Table of Contents
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORMN-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number:811-23149
Thrivent Core Funds
(Exact name of registrant as specified in charter)
625 Fourth Avenue South
Minneapolis, Minnesota 55415
(Address of principal executive offices) (Zip code)
John D. Jackson,
Assistant Secretary
Thrivent Core Funds
625 Fourth Avenue South
Minneapolis, Minnesota 55415
(Name and address of agent for service)
Registrant’s telephone number, including area code: (612)844-7190
Date of fiscal year end: October 31
Date of reporting period: October 31, 2019
Table of Contents
Item 1. | Report to Stockholders |
Table of Contents
ANNUAL REPORT
OCTOBER 31, 2019
THRIVENT CORE FUNDS
Table of Contents
Portfolio Perspectives | ||||
2 | ||||
4 | ||||
6 | ||||
8 | ||||
10 | ||||
11 | ||||
13 | ||||
19 | ||||
23 | ||||
26 | ||||
34 | ||||
35 | ||||
36 | ||||
38 | ||||
50 | ||||
52 | ||||
53 |
Table of Contents
THRIVENT CORE EMERGING MARKETS DEBT FUND
James B. Carlen, CFA, Portfolio Manager*
The Fund seeks to maximize total return while providing high current income and capital appreciation. The Fund’s investment objective may be changed without shareholder approval.
Investment in Thrivent Core Emerging Markets Debt involves risks including credit, derivatives, emerging markets, ETF, foreign securities, high yield, interest rate, investment adviser, issuer, liquidity, market,non-diversified, quantitative investing, and sovereign debt risks. A detailed description of each risk can be found in the significant risks section of the accompanying notes to financial statements.
*Effective July 30, 2019 James B. Carlen, CFA replaced Kent L. White, CFA, and Cortney L. Swenson, CFA as portfolio manager of the Fund.
How did the Fund perform during the12-month period ended October 31, 2019?
Thrivent Core Emerging Markets Debt Fund earned a return of 13.84%, compared with the return of its market benchmark, the Bloomberg Barclays EM USD Aggregate Index, of 12.73%.
What factors affected the Fund’s performance?
Despite some important global headwinds, emerging market (EM) debt as a sector and the Fund specifically generated strong absolute and relative returns for the reporting period. Continuing a recent pattern, the global backdrop was a significant source of uncertainty for EM debt. Unease regarding the continued durability of global growth and U.S. economic strength was exacerbated by volatile U.S. trade policy and increasing tariffs, which added another headwind to manufacturing and trade flows. U.S. growth slowed from its short-term fiscal boost last year to average approximately 2% over the reporting period versus 3% growth in the prior year. Trade tensions continued to escalate with the U.S. enacting more tariffs on Chinese goods, which led to retaliatory action by China. The trade rhetoric between the two countries was particularly problematic for EM economies because their growth is so highly dependent on global trade. The decision by the Federal Reserve (Fed) to pivot from rate increases in 2018 to enacting a series of rate cuts later in the reporting period was a partial offset to the growth weakness. The Fed cuts also helped generate a rally in U.S. Treasury rates that was an important tailwind for the returns of EM debt and other risk assets during the period. The U.S. dollar was basically flat and, unlike the previous period, was not a big factor in performance.
Important country-specific developments during the period included results from Argentina’s primary election, called PASO, in August. The results suggested that Mauricio Macri’s administration would not win reelection, which was confirmed in late October with his landslide defeat. The election also jeopardized Argentina’s loan deal with the International Monetary Fund (IMF) because the country’s policies shifted toward populism. In response to the PASO results, Argentine debt suffered significant losses as creditors anticipated a restructuring. Turkey was also hit by volatility around President Erdogan’s efforts to change the country’s international alliances toward Russia and punish Syrian and Turkish Kurds, both of which led to a growing risk ofU.S.-led sanctions. On a positive note, pension reform finally passed in Brazil. The country’s efforts to implement structural reform, improve fiscal performance and attract foreign investment continued in a generally positive direction.
The return profile of the Fund and the EM debt market was quite lopsided during the period. After a volatile first two months, the segment generated consistent returns from January through June with virtually all of the strong results for the12-month period occurring in that time frame. The last four months of the period generated only marginal returns. As mentioned, falling U.S. Treasury rates played an outsized role in returns and exposure to Brazil’s improving story was also a significant positive factor, while any exposure to Argentina during the spread blowup in August was a big detractor. Oil displayed a somewhat similar return pattern during the period, with Brent crude showing strong returns in the first half of the calendar year, before giving about half of that rally back later in the period. Therefore, exposure to EM oil exporters reflected some of this dynamic.
The largest contributors to the Fund’s outperformance versus its benchmark included overweighted positions to Petrobras (Brazil) and Petroleos Mexicanos (Mexico), as well as Bahrain and the Dominican Republic, and an underweighting to South Africa. Detractors included a modest overweighting in Argentina and underweighted positions inlow-risk, high-duration countries that directly benefited from lower U.S. Treasury yields, including the Philippines, Brazil, Poland, Mexico and Uruguay.
What is your outlook?
EM valuations looked somewhat stretched at the end of the period, but less so than many other sectors. EM fundamentals were mixed, with some important issuers improving (Brazil, Colombia and Bahrain), many showing good stability (Russia and the Dominican Republic), a few facing important inflection points and some deteriorating (Argentina and South Africa). Sector spreads have also evolved with the change in the sector’s composition as more Gulf countries are issuing debt and being added. This has improved the average rating quality of the sector, even as spreads have tightened. U.S. interest rates are less likely to be a major tailwind like they were during this period. Nonetheless, we see some improving country stories in the sector, monetary policy looks set to remain neutral to easy, and external factors (U.S. trade, global growth and commodity prices) could play a constructive role for all risk assets in the near future. Overall, our outlook remains neutral toward EM debt. However, regardless of the broader market backdrop, we will continue to focus our efforts on finding the most attractive credits and securities within EM countries.
The returns shown do not reflect taxes a shareholder would pay on distributions or redemptions.
2
Table of Contents
Bond Quality Ratings Distributions |
Major Market Sectors (% of Net Assets) | ||||
Foreign Government | 92.2 | % | ||
Energy | 2.7 | % | ||
Communications Services | 0.9 | % | ||
Basic Materials | 0.7 | % | ||
Utilities | 0.2 | % | ||
Financials | 0.1 | % |
Top 10 Countries (% of Net Assets) |
| |||
Indonesia | 7.6 | % | ||
Turkey | 7.6 | % | ||
Qatar | 6.8 | % | ||
Saudi Arabia | 6.8 | % | ||
Mexico | 6.6 | % | ||
Russian Federation | 6.0 | % | ||
Colombia | 5.7 | % | ||
Oman | 4.4 | % | ||
Brazil | 3.9 | % | ||
Dominican Republic | 3.7 | % | ||
Investments in securities in these countries represent 59.1% of the total net assets of the Fund. |
Bond quality ratings are obtained from Moody’s Investors Service, Inc. (“Moody’s”) and Standard & Poor’s Ratings Services (“S&P”). Ratings from S&P, when used, are converted into their equivalent Moody��s ratings. If Moody’s and S&P have assigned different ratings to a security, the lowest rating for the security is used. Not rated may include cash. Investments in derivatives and short-term investments are not reflected in the table.
Quoted Bond Quality Ratings Distributions, Major Market Sectors and Top 10 Countries are subject to change.
The lists of Major Market Sectors and Top 10 Countries exclude short-term investments and collateral held for securities loaned.
Bond Quality Ratings Distributions exclude collateral held for securities loaned.
Average Annual Total Returns1 As of October 31, 2019 | ||||||
1-Year | From Inception | |||||
13.84% | 3.58 | % |
Value of a $10,000 Investment1
1 | Past performance is not an indication of future results. The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit ThriventFunds.com. Total investment return and principal value of your investment will fluctuate, and your shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call800-847-4836 or visit ThriventFunds.com for performance results current to the most recentmonth-end. |
Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Fund’s adviser may have waived its management fee and/ or reimbursed Fund expenses, without which the Fund’s total returns would have been lower. The returns shown do not reflect taxes a shareholder would pay on distributions or redemptions. Unless otherwise noted, the Index results shown do not reflect deductions for fees, expenses, or taxes. Index results shown reflect reinvestment of dividends. It is not possible to invest directly in an Index.
* | The Bloomberg Barclays EM USD Aggregate Index is a hard currency Emerging Markets debt benchmark that includes USD denominated debt from sovereign, quasi-sovereign, and corporate EM issuers. |
** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. |
3
Table of Contents
THRIVENT CORE INTERNATIONAL EQUITY FUND
Noah J. Monsen, CFA and Brian W. Bomgren, CQF, PortfolioCo-Managers
The Fund seeks long-term capital appreciation. The Fund’s investment objective may be changed without shareholder approval.
Investment in Thrivent Core International Equity involves risks including equity security, foreign currency, foreign securities, investment adviser, issuer, large cap, market, mid cap, quantitative investing, and small cap risks. A detailed description of each risk can be found in the significant risks section of the accompanying notes to financial statements.
How did the Fund perform during the12-month period ended October 31, 2019?
Thrivent Core International Equity Fund earned a return of 7.99%, compared with the return of its market benchmark, the MSCI WorldEx-USA Index (net), of 11.08%.
What factors affected the Fund’s performance?
As the period began, U.S. economic growth was showing signs of slowing, while growth outside the U.S. was already decidedly sluggish. The Federal Reserve (Fed) followed through with its fourth rate hike in December 2018, but lowered growth and inflation expectations for 2019. Volatility spiked as equities sold off sharply atyear-end in response to weaker growth, trade war concerns and uncertainty surrounding the future direction of Fed policy. Various data points also showed signs of weakness including manufacturing, housing and business spending. As a result, the Fed began to signal a reversal in monetary policy in early 2019 causing equities to rebound. Fed policymakers eventually began to cut rates with decreases in late July,mid-September and the end of October. Rates fell across the Treasury yield curve, and the curve actually inverted later in the period. Other central banks across the globe made a synchronized pivot to rate cuts or alluded to additional easing measures, including the European Central Bank, China and India. In response to escalating trade tensions and these broad-based monetary policy easing measures, global yields fell with an unprecedented amount of overseas bonds trading with negative yields. The inverted U.S. yield curve—combined with concerns about global growth, the ongoing trade war with China and the increasing odds of a disorderly Brexit—sparked recession fears and negatively impacted business confidence, keeping equity markets volatile through the remainder of the period.
Defensive themes played out in equity markets around the world due in large part to the economic uncertainty, particularly in Europe. Concerns about Brexit heightened the anxiety surrounding the already slow growth across Europe, likely placing a premium on stocks with stable growth and profitability, which outperformed value-oriented stocks for most of the period. The extremely low—and in many cases negative—yields on bonds made dividend-paying stocks a more attractive option for investors focused on income, providing a tailwind for “bond-proxy” sectors like Real Estate and Utilities to significantly outperform the overall market. At the opposite end of the spectrum, Energy was the only sector to fall into negative territory due to concerns about the global slowdown and a supply glut. In other broad themes, large-capitalization stocks significantly outpacedsmall-cap stocks over the period.
Our team uses a quantitative approach to select securities that focuses on emphasizing certain factors in the markets that we believe will outperform. During the period, factor performance was somewhat challenging. Our tilt towardsmaller-cap stocks detracted significantly becauselarge-cap stocks outperformed by quite a wide margin. Country allocations also hindered results slightly, including an underweighting to Italy and overweighting to Japan. Conversely, results benefited materially from our emphasis onlow-volatility stocks, which outperformed high volatility particularly during the market sell offs in December 2018, May 2019 and August 2019. Returns due to industry and sector allocations matched the benchmark, with gains from our underweighting in banks offset by losses due to our underweightings in Utilities and gold mining stocks. Although currency exposure was small, an underweighting to the euro proved beneficial.
What is your outlook?
We anticipate the Fed will stay on hold in the near term, although policymakers will remain sensitive to the pace of U.S. economic growth and inflation levels. That said, we believe growth will remain slow in the 1.5%-2% range and inflation low. While concerns surrounding trade issues with China appear to have subsided somewhat, corporate earnings and business spending have slowed and manufacturing has contracted. We still see the potential for more uncertainty surrounding global growth, trade, upcoming elections, monetary policy and Brexit that could lead to another spike in volatility. While low volatility outperformed and value stocks continued to underperform as they have for several years, we saw a sharp reversal in these trends toward the end of the period. It is too soon to know if this represents a reversal, particularly for value stocks after a long period of underperformance.
Going forward, factor exposures will continue to drive the investment process for this Fund. Among our international equity holdings, we are focused on finding profitable companies with attractive valuations, positive price momentum, low volatility and high earnings quality. The Fund’s industry and country weightings will continue to be driven by the companies we own based on the factors we are emphasizing.
The returns shown do not reflect taxes a shareholder would pay on distributions or redemptions.
4
Table of Contents
Portfolio Composition (% of Portfolio) | ||||
Common Stock | 100.0 | % | ||
|
| |||
Total | 100.0 | % |
Major Market Sectors (% of Net Assets) | ||||
Financials | 22.5 | % | ||
Industrials | 18.4 | % | ||
Health Care | 10.7 | % | ||
Consumer Staples | 10.2 | % | ||
Consumer Discretionary | 9.4 | % | ||
Real Estate | 7.8 | % | ||
Information Technology | 7.1 | % | ||
Materials | 4.9 | % | ||
Communications Services | 3.2 | % | ||
Energy | 3.2 | % |
Top 10 Countries (% of Net Assets) | ||||
Japan | 23.3 | % | ||
United Kingdom | 16.5 | % | ||
Canada | 13.4 | % | ||
Switzerland | 10.0 | % | ||
France | 6.2 | % | ||
Netherlands | 5.6 | % | ||
Sweden | 4.5 | % | ||
Denmark | 3.5 | % | ||
Germany | 3.3 | % | ||
Spain | 3.0 | % | ||
Investments in securities in these countries represent 89.3% of the total net assets of the Fund. |
|
Quoted Portfolio Composition, Major Market Sectors, and Top 10 Countries are subject to change.
The lists of Major Market Sectors and Top 10 Countries exclude short-term investments and collateral held for securities loaned. The Portfolio Composition chart excludes collateral held for securities loaned.
Average Annual Total Returns 1 As of October 31, 2019 | ||
1-Year | From Inception | |
7.99% | 0.18% |
Value of a $10,000 Investment1,^
1 | Past performance is not an indication of future results. The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit ThriventFunds.com. Total investment return and principal value of your investment will fluctuate, and your shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call800-847-4836 or visit ThriventFunds.com for performance results current to the most recentmonth-end. |
Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Fund’s adviser may have waived its management fee and/ or reimbursed Fund expenses, without which the Fund’s total returns would have been lower. The returns shown do not reflect taxes a shareholder would pay on distributions or redemptions. Unless otherwise noted, the Index results shown do not reflect deductions for fees, expenses, or taxes. Index results shown reflect reinvestment of dividends. It is not possible to invest directly in an Index.
^ | Effective September 11, 2018, the Fund’s benchmark changed from the MSCI EAFE + Canada Index to the MSCI WorldEx-USA Index (Net). The Adviser made this benchmark change because the new index is more readily available and the has identical returns to the old index going back at least ten years. Thus, the MSCI WorldEx-USA Index (Net) will be shown in shareholder reports for periods ended October 31, 2018 and beyond. |
* | The MSCI WorldEx-USA Index (Net) is an index which captures large and mid cap representation across 22 of 23 Developed Markets countries, excluding the United States |
** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. |
5
Table of Contents
THRIVENT CORE LOW VOLATILITY EQUITY FUND
Noah J. Monsen, CFA and Brian W. Bomgren, CQF, PortfolioCo-Managers
The Fund seeks to provide long-term capital appreciation with lower volatility relative to the domestic equity market. The Fund’s investment objective may be changed without shareholder approval.
Investment in Thrivent Core Low Volatility Equity involves risks including equity security, investment adviser, issuer, large cap, market, mid cap, quantitative investing, and small cap risks. A detailed description of each risk can be found in the significant risks section of the accompanying notes to financial statements.
How did the Fund perform during the12-month period ended October 31, 2019?
Thrivent Core Low Volatility Equity Fund earned a return of 19.42%, compared with the return of its market benchmark, the MSCI USA Minimum Volatility Index (USD), of 18.61%.
What factors affected the Fund’s performance?
As the period began, U.S. economic growth was showing signs of slowing, while growth outside the U.S. was already decidedly sluggish. The Federal Reserve (Fed) followed through with its fourth rate hike in December 2018, but lowered growth and inflation expectations for 2019. Volatility spiked as equities and other risk assets sold off sharply atyear-end in response to weaker growth, trade war concerns and uncertainty surrounding the future direction of Fed policy. Various data points also showed signs of weakness, including manufacturing, housing and business spending. As a result, the Fed began to signal a reversal in monetary policy in early 2019 causing equities and other risk assets to rebound. Fed policymakers eventually began to cut rates with decreases in late July,mid-September and the end of October. Rates fell across the Treasury yield curve, and the curve actually inverted later in the period. Other central banks across the globe made a synchronized pivot to rate cuts or alluded to additional easing measures, including the European Central Bank, China and India. In response to escalating trade tensions and these broad-based monetary policy easing measures, global yields fell with an unprecedented amount of overseas bonds trading with negative yields. The inverted U.S. yield curve—combined with concerns about global growth, the ongoing trade war with China and the increasing odds of a disorderly Brexit—sparked recession fears and negatively impacted business confidence, keeping equity markets volatile throughout the remainder of the period.
Defensive themes played out in equity markets around the world due in large part to the economic uncertainty, particularly in Europe. Concerns about Brexit heightened the anxiety surrounding the already slow growth across Europe, likely placing a premium on stocks with stable growth and profitability, which outperformed value-oriented stocks. The extremely low—and in many cases negative—yields on bonds made dividend-paying stocks a more attractive option for investors focused on income, providing a tailwind for “bond-proxy” sectors like Real Estate and Utilities to significantly outperform the overall market. At the opposite end of the spectrum, Energy was the only sector to fall into negative territory due to concerns about the global slowdown and a supply glut. In other broad themes, large-capitalization stocks significantly outpacedsmall-cap stocks over the period.
In light of the backdrop noted above, this fiscal year was an ideal period to highlight the strength of the Fund’slow-volatility investment strategy. The Fund outperformed high-volatility stocks as well as the broad market over the period, particularly during the market sell offs in December 2018, May 2019 and August 2019. During periods of lower volatility, the Fund performed in line with the broad market. We continued to use a quantitative approach to select securities that focuses on emphasizing certain factors in the market that we believe will outperform. Versus its benchmark, the Fund’s relative return benefited from our emphasis on the liquidity, earnings quality and size factors, while value factors lagged. Security selection was also a positive contributor in the Health Care and Consumer Discretionary sectors, while stock selection detracted in Information Technology. Overall industry allocations contributed to the Fund’s results versus the benchmark.
What is your outlook?
We anticipate the Fed will stay on hold in the near term, although policymakers will remain sensitive to the pace of U.S. economic growth and inflation levels. That said, we believe growth will remain slow in the 1.5%—2% range and inflation low. While concerns surrounding trade issues with China appear to have subsided somewhat, corporate earnings and business spending have slowed and manufacturing has contracted. We still see the potential for more uncertainty surrounding global growth, trade, upcoming elections, monetary policy and Brexit that could lead to another spike in volatility, which would favor alow-volatility strategy relative to the market. We believe rates will likely stay fairly range-bound in the coming year, which would also be beneficial for this strategy. A significant jump in rates poses a risk because manylow-volatility stocks are also high dividend payers whose valuations are often hurt by rising interest rates. While low volatility outperformed and value stocks continued to underperform as they have for several years, we saw a sharp reversal in these trends toward the end of the period. It is too soon to know if this represents a reversal, particularly for value stocks after a long period of underperformance. We will continue to focus on finding profitable companies with low volatility, attractive valuations, positive price momentum and high-quality earnings. Industry weightings will continue to be driven by the companies we own based on the factors we are emphasizing.
The returns shown do not reflect taxes a shareholder would pay on distributions or redemptions.
6
Table of Contents
Portfolio Composition (% of Portfolio) | ||||
Common Stock | 99.9 | % | ||
Short-Term Investments | 0.1 | % | ||
|
| |||
Total | 100.0 | % |
Major Market Sectors (% of Net Assets) | ||||
Consumer Staples | 17.2% | |||
Information Technology | 15.6% | |||
Health Care | 14.9% | |||
Industrials | 11.4% | |||
Financials | 11.2% | |||
Utilities | 9.6% | |||
Real Estate | 9.0% | |||
Consumer Discretionary | 7.1% | |||
Communications Services | 2.4% | |||
Materials | 1.4% |
Top 10 Holdings (% of Net Assets) | ||||
NextEra Energy, Inc. | 2.3 | % | ||
Home Depot, Inc. | 2.2 | % | ||
PepsiCo, Inc. | 2.2 | % | ||
Microsoft Corporation | 2.1 | % | ||
American Tower Corporation | 2.1 | % | ||
Coca-Cola Company | 2.0 | % | ||
Mondelez International, Inc. | 2.0 | % | ||
Johnson & Johnson | 2.0 | % | ||
Marsh & McLennan Companies, Inc. | 2.0 | % | ||
Procter & Gamble Company | 2.0 | % | ||
These securities represent 20.9% of the total net assets of the Fund. |
|
Quoted Portfolio Composition, Major Market Sectors and Top 10 Holdings are subject to change.
The lists of Major Market Sectors and Top 10 holdings exclude short-term investments and collateral held for securities loaned.
The Portfolio Composition chart excludes collateral held for securities loaned.
Average Annual Total Returns 1 As of October 31, 2019 | ||||
1-Year | From Inception 2/28/2018 | |||
19.42% | 14.76% |
Value of a $10,000 Investment1
1 | Past performance is not an indication of future results. The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit ThriventFunds.com. Total investment return and principal value of your investment will fluctuate, and your shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call800-847-4836 or visit ThriventFunds.com for performance results current to the most recentmonth-end. |
Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Fund’s adviser may have waived its management fee and/ or reimbursed Fund expenses, without which the Fund’s total returns would have been lower. The returns shown do not reflect taxes a shareholder would pay on distributions or redemptions. Unless otherwise noted, the Index results shown do not reflect deductions for fees, expenses, or taxes. Index results shown reflect reinvestment of dividends. It is not possible to invest directly in an Index.
* | The MSCI USA Minimum Volatility Index (USD) is an index which aims to reflect the performance characteristics of a minimum variance strategy applied to the large and mid cap USA equity universe. |
** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. |
7
Table of Contents
THRIVENT CORE SHORT-TERM RESERVE FUND
William D. Stouten, Portfolio Manager
The Fund seeks a high level of current income consistent with liquidity and the preservation of capital.
Investment in Thrivent Core Short-Term Reserve Fund involves credit, government securities, interest rate, investment adviser, mortgage-backed and other asset-backed securities, portfolio turnover rate, prepayment, redemption and lending, and redemption and share ownership risks. A detailed description of each risk can be found in the significant risks section of the accompanying notes to financial statements.
Thrivent Core Short-Term Reserve Fund (the “Fund”) seeks a high level of current income consistent with liquidity and the preservation of capital. To help meet this objective, the Fund is invested in investment-grade fixed-income securities; however, its overall weighted average maturity is limited to 180 days or less to help us manage the fluctuation in the Fund’s underlying share price. The Fund’s investments consist of U.S. dollar-denominated debt securities such as: obligations of federal, state and local governments, their agencies and instrumentalities; mortgage-backed and asset-backed securities; corporate debt securities; time deposits; repurchase agreements; and other securities that have debt-like characteristics. The Fund may also invest in other investment companies that have exposure to fixed-income securities. The Fund primarily serves as a cash sweep vehicle for Thrivent Mutual Funds and Thrivent Series Fund.
For the12-month period ended October 31, 2019, the Fund earned a return of 2.59%. The Fund benefited from its high exposure to Tier II commercial paper and lower exposure to government securities. Also, the Fund was aided by its larger percentage of floating-rate securities, which adjust periodically to changing interest rates. The Fund’s30-day yield as of October 31, 2019, was 2.17%, which was significantly higher than the 1.75% yield of60-day commercial paper on that date (source: Bloomberg, U.S. Commercial Paper Placed Top60-Day Discount).
At the end of the reporting period, more than 60% of the Fund’s portfolio was invested in commercial paper, approximately 6% in certificates of deposit (CDs), more than 19% in corporate bonds, approximately 5% in asset-backed securities, almost 7% in U.S. government obligations and approximately 1% in municipal securities. The Fund’s total net assets were approximately $6.2 billion, its weighted average life (WAL) was 146 days and its weighted average maturity (WAM) was 68 days as of October 31, 2019. We extended the Fund’s WAM near the end of the period in anticipation of a cut in the federal funds rate. However, we typically target a shorter average WAM (less than 65 days) because it reduces the price sensitivity of the Fund’s portfolio to changes in interest rates and aids with liquidity. Because of the significant increase in the amount of net assets and collateral held in the Fund during the period, we managed the Fund even more conservatively to help maintain liquidity and dampen the volatility in the net asset value (NAV). Our primary focus in managing the Fund continues to center on maximizing current income while preserving liquidity and minimizing NAV volatility.
The returns shown do not reflect taxes a shareholder would pay on distributions or redemptions.
8
Table of Contents
Portfolio Composition (% of Portfolio) | ||||
Short-Term Investments | 100.0 | % | ||
|
| |||
Total | 100.0 | % |
Major Market Sectors (% of Net Assets) | ||||
Financials | 43.5 | % | ||
Asset-Backed Securities | 8.8 | % | ||
U.S. Government & Agencies | 8.7 | % | ||
Consumer Cyclical | 8.7 | % | ||
Foreign | 5.8 | % | ||
ConsumerNon-Cyclical | 5.8 | % | ||
Capital Goods | 4.3 | % | ||
Energy | 3.9 | % | ||
Utilities | 3.7 | % | ||
Technology | 2.2 | % |
Top 10 Holdings (% of Net Assets) | ||||
Intel Corporation | 0.8 | % | ||
Merck & Company, Inc. | 0.7 | % | ||
Enterprise Fleet Financing, LLC | 0.7 | % | ||
Boeing Company | 0.7 | % | ||
Federal Home Loan Bank | 0.7 | % | ||
Carmax Auto Owner Trust | 0.6 | % | ||
Nederlandse Waterschapsbank NV | 0.6 | % | ||
Citibank NA | 0.6 | % | ||
Toyota Motor Credit Corporation | 0.6 | % | ||
Commonwealth Bank of Australia | 0.6 | % | ||
These securities represent 6.6% of the total net assets of the Fund. |
|
Quoted Major Market Sectors, Portfolio Composition and Top 10 Holdings are subject to change.
Average Annual Total Returns1 As of October 31, 2019 | ||||||
1-Year | From Inception | |||||
2.59% | 1.72 | % |
Value of a $10,000 Investment1
1 | Past performance is not an indication of future results. The prospectus contains more complete information on the investment objectives, risks, charges and expenses of the investment company, which investors should read and consider carefully before investing. To obtain a prospectus, contact a registered representative or visit ThriventFunds.com. Total investment return and principal value of your investment will fluctuate, and your shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Call800-847-4836 or visit ThriventFunds.com for performance results current to the most recentmonth-end. |
Average annual total returns represent past performance and reflect changes in share prices, the reinvestment of all dividends and capital gains, and the effects of compounding. Periods of less than one year are not annualized. At various times, the Fund’s adviser may have waived its management fee and/ or reimbursed Fund expenses, without which the Fund’s total returns would have been lower. The returns shown do not reflect taxes a shareholder would pay on distributions or redemptions. Unless otherwise noted, the Index results shown do not reflect deductions for fees, expenses, or taxes. Index results shown reflect reinvestment of dividends. It is not possible to invest directly in an Index.
* | The Bloomberg Barclays Short-term Government/Corporate Index –3-6 months is an index which measures the performance of USD denominated, fixed rate, investment grade bonds that are in the government or corporate sector and have a remaining maturity of3-6 months. |
** | The Consumer Price Index is an inflationary indicator that measures the change in the cost of a fixed basket of products and services, including housing, electricity, food and transportation. |
9
Table of Contents
(unaudited)
As a shareholder of a Fund, you incur ongoing costs, including administrative fees and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from May 1, 2019 through October 31, 2019.
Actual Expenses
In the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid during Period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
In the table below, the second line provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical example that appears in the shareholder reports of the other funds.
Beginning Account Value 5/1/2019 | Ending Account Value 10/31/2019 | Expenses Paid During Period 5/1/2019 -10/31/2019* | Annualized Expense Ratio | |||||||||||||
Thrivent Core Emerging Markets Debt Fund |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,063 | $ | 0.23 | 0.04 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,025 | $ | 0.22 | 0.04 | % | ||||||||
Thrivent Core International Equity Fund |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,011 | $ | 0.28 | 0.05 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,025 | $ | 0.28 | 0.05 | % | ||||||||
Thrivent Core Low Volatility Equity Fund |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,058 | $ | 0.19 | 0.04 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,025 | $ | 0.18 | 0.04 | % | ||||||||
Thrivent Core Short-Term Reserve Fund |
| |||||||||||||||
Actual | $ | 1,000 | $ | 1,012 | $ | 0.03 | 0.01 | % | ||||||||
Hypothetical** | $ | 1,000 | $ | 1,025 | $ | 0.03 | 0.01 | % |
* | Expenses are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 to reflect theone-half year period. |
** | Assuming 5% annualized total return before expenses. |
10
Table of Contents
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Thrivent Core Funds and Shareholders of Thrivent Core Emerging Markets Debt Fund, Thrivent Core International Equity Fund, Thrivent Core Low Volatility Equity Fund and Thrivent Core Short-Term Reserve Fund
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of investments of each of the funds listed in the table below (constituting Thrivent Core Funds, hereafter collectively referred to as the “Funds”) as of October 31, 2019, the related statements of operations for the year ended October 31, 2019, the statements of changes in net assets for each of the periods indicated in the table below, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of October 31, 2019, the results of each of their operations for the year then ended, the changes in each of their net assets for the periods indicated in the table below, and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Thrivent Core Emerging Markets Debt Fund (1) | Thrivent Core Low Volatility Equity Fund (3) | |
Thrivent Core International Equity Fund (2) | Thrivent Core Short-Term Reserve Fund (1) | |
(1) Statement of changes in net assets for each of the two years in the period ended October 31, 2019 | ||
(2) Statement of changes in net assets for the year ended October 31, 2019 and for the period November 14, 2017 (commencement of operations) through October 31, 2018 | ||
(3) Statement of changes in net assets for the year ended October 31, 2019 and for the period February 28, 2018 (commencement of operations) through October 31, 2018 | ||
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of October 31, 2019 by correspondence with
PricewaterhouseCoopers LLP, 45 South Seventh Street, Suite 3400, Minneapolis, MN 55402 T: (612) 596 6000, F: (612) 373 7160,www.pwc.com/us |
11
Table of Contents
the custodian, transfer agent, and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
December 19, 2019
We have served as the auditor of one or more investment companies in Thrivent Financial for Lutherans investment company complex since 1987.
