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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act File number: 811-06136
HOMESTEAD FUNDS, INC.
(Exact name of registrant as specified in charter)
4301 Wilson Boulevard
Arlington, VA 22203
(Address of principal executive office – Zip code)
Kelly Whetstone, Esq.
Homestead Funds, Inc.
4301 Wilson Boulevard
Arlington, VA 22203
(Name and address of agent for service)
Copies to:
Bryan Chegwidden, Esq.
Ropes & Gray, LLP
1211 Avenue of the Americas
New York, NY 10036-8704
(Name and addresses of agent for service)
Registrant’s telephone number, including area code: (703) 907-5953
Date of fiscal year end: December 31
Date of reporting period: June 30, 2016
Table of Contents
Item 1. Reports to Stockholders.
Table of Contents
Semi-Annual Report
June 30, 2016
Our Funds
Daily Income Fund (HDIXX)
Short-Term Government Securities Fund (HOSGX)
Short-Term Bond Fund (HOSBX)
Stock Index Fund (HSTIX)
Value Fund (HOVLX)
Growth Fund (HNASX)
Small-Company Stock Fund (HSCSX)
International Equity Fund (HISIX)
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Daily Income Fund | 2 | |||
Short-Term Government Securities Fund and Short-Term Bond Fund | 4 | |||
Stock Index Fund | 8 | |||
Value Fund | 10 | |||
Growth Fund | 12 | |||
Small-Company Stock Fund | 14 | |||
International Equity Fund | 16 |
18 | ||||||||
20 | ||||||||
Daily Income Fund | 21 | |||||||
Short-Term Government Securities Fund | 23 | |||||||
Short-Term Bond Fund | 27 | |||||||
Stock Index Fund | 38 | |||||||
Value Fund | 39 | |||||||
Growth Fund | 41 | |||||||
Small-Company Stock Fund | 43 | |||||||
International Equity Fund | 45 | |||||||
48 | ||||||||
50 | ||||||||
52 |
Daily Income Fund | 56 | |||||||||||
Short-Term Government Securities Fund | 57 | |||||||||||
Short-Term Bond Fund | 58 | |||||||||||
Stock Index Fund | 59 | |||||||||||
Value Fund | 60 | |||||||||||
Growth Fund | 61 | |||||||||||
Small-Company Stock Fund | 62 | |||||||||||
International Equity Fund | 63 | |||||||||||
64 | ||||||||||||
71 | ||||||||||||
72 |
The investment commentaries on the following pages were prepared for each fund by its portfolio manager(s). The views expressed are those of the portfolio manager(s) on July 15, 2016, for each fund as of June 30, 2016. Since that date, those views might have changed. The opinions stated might contain forward-looking statements and discuss the impact of domestic and foreign markets, industry and economic trend and governmental regulations on the funds and their holdings. Such statements are subject to uncertainty, and the impact on the funds might be materially different from what is described here.
Past performance does not guarantee future results.
Investments in fixed-income funds are subject to interest rate, credit and inflation risk. Equity funds, in general, are subject to style risk, which is the risk that returns on stocks within the style category in which a fund invests will trail returns of stocks representing other style categories or the market overall.
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Homestead Funds
2016 Semi-Annual Report
August 3, 2016
Dear Shareholders:
So far in 2016 we’ve seen a continuation of the previous year’s volatile investment markets.
Global economic growth remains muted, though the U.S. is leading the world in stability these days. Oil prices are still low by historical standards, but they have trended up a bit from their levels earlier in the year. The labor market has been showing signs of strength, with the exception of an unexpectedly weak new jobs report in May (June numbers bounced back).
The Federal Reserve’s policy-making committee remains committed to a path of interest rate normalization but has stayed its hand so far in 2016. The Fed’s last move was a 25 basis point increase in its target for the federal funds rate announced at year-end 2015—the first increase since 2006.
Stocks in the U.S. exhibited a high level of volatility in the first half, thanks in part to the U.K.’s June referendum vote to leave the European Union, known as “Brexit.” Still, most broad market indices managed to eke out a gain for the six months, extending the long running bull market in stocks. Bond yields declined, with 10-year U.S. Treasuries setting a new record low in the second quarter. Negative rate policy outside the U.S. is a factor, and the ever-lengthening timeline for higher rates here at home is putting downward pressure on yields.
Anxieties are high, but many broad measures of health in the U.S. economy are actually very good. U.S. economic growth continues to be modest, in the 1-2% range annually, but reassuringly stable. After a slow start to the year, consumer spending jumped in April and May. The job market is in relatively good shape and strength in the labor market is flowing through to wages and salaries.
As you’ll see in the portfolio manager commentaries that follow, those at the helm of our actively managed funds focus on fundamentals. While cognizant of the macroeconomic factors and no less able to tune out the “what ifs” of an election year than anyone else, it doesn’t change the process of identifying an attractive opportunity or having the courage of our convictions in making investments. In fact, volatility can present an opportunity to establish or add to positions at attractive valuations.
While it can be hard for our shareholders to resist the temptation to make a move when the markets are bouncing around, market timing can have catastrophic consequences. Even those lucky enough to miss a decline may not get back in in time to participate in a rally, and that growth potential is exactly the reason to hold more volatile assets.
So, if you have a diversified portfolio that is appropriate for your time horizons and risk tolerance, let reason and not emotion be your guide. Our client services team would be pleased to talk with you about your accounts and share our views of the risks and opportunities ahead. Give us a call at 800-258-3030.
Sincerely,
Stephen Kaszynski, CFA
Director, President and CEO
Homestead Funds and RE Advisers
Stephen Kaszynski, CFA
Director, President and CEO
Diversification does not ensure a profit or protect against loss. It is a method used to help manage investment risk.
Table of Contents
Performance Evaluation | Prepared by the Fund’s Investment Advisor, RE Advisers Corporation
Performance
The Daily Income Fund earned an annualized return of 0.01 percent for the first half of 2016. The seven-day current annualized yield was 0.01 percent on June 30, 2016, unchanged from the end of 2015. Interest income for the fund is netted against operating expenses. With interest income at historic lows, RE Advisers continued to waive fees and/or reimburse expenses to assist the fund in maintaining a positive yield during the reporting period. With the Federal Reserve (the Fed) maintaining a federal funds rate band between 0.25 percent and 0.50 percent, the Daily Income Fund continued to earn very little interest income.
Market Conditions
The U.S. economy continued to improve in 2016, albeit with choppy results. After an unexpectedly soft 1.1 percent rise in gross domestic product (GDP) in the first quarter of 2016, the general consensus among economists at this time is that GDP rose at an annual rate of approximately 2.6 percent in the second quarter of 2016. Warmer winter weather helped prevent more sluggish economic activity, as was the case in the first quarters of both 2014 and 2015. However, Fed forecasts still indicate only a relatively modest 2.0 percent gain in GDP for the second half of 2016.
Although the Fed’s analysis of the data suggests moderate overall economic expansion, specific issues remain. On the positive side, there has been growth in household spending and the housing sector continues to improve. Also, several labor market measurements indicated continued improvement during the first half of the year (e.g., initial jobless claims remained below 300,000, a threshold considered a sign of a healthy labor market; the four-week moving average of continuing unemployment claims continued to trend lower; and the unemployment rate declined to 4.9 percent from 5.0 percent during the six-months ended June 30, 2016). However, wage gains were relatively tepid at approximately 2.5 percent during the period, due largely to low growth in labor productivity. An improvement in productivity will be essential to economic growth in general and wage gains in particular, in our view. In addition, business fixed investment and net exports remained relatively soft during the reporting period. Inflation remained below the long-term objective of 2 percent set by the Federal Open Market Committee (FOMC, the Fed’s policymaking body). This partly reflects declines in prices of both energy and non-energy imports. However, as the labor market strengthens, the Fed thinks inflation will rise to 2 percent in the medium term.
After the FOMC revised its target for the federal funds rate to between 0.25 percent and 0.50 percent in December 2015, many anticipated several rate hikes in 2016 as interest rates were normalized. However, lackluster international economic growth, a negative interest rate environment in many important economies and the political instability created by the U.K.’s Brexit vote to leave the E.U. have created a flight to quality assets, such as U.S. Treasuries, which has depressed yields on those securities.
Outlook
Assuming moderate growth in the U.S. economy, continued improvement in labor markets, stability in financial markets and an absence of events that upset global political stability, we believe the later part of 2016 may see the continued normalization of interest rates. However, the timing and size of interest rate increases will remain very much dependent upon the data the FOMC analyzes and the economic environment at the time. Investors in money market funds, such as the Daily Income Fund, should see a higher level of interest income once the Fed allows short-term rates to rise.
In closing, we’d like to update you on the progress made on converting the Daily Income Fund to a government money market fund. As noted in previous reports, the Homestead Funds’ board of directors approved the conversion of the fund on June 17, 2015. Since then, commercial paper and corporate bonds have slowly been converted into U.S. government securities. As of June 30, 2016, the percentage of commercial paper and corporate bonds within the portfolio was 12 percent, down from 45 percent at December 31, 2015. This conversion process will continue in an orderly manner until the fund, on or before October 14, 2016, changes its principal investment strategy to investing at least 99.5 percent of its total assets in cash, U.S. government securities and repurchase agreements that are fully collateralized by U.S. government securities.
2 | Performance Evaluation |
Investment Advisor: RE Advisers | ||
Marc Johnston, CFP, ChFC, CAIA Money Market Portfolio Manager
BA, General Arts, Villanova University; MBA, Northeastern University | ||
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Daily Income Fund
Average Annual Total Returns (periods ended 06/30/16) | ||||||||||||
1 YR % | 5 YR % | 10 YR % | ||||||||||
Daily Income Fund | 0.01 | 0.01 | 0.94 |
Yield | ||||
Annualized 7-day current yield quoted 6/30/16 | 0.01% |
Security Diversification | ||||||||
% of Total Investments | ||||||||
as of 12/31/15 | as of 06/30/16 | |||||||
Government-guaranteed agencies | 27.1 | 51.7 | ||||||
U.S. Treasuries | 18.3 | 19.8 | ||||||
Commercial paper | 43.5 | 11.5 | ||||||
Corporate bonds | 1.5 | 0.7 | ||||||
Short-term and other assets | 9.6 | 16.3 | ||||||
Total | 100.0% | 100.0% |
Maturity | ||||||||
as of 12/31/15 | as of 06/30/16 | |||||||
Average Weighted Maturity | 44 days | 48 days |
The returns quoted in the above table represent past performance, which is no guarantee of future results. Current performance may be higher or lower than that shown above. Returns and the principal value of your investment may be worth more or less than its original cost. You could lose money by investing in the Daily Income Fund. Although the fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The fund’s sponsor has no legal obligation to provide financial support to the fund, and you should not expect that the sponsor will provide financial support to the fund at any time.
Performance Evaluation | 3 |
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Short-Term Government Securities
and Short-Term Bond Funds
Performance Evaluation | Prepared by the Funds’ Investment Advisor, RE Advisers Corporation
Fund Performance
The Short-Term Government Securities Fund had a total return of 1.54 percent in the first half of 2016, trailing its benchmark return of 2.39 percent. While all of the fund’s sectors generated positive returns, the corporate sector was the standout performer. Various issues guaranteed by the Export-Import Bank benefited from robust demand for government guaranteed paper and the longer maturities within this space benefitted from sharply lower yields and a flatter curve, two variables that hurt overall fund performance relative to the benchmark. Cash was the fund’s weakest performing sector on an absolute basis.
Positions were added in the corporate sector utilizing Federal Deposit Insurance Corporation-guaranteed certificates of deposit and Export-Import Bank guaranteed issues, in the mortgage-backed sector utilizing an issue guaranteed by the National Credit Union Administration and in the government sector utilizing U.S. Treasuries and issues from the Overseas Private Investment Corporation and the Agency for International Development.
The Short-Term Bond Fund had a total return of 1.73 percent in the first half of 2016, trailing its benchmark return of 2.61 percent. All of the fund’s sectors, with the exception of mortgage-backed securities, generated positive returns for the period with the strongest sectors being municipal bonds and Yankee bonds.
Positions were added in all of the fund’s sectors with the exception of mortgage-backed securities. New investments were concentrated in the energy sector, banks, utilities and asset-backed securities, with a continued emphasis on auto lending and student loans.
Both funds underperformed their respective benchmarks as a result of their shorter durations, given the fact that two-year Treasury yields fell 47 basis points while five-year Treasury yields fell 76 basis points.
Market Conditions
After the Fed’s December 2015 interest rate hike, bond market participants braced themselves for additional rate hikes in 2016 given the prevailing view of the Federal Open Market Committee (FOMC, the Fed’s policymaking body) that three or four rate hikes might be appropriate in 2016. While most bond investors were not convinced that multiple hikes in the federal funds rate were likely, directionally it was clear which way short-term rates were going. Instead of that trend continuing, the market was bombarded by various negatives: crude oil’s collapse and resultant spike in spreads of commodity-related credits, disinflationary trends and quantitative easing in the Eurozone (which has resulted in negative interest rates as a policy tool), continuing concerns about slowing Chinese growth and lack of growth in Japan, slower domestic payroll growth in spite of a falling unemployment rate and, as if that wasn’t enough, Brexit becoming a reality near the end of June. The U.K.’s referendum vote to leave the E.U. prompted even more economic concerns and a virtual stampede for safe assets that sent German 10-year bond yields into negative yield territory and U.S. Treasury 10-year bond yields to a new secular low in early July.
West Texas crude oil averaged $43 per barrel in the first half of 2016 as compared to $61 in 2015’s first half. Nonetheless, the markets were spooked by the drop to the low $30s in late January. This rocked energy stocks and bonds as well as the overall stock market, which reached its low in early February as measured by the Standard & Poor’s (S&P) 500 Index (S&P 500). The European Central Bank (ECB) expanded its easy monetary policy with the introduction of a corporate asset buying program in addition to its government bond buying program, originally launched in March of 2015. ECB Chief Mario Draghi continues his program of doing whatever it takes to drive inflation skyward and get investors to take on riskier assets. Meanwhile Chinese gross domestic product (GDP) rose 6.7 percent for the year-ended June 30, 2016, as compared to 7.0 percent for the prior year-end period. Investors have been concerned over China’s makeover from an industrial powerhouse to a consumer-led economy. Japan’s debt load represents more than half of the world’s bonds that have negative yields, and concerns over economic growth have reportedly prompted Prime Minister Abe and his advisors to consider introducing “helicopter money,” i.e., direct injections of cash into individual and/or business accounts. Even though the U.S. unemployment rate fell from 5.3 percent at year-end 2015 to 4.9 percent in June, non-farm payroll gains averaged 172,000 during the first half of 2016. The month of May registered a paltry 11,000, as compared with an average of 220,000 in 2015’s first half. While the U.K.’s decision to leave the E.U. shocked investors and initially led to a sharp equity markets sell-off and a widening of credit spreads, the reaction was short-term in nature and markets quickly recovered. In our view, the remaining issues are that already anemic growth prospects have become even more uncertain, and longer-term, perhaps other E.U. countries will look to exit (the usual suspects include Greece, Spain and Italy).
Domestic GDP’s growth rate remained at 2.1 percent for the year-end March 31, 2016, which is the same rate registered six months earlier. Along with the drop in the unemployment rate mentioned earlier, the broader U-6 unemployment rate fell to 9.6 percent from 9.9 percent at year-end 2015 with wage gains holding steady at 2.6 percent year over year. Slowing employment gains without much of an improvement in the labor force participation rate, which at 62.7 percent is barely above the 20-year low of 62.4 percent registered last September, suggests dwindling job prospects. On the other side of the
4 | Performance Evaluation |
Table of Contents
Performance Evaluation | Prepared by the Funds’ Investment Advisor, RE Advisers Corporation (Continued)
ledger, however, is the Job Opening and Labor Turnover Survey (JOLTS), which tracks job openings in the economy. For the first half of 2016, there was an average of 5.48 million unfilled jobs compared with 4.97 million in the first half of last year, which suggests that a lack of certain skill sets and/or a desire to work are the real culprits. The Consumer Price Index (CPI) rose 1.0 percent for the year-end June 30, 2016, as compared with 0.1 percent for the year-earlier period, while core CPI (excludes food and energy) rose 2.3 percent versus 1.8 percent one year earlier.
The Institute for Supply Management (ISM) Manufacturing Index averaged 50.8 in 2016’s first half, compared with 52.9 in 2015’s first half. The weakness in 2016 was most pronounced in January and February with the index below 50.0, yet the index bounced back to 53.2 in June. Industrial production has weakened as evidenced by a decline of 0.7 percent for the 12 months ended June 30, 2016, as compared with a decline of 0.2 percent in the previous 12-month period. Total retail sales for the year-end June 30, 2016 rose 2.7 percent as compared with 2.1 percent one year ago. Housing starts have improved to 1.16 million units for the 12 months ended May 31, 2016, compared with 1.03 million one year earlier, while existing home sales averaged 5.34 million, versus 5.07 million over the same time period. U.S. auto sales averaged 17.1 million units so far in 2016, compared to 16.9 million in last year’s first half. The University of Michigan Consumer Sentiment Index averaged 92.0 in 2016’s first half compared with 94.9 one year before.
The FOMC has maintained its target range for the federal funds rate of 0.25 to 0.50 percent at each of its four meetings in 2016. With the release of the June 15, 2016 FOMC meeting minutes, it is clear that although progress continued to be made toward reaching the Fed’s 2 percent inflation goal, along with further gains in employment, doubts were creeping into the FOMC’s mindset revolving around overseas developments and an apparent weakening of labor market conditions. Fed rhetoric prior to the May employment report suggested that June or July would likely see a 25 basis point hike in the funds rate, but that report—originally 38,000 new jobs, and then revised with the June employment report to only 11,000 new jobs—lowered rate hike probabilities virtually to zero with the Brexit vote a week later sealing the deal.
Outlook
Brexit put the “nail in the coffin” as far as Fed tightening goes in 2016. While the Fed has claimed all along that rate hikes would be data dependent, it’s clear that very little in the way of weak economic data will upset its time table and cause it to pause on its journey to interest rate normalization. As of the end of June, the probability of no rate hikes in 2017 was being priced into federal funds futures.
As this is being written, however, futures are signaling a rate hike in the spring of 2017. June employment growth surged, the S&P 500 has hit new all-time record highs and multiple FOMC members are once again suggesting that short-term rate hikes might be needed in 2016. While the most recent Fed “dot plot” has the long-term fed funds rate at 3.0 percent, which is down from 3.75 percent one year ago, the market gives almost no credibility to these projections. Lower rates for a longer time period is the market’s expectation.
Given tight credit spreads and low rates, we anticipate keeping the funds’ durations well below their respective benchmarks, reasoning that yields could be very susceptible to a backup should the economy and/or the Fed deliver a surprise. Even without a surprise, rates seem unlikely to move significantly lower in the absence of a Fed interest-rate cut.
Performance Evaluation | 5 |
Investment Advisor: RE Advisers | ||
| Mauricio Agudelo, CFA Fixed Income Portfolio Manager
BS, Finance The University of Maryland, | |
| Doug Kern, CFA Senior Fixed Income Portfolio Manager
BS, Business Administration; MBA Finance, Pennsylvania State University |
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Short-Term Government Securities Fund
Average Annual Total Returns (periods ended 06/30/16) | ||||||||||||
1 YR % | 5 YR % | 10 YR % | ||||||||||
Short-Term Government Securities Fund | 1.31 | 1.00 | 2.45 | |||||||||
BofA Merrill Lynch 1-5 Year U.S. Treasury Index | 2.43 | 1.43 | 3.22 |
Security Diversification | ||||||||
% of Total Investments | ||||||||
as of 12/31/15 | as of 06/30/16 | |||||||
Corporate bonds | 32.1 | 33.1 | ||||||
Government-guaranteed agencies | 36.7 | 32.9 | ||||||
U.S. Treasuries | 21.2 | 20.9 | ||||||
Mortgage-backed securities | 3.6 | 4.3 | ||||||
Municipal bonds | 1.4 | 0.8 | ||||||
Asset-backed securities | 0.2 | 0.2 | ||||||
Short-term and other assets | 4.8 | 7.8 | ||||||
Total | 100.0% | 100.0% |
Maturity | ||||||||
as of 12/31/15 | as of 06/30/16 | |||||||
Average Weighted Maturity | 2.18 | 2.00 |
Performance Comparison |
Comparison of the change in value of a $10,000 investment in the fund and the BofA Merrill Lynch 1-5 Year U.S. Treasury Index made on June 30, 2006.
The returns quoted in the above table and chart represent past performance, which is no guarantee of future results. Current performance may be higher or lower than that shown above. Returns and the principal value of your investment will fluctuate such that shares, when redeemed, may be worth more or less than their original cost. The Short-Term Government Securities Fund’s average annual total returns are net of any fee waivers and reimbursements. Returns do not reflect taxes that the shareholder may pay on fund distributions or the redemption of fund shares.
6 | Performance Evaluation |
Table of Contents
Short-Term Bond Fund
Average Annual Total Returns (periods ended 06/30/16) | ||||||||||||
1 YR % | 5 YR % | 10 YR % | ||||||||||
Short-Term Bond Fund | 1.85 | 2.04 | 3.71 | |||||||||
BofA Merrill Lynch 1-5 Year Corp./Gov. Index | 2.65 | 1.85 | 3.54 |
Security Diversification | ||||||||
% of Total Investments | ||||||||
as of 12/31/15 | as of 06/30/16 | |||||||
Corporate bonds | 31.6 | 32.2 | ||||||
Asset-backed securities | 24.3 | 24.0 | ||||||
Municipal bonds | 21.8 | 20.7 | ||||||
Yankee bonds | 8.4 | 8.6 | ||||||
U.S. Government obligations | 7.0 | 6.0 | ||||||
Mortgage-backed securities | 3.2 | 2.9 | ||||||
Short-term and other assets | 3.7 | 5.6 | ||||||
Total | 100.0% | 100.0% |
Maturity | ||||||||
as of 12/31/15 | as of 06/30/16 | |||||||
Average Weighted Maturity | 2.11 | 2.07 |
Performance Comparison |
Comparison of the change in value of a $10,000 investment in the fund and the BofA Merrill Lynch 1-5 Year Corp./Gov. Index made on June 30, 2006.
The returns quoted in the above table and chart represent past performance, which is no guarantee of future results. Current performance may be higher or lower than that shown above. Returns and the principal value of your investment will fluctuate such that shares, when redeemed, may be worth more or less than their original cost. The Short-Term Bond Fund’s average annual total returns are net of any fee waivers and reimbursements. Returns do not reflect taxes that the shareholder may pay on fund distributions or the redemption of fund shares.
Performance Evaluation | 7 |
Table of Contents
Performance Evaluation | Prepared by the Fund’s Investment Advisor, BlackRock Fund Advisors
Index and Fund Performance
For the six months ended June 30, 2016, the U.S. large-cap market metric and the fund’s benchmark, the Standard & Poor’s (S&P) 500 Index, gained 3.84 percent and the Stock Index Fund’s performance was 3.55%. The S&P 500 Index is a market capitalization-weighted index composed of 500 common stocks issued by large-capitalization companies in a wide range of industries. The stocks included in the index collectively represent a substantial portion of all common stocks publicly traded in the U.S.
During the six-month period, as changes were made to the composition of the S&P 500 Index, the S&P 500 Index Master Portfolio in which the fund invests purchased and sold securities to maintain its objective of replicating the risks and return of the benchmark index. Stocks added to the Master Portfolio were Wills Towers Watson, Extra Space Storage, Citizens Financial Group, Federal Realty Investment Trust, Concho Resources, American Water Works Co., Inc., UDR Inc., Centene, Hologic., Foot Locker, Under Armour (Class C), Ulta Salon Cosmetics & Fragrance, Global Payments, Acuity Brands, Alaska Air Group, Digital Realty Trust, LKQ Corp., Arthur J. Gallagher & Co., TransDigm Group and Fortune Brands Home & Security. Stocks sold from the Master Portfolio were Fossil Group, Chubb Corp., Broadcom (Class A), Precision Castparts, Plum Creek Timber, Consol Energy, Keurig Green Mountain, Ensco PLC (Class A), Pepco Holdings, Cameron International, Tenet Healthcare, GameStop (Class A), ADT, SanDisk, Time Warner Cable, Airgas, Coca-Cola Enterprises, Baxalta and Cablevision Systems (Class A).
Market Conditions
Market-moving events and headlines in the first half of the year have been dominated by slowing global growth fears and geopolitical events.
The first week of the year was the worst start to a year since 2009, and by February 11, the S&P 500 Total Return Index hit a low for the year of –10.27 percent. With fears of a global economic slowdown; oil prices cratering; and terrorist attacks in Istanbul, Jakarta, and Pakistan, equities suffered.
Russia and Saudi Arabia agreed to freeze oil production and oil began to rebound in February. U.S. equities responded in kind, aided by dovish comments from Federal Reserve (the Fed) officials. In March, the European Central Bank unexpectedly cut rates and increased asset purchases, while the Fed kept rates unchanged and scaled back the expected number of rate hikes this year. Despite the terror attacks in Brussels, the market
rallied in March and the S&P 500 Index ended the first quarter up 1.35 percent.
Domestic equity markets posted gains in the first half of the year despite increased volatility in June from “Brexit,” i.e., the U.K.’s vote to leave the E. U. Following the vote, equity markets declined worldwide and investors rushed to high-quality assets, driving U.S. Treasury yields further down. However, U.S. equities capitalized on the upward momentum from their March rally, which continued through the second quarter as commodities rebounded and dovish comments from the Fed fueled the market.
8 | Performance Evaluation |
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Stock Index Fund
Average Annual Total Returns (periods ended 06/30/16) | ||||||||||||
1 YR % | 5 YR % | 10 YR % | ||||||||||
Stock Index Fund | 3.43 | 11.50 | 6.84 | |||||||||
Standard & Poor’s 500 Stock Index | 3.99 | 12.10 | 7.42 |
Industry Diversification* | ||||
% of Total Investments as of 06/30/16 | ||||
Information technology | 18.9 | |||
Financials | 15.1 | |||
Health care | 14.0 | |||
Consumer discretionary | 11.7 | |||
Consumer staples | 10.1 | |||
Industrials | 9.7 | |||
Energy | 7.1 | |||
Utilities | 3.5 | |||
Telecommunication services | 2.8 | |||
Materials | 2.8 | |||
Short-term and other assets | 4.3 | |||
Total | 100.0% |
Top Ten Equity Holdings* | ||||
% of Total Investments as of 06/30/16 | ||||
Apple, Inc. | 2.8 | |||
Microsoft Corp. | 2.1 | |||
Exxon Mobil Corp. | 2.0 | |||
Johnson & Johnson | 1.8 | |||
General Electric Co. | 1.5 | |||
Amazon.com, Inc. | 1.5 | |||
Berkshire Hathaway, Inc. (Class B) | 1.4 | |||
AT&T, Inc. | 1.4 | |||
Facebook, Inc. (Class A) | 1.4 | |||
Verizon Communications, Inc. | 1.1 | |||
Total | 17.0% |
Performance Comparison |
Comparison of the change in value of a $10,000 investment in the fund and the Standard & Poor’s 500 Stock Index made on June, 2006.
The returns quoted in the above table and chart represent past performance, which is no guarantee of future results. Current performance may be higher or lower than that shown above. Returns and the principal value of your investment will fluctuate such that shares, when redeemed, may be worth more or less than their original cost. The Stock Index Fund’s average annual total returns are net of any fee waivers and reimbursements. Returns do not reflect taxes that the shareholder may pay on fund distributions or the redemption of fund shares.
* | Industry diversification and top holdings information is for the S&P 500 Index Master Portfolio, managed by BlackRock Fund Advisors, the portfolio in which the Stock Index Fund invests all of its investable assets. Please refer to the Appendix for the complete annual report of the S&P 500 Index Master Portfolio. |
Performance Evaluation | 9 |
Table of Contents
Performance Evaluation | Prepared by the Fund’s Investment Advisor, RE Advisers Corporation
Fund Performance
The Value Fund increased 3.99 percent in the first six months of 2016 and its benchmark index, the unmanaged Standard & Poor’s (S&P) 500 Index, increased 3.84 percent. The fund’s slightly better than index results were due primarily to the results in its health care, materials and consumer discretionary sector holdings.
Portfolio Review
The fund’s positions in the health care sector made the greatest positive contribution to performance. Results were helped by Pfizer, Bristol-Myers Squibb, GlaxoSmithKline and Merck & Company. Bristol-Myers Squibb and Merck & Company have seen additional Federal Drug Administration approvals for their immuno-oncology offerings and there are indications for further success with compounds within their respective pipelines undergoing trials. Pfizer and GlaxoSmithKline have one or more immune-oncology compounds in active development.
The materials sector also contributed. Avery Dennison and Bemis Company continue to improve their operational and financial returns. Dow Chemical Company detracted from the first half results; however, the pending merger with E.I. duPont de Nemours should provide benefits upon completion of the agreement. The fund’s materials stocks collectively outpaced the sector and the overall index results.
The Fund’s consumer discretionary positions contributed to relative results; Genuine Parts Company was the notable contributor. The stock recovered from a disappointing 2015 when investors expected better results due to lower oil prices. However, the company’s prospects have improved in 2016, as its oil-related distribution business began to recover and its other distribution businesses showed improved results.
The fund’s information technology positions did not fare well compared with the index in the first half of 2016. Within information technology, Intel Corporation and TE Connectivity detracted the most from relative results. Cisco Systems was the most positive contributor to the fund’s information technology sector results.
The fund’s energy sector results were positive on an absolute basis, but trailed the index’s energy sector results. While Chevron and QEP Resources contributed to returns, Marathon Oil Corporation and ConocoPhillips detracted from results.
New names added to the fund during the year were Alphabet Inc. (Class C), Microsoft Corporation and LKQ Corporation.
Names eliminated from the fund were Dean Foods, Dillards, (Class A), Marathon Petroleum Corporation, Philips 66 and Science Applications International.
Investment Advisor: RE Advisers | ||
| Mark Ashton, CFA Senior Equity Portfolio Manager
BS, Finance, University of Utah; MBA, Marketing Research, University of Southern California
| |
Prabha Carpenter, CFA Senior Equity Portfolio Manager
BA, Economics, University of Madras; MBA with distinction in Finance and BS in Business Economics, The American University
| ||
| Gregory Halter, CFA Senior Equity Portfolio Manager
BBA, Finance, Cleveland State University |
Outlook
China’s economic and currency situation and low (though now higher) oil prices still weigh on investors’ confidence. On the positive side, the U.S. economy has shown improving statistics for employment and residential and nonresidential construction. Manufacturing has oscillated in strength for the last six months and looks at this point to be slowing again but not turning negative for the second half of the year.
Though the S&P’s 500 Stock Index stands at an all-time high, economic growth remains tepid. Forecasts for U.S. real gross domestic product growth for 2016 and 2017 gravitate toward the 1 – 2 percent range. For the time being, the consensus remains optimistic that the U.S. economy can continue to move forward.
Regardless of the overall economy’s direction, we search for value. Our search for value through company visits, conferences and conversations with industry thought leaders resulted in the addition of Alphabet and Microsoft to the portfolio. The migration of IT spending to “off premise” clouds is in the early stages of adoption and billions of capital investment dollars are at stake. Cloud revenues have and are anticipated to grow rapidly; we believe that it is a highly profitable business. These companies have strong cash flows and solid balance sheets, dominate other ventures and are led by shareholder-oriented management teams.
We appreciate your continued trust and investment.
10 | Performance Evaluation |
Table of Contents
Value Fund
Average Annual Total Returns (periods ended 06/30/16) | ||||||||||||
1 YR % | 5 YR % | 10 YR % | ||||||||||
Value Fund | 2.89 | 11.03 | 6.50 | |||||||||
Standard & Poor’s 500 Stock Index | 3.99 | 12.10 | 7.42 |
Industry Diversification | ||||
% of Total Investments as of 06/30/16 | ||||
Health care | 21.5 | |||
Information technology | 18.0 | |||
Industrials | 17.6 | |||
Financials | 12.0 | |||
Materials | 10.6 | |||
Energy | 9.4 | |||
Consumer discretionary | 5.2 | |||
Consumer staples | 3.1 | |||
Utilities | 0.5 | |||
Short-term and other assets | 2.1 | |||
Total | 100.0% |
Top Ten Equity Holdings | ||||
% of Total Investments as of 06/30/16 | ||||
Bristol-Myers Squibb Co. | 5.8 | |||
General Electric Co. | 4.7 | |||
Pfizer, Inc. | 4.3 | |||
Avery Dennison Corp. | 4.3 | |||
Intel Corp. | 4.3 | |||
Cisco Systems, Inc. | 4.2 | |||
Dow Chemical Co. (The) | 3.9 | |||
Southwest Airlines Co. | 3.6 | |||
Honeywell International Inc. | 3.6 | |||
JPMorgan Chase & Co. | 3.5 | |||
Total | 42.2% |
Performance Comparison |
Comparison of the change in value of a $10,000 investment in the fund and the Standard & Poor’s 500 Stock Index made on June 30, 2006.
The returns quoted in the above table and chart represent past performance, which is no guarantee of future results. Current performance may be higher or lower than that shown above. Returns and the principal value of your investment will fluctuate such that shares, when redeemed, may be worth more or less than their original cost. The Value Fund’s average annual total returns are net of any fee waivers and reimbursements. Returns do not reflect taxes that the shareholder may pay on fund distributions or the redemption of fund shares.
Performance Evaluation | 11 |
Table of Contents
Performance Evaluation | Prepared by the Fund’s Subadvisor, T. Rowe Price Associates
Fund Performance
The Homestead Growth Fund posted a –6.51 percent total return in the first half of 2016 and underperformed the Russell 1000 Growth Index, which posted a 1.36 percent return. Broadly speaking, stock selection and sector allocation both detracted from relative performance.
Portfolio Review
Stock selection and an overweight allocation combined to make the health care sector the biggest detractor for the period. Valeant Pharmaceuticals and Alexion Pharmaceuticals were areas of weakness. Valeant Pharmaceuticals continued to be battered by controversies, which included accounting restatements, investigations by the Securities and Exchange Commission, and the return and subsequent ouster of the company’s chief executive officer following an extended medical leave. The turmoil ultimately led to reputational damage for Valeant, weakness in its core business segments and a material lowering of 2016 earnings estimates. The remaining shares of Valeant were eliminated from the portfolio in March 2016. Alexion Pharmaceuticals came under pressure early in the year after issuing a disappointing outlook that fell below consensus expectations. Later in the quarter, shares declined further after the company announced disappointing results of a Phase III clinical trial investigating its key drug, Soliris, in the treatment of rare disease myasthenia gravis.
Despite a beneficial overweight allocation, weak stock performance caused the industrials and business services sector to detract from relative results. Airline stocks came under pressure over the period on investor concerns over revenue growth potential in the industry, the strength of the U.S. dollar and a rebound in fuel prices. American Airlines was the biggest detractor in the sector. Shares of the company declined after issuing disappointing guidance for passenger revenue per available seat mile, a key performance metric in the airline industry. U.S. airline stocks have also been pressured by the strength of the U.S. dollar, which makes tickets more expensive for foreign customers. American Airlines stock rebounded slightly toward the end of the quarter after reporting that passenger traffic rose in May, but it came under severe stress following Brexit, the U.K.’s vote to leave the E.U., late in the quarter on concerns that global travel would be impacted.
On the positive side, the materials sector contributed the most to relative performance. While an underweight allocation to the sector detracted, strong stock selection overcame to add relative value. Vulcan Materials helped the most. The construction materials producer reported strong results that exceeded expectations over two consecutive quarters, driven by strong demand for construction activities across all of the company’s markets. Increased revenues were driven by an uptick in volumes and strong pricing power. Vulcan should continue to benefit from continued volume growth due to demand from U.S. highway and government-funded infrastructure construction.
Outlook
T. Rowe Price equity managers believe that markets are likely to remain volatile in the wake of the U.K.’s vote to leave the E.U. Investors will also be keeping a close eye on relative stability in energy prices, continued U.S. economic growth and China’s efforts to guide its financial system. Abrupt swings in sentiment, while occasionally painful, can create opportunities for long-term active investors to add to their best ideas.
12 | Performance Evaluation |
Subadvisor: T. Rowe Price Associates | ||
Robert Sharps, CFA Lead Portfolio Manager
BS, Accounting, Towson University; MBA, Finance, the Wharton School, University of Pennsylvania
| ||
Table of Contents
Growth Fund
Average Annual Total Returns (periods ended 06/30/16) | ||||||||||||
1 YR % | 5 YR % | 10 YR % | ||||||||||
Growth Fund* | –3.42 | 11.80 | 9.44 | |||||||||
Russell 1000 Growth Index | 3.02 | 12.35 | 8.78 | |||||||||
Standard & Poor’s 500 Stock Index | 3.99 | 12.10 | 7.42 |
Industry Diversification | ||||
% of Total Investments as of 06/30/16 | ||||
Information technology | 27.8 | |||
Consumer discretionary | 26.9 | |||
Health care | 21.5 | |||
Industrials | 12.7 | |||
Financials | 6.4 | |||
Consumer staples | 1.5 | |||
Materials | 1.1 | |||
Telecommunication | 0.8 | |||
Short-term and other assets | 1.3 | |||
Total | 100.0% |
Top Ten Equity Holdings | ||||
% of Total Investments as of 06/30/16 | ||||
Amazon.com, Inc. | 8.6 | |||
Priceline Group, Inc. (The) | 4.7 | |||
Facebook, Inc. (Class A) | 4.0 | |||
Alphabet Inc. (Class A) | 4.0 | |||
Danaher Corp. | 4.0 | |||
Visa Inc. (Class A) | 3.7 | |||
Boeing Co. (The) | 3.1 | |||
Bristol Meyers Squibb Co. | 2.9 | |||
Microsoft Corp. | 2.7 | |||
Morgan Stanley | 2.5 | |||
Total | 40.2% |
Performance Comparison |
Comparison of the change in value of a $10,000 investment in the fund and its benchmark indices made on June 30, 2006.
The returns quoted in the above table and chart represent past performance, which is no guarantee of future results. Current performance may be higher or lower than that shown above. Returns and the principal value of your investment will fluctuate such that shares, when redeemed, may be worth more or less than their original cost. The Growth Fund’s average annual total returns are net of any fee waivers and reimbursements. Returns do not reflect taxes that the shareholder may pay on fund distributions or the redemption of fund shares.
* | Performance information for the Growth Fund (formerly the Nasdaq-100 Index Tracking StockSM Fund) reflects its previous investment strategy from inception through December 5, 2008, of matching, as closely as possible, before expenses, the performance of the Nasdaq-100 Stock Index. |
Performance Evaluation | 13 |
Table of Contents
Performance Evaluation | Prepared by the Fund’s Investment Advisor, RE Advisers Corporation
Fund Performance
The Small-Company Stock Fund increased 3.27 percent in the first half of 2016, exceeding its benchmark index, the Russell 2000, which increased 2.22 percent. The fund’s returns in the industrials, information technology and consumer staples sectors aided overall results. Positions in financials and consumer discretionary sectors detracted from results.
Portfolio Review
The fund’s substantial position in the industrials sector was positive for performance. Dycom Industries, Huntington Ingalls and Knight Transportation were among the greatest contributors to performance.
The fund’s information technology positions, while underweight relative to the index’s position in the sector, delivered a return greater than that for the index’s sector and that for the overall index. The fund’s information technology sector returns were led by Mantech, Rofin-Sinar and Belden. Rofin-Sinar’s stock price increased significantly when it received an offer to be purchased by Coherent. The acquisition is expected to close in the second half of 2016. Western Digital and comScore were the primary detractors to results in 2016’s first half.
The fund’s returns in consumer staples exceeded those for the index’s consumer staples sector and those of the overall index. United Natural Foods and WhiteWave Foods Company led this sector’s results for the fund.
In the financials sector, Encore Capital Group, Texas Capital Bancshares and National Penn Bancshares detracted from returns. In the consumer discretionary sector, results were hampered by declines in Francesca’s, Cooper Tire and Rubber and Wendy’s. Positive results came from Cracker Barrel and Core-Mark Holdings.
New names added to the fund during the first half of the year included: NCI Building Systems, a designer, manufacturer and marketer of metal engineered building systems and products; GCP Applied Technologies, which offers innovative specialty construction chemicals, building materials and packaging technologies; and NanoString Technologies a developer, manufacturer and marketer of products that are used for clinically actionable genomic information from small amounts of tissue. Also, BB&T Corporation became part of the portfolio when it acquired National Penn Bancshares in a stock/cash transaction; and comScore entered the portfolio when it acquired Rentrak for stock in their transaction. BB&T Corporation is a full-service commercial banking company operating in 15 states and Washington, D.C.; comScore is a cross-platform audience measurement company using digital, TV and movie data with demographic data to assist clients with marketing research and planning.
Names eliminated from the fund in the first half were American Vanguard, Dean Foods, J.M. Smucker Company and UMB Financial.
Outlook
The near-term concerns about Brexit that were contributing to volatility seem to have come and gone, leaving the market in the U.S. slowly creeping higher, with the Russell 2000 Index approaching its previous high reached in June 2015.
As we enter the second half of 2016, the general consensus is for the U.S. economy to continue to expand but at a slow pace. Forecasts for U.S. real gross domestic product growth for 2016 and 2017 center around the 1 – 2 percent range. Investors believe that interest rate increases have likely been put on hold for the rest of 2016 and perhaps well into late 2017.
Regardless of the overall economic environment, we continue to search for and uncover what we believe to be attractive investment opportunities. One area of recent activity and expectation for further expansion is in engineering and construction. The U.S.’s infrastructure needs rehabilitation and the widening of the Panama Canal will likely alter shipping patterns as to how goods are distributed into the U.S. Ports, highways, distribution centers and communications are going to need work. Primoris Services, Summit Materials, Orion Group and Dycom are companies that should be beneficiaries of these changes in the economy.
We appreciate your continued trust and investment.
14 | Performance Evaluation |
Investment Advisor: RE Advisers | ||
| Mark Ashton, CFA Senior Equity Portfolio Manager
BS, Finance, University of Utah; MBA, Marketing Research, University of Southern California
| |
Prabha Carpenter, CFA Senior Equity Portfolio Manager
BA, Economics, University of Madras; MBA with distinction in Finance and BS in Business Economics, The American University
| ||
| Gregory Halter, CFA Senior Equity Portfolio Manager
BBA, Finance, Cleveland State University |
Table of Contents
Small-Company Stock Fund
Average Annual Total Returns (periods ended 06/30/16) | ||||||||||||
1 YR % | 5 YR % | 10 YR % | ||||||||||
Small-Company Stock Fund | –5.03 | 9.90 | 9.09 | |||||||||
Russell 2000 Index | –6.73 | 8.35 | 6.20 |
Industry Diversification | ||||
% of Total Investments as of 06/30/16 | ||||
Industrials | 34.4 | |||
Consumer discretionary | 18.8 | |||
Financials | 14.4 | |||
Information technology | 12.9 | |||
Materials | 5.7 | |||
Consumer staples | 3.0 | |||
Health care | 2.1 | |||
Energy | 0.7 | |||
Short-term and other assets | 8.0 | |||
Total | 100.0% |
Top Ten Equity Holdings | ||||
% of Total Investments as of 06/30/16 | ||||
Dycom Industries, Inc. | 8.0 | |||
Rofin-Sinar Technologies Inc. | 3.0 | |||
ManTech International Corp. (Class A) | 2.9 | |||
Knight Transportation, Inc. | 2.9 | |||
Cracker Barrel Old Country Store, Inc. | 2.8 | |||
Core-Mark Holding Company, Inc. | 2.7 | |||
Applied Industrial Technologies, Inc. | 2.6 | |||
PolyOne Corp. | 2.5 | |||
United Natural Foods, Inc. | 2.5 | |||
Werner Enterprises, Inc. | 2.4 | |||
Total | 32.3% |
Performance Comparison |
Comparison of the change in value of a $10,000 investment in the fund and the Russell 2000 Index made on June 30, 2006.
The returns quoted in the above table and chart represent past performance, which is no guarantee of future results. Current performance may be higher or lower than that shown above. Returns and the principal value of your investment will fluctuate such that shares, when redeemed, may be worth more or less than their original cost. The Small-Company Stock Fund’s average annual total returns are net of any fee waivers and reimbursements. Returns do not reflect taxes that the shareholder may pay on fund distributions or the redemption of fund shares.
Performance Evaluation | 15 |
Table of Contents
Performance Evaluation | Prepared by the Fund’s Subadvisor, Harding Loevner LP
Firm Introduction
On January 15, 2016, Harding Loevner LP assumed responsibility for managing the fund’s portfolio and the fund was renamed the International Equity Fund. As a way of introducing ourselves to fund shareholders, we wanted to share some information about the firm’s history and approach to money management. Harding Loevner invests in growing companies worldwide, in both developed and emerging markets, with the goal of achieving high-excess returns with at- or below-market risk. Employing a fundamental, bottom-up stock picking approach, we build portfolios of high-quality growth stocks.
Former global investment managers for the Rockefeller family established Harding Loevner in 1989. Our staff of 35 investment professionals has an average 18 years investment experience and eight years with the firm. Assets under management as of June 30, 2016, were $41 billion.
Fund Performance
For the six-month period ending June 30, 2016, the International Equity Fund outperformed its benchmark, the MSCI EAFE Index, increasing 3.11 percent versus the –4.42 return for the index.
