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New Covenant Funds

Filed: 4 Sep 20, 4:02pm

 

 

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 811-09025

 

 

 

New Covenant Funds

(Exact name of registrant as specified in charter)

 

 

SEI Investments

One Freedom Valley Drive

Oaks, PA 19456

(Address of principal executive offices) (Zip code)

 

 

Timothy D. Barto, Esq.

SEI Investments

One Freedom Valley Drive

Oaks, PA 19456

(Name and address of agent for service)

 

 

Registrant’s telephone number, including area code: 1-610-676-1000

Date of fiscal year end: June 30, 2020

Date of reporting period: June 30, 2020

 

 

 


Item 1.

Reports to Stockholders.


LOGO


TABLE OF CONTENTS

 

  

Letter to Shareholders

   1 
  

Management’s Discussion and Analysis of Fund Performance

   7 
  

Schedules of Investments

   15 
  

Statements of Assets and Liabilities

   52 
  

Statements of Operations

   53 
  

Statements of Changes in Net Assets

   54 
  

Financial Highlights

   56 
  

Notes to Financial Statements

   60 
  

Report of Independent Registered Public Accounting Firm

   72 
  

Trustees and Officers of the Trust

   73 
  

Disclosure of Fund Expenses

   76 
  

Review of Liquidity Risk Management Program

   77 
  

Board of Trustees Considerations in Approving the Advisory and Sub-Advisory Agreements

   78 
  

Notice to Shareholders

   81 

 

The Trust files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Trust’s Form N-PORT reports are available on the Commission’s website at http://www.sec.gov.

A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to portfolio securities, as well as information relating to how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, is available (i) without charge, upon request, by calling 1-877-835-4531; and (ii) on the Commission’s website at http://www.sec.gov.


NEW COVENANT FUNDS — JUNE 30, 2020 (Unaudited)

To Our Shareholders:

The fiscal year ending June 30, 2020 began with strong returns in the equity markets over the final half of 2019. After hitting all-time highs in February, concerns about the international spread of a novel coronavirus (COVID-19) dominated investor concerns, and by the end of March most equity indexes had fallen into bear-market territory. Plans to reopen economic activity and developments in the race for COVID-19 treatments encouraged investors in April and May; global financial markets rallied sharply amid renewed “risk-on” sentiment but still finished below their peaks from earlier in the year. Despite tension around a U.S.-China trade deal and ongoing Brexit concerns in late 2019, the lingering effects of COVID-19 demanded plenty of attention from investors.

The Federal Reserve (Fed) cut interest rates three times prior to March. The Fed’s accommodative turn in monetary policy midway through the reporting period included an early conclusion in August to its balance-sheet reduction program that came amid below-target inflation and uncertainty about trade developments. Two off-cycle moves in the final month brought the federal-funds rate to near zero and were designed to bolster the economy in response to the economic threat posed by the coronavirus outbreak; the emergency actions were the first since the global financial crisis. Additionally, the Fed committed to purchasing unlimited amounts of Treasurys and established or renewed multiple facilities designed to support the economy.

The European Central Bank (ECB) sought to provide fresh stimulus following its mid-September meeting by reducing its deposit rate from -0.40% to a record low of -0.50%—and adopting a new system to offset possible consequent bank-reserve losses. Christine Lagarde succeeded Mario Draghi as ECB President in November. The ECB restarted its asset-purchase program in November with a monthly pace of 20 billion and stated it intends to continue to fully reinvest the principal payments from maturing securities purchased under the program. In response to COVID-19, the ECB announced a new quantitative easing (QE) package in March—the Pandemic Emergency Purchase Programme—amounting to 750 billion, which should bring total QE-related asset purchases to more than 1.3 trillion in 2020.

The Japanese yen, typically viewed as a “safe-haven” asset in “risk-off” environments, finished the period 0.2% higher against the U.S. dollar, while the Bank of Japan held monetary policy stable and signaled it did not intend to raise rates before 2023. The Chinese yuan finished the fiscal year down 3.0% against the U.S. dollar as trade-related tensions initially drove the exchange rate to an 11-year low in September. The currency rebounded some after confidence grew that a limited U.S.-China trade agreement would be reached but faltered again as COVID-19 worries grew early in 2020.

West Texas Intermediate crude-oil prices stayed mostly range-bound over the first half of the reporting period. From January onward, the commodity became a victim of an oil-production impasse between Saudi Arabia and Russia and travel restrictions that sapped usage due to the coronavirus pandemic. Between the high toward the end of 2019 and the April lows, crude-oil prices fell over 80%. Record supply cuts and a pickup in global fuel demand toward the end of the reporting period helped drive a partial price recovery, and oil finished down about 32% for the 12-month period.

Geopolitical Events

Market volatility accelerated in the first quarter of 2020 following concerns about COVID-19 and its eventual economic effect: A deadly strain originated in Wuhan, China, and began spreading at an exponential pace. As the outbreak spread to other countries, governments issued stay-at-home orders, and public health leaders preached “social distancing” in order to “flatten the curve” (that is, slow the rate of transmission in order to provide health systems time to manage the viral outbreak). Beyond the threat to public health, the outbreak and resulting containment measures evoked concerns about the potential halt to global economic activity. April saw the official infection rate more than triple to over three-million cases worldwide, while in the U.S., the total recorded number of COVID-19-related deaths neared 130,000 by late June—out of about 500,000 total worldwide. Nevertheless, stocks advanced globally almost without exception over the last three months of the period as forward-looking investors attempted to spot sources of encouragement.

The United States-Mexico-Canada trade agreement was ratified by all three countries in December and officially replaced the North American Free Trade Agreement just after the reporting period ended on July 1. President Trump and France’s President Emmanuel Macron successfully walked back threats of tariffs that originated with French

 

 

New Covenant Funds / Annual Report / June 30, 2020

   1 


NEW COVENANT FUNDS — JUNE 30, 2020 (Unaudited) (Continued)

 

 

plans for a digital tax that would have targeted US-based multi-national technology companies. The prospect of a digital tax re-surfaced in other countries—including the U.K., Italy, Austria and Turkey—which prompted more threats of retailiatory tariffs by Treasury Secretary Steven Mnuchin. Sajid Javid, the UK’s former Chancellor of the Exchequer, disappointed Secretary Mnuchin by explaining during a joint interview in late January at the World Economic Forum that the U.K. would prioritize trade negotiations with the EU over a deal with the U.S.

China and the U.S. formalized a “phase one” trade deal in mid-January that offered tariff relief to China (via the reduction of existing tariffs and the delay of additional scheduled tariffs). In exchange, China committed to purchasing $200 billion in U.S. products over a two-year period; addressing its long-standing practice of forcing the transfer of intellectual property and technology to Chinese counterparts in exchange for access to the Chinese market; and promising to continue opening its financial-services industry to foreign investors. The tense U.S.-China relationship was stressed in May by a U.S. push for more transparency in the ownership of U.S.-listed Chinese companies and the U.S. government’s barring of certain Chinese holdings from its retirement plans.

President Trump’s impeachment trial ended with an acquittal by the U.S. Senate in February—even as the U.S. media surfaced corroborating first-hand accounts of President Trump directing underlying events central to the articles of impeachment. The Democratic presidential primary process neared completion with Joe Biden, considered to represent the more moderate wing of the Democratic Party, as the likely nominee.

Boris Johnson succeeded Theresa May as prime minister in the U.K. early in the fiscal year but faced sharp resistance from the outset of his tenure; however, the UK’s Conservative Party consolidated its power in a mid-December election—winning a majority of seats in the House of Commons and gaining approval for Prime Minister Boris Johnson’s EU departure deal. The country officially left the EU at the end of January 2020, giving way to an 11-month transition period to negotiate terms of the future U.K.-EU relationship. Johnson emerged from his personal battle with COVID-19 in April, having been hospitalized in intensive care and temporarily deputizing Foreign Secretary Dominic Raab to fulfil his role while incapacitated.

Elsewhere, after months of demonstrations, protesters in Hong Kong saw some success when a proposed law that would have allowed for extradition to mainland China was withdrawn. Protests continued, however, amid a reported increase in China’s police presence and undercover activity, although coronavirus concerns put an end to most large-scale demonstrations. China passed a new national security law for Hong Kong in June, categorizing an array of subversive activities as criminal behavior and carrying sentences as steep as life imprisonment. The ruling also enables Beijing to supervise and intervene in the policing of these activities, as well as the final word on interpreting the law, marking a significant dilution of the “one country, two systems” governance ethos that has defined the relationship since the U.K.’s handoff of Hong Kong to China in 1997.

Economic Performance

The U.S. economy grew by a seasonally-adjusted annualized 2.0% in the second quarter of 2019 as a decline in exports and inventory builds countered robust consumer spending. The third quarter saw a slight increase in annualized growth at 2.1%, as the robust U.S. labor market helped to support the moderate pace of activity, allowing the 10-year expansion to continue despite decelerating global trends. Economic growth again registered 2.1% in the fourth quarter, driven by an increase in net trade but weakened by a sharp slowdown in consumer spending. The third estimate for gross domestic product (GDP) in the first quarter of 2020 saw a decline of 5.0%, the largest decline since the global financial crisis. GDPNow, not an official forecast but a model of real GDP growth by the Federal Reserve Bank of Atlanta, estimated an almost 35% drop for the second quarter at the end of the reporting period. The abrupt halt to the 10-year economic expansion came amid mandated lockdowns throughout most of the country.

The U.S. unemployment rate touched a 50-year low of 3.5% during the fiscal year before jumping as high as 14.7% in April and settling at 11.1% in the final reading; the number of Americans filing for initial unemployment benefits hit record numbers as many non-essential businesses were forced to close in the wake of the pandemic. The labor-force participation rate ended at 61.5%, down from 63.0% a year earlier. Average hourly earnings gained 5.0% over the year, as the increase in unemployment tended to hit lower-wage workers hardest.

Broad economic growth in the eurozone slowed to its weakest pace since records began in 1995 during the first quarter of 2020; the 14.4% annualized decline far exceeded that in the U.S. as measures imposed to limit the spread

 

 

2  

New Covenant Funds / Annual Report / June 30, 2020


 

 

of COVID-19 reflected the closing of everything from restaurants to factories. The magnitude and speed of the contraction solidified the case for continued accommodative policy by the ECB for some time.

The Bank of England’s Monetary Policy Committee cut the Bank Rate to 0.1%, the lowest in the 325-year history of its lending rate, during the fiscal year. It also announced a £200 billion asset-purchase program, mostly of government bonds, to be conducted at a monthly pace that will eclipse previous rounds of QE. Additionally, it launched a so-called funding-for-lending scheme to spur banks to lend to small- and medium-sized enterprises as well as a commercial paper facility with no cap limit, both to be financed by central-bank reserves. Following its mid-June meeting, the central bank announced that it would expand its stock of asset purchases (from an initial £200 billion increase announced in March) by another £100 billion, to £745 billion. The U.K. economy shrank 1.6% seasonally-adjusted at annual rates through the first quarter of 2020, its weakest level in over 10 years.

Japanese GDP contracted 7.1% in seasonally-adjusted annualized terms in the fourth quarter of 2019 as the country’s sales tax hike weakened consumer and business spending; an additional 2.2% decline in the first quarter of 2020 confirmed that Japan had fallen into recession for the first time in over four years. The Bank of Japan expanded monetary stimulus as pandemic pain worsened late in the period. Meanwhile, GDP in China shrank by 6.8% year-on-year and seasonally-adjusted in the first quarter of 2020, its worst pace in several decades, as consumer spending, exports and fixed-asset investments all were affected by the lockdowns in January and early February.

Market Developments

The S&P 500 Index finished the fiscal year up 7.51%, despite falling over 30% from peak to trough in February and March. Prior to the coronavirus onset, investors enjoyed the continuation of the modest U.S. economic expansion, reasonably strong corporate profitability and accommodative Fed monetary policy. Over the full reporting period, mega-large-cap stocks, a narrow group of companies with unusually large weights in the broad equity index, outperformed, and growth companies in the information technology sector generally led, while many value stocks underperformed. Commodity-sensitive stocks, particularly those within the energy sector, lagged the most.

U.S. large-cap stocks (Russell 1000 Index) finished the reporting period up 7.48%; small-cap stocks (Russell 2000 Index) were hit harder in the coronavirus-driven selloff toward the end of the year, as investors tended to avoid smaller companies with lesser financial strength, and finished the period down 6.63%.

Despite continued accommodative monetary policy from the ECB, European equities lagged, as fears over trade wars and COVID-19 grew. The MSCI Europe Index (Net) fell 6.78% in U.S. dollar terms and was 5.71% lower in euros; the euro finished down 1.14% versus the U.S. dollar for the period. The MSCI ACWI Index (Net), a proxy for global equities in both developed and emerging markets, climbed 2.11% in U.S. dollar terms.

The FTSE UK Series All-Share Index was hit hard in the second half of the year; the index lost 15.55% in U.S. dollar terms over the full reporting period, while it fell 12.99% in sterling.

Emerging-market equities were down. Despite gaining 18.08% in the final quarter, the MSCI Emerging Markets Index (Net) finished the reporting period down 3.39% in U.S. dollar terms. U.S.-China trade news generally drove performance for the first six months; however, a mid-period rally after the U.S. and China agreed to a “phase-one” trade deal was wiped out after COVID-19 concerns accelerated.

Global government bonds outperformed global high-yield bonds as the rapid worldwide escalation of COVID-19 at the end of the period hit the bond market’s most economically sensitive sectors the hardest. The U.S. high-yield market, as measured by the ICE BofA US High Yield Constrained Index, was off 1.17% during the reporting period, while global fixed income, as measured by the Bloomberg Barclays Global Treasury Index, did better and climbed 3.75%.

A continuing theme for U.S. fixed-income markets was the inverted yield curve. In August, the spread between

2-year and 5-year Treasurys yields inverted, as did the spread between 3-year and 5-year Treasurys. Notably, the spread between 3-month and 10-year rates inverted for only the second time in about 12 years early in the reporting period, a signal of impending recession to some market watchers. The differential reverted in October, turned negative again for a short time in February, and then stayed in positive territory from March onward.

 

 

New Covenant Funds / Annual Report / June 30, 2020

   3 


NEW COVENANT FUNDS — JUNE 30, 2020 (Unaudited) (Continued)

 

Yields for 10-year U.S. government bonds ended the period down 134 basis points at 0.66%, after hitting an all-time low of 0.54% in March as investors rushed to “safe-haven” securities; 2-year yields declined during the fiscal year to finish down 159 basis points at 0.16%.

Inflation-sensitive assets, such as commodities and Treasury inflation-protected securities, were mixed. The Bloomberg Commodity Total Return Index (which represents the broad commodity market) finished down 17.38% over the full one-year period, after an oil-production impasse between Saudi Arabia and Russia created a downdraft in the oil market around the same time that demand contracted due to the coronavirus pandemic; the Bloomberg Barclays 1-10 Year US TIPS Index (USD) moved 5.75% higher during the reporting period.

U.S. investment-grade corporate debt was higher; the Bloomberg Barclays US Corporate Investment Grade Index returned 9.50% as investors remained eager to buy higher-yielding securities. U.S. asset- and mortgage-backed securities also managed to rise during the fiscal year.

Despite coronavirus concerns and the steep drop in global oil prices, which led to a declining outlook for economic growth in the region, the J.P. Morgan Global Bond Index-Emerging Markets (GBI-EM) Global Diversified Index, which tracks local-currency-denominated EM bonds, declined 2.82% in U.S. dollar terms. The J.P. Morgan Emerging Markets Bond Index (EMBI) Global Diversified Index, which tracks EMD denominated in external currencies (such as the U.S. dollar), eked out a 0.49% gain for the fiscal year.

Our view

Despite mounting infections, hospitalizations and deaths from the pandemic—as well as the unprecedented stoppage of global economic activity—stock markets around the world managed to mount a resounding comeback over the final quarter of the fiscal year.

Our working assumption is that there will likely be another significant wave of infections going into the fall-to-winter flu season. The question is, how disruptive will it be to the global economy?

Investors seem to be ignoring the possibility that, even if a sustainable recovery gets under way, it may be a long time before most companies achieve previous levels of profitability. The after-tax profit margins of U.S. domestic businesses were already on a declining trend before the onset of the virus and shelter-in-place orders.

Margins will likely remain well below their previous peaks around the globe as long as the COVID-19 is a severe health threat. Most businesses, to one degree or another, are expected to endure lower sales, higher costs and a decline in productivity. There also will probably be a deadweight loss for industries needing extra inventory on hand in order to guard against future shortages and supply-chain disruptions caused by periodic flare-ups of the virus. “Just-in-time” inventory management will turn into “just-in-case” inventory management, tying up cash. Supply chains will likely be diversified over time, a process that was already under way as a result of the trade war between China and the US.

The extraordinary March-to-April lockdown in the U.S. necessitated fiscal measures unparalleled in scope and speed of implementation. The result has been a tsunami of red ink. The Congressional Budget Office projected the deficit will reach nearly 18% of U.S. gross domestic product (GDP) in 2020 and improve to only 10% of GDP in 2021. U.S. debt relative to GDP is forecast to rise to 108% by the end of fiscal year 2021 versus 79% at the end of fiscal year 2019.

These are unsettling numbers. Many investors wonder whether such a surge in government debt will provoke an economic crisis even after the pandemic runs its course. We don’t think that it will. The U.S. has a large, dynamic economy and deep capital markets. If investors were truly concerned about the long-run fiscal viability of the U.S., the value of its currency would have been falling more convincingly and long-term U.S. interest rates would have been going up (not down).

The policies pursued by the Fed have also served to keep interest rates low. Its balance sheet has ballooned this year, far exceeding the increases logged by the ECB or the BOJ.

The U.S. certainly is not alone in engaging in a huge fiscal response that is then monetized by the central bank. In our opinion, governments are treating the fight against COVID-19 like they would a war. As many resources as possible are being thrown into the fight, supported by debt issuance that is absorbed primarily by the central banks.

 

 

4  

New Covenant Funds / Annual Report / June 30, 2020


 

 

Those who remember the 1970s are understandably worried by the inflationary potential of such extraordinary debt monetization. If it does lead to inflation, it probably won’t be any time soon, in our opinion. Given our view that the economy will remain below full utilization of labor or productive capacity for the next few years, we believe inflation is unlikely to break out of the 0%-to-3% range it has been in for much of the past decade.

Investors do not seem too concerned about the speed of Europe’s economic recovery or the impact of the health crisis on countries’ fiscal positions. The bond yields of the most economically-fragile European countries remain close to those of German bund yields, although spreads have widened from pre-pandemic levels. The ECB has been quite successful in short-circuiting the liquidity crisis and flight-to-safety that threatened the euro area’s financial structure.

This laid-back view would be severely challenged if the 27 members of the EU fail to approve a 750 billion emergency fund when the EU’s leaders meet again in July. Although Germany has joined forces with France to push the package forward, there is still resistance from the likes of the Netherlands, Sweden, Denmark and Austria. There is disagreement, for example, over the split between grants and loans. Italy and Spain would be the biggest beneficiaries of grants to help offset their current fiscal dilemmas, while the remainder of the package would be distributed as conditional loans. Paying for the grants is an even greater source of contention. The European Commission (EC) would be empowered to issue long-term bonds, which would be paid down by giving the EC taxation authority (a power it currently does not have). The only alternative would be to increase contributions from member states (a bigger problem now that the U.K. is leaving the EU) or enact spending cuts in other parts of the EU budget.

Speaking of the U.K., the COVID-19 crisis has pushed Brexit concerns off the front pages. As the 31 December transition deadline nears, it could become an economic factor nearly as important as a second wave of the virus. If a deal on the UK-EU trading relationship is to be delivered before year-end, it probably should be concluded by the end of October so that countries have time to approve the treaty into law. Any free-trade agreement would require the U.K. to agree to permanently align its rules and regulations to those of the EU on an array of matters. The U.K. would essentially bear much of the EU membership cost without having a voice at the table that sets the rules. It is becoming increasingly likely that there either will be a modest agreement that includes tariffs or, in the worst-case scenario, a no-deal result that falls back on the World Trade Organization’s most-favored-nation rules.

While many factors determine equity performance, in the emerging-market space it has correlated with the extent of economic disruption caused by the virus. Asian and central European countries have pulled back the most on their mandates to restrict movement and social interaction. Latin America and India have eased some of those constraints, but not nearly as much as the other two regions. We continue to keep close tabs on China, as it was the first to lock down and first to unlock activity. We expect recovery patterns elsewhere in the world to follow that of China.

Central banks in the emerging world are also doing their part to help restore their economies. Interest rates have come down in almost every country in recent months to record-low levels in many cases. In addition, a dozen emerging-country central banks—including those with shakier reputations, such as South Africa and Turkey—are either buying or planning to purchase their government’s debt. We think this debt-monetization may lead to an inflation problem in the future.

It’s been said many times that bull markets climb a wall of worry. Maybe now they must learn to swim through waves of worry that include:

 

  

The possibility of a second wave of COVID-19 infections forcing another round of extensive lockdowns and shelter-in-place orders that could lead to a double-dip recession

 

  

A possible break down of political consensus regarding the way forward as economies struggle to regain strength

 

  

The likelihood that economic recovery will take at least a year, and likely longer—and that few economies are likely to rebound fully to pre-pandemic levels, even if most countries manage to avoid a disruptive second wave of the virus

 

 

New Covenant Funds / Annual Report / June 30, 2020

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NEW COVENANT FUNDS — JUNE 30, 2020 (Unaudited) (Concluded)

 

  

Expectations that companies will face higher costs and increased inefficiencies; that taxes will almost certainly rise across many economies in the years ahead; and that bankruptcies and defaults will climb as government aid programs end

We believe that an ebb and flow of assorted concerns in the coming months will continue to spark volatility across financial markets. Such periods of instability are expected in any long-term investing plan; as such, SEI is just as prepared as always to navigate the current wave of deep uncertainty.

Sincerely,

 

LOGO

William T. Lawrence, CFA

Head and Chief Investment Officer of Traditional Asset Management

 

 

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New Covenant Funds / Annual Report / June 30, 2020


MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

June 30, 2020 (Unaudited)

New Covenant Growth Fund

 

I. Objective

The New Covenant Growth Fund’s (the “Fund”) investment objective is long-term capital appreciation. A modest amount of dividend income may be provided by the Fund’s equity securities.

II. Investment Approach

The Fund uses a sub-adviser to manage the Fund under the supervision of SEI Investments Management Corporation (SIMC). The sole sub-adviser as of June 30, 2020, was Parametric Portfolio Associates LLC (Parametric). There were no sub-adviser changes during the fiscal period.

III. Return vs. Benchmark

For the one-year period ending June 30, 2020, the Fund returned 7.18%. In order to provide broader exposure to U.S. equity markets, the Fund changed its investment strategy during the reporting period. In connection with this strategy change, the Fund’s primary benchmark was changed from the Russell 1000® Index to the Russell 3000® Index, effective December 18, 2019. The Russell 1000® Index returned 9.19% for the period from July

1, 2019 through December 18, 2019, while the Russell 3000® Index returned -2.29% for the period from December 18, 2019 through June 30, 2020. Over the full fiscal year, the Russell 3000® Index returned 6.53%.

IV. Fund Attribution

The fiscal year ended up producing positive returns for equity investors after a year full of volatility as investors struggled to account for the economic effects of the COVID-19 pandemic. While the initial reaction to the virus in March 2020 resulted in a sharp drop in equities, markets recovered most of the losses over the next three months as monetary and fiscal stimulus actions taken by the U.S. government to help the economy were viewed positively by investors.

Information technology and consumer discretionary were the best-performing sectors during the full fiscal year. Both sectors especially benefited over the final quarter of the period as investors perceived them to provide a solution to the problems caused by the pandemic. Information technology led as a large portion of the domestic workforce began working from home during the lockdowns; consumer discretionary also outperformed as the sector benefited from stay-at-home orders and an increase in online shopping. Energy was the worst-performing sector as global fossil-fuel consumption plummeted due to a sharp

decrease in global travel as the virus spread; financials also underperformed as lower rates impacted the profit margins of banks.

In this environment, the Fund outperformed as its ESG tilt had a positive effect on performance. Sectors that held up better in the downturn—such as information technology, health care and consumer staples—typically were not prohibited by the Fund’s ESG guidelines; as a result, the Fund was overweight those names during the period. Underweights to real estate and industrials—as a result of their ESG screens—were also beneficial as both sectors underperformed due to the effects of the pandemic.

 

AVERAGE ANNUAL TOTAL RETURN 1 
   One Year
Return
  Annualized
3 Year
Return
  Annualized
5 Year
Return
  Annualized
10 Year
Return
  Annualized
Inception
to Date
 
New Covenant Growth Fund  7.18%   9.65%   8.45%   11.71%   4.86% 
Russell 3000® Index  6.53%   10.04%   10.03%   13.72%   11.68% 
Russell 1000® Index  7.48%   10.64%   10.47%   13.97%   11.76% 
 

 

 

New Covenant Funds / Annual Report / June 30, 2020

   7 


MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

June 30, 2020 (Unaudited)

New Covenant Growth Fund (Concluded)

 

Comparison of Change in the Value of a $10,000 Investment in the New Covenant Growth Fund, versus the Russell 3000® Index and Russell 1000® Index.

 

LOGO

 

1

For the periods ended June 30, 2020. Past performance is not an indication of future performance. Fund Shares were offered beginning 7/1/99. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that year; absent fee waivers and reimbursements, performance would have been lower.

