Investment Portfolio - September 30, 2021
(unaudited)
CORE BOND SERIES | PRINCIPAL AMOUNT1/ SHARES | VALUE | ||||||
CORPORATE BONDS - 24.8% | ||||||||
Non-Convertible Corporate Bonds- 24.8% | ||||||||
Communication Services - 3.3% | ||||||||
Diversified Telecommunication Services - 1.5% | ||||||||
Verizon Communications, Inc., 4.272%, 1/15/2036 | 4,810,000 | $ | 5,641,587 | |||||
Interactive Media & Services - 1.8% | ||||||||
Tencent Holdings Ltd. (China), 3.975%, 4/11/20292 | 6,550,000 | 7,166,679 | ||||||
Total Communication Services | 12,808,266 | |||||||
Consumer Discretionary - 1.5% | ||||||||
Hotels, Restaurants & Leisure - 0.5% | ||||||||
Expedia Group, Inc., 4.625%, 8/1/2027 | 1,630,000 | 1,847,336 | ||||||
Internet & Direct Marketing Retail - 1.0% | ||||||||
Alibaba Group Holding Ltd. (China), 4.00%, 12/6/2037 | 3,440,000 | 3,738,654 | ||||||
Total Consumer Discretionary | 5,585,990 | |||||||
Energy - 6.1% | ||||||||
Oil, Gas & Consumable Fuels - 6.1% | ||||||||
BP Capital Markets America, Inc., 3.06%, 6/17/2041 | 4,710,000 | 4,745,478 | ||||||
Cenovus Energy, Inc. (Canada), 6.75%, 11/15/2039 | 3,110,000 | 4,224,061 | ||||||
Energy Transfer LP, 6.50%, 2/1/2042 | 3,590,000 | 4,656,150 | ||||||
Kinder Morgan Energy Partners LP, 6.95%, 1/15/2038 | 3,240,000 | 4,584,525 | ||||||
Sabine Pass Liquefaction LLC, 5.875%, 6/30/2026 | 1,065,000 | 1,252,923 | ||||||
The Williams Companies, Inc., 2.60%, 3/15/2031 | 3,650,000 | 3,695,261 | ||||||
Total Energy | 23,158,398 | |||||||
Financials - 4.3% | ||||||||
Banks - 2.9% | ||||||||
Bank of America Corp., 6.11%, 1/29/2037 | 2,195,000 | 2,963,083 | ||||||
Citigroup, Inc., 4.45%, 9/29/2027 | 2,910,000 | 3,308,377 | ||||||
JPMorgan Chase & Co., (U.S. Secured Overnight Financing Rate + 2.515%), 2.956%, 5/13/20313 | 4,530,000 | 4,705,013 | ||||||
10,976,473 | ||||||||
Capital Markets - 0.9% | ||||||||
Blackstone Secured Lending Fund, 2.75%, 9/16/2026 | 1,810,000 | 1,847,040 | ||||||
Owl Rock Technology Finance Corp., 3.75%, 6/17/20262 | 1,680,000 | 1,772,826 | ||||||
3,619,866 |
PRINCIPAL AMOUNT1/ SHARES | VALUE | |||||||
CORPORATE BONDS (continued) | ||||||||
Non-Convertible Corporate Bonds (continued) | ||||||||
Financials (continued) | ||||||||
Diversified Financial Services - 0.5% | ||||||||
Blackstone Private Credit Fund, 2.625%, 12/15/20262 | 1,910,000 | $ | 1,902,287 | |||||
Total Financials | 16,498,626 | |||||||
Health Care - 0.6% | ||||||||
Health Care Providers & Services - 0.6% | ||||||||
HCA, Inc., 4.125%, 6/15/2029 | 2,220,000 | 2,482,134 | ||||||
Industrials - 5.4% | ||||||||
Airlines - 0.9% | ||||||||
Southwest Airlines Co., 5.125%, 6/15/2027 | 2,970,000 | 3,471,668 | ||||||
Industrial Conglomerates - 0.8% | ||||||||
General Electric Co., (3 mo. LIBOR US + 3.330%), 3.446%3,4 | 3,190,000 | 3,125,020 | ||||||
Road & Rail - 0.5% | ||||||||
BNSF Funding Trust I, (3 mo. LIBOR US + 2.350%), 6.613%, 12/15/20553,5 | 1,570,000 | 1,789,800 | ||||||
Trading Companies & Distributors - 3.2% | ||||||||
