN Ser. MTN, 4.54%, 8/15/26 | 219,000 | 214,962 | |
Westpac Banking Corp. sr. unsec. unsub. notes 3.35%, 3/8/27 (Australia) | 94,000 | 89,562 | |
Westpac Banking Corp. unsec. sub. bonds 2.963%, 11/16/40 (Australia) | 170,000 | 114,168 | |
48,466,544 | |||
Health care (0.8%) | |||
1375209 BC, Ltd. 144A sr. notes 9.00%, 1/30/28 (Canada) | 25,000 | 24,788 | |
AbbVie, Inc. sr. unsec. sub. notes 3.80%, 3/15/25 | 270,000 | 265,596 | |
Air Methods Corp. 144A sr. unsec. notes 8.00%, 5/15/25 | 265,000 | 15,900 | |
Amgen, Inc. sr. unsec. bonds 4.663%, 6/15/51 | 230,000 | 209,011 | |
Amgen, Inc. sr. unsec. unsub. bonds 5.65%, 3/2/53 | 51,000 | 53,082 | |
Amgen, Inc. sr. unsec. unsub. notes 5.25%, 3/2/30 | 105,000 | 107,383 | |
Amgen, Inc. sr. unsec. unsub. notes 5.15%, 3/2/28 | 495,000 | 505,942 | |
Amgen, Inc. sr. unsec. unsub. notes 2.60%, 8/19/26 | 347,000 | 326,769 | |
Bausch Health Cos., Inc. 144A company guaranty sr. notes 6.125%, 2/1/27 | 210,000 | 135,912 | |
Bausch Health Cos., Inc. 144A company guaranty sr. sub. notes 11.00%, 9/30/28 | 44,000 | 32,377 | |
Bausch Health Cos., Inc. 144A company guaranty sub. notes 14.00%, 10/15/30 | 8,000 | 4,504 | |
Bausch Health Cos., Inc. 144A sr. notes 4.875%, 6/1/28 | 420,000 | 247,800 | |
Becton Dickinson & Co. sr. unsec. notes 3.70%, 6/6/27 | 96,000 | 92,751 | |
Becton Dickinson & Co. sr. unsec. sub. bonds 1.957%, 2/11/31 | 500,000 | 411,419 | |
Bristol-Myers Squibb Co. sr. unsec. notes 2.90%, 7/26/24 | 501,000 | 491,134 | |
Centene Corp. sr. unsec. bonds 3.00%, 10/15/30 | 220,000 | 185,258 | |
Centene Corp. sr. unsec. notes 4.625%, 12/15/29 | 275,000 | 258,566 |
Dynamic Asset Allocation Growth Fund 47 |
CORPORATE BONDS AND NOTES (9.3%)* cont. | Principal amount | Value | |
Health care cont. | |||
Charles River Laboratories International, Inc. 144A company guaranty sr. unsec. notes 4.00%, 3/15/31 | $115,000 | $100,338 | |
Charles River Laboratories International, Inc. 144A company guaranty sr. unsec. notes 3.75%, 3/15/29 | 105,000 | 92,925 | |
CHS/Community Health Systems, Inc. 144A company guaranty sr. notes 8.00%, 3/15/26 | 115,000 | 111,146 | |
CHS/Community Health Systems, Inc. 144A company guaranty sr. notes 6.00%, 1/15/29 | 25,000 | 21,147 | |
CHS/Community Health Systems, Inc. 144A company guaranty sr. notes 5.625%, 3/15/27 | 90,000 | 79,009 | |
CHS/Community Health Systems, Inc. 144A company guaranty sr. unsec. sub. notes 6.875%, 4/1/28 | 165,000 | 102,300 | |
CHS/Community Health Systems, Inc. 144A jr. notes 6.875%, 4/15/29 | 195,000 | 120,723 | |
CHS/Community Health Systems, Inc. 144A sr. notes 5.25%, 5/15/30 | 530,000 | 415,759 | |
Cigna Corp. company guaranty sr. unsec. unsub. notes 3.75%, 7/15/23 | 243,000 | 241,821 | |
CVS Health Corp. sr. unsec. unsub. notes 4.78%, 3/25/38 | 736,000 | 701,614 | |
CVS Pass-Through Trust 144A sr. mtge. notes 4.704%, 1/10/36 | 122,976 | 115,652 | |
DH Europe Finance II SARL company guaranty sr. unsec. bonds 3.40%, 11/15/49 (Luxembourg) | 155,000 | 122,193 | |
Elanco Animal Health, Inc. sr. unsec. notes Ser. WI, 6.65%, 8/28/28 | 255,000 | 240,840 | |
Eli Lilly and Co. sr. unsec. unsub. bonds 4.875%, 2/27/53 | 145,000 | 149,931 | |
GE Healthcare Holding, LLC 144A company guaranty sr. unsec. notes 5.65%, 11/15/27 | 110,000 | 113,698 | |
HCA, Inc. company guaranty sr. notes 4.50%, 2/15/27 | 76,000 | 74,210 | |
HCA, Inc. company guaranty sr. notes 4.125%, 6/15/29 | 118,000 | 110,535 | |
HCA, Inc. company guaranty sr. unsec. notes 5.375%, 9/1/26 | 240,000 | 240,855 | |
HCA, Inc. company guaranty sr. unsec. notes 3.50%, 9/1/30 | 110,000 | 97,976 | |
Humana, Inc. sr. unsec. unsub. bonds 5.50%, 3/15/53 | 45,000 | 45,570 | |
Humana, Inc. sr. unsec. unsub. notes 5.75%, 3/1/28 | 250,000 | 259,635 | |
Jazz Securities DAC 144A company guaranty sr. unsub. notes 4.375%, 1/15/29 (Ireland) | 390,000 | 358,800 | |
Mallinckrodt International Finance SA/Mallinckrodt CB, LLC 144A company guaranty unsub. notes 10.00%, 4/15/25 (Luxembourg) | 193,000 | 129,044 | |
Merck & Co., Inc. sr. unsec. notes 2.90%, 3/7/24 | 19,000 | 18,657 | |
Merck & Co., Inc. sr. unsec. unsub. notes 3.70%, 2/10/45 | 395,000 | 343,491 | |
Merck & Co., Inc. sr. unsec. unsub. notes 2.75%, 2/10/25 | 122,000 | 119,238 | |
Minerva Merger Sub, Inc. 144A sr. unsec. notes 6.50%, 2/15/30 | 405,000 | 328,398 | |
Mozart Debt Merger Sub, Inc. 144A sr. notes 3.875%, 4/1/29 | 640,000 | 555,200 | |
Mozart Debt Merger Sub, Inc. 144A sr. unsec. notes 5.25%, 10/1/29 | 190,000 | 164,846 | |
Novartis Capital Corp. company guaranty sr. unsec. unsub. bonds 4.00%, 11/20/45 | 650,000 | 597,466 | |
Option Care Health, Inc. 144A company guaranty sr. unsec. notes 4.375%, 10/31/29 | 70,000 | 61,816 | |
Organon Finance 1, LLC 144A sr. notes 4.125%, 4/30/28 | 495,000 | 452,484 | |
Owens & Minor, Inc. 144A company guaranty sr. unsec. notes 6.625%, 4/1/30 | 345,000 | 296,269 | |
Owens & Minor, Inc. 144A sr. unsec. notes 4.50%, 3/31/29 | 240,000 | 187,237 |
48 Dynamic Asset Allocation Growth Fund |
CORPORATE BONDS AND NOTES (9.3%)* cont. | Principal amount | Value | |
Health care cont. | |||
Pfizer, Inc. sr. unsec. unsub. notes 3.00%, 12/15/26 | $305,000 | $293,684 | |
Roche Holdings, Inc. 144A company guaranty sr. unsec. bonds 4.00%, 11/28/44 (Switzerland) | 550,000 | 487,343 | |
Service Corp. International sr. unsec. bonds 5.125%, 6/1/29 | 320,000 | 308,700 | |
Service Corp. International sr. unsec. notes 4.625%, 12/15/27 | 142,000 | 136,811 | |
Service Corp. International sr. unsec. notes 3.375%, 8/15/30 | 150,000 | 127,876 | |
Service Corp. International sr. unsec. sub. notes 4.00%, 5/15/31 | 335,000 | 294,197 | |
Tenet Healthcare Corp. company guaranty sr. notes 5.125%, 11/1/27 | 550,000 | 528,028 | |
Tenet Healthcare Corp. company guaranty sr. notes 4.875%, 1/1/26 | 535,000 | 524,493 | |
Tenet Healthcare Corp. company guaranty sr. notes 4.625%, 7/15/24 | 60,000 | 59,185 | |
Tenet Healthcare Corp. company guaranty sr. notes 4.25%, 6/1/29 | 215,000 | 194,513 | |
Tenet Healthcare Corp. 144A company guaranty sr. unsub. notes 6.125%, 6/15/30 | 345,000 | 340,343 | |
Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. unsub. notes 8.125%, 9/15/31 (Israel) | 225,000 | 236,250 | |
Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. unsub. notes 7.875%, 9/15/29 (Israel) | 200,000 | 209,500 | |
Teva Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. unsub. notes 5.125%, 5/9/29 (Israel) | 1,065,000 | 964,583 | |
UnitedHealth Group, Inc. sr. unsec. unsub. notes 3.95%, 10/15/42 | 245,000 | 214,155 | |
UnitedHealth Group, Inc. sr. unsec. unsub. notes 3.85%, 6/15/28 | 740,000 | 723,132 | |
Viatris, Inc. company guaranty sr. unsec. notes 2.30%, 6/22/27 | 291,000 | 255,022 | |
Zoetis, Inc. sr. unsec. notes 3.90%, 8/20/28 | 335,000 | 325,912 | |
Zoetis, Inc. sr. unsec. sub. notes 2.00%, 5/15/30 | 157,000 | 131,990 | |
16,894,732 | |||
Technology (0.6%) | |||
Alphabet, Inc. sr. unsec. bonds 2.25%, 8/15/60 | 295,000 | 181,863 | |
Alphabet, Inc. sr. unsec. notes 1.998%, 8/15/26 | 305,000 | 285,685 | |
Apple, Inc. sr. unsec. bonds 4.25%, 2/9/47 | 655,000 | 627,556 | |
Apple, Inc. sr. unsec. bonds 2.80%, 2/8/61 | 240,000 | 163,334 | |
Apple, Inc. sr. unsec. notes 2.85%, 5/11/24 | 275,000 | 270,340 | |
Apple, Inc. sr. unsec. unsub. notes 4.375%, 5/13/45 | 262,000 | 254,306 | |
Apple, Inc. sr. unsec. unsub. notes 3.85%, 5/4/43 | 314,000 | 285,330 | |
Arches Buyer, Inc. 144A sr. notes 4.25%, 6/1/28 | 755,000 | 630,991 | |
Arches Buyer, Inc. 144A sr. unsec. notes 6.125%, 12/1/28 | 195,000 | 160,875 | |
Boxer Parent Co., Inc. 144A company guaranty sr. notes 7.125%, 10/2/25 | 65,000 | 64,690 | |
Broadcom Corp./Broadcom Cayman Finance, Ltd. company guaranty sr. unsec. unsub. notes 3.875%, 1/15/27 | 494,000 | 477,551 | |
Broadcom Corp./Broadcom Cayman Finance, Ltd. company guaranty sr. unsec. unsub. notes 3.50%, 1/15/28 | 1,147,000 | 1,076,078 | |
Broadcom, Inc. 144A sr. unsec. bonds 3.187%, 11/15/36 | 80,000 | 60,625 | |
Central Parent, Inc./CDK Global, Inc. 144A company guaranty sr. notes 7.25%, 6/15/29 | 190,000 | 186,747 | |
Clarivate Science Holdings Corp. 144A sr. unsec. notes 4.875%, 7/1/29 | 455,000 | 411,488 | |
CommScope Finance, LLC 144A sr. notes 6.00%, 3/1/26 | 105,000 | 101,336 |
Dynamic Asset Allocation Growth Fund 49 |
CORPORATE BONDS AND NOTES (9.3%)* cont. | Principal amount | Value | |
Technology cont. | |||
CommScope Technologies, LLC 144A company guaranty sr. unsec. notes 6.00%, 6/15/25 | $84,000 | $79,107 | |
CommScope, Inc. 144A company guaranty sr. unsec. notes 8.25%, 3/1/27 | 170,000 | 139,247 | |
Crowdstrike Holdings, Inc. company guaranty sr. unsec. notes 3.00%, 2/15/29 | 475,000 | 414,545 | |
Gen Digital Inc. 144A company guaranty sr. unsec. unsub. notes 7.125%, 9/30/30 | 140,000 | 139,300 | |
Google, LLC sr. unsec. notes 3.375%, 2/25/24 | 335,000 | 332,807 | |
Imola Merger Corp. 144A sr. notes 4.75%, 5/15/29 | 550,000 | 492,025 | |
Meta Platforms, Inc. sr. unsec. unsub. bonds 4.45%, 8/15/52 | 221,000 | 194,422 | |
Meta Platforms, Inc. sr. unsec. unsub. notes 3.85%, 8/15/32 | 265,000 | 247,944 | |
Meta Platforms, Inc. sr. unsec. unsub. notes 3.50%, 8/15/27 | 124,000 | 119,761 | |
Microchip Technology, Inc. company guaranty sr. notes 4.333%, 6/1/23 | 165,000 | 164,395 | |
Microsoft Corp. sr. unsec. unsub. bonds 2.921%, 3/17/52 | 799,000 | 607,378 | |
Microsoft Corp. sr. unsec. unsub. bonds 2.525%, 6/1/50 | 60,000 | 42,455 | |
Microsoft Corp. sr. unsec. unsub. bonds 2.40%, 8/8/26 | 930,000 | 885,097 | |
Microsoft Corp. sr. unsec. unsub. notes 3.30%, 2/6/27 | 70,000 | 68,671 | |
NortonLifeLock, Inc. 144A company guaranty sr. unsec. unsub. notes 6.75%, 9/30/27 | 145,000 | 145,725 | |
Oracle Corp. sr. unsec. bonds 5.55%, 2/6/53 | 135,000 | 128,526 | |
Oracle Corp. sr. unsec. bonds 3.95%, 3/25/51 | 55,000 | 41,386 | |
Oracle Corp. sr. unsec. bonds 3.65%, 3/25/41 | 305,000 | 235,311 | |
Oracle Corp. sr. unsec. notes 2.95%, 4/1/30 | 295,000 | 260,471 | |
Oracle Corp. sr. unsec. unsub. bonds 4.00%, 11/15/47 | 735,000 | 560,626 | |
Picard Midco, Inc. 144A sr. notes. 6.50%, 3/31/29 | 570,000 | 504,224 | |
Rocket Software, Inc. 144A sr. unsec. notes 6.50%, 2/15/29 | 610,000 | 480,375 | |
salesforce.com, Inc. sr. unsec. bonds 3.05%, 7/15/61 | 320,000 | 219,595 | |
salesforce.com, Inc. sr. unsec. bonds 2.90%, 7/15/51 | 320,000 | 226,983 | |
Sensata Technologies, Inc. 144A company guaranty sr. unsec. notes 3.75%, 2/15/31 | 430,000 | 376,250 | |
ServiceNow, Inc. sr. unsec. notes 1.40%, 9/1/30 | 315,000 | 253,762 | |
TTM Technologies, Inc. 144A company guaranty sr. unsec. notes 4.00%, 3/1/29 | 335,000 | 291,450 | |
Twilio, Inc. company guaranty sr. unsec. notes 3.875%, 3/15/31 | 440,000 | 373,348 | |
Twilio, Inc. company guaranty sr. unsec. notes 3.625%, 3/15/29 | 355,000 | 306,188 | |
Workday, Inc. sr. unsec. notes 3.70%, 4/1/29 | 100,000 | 93,589 | |
ZoomInfo Technologies, LLC/ZoomInfo Finance Corp. 144A company guaranty sr. unsec. notes 3.875%, 2/1/29 | 860,000 | 744,524 | |
14,408,282 | |||
Transportation (0.1%) | |||
American Airlines, Inc./AAdvantage Loyalty IP, Ltd. 144A company guaranty sr. notes 5.75%, 4/20/29 | 235,000 | 225,420 | |
American Airlines, Inc./AAdvantage Loyalty IP, Ltd. 144A company guaranty sr. notes 5.50%, 4/20/26 | 235,000 | 231,266 | |
Canadian Pacific Railway Co. company guaranty sr. unsec. unsub. notes 1.75%, 12/2/26 (Canada) | 645,000 | 584,651 | |
CSX Corp. sr. unsec. unsub. notes 4.10%, 3/15/44 | 240,000 | 208,512 |
50 Dynamic Asset Allocation Growth Fund |
CORPORATE BONDS AND NOTES (9.3%)* cont. | Principal amount | Value | |
Transportation cont. | |||
Delta Air Lines, Inc./SkyMiles IP, Ltd. 144A company guaranty sr. notes 4.75%, 10/20/28 | $425,000 | $409,918 | |
Penske Truck Leasing Co. LP/PTL Finance Corp. 144A sr. unsec. bonds 3.40%, 11/15/26 | 113,000 | 105,265 | |
Penske Truck Leasing Co. LP/PTL Finance Corp. 144A sr. unsec. notes 4.40%, 7/1/27 | 145,000 | 139,102 | |
Penske Truck Leasing Co. LP/PTL Finance Corp. 144A sr. unsec. notes 3.90%, 2/1/24 | 210,000 | 206,715 | |
United Airlines, Inc. 144A company guaranty sr. notes 4.625%, 4/15/29 | 90,000 | 81,405 | |
United Airlines, Inc. 144A company guaranty sr. notes 4.375%, 4/15/26 | 90,000 | 86,104 | |
Watco Cos., LLC/Watco Finance Corp. 144A sr. unsec. notes 6.50%, 6/15/27 | 735,000 | 688,931 | |
2,967,289 | |||
Utilities and power (0.4%) | |||
AES Corp. (The) sr. unsec. notes 1.375%, 1/15/26 | 188,000 | 169,161 | |
AES Corp. (The) sr. unsec. unsub. notes 2.45%, 1/15/31 | 230,000 | 187,251 | |
American Electric Power Co., Inc. sr. unsec. unsub. notes Ser. J, 4.30%, 12/1/28 | 510,000 | 497,224 | |
American Transmission Systems, Inc. 144A sr. unsec. bonds 2.65%, 1/15/32 | 95,000 | 79,984 | |
Boardwalk Pipelines LP company guaranty sr. unsec. notes 3.60%, 9/1/32 | 60,000 | 51,591 | |
Buckeye Partners LP sr. unsec. bonds 5.85%, 11/15/43 | 105,000 | 79,284 | |
Buckeye Partners LP sr. unsec. notes 3.95%, 12/1/26 | 205,000 | 185,486 | |
Buckeye Partners LP 144A sr. unsec. notes 4.50%, 3/1/28 | 175,000 | 157,978 | |
Calpine Corp. 144A company guaranty sr. notes 5.25%, 6/1/26 | 48,000 | 46,795 | |
Calpine Corp. 144A company guaranty sr. notes 4.50%, 2/15/28 | 340,000 | 315,390 | |
Calpine Corp. 144A sr. unsec. notes 5.00%, 2/1/31 | 45,000 | 38,093 | |
Calpine Corp. 144A sr. unsec. notes 4.625%, 2/1/29 | 25,000 | 21,583 | |
Consolidated Edison Co. of New York, Inc. sr. unsec. unsub. notes 4.20%, 3/15/42 | 130,000 | 113,418 | |
Duke Energy Corp. sr. unsec. bonds 4.20%, 6/15/49 | 350,000 | 286,191 | |
Duke Energy Corp. sr. unsec. notes 3.15%, 8/15/27 | 445,000 | 418,261 | |
Duke Energy Indiana LLC sr. bonds 6.45%, 4/1/39 | 80,000 | 89,419 | |
Duke Energy Ohio, Inc. sr. bonds 3.65%, 2/1/29 | 385,000 | 364,652 | |
Duke Energy Progress, LLC sr. notes 3.375%, 9/1/23 | 186,000 | 184,486 | |
Enbridge, Inc. company guaranty sr. unsec. unsub. bonds 4.50%, 6/10/44 (Canada) | 355,000 | 301,550 | |
Enbridge, Inc. sr. unsec. unsub. bonds 4.25%, 12/1/26 (Canada) | 210,000 | 206,284 | |
Energy Transfer LP company guaranty sr. unsec. bonds 3.75%, 5/15/30 | 625,000 | 576,757 | |
Energy Transfer LP company guaranty sr. unsec. notes 5.50%, 6/1/27 | 84,000 | 84,901 | |
Energy Transfer LP company guaranty sr. unsec. notes 2.90%, 5/15/25 | 79,000 | 75,286 | |
Energy Transfer LP jr. unsec. sub. FRN 6.625%, perpetual maturity | 1,455,000 | 1,083,718 | |
Enterprise Products Operating, LLC company guaranty sr. unsec. notes 2.80%, 1/31/30 | 151,000 | 133,909 |
Dynamic Asset Allocation Growth Fund 51 |
CORPORATE BONDS AND NOTES (9.3%)* cont. | Principal amount | Value | |
Utilities and power cont. | |||
Enterprise Products Operating, LLC company guaranty sr. unsec. unsub. bonds 4.25%, 2/15/48 | $755,000 | $643,338 | |
Evergy Kansas Central, Inc. sr. bonds 5.70%, 3/15/53 | 110,000 | 115,479 | |
Evergy Missouri West, Inc. 144A sr. notes 5.15%, 12/15/27 | 330,000 | 332,569 | |
Eversource Energy sr. unsec. unsub. notes 5.45%, 3/1/28 | 50,000 | 51,811 | |
IPALCO Enterprises, Inc. sr. notes 4.25%, 5/1/30 | 140,000 | 128,891 | |
IPALCO Enterprises, Inc. sr. sub. notes 3.70%, 9/1/24 | 70,000 | 68,013 | |
Kinder Morgan, Inc. company guaranty sr. unsec. unsub. bonds 5.20%, 6/1/33 | 305,000 | 303,016 | |
Kinder Morgan, Inc. company guaranty sr. unsec. unsub. notes 1.75%, 11/15/26 | 115,000 | 103,643 | |
NextEra Energy Capital Holdings, Inc. company guaranty sr. unsec. unsub. notes 6.051%, 3/1/25 | 290,000 | 295,018 | |
NRG Energy, Inc. 144A company guaranty sr. notes 3.75%, 6/15/24 | 99,000 | 96,023 | |
NRG Energy, Inc. 144A company guaranty sr. unsec. bonds 3.875%, 2/15/32 | 595,000 | 476,000 | |
NRG Energy, Inc. 144A jr. unsec. sub. FRB 10.25%, 3/9/53 | 95,000 | 90,783 | |
Oncor Electric Delivery Co., LLC sr. notes 5.30%, 6/1/42 | 45,000 | 46,444 | |
Oncor Electric Delivery Co., LLC sr. notes 3.75%, 4/1/45 | 405,000 | 338,882 | |
Pacific Gas and Electric Co. company guaranty sr. unsec. unsub. notes 2.95%, 3/1/26 | 110,000 | 102,324 | |
Pacific Gas and Electric Co. notes 2.10%, 8/1/27 | 50,000 | 43,605 | |
Public Service Electric & Gas Co. sr. notes Ser. MTN, 5.50%, 3/1/40 | 75,000 | 78,760 | |
Vistra Corp. 144A jr. unsec. sub. FRN 7.00%, perpetual maturity | 100,000 | 88,000 | |
Vistra Operations Co., LLC 144A company guaranty sr. notes 4.30%, 7/15/29 | 212,000 | 189,784 | |
Vistra Operations Co., LLC 144A company guaranty sr. notes 3.55%, 7/15/24 | 204,000 | 196,976 | |
Vistra Operations Co., LLC 144A company guaranty sr. unsec. notes 5.50%, 9/1/26 | 180,000 | 174,747 | |
Vistra Operations Co., LLC 144A company guaranty sr. unsec. sub. notes 5.00%, 7/31/27 | 150,000 | 141,825 | |
9,854,583 | |||
Total corporate bonds and notes (cost $229,957,578) | $208,482,915 | ||
MORTGAGE-BACKED SECURITIES (2.4%)* | Principal amount | Value | |
Agency collateralized mortgage obligations (0.5%) | |||
Federal Home Loan Mortgage Corporation | |||
REMICs IFB Ser. 3065, Class DC, ((-3 x ICE LIBOR USD 1 Month) + 19.86%), 5.807%, 3/15/35 | $20,314 | $21,409 | |
REMICs Ser. 5079, Class BI, IO, 5.50%, 2/25/51 | 2,209,148 | 459,121 | |
REMICs Ser. 5024, Class HI, IO, 4.50%, 10/25/50 | 3,046,602 | 631,912 | |
REMICs Ser. 5138, Class YI, IO, 4.50%, 12/25/49 | 3,935,660 | 886,968 | |
REMICs Ser. 5134, Class IB, IO, 4.00%, 8/25/51 | 3,938,621 | 760,626 | |
REMICs Ser. 5119, Class IC, IO, 4.00%, 6/25/51 | 6,891,706 | 1,352,497 | |
REMICs Ser. 5121, Class KI, IO, 4.00%, 6/25/51 | 3,068,050 | 640,500 | |
REMICs Ser. 5036, Class IK, IO, 4.00%, 4/25/50 | 3,235,923 | 639,848 | |
REMICs Ser. 5142, Class AI, IO, 3.50%, 9/25/51 | 3,744,081 | 657,329 | |
REMICs Ser. 5010, Class IA, IO, 3.50%, 9/25/50 | 2,376,972 | 409,922 |
52 Dynamic Asset Allocation Growth Fund |
MORTGAGE-BACKED SECURITIES (2.4%)* cont. | Principal amount | Value | |
Agency collateralized mortgage obligations cont. | |||
Federal Home Loan Mortgage Corporation | |||
REMICs Ser. 5167, IO, 3.00%, 11/25/51 | $5,099,100 | $807,290 | |
REMICs IFB Ser. 4326, Class GS, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.05%), 1.366%, 4/15/44 | 3,499,613 | 364,197 | |
Federal National Mortgage Association | |||
REMICs Ser. 21-65, Class LI, IO, 3.50%, 10/25/51 | 2,757,478 | 491,162 | |
REMICs Ser. 20-96, Class JI, IO, 3.00%, 1/25/51 | 5,294,386 | 634,205 | |
REMICs Ser. 21-28, Class NI, IO, 3.00%, 5/25/41 | 5,135,541 | 566,450 | |
REMICs Ser. 21-45, Class MI, IO, 2.50%, 2/25/49 | 4,527,927 | 597,347 | |
REMICs IFB Ser. 17-69, Class SG, IO, ((-1 x ICE LIBOR USD 1 Month) + 6.15%), 1.305%, 9/25/47 | 3,337,126 | 409,121 | |
FRB Ser. 02-W8, Class 1, IO, 0.295%, 6/25/42 W | 192,987 | 1,121 | |
REMICs Ser. 01-79, Class BI, IO, 0.248%, 3/25/45 W | 79,799 | 447 | |
REMICs Ser. 03-34, PO, zero %, 4/25/43 | 6,003 | 5,462 | |
Government National Mortgage Association | |||
Ser. 10-9, Class UI, IO, 5.00%, 1/20/40 | 169,700 | 34,576 | |
Ser. 21-117, Class MI, IO, 3.50%, 5/20/42 | 4,765,759 | 696,992 | |
Ser. 15-H26, Class EI, IO, 1.758%, 10/20/65 W | 1,467,834 | 67,961 | |
FRB Ser. 16-H16, Class LI, IO, 0.06%, 7/20/66 W | 8,738,665 | 356,031 | |
11,492,494 | |||
Commercial mortgage-backed securities (0.9%) | |||
Arbor Multifamily Mortgage Securities Trust 144A FRB Ser. 20-MF1, Class XA, IO, 0.961%, 5/15/53 W | 4,154,877 | 208,215 | |
AREIT CRE Trust 144A FRB Ser. 21-CRE5, Class A, 5.789%, 11/17/38 (Cayman Islands) | 288,183 | 276,656 | |
AREIT Trust 144A FRB Ser. 20-CRE4, Class C, 7.781%, 4/15/37 | 409,000 | 396,321 | |
Banc of America Commercial Mortgage Trust FRB Ser. 07-1, Class XW, IO, 0.314%, 1/15/49 W | 15,468 | — | |
BANK FRB Ser. 19-BN20, Class XA, IO, 0.813%, 9/15/62 W | 3,773,134 | 153,050 | |
Barclays Commercial Mortgage Trust | |||
Ser. 19-C3, Class C, 4.178%, 5/15/52 | 762,000 | 633,387 | |
FRB Ser. 19-C4, Class XA, IO, 1.552%, 8/15/52 W | 4,654,253 | 327,647 | |
Benchmark Mortgage Trust Ser. 19-B11, Class AS, 3.784%, 5/15/52 | 243,000 | 213,929 | |
BXMT, Ltd. 144A FRB Ser. 21-FL4, Class A, 5.734%, 5/15/38 (Cayman Islands) | 534,000 | 522,367 | |
CFCRE Commercial Mortgage Trust FRB Ser. 17-C8, Class B, 4.199%, 6/15/50 W | 193,000 | 165,326 | |
CFCRE Commercial Mortgage Trust 144A | |||
FRB Ser. 11-C2, Class D, 5.08%, 12/15/47 W | 85,533 | 76,509 | |
FRB Ser. 11-C2, Class E, 5.08%, 12/15/47 W | 562,000 | 460,826 | |
Citigroup Commercial Mortgage Trust | |||
Ser. 14-GC21, Class B, 4.328%, 5/10/47 W | 570,000 | 524,064 | |
FRB Ser. 14-GC21, Class XA, IO, 1.123%, 5/10/47 W | 2,988,428 | 24,631 | |
Citigroup Commercial Mortgage Trust 144A FRB Ser. 14-GC19, Class D, 5.089%, 3/11/47 W | 459,000 | 430,020 | |
COMM Mortgage Trust | |||
FRB Ser. 13-CR13, Class C, 4.876%, 11/10/46 W | 648,000 | 612,513 | |