 

 

 

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New Covenant Funds / Annual Report / June 30, 2020


MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

June 30, 2020 (Unaudited)

New Covenant Income Fund

 

I. Objective

The New Covenant Income Fund’s (the “Fund”) investment objective is a high level of current income with preservation of capital.

II. Investment Approach

The Fund uses a multi-manager approach, relying on a number of sub-advisers with different investment approaches to manage portions of the Fund’s portfolio, under the general supervision of SEI Investments Management Corporation (SIMC). The Fund utilized the following sub-advisers as of June 30, 2020: Income Research & Management, Western Asset Management Company and Western Asset Management Company Limited. There were no sub-adviser changes during the fiscal period.

III. Return vs. Benchmark

For the one-year period ending June 30, 2020, the Fund returned 5.91%. The Fund’s primary benchmark—the Bloomberg Barclays Intermediate US Aggregate Bond Index—returned 6.60%.

IV. Fund Attribution

An escalation of trade tensions between the U.S. and China early in the fiscal year created uncertainty in the market. Soon after the signing of a “phase one” trade deal in January appeared to calm investor concerns, market volatility escalated as the COVID-19 virus began to spread rapidly from China around the globe, resulting in a global pandemic. As noted in the shareholder letter, governments induced economic shutdowns and shelter-in-place orders, caused a severe contraction of economic activity. The Federal Reserve (Fed) lowered rates three times in 25-basis-point increments prior to the virus outbreak; the central bank then helped support markets as the virus impact magnified, with two emergency meetings in March that lowered the federal-funds target rate by 150 basis points to 0-0.25%. Credit spreads narrowed through the reporting period before widening dramatically in March to nearly 375 basis points, although spreads retraced over three quarters of the widening by the end of the reporting period. All non-Treasury sectors suffered losses during the March selloff. For the fiscal year, only agency mortgage-backed securities (MBS) and asset-backed securities (ABS) produced positive excess returns. As a result of Fed action and the flight to safety, Treasury yields declined sharply throughout the year, with 2-year yields declining 160 basis points, 10-year yields falling 135 basis points and 30-year yields off 112 basis points.

With the sharp decline in overall yields during the reporting period, the Fund’s absolute returns were strong, although it underperformed its primary benchmark. An overweight to and selection within commercial mortgage-backed securities (CMBS) detracted as economic concerns developed late in the period. Security selection within student loans also detracted, while selection within agency MBS through specified pools added to relative performance. An overweight to investment-grade corporates enhanced performance, especially within financials and industrials. An overweight to ABS was positive. The Fund’s yield-curve posture, which oscillated between long and short during the period, contributed to relative outperformance.

Western Asset Management outperformed primarily due to its corporate overweight, as well as strong selection within agency MBS through specified pools. Income Research & Management underperformed the benchmark and was hurt by its overweight to CMBS; selection within financials contributed to performance.

The Fund used Treasury futures, eurodollar futures and to-be-announced (TBA) forward contracts to effectively manage duration (a measure of a bond’s price sensitivity to changes in interest rates), yield-curve and market exposures. (TBA contracts confer the obligation to buy or sell future debt obligations of the three U.S. government-sponsored agencies that issue or guarantee MBS—Fannie Mae, Freddie Mac and Ginnie Mae.) None of these had a meaningful impact on the Fund’s performance.

 

AVERAGE ANNUAL TOTAL RETURN 1 
   One Year
Return
  Annualized
3 Year
Return
  Annualized
5 Year
Return
  Annualized
10 Year
Return
  Annualized
Inception
to Date
 
New Covenant Income Fund  5.91%   3.90%   3.18%   2.95%   3.63% 
Bloomberg Barclays U.S. Intermediate Aggregate Bond Index  6.60%   4.28%   3.40%   3.14%   7.09% 
 

 

 

New Covenant Funds / Annual Report / June 30, 2020

   9 


MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

June 30, 2020 (Unaudited)

New Covenant Income Fund (Concluded)

 

Comparison of Change in the Value of a $10,000 Investment in the New Covenant Income Fund, versus the Bloomberg Barclays U.S. Intermediate Aggregate Bond Index.

 

LOGO

 

1

For the periods ended June 30, 2020. Past performance is not an indication of future performance. Fund Shares were offered beginning 7/1/99. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that year; absent fee waivers and reimbursements, performance would have been lower.

 

 

 

10  

New Covenant Funds / Annual Report / June 30, 2020


MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

June 30, 2020 (Unaudited)

New Covenant Balanced Growth Fund

 

I. Objective

The Balanced Growth Fund’s (the “Fund”) investment objective is to produce capital appreciation with less risk than would be present in a portfolio of only common stocks.

II. Investment Approach

The Fund’s assets are managed under the direction of SEI Investments Management Corporation (“SIMC”), which manages the Fund’s assets in a way that it believes will achieve the Fund’s investment objective. In order to achieve its investment objective, SIMC allocates the Fund’s assets primarily in shares of the New Covenant Growth Fund (the “Growth Fund”) and the New Covenant Income Fund (the “Income Fund”), with a majority of its assets generally invested in shares of the Growth Fund. Between 45% and 75% of the Fund’s net assets (with a neutral position of approximately 60% of the Fund’s net assets) are invested in shares of the Growth Fund, with the balance of its assets invested in shares of the Income Fund. The Growth and Income Funds, in turn, invest directly in securities in accordance with their own varying investment objectives and policies.

III. Return vs. Benchmark

For the one-year period ending June 30, 2020, the Fund returned 7.57%. During the fiscal year, the Fund’s primary benchmark was changed from the Russell 1000® Index to the Russell 3000® Index, effective January 24, 2020. The Russell 1000® Index returned 13.02% for the period from July 1, 2019 through January, 24, 2020, while the Russell 3000® Index returned -5.40% for the period from January, 24, 2020 through June 30, 2020. Over the full fiscal year, the Russell 3000® Index returned 6.53%.

IV. Fund Attribution

Equity and fixed-income markets both provided positive returns over the fiscal period after a year full of volatility as investors struggled to account for the economic effects of the COVID-19 pandemic and U.S. long-term interest rates declined.

Information technology and consumer discretionary were the best-performing sectors during the full fiscal year. Both sectors especially benefited over the final quarter of the period as investors perceived them to provide a solution to the problems caused by the pandemic. Information technology led as a large portion of the domestic workforce began working from home during the lockdowns; consumer discretionary also

outperformed as the sector benefited from stay-at-home orders and an increase in online shopping. Energy was the worst-performing sector as global fossil-fuel consumption plummeted due to a sharp decrease in global travel; financials also underperformed as lower rates impacted the profit margins of banks.

As noted in the shareholder letter, governments induced economic shutdowns and shelter-in-place orders, caused a severe contraction of economic activity. The Federal Reserve (Fed) lowered rates three times in 25-basis-point increments prior to the virus outbreak; the central bank then helped support markets as the virus impact magnified, with two emergency meetings in March that lowered the federal-funds target rate by 150 basis points to 0-0.25%. Credit spreads narrowed through the reporting period before widening dramatically in March to nearly 375 basis points, although spreads retraced over three quarters of the widening by the end of the reporting period. All non-Treasury sectors suffered losses during the March selloff. For the fiscal year, only agency mortgage-backed securities (MBS) and asset-backed securities (ABS) produced positive excess returns. As a result of Fed action and the flight to safety, Treasury yields declined sharply throughout the year, with 2-year yields declining 160 basis points, 10-year yields falling 135 basis points and 30-year yields off 112 basis points.

In the Growth Fund, outperformance was driven by its environmental, social and governance (ESG) tilt, which had a positive effect on performance. Sectors that held up better in the downturn—such as information technology, health care and consumer staples—typically were not prohibited by the Fund’s ESG guidelines; as a result, the Fund was overweight those names during the period. Underweights to real estate and industrials—as a result of their ESG screens—were also beneficial as both sectors underperformed due to the effects of the pandemic.

With the sharp decline in overall yields during the reporting period, the Income Fund’s absolute returns were strong, although it underperformed its primary benchmark. An overweight to and selection within commercial mortgage-backed securities (CMBS) detracted as economic concerns developed late in the period. Security selection within student loans also detracted, while selection within agency MBS through specified pools added to relative performance. An overweight to investment-grade corporates enhanced performance, especially within financials and industrials. An overweight to ABS was positive. The Fund’s yield-curve posture, which oscillated between long

 

 

 

New Covenant Funds / Annual Report / June 30, 2020

   11 


MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

June 30, 2020 (Unaudited)

New Covenant Balanced Growth Fund (Concluded)

 

and short during the period, contributed to relative outperformance.

The Income Fund used Treasury futures, eurodollar futures and to-be-announced (TBA) forward contracts to effectively manage duration (a measure of a bond’s price sensitivity to changes in interest rates), yield-curve and market exposures. (TBA contracts confer the obligation to buy or sell future debt obligations of the three U.S. government-sponsored agencies that issue or guarantee MBS—Fannie Mae, Freddie Mac and Ginnie Mae.) None of these had a meaningful impact on the Fund’s performance.

 

AVERAGE ANNUAL TOTAL RETURN 1,2 
   One Year
Return
  Annualized
3 Year
Return
  Annualized
5 Year
Return
  Annualized
10 Year
Return
  Annualized
Inception
to Date
 
New Covenant Balanced Growth Fund  7.57%   7.71%   6.58%   8.34%   5.33% 
Russell 3000® Index  6.53%   10.04%   10.03%   13.72%   11.68% 
Russell 1000® Index  7.48%   10.64%   10.47%   13.97%   11.76% 
Bloomberg Barclays U.S. Intermediate Aggregate Bond Index  6.60%   4.28%   3.40%   3.14%   7.09% 
Blended 60% Russell 3000® Index/40% Bloomberg Barclays U.S. Intermediate Aggregate Bond Index  7.22%   8.13%   7.65%   9.64%   5.98% 
Blended 60% Russell 1000® Index/40% Bloomberg Barclays U.S. Intermediate Aggregate Bond Index  7.69%   8.44%   7.89%   9.77%   8.77% 

Comparison of Change in the Value of a $10,000 Investment in the New Covenant Balanced Growth Fund versus the Russell 3000® Index, the Russell 1000® Index, Bloomberg Barclays U.S. Intermediate Aggregate Bond Index , Blended 60% Russell 3000® Index/40% Bloomberg Barclays U.S. Intermediate Aggregate Bond Index and Blended 60% Russell 1000® Index/40% Bloomberg Barclays U.S. Intermediate Aggregate Bond Index.

 

LOGO

 

1

For the periods ended June 30, 2020. Past performance is not an indication of future performance. Fund Shares were offered beginning 7/1/99. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that year; absent fee waivers and reimbursements, performance would have been lower.

2

This table compares the Fund’s average annual total returns to those of a broad based index and the Fund’s 60/40 Blended Benchmark, which consists of the Russell 3000® Index and the Bloomberg Barclays U.S. Intermediate Aggregate Bond Index. The Fund’s Blended Benchmark is designed to provide a useful comparison to the Fund’s overall performance and more accurately reflects the Fund’s investment strategy than the broad-based index.

 

 

 

12  

New Covenant Funds / Annual Report / June 30, 2020


MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

June 30, 2020 (Unaudited)

New Covenant Balanced Income Fund

 

I. Objective

The Balanced Income Fund’s (the “Fund”) investment objective is to produce current income and long-term growth of capital.

II. Investment Approach

The Fund’s assets are managed under the direction of SEI Investments Management Corporation (“SIMC”), which manages the Fund’s assets in a way that it believes will achieve the Fund’s investment objective. In order to achieve its investment objective, SIMC allocates the Fund’s assets primarily in shares of the New Covenant Growth Fund (the “Growth Fund”) and the New Covenant Income Fund (the “Income Fund”), with a majority of its assets generally invested in shares of the Income Fund. Between fifty percent and seventy-five percent of the Fund’s net assets (with a neutral position of approximately 65%) are invested in shares of the Income Fund, with the balance of its net assets invested in shares of the Growth Fund. The Growth and Income Funds, in turn, invest directly in securities in accordance with their own varying investment objectives and policies.

III. Return vs. Benchmark

For the one-year period ending June 30, 2020, the Fund returned 7.14%. During the fiscal year, the Fund’s primary benchmark was changed from the Russell 1000® Index to the Russell 3000® Index, effective January 24, 2020. The Russell 1000® Index returned 13.02% for the period from July 1, 2019 through January, 24, 2020, while the Russell 3000® Index return -5.40% for the period from January, 24, 2020 through June 30, 2020. Over the full fiscal year, the Russell 3000® Index returned 6.53%.

IV. Fund Attribution

Equity and fixed-income markets both provided positive returns over the fiscal period after a year full of volatility as investors struggled to account for the economic effects of the COVID-19 pandemic and U.S. long-term interest rates declined.

As noted in the shareholder letter, governments induced economic shutdowns and shelter-in-place orders, caused a severe contraction of economic activity. The Federal Reserve (Fed) lowered rates three times in 25-basis-point increments prior to the virus outbreak; the central bank then helped support markets as the virus impact magnified, with two emergency meetings in March that lowered the federal-funds target rate by 150 basis points to 0-0.25%. Credit spreads narrowed through

the reporting period before widening dramatically in March to nearly 375 basis points, although spreads retraced over three quarters of the widening by the end of the reporting period. All non-Treasury sectors suffered losses during the March selloff. For the fiscal year, only agency mortgage-backed securities (MBS) and asset-backed securities (ABS) produced positive excess returns. As a result of Fed action and the flight to safety, Treasury yields declined sharply throughout the year, with 2-year yields declining 160 basis points, 10-year yields falling 135 basis points and 30-year yields off 112 basis points.

While the initial reaction to the virus in March 2020 resulted in a sharp drop in equities, markets recovered most of the losses over the next three months as monetary and fiscal stimulus actions taken by the U.S. government to help the economy were viewed positively by investors.

The best-performing sectors during the year were those that investors perceived to provide a solution to the problems caused by the pandemic. Information technology led as a large portion of the domestic workforce began working from home during the lockdowns; consumer discretionary also outperformed as the sector benefited from stay-at-home orders and an increase in online shopping. Energy was the worst-performing sector as global fossil-fuel consumption plummeted due to a sharp decrease in global travel; financials also underperformed as lower rates impacted the profit margins of banks.

With the sharp decline in overall yields during the reporting period, the Income Fund’s absolute returns were strong, although it underperformed its primary benchmark. An overweight to and selection within commercial mortgage-backed securities (CMBS) detracted as economic concerns developed late in the period. Security selection within student loans also detracted, while selection within agency MBS through specified pools added to relative performance. An overweight to investment-grade corporates enhanced performance, especially within financials and industrials. An overweight to ABS was positive. The Fund’s yield-curve posture, which oscillated between long and short during the period, contributed to relative outperformance.

In the Growth Fund, outperformance was driven by its environmental, social and governance (ESG) tilt, which had a positive effect on performance. Sectors that held up better in the downturn—such as information technology, health care and consumer staples—typically

 

 

 

New Covenant Funds / Annual Report / June 30, 2020

   13 


MANAGEMENT’S DISCUSSION AND ANALYSIS OF FUND PERFORMANCE

June 30, 2020 (Unaudited)

New Covenant Balanced Income Fund (Concluded)

 

were not prohibited by the Fund’s ESG guidelines; as a result, the Fund was overweight those names during the period. Underweights to real estate and industrials—as a result of their ESG screens—were also beneficial as both sectors underperformed due to the effects of the pandemic.

The Income Fund used Treasury futures, eurodollar futures and to-be-announced (TBA) forward contracts to effectively manage duration (a measure of a bond’s price sensitivity to changes in interest rates), yield-curve and market exposures. (TBA contracts confer the obligation to buy or sell future debt obligations of the three U.S. government-sponsored agencies that issue or guarantee MBS���Fannie Mae, Freddie Mac and Ginnie Mae.) None of these had a meaningful impact on the Fund’s performance.

 

AVERAGE ANNUAL TOTAL RETURN 1,2 
   One Year
Return
  Annualized
3 Year
Return
  Annualized
5 Year
Return
  Annualized
10 Year
Return
  Annualized
Inception
to Date
 
New Covenant Balanced Income Fund  7.14%   6.15%   5.18%   6.06%   4.17% 
Russell 3000® Index  6.53%   10.04%   10.03%   13.72%   11.68% 
Russell 1000® Index  7.48%   10.64%   10.47%   13.97%   11.76% 
Bloomberg Barclays U.S. Intermediate Aggregate Bond Index  6.60%   4.28%   3.40%   3.14%   7.09% 
Blended 35% Russell 3000® Index/65% Bloomberg Barclays U.S. Intermediate Aggregate Bond Index  7.20%   6.66%   5.97%   6.99%   5.55% 
Blended 35% Russell 1000® Index/65% Bloomberg Barclays U.S. Intermediate Aggregate Bond Index  7.51%   6.85%   6.11%   7.06%   7.38% 

Comparison of Change in the Value of a $10,000 Investment in the New Covenant Balanced Income Fund, versus the Russell 3000® Index, Russell 1000® Index, Bloomberg Barclays U.S. Intermediate Aggregate Bond Index, Blended 35% Russell 3000® Index/65% Bloomberg Barclays U.S. Intermediate Aggregate Bond Index and Blended 35% Russell 1000® Index/65% Bloomberg Barclays U.S. Intermediate Aggregate Bond Index.

 

LOGO

 

1

For the periods ended June 30, 2020. Past performance is not an indication of future performance. Fund Shares were offered beginning 7/1/99. Returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. The returns for certain periods reflect fee waivers and/or reimbursements in effect for that year; absent fee waivers and reimbursements, performance would have been lower.

2

This table compares the Fund’s average annual total returns to those of a broad-based index and the Fund’s 35/65 Blended Benchmark, which consists of the Russell 3000® Index and the Bloomberg Barclays U.S. Intermediate Aggregate Bond Index. The Fund’s Blended Benchmark is designed to provide a useful comparison to the Fund’s overall performance and more accurately reflects the Fund’s investment strategy than the broad-based index.

 

 

 

14  

New Covenant Funds / Annual Report / June 30, 2020


SCHEDULE OF INVESTMENTS

June 30, 2020

New Covenant Growth Fund

 

 

Sector Weightings (Unaudited):

LOGO

Percentages are based on total investments.

 

   
Description  Shares   Market Value
($ Thousands)
 

 

COMMON STOCK — 98.0%

    

Bosnia and Herzegovina — 0.0%

    

RenaissanceRe Holdings Ltd

   248       $42 
    

 

 

 

Canada — 0.1%

    

Lululemon Athletica Inc *

   1,171    365 
    

 

 

 

Cayman Islands — 0.0%

    

Herbalife Nutrition Ltd *

   1,088    49 
    

 

 

 

Ireland — 1.0%

    

Accenture PLC, Cl A

   11,297    2,426 

Jazz Pharmaceuticals PLC *

   616    68 

Medtronic PLC

   19,976    1,832 

NortonLifeLock Inc

   13,065    259 

Perrigo Co PLC

   211    11 
    

 

 

 
     4,596 
    

 

 

 

Puerto Rico — 0.0%

    

Popular Inc

   1,507    56 
    

 

 

 

Switzerland — 0.0%

    

Garmin Ltd

   1,092    107 
    

 

 

 

United Kingdom — 0.1%

    

Healthpeak Properties Inc

   9,384    259 
    

 

 

 

United States — 96.8%

    

Communication Services — 8.2%

    

Activision Blizzard Inc

   8,807    668 

Alphabet Inc, Cl A *

   4,332    6,143 

Alphabet Inc, Cl C *

   4,333    6,125 

AT&T Inc

   124,429    3,761 

Bandwidth Inc, Cl A *

   821    104 

Cardlytics Inc *

   1,255    88 

Cargurus Inc, Cl A *

   1,369    35 

Cars.com Inc *

   4,178    24 

CenturyLink Inc

   872    9 

Charter Communications Inc, Cl A *

   1,859    948 

Cinemark Holdings Inc

   2,104    24 
   
Description  Shares   Market Value
($ Thousands)
 

 

COMMON STOCK (continued)

    

Cogent Communications Holdings Inc

   807       $62 

Comcast Corp, Cl A

   62,118    2,421 

DISH Network Corp, Cl A *

   1,451    50 

Electronic Arts Inc *

   2,676    353 

Emerald Holding Inc

   4,781    15 

Eventbrite Inc, Cl A *

   2,537    22 

EverQuote Inc, Cl A *

   1,468    85 

EW Scripps Co/The, Cl A

   3,299    29 

Facebook Inc, Cl A *

   34,781    7,898 

Fox Corp, Cl A

   1,372    37 

IMAX Corp *

   2,244    25 

Interpublic Group of Cos Inc/The

   8,487    146 

Iridium Communications Inc *

   366    9 

John Wiley & Sons Inc, Cl A

   236    9 

Liberty Broadband Corp, Cl A *

   113    14 

Liberty Broadband Corp, Cl C *

   405    50 

Liberty Media Corp-Liberty Formula One, Cl C *

   1,355    43 

Live Nation Entertainment Inc *

   181    8 

Madison Square Garden Entertainment Corp *

   39    3 

Match Group *

   703    75 

Meredith Corp

   1,401    20 

MSG Networks Inc *

   2,988    30 

New York Times Co/The, Cl A

   1,515    64 

Nexstar Media Group Inc, Cl A

   455    38 

Omnicom Group Inc

   10,137    553 

Scholastic Corp

   1,266    38 

Shenandoah Telecommunications Co

   1,286    63 

Sirius XM Holdings Inc

   7,153    42 

Spotify Technology SA *

   1,084    280 

Take-Two Interactive Software Inc *

   830    116 

TechTarget Inc *

   1,986    60 

TEGNA Inc

   3,052    34 

T-Mobile US Inc *

   4,039    421 

Twitter Inc *

   7,369    220 

Verizon Communications Inc

   57,853    3,189 

ViacomCBS Inc, Cl B

   1,000    23 

Walt Disney Co/The

   26,709    2,978 

World Wrestling Entertainment Inc, Cl A

   780    34 

Yelp Inc, Cl A *

   1,470    34 

Zillow Group Inc, Cl C *

   230    13 

Zynga Inc, Cl A *

   14,448    138 
    

 

 

 
     37,671 
    

 

 

 

Consumer Discretionary — 11.7%

    

1-800-Flowers.com Inc, Cl A *

   3,668    73 

Aaron’s Inc

   832    38 

Abercrombie & Fitch Co, Cl A

   2,970    32 

Adient PLC *

   2,126    35 

Adtalem Global Education Inc *

   1,460    45 

Advance Auto Parts Inc

   317    45 

Amazon.com Inc *

   6,217    17,152 
 

 

 

New Covenant Funds / Annual Report / June 30, 2020

   15 


SCHEDULE OF INVESTMENTS

June 30, 2020

New Covenant Growth Fund (Continued)

 

   
Description  Shares   Market Value
($ Thousands)
 

COMMON STOCK (continued)

    

AMC Networks Inc, Cl A *

   1,349       $32 

American Eagle Outfitters Inc

   3,416    37 

American Public Education Inc *

   1,831    54 

Aptiv PLC

   3,490    272 

Aramark

   260    6 

Asbury Automotive Group Inc *

   425    33 

At Home Group Inc *

   6,757    44 

AutoNation Inc *

   970    36 

AutoZone Inc *

   235    265 

Bed Bath & Beyond Inc

   2,963    31 

Best Buy Co Inc

   14,724    1,285 

Big Lots Inc

   1,758    74 

Bloomin’ Brands Inc

   2,259    24 

Booking Holdings Inc *

   563    896 

Boot Barn Holdings Inc *

   1,181    25 

BorgWarner Inc

   2,278    80 

Bright Horizons Family Solutions Inc *

   76    9 

Brinker International Inc

   1,180    28 

Brunswick Corp/DE

   839    54 

Buckle Inc/The

   1,885    30 

Burlington Stores Inc *

   482    95 

Cable One Inc

   79    140 

Callaway Golf Co

   2,383    42 

Camping World Holdings Inc, Cl A

   1,968    53 

Capri Holdings Ltd *

   1,319    21 

CarMax Inc *

   1,086    97 

Carnival Corp

   15,800    259 

Carter’s Inc

   471    38 

Carvana Co, Cl A *

   1,196    144 

Cavco Industries Inc *

   255    49 

Century Communities Inc *

   1,662    51 

Cheesecake Factory Inc/The

   1,236    28 

Chegg Inc *

   2,422    163 

Children’s Place Inc/The

   812    30 

Chipotle Mexican Grill Inc, Cl A *

   232    244 

Choice Hotels International Inc

   113    9 

Columbia Sportswear Co

   891    72 

Cooper Tire & Rubber Co

   1,668    46 

Cracker Barrel Old Country Store Inc

   323    36 

Dana Inc

   2,660    32 

Darden Restaurants Inc

   705    53 

Dave & Buster’s Entertainment Inc

   1,283    17 

Deckers Outdoor Corp *

   306    60 

Denny’s Corp *

   2,500    25 

Designer Brands Inc, Cl A

   3,316    22 

Dick’s Sporting Goods Inc

   1,054    43 

Dillard’s Inc, Cl A

   726    19 

Dine Brands Global Inc

   1,227    52 

Discovery Inc, Cl C *

   354    7 

Dollar General Corp

   2,783    530 

Dollar Tree Inc *

   1,707    158 

Domino’s Pizza Inc

   309    114 
   
Description  Shares   Market Value
($ Thousands)
 

COMMON STOCK (continued)

    