Air Lease Corp., 3.625%, 4/1/2027 | 1,700,000 | 1,827,669 | ||||||
Ashtead Capital, Inc. (United Kingdom), 4.00%, 5/1/20282 | 1,580,000 | 1,678,856 | ||||||
Avolon Holdings Funding Ltd. (Ireland), 2.75%, 2/21/20282 | 8,620,000 | 8,590,738 | ||||||
12,097,263 | ||||||||
Total Industrials | 20,483,751 | |||||||
Materials - 0.5% | ||||||||
Metals & Mining - 0.5% | ||||||||
Newcastle Coal Infrastructure Group Pty Ltd. (Australia), 4.40%, 9/29/20272 | 1,810,000 | 1,851,484 | ||||||
Real Estate - 3.1% | ||||||||
Equity Real Estate Investment Trusts (REITS) - 3.1% | ||||||||
American Tower Corp., 3.80%, 8/15/2029 | 5,130,000 | 5,683,386 | ||||||
Crown Castle International Corp., 3.10%, 11/15/2029 | 4,510,000 | 4,734,464 | ||||||
SBA Tower Trust, 2.328%, 1/15/20282 | 1,300,000 | 1,323,866 | ||||||
Total Real Estate | 11,741,716 | |||||||
TOTAL CORPORATE BONDS | ||||||||
(Identified Cost $91,966,940) | 94,610,365 | |||||||
ASSET-BACKED SECURITIES - 18.0% | ||||||||
AMSR Trust, Series 2020-SFR4, Class A, 1.355%, 11/17/20372 | 2,700,000 | 2,693,771 | ||||||
Business Jet Securities LLC, Series 2021-1A, Class A, 2.162%, 4/15/20362 | 2,548,836 | 2,559,404 |
1
Investment Portfolio - September 30, 2021
(unaudited)
CORE BOND SERIES | PRINCIPAL AMOUNT1/ SHARES | VALUE | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
CF Hippolyta LLC, | ||||||||
Series 2020-1, Class A2, 1.99%, 7/15/20602 | 1,247,190 | $ | 1,246,880 | |||||
Series 2020-1, Class B1, 2.28%, 7/15/20602 | 1,565,500 | 1,587,986 | ||||||
Series 2021-1A, Class B1, 1.98%, 3/15/20612 | 1,749,689 | 1,753,484 | ||||||
CLI Funding VIII LLC, Series 2021-1A, Class A, 1.64%, 2/18/20462 | 3,296,583 | 3,248,913 | ||||||
Commonbond Student Loan Trust, | ||||||||
Series 2019-AGS, Class A1, 2.54%, 1/25/20472 | 669,312 | 685,110 | ||||||
CoreVest American Finance Trust, | ||||||||
Series 2020-3, Class A, 1.358%, 8/15/20532 | 1,248,915 | 1,237,557 | ||||||
Credit Acceptance Auto Loan Trust, | ||||||||
Series 2020-1A, Class A, 2.01%, 2/15/20292 | 500,000 | 507,027 | ||||||
Series 2020-1A, Class B, 2.39%, 4/16/20292 | 600,000 | 613,905 | ||||||
Series 2020-3A, Class A, 1.24%, 10/15/20292 | 4,500,000 | 4,539,532 | ||||||
DataBank Issuer, Series 2021-1A, Class A2, 2.06%, 2/27/20512 | 2,400,000 | 2,395,154 | ||||||
EDvestinU Private Education Loan Issue No. 3 LLC, Series 2021-A, Class A, 1.80%, 11/25/20452 | 1,436,009 | 1,430,086 | ||||||
Ford Credit Auto Owner Trust, Series 2020-A, Class A4, 1.35%, 7/15/2025 | 1,750,000 | 1,781,139 | ||||||
Goodgreen Trust, Series 2020-1A, Class A, 2.63%, 4/15/20552 | 2,086,218 | 2,118,462 | ||||||
Hertz Vehicle Financing III LP, Series 2021-2A, Class B, 2.12%, 12/27/20272 | 1,800,000 | 1,809,851 | ||||||
Home Partners of America Trust, | ||||||||
Series 2019-1, Class A, 2.908%, 9/17/20392 | 884,264 | 900,429 | ||||||
Invitation Homes Trust, | ||||||||
Series 2017-SFR2, Class A, (1 mo. LIBOR US + 0.850%), 0.934%, 12/17/20362,5 | 46,161 | 46,169 | ||||||
Series 2017-SFR2, Class B, (1 mo. LIBOR US + 1.150%), 1.234%, 12/17/20362,5 | 38,560 | 38,592 | ||||||
Navient Private Education Loan Trust, | ||||||||
Series 2014-1, Class A3, (1 mo. LIBOR US + 0.510%), 0.596%, 6/25/20315 | 846,105 | 827,114 | ||||||
Series 2015-BA, Class A3, (1 mo. LIBOR US + 1.450%), 1.534%, 7/16/20402,5 | 1,393,434 | 1,401,009 | ||||||
Series 2019-EA, Class A2A, 2.64%, 5/15/20682 | 767,150 | 781,939 | ||||||
Nelnet Student Loan Trust, | ||||||||
Series 2013-5A, Class A, (1 mo. LIBOR US + 0.630%), 0.716%, 1/25/20372,5 | 1,021,979 | 1,024,623 |
PRINCIPAL AMOUNT1/ SHARES | VALUE | |||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
Nelnet Student Loan Trust, (continued) | ||||||||
Series 2015-2A, Class A2, (1 mo. LIBOR US + 0.600%), 0.686%, 9/25/20472,5 | 2,658,129 | $ | 2,666,338 | |||||
OCP CLO Ltd., Series 2020-8RA, Class A1, (Cayman Islands) (3 mo. LIBOR US + 1.220%), 1.354%, 1/17/20322,5 | 2,500,000 | 2,500,148 | ||||||
Oxford Finance Funding LLC, | ||||||||
Series 2019-1A, Class A2, 4.459%, 2/15/20272 | 864,181 | 888,680 | ||||||
Series 2020-1A, Class A2, 3.101%, 2/15/20282 | 1,835,000 | 1,881,430 | ||||||
Progress Residential Trust, | ||||||||
Series 2019-SFR2, Class A, 3.147%, 5/17/20362 | 901,987 | 911,000 | ||||||
Series 2019-SFR4, Class A, 2.687%, 10/17/20362 | 800,000 | 814,642 | ||||||
Series 2020-SFR2, Class A, 2.078%, 6/17/20372 | 1,000,000 | 1,015,375 | ||||||
SMB Private Education Loan Trust, | ||||||||
Series 2020-A, Class A2A, 2.23%, 9/15/20372 | 1,285,000 | 1,316,125 | ||||||
SoFi Consumer Loan Program Trust, | ||||||||
Series 2019-3, Class A, 2.90%, 5/25/20282 | 24,661 | 24,696 | ||||||
SoFi Professional Loan Program LLC, | ||||||||
Series 2016-E, Class A2B, 2.49%, 1/25/20362 | 125,654 | 126,564 | ||||||
Series 2017-F, Class A2FX, 2.84%, 1/25/20412 | 1,687,906 | 1,726,271 | ||||||
Series 2020-A, Class A2FX, 2.54%, 5/15/20462 | 820,000 | 841,569 | ||||||
Series 2020-C, Class AFX, 1.95%, 2/15/20462 | 548,901 | 557,914 | ||||||
Stack Infrastructure Issuer LLC, | ||||||||
Series 2021-1A, Class A2, 1.877%, 3/26/20462 | 2,000,000 | 1,995,572 | ||||||
TCI-Flatiron CLO Ltd., Series 2016-1A, Class CR2, (Cayman Islands) (3 mo. LIBOR US + 2.200%), 2.334%, 1/17/20325,6 | 1,500,000 | 1,502,547 | ||||||
Towd Point Mortgage Trust, | ||||||||
Series 2016-5, Class A1, 2.50%, 10/25/20562,7 | 186,673 | 189,320 | ||||||
Series 2017-1, Class A1, 2.75%, 10/25/20562,7 | 147,133 | 149,120 | ||||||
Series 2019-HY1, Class A1, (1 mo. LIBOR US + 1.000%), 1.086%, 10/25/20482,5 | 176,502 | 177,546 | ||||||
Toyota Auto Loan Extended Note Trust, Series 2020-1A, Class A, 1.35%, 5/25/20332 | 3,000,000 | 3,039,307 | ||||||
Tricon American Homes, Series 2020- | ||||||||
SFR1, Class B, 2.049%, 7/17/20382 | 1,300,000 | 1,314,504 |
2
Investment Portfolio - September 30, 2021
(unaudited)
CORE BOND SERIES | PRINCIPAL AMOUNT1/ SHARES | VALUE | ||||||
ASSET-BACKED SECURITIES (continued) | ||||||||
Trinitas CLO XVII Ltd., Series 2021-17A, Class B1, (Cayman Islands) (3 mo. LIBOR US + 1.700%), 1.813%, 10/20/20342,5 | 2,900,000 | $ | 2,900,307 | |||||