PricewaterhouseCoopers LLP, 45 South Seventh Street, Suite 3400, Minneapolis, MN 55402 T: (612) 596 6000, F: (612) 373 7160, www.pwc.com/us |
12
Table of Contents
Schedule of Investments as of October 31, 2019
Principal | Long-Term Fixed Income (96.8%) | Value | ||||||
Argentina (0.9%) | ||||||||
Argentina Government International Bond | ||||||||
$1,365,000 | 5.625%, 1/26/2022 | $ | 578,774 | |||||
2,000,000 | 4.625%, 1/11/2023 | 802,000 | ||||||
2,702,000 | 7.500%, 4/22/2026 | 1,141,622 | ||||||
3,767,293 | 8.280%, 12/31/2033 | 1,921,357 | ||||||
7,963,066 | 3.750%, 12/31/2038a | 3,185,306 | ||||||
|
| |||||||
Total | 7,629,059 | |||||||
|
| |||||||
Bahrain (3.2%) | ||||||||
Bahrain Government International Bond | ||||||||
5,000,000 | 5.875%, 1/26/2021b | 5,141,600 | ||||||
4,000,000 | 6.125%, 8/1/2023b | 4,356,016 | ||||||
1,000,000 | 7.000%, 1/26/2026 | 1,143,362 | ||||||
2,000,000 | 7.000%, 10/12/2028b | 2,305,800 | ||||||
2,500,000 | 6.750%, 9/20/2029b | 2,850,000 | ||||||
3,000,000 | 7.500%, 9/20/2047b | 3,510,000 | ||||||
1,000,000 | 7.500%, 9/20/2047 | 1,170,000 | ||||||
CBB International Sukuk Programme SPC | ||||||||
6,000,000 | 5.625%, 9/30/2031b | 6,295,416 | ||||||
|
| |||||||
Total | 26,772,194 | |||||||
|
| |||||||
Belarus (0.8%) | ||||||||
Belarus Government International Bond | ||||||||
2,600,000 | 6.875%, 2/28/2023 | 2,793,700 | ||||||
4,000,000 | 7.625%, 6/29/2027 | 4,585,472 | ||||||
|
| |||||||
Total | 7,379,172 | |||||||
|
| |||||||
Brazil (3.9%) | ||||||||
Brazil Government International Bond | ||||||||
4,800,000 | 2.625%, 1/5/2023 | 4,807,248 | ||||||
1,711,000 | 6.000%, 4/7/2026 | 1,984,760 | ||||||
3,000,000 | 4.625%, 1/13/2028c | 3,211,530 | ||||||
5,000,000 | 4.500%, 5/30/2029 | 5,267,550 | ||||||
2,000,000 | 8.250%, 1/20/2034 | 2,765,020 | ||||||
5,005,000 | 7.125%, 1/20/2037 | 6,425,219 | ||||||
5,500,000 | 5.000%, 1/27/2045 | 5,717,305 | ||||||
2,000,000 | 5.625%, 2/21/2047 | 2,249,020 | ||||||
|
| |||||||
Total | 32,427,652 | |||||||
|
| |||||||
Canada (0.3%) | ||||||||
Canacol Energy, Ltd. | ||||||||
2,500,000 | 7.250%, 5/3/2025 | 2,618,775 | ||||||
|
| |||||||
Total | 2,618,775 | |||||||
|
| |||||||
Cayman Islands (1.9%) | ||||||||
KSA Sukuk, Ltd. | ||||||||
7,000,000 | 2.894%, 4/20/2022b | 7,105,000 | ||||||
Petrobras International Finance Company | ||||||||
6,000,000 | 6.750%, 1/27/2041 | 6,945,000 | ||||||
RAK Capital | ||||||||
2,000,000 | 3.094%, 3/31/2025 | 2,013,520 | ||||||
Rutas 2 and 7 Finance, Ltd. | ||||||||
1,000,000 | Zero Coupon, 9/30/2036b | 650,000 | ||||||
|
| |||||||
Total | 16,713,520 | |||||||
|
|
Principal | Long-Term Fixed Income (96.8%) | Value | ||||||
Colombia (5.7%) | ||||||||
Colombia Government International Bond | ||||||||
$3,870,000 | 4.375%, 7/12/2021 | $ | 3,999,645 | |||||
5,000,000 | 2.625%, 3/15/2023 | 5,018,800 | ||||||
13,375,000 | 3.875%, 4/25/2027 | 14,251,196 | ||||||
4,700,000 | 4.500%, 3/15/2029 | 5,247,597 | ||||||
4,000,000 | 7.375%, 9/18/2037 | 5,670,040 | ||||||
3,000,000 | 6.125%, 1/18/2041 | 3,885,000 | ||||||
7,705,000 | 5.625%, 2/26/2044 | 9,565,835 | ||||||
|
| |||||||
Total | 47,638,113 | |||||||
|
| |||||||
Croatia (1.5%) | ||||||||
Croatia Government International Bond | ||||||||
2,000,000 | 6.625%, 7/14/2020b | 2,059,080 | ||||||
4,500,000 | 6.375%, 3/24/2021b | 4,750,128 | ||||||
2,000,000 | 5.500%, 4/4/2023b | 2,209,808 | ||||||
3,021,000 | 6.000%, 1/26/2024b,c | 3,472,096 | ||||||
|
| |||||||
Total | 12,491,112 | |||||||
|
| |||||||
Dominican Republic (3.7%) | ||||||||
Dominican Republic Government International Bond | ||||||||
1,333,333 | 7.500%, 5/6/2021b | 1,390,013 | ||||||
1,500,000 | 6.600%, 1/28/2024b | 1,657,515 | ||||||
3,500,000 | 5.500%, 1/27/2025b | 3,731,910 | ||||||
3,000,000 | 6.875%, 1/29/2026b | 3,427,530 | ||||||
2,000,000 | 5.950%, 1/25/2027b | 2,195,020 | ||||||
6,100,000 | 6.000%, 7/19/2028b | 6,748,186 | ||||||
5,000,000 | 7.450%, 4/30/2044b | 5,987,550 | ||||||
1,000,000 | 6.500%, 2/15/2048b | 1,090,010 | ||||||
5,000,000 | 6.400%, 6/5/2049b | 5,412,550 | ||||||
|
| |||||||
Total | 31,640,284 | |||||||
|
| |||||||
Egypt (3.3%) | ||||||||
Egypt Government International Bond | ||||||||
4,000,000 | 6.125%, 1/31/2022 | 4,133,600 | ||||||
4,000,000 | 5.875%, 6/11/2025 | 4,141,792 | ||||||
3,000,000 | 7.500%, 1/31/2027 | 3,251,370 | ||||||
7,000,000 | 7.600%, 3/1/2029 | 7,398,636 | ||||||
5,000,000 | 8.500%, 1/31/2047 | 5,256,250 | ||||||
3,000,000 | 7.903%, 2/21/2048 | 3,002,010 | ||||||
|
| |||||||
Total | 27,183,658 | |||||||
|
| |||||||
El Salvador (1.3%) | ||||||||
El Salvador Government International Bond | ||||||||
5,000,000 | 7.125%, 1/20/2050b | 5,072,500 | ||||||
2,000,000 | 6.375%, 1/18/2027 | 2,095,020 | ||||||
1,800,000 | 8.625%, 2/28/2029 | 2,133,018 | ||||||
2,000,000 | 7.650%, 6/15/2035 | 2,175,020 | ||||||
|
| |||||||
Total | 11,475,558 | |||||||
|
| |||||||
Hungary (0.6%) | ||||||||
Hungary Government International Bond | ||||||||
2,500,000 | 6.375%, 3/29/2021 | 2,647,500 | ||||||
2,450,000 | 5.750%, 11/22/2023 | 2,768,010 | ||||||
|
| |||||||
Total | 5,415,510 | |||||||
|
|
The accompanying Notes to Financial Statements are an integral part of this schedule. |
13 |
Table of Contents
EMERGING MARKETS DEBT FUND
Schedule of Investments as of October 31, 2019
Principal | Long-Term Fixed Income (96.8%) | Value | ||||||
Indonesia (7.6%) | ||||||||
Indonesia Government International Bond | ||||||||
$4,650,000 | 3.750%, 4/25/2022b | $ | 4,782,451 | |||||
4,000,000 | 3.375%, 4/15/2023b | 4,095,810 | ||||||
6,197,000 | 5.875%, 1/15/2024b | 6,980,572 | ||||||
3,575,000 | 4.125%, 1/15/2025b | 3,805,058 | ||||||
6,100,000 | 4.750%, 1/8/2026b | 6,723,528 | ||||||
5,000,000 | 8.500%, 10/12/2035b | 7,812,907 | ||||||
2,000,000 | 6.625%, 2/17/2037b | 2,685,482 | ||||||
2,000,000 | 7.750%, 1/17/2038b | 2,980,172 | ||||||
3,226,000 | 6.750%, 1/15/2044b | 4,605,334 | ||||||
3,700,000 | 5.125%, 1/15/2045b | 4,394,407 | ||||||
4,000,000 | 5.950%, 1/8/2046b | 5,290,845 | ||||||
1,200,000 | 5.250%, 1/8/2047b | 1,464,367 | ||||||
1,500,000 | 4.350%, 1/11/2048 | 1,637,739 | ||||||
Perusahaan Penerbit SBSN Indonesia III | ||||||||
3,000,000 | 3.400%, 3/29/2021b | 3,041,250 | ||||||
1,000,000 | 3.750%, 3/1/2023b | 1,037,500 | ||||||
2,500,000 | 4.350%, 9/10/2024b | 2,680,000 | ||||||
1,500,000 | 4.150%, 3/29/2027b | 1,605,000 | ||||||
|
| |||||||
Total | 65,622,422 | |||||||
|
| |||||||
Ivory Coast (1.4%) | ||||||||
Ivory Coast Government International Bond | ||||||||
4,000,000 | 6.375%, 3/3/2028 | 4,131,280 | ||||||
7,500,000 | 6.125%, 6/15/2033 | 7,351,500 | ||||||
|
| |||||||
Total | 11,482,780 | |||||||
|
| |||||||
Kuwait (1.1%) | ||||||||
Kuwait Government International Bond | ||||||||
5,500,000 | 2.750%, 3/20/2022b | 5,576,956 | ||||||
3,000,000 | 3.500%, 3/20/2027b | 3,227,280 | ||||||
|
| |||||||
Total | 8,804,236 | |||||||
|
| |||||||
Mexico (6.6%) | ||||||||
Mexico Government International Bond | ||||||||
7,160,000 | 4.500%, 1/31/2050 | 7,611,796 | ||||||
5,590,000 | 5.750%, 10/12/2110 | 6,491,443 | ||||||
2,000,000 | 4.125%, 1/21/2026 | 2,145,020 | ||||||
5,781,000 | 4.150%, 3/28/2027 | 6,194,399 | ||||||
5,085,000 | 3.750%, 1/11/2028 | 5,303,706 | ||||||
6,000,000 | 5.550%, 1/21/2045 | 7,290,060 | ||||||
5,250,000 | 4.600%, 1/23/2046 | 5,597,865 | ||||||
2,000,000 | 4.600%, 2/10/2048 | 2,160,020 | ||||||
Petroleos Mexicanos | ||||||||
12,500,000 | 6.840%, 1/23/2030b | 13,348,750 | ||||||
|
| |||||||
Total | 56,143,059 | |||||||
|
| |||||||
Netherlands (1.8%) | ||||||||
Braskem Netherlands Finance BV | ||||||||
6,000,000 | 5.875%, 1/31/2050b | 5,967,000 | ||||||
IHS Netherlands Holdco BV | ||||||||
3,000,000 | 8.000%, 9/18/2027b | 3,135,600 | ||||||
Petrobras Global Finance BV | ||||||||
6,560,000 | 5.093%, 1/15/2030b | 6,956,880 | ||||||
|
| |||||||
Total | 16,059,480 | |||||||
|
|
Principal | Long-Term Fixed Income (96.8%) | Value | ||||||
Nigeria (1.6%) | ||||||||
Nigeria Government International Bond | ||||||||
$2,000,000 | 6.375%, 7/12/2023 | $ | 2,102,148 | |||||
1,500,000 | 7.625%, 11/21/2025 | 1,633,065 | ||||||
4,500,000 | 7.143%, 2/23/2030 | 4,512,438 | ||||||
3,000,000 | 7.696%, 2/23/2038 | 2,999,760 | ||||||
3,000,000 | 7.625%, 11/28/2047 | 2,925,900 | ||||||
|
| |||||||
Total | 14,173,311 | |||||||
|
| |||||||
Oman (4.4%) | ||||||||
Oman Government International Bond | ||||||||
3,000,000 | 3.625%, 6/15/2021b | 3,002,010 | ||||||
3,000,000 | 4.125%, 1/17/2023b | 3,009,540 | ||||||
2,000,000 | 5.932%, 10/31/2025b | 2,145,000 | ||||||
5,000,000 | 4.750%, 6/15/2026b | 4,856,250 | ||||||
2,000,000 | 5.375%, 3/8/2027b | 1,980,000 | ||||||
6,000,000 | 5.625%, 1/17/2028b | 5,932,500 | ||||||
10,000,000 | 6.000%, 8/1/2029b | 9,987,500 | ||||||
6,000,000 | 6.750%, 1/17/2048b | 5,625,000 | ||||||
|
| |||||||
Total | 36,537,800 | |||||||
|
| |||||||
Panama (1.9%) | ||||||||
Panama Government International Bond | ||||||||
2,000,000 | 4.500%, 4/16/2050 | 2,347,520 | ||||||
1,000,000 | 9.375%, 1/16/2023 | 1,222,510 | ||||||
3,000,000 | 3.750%, 3/16/2025 | 3,168,780 | ||||||
2,000,000 | 3.875%, 3/17/2028 | 2,175,020 | ||||||
5,079,000 | 6.700%, 1/26/2036 | 7,148,743 | ||||||
|
| |||||||
Total | 16,062,573 | |||||||
|
| |||||||
Paraguay (0.8%) | ||||||||
Paraguay Government International Bond | ||||||||
5,800,000 | 5.400%, 3/30/2050 | 6,568,558 | ||||||
|
| |||||||
Total | 6,568,558 | |||||||
|
| |||||||
Peru (1.7%) | ||||||||
Peru Government International Bond | ||||||||
3,650,000 | 5.625%, 11/18/2050 | 5,347,286 | ||||||
1,000,000 | 7.350%, 7/21/2025 | 1,269,500 | ||||||
5,000,000 | 8.750%, 11/21/2033 | 8,243,800 | ||||||
|
| |||||||
Total | 14,860,586 | |||||||
|
| |||||||
Philippines (2.8%) | ||||||||
Philippines Government International Bond | ||||||||
3,000,000 | 4.200%, 1/21/2024 | 3,241,307 | ||||||
3,000,000 | 3.750%, 1/14/2029 | 3,318,758 | ||||||
5,025,000 | 7.750%, 1/14/2031 | 7,435,895 | ||||||
2,625,000 | 6.375%, 10/23/2034 | 3,700,502 | ||||||
1,000,000 | 5.000%, 1/13/2037 | 1,275,691 | ||||||
3,720,000 | 3.950%, 1/20/2040 | 4,272,055 | ||||||
800,000 | 3.700%, 3/1/2041c | 893,555 | ||||||
|
| |||||||
Total | 24,137,763 | |||||||
|
|
The accompanying Notes to Financial Statements are an integral part of this schedule. |
14 |
Table of Contents
EMERGING MARKETS DEBT FUND
Schedule of Investments as of October 31, 2019
Principal | Long-Term Fixed Income (96.8%) | Value | ||||||
Poland (0.5%) | ||||||||
Poland Government International Bond | ||||||||
$4,000,000 | 5.000%, 3/23/2022 | $ | 4,282,640 | |||||
|
| |||||||
Total | 4,282,640 | |||||||
|
| |||||||
Qatar (6.8%) | ||||||||
Qatar Government International Bond | ||||||||
6,000,000 | 4.500%, 1/20/2022b | 6,300,000 | ||||||
3,000,000 | 3.875%, 4/23/2023b | 3,164,352 | ||||||
6,000,000 | 3.375%, 3/14/2024b | 6,270,000 | ||||||
3,000,000 | 3.250%, 6/2/2026b | 3,146,040 | ||||||
8,500,000 | 4.500%, 4/23/2028b | 9,711,930 | ||||||
1,000,000 | 4.000%, 3/14/2029b | 1,108,758 | ||||||
2,000,000 | 9.750%, 6/15/2030b | 3,289,800 | ||||||
2,000,000 | 5.750%, 1/20/2042b | 2,755,740 | ||||||
9,750,000 | 5.103%, 4/23/2048b | 12,427,350 | ||||||
8,000,000 | 4.817%, 3/14/2049b | 9,838,560 | ||||||
|
| |||||||
Total | 58,012,530 | |||||||
|
| |||||||
Russian Federation (6.0%) | ||||||||
Russia Government International Bond | ||||||||
2,000,000 | 4.500%, 4/4/2022b | 2,104,012 | ||||||
7,600,000 | 4.750%, 5/27/2026 | 8,356,930 | ||||||
4,000,000 | 4.250%, 6/23/2027b | 4,286,048 | ||||||
2,000,000 | 12.750%, 6/24/2028b | 3,406,684 | ||||||
4,400,000 | 4.375%, 3/21/2029 | 4,758,582 | ||||||
6,000,000 | 4.375%, 3/21/2029b | 6,488,976 | ||||||
1,005,000 | 7.500%, 3/31/2030b | 1,148,815 | ||||||
2,600,000 | 5.100%, 3/28/2035b | 2,989,641 | ||||||
6,600,000 | 5.625%, 4/4/2042b | 8,151,462 | ||||||
8,000,000 | 5.250%, 6/23/2047b | 9,554,400 | ||||||
|
| |||||||
Total | 51,245,550 | |||||||
|
| |||||||
Saudi Arabia (6.8%) | ||||||||
Saudi Arabia Government International Bond | ||||||||
3,000,000 | 5.250%, 1/16/2050b | 3,694,494 | ||||||
2,500,000 | 2.375%, 10/26/2021b | 2,504,375 | ||||||
3,000,000 | 2.875%, 3/4/2023b | 3,062,040 | ||||||
6,000,000 | 4.000%, 4/17/2025b | 6,444,180 | ||||||
6,000,000 | 3.250%, 10/26/2026b | 6,202,500 | ||||||
6,000,000 | 3.625%, 3/4/2028b | 6,312,984 | ||||||
5,000,000 | 4.375%, 4/16/2029b | 5,581,460 | ||||||
5,000,000 | 4.500%, 4/17/2030b | 5,658,900 | ||||||
5,250,000 | 4.500%, 10/26/2046b | 5,774,685 | ||||||
4,000,000 | 4.625%, 10/4/2047b | 4,476,680 | ||||||
6,700,000 | 5.000%, 4/17/2049b | 7,940,773 | ||||||
|
| |||||||
Total | 57,653,071 | |||||||
|
| |||||||
Senegal (0.5%) | ||||||||
Senegal Government International Bond | ||||||||
4,000,000 | 6.250%, 5/23/2033 | 4,083,088 | ||||||
|
| |||||||
Total | 4,083,088 | |||||||
|
| |||||||
South Africa (2.1%) | ||||||||
Eskom Holdings SOC, Ltd. | ||||||||
1,500,000 | 6.350%, 8/10/2028b | 1,586,637 | ||||||
South Africa Government International Bond | ||||||||
4,125,000 | 5.875%, 5/30/2022 | 4,437,593 |
Principal | Long-Term Fixed Income (96.8%) | Value | ||||||
South Africa (2.1%) - continued | ||||||||
$2,000,000 | 4.665%, 1/17/2024 | $ | 2,085,720 | |||||
1,600,000 | 4.875%, 4/14/2026 | 1,649,405 | ||||||
1,500,000 | 4.850%, 9/27/2027 | 1,524,444 | ||||||
500,000 | 5.875%, 6/22/2030 | 531,525 | ||||||
500,000 | 6.250%, 3/8/2041 | 537,500 | ||||||
5,200,000 | 5.650%, 9/27/2047 | 5,096,000 | ||||||
|
| |||||||
Total | 17,448,824 | |||||||
|
| |||||||
Sri Lanka (2.1%) | ||||||||
Sri Lanka Government International Bond | ||||||||
1,500,000 | 6.250%, 10/4/2020b | 1,522,500 | ||||||
1,500,000 | 5.750%, 1/18/2022b | 1,515,115 | ||||||
1,500,000 | 5.875%, 7/25/2022b | 1,513,463 | ||||||
1,000,000 | 5.750%, 4/18/2023b | 1,001,962 | ||||||
2,000,000 | 6.850%, 3/14/2024b | 2,059,924 | ||||||
2,000,000 | 6.350%, 6/28/2024b | 2,026,927 | ||||||
1,500,000 | 6.200%, 5/11/2027b | 1,441,308 | ||||||
2,500,000 | 6.750%, 4/18/2028 | 2,443,274 | ||||||
1,000,000 | 6.750%, 4/18/2028b | 977,309 | ||||||
2,000,000 | 7.850%, 3/14/2029b | 2,069,744 | ||||||
2,000,000 | 7.550%, 3/28/2030b | 2,022,743 | ||||||
|
| |||||||
Total | 18,594,269 | |||||||
|
| |||||||
Supranational (0.8%) | ||||||||
African Export-Import Bank | ||||||||
3,000,000 | 3.994%, 9/21/2029b | 3,000,960 | ||||||
Banque Ouest Africaine de Developpement | ||||||||
3,000,000 | 4.700%, 10/22/2031b | 3,018,960 | ||||||
|
| |||||||
Total | 6,019,920 | |||||||
|
| |||||||
Trinidad and Tobago (0.6%) | ||||||||
Telecommunications Services of Trinidad and Tobago, Ltd. | ||||||||
5,000,000 | 8.875%, 10/18/2029b | 5,000,000 | ||||||
|
| |||||||
Total | 5,000,000 | |||||||
|
| |||||||
Turkey (7.6%) | ||||||||
Hazine Mustesarligi Varlik Kiralama AS | ||||||||
3,000,000 | 5.800%, 2/21/2022b | 3,049,020 | ||||||
Turkey Government International Bond | ||||||||
2,750,000 | 7.000%, 6/5/2020 | 2,805,165 | ||||||
2,500,000 | 5.625%, 3/30/2021 | 2,554,220 | ||||||
3,000,000 | 6.250%, 9/26/2022 | 3,101,910 | ||||||
5,000,000 | 7.250%, 12/23/2023 | 5,325,000 | ||||||
8,000,000 | 5.750%, 3/22/2024 | 8,059,712 | ||||||
2,250,000 | 7.375%, 2/5/2025 | 2,413,125 | ||||||
2,042,000 | 4.875%, 10/9/2026 | 1,912,051 | ||||||
4,300,000 | 6.000%, 3/25/2027 | 4,254,420 | ||||||
1,000,000 | 5.125%, 2/17/2028 | 930,000 | ||||||
8,500,000 | 7.625%, 4/26/2029 | 9,116,250 | ||||||
6,839,000 | 6.875%, 3/17/2036 | 6,737,564 | ||||||
5,935,000 | 6.750%, 5/30/2040 | 5,753,389 | ||||||
6,500,000 | 6.625%, 2/17/2045 | 6,145,750 | ||||||
3,000,000 | 5.750%, 5/11/2047 | 2,568,750 | ||||||
|
| |||||||
Total | 64,726,326 | |||||||
|
|
The accompanying Notes to Financial Statements are an integral part of this schedule. |
15 |
Table of Contents
EMERGING MARKETS DEBT FUND
Schedule of Investments as of October 31, 2019
Principal | Long-Term Fixed Income (96.8%) | Value | ||||||
United Arab Emirates (2.7%) | ||||||||
Abu Dhabi Government International Bond | ||||||||
$3,000,000 | 2.500%, 10/11/2022b | $ | 3,030,900 | |||||
3,000,000 | 3.125%, 5/3/2026b | 3,123,750 | ||||||
5,500,000 | 3.125%, 10/11/2027b | 5,741,725 | ||||||
5,000,000 | 2.500%, 9/30/2029b | 4,962,500 | ||||||
4,000,000 | 4.125%, 10/11/2047b | 4,599,016 | ||||||
Dubai Government International Bond | ||||||||
1,000,000 | 5.250%, 1/30/2043 | 1,145,000 | ||||||
|
| |||||||
Total | 22,602,891 | |||||||
|
| |||||||
Uruguay (1.5%) | ||||||||
Uruguay Government International Bond | ||||||||
4,000,000 | 4.975%, 4/20/2055 | 4,680,040 | ||||||
5,000,000 | 5.100%, 6/18/2050 | 5,987,500 | ||||||
2,040,312 | 4.375%, 1/23/2031 | 2,275,988 | ||||||
|
| |||||||
Total | 12,943,528 | |||||||
|
| |||||||
Total Long-Term Fixed Income (cost $791,253,478) | 822,449,812 | |||||||
|
| |||||||
Shares | Collateral Held for Securities | |||||||
3,415,005 | Thrivent Cash Management Trust | 3,415,005 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $3,415,005) | 3,415,005 | |||||||
|
| |||||||
Shares or | Short-Term Investments (1.9%) | |||||||
Federal Home Loan Bank Discount Notes | ||||||||
200,000 | 1.670%, 12/10/2019d,e | 199,638 | ||||||
Thrivent Core Short-Term Reserve Fund | ||||||||
1,558,969 | 2.110% | 15,589,689 | ||||||
|
| |||||||
Total Short-Term Investments (cost $15,789,327) | 15,789,327 | |||||||
|
| |||||||
Total Investments (cost $810,457,810) 99.1% | $ | 841,654,144 | ||||||
|
| |||||||
Other Assets and Liabilities, Net 0.9% | 8,000,972 | |||||||
|
| |||||||
Total Net Assets 100.0% | $ | 849,655,116 | ||||||
|
|
a | Denotes step coupon securities. Step coupon securities pay an initial coupon rate for the first period and then different coupon rates for following periods. The rate shown is as of October 31, 2019. |
b | Denotes securities sold under Rule 144A of the Securities Act of 1933, which exempts them from registration. These securities may be resold to other dealers in the program or to other qualified institutional buyers. As of October 31, 2019, the value of these investments was $427,212,779 or 50.3% of total net assets. |
c | All or a portion of the security is on loan. |
d | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
e | All or a portion of the security is held on deposit with the counterparty and pledged as the initial margin deposit for open futures contracts. |
The following table presents the total amount of securities loaned with continuous maturity, by type, offset by the gross payable upon return of collateral for securities loaned by Thrivent Core Emerging Markets Debt Fund as of October 31, 2019:
Securities Lending Transactions
Long-Term Fixed Income | $ | 3,328,862 | ||
|
| |||
Total lending | $ | 3,328,862 | ||
Gross amount payable upon return of collateral for securities loaned | $ | 3,415,005 | ||
|
| |||
Net amounts due to counterparty | $ | 86,143 | ||
|
|
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments of the portfolio as a whole (including derivatives, if any), based on cost for federal income tax purposes, were as follows:
Gross unrealized appreciation | $ | 43,300,879 | ||
Gross unrealized depreciation | (12,347,986 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 30,952,893 | ||
Cost for federal income tax purposes | $ | 810,701,251 |
The accompanying Notes to Financial Statements are an integral part of this schedule. |
16 |
Table of Contents
EMERGING MARKETS DEBT FUND
Schedule of Investments as of October 31, 2019
Fair Valuation Measurements
The following table is a summary of the inputs used, as of October 31, 2019, in valuing Emerging Markets Debt Fund’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Long-Term Fixed Income | ||||||||||||||||
Basic Materials | 5,967,000 | – | 5,967,000 | – | ||||||||||||
Communications Services | 8,135,600 | – | 8,135,600 | – | ||||||||||||
Energy | 22,924,405 | – | 22,924,405 | – | ||||||||||||
Financials | 650,000 | – | 650,000 | – | ||||||||||||
Foreign Government | 783,186,170 | – | 783,186,170 | – | ||||||||||||
Utilities | 1,586,637 | – | 1,586,637 | – | ||||||||||||
Short-Term Investments | 199,638 | – | 199,638 | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Subtotal Investments in Securities | $ | 822,649,450 | $ | – | $ | 822,649,450 | $ | – | ||||||||
|
|
|
|
|
|
|
|
Other Investments * | Total | |||
Affiliated Short-Term Investments | 15,589,689 | |||
Collateral Held for Securities Loaned | 3,415,005 | |||
|
| |||
Subtotal Other Investments | $ | 19,004,694 | ||
|
| |||
Total Investments at Value | $ | 841,654,144 | ||
|
|
* | Certain investments are measured at fair value using a net asset value per share that is not publicly available (practical expedient). According to disclosure requirements of Accounting Standards Codification (ASC) 820, Fair Value Measurement, securities valued using the practical expedient are not classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. |
There were no significant transfers between Levels during the period ended October 31, 2019. Transfers between Levels are identified as of the end of the period.
The following table summarizes the net realized gains/(losses) and Statement of Operations location, for the period ended October 31, 2019, for Emerging Markets Debt Fund’s investments in financial derivative instruments by primary risk exposure.
Derivatives by risk category | Statement of Operations Location | Realized Gains/ (Losses) recognized in Income | ||||
Interest Rate Contracts | ||||||
Futures | Net realized gains/(losses) on Futures contracts | (317,792 | ) | |||
Total Interest Rate Contracts | (317,792 | ) | ||||
|
| |||||
Total | ($ | 317,792 | ) | |||
|
|
The following table presents Emerging Markets Debt Fund’s average volume of derivative activity during the period ended October 31, 2019.
Derivative Risk Category | Average Notional Value | |||
Interest Rate Contracts | ||||
Futures - Short | ($ | 848,600 | ) |
The accompanying Notes to Financial Statements are an integral part of this schedule.