Dorman Products Inc *

   677       $45 

DR Horton Inc

   1,973    109 

Dunkin’ Brands Group Inc

   2,803    183 

eBay Inc

   24,197    1,269 

Etsy Inc *

   1,162    123 

Expedia Group Inc

   103    8 

Five Below Inc *

   410    44 

Floor & Decor Holdings Inc, Cl A *

   232    13 

Foot Locker Inc

   1,308    38 

Ford Motor Co

   36,252    220 

Fox Factory Holding Corp *

   749    62 

frontdoor Inc *

   251    11 

Gap Inc/The

   11,382    144 

General Motors Co

   11,713    296 

Gentex Corp

   3,795    98 

Gentherm Inc *

   1,113    43 

Genuine Parts Co

   109    9 

Goodyear Tire & Rubber Co/The

   690    6 

Graham Holdings Co, Cl B

   78    27 

Grand Canyon Education Inc *

   121    11 

Group 1 Automotive Inc

   479    32 

Grubhub Inc *

   1,289    91 

Guess? Inc

   2,341    23 

H&R Block Inc

   3,157    45 

Hanesbrands Inc

   13,319    150 

Harley-Davidson Inc

   306    7 

Hasbro Inc

   2,632    197 

Helen of Troy Ltd *

   304    57 

Hilton Grand Vacations Inc *

   3,016    59 

Hilton Worldwide Holdings Inc

   4,365    321 

Home Depot Inc/The

   16,979    4,253 

Hyatt Hotels Corp, Cl A

   135    7 

Installed Building Products Inc *

   694    48 

iRobot Corp *

   1,013    85 

Jack in the Box Inc

   658    49 

Johnson Outdoors Inc, Cl A

   659    60 

K12 Inc *

   2,452    67 

KB Home

   4,733    145 

Kohl’s Corp

   1,859    39 

Kontoor Brands Inc

   1,282    23 

L Brands Inc

   638    10 

Laureate Education Inc, Cl A *

   2,881    29 

La-Z-Boy Inc, Cl Z

   1,597    43 

LCI Industries

   483    56 

Lear Corp

   6,486    707 

Leggett & Platt Inc

   222    8 

Lennar Corp, Cl B

   728    34 

LGI Homes Inc *

   127    11 

Liberty Media Corp-Liberty SiriusXM, Cl C *

   234    8 

LKQ Corp *

   317    8 

Lowe’s Cos Inc

   15,716    2,124 

M/I Homes Inc *

   1,195    41 
 

 

 

16  

New Covenant Funds / Annual Report / June 30, 2020


 

 

   
Description  Shares   Market Value
($ Thousands)
 

COMMON STOCK (continued)

    

Macy’s Inc

   4,042       $28 

Madison Square Garden Sports Corp *

   39    6 

Malibu Boats Inc, Cl A *

   1,232    64 

Marriott International Inc/MD, Cl A

   3,599    309 

Marriott Vacations Worldwide Corp

   394    32 

Mattel Inc *

   14,805    143 

McDonald’s Corp

   11,361    2,096 

MDC Holdings Inc

   1,302    46 

Meritage Homes Corp *

   794    60 

Michaels Cos Inc/The *

   7,530    53 

Mohawk Industries Inc *

   127    13 

Monro Inc

   626    34 

Murphy USA Inc *

   422    48 

National Vision Holdings Inc *

   1,563    48 

Netflix Inc *

   6,295    2,864 

Newell Brands Inc

   605    10 

News Corp, Cl A

   829    10 

NIKE Inc, Cl B

   17,693    1,735 

Nordstrom Inc

   3,866    60 

Norwegian Cruise Line Holdings Ltd *

   14,956    246 

NVR Inc *

   13    42 

Office Depot

   19,011    45 

Ollie’s Bargain Outlet Holdings Inc *

   746    73 

OneSpaWorld Holdings Ltd

   3,063    15 

O’Reilly Automotive Inc *

   677    285 

Oxford Industries Inc

   665    29 

Papa John’s International Inc

   806    64 

Penske Automotive Group Inc

   957    37 

PetMed Express Inc

   2,172    77 

Planet Fitness Inc, Cl A *

   3,228    196 

Polaris Inc

   966    89 

Pool Corp

   54    15 

PulteGroup Inc

   5,125    174 

PVH Corp

   108    5 

Quotient Technology Inc *

   4,484    33 

Qurate Retail Inc *

   1,412    13 

Ralph Lauren Corp, Cl A

   690    50 

RealReal Inc/The *

   2,868    37 

Rent-A-Center Inc/TX, Cl A

   1,764    49 

RH *

   224    56 

Roku Inc, Cl A *

   1,351    157 

Ross Stores Inc

   3,209    274 

Royal Caribbean Cruises Ltd

   8,804    443 

Rubicon Project *

   1,140    8 

Sally Beauty Holdings Inc *

   2,794    35 

SeaWorld Entertainment Inc *

   1,594    24 

Service Corp International/US

   250    10 

ServiceMaster Global Holdings Inc *

   1,327    47 

Shake Shack Inc, Cl A *

   157    8 

Shutterstock Inc

   1,176    41 

Signet Jewelers Ltd

   2,402    25 

Six Flags Entertainment Corp

   248    5 
   
Description  Shares   Market Value
($ Thousands)
 

COMMON STOCK (continued)

    

Sleep Number Corp *

   1,033       $43 

Stamps.com Inc *

   630    116 

Standard Motor Products Inc

   943    39 

Starbucks Corp

   16,902    1,244 

Steven Madden Ltd

   1,178    29 

Stitch Fix Inc, Cl A *

   1,950    49 

Strategic Education Inc

   331    51 

Tapestry Inc

   2,803    37 

Target Corp

   6,577    789 

Taylor Morrison Home Corp, Cl A *

   12,743    246 

Tempur Sealy International Inc *

   568    41 

Tenneco Inc, Cl A *

   3,599    27 

Tesla Inc *

   2,039    2,202 

Texas Roadhouse Inc, Cl A

   889    47 

Thor Industries Inc

   721    77 

Tiffany & Co

   483    59 

TJX Cos Inc/The

   14,736    745 

Toll Brothers Inc

   2,246    73 

TopBuild Corp *

   476    54 

Tractor Supply Co

   2,377    313 

TRI Pointe Group Inc *

   3,236    48 

TripAdvisor Inc

   1,712    33 

Ulta Beauty Inc *

   279    57 

Under Armour Inc, Cl C *

   556    5 

Urban Outfitters Inc *

   417    6 

Vail Resorts Inc

   46    8 

VF Corp

   4,023    245 

Visteon Corp *

   551    38 

Wayfair Inc, Cl A *

   882    174 

Wendy’s Co/The

   11,419    249 

Whirlpool Corp

   638    83 

Williams-Sonoma Inc

   160    13 

Wingstop Inc

   582    81 

Winnebago Industries Inc

   191    13 

Wolverine World Wide Inc

   1,511    36 

WW International Inc *

   1,262    32 

Wyndham Destinations Inc

   4,669    132 

Wyndham Hotels & Resorts Inc

   189    8 

Yum China Holdings Inc

   1,913    92 

Yum! Brands Inc

   8,356    726 

Zumiez Inc *

   1,593    44 
    

 

 

 
     53,850 
    

 

 

 

Consumer Staples — 6.2%

    

Andersons Inc/The

   1,960    27 

Archer-Daniels-Midland Co

   4,581    183 

B&G Foods Inc

   2,907    71 

Beyond Meat Inc *

   535    72 

BJ’s Wholesale Club Holdings Inc *

   2,099    78 

Bunge Ltd

   1,596    66 

Calavo Growers Inc

   571    36 

Campbell Soup Co

   10,354    514 

Casey’s General Stores Inc

   319    48 
 

 

 

New Covenant Funds / Annual Report / June 30, 2020

   17 


SCHEDULE OF INVESTMENTS

June 30, 2020

New Covenant Growth Fund (Continued)

 

   
Description  Shares   Market Value
($ Thousands)
 

COMMON STOCK (continued)

    

Chefs’ Warehouse Inc/The *

   1,366       $19 

Church & Dwight Co Inc

   1,714    132 

Clorox Co/The

   3,366    738 

Coca-Cola Co/The

   65,159    2,911 

Colgate-Palmolive Co

   14,526    1,064 

Conagra Brands Inc

   14,479    509 

Costco Wholesale Corp

   6,288    1,907 

Coty Inc, Cl A

   1,026    5 

Darling Ingredients Inc *

   1,847    45 

Edgewell Personal Care Co *

   1,589    50 

Energizer Holdings Inc

   231    11 

Estee Lauder Cos Inc/The, Cl A

   2,390    451 

Flowers Foods Inc

   9,872    221 

Fresh Del Monte Produce Inc

   1,442    36 

General Mills Inc

   13,887    856 

Grocery Outlet Holding Corp *

   1,603    65 

Hain Celestial Group Inc/The *

   461    15 

Hershey Co/The

   2,295    297 

HF Foods Group Inc *

   2,213    20 

Hormel Foods Corp

   4,797    232 

Hostess Brands Inc, Cl A *

   3,470    42 

Ingredion Inc

   1,110    92 

J & J Snack Foods Corp

   274    35 

J M Smucker Co/The

   7,294    772 

John B Sanfilippo & Son Inc

   544    46 

Kellogg Co

   6,713    443 

Keurig Dr Pepper Inc

   18,064    513 

Kimberly-Clark Corp

   6,484    917 

Kraft Heinz Co/The

   4,224    135 

Kroger Co/The

   25,293    856 

Lamb Weston Holdings Inc

   594    38 

Lancaster Colony Corp

   319    49 

McCormick & Co Inc/MD

   2,916    523 

Medifast Inc

   533    74 

Mondelez International Inc, Cl A

   17,402    890 

Monster Beverage Corp *

   2,682    186 

National Beverage Corp *

   975    59 

New Age Beverages Corp *

   27,322    42 

PepsiCo Inc

   28,780    3,806 

Performance Food Group Co *

   1,023    30 

Pilgrim’s Pride Corp *

   355    6 

Post Holdings Inc *

   108    9 

PriceSmart Inc

   690    42 

Procter & Gamble Co/The

   34,144    4,083 

Sanderson Farms Inc

   297    34 

SpartanNash Co

   1,252    27 

Spectrum Brands Holdings Inc

   183    8 

Sprouts Farmers Market Inc *

   6,575    168 

Sysco Corp

   19,266    1,053 

Tootsie Roll Industries Inc

   1,504    52 

TreeHouse Foods Inc *

   237    10 

Tyson Foods Inc, Cl A

   2,073    124 
   
Description  Shares   Market Value
($ Thousands)
 

COMMON STOCK (continued)

    

US Foods Holding Corp *

   2,211       $44 

Walgreens Boots Alliance Inc

   8,946    379 

Walmart Inc

   18,551    2,222 

WD-40 Co

   259    51 
    

 

 

 
     28,539 
    

 

 

 

Energy — 2.4%

    

Antero Midstream Corp

   7,912    40 

Apache Corp

   7,933    107 

Baker Hughes Co, Cl A

   4,496    69 

Cabot Oil & Gas Corp

   3,306    57 

Cactus Inc, Cl A

   1,525    31 

ChampionX Corp *

   383    4 

Cheniere Energy Inc *

   1,265    61 

Chesapeake Energy Corp *

   164    1 

Chevron Corp

   26,616    2,375 

Cimarex Energy Co

   995    27 

CNX Resources Corp *

   6,091    53 

Concho Resources Inc

   142    7 

ConocoPhillips

   28,755    1,208 

Continental Resources Inc/OK

   337    6 

Devon Energy Corp

   8,276    94 

Diamond S Shipping Inc *

   3,276    26 

Diamondback Energy Inc

   133    6 

Dril-Quip Inc *

   1,072    32 

EOG Resources Inc

   6,126    310 

EQT Corp

   2,732    33 

Equitrans Midstream Corp

   2,185    18 

Exxon Mobil Corp

   59,127    2,644 

Frank’s International NV *

   9,174    20 

Golar LNG Ltd

   3,888    28 

Halliburton Co

   4,450    58 

Helmerich & Payne Inc

   1,494    29 

Hess Corp

   4,195    217 

HollyFrontier Corp

   3,119    91 

International Seaways Inc

   1,773    29 

Kinder Morgan Inc

   21,442    325 

Kosmos Energy Ltd

   2,007    3 

Magnolia Oil & Gas Corp *

   3,984    24 

Marathon Oil Corp

   5,472    33 

Marathon Petroleum Corp

   7,000    262 

Murphy Oil Corp

   449    6 

Nabors Industries Ltd

   367    14 

National Oilwell Varco Inc

   482    6 

Noble Energy Inc

   6,179    55 

Occidental Petroleum Corp

   8,202    150 

Oceaneering International Inc *

   3,376    22 

ONEOK Inc

   3,505    116 

Parsley Energy Inc, Cl A

   2,802    30 

Patterson-UTI Energy Inc

   4,952    17 

PBF Energy Inc, Cl A

   363    4 

Phillips 66

   5,367    386 

Pioneer Natural Resources Co

   1,910    187 
 

 

 

18  

New Covenant Funds / Annual Report / June 30, 2020


 

 

   
Description  Shares   Market Value
($ Thousands)
 

COMMON STOCK (continued)

    

Range Resources Corp

   2,413       $14 

RPC Inc

   10,482    32 

Schlumberger Ltd

   41,175    757 

Southwestern Energy Co *

   21,739    56 

Targa Resources Corp

   11,252    226 

Transocean Ltd *

   8,264    15 

Valero Energy Corp

   4,715    277 

Williams Cos Inc/The

   11,002    209 

WPX Energy Inc *

   3,940    25 
    

 

 

 
     10,932 
    

 

 

 

Financials — 10.6%

    

Affiliated Managers Group Inc

   910    68 

Aflac Inc

   6,398    231 

AGNC Investment Corp

   2,838    37 

Alleghany Corp

   15    7 

Allegiance Bancshares Inc

   1,318    33 

Allstate Corp/The

   3,458    335 

Ally Financial Inc

   1,575    31 

American Express Co

   9,360    891 

American Financial Group Inc/OH

   449    28 

American Homes 4 Rent, Cl A ‡

   1,974    53 

American International Group Inc

   8,217    256 

American National Insurance

   421    30 

Ameriprise Financial Inc

   1,250    188 

Ameris Bancorp

   1,129    27 

AMERISAFE Inc

   743    45 

Annaly Capital Management Inc ‡

   8,922    59 

Aon PLC, Cl A

   2,921    563 

Apollo Commercial Real Estate Finance Inc

   2,686    26 

Arch Capital Group Ltd *

   2,404    69 

Argo Group International Holdings Ltd

   750    26 

ARMOUR Residential REIT Inc

   2,854    27 

Arthur J Gallagher & Co

   743    72 

Artisan Partners Asset Management Inc, Cl A

   1,589    52 

Assetmark Financial Holdings Inc *

   1,796    49 

Associated Banc-Corp

   4,274    58 

Assurant Inc

   87    9 

Assured Guaranty Ltd

   994    24 

Athene Holding Ltd, Cl A *

   1,071    33 

Atlantic Union Bankshares Corp

   1,302    30 

Axis Capital Holdings Ltd

   825    33 

Axos Financial Inc *

   1,657    37 

Banc of California Inc

   2,959    32 

BancorpSouth Bank

   1,525    35 

Bank of America Corp

   115,778    2,750 

Bank of Hawaii Corp

   1,051    65 

Bank of Marin Bancorp

   1,079    36 

Bank of New York Mellon Corp/The

   12,656    489 

Bank of NT Butterfield & Son Ltd/The

   1,324    32 

Bank OZK

   366    9 

BankUnited Inc

   2,418    49 

Banner Corp

   851    32 
   
Description  Shares   Market Value
($ Thousands)
 

COMMON STOCK (continued)

    

Berkshire Hathaway Inc, Cl B *

   28,456       $5,080 

Berkshire Hills Bancorp Inc

   1,501    17 

BGC Partners Inc, Cl A

   8,389    23 

BlackRock Inc, Cl A

   1,878    1,022 

Blackstone Mortgage Trust Inc, Cl A

   1,347    32 

BOK Financial Corp

   568    32 

Boston Private Financial Holdings Inc

   4,112    28 

Bridge Bancorp Inc

   1,467    34 

Brighthouse Financial Inc *

   268    7 

Brown & Brown Inc

   290    12 

Bryn Mawr Bank Corp

   1,221    34 

Camden National Corp

   1,097    38 

Capital One Financial Corp

   4,592    287 

Capitol Federal Financial Inc

   3,529    39 

Capstead Mortgage Corp

   6,235    34 

Cathay General Bancorp

   1,291    34 

Cboe Global Markets Inc

   99    9 

Central Pacific Financial Corp

   1,651    26 

Charles Schwab Corp/The

   13,043    440 

Chimera Investment Corp

   2,402    23 

Chubb Ltd

   6,169    781 

Cincinnati Financial Corp

   891    57 

CIT Group Inc

   1,060    22 

Citigroup Inc

   29,852    1,525 

Citizens Financial Group Inc

   2,381    60 

City Holding Co

   607    40 

CME Group Inc, Cl A

   4,726    768 

CNA Financial Corp

   253    8 

Cohen & Steers Inc

   764    52 

Colony Credit Real Estate Inc

   3,608    25 

Columbia Banking System Inc

   1,223    35 

Comerica Inc

   1,232    47 

Commerce Bancshares Inc/MO

   1,488    88 

Community Bank System Inc

   710    40 

ConnectOne Bancorp Inc

   1,891    30 

Credit Acceptance Corp *

   177    74 

Cullen/Frost Bankers Inc

   850    64 

CVB Financial Corp

   2,268    43 

Discover Financial Services

   26,226    1,314 

E*TRADE Financial Corp

   1,729    86 

Eagle Bancorp Inc

   1,035    34 

East West Bancorp Inc

   1,710    62 

eHealth Inc *

   512    50 

Ellington Financial Inc

   2,748    32 

Enterprise Financial Services Corp

   1,063    33 

Equitable Holdings Inc

   432    8 

Erie Indemnity Co, Cl A

   433    83 

Essent Group Ltd *

   970    35 

Evercore Inc, Cl A

   659    39 

Everest Re Group Ltd

   179    37 

FactSet Research Systems Inc

   306    101 

FB Financial Corp

   1,250    31 
 

 

 

New Covenant Funds / Annual Report / June 30, 2020

   19 


SCHEDULE OF INVESTMENTS

June 30, 2020

New Covenant Growth Fund (Continued)

 

   
Description  Shares   Market Value
($ Thousands)
 

COMMON STOCK (continued)

    

Federal Agricultural Mortgage Corp, Cl C

   597       $38 

Federated Hermes Inc, Cl B

   1,492    35 

Fidelity National Financial Inc

   1,063    33 

Fifth Third Bancorp

   4,599    89 

First American Financial Corp

   814    39 

First BanCorp/Puerto Rico

   4,571    26 

First Busey Corp

   1,790    33 

First Citizens BancShares Inc/NC, Cl A

   94    38 

First Commonwealth Financial Corp

   3,365    28 

First Financial Bancorp

   1,921    27 

First Financial Bankshares Inc

   1,378    40 

First Hawaiian Inc

   3,126    54 

First Horizon National Corp

   3,007    30 

First Merchants Corp

   1,182    33 

First Midwest Bancorp Inc/IL

   2,129    28 

First Republic Bank/CA

   831    88 

FirstCash Inc

   612    41 

FNB Corp/PA

   3,907    29 

Franklin Resources Inc

   6,856    144 

Fulton Financial Corp

   2,789    29 

Genworth Financial Inc, Cl A *

   10,439    24 

German American Bancorp Inc

   1,414    44 

Globe Life Inc

   108    8 

Goldman Sachs Group Inc/The

   3,960    783 

Goosehead Insurance Inc, Cl A *

   215    16 

Great Western Bancorp Inc

   1,390    19 

Hancock Whitney Corp

   1,142    24 

Hannon Armstrong Sustainable

    

Infrastructure Capital Inc

   30,657    873 

Hanover Insurance Group Inc/The

   694    70 

HarborOne Bancorp Inc *

   4,621    39 

Hartford Financial Services Group Inc/The

   4,042    156 

Heartland Financial USA Inc

   1,003    34 

Heritage Financial Corp/WA

   1,744    35 

Home BancShares Inc/AR

   2,523    39 

HomeStreet Inc

   1,465    36 

Hope Bancorp Inc

   3,233    30 

Horace Mann Educators Corp

   1,125    41 

Houlihan Lokey Inc, Cl A

   1,032    57 

Huntington Bancshares Inc/OH

   6,282    57 

IBERIABANK Corp

   662    30 

Independent Bank Corp

   580    39 

Independent Bank Group Inc

   846    34 

Intercontinental Exchange Inc

   6,879    630 

International Bancshares Corp

   1,137    36 

Invesco Ltd

   18,276    197 

Invesco Mortgage Capital Inc

   2,946    11 

Investors Bancorp Inc

   4,061    35 

James River Group Holdings Ltd

   1,180    53 

Jefferies Financial Group Inc

   2,313    36 

JPMorgan Chase & Co

   52,401    4,929 

KeyCorp

   12,904    157 
   
Description  Shares   Market Value
($ Thousands)
 

COMMON STOCK (continued)

    

Kinsale Capital Group Inc

   488       $76 

KKR Real Estate Finance Trust Inc

   2,440    40 

Lakeland Bancorp Inc

   2,890    33 

Lazard Ltd, Cl A (A)

   2,316    66 

Legg Mason Inc

   1,356    67 

LendingTree Inc *

   175    51 

Lincoln National Corp

   3,621    133 

Loews Corp

   222    8 

LPL Financial Holdings Inc

   1,036    81 

M&T Bank Corp

   929    97 

Markel Corp *

   48    44 

MarketAxess Holdings Inc

   305    153 

Marsh & McLennan Cos Inc

   16,703    1,793 

Mercury General Corp

   233    9 

Meta Financial Group Inc

   1,407    26 

MetLife Inc

   7,024    257 

MFA Financial Inc

   6,337    16 

MGIC Investment Corp

   3,455    28 

Moelis & Co, Cl A

   1,564    49 

Moody’s Corp

   1,782    490 

Morgan Stanley

   35,755    1,727 

Morningstar Inc

   1,261    178 

Mr Cooper Group Inc *

   3,903    49 

MSCI Inc, Cl A

   1,669    557 

Nasdaq Inc

   2,378    284 

Navient Corp

   3,513    25 

NBT Bancorp Inc

   1,213    37 

Nelnet Inc, Cl A

   793    38 

New Residential Investment Corp

   14,139    105 

New York Community Bancorp Inc

   951    10 

New York Mortgage Trust Inc

   7,776    20 

NMI Holdings Inc, Cl A *

   1,470    24 

Northern Trust Corp

   7,549    599 

Northfield Bancorp Inc

   2,868    33 

OFG Bancorp

   2,119    28 

Old National Bancorp/IN

   2,680    37 

Old Republic International Corp

   2,203    36 

OneMain Holdings Inc, Cl A

   258    6 

Pacific Premier Bancorp Inc

   3,188    69 

PacWest Bancorp

   1,283    25 

Palomar Holdings Inc, Cl A *

   929    80 

PennyMac Mortgage Investment Trust

   5,185    91 

People’s United Financial Inc

   5,001    58 

Pinnacle Financial Partners Inc

   1,489    63 

PNC Financial Services Group Inc/The

   5,690    599 

PRA Group Inc *

   1,320    51 

Preferred Bank/Los Angeles CA

   845    36 

Primerica Inc

   365    43 

Principal Financial Group Inc

   662    28 

ProAssurance Corp

   1,351    20 

Progressive Corp/The

   6,981    559 

ProSight Global Inc *

   2,999    27 
 

 

 

20  

New Covenant Funds / Annual Report / June 30, 2020


 

 

   
Description  Shares   Market Value
($ Thousands)
 

COMMON STOCK (continued)

    

Prosperity Bancshares Inc

   1,192       $71 

Provident Financial Services Inc

   1,988    29 

Prudential Financial Inc

   16,015    975 

PS Business Parks Inc ‡

   306    41 

Radian Group Inc

   1,924    30 

Raymond James Financial Inc

   980    67 

Redwood Trust Inc

   2,992    21 

Regions Financial Corp

   72,286    804 

Reinsurance Group of America Inc, Cl A

   578    45 

Renasant Corp

   1,366    34 

RLI Corp

   545    45 

S&P Global Inc

   7,309    2,408 

S&T Bancorp Inc

   1,247    29 

Sandy Spring Bancorp Inc

   1,350    33 

Santander Consumer USA Holdings Inc

   476    9 

Seacoast Banking Corp of Florida *

   1,616    33 

Selective Insurance Group Inc

   739    39 

ServisFirst Bancshares Inc

   1,306    47 

Signature Bank/New York NY

   676    72 

Simmons First National Corp, Cl A

   1,836    31 

SLM Corp

   8,316    58 

South State Corp

   1,155    55 

Starwood Property Trust Inc ‡

   2,000    30 

State Street Corp

   9,970    634 

Sterling Bancorp/DE

   2,321    27 

Stifel Financial Corp

   807    38 

SVB Financial Group *

   346    75 

Synchrony Financial

   4,720    105 

Synovus Financial Corp

   1,267    26 

T Rowe Price Group Inc

   2,711    335 

TCF Financial Corp

   1,085    32 

TD Ameritrade Holding Corp

   221    8 

Texas Capital Bancshares Inc *

   822    25 

TFS Financial Corp

   573    8 

Tompkins Financial Corp

   549    36 

TPG RE Finance Trust Inc

   2,439    21 

Travelers Cos Inc/The

   2,743    313 

TriCo Bancshares

   1,219    37 

TriState Capital Holdings Inc *

   1,917    30 

Triumph Bancorp Inc *

   1,296    31 

Truist Financial Corp

   16,871    634 

Trustmark Corp

   1,410    35 

Two Harbors Investment Corp

   6,390    32 

UMB Financial Corp

   715    37 

Umpqua Holdings Corp

   2,753    29 

United Bankshares Inc/WV

   1,306    36 

Universal Insurance Holdings Inc

   1,696    30 

Univest Financial Corp

   1,820    29 

Unum Group

   1,638    27 

US Bancorp

   20,106    740 

Valley National Bancorp

   4,269    33 

Veritex Holdings Inc

   1,729    31 
   
Description  Shares   Market Value
($ Thousands)
 