Triton Container Finance VIII LLC, | ||||||||
Series 2021-1A, Class A, 1.86%, 3/20/20462 | 2,681,000 | 2,655,281 | ||||||
Vantage Data Centers LLC, Series 2020-1A, Class A2, 1.645%, 9/15/20452 | 1,750,000 | 1,744,192 | ||||||
VB-S1 Issuer LLC, | ||||||||
Series 2020-1A, Class C2, 3.031%, 6/15/20502 | 375,000 | 390,829 | ||||||
Series 2020-2A, Class A, 2.636%, 9/15/20502 | 2,250,000 | 2,297,577 | ||||||
TOTAL ASSET-BACKED SECURITIES | ||||||||
(Identified Cost $68,352,177) | 68,854,990 | |||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES - 7.8% | ||||||||
Brean Asset Backed Securities Trust, | ||||||||
Series 2021-RM2, Class A, 1.75%, 10/25/20612,7 | 1,500,000 | 1,466,954 | ||||||
BWAY Mortgage Trust, Series 2015-1740, Class A, 2.917%, 1/10/20352 | 400,000 | 407,897 | ||||||
CIM Trust, Series 2019-INV1, Class A1, 4.00%, 2/25/20492,7 | 50,282 | 50,923 | ||||||
Citigroup Mortgage Loan Trust, Inc., | ||||||||
Series 2021-INV1, Class A3A, 2.50%, 5/25/20512,7 | 979,814 | 993,401 | ||||||
Credit Suisse Mortgage Capital Trust, | ||||||||
Series 2013-6, Class 2A1, 3.50%, 8/25/20432,7 | 247,569 | 250,264 | ||||||
Series 2013-IVR2, Class A2, 3.00%, 4/25/20432,7 | 279,739 | 285,263 | ||||||
Series 2013-IVR3, Class A1, 2.50%, 5/25/20432,7 | 71,582 | 72,115 | ||||||
Series 2013-TH1, Class A1, 2.13%, 2/25/20432,7 | 47,333 | 47,944 | ||||||
Fannie Mae REMICS, Series 2018-31, Class KP, 3.50%, 7/25/2047 | 78,090 | 80,123 | ||||||
Fannie Mae REMICS, Series 2021-69, Class WJ, 1.50%, 10/25/2050 | 1,430,000 | 1,430,000 | ||||||
Fontainebleau Miami Beach Trust, | ||||||||
Series 2019-FBLU, Class A, 3.144%, 12/10/20362 | 1,050,000 | 1,098,821 | ||||||
Freddie Mac Multifamily Structured | ||||||||
Pass-Through Certificates, | ||||||||
Series K016, Class X1 (IO), 1.546%, 10/25/20217 | 11,677 | 1 | ||||||
Series K021, Class X1 (IO), 1.508%, 6/25/20227 | 8,156,994 | 33,051 | ||||||
Series K030, Class X1 (IO), 0.260%, 4/25/20237 | 12,159,234 | 23,884 | ||||||
Series K032, Class X1 (IO), 0.188%, 5/25/20237 | 7,262,112 | 11,440 |
PRINCIPAL AMOUNT1/ SHARES | VALUE | |||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||
FREMF Mortgage Trust, | ||||||||
Series 2015-K42, Class B, 3.981%, 1/25/20482,7 | 380,000 | $ | 409,069 | |||||
Series 2015-K720, Class B, 3.509%, 7/25/20222,7 | 340,000 | 346,476 | ||||||
Government National Mortgage | ||||||||
Association, Series 2017-54, Class AH, 2.60%, 12/16/2056 | 284,832 | 293,123 | ||||||
GS Mortgage-Backed Securities Corp. Trust, | ||||||||
Series 2020-PJ3, Class A14, 3.00%, 10/25/20502,7 | 894,091 | 908,445 | ||||||
Series 2021-INV1, Class A9, (U.S. Secured Overnight Financing Rate 30 Day Average + 0.850%), 0.90%, 12/25/20512,5 | 1,883,324 | 1,883,049 | ||||||
Series 2021-PJ6, Class A8, 2.50%, 11/25/20512,7 | 1,507,156 | 1,538,889 | ||||||
Series 2021-PJ9, Class A8, 2.50%, 2/26/20522,7 | 1,500,000 | 1,532,812 | ||||||
JP Morgan Mortgage Trust, | ||||||||
Series 2013-1, Class 1A2, 3.00%, 3/25/20432,7 | 37,461 | 37,927 | ||||||