17
Table of Contents
EMERGING MARKETS DEBT FUND
Schedule of Investments as of October 31, 2019
Investment in Affiliates
Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Fund’s holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, any affiliated mutual fund, or a company which is under common ownership or control with the Fund. The Fund owns shares of Thrivent Cash Management Trust for the purpose of securities lending and Thrivent Core Short-Term Reserve Fund, a series of Thrivent Core Funds, primarily to serve as a cash sweep vehicle for the Fund. Thrivent Cash Management Trust and Thrivent Core Funds are established solely for investment by Thrivent entities.
A summary of transactions (in thousands; values shown as zero are less than $500) for the fiscal year to date, in Emerging Markets Debt Fund, is as follows:
Fund | Value 10/31/2018 | Gross Purchases | Gross Sales | Value 10/31/2019 | Shares Held at 10/31/2019 | % of Net Assets | ||||||||||||||||||||||
Affiliated Short-Term Investments | ||||||||||||||||||||||||||||
Core Short-Term Reserve, 2.110% | $ | 12,270 | $ | 179,981 | $ | 176,661 | $ | 15,590 | 1,559 | 1.8 | % | |||||||||||||||||
Total Affiliated Short-Term Investments | 12,270 | 15,590 | 1.8 | |||||||||||||||||||||||||
Collateral Held for Securities Loaned | ||||||||||||||||||||||||||||
Cash Management Trust- Collateral Investment | 4,447 | 76,117 | 77,149 | 3,415 | 3,415 | 0.4 | ||||||||||||||||||||||
Total Collateral Held for Securities Loaned | 4,447 | 3,415 | 0.4 | |||||||||||||||||||||||||
Total Value | $ | 16,717 | $ | 19,005 |
Fund | Net Realized Gain/(Loss) | Change in Unrealized Appreciation/ (Depreciation) | Distributions of Realized Capital Gains | Income Earned 11/1/2018 - 10/31/2019 | ||||||||||||
Affiliated Short-Term Investments | ||||||||||||||||
Core Short-Term Reserve, 2.110% | $ | – | $ | – | $ | – | $ | 294 | ||||||||
Total Income from Affiliated Investments | $ | 294 | ||||||||||||||
Collateral Held for Securities Loaned | ||||||||||||||||
Cash Management Trust- Collateral Investment | – | – | – | 15 | ||||||||||||
Total Affiliated Income from Securities Loaned, Net | $ | 15 | ||||||||||||||
Total | $ | – | $ | – | $ | – |
The accompanying Notes to Financial Statements are an integral part of this schedule.
18
Table of Contents
Schedule of Investments as of October 31, 2019
Shares | Common Stock (99.1%) | Value | ||||||
Australia (2.7%) | ||||||||
340,901 | AGL Energy, Ltd. | $ | 4,653,515 | |||||
143,859 | BHP Group, Ltd. | 3,526,342 | ||||||
280,009 | Computershare, Ltd. | 3,056,434 | ||||||
1,026,982 | FlexiGroup, Ltd. | 1,379,729 | ||||||
473,227 | GWA Group, Ltd. | 949,211 | ||||||
385,497 | Medibank Private, Ltd. | 898,488 | ||||||
2,254,927 | Mirvac Group | 4,996,652 | ||||||
339,110 | Sandfire Resources NL | 1,354,379 | ||||||
318,843 | Seven West Media, Ltd.a | 87,560 | ||||||
107,599 | Super Retail Group, Ltd. | 706,875 | ||||||
|
| |||||||
Total | 21,609,185 | |||||||
|
| |||||||
Belgium (0.1%) | ||||||||
2,860 | Cofinimmo SA | 422,962 | ||||||
|
| |||||||
Total | 422,962 | |||||||
|
| |||||||
Bermuda (0.1%) | ||||||||
274,000 | Road King Infrastructure, Ltd. | 501,258 | ||||||
|
| |||||||
Total | 501,258 | |||||||
|
| |||||||
Canada (13.4%) | ||||||||
80,600 | Allied Properties REIT | 3,278,831 | ||||||
172,543 | Bank of Montrealb | 12,772,715 | ||||||
245,455 | CGI, Inc.a | 19,079,556 | ||||||
58,309 | Choice Properties REIT | 615,363 | ||||||
739,489 | CI Financial Corporation | 10,763,043 | ||||||
35,429 | First Capital Realty, Inc. | 586,404 | ||||||
107,972 | Granite REIT | 5,346,545 | ||||||
30,025 | H&R REIT | 507,901 | ||||||
15,585 | IA Financial Corporation, Inc. | 750,555 | ||||||
123,550 | Laurentian Bank of Canadab | 4,249,347 | ||||||
586,834 | Manulife Financial Corporation | 10,929,343 | ||||||
106,842 | National Bank of Canada | 5,517,723 | ||||||
41,719 | Northland Power, Inc. | 833,050 | ||||||
18,202 | Northview Apartment REIT | 398,838 | ||||||
79,698 | Quebecor, Inc. | 1,852,823 | ||||||
66,870 | RioCan REITb | 1,341,868 | ||||||
60,319 | Royal Bank of Canada | 4,865,455 | ||||||
218,505 | Sun Life Financial, Inc. | 9,802,946 | ||||||
297,641 | Toronto-Dominion Bank | 16,996,112 | ||||||
42,517 | Transcontinental, Inc. | 485,503 | ||||||
|
| |||||||
Total | 110,973,921 | |||||||
|
| |||||||
Denmark (3.5%) | ||||||||
50,312 | Carlsberg AS | 7,085,147 | ||||||
332,263 | Novo Nordisk AS | 18,270,714 | ||||||
70,196 | Topdanmark AS | 3,143,668 | ||||||
|
| |||||||
Total | 28,499,529 | |||||||
|
| |||||||
Finland (0.6%) | ||||||||
144,854 | UPM-Kymmene Oyj | 4,717,819 | ||||||
|
| |||||||
Total | 4,717,819 | |||||||
|
| |||||||
France (6.2%) | ||||||||
87,583 | Capgemini SA | 9,873,250 | ||||||
36,009 | Cie Generale des Etablissements Michelin | 4,384,357 | ||||||
269,809 | CNP Assurances | 5,355,505 | ||||||
8,168 | Gaztransport Et Technigaz SA | 745,236 | ||||||
20,964 | Ipsos SA | 631,749 | ||||||
224,870 | Klepierre SA | 8,382,082 | ||||||
141,977 | Legrand SA | 11,081,116 | ||||||
5,455 | LNA Sante | 287,966 |
Shares | Common Stock (99.1%) | Value | ||||||
France (6.2%) - continued | ||||||||
6,763 | L’Oreal SA | $ | 1,975,214 | |||||
107,699 | Schneider Electric SE | 10,009,592 | ||||||
|
| |||||||
Total | 52,726,067 | |||||||
|
| |||||||
Germany (3.3%) | ||||||||
66,355 | Allianz SE | 16,205,393 | ||||||
67,280 | Alstria Office REIT AG | 1,260,628 | ||||||
11,851 | Deutsche Boerse AG | 1,835,242 | ||||||
12,199 | Deutsche EuroShop AGb | 365,112 | ||||||
245,014 | Deutsche Pfandbriefbank AGc | 3,348,441 | ||||||
2,986 | Fraport AG Frankfurt Airport Services Worldwide | 249,578 | ||||||
4,806 | LEG Immobilien AG | 552,036 | ||||||
144,572 | TAG Immobilien AG | 3,513,349 | ||||||
|
| |||||||
Total | 27,329,779 | |||||||
|
| |||||||
Hong Kong (0.5%) | ||||||||
629,000 | HKT Trust and HKT, Ltd. | 978,510 | ||||||
867,000 | Hysan Development Company, Ltd. | 3,417,060 | ||||||
|
| |||||||
Total | 4,395,570 | |||||||
|
| |||||||
Ireland (<0.1%) | ||||||||
12,250 | Glanbia plc | 136,488 | ||||||
|
| |||||||
Total | 136,488 | |||||||
|
| |||||||
Israel (1.6%) | ||||||||
716,743 | Bank LeumiLe-Israel BM | 5,220,934 | ||||||
1,677,092 | Israel Discount Bank, Ltd. | 7,664,018 | ||||||
|
| |||||||
Total | 12,884,952 | |||||||
|
| |||||||
Italy (0.8%) | ||||||||
149,855 | Recordati SPA | 6,297,526 | ||||||
|
| |||||||
Total | 6,297,526 | |||||||
|
| |||||||
Japan (23.3%) | ||||||||
27,300 | AOKI Holdings, Inc. | 277,748 | ||||||
55,600 | Aoyama Trading Company, Ltd. | 978,259 | ||||||
39,000 | Arcs Company, Ltd. | 782,609 | ||||||
31,400 | Autobacs Seven Company, Ltd. | 518,355 | ||||||
69,700 | Benesse Holdings, Inc. | 1,865,853 | ||||||
108,100 | Canon, Inc. | 2,966,234 | ||||||
34,700 | Chiyoda Company, Ltd. | 514,214 | ||||||
632,100 | Citizen Watch Company, Ltd. | 3,360,595 | ||||||
62,600 | Daito Trust Construction Company, Ltd. | 8,295,781 | ||||||
202,800 | Denso Corporation | 9,415,988 | ||||||
15,100 | Exedy Corporation | 355,676 | ||||||
28,400 | GS Yuasa Corporation | 517,740 | ||||||
7,500 | Hanwa Company, Ltd. | 218,501 | ||||||
90,600 | Hino Motors, Ltd. | 856,561 | ||||||
38,800 | Hokuetsu Corporation | 197,601 | ||||||
59,300 | Inaba Denki Sangyo Company, Ltd. | 2,724,166 | ||||||
877,300 | Japan Tobacco, Inc. | 19,829,359 | ||||||
225,100 | JSR Corporation | 4,225,969 | ||||||
156,100 | Kyoei Steel, Ltd. | 2,842,682 | ||||||
16,900 | KYORIN Holdings, Inc. | 296,021 | ||||||
25,500 | Lintec Corporation | 535,572 | ||||||
1,240,300 | Marubeni Corporation | 8,729,328 | ||||||
12,400 | Ministop Company, Ltd. | 166,808 | ||||||
485,000 | Mitsubishi Corporation | 12,335,692 | ||||||
100,900 | Mitsubishi Gas Chemical Company, Inc. | 1,423,388 |
The accompanying Notes to Financial Statements are an integral part of this schedule. |
19 |
Table of Contents
INTERNATIONAL EQUITY FUND
Schedule of Investments as of October 31, 2019
Shares | Common Stock (99.1%) | Value | ||||||
Japan (23.3%) - continued | ||||||||
163,400 | Mitsubishi Tanabe Pharma Corporation | $ | 1,955,619 | |||||
45,600 | Mitsuboshi Belting, Ltd. | 858,009 | ||||||
557,000 | Mitsui & Company, Ltd. | 9,565,897 | ||||||
78,700 | NEC Networks & System Integration Corporation | 2,484,088 | ||||||
219,800 | NHK Spring Company, Ltd. | 1,795,591 | ||||||
619,900 | Nippon Steel Corporation | 9,047,774 | ||||||
9,500 | Nissan Chemical Industries, Ltd. | 390,050 | ||||||
1,739,300 | Nissan Motor Company, Ltd. | 10,975,993 | ||||||
149,300 | Nitto Kogyo Corporation | 3,136,823 | ||||||
32,600 | Onward Holdings Company, Ltd. | 188,466 | ||||||
117,400 | Park24 Company, Ltd. | 2,772,573 | ||||||
24,000 | PLENUS Company, Ltd.b | 416,755 | ||||||
37,100 | Rinnai Corporation | 2,726,975 | ||||||
30,000 | Ryoyo Electro Corporation | 532,419 | ||||||
65,000 | Sangetsu Company, Ltd. | 1,228,943 | ||||||
8,200 | Sanyo Special Steel Company, Ltd. | 103,851 | ||||||
41,000 | Senshu Ikeda Holdings, Inc. | 73,532 | ||||||
21,000 | SHIMAMURA Company, Ltd. | 1,778,765 | ||||||
13,200 | Shinko Electric Industries Company, Ltd. | 128,824 | ||||||
1,235,800 | Sojitz Corporation | 3,889,733 | ||||||
87,500 | Sugi Holdings Company, Ltd. | 4,856,893 | ||||||
489,000 | Sumitomo Corporation | 7,942,534 | ||||||
793,700 | Sumitomo Electric Industries, Ltd. | 10,884,610 | ||||||
15,000 | Sumitomo Forestry Company, Ltd. | 217,718 | ||||||
566,800 | Sumitomo Rubber Industries, Ltd. | 7,512,231 | ||||||
228,100 | Sundrug Company, Ltd. | 7,547,994 | ||||||
22,200 | Taikisha, Ltd. | 718,131 | ||||||
22,300 | Taiyo Holdings Company, Ltd. | 808,163 | ||||||
12,600 | Takara Standard Company, Ltd. | 220,982 | ||||||
104,500 | Toagosei Company, Ltd. | 1,158,254 | ||||||
60,600 | Toppan Forms Company, Ltd. | 605,748 | ||||||
271,000 | Toyoda Gosei Company, Ltd. | 6,339,965 | ||||||
47,200 | Tsubakimoto Chain Company | 1,612,631 | ||||||
6,600 | TSURUHA Holdings, Inc. | 742,425 | ||||||
218,500 | TV Asahi Holdings Corporation | 3,412,739 | ||||||
19,700 | United Arrows, Ltd. | 602,213 | ||||||
28,000 | Yuasa Trading Company, Ltd. | 868,639 | ||||||
|
| |||||||
Total | 194,333,250 | |||||||
|
| |||||||
Netherlands (5.6%) | ||||||||
48,787 | Aalberts NV | 1,966,008 | ||||||
130,602 | Euronext NVc | 10,535,942 | ||||||
50,945 | ForFarmers BV | 309,087 | ||||||
68,176 | Koninklijke DSM NV | 8,091,675 | ||||||
140,791 | Koninklijke Philips NV | 6,177,079 | ||||||
248,915 | Signify NVc | 7,293,230 | ||||||
157,662 | Unilever NV | 9,318,882 | ||||||
49,317 | Wolters Kluwer NV | 3,632,346 | ||||||
|
| |||||||
Total | 47,324,249 | |||||||
|
| |||||||
New Zealand (0.1%) | ||||||||
116,677 | Contact Energy, Ltd. | 551,835 | ||||||
|
| |||||||
Total | 551,835 | |||||||
|
| |||||||
Norway (1.4%) | ||||||||
357,059 | DnB ASA | 6,501,079 | ||||||
16,064 | Entra ASAc | 240,561 | ||||||
243,718 | Telenor ASA | 4,561,368 | ||||||
|
| |||||||
Total | 11,303,008 | |||||||
|
|
Shares | Common Stock (99.1%) | Value | ||||||
Singapore (1.9%) | ||||||||
662,800 | Ascendas REIT | $ | 1,543,696 | |||||
197,500 | Ascott Residence Trusta | 200,167 | ||||||
659,100 | DBS Group Holdings, Ltd. | 12,563,027 | ||||||
390,700 | Mapletree Commercial Trust | 668,755 | ||||||
| 31,460 | Mapletree Commercial Trust Rightsa,d | 1,948 | |||||
261,400 | Mapletree Logistics Trust | 322,647 | ||||||
642,600 | Wing Tai Holdings, Ltd. | 958,356 | ||||||
|
| |||||||
Total | 16,258,596 | |||||||
|
| |||||||
Spain (3.0%) | ||||||||
58,627 | ACS Actividades de Construccion y Servicios, SA | 2,378,975 | ||||||
126,220 | Amadeus IT Holding SA | 9,337,536 | ||||||
37,556 | CIA De Distribucion Integral | 787,437 | ||||||
314,195 | Enagas SA | 7,774,630 | ||||||
668,810 | Mediaset Espana Comunicacion SA | 4,092,355 | ||||||
78,486 | Merlin Properties Socimi SA | 1,155,379 | ||||||
|
| |||||||
Total | 25,526,312 | |||||||
|
| |||||||
Sweden (4.5%) | ||||||||
64,872 | AB Industrivarden | 1,405,560 | ||||||
25,372 | Assa Abloy AB | 602,544 | ||||||
351,077 | Atlas Copco AB, Class A | 12,391,799 | ||||||
189,098 | Atlas Copco AB, Class B | 5,867,392 | ||||||
158,589 | Castellum AB | 3,240,869 | ||||||
154,474 | Granges AB | 1,503,700 | ||||||
83,423 | Hexpol AB | 744,314 | ||||||
11,168 | L E Lundbergforetagen AB | 420,920 | ||||||
78,158 | Nobina ABc | 495,091 | ||||||
92,255 | Sandvik AB | 1,629,899 | ||||||
173,085 | Skandinaviska Enskilda Banken AB | 1,660,116 | ||||||
352,976 | SKF AB | 6,391,038 | ||||||
70,993 | Volvo AB | 1,063,885 | ||||||
|
| |||||||
Total | 37,417,127 | |||||||
|
| |||||||
Switzerland (10.0%) | ||||||||
39,742 | Baloise Holding AG | 7,350,420 | ||||||
441 | Geberit AG | 224,068 | ||||||
143,852 | Nestle SA | 15,389,480 | ||||||
236,255 | Novartis AG | 20,642,846 | ||||||
31,773 | Pargesa Holding SA | 2,511,614 | ||||||
57,644 | PSP Swiss Property AG | 7,630,049 | ||||||
73,489 | Roche Holding AG | 22,116,954 | ||||||
3,599 | Swiss Life Holding AG | 1,802,441 | ||||||
34,492 | Swiss Prime Site AG | 3,555,155 | ||||||
4,661 | Zurich Insurance Group AG | 1,825,715 | ||||||
|
| |||||||
Total | 83,048,742 | |||||||
|
| |||||||
United Kingdom (16.5%) | ||||||||
1,230,211 | Auto Trader Group plcc | 8,963,704 | ||||||
309,647 | Barratt Developments plc | 2,532,241 | ||||||
127,484 | Berkeley Group Holdings plc | 7,266,538 | ||||||
22,404 | Compass Group plc | 596,488 | ||||||
73,010 | Countryside Properties plcc | 334,163 | ||||||
428,813 | Direct Line Insurance Group plc | 1,511,892 | ||||||
845,149 | GlaxoSmithKline plc | 19,358,142 | ||||||
457,280 | Halma plc | 11,096,128 | ||||||
2,227,865 | HSBC Holdings plc | 16,831,816 | ||||||
644,760 | Moneysupermarket.com Group plc | 2,868,971 | ||||||
183,898 | National Express Group plc | 1,063,383 | ||||||
55,985 | Northgate plc | 249,833 | ||||||
278,284 | PageGroup plc | 1,603,406 | ||||||
31,987 | Paragon Banking Group plc | 208,513 | ||||||
320,261 | Redrow plc | 2,496,707 |
The accompanying Notes to Financial Statements are an integral part of this schedule. |
20 |
Table of Contents
INTERNATIONAL EQUITY FUND
Schedule of Investments as of October 31, 2019
Shares | Common Stock (99.1%) | Value | ||||||
United Kingdom (16.5%) - continued | ||||||||
508,208 | RELX plc | $ | 12,235,324 | |||||
53,090 | Rightmove plc | 412,096 | ||||||
353,472 | Royal Dutch Shell plc, Class A | 10,246,509 | ||||||
529,127 | Royal Dutch Shell plc, Class B | 15,238,784 | ||||||
24,195 | Spirax-Sarco Engineering plc | 2,482,990 | ||||||
1,228,386 | Taylor Wimpey plc | 2,634,531 | ||||||
278,017 | Unilever plc | 16,647,420 | ||||||
11,737 | WH Smith plc | 332,598 | ||||||
|
| |||||||
Total | 137,212,177 | |||||||
|
| |||||||
Total Common Stock (cost $798,259,477) | 823,470,352 | |||||||
|
| |||||||
Shares | Collateral Held for Securities | |||||||
16,253,882 | Thrivent Cash Management Trust | 16,253,882 | ||||||
|
| |||||||
Total Collateral Held for Securities Loaned (cost $16,253,882) | 16,253,882 | |||||||
|
| |||||||
Total Investments (cost $814,513,359) 101.1% | $ | 839,724,234 | ||||||
|
| |||||||
Other Assets and Liabilities, Net (1.1%) | (8,961,105 | ) | ||||||
|
| |||||||
Total Net Assets 100.0% | $ | 830,763,129 | ||||||
|
|
a | Non-income producing security. |
b | All or a portion of the security is on loan. |
c | Denotes securities sold under Rule 144A of the Securities Act of 1933, which exempts them from registration. These securities may be resold to other dealers in the program or to other qualified institutional buyers. As of October 31, 2019, the value of these investments was $31,211,132 or 3.8% of total net assets. |
d | Security is valued using significant unobservable inputs. Further information on valuation can be found in the Notes to Financial Statements. |
The following table presents the total amount of securities loaned with continuous maturity, by type, offset by the gross payable upon return of collateral for securities loaned by Thrivent Core International Equity Fund as of October 31, 2019:
Securities Lending Transactions
Common Stock | $ | 15,310,312 | ||
|
| |||
Total lending | $ | 15,310,312 | ||
Gross amount payable upon return of collateral for securities loaned | $ | 16,253,882 | ||
|
| |||
Net amounts due to counterparty | $ | 943,570 | ||
|
|
Definitions: | ||
REIT - | Real Estate Investment Trust is a company that buys, develops, manages and/or sells real estate assets. |
Unrealized Appreciation (Depreciation) | ||||
Gross unrealized appreciation and depreciation of investments of the portfolio as a whole (including derivatives), based on cost for federal income tax purposes, were as follows: | ||||
Gross unrealized appreciation | $ | 54,462,324 | ||
Gross unrealized depreciation | (33,553,165 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 20,909,159 | ||
Cost for federal income tax purposes | $ | 818,815,075 |
The accompanying Notes to Financial Statements are an integral part of this schedule. |
21 |
Table of Contents
INTERNATIONAL EQUITY FUND
Schedule of Investments as of October 31, 2019
Fair Valuation Measurements
The following table is a summary of the inputs used, as of October 31, 2019, in valuing International Equity Fund’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Communications Services | 26,772,427 | – | 26,772,427 | – | ||||||||||||
Consumer Discretionary | 78,217,327 | – | 78,217,327 | – | ||||||||||||
Consumer Staples | 84,787,806 | – | 84,787,806 | – | ||||||||||||
Energy | 26,230,529 | – | 26,230,529 | – | ||||||||||||
Financials | 186,901,244 | – | 186,901,244 | – | ||||||||||||
Health Care | 89,225,788 | – | 89,225,788 | – | ||||||||||||
Industrials | 153,143,124 | – | 153,143,124 | – | ||||||||||||
Information Technology | 58,554,469 | – | 58,554,469 | – | ||||||||||||
Materials | 40,671,533 | – | 40,671,533 | – | ||||||||||||
Real Estate | 65,153,075 | – | 65,151,127 | 1,948 | ||||||||||||
Utilities | 13,813,030 | – | 13,813,030 | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Subtotal Investments in Securities | $ | 823,470,352 | $ | – | $ | 823,468,404 | $ | 1,948 | ||||||||
|
|
|
|
|
|
|
|
Other Investments * | Total | |||
Collateral Held for Securities Loaned | 16,253,882 | |||
Affiliated Short-Term Investments | – | |||
|
| |||
Subtotal Other Investments | $ | 16,253,882 | ||
|
| |||
Total Investments at Value | $ | 839,724,234 | ||
|
|
* | Certain investments are measured at fair value using a net asset value per share that is not publicly available (practical expedient). According to disclosure requirements of Accounting Standards Codification (ASC) 820, Fair Value Measurement, securities valued using the practical expedient are not classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. |
There were no significant transfers between Levels during the period ended October 31, 2019. Transfers between Levels are identified as of the end of the period.
Investment in Affiliates
Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Fund’s holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, any affiliated mutual fund, or a company which is under common ownership or control with the Fund. The Fund owns shares of Thrivent Cash Management Trust for the purpose of securities lending and Thrivent Core Short-Term Reserve Fund, a series of Thrivent Core Funds, primarily to serve as a cash sweep vehicle for the Fund. Thrivent Cash Management Trust and Thrivent Core Funds are established solely for investment by Thrivent entities.
A summary of transactions (in thousands; values shown as zero are less than $500) for the fiscal year to date, in International Equity Fund, is as follows:
Fund | Value 10/31/2018 | Gross Purchases | Gross Sales | Value 10/31/2019 | Shares Held at 10/31/2019 | % of Net Assets | ||||||||||||||||||
Affiliated Short-Term Investments | ||||||||||||||||||||||||
Core Short-Term Reserve, 2.110% | $ | 170 | $ | 122,398 | $ | 122,568 | $ | – | – | – | % | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Affiliated Short-Term Investments | 170 | – | – | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
Collateral Held for Securities Loaned | ||||||||||||||||||||||||
Cash Management Trust- Collateral Investment | 28,504 | 269,694 | 281,944 | 16,254 | 16,254 | 2.0 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Collateral Held for Securities Loaned | 28,504 | 16,254 | 2.0 | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
Total Value | $ | 28,674 | $ | 16,254 | ||||||||||||||||||||
|
|
|
|
Fund | Net Realized Gain/(Loss) | Change in Unrealized Appreciation/ (Depreciation) | Distributions of Realized Capital Gains | Income Earned 11/1/2018 -10/31/2019 | ||||||||||||
Affiliated Short-Term Investments | ||||||||||||||||
Core Short-Term Reserve, 2.110% | $ | – | $ | – | $ | – | $ | 54 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Income from Affiliated Investments | $ | 54 | ||||||||||||||
|
| |||||||||||||||
Collateral Held for Securities Loaned | ||||||||||||||||
Cash Management Trust- Collateral Investment | – | – | – | 286 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Affiliated Income from Securities Loaned, Net | $ | 286 | ||||||||||||||
|
| |||||||||||||||
Total | $ | – | $ | – | $ | – | ||||||||||
|
|
|
|
|
|
The accompanying Notes to Financial Statements are an integral part of this schedule.