FRB Ser. 14-CR17, Class C, 4.782%, 5/10/47 W | 890,000 | 773,206 | |
FRB Ser. 14-CR18, Class C, 4.761%, 7/15/47 W | 354,000 | 333,276 | |
Ser. 14-LC15, Class B, 4.599%, 4/10/47 W | 229,000 | 219,433 |
Dynamic Asset Allocation Growth Fund 53 |
MORTGAGE-BACKED SECURITIES (2.4%)* cont. | Principal amount | Value | |
Commercial mortgage-backed securities cont. | |||
COMM Mortgage Trust | |||
FRB Ser. 15-LC21, Class B, 4.33%, 7/10/48 W | $370,000 | $314,456 | |
FRB Ser. 15-LC19, Class C, 4.215%, 2/10/48 W | 620,000 | 563,670 | |
FRB Ser. 13-CR11, Class XA, IO, 0.895%, 8/10/50 W | 6,624,099 | 6,803 | |
FRB Ser. 14-UBS6, Class XA, IO, 0.835%, 12/10/47 W | 5,000,534 | 49,260 | |
COMM Mortgage Trust 144A | |||
FRB Ser. 10-C1, Class D, 5.794%, 7/10/46 W | 576,750 | 532,231 | |
FRB Ser. 13-CR13, Class D, 4.876%, 11/10/46 W | 347,000 | 283,068 | |
FRB Ser. 15-LC23, Class D, 3.565%, 10/10/48 W | 336,000 | 278,971 | |
Credit Suisse Commercial Mortgage Trust 144A FRB Ser. 07-C2, Class AX, IO, zero %, 1/15/49 W | 1,119,720 | 11 | |
CSAIL Commercial Mortgage Trust | |||
Ser. 16-C7, Class AS, 3.958%, 11/15/49 W | 323,000 | 299,382 | |
Ser. 15-C2, Class AS, 3.849%, 6/15/57 W | 321,000 | 294,995 | |
Ser. 19-C17, Class AS, 3.278%, 9/15/52 | 428,000 | 364,461 | |
FRB Ser. 20-C19, Class XA, IO, 1.106%, 3/15/53 W | 6,370,181 | 358,716 | |
CSAIL Commercial Mortgage Trust 144A FRB Ser. 15-C1, Class D, 3.756%, 4/15/50 W | 645,000 | 355,113 | |
DBUBS Mortgage Trust 144A FRB Ser. 11-LC3A, Class D, 5.361%, 8/10/44 W | 759,113 | 709,804 | |
Federal Home Loan Mortgage Corporation Multifamily Structured Pass-Through Certificates FRB Ser. K740, Class X1, IO, 0.749%, 9/25/27 W | 5,118,869 | 140,091 | |
GS Mortgage Securities Trust | |||
FRB Ser. 14-GC22, Class C, 4.687%, 6/10/47 W | 521,000 | 462,013 | |
FRB Ser. 14-GC22, Class XA, IO, 0.935%, 6/10/47 W | 6,465,184 | 41,019 | |
GS Mortgage Securities Trust 144A | |||
FRB Ser. 10-C1, Class D, 6.357%, 8/10/43 W | 246,000 | 194,438 | |
FRB Ser. 13-GC14, Class B, 4.667%, 8/10/46 W | 247,000 | 240,123 | |
JPMBB Commercial Mortgage Securities Trust | |||
FRB Ser. 14-C19, Class C, 4.635%, 4/15/47 W | 168,000 | 158,790 | |
FRB Ser. 14-C22, Class C, 4.548%, 9/15/47 W | 473,000 | 431,303 | |
FRB Ser. 14-C23, Class C, 4.479%, 9/15/47 W | 476,000 | 439,469 | |
FRB Ser. 13-C12, Class B, 4.128%, 7/15/45 W | 426,000 | 420,125 | |
FRB Ser. 13-C17, Class XA, IO, 0.684%, 1/15/47 W | 2,849,318 | 7,406 | |
JPMorgan Chase Commercial Mortgage Securities Trust | |||
FRB Ser. 13-C16, Class C, 5.009%, 12/15/46 W | 450,000 | 423,231 | |
Ser. 14-C20, Class AS, 4.043%, 7/15/47 | 351,000 | 337,356 | |
FRB Ser. 13-LC11, Class XA, IO, 1.263%, 4/15/46 W | 3,834,095 | 38 | |
FRB Ser. 06-CB17, Class X, IO, 0.502%, 12/12/43 W | 141,832 | 2,849 | |
JPMorgan Chase Commercial Mortgage Securities Trust 144A FRB Ser. 12-C6, Class E, 4.966%, 5/15/45 W | 559,000 | 438,088 | |
LB-UBS Commercial Mortgage Trust 144A FRB Ser. 06-C6, Class XCL, IO, 0.435%, 9/15/39 W | 1,115,254 | 134 | |
Morgan Stanley Bank of America Merrill Lynch Trust | |||
FRB Ser. 14-C14, Class C, 5.06%, 2/15/47 W | 418,603 | 406,683 | |
Ser. 14-C15, Class B, 4.565%, 4/15/47 W | 232,000 | 225,838 | |
FRB Ser. 14-C17, Class C, 4.472%, 8/15/47 W | 708,000 | 665,160 | |
FRB Ser. 15-C24, Class B, 4.328%, 5/15/48 W | 225,000 | 211,042 |
54 Dynamic Asset Allocation Growth Fund |
MORTGAGE-BACKED SECURITIES (2.4%)* cont. | Principal amount | Value | |
Commercial mortgage-backed securities cont. | |||
Morgan Stanley Bank of America Merrill Lynch Trust | |||
Ser. 14-C19, Class C, 4.00%, 12/15/47 | $255,000 | $229,949 | |
FRB Ser. 14-C17, Class XA, IO, 1.018%, 8/15/47 W | 2,913,877 | 19,267 | |
Morgan Stanley Bank of America Merrill Lynch Trust 144A FRB Ser. 12-C6, Class D, 4.488%, 11/15/45 W | 450,000 | 389,714 | |
Morgan Stanley Capital I Trust Ser. 16-UB12, Class AS, 3.778%, 12/15/49 W | 200,000 | 178,194 | |
Morgan Stanley Capital I Trust 144A FRB Ser. 11-C3, Class D, 5.083%, 7/15/49 W | 231,000 | 226,591 | |
PFP, Ltd. 144A REMICs FRB Ser. 21-8, Class AS, 5.978%, 8/9/37 (Cayman Islands) | 326,000 | 307,129 | |
UBS Commercial Mortgage Trust | |||
FRB Ser. 17-C7, Class XA, IO, 1.004%, 12/15/50 W | 3,566,869 | 126,030 | |
FRB Ser. 18-C8, Class XA, IO, 0.811%, 2/15/51 W | 3,705,178 | 122,800 | |
VMC Finance, LLC 144A FRB Ser. 21-FL4, Class A, 5.861%, 6/16/36 | 107,359 | 104,139 | |
Wachovia Bank Commercial Mortgage Trust FRB Ser. 06-C29, IO, zero %, 11/15/48 W | 189,071 | 91 | |
Wells Fargo Commercial Mortgage Trust | |||
FRB Ser. 13-LC12, Class AS, 4.364%, 7/15/46 W | 319,000 | 316,553 | |
FRB Ser. 13-LC12, Class C, 4.364%, 7/15/46 W | 408,000 | 306,000 | |
FRB Ser. 20-C57, Class C, 4.023%, 8/15/53 W | 261,000 | 206,296 | |
Ser. 16-BNK1, Class AS, 2.814%, 8/15/49 | 274,000 | 244,210 | |
FRB Ser. 19-C52, Class XA, IO, 1.603%, 8/15/52 W | 3,526,838 | 242,358 | |
FRB Ser. 14-LC16, Class XA, IO, 1.068%, 8/15/50 W | 7,150,780 | 55,213 | |
FRB Ser. 16-LC25, Class XA, IO, 0.836%, 12/15/59 W | 4,568,411 | 113,076 | |
Wells Fargo Commercial Mortgage Trust 144A FRB Ser. 13-LC12, Class D, 4.364%, 7/15/46 W | 518,000 | 182,410 | |
WF-RBS Commercial Mortgage Trust | |||
FRB Ser. 13-C11, Class C, 4.091%, 3/15/45 W | 849,000 | 704,670 | |
Ser. 12-C10, Class AS, 3.241%, 12/15/45 | 92,239 | 87,379 | |
FRB Ser. 14-C24, Class XA, IO, 0.839%, 11/15/47 W | 8,391,206 | 82,557 | |
FRB Ser. 14-C22, Class XA, IO, 0.782%, 9/15/57 W | 17,823,963 | 140,399 | |
WF-RBS Commercial Mortgage Trust 144A | |||
FRB Ser. 11-C3, Class D, 5.379%, 3/15/44 W | 629,431 | 231,631 | |
FRB Ser. 13-C15, Class D, 4.511%, 8/15/46 W | 437,000 | 133,750 | |
FRB Ser. 12-C10, Class XA, IO, 1.151%, 12/15/45 W | 173,062 | 2 | |
20,757,921 | |||
Residential mortgage-backed securities (non-agency) (1.0%) | |||
American Home Mortgage Investment Trust FRB Ser. 07-1, Class GA1C, (ICE LIBOR USD 1 Month + 0.19%), 5.035%, 5/25/47 | 354,744 | 188,371 | |
Arroyo Mortgage Trust 144A | |||
Ser. 19-1, Class A3, 4.208%, 1/25/49 W | 56,031 | 52,772 | |
Ser. 19-3, Class A3, 3.416%, 10/25/48 W | 70,260 | 64,584 | |
Bellemeade Re, Ltd. 144A FRB Ser. 19-4A, Class M1C, (ICE LIBOR USD 1 Month + 2.50%), 7.345%, 10/25/29 (Bermuda) | 189,328 | 189,079 | |
BRAVO Residential Funding Trust 144A | |||
FRB Ser. 21-HE3, Class A2, (US 30 Day Average SOFR + 1.00%), 5.56%, 8/25/69 | 318,222 | 304,512 | |
Ser. 21-C, Class A1, 1.62%, 3/1/61 | 295,825 | 268,569 |
Dynamic Asset Allocation Growth Fund 55 |
MORTGAGE-BACKED SECURITIES (2.4%)* cont. | Principal amount | Value | |
Residential mortgage-backed securities (non-agency) cont. | |||
Bunker Hill Loan Depositary Trust 144A Ser. 20-1, Class A2, 2.60%, 2/25/55 W | $285,000 | $248,924 | |
Cascade Funding Mortgage Trust, LLC 144A Ser. 21-HB7, Class M2, 2.679%, 10/27/31 W | 1,129,000 | 1,071,699 | |
Citigroup Mortgage Loan Trust 144A Ser. 22-A, Class A1, 6.17%, 9/25/62 | 143,529 | 141,900 | |
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 05-2, Class 1A2A, 4.43%, 5/25/35 W | 118,488 | 113,178 | |
COLT Mortgage Loan Trust 144A Ser. 20-2, Class A1, 1.853%, 3/25/65 W | 5,295 | 5,188 | |
Countrywide Alternative Loan Trust | |||
FRB Ser. 05-59, Class 1A1, (ICE LIBOR USD 1 Month + 0.66%), 5.438%, 11/20/35 | 284,425 | 251,495 | |
FRB Ser. 05-65CB, Class 2A1, (ICE LIBOR USD 1 Month + 0.43%), 5.27%, 12/25/35 | 489,186 | 317,898 | |
FRB Ser. 06-OA10, Class 4A1, (ICE LIBOR USD 1 Month + 0.38%), 5.225%, 8/25/46 | 682,562 | 540,674 | |
FRB Ser. 06-OA19, Class A1, (ICE LIBOR USD 1 Month + 0.18%), 4.941%, 2/20/47 | 233,754 | 173,747 | |
FRB Ser. 06-OA7, Class 1A2, (Federal Reserve US 12 Month Cumulative Avg 1 yr CMT + 0.94%), 4.078%, 6/25/46 | 440,647 | 364,679 | |
CSMC Trust 144A | |||
Ser. 21-RPL7, Class A1, 1.926%, 7/27/61 W | 178,942 | 164,121 | |
Ser. 21-RPL4, Class A1, 1.796%, 12/27/60 W | 177,687 | 162,775 | |
Eagle Re, Ltd. 144A FRB Ser. 18-1, Class M1, (ICE LIBOR USD 1 Month + 1.70%), 6.545%, 11/25/28 (Bermuda) | 227,125 | 226,183 | |
Federal Home Loan Mortgage Corporation | |||
Structured Agency Credit Risk Debt FRN Ser. 16-DNA3, Class M3, (ICE LIBOR USD 1 Month + 5.00%), 9.845%, 12/25/28 | 243,431 | 259,437 | |
Structured Agency Credit Risk Debt FRN Ser. 15-DNA3, Class M3, (ICE LIBOR USD 1 Month + 4.70%), 9.545%, 4/25/28 | 287,551 | 301,916 | |
Structured Agency Credit Risk Debt FRN Ser. 13-DN2, Class M2, (ICE LIBOR USD 1 Month + 4.25%), 9.095%, 11/25/23 | 200,820 | 204,648 | |
Structured Agency Credit Risk Debt FRN Ser. 17-HQA1, Class M2, (ICE LIBOR USD 1 Month + 3.55%), 8.395%, 8/25/29 | 140,870 | 146,153 | |
Federal Home Loan Mortgage Corporation 144A | |||
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-DNA5, Class B1, (US 30 Day Average SOFR + 4.80%), 9.36%, 10/25/50 | 286,000 | 301,373 | |
Structured Agency Credit Risk Debt FRN Ser. 22-DNA5, Class M1A, (US 30 Day Average SOFR + 2.95%), 7.51%, 6/25/42 | 50,832 | 51,709 | |
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-DNA5, Class M2, (US 30 Day Average SOFR + 2.80%), 7.36%, 10/25/50 | 48,194 | 48,766 | |
Structured Agency Credit Risk Trust FRB Ser. 18-HRP2, Class M3, (ICE LIBOR USD 1 Month + 2.40%), 7.245%, 2/25/47 | 153,330 | 153,205 | |
Structured Agency Credit Risk Debt FRN Ser. 22-HQA2, Class M1A, (US 30 Day Average SOFR + 2.65%), 7.21%, 7/25/42 | 478,867 | 483,356 | |
Structured Agency Credit Risk Debt FRN Ser. 21-DNA2, Class M2, (US 30 Day Average SOFR + 2.30%), 6.86%, 8/25/33 | 437,000 | 430,454 | |
Structured Agency Credit Risk Trust REMICs FRB Ser. 22-HQA3, Class M1A, (US 30 Day Average SOFR + 2.30%), 6.86%, 8/25/42 | 22,349 | 22,420 |
56 Dynamic Asset Allocation Growth Fund |
MORTGAGE-BACKED SECURITIES (2.4%)* cont. | Principal amount | Value | |
Residential mortgage-backed securities (non-agency) cont. | |||
Federal Home Loan Mortgage Corporation 144A | |||
Structured Agency Credit Risk Trust FRB Ser. 19-DNA4, Class M2, (ICE LIBOR USD 1 Month + 1.95%), 6.795%, 10/25/49 | $2,631 | $2,631 | |
Structured Agency Credit Risk Trust REMICs FRB Ser. 22-DNA4, Class M1A, (US 30 Day Average SOFR + 2.20%), 6.76%, 5/25/42 | 95,465 | 95,799 | |
Structured Agency Credit Risk Trust REMICs FRB Ser. 20-HQA1, Class M2, (ICE LIBOR USD 1 Month + 1.90%), 6.745%, 1/25/50 | 32,205 | 32,244 | |
Structured Agency Credit Risk Trust REMICs FRB Ser. 22-DNA6, Class M1A, (US 30 Day Average SOFR + 2.15%), 6.71%, 9/25/42 | 37,008 | 37,100 | |
Structured Agency Credit Risk Trust REMICs FRB Ser. 22-DNA3, Class M1A, (US 30 Day Average SOFR + 2.00%), 6.56%, 4/25/42 | 105,215 | 105,215 | |
Structured Agency Credit Risk Trust REMICs FRB Ser. 22-DNA1, Class M1B, (US 30 Day Average SOFR + 1.85%), 6.41%, 1/25/42 | 168,000 | 158,788 | |
Structured Agency Credit Risk Debt FRN Ser. 22-DNA2, Class M1A, (US 30 Day Average SOFR + 1.30%), 5.86%, 2/25/42 | 231,639 | 229,540 | |
Structured Agency Credit Risk Trust FRB Ser. 18-HRP2, Class M3AS, (ICE LIBOR USD 1 Month + 1.00%), 5.845%, 2/25/47 | 1,165,130 | 1,151,247 | |
Structured Agency Credit Risk Trust REMICs FRB Ser. 22-DNA1, Class M1A, (US 30 Day Average SOFR + 1.00%), 5.56%, 1/25/42 | 68,943 | 67,522 | |
Structured Agency Credit Risk Trust REMICs FRB Ser. 21-HQA3, Class M1, (US 30 Day Average SOFR + 0.85%), 5.41%, 9/25/41 | 97,155 | 93,734 | |
Structured Agency Credit Risk Trust REMICs FRB Ser. 21-DNA6, Class M1, (US 30 Day Average SOFR + 0.80%), 5.36%, 10/25/41 | 333,728 | 331,084 | |
Seasoned Credit Risk Transfer Trust FRB Ser. 17-2, Class 2, 4.00%, 8/25/56 W | 283,234 | 275,773 | |
Federal National Mortgage Association | |||
Connecticut Avenue Securities FRB Ser. 16-C01, Class 2M2, (ICE LIBOR USD 1 Month + 6.95%), 11.795%, 8/25/28 | 285,885 | 302,279 | |
Connecticut Avenue Securities FRB Ser. 16-C01, Class 1M2, (ICE LIBOR USD 1 Month + 6.75%), 11.595%, 8/25/28 | 384,153 | 409,991 | |
Connecticut Avenue Securities FRB Ser. 16-C02, Class 1M2, (ICE LIBOR USD 1 Month + 6.00%), 10.845%, 9/25/28 | 269,501 | 283,856 | |
Connecticut Avenue Securities FRB Ser. 16-C03, Class 2M2, (ICE LIBOR USD 1 Month + 5.90%), 10.745%, 10/25/28 | 59,393 | 62,808 | |
Connecticut Avenue Securities FRB Ser. 15-C04, Class 1M2, (ICE LIBOR USD 1 Month + 5.70%), 10.545%, 4/25/28 | 517,485 | 552,315 | |
Connecticut Avenue Securities FRB Ser. 15-C04, Class 2M2, (ICE LIBOR USD 1 Month + 5.55%), 10.395%, 4/25/28 | 582,020 | 608,575 | |
Connecticut Avenue Securities FRB Ser. 14-C04, Class 2M2, (ICE LIBOR USD 1 Month + 5.00%), 9.845%, 11/25/24 | 4,219 | 4,250 | |
Connecticut Avenue Securities FRB Ser. 14-C04, Class 1M2, (ICE LIBOR USD 1 Month + 4.90%), 9.745%, 11/25/24 | 70,418 | 73,447 | |
Connecticut Avenue Securities FRB Ser. 16-C05, Class 2M2, (ICE LIBOR USD 1 Month + 4.45%), 9.295%, 1/25/29 | 509,267 | 530,051 | |
Connecticut Avenue Securities FRB Ser. 14-C01, Class M2, (ICE LIBOR USD 1 Month + 4.40%), 9.245%, 1/25/24 | 7,527 | 7,694 | |
Connecticut Avenue Securities FRB Ser. 16-C07, Class 2M2, (ICE LIBOR USD 1 Month + 4.35%), 9.195%, 5/25/29 | 402,434 | 419,151 | |
Connecticut Avenue Securities FRB Ser. 15-C01, Class 1M2, (ICE LIBOR USD 1 Month + 4.30%), 9.145%, 2/25/25 | 26,485 | 27,342 |
Dynamic Asset Allocation Growth Fund 57 |
MORTGAGE-BACKED SECURITIES (2.4%)* cont. | Principal amount | Value | |
Residential mortgage-backed securities (non-agency) cont. | |||
Federal National Mortgage Association | |||
Connecticut Avenue Securities FRB Ser. 16-C06, Class 1M2, (ICE LIBOR USD 1 Month + 4.25%), 9.095%, 4/25/29 | $292,596 | $304,421 | |
Connecticut Avenue Securities FRB Ser. 16-C04, Class 1M2, (ICE LIBOR USD 1 Month + 4.25%), 9.095%, 1/25/29 | 610,891 | 635,479 | |
Connecticut Avenue Securities FRB Ser. 15-C02, Class 1M2, (ICE LIBOR USD 1 Month + 4.00%), 8.845%, 5/25/25 | 40,438 | 41,774 | |
Connecticut Avenue Securities FRB Ser. 17-C02, Class 2M2C, (ICE LIBOR USD 1 Month + 3.65%), 8.495%, 9/25/29 | 47,000 | 48,615 | |
Connecticut Avenue Securities FRB Ser. 17-C01, Class 1M2, (ICE LIBOR USD 1 Month + 3.55%), 8.395%, 7/25/29 | 398,454 | 408,745 | |
Connecticut Avenue Securities FRB Ser. 14-C03, Class 2M2, (ICE LIBOR USD 1 Month + 2.90%), 7.745%, 7/25/24 | 42,863 | 43,437 | |
Connecticut Avenue Securities Trust FRB Ser. 17-C06, Class 2M2C, (ICE LIBOR USD 1 Month + 2.80%), 7.645%, 2/25/30 | 83,000 | 83,830 | |
Connecticut Avenue Securities Trust FRB Ser. 18-C05, Class 1M2, (ICE LIBOR USD 1 Month + 2.35%), 7.195%, 1/25/31 | 130,287 | 131,916 | |
Connecticut Avenue Securities FRB Ser. 17-C01, Class 1EB1, (ICE LIBOR USD 1 Month + 1.25%), 6.095%, 7/25/29 | 38,191 | 38,150 | |
Federal National Mortgage Association 144A | |||
Connecticut Avenue Securities Trust FRB Ser. 22-R05, Class 2M2, (US 30 Day Average SOFR + 3.00%), 7.56%, 4/25/42 | 581,000 | 566,642 | |
Connecticut Avenue Securities Trust FRB Ser. 22-R07, Class 1M1, (US 30 Day Average SOFR + 2.95%), 7.518%, 6/25/42 | 170,318 | 173,139 | |
Connecticut Avenue Securities Trust FRB Ser. 22-R06, Class 1M1, (US 30 Day Average SOFR + 2.75%), 7.31%, 5/25/42 | 28,931 | 29,401 | |
Connecticut Avenue Securities Trust FRB Ser. 18-R07, Class 1M2, (ICE LIBOR USD 1 Month + 2.40%), 7.245%, 4/25/31 | 9,196 | 9,208 | |
Connecticut Avenue Securities Trust FRB Ser. 19-R02, Class 1M2, (ICE LIBOR USD 1 Month + 2.30%), 7.145%, 8/25/31 | 5,961 | 5,961 | |
Connecticut Avenue Securities Trust FRB Ser. 22-R08, Class 1M1, (US 30 Day Average SOFR + 2.55%), 7.11%, 7/25/42 | 59,359 | 59,735 | |
Connecticut Avenue Securities Trust FRB Ser. 22-R09, Class 2M1, (US 30 Day Average SOFR + 2.50%), 7.068%, 9/25/42 | 164,022 | 164,483 | |
Connecticut Avenue Securities Trust FRB Ser. 19-HRP1, Class M2, (ICE LIBOR USD 1 Month + 2.15%), 6.995%, 11/25/39 | 84,742 | 84,583 | |
Connecticut Avenue Securities Trust FRB Ser. 19-R03, Class 1M2, (ICE LIBOR USD 1 Month + 2.15%), 6.995%, 9/25/31 | 3,607 | 3,610 | |
Connecticut Avenue Securities Trust FRB Ser. 20-R01, Class 1M2, (ICE LIBOR USD 1 Month + 2.05%), 6.895%, 1/25/40 | 279,678 | 280,745 | |
Connecticut Avenue Securities Trust FRB Ser. 22-R04, Class 1M1, (US 30 Day Average SOFR + 2.00%), 6.56%, 3/25/42 | 31,391 | 31,444 | |
Connecticut Avenue Securities Trust FRB Ser. 22-R02, Class 2M1, (US 30 Day Average SOFR + 1.10%), 5.76%, 1/25/42 | 91,359 | 90,559 | |
Connecticut Avenue Securities Trust FRB Ser. 22-R01, Class 1M1, (US 30 Day Average SOFR + 1.00%), 5.56%, 12/25/41 | 144,693 | 142,885 | |
Connecticut Avenue Securities FRB Ser. 21-R02, Class 2M1, (US 30 Day Average SOFR + 0.90%), 5.46%, 11/25/41 | 50,029 | 49,594 | |
Connecticut Avenue Securities Trust FRB Ser. 21-R03, Class 1M1, (US 30 Day Average SOFR + 0.85%), 5.41%, 12/25/41 | 6,874 | 6,788 | |
Connecticut Avenue Securities Trust FRB Ser. 21-R01, Class 1M1, (US 30 Day Average SOFR + 0.75%), 5.31%, 10/25/41 | 21,252 | 21,163 |
58 Dynamic Asset Allocation Growth Fund |
MORTGAGE-BACKED SECURITIES (2.4%)* cont. | Principal amount | Value | |
Residential mortgage-backed securities (non-agency) cont. | |||
Finance of America HECM Buyout 144A Ser. 22-HB2, Class A1A, 4.00%, 8/1/32 W | $518,468 | $507,259 | |
Home Partners of America Trust 144A Ser. 21-2, Class C, 2.402%, 12/17/26 | 243,030 | 213,560 | |
Legacy Mortgage Asset Trust 144A | |||
FRB Ser. 19-GS7, Class A1, 6.25%, 11/25/59 | 266,372 | 269,534 | |
FRB Ser. 20-GS1, Class A1, 5.882%, 10/25/59 | 252,968 | 243,414 | |
Ser. 20-GS5, Class A1, 3.25%, 6/25/60 | 130,071 | 128,024 | |
Long Beach Mortgage Loan Trust FRB Ser. 04-1, Class A2, (ICE LIBOR USD 1 Month + 0.80%), 5.645%, 2/25/34 | 330,088 | 317,124 | |
Morgan Stanley ABS Capital I, Inc. Trust FRB Ser. 04-HE6, Class M1, (ICE LIBOR USD 1 Month + 0.83%), 5.67%, 8/25/34 | 81,559 | 72,527 | |
Morgan Stanley Resecuritization Trust 144A Ser. 15-R4, Class CB1, 4.186%, 8/26/47 W | 100,376 | 97,490 | |
New Century Home Equity Loan Trust FRB Ser. 03-4, Class M1, (ICE LIBOR USD 1 Month + 1.13%), 5.97%, 10/25/33 | 112,280 | 109,106 | |
Park Place Securities, Inc. Asset-Backed Pass-Through Certificates FRB Ser. 04-WCW2, Class M3, (ICE LIBOR USD 1 Month + 1.05%), 5.895%, 10/25/34 | 249,437 | 241,087 | |
Residential Mortgage Loan Trust 144A Ser. 20-2, Class A2, 2.508%, 5/25/60 W | 189,000 | 184,642 | |
Starwood Mortgage Residential Trust 144A | |||
Ser. 20-2, Class M1E, 3.00%, 4/25/60 | 323,000 | 296,002 | |
Ser. 20-3, Class A3, 2.591%, 4/25/65 W | 407,000 | 337,004 | |
Structured Asset Mortgage Investments II Trust FRB Ser. 07-AR7, Class 1A1, (ICE LIBOR USD 1 Month + 0.85%), 5.695%, 5/25/47 | 534,523 | 425,152 | |
Toorak Mortgage Corp., Ltd. 144A Ser. 21-1, Class A1, 2.24%, 6/25/24 | 150,000 | 143,383 | |
Towd Point Mortgage Trust 144A Ser. 16-5, Class M2, 3.375%, 10/25/56 W | 177,000 | 159,425 | |
WaMu Mortgage Pass-Through Certificates Trust | |||
FRB Ser. 05-AR9, Class A1C3, (ICE LIBOR USD 1 Month + 0.96%), 5.805%, 7/25/45 | 107,452 | 97,352 | |
FRB Ser. 05-AR11, Class A1B3, (ICE LIBOR USD 1 Month + 0.80%), 5.645%, 8/25/45 | 152,026 | 142,178 | |
FRB Ser. 05-AR12, Class 1A8, 3.806%, 10/25/35 W | 269,740 | 233,229 | |
FRB Ser. 07-HY2, Class 1A1, 3.489%, 12/25/36 W | 220,295 | 198,428 | |
20,988,448 | |||
Total mortgage-backed securities (cost $56,375,503) | $53,238,863 | ||
COLLATERALIZED LOAN OBLIGATIONS (0.8%)* | Principal amount | Value | |
522 Funding CLO, Ltd. 144A FRB Ser. 21-7A, Class A, (ICE LIBOR USD 3 Month + 1.07%), 5.885%, 4/23/34 (Cayman Islands) | $250,000 | $243,661 | |
AB BSL CLO 2, Ltd. 144A FRB Ser. 21-2A, Class A, (ICE LIBOR USD 3 Month + 1.10%), 5.892%, 4/15/34 (Cayman Islands) | 533,000 | 518,551 | |
AGL CLO 17, Ltd. 144A FRB Ser. 22-17A, Class A, (CME Term SOFR 3 Month + 1.33%), 5.983%, 1/21/35 (Cayman Islands) | 278,000 | 271,587 | |
AGL CLO 6, Ltd. 144A FRB Ser. 21-6A, Class AR, (ICE LIBOR USD 3 Month + 1.20%), 6.008%, 7/20/34 (Cayman Islands) | 758,000 | 737,843 |
Dynamic Asset Allocation Growth Fund 59 |
COLLATERALIZED LOAN OBLIGATIONS (0.8%)* cont. | Principal amount | Value | |
AIG CLO, LLC 144A FRB Ser. 21-2A, Class A, (ICE LIBOR USD 3 Month + 1.17%), 5.978%, 7/20/34 | $250,000 | $243,882 | |
AIG CLO, Ltd. 144A FRB Ser. 21-1A, Class A, (ICE LIBOR USD 3 Month + 1.10%), 5.915%, 4/22/34 | 250,000 | 243,527 | |
American Money Management Corp. CLO 21, Ltd. 144A FRB Ser. 17-21A, Class A, (ICE LIBOR USD 3 Month + 1.25%), 6.064%, 11/2/30 (Cayman Islands) | 597,222 | 588,840 | |
Apex Credit CLO, Ltd. 144A FRB Ser. 21-2A, Class A1R, (ICE LIBOR USD 3 Month + 1.15%), 5.968%, 10/25/32 (Cayman Islands) | 300,000 | 292,650 | |
Ares XLI CLO, Ltd. 144A FRB Ser. 21-41A, Class AR2, (ICE LIBOR USD 3 Month + 1.07%), 5.862%, 4/15/34 (Cayman Islands) | 500,000 | 485,537 | |
Ballyrock CLO 17, Ltd. 144A FRB Ser. 21-17A, Class A1A, (ICE LIBOR USD 3 Month + 1.15%), 5.958%, 10/20/34 (Cayman Islands) | 350,000 | 341,163 | |
Battery Park CLO II, Ltd. 144A FRB Ser. 22-1A, Class A1, (CME Term SOFR 3 Month + 2.21%), 6.39%, 10/20/35 | 475,000 | 476,583 | |
Black Diamond CLO, Ltd. 144A FRB Ser. 21-1A, Class A1A, (ICE LIBOR USD 3 Month + 1.25%), 6.065%, 11/22/34 (Cayman Islands) | 711,000 | 680,704 | |
BlueMountain CLO XXXII, Ltd. 144A FRB Ser. 21-32A, Class A, (ICE LIBOR USD 3 Month + 1.17%), 5.962%, 10/15/34 (Cayman Islands) | 250,000 | 243,124 | |
Canyon Capital CLO, Ltd. 144A FRB Ser. 18-1A, Class A, (ICE LIBOR USD 3 Month + 1.07%), 5.862%, 7/15/31 (Cayman Islands) | 550,000 | 540,796 | |
CarVal CLO II, Ltd. 144A FRB Ser. 21-1A, Class ANR, (ICE LIBOR USD 3 Month + 1.11%), 5.918%, 4/20/32 (Cayman Islands) | 490,000 | 480,547 | |
Cedar Funding II CLO, Ltd. 144A FRB Ser. 21-1A, Class ARR, (ICE LIBOR USD 3 Month + 1.08%), 5.888%, 4/20/34 | 250,000 | 241,292 | |
Crown Point CLO 10, Ltd. 144A FRB Ser. 21-10A, Class A, (ICE LIBOR USD 3 Month + 1.17%), 5.978%, 7/20/34 (Cayman Islands) | 250,000 | 244,053 | |
Diameter Capital CLO 1, Ltd. 144A FRB Ser. 21-1A, Class A1A, (ICE LIBOR USD 3 Month + 1.24%), 6.032%, 7/15/36 | 332,000 | 322,701 | |
Elmwood CLO 19, Ltd. 144A FRB Ser. 22-6A, Class A, (CME Term SOFR 3 Month + 2.20%), 5.818%, 10/17/34 (Cayman Islands) | 250,000 | 250,035 | |
Greywolf CLO III, Ltd. 144A FRB Ser. 20-3RA, Class A1R, (CME Term SOFR 3 Month + 1.55%), 6.203%, 4/15/33 (Cayman Islands) | 250,000 | 245,965 | |
Guggenheim 1828 CLO, Ltd. 144A FRB Ser. 18-1A, Class A1S1, (ICE LIBOR USD 3 Month + 1.23%), 6.022%, 10/15/31 (Cayman Islands) | 249,053 | 243,655 | |
Gulf Stream Meridian 1, Ltd. 144A FRB Ser. 20-IA, Class A1, (ICE LIBOR USD 3 Month + 1.37%), 6.162%, 4/15/33 (Cayman Islands) | 500,000 | 497,510 | |
Gulf Stream Meridian 4, Ltd. 144A FRB Ser. 21-4A, Class A1, (ICE LIBOR USD 3 Month + 1.20%), 5.992%, 7/15/34 (Cayman Islands) | 250,000 | 244,320 | |
ICG US CLO, Ltd. 144A FRB Ser. 21-1A, Class ARR, (ICE LIBOR USD 3 Month + 1.17%), 5.972%, 7/28/34 | 250,000 | 241,629 | |
Jamestown CLO IX, Ltd. 144A FRB Ser. 21-9A, Class A1RR, (ICE LIBOR USD 3 Month + 1.24%), 6.058%, 7/25/34 (Cayman Islands) | 250,000 | 244,126 | |
LCM, Ltd. 144A FRB Ser. 30A, Class AR, (ICE LIBOR USD 3 Month + 1.08%), 5.888%, 4/20/31 (Cayman Islands) | 566,000 | 553,198 | |
Madison Park Funding XIV, Ltd. 144A FRB Ser. 18-14A, Class A2RR, (ICE LIBOR USD 3 Month + 1.40%), 6.215%, 10/22/30 (Cayman Islands) | 300,000 | 292,210 | |
Marathon CLO XIII, Ltd. 144A FRB Ser. 21-1A, Class AANR, (ICE LIBOR USD 3 Month + 1.32%), 6.112%, 4/15/32 (Cayman Islands) | 323,000 | 317,137 | |
Nassau, Ltd. 144A FRB Ser. 21-1A, Class A1R, (ICE LIBOR USD 3 Month + 1.29%), 6.082%, 1/15/35 (Cayman Islands) | 250,000 | 238,941 |
60 Dynamic Asset Allocation Growth Fund |
COLLATERALIZED LOAN OBLIGATIONS (0.8%)* cont. | Principal amount | Value | |
Nassau, Ltd. 144A FRB Ser. 21-IA, Class ANAR, (ICE LIBOR USD 3 Month + 1.35%), 6.18%, 4/15/31 (Cayman Islands) | $250,000 | $245,000 | |
Neuberger Berman Loan Advisers CLO 31, Ltd. 144A FRB Ser. 21-31A, Class AR, (ICE LIBOR USD 3 Month + 1.04%), 5.848%, 4/20/31 (Cayman Islands) | 369,000 | 362,335 | |
OCP CLO, Ltd. 144A FRB Ser. 21-17A, Class A1R, (ICE LIBOR USD 3 Month + 1.04%), 5.848%, 7/20/32 (Cayman Islands) | 568,000 | 554,820 | |
OZLM XVIII, Ltd. 144A FRB Ser. 18-18A, Class A, (ICE LIBOR USD 3 Month + 1.02%), 5.85%, 4/15/31 (Cayman Islands) | 254,000 | 249,431 | |
Palmer Square CLO, Ltd. 144A FRB Ser. 22-5A, Class A, (CME Term SOFR 3 Month + 2.00%), 6.091%, 10/20/35 (Jersey) | 250,000 | 249,693 | |
Park Avenue Institutional Advisers CLO, Ltd. 144A FRB Ser. 19-1A, Class A2A, (ICE LIBOR USD 3 Month + 2.00%), 6.864%, 5/15/32 (Cayman Islands) | 378,000 | 362,543 | |
Park Avenue Institutional Advisers CLO, Ltd. 144A FRB Ser. 21-1A, Class A1A, (ICE LIBOR USD 3 Month + 1.39%), 6.198%, 1/20/34 (Cayman Islands) | 250,000 | 244,310 | |
Park Avenue Institutional Advisers CLO, Ltd. 144A FRB Ser. 21-1A, Class A1AR, (ICE LIBOR USD 3 Month + 1.00%), 5.808%, 10/20/31 (Cayman Islands) | 250,000 | 245,938 | |
Rockford Tower CLO, Ltd. 144A FRB Ser. 21-1A, Class A1, (ICE LIBOR USD 3 Month + 1.17%), 5.978%, 7/20/34 (Cayman Islands) | 599,000 | 583,820 | |
RR 14, Ltd. 144A FRB Ser. 21-14A, Class A1, (ICE LIBOR USD 3 Month + 1.12%), 5.912%, 4/15/36 (Cayman Islands) | 297,000 | 289,607 | |
Saranac CLO VI, Ltd. 144A FRB Ser. 21-6A, Class A1R, (ICE LIBOR USD 3 Month + 1.14%), 6.294%, 8/13/31 (Jersey) | 300,000 | 294,000 | |
Shackleton CLO, Ltd. 144A FRB Ser. 18-4RA, Class A1A, (ICE LIBOR USD 3 Month + 1.00%), 5.815%, 4/13/31 (Cayman Islands) | 250,000 | 245,806 | |
Sound Point CLO IX, Ltd. 144A FRB Ser. 21-2A, Class ARRR, (ICE LIBOR USD 3 Month + 1.21%), 6.018%, 7/20/32 (Cayman Islands) | 250,000 | 243,631 | |
Sound Point CLO XXIII, Ltd. 144A FRB Ser. 21-2A, Class AR, (ICE LIBOR USD 3 Month + 1.17%), 5.962%, 7/15/34 (Cayman Islands) | 500,000 | 481,696 | |
Sound Point CLO XXVI, Ltd. 144A FRB Ser. 21-1A, Class AR, (ICE LIBOR USD 3 Month + 1.17%), 5.978%, 7/20/34 (Cayman Islands) | 322,000 | 310,615 | |
Venture 33 CLO, Ltd. 144A FRB Ser. 21-33A, Class A1LR, (ICE LIBOR USD 3 Month + 1.06%), 5.852%, 7/15/31 (Cayman Islands) | 395,000 | 388,055 | |
Venture XIX CLO, Ltd. 144A FRB Ser. 18-19A, Class ARR, (ICE LIBOR USD 3 Month + 1.26%), 6.052%, 1/15/32 (Cayman Islands) | 250,000 | 245,420 | |
Venture XXVI CLO, Ltd. 144A FRB Ser. 21-26A, Class BR, (ICE LIBOR USD 3 Month + 1.70%), 6.508%, 1/20/29 (Cayman Islands) | 250,000 | 240,000 | |
Wellfleet CLO, Ltd. 144A FRB Ser. 18-1A, Class A, (ICE LIBOR USD 3 Month + 1.10%), 5.892%, 7/17/31 | 604,000 | 592,445 | |
Wind River CLO, Ltd. 144A FRB Ser. 21-4A, Class A, (ICE LIBOR USD 3 Month + 1.17%), 5.978%, 1/20/35 (Cayman Islands) | 250,000 | 240,700 | |
Zais CLO 17, Ltd. 144A FRB Ser. 21-17A, Class A1A, (ICE LIBOR USD 3 Month + 1.33%), 6.138%, 10/20/33 | 395,000 | 388,542 | |
Zais CLO, Ltd. 144A FRB Ser. 19-13A, Class A1A, (ICE LIBOR USD 3 Month + 1.49%), 6.282%, 7/15/32 | 549,000 | 540,555 | |
Total collateralized loan obligations (cost $18,326,119) | $18,164,729 | ||
Dynamic Asset Allocation Growth Fund 61 |
FOREIGN GOVERNMENT AND AGENCY BONDS AND NOTES (0.4%)* | Principal amount | Value | |
Benin (Republic of) sr. unsec. bonds Ser. REGS, 4.95%, 1/22/35 (Benin) | EUR | 300,000 | $223,558 |
Brazil (Federal Republic of) sr. unsec. unsub. bonds 5.00%, 1/27/45 (Brazil) | $400,000 | 312,500 | |
Brazil (Federal Republic of) sr. unsec. unsub. notes 3.875%, 6/12/30 (Brazil) | 427,000 | 382,446 | |
Chile (Republic of) sr. unsec. unsub. bonds 4.34%, 3/7/42 (Chile) | 760,000 | 665,000 | |
Colombia (Republic of) sr. unsec. unsub. notes 4.50%, 3/15/29 (Colombia) | 370,000 | 325,768 | |
Cote d’lvoire (Republic of) sr. unsec. unsub. bonds Ser. REGS, 6.125%, 6/15/33 (Cote d’lvoire) | 225,000 | 194,344 | |
Cote d’lvoire (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.375%, 7/23/24 (Cote d’lvoire) | 350,000 | 339,500 | |
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 6.875%, 1/29/26 (Dominican Republic) | 605,000 | 613,439 | |
Dominican (Republic of) sr. unsec. unsub. notes Ser. REGS, 5.95%, 1/25/27 (Dominican Republic) | 271,000 | 266,586 | |
Dominican (Republic of) 144A sr. unsec. bonds 6.00%, 2/22/33 (Dominican Republic) | 430,000 | 393,565 | |
Indonesia (Republic of) sr. unsec. unsub. notes 4.65%, 9/20/32 (Indonesia) | 565,000 | 563,856 | |
Indonesia (Republic of) 144A sr. unsec. unsub. notes 4.35%, 1/8/27 (Indonesia) | 690,000 | 686,923 | |
Indonesia (Republic of) 144A sr. unsec. unsub. notes 3.375%, 4/15/23 (Indonesia) | 285,000 | 284,860 | |
Kazakhstan (Republic of) sr. unsec. unsub. bonds Ser. REGS, 6.50%, 7/21/45 (Kazakhstan) | 300,000 | 312,429 | |
Kazakhstan (Republic of) sr. unsec. unsub. bonds Ser. REGS, 4.875%, 10/14/44 (Kazakhstan) | 540,000 | 481,572 | |
Panama (Republic of) sr. unsec. unsub. bonds 3.298%, 1/19/33 (Panama) | 490,000 | 409,763 | |
Paraguay (Republic of) sr. unsec. unsub. notes Ser. REGS, 4.70%, 3/27/27 (Paraguay) | 230,000 | 225,113 | |
Paraguay (Republic of) 144A sr. unsec. bonds 3.849%, 6/28/33 (Paraguay) | 200,000 | 174,500 | |
Romania (Government of) 144A unsec. notes 3.00%, 2/27/27 (Romania) | 646,000 | 587,201 | |
South Africa (Republic of) sr. unsec. unsub. notes 4.85%, 9/27/27 (South Africa) | 360,000 | 342,894 | |
United Mexican States sr. unsec. unsub. bonds 4.28%, 8/14/41 (Mexico) | 580,000 | 473,941 | |
United Mexican States sr. unsec. unsub. bonds 3.50%, 2/12/34 (Mexico) | 820,000 | 695,204 | |
Uruguay (Oriental Republic of) sr. unsec. unsub. bonds 7.625%, 3/21/36 (Uruguay) | 90,000 | 112,711 | |
Total foreign government and agency bonds and notes (cost $9,642,194) | $9,067,673 | ||
62 Dynamic Asset Allocation Growth Fund |
SENIOR LOANS (0.3%)*c | Principal amount | Value | |
Basic materials (—%) | |||
Axalta Coating Systems US Holdings, Inc. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 3.00%), 7.898%, 12/7/29 | $38,500 | $38,516 | |
BWAY Holding Co. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 4.00%), 8.777%, 8/15/26 | 30,000 | 29,711 | |
CP Atlas Buyer, Inc. bank term loan FRN Ser. B1, (ICE LIBOR USD 3 Month + 3.50%), 8.407%, 11/23/27 | 263,241 | 232,686 | |
Klockner-Pentaplast of America, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 4.75%), 10.129%, 2/4/26 | 107,304 | 98,362 | |
LSF11 A5 HoldCo, LLC bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 0.00%), 9.157%, 10/15/28 | 115,000 | 112,629 | |
Starfruit US Holdco, LLC bank term loan FRN Ser. B, (CME Term SOFR 3 Month + 3.00%), 7.526%, 10/1/25 | 201,384 | 199,513 | |
711,417 | |||
Capital goods (0.1%) | |||
Adient US, LLC bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.25%), 8.09%, 4/1/28 | 110,688 | 110,272 | |
Clarios Global LP bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.25%), 8.109%, 4/30/26 | 254,042 | 252,136 | |
MajorDrive Holdings IV, LLC bank term loan FRN (ICE LIBOR USD 3 Month + 4.00%), 9.00%, 6/1/28 | 279,717 | 264,682 | |
TK Elevator US Newco, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 3.50%), 8.602%, 7/31/27 | 118,211 | 114,997 | |
Vertiv Group Corp. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 2.75%), 7.419%, 3/2/27 | 389,866 | 381,191 | |
1,123,278 | |||
Communication services (—%) | |||
Asurion, LLC bank term loan FRN Ser. B9, (ICE LIBOR USD 1 Month + 3.25%), 8.09%, 7/31/27 | 142,704 | 130,574 | |
DIRECTV Financing, LLC bank term loan FRN (ICE LIBOR USD 3 Month + 5.00%), 9.84%, 7/22/27 | 454,743 | 436,708 | |
567,282 | |||
Consumer cyclicals (0.1%) | |||
AMC Entertainment Holdings, Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 1 Month + 3.00%), 7.684%, 4/22/26 | 220,109 | 160,129 | |
AppleCaramel Buyer, LLC bank term loan FRN (CME Term SOFR 3 Month Plus CSA + 0.00%), 8.557%, 10/19/27 | 185,749 | 183,369 | |
Clear Channel Outdoor Holdings, Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.50%), 8.325%, 8/21/26 | 292,725 | 271,991 | |
iHeartCommunications, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 3.25%), 8.09%, 5/1/26 | 147,114 | 129,966 | |
Mattress Firm, Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 4.25%), 9.39%, 9/21/28 | 219,422 | 204,392 | |
Michaels Cos., Inc. (The) bank term loan FRN (US SOFR + 4.25%), 9.08%, 4/15/28 | 94,759 | 86,758 | |
Neptune Bidco US, Inc. bank term loan FRN Class C, (CME Term SOFR 1 Month + 5.00%), 9.735%, 4/11/29 | 175,000 | 157,063 | |
PetSmart, LLC bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 3.75%), 8.657%, 1/29/28 | 465,735 | 461,855 | |
Robertshaw Holdings Corp. bank term loan FRN (ICE LIBOR USD 3 Month + 8.00%), 13.188%, 2/28/26 | 125,000 | 32,084 | |
1,687,607 |
Dynamic Asset Allocation Growth Fund 63 |
SENIOR LOANS (0.3%)*c cont. | Principal amount | Value | |
Consumer staples (—%) | |||
Ascend Learning, LLC bank term loan FRN (ICE LIBOR USD 1 Month + 5.75%), 10.556%, 11/18/29 | $160,000 | $137,333 | |
Brand Industrial Services, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 4.25%), 9.134%, 6/21/24 | 523,260 | 486,742 | |
IRB Holding Corp. bank term loan FRN (CME Term SOFR 3 Month Plus CSA + 3.00%), 7.737%, 12/15/27 | 83,302 | 81,775 | |
PECF USS Intermediate Holding III Corp. bank term loan FRN Ser. B, (ICE LIBOR USD 1 Month + 4.25%), 9.09%, 12/17/28 | 414,750 | 347,718 | |
1,053,568 | |||
Energy (—%) | |||
CQP Holdco LP bank term loan FRN (ICE LIBOR USD 3 Month + 3.50%), 8.659%, 5/27/28 | 280,013 | 277,529 | |
277,529 | |||
Financials (—%) | |||
HUB International, Ltd. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.25%), 8.058%, 4/25/25 | 39,395 | 39,262 | |
39,262 | |||
Health care (—%) | |||
Global Medical Response, Inc. bank term loan FRN (ICE LIBOR USD 1 Month + 4.25%), 9.236%, 10/2/25 | 150,741 | 105,017 | |
One Call Corp. bank term loan FRN (ICE LIBOR USD 3 Month + 5.50%), 10.375%, 4/22/27 | 131,635 | 97,081 | |
202,098 | |||
Technology (0.1%) | |||
Epicor Software Corp. bank term loan FRN (ICE LIBOR USD 1 Month + 7.75%), 12.59%, 7/31/28 | 120,000 | 118,375 | |
Greeneden US Holdings II, LLC bank term loan FRN (ICE LIBOR USD 3 Month + 4.00%), 8.84%, 12/1/27 | 181,300 | 178,325 | |
Polaris Newco, LLC bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 4.00%), 9.159%, 6/3/28 | 206,504 | 187,860 | |
Proofpoint, Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 6.25%), 11.09%, 8/31/29 | 210,000 | 197,574 | |
Rocket Software, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 4.25%), 9.09%, 11/28/25 | 117,900 | 115,616 | |
TIBCO Software, Inc. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 4.50%), 9.498%, 3/30/29 | 70,000 | 63,467 | |
UKG, Inc. bank term loan FRN (ICE LIBOR USD 1 Month + 5.25%), 10.032%, 5/3/27 | 155,000 | 148,103 | |
Vision Solutions, Inc. bank term loan FRN (US SOFR + 4.00%), 8.818%, 4/24/28 | 218,889 | 194,264 | |
1,203,584 | |||
Transportation (—%) | |||
American Airlines, Inc. bank term loan FRN (ICE LIBOR USD 3 Month + 4.75%), 9.558%, 4/20/28 | 110,000 | 111,543 | |
United Airlines, Inc. bank term loan FRN Ser. B, (ICE LIBOR USD 3 Month + 3.75%), 8.568%, 4/21/28 | 225,400 | 223,428 | |
334,971 | |||
Total senior loans (cost $7,642,817) | $7,200,596 | ||
64 Dynamic Asset Allocation Growth Fund |
CONVERTIBLE PREFERRED STOCKS (0.2%)* | Shares | Value |
Danaher Corp. 5.00% cv. pfd. | 1,109 | $1,411,076 |
T-Mobile US, Inc. 144A 5.25% cv. pfd. † | 1,770 | 2,058,068 |
Total convertible preferred stocks (cost $2,923,770) | $3,469,144 | |
ASSET-BACKED SECURITIES (0.1%)* | Principal amount | Value | |
1Sharpe Mortgage Trust 144A FRB Ser. 20-1, Class NOTE, (ICE LIBOR USD 3 Month + 2.90%), 3.025%, 7/25/24 | $114,781 | $113,346 | |
NewRez Warehouse Securitization Trust 144A FRB Ser. 21-1, Class A, (ICE LIBOR USD 1 Month + 0.75%), 5.595%, 5/7/24 | 337,133 | 333,340 | |
Station Place Securitization Trust 144A FRB Ser. 22-3, Class A1, (CME Term SOFR 1 Month + 1.25%), 6.026%, 5/29/23 | 900,000 | 900,000 | |
Towd Point Asset Trust 144A FRB Ser. 18-SL1, Class A, (ICE LIBOR USD 1 Month + 0.60%), 5.445%, 1/25/46 | 169,903 | 168,604 | |
Total asset-backed securities (cost $1,520,247) | $1,515,290 | ||
INVESTMENT COMPANIES (0.1%)* | Shares | Value |
iShares Core MSCI Emerging Markets ETF | 23,549 | $1,148,956 |
Total investment companies (cost $1,135,927) | $1,148,956 | |
CONVERTIBLE BONDS AND NOTES (—%)* | Principal amount | Value | |
DISH Network Corp. cv. sr. unsec. notes 3.375%, 8/15/26 | $125,000 | $64,375 | |
Nabors Industries, Inc. company guaranty cv. sr. unsec. notes 0.75%, 1/15/24 | 280,000 | 266,700 | |
Nabors Industries, Inc. 144A company guaranty cv. sr. unsec. unsub. notes 1.75%, 6/15/29 | 130,000 | 112,580 | |
Realogy Group, LLC/Realogy Co-Issuer Corp. company guaranty cv. sr. unsec. notes 0.25%, 6/15/26 | 133,000 | 91,438 | |
Total convertible bonds and notes (cost $595,178) | $535,093 | ||
PURCHASED OPTIONS OUTSTANDING (—%)* Counterparty | Expiration date/strike price | Notional amount | Contract amount | Value | |
Citibank, N.A. | |||||
Moderna, Inc. (Call) | Jun-23/$261.50 | $6,575,681 | $42,816 | $7,476 | |
Total purchased options outstanding (cost $770,688) | $7,476 | ||||
SHORT-TERM INVESTMENTS (5.1%)* | Principal amount/ shares | Value | |
Putnam Short Term Investment Fund Class P 4.88% L | Shares | 94,153,198 | $94,153,198 |
State Street Institutional U.S. Government Money Market Fund, Premier Class 4.70% P | Shares | 4,097,000 | 4,097,000 |
U.S. Treasury Bills 4.790%, 5/11/23 # ∆ | $500,000 | 497,546 | |
U.S. Treasury Bills 4.735%, 5/2/23 # ∆ | 6,400,000 | 6,376,342 | |
U.S. Treasury Bills 4.725%, 4/18/23 # ∆ | 800,000 | 798,481 | |
U.S. Treasury Bills 4.543%, 5/23/23 | 100,000 | 99,364 | |
U.S. Treasury Bills 4.240%, 5/18/23 # | 7,000,000 | 6,959,049 | |
Total short-term investments (cost $112,981,675) | $112,980,980 | ||
TOTAL INVESTMENTS | ||
Total investments (cost $2,196,921,120) | $2,579,145,714 | |
Dynamic Asset Allocation Growth Fund 65 |
Key to holding’s currency abbreviations | |||
EUR | Euro | ||
Key to holding’s abbreviations | |||
ADR | American Depository Receipts: Represents ownership of foreign securities on deposit with a custodian bank. | ||
BKNT | Bank Note | ||
bp | Basis Points | ||
CME | Chicago Mercantile Exchange | ||
DAC | Designated Activity Company | ||
ETF | Exchange Traded Fund | ||
FRB | Floating Rate Bonds: The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period. | ||
FRN | Floating Rate Notes: The rate shown is the current interest rate or yield at the close of the reporting period. Rates may be subject to a cap or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period. | ||
GMTN | Global Medium Term Notes | ||
ICE | Intercontinental Exchange | ||
IFB | Inverse Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor. | ||
IO | Interest Only | ||
JSC | Joint Stock Company | ||
LIBOR | London Interbank Offered Rate | ||
MTN | Medium Term Notes | ||
OTC | Over-the-counter | ||
PJSC | Public Joint Stock Company | ||
PO | Principal Only | ||
REGS | Securities sold under Regulation S may not be offered, sold or delivered within the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. | ||
REMICs | Real Estate Mortgage Investment Conduits | ||
SOFR | Secured Overnight Financing Rate | ||
TBA | To Be Announced Commitments | ||
Notes to the fund’s portfolio | |||
Unless noted otherwise, the notes to the fund’s portfolio are for the close of the fund’s reporting period, which ran from October 1, 2022 through March 31, 2023 (the reporting period). Within the following notes to the portfolio, references to “Putnam Management” represent Putnam Investment Management, LLC, the fund’s manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC and references to “ASC 820” represent Accounting Standards Codification 820 Fair Value Measurements and Disclosures. | |||
* | Percentages indicated are based on net assets of $2,232,579,884. | ||
† | This security is non-income-producing. | ||
‡‡ | Income may be received in cash or additional securities at the discretion of the issuer. The rate shown in parenthesis is the rate paid in kind, if applicable. | ||
# | This security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the close of the reporting period. Collateral at period end totaled $13,399,003 and is included in Investments in securities on the Statement of assets and liabilities (Notes 1 and 9). |
66 Dynamic Asset Allocation Growth Fund |
∆ | This security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the close of the reporting period. Collateral at period end totaled $1,139,463 and is included in Investments in securities on the Statement of assets and liabilities (Notes 1 and 9). | ||
c | Senior loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown (Notes 1 and 7). | ||
F | This security is valued by Putnam Management at fair value following procedures approved by the Trustees. Securities are classified as Level 3 for ASC 820 based on the securities’ valuation inputs. At the close of the reporting period, fair value pricing was also used for certain foreign securities in the portfolio (Note 1). | ||
i | This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts (Note 1). | ||
L | Affiliated company (Note 5). The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. | ||
P | This security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts and TBA commitments. The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period. | ||
R | Real Estate Investment Trust. | ||
W | The rate shown represents the weighted average coupon associated with the underlying mortgage pools. Rates may be subject to a cap or floor. | ||
Unless otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity. | |||