The portfolio enjoyed strong stocks within every sector except materials and consumer discretionary, with investors gravitating both toward high quality and away from the cheapest valuations in the second quarter, especially during the turbulent final 10 days of June, which included the U.K. referendum. Strongest contributions to relative performance came from the health care, information technology (IT), financials and industrials sectors. Within the health care sector, our stocks greatly outperformed the benchmark, thanks primarily to Japanese online medical information specialist M3. Within the industrials sector, it was again our Japanese holdings that spurred returns, led by Misumi, Park24 and MonotaRO. Our low allocation to the poorly performing financials sector helped relative performance, as did the strong performance outside of Europe by Brazil’s ItauUnibanco. The IT sector contributed thanks to Japanese optical sensor specialist Keyence, as well as Taiwan Semiconductor and Korea’s Samsung Electronics.
Viewed by geography, the portfolio outperformed in almost every region (except the Pacific ex-Japan region), and enjoyed strong relative performance in Japan, where five of our 11 holdings delivered double-digit returns. M3 and Keyence, two multinational companies exhibiting very high growth and return on capital, far surpassed the market return. We also had good stock selection in Europe, both inside and outside the Eurozone. Our U.K. holdings, all multinationals not reliant on domestic earnings or even exports, combined for a smaller weight than the index, and collectively outperformed the U.K. market despite a drag from WPP, whose earnings prospects seem dimmed by growth fears in both the U.K. and in Europe after the U.K’s referendum. We were overweight the Eurozone, the worst-performing region, but our holdings outperformed the region, helped by Anheuser-Busch Inbev, L’Oreal, Tenaris and Grifols, which more than offset the allocation drag.
Outlook
This highly volatile period provided ample data to support almost any market perspective. In other words, we lament, as always: Forecasting anything is difficult, especially the future! As a matter of both philosophy and practice, we maintain a high degree of skepticism about our own ability to make good macroeconomic forecasts. Instead, our investment approach demands that we focus on identifying high-quality companies that we believe can grow their earnings sustainably for long periods. It also demands that once we have identified those companies, we value their stocks and buy them when we think they may be priced to generate above-market returns.
We consider the increasing prices demanded for the very highest-quality companies to be the most vexing problem we have in investing today: How scarce is revenue and profit growth in a low-growth, low-inflation world, and how pricey can stocks of companies that can deliver scarce growth become? We have moved to respond incrementally to the divergence in valuations within the market by shifting our emphasis slightly as we execute our quality-growth investment discipline, away from companies that enjoy non-cyclical (or consistent) growth and toward companies whose revenues are more dependent on the global economic cycle returning to more rapid growth. By accepting that, currently, high returns are more readily available in the stocks of companies whose revenues have more economic exposure, we think we will increase the chance of achieving the returns we seek.
16 | Performance Evaluation |
Subadvisor: Harding Loevner LP | ||
| Ferrill D. Roll, CFA Co-Lead Portfolio Manager
BA, Economics, Stanford University | |
| Alexander T. Walsh, CFA Co-Lead Portfolio Manager
BA, North American Studies, McGill University |
Table of Contents
Average Annual Total Returns (periods ended 06/30/16) | ||||||||||||
1 YR % | 5 YR % | 10 YR % | ||||||||||
International Equity Fund* | –5.37 | 0.93 | 1.46 | |||||||||
MSCI® EAFE® Index | –10.16 | 1.68 | 1.58 |
Country Diversification | ||||
% of Total Investments as of 06/30/16 | ||||
Japan | 19.8 | |||
Germany | 14.4 | |||
Britain | 13.4 | |||
France | 10.6 | |||
Switzerland | 9.2 | |||
United States of America | 4.2 | |||
Hong Kong | 4.2 | |||
Sweden | 3.4 | |||
Singapore | 2.5 | |||
Spain | 2.3 | |||
Belgium | 2.1 | |||
Canada | 2.0 | |||
Australia | 1.8 | |||
South Africa | 1.5 | |||
Italy | 1.3 | |||
Denmark | 1.2 | |||
Republic of South Korea | 1.2 | |||
Finland | 1.0 | |||
China | 0.7 | |||
Taiwan | 0.7 | |||
Brazil | 0.5 | |||
Turkey | 0.4 | |||
Mexico | 0.3 | |||
Short-term and other assets | 1.3 | |||
Total | 100.0% |
Top Ten Equity Holdings | ||||
% of Total Investments as of 06/30/16 | ||||
Keyence Corp. | 4.3 | |||
Dassault Systèmes SA | 4.3 | |||
AIA Group Ltd. | 4.2 | |||
Roche Holding AG REG | 4.2 | |||
Nestlé SA REG | 3.9 | |||
Royal Dutch Shell plc (Class B) | 3.7 | |||
ARM Holdings plc | 3.6 | |||
WPP plc | 3.0 | |||
L’Oréal SA | 3.0 | |||
SAP SE ADR | 2.9 | |||
Total | 37.1% |
Performance Comparison |
Comparison of the change in value of a $10,000 investment in the fund and the MSCI® EAFE® Index made on June 30, 2006.
The returns quoted in the above table and chart represent past performance, which is no guarantee of future results. Current performance may be higher or lower than that shown above. Returns and the principal value of your investment will fluctuate such that shares, when redeemed, may be worth more or less than their original cost. The International Value Fund’s average annual total returns are net of any fee waivers and reimbursements. Returns do not reflect taxes that the shareholder may pay on fund distributions or the redemption of fund shares.
* | Performance information for the International Equity Fund (formerly the International Value Fund and International Stock Index Fund) reflects its investment experience in the Vanguard Developed Markets Index Fund from October 17, 2005 to June 9, 2006, as an actively managed fund subadvised by Mercator Asset Management from June 12, 2006 to September 14, 2015, as a passively managed portfolio directed by SSGA Funds Management, Inc. from September 15, 2015 to January 8, 2016 and, after a transition, as an actively managed fund subadvised by Harding Loevner LP from January 15, 2016 to period end. |
Performance Evaluation | 17 |
Table of Contents
As a shareholder, you incur two types of costs: (1) transaction costs; and (2) ongoing costs, including management fees, service fees, and other fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in each of the Homestead Funds 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 January 1, 2016 and held through June 30, 2016.
Actual Expenses
The first line for each Fund in the table on the following page 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 the Period” to estimate the expenses you paid on your account during this period.
Individual Retirement Arrangements (IRAs) and Educational Savings Accounts (ESAs) are charged a $15.00 annual custodial fee. The charge is automatically deducted from your account in the fourth quarter of each year or, if you close your account, at the time of redemption. A fee is collected for each IRA or ESA, as distinguished by account type (Traditional IRA, Roth IRA, or ESA) and Social Security Number. For example, if you have both a Traditional IRA and a Roth IRA account, each would be charged a fee. But only one fee would be collected for each account type, regardless of the number of Funds held by each account type. These fees are not included in the example below. If included, the costs shown would be higher.
Hypothetical Example for Comparison Purposes
The second line for each Fund in the table on the following page 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 Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect the custodial account fee. Therefore, the hypothetical information in the example is useful in comparing your ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if the custodial account fee was included, your costs would have been higher.
18 | Expense Example |
Table of Contents
Expense Example (Continued)
Daily Income Fund | Beginning Account Value January 1, 2016 | Ending Account Value June 30, 2016 | Expenses Paid During the Perioda | Annualized Ratio | ||||||||||||
Actual Return | $ | 1,000.00 | $ | 1,000.05 | $ | 1.89 | 0.38%b | |||||||||
Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,023.20 | $ | 1.91 | 0.38% | |||||||||
Short-Term Government Securities Fund | ||||||||||||||||
Actual Return | $ | 1,000.00 | $ | 1,015.40 | $ | 3.86 | 0.77% | |||||||||
Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,021.22 | $ | 3.87 | 0.77% | |||||||||
Short-Term Bond Fund | ||||||||||||||||
Actual Return | $ | 1,000.00 | $ | 1,017.32 | $ | 3.71 | 0.74% | |||||||||
Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,021.37 | $ | 3.72 | 0.74% | |||||||||
Stock Index Fundc | ||||||||||||||||
Actual Return | $ | 1,000.00 | $ | 1,039.12 | $ | 2.72 | 0.54% | |||||||||
Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,022.40 | $ | 2.70 | 0.54% | |||||||||
Value Fund | ||||||||||||||||
Actual Return | $ | 1,000.00 | $ | 1,044.61 | $ | 3.08 | 0.61% | |||||||||
Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,022.05 | $ | 3.05 | 0.61% | |||||||||
Growth Fund | ||||||||||||||||
Actual Return | $ | 1,000.00 | $ | 941.29 | $ | 4.58 | 0.95%b | |||||||||
Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,020.31 | $ | 4.77 | 0.95% | |||||||||
Small-Company Stock Fund | ||||||||||||||||
Actual Return | $ | 1,000.00 | $ | 1,037.47 | $ | 4.37 | 0.86% | |||||||||
Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,020.75 | $ | 4.34 | 0.86% | |||||||||
International Equity Fund | ||||||||||||||||
Actual Return | $ | 1,000.00 | $ | 1,035.00 | $ | 4.85 | 0.96%b | |||||||||
Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,020.26 | $ | 4.82 | 0.96% |
a. | The dollar amounts shown as “Expenses Paid During the Period” are equal to each Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 182, then divided by 366, to reflect the one-half year period. |
b. | Reflects fee waivers and expense limitation arrangements in effect during the period. |
c. | The Stock Index Fund is a feeder fund that invests substantially all of its assets in a Master Portfolio. The example reflects the expenses of both the feeder fund and the Master Portfolio. |
Expense Example | 19 |
Table of Contents
Regulatory and Shareholder Matters
Proxy Voting Policies and Procedures
The policies and procedures used to determine how to vote proxies relating to the Funds’ portfolio securities are available online at homesteadfunds.com and, without charge, upon request by calling 800-258-3030. This information is also available on the Securities and Exchange Commission’s website at sec.gov.
Proxy Voting Record
For the most recent twelve-month period ended June 30, information regarding how proxies relating to portfolio securities were voted on behalf of each of the Funds is available, without charge, upon request by calling 800-258-3030 and on the Securities and Exchange Commission’s website at sec.gov.
Quarterly Disclosure of Portfolio Holdings
The Funds file complete schedules of portfolio holdings with the Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q. Portfolio holdings for the second and fourth quarters of each fiscal year are filed as part of the Funds’ semi-annual and annual reports. The Funds’ Form N-Q, semi-annual and annual reports are available on the Commission’s website at sec.gov, and may be reviewed and copied at the Commission’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330. The most recent quarterly portfolio holdings and semi-annual and annual report also can be accessed on the Funds’ website at homesteadfunds.com.
20 | Regulatory and Shareholder Matters |
Table of Contents
Daily Income Fund | June 30, 2016 | (Unaudited)
Corporate Bonds | 0.7% of portfolio | ||||||||||||||||
Interest Rate / Yield (a) | Maturity Date | Face Amount | Value | |||||||||||||
Wells Fargo & Co. | 1.25 | % | 07/20/16 | $ | 1,262,000 | $ | 1,262,482 | |||||||||
Total Corporate Bonds (Cost $1,262,482) | 1,262,482 | |||||||||||||||
Commercial Paper | 11.5% of portfolio | ||||||||||||||||
BMW US Capital LLC (b) | 0.51 | 08/22/16 | 1,500,000 | 1,498,895 | ||||||||||||
Chevron Corp. (b) | 0.40 | 07/29/16 | 5,000,000 | 4,998,444 | ||||||||||||
Nestle Capital Corp. (b) | 0.54 | 07/21/16 | 2,000,000 | 1,999,400 | ||||||||||||
Nestle Capital Corp. (b) | 0.49 | 07/22/16 | 2,000,000 | 1,999,428 | ||||||||||||
Nestle Capital Corp. (b) | 0.54 | 08/17/16 | 3,000,000 | 2,997,885 | ||||||||||||
Total Capital Canada Ltd. (b) | 0.59 | 08/01/16 | 2,000,000 | 1,998,983 | ||||||||||||
Toyota Motor Credit Corp. | 0.52 | 07/12/16 | 3,000,000 | 2,999,523 | ||||||||||||
Toyota Motor Credit Corp. | 0.58 | 08/11/16 | 3,000,000 | 2,998,018 | ||||||||||||
Total Commercial Paper (Cost $21,490,576) | 21,490,576 | |||||||||||||||
U.S. Government & Agency Obligations | 71.5% of portfolio | ||||||||||||||||
Federal Agricultural Mortgage Corp | 0.36 | 08/25/16 | 2,000,000 | 1,998,900 | ||||||||||||
Federal Agricultural Mortgage Corp | 0.34 | 08/26/16 | 5,000,000 | 4,997,356 | ||||||||||||
Federal Agricultural Mortgage Corp | 0.46 | 09/08/16 | 1,000,000 | 999,118 | ||||||||||||
Federal Agricultural Mortgage Corp | 0.39 | 10/03/16 | 4,700,000 | 4,695,292 | ||||||||||||
Federal Agricultural Mortgage Corp | 0.43 | 12/27/16 | 1,000,000 | 997,861 | ||||||||||||
Federal Home Loan Bank | 0.34 | 07/08/16 | 2,600,000 | 2,599,828 | ||||||||||||
Federal Home Loan Bank | 0.34 | 07/11/16 | 2,100,000 | 2,099,802 | ||||||||||||
Federal Home Loan Bank | 0.36 | 07/18/16 | 2,000,000 | 1,999,660 | ||||||||||||
Federal Home Loan Bank | 0.35 | 07/19/16 | 3,600,000 | 3,599,370 | ||||||||||||
Federal Home Loan Bank | 0.34 | 07/20/16 | 4,000,000 | 3,999,282 | ||||||||||||
Federal Home Loan Bank | 0.35 | 07/25/16 | 3,000,000 | 2,999,310 | ||||||||||||
Federal Home Loan Bank | 0.31 | 07/28/16 | 2,000,000 | 1,999,535 | ||||||||||||
Federal Home Loan Bank | 0.33 | 08/03/16 | 4,000,000 | 3,998,808 | ||||||||||||
Federal Home Loan Bank | 0.38 | 08/04/16 | 1,000,000 | 1,000,007 | ||||||||||||
Federal Home Loan Bank | 0.33 | 08/10/16 | 3,000,000 | 2,998,917 | ||||||||||||
Federal Home Loan Bank | 0.33 | 08/12/16 | 5,000,000 | 4,998,075 | ||||||||||||
Federal Home Loan Bank | 0.31 | 08/18/16 | 3,000,000 | 2,998,760 | ||||||||||||
Federal Home Loan Bank | 0.46 | 08/19/16 | 3,100,000 | 3,100,511 | ||||||||||||
Federal Home Loan Bank | 0.38 | 09/01/16 | 3,000,000 | 2,999,880 | ||||||||||||
Federal Home Loan Bank | 0.37 | 09/19/16 | 2,000,000 | 1,998,356 | ||||||||||||
Federal Home Loan Bank | 0.40 | 09/23/16 | 2,000,000 | 1,998,133 | ||||||||||||
Federal Home Loan Mortgage Corp. | 5.50 | 07/18/16 | 1,600,000 | 1,603,762 | ||||||||||||
Federal Home Loan Mortgage Corp. | 2.00 | 08/25/16 | 1,998,000 | 2,002,879 | ||||||||||||
Federal Home Loan Mortgage Corp. | 0.28 | 09/07/16 | 3,000,000 | 2,998,413 | ||||||||||||
Federal Home Loan Mortgage Corp. | 0.33 | 09/20/16 | 2,000,000 | 1,998,515 | ||||||||||||
Federal Home Loan Mortgage Corp. | 0.34 | 09/22/16 | 4,000,000 | 3,996,911 | ||||||||||||
Federal Home Loan Mortgage Corp. | 0.40 | 10/19/16 | 2,100,000 | 2,097,433 | ||||||||||||
Federal National Mortgage Association | 0.38 | 07/05/16 | 2,300,000 | 2,299,996 | ||||||||||||
Federal National Mortgage Association | 0.35 | 08/03/16 | 1,446,000 | 1,445,536 | ||||||||||||
Federal National Mortgage Association | 0.40 | 09/01/16 | 539,000 | 538,629 | ||||||||||||
Federal National Mortgage Association | 0.35 | 09/02/16 | 2,000,000 | 1,998,775 | ||||||||||||
Federal National Mortgage Association | 0.36 | 09/06/16 | 2,000,000 | 1,998,679 | ||||||||||||
Federal National Mortgage Association | 0.38 | 09/09/16 | 2,000,000 | 1,998,522 | ||||||||||||
Federal National Mortgage Association | 0.38 | 09/12/16 | 3,500,000 | 3,497,303 | ||||||||||||
Federal National Mortgage Association | 0.38 | 09/13/16 | 2,000,000 | 1,998,438 | ||||||||||||
Federal National Mortgage Association | 0.38 | 09/14/16 | 3,500,000 | 3,497,266 | ||||||||||||
Federal National Mortgage Association | 0.29 | 09/21/16 | 2,000,000 | 1,998,679 | ||||||||||||
Federal National Mortgage Association | 0.28 | 10/07/16 | 1,500,000 | 1,498,857 |
The accompanying notes are an integral part of these financial statements. | Portfolio of Investments | 21 |
Table of Contents
Portfolio of Investments | Daily Income Fund | June 30, 2016 | (Unaudited) (Continued)
U.S. Government & Agency Obligations | 71.5% of portfolio (Continued) | ||||||||||||||||
Interest Rate / Yield (a) | Maturity Date | Face Amount | Value | |||||||||||||
U.S. Treasury Note | 0.63 | % | 07/15/16 | $ | 3,500,000 | $ | 3,500,396 | |||||||||
U.S. Treasury Note | 1.50 | 07/31/16 | 4,000,000 | 4,003,472 | ||||||||||||
U.S. Treasury Note | 0.63 | 08/15/16 | 4,500,000 | 4,501,423 | ||||||||||||
U.S. Treasury Note | 3.00 | 08/31/16 | 2,000,000 | 2,008,841 | ||||||||||||
U.S. Treasury Note | 1.00 | 08/31/16 | 2,000,000 | 2,002,118 | ||||||||||||
U.S. Treasury Note | 0.88 | 09/15/16 | 3,500,000 | 3,504,039 | ||||||||||||
U.S. Treasury Note | 3.00 | 09/30/16 | 2,500,000 | 2,516,476 | ||||||||||||
U.S. Treasury Note | 1.00 | 09/30/16 | 2,000,000 | 2,003,249 | ||||||||||||
U.S. Treasury Note | 0.63 | 10/15/16 | 4,000,000 | 4,002,403 | ||||||||||||
U.S. Treasury Note | 1.00 | 10/31/16 | 3,500,000 | 3,506,736 | ||||||||||||
U.S. Treasury Note | 0.63 | 11/15/16 | 3,500,000 | 3,503,800 | ||||||||||||
U.S. Treasury Note | 0.88 | 11/30/16 | 2,000,000 | 2,003,934 | ||||||||||||
Total U.S. Government Obligations (Cost $133,602,241) | 133,602,241 | |||||||||||||||
Money Market Fund | 16.3% of portfolio |
| |||||||||||||||
Shares | ||||||||||||||||
State Street Institutional Liquid Reserves Fund (Premier Class) | 0.47 | (c) | 30,428,303 | 30,428,303 | ||||||||||||
Total Money Market Fund (Cost $30,428,303) | 30,428,303 | |||||||||||||||
Total Investments in Securities (Cost $186,783,602) | 100% | $ | 186,783,602 |
(a) | Yield represents yield at date of purchase. |
(b) | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be resold in transactions exempt from registration normally to qualified institutional buyers. The security has been determined to be liquid under criteria established by the Fund’s Board of Directors. The total of such securities at period-end amounts to $15,493,036 and represents 8.3% of total investments. |
(c) | 7-day yield at June 30, 2016. |
LLC – Limited Liability Company
22 | Portfolio of Investments | The accompanying notes are an integral part of these financial statements. |
Table of Contents
Portfolio of Investments
Short-Term Government Securities Fund | June 30, 2016 | (Unaudited)
Corporate Bonds | 33.1% of portfolio | ||||||||||||||||
Interest Rate | Maturity Date | Face Amount | Value | |||||||||||||
Ally Bank | 1.25 | % | 08/21/17 | $ | 248,000 | $ | 249,102 | |||||||||
Altitude Investments 17 LLC | 2.68 | 11/08/25 | 812,430 | 856,234 | ||||||||||||
American Express Bank FSB | 1.55 | 10/23/17 | 250,000 | 252,273 | ||||||||||||
American Express Centurion Bank | 1.45 | 06/04/18 | 250,000 | 252,195 | ||||||||||||
Banco Bilbao Vizcaya Argentaria Puerto Rico | 1.50 | 04/20/17 | 150,000 | 150,062 | ||||||||||||
Bank of Baroda NY | 1.00 | 02/06/17 | 250,000 | 250,912 | ||||||||||||
Capital One NA | 1.60 | 07/16/18 | 250,000 | 252,406 | ||||||||||||
Capital One Bank USA NA | 1.65 | 07/09/18 | 250,000 | 252,402 | ||||||||||||
Chase Bank USA NA | 1.06 | (a) | 05/26/17 | 250,000 | 250,030 | |||||||||||
Compass Bank | 1.30 | 07/31/17 | 250,000 | 250,834 | ||||||||||||
Discover Bank | 1.05 | 09/26/16 | 250,000 | 250,096 | ||||||||||||
Ethiopian Leasing (2012) LLC | 2.68 | 07/30/25 | 161,293 | 168,777 | ||||||||||||
GE Capital Bank | 1.50 | 10/17/17 | 250,000 | 251,462 | ||||||||||||
Goldman Sachs Bank USA | 1.00 | 01/30/17 | 200,000 | 200,484 | ||||||||||||
Lulwa Ltd. | 1.83 | 03/26/25 | 750,763 | 757,015 | ||||||||||||
Mexican Aircraft Finance IV | 2.54 | 07/13/25 | 398,747 | 414,606 | ||||||||||||
Mexican Aircraft Finance V | 2.33 | 01/14/27 | 483,750 | 498,671 | ||||||||||||
Micron Semiconductor Asia PTE LTD | 1.26 | 01/15/19 | 3,924,600 | 3,924,918 | ||||||||||||
MSN 41079 and 41084 Ltd | 1.63 | 12/14/24 | 1,453,301 | 1,454,096 | ||||||||||||
Penta Aircraft Leasing 2013 LLC | 1.69 | 04/29/25 | 1,526,731 | 1,530,582 | ||||||||||||
Petroleos Mexicanos | 2.00 | 12/20/22 | 650,000 | 661,006 | ||||||||||||
Petroleos Mexicanos | 1.95 | 12/20/22 | 650,000 | 659,916 | ||||||||||||
Petroleos Mexicanos | 2.46 | 12/15/25 | 950,000 | 984,652 | ||||||||||||
Safina LTD | 1.55 | 01/15/22 | 617,350 | 619,454 | ||||||||||||
Safina LTD | 2.00 | 12/30/23 | 1,356,981 | 1,379,842 | ||||||||||||
Sallie Mae Bank | 1.50 | 10/16/17 | 250,000 | 251,302 | ||||||||||||
Salmon River Export LLC | 2.19 | 09/15/26 | 219,958 | 225,226 | ||||||||||||
Sandalwood 2013 LLC | 2.82 | 02/12/26 | 542,016 | 571,511 | ||||||||||||
Santa Rosa Leasing LLC | 1.69 | 08/15/24 | 70,572 | 70,885 | ||||||||||||
Sayarra LTD | 2.77 | 10/29/21 | 27,166 | 28,181 | ||||||||||||
Tagua Leasing LLC | 1.90 | 07/12/24 | 711,565 | 720,593 | ||||||||||||
Tagua Leasing LLC | 1.73 | 09/18/24 | 710,943 | 714,690 | ||||||||||||
Union 11 Leasing LLC | 2.41 | 01/23/24 | 677,673 | 699,511 | ||||||||||||
Union 16 Leasing LLC | 1.86 | 01/22/25 | 749,511 | 757,297 | ||||||||||||
VRG Linhas Aéreas SA | 0.98 | 03/13/18 | 3,500,000 | 3,491,866 | ||||||||||||
Wells Fargo Bank | 0.91 | 11/16/16 | 250,000 | 250,117 | ||||||||||||
Worlds Foremost Bank | 1.50 | 06/11/18 | 200,000 | 200,956 | ||||||||||||
Total Corporate Bonds (Cost $24,467,853) | 24,754,162 | |||||||||||||||
Mortgage-Backed Securities | 4.3% of portfolio | ||||||||||||||||
FDIC Structured Sale Guaranteed Notes 2010-S3 (b) | 2.74 | 12/03/20 | 232,911 | 237,934 | ||||||||||||
GNMA #2602 | 6.00 | 06/20/28 | 21,505 | 24,574 | ||||||||||||
GNMA #8004 | 1.88 | (a) | 07/20/22 | 12,383 | 12,677 | |||||||||||
GNMA #8006 | 1.88 | (a) | 07/20/22 | 9,690 | 9,945 | |||||||||||
GNMA #8038 | 1.88 | (a) | 08/20/22 | 5,990 | 6,149 | |||||||||||
GNMA #8040 | 2.00 | (a) | 08/20/22 | 15,538 | 16,020 | |||||||||||
GNMA #8054 | 2.00 | (a) | 10/20/22 | 3,378 | 3,402 | |||||||||||
GNMA #8076 | 2.00 | (a) | 11/20/22 | 6,691 | 6,879 | |||||||||||
GNMA #8157 | 2.00 | (a) | 03/20/23 | 10,654 | 10,992 | |||||||||||
GNMA #8191 | 1.75 | (a) | 05/20/23 | 19,983 | 20,545 | |||||||||||
GNMA #8215 | 2.00 | (a) | 04/20/17 | 183 | 183 | |||||||||||
GNMA #8259 | 1.88 | (a) | 08/20/23 | 5,323 | 5,479 | |||||||||||
GNMA #8297 | 4.00 | (a) | 12/20/17 | 1,601 | 1,629 | |||||||||||
GNMA #8332 | 3.50 | (a) | 03/20/18 | 921 | 935 | |||||||||||
GNMA #8344 | 3.50 | (a) | 04/20/18 | 3,225 | 3,274 | |||||||||||
GNMA #8384 | 2.00 | (a) | 03/20/24 | 2,576 | 2,642 |
The accompanying notes are an integral part of these financial statements. | Portfolio of Investments | 23 |
Table of Contents
Portfolio of Investments | Short-Term Government Securities Fund | June 30, 2016 | (Unaudited) (Continued)
Mortgage-Backed Securities | 4.3% of portfolio (Continued) | ||||||||||||||||
Interest Rate | Maturity Date | Face Amount | Value | |||||||||||||
GNMA #8393 | 4.00 | %(a) | 08/20/18 | $ | 1,580 | $ | 1,609 | |||||||||
GNMA #8400 | 2.00 | (a) | 08/20/18 | 2,885 | 2,913 | |||||||||||
GNMA #8405 | 4.00 | (a) | 09/20/18 | 1,984 | 2,026 | |||||||||||
GNMA #8423 | 1.75 | (a) | 05/20/24 | 3,950 | 4,069 | |||||||||||
GNMA #8429 | 4.00 | (a) | 11/20/18 | 2,856 | 2,915 | |||||||||||
GNMA #8459 | 1.88 | (a) | 07/20/24 | 6,038 | 6,225 | |||||||||||
GNMA #8499 | 3.00 | (a) | 05/20/19 | 3,237 | 3,259 | |||||||||||
GNMA #8518 | 2.00 | (a) | 10/20/24 | 6,653 | 6,848 | |||||||||||
GNMA #8532 | 2.50 | (a) | 10/20/24 | 7,279 | 7,619 | |||||||||||
GNMA #8591 | 2.00 | (a) | 02/20/25 | 15,007 | 15,241 | |||||||||||
GNMA #8638 | 1.75 | (a) | 06/20/25 | 8,220 | 8,493 | |||||||||||
GNMA #8648 | 1.88 | (a) | 07/20/25 | 15,461 | 15,462 | |||||||||||
GNMA #8663 | 2.00 | (a) | 07/20/25 | 9,992 | 10,310 | |||||||||||
GNMA #8680 | 3.50 | (a) | 08/20/20 | 5,720 | 5,864 | |||||||||||
GNMA #8687 | 2.50 | (a) | 08/20/25 | 2,866 | 2,964 | |||||||||||
GNMA #8702 | 3.00 | (a) | 10/20/20 | 2,774 | 2,849 | |||||||||||
GNMA #8747 | 2.00 | (a) | 11/20/25 | 6,387 | 6,610 | |||||||||||
GNMA #8807 | 1.88 | (a) | 07/20/21 | 5,821 | 5,984 | |||||||||||
GNMA #8836 | 1.88 | (a) | 09/20/21 | 6,165 | 6,328 | |||||||||||
GNMA #8847 | 1.75 | (a) | 04/20/26 | 8,672 | 8,966 | |||||||||||
GNMA #8869 | 2.00 | (a) | 11/20/21 | 18,669 | 19,129 | |||||||||||
GNMA #8873 | 2.50 | (a) | 11/20/21 | 9,975 | 10,266 | |||||||||||
GNMA #8877 | 1.75 | (a) | 05/20/26 | 2,066 | 2,119 | |||||||||||
GNMA #8883 | 2.00 | (a) | 12/20/21 | 6,382 | 6,542 | |||||||||||
GNMA #8915 | 2.00 | (a) | 02/20/22 | 6,180 | 6,354 | |||||||||||
GNMA #8934 | 2.00 | (a) | 03/20/22 | 10,950 | 11,263 | |||||||||||
GNMA #8978 | 1.75 | (a) | 05/20/22 | 25,480 | 26,478 | |||||||||||
GNMA #80053 | 2.00 | (a) | 03/20/27 | 1,811 | 1,885 | |||||||||||
GNMA #80058 | 1.75 | (a) | 04/20/27 | 1,776 | 1,839 | |||||||||||
GNMA #80185 | 1.75 | (a) | 04/20/28 | 17,007 | 17,617 | |||||||||||
GNMA #80264 | 2.00 | (a) | 03/20/29 | 11,947 | 12,176 | |||||||||||
GNMA #80283 | 1.75 | (a) | 05/20/29 | 11,911 | 12,359 | |||||||||||
GNMA #80300 | 1.88 | (a) | 07/20/29 | 9,666 | 10,019 | |||||||||||
GNMA #80309 | 1.88 | (a) | 08/20/29 | 5,056 | 5,254 | |||||||||||
GNMA #80363 | 2.00 | (a) | 01/20/30 | 35,507 | 37,083 | |||||||||||
GNMA #80426 | 1.88 | (a) | 07/20/30 | 1,402 | 1,456 | |||||||||||
GNMA #80452 | 1.88 | (a) | 09/20/30 | 10,833 | 11,272 | |||||||||||
GNMA #80475 | 2.00 | (a) | 12/20/30 | 7,446 | 7,600 | |||||||||||
GNMA #80577 | 2.00 | (a) | 02/20/32 | 1,792 | 1,872 | |||||||||||
GNMA #80684 | 1.75 | (a) | 04/20/33 | 8,305 | 8,508 | |||||||||||
GNMA #81129 | 2.50 | (a) | 10/20/34 | 78,881 | 80,794 | |||||||||||
GNMA #583189 | 4.50 | 02/20/17 | 3,807 | 3,895 | ||||||||||||
GNMA #607494 | 5.00 | 04/15/19 | 5,365 | 5,598 | ||||||||||||
GNMA #616274 | 5.00 | 02/15/19 | 5,224 | 5,411 | ||||||||||||
GNMA 2002-20 | 4.50 | 03/20/32 | 11,962 | 13,176 | ||||||||||||
GNMA 2003-11 | 4.00 | 10/17/29 | 16,316 | 17,417 | ||||||||||||
GNMA 2003-26 | 0.89 | (a) | 04/16/33 | 4,402 | 4,425 | |||||||||||
GNMA 2003-97 | 4.50 | 03/20/33 | 12,395 | 12,856 | ||||||||||||
GNMA 2004-17 | 4.50 | 12/20/33 | 39,086 | 41,731 | ||||||||||||
GNMA 2004-102 | 5.50 | 04/20/34 | 25,514 | 26,766 | ||||||||||||
GNMA 2010-113 | 2.50 | 02/16/40 | 254,389 | 261,098 | ||||||||||||
GNMA 2012-143 | 1.50 | 12/16/27 | 607,177 | 608,384 | ||||||||||||
GNMA 2013-131 | 0.79 | (a) | 09/16/43 | 288,631 | 288,140 | |||||||||||
GNMA #MA0668 | 2.00 | 12/20/27 | 192,522 | 197,151 | ||||||||||||
NCUA Guaranteed Notes 2011-C1 | 0.99 | (a) | 03/09/21 | 954,348 | 949,834 | |||||||||||
Total Mortgage-Backed Securities (Cost $3,163,286) | 3,217,580 |
24 | Portfolio of Investments | The accompanying notes are an integral part of these financial statements. |
Table of Contents
Portfolio of Investments | Short-Term Government Securities Fund | June 30, 2016 | (Unaudited) (Continued)
Asset-Backed Securities | 0.2% of portfolio |
| |||||||||||||||
Interest Rate | Maturity Date | Face Amount | Value | |||||||||||||
Small Business Administration 98-20D | 6.15 | % | 04/01/18 | $ | 2,965 | $ | 3,083 | |||||||||
Small Business Administration 98-20E | 6.30 | 05/01/18 | 2,275 | 2,374 | ||||||||||||
Small Business Administration 98-20H | 6.15 | 08/01/18 | 1,696 | 1,774 | ||||||||||||
Small Business Administration 99-20D | 6.15 | 04/01/19 | 4,490 | 4,657 | ||||||||||||
Small Business Administration 04-20B | 4.72 | 02/01/24 | 23,948 | 25,537 | ||||||||||||
Small Business Administration 04-20C | 4.34 | 03/01/24 | 37,302 | 39,485 | ||||||||||||
Small Business Administration Pool # 100075 | 3.50 | 05/25/19 | 8,150 | 8,254 | ||||||||||||
Small Business Administration Pool # 502261 | 1.63 | (a) | 10/25/17 | 2,978 | 2,968 | |||||||||||
Small Business Administration Pool # 502684 | 1.50 | (a) | 07/25/19 | 1,272 | 1,284 | |||||||||||
Small Business Administration Pool # 503278 | 1.13 | (a) | 02/25/21 | 12,705 | 12,785 | |||||||||||
Small Business Administration Pool # 503463 | 1.38 | (a) | 09/25/21 | 294 | 291 | |||||||||||
Small Business Investment Companies 02-20K | 5.08 | 11/01/22 | 6,514 | 7,007 | ||||||||||||
Small Business Investment Companies 07-10A | 5.38 | 03/10/17 | 2,104 | 2,131 | ||||||||||||
Total Asset-Backed Securities (Cost $105,393) | 111,630 | |||||||||||||||
Municipal Bonds | 0.8% of portfolio | ||||||||||||||||
Carmel, Indiana Redevelopment District | 7.80 | 01/15/29 | 500,000 | 505,890 | ||||||||||||
Illinois Housing Development Authority, Illinois | 4.13 | 10/20/16 | 105,000 | 105,260 | ||||||||||||
Total Municipal Bonds (Cost $613,023) | 611,150 | |||||||||||||||
U. S. Government and Agency Obligations | 53.8% of portfolio |
| |||||||||||||||
Government Trust Certificate (Israel Trust) | 0.00 | (c) | 10/01/16 | 1,608,000 | 1,605,847 | |||||||||||
National Archives Facility Trust | 8.50 | 09/01/19 | 21,415 | 24,024 | ||||||||||||
Overseas Private Investment Corp. | 3.56 | (d) | 04/23/17 | 3,000,000 | 3,787,500 | |||||||||||
Overseas Private Investment Corp. | 1.50 | (e) | 11/17/17 | 1,000,000 | 1,070,337 | |||||||||||
Overseas Private Investment Corp. | 0.90 | 12/15/17 | 600,000 | 600,264 | ||||||||||||
Overseas Private Investment Corp. | 1.32 | (d) | 02/19/18 | 2,533,926 | 2,674,229 | |||||||||||
Overseas Private Investment Corp. | 1.30 | 06/15/19 | 428,571 | 430,083 | ||||||||||||
Overseas Private Investment Corp. | 0.83 | (e) | 11/08/19 | 2,000,000 | 2,053,068 | |||||||||||
Overseas Private Investment Corp. | 1.50 | (e) | 11/15/20 | 1,000,000 | 1,066,630 | |||||||||||
Overseas Private Investment Corp. | 2.07 | 05/15/21 | 581,885 | 590,264 | ||||||||||||
Overseas Private Investment Corp. | 3.37 | 05/15/21 | 559,452 | 590,328 | ||||||||||||
Overseas Private Investment Corp. | 2.52 | 09/15/22 | 1,000,000 | 1,038,811 | ||||||||||||
Overseas Private Investment Corp. | 2.51 | 05/15/25 | 2,525,926 | 2,602,439 | ||||||||||||
Philippine Power Trust I (b) | 5.40 | 09/26/18 | 148,810 | 154,779 | ||||||||||||
Private Export Funding Corp. | 2.53 | 07/15/16 | 500,000 | 500,318 | ||||||||||||
The Financing Corp. | 0.00 | (c) | 10/06/17 | 500,000 | 495,392 | |||||||||||
The Financing Corp. | 0.00 | (c) | 02/08/18 | 500,000 | 494,583 | |||||||||||
U.S. Department of Housing and Urban Development | 5.77 | 08/01/17 | 120,000 | 120,147 | ||||||||||||
U.S. Department of Housing and Urban Development | 2.91 | 08/01/17 | 1,000,000 | 1,024,929 | ||||||||||||
U.S. Department of Housing and Urban Development | 7.91 | 08/01/17 | 10,000 | 10,006 | ||||||||||||
U.S. Department of Housing and Urban Development | 7.93 | 08/01/18 | 40,000 | 40,048 | ||||||||||||
U.S. Department of Housing and Urban Development | 5.45 | 08/01/19 | 800,000 | 803,623 | ||||||||||||
U.S. Department of Housing and Urban Development | 1.88 | 08/01/19 | 2,000,000 | 2,065,208 | ||||||||||||
U.S. Department of Housing and Urban Development | 6.07 | 08/01/21 | 50,000 | 50,134 | ||||||||||||
U.S. Department of Housing and Urban Development | 6.12 | 08/01/22 | 161,000 | 161,611 | ||||||||||||
U.S. Department of Housing and Urban Development | 5.77 | 08/01/26 | 500,000 | 501,848 | ||||||||||||
United States Treasury Note | 1.00 | 08/31/16 | 1,000,000 | 1,001,158 | ||||||||||||
United States Treasury Note | 0.75 | �� | 01/15/17 | 500,000 | 500,869 | |||||||||||
United States Treasury Note | 0.75 | 03/15/17 | 1,000,000 | 1,001,965 | ||||||||||||
United States Treasury Note | 0.88 | 06/15/17 | 1,000,000 | 1,003,477 | ||||||||||||
United States Treasury Note | 1.88 | 08/31/17 | 1,500,000 | 1,523,086 | ||||||||||||
United States Treasury Note | 1.00 | 09/15/17 | 1,000,000 | 1,005,352 |
The accompanying notes are an integral part of these financial statements. | Portfolio of Investments | 25 |
Table of Contents
Portfolio of Investments | Short-Term Government Securities Fund | June 30, 2016 | (Unaudited) (Continued)
U. S. Government and Agency Obligations | 53.8% of portfolio (Continued) |
| |||||||||||||||
Interest Rate | Maturity Date | Face Amount | Value | |||||||||||||
United States Treasury Note | 0.88 | % | 01/15/18 | $ | 1,000,000 | $ | 1,004,609 | |||||||||
United States Treasury Note | 0.75 | 04/15/18 | 4,000,000 | 4,011,092 | ||||||||||||
United States Treasury Note | 1.38 | 09/30/18 | 1,000,000 | 1,016,602 | ||||||||||||
United States Treasury Note | 0.88 | 10/15/18 | 2,000,000 | 2,010,704 | ||||||||||||
United States Treasury Note | 0.75 | 02/15/19 | 1,000,000 | 1,002,070 | ||||||||||||
United States Treasury Note | 1.63 | 04/30/19 | 500,000 | 512,852 | ||||||||||||
Total U.S. Government and Agency Obligations (Cost $39,545,099) | 40,150,286 | |||||||||||||||
Commercial Paper | 4.3% of portfolio | ||||||||||||||||
Interest Rate/ Yield | Maturity Date | Face Amount | Value | |||||||||||||
ITC Holdings Corp (b) | 0.75 | 07/05/16 | 2,226,000 | 2,225,779 | ||||||||||||
Northwestern Corp (b) | 0.86 | 07/11/16 | 1,000,000 | 999,777 | ||||||||||||
Total Commercial Paper (Cost $3,225,576) | 3,225,556 | |||||||||||||||
Money Market Fund | 3.5% of portfolio |
| |||||||||||||||
Shares | ||||||||||||||||
State Street Institutional Liquid Reserves Fund (Premier Class) | 0.47 | (f) | 2,618,697 | 2,618,697 | ||||||||||||
Total Money Market Fund (Cost $2,618,697) | 2,618,697 | |||||||||||||||
Total Investment in Securities (Cost $73,738,927) | 100% | $ | 74,689,061 |
(a) | Variable coupon rate as of June 30, 2016. |
(b) | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be resold in transactions exempt from registration, normally to qualified institutional buyers. The security has been determined to be liquid under criteria established by the Fund’s Board of Directors. The total of such securities at period-end amounts to $3,618,269 and represents 4.8% of total investments. |
(c) | Zero coupon rate. |
(d) | Interest is paid at maturity. |
(e) | Interest is paid at put date. |
(f) | 7-day yield at June 30, 2016. |
26 | Portfolio of Investments | The accompanying notes are an integral part of these financial statements. |
Table of Contents
Portfolio of Investments
Short-Term Bond Fund | June 30, 2016 | (Unaudited)
Corporate Bonds | 32.2% of portfolio | ||||||||||||||||
Consumer Discretionary | 0.3% | Interest Rate | Maturity Date | Face Amount | Value | ||||||||||||
Household Durables | ||||||||||||||||
Stanley Black & Decker Inc. | 2.45 | % | 11/17/18 | $ | 250,000 | $ | 255,435 | |||||||||
Hotels, Restaurants, & Leisure | ||||||||||||||||
McDonald’s Corp. | 2.10 | 12/07/18 | 350,000 | 358,180 | ||||||||||||
Media | ||||||||||||||||
ABC Inc. | 8.75 | 08/15/21 | 810,000 | 1,066,571 | ||||||||||||
Total Consumer Discretionary | 1,680,186 | |||||||||||||||
Consumer Staples | 1.4% | ||||||||||||||||
Beverages | ||||||||||||||||
Anheuser-Busch InBev Fin. Inc. | 1.90 | 02/01/19 | 800,000 | 813,565 | ||||||||||||
PepsiCo Inc. | 1.13 | 07/17/17 | 950,000 | 952,553 | ||||||||||||
PepsiCo Inc. | 1.50 | 02/22/19 | 350,000 | 354,916 | ||||||||||||
Food and Staples Retailing | ||||||||||||||||
Wal-Mart Stores Inc. | 1.95 | 12/15/18 | 1,175,000 | 1,207,033 | ||||||||||||
Personal Products | ||||||||||||||||