Series 2013-2, Class A2, 3.50%, 5/25/20432,7 | 32,728 | 33,194 | ||||||
Series 2014-2, Class 1A1, 3.00%, 6/25/20292,7 | 73,660 | 75,107 | ||||||
Series 2017-6, Class A3, 3.50%, 12/25/20482,7 | 43,531 | 43,955 | ||||||
Morgan Stanley Capital I Trust, | ||||||||
Series 2018-H3, Class A5, 4.177%, 7/15/2051 | 1,423,000 | 1,610,574 | ||||||
New Residential Mortgage Loan Trust, | ||||||||
Series 2014-1A, Class A, 3.75%, 1/25/20542,7 | 149,150 | 156,741 | ||||||
Series 2014-3A, Class AFX3, 3.75%, 11/25/20542,7 | 68,704 | 72,836 | ||||||
Series 2015-2A, Class A1, 3.75%, 8/25/20552,7 | 137,668 | 145,203 | ||||||
Series 2016-4A, Class A1, 3.75%, 11/25/20562,7 | 128,865 | 137,933 | ||||||
PMT Loan Trust, Series 2013-J1, Class A9, 3.50%, 9/25/20432,7 | 235,125 | 239,031 | ||||||
Provident Funding Mortgage Trust, | ||||||||
Series 2021-2, Class A2A, 2.00%, 4/25/20512,7 | 1,929,460 | 1,944,610 | ||||||
Series 2021-INV1, Class A1, 2.50%, 8/25/20512,7 | 2,880,298 | 2,934,641 | ||||||
Sequoia Mortgage Trust, | ||||||||
Series 2013-6, Class A2, 3.00%, 5/25/20437 | 641,875 | 647,589 | ||||||
Series 2013-7, Class A2, 3.00%, 6/25/20437 | 45,174 | 45,618 | ||||||
Series 2013-8, Class A1, 3.00%, 6/25/20437 | 119,150 | 120,330 | ||||||
Series 2016-3, Class A10, 3.50%, 11/25/20462,7 | 119,959 | 120,164 |
3
Investment Portfolio - September 30, 2021
(unaudited)
CORE BOND SERIES | PRINCIPAL AMOUNT1/ SHARES | VALUE | ||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES (continued) | ||||||||
Sequoia Mortgage Trust, (continued) | ||||||||
Series 2020-1, Class A4, 3.50%, 2/25/20502,7 | 61,561 | $ | 61,636 | |||||
Sutherland Commercial Mortgage Trust, Series 2019-SBC8, Class A, 2.86%, 4/25/20412,7 | 648,363 | 649,911 | ||||||
UBS Commercial Mortgage Trust, | ||||||||
Series 2017-C7, Class A4, 3.679%, 12/15/2050 | 1,000,000 | 1,102,533 | ||||||
Waikiki Beach Hotel Trust, Series 2019-WBM, Class A, (1 mo. LIBOR US + 1.050%), 1.134%, 12/15/20332,5 | 415,000 | 414,999 | ||||||
Wells Fargo Commercial Mortgage | ||||||||
Trust, Series 2015-C30, Class A4, 3.664%, 9/15/2058 | 3,000,000 | 3,259,508 | ||||||
WFRBS Commercial Mortgage Trust, | ||||||||
Series 2014-C19, Class A5, 4.101%, 3/15/2047 | 2,000,000 | 2,148,444 | ||||||
WinWater Mortgage Loan Trust, | ||||||||
Series 2015-1, Class A1, 3.50%, 1/20/20452,7 | 24,017 | 24,355 | ||||||
Series 2015-2, Class A11, 3.50%, 2/20/20452,7 | 727,282 | 730,500 | ||||||
TOTAL COMMERCIAL MORTGAGE- | ||||||||
BACKED SECURITIES | ||||||||
(Identified Cost $29,781,249) | 29,921,283 | |||||||
MUNICIPAL BONDS - 1.3% | ||||||||
New York City Transitional Finance Authority, Future Tax Secured, Public Impt., Revenue Bond, 1.58%, 5/1/2024 | 910,000 | 933,496 | ||||||
South Carolina Public Service Authority, Series B, Revenue Bond, 2.329%, 12/1/2028 | 600,000 | 618,618 | ||||||
Clark County, Public Impt., Series A, G.O. Bond, 1.15%, 11/1/2026 | 3,410,000 | 3,383,607 | ||||||
Hawaii, Series GC, G.O. Bond, 2.682%, 10/1/2038 | 95,000 | 93,841 | ||||||
TOTAL MUNICIPAL BONDS | ||||||||
(Identified Cost $5,035,683) | 5,029,562 | |||||||