COMMON STOCK (continued)

    

Virtu Financial Inc, Cl A

   3,026       $71 

Voya Financial Inc

   4,001    187 

W R Berkley Corp

   165    9 

Waddell & Reed Financial Inc, Cl A

   2,974    46 

Walker & Dunlop Inc

   749    38 

Washington Federal Inc

   1,337    36 

Washington Trust Bancorp Inc

   924    30 

Watford Holdings Ltd *

   1,869    31 

Webster Financial Corp

   934    27 

Wells Fargo & Co

   50,687    1,298 

Westamerica BanCorp

   731    42 

Western Alliance Bancorp

   1,801    68 

White Mountains Insurance Group Ltd

   44    39 

Willis Towers Watson PLC

   907    179 

Wintrust Financial Corp

   708    31 

Zions Bancorp NA

   1,771    60 
    

 

 

 
     49,116 
    

 

 

 

Health Care — 14.4%

    

Abbott Laboratories

   35,040    3,204 

AbbVie Inc

   25,124    2,467 

ABIOMED Inc *

   332    80 

Acadia Healthcare Co Inc *

   1,517    38 

Acceleron Pharma Inc *

   123    12 

Adaptive Biotechnologies Corp *

   1,704    82 

Addus HomeCare Corp *

   545    50 

Adverum Biotechnologies Inc *

   4,537    95 

Aerie Pharmaceuticals Inc *

   2,282    34 

Agilent Technologies Inc

   7,874    696 

Agios Pharmaceuticals Inc *

   1,062    57 

Aimmune Therapeutics Inc *

   1,579    26 

Akebia Therapeutics Inc *

   7,149    97 

Alector Inc *

   2,628    64 

Alexion Pharmaceuticals Inc *

   1,593    179 

Align Technology Inc *

   602    165 

Alkermes PLC *

   2,433    47 

Allakos Inc *

   378    27 

Allogene Therapeutics Inc *

   1,838    79 

Alnylam Pharmaceuticals Inc *

   1,202    178 

Amedisys Inc *

   309    61 

AmerisourceBergen Corp, Cl A

   759    76 

Amgen Inc

   11,116    2,622 

Amicus Therapeutics Inc *

   5,193    78 

AMN Healthcare Services Inc *

   832    38 

Anika Therapeutics Inc *

   920    35 

Anthem Inc

   3,134    824 

Apellis Pharmaceuticals Inc *

   1,618    53 

Apollo Medical Holdings Inc *

   2,730    45 

Arcus Biosciences Inc *

   2,371    59 

Arena Pharmaceuticals Inc *

   1,077    68 

Arrowhead Pharmaceuticals Inc *

   2,046    88 

Arvinas Inc *

   1,559    52 

Assembly Biosciences Inc *

   2,159    50 
 

 

 

New Covenant Funds / Annual Report / June 30, 2020

   21 


SCHEDULE OF INVESTMENTS

June 30, 2020

New Covenant Growth Fund (Continued)

 

   
Description  Shares   Market Value
($ Thousands)
 

COMMON STOCK (continued)

    

Atara Biotherapeutics Inc *

   3,254       $47 

Atrion Corp

   71    45 

Avanos Medical Inc *

   1,561    46 

Avantor Inc *

   2,699    46 

Axonics Modulation Technologies Inc *

   351    12 

Axsome Therapeutics Inc *

   618    51 

Baxter International Inc

   12,373    1,065 

Becton Dickinson and Co

   4,437    1,062 

BioCryst Pharmaceuticals Inc *

   26,852    128 

BioDelivery Sciences International Inc *

   7,746    34 

Biogen Inc *

   3,113    833 

Biohaven Pharmaceutical Holding Co Ltd *

   941    69 

BioMarin Pharmaceutical Inc *

   1,042    129 

Bio-Rad Laboratories Inc, Cl A *

   32    14 

BioSpecifics Technologies Corp *

   871    53 

Bio-Techne Corp

   53    14 

BioTelemetry Inc *

   1,100    50 

Bluebird Bio Inc *

   645    39 

Boston Scientific Corp *

   16,399    576 

Bridgebio Pharma Inc *

   1,432    47 

Bristol-Myers Squibb Co

   38,732    2,277 

Brookdale Senior Living Inc *

   7,397    22 

Bruker Corp

   233    9 

Cantel Medical Corp

   163    7 

Cara Therapeutics Inc *

   2,942    50 

Cardinal Health Inc

   2,213    115 

Catalent Inc *

   949    70 

Catalyst Pharmaceuticals Inc *

   11,416    53 

Centene Corp *

   5,875    373 

Cerner Corp

   16,243    1,113 

Change Healthcare Inc *

   3,522    39 

Charles River Laboratories International Inc *

   77    13 

Chemed Corp

   114    51 

ChemoCentryx Inc *

   2,278    131 

Cigna Corp

   4,819    904 

CONMED Corp

   450    32 

Constellation Pharmaceuticals Inc *

   1,060    32 

Cooper Cos Inc/The

   236    67 

Corbus Pharmaceuticals Holdings Inc *

   9,057    76 

Corcept Therapeutics Inc *

   3,878    65 

CorVel Corp *

   606    43 

Covetrus Inc *

   1,045    19 

Crinetics Pharmaceuticals Inc *

   2,310    40 

Cue Biopharma Inc *

   2,087    51 

CVS Health Corp

   28,143    1,828 

Cytokinetics Inc *

   7,134    168 

Danaher Corp

   8,116    1,435 

DaVita Inc *

   160    13 

Deciphera Pharmaceuticals Inc *

   716    43 

Denali Therapeutics Inc *

   2,631    64 

DENTSPLY SIRONA Inc

   3,113    137 

DexCom Inc *

   847    343 
   
Description  Shares   Market Value
($ Thousands)
 

COMMON STOCK (continued)

    

Dicerna Pharmaceuticals Inc *

   1,898       $48 

Dynavax Technologies Corp *

   8,733    77 

Eagle Pharmaceuticals Inc/DE *

   828    40 

Editas Medicine Inc *

   1,596    47 

Edwards Lifesciences Corp *

   8,484    586 

Eidos Therapeutics Inc *

   786    37 

Elanco Animal Health Inc *

   398    9 

Eli Lilly and Co

   11,942    1,961 

Emergent BioSolutions Inc *

   950    75 

Enanta Pharmaceuticals Inc *

   785    39 

Encompass Health Corp

   164    10 

Envista Holdings Corp *

   1,731    37 

Epizyme Inc *

   2,749    44 

Esperion Therapeutics Inc *

   962    49 

Evofem Biosciences Inc *

   1,811    5 

Exact Sciences Corp *

   930    81 

Exelixis Inc *

   4,344    103 

Fate Therapeutics Inc *

   3,277    112 

FibroGen Inc *

   1,053    43 

Flexion Therapeutics Inc *

   2,711    36 

G1 Therapeutics Inc *

   1,715    42 

Gilead Sciences Inc

   18,126    1,395 

Glaukos Corp *

   167    6 

Global Blood Therapeutics Inc *

   643    41 

Globus Medical Inc, Cl A *

   851    41 

Gossamer Bio Inc *

   3,279    43 

Guardant Health Inc *

   615    50 

Halozyme Therapeutics Inc *

   2,641    71 

Hanger Inc *

   1,891    31 

Harpoon Therapeutics Inc *

   2,825    47 

HCA Healthcare Inc

   2,314    225 

Health Catalyst Inc *

   1,594    46 

HealthEquity Inc *

   673    39 

Henry Schein Inc *

   2,612    153 

Heron Therapeutics Inc *

   1,977    29 

Heska Corp *

   532    50 

Hill-Rom Holdings Inc

   825    91 

HMS Holdings Corp *

   1,707    55 

Hologic Inc *

   216    12 

Horizon Therapeutics Plc *

   1,437    80 

Humana Inc

   1,529    593 

ICU Medical Inc *

   62    11 

IDEXX Laboratories Inc *

   707    233 

Illumina Inc *

   3,200    1,185 

ImmunoGen Inc *

   11,173    51 

Immunomedics Inc *

   2,499    89 

Incyte Corp *

   1,063    111 

Innoviva Inc *

   3,557    50 

Inogen Inc *

   706    25 

Inovalon Holdings Inc, Cl A *

   2,733    53 

Inovio Pharmaceuticals Inc *

   2,095    56 

Insmed Inc *

   2,129    59 
 

 

 

22  

New Covenant Funds / Annual Report / June 30, 2020


 

 

   
Description  Shares   Market Value
($ Thousands)
 

COMMON STOCK (continued)

    

Inspire Medical Systems Inc *

   715   $62 

Insulet Corp *

   65    13 

Integer Holdings Corp *

   625    46 

Integra LifeSciences Holdings Corp *

   188    9 

Intercept Pharmaceuticals Inc *

   417    20 

Intra-Cellular Therapies Inc *

   3,894    100 

Intuitive Surgical Inc *

   1,403    799 

Invitae Corp *

   2,884    87 

Ionis Pharmaceuticals Inc *

   782    46 

Iovance Biotherapeutics Inc *

   1,782    49 

IQVIA Holdings Inc *

   1,378    196 

Ironwood Pharmaceuticals Inc, Cl A *

   3,844    40 

Johnson & Johnson

   40,148    5,646 

Kala Pharmaceuticals Inc *

   7,142    75 

Karuna Therapeutics Inc *

   717    80 

Karyopharm Therapeutics Inc *

   2,929    55 

Kiniksa Pharmaceuticals Ltd, Cl A *

   4,016    102 

Kodiak Sciences Inc *

   702    38 

Krystal Biotech Inc *

   823    34 

Kura Oncology Inc *

   3,438    56 

Laboratory Corp of America Holdings *

   515    86 

Lantheus Holdings Inc *

   2,408    34 

LHC Group Inc *

   383    67 

Ligand Pharmaceuticals Inc *

   462    52 

LivaNova PLC *

   657    32 

Livongo Health Inc *

   1,898    143 

Luminex Corp

   2,284    74 

MacroGenics Inc *

   1,782    50 

Madrigal Pharmaceuticals Inc *

   531    60 

McKesson Corp

   1,288    198 

MEDNAX Inc *

   417    7 

Merck & Co Inc

   39,446    3,050 

Meridian Bioscience Inc *

   5,130    119 

Mettler-Toledo International Inc *

   1,565    1,261 

Mirati Therapeutics Inc *

   429    49 

Moderna Inc *

   4,368    280 

Mylan NV *

   607    10 

MyoKardia Inc *

   751    73 

Myriad Genetics Inc *

   1,860    21 

Natera Inc *

   1,361    68 

National Research Corp

   779    45 

Natus Medical Inc *

   1,614    35 

Nektar Therapeutics, Cl A *

   2,328    54 

Neogen Corp *

   721    56 

Neurocrine Biosciences Inc *

   1,089    133 

Nevro Corp *

   83    10 

NextCure Inc *

   952    20 

NextGen Healthcare Inc *

   3,392    37 

Novavax Inc *

   1,079    90 

NuVasive Inc *

   653    36 

Ocular Therapeutix Inc *

   5,747    48 

Omeros Corp *

   3,345    49 
   
Description  Shares   Market Value
($ Thousands)
 

COMMON STOCK (continued)

    

Option Care Health Inc *

   648   $9 

OraSure Technologies Inc *

   6,042    70 

Pennant Group Inc/The *

   1,609    36 

Penumbra Inc *

   72    13 

PerkinElmer Inc

   120    12 

Pfizer Inc

   86,529    2,829 

Phreesia Inc *

   361    10 

Portola Pharmaceuticals Inc *

   1,960    35 

PRA Health Sciences Inc *

   108    11 

Premier Inc, Cl A *

   2,266    78 

Principia Biopharma Inc *

   925    55 

PTC Therapeutics Inc *

   1,021    52 

Puma Biotechnology Inc *

   5,574    58 

QIAGEN NV *

   2,338    100 

Quest Diagnostics Inc

   865    99 

Quidel Corp *

   249    56 

Radius Health Inc *

   2,352    32 

Reata Pharmaceuticals Inc, Cl A *

   235    37 

Regeneron Pharmaceuticals Inc *

   1,105    689 

Repligen Corp *

   553    68 

ResMed Inc

   2,930    563 

Retrophin Inc *

   3,434    70 

Revance Therapeutics Inc *

   3,056    75 

Rhythm Pharmaceuticals Inc *

   2,112    47 

Rubius Therapeutics Inc *

   3,679    22 

Sage Therapeutics Inc *

   516    21 

Sangamo Therapeutics Inc *

   5,482    49 

Sarepta Therapeutics Inc *

   87    14 

Scholar Rock Holding Corp *

   2,520    46 

Seattle Genetics Inc *

   750    127 

Shockwave Medical Inc *

   1,114    53 

Simulations Plus Inc

   1,477    88 

Sorrento Therapeutics Inc *

   12,406    78 

STAAR Surgical Co *

   1,343    83 

STERIS PLC

   1,661    255 

Stryker Corp

   4,213    759 

Supernus Pharmaceuticals Inc *

   2,174    52 

Surgery Partners Inc *

   4,621    53 

Surmodics Inc *

   1,169    51 

Syndax Pharmaceuticals Inc *

   3,272    48 

Syros Pharmaceuticals Inc *

   1,610    17 

Tactile Systems Technology Inc *

   728    30 

Tandem Diabetes Care Inc *

   144    14 

Teladoc Health Inc *

   430    82 

Teleflex Inc

   742    270 

TG Therapeutics Inc *

   4,916    96 

Theravance Biopharma Inc *

   2,200    46 

Thermo Fisher Scientific Inc

   5,343    1,936 

Translate Bio Inc *

   2,224    40 

Turning Point Therapeutics Inc *

   828    53 

Twist Bioscience Corp *

   1,681    76 

Ultragenyx Pharmaceutical Inc *

   1,143    89 
 

 

 

New Covenant Funds / Annual Report / June 30, 2020

   23 


SCHEDULE OF INVESTMENTS

June 30, 2020

New Covenant Growth Fund (Continued)

 

   
Description  Shares   Market Value
($ Thousands)
 

COMMON STOCK (continued)

    

United Therapeutics Corp *

   559   $68 

UnitedHealth Group Inc

   17,164    5,062 

Universal Health Services Inc, Cl B

   80    7 

UroGen Pharma Ltd *

   1,543    40 

US Physical Therapy Inc

   428    35 

Vapotherm Inc *

   1,281    53 

Varex Imaging Corp *

   1,631    25 

Varian Medical Systems Inc *

   1,773    217 

Veeva Systems Inc, Cl A *

   1,157    271 

Vertex Pharmaceuticals Inc *

   3,305    959 

Viking Therapeutics Inc *

   6,150    44 

Waters Corp *

   395    71 

West Pharmaceutical Services Inc

   1,875    426 

Wright Medical Group NV *

   1,682    50 

Zimmer Biomet Holdings Inc

   3,501    418 

Zoetis Inc, Cl A

   6,022    825 

Zogenix Inc *

   947    26 
    

 

 

 
     66,520 
    

 

 

 

Industrials — 8.2%

    

3M Co

   10,841    1,691 

A O Smith Corp

   1,708    80 

AAON Inc

   997    54 

AAR Corp

   1,101    23 

ABM Industries Inc

   1,349    49 

ACCO Brands Corp

   5,214    37 

Acuity Brands Inc

   84    8 

ADT Inc

   6,039    48 

Advanced Disposal Services Inc *

   1,523    46 

AECOM *

   6,633    249 

AGCO Corp

   149    8 

Air Lease Corp, Cl A

   1,053    31 

Alamo Group Inc

   424    44 

Alaska Air Group Inc

   10,133    367 

Albany International Corp, Cl A

   636    37 

Allegiant Travel Co, Cl A

   281    31 

Allegion plc

   855    87 

Allison Transmission Holdings Inc

   1,870    69 

Altra Industrial Motion Corp

   1,437    46 

AMERCO

   136    41 

American Airlines Group Inc

   405    5 

American Woodmark Corp *

   461    35 

AMETEK Inc

   3,390    303 

Apogee Enterprises Inc

   1,229    28 

Applied Industrial Technologies Inc

   745    46 

ArcBest Corp

   1,766    47 

Arcosa Inc

   1,128    48 

Argan Inc

   1,315    62 

Armstrong World Industries Inc

   979    76 

ASGN Inc *

   723    48 

Astec Industries Inc

   1,175    54 

Atkore International Group Inc *

   1,234    34 

Avis Budget Group Inc *

   2,276    52 
   
Description  Shares   Market Value
($ Thousands)
 

COMMON STOCK (continued)

    

Axon Enterprise Inc *

   1,934   $190 

AZZ Inc

   1,071    37 

Barnes Group Inc

   807    32 

Bloom Energy Corp, Cl A *

   2,773    30 

Brady Corp, Cl A

   873    41 

Brink’s Co/The

   540    25 

Carlisle Cos Inc

   311    37 

Carrier Global Corp

   2,809    62 

Casella Waste Systems Inc, Cl A *

   1,080    56 

CBIZ Inc *

   1,805    43 

CH Robinson Worldwide Inc

   148    12 

Chart Industries Inc *

   807    39 

Cimpress PLC *

   398    30 

Cintas Corp

   1,907    508 

CIRCOR International Inc *

   1,110    28 

Clean Harbors Inc *

   137    8 

Colfax Corp *

   1,455    41 

Comfort Systems USA Inc

   988    40 

Construction Partners Inc, Cl A *

   2,838    50 

Copa Holdings SA, Cl A

   469    24 

Copart Inc *

   1,284    107 

CoStar Group Inc *

   266    189 

Covanta Holding Corp

   3,388    32 

Crane Co

   135    8 

CSW Industrials Inc

   645    45 

CSX Corp

   9,694    676 

Cummins Inc

   3,179    551 

Curtiss-Wright Corp

   1,789    160 

Deere & Co

   4,735    744 

Delta Air Lines Inc

   39,597    1,111 

Deluxe Corp

   981    23 

Donaldson Co Inc

   202    9 

Douglas Dynamics Inc

   918    32 

Dover Corp

   2,207    213 

Dycom Industries Inc *

   1,064    44 

Eaton Corp PLC

   13,217    1,156 

EMCOR Group Inc

   565    37 

Emerson Electric Co

   6,592    409 

EnerSys

   664    43 

EnPro Industries Inc

   738    36 

Equifax Inc

   691    119 

ESCO Technologies Inc

   568    48 

Expeditors International of Washington Inc

   1,163    88 

Exponent Inc

   727    59 

Fastenal Co

   6,120    262 

Federal Signal Corp

   1,560    46 

FedEx Corp

   3,239    454 

Flowserve Corp

   239    7 

Fluor Corp

   4,373    53 

Forrester Research Inc *

   1,169    37 

Fortune Brands Home & Security Inc

   174    11 

Forward Air Corp

   727    36 
 

 

 

24  

New Covenant Funds / Annual Report / June 30, 2020


 

 

   
Description  Shares   Market Value
($ Thousands)
 

COMMON STOCK (continued)

    

Franklin Electric Co Inc

   897   $47 

FTI Consulting Inc *

   443    51 

Gates Industrial Corp PLC *

   886    9 

GATX Corp

   603    37 

Generac Holdings Inc *

   496    60 

General Electric Co

   121,638    831 

Gibraltar Industries Inc *

   959    46 

Graco Inc

   223    11 

GrafTech International Ltd

   954    8 

Granite Construction Inc

   1,780    34 

Great Lakes Dredge & Dock Corp *

   4,289    40 

Greenbrier Cos Inc/The

   1,583    36 

Hawaiian Holdings Inc

   1,619    23 

HD Supply Holdings Inc *

   1,986    69 

Healthcare Services Group Inc

   2,050    50 

Heartland Express Inc

   2,380    50 

HEICO Corp

   4,884    487 

HEICO Corp, Cl A

   4,197    341 

Helios Technologies Inc

   1,091    41 

Herc Holdings Inc *

   1,012    31 

Herman Miller Inc

   1,053    25 

Hexcel Corp

   4,105    186 

Hillenbrand Inc

   1,501    41 

HNI Corp

   1,268    39 

Honeywell International Inc

   10,659    1,541 

Howmet Aerospace Inc

   7,379    117 

Hub Group Inc, Cl A *

   976    47 

Hubbell Inc, Cl B

   682    85 

IAA Inc *

   253    10 

ICF International Inc

   545    35 

IDEX Corp

   68    11 

IHS Markit Ltd

   3,910    295 

Illinois Tool Works Inc

   10,512    1,838 

Ingersoll Rand Inc *

   6,701    188 

Insperity Inc

   592    38 

Interface Inc, Cl A

   2,949    24 

ITT Inc

   1,404    82 

Jacobs Engineering Group Inc

   1,091    93 

JB Hunt Transport Services Inc

   437    53 

JetBlue Airways Corp *

   4,688    51 

John Bean Technologies Corp

   439    38 

Johnson Controls International plc

   22,116    755 

Kadant Inc

   475    47 

Kaman Corp

   743    31 

Kansas City Southern

   1,741    260 

KAR Auction Services Inc

   2,303    32 

Kelly Services Inc, Cl A

   2,214    35 

Kennametal Inc

   1,343    39 

Kforce Inc

   1,239    36 

Kirby Corp *

   1,032    55 

Knight-Swift Transportation Holdings Inc, Cl A

   1,357    57 
   
Description  Shares   Market Value
($ Thousands)
 

COMMON STOCK (continued)

    

Knoll Inc

   1,853   $23 

Korn Ferry

   1,193    37 

Landstar System Inc

   432    49 

Lennox International Inc

   44    10 

Lincoln Electric Holdings Inc

   1,027    87 

Lindsay Corp

   523    48 

Lyft Inc, Cl A *

   240    8 

Macquarie Infrastructure Corp

   266    8 

ManpowerGroup Inc

   3,586    247 

Marten Transport Ltd

   2,313    58 

Masco Corp

   6,315    317 

MasTec Inc *

   795    36 

Matson Inc

   1,273    37 

Maxar Technologies Inc

   6,794    122 

McGrath RentCorp

   666    36 

Mercury Systems Inc *

   2,386    188 

Meritor Inc *

   2,088    41 

Middleby Corp/The *

   103    8 

Mobile Mini Inc

   1,315    39 

Moog Inc, Cl A

   580    31 

MRC Global Inc *

   3,597    21 

MSA Safety Inc

   392    45 

MSC Industrial Direct Co Inc, Cl A

   1,115    81 

Nielsen Holdings PLC

   7,584    113 

Nordson Corp

   600    114 

Norfolk Southern Corp

   3,218    565 

NOW Inc *

   4,359    38 

NV5 Global Inc *

   1,080    55 

nVent Electric PLC

   457    9 

Old Dominion Freight Line Inc

   400    68 

Omega Flex Inc

   448    47 

Oshkosh Corp

   2,762    198 

Otis Worldwide Corp

   2,746    156 

Owens Corning

   4,958    276 

PACCAR Inc

   5,034    377 

Parker-Hannifin Corp

   1,231    226 

Parsons Corp *

   1,198    43 

Pentair PLC

   4,928    187 

Pitney Bowes Inc

   11,792    31 

Plug Power Inc *

   10,246    84 

Proto Labs Inc *

   491    55 

Quanex Building Products Corp

   2,637    37 

Quanta Services Inc

   2,291    90 

Raven Industries Inc

   1,437    31 

RBC Bearings Inc *

   320    43 

Regal Beloit Corp

   1,068    93 

Republic Services Inc, Cl A

   1,046    86 

Resideo Technologies Inc *

   448    5 

Rexnord Corp

   1,539    45 

Robert Half International Inc

   806    43 

Rockwell Automation Inc

   1,620    345 

Rollins Inc

   2,355    100 
 

 

 

New Covenant Funds / Annual Report / June 30, 2020

   25 


SCHEDULE OF INVESTMENTS

June 30, 2020

New Covenant Growth Fund (Continued)

 

   
Description  Shares   Market Value
($ Thousands)
 

COMMON STOCK (continued)

    

Roper Technologies Inc

   1,565   $608 

Ryder System Inc

   1,425    53 

Saia Inc *

   547    61 

Schneider National Inc, Cl B

   521    13 

Sensata Technologies Holding PLC *

   4,273    159 

Shyft Group Inc/The

   2,836    48 

Simpson Manufacturing Co Inc

   643    54 

Snap-on Inc

   318    44 

Southwest Airlines Co

   3,131    107 

SP Plus Corp *

   1,169    24 

Spirit AeroSystems Holdings Inc, Cl A

   9,098    218 

Spirit Airlines Inc *

   1,221    22 

SPX Corp *

   999    41 

SPX FLOW Inc *

   1,044    39 

Stanley Black & Decker Inc

   1,349    188 

Steelcase Inc, Cl A

   2,620    32 

Stericycle Inc *

   179    10 

Teledyne Technologies Inc *

   878    273 

Tennant Co

   639    42 

Terex Corp

   1,651    31 

Tetra Tech Inc

   564    45 

Timken Co/The

   204    9 

Toro Co/The

   1,175    78 

TPI Composites Inc *

   472    11 

Trane Technologies PLC

   7,234    644 

TransDigm Group Inc

   1,732    766 

TransUnion

   2,713    236 

Trex Co Inc *

   567    74 

TriMas Corp *

   1,583    38 

TriNet Group Inc *

   898    55 

Trinity Industries Inc

   511    11 

Triumph Group Inc

   1,853    17 

TrueBlue Inc *

   2,106    32 

Uber Technologies Inc *

   12,223    380 

UFP Industries Inc

   1,033    51 

UniFirst Corp/MA

   235    42 

Union Pacific Corp

   12,488    2,111 

United Airlines Holdings Inc *

   2,850    99 

United Parcel Service Inc, Cl B

   9,414    1,047 

United Rentals Inc *

   1,692    252 

Univar Solutions Inc *

   476    8 

US Ecology Inc

   900    30 

Valmont Industries Inc

   76    9 

Vectrus Inc *

   984    48 

Verisk Analytics Inc, Cl A

   1,729    294 

Vivint Solar Inc *

   4,980    49 

Wabash National Corp

   3,217    34 

Waste Management Inc

   6,467    685 

Watsco Inc

   537    95 

Watts Water Technologies Inc, Cl A

   507    41 

Welbilt Inc *

   3,137    19 

Werner Enterprises Inc

   1,360    59 
   
Description  Shares   Market Value
($ Thousands)
 

COMMON STOCK (continued)

    

WESCO International Inc *

   3,661   $129 

Westinghouse Air Brake Technologies Corp

   465    27 

Woodward Inc

   769    60 

WW Grainger Inc

   4,161    1,307 

XPO Logistics Inc *

   1,396    108 

Xylem Inc/NY

   16,416    1,066 
    

 

 

 
     37,818 
    

 

 

 

Information Technology — 25.8%

    

2U Inc *

   2,061    78 

8x8 Inc *

   2,725    44 

Acacia Communications Inc *

   744    50 

ACI Worldwide Inc *

   1,373    37 

Adobe Inc *

   9,813    4,272 

ADTRAN Inc

   5,303    58 

Advanced Energy Industries Inc *

   725    49 

Advanced Micro Devices Inc *

   12,867    677 

Agilysys Inc *

   323    6 

Akamai Technologies Inc *

   7,949    851 

Akoustis Technologies Inc *

   6,091    50 

Alarm.com Holdings Inc *

   1,192    77 

Alliance Data Systems Corp

   1,335    60 

Altair Engineering Inc, Cl A *

   1,454    58 

Alteryx Inc, Cl A *

   1,551    255 

Ambarella Inc *

   160    7 

Amdocs Ltd

   3,632    221 

Amkor Technology Inc *

   3,864    48 

Amphenol Corp, Cl A

   2,558    245 

Analog Devices Inc

   4,564    560 

Anaplan Inc *

   217    10 

ANSYS Inc *

   683    199 

Appian Corp, Cl A *

   1,246    64 

Apple Inc

   62,732    22,885 

Applied Materials Inc

   10,761    651 

Arista Networks Inc *

   768    161 

Arrow Electronics Inc *

   2,550    175 

Aspen Technology Inc *

   413    43 

Atlassian Corp PLC, Cl A *

   665    120 

Autodesk Inc *

   3,559    851 

Automatic Data Processing Inc

   12,646    1,883 

Avaya Holdings Corp *

   4,140    51 

Avnet Inc

   1,892    53 

Axcelis Technologies Inc *

   2,104    59 

Badger Meter Inc

   775    49 

Belden Inc

   900    29 

Benchmark Electronics Inc

   1,447    31 

Black Knight Inc *

   1,569    114 

Blackbaud Inc

   629    36 

Blackline Inc *

   185    15 

Booz Allen Hamilton Holding Corp, Cl A

   1,402    109 

Bottomline Technologies DE Inc *

   943    48 

Box Inc, Cl A *

   2,984    62 

Broadcom Inc

   6,023    1,901 
 

 

 

26  

New Covenant Funds / Annual Report / June 30, 2020


 

 

   
Description  Shares   Market Value
($ Thousands)
 

COMMON STOCK (continued)

    

Broadridge Financial Solutions Inc

   720       $91 

Brooks Automation Inc

   1,150    51 

Cabot Microelectronics Corp

   373    52 

Cadence Design Systems Inc *

   2,046    196 

Cardtronics PLC *

   1,198    29 

Cass Information Systems Inc

   865    34 

CDK Global Inc

   1,636    68 

CDW Corp/DE

   806    94 

Cerence Inc *

   493    20 

Ceridian HCM Holding Inc *

   792    63 

Ciena Corp *

   1,223    66 

Cirrus Logic Inc *

   640    40 

Cisco Systems Inc

   68,588    3,199 

Citrix Systems Inc

   1,980    293 

Cloudera Inc *

   4,481    57 

Cognex Corp

   203    12 

Cognizant Technology Solutions Corp, Cl A

   8,315    472 

Coherent Inc *

   626    82 

Cohu Inc

   2,351    41 

CommScope Holding Co Inc *

   7,086    59 

CommVault Systems Inc *

   1,095    42 

CoreLogic Inc/United States

   271    18 

Cornerstone OnDemand Inc *

   862    33 

Corning Inc

   6,104    158 

Coupa Software Inc *

   970    269 

Cree Inc *

   248    15 

CSG Systems International Inc

   965    40 

CTS Corp

   1,735    35 

Dell Technologies Inc, Cl C *

   4,108    226 

Diebold Nixdorf Inc *

   4,695    28 

Digital Turbine Inc *

   6,346    80 

DocuSign Inc, Cl A *

   1,618    279 

Dolby Laboratories Inc, Cl A

   731    48 

Domo Inc, Cl B *

   1,639    53 

Dropbox Inc, Cl A *

   2,914    63 

DXC Technology Co

   5,395    89 

Dynatrace Inc *

   465    19 

Ebix Inc

   1,517    34 

EchoStar Corp, Cl A *

   1,124    31 

Elastic NV *

   183    17 

Enphase Energy Inc *

   2,127    101 

Entegris Inc

   980    58 

Envestnet Inc *

   717    53 

EPAM Systems Inc *

   1,434    361 

ePlus Inc *

   592    42 

Euronet Worldwide Inc *

   74    7 

Everbridge Inc *

   1,814    251 

EVERTEC Inc

   1,569    44 

ExlService Holdings Inc *

   711    45 

Extreme Networks Inc *

   6,878    30 

F5 Networks Inc *

   578    81 

Fair Isaac Corp *

   299    125 
   
Description  Shares   Market Value
($ Thousands)
 

COMMON STOCK (continued)

    

Fidelity National Information Services Inc

   7,874       $1,056 

FireEye Inc *

   5,502    67 

First Solar Inc *

   3,538    175 

Fiserv Inc *

   6,758    660 

Fitbit Inc, Cl A *

   7,553    49 

Five9 Inc *

   751    83 

FleetCor Technologies Inc *

   729    183 

FLIR Systems Inc

   1,671    68 

ForeScout Technologies Inc *

   1,454    31 

FormFactor Inc *

   1,939    57 

Fortinet Inc *

   928    127 

Genpact Ltd

   6,870    251 

Global Payments Inc

   3,359    570 

GoDaddy Inc, Cl A *

   1,102    81 

Guidewire Software Inc *

   109    12 

Hackett Group Inc/The

   3,129    42 

HubSpot Inc *

   322    72 

IAC/InterActiveCorp *

   376    122 

Ichor Holdings Ltd *

   1,480    39 

II-VI Inc *

   1,509    71 

Infinera Corp *

   6,579    39 

Inphi Corp *

   680    80 

Inseego Corp *

   7,132    83 

Insight Enterprises Inc *

   754    37 

Intel Corp

   67,438    4,035 

Intelligent Systems Corp *

   1,128    38 

InterDigital Inc

   917    52 

International Business Machines Corp

   13,123    1,585 

Intuit Inc

   3,714    1,100 

IPG Photonics Corp *

   558    89 

Itron Inc *

   588    39 

J2 Global Inc *

   540    34 

Jabil Inc

   6,948    223 

Jack Henry & Associates Inc

   636    117 

Juniper Networks Inc

   7,826    179 

KBR Inc

   1,640    37 

Keysight Technologies Inc *

   12,701    1,280 

KLA Corp

   1,904    370 

Knowles Corp *

   2,314    35 

Lam Research Corp

   3,493    1,130 

Lattice Semiconductor Corp *

   2,475    70 

Littelfuse Inc

   60    10 

LivePerson Inc *

   1,299    54 

LogMeIn Inc

   1,076    91 

Lumentum Holdings Inc *

   660    54 

Manhattan Associates Inc *

   1,278    120 

Marvell Technology Group Ltd

   4,705    165 

Mastercard Inc, Cl A

   13,112    3,877 

Maxim Integrated Products Inc

   3,740    227 

MAXIMUS Inc

   682    48 

Medallia Inc *

   1,562    39 

Microchip Technology Inc

   1,615    170 
 

 

 

New Covenant Funds / Annual Report / June 30, 2020

   27 


SCHEDULE OF INVESTMENTS

June 30, 2020

New Covenant Growth Fund (Continued)

 

   
Description  Shares   Market Value
($ Thousands)
 

COMMON STOCK (continued)

    

Micron Technology Inc *

   13,124       $676 

Microsoft Corp

   112,888    22,974 

MicroStrategy Inc, Cl A *

   339    40 

MKS Instruments Inc

   103    12 

Model N Inc *

   1,438    50 

MongoDB Inc, Cl A *

   574    130 

Monolithic Power Systems Inc

   64    15 

National Instruments Corp

   2,353    91 

NCR Corp *

   334    6 

NetApp Inc

   2,936    130 

NetScout Systems Inc *

   2,073    53 

New Relic Inc *

   749    52 

NIC Inc

   2,268    52 

Novanta Inc *

   547    58 

Nuance Communications Inc *

   2,832    72 

Nutanix Inc, Cl A *

   359    9 

NVIDIA Corp

   9,892    3,758 

Okta Inc, Cl A *

   812    163 

ON Semiconductor Corp *

   9,649    191 

Oracle Corp

   34,708    1,918 

OSI Systems Inc *

   497    37 

PagerDuty Inc *

   1,821    52 

Palo Alto Networks Inc *

   541    124 

Paychex Inc

   2,612    198 

Paycom Software Inc *

   194    60 

Paylocity Holding Corp *

   417    61 

PayPal Holdings Inc *

   18,658    3,251 

Paysign Inc *

   4,721    46 

Pegasystems Inc

   150    15 

Perficient Inc *

   1,142    41 

Perspecta Inc

   1,895    44 

Photronics Inc *

   3,197    36 

Plantronics Inc

   1,930    28 

Plexus Corp *

   633    45 

Pluralsight Inc, Cl A *

   2,621    47 

Power Integrations Inc

   531    63 

Progress Software Corp

   1,206    47 

Proofpoint Inc *

   98    11 

PROS Holdings Inc *

   818    36 

PTC Inc *

   677    53 

Pure Storage Inc, Cl A *

   685    12 

Q2 Holdings Inc *

   633    54 

Qorvo Inc *

   100    11 

QUALCOMM Inc

   17,833    1,627 

Qualys Inc *

   591    61 

Rambus Inc *

   3,633    55 

Rapid7 Inc *

   892    46 

RealPage Inc *

   211    14 

RingCentral Inc, Cl A *

   699    199 

Rogers Corp *

   392    49 

Sabre Corp

   506    4 

Sailpoint Technologies Holdings Inc *

   2,129    56 
   
Description  Shares   Market Value
($ Thousands)
 

COMMON STOCK (continued)

    

salesforce.com *

   17,861       $3,346 

Sanmina Corp *

   1,459    37 

ScanSource Inc *

   1,292    31 

Semtech Corp *

   1,000    52 

ServiceNow Inc *

   2,349    951 

Silicon Laboratories Inc *

   437    44 

Skyworks Solutions Inc

   2,779    355 

Smartsheet Inc, Cl A *

   266    14 

SolarWinds Corp *

   634    11 

Splunk Inc *

   1,357    270 

SPS Commerce Inc *

   882    66 

Square Inc, Cl A *

   3,587    376 

SS&C Technologies Holdings Inc

   831    47 

Switch Inc, Cl A

   779    14 

Synaptics Inc *

   142    9 

SYNNEX Corp

   387    46 

Synopsys Inc *

   1,083    211 

Teradata Corp *

   4,437    92 

Teradyne Inc

   4,784    404 

Texas Instruments Inc

   13,483    1,712 

Trade Desk Inc/The, Cl A *

   829    337 

Trimble Inc *

   2,035    88 

TTEC Holdings Inc

   1,378    64 

TTM Technologies Inc *

   3,357    40 

Tucows Inc, Cl A *

   834    48 

Twilio Inc, Cl A *

   2,168    476 

Tyler Technologies Inc *

   393    136 

Ubiquiti Inc

   263    46 

Unisys Corp *

   689    8 

Universal Display Corp

   521    78 

Upland Software Inc *

   1,378    48 

Varonis Systems Inc *

   653    58 

Verint Systems Inc *

   947    43 

VeriSign Inc *

   802    166 

Verra Mobility Corp, Cl A *

   3,479    36 

ViaSat Inc *

   693    27 

Viavi Solutions Inc *

   3,355    43 

Virtusa Corp *

   1,123    36 

Visa Inc, Cl A

   29,770    5,751 

VMware Inc, Cl A *

   1,343    208 

Western Digital Corp

   2,423    107 

Western Union Co/The

   425    9 

WEX Inc *

   55    9 

Workday Inc, Cl A *

   2,079    390 

Workiva Inc, Cl A *

   1,224    65 

Xerox Holdings Corp

   7,073    108 

Xilinx Inc

   2,632    259 

Xperi Holding Corp

   2,351    35 

Zebra Technologies Corp, Cl A *

   438    112 

Zendesk Inc *

   152    13 

Zoom Video Communications Inc, Cl A *

   1,700    431 

Zscaler Inc *

   681    75 
 

 

 

28  

New Covenant Funds / Annual Report / June 30, 2020


 

 

   
Description  Shares   Market Value
($ Thousands)
 

COMMON STOCK (continued)

    

Zuora Inc, Cl A *

   3,498       $45 
    

 

 

 
     118,835 
    

 

 

 

Materials — 3.0%

    

Air Products and Chemicals Inc

   4,688    1,132 

Albemarle Corp

   167    13 

Alcoa Corp *

   5,657    64 

Allegheny Technologies Inc *

   2,362    24 

AptarGroup Inc

   1,944    218 

Arconic Corp *

   1,844    26 

Ashland Global Holdings Inc

   152    11 

Avery Dennison Corp

   88    10 

Axalta Coating Systems Ltd *

   7,963    180 

Balchem Corp

   488    46 

Ball Corp

   14,154    984 

Berry Global Group Inc *

   4,123    183 

Cabot Corp

   238    9 

Carpenter Technology Corp

   1,006    24 

Celanese Corp, Cl A

   93    8 

CF Industries Holdings Inc

   1,066    30 

Chase Corp

   421    43 

Chemours Co/The

   2,832    43 

Cleveland-Cliffs Inc

   11,888    66 

Coeur Mining Inc *

   6,945    35 

Commercial Metals Co

   2,280    47 

Compass Minerals International Inc

   851    41 

Corteva Inc

   4,112    110 

Crown Holdings Inc *

   6,925    451 

Domtar Corp

   298    6 

Dow Inc

   6,685    272 

DuPont de Nemours Inc

   7,322    389 

Eagle Materials Inc

   126    9 

Eastman Chemical Co

   9,101    634 

Ecolab Inc

   3,153    627 

Element Solutions Inc *

   1,023    11 

FMC Corp

   2,400    239 

Freeport-McMoRan Inc

   31,087    360 

GCP Applied Technologies Inc *

   2,199    41 

Graphic Packaging Holding Co

   681    10 

Greif Inc, Cl A

   1,122    39 

HB Fuller Co

   976    44 

Huntsman Corp

   475    9 

Ingevity Corp *

   563    30 

Innospec Inc

   499    39 

International Flavors & Fragrances Inc

   2,307    283 

International Paper Co

   785    28 

Kraton Corp *

   2,033    35 

Linde PLC

   8,150    1,729 

Livent Corp *

   5,807    36 

Louisiana-Pacific Corp

   1,740    45 

LyondellBasell Industries NV, Cl A

   2,182    143 

Martin Marietta Materials Inc

   397    82 

Minerals Technologies Inc

   880    41 
   
Description  Shares   Market Value
($ Thousands)
 

COMMON STOCK (continued)

    

Mosaic Co/The

   3,590       $45 

Neenah Inc

   693    34 

NewMarket Corp

   102    41 

Newmont Corp

   29,273    1,807 

Novagold Resources Inc *

   6,675    61 

Nucor Corp

   1,510    63 

P H Glatfelter Co

   2,740    44 

Packaging Corp of America

   101    10 

PPG Industries Inc

   2,274    241 

Quaker Chemical Corp

   309    57 

Reliance Steel & Aluminum Co

   412    39 

Royal Gold Inc

   437    54 

RPM International Inc

   664    50 

Scotts Miracle-Gro Co/The

   482    65 

Sealed Air Corp

   293    10 

Sensient Technologies Corp

   779    41 

Sherwin-Williams Co/The

   2,451    1,416 

Silgan Holdings Inc

   1,635    53 

Sonoco Products Co

   185    10 

Southern Copper Corp

   272    11 

Steel Dynamics Inc

   2,648    69 

Stepan Co

   510    50 

Summit Materials Inc, Cl A *

   2,136    34 

Trinseo SA

   1,345    30 

Tronox Holdings PLC

   4,385    32 

United States Lime & Minerals Inc

   581    49 

United States Steel Corp

   3,709    27 

Valvoline Inc

   11,216    217 

Verso Corp

   2,760    33 

Vulcan Materials Co

   665    77 

W R Grace & Co

   733    37 

Warrior Met Coal Inc

   2,378    37 

Westlake Chemical Corp

   718    39 

Westrock Co

   3,989    113 

Worthington Industries Inc

   1,149    43 
    

 

 

 
     14,018 
    

 

 

 

Real Estate — 3.5%

    

Acadia Realty Trust ‡

   1,946    25 

Agree Realty Corp ‡

   736    48 

Alexander & Baldwin Inc ‡

   2,342    29 

Alexandria Real Estate Equities Inc ‡

   1,497    243 

American Assets Trust Inc ‡

   1,128    31 

American Campus Communities Inc ‡

   252    9 

American Finance Trust Inc ‡

   3,743    30 

American Tower Corp, Cl A ‡

   6,167    1,594 

Americold Realty Trust ‡

   346    13 

Apartment Investment and Management Co, Cl A ‡

   1,721    65 

Apple Hospitality REIT Inc ‡

   718    7 

AvalonBay Communities Inc ‡

   3,261    504 

Boston Properties Inc ‡

   1,468    133 

Brandywine Realty Trust ‡

   14,492    158 
 

 

 

New Covenant Funds / Annual Report / June 30, 2020

   29 


SCHEDULE OF INVESTMENTS

June 30, 2020

New Covenant Growth Fund (Continued)

 

   
Description  Shares   Market Value
($ Thousands)
 

COMMON STOCK (continued)

    

Brixmor Property Group Inc ‡

   4,703       $60 

Brookfield Property REIT Inc, Cl A ‡

   622    6 

Camden Property Trust ‡

   850    78 

CareTrust REIT Inc ‡

   2,438    42 

CBRE Group Inc, Cl A *

   29,020    1,312 

Colony Capital Inc ‡

   41,643    100 

Columbia Property Trust Inc ‡

   565    7 

Community Healthcare Trust Inc ‡

   1,136    46 

Corporate Office Properties Trust ‡

   7,752    196 

Cousins Properties Inc ‡

   289    9 

Crown Castle International Corp ‡

   5,046    844 

CubeSmart ‡

   377    10 

Cushman & Wakefield PLC *‡

   2,593    32 

CyrusOne Inc ‡

   181    13 

DiamondRock Hospitality Co ‡

   4,575    25 

Digital Realty Trust Inc ‡

   2,674    380 

Diversified Healthcare Trust ‡

   6,702    30 

Douglas Emmett Inc ‡

   2,338    72 

Duke Realty Corp ‡

   2,798    99 

EastGroup Properties Inc ‡

   379    45 

Empire State Realty Trust Inc, Cl A ‡

   5,592    39 

EPR Properties ‡

   735    24 

Equinix Inc ‡

   1,035    727 

Equity Commonwealth ‡

   2,677    86 

Equity LifeStyle Properties Inc ‡

   167    10 

Equity Residential ‡

   3,485    205 

Essential Properties Realty Trust Inc ‡

   2,028    30 

Essex Property Trust Inc ‡

   454    104 

Extra Space Storage Inc ‡

   811    75 

Federal Realty Investment Trust ‡

   664    57 

First Industrial Realty Trust Inc ‡

   1,226    47 

Four Corners Property Trust Inc ‡

   1,848    45 

Franklin Street Properties Corp ‡

   5,897    30 

Gaming and Leisure Properties Inc ‡

   278    10 

Global Net Lease Inc ‡

   2,484    42 

Healthcare Realty Trust Inc ‡

   1,555    46 

Healthcare Trust of America Inc, Cl A ‡

   392    10 

Highwoods Properties Inc ‡

   247    9 

Host Hotels & Resorts Inc ‡

   17,568    190 

Howard Hughes Corp/The *

   795    41 

Hudson Pacific Properties Inc ‡

   2,475    62 

Independence Realty Trust Inc ‡

   3,625    42 

Industrial Logistics Properties Trust ‡

   2,389    49 

Invitation Homes Inc ‡

   398    11 

Iron Mountain Inc ‡

   5,996    156 

JBG SMITH Properties ‡

   2,065    61 

Jones Lang LaSalle Inc

   1,270    131 

Kennedy-Wilson Holdings Inc ‡

   2,254    34 

Kilroy Realty Corp ‡

   4,516    265 

Kimco Realty Corp ‡

   4,679    60 

Kite Realty Group Trust ‡

   2,741    32 

Lamar Advertising Co, Cl A ‡

   1,059    71 
   
Description  Shares   Market Value
($ Thousands)
 

COMMON STOCK (continued)

    

Lexington Realty Trust, Cl B ‡

   4,761       $50 

Life Storage Inc ‡

   110    10 

LTC Properties Inc ‡

   1,142    43 

Macerich Co/The ‡

   5,508    49 

Marcus & Millichap Inc *‡

   1,380    40 

Medical Properties Trust Inc ‡

   2,513    47 

Mid-America Apartment Communities Inc ‡

   772    89 

Monmouth Real Estate Investment Corp ‡

   3,365    49 

National Health Investors Inc ‡

   635    39 

National Retail Properties Inc ‡

   975    35 

National Storage Affiliates Trust ‡

   1,534    44 

Newmark Group Inc, Cl A ‡

   3,753    18 

Office Properties Income Trust ‡

   1,618    42 

Omega Healthcare Investors Inc ‡

   1,229    37 

Outfront Media Inc ‡

   1,951    28 

Paramount Group Inc ‡

   5,922    46 

Park Hotels & Resorts Inc ‡

   1,996    20 

Pebblebrook Hotel Trust ‡

   1,899    26 

Physicians Realty Trust ‡

   2,753    48 

Piedmont Office Realty Trust Inc, Cl A ‡

   2,333    39 

PotlatchDeltic Corp ‡

   1,174    45 

Prologis Inc ‡

   20,608    1,923 

Public Storage ‡

   1,626    312 

QTS Realty Trust Inc, Cl A ‡

   981    63 

Rayonier Inc ‡

   1,593    39 

RE/MAX Holdings Inc, Cl A

   1,292    41 

Realogy Holdings Corp

   4,621    34 

Realty Income Corp ‡

   2,296    137 

Redfin Corp *

   458    19 

Regency Centers Corp ‡

   28,376    1,302 

Retail Opportunity Investments Corp ‡

   2,907    33 

Retail Properties of America Inc, Cl A ‡

   876    6 

Rexford Industrial Realty Inc ‡

   1,114    46 

RLJ Lodging Trust

   2,849    27 

RMR Group Inc/The, Cl A ‡

   1,095    32 

RPT Realty ‡

   3,429    24 

Ryman Hospitality Properties Inc ‡

   577    20 

Sabra Health Care REIT Inc ‡

   2,410    35 

Safehold Inc ‡

   226    13 

SBA Communications Corp, Cl A ‡

   994    296 

Service Properties Trust ‡

   483    3 

Simon Property Group Inc ‡

   3,706    253 

SITE Centers Corp ‡

   3,734    30 

SL Green Realty Corp ‡

   2,476    122 

Spirit Realty Capital Inc ‡

   237    8 

St Joe Co/The *‡

   2,464    48 

STAG Industrial Inc ‡

   1,647    48 

STORE Capital Corp ‡

   2,555    61 

Summit Hotel Properties Inc ‡

   4,173    25 

Sunstone Hotel Investors Inc ‡

   3,516    29 

Tanger Factory Outlet Centers Inc ‡

   3,357    24 

Taubman Centers Inc ‡

   1,690    64 
 

 