Debt obligations are considered secured unless otherwise indicated. | |||
144A after the name of an issuer represents securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. | |||
See Note 1 to the financial statements regarding TBA commitments. | |||
The dates shown on debt obligations are the original maturity dates. | |||
DIVERSIFICATION BY COUNTRY | ||||
Distribution of investments by country of risk at the close of the reporting period, excluding collateral received, if any (as a percentage of Portfolio Value): | ||||
United States | 79.0% | Ireland | 0.7% | |
United Kingdom | 3.1 | Netherlands | 0.7 | |
Japan | 3.1 | Cayman Islands | 0.6 | |
France | 2.4 | India | 0.6 | |
Germany | 1.1 | Spain | 0.5 | |
Switzerland | 1.0 | Taiwan | 0.5 | |
China | 1.0 | Indonesia | 0.5 | |
Australia | 0.9 | Italy | 0.5 | |
Canada | 0.7 | Other | 3.1 | |
Total | 100% |
Dynamic Asset Allocation Growth Fund 67 |
FORWARD CURRENCY CONTRACTS at 3/31/23 (aggregate face value $133,259,447) (Unaudited) | ||||||
Counterparty | Currency | Contract type* | Delivery date | Value | Aggregate face value | Unrealized appreciation/ (depreciation) |
Bank of America N.A. | ||||||
British Pound | Sell | 6/21/23 | $7,471,979 | $7,243,329 | $(228,650) | |
Canadian Dollar | Sell | 4/19/23 | 1,920,153 | 1,917,935 | (2,218) | |
Euro | Sell | 6/21/23 | 195,087 | 191,101 | (3,986) | |
New Taiwan Dollar | Buy | 5/17/23 | 5,258,228 | 5,394,978 | (136,750) | |
Citibank, N.A. | ||||||
British Pound | Sell | 6/21/23 | 5,947,261 | 5,764,684 | (182,577) | |
Hong Kong Dollar | Buy | 5/17/23 | 371,460 | 372,712 | (1,252) | |
Goldman Sachs International | ||||||
Chinese Yuan (Offshore) | Buy | 5/17/23 | 7,447,105 | 7,594,783 | (147,678) | |
JPMorgan Chase Bank N.A. | ||||||
Norwegian Krone | Sell | 6/21/23 | 550,659 | 551,948 | 1,289 | |
Singapore Dollar | Sell | 5/17/23 | 5,434,050 | 5,504,195 | 70,145 | |
South Korean Won | Buy | 5/17/23 | 1,834,146 | 1,944,862 | (110,716) | |
Swedish Krona | Buy | 6/21/23 | 3,005,818 | 2,969,888 | 35,930 | |
Morgan Stanley & Co. International PLC | ||||||
British Pound | Sell | 6/21/23 | 7,436,887 | 7,206,835 | (230,052) | |
Euro | Sell | 6/21/23 | 11,910,545 | 11,665,417 | (245,128) | |
Swedish Krona | Buy | 6/21/23 | 4,205,340 | 4,154,563 | 50,777 | |
Swiss Franc | Buy | 6/21/23 | 2,703,128 | 2,632,265 | 70,863 | |
NatWest Markets PLC | ||||||
Australian Dollar | Buy | 4/19/23 | 5,437,085 | 5,509,321 | (72,236) | |
Australian Dollar | Sell | 4/19/23 | 5,437,085 | 5,675,895 | 238,810 | |
Canadian Dollar | Sell | 4/19/23 | 6,798,800 | 6,789,827 | (8,973) | |
Euro | Sell | 6/21/23 | 6,724,129 | 6,586,513 | (137,616) | |
State Street Bank and Trust Co. | ||||||
Australian Dollar | Buy | 4/19/23 | 2,556,724 | 2,644,880 | (88,156) | |
Chinese Yuan (Offshore) | Buy | 5/17/23 | 2,636,378 | 2,719,261 | (82,883) | |
Danish Krone | Buy | 6/21/23 | 2,315,506 | 2,273,363 | 42,143 | |
Euro | Sell | 6/21/23 | 241,816 | 236,809 | (5,007) | |
Swiss Franc | Buy | 6/21/23 | 8,329,151 | 8,108,462 | 220,689 | |
UBS AG | ||||||
British Pound | Sell | 6/21/23 | 7,808,892 | 7,569,633 | (239,259) | |
WestPac Banking Corp. | ||||||
Euro | Sell | 6/21/23 | 8,168,273 | 8,000,861 | (167,412) | |
Japanese Yen | Sell | 5/17/23 | 11,885,456 | 12,035,127 | 149,671 | |
Unrealized appreciation | 880,317 | |||||
Unrealized (depreciation) | (2,090,549) | |||||
Total | $(1,210,232) | |||||
* The exchange currency for all contracts listed is the United States Dollar. | ||||||
68 Dynamic Asset Allocation Growth Fund |
FUTURES CONTRACTS OUTSTANDING at 3/31/23 (Unaudited) | ||||||
Number of contracts | Notional amount | Value | Expiration date | Unrealized appreciation/ (depreciation) | ||
MSCI EAFE Index (Long) | 76 | $7,951,876 | $7,966,700 | Jun-23 | $334,119 | |
Russell 2000 Index E-Mini (Long) | 8 | 707,353 | 725,400 | Jun-23 | 12,040 | |
S&P 500 Index E-Mini (Long) | 108 | 22,190,274 | 22,343,850 | Jun-23 | 1,309,281 | |
S&P 500 Index E-Mini (Short) | 1,021 | 209,780,276 | 211,232,138 | Jun-23 | (12,384,861) | |
U.S. Treasury Bond 30 yr (Long) | 111 | 14,558,344 | 14,558,344 | Jun-23 | 579,899 | |
U.S. Treasury Bond Ultra 30 yr (Long) | 148 | 20,886,500 | 20,886,500 | Jun-23 | 790,339 | |
U.S. Treasury Bond Ultra 30 yr (Short) | 6 | 846,750 | 846,750 | Jun-23 | (32,826) | |
U.S. Treasury Note 2 yr (Long) | 200 | 41,290,625 | 41,290,625 | Jun-23 | 442,550 | |
U.S. Treasury Note 5 yr (Long) | 377 | 41,284,446 | 41,284,446 | Jun-23 | 822,957 | |
U.S. Treasury Note 5 yr (Short) | 29 | 3,175,727 | 3,175,727 | Jun-23 | (65,089) | |
U.S. Treasury Note 10 yr (Long) | 232 | 26,661,875 | 26,661,875 | Jun-23 | 747,744 | |
U.S. Treasury Note Ultra 10 yr (Long) | 6 | 726,844 | 726,844 | Jun-23 | 22,002 | |
Unrealized appreciation | 5,060,931 | |||||
Unrealized (depreciation) | (12,482,776) | |||||
Total | $(7,421,845) | |||||
WRITTEN OPTIONS OUTSTANDING at 3/31/23 (premiums $554,608) (Unaudited) | |||||
Counterparty | Expiration date/strike price | Notional amount | Contract amount | Value | |
Citibank, N.A. | |||||
Moderna, Inc. (Call) | Jun-23/$281.60 | $6,575,681 | $42,816 | $3,601 | |
Total | $3,601 | ||||
TBA SALE COMMITMENTS OUTSTANDING at 3/31/23 (proceeds receivable $215,438,437) (Unaudited) | |||
Agency | Principal amount | Settlement date | Value |
Uniform Mortgage-Backed Securities, 6.00%, 4/1/53 | $12,000,000 | 4/13/23 | $12,246,097 |
Uniform Mortgage-Backed Securities, 5.50%, 4/1/53 | 20,000,000 | 4/13/23 | 20,203,120 |
Uniform Mortgage-Backed Securities, 5.00%, 5/1/53 | 19,000,000 | 5/11/23 | 18,944,328 |
Uniform Mortgage-Backed Securities, 5.00%, 4/1/53 | 71,000,000 | 4/13/23 | 70,797,508 |
Uniform Mortgage-Backed Securities, 4.50%, 4/1/53 | 14,000,000 | 4/13/23 | 13,713,431 |
Uniform Mortgage-Backed Securities, 4.00%, 5/1/53 | 2,000,000 | 5/11/23 | 1,913,438 |
Uniform Mortgage-Backed Securities, 4.00%, 4/1/53 | 2,000,000 | 4/13/23 | 1,912,656 |
Uniform Mortgage-Backed Securities, 3.50%, 4/1/53 | 14,000,000 | 4/13/23 | 13,002,494 |
Uniform Mortgage-Backed Securities, 3.00%, 5/1/53 | 11,000,000 | 5/11/23 | 9,872,075 |
Uniform Mortgage-Backed Securities, 3.00%, 4/1/53 | 11,000,000 | 4/13/23 | 9,863,911 |
Uniform Mortgage-Backed Securities, 2.50%, 5/1/53 | 5,000,000 | 5/11/23 | 4,313,671 |
Uniform Mortgage-Backed Securities, 2.50%, 4/1/53 | 20,000,000 | 4/13/23 | 17,238,277 |
Uniform Mortgage-Backed Securities, 2.50%, 4/1/38 | 14,000,000 | 4/17/23 | 12,983,362 |
Uniform Mortgage-Backed Securities, 2.00%, 5/1/53 | 6,000,000 | 5/11/23 | 4,963,310 |
Uniform Mortgage-Backed Securities, 2.00%, 4/1/53 | 6,000,000 | 4/13/23 | 4,957,685 |
Total | $216,925,363 | ||
Dynamic Asset Allocation Growth Fund 69 |
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 3/31/23 (Unaudited) | |||||||
Notional amount | Value | Upfront premium received (paid) | Termination date | Payments made by fund | Payments received by fund | Unrealized appreciation/ (depreciation) | |
$24,399,000 | $165,669 E | $(139,808) | 6/21/25 | US SOFR — Annually | 4.20% — Annually | $25,861 | |
105,473,000 | 716,162 E | 605,430 | 6/21/25 | 4.20% — Annually | US SOFR — Annually | (110,733) | |
36,007,000 | 877,851 E | 765,381 | 6/21/28 | 3.80% — Annually | US SOFR — Annually | (112,470) | |
12,862,000 | 281,292 E | (192,209) | 6/21/33 | US SOFR — Annually | 3.40% — Annually | 89,083 | |
38,648,000 | 845,232 E | 576,317 | 6/21/33 | 3.40% — Annually | US SOFR — Annually | (268,914) | |
13,098,000 | 280,166 E | 523,218 | 6/21/53 | US SOFR — Annually | 2.80% — Annually | 243,052 | |
588,000 | 7,967 | (20) | 3/30/53 | 3.008% — Annually | US SOFR — Annually | (7,929) | |
2,031,000 | 11,455 | (16) | 3/31/28 | 3.4855% — Annually | US SOFR — Annually | (11,396) | |
5,382,000 | 1,776 | (20) | 3/31/25 | US SOFR — Annually | 4.0905% — Annually | 1,644 | |
2,103,000 | 14,300 | (28) | 3/31/33 | US SOFR — Annually | 3.269% — Annually | 14,181 | |
3,303,000 | 12,849 | (44) | 4/4/33 | US SOFR — Annually | 3.2325% — Annually | 12,805 | |
5,650,000 | 5,424 | (21) | 4/4/25 | US SOFR — Annually | 4.113% — Annually | 5,403 | |
2,179,000 | 4,031 | (29) | 4/4/33 | US SOFR — Annually | 3.2085% — Annually | 4,002 | |
Total | $2,138,151 | $(115,411) | |||||
E Extended effective date. | |||||||
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/23 (Unaudited) | |||||||
Swap counterparty/ Notional amount | Value | Upfront premium received (paid) | Termination date | Payments received (paid) by fund | Total return received by or paid by fund | Unrealized appreciation/ (depreciation) | |
Barclays Bank PLC | |||||||
$65,589,342 | $68,147,058 | $— | 3/29/24 | (US SOFR plus 0.40%) — Monthly | A basket (BCPUDEAL) of common stocks — Monthly* | $2,551,872 | |
65,575,453 | 68,070,493 | — | 3/29/24 | US SOFR plus 0.25% — Monthly | A basket (BCPUDEAS) of common stocks — Monthly* | (2,485,768) | |
Goldman Sachs International | |||||||
94,763,827 | 99,298,502 | — | 12/15/25 | (US SOFR plus 0.40%) — Monthly | A basket (GSGLPWDL) of common stocks — Monthly* | 4,607,771 |
70 Dynamic Asset Allocation Growth Fund |
OTC TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 3/31/23 (Unaudited) cont. | |||||||
Swap counterparty/ Notional amount | Value | Upfront premium received (paid) | Termination date | Payments received (paid) by fund | Total return received by or paid by fund | Unrealized appreciation/ (depreciation) | |
Goldman Sachs International cont. | |||||||
$90,247,488 | $92,582,201 | $— | 12/15/25 | US SOFR minus 0.25% — Monthly | A basket (GSGLPWDS) of common stocks — Monthly* | $(2,452,260) | |
Upfront premium received | — | Unrealized appreciation | 7,159,643 | ||||
Upfront premium (paid) | — | Unrealized (depreciation) | (4,938,028) | ||||
Total | $— | Total | $2,221,615 | ||||
* The 50 largest components, and any individual component greater than 1% of basket value, are shown below. | |||||||
A BASKET (BCPUDEAL) OF COMMON STOCKS | ||||
Common stocks | Sector | Shares | Value | Percentage value |
ON Semiconductor Corp. | Technology | 10,706 | $881,288 | 1.29% |
Wix.com, Ltd. (Israel) | Technology | 8,782 | 876,402 | 1.29% |
Synopsys, Inc. | Technology | 2,216 | 855,746 | 1.26% |
Apollo Global Management, Inc. | Financials | 13,531 | 854,615 | 1.25% |
Booking Holdings, Inc. | Consumer cyclicals | 322 | 854,185 | 1.25% |
Manhattan Associates, Inc. | Technology | 5,506 | 852,606 | 1.25% |
ManpowerGroup, Inc. | Consumer staples | 10,324 | 852,036 | 1.25% |
Constellation Energy Corp. | Utilities and power | 10,850 | 851,745 | 1.25% |
Procore Technologies, Inc. | Technology | 13,567 | 849,731 | 1.25% |
Cadence Design Systems, Inc. | Technology | 4,031 | 846,817 | 1.24% |
Valero Energy Corp. | Energy | 6,023 | 840,861 | 1.23% |
Ulta Beauty, Inc. | Consumer staples | 1,541 | 840,811 | 1.23% |
Hologic, Inc. | Health care | 10,393 | 838,738 | 1.23% |
Toll Brothers, Inc. | Consumer cyclicals | 13,910 | 835,041 | 1.23% |
Textron, Inc. | Capital goods | 11,775 | 831,695 | 1.22% |
Targa Resources Corp. | Energy | 11,289 | 823,502 | 1.21% |
Autonation, Inc. | Consumer cyclicals | 6,079 | 816,811 | 1.20% |
Smartsheet, Inc. Class A | Technology | 17,000 | 812,581 | 1.19% |
Allison Transmission Holdings, Inc. | Capital goods | 17,899 | 809,768 | 1.19% |
Uber Technologies, Inc. | Consumer staples | 25,504 | 808,473 | 1.19% |
Gartner, Inc. | Consumer cyclicals | 2,479 | 807,477 | 1.18% |
Freeport-McMoRan, Inc. (Indonesia) | Basic materials | 19,645 | 803,687 | 1.18% |
MGIC Investment Corp. | Financials | 58,992 | 791,668 | 1.16% |
O’Reilly Automotive, Inc. | Consumer cyclicals | 918 | 779,082 | 1.14% |
Genuine Parts Co. | Consumer cyclicals | 4,632 | 774,909 | 1.14% |
General Motors Co. | Consumer cyclicals | 21,070 | 772,842 | 1.13% |
General Dynamics Corp. | Capital goods | 3,343 | 762,830 | 1.12% |
Johnson Controls International PLC | Capital goods | 12,462 | 750,459 | 1.10% |
Palo Alto Networks, Inc. | Technology | 3,745 | 748,070 | 1.10% |
Bio-Rad Laboratories, Inc. Class A | Health care | 1,559 | 746,681 | 1.10% |
Wyndham Hotels & Resorts, Inc. | Consumer cyclicals | 10,810 | 733,458 | 1.08% |
Unum Group | Financials | 18,418 | 728,625 | 1.07% |
Dynamic Asset Allocation Growth Fund 71 |
A BASKET (BCPUDEAL) OF COMMON STOCKS cont. | ||||
Common stocks | Sector | Shares | Value | Percentage value |
Pure Storage, Inc. Class A | Technology | 28,284 | $721,517 | 1.06% |
Penske Automotive Group, Inc. | Consumer cyclicals | 5,010 | 710,507 | 1.04% |
Tapestry, Inc. | Consumer cyclicals | 16,179 | 697,470 | 1.02% |
Pinterest, Inc. Class A | Technology | 24,421 | 665,973 | 0.98% |
Marathon Oil Corp. | Energy | 27,605 | 661,406 | 0.97% |
American International Group, Inc. | Financials | 13,109 | 660,170 | 0.97% |
Expedia Group, Inc. | Consumer cyclicals | 6,763 | 656,201 | 0.96% |
Boyd Gaming Corp. | Consumer cyclicals | 10,176 | 652,508 | 0.96% |
Novocure, Ltd. (Jersey) | Health care | 10,779 | 648,230 | 0.95% |
NRG Energy, Inc. | Utilities and power | 18,676 | 640,405 | 0.94% |
Wintrust Financial Corp. | Financials | 8,565 | 624,792 | 0.92% |
Applied Materials, Inc. | Technology | 5,012 | 615,595 | 0.90% |
Live Nation Entertainment, Inc. | Consumer cyclicals | 8,791 | 615,389 | 0.90% |
East West Bancorp, Inc. | Financials | 10,930 | 606,616 | 0.89% |
Apartment Income REIT Corp. | Financials | 16,797 | 601,495 | 0.88% |
AMETEK, Inc. | Conglomerates | 3,947 | 573,652 | 0.84% |
eBay, Inc. | Technology | 12,537 | 556,277 | 0.82% |
Roku, Inc. | Technology | 8,436 | 555,286 | 0.81% |
A BASKET (BCPUDEAS) OF COMMON STOCKS | ||||
Common stocks | Sector | Shares | Value | Percentage value |
Zoom Video Communications, Inc. Class A | Technology | 11,949 | $882,341 | 1.30% |
Ceridian HCM Holding, Inc. | Technology | 11,806 | 864,450 | 1.27% |
Cooper Cos., Inc. (The) | Health care | 2,309 | 861,950 | 1.27% |
Floor & Decor Holdings, Inc. Class A | Consumer cyclicals | 8,768 | 861,193 | 1.27% |
DoubleVerify Holdings, Inc. | Technology | 28,517 | 859,779 | 1.26% |
Wynn Resorts, Ltd. | Consumer cyclicals | 7,639 | 854,934 | 1.26% |
Paramount Global Class B | Consumer cyclicals | 37,947 | 846,607 | 1.24% |
Take-Two Interactive Software, Inc. | Technology | 7,088 | 845,591 | 1.24% |
NortonLifeLock, Inc. | Technology | 49,042 | 841,565 | 1.24% |
Ciena Corp. | Technology | 15,971 | 838,784 | 1.23% |
Texas Instruments, Inc. | Technology | 4,504 | 837,770 | 1.23% |
Berkshire Hathaway, Inc. Class B | Financials | 2,709 | 836,466 | 1.23% |
Five Below, Inc. | Consumer cyclicals | 4,053 | 834,722 | 1.23% |
DT Midstream, Inc. | Energy | 16,880 | 833,356 | 1.22% |
Amdocs, Ltd. | Technology | 8,632 | 828,942 | 1.22% |
BWX Technologies, Inc. | Capital goods | 13,148 | 828,873 | 1.22% |
IBM Corp. | Technology | 6,281 | 823,420 | 1.21% |
Exact Sciences Corp. | Health care | 12,058 | 817,677 | 1.20% |
Ball Corp. | Capital goods | 14,505 | 799,374 | 1.17% |
ICU Medical, Inc. | Health care | 4,830 | 796,786 | 1.17% |
Equifax, Inc. | Consumer cyclicals | 3,889 | 788,873 | 1.16% |
Royal Caribbean Cruises, Ltd. | Consumer cyclicals | 12,073 | 788,360 | 1.16% |
Jack Henry & Associates, Inc. | Technology | 5,207 | 784,847 | 1.15% |
72 Dynamic Asset Allocation Growth Fund |
A BASKET (BCPUDEAS) OF COMMON STOCKS cont. | ||||
Common stocks | Sector | Shares | Value | Percentage value |
Carnival Corp. | Consumer cyclicals | 75,843 | $769,809 | 1.13% |
General Electric Co. | Conglomerates | 8,020 | 766,667 | 1.13% |
TD SYNNEX Corp. | Technology | 7,814 | 756,306 | 1.11% |
Air Products & Chemicals, Inc. | Basic materials | 2,611 | 749,884 | 1.10% |
ZoomInfo Technologies, Inc. Class A | Technology | 30,270 | 747,976 | 1.10% |
T Rowe Price Group, Inc. | Financials | 6,544 | 738,861 | 1.09% |
Broadridge Financial Solutions, Inc. | Financials | 5,031 | 737,461 | 1.08% |
New York Community Bancorp, Inc. | Financials | 80,808 | 730,503 | 1.07% |
Stanley Black & Decker, Inc. | Consumer cyclicals | 9,048 | 729,069 | 1.07% |
Ross Stores, Inc. | Consumer cyclicals | 6,797 | 721,394 | 1.06% |
Tyler Technologies, Inc. | Technology | 2,019 | 716,166 | 1.05% |
RPM International, Inc. | Basic materials | 8,188 | 714,331 | 1.05% |
BioMarin Pharmaceutical, Inc. | Health care | 7,309 | 710,712 | 1.04% |
Polaris, Inc. | Consumer cyclicals | 6,304 | 697,396 | 1.02% |
Boston Beer Co., Inc. (The) Class A | Consumer staples | 2,103 | 691,250 | 1.02% |
Norwegian Cruise Line Holdings, Ltd. | Consumer cyclicals | 51,048 | 686,593 | 1.01% |
NextEra Energy, Inc. | Utilities and power | 8,534 | 657,802 | 0.97% |
Welltower, Inc. | Financials | 9,147 | 655,719 | 0.96% |
Universal Health Services, Inc. Class B | Health care | 5,138 | 653,076 | 0.96% |
Domino’s Pizza, Inc. | Consumer staples | 1,940 | 640,017 | 0.94% |
Pioneer Natural Resources Co. | Energy | 3,048 | 622,453 | 0.91% |
Cabot Oil & Gas Corp. | Energy | 24,591 | 603,451 | 0.89% |
Digital Realty Trust, Inc. | Financials | 5,949 | 584,799 | 0.86% |
Thor Industries, Inc. | Consumer cyclicals | 7,334 | 584,044 | 0.86% |
Scotts Miracle-Gro Co. (The) | Consumer cyclicals | 8,324 | 580,516 | 0.85% |
PTC, Inc. | Technology | 4,412 | 565,794 | 0.83% |
CH Robinson Worldwide, Inc. | Transportation | 5,635 | 559,910 | 0.82% |
A BASKET (GSGLPWDL) OF COMMON STOCKS | ||||
Common stocks | Sector | Shares | Value | Percentage value |
E.ON SE (Germany) | Utilities and power | 53,799 | $672,169 | 0.68% |
Iberdrola SA (Spain) | Utilities and power | 51,832 | 646,757 | 0.65% |
MSCI, Inc. | Technology | 1,147 | 642,191 | 0.65% |
Red Electrica Corporacion SA (Spain) | Utilities and power | 35,681 | 627,995 | 0.63% |
Hershey Co. (The) | Consumer staples | 2,452 | 623,887 | 0.63% |
Elisa OYJ (Finland) | Communication services | 10,318 | 622,829 | 0.63% |
Secom Co., Ltd. (Japan) | Consumer cyclicals | 10,128 | 621,244 | 0.63% |
Kirin Holdings Co., Ltd. (Japan) | Consumer staples | 39,391 | 620,362 | 0.62% |
PepsiCo, Inc. | Consumer staples | 3,387 | 617,527 | 0.62% |
Sekisui Chemical Co., Ltd. (Japan) | Financials | 43,341 | 610,925 | 0.62% |
GoDaddy, Inc. Class A | Technology | 7,815 | 607,402 | 0.61% |
Wolters Kluwer NV (Netherlands) | Consumer cyclicals | 4,803 | 607,144 | 0.61% |
Ferrari NV (Italy) | Consumer cyclicals | 2,226 | 602,829 | 0.61% |
Fortive Corp. | Capital goods | 8,774 | 598,098 | 0.60% |
Dynamic Asset Allocation Growth Fund 73 |
A BASKET (GSGLPWDL) OF COMMON STOCKS cont. | ||||
Common stocks | Sector | Shares | Value | Percentage value |
Deutsche Lufthansa AG (Germany) | Transportation | 53,628 | $597,793 | 0.60% |
Energias de Portugal (EDP) SA (Portugal) | Utilities and power | 108,408 | 590,782 | 0.59% |
Toppan, Inc. (Japan) | Consumer cyclicals | 29,463 | 589,969 | 0.59% |
AT&T, Inc. | Communication services | 30,403 | 585,253 | 0.59% |
Diageo PLC (United Kingdom) | Consumer staples | 13,061 | 583,643 | 0.59% |
Exor NV (Netherlands) | Financials | 7,034 | 579,613 | 0.58% |
Exxon Mobil Corp. | Energy | 5,270 | 577,943 | 0.58% |
Garmin, Ltd. | Technology | 5,717 | 576,954 | 0.58% |
Eiffage SA (France) | Basic materials | 5,320 | 576,513 | 0.58% |
Keysight Technologies, Inc. | Technology | 3,553 | 573,728 | 0.58% |
Chevron Corp. | Energy | 3,511 | 572,911 | 0.58% |
Weyerhaeuser Co. | Basic materials | 18,764 | 565,361 | 0.57% |
FactSet Research Systems, Inc. | Consumer cyclicals | 1,355 | 562,244 | 0.57% |
3M Co. | Conglomerates | 5,346 | 561,892 | 0.57% |
VeriSign, Inc. | Technology | 2,653 | 560,616 | 0.56% |
Textron, Inc. | Capital goods | 7,903 | 558,211 | 0.56% |
Canadian Utilities, Ltd. Class A (Canada) | Utilities and power | 19,743 | 549,404 | 0.55% |
VMware, Inc. Class A | Technology | 4,399 | 549,162 | 0.55% |
Verisk Analytics, Inc. | Consumer cyclicals | 2,849 | 546,665 | 0.55% |
Cummins, Inc. | Capital goods | 2,274 | 543,319 | 0.55% |
Philip Morris International, Inc. | Consumer staples | 5,482 | 533,098 | 0.54% |
Smiths Group PLC (United Kingdom) | Capital goods | 24,899 | 528,441 | 0.53% |
Aristocrat Leisure, Ltd. (Australia) | Consumer cyclicals | 21,074 | 525,054 | 0.53% |
Keurig Dr Pepper, Inc. | Consumer staples | 14,696 | 518,473 | 0.52% |
NetApp, Inc. | Technology | 7,950 | 507,612 | 0.51% |
Carlsberg A/S Class B (Denmark) | Consumer staples | 3,226 | 500,085 | 0.50% |
Vinci SA (France) | Capital goods | 4,351 | 499,782 | 0.50% |
Accenture PLC Class A | Technology | 1,747 | 499,370 | 0.50% |
Nitto Denko Corp. (Japan) | Basic materials | 7,727 | 496,412 | 0.50% |
Telefonica SA (Spain) | Communication services | 114,035 | 492,228 | 0.50% |
SEI Investments Co. | Financials | 8,457 | 486,680 | 0.49% |
Hartford Financial Services Group, Inc. (The) | Financials | 6,890 | 480,195 | 0.48% |