U.S. TREASURY SECURITIES - 40.8% | ||||||||
U.S. Treasury Bonds - 8.3% | ||||||||
U.S. Treasury Bond | ||||||||
3.875%, 8/15/2040 | 9,845,000 | 12,883,875 | ||||||
2.50%, 2/15/2045 | 12,257,000 | 13,207,396 | ||||||
3.00%, 5/15/2047 | 4,642,000 | 5,493,517 | ||||||
Total U.S. Treasury Bonds | ||||||||
(Identified Cost $33,599,806) | 31,584,788 |
PRINCIPAL AMOUNT1/ SHARES | VALUE | |||||||
U.S. TREASURY SECURITIES (continued) | ||||||||
U.S. Treasury Notes - 32.5% | ||||||||
U.S. Treasury Note | ||||||||
2.125%, 5/15/2025 | 32,160,000 | $ | 33,790,612 | |||||
1.625%, 5/15/2026 | 32,807,000 | 33,823,248 | ||||||
2.375%, 5/15/2027 | 24,965,000 | 26,686,220 | ||||||
2.875%, 5/15/2028 | 27,130,000 | 29,901,287 | ||||||
Total U.S. Treasury Notes | ||||||||
(Identified Cost $125,786,437) | 124,201,367 | |||||||
TOTAL U.S. TREASURY SECURITIES | ||||||||
(Identified Cost $159,386,243) | 155,786,155 | |||||||
U.S. GOVERNMENT AGENCIES - 6.2% | ||||||||
Mortgage-Backed Securities - 6.2% | ||||||||
Fannie Mae | ||||||||
Pool #888017, UMBS, 6.00%, 11/1/2021 | 2 | 2 | ||||||
Pool #995329, UMBS, 5.50%, 12/1/2021 | 59 | 59 | ||||||
Pool #888136, UMBS, 6.00%, 12/1/2021 | 23 | 23 | ||||||
Pool #888810, UMBS, 5.50%, 11/1/2022 | 93 | 94 | ||||||
Pool #AD0462, UMBS, 5.50%, 10/1/2024 | 2,072 | 2,159 | ||||||
Pool #MA3463, UMBS, 4.00%, 9/1/2033 | 173,216 | 183,521 | ||||||
Pool #MA1834, UMBS, 4.50%, 2/1/2034 | 39,284 | 43,134 | ||||||
Pool #FM1158, UMBS, 3.50%, 6/1/2034 | 543,289 | 581,202 | ||||||
Pool #828377, UMBS, 5.50%, 6/1/2035 | 172,352 | 200,225 | ||||||
Pool #MA2587, UMBS, 3.50%, 4/1/2036 | 268,362 | 288,460 | ||||||
Pool #889494, UMBS, 5.50%, 1/1/2037 | 159,749 | 185,657 | ||||||
Pool #MA3215, UMBS, 3.50%, 12/1/2037 | 892,105 | 949,586 | ||||||
Pool #FM2568, UMBS, 3.00%, 5/1/2038 | 573,128 | 602,849 | ||||||
Pool #889624, UMBS, 5.50%, 5/1/2038 | 25,565 | 29,852 | ||||||
Pool #995876, UMBS, 6.00%, 11/1/2038 | 77,741 | 91,893 | ||||||
Pool #AD0307, UMBS, 5.50%, 1/1/2039 | 25,035 | 29,233 | ||||||
Pool #MA3988, UMBS, 3.00%, 4/1/2040 | 529,114 | 554,733 | ||||||
Pool #MA4203, UMBS, 2.50%, 12/1/2040 | 3,790,215 | 3,914,610 | ||||||
Pool #AI5172, UMBS, 4.00%, 8/1/2041 | 54,197 | 59,940 | ||||||
Pool #AH3858, UMBS, 4.50%, 8/1/2041 | 257,029 | 288,021 |
4
Investment Portfolio - September 30, 2021
(unaudited)
CORE BOND SERIES | PRINCIPAL AMOUNT1/ SHARES | VALUE | ||||||
U.S. GOVERNMENT AGENCIES (continued) | ||||||||
Mortgage-Backed Securities (continued) | ||||||||
Fannie Mae (continued) | ||||||||
Pool #AL7729, UMBS, 4.00%, 6/1/2043 | 66,516 | $ | 72,802 | |||||
Pool #AX1685, UMBS, 3.50%, 11/1/2044 | 652,368 | 712,036 | ||||||
Pool #AS4103, UMBS, 4.50%, 12/1/2044 | 161,100 | 177,433 | ||||||
Pool #AY8604, UMBS, 3.50%, 4/1/2045 | 99,005 | 106,585 | ||||||
Pool #AZ9215, UMBS, 4.00%, 10/1/2045 | 396,204 | 430,267 | ||||||
Pool #BC6764, UMBS, 3.50%, 4/1/2046 | 38,183 | 41,022 | ||||||
Pool #BC8677, UMBS, 4.00%, 5/1/2046 | 42,974 | 46,640 | ||||||
Pool #BD2179, UMBS, 4.00%, 7/1/2046 | 130,951 | 142,708 | ||||||