 

30  

New Covenant Funds / Annual Report / June 30, 2020


 

 

   
Description  Shares   

Market Value

($ Thousands)

 

COMMON STOCK (continued)

    

Terreno Realty Corp ‡

   941   $50 

UDR Inc ‡

   250    9 

Uniti Group Inc ‡

   6,587    62 

Universal Health Realty Income Trust ‡

   439    35 

Urban Edge Properties ‡

   2,679    32 

Urstadt Biddle Properties Inc, Cl A ‡

   2,126    25 

Ventas Inc ‡

   3,279    120 

VEREIT Inc ‡

   10,217    66 

VICI Properties Inc ‡

   2,012    41 

Vornado Realty Trust ‡

   2,903    111 

Washington Real Estate Investment Trust ‡

   1,705    38 

Weingarten Realty Investors ‡

   2,933    56 

Welltower Inc ‡

   4,270    221 

Weyerhaeuser Co ‡

   17,005    382 

WP Carey Inc ‡

   149    10 

Xenia Hotels & Resorts Inc ‡

   2,347    22 
    

 

 

 
     16,337 
    

 

 

 

Utilities — 2.8%

    

AES Corp/The

   5,282    77 

ALLETE Inc

   620    34 

Alliant Energy Corp

   213    10 

Ameren Corp

   1,172    82 

American Electric Power Co Inc

   5,930    472 

American States Water Co

   580    46 

American Water Works Co Inc

   2,717    350 

Atmos Energy Corp

   461    46 

Avangrid Inc

   1,720    72 

Black Hills Corp

   641    36 

California Water Service Group

   978    47 

CenterPoint Energy Inc

   434    8 

Clearway Energy Inc, Cl C

   2,583    60 

CMS Energy Corp

   20,708    1,210 

Consolidated Edison Inc

   3,086    222 

Dominion Energy Inc

   9,854    800 

DTE Energy Co

   9,809    1,054 

Duke Energy Corp

   9,540    762 

Edison International

   3,288    179 

El Paso Electric Co

   742    50 

Entergy Corp

   2,276    214 

Essential Utilities Inc

   331    14 

Evergy Inc

   180    11 

Eversource Energy

   10,983    915 

Exelon Corp

   11,090    402 

FirstEnergy Corp

   4,900    190 

Hawaiian Electric Industries Inc

   249    9 

IDACORP Inc

   108    9 

MDU Resources Group Inc

   386    9 

MGE Energy Inc

   631    41 

Middlesex Water Co

   790    53 

National Fuel Gas Co

   245    10 

New Jersey Resources Corp

   1,111    36 

NextEra Energy Inc

   6,768    1,625 
   
Description  Shares   

Market Value

($ Thousands)

 

COMMON STOCK (continued)

    

NiSource Inc

   419   $10 

Northwest Natural Holding Co

   699    39 

NRG Energy Inc

   2,300    75 

OGE Energy Corp

   261    8 

ONE Gas Inc

   534    41 

Ormat Technologies Inc

   644    41 

PG&E Corp *

   692    6 

Pinnacle West Capital Corp

   2,640    193 

PNM Resources Inc

   975    37 

Portland General Electric Co

   894    37 

PPL Corp

   7,025    182 

Public Service Enterprise Group Inc

   5,257    258 

Sempra Energy

   3,086    362 

SJW Group

   716    44 

South Jersey Industries Inc

   1,556    39 

Southern Co/The

   13,370    693 

Sunnova Energy International Inc *

   717    12 

UGI Corp

   253    8 

Unitil Corp

   794    36 

Vistra Energy Corp

   2,088    39 

WEC Energy Group Inc

   2,560    224 

Xcel Energy Inc

   21,147    1,322 
    

 

 

 
     12,861 
    

 

 

 
     446,497 
    

 

 

 

Total Common Stock

    

(Cost $326,434) ($ Thousands)

     451,971 
    

 

 

 

PREFERRED STOCK — 0.0%

    

WESCO International, 10.625%

   356    10 
    

 

 

 

 

Total Preferred Stock

    

(Cost $9) ($ Thousands)

     10 
    

 

 

 
   Number of
Rights
     

RIGHT — 0.0%

    

T-Mobile US Inc, Expires 07/30/2020

   3,577    1 
    

 

 

 

Total Right

    

(Cost $—) ($ Thousands)

     1 
    

 

 

 
 

 

 

New Covenant Funds / Annual Report / June 30, 2020

   31 


SCHEDULE OF INVESTMENTS

June 30, 2020

New Covenant Growth Fund (Concluded)

 

   
Description  Shares   Market Value
($ Thousands)
 

CASH EQUIVALENT — 1.4%

    

SEI Daily Income Trust, Government Fund, Cl F 0.030%**

   6,613,241   $6,613 
    

 

 

 

Total Cash Equivalent

    

(Cost $6,613) ($ Thousands)

     6,613 
    

 

 

 

Total Investments in Securities — 99.4%

    

(Cost $333,056) ($ Thousands)

    $458,595 
    

 

 

 

    

 

 

A list of the open futures contracts held by the Fund at June 30, 2020 are as follows:

 

      
Type of Contract  

Number of

Contracts
Long

   Expiration
Date
   Notional Amount
(Thousands)
   Value
(Thousands)
   

Unrealized
Appreciation

(Thousands)

 

Russell 2000 Index E-MINI

   11    Sep-2020   $777   $791   $14 

S&P 500 Index E-MINI

   42    Sep-2020    6,382    6,490    108 
      

 

 

   

 

 

   

 

 

 
      $7,159   $7,281   $122 
      

 

 

   

 

 

   

 

 

 

 

The futures contracts are considered to have interest rate risk associated with them.

 

  

Percentages are based on Net Assets of $461,493 ($ Thousands).

  

Real Estate Investment Trust.

  *

Non-income producing security.

  **

The rate reported is the 7-day effective yield as of June 30, 2020.

  

Investment in Affiliated Security (see Note 3).

 (A)

Security is a Master Limited Partnership. At June 30, 2020, such securities amounted to $66 ($ Thousands), or 0.0% of the net assets (see Note 2).

Cl — Class

Ltd. — Limited

MSCI — Morgan Stanley Capital International

PLC — Public Limited Company

REIT— Real Estate investment Trust

S&P — Standard & Poor’s

The following is a list of the levels of inputs used as of June 30, 2020 in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

     
Investments in Securities  

Level 1

($)

   

Level 2

($)

   Level 3
($)
   

Total

($)

 

Common Stock

   451,971            451,971 

Preferred Stock

       10        10 

Right

   1            1 

Cash Equivalent

   6,613            6,613 
  

 

 

   

 

 

   

 

 

   

 

 

 

Total Investments in Securities

   458,585    10        458,595 
  

 

 

   

 

 

   

 

 

   

 

 

 
        
     
Other Financial Instruments  Level 1
($)
   Level 2
($)
   Level 3
($)
   Total
($)
 

Futures Contracts*

        

Unrealized Appreciation

   122            122 
  

 

 

   

 

 

   

 

 

   

 

 

 

Total Other Financial Instruments

   122            122 
  

 

 

   

 

 

   

 

 

   

 

 

 

* Futures contracts are valued at the unrealized appreciation on the instrument.

For the year ended June 30, 2020, there were no transfers in or out of Level 3.

Amounts designated as “—” are either $0 or have been rounded to $0.

For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.

 

 

The following is a summary of the Fund’s transactions with affiliates for the year ended June 30, 2020 ($ Thousands):

 

          
Security Description Value
6/30/19
 Purchases
at Cost
 Proceeds
from
Sales
 Realized
Gain/
(Loss)
 Change in
Unrealized
Appreciation
(Depreciation)
 Value
6/30/2020
 Shares Dividend
Income
 Capital
Gains

SEI Daily Income Trust, Government Fund, Cl F

  $  8,829  $  85,535  $  (87,751)   $  —  $  —  $  6,613   6,613,241  $  90  $  —
  

 

 

   

 

 

   

 

 

   

 

 

   

 

 

   

 

 

     

 

 

   

 

 

 

The accompanying notes are an integral part of the financial statements.

 

 

32  

New Covenant Funds / Annual Report / June 30, 2020


SCHEDULE OF INVESTMENTS

June 30, 2020

New Covenant Income Fund

 

 

Sector Weightings (Unaudited):

 

LOGO

Percentages based on total investments.

 

   
Description  Face Amount
(Thousands)
   Market Value
($ Thousands)
 

 

MORTGAGE-BACKED SECURITIES — 38.0%

 

Agency Mortgage-Backed Obligations — 29.6%

 

FHLMC

    

6.500%, 09/01/2039

  $30   $34 

5.500%, 12/01/2036 to 12/01/2038

   245    280 

5.000%, 12/01/2020 to 03/01/2050

   1,306    1,467 

4.500%, 06/01/2038 to 04/01/2050

   7,013    7,633 

4.000%, 07/01/2037 to 03/01/2050

   3,033    3,284 

3.500%, 11/01/2042 to 03/01/2050

   3,923    4,205 

3.000%, 08/01/2046 to 03/01/2050

   5,882    6,283 

2.500%, 08/01/2030 to 06/01/2050

   2,853    3,004 

FHLMC CMO, Ser 2011-3947, Cl SG, IO

    

5.765%, VAR LIBOR USD 1
Month+5.950%, 10/15/2041

   217    38 

FHLMC CMO, Ser 2012-4057, Cl UI, IO

    

3.000%, 05/15/2027

   124    7 

FHLMC CMO, Ser 2012-4085, Cl IO, IO

    

3.000%, 06/15/2027

   255    14 

FHLMC CMO, Ser 2012-4099, Cl ST, IO

    

5.815%, VAR LIBOR USD 1
Month+6.000%, 08/15/2042

   109    19 

FHLMC CMO, Ser 2013-4194, Cl BI, IO

    

3.500%, 04/15/2043

   126    13 

FHLMC CMO, Ser 2013-4203, Cl PS, IO

    

6.065%, VAR LIBOR USD 1
Month+6.250%, 09/15/2042

   153    26 

FHLMC CMO, Ser 2014-4310, Cl SA, IO

    

5.765%, VAR LIBOR USD 1
Month+5.950%, 02/15/2044

   44    7 
   
Description  Face Amount
(Thousands)
   Market Value
($ Thousands)
 

 

MORTGAGE-BACKED SECURITIES (continued)

 

FHLMC CMO, Ser 2014-4335, Cl SW, IO

    

5.295%, VAR LIBOR USD 1
Month+6.000%, 05/15/2044

  $91   $18 

FHLMC CMO, Ser 2014-4415, Cl IO, IO

    

3.371%, 04/15/2041 (A)

   44    3 

FHLMC Multifamily Structured Pass Through Certificates, Ser K091, Cl A2

    

3.505%, 03/25/2029

   120    142 

FHLMC Structured Agency Credit Risk Debt Notes, Ser 2016-DNA1, Cl M3

    

5.718%, VAR ICE LIBOR USD 1
Month+5.550%, 07/25/2028

   349    364 

FHLMC Structured Agency Credit Risk Debt Notes, Ser 2017-DNA1, Cl M1

    

1.385%, VAR ICE LIBOR USD 1
Month+1.200%, 07/25/2029

   23    23 

FHLMC, Ser 2016-353, Cl S1, IO

    

5.815%, VAR LIBOR USD 1
Month+6.000%, 12/15/2046

   136    28 

FHLMC, Ser 2018-4813, Cl CJ

    

3.000%, 08/15/2048

   145    150 

FNMA

    

7.000%, 11/01/2037 to 11/01/2038

   28    33 

6.500%, 01/01/2038 to 05/01/2040

   187    217 

6.000%, 07/01/2037 to 11/01/2038

   141    159 

5.500%, 02/01/2035

   112    128 

5.000%, 01/01/2021 to 12/01/2049

   6,196    6,835 

4.893%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr+2.268%, 01/01/2036

   24    24 

4.500%, 02/01/2035 to 04/01/2056

   7,365    8,083 

4.174%, VAR ICE LIBOR USD 12
Month+1.700%, 03/01/2036

   21    21 

4.075%, VAR ICE LIBOR USD 12
Month+1.435%, 05/01/2043

   217    225 

4.000%, 06/01/2025 to 03/01/2050

   11,561    12,563 

3.500%, 04/01/2033 to 03/01/2057

   11,037    11,925 

3.000%, 08/01/2046 to 06/01/2050

   4,308    4,575 

2.850%, 08/01/2031

   100    113 

2.790%, 08/01/2029

   200    224 

2.770%, 08/01/2031

   100    112 

2.765%, 08/01/2031

   100    112 

2.260%, 04/01/2030

   100    108 

2.240%, 09/01/2026

   139    149 

FNMA CMO, Ser 2003-W2, Cl 2A9

    

5.900%, 07/25/2042

   419    489 

FNMA CMO, Ser 2012-93, Cl UI, IO

    

3.000%, 09/25/2027

   344    20 

FNMA CMO, Ser 2014-47, Cl AI, IO

    

2.212%, 08/25/2044 (A)

   109    7 

FNMA CMO, Ser 2015-55, Cl IO, IO

    

1.900%, 08/25/2055 (A)

   27    1 
 

 

 

New Covenant Funds / Annual Report / June 30, 2020

   33 


SCHEDULE OF INVESTMENTS

June 30, 2020

New Covenant Income Fund (Continued)

 

   
Description  Face Amount
(Thousands)
   Market Value
($ Thousands)
 

 

MORTGAGE-BACKED SECURITIES (continued)

 

FNMA CMO, Ser 2015-56, Cl AS, IO

    

5.203%, VAR LIBOR USD 1
Month+6.150%, 08/25/2045

  $54   $14 

FNMA Connecticut Avenue Securities, Ser 2014-C04, Cl 1M2

    

5.085%, VAR ICE LIBOR USD 1
Month+4.900%, 11/25/2024

   233    239 

FNMA TBA

    

2.500%, 07/25/2043

   2,300    2,398 

FNMA, Ser 2005-29, Cl ZA

    

5.500%, 04/25/2035

   133    158 

FNMA, Ser 2012-101, Cl BI, IO

    

4.000%, 09/25/2027

   12    1 

FNMA, Ser 2013-54, Cl BS, IO

    

5.966%, VAR LIBOR USD 1
Month+6.150%, 06/25/2043

   43    11 

FNMA, Ser 2017-76, Cl SB, IO

    

5.916%, VAR LIBOR USD 1
Month+6.100%, 10/25/2057

   245    46 

FNMA, Ser 2017-85, Cl SC, IO

    

5.253%, VAR LIBOR USD 1
Month+6.200%, 11/25/2047

   61    12 

FNMA, Ser 2020-47, Cl GZ

    

2.000%, 07/25/2050

   100    99 

FNMA, Ser M19, Cl A2

    

2.560%, 09/25/2029

   389    428 

FNMA, Ser M23, Cl 3A3

    

2.720%, 10/25/2031 (A)

   100    108 

FNMA, Ser M4, Cl A2

    

3.610%, 02/25/2031

   80    95 

FNMA, Ser M6, Cl A2

    

3.450%, 01/01/2029

   170    196 

FRESB Mortgage Trust, Ser SB48, Cl A10F

    

3.370%, 02/25/2028 (A)

   696    751 

FRESB Mortgage Trust, Ser SB58, Cl A10F

    

3.610%, 10/25/2028 (A)

   1,043    1,129 

GNMA

    

5.500%, 02/20/2037 to 01/15/2039

   108    123 

5.000%, 12/20/2038 to 01/20/2049

   1,034    1,154 

4.600%, 09/15/2034

   1,844    2,055 

4.500%, 07/20/2038 to 03/20/2050

   4,021    4,372 

4.000%, 01/15/2041 to 11/20/2049

   2,896    3,134 

3.500%, 06/20/2044 to 05/15/2050

   1,793    1,916 

3.000%, 09/15/2042 to 01/20/2050

   653    692 

2.500%, 02/20/2027

   543    568 

GNMA CMO, Ser 186, Cl IO, IO

    

0.700%, 08/16/2054 (A)

   973    35 

GNMA CMO, Ser 2012-34, Cl SA, IO

    

5.860%, VAR LIBOR USD 1 Month+6.050%, 03/20/2042

   32    7 

GNMA CMO, Ser 2012-66, Cl CI, IO

    

3.500%, 02/20/2038

   50    2 
   
Description  Face Amount
(Thousands)
   Market Value
($ Thousands)
 

 

MORTGAGE-BACKED SECURITIES (continued)

 

GNMA CMO, Ser 2012-H18, Cl NA

    

0.823%, VAR ICE LIBOR USD 1
Month+0.520%, 08/20/2062

  $153   $153 

GNMA CMO, Ser 2012-H30, Cl GA

    

0.653%, VAR ICE LIBOR USD 1
Month+0.350%, 12/20/2062

   706    703 

GNMA CMO, Ser 2013-H01, Cl TA

    

0.803%, VAR ICE LIBOR USD 1
Month+0.500%, 01/20/2063

   6    6 

GNMA CMO, Ser 2013-H08, Cl BF

    

0.703%, VAR ICE LIBOR USD 1
Month+0.400%, 03/20/2063

   662    660 

GNMA CMO, Ser 2014-105, Cl IO, IO

    

0.921%, 06/16/2054 (A)

   1,091    44 

GNMA CMO, Ser 2015-H20, Cl FA

    

0.773%, VAR ICE LIBOR USD 1
Month+0.470%, 08/20/2065

   257    256 

GNMA CMO, Ser 85, Cl IA, IO

    

0.685%, 03/16/2047 (A)

   2,693    79 

GNMA CMO, Ser 95, Cl IO, IO

    

0.547%, 04/16/2047 (A)

   1,357    40 

GNMA TBA

    

2.500%, 07/01/2045

   100    105 

GNMA, Ser 107, Cl AD

    

2.694%, 11/16/2047 (A)

   94    99 

GNMA, Ser 2013-H21, Cl FB

    

1.003%, VAR ICE LIBOR USD 1
Month+0.700%, 09/20/2063

   477    478 

GNMA, Ser 2015-167, Cl OI, IO

    

4.000%, 04/16/2045

   96    15 

GNMA, Ser 2020-H04, Cl FP

    

0.803%, VAR ICE LIBOR USD 1
Month+0.500%, 06/20/2069

   196    196 

GNMA, Ser 2020-H09, Cl FL

    

1.340%, VAR ICE LIBOR USD 1
Month+1.150%, 05/20/2070

   100    104 

GNMA, Ser 28, Cl AB

    

3.150%, 06/16/2060

   77    81 

UMBS TBA

    

2.000%, 07/14/2169 to 07/16/2169

   3,300    3,391 
    

 

 

 
     99,318 
    

 

 

 

Non-Agency Mortgage-Backed Obligations — 8.4%

 

280 Park Avenue Mortgage Trust, Ser 280P, Cl A

    

1.065%, VAR ICE LIBOR USD 1
Month+0.880%, 09/15/2034 (B)

   130    129 

BX Commercial Mortgage Trust, Ser XL, Cl A

    

1.625%, VAR ICE LIBOR USD 1 Month+0.920%, 10/15/2036 (B)

   1,056    1,048 

Citigroup Commercial Mortgage Trust, Ser 2014-GC25, Cl AS

    

4.017%, 10/10/2047

   100    107 
 

 

 

34  

New Covenant Funds / Annual Report / June 30, 2020


 

 

   
Description  Face Amount
(Thousands)
   Market Value
($ Thousands)
 

 

MORTGAGE-BACKED SECURITIES (continued)

 

Citigroup Commercial Mortgage Trust, Ser 2016-P6, Cl AAB

    

3.512%, 12/10/2049

  $810   $872 

Citigroup Commercial Mortgage Trust, Ser 375P, Cl A

    

3.251%, 05/10/2035 (B)

   190    198 

COMM Mortgage Trust, Ser CR5, Cl A4

    

2.771%, 12/10/2045

   700    713 

COMM Mortgage Trust, Ser CR5, Cl AM

    

3.223%, 12/10/2045 (B)

   590    600 

COMM Mortgage Trust, Ser CR8, Cl A4

    

3.334%, 06/10/2046

   565    595 

Commercial Mortgage Trust, Ser 2013-CR12, Cl C

    

5.240%, 10/10/2046 (A)

   10    9 

Commercial Mortgage Trust, Ser 2013-CR12, Cl B

    

4.762%, 10/10/2046 (A)

   20    21 

Commercial Mortgage Trust, Ser 2013-CR12, Cl AM

    

4.300%, 10/10/2046

   20    21 

Credit Suisse Mortgage Trust, Ser 2019- NQM1, Cl A3

    

3.064%, 10/25/2059 (B)

   356    362 

CSMC Trust, Ser 2018-J1, Cl A2

    

3.500%, 02/25/2048 (A)(B)

   999    1,035 

CSMC, Ser USA, Cl B

    

4.185%, 09/15/2037 (B)

   470    430 

DBUBS Mortgage Trust, Ser LC2A, Cl A4

    

4.537%, 07/10/2044 (B)

   1,009    1,025 

DRB Prime Student Loan Trust, Ser 2015-B, Cl A1

    

2.085%, VAR ICE LIBOR USD 1 Month+1.900%, 10/27/2031 (B)

   78    79 

Flagstar Mortgage Trust, Ser 2018-2, Cl A4

    

3.500%, 04/25/2048 (A)(B)

   191    197 

GS Mortage-Backed Securities Trust, Ser 2020-PJ1, Cl A6

    

3.500%, 05/25/2050 (A)(B)

   678    682 

GS Mortgage Securities Trust, Ser 2013- GC16, Cl B

    

5.161%, 11/10/2046 (A)

   80    85 

GS Mortgage Securities Trust, Ser 2018- SRP5, Cl A

    

3.281%, 06/09/2021

   620    593 

GS Mortgage Securities Trust, Ser 2018- SRP5, Cl B

    

4.481%, 06/09/2021

   430    406 

GS Mortgage-Backed Securities Trust, Ser 2018-RPL1, Cl A1A

    

3.750%, 10/25/2057 (B)

   331    348 
   
Description  Face Amount
(Thousands)
   Market Value
($ Thousands)
 

 

MORTGAGE-BACKED SECURITIES (continued)

 

GS Mortgage-Backed Securities Trust, Ser 2020-INV1, Cl A14

    

3.000%, 08/25/2050 (A)(B)

  $850   $877 

JPMBB Commercial Mortgage Securities Trust, Ser 2013-C15, Cl B

    

4.927%, 11/15/2045 (A)

   210    216 

JPMBB Commercial Mortgage Securities Trust, Ser 2013-C17, Cl B

    

5.053%, 01/15/2047 (A)

   30    31 

JPMBB Commercial Mortgage Securities Trust, Ser 2014-C22, Cl C

    

4.706%, 09/15/2047 (A)

   80    66 

JPMorgan Chase Commercial Mortgage Securities Trust, Ser C6, Cl A3

    

3.507%, 05/15/2045

   1,071    1,105 

JPMorgan Chase Commercial Mortgage Securities Trust, Ser FL7, Cl D

    

4.455%, VAR ICE LIBOR USD 1 Month+3.750%, 05/15/2028 (B)

   129    126 

JPMorgan Chase Commercial Mortgage Securities Trust, Ser LC9, Cl AS

    

3.353%, 12/15/2047 (B)

   380    388 

JPMorgan Mortgage Trust, Ser 2015-5, Cl A9

    

2.755%, 05/25/2045 (A)(B)

   72    73 

JPMorgan Mortgage Trust, Ser 2016-1, Cl A5

    

3.500%, 05/25/2046 (A)(B)

   269    271 

JPMorgan Mortgage Trust, Ser 2018-3, Cl A1

    

3.500%, 09/25/2048 (A)(B)

   523    536 

JPMorgan Mortgage Trust, Ser 2018-4, Cl A1

    

3.500%, 10/25/2048 (A)(B)

   193    198 

JPMorgan Mortgage Trust, Ser 2018-5, Cl A1

    

3.500%, 10/25/2048 (A)(B)

   360    367 

JPMorgan Mortgage Trust, Ser 2018-6, Cl 1A4

    

3.500%, 12/25/2048 (A)(B)

   138    138 

Lanark Master Issuer, Ser 2018-1A, Cl 1A

    

0.778%, VAR ICE LIBOR USD 3 Month+0.420%, 12/22/2069 (B)

   518    518 

MAD Mortgage Trust, Ser 330M, Cl A

    

3.082%, 08/15/2034 (A)(B)

   220    231 

Morgan Stanley Bank of America Merrill Lynch Trust, Ser C34, Cl ASB

    

3.354%, 11/15/2052

   615    660 

Morgan Stanley Bank of America Merrill Lynch Trust, Ser C5, Cl A4

    

3.176%, 08/15/2045

   1,475    1,507 

Morgan Stanley Bank of America Merrill Lynch Trust, Ser C9, Cl A4

    

3.102%, 05/15/2046

   714    741 

Morgan Stanley Capital I Trust, Ser 2012-C4, Cl A4

    

3.244%, 03/15/2045

   220    224 

 

 

 

 

New Covenant Funds / Annual Report / June 30, 2020

   35 


SCHEDULE OF INVESTMENTS

June 30, 2020

New Covenant Income Fund (Continued)

 

   
Description  Face Amount
(Thousands)
   Market Value
($ Thousands)
 

 

MORTGAGE-BACKED SECURITIES (continued)

 

Morgan Stanley Capital I Trust, Ser BPR, Cl A

    

2.105%, VAR ICE LIBOR USD 1 Month+1.400%, 05/15/2036 (B)

  $320   $284 

MSCG Trust, Ser 2016-SNR, Cl C

    

5.205%, 11/15/2034 (B)

   128    125 

MSCG Trust, Ser ALDR, Cl A2

    

3.577%, 06/07/2035 (A)(B)

   410    403 

Natixis Commercial Mortgage Securities Trust, Ser FAME, Cl B

    

3.655%, 08/15/2036 (B)

   410    382 

New Residential Mortgage Loan Trust, Ser 2019-4A, Cl A1B

    

3.500%, 12/25/2058 (A)(B)

   344    364 

New Residential Mortgage Loan Trust, Ser 2019-NQM4, Cl A1

    

2.492%, 09/25/2059 (A)(B)

   496    499 

Residential Mortgage Loan Trust, Ser 2019- 3, Cl A2

    

2.941%, 09/25/2059 (A)(B)

   344    343 

Residential Mortgage Loan Trust, Ser 2019- 3, Cl A3

    

3.044%, 09/25/2059 (A)(B)

   344    340 

Residential Mortgage Loan Trust, Ser 2020- 2, Cl A1

    

1.654%, 05/25/2060 (A)(B)

   550    550 

Seasoned Credit Risk Transfer Trust, Ser 2019-4, Cl MA

    

3.000%, 02/25/2059

   522    556 

Seasoned Credit Risk Transfer Trust, Ser 2019-1, Cl MA

    

3.500%, 07/25/2058

   871    948 

Seasoned Credit Risk Transfer Trust, Ser 2019-2, Cl MA

    

3.500%, 08/25/2058

   736    801 

Sequoia Mortgage Trust, Ser 2017-1, Cl A4

    

3.500%, 02/25/2047 (A)(B)

   536    550 

Sequoia Mortgage Trust, Ser 2017-5, Cl A4

    

3.500%, 08/25/2047 (A)(B)

   490    497 

Sequoia Mortgage Trust, Ser 2017-6, Cl A4

    

3.500%, 09/25/2047 (A)(B)

   239    243 

Towd Point Mortgage Trust, Ser 2015-5, Cl A1B

    

2.750%, 05/25/2055 (A)(B)

   142    143 

UBS-BAMLL Trust, Ser 2012-WRM, Cl A

    

3.663%, 06/10/2030 (B)

   116    117 

UBS-Barclays Commercial Mortgage Trust, Ser 2012-C2, Cl A4

    

3.525%, 05/10/2063

   73    75 

UBS-Barclays Commercial Mortgage Trust, Ser 2012-CN, Cl XA, IO

    

1.456%, 05/10/2063 (A)(B)

   327    7 

 

   
Description  Face Amount
(Thousands)
   Market Value
($ Thousands)
 

 

MORTGAGE-BACKED SECURITIES (continued)

 

Wells Fargo Commercial Mortgage Trust, Ser 2015-NXS3, Cl NXS3

    

3.371%, 09/15/2057

  $160   $168 

WF-RBS Commercial Mortgage Trust, Ser 2012-C7, Cl XA, IO

    

1.480%, 06/15/2045 (A)(B)

   1,064    19 

WFRBS Commercial Mortgage Trust, Ser 2013-C13, Cl XA, IO

    

1.329%, 05/15/2045 (A)(B)

   1,057    29 

WFRBS Commercial Mortgage Trust, Ser 2014-C23, Cl XA, IO

    

0.712%, 10/15/2057 (A)

   1,047    21 

WFRBS Commercial Mortgage Trust, Ser 2014-C23, Cl B

    

4.526%, 10/15/2057 (A)

   270    281 

WFRBS Commercial Mortgage Trust, Ser C11, Cl AS

    

3.311%, 03/15/2045

   160    165 

WFRBS Commercial Mortgage Trust, Ser C2, Cl A4

    

4.869%, 02/15/2044 (A)(B)

   770    779 

WFRBS Commercial Mortgage Trust, Ser C4, Cl A4

    

4.902%, 06/15/2044 (A)(B)

   1,796    1,824 
    

 

 

 
     28,341 
    

 

 

 

Total Mortgage-Backed Securities
(Cost $124,429) ($ Thousands)

     127,659 
    

 

 

 

CORPORATE OBLIGATIONS — 35.2%

 

Communication Services — 3.2%

 

AT&T

    

4.250%, 03/01/2027

   150    171 

4.125%, 02/17/2026

   408    465 

3.849%, 11/27/2022 (B)(C)

   2,000    1,957 

3.000%, 06/30/2022

   10    10 

2.300%, 06/01/2027

   120    124 

Charter Communications Operating

    

5.050%, 03/30/2029

   20    24 

4.908%, 07/23/2025

   310    355 

4.800%, 03/01/2050

   40    44 

3.750%, 02/15/2028

   20    22 

Comcast

    

4.700%, 10/15/2048

   20    27 

4.150%, 10/15/2028

   80    96 

3.950%, 10/15/2025

   210    241 

3.750%, 04/01/2040

   20    23 

3.450%, 02/01/2050

   70    80 

3.400%, 04/01/2030

   40    46 

3.300%, 04/01/2027

   30    34 

3.250%, 11/01/2039

   30    33 
 

 

 

36  

New Covenant Funds / Annual Report / June 30, 2020


 

 

   
Description  Face Amount
(Thousands)
   Market Value
($ Thousands)
 

 

CORPORATE OBLIGATIONS (continued)

 

3.150%, 03/01/2026

  $30   $33 

3.100%, 04/01/2025

   10    11 

Comcast Cable Communications Holdings

    

9.455%, 11/15/2022

   1,116    1,355 

Cox Communications

    

3.250%, 12/15/2022 (B)

   859    905 

Fox

    

4.709%, 01/25/2029

   40    48 

Sprint Spectrum

    

3.360%, 09/20/2021 (B)

   241    244 

TCI Communications

    

7.875%, 02/15/2026

   240    328 

Telefonica Emisiones SAU

    

4.895%, 03/06/2048

   340    410 

Tencent Holdings MTN

    

3.595%, 01/19/2028 (B)

   250    272 

T-Mobile USA

    

3.875%, 04/15/2030 (B)

   170    189 

3.750%, 04/15/2027 (B)

   20    22 

3.500%, 04/15/2025 (B)

   289    315 

Verizon Communications

    

4.862%, 08/21/2046

   40    54 

4.329%, 09/21/2028

   435    524 

4.125%, 08/15/2046

   40    50 

4.000%, 03/22/2050

   40    51 

3.875%, 02/08/2029

   30    36 

3.850%, 11/01/2042

   10    12 

3.376%, 02/15/2025

   282    314 

3.000%, 03/22/2027

   20    22 

2.625%, 08/15/2026

   513    558 

Viacom

    

3.875%, 04/01/2024

   20    21 

Vodafone Group PLC

    

3.750%, 01/16/2024

   410    448 

Walt Disney

    

3.350%, 03/24/2025

   469    520 

3.000%, 09/15/2022

   30    32 
    

 

 

 
     10,526 
    

 

 

 

Consumer Discretionary — 1.5%

    

Amazon.com

    

4.250%, 08/22/2057

   10    13 

3.150%, 08/22/2027

   470    538 

1.200%, 06/03/2027

   20    20 

BMW US Capital

    

1.850%, 09/15/2021 (B)

   20    20 

Cargill

    

1.375%, 07/23/2023 (B)

   70    71 

Dollar General

    

3.250%, 04/15/2023

   10    11 

General Motors

    

5.400%, 10/02/2023

   576    623 
   
Description  Face Amount
(Thousands)
   Market Value
($ Thousands)
 

 

CORPORATE OBLIGATIONS (continued)

    

General Motors Financial

    

4.150%, 06/19/2023

  $600   $627 

3.700%, 11/24/2020

   80    80 

3.700%, 05/09/2023

   190    195 

2.450%, 11/06/2020

   30    30 

Home Depot

    

3.900%, 12/06/2028

   10    12 

3.900%, 06/15/2047

   10    12 

3.350%, 04/15/2050

   140    160 

3.300%, 04/15/2040

   40    45 

2.500%, 04/15/2027

   450    493 

KazMunayGas National JSC

    

5.375%, 04/24/2030 (B)

   400    452 

Lowe’s

    

5.125%, 04/15/2050

   100    136 

5.000%, 04/15/2040

   30    39 

4.500%, 04/15/2030

   30    37 

McDonald’s MTN

    

4.200%, 04/01/2050

   70    85 

3.700%, 01/30/2026

   20    23 

3.625%, 09/01/2049

   10    11 

3.500%, 03/01/2027

   20    23 

3.350%, 04/01/2023

   280    300 

3.300%, 07/01/2025

   50    56 

1.450%, 09/01/2025

   10    10 

Newell Brands

    

4.350%, 04/01/2023

   53    55 

NIKE

    

3.375%, 03/27/2050

   90    104 

2.750%, 03/27/2027

   40    44 

2.400%, 03/27/2025

   355    382 

Starbucks

    

2.000%, 03/12/2027

   136    142 

Target

    

2.650%, 09/15/2030

   100    110 

2.250%, 04/15/2025

   80    86 

TJX

    

3.500%, 04/15/2025

   50    56 
    

 

 

 
     5,101 
    

 

 

 

Consumer Staples — 0.8%

    

Coca-Cola

    

4.200%, 03/25/2050

   190    248 

4.125%, 03/25/2040

   20    25 

3.375%, 03/25/2027

   30    34 

2.950%, 03/25/2025

   50    55 

2.600%, 06/01/2050

   20    20 

1.450%, 06/01/2027

   80    82 

Costco Wholesale

    

1.600%, 04/20/2030

   90    91 

1.375%, 06/20/2027

   120    123 
 

 

 

New Covenant Funds / Annual Report / June 30, 2020

   37 


SCHEDULE OF INVESTMENTS

June 30, 2020

New Covenant Income Fund (Continued)

 

   
Description  Face Amount
(Thousands)
   Market Value
($ Thousands)
 

 

CORPORATE OBLIGATIONS (continued)

    

Hershey

    

0.900%, 06/01/2025

  $20   $20 

Kimberly-Clark

    

3.100%, 03/26/2030

   20    23 

Mars

    

3.200%, 04/01/2030 (B)

   30    34 

2.700%, 04/01/2025 (B)

   60    64 

Mondelez International

    

2.125%, 04/13/2023

   30    31 

1.500%, 05/04/2025

   80    82 

PepsiCo

    

3.875%, 03/19/2060

   20    25 

3.625%, 03/19/2050

   30    36 

3.000%, 08/25/2021

   290    298 

2.875%, 10/15/2049

   20    22 

2.750%, 03/05/2022

   80    83 

2.625%, 03/19/2027

   10    11 

2.250%, 03/19/2025

   331    354 

1.625%, 05/01/2030

   70    71 

0.750%, 05/01/2023

   80    81 

Procter & Gamble

    

3.600%, 03/25/2050

   50    63 

3.550%, 03/25/2040

   50    60 

3.000%, 03/25/2030

   40    46 

2.800%, 03/25/2027

   10    11 

2.450%, 03/25/2025

   339    368 

Walmart

    

3.550%, 06/26/2025

   20    23 

3.400%, 06/26/2023

   30    33 

3.050%, 07/08/2026

   100    113 
    

 

 

 
     2,630 
    

 

 

 

Energy — 3.6%

    

Apache

    

3.250%, 04/15/2022

   616    596 

Berkshire Hathaway Energy

    

3.700%, 07/15/2030 (B)

   140    164 

BP Capital Markets America

    

3.790%, 02/06/2024

   80    87 

3.633%, 04/06/2030

   50    57 

3.410%, 02/11/2026

   40    44 

3.216%, 11/28/2023

   90    97 

3.119%, 05/04/2026

   170    186 

2.937%, 04/06/2023

   281    297 

BP Capital Markets PLC

    

3.535%, 11/04/2024

   20    22 

Cameron LNG

    

2.902%, 07/15/2031 (B)

   60    64 

Chevron

    

3.078%, 05/11/2050

   10    11 

2.100%, 05/16/2021

   130    132 

1.995%, 05/11/2027

   40    42 
   
Description  Face Amount
(Thousands)
   Market Value
($ Thousands)
 

 

CORPORATE OBLIGATIONS (continued)

 

1.554%, 05/11/2025

  $70   $72 

Cimarex Energy

    

4.375%, 06/01/2024

   50    53 

4.375%, 03/15/2029

   50    51 

3.900%, 05/15/2027

   160    162 

Concho Resources

    

4.375%, 01/15/2025

   455    470 

4.300%, 08/15/2028

   30    33 

3.750%, 10/01/2027

   160    170 

Continental Resources

    

5.000%, 09/15/2022

   120    118 

4.500%, 04/15/2023

   150    144 

4.375%, 01/15/2028

   20    18 

3.800%, 06/01/2024

   190    178 

Devon Energy

    

5.850%, 12/15/2025

   210    232 

Diamondback Energy

    

5.375%, 05/31/2025

   50    51 

3.250%, 12/01/2026

   30    30 

2.875%, 12/01/2024

   290    290 

Energy Transfer Operating

    

4.950%, 06/15/2028

   10    11 

3.750%, 05/15/2030

   160    159 

2.900%, 05/15/2025

   40    41 

Energy Transfer Partners

    

4.500%, 11/01/2023

   60    64 

Enterprise Products Operating

    

4.150%, 10/16/2028

   140    160 

3.900%, 02/15/2024

   457    501 

3.750%, 02/15/2025

   100    111 

3.125%, 07/31/2029

   60    64 

2.800%, 01/31/2030

   170    177 

EOG Resources

    

4.375%, 04/15/2030

   30    36 

4.150%, 01/15/2026

   160    184 

Exxon Mobil

    

4.327%, 03/19/2050

   30    37 

3.043%, 03/01/2026

   150    165 

2.992%, 03/19/2025

   758    823 

1.571%, 04/15/2023

   717    736 

Halliburton

    

3.250%, 11/15/2021

   180    184 

Kinder Morgan

    

4.300%, 06/01/2025

   60    67 

Kinder Morgan Energy Partners

    

3.500%, 03/01/2021

   30    30 

MidAmerican Energy

    

3.650%, 04/15/2029

   140    167 

MPLX

    

4.800%, 02/15/2029

   50    56 

4.125%, 03/01/2027

   110    117 

4.000%, 03/15/2028

   40    42 
 

 

 

38  

New Covenant Funds / Annual Report / June 30, 2020


 

 

   
Description  Face Amount
(Thousands)
   Market Value
($ Thousands)
 

 

CORPORATE OBLIGATIONS (continued)

 

Noble Energy

    

3.850%, 01/15/2028

  $30   $29 

3.250%, 10/15/2029

   80    73 

Occidental Petroleum

    

5.550%, 03/15/2026

   180    164 

4.476%, 10/10/2036 (C)

   2,000    840 

4.100%, 02/01/2021

   50    50 

3.400%, 04/15/2026

   80    65 

3.200%, 08/15/2026

   130    106 

3.125%, 02/15/2022

   100    96 

3.000%, 02/15/2027

   130    101 

2.600%, 08/13/2021

   250    244 

Phillips 66

    

3.700%, 04/06/2023

   582    622 

Phillips 66 Partners

    

2.450%, 12/15/2024

   413    425 

Schlumberger Holdings

    

3.900%, 05/17/2028 (B)

   456    492 

Sinopec Group Overseas Development

    

4.375%, 04/10/2024 (B)

   290    320 

Tennessee Gas Pipeline

    

2.900%, 03/01/2030 (B)

   160    164 

Western Midstream Operating

    

4.050%, 02/01/2030

   120    115 

3.100%, 02/01/2025

   30    28 

2.161%, VAR ICE LIBOR USD 3
Month+0.850%, 01/13/2023

   20    18 

Williams

    

3.750%, 06/15/2027

   390    417 
    

 

 

 
     12,172 
    

 

 

 

Financials — 14.9%

    

American Express

    

3.400%, 02/27/2023

   972    1,040 

2.650%, 12/02/2022

   264    276 

American International Group

    

2.500%, 06/30/2025

   40    42 

Anglo American Capital

    

3.625%, 09/11/2024 (B)

   200    210 

Banco Santander

    

4.379%, 04/12/2028

   200    223 

2.746%, 05/28/2025

   200    207 

2.431%, VAR ICE LIBOR USD 3 Month+1.120%, 04/12/2023

   200    197 

Bank of America

    

3.419%, VAR ICE LIBOR USD 3 Month+1.040%, 12/20/2028

   234    261 

3.004%, VAR ICE LIBOR USD 3 Month+0.790%, 12/20/2023

   258    271 

2.592%, VAR United States Secured Overnight Financing Rate+2.150%, 04/29/2031

   80    85 
   
Description  Face Amount
(Thousands)
   Market Value
($ Thousands)
 

 

CORPORATE OBLIGATIONS (continued)

 

Bank of America MTN

    

4.450%, 03/03/2026

  $678   $781 

4.250%, 10/22/2026

   10    11 

4.200%, 08/26/2024

   210    233 

4.125%, 01/22/2024

   370    411 

4.100%, 07/24/2023

   280    308 

4.083%, 03/20/2051 (A)

   190    238 

4.000%, 04/01/2024

   440    488 

4.000%, 01/22/2025

   80    88 

3.974%, VAR ICE LIBOR USD 3 Month+1.210%, 02/07/2030

   80    93 

3.593%, VAR ICE LIBOR USD 3 Month+1.370%, 07/21/2028

   210    235 

3.550%, VAR ICE LIBOR USD 3 Month+0.780%, 03/05/2024

   80    86 

3.500%, 04/19/2026

   130    146 

3.300%, 01/11/2023

   60    64 

Bank of Montreal MTN

    

1.850%, 05/01/2025

   130    135 

Bank of New York Mellon MTN

    

3.300%, 08/23/2029

   790    888 

1.600%, 04/24/2025

   40    41 

Bank of Nova Scotia

    

1.625%, 05/01/2023

   584    598 

1.300%, 06/11/2025

   70    70 

Barclays Bank

    

2.650%, 01/11/2021

   1,199    1,211 

1.700%, 05/12/2022

   200    204 

BNP Paribas

    

5.198%, VAR ICE LIBOR USD 3 Month+2.567%, 01/10/2030 (B)

   200    245 

4.705%, VAR ICE LIBOR USD 3 Month+2.235%, 01/10/2025 (B)

   270    299 

4.400%, 08/14/2028 (B)

   200    231 

BPCE MTN

    

3.000%, 05/22/2022 (B)

   640    662 

Capital One Financial

    

3.300%, 10/30/2024

   480    516 

Charles Schwab

    

3.850%, 05/21/2025

   110    125 

Citigroup

    

8.125%, 07/15/2039

   12    21 

5.500%, 09/13/2025

   150    178 

5.300%, 05/06/2044

   31    41 

4.650%, 07/30/2045

   28    36 

4.450%, 09/29/2027

   120    137 

4.412%, VAR United States Secured Overnight Financing Rate+3.914%, 03/31/2031

   100    119 

4.400%, 06/10/2025

   160    179 

4.300%, 11/20/2026

   40    45 

4.125%, 07/25/2028

   40    45 

 

 

 

 

New Covenant Funds / Annual Report / June 30, 2020

   39 


SCHEDULE OF INVESTMENTS

June 30, 2020

New Covenant Income Fund (Continued)

 

   
Description  Face Amount
(Thousands)
   Market Value
($ Thousands)
 

 

CORPORATE OBLIGATIONS (continued)

 

4.075%, VAR ICE LIBOR USD 3
Month+1.192%, 04/23/2029

  $240   $274 

4.050%, 07/30/2022

   40    42 

3.668%, VAR ICE LIBOR USD 3
Month+1.390%, 07/24/2028

   340    379 

3.500%, 05/15/2023

   100    107 

3.400%, 05/01/2026

   354    392 

3.200%, 10/21/2026

   287    315 

3.106%, VAR United States Secured Overnight Financing Rate+2.750%, 04/08/2026

   50    54 

2.572%, VAR United States Secured Overnight Financing Rate+2.107%, 06/03/2031

   200    207 

1.678%, VAR United States Secured Overnight Financing Rate+1.667%, 05/15/2024

   903    921 

Cooperatieve Rabobank UA

    

3.950%, 11/09/2022

   670    709 

3.875%, 09/26/2023 (B)

   595    650 

Credit Suisse Group

    

4.194%, VAR United States Secured Overnight Financing Rate+3.730%, 04/01/2031 (B)

   250    285 

Credit Suisse NY

    

2.950%, 04/09/2025

   250    271 

Daiwa Securities Group

    

3.129%, 04/19/2022 (B)

   50    52 

Danske Bank

    

5.000%, 01/12/2022 (B)

   200    210 

3.001%, VAR ICE LIBOR USD 3
Month+1.249%, 09/20/2022 (B)

   200    203 

1.226%, 06/22/2024 (B)

   200    201 

Equitable Financial Life Global Funding

    

1.400%, 07/07/2025 (B)

   673    674 

Ferguson Finance

    

4.500%, 10/24/2028 (B)

   459    510 

Goldman Sachs Group

    

5.750%, 01/24/2022

   662    714 

5.150%, 05/22/2045

   20    26 

4.750%, 10/21/2045

   40    52 

4.250%, 10/21/2025

   90    101 

4.223%, VAR ICE LIBOR USD 3
Month+1.301%, 05/01/2029

   550    640 

3.800%, 03/15/2030

   530    602 

3.691%, VAR ICE LIBOR USD 3
Month+1.510%, 06/05/2028

   300    336 

3.500%, 04/01/2025

   80    88 

3.500%, 11/16/2026

   90    99 

Goldman Sachs Group MTN

    

4.000%, 03/03/2024

   420    465 

Guardian Life Global Funding

    

1.100%, 06/23/2025 (B)

   30    30 
   
Description  Face Amount
(Thousands)
   Market Value
($ Thousands)
 

 

CORPORATE OBLIGATIONS (continued)

 

HSBC Holdings

    

4.950%, 03/31/2030

  $200   $240 

2.099%, VAR United States Secured Overnight Financing Rate+1.929%, 06/04/2026

   200    202 

HSBC Holdings PLC

    

4.583%, VAR ICE LIBOR USD 3
Month+1.535%, 06/19/2029

   400    462 

2.950%, 05/25/2021

   380    388 

Intesa Sanpaolo

    

3.375%, 01/12/2023 (B)

   200    206 

JPMorgan Chase

    

4.500%, 01/24/2022

   786    834 

4.452%, VAR ICE LIBOR USD 3
Month+1.330%, 12/05/2029

   200    240 

4.203%, VAR ICE LIBOR USD 3
Month+1.260%, 07/23/2029

   773    906 

4.023%, VAR ICE LIBOR USD 3
Month+1.000%, 12/05/2024

   230    253 

4.005%, VAR ICE LIBOR USD 3
Month+1.120%, 04/23/2029

   100    115 

3.875%, 09/10/2024

   290    322 

2.550%, 03/01/2021

   30    30 

2.522%, VAR United States Secured Overnight Financing Rate+2.040%, 04/22/2031

   110    116 

2.083%, VAR United States Secured Overnight Financing Rate+1.850%, 04/22/2026

   130    135 

1.514%, VAR United States Secured Overnight Financing Rate+1.455%, 06/01/2024

   210    214 

KKR Group Finance VI

    

3.750%, 07/01/2029 (B)

   1,149    1,319 

Liberty Mutual Group

    

4.569%, 02/01/2029 (B)

   321    376 

4.250%, 06/15/2023 (B)

   91    99 

Lincoln National

    

3.400%, 01/15/2031

   451    490 

Lloyds Banking Group

    

2.858%, VAR ICE LIBOR USD 3
Month+1.249%, 03/17/2023

   434    447 

1.326%, VAR US Treas Yield Curve Rate T Note Const Mat 1 Yr+1.100%, 06/15/2023

   360    362 

Macquarie Bank

    

2.300%, 01/22/2025 (B)

   1,188    1,244 

MassMutual Global Funding II MTN

    

0.850%, 06/09/2023 (B)

   220    221 

Mitsubishi UFJ Financial Group

    

3.407%, 03/07/2024

   510    551 

Morgan Stanley MTN

    

5.597%, 03/24/2051 (A)

   30    46 
 

 

 

40  

New Covenant Funds / Annual Report / June 30, 2020


 

 

   
Description  Face Amount
(Thousands)
   Market Value
($ Thousands)
 

 

CORPORATE OBLIGATIONS (continued)

 

3.772%, VAR ICE LIBOR USD 3 Month+1.140%, 01/24/2029

  $150   $171 

3.750%, 02/25/2023

   1,110    1,198 

3.622%, VAR United States Secured Overnight Financing Rate+3.120%, 04/01/2031

   475    542 

2.699%, VAR United States Secured Overnight Financing Rate+1.143%, 01/22/2031

   100    106 

2.188%, VAR United States Secured Overnight Financing Rate+1.990%, 04/28/2026

   200    208 

National Rural Utilities Cooperative Finance

    

2.850%, 01/27/2025

   1,060    1,164 

National Securities Clearing

    

1.500%, 04/23/2025 (B)

   1,046    1,070 

1.200%, 04/23/2023 (B)

   250    253 

New York Life Global Funding

    

0.950%, 06/24/2025 (B)

   60    60 

ORIX

    

4.050%, 01/16/2024

   365    401 

Peachtree Corners Funding Trust

    

3.976%, 02/15/2025 (B)

   944    1,031 

Penske Truck Leasing Lp

    

3.900%, 02/01/2024 (B)

   965    1,029 

Principal Life Global Funding II

    

2.625%, 11/19/2020 (B)

   570    575 

1.250%, 06/23/2025 (B)

   20    20 

Royal Bank of Canada MTN

    

2.150%, 10/26/2020

   70    70 

1.600%, 04/17/2023

   120    123 

1.150%, 06/10/2025

   70    70 

Royal Bank of Scotland Group

    

4.269%, VAR ICE LIBOR USD 3
Month+1.762%, 03/22/2025

   200    218 

Royal Bank of Scotland Group PLC

    

4.519%, VAR ICE LIBOR USD 3
Month+1.550%, 06/25/2024

   290    315 

Santander UK Group Holdings PLC

    

3.571%, 01/10/2023

   200    208 

SMBC Aviation Capital Finance DAC

    

4.125%, 07/15/2023 (B)

   200    208 

State Street

    

3.152%, VAR United States Secured Overnight Financing Rate+2.650%, 03/30/2031 (B)

   50    56 

SunTrust Bank

    

2.800%, 05/17/2022

   1,146    1,193 

Svenska Handelsbanken MTN

    

3.350%, 05/24/2021

   250    256 

Swedbank

    

1.300%, 06/02/2023 (B)

   200    202 
   
Description  Face Amount
(Thousands)
   Market Value
($ Thousands)
 

 

CORPORATE OBLIGATIONS (continued)

 

Toronto-Dominion Bank MTN

    

1.150%, 06/12/2025

  $918   $929 

0.750%, 06/12/2023

   130    131 

UBS

    

1.750%, 04/21/2022 (B)

   611    623 

UBS Group Funding Jersey

    

4.125%, 04/15/2026 (B)

   634    721 

UBS Group Funding Switzerland

    

4.253%, 03/23/2028 (B)

   250    284 

3.491%, 05/23/2023 (B)

   390    408 

US Bancorp

    

3.375%, 02/05/2024

   540    590 

1.450%, 05/12/2025

   160    165 

USAA Capital

    

2.125%, 05/01/2030 (B)

   150    154 

USAA Capital MTN

    

2.625%, 06/01/2021 (B)

   350    357 

Wells Fargo

    

3.069%, 01/24/2023

   808    837 

3.000%, 10/23/2026

   190    207 

2.188%, VAR United States Secured Overnight Financing Rate+2.000%, 04/30/2026

   130    134 

Wells Fargo MTN

    

5.013%, 04/04/2051 (A)

   440    611 

4.900%, 11/17/2045

   30    39 

4.600%, 04/01/2021

   480    495 

4.478%, VAR ICE LIBOR USD 3
Month+3.770%, 04/04/2031

   50    60 

4.300%, 07/22/2027

   200    230 

3.750%, 01/24/2024

   540    590 

3.450%, 02/13/2023

   120    127 

2.393%, VAR United States Secured Overnight Financing Rate+2.100%, 06/02/2028

   90    93 

1.654%, VAR United States Secured Overnight Financing Rate+1.600%, 06/02/2024

   160    163 
    

 

 

 
     50,142 
    

 

 

 

Health Care — 3.2%

    

Abbott Laboratories

    

3.400%, 11/30/2023

   175    191 

AbbVie

    

4.250%, 11/21/2049 (B)

   30    36 

3.800%, 03/15/2025 (B)

   40    44 

3.750%, 11/14/2023

   20    22 

3.600%, 05/14/2025

   10    11 

3.450%, 03/15/2022 (B)

   120    125 

3.200%, 11/21/2029 (B)

   40    44 

2.950%, 11/21/2026 (B)

   20    22 

2.600%, 11/21/2024 (B)

   140    149 
 

 

 

New Covenant Funds / Annual Report / June 30, 2020

   41 


SCHEDULE OF INVESTMENTS

June 30, 2020

New Covenant Income Fund (Continued)

 

   

Description

  Face Amount
(Thousands)
   Market Value
($ Thousands)
 

 

CORPORATE OBLIGATIONS (continued)

 

2.300%, 11/21/2022 (B)

  $1,046   $1,082 

Adventist Health System

    

2.433%, 09/01/2024

   431    447 

Aetna

    

2.800%, 06/15/2023

   20    21 

Anthem

    

3.125%, 05/15/2022

   340    356 

Baylor Scott & White Holdings

    

1.947%, 11/15/2021

   1,226    1,229 

Becton Dickinson

    

4.685%, 12/15/2044

   40    49 

3.734%, 12/15/2024

   24    26 

3.363%, 06/06/2024

   210    227 

Bristol-Myers Squibb

    

3.875%, 08/15/2025 (B)

   150    171 

3.550%, 08/15/2022 (B)

   60    64 

3.400%, 07/26/2029 (B)

   50    58 

3.200%, 06/15/2026 (B)

   120    135 

2.900%, 07/26/2024 (B)

   240    260 

2.600%, 05/16/2022 (B)

   80    83 

2.250%, 08/15/2021 (B)

   70    71 

Cigna

    

4.375%, 10/15/2028

   120    142 

4.125%, 11/15/2025

   50    57 

3.750%, 07/15/2023

   30    33 

3.500%, 06/15/2024 (B)

   160    175 

3.400%, 09/17/2021

   60    62 

CommonSpirit Health

    

4.200%, 08/01/2023

   473    504 

CVS Health

    

5.050%, 03/25/2048

   60    79 

4.300%, 03/25/2028

   80    94 

3.875%, 07/20/2025

   95    107 

3.625%, 04/01/2027

   180    202 

3.350%, 03/09/2021

   32    33 

2.800%, 07/20/2020

   190    190 

CVS Pass-Through Trust

    

7.507%, 01/10/2032 (B)

   1,123    1,400 

Eli Lilly

    

2.350%, 05/15/2022

   170    177 

Gilead Sciences

    

2.550%, 09/01/2020

   20    20 

2.500%, 09/01/2023

   50    53 

Humana

    

4.500%, 04/01/2025

   10    11 

3.150%, 12/01/2022

   240    251 

2.900%, 12/15/2022

   290    303 

Merck

    

1.450%, 06/24/2030

   50    50 

0.750%, 02/24/2026

   80    80 

Pfizer

    

2.625%, 04/01/2030

   100    110 
   
Description  Face Amount
(Thousands)
   Market Value
($ Thousands)
 

 

CORPORATE OBLIGATIONS (continued)

 

1.700%, 05/28/2030

  $50   $51 

0.800%, 05/28/2025

   110    110 

SSM Health Care

    

3.688%, 06/01/2023

   644    691 

Teva Pharmaceutical Finance BV

    

2.950%, 12/18/2022

   30    29 

Thermo Fisher Scientific

    

4.133%, 03/25/2025

   463    528 

Unitedhealth

    

3.125%, 05/15/2060

   10    11 

UnitedHealth Group

    

4.450%, 12/15/2048

   10    13 

4.250%, 06/15/2048

   10    13 

3.875%, 12/15/2028

   30    36 

3.750%, 07/15/2025

   30    34 

3.500%, 06/15/2023

   20    22 

2.875%, 12/15/2021

   50    52 

2.700%, 07/15/2020

   70    70 

2.375%, 10/15/2022

   10    10 

2.000%, 05/15/2030

   30    31 

1.250%, 01/15/2026

   20    20 
    

 

 

 
     10,777 
    

 

 

 

Industrials — 2.7%

    

3M

    

3.700%, 04/15/2050

   180    214 

2.375%, 08/26/2029

   30    32 

AerCap Ireland Capital DAC

    

4.625%, 10/30/2020

   730    733 

4.500%, 05/15/2021

   310    312 

American Airlines, Ser 2016-3, Cl A

    

3.250%, 10/15/2028

   1,056    863 

American Airlines Pass-Through Trust, Ser 2013-2, Cl A

    

4.950%, 01/15/2023

   271    220 

Aviation Capital Group

    

4.125%, 08/01/2025 (B)

   160    143 

Burlington Northern and Santa Fe Railway Pass-Through Trust, Ser 2002-2

    

5.140%, 01/15/2021

        

Burlington Northern Santa Fe

    

4.550%, 09/01/2044

   10    13 

Carrier Global

    

2.700%, 02/15/2031 (B)

   20    20 

Continental Airlines Pass-Through Trust, Ser 2012-2, Cl A

    

4.000%, 10/29/2024

   612    559 

Deere

    

3.750%, 04/15/2050

   60    74 

3.100%, 04/15/2030

   10    11 
 

 

 

42  

New Covenant Funds / Annual Report / June 30, 2020


 

 

   
Description  Face Amount
(Thousands)
   Market Value
($ Thousands)
 

 

CORPORATE OBLIGATIONS (continued)

 

Delta Air Lines Pass-Through Trust, Ser 2015- 1, Cl AA

    

3.625%, 07/30/2027

  $530   $524 

Delta Air Lines Pass-Through Trust, Ser 2019- 1, Cl AA

    

3.204%, 04/25/2024

   621    622 

Eaton

    

2.750%, 11/02/2022

   450    473 

FedEx

    

3.800%, 05/15/2025

   722    803 

General Electric

    

4.350%, 05/01/2050

   40    39 

4.250%, 05/01/2040

   30    30 

3.625%, 05/01/2030

   30    30 

3.450%, 05/01/2027

   20    20 

General Electric MTN

    

6.875%, 01/10/2039

   30    37 

Honeywell International

    

1.350%, 06/01/2025

   50    51 

International Lease Finance

    

5.875%, 08/15/2022

   400    421 

Nutrien

    

1.900%, 05/13/2023

   501    517 

Republic Services

    

3.200%, 03/15/2025

   180    197 

Ryder System MTN

    

3.350%, 09/01/2025

   836    891 

Union Pacific

    

3.950%, 09/10/2028

   20    24 

3.750%, 07/15/2025

   20    23 

United Airlines Pass-Through Trust, Ser 2014- 1, Cl A

    

4.000%, 04/11/2026

   682    625 

United Parcel Service

    

3.900%, 04/01/2025

   398    452 

Waste Management

    

3.500%, 05/15/2024

   120    131 

3.450%, 06/15/2029

   30    31 

3.200%, 06/15/2026

   30    31 
    

 

 

 
     9,166 
    

 

 

 

Information Technology — 2.3%

    

Adobe

    

2.300%, 02/01/2030

   210    227 

Apple

    

3.350%, 02/09/2027

   210    239 

2.900%, 09/12/2027

   110    123 

2.450%, 08/04/2026

   70    76 

2.000%, 11/13/2020

   80    81 

1.125%, 05/11/2025

   130    133 

Broadcom

    

4.700%, 04/15/2025 (B)

   180    203 

 

   
Description  Face Amount
(Thousands)
   Market Value
($ Thousands)
 

 

CORPORATE OBLIGATIONS (continued)

 

4.110%, 09/15/2028 (B)

  $515   $561 

3.150%, 11/15/2025 (B)

   140    149 

2.250%, 11/15/2023 (B)

   100    103 

Diamond 1 Finance

    

4.420%, 06/15/2021 (B)

   430    442 

Intel

    

4.950%, 03/25/2060

   30    44 

4.750%, 03/25/2050

   160    226 

4.600%, 03/25/2040

   10    13 

3.700%, 07/29/2025

   30    34 

Mastercard

    

3.850%, 03/26/2050

   10    12 

3.375%, 04/01/2024

   190    210 

Micron Technology

    

2.497%, 04/24/2023

   70    73 

Microsoft

    

3.300%, 02/06/2027

   90    103 

2.400%, 02/06/2022

   150    155 

1.550%, 08/08/2021

   110    112 

NVIDIA

    

3.700%, 04/01/2060

   90    107 

3.500%, 04/01/2040

   130    152 

3.500%, 04/01/2050

   330    377 

2.850%, 04/01/2030

   40    44 

NXP BV

    

4.625%, 06/01/2023 (B)

   479    525 

2.700%, 05/01/2025 (B)

   40    42 

Oracle

    

2.500%, 10/15/2022

   130    136 

2.500%, 04/01/2025

   738    790 

PayPal Holdings

    

1.650%, 06/01/2025

   60    62 

1.350%, 06/01/2023

   571    582 

salesforce.com

    

3.700%, 04/11/2028

   150    175 

3.250%, 04/11/2023

   70    75 

Texas Instruments

    

1.750%, 05/04/2030

   40    41 

Visa

    

4.300%, 12/14/2045

   10    13 

3.150%, 12/14/2025

   110    123 

2.200%, 12/14/2020

   300    302 

1.900%, 04/15/2027

   879    919 
    

 

 

 
     7,784 
    

 

 

 

Materials — 0.6%

    

ArcelorMittal

    

4.550%, 03/11/2026

   100    101 

3.600%, 07/16/2024

   180    178 

Equate Petrochemical BV MTN

    

4.250%, 11/03/2026 (B)

   200    211 
 

 

 

New Covenant Funds / Annual Report / June 30, 2020

   43 


SCHEDULE OF INVESTMENTS

June 30, 2020

New Covenant Income Fund (Continued)

 

   
Description  Face Amount
(Thousands)
   Market Value
($ Thousands)
 

 

CORPORATE OBLIGATIONS (continued)

 

Glencore Funding

    

4.125%, 05/30/2023 (B)

  $890   $952 

4.125%, 03/12/2024 (B)

   110    118 

4.000%, 03/27/2027 (B)

   110    118 

Southern Copper

    

3.500%, 11/08/2022

   130    136 

Vale Overseas

    

6.250%, 08/10/2026

   140    165 
    

 

 

 
     1,979 
    

 

 

 

Real Estate — 0.6%

    

American Tower Trust, Ser 2013-13, Cl 2A

    

3.070%, 03/15/2048 (B)

   620    634 

Digital Realty Trust

    

3.600%, 07/01/2029

   815    936 

Ventas Realty

    

3.500%, 02/01/2025

   488    504 
    

 

 

 
     2,074 
    

 

 

 

Utilities — 1.8%

    

Aquarion

    

4.000%, 08/15/2024 (B)

   227    250 

Commonwealth Edison

    

3.700%, 08/15/2028

   468    542 

Dominion Energy

    

2.579%, 07/01/2020

   260    260 

Duke Energy

    

3.550%, 09/15/2021

   170    175 

2.400%, 08/15/2022

   150    156 

Duke Energy Florida

    

3.200%, 01/15/2027

   440    491 

FirstEnergy

    

4.250%, 03/15/2023

   380    411 

2.850%, 07/15/2022

   330    342 

1.600%, 01/15/2026

   30    30 

NextEra Energy Capital Holdings

    

2.403%, 09/01/2021

   513    525 

Northern States Power

    

7.125%, 07/01/2025

   1,190    1,518 

Pacific Gas and Electric

    

2.100%, 08/01/2027

   130    129 

1.750%, 06/16/2022

   100    100 

Perusahaan Listrik Negara MTN

    

5.450%, 05/21/2028 (B)

   370    426 

Public Service Enterprise Group

    

2.875%, 06/15/2024

   713    761 
    

 

 

 
     6,116 
    

 

 

 

Total Corporate Obligations
(Cost $111,799) ($ Thousands)

     118,467 
    

 

 

 
   
Description  Face Amount
(Thousands)
   Market Value
($ Thousands)
 

 

U.S. TREASURY OBLIGATIONS — 8.4%

 

U.S. Treasury Bills

    

0.180%, 10/15/2020 (C)

  $1,510   $1,509 

0.166%, 10/08/2020 (C)

   310    310 

0.155%, 10/22/2020 (C)

   2,450    2,449 

0.135%, 08/18/2020 (C)

   1,170    1,170 

U.S. Treasury Bonds

    

2.000%, 02/15/2050

   730    836 

1.250%, 05/15/2050

   810    778 

U.S. Treasury Inflation-Protected Securities

    

2.375%, 01/15/2025

   177    203 

1.750%, 01/15/2028

   86    102 

1.375%, 02/15/2044

   539    735 

1.000%, 02/15/2046

   390    504 

1.000%, 02/15/2048

   457    604 

1.000%, 02/15/2049

   2,160    2,825 

0.750%, 02/15/2042

   465    557 

0.250%, 02/15/2050

   768    861 

0.125%, 10/15/2024

   3,005    3,147 

0.125%, 01/15/2030

   764    826 

U.S. Treasury Notes

    

0.625%, 05/15/2030

   1,292    1,288 

0.500%, 03/15/2023

   976    985 

0.500%, 04/30/2027

   10    10 

0.375%, 03/31/2022

   2,923    2,933 

0.375%, 04/30/2025

   2,097    2,107 

0.250%, 05/31/2025

   1,030    1,029 

0.125%, 04/30/2022

   2,442    2,440 
    

 

 

 

Total U.S. Treasury Obligations (Cost $26,921) ($ Thousands)

     28,208 
    

 

 

 

ASSET-BACKED SECURITIES — 8.3%

    

Automotive — 1.9%

    

Avis Budget Rental Car Funding AESOP, Ser 2017-2A, Cl A

    

2.970%, 03/20/2024 (B)

   310    311 

Avis Budget Rental Car Funding AESOP, Ser 2019-2A, Cl A

    

3.350%, 09/22/2025 (B)

   320    324 

Capital One Prime Auto Receivables Trust, Ser 2019-2, Cl A4

    

1.960%, 02/18/2025

   1,662    1,719 

Hertz Vehicle Financing II, Ser 2018-1A, Cl A

    

3.290%, 02/25/2024 (B)

   201    200 

Honda Auto Receivables Owner Trust, Ser 2019-2, Cl A3

    

2.520%, 06/21/2023

   572    589 

NextGear Floorplan Master Owner Trust, Ser 2019-1A, Cl A2

    

3.210%, 02/15/2024 (B)

   1,182    1,193 
 

 

 

44  

New Covenant Funds / Annual Report / June 30, 2020


 

 

   
Description  Face Amount
(Thousands)
   Market Value
($ Thousands)
 

 

ASSET-BACKED SECURITIES (continued)

 

NextGear Floorplan Master Owner Trust, Ser 2019-2A, Cl A2

    

2.070%, 10/15/2024 (B)

  $556   $548 

World Omni Auto Receivables Trust, Ser 2019-B, Cl A3

    

2.590%, 07/15/2024

   1,299    1,334 
    

 

 

 
     6,218 
    

 

 

 

Home — 0.3%

    

Citifinancial Mortgage Securities, Ser 2004- 1, Cl AF4

    

5.070%, 04/25/2034

   194    201 

Lake Country Mortgage Loan Trust, Ser 2006-HE1, Cl M5

    

2.185%, VAR ICE LIBOR USD 1 Month+2.000%, 07/25/2034 (B)

   390    398 

Master Asset-Backed Securities Trust, Ser 2007-NCW, Cl A1

    

0.485%, VAR ICE LIBOR USD 1 Month+0.300%, 05/25/2037 (B)

   206    184 

New Century Home Equity Loan Trust, Ser 2003-A, Cl A

    

0.905%, VAR ICE LIBOR USD 1 Month+0.720%, 10/25/2033 (B)

   82    78 

Tricon American Homes Trust, Ser 2019- SFR1, Cl A

    

2.750%, 03/17/2038 (B)

   272    283 
    

 

 

 
     1,144 
    

 

 

 

Other Asset-Backed Securities — 6.1%

 

AEP Texas Restoration Funding, Ser 2019-1, Cl A2

    

2.294%, 08/01/2031

   1,646    1,723 

Ameriquest Mortgage Securities Asset- Backed Pass-Through Certificates, Ser 2005-R7, Cl M2

    

0.685%, VAR ICE LIBOR USD 1
Month+0.500%, 09/25/2035

   267    266 

Applebee’s Funding, Ser 2019-1A, Cl A2I

    

4.194%, 06/07/2049 (B)

   300    266 

Atrium Hotel Portfolio Trust, Ser ATRM, Cl C

    

2.355%, VAR ICE LIBOR USD 1
Month+1.650%, 12/15/2036 (B)

   410    356 

Citigroup Mortgage Loan Trust, Ser 2007- WFH3, Cl A3

    

0.435%, VAR ICE LIBOR USD 1
Month+0.250%, 06/25/2037

   209    207 

Countrywide Asset-Backed Certificates, Ser 2007-13, Cl 2A2M

    

1.435%, VAR ICE LIBOR USD 1
Month+1.250%, 10/25/2047

   147    140 
   
Description  Face Amount
(Thousands)
   Market Value
($ Thousands)
 

 

ASSET-BACKED SECURITIES (continued)

 

Countrywide Home Equity Loan Trust, Ser 2006-F, Cl 2A1A

    

0.325%, VAR ICE LIBOR USD 1
Month+0.140%, 07/15/2036

  $297   $266 

DB Master Finance, Ser 2017-1A, Cl A2I

    

3.629%, 11/20/2047 (B)

   429    443 

Domino’s Pizza Master Issuer, Ser 2017-1A, Cl A2I

    

2.241%, VAR ICE LIBOR USD 3 Month+1.250%, 07/25/2047 (B)

   693    687 

Education Loan Asset-Backed Trust, Ser 2013-1, Cl A2

    

0.985%, VAR ICE LIBOR USD 1
Month+0.800%, 04/26/2032 (B)

   500    489 

Invitation Homes Trust, Ser 2018-SFR1, Cl A

    

0.894%, VAR ICE LIBOR USD 1
Month+0.700%, 03/17/2037 (B)

   1,342    1,318 

MMAF Equipment Finance, Ser 2018-A, Cl A3

    

3.200%, 09/12/2022 (B)

   1,255    1,276 

Morgan Stanley ABS Capital I Trust, Ser 2004-NC7, Cl M1

    

1.040%, VAR ICE LIBOR USD 1
Month+0.855%, 07/25/2034

   465    439 

Navient Student Loan Trust, Ser 2016-6A, Cl A3

    

1.485%, VAR ICE LIBOR USD 1
Month+1.300%, 03/25/2066 (B)

   900    871 

Progress Residential Trust, Ser 2018-SFR3, Cl A

    

3.880%, 10/17/2035 (B)

   640    660 

Progress Residential Trust, Ser 2019-SFR2, Cl A

    

3.147%, 05/17/2036 (B)

   302    312 

RAAC Series Trust, Ser 2005-SP3, Cl M2

    

0.985%, VAR ICE LIBOR USD 1
Month+0.800%, 12/25/2035

   390    385 

Sabey Data Center Issuer, Ser 2020-1, Cl A2

    

3.812%, 04/20/2045 (B)

   339    344 

SBA Small Business Investment, Ser 2019- 10A, Cl 1

    

3.113%, 03/10/2029

   181    193 

Shops at Crystals Trust, Ser CSTL, Cl A

    

3.126%, 07/05/2036 (B)

   100    95 

SLC Student Loan Trust, Ser 2010-1, Cl A

    

1.235%, VAR ICE LIBOR USD 3 Month+0.875%, 11/25/2042

   248    247 

SLM Private Credit Student Loan Trust, Ser 2006-A, Cl A5

    

0.603%, VAR ICE LIBOR USD 3 Month+0.290%, 06/15/2039

   261    242 

SLM Student Loan Trust, Ser 2003-7A, Cl A5A

    

1.513%, VAR ICE LIBOR USD 3 Month+1.200%, 12/15/2033 (B)

   134    129 
 

 

 

New Covenant Funds / Annual Report / June 30, 2020

   45 


SCHEDULE OF INVESTMENTS

June 30, 2020

New Covenant Income Fund (Continued)

 

   
Description  Face Amount
(Thousands)
   Market Value
($ Thousands)
 

 

ASSET-BACKED SECURITIES (continued)

 

Stack Infrastructure Issuer, Ser 2019-1A, Cl A2

    

4.540%, 02/25/2044 (B)

  $467   $489 

Store Master Funding I-VII, Ser 2018-1A, Cl A1

    

3.960%, 10/20/2048 (B)

   378    379 

Store Master Funding I-VII, Ser 2019-1, Cl A1

    

2.820%, 11/20/2049 (B)

   327    328 

United States Small Business Administration, Ser 2010-20H, Cl 1

    

3.520%, 08/01/2030

   263    280 

United States Small Business Administration, Ser 2011-20B, Cl 1

    

4.220%, 02/01/2031

   267    294 

United States Small Business Administration, Ser 2011-20J, Cl 1

    

2.760%, 10/01/2031

   155    164 

United States Small Business Administration, Ser 2013-20K, Cl 1

    

3.380%, 11/01/2033

   706    757 

United States Small Business Administration, Ser 2014-20F, Cl 1

    

2.990%, 06/01/2034

   800    848 

United States Small Business Administration, Ser 2015-20C, Cl 1

    

2.720%, 03/01/2035

   805    842 

United States Small Business Administration, Ser 2015-20E, Cl 1

    

2.770%, 05/01/2035

   451    483 

United States Small Business Administration, Ser 2015-20K, Cl 1

    

2.700%, 11/01/2035

   468    495 

United States Small Business Administration, Ser 2017-20J, Cl 1

    

2.850%, 10/01/2037

   623    664 

United States Small Business Administration, Ser 2018-20E, Cl 1

    

3.500%, 05/01/2038

   1,211    1,330 

United States Small Business Administration, Ser 2018-20J, Cl 1

    

3.770%, 10/01/2038

   616    689 

United States Small Business Administration, Ser 2019-25G, Cl 1

    

2.690%, 07/01/2044

   59    63 

Verizon Owner Trust, Ser 2019-B, Cl A1A

    

2.330%, 12/20/2023

   624    640 

Wendy’s Funding, Ser 2019-1A, Cl A2I

    

3.783%, 06/15/2049 (B)

   333    352 
    

 

 

 
     20,451