Alberto-Culver Co. | 5.15 | 06/01/20 | 375,000 | 424,465 | ||||||||||||
Colgate-Palmolive Co. | 0.90 | 05/01/18 | 550,000 | 551,627 | ||||||||||||
Colgate-Palmolive Co. | 1.75 | 03/15/19 | 1,025,000 | 1,048,734 | ||||||||||||
Procter & Gamble Co. (The) | 1.90 | 11/01/19 | 1,625,000 | 1,670,716 | ||||||||||||
Procter & Gamble Co. (The) | 1.85 | 02/02/21 | 350,000 | 358,818 | ||||||||||||
Tobacco | ||||||||||||||||
Phillip Morris International Inc. | 1.25 | 11/09/17 | 500,000 | 501,821 | ||||||||||||
Total Consumer Staples | 7,884,248 | |||||||||||||||
Energy | 5.4% | ||||||||||||||||
Energy Equipment & Services | ||||||||||||||||
Cameron International Corp. | 1.15 | 12/15/16 | 1,580,000 | 1,582,760 | ||||||||||||
Cameron International Corp. | 1.40 | 06/15/17 | 2,900,000 | 2,901,395 | ||||||||||||
Cameron International Corp. | 6.38 | 07/15/18 | 2,500,000 | 2,736,853 | ||||||||||||
Oil, Gas, & Consumable Fuels | ||||||||||||||||
ANR Pipeline Co. | 9.63 | 11/01/21 | 3,175,000 | 4,166,283 | ||||||||||||
Chevron Corp. | 1.35 | 11/15/17 | 500,000 | 502,610 | ||||||||||||
Chevron Corp. | 1.10 | 12/05/17 | 475,000 | 476,084 | ||||||||||||
Chevron Corp. | 1.37 | 03/02/18 | 1,400,000 | 1,407,689 | ||||||||||||
Chevron Corp. | 0.86 | (a) | 03/02/18 | 2,150,000 | 2,142,258 | |||||||||||
Chevron Corp. | 1.72 | 06/24/18 | 975,000 | 986,390 | ||||||||||||
Chevron Corp. | 2.19 | 11/15/19 | 375,000 | 385,526 | ||||||||||||
Chevron Corp. | 1.04 | (a) | 11/15/19 | 2,175,000 | 2,155,740 | |||||||||||
Chevron Corp. | 2.42 | 11/17/20 | 700,000 | 722,130 | ||||||||||||
ConocoPhillips Co. | 1.50 | 05/15/18 | 965,000 | 968,653 | ||||||||||||
ConocoPhillips Co. | 6.00 | 01/15/20 | 2,125,000 | 2,417,066 | ||||||||||||
Colonial Pipeline Co. (b) | 3.50 | 10/15/20 | 875,000 | 914,207 | ||||||||||||
Exxon Mobil Corp. | 1.82 | 03/15/19 | 1,050,000 | 1,069,930 | ||||||||||||
Exxon Mobil Corp. | 1.31 | 03/06/18 | 3,300,000 | 3,325,753 | ||||||||||||
Marathon Oil Corp. | 2.70 | 06/01/20 | 550,000 | 517,975 | ||||||||||||
Total Energy | 29,379,302 | |||||||||||||||
Financials | 6.5% | ||||||||||||||||
Banks | ||||||||||||||||
Agricultural Bank of China NY | 1.56 | (a) | 05/21/18 | 665,000 | 665,122 | |||||||||||
Agricultural Bank of China NY | 2.00 | 05/21/18 | 915,000 | 920,726 | ||||||||||||
American Express Bank FSB | 1.65 | 07/09/18 | 250,000 | 252,402 | ||||||||||||
American Express Centurion Bank | 1.60 | 06/25/18 | 250,000 | 251,421 | ||||||||||||
Bank of America NA | 5.30 | 03/15/17 | 4,775,000 | 4,902,507 | ||||||||||||
Bank of America NA | 0.95 | (a) | 06/15/17 | 1,600,000 | 1,594,766 |
The accompanying notes are an integral part of these financial statements. | Portfolio of Investments | 27 |
Table of Contents
Portfolio of Investments | Short-Term Bond Fund | June 30, 2016 | (Unaudited) (Continued)
Corporate Bonds | 32.2% of portfolio (Continued) | ||||||||||||||||
Financials | 6.5% (Continued) | Interest Rate | Maturity Date | Face Amount | Value | ||||||||||||
Bank of America NA | 1.75 | % | 06/05/18 | $ | 1,250,000 | $ | 1,258,336 | |||||||||
Capital One Bank USA NA | 1.65 | 07/09/18 | 250,000 | 252,402 | ||||||||||||
Capital One NA | 1.60 | 07/16/18 | 250,000 | 252,406 | ||||||||||||
Comenity Capital Bank | 1.75 | 08/10/18 | 250,000 | 253,456 | ||||||||||||
Compass Bank | 1.30 | 07/31/17 | 250,000 | 250,834 | ||||||||||||
Credit Suisse New York | 1.66 | (a) | 09/13/16 | 1,980,000 | 1,982,237 | |||||||||||
Discover Bank | 1.65 | 07/09/18 | 250,000 | 252,401 | ||||||||||||
Flagstar Bancorp Inc. (b) | 6.13 | 07/15/21 | 500,000 | 501,410 | ||||||||||||
Goldman Sachs Bank USA | 1.65 | 07/16/18 | 250,000 | 252,405 | ||||||||||||
Goldman Sachs Group Inc. | 2.03 | (a) | 11/15/17 | 685,000 | 684,999 | |||||||||||
HSBC Bank USA NA | 4.88 | 08/24/20 | 2,575,000 | 2,797,730 | ||||||||||||
Industrial & Commercial Bank of China NY | 1.82 | (a) | 11/13/17 | 250,000 | 251,160 | |||||||||||
Industrial & Commercial Bank of China NY | 2.35 | 11/13/17 | 250,000 | 252,265 | ||||||||||||
JP Morgan Chase Bank NA | 6.00 | 10/01/17 | 900,000 | 950,602 | ||||||||||||
Sallie Mae Bank | 1.50 | 10/30/17 | 250,000 | 251,304 | ||||||||||||
State Bank of India NY | 1.60 | 12/05/17 | 250,000 | 251,190 | ||||||||||||
UBS AG, Stamford CT | 1.80 | 03/26/18 | 1,675,000 | 1,690,936 | ||||||||||||
World’s Foremost Bank | 1.70 | 07/16/18 | 200,000 | 201,928 | ||||||||||||
Capital Markets | ||||||||||||||||
Vesey Street Investment Trust I | 4.40 | 09/01/16 | 2,275,000 | 2,287,210 | ||||||||||||
Insurance | ||||||||||||||||
Aetna Inc. | 1.31 | (a) | 12/08/17 | 310,000 | 310,451 | |||||||||||
Athene Global Funding (b) | 2.88 | 10/23/18 | 3,050,000 | 3,026,396 | ||||||||||||
Berkshire Hathaway Finance Corp. | 1.23 | (a) | 03/07/18 | 250,000 | 251,277 | |||||||||||
Berkshire Hathaway Finance Corp. | 1.45 | 03/07/18 | 250,000 | 252,296 | ||||||||||||
Jackson National Life Global Funding (b) | 1.88 | 10/15/18 | 775,000 | 784,264 | ||||||||||||
Pricoa Global Funding I (b) | 1.60 | 05/29/18 | 1,700,000 | 1,710,622 | ||||||||||||
Diversified Financial Services | ||||||||||||||||
Fixed Income Trust for Wal-Mart Stores Inc. (b) | 3.65 | (a) | 02/15/24 | 180,798 | 176,083 | |||||||||||
Xtra Finance Corp. | 5.15 | 04/01/17 | 4,650,000 | 4,787,477 | ||||||||||||
Real Estate Management & Development | ||||||||||||||||
Fishers Lane LLC (b) | 2.03 | 04/05/17 | 435,000 | 435,004 | ||||||||||||
Total Financials | 35,196,025 | |||||||||||||||
Health Care | 1.3% | ||||||||||||||||
Health Care Equipment & Supplies | ||||||||||||||||
UnitedHealth Group Inc. | 1.40 | 12/15/17 | 825,000 | 829,448 | ||||||||||||
UnitedHealth Group Inc. | 1.90 | 07/16/18 | 250,000 | 254,043 | ||||||||||||
Pharmaceuticals | ||||||||||||||||
Bristol-Myers Squibb Co. | 0.88 | 08/01/17 | 4,125,000 | 4,130,198 | ||||||||||||
Johnson & Johnson | 1.13 | 11/21/17 | 750,000 | 754,058 | ||||||||||||
Johnson & Johnson | 1.88 | 12/05/19 | 775,000 | 798,162 | ||||||||||||
Merck & Co., Inc. | 1.85 | 02/10/20 | 475,000 | 484,976 | ||||||||||||
Total Health Care | 7,250,885 | |||||||||||||||
Industrials | 2.1% | ||||||||||||||||
Aerospace & Defense | ||||||||||||||||
Parker Hannifin Corp. | 5.50 | 05/15/18 | 1,475,000 | 1,600,884 | ||||||||||||
Rockwell Collins Inc. | 1.00 | (a) | 12/15/16 | 1,175,000 | 1,175,383 | |||||||||||
United Technologies Corp. | 1.78 | 05/04/18 | 1,000,000 | 1,008,984 | ||||||||||||
Industrial Conglomerates | ||||||||||||||||
General Electric Co. | 5.25 | 12/06/17 | 3,900,000 | 4,134,667 | ||||||||||||
General Electric Co. | 1.18 | (a) | 12/07/17 | 1,300,000 | 1,295,418 | |||||||||||
General Electric Co. | 1.46 | (a) | 12/20/17 | 1,100,000 | 1,102,662 | |||||||||||
Machinery | ||||||||||||||||
Caterpillar Inc. | 1.50 | 06/26/17 | 500,000 | 502,969 | ||||||||||||
Road & Rail | ||||||||||||||||
Burlington Northern & Santa Fe Railway Co. | 4.58 | 01/15/21 | 439,763 | 457,903 |
28 | Portfolio of Investments | The accompanying notes are an integral part of these financial statements. |
Table of Contents
Portfolio of Investments | Short-Term Bond Fund | June 30, 2016 | (Unaudited) (Continued)
Corporate Bonds | 32.2% of portfolio (Continued) | ||||||||||||||||
Industrials | 2.1% (Continued) | Interest Rate | Maturity Date | Face Amount | Value | ||||||||||||
Burlington Northern & Santa Fe Railway Co. | 4.83 | % | 01/15/23 | $ | 83,156 | $ | 89,729 | |||||||||
Total Industrials | 11,368,599 | |||||||||||||||
Information Technology | 4.8% | ||||||||||||||||
Communications Equipment | ||||||||||||||||
Cisco Systems Inc. | 0.96 | (a) | 03/03/17 | 1,650,000 | 1,652,450 | |||||||||||
Cisco Systems Inc. | 1.10 | 03/03/17 | 600,000 | 601,488 | ||||||||||||
Cisco Systems Inc. | 1.40 | 02/28/18 | 800,000 | 807,245 | ||||||||||||
Software | ||||||||||||||||
Lender Processsing Services Inc. | 5.75 | 04/15/23 | 1,175,000 | 1,230,812 | ||||||||||||
Microsoft Corp. | 0.88 | 11/15/17 | 250,000 | 250,327 | ||||||||||||
Microsoft Corp. | 1.00 | 05/01/18 | 900,000 | 903,587 | ||||||||||||
Microsoft Corp. | 1.63 | 12/06/18 | 675,000 | 686,761 | ||||||||||||
Microsoft Corp. | 2.00 | 11/03/20 | 950,000 | 974,340 | ||||||||||||
Oracle Corp. | 0.83 | (a) | 07/07/17 | 4,600,000 | 4,605,134 | |||||||||||
Technology Hardware, Storage & Peripherals | ||||||||||||||||
Intel Corp. | 1.35 | 12/15/17 | 950,000 | 955,644 | ||||||||||||
Apple Inc. | 1.00 | 05/03/18 | 8,150,000 | 8,167,197 | ||||||||||||
Apple Inc. | 1.05 | 05/05/17 | 1,650,000 | 1,653,902 | ||||||||||||
Apple Inc. | 1.70 | 02/22/19 | 1,250,000 | 1,272,345 | ||||||||||||
Apple Inc. | 2.10 | 05/06/19 | 2,100,000 | 2,160,226 | ||||||||||||
Total Information Technology | 25,921,458 | |||||||||||||||
Utilities | 10.2% | ||||||||||||||||
Electric Utilities | ||||||||||||||||
Ameren Illinois Co. | 6.25 | 04/01/18 | 1,525,000 | 1,656,060 | ||||||||||||
Atlantic City Electric Co. | 4.35 | 04/01/21 | 1,625,000 | 1,780,714 | ||||||||||||
Centerpoint Energy Resources Corp. | 6.13 | 11/01/17 | 2,485,000 | 2,632,276 | ||||||||||||
Connecticut Light & Power Co. | 5.75 | 09/01/17 | 325,000 | 341,500 | ||||||||||||
Duke Energy Indiana Inc. | 0.98 | (a) | 07/11/16 | 1,450,000 | 1,450,097 | |||||||||||
Duke Energy Florida Project Finance, LLC | 1.20 | 03/01/22 | 6,700,000 | 6,704,904 | ||||||||||||
Duke Energy Progress Inc. | 0.84 | (a) | 11/20/17 | 225,000 | 224,288 | |||||||||||
Entergy Louisiana LLC | 4.80 | 05/01/21 | 1,175,000 | 1,326,388 | ||||||||||||
Georgia Power Co. | 1.03 | (a) | 08/15/16 | 4,100,000 | 4,101,542 | |||||||||||
Gulf Power Co. | 5.90 | 06/15/17 | 9,250,000 | 9,635,225 | ||||||||||||
PacifiCorp | 5.65 | 07/15/18 | 1,025,000 | 1,121,020 | ||||||||||||
Public Service Co. of New Hampshire | 4.50 | 12/01/19 | 2,575,000 | 2,820,856 | ||||||||||||
San Diego Gas & Electric Co. | 1.91 | 02/01/22 | �� | 2,070,003 | 2,071,739 | |||||||||||
Southern California Edison Co. | 1.13 | 05/01/17 | 325,000 | 325,709 | ||||||||||||
Southern California Edison Co. | 1.25 | 11/01/17 | 870,000 | 874,245 | ||||||||||||
Southern California Edison Co. | 1.85 | 02/01/22 | 6,278,571 | 6,238,596 | ||||||||||||
Union Electric Co. | 6.40 | 06/15/17 | 275,000 | 288,313 | ||||||||||||
Union Electric Co. | 5.10 | 08/01/18 | 975,000 | 1,044,047 | ||||||||||||
Union Electric Co. | 5.10 | 10/01/19 | 1,200,000 | 1,314,277 | ||||||||||||
Westar Energy Inc. | 5.10 | 07/15/20 | 1,275,000 | 1,435,510 | ||||||||||||
Gas Utillities | ||||||||||||||||
El Paso Natural Gas Co. | 5.95 | 04/15/17 | 800,000 | 823,478 | ||||||||||||
Northern Natural Gas Co. (b) | 4.25 | 06/01/21 | 475,000 | 495,317 | ||||||||||||
Northwest Natural Gas Co. | 7.00 | 08/01/17 | 2,200,000 | 2,324,500 | ||||||||||||
Southern Natural Gas Company, LLC | 4.40 | 06/15/21 | 1,100,000 | 1,140,569 | ||||||||||||
WGL Holdings Inc. | 2.25 | 11/01/19 | 2,125,000 | 2,157,238 | ||||||||||||
Water Utillities | ||||||||||||||||
California Water Service Co. | 5.88 | 05/01/19 | 1,275,000 | 1,422,212 | ||||||||||||
Total Utilities | 55,750,620 |
The accompanying notes are an integral part of these financial statements. | Portfolio of Investments | 29 |
Table of Contents
Portfolio of Investments | Short-Term Bond Fund | June 30, 2016 | (Unaudited) (Continued)
Corporate Bonds | 32.2% of portfolio (Continued) | ||||||||||||||||
Telecomunication Services | 0.2% | Interest Rate | Maturity Date | Face Amount | Value | ||||||||||||
Wireless Telecommunication Services | ||||||||||||||||
Ameritech Capital Funding Corp. | 6.45 | % | 01/15/18 | $ | 1,200,000 | $ | 1,284,184 | |||||||||
Total Telecommunication Services | 1,284,184 | |||||||||||||||
Total Corporate Bonds (Cost $173,928,580) | 175,715,507 | |||||||||||||||
Yankee Bonds | 8.6% of portfolio | ||||||||||||||||
Actavis Funding SCS | 2.35 | 03/12/18 | 2,175,000 | 2,204,643 | ||||||||||||
Alibaba Group Holding Ltd. | 2.50 | 11/28/19 | 1,275,000 | 1,289,905 | ||||||||||||
African Development Bank | 8.80 | 09/01/19 | 1,350,000 | 1,641,339 | ||||||||||||
Bayer US Finance LLC (b) | 1.50 | 10/06/17 | 350,000 | 350,331 | ||||||||||||
CNOOC Nexen Finance (2014) ULC | 1.63 | 04/30/17 | 3,460,000 | 3,465,657 | ||||||||||||
CNOOC Nexen Finance (2015) Australia Pty Ltd. | 2.63 | 05/05/20 | 425,000 | 428,955 | ||||||||||||
Commonwealth Bank of Australia (b) | 1.88 | (a) | 03/31/17 | 800,000 | 804,570 | |||||||||||
Compagnie de Financement Foncier | 0.60 | (a) | 03/22/17 | 2,100,000 | 2,087,425 | |||||||||||
Daimler Finance NA LLC (b) | 1.38 | 08/01/17 | 400,000 | 400,776 | ||||||||||||
Daimler Finance NA LLC (b) | 0.98 | (a) | 08/01/17 | 775,000 | 773,797 | |||||||||||
DEPFA ACS Bank | 0.56 | (a) | 06/20/17 | 1,100,000 | 1,089,997 | |||||||||||
Deutsche Bank AG | 2.85 | 05/10/19 | 1,250,000 | 1,251,210 | ||||||||||||
Deutsche Bank AG | 2.54 | (a) | 05/10/19 | 750,000 | 757,412 | |||||||||||
Dexia Municipal Agency | 5.25 | 02/16/17 | 1,100,000 | 1,128,421 | ||||||||||||
Export-Import Bank of Korea | 1.37 | (a) | 11/26/16 | 1,000,000 | 1,001,390 | |||||||||||
Glencore Funding LLC (b) | 1.69 | (a) | 04/16/18 | 2,875,000 | 2,760,000 | |||||||||||
Hydro-Quebec | 6.27 | 01/03/26 | 80,000 | 101,963 | ||||||||||||
Hypothekenbank Frankfurt International SA | 0.57 | (a) | 07/12/16 | 930,000 | 929,502 | |||||||||||
Landesbank Baden-Wuerttemberg | 7.63 | 02/01/23 | 1,175,000 | 1,510,435 | ||||||||||||
International Bank for Reconstruction and Development | 0.00 | (c) | 05/01/18 | 295,000 | 287,297 | |||||||||||
Mizuho Bank Ltd. (b) | 2.15 | 10/20/18 | 325,000 | 329,529 | ||||||||||||
Nexen Energy ULC | 5.65 | 05/15/17 | 515,000 | 528,941 | ||||||||||||
Pentair Finance S.A. | 2.90 | 09/15/18 | 950,000 | 959,623 | ||||||||||||
Santander UK plc | 2.50 | 03/14/19 | 250,000 | 252,573 | ||||||||||||
Santander UK plc | 2.14 | (a) | 03/14/19 | 250,000 | 250,223 | |||||||||||
Shell International Finance BV | 1.90 | 08/10/18 | 3,175,000 | 3,229,794 | ||||||||||||
Shell International Finance BV | 1.63 | 11/10/18 | 2,125,000 | 2,146,556 | ||||||||||||
Shell International Finance BV | 2.13 | 05/11/20 | 665,000 | 678,777 | ||||||||||||
Sinopec Group Overseas Development (2014) Ltd.(b) | 1.75 | 04/10/17 | 1,075,000 | 1,078,507 | ||||||||||||
Sinopec Group Overseas Development (2015) Ltd.(b) | 2.50 | 04/28/20 | 1,075,000 | 1,086,691 | ||||||||||||
Statoil ASA | 1.25 | 11/09/17 | 2,500,000 | 2,506,233 | ||||||||||||
Statoil ASA | 1.95 | 11/08/18 | 325,000 | 329,417 | ||||||||||||
Total Capital International SA | 1.00 | 08/12/16 | 2,000,000 | 2,000,940 | ||||||||||||
TransCanada PipeLines Ltd. | 1.88 | 01/12/18 | 775,000 | 778,717 | ||||||||||||
TransCanada PipeLines Ltd. | 1.42 | (a) | 01/12/18 | 2,350,000 | 2,340,057 | |||||||||||
TransCanada PipeLines Ltd. | 7.13 | 01/15/19 | 2,045,000 | 2,301,686 | ||||||||||||
Volkswagen Group of America Finance LLC (b) | 1.25 | 05/23/17 | 1,650,000 | 1,644,984 | ||||||||||||
Total Yankee Bonds (Cost $46,090,271) | 46,708,273 | |||||||||||||||
Asset Backed Securities | 24.0% of portfolio | ||||||||||||||||
Access Group Inc. 01 | 1.02 | (a) | 05/25/29 | 960,406 | 909,332 | |||||||||||
Access Group Inc. 04-A | 0.90 | (a) | 04/25/29 | 335,315 | 331,794 | |||||||||||
Access Group Inc. 05-B | 1.01 | (a) | 07/25/35 | 2,008,050 | 1,850,659 | |||||||||||
Ally Master Owner Trust 14-1 | 0.91 | (a) | 01/15/19 | 1,450,000 | 1,450,242 | |||||||||||
Ally Master Owner Trust 14-1 | 1.29 | 01/15/19 | 1,725,000 | 1,725,875 | ||||||||||||
Ally Master Owner Trust 14-3 | 1.33 | 03/15/19 | 1,500,000 | 1,500,133 | ||||||||||||
Ally Master Owner Trust 14-4 | 0.84 | (a) | 06/17/19 | 4,025,000 | 4,015,662 |
30 | Portfolio of Investments | The accompanying notes are an integral part of these financial statements. |
Table of Contents
Portfolio of Investments | Short-Term Bond Fund | June 30, 2016 | (Unaudited) (Continued)
Asset Backed Securities | 24.0% of portfolio (Continued) | ||||||||||||||
Interest Rate | Maturity Date | Face Amount | Value | |||||||||||
Ally Master Owner Trust 14-4 | 1.43 | % | 06/17/19 | $ | 4,075,000 | $ | 4,084,628 | |||||||
Ally Master Owner Trust 14-5 | 0.93 | (a) | 10/15/19 | 4,500,000 | 4,481,831 | |||||||||
Ally Master Owner Trust 14-5 | 1.60 | 10/15/19 | 4,000,000 | 4,018,316 | ||||||||||
Ally Master Owner Trust 15-2 | 1.83 | 01/15/21 | 725,000 | 727,880 | ||||||||||
American Credit Acceptance Receivables Trust 16-A (b) | 2.37 | 05/12/20 | 576,574 | 577,954 | ||||||||||
Avant Loans Funding Trust 16-A (b) | 4.11 | 05/15/19 | 1,847,172 | 1,854,810 | ||||||||||
Avant Loans Funding Trust 16-B (b) | 3.92 | 08/15/19 | 1,011,436 | 1,015,650 | ||||||||||
Axis Equipment Finance Receivables LLC 15-1 (b) | 1.90 | 03/20/20 | 1,213,228 | 1,212,895 | ||||||||||
California Republic Auto Receivable Trust 15-3 | 2.13 | 05/17/21 | 2,100,000 | 2,129,176 | ||||||||||
CCR Inc. MT-100 Payment Rights Master Trust 12-C (b) | 4.75 | 07/10/22 | 1,520,833 | 1,576,357 | ||||||||||
College Loan Corp Trust 07-2 | 0.89 | (a) | 01/25/24 | 19,395,000 | 18,803,303 | |||||||||
CPS Auto Trust 13-A (b) | 1.31 | 06/15/20 | 519,452 | 514,453 | ||||||||||
CPS Auto Trust 13-B (b) | 1.82 | 09/15/20 | 529,000 | 526,928 | ||||||||||
CPS Auto Trust 13-C (b) | 1.64 | 04/16/18 | 236,972 | 237,065 | ||||||||||
CPS Auto Trust 13-D (b) | 1.54 | 07/16/18 | 74,606 | 74,604 | ||||||||||
CPS Auto Trust 14-C (b) | 1.31 | 02/15/19 | 1,102,753 | 1,101,484 | ||||||||||
CPS Auto Trust 15-A (b) | 1.53 | 07/15/19 | 1,363,487 | 1,361,670 | ||||||||||
DT Auto Owner Trust 16-1 (b) | 2.00 | 09/16/19 | 971,502 | 974,405 | ||||||||||
Edlinc Student Loan Funding Trust 12-A (b) | 3.44 | (a) | 10/01/25 | 3,248,502 | 3,264,079 | |||||||||
Education Loan Asset Backed Trust 13-1 (b) | 1.45 | (a) | 11/25/33 | 5,571,593 | 5,047,865 | |||||||||
Element Rail Leasing I LLC 14-1 (b) | 2.30 | 04/19/44 | 2,533,671 | 2,457,405 | ||||||||||
Element Rail Leasing I LLC 15-1 (b) | 2.71 | 02/19/45 | 914,656 | 896,368 | ||||||||||
Element Rail Leasing I LLC 16-1 (b) | 3.97 | 03/19/46 | 481,666 | 485,325 | ||||||||||
Entergy New Orleans Storm Recovery Fund 15-1 | 2.67 | 06/01/27 | 939,323 | 983,181 | ||||||||||
Exeter Automobile Receivables Trust 15-3 (b) | 2.00 | 03/16/20 | 1,114,743 | 1,116,028 | ||||||||||
Exeter Automobile Receivables Trust 16-1 (b) | 2.35 | 07/15/20 | 199,869 | 200,251 | ||||||||||
Flagship Credit Auto Trust 13-2 (b) | 1.94 | 01/15/19 | 212,754 | 213,003 | ||||||||||
Flagship Credit Auto Trust 15-3 (b) | 2.38 | 10/15/20 | 924,080 | 925,715 | ||||||||||
Ford Credit Floorplan Master Owner Trust 13-5 | 1.50 | 09/15/18 | 3,325,000 | 3,328,417 | ||||||||||
Ford Credit Floorplan Master Owner Trust 13-5 | 0.91 | (a) | 09/15/18 | 3,325,000 | 3,325,355 | |||||||||
Ford Credit Floorplan Master Owner Trust 14-1 | 1.20 | 02/15/19 | 1,750,000 | 1,754,475 | ||||||||||
Ford Credit Floorplan Master Owner Trust 14-1 | 0.84 | (a) | 02/15/19 | 1,750,000 | 1,749,270 | |||||||||
Ford Credit Floorplan Master Owner Trust 16-1 | 1.76 | 02/15/21 | 1,250,000 | 1,253,687 | ||||||||||
Ford Credit Floorplan Master Owner Trust 16-1 | 1.34 | (a) | 02/15/21 | 1,250,000 | 1,254,654 | |||||||||
Foursight Capital Automobile Receivables Trust 16-1 (b) | 2.87 | (a) | 10/15/21 | 975,000 | 974,336 | |||||||||
FRS I LLC 13-1 (b) | 1.80 | 04/15/43 | 175,189 | 172,127 | ||||||||||
Goal Capital Funding Trust 06-1 | 0.75 | (a) | 11/25/26 | 465,059 | 462,307 | |||||||||
KeyCorp Student Loan Trust 00-A | 0.95 | (a) | 05/25/29 | 642,497 | 618,143 | |||||||||
KeyCorp Student Loan Trust 00-B | 0.93 | (a) | 07/25/29 | 775,022 | 732,827 | |||||||||
KeyCorp Student Loan Trust 04-A | 0.93 | (a) | 10/28/41 | 380,099 | 377,961 | |||||||||
KeyCorp Student Loan Trust 04-A | 1.05 | (a) | 01/27/43 | 590,356 | 513,698 | |||||||||
KeyCorp Student Loan Trust 05-A | 1.03 | (a) | 09/27/40 | 482,497 | 420,275 | |||||||||
KeyCorp Student Loan Trust 06-A | 0.94 | (a) | 09/27/35 | 4,281,786 | 4,212,094 | |||||||||
Longtrain Leasing III LLC 2015-1 (b) | 2.98 | 01/15/45 | 683,119 | 661,112 | ||||||||||
Ocwen Master Advance Receivables Trust 15-1 (b) | 2.54 | 09/17/46 | 825,000 | 825,055 | ||||||||||
One Main Financial Issuance Trust 14-2 (b) | 2.47 | 09/18/24 | 2,300,000 | 2,305,002 | ||||||||||
One Main Financial Issuance Trust 15-2 (b) | 2.57 | 07/18/25 | 925,000 | 924,740 | ||||||||||
Sierra Auto Receivables Securities Trust 16-1 (b) | 2.85 | 01/18/22 | 925,000 | 924,983 | ||||||||||
Skopos Auto Receivables Trust 15-2 (b) | 3.55 | 02/15/20 | 543,432 | 542,863 | ||||||||||
SLC Student Loan Trust 05-1 | 0.82 | (a) | 02/15/45 | 1,314,166 | 1,100,169 | |||||||||
SLC Student Loan Trust 06-A | 0.92 | (a) | 07/15/36 | 3,275,000 | 3,170,004 | |||||||||
SLC Student Loan Trust 06-A | 1.07 | (a) | 07/15/36 | 6,250,000 | 5,428,168 | |||||||||
SLM Student Loan Trust 03-A | 1.09 | (a) | 09/15/20 | 1,067,484 | 1,059,706 | |||||||||
SLM Student Loan Trust 03-B | 1.05 | (a) | 03/15/22 | 2,238,598 | 2,207,270 | |||||||||
SLM Student Loan Trust 03-11 | 1.30 | (a) | 12/15/38 | 676,607 | 574,807 | |||||||||
SLM Student Loan Trust 04-A | 1.03 | (a) | 06/15/33 | 3,021,272 | 2,803,531 | |||||||||
SLM Student Loan Trust 04-B | 0.83 | (a) | 06/15/21 | 191,879 | 191,025 | |||||||||
SLM Student Loan Trust 04-B | 0.96 | (a) | 03/15/24 | 5,275,000 | 4,931,263 |
The accompanying notes are an integral part of these financial statements. | Portfolio of Investments | 31 |
Table of Contents
Portfolio of Investments | Short-Term Bond Fund | June 30, 2016 | (Unaudited) (Continued)
Asset Backed Securities | 24.0% of portfolio (Continued) | ||||||||||||||||
Interest Rate | Maturity Date | Face Amount | Value | |||||||||||||
SLM Student Loan Trust 05-A | 0.83 | %(a) | 06/15/23 | $ | 2,652,631 | $ | 2,542,883 | |||||||||
SLM Student Loan Trust 06-A | 0.82 | (a) | 12/15/23 | 3,159,472 | 3,117,263 | |||||||||||
SLM Student Loan Trust 07-A | 0.75 | (a) | 09/15/25 | 762,203 | 754,787 | |||||||||||
Small Business Administration 02-20K | 5.08 | 11/01/22 | 22,799 | 24,525 | ||||||||||||
Springcastle Funding Asset-Backed Notes 14-A(b) | 2.70 | 05/25/23 | 1,430,711 | 1,435,591 | ||||||||||||
ThunderRoad Motorcycle Trust 16-1 (b) | 4.00 | 09/15/22 | 1,852,303 | 1,854,692 | ||||||||||||
Total Asset Backed Securities (Cost $129,900,487) | 131,175,391 | |||||||||||||||
Mortgage Backed Securities | 2.9% of portfolio | ||||||||||||||||
Accredited Mortgage Loan Trust 03-1 | 4.33 | (a) | 06/25/33 | 113,579 | 108,110 | |||||||||||
ACE Securities Corp. 06-ASL1 | 0.73 | (a) | 02/25/36 | 322,445 | 180,024 | |||||||||||
ACE Securities Corp. 06-GP1 | 0.71 | (a) | 02/25/31 | 18,145 | 17,809 | |||||||||||
ACE Securities Corp. 06-SL1 | 0.77 | (a) | 09/25/35 | 122,196 | 69,490 | |||||||||||
Adjustable Rate Mortgage Trust 05-10 | 2.96 | (a) | 01/25/36 | 68,931 | 58,632 | |||||||||||
American Business Financial Services 02-1 | 7.01 | 12/15/32 | 68,495 | 66,622 | ||||||||||||
American Home Mortgage Investment Trust 05-01 | 2.96 | (a) | 06/25/45 | 96,091 | 94,017 | |||||||||||
American Home Mortgage Investment Trust 05-03 | 4.97 | 09/25/35 | 15,353 | 15,249 | ||||||||||||
Amresco Residential Securities 98-1 | 7.50 | 10/25/27 | 47,351 | 53,425 | ||||||||||||
Banc of America Alternative Loan Trust Inc. 07-2 | 5.75 | 06/25/37 | 107,096 | 87,643 | ||||||||||||
Banc of America Funding Corp. 04-A | 2.75 | (a) | 09/20/34 | 10,967 | 10,832 | |||||||||||
Banc of America Funding Corp. 05-G | 2.87 | (a) | 10/20/35 | 225,986 | 210,064 | |||||||||||
Banc of America Funding Corp. 07-5 | 6.50 | 07/25/37 | 33,892 | 32,849 | ||||||||||||
Banc of America Mortgage Securities Inc. 02-J | 3.74 | (a) | 09/25/32 | 2,753 | 2,569 | |||||||||||
Banc of America Mortgage Securities Inc. 05-1 | 5.00 | 02/25/20 | 7,778 | 7,894 | ||||||||||||
Banc of America Mortgage Securities Inc. 05-C | 3.20 | (a) | 04/25/35 | 25,694 | 23,646 | |||||||||||
Bayview Financial Acquisition Trust 06-D | 5.93 | 12/28/36 | 4,450,000 | 4,341,041 | ||||||||||||
Bayview Financial Asset Trust 07-SR1A (b) | 0.90 | (a) | 03/25/37 | 176,647 | 150,898 | |||||||||||
Bear Stearns Adjustable Rate Mortgage Trust 04-10 | 2.91 | (a) | 01/25/35 | 237,715 | 216,342 | |||||||||||
Bear Stearns Adjustable Rate Mortgage Trust 05-12 | 3.17 | (a) | 02/25/36 | 29,868 | 28,054 | |||||||||||
Bear Stearns ALT-A Trust 04-11 | 3.22 | (a) | 11/25/34 | 14,297 | 12,765 | |||||||||||
Bear Stearns ALT-A Trust 05-4 | 2.91 | (a) | 05/25/35 | 89,427 | 85,640 | |||||||||||
Bear Stearns ALT-A Trust 05-9 | 2.95 | (a) | 11/25/35 | 45,620 | 33,466 | |||||||||||
Bear Stearns ALT-A Trust 06-6 | 2.91 | (a) | 11/25/36 | 172,314 | 128,416 | |||||||||||
Bear Stearns Asset Backed Securities Trust 03-3 | 1.63 | (a) | 06/25/43 | 50,230 | 47,736 | |||||||||||
Bear Stearns Asset Backed Securities Trust 04-HE5 | 2.32 | (a) | 07/25/34 | 136,920 | 133,334 | |||||||||||
Bear Stearns Structured Products Inc., 00-1 (b) | 7.33 | (a) | 08/28/33 | 2,054 | 1,853 | |||||||||||
CDC Mortgage Capital Trust 02-HE1 | 1.07 | (a) | 01/25/33 | 295,334 | 272,054 | |||||||||||
Chase Mortgage Finance Corp. 05-A1 | 2.66 | (a) | 12/25/35 | 8,899 | 8,402 | |||||||||||
Chaseflex Trust 05-2 | 6.00 | 06/25/35 | 97,274 | 86,626 | ||||||||||||
CITICORP Mortgage Securities, Inc. 07-1 | 5.50 | 01/25/22 | 13,523 | 13,488 | ||||||||||||
CITICORP Mortgage Securities, Inc. 07-1 | 5.89 | (d) | 03/25/37 | 194,201 | 202,766 | |||||||||||
Citigroup Mortgage Loan Trust, Inc. 05-7 | 2.69 | (a) | 09/25/35 | 231,977 | 174,925 | |||||||||||
Cityscape Home Equity Loan Trust 96-2 | 8.10 | 08/25/26 | 57,731 | 57,667 | ||||||||||||
Conseco Finance Securitizations Corp. 01-2 | 6.60 | 02/01/33 | 127,351 | 132,337 | ||||||||||||
Contimortgage Home Equity Loan Trust 95-2 | 8.10 | 08/15/25 | 22,795 | 18,599 | ||||||||||||
Countrywide Alternative Loan Trust 04-24CB | 6.00 | 11/25/34 | 45,163 | 45,608 | ||||||||||||
Countrywide Alternative Loan Trust 05-11CB | 5.50 | 06/25/35 | 103,008 | 97,795 | ||||||||||||
Countrywide Alternative Loan Trust 05-43 | 2.65 | (a) | 10/25/35 | 27,878 | 21,814 | |||||||||||
Countrywide Asset Backed Certificate 02-S2 | 5.98 | 01/25/17 | 62,936 | 63,144 | ||||||||||||
Countrywide Asset Backed Certificate 02-S4 | 5.22 | (a) | 10/25/17 | 93,815 | 93,438 | |||||||||||
Countrywide Asset Backed Certificate 04-S1 | 5.12 | 02/25/35 | 29,474 | 29,928 | ||||||||||||
Countrywide Asset Backed Certificate 06-S7 | 5.71 | (a) | 11/25/35 | 70,678 | 70,103 | |||||||||||
Countrywide Asset Backed Certificate 07-S1 | 5.69 | 11/25/36 | 40,311 | 39,759 | ||||||||||||
Countrywide Home Loans 03-49 | 2.66 | (a) | 12/19/33 | 25,248 | 25,537 | |||||||||||
Countrywide Home Loans 05-HYB8 | 2.75 | (a) | 12/20/35 | 88,022 | 68,579 | |||||||||||
Countrywide Home Loans 06-HYB5 | 2.70 | (a) | 09/20/36 | 57,247 | 41,741 |
32 | Portfolio of Investments | The accompanying notes are an integral part of these financial statements. |
Table of Contents
Portfolio of Investments | Short-Term Bond Fund | June 30, 2016 | (Unaudited) (Continued)
Mortgage Backed Securities | 2.9% of portfolio (Continued) | ||||||||||||||
Interest Rate | Maturity Date | Face Amount | Value | |||||||||||
Credit Suisse First Boston Mortgage 03-21 | 4.75 | % | 08/25/18 | $ | 13,711 | $ | 13,768 | |||||||
Credit Suisse First Boston Mortgage 03-AR24 | 2.80 | (a) | 10/25/33 | 181,536 | 179,981 | |||||||||
Credit Suisse First Boston Mortgage 03-FFA | 6.44 | (a) | 02/25/33 | 17,223 | 17,126 | |||||||||
Credit Suisse First Boston Mortgage 04-AR3 | 2.88 | (a) | 04/25/34 | 49,976 | 50,837 | |||||||||
Credit Suisse First Boston Mortgage 05-10 | 5.25 | 11/25/20 | 51,366 | 50,339 | ||||||||||
Credit Suisse First Boston Mortgage 06-2 | 5.91 | (a) | 07/25/36 | 1,120,000 | 89,973 | |||||||||
DLJ Mortgage Acceptance Corp. 91-3 | 2.15 | (a) | 01/25/21 | 4,477 | 4,479 | |||||||||
Encore Credit Receivables Trust 05-3 | 1.18 | (a) | 10/25/35 | 526,029 | 516,670 | |||||||||
FHLMC 2649 | 4.50 | 07/15/18 | 39,810 | 40,812 | ||||||||||
FHLMC 780754 | 2.50 | (a) | 08/01/33 | 3,549 | 3,749 | |||||||||
First Alliance Mortgage Loan Trust 94-1 | 5.85 | 04/25/25 | 13,741 | 13,760 | ||||||||||
First Horizon Mortgage Alternative Mortgage Securities 04-AA3 | 2.43 | (a) | 09/25/34 | 19,915 | 19,284 | |||||||||
First Horizon Mortgage Pass-Through Trust 05-AR2 | 3.24 | (a) | 05/25/35 | 100,082 | 90,949 | |||||||||
FNMA 03-38 | 5.00 | 03/25/23 | 4,156 | 4,192 | ||||||||||
FNMA 03-86 | 4.50 | 09/25/18 | 9,935 | 10,032 | ||||||||||
FNMA 813842 | 2.07 | (a) | 01/01/35 | 11,765 | 12,126 | |||||||||
GMAC Mortgage Corp. Loan Trust 06-HE3 | 5.75 | 10/25/36 | 33,058 | 31,561 | ||||||||||
GMAC Mortgage Corp. Loan Trust 07-HE1 | 5.95 | 08/25/37 | 1,100,000 | 1,038,513 | ||||||||||
GNMA 03-11 | 4.00 | 10/17/29 | 84,719 | 90,433 | ||||||||||
GNMA 03-26 | 0.89 | (a) | 04/16/33 | 9,903 | 9,956 | |||||||||
GNMA 04-17 | 4.50 | 12/20/33 | 16,375 | 17,483 | ||||||||||
GNMA 583189 | 4.50 | 02/20/17 | 2,284 | 2,337 | ||||||||||
Green Tree Financial Corp. 98-5 | 6.22 | 03/01/30 | 80,089 | 84,199 | ||||||||||
GS Mortgage Loan Trust 03-10 | 2.62 | (a) | 10/25/33 | 80,792 | 78,003 | |||||||||
GS Mortgage Loan Trust 05-8F | 5.50 | 10/25/20 | 19,677 | 19,970 | ||||||||||
GS Mortgage Loan Trust 05-AR3 | 3.07 | (a) | 05/25/35 | 58,975 | 54,347 | |||||||||
GS Mortgage Loan Trust 05-AR6 | 3.06 | (a) | 09/25/35 | 36,694 | 36,478 | |||||||||
Home Equity Mortgage Trust 06-1 | 5.80 | 05/25/36 | 948,552 | 693,552 | ||||||||||
Home Savings of America 9 | 3.33 | (a) | 11/25/17 | 19,508 | 19,498 | |||||||||
Home Savings of America 11 | 4.84 | (a) | 01/25/18 | 14,014 | 13,995 | |||||||||
IMPAC Secured Assets Corp. 03-3 | 5.06 | (a) | 08/25/33 | 104,316 | 107,530 | |||||||||
Indymac Indx Mortgage Loan Trust 04-AR6 | 2.65 | (a) | 10/25/34 | 6,084 | 5,725 | |||||||||
Indymac Indx Mortgage Loan Trust 05-AR15 | 2.80 | (a) | 09/25/35 | 29,968 | 24,967 | |||||||||
Indymac Residential Mortgage-Backed Trust 05-L1 (g) | 0.85 | (a) | 07/25/13 | 181,808 | 65,464 | |||||||||
JP Morgan Mortgage Trust 05-A2 | 2.42 | (a) | 04/25/35 | 173,960 | 170,120 | |||||||||
Lehman ABS Manufactured Housing Contract 01-B | 4.35 | 04/15/40 | 38,065 | 38,548 | ||||||||||
Master Adjustable Rate Mortgages Trust 04-13 | 2.85 | (a) | 04/21/34 | 18,021 | 18,028 | |||||||||
Master Adjustable Rate Mortgages Trust 05-1 | 2.77 | (a) | 01/25/35 | 16,306 | 15,792 | |||||||||
Master Alternative Loans Trust 03-5 | 6.00 | 08/25/33 | 39,864 | 41,695 | ||||||||||
Master Asset Backed Securities Trust 07-NCW (b) | 0.75 | (a) | 05/25/37 | 391,160 | 324,487 | |||||||||
Master Asset Securitization Trust 03-6 | 5.00 | 07/25/18 | 2,907 | 2,902 | ||||||||||
Master Asset Securitization Trust 07-1 | 6.00 | 10/25/22 | 14,345 | 14,117 | ||||||||||
Merrill Lynch Mortgage Investors Trust 03-A2 | 2.41 | (a) | 02/25/33 | 30,208 | 29,395 | |||||||||
Merrill Lynch Mortgage Investors Trust 06-SL1 | 0.81 | (a) | 09/25/36 | 56,169 | 55,676 | |||||||||
Morgan Stanley Capital Inc. 04-1 | 5.00 | 11/25/18 | 8,761 | 8,813 | ||||||||||
Morgan Stanley Mortgage Loan Trust 05-5AR | 2.94 | (a) | 09/25/35 | 32,915 | 23,423 | |||||||||
Morgan Stanley Mortgage Loan Trust 06-1AR | 2.99 | (a) | 02/25/36 | 108,286 | 82,937 | |||||||||
Morgan Stanley Mortgage Loan Trust 07-10XS | 6.00 | 07/25/47 | 611,578 | 170,347 | ||||||||||
New Century Home Equity Loan Trust 97-NC5 | 7.20 | (a) | 10/25/28 | 4 | 4 | |||||||||
Nomura Asset Acceptance Corporation 06-AF2 | 0.55 | (a) | 08/25/36 | 167,985 | 58,264 | |||||||||
Nomura Asset Acceptance Corporation 07-1 | 5.96 | 03/25/47 | 168,683 | 167,399 | ||||||||||
Oakwood Mortgage Investors, Inc. 99-D | 7.84 | 11/15/29 | 233,566 | 233,396 | ||||||||||
Oakwood Mortgage Investors, Inc. 02-A (g) | 0.25 | (a) | 09/15/14 | 109,013 | 96,801 | |||||||||
Option One Mortgage Loan Trust 07-FXD2 | 5.90 | 03/25/37 | 13,345 | 12,237 | ||||||||||
Ownit Mortgage Loan Asset Backed Certificate 05-5 | 1.03 | (a) | 10/25/36 | 49,543 | 49,407 | |||||||||
Prime Mortgage Trust 05-2 | 5.00 | 07/25/20 | 15,752 | 15,816 | ||||||||||
Residential Accredit Loans, Inc. 05-QS5 | 5.70 | 04/25/35 | 28,913 | 26,805 | ||||||||||
Residential Accredit Loans, Inc. 06-QS4 | 6.00 | 04/25/36 | 258,523 | 211,838 |
The accompanying notes are an integral part of these financial statements. | Portfolio of Investments | 33 |
Table of Contents
Portfolio of Investments | Short-Term Bond Fund | June 30, 2016 | (Unaudited) (Continued)
Mortgage Backed Securities | 2.9% of portfolio (Continued) | ||||||||||||||||
Interest Rate | Maturity Date | Face Amount | Value | |||||||||||||
Residential Asset Mortgage Products Inc. 02-RS5 | 4.75 | % | 09/25/32 | $ | 85,425 | $ | 85,632 | |||||||||
Residential Asset Mortgage Products Inc. 03-RZ3 | 4.62 | 06/25/33 | 99,130 | 95,857 | ||||||||||||
Residential Asset Securitization Trust 04-A3 | 5.25 | 06/25/34 | 17,776 | 18,019 | ||||||||||||
Residential Asset Securitization Trust 05-A14 | 5.50 | 12/25/35 | 122,814 | 106,550 | ||||||||||||
Residential Funding Mortgage Securities 00-HI5 | 7.98 | 12/25/25 | 51,362 | 51,093 | ||||||||||||
Residential Funding Mortgage Securities I 03-S15 | 4.50 | 08/25/18 | 7,514 | 7,579 | ||||||||||||
Residential Funding Mortgage Securities I 05-SA2 | 3.14 | (a) | 06/25/35 | 31,232 | 26,084 | |||||||||||
Residential Funding Mortgage Securities I 06-SA1 | 3.91 | (a) | 02/25/36 | 35,569 | 32,050 | |||||||||||
Ryland Acceptance Corp. 64 E | 3.50 | (a) | 04/01/18 | 10,456 | 10,461 | |||||||||||
Salomon Brothers Mortgage Securities 97-LB6 | 6.82 | 12/25/27 | 8 | 8 | ||||||||||||
Structured Adjustable Rate Mortgage Loan Trust 04-3AC | 2.72 | (a) | 03/25/34 | 15,092 | 14,991 | |||||||||||
Structured Adjustable Rate Mortgage Loan Trust 04-4 | 2.94 | (a) | 04/25/34 | 384,566 | 377,166 | |||||||||||
Structured Adjustable Rate Mortgage Loan Trust 04-11 | 2.82 | (a) | 08/25/34 | 30,954 | 30,651 | |||||||||||
Structured Adjustable Rate Mortgage Loan Trust 04-18 | 2.97 | (a) | 12/25/34 | 65,458 | 47,151 | |||||||||||
Structured Adjustable Rate Mortgage Loan Trust 05-11 | 2.94 | (a) | 05/25/35 | 256,340 | 235,502 | |||||||||||
Structured Adjustable Rate Mortgage Loan Trust 06-1 | 2.73 | (a) | 02/25/36 | 21,506 | 18,681 | |||||||||||
Structured Adjustable Rate Mortgage Loan Trust 06-4 | 2.81 | (a) | 05/25/36 | 64,313 | 49,040 | |||||||||||
Structured Adjustable Rate Mortgage Loan Trust 06-4 | 2.90 | (a) | 05/25/36 | 63,941 | 53,233 | |||||||||||
Structured Asset Mortgage Investments 04-AR5 | 2.48 | (a) | 10/19/34 | 22,818 | 22,310 | |||||||||||
Structured Asset Securities Corp. 98-RF1 (b) | 6.08 | (a) | 04/15/27 | 20,910 | 20,745 | |||||||||||
Structured Asset Securities Corp. 03-37A | 2.94 | (a) | 12/25/33 | 137,622 | 135,000 | |||||||||||
Structured Asset Securities Corp. 04-3 | 5.20 | (a) | 03/25/24 | 103,134 | 104,431 | |||||||||||
Terwin Mortgage Trust 04-5HE | 1.33 | (a) | 06/25/35 | 471,910 | 438,478 | |||||||||||
Wachovia Mortgage Loan Trust 06-A | 2.91 | (a) | 05/20/36 | 92,445 | 87,469 | |||||||||||
Washington Mutual Mortgage Securities Corp. 04-AR3 | 2.79 | (a) | 06/25/34 | 36,732 | 36,959 | |||||||||||
Washington Mutual Mortgage Securities Corp. 04-AR14 | 2.60 | (a) | 01/25/35 | 65,558 | 65,500 | |||||||||||
Washington Mutual MSC Mortgage Pass-Through | ||||||||||||||||
Certificates 03-MS2 | 5.00 | 03/25/18 | 6,549 | 6,613 | ||||||||||||
Wells Fargo Mortgage Backed Securities Trust 04-B | 2.73 | (a) | 02/25/34 | 11,352 | 11,259 | |||||||||||
Wells Fargo Mortgage Backed Securities Trust 04-E | 3.08 | (a) | 05/25/34 | 15,108 | 15,229 | |||||||||||
Wells Fargo Mortgage Backed Securities Trust 04-EE | 2.98 | (a) | 12/25/34 | 13,509 | 13,907 | |||||||||||
