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: 811-06318
CONSULTING GROUP CAPITAL MARKETS FUNDS
(Exact name of registrant as specified in charter)
2000 Westchester Avenue
Purchase, NY 10577
(Address of principal executive offices)(Zip code)
CT Corp
155 Federal Street Suite 700
Boston, MA 02110
(Name and address of agent for service)
Registrant’s telephone number, including area code: (888) 454-3965
Date of fiscal year end: August 31
Date of reporting period: August 31, 2017
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking rules.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under clearance requirements of 44 U.S.C. § 3507.
ITEM 1. REPORTS TO STOCKHOLDERS
Consulting Group
Capital Markets Funds
Annual Report
» | August 31, 2017 |
• | Large Cap Equity Fund |
• | Small-Mid Cap Equity Fund |
• | International Equity Fund |
• | Emerging Markets Equity Fund |
• | Core Fixed Income Fund |
• | High Yield Fund |
• | International Fixed Income Fund |
• | Municipal Bond Fund |
• | Inflation-Linked Fixed Income Fund |
• | Ultra-Short Term Fixed Income Fund |
INVESTMENT PRODUCTS: NOT FDIC INSURED • NO BANK GUARANTEE • MAY LOSE VALUE
I | ||||
1 | ||||
5 | ||||
9 | ||||
12 | ||||
14 | ||||
16 | ||||
18 | ||||
20 | ||||
22 | ||||
24 | ||||
30 | ||||
32 | ||||
256 | ||||
258 | ||||
260 | ||||
264 | ||||
265 | ||||
272 | ||||
315 | ||||
BOARD APPROVALOF MANAGEMENT AGREEMENTAND INVESTMENT ADVISORY AGREEMENTS | 316 | |||
321 | ||||
328 |
Capital Markets Funds
Global risk markets posted strong returns over the twelve months ending August 31, 2017. Over the period, the S&P 500® Index i gained 16.2%. Additionally, volatility remained relatively muted with measures of realized and implied volatility at historic lows after spiking during the US election. During this period, growth outperformed value, a sharp reversion from the prior year. Finally, interest rates rapidly increased in the back part of 2016 due to increasing sentiment regarding potential tax reform and fiscal spending. However, rates then steadily declined throughout the balance of the year, as inflation expectations continued to fall. For the twelve months, the Information Technology and Financials sectors posted the strongest returns, while the Energy, Real Estate, and Telecommunication Services sectors registered the weakest performance amongst the major S&P 500® Index i sectors. During the period, Emerging Markets equities were the top-performing global equity market.
A majority of the S&P 500® Index i generated a positive total return over the twelve month period. Information Technology (+31.2%), Financials (+26.0%), Industrials (+17.5%), Materials (+15.7%), Utilities (+15.6%), Health Care (+13.8%), Consumer Discretionary (13.2%), Consumer Staples (+3.8%), Real Estate (+2.4%). Only Telecommunication Services (-4.4%), and Energy (-6.1%) posted negative total returns.
Morgan Stanley & Co. economists expect U.S. real GDP growth will be approximately 2.2% in 2017 and 2.2% in 2018. They forecast global GDP growth to be close to 3.5% in 2017 and 3.7% in 2018.
Equity markets saw a style rotation over the period, with growth outperforming value, reversing the prior year’s move. The large-cap Russell 1000® Growth Index ii increased 20.6%. The Russell 1000® Index iv, a large-cap index, gained 16.2% for the period. The Russell 1000® Value Index iii, also a large-cap index, rose 11.6% for the period. The Russell 2000® Growth Index v, a small-cap index, rose by 16.4% for the period. The small-cap Russell 2000® Index vii also gained over the period, as it increased by 14.9%. The Russell 2000® Value Index vi, a small-cap value index, increased 13.5% for the period.
Over the twelve-month period, the MSCI All Country World Index ix increased 17.8% in U.S. dollar terms, the MSCI Emerging Markets Index (Net) x gained 25.0% in U.S. dollar terms, and the MSCI EAFE® Index (Net) xi (a benchmark for developed markets) gained 18.3% in U.S. dollar terms.
Over the twelve-month period, bond market returns were mixed. The Bloomberg Barclays U.S. Aggregate BondTM Index xii, a general measure of the bond market, rose 0.50% for the period. Interest rates decreased during the period, as the yield on the 10-Year U.S. Treasury note rose 50bps from 1.6% to 2.1%. Riskier parts of the bond market such as U.S. High Yield debt declined during the period. The Bloomberg Barclays U.S. Corporate High Yield Bond Index xiii, a measure of lower-rated corporate bonds, gained 8.6%.
Consulting Group Capital Markets (CGCM) Funds
Large Cap Equity Fund returned +13.9% in the fiscal year, underperforming both the Russell 1000® Index iv, which returned +16.2% in the period, and the average performance of mutual funds included in the Lipper Large-Cap Core Funds Average xiv investment category, which returned +15.1%. Unfavorable stock selection in the Consumer Discretionary, Consumer Staples, and Industrials sectors detracted value relative to the index, while the fund’s overweight exposure to the information technology sector and underweight exposure to real estate added value. Top contributors included Apple, Google, and Microsoft, while top detractors included Marathon Oil, Occidental Petroleum, and Allergan.
Small-Mid Cap Equity Fund returned +14.5% over the yearly performance period, as compared to the +13.2% increase of the Russell 2500® Index viii and the +12.6% return of the average mutual fund included in the Lipper
I
Small-Cap Core Funds Average xv investment category. The fund’s underweighting in the Real Estate and Energy sectors added value relative to the index, as did positive stock selection in the Consumer Discretionary and Real Estate sectors. The fund’s underweighting and underperformance in Financials detracted value. Top contributors included Manitowoc, TopBuild, and Mercury Systems, while top detractors included Uniti Group, SeaWorld Entertainment, and Carrizo Oil & Gas.
International Equity Fund returned +17.1% in the annual reporting period that ended on August 31, 2017, as compared to the +17.6% return of the MSCI EAFE® Index (Net) xi and the +17.1% return for the average mutual fund included in the Lipper International Large-Cap Core Funds Average xvi investment category. Favorable stock selection in Japan and Switzerland, as well as exposure to China and an underweight to Japan added value relative to the index, while unfavorable stock selection in Germany, France, and Australia detracted value. From a sector perspective, positive stock selection in the Information Technology and Health Care sectors added value, while unfavorable stock selection in the Industrials and Energy sectors detracted value. Top contributors included Prudential, Compagnie Financiere Richemont, and BNP Paribas, while top detractors included Technicolor, Teva Pharmaceutical Industries, and Hudson’s Bay.
Emerging Markets Equity Fund registered twelve-month performance of +25.5% and outperformed both the +24.5% return of the MSCI Emerging Markets Index (Net) x and the +21.9% return of the average mutual fund included in the Lipper Emerging Markets Funds Average xvii investment category. Positive stock selection in South Korea, China, and Africa added value, as did the fund’s underweight in Malaysia. Underperformance in Brazil detracted value. Favorable stock selection in the Consumer Discretionary and Industrials sectors added value, while underperformance in the Materials and Financials sectors detracted value. Top contributors included Alibaba, Tencent, and Samsung Electronics, while top detractors included International Personal Finance, Axis Bank, and Cielo.
Core Fixed Income Fund returned +1.1% in the fiscal year, outperforming the +0.5% return of its market benchmark, the Bloomberg Barclays U.S. Aggregate BondTM Index xii and the +0.9% increase for the average mutual fund included in the Lipper Core Bond Funds Average xviii investment category. Favorable sector and security selection added value relative to the index, as did favorable yield curve positioning, while duration positioning marginally detracted value.
High Yield Fund returned +8.4% in the annual fiscal reporting period, slightly below the +8.6% return of the Bloomberg Barclays U.S. Corporate High Yield Bond Index xiii, but ahead of the +7.5% average return of mutual funds included in the Lipper High Yield Funds Average xix investment category. Favorable security selection added value relative to the index, while unfavorable sector selection (Cable-Media, Finance) detracted value.
International Fixed Income Fund returned +1.0%, as compared to the -0.8% return of the Citigroup Non-USD World Government Bond Index (USD) Hedged xx and the +3.2% return for the average mutual fund included in the Lipper International Income Funds Average xxi investment category. Yield curve and interest rate positioning were positive for performance, while out of benchmark exposure to U.S. duration during the period detracted from performance as U.S. rates rose across the curve. Additionally, exposure to non-Agency mortgages and European residential mortgage-backed securities added to performance as these securities benefitted from positive technicals and strong fundamentals.
Municipal Bond Fund’s twelve-month performance of -0.2% in the fiscal period ended August 31, 2017 fell short of the +0.9% return of the Bloomberg Barclays U.S. Municipal Bond Index xxii, as well as the +0.3% increase in the average mutual fund included in the Lipper General & Insured Municipal Debt Funds Average xxiii investment category. Yield curve posture with an underweight to the front-end of the curve hindered performance as maturities 10 years and shorter produced the best performance. Security selection, particularly within the Local General Obligation, Hospital and Transportation categories, contributed positively to performance. The Fund was positioned with an underweight to the BBB category, which detracted from performance; however, an overweight to single A rated securities was beneficial.
Inflation-Linked Fixed Income Fund returned +1.1% in the fiscal period ended August 31, 2017, which outperformed the +0.5% return of the Bloomberg Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index xxiv and the +1.0% return of the average mutual fund included in the Lipper Ultra-Short Obligations Funds Average xxvii investment category. An underweight to U.S. nominal duration added to performance as U.S. yields rose across the curve. Additionally, an overweight to U.S. breakeven inflation added to performance as breakeven inflation levels rose
II
during the period; this was partially offset by an overweight to U.S. real duration as real rates rose. Short exposure to long-dated U.K. breakevens modestly detracted from performance as long-dated breakeven inflation increased during the period.
Ultra-Short Fixed Income Fund returned +2.1% and outperformed both the Citigroup 3-Month U.S. Treasury Bill Index xxv, which returned -0.4%, and average mutual fund included in the Lipper Ultra-Short Obligations Funds Average xxvii category, which returned +1.2%. Overall interest rate and spread sector strategies were positive for performance. Additionally, an allocation to investment grade credit and positive security selection within financials and industrials added to performance.
Additional information regarding the investment managers of the CGCM Funds and commentary specific to each individual sub-advisor is available in the Annual Report following this Shareholder Letter.
We thank you for your continued confidence in Morgan Stanley Wealth Management and support as shareholders of the CGCM Funds.
Sincerely,
Paul Ricciardelli
Chief Executive Officer
III
Although the statements of fact and data contained herein have been obtained from, and are based upon, sources the firm believes reliable, we do not guarantee their accuracy, and any such information may be incomplete or condensed. All opinions included in this report constitute the firm’s judgment as of the date herein, and are subject to change without notice. This material is for informational purposes only, and is not intended as an offer or solicitation with respect to the purchase or sale of any security. This report may contain forward-looking statements, and there can be no guarantee that they will come to pass. The index returns shown are preliminary and subject to change. Past performance is not a guarantee of future results.
Risk Considerations
Equity securities may fluctuate in response to news on companies, industries, market conditions, and general economic environment.
Investing in foreign markets entails risks not typically associated with domestic markets, such as currency fluctuations and controls, restrictions on foreign investments, less governmental supervision and regulation, and the potential for political instability. These risks may be magnified in countries with emerging markets and frontier markets, since these countries may have relatively unstable governments and less established markets and economies.
Investing in small- to medium-sized companies entails special risks, such as limited product lines, markets, and financial resources, and greater volatility than securities of larger, more established companies.
The value of fixed income securities will fluctuate and, upon a sale, may be worth more or less than their original cost or maturity value. Bonds are subject to interest rate risk, call risk, reinvestment risk, liquidity risk, and credit risk of the issuer.
High yield bonds (bonds rated below investment grade) may have speculative characteristics and present significant risks beyond those of other securities, including greater credit risk, price volatility, and limited liquidity in the secondary market. High yield bonds should comprise only a limited portion of a balanced portfolio.
Yields are subject to change with economic conditions. Yield is only one factor that should be considered when making an investment decision.
Asset allocation and diversification do not assure a profit or protect against loss in declining financial markets.
The indices are unmanaged. An investor cannot invest directly in an index. They are shown for illustrative purposes only and do not represent the performance of any specific investment.
Because of their narrow focus, sector investments tend to be more volatile than investments that diversify across many sectors and companies.
Growth investing does not guarantee a profit or eliminate risk. The stocks of these companies can have relatively high valuations. Because of these high valuations, an investment in a growth stock can be more risky than an investment in a company with more modest growth expectations.
Value investing does not guarantee a profit or eliminate risk. Not all companies whose stocks are considered to be value stocks are able to turn their business around or successfully employ corrective strategies which would result in stock prices that do not rise as initially expected.
IV
Performance of the Consulting Group Capital Markets Funds For the Year Ended August 31, 2017†* | ||||
Large Cap Equity Fund | 13.86 | % | ||
Russell 1000® Index (iv) | 16.16 | |||
Small-Mid Cap Equity Fund | 14.49 | |||
Russell 2500® Index (viii) | 13.22 | |||
International Equity Fund | 17.14 | |||
MSCI EAFE® Index (Net) (xi) | 17.64 | |||
Emerging Markets Equity Fund | 25.48 | |||
MSCI Emerging Markets Index (Net) (x) | 24.53 | |||
Core Fixed Income Fund | 1.07 | |||
Bloomberg Barclays U.S. Aggregate BondTM Index (xii) | 0.49 | |||
High Yield Fund | 8.38 | |||
Bloomberg Barclays U.S. Corporate High Yield Bond Index (xiii) | 8.63 | |||
International Fixed Income Fund | 0.98 | |||
Citigroup Non-USD World Government Bond Index (USD) Hedged (xx) | -0.79 | |||
Municipal Bond Fund | -0.22 | |||
Bloomberg Barclays U.S. Municipal Bond Index (xxii) | 0.88 | |||
Inflation-Linked Fixed Income Fund | 1.05 | |||
Bloomberg Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index (xxiv) | 0.46 | |||
Ultra-Short Term Fixed Income Fund | 2.14 | |||
Citigroup 3-Month U.S. Treasury Bill Index (xxv) | 0.58 |
See pages 26 through 29 for all footnotes.
V
ABOUTTHE SUB-ADVISERS |
•Columbia Management Investment Advisers, LLC (“CMIA”) |
CMIA uses a combination of fundamental and quantitative analysis with risk management, including cross-correlation analysis, in identifying investment opportunities and constructing it’s portion of the Fund’s portfolio. In selecting investments, CMIA considers, among other factors: |
· overall economic and market conditions; and |
· the financial condition and management of a company, including its competitive position, the quality of its balance sheet and earnings, its future prospects, and the potential for growth and stock price appreciation. |
CMIA may sell a security when the security’s price reaches a target set by CMIA; if CMIA believes that there is deterioration in the issuer’s financial circumstances or fundamental prospects; if other investments are more attractive; or for other reasons. |
•BlackRock Financial Management, Inc. (“BlackRock”) |
BlackRock Financial Management, Inc. employs a “passive” management approach, attempting to invest in a portfolio of assets whose performance is expected to match approximately the performance of the Russell 1000® Index. The Fund will be substantially invested in securities in the Russell 1000® Index, and will invest, under normal circumstances, at least 80% of its assets in securities or other financial instruments that are components of or have economic characteristics similar to the securities included in the Russell 1000® Index. |
•Lazard Asset Management, LLC (“Lazard”) |
Lazard, an indirect, wholly-owned subsidiary of Lazard Ltd., is known for its global perspective on investing and years of experience with global, regional and domestic portfolios. With more than 300 investment personnel worldwide, Lazard offers investors of all types an array of equity, fixed income, and alternative investment solutions from its network of local offices in ten different countries. Its team-based approach to portfolio management helps Lazard to deliver robust and consistent performance over time, and strong client relationships allow them to understand how to employ their capabilities to its clients’ advantage. |
Lazard manages an all cap, concentrated strategy designed to leverage the best collection of ideas from the U.S. Equity team. It is benchmark-agnostic, seeking to outperform any broad-based market index (i.e., S&P 500® Index, Russell 1000® Index, Russell 3000® Index) by investing in companies that compound earnings and capital and by taking advantage of valuation anomalies. |
For the period of September 1, 2016, through August 31, 2017, the Sub-advisors for CGCM Large Cap Equity Fund (“Fund”) were BlackRock Financial Management, Inc. (“BlackRock”), Columbia Management Investment Advisers, LLC (“CMIA”), Lazard Asset Management, LLC (“Lazard”), Delaware Investments Fund Advisers (“Delaware”), Wedgewood Partners, Inc. (“Wedgewood”), and Lyrical Asset Management LP (“Lyrical”).
Markets Overview:
Global risk markets posted strong returns over the twelve months ending August 31, 2017. Over the period, the S&P 500® Index gained 16.2%. Additionally, volatility remained relatively muted with measures of realized and implied volatility at historic lows after spiking during the U.S. election. During this period, growth outperformed value, a sharp reversion from the prior year. Finally, interest rates rapidly increased in the back part of 2016 due to increasing sentiment regarding potential tax reform and fiscal spending. However, rates then steadily declined throughout the balance of the year, as inflation expectations continued to fall. In-line with this trade, small cap companies who are more domestic based rallied post-Election into the end of 2016, as expectations were they would be outsized beneficiaries of potential tax cuts. However, they gave up much of these gains into 2017 as Congress struggled to pass legislation that would lead the way for these reforms. For the twelve months, the Information Technology and Financials sectors posted the strongest returns, while the Energy, Real Estate, and Telecommunication Services sectors registered the weakest performance amongst the major S&P 500 Index sectors. During the period, Emerging Markets equities were the top-performing global equity market. Additionally, U.S. equity markets saw a style rotation over the period, with growth outperforming value, reversing the prior year’s move. The large-cap Russell 1000® Growth Index increased 20.6%. The Russell 1000® Index, a large-cap index, gained 16.2% for the period. The Russell 1000® Value Index, also a large-cap index, rose 11.6% for the period. The Russell 2000® Growth Index, a small-cap index, rose by 16.4% for the period. The small-cap Russell 2000® Index also gained over the period, as it increased by 14.9%. The Russell 2000® Value Index, also a small-cap index, increased 13.5% for the period.
Investment Performance:
For the period, the top contributing stocks to performance included Apple, Alphabet, Microsoft, Facebook, and Visa. Detracting from performance was Marathon Oil, Occidental Petroleum, Allergan, CVS Health, and Advanced Auto Parts. Worth noting, top contributors were predominately from the Information Technology Sector, as the markets experienced a style rotation towards growth. Additionally, of the detractors, two were from the Energy sector which lagged as Crude oil prices were unable to break out of the mid-to-high $40 range and global inventories continued to rise. CVS and AAP both lagged driven by a deceleration in fundamentals alongside the increase of the threat of disruption by e-commerce companies such as AMZN. With regards to AGN, it lagged Healthcare broadly due to idiosyncratic concerns around its pipeline, Restasis drug patent, and holdings of Teva Pharmaceutical Industries shares.
1
•Delaware Investments Fund Advisers, a member of Macquarie Investment Management Business Trust (“MIM”) |
MIM will invest under normal circumstances, at least 80% of its net assets, plus the amount of any borrowings for investment purposes, in securities of large-capitalization companies. MIM invests primarily in securities of large-capitalization companies that the Manager believes have long-term capital appreciation potential. MIM currently defines large-capitalization stocks as those with market capitalizations of $5 billion or greater at the time of purchase. Typically, the Manager seeks to select securities that it believes are undervalued in relation to their intrinsic value, as indicated by multiple factors, including the earnings and cash flow potential or the asset value of the respective issuers. The Manager also considers a company’s plans for future operations on a selective basis. The Manager may sell a security if it no longer believes the security will contribute to meeting the investment objective of the Fund. |
Wedgewood Partners, Inc. (“Wedgewood”) seeks long-term capital appreciation by investing in equity securities of large capitalization companies that Wedgewood believes have above-average growth prospects. The Fund invests primarily in common stocks. The Fund considers companies with market capitalizations in excess of $5 billion to be large capitalization companies. The Fund is non-diversified and invests in a limited number of companies, generally holding securities of approximately 20 companies. The Fund invests primarily in the securities of U.S. companies, but it may also invest outside of the U.S. Wedgewood seeks investments in market leaders with dominant products or services that are irreplaceable or lack substitutes in today’s economy. Wedgewood invests for the long-term, and expects to hold securities, in many cases, for more than 5 years. |
To end the period, the top stocks by weight in the Fund included Apple, Alphabet, Berkshire Hathaway, Cisco Systems, Microsoft, Facebook, Via, Johnson and Johnson, Amazon.com, and Coca-Cola. This drove sector overweight exposures to Information Technology, Health Care, and Consumer Staples, with underweight exposures to Real Estate, Utilities, Financials, and Industrials. Additionally, the Fund’s holdings offered a weighted dividend yield of 1.7%, slightly under that of its benchmark at 1.9%. On valuation, the Fund’s holdings were in-line with the benchmark at 19x forward P/E, with a slightly higher estimated 3-5 year EPS growth at 13.1% vs. the benchmark at 12.4%.
Over the 12 month period ending August 31, 2017, the Fund was up 14.6%, lagging the Russell 1000® Index, up 16.1%. The majority of underperformance came from stock selection, as sector allocation was a net positive. With regards to sector weightings, a 270bps overweight to Information Technology added value, as growth stocks posted strong outperformance. Additionally, an underweight exposure to Real Estate was positive given both the move that interest rates made in the period, and concerns surrounding the commercial real estate market, including malls. However, some of this was offset by negative stock selection in Consumer Discretionary, Consumer Staples, Industrials, and Healthcare. Particularly, Consumer Discretionary was impacted by increased pressure by e-commerce disruption, as mall traffic continued to decline, hurting retailers with large brick & mortar presence.
For the year ended August 31, 2017, BlackRock performed in-line with the Russell 1000® Index, which matched its passive mandate to track the index.
The portion of the Fund managed by Lazard trailed the benchmark for the period, which is consistent with the market’s style rotation given its value orientation, as growth predominately outperformed in 2017. Despite this, the portfolio held an overweight position to information technology which added value, as the sector posted some of the strongest returns. Additionally, from a sector allocation perspective, an underweight exposure to Energy, Real Estate, and Telecommunication Services contributed, as these sectors underperformed during the period. Detracting from performance was an overweight to Consumer Staples as well as an underweight exposure to Financials, which benefitted from rising rates and rising sentiment around de-regulation. Finally, stock selection was a negative in the Consumer Discretionary, Industrials, and Information Technology sectors, as the value oriented holdings were out of favor for much of the horizon. The biggest contributors to performance included Skyworks Solutions, Alphabet, Motorola Solutions, Copart, and Coca-Cola, while Advance Auto Parts, Allergan, Molson Coors Brewing, Deckers Outdoor, and Kellogg all detracted. As of period end, the portfolio sits with overweight holdings to Information Technology, Consumer Staples, and Materials, with a relative underweight exposure to Financials, Energy, and Healthcare.
The portion of the Fund managed by Wedgewood underperformed the Russell 1000® Index for the period, despite having a growth mandate. Impacting performance negatively was an underweight exposure to Financials, as well as an overweight position in Energy which lagged as oil prices were unable to break out of recent ranges, and OPEC cuts didn’t impact global inventories as much as the market expected. However, the large overweight exposure to Information Technology was a large contributor to overall performance. Additionally, having zero exposure to Telecommunication Services and Real Estate also added value. Broadly, security selection detracted, with holdings in the Consumer Discretionary, Consumer Staples, Energy, and Industrials underperforming. The largest contributors to performance included AAPL, PayPal Holdings, Priceline Group, Berkshire Hathaway, and Visa, while Schlumberger, Core Laboratories, Qualcomm, TreeHouse Foods, and Stericycle detracted. As of period end, the portfolio sits with overweight exposures to Information Technology and Consumer Discretionary, with relative underweight exposures to Healthcare, Real Estate, and Consumer Staples.
The portion of the Fund managed by Columbia posted strong performance for the period, outperforming the benchmark as its aggressive growth style was rewarded. Sector allocations were a strong contributor to performance, as an underweight exposure added value given the sector’s struggles. Additionally, an overweight exposure to Technology benefitted performance,
2
Lyrical Asset Management LP (“Lyrical”) employs a deep value style with a high quality focus. Lyrical employs a value investing philosophy and believes that a portfolio of companies with low valuations relative to their long-term normalized earnings power will outperform the overall market over time and unlike some traditional value investors who are willing to own any business at the right price, Lyrical’s philosophy is to invest only in businesses that it believes are of good quality. Lyrical invests only in the common stock of companies within its investable universe, which is the top 1,000 U.S. listed stocks by market capitalization. |
with slight offsets by an underweight to Financials which posted strong sector performance. Additionally, a sizeable overweight to Healthcare negatively impacted performance given the sector’s steep underperformance surrounding the U.S. Election, as debates on drug pricing weighed on the sector. Security selection was also positive, fully driven by selections in the Information Technology sector. The largest contributors to performance included Vertex Pharmaceuticals, NVDA Corporation, Activision Blizzard, ServiceNow, and Adobe Systems, while Acuity Brands, Intercept Pharmaceuticals, DexCom, CVS Health, and Palo Alto Networks detracted. As of period end, the portfolio sits with overweight exposures to Healthcare, Information Technology, and Consumer Discretionary, with relative underweight exposures to Financials, Industrials, and Energy.
The portion of the Fund managed by Delaware lagged the benchmark for the period, as its value style was out of favor. Underperformance stemmed from an overweight exposure to Energy and Telecommunication Services. Telecommunication Services were impacted during the year by rising rates and increased competition in pricing, as incumbents attempted to defend market share. Additionally, an underweight exposure to Information Technology was a negative. From a stock selection standpoint, holdings within the Energy and Industrials sectors outperformed their respective peers particularly given holdings within the Defense sector, while Health Care and Information Technology stocks lagged. The largest contributors to performance included Quest Diagnostics, AllState, Raytheon, Northrop Grumman, and Bank of New York Mellon, while Marathon Oil, Occidental Petroleum, CVS Health, Cardinal Health, and Express Scripts Holding detracted. As of period end, the portfolio sits with overweight exposures to Energy, Healthcare, and Telecommunication Services, with relative underweight exposures to Information Technology, and Consumer Discretionary.
The portion of the Fund managed by Lyrical outperformed the benchmark despite having a value style, with performance driven by both sector allocations and security selection. Additionally, their large holdings in Information Technology, while unusual for a value fund, helped drive performance in a growth driven market. An underweight to Consumer Staples and Real Estate added value, furthered by a large overweight to Information Technology. Detracting was an overweight exposure to Energy which continued to lag. From a security selection standpoint, only Consumer Discretionary and Industrials holdings underperformed, with strength in Energy, Materials, and Healthcare. The largest contributors to performance included Western Digital, Anthem, Broadcom, Ameriprise Financial, and Lincoln National, while Hertz, Western Union, Johnson Controls, National Oilwell Varco, and Whirlpool detracted. As of period end, the portfolio sits with overweight exposures to Financials, Information Technology, Energy, and Industrials, with relative underweight exposures to Consumer Staples, Healthcare, Real Estate, and Utilities.
3
The following graph depicts the performance of Russell 1000® Indexiv vs. the Lipper Large-Cap Core Funds Averagexiv
HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2017 LARGE CAP EQUITY FUND Comparison of $10,000 Investment in the Portfolio with the Russell 1000® Index |
The performance shown above and below represents past performance. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown above and below. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/ or expense reimbursements, the total return would have been lower. Principal value and investment returns will fluctuate and investors’ shares, when redeemed, may be worth more or less than their original cost. To obtain performance data current to the most recent month-end, please visit our website at www.morganstanley.com/cgcm.
The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
LARGE CAP EQUITY FUND Average Annual Total Returns for the Period Ended August 31, 2017† | |||||||||||||||||||||||
Without Annual Advisory Program Fee | With Annual Advisory Program Fee* | Russell 1000® Index** | Lipper Large-Cap Core Funds Average** | ||||||||||||||||||||
Since inception 11/18/1991 | 8.26 | % | 5.58 | % | 9.75 | % | 9.02 | % | |||||||||||||||
10 year | 7.62 | 4.98 | 7.73 | 6.73 | |||||||||||||||||||
5 year | 13.33 | 10.54 | 14.37 | 12.95 | |||||||||||||||||||
3 year | 8.37 | 5.71 | 9.21 | 7.78 | |||||||||||||||||||
1 year | 13.86 | 11.06 | 16.16 | 15.07 |
See pages 26 through 29 for all footnotes.
4
ABOUTTHE SUB-ADVISERS |
• Neuberger Berman Investment Advisers LLC (“Neuberger Berman”) |
Neuberger Berman employs in-depth research to identify out-of-favor small cap companies selling at a significant discount to intrinsic value, where there is a dynamic plan or event that is expected to both enhance value and narrow the price/value gap. Neuberger Berman’s analysts seek to invest when there is a true disconnect between reality and market perception – something that occurs regularly in particular types of companies. For example, we believe the market tends to demonstrate inefficiency in pricing companies with complex corporate structures since many investors will not take the time to understand them. Neuberger Berman’s valuation approach resembles the due diligence effort that a private equity firm might employ to evaluate the purchase of an entire company. Neuberger Berman’s analysts also focus on investing in businesses where management has a significant ownership stake as, in our view, such companies tend to be more aligned with shareholders’ interests. |
• Frontier Capital Management Co., LLC (“Frontier”) |
Frontier is a research-driven firm specializing in the management of growth-oriented U.S. equity portfolios. Frontier believes that growth must be purchased at a reasonable price and that fundamental, bottom-up research is the cornerstone to adding value. The firm’s philosophy since its founding in 1980 is that stock prices ultimately follow earnings growth. Frontier believes that there are three key drivers of long-term, consistent performance and look for companies that possess, improving business models; unrecognized earnings power; and attractive valuations. |
• Hahn Capital Management LLC (“Hahn”) |
The Hahn Capital Management mid-cap value strategy employs a bottom-up investment process to construct a portfolio of U.S. mid-cap companies that Hahn’s mid-cap value investment team believes possess a combination of high quality balance sheets, sustainable & durable business models, superior management and an attractive valuation relative to Hahn’s estimate of underlying intrinsic value. Protection of capital is the strategy’s primary goal with the ability to compound earnings an important secondary goal. |
For the period of September 1, 2016, through August 31, 2017, the Sub-advisors for CGCM Small-Mid Cap Equity Fund (“Fund”) were BlackRock Financial Management, Inc. (“BlackRock”), Neuberger Berman Investment Advisors LLC (“Neuberger Berman”), Frontier Capital Management Co., LLC (“Frontier”), Hahn Capital Management LLC (“Hahn”), Rutabaga Capital Management LLC (“Rutabaga”), and Westfield Capital Management Company, L.P. (“Westfield”).
Markets Overview:
Global risk markets posted strong returns over the twelve months ending August 31, 2017. Over the period, the S&P 500® Index gained 16.2%. Additionally, volatility remained relatively muted with measures of realized and implied volatility at historic lows after spiking during the U.S. election. During this period, growth outperformed value, a sharp reversion from the prior year. Finally, interest rates rapidly increased in the back part of 2016 due to increasing sentiment regarding potential tax reform and fiscal spending. However, rates then steadily declined throughout the balance of the year, as inflation expectations continued to fall. In-line with this trade, small cap companies who are more domestic based rallied post-Election into the end of 2016, as expectations were they would be outsized beneficiaries of potential tax cuts. However, they gave up some of these gains into 2017 as Congress struggled to pass legislation that would lead the way for these reforms. For the twelve months, the Information Technology and Financials sectors posted the strongest returns, while the Energy, Real Estate, and Telecommunication Services sectors registered the weakest performance amongst the major S&P 500® Index sectors. During the period, Emerging Markets equities were the top-performing global equity market. Additionally, U.S. equity markets saw a style rotation over the period, with growth outperforming value, reversing the prior year’s move. The large-cap Russell 1000® Growth Index increased 20.6%. The Russell 1000® Index, a large-cap index, gained 16.2% for the period. The Russell 1000® Value Index, also a large-cap index, rose 11.6% for the period. The Russell 2000® Growth Index, a small-cap index, rose by 16.4% for the period. The small-cap Russell 2000® Index also gained over the period, as it increased by 14.9%. The Russell 2000® Value Index, also a small-cap index, increased 13.5% for the period.
Investment Performance:
For the period, the top contributing stocks to performance included Manitowoc, TopBuild, Mercury Systems, Euronet Worldwide, and Universal Display, Detracting from performance was Uniti Group, SeaWorld Entertainment, Carrizo Oil and Gas, Maiden Holdings, and Pioneer Natural Resources. Manitowoc benefitted after spinning off its Foodservice segment in early 2016, as the backlog on the Crane business continued to strengthen. Additionally, Mercury Systems (digital signal processing computer systems), and Universal Display (semiconductors) posted strong returns as growth and Information Technology led the market. SeaWorld Entertainment was pressured as revenues and visitations to theme parks continued to fall, while Pioneer Natural Resources, an E&P was dragged down by continued Energy woes.
To end the period, the top stocks by weight in the Fund included Euronet Worldwide, SEI Investments, Hexcel, Keysight Technologies, Becton, Dickinson
5
•Rutabaga Capital Management LLC (“Rutabaga”) |
Rutabaga focuses exclusively on micro- and small capitalization stocks and looks to unearth uncommon or currently out-of-favor stocks. The firm’s analysts employ extensive bottom-up fundamental research to identify high quality companies with catalysts to increase margins and intrinsic value but are neglected or misperceived by the market. |
•Westfield Capital Management Company, L.P. (“Westfield”) |
Westfield favors investing in earnings growth stocks given a conviction that stock prices follow earnings progress and that they offer the best opportunity for superior real rates of return. Reasonably priced stocks of companies with high foreseen earnings potential are best identified through in-depth, fundamental research. It is Westfield’s belief that the small capitalization portion of the market is under-researched, and therefore less efficient, than the large capitalization sector. |
•BlackRock Financial Management, Inc. (“BlackRock”) |
BlackRock Financial Management, Inc. employs a “passive” management approach, attempting to invest in a portfolio of assets whose performance is expected to match approximately the performance of the Russell 2500® Index. The Fund will be substantially invested in securities in the Russell 2500® Index, and will invest, under normal circumstances, at least 80% of its assets in securities or other financial instruments that are components of or have economic characteristics similar to the securities included in the Russell 2500® Index. |
and Company, Mohawk Industries, Ross Stores, Close Brothers Group, Berry Global Group, and Jacobs Engineering. This drove sector overweight exposures to Healthcare, Information Technology, and Industrials, with underweight exposures to Real Estate, Energy, Consumer Staples, Utilities, and Financials. Additionally, the Fund’s holdings offered a weighted dividend yield of 1.0%, under that of its benchmark at 11.5%. On valuation, the Fund’s holdings were slightly above those of the benchmark at 20x forward P/E, with a slightly higher estimated 3-5 year EPS growth at 13.1% vs. the benchmark at 11.9%.
Over the 12 month period ending August 31, 2017, the Fund was up 15.0%, ahead of the Russell 2500® Index up 12.6%. This outperformance was driven primarily by strong sector allocations, although stock selection was also a positive. Driving the bulk of this performance was an underweight exposure to Real Estate, Energy, Consumer Staples, with overweight relative to Healthcare, Information Technology, and Industrials. Broadly, Energy was impacted by continued Crude oil pressure, while Consumer Staples were impacted by stretched valuations and margin pressures. Positively, Healthcare benefitted from a catch-up after underperforming into the Election, delayed ACA reform, and increased drug approvals / M&A. Finally, Industrials came out of recession in 2015 / 2016 and rebounded as global growth showed broad strength. This led increased demand and investment globally, particularly in China. Stock selection was positive in Real Estate, Consumer Discretionary, and Materials, offset by negatives in Information Technology and Industrials.
For the year ended August 31, 2017, BlackRock performed in-line with the Russell 2500® Index, which matched its passive mandate to track the index.
The portion of the Fund managed by Frontier outperformed the benchmark during the period as the growth tailwind that existed through 2017 aligned with their investment style. Both sector allocation and security selection drove performance, with an underweight to Real Estate (given rising rates) and Energy (given the sector’s drag as oil prices continued to be pressured) adding value. Additionally, both strong stock selection and positive sector allocations, with an overweight to Information Technology and Healthcare added to performance. The only sectors where stock selection was negative was in Consumer Discretionary, Energy, and Industrials. The largest contributors to performance included Universal Display, Incyte Corp, Lam Research, Electronics Arts, and Cadence Design Systems, while Carrizo Oil and Gas, O’Reilly Automotive, MACOM Technology Solutions, Cerner, and IMAX detracted. As of period end, the portfolio sits with overweight exposures to Information Technology, Healthcare, and Materials, with relative underweight exposures to Real Estate, Financials, Utilities, and Industrials.
The portion of the Fund managed by Hahn lagged the benchmark given value headwinds during the period. Underperformance was driven equally by sector allocations and stock selection. From a sector perspective, an overweight to Consumer Discretionary and underweight to Information Technology impacted performance. While many Consumer Discretionary names were relatively cheap from a valuation perspective, the market was pricing in structural headwinds in the sector driven by e-commerce and changing consumer preferences. However, an underweight exposure to Energy slightly offset this, as did an overweight to Industrials. Stock selection in Consumer Discretionary, Health Care, and Industrials negatively impacted performance, while Real Estate and Information Technology holdings relatively outperformed. The largest contributors to performance included Keysight Technology, Agilent Technologies, Albert Technologies, First Republic Bank, and Euronet Worldwide, while Pioneer Natural Resources, Envision Healthcare, Carter’s, Kroger, and Hanesbrands detracted. As of period end, the portfolio sits with overweight exposures to Industrials and Consumer Discretionary, with relative underweight exposures to Information Technology, Utilities, and Consumer Staples.
The portion of the fund managed by Westfield outpaced the benchmark for the period despite relative headwinds to small cap stocks throughout much of 2017. Performance was driven by an underweight exposure to Energy and Real Estate, with overweights to Healthcare and Information Technology adding value. Additionally, strong stock selection in Consumer
6
The following graph depicts the performance of Russell 2500® Indexviii vs. the Lipper Small-Cap Core Funds Averagexv
Discretionary was partially offset by negative impact in Industrials and Information Technology holdings, which relatively underperformed peers. The largest contributors to performance included ARIA, IBP, ICLR, MASI, and EWBC, while HURN, GCO, EFII, MATX, and ALDR detracted. As of period end, the portfolio sits with overweight exposures to Healthcare, Information Technology, and Consumer Discretionary, with relative underweight exposures to Financials, Real Estate, Utilities, and Energy.
The portion of the fund managed by Neuberger Berman beat the benchmark for the period offsetting headwinds to both value and small caps. Performance was largely dictated by sector allocations, as stock selection was relatively neutral. Here, an underweight exposure to Energy and Real Estate drove value, as did an overweight to Information Technology. Slightly offsetting this was an underweight exposure to Financials that benefitted from rate increases throughout the year. On security selection, holdings in Information Technology relatively underperformed peers, but was fully offset by strong selection within the Industrials sector. The largest contributors to performance included Mercury Systems, Spirit Aero Systems, AeroVironment, NRG Energy, and Itron, while TETRA Technology, Uniti Group, KEYW Holdings, Express Scripts Holdings, and Accuray, detracted. As of period end, the portfolio sits with overweight exposures to Information Technology and Industrials, with relative underweight exposures to Financials, Consumer Discretionary, and Real Estate.
The portion of the fund managed by Rutabaga outperformed the benchmark for the period. Performance was largely driven by security selection, with holdings in Materials, Energy, and Industrials all outperforming their sectors. This was partially offset by poor selection within the Financials sector. From a sector perspective, an overweight to Industrials and Healthcare added value. Negative was having no allocations to Information Technology, which offered strong returns as a sector during the period. The largest contributors to performance included TopBuild, Manitowoc, Schnitzer Steel Industries, Tivity Health, and Textainer Group, while Maiden Holdings, SeaWorld Entertainment, Greenhill, Mistras Group, and Calgon Carbon Corp detracted. As of period end, the portfolio sits with overweight exposures to Industrials and Materials, with relative underweight exposures to Information Technology, Real Estate, and Financials.
HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2017 SMALL-MID CAP EQUITY FUND Comparison of $10,000 Investment in the Portfolio with the Russell 2500® Index |
The performance shown above and below represents past performance. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown above and below. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/ or expense reimbursements, the total return would have been lower. Principal value and investment returns will fluctuate and investors’ shares, when redeemed, may be worth more or less than their original cost. To obtain performance data current to the most recent month-end, please visit our website at www.morganstanley.com/cgcm.
The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
7
SMALL-MID CAP EQUITY FUND Average Annual Total Returns for the Period Ended August 31, 2017† | |||||||||||||||||||||||
Without Annual Advisory Program Fee | With Annual Advisory Program Fee* | Russell 2500® Index** | Lipper Small-Cap Core Funds Average** | ||||||||||||||||||||
Since inception 11/18/1991 | 9.04 | % | 6.31 | % | 10.86 | % | 10.68 | % | |||||||||||||||
10 year | 6.48 | 3.84 | 7.96 | 6.85 | |||||||||||||||||||
5 year | 11.57 | 8.79 | 13.44 | 12.16 | |||||||||||||||||||
3 year | 5.12 | 2.50 | 7.08 | 6.13 | |||||||||||||||||||
1 year | 14.49 | 11.66 | 13.22 | 12.55 |
See pages 26 through 29 for all footnotes.
8
ABOUTTHE SUB-ADVISERS |
•Causeway Capital Management LLC (“Causeway”) |
Causeway’s international developed market investment philosophy is based on a long-term value strategy and the investment team applies an active, bottom-up, research-intensive approach towards stock selection.
Causeway’s investment approach seeks to identify under-priced stocks of high quality companies believed to be exhibiting superior financial strength as compared to peers. In addition to fundamental analysis, quantitative research is considered an integral part of the process and is used for screenings of investment candidates as well as risk management. Portfolio managers work as a team to make investment decisions and are supported by the firm’s dedicated fundamental and quantitative research analysts. Analysts and portfolio managers are assigned global industry-specific research responsibilities. Fundamental research is further organized into six research clusters: financials/materials, consumer, industrial/ manufacturing, energy, technology and health care. Causeway’s unconstrained, international established market value equity approach invests in a variety of market capitalization ranges, but primarily in large- and midcapitalization non-U.S. developed market companies. Causeway can also invest in small-cap issues and less developed emerging markets. Value-driven security characteristics may include low price/earnings ratio, low price/ book ratio, low price/cash flow ratio and high dividend yield, but may also include out-of-favor companies that may have high rates of growth of earnings. Sector and regional weights are byproducts of the investment process.
•BlackRock Financial Management, Inc. (“BlackRock”) BlackRock Financial Management, Inc. employs a “passive” management approach, attempting to invest in a portfolio of assets whose performance is expected to match approximately the performance of the MSCI EAFE® Index (Net). The Fund will be substantially invested in securities in the MSCI EAFE® Index (Net), and will invest, under normal circumstances, at least 80% of its assets in securities or other financial instruments that are components of or have economic characteristics similar to the securities included in the MSCI EAFE® Index (Net). |
•OppenheimerFunds, Inc. (“OFI”) |
OFI’s Global Equity team seeks to generate alpha through high conviction decisions driven by fundamental bottom-up analysis. Several secular growth themes are used as a way to focus attention on segments of the global marketplace that may grow faster than world |
For the period of September 1, 2016, through August 31, 2017, the Sub-advisors for CGCM International Equity Fund (“Fund”) were BlackRock Financial Management, Inc. (“BlackRock”), Causeway Capital Management, LLC (“Causeway”), OppenheimerFunds, Inc. (“OFI”), and Schroder Investment Management North America, Inc. (“Schroders”). Overall, the Fund outperformed its market index benchmark, the MSCI EAFE ® Index (Net), for the year ended August 31, 2017.
For the year ended August 31, 2017, BlackRock performed in line with the MSCI EAFE® Index (Net), which is in line with our expectations given the manager’s passive mandate to track the index.
The portion of the Fund managed by Causeway outperformed the Fund’s market index benchmark, the MSCI EAFE® Index (Net), for the year ended August 31, 2017. While Causeway’s value style acted as a headwind during much of the past year, the end of 2016 saw a brief resurgence in value over growth, which acted as a tailwind for Causeway. For the full year, outperformance in Japan, Spain, the United Kingdom, and the Netherlands added value relative to the index, as did Causeway’s exposure to Korea and underweight to the Japanese market. Underperformance in Australia and Germany detracted value, as did exposure to the Chinese market. From a sector perspective, Causeway added value in the Consumer Discretionary, Financials, and Information Technology sectors, while stock selection in the Real Estate, Industrials, and Energy sectors detracted value. Over the one-year period, top contributors included Akzo Nobel, Compagnie Financiere Richemont, and UniCredit, while top detractors included Aryzta, China Mobile, and KDDI. Relative to the index, Causeway held overweight allocations in the industrials, health care, and telecommunication services sectors, and underweight allocations in the information technology, financials, and real estate sectors at the end of the period. From a regional perspective, Causeway was overweight Europe, the Far East, and North American, and underweight the Pacific region.
The portion of the Fund managed by OFI underperformed the Fund’s market index benchmark, the MSCI EAFE® Index (Net), for the year ended August 31, 2017. Although the growth style of investing was in favor for a good portion of the year, OFI underperformed by a wide margin at the end of 2016 when the value style saw a resurgence relative to growth. Underperformance in the United Kingdom, the Netherlands, and Germany and exposure to Canada detracted value relative to the index, while outperformance in Japan and Switzerland added value. OFI’s large Financials underweight hurt performance, as this was one of the index’s best performing sectors. Underperformance in the Energy sector also detracted value, while outperformance in Health Care and Information Technology added value. Top contributors included Temenos Group, Infineon Technologies, and Carnival. Top detractors included Hudson’s Bay, Technicolor, and TechnipFMC. Relative to the index, OFI held overweight allocations in the Information Technology, Consumer Discretionary, and Industrials sectors, and underweight allocations in the Financials, Real Estate, and Energy sectors at the end of the period. From a regional perspective, OFI was overweight Europe, North America, and the Far East, and underweight the Pacific region.
The portion of the Fund managed by Schroders outperformed the Fund’s market index benchmark, the MSCI EAFE® Index (Net), for the year ended August 31,
9
GDP. The team’s investment process is driven by a number of very powerful, long-term economic, demographic and technological forces summarized as MANTRA®—Mass Affluence, New Technologies, Restructuring and Aging. The portfolio managers utilize a bottom-up, fundamental investment approach, and seek to invest initially in high-quality companies that are temporarily out of favor; trading at attractive valuations; and which demonstrate sustainable, above-average growth potential over a three- to five-year time horizon. The process is index agnostic, searching for companies with high growth rates and high quality balance sheets with minimal focus with respect to region or country, sector or security. |
•Schroder Investment Management North America, Inc. (“Schroders”) |
Schroders uses a bottom-up growth oriented approach towards stock selection and employs a fundamental, research driven process to identify quality growth companies with attractive medium-term growth and valuation, quality management and financial position, and a sustainable competitive advantage. Schroders’ “best ideas” portfolio blends both core and opportunistic holdings. |
The following graph depicts the performance of MSCI EAFE® Index (Net)xi vs. the Lipper International Large-Cap Core Funds Averagexvi
2017. Positive stock selection in Japan, the United Kingdom, and the Netherlands added value relative to the index, while unfavorable selection in Germany, Australia, and Sweden detracted value. Stock selection in the Real Estate and Financials sectors added value relative to the index, while underperformance in Industrials detracted value. Top contributors included Intesa Sanpaolo, Recruit Holdings, and Norsk Hydro. Top detractors included Capita, GEA Group, and Teva Pharmaceutical Industries.
Relative to the index, Schroders held overweight allocations in the Information Technology, Consumer Discretionary, and Industrials sectors, and underweight allocations in the Real Estate, Utilities, and Energy sectors at the end of the period. From a regional perspective, Schroders was overweight the Far East and North America, and underweight the Pacific region.
HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2017 INTERNATIONAL EQUITY FUND Comparison of $10,000 Investment in the Portfolio with the Morgan Stanley Capital International Europe, Australasia, Far East (MSCI EAFE®) Index (Net) and the Lipper International Large-Cap Core Funds Average |
The performance shown above and below represents past performance. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown above and below. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/ or expense reimbursements, the total return would have been lower. Principal value and investment returns will fluctuate and investors’ shares, when redeemed, may be worth more or less than their original cost. To obtain performance data current to the most recent month-end, please visit our website at www.morganstanley.com/cgcm.
The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
10
INTERNATIONAL EQUITY FUND Average Annual Total Returns for the Period Ended August 31, 2017† | |||||||||||||||||||||||
Without Annual Advisory Program Fee | With Annual Advisory Program Fee* | MSCI EAFE® Index (Net)** | Lipper International Large-Cap Core Funds Average** | ||||||||||||||||||||
Since inception 11/18/1991 | 5.45 | % | 2.84 | % | 5.13 | % | 5.32 | % | |||||||||||||||
10 year | 1.21 | (1.29 | ) | 1.62 | 1.45 | ||||||||||||||||||
5 year | 7.04 | 4.42 | 8.48 | 7.58 | |||||||||||||||||||
3 year | 2.97 | 0.45 | 2.83 | 2.31 | |||||||||||||||||||
1 year | 17.14 | 14.28 | 17.64 | 17.11 |
See pages 26 through 29 for all footnotes.
11
ABOUTTHE SUB-ADVISERS |
•Van Eck Associates Corporation (“VanEck”) |
VanEck is privately held global asset management firm founded in 1955. VanEck’s mission is to develop and offer investors forward-looking, intelligently designed investment strategies that strengthen a long-term portfolio. VanEck’s Emerging Markets Equity Strategy (“Strategy”) seeks long-term competitive risk-adjusted returns through investments that demonstrate structural growth at a reasonable price. The Strategy seeks to uncover structural growth opportunities wherever they exist within emerging markets, and employs a fundamentally driven stock selection and research process with the flexibility to invest across the market capitalization spectrum. |
•BlackRock Financial Management, Inc. (“BlackRock”) |
BlackRock Financial Management, Inc. employs a “passive” management approach, attempting to invest in a portfolio of assets whose performance is expected to match approximately the performance of the MSCI Emerging Market Index (Net). The Fund will be substantially invested in securities in the MSCI Emerging Market Index (Net), and will invest, under normal circumstances, at least 80% of its assets in securities or other financial instruments that are components of or have economic characteristics similar to the securities included in the MSCI Emerging Market Index (Net). |
•Lazard Asset Management, LLC (“Lazard”) |
Lazard, an indirect, wholly-owned subsidiary of Lazard Ltd., is known for its global perspective on investing and years of experience with global, regional and domestic portfolios. With more than 300 investment personnel worldwide, Lazard offers investors of all types an array of equity, fixed income, and alternative investment solutions from its network of local offices in ten different countries. Its team-based approach to portfolio management helps Lazard to deliver robust and consistent performance over time, and strong client relationships allow them to understand how to employ their capabilities to its clients’ advantage.
Lazard manages a relative value strategy (“Value Strategy”) and invests primarily in equity securities, principally common stocks, |
For the period of September 1, 2016, through August 31, 2017, the Sub-advisors for CGCM Emerging Markets Equity Fund (“Fund”) were BlackRock Financial Management, Inc. (“BlackRock”), Van Eck Associates Corporation (“VanEck”), and Lazard Asset Management, LLC (“Lazard”). Overall, the Fund outperformed its market index benchmark, the MSCI Emerging Markets Index (Net) for the year ended August 31, 2017.
The portion of the Fund managed by BlackRock slightly underperformed the MSCI Emerging Markets Index (Net) after accounting for management fees, which is in line with our expectations given the manager’s passive mandate to track the index.
The portion of the Fund managed by VanEck outperformed the Fund’s market index benchmark, the MSCI Emerging Markets Index (Net), for the year ended August 31, 2017. Favorable stock selection in China, Korea, Taiwan, and Brazil added value relative to the index, while selection in Mexico and Thailand was negative. From a sector perspective, stock selection in the Consumer Discretionary, Telecommunication Services, and Information Technology sectors added value, while selection in Financials and Materials detracted value. Top contributors included Alibaba, Tencent, and Samsung Electronics, while top detractors included China Resources Phoenix Healthcare Holdings, International Personal Finance, and Axis Bank. Relative to the index, VanEck held overweight allocations in the Consumer Discretionary, Health Care, and Industrials sectors, and underweight allocations in the Materials, Energy, and Information Technology sectors at the end of the period. From a regional perspective, VanEck was overweight the Pacific and Europe, and underweight the Far East.
The portion of the Fund managed by Lazard underperformed the Fund’s market index benchmark, the MSCI Emerging Markets Index (Net), for the year ended August 31, 2017. Unfavorable stock selection in India, China, and Brazil detracted value relative to the index, as did VanEck’s underweight in China. Positive stock selection in Korea and Taiwan added value. From a sector perspective, negative stock selection in the Information Technology, Materials, and Consumer Discretionary sectors detracted value, while positive selection in Industrials, Utilities, and Energy added value. Top contributors included Samsung Electronics, SK Hynix, and Banco do Brasil, while top detractors included Cielo, Axis Bank, and China Mobile. Relative to the index, Lazard held overweight allocations in the Telecommunication Services, Financials, and Energy sectors, and underweight allocations in the Materials, Consumer Discretionary, and Information Technology sectors at the end of the period. From a regional perspective, Lazard was overweight EMEA region and Latin America and underweight the Far East.
12
of non-U.S. companies whose principal activities are located in emerging or developing market countries. In the Value Strategy, assets are invested in companies that are believed to be undervalued based on their earnings, cash flow or asset values. Lazard’s approach consists of an analytical framework, accounting validation, fundamental analysis and portfolio construction parameters and its selection process focuses on growth and considers the sustainability of growth and the tradeoff between valuation and growth. |
The following graph depicts the performance of MSCI Emerging Markets Index (Net)x vs. the Lipper Emerging Markets Funds Averagexvii
HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2017 EMERGING MARKETS EQUITY FUND Comparison of $10,000 Investment in the Portfolio with the MSCI Emerging Markets Index (Net) |
The performance shown above and below represents past performance. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown above and below. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/ or expense reimbursements, the total return would have been lower. Principal value and investment returns will fluctuate and investors’ shares, when redeemed, may be worth more or less than their original cost. To obtain performance data current to the most recent month-end, please visit our website at www.morganstanley.com/cgcm.
The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
EMERGING MARKETS EQUITY FUND Average Annual Total Returns for the Period Ended August 31, 2017† | |||||||||||||||||||||||
Without Annual Advisory Program Fee | With Annual Advisory Program Fee* | MSCI Emerging Markets Index (Net)** | Lipper Emerging Markets Funds Average** | ||||||||||||||||||||
Since inception 4/20/1994 | 5.17 | % | 2.56 | % | — | % | 6.16 | % | |||||||||||||||
10 year | 1.41 | (1.08 | ) | 2.43 | 2.09 | ||||||||||||||||||
5 year | 4.92 | 2.35 | 5.30 | 5.15 | |||||||||||||||||||
3 year | 3.18 | 0.68 | 2.38 | 1.74 | |||||||||||||||||||
1 year | 25.48 | 22.49 | 24.53 | 21.88 |
See pages 26 through 29 for all footnotes.
13
ABOUTTHE SUB-ADVISERS |
•Metropolitan West Asset Management LLC (“MetWest”) |
MetWest seeks to achieve consistent outperformance through the measured and diversified application of five fixed income management strategies, including: (i) duration management; (ii) yield curve positioning; (iii) sector allocation; (iv) security selection; and (v) opportunistic execution. Predicated on a long-term economic outlook, MetWest employs a value-oriented approach to managing fixed income that recognizes the periodic inefficient nature of over-the-counter markets and the mean-reverting characteristics of the investable universe. |
•Western Asset Management Company (“Western”) |
Western combines traditional analysis with innovative technology applied to all sectors of the market. Western believes inefficiencies exist in the fixed-income market and attempts to add incremental value by exploiting these inefficiencies across all eligible market sectors. The key areas of focus are: (i) sector and sub-sector allocation; (ii) issue selection; (iii) duration; and (iv) term structure. |
•BlackRock Financial Management, Inc. (“BlackRock”) |
BlackRock’s Customized Core strategy employs a fundamental, diversified, relative-value approach that seeks alpha by strategically allocating among three alpha sources - macro strategies, sector allocation and security selection - based on best and highest information ratio ideas, and aims to provide superior long-term performance relative to the benchmark index by creating a diversified portfolio of investment grade securities. A disciplined and risk-budgeted risk management framework which consists of determining interest rate risk, yield curve risk, cash flow risk, credit risk and liquidity risk of all securities. |
For the period of September 1, 2016, through August 31, 2017, the Sub-advisors for CGCM Core Fixed Income Fund (“Fund”) were Metropolitan West Asset Management, LLC (“MetWest”), Western Asset Management Company (“Western”), and BlackRock Financial Management, Inc. (“BlackRock”). Overall, the Fund outperformed its market benchmark, the Bloomberg Barclays U.S. Aggregate BondTM Index, over the one-year period.
The portion of the Fund managed by MetWest outperformed the Fund’s market index benchmark, the Bloomberg Barclays U.S. Aggregate BondTM Index, for the year ended August 31, 2017. MetWest benefitted from positive sector selection and its exposure to high yield and positive duration positioning, while negative security selection detracted from returns.
MetWest remains somewhat cautious with respect to interest rates and credit risk, particularly against a backdrop of increasing political uncertainty, abnormally low market-implied volatility, and a large divergence between macroeconomic growth and overall investor sentiment. MetWest is also concerned about the aging of the credit cycle and the potential for record-high leverage across both investment grade and high yield credit in the U.S. to unwind in a dramatic and likely painful fashion. At the same time, MetWest expects to see ongoing upward pressure on interest rates as the Fed continues its interest rate normalization process. As a result, MetWest maintained the duration of the Fund relatively short versus that of the Index and, from a sector standpoint, minimized credit risk with higher quality defensive exposure among corporate credit. MetWest continues to have an emphasis on securitized products that offer opportunities for attractive risk-adjusted returns and positioning favors high quality, more senior positions. Commercial MBS exposure is skewed towards agency-backed issues as well as seasoned non-agency bonds at the top of the capital structure and single asset single borrower deals, while the ABS overweight is focused on high quality non-traditional collateral such as government guaranteed student loan receivables. Finally, non-agency MBS holdings emphasize issues with better relative quality and near term cash flows, while agency MBS exposure is in line with the Index.
The portion of the Fund managed by Western outperformed the Fund’s market index benchmark, the Bloomberg Barclays U.S. Aggregate BondTM Index, for the year ended August 31, 2017. Positive sector and security selection contributed positively to Western’s return over the one-year period. Exposure to high yield was especially beneficial. Duration positioning was moderately negative and detracted from returns.
Western continues to believe that the process of global economic mending, which will lead to inflation bottoming and turning up, will be a long-term process that will take many years and requite continuing monetary and potentially fiscal support. As a result, Western continues to prefer spread sectors over U.S. Treasuries or sovereign bonds.
The portion of the Fund managed by BlackRock underperformed the Fund’s market index benchmark, the Bloomberg Barclays U.S. Aggregate BondTM Index, for the year ended August 31, 2017. BlackRock befitted from positive security and sector selection, including an overweight to investment grade securities, but modestly underperformed the index on a net basis.
14
The following graph depicts the performance of Bloomberg Barclays U.S. Aggregate BondTM Indexxii vs. the Lipper Core Bond Funds Averagexviii
BlackRock narrowed its underweight exposure to U.S. duration over the period. BlackRock believes that rich valuations in credit heighten the importance of security selection within investment grade and high yield and the firm continues to favor idiosyncratic stories in credit over index exposure. BlackRock also continues to favor securitized assets for yield, as it believes a strong technical backdrop will support the market.
HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2017 CORE FIXED INCOME FUND Comparison of $10,000 Investment in the Portfolio with the Bloomberg Barclays U.S. Aggregate Bond™ Index and the |
The performance shown above and below represents past performance. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown above and below. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/ or expense reimbursements, the total return would have been lower. Principal value and investment returns will fluctuate and investors’ shares, when redeemed, may be worth more or less than their original cost. To obtain performance data current to the most recent month-end, please visit our website at www.morganstanley.com/cgcm.
The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
CORE FIXED INCOME FUND Average Annual Total Returns for the Period Ended August 31, 2017† | |||||||||||||||||||||||
Without Annual Advisory Program Fee | With Annual Advisory Program Fee* | Bloomberg Barclays U.S. Aggregate Bond™ Index** | Lipper Core Bond Funds Average** | ||||||||||||||||||||
Since inception 11/18/1991 | 5.47 | % | 2.85 | % | 5.71 | % | 5.63 | % | |||||||||||||||
10 year | 5.14 | 2.56 | 4.40 | 4.11 | |||||||||||||||||||
5 year | 2.57 | 0.04 | 2.19 | 2.17 | |||||||||||||||||||
3 year | 2.73 | 0.19 | 2.64 | 2.32 | |||||||||||||||||||
1 year | 1.07 | (1.43 | ) | 0.49 | 0.88 |
See pages 26 through 29 for all footnotes.
15
ABOUTTHE SUB-ADVISERS |
•Eaton Vance Management (“EVM”) |
EVM monitors the credit quality of securities held by the Fund and other securities available to the Fund. Although EVM considers security ratings when making investment decisions, it performs its own credit and investment analysis utilizing various methodologies including “bottom up/top down” analysis and consideration of macroeconomic and technical factors, and does not rely primarily on the ratings assigned by the rating services. EVM attempts to improve yield and preserve and enhance principal value through timely trading. EVM also considers the relative value of securities in the marketplace in making investment decisions. |
•Western Asset Management Company (“Western”) |
Western combines traditional analysis with innovative technology applied to all sectors of the market. Western believes inefficiencies exist in the fixed-income market and attempts to add incremental value by exploiting these inefficiencies across all eligible market sectors. The key areas of focus are: (i) sector and sub-sector allocation; (ii) issue selection; (iii) duration; and (iv) term structure. |
For the period of September 1, 2016, through August 31, 2017, the Sub-advisors for CGCM High Yield Fund (“Fund”) were PENN Capital Management Co., Inc. (“PENN Capital”), Eaton Vance Management (“Eaton Vance”), and Western Asset Management Company (“Western”). PENN Capital ceased managing assets for the Fund and Eaton Vance began managing assets for the Fund during this period. The Fund underperformed its market benchmark, the Bloomberg Barclays U.S. Corporate High Yield Bond Index, over the one-year period.
The portion of the Fund managed by Eaton Vance underperformed its market benchmark, the Bloomberg Barclays U.S. Corporate High Yield Bond Index, from January 1, 2017 through August 31, 2017. While sector selection was positive over this period, security selection was modestly negative. At the end of the period, Eaton Vance was overweight the Technology and Consumer/Tobacco sectors and underweight the Finance and Cable-Media sectors.
Eaton Vance believes that while fundamentals have continued to modestly improve and remain adequately healthy to be supportive of high yield given expectations for modest growth in the U.S. economy, near full employment, and methodical increases in interest rates, potential headwinds remain. Although the backdrop for high yield bonds remains supportive, volatility could be elevated, given uncertainty over Congress’ ability to deliver on tax reform and fiscal stimulus. Disappointing progress in Washington, an increase in tensions in either the Middle East or Korean Peninsula, or weaker projected corporate earnings reports could cause a stock market decline that could pressure high yield bond returns. At the same time, the continuing prospect of low global yields should continue to support the search for yield, leading to additional demand for U.S. credit from abroad. Additionally, Eaton Vance anticipates a decline in the level of new issuance moving forward and although high yield bond valuations remained full at the end of the period, on a risk-adjusted basis, Eaton Vance believes the carry in high yield remains attractive relative to many alternatives.
The portion of the Fund managed by Western underperformed its market benchmark, the Bloomberg Barclays U.S. Corporate High Yield Bond Index, over the one-year period. Negative sector selection contributed to Western’s underperformance, while security selection was positive. At the end of the period, Western was overweight the Consumer/Tobacco, Building, and Food Processing sectors and underweight the Technology, Cable-Media, and Chemical sectors.
According to Western, risk premiums for the high-yield market have been in a fairly tight range of 344 to 406 basis points year-to-date and ended August at 380 basis points, just wide of the year’s average. Volatility has remained subdued despite historic events including Donald Trump taking office, the assignment of a special prosecutor to investigate Russian election influence, North Korean sabre rattling, two Federal Reserve rate hikes, and contentious Brexit negotiations. Each of these events in and of themselves had the potential to derail markets and high-yield in particular, but haven’t. In the absence of a central bank policy mistake or an extreme provocation by North Korea, it’s reasonable to assume that markets will remain driven by fundamentals. Western Asset’s view is that the Fed will continue down the path of normalizing rates, which could include a further rate hike in
16
The following graph depicts the performance of Bloomberg Barclays U.S. Corporate High-Yield Bond Indexxiii vs. the Lipper High-Yield Funds Averagexix
December. That stated, Western is also of the view that rates will remain within the year’s ranges as inflation readings remain below the Federal Reserve’s stated target.
Western believes that liquidity is supportive with solid interest coverage metrics, cash levels, and a minimal maturity schedule over the next one to two years, and that the broad market, including rentals, building materials, and home builders have improved their financial metrics year-over-year. While not all is rosy for the high-yield market, Western believes it offers the potential for excess returns through the end of the year. From a portfolio-positioning perspective, Western has continued to reduce positions in select CCC-rated issues while focusing such exposure in credits with improving company fundamentals and attractive relative valuations compared to BB/B rated categories. Industry-wise, Western continues to hold exposure to metals and mining and midstream companies as these are segments in which they see active deleveraging and earnings growth. Western believes it is imperative that intense vetting of fundamentals (leverage, interest coverage, liquidity/free cash flow generation, EBITDA margins) for each offering before relative value and total return prospects enter the credit-selection process. Western maintains its stance of being extremely selective in participating in new deals and excluding those with weak covenant packages or no clear path to deleveraging or upgrade potential.
HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2017 HIGH YIELD FUND Comparison of $10,000 Investment in the Portfolio with the Bloomberg Barclays U.S. Corporate High Yield Bond Index |
The performance shown above and below represents past performance. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown above and below. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/ or expense reimbursements, the total return would have been lower. Principal value and investment returns will fluctuate and investors’ shares, when redeemed, may be worth more or less than their original cost. To obtain performance data current to the most recent month-end, please visit our website at www.morganstanley.com/cgcm.
The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
HIGH YIELD FUND Average Annual Total Returns for the Period Ended August 31, 2017† | |||||||||||||||||||||||
Without Annual Advisory Program Fee | With Annual Advisory Program Fee* | Bloomberg Barclays U.S. Corporate High Yield Bond Index** | Lipper High Yield Funds Average** | ||||||||||||||||||||
Since inception 7/13/1998 | 4.55 | % | 1.96 | % | 6.75 | % | 5.74 | % | |||||||||||||||
10 year | 6.36 | 3.76 | 8.02 | 6.37 | |||||||||||||||||||
5 year | 4.65 | 2.08 | 6.47 | 5.31 | |||||||||||||||||||
3 year | 1.90 | (0.60 | ) | 4.77 | 3.33 | ||||||||||||||||||
1 year | 8.38 | 5.72 | 8.63 | 7.45 |
See pages 26 through 29 for all footnotes.
17
International Fixed Income Fund
ABOUTTHE SUB-ADVISER |
• Pacific Investment Management Company LLC (“PIMCO”) |
PIMCO is a leading global investment management firm, with offices in 11 countries throughout North America, Europe and Asia. Founded in 1971, PIMCO offers a wide range of innovative solutions to help millions of investors worldwide meet their needs. Our goal is to provide attractive returns while maintaining a strong culture of risk management and long-term discipline. PIMCO’s investment philosophy revolves around the principle of diversification. PIMCO believes that no single risk should dominate returns. PIMCO seeks to add value through the use of “top-down” strategies such as our exposure to interest rates, or duration, changing volatility, yield curve positioning and sector rotation. PIMCO also employs “bottom-up” strategies involving analysis and selection of specific securities. |
For the period of September 1, 2016, through August 31, 2017, the Sub-Advisor for CGCM International Fixed Income Fund (“Fund”) was Pacific Investment Management Company LLC (“PIMCO”).
The Fund outperformed its benchmark, the Citigroup Non-USD World Government Bond Index — Hedged, for the one-year period ended August 31, 2017 (before fees). Out of benchmark exposure to U.S. duration during the period detracted from performance as U.S. rates rose across the curve. However, this was more than offset by yield curve positioning with a focus on intermediate rates, as intermediate yields outperformed long and short rates. Overall, non-U.S. developed markets interest rate positioning was positive for performance. However, short exposure to Brazilian front-end rates detracted from performance as front-end rates fell during the period. Additionally, an overweight to long-end U.K. rates detracted from performance as U.K. yields rose during the period. Spread strategies overall were positive for performance during the period. Exposure to non-Agency mortgages and European residential mortgage-backed securities added to performance as these securities benefitted from positive technicals and strong fundamentals. An allocation to investment grade and high yield credit added to performance as credit spreads tightened during the period. A modest allocation to U.S. TIPS added to performance as inflation expectations increased during the period. Lastly, currency strategies were positive for performance. Exposure to the Brazilian real and Mexican peso added to returns as these currencies appreciated relative to the U.S. dollar during the period.
18
The following graph depicts the performance of Citigroup Non-USD World Government Bond Index (USD) - Hedgedxx vs. the Citigroup Non-USD World Government Bond Index (USD) - Unhedgedxxviii and the Lipper International Income Funds Averagexxi
HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2017 INTERNATIONAL FIXED INCOME FUND Comparison of $10,000 Investment in the Portfolio with the Citigroup Non-USD World Government Bond Index (USD) |
The performance shown above and below represents past performance. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown above and below. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/ or expense reimbursements, the total return would have been lower. Principal value and investment returns will fluctuate and investors’ shares, when redeemed, may be worth more or less than their original cost. To obtain performance data current to the most recent month-end, please visit our website at www.morganstanley.com/cgcm.
The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
INTERNATIONAL FIXED INCOME FUND Average Annual Total Returns for the Period Ended August 31, 2017† | ||||||||||||||||||||||||||||
Without Annual Advisory Program Fee | With Annual Advisory Program Fee* | Citigroup Non-USD WGBI (USD) - Hedged** | Citigroup Non-USD WGBI (USD) - Unhedged** | Lipper International Income Funds Average** | ||||||||||||||||||||||||
Since inception 11/18/1991 | 5.86 | % | 3.23 | % | 6.09 | % | 5.40 | % | 5.00 | % | ||||||||||||||||||
10 year | 5.14 | 2.64 | 4.37 | 3.11 | 4.51 | |||||||||||||||||||||||
5 year | 3.43 | 0.88 | 4.18 | -0.43 | 1.32 | |||||||||||||||||||||||
3 year | 3.58 | 1.02 | 3.71 | -0.57 | 0.52 | |||||||||||||||||||||||
1 year | 0.98 | (1.53 | ) | -0.79 | -0.76 | 3.22 |
See pages 26 through 29 for all footnotes.
19
ABOUTTHE SUB-ADVISER |
• McDonnell Investment Management, LLC (“McDonnell”) |
McDonnell employs a value-added approach to active municipal bond management utilizing a team oriented philosophy. This approach attempts to maximize after-tax total returns while reducing the volatility in relative rates of return. By limiting dependence on market timing and tightly controlling duration, McDonnell reduces the portfolio’s exposure to interest rate relative risk. McDonnell utilizes extensive internal research to identify relative value opportunities among sectors and securities and to control credit risk. Additionally, McDonnell seeks to exploit yield curve anomalies through quantitative analysis of historical spreads and future expectations. |
For the period September 1, 2016, through August 31, 2017, the Sub-Advisor for CGCM Municipal Bond Fund (“Fund”) was McDonnell Investment Management, LLC (“McDonnell”).
U.S. rates rose modestly across the yield curve as investors weighed the potential fiscal and economic consequences of the new administration’s policy agenda and prospects for implementation. Market reaction was fierce in the immediate wake of the election of single-party government with municipal yields quickly rising by more than 100 basis points, but the gradual reckoning of rhetoric versus reality tempered the response and yields ended the period 25 to 60 basis points above the lows reached in August of 2016. Away from the sharp response to the election, the municipal market continued to be characterized by strong investor demand and relatively muted new issue supply. The spate of Refunding Issuance that boosted last year’s issuance slowed sharply leaving investors a slimmer menu of available options for portfolio investment and rebalancing. Limited supply contributed to an overall environment of quality spread compression resulting in lower quality segments of the market generating the strongest relative returns. Investor appetite for yield remains a dominant theme across both the municipal market and domestic fixed income markets broadly.
• | Municipal yields rose modestly and the yield curve steepened. |
• | Quality and sector spreads compressed as investor ‘reach-for-yield’ remained a feature of the municipal market. |
• | Municipal issuance declined from last year’s record pace as Refunding Issuance slowed sharply. |
During the fiscal period ended August 31, 2017 the Fund registered twelve-month performance of 0.53% and underperformed the Bloomberg Barclays U.S. Municipal Bond Index return of 0.88%. Yield curve posture with an underweight to the front-end of the curve hindered performance as maturities 10 years and shorter produced the best performance. Security selection, particularly within the Local General Obligation, Hospital and Transportation categories, contributed positively to performance. From a quality perspective, BBB-rated securities, in general, significantly outperformed higher quality for the period. The Fund was positioned with an underweight to the BBB category which detracted from performance, however an overweight to single A rated securities was beneficial.
Federal Reserve policymakers executed a series of three 1⁄4 point rate hikes over the past year and are expected to initiate balance sheet reduction efforts over the near-term. The Fed has outlined the composition and expected pace of reduction, but refrained from indicating the timing of when it was likely to occur. Committee members and market participants remain divided on the issue of additional policy rate boosts. The Fed’s dual mandate is on track with respect to its goal of full employment (4.4% unemployment) but remains below its price objective of 2% inflation (1.4% PCE). Inflation percolated higher briefly at the beginning of year but failed to stabilize despite steady growth and strong labor market conditions. At issue is whether the Fed should pause its interest rate normalization effort or assume the current softness in pricing is temporary, particularly against the backdrop of a weak dollar, and continue apace with another 1⁄4 point boost in December. We continue
20
The following graph depicts the performance of Bloomberg Barclays U.S. Municipal Bond Indexxxii vs. the Lipper General & Insured Municipal Debt Funds Averagexxiii
to lean toward the direction of another move in December. Economic fundamentals remain on solid footing and buoyant financial market conditions add to the generally benign monetary conditions present in the current environment. We expect the most likely path going forward remains one of steady growth accompanied by low inflation. Against that backdrop, it is difficult to envision rates rising significantly on the longer-end of the curve irrespective of potential policy action by the Federal Reserve. Fixed income investors continue to face pressure to generate portfolio income, and credit and curve extension remain the path of least resistance.
HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2017 MUNICIPAL BOND FUND Comparison of $10,000 Investment in the Portfolio with the Bloomberg Barclays U.S. Municipal Bond Index |
The performance shown above and below represents past performance. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown above and below. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/ or expense reimbursements, the total return would have been lower. Principal value and investment returns will fluctuate and investors’ shares, when redeemed, may be worth more or less than their original cost. To obtain performance data current to the most recent month-end, please visit our website at www.morganstanley.com/cgcm.
The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
MUNICIPAL BOND FUND Average Annual Total Returns for the Period Ended August 31, 2017† | |||||||||||||||||||||||
Without Annual Advisory Program Fee | With Annual Advisory Program Fee* | Bloomberg Barclays U.S. Municipal Bond Index** | Lipper General & Insured Municipal Debt Funds Average** | ||||||||||||||||||||
Since inception 11/18/1991 | 4.77 | % | 2.17 | % | 5.58 | % | 5.09 | % | |||||||||||||||
10 year | 4.07 | 1.50 | 4.73 | 4.14 | |||||||||||||||||||
5 year | 2.59 | 0.06 | 3.23 | 3.00 | |||||||||||||||||||
3 year | 2.71 | 0.18 | 3.40 | 3.16 | |||||||||||||||||||
1 year | (0.22 | ) | (2.69 | ) | 0.88 | 0.32 |
See pages 26 through 29 for all footnotes.
21
Inflation-Linked Fixed Income Fund
ABOUTTHE SUB-ADVISER |
• Pacific Investment Management Company LLC (“PIMCO”) |
PIMCO is a leading global investment management firm, with offices in 11 countries throughout North America, Europe and Asia. Founded in 1971, PIMCO offers a wide range of innovative solutions to help millions of investors worldwide meet their needs. Our goal is to provide attractive returns while maintaining a strong culture of risk management and long-term discipline. PIMCO’s investment philosophy revolves around the principle of diversification. PIMCO believes that no single risk should dominate returns. PIMCO seeks to add value through the use of “top-down” strategies such as our exposure to interest rates, or duration, changing volatility, yield curve positioning and sector rotation. PIMCO also employs “bottom-up” strategies involving analysis and selection of specific securities. |
For the period of September 1, 2016, through August 31, 2017, the Sub-Advisor for CGCM Inflation-Linked Fixed Income Fund (“Fund”) was Pacific Investment Management Company LLC (“PIMCO”).
The Fund outperformed its benchmark, the Bloomberg Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index, for the one-year period ended August 31, 2017. An underweight to U.S. nominal duration added to performance as U.S. yields rose across the curve. An overweight to U.S. breakeven inflation added to performance as breakeven inflation levels rose during the period; this was partially offset by an overweight to U.S. real duration as real rates rose. Short exposure to long-dated U.K. breakevens modestly detracted from performance as long-dated breakeven inflation increased during the period. Holdings of non-Agency mortgages and structured mortgages added to performance as these securities benefitted from strong demand and improving housing market fundamentals. Exposure to investment grade and high yield credit, especially within financials, contributed to performance as these sectors outperformed like-duration Treasuries during the period. Short exposure to the Brazilian real at the start of the period detracted from returns as the real appreciated versus the U.S. dollar.
22
The following graph depicts the performance of Bloomberg Barclays U.S. Treasury Inflation Protected Securities (TIPS) Indexxxiv vs. the Lipper Inflation Protected Bond Funds Averagexxvi
HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2017 INFLATION-LINKED FIXED INCOME FUND Comparison of $10,000 Investment in the Portfolio with the Bloomberg Barclays U.S. Treasury Inflation Protected |
The performance shown above and below represents past performance. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown above and below. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/ or expense reimbursements, the total return would have been lower. Principal value and investment returns will fluctuate and investors’ shares, when redeemed, may be worth more or less than their original cost. To obtain performance data current to the most recent month-end, please visit our website at www.morganstanley.com/cgcm.
The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
INFLATION-LINKED FIXED INCOME FUND Average Annual Total Returns for the Period Ended August 31, 2017† | |||||||||||||||||||||||
Without Annual Advisory Program Fee | With Annual Advisory Program Fee* | Bloomberg Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index** | Lipper Inflation Protected Bond Funds Average** | ||||||||||||||||||||
Since inception 3/9/2016 | 3.79 | % | 1.20 | % | 2.94 | % | 3.46 | % | |||||||||||||||
10 year | N/A | N/A | 4.11 | 3.18 | |||||||||||||||||||
5 year | N/A | N/A | 0.25 | (0.15 | ) | ||||||||||||||||||
3 year | N/A | N/A | 0.98 | 0.31 | |||||||||||||||||||
1 year | 1.05 | (1.44 | ) | 0.46 | 0.99 |
See pages 26 through 29 for all footnotes.
23
Ultra-Short Term Fixed Income Fund
ABOUTTHE SUB-ADVISER |
•Pacific Investment Management Company LLC (“PIMCO”) |
PIMCO is a leading global investment management firm, with offices in 11 countries throughout North America, Europe and Asia. Founded in 1971, PIMCO offers a wide range of innovative solutions to help millions of investors worldwide meet their needs. Our goal is to provide attractive returns while maintaining a strong culture of risk management and long-term discipline. PIMCO’s investment philosophy revolves around the principle of diversification. PIMCO believes that no single risk should dominate returns. PIMCO seeks to add value through the use of “top-down” strategies such as our exposure to interest rates, or duration, changing volatility, yield curve positioning and sector rotation. PIMCO also employs “bottom-up” strategies involving analysis and selection of specific securities. |
For the period of September 1, 2016, through August 31, 2017, the Sub-Advisor for CGCM Ultra-Short Fixed Income Fund (“Fund”) was Pacific Investment Management LLC (“PIMCO”).
The Fund outperformed its benchmark, the Citigroup 3-month U.S. Treasury Bill Index, for the one-year period ended August 31, 2017. Overall interest rate strategies were positive for performance including short exposure to U.S. duration as U.S. Treasury yields rose during the period. Overall spread sector strategies were positive for performance. An allocation to investment grade credit and positive security selection within financials and industrials added to performance. Holdings of non-Agency mortgages and commercial mortgage-backed securities were positive for performance as these securities benefitted from strong demand and an improving housing market. A modest allocation to U.S. TIPS added to performance as inflation expectations increased during the period. Currency strategies modestly added to performance including a long dollar bias versus the euro at the start of the period as the euro depreciated relative to the U.S. dollar during the time period.
24
The following graph depicts the performance of Citigroup 3-Month U.S. Treasury Bill Indexxxv vs. the Lipper Ultra-Short Obligations Funds Averagexxvii
HISTORICAL PERFORMANCE FOR THE TEN-YEAR PERIOD ENDED AUGUST 31, 2017 ULTRA-SHORT TERM FIXED INCOME FUND Comparison of $10,000 Investment in the Portfolio with the Citigroup 3-Month U.S. Treasury Bill Index vs. the Lipper |
The performance shown above and below represents past performance. Past performance is no guarantee of future results and current performance may be higher or lower than the performance shown above and below. Performance figures may reflect voluntary fee waivers and/or expense reimbursements. In the absence of voluntary fee waivers and/ or expense reimbursements, the total return would have been lower. Principal value and investment returns will fluctuate and investors’ shares, when redeemed, may be worth more or less than their original cost. To obtain performance data current to the most recent month-end, please visit our website at www.morganstanley.com/cgcm.
The graph above and returns shown below do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
ULTRA-SHORT TERM FIXED INCOME FUND Average Annual Total Returns for the Period Ended August 31, 2017† | |||||||||||||||||||||||
Without Annual Advisory Program Fee | With Annual Advisory Program Fee* | Citigroup 3-Month U.S. Treasury Bill Index** | Lipper Ultra-Short Obligations Funds Average** | ||||||||||||||||||||
Since inception 3/9/2016 | 2.04 | % | -0.50 | % | 0.48 | % | 1.40 | % | |||||||||||||||
10 year | N/A | N/A | 0.44 | 1.24 | |||||||||||||||||||
5 year | N/A | N/A | 0.18 | 0.66 | |||||||||||||||||||
3 year | N/A | N/A | 0.26 | 0.71 | |||||||||||||||||||
1 year | 2.14 | (0.38 | ) | 0.58 | 1.22 |
See pages 26 through 29 for all footnotes.
25
FOOTNOTES
† | All figures represent past performance and are not a guarantee of future results. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. The returns shown do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemptions of fund shares. Performance figures may reflect fee waivers and/or expense reimbursements. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. To obtain performance data current to the most recent month-end, please visit our website at https://www.morganstanley.com/cgcm. |
* | The Funds are available only to investors participating in Morgan Stanley approved advisory programs. These programs charge an annual fee, which may be up to 2.50%. |
** | Inception returns of the market indices and Lipper investment category averages are calculated from the end of the inception month. |
i. | The S&P 500® Index tracks the performance of 500 widely held, large-capitalization U.S. stocks. Please note that an investor cannot invest directly in an index. |
ii. | The Russell 1000® Growth Index measures the performance of those Russell 1000® Index companies with higher price-to-book ratios and higher forecasted growth values. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index. |
iii. | The Russell 1000® Value Index measures the performance of those Russell 1000® Index companies with lower price-to-book ratios and lower forecasted growth values. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index. |
iv. | The Russell 1000® Index measures the performance of the 1,000 largest U.S. companies based on the market capitalization. Please note that an investor cannot invest directly in an index. |
v. | The Russell 2000® Growth Index measures the performance of those Russell 2000® Index companies with higher price-to-book ratios and higher forecasted growth values. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index. |
vi. | The Russell 2000® Value Index measures the performance of those Russell 2000® Index companies with lower price-to-book ratios and lower forecasted growth values. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index. |
vii. | The Russell 2000® Index measures the performance of the 2,000 smallest companies in the Russell 3000® Index. Please note that an investor cannot invest directly in an index. |
viii. | The Russell 2500® Index includes the smallest 2,500 U.S. companies out of the Russell 3000® Index universe. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index. |
ix. | The MSCI All Country World Index is a free float-adjusted market capitalization index that is designated to measure equity market performance in the global developed emerging markets. Please note that an investor cannot invest directly in an index. |
x. | The MSCI Emerging Markets Index (Net) is a free float-adjusted market capitalization index that is designed to measure equity market performance of emerging markets. The MSCI Emerging Markets Index (Net) consists of the following 21 emerging market country indexes: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, South Korea, Malaysia, Mexico, Peru, Philippines, Poland, Russia, South Africa, Taiwan, Thailand, and Turkey. Net total return indexes reinvest dividends after the deduction of withholding taxes, using (for international indexes) a tax rate applicable to nonresident institutional investors who do not benefit from double taxation |
26
treaties. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index. |
xi. | The Morgan Stanley Capital International Europe, Australasia, Far East (MSCI EAFE®) Index (Net) is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the U.S. & Canada. The MSCI EAFE® Index consists of the following 21 developed market country indexes: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, and the United Kingdom. Net total return indexes reinvest dividends after the deduction of withholding taxes, using (for international indexes) a tax rate applicable to non-resident institutional investors who do not benefit from double taxation treaties. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index. |
xii. | The Bloomberg Barclays U.S. Aggregate BondTM Index is a broad-based index that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related, and corporate securities, MBS (agency fixed-rate and hybrid ARM pass-throughs), ABS, and CMBS. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index. |
xiii. | The Bloomberg Barclays U.S. Corporate High Yield Bond Index measures the market of U.S. dollar-denominated, non-investment grade, fixed rate, taxable corporate bonds. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index. |
xiv. | The Lipper Large-Cap Core Funds Average are equally weighted total returns using all the active funds available within the category of funds that, by portfolio practice, invest at least 75% of their equity assets in companies with market capitalizations (on a three-year weighted basis) greater than 300% of the dollar weighted median market capitalization of the middle 1,000 securities of the S&P SuperComposite 1500® Index. Large-cap core funds have more latitude in the companies in which they invest. These funds typically have an average price-to-earnings ratio, price-to-book ratio, and three-year sales-per-share growth value, compared to the S&P 500® Index. The total return of the Lipper Funds Average does not include the effect of sales charges. Please note that an investor cannot invest directly in a mutual funds classification average or an index. |
xv. | The Lipper Small-Cap Core Funds Average are equally weighted total returns using all the active funds available within the category of funds that, by portfolio practice, invest at least 75% of their equity assets in companies with market capitalizations (on a three-year weighted basis) less than 250% of the dollar weighted median of the smallest 500 of the middle 1,000 securities of the S&P SuperComposite 1500® Index. Small-cap core funds have more latitude in the companies in which they invest. These funds typically have an average price-to-earnings ratio, price-to-book ratio, and three-year sales-per-share growth value, compared to the S&P SmallCap 600® Index. The total return of the Lipper Funds Average does not include the effect of sales charges. Please note that an investor cannot invest directly in a mutual funds classification average or an index. |
xvi. | The Lipper International Large-Cap Core Funds Average is an equally weighted average of all active funds available within the investment category. The classification includes funds that, by portfolio practice, invest at least 75% of their equity assets in companies outside of the U.S. with market capitalizations (on a three-year weighted basis) above Lipper’s international large-cap floor. International large-cap core funds typically have average characteristics compared to their large-cap-specific subset of the MSCI EAFE® Index. The total return of the Lipper Funds Average does not include the effect of sales charges. Please note that an investor cannot invest directly in a mutual funds classification average or an index. |
xvii. | The Lipper Emerging Markets Funds Average is an equally weighted average of all active funds available within the investment category. The classification includes funds that seek long-term capital appreciation by investing at least 65% of total |
27
assets in emerging market equity securities, where “emerging market” is defined by a country’s GNP per capita or other economic measures. The total return of the Lipper Funds Average does not include the effect of sales charges. Please note that an investor cannot invest directly in a mutual funds classification average or an index. |
xviii. | The Lipper Core Bond Funds Average is an equally weighted average of all active funds available within the investment category. The classification includes funds that invest at least 85% of their assets in domestic investment-grade debt issues (rated in top four grades) with any remaining in investment in nonbenchmark sectors such as high-yield, global, and emerging market debt. These funds maintain dollar-weighted average maturities of five to ten years. The total return of the Lipper Funds Average does not include the effect of sales charges. Please note that an investor cannot invest directly in a mutual funds classification average or an index. |
xix. | The Lipper High Yield Funds Average is an equally weighted average of all active funds available within the investment category. The classification includes funds that aim at high (relative) current yield from fixed income securities, have no quality or maturity restrictions, and tend to invest in lower grade debt issues. The total return of the Lipper Funds Average does not include the effect of sales charges. Please note that an investor cannot invest directly in a mutual funds classification average or an index. |
xx. | The Citigroup Non-USD World Government Bond Index (USD) Hedged and Unhedged are each sub-indices of the Citigroup World Government Bond Index (WGBI), which is comprised of the global sovereign debt of over 20 countries representative in the Americas, EMEA, EMU, Asia Pacific, and Japan regions. The Non-U.S. Dollar WGBI includes all WGBI markets except the United States and is stated in U.S. dollar hedged or unhedged base currency terms. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index. |
xxi. | The Lipper International Income Funds Average is an equally weighted average of all active funds available within the investment category. The classification includes funds that state in their prospectus that they invest primarily in U.S. dollar and non-U.S. dollar debt securities of issuers located in at least three countries, excluding the United States, except in periods of market weakness. The total return of the Lipper Funds Average does not include the effect of sales charges. Please note that an investor cannot invest directly in a mutual funds classification average or an index. |
xxii. | The Bloomberg Barclays U.S. Municipal Bond Index covers the U.S. dollar-denominated long-term tax exempt bond market. The index has four main sectors: state and local general obligation bonds, revenue bonds, insured bonds, and prerefunded bonds. Because the index is not a managed portfolio, there are no advisory fees or internal management expenses reflected in the index’s performance. Please note that an investor cannot invest directly in an index. |
xxiii. | The Lipper General & Insured Municipal Debt Funds Average is an equally weighted average of all active funds available within the investment category. The classification includes funds that either invest primarily in municipal debt issues rated in the top four credit ratings or invest primarily in municipal debt issues insured as to timely payment. The total return of the Lipper Funds Average does not include the effect of sales charges. Please note that an investor cannot invest directly in a mutual funds classification average or an index. |
xxiv. | The Bloomberg Barclays U.S. Treasury Inflation Protected Securities (TIPS) Index is an unmanaged market index comprised of all US Treasury Inflation Protected Securities rated investment grade (Baa3/BBB- or better), have at lease one year to final maturity, and at least $250 million par amount outstanding. |
xxv. | The Citigroup 3-Month U.S. Treasury Bill Index — Equal dollar amounts of three-month Treasury bills are purchased at the beginning of each of three consecutive months. As each bill matures, all proceeds are rolled over or reinvested in a new three-month bill. The income used to calculate the monthly return is derived by subtracting the original amount invested from the maturity value. The yield curve average is the basis for calculating the return on the index. The index is rebalanced monthly by market capitalization. |
28
xxvi. | The Lipper Inflation Protected Bond Funds Average — These are equally weighted total returns using all the active funds available within the category. Lipper analytical averages are an average of all funds in the specified investment objective’s universe. Averages include all funds in the group in existence for the period. The number of component funds always changes. Inflation protected bond funds invest primarily in inflation-indexed fixed income securities issued in the United States. Inflation-indexed bonds are fixed income securities that are structured to provide protection against inflation. |
xxvii. | The Lipper Ultra-Short Obligations Funds Average — These are equally weighted total returns using all the active funds available within the category. Lipper analytical averages are an average of all funds in the specified investment objective’s universe. Averages include all funds in the group in existence for the period. The number of component funds always changes. Ultra short obligations funds invest primarily in investment-grade debt issues or better and maintain a portfolio dollar-weighted average maturity between 91 days and 365 days. |
xxviii. | The Citigroup Non-USD World Government Bond Index (USD) — Unhedged — This index includes all the components of the World Government Bond Index except the United States. The index includes all fixed-rate bonds with a remaining maturity of one year or longer and with amounts outstanding of at least the equivalent of $25 million US dollars. Those government securities that are excluded from the indices typically fall into three categories: floating- or variable rate bonds (including index-linked bonds); securities aimed principally at non-institutional investors such as savings bonds in the United States and Canada; and private placement-type securities, where liquidity may be poor and where accurate information on outstandings, market coupon, and maturity structure may be difficult or impossible to obtain. This index is designed to directly address the growing interest in and implementation of currency-hedged bond investments by global investors as a means of achieving low-risk interest rate diversification in their portfolios. |
29
Fund Expenses |
Example
As a shareholder of a Fund, you may incur two types of costs: (1) annual advisory program fees, which may be up to 2.50%; and (2) ongoing costs, including management fees and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds. This example is based on an investment of $1,000 invested on March 1, 2017 and held for the six months ended August 31, 2017.
Actual Expenses
The table below titled “Based on Actual Total Return” provides information about actual account values and actual expenses. You may use the information provided in this table, together with the amount you invested, to estimate the expenses that you paid over the period. To estimate the expenses you paid on your account during this period, 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 under the heading entitled “Expenses Paid During the Period”.
Based on Actual Total Return(1) | |||||||||||||||||||||||||
Fund | Total Return Without Annual Advisory Program Fees(2) | Beginning Account Value | Ending Account Value | Annualized Expense Ratios(3) | Expense Paid During the Period(4) | ||||||||||||||||||||
Large Cap Equity Fund | 4.86 | % | $ | 1,000.00 | $ | 1,048.60 | 0.47 | % | $ | 2.43 | |||||||||||||||
Small-Mid Cap Equity Fund | 3.77 | % | 1,000.00 | 1,037.70 | 0.61 | % | 3.13 | ||||||||||||||||||
International Equity Fund | 14.26 | % | 1,000.00 | 1,142.60 | 0.64 | % | 3.46 | ||||||||||||||||||
Emerging Markets Equity Fund | 19.84 | % | 1,000.00 | 1,198.40 | 0.84 | % | 4.65 | ||||||||||||||||||
Core Fixed Income Fund | 2.91 | % | 1,000.00 | 1,029.10 | 0.56 | % | 2.86 | ||||||||||||||||||
High Yield Fund | 2.58 | % | 1,000.00 | 1,025.80 | 0.85 | % | 4.34 | ||||||||||||||||||
International Fixed Income Fund | 2.23 | % | 1,000.00 | 1,022.30 | 1.11 | % | 5.66 | ||||||||||||||||||
Municipal Bond Fund | 3.47 | % | 1,000.00 | 1,034.70 | 0.75 | % | 3.85 | ||||||||||||||||||
Inflation-Linked Fixed Income Fund | 0.99 | % | 1,000.00 | 1,009.90 | 1.14 | % | 5.78 | ||||||||||||||||||
Ultra-Short Term Fixed Income Fund | 0.74 | % | 1,000.00 | 1,007.40 | 0.82 | % | 4.15 |
(1) | For the six months ended August 31, 2017. |
(2) | Assumes reinvestment of all distributions, including returns of capital, if any, at net asset value and does not reflect the deduction of the applicable advisory program charge, which may be up to 2.50% depending on the particular program through which you invest. Total return is not annualized as it may not be representative of the total return for the year. Performance figure may reflect fee waivers and/or expense reimbursements. Past performance is no guarantee of future results. In the absence of fee waivers and/or expenses reimbursements, the total return would have been lower. |
(3) | Annualized Expense Ratios are based on the most recent 6 month expense ratios, which may differ from net expense ratios in the Financial Highlights. |
(4) | Expenses (net of fee waivers and/or expense reimbursements) are equal to each Fund’s respective annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days (184 days) in the most recent fiscal half-year, then divided 365 (to reflect the one-half year period). |
30
Fund Expenses |
(continued) |
Hypothetical Example for Comparison Purposes
The table below titled “Based on Hypothetical Total Return” provides information about hypothetical account values and hypothetical expenses based on each Fund’s actual expense ratio and an assumed rate of return of 5.00% per year before expenses, which is not each Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balances or expenses you paid for the period. You may use the information provided in this table to compare the ongoing costs of investing in each Fund and other funds. To do so, compare the 5.00% hypothetical example relating to a Fund with the 5.00% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table below are meant to highlight your ongoing costs only and do not reflect any advisory program annual fees. Therefore, the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these advisory program annual fees were included, your costs would have been higher.
Based on Hypothetical Total Return(1) | |||||||||||||||||||||||||
Fund | Hypothetical Annualized Total Return | Beginning Account Value | Ending Account Value | Annualized Expense Ratios(2) | Expense Paid During the Period(3) | ||||||||||||||||||||
Large Cap Equity Fund | 5.00 | % | $ | 1,000.00 | $ | 1,022.84 | 0.47 | % | $ | 2.40 | |||||||||||||||
Small-Mid Cap Equity Fund | 5.00 | % | 1,000.00 | 1,022.13 | 0.61 | % | 3.11 | ||||||||||||||||||
International Equity Fund | 5.00 | % | 1,000.00 | 1,021.98 | 0.64 | % | 3.26 | ||||||||||||||||||
Emerging Markets Equity Fund | 5.00 | % | 1,000.00 | 1,020.97 | 0.84 | % | 4.28 | ||||||||||||||||||
Core Fixed Income Fund | 5.00 | % | 1,000.00 | 1,022.38 | 0.56 | % | 2.85 | ||||||||||||||||||
High Yield Fund | 5.00 | % | 1,000.00 | 1,020.92 | 0.85 | % | 4.33 | ||||||||||||||||||
International Fixed Income Fund | 5.00 | % | 1,000.00 | 1,019.61 | 1.11 | % | 5.65 | ||||||||||||||||||
Municipal Bond Fund | 5.00 | % | 1,000.00 | 1,021.42 | 0.75 | % | 3.82 | ||||||||||||||||||
Inflation-Linked Fixed Income Fund | 5.00 | % | 1,000.00 | 1,019.46 | 1.14 | % | 5.80 | ||||||||||||||||||
Ultra-Short Term Fixed Income Fund | 5.00 | % | 1,000.00 | 1,021.07 | 0.82 | % | 4.18 |
(1) | For the six months ended August 31, 2017. |
(2) | Annualized Expense Ratios are based on the most recent 6 month expense ratios, which may differ from net expense ratios in the Financial Highlights. |
(3) | Expenses (net of fee waivers and/or expense reimbursements) are equal to each Fund’s respective annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days (184 days) in the most recent fiscal half-year, then divided 365 (to reflect the one-half year period). |
31
Schedules of Investments |
August 31, 2017 |
Large Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
COMMON STOCKS — 97.6% | ||||||||
CONSUMER DISCRETIONARY — 12.4% | ||||||||
Auto Components — 0.5% | ||||||||
3,426 | Adient PLC | $ | 242,150 | |||||
8,167 | BorgWarner Inc. | 379,030 | ||||||
44,764 | Delphi Automotive PLC | 4,315,250 | ||||||
10,576 | Gentex Corp. | 193,223 | ||||||
86,977 | Goodyear Tire & Rubber Co. (The) | 2,635,403 | ||||||
2,681 | Lear Corp. | 400,917 | ||||||
16,623 | Tenneco Inc. | 900,967 | ||||||
1,227 | Visteon Corp.* | 141,645 | ||||||
|
| |||||||
Total Auto Components | 9,208,585 | |||||||
|
| |||||||
Automobiles — 0.3% | ||||||||
148,501 | Ford Motor Co. | 1,637,966 | ||||||
52,209 | General Motors Co. | 1,907,717 | ||||||
6,855 | Harley-Davidson Inc.(a) | 322,254 | ||||||
4,969 | Tesla Inc.*(a) | 1,768,467 | ||||||
1,899 | Thor Industries Inc. | 206,307 | ||||||
|
| |||||||
Total Automobiles | 5,842,711 | |||||||
|
| |||||||
Distributors — 0.1% | ||||||||
5,537 | Genuine Parts Co. | 458,630 | ||||||
11,518 | LKQ Corp.* | 399,098 | ||||||
1,623 | Pool Corp. | 161,797 | ||||||
|
| |||||||
Total Distributors | 1,019,525 | |||||||
|
| |||||||
Diversified Consumer Services — 0.2% | ||||||||
1,802 | Bright Horizons Family Solutions Inc.* | 144,034 | ||||||
148 | Graham Holdings Co., Class B Shares | 86,906 | ||||||
8,184 | H&R Block Inc. | 218,840 | ||||||
36,410 | New Oriental Education & Technology Group Inc., ADR* | 2,976,517 | ||||||
6,588 | Service Corp. International | 232,820 | ||||||
5,019 | ServiceMaster Global Holdings Inc.* | 236,495 | ||||||
|
| |||||||
Total Diversified Consumer Services | 3,895,612 | |||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.5% | ||||||||
9,141 | Aramark | 371,947 | ||||||
15,474 | Carnival Corp. | 1,075,134 | ||||||
981 | Chipotle Mexican Grill Inc., Class A Shares* | 310,693 | ||||||
1,302 | Choice Hotels International Inc. | 80,789 | ||||||
4,812 | Darden Restaurants Inc. | 395,017 | ||||||
15,457 | Domino’s Pizza Inc. | 2,817,193 | ||||||
3,392 | Dunkin’ Brands Group Inc. | 174,892 | ||||||
5,981 | Extended Stay America Inc. | 117,168 | ||||||
2,096 | Hilton Grand Vacations Inc.* | 75,980 | ||||||
7,421 | Hilton Worldwide Holdings Inc. | 477,393 | ||||||
1,287 | Hyatt Hotels Corp., Class A Shares* | 76,589 | ||||||
3,830 | International Game Technology PLC | 78,017 | ||||||
13,766 | Las Vegas Sands Corp. | 856,383 | ||||||
12,093 | Marriott International Inc., Class A Shares | 1,252,593 | ||||||
31,173 | McDonald’s Corp. | 4,986,745 | ||||||
19,351 | MGM Resorts International | 637,809 | ||||||
6,300 | Norwegian Cruise Line Holdings Ltd.* | 374,598 | ||||||
6,533 | Royal Caribbean Cruises Ltd. | 813,097 | ||||||
2,875 | Six Flags Entertainment Corp. | 156,889 | ||||||
133,252 | Starbucks Corp. | 7,310,205 | ||||||
1,515 | Vail Resorts Inc. | 345,344 |
See Notes to Financial Statements.
32
Schedules of Investments |
(continued) |
Large Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
CONSUMER DISCRETIONARY — 12.4% — (continued) | ||||||||
Hotels, Restaurants & Leisure — 1.5% — (continued) | ||||||||
6,682 | Wendy’s Co. (The) | $ | 99,695 | |||||
3,961 | Wyndham Worldwide Corp. | 394,832 | ||||||
3,099 | Wynn Resorts Ltd. | 430,730 | ||||||
14,111 | Yum China Holdings Inc.* | 498,965 | ||||||
13,325 | Yum! Brands Inc. | 1,023,626 | ||||||
|
| |||||||
Total Hotels, Restaurants & Leisure | 25,232,323 | |||||||
|
| |||||||
Household Durables — 0.5% | ||||||||
3,018 | CalAtlantic Group Inc. | 104,876 | ||||||
13,148 | DR Horton Inc. | 475,300 | ||||||
4,685 | Garmin Ltd. | 241,277 | ||||||
5,063 | Leggett & Platt Inc. | 232,746 | ||||||
7,943 | Lennar Corp., Class A Shares | 411,130 | ||||||
2,366 | Mohawk Industries Inc.* | 598,882 | ||||||
18,361 | Newell Brands Inc. | 886,469 | ||||||
125 | NVR Inc.* | 340,106 | ||||||
11,186 | PulteGroup Inc. | 288,823 | ||||||
1,676 | Tempur Sealy International Inc.*(a) | 103,744 | ||||||
5,497 | Toll Brothers Inc. | 214,163 | ||||||
2,014 | Tupperware Brands Corp. | 116,550 | ||||||
22,864 | Whirlpool Corp. | 3,923,920 | ||||||
|
| |||||||
Total Household Durables | 7,937,986 | |||||||
|
| |||||||
Internet & Direct Marketing Retail — 2.7% | ||||||||
21,107 | Amazon.com Inc.* | 20,697,524 | ||||||
4,655 | Expedia Inc. | 690,616 | ||||||
2,139 | Liberty Expedia Holdings Inc., Class A Shares* | 116,982 | ||||||
155,182 | Liberty Interactive Corp. QVC Group, Class A Shares* | 3,432,626 | ||||||
2,812 | Liberty Ventures, Series A* | 173,107 | ||||||
15,707 | Netflix Inc.* | 2,744,170 | ||||||
9,540 | Priceline Group Inc. (The)* | 17,668,843 | ||||||
4,109 | TripAdvisor Inc.* | 175,577 | ||||||
1,367 | Wayfair Inc., Class A Shares* | 97,071 | ||||||
|
| |||||||
Total Internet & Direct Marketing Retail | 45,796,516 | |||||||
|
| |||||||
Leisure Products — 0.1% | ||||||||
3,357 | Brunswick Corp. | 176,175 | ||||||
4,356 | Hasbro Inc. | 427,977 | ||||||
12,609 | Mattel Inc. | 204,518 | ||||||
2,217 | Polaris Industries Inc.(a) | 206,691 | ||||||
|
| |||||||
Total Leisure Products | 1,015,361 | |||||||
|
| |||||||
Media — 1.8% | ||||||||
1,940 | AMC Networks Inc., Class A Shares* | 117,913 | ||||||
171 | Cable One Inc. | 129,744 | ||||||
13,663 | CBS Corp., Class B Shares | 875,252 | ||||||
7,583 | Charter Communications Inc., Class A Shares* | 3,022,129 | ||||||
4,292 | Cinemark Holdings Inc. | 142,881 | ||||||
180,078 | Comcast Corp., Class A Shares | 7,312,968 | ||||||
6,372 | Discovery Communications Inc., Class A Shares* | 141,522 | ||||||
7,601 | Discovery Communications Inc., Class C Shares* | 159,697 | ||||||
8,536 | DISH Network Corp., Class A Shares* | 489,027 | ||||||
15,365 | Interpublic Group of Cos., Inc. (The) | 309,451 | ||||||
1,809 | John Wiley & Sons Inc., Class A Shares | 97,596 | ||||||
1,064 | Liberty Broadband Corp., Class A Shares* | 107,921 | ||||||
4,083 | Liberty Broadband Corp., Class C Shares* | 414,547 |
See Notes to Financial Statements.
33
Schedules of Investments |
(continued) |
Large Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
CONSUMER DISCRETIONARY — 12.4% — (continued) | ||||||||
Media — 1.8% — (continued) | ||||||||
896 | Liberty Media Corp-Liberty Formula One, Class A Shares*(a) | $ | 33,985 | |||||
3,786 | Liberty Media Corp-Liberty Formula One, Class C Shares* | 148,790 | ||||||
3,568 | Liberty Media Corp-Liberty SiriusXM, Class A Shares* | 159,490 | ||||||
7,126 | Liberty Media Corp-Liberty SiriusXM, Class C Shares* | 317,891 | ||||||
1,912 | Lions Gate Entertainment Corp., Class A Shares* | 56,844 | ||||||
4,224 | Lions Gate Entertainment Corp., Class B Shares* | 118,568 | ||||||
5,269 | Live Nation Entertainment Inc.* | 210,549 | ||||||
15,256 | Madison Square Garden Co. (The), Class A Shares* | 3,242,053 | ||||||
14,535 | News Corp., Class A Shares | 194,333 | ||||||
4,110 | News Corp., Class B Shares | 56,307 | ||||||
8,842 | Omnicom Group Inc. | 639,984 | ||||||
4,638 | Regal Entertainment Group, Class A Shares(a) | 68,503 | ||||||
3,095 | Scripps Networks Interactive Inc., Class A Shares | 265,087 | ||||||
55,104 | Sirius XM Holdings Inc.(a) | 316,848 | ||||||
8,372 | TEGNA Inc. | 105,655 | ||||||
29,609 | Time Warner Inc. | 2,993,470 | ||||||
2,715 | Tribune Media Co., Class A Shares | 108,790 | ||||||
38,989 | Twenty-First Century Fox Inc., Class A Shares | 1,075,706 | ||||||
17,593 | Twenty-First Century Fox Inc., Class B Shares | 476,770 | ||||||
13,295 | Viacom Inc., Class B Shares | 380,237 | ||||||
59,772 | Walt Disney Co. (The) | 6,048,926 | ||||||
|
| |||||||
Total Media | 30,339,434 | |||||||
|
| |||||||
Multiline Retail — 0.6% | ||||||||
10,503 | Dollar General Corp. | 762,098 | ||||||
87,421 | Dollar Tree Inc.* | 6,962,208 | ||||||
6,214 | Kohl’s Corp. | 247,193 | ||||||
11,748 | Macy’s Inc. | 244,006 | ||||||
4,550 | Nordstrom Inc.(a) | 203,021 | ||||||
21,126 | Target Corp. | 1,152,001 | ||||||
|
| |||||||
Total Multiline Retail | 9,570,527 | |||||||
|
| |||||||
Specialty Retail — 3.3% | ||||||||
2,578 | Advance Auto Parts Inc. | 252,386 | ||||||
2,610 | AutoNation Inc.*(a) | 118,416 | ||||||
9,514 | AutoZone Inc.* | 5,027,578 | ||||||
5,025 | Bed Bath & Beyond Inc. | 138,640 | ||||||
10,083 | Best Buy Co., Inc. | 547,104 | ||||||
2,644 | Burlington Stores Inc.* | 230,372 | ||||||
2,012 | Cabela’s Inc.* | 108,044 | ||||||
7,123 | CarMax Inc.* | 478,309 | ||||||
3,510 | Dick’s Sporting Goods Inc. | 92,524 | ||||||
5,106 | Foot Locker Inc. | 179,884 | ||||||
4,129 | GameStop Corp., Class A Shares | 76,387 | ||||||
8,450 | Gap Inc. (The) | 199,589 | ||||||
45,896 | Home Depot Inc. (The) | 6,878,434 | ||||||
9,292 | L Brands Inc. | 336,556 | ||||||
118,055 | Lowe’s Cos., Inc. | 8,723,084 | ||||||
3,798 | Michaels Cos., Inc. (The)* | 85,265 | ||||||
1,255 | Murphy USA Inc.* | 80,897 | ||||||
3,411 | O’Reilly Automotive Inc.* | 668,999 | ||||||
1,602 | Penske Automotive Group Inc. | 67,861 | ||||||
120,658 | Ross Stores Inc. | 7,052,460 | ||||||
5,873 | Sally Beauty Holdings Inc.* | 109,179 | ||||||
2,749 | Signet Jewelers Ltd.(a) | 173,379 |
See Notes to Financial Statements.
34
Schedules of Investments |
(continued) |
Large Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
CONSUMER DISCRETIONARY — 12.4% — (continued) | ||||||||
Specialty Retail — 3.3% — (continued) | ||||||||
25,454 | Staples Inc. | $ | 260,013 | |||||
4,128 | Tiffany & Co. | 377,299 | ||||||
91,300 | TJX Cos., Inc. (The) | 6,600,990 | ||||||
204,402 | Tractor Supply Co. | 12,163,963 | ||||||
18,489 | Ulta Beauty Inc.* | 4,086,254 | ||||||
3,636 | Urban Outfitters Inc.* | 74,320 | ||||||
3,551 | Williams-Sonoma Inc. | 163,346 | ||||||
|
| |||||||
Total Specialty Retail | 55,351,532 | |||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.8% | ||||||||
38,485 | Carter’s Inc. | 3,337,034 | ||||||
10,422 | Coach Inc. | 434,598 | ||||||
14,052 | Hanesbrands Inc. | 340,902 | ||||||
3,566 | lululemon athletica Inc.* | 205,223 | ||||||
5,979 | Michael Kors Holdings Ltd.* | 252,433 | ||||||
141,490 | NIKE Inc., Class B Shares | 7,472,087 | ||||||
2,997 | PVH Corp. | 377,292 | ||||||
2,294 | Ralph Lauren Corp., Class A Shares | 201,620 | ||||||
5,259 | Skechers U.S.A. Inc., Class A Shares* | 138,995 | ||||||
7,165 | Under Armour Inc., Class A Shares*(a) | 115,715 | ||||||
7,443 | Under Armour Inc., Class C Shares*(a) | 112,389 | ||||||
12,226 | V.F. Corp. | 768,649 | ||||||
|
| |||||||
Total Textiles, Apparel & Luxury Goods | 13,756,937 | |||||||
|
| |||||||
TOTAL CONSUMER DISCRETIONARY | 208,967,049 | |||||||
|
| |||||||
CONSUMER STAPLES — 8.4% | ||||||||
Beverages — 2.8% | ||||||||
2,183 | Brown-Forman Corp., Class A Shares | 121,419 | ||||||
6,368 | Brown-Forman Corp., Class B Shares | 337,759 | ||||||
426,284 | Coca-Cola Co. (The) | 19,417,236 | ||||||
6,170 | Constellation Brands Inc., Class A Shares | 1,234,617 | ||||||
7,001 | Dr Pepper Snapple Group Inc. | 637,441 | ||||||
155,667 | Molson Coors Brewing Co., Class B Shares | 13,971,113 | ||||||
100,095 | Monster Beverage Corp.* | 5,587,303 | ||||||
54,532 | PepsiCo Inc. | 6,310,988 | ||||||
|
| |||||||
Total Beverages | 47,617,876 | |||||||
|
| |||||||
Food & Staples Retailing — 1.8% | ||||||||
1,553 | Casey’s General Stores Inc. | 163,717 | ||||||
39,093 | Costco Wholesale Corp. | 6,127,437 | ||||||
122,171 | CVS Health Corp. | 9,448,705 | ||||||
34,782 | Kroger Co. (The) | 760,682 | ||||||
41,341 | Rite Aid Corp.* | 100,045 | ||||||
5,202 | Sprouts Farmers Market Inc.* | 103,728 | ||||||
18,823 | Sysco Corp. | 991,407 | ||||||
4,771 | US Foods Holding Corp.* | 130,964 | ||||||
93,415 | Walgreens Boots Alliance Inc. | 7,613,323 | ||||||
55,656 | Wal-Mart Stores Inc. | 4,345,064 | ||||||
|
| |||||||
Total Food & Staples Retailing | 29,785,072 | |||||||
|
| |||||||
Food Products — 2.2% | ||||||||
176,498 | Archer-Daniels-Midland Co. | 7,292,897 | ||||||
3,385 | Blue Buffalo Pet Products Inc.* | 87,198 | ||||||
5,438 | Bunge Ltd. | 405,838 | ||||||
6,998 | Campbell Soup Co. | 323,308 |
See Notes to Financial Statements.
35
Schedules of Investments |
(continued) |
Large Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
CONSUMER STAPLES — 8.4% — (continued) | ||||||||
Food Products — 2.2% — (continued) | ||||||||
15,497 | Conagra Brands Inc. | $ | 503,033 | |||||
6,964 | Flowers Foods Inc. | 120,965 | ||||||
22,009 | General Mills Inc. | 1,172,199 | ||||||
4,017 | Hain Celestial Group Inc. (The)* | 161,564 | ||||||
5,401 | Hershey Co. (The) | 566,673 | ||||||
10,214 | Hormel Foods Corp. | 313,978 | ||||||
2,708 | Ingredion Inc. | 335,305 | ||||||
4,380 | J.M. Smucker Co. (The) | 458,849 | ||||||
97,610 | Kellogg Co. | 6,389,551 | ||||||
107,263 | Kraft Heinz Co. (The) | 8,661,487 | ||||||
5,451 | Lamb Weston Holdings Inc. | 247,911 | ||||||
4,381 | McCormick & Co., Inc. | 416,764 | ||||||
201,427 | Mondelez International Inc., Class A Shares | 8,190,022 | ||||||
2,467 | Pilgrim’s Pride Corp.* | 72,653 | ||||||
4,350 | Pinnacle Foods Inc. | 257,998 | ||||||
2,378 | Post Holdings Inc.* | 202,439 | ||||||
9 | Seaboard Corp. | 38,661 | ||||||
1,995 | TreeHouse Foods Inc.* | 133,645 | ||||||
10,629 | Tyson Foods Inc., Class A Shares | 672,816 | ||||||
|
| |||||||
Total Food Products | 37,025,754 | |||||||
|
| |||||||
Household Products — 0.8% | ||||||||
9,645 | Church & Dwight Co., Inc. | 483,890 | ||||||
4,964 | Clorox Co. (The) | 687,663 | ||||||
32,870 | Colgate-Palmolive Co. | 2,354,807 | ||||||
2,521 | Energizer Holdings Inc. | 111,302 | ||||||
13,517 | Kimberly-Clark Corp. | 1,666,511 | ||||||
97,728 | Procter & Gamble Co. (The) | 9,017,362 | ||||||
1,001 | Spectrum Brands Holdings Inc. | 110,070 | ||||||
|
| |||||||
Total Household Products | 14,431,605 | |||||||
|
| |||||||
Personal Products — 0.1% | ||||||||
18,409 | Coty Inc., Class A Shares | 305,221 | ||||||
2,079 | Edgewell Personal Care Co.* | 157,879 | ||||||
8,311 | Estee Lauder Cos., Inc. (The), Class A Shares | 889,194 | ||||||
2,746 | Herbalife Ltd.*(a) | 189,502 | ||||||
1,869 | Nu Skin Enterprises Inc., Class A Shares | 113,691 | ||||||
|
| |||||||
Total Personal Products | 1,655,487 | |||||||
|
| |||||||
Tobacco — 0.7% | ||||||||
73,804 | Altria Group Inc. | 4,679,173 | ||||||
59,319 | Philip Morris International Inc. | 6,936,171 | ||||||
|
| |||||||
Total Tobacco | 11,615,344 | |||||||
|
| |||||||
TOTAL CONSUMER STAPLES | 142,131,138 | |||||||
|
| |||||||
ENERGY — 5.9% | ||||||||
Energy Equipment & Services — 1.6% | ||||||||
16,261 | Baker Hughes a GE Co. | 551,248 | ||||||
52,900 | Core Laboratories NV(a) | 4,664,722 | ||||||
177,338 | Halliburton Co. | 6,910,862 | ||||||
4,066 | Helmerich & Payne Inc. | 172,154 | ||||||
11,171 | Nabors Industries Ltd. | 73,170 | ||||||
124,704 | National Oilwell Varco Inc. | 3,824,672 | ||||||
3,969 | Oceaneering International Inc. | 89,501 | ||||||
7,533 | Patterson-UTI Energy Inc. | 120,302 |
See Notes to Financial Statements.
36
Schedules of Investments |
(continued) |
Large Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
ENERGY — 5.9% — (continued) | ||||||||
Energy Equipment & Services — 1.6% — (continued) | ||||||||
2,504 | RPC Inc.(a) | $ | 48,602 | |||||
154,466 | Schlumberger Ltd. | 9,810,136 | ||||||
15,747 | Transocean Ltd.*(a) | 128,495 | ||||||
34,996 | Weatherford International PLC*(a) | 134,035 | ||||||
|
| |||||||
Total Energy Equipment & Services | 26,527,899 | |||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 4.3% | ||||||||
21,519 | Anadarko Petroleum Corp. | 880,773 | ||||||
5,914 | Andeavor | 592,287 | ||||||
8,360 | Antero Resources Corp.* | 164,608 | ||||||
14,656 | Apache Corp. | 569,239 | ||||||
17,450 | Cabot Oil & Gas Corp. | 445,848 | ||||||
4,004 | Centennial Resource Development Inc., Class A Shares* | 69,229 | ||||||
8,086 | Cheniere Energy Inc.* | 346,000 | ||||||
32,723 | Chesapeake Energy Corp.*(a) | 119,112 | ||||||
128,795 | Chevron Corp. | 13,860,918 | ||||||
3,551 | Cimarex Energy Co. | 353,999 | ||||||
5,673 | Concho Resources Inc.* | 629,533 | ||||||
173,703 | ConocoPhillips | 7,583,873 | ||||||
9,119 | CONSOL Energy Inc.* | 132,682 | ||||||
3,482 | Continental Resources Inc.* | 118,109 | ||||||
20,261 | Devon Energy Corp. | 636,195 | ||||||
3,857 | Diamondback Energy Inc.* | 350,177 | ||||||
3,897 | Energen Corp.* | 199,838 | ||||||
65,954 | EOG Resources Inc. | 5,605,431 | ||||||
6,513 | EQT Corp. | 406,020 | ||||||
4,350 | Extraction Oil & Gas Inc.* | 57,159 | ||||||
162,046 | Exxon Mobil Corp. | 12,368,971 | ||||||
5,126 | Gulfport Energy Corp.* | 64,229 | ||||||
10,933 | Hess Corp. | 425,294 | ||||||
6,924 | HollyFrontier Corp. | 216,790 | ||||||
73,544 | Kinder Morgan Inc. | 1,421,606 | ||||||
7,086 | Kosmos Energy Ltd.*(a) | 49,885 | ||||||
5,890 | Laredo Petroleum Inc.* | 73,154 | ||||||
541,934 | Marathon Oil Corp. | 6,026,306 | ||||||
19,660 | Marathon Petroleum Corp. | 1,031,167 | ||||||
6,558 | Murphy Oil Corp. | 148,604 | ||||||
7,457 | Newfield Exploration Co.* | 194,851 | ||||||
18,576 | Noble Energy Inc. | 441,552 | ||||||
125,199 | Occidental Petroleum Corp. | 7,474,380 | ||||||
7,939 | ONEOK Inc. | 429,976 | ||||||
8,356 | Parsley Energy Inc., Class A Shares* | 209,318 | ||||||
3,964 | PBF Energy Inc., Class A Shares(a) | 93,868 | ||||||
16,648 | Phillips 66 | 1,395,269 | ||||||
6,494 | Pioneer Natural Resources Co. | 841,947 | ||||||
9,337 | QEP Resources Inc.* | 70,494 | ||||||
8,963 | Range Resources Corp. | 155,598 | ||||||
4,785 | Rice Energy Inc.* | 130,918 | ||||||
4,681 | RSP Permian Inc.* | 146,890 | ||||||
3,814 | SM Energy Co. | 50,955 | ||||||
19,792 | Southwestern Energy Co.* | 107,866 | ||||||
104,095 | Suncor Energy Inc. | 3,261,296 | ||||||
7,664 | Targa Resources Corp. | 341,585 | ||||||
17,060 | Valero Energy Corp. | 1,161,786 | ||||||
13,041 | Whiting Petroleum Corp.* | 58,293 |
See Notes to Financial Statements.
37
Schedules of Investments |
(continued) |
Large Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
ENERGY — 5.9% — (continued) | ||||||||
Oil, Gas & Consumable Fuels — 4.3% — (continued) | ||||||||
31,623 | Williams Cos., Inc. (The) | $ | 940,152 | |||||
2,774 | World Fuel Services Corp. | 95,814 | ||||||
15,987 | WPX Energy Inc.* | 159,710 | ||||||
|
| |||||||
Total Oil, Gas & Consumable Fuels | 72,709,554 | |||||||
|
| |||||||
TOTAL ENERGY | 99,237,453 | |||||||
|
| |||||||
FINANCIALS — 12.1% | ||||||||
Banks — 3.6% | ||||||||
5,886 | Associated Banc-Corp. | 128,903 | ||||||
380,906 | Bank of America Corp. | 9,099,844 | ||||||
1,465 | Bank of Hawaii Corp. | 114,460 | ||||||
4,070 | Bank of the Ozarks | 174,847 | ||||||
4,009 | BankUnited Inc. | 133,420 | ||||||
172,790 | BB&T Corp. | 7,963,891 | ||||||
986 | BOK Financial Corp. | 79,353 | ||||||
7,876 | CIT Group Inc. | 353,239 | ||||||
105,357 | Citigroup Inc. | 7,167,437 | ||||||
19,534 | Citizens Financial Group Inc. | 647,161 | ||||||
6,851 | Comerica Inc. | 467,581 | ||||||
3,221 | Commerce Bancshares Inc. | 177,123 | ||||||
2,059 | Cullen/Frost Bankers Inc. | 173,368 | ||||||
5,745 | East West Bancorp Inc. | 318,101 | ||||||
29,108 | Fifth Third Bancorp | 760,592 | ||||||
1,925 | First Hawaiian Inc. | 52,148 | ||||||
9,257 | First Horizon National Corp. | 159,313 | ||||||
6,084 | First Republic Bank | 590,452 | ||||||
11,448 | FNB Corp. | 145,275 | ||||||
42,018 | Huntington Bancshares Inc. | 529,007 | ||||||
135,218 | JPMorgan Chase & Co. | 12,289,964 | ||||||
42,126 | KeyCorp | 724,988 | ||||||
5,551 | M&T Bank Corp. | 820,771 | ||||||
4,434 | PacWest Bancorp | 200,195 | ||||||
12,423 | People’s United Financial Inc. | 207,464 | ||||||
2,589 | Pinnacle Financial Partners Inc. | 161,036 | ||||||
18,490 | PNC Financial Services Group Inc. (The) | 2,318,831 | ||||||
4,114 | Popular Inc. | 164,190 | ||||||
2,365 | Prosperity Bancshares Inc. | 141,309 | ||||||
46,289 | Regions Financial Corp. | 653,138 | ||||||
2,006 | Signature Bank* | 257,450 | ||||||
18,496 | SunTrust Banks Inc. | 1,019,130 | ||||||
2,070 | SVB Financial Group* | 350,534 | ||||||
4,393 | Synovus Financial Corp. | 185,033 | ||||||
6,307 | TCF Financial Corp. | 97,948 | ||||||
60,465 | US Bancorp | 3,098,831 | ||||||
3,265 | Webster Financial Corp. | 152,410 | ||||||
171,724 | Wells Fargo & Co. | 8,769,945 | ||||||
3,524 | Western Alliance Bancorp* | 169,962 | ||||||
7,673 | Zions Bancorporation | 335,003 | ||||||
|
| |||||||
Total Banks | 61,353,647 | |||||||
|
| |||||||
Capital Markets — 3.1% | ||||||||
18,361 | Affiliated Managers Group Inc. | 3,244,205 | ||||||
42,090 | Ameriprise Financial Inc. | 5,829,886 | ||||||
158,715 | Bank of New York Mellon Corp. (The) | 8,297,620 | ||||||
8,152 | BGC Partners Inc., Class A Shares | 105,894 |
See Notes to Financial Statements.
38
Schedules of Investments |
(continued) |
Large Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
FINANCIALS — 12.1% — (continued) | ||||||||
Capital Markets — 3.1% — (continued) | ||||||||
4,751 | BlackRock Inc., Class A Shares | $ | 1,990,716 | |||||
4,239 | CBOE Holdings Inc. | 427,673 | ||||||
268,604 | Charles Schwab Corp. (The) | 10,717,300 | ||||||
12,951 | CME Group Inc., Class A Shares | 1,629,236 | ||||||
10,456 | E*Trade Financial Corp.* | 428,801 | ||||||
4,008 | Eaton Vance Corp. | 190,701 | ||||||
1,398 | FactSet Research Systems Inc. | 219,738 | ||||||
3,800 | Federated Investors Inc., Class B Shares | 103,778 | ||||||
12,984 | Franklin Resources Inc. | 561,298 | ||||||
14,050 | Goldman Sachs Group Inc. (The) | 3,143,547 | ||||||
2,602 | Interactive Brokers Group Inc., Class A Shares | 109,102 | ||||||
83,921 | Intercontinental Exchange Inc. | 5,427,171 | ||||||
15,491 | Invesco Ltd. | 507,795 | ||||||
4,634 | Lazard Ltd., Class A Shares | 198,752 | ||||||
3,131 | Legg Mason Inc. | 119,573 | ||||||
3,098 | LPL Financial Holdings Inc. | 145,110 | ||||||
1,383 | MarketAxess Holdings Inc. | 266,850 | ||||||
6,377 | Moody’s Corp. | 854,709 | ||||||
47,955 | Morgan Stanley(b) | 2,181,953 | ||||||
709 | Morningstar Inc. | 58,634 | ||||||
3,474 | MSCI Inc., Class A Shares | 398,155 | ||||||
4,189 | Nasdaq Inc. | 315,767 | ||||||
8,089 | Northern Trust Corp. | 715,876 | ||||||
4,762 | Raymond James Financial Inc. | 372,960 | ||||||
9,858 | S&P Global Inc. | 1,521,385 | ||||||
5,345 | SEI Investments Co. | 312,469 | ||||||
14,367 | State Street Corp. | 1,328,804 | ||||||
9,093 | T. Rowe Price Group Inc. | 767,085 | ||||||
9,974 | TD Ameritrade Holding Corp. | 432,074 | ||||||
|
| |||||||
Total Capital Markets | 52,924,617 | |||||||
|
| |||||||
Consumer Finance — 0.4% | ||||||||
17,939 | Ally Financial Inc. | 405,421 | ||||||
28,347 | American Express Co. | 2,440,677 | ||||||
18,385 | Capital One Financial Corp. | 1,463,630 | ||||||
469 | Credit Acceptance Corp.*(a) | 127,709 | ||||||
14,474 | Discover Financial Services | 853,242 | ||||||
10,262 | Navient Corp. | 135,458 | ||||||
2,267 | OneMain Holdings Inc., Class A Shares* | 62,048 | ||||||
4,542 | Santander Consumer USA Holdings Inc.* | 64,860 | ||||||
15,211 | SLM Corp.* | 154,696 | ||||||
31,099 | Synchrony Financial | 957,538 | ||||||
|
| |||||||
Total Consumer Finance | 6,665,279 | |||||||
|
| |||||||
Diversified Financial Services — 1.6% | ||||||||
144,503 | Berkshire Hathaway Inc., Class B Shares* | 26,178,163 | ||||||
12,414 | Leucadia National Corp. | 293,964 | ||||||
6,745 | Voya Financial Inc. | 257,861 | ||||||
|
| |||||||
Total Diversified Financial Services | 26,729,988 | |||||||
|
| |||||||
Insurance — 3.3% | ||||||||
71,076 | Aflac Inc. | 5,867,324 | ||||||
563 | Alleghany Corp.* | 316,839 | ||||||
85,514 | Allstate Corp. (The) | 7,739,017 | ||||||
2,699 | American Financial Group Inc. | 274,785 |
See Notes to Financial Statements.
39
Schedules of Investments |
(continued) |
Large Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
FINANCIALS — 12.1% — (continued) | ||||||||
Insurance — 3.3% — (continued) | ||||||||
35,282 | American International Group Inc. | $ | 2,133,855 | |||||
167 | American National Insurance Co. | 19,324 | ||||||
9,923 | Aon PLC | 1,380,885 | ||||||
4,455 | Arch Capital Group Ltd.* | 433,650 | ||||||
6,832 | Arthur J. Gallagher & Co. | 395,573 | ||||||
2,415 | Aspen Insurance Holdings Ltd. | 109,158 | ||||||
20,629 | Assurant Inc. | 1,953,360 | ||||||
4,632 | Assured Guaranty Ltd. | 197,045 | ||||||
1,576 | Athene Holding Ltd., Class A Shares* | 84,332 | ||||||
3,019 | Axis Capital Holdings Ltd. | 181,865 | ||||||
3,187 | Brighthouse Financial Inc.* | 181,882 | ||||||
4,677 | Brown & Brown Inc. | 210,278 | ||||||
17,742 | Chubb Ltd. | 2,509,074 | ||||||
6,054 | Cincinnati Financial Corp. | 465,189 | ||||||
1,198 | CNA Financial Corp. | 58,774 | ||||||
892 | Erie Indemnity Co., Class A Shares | 107,745 | ||||||
1,574 | Everest Re Group Ltd. | 397,404 | ||||||
3,922 | First American Financial Corp. | 192,413 | ||||||
9,964 | FNF Group | 480,663 | ||||||
1,538 | Hanover Insurance Group Inc. (The) | 151,001 | ||||||
13,996 | Hartford Financial Services Group Inc. (The) | 756,764 | ||||||
73,743 | Lincoln National Corp. | 5,004,200 | ||||||
10,676 | Loews Corp. | 497,288 | ||||||
524 | Markel Corp.* | 551,243 | ||||||
104,721 | Marsh & McLennan Cos., Inc. | 8,176,616 | ||||||
987 | Mercury General Corp. | 56,723 | ||||||
35,058 | MetLife Inc. | 1,641,766 | ||||||
9,712 | Old Republic International Corp. | 185,402 | ||||||
10,299 | Principal Financial Group Inc. | 643,893 | ||||||
1,898 | ProAssurance Corp. | 101,068 | ||||||
22,186 | Progressive Corp. (The) | 1,031,205 | ||||||
16,448 | Prudential Financial Inc. | 1,679,012 | ||||||
2,432 | Reinsurance Group of America Inc., Class A Shares | 326,982 | ||||||
1,452 | RenaissanceRe Holdings Ltd. | 202,060 | ||||||
4,550 | Torchmark Corp. | 350,213 | ||||||
10,642 | Travelers Cos., Inc. (The) | 1,289,598 | ||||||
8,918 | Unum Group | 429,669 | ||||||
3,019 | Validus Holdings Ltd. | 151,403 | ||||||
167 | White Mountains Insurance Group Ltd. | 145,469 | ||||||
35,494 | Willis Towers Watson PLC | 5,269,794 | ||||||
3,433 | WR Berkley Corp. | 228,775 | ||||||
9,849 | XL Group Ltd. | 403,415 | ||||||
|
| |||||||
Total Insurance | 54,963,993 | |||||||
|
| |||||||
Mortgage Real Estate Investment Trusts (REITs) — 0.1% | ||||||||
14,078 | AGNC Investment Corp. | 303,240 | ||||||
36,915 | Annaly Capital Management Inc. | 461,438 | ||||||
7,531 | Chimera Investment Corp. | 143,616 | ||||||
14,863 | MFA Financial Inc. | 130,497 | ||||||
10,942 | New Residential Investment Corp. | 180,324 | ||||||
9,872 | Starwood Property Trust Inc. | 219,257 | ||||||
13,649 | Two Harbors Investment Corp. | 139,629 | ||||||
|
| |||||||
Total Mortgage Real Estate Investment Trusts (REITs) | 1,578,001 | |||||||
|
|
See Notes to Financial Statements.
40
Schedules of Investments |
(continued) |
Large Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
FINANCIALS — 12.1% — (continued) | ||||||||
Thrifts & Mortgage Finance — 0.0% | ||||||||
18,738 | New York Community Bancorp Inc. | $ | 225,793 | |||||
2,294 | TFS Financial Corp. | 35,282 | ||||||
|
| |||||||
Total Thrifts & Mortgage Finance | 261,075 | |||||||
|
| |||||||
TOTAL FINANCIALS | 204,476,600 | |||||||
|
| |||||||
HEALTH CARE — 14.5% | ||||||||
Biotechnology — 3.1% | ||||||||
60,883 | AbbVie Inc. | 4,584,490 | ||||||
3,868 | ACADIA Pharmaceuticals Inc.*(a) | 137,739 | ||||||
1,705 | Agios Pharmaceuticals Inc.*(a) | 107,858 | ||||||
43,676 | Alexion Pharmaceuticals Inc.* | 6,219,899 | ||||||
5,601 | Alkermes PLC* | 284,419 | ||||||
2,833 | Alnylam Pharmaceuticals Inc.* | 242,873 | ||||||
28,113 | Amgen Inc. | 4,997,648 | ||||||
8,102 | Biogen Inc.* | 2,564,769 | ||||||
6,694 | BioMarin Pharmaceutical Inc.* | 603,732 | ||||||
4,263 | Bioverativ Inc.* | 241,669 | ||||||
104,953 | Celgene Corp.* | 14,581,120 | ||||||
11,373 | Exelixis Inc.* | 332,547 | ||||||
49,715 | Gilead Sciences Inc. | 4,161,643 | ||||||
6,448 | Incyte Corp.* | 886,020 | ||||||
26,191 | Intercept Pharmaceuticals Inc.*(a) | 3,054,133 | ||||||
2,292 | Intrexon Corp.*(a) | 45,221 | ||||||
4,581 | Ionis Pharmaceuticals Inc.*(a) | 245,633 | ||||||
2,592 | Juno Therapeutics Inc.*(a) | 106,972 | ||||||
3,124 | Neurocrine Biosciences Inc.* | 176,818 | ||||||
13,169 | OPKO Health Inc.*(a) | 84,282 | ||||||
2,995 | Regeneron Pharmaceuticals Inc.* | 1,488,216 | ||||||
3,529 | Seattle Genetics Inc.* | 185,378 | ||||||
1,323 | TESARO Inc.* | 170,852 | ||||||
1,650 | United Therapeutics Corp.* | 215,820 | ||||||
45,650 | Vertex Pharmaceuticals Inc.* | 7,328,651 | ||||||
|
| |||||||
Total Biotechnology | 53,048,402 | |||||||
|
| |||||||
Health Care Equipment & Supplies — 3.4% | ||||||||
191,172 | Abbott Laboratories | 9,738,302 | ||||||
1,457 | ABIOMED Inc.* | 219,715 | ||||||
3,487 | Alere Inc.* | 172,467 | ||||||
3,058 | Align Technology Inc.* | 540,471 | ||||||
19,047 | Baxter International Inc. | 1,181,676 | ||||||
8,547 | Becton Dickinson and Co. | 1,704,614 | ||||||
52,392 | Boston Scientific Corp.* | 1,443,399 | ||||||
1,810 | Cooper Cos., Inc. (The) | 454,002 | ||||||
2,773 | CR Bard Inc. | 889,606 | ||||||
23,415 | Danaher Corp. | 1,953,279 | ||||||
8,679 | DENTSPLY SIRONA Inc. | 490,971 | ||||||
42,013 | DexCom Inc.* | 3,134,590 | ||||||
88,848 | Edwards Lifesciences Corp.* | 10,098,464 | ||||||
2,383 | Hill-Rom Holdings Inc. | 183,396 | ||||||
10,473 | Hologic Inc.* | 404,258 | ||||||
3,358 | IDEXX Laboratories Inc.* | 521,934 | ||||||
1,397 | Intuitive Surgical Inc.* | 1,403,524 | ||||||
223,357 | Medtronic PLC | 18,007,041 | ||||||
5,255 | ResMed Inc. | 407,683 | ||||||
3,311 | STERIS PLC | 288,587 |
See Notes to Financial Statements.
41
Schedules of Investments |
(continued) |
Large Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
HEALTH CARE — 14.5% — (continued) | ||||||||
Health Care Equipment & Supplies — 3.4% — (continued) | ||||||||
12,994 | Stryker Corp. | $ | 1,836,962 | |||||
1,648 | Teleflex Inc. | 348,964 | ||||||
3,594 | Varian Medical Systems Inc.* | 381,862 | ||||||
2,675 | West Pharmaceutical Services Inc. | 232,832 | ||||||
7,729 | Zimmer Biomet Holdings Inc. | 883,193 | ||||||
|
| |||||||
Total Health Care Equipment & Supplies | 56,921,792 | |||||||
|
| |||||||
Health Care Providers & Services — 3.3% | ||||||||
2,958 | Acadia Healthcare Co., Inc.* | 138,849 | ||||||
44,783 | Aetna Inc. | 7,062,279 | ||||||
6,093 | AmerisourceBergen Corp., Class A Shares | 488,963 | ||||||
36,187 | Anthem Inc. | 7,094,099 | ||||||
7,492 | Brookdale Senior Living Inc.* | 90,878 | ||||||
95,699 | Cardinal Health Inc. | 6,455,855 | ||||||
6,539 | Centene Corp.* | 580,990 | ||||||
9,472 | Cigna Corp. | 1,724,472 | ||||||
5,811 | DaVita Inc.* | 340,292 | ||||||
4,294 | Envision Healthcare Corp.* | 225,049 | ||||||
125,585 | Express Scripts Holding Co.* | 7,889,250 | ||||||
11,326 | HCA Healthcare Inc.* | 890,903 | ||||||
3,044 | Henry Schein Inc.* | 528,682 | ||||||
5,508 | Humana Inc. | 1,418,971 | ||||||
3,907 | Laboratory Corp. of America Holdings* | 612,891 | ||||||
1,470 | LifePoint Health Inc.* | 85,186 | ||||||
8,102 | McKesson Corp. | 1,209,710 | ||||||
3,616 | MEDNAX Inc.* | 162,178 | ||||||
3,379 | Patterson Cos., Inc. | 130,092 | ||||||
1,786 | Premier Inc., Class A Shares* | 59,831 | ||||||
68,645 | Quest Diagnostics Inc. | 7,437,686 | ||||||
51,880 | UnitedHealth Group Inc. | 10,318,932 | ||||||
3,188 | Universal Health Services Inc., Class B Shares | 344,718 | ||||||
2,938 | VCA Inc.* | 273,116 | ||||||
1,656 | WellCare Health Plans Inc.* | 289,270 | ||||||
|
| |||||||
Total Health Care Providers & Services | 55,853,142 | |||||||
|
| |||||||
Health Care Technology — 0.1% | ||||||||
1,406 | athenahealth Inc.* | 198,148 | ||||||
11,023 | Cerner Corp.* | 747,139 | ||||||
3,883 | Veeva Systems Inc., Class A Shares* | 231,038 | ||||||
|
| |||||||
Total Health Care Technology | 1,176,325 | |||||||
|
| |||||||
Life Sciences Tools & Services — 0.7% | ||||||||
12,356 | Agilent Technologies Inc. | 799,680 | ||||||
772 | Bio-Rad Laboratories Inc., Class A Shares* | 168,157 | ||||||
1,334 | Bio-Techne Corp. | 165,123 | ||||||
4,305 | Bruker Corp. | 125,233 | ||||||
1,892 | Charles River Laboratories International Inc.* | 205,850 | ||||||
27,346 | Illumina Inc.* | 5,591,163 | ||||||
970 | Mettler-Toledo International Inc.* | 586,937 | ||||||
3,967 | PerkinElmer Inc. | 265,749 | ||||||
8,967 | QIAGEN NV* | 288,469 | ||||||
4,800 | Quintiles IMS Holdings Inc.* | 460,944 | ||||||
14,909 | Thermo Fisher Scientific Inc. | 2,790,070 | ||||||
3,249 | VWR Corp.* | 107,282 | ||||||
2,927 | Waters Corp.* | 537,046 | ||||||
|
| |||||||
Total Life Sciences Tools & Services | 12,091,703 | |||||||
|
|
See Notes to Financial Statements.
42
Schedules of Investments |
(continued) |
Large Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
HEALTH CARE — 14.5% — (continued) | ||||||||
Pharmaceuticals — 3.9% | ||||||||
3,460 | Akorn Inc.* | $ | 113,834 | |||||
12,843 | Allergan PLC | 2,947,212 | ||||||
153,233 | Bristol-Myers Squibb Co. | 9,267,532 | ||||||
37,323 | Eli Lilly & Co. | 3,033,987 | ||||||
8,262 | Endo International PLC* | 72,623 | ||||||
157,323 | Johnson & Johnson | 20,824,845 | ||||||
3,590 | Mallinckrodt PLC* | 147,477 | ||||||
211,126 | Merck & Co., Inc. | 13,482,506 | ||||||
20,441 | Mylan NV* | 643,483 | ||||||
5,011 | Perrigo Co. PLC | 395,668 | ||||||
422,054 | Pfizer Inc. | 14,316,072 | ||||||
18,807 | Zoetis Inc., Class A Shares | 1,179,199 | ||||||
|
| |||||||
Total Pharmaceuticals | 66,424,438 | |||||||
|
| |||||||
TOTAL HEALTH CARE | 245,515,802 | |||||||
|
| |||||||
INDUSTRIALS — 9.3% | ||||||||
Aerospace & Defense — 2.1% | ||||||||
15,330 | Arconic Inc. | 390,455 | ||||||
21,744 | Boeing Co. (The) | 5,211,167 | ||||||
3,747 | BWX Technologies Inc. | 205,036 | ||||||
9,907 | General Dynamics Corp. | 1,994,774 | ||||||
1,015 | HEICO Corp. | 87,057 | ||||||
1,922 | HEICO Corp., Class A Shares | 139,633 | ||||||
3,285 | Hexcel Corp. | 176,634 | ||||||
1,780 | Huntington Ingalls Industries Inc. | 380,849 | ||||||
2,971 | L3 Technologies Inc. | 539,177 | ||||||
9,562 | Lockheed Martin Corp. | 2,920,139 | ||||||
30,354 | Northrop Grumman Corp. | 8,262,662 | ||||||
2,082 | Orbital ATK Inc. | 232,310 | ||||||
49,007 | Raytheon Co. | 8,919,764 | ||||||
6,208 | Rockwell Collins Inc. | 813,558 | ||||||
4,609 | Spirit AeroSystems Holdings Inc., Class A Shares | 343,371 | ||||||
1,242 | Teledyne Technologies Inc.* | 186,375 | ||||||
10,311 | Textron Inc. | 506,167 | ||||||
1,855 | TransDigm Group Inc. | 483,524 | ||||||
28,512 | United Technologies Corp. | 3,413,457 | ||||||
|
| |||||||
Total Aerospace & Defense | 35,206,109 | |||||||
|
| |||||||
Air Freight & Logistics — 0.9% | ||||||||
5,390 | CH Robinson Worldwide Inc. | 380,696 | ||||||
6,998 | Expeditors International of Washington Inc. | 392,588 | ||||||
9,453 | FedEx Corp. | 2,026,534 | ||||||
111,595 | United Parcel Service Inc., Class B Shares | 12,762,004 | ||||||
4,354 | XPO Logistics Inc.* | 266,465 | ||||||
|
| |||||||
Total Air Freight & Logistics | 15,828,287 | |||||||
|
| |||||||
Airlines — 0.3% | ||||||||
4,577 | Alaska Air Group Inc. | 341,719 | ||||||
17,021 | American Airlines Group Inc. | 761,520 | ||||||
1,129 | Copa Holdings SA, Class A Shares | 140,075 | ||||||
25,759 | Delta Air Lines Inc. | 1,215,567 | ||||||
13,191 | JetBlue Airways Corp.* | 261,314 | ||||||
21,414 | Southwest Airlines Co. | 1,116,526 | ||||||
2,868 | Spirit Airlines Inc.* | 97,655 | ||||||
10,715 | United Continental Holdings Inc.* | 663,901 | ||||||
|
| |||||||
Total Airlines | 4,598,277 | |||||||
|
|
See Notes to Financial Statements.
43
Schedules of Investments |
(continued) |
Large Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
INDUSTRIALS — 9.3% — (continued) | ||||||||
Building Products — 0.4% | ||||||||
3,461 | Allegion PLC | $ | 272,415 | |||||
5,216 | AO Smith Corp. | 290,479 | ||||||
1,898 | Armstrong World Industries Inc.* | 90,155 | ||||||
5,971 | Fortune Brands Home & Security Inc. | 373,367 | ||||||
136,514 | Johnson Controls International PLC | 5,404,589 | ||||||
1,405 | Lennox International Inc. | 232,851 | ||||||
12,286 | Masco Corp. | 451,756 | ||||||
4,332 | Owens Corning | 321,131 | ||||||
3,611 | USG Corp.* | 108,330 | ||||||
|
| |||||||
Total Building Products | 7,545,073 | |||||||
|
| |||||||
Commercial Services & Supplies — 0.7% | ||||||||
3,335 | Cintas Corp. | 450,258 | ||||||
2,132 | Clean Harbors Inc.* | 115,320 | ||||||
62,661 | Copart Inc.* | 2,048,388 | ||||||
5,436 | KAR Auction Services Inc. | 245,109 | ||||||
7,608 | Pitney Bowes Inc. | 97,763 | ||||||
8,958 | Republic Services Inc., Class A Shares | 584,420 | ||||||
3,465 | Rollins Inc. | 153,881 | ||||||
3,057 | Stericycle Inc.* | 219,768 | ||||||
108,082 | Waste Management Inc. | 8,334,203 | ||||||
|
| |||||||
Total Commercial Services & Supplies | 12,249,110 | |||||||
|
| |||||||
Construction & Engineering — 0.1% | ||||||||
49,588 | AECOM* | 1,661,198 | ||||||
5,232 | Fluor Corp. | 201,798 | ||||||
4,504 | Jacobs Engineering Group Inc. | 245,423 | ||||||
5,790 | Quanta Services Inc.* | 208,035 | ||||||
876 | Valmont Industries Inc. | 125,750 | ||||||
|
| |||||||
Total Construction & Engineering | 2,442,204 | |||||||
|
| |||||||
Electrical Equipment — 0.7% | ||||||||
16,647 | Acuity Brands Inc. | 2,943,023 | ||||||
8,723 | AMETEK Inc. | 551,730 | ||||||
77,016 | Eaton Corp. PLC | 5,526,668 | ||||||
24,587 | Emerson Electric Co. | 1,451,616 | ||||||
2,063 | Hubbell Inc., Class B Shares | 232,686 | ||||||
1,821 | Regal Beloit Corp. | 137,303 | ||||||
4,918 | Rockwell Automation Inc. | 806,847 | ||||||
6,648 | Sensata Technologies Holding NV* | 296,900 | ||||||
|
| |||||||
Total Electrical Equipment | 11,946,773 | |||||||
|
| |||||||
Industrial Conglomerates — 1.1% | ||||||||
22,144 | 3M Co. | 4,524,462 | ||||||
2,434 | Carlisle Cos., Inc. | 230,476 | ||||||
332,242 | General Electric Co. | 8,156,541 | ||||||
29,070 | Honeywell International Inc. | 4,019,509 | ||||||
3,855 | Roper Technologies Inc. | 889,194 | ||||||
|
| |||||||
Total Industrial Conglomerates | 17,820,182 | |||||||
|
| |||||||
Machinery — 1.0% | ||||||||
2,516 | AGCO Corp. | 172,220 | ||||||
5,207 | Allison Transmission Holdings Inc. | 180,839 | ||||||
21,683 | Caterpillar Inc. | 2,547,536 | ||||||
3,633 | Colfax Corp.* | 144,884 | ||||||
1,784 | Crane Co. | 132,426 |
See Notes to Financial Statements.
44
Schedules of Investments |
(continued) |
Large Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
INDUSTRIALS — 9.3% — (continued) | ||||||||
Machinery — 1.0% — (continued) | ||||||||
6,069 | Cummins Inc. | $ | 967,277 | |||||
12,138 | Deere & Co. | 1,407,158 | ||||||
4,721 | Donaldson Co., Inc. | 223,067 | ||||||
5,800 | Dover Corp. | 492,304 | ||||||
4,809 | Flowserve Corp. | 188,898 | ||||||
11,823 | Fortive Corp. | 768,140 | ||||||
1,500 | Gardner Denver Holdings Inc.* | 35,235 | ||||||
2,061 | Graco Inc. | 238,066 | ||||||
2,868 | IDEX Corp. | 337,220 | ||||||
11,656 | Illinois Tool Works Inc. | 1,602,817 | ||||||
9,822 | Ingersoll-Rand PLC | 838,701 | ||||||
3,707 | ITT Inc. | 149,615 | ||||||
2,303 | Lincoln Electric Holdings Inc. | 199,993 | ||||||
2,151 | Middleby Corp. (The)* | 261,777 | ||||||
2,154 | Nordson Corp. | 235,432 | ||||||
2,872 | Oshkosh Corp. | 214,251 | ||||||
13,136 | PACCAR Inc. | 871,311 | ||||||
5,065 | Parker-Hannifin Corp. | 814,908 | ||||||
6,243 | Pentair PLC | 387,378 | ||||||
2,218 | Snap-on Inc. | 327,310 | ||||||
5,857 | Stanley Black & Decker Inc. | 843,408 | ||||||
3,802 | Terex Corp. | 146,567 | ||||||
2,775 | Timken Co. (The) | 124,459 | ||||||
4,055 | Toro Co. (The) | 250,112 | ||||||
6,079 | Trinity Industries Inc. | 175,318 | ||||||
1,978 | WABCO Holdings Inc.* | 284,080 | ||||||
3,106 | Wabtec Corp. | 219,190 | ||||||
5,224 | Welbilt Inc.* | 103,958 | ||||||
6,974 | Xylem Inc. | 432,876 | ||||||
|
| |||||||
Total Machinery | 16,318,731 | |||||||
|
| |||||||
Marine — 0.0% | ||||||||
1,872 | Kirby Corp.* | 117,187 | ||||||
|
| |||||||
Professional Services — 0.6% | ||||||||
1,462 | Dun & Bradstreet Corp. (The) | 162,925 | ||||||
4,563 | Equifax Inc. | 650,091 | ||||||
15,023 | IHS Markit Ltd.* | 703,677 | ||||||
2,472 | ManpowerGroup Inc. | 275,653 | ||||||
13,777 | Nielsen Holdings PLC | 535,236 | ||||||
4,773 | Robert Half International Inc. | 216,217 | ||||||
4,544 | TransUnion* | 217,476 | ||||||
82,050 | Verisk Analytics Inc., Class A Shares* | 6,650,153 | ||||||
|
| |||||||
Total Professional Services | 9,411,428 | |||||||
|
| |||||||
Road & Rail — 0.6% | ||||||||
241 | AMERCO | 89,944 | ||||||
28,859 | Avis Budget Group Inc.* | 1,045,561 | ||||||
33,669 | CSX Corp. | 1,690,184 | ||||||
2,303 | Genesee & Wyoming Inc., Class A Shares* | 157,894 | ||||||
31,016 | Hertz Global Holdings Inc.*(a) | 674,288 | ||||||
3,285 | JB Hunt Transport Services Inc. | 324,854 | ||||||
4,089 | Kansas City Southern | 422,925 | ||||||
1,508 | Landstar System Inc. | 140,772 | ||||||
11,072 | Norfolk Southern Corp. | 1,334,397 | ||||||
2,218 | Old Dominion Freight Line Inc. | 221,578 |
See Notes to Financial Statements.
45
Schedules of Investments |
(continued) |
Large Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
INDUSTRIALS — 9.3% — (continued) | ||||||||
Road & Rail — 0.6% — (continued) | ||||||||
2,162 | Ryder System Inc. | $ | 167,771 | |||||
30,871 | Union Pacific Corp. | 3,250,716 | ||||||
|
| |||||||
Total Road & Rail | 9,520,884 | |||||||
|
| |||||||
Trading Companies & Distributors — 0.8% | ||||||||
56,549 | AerCap Holdings NV* | 2,844,415 | ||||||
3,462 | Air Lease Corp., Class A Shares | 140,696 | ||||||
207,696 | Fastenal Co. | 8,862,388 | ||||||
7,320 | HD Supply Holdings Inc.* | 243,756 | ||||||
1,736 | MSC Industrial Direct Co., Inc., Class A Shares | 119,575 | ||||||
3,297 | United Rentals Inc.* | 389,244 | ||||||
3,689 | Univar Inc.* | 104,067 | ||||||
1,206 | Watsco Inc. | 177,716 | ||||||
1,813 | WESCO International Inc.* | 91,466 | ||||||
1,916 | WW Grainger Inc. | 311,484 | ||||||
|
| |||||||
Total Trading Companies & Distributors | 13,284,807 | |||||||
|
| |||||||
Transportation Infrastructure — 0.0% | ||||||||
2,822 | Macquarie Infrastructure Corp. | 210,183 | ||||||
|
| |||||||
TOTAL INDUSTRIALS | 156,499,235 | |||||||
|
| |||||||
INFORMATION TECHNOLOGY — 25.2% | ||||||||
Communications Equipment — 2.5% | ||||||||
2,069 | Arista Networks Inc.* | 364,454 | ||||||
49,829 | ARRIS International PLC* | 1,388,236 | ||||||
14,910 | Brocade Communications Systems Inc. | 184,586 | ||||||
778,876 | Cisco Systems Inc. | 25,087,596 | ||||||
60,615 | CommScope Holding Co., Inc.* | 2,003,932 | ||||||
1,572 | EchoStar Corp., Class A Shares* | 94,792 | ||||||
2,352 | F5 Networks Inc.* | 280,782 | ||||||
4,692 | Harris Corp. | 576,647 | ||||||
14,065 | Juniper Networks Inc. | 390,022 | ||||||
133,759 | Motorola Solutions Inc. | 11,786,843 | ||||||
3,481 | Palo Alto Networks Inc.* | 461,894 | ||||||
|
| |||||||
Total Communications Equipment | 42,619,784 | |||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 1.2% | ||||||||
11,459 | Amphenol Corp., Class A Shares | 927,491 | ||||||
3,206 | Arrow Electronics Inc.* | 254,653 | ||||||
4,515 | Avnet Inc. | 174,144 | ||||||
5,951 | CDW Corp. | 377,412 | ||||||
29,510 | Cognex Corp. | 3,215,705 | ||||||
987 | Coherent Inc.* | 230,287 | ||||||
193,882 | Corning Inc. | 5,576,046 | ||||||
2,067 | Dolby Laboratories Inc., Class A Shares | 104,301 | ||||||
152,882 | Flex Ltd.* | 2,487,390 | ||||||
4,925 | FLIR Systems Inc. | 187,150 | ||||||
1,302 | IPG Photonics Corp.* | 228,879 | ||||||
6,985 | Jabil Inc. | 218,980 | ||||||
7,172 | Keysight Technologies Inc.* | 293,048 | ||||||
4,190 | National Instruments Corp. | 169,234 | ||||||
59,330 | TE Connectivity Ltd. | 4,722,668 | ||||||
9,393 | Trimble Inc.* | 363,321 | ||||||
1,482 | Universal Display Corp. | 188,362 | ||||||
1,900 | Zebra Technologies Corp., Class A Shares* | 195,871 | ||||||
|
| |||||||
Total Electronic Equipment, Instruments & Components | 19,914,942 | |||||||
|
|
See Notes to Financial Statements.
46
Schedules of Investments |
(continued) |
Large Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
INFORMATION TECHNOLOGY — 25.2% — (continued) | ||||||||
Internet Software & Services — 5.3% | ||||||||
6,281 | Akamai Technologies Inc.* | $ | 296,149 | |||||
33,675 | Alibaba Group Holding Ltd., ADR* | 5,783,345 | ||||||
34,845 | Alphabet Inc., Class A Shares* | 33,285,338 | ||||||
11,570 | Alphabet Inc., Class C Shares* | 10,868,048 | ||||||
1,199 | CoStar Group Inc.* | 343,657 | ||||||
321,089 | eBay Inc.* | 11,600,946 | ||||||
124,505 | Facebook Inc., Class A Shares* | 21,411,125 | ||||||
2,831 | GoDaddy Inc., Class A Shares* | 126,885 | ||||||
2,596 | IAC/InterActiveCorp.* | 294,672 | ||||||
1,848 | LogMeIn Inc. | 211,411 | ||||||
1,231 | Match Group Inc.*(a) | 26,774 | ||||||
12,527 | MercadoLibre Inc. | 3,237,854 | ||||||
9,006 | Pandora Media Inc.*(a) | 76,101 | ||||||
25,745 | Twitter Inc.* | 435,348 | ||||||
3,466 | VeriSign Inc.* | 359,597 | ||||||
2,020 | Zillow Group Inc., Class A Shares* | 80,638 | ||||||
3,740 | Zillow Group Inc., Class C Shares* | 148,179 | ||||||
|
| |||||||
Total Internet Software & Services | 88,586,067 | |||||||
|
| |||||||
IT Services — 4.4% | ||||||||
23,684 | Accenture PLC, Class A Shares | 3,096,920 | ||||||
1,865 | Alliance Data Systems Corp. | 420,558 | ||||||
5,686 | Amdocs Ltd. | 368,396 | ||||||
17,127 | Automatic Data Processing Inc. | 1,823,512 | ||||||
1,029 | Black Knight Financial Services Inc., Class A Shares*(a) | 43,835 | ||||||
5,302 | Booz Allen Hamilton Holding Corp., Class A Shares | 180,851 | ||||||
4,542 | Broadridge Financial Solutions Inc. | 354,866 | ||||||
103,238 | Cognizant Technology Solutions Corp., Class A Shares | 7,306,153 | ||||||
7,994 | Conduent Inc.* | 131,981 | ||||||
3,055 | CoreLogic Inc.* | 143,493 | ||||||
6,013 | CSRA Inc. | 189,470 | ||||||
2,214 | DST Systems Inc. | 113,645 | ||||||
108,218 | DXC Technology Co. | 9,198,530 | ||||||
2,011 | Euronet Worldwide Inc.* | 197,621 | ||||||
12,572 | Fidelity National Information Services Inc. | 1,168,190 | ||||||
13,360 | First Data Corp., Class A Shares* | 245,958 | ||||||
8,127 | Fiserv Inc.* | 1,005,391 | ||||||
3,560 | FleetCor Technologies Inc.* | 511,821 | ||||||
3,383 | Gartner Inc.* | 407,956 | ||||||
4,888 | Genpact Ltd. | 139,064 | ||||||
5,812 | Global Payments Inc. | 554,988 | ||||||
32,819 | International Business Machines Corp. | 4,694,102 | ||||||
2,807 | Jack Henry & Associates Inc. | 289,317 | ||||||
5,657 | Leidos Holdings Inc. | 329,916 | ||||||
35,985 | MasterCard Inc., Class A Shares | 4,796,801 | ||||||
12,340 | Paychex Inc. | 703,750 | ||||||
170,602 | PayPal Holdings Inc.* | 10,522,731 | ||||||
7,525 | Sabre Corp. | 138,761 | ||||||
7,913 | Square Inc., Class A Shares* | 206,608 | ||||||
5,209 | Teradata Corp.* | 166,271 | ||||||
7,024 | Total System Services Inc. | 485,499 | ||||||
5,885 | Vantiv Inc., Class A Shares* | 416,011 | ||||||
202,848 | Visa Inc., Class A Shares | 20,998,825 | ||||||
162,622 | Western Union Co. (The) | 3,076,808 | ||||||
1,564 | WEX Inc.* | 170,695 | ||||||
|
| |||||||
Total IT Services | 74,599,294 | |||||||
|
|
See Notes to Financial Statements.
47
Schedules of Investments |
(continued) |
Large Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
INFORMATION TECHNOLOGY — 25.2% — (continued) | ||||||||
Semiconductors & Semiconductor Equipment — 3.8% | ||||||||
31,628 | Advanced Micro Devices Inc.* | $ | 411,164 | |||||
13,851 | Analog Devices Inc. | 1,158,913 | ||||||
41,330 | Applied Materials Inc. | 1,864,810 | ||||||
34,837 | Broadcom Ltd. | 8,781,363 | ||||||
2,347 | Cavium Inc.* | 148,589 | ||||||
11,528 | Cypress Semiconductor Corp. | 157,818 | ||||||
3,056 | First Solar Inc.* | 143,510 | ||||||
358,311 | Intel Corp. | 12,565,967 | ||||||
6,077 | KLA-Tencor Corp. | 569,354 | ||||||
6,180 | Lam Research Corp. | 1,025,756 | ||||||
14,817 | Marvell Technology Group Ltd. | 265,372 | ||||||
10,952 | Maxim Integrated Products Inc. | 511,020 | ||||||
8,156 | Microchip Technology Inc. | 707,941 | ||||||
40,031 | Micron Technology Inc.* | 1,279,791 | ||||||
33,575 | Microsemi Corp.* | 1,691,509 | ||||||
51,421 | NVIDIA Corp. | 8,712,774 | ||||||
12,719 | NXP Semiconductors NV* | 1,436,738 | ||||||
15,429 | ON Semiconductor Corp.* | 263,527 | ||||||
4,885 | Qorvo Inc.* | 357,680 | ||||||
204,962 | QUALCOMM Inc. | 10,713,364 | ||||||
64,959 | Skyworks Solutions Inc. | 6,844,080 | ||||||
7,647 | Teradyne Inc. | 272,310 | ||||||
38,173 | Texas Instruments Inc. | 3,161,488 | ||||||
3,939 | Versum Materials Inc. | 145,467 | ||||||
9,556 | Xilinx Inc. | 631,269 | ||||||
|
| |||||||
Total Semiconductors & Semiconductor Equipment | 63,821,574 | |||||||
|
| |||||||
Software — 4.8% | ||||||||
108,618 | Activision Blizzard Inc. | 7,120,996 | ||||||
43,926 | Adobe Systems Inc.* | 6,815,558 | ||||||
3,317 | ANSYS Inc.* | 427,296 | ||||||
2,643 | Atlassian Corp. PLC, Class A Shares* | 94,091 | ||||||
7,953 | Autodesk Inc.* | 910,300 | ||||||
212,328 | CA Inc. | 7,045,043 | ||||||
10,821 | Cadence Design Systems Inc.* | 425,157 | ||||||
5,335 | CDK Global Inc. | 344,108 | ||||||
5,816 | Citrix Systems Inc.* | 454,869 | ||||||
7,693 | Dell Technologies Inc., Class V Shares* | 576,436 | ||||||
11,471 | Electronic Arts Inc.* | 1,393,727 | ||||||
6,180 | FireEye Inc.*(a) | 91,279 | ||||||
5,356 | Fortinet Inc.* | 204,599 | ||||||
2,916 | Guidewire Software Inc.* | 220,770 | ||||||
9,301 | Intuit Inc. | 1,315,626 | ||||||
2,877 | Manhattan Associates Inc.* | 120,978 | ||||||
286,703 | Microsoft Corp. | 21,436,783 | ||||||
10,399 | Nuance Communications Inc.* | 167,112 | ||||||
236,514 | Oracle Corp. | 11,903,750 | ||||||
4,264 | PTC Inc.* | 238,784 | ||||||
6,787 | Red Hat Inc.* | 729,603 | ||||||
71,595 | salesforce.com Inc.* | 6,836,607 | ||||||
41,236 | ServiceNow Inc.* | 4,791,211 | ||||||
57,197 | Splunk Inc.* | 3,837,347 | ||||||
6,291 | SS&C Technologies Holdings Inc. | 243,525 | ||||||
23,633 | Symantec Corp. | 708,517 | ||||||
5,803 | Synopsys Inc.* | 466,677 |
See Notes to Financial Statements.
48
Schedules of Investments |
(continued) |
Large Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
INFORMATION TECHNOLOGY — 25.2% — (continued) | ||||||||
Software — 4.8% — (continued) | ||||||||
2,214 | Tableau Software Inc., Class A Shares* | $ | 160,471 | |||||
3,898 | Take-Two Interactive Software Inc.* | 381,185 | ||||||
1,374 | Tyler Technologies Inc.* | 237,427 | ||||||
1,017 | Ultimate Software Group Inc. (The)* | 204,315 | ||||||
2,588 | VMware Inc., Class A Shares* | 279,763 | ||||||
4,999 | Workday Inc., Class A Shares* | 548,340 | ||||||
30,201 | Zynga Inc., Class A Shares* | 113,254 | ||||||
|
| |||||||
Total Software | 80,845,504 | |||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 3.2% | ||||||||
270,899 | Apple Inc. | 44,427,436 | ||||||
63,394 | Hewlett Packard Enterprise Co. | 1,144,896 | ||||||
64,857 | HP Inc. | 1,237,471 | ||||||
42,822 | NCR Corp.* | 1,564,288 | ||||||
10,543 | NetApp Inc. | 407,592 | ||||||
63,789 | Western Digital Corp. | 5,630,655 | ||||||
8,322 | Xerox Corp. | 268,551 | ||||||
|
| |||||||
Total Technology Hardware, Storage & Peripherals | 54,680,889 | |||||||
|
| |||||||
TOTAL INFORMATION TECHNOLOGY | 425,068,054 | |||||||
|
| |||||||
MATERIALS — 3.3% | ||||||||
Chemicals — 2.1% | ||||||||
8,161 | Air Products & Chemicals Inc. | 1,186,365 | ||||||
4,232 | Albemarle Corp. | 492,012 | ||||||
2,448 | Ashland Global Holdings Inc. | 151,898 | ||||||
8,403 | Axalta Coating Systems Ltd.* | 248,057 | ||||||
2,480 | Cabot Corp. | 130,646 | ||||||
47,184 | Celanese Corp., Class A Shares | 4,577,792 | ||||||
8,611 | CF Industries Holdings Inc. | 249,633 | ||||||
7,268 | Chemours Co. (The) | 356,641 | ||||||
46,640 | Dow Chemical Co. (The) | 3,108,556 | ||||||
5,589 | Eastman Chemical Co. | 481,772 | ||||||
9,766 | Ecolab Inc. | 1,301,808 | ||||||
109,401 | EI du Pont de Nemours & Co. | 9,182,026 | ||||||
5,028 | FMC Corp. | 433,514 | ||||||
7,387 | Huntsman Corp. | 196,273 | ||||||
3,011 | International Flavors & Fragrances Inc. | 412,055 | ||||||
12,613 | LyondellBasell Industries NV, Class A Shares | 1,142,612 | ||||||
16,737 | Monsanto Co. | 1,961,576 | ||||||
13,503 | Mosaic Co. (The) | 269,790 | ||||||
290 | NewMarket Corp. | 121,368 | ||||||
5,877 | Olin Corp. | 189,416 | ||||||
9,089 | Platform Specialty Products Corp.* | 106,159 | ||||||
53,032 | PPG Industries Inc. | 5,532,298 | ||||||
10,897 | Praxair Inc. | 1,433,391 | ||||||
4,743 | RPM International Inc. | 232,265 | ||||||
1,814 | Scotts Miracle-Gro Co. (The) | 173,400 | ||||||
3,128 | Sherwin-Williams Co. (The) | 1,061,237 | ||||||
8,101 | Valvoline Inc. | 172,470 | ||||||
1,544 | Westlake Chemical Corp. | 118,749 | ||||||
2,464 | WR Grace & Co. | 176,127 | ||||||
|
| |||||||
Total Chemicals | 35,199,906 | |||||||
|
| |||||||
Construction Materials — 0.1% | ||||||||
1,755 | Eagle Materials Inc. | 170,674 |
See Notes to Financial Statements.
49
Schedules of Investments |
(continued) |
Large Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
MATERIALS — 3.3% — (continued) | ||||||||
Construction Materials — 0.1% — (continued) | ||||||||
2,402 | Martin Marietta Materials Inc. | $ | 509,200 | |||||
5,017 | Vulcan Materials Co. | 608,361 | ||||||
|
| |||||||
Total Construction Materials | 1,288,235 | |||||||
|
| |||||||
Containers & Packaging — 0.9% | ||||||||
2,214 | AptarGroup Inc. | 185,113 | ||||||
3,204 | Avery Dennison Corp. | 302,009 | ||||||
13,255 | Ball Corp. | 530,067 | ||||||
3,307 | Bemis Co., Inc. | 140,911 | ||||||
4,857 | Berry Global Group Inc.* | 273,158 | ||||||
162,448 | Crown Holdings Inc.* | 9,589,305 | ||||||
12,813 | Graphic Packaging Holding Co. | 167,210 | ||||||
15,773 | International Paper Co. | 849,691 | ||||||
52,293 | Owens-Illinois Inc.* | 1,288,500 | ||||||
3,603 | Packaging Corp. of America | 405,013 | ||||||
7,391 | Sealed Air Corp. | 328,013 | ||||||
2,681 | Silgan Holdings Inc. | 80,671 | ||||||
3,691 | Sonoco Products Co. | 178,128 | ||||||
9,588 | WestRock Co. | 545,653 | ||||||
|
| |||||||
Total Containers & Packaging | 14,863,442 | |||||||
|
| |||||||
Metals & Mining — 0.2% | ||||||||
6,687 | Alcoa Corp.* | 293,426 | ||||||
51,825 | Freeport-McMoRan Inc.* | 765,974 | ||||||
20,335 | Newmont Mining Corp. | 779,644 | ||||||
12,212 | Nucor Corp. | 673,003 | ||||||
2,793 | Reliance Steel & Aluminum Co. | 202,269 | ||||||
2,355 | Royal Gold Inc. | 219,674 | ||||||
3,482 | Southern Copper Corp. | 141,717 | ||||||
8,963 | Steel Dynamics Inc. | 308,775 | ||||||
12,091 | Tahoe Resources Inc. | 57,674 | ||||||
7,052 | United States Steel Corp. | 187,654 | ||||||
|
| |||||||
Total Metals & Mining | 3,629,810 | |||||||
|
| |||||||
Paper & Forest Products — 0.0% | ||||||||
2,583 | Domtar Corp. | 104,456 | ||||||
|
| |||||||
TOTAL MATERIALS | 55,085,849 | |||||||
|
| |||||||
REAL ESTATE — 2.5% | ||||||||
Equity Real Estate Investment Trusts (REITs) — 2.4% | ||||||||
3,519 | Alexandria Real Estate Equities Inc. | 426,890 | ||||||
4,920 | American Campus Communities Inc. | 234,143 | ||||||
8,192 | American Homes 4 Rent, Class A Shares | 181,535 | ||||||
16,176 | American Tower Corp. | 2,394,857 | ||||||
5,657 | Apartment Investment & Management Co., Class A Shares | 256,432 | ||||||
9,032 | Apple Hospitality REIT Inc. | 164,202 | ||||||
5,285 | AvalonBay Communities Inc. | 992,153 | ||||||
5,959 | Boston Properties Inc. | 718,655 | ||||||
6,910 | Brandywine Realty Trust | 118,714 | ||||||
11,167 | Brixmor Property Group Inc. | 209,046 | ||||||
3,124 | Camden Property Trust | 279,535 | ||||||
21,412 | Colony NorthStar Inc., Class A Shares | 280,711 | ||||||
4,881 | Columbia Property Trust Inc. | 102,501 | ||||||
4,268 | CoreCivic Inc.(a) | 114,382 | ||||||
1,209 | CoreSite Realty Corp. | 143,581 | ||||||
3,726 | Corporate Office Properties Trust | 124,299 |
See Notes to Financial Statements.
50
Schedules of Investments |
(continued) |
Large Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
REAL ESTATE — 2.5% — (continued) | ||||||||
Equity Real Estate Investment Trusts (REITs) — 2.4% — (continued) | ||||||||
15,349 | Crown Castle International Corp. | $ | 1,664,446 | |||||
6,572 | CubeSmart | 162,000 | ||||||
3,139 | CyrusOne Inc. | 197,851 | ||||||
3,337 | DCT Industrial Trust Inc. | 194,714 | ||||||
10,775 | DDR Corp. | 104,302 | ||||||
6,132 | Digital Realty Trust Inc. | 725,661 | ||||||
5,519 | Douglas Emmett Inc. | 215,020 | ||||||
13,162 | Duke Realty Corp. | 391,175 | ||||||
2,761 | DuPont Fabros Technology Inc. | 177,698 | ||||||
4,957 | Empire State Realty Trust Inc., Class A Shares | 100,875 | ||||||
2,334 | EPR Properties | 162,586 | ||||||
2,979 | Equinix Inc. | 1,395,393 | ||||||
4,904 | Equity Commonwealth* | 151,730 | ||||||
3,016 | Equity LifeStyle Properties Inc. | 268,876 | ||||||
116,638 | Equity Residential | 7,832,242 | ||||||
2,536 | Essex Property Trust Inc. | 674,500 | ||||||
4,770 | Extra Space Storage Inc. | 370,295 | ||||||
2,603 | Federal Realty Investment Trust | 330,399 | ||||||
8,393 | Forest City Realty Trust Inc., Class A Shares | 201,096 | ||||||
7,844 | Gaming and Leisure Properties Inc. | 307,406 | ||||||
23,924 | GGP Inc. | 496,423 | ||||||
18,258 | HCP Inc. | 544,271 | ||||||
6,998 | Healthcare Trust of America Inc., Class A Shares | 217,428 | ||||||
3,892 | Highwoods Properties Inc. | 203,279 | ||||||
5,926 | Hospitality Properties Trust | 162,135 | ||||||
27,574 | Host Hotels & Resorts Inc. | 499,641 | ||||||
5,567 | Hudson Pacific Properties Inc. | 183,711 | ||||||
3,339 | Invitation Homes Inc. | 77,264 | ||||||
10,308 | Iron Mountain Inc. | 406,341 | ||||||
3,340 | JBG SMITH Properties* | 109,318 | ||||||
3,637 | Kilroy Realty Corp. | 251,789 | ||||||
15,777 | Kimco Realty Corp. | 309,545 | ||||||
3,014 | Lamar Advertising Co., Class A Shares | 200,612 | ||||||
5,382 | Liberty Property Trust | 229,273 | ||||||
1,840 | Life Storage Inc. | 135,406 | ||||||
5,286 | Macerich Co. (The) | 278,942 | ||||||
12,903 | Medical Properties Trust Inc. | 169,803 | ||||||
4,272 | Mid-America Apartment Communities Inc. | 454,797 | ||||||
5,741 | National Retail Properties Inc. | 240,146 | ||||||
7,036 | Omega Healthcare Investors Inc.(a) | 224,237 | ||||||
5,049 | Outfront Media Inc. | 111,078 | ||||||
7,238 | Paramount Group Inc. | 114,216 | ||||||
4,536 | Park Hotels & Resorts Inc. | 121,066 | ||||||
5,817 | Piedmont Office Realty Trust Inc., Class A Shares | 117,794 | ||||||
20,235 | Prologis Inc. | 1,282,090 | ||||||
5,664 | Public Storage | 1,163,046 | ||||||
4,316 | Rayonier Inc. | 125,207 | ||||||
10,650 | Realty Income Corp. | 613,014 | ||||||
5,408 | Regency Centers Corp. | 347,843 | ||||||
9,541 | Retail Properties of America Inc., Class A Shares | 127,182 | ||||||
4,603 | SBA Communications Corp., Class A Shares* | 706,791 | ||||||
9,459 | Senior Housing Properties Trust | 186,531 | ||||||
11,919 | Simon Property Group Inc. | 1,869,495 | ||||||
3,924 | SL Green Realty Corp. | 378,195 | ||||||
19,268 | Spirit Realty Capital Inc. | 167,632 |
See Notes to Financial Statements.
51
Schedules of Investments |
(continued) |
Large Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
REAL ESTATE — 2.5% — (continued) | ||||||||
Equity Real Estate Investment Trusts (REITs) — 2.4% — (continued) | ||||||||
6,949 | STORE Capital Corp. | $ | 176,366 | |||||
2,957 | Sun Communities Inc. | 267,047 | ||||||
3,746 | Tanger Factory Outlet Centers Inc. | 87,656 | ||||||
1,998 | Taubman Centers Inc. | 104,376 | ||||||
10,000 | UDR Inc. | 388,200 | ||||||
5,984 | Uniti Group Inc. | 115,252 | ||||||
13,664 | Ventas Inc. | 935,164 | ||||||
35,345 | VEREIT Inc. | 298,312 | ||||||
6,680 | Vornado Realty Trust | 497,593 | ||||||
4,596 | Weingarten Realty Investors | �� | 147,256 | |||||
14,112 | Welltower Inc. | 1,033,281 | ||||||
28,803 | Weyerhaeuser Co. | 939,266 | ||||||
4,296 | WP Carey Inc. | 295,780 | ||||||
|
| |||||||
Total Equity Real Estate Investment Trusts (REITs) | 40,480,991 | |||||||
|
| |||||||
Real Estate Management & Development — 0.1% | ||||||||
11,443 | CBRE Group Inc., Class A Shares* | 412,863 | ||||||
1,234 | Howard Hughes Corp. (The)* | 144,810 | ||||||
1,809 | Jones Lang LaSalle Inc. | 220,535 | ||||||
5,022 | Realogy Holdings Corp. | 170,246 | ||||||
|
| |||||||
Total Real Estate Management & Development | 948,454 | |||||||
|
| |||||||
TOTAL REAL ESTATE | 41,429,445 | |||||||
|
| |||||||
TELECOMMUNICATION SERVICES — 1.9% | ||||||||
Diversified Telecommunication Services — 1.8% | ||||||||
412,496 | AT&T Inc. | 15,452,100 | ||||||
20,888 | CenturyLink Inc.(a) | 411,912 | ||||||
11,324 | Level 3 Communications Inc.* | 616,365 | ||||||
297,845 | Verizon Communications Inc. | 14,287,625 | ||||||
6,737 | Zayo Group Holdings Inc.* | 230,203 | ||||||
|
| |||||||
Total Diversified Telecommunication Services | 30,998,205 | |||||||
|
| |||||||
Wireless Telecommunication Services — 0.1% | ||||||||
22,821 | Sprint Corp.* | 188,273 | ||||||
3,936 | Telephone & Data Systems Inc. | 115,364 | ||||||
11,290 | T-Mobile US Inc.* | 730,576 | ||||||
511 | United States Cellular Corp.* | 19,766 | ||||||
|
| |||||||
Total Wireless Telecommunication Services | 1,053,979 | |||||||
|
| |||||||
TOTAL TELECOMMUNICATION SERVICES | 32,052,184 | |||||||
|
| |||||||
UTILITIES — 2.1% | ||||||||
Electric Utilities — 1.4% | ||||||||
8,663 | Alliant Energy Corp. | 370,257 | ||||||
18,803 | American Electric Power Co., Inc. | 1,384,465 | ||||||
2,229 | Avangrid Inc. | 108,820 | ||||||
26,758 | Duke Energy Corp. | 2,335,973 | ||||||
94,127 | Edison International | 7,547,103 | ||||||
6,938 | Entergy Corp. | 549,281 | ||||||
12,179 | Eversource Energy | 767,277 | ||||||
35,423 | Exelon Corp. | 1,341,469 | ||||||
17,040 | FirstEnergy Corp. | 555,163 | ||||||
7,897 | Great Plains Energy Inc. | 242,359 | ||||||
3,865 | Hawaiian Electric Industries Inc. | 129,168 | ||||||
17,855 | NextEra Energy Inc. | 2,687,356 | ||||||
7,526 | OGE Energy Corp. | 268,829 |
See Notes to Financial Statements.
52
Schedules of Investments |
(continued) |
Large Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
UTILITIES — 2.1% — (continued) | ||||||||
Electric Utilities — 1.4% — (continued) | ||||||||
19,541 | PG&E Corp. | $ | 1,375,295 | |||||
4,344 | Pinnacle West Capital Corp. | 390,830 | ||||||
26,137 | PPL Corp. | 1,025,616 | ||||||
38,058 | Southern Co. (The) | 1,836,679 | ||||||
5,367 | Westar Energy Inc., Class A Shares | 275,381 | ||||||
19,446 | Xcel Energy Inc. | 962,577 | ||||||
|
| |||||||
Total Electric Utilities | 24,153,898 | |||||||
|
| |||||||
Gas Utilities — 0.1% | ||||||||
3,821 | Atmos Energy Corp. | 336,401 | ||||||
2,961 | National Fuel Gas Co. | 171,679 | ||||||
6,794 | UGI Corp. | 335,691 | ||||||
|
| |||||||
Total Gas Utilities | 843,771 | |||||||
|
| |||||||
Independent Power and Renewable Electricity Producers — 0.1% | ||||||||
25,580 | AES Corp. | 282,403 | ||||||
13,718 | Calpine Corp.* | 201,655 | ||||||
11,551 | NRG Energy Inc. | 287,735 | ||||||
8,604 | Vistra Energy Corp. | 152,291 | ||||||
|
| |||||||
Total Independent Power and Renewable Electricity Producers | 924,084 | |||||||
|
| |||||||
Multi-Utilities — 0.5% | ||||||||
9,322 | Ameren Corp. | 559,227 | ||||||
16,652 | CenterPoint Energy Inc. | 493,232 | ||||||
10,768 | CMS Energy Corp. | 522,679 | ||||||
11,685 | Consolidated Edison Inc. | 984,695 | ||||||
24,000 | Dominion Energy Inc. | 1,890,480 | ||||||
6,837 | DTE Energy Co. | 767,932 | ||||||
7,173 | MDU Resources Group Inc. | 193,958 | ||||||
11,775 | NiSource Inc. | 316,394 | ||||||
19,348 | Public Service Enterprise Group Inc. | 906,260 | ||||||
4,954 | SCANA Corp. | 299,122 | ||||||
9,591 | Sempra Energy | 1,131,067 | ||||||
3,276 | Vectren Corp. | 214,938 | ||||||
12,121 | WEC Energy Group Inc. | 790,532 | ||||||
|
| |||||||
Total Multi-Utilities | 9,070,516 | |||||||
|
| |||||||
Water Utilities — 0.0% | ||||||||
6,898 | American Water Works Co., Inc. | 558,048 | ||||||
6,433 | Aqua America Inc. | 214,863 | ||||||
|
| |||||||
Total Water Utilities | 772,911 | |||||||
|
| |||||||
TOTAL UTILITIES | 35,765,180 | |||||||
|
| |||||||
TOTAL COMMON STOCKS (Cost — $1,178,255,674) | 1,646,227,989 | |||||||
|
| |||||||
Face Amount† | ||||||||
SHORT-TERM INVESTMENTS (c) — