Penn Series Funds, Inc.
Schedule of Investments — September 30, 2023 (Unaudited)
Limited Maturity Bond Fund
Par (000) | Value† | |
ASSET BACKED SECURITIES — 30.9% | ||
AMMC CLO 16 Ltd., Series 2015-16A Class DR2 (3 M SOFR + 3.762%, Floor 3.500%), 144A 9.073%, 04/14/29@,• | $2,000 | $2,000,142 |
Anchorage Capital CLO Ltd., Series 2013-1A Class A2R (3 M SOFR + 1.912%), 144A 7.213%, 10/13/30@,• | 2,830 | 2,808,268 |
Atlas Senior Loan Fund III Ltd., Series 2013-1A Class AR (3 M SOFR + 1.092%), 144A 6.468%, 11/17/27@,• | 257 | 256,694 |
Avis Budget Rental Car Funding AESOP LLC, Series 2018-2A Class B, 144A 4.270%, 03/20/25@ | 1,545 | 1,536,463 |
Barings CLO Ltd., Series 2017-1A Class B1 (3 M SOFR + 1.962%), 144A 7.272%, 07/18/29@,• | 1,500 | 1,497,407 |
Benefit Street Partners CLO VIII Ltd., Series 2015-8A Class A1AR (3 M SOFR + 1.362%, Floor 1.100%), 144A 6.688%, 01/20/31@,• | 2,354 | 2,347,991 |
BSPRT Issuer Ltd., | ||
Series 2021-FL6 Class A (1 M SOFR + 1.214%, Floor 1.100%), 144A, 6.547%, 03/15/36@,• | 2,200 | 2,166,940 |
Series 2021-FL6 Class B (1 M SOFR + 1.714%, Floor 1.600%), 144A, 7.047%, 03/15/36@,• | 2,500 | 2,356,433 |
Crestline Denali CLO XVI Ltd., Series 2018-1A Class A (3 M SOFR + 1.382%, Floor 1.382%), 144A 6.708%, 01/20/30@,• | 2,446 | 2,439,606 |
ECMC Group Student Loan Trust, | ||
Series 2018-2A Class A (30 Day Average SOFR + 0.914%, Floor 0.800%), 144A, 6.229%, 09/25/68@,• | 2,636 | 2,578,939 |
Series 2019-1A Class A1A, 144A, 2.720%, 07/25/69@ | 1,331 | 1,170,620 |
Edsouth Indenture No. 4 LLC, Series 2013-1 Class A (30 Day Average SOFR + 0.684%), 144A 5.999%, 02/26/29@,• | 1,625 | 1,610,697 |
First Eagle BSL CLO Ltd., Series 2019-1A Class B (3 M SOFR + 3.512%, Floor 3.250%), 144A 8.838%, 01/20/33@,• | 1,500 | 1,500,152 |
JFIN CLO Ltd., Series 2017-2A Class AR (3 M SOFR + 1.252%, Floor 0.990%), 144A 6.649%, 09/20/29@,• | 1,079 | 1,077,294 |
Par (000) | Value† | |
Nassau Ltd., Series 2017-IA Class A1AS (3 M SOFR + 1.412%), 144A 6.720%, 10/15/29@,• | $1,012 | $1,010,681 |
Navient Private Education Loan Trust, | ||
Series 2015-AA Class A3 (1 M SOFR + 1.814%), 144A, 7.147%, 11/15/30@,• | 1,329 | 1,333,387 |
Series 2014-AA Class A3 (1 M SOFR + 1.714%), 144A, 7.047%, 10/15/31@,• | 967 | 968,134 |
Series 2015-BA Class A3 (1 M SOFR + 1.564%), 144A, 6.897%, 07/16/40@,• | 1,467 | 1,466,265 |
Navient Private Education Refi Loan Trust, | ||
Series 2020-EA Class A, 144A, 1.690%, 05/15/69@ | 1,548 | 1,378,857 |
Series 2021-EA Class A, 144A, 0.970%, 12/16/69@ | 2,632 | 2,203,543 |
Navient Student Loan Trust, Series 2016-5A Class A (30 Day Average SOFR + 1.364%), 144A 6.679%, 06/25/65@,• | 3,959 | 3,990,080 |
OZLM XI Ltd., Series 2015-11A Class A2R (3 M SOFR + 2.012%), 144A 7.381%, 10/30/30@,• | 2,300 | 2,288,613 |
Shackleton CLO Ltd., Series 2013-3A Class AR (3 M SOFR + 1.382%, Floor 1.120%), 144A 6.690%, 07/15/30@,• | 1,137 | 1,134,956 |
Signal Peak CLO Ltd., Series 2018-6A Class B (3 M SOFR + 1.942%), 144A 7.307%, 07/28/31@,• | 2,000 | 1,992,490 |