Wells Fargo Mortgage Backed Securities Trust 04-F | 2.91 | (a) | 06/25/34 | 42,127 | 42,548 | |||||||||||
Wells Fargo Mortgage Backed Securities Trust 04-I | 2.83 | (a) | 07/25/34 | 2,990 | 3,020 | |||||||||||
Wells Fargo Mortgage Backed Securities Trust 04-K | 3.11 | (a) | 07/25/34 | 56,464 | 56,267 | |||||||||||
Wells Fargo Mortgage Backed Securities Trust 04-K | 3.08 | (a) | 07/25/34 | 22,299 | 23,097 | |||||||||||
Wells Fargo Mortgage Backed Securities Trust 04-K | 3.08 | (a) | 07/25/34 | 24,807 | 25,600 | |||||||||||
Wells Fargo Mortgage Backed Securities Trust 04-R | 2.74 | (a) | 09/25/34 | 30,172 | 30,841 | |||||||||||
Wells Fargo Mortgage Backed Securities Trust 05-AR14 | 2.81 | (a) | 08/25/35 | 13,969 | 13,661 | |||||||||||
Wells Fargo Mortgage Backed Securities Trust 05-AR15 | 2.74 | (a) | 09/25/35 | 114,661 | 112,487 | |||||||||||
Wells Fargo Mortgage Backed Securities Trust 05-AR16 | 2.75 | (a) | 10/25/35 | 27,877 | 26,910 | |||||||||||
Wells Fargo Mortgage Backed Securities Trust 06-AR4 | 3.19 | (a) | 04/25/36 | 24,212 | 22,140 | |||||||||||
Wells Fargo Mortgage Backed Securities Trust 06-AR19 | 5.64 | (a) | 12/25/36 | 16,044 | 14,929 | |||||||||||
Total Mortgage Backed Securities (Cost $17,640,314) | 15,752,213 | |||||||||||||||
Municipal Bonds | 20.7% of portfolio | ||||||||||||||||
Alaska Housing Finance Corp. | 2.80 | 12/01/26 | 125,000 | 127,138 | ||||||||||||
Alaska Housing Finance Corp. | 1.26 | (a) | 06/01/43 | 5,150,000 | 5,154,172 | |||||||||||
Alaska Student Loan Corp. | 0.95 | (a) | 08/25/31 | 887,481 | 873,645 | |||||||||||
Atlantic City NJ | 4.00 | 11/01/16 | 400,000 | 319,324 | ||||||||||||
Austin TX | 1.58 | 09/01/17 | 3,250,000 | 3,291,698 | ||||||||||||
Colorado Housing & Finance Authority | 1.17 | 05/01/17 | 1,350,000 | 1,357,169 | ||||||||||||
Colorado Housing & Finance Authority | 1.69 | 05/01/18 | 1,335,000 | 1,354,571 | ||||||||||||
Colorado State Department of Corrections | 2.26 | 09/01/17 | 3,375,000 | 3,432,038 | ||||||||||||
Desert Sands California Unified School District | 2.28 | 06/01/19 | 375,000 | 383,775 | ||||||||||||
Energy Northwest, WA | 2.15 | 07/01/18 | 850,000 | 873,197 | ||||||||||||
Florida Hurricane Catastrophe Fund Finance Corp. | 1.30 | 07/01/16 | 1,750,000 | 1,750,000 |
34 | Portfolio of Investments | The accompanying notes are an integral part of these financial statements. |
Table of Contents
Portfolio of Investments | Short-Term Bond Fund | June 30, 2016 | (Unaudited) (Continued)
Municipal Bonds | 20.7% of portfolio (Continued) | ||||||||||||||
Interest Rate | Maturity Date | Face Amount | Value | |||||||||||
Florida State Board of Administration Finance Corp. | 2.16 | % | 07/01/19 | $ | 4,375,000 | $ | 4,490,413 | |||||||
Illinois, State of Sales Tax Revenue | 2.23 | 06/15/19 | 3,625,000 | 3,704,206 | ||||||||||
Indiana Bond Bank | 1.48 | 01/15/17 | 1,285,000 | 1,291,746 | ||||||||||
Indiana Bond Bank | 2.08 | 01/15/19 | 300,000 | 306,765 | ||||||||||
Jersey City, NJ | 1.51 | 09/01/16 | 950,000 | 950,789 | ||||||||||
Jobsohio Beverage System, OH | 1.57 | 01/01/17 | 925,000 | 929,680 | ||||||||||
Lehigh County Authority PA | 3.44 | 12/01/18 | �� | 3,825,000 | 3,969,126 | |||||||||
Mississippi, State of | 2.40 | 10/01/22 | 225,000 | 235,609 | ||||||||||
New Jersey Economic Development Authority | 0.00 | (c) | 02/15/17 | 1,890,000 | 1,870,968 | |||||||||
New Jersey Economic Development Authority | 0.00 | (c) | 02/15/18 | 3,125,000 | 3,030,219 | |||||||||
New Jersey Economic Development Authority | 0.00 | (c) | 02/15/19 | 4,015,000 | 3,785,422 | |||||||||
New Jersey Economic Development Authority | 0.00 | (c) | 02/15/20 | 11,550,000 | 10,635,124 | |||||||||
New Jersey Economic Development Authority | 0.00 | (c) | 02/15/21 | 1,350,000 | 1,202,607 | |||||||||
New Jersey Economic Development Authority | 0.00 | (c) | 02/15/22 | 755,000 | 633,838 | |||||||||
New Orleans Louisiana | 2.12 | 09/01/17 | 825,000 | 832,532 | ||||||||||
New Orleans Louisiana | 2.80 | 09/01/19 | 1,725,000 | 1,782,339 | ||||||||||
New York City, NY Transitional Finance Authority | 1.80 | 08/01/18 | 1,475,000 | 1,499,721 | ||||||||||
New York City, NY Transitional Finance Authority | 1.85 | 05/01/19 | 2,025,000 | 2,061,369 | ||||||||||
New York City, NY Transitional Finance Authority | 2.45 | 08/01/20 | 1,000,000 | 1,037,570 | ||||||||||
New York City, NY Transitional Finance Authority | 2.75 | 11/01/20 | 2,695,000 | 2,833,819 | ||||||||||
New York City, NY Transitional Finance Authority | 2.85 | 02/01/21 | 2,775,000 | 2,935,783 | ||||||||||
New York State Urban Development Corp. | 2.35 | 03/15/20 | 4,350,000 | 4,555,842 | ||||||||||
North Carolina Housing Finance Agency | 4.00 | 01/01/30 | 1,340,000 | 1,432,768 | ||||||||||
North Carolina State Education Assistance Authority | 1.25 | (a) | 07/25/39 | 784,629 | 768,575 | |||||||||
Oklahoma Student Loan Authority | 0.95 | (a) | 02/25/32 | 692,843 | 664,049 | |||||||||
Pennsylvania Higher Education Assistance Agency (b) | 1.00 | (a) | 05/25/27 | 287,603 | 282,015 | |||||||||
Philadelphia Pennsylvania Authority for Industrial Development | 0.00 | (c) | 04/15/18 | 9,720,000 | 9,404,100 | |||||||||
Philadelphia Pennsylvania Authority for Industrial Development | 0.00 | (c) | 04/15/19 | 2,500,000 | 2,366,975 | |||||||||
Philadelphia Pennsylvania Authority for Industrial Development | 0.00 | (c) | 04/15/20 | 5,285,000 | 4,826,209 | |||||||||
Puerto Rico, Commonwealth of | 5.50 | 07/01/16 | 1,250,000 | 1,250,000 | ||||||||||
Puerto Rico, Commonwealth of | 5.50 | 07/01/17 | 320,000 | 326,774 | ||||||||||
Puerto Rico, Commonwealth of | 5.50 | 07/01/17 | 230,000 | 235,996 | ||||||||||
Puerto Rico, Commonwealth of | 5.50 | 07/01/18 | 340,000 | 353,267 | ||||||||||
Puerto Rico, Commonwealth of | 5.25 | 07/01/18 | 390,000 | 405,226 | ||||||||||
Puerto Rico, Commonwealth of | 5.50 | 07/01/19 | 250,000 | 263,260 | ||||||||||
Puerto Rico Electric Power Authority | 5.00 | 07/01/18 | 300,000 | 303,027 | ||||||||||
Puerto Rico Electric Power Authority | 5.00 | 07/01/17 | 330,000 | 339,619 | ||||||||||
Puerto Rico Electric Power Authority | 5.50 | 07/01/17 | 500,000 | 517,000 | ||||||||||
Puerto Rico Highway & Transportation Authority | 5.50 | 07/01/16 | 875,000 | 875,000 | ||||||||||
Puerto Rico Highway & Transportation Authority | 5.50 | 07/01/17 | 725,000 | 753,355 | ||||||||||
Puerto Rico Highway & Transportation Authority | 6.00 | 07/01/18 | 420,000 | 442,037 | ||||||||||
Puerto Rico Highway & Transportation Authority | 5.50 | 07/01/19 | 475,000 | 496,413 | ||||||||||
Puerto Rico Highway & Transportation Authority | 6.25 | 07/01/21 | 2,400,000 | 2,624,952 | ||||||||||
Puerto Rico Sales Tax Financing Corp. | 5.25 | 08/01/19 | 3,175,000 | 1,413,002 | ||||||||||
Puerto Rico Sales Tax Financing Corp. | 4.38 | 08/01/20 | 905,000 | 394,806 | ||||||||||
Puerto Rico Sales Tax Financing Corp. | 3.38 | 08/01/16 | 575,000 | 518,259 | ||||||||||
Stockton California Pension Obligation | 5.14 | 09/01/17 | 790,000 | 796,754 | ||||||||||
Utah Infrastructure Agency | 3.20 | 10/15/16 | 175,000 | 176,067 | ||||||||||
University of California | 2.85 | 05/15/20 | 540,000 | 572,314 | ||||||||||
Utility Debt Securitization Authority, NY | 2.04 | 06/15/21 | 250,000 | 255,037 | ||||||||||
Vermont Student Assistance Corp. | 1.15 | (a) | 07/28/34 | 1,018,462 | 987,786 | |||||||||
Village of Rosemont Illinois | 2.14 | 12/01/16 | 1,375,000 | 1,379,977 | ||||||||||
Village of Rosemont Illinois | 2.77 | 12/01/18 | 1,375,000 | 1,409,609 | ||||||||||
Virginia Housing Development Authority | 1.11 | 10/01/16 | 550,000 | 550,522 | ||||||||||
Wayne County Michigan | 4.25 | 12/01/18 | 1,000,000 | 1,012,070 |
The accompanying notes are an integral part of these financial statements. | Portfolio of Investments | 35 |
Table of Contents
Portfolio of Investments | Short-Term Bond Fund | June 30, 2016 | (Unaudited) (Continued)
Municipal Bonds | 20.7% of portfolio (Continued) | ||||||||||||||||
Interest Rate | Maturity Date | Face Amount | Value | |||||||||||||
Wayne County Michigan Building Authority | 7.33 | % | 12/01/16 | $ | 740,000 | $ | 743,234 | |||||||||
Total Municipal Bonds (Cost $111,993,111) | 112,632,268 | |||||||||||||||
U.S. Government and Agency Obligations | 6.0% of portfolio |
| |||||||||||||||
Overseas Private Investment Corp. | 3.56 | (e) | 04/23/17 | 1,000,000 | 1,262,500 | |||||||||||
Overseas Private Investment Corp. | 1.50 | (f) | 11/17/17 | 1,100,000 | 1,177,371 | |||||||||||
Overseas Private Investment Corp. | 1.30 | 06/15/19 | 514,286 | 516,099 | ||||||||||||
Overseas Private Investment Corp. | 0.83 | (f) | 11/08/19 | 1,375,000 | 1,411,484 | |||||||||||
Overseas Private Investment Corp. | 1.50 | (f) | 11/15/20 | 1,075,000 | 1,146,627 | |||||||||||
Overseas Private Investment Corp. | 2.52 | 09/15/22 | 1,750,000 | 1,817,919 | ||||||||||||
Tennessee Valley Authority | 0.00 | (c) | 06/15/21 | 595,000 | 549,799 | |||||||||||
U.S. Department of Housing & Urban Development | 1.88 | 08/01/19 | 950,000 | 980,974 | ||||||||||||
U.S. Department of Housing & Urban Development | 6.07 | 08/01/21 | 12,000 | 12,032 | ||||||||||||
U.S. Department of Housing & Urban Development | 6.12 | 08/01/22 | 109,000 | 109,414 | ||||||||||||
U.S. Treasury Notes | 0.75 | 03/15/17 | 2,950,000 | 2,955,797 | ||||||||||||
U.S. Treasury Notes | 1.00 | 03/31/17 | 10,000,000 | 10,037,500 | ||||||||||||
U.S. Treasury Notes | 0.88 | 06/15/17 | 2,900,000 | 2,910,083 | ||||||||||||
U.S. Treasury Notes | 1.88 | 08/31/17 | 1,925,000 | 1,954,628 | ||||||||||||
U.S. Treasury Notes | 1.00 | 09/15/17 | 1,700,000 | 1,709,098 | ||||||||||||
U.S. Treasury Notes | 1.63 | 04/30/19 | 1,975,000 | 2,025,764 | ||||||||||||
U.S. Treasury Notes | 1.38 | 10/31/20 | 2,175,000 | 2,214,676 | ||||||||||||
Total U.S. Government and Agency Obligations (Cost $32,416,710) | 32,791,765 | |||||||||||||||
Commercial Paper | 5.6% of portfolio | ||||||||||||||||
China Power International Development Ltd. | 0.75 | 07/01/16 | 13,388,000 | 13,387,843 | ||||||||||||
Motiva Enterprises LLC. | 1.38 | 07/11/16 | 6,000,000 | 5,998,845 | ||||||||||||
Motiva Enterprises LLC. | 1.38 | 07/12/16 | 5,000,000 | 4,998,945 | ||||||||||||
Ricoh Finance Corp. (b) | 0.85 | 07/07/16 | 6,346,000 | 6,345,101 | ||||||||||||
Total Commercial Paper (Cost $30,728,693) | 30,730,734 | |||||||||||||||
Money Market | less than 0.1% of portfolio | ||||||||||||||||
Shares | ||||||||||||||||
State Street Institutional Liquid Reserves Fund (Premier Class) | 0.47 | (h) | 616 | 616 | ||||||||||||
Total Money Market Account (Cost $616) | 616 | |||||||||||||||
Total Investment in Securities | 100% (Cost $542,698,782) | $ | 545,506,767 |
(a) | Variable coupon rate as of June 30, 2016. |
(b) | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be resold in transactions exempt from registration, normally to qualified institutional buyers. The securities have been determined to be liquid under criteria established by the Fund’s Board of Directors. The total of such securities at period-end amounts to $60,652,402 and represents 11.1% of total investments. |
(c) | Zero coupon security, purchased at a discount. |
(d) | Step coupon security, the current rate may be adjusted upwards before maturity date. |
(e) | Interest is paid at maturity. |
36 | Portfolio of Investments | The accompanying notes are an integral part of these financial statements. |
Table of Contents
Portfolio of Investments | Short-Term Bond Fund | June 30, 2016 | (Unaudited) (Continued)
(f) | Interest is paid at put date. |
(g) | Security did not mature on maturity date. While additional principal and interest have been received past the maturity date, the amount and timing of future payments is uncertain. |
(h) | 7-day yield at June 30, 2016. |
NA | – National Association |
LLC | – Limited Liablity Company |
AG | – Aktiengesellschaft |
SA | – Sociedad Anónima or Société Anonyme |
plc | – Public Limited Company |
BV | – Besloten Vennootschap |
ULC | – Unlimited Liability Corporation |
ASA | – Allmennaksjeselskap |
The accompanying notes are an integral part of these financial statements. | Portfolio of Investments | 37 |
Table of Contents
Portfolio of Investments
Stock Index Fund | June 30, 2016 | (Unaudited)
Cost | Value | |||||||
Investment in S&P 500 Index Master Portfolio | $ | 52,441,986 | $ | 118,011,373 | ||||
Substantially all the assets of the Stock Index Fund are invested in the S&P 500 Index Master Portfolio managed by BlackRock Fund Advisors. As of June 30, 2016, the Stock Index Fund’s ownership interest in the S&P 500 Index Master Portfolio was 1.44%. See the Portfolio of Investments for the S&P 500 Index Master Portfolio in the Appendix for holdings information.
38 | Portfolio of Investments | The accompanying notes are an integral part of these financial statements. |
Table of Contents
Portfolio of Investments
Value Fund | June 30, 2016 | (Unaudited)
Common Stocks | 97.9% of portfolio | ||||||||
Consumer Discretionary | 5.2% | Shares | Value | ||||||
Auto Components | ||||||||
Cooper Tire & Rubber Co. | 440,000 | $ | 13,120,800 | |||||
Distributors | ||||||||
Genuine Parts Co. | 315,400 | 31,934,250 | ||||||
LKQ Corp. (a) | 82,398 | 2,612,017 | ||||||
Total Consumer Discretionary | 47,667,067 | |||||||
Consumer Staples | 3.1% | ||||||||
Food Products | ||||||||
J.M. Smucker Co. (The) | 148,853 | 22,686,686 | ||||||
WhiteWave Foods Co. (The) (Class A) (a) | 113,627 | 5,333,651 | ||||||
Total Consumer Staples | 28,020,337 | |||||||
Energy | 9.4% | ||||||||
Energy Equipment & Services | ||||||||
Baker Hughes Inc. | 187,000 | 8,439,310 | ||||||
Helmerich & Payne, Inc. | 110,000 | 7,384,300 | ||||||
Oil, Gas, & Consumable Fuels | ||||||||
Chevron Corp. | 295,000 | 30,924,850 | ||||||
ConocoPhillips | 452,400 | 19,724,640 | ||||||
Marathon Oil Corp. | 663,100 | 9,953,131 | ||||||
QEP Resources, Inc. | 552,400 | 9,738,812 | ||||||
Total Energy | 86,165,043 | |||||||
Financials | 12.0% | ||||||||
Banks | ||||||||
Bank of America Corp. | 600,200 | 7,964,654 | ||||||
JPMorgan Chase & Co. | 517,600 | 32,163,664 | ||||||
Wells Fargo & Co. | 221,000 | 10,459,930 | ||||||
Insurance | ||||||||
Allstate Corp. (The) | 369,000 | 25,811,550 | ||||||
American International Group, Inc. | 423,298 | 22,388,231 | ||||||
Chubb Limited | 85,469 | 11,171,653 | ||||||
Total Financials | 109,959,682 | |||||||
Health Care | 21.5% | ||||||||
Biotechnology | ||||||||
AbbVie Inc. | 399,000 | 24,702,090 | ||||||
Health Care Equipment & Supplies | ||||||||
Abbott Laboratories | 399,000 | 15,684,690 | ||||||
Medtronic, plc | 198,465 | 17,220,808 | ||||||
Life Sciences Tools & Services | ||||||||
Mettler-Toledo International Inc. (a) | 45,000 | 16,421,400 | ||||||
Pharmaceuticals | ||||||||
Bristol-Myers Squibb Co. | 719,700 | 52,933,935 | ||||||
GlaxoSmithKline plc ADR | 454,000 | 19,676,360 | ||||||
Merck & Co., Inc. | 193,194 | 11,129,906 | ||||||
Pfizer, Inc. | 1,107,000 | 38,977,470 | �� | |||||
Total Health Care | 196,746,659 |
Industrial s | 17.6% | Shares | Value | ||||||
Aerospace & Defense | ||||||||
Honeywell International Inc. | 281,100 | $ | 32,697,552 | |||||
Airlines | ||||||||
Southwest Airlines Co. | 844,100 | 33,097,161 | ||||||
Commercial Services & Supplies | ||||||||
Tyco International plc | 164,850 | 7,022,610 | ||||||
Industrial Conglomerates | ||||||||
General Electric Co. | 1,364,000 | 42,938,720 | ||||||
Machinery | ||||||||
Flowserve Corp. | 285,900 | 12,914,103 | ||||||
Parker-Hannifin Corp. | 246,400 | 26,623,520 | ||||||
Trading Companies & Distributors | ||||||||
Applied Industrial Technologies, Inc. | 130,500 | 5,890,770 | ||||||
Total Industrials | 161,184,436 | |||||||
Information Technology | 18.0% | ||||||||
Communications Equipment | ||||||||
Cisco Systems, Inc. | 1,343,500 | 38,545,015 | ||||||
Electronic Equipment, Instruments & Components | ||||||||
TE Connectivity Ltd. | 262,850 | 15,011,364 | ||||||
Internet Software & Services | ||||||||
Alphabet Inc. (Class C) (a) | 28,000 | 19,378,800 | ||||||
IT Services | ||||||||
Leidos Holdings Inc. | 150,750 | 7,216,402 | ||||||
Visa Inc. (Class A) | 356,000 | 26,404,520 | ||||||
Semiconductors & Semiconductor Equipment | ||||||||
Intel Corp. | 1,185,000 | 38,868,000 | ||||||
Software | ||||||||
Microsoft Corp. | 362,000 | 18,523,540 | ||||||
Total Information Technology | 163,947,641 | |||||||
Materials | 10.6% | ||||||||
Chemicals | ||||||||
Dow Chemical Co. (The) | 711,900 | 35,388,549 | ||||||
Containers & Packaging | ||||||||
Avery Dennison Corp. | 520,000 | 38,870,000 | ||||||
Bemis Co., Inc. | 433,600 | 22,326,064 | ||||||
Total Materials | 96,584,613 | |||||||
Utilities | 0.5% | ||||||||
Gas Utilities | ||||||||
Questar Corp. | 169,814 | 4,308,181 | ||||||
Total Utilities | 4,308,181 | |||||||
Total Common Stocks (Cost $520,863,783) | 894,583,659 |
The accompanying notes are an integral part of these financial statements. | Portfolio of Investments | 39 |
Table of Contents
Portfolio of Investments | Value Fund | June 30, 2016 | (Unaudited) (Continued)
Commercial Paper | 2.1% of portfolio | ||||||||
Face Amount | Value | |||||||
ITC Holdings Corp., 0.73%, 07/05/16 (b) | $ | 2,400,000 | $ | 2,399,762 | ||||
Northwestern Corp., 0.60%, 07/01/16 (b) | 9,000,000 | 8,999,824 | ||||||
VW Credit Inc., 0.77%, 07/07/16 (b) | 7,638,000 | 7,636,931 | ||||||
Total Commercial Paper (Cost $19,036,825) | 19,036,517 | |||||||
Money Market Fund | Less than 0.1% of portfolio | ||||||||
Shares | ||||||||
State Street Institutional Liquid Reserves Fund (Premier Class), 0.47% (c) | 317 | 317 | ||||||
Total Money Market Fund (Cost $317) | 317 | |||||||
Total Investments in Securities (Cost $539,900,925) | 100% | $ | 913,620,493 |
(a) | Non-income producing. |
(b) | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be resold in transactions exempt from registration normally to qualified institutional buyers. The security has been determined to be liquid under criteria established by the Fund’s Board of Directors. The total of such securities at period-end amounts to $19,036,517 and represents 2.1% of total investments. |
(c) | 7-day yield at June 30, 2016. |
plc | – Public Limited Company |
ADR | – American Depositary Receipt |
40 | Portfolio of Investments | The accompanying notes are an integral part of these financial statements. |
Table of Contents
Growth Fund | June 30, 2016 | (Unaudited)
Common Stocks | 98.7% of portfolio | ||||||||
Consumer Discretionary | 26.9% | Shares | Value | ||||||
Automobiles | ||||||||
Ferrari NV | 13,270 | $ | 543,141 | |||||
Tesla Motors, Inc. (a) | 7,740 | 1,643,047 | ||||||
Hotels, Restaurants & Leisure | ||||||||
Hilton Worldwide Holdings Inc. | 93,213 | 2,100,089 | ||||||
MGM Resorts International (a) | 79,297 | 1,794,491 | ||||||
Royal Caribbean Cruises Ltd. | 6,800 | 456,620 | ||||||
Starbucks Corp. | 17,000 | 971,040 | ||||||
Internet & Catalog Retail | ||||||||
Amazon.com, Inc. (a) | 13,170 | 9,424,715 | ||||||
Netflix, Inc. (a) | 15,300 | 1,399,644 | ||||||
Priceline Group, Inc. (The) (a) | 4,080 | 5,093,513 | ||||||
Multiline Retail | ||||||||
Dollar General Corp. | 17,700 | 1,663,800 | ||||||
Specialty Retail | ||||||||
Lowe’s Cos., Inc. | 23,800 | 1,884,246 | ||||||
Tractor Supply Co. | 16,965 | 1,546,869 | ||||||
Textiles, Apparel & Luxury Goods | ||||||||
Hanesbrands Inc. | 38,900 | 977,557 | ||||||
Total Consumer Discretionary | 29,498,772 | |||||||
Consumer Staples | 1.5% | ||||||||
Food & Staples Retailing | ||||||||
Costco Wholesale Corp. | 6,000 | 942,240 | ||||||
Tobacco | ||||||||
Philip Morris International Inc. | 7,300 | 742,556 | ||||||
Total Consumer Staples | 1,684,796 | |||||||
Financials | 6.4% | ||||||||
Capital Markets | ||||||||
Morgan Stanley | 105,300 | 2,735,694 | ||||||
State Street Corp. | 16,400 | 884,288 | ||||||
TD Ameritrade Holding Corp. | 38,165 | 1,086,748 | ||||||
Diversified Financial Services | ||||||||
CME Group Inc. | 7,200 | 701,280 | ||||||
Intercontinental Exchange, Inc. | 6,040 | 1,545,998 | ||||||
Total Financials | 6,954,008 | |||||||
Health Care | 21.5% | ||||||||
Biotechnology | ||||||||
Alexion Pharmaceuticals Inc. (a) | 15,008 | 1,752,334 | ||||||
Biogen Inc. (a) | 2,250 | 544,095 | ||||||
BioMarin Pharmaceutical Inc. (a) | 3,200 | 248,960 | ||||||
Celgene Corp. (a) | 9,600 | 946,848 | ||||||
Incyte Corp. (a) | 5,500 | 439,890 | ||||||
Vertex Pharmaceuticals, Inc. (a) | 13,500 | 1,161,270 | ||||||
Health Care Equipment & Supplies | ||||||||
Intuitive Surgical, Inc. (a) | 4,113 | 2,720,379 | ||||||
Stryker Corp. | 8,000 | 958,640 | ||||||
Health Care Providers & Services | ||||||||
Aetna Inc. | 9,340 | 1,140,694 | ||||||
Anthem, Inc. | 11,200 | 1,471,008 | ||||||
Centene Corp. (a) | 7,900 | 563,823 | ||||||
Cigna Corp. | 8,300 | 1,062,317 | ||||||
Humana Inc. | 8,200 | 1,475,016 | ||||||
Unitedhealth Group Inc. | 18,600 | 2,626,320 |
Health Care | 21.5% (Continued) | Shares | Value | ||||||
Life Sciences Tools & Services | ||||||||
Illumina, Inc. (a) | 2,100 | $ | 294,798 | |||||
Pharmaceuticals | ||||||||
Allergan plc (a) | 9,646 | 2,229,094 | ||||||
Bristol-Myers Squibb Co. | 43,900 | 3,228,845 | ||||||
Eli Lilly and Co. | 8,000 | 630,000 | ||||||
Total Health Care | 23,494,331 | |||||||
Industrials | 12.7% | ||||||||
Aerospace & Defense | ||||||||
Boeing Co. (The) | 26,500 | 3,441,555 | ||||||
Textron Inc. | 20,200 | 738,512 | ||||||
Airlines | ||||||||
Alaska Air Group, Inc. | 20,400 | 1,189,116 | ||||||
American Airlines Group Inc. | 70,150 | 1,985,947 | ||||||
Air Freight & Logistics | ||||||||
FedEx Corp. | 8,600 | 1,305,308 | ||||||
Machinery | ||||||||
Flowserve Corp. | 9,910 | 447,635 | ||||||
Wabtec Corp. | 6,316 | 443,573 | ||||||
Industrial Conglomerates | ||||||||
Danaher Corp. | 43,000 | 4,343,000 | ||||||
Total Industrials | 13,894,646 | |||||||
Information Technology | 27.8% | ||||||||
Communications Equipment | ||||||||
Juniper Networks, Inc. | 22,600 | 508,274 | ||||||
Palo Alto Networks, Inc. (a) | 2,700 | 331,128 | ||||||
Internet Software & Services | ||||||||
Alphabet Inc. (Class A) (a) | 6,200 | 4,361,886 | ||||||
Alphabet Inc. (Class C) (a) | 3,512 | 2,430,655 | ||||||
Facebook, Inc. (Class A) (a) | 38,700 | 4,422,636 | ||||||
Tencent Holdings Ltd. ADR | 47,100 | 1,081,887 | ||||||
IT Services | ||||||||
PayPal Holdings, Inc. (a) | 28,200 | 1,029,582 | ||||||
Visa Inc. (Class A) | 54,900 | 4,071,933 | ||||||
Semiconductors & Semiconductor Equipment | ||||||||
ASML Holding NV ADR | 12,900 | 1,279,809 | ||||||
NXP Semiconductors NV (a) | 20,360 | 1,595,003 | ||||||
Software | ||||||||
Microsoft Corp. | 57,900 | 2,962,743 | ||||||
Mobileye NV ADR (a) | 20,700 | 955,098 | ||||||
NetSuite Inc. (a) | 11,400 | 829,920 | ||||||
salesforce.com, Inc. (a) | 26,900 | 2,136,129 | ||||||
ServiceNow, Inc. (a) | 13,300 | 883,120 | ||||||
Workday, Inc. (Class A) (a) | 6,400 | 477,888 | ||||||
Technology Hardware, Storage, & Peripherals | ||||||||
Apple Inc. | 11,600 | 1,108,960 | ||||||
Total Information Technology | 30,466,651 | |||||||
Materials | 1.1% | ||||||||
Construction Materials | ||||||||
Vulcan Materials Co. | 9,600 | 1,155,456 | ||||||
Total Materials | 1,155,456 |
The accompanying notes are an integral part of these financial statements. | Portfolio of Investments | 41 |
Table of Contents
Portfolio of Investments | Growth Fund | June 30, 2016 | (Unaudited) (Continued)
Common Stocks | 98.7% of portfolio (Continued) | ||||||||
Telecommunication Services | 0.8% | Shares | Value | ||||||
Wireless Telecommunication Services | ||||||||
T-Mobile US, Inc. (a) | 20,400 | $ | 882,708 | |||||
Total Telecommunication Services | 882,708 | |||||||
Total Common Stocks (Cost $92,541,791) | 108,031,368 | |||||||
Money Market Fund | 1.3% of portfolio |
| |||||||
State Street Institutional Liquid Reserves Fund (Premier Class), 0.47% (b) | 1,469,531 | 1,469,531 | ||||||
Total Money Market Fund (Cost $1,469,531) | 1,469,531 | |||||||
Total Investments in Securities (Cost $94,011,322) | 100% | $ | 109,500,899 |
(a) | Non-income producing. |
(b) | 7-day yield at June 30, 2016. |
NV | – Naamloze Vennottschap |
plc | – Public Limited Company |
ADR | – American Depositary Receipt |
42 | Portfolio of Investments | The accompanying notes are an integral part of these financial statements. |
Table of Contents
Portfolio of Investments
Small-Company Stock Fund | June 30, 2016 | (Unaudited)
Common Stocks | 92% of portfolio | ||||||||
Consumer Discretionary | 18.8% | Shares | Value | ||||||
Auto Components | ||||||||
Cooper Tire & Rubber Co. | 985,350 | $ | 29,383,137 | |||||
Distributors | ||||||||
Core-Mark Holding Company, Inc. | 739,592 | 34,657,281 | ||||||
Hotels, Restaurants, & Leisure | ||||||||
BJ’s Restuarants, Inc. (a) | 657,427 | 28,815,025 | ||||||
Brinker International, Inc. | 200,000 | 9,106,000 | ||||||
Cracker Barrel Old Country Store, Inc. | 210,209 | 36,044,537 | ||||||
Wendy’s Co. (The) | 2,040,260 | 19,627,301 | ||||||
Household Durables | ||||||||
Libbey Inc. | 774,000 | 12,298,860 | ||||||
Multiline Retail | ||||||||
Fred’s, Inc. (Class A) | 1,685,683 | 27,156,353 | ||||||
Specialty Retail | ||||||||
Francesca’s Holdings Corp. (a) | 1,851,106 | 20,454,721 | ||||||
Sally Beauty Holdings, Inc. (a) | 114,000 | 3,352,740 | ||||||
Textiles, Apparel, & Luxury Goods | ||||||||
G-III Apparel Group, Ltd. (a) | 390,700 | 17,862,804 | ||||||
Total Consumer Discretionary | 238,758,759 | |||||||
Consumer Staples | 3.0% | ||||||||
Food & Staples Retailing | ||||||||
United Natural Foods, Inc. (a) | 668,100 | 31,267,080 | ||||||
Food Products | ||||||||
WhiteWave Foods Co. (The) (Class A) (a) | 143,159 | 6,719,883 | ||||||
Total Consumer Staples | 37,986,963 | |||||||
Energy | 0.7% | ||||||||
Energy Equipment & Services | ||||||||
Helmerich & Payne, Inc. | 35,000 | 2,349,550 | ||||||
Oil, Gas, & Consumable Fuels | ||||||||
Cimarex Energy Co. | 59,400 | 7,087,608 | ||||||
Total Energy | 9,437,158 | |||||||
Financials | 14.4% | ||||||||
Banks | ||||||||
BB&T Corp. | 400,000 | 14,244,000 | ||||||
Burke & Herbert Bank & Trust Co. | 2,369 | 4,561,510 | ||||||
Cardinal Financial Corp. | 1,162,000 | 25,494,280 | ||||||
Glacier Bancorp, Inc. | 579,000 | 15,389,820 | ||||||
Middleburg Financial Corp. | 59,900 | 1,629,280 | ||||||
National Bankshares, Inc. (Virginia) | 448,702 | 15,668,674 | ||||||
State Bank Financial Corp. | 1,231,700 | 25,065,095 | ||||||
Sterling Bancorp | 997,900 | 15,667,030 | ||||||
Texas Capital Bancshares, Inc. (a) | 533,417 | 24,942,579 | ||||||
Valley National Bancorp | 1,225,799 | 11,179,287 | ||||||
Consumer Finance | ||||||||
Encore Capital Group, Inc. (a) | 1,236,289 | 29,089,880 | ||||||
Total Financials | 182,931,435 | |||||||
Health Care | 2.1% | ||||||||
Health Care Equipment & Supplies | ||||||||
STERIS plc | 342,112 | 23,520,200 | ||||||
Life Sciences Tools & Services | ||||||||
NanoString Technologies, Inc. (a) | 262,000 | 3,301,200 | ||||||
Total Health Care | 26,821,400 |
Industrials | 34.4% | Shares | Value | ||||||
Aerospace & Defense | ||||||||
BWX Technologies, Inc. | 626,200 | $ | 22,399,174 | |||||
Huntington Ingalls Industries, Inc. | 157,208 | 26,415,660 | ||||||
Triumph Group, Inc. | 737,800 | 26,191,900 | ||||||
Air Freight & Logistics | ||||||||
Radiant Logistics, Inc. (a) | 1,444,100 | 4,332,300 | ||||||
Building Products | ||||||||
NCI Building Systems, Inc. (a) | 711,000 | 11,368,890 | ||||||
Construction & Engineering | ||||||||
Dycom Industries, Inc. (a) | 1,135,299 | 101,904,438 | ||||||
Orion Group Holdings, Inc. (a) | 1,853,794 | 9,843,646 | ||||||
Primoris Services Corp. | 1,092,400 | 20,679,132 | ||||||
Electrical Equipment | ||||||||
Regal Beloit Corp. | 58,500 | 3,220,425 | ||||||
Industrial Conglomerates | ||||||||
Carlisle Companies Inc. | 125,600 | 13,273,408 | ||||||
Machinery | ||||||||
CLARCOR Inc. | 87,100 | 5,298,293 | ||||||
Flowserve Corp. | 43,500 | 1,964,895 | ||||||
Gorman-Rupp Co. (The) | 644,775 | 17,673,283 | ||||||
Manitowoc Co., Inc. (The) | 759,400 | 4,138,730 | ||||||
Manitowoc Foodservice, Inc. (a) | 759,400 | 13,380,628 | ||||||
NN, Inc. | 1,325,500 | 18,543,745 | ||||||
Standex International Corp. | 328,244 | 27,122,802 | ||||||
Road & Rail | ||||||||
Covenant Transportation Group, Inc. (Class A) (a) | 533,200 | 9,634,924 | ||||||
Knight Transportation, Inc. | 1,382,732 | 36,753,017 | ||||||
Werner Enterprises, Inc. | 1,304,181 | 29,957,038 | ||||||
Trading Companies & Distributors | ||||||||
Applied Industrial Technologies, Inc. | 738,374 | 33,330,202 | ||||||
Total Industrials | 437,426,530 | |||||||
Information Technology | 12.9% | ||||||||
Electronic Equipment, Instruments, & Components | ||||||||
Belden Inc. | 292,585 | 17,663,357 | ||||||
Rofin-Sinar Technologies Inc. (a) | 1,210,473 | 38,662,508 | ||||||
Internet Software & Services | ||||||||
comScore, Inc. (a) | 585,862 | 13,990,385 | ||||||
IT Services | ||||||||
Cass Information Systems, Inc. | 223,814 | 11,571,184 | ||||||
Computer Services, Inc. | 585,362 | 22,082,781 | ||||||
ManTech International Corp. (Class A) | 984,370 | 37,228,873 | ||||||
NeuStar, Inc. (Class A) (a) | 826,000 | 19,419,260 | ||||||
Technology Hardware, Storage, & Peripherals | ||||||||
Western Digital Corp. | 70,000 | 3,308,200 | ||||||
Total Information Technology | 163,926,548 | |||||||
Materials | 5.7% | ||||||||
Chemicals | ||||||||
GCP Applied Technologies Inc. (a) | 77,000 | 2,005,080 | ||||||
PolyOne Corp. | 913,600 | 32,195,264 | ||||||
Westlake Chemical Corp. | 231,400 | 9,931,688 | ||||||
Construction Materials | ||||||||
Summit Materials, Inc. (Class A) (a) | 906,530 | 18,547,604 |
The accompanying notes are an integral part of these financial statements. | Portfolio of Investments | 43 |
Table of Contents
Portfolio of Investments | Small-Company Stock Fund | June 30, 2016 | (Unaudited) (Continued)
Common Stocks | 92% of portfolio (Continued) | ||||||||
Materials | 5.7% (Continued) | Shares | Value | ||||||
Containers & Packaging | ||||||||
Myers Industries, Inc. | 713,058 | $ | 10,268,035 | |||||
Total Materials | 72,947,671 | |||||||
Total Common Stocks (Cost $928,746,506) | 1,170,236,464 | |||||||
Exchange Traded Funds | 2.1% of portfolio | ||||||||
iShares Russell 2000 Value | 150,000 | 14,595,000 | ||||||
iShares Core S&P Small-Cap | 100,000 | 11,621,000 | ||||||
Total Exchange Traded Funds (Cost $24,572,642) | 26,216,000 | |||||||
Commercial Paper | 5.9% of portfolio | ||||||||
Face Amount | ||||||||
NiSource Finance Corp. 0.85%, | $ | 22,081,000 | 22,080,568 | |||||
NiSource Finance Corp. 0.87%, | 8,750,000 | 8,749,131 | ||||||
NiSource Finance Corp. 0.90%, | 20,000,000 | 19,998,014 | ||||||
VW Credit Inc. 0.77%, 07/07/16 (b) | 23,978,000 | 23,974,643 | ||||||
Total Commercial Paper (Cost $74,803,077) | 74,802,356 | |||||||
Money Market Fund | Less than 0.1% of portfolio |
| |||||||
Shares | ||||||||
State Street Institutional Liquid Reserves Fund (Premier Class), 0.47% (c) | 894 | 894 | ||||||
Total Money Market Fund (Cost $894) | 894 | |||||||
Total Investments in Securities (Cost $1,028,123,119) | 100% | $ | 1,271,255,714 |
(a) | Non-income producing. |
(b) | 144A security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be resold in transactions exempt from registration only to qualified institutional buyers. The total of such securities at period-end amounts to $74,802,356 and represents 5.9% of total investment. |
(c) | 7-day yield at June 30, 2016. |
44 | Portfolio of Investments | The accompanying notes are an integral part of these financial statements. |
Table of Contents
Portfolio of Investments
International Equity Fund | June 30, 2016 | (Unaudited)
Common Stocks | 98.7% of portfolio | ||||||||
Australia | 1.8% | Shares | Value | ||||||
CSL Ltd. | 11,477 | $ | 967,885 | |||||
Total Australia | 967,885 | |||||||
Belgium | 2.1% | ||||||||
Anheuser-Busch InBev NV/SA ADR | 8,700 | 1,145,616 | ||||||
Total Belgium | 1,145,616 | |||||||
Brazil | 0.5% | ||||||||
Itaú Unibanco Holding SA ADR (Class A) | 26,200 | 247,328 | ||||||
Total Brazil | 247,328 | |||||||
Britain | 13.4% | ||||||||
ARM Holdings plc | 127,579 | 1,937,888 | ||||||
BBA Aviation plc | 128,600 | 380,538 | ||||||
Royal Dutch Shell plc (Class B) | 72,376 | 1,999,646 | ||||||
Unilever plc | 25,877 | 1,239,900 | ||||||
WPP plc | 77,780 | 1,621,043 | ||||||
Total Britain | 7,179,015 | |||||||
Canada | 2.0% | ||||||||
Canadian National Railway Co. | 18,400 | 1,086,704 | ||||||
Total Canada | 1,086,704 | |||||||
China | 0.7% | ||||||||
Baidu, Inc. ADR (a) | 2,300 | 379,845 | ||||||
Total China | 379,845 | |||||||
Denmark | 1.2% | ||||||||
Coloplast AS (Class B) | 8,157 | 610,589 | ||||||
Total Denmark | 610,589 | |||||||
Finland | 1.0% | ||||||||
KONE Corp. (Class B) (a) | 10,943 | 505,023 | ||||||
Total Finland | 505,023 | |||||||
France | 10.6% | ||||||||
Air Liquide SA | 12,125 | 1,263,202 | ||||||
Dassault Systèmes SA | 30,600 | 2,307,117 | ||||||
L’Oréal SA | 8,403 | 1,608,781 | ||||||
LVMH Moët Hennessy-Louis Vuitton SE | 3,108 | 468,483 | ||||||
Total France | 5,647,583 | |||||||
Germany | 14.4% | ||||||||
Allianz SE REG | 9,773 | 1,394,191 | ||||||
Bayer AG REG | 8,600 | 863,739 | ||||||
Bayerische Motoren Werke AG | 14,534 | 1,057,713 | ||||||
Fresenius Medical Care AG & Co. KGaA | 10,064 | 876,639 | ||||||
FUCHS PETROLUB SE | 4,127 | 148,473 | ||||||
FUCHS PETROLUB SE (Preferred) | 8,689 | 341,833 | ||||||
Linde AG | 5,601 | 780,424 |
Germany | 14.4% (Continued) | Shares | Value | ||||||
SAP SE ADR | 21,000 | $ | 1,575,420 | |||||
Symrise AG | 10,036 | 684,567 | ||||||
Total Germany | 7,722,999 | |||||||
Hong Kong | 4.2% | ||||||||
AIA Group Ltd. | 376,500 | 2,259,282 | ||||||
Total Hong Kong | 2,259,282 | |||||||
Italy | 1.3% | ||||||||
Tenaris, SA ADR | 24,700 | 712,348 | ||||||
Total Italy | 712,348 | |||||||
Japan | 19.8% | ||||||||
FANUC Corp. | 9,300 | 1,512,861 | ||||||
JGC Corp. | 35,000 | 501,046 | ||||||
Keyence Corp. | 3,400 | 2,319,917 | ||||||
Kubota Corp. | 44,000 | 595,114 | ||||||
M3, Inc. | 32,400 | 1,130,759 | ||||||
MISUMI Group Inc. | 59,000 | 1,065,228 | ||||||
Mitsubishi Estate Co., Ltd. | 29,000 | 531,941 | ||||||
MonotaRO Co., Ltd. | 24,400 | 806,687 | ||||||
Park24 Co., Ltd. | 25,200 | 865,983 | ||||||
Sysmex Corp. | 18,500 | 1,273,881 | ||||||
Total Japan | 10,603,417 | |||||||
Mexico | 0.3% | ||||||||
Grupo Televisa SAB ADR | 5,600 | 145,824 | ||||||
Total Mexico | 145,824 | |||||||
Portugal | Less than 0.1% | ||||||||
Banco Espirito Santo SA (a) | 2,678,100 | — | ||||||
Total Portugal | — | |||||||
Republic of South Korea | 1.2% | ||||||||
Samsung Electronics Co., Ltd. GDR | 383 | 239,352 | ||||||
Samsung Electronics Co., Ltd. REG GDR | 818 | 413,908 | ||||||
Total Republic of South Korea | 653,260 | |||||||
Singapore | 2.5% | ||||||||
DBS Group Holdings Ltd. | 113,800 | 1,341,806 | ||||||
Total Singapore | 1,341,806 | |||||||
South Africa | 1.5% | ||||||||
MTN Group Ltd. | 24,600 | 239,072 | ||||||
Naspers Ltd. (Class N) | 2,870 | 438,235 | ||||||
Sasol Ltd. | 4,100 | 110,920 | ||||||
Total South Africa | 788,227 | |||||||
Spain | 2.3% | ||||||||
Banco Bilboa Vizcaya Argentaria SA | 119,776 | 686,250 |
The accompanying notes are an integral part of these financial statements. | Portfolio of Investments | 45 |
Table of Contents
Portfolio of Investments | International Equity Fund | June 30, 2016 | (Unaudited) (Continued)
Common Stocks | 98.7% of portfolio (Continued) | ||||||||
Spain | 2.3% (Continued) | Shares | Value | ||||||
Grifols, SA | 11,340 | $ | 257,604 | |||||