Merck & Co., Inc. | Health care | 4,462 | 474,678 | 0.48% |
Colgate-Palmolive Co. | Consumer staples | 6,173 | 463,903 | 0.47% |
Agilent Technologies, Inc. | Technology | 3,341 | 462,227 | 0.47% |
Mettler-Toledo International, Inc. | Health care | 300 | 459,134 | 0.46% |
A BASKET (GSGLPWDS) OF COMMON STOCKS | ||||
Common stocks | Sector | Shares | Value | Percentage value |
Enel SpA (Italy) | Utilities and power | 98,384 | $600,388 | 0.65% |
Wilmar International, Ltd. (Singapore) | Basic materials | 185,928 | 588,184 | 0.64% |
Pernod Ricard SA (France) | Consumer staples | 2,574 | 582,699 | 0.63% |
74 Dynamic Asset Allocation Growth Fund |
A BASKET (GSGLPWDS) OF COMMON STOCKS cont. | ||||
Common stocks | Sector | Shares | Value | Percentage value |
Air Liquide SA (France) | Basic materials | 3,463 | $579,193 | 0.63% |
Aeon Co., Ltd. (Japan) | Consumer cyclicals | 29,948 | 578,777 | 0.63% |
Orange SA (France) | Communication services | 48,185 | 572,319 | 0.62% |
Waste Connections, Inc. | Capital goods | 4,111 | 571,739 | 0.62% |
Toyota Motor Corp. (Japan) | Consumer cyclicals | 40,298 | 570,593 | 0.62% |
Duke Energy Corp. | Utilities and power | 5,907 | 569,807 | 0.62% |
Ferrovial SA (Spain) | Basic materials | 19,379 | 569,325 | 0.61% |
Visa, Inc. Class A | Financials | 2,521 | 568,481 | 0.61% |
T-Mobile US, Inc. | Communication services | 3,887 | 563,012 | 0.61% |
Reed Elsevier (United Kingdom) | Consumer cyclicals | 16,893 | 545,561 | 0.59% |
Equifax, Inc. | Consumer cyclicals | 2,688 | 545,136 | 0.59% |
Allianz SE (Germany) | Financials | 2,346 | 541,385 | 0.58% |
AXA SA (France) | Financials | 17,462 | 533,362 | 0.58% |
Heineken NV (Netherlands) | Consumer staples | 4,958 | 532,605 | 0.58% |
Bridgestone Corp. (Japan) | Consumer cyclicals | 13,100 | 529,523 | 0.57% |
Imperial Brands PLC (United Kingdom) | Consumer staples | 22,701 | 522,005 | 0.56% |
Moody’s Corp. | Consumer cyclicals | 1,591 | 486,842 | 0.53% |
ANA Holdings, Inc. (Japan) | Transportation | 22,384 | 484,858 | 0.52% |
D.R. Horton, Inc. | Consumer cyclicals | 4,867 | 475,459 | 0.51% |
Swisscom AG (Switzerland) | Communication services | 739 | 471,003 | 0.51% |
Ingersoll Rand, Inc. | Capital goods | 8,069 | 469,463 | 0.51% |
Berkshire Hathaway, Inc. Class B | Financials | 1,517 | 468,542 | 0.51% |
Berkeley Group Holdings PLC (The) (United Kingdom) | Consumer cyclicals | 9,036 | 467,808 | 0.51% |
CK Hutchison Holdings, Ltd. (Hong Kong) | Consumer staples | 74,592 | 462,760 | 0.50% |
UPM-Kymmene OYJ (Finland) | Basic materials | 13,771 | 462,215 | 0.50% |
EssilorLuxottica SA (France) | Health care | 2,562 | 461,155 | 0.50% |
S&P Global, Inc. | Consumer cyclicals | 1,334 | 459,777 | 0.50% |
Cooper Cos., Inc. (The) | Health care | 1,187 | 443,069 | 0.48% |
ORIX Corp. (Japan) | Financials | 26,854 | 440,196 | 0.48% |
Kubota Corp. (Japan) | Capital goods | 28,939 | 435,689 | 0.47% |
United Parcel Service, Inc. Class B | Transportation | 2,225 | 431,594 | 0.47% |
Takeda Pharmaceutical Co., Ltd. (Japan) | Health care | 13,159 | 431,119 | 0.47% |
Monster Beverage Corp. | Consumer staples | 7,936 | 428,626 | 0.46% |
STERIS PLC | Health care | 2,240 | 428,527 | 0.46% |
CGI Group, Inc. Class A (Canada) | Technology | 4,436 | 427,478 | 0.46% |
Coca-Cola Co. (The) | Consumer staples | 6,846 | 424,676 | 0.46% |
Masco Corp. | Consumer cyclicals | 8,538 | 424,488 | 0.46% |
Atmos Energy Corp. | Utilities and power | 3,661 | 411,328 | 0.44% |
Howmet Aerospace, Inc. | Capital goods | 9,687 | 410,438 | 0.44% |
Kyocera Corp. (Japan) | Technology | 7,875 | 408,516 | 0.44% |
CMS Energy Corp. | Utilities and power | 6,630 | 406,932 | 0.44% |
Southern Co. (The) | Utilities and power | 5,719 | 397,946 | 0.43% |
Westlake Corp. | Basic materials | 3,429 | 397,699 | 0.43% |
Dynamic Asset Allocation Growth Fund 75 |
A BASKET (GSGLPWDS) OF COMMON STOCKS cont. | ||||
Common stocks | Sector | Shares | Value | Percentage value |
Keppel Corp., Ltd. (Singapore) | Capital goods | 93,993 | $397,640 | 0.43% |
Royalty Pharma PLC Class A | Health care | 10,872 | 391,728 | 0.42% |
Toyota Industries Corp. (Japan) | Consumer cyclicals | 6,907 | 382,371 | 0.41% |
Acciona SA (Spain) | Basic materials | 1,904 | 381,352 | 0.41% |
OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 3/31/23 (Unaudited) | ||||||||
Swap counterparty/ Referenced debt* | Rating*** | Upfront premium received (paid)** | Notional amount | Value | Termi- nation date | Payments received by fund | Unrealized appreciation/ (depreciation) | |
Bank of America N.A. | ||||||||
CMBX NA BBB−.6 Index | BB/P | $62 | $573 | $122 | 5/11/63 | 300 bp — Monthly | $(60) | |
Citigroup Global Markets, Inc. | ||||||||
CMBX NA BB.11 Index | BB−/P | 33,900 | 60,000 | 24,102 | 11/18/54 | 500 bp — Monthly | 9,856 | |
CMBX NA BB.6 Index | B+/P | 39,593 | 186,357 | 78,493 | 5/11/63 | 500 bp — Monthly | (38,718) | |
CMBX NA BB.7 Index | B-/P | 22,506 | 441,000 | 180,060 | 1/17/47 | 500 bp — Monthly | (153,139) | |
CMBX NA BB.9 Index | B/P | 814 | 4,000 | 1,698 | 9/17/58 | 500 bp — Monthly | (880) | |
CMBX NA BB.9 Index | B/P | 9,598 | 47,000 | 19,956 | 9/17/58 | 500 bp — Monthly | (10,312) | |
CMBX NA BBB−.10 Index | BB+/P | 3,722 | 30,000 | 8,577 | 11/17/59 | 300 bp — Monthly | (4,837) | |
CMBX NA BBB−.10 Index | BB+/P | 4,364 | 40,000 | 11,436 | 11/17/59 | 300 bp — Monthly | (7,049) | |
Credit Suisse International | ||||||||
CMBX NA A.7 Index | BBB+/P | 3,286 | 79,000 | 6,170 | 1/17/47 | 200 bp — Monthly | (2,853) | |
CMBX NA BB.7 Index | B-/P | 10,567 | 79,000 | 32,256 | 1/17/47 | 500 bp — Monthly | (21,612) | |
CMBX NA BBB−.7 Index | BB−/P | 6,165 | 78,000 | 17,090 | 1/17/47 | 300 bp — Monthly | (10,879) | |
Goldman Sachs International | ||||||||
CMBX NA A.14 Index | A-/P | (17) | 1,000 | 133 | 12/16/72 | 200 bp — Monthly | (150) | |
CMBX NA A.6 Index | A/P | 101 | 783 | 136 | 5/11/63 | 200 bp — Monthly | (34) | |
CMBX NA A.6 Index | A/P | 15 | 783 | 136 | 5/11/63 | 200 bp — Monthly | (120) | |
CMBX NA A.6 Index | A/P | 394 | 2,350 | 407 | 5/11/63 | 200 bp — Monthly | (12) | |
CMBX NA A.6 Index | A/P | 2,494 | 8,225 | 1,424 | 5/11/63 | 200 bp — Monthly | 1,073 | |
CMBX NA A.6 Index | A/P | 711 | 9,008 | 1,559 | 5/11/63 | 200 bp — Monthly | (844) |
76 Dynamic Asset Allocation Growth Fund |
OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 3/31/23 (Unaudited) cont. | ||||||||
Swap counterparty/ Referenced debt* | Rating*** | Upfront premium received (paid)** | Notional amount | Value | Termi- nation date | Payments received by fund | Unrealized appreciation/ (depreciation) | |
Goldman Sachs International cont. | ||||||||
CMBX NA A.6 Index | A/P | $(201) | $9,791 | $1,695 | 5/11/63 | 200 bp — Monthly | $(1,892) | |
CMBX NA BBB−.14 Index | BBB−/P | 315 | 7,000 | 1,968 | 12/16/72 | 300 bp — Monthly | (1,650) | |
CMBX NA BBB−.15 Index | BBB−/P | 92 | 1,000 | 286 | 11/18/64 | 300 bp — Monthly | (193) | |
CMBX NA BBB−.15 Index | BBB−/P | 89 | 1,000 | 286 | 11/18/64 | 300 bp — Monthly | (196) | |
CMBX NA BBB−.7 Index | BB−/P | 30,086 | 382,000 | 83,696 | 1/17/47 | 300 bp — Monthly | (53,387) | |
JPMorgan Securities LLC | ||||||||
CMBX NA A.7 Index | BBB+/P | 7,192 | 164,000 | 12,808 | 1/17/47 | 200 bp — Monthly | (5,553) | |
CMBX NA BB.10 Index | B/P | 4,092 | 51,000 | 22,884 | 5/11/63 | 500 bp — Monthly | (18,742) | |
CMBX NA BB.6 Index | B+/P | 4,633 | 6,077 | 2,560 | 5/11/63 | 500 bp — Monthly | 2,080 | |
CMBX NA BBB−.8 Index | BB/P | 3,431 | 22,000 | 4,866 | 10/17/57 | 300 bp — Monthly | (1,423) | |
Morgan Stanley & Co. International PLC | ||||||||
CMBX NA A.13 Index | A-/P | (1,074) | 72,000 | 9,094 | 12/16/72 | 200 bp — Monthly | (10,139) | |
CMBX NA A.6 Index | A/P | 3,018 | 13,316 | 2,305 | 5/11/63 | 200 bp — Monthly | 718 | |
CMBX NA BB.6 Index | B+/P | 18,418 | 50,640 | 21,330 | 5/11/63 | 500 bp — Monthly | (2,862) | |
CMBX NA BB.6 Index | B+/P | 36,963 | 101,281 | 42,660 | 5/11/63 | 500 bp — Monthly | (5,598) | |
Upfront premium received | 246,621 | Unrealized appreciation | 13,727 | |||||
Upfront premium (paid) | (1,292) | Unrealized (depreciation) | (353,134) | |||||
Total | $245,329 | Total | $(339,407) | |||||
* Payments related to the referenced debt are made upon a credit default event. | ||||||||
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution. | ||||||||
*** Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody’s, Standard & Poor’s or Fitch ratings are believed to be the most recent ratings available at March 31, 2023. Securities rated by Putnam are indicated by “/P.” The Putnam rating categories are comparable to the Standard & Poor’s classifications. | ||||||||
Dynamic Asset Allocation Growth Fund 77 |
OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 3/31/23 (Unaudited) | ||||||||
Swap counterparty/ Referenced debt* | Upfront premium received (paid)** | Notional amount | Value | Termi- nation date | Payments (paid) by fund | Unrealized appreciation/ (depreciation) | ||
Citigroup Global Markets, Inc. | ||||||||
CMBX NA A.6 Index | $(4,900) | $23,107 | $4,000 | 5/11/63 | (200 bp) — Monthly | $(910) | ||
CMBX NA A.6 Index | (3,888) | 15,666 | 2,712 | 5/11/63 | (200 bp) — Monthly | (1,182) | ||
CMBX NA A.6 Index | (410) | 1,958 | 339 | 5/11/63 | (200 bp) — Monthly | (72) | ||
CMBX NA A.6 Index | (243) | 1,175 | 203 | 5/11/63 | (200 bp) — Monthly | (40) | ||
CMBX NA A.6 Index | (164) | 783 | 136 | 5/11/63 | (200 bp) — Monthly | (29) | ||
CMBX NA A.6 Index | (164) | 783 | 136 | 5/11/63 | (200 bp) — Monthly | (29) | ||
CMBX NA A.6 Index | (81) | 392 | 68 | 5/11/63 | (200 bp) ��� Monthly | (13) | ||
CMBX NA A.7 Index | (1,802) | 243,000 | 18,978 | 1/17/47 | (200 bp) — Monthly | 17,082 | ||
CMBX NA BB.10 Index | (33,272) | 138,000 | 61,921 | 11/17/59 | (500 bp) — Monthly | 28,514 | ||
CMBX NA BB.10 Index | (14,025) | 55,000 | 24,679 | 11/17/59 | (500 bp) — Monthly | 10,600 | ||
CMBX NA BB.10 Index | (5,114) | 49,000 | 21,986 | 11/17/59 | (500 bp) — Monthly | 16,825 | ||
CMBX NA BB.10 Index | (4,386) | 40,000 | 17,948 | 11/17/59 | (500 bp) — Monthly | 13,523 | ||
CMBX NA BB.11 Index | (4,405) | 34,000 | 13,658 | 11/18/54 | (500 bp) — Monthly | 9,220 | ||
CMBX NA BB.11 Index | (934) | 18,000 | 7,231 | 11/18/54 | (500 bp) — Monthly | 6,279 | ||
CMBX NA BB.11 Index | (550) | 8,000 | 3,214 | 11/18/54 | (500 bp) — Monthly | 2,656 | ||
CMBX NA BB.8 Index | (6,084) | 47,351 | 22,345 | 10/17/57 | (500 bp) — Monthly | 16,215 | ||
CMBX NA BB.8 Index | (14,471) | 40,587 | 19,153 | 10/17/57 | (500 bp) — Monthly | 4,642 | ||
CMBX NA BB.8 Index | (3,109) | 8,697 | 4,104 | 10/17/57 | (500 bp) — Monthly | 987 | ||
CMBX NA BB.9 Index | (968) | 24,000 | 10,190 | 9/17/58 | (500 bp) — Monthly | 9,200 | ||
CMBX NA BB.9 Index | (1,419) | 22,000 | 9,341 | 9/17/58 | (500 bp) — Monthly | 7,900 | ||
CMBX NA BB.9 Index | (413) | 4,000 | 1,698 | 9/17/58 | (500 bp) — Monthly | 1,282 | ||
CMBX NA BB.9 Index | (109) | 3,000 | 1,274 | 9/17/58 | (500 bp) — Monthly | 1,162 | ||
CMBX NA BBB−.10 Index | (9,831) | 33,000 | 9,435 | 11/17/59 | (300 bp) — Monthly | (416) |
78 Dynamic Asset Allocation Growth Fund |
OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 3/31/23 (Unaudited) cont. | ||||||||
Swap counterparty/ Referenced debt* | Upfront premium received (paid)** | Notional amount | Value | Termi- nation date | Payments (paid) by fund | Unrealized appreciation/ (depreciation) | ||
Citigroup Global Markets, Inc. cont. | ||||||||
CMBX NA BBB−.10 Index | $(3,691) | $15,000 | $4,289 | 11/17/59 | (300 bp) — Monthly | $589 | ||
CMBX NA BBB−.10 Index | (477) | 2,000 | 572 | 11/17/59 | (300 bp) — Monthly | 93 | ||
CMBX NA BBB−.12 Index | (53,304) | 169,000 | 48,976 | 8/17/61 | (300 bp) — Monthly | (4,426) | ||
CMBX NA BBB−.12 Index | (17,576) | 100,000 | 28,980 | 8/17/61 | (300 bp) — Monthly | 11,346 | ||
CMBX NA BBB−.12 Index | (16,701) | 50,000 | 14,490 | 8/17/61 | (300 bp) — Monthly | (2,240) | ||
CMBX NA BBB−.12 Index | (14,060) | 40,000 | 11,592 | 8/17/61 | (300 bp) — Monthly | (2,492) | ||
CMBX NA BBB−.12 Index | (5,946) | 35,000 | 10,143 | 8/17/61 | (300 bp) — Monthly | 4,177 | ||
CMBX NA BBB−.12 Index | (11,982) | 34,000 | 9,853 | 8/17/61 | (300 bp) — Monthly | (2,149) | ||
CMBX NA BBB−.12 Index | (6,318) | 28,000 | 8,114 | 8/17/61 | (300 bp) — Monthly | 1,780 | ||
CMBX NA BBB−.12 Index | (5,137) | 27,000 | 7,825 | 8/17/61 | (300 bp) — Monthly | 2,672 | ||
CMBX NA BBB−.12 Index | (2,710) | 16,000 | 4,637 | 8/17/61 | (300 bp) — Monthly | 1,918 | ||
CMBX NA BBB−.14 Index | (224) | 2,000 | 562 | 12/16/72 | (300 bp) — Monthly | 337 | ||
CMBX NA BBB−.14 Index | (112) | 1,000 | 281 | 12/16/72 | (300 bp) — Monthly | 168 | ||
CMBX NA BBB−.14 Index | (199) | 1,000 | 281 | 12/16/72 | (300 bp) — Monthly | 82 | ||
CMBX NA BBB−.6 Index | (64) | 573 | 122 | 5/11/63 | (300 bp) — Monthly | 58 | ||
CMBX NA BBB−.8 Index | (13,950) | 93,000 | 20,572 | 10/17/57 | (300 bp) — Monthly | 6,567 | ||
CMBX NA BBB−.8 Index | (8,186) | 59,000 | 13,051 | 10/17/57 | (300 bp) — Monthly | 4,830 | ||
CMBX NA BBB−.8 Index | (4,163) | 30,000 | 6,636 | 10/17/57 | (300 bp) — Monthly | 2,456 | ||
CMBX NA BBB−.8 Index | (2,845) | 18,000 | 3,982 | 10/17/57 | (300 bp) — Monthly | 1,126 | ||
CMBX NA BBB−.8 Index | (1,598) | 12,000 | 2,654 | 10/17/57 | (300 bp) — Monthly | 1,050 | ||
CMBX NA BBB−.8 Index | (1,145) | 8,000 | 1,770 | 10/17/57 | (300 bp) — Monthly | 620 | ||
CMBX NA BBB−.9 Index | (4,732) | 20,000 | 4,938 | 9/17/58 | (300 bp) — Monthly | 195 |
Dynamic Asset Allocation Growth Fund 79 |
OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 3/31/23 (Unaudited) cont. | ||||||||
Swap counterparty/ Referenced debt* | Upfront premium received (paid)** | Notional amount | Value | Termi- nation date | Payments (paid) by fund | Unrealized appreciation/ (depreciation) | ||
Credit Suisse International | ||||||||
CMBX NA BB.10 Index | $(13,476) | $101,000 | $45,319 | 11/17/59 | (500 bp) — Monthly | $31,745 | ||
CMBX NA BB.10 Index | (11,892) | 100,000 | 44,870 | 11/17/59 | (500 bp) — Monthly | 32,881 | ||
CMBX NA BB.10 Index | (6,588) | 53,000 | 23,781 | 11/17/59 | (500 bp) — Monthly | 17,142 | ||
CMBX NA BB.7 Index | (8,878) | 339,629 | 143,052 | 5/11/63 | (500 bp) — Monthly | 133,840 | ||
CMBX NA BB.7 Index | (28,223) | 153,000 | 62,470 | 1/17/47 | (500 bp) — Monthly | 34,098 | ||
CMBX NA BB.7 Index | (8,060) | 49,000 | 20,007 | 1/17/47 | (500 bp) — Monthly | 11,899 | ||
CMBX NA BB.8 Index | (1,227) | 6,764 | 3,192 | 10/17/57 | (500 bp) — Monthly | 1,959 | ||
Goldman Sachs International | ||||||||
CMBX NA BB.10 Index | (10,860) | 48,000 | 21,538 | 11/17/59 | (500 bp) — Monthly | 10,631 | ||
CMBX NA BB.6 Index | (716) | 4,726 | 1,991 | 5/11/63 | (500 bp) — Monthly | 1,270 | ||
CMBX NA BB.7 Index | (60,712) | 299,000 | 122,082 | 1/17/47 | (500 bp) — Monthly | 61,079 | ||
CMBX NA BB.7 Index | (6,881) | 42,000 | 17,149 | 1/17/47 | (500 bp) — Monthly | 10,226 | ||
CMBX NA BB.8 Index | (16,152) | 44,452 | 20,977 | 10/17/57 | (500 bp) — Monthly | 4,782 | ||
CMBX NA BB.8 Index | (9,579) | 25,125 | 11,857 | 10/17/57 | (500 bp) — Monthly | 2,254 | ||
CMBX NA BB.8 Index | (1,133) | 9,664 | 4,560 | 10/17/57 | (500 bp) — Monthly | 3,418 | ||
CMBX NA BBB−.12 Index | (49,470) | 276,000 | 79,985 | 8/17/61 | (300 bp) — Monthly | 30,354 | ||
CMBX NA BBB−.12 Index | (42,862) | 240,000 | 69,552 | 8/17/61 | (300 bp) — Monthly | 26,550 | ||
JPMorgan Securities LLC | ||||||||
CMBX NA BB.7 Index | (7,834) | 16,000 | 6,533 | 1/17/47 | (500 bp) — Monthly | (1,317) | ||
CMBX NA BBB−.10 Index | (41,611) | 330,000 | 94,347 | 11/17/59 | (300 bp) — Monthly | 52,544 | ||
CMBX NA BBB−.14 Index | (122) | 2,000 | 562 | 12/16/72 | (300 bp) — Monthly | 439 | ||
CMBX NA BBB−.7 Index | (96,249) | 410,000 | 89,831 | 1/17/47 | (300 bp) — Monthly | (6,661) | ||
Merrill Lynch International | ||||||||
CMBX NA BB.10 Index | (5,519) | 97,000 | 43,524 | 11/17/59 | (500 bp) — Monthly | 37,910 | ||
CMBX NA BBB−.10 Index | (12,134) | 56,000 | 16,010 | 11/17/59 | (300 bp) — Monthly | 3,844 |
80 Dynamic Asset Allocation Growth Fund |
OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 3/31/23 (Unaudited) cont. | ||||||||
Swap counterparty/ Referenced debt* | Upfront premium received (paid)** | Notional amount | Value | Termi- nation date | Payments (paid) by fund | Unrealized appreciation/ (depreciation) | ||
Merrill Lynch International cont. | ||||||||
CMBX NA BBB−.9 Index | $(4,816) | $26,000 | $6,419 | 9/17/58 | (300 bp) — Monthly | $1,588 | ||
CMBX NA BBB−.9 Index | (371) | 2,000 | 494 | 9/17/58 | (300 bp) — Monthly | 122 | ||
Morgan Stanley & Co. International PLC | ||||||||
CMBX NA A.6 Index | (84) | 392 | 68 | 5/11/63 | (200 bp) — Monthly | (16) | ||
CMBX NA BB.10 Index | (5,139) | 49,000 | 21,986 | 11/17/59 | (500 bp) — Monthly | 16,800 | ||
CMBX NA BB.10 Index | (14,884) | 49,000 | 21,986 | 11/17/59 | (500 bp) — Monthly | 7,055 | ||
CMBX NA BB.10 Index | (4,932) | 21,000 | 9,423 | 11/17/59 | (500 bp) — Monthly | 4,470 | ||
CMBX NA BB.7 Index | (4,628) | 24,000 | 9,799 | 1/17/47 | (500 bp) — Monthly | 5,148 | ||
CMBX NA BB.8 Index | (1,449) | 3,865 | 1,824 | 10/17/57 | (500 bp) — Monthly | 371 | ||
CMBX NA BB.9 Index | (121) | 3,000 | 1,274 | 9/17/58 | (500 bp) — Monthly | 1,150 | ||
CMBX NA BBB−.10 Index | (4,091) | 39,000 | 11,150 | 11/17/59 | (300 bp) — Monthly | 7,036 | ||
CMBX NA BBB−.10 Index | (8,045) | 33,000 | 9,435 | 11/17/59 | (300 bp) — Monthly | 1,370 | ||
CMBX NA BBB−.10 Index | (4,987) | 23,000 | 6,576 | 11/17/59 | (300 bp) — Monthly | 1,575 | ||
CMBX NA BBB−.10 Index | (4,325) | 20,000 | 5,718 | 11/17/59 | (300 bp) — Monthly | 1,381 | ||
CMBX NA BBB−.10 Index | (1,837) | 8,000 | 2,287 | 11/17/59 | (300 bp) — Monthly | 446 | ||
CMBX NA BBB−.12 Index | (18,752) | 144,000 | 41,731 | 8/17/61 | (300 bp) — Monthly | 22,896 | ||
CMBX NA BBB−.12 Index | (2,659) | 8,000 | 2,318 | 8/17/61 | (300 bp) — Monthly | (345) | ||
CMBX NA BBB−.12 Index | (1,043) | 5,000 | 1,449 | 8/17/61 | (300 bp) — Monthly | 403 | ||
CMBX NA BBB−.14 Index | (62) | 1,000 | 281 | 12/16/72 | (300 bp) — Monthly | 218 | ||
CMBX NA BBB−.7 Index | (4,177) | 41,000 | 8,983 | 1/17/47 | (300 bp) — Monthly | 4,782 | ||
CMBX NA BBB−.8 Index | (5,723) | 45,000 | 9,954 | 10/17/57 | (300 bp) — Monthly | 4,204 | ||
CMBX NA BBB−.8 Index | (6,160) | 44,000 | 9,733 | 10/17/57 | (300 bp) — Monthly | 3,547 | ||
CMBX NA BBB−.8 Index | (6,074) | 43,000 | 9,512 | 10/17/57 | (300 bp) — Monthly | 3,413 |
Dynamic Asset Allocation Growth Fund 81 |
OTC CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION PURCHASED at 3/31/23 (Unaudited) cont. | ||||||||
Swap counterparty/ Referenced debt* | Upfront premium received (paid)** | Notional amount | Value | Termi- nation date | Payments (paid) by fund | Unrealized appreciation/ (depreciation) | ||
Morgan Stanley & Co. International PLC cont. | ||||||||
CMBX NA BBB−.8 Index | $(3,011) | $22,000 | $4,866 | 10/17/57 | (300 bp) — Monthly | $1,842 | ||
CMBX NA BBB−.8 Index | (465) | 3,000 | 664 | 10/17/57 | (300 bp) — Monthly | 197 | ||
Upfront premium received | — | Unrealized appreciation | 785,030 | |||||
Upfront premium (paid) | (833,875) | Unrealized (depreciation) | (22,337) | |||||
Total | $(833,875) | Total | $762,693 | |||||
* Payments related to the referenced debt are made upon a credit default event. | ||||||||
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution. | ||||||||
CENTRALLY CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING — PROTECTION SOLD at 3/31/23 (Unaudited) | ||||||||
Referenced debt* | Rating*** | Upfront premium received (paid)** | Notional amount | Value | Termi- nation date | Payments received by fund | Unrealized appreciation | |
CDX NA HY Series 40 Index | B+/P | $5,234 | $1,317,000 | $19,439 | 6/20/28 | 500 bp — Quarterly | $25,221 | |
CDX NA IG Series 40 Index | BBB+/P | (208,034) | 24,000,000 | 275,040 | 6/20/28 | 100 bp — Quarterly | 73,007 | |
Total | $(202,800) | $98,228 | ||||||
* Payments related to the referenced debt are made upon a credit default event. | ||||||||
** Upfront premium is based on the difference between the original spread on issue and the market spread on day of execution. | ||||||||
*** Ratings for an underlying index represent the average of the ratings of all the securities included in that index. The Moody’s, Standard & Poor’s or Fitch ratings are believed to be the most recent ratings available at March 31, 2023. Securities rated by Putnam are indicated by “/P.” The Putnam rating categories are comparable to the Standard & Poor’s classifications. | ||||||||
82 Dynamic Asset Allocation Growth Fund |
Level 1: Valuations based on quoted prices for identical securities in active markets.