SLM Student Loan Trust, Series 2014-2 Class A3 (30 Day Average SOFR + 0.704%), 6.019%, 03/25/55• | 3,617 | 3,530,212 |
SMB Private Education Loan Trust, | ||
Series 2016-B Class A2B (1 M SOFR + 1.564%), 144A, 6.897%, 02/17/32@,• | 936 | 936,130 |
Series 2014-A Class B, 144A, 4.000%, 09/15/42@ | 1,350 | 1,277,109 |
Series 2021-C Class B, 144A, 2.300%, 01/15/53@ | 2,539 | 2,285,039 |
Sound Point CLO V-R Ltd., Series 2014-1RA Class B (3 M SOFR + 2.012%, Floor 1.750%), 144A 7.322%, 07/18/31@,• | 1,500 | 1,475,592 |
Steele Creek CLO Ltd., Series 2014-1RA Class B (3 M SOFR + 1.762%, Floor 1.500%), 144A 7.095%, 04/21/31@,• | 1,250 | 1,232,450 |
1
Penn Series Funds, Inc.
Schedule of Investments — September 30, 2023 (Unaudited)
Limited Maturity Bond Fund
Par (000) | Value† | |
ASSET BACKED SECURITIES — (continued) | ||
Toyota Auto Receivables Owner Trust, Series 2022-C Class A2A, 3.830%, 08/15/25 | $1,436 | $1,425,800 |
Trinitas CLO XIV Ltd., Series 2020-14A Class D (3 M SOFR + 4.562%, Floor 4.300%), 144A 9.913%, 01/25/34@,• | 2,000 | 1,945,446 |
TOTAL ASSET BACKED SECURITIES (Cost $58,770,774) | 57,222,430 | |
COMMERCIAL MORTGAGE BACKED SECURITIES — 14.0% | ||
BHMS, Series 2018-ATLS Class B (1 M SOFR + 1.797%, Floor 1.750%), 144A 7.129%, 07/15/35@,• | 2,000 | 1,937,795 |
BX Commercial Mortgage Trust, Series 2019-XL Class B (1 M SOFR + 1.194%, Floor 1.080%), 144A 6.527%, 10/15/36@,• | 1,275 | 1,266,929 |
Citigroup Commercial Mortgage Trust, Series 2018-TBR Class D (1 M SOFR + 2.039%, Floor 1.800%), 144A 7.372%, 12/15/36@,• | 1,000 | 962,084 |
COMM Mortgage Trust, Series 2014-CR20 Class A3 3.326%, 11/10/47 | 2,450 | 2,396,506 |
FHLMC Multifamily Structured Pass Through Certificates, Series KC02 Class X3 3.174%, 08/25/25• | 14,500 | 536,648 |
FREMF Mortgage Trust, | ||
Series 2017-K727 Class C, 144A, 3.873%, 07/25/24@,• | 3,500 | 3,404,018 |
Series 2014-K37 Class C, 144A, 4.763%, 01/25/47@,• | 2,550 | 2,530,382 |
Series 2015-K44 Class B, 144A, 3.846%, 01/25/48@,• | 3,675 | 3,546,586 |
Series 2015-K46 Class B, 144A, 3.821%, 04/25/48@,• | 1,750 | 1,679,625 |
Series 2016-K53 Class B, 144A, 4.162%, 03/25/49@,• | 3,220 | 3,064,585 |
Series 2017-K728 Class C, 144A, 3.770%, 11/25/50@,• | 1,500 | 1,451,485 |
GS Mortgage Securities Corp. Trust, Series 2018-HULA Class B (1 M SOFR + 1.553%, Floor 1.500%), 144A 6.893%, 07/15/25@,• | 1,829 | 1,811,287 |
Hawaii Hotel Trust, Series 2019-MAUI Class C (1 M SOFR + 1.697%, Floor 1.650%), 144A 7.029%, 05/15/38@,• | 1,500 | 1,462,021 |
TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES (Cost $27,385,630) | 26,049,951 |
Par (000) | Value† | |
CORPORATE BONDS — 38.3% | ||
Apparel — 0.9% | ||
Michael Kors USA, Inc., 144A 4.250%, 11/01/24@ | $1,650 | $1,621,125 |
Auto Manufacturers — 2.0% | ||
Ford Motor Credit Co., LLC 2.300%, 02/10/25 | 2,250 | 2,107,244 |
General Motors Financial Co., Inc. 3.800%, 04/07/25 | 1,600 | 1,542,312 |
3,649,556 | ||
Banks — 6.1% | ||