Grifols, SA ADR | 17,800 | 296,726 | ||||||
Total Spain | 1,240,580 | |||||||
Sweden | 3.4% | ||||||||
Alfa Laval AB | 35,100 | 553,204 | ||||||
Atlas Copco AB (Class A) | 30,088 | 781,450 | ||||||
Skandinaviska Enskilda Banken AB (Class A) | 57,789 | 504,826 | ||||||
Total Sweden | 1,839,480 | |||||||
Switzerland | 9.2% | ||||||||
Nestlé SA REG | 26,996 | 2,091,604 | ||||||
Roche Holding AG REG | 8,492 | 2,240,867 | ||||||
Sonova Holding AG | 4,289 | 569,258 | ||||||
Total Switzerland | 4,901,729 | |||||||
Taiwan | 0.7% | ||||||||
Taiwan Semiconductor Manufacturing Co. Ltd. ADR | 14,800 | 388,204 | ||||||
Total Taiwan | 388,204 | |||||||
Turkey | 0.4% | ||||||||
Türkiye Garanti Bankasi AS | 76,900 | 200,709 | ||||||
Total Turkey | 200,709 | |||||||
United States of America | 4.2% | ||||||||
Bunge Ltd. | 11,600 | 686,140 | ||||||
Schlumberger Ltd. | 19,900 | 1,573,692 | ||||||
Total United States of America | 2,259,832 | |||||||
Total Common Stocks (Cost $51,525,029) | 52,827,285 | |||||||
Money Market Fund | 1.3% of portfolio |
| |||||||
State Street Institutional Liquid Reserves Fund (Premier Class), 0.47.% (b) | 713,115 | 713,115 | ||||||
Total Money Market Fund (Cost $713,115) | 713,115 | |||||||
Total Investments in Securities (Cost $52,238,144) | 100% | $ | 53,540,400 |
(a) | Non-income producing. |
(b) | 7-day yield at June 30, 2016. |
NV | – Naamloze Vennottschap |
SA | – Société Anonyme or Sociedad Anónima |
ADR | – American Depositary Receipt |
plc | – Public Limited Company |
AS | – Aktieselskab or Anonim Şirketi |
SE | – Societas Europaea |
REG | – Registered Shares |
AG | – Aktiengesellschaft |
KGaA | – Kommanditgesellschaft auf Aktien |
SAB | – Sociedad Anonima Bursatil |
GDR | – Global Depositary Receipt |
AB | – Aktiebolag |
46 | Portfolio of Investments | The accompanying notes are an integral part of these financial statements. |
Table of Contents
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Table of Contents
Statements of Assets and Liabilities
June 30, 2016 (Unaudited)
Assets | Daily Income Fund | Short-Term Government Securities Fund | ||||||
Investments in securities, at value (cost: $186,783,602; $73,738,927; $542,698,782; $52,441,986; $539,900,925; $94,011,322; $1,028,123,119; $52,238,144) | $ | 186,783,602 | $ | 74,689,061 | ||||
Foreign currency (cost $37,870) | — | — | ||||||
Receivables | ||||||||
Investment securities sold | — | — | ||||||
Dividends, interest, and tax reclaims | 207,670 | 225,718 | ||||||
Capital shares sold | 195,777 | 11,194 | ||||||
Prepaid expenses | 32,027 | 19,574 | ||||||
Total Assets | 187,219,076 | 74,945,547 | ||||||
Liabilities | ||||||||
Payables | ||||||||
Investment securities purchased | — | — | ||||||
Accrued expenses | 66,042 | 45,767 | ||||||
Independent Director’s deferred compensation | 56,193 | 22,426 | ||||||
Due to RE Advisers | 58,921 | 35,022 | ||||||
Capital shares redeemed | 122,997 | 10 | ||||||
Dividends | 13 | 662 | ||||||
Total Liabilities | 304,166 | 103,887 | ||||||
Net Assets | $ | 186,914,910 | $ | 74,841,660 | ||||
Net Assets Consist Of: | ||||||||
Unrealized appreciation (depreciation) of investments | $ | — | $ | 950,134 | ||||
Undistributed (over distributed) net investment income | (55,238 | ) | (22,359 | ) | ||||
Undistributed net realized gain (loss) from investments and futures transactions | — | (107,617 | ) | |||||
Paid-in-capital applicable to outstanding shares of 186,970,107 of Daily Income Fund, 14,277,514 of Short-Term Government Securities Fund, 104,071,507 of Short-Term Bond Fund, 7,491,222 of Stock Index Fund, 19,023,442 of Value Fund, 14,813,293 of Growth Fund, 34,709,476 of Small- Company Stock Fund, and 8,097,681 of International Equity Fund | 186,970,148 | 74,021,502 | ||||||
Net Assets | $ | 186,914,910 | $ | 74,841,660 | ||||
Net Asset Value Per Share | $1.00 | $5.24 |
48 | Statements of Assets and Liabilities | The accompanying notes are an integral part of these financial statements. |
Table of Contents
Statements of Assets and Liabilities | June 30, 2016 (Unaudited) (Continued)
Bond Fund | Stock Index Fund | Value Fund | Growth Fund | Small- Company Stock Fund | International Equity Fund | |||||||||||||||||
$ | 545,506,767 | $ | 118,011,373 | $ | 913,620,493 | $ | 109,500,899 | $ | 1,271,255,714 | $ | 53,540,400 | |||||||||||
— | — | — | — | — | 37,731 | |||||||||||||||||
— | 5,188 | 2,251,487 | 569,447 | 3,182,554 | 838,360 | |||||||||||||||||
2,344,725 | — | 1,697,616 | 50,378 | 474,776 | 290,170 | |||||||||||||||||
368,890 | 4,742 | 1,005,274 | 72,626 | 1,561,569 | 14,398 | |||||||||||||||||
67,500 | 26,104 | 117,796 | 28,655 | 156,155 | 24,400 | |||||||||||||||||
548,287,882 | 118,047,407 | 918,692,666 | 110,222,005 | 1,276,630,768 | 54,745,459 | |||||||||||||||||
3,527,938 | — | — | 269,240 | 2,567,539 | 846,859 | |||||||||||||||||
117,797 | 42,217 | 140,065 | 76,623 | 44,463 | 35,449 | |||||||||||||||||
111,939 | 21,316 | 184,339 | 12,931 | 116,133 | 45,502 | |||||||||||||||||
298,659 | 38,647 | 421,472 | 86,103 | 866,757 | 57,015 | |||||||||||||||||
99,416 | 9,930 | 1,195,812 | 375,554 | 2,493,547 | 1,391 | |||||||||||||||||
17,190 | 5 | 108,730 | 4,543 | — | — | |||||||||||||||||
4,172,939 | 112,115 | 2,050,418 | 824,994 | 6,088,439 | 986,216 | |||||||||||||||||
$ | 544,114,943 | $ | 117,935,292 | $ | 916,642,248 | $ | 109,397,011 | $ | 1,270,542,329 | $ | 53,759,243 | |||||||||||
$ | 2,807,985 | $ | 65,569,387 | $ | 373,719,568 | $ | 15,489,577 | $ | 243,132,595 | $ | 1,292,451 | |||||||||||
(143,289 | ) | 905,613 | (186,354 | ) | (65,445 | ) | 2,013,934 | 571,608 | ||||||||||||||
(86,884 | ) | (4,409,554 | ) | 45,803,531 | (324,945 | ) | (113,288 | ) | (28,621,057 | ) | ||||||||||||
541,537,131 | 55,869,846 | 497,305,503 | 94,297,824 | 1,025,509,088 | 80,516,241 | |||||||||||||||||
$ | 544,114,943 | $ | 117,935,292 | $ | 916,642,248 | $ | 109,397,011 | $ | 1,270,542,329 | $ | 53,759,243 | |||||||||||
$5.23 | $15.74 | $48.18 | $7.39 | $36.61 | $6.64 |
The accompanying notes are an integral part of these financial statements. | Statements of Assets and Liabilities | 49 |
Table of Contents
For the Period Ended June 30, 2016 (Unaudited)
Investment Income | Daily Income Fund | Short-Term Government Securities Fund | ||||||
Interest | $ | 368,815 | $ | 550,099 | ||||
Dividends | — | — | ||||||
Allocated from Master Portfolio | ||||||||
Income | — | — | ||||||
Expense | — | — | ||||||
Total Investment Income | 368,815 | 550,099 | ||||||
Expenses | ||||||||
Management fees | 473,925 | 163,202 | ||||||
Shareholder servicing fees | 68,467 | 38,635 | ||||||
Custodian and accounting fees | 25,796 | 31,028 | ||||||
Director and Board meeting expenses | 23,403 | 8,760 | ||||||
Legal and audit fees | 23,724 | 9,823 | ||||||
Registration fees | 18,070 | 13,093 | ||||||
Printing | 12,459 | 5,992 | ||||||
Insurance | 3,881 | 1,453 | ||||||
Communication | 5,572 | 2,667 | ||||||
Other expenses | 3,197 | 4,566 | ||||||
Administration fees | — | — | ||||||
Total Expenses | 658,494 | 279,219 | ||||||
Less fees waived by RE Advisers | (298,973 | ) | — | |||||
Net Expenses | 359,521 | 279,219 | ||||||
Net Investment Income (Loss) | 9,294 | 270,880 | ||||||
Realized And Unrealized Gain (Loss) On Investments | ||||||||
Net realized gain (loss) on investments | — | (107,547 | ) | |||||
Net change in unrealized appreciation (depreciation) | — | 943,268 | ||||||
Net Gain (Loss) On Investments | — | 835,721 | ||||||
Net Increase (Decrease) In Net Assets From Operations | $ | 9,294 | $ | 1,106,601 | ||||
(a) | Represents realized and unrealized gain on investments allocated from the Master Portfolio. |
(b) | Includes foreign tax witholding expense of $2,659 in Growth Fund and $95,354 in International Equity Fund. |
50 | Statements of Operations | The accompanying notes are an integral part of these financial statements. |
Table of Contents
Statements of Operations | For the Period Ended June 30, 2016 (Unaudited) (Continued)
Short-Term Bond Fund | Stock Index Fund | Value Fund | Growth Fund | Small- Company Stock Fund | International Equity Fund | |||||||||||||||||
$ | 6,057,412 | $ | — | $ | 131,896 | $ | 3,502 | $ | 324,699 | $ | 1,856 | |||||||||||
— | — | 10,978,602 | 448,838 | (b) | 6,988,326 | 857,411 | (b) | |||||||||||||||
— | 1,228,822 | — | — | — | — | |||||||||||||||||
— | (20,984 | ) | — | — | — | — | ||||||||||||||||
6,057,412 | 1,207,838 | 11,110,498 | 452,340 | 7,313,025 | 859,267 | |||||||||||||||||
1,617,154 | — | 2,107,812 | 345,880 | 4,606,793 | 192,182 | |||||||||||||||||
87,757 | 64,016 | 183,497 | 75,730 | 138,762 | 64,299 | |||||||||||||||||
93,310 | 7,643 | 64,516 | 24,754 | 78,935 | 47,441 | |||||||||||||||||
62,733 | 11,101 | 97,205 | 13,608 | 119,714 | 6,603 | |||||||||||||||||
61,095 | 20,332 | 92,920 | 22,574 | 114,056 | 25,595 | |||||||||||||||||
23,106 | 13,667 | 31,456 | 17,757 | 55,970 | 16,526 | |||||||||||||||||
18,546 | 12,989 | 40,291 | 13,920 | 29,721 | 12,842 | |||||||||||||||||
10,342 | 1,998 | 16,287 | 2,291 | 19,973 | 2,608 | |||||||||||||||||
8,294 | 3,672 | 17,919 | 6,227 | 12,912 | 5,677 | |||||||||||||||||
11,900 | 5,002 | 12,909 | 3,489 | 9,006 | 3,249 | |||||||||||||||||
— | 140,404 | — | — | — | — | |||||||||||||||||
1,994,237 | 280,824 | 2,664,812 | 526,230 | 5,185,842 | 377,022 | |||||||||||||||||
— | — | — | (20,815 | ) | — | (131,391 | ) | |||||||||||||||
1,994,237 | 280,824 | 2,664,812 | 505,415 | 5,185,842 | 245,631 | |||||||||||||||||
4,063,175 | 927,014 | 8,445,686 | (53,075 | ) | 2,127,183 | 613,636 | ||||||||||||||||
259,976 | 450,508 | (a) | 45,806,498 | (307,969 | ) | (102,833 | ) | (3,030,811 | ) | |||||||||||||
4,372,226 | 2,685,704 | (a) | (18,773,324 | ) | (7,044,163 | ) | 39,776,558 | 4,045,091 | ||||||||||||||
4,632,202 | 3,136,212 | 27,033,174 | (7,352,132 | ) | 39,673,725 | 1,014,280 | ||||||||||||||||
$ | 8,695,377 | $ | 4,063,226 | $ | 35,478,860 | $ | (7,405,207 | ) | $ | 41,800,908 | $ | 1,627,916 | ||||||||||
The accompanying notes are an integral part of these financial statements. | Statements of Operations | 51 |
Table of Contents
Statements of Changes in Net Assets
Daily Income Fund | ||||||||
Six Months Ended June 30, 2016 (Unaudited) | Year Ended December 31, 2015 | |||||||
Increase (Decrease) In Net Assets | ||||||||
Operations | ||||||||
Net investment income | $ | 9,294 | $ | 14,797 | ||||
Net realized gain on investments | — | — | ||||||
Net change in unrealized appreciation (depreciation) | — | — | ||||||
Increase (decrease) in net assets from operations | 9,294 | 14,797 | ||||||
Distributions to Shareholders | ||||||||
Net investment income | (9,510 | ) | (18,858 | ) | ||||
Net realized gain on investments | — | — | ||||||
Total distributions to shareholders | (9,510 | ) | (18,858 | ) | ||||
Capital Share Transactions | ||||||||
Net capital share transactions | (6,240,960 | ) | (3,610,648 | ) | ||||
Total increase (decrease) in net assets from capital transactions | (6,240,960 | ) | (3,610,648 | ) | ||||
Total Increase (Decrease) In Net Assets | (6,241,176 | ) | (3,614,709 | ) | ||||
Net Assets | ||||||||
Beginning of period | $ | 193,156,086 | $ | 196,770,795 | ||||
End of Period | $ | 186,914,910 | $ | 193,156,086 | ||||
Undistributed (over distributed) net investment income | (55,238 | ) | (55,022 | ) |
52 | Statements of Changes in Net Assets | The accompanying notes are an integral part of these financial statements. |
Table of Contents
Statements of Changes in Net Assets (Continued)
Short-Term Government Securities Fund | Short-Term Bond Fund | Stock Index Fund | ||||||||||||||||||||
Six Months Ended June 30, | Year Ended December 31, 2015 | Six Months Ended June 30, | Year Ended December 31, 2015 | Six Months Ended June 30, 2016 (Unaudited) | Year Ended December 31, 2015 | |||||||||||||||||
$ | 270,880 | $ | 628,036 | $ | 4,063,175 | $ | 7,700,091 | $ | 927,014 | $ | 1,728,685 | |||||||||||
(107,547 | ) | 4,120 | 259,976 | 114,315 | 450,508 | 1,633,599 | ||||||||||||||||
943,268 | (175,228 | ) | 4,372,226 | (5,372,802 | ) | 2,685,704 | (2,360,690 | ) | ||||||||||||||
1,106,601 | 456,928 | 8,695,377 | 2,441,604 | 4,063,226 | 1,001,594 | |||||||||||||||||
(271,254 | ) | (629,628 | ) | (4,098,777 | ) | (7,751,827 | ) | (749 | ) | (1,864,640 | ) | |||||||||||
— | (4,225 | ) | — | — | — | — | ||||||||||||||||
(271,254 | ) | (633,853 | ) | (4,098,777 | ) | (7,751,827 | ) | (749 | ) | (1,864,640 | ) | |||||||||||
958,072 | (3,436,050 | ) | (2,732,482 | ) | (24,134,382 | ) | (563,277 | ) | (864,054 | ) | ||||||||||||
958,072 | (3,436,050 | ) | (2,732,482 | ) | (24,134,382 | ) | (563,277 | ) | (864,054 | ) | ||||||||||||
1,793,419 | (3,612,975 | ) | 1,864,118 | (29,444,605 | ) | 3,499,200 | (1,727,100 | ) | ||||||||||||||
$ | 73,048,241 | $ | 76,661,216 | $ | 542,250,825 | $ | 571,695,430 | $ | 114,436,092 | $ | 116,163,192 | |||||||||||
$ | 74,841,660 | $ | 73,048,241 | $ | 544,114,943 | $ | 542,250,825 | $ | 117,935,292 | $ | 114,436,092 | |||||||||||
(22,359 | ) | (21,985 | ) | (143,289 | ) | (107,687 | ) | 905,613 | (20,652 | ) |
The accompanying notes are an integral part of these financial statements. | Statements of Changes in Net Assets | 53 |
Table of Contents
Statements of Changes in Net Assets
Value Fund | ||||||||
Six Months Ended June 30, 2016 (Unaudited) | Year Ended December 31, 2015 | |||||||
Increase (Decrease) In Net Assets | ||||||||
Operations | ||||||||
Net investment income | $ | 8,445,686 | $ | 17,219,464 | ||||
Net realized gain on investments | 45,806,498 | 44,331,132 | ||||||
Net change in unrealized appreciation (depreciation) | (18,773,324 | ) | (72,838,672 | ) | ||||
Increase (decrease) in net assets from operations | 35,478,860 | (11,288,076 | ) | |||||
Distributions to Shareholders | ||||||||
Net investment income | (8,446,721 | ) | (17,242,908 | ) | ||||
Net realized gain on investments | — | (44,333,001 | ) | |||||
Total distributions to shareholders | (8,446,721 | ) | (61,575,909 | ) | ||||
Capital Share Transactions | ||||||||
Net capital share transactions | (9,548,053 | ) | 33,164,727 | |||||
Total increase (decrease) in net assets from capital transactions | (9,548,053 | ) | 33,164,727 | |||||
Total Increase (Decrease) In Net Assets | 17,484,086 | (39,699,258 | ) | |||||
Net Assets | ||||||||
Beginning of period | $ | 899,158,162 | $ | 938,857,420 | ||||
End of Period | $ | 916,642,248 | $ | 899,158,162 | ||||
Undistributed (over distributed) net investment income | (186,354 | ) | (185,319 | ) |
54 | Statements of Changes in Net Assets | The accompanying notes are an integral part of these financial statements. |
Table of Contents
Statements of Changes in Net Assets (Continued)
Growth Fund | Small-Company Stock Fund | International Equity Fund | ||||||||||||||||||||
Six Months Ended June 30, | Year Ended December 31, 2015 | Six Months Ended June 30, 2016 (Unaudited) | Year Ended December 31, 2015 | Six Months Ended June 30, 2016 (Unaudited) | Year Ended December 31, 2015 | |||||||||||||||||
$ | (53,075 | ) | $ | (343,017 | ) | $ | 2,127,183 | $ | 5,030,652 | $ | 613,636 | $ | 3,825,053 | |||||||||
(307,969 | ) | 7,197,597 | (102,833 | ) | 53,727,343 | (3,030,811 | ) | 1,381,283 | ||||||||||||||
(7,044,163 | ) | 2,249,155 | 39,776,558 | (125,710,659 | ) | 4,045,091 | (15,051,719 | ) | ||||||||||||||
(7,405,207 | ) | 9,103,735 | 41,800,908 | (66,952,664 | ) | 1,627,916 | (9,845,383 | ) | ||||||||||||||
— | — | — | (5,057,427 | ) | — | (3,690,626 | ) | |||||||||||||||
(1,310,719 | ) | (7,022,077 | ) | — | (53,730,621 | ) | — | — | ||||||||||||||
(1,310,719 | ) | (7,022,077 | ) | — | (58,788,048 | ) | — | (3,690,626 | ) | |||||||||||||
3,783,761 | 18,530,789 | 17,390,710 | 277,290,991 | (1,013,135 | ) | (141,093,232 | ) | |||||||||||||||
3,783,761 | 18,530,789 | 17,390,710 | 277,290,991 | (1,013,135 | ) | (141,093,232 | ) | |||||||||||||||
(4,932,165 | ) | 20,612,447 | 59,191,618 | 151,550,279 | 614,781 | (154,629,241 | ) | |||||||||||||||
$ | 114,329,176 | $ | 93,716,729 | $ | 1,211,350,711 | $ | 1,059,800,432 | $ | 53,144,462 | $ | 207,773,703 | |||||||||||
$ | 109,397,011 | $ | 114,329,176 | $ | 1,270,542,329 | $ | 1,211,350,711 | $ | 53,759,243 | $ | 53,144,462 | |||||||||||
(65,445 | ) | (12,370 | ) | 2,013,934 | (113,249 | ) | 571,608 | (42,028 | ) |
The accompanying notes are an integral part of these financial statements. | Statements of Changes in Net Assets | 55 |
Table of Contents
Six Months Ended June 30, 2016, (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||
For a Share Outstanding Throughout Each Period | 2015 | 2014 | 2013 | 2012 | 2011 | |||||||||||||||||||
Net Asset Value, Beginning of Period | $1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | |||||||||||||
Income from investment operations | ||||||||||||||||||||||||
Net investment income | — | (a,b,c) | — | (a,b,c) | — | (a,b,c) | — | (a,b,c) | — | (a,b,c) | — | (a,b,c) | ||||||||||||
Net realized and unrealized gain (loss) on investments | — | — | — | — | — | — | ||||||||||||||||||
Total from investment operations | — | — | — | — | — | — | ||||||||||||||||||
Distributions | ||||||||||||||||||||||||
Net investment income | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | — | (b) | ||||||||||||
Net realized gain | — | — | — | — | — | — | ||||||||||||||||||
Total distributions | — | — | — | — | — | — | ||||||||||||||||||
Redemption fee (d) | — | — | — | — | — | — | ||||||||||||||||||
Net Asset Value, End of Period | $1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | |||||||||||||
Total Return | 0.01 | %(f) | 0.01 | % | 0.01 | % | 0.01 | % | 0.01 | % | 0.01 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (thousands) | $ | 186,915 | $ | 193,156 | $ | 196,771 | $ | 212,308 | $ | 208,527 | $ | 195,173 | ||||||||||||
Ratio of net investment income to average net assets | 0.00% | (a,c,e,g) | 0.00% | (a,c,e) | 0.00% | (a,c,e) | 0.00% | (a,c,e) | 0.00% | (a,c,e) | 0.01% | (a,c) | ||||||||||||
Ratio of gross expenses before voluntary expense limitation to average net assets | 0.69% | (g) | 0.68% | 0.66% | 0.66% | 0.67% | 0.68% | |||||||||||||||||
Ratio of expenses to average net assets | 0.38% | (a,c,g) | 0.14% | (a,c) | 0.09% | (a,c) | 0.11% | (a,c) | 0.15% | (a,c) | 0.14% | (a,c) |
(a) | Excludes excess investment management fees and other expenses voluntarily waived and reimbursed by RE Advisers. |
(b) | Less than $0.01 per share. |
(c) | On January 27, 2009, RE Advisers voluntarily and temporarily reduced the amount of the expense limitation from 0.80% to 0.50%. Additionally, effective August 14, 2009, RE Advisers agreed to further waive fees or reimburse expenses to the extent necessary to assist the Fund in attempting to maintain a positive yield. The temporary waiver continued throughout 2011, 2012, 2013, 2014, 2015 and through the date of this report. |
(d) | The Daily Income Fund does not charge a redemption fee. |
(e) | Less than 0.01%. |
(f) | Aggregate total return for the period. |
(g) | Annualized. |
56 | Financial Highlights | The accompanying notes are an integral part of these financial statements. |
Table of Contents
Financial Highlights
Short-Term Government Securities Fund
Six Months Ended June 30, 2016, (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||
For a Share Outstanding Throughout Each Period | 2015 | 2014 | 2013 | 2012 | 2011 | |||||||||||||||||||
Net Asset Value, Beginning of Period | $5.18 | $ | 5.20 | $ | 5.19 | $ | 5.28 | $ | 5.27 | $ | 5.26 | |||||||||||||
Income from investment operations | ||||||||||||||||||||||||
Net investment income | 0.02 | 0.04 | 0.05 | 0.05 | 0.06 | 0.09 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.06 | (0.02 | ) | 0.01 | (0.09 | ) | 0.02 | 0.01 | ||||||||||||||||
Total from investment operations | 0.08 | 0.02 | 0.06 | (0.04 | ) | 0.08 | 0.10 | |||||||||||||||||
Distributions | ||||||||||||||||||||||||
Net investment income | (0.02 | ) | (0.04 | ) | (0.05 | ) | (0.05 | ) | (0.06 | ) | (0.09 | ) | ||||||||||||
Net realized gain | — | — | (a) | — | (a) | — | (a) | (0.01 | ) | — | (a) | |||||||||||||
Total distributions | (0.02 | ) | (0.04 | ) | (0.05 | ) | (0.05 | ) | (0.07 | ) | (0.09 | ) | ||||||||||||
Redemption fee (b) | — | — | — | — | — | — | ||||||||||||||||||
Net Asset Value, End of Period | $5.24 | $ | 5.18 | $ | 5.20 | $ | 5.19 | $ | 5.28 | $ | 5.27 | |||||||||||||
Total Return | 1.54 | %(c) | 0.46 | % | 1.16 | % | -0.72 | % | 1.50 | % | 2.03 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (thousands) | $ | 74,842 | $ | 73,048 | $ | 76,661 | $ | 86,131 | $ | 94,130 | $ | 84,559 | ||||||||||||
Ratio of net investment income to average net assets | 0.75% | (d) | 0.84% | 0.95% | 0.96% | 1.19% | 1.76% | |||||||||||||||||
Ratio of expenses to average net assets | 0.77% | (d) | 0.77% | 0.71% | 0.69% | 0.69% | 0.71% | |||||||||||||||||
Portfolio turnover rate | 9% | 32% | 20% | 20% | 36% | 32% |
(a) | Less than $0.01 per share. |
(b) | The Short-Term Government Securities Fund does not charge a redemption fee. |
(c) | Aggregate total return for the period. |
(d) | Annualized. |
The accompanying notes are an integral part of these financial statements. | Financial Highlights | 57 |
Table of Contents
Financial Highlights
Six Months Ended June 30, 2016, (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||
For a Share Outstanding Throughout Each Period | 2015 | 2014 | 2013 | 2012 | 2011 | |||||||||||||||||||
Net Asset Value, Beginning of Period | $5.18 | $ | 5.23 | $ | 5.22 | $ | 5.22 | $ | 5.12 | $ | 5.19 | |||||||||||||
Income from investment operations | ||||||||||||||||||||||||
Net investment income | 0.04 | 0.07 | 0.07 | 0.08 | 0.13 | 0.17 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.05 | (0.05 | ) | 0.01 | — | (a) | 0.10 | (0.07 | ) | |||||||||||||||
Total from investment operations | 0.09 | 0.02 | 0.08 | 0.08 | 0.23 | 0.10 | ||||||||||||||||||
Distributions | ||||||||||||||||||||||||
Net investment income | (0.04 | ) | (0.07 | ) | (0.07 | ) | (0.08 | ) | (0.13 | ) | (0.17 | ) | ||||||||||||
Net realized gain | — | — | — | — | — | — | ||||||||||||||||||
Total distributions | (0.04 | ) | (0.07 | ) | (0.07 | ) | (0.08 | ) | (0.13 | ) | (0.17 | ) | ||||||||||||
Redemption fee (b) | — | — | — | — | — | — | ||||||||||||||||||
Net Asset Value, End of Period | $5.23 | $ | 5.18 | $ | 5.23 | $ | 5.22 | $ | 5.22 | $ | 5.12 | |||||||||||||
Total Return | 1.73 | %(c) | 0.43 | % | 1.56 | % | 1.64 | % | 4.58 | % | 1.90 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (thousands) | $ | 544,115 | $ | 542,251 | $ | 571,695 | $ | 536,303 | $ | 426,481 | $ | 374,557 | ||||||||||||
Ratio of net investment income to average net assets | 1.51% | (d) | 1.38% | 1.35% | 1.61% | 2.53% | 3.22% | |||||||||||||||||
Ratio of expenses to average net assets | 0.74% | (d) | 0.74% | 0.73% | 0.74% | 0.76% | 0.77% | |||||||||||||||||
Portfolio turnover rate | 17% | 20% | 26% | 32% | 44% | 31% |
(a) | Less than $0.01 per share. |
(b) | The Short-Term Bond Fund does not charge a redemption fee. |
(c) | Aggregate total return for the period. |
(d) | Annualized. |
58 | Financial Highlights | The accompanying notes are an integral part of these financial statements. |
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Financial Highlights
Six Months Ended June 30, 2016, (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||
For a Share Outstanding Throughout Each Period | 2015 | 2014 | 2013 | 2012 | 2011 | |||||||||||||||||||
Net Asset Value, Beginning of Period | $15.20 | $ | 15.33 | $ | 13.74 | $ | 10.57 | $ | 9.32 | $ | 9.31 | |||||||||||||
Income from investment operations | ||||||||||||||||||||||||
Net investment income | 0.12 | 0.25 | 0.22 | 0.18 | 0.18 | 0.14 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.42 | (0.13 | ) | 1.59 | 3.17 | 1.25 | 0.01 | |||||||||||||||||
Total from investment operations | 0.54 | 0.12 | 1.81 | 3.35 | 1.43 | 0.15 | ||||||||||||||||||
Distributions | ||||||||||||||||||||||||
Net investment income | — | (a) | (0.25 | ) | (0.22 | ) | (0.18 | ) | (0.18 | ) | (0.14 | ) | ||||||||||||
Net realized gain | — | — | — | — | — | — | ||||||||||||||||||
Total distributions | — | (a) | (0.25 | ) | (0.22 | ) | (0.18 | ) | (0.18 | ) | (0.14 | ) | ||||||||||||
Redemption fee | — | — | — | — | (a,b) | — | — | (a) | ||||||||||||||||
Net Asset Value, End of Period | $15.74 | $ | 15.20 | $ | 15.33 | $ | 13.74 | $ | 10.57 | $ | 9.32 | |||||||||||||
Total Return | 3.55 | %(d) | 0.79 | % | 13.15 | % | 31.72 | % | 15.30 | % | 1.65 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (thousands) | $ | 117,935 | $ | 114,436 | $ | 116,163 | $ | 103,260 | $ | 71,514 | $ | 61,844 | ||||||||||||
Ratio of net investment income to average net assets | 1.65% | (e) | 1.49% | 1.49% | 1.55% | 1.74% | 1.52% | |||||||||||||||||
Ratio of expenses to average net assets | 0.54% | (e) | 0.54% | 0.54% | 0.56% | 0.60% | 0.61% | |||||||||||||||||
Portfolio turnover rate (c) | N/A | N/A | N/A | N/A | N/A | N/A |
(a) | Less than $0.01 per share. |
(b) | Effective May 1, 2013, the redemption fee was eliminated. |
(c) | See Appendix for the portfolio turnover of the S&P 500 Index Master Portfolio. |
(d) | Aggregate total return for the period. |
(e) | Annualized. |
The accompanying notes are an integral part of these financial statements. | Financial Highlights | 59 |
Table of Contents
Financial Highlights
Six Months (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||
For a Share Outstanding Throughout Each Period | 2015 | 2014 | 2013 | 2012 | 2011 | |||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 46.77 | $ | 50.79 | $ | 45.46 | $ | 34.09 | $ | 30.71 | $ | 30.70 | ||||||||||||
Income from investment operations | ||||||||||||||||||||||||
Net investment income | 0.45 | 0.94 | 0.78 | 0.76 | 0.71 | 0.50 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 1.41 | (1.59 | ) | 5.41 | 11.37 | 3.38 | — | (b) | ||||||||||||||||
Total from investment operations | 1.86 | (0.65 | ) | 6.19 | 12.13 | 4.09 | 0.50 | |||||||||||||||||
Distributions | ||||||||||||||||||||||||
Net investment income | (0.45 | ) | (0.94 | ) | (0.78 | ) | (0.76 | ) | (0.71 | ) | (0.49 | ) | ||||||||||||
Net realized gain | — | (2.43 | ) | (0.08 | ) | — | — | — | ||||||||||||||||
Total distributions | (0.45 | ) | (3.37 | ) | (0.86 | ) | (0.76 | ) | (0.71 | ) | (0.49 | ) | ||||||||||||
Redemption fee | — | — | — | — | (a,b) | — | (b) | — | (b) | |||||||||||||||
Net Asset Value, End of Period | $ | 48.18 | $ | 46.77 | $ | 50.79 | $ | 45.46 | $ | 34.09 | $ | 30.71 | ||||||||||||
Total Return | 3.99 | %(c) | -1.28 | % | 13.66 | % | 35.74 | % | 13.38 | % | 1.60 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (thousands) | 916,642 | 899,158 | 938,857 | 816,471 | 600,544 | 540,772 | ||||||||||||||||||
Ratio of net investment income to average net assets | 1.92% | (d) | 1.85% | 1.64% | 1.86% | 2.13% | 1.59% | |||||||||||||||||
Ratio of expenses to average net assets | 0.61% | (d) | 0.59% | 0.61% | 0.64% | 0.68% | 0.70% | |||||||||||||||||
Portfolio turnover rate | 7% | 8% | 2% | 2% | 2% | 6% |
(a) | Effective May 1, 2013, the redemption fee was eliminated. |
(b) | Less than $0.01 per share. |
(c) | Aggregate total return for the period. |
(d) | Annualized. |
60 | Financial Highlights | The accompanying notes are an integral part of these financial statements. |
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Financial Highlights
Six Months (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||
For a Share Outstanding Throughout Each Period | 2015 | 2014 | 2013 | 2012 | 2011 | |||||||||||||||||||
Net Asset Value, Beginning of Period | $8.00 | $ | 7.79 | $ | 7.92 | $ | 5.71 | $ | 5.17 | $ | 5.80 | |||||||||||||
Income from investment operations | ||||||||||||||||||||||||
Net investment loss | — | — | — | — | — | (b) | (0.01 | ) | ||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.52 | ) | 0.73 | 0.66 | 2.48 | 0.91 | (0.11 | ) | ||||||||||||||||
Total from investment operations | (0.52 | ) | 0.73 | 0.66 | 2.48 | 0.91 | (0.12 | ) | ||||||||||||||||
Distributions | ||||||||||||||||||||||||
Net investment income | — | — | — | — | — | (b) | — | |||||||||||||||||
Net realized gain | (0.09 | ) | (0.52 | ) | (0.79 | ) | (0.27 | ) | (0.37 | ) | (0.51 | ) | ||||||||||||
Total distributions | (0.09 | ) | (0.52 | ) | (0.79 | ) | (0.27 | ) | (0.37 | ) | (0.51 | ) | ||||||||||||
Redemption fee | — | — | — | — | (a,b) | — | (b) | — | (b) | |||||||||||||||
Net Asset Value, End of Period | $7.39 | $ | 8.00 | $ | 7.79 | $ | 7.92 | $ | 5.71 | $ | 5.17 | |||||||||||||
Total Return | -6.51 | %(d) | 9.43 | % | 8.38 | % | 43.40 | % | 17.57 | % | -2.09 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (thousands) | $ | 109,397 | $ | 114,329 | $ | 93,717 | $ | 75,027 | $ | 41,836 | $ | 32,434 | ||||||||||||
Ratio of net investment income (loss) to average net assets | (0.10)% | (c,e) | (0.32)% | (0.32)% | (c) | (0.32)% | (c) | 0.00% | (c) | (0.19)% | (c) | |||||||||||||
Ratio of gross expenses before expense limitation to average net assets | 0.99% | (e) | 0.95% | 0.97% | 1.04% | 1.11% | 1.14% | |||||||||||||||||
Ratio of expenses to average net assets | 0.95% | (c,e) | 0.95% | 0.95% | (c) | 0.95% | (c) | 0.95% | (c) | 0.95% | (c) | |||||||||||||
Portfolio turnover rate | 20% | 40% | 49% | 39% | 51% | 67% |
(a) | Effective May 1, 2013, the redemption fee was eliminated. |
(b) | Less than $0.01 per share. |
(c) | Excludes expenses in excess of a 0.95% contractual expense limitation with RE Advisers, in effect through April 30, 2018. |
(d) | Aggregate total return for the period. |
(e) | Annualized. |
The accompanying notes are an integral part of these financial statements. | Financial Highlights | 61 |
Table of Contents
Financial Highlights
Six Months (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||
For a Share Outstanding Throughout Each Period | 2015 | 2014 | 2013 | 2012 | 2011 | |||||||||||||||||||
Net Asset Value, Beginning of Period | $35.45 | $ | 39.28 | $ | 36.86 | $ | 27.10 | $ | 22.89 | $ | 22.79 | |||||||||||||
Income from investment operations | ||||||||||||||||||||||||
Net investment income (loss) | 0.06 | 0.15 | 0.14 | 0.12 | 0.22 | 0.03 | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 1.10 | (2.19 | ) | 2.80 | 9.79 | 4.27 | 0.10 | |||||||||||||||||
Total from investment operations | 1.16 | (2.04 | ) | 2.94 | 9.91 | 4.49 | 0.13 | |||||||||||||||||
Distributions | ||||||||||||||||||||||||
Net investment income | — | (0.15 | ) | (0.14 | ) | (0.12 | ) | (0.22 | ) | (0.03 | ) | |||||||||||||
Net realized gain | — | (1.64 | ) | (0.38 | ) | (0.03 | ) | (0.06 | ) | — | ||||||||||||||
Total distributions | — | (1.79 | ) | (0.52 | ) | (0.15 | ) | (0.28 | ) | (0.03 | ) | |||||||||||||
Redemption fee | — | — | — | — | (a,b) | — | (b) | — | (b) | |||||||||||||||
Net Asset Value, End of Period | $36.61 | $ | 35.45 | $ | 39.28 | $ | 36.86 | $ | 27.10 | $ | 22.89 | |||||||||||||
Total Return | 3.27 | %(c) | -5.18 | % | 7.97 | % | 36.58 | % | 19.63 | % | 0.58 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (thousands) | $ | 1,270,542 | $ | 1,211,351 | $ | 1,059,800 | $ | 845,057 | $ | 390,373 | $ | 190,426 | ||||||||||||
Ratio of net investment income to average net assets | 0.35% | (d) | 0.43% | 0.38% | 0.44% | 1.05% | 0.17% | |||||||||||||||||
Ratio of expenses to average net assets | 0.86% | (d) | 0.86% | 0.89% | 0.91% | 1.00% | 1.06% | |||||||||||||||||
Portfolio turnover rate | 7% | 16% | 3% | 1% | 1% | 2% |
(a) | Effective May 1, 2013, the redemption fee was eliminated. |
(b) | Less than $0.01 per share. |
(c) | Aggregate total return for the period. |
(d) | Annualized. |
62 | Financial Highlights | The accompanying notes are an integral part of these financial statements. |
Table of Contents
Financial Highlights
Six Months (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||
For a Share Outstanding Throughout Each Period | 2015 | 2014 | 2013 | 2012 | 2011 | |||||||||||||||||||
Net Asset Value, Beginning of Period | $6.44 | $ | 7.17 | $ | 8.13 | $ | 6.70 | $ | 5.96 | $ | 7.57 | |||||||||||||
Income from investment operations | ||||||||||||||||||||||||
Net investment income | 0.08 | 0.47 | 0.24 | 0.14 | 0.16 | 0.16 | (b) | |||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.12 | (0.72 | ) | (0.96 | ) | 1.43 | 0.87 | (1.40 | ) | |||||||||||||||
Total from investment operations | 0.20 | (0.25 | ) | (0.72 | ) | 1.57 | 1.03 | (1.24 | ) | |||||||||||||||
Distributions | ||||||||||||||||||||||||
Net investment income | — | (0.48 | ) | (0.24 | ) | (0.14 | ) | (0.16 | ) | (0.27 | )(c) | |||||||||||||
Net realized gain | — | — | — | — | — | — | ||||||||||||||||||
Return of capital | — | — | — | — | (0.13 | ) | (0.10 | )(c) | ||||||||||||||||
Total distributions | — | (0.48 | ) | (0.24 | ) | (0.14 | ) | (0.29 | ) | (0.37 | ) | |||||||||||||
Redemption fee | — | — | — | — | (d,e) | — | (e) | — | (e) | |||||||||||||||
Net Asset Value, End of Period | $6.64 | $ | 6.44 | $ | 7.17 | $ | 8.13 | $ | 6.70 | $ | 5.96 | |||||||||||||
Total Return | 3.11 | %(f) | -3.48 | % | -8.90 | % | 23.44 | % | 17.41 | % | -16.55 | % | ||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (thousands) | $ | 53,759 | $ | 53,144 | $ | 207,774 | $ | 215,048 | $ | 169,382 | $ | 144,421 | ||||||||||||
Ratio of net investment income to average net assets | 2.39% | (a,b,g) | 1.87% | (a) | 3.04% | 1.95% | 2.47% | 2.44% | (b) | |||||||||||||||
Ratio of gross expenses before voluntary expense limitation to average net assets | 1.47% | 1.01% | 0.97% | 0.96% | 0.99% | 1.00% | ||||||||||||||||||
Ratio of expenses to average net assets | 0.96% | (a,b,g) | 0.87% | (a) | 0.97% | 0.96% | 0.99% | 0.99% | (b) | |||||||||||||||
Portfolio turnover rate | 100% | 62% | 24% | 19% | 23% | 34% |
(a) | RE Adviser waived additional management fees equal to the difference between the fee that would have been paid to Mercator Asset Management, L.P., the Fund’s subadvisor prior to September 7, 2015, and the fee paid to SSgA Funds Management, Inc., beginning September 7, 2015, the date SSgA Funds Management, Inc. began as subadvisor until January 15, 2016, the date in which Harding Loevner LP began as subadvisor. |
(b) | Excludes expenses in excess of a 0.99% contractual expense limitation with RE Advisers, in effect through April 30, 2018. |
(c) | Revised to reflect distributions from return of capital per share which were previously reported as distributions from net investment income per share. Previously reported amounts were distributions from net investment income per share of 0.37. This revision did not impact net assets, total distributions or total return. Refer to Note 2 of the Financial Statements for further details. |
(d) | Effective May 1, 2013, the redemption fee was eliminated. |
(e) | Less than $0.01 per share. |
(f) | Aggregate total return for the period. |
(g) | Annualized. |
The accompanying notes are an integral part of these financial statements. | Financial Highlights | 63 |
Table of Contents
Notes to Financial Statements (Unaudited)
1. Organization
Homestead Funds, Inc. (“Homestead Funds”) is a Maryland corporation registered with the Securities and Exchange Commission under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. Homestead Funds currently consists of eight funds: Daily Income Fund, Short-Term Government Securities Fund, Short-Term Bond Fund, Stock Index Fund, Value Fund, Growth Fund, Small-Company Stock Fund, and International Equity Fund (each a “Fund” and collectively the “Funds”).
Each Fund is a separate investment portfolio with distinct investment objectives, investment programs, policies and restrictions. The investment objectives of the Funds, as well as the nature and risks of the investment activities of each Fund, are set forth more fully in Homestead Funds’ Prospectus and Statement of Additional Information. All of the portfolios except for the Growth Fund are diversified under the Act.
The Stock Index Fund seeks to achieve its investment objective by investing substantially all of its investable assets in one or more securities that are designed to track the performance of the S&P 500 Index. At June 30, 2016, the Stock Index Fund was operating as a feeder fund, whereby substantially all of its assets are invested in the S&P 500 Index Master Portfolio (“Master Portfolio”), an open-end investment company managed by BlackRock Fund Advisors. At June 30, 2016, the Stock Index Fund’s investment constituted 1.4% of the Master Portfolio. The financial statements of the Master Portfolio are contained in the Appendix of this report and should be read in conjunction with the financial statements for the Stock Index Fund.
2. Summary of Significant Accounting Policies
Security Valuation: Each Fund’s net asset value per share is determined as of the close of the New York Stock Exchange (“NYSE”) (usually 4:00 p.m. ET), each day that the NYSE is open for business. The Funds use independent pricing services approved by the Funds’ Board of Directors (“Board”) to value the investments. In the event a pricing service is unable to provide a price for a particular security or the price is deemed unreliable, the security is priced at fair value by RE Advisers (“Adviser”) or the Funds’ subadvisor, as determined in good faith in accordance with policies approved by the Board.
The Board has adopted Portfolio Securities Valuation Policies and Procedures (“Valuation Procedures”) to determine the fair value of securities for which the market prices are not readily available or if the price is deemed unreliable. The Board has delegated the day-to-day responsibility for determining the fair value of securities to the Adviser and the Funds’ subadvisors. RE Advisers has chartered an internal Valuation Committee to oversee the implementation of the Valuation Procedures, oversee the fair valuation decisions of the subadvisors, monitor the valuation process, and provide quarterly reports to the Board. The Valuation Committee reports all instances of fair valuation to the Board at each quarterly Board meeting, as applicable.
Accounting principles generally accepted in the United States (GAAP) establish a disclosure hierarchy that categorizes the inputs used to value assets and liabilities at measurement date. These inputs are summarized into three broad levels as follows:
• | Level 1—quoted prices in active markets for identical investments; |
• | Level 2—other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.); and |
• | Level 3—significant unobservable inputs (including the Fund’s own assumptions in determining the fair valuation of investments). |
The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities. Changes in valuation techniques may result in transfers in or out of an investment’s assigned level within the hierarchy during the period.
The Funds use the following valuation techniques to value securities by major category:
Registered investment companies are valued at the net asset value determined by the registered investment company after the close of the NYSE. The Funds invest in regulated investment companies that seek to maintain a share price of $1.00 and are categorized as Level 1 in the hierarchy.
Domestic equity securities and exchange traded funds for which market quotations are readily available are valued at the closing price as reported by an independent pricing service from the primary market in which the securities trade and are categorized as Level 1.
Foreign equity securities are valued based on the closing price from the principal market in which such securities are normally traded. An independent pricing service is utilized to fair value foreign equity securities based on the impact of market events between the close of the foreign exchange and the time the net asset value is calculated. Foreign equity securities that are fair valued are categorized as Level 2 in the hierarchy and foreign equity securities not fair valued are categorized as Level 1.
64 | Notes to Financial Statements |
Table of Contents
Notes to Financial Statements (Unaudited) (Continued)
The valuations for fixed income securities, including corporate, government, municipal, mortgage-backed and asset-backed are typically the prices provided by independent third party pricing services, which may use market prices, broker/dealer quotations or a variety of valuation techniques and methodologies, such as benchmark yields, monthly payment information and issuer spreads.
Fixed income securities utilizing these methods are generally categorized as Level 2. Fixed income securities that are valued using only a broker quote, absent corroborating observable inputs are categorized as Level 3.
Fixed income securities and commercial paper held in the Daily Income Fund are valued at amortized cost and are categorized as Level 2 in the hierarchy. Under the amortized cost method, discounts and premiums on securities purchased are amortized over the lives of the respective securities.
In the event an independent pricing service is unable to provide a security price, RE Advisers values the fixed income security using a matrix, model or other available market information. Pricing methodologies include, but are not limited to: estimates of securities fair values by independent parties, book value or a multiple thereof, multiple of earnings, yield to maturity, ratings, analytical data relating to the security, and the nature and duration of restrictions on disposition of the security. RE Advisers also will consider factors it deems relevant and appropriate in light of the facts and circumstances. Examples of possible factors include, but are not limited to: the type of security, issuer’s financial statements, cost at purchase, information regarding recent transactions with respect to the security, the nature and duration of restrictions on disposition of the security, the existence of merger proposals affecting the security, the price of public trading in similar securities of the issuer or comparable companies, news events, analyst reports or government actions, corporate action, and the forces that influence the market in which the security is traded. These securities are generally categorized as Level 2 or Level 3 in the hierarchy, depending on the observability of market inputs.
If a market value cannot be determined for a security using the methodologies described above, or if, in the good faith opinion of the Adviser or Funds’ subadvisor, the market value does not constitute a readily available market quotation, or if a significant event has occurred that would impact a security’s valuation, the security will be fair valued as determined in good faith by the Funds’ Adviser or subadvisor Funds’ based on the Valuation Procedures approved by the Board. Examples of additional considerations for a significant event include: nature and duration of the event and the forces influencing the operation of the financial markets; factors that preceded the event; whether the event is likely to reoccur; and whether the event affects the entire market, region or country. As fair valuation determinations involve a significant amount of judgment, there is a degree of subjectivity inherent in such pricing decisions. Such securities are generally categorized as Level 3 in the hierarchy.
The Stock Index Fund records its investment in the Master Portfolio at the market value of its proportionate interest in the net assets of the Master Portfolio. The Board of Trustees of the Master Portfolio has adopted valuation policies and procedures. The policies and procedures are discussed in the notes to the Master Portfolio’s financial statements, included in the Appendix of this report.
The following table summarizes each Fund’s investments, based on the inputs used to determine their values on June 30, 2016 (other than Stock Index Fund). The level classifications of the Master Portfolio as of June 30, 2016 are included in the Appendix.
Daily Income Fund | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
U.S. Government & Agency Obligations | $ | — | $ | 113,820,654 | $ | — | $ | 113,820,654 | ||||||||
Commercial Paper | 42,034,425 | — | 42,034,425 | |||||||||||||
Corporate Bonds | — | 500,221 | — | 500,221 | ||||||||||||
Cash Equivalents | 30,428,303 | — | — | 30,428,303 | ||||||||||||
Total | $ | 30,428,303 | $ | 156,355,300 | $ | — | $ | 186,783,603 | ||||||||
Short-Term Government Securities Fund | ||||||||||||||||
U.S. Government & Agency Obligations | $ | — | $ | 39,995,507 | $ | 154,779 | $ | 40,150,286 | ||||||||
Corporate Bonds | — | 24,754,162 | — | 24,754,162 | ||||||||||||
Commercial Paper | — | 3,225,556 | — | 3,225,556 | ||||||||||||
Mortgage Backed Securities | — | 3,217,580 | — | 3,217,580 | ||||||||||||
Municipal Bonds | — | 611,150 | — | 611,150 | ||||||||||||
Asset Backed Securities | — | 111,630 | — | 111,630 | ||||||||||||
Cash Equivalents | 2,618,697 | — | — | 2,618,697 | ||||||||||||
Total | $ | 2,618,697 | $ | 71,915,585 | $ | 154,779 | $ | 74,689,061 |
Notes to Financial Statements | 65 |
Table of Contents
Notes to Financial Statements (Unaudited) (Continued)
Short-Term Bond Fund | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Corporate Bonds | $ | — | $ | 175,715,507 | $ | — | $ | 175,715,507 | ||||||||
Asset Backed Securities | — | 131,175,391 | — | 131,175,391 | ||||||||||||
Municipal Bonds | — | 112,632,268 | — | 112,632,268 | ||||||||||||
Yankee Bonds | — | 46,708,273 | — | 46,708,273 | ||||||||||||
U.S. Government & Agency Obligations | — | 32,791,765 | — | 32,791,765 | ||||||||||||
Mortgage Backed Securities | — | 15,535,851 | 216,362 | 15,752,213 | ||||||||||||
Commercial Paper | — | 30,730,734 | — | 30,730,734 | ||||||||||||
Cash Equivalents | 616 | — | — | 616 | ||||||||||||
Total | $ | 616 | $ | 545,289,789 | $ | 216,362 | $ | 545,506,767 | ||||||||
Value Fund | ||||||||||||||||
Common Stocks | $ | 894,583,659 | $ | — | $ | — | $ | 894,583,659 | ||||||||
Commercial Paper | — | 19,036,517 | — | 19,036,517 | ||||||||||||
Cash Equivalents | 317 | — | — | 317 | ||||||||||||
�� | ||||||||||||||||
Total | $ | 894,583,976 | $ | 19,036,517 | $ | — | $ | 913,620,493 | ||||||||
Growth Fund | ||||||||||||||||
Common Stocks | $ | 108,031,368 | $ | — | $ | — | $ | 108,031,368 | ||||||||
Cash Equivalents | 1,469,531 | — | — | 1,469,531 | ||||||||||||
Total | $ | 109,500,899 | $ | — | $ | — | $ | 109,500,899 | ||||||||
Small-Company Stock Fund | ||||||||||||||||
Common Stocks | $ | 1,170,236,464 | $ | — | $ | — | $ | 1,170,236,464 | ||||||||
Exchange Traded Funds | 26,216,000 | — | — | 26,216,000 | ||||||||||||
Commercial Paper | — | 74,802,356 | — | 74,802,356 | ||||||||||||
Cash Equivalents | 894 | — | — | 894 | ||||||||||||
Total | $ | 1,196,453,358 | $ | 74,802,356 | $ | — | $ | 1,271,255,714 | ||||||||
International Equity | ||||||||||||||||
Common Stocks | ||||||||||||||||
Foreign Equities | $ | 3,346,536 | $ | 43,735,169 | $ | — | $ | 47,081,705 | ||||||||
American Depository Receipts | 5,505,928 | 239,652 | — | 5,745,580 | ||||||||||||
Cash Equivalents | 713,115 | — | — | 713,115 | ||||||||||||
Total | $ | 9,565,579 | $ | 43,974,821 | $ | — | $ | 53,540,400 | ||||||||
Short Term Bond Fund — Level 3 | Mortgage Backed Securities | Total | ||||||||||||||
Balance as of December 31, 2015 | $ | 248,689 | $ | 248,689 | ||||||||||||
Purchase at cost | — | — | ||||||||||||||
Sales at proceeds | (12,653 | ) | (12,653 | ) | ||||||||||||
Realized gain/(loss) | 2,138 | 2,138 | ||||||||||||||
Change in unrealized appreciation/(depreciation) | (22,965 | ) | (22,965 | ) | ||||||||||||
Accretion/(amortization) | 1,153 | 1,153 | ||||||||||||||
Transfer into Level 3 | — | — | ||||||||||||||
Transfer out of Level 3 | — | — | ||||||||||||||
Balance as of June 30, 2016 | $ | 216,362 | $ | 216,362 |
66 | Notes to Financial Statements |
Table of Contents
Notes to Financial Statements (Unaudited) (Continued)
Short Term Government Securities Fund — Level 3 | U.S. Government & Agency Obligations | Total | ||||||||||||||
Balance as of December 31, 2015 | $ | 186,606 | $ | 186,606 | ||||||||||||
Purchase at cost | — | — | ||||||||||||||
Sales at proceeds | (29,762 | ) | (29,762 | ) | ||||||||||||
Realized gain/(loss) | 24 | 24 | ||||||||||||||
Change in unrealized appreciation/(depreciation) | (2,113 | ) | (2,113 | ) | ||||||||||||
Accretion/(amortization) | 24 | 24 | ||||||||||||||
Transfer into Level 3 | — | — | ||||||||||||||
Transfer out of Level 3 | — | — | ||||||||||||||
Balance as of June 30, 2016 | $ | 154,779 | $ | 154,779 |
At June 30, 2016, the Short-Term Government Securities Fund held one security with a fair value of $154,779 and Short-Term Bond Fund held two securities with a fair value of $216,362 classified as a level 3 in the fair value hierarchy. The securities were valued by an external pricing service and observable inputs were not available.
Foreign currency: The International Value Fund may use foreign currency contracts to facilitate transactions in foreign-denominated securities. Losses from these transactions may arise from changes in the value of the foreign currency or if the counterparties do not perform under the contract’s terms. Foreign-denominated assets, including investment securities and liabilities are translated into U.S. dollars at the exchange rate at the end of the period. Purchases and sales of investment securities and income and dividends received are translated into U.S. dollars at the exchange rate in effect on the transaction date. Currency gains and losses and the effects of exchange rate fluctuations on investments are included with the realized and unrealized gain (loss) on investment securities.
Revisions: The tax character of certain distributions from the International Equity Fund for the fiscal year 2011 was revised to correct the allocation between net investment income, net realized gain on investments, and return of capital. Distributions from return of capital increased and distributions from net investment income decreased by $2,295,839. This revision impacts the Financial Highlights. This revision did not impact net assets, total distributions or total return. Management does not believe this revision is material to the financial statements.
Distributions to shareholders: Dividends to shareholders are recorded on the ex-dividend date. Ordinary income dividends for the Daily Income, Short-Term Government Securities and Short-Term Bond Funds are declared daily and paid monthly. Ordinary income dividends for Value Fund are declared and paid semi-annually. Ordinary income dividends for the Stock Index, Growth, Small-Company Stock and International Equity Funds are declared and paid annually. Capital gains dividends, if any, are declared and paid at the end of each fiscal year, or more frequently, if necessary.
Use of estimates in the preparation of financial statements: 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 revenues and expenses during the reporting period. Actual results could differ from those estimates.
Other: Dividend income is recorded on the ex-dividend date. Interest income, including amortization of premium and accretion of discount, and expenses are recorded on the accrual basis. Investment transactions are recorded as of the trade date. Realized gains and losses from investment transactions are reported on the identified cost basis.
The Stock Index Fund records a pro rata share of the Master Portfolio’s income, expenses, and realized and unrealized gains and losses in addition to the Fund’s own expenses, which are accrued daily.
In the normal course of business, the Funds enter into contracts that provide general indemnifications. The Funds’ maximum exposure under these arrangements is dependent on claims that may be made against the Funds in the future and therefore cannot be estimated; however, based on experience, the risk of material loss from claims is considered remote.
Management considered events occurring between the date of this report, June 30, 2016, and the date of issuance of this report in determining adjustments to the financial statements or necessary disclosures in this report.
Notes to Financial Statements | 67 |
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Notes to Financial Statements (Unaudited) (Continued)
3. Federal Income Tax Information
The Funds intend to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies and will distribute all net investment income to its shareholders. Therefore, no provision for Federal income taxes is required.
Management has analyzed the Funds’ tax positions and has concluded that no provision for income tax is required in the Funds’ financial statements. The Funds 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 twelve months. However, management’s conclusions may be subject to review and adjustment at a later date based on factors including, but not limited to new tax laws, regulations and administrative interpretations.
Each Fund files U.S. federal, state, and local tax returns as required. Each Fund’s tax returns are subject to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after filing of the tax return but could be longer in certain circumstances.
Income and capital gain distributions are determined in accordance with federal income tax regulations, which may differ from GAAP. These differences are primarily due to differing treatments of the following: futures and options transactions, foreign currency transactions, losses deferred due to wash sales, losses deferred due to post-October losses, return of capital distributions, partnership investments, deferred Director’s fees, passive foreign investment company transactions, and REIT transactions.
At June 30, 2016, the cost of securities for federal income tax purposes, the aggregate gross unrealized gain for all securities for which there was an excess of value over tax cost and the aggregate gross unrealized loss for all securities for which there was an excess of tax cost over value was as follows:
Tax Cost | Tax Unrealized Gain | Tax Unrealized (Loss) | Net Unrealized Gain (Loss) | |||||||||||||
Daily Income Fund | $ | 186,783,602 | $ | — | $ | — | $ | — | ||||||||
Short-Term Government Securities Fund | $ | 73,738,927 | $ | 963,665 | $ | (13,531 | ) | $ | 950,134 | |||||||
Short-Term Bond Fund | $ | 542,698,782 | $ | 8,842,377 | $ | (6,034,392 | ) | $ | 2,807,985 | |||||||
Value Fund | $ | 539,900,925 | $ | 384,387,074 | $ | (10,667,506 | ) | $ | 373,719,568 | |||||||
Growth Fund | $ | 94,011,322 | $ | 20,821,975 | $ | (5,348,996 | ) | $ | 15,472,979 | |||||||
Small-Company Stock Fund | $ | 1,028,123,119 | $ | 330,762,891 | $ | (87,630,296 | ) | $ | 243,132,595 | |||||||
International Equity Fund | $ | 52,238,283 | $ | 5,357,293 | $ | (4,187,977 | ) | $ | 1,169,316 |
Net unrealized appreciation/(depreciation) of Stock Index Fund in the Master Portfolio consists of an allocated portion of the portfolio’s unrealized appreciation/(depreciation). For information pertaining to the unrealized appreciation/(depreciation) for the Master Portfolio, please refer to the Appendix of this report.
4. Investment Transactions
Purchases and proceeds from sales of securities, other than short-term and U.S. Government securities, for the period ended June 30, 2016, were as follows:
Purchases | Proceeds from Sale | |||||||
Short-Term Government Securities Fund | $ | 4,134,825 | $ | 3,637,339 | ||||
Short-Term Bond Fund | $ | 85,977,607 | $ | 101,479,884 | ||||
Value Fund | $ | 57,831,818 | $ | 68,175,323 | ||||
Growth Fund | $ | 25,071,758 | $ | 21,518,994 | ||||
Small-Company Stock Fund | $ | 103,841,977 | $ | 86,014,477 | ||||
International Equity Fund | $ | 51,166,432 | $ | 52,102,309 |
Purchases and proceeds from sales of long-term U.S. Government securities, for the period ended June 30, 2016, were as follows:
Purchases | Proceeds from Sale | |||||||
Short-Term Government Securities Fund | $ | 1,790,742 | $ | 5,848,941 | ||||
Short-Term Bond Fund | $ | 0 | $ | 5,400,919 |
68 | Notes to Financial Statements |
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Notes to Financial Statements (Unaudited) (Continued)
5. Related Parties
The investment management agreements between Homestead Funds, with respect to each Fund (other than the Stock Index Fund), and RE Advisers Corporation (“RE Advisers”), an indirect, wholly-owned subsidiary of the National Rural Electric Cooperative Association (“NRECA”), provide for an annual investment management fee, that also provides for certain administrative services to the Funds, which is computed daily and paid monthly, based on each Fund’s average daily net assets. The annualized management fee rates for the Funds are 0.50% of average daily net assets for Daily Income Fund; 0.45% of average daily net assets for Short-Term Government Securities Fund; 0.60% of average daily net assets for Short-Term Bond Fund; 0.65% of average daily net assets up to $200 million, 0.50% of average daily net assets up to the next $200 million, 0.40% of average daily net assets in excess of $400 million for Value Fund; 0.65% of average daily net assets up to $250 million and 0.60% of average daily net assets in excess of $250 million for the Growth Fund; 0.85% of average daily net assets up to $200 million and 0.75% of average daily net assets in excess of $200 million for Small-Company Stock Fund; and 0.75% of average daily net assets up to $300 million, 0.65% of average daily net assets up to the next $100 million, 0.55% of average daily net assets up to the next $100 million, and 0.50% of average daily net assets in excess of $500 million for International Equity Fund.
T. Rowe Price Associates, Inc. (“T. Rowe”) is the subadvisor for the Growth Fund and Harding Loevner LP (“Harding”) is the subadvisor for the International Equity Fund. The subadvisors select, buy, and sell securities under the supervision and oversight of RE Advisers and the Board of Directors. RE Advisers pays the subadvisors from the fees it receives from the Funds. SSGA Funds Management, Inc. (“SSGA FM”) served as interim subadvisor to the International Equity Fund from September 7, 2015 until January 8th. Harding Loevner LP began as subadvisor on January 15, 2016, after a transition period.
RE Advisers serves as the administrator for the Stock Index Fund pursuant to an Administrative Services Agreement with the Fund, under which RE Advisers provides certain administrative services to the Fund. Pursuant to this agreement, RE Advisers receives a fee of 0.25% of the Fund’s average daily net assets. In addition, the Stock Index Fund is allocated a management fee from the Master Portfolio, calculated daily at an annual rate of 0.04% of its average daily net assets. This fee includes advisory, custody, and administrative fees provided by the Master Portfolio on behalf of its investors. The financial information for the Master Portfolio is included in the Appendix.
RE Advisers has agreed, as part of an Expense Limitation Agreement entered into with Homestead Funds, with respect to each Fund, to waive its management fee and/or reimburse all Fund operating expenses, excluding certain non-recurring expenses, which in any year exceed 0.80% of the average daily net assets of the Daily Income Fund and Short-Term Bond Fund, 0.75% of the average daily net assets of the Short-Term Government Securities Fund and Stock Index Fund, 1.25% of the average daily net assets of Value Fund, 0.95% of the average daily net assets of Growth Fund, 1.50% of the average daily net assets of Small-Company Stock Fund and 0.99% of the average daily net assets of the International Equity Fund.
On August 14, 2009, RE Advisers agreed to waive fees and/or reimburse expenses, if necessary, in order to assist the Daily Income Fund in maintaining a minimum yield. The temporary waiver continued from 2009 through the date of issuance of this report.
For the period beginning September 7, 2015 through January 14, 2016, RE Advisers, pursuant to a contractual waiver with the International Equity Fund, waived from the management fee due to it from International Equity Fund the amount equal to the subadvisory fees it would have paid to Mercator Asset Management L.P., the Fund’s subadvisor prior to September 7, 2015, less the amount it paid to SSGA FM for subadvisory services during such period.
Pursuant to the Expense Limitation Agreement, the temporary waiver for Daily Income Fund, and the contractual waiver for International Equity Fund, management fees waived for the period ended June 30, 2016 amounted to $298,973 for Daily Income Fund, $20,815 for the Growth Fund, and $131,391 for International Equity Fund.
Through April 30, 2013, the Stock Index, Value, Growth, Small-Company Stock, and International Equity Funds each received a 2% redemption fee on shares sold within 30 days of purchase. Effective May 1, 2013, this redemption fee was eliminated. None of the Funds currently assess a redemption fee.
Under a Deferred Compensation Plan (the “Plan”), Independent Directors of the Funds may elect to defer receipt of all or a specified portion of their compensation. Deferred amounts are credited with the earnings and losses equal to those made as if the deferred amounts were invested in one or more of the Funds, as designated by each participating Independent Director. Deferred amounts remain in the Fund until distributed in accordance with the Plan. The liability is reflected as Independent Director’s deferred compensation on the Statement of Assets and Liabilities and the expense is included in Director and Board meeting expenses on the Statement of Operations.
The Funds’ shares are sold through channels including financial intermediaries that may establish, omnibus accounts with the beneficial owners of the Funds’ shares being individual accounts within the financial intermediary. As of June 30, 2016, there was one such account in the Value Fund, accounting for 21% of the outstanding shares and four such accounts in the Small-Company Stock
Notes to Financial Statements | 69 |
Table of Contents
Notes to Financial Statements (Unaudited) (Continued)
Fund, accounting for 32%, 16%, 16%, and 13% of the outstanding shares, respectively. 7% of the outstanding shares of the Daily Income Fund are owned by RE Advisers, the investment adviser to the Fund.
6. Capital Share Transactions
As of June 30, 2016, 500 million shares of $.01 par value capital shares are authorized for Daily Income Fund, 200 million shares for Short-Term Bond Fund, and 100 million shares for Short-Term Government Securities Fund, Stock Index Fund, Value Fund, Growth Fund, Small-Company Stock Fund, and International Equity Fund. Transactions in capital shares were as follows:
Shares Sold | Shares Issued In Reinvestment of Dividends | Total Shares Issued | Total Shares Redeemed | Net Increase (Decrease) | ||||||||||||||||||||||||||||||||
Year Ended December 31, 2016 | ||||||||||||||||||||||||||||||||||||
In Dollars | ||||||||||||||||||||||||||||||||||||
Daily Income Fund | $ | 61,586,623 | $ | 5,505 | $ | 61,592,128 | $ | (67,833,088 | ) | $ | (6,240,960 | ) | ||||||||||||||||||||||||
Short-Term Government Securities Fund | $ | 7,003,494 | $ | 265,950 | $ | 7,269,444 | $ | (6,311,372 | ) | $ | 958,072 | |||||||||||||||||||||||||
Short-Term Bond Fund | $ | 46,205,250 | $ | 3,996,198 | $ | 50,201,448 | $ | (52,933,930 | ) | $ | (2,732,482 | ) | ||||||||||||||||||||||||
Stock Index Fund | $ | 8,063,665 | $ | 744 | $ | 8,064,409 | $ | (8,627,686 | ) | $ | (563,277 | ) | ||||||||||||||||||||||||
Value Fund | $ | 47,949,174 | $ | 8,337,992 | $ | 56,287,166 | $ | (65,835,219 | ) | $ | (9,548,053 | ) | ||||||||||||||||||||||||
Growth Fund | $ | 11,398,514 | $ | 1,301,846 | $ | 12,700,360 | $ | (8,916,599 | ) | $ | 3,783,761 | |||||||||||||||||||||||||
Small-Company Stock Fund | $ | 174,401,553 | $ | — | $ | 174,401,553 | $ | (157,010,843 | ) | $ | 17,390,710 | |||||||||||||||||||||||||
International Equity Fund | $ | 3,471,396 | $ | — | $ | 3,471,396 | $ | (4,484,531 | ) | $ | (1,013,135 | ) | ||||||||||||||||||||||||
In Shares | ||||||||||||||||||||||||||||||||||||
Daily Income Fund | 61,586,623 | 5,505 | 61,592,128 | (67,833,088 | ) | (6,240,960 | ) | |||||||||||||||||||||||||||||
Short-Term Government Securities Fund | 1,341,450 | 50,915 | 1,392,365 | (1,209,799 | ) | 182,566 | ||||||||||||||||||||||||||||||
Short-Term Bond Fund | 8,883,900 | 767,476 | 9,651,376 | (10,178,000 | ) | (526,624 | ) | |||||||||||||||||||||||||||||
Stock Index Fund | 535,390 | 47 | 535,437 | (571,113 | ) | (35,676 | ) | |||||||||||||||||||||||||||||
Value Fund | 1,045,031 | 173,017 | 1,218,048 | (1,419,481 | ) | (201,433 | ) | |||||||||||||||||||||||||||||
Growth Fund | 1,549,744 | 176,128 | 1,725,872 | (1,206,992 | ) | 518,880 | ||||||||||||||||||||||||||||||
Small-Company Stock Fund | 5,080,725 | — | 5,080,725 | (4,540,341 | ) | 540,384 | ||||||||||||||||||||||||||||||
International Equity Fund | 552,131 | — | 552,131 | (707,908 | ) | (155,777 | ) | |||||||||||||||||||||||||||||
Year Ended December 31, 2015 | ||||||||||||||||||||||||||||||||||||
In Dollars | ||||||||||||||||||||||||||||||||||||
Daily Income Fund | $ | 107,792,234 | $ | 14,378 | $ | 107,806,612 | $ | (111,417,260 | ) | $ | (3,610,648 | ) | ||||||||||||||||||||||||
Short-Term Government Securities Fund | $ | 10,026,818 | $ | 619,317 | $ | 10,646,135 | $ | (14,082,185 | ) | $ | (3,436,050 | ) | ||||||||||||||||||||||||
Short-Term Bond Fund | $ | 88,263,471 | $ | 7,582,605 | $ | 95,846,076 | $ | (119,980,458 | ) | $ | (24,134,382 | ) | ||||||||||||||||||||||||
Stock Index Fund | $ | 12,542,623 | $ | 1,851,784 | $ | 14,394,407 | $ | (15,258,461 | ) | $ | (864,054 | ) | ||||||||||||||||||||||||
Value Fund | $ | 107,132,893 | $ | 60,649,881 | $ | 167,782,774 | $ | (134,618,047 | ) | $ | 33,164,727 | |||||||||||||||||||||||||
Growth Fund | $ | 26,373,556 | $ | 6,988,017 | $ | 33,361,573 | $ | (14,830,784 | ) | $ | 18,530,789 | |||||||||||||||||||||||||
Small-Company Stock Fund | $ | 466,931,287 | $ | 57,105,184 | $ | 524,036,471 | $ | (246,745,480 | ) | $ | 277,290,991 | |||||||||||||||||||||||||
International Equity Fund | $ | 35,006,268 | $ | 3,678,962 | $ | 38,685,230 | $ | (179,778,462 | ) | $ | (141,093,232 | ) | ||||||||||||||||||||||||
In Shares | ||||||||||||||||||||||||||||||||||||
Daily Income Fund | 107,792,234 | 14,378 | 107,806,612 | (111,417,260 | ) | (3,610,648 | ) | |||||||||||||||||||||||||||||
Short-Term Government Securities Fund | 1,925,137 | 118,821 | 2,043,958 | (2,703,426 | ) | (659,468 | ) | |||||||||||||||||||||||||||||
Short-Term Bond Fund | 16,908,136 | 1,454,167 | 18,362,303 | (22,999,293 | ) | (4,636,990 | ) | |||||||||||||||||||||||||||||
Stock Index Fund | 815,097 | 121,828 | 936,925 | (989,750 | ) | (52,825 | ) | |||||||||||||||||||||||||||||
Value Fund | 2,128,643 | 1,284,971 | 3,413,614 | (2,674,308 | ) | 739,306 | ||||||||||||||||||||||||||||||
Growth Fund | 3,210,348 | 870,579 | 4,080,927 | (1,814,442 | ) | 2,266,485 | ||||||||||||||||||||||||||||||
Small-Company Stock Fund | 11,924,263 | 1,610,866 | 13,535,129 | (6,346,853 | ) | 7,188,276 | ||||||||||||||||||||||||||||||
International Equity Fund | 4,793,373 | 571,267 | 5,364,640 | (26,104,346 | ) | (20,739,706 | ) |
7. Subsequent Events
Management has evaluated the impact of all subsequent events through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or additional disclosure in these financial statements.