22
Table of Contents
Schedule of Investments as of October 31, 2019
Shares | Common Stock (99.8%) | Value | ||||||
Communications Services (2.4%) | ||||||||
4,439 | Alphabet, Inc., Class Aa | $ | 5,587,813 | |||||
68,186 | AT&T, Inc. | 2,624,479 | ||||||
276,972 | Verizon Communications, Inc. | 16,748,497 | ||||||
|
| |||||||
Total | 24,960,789 | |||||||
|
| |||||||
Consumer Discretionary (7.1%) | ||||||||
3,084 | AutoZone, Inc.a | 3,529,268 | ||||||
816 | Booking Holdings, Inc.a | 1,671,796 | ||||||
98,319 | Home Depot, Inc. | 23,063,671 | ||||||
100,930 | McDonald’s Corporation | 19,852,931 | ||||||
4,547 | O’Reilly Automotive, Inc.a | 1,980,264 | ||||||
76,983 | Ross Stores, Inc. | 8,442,726 | ||||||
230,397 | TJX Companies, Inc. | 13,282,387 | ||||||
11,258 | Yum! Brands, Inc. | 1,145,051 | ||||||
|
| |||||||
Total | 72,968,094 | |||||||
|
| |||||||
Consumer Staples (17.2%) | ||||||||
49,858 | Altria Group, Inc. | 2,233,140 | ||||||
386,657 | Coca-Cola Company | 21,045,740 | ||||||
275,481 | Colgate-Palmolive Company | 18,897,997 | ||||||
40,498 | Costco Wholesale Corporation | 12,032,361 | ||||||
3,907 | Estee Lauder Companies, Inc. | 727,757 | ||||||
67,643 | Hershey Company | 9,934,727 | ||||||
92,971 | Kimberly-Clark Corporation | 12,353,986 | ||||||
398,396 | Mondelez International, Inc. | 20,895,870 | ||||||
163,610 | PepsiCo, Inc. | 22,442,384 | ||||||
106,936 | Philip Morris International, Inc. | 8,708,868 | ||||||
167,104 | Procter & Gamble Company | 20,806,119 | ||||||
72,925 | Sysco Corporation | 5,824,520 | ||||||
176,830 | Wal-Mart Stores, Inc. | 20,735,086 | ||||||
|
| |||||||
Total | 176,638,555 | |||||||
|
| |||||||
Financials (11.2%) | ||||||||
5,614 | Alleghany Corporationa | 4,369,320 | ||||||
8,730 | Allstate Corporation | 929,047 | ||||||
171,148 | American Financial Group, Inc. | 17,806,238 | ||||||
59,232 | Aon plc | 11,441,253 | ||||||
103,481 | Arthur J. Gallagher & Company | 9,439,537 | ||||||
73,288 | Berkshire Hathaway, Inc.a | 15,579,563 | ||||||
25,362 | Brown & Brown, Inc. | 955,640 | ||||||
48,078 | Cincinnati Financial Corporation | 5,442,910 | ||||||
6,432 | Everest Re Group, Ltd. | 1,653,603 | ||||||
78,366 | Hanover Insurance Group, Inc. | 10,321,586 | ||||||
88,901 | Hartford Financial Services Group, Inc. | 5,074,469 | ||||||
9,240 | Markel Corporationa | 10,820,040 | ||||||
200,917 | Marsh & McLennan Companies, Inc. | 20,819,019 | ||||||
|
| |||||||
Total | 114,652,225 | |||||||
|
| |||||||
Health Care (14.9%) | ||||||||
52,314 | Abbott Laboratories | 4,373,973 | ||||||
39,361 | Anthem, Inc. | 10,591,258 | ||||||
195,097 | Baxter International, Inc. | 14,963,940 | ||||||
13,103 | Becton, Dickinson and Company | 3,354,368 | ||||||
15,437 | Cooper Companies, Inc. | 4,492,167 | ||||||
150,870 | Danaher Corporation | 20,792,903 | ||||||
18,478 | Eli Lilly and Company | 2,105,568 | ||||||
158,099 | Johnson & Johnson | 20,875,392 | ||||||
124,473 | Medtronic plc | 13,555,110 | ||||||
115,906 | Merck & Company, Inc. | 10,044,414 | ||||||
268,846 | Pfizer, Inc. | 10,315,621 | ||||||
6,008 | Stryker Corporation | 1,299,350 | ||||||
36,026 | Thermo Fisher Scientific, Inc. | 10,879,131 | ||||||
80,871 | UnitedHealth Group, Inc. | 20,436,102 |
Shares | Common Stock (99.8%) | Value | ||||||
Health Care (14.9%) - continued | ||||||||
37,167 | Zoetis, Inc. | $ | 4,754,403 | |||||
|
| |||||||
Total | 152,833,700 | |||||||
|
| |||||||
Industrials (11.4%) | ||||||||
132,483 | AMETEK, Inc. | 12,142,067 | ||||||
6,487 | Cintas Corporation | 1,742,862 | ||||||
35,315 | EMCOR Group, Inc. | 3,097,479 | ||||||
53,403 | General Dynamics Corporation | 9,441,650 | ||||||
106,448 | Honeywell International, Inc. | 18,386,763 | ||||||
11,036 | IDEX Corporation | 1,716,429 | ||||||
45,369 | Lockheed Martin Corporation | 17,089,595 | ||||||
32,736 | Republic Services, Inc. | 2,864,727 | ||||||
15,513 | Teledyne Technologies, Inc.a | 5,113,085 | ||||||
94,842 | United Technologies Corporation | 13,617,414 | ||||||
84,621 | Verisk Analytics, Inc. | 12,244,659 | ||||||
92,970 | Waste Connections, Inc. | 8,590,428 | ||||||
98,298 | Waste Management, Inc. | 11,030,019 | ||||||
|
| |||||||
Total | 117,077,177 | |||||||
|
| |||||||
Information Technology (15.6%) | ||||||||
93,402 | Accenture plc | 17,318,599 | ||||||
24,311 | Adobe, Inc.a | 6,756,756 | ||||||
199,566 | Amphenol Corporation | 20,022,457 | ||||||
112,823 | Automatic Data Processing, Inc. | 18,303,275 | ||||||
324,058 | Cisco Systems, Inc. | 15,395,996 | ||||||
124,318 | Cognizant Technology Solutions Corporation | 7,575,939 | ||||||
14,481 | International Business Machines Corporation | 1,936,544 | ||||||
30,921 | Intuit, Inc. | 7,962,157 | ||||||
45,684 | Jack Henry & Associates, Inc. | 6,467,027 | ||||||
50,157 | MasterCard, Inc. | 13,883,959 | ||||||
150,391 | Microsoft Corporation | 21,561,558 | ||||||
7,891 | Motorola Solutions, Inc. | 1,312,431 | ||||||
112,095 | Oracle Corporation | 6,108,057 | ||||||
11,137 | Paychex, Inc. | 931,499 | ||||||
108,923 | Synopsys, Inc.a | 14,786,297 | ||||||
|
| |||||||
Total | 160,322,551 | |||||||
|
| |||||||
Materials (1.4%) | ||||||||
37,829 | Ecolab, Inc. | 7,265,816 | ||||||
13,111 | Sherwin-Williams Company | 7,503,688 | ||||||
|
| |||||||
Total | 14,769,504 | |||||||
|
| |||||||
Real Estate (9.0%) | ||||||||
97,189 | American Tower Corporation | 21,194,977 | ||||||
40,616 | AvalonBay Communities, Inc. | 8,840,479 | ||||||
159,772 | Camden Property Trust | 18,273,124 | ||||||
83,293 | Crown Castle International Corporation | 11,560,235 | ||||||
405,842 | Douglas Emmett, Inc. | 17,581,075 | ||||||
34,372 | Equity Lifestyle Properties, Inc. | 2,403,978 | ||||||
29,027 | Equity Residential | 2,573,534 | ||||||
7,737 | Essex Property Trust, Inc. | 2,531,005 | ||||||
35,512 | Public Storage, Inc. | 7,914,204 | ||||||
|
| |||||||
Total | 92,872,611 | |||||||
|
| |||||||
Utilities (9.6%) | ||||||||
58,319 | ALLETE, Inc. | 5,018,933 | ||||||
40,304 | American Electric Power Company, Inc. | 3,804,295 | ||||||
103,664 | Consolidated Edison, Inc. | 9,559,894 | ||||||
156,655 | DTE Energy Company | 19,945,315 |
The accompanying Notes to Financial Statements are an integral part of this schedule. |
23 |
Table of Contents
LOW VOLATILITY EQUITY FUND
Schedule of Investments as of October 31, 2019
Shares | Common Stock (99.8%) | Value | ||||||
Utilities (9.6%) - continued | ||||||||
218,349 | Duke Energy Corporation | $ | 20,581,577 | |||||
11,150 | IDACORP, Inc. | 1,199,963 | ||||||
100,714 | NextEra Energy, Inc. | 24,004,175 | ||||||
103,846 | Southern Company | 6,506,990 | ||||||
11,925 | Southwest Gas Holdings, Inc. | 1,041,052 | ||||||
118,602 | Xcel Energy, Inc. | 7,532,413 | ||||||
|
| |||||||
Total | 99,194,607 | |||||||
|
| |||||||
Total Common Stock (cost $891,099,193) | 1,026,289,813 | |||||||
|
| |||||||
Shares | Short-Term Investments (0.1%) | Value | ||||||
150,391 | Thrivent Core Short-Term Reserve Fund 2.110% | 1,503,905 | ||||||
|
| |||||||
Total Short-Term Investments (cost $1,503,905) | 1,503,905 | |||||||
|
| |||||||
Total Investments (cost $892,603,098) 99.9% | $ | 1,027,793,718 | ||||||
|
| |||||||
Other Assets and Liabilities, Net 0.1% | 731,636 | |||||||
|
| |||||||
Total Net Assets 100.0% | $ | 1,028,525,354 | ||||||
|
|
a | Non-income producing security. |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments of the portfolio as a whole (including derivatives), based on cost for federal income tax purposes, were as follows: | ||||
Gross unrealized appreciation | $ | 140,869,284 | ||
Gross unrealized depreciation | (6,164,783 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 134,704,501 | ||
Cost for federal income tax purposes | $ | 893,089,217 |
The accompanying Notes to Financial Statements are an integral part of this schedule. |
24 |
Table of Contents
LOW VOLATILITY EQUITY FUND
Schedule of Investments as of October 31, 2019
Fair Valuation Measurements
The following table is a summary of the inputs used, as of October 31, 2019, in valuing Low Volatility Equity Fund’s assets carried at fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Common Stock | ||||||||||||||||
Communications Services | 24,960,789 | 24,960,789 | – | – | ||||||||||||
Consumer Discretionary | 72,968,094 | 72,968,094 | – | – | ||||||||||||
Consumer Staples | 176,638,555 | 176,638,555 | – | – | ||||||||||||
Financials | 114,652,225 | 114,652,225 | – | – | ||||||||||||
Health Care | 152,833,700 | 152,833,700 | – | – | ||||||||||||
Industrials | 117,077,177 | 117,077,177 | – | – | ||||||||||||
Information Technology | 160,322,551 | 160,322,551 | – | – | ||||||||||||
Materials | 14,769,504 | 14,769,504 | – | – | ||||||||||||
Real Estate | 92,872,611 | 92,872,611 | – | – | ||||||||||||
Utilities | 99,194,607 | 99,194,607 | – | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Subtotal Investments in Securities | $ | 1,026,289,813 | $ | 1,026,289,813 | $ | – | $ | – | ||||||||
|
|
|
|
|
|
|
|
Other Investments * | Total | |||
Affiliated Short-Term Investments | 1,503,905 | |||
|
| |||
Subtotal Other Investments | $ | 1,503,905 | ||
|
| |||
Total Investments at Value | $ | 1,027,793,718 | ||
|
|
* | Certain investments are measured at fair value using a net asset value per share that is not publicly available (practical expedient). According to disclosure requirements of Accounting Standards Codification (ASC) 820, Fair value Measurement, securities valued using the practical expedient are not classified in the fair value hierarchy. The fair value amounts presented in this table are intended to permit reconciliation of the fair value hierarchy to the amounts presented in the Statement of Assets and Liabilities. |
There were no significant transfers between Levels during the period ended October 31, 2019. Transfers between Levels are identified as of the end of the period.
Investment in Affiliates
Affiliated issuers, as defined under the Investment Company Act of 1940, include those in which the Fund’s holdings of an issuer represent 5% or more of the outstanding voting securities of an issuer, any affiliated mutual fund, or a company which is under common ownership or control with the Fund. The Fund owns shares of Thrivent Cash Management Trust for the purpose of securities lending and Thrivent Core Short-Term Reserve Fund, a series of Thrivent Core Funds, primarily to serve as a cash sweep vehicle for the Fund. Thrivent Cash Management Trust and Thrivent Core Funds are established solely for investment by Thrivent entities.
A summary of transactions (in thousands; values shown as zero are less than $500) for the fiscal year to date, in Low Volatility Equity Fund, is as follows:
Fund | Value 10/31/2018 | Gross Purchases | Gross Sales | Value 10/31/2019 | Shares Held at 10/31/2019 | % of Net Assets | ||||||||||||||||||
Affiliated Short-Term Investments | ||||||||||||||||||||||||
Core Short-Term Reserve, 2.110% | $ | 830 | $ | 21,637 | $ | 20,963 | $ | 1,504 | 150 | 0.1 | % | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Affiliated Short-Term Investments | 830 | 1,504 | 0.1 | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
Collateral Held for Securities Loaned | ||||||||||||||||||||||||
Cash Management Trust- Collateral Investment | – | 21,318 | 21,318 | – | – | – | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Collateral Held for Securities Loaned | – | – | – | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||
Total Value | $ | 830 | $ | 1,504 | ||||||||||||||||||||
|
|
|
|
Fund | Net Realized Gain/(Loss) | Change in Unrealized Appreciation/ (Depreciation) | Distributions of Realized Capital Gains | Income Earned 11/1/2018 -10/31/2019 | ||||||||||||
Affiliated Short-Term Investments | ||||||||||||||||
Core Short-Term Reserve, 2.110% | $ | – | $ | – | $ | – | $ | 47 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Income from Affiliated Investments | $ | 47 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||
Collateral Held for Securities Loaned | ||||||||||||||||
Cash Management Trust- Collateral Investment | – | – | – | 115 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Affiliated Income from Securities Loaned, Net | $ | 115 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | – | $ | – | $ | – | ||||||||||
|
|
|
|
|
|
|
|
The accompanying Notes to Financial Statements are an integral part of this schedule.
25
Table of Contents
Schedule of Investments as of October 31, 2019
Principal | Asset-Backed Securities (8.8%)a | Value | ||||||
Americredit Automobile Receivables Trust | ||||||||
$3,533,629 | 2.524%, 6/18/2020,Ser. 2019-2 | $ | 3,534,215 | |||||
8,330,386 | 2.179%, 9/18/2020,Ser. 2019-3 | 8,332,196 | ||||||
ARI Fleet Lease Trust | ||||||||
16,448,491 | 2.449%, 6/15/2020,Ser. 2019-Ab | 16,465,701 | ||||||
Ascentium Equipment Receivables, LLC | ||||||||
3,740,599 | 2.660%, 4/10/2020,Ser. 2019-1Ab | 3,743,016 | ||||||
7,500,000 | 2.150%, 11/10/2020,Ser. 2019-2Ab | 7,500,323 | ||||||
Axis Equipment Finance Receivables Trust | ||||||||
11,717,086 | 2.450%, 7/20/2020,Ser. 2019-1Ab | 11,716,687 | ||||||
Bank of The West Auto Trust | ||||||||
2,482,611 | 2.481%, 7/15/2020,Ser. 2019-1b | 2,483,392 | ||||||
BMW Vehicle Owner Trust | ||||||||
12,942,433 | 2.111%, 9/25/2020,Ser. 2019-A | 12,946,164 | ||||||
Capital One Prime Auto Receivables Trust | ||||||||
3,550,682 | 2.507%, 6/15/2020,Ser. 2019-1 | 3,550,503 | ||||||
13,719,093 | 2.132%, 9/15/2020,Ser. 2019-2 | 13,716,953 | ||||||
Carmax Auto Owner Trust | ||||||||
35,250,000 | 1.968%, 11/16/2020,Ser. 2019-4 | 35,253,144 | ||||||
Carvana Auto Receivables Trust | ||||||||
6,732,580 | 2.476%, 7/15/2020,Ser. 2019-2Ab | 6,734,560 | ||||||
20,000,000 | 2.214%, 10/15/2020,Ser. 2019-3Ab | 20,005,610 | ||||||
CCG Receivables Trust | ||||||||
1,346,093 | 2.628%, 4/14/2020,Ser. 2019-1b | 1,346,232 | ||||||
CNH Equipment Trust | ||||||||
6,459,978 | 2.566%, 6/12/2020,Ser. 2019-B | 6,468,084 | ||||||
9,500,000 | 1.995%, 11/16/2020,Ser. 2019-C | 9,502,835 | ||||||
Dell Equipment Finance Trust | ||||||||
2,846,632 | 2.648%, 4/22/2020,Ser. 2019-1b | 2,849,097 | ||||||
29,000,000 | 2.012%, 10/22/2020,Ser. 2019-2b | 29,011,278 | ||||||
DLL Securitization Trust | ||||||||
657,996 | 2.657%, 4/20/2020,Ser. 2019-DA1b | 658,224 | ||||||
8,111,484 | 2.303%, 7/20/2020,Ser. 2019-MA2b | 8,115,951 | ||||||
26,500,000 | 2.062%, 10/20/2020,Ser. 2019-MT3b | 26,505,676 | ||||||
Drive Auto Receivables Trust | ||||||||
16,452,394 | 2.195%, 9/15/2020,Ser. 2019-4 | 16,453,954 |
Principal | Asset-Backed Securities (8.8%)a | Value | ||||||
Enterprise Fleet Financing, LLC | ||||||||
$40,000,000 | 1.973%, 11/20/2020,Ser. 2019-3b | $ | 40,000,000 | |||||
Fifth Third Auto Trust | ||||||||
468,979 | 2.576%, 5/15/2020,Ser. 2019-1 | 469,090 | ||||||
Ford Credit Auto Lease Trust | ||||||||
90,565 | 2.664%, 3/15/2020,Ser. 2019-A | 90,578 | ||||||
Ford Credit Auto Owner Trust | ||||||||
2,591,426 | 2.387%, 7/15/2020,Ser. 2019-B | 2,591,590 | ||||||
GM Financial Automobile Leasing Trust | ||||||||
1,293,632 | 2.597%, 5/20/2020,Ser. 2019-2 | 1,294,081 | ||||||
13,164,171 | 2.200%, 8/20/2020,Ser. 2019-3 | 13,170,273 | ||||||
14,500,000 | 1.990%, 10/16/2020,Ser. 2019-4 | 14,501,602 | ||||||
Great American Auto Leasing, Inc. | ||||||||
1,039,536 | 2.764%, 2/18/2020,Ser. 2019-1b | 1,039,514 | ||||||
Harley-Davidson Motorcycle Trust | ||||||||
3,439,298 | 2.386%, 7/15/2020,Ser. 2019-A | 3,440,451 | ||||||
Hewlett-Packard Financial Services Company Equipment Trust | ||||||||
11,500,000 | 2.150%, 10/20/2020,Ser. 2019-1Ab | 11,506,417 | ||||||
Hyundai Auto Lease Securitization Trust | ||||||||
10,200,283 | 2.180%, 8/17/2020,Ser. 2019-Bb | 10,205,116 | ||||||
Hyundai Auto Receivables Trust | ||||||||
1,257,075 | 2.605%, 4/15/2020,Ser. 2019-A | 1,257,066 | ||||||
19,000,000 | 1.907%, 10/15/2020,Ser. 2019-Bc | 19,000,000 | ||||||
Kubota Credit Owner Trust | ||||||||
8,886,906 | 2.510%, 6/15/2020,Ser. 2019-1Ab | 8,889,392 | ||||||
MMAF Equipment Finance, LLC2019-B | ||||||||
7,581,693 | 2.125%, 10/9/2020,Ser. 2019-Bb | 7,586,284 | ||||||
Nissan Auto Lease Trust | ||||||||
1,016,421 | 2.599%, 4/15/2020,Ser. 2019-A | 1,016,669 | ||||||
OSCAR US Funding Trust | ||||||||
5,648,100 | 2.369%, 8/10/2020,Ser. 2019-2Ab | 5,649,703 | ||||||
Prestige Auto Receivables Trust | ||||||||
3,473,211 | 2.371%, 7/15/2020,Ser. 2019-1Ab | 3,474,179 | ||||||
Santander Drive Auto Receivables Trust | ||||||||
8,814,276 | 2.208%, 8/17/2020,Ser. 2019-3 | 8,816,080 | ||||||
Santander Retail Auto Lease Trust | ||||||||
13,750,000 | 1.981%, 10/20/2020,Ser. 2019-Cb | 13,750,425 |
The accompanying Notes to Financial Statements are an integral part of this schedule. |
26 |
Table of Contents
SHORT-TERM RESERVE FUND
Schedule of Investments as of October 31, 2019
Principal | Asset-Backed Securities (8.8%)a | Value | ||||||
Transportation Finance Equipment Trust | ||||||||
$20,000,000 | 2.003%, 10/23/2020,Ser. 2019-1b | $ | 20,006,006 | |||||
Volkswagen Auto Lease Trust | ||||||||
24,350,000 | 2.128%, 10/20/2020,Ser. 2019-A | 24,360,919 | ||||||
Volvo Financial Equipment, LLC | ||||||||
2,418,151 | 2.745%, 2/18/2020,Ser. 2019-1Ab | 2,418,858 | ||||||
Westlake Automobile Receivables Trust | ||||||||
15,315,790 | 2.526%, 6/15/2020,Ser. 2019-2Ab | 15,321,295 | ||||||
18,000,000 | 2.022%, 11/16/2020,Ser. 2019-3Ab | 18,002,048 | ||||||
World Omni Auto Receivables Trust | ||||||||
1,996,571 | 2.543%, 5/15/2020,Ser. 2019-B | 1,996,537 | ||||||
World Omni Automobile Lease Securitization Trust | ||||||||
5,431,793 | 2.151%, 8/17/2020,Ser. 2019-B | 5,432,787 | ||||||
World Omni Select Auto Trust | ||||||||
15,000,000 | 2.121%, 10/15/2020,Ser. 2019-A | 15,002,829 | ||||||
|
| |||||||
Total | 517,183,584 | |||||||
|
|
Principal | Basic Materials (1.3%)a | Value | ||||||
Dow Chemical Company | ||||||||
10,000,000 | 2.120%, 11/6/2019 | 9,996,587 | ||||||
Dowdupont, Inc. | ||||||||
5,000,000 | 2.080%, 12/6/2019b | 4,990,020 | ||||||
5,000,000 | 2.120%, 12/9/2019b | 4,989,199 | ||||||
5,000,000 | 2.020%, 12/10/2019b | 4,988,928 | ||||||
8,520,000 | 2.140%, 12/11/2019b | 8,500,661 | ||||||
DuPont de Nemours & Company | ||||||||
5,000,000 | 2.320%, 11/1/2019b | 4,999,722 | ||||||
EI du Pont de Nemours & Company | ||||||||
13,210,000 | 2.180%, 12/5/2019b | 13,184,352 | ||||||
International Paper Company | ||||||||
10,000,000 | 2.110%, 11/5/2019b | 9,997,160 | ||||||
LyondellBasell Industries NV | ||||||||
4,000,000 | 2.040%, 12/11/2019b,d | 3,990,247 | ||||||
Nutrien, Ltd. | ||||||||
5,000,000 | 2.150%, 11/18/2019b | 4,994,812 | ||||||
5,969,000 | 2.060%, 11/22/2019b | 5,961,595 | ||||||
|
| |||||||
Total | 76,593,283 | |||||||
|
|
Principal | Capital Goods (4.3%)a | Value | ||||||
Boeing Company | ||||||||
15,000,000 | 2.220%, 11/13/2019b | 14,991,252 | ||||||
15,600,000 | 2.150%, 11/20/2019b | 15,585,960 | ||||||
23,000,000 | 2.100%, 12/4/2019b | 22,964,267 | ||||||
24,250,000 | 2.382%, 12/11/2019b | 24,203,325 | ||||||
20,000,000 | 2.294%, 1/8/2020b | 19,929,888 | ||||||
40,000,000 | 2.146%, 2/19/2020b | 39,770,723 | ||||||
15,000,000 | 2.170%, 2/26/2020b | 14,908,452 | ||||||
15,000,000 | 2.200%, 3/4/2020b | 14,902,865 |
Principal | Capital Goods (4.3%)a | Value | ||||||
General Dynamics Corporation | ||||||||
$4,882,000 | 2.471% (LIBOR 3M + 0.290%), 5/11/2020e | $ | 4,889,150 | |||||
John Deere Canada, ULC | ||||||||
5,000,000 | 1.860%, 1/16/2020b,d | 4,981,606 | ||||||
John Deere Capital Corporation | ||||||||
24,410,000 | 2.427% (LIBOR 3M + 0.300%), 3/13/2020e | 24,441,732 | ||||||
25,000,000 | 2.449% (LIBOR 3M + 0.290%), 6/22/2020e | 25,044,502 | ||||||
25,000,000 | 2.430% (LIBOR 3M + 0.420%), 7/10/2020e | 25,059,405 | ||||||
|
| |||||||
Total | 251,673,127 | |||||||
|
|
Principal | Communications Services (1.3%)a | Value | ||||||
AT&T, Inc. | ||||||||
18,234,000 | 2.651% (LIBOR 3M + 0.650%), 1/15/2020e | 18,258,671 | ||||||
Deutsche Telekom International Finance BV | ||||||||
8,200,000 | 2.225%, 1/17/2020b | 8,199,994 | ||||||
Omnicom Cap, Inc. | ||||||||
5,000,000 | 2.040%, 11/4/2019b,d | 4,998,865 | ||||||
15,000,000 | 2.020%, 11/13/2019b,d | 14,988,815 | ||||||
Rogers Communications, Inc. | ||||||||
25,000,000 | 2.064%, 11/15/2019b,d | 24,978,437 | ||||||
TWDC Enterprises 18 Corporation | ||||||||
5,000,000 | 2.317% (LIBOR 3M + 0.190%), 6/5/2020e | 5,004,984 | ||||||
|
| |||||||
Total | 76,429,766 | |||||||
|
| |||||||
Principal | Consumer Cyclical (8.7%)a | Value | ||||||
American Honda Finance Corporation | ||||||||
7,200,000 | 2.010%, 1/13/2020d | 7,174,559 | ||||||
23,500,000 | 2.515% (LIBOR 3M + 0.340%), 2/14/2020e | 23,525,624 | ||||||
15,000,000 | 2.302% (LIBOR 3M + 0.150%), 2/21/2020e | 15,006,585 | ||||||
4,500,000 | 2.266% (LIBOR 3M + 0.090%), 5/13/2020e | 4,501,709 | ||||||
25,000,000 | 2.330% (LIBOR 3M + 0.180%), 5/22/2020e | 25,017,683 | ||||||
21,773,000 | 2.379% (LIBOR 3M + 0.260%), 6/16/2020e | 21,802,864 | ||||||
20,974,000 | 2.236% (LIBOR 3M + 0.270%), 7/20/2020e | 21,003,023 | ||||||
BMW US Capital, LLC | ||||||||
4,405,000 | 2.423% (LIBOR 3M + 0.380%), 4/6/2020b,e | 4,410,305 | ||||||
12,155,000 | 2.545% (LIBOR 3M + 0.370%), 8/14/2020b,e | 12,174,912 | ||||||
Charta, LLC | ||||||||
20,000,000 | 2.120%, 11/12/2019b,d | 19,988,706 | ||||||
Daimler Finance North America, LLC | ||||||||
20,000,000 | 2.150%, 11/12/2019b,d | 19,986,247 | ||||||
10,000,000 | 2.080%, 12/2/2019b,d | 9,981,956 | ||||||
15,000,000 | 2.070%, 12/13/2019b,d | 14,963,629 | ||||||
15,000,000 | 2.070%, 12/31/2019b,d | 14,946,854 | ||||||
15,000,000 | 2.090%, 1/13/2020b,d | 14,935,127 | ||||||
5,000,000 | 1.900%, 1/24/2020b,d | 4,975,031 |
The accompanying Notes to Financial Statements are an integral part of this schedule. |
27 |
Table of Contents
SHORT-TERM RESERVE FUND
Schedule of Investments as of October 31, 2019
Principal | Consumer Cyclical (8.7%)a | Value | ||||||
ERAC USA Finance, LLC | ||||||||
$20,000,000 | 2.100%, 11/19/2019b,d | $ | 19,978,435 | |||||
25,000,000 | 2.150%, 1/8/2020b,d | 24,899,423 | ||||||
Nissan Motor Acceptance Corporation | ||||||||
5,000,000 | 2.220%, 11/12/2019b,d | 4,997,313 | ||||||
15,000,000 | 2.240%, 11/19/2019b,d | 14,987,112 | ||||||
15,000,000 | 2.230%, 11/21/2019b,d | 14,985,720 | ||||||
10,000,000 | 2.210%, 12/4/2019b,d | 9,983,689 | ||||||
7,500,000 | 2.220%, 12/18/2019b,d | 7,481,900 | ||||||
Toyota Credit Canada, Inc. | ||||||||
25,000,000 | 1.986% (LIBOR 3M + 0.050%), 1/24/2020d,e | 25,001,091 | ||||||
Toyota Financial Services de Puerto Rico, Inc. | ||||||||
25,000,000 | 2.080%, 3/12/2020 | 24,828,485 | ||||||
Toyota Motor Credit Corporation | ||||||||
33,000,000 | 2.315% (LIBOR 3M + 0.140%), 11/14/2019e | 33,003,736 | ||||||
25,000,000 | 2.183% (LIBOR 3M + 0.050%), 2/25/2020d,e | 25,003,857 | ||||||
9,175,000 | 1.970%, 4/14/2020 | 9,097,155 | ||||||
13,982,000 | 2.262% (LIBOR 3M + 0.260%), 4/17/2020e | 13,996,809 | ||||||
25,000,000 | 2.222% (LIBOR 3M + 0.090%), 9/14/2020e | 25,002,050 | ||||||
Walmart, Inc. | ||||||||
25,000,000 | 2.199% (LIBOR 3M + 0.040%), 6/23/2020e | 25,004,488 | ||||||
|
| |||||||
Total | 512,646,077 | |||||||
|
| |||||||
Principal | ConsumerNon-Cyclical (5.8%)a | Value | ||||||
Coca-Cola Company | ||||||||
9,800,000 | 2.000%, 1/17/2020b | 9,763,096 | ||||||
8,400,000 | 2.000%, 1/31/2020b | 8,362,412 | ||||||
Diageo Capital plc | ||||||||
10,000,000 | 2.050%, 11/12/2019b,d | 9,993,163 | ||||||
25,000,000 | 2.030%, 11/13/2019b,d | 24,981,430 | ||||||
Merck & Company, Inc. | ||||||||
42,495,000 | 2.556% (LIBOR 3M + 0.375%), 2/10/2020e | 42,532,540 | ||||||
Mondelez International, Inc. | ||||||||
15,000,000 | 2.070%, 11/1/2019b | 14,999,217 | ||||||
12,200,000 | 2.070%, 11/20/2019b | 12,186,194 | ||||||
Nestle Finance International, Ltd. | ||||||||
15,000,000 | 1.980%, 12/10/2019d | 14,973,383 | ||||||
15,000,000 | 1.960%, 1/8/2020d | 14,951,729 | ||||||
Pfizer, Inc. | ||||||||
25,000,000 | 2.200%, 11/20/2019b | 24,977,778 | ||||||
25,000,000 | 2.010%, 1/13/2020b | 24,913,101 | ||||||
10,000,000 | 2.000%, 2/13/2020b | 9,948,492 | ||||||
Philip Morris International, Inc. | ||||||||
5,005,000 | 1.875%, 11/1/2019 | 5,005,000 | ||||||
6,420,000 | 2.000%, 2/21/2020 | 6,421,325 | ||||||
9,000,000 | 2.572% (LIBOR 3M + 0.420%), 2/21/2020e | 9,011,684 | ||||||
Procter and Gamble Company | ||||||||
25,000,000 | 2.523%, 11/1/2019 | 25,000,000 | ||||||
Reckitt Benckiser Treasury Services plc | ||||||||
3,750,000 | 2.380%, 11/5/2019b,d | 3,749,117 | ||||||
15,000,000 | 2.220%, 11/19/2019b,d | 14,986,320 | ||||||
20,000,000 | 2.130%, 12/31/2019b,d | 19,937,272 | ||||||
2,000,000 | 2.000%, 1/6/2020b,d | 1,993,088 |
Principal | ConsumerNon-Cyclical (5.8%)a | Value | ||||||
$2,000,000 | 2.020%, 1/16/2020b,d | $ | 1,992,013 | |||||
Tyson Foods, Inc. | ||||||||
25,000,000 | 2.090%, 11/4/2019b | 24,994,286 | ||||||
5,000,000 | 2.080%, 11/7/2019b | 4,997,978 | ||||||
UnitedHealth Group, Inc. | ||||||||
10,000,000 | 2.060%, 11/13/2019b | 9,993,796 | ||||||
|
| |||||||
Total | 340,664,414 | |||||||
|
| |||||||
Principal | Energy (3.9%)a | Value | ||||||
BP Capital Markets plc | ||||||||
25,000,000 | 2.050%, 1/6/2020b,d | 24,919,786 | ||||||
Chevron Corporation | ||||||||
5,000,000 | 2.000%, 11/8/2019b | 4,998,253 | ||||||
5,000,000 | 2.568% (LIBOR 3M + 0.410%), 11/15/2019e | 5,001,060 | ||||||
25,000,000 | 1.980%, 11/20/2019b | 24,977,917 | ||||||
Exxon Mobil Corporation | ||||||||
25,000,000 | 2.010%, 11/8/2019 | 24,991,300 | ||||||
Schlumberger Holdings Corporation | ||||||||
25,000,000 | 2.070%, 12/20/2019b,d | 24,941,319 | ||||||
Shell International Finance BV | ||||||||
25,000,000 | 2.631% (LIBOR 3M + 0.450%), 5/11/2020e | 25,056,033 | ||||||
Suncor Energy, Inc. | ||||||||
20,000,000 | 2.230%, 11/15/2019b,d | 19,982,750 | ||||||
10,000,000 | 2.200%, 12/2/2019b,d | 9,981,956 | ||||||
10,000,000 | 2.150%, 1/22/2020b,d | 9,951,284 | ||||||
6,000,000 | 2.100%, 1/24/2020b,d | 5,970,038 | ||||||
Total Capital Canada, Ltd. | ||||||||
24,500,000 | 2.200%, 11/21/2019b,d | 24,476,962 | ||||||
15,000,000 | 2.010%, 12/2/2019b,d | 14,978,173 | ||||||
10,000,000 | 1.960%, 1/7/2020b,d | 9,967,171 | ||||||
|
| |||||||
Total | 230,194,002 | |||||||
|
| |||||||
Principal | Financials (43.5%)a | Value | ||||||
AIG Global Funding | ||||||||
16,225,000 | 2.565% (LIBOR 3M + 0.480%), 7/2/2020b,e | 16,274,940 | ||||||
ANZ New Zealand International, Ltd. | ||||||||
15,000,000 | 2.011% (LIBOR 1M + 0.120%), 1/16/2020b,d,e | 15,002,771 | ||||||
10,000,000 | 2.107% (LIBOR 3M + 0.080%), 7/7/2020b,d,e | 9,999,971 | ||||||
Atlantic Asset Securitization, LLC. | ||||||||
8,289,000 | 2.160%, 11/13/2019b,d | 8,283,807 | ||||||
Australia and New Zealand Banking Group, Ltd. | ||||||||
8,795,000 | 2.414% (LIBOR 3M + 0.250%), 12/19/2019b,e | 8,802,374 | ||||||
15,000,000 | 1.976% (LIBOR 1M + 0.130%), 2/20/2020b,e | 15,001,938 | ||||||
10,000,000 | 2.154% (LIBOR 3M + 0.050%), 3/31/2020e | 9,999,972 | ||||||
25,000,000 | 2.147% (LIBOR 1M + 0.220%), 4/9/2020b,e | 25,004,310 | ||||||
9,850,000 | 2.405% (LIBOR 3M + 0.320%), 7/2/2020b,e | 9,865,861 | ||||||
22,300,000 | 2.624% (LIBOR 3M + 0.500%), 8/19/2020b,e | 22,367,384 | ||||||
9,850,000 | 2.505% (LIBOR 3M + 0.320%), 11/9/2020b,e | 9,867,194 |
The accompanying Notes to Financial Statements are an integral part of this schedule. |
28 |
Table of Contents
SHORT-TERM RESERVE FUND
Schedule of Investments as of October 31, 2019
Principal | Financials (43.5%)a | Value | ||||||
Bank of America NA | ||||||||
$15,000,000 | 1.952% (LIBOR 1M + 0.130%), 2/24/2020e | $ | 14,999,998 | |||||
25,000,000 | 2.200% (LIBOR 1M + 0.130%), 10/6/2020e | 24,999,757 | ||||||
Bank of Montreal | ||||||||
27,754,000 | 2.559% (LIBOR 3M + 0.440%), 6/15/2020e | 27,818,667 | ||||||
Bank of Montreal Chicago | ||||||||
15,000,000 | 2.191% (LIBOR 1M + 0.180%), 4/3/2020e | 14,999,628 | ||||||
15,000,000 | 2.082% (LIBOR 3M + 0.070%), 4/9/2020e | 15,002,542 | ||||||
10,000,000 | 2.190% (FEDL 1M + 0.370%), 9/8/2020e | 9,999,956 | ||||||
Bank of New York Mellon Corporation | ||||||||
7,845,000 | 2.994% (LIBOR 3M + 0.870%), 8/17/2020e | 7,892,150 | ||||||
Bank of Nova Scotia | ||||||||
10,000,000 | 2.220% (FEDL 1M + 0.400%), 9/16/2020e | 9,999,960 | ||||||
Bank of Nova Scotia Houston | ||||||||
15,000,000 | 2.016% (LIBOR 3M + 0.080%), 1/24/2020e | 15,002,650 | ||||||
10,000,000 | 2.328% (LIBOR 3M + 0.190%), 3/11/2020e | 10,005,931 | ||||||
Barclays Bank plc | ||||||||
15,000,000 | 2.170%, 11/29/2019b,d | 14,980,087 | ||||||
Barton Capital SA | ||||||||
10,000,000 | 2.130%, 11/26/2019b,d | 9,988,444 | ||||||
Berkshire Hathaway Finance Corporation | ||||||||
14,000,000 | 2.330% (LIBOR 3M + 0.320%), 1/10/2020e | 14,009,799 | ||||||
Branch Banking and Trust Company | ||||||||
13,494,000 | 2.451% (LIBOR 3M + 0.450%), 1/15/2020e | 13,500,376 | ||||||
CAFCO, LLC | ||||||||
2,803,000 | 2.110%, 11/6/2019b,d | 2,802,201 | ||||||
10,000,000 | 2.110%, 11/8/2019b,d | 9,996,202 | ||||||
16,400,000 | 2.140%, 11/12/2019b,d | 16,390,685 | ||||||
Chariot Funding, LLC | ||||||||
10,000,000 | 2.070%, 1/6/2020b | 9,966,519 | ||||||
5,000,000 | 2.050%, 1/10/2020b | 4,982,161 | ||||||
10,000,000 | 2.050%, 1/15/2020b | 9,961,514 | ||||||
15,000,000 | 1.990%, 1/16/2020b | 14,941,448 | ||||||
16,000,000 | 1.990%, 1/21/2020b | 15,932,979 | ||||||
20,000,000 | 2.080%, 1/24/2020b | 19,912,781 | ||||||
15,000,000 | 2.180% (LIBOR 1M + 0.190%), 2/5/2020b,e | 15,005,290 | ||||||
Ciesco, LLC | ||||||||
10,000,000 | 2.040%, 3/18/2020b,d | 9,927,797 | ||||||
11,200,000 | 1.800%, 4/8/2020b,d | 11,106,766 | ||||||
Citibank NA | ||||||||
34,000,000 | 2.573% (LIBOR 3M + 0.320%), 5/1/2020e | 34,041,662 | ||||||
25,059,000 | 2.632% (LIBOR 3M + 0.500%), 6/12/2020e | 25,131,045 | ||||||
Citigroup Global Markets, Inc. | ||||||||
15,000,000 | 2.310%, 1/7/2020b | 14,950,898 | ||||||
Citigroup, Inc. | ||||||||
10,382,000 | 2.450%, 1/10/2020 | 10,387,295 | ||||||
14,537,000 | 2.800% (LIBOR 3M + 0.790%), 1/10/2020e | 14,549,284 |
Principal | Financials (43.5%)a | Value | ||||||
Commonwealth Bank of Australia | ||||||||
$32,650,000 | 2.584% (LIBOR 3M + 0.450%), 3/10/2020b,e | $ | 32,700,446 | |||||
Cooperatieve Rabobank UA | ||||||||
15,000,000 | 2.142% (LIBOR 3M + 0.140%), 1/17/2020b,e | 15,003,933 | ||||||
Credit Suisse AG/New York NY | ||||||||
6,541,000 | 2.670%, 12/23/2019 | 6,548,207 | ||||||
Dealers Capital Access Trust, LLC | ||||||||
10,000,000 | 1.850%, 11/12/2019 | 9,994,527 | ||||||
2,963,000 | 1.900%, 11/14/2019 | 2,961,101 | ||||||
25,000,000 | 2.070%, 11/18/2019 | 24,979,300 | ||||||
8,000,000 | 2.050%, 12/16/2019 | 7,982,285 | ||||||
15,000,000 | 1.970%, 1/14/2020 | 14,943,906 | ||||||
5,000,000 | 1.920%, 1/23/2020 | 4,978,953 | ||||||
Fairway Finance Company, LLC | ||||||||
18,600,000 | 1.940%, 3/16/2020b,d | 18,467,635 | ||||||
Goldman Sachs Group, Inc. | ||||||||
23,424,000 | 2.927% (LIBOR 3M + 0.800%), 12/13/2019e | 23,446,212 | ||||||
ING Bank NV | ||||||||
15,338,000 | 2.450%, 3/16/2020b | 15,367,521 | ||||||
10,450,000 | 3.094% (LIBOR 3M + 0.970%), 8/17/2020b,e | 10,518,756 | ||||||
ING Funding, LLC | ||||||||
20,000,000 | 2.276% (LIBOR 3M + 0.170%), 9/23/2020b,d,e | 20,000,027 | ||||||
JP Morgan Securities, LLC | ||||||||
25,000,000 | 1.990% (LIBOR 1M + 0.140%), 11/22/2019e | 25,002,432 | ||||||
Jupiter Securitization Company, LLC | ||||||||
15,000,000 | 2.150%, 11/15/2019b,d | 14,988,937 | ||||||
La Fayette Asset Securitization, LLC | ||||||||
10,464,000 | 2.200%, 11/5/2019b,d | 10,461,428 | ||||||
Liberty Street Funding, LLC | ||||||||
15,000,000 | 2.230%, 12/2/2019b,d | 14,975,973 | ||||||
10,000,000 | 2.070%, 1/6/2020b,d | 9,966,072 | ||||||
15,000,000 | 2.060%, 1/14/2020b,d | 14,943,281 | ||||||
15,000,000 | 2.080%, 1/24/2020b,d | 14,936,073 | ||||||
Lloyds Bank plc | ||||||||
15,000,000 | 2.123% (LIBOR 1M + 0.300%), 4/20/2020e | 15,000,061 | ||||||
LMA Americas, LLC | ||||||||
8,925,000 | 2.010%, 11/7/2019b,d | 8,922,084 | ||||||
4,235,000 | 2.170%, 11/8/2019b,d | 4,233,414 | ||||||
Macquarie Bank, Ltd. | ||||||||
10,000,000 | 2.100%, 12/12/2019b | 9,979,700 | ||||||
25,000,000 | 2.140%, 12/19/2019b | 24,940,723 | ||||||
25,000,000 | 2.140%, 12/27/2019b | 24,931,679 | ||||||
MetLife Short Term Funding, LLC | ||||||||
31,150,000 | 2.050%, 11/15/2019b,d | 31,127,286 | ||||||
20,000,000 | 2.050%, 11/27/2019b,d | 19,974,785 | ||||||
25,000,000 | 2.000%, 1/16/2020b,d | 24,907,653 | ||||||
7,500,000 | 2.000%, 1/21/2020b,d | 7,470,600 | ||||||
25,000,000 | 2.010%, 1/31/2020b,d | 24,890,558 | ||||||
10,200,000 | 2.000%, 2/24/2020b,d | 10,142,385 | ||||||
Metropolitan Life Global Funding I | ||||||||
25,865,000 | 2.532% (LIBOR 3M + 0.400%), 6/12/2020b,e | 25,917,725 | ||||||
Mitsubishi UFJ Trust & Banking Corporation | ||||||||
15,000,000 | 2.260%, 11/22/2019 | 15,003,332 |
The accompanying Notes to Financial Statements are an integral part of this schedule. |
29 |
Table of Contents
SHORT-TERM RESERVE FUND
Schedule of Investments as of October 31, 2019
Principal | Financials (43.5%)a | Value | ||||||
Mitsubishi UFJ Trust and Banking Corporation | ||||||||
$25,000,000 | 1.940%, 1/29/2020 | $ | 25,000,609 | |||||
10,000,000 | 1.940%, 2/25/2020 | 10,000,303 | ||||||
Mizuho Bank Ltd | ||||||||
15,000,000 | 2.331% (LIBOR 3M + 0.330%), 4/15/2020e | 15,016,047 | ||||||
Mizuho Bank, Ltd. | ||||||||
20,000,000 | 2.010%, 2/7/2020 | 20,002,926 | ||||||
National Australia Bank, Ltd. | ||||||||
10,000,000 | 2.222% (LIBOR 1M + 0.190%), 5/1/2020b,e | 9,999,273 | ||||||
23,857,000 | 2.660% (LIBOR 3M + 0.510%), 5/22/2020b,e | 23,922,130 | ||||||
National Bank of Canada | ||||||||
7,180,000 | 2.692% (LIBOR 3M + 0.560%), 6/12/2020e | 7,199,099 | ||||||
7,090,000 | 2.596% (LIBOR 3M + 0.330%), 11/2/2020e | 7,105,879 | ||||||
Natixis NY | ||||||||
10,000,000 | 3.170%, 12/12/2019 | 10,015,714 | ||||||
6,330,000 | 2.750%, 12/19/2019 | 6,338,164 | ||||||
Nederlandse Waterschapsbank NV | ||||||||
32,000,000 | 2.178%, 11/27/2019b | 31,960,544 | ||||||
10,000,000 | 2.091% (LIBOR 1M + 0.080%), 12/3/2019b,e | 10,000,487 | ||||||
15,000,000 | 2.030%, 12/4/2019b | 14,976,441 | ||||||
35,000,000 | 2.014%, 12/27/2019b | 34,902,688 | ||||||
25,000,000 | 1.890%, 2/24/2020b | 24,855,725 | ||||||
10,000,000 | 2.000%, 3/9/2020b | 9,935,000 | ||||||
New York Life Global Funding | ||||||||
32,005,000 | 2.066% (LIBOR 3M + 0.100%), 1/21/2020b,e | 32,014,564 | ||||||
5,500,000 | 2.282% (LIBOR 3M + 0.270%), 4/9/2020b,e | 5,506,287 | ||||||
15,580,000 | 2.259% (LIBOR 3M + 0.160%), 10/1/2020b,e | 15,598,343 | ||||||
Nieuw Amsterdam Receivables Corporation | ||||||||
5,935,000 | 1.850%, 11/8/2019b,d | 5,932,666 | ||||||
6,000,000 | 2.050%, 2/10/2020b,d | 5,969,366 | ||||||
Nordea Bank Abp | ||||||||
12,448,000 | 2.587% (LIBOR 3M + 0.470%), 5/29/2020b,e | 12,477,950 | ||||||
Old Line Funding, LLC | ||||||||
15,000,000 | 2.100%, 11/13/2019b,d | 14,990,857 | ||||||
25,000,000 | 2.070%, 1/27/2020b,d | 24,891,345 | ||||||
15,000,000 | 2.070% (FEDL 1M + 0.250%), 1/28/2020b,d,e | 14,999,994 | ||||||
25,000,000 | 2.010%, 3/13/2020b,d | 24,832,500 | ||||||
6,350,000 | 1.910%, 4/20/2020b,d | 6,296,937 | ||||||
PNC Bank NA | ||||||||
25,000,000 | 2.484% (LIBOR 3M + 0.360%), 5/19/2020e | 25,044,124 | ||||||
Pricoa Short Term Funding, LLC | ||||||||
25,000,000 | 2.000%, 1/30/2020b | 24,886,250 | ||||||
15,000,000 | 2.050%, 2/12/2020b | 14,921,783 | ||||||
10,000,000 | 1.970%, 3/4/2020b | 9,937,153 | ||||||
15,000,000 | 1.850%, 3/30/2020b | 14,886,310 | ||||||
5,500,000 | 1.850%, 4/20/2020b | 5,453,988 | ||||||
Royal Bank of Canada | ||||||||
5,000,000 | 2.141% (LIBOR 3M + 0.140%), 1/16/2020b,e | 5,001,292 |
Principal | Financials (43.5%)a | Value | ||||||
$10,000,000 | 2.518% (LIBOR 3M + 0.380%), 3/2/2020e | $ | 10,009,811 | |||||
15,000,000 | 2.120% (FEDL 1M + 0.300%), 3/16/2020b,e | 15,001,639 | ||||||
15,000,000 | 2.101% (LIBOR 1M + 0.180%), 4/14/2020b,e | 14,998,986 | ||||||
10,000,000 | 2.100% (FEDL 1M + 0.280%), 4/27/2020e | 10,000,472 | ||||||
15,000,000 | 2.170% (FEDL 1M + 0.350%), 7/24/2020b,e | 14,999,971 | ||||||
10,000,000 | 2.044% (LIBOR 1M + 0.240%), 8/26/2020b,e | 9,997,236 | ||||||
Simon Property Group, LP | ||||||||
25,000,000 | 2.080%, 12/18/2019b | 24,943,000 | ||||||
25,000,000 | 2.080%, 12/19/2019b | 24,941,711 | ||||||
Skandinaviska Enskilda Banken | ||||||||
20,000,000 | 2.172% (LIBOR 3M + 0.170%), 10/16/2020e | 20,001,837 | ||||||
Skandinaviska Enskilda Banken AB | ||||||||
5,730,000 | 2.100%, 11/19/2019b | 5,724,587 | ||||||
10,000,000 | 2.090%, 12/3/2019b | 9,983,491 | ||||||
18,012,000 | 2.050%, 12/27/2019b | 17,958,128 | ||||||
25,000,000 | 2.050%, 12/31/2019b | 24,919,514 | ||||||
25,000,000 | 2.020%, 2/19/2020b | 24,852,771 | ||||||
10,000,000 | 2.046% (LIBOR 1M + 0.200%), 7/20/2020e | 9,997,210 | ||||||
Sumitomo Mitsui Banking Corporation | ||||||||
10,000,000 | 2.250%, 11/14/2019 | 10,001,688 | ||||||
19,995,000 | 2.352% (LIBOR 3M + 0.350%), 1/17/2020e | 20,013,655 | ||||||
11,100,000 | 2.040%, 2/3/2020 | 11,102,737 | ||||||
10,000,000 | 1.950%, 4/22/2020 | 9,998,565 | ||||||
Sumitomo Mitsui Trust Bank, Ltd. | ||||||||
10,000,000 | 2.191% (LIBOR 1M + 0.260%), 4/14/2020e | 10,000,080 | ||||||
Suncorp-Metway, Ltd. | ||||||||
23,600,000 | 2.070%, 1/22/2020b | 23,493,735 | ||||||
Svenska Handelsbanken | ||||||||
10,000,000 | 2.262% (LIBOR 1M + 0.230%), 5/1/2020e | 10,002,054 | ||||||
Svenska Handelsbanken AB | ||||||||
13,900,000 | 3.029% (LIBOR 3M + 0.930%), 10/1/2020e | 14,001,596 | ||||||
Svenska Handelsbanken NY | ||||||||
21,000,000 | 2.374% (LIBOR 3M + 0.210%), 12/19/2019e | 21,006,416 | ||||||
10,000,000 | 2.172% (LIBOR 3M + 0.040%), 2/26/2020e | 10,001,835 | ||||||
10,000,000 | 2.046% (LIBOR 1M + 0.200%), 5/19/2020e | 9,999,201 | ||||||
10,000,000 | 2.046% (LIBOR 1M + 0.200%), 5/20/2020e | 9,999,101 | ||||||
Toronto Dominion Bank | ||||||||
10,000,000 | 2.130% (LIBOR 1M + 0.280%), 7/23/2020b,e | 10,000,448 | ||||||
Toronto-Dominion Bank | ||||||||
15,000,000 | 2.449% (LIBOR 3M + 0.210%), 11/6/2019b,e | 15,000,158 | ||||||
15,000,000 | 2.367% (LIBOR 3M + 0.080%), 8/5/2020e | 14,999,998 | ||||||
10,000,000 | 2.190% (FEDL 1M + 0.370%), 9/8/2020e | 10,000,802 | ||||||
10,000,000 | 2.399% (LIBOR 3M + 0.260%), 9/17/2020e | 10,017,700 |
The accompanying Notes to Financial Statements are an integral part of this schedule. |
30 |
Table of Contents
SHORT-TERM RESERVE FUND
Schedule of Investments as of October 31, 2019
Principal | Financials (43.5%)a | Value | ||||||
Toronto-Dominion Holdings USA, Inc. | ||||||||
$4,950,000 | 2.230%, 11/12/2019 | $ | 4,950,742 | |||||
U.S. Bank NA | ||||||||
20,000,000 | 2.127% (LIBOR 3M + 0.125%), 1/17/2020e | 20,007,260 | ||||||
4,900,000 | 2.256% (LIBOR 3M + 0.320%), 1/24/2020e | 4,902,834 | ||||||
25,000,000 | 2.186% (LIBOR 3M + 0.250%), 7/24/2020e | 25,019,859 | ||||||
Ventas Realty, LP | ||||||||
10,000,000 | 2.150%, 11/12/2019b,d | 9,993,123 | ||||||
Victory Receivables Corporation | ||||||||
10,115,000 | 1.870%, 12/9/2019b,d | 10,095,177 | ||||||
5,675,000 | 2.150%, 1/7/2020b,d | 5,655,298 | ||||||
15,000,000 | 2.100%, 1/13/2020b,d | 14,943,143 | ||||||
Wells Fargo Bank NA | ||||||||
22,653,000 | 2.762% (LIBOR 3M + 0.650%), 12/6/2019e | 22,669,902 | ||||||
25,000,000 | 2.231% (LIBOR 3M + 0.230%), 1/15/2020e | 25,015,700 | ||||||
25,000,000 | 2.120% (FEDL 1M + 0.300%), 3/3/2020e | 25,000,001 | ||||||
15,000,000 | 2.196% (LIBOR 3M + 0.060%), 3/20/2020e | 15,002,807 | ||||||
15,000,000 | 2.136% (LIBOR 3M + 0.030%), 3/25/2020e | 15,000,541 | ||||||
10,000,000 | 2.110% (FEDL 1M + 0.290%), 4/6/2020e | 10,000,419 | ||||||
15,000,000 | 2.480%, 4/30/2020 | 15,060,848 | ||||||
10,000,000 | 2.130% (FEDL 1M + 0.310%), 5/19/2020e | 9,999,997 | ||||||
25,000,000 | 2.134% (LIBOR 1M + 0.220%), 7/15/2020e | 25,001,197 | ||||||
10,000,000 | 2.154% (LIBOR 1M + 0.240%), 8/14/2020e | 10,000,433 | ||||||
15,000,000 | 2.151% (LIBOR 1M + 0.260%), 9/16/2020e | 15,001,285 | ||||||
Welltower, Inc. | ||||||||
10,000,000 | 2.050%, 11/25/2019b | 9,985,903 | ||||||
Westpac Banking Corporation | ||||||||
25,000,000 | 2.050%, 12/19/2019b,d | 24,936,947 | ||||||
16,603,000 | 2.542% (LIBOR 3M + 0.430%), 3/6/2020e | 16,626,406 | ||||||
23,351,000 | 2.438% (LIBOR 3M + 0.280%), 5/15/2020e | 23,382,461 | ||||||
Westpac Banking Corporation of New York | ||||||||
10,000,000 | 2.249% (LIBOR 3M + 0.040%), 2/7/2020e | 10,001,539 | ||||||
15,000,000 | 2.221% (LIBOR 3M + 0.040%), 2/11/2020e | 15,002,446 | ||||||
15,000,000 | 2.120% (FEDL 1M + 0.300%), 2/14/2020e | 15,003,294 | ||||||
15,000,000 | 2.188% (LIBOR 3M + 0.050%), 6/3/2020e | 14,999,960 | ||||||
10,000,000 | 2.177% (LIBOR 3M + 0.050%), 6/5/2020e | 9,999,972 | ||||||
|
| |||||||
Total | 2,560,368,349 | |||||||
|
| |||||||
Principal | Foreign (5.8%)a | Value | ||||||
Caisse des Depots et Consignations | ||||||||
5,000,000 | 2.000%, 3/16/2020b | 4,966,131 |
Principal | Foreign (5.8%)a | Value | ||||||
Erste Abwicklungsanstalt | ||||||||
$10,000,000 | 2.160%, 11/14/2019b | $ | 9,993,976 | |||||
15,000,000 | 2.220%, 11/18/2019b | 14,988,330 | ||||||
16,950,000 | 2.070%, 11/19/2019b | 16,936,062 | ||||||
30,000,000 | 2.000%, 1/7/2020b | 29,903,610 | ||||||
25,000,000 | 2.031% (LIBOR 1M + 0.110%), 1/13/2020b,e | 25,003,932 | ||||||
25,000,000 | 2.030%, 2/11/2020b | 24,872,538 | ||||||
10,000,000 | 2.020%, 3/10/2020b | 9,934,682 | ||||||
10,000,000 | 2.000%, 3/18/2020b | 9,931,079 | ||||||
10,000,000 | 2.030%, 3/20/2020b | 9,930,205 | ||||||
Kells Funding, LLC | ||||||||
25,000,000 | 2.090%, 11/20/2019b,d | 24,976,250 | ||||||
15,000,000 | 2.090%, 12/3/2019b,d | 14,976,171 | ||||||
25,000,000 | 2.092%, 12/5/2019b,d | 24,957,830 | ||||||
15,000,000 | 2.000%, 1/14/2020b,d | 14,943,906 | ||||||
10,000,000 | 1.960%, 1/27/2020b,d | 9,955,584 | ||||||
20,000,000 | 2.045%, 2/7/2020b,d | 19,900,890 | ||||||
5,025,000 | 2.040%, 2/11/2020b,d | 4,999,208 | ||||||
10,000,000 | 2.050%, 3/23/2020b,d | 9,928,000 | ||||||
4,350,000 | 2.060%, 3/25/2020b,d | 4,318,192 | ||||||
KFW | ||||||||
25,000,000 | 2.070%, 2/19/2020b,d | 24,861,173 | ||||||
25,000,000 | 2.010%, 2/21/2020b,d | 24,858,515 | ||||||
5,750,000 | 2.000%, 3/10/2020b,d | 5,712,128 | ||||||
|
| |||||||
Total | 340,848,392 | |||||||
|
| |||||||
Principal | Technology (2.2%)a | Value | ||||||
Apple, Inc. | ||||||||
13,305,000 | 2.409% (LIBOR 3M + 0.200%), 2/7/2020e | 13,311,510 | ||||||
25,000,000 | 2.476% (LIBOR 3M + 0.300%), 5/6/2020e | 25,035,179 | ||||||
26,183,000 | 2.251% (LIBOR 3M + 0.070%), 5/11/2020e | 26,190,314 | ||||||
Intel Corporation | ||||||||
49,800,000 | 2.261% (LIBOR 3M + 0.080%), 5/11/2020e | 49,813,387 | ||||||
International Business Machines Corporation | ||||||||
15,120,000 | 2.166% (LIBOR 3M + 0.230%), 1/27/2020e | 15,126,255 | ||||||
|
| |||||||
Total | 129,476,645 | |||||||
|
| |||||||
Principal | Transportation (1.7%)a | Value | ||||||
Canadian National Railway Company | ||||||||
10,000,000 | 2.030%, 12/6/2019b,d | 9,983,300 | ||||||
25,000,000 | 1.990%, 12/10/2019b,d | 24,953,250 | ||||||
14,100,000 | 1.990%, 1/21/2020b,d | 14,043,089 | ||||||
Canadian Pacific Railway Company | ||||||||
5,000,000 | 2.090%, 11/15/2019b | 4,995,688 | ||||||
4,150,000 | 1.860%, 11/21/2019b | 4,145,086 | ||||||
18,000,000 | 2.180%, 12/6/2019b | 17,963,460 | ||||||
15,000,000 | 2.170%, 12/11/2019b | 14,965,321 | ||||||
7,000,000 | 2.200%, 12/18/2019b | 6,980,941 | ||||||
|
| |||||||
Total | 98,030,135 | |||||||
|
|
The accompanying Notes to Financial Statements are an integral part of this schedule. |
31 |
Table of Contents
SHORT-TERM RESERVE FUND
Schedule of Investments as of October 31, 2019
Principal | U.S. Government & Agencies (8.7%)a | Value | ||||||
Federal Agricultural Mortgage Corporation | ||||||||
$8,000,000 | 2.156% (LIBOR 1M + 0.140%), 6/2/2020e | $ | 8,000,224 | |||||
16,710,000 | 1.862% (LIBOR 1M + 0.040%), 7/24/2020e | 16,711,002 | ||||||
25,000,000 | 2.092% (LIBOR 1M + 0.060%), 10/1/2020e | 24,981,835 | ||||||
20,000,000 | 1.903% (LIBOR 1M + 0.080%), 10/23/2020e | 19,996,120 | ||||||
Federal Farm Credit Bank | ||||||||
20,000,000 | 1.940% (FEDL 1M + 0.120%), 2/18/2020e | 20,001,718 | ||||||
9,000,000 | 1.896% (LIBOR 1M + 0.050%), 2/21/2020e | 9,002,696 | ||||||
6,250,000 | 1.786% (LIBOR 1M + (0.060)%), 7/20/2020e | 6,243,368 | ||||||
25,000,000 | 1.910% (FEDL 1M + 0.090%), 7/30/2020e | 25,007,850 | ||||||
25,000,000 | 1.960% (LIBOR 1M + 0.020%), 9/9/2020e | 24,984,477 | ||||||
10,000,000 | 1.913% (LIBOR 1M + 0.035%), 9/18/2020e | 9,994,674 | ||||||
25,000,000 | 1.787% (USBMMY 3M + 0.160%), l/19/2021e | 25,007,042 | ||||||
25,000,000 | 1.844% (LIBOR 1M + 0.040%), 1/28/2021e | 24,985,063 | ||||||
10,120,000 | 1.940% (FEDL 1M + 0.120%), 2/9/2021e | 10,110,417 | ||||||
15,000,000 | 1.905% (FEDL 1M + 0.085%), 3/10/2021e | 14,975,868 | ||||||
15,010,000 | 1.901% (LIBOR 3M + (0.035)%), 4/30/2021e | 15,005,569 | ||||||
25,000,000 | 2.192% (LIBOR 1M + 0.160%), 7/1/2021e | 25,017,934 | ||||||
15,000,000 | 1.891% (LIBOR 1M + FLAT), 7/16/2021e | 14,969,833 | ||||||
25,100,000 | 1.940% (LIBOR 1M + FLAT), 8/9/2021e | 25,043,803 | ||||||
14,140,000 | 1.932% (LIBOR 1M + 0.110%), 9/24/2021e | 14,130,781 | ||||||
15,000,000 | 2.157% (LIBOR 1M + 0.160%), 10/4/2021e | 15,003,238 | ||||||
Federal Home Loan Bank | ||||||||
16,880,000 | 1.980% (LIBOR 1M + (0.010)%), 1/7/2020e | 16,879,071 | ||||||
11,000,000 | 1.920% (LIBOR 1M +(0.070)%), 2/7/2020e | 10,996,031 | ||||||
10,000,000 | 1.873% (LIBOR 1M + 0.050%), 3/25/2020e | 9,999,202 | ||||||
3,700,000 | 1.746% (LIBOR 3M + (0.240)%), 4/13/2020e | 3,697,498 | ||||||
9,760,000 | 1.686% (LIBOR 3M + (0.250)%), 4/30/2020e | 9,753,425 | ||||||
10,000,000 | 2.066% (LIBOR 1M + 0.050%), 5/1/2020e | 10,001,625 | ||||||
20,000,000 | 2.076% (LIBOR 1M + 0.060%), 6/10/2020e | 20,003,892 | ||||||
10,670,000 | 1.954% (LIBOR 1M + 0.150%), 9/28/2020e | 10,678,973 | ||||||
38,800,000 | 1.804% (LIBOR 1M + FLAT), 10/26/2020e | 38,775,675 | ||||||
4,000,000 | 2.010% (LIBOR 3M + (0.135)%), 12/18/2020e | 3,996,409 | ||||||
9,000,000 | 1.920% (SOFRRATE + 0.100%), 12/23/2020e | 8,993,662 |
Principal | U.S. Government & Agencies (8.7%)a | Value | ||||||
U.S. Treasury Notes | ||||||||
$6,245,000 | 1.682% (USBMMY 3M + 0.045%), 10/31/2020e | $ | 6,237,795 | |||||
15,000,000 | 1.752% (USBMMY 3M + 0.115%), l/31/2021e | 14,983,084 | ||||||
|
| |||||||
Total | 514,169,854 | |||||||
|
| |||||||
Principal | U.S. Municipals (1.0%)a | Value | ||||||
Los Angeles County Metropolitan Transportation Auth. | ||||||||
4,500,000 | 2.120%, 12/5/2019d | 4,501,395 | ||||||
State of California | ||||||||
21,470,000 | 2.080%, 11/25/2019d | 21,472,791 | ||||||
State of Tennessee | ||||||||
5,000,000 | 2.280%, 11/5/2019d | 5,000,050 | ||||||
10,000,000 | 2.250%, 11/21/2019d | 10,000,800 | ||||||
10,000,000 | 2.150%, 12/11/2019d | 10,000,500 | ||||||
5,000,000 | 2.150%, 12/17/2019d | 5,000,950 | ||||||
|
| |||||||
Total | 55,976,486 | |||||||
|
| |||||||
Principal | Utilities (3.7%)a | Value | ||||||
American Electric Power Company, Inc. | ||||||||
10,000,000 | 2.020%, 11/4/2019b | 9,997,730 | ||||||
15,000,000 | 2.050%, 11/15/2019b | 14,987,063 | ||||||
Centerpoint Energy, Inc. | ||||||||
10,000,000 | 2.100%, 11/12/2019b | 9,993,457 | ||||||
15,000,000 | 2.030%, 11/22/2019b | 14,982,308 | ||||||
Dominion Energy, Inc. | ||||||||
10,000,000 | 2.120%, 11/19/2019b | 9,989,218 | ||||||
13,909,000 | 2.180%, 11/21/2019b | 13,892,529 | ||||||
15,000,000 | 2.070%, 12/5/2019b | 14,970,396 | ||||||
17,000,000 | 2.070%, 12/9/2019b | 16,962,614 | ||||||
DTE Electric Company | ||||||||
12,000,000 | 2.000%, 11/7/2019 | 11,995,683 | ||||||
Duke Energy Corporation | ||||||||
5,000,000 | 2.050%, 11/5/2019b | 4,998,580 | ||||||
Enbridge, Inc. | ||||||||
21,128,000 | 2.410% (LIBOR 3M + 0.400%), 1/10/2020e | 21,139,406 | ||||||
National Rural Utilities Cooperative Finance Corporation | ||||||||
5,130,000 | 2.000%, 1/27/2020 | 5,130,799 | ||||||
PPL Capital Funding, Inc. | ||||||||
4,780,000 | 2.080%, 11/4/2019b,d | 4,778,915 | ||||||
7,090,000 | 1.910%, 11/6/2019b,d | 7,087,580 | ||||||
TransCanada American Investments, Ltd. | ||||||||
6,000,000 | 2.150%, 11/8/2019b | 5,997,264 | ||||||
9,000,000 | 2.190%, 12/12/2019b | 8,978,685 | ||||||
10,000,000 | 2.170%, 1/13/2020b | 9,956,751 | ||||||
5,000,000 | 2.120%, 1/23/2020b | 4,975,337 | ||||||
Virginia Electric & Power Company | ||||||||
15,000,000 | 2.250%, 11/5/2019 | 14,996,156 |
The accompanying Notes to Financial Statements are an integral part of this schedule. |
32 |
Table of Contents
SHORT-TERM RESERVE FUND
Schedule of Investments as of October 31, 2019
Principal | Utilities (3.7%)a | Value | ||||||
$15,000,000 | 2.100%, 12/6/2019 | $ | 14,971,200 | |||||
|
| |||||||
Total | 220,781,671 | |||||||
|
| |||||||
Total Investments (cost $5,924,039,946) 100.7% | $ | 5,925,035,785 | ||||||
|
| |||||||
Other Assets and Liabilities, Net (0.7)% | (40,092,518 | ) | ||||||
|
| |||||||
Total Net Assets 100.0% | $ | 5,884,943,267 | ||||||
|
|
a | The interest rate shown reflects the yield, coupon rate or the discount rate at the date of purchase. |
b | Denotes securities sold under Rule 144A of the Securities Act of 1933, which exempts them from registration. These securities may be resold to other dealers in the program or to other qualified institutional buyers. As of October 31, 2019, the value of these investments was $3,232,663,639 or 54.9% of total net assets. |
c | Denotes investments purchased on a when-issued or delayed delivery basis. |
d | Denotes investments that benefit from credit enhancement or liquidity support provided by a third party bank, institution or government. |
e | Denotes variable rate securities. The rate shown is as of October 31, 2019. The rates of certain variable rate securities are based on a published reference rate and spread; these may vary by security and the reference rate and spread are indicated in their description. The rates of other variable rate securities are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description. |
Definitions: | ||
Auth. - | Authority | |
Ser. - | Series |
Reference Rate Index: |
FEDL 1M - | Federal Funds 1 Month Rate | |
LIBOR 1M - | ICE Libor USD Rate 1 Month | |
LIBOR 3M - | ICE Libor USD Rate 3 Month | |
SOFRRATE - | Secured Overnight Financing Rate | |
USBMMY 3M - | U. S. Treasury Bill Rate 3 Month Money Market Yield |
Unrealized Appreciation (Depreciation)
Gross unrealized appreciation and depreciation of investments of the portfolio as a whole (including derivatives), based on cost for federal income tax purposes, were as follows: | ||||
Gross unrealized appreciation | $ | 1,284,120 | ||
Gross unrealized depreciation | (288,281 | ) | ||
|
| |||
Net unrealized appreciation (depreciation) | $ | 995,839 | ||
Cost for federal income tax purposes | $ | 5,924,039,946 |
Fair Valuation Measurements
The following table is a summary of the inputs used, as of October 31, 2019, in valuing Short-Term Reserve Fund’s assets carried at fair value or amortized cost, which approximates fair value.
Investments in Securities | Total | Level 1 | Level 2 | Level 3 | ||||||||||||
Asset-Backed Securities | 517,183,584 | – | 517,183,584 | – | ||||||||||||
Basic Materials | 76,593,283 | – | 76,593,283 | – | ||||||||||||
Capital Goods | 251,673,127 | – | 251,673,127 | – | ||||||||||||
Communications Services | 76,429,766 | – | 76,429,766 | – | ||||||||||||
Consumer Cyclical | 512,646,077 | – | 512,646,077 | – | ||||||||||||
ConsumerNon-Cyclical | 340,664,414 | – | 340,664,414 | – | ||||||||||||
Energy | 230,194,002 | – | 230,194,002 | – | ||||||||||||
Financials | 2,560,368,349 | – | 2,560,368,349 | – | ||||||||||||
Foreign | 340,848,392 | – | 340,848,392 | – | ||||||||||||
Technology | 129,476,645 | – | 129,476,645 | – | ||||||||||||
Transportation | 98,030,135 | – | 98,030,135 | – | ||||||||||||
U.S. Government & Agencies | 514,169,854 | – | 514,169,854 | – | ||||||||||||
U.S. Municipals | 55,976,486 | – | 55,976,486 | – | ||||||||||||
Utilities | 220,781,671 | – | 220,781,671 | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments at Value | $ | 5,925,035,785 | $ | – | $ | 5,925,035,785 | $ | – | ||||||||
|
|
|
|
|
|
|
|
There were no significant transfers between Levels during the period ended October 31, 2019. Transfers between Levels are identified as of the end of the period.
The accompanying Notes to Financial Statements are an integral part of this schedule.
33
Table of Contents
STATEMENTOF ASSETSAND LIABILITIES
As of October 31, 2019 | Emerging Markets Debt Fund | International Equity Fund | Low Volatility Equity Fund | Short-Term Reserve Fund | ||||||||||||
Assets | ||||||||||||||||
Investments in unaffiliated securities at cost | $ | 791,453,116 | $ | 798,259,477 | $ | 891,099,193 | $ | 5,924,039,946 | ||||||||
Investments in affiliated securities at cost | $ | 19,004,694 | $ | 16,253,882 | $ | 1,503,905 | $ | – | ||||||||
Investments in unaffiliated securities at value (#) | 822,649,450 | 823,470,352 | 1,026,289,813 | 5,925,035,785 | ||||||||||||
Investments in affiliated securities at value | 19,004,694 | 16,253,882 | 1,503,905 | – | ||||||||||||
Cash | – | – | – | 154,352 | ||||||||||||
Dividends and interest receivable | 9,406,494 | 5,294,702 | 765,082 | 8,509,709 | ||||||||||||
Prepaid expenses | 2,595 | 2,820 | 2,887 | 8,248 | ||||||||||||
Prepaid trustee fees | 1,085 | 1,086 | 1,085 | 1,085 | ||||||||||||
Receivable for: | ||||||||||||||||
Investments sold | 7,976,094 | 112,929,915 | – | – | ||||||||||||
Total Assets | 859,040,412 | 957,952,757 | 1,028,562,772 | 5,933,709,179 | ||||||||||||
Liabilities | ||||||||||||||||
Distributions payable | – | – | – | 11,249,450 | ||||||||||||
Accrued expenses | 26,068 | 65,471 | 21,815 | 36,298 | ||||||||||||
Cash overdraft | – | 105,190,888 | (a) | – | – | |||||||||||
Payable for: | ||||||||||||||||
Investments purchased | 5,931,180 | 5,665,327 | – | 18,477,882 | ||||||||||||
Investments purchased on a delayed delivery basis | – | – | – | 19,000,000 | ||||||||||||
Return of collateral for securities loaned | 3,415,005 | 16,253,882 | – | – | ||||||||||||
Administrative service fees | 12,193 | 13,210 | 14,767 | – | ||||||||||||
Director deferred compensation | 850 | 850 | 836 | 2,282 | ||||||||||||
Commitments and contingent liabilities^ | – | – | – | – | ||||||||||||
Total Liabilities | 9,385,296 | 127,189,628 | 37,418 | 48,765,912 | ||||||||||||
Net Assets | ||||||||||||||||
Capital stock (beneficial interest) | 844,373,650 | 846,444,154 | 844,618,271 | 5,883,905,754 | ||||||||||||
Distributable earnings/(accumulated loss) | 5,281,466 | (15,681,025 | ) | 183,907,083 | 1,037,513 | |||||||||||
Total Net Assets | $ | 849,655,116 | $ | 830,763,129 | $ | 1,028,525,354 | $ | 5,884,943,267 | ||||||||
Shares of beneficial interest outstanding | 86,421,284 | 85,827,039 | 85,031,281 | 588,391,042 | ||||||||||||
Net asset value per share | $ | 9.83 | $ | 9.68 | $ | 12.10 | $ | 10.00 | ||||||||
(#) Includes securities on loan of | $ | 3,328,862 | $ | 15,310,312 | $ | – | $ | – |
(a) | Includes foreign currency holdings of $16,717 (cost $14,792). |
^ | Commitments and contingent liabilities accrual. Additional information can be found in the accompanying Notes to Financial Statements. |
The accompanying Notes to Financial Statements are an integral part of this statement.
34
Table of Contents
STATEMENTOF OPERATIONS
For the year ended October 31, 2019 | Emerging Markets Debt Fund | International Equity Fund | Low Volatility Equity Fund | Short-Term Reserve Fund | ||||||||||||
Investment Income | ||||||||||||||||
Dividends | $ | – | $ | 34,921,181 | $ | 21,213,007 | $ | – | ||||||||
Interest | 35,718,264 | 3,108 | – | 133,965,209 | ||||||||||||
Affiliated income from securities loaned, net | 14,647 | 285,896 | 115,388 | – | ||||||||||||
Income from affiliated investments | 293,600 | 53,985 | 46,910 | – | ||||||||||||
Foreign tax withholding | – | (3,143,722 | ) | (9,064 | ) | – | ||||||||||
Total Investment Income | 36,026,511 | 32,120,448 | 21,366,241 | 133,965,209 | ||||||||||||
Expenses | ||||||||||||||||
Administrative service fees | 203,343 | 224,277 | 235,851 | 90,000 | ||||||||||||
Amortization of offering costs | – | 213 | 2,419 | – | ||||||||||||
Audit and legal fees | 35,136 | 35,995 | 36,844 | 47,343 | ||||||||||||
Custody fees | 17,738 | 169,046 | 15,265 | 84,161 | ||||||||||||
Insurance expenses | 6,111 | 6,704 | 6,756 | 20,395 | ||||||||||||
Printing and postage expenses | 4,841 | 5,724 | 3,805 | 3,932 | ||||||||||||
SEC and state registration expenses | 12,430 | 14,605 | 4,364 | – | ||||||||||||
Transfer agent fees | 30,000 | 30,000 | 30,000 | 30,000 | ||||||||||||
Directors’ fees | 7,129 | 7,129 | 7,129 | 7,152 | ||||||||||||
Pricing service fees | 12,772 | 12,979 | 1,095 | 78,097 | ||||||||||||
Other expenses | 13,221 | 13,783 | 12,171 | 12,260 | ||||||||||||
Total Expenses Before Reimbursement | 342,721 | 520,455 | 355,699 | 373,340 | ||||||||||||
Less: | ||||||||||||||||
Total Net Expenses | 342,721 | 520,455 | 355,699 | 373,340 | ||||||||||||
Net Investment Income/(Loss) | 35,683,790 | 31,599,993 | 21,010,542 | 133,591,869 | ||||||||||||
Realized and Unrealized Gains/(Losses) | ||||||||||||||||
Net realized gains/(losses) on: | ||||||||||||||||
Investments | (23,546,584 | ) | (55,287,674 | ) | 31,695,278 | 54,362 | ||||||||||
Futures contracts | (317,792 | ) | – | – | – | |||||||||||
Foreign currency transactions | – | (121,474 | ) | – | – | |||||||||||
Change in net unrealized appreciation/(depreciation) on: | ||||||||||||||||
Investments | 87,122,791 | 98,321,764 | 116,146,861 | 1,671,179 | ||||||||||||
Foreign currency transactions | – | 23,012 | – | – | ||||||||||||
Net Realized and Unrealized Gains/(Losses) | 63,258,415 | 42,935,628 | 147,842,139 | 1,725,541 | ||||||||||||
Net Increase/(Decrease) in Net Assets Resulting From Operations | $ | 98,942,205 | $ | 74,535,621 | $ | 168,852,681 | $ | 135,317,410 |
The accompanying Notes to Financial Statements are an integral part of this statement.
35
Table of Contents
STATEMENTOF CHANGESIN NET ASSETS
Emerging Markets Debt Fund | International Equity Fund | |||||||||||||||
For the periods ended | 10/31/2019 | 10/31/2018 | 10/31/2019 | 10/31/2018(a) | ||||||||||||
Operations | ||||||||||||||||
Net investment income/(loss) | $ | 35,683,790 | $ | 26,455,691 | $ | 31,599,993 | $ | 26,126,324 | ||||||||
Net realized gains/(losses) | (23,864,376 | ) | (2,183,543 | ) | (55,409,148 | ) | (13,331,863 | ) | ||||||||
Change in net unrealized appreciation/(depreciation) | 87,122,791 | (50,984,782 | ) | 98,344,776 | (73,168,153 | ) | ||||||||||
Net Change in Net Assets Resulting From Operations | 98,942,205 | (26,712,634 | ) | 74,535,621 | (60,373,692 | ) | ||||||||||
Distributions to Shareholders | ||||||||||||||||
From net investment income/net realized gains | (35,639,665 | ) | (26,395,545 | ) | (28,842,752 | ) | (1,001,317 | ) | ||||||||
Total Distributions to Shareholders | (35,639,665 | ) | (26,395,545 | ) | (28,842,752 | ) | (1,001,317 | ) | ||||||||
Capital Stock Transactions | ||||||||||||||||
Sold | 67,982,283 | 183,634,669 | 90,000,000 | 858,700,000 | ||||||||||||
Distributions reinvested | 35,639,665 | 7,978,341 | 28,842,752 | 1,001,317 | ||||||||||||
In-kind contributions | – | 124,931,300 | – | – | ||||||||||||
Redeemed | (1,500,000 | ) | (960,000 | ) | (132,000,000 | ) | (98,800 | ) | ||||||||
Total Capital Stock Transactions | 102,121,948 | 315,584,310 | (13,157,248 | ) | 859,602,517 | |||||||||||
Net Increase/(Decrease) in Net Assets | 165,424,488 | 262,476,131 | 32,535,621 | 798,227,508 | ||||||||||||
Net Assets, Beginning of Period | 684,230,628 | 421,754,497 | 798,227,508 | – | ||||||||||||
Net Assets, End of Period | $ | 849,655,116 | $ | 684,230,628 | $ | 830,763,129 | $ | 798,227,508 | ||||||||
Capital Stock Share Transactions | ||||||||||||||||
Sold | 7,131,069 | 19,060,690 | 10,158,014 | 85,911,466 | ||||||||||||
Distributions reinvested | 3,726,079 | 874,746 | 3,393,265 | 98,749 | ||||||||||||
In-kind contributions | – | 13,123,036 | – | – | ||||||||||||
Redeemed | (152,905 | ) | (105,048 | ) | (13,724,455 | ) | (10,000 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Capital Stock Share Transactions | 10,704,243 | 32,953,424 | (173,176 | ) | 86,000,215 | |||||||||||
|
|
|
|
|
|
|
|
(a) | For the period from November 14, 2017 (inception) through October 31, 2018. |
The accompanying Notes to Financial Statements are an integral part of this statement.
36
Table of Contents
THRIVENT CORE FUNDS
STATEMENTOF CHANGESIN NET ASSETS –CONTINUED
Low Volatility Equity Fund | Short-Term Reserve Fund | |||||||||||||||
For the periods ended | 10/31/2019 | 10/31/2018(a) | 10/31/2019 | 10/31/2018 | ||||||||||||
Operations | ||||||||||||||||
Net investment income/(loss) | $ | 21,010,542 | $ | 10,615,382 | $ | 133,591,869 | $ | 99,124,768 | ||||||||
Net realized gains/(losses) | 31,695,278 | 19,013,033 | 54,362 | (17,348 | ) | |||||||||||
Change in net unrealized appreciation/(depreciation) | 116,146,861 | 19,043,759 | 1,671,179 | (538,217 | ) | |||||||||||
Net Change in Net Assets Resulting From Operations | 168,852,681 | 48,672,174 | 135,317,410 | 98,569,203 | ||||||||||||
Distributions to Shareholders | ||||||||||||||||
From net investment income/net realized gains | (33,622,761 | ) | – | (133,591,869 | ) | (99,185,270 | ) | |||||||||
Total Distributions to Shareholders | (33,622,761 | ) | – | (133,591,869 | ) | (99,185,270 | ) | |||||||||
Capital Stock Transactions | ||||||||||||||||
Sold | 16,000,000 | 825,099,999 | 12,695,297,830 | 12,052,138,996 | ||||||||||||
Distributions reinvested | 33,622,761 | – | – | – | ||||||||||||
Redeemed | (30,000,000 | ) | (99,500 | ) | (11,666,628,886 | ) | (12,185,182,945 | ) | ||||||||
Total Capital Stock Transactions | 19,622,761 | 825,000,499 | 1,028,668,944 | (133,043,949 | ) | |||||||||||
Net Increase/(Decrease) in Net Assets | 154,852,681 | 873,672,673 | 1,030,394,485 | (133,660,016 | ) | |||||||||||
Net Assets, Beginning of Period | 873,672,673 | – | 4,854,548,782 | 4,988,208,798 | ||||||||||||
Net Assets, End of Period | $ | 1,028,525,354 | $ | 873,672,673 | $ | 5,884,943,267 | $ | 4,854,548,782 | ||||||||
Capital Stock Share Transactions | ||||||||||||||||
Sold | 1,337,793 | 82,874,125 | 1,269,529,784 | 1,205,213,900 | ||||||||||||
Distributions reinvested | 3,337,724 | – | – | – | ||||||||||||
Redeemed | (2,508,361 | ) | (10,000 | ) | (1,166,662,889 | ) | (1,218,518,295 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Capital Stock Share Transactions | 2,167,156 | 82,864,125 | 102,866,895 | (13,304,395 | ) | |||||||||||
|
|
|
|
|
|
|
|
(a) | For the period from February 28, 2018 (inception) through October 31, 2018. |
The accompanying Notes to Financial Statements are an integral part of this statement.
37
Table of Contents
NOTESTO FINANCIAL STATEMENTS
October 31, 2019
1) ORGANIZATION
Thrivent Core Funds (the “Trust”) was organized as a Delaware statutory trust on March 18, 2016, and is registered as anopen-end management investment company under the Investment Company Act of 1940. The Trust is established solely for investment by other Thrivent entities. The Trust is divided into four separate series, each with its own investment objective and policies (each, a “Fund” and, collectively, the “Funds”). The four series of the Trust are Thrivent Core Emerging Markets Debt Fund, which isnon-diversified, and Thrivent Core International Equity Fund, Thrivent Core Low Volatility Equity Fund, and Thrivent Core Short-Term Reserve Fund, which are diversified. Thrivent Core Short-Term Reserve Fund serves as a cash sweep vehicle for Thrivent Mutual Funds, Thrivent Series Fund, Inc., and Thrivent Church Loan and Income Fund.
The Funds are each an investment company which follows the accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946 – Financial Services – Investment Companies.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, in the normal course of business, the Trust enters into contracts with vendors and others that provide general damage clauses. The Trust’s maximum exposure under these contracts is unknown, as this would involve future claims that may be made against the Trust. However, based on experience, the Trust expects the risk of loss to be remote.
(2) SIGNIFICANT ACCOUNTING POLICIES
Valuation of Investments—Securities traded on U.S. or foreign securities exchanges or included in a national market system are valued at the last sale price on the principal exchange or the official closing price of the national market system.Over-the-counter securities and listed securities for which no price is readily available are valued at the current bid price considered best to represent the value at that time. Security prices are based on quotes that are obtained from an independent pricing service approved by the Trust’s Board of Trustees (“Board”). The pricing service, in determining values of fixed-income securities, takes into consideration such factors as current quotations by broker/dealers, coupon, maturity, quality, type of issue, trading characteristics, and other yield and risk factors it deems relevant in determining valuations. Securities which cannot be valued by the approved pricing service are valued using valuations obtained from
dealers that make markets in the securities. Investments in open-ended mutual funds are valued at the net asset value at the close of each business day.
The Board has delegated responsibility for daily valuation of the Funds’ securities to the investment adviser, Thrivent Asset Management, LLC (the “Adviser”). The Adviser has formed a Valuation Committee (“Committee”) that is responsible for overseeing the Funds’ valuation policies in accordance with Valuation Policies and Procedures. The Committee meets on a monthly and on anas-needed basis to review price challenges, price overrides, stale prices, shadow prices, manual prices, money market pricing, international fair valuation, and other securities requiring fair valuation.
The Committee monitors for significant events occurring prior to the close of trading on the New York Stock Exchange that could have a material impact on the value of any securities that are held by the Funds. Examples of such events include trading halts, national news/events, and issuer-specific developments. If the Committee decides that such events warrant using fair value estimates, the Committee will take such events into consideration in determining the fair value of such securities. If market quotations or prices are not readily available or determined to be unreliable, the securities will be valued at fair value as determined in good faith pursuant to procedures adopted by the Board.
In accordance with U.S. Generally Accepted Accounting Principles (“GAAP”), the various inputs used to determine the fair value of the Funds’ investments are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical securities, typically included in this level are U.S. equity securities, futures, options and registered investment company funds. Level 2 includes other significant observable inputs such as quoted prices for similar securities, interest rates, prepayment speeds and credit risk, typically included in this level are fixed income securities, international securities, swaps and forward contracts. Level 3 includes significant unobservable inputs such as the Adviser’s own assumptions and broker evaluations in determining the fair value of investments. Of the Level 3 securities, those for which market values were not readily available or were deemed unreliable were fair valued as determined in good faith under procedures established by the Board. The valuation levels are not necessarily an indication of the risk associated with investing in these securities or other investments. Investments measured using net asset value per share as a practical expedient for fair value and that are not publiclyavailable-for-sale are not categorized within the fair value hierarchy.
Valuation of International Securities— The Funds value certain foreign securities traded on foreign exchanges that close prior to the close of the New York Stock Exchange using a fair value pricing service. The fair value pricing service uses a multi-factor model that may take into account the
38
Table of Contents
THRIVENT CORE FUNDS
NOTESTO FINANCIAL STATEMENTS
October 31, 2019
local close, relevant general and sector indices, currency fluctuation, prices of other securities (including ADRs, New York registered shares, and ETFs), and futures, as applicable, to determine price adjustments for each security in order to reflect the effects of post-closing events. The Board has authorized the Adviser to make fair valuation determinations pursuant to policies approved by the Board.
Foreign Currency Translation— The accounting records of each Fund are maintained in U.S. dollars. Securities and other assets and liabilities that are denominated in foreign currencies are translated into U.S. dollars at the daily closing rates of exchange.
Foreign currency amounts related to the purchase or sale of securities and income and expenses are translated at the exchange rate on the transaction date. Net realized and unrealized currency gains and losses are recorded from closed currency contracts, disposition of foreign currencies, exchange gains or losses between the trade date and settlement date on securities transactions, and other translation gains or losses on dividends, interest income and foreign withholding taxes. The Funds do not separately report the effect of changes in foreign exchange rates from changes in market prices on securities held. Such changes are included in net realized and unrealized gain or loss from investments in the Statement of Operations.
For federal income tax purposes, the Funds treat the effect of changes in foreign exchange rates arising from actual foreign currency transactions and the changes in foreign exchange rates between the trade date and settlement date as ordinary income.
Federal Income Taxes— No provision has been made for income taxes because each Fund’s policy is to qualify as a regulated investment company under the Internal Revenue Code and distribute substantially all investment company taxable income and net capital gain on a timely basis. It is also the intention of each Fund to distribute an amount sufficient to avoid imposition of any federal excise tax. The Funds, accordingly, anticipate paying no federal taxes and no federal tax provision was recorded. Each Fund is treated as a separate taxable entity for federal income tax purposes. Funds may utilize earnings and profits distributed to shareholders on the redemption of shares as part of the dividends paid deduction.
GAAP requires management of the Funds (i.e., the Adviser) to make additional tax disclosures with respect to the tax effects of certain income tax positions, whether those positions were taken on previously filed tax returns or are expected to be taken on future returns. These positions must meet a “more likely than not” standard that, based on the technical merits of the position, would have a greater than 50 percent likelihood of being sustained upon examination. In evaluating whether
a tax position has met themore-likely-than-not recognition threshold, the Adviser must presume that the position will be examined by the appropriate taxing authority that has full knowledge of all relevant information.
The Adviser analyzed all open tax years, as defined by the statute of limitations, for all major jurisdictions. Open tax years are those that are open for examination by taxing authorities. Major jurisdictions for the Funds include U.S. Federal, Minnesota, Wisconsin, and Massachusetts as well as certain foreign countries. As of October 31, 2019, open U.S. Federal, Minnesota, Wisconsin and Massachusetts tax years include tax years ended October 31, 2016 through 2019. The Funds have no examinations in progress and none are expected at this time.
As of October 31, 2019, the Adviser has reviewed all open tax years and major jurisdictions and concluded that there is no effect to each Fund’s tax liability, financial position or results of operations. There is no tax liability resulting from unrecognized tax benefits related to uncertain income tax positions taken or expected to be taken in future tax returns. The Funds also are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next 12 months.
Expenses and Income— Estimated expenses are accrued daily. The Funds are charged for those expenses that are directly attributable to them. Expenses that are not directly attributable to a Fund are allocated among all appropriate Funds in proportion to their respective net assets, number of shareholder accounts or other reasonable basis.
Interest income is accrued daily on all debt securities, as is accretion of market discount and original issue discount and amortization of premium. Paydown gains and losses on mortgage- and asset-backed securities are recorded as components of interest income. Dividend income and capital gain distributions are recorded on theex-dividend date. However, certain dividends from foreign securities are recorded as soon as the information is available to the Funds.Non-cash income, if any, is recorded at the fair market value of the securities received.
Distributions to Shareholders— Net investment income is distributed to each shareholder as a dividend. Dividends from Emerging Markets Debt Fund are declared and distributed monthly. Dividends from International Equity Fund and Low Volatility Equity Fund are declared and distributed annually. Dividends from Short-Term Reserve Fund are declared daily and distributed monthly. Net realized gains from securities transactions, if any, are distributed at least annually after the close of the fiscal year.
Derivative Financial Instruments— Certain Funds may invest in derivatives. Derivatives, a category that includes options, futures, swaps, foreign currency forward contracts and
39
Table of Contents
THRIVENT CORE FUNDS
NOTESTO FINANCIAL STATEMENTS
October 31, 2019
hybrid instruments, are financial instruments whose value is derived from another security, an index or a currency. Each applicable Fund may use derivatives for hedging (attempting to offset a potential loss in one position by establishing an interest in an opposite position). This includes the use of currency-based derivatives to manage the risk of its positions in foreign securities. Each applicable Fund may also use derivatives for replication of a certain asset class or speculation (investing for potential income or capital gain). These contracts may be transacted on an exchange orover-the-counter (“OTC”).
A derivative may incur a mark to market loss if the value of the derivative decreases due to an unfavorable change in the market rates or values of the underlying derivative. Losses can also occur if the counterparty does not perform under the derivative. A Fund’s risk of loss from the counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by such Fund. With exchange traded futures and centrally cleared swaps, there is minimal counterparty credit risk to the Funds because the exchange’s clearinghouse, as counterparty to such derivatives, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the derivative; thus, the credit risk is limited to the failure of the clearinghouse. However, credit risk still exists in exchange traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on apro-rata basis across all the broker’s customers, potentially resulting in losses to the Funds. Using derivatives to hedge can guard against potential risks, but it also adds to the Funds’ expenses and can eliminate some opportunities for gains. In addition, a derivative used for mitigating exposure or replication may not accurately track the value of the underlying asset. Another risk with derivatives is that some types can amplify a gain or loss, potentially earning or losing substantially more money than the actual cost of the derivative.