Bank of America Corp., Series L 3.950%, 04/21/25 | 2,010 | 1,941,032 |
First Maryland Capital II (3 M SOFR + 1.112%) 6.484%, 02/01/27• | 1,500 | 1,350,460 |
National Securities Clearing Corp., 144A 5.150%, 05/30/25@ | 1,500 | 1,488,078 |
State Street Corp. (3 M SOFR + 0.822%) 6.186%, 05/15/28• | 3,805 | 3,493,557 |
Wells Fargo & Co. (3 M SOFR + 1.262%) 6.570%, 04/15/27• | 3,250 | 3,038,009 |
11,311,136 | ||
Beverages — 0.9% | ||
Coca-Cola Europacific Partners PLC, 144A 0.800%, 05/03/24@ | 1,750 | 1,698,789 |
Chemicals — 1.7% | ||
Celanese US Holdings LLC 6.350%, 11/15/28 | 1,000 | 988,595 |
The Sherwin-Williams Co. 4.050%, 08/08/24 | 2,250 | 2,214,677 |
3,203,272 | ||
Commercial Services — 0.9% | ||
Cintas Corp. No. 2 3.450%, 05/01/25 | 1,750 | 1,690,579 |
Computers — 0.8% | ||
Hewlett Packard Enterprise Co. 1.450%, 04/01/24 | 1,500 | 1,466,645 |
Cosmetics & Personal Care — 0.8% | ||
Haleon UK Capital PLC 3.125%, 03/24/25 | 1,500 | 1,440,895 |
Diversified Financial Services — 1.8% | ||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust 3.500%, 01/15/25 | 2,500 | 2,411,733 |
2
Penn Series Funds, Inc.
Schedule of Investments — September 30, 2023 (Unaudited)
Limited Maturity Bond Fund
Par (000) | Value† | |
CORPORATE BONDS — (continued) | ||
Diversified Financial Services — (continued) | ||
The Charles Schwab Corp. (SOFR + 0.500%) 5.844%, 03/18/24• | $1,000 | $998,811 |
3,410,544 | ||
Electric — 5.7% | ||
American Electric Power Co., Inc. 2.031%, 03/15/24 | 2,500 | 2,453,189 |
NextEra Energy Capital Holdings, Inc. 6.051%, 03/01/25 | 2,000 | 2,003,142 |
Niagara Mohawk Power Corp., 144A 3.508%, 10/01/24@ | 2,000 | 1,947,386 |
Southern California Edison Co., Series E 3.700%, 08/01/25 | 2,750 | 2,645,123 |
Vistra Operations Co., LLC, 144A 4.875%, 05/13/24@ | 1,500 | 1,482,840 |
10,531,680 | ||
Electronics — 1.6% | ||
Amphenol Corp. 4.750%, 03/30/26 | 1,500 | 1,473,538 |
TD SYNNEX Corp. 1.250%, 08/09/24 | 1,500 | 1,432,978 |
2,906,516 | ||
Entertainment — 0.8% | ||
Warnermedia Holdings, Inc. 3.638%, 03/15/25 | 1,500 | 1,446,814 |
Food — 0.8% | ||
General Mills, Inc. 5.241%, 11/18/25 | 1,500 | 1,486,600 |
Food Service — 0.5% | ||
Aramark Services, Inc., 144A 6.375%, 05/01/25@ | 1,000 | 1,015,940 |
Hand & Machine Tools — 1.8% | ||
Regal Rexnord Corp., 144A 6.050%, 02/15/26@ | 1,875 | 1,853,395 |
Stanley Black & Decker, Inc. 2.300%, 02/24/25 | 1,500 | 1,427,294 |
3,280,689 | ||
Healthcare Products — 2.1% | ||
Revvity, Inc. 0.850%, 09/15/24 | 1,000 | 950,134 |
Stryker Corp. 0.600%, 12/01/23 | 1,500 | 1,486,594 |
Zimmer Biomet Holdings, Inc. 1.450%, 11/22/24 | 1,500 | 1,424,536 |
3,861,264 | ||
Healthcare Services — 0.2% | ||
IQVIA, Inc., 144A 5.000%, 10/15/26@ | 500 | 477,967 |
Par (000) | Value† | |
Lodging — 1.0% | ||
Hyatt Hotels Corp. 1.800%, 10/01/24 | $1,875 | $1,798,742 |
Miscellaneous Manufacturing — 0.8% | ||
Parker-Hannifin Corp. 3.650%, 06/15/24 | 1,500 | 1,476,784 |
Packaging and Containers — 1.9% | ||