70 | Notes to Financial Statements |
Table of Contents
James F. Perna, Director and Chairman of the Board
Stephen J. Kaszynski, Director, President and Chief Executive Officer
Douglas W. Johnson, Director and Chairman of the Audit Committee
Kenneth R. Meyer, Director and Chairman of the Compensation Committee
Anthony M. Marinello, Director
Sheldon C. Petersen, Director
Mark Rose, Director
Peter J. Tonetti, Director
Anthony C. Williams, Director
Cynthia L. Dove, Vice President and Chief Operations Officer
Amy M. DiMauro, Treasurer
Danielle C. Sieverling, Chief Compliance Officer
Kelly B. Whetstone, Secretary
Directors and Officers | 71 |
Table of Contents
S&P 500 Index Master Portfolio | June 30, 2016 | (Unaudited)
Common Stocks | 96.5% of net assets | ||||||||
Aerospace & Defense | 2.5% | Shares | Value | ||||||
Boeing Co. | 260,831 | $ | 33,874,122 | |||||
General Dynamics Corp. | 124,631 | 17,353,620 | ||||||
Honeywell International, Inc. | 330,169 | 38,405,258 | ||||||
L-3 Communications Holdings, Inc. | 33,067 | 4,850,598 | ||||||
Lockheed Martin Corp. | 114,162 | 28,331,584 | ||||||
Northrop Grumman Corp. | 77,885 | 17,312,278 | ||||||
Raytheon Co. | 129,107 | 17,552,097 | ||||||
Rockwell Collins, Inc. | 55,318 | 4,709,775 | ||||||
Textron, Inc. | 113,524 | 4,150,437 | ||||||
TransDigm Group, Inc. (a) | 23,260 | 6,133,429 | ||||||
United Technologies Corp. | 339,408 | 34,806,290 | ||||||
Total Aerospace & Defense | 207,479,488 | |||||||
Air Freight & Logistics | 0.7% | ||||||||
C.H. Robinson Worldwide, Inc. | 63,418 | 4,708,786 | ||||||
Expeditors International of Washington, Inc. | 81,417 | 3,992,690 | ||||||
FedEx Corp. | 108,784 | 16,511,236 | ||||||
United Parcel Service, Inc., Class B | 299,291 | 32,239,626 | ||||||
Total Air Freight & Logistics | 57,452,338 | |||||||
Airlines | 0.5% | ||||||||
Alaska Air Group, Inc. | 52,230 | 3,044,487 | ||||||
American Airlines Group, Inc. | 253,016 | 7,162,883 | ||||||
Delta Air Lines, Inc. | 337,528 | 12,296,145 | ||||||
Southwest Airlines Co. | 276,482 | 10,840,859 | ||||||
United Continental Holdings, Inc. (a) | 144,556 | 5,932,578 | ||||||
Total Airlines | 39,276,952 | |||||||
Auto Components | 0.3% | ||||||||
BorgWarner, Inc. | 91,532 | 2,702,025 | ||||||
Delphi Automotive PLC | 117,579 | 7,360,445 | ||||||
Goodyear Tire & Rubber Co. | 111,795 | 2,868,660 | ||||||
Johnson Controls, Inc. | 282,515 | 12,504,114 | ||||||
Total Auto Components | 25,435,244 | |||||||
Automobiles | 0.5% | ||||||||
Ford Motor Co. | 1,696,825 | 21,329,090 | ||||||
General Motors Co. | 612,020 | 17,320,166 | ||||||
Harley-Davidson, Inc. | 77,041 | 3,489,958 | ||||||
Total Automobiles | 42,139,214 | |||||||
Banks | 5.0% | ||||||||
Bank of America Corp. | 4,456,855 | 59,142,466 | ||||||
BB&T Corp. | 359,061 | 12,786,162 | ||||||
Citigroup, Inc. | 1,278,533 | 54,197,014 | ||||||
Citizens Financial Group, Inc. | 234,834 | 4,691,983 | ||||||
Comerica, Inc. | 73,212 | 3,011,210 | ||||||
Fifth Third Bancorp | 346,052 | 6,087,055 | ||||||
Huntington Bancshares, Inc. | 333,456 | 2,981,097 | ||||||
JPMorgan Chase & Co. | 1,587,938 | 98,674,467 | ||||||
KeyCorp | 380,587 | 4,205,486 | ||||||
M&T Bank Corp. | 69,277 | 8,190,620 | ||||||
PNC Financial Services Group, Inc. (b) | 216,412 | 17,613,773 |
Banks | 5.0% (Continued) | Shares | Value | ||||||
Regions Financial Corp. | 545,458 | $ | 4,641,848 | |||||
SunTrust Banks, Inc. | 221,039 | 9,080,282 | ||||||
US Bancorp | 705,340 | 28,446,362 | ||||||
Wells Fargo & Co. | 2,006,995 | 94,991,073 | ||||||
Zions Bancorporation | 85,616 | 2,151,530 | ||||||
Total Banks | 410,892,428 | |||||||
Beverages | 2.3% | ||||||||
Brown-Forman Corp., Class B | 44,626 | 4,451,890 | ||||||
Coca-Cola Co. | 1,690,306 | 76,621,571 | ||||||
Constellation Brands, Inc., Class A | 76,069 | 12,581,812 | ||||||
Dr Pepper Snapple Group, Inc. | 81,690 | 7,893,705 | ||||||
Molson Coors Brewing Co., Class B | 80,024 | 8,092,827 | ||||||
Monster Beverage Corp. (a) | 61,007 | 9,804,435 | ||||||
PepsiCo, Inc. | 626,637 | 66,385,924 | ||||||
Total Beverages | 185,832,164 | |||||||
Biotechnology | 2.8% | ||||||||
AbbVie, Inc. | 703,897 | 43,578,263 | ||||||
Alexion Pharmaceuticals, Inc. (a) | 97,636 | 11,399,979 | ||||||
Amgen, Inc. | 326,871 | 49,733,423 | ||||||
Biogen, Inc. (a) | 94,687 | 22,897,210 | ||||||
Celgene Corp. (a) | 335,821 | 33,122,025 | ||||||
Gilead Sciences, Inc. | 579,245 | 48,320,618 | ||||||
Regeneron Pharmaceuticals, Inc. (a) | 33,821 | 11,811,308 | ||||||
Vertex Pharmaceuticals, Inc. (a) | 107,043 | 9,207,839 | ||||||
Total Biotechnology | 230,070,665 | |||||||
Building Products | 0.1% | ||||||||
Allegion PLC | 40,558 | 2,815,942 | ||||||
Fortune Brands Home & Security, Inc. | 66,648 | 3,863,584 | ||||||
Masco Corp. | 148,020 | 4,579,739 | ||||||
Total Building Products | 11,259,265 | |||||||
Capital Markets | 1.7% | ||||||||
Affiliated Managers Group, Inc. (a)(c) | 22,605 | 3,182,106 | ||||||
Ameriprise Financial, Inc. | 74,117 | 6,659,412 | ||||||
Bank of New York Mellon Corp. | 466,492 | 18,123,214 | ||||||
BlackRock, Inc. (b) | 54,501 | 18,668,228 | ||||||
Charles Schwab Corp. | 521,683 | 13,203,797 | ||||||
E*Trade Financial Corp. (a) | 118,354 | 2,780,136 | ||||||
Franklin Resources, Inc. | 157,299 | 5,249,068 | ||||||
Goldman Sachs Group, Inc. | 168,749 | 25,072,726 | ||||||
Invesco Ltd. | 185,002 | 4,724,951 | ||||||
Legg Mason, Inc. | 45,092 | 1,329,763 | ||||||
Morgan Stanley | 654,766 | 17,010,821 | ||||||
Northern Trust Corp. | 94,512 | 6,262,365 | ||||||
State Street Corp. | 174,233 | 9,394,643 | ||||||
T. Rowe Price Group, Inc. | 108,036 | 7,883,387 | ||||||
Total Capital Markets | 139,544,617 | |||||||
Chemicals | 2.0% | ||||||||
Air Products & Chemicals, Inc. | 84,222 | 11,962,893 | ||||||
Albemarle Corp. | 48,786 | 3,869,218 | ||||||
CF Industries Holdings, Inc. | 97,770 | 2,356,257 | ||||||
Dow Chemical Co. | 489,255 | 24,320,866 |
72 | Appendix | The accompanying notes are an integral part of these financial statements. |
Table of Contents
Portfolio of Investments | S&P 500 Index Master Portfolio | June 30, 2016 | (Unaudited) (Continued)
Common Stocks | 96.5% of net assets (Continued) | ||||||||
Chemicals | 2.0% (Continued) | Shares | Value | ||||||
E.I. du Pont de Nemours & Co. | 378,159 | $ | 24,504,703 | |||||
Eastman Chemical Co. | 65,885 | 4,473,591 | ||||||
Ecolab, Inc. | 115,342 | 13,679,561 | ||||||
FMC Corp. | 55,954 | 2,591,230 | ||||||
International Flavors & Fragrances, Inc. | 35,400 | 4,462,878 | ||||||
LyondellBasell Industries NV, Class A | 147,303 | 10,962,289 | ||||||
Monsanto Co. | 188,821 | 19,525,980 | ||||||
Mosaic Co. | 147,578 | 3,863,592 | ||||||
PPG Industries, Inc. | 115,756 | 12,055,987 | ||||||
Praxair, Inc. | 123,438 | 13,873,197 | ||||||
Sherwin-Williams Co. | 33,989 | 9,981,550 | ||||||
Total Chemicals | 162,483,792 | |||||||
Commercial Services & Supplies | 0.5% | ||||||||
Cintas Corp. | 36,761 | 3,607,357 | ||||||
Iron Mountain, Inc. | 100,912 | 4,019,325 | ||||||
Pitney Bowes, Inc. | 80,513 | 1,433,131 | ||||||
Republic Services, Inc. | 100,844 | 5,174,306 | ||||||
Stericycle, Inc. (a)(c) | 38,065 | 3,963,328 | ||||||
Tyco International PLC | 185,819 | 7,915,889 | ||||||
Waste Management, Inc. | 178,896 | 11,855,438 | ||||||
Total Commercial Services & Supplies | 37,968,774 | |||||||
Communications Equipment | 1.4% | ||||||||
Cisco Systems, Inc. | 2,186,687 | 62,736,050 | ||||||
F5 Networks, Inc. (a) | 28,784 | 3,276,770 | ||||||
Harris Corp. | 55,273 | 4,611,979 | ||||||
Juniper Networks, Inc. | 159,219 | 3,580,835 | ||||||
Motorola Solutions, Inc. | 70,713 | 4,664,937 | ||||||
QUALCOMM, Inc. | 639,759 | 34,271,890 | ||||||
Total Communications Equipment | 113,142,461 | |||||||
Construction & Engineering | 0.1% | ||||||||
Fluor Corp. | 58,157 | 2,865,977 | ||||||
Jacobs Engineering Group, Inc. (a) | 51,300 | 2,555,253 | ||||||
Quanta Services, Inc. (a) | 66,892 | 1,546,543 | ||||||
Total Construction & Engineering | 6,967,773 | |||||||
Construction Materials | 0.1% | ||||||||
Martin Marietta Materials, Inc. | 27,171 | 5,216,832 | ||||||
Vulcan Materials Co. | 58,470 | 7,037,449 | ||||||
Total Construction Materials | 12,254,281 | |||||||
Consumer Finance | 0.7% | ||||||||
American Express Co. | 351,375 | 21,349,545 | ||||||
Capital One Financial Corp. | 225,325 | 14,310,391 | ||||||
Discover Financial Services | 180,199 | 9,656,864 | ||||||
Navient Corp. | 143,530 | 1,715,184 | ||||||
Synchrony Financial (a) | 362,407 | 9,161,649 | ||||||
Total Consumer Finance | 56,193,633 | |||||||
Containers & Packaging | 0.2% | ||||||||
Avery Dennison Corp. | 37,440 | 2,798,640 | ||||||
Ball Corp. | 75,609 | 5,465,774 |
Containers & Packaging | 0.2% (Continued) | Shares | Value | ||||||
Owens-Illinois, Inc. (a) | 64,902 | $ | 1,168,885 | |||||
Sealed Air Corp. | 87,371 | 4,016,445 | ||||||
WestRock Co. | 114,847 | 4,464,103 | ||||||
Total Containers & Packaging | 17,913,847 | |||||||
Distributors | 0.1% | ||||||||
Genuine Parts Co. | 65,811 | 6,663,364 | ||||||
LKQ Corp. (a) | 132,474 | 4,199,426 | ||||||
Total Distributors | 10,862,790 | |||||||
Diversified Consumer Services | 0.0% | ||||||||
H&R Block, Inc. | 99,463 | 2,287,649 | ||||||
Total Diversified Consumer Services | 2,287,649 | |||||||
Diversified Financial Services | 2.1% | ||||||||
Berkshire Hathaway, Inc., Class B (a)(c) | 813,098 | 117,728,459 | ||||||
CME Group, Inc. | 146,191 | 14,239,003 | ||||||
Intercontinental Exchange, Inc. | 51,388 | 13,153,273 | ||||||
Leucadia National Corp. | 139,518 | 2,417,847 | ||||||
Moody’s Corp. | 74,223 | 6,955,437 | ||||||
NASDAQ, Inc. | 48,143 | 3,113,408 | ||||||
S&P Global, Inc. | 115,048 | 12,340,049 | ||||||
Total Diversified Financial Services | 169,947,476 | |||||||
Diversified Telecommunication Services | 2.8% | ||||||||
AT&T, Inc. | 2,673,980 | 115,542,676 | ||||||
CenturyLink, Inc. | 238,854 | 6,929,155 | ||||||
Frontier Communications Corp. | 493,180 | 2,436,309 | ||||||
Level 3 Communications, Inc. (a) | 126,806 | 6,529,241 | ||||||
Verizon Communications, Inc. | 1,771,025 | 98,894,036 | ||||||
Total Diversified Telecommunication Services | 230,331,417 | |||||||
Electric Utilities | 1.9% | ||||||||
American Electric Power Co., Inc. | 212,020 | 14,860,482 | ||||||
Duke Energy Corp. | 300,146 | 25,749,525 | ||||||
Edison International | 140,942 | 10,946,965 | ||||||
Entergy Corp. | 78,840 | 6,413,634 | ||||||
Eversource Energy | 138,329 | 8,285,907 | ||||||
Exelon Corp. | 399,745 | 14,534,728 | ||||||
FirstEnergy Corp. | 186,845 | 6,522,759 | ||||||
NextEra Energy, Inc. | 200,596 | 26,157,718 | ||||||
Pinnacle West Capital Corp. | 49,736 | 4,031,600 | ||||||
PPL Corp. | 291,382 | 10,999,671 | ||||||
Southern Co. | 403,209 | 21,624,099 | ||||||
Xcel Energy, Inc. | 220,214 | 9,861,183 | ||||||
Total Electric Utilities | 159,988,271 | |||||||
Electrical Equipment | 0.5% | ||||||||
Acuity Brands, Inc. | 19,531 | 4,842,907 | ||||||
AMETEK, Inc. | 99,649 | 4,606,773 | ||||||
Eaton Corp. PLC | 199,331 | 11,906,041 |
The accompanying notes are an integral part of these financial statements. | Appendix | 73 |
Table of Contents
Portfolio of Investments | S&P 500 Index Master Portfolio | June 30, 2016 | (Unaudited) (Continued)
Common Stocks | 96.5% of net assets (Continued) | ||||||||
Electrical Equipment | 0.5% (Continued) | Shares | Value | ||||||
Emerson Electric Co. | 279,345 | $ | 14,570,635 | |||||
Rockwell Automation, Inc. | 57,685 | 6,623,392 | ||||||
Total Electrical Equipment | 42,549,748 | |||||||
Electronic Equipment, Instruments & Components | 0.3% | ||||||||
Amphenol Corp., Class A | 134,393 | 7,704,751 | ||||||
Corning, Inc. | 471,125 | 9,648,640 | ||||||
FLIR Systems, Inc. | 57,588 | 1,782,348 | ||||||
TE Connectivity Ltd. | 156,317 | 8,927,264 | ||||||
Total Electronic Equipment, Instruments & Components | 28,063,003 | |||||||
Energy Equipment & Services | 1.1% | ||||||||
Baker Hughes, Inc. | 190,848 | 8,612,970 | ||||||
Diamond Offshore Drilling, Inc. | 26,988 | 656,618 | ||||||
FMC Technologies, Inc. (a) | 94,993 | 2,533,463 | ||||||
Halliburton Co. | 372,667 | 16,878,089 | ||||||
Helmerich & Payne, Inc. | 45,561 | 3,058,510 | ||||||
National Oilwell Varco, Inc. | 166,544 | 5,604,206 | ||||||
Schlumberger Ltd. | 605,951 | 47,918,605 | ||||||
Transocean Ltd. (c) | 143,288 | 1,703,694 | ||||||
Total Energy Equipment & Services | 86,966,155 | |||||||
Food & Staples Retailing | 2.3% | ||||||||
Costco Wholesale Corp. | 190,919 | 29,981,920 | ||||||
CVS Health Corp. | 466,986 | 44,709,240 | ||||||
Kroger Co. | 415,043 | 15,269,432 | ||||||
Sysco Corp. | 226,827 | 11,509,202 | ||||||
Wal-Mart Stores, Inc. | 663,374 | 48,439,569 | ||||||
Walgreens Boots Alliance, Inc. | 374,508 | 31,185,281 | ||||||
Whole Foods Market, Inc. | 136,589 | 4,373,580 | ||||||
Total Food & Staples Retailing | 185,468,224 | |||||||
Food Products | 1.8% | ||||||||
Archer-Daniels-Midland Co. | 252,729 | 10,839,547 | ||||||
Campbell Soup Co. | 79,986 | 5,321,468 | ||||||
ConAgra Foods, Inc. | 188,496 | 9,011,994 | ||||||
General Mills, Inc. | 259,902 | 18,536,211 | ||||||
Hershey Co. | 60,606 | 6,878,175 | ||||||
Hormel Foods Corp. | 120,420 | 4,407,372 | ||||||
J.M. Smucker Co. | 52,174 | 7,951,839 | ||||||
Kellogg Co. | 109,575 | 8,946,799 | ||||||
Kraft Heinz Co. | 256,577 | 22,701,933 | ||||||
McCormick & Co., Inc. | 51,416 | 5,484,545 | ||||||
Mead Johnson Nutrition Co. | 81,355 | 7,382,966 | ||||||
Mondelez International, Inc., Class A | 672,513 | 30,606,067 | ||||||
Tyson Foods, Inc., Class A | 131,369 | 8,774,135 | ||||||
Total Food Products | 146,843,051 | |||||||
Gas Utilities | 0.0% | ||||||||
AGL Resources, Inc. | 50,500 | 3,331,485 | ||||||
Total Gas Utilities | 3,331,485 |
Health Care Equipment & Supplies | 2.4% | Shares | Value | ||||||
Abbott Laboratories | 638,239 | $ | 25,089,175 | |||||
Baxter International, Inc. | 241,306 | 10,911,857 | ||||||
Becton Dickinson & Co. | 91,496 | 15,516,807 | ||||||
Boston Scientific Corp. (a) | 584,452 | 13,658,643 | ||||||
C.R. Bard, Inc. | 32,239 | 7,581,323 | ||||||
DENTSPLY SIRONA, Inc. | 102,070 | 6,332,423 | ||||||
Edwards Lifesciences Corp. (a) | 92,992 | 9,274,092 | ||||||
Hologic, Inc. (a) | 103,297 | 3,574,076 | ||||||
Intuitive Surgical, Inc. (a) | 16,531 | 10,933,769 | ||||||
Medtronic PLC | 611,150 | 53,029,486 | ||||||
St. Jude Medical, Inc. | 123,452 | 9,629,256 | ||||||
Stryker Corp. | 137,366 | 16,460,568 | ||||||
Varian Medical Systems, Inc. (a)(c) | 40,086 | 3,296,272 | ||||||
Zimmer Biomet Holdings, Inc. | 86,572 | 10,421,537 | ||||||
Total Health Care Equipment & Supplies | 195,709,284 | |||||||
Health Care Providers & Services | 2.7% | ||||||||
Aetna, Inc. | 150,956 | 18,436,256 | ||||||
AmerisourceBergen Corp. | 78,404 | 6,219,005 | ||||||
Anthem, Inc. | 114,770 | 15,073,892 | ||||||
Cardinal Health, Inc. | 142,750 | 11,135,927 | ||||||
Centene Corp. (a) | 74,899 | 5,345,542 | ||||||
Cigna Corp. | 112,246 | 14,366,365 | ||||||
DaVita HealthCare Partners, Inc. (a) | 69,978 | 5,410,699 | ||||||
Express Scripts Holding Co. (a) | 275,017 | 20,846,289 | ||||||
HCA Holdings, Inc. (a) | 132,189 | 10,179,875 | ||||||
Henry Schein, Inc. (a) | 36,065 | 6,376,292 | ||||||
Humana, Inc. | 64,077 | 11,526,171 | ||||||
Laboratory Corp. of America Holdings (a) | 44,956 | 5,856,418 | ||||||
McKesson Corp. | 97,725 | 18,240,371 | ||||||
Patterson Cos., Inc. | 34,966 | 1,674,522 | ||||||
Quest Diagnostics, Inc. | 60,479 | 4,923,595 | ||||||
UnitedHealth Group, Inc. | 412,454 | 58,238,505 | ||||||
Universal Health Services, Inc., Class B | 38,199 | 5,122,486 | ||||||
Total Health Care Providers & Services | 218,972,210 | |||||||
Health Care Technology | 0.1% | ||||||||
Cerner Corp. (a) | 132,332 | 7,754,655 | ||||||
Total Health Care Technology | 7,754,655 | |||||||
Hotels, Restaurants & Leisure | 1.7% | ||||||||
Carnival Corp. | 189,580 | 8,379,436 | ||||||
Chipotle Mexican Grill, Inc. (a)(c) | 12,619 | 5,082,429 | ||||||
Darden Restaurants, Inc. | 48,416 | 3,066,669 | ||||||
Marriott International, Inc., Class A (c) | 81,148 | 5,393,096 | ||||||
McDonald’s Corp. | 381,183 | 45,871,562 | ||||||
Royal Caribbean Cruises Ltd. | 71,467 | 4,799,009 | ||||||
Starbucks Corp. | 635,560 | 36,303,187 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 75,023 | 5,547,951 | ||||||
Wyndham Worldwide Corp. | 47,101 | 3,355,004 | ||||||
Wynn Resorts Ltd. | 34,173 | 3,097,441 | ||||||
Yum! Brands, Inc. | 177,865 | 14,748,566 | ||||||
Total Hotels, Restaurants & Leisure | 135,644,350 |
74 | Appendix | The accompanying notes are an integral part of these financial statements. |
Table of Contents
Portfolio of Investments | S&P 500 Index Master Portfolio | June 30, 2016 | (Unaudited) (Continued)
Common Stocks | 96.5% of net assets (Continued) | ||||||||
Household Durables | 0.5% | Shares | Value | ||||||
D.R. Horton, Inc. | 146,006 | $ | 4,596,269 | |||||
Garmin Ltd. | 49,244 | 2,088,930 | ||||||
Harman International Industries, Inc. | 29,783 | 2,139,015 | ||||||
Leggett & Platt, Inc. | 56,808 | 2,903,457 | ||||||
Lennar Corp., Class A | 81,487 | 3,756,551 | ||||||
Mohawk Industries, Inc. (a) | 28,184 | 5,348,196 | ||||||
Newell Brands, Inc. | 199,008 | 9,665,818 | ||||||
PulteGroup, Inc. | 134,343 | 2,618,345 | ||||||
Whirlpool Corp. | 34,137 | 5,688,590 | ||||||
Total Household Durables | 38,805,171 | |||||||
Household Products | 2.0% | ||||||||
Church & Dwight Co., Inc. | 54,903 | 5,648,970 | ||||||
Clorox Co. | 56,529 | 7,823,048 | ||||||
Colgate-Palmolive Co. | 389,484 | 28,510,229 | ||||||
Kimberly-Clark Corp. | 155,883 | 21,430,795 | ||||||
Procter & Gamble Co. | 1,155,085 | 97,801,047 | ||||||
Total Household Products | 161,214,089 | |||||||
Independent Power & Renewable Electricity Producers | 0.1% | ||||||||
AES Corp. | 276,192 | 3,446,876 | ||||||
NRG Energy, Inc. | 131,827 | 1,976,087 | ||||||
Total Independent Power & Renewable Electricity Producers | 5,422,963 | |||||||
Industrial Conglomerates | 2.5% | ||||||||
3M Co. | 263,097 | 46,073,547 | ||||||
Danaher Corp. | 260,569 | 26,317,469 | ||||||
General Electric Co. | 3,997,893 | 125,853,671 | ||||||
Roper Technologies, Inc. | 43,980 | 7,501,229 | ||||||
Total Industrial Conglomerates | 205,745,916 | |||||||
Insurance | 2.6% | ||||||||
Aflac, Inc. | 182,866 | 13,195,610 | ||||||
Allstate Corp. | 164,588 | 11,512,931 | ||||||
American International Group, Inc. | 488,899 | 25,857,868 | ||||||
Aon PLC | 114,370 | 12,492,635 | ||||||
Arthur J Gallagher & Co. | 76,592 | 3,645,779 | ||||||
Assurant, Inc. | 27,119 | 2,340,641 | ||||||
Chubb Ltd. | 201,177 | 26,295,846 | ||||||
Cincinnati Financial Corp. | 65,508 | 4,905,894 | ||||||
Hartford Financial Services Group, Inc. | 173,511 | 7,700,418 | ||||||
Lincoln National Corp. | 102,152 | 3,960,433 | ||||||
Loews Corp. | 118,629 | 4,874,466 | ||||||
Marsh & McLennan Cos., Inc. | 225,093 | 15,409,867 | ||||||
MetLife, Inc. | 478,180 | 19,045,909 | ||||||
Principal Financial Group, Inc. | 114,684 | 4,714,659 | ||||||
Progressive Corp. | 254,006 | 8,509,201 | ||||||
Prudential Financial, Inc. | 190,590 | 13,596,691 | ||||||
Torchmark Corp. | 47,213 | 2,918,708 | ||||||
Travelers Cos., Inc. | 127,927 | 15,228,430 | ||||||
Unum Group | 99,996 | 3,178,873 | ||||||
Willis Towers Watson PLC | 60,298 | 7,495,644 | ||||||
XL Group PLC | 122,158 | 4,069,083 | ||||||
Total Insurance | 210,949,586 |
Internet & Catalog Retail | 2.1% | Shares | Value | ||||||
Amazon.com, Inc. (a) | 168,168 | $ | 120,344,384 | |||||
Expedia, Inc. | 49,913 | 5,305,752 | ||||||
Netflix, Inc. (a) | 185,455 | 16,965,423 | ||||||
Priceline Group, Inc. (a) | 21,487 | 26,824,586 | ||||||
TripAdvisor, Inc. (a) | 47,893 | 3,079,520 | ||||||
Total Internet & Catalog Retail | 172,519,665 | |||||||
Internet Software & Services | 4.0% | ||||||||
Akamai Technologies, Inc. (a)(c) | 73,995 | 4,138,540 | ||||||
Alphabet, Inc., Class A (a) | 127,730 | 89,861,887 | ||||||
Alphabet, Inc., Class C (a) | 128,272 | 88,777,051 | ||||||
eBay, Inc. (a) | 460,472 | 10,779,650 | ||||||
Facebook, Inc., Class A (a) | 1,004,833 | 114,832,315 | ||||||
VeriSign, Inc. (a)(c) | 40,329 | 3,486,845 | ||||||
Yahoo!, Inc. (a) | 377,932 | 14,195,126 | ||||||
Total Internet Software & Services | 326,071,414 | |||||||
IT Services | 3.5% | ||||||||
Accenture PLC, Class A | 271,416 | 30,748,719 | ||||||
Alliance Data Systems Corp. (a)(c) | 25,038 | 4,905,445 | ||||||
Automatic Data Processing, Inc. | 197,259 | 18,122,184 | ||||||
Cognizant Technology Solutions Corp., Class A (a)(c) | 264,008 | 15,111,818 | ||||||
CSRA, Inc. | 58,004 | 1,359,034 | ||||||
Fidelity National Information Services, Inc. | 119,871 | 8,832,095 | ||||||
Fiserv, Inc. (a) | 96,303 | 10,471,025 | ||||||
Global Payments, Inc. | 68,525 | 4,891,315 | ||||||
International Business Machines Corp. | 384,063 | 58,293,082 | ||||||
Mastercard, Inc., Class A | 421,006 | 37,073,788 | ||||||
Paychex, Inc. | 140,347 | 8,350,646 | ||||||
PayPal Holdings, Inc. (a) | 481,651 | 17,585,078 | ||||||
Teradata Corp. (a)(c) | 55,832 | 1,399,708 | ||||||
Total System Services, Inc. | 75,487 | 4,009,115 | ||||||
Visa, Inc., Class A | 825,364 | 61,217,248 | ||||||
Western Union Co. | 210,122 | 4,030,140 | ||||||
Xerox Corp. | 424,524 | 4,028,733 | ||||||
Total IT Services | 290,429,173 | |||||||
Leisure Products | 0.1% | ||||||||
Hasbro, Inc. | 49,946 | 4,194,965 | ||||||
Mattel, Inc. | 150,381 | 4,705,421 | ||||||
Total Leisure Products | 8,900,386 | |||||||
Life Sciences Tools & Services | 0.6% | ||||||||
Agilent Technologies, Inc. | 143,997 | 6,387,707 | ||||||
Illumina, Inc. (a) | 63,857 | 8,964,246 | ||||||
PerkinElmer, Inc. | 45,963 | 2,409,380 | ||||||
Thermo Fisher Scientific, Inc. | 171,159 | 25,290,454 | ||||||
Waters Corp. (a) | 34,410 | 4,839,766 | ||||||
Total Life Sciences Tools & Services | 47,891,553 | |||||||
Machinery | 1.2% | ||||||||
Caterpillar, Inc. | 253,215 | 19,196,229 | ||||||
Cummins, Inc. | 68,895 | 7,746,554 |
The accompanying notes are an integral part of these financial statements. | Appendix | 75 |
Table of Contents
Portfolio of Investments | S&P 500 Index Master Portfolio | June 30, 2016 | (Unaudited) (Continued)
Common Stocks | 96.5% of net assets (Continued) | ||||||||
Machinery | 1.2% (Continued) | Shares | Value | ||||||
Deere & Co. | 130,353 | $ | 10,563,807 | |||||
Dover Corp. | 65,841 | 4,564,098 | ||||||
Flowserve Corp. | 54,453 | 2,459,642 | ||||||
Illinois Tool Works, Inc. | 141,570 | 14,745,931 | ||||||
Ingersoll-Rand PLC | 112,799 | 7,183,041 | ||||||
PACCAR, Inc. | 153,639 | 7,969,255 | ||||||
Parker Hannifin Corp. | 59,483 | 6,427,138 | ||||||
Pentair PLC | 77,332 | 4,507,682 | ||||||
Snap-on, Inc. | 25,949 | 4,095,271 | ||||||
Stanley Black & Decker, Inc. | 66,301 | 7,373,997 | ||||||
Xylem, Inc. | 75,027 | 3,349,956 | ||||||
Total Machinery | 100,182,601 | |||||||
Media | 2.6% | ||||||||
CBS Corp., Class B | 184,204 | 10,028,066 | ||||||
Comcast Corp., Class A | 1,052,573 | 68,617,234 | ||||||
Discovery Communications, Inc., Class A (a) | 72,458 | 1,828,115 | ||||||
Discovery Communications, Inc., Class C (a)(c) | 100,331 | 2,392,894 | ||||||
Interpublic Group of Cos., Inc. | 178,943 | 4,133,583 | ||||||
News Corp., Class A | 159,077 | 1,805,524 | ||||||
News Corp., Class B | 45,530 | 531,335 | ||||||
Omnicom Group, Inc. | 104,105 | 8,483,517 | ||||||
Scripps Networks Interactive, Inc., Class A | 40,063 | 2,494,723 | ||||||
TEGNA, Inc. | 91,984 | 2,131,269 | ||||||
Time Warner, Inc. | 342,167 | 25,162,961 | ||||||
Twenty-First Century Fox, Inc., Class A | 468,647 | 12,676,901 | ||||||
Twenty-First Century Fox, Inc., Class B | 191,654 | 5,222,572 | ||||||
Viacom, Inc., Class B | 152,665 | 6,331,018 | ||||||
Walt Disney Co. | 649,576 | 63,541,524 | ||||||
Total Media | 215,381,236 | |||||||
Metals & Mining | 0.3% | ||||||||
Alcoa, Inc. | 582,726 | 5,401,870 | ||||||
Freeport-McMoRan, Inc. | 545,608 | 6,078,073 | ||||||
Newmont Mining Corp. | 229,980 | 8,996,817 | ||||||
Nucor Corp. | 139,587 | 6,896,994 | ||||||
Total Metals & Mining | 27,373,754 | |||||||
Multi-Utilities | 1.4% | ||||||||
Alliant Energy Corp. | 98,725 | 3,919,383 | ||||||
Ameren Corp. | 108,015 | 5,787,444 | ||||||
CenterPoint Energy, Inc. | 190,968 | 4,583,232 | ||||||
CMS Energy Corp. | 123,444 | 5,661,142 | ||||||
Consolidated Edison, Inc. | 130,351 | 10,485,434 | ||||||
Dominion Resources, Inc. | 265,059 | 20,656,048 | ||||||
DTE Energy Co. | 78,553 | 7,786,173 | ||||||
NiSource, Inc. | 144,152 | 3,822,911 | ||||||
PG&E Corp. | 217,248 | 13,886,492 | ||||||
Public Service Enterprise Group, Inc. | 219,351 | 10,223,950 | ||||||
SCANA Corp. | 63,291 | 4,788,597 | ||||||
Sempra Energy | 101,919 | 11,620,804 | ||||||
TECO Energy, Inc. | 99,223 | 2,742,524 | ||||||
WEC Energy Group, Inc. | 137,377 | 8,970,718 | ||||||
Total Multi-Utilities | 114,934,852 |
Multiline Retail | 0.6% | Shares | Value | ||||||
Dollar General Corp. | 123,234 | $ | 11,583,996 | |||||
Dollar Tree, Inc. (a) | 102,301 | 9,640,846 | ||||||
Kohl’s Corp. | 79,467 | 3,013,389 | ||||||
Macy’s, Inc. | 137,891 | 4,634,516 | ||||||
Nordstrom, Inc. (c) | 53,112 | 2,020,912 | ||||||
Target Corp. | 256,647 | 17,919,094 | ||||||
Total Multiline Retail | 48,812,753 | |||||||
Oil, Gas & Consumable Fuels | 6.1% | ||||||||
Anadarko Petroleum Corp. | 220,983 | 11,767,345 | ||||||
Apache Corp. | 164,198 | 9,140,903 | ||||||
Cabot Oil & Gas Corp. | 202,224 | 5,205,246 | ||||||
Chesapeake Energy Corp. (a) | 275,170 | 1,177,728 | ||||||
Chevron Corp. | 819,647 | 85,923,595 | ||||||
Cimarex Energy Co. | 42,276 | 5,044,372 | ||||||
Columbia Pipeline Group, Inc. | 177,175 | 4,516,191 | ||||||
Concho Resources, Inc. (a)(c) | 56,592 | 6,749,728 | ||||||
ConocoPhillips | 541,389 | 23,604,560 | ||||||
Devon Energy Corp. | 231,642 | 8,397,023 | ||||||
EOG Resources, Inc. | 237,622 | 19,822,427 | ||||||
EQT Corp. | 73,874 | 5,720,064 | ||||||
Exxon Mobil Corp. | 1,801,838 | 168,904,294 | ||||||
Hess Corp. | 116,075 | 6,976,108 | ||||||
Kinder Morgan, Inc. | 794,236 | 14,868,098 | ||||||
Marathon Oil Corp. | 376,534 | 5,651,775 | �� | |||||
Marathon Petroleum Corp. | 230,746 | 8,759,118 | ||||||
Murphy Oil Corp. | 67,700 | 2,149,475 | ||||||
Newfield Exploration Co. (a) | 83,117 | 3,672,109 | ||||||
Noble Energy, Inc. | 187,876 | 6,739,112 | ||||||
Occidental Petroleum Corp. | 330,427 | 24,967,064 | ||||||
ONEOK, Inc. | 88,681 | 4,207,913 | ||||||
Phillips 66 | 203,499 | 16,145,611 | ||||||
Pioneer Natural Resources Co. | 70,605 | 10,676,182 | ||||||
Range Resources Corp. | 70,996 | 3,062,767 | ||||||
Southwestern Energy Co. (a) | 163,130 | 2,052,175 | ||||||
Spectra Energy Corp. | 300,077 | 10,991,821 | ||||||
Tesoro Corp. | 53,383 | 3,999,454 | ||||||
Valero Energy Corp. | 204,516 | 10,430,316 | ||||||
Williams Cos., Inc. | 299,934 | 6,487,572 | ||||||
Total Oil, Gas & Consumable Fuels | 497,810,146 | |||||||
Paper & Forest Products | 0.1% | ||||||||
International Paper Co. | 181,312 | 7,684,003 | ||||||
Total Paper & Forest Products | 7,684,003 | |||||||
Personal Products | 0.1% | ||||||||
Estee Lauder Cos., Inc., Class A | 96,272 | 8,762,677 | ||||||
Total Personal Products | 8,762,677 | |||||||
Pharmaceuticals | 5.6% | ||||||||
Allergan PLC (a) | 172,027 | 39,753,720 | ||||||
Bristol-Myers Squibb Co. | 725,311 | 53,346,624 | ||||||
Eli Lilly & Co. | 423,723 | 33,368,186 | ||||||
Endo International PLC (a) | 85,582 | 1,334,223 | ||||||
Johnson & Johnson | 1,194,896 | 144,940,885 |
76 | Appendix | The accompanying notes are an integral part of these financial statements. |
Table of Contents
Portfolio of Investments | S&P 500 Index Master Portfolio | June 30, 2016 | (Unaudited) (Continued)
Common Stocks | 96.5% of net assets (Continued) | ||||||||
Pharmaceuticals | 5.6% (Continued) | Shares | Value | ||||||
Mallinckrodt PLC (a)(c) | 46,853 | $ | 2,847,725 | |||||
Merck & Co., Inc. | 1,204,828 | 69,410,141 | ||||||
Mylan NV (a) | 187,008 | 8,086,226 | ||||||
Perrigo Co. PLC | 62,302 | 5,648,922 | ||||||
Pfizer, Inc. | 2,633,724 | 92,733,422 | ||||||
Zoetis, Inc. | 198,575 | 9,424,370 | ||||||
Total Pharmaceuticals | 460,894,444 | |||||||
Professional Services | 0.3% | ||||||||
Dun & Bradstreet Corp. | 15,161 | 1,847,216 | ||||||
Equifax, Inc. | 52,140 | 6,694,776 | ||||||
Nielsen Holdings PLC | 157,469 | 8,183,664 | ||||||
Robert Half International, Inc. | 54,908 | 2,095,290 | ||||||
Verisk Analytics, Inc. (a) | 68,626 | 5,564,196 | ||||||
Total Professional Services | 24,385,142 | |||||||
Real Estate Investment Trusts (REITs) | 3.0% | ||||||||
American Tower Corp. | 182,671 | 20,753,252 | ||||||
Apartment Investment & Management Co., Class A | 66,034 | 2,916,061 | ||||||
AvalonBay Communities, Inc. | 59,136 | 10,667,543 | ||||||
Boston Properties, Inc. | 66,673 | 8,794,169 | ||||||
Crown Castle International Corp. | 146,460 | 14,855,438 | ||||||
Digital Realty Trust, Inc. (c) | 61,427 | 6,694,929 | ||||||
Equinix, Inc. | 30,419 | 11,794,359 | ||||||
Equity Residential | 157,786 | 10,868,300 | ||||||
Essex Property Trust, Inc. (c) | 28,738 | 6,554,850 | ||||||
Extra Space Storage, Inc. | 55,621 | 5,147,167 | ||||||
Federal Realty Investment Trust | 31,136 | 5,154,565 | ||||||
General Growth Properties, Inc. | 255,375 | 7,615,282 | ||||||
HCP, Inc. (c) | 204,549 | 7,236,944 | ||||||
Host Hotels & Resorts, Inc. | 318,981 | 5,170,682 | ||||||
Kimco Realty Corp. | 184,112 | 5,777,435 | ||||||
Macerich Co. | 56,127 | 4,792,685 | ||||||
Prologis, Inc. | 227,879 | 11,175,186 | ||||||
Public Storage | 64,419 | 16,464,852 | ||||||
Realty Income Corp. (c) | 113,565 | 7,876,868 | ||||||
Simon Property Group, Inc. | 134,623 | 29,199,729 | ||||||
SL Green Realty Corp. | 44,893 | 4,779,758 | ||||||
UDR, Inc. | 111,833 | 4,128,874 | ||||||
Ventas, Inc. | 146,018 | 10,633,031 | ||||||
Vornado Realty Trust | 77,442 | 7,753,493 | ||||||
Welltower, Inc. | 154,173 | 11,743,357 | ||||||
Weyerhaeuser Co. | 327,304 | 9,743,840 | ||||||
Total Real Estate Investment Trusts (REITs) | 248,292,649 | |||||||
Real Estate Management & Development | 0.0% | ||||||||
CBRE Group, Inc., Class A (a) | 132,999 | 3,521,814 | ||||||
Total Real Estate Management & Development | 3,521,814 | |||||||
Road & Rail | 0.8% | ||||||||
CSX Corp. | 411,764 | 10,738,805 | ||||||
JB Hunt Transport Services, Inc. | 37,298 | 3,018,527 |
Road & Rail | 0.8% (Continued) | Shares | Value | ||||||
Kansas City Southern | 48,241 | $ | 4,346,032 | |||||
Norfolk Southern Corp. | 129,691 | 11,040,595 | ||||||
Ryder System, Inc. | 22,631 | 1,383,659 | ||||||
Union Pacific Corp. | 366,920 | 32,013,770 | ||||||
Total Road & Rail | 62,541,388 | |||||||
Semiconductors & Semiconductor Equipment | 2.3% | ||||||||
Analog Devices, Inc. | 135,222 | 7,658,974 | ||||||
Applied Materials, Inc. | 475,028 | 11,386,421 | ||||||
Broadcom Ltd. | 161,789 | 25,142,011 | ||||||
First Solar, Inc. (a) | 31,273 | 1,516,115 | ||||||
Intel Corp. | 2,051,163 | 67,278,146 | ||||||
KLA-Tencor Corp. | 69,600 | 5,098,200 | ||||||
Lam Research Corp. | 70,625 | 5,936,738 | ||||||
Linear Technology Corp. | 101,724 | 4,733,218 | ||||||
Microchip Technology, Inc. | 91,784 | 4,658,956 | ||||||
Micron Technology, Inc. (a) | 461,329 | 6,347,887 | ||||||
NVIDIA Corp. | 221,394 | 10,407,732 | ||||||
Qorvo, Inc. (a)(c) | 54,422 | 3,007,360 | ||||||
Skyworks Solutions, Inc. | 81,212 | 5,139,095 | ||||||
Texas Instruments, Inc. | 437,223 | 27,392,021 | ||||||
Xilinx, Inc. | 108,556 | 5,007,688 | ||||||
Total Semiconductors & Semiconductor Equipment | 190,710,562 | |||||||
Software | 4.0% | ||||||||
Activision Blizzard, Inc. | 220,196 | 8,726,367 | ||||||
Adobe Systems, Inc. (a) | 217,717 | 20,855,111 | ||||||
Autodesk, Inc. (a) | 99,507 | 5,387,309 | ||||||
CA, Inc. | 132,208 | 4,340,389 | ||||||
Citrix Systems, Inc. (a) | 68,111 | 5,455,010 | ||||||
Electronic Arts, Inc. (a) | 130,503 | 9,886,907 | ||||||
Intuit, Inc. | 110,839 | 12,370,741 | ||||||
Microsoft Corp. | 3,414,759 | 174,733,218 | ||||||
Oracle Corp. | 1,353,950 | 55,417,174 | ||||||
Red Hat, Inc. (a) | 77,359 | 5,616,263 | ||||||
salesforce.com, Inc. (a) | 277,407 | 22,028,890 | ||||||
Symantec Corp. | 273,048 | 5,608,406 | ||||||
Total Software | 330,425,785 | |||||||
Specialty Retail | 2.5% | ||||||||
Advance Auto Parts, Inc. | 32,335 | 5,226,306 | ||||||
AutoNation, Inc. (a)(c) | 29,995 | 1,409,165 | ||||||
AutoZone, Inc. (a) | 13,140 | 10,431,058 | ||||||
Bed Bath & Beyond, Inc. | 68,485 | 2,959,922 | ||||||
Best Buy Co., Inc. | 125,887 | 3,852,142 | ||||||
CarMax, Inc. (a)(c) | 81,941 | 4,017,567 | ||||||
Foot Locker, Inc. | 57,444 | 3,151,378 | ||||||
Gap, Inc. | 94,735 | 2,010,277 | ||||||
Home Depot, Inc. | 539,830 | 68,930,893 | ||||||
L Brands, Inc. | 108,780 | 7,302,401 | ||||||
Lowe’s Cos., Inc. | 384,869 | 30,470,079 | ||||||
O’Reilly Automotive, Inc. (a)(c) | 42,204 | 11,441,504 | ||||||
Ross Stores, Inc. | 178,346 | 10,110,435 | ||||||
Signet Jewelers Ltd. | 33,296 | 2,743,923 | ||||||
Staples, Inc. | 272,009 | 2,344,718 |
The accompanying notes are an integral part of these financial statements. | Appendix | 77 |
Table of Contents
Portfolio of Investments | S&P 500 Index Master Portfolio | June 30, 2016 | (Unaudited) (Continued)
Common Stocks | 96.5% of net assets (Continued) | ||||||||
Specialty Retail | 2.5% (Continued) | Shares | Value | ||||||
Tiffany & Co. | 46,739 | $ | 2,834,253 | |||||
TJX Cos., Inc. | 287,581 | 22,209,881 | ||||||
Tractor Supply Co. | 59,262 | 5,403,509 | ||||||
Ulta Salon Cosmetics & Fragrance, Inc. (a) | 27,043 | 6,588,756 | ||||||
Urban Outfitters, Inc. (a) | 35,003 | 962,582 | ||||||
Total Specialty Retail | 204,400,749 | |||||||
Technology Hardware, Storage & Peripherals | 3.5% | ||||||||
Apple, Inc. | 2,380,992 | 227,622,835 | ||||||
EMC Corp. | 844,012 | 22,931,806 | ||||||
Hewlett Packard Enterprise Co. | 724,750 | 13,241,183 | ||||||
HP, Inc. | 737,309 | 9,253,228 | ||||||
NetApp, Inc. | 121,307 | 2,982,939 | ||||||
Seagate Technology PLC | 124,095 | 3,022,954 | ||||||
Western Digital Corp. | 124,929 | 5,904,145 | ||||||
Total Technology Hardware, Storage & Peripherals | 284,959,090 | |||||||
Textiles, Apparel & Luxury Goods | 0.8% | ||||||||
Coach, Inc. | 123,415 | 5,027,927 | ||||||
Hanesbrands, Inc. | 163,970 | 4,120,566 | ||||||
Michael Kors Holdings Ltd. (a) | 75,118 | 3,716,839 | ||||||
NIKE, Inc., Class B | 579,246 | 31,974,379 | ||||||
PVH Corp. | 34,306 | 3,232,654 | ||||||
Ralph Lauren Corp. (c) | 24,337 | 2,181,082 | ||||||
Under Armour, Inc., Class A (a)(c) | 84,309 | 3,383,320 | ||||||
Under Armour, Inc., Class C (a)(c) | 76,587 | 2,787,759 | ||||||
VF Corp. | 146,304 | 8,996,233 | ||||||
Total Textiles, Apparel & Luxury Goods | 65,420,759 | |||||||
Thrifts & Mortgage Finance | 0.0% | ||||||||
People’s United Financial, Inc. | 129,963 | 1,905,258 | ||||||
Total Thrifts & Mortgage Finance | 1,905,258 | |||||||
Tobacco | 1.8% | ||||||||
Altria Group, Inc. | 850,139 | 58,625,585 | ||||||
Philip Morris International, Inc. | 673,678 | 68,526,526 | ||||||
Reynolds American, Inc. | 357,965 | 19,305,053 | ||||||
Total Tobacco | 146,457,164 |
Trading Companies & Distributors | 0.2% | Shares | Value | ||||||
Fastenal Co. | 127,454 | $ | 5,657,683 | |||||
United Rentals, Inc. (a) | 38,084 | 2,555,436 | ||||||
W.W. Grainger, Inc. | 25,110 | 5,706,248 | ||||||
Total Trading Companies & Distributors | 13,919,367 | |||||||
Water Utilities | 0.1% | ||||||||
American Water Works Co., Inc. | 78,640 | 6,645,866 | ||||||
Total Water Utilities | 6,645,866 | |||||||
Total Long-Term Investments (Cost—$5,191,061,597) | 7,914,398,679 | |||||||
Short-Term Securities | 4.3% of net assets |
| |||||||
Money Market Funds | ||||||||
BlackRock Cash Funds: | ||||||||
Institutional, SL Agency Shares, 0.52% (b)(d)(e) | 331,216,906 | 331,216,906 | ||||||
Prime, SL Agency Shares, 0.48% (b)(d)(e) | 21,110,639 | 21,110,639 | ||||||
Total Short-Term Securities (Cost $352,327,545) | 352,327,545 | |||||||
Total Investments (Cost $5,543,389,142) | 100.8% | 8,266,726,224 | |||||||
Liabilities in Excess of Other Assets | (0.8%) | (68,813,983 | ) | ||||||
Net Assets | 100.0% | $ | 8,197,912,241 |
78 | Appendix | The accompanying notes are an integral part of these financial statements. |
Table of Contents
Portfolio of Investments | S&P 500 Index Master Portfolio | June 30, 2016 | (Unaudited) (Continued)
(a) | Non-income producing security. |
(b) | During the six months ended June 30, 2016, investments in issuers considered to be affiliates of the Master Portfolio for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows: |
Affiliate | Shares Held at December 31, 2015 | Shares Purchased | Shares Sold | Shares Held at June 30, 2016 | Value at June 30, 2016 | Income | Realized Loss | |||||||||||||||||||||
BlackRock, Inc. | 48,211 | 6,290 | — | 54,501 | $ | 18,668,228 | $ | 242,639 | — | |||||||||||||||||||
BlackRock Cash Funds: Institutional, SL Agency Shares | 374,887,021 | — | (43,670,115 | )1 | 331,216,906 | $ | 331,216,906 | $ | 828,586 | 2 | — | |||||||||||||||||
BlackRock Cash Funds: Prime, SL Agency Shares | 26,986,879 | — | (5,876,240 | )1 | 21,110,639 | $ | 21,110,639 | $ | 48,258 | 2 | — | |||||||||||||||||
PNC Financial Services Group, Inc. | 193,874 | 24,134 | (1,596 | ) | 216,412 | $ | 17,613,773 | $ | 208,887 | $ | (17,491 | ) | ||||||||||||||||
Total | $ | 388,609,546 | $ | 1,328,370 | $ | (17,491 | ) | |||||||||||||||||||||
|
|
1 | Represents net shares sold. |
2 | Represents all or portion of securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees and collateral investment expenses, and other payments to and from borrowers of securities. |
(c) | Security, or a portion of security, is on loan. |
(d) | Current yield as of period end. |
(e) | All or a portion of security was purchased with the cash collateral from loaned securities. |
Derivative Financial Instruments Outstanding as of Period End—Futures Contracts
Contracts Long | Issue | Expiration | Notional Value | Unrealized Appreciation | ||||
2,853 | S&P 500 E-Mini Index | September 2016 | $298,167,030 | $706,197 |
Derivative Financial Instruments Categorized by Risk Exposure
As of period end, the fair values of derivative financial instruments located in the Statement of Assets and Liabilities were as follows:
Assets—Derivative Financial Instruments | Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | |||||||||||||||||||||
Futures contracts......Net unrealized appreciation1 | — | — | $ | 706,197 | — | — | — | $ | 706,197 |
1 | Includes cumulative appreciation on futures contracts, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
For the six months ended June 30, 2016, the effect of derivative financial instruments in the Statement of Operations was as follows:
Commodity Contracts | Credit Contracts | Equity Contracts | Foreign Currency Exchange Contracts | Interest Rate Contracts | Other Contracts | Total | ||||||||||||||||||||||
Net Realized Gain (Loss) From: |
| |||||||||||||||||||||||||||
Futures contracts | — | — | $ | 4,911,571 | — | — | — | $ | 4,911,571 | |||||||||||||||||||
Net Change in Unrealized Appreciation (Depreciation) on: |
| |||||||||||||||||||||||||||
Futures contracts | — | — | $ | 2,726,041 | — | — | — | $ | 2,726,041 | |||||||||||||||||||
Average Quarterly Balances on Oustanding Derivative Financial Instruments |
| |||||||||||||||||||||||||||
Futures contracts: | ||||||||||||||||||||||||||||
Average notional value of contracts—long | $ | 259,967,090 |
For more information about the Master Portfolio’s investment risks regarding derivative financial instruments, refer to the Notes to Financial Statements.
The accompanying notes are an integral part of these financial statements. | Appendix | 79 |
Table of Contents
Portfolio of Investments | S&P 500 Index Master Portfolio | June 30, 2016 | (Unaudited) (Continued)
Fair Value Hierarchy as of Period End
Various inputs are used in determining the fair value of investments and derivative financial instruments. For information about the Master Portfolio’s policy regarding valuation of investments and derivative financial instruments, refer to the Notes to Financial Statements.
The following tables summarize the Master Portfolio’s investments and derivative financial instruments categorized in the disclosure hierarchy:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Long-Term Investments: | ||||||||||||||||
Common Stocks1 | $ | 7,914,398,679 | — | — | $ | 7,914,398,679 | ||||||||||
Short-Term Securities: | ||||||||||||||||
Money Market Funds | 352,327,545 | — | — | 352,327,545 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 8,266,726,224 | — | — | $ | 8,266,726,224 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Derivative Financial Instruments2 | ||||||||||||||||
Assets: | ||||||||||||||||
Equity contracts | $ | 706,197 | — | — | $ | 706,197 | ||||||||||
|
|
|
|
|
|
|
|
1 | See above Schedule of Investments for values in each industry. |
2 | Derivative financial instruments are futures contracts. Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument. |
The Master Portfolio may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial statement purposes. As of period end, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: |
| |||||||||||||||
Cash pledged for futures contracts | $ | 11,985,800 | — | — | $ | 11,985,800 | ||||||||||
Liabilities: | ||||||||||||||||
Collateral on securities loaned at value | — | $ | (73,016,450 | ) | — | (73,016,450 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 11,985,800 | $ | (73,016,450 | ) | $ | — | $ | (61,030,650 | ) | ||||||
|
|
|
|
|
|
|
|
During the six months ended June 30, 2016, there were no transfers between levels.