Pool #AS7660, UMBS, 2.50%, 8/1/2046 | 2,788,469 | 2,887,501 | ||||||
Pool #BD1191, UMBS, 3.50%, 1/1/2047 | 243,138 | 259,421 | ||||||
Pool #BE7845, UMBS, 4.50%, 2/1/2047 | 41,607 | 45,353 | ||||||
Pool #MA3007, UMBS, 3.00%, 4/1/2047 | 950,521 | 1,005,755 | ||||||
Pool #FM2232, UMBS, 4.00%, 6/1/2048 | 164,810 | 177,181 | ||||||
Pool #AL8674, 5.662%, 1/1/2049 | 348,039 | 389,688 | ||||||
Freddie Mac | ||||||||
Pool #G12610, 6.00%, 3/1/2022 | 220 | 221 | ||||||
Pool #G12655, 6.00%, 5/1/2022 | 206 | 207 | ||||||
Pool #G12988, 6.00%, 1/1/2023 | 619 | 629 | ||||||
Pool #G13078, 6.00%, 3/1/2023 | 861 | 874 | ||||||
Pool #D98711, 4.50%, 7/1/2031 | 68,208 | 74,441 | ||||||
Pool #C91746, 4.50%, 12/1/2033 | 53,884 | 59,071 | ||||||
Pool #C91771, 4.50%, 6/1/2034 | 61,219 | 67,241 | ||||||
Pool #C91780, 4.50%, 7/1/2034 | 78,696 | 86,436 | ||||||
Pool #QN0349, UMBS, 3.00%, 8/1/2034 | 478,586 | 505,958 | ||||||
Pool #C91832, 3.50%, 6/1/2035 | 301,785 | 326,659 | ||||||
Pool #G07655, 5.50%, 12/1/2035 | 47,526 | 55,187 | ||||||
Pool #K93731, 3.00%, 11/1/2036 | 1,673,500 | 1,769,418 | ||||||
Pool #G08268, 5.00%, 5/1/2038 | 357,750 | 409,478 | ||||||
Pool #G05275, 5.50%, 2/1/2039 | 102,657 | 118,237 | ||||||
Pool #G05900, 6.00%, 3/1/2040 | 22,191 | 25,844 | ||||||
Pool #A92889, 4.50%, 7/1/2040 | 157,594 | 176,720 | ||||||
Pool #A93451, 4.50%, 8/1/2040 | 394,717 | 438,721 | ||||||
Pool #RB5108, UMBS, 2.00%, 4/1/2041 | 2,652,656 | 2,692,776 | ||||||
Pool #G60513, 5.00%, 7/1/2041 | 384,446 | 439,433 | ||||||
Pool #G60071, 4.50%, 7/1/2042 | 156,527 | 175,309 | ||||||
Pool #Q17513, 3.50%, 4/1/2043 | 107,146 | 116,011 | ||||||
Pool #G60183, 4.00%, 12/1/2044 | 159,613 | 173,959 | ||||||
Pool #Q37857, 4.00%, 12/1/2045 | 342,339 | 374,886 | ||||||
Pool #G60855, 4.50%, 12/1/2045 | 142,967 | 159,449 |
PRINCIPAL AMOUNT1/ SHARES | VALUE | |||||||
U.S. GOVERNMENT AGENCIES (continued) | ||||||||
Mortgage-Backed Securities (continued) | ||||||||
Freddie Mac (continued) | ||||||||
Pool #Q38388, 4.00%, 1/1/2046 | 467,305 | $ | 514,041 | |||||
Pool #Q47544, 4.00%, 3/1/2047 | 356,546 | 390,648 | ||||||
Pool #Q47130, 4.50%, 4/1/2047 | 26,146 | 28,245 | ||||||
Pool #G08786, 4.50%, 10/1/2047 | 115,485 | 125,878 | ||||||
TOTAL U.S. GOVERNMENT AGENCIES | ||||||||
(Identified Cost $23,395,590) | 23,805,622 | |||||||
SHORT-TERM INVESTMENT - 1.1% | ||||||||
Dreyfus Government Cash Management, Institutional Shares, 0.03%8 | ||||||||
(Identified Cost $4,015,905) | 4,015,905 | 4,015,905 | ||||||
TOTAL INVESTMENTS - 100.0% | ||||||||
(Identified Cost $381,933,787) | 382,023,882 | |||||||
OTHER ASSETS, LESS LIABILITIES - 0.0%## | 115,580 | |||||||
NET ASSETS - 100% | $ | 382,139,462 |
5
Investment Portfolio - September 30, 2021
(unaudited)
CLO - Collateralized Loan Obligation
G.O. Bond - General Obligation Bond
Impt. - Improvement
IO - Interest only
LIBOR - London Interbank Offered Rate
REMICS - Real Estate Mortgage Investment Conduits
UMBS - Uniform Mortgage-Backed Securities
##Less than 0.1%.
1Amount is stated in USD unless otherwise noted.
2Security purchased or received in a transaction exempt from registration under the Securities Act of 1933, as amended (the “1933 Act”) and determined to be liquid under the Fund’s Liquidity Risk Management Program. The security may be resold pursuant to an exemption from registration under the 1933 Act, typically to qualified institutional buyers. The aggregate value of these securities at September 30, 2021 was $108,145,991, which represented 28.3% of the Series’ Net Assets.
3Variable rate security. Security may be issued at a fixed coupon rate, which converts to a variable rate at a specified date. Rate shown is the rate in effect as of September 30, 2021.
4Security is perpetual in nature and has no stated maturity date.
5Floating rate security. Rate shown is the rate in effect as of September 30, 2021.
6Security purchased or received in a transaction exempt from registration under the Securities Act of 1933, as amended (the “1933 Act”) and determined to be illiquid under the Fund’s Liquidity Risk Management Program. The security may be resold pursuant to an exemption from registration under the 1933 Act, typically to qualified institutional buyers. The security was acquired on December 22, 2020 at a cost of $1,500,000. The value of the security at September 30, 2021 was $1,502,547, or 0.4% of the Series’ Net Assets.
7Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. Rate shown is the rate in effect as of September 30, 2021.
8Rate shown is the current yield as of September 30, 2021.
The Global Industry Classification Standard (GICS) was developed by and is the exclusive property and a service mark of MSCI Inc. (MSCI) and Standard & Poor’s, a division of S&P Global Inc. (S&P), and is licensed for use by Manning & Napier when referencing GICS sectors. Neither MSCI, S&P, nor any third party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification, nor shall any such party have any liability therefrom.
Fair Value Information:
Various inputs are used in determining the value of the Series’ assets or liabilities carried at fair value. These inputs are summarized in three broad levels. Level 1 includes quoted prices in active markets for identical assets and liabilities. Level 2 includes other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Level 3 includes significant unobservable inputs (including the Series’ own assumptions in determining the fair value of investments). A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input both individually and in aggregate that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the valuation levels used for major security types as of September 30, 2021 in valuing the Series’ assets or liabilities carried at fair value:
DESCRIPTION | TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | ||||||||||||
Assets: | ||||||||||||||||
Debt securities: | ||||||||||||||||
U.S. Treasury and other U.S. Government agencies | $ | 179,591,777 | $ | — | $ | 179,591,777 | $ | — | ||||||||
States and political subdivisions (municipals) | 5,029,562 | — | 5,029,562 | — | ||||||||||||
Corporate debt: | ||||||||||||||||
Communication Services | 12,808,266 | — | 12,808,266 | — | ||||||||||||
Consumer Discretionary | 5,585,990 | — | 5,585,990 | — | ||||||||||||
Energy | 23,158,398 | — | 23,158,398 | — | ||||||||||||
Financials | 16,498,626 | — | 16,498,626 | — | ||||||||||||
Health Care | 2,482,134 | — | 2,482,134 | — | ||||||||||||
Industrials | 20,483,751 | — | 20,483,751 | — | ||||||||||||
Materials | 1,851,484 | — | 1,851,484 | — | ||||||||||||
Real Estate | 11,741,716 | — | 11,741,716 | — | ||||||||||||
Asset-backed securities | 68,854,990 | — | 68,854,990 | — | ||||||||||||
Commercial mortgage-backed securities | 29,921,283 | — | 29,921,283 | — |
6
Investment Portfolio - September 30, 2021
(unaudited)
DESCRIPTION | TOTAL | LEVEL 1 | LEVEL 2 | LEVEL 3 | ||||||||||||
Short-Term Investment | $ | 4,015,905 | $ | 4,015,905 | $ | — | $ | — | ||||||||
Total assets | $ | 382,023,882 | $ | 4,015,905 | $ | 378,007,977 | $ | — |
There were no Level 3 securities held by the Series as of December 31, 2020 or September 30, 2021.
The Investment Portfolio should be read in conjunction with the financial statements and notes to financial statements, which are included in the Series’ audited annual report or unaudited semi-annual report. These reports include additional information about the Series’ security valuation policies and about certain security types invested in by the Series.
7