Graphic Packaging International LLC 4.125%, 08/15/24 | 2,000 | 1,955,267 |
Owens-Brockway Glass Container, Inc., 144A 6.375%, 08/15/25@ | 1,500 | 1,496,520 |
3,451,787 | ||
Real Estate Investment Trusts — 1.2% | ||
SBA Tower Trust, 144A 1.884%, 07/15/50@ | 2,500 | 2,260,626 |
Semiconductors — 0.8% | ||
Qorvo, Inc., 144A 1.750%, 12/15/24@ | 1,500 | 1,409,337 |
Software — 1.8% | ||
Concentrix Corp. 6.650%, 08/02/26 | 2,000 | 1,989,512 |
VMware, Inc. 1.000%, 08/15/24 | 1,500 | 1,436,809 |
3,426,321 | ||
Telecommunications — 1.4% | ||
T-Mobile USA, Inc. 3.500%, 04/15/25 | 1,500 | 1,447,498 |
Verizon Communications, Inc. 1.450%, 03/20/26 | 1,250 | 1,128,794 |
2,576,292 | ||
TOTAL CORPORATE BONDS (Cost $73,563,352) | 70,899,900 | |
RESIDENTIAL MORTGAGE BACKED SECURITIES — 14.1% | ||
Collateralized Mortgage Obligations — 13.4% | ||
Angel Oak Mortgage Trust, Series 2020-1 Class A3, 144A 2.774%, 12/25/59@,• | 571 | 530,903 |
Bunker Hill Loan Depositary Trust, | ||
STEP, Series 2019-2 Class A3, 144A, 3.185%, 07/25/49@ | 1,734 | 1,596,133 |
Series 2020-1 Class M1, 144A, 4.353%, 02/25/55@,• | 2,250 | 1,893,096 |
Citigroup Mortgage Loan Trust, Series 2014-J1 Class A1, 144A 3.500%, 06/25/44@,• | 553 | 490,855 |
Flagstar Mortgage Trust, Series 2020-2 Class A4, 144A 3.000%, 08/25/50@,• | 1,318 | 1,069,104 |
3
Penn Series Funds, Inc.
Schedule of Investments — September 30, 2023 (Unaudited)
Limited Maturity Bond Fund
Par (000) | Value† | |
RESIDENTIAL MORTGAGE BACKED SECURITIES — (continued) | ||
Collateralized Mortgage Obligations — (continued) | ||
GS Mortgage-Backed Securities Trust, Series 2021-PJ7 Class A8, 144A 2.500%, 01/25/52@,• | $3,971 | $3,343,610 |
JP Morgan Mortgage Trust, | ||
Series 2019-6 Class B2, 144A, 4.226%, 12/25/49@,• | 2,943 | 2,552,272 |
Series 2019-9 Class A3, 144A, 3.500%, 05/25/50@,• | 1,221 | 1,042,667 |
OBX Trust, Series 2019-INV2 Class A5, 144A 4.000%, 05/27/49@,• | 238 | 213,266 |
Sequoia Mortgage Trust, Series 2021-5 Class A5, 144A 2.000%, 07/25/51@,• | 2,296 | 1,887,685 |
Towd Point Mortgage Trust, Series 2020-4 Class A2, 144A 2.500%, 10/25/60@ | 2,240 | 1,669,882 |
Verus Securitization Trust, | ||
Series 2019-INV2 Class A3, 144A, 4.219%, 07/25/59@,• | 816 | 785,357 |
Series 2019-INV3 Class A1, 144A, 2.692%, 11/25/59@,• | 1,794 | 1,716,027 |
Series 2020-INV1 Class A1, 144A, 1.977%, 03/25/60@,• | 1,137 | 1,112,142 |
Series 2020-INV1 Class A2, 144A, 3.035%, 03/25/60@,• | 1,500 | 1,428,645 |
Vista Point Securitization Trust, Series 2020-1 Class M1, 144A 4.151%, 03/25/65@,• | 2,800 | 2,505,624 |
Wells Fargo Mortgage Backed Securities Trust, Series 2020-2 Class A1, 144A 3.000%, 12/25/49@,• | 1,208 | 986,072 |
24,823,340 | ||
Fannie Mae REMICS — 0.7% | ||
Series 2012-152 Class TA 2.500%, 09/25/42 | 1,547 | 1,250,240 |
TOTAL RESIDENTIAL MORTGAGE BACKED SECURITIES (Cost $30,520,751) | 26,073,580 | |
U.S. TREASURY OBLIGATIONS — 0.5% | ||
U.S. Treasury Inflation Indexed Bonds 1.250%, 04/15/28 (Cost $979,821) | 1,019 | 969,191 |
Number of Shares | Value† | |