In order to define their contractual rights and to secure rights that will help the Funds mitigate their counterparty risk, the Funds may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a Fund and a counterparty that governs OTC derivatives and foreign exchange contracts and typically includes, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, each Fund may, under certain circumstances, offset with the
counterparty certain derivatives’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default(close-out netting) including the bankruptcy or insolvency of the counterparty. Note, however, that bankruptcy and insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.
Collateral and margin requirements vary by type of derivative. Margin requirements are established by the broker or clearinghouse for exchange traded and centrally cleared derivatives (futures, options, and centrally cleared swaps). Brokers can ask for margining in excess of the minimum in certain situations. Collateral terms are contract specific for OTC derivatives (foreign currency exchange contracts, options, swaps). For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Fund and the counterparty. For financial reporting purposes,non-cash collateral that has been pledged to cover obligations of the Fund has been noted in the Schedule of Investments. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. The Funds attempt to mitigate counterparty risk by only entering into agreements with counterparties that they believe have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.
Options— Certain Funds may buy put and call options and write put and covered call options. The Funds intend to use such derivative instruments as hedges to facilitate buying or selling securities or to provide protection against adverse movements in security prices or interest rates. The Funds may also enter into options contracts to protect against adverse foreign exchange rate fluctuations. Option contracts are valued daily and unrealized appreciation or depreciation is recorded. A Fund will realize a gain or loss upon expiration or closing of the option transaction. When an option is exercised, the proceeds upon sale for a written call option or the cost of a security for purchased put and call options is adjusted by the amount of premium received or paid.
Buying put options tends to decrease a Fund’s exposure to the underlying security while buying call options tends to increase a Fund’s exposure to the underlying security. The risk associated with purchasing put and call options is limited to the premium paid. There is no significant counterparty risk on exchange-traded options as the exchange guarantees the contract against default. Writing put options tends to increase a Fund’s exposure to the underlying security while writing call options tends to decrease a Fund’s exposure to the underlying
40
Table of Contents
THRIVENT CORE FUNDS
NOTESTO FINANCIAL STATEMENTS
October 31, 2019
security. The writer of an option has no control over whether the underlying security may be bought or sold, and therefore bears the market risk of an unfavorable change in the price of the underlying security. The counterparty risk for purchased options arises when a Fund has purchased an option, exercises that option, and the counterparty doesn’t buy from the Fund or sell to the Fund the underlying asset as required. In the case where a Fund has written an option, the Fund doesn’t have counterparty risk. Counterparty risk on purchasedover-the-counter options is partially mitigated by the Fund’s collateral posting requirements. As the option increases in value to the Fund, the Fund receives collateral from the counterparty. Risks of loss may exceed amounts recognized on the Statement of Assets and Liabilities.
Futures Contracts— Certain Funds may use futures contracts to manage the exposure to interest rate and market or currency fluctuations. Gains or losses on futures contracts can offset changes in the yield of securities. When a futures contract is opened, cash or other investments equal to the required “initial margin deposit” are held on deposit with and pledged to the broker. Additional securities held by the Funds may be earmarked to cover open futures contracts. The futures contract’s daily change in value (“variation margin”) is either paid to or received from the broker, and is recorded as an unrealized gain or loss. When the contract is closed, realized gain or loss is recorded equal to the difference between the value of the contract when opened and the value of the contract when closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed in the Statement of Assets and Liabilities. Exchange-traded futures have no significant counterparty risk as the exchange guarantees the contracts against default.
During the year ended October 31, 2019, Core Emerging Markets Debt used treasury futures to manage the duration and yield curve exposure of the Fund versus the benchmark.
Foreign Currency Forward Contracts— In connection with purchases and sales of securities denominated in foreign currencies, certain Funds may enter into foreign currency forward contracts. Additionally, the Funds may enter into such contracts to mitigate currency and counterparty exposure to other foreign-currency-denominated investments. These contracts are recorded at value and the realized and change in unrealized foreign exchange gains and losses are included in the Statement of Operations. In the event that counterparties fail to settle these forward contracts, the Funds could be exposed to foreign currency fluctuations. Foreign currency contracts are valued daily and unrealized appreciation or depreciation is recorded daily as the difference between the contract exchange rate and the closing forward rate applied to the face amount of the contract. A realized gain or loss is recorded at the time a forward contract is closed. These contracts areover-the-counter
and the Fund is exposed to counterparty risk equal to the discounted net amount of payments to the Fund.
Swap Agreements— Certain Funds may enter into swap transactions, which involve swapping one or more investment characteristics of a security or a basket of securities with another party. Such transactions include market risk, risk of default by the other party to the transaction, risk of imperfect correlation and manager risk and may involve commissions or other costs. Swap transactions generally do not involve delivery of securities, other underlying assets or principal. Accordingly, the risk of loss with respect to swap transactions is generally limited to the net amount of payments that the Fund is contractually obligated to make, or in the case of the counterparty defaulting, the net amount of payments that the Fund is contractually entitled to receive. Risks of loss may exceed amounts recognized on the Statement of Assets and Liabilities. If there is a default by the counterparty, the Fund may have contractual remedies pursuant to the agreements related to the transaction. The contracts are valued daily and unrealized appreciation or depreciation is recorded. Swap agreements are valued at the clearinghouse end of day prices as furnished by an independent pricing service. The pricing service takes into account such factors as swap curves, default probabilities, recent trades, recovery rates and other factors it deems relevant in determining valuations. Daily fluctuations in the value of the centrally cleared credit default contracts are recorded in variation margin in the Statement of Assets and Liabilities and recorded as unrealized gain or loss. The Fund accrues for the periodic payment and amortizes upfront payments, if any, on swap agreements on a daily basis with the net amount recorded as realized gains or losses in the Statement of Operations. Receipts and payments received or made as a result of a credit event or termination of the contract are also recognized as realized gains or losses in the Statement of Operations. Collateral, in the form of cash or securities, may be required to be held with the Fund’s custodian, or a third party, in connection with these agreements. Certain swap agreements areover-the-counter and the Fund is exposed to counterparty risk, which is the discounted net amount of payments owed to the Fund. This risk is partially mitigated by the Fund’s collateral posting requirements. As the swap increases in value to the Fund, the Fund receives collateral from the counterparty. Certain interest rate and credit default index swaps must be cleared through a clearinghouse or central counterparty.
Credit Default Swaps— A credit default swap is a swap agreement between two parties to exchange the credit risk of a particular issuer, basket of securities or reference entity. In a credit default swap transaction, a buyer pays periodic fees in return for payment by the seller which is contingent upon an adverse credit event occurring in the underlying issuer or reference entity. The seller collects periodic fees
41
Table of Contents
THRIVENT CORE FUNDS
NOTESTO FINANCIAL STATEMENTS
October 31, 2019
from the buyer and profits if the credit of the underlying issuer or reference entity remains stable or improves while the swap is outstanding, but the seller in a credit default swap contract would be required to pay the amount of credit loss, determined as specified in the agreement, to the buyer in the event of an adverse credit event in the reference entity. A buyer of a credit default swap is said to buy protection whereas a seller of a credit default swap is said to sell protection. The Funds may be either the protection seller or the protection buyer.
Certain Funds enter into credit default derivative contracts directly through credit default swaps (CDS) or through credit default swap indices (“CDX Indices”). CDX Indices are static pools of equally weighted credit default swaps referencing corporate bonds and/or loans designed to provide diversified credit exposure to these asset classes. Funds sell default protection and assume long-risk positions in individual credits or indices. Index positions are entered into to gain exposure to the corporate bond and/or loan markets in a cost-efficient and diversified structure. In the event that a position defaults, by going into bankruptcy and failing to pay interest or principal on
borrowed money, within any given CDX Index held, the maximum potential amount of future payments required would be equal to thepro-rata share of that position within the index based on the notional amount of the index. In the event of a default under a CDS contract the maximum potential amount of future payments would be the notional amount. For CDS, the default events could be bankruptcy and failing to pay interest or principal on borrowed money or a restructuring. A restructuring is a change in the underlying obligations which would include reduction in interest or principal, maturity extension and subordination to other obligations.
For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities.
The following table presents the gross and net information about liabilities subject to master netting arrangements, as presented in the Statement of Assets and Liabilities.
Gross Amounts Not Offset in the | ||||||||||||||||||||
Statement of Assets and Liabilities | ||||||||||||||||||||
Fund | Gross Amounts of Recognized Liabilities | Gross Amounts Offset | Net Amounts of Recognized Liabilities | Financial Instruments | Cash Collateral Pledged | Non-Cash Collateral Pledged(**) | Net Amount | |||||||||||||
Emerging Markets Debt Securities Lending | 3,415,005 | – | 3,415,005 | 3,328,862 | – | – | 86,143(^) | |||||||||||||
International Equity Securities Lending | 16,253,882 | – | 16,253,882 | 15,310,312 | – | – | 943,570(^) |
(**) | Excess of collateral pledged to the counterparty may not be shown for financial reporting purposes. |
(^) | Net securities lending amounts represent the net amount payable to the counterparty in the event of a default. |
Securities Lending— The Trust has entered into a Securities Lending Agreement (the “Agreement”) with Goldman Sachs Bank USA doing business as Goldman Sachs Agency Lending (“GSAL”) pursuant to which GSAL provides securities lending services. The Agreement authorizes GSAL to lend securities to authorized borrowers on behalf of the Funds. Pursuant to the Agreement, loaned securities are typically initially collateralized equal to at least 102% of the market value of U.S. securities and 105% of the market value ofnon-U.S. securities. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. Any additional collateral is adjusted and settled on the next business day. The Trust has the ability to recall the loans at any time and could do so in order to vote proxies or sell the loaned securities. All cash collateral received is invested in Thrivent Cash Management Trust. The Funds receive dividends and interest that would have been earned on the securities loaned while simultaneously seeking to earn income on the investment of cash collateral. Amounts earned on investments
in Thrivent Cash Management Trust, net of rebates, fees paid to GSAL for services provided and any other securities lending expenses, are included in affiliated income from securities loaned, net on the Statement of Operations. By investing any cash collateral it receives in these transactions, a Fund could realize additional gains or losses. If the borrower fails to return the securities or the invested collateral has declined in value, a Fund could lose money. Generally, in the event of borrower default, a Fund has the right to use the collateral to offset any losses incurred. However, in the event a Fund is delayed or prevented from exercising its right to dispose of the collateral, there may be a potential loss. Some of these losses may be indemnified by the lending agent.
As of October 31, 2019, the value of securities on loan is as follows:
Fund | Securities on Loan | |||
Emerging Markets Debt | $ | 3,328,862 | ||
International Equity | 15,310,312 |
42
Table of Contents
THRIVENT CORE FUNDS
NOTESTO FINANCIAL STATEMENTS
October 31, 2019
When-Issued and Delayed Delivery Transactions— The Funds may purchase or sell securities on a when-issued or delayed delivery basis. These transactions involve a commitment by the Funds to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. When delayed delivery purchases are outstanding, the Funds will designate liquid assets in an amount sufficient to meet the purchase price. When purchasing a security on a delayed delivery basis, the Funds assume the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and take such fluctuations into account when determining its net asset value. A Fund may dispose of a delayed delivery transaction after it is entered into, and may sell when-issued securities before they are delivered, which may result in a capital gain or loss. When a Fund has sold a security on a delayed delivery basis, a Fund does not participate in future gains and losses with respect to the security.
Repurchase Agreements— A Fund may engage in repurchase agreement transactions in pursuit of its investment objective. A repurchase agreement consists of a purchase and a simultaneous agreement to resell an investment for later delivery at an agreed upon price and rate of interest. The Funds use a third-party custodian to maintain the collateral. If the original seller of a security subject to a repurchase agreement fails to repurchase the security at the agreed upon time, a Fund could incur a loss due to a drop in the value of the security during the time it takes the Fund to either sell the security or take action to enforce the original seller’s agreement to repurchase the security. Also, if a defaulting original seller filed for bankruptcy or became insolvent, disposition of such security might be delayed by pending legal action. The Funds may only enter into repurchase agreements with banks and other recognized financial institutions such as broker/dealers that are found by the Adviser to be creditworthy. During the year ended October 31, 2019, the Funds did not engage in this type of investment.
Loan Commitments— Certain Funds may enter into loan commitments, which generally have interest rates which are reset daily, monthly, quarterly or semi-annually by reference to a base lending rate, plus a premium. These base rates are primarily the London-Interbank Offered Rate (“LIBOR”), and secondarily the prime rate offered by one or more major United States banks (the “Prime Rate”) and the certificate of deposit (“CD”) rate or other base lending rates used by commercial lenders. Loan commitments often require prepayments from excess cash flows or allow the borrower to repay at its election. The rate at which the borrower repays
cannot be predicted with accuracy. Therefore, the remaining maturity may be considerably less than the stated maturity shown in the Schedule of Investments.
All or a portion of these loan commitments may be unfunded. A Fund is obligated to fund these commitments at the borrower’s discretion; therefore, the Fund must have funds sufficient to cover its contractual obligation. These unfunded loan commitments, which are marked to market daily, are presented in the Schedule of Investments. During the year ended October 31, 2019, none of the Funds engaged in these types of investments.
Loss Contingencies— In the event of adversary action proceedings where a Fund is a defendant, a loss contingency will not be accrued as a liability until the amount of potential damages and the likelihood of loss can be reasonably estimated.
Accounting Estimates— The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from these estimates.
Amortization of Offering Costs— The offering costs referenced in the Statement of Operations for each of International Equity Fund and Low Volatility Equity Fund are costs incurred by the Fund in order to establish it for sale. These costs generally include any legal costs associated with registering the Fund. These costs are amortized over a period of 12 months from inception.
Recent Accounting Pronouncements —
Premium Amortization on Purchased Callable Debt Securities
In March 2017, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU)No. 2017-08 Premium Amortization on Purchased Callable Debt Securities. ASUNo. 2017-08 which updates the accounting standards to shorten the amortization period for certain purchased callable debt securities, held at a premium, from the maturity date to the earliest call date. The update applies to securities with explicit,non-contingent call features that are callable at fixed prices and on preset dates. The amendments are effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. Early adoption of these amendments is allowed. As such management has adopted the amendments as of the beginning of this fiscal period. Management has evaluated the implications of this guidance and the impact to the financial statement amounts and footnote disclosures and has determined there are no material impacts.
43
Table of Contents
THRIVENT CORE FUNDS
NOTESTO FINANCIAL STATEMENTS
October 31, 2019
Fair Value Measurement (Topic 820)
In August 2018, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU)No. 2018-13 Fair Value Measurement (Topic 820). ASUNo. 2018-13 updates the disclosure requirements on fair value measurements by modifying or removing certain disclosures
and adding certain new disclosures. The amendments are effective for fiscal years, and the interim periods within those fiscal years, beginning after December 15, 2019. At this time, management is evaluating the implications of this guidance and the impact it will have to financial statement amounts and footnote disclosures.
In-kind Contributions— During March 2018, the Thrivent Core Emerging Markets Debt Fund received anin-kind contribution which consisted of $124,931,300 in securities. As a result of thein-kind contribution, Thrivent Core Emerging Markets Debt Fund issued 13,123,036 shares at a $9.52/share net asset value. Thein-kind amounts and shares issued are included in the Capital Stock Transactions of the Statement of Changes in Net Assets for Thrivent Core Emerging Markets Debt Fund. Thesein-kind transactions were conducted at market value. The transactions were as follows:
Contributing Fund/Portfolio | Shares Issued | In-kind Amount | ||||||
Balanced Income Plus Fund | 1,120,664 | $ | 10,668,722 | |||||
Balanced Income Plus Portfolio | 1,298,780 | $ | 12,364,385 | |||||
Diversified Income Plus Fund | 1,577,662 | $ | 15,019,338 | |||||
Diversified Income Plus Portfolio | 1,289,457 | $ | 12,275,624 | |||||
Growth and Income Plus Fund | 123,308 | $ | 1,173,896 | |||||
Growth and Income Plus Portfolio | 140,246 | $ | 1,335,143 | |||||
Opportunity Income Plus Fund | 6,361,609 | $ | 60,562,521 | |||||
Opportunity Income Plus Portfolio | 1,211,310 | $ | 11,531,671 | |||||
|
|
|
| |||||
Totals | 13,123,036 | $ | 124,931,300 |
Other— For financial statement purposes, investment security transactions are accounted for on the trade date. Realized gains or losses on sales are determined on a specific cost identification basis, which is the same basis for federal income tax purposes.
(3) FEES AND COMPENSATION PAID TO AFFILIATES
Fees— The Trust has entered into an administration and accounting services agreement with the Adviser pursuant to which the Adviser provides certain administrative and accounting personnel and services. The Fund pays an annual fixed fee plus percentage of net assets to the Adviser. These fees are accrued daily and paid monthly. For the year ended October 31, 2019, the Adviser received aggregate fees for administrative and accounting personnel and services of $753,471 from the Trust.
The Trust has entered into an agreement with Thrivent Financial Investor Services Inc. (“Thrivent Investor Services”) to provide transfer agency services necessary to the Trust. These fees are accrued daily and paid monthly. For the year ended, October 31, 2019, Thrivent Investor Services received $120,000 for transfer agent services from the Trust.
Each Trustee who is not affiliated with the Adviser receives an annual fee from the Trust for services as a Trustee and is eligible to participate in a deferred compensation plan with respect to these fees. Participants in the plan may designate
their deferred Trustee’s fees as if invested in a series of the Thrivent Mutual Funds. Thrivent Money Market Fund is not eligible for the deferral plan. The value of each participant’s deferred compensation account will increase or decrease as if it were invested in shares of a particular series of Thrivent Mutual Funds. Each participant’s fees as well as the change in value are included in Trustee fees in the Statement of Operations. The deferred fees remain in the appropriate Fund until distribution in accordance with the plan. The Payable for trustee deferred compensation, located in the Statement of Assets and Liabilities, is unsecured.
Those trustees not participating in the above plan received $28,273 in fees from the Trust during the year ended October 31, 2019. In addition, the Trust reimbursed unaffiliated Trustees for reasonable expenses incurred in relation to attendance at the meetings and industry conferences.
Certain officers andnon-independent Trustees of the Trust are officers and directors of Thrivent Asset Mgt., Thrivent Investor Services and Thrivent Distributors, LLC.; however they receive no compensation from the Trust. Affiliated employees and board consultants are reimbursed for reasonable expenses incurred in relation to board meeting attendance.
Acquired Fund Fees and Expenses— The Funds may invest in other mutual funds. Fees and expenses of those underlying funds are not included in the Funds’ expense ratio. The Funds
44
Table of Contents
THRIVENT CORE FUNDS
NOTESTO FINANCIAL STATEMENTS
October 31, 2019
indirectly bear their proportionate share of the annualized weighted average expense ratio for the underlying funds in which it invests.
Interfund Lending— The Funds may participate in an interfund lending program (the “Program”) pursuant to an exemptive order issued by the SEC. The Program permits the Funds to borrow cash for temporary purposes from Thrivent Core Short-Term Reserve Fund. Interest is charged to each participating Fund based on its borrowings at the average of the repo rate and bank loan rate, each as defined in the Program. Each borrowing made under the Program matures no later than seven calendar days after the date of the borrowing, and each borrowing must be securitized by a pledge of segregated collateral with a market value at least equal to 102% of the outstanding principal value of the loan. For the year ended October 31, 2019, no Funds borrowed cash through the interfund lending program.
(4) FEDERAL INCOME TAX INFORMATION
Distributions are based on amounts calculated in accordance with applicable federal income tax regulations, which may differ from GAAP. The differences between book-basis andtax-basis distributable earnings are primarily attributable to timing differences in recognizing certain gains and losses on investment transactions, such as wash sales and treatment of passive foreign investment companies. At the end of the fiscal year, reclassifications between net asset accounts are made for differences that are permanent in nature. These
permanent differences primarily relate to the tax treatment of organizational fees.
On the Statement of Assets and Liabilities, as a result of permanentbook-to-tax differences, reclassification adjustments were made as follows [Increase/(Decrease)]:
Portfolio | Distributable earnings/ (accumulated loss) | Capital Stock | ||||||||||
International Equity | $ | 46 | $ | (46 | ) | |||||||
Low Volatility Equity | 1,663 | (1,663 | ) |
At October 31, 2019, the components of distributable earnings on a tax basis were as follows:
Fund | Undistributed Ordinary Incomea | Undistributed Long- Term Capital Gain | ||||||||||
Emerging Markets Debt | $ | 14,220 | | $ | – | |||||||
International Equity | 29,929,738 | – | ||||||||||
Low Volatility Equity | 27,721,696 | 21,481,722 | ||||||||||
Short-Term Reserve | 60,826 | – |
(a) Undistributed Ordinary Income includes income derived from Short-Term Capital Gains.
At October 31, 2019, the following Funds had accumulated net realized capital loss carryovers as follows:
Fund | Capital Loss Carryover | Expiration | ||||||||||
Emerging Markets Debt | $ | 25,684,724 | Unlimited | |||||||||
International Equity | 66,516,943 | Unlimited |
The tax character of distributions paid during the years ended October 31, 2019 and 2018 was as follows:
Ordinary Income a | Long-Term Capital Gain | |||||||||||||||
Fund | 10/31/2019 | 10/31/2018 | 10/31/2019 | 10/31/2018 | ||||||||||||
Emerging Markets Debt | $ | 35,639,665 | $ | 26,395,545 | $ | – | $ | – | ||||||||
International Equity | 28,842,752 | 1,001,317 | – | – | ||||||||||||
Low Volatility Equity | 33,567,673 | – | 55,088 | – | ||||||||||||
Short-Term Reserve | 133,591,869 | 99,124,770 | – | 60,500 |
(a) | Ordinary income includes income derived from short-term capital gains. |
(5) SECURITY TRANSACTIONS
Purchases and Sales of Investment Securities— For the year ended October 31, 2019, the cost of purchases and the proceeds from sales of investment securities, other than U.S. Government and short-term securities, were as follows:
In thousands | ||||||||
Fund | Purchases | Sales | ||||||
Emerging Markets Debt | $ | 344,455 | $ | 241,169 | ||||
International Equity | 774,741 | 788,413 | ||||||
Low Volatility Equity | 597,002 | 591,021 | ||||||
Short-Term Reserve | 1,852,951 | 1,381,863 |
Purchases and sales of U.S. Government securities were:
In thousands | ||||||||
Fund | Purchases | Sales | ||||||
Short-Term Reserve | $ | 342,165 | $ | 19,697 |
(6) SECURITY TRANSACTIONS WITH AFFILIATED FUNDS
The Funds are permitted to purchase or sell securities from or to certain other Funds, or affiliated portfolios under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of securities by a Fund from or to another fund or portfolio that is or could be considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule 17a-7 of the 1940 Act. Further, as defined under the procedures, each transaction is executed at the current market price.
45
Table of Contents
THRIVENT CORE FUNDS
NOTESTO FINANCIAL STATEMENTS
October 31, 2019
During the year ended October 31, 2019 no Funds engaged in these type of transactions.
(7) RELATED PARTY TRANSACTIONS
As of October 31, 2019, related parties held 100% of the outstanding shares of all Thrivent Core Funds. Subscription and redemption activity by concentrated accounts may have a significant effect on the operation of the Funds. In the case of a large redemption, the Funds may be forced to sell investments at inopportune times, resulting in additional losses for the Funds.
(8) SUBSEQUENT EVENTS
The Adviser of the Funds has evaluated the impact of subsequent events through the date the financial statements were issued, and, except as already included in the Notes to Financial Statements, has determined that no additional items require disclosure.
(9) MARKET RISK
Over time, securities markets generally tend to move in cycles with periods when security prices rise and periods when security prices decline. The value of a Fund’s investments may move with these cycles and, in some instances, increase or decrease more than the applicable market(s) as measured by the Fund’s benchmark index(es). The securities markets may also decline because of factors that affect a particular industry. As of October 31, 2019, the following Funds had portfolio concentration greater than 25% in certain sectors.
Fund | Sector | % of Total Net Assets | ||||
Core Emerging Market Debt | Foreign Government | 92.2 | % | |||
Core Short-Term Reserve | Financials | 43.5 | % |
(10) SIGNIFICANT RISKS
Credit Risk— Credit risk is the risk that an issuer of a debt security to which the Fund is exposed may no longer be able or willing to pay its debt. As a result of such an event, the debt security may decline in price and affect the value of the Fund.
Derivatives Risk— The use of derivatives (such as futures and credit default swaps) involves additional risks and transaction costs which could leave the Fund in a worse position than if it had not used these instruments. The use of derivatives can lead to losses because of adverse movements in the price or value of the underlying asset, index or rate, which may be magnified by certain features of the contract. Changes in the value of the derivative may not correlate as intended with the underlying asset, rate or index, and the Fund could lose
much more than the original amount invested. Derivatives can be highly volatile, illiquid and difficult to value. Certain derivatives may also be subject to counterparty risk, which is that the other party in the transaction will not fulfill its contractual obligations due to its financial condition, market events, or other reasons.
Emerging Markets Risk— The economic and political structures of developing countries, in most cases, do not compare favorably with the U.S. or other developed countries in terms of wealth and stability, and their financial markets often lack liquidity. Fund performance will likely be negatively affected by portfolio exposure to countries and corporations domiciled in or with revenue exposures to countries and corporations domiciled in or with revenue exposures to countries in the midst of, among other things, hyperinflation, currency devaluation, trade disagreements, sudden political upheaval, or interventionist government policies. Significant buying or selling actions by a few major investors may also heighten the volatility of emerging markets. These factors make investing in emerging market countries significantly riskier than in other countries, and events in any one country could cause the Fund’s share price to decline.
Equity Security Risk— Equity securities held by the Fund may decline significantly in price, sometimes rapidly or unpredictably, over short or extended periods of time, and such declines may occur because of declines in the equity market as a whole, or because of declines in only a particular country, company, industry, or sector of the market. From time to time, the Fund may invest a significant portion of its assets in companies in one or more related sectors or industries which would make the Fund more vulnerable to adverse developments affecting such sectors or industries. Equity securities are generally more volatile than most debt securities.
ETF Risk— An ETF is subject to the risks of the underlying investments that it holds. In addition, for index-based ETFs, the performance of an ETF may diverge from the performance of such index (commonly known as tracking error). ETFs are subject to fees and expenses (like management fees and operating expenses) that do not apply to an index, and the Fund will indirectly bear its proportionate share of any such fees and expenses paid by the ETFs in which it invests.
Foreign Currency Risk— The value of a foreign currency may decline against the U.S. dollar, which would reduce the dollar value of securities denominated in that currency. The overall impact of such a decline of foreign currency can be significant, unpredictable, and long lasting, depending on the currencies represented, how each one appreciates or depreciates in relation to the U.S. dollar, and whether currency positions are hedged. Under normal conditions, the Fund does not engage in extensive foreign currency hedging
46
Table of Contents
THRIVENT CORE FUNDS
NOTESTO FINANCIAL STATEMENTS
October 31, 2019
programs. Further, exchange rate movements are volatile, and it is not possible to effectively hedge the currency risks of many developing countries.
Foreign Securities Risk— Foreign securities generally carry more risk and are more volatile than their domestic counterparts, in part because of potential for higher political and economic risks, lack of reliable information and fluctuations in currency exchange rates where investments are denominated in currencies other than the U.S. dollar. The Fund’s investment in any country could be subject to governmental actions such as capital or currency controls, nationalizing a company or industry, expropriating assets, or imposing punitive taxes that would have an adverse effect on security prices, and impair the Fund’s ability to repatriate capital or income. Foreign securities may also be more difficult to resell than comparable U.S. securities because the markets for foreign securities are often less liquid. Even when a foreign security increases in price in its local currency, the appreciation may be diluted by adverse changes in exchange rates when the security’s value is converted to U.S. dollars. Foreign withholding taxes also may apply and errors and delays may occur in the settlement process for foreign securities.
Government Securities Risk— The Fund invests in securities issued or guaranteed by the U.S. government or its agencies and instrumentalities (such as Federal Home Loan Bank, Ginnie Mae, Fannie Mae or Freddie Mac securities). Securities issued or guaranteed by Federal Home Loan Banks, Ginnie Mae, Fannie Mae or Freddie Mac are not issued directly by the U.S. government. Ginnie Mae is a wholly owned U.S. corporation that is authorized to guarantee, with the full faith and credit of the U.S. government, the timely payment of principal and interest of its securities. By contrast, securities issued or guaranteed by U.S. government-related organizations such as Federal Home Loan Banks, Fannie Mae and Freddie Mac are not backed by the full faith and credit of the U.S. government. No assurance can be given that the U.S. government would provide financial support to its agencies and instrumentalities if not required to do so by law. In addition, the value of U.S. Government securities may be affected by changes in the credit rating of the U.S. government.
High Yield Risk— High yield securities – commonly known as “junk bonds” – to which the Fund is exposed are considered predominantly speculative with respect to the issuer’s continuing ability to make principal and interest payments. If the issuer of the security is in default with respect to interest or principal payments, the value of the Fund may be negatively affected. High yield securities generally have a less liquid resale market.
Interest Rate Risk— Interest rate risk is the risk that prices of debt securities decline in value when interest rates rise for
debt securities that pay a fixed rate of interest. Debt securities with longer durations (a measure of price sensitivity of a bond or bond fund to changes in interest rates) or maturities (i.e., the amount of time until a bond’s issuer must pay its principal or face value) tend to be more sensitive to changes in interest rates than debt securities with shorter durations or maturities. Changes by the Federal Reserve to monetary policies could affect interest rates and the value of some securities.
Investment Adviser Risk— The Fund is actively managed and the success of its investment strategy depends significantly on the skills of the adviser in assessing the potential of the investments in which the Fund invests. This assessment of investments may prove incorrect, resulting in losses or poor performance, even in rising markets.
Issuer Risk— Issuer risk is the possibility that factors specific to an issuer to which the Fund is exposed will affect the market prices of the issuer’s securities and therefore the value of the Fund.
Large Cap Risk—Large-sized companies may be unable to respond quickly to new competitive challenges such as changes in technology. They may also not be able to attain the high growth rate of successful smaller companies, especially during extended periods of economic expansion.