Level 2: Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly or indirectly.
Level 3: Valuations based on inputs that are unobservable and significant to the fair value measurement.
Valuation inputs | |||
Investments in securities: | Level 1 | Level 2 | Level 3 |
Common stocks*: | |||
Basic materials | $49,396,935 | $34,913,433 | $— |
Capital goods | 67,109,319 | 15,993,214 | — |
Communication services | 34,256,319 | 6,254,533 | — |
Conglomerates | 6,364,750 | 8,804,098 | — |
Consumer cyclicals | 186,731,343 | 74,076,854 | — |
Consumer staples | 100,778,714 | 50,005,484 | — |
Energy | 60,464,256 | 24,562,695 | — |
Financials | 162,967,356 | 88,306,672 | — |
Health care | 183,361,585 | 56,621,346 | 11,068 |
Miscellaneous | — | 859,193 | — |
Technology | 417,654,905 | 62,119,686 | — |
Transportation | 23,282,689 | 7,659,543 | — |
Utilities and power | 33,374,079 | 9,060,602 | — |
Total common stocks | 1,325,742,250 | 439,237,353 | 11,068 |
Asset-backed securities | — | 1,515,290 | — |
Collateralized loan obligations | — | 18,164,729 | — |
Convertible bonds and notes | — | 535,093 | — |
Convertible preferred stocks | — | 3,469,144 | — |
Corporate bonds and notes | — | 208,482,915 | — |
Foreign government and agency bonds and notes | — | 9,067,673 | — |
Investment companies | 1,148,956 | — | — |
Mortgage-backed securities | — | 53,238,863 | — |
Purchased options outstanding | — | 7,476 | — |
Senior loans | — | 7,200,596 | — |
U.S. government and agency mortgage obligations | — | 398,125,612 | — |
U.S. treasury obligations | — | 217,716 | — |
Short-term investments | 4,097,000 | 108,883,980 | — |
Totals by level | $1,330,988,206 | $1,248,146,440 | $11,068 |
Dynamic Asset Allocation Growth Fund 83 |
Valuation inputs | |||
Other financial instruments: | Level 1 | Level 2 | Level 3 |
Forward currency contracts | $— | $(1,210,232) | $— |
Futures contracts | (7,421,845) | — | — |
Written options outstanding | — | (3,601) | — |
TBA sale commitments | — | (216,925,363) | — |
Interest rate swap contracts | — | (2,253,562) | — |
Total return swap contracts | — | 2,221,615 | — |
Credit default contracts | — | 1,312,860 | — |
Totals by level | $(7,421,845) | $(216,858,283) | $— |
* Common stock classifications are presented at the sector level, which may differ from the fund’s portfolio presentation. | |||
At the start and close of the reporting period, Level 3 investments in securities represented less than 1% of the fund’s net assets and were not considered a significant portion of the fund’s portfolio. |
The accompanying notes are an integral part of these financial statements.
84 Dynamic Asset Allocation Growth Fund |
Statement of assets and liabilities 3/31/23 (Unaudited)
ASSETS | |
Investment in securities, at value (Note 1): | |
Unaffiliated issuers (identified cost $2,102,767,922) | $2,484,992,516 |
Affiliated issuers (identified cost $94,153,198) (Note 5) | 94,153,198 |
Foreign currency (cost $441,464) (Note 1) | 431,550 |
Dividends, interest and other receivables | 7,355,194 |
Foreign tax reclaim | 1,290,939 |
Receivable for shares of the fund sold | 1,310,270 |
Receivable for investments sold | 4,159,896 |
Receivable for sales of TBA securities (Note 1) | 176,884,249 |
Receivable for variation margin on futures contracts (Note 1) | 865,080 |
Receivable for variation margin on centrally cleared swap contracts (Note 1) | 148,165 |
Unrealized appreciation on forward currency contracts (Note 1) | 880,317 |
Unrealized appreciation on OTC swap contracts (Note 1) | 7,958,400 |
Premium paid on OTC swap contracts (Note 1) | 835,167 |
Deposits with Broker (Note 1) | 4,468,294 |
Prepaid assets | 65,800 |
Total assets | 2,785,799,035 |
LIABILITIES | |
Payable to custodian | 828,857 |
Payable for investments purchased | 5,826,163 |
Payable for purchases of TBA securities (Note 1) | 306,862,936 |
Payable for shares of the fund repurchased | 3,843,153 |
Payable for compensation of Manager (Note 2) | 1,102,335 |
Payable for custodian fees (Note 2) | 123,659 |
Payable for investor servicing fees (Note 2) | 489,540 |
Payable for Trustee compensation and expenses (Note 2) | 348,132 |
Payable for administrative services (Note 2) | 14,431 |
Payable for distribution fees (Note 2) | 1,066,312 |
Payable for variation margin on futures contracts (Note 1) | 2,932,216 |
Payable for variation margin on centrally cleared swap contracts (Note 1) | 258,425 |
Unrealized depreciation on OTC swap contracts (Note 1) | 5,313,499 |
Premium received on OTC swap contracts (Note 1) | 246,621 |
Unrealized depreciation on forward currency contracts (Note 1) | 2,090,549 |
Written options outstanding, at value (premiums $554,608) (Note 1) | 3,601 |
TBA sale commitments, at value (proceeds receivable $215,438,437) (Note 1) | 216,925,363 |
Collateral on certain derivative contracts and TBA commitments, at value (Notes 1 and 9) | 4,314,716 |
Other accrued expenses | 628,643 |
Total liabilities | 553,219,151 |
Net assets | $2,232,579,884 |
(Continued on next page)
Dynamic Asset Allocation Growth Fund 85 |
Statement of assets and liabilities cont.
REPRESENTED BY | |
Paid-in capital (Unlimited shares authorized) (Notes 1 and 4) | $1,879,139,003 |
Total distributable earnings (Note 1) | 353,440,881 |
Total — Representing net assets applicable to capital shares outstanding | $2,232,579,884 |
COMPUTATION OF NET ASSET VALUE AND OFFERING PRICE | |
Net asset value and redemption price per class A share | |
($1,492,746,424 divided by 90,164,640 shares) | $16.56 |
Offering price per class A share (100/94.25 of $16.56)* | $17.57 |
Net asset value and offering price per class B share ($14,990,383 divided by 931,442 shares)** | $16.09 |
Net asset value and offering price per class C share ($145,958,647 divided by 9,604,917 shares)** | $15.20 |
Net asset value, offering price and redemption price per class P share | |
($24,621,527 divided by 1,464,364 shares) | $16.81 |
Net asset value, offering price and redemption price per class R share | |
($14,560,481 divided by 904,741 shares) | $16.09 |
Net asset value, offering price and redemption price per class R5 share | |
($4,213 divided by 249 shares)† | $16.94 |
Net asset value, offering price and redemption price per class R6 share | |
($305,353,568 divided by 18,141,612 shares) | $16.83 |
Net asset value, offering price and redemption price per class Y share | |
($234,344,641 divided by 13,949,708 shares) | $16.80 |
*On single retail sales of less than $50,000. On sales of $50,000 or more the offering price is reduced.
**Redemption price per share is equal to net asset value less any applicable contingent deferred sales charge.
†Net asset value may not recalculate due to rounding of fractional shares.
The accompanying notes are an integral part of these financial statements.
86 Dynamic Asset Allocation Growth Fund |
Statement of operations Six months ended 3/31/23 (Unaudited)
INVESTMENT INCOME | |
Dividends (net of foreign tax of $623,311) | $16,970,211 |
Interest (including interest income of $2,894,480 from investments in affiliated issuers) (Note 5) | 13,192,500 |
Total investment income | 30,162,711 |
EXPENSES | |
Compensation of Manager (Note 2) | 7,117,855 |
Investor servicing fees (Note 2) | 1,490,643 |
Custodian fees (Note 2) | 164,072 |
Trustee compensation and expenses (Note 2) | 67,185 |
Distribution fees (Note 2) | 2,682,990 |
Administrative services (Note 2) | 54,697 |
Other | 450,211 |
Total expenses | 12,027,653 |
Expense reduction (Note 2) | (12,427) |
Net expenses | 12,015,226 |
Net investment income | 18,147,485 |
REALIZED AND UNREALIZED GAIN (LOSS) | |
Net realized gain (loss) on: | |
Securities from unaffiliated issuers (net of foreign tax of $40,616) (Notes 1 and 3) | (3,198,710) |
Foreign currency transactions (Note 1) | 62,309 |
Forward currency contracts (Note 1) | (158,070) |
Futures contracts (Note 1) | 7,229,268 |
Swap contracts (Note 1) | (1,739,459) |
Net increase from payments by affiliates (Note 2) | 616,170 |
Total net realized gain | 2,811,508 |
Change in net unrealized appreciation (depreciation) on: | |
Securities from unaffiliated issuers and TBA sale commitments | |
(net of decrease in deferred foreign taxes of $342,311) | 304,430,749 |
Assets and liabilities in foreign currencies | (213,726) |
Forward currency contracts | (1,313,918) |
Futures contracts | (11,444,662) |
Swap contracts | 400,550 |
Written options | 551,007 |
Total change in net unrealized appreciation | 292,410,000 |
Net gain on investments | 295,221,508 |
Net increase in net assets resulting from operations | $313,368,993 |
The accompanying notes are an integral part of these financial statements.
Dynamic Asset Allocation Growth Fund 87 |
Statement of changes in net assets
DECREASE IN NET ASSETS | Six months ended 3/31/23* | Year ended 9/30/22 |
Operations | ||
Net investment income | $18,147,485 | $32,002,134 |
Net realized gain on investments | ||
and foreign currency transactions | 2,811,508 | 31,685,770 |
Change in net unrealized appreciation (depreciation) | ||
of investments and assets and liabilities | ||
in foreign currencies | 292,410,000 | (597,861,490) |
Net increase (decrease) in net assets resulting | ||
from operations | 313,368,993 | (534,173,586) |
Distributions to shareholders (Note 1): | ||
From ordinary income | ||
Net investment income | ||
Class A | (9,764,179) | (27,310,209) |
Class B | — | (196,807) |
Class C | — | (1,848,604) |
Class P | (3,376,282) | (6,434,521) |
Class R | (60,270) | (271,796) |
Class R5 | — | (274,097) |
Class R6 | (3,084,759) | (7,275,396) |
Class Y | (2,151,365) | (5,295,251) |
Net realized short-term gain on investments | ||
Class A | — | (68,166,539) |
Class B | — | (1,151,654) |
Class C | — | (8,701,657) |
Class P | — | (12,722,794) |
Class R | — | (842,933) |
Class R5 | — | (593,576) |
Class R6 | — | (14,888,492) |
Class Y | — | (11,406,907) |
From net realized long-term gain on investments | ||
Class A | (14,646,130) | (142,212,700) |
Class B | (177,057) | (2,402,642) |
Class C | (1,661,578) | (18,153,866) |
Class P | (3,118,010) | (26,542,976) |
Class R | (160,060) | (1,758,571) |
Class R5 | (8,887) | (1,238,351) |
Class R6 | (2,992,401) | (31,061,174) |
Class Y | (2,323,474) | (23,797,701) |
Increase (decrease) from capital share transactions (Note 4) | (365,572,567) | 214,630,867 |
Total decrease in net assets | (95,728,026) | (734,091,933) |
NET ASSETS | ||
Beginning of period | 2,328,307,910 | 3,062,399,843 |
End of period | $2,232,579,884 | $2,328,307,910 |
*Unaudited.
The accompanying notes are an integral part of these financial statements.
88 Dynamic Asset Allocation Growth Fund |
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Dynamic Asset Allocation Growth Fund 89 |
Financial highlights
(For a common share outstanding throughout the period)
INVESTMENT OPERATIONS | LESS DISTRIBUTIONS | RATIOS AND SUPPLEMENTAL DATA | |||||||||||
Ratio of net | |||||||||||||
Net asset | Net realized | Ratio | investment | ||||||||||
value, | and unrealized | Total from | From net | From net | Net asset | Total return | Net assets, | of expenses | income (loss) | Portfolio | |||
beginning | Net investment | gain (loss) | investment | investment | realized gain | Total | value, end | at net asset | end of period | to average | to average | turnover | |
Period ended | of period | income (loss)a | on investments | operations | income | on investments | distributions | of period | value (%)b | (in thousands) | net assets (%)c | net assets (%) | (%)d |
Class A | |||||||||||||
March 31, 2023** | $14.82 | .12 | 1.89 | 2.01 | (.11) | (.16) | (.27) | $16.56 | 13.66* | $1,492,746 | .53* | .74* | 111* |
September 30, 2022 | 20.95 | .19 | (3.46) | (3.27) | (.33) | (2.53) | (2.86) | 14.82 | (18.53) | 1,352,591 | 1.03 | 1.08 | 171 |
September 30, 2021 | 16.98 | .15 | 3.91 | 4.06 | (.09) | — | (.09) | 20.95 | 23.97 | 1,762,933 | 1.02 | .77 | 168 |
September 30, 2020 | 15.91 | .18 | 1.15 | 1.33 | (.26) | — | (.26) | 16.98 | 8.40 | 1,548,612 | 1.05 | 1.16 | 194 |
September 30, 2019 | 17.77 | .27 | (.68) | (.41) | (.18) | (1.27) | (1.45) | 15.91 | (1.25) | 1,546,131 | 1.06 | 1.73 | 117 |
September 30, 2018 | 17.83 | .26 | 1.43 | 1.69 | (.33) | (1.42) | (1.75) | 17.77 | 9.85 | 1,689,770 | 1.07 | 1.51 | 109 |
Class B | |||||||||||||
March 31, 2023** | $14.37 | .05 | 1.83 | 1.88 | — | (.16) | (.16) | $16.09 | 13.16* | $14,990 | .90 * | .33* | 111* |
September 30, 2022 | 20.35 | .05 | (3.36) | (3.31) | (.14) | (2.53) | (2.67) | 14.37 | (19.12) | 17,493 | 1.78 | .27 | 171 |
September 30, 2021 | 16.54 | —e | 3.81 | 3.81 | — | — | — | 20.35 | 23.04 | 31,070 | 1.77 | .01 | 168 |
September 30, 2020 | 15.49 | .06 | 1.11 | 1.17 | (.12) | — | (.12) | 16.54 | 7.58 | 35,437 | 1.80 | .40 | 194 |
September 30, 2019 | 17.29 | .15 | (.65) | (.50) | (.03) | (1.27) | (1.30) | 15.49 | (1.98) | 45,144 | 1.81 | .96 | 117 |
September 30, 2018 | 17.37 | .12 | 1.40 | 1.52 | (.18) | (1.42) | (1.60) | 17.29 | 9.06 | 60,391 | 1.82 | .73 | 109 |
Class C | |||||||||||||
March 31, 2023** | $13.57 | .05 | 1.74 | 1.79 | — | (.16) | (.16) | $15.20 | 13.27* | $145,959 | .90 * | .36* | 111* |
September 30, 2022 | 19.40 | .05 | (3.18) | (3.13) | (.17) | (2.53) | (2.70) | 13.57 | (19.16) | 144,712 | 1.78 | .32 | 171 |
September 30, 2021 | 15.77 | —e | 3.63 | 3.63 | — | — | — | 19.40 | 23.02 | 213,419 | 1.77 | .03 | 168 |
September 30, 2020 | 14.79 | .06 | 1.07 | 1.13 | (.15) | — | (.15) | 15.77 | 7.63 | 208,217 | 1.80 | .41 | 194 |
September 30, 2019 | 16.61 | .14 | (.64) | (.50) | (.05) | (1.27) | (1.32) | 14.79 | (2.05) | 227,681 | 1.81 | .97 | 117 |
September 30, 2018 | 16.78 | .12 | 1.34 | 1.46 | (.21) | (1.42) | (1.63) | 16.61 | 9.06 | 267,363 | 1.82 | .74 | 109 |
Class P | |||||||||||||
March 31, 2023** | $15.08 | .13 | 1.94 | 2.07 | (.18) | (.16) | (.34) | $16.81 | 13.83* | $24,622 | .33* | .83* | 111* |
September 30, 2022 | 21.29 | .27 | (3.54) | (3.27) | (.41) | (2.53) | (2.94) | 15.08 | (18.29) | 285,584 | .65 | 1.47 | 171 |
September 30, 2021 | 17.25 | .23 | 3.97 | 4.20 | (.16) | — | (.16) | 21.29 | 24.45 | 323,609 | .64 | 1.16 | 168 |
September 30, 2020 | 16.16 | .25 | 1.17 | 1.42 | (.33) | — | (.33) | 17.25 | 8.82 | 274,824 | .65 | 1.56 | 194 |
September 30, 2019 | 18.04 | .34 | (.70) | (.36) | (.25) | (1.27) | (1.52) | 16.16 | (.87) | 258,038 | .65 | 2.15 | 117 |
September 30, 2018 | 18.07 | .34 | 1.45 | 1.79 | (.40) | (1.42) | (1.82) | 18.04 | 10.34 | 261,163 | .66 | 1.92 | 109 |
Class R | |||||||||||||
March 31, 2023** | $14.39 | .09 | 1.83 | 1.92 | (.06) | (.16) | (.22) | $16.09 | 13.45* | $14,560 | .65* | .61* | 111* |
September 30, 2022 | 20.40 | .14 | (3.36) | (3.22) | (.26) | (2.53) | (2.79) | 14.39 | (18.71) | 14,349 | 1.28 | .80 | 171 |
September 30, 2021 | 16.52 | .10 | 3.81 | 3.91 | (.03) | — | (.03) | 20.40 | 23.68 | 23,901 | 1.27 | .52 | 168 |
September 30, 2020 | 15.49 | .14 | 1.11 | 1.25 | (.22) | — | (.22) | 16.52 | 8.10 | 22,172 | 1.30 | .92 | 194 |
September 30, 2019 | 17.34 | .22 | (.66) | (.44) | (.14) | (1.27) | (1.41) | 15.49 | (1.52) | 28,351 | 1.31 | 1.47 | 117 |
September 30, 2018 | 17.45 | .22 | 1.39 | 1.61 | (.30) | (1.42) | (1.72) | 17.34 | 9.59 | 33,615 | 1.32 | 1.26 | 109 |
See notes to financial highlights at the end of this section.
The accompanying notes are an integral part of these financial statements.
90 Dynamic Asset Allocation Growth Fund | Dynamic Asset Allocation Growth Fund 91 |
Financial highlights cont.
INVESTMENT OPERATIONS | LESS DISTRIBUTIONS | RATIOS AND SUPPLEMENTAL DATA | |||||||||||
Ratio of net | |||||||||||||
Net asset | Net realized | Ratio | investment | ||||||||||
value, | and unrealized | Total from | From net | From net | Net asset | Total return | Net assets, | of expenses | income (loss) | Portfolio | |||
beginning | Net investment | gain (loss) | investment | investment | realized gain | Total | value, end | at net asset | end of period | to average | to average | turnover | |
Period ended | of period | income (loss)a | on investments | operations | income | on investments | distributions | of period | value (%)b | (in thousands) | net assets (%)c | net assets (%) | (%)d |
Class R5 | |||||||||||||
March 31, 2023** | $15.04 | .13 | 1.93 | 2.06 | — | (.16) | (.16) | $16.94 | 13.77* | $4 | .40* | .79* | 111* |
September 30, 2022 | 21.22 | .24 | (3.51) | (3.27) | (.38) | (2.53) | (2.91) | 15.04 | (18.32) | 11,893 | .79 | 1.32 | 171 |
September 30, 2021 | 17.20 | .21 | 3.94 | 4.15 | (.13) | — | (.13) | 21.22 | 24.24 | 15,534 | .78 | 1.02 | 168 |
September 30, 2020 | 16.11 | .23 | 1.16 | 1.39 | (.30) | — | (.30) | 17.20 | 8.70 | 13,979 | .79 | 1.43 | 194 |
September 30, 2019 | 17.98 | .32 | (.69) | (.37) | (.23) | (1.27) | (1.50) | 16.11 | (.98) | 15,464 | .79 | 1.99 | 117 |
September 30, 2018 | 18.04 | .32 | 1.43 | 1.75 | (.39) | (1.42) | (1.81) | 17.98 | 10.13 | 17,967 | .80 | 1.79 | 109 |
Class R6 | |||||||||||||
March 31, 2023** | $15.09 | .15 | 1.92 | 2.07 | (.17) | (.16) | (.33) | $16.83 | 13.83* | $305,354 | .35* | .91* | 111* |
September 30, 2022 | 21.29 | .26 | (3.53) | (3.27) | (.40) | (2.53) | (2.93) | 15.09 | (18.27) | 280,296 | .69 | 1.42 | 171 |
September 30, 2021 | 17.25 | .23 | 3.96 | 4.19 | (.15) | — | (.15) | 21.29 | 24.41 | 390,780 | .68 | 1.12 | 168 |
September 30, 2020 | 16.16 | .25 | 1.16 | 1.41 | (.32) | — | (.32) | 17.25 | 8.79 | 353,696 | .69 | 1.52 | 194 |
September 30, 2019 | 18.04 | .34 | (.70) | (.36) | (.25) | (1.27) | (1.52) | 16.16 | (.91) | 307,909 | .69 | 2.11 | 117 |
September 30, 2018 | 18.07 | .33 | 1.45 | 1.78 | (.39) | (1.42) | (1.81) | 18.04 | 10.30 | 301,016 | .70 | 1.89 | 109 |
Class Y | |||||||||||||
March 31, 2023** | $15.06 | .14 | 1.91 | 2.05 | (.15) | (.16) | (.31) | $16.80 | 13.74* | $234,345 | .40* | .86* | 111* |
September 30, 2022 | 21.24 | .24 | (3.51) | (3.27) | (.38) | (2.53) | (2.91) | 15.06 | (18.29) | 221,391 | .78 | 1.32 | 171 |
September 30, 2021 | 17.21 | .21 | 3.95 | 4.16 | (.13) | — | (.13) | 21.24 | 24.27 | 301,154 | .77 | 1.03 | 168 |
September 30, 2020 | 16.12 | .23 | 1.16 | 1.39 | (.30) | — | (.30) | 17.21 | 8.67 | 271,142 | .80 | 1.41 | 194 |
September 30, 2019 | 17.99 | .31 | (.68) | (.37) | (.23) | (1.27) | (1.50) | 16.12 | (.99) | 328,736 | .81 | 1.98 | 117 |
September 30, 2018 | 18.03 | .31 | 1.44 | 1.75 | (.37) | (1.42) | (1.79) | 17.99 | 10.14 | 347,654 | .82 | 1.77 | 109 |
*Not annualized.
** Unaudited.
a Per share net investment income (loss) has been determined on the basis of the weighted average number of shares outstanding during the period.
b Total return assumes dividend reinvestment and does not reflect the effect of sales charges.
c Includes amounts paid through expense offset and brokerage/service arrangements, if any (Note 2). Also excludes acquired fund fees, if any.
d Portfolio turnover includes TBA purchase and sale commitments.
e Amount represents less than $0.01 per share.
The accompanying notes are an integral part of these financial statements.
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Notes to financial statements 3/31/23 (Unaudited)
Within the following Notes to financial statements, references to “State Street” represent State Street Bank and Trust Company, references to “the SEC” represent the Securities and Exchange Commission, references to “Putnam Management” represent Putnam Investment Management, LLC, the fund’s manager, an indirect wholly-owned subsidiary of Putnam Investments, LLC. Additionally, references to “OTC”, if any, represent over-the-counter and references to “ESG”, if any, represent environmental, social and governance. Unless otherwise noted, the “reporting period” represents the period from October 1, 2022 through March 31, 2023.
Putnam Dynamic Asset Allocation Growth Fund (the fund) is a diversified series of Putnam Asset Allocation Funds (the Trust), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended, as an open-end management investment company. The goal of the fund is to seek capital appreciation. The fund is one of three Putnam Dynamic Asset Allocation Funds, each of which has a unique strategic, or typical, allocation between equity and fixed-income investments. Using qualitative analysis and quantitative techniques, Putnam Management adjusts portfolio allocations from time to time within a certain range to try to optimize the fund’s performance consistent with its goal. The fund invests mainly in equity securities (growth or value stocks or both) of both U.S. and foreign companies of any size. Putnam Management may consider, among other factors, a company’s valuation, financial strength, growth potential, competitive position in its industry, projected future earnings, cash flows and dividends when deciding whether to buy or sell equity investments. The fund also invests, to a lesser extent, in fixed-income investments, including U.S. and foreign government obligations, corporate obligations and securitized debt instruments (such as mortgage-backed investments). Putnam Management may consider, among other factors, credit, interest rate and prepayment risks, as well as general market conditions, when deciding whether to buy or sell fixed-income investments. Putnam Management may also select other investments that do not fall within these asset classes. The fund typically uses to a significant extent derivatives, such as futures, options, certain foreign currency transactions, warrants and swap contracts, for both hedging and non-hedging purposes.
The fund offers the following share classes. The expenses for each class of shares may differ based on the distribution and investor servicing fees of each class, which are identified in Note 2.
Share class | Sales charge | Contingent deferred sales charge | Conversion feature |
1.00% on certain redemptions of shares | |||
Class A | Up to 5.75% | bought with no initial sales charge | None |
Converts to class A shares | |||
Class B* | None | 5.00% phased out over six years | after 8 years |
Converts to class A shares | |||
Class C | None | 1.00% eliminated after one year | after 8 years |
Class P∆ | None | None | None |
Class R† | None | None | None |
Class R5† | None | None | None |
Class R6† | None | None | None |
Class Y† | None | None | None |
* Purchases of class B shares are closed to new and existing investors except by exchange from class B shares of another Putnam fund or through dividend and/or capital gains reinvestment.
† Not available to all investors.
∆ Only available to other Putnam funds and other accounts managed by Putnam Management or its affiliates.
In the normal course of business, the fund enters into contracts that may include agreements to indemnify another party under given circumstances. The fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be, but have not yet been, made against the fund. However, the fund’s management team expects the risk of material loss to be remote.
The fund has entered into contractual arrangements with an investment adviser, administrator, distributor, shareholder servicing agent and custodian, who each provide services to the fund. Unless expressly stated otherwise, shareholders are not parties to, or intended beneficiaries of these contractual arrangements, and these contractual arrangements are not intended to create any shareholder right to enforce them against the service providers or to seek any remedy under them against the service providers, either directly or on behalf of the fund.
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Under the fund’s Amended and Restated Agreement and Declaration of Trust, any claims asserted against or on behalf of the Putnam Funds, including claims against Trustees and Officers, must be brought in state and federal courts located within the Commonwealth of Massachusetts.
Note 1: Significant accounting policies
The following is a summary of significant accounting policies consistently followed by the fund in the preparation of its financial statements. The preparation of financial statements is in conformity with accounting principles generally accepted in the United States of America and requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements and the reported amounts of increases and decreases in net assets from operations. Actual results could differ from those estimates. Subsequent events after the Statement of assets and liabilities date through the date that the financial statements were issued have been evaluated in the preparation of the financial statements.
Investment income, realized and unrealized gains and losses and expenses of the fund are borne pro-rata based on the relative net assets of each class to the total net assets of the fund, except that each class bears expenses unique to that class (including the distribution fees applicable to such classes). Each class votes as a class only with respect to its own distribution plan or other matters on which a class vote is required by law or determined by the Trustees. If the fund were liquidated, shares of each class would receive their pro-rata share of the net assets of the fund. In addition, the Trustees declare separate dividends on each class of shares.
Security valuation Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees. The Trustees have formed a Pricing Committee to oversee the implementation of these procedures and have delegated responsibility for valuing the fund’s assets in accordance with these procedures to Putnam Management. Putnam Management has established an internal Valuation Committee that is responsible for making fair value determinations, evaluating the effectiveness of the pricing policies of the fund and reporting to the Pricing Committee.
Investments for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official closing price for certain markets, and are classified as Level 1 securities under Accounting Standards Codification 820 Fair Value Measurements and Disclosures (ASC 820). If no sales are reported, as in the case of some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security.
Investments in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities, are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less their liabilities and divided by the number of their outstanding shares.
Market quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities of 60 days or less) and other investments; such investments are valued on the basis of valuations furnished by an independent pricing service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings). These securities will generally be categorized as Level 2.
Many securities markets and exchanges outside the U.S. close prior to the scheduled close of the New York Stock Exchange and therefore the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the scheduled close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value certain foreign equity securities taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation of American Depository Receipts, exchange-traded funds and futures contracts. The foreign equity securities, which would generally be classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will be used by the fund to a significant extent. At the close of the reporting period, fair value pricing was used for certain foreign securities in the portfolio. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the current exchange rate.
To the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe accurately reflects the security’s fair value, the security will be valued at fair value by Putnam Management in accordance with policies and procedures approved by the Trustees. Certain investments,
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including certain restricted and illiquid securities and derivatives, are also valued at fair value following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.
To assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in a current sale and does not reflect an actual market price, which may be different by a material amount.
Joint trading account Pursuant to an exemptive order from the SEC, the fund may transfer uninvested cash balances into a joint trading account along with the cash of other registered investment companies and certain other accounts managed by Putnam Management. These balances may be invested in issues of short-term investments having maturities of up to 90 days.
Repurchase agreements The fund, or any joint trading account, through its custodian, receives delivery of the underlying securities, the fair value of which at the time of purchase is required to be in an amount at least equal to the resale price, including accrued interest. Collateral for certain tri-party repurchase agreements is held at the counterparty’s custodian in a segregated account for the benefit of the fund and the counterparty. Putnam Management is responsible for determining that the value of these underlying securities is at all times at least equal to the resale price, including accrued interest. In the event of default or bankruptcy by the other party to the agreement, retention of the collateral may be subject to legal proceedings.
Security transactions and related investment income Security transactions are recorded on the trade date (the date the order to buy or sell is executed). Gains or losses on securities sold are determined on the identified cost basis.
Interest income, net of any applicable withholding taxes, if any, is recorded on the accrual basis. Amortization and accretion of premiums and discounts on debt securities, if any, is recorded on the accrual basis.
Dividend income, net of any applicable withholding taxes, is recognized on the ex-dividend date except that certain dividends from foreign securities, if any, are recognized as soon as the fund is informed of the ex-dividend date. Non-cash dividends, if any, are recorded at the fair value of the securities received. Dividends representing a return of capital or capital gains, if any, are reflected as a reduction of cost and/or as a realized gain.
The fund may have earned certain fees in connection with its senior loan purchasing activities. These fees, if any, are treated as market discount and are amortized into income in the Statement of operations.
Stripped securities The fund may invest in stripped securities which represent a participation in securities that may be structured in classes with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal, the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities is highly sensitive to changes in interest rates.
Foreign currency translation The accounting records of the fund are maintained in U.S. dollars. The fair value of foreign securities, currency holdings, and other assets and liabilities is recorded in the books and records of the fund after translation to U.S. dollars based on the exchange rates on that day. The cost of each security is determined using historical exchange rates. Income and withholding taxes are translated at prevailing exchange rates when earned or incurred. The fund does not isolate that portion of realized or unrealized gains or losses resulting from changes in the foreign exchange rate on investments from fluctuations arising from changes in the market prices of the securities. Such gains and losses are included with the net realized and unrealized gain or loss on investments. Net realized gains and losses on foreign currency transactions represent net realized exchange gains or losses on disposition of foreign currencies, currency gains and losses realized between the trade and settlement dates on securities transactions and the difference between the amount of investment income and foreign withholding taxes recorded on the fund’s books and the U.S. dollar equivalent amounts actually received
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or paid. Net unrealized appreciation and depreciation of assets and liabilities in foreign currencies arise from changes in the value of assets and liabilities other than investments at the period end, resulting from changes in the exchange rate.
Options contracts The fund uses options contracts to hedge duration and convexity, to isolate prepayment risk, to gain exposure to interest rates, to hedge against changes in values of securities it owns, owned or expects to own, to hedge prepayment risk, to generate additional income for the portfolio, to enhance returns on securities owned, to enhance the return on a security owned, to gain exposure to securities and to manage downside risks.
The potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised, the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally received is recorded as a reduction to the cost of investments.
Exchange-traded options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price for written options. OTC traded options are valued using prices supplied by dealers.
Options on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously agreed upon interest rate or credit default contract. Forward premium swap option contracts include premiums that have extended settlement dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract.
Written option contracts outstanding at period end, if any, are listed after the fund’s portfolio.
Futures contracts The fund uses futures contracts to manage exposure to market risk, to hedge prepayment risk, to hedge interest rate risk, to gain exposure to interest rates and to equitize cash.
The potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments. In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures, there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. Risks may exceed amounts recognized on the Statement of assets and liabilities. When the contract is closed, the fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Futures contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known as “variation margin.”
Futures contracts outstanding at period end, if any, are listed after the fund’s portfolio.
Forward currency contracts The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used to hedge foreign exchange risk and to gain exposure to currencies.
The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position. Risks may exceed amounts recognized on the Statement of assets and liabilities.
Forward currency contracts outstanding at period end, if any, are listed after the fund’s portfolio.
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Interest rate swap contracts The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between two parties to exchange cash flows based on a notional principal amount, to hedge interest rate risk, to gain exposure on interest rates and to hedge prepayment risk.
An OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts, an upfront payment received by the fund is recorded as a liability on the fund’s books. An upfront payment made by the fund is recorded as an asset on the fund’s books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps. Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded in variation margin on the Statement of assets and liabilities and recorded as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract.
The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund’s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Risk of loss may exceed amounts recognized on the Statement of assets and liabilities.
At the close of the reporting period, the fund has deposited cash valued at $4,468,294 in a segregated account to cover margin requirements on open swap contracts.
OTC and centrally cleared interest rate swap contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund’s portfolio.
Total return swap contracts The fund entered into OTC and/or centrally cleared total return swap contracts, which are arrangements to exchange a market-linked return for a periodic payment, both based on a notional principal amount, to hedge sector exposure, to manage exposure to specific sectors or industries, to manage exposure to specific securities, to gain exposure to a basket of securities, to gain exposure to specific markets or countries and to gain exposure to specific sectors or industries.
To the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC and/or centrally cleared total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market maker. Any change is recorded as an unrealized gain or loss on OTC total return swaps. Daily fluctuations in the value of centrally cleared total return swaps are settled through a central clearing agent and are recorded in variation margin on the Statement of assets and liabilities and recorded as unrealized gain or loss. Payments received or made are recorded as realized gains or losses. Certain OTC and/or centrally cleared total return swap contracts may include extended effective dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The fund’s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC total return swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared total return swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared total return swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Risk of loss may exceed amounts recognized on the Statement of assets and liabilities.
OTC and/or centrally cleared total return swap contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund’s portfolio.
Credit default contracts The fund entered into OTC and/or centrally cleared credit default contracts to hedge credit risk, to hedge market risk and to gain exposure on individual names and/or baskets of securities.
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In OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund is recorded as a liability on the fund’s books. An upfront payment made by the fund is recorded as an asset on the fund’s books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded in variation margin on the Statement of assets and liabilities and recorded as unrealized gain or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net of any proportional amount of the upfront payment, is recorded as a realized gain or loss.
In addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. Risks of loss may exceed amounts recognized on the Statement of assets and liabilities. The fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future payments the fund may be required to make is equal to the notional amount.
OTC and centrally cleared credit default contracts outstanding, including their respective notional amounts at period end, if any, are listed after the fund’s portfolio.
TBA commitments The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date.
The fund may also enter into TBA sale commitments to hedge its portfolio positions, to sell mortgage-backed securities it owns under delayed delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities or an offsetting TBA purchase commitment deliverable on or before the sale commitment date are held as “cover” for the transaction, or other liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date the commitment was entered into.
TBA commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty.
Unsettled TBA commitments are valued at their fair value according to the procedures described under “Security valuation” above. The contract is marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances, Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to settlement.
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TBA purchase commitments outstanding at period end, if any, are listed within the fund’s portfolio and TBA sale commitments outstanding at period end, if any, are listed after the fund’s portfolio.
Master agreements The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral pledged to the fund is held in a segregated account by the fund’s custodian and, with respect to those amounts which can be sold or repledged, are presented in the fund’s portfolio.
Collateral pledged by the fund is segregated by the fund’s custodian and identified in the fund’s portfolio. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the applicable counterparty. Collateral requirements are determined based on the fund’s net position with each counterparty.
With respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in the counterparty’s long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of the fund’s counterparties to elect early termination could impact the fund’s future derivative activity.
At the close of the reporting period, the fund had a net liability position of $1,050,187 on open derivative contracts subject to the Master Agreements. Collateral pledged by the fund at period end for these agreements totaled $1,139,463 and may include amounts related to unsettled agreements.
Interfund lending The fund, along with other Putnam funds, may participate in an interfund lending program pursuant to an exemptive order issued by the SEC. This program allows the fund to borrow from or lend to other Putnam funds that permit such transactions. Interfund lending transactions are subject to each fund’s investment policies and borrowing and lending limits. Interest earned or paid on the interfund lending transaction will be based on the average of certain current market rates. During the reporting period, the fund did not utilize the program.
Lines of credit The fund participates, along with other Putnam funds, in a $320 million syndicated unsecured committed line of credit, provided by State Street ($160 million) and JP Morgan Chase Bank, N.A. ($160 million), and a $235.5 million unsecured uncommitted line of credit, provided by State Street. Prior to May 2, 2023, the fund participated, along with other Putnam funds, in a $100 million, ($317.5 million prior to October 14, 2022) unsecured committed line of credit and a $235.5 million unsecured uncommitted line of credit, both provided by State Street. Borrowings may be made for temporary or emergency purposes, including the funding of shareholder redemption requests and trade settlements. Interest is charged to the fund based on the fund’s borrowing at a rate equal to 1.25% plus the higher of (1) the Federal Funds rate and (2) the Overnight Bank Funding Rate for the committed line of credit and 1.30% plus the higher of (1) the Federal Funds rate and (2) the Overnight Bank Funding Rate for the uncommitted line of credit. A closing fee equal to 0.04% of the committed line of credit and 0.04% of the uncommitted line of credit has been paid by the participating funds and a $75,000 fee has been paid by the participating funds to State Street as agent of the syndicated committed line of credit. In addition, a commitment fee of 0.21% per annum on any unutilized portion of the committed line of credit is allocated to the participating funds based on their relative net assets and paid quarterly. During the reporting period, the fund had no borrowings against these arrangements.
Federal taxes It is the policy of the fund to distribute all of its taxable income within the prescribed time period and otherwise comply with the provisions of the Internal Revenue Code of 1986, as amended (the Code), applicable to regulated investment companies. It is also the intention of the fund to distribute an amount sufficient to avoid imposition of any excise tax under Section 4982 of the Code.
The fund is subject to the provisions of Accounting Standards Codification 740 Income Taxes (ASC 740). ASC 740 sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. The fund did not have a liability to record for any unrecognized tax benefits in the accompanying financial statements. No provision has been made for federal taxes on income, capital gains or unrealized appreciation on securities held nor for excise tax on income and capital gains. Each of the fund’s federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.
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The fund may also be subject to taxes imposed by governments of countries in which it invests. Such taxes are generally based on either income or gains earned or repatriated. The fund accrues and applies such taxes to net investment income, net realized gains and net unrealized gains as income and/or capital gains are earned. In some cases, the fund may be entitled to reclaim all or a portion of such taxes, and such reclaim amounts, if any, are reflected as an asset on the fund’s books. In many cases, however, the fund may not receive such amounts for an extended period of time, depending on the country of investment.
Tax cost of investments includes adjustments to net unrealized appreciation (depreciation) which may not necessarily be final tax cost basis adjustments, but closely approximate the tax basis unrealized gains and losses that may be realized and distributed to shareholders. The aggregate identified cost on a tax basis is $2,020,921,379, resulting in gross unrealized appreciation and depreciation of $437,834,415 and $103,890,208, respectively, or net unrealized appreciation of $333,944,207.
Distributions to shareholders Distributions to shareholders from net investment income are recorded by the fund on the ex-dividend date. Distributions from capital gains, if any, are recorded on the ex-dividend date and paid at least annually. The amount and character of income and gains to be distributed are determined in accordance with income tax regulations, which may differ from generally accepted accounting principles. Dividend sources are estimated at the time of declaration. Actual results may vary. Any non-taxable return of capital cannot be determined until final tax calculations are completed after the end of the fund’s fiscal year. Reclassifications are made to the fund’s capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) under income tax regulations.
Expenses of the Trust Expenses directly charged or attributable to any fund will be paid from the assets of that fund. Generally, expenses of the Trust will be allocated among and charged to the assets of each fund on a basis that the Trustees deem fair and equitable, which may be based on the relative assets of each fund or the nature of the services performed and relative applicability to each fund.
Note 2: Management fee, administrative services and other transactions
The fund pays Putnam Management a management fee (based on the fund’s average net assets and computed and paid monthly) at annual rates that may vary based on the average of the aggregate net assets of all open-end mutual funds sponsored by Putnam Management (excluding net assets of funds that are invested in, or that are invested in by, other Putnam funds to the extent necessary to avoid “double counting” of those assets). Such annual rates may vary as follows:
0.750% | of the first $5 billion, | 0.550% | of the next $50 billion, | |
0.700% | of the next $5 billion, | 0.530% | of the next $50 billion, | |
0.650% | of the next $10 billion, | 0.520% | of the next $100 billion and | |
0.600% | of the next $10 billion, | 0.515% | of any excess thereafter. |
For the reporting period, the management fee represented an effective rate (excluding the impact from any expense waivers in effect) of 0.296% of the fund’s average net assets.
Putnam Management has contractually agreed, through January 30, 2024, to waive fees and/or reimburse the fund’s expenses to the extent necessary to limit the cumulative expenses of the fund, exclusive of brokerage, interest, taxes, investment-related expenses, extraordinary expenses, acquired fund fees and expenses and payments under the fund’s investor servicing contract, investment management contract and distribution plans, on a fiscal year-to-date basis to an annual rate of 0.20% of the fund’s average net assets over such fiscal year-to-date period. During the reporting period, the fund’s expenses were not reduced as a result of this limit.
Putnam Investments Limited (PIL), an affiliate of Putnam Management, is authorized by the Trustees to manage a separate portion of the assets of the fund as determined by Putnam Management from time to time. Putnam Management pays a quarterly sub-management fee to PIL for its services at an annual rate of 0.25% of the average net assets of the equity and asset allocation portion of the fund managed by PIL and 0.20% of the average net assets of the fixed-income portion of the fund managed by PIL.
The Putnam Advisory Company, LLC (PAC), an affiliate of Putnam Management, is authorized by the Trustees to manage a separate portion of the assets of the fund, as designated from time to time by Putnam Management or PIL. PAC did not manage any portion of the assets of the fund during the reporting period. If Putnam Management or PIL were to engage the services of PAC, Putnam Management or PIL, as applicable, would pay a quarterly sub-advisory fee to PAC for its services at the annual rate of 0.25% of the average net assets of the equity and
Dynamic Asset Allocation Growth Fund 101 |
asset allocation portion of the fund’s assets for which PAC is engaged as sub-advisor and 0.20% of the average net assets of the fixed-income portion of the fund’s assets for which PAC is engaged as sub-advisor.
Putnam Management voluntarily reimbursed the fund $616,170 for a trading error which occurred during the reporting period. The effect of the loss incurred and the reimbursement by Putnam Management of such amounts had no material impact on total return.
The fund reimburses Putnam Management an allocated amount for the compensation and related expenses of certain officers of the fund and their staff who provide administrative services to the fund. The aggregate amount of all such reimbursements is determined annually by the Trustees.
Custodial functions for the fund’s assets are provided by State Street. Custody fees are based on the fund’s asset level, the number of its security holdings and transaction volumes.
Putnam Investor Services, Inc., an affiliate of Putnam Management, provides investor servicing agent functions to the fund. Putnam Investor Services, Inc. received fees for investor servicing for class A, class B, class C, class R and class Y shares that included (1) a per account fee for each direct and underlying non-defined contribution account (retail account) of the fund; (2) a specified rate of the fund’s assets attributable to defined contribution plan accounts; and (3) a specified rate based on the average net assets in retail accounts. Putnam Investor Services, Inc. has agreed that the aggregate investor servicing fees for each fund’s retail and defined contribution accounts for these share classes will not exceed an annual rate of 0.25% of the fund’s average assets attributable to such accounts.
Class P shares paid a monthly fee based on the average net assets of class P shares at an annual rate of 0.01%.
Class R5 shares paid a monthly fee based on the average net assets of class R5 shares at an annual rate of 0.15%.
Class R6 shares paid a monthly fee based on the average net assets of class R6 shares at an annual rate of 0.05%.
During the reporting period, the expenses for each class of shares related to investor servicing fees were as follows:
Class A | $1,088,911 | Class R | 11,181 | |
Class B | 12,469 | Class R5 | 3,541 | |
Class C | 112,251 | Class R6 | 74,948 | |
Class P | 11,756 | Class Y | 175,586 | |
Total | $1,490,643 |
The fund has entered into expense offset arrangements with Putnam Investor Services, Inc. and State Street whereby Putnam Investor Services, Inc.’s and State Street’s fees are reduced by credits allowed on cash balances. For the reporting period, the fund’s expenses were reduced by $12,427 under the expense offset arrangements.
Each Independent Trustee of the fund receives an annual Trustee fee, of which $2,223, as a quarterly retainer, has been allocated to the fund, and an additional fee for each Trustees meeting attended. Trustees also are reimbursed for expenses they incur relating to their services as Trustees.
The fund has adopted a Trustee Fee Deferral Plan (the Deferral Plan) which allows the Trustees to defer the receipt of all or a portion of Trustees fees payable on or after July 1, 1995. The deferred fees remain invested in certain Putnam funds until distribution in accordance with the Deferral Plan.
The fund has adopted an unfunded noncontributory defined benefit pension plan (the Pension Plan) covering all Trustees of the fund who have served as a Trustee for at least five years and were first elected prior to 2004. Benefits under the Pension Plan are equal to 50% of the Trustee’s average annual attendance and retainer fees for the three years ended December 31, 2005. The retirement benefit is payable during a Trustee’s lifetime, beginning the year following retirement, for the number of years of service through December 31, 2006. Pension expense for the fund is included in Trustee compensation and expenses in the Statement of operations. Accrued pension liability is included in Payable for Trustee compensation and expenses in the Statement of assets and liabilities. The Trustees have terminated the Pension Plan with respect to any Trustee first elected after 2003.
The fund has adopted distribution plans (the Plans) with respect to the following share classes pursuant to Rule 12b–1 under the Investment Company Act of 1940. The purpose of the Plans is to compensate Putnam Retail Management Limited Partnership, an indirect wholly-owned subsidiary of Putnam Investments, LLC, for services provided and expenses incurred in distributing shares of the fund. The Plans provide payments by the fund to
102 Dynamic Asset Allocation Growth Fund |
Putnam Retail Management Limited Partnership at an annual rate of up to the following amounts (Maximum %) of the average net assets attributable to each class. The Trustees have approved payment by the fund at the following annual rate (Approved %) of the average net assets attributable to each class. During the reporting period, the class-specific expenses related to distribution fees were as follows:
Maximum % | Approved % | Amount | |
Class A | 0.35% | 0.25% | $1,814,519 |
Class B | 1.00% | 1.00% | 83,081 |
Class C | 1.00% | 1.00% | 748,145 |
Class R | 1.00% | 0.50% | 37,245 |
Total | $2,682,990 |
For the reporting period, Putnam Retail Management Limited Partnership, acting as underwriter, received net commissions of $89,087 from the sale of class A shares and received $67 and $1,593 in contingent deferred sales charges from redemptions of class B and class C shares, respectively.