SHORT-TERM INVESTMENTS — 1.4% | ||
MONEY MARKET FUNDS — 0.7% | ||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 5.236%) (Cost $1,213,337) | 1,213,337 | $1,213,337 |
Par (000) | ||
U.S. TREASURY OBLIGATIONS — 0.7% | ||
U.S. Treasury Bills 5.501%, 02/29/24 (Cost $1,319,491) | $1,350 | 1,320,164 |
TOTAL SHORT-TERM INVESTMENTS (Cost $2,532,828) | 2,533,501 | |
TOTAL INVESTMENTS — 99.2% (Cost $193,753,156) | $183,748,553 | |
Other Assets & Liabilities — 0.8% | 1,556,364 | |
TOTAL NET ASSETS — 100.0% | $185,304,917 |
† | See Security Valuation Note in the most recent semi-annual or annual report. |
@ | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At September 30, 2023, the aggregate value of Rule 144A securities was $116,958,558, which represents 63.1% of the Fund’s net assets. |
• | Variable rate security. The rate disclosed is the rate in effect on the report date. The information in parenthesis represents the benchmark and reference rate for each relevant security and the rate floats based upon the reference rate and spread. The security may be further subject to interest rate floors and caps. For loan agreements, the rate shown may represent a weighted average interest rate. Certain variable rate securities are not based on a published reference rate and spread, but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
CLO— Collateralized Loan Obligation. |
FHLMC— Federal Home Loan Mortgage Corporation. |
FREMF— Freddie Mac Multifamily Securities. |
LLC— Limited Liability Company. |
M— Month. |
PLC— Public Limited Company. |
REMICS— Real Estate Mortgage Investment Conduits. |
SOFR— Secured Overnight Financing Rate. |
STEP— Step Coupon Bond. |
4
Penn Series Funds, Inc.
Schedule of Investments — September 30, 2023 (Unaudited)
Limited Maturity Bond Fund
Country Weightings as of 9/30/2023†† | |
United States | 81% |
Cayman Islands | 16 |
United Kingdom | 2 |
Ireland | 1 |
Total | 100% |
†† | % of total investments as of September 30, 2023. |
Futures contracts held by the Fund at September 30, 2023 are as follows:
Futures Contracts: Exchange Traded | ||||||||||||||||
Type | Futures Contract | Expiration Date | Numbers of Contracts | Units per Contract | Closing Price | Notional Value | Unrealized Appreciation | Unrealized Depreciation | ||||||||
Long | U.S. Treasury 2 Year Note | 12/29/23 | 427 | 2,000 | $101 | $86,557,571 | $— | $(126,502) | ||||||||
Long | U.S. Treasury 5 Year Note | 12/29/23 | 80 | 1,000 | 105 | 8,428,750 | — | (65,146) | ||||||||
$— | $(191,648) |
Type | Futures Contract | Expiration Date | Numbers of Contracts | Units per Contract | Closing Price | Notional Value | Unrealized Appreciation | Unrealized Depreciation | ||||||||
Short | U.S. Treasury 10 Year Note | 12/19/23 | (117) | 1,000 | $108 | $(12,643,313) | $122,914 | $— | ||||||||
Short | U.S. Treasury Long Bond | 12/19/23 | (20) | 1,000 | 114 | (2,275,625) | 123,242 | — | ||||||||
$246,156 | $— | |||||||||||||||
$246,156 | $(191,648) |
5