Liquidity Risk— Liquidity is the ability to sell a security relatively quickly for a price that most closely reflects the actual value of the security. Dealer inventories of bonds are at or near historic lows in relation to market size, which has the potential to decrease liquidity and increase price volatility in the fixed income markets, particularly during periods of economic or market stress. As a result of this decreased liquidity, the Fund may have to accept a lower price to sell a security, sell other securities to raise cash, or give up an investment opportunity, any of which could have a negative effect on performance.
Market Risk— Over time, securities markets generally tend to move in cycles with periods when security prices rise and periods when security prices decline. The value of the Fund’s investments may move with these cycles and, in some instances, increase or decrease more than the applicable market(s) as measured by the Fund’s benchmark index(es). The securities markets may also decline because of factors that affect a particular industry.
Mid Cap Risk—Medium-sized companies often have greater price volatility, lower trading volume, and less liquidity than larger, more-established companies. These companies tend to have smaller revenues, narrower product lines, less
47
Table of Contents
THRIVENT CORE FUNDS
NOTESTO FINANCIAL STATEMENTS
October 31, 2019
management depth and experience, smaller shares of their product or service markets, fewer financial resources, and less competitive strength than larger companies.
Mortgage-Backed and Other Asset-Backed Securities Risk
— The value of mortgage-backed and asset-backed securities will be influenced by the factors affecting the housing market and the assets underlying such securities. As a result, during periods of declining asset value, difficult or frozen credit markets, swings in interest rates, or deteriorating economic conditions, mortgage-related and asset-backed securities may decline in value, face valuation difficulties, become more volatile and/or become illiquid. In addition, both mortgage-backed and asset-backed securities are sensitive to changes in the repayment patterns of the underlying security. If the principal payment on the underlying asset is repaid faster or slower than the holder of the asset-backed or mortgage-backed security anticipates, the price of the security may fall, particularly if the holder must reinvest the repaid principal at lower rates or must continue to hold the security when interest rates rise. This effect may cause the value of the Fund to decline and reduce the overall return of the Fund.
Non-Diversified Risk— The Fund is not “diversified” within the meaning of the 1940 Act. That means the Fund may invest a greater percentage of its assets in the securities of any single issuer compared to other funds. Anon-diversified portfolio is generally more susceptible than a diversified portfolio to the risk that events or developments affecting a particular issuer or industry will significantly affect the Fund’s performance.
Portfolio Turnover Rate Risk— The Fund may engage in active and frequent trading of portfolio securities in implementing its principal investment strategies. A high rate of portfolio turnover (100% or more) involves correspondingly greater expenses which are borne by the Fund and its shareholders and may also result in short-term capital gains taxable to shareholders.
Prepayment Risk— Mortgage-backed and asset-backed securities are sensitive to changes in the repayment patterns of the underlying securities, including the conversion, prepayment or redemption of the investments. If the principal payment on the underlying asset is repaid faster than the holder of the mortgage-backed or asset-backed security anticipates, the price of the security may fall, especially if the holder must reinvest the repaid principal at lower rates. When people start prepaying the principal on the collateral underlying a collateralized mortgage obligation (“CMOs”) (such as mortgages underlying a CMO), for example, some classes may retire substantially earlier than the stated maturity or final distribution dates.
Quantitative Investing Risk— Quantitative Investing Risk is the risk that securities selected according to a quantitative
analysis methodology can perform differently from the market as a whole based on the model and the factors used in the analysis, the weight placed on each factor and changes in the factor’s historical trends. Such models are based on assumptions of these and other market factors, and the models may not take into account certain factors, or perform as intended, and may result in a decline in the value of the Fund’s portfolio.
Redemption and Lending Risk— The Fund participates in an interfund lending program (the “Program”) which enables a participating fund to lend cash directly to and borrow money from other participating funds for temporary purposes. The other participants in the Program are other mutual funds advised by the Adviser and its affiliates. Under the Program, all loans will be made by the Fund. There is risk that a borrowing fund could be unable to repay a loan when due, and a delay in repayment to the Fund could result in a lost opportunity and increase risk of the Fund experiencing a loss when meeting redemption requests if it is forced to sell securities at unfavorable prices in an effort to generate sufficient cash to pay redeeming shareholders.
Redemption and Share Ownership Risk— The Fund may need to sell portfolio securities to meet redemption requests. The Fund could experience a loss when selling portfolio securities to meet redemption requests if there is (i) significant redemption activity by shareholders, including, for example, when a single investor or few large investors make a significant redemption of Fund shares, (ii) a disruption in the normal operation of the markets in which the Fund buys and sells portfolio securities or (iii) the inability of the Fund to sell portfolio securities because such securities are illiquid. In such events, the Fund could be forced to sell securities at unfavorable prices in an effort to generate sufficient cash to pay redeeming shareholders. A majority of the Fund’s shares may be held by other mutual funds advised by the Adviser and its affiliates. It also is possible that some or all of these other mutual funds will decide to purchase or redeem shares of the Fund simultaneously or within a short period of time of one another in order to execute their asset allocation strategies. Accordingly, there is a risk that the share trading activities of these shareholders could disrupt the Fund’s investment strategies which could have adverse consequences for the Fund and other shareholders (e.g., by requiring the Fund to sell investments at inopportune times or causing the Fund to maintain larger-than-expected cash positions pending acquisition of investments).
Small Cap Risk— Smaller, less seasoned companies often have greater price volatility, lower trading volume, and less liquidity than larger, more established companies. These companies tend to have small revenues, narrower product lines, less management depth and experience, small shares of their product or service markets, fewer financial resources,
48
Table of Contents
THRIVENT CORE FUNDS
NOTESTO FINANCIAL STATEMENTS
October 31, 2019
and less competitive strength than larger companies. Such companies seldom pay significant dividends that could soften the impact of a falling market on returns.
Sovereign Debt Risk— Sovereign debt securities are issued or guaranteed by foreign governmental entities. These investments are subject to the risk that a governmental entity may delay or refuse to pay interest or repay principal on its sovereign debt, due, for example, to cash flow problems, insufficient foreign currency reserves, political considerations, the relative size of the governmental entity’s debt position in relation to the economy or the failure to put in place economic reforms required by the International Monetary Fund or other multilateral agencies. If a governmental entity defaults, it may ask for more time in which to pay or for further loans. There is no legal process for collecting sovereign debts that a government does not pay nor are there bankruptcy proceedings through which all or part of the sovereign debt that a governmental entity has not repaid may be collected.
49
Table of Contents
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD *
Income From Investment Operations | Less Distributions From | |||||||||||||||||||||||
Net Asset Value, Beginning of Period | Net Investment Income/(Loss) | Net Realized and Unrealized Gain/(Loss) on Investments(a) | Total from Investment Operations | Net Investment Income | Net Realized Gain on Investments | |||||||||||||||||||
EMERGING MARKETS DEBT FUND | ||||||||||||||||||||||||
Year Ended 10/31/2019 | $ | 9.04 | $ | 0.44 | $ | 0.79 | $ | 1.23 | $ | (0.44 | ) | $ | – | |||||||||||
Year Ended 10/31/2018 | 9.86 | 0.40 | (0.82 | ) | (0.42 | ) | (0.40 | ) | – | |||||||||||||||
Year Ended 10/31/2017(c) | 10.00 | 0.05 | �� | (0.14 | ) | (0.09 | ) | (0.05 | ) | – | ||||||||||||||
INTERNATIONAL EQUITY FUND | ||||||||||||||||||||||||
Year Ended 10/31/2019 | 9.28 | 0.33 | 0.37 | 0.70 | (0.30 | ) | – | |||||||||||||||||
Year Ended 10/31/2018(d) | 10.00 | 0.31 | (1.02 | ) | (0.71 | ) | (0.01 | ) | – | |||||||||||||||
LOW VOLATILITY EQUITY FUND | ||||||||||||||||||||||||
Year Ended 10/31/2019 | 10.54 | 0.24 | 1.72 | 1.96 | (0.17 | ) | (0.23 | ) | ||||||||||||||||
Year Ended 10/31/2018(e) | 10.00 | 0.13 | 0.41 | 0.54 | – | – | ||||||||||||||||||
SHORT-TERM RESERVE FUND | ||||||||||||||||||||||||
Year Ended 10/31/2019 | 10.00 | 0.26 | 0.00 | 0.26 | (0.26 | ) | – | |||||||||||||||||
Year Ended 10/31/2018 | 10.00 | 0.20 | 0.00 | 0.20 | (0.20 | ) | 0.00 | |||||||||||||||||
Year Ended 10/31/2017 | 10.00 | 0.11 | 0.00 | 0.11 | (0.11 | ) | – | |||||||||||||||||
Year Ended 10/31/2016(f) | 10.00 | 0.03 | 0.00 | 0.03 | (0.03 | ) | – |
(a) | The amount shown may not correlate with the change in aggregate gains and losses of portfolio securities due to the timing of sales and redemptions of portfolio shares. |
(b) | Total investment return assumes dividend reinvestment and does not reflect any deduction for applicable sales charges. Not annualized for periods less than one year. |
(c) | Since inception, September 5, 2017. |
(d) | Since inception, November 14, 2017. |
(e) | Since inception, February 28, 2018. |
(f) | Since inception, May 2, 2016. |
* | All per share amounts have been rounded to the nearest cent. |
** | Computed on an annualized basis for periods less than one year |
The accompanying Notes to Financial Statements are an integral part of this statement.
50
Table of Contents
THRIVENT CORE FUNDS
FINANCIAL HIGHLIGHTS –CONTINUED
RATIOS/SUPPLEMENTAL DATA
Ratio to Average Net Assets** | Ratio to Average Net Assets Before Expenses Waived, Credited or Acquired Fund Fees and Expenses** | |||||||||||||||||||||||||||||||||
Total | Net Asset Value, End of Period | Total Return(b) | Net Assets, End of Period (in millions) | Expenses | Net Investment Income/(Loss) | Expenses | Net Investment Income/(Loss) | Portfolio Turnover Rate | ||||||||||||||||||||||||||
$ | (0.44 | ) | $ | 9.83 | 13.84% | $ | 849.7 | 0.04 | % | 4.63 | % | 0.04 | % | 4.63 | % | 32 | % | |||||||||||||||||
(0.40 | ) | 9.04 | (4.35)% | 684.2 | 0.06 | % | 4.38 | % | 0.06 | % | 4.38 | % | 13 | % | ||||||||||||||||||||
(0.05 | ) | 9.86 | (0.94)% | 421.8 | 0.21 | % | 3.48 | % | 0.21 | % | 3.48 | % | 0 | % | ||||||||||||||||||||
(0.30 | ) | 9.68 | 7.99% | 830.8 | 0.06 | % | 3.54 | % | 0.06 | % | 3.54 | % | 89 | % | ||||||||||||||||||||
(0.01 | ) | 9.28 | (7.08)% | 798.2 | 0.08 | % | 3.42 | % | 0.08 | % | 3.42 | % | 73 | % | ||||||||||||||||||||
(0.40 | ) | 12.10 | 19.42% | 1,028.5 | 0.04 | % | 2.19 | % | 0.04 | % | 2.19 | % | 62 | % | ||||||||||||||||||||
– | 10.54 | 5.40% | 873.7 | 0.06 | % | 1.88 | % | 0.06 | % | 1.88 | % | 40 | % | |||||||||||||||||||||
(0.26 | ) | 10.00 | 2.59% | 5,884.9 | 0.01 | % | 2.55 | % | 0.01 | % | 2.55 | % | 135 | % | ||||||||||||||||||||
(0.20 | ) | 10.00 | 2.01% | 4,854.5 | 0.01 | % | 1.99 | % | 0.01 | % | 1.99 | % | 213 | % | ||||||||||||||||||||
(0.11 | ) | 10.00 | 1.12% | 4,988.2 | 0.01 | % | 1.11 | % | 0.01 | % | 1.11 | % | 143 | % | ||||||||||||||||||||
(0.03 | ) | 10.00 | 0.32% | 4,762.5 | 0.01 | % | 0.67 | % | 0.01 | % | 0.67 | % | 31 | % |
The accompanying Notes to Financial Statements are an integral part of this statement.
51
Table of Contents
(Unaudited)
PROXY VOTING
The policies and procedures that the Trust uses to determine how to vote proxies relating to portfolio securities are attached to the Trust’s Statement of Additional Information. The Trust files a report of how it voted proxies relating to portfolio securities on FormN-PX with the SEC. You may request a free copy of the Statement of Additional Information or the report of how the Trust voted proxies relating to portfolio securities during the most recent12-month period ended June 29 by calling800-847-4836. You also may review the Statement of Additional Information or the report of how the Trust voted proxies relating to portfolio securities during the most recent12-month period ended June 29 at SEC.gov.
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS
Through April 2019, the Trust filed its Schedule of Investments on FormN-Q with the SEC for the first and third quarters of each fiscal year. Beginning in April 2019, the Trust will no longer file FormN-Q and will begin filing FormN-PORT with the SEC. Part F of each Fund’sN-PORT filing for the first and third fiscal quarters will include the complete schedule of investments, which were previously filed on FormN-Q. Thrivent Money Market Fund is not included as part of FormN-PORT. The Trust’s most recent Schedule of Investments can be found at ThriventFunds.com or SEC.gov. You also may review and copy the FormsN-PORT-EX andN-Q for the Trust at the SEC’s Public Reference Room in Washington, DC. You may get information about the operation of the Public Reference Room by calling800-SEC-0330.
SHAREHOLDER NOTIFICATION OF FEDERAL TAX INFORMATION
Pursuant to IRC 852(b)(3) of the Internal Revenue Code, Core Low Volatility Equity Fund hereby designates $55,088 as long-term capital gains distributed during the year ended October 31, 2019, or if subsequently determined to be different, the net capital gain of such year.
Core Low Volatility Equity Fund designates 36% of dividends declared from net investment income as dividends qualifying for the 70% dividends received deduction for corporations and 37% as qualified dividend income for individuals under the Jobs and Growth Tax Relief Reconciliation Act of 2003 for the tax period ending October 31, 2019.
Core International Equity Fund designates 94% of dividends declared from net investment income as qualified dividend income for individuals under the Jobs and Growth Tax Relief Reconciliation Act of 2003 for the tax period ending October 31, 2019.
52
Table of Contents
The following table provides information about the Trustees and Officers of the Trust. The Board is responsible for the management and supervision of the Funds’ business affairs and for exercising all powers except those reserved to the shareholders. Each Trustee oversees each of four series of the Trust and also serves as:
• | Trustee of Thrivent Mutual Funds, a registered investment company consisting of 23 funds that offer Class A and Class S shares. |
• | Director of Thrivent Series Fund, Inc., a registered investment company consisting of 29 funds that serve as underlying funds for variable contracts issued by Thrivent Financial and separate accounts of insurance companies not affiliated with Thrivent Financial. |
• | Trustee of Thrivent Cash Management Trust, a registered investment company consisting of one fund that serves as a cash collateral fund for a securities lending program sponsored by Thrivent Financial. |
David Royal also serves as Trustee of Thrivent Church Loan and Income Fund, aclosed-end registered investment company for which the Adviser serves as investment adviser. None of the other Trustees serves on the board of Thrivent Church Loan and Income Fund.
The Trust, Thrivent Mutual Funds, Thrivent Series Fund, Inc., Thrivent Cash Management Trust, and Thrivent Church Loan and Income Fund are referred to herein as the “Fund Complex.” The Statement of Additional Information includes additional information about the Trustees and is available, without charge, by calling800-847-4836.
Interested Trustees (1)(2)(3)(4)
Name (Year of Birth) | Principal Occupation(s) and Directorships of Public Companies and Other Investment Companies During the Past Five Years | |
David S. Royal (1971) | Senior Vice President, Chief Investment Officer, Thrivent Financial since 2017; VP, President, Mutual Funds, Thrivent Financial from 2015 to 2017; Vice President and Deputy General Counsel, Thrivent Financial from 2006 to 2015. Currently, Director of Children’s Cancer Research Fund and Board member of Twin Bridge Capital Partners; Director of Fairview Hospital Foundation until 2017. | |
Russell W. Swansen (1957) | Retired; Senior Vice President and Chief Investment Officer, Thrivent Financial from 2003 to 2017. Board member of Twin Bridge Capital Partners, a registered investment advisory firm, since 2005. | |
Independent Trustees (2)(3)(4)(5) | ||
Name (Year of Birth) Year Elected | Principal Occupation(s) and Directorships of Public Companies and Other Investment Companies During the Past Five Years | |
Janice B. Case (1952) 2016 | Retired. Independent Trustee of North American Electric Reliability Corporation (the electric reliability organization (“ERD”) for North America) since 2008. | |
Robert J. Chersi (1961) | Founder of Chersi Services LLC (consulting firm) since 2014; Executive Director of Center for Global Governance, Reporting & Regulation and Adjunct Professor of Finance and Economics at Pace University since 2013; Helpful Executive in Reach in the Department of Accounting & Information Systems at Rutgers University since 2013. Director and member of the Audit and Risk Oversight Committees of E*TRADE Financial Corporation and Director of E*TRADE Bank since 2019; Lead Independent Director since 2019 and Director and Audit Committee Chair at Brightsphere Investment Group plc since 2016. | |
Marc S. Joseph (1960) 2016 | Managing Director of Granite Ridge LLP (consulting and advisory firm) since 2009; Managing Director of Triangle Crest (private investing and consulting firm) since 2004. | |
Paul R. Laubscher (1956) 2016 | Portfolio Manager for U.S. private real estate and private equity portfolios of IBM Retirement Funds. | |
James A. Nussle (1960) 2016 | President and Chief Executive Officer of Credit Union National Association since September 2014; President and Chief Operating Officer of Growth Energy (trade association) from 2010 through August 2014; Director of Portfolio Recovery Associates (PRAA) since 2010; CEO of The Nussle Group LLC (consulting firm) since 2009. Advisory Board member of AVISTA Capital Partners (private equity firm) from 2010 to 2015. |
53
Table of Contents
BOARDOF TRUSTEESAND OFFICERS
Independent Trustees (2)(3)(4)(5)
Name (Year of Birth) | Principal Occupation(s) and Directorships of Public Companies and Other Investment Companies During the Past Five Years | |
Verne O. Sedlacek (1954) 2017 | Chief Executive Officer of E&F Advisors LLC (consulting) since 2015; President & Chief Executive Officer of the Commonfund from 2003 to 2015. Trustee of Valparaiso University since 2015; Trustee of Museum of American Finance since 2015; Chairman of the Board of Directors of AGB Institutional Strategies from 2016 to 2019; Director of Association of Governing Boards of Universities and Colleges from 2007 to 2019. | |
Constance L. Souders (1950) 2016 | Retired. |
54
Table of Contents
BOARDOF TRUSTEESAND OFFICERS
Executive Officers (2)(4)
Name (Year of Birth) | Principal Occupation(s) During the Past Five Years | |
David S. Royal (1971) Trustee, President and Chief Investment Officer | Senior Vice President, Chief Investment Officer, Thrivent Financial since 2017; VP, President, Mutual Funds, Thrivent Financial from 2015 to 2017; Vice President and Deputy General Counsel, Thrivent Financial from 2006 to 2015. | |
Gerard V. Vaillancourt (1967) Treasurer and Principal Accounting Officer | Vice President and Mutual Funds Chief Financial Officer, Thrivent Financial since 2017; Vice President, Mutual Fund Accounting, Thrivent Financial from 2006 to 2017. | |
Michael W. Kremenak (1978) Secretary and Chief Legal Officer | Vice President, Thrivent Financial since 2015; Senior Counsel, Thrivent Financial from 2013 to 2015. | |
Edward S. Dryden (1965) Chief Compliance Officer | Vice President, Chief Compliance Officer - Thrivent Funds, Thrivent Financial since 2018; Director, Chief Compliance Officer - Thrivent Funds, Thrivent Financial from 2010 to 2018. | |
Monica L. Kleve (1969) Vice President | Vice President, Investment Operations, Thrivent Financial since 2019; Director, Investments Systems and Solutions, Thrivent Financial since 2002. | |
Kathleen M. Koelling (1977) Privacy Officer (6) | Vice President, Deputy General Counsel, Thrivent Financial since 2018; Vice President, Managing Counsel, Thrivent Financial from 2016 to 2018; Privacy Officer, Thrivent Financial since 2011; Anti-Money Laundering Officer, Thrivent Financial from 2011 to 2019; Senior Counsel, Thrivent Financial from 2002 to 2016. | |
Sharon K. Minta (1973) Anti-Money Laundering Officer (6) | Director, Compliance, Anti-Money Laundering Officer and Manager of Identity Theft and Customer Fraud/Special Investigations Unit, Thrivent Financial since 2019; Compliance Manager, Anti-Money Laundering, Customer Fraud/Special Investigations Unit and Identity Theft programs, Thrivent Financial from 2014 to 2019. | |
Kathryn A. Stelter (1962) Vice President | Vice President, Mutual Funds Chief Operations Officer, Thrivent Financial since 2017; Director, Mutual Fund Operations, Thrivent Financial from 2014 to 2017; Director, Mutual Fund Operations at Hartford Funds from 2006 to 2014. | |
Troy A. Beaver(1967) Vice President | Vice President, Mutual Funds Marketing & Distribution, Thrivent Financial since 2015; Vice President, Marketing, American Century Investments from 2006 to 2015. | |
Jill M. Forte (1974) Assistant Secretary | Senior Counsel, Thrivent Financial since 2017; Counsel, Thrivent Financial from 2015 to 2017; Associate Counsel, Ameriprise Financial, Inc. from 2013 to 2015. | |
John D. Jackson (1977) Assistant Secretary | Senior Counsel, Thrivent Financial since 2017; Associate General Counsel, RBC Global Asset Management (US) Inc. from 2011 to 2017. | |
Sarah L. Bergstrom (1977) Assistant Treasurer | Head of Mutual Fund Accounting, Thrivent Financial since 2017; Director, Fund Accounting Administration, Thrivent Financial from 2007 to 2017. |
(1) | “Interested person” of the Trust as defined in the 1940 Act by virtue of a position with Thrivent Financial. Mr. Royal is considered an interested person because of his principal occupation with Thrivent Financial. Mr. Swansen is considered an interested person because of his past occupation with Thrivent Financial. |
(2) | Each Trustee generally serves an indefinite term until her or his successor is duly elected and qualified. Officers serve at the discretion of the Board until their successors are duly appointed and qualified. |
(3) | Each Trustee, other than Mr. Royal, oversees 57 portfolios. Mr. Royal oversees 58 portfolios. |
(4) | The address for each Trustee and Officer unless otherwise noted is 625 Fourth Avenue South, Minneapolis, MN 55415. |
(5) | The Trustees, other than Mr. Royal and Mr. Swansen, are not “interested persons” of the Trust and are referred to as “Independent Trustees.” |
(6) | The address for this Officer is 4321 North Ballard Road, Appleton, Wl 54913. |
55
Table of Contents
(This page intentionally left blank)
Table of Contents
This report is submitted for the information of shareholders
of Thrivent Core Funds. It is not authorized for distribution to
prospective investors unless preceded or accompanied by the
current prospectus for Thrivent Core Funds, which contains more
complete information about the Trust, including investment
objectives, risks, charges and expenses.
Table of Contents
Item 2. | Code of Ethics |
As of the end of the period covered by this report, registrant has adopted a code of ethics (as defined in Item 2 of FormN-CSR) applicable to registrant’s Principal Executive Officer, Principal Financial Officer and Principal Accounting Officer. No waivers were granted to such code of ethics during the period covered by this report. A copy of this code of ethics is filed as an exhibit to this FormN-CSR.
Item 3. | Audit Committee Financial Expert |
Registrant’s Board of Trustees has determined that Robert J. Chersi, an independent trustee, is the Audit Committee Financial Expert.
Item 4. | Principal Accountant Fees and Services |
(a) | Audit Fees |
The aggregate fees billed by registrant’s independent public accountants, PricewaterhouseCoopers LLP (“PwC”), for each of the last two fiscal years for professional services rendered in connection with the audit of registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements were $115,196 for the year ended October 31, 2018 and $79,900 for the year ended October 31, 2019.
Table of Contents
(b) | Audit-Related Fees |
The aggregate fees PwC billed to registrant for each of the last two fiscal years for assurance and other services that are reasonably related to the performance of registrant’s audit and are not reported under Item 4(a) were $0 for the year ended October 31, 2018 and $0 for the year ended October 31, 2019. The aggregate fees PwC billed to registrant’s investment adviser and any entity controlling, controlled by, or under common control with registrant’s investment adviser for assurance and other services directly related to the operations and financial reporting of registrant were $3,515 for the year ended October 31, 2018 and $29,000 for the year ended October 31, 2019. The 2018 payments were for review of SEC comment letter. The 2019 payments were for Thrivent Municipal Bond Fund amortization review.
(c) | Tax Fees |
The aggregate tax fees PwC billed to registrant for each of the last two fiscal years for tax compliance, tax advice and tax planning services were $6,938 for the year ended October 31, 2018 and $25,770 for the year ended October 31, 2019. These fees include payments for tax return compliance services, excise distribution review services and other tax related matters. The aggregate tax fees PwC billed to registrant’s investment adviser and any entity controlling, controlled by, or under common control with registrant’s investment adviser for services directly related to the operations and financial reporting of registrant were $0 for the year ended October 31, 2018 and $0 for the year ended October 31, 2019.
(d) | All Other Fees |
The aggregate fees PwC billed to registrant for each of the last two fiscal years for products and services provided, other than the services reported in paragraphs (a) through (c) of this item, were $0 for the years ended October 31, 2018 and October 31, 2019. The aggregate fees PwC billed to registrant’s investment adviser and any entity controlling, controlled by, or under common control with registrant’s investment adviser for products and services provided, other than the services reported in paragraphs (a) through (c) of this item, were $23,550 for the year ended October 31, 2018 and $14,220 for the year ended October 31, 2019. The 2018 and 2019 payments were for access to aPwC-sponsored online library that provides interpretive guidance regarding U.S. and foreign accounting standards and for fees related to the merger of certain series of Thrivent Mutual Funds and/or certain series of Thrivent Series Fund, Inc. These figures are also reported in response to item 4(g) below.
(e) | Registrant’s audit committee charter provides that the audit committee (comprised of the independent Trustees of registrant) is responsible forpre-approval of all auditing services performed for the registrant. The audit committee also is responsible forpre-approval (subject to thede minimis exceptions fornon-audit services described in Section 10A(i)(1)(B) of the Securities Exchange Act of 1934) of allnon-auditing services performed for the registrant or an affiliate of registrant. In addition, registrant’s audit committee charter permits a designated member of the audit committee topre-approve, between meetings, one or more audit ornon-audit service projects, subject to an expense limit and notification to the audit committee at the next committee meeting. Registrant’s audit committeepre-approved all fees described above that PwC billed to registrant. |
(f) | Less than 50% of the hours billed by PwC for auditing services to registrant for the fiscal year ended October 31, 2019 were for work performed by persons other than full-time permanent employees of PwC. |
(g) | The aggregatenon-audit fees billed by PwC to registrant and to registrant’s investment adviser and any entity controlling, controlled by, or under common control with registrant’s investment adviser for the fiscal years ending October 31, 2018 and October 31, 2019 were $23,550 and $14,220 respectively. These figures are also reported in response to item 4(d) above. |
Table of Contents
(h) | Registrant’s audit committee has considered thenon-audit services provided to the registrant and registrant’s investment adviser and any entity controlling, controlled by, or under common control with registrant’s investment adviser as described above and determined that these services do not compromise PwC’s independence. |
Item 5. | Audit Committee of Listed Registrants |
Not applicable.
Item 6. | Investments |
(a) | Registrant’s Schedule of Investments is included in the report to shareholders filed under Item 1. |
(b) | Not applicable to this filing. |
Item 7. | Disclosure of Proxy Voting Policies and Procedures forClosed-End Management InvestmentCompanies |
Not applicable.
Item 8. | Portfolio Managers ofClosed-End Management Investment Companies |
Not applicable.
Item 9. | Purchases of Equity Securities byClosed-End Management Investment Company and AffiliatedPurchasers. |
Not applicable.
Item 10. | Submission of Matters to a Vote of Security Holders |
There have been no material changes to the procedures by which shareholders may recommend nominees to registrant’s board of trustees implemented after the registrant last provided disclosure in response to this Item.
Item 11. | Controls and Procedures |
(a) Registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that registrant’s disclosure controls and procedures (as defined in Rule30a-3(c) under the Investment Company Act of 1940) are effective, based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this report.
(b) There were no changes in registrant’s internal control over financial reporting (as defined in Rule30a-3(d) under the Investment Company Act of 1940) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, registrant’s internal control over financial reporting.
Item 12. | Disclosure of Securities Lending Activities forClosed-End Management Investment Companies |
Not applicable
Table of Contents
Item 13. | Exhibits |
(a)(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit: SeeEX-99.CODE attached hereto.
(a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule30a-2(a) under the 1940 Act (17 CFR270.30a-2(a)) in the exact form set forth below: SeeEX-99.CERT attached hereto.
(a)(3) Any written solicitation to purchase securities under Rule23c-1 under the 1940 Act (17 CFR270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons: Not applicable.
(a)(4) Change in the registrant’s independent public accountant: Not applicable
(b) If the report is filed under Section 13(a) or 15(d) of the Exchange Act, provide the certifications required by Rule30a-2(b) under the 1940 Act (17 CFR270.30a-2(b)), Rule13a-14(b) or Rule15d-14(b) under the Exchange Act (17 CFR240.13a-14(b) or240.15d-14(b)), and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) as an exhibit. A certification furnished pursuant to this paragraph will not be deemed “filed” for purposes of Section 18 of the Exchange Act (15 U.S.C. 78r), or otherwise subject to the liability of that section. Such certification will not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Exchange Act, except to the extent that the registrant specifically incorporates it by reference: SeeEX-99.906CERT attached hereto.
Table of Contents
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Date: December 30, 2019 | THRIVENT CORE FUNDS | |||||
By: | /s/ David S. Royal | |||||
David S. Royal | ||||||
President and Chief Investment Officer |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
Date: December 30, 2019 | By: | /s/ David S. Royal | ||||
David S. Royal | ||||||
President and Chief Investment Officer | ||||||
(principal executive officer) | ||||||
Date: December 30, 2019 | By: | /s/ Gerard V. Vaillancourt | ||||
Gerard V. Vaillancourt | ||||||
Treasurer and Principal Accounting Officer | ||||||
(principal financial officer) |