A deferred sales charge of up to 1.00% is assessed on certain redemptions of class A shares. For the reporting period, Putnam Retail Management Limited Partnership, acting as underwriter, received $1,062 on class A redemptions.
Note 3: Purchases and sales of securities
During the reporting period, the cost of purchases and the proceeds from sales, excluding short-term investments, were as follows:
Cost of purchases | Proceeds from sales | |
Investments in securities, including TBA commitments (Long-term) | $2,627,462,146 | $2,976,604,311 |
U.S. government securities (Long-term) | — | — |
Total | $2,627,462,146 | $2,976,604,311 |
The fund may purchase or sell investments from or to other Putnam funds in the ordinary course of business, which can reduce the fund’s transaction costs, at prices determined in accordance with SEC requirements and policies approved by the Trustees. During the reporting period, purchases or sales of long-term securities from or to other Putnam funds, if any, did not represent more than 5% of the fund’s total cost of purchases and/or total proceeds from sales.
Note 4: Capital shares
At the close of the reporting period, there were an unlimited number of shares of beneficial interest authorized. Transactions, including, if applicable, direct exchanges pursuant to share conversions, in capital shares were as follows:
SIX MONTHS ENDED 3/31/23 | YEAR ENDED 9/30/22 | |||
Class A | Shares | Amount | Shares | Amount |
Shares sold | 2,292,850 | $36,748,500 | 4,701,536 | $85,429,246 |
Shares issued in connection with | ||||
reinvestment of distributions | 1,509,844 | 23,689,444 | 12,246,134 | 230,349,774 |
3,802,694 | 60,437,944 | 16,947,670 | 315,779,020 | |
Shares repurchased | (4,900,612) | (78,520,947) | (9,834,687) | (177,226,776) |
Net increase (decrease) | (1,097,918) | $(18,083,003) | 7,112,983 | $138,552,244 |
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SIX MONTHS ENDED 3/31/23 | YEAR ENDED 9/30/22 | |||
Class B | Shares | Amount | Shares | Amount |
Shares sold | 5,676 | $89,072 | 16,976 | $309,083 |
Shares issued in connection with | ||||
reinvestment of distributions | 11,521 | 176,160 | 201,807 | 3,701,134 |
17,197 | 265,232 | 218,783 | 4,010,217 | |
Shares repurchased | (303,336) | (4,719,228) | (528,028) | (9,407,075) |
Net decrease | (286,139) | $(4,453,996) | (309,245) | $(5,396,858) |
SIX MONTHS ENDED 3/31/23 | YEAR ENDED 9/30/22 | |||
Class C | Shares | Amount | Shares | Amount |
Shares sold | 477,999 | $7,007,263 | 1,136,498 | $19,058,832 |
Shares issued in connection with | ||||
reinvestment of distributions | 114,683 | 1,656,016 | 1,649,114 | 28,579,154 |
592,682 | 8,663,279 | 2,785,612 | 47,637,986 | |
Shares repurchased | (1,648,440) | (24,326,239) | (3,125,478) | (51,737,710) |
Net decrease | (1,055,758) | $(15,662,960) | (339,866) | $(4,099,724) |
SIX MONTHS ENDED 3/31/23 | YEAR ENDED 9/30/22 | |||
Class P | Shares | Amount | Shares | Amount |
Shares sold | 2,570,190 | $41,663,734 | 7,321,268 | $131,847,053 |
Shares issued in connection with | ||||
reinvestment of distributions | 407,933 | 6,494,292 | 2,392,652 | 45,699,657 |
2,978,123 | 48,158,026 | 9,713,920 | 177,546,710 | |
Shares repurchased | (20,449,095) | (341,447,383) | (5,980,029) | (107,608,659) |
Net increase (decrease) | (17,470,972) | $(293,289,357) | 3,733,891 | $69,938,051 |
SIX MONTHS ENDED 3/31/23 | YEAR ENDED 9/30/22 | |||
Class R | Shares | Amount | Shares | Amount |
Shares sold | 48,447 | $753,258 | 114,436 | $2,009,295 |
Shares issued in connection with | ||||
reinvestment of distributions | 14,373 | 219,469 | 155,809 | 2,851,306 |
62,820 | 972,727 | 270,245 | 4,860,601 | |
Shares repurchased | (155,358) | (2,414,672) | (444,455) | (8,092,488) |
Net decrease | (92,538) | $(1,441,945) | (174,210) | $(3,231,887) |
SIX MONTHS ENDED 3/31/23 | YEAR ENDED 9/30/22 | |||
Class R5 | Shares | Amount | Shares | Amount |
Shares sold | 7,665 | $122,053 | 47,818 | $870,795 |
Shares issued in connection with | ||||
reinvestment of distributions | 554 | 8,887 | 110,551 | 2,105,995 |
8,219 | 130,940 | 158,369 | 2,976,790 | |
Shares repurchased | (798,639) | (13,428,278) | (99,620) | (1,832,468) |
Net increase (decrease) | (790,420) | $(13,297,338) | 58,749 | $1,144,322 |
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SIX MONTHS ENDED 3/31/23 | YEAR ENDED 9/30/22 | |||
Class R6 | Shares | Amount | Shares | Amount |
Shares sold | 1,721,900 | $28,454,887 | 2,654,560 | $48,782,453 |
Shares issued in connection with | ||||
reinvestment of distributions | 376,849 | 6,006,976 | 2,758,486 | 52,687,081 |
2,098,749 | 34,461,863 | 5,413,046 | 101,469,534 | |
Shares repurchased | (2,529,064) | (41,391,033) | (5,198,053) | (94,534,287) |
Net increase (decrease) | (430,315) | $(6,929,170) | 214,993 | $6,935,247 |
SIX MONTHS ENDED 3/31/23 | YEAR ENDED 9/30/22 | |||
Class Y | Shares | Amount | Shares | Amount |
Shares sold | 1,659,207 | $26,930,952 | 3,535,831 | $65,253,210 |
Shares issued in connection with | ||||
reinvestment of distributions | 272,123 | 4,329,472 | 2,044,328 | 38,985,344 |
1,931,330 | 31,260,424 | 5,580,159 | 104,238,554 | |
Shares repurchased | (2,686,595) | (43,675,222) | (5,053,380) | (93,449,082) |
Net increase (decrease) | (755,265) | $(12,414,798) | 526,779 | $10,789,472 |
Note 5: Affiliated transactions
Transactions during the reporting period with any company which is under common ownership or control were as follows:
Shares | |||||
outstanding | |||||
and fair | |||||
Fair value as | Purchase | Sale | Investment | value as | |
Name of affiliate | of 9/30/22 | cost | proceeds | income | of 3/31/23 |
Short-term investments | |||||
Putnam Short Term | |||||
Investment Fund* | $148,416,010 | $140,673,722 | $194,936,534 | $2,894,480 | $94,153,198 |
Total Short-term | |||||
investments | $148,416,010 | $140,673,722 | $194,936,534 | $2,894,480 | $94,153,198 |
* Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management. There were no realized or unrealized gains or losses during the period.
Note 6: Market, credit and other risks
In the normal course of business, the fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk) or failure of the contracting party to the transaction to perform (credit risk). The fund may be exposed to additional credit risk that an institution or other entity with which the fund has unsettled or open transactions will default. Investments in foreign securities involve certain risks, including those related to economic instability, unfavorable political developments, and currency fluctuations. The fund may invest in higher-yielding, lower-rated bonds that may have a higher rate of default. The fund may invest a significant portion of its assets in securitized debt instruments, including mortgage-backed and asset-backed investments. The yields and values of these investments are sensitive to changes in interest rates, the rate of principal payments on the underlying assets and the market’s perception of the issuers. The market for these investments may be volatile and limited, which may make them difficult to buy or sell.
On July 27, 2017, the United Kingdom’s Financial Conduct Authority (“FCA”), which regulates LIBOR, announced its intention to cease compelling banks to provide the quotations needed to sustain LIBOR after 2021. ICE Benchmark Administration, the administrator of LIBOR, ceased publication of most LIBOR settings on a representative basis at the end of 2021 and is expected to cease publication of a majority of U.S. dollar LIBOR settings on a representative basis after June 30, 2023. In addition, global regulators have announced that, with limited
Dynamic Asset Allocation Growth Fund 105 |
exceptions, no new LIBOR-based contracts should be entered into after 2021. LIBOR has historically been a common benchmark interest rate index used to make adjustments to variable-rate loans. It is used throughout global banking and financial industries to determine interest rates for a variety of financial instruments and borrowing arrangements. Actions by regulators have resulted in the establishment of alternative reference rates to LIBOR in most major currencies. Various financial industry groups have been planning for the transition away from LIBOR, but there are obstacles to converting certain longer-term securities and transactions to new reference rates. Markets are developing slowly and questions around liquidity in these rates and how to appropriately adjust these rates to mitigate any economic value transfer at the time of transition remain a significant concern. Neither the effect of the transition process nor its ultimate success can yet be known. The transition process might lead to increased volatility and illiquidity in markets that rely on LIBOR to determine interest rates. It could also lead to a reduction in the value of some LIBOR-based investments and reduce the effectiveness of related transactions, such as hedges. While some LIBOR-based instruments may contemplate a scenario where LIBOR is no longer available by providing for an alternative rate-setting methodology, not all may have such provisions and there may be significant uncertainty regarding the effectiveness of any such alternative methodologies. Since the usefulness of LIBOR as a benchmark could deteriorate during the transition period, these effects could occur at any time.
The Covid–19 pandemic and efforts to contain its spread have resulted in, among other effects, significant market volatility, exchange trading suspensions and closures, declines in global financial markets, higher default rates, significant changes in fiscal and monetary policies, and economic downturns and recessions. The effects of the Covid–19 pandemic have negatively affected, and may continue to negatively affect, the global economy, the economies of the United States and other individual countries, the financial performance of individual issuers, sectors, industries, asset classes, and markets, and the value, volatility, and liquidity of particular securities and other assets. The effects of the Covid–19 pandemic also are likely to exacerbate other risks that apply to the fund, which could negatively impact the fund’s performance and lead to losses on your investment in the fund. The duration of the Covid–19 pandemic and its effects cannot be determined with certainty.
Note 7: Senior loan commitments
Senior loans are purchased or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities. Senior loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder’s portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the loan may default on its obligations.
Note 8: Summary of derivative activity
The volume of activity for the reporting period for any derivative type that was held during the period is listed below and was based on an average of the holdings at the end of each fiscal quarter:
Purchased equity option contracts (contract amount) | $37,000 |
Written equity option contracts (contract amount) | $37,000 |
Futures contracts (number of contracts) | 3,000 |
Forward currency contracts (contract amount) | $136,900,000 |
Centrally cleared interest rate swap contracts (notional) | $255,100,000 |
OTC total return swap contracts (notional) | $339,700,000 |
OTC credit default contracts (notional) | $7,200,000 |
Centrally cleared credit default contracts (notional) | $39,300,000 |
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The following is a summary of the fair value of derivative instruments as of the close of the reporting period:
Fair value of derivative instruments as of the close of the reporting period | ||||
ASSET DERIVATIVES | LIABILITY DERIVATIVES | |||
Derivatives not | ||||
accounted for as | Statement of | Statement of | ||
hedging instruments | assets and | assets and | ||
under ASC 815 | liabilities location | Fair value | liabilities location | Fair value |
Receivables, Net | ||||
assets — Unrealized | ||||
Credit contracts | appreciation | $1,897,596* | Payables | $584,736 |
Foreign exchange | ||||
contracts | Receivables | 880,317 | Payables | 2,090,549 |
Investments, | ||||
Receivables, Net | ||||
assets — Unrealized | Payables, Net assets — | |||
Equity contracts | appreciation | 8,822,559* | Unrealized depreciation | 17,326,490* |
Receivables, Net | ||||
assets — Unrealized | Payables, Net assets — | |||
Interest rate contracts | appreciation | 3,890,629* | Unrealized depreciation | 2,836,615* |
Total | $15,491,101 | $22,838,390 |
* Includes cumulative appreciation/depreciation of futures contracts and/or centrally cleared swaps as reported in the fund’s portfolio. Only current day’s variation margin is reported within the Statement of assets and liabilities.
The following is a summary of realized and change in unrealized gains or losses of derivative instruments in the Statement of operations for the reporting period (Note 1):
Amount of realized gain or (loss) on derivatives recognized in net gain or (loss) on investments | ||||
Derivatives not | ||||
accounted for as | Forward | |||
hedging instruments | currency | |||
under ASC 815 | Futures | contracts | Swaps | Total |
Credit contracts | $— | $— | $530,656 | $530,656 |
Foreign exchange | ||||
contracts | — | (158,070) | — | $(158,070) |
Equity contracts | 13,022,934 | — | (413,059) | $12,609,875 |
Interest rate contracts | (5,793,666) | — | (1,857,056) | $(7,650,722) |
Total | $7,229,268 | $(158,070) | $(1,739,459) | $5,331,739 |
Change in unrealized appreciation or (depreciation) on derivatives recognized in net gain or (loss) | |||||
on investments | |||||
Derivatives not accounted | Forward | ||||
for as hedging instruments | currency | ||||
under ASC 815 | Options | Futures | contracts | Swaps | Total |
Credit contracts | $— | $— | $— | $909,052 | $909,052 |
Foreign exchange contracts | — | — | (1,313,918) | — | $(1,313,918) |
Equity contracts | (212,205) | (21,223,158) | — | (435,296) | $(21,870,659) |
Interest rate contracts | — | 9,778,496 | — | (73,206) | $9,705,290 |
Total | $(212,205) | $(11,444,662) | $(1,313,918) | $400,550 | $(12,570,235) |
Dynamic Asset Allocation Growth Fund 107 |
Note 9: Offsetting of financial and derivative assets and liabilities
The following table summarizes any derivatives, repurchase agreements and reverse repurchase agreements, at the end of the reporting period, that are subject to an enforceable master netting agreement or similar agreement. For securities lending transactions or borrowing transactions associated with securities sold short, if any, see Note 1. For financial reporting purposes, the fund does not offset financial assets and financial liabilities that are subject to the master netting agreements in the Statement of assets and liabilities.
Bank of America N.A. | Barclays Bank PLC | Barclays Capital, Inc. (clearing broker) | BofA Securities, Inc. | Citibank, N. A. | Citigroup Global Markets, Inc. | Credit Suisse International | Goldman Sachs International | JPMorgan Chase Bank N.A. | JPMorgan Securities LLC | Merrill Lynch International | Morgan Stanley & Co. International PLC | NatWest Markets PLC | State Street Bank and Trust Co. | UBS AG | WestPac Banking Corp. | Total | |
Assets: | |||||||||||||||||
Centrally cleared interest rate | |||||||||||||||||
swap contracts§ | $— | $— | $120,369 | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $120,369 |
OTC Total return swap contracts*# | — | 2,551,872 | — | — | — | — | — | 4,607,771 | — | — | — | — | — | — | — | — | 7,159,643 |
OTC Credit default contracts — | |||||||||||||||||
protection sold *# | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
OTC Credit default contracts — | |||||||||||||||||
protection purchased*# | — | — | — | — | — | 458,015 | 341,908 | 348,929 | — | 190,821 | 66,304 | 190,591 | — | — | — | — | 1,596,568 |
Centrally cleared credit | |||||||||||||||||
default contracts§ | — | — | 27,796 | — | — | — | — | — | — | — | — | — | — | — | — | — | 27,796 |
Futures contracts§ | — | — | — | 358,650 | — | — | — | — | — | 506,430 | — | — | — | — | — | — | 865,080 |
Forward currency contracts# | — | — | — | — | — | — | — | — | 107,364 | — | — | 121,640 | 238,810 | 262,832 | — | 149,671 | 880,317 |
Purchased options**# | — | — | — | — | 7,476 | — | — | — | — | — | — | — | — | — | — | — | 7,476 |
Total Assets | $— | $2,551,872 | $148,165 | $358,650 | $7,476 | $458,015 | $341,908 | $4,956,700 | $107,364 | $697,251 | $66,304 | $312,231 | $238,810 | $262,832 | $— | $149,671 | $10,657,249 |
Liabilities: | |||||||||||||||||
Centrally cleared interest rate | |||||||||||||||||
swap contracts§ | — | — | 258,425 | — | — | — | — | — | — | — | — | — | — | — | — | — | 258,425 |
OTC Total return swap contracts*# | — | 2,485,768 | — | — | — | — | — | 2,452,260 | — | — | — | — | — | — | — | — | 4,938,028 |
OTC Credit default contracts — | |||||||||||||||||
protection sold *# | 122 | — | — | — | — | 319,576 | 55,362 | 91,484 | — | 42,986 | — | 75,206 | — | — | — | — | 584,736 |
OTC Credit default contracts — | |||||||||||||||||
protection purchased*# | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
Centrally cleared credit | |||||||||||||||||
default contracts§ | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — | — |
Futures contracts§ | — | — | — | 2,917,583 | — | — | — | — | — | 14,633 | — | — | — | — | — | — | 2,932,216 |
Forward currency contracts# | 371,604 | — | — | — | 183,829 | — | — | 147,678 | 110,716 | — | — | 475,180 | 218,825 | 176,046 | 239,259 | 167,412 | 2,090,549 |
Written options# | — | — | — | — | 3,601 | — | — | — | — | — | — | — | — | — | — | — | 3,601 |
Total Liabilities | $371,726 | $2,485,768 | $258,425 | $2,917,583 | $187,430 | $319,576 | $55,362 | $2,691,422 | $110,716 | $57,619 | $— | $550,386 | $218,825 | $176,046 | $239,259 | $167,412 | $10,807,555 |
Total Financial and Derivative | |||||||||||||||||
Net Assets | $(371,726) | $66,104 | $(110,260) | $(2,558,933) | $(179,954) | $138,439 | $286,546 | $2,265,278 | $(3,352) | $639,632 | $66,304 | $(238,155) | $19,985 | $86,786 | $(239,259) | $(17,741) | $(150,306) |
Total collateral received (pledged)†## | $(322,704) | $(241,314) | $— | $— | $(141,310) | $110,000 | $260,000 | $2,265,278 | $— | $130,000 | $66,304 | $(222,108) | $— | $86,786 | $(212,027) | $— | |
Net amount | $(49,022) | $307,418 | $(110,260) | $(2,558,933) | $(38,644) | $28,439 | $26,546 | $— | $(3,352) | $509,632 | $— | $(16,047) | $19,985 | $— | $(27,232) | $(17,741) |
108 Dynamic Asset Allocation Growth Fund | Dynamic Asset Allocation Growth Fund 109 |
Bank of America N.A. | Barclays Bank PLC | Barclays Capital, Inc. (clearing broker) | BofA Securities, Inc. | Citibank, N. A. | Citigroup Global Markets, Inc. | Credit Suisse International | Goldman Sachs International | JPMorgan Chase Bank N.A. | JPMorgan Securities LLC | Merrill Lynch International | Morgan Stanley & Co. International PLC | NatWest Markets PLC | State Street Bank and Trust Co. | UBS AG | WestPac Banking Corp. | Total | |
Controlled collateral received | |||||||||||||||||
(including TBA commitments)** | $— | $— | $— | $— | $— | $782,000 | $260,000 | $2,270,000 | $— | $785,000 | $85,067 | $— | $— | $132,649 | $— | $— | $4,314,716 |
Uncontrolled collateral received | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— | $— |
Collateral (pledged) (including | |||||||||||||||||
TBA commitments)** | $(322,704) | $(241,314) | $— | $— | $(141,310) | $— | $— | $— | $— | $— | $— | $(222,108) | $— | $— | $(212,027) | $— | $(1,139,463) |
* Excludes premiums, if any. Included in unrealized appreciation and depreciation on OTC swap contracts on the Statement of assets and liabilities.
** Included with Investments in securities on the Statement of assets and liabilities.
† Additional collateral may be required from certain brokers based on individual agreements.
# Covered by master netting agreement (Note 1).
##Any over-collateralization of total financial and derivative net assets is not shown. Collateral may include amounts related to unsettled agreements.
§ Includes current day’s variation margin only as reported on the Statement of assets and liabilities, which is not collateralized. Cumulative appreciation/(depreciation) for futures contracts and centrally cleared swap contracts is represented in the tables listed after the fund’s portfolio. Collateral pledged for initial margin on futures contracts and centrally cleared swap contracts, which is not included in the table above, amounted to $13,399,003 and $4,468,294, respectively.
110 Dynamic Asset Allocation Growth Fund | Dynamic Asset Allocation Growth Fund 111 |
Services for shareholders
Investor services
Systematic investment plan Tell us how much you wish to invest regularly — weekly, semimonthly, or monthly — and the amount you choose will be transferred automatically from your checking or savings account. There’s no additional fee for this service, and you can suspend it at any time. This plan may be a great way to save for college expenses or to plan for your retirement.
Please note that regular investing does not guarantee a profit or protect against loss in a declining market. Before arranging a systematic investment plan, consider your financial ability to continue making purchases in periods when prices are low.
Systematic exchange You can make regular transfers from one Putnam fund to another Putnam fund. There are no additional fees for this service, and you can cancel or change your options at any time.
Dividends PLUS You can choose to have the dividend distributions from one of your Putnam funds automatically reinvested in another Putnam fund at no additional charge.
Free exchange privilege You can exchange money between Putnam funds free of charge, as long as they are the same class of shares. A signature guarantee is required if you are exchanging more than $500,000. The fund reserves the right to revise or terminate the exchange privilege.
Reinstatement privilege If you’ve sold Putnam shares or received a check for a dividend or capital gain, you may reinvest the proceeds with Putnam within 90 days of the transaction and they will be reinvested at the fund’s current net asset value — with no sales charge. However, reinstatement of class B shares may have special tax consequences. Ask your financial or tax representative for details.
Check-writing service You have ready access to many Putnam accounts. It’s as simple as writing a check, and there are no special fees or service charges. For more information about the check-writing service, call Putnam or visit our website.
Dollar cost averaging When you’re investing for long-term goals, it’s time, not timing, that counts. Investing on a systematic basis is a better strategy than trying to figure out when the markets will go up or down. This means investing the same amount of money regularly over a long period. This method of investing is called dollar cost averaging. When a fund’s share price declines, your investment dollars buy more shares at lower prices. When it increases, they buy fewer shares. Over time, you will pay a lower average price per share.
For more information
Visit the Individual Investors section at putnam.com A secure section of our website contains complete information on your account, including balances and transactions, updated daily. You may also conduct transactions, such as exchanges, additional investments, and address changes. Log on today to get your password.
Call us toll free at 1-800-225-1581 or, for exchange-traded funds only, 1-833-228-5577 Ask a helpful Putnam representative or your financial advisor for details about any of these or other services, or see your prospectus.
112 Dynamic Asset Allocation Growth Fund |
Fund information
Founded over 85 years ago, Putnam Investments was built around the concept that a balance between risk and reward is the hallmark of a well-rounded financial program. We manage funds across income, value, blend, growth, sustainable, and asset allocation categories.
Investment Manager | Trustees | Richard T. Kircher |
Putnam Investment | Kenneth R. Leibler, Chair | Vice President and |
Management, LLC | Barbara M. Baumann, Vice Chair | BSA Compliance Officer |
100 Federal Street | Liaquat Ahamed | |
Boston, MA 02110 | Katinka Domotorffy | Martin Lemaire |
Catharine Bond Hill | Vice President and | |
Investment Sub-Advisors | Jennifer Williams Murphy | Derivatives Risk Manager |
Putnam Investments Limited | Marie Pillai | |
16 St James’s Street | George Putnam III | Susan G. Malloy |
London, England SW1A 1ER | Robert L. Reynolds | Vice President and |
Manoj P. Singh | Assistant Treasurer | |
The Putnam Advisory Company, LLC | Mona K. Sutphen | |
100 Federal Street | Alan G. McCormack | |
Boston, MA 02110 | Officers | Vice President and |
Robert L. Reynolds | Derivatives Risk Manager | |
Marketing Services | President | |
Putnam Retail Management | Denere P. Poulack | |
Limited Partnership | James F. Clark | Assistant Vice President, |
100 Federal Street | Vice President, Chief Compliance | Assistant Clerk, and |
Boston, MA 02110 | Officer, and Chief Risk Officer | Assistant Treasurer |
Custodian | Michael J. Higgins | Janet C. Smith |
State Street Bank | Vice President, Treasurer, | Vice President, |
and Trust Company | and Clerk | Principal Financial Officer, |
Principal Accounting Officer, | ||
Legal Counsel | Jonathan S. Horwitz | and Assistant Treasurer |
Ropes & Gray LLP | Executive Vice President, | |
Principal Executive Officer, | Stephen J. Tate | |
and Compliance Liaison | Vice President and | |
Chief Legal Officer | ||
Mark C. Trenchard | ||
Vice President |
This report is for the information of shareholders of Putnam Dynamic Asset Allocation Growth Fund. It may also be used as sales literature when preceded or accompanied by the current prospectus, the most recent copy of Putnam’s Quarterly Performance Summary, and Putnam’s Quarterly Ranking Summary. For more recent performance, please visit putnam.com. Investors should carefully consider the investment objectives, risks, charges, and expenses of a fund, which are described in its prospectus. For this and other information or to request a prospectus or summary prospectus, call 1-800-225-1581 toll free. Please read the prospectus carefully before investing. The fund’s Statement of Additional Information contains additional information about the fund’s Trustees and is available without charge upon request by calling 1-800-225-1581.
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. Schedule of Investments: |
The registrant’s schedule of investments in unaffiliated issuers is included in the report to shareholders in Item 1 above. |
Item 7. Disclosure of Proxy Voting Policies and Procedures For Closed-End Management Investment Companies: |
Not applicable |
Item 8. Portfolio Managers of Closed-End Investment Companies |
Not Applicable |
Item 9. Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers: |
Not applicable |
Item 10. Submission of Matters to a Vote of Security Holders: |
Not applicable |
Item 11. Controls and Procedures: |
(a) The registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the effectiveness of the design and operation of the registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the design and operation of such procedures are generally effective to provide reasonable assurance that information required to be disclosed by the registrant in this report is recorded, processed, summarized and reported within the time periods specified in the Commission’s rules and forms. |
(b) Changes in internal control over financial reporting: Not applicable |
Item 12. Disclosures of Securities Lending Activities for Closed-End Investment Companies: |
Not Applicable |
Item 13. Exhibits: |
(a)(1) Not applicable |
(b) The certifications required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended, are filed herewith. |
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. |
Putnam Asset Allocation Funds |
By (Signature and Title): |
/s/ Janet C. Smith Janet C. Smith Principal Accounting Officer |
Date: May 26, 2023 |
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 (Signature and Title): |
/s/ Jonathan S. Horwitz Jonathan S. Horwitz Principal Executive Officer |
Date: May 26, 2023 |
By (Signature and Title): |
/s/ Janet C. Smith Janet C. Smith Principal Financial Officer |
Date: May 26, 2023 |