80 | Appendix | The accompanying notes are an integral part of these financial statements. |
Table of Contents
Statement of Assets and Liabilities
S&P 500 Index Master Portfolio | June 30, 2016 | (Unaudited)
Assets | ||||
Investments at value—unaffiliated (including securities loaned of $71,903,747) (cost—$5,165,009,481) | $ | 7,878,116,678 | ||
Investments at value—affiliated (cost—$378,379,661) | 388,609,546 | |||
Cash pledged for futures contracts | 11,985,800 | |||
Receivables: | ||||
Dividends—unaffiliated | 8,896,582 | |||
Contributions from the investors | 9,512,134 | |||
Variation margin on futures contracts | 3,344,171 | |||
Dividends—affiliated | 99,916 | |||
Securities lending income—affiliated | 19,694 | |||
Total Assets | 8,300,584,521 | |||
Liabilities | ||||
Collateral on securities loaned at value | 73,016,450 | |||
Payables: | ||||
Withdrawals to the investors | 20,657,915 | |||
Investments purchased | 8,714,257 | |||
Investment advisory fees | 228,676 | |||
Officer’s and Trustees’ fees | 31,759 | |||
Professional fees | 23,223 | |||
Total Liabilities | 102,672,280 | |||
Net Assets | $ | 8,197,912,241 | ||
Net Assets Consist of: | ||||
Investors’ capital | $ | 5,473,868,962 | ||
Net unrealized appreciation (depreciation) | 2,724,043,279 | |||
Net Assets | $ | 8,197,912,241 | ||
The accompanying notes are an integral part of these financial statements. | Appendix | 81 |
Table of Contents
Statement of Operations
S&P 500 Index Master Portfolio | Six Months Ended June 30, 2016 | (Unaudited)
Investment Income | ||||
Dividends—unaffiliated | $ | 80,657,823 | ||
Dividends—affiliated | 1,161,461 | |||
Securities lending—affiliated—net | 166,909 | |||
Foreign taxes withheld | (102,222) | |||
Total Income | 81,883,971 | |||
Expenses | ||||
Investment advisory | 1,499,721 | |||
Officer and Trustees | 101,742 | |||
Professional | 25,176 | |||
Total Expenses | 1,626,639 | |||
Less fees waived by the Manager | (225,381 | ) | ||
Total expenses after fees waived | 1,401,258 | |||
Net investment income | 80,482,713 | |||
Realized And Unrealized Gain (Loss) | ||||
Net realized gain (loss) from: | ||||
Investments—unaffiliated | 24,052,870 | |||
Investments—affiliated | (17,491 | ) | ||
Futures contracts | 4,911,571 | |||
Net Realized Gain | 28,946,950 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments—unaffiliated | 203,876,582 | |||
Investments—affiliated | (2,637,321 | ) | ||
Futures contracts | 2,726,041 | |||
Net Change In Unrealized Appreciation (Depreciation) | 203,965,302 | |||
Net Realized And Unrealized Gain | 232,912,252 | |||
Net Increase In Net Assets Resulting From Operations | $ | 313,394,965 | ||
82 | Appendix | The accompanying notes are an integral part of these financial statements. |
Table of Contents
Statements of Changes in Net Assets
S&P 500 Index Master Portfolio
Six Months Ended June 30, 2016 (Unaudited) | Year Ended December 31, 2015 | |||||||
Increase (Decrease) In Net Assets | ||||||||
Operations | ||||||||
Net investment income | $ | 80,482,713 | $ | 134,064,606 | ||||
Net realized gain | 28,946,950 | 110,235,734 | ||||||
Net change in unrealized appreciation (depreciation) | 203,965,302 | (168,377,143 | ) | |||||
Net increase in net assets resulting from operations | 313,394,965 | 75,923,197 | ||||||
Capital Transactions | ||||||||
Proceeds from contributions | 1,873,519,757 | 3,573,168,628 | ||||||
Value of withdrawals | (1,198,859,791 | ) | (2,187,812,801 | ) | ||||
Net increase in net assets derived from capital transactions | 674,659,966 | 1,385,355,827 | ||||||
Net Assets | ||||||||
Total increase in net assets | 988,054,931 | 1,461,279,024 | ||||||
Beginning of period | 7,209,857,310 | 5,748,578,286 | ||||||
End of period | $ | 8,197,912,241 | $ | 7,209,857,310 | ||||
The accompanying notes are an integral part of these financial statements. | Appendix | 83 |
Table of Contents
Financial Highlights
S&P 500 Index Master Portfolio
Six Months Ended (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||
2015 | 2014 | 2013 | 2012 | 2011 | ||||||||||||||||||||
Total Return | 3.81 | %1 | 1.35 | % | 13.63 | % | 32.33 | % | 15.98 | % | 2.13 | % | ||||||||||||
Ratios to Average Net Assets | ||||||||||||||||||||||||
Total expenses | 0.04 | %2 | 0.05 | % | 0.05 | % | 0.05 | % | 0.06 | % | 0.06 | % | ||||||||||||
Total expenses after fees waived and/or paid indirectly | 0.04 | %2 | 0.04 | % | 0.05 | % | 0.05 | % | 0.05 | % | 0.05 | % | ||||||||||||
Net investment income | 2.15 | %2 | 2.00 | % | 1.98 | % | 2.08 | % | 2.22 | % | 2.08 | % | ||||||||||||
Supplemental Data | ||||||||||||||||||||||||
Net assets, end of period (000) | $ | 8,197,912 | $ | 7,209,857 | $ | 5,748,578 | $ | 5,271,130 | $ | 1,717,932 | $ | 2,108,316 | ||||||||||||
Portfolio turnover rate | 2 | % | 2 | % | 3 | % | 2 | % | 10 | % | 5 | % | ||||||||||||
1 | Aggregate total return. |
2 | Annualized. |
84 | Appendix | The accompanying notes are an integral part of these financial statements. |
Table of Contents
Notes to Financial Statements
S&P 500 Index Master Portfolio | (Unaudited)
1. Organization
Master Investment Portfolio (“MIP”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. S&P 500 Index Master Portfolio (the “Master Portfolio”) is a series of MIP. The Master Portfolio is classified as diversified. MIP is organized as a Delaware statutory trust.
The Master Portfolio, together with certain other registered investment companies advised by BlackRock Fund Advisors (the “Manager”) or its affiliates, is included in a complex of open-end funds referred to as the Equity-Liquidity Complex.
2. Significant Accounting Policies
The financial statements are prepared in conformity with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which may require management to make estimates and assumptions that affect the reported amounts of assets and liabilities in the financial statements, disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. The Master Portfolio is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. Below is a summary of significant accounting policies:
Segregation and Collateralization: In cases where the Master Portfolio enters into certain investments (e.g., futures contracts) that would be treated as “senior securities” for 1940 Act purposes, the Master Portfolio may segregate or designate on its books and records cash or liquid assets having a market value at least equal to the amount of its future obligations under such investments. Doing so allows the investment to be excluded from treatment as a “senior security.” Furthermore, if required by an exchange or counterparty agreement, the Master Portfolio may be required to deliver/deposit cash and/or securities to/with an exchange, or broker-dealer or custodian as collateral for certain investments or obligations.
Investment Transactions and Investment Income: For financial reporting purposes, investment transactions are recorded on the dates the transactions are entered into (the trade dates). Realized gains and losses on investment transactions are determined on the identified cost basis. Dividend income is recorded on the ex-dividend date. Dividends from foreign securities where the ex-dividend date may have passed are subsequently recorded when the Master Portfolio is informed of the ex-dividend date. Under the applicable foreign tax laws, a withholding tax at various rates may be imposed on capital gains, dividends and interest. Upon notification from issuers, some of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on the accrual basis.
Indemnifications: In the normal course of business, the Master Portfolio enters into contracts that contain a variety of representations that provide general indemnification. The Master Portfolio’s maximum exposure under these arrangements is unknown because it involves future potential claims against the Master Portfolio, which cannot be predicted with any certainty.
Other: Expenses directly related to the Master Portfolio are charged to the Master Portfolio. Other operating expenses shared by several funds, including other funds managed by the Manager, are prorated among those funds on the basis of relative net assets or other appropriate methods.
The Master Portfolio has an arrangement with its custodian whereby fees may be reduced by credits earned on uninvested cash balances, which, if applicable, are shown as fees paid indirectly in the Statement of Operations. The custodian imposes fees on overdrawn cash balances, which can be offset by accumulated credits earned or may result in additional custody charges. Effective October 2015, the custodian is imposing fees on certain uninvested cash balances.
3. Investment Valuation and Fair Value Measurements
Investment Valuation Policies: The Master Portfolio’s investments are valued at fair value (also referred to as “market value” within the financial statements) as of the close of trading on the New York Stock Exchange (“NYSE”) (generally 4:00 p.m., Eastern time). U.S. GAAP defines fair value as the price the Master Portfolio would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. The Master Portfolio determines the fair values of its financial instruments using various independent dealers or pricing services under policies approved by the Board of Trustees of MIP (the “Board”). The BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) is the committee formed by management to develop global pricing policies and procedures and to oversee the pricing function for all financial instruments.
Fair Value Inputs and Methodologies: The following methods (or “techniques”) and inputs are used to establish the fair value of the Master Portfolio’s assets and liabilities:
• | Equity investments traded on a recognized securities exchange are valued at the official closing price each day, if available. For equity investments traded on more than one exchange, the official close price on the exchange where the stock is primarily traded is used. Equity investments traded on |
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a recognized exchange for which there were no sales on that day may be valued at the last available bid (long positions) or ask (short positions) price. |
• | Investments in open-end U.S. mutual funds are valued at NAV each business day. |
• | Futures contracts traded on exchanges are valued at their last sale price. |
If events (e.g., a company announcement, market volatility or a natural disaster) occur that are expected to materially affect the value of such instruments, or in the event that the application of these methods of valuation results in a price for an investment that is deemed not to be representative of the market value of such investment, or if a price is not available, the investment will be valued by the Global Valuation Committee, or its delegate, in accordance with a policy approved by the Board as reflecting fair value (“Fair Valued Investments”). When determining the price for Fair Valued Investments, the Global Valuation Committee, or its delegate, seeks to determine the price that the Master Portfolio might reasonably expect to receive or pay from the current sale or purchase of that asset or liability in an arm’s-length transaction. Fair value determinations shall be based upon all available factors that the Global Valuation Committee, or its delegate, deems relevant consistent with the principles of fair value measurement. The pricing of all Fair Valued Investments is subsequently reported to the Board or a committee thereof on a quarterly basis
Fair Value Hierarchy: Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial statement purposes as follows:
• | Level 1—unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Master Portfolio has the ability to access |
• | Level 2—other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market–corroborated inputs) |
• | Level 3—unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Master Portfolio own assumptions used in determining the fair value of investments and derivative financial instruments) |
The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety. The significant unobservable inputs used by the Global Valuation Committee in determining the price for Fair Valued Investments are typically categorized as Level 3. The fair value hierarchy for the Master Portfolio’s investments and derivative financial instruments has been included in the Schedule of Investments.
Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with the Master Portfolio’s policy, transfers between different levels of the fair value hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investments and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities.
4. Securities and Other Investments
Securities Lending: The Master Portfolio may lend its securities to approved borrowers, such as brokers, dealers and other financial institutions. The borrower pledges and maintains with the Master Portfolio collateral consisting of cash, an irrevocable letter of credit issued by a bank, or securities issued or guaranteed by the U.S. Government. The initial collateral received by the Master Portfolio is required to have a value of at least 102% of the current value of the loaned securities for securities traded on U.S. exchanges and a value of at least 105% for all other securities. The collateral is maintained thereafter at a value equal to at least 100% of the current market value of the securities on loan. The market value of the loaned securities is determined at the close of each business day of the Master Portfolio and any additional required collateral is delivered to the Master Portfolio or excess collateral returned by the Master Portfolio, on the next business day. During the term of the loan, the Master Portfolio is entitled to all distributions made on or in respect of the loaned securities. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.
The market value of any securities on loan, all of which were classified as common stocks in the Master Portfolio’s Schedule of Investments, and the value of any related collateral are shown separately in the Statement of Assets and Liabilities as a component of investments at value-unaffiliated, and collateral on securities loaned at value, respectively. As of period end, any securities on loan were collateralized by cash. The cash collateral invested by the securities lending agent, BlackRock Institutional Trust Company, N.A. (“BTC”), if any, is disclosed in the Schedule of Investments.
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Securities lending transactions are entered into by the Master Portfolio under Master Securities Lending Agreements (each, an “MSLA”), which provide the right, in the event of default (including bankruptcy or insolvency), for the non-defaulting party to liquidate the collateral and calculate a net exposure to the defaulting party or request additional collateral. In the event that a borrower defaults, the Master Portfolio, as lender, would offset the market value of the collateral received against the market value of the securities loaned. When the value of the collateral is greater than that of the market value of the securities loaned, the lender is left with a net amount payable to the defaulting party. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of an MSLA counterparty’s bankruptcy or insolvency. Under the MSLA, absent an event of default the borrower can resell or re-pledge the loaned securities, and the Master Portfolio can reinvest cash collateral received in connection with loaned securities. Upon an event of default, the parties’ obligations to return the securities or collateral to the other party are extinguished, and the parties can resell or re-pledge the loaned securities or the collateral received in connection with the loaned securities in order to satisfy the defaulting party’s net payment obligation for all transactions under the MSLA. The defaulting party remains liable for any deficiency.
As of period end, the following table is a summary of the Master Portfolio’s securities lending agreements by counterparty which are subject to offset under an MSLA:
Counterparty | Securities Loaned at Value | Cash Collateral Received1 | Net Amount | |||||||||
Barclays Capital, Inc. | $ | 16,052 | $ | (16,052 | ) | — | ||||||
BNP Paribas S.A. | 5,762,279 | (5,762,279 | ) | — | ||||||||
Citigroup Global Markets, Inc. | 8,934,586 | (8,934,586 | ) | — | ||||||||
Credit Suisse Securities (USA) LLC | 6,306,128 | (6,306,128 | ) | — | ||||||||
Goldman Sachs & Co. | 9,724,488 | (9,724,488 | ) | — | ||||||||
JP Morgan Securities LLC | 23,141,092 | (23,141,092 | ) | — | ||||||||
Merrill Lynch, Pierce, Fenner & Smith, Inc. | 3,770,219 | (3,770,219 | ) | — | ||||||||
State Street Bank & Trust Co. | 9,310,866 | (9,310,866 | ) | — | ||||||||
UBS Securities LLC | 4,938,037 | (4,938,037 | ) | — | ||||||||
|
|
|
|
|
| |||||||
Total | $ | 71,903,747 | $ | (71,903,747 | ) | — | ||||||
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|
|
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1 | Collateral with a value of $73,016,450 has been received in connection with securities lending agreements. Collateral received in excess of the value of securities loaned from the individual counterparty is not shown for financial reporting purposes in the table above. |
The risks of securities lending include the risk that the borrower may not provide additional collateral when required or may not return the securities when due. To mitigate these risks, the Master Portfolio benefits from a borrower default indemnity provided by BlackRock, Inc. (“BlackRock”). BlackRock’s indemnity allows for full replacement of the securities loaned if the collateral received does not cover the value on the securities loaned in the event of borrower default. The Master Portfolio could suffer a loss if the value of an investment purchased with cash collateral falls below the market value of loaned securities or if the value of an investment purchased with cash collateral falls below the value of the original cash collateral received.
5. Derivative Financial Instruments
The Master Portfolio engages in various portfolio investment strategies using derivative contracts both to increase the returns of the Master Portfolio and/or to manage its exposure to certain risks such as equity risk. Derivative financial instruments categorized by risk exposure are included in the Schedule of Investments. These contracts may be transacted on an exchange or over-the-counter (“OTC”).
Futures Contracts: The Master Portfolio invests in long and/or short positions in futures and options on futures contracts to gain exposure to, or manage exposure to, changes in the value of equity securities (equity risk).
Futures contracts are agreements between the Master Portfolio and a counterparty to buy or sell a specific quantity of an underlying instrument at a specified price and on a specified date. Depending on the terms of a contract, it is settled either through physical delivery of the underlying instrument on the settlement date or by payment of a cash amount on the settlement date. Upon entering into a futures contract, the Master Portfolio is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on a contract’s size and risk profile. The initial margin deposit must then be maintained at an established level over the life of the contract.
Securities deposited as initial margin are designated in the Schedule of Investments and cash deposited, if any, is shown as cash pledged for futures contracts in the Statement of Assets and Liabilities. Pursuant to the contract, the Master Portfolio agrees to receive from or pay to the broker an amount of cash equal to the daily fluctuation in market value of the contract (“variation margin”). Variation margin is recorded as unrealized appreciation (depreciation) and, if any, shown as variation margin receivable (or payable) on futures contracts in the Statement of Assets and Liabilities. When the contract is closed, a realized gain or loss is recorded in the Statement of Operations equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The use of futures contracts involves the risk of an imperfect correlation in the movements in the price of futures contracts and interest, foreign currency exchange rates or underlying assets.
6. Investment Advisory Agreement and Other Transactions with Affiliates
The PNC Financial Services Group, Inc. is the largest stockholder and an affiliate of BlackRock for 1940 Act purposes.
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Investment Advisory and Administration
MIP, on behalf of the Master Portfolio, entered into an Investment Advisory Agreement with the Manager, the Master Portfolio’s investment adviser, an indirect, wholly owned subsidiary of BlackRock, to provide investment advisory services. The Manager is responsible for the management of the Master Portfolio’s portfolio and provides the personnel, facilities, equipment and certain other services necessary to the operations of the Master Portfolio.
For such services, the Master Portfolio pays the Manager a monthly fee, which is determined by calculating a percentage of the Master Portfolio’s average daily net assets based on the annual rate of 0.04%.
MIP, on behalf of the Master Portfolio, entered into an Administration Agreement with BlackRock Advisors, LLC (“BAL”), which has agreed to provide general administration services (other than investment advice and related portfolio activities). BAL, in consideration thereof, has agreed to bear all of the Master Portfolio’s ordinary operating expenses, excluding, generally, investment advisory fees, distribution fees, brokerage and other expenses related to the execution of portfolio transactions, extraordinary expenses and certain other expenses which are borne by the Master Portfolio.
BAL is not entitled to compensation for providing administration service to the Master Portfolio, for so long as BAL is entitled to compensation for providing administration service to corresponding feeder funds that invest substantially all of their assets in the Master Portfolio, or BAL (or an affiliate) receives investment advisory fees from the Master Portfolio.
Waivers
The Manager, with respect to the Master Portfolio, voluntarily agreed to waive its investment advisory fees by the amount of investment advisory fees the Master Portfolio pays to the Manager indirectly through its investment in affiliated money market funds. This amount is included in fees waived by the Manager in the Statement of Operations. However, the Manager does not waive its investment advisory fees by the amount of investment advisory fees paid in connection with the Master Portfolio’s investments in other affiliated investment companies, if any. For the six months ended June 30, 2016, the amount waived was $98,463.
Securities Lending
The U.S. Securities and Exchange Commission has issued an exemptive order which permits BTC, an affiliate of the Manager, to serve as securities lending agent for the Master Portfolio, subject to applicable conditions. As securities lending agent, BTC bears all operational costs directly related to securities lending. The Master Portfolio is responsible for fees in connection with the investment of cash collateral received for securities on loan in a money market fund managed by the Manager or its affiliates, however, BTC has agreed to reduce the amount of securities lending income it receives in order to effectively limit the collateral investment fees the Master Portfolio bears to an annual rate of 0.04% (the “collateral investment fees”).
Securities lending income is equal to the total of income earned from the reinvestment of cash collateral, net of fees and other payments to and from borrowers of securities, and less the collateral investment fees. The Master Portfolio retains a portion of securities lending income and remits a remaining portion to BTC as compensation for its services as securities lending agent.
Pursuant to a securities lending agreement, BTC may lend securities only when the difference between the borrower rebate rate and the risk free rate exceeds a certain level (such securities, the “specials only securities”).
Pursuant to a securities lending agreement effective March 9, 2015, the Master Portfolio retains 71.5% of securities lending income, and this amount retained can never be less than 65% of the total of securities lending income plus the collateral investment fees. In addition, commencing the business day following the date that the aggregate securities lending income earned across certain funds in the Equity-Liquidity Complex in a calendar year exceeds a specified threshold, the Master Portfolio, pursuant to the securities lending agreement, will retain for the remainder of the calendar year securities lending income in an amount equal to 75% of securities lending income, and this amount retained can never be less than 65% of the total of securities lending income plus the collateral investment fees. For the period January 1, 2015 through March 8, 2015, BTC could lend securities with respect to the Master Portfolio only when the difference between the borrower rebate rate and the risk free rate exceeded a certain level, and the Master Portfolio retained 80% (85% commencing on the business day following the date that the aggregate securities lending income earned across the Equity-Liquidity Complex in the calendar year 2014 exceeded a specified threshold and for the remainder of that calendar year) of securities lending income.
The share of securities lending income earned by the Master Portfolio is shown as securities lending—affiliated—net in the Statement of Operations. For the six months ended June 30, 2016, the Master Portfolio paid BTC $66,287 in total for securities lending agent services and collateral investment fees.
Officers and Trustees
The fees and expenses of the MIP trustees who are not “interested persons” of MIP, as defined in the 1940 Act (“Independent Trustees”), counsel to the Independent Trustees and the Trust’s independent registered public accounting firm (together, the “independent expenses”) are paid directly by the Master Portfolio. BAL has contractually agreed to reimburse the Master Portfolio or provide an offsetting credit against the administration fees paid by the Master Portfolio in an amount
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equal to the independent expenses through April 30, 2017. For the six months ended June 30, 2016, the amount waived was $126,918.
Certain officers and/or trustees of MIP are officers and/or directors of BlackRock or its affiliates.
Other Transactions
The Master Portfolio may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is due solely to having a common investment adviser, common officers, or common trustees. For the six months ended June 30, 2016, the purchase and sale transactions which resulted in net realized gains (losses) with an affiliated fund in compliance with Rule 17a-7 under the 1940 Act were follows:
Purchases | Sales | Net Realized Loss | ||
$92,913,906 | $14,620,806 | $(11,198,690) |
7. Purchases and Sales
For the six months ended June 30, 2016, purchases and sales of investments, excluding short-term securities, were $1,035,462,652 and $154,603,122, respectively.
8. Income Tax Information
The Master Portfolio is classified as a partnership for federal income tax purposes. As such, each investor in the Master Portfolio is treated as the owner of its proportionate share of net assets, income, expenses and realized and unrealized gains and losses of the Master Portfolio. Therefore, no federal income tax provision is required. It is intended that the Master Portfolio’s assets will be managed so an investor in the Master Portfolio can satisfy the requirements of Subchapter M of the Internal Revenue Code of 1986, as amended.
The Master Portfolio files U.S. federal and various state and local tax returns. No income tax returns are currently under examination. The statute of limitations on the Master Portfolio’s U.S. federal tax returns generally remains open for each of the four years ended December 31, 2015. The statutes of limitations on the Master Portfolio’s state and local tax returns may remain open for an additional year depending upon the jurisdiction.
Management has analyzed tax laws and regulations and their application to the Master Portfolio as of June 30, 2016, inclusive of the open tax return years, and does not believe there are any uncertain tax positions that require recognition of a tax liability in the Master Portfolio’s financial statements.
As of June 30, 2016, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:
Tax cost | $ | 5,210,999,476 | ||
Gross unrealized appreciation | $ | 3,235,374,036 | ||
Gross unrealized depreciation | $ | (179,647,288 | ) | |
Net unrealized appreciation | $ | 3,055,726,748 |
9. Bank Borrowings
MIP, on behalf of the Master Portfolio, along with certain other funds managed by the Manager and its affiliates (“Participating Funds”), is a party to a 364-day, $2.1 billion credit agreement with a group of lenders. Under this agreement, the Master Portfolio may borrow to fund shareholder redemptions. Excluding commitments designated for certain individual funds, the Participating Funds, including the Master Portfolio, can borrow up to an aggregate commitment amount of $1.6 billion at any time outstanding, subject to asset coverage and other limitations as specified in the agreement. The credit agreement has the following terms: a fee of 0.12% per annum on unused commitment amounts and interest at a rate equal to the higher of (a) one-month LIBOR (but, in any event, not less than 0.00%) on the date the loan is made plus 0.80% per annum or (b) the Fed Funds rate (but, in any event, not less than 0.00%) in effect from time to time plus 0.80% per annum on amounts borrowed. The agreement expires in April 2017 unless extended or renewed. Prior to April 21, 2016, the credit agreement had a fee per annum of 0.06% on unused commitment amounts and interest at a rate equal to the higher of (a) one-month LIBOR (but, in any event, not less than 0.00%) on the date the loan is made plus 0.80% per annum or (b) the Fed Funds rate (but, in any event, not less than 0.00%) in effect from time to time plus 0.80% per annum on amounts borrowed. Participating Funds paid administration, legal and arrangement fees, which, if applicable, are included in miscellaneous expenses in the Statement of Operations. These fees were allocated among such funds based upon portions of the aggregate commitment available to them and relative net assets of Participating Funds. During the six months ended June 30, 2016, the Master Portfolio did not borrow under the credit agreement.
10. Principal Risks
In the normal course of business, the Master Portfolio invests in securities and enters into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer to meet all its obligations, including the ability to pay principal and interest when due (issuer credit risk). The value of securities held by the Master Portfolio may decline in response to certain events, including those directly involving the issuers of securities owned by the Master Portfolio. Changes arising from the general economy, the overall market and local, regional or global
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political and/or social instability, as well as currency, interest rate and price fluctuations, may also affect the securities’ value.
Counterparty Credit Risk: Similar to issuer credit risk, the Master Portfolio may be exposed to counterparty credit risk, or the risk that an entity may fail to or be unable to perform on its commitments related to unsettled or open transactions. The Master Portfolio manages counterparty credit risk by entering into transactions only with counterparties that the Manager believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Master Portfolio to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Master Portfolio’s exposure to market, issuer and counterparty credit risks with respect to these financial assets is approximately their value recorded in the Statement of Assets and Liabilities, less any collateral held by the Master Portfolio.
A derivative contract may suffer a mark-to-market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.
With exchange-traded futures, there is less counterparty credit risk to the Master Portfolio since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, the Master Portfolio does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency). Additionally, credit risk exists in exchange-traded futures with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Master Portfolio.
11. Subsequent Events
Management has evaluated the impact of all subsequent events on the Master Portfolio through the date the financial statements were issued and has determined that there were no subsequent events requiring adjustment or additional disclosure in the financial statements.
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Disclosure of Investment Advisory Agreement
S&P 500 Index Master Portfolio
The Board of Trustees of Master Investment Portfolio (the “Master Fund”) met in person on April 21, 2016 (the “April Meeting”) and May 18-20, 2016 (the “May Meeting”) to consider the approval of the investment advisory agreement (the “Agreement”) between the Master Fund, on behalf of S&P 500 Index Master Portfolio (the “Master Portfolio”), a series of the Master Fund, and BlackRock Fund Advisors (the “Manager” or “BlackRock”), the Master Fund’s investment advisor. BlackRock S&P 500 Index Fund (the “Portfolio”), a series of BlackRock Funds III (the “Fund”), is a “feeder” fund that invests all of its investable assets in the Master Portfolio. Accordingly, the Board of Trustees of the Fund also considered the approval of the Agreement with respect to the Master Portfolio. For simplicity: (a) the Board of Trustees of the Master Fund and the Board of Trustees of the Fund are referred to herein collectively as the “Board,” and the members are referred to as “Board Members;” and (b) the shareholders of the Portfolio and the interest holders of the Master Portfolio are referred to as “shareholders.”
Activities and Composition of the Board
On the date of the May Meeting, the Board consisted of fifteen individuals, thirteen of whom were not “interested persons” of the Master Fund or the Fund as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Board Members”). The Board Members are responsible for the oversight of the operations of the Master Fund or the Fund, as pertinent, and perform the various duties imposed on the directors of investment companies by the 1940 Act. The Independent Board Members have retained independent legal counsel to assist them in connection with their duties. The Chair of the Board is an Independent Board Member. The Board has established five standing committees: an Audit Committee, a Governance and Nominating Committee, a Compliance Committee, a Performance Oversight and Contract Committee and an Executive Committee, each of which is chaired by an Independent Board Member and composed of Independent Board Members (except for the Executive Committee, which also has one interested Board Member).
The Agreement
Pursuant to the 1940 Act, the Board is required to consider the continuation of the Agreement on an annual basis. The Board has four quarterly meetings per year, each extending over two days, a fifth one-day meeting to consider specific information surrounding the consideration of renewing the Agreement and additional in-person and telephonic meetings as needed. In connection with this year-long deliberative process, the Board assessed, among other things, the nature, extent and quality of the services provided to the Master Portfolio and the Portfolio by BlackRock, BlackRock’s personnel and affiliates, including (as applicable) investment management; administrative and shareholder services; the oversight of fund service providers; marketing; risk oversight; compliance; and ability to meet applicable legal and regulatory requirements.
The Board, acting directly and through its committees, considers at each of its meetings, and from time to time as appropriate, factors that are relevant to its annual consideration of the renewal of the Agreement, including the services and support provided by BlackRock to the Master Portfolio, the Portfolio and their shareholders. BlackRock also furnished additional information to the Board in response to specific questions from the Board. This additional information is discussed further below in the section titled “Board Considerations in Approving the Agreement.” Among the matters the Board considered were: (a) investment performance for one-year, three-year, five-year, ten-year and/or since inception periods, as applicable, against peer funds, applicable benchmark, and performance metrics, as applicable, as well as senior management’s and portfolio managers’ analysis of the reasons for any over-performance or underperformance relative to its peers, benchmarks, and other performance metrics, as applicable; (b) fees, including advisory, administration, if applicable, and other amounts paid to BlackRock and its affiliates by the Master Portfolio and/or the Portfolio for services; (c) the Master Portfolio’s and/or the Portfolio’s operating expenses and how BlackRock allocates expenses to the Master Portfolio and the Portfolio; (d) the resources devoted to, risk oversight of, and compliance reports relating to, implementation of the Master Portfolio’s and the Portfolio’s investment objective(s), policies and restrictions, and meeting regulatory requirements; (e) the Master Fund’s and the Fund’s compliance with its respective compliance policies and procedures; (f) the nature, cost and character of non-investment management services provided by BlackRock and its affiliates; (g) BlackRock’s and other service providers’ internal controls and risk and compliance oversight mechanisms; (h) BlackRock’s implementation of the proxy voting policies approved by the Board; (i) the use of brokerage commissions and execution quality of portfolio transactions; (j) BlackRock’s implementation of the Master Fund’s and/or the Fund’s valuation and liquidity procedures; (k) an analysis of management fees for products with similar investment mandates across the open-end fund, exchange-traded fund (“ETF”), closed-end fund and institutional account product channels, as applicable, and the similarities and differences between these products and the services provided as compared to the Master Portfolio and/or the Portfolio; (l) BlackRock’s compensation methodology for its investment professionals and the incentives and accountability it creates, along with investment professionals’ investments in the fund(s) they manage; and (m) periodic updates on BlackRock’s business.
Board Considerations in Approving the Agreement
The Approval Process: Prior to the April Meeting, the Board requested and received materials specifically relating to the
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Agreement. The Board is continuously engaged in a process with its independent legal counsel and BlackRock to review the nature and scope of the information provided to better assist its deliberations. The materials provided in connection with the April Meeting included (a) information independently compiled and prepared by Broadridge Financial Solutions, Inc. (“Broadridge”) on fees and expenses of the Master Portfolio and the Portfolio, as applicable, as compared with a peer group of funds as determined by Broadridge (“Expense Peers”) and the investment performance of the Portfolio as compared with a peer group of funds as determined by Broadridge1, as well as the performance of the Portfolio as compared with its benchmark; (b) information on the profits realized by BlackRock and its affiliates pursuant to the Agreement and a discussion of fall-out benefits to BlackRock and its affiliates; (c) a general analysis provided by BlackRock concerning investment management fees charged to other clients, such as institutional clients, sub-advised mutual funds, ETFs and closed-end funds, under similar investment mandates, as well as the performance of such other clients, as applicable; (d) review of non-management fees; (e) the existence, impact and sharing of potential economies of scale; (f) a summary of aggregate amounts paid by the Master Portfolio and/or the Portfolio to BlackRock; and (g) sales and redemption data regarding the Portfolio’s shares.
At the April Meeting, the Board reviewed materials relating to its consideration of the Agreement. As a result of the discussions that occurred during the April Meeting, and as a culmination of the Board’s year-long deliberative process, the Board presented BlackRock with questions and requests for additional information. BlackRock responded to these requests with additional written information in advance of the May Meeting.
At the May Meeting, the Board of the Master Fund, including the Independent Board Members, approved the continuation of the Agreement between the Manager and the Master Fund with respect to the Master Portfolio for a one-year term ending June 30, 2017. The Board of the Fund, including the Independent Board Members, also considered the continuation of the Agreement with respect to the Master Portfolio and found the Agreement to be satisfactory. In approving the continuation of the Agreement, the Board of the Master Fund considered: (a) the nature, extent and quality of the services provided by BlackRock; (b) the investment performance of the Master Portfolio and the Portfolio; (c) the advisory fee and the cost of the services and profits to be realized by BlackRock and its affiliates from their relationship with the Master Portfolio and the Portfolio; (d) the Portfolio’s costs to investors compared to the costs of Expense Peers and performance compared to the relevant performance metrics as previously discussed; (e) the sharing of potential economies of scale; (f) fall-out benefits to
1 | Funds are ranked by Broadridge in quartiles, ranging from first to fourth, where first is the most desirable quartile position and fourth is the least desirable. |
BlackRock and its affiliates as a result of its relationship with the Master Portfolio and the Portfolio; and (g) other factors deemed relevant by the Board Members.
The Board also considered other matters it deemed important to the approval process, such as other payments made to BlackRock or its affiliates, securities lending and cash management, services related to the valuation and pricing of portfolio holdings of the Master Portfolio, and advice from independent legal counsel with respect to the review process and materials submitted for the Board’s review. The Board noted the willingness of BlackRock personnel to engage in open, candid discussions with the Board. The Board did not identify any particular information as determinative, and each Board Member may have attributed different weights to the various items considered.
A. Nature, Extent and Quality of the Services Provided by BlackRock: The Board, including the Independent Board Members, reviewed the nature, extent and quality of services provided by BlackRock, including the investment advisory services and the resulting performance of the Master Portfolio. Throughout the year, the Board compared the Portfolio’s performance to the performance of a comparable group of mutual funds, relevant benchmark, and performance metrics, as applicable. The Board met with BlackRock’s senior management personnel responsible for investment activities, including the senior investment officers. The Board also reviewed the materials provided by the Master Portfolio’s portfolio management team discussing the Master Portfolio’s performance and the Master Portfolio’s investment objective(s), strategies and outlook.
The Board considered, among other factors, with respect to BlackRock: the number, education and experience of investment personnel generally and the Master Portfolio’s portfolio management team; BlackRock’s research capabilities; investments by portfolio managers in the funds they manage; portfolio trading capabilities; use of technology; commitment to compliance; credit analysis capabilities; risk analysis and oversight capabilities; and the approach to training and retaining portfolio managers and other research, advisory and management personnel. The Board engaged in a review of BlackRock’s compensation structure with respect to the Master Portfolio’s portfolio management team and BlackRock’s ability to attract and retain high-quality talent and create performance incentives.
In addition to investment advisory services, the Board considered the quality of the administrative and other non-investment advisory services provided to the Master Portfolio and the Portfolio. BlackRock and its affiliates provide the Master Portfolio and the Portfolio with certain administrative, shareholder and other services (in addition to any such services provided to the Master Portfolio and the Portfolio by third parties) and officers and other personnel as are necessary for the
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operations of the Master Portfolio and the Portfolio. In particular, BlackRock and its affiliates provide the Master Portfolio and the Portfolio with administrative services including, among others: (i) preparing disclosure documents, such as the prospectus, the summary prospectus (as applicable), the statement of additional information and periodic shareholder reports; (ii) oversight of daily accounting and pricing; (iii) preparing periodic filings with regulators; (iv) overseeing and coordinating the activities of other service providers; (v) organizing Board meetings and preparing the materials for such Board meetings; (vi) providing legal and compliance support; (vii) furnishing analytical and other support to assist the Board in its consideration of strategic issues such as the merger, consolidation or repurposing of certain open-end funds; and (viii) performing other administrative functions necessary for the operation of the Master Portfolio and the Portfolio, such as tax reporting, fulfilling regulatory filing requirements and call center services. The Board reviewed the structure and duties of BlackRock’s fund administration, shareholder services, and legal & compliance departments and considered BlackRock’s policies and procedures for assuring compliance with applicable laws and regulations.
B. The Investment Performance of the Master Portfolio, the Portfolio and BlackRock:The Board, including the Independent Board Members, also reviewed and considered the performance history of the Master Portfolio and the Portfolio, as applicable. The Board noted that the Portfolio’s investment results correspond directly to the investment results of the Master Portfolio. In preparation for the April Meeting, the Board was provided with reports independently prepared by Broadridge, which included a comprehensive analysis of the Portfolio’s performance. The Board also reviewed a narrative and statistical analysis of the Broadridge data that was prepared by BlackRock. In connection with its review, the Board received and reviewed information regarding the investment performance of the Portfolio as compared to other funds in its applicable Broadridge category and the performance of the Portfolio as compared with its benchmark. The Board was provided with a description of the methodology used by Broadridge to select peer funds and periodically meets with Broadridge representatives to review its methodology. The Board was provided with information on the composition of the Broadridge performance universes and expense universes. The Board and its Performance Oversight and Contract Committee regularly review, and meet with Master Portfolio management to discuss, the performance of the Master Portfolio and the Portfolio, as applicable, throughout the year.
In evaluating performance, the Board recognized that the performance data reflects a snapshot of a period as of a particular date and that selecting a different performance period could produce significantly different results. Further, the Board recognized that it is possible that long-term performance can be adversely affected by even one period of significant underperformance so that a single investment decision or theme has the ability to affect long-term performance disproportionately.
The Board noted that for the past five one-year periods reported, the Portfolio’s net performance was within the tolerance range of its benchmark for four of the five periods. BlackRock believes that net performance relative to the benchmark is an appropriate performance metric for the Portfolio.
C. Consideration of the Advisory/Management Fees and the Cost of the Services and Profits to be Realized by BlackRock and its Affiliates from their Relationship with the Master Portfolio and the Portfolio: The Board, including the Independent Board Members, reviewed the Master Portfolio’s contractual advisory fee rate compared with the other funds in the Portfolio’s Broadridge category. The contractual advisory rate is shown before taking into account any reimbursements or fee waivers. The Board also compared the Portfolio’s total expense ratio, as well as the Master Portfolio’s actual advisory fee rate, to those of other funds in the Portfolio’s Broadridge category. The total expense ratio represents a fund’s total net operating expenses, including any 12b-1 or non 12b-1 service fees. The total expense ratio gives effect to any expense reimbursements or fee waivers that benefit a fund, and the actual advisory fee rate gives effect to any advisory fee reimbursements or waivers that benefit a fund. The Board considered the services provided and the fees charged by BlackRock and its affiliates to other types of clients with similar investment mandates, as applicable, including institutional accounts and sub-advised mutual funds (including mutual funds sponsored by third parties).
The Board received and reviewed statements relating to BlackRock’s financial condition. The Board reviewed BlackRock’s profitability methodology and was also provided with a profitability analysis that detailed the revenues earned and the expenses incurred by BlackRock for services provided to the Master Portfolio and the Portfolio. The Board reviewed BlackRock’s profitability with respect to the Master Portfolio and the Portfolio, as applicable, and other funds the Board currently oversees for the year ended December 31, 2015 compared to available aggregate profitability data provided for the prior two years. The Board reviewed BlackRock’s profitability with respect to certain other U.S. fund complexes managed by the Manager and/or its affiliates. The Board reviewed BlackRock’s assumptions and methodology of allocating expenses in the profitability analysis, noting the inherent limitations in allocating costs among various advisory products. The Board recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Manager, the types of funds managed, precision of expense allocations and business mix. As a result, calculating and comparing profitability at individual fund levels is difficult.
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The Board noted that, in general, individual fund or product line profitability of other advisors is not publicly available. The Board reviewed BlackRock’s overall operating margin, in general, compared to that of certain other publicly-traded asset management firms. The Board considered the differences between BlackRock and these other firms, including the contribution of technology at BlackRock, BlackRock’s expense management, and the relative product mix.
In addition, the Board considered the cost of the services provided to the Master Portfolio and the Portfolio by BlackRock, and BlackRock’s and its affiliates’ profits relating to the management and distribution of the Master Portfolio and the Portfolio and the other funds advised by BlackRock and its affiliates. As part of its analysis, the Board reviewed BlackRock’s methodology in allocating its costs of managing the Master Portfolio and the Portfolio, to the Master Portfolio or the Portfolio, as pertinent. The Board may receive and review information from independent third parties as part of its annual evaluation. The Board considered whether BlackRock has the financial resources necessary to attract and retain high quality investment management personnel to perform its obligations under the Agreement and to continue to provide the high quality of services that is expected by the Board. The Board further considered factors including but not limited to BlackRock’s commitment of time, assumption of risk and liability profile in servicing the Master Portfolio and the Portfolio in contrast to what is required of BlackRock with respect to other products with similar investment mandates across the open-end fund, ETF, closed-end fund, sub-advised mutual fund and institutional account product channels, as applicable.
The Board noted that the Master Portfolio’s contractual advisory fee rate ranked in the first quartile, and that the actual advisory fee rate and the Portfolio’s total expense ratio ranked in the first and second quartiles, respectively, relative to the Portfolio’s Expense Peers. The Board noted that BlackRock proposed, and the Board agreed to, a contractual reduction of the Master Portfolio’s advisory fee. This advisory fee reduction was implemented on April 30, 2015. The Board also noted that BlackRock and its affiliates have contractually agreed to reimburse or otherwise compensate the Master Portfolio/Portfolio for the fees and expenses of the Independent Board Members, counsel to the Independent Board Members and the Master Portfolio’s/Portfolio’s independent registered public accounting firm.
D. Economies of Scale: The Board, including the Independent Board Members, considered the extent to which economies of scale might be realized as the assets of the Master Portfolio and the Portfolio increase, as well as the existence of expense caps, as applicable. The Board also considered the extent to which the Master Portfolio and the Portfolio benefit from such economies in a variety of ways and whether there should be changes in the advisory fee rate or breakpoint structure in order to enable the Master Portfolio and the Portfolio to more fully participate in these economies of scale. The Board considered the Master Portfolio’s asset levels and whether the current fee schedule was appropriate.
E. Other Factors Deemed Relevant by the Board Members: The Board, including the Independent Board Members, also took into account other ancillary or “fall-out” benefits that BlackRock or its affiliates may derive from their respective relationships with the Master Portfolio and the Portfolio, both tangible and intangible, such as BlackRock’s ability to leverage its investment professionals who manage other portfolios and risk management personnel, an increase in BlackRock’s profile in the investment advisory community, and the engagement of BlackRock’s affiliates as service providers to the Master Portfolio and the Portfolio, including for administrative, distribution, securities lending and cash management services. The Board also considered BlackRock’s overall operations and its efforts to expand the scale of, and improve the quality of, its operations. The Board also noted that BlackRock may use and benefit from third party research obtained by soft dollars generated by certain registered fund transactions to assist in managing all or a number of its other client accounts. The Board further noted that it had considered the investment by BlackRock’s funds in affiliated ETFs without any offset against the management fees payable by the funds to BlackRock.
In connection with its consideration of the Agreement, the Board also received information regarding BlackRock’s brokerage and soft dollar practices. The Board received reports from BlackRock which included information on brokerage commissions and trade execution practices throughout the year.
The Board noted the competitive nature of the open-end fund marketplace, and that shareholders are able to redeem their Portfolio shares if they believe that the Portfolio’s and/or the Master Portfolio’s fees and expenses are too high or if they are dissatisfied with the performance of the Portfolio.
Conclusion
The Board of the Master Fund, including the Independent Board Members, approved the continuation of the Agreement between the Manager and the Master Fund, with respect to the Master Portfolio, for a one-year term ending June 30, 2017. Based upon its evaluation of all of the aforementioned factors in their totality, as well as other information, the Board of the Master Fund, including the Independent Board Members, was satisfied that the terms of the Agreement were fair and reasonable and in the best interest of the Master Portfolio and its shareholders. The Board of the Fund, including the Independent Board Members, also considered the continuation of the Agreement with respect to the Master Portfolio and found the Agreement to be satisfactory. In arriving at its decision to approve the Agreement, the Board of the Master Fund did not identify any single factor or group of factors as all-important or controlling, but considered all factors together, and different
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Board Members may have attributed different weights to the various factors considered. The Independent Board Members were also assisted by the advice of independent legal counsel in making this determination. The contractual fee arrangements for the Master Portfolio reflect the results of several years of review by the Board Members and predecessor Board Members, and discussions between such Board Members (and predecessor Board Members) and BlackRock. As a result, the Board Members’ conclusions may be based in part on their consideration of these arrangements in prior years.
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Officers and Trustees
S&P 500 Index Master Portfolio
Rodney D. Johnson, Chair of the Board and Trustee
David O. Beim, Trustee
Susan J. Carter, Trustee
Collette Chilton, Trustee
Neil A. Cotty, Trustee
Dr. Matina S. Horner, Trustee
Cynthia A. Montgomery, Trustee
Barbara G. Novick, Trustee
Joseph P. Platt, Trustee
Robert C. Robb, Jr., Trustee
Mark Stalnecker, Trustee
Kenneth L. Urish, Trustee
Claire A. Walton, Trustee
Frederick W. Winter, Trustee
John M. Perlowski, Trustee, President and Chief Executive Officer
Richard Hoerner, CFA, Vice President
Jennifer McGovern, Vice President
Neal J. Andrews, Chief Financial Officer
Jay M. Fife, Treasurer
Charles Park, Chief Compliance Officer
Fernanda Piedra, Anti-Money Laundering Compliance Officer
Benjamin Archibald, Secretary
Effective February 5, 2016, Frank J. Fabozzi resigned as a Trustee of the Trust/MIP.
Effective February 8, 2016, Susan J. Carter, Neil A. Cotty and Claire A. Walton were elected to serve as Trustees of the Trust/MIP.
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PRSRT STD
U.S. POSTAGE
PAID
LANCASTER, PA
PERMIT NO. 1793
homesteadfunds.com | 800.258.3030 | 4301 Wilson Blvd. | Arlington, VA | 22203
This report is authorized for distribution to shareholders and others who have received a copy of the prospectus.
Distributor: RE Investment Corporation.
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Item 2. Code of Ethics.
Not required in this filing.
Item 3. Audit Committee Financial Expert.
Not required in this filing.
Item 4. Principal Accountant Fees and Services.
Not required in this filing.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) | The registrant’s schedule of investments in unaffiliated issuers is included in the report to shareholders under Item 1 of this Form N-CSR. |
(b) | Not applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
Not applicable.
Item 11. Controls and Procedures.
(a) | Disclosure Controls and Procedures. The registrant’s principal executive officer and principal financial officer concluded that the registrant’s Disclosure Controls and Procedures are effective based on their evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report. |
(b) | Internal Control. There were no changes in registrant’s internal control over financial reporting that occurred during the registrant’s second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
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Item 12. Exhibits.
(a)(1) | Not required with this filing. |
(a)(2) | A separate certification for the principal executive officer and principal financial officer of the registrant, as required by Rule 30a-2(a) under the Investment Company Act of 1940, is filed herewith. |
(a)(3) | Not applicable. |
(b) | A certification by the registrant’s principal executive officer and principal financial officer, as required by Section 906 of the Sarbanes-Oxley Act of 2002 and Rule 30a-2(b) under the Investment Company Act of 1940, is attached hereto. |
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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.
HOMESTEAD FUNDS, INC. | ||
By: | /s/ Stephen J. Kaszynski | |
Stephen J. Kaszynski President, Chief Executive Officer and Director |
Date: September 7, 2016
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ Stephen J. Kaszynski | |
Stephen J. Kaszynski President, Chief Executive Officer and Director |
Date September 7, 2016
By: | /s/ Amy M. DiMauro | |
Amy M. DiMauro Treasurer |
Date: September 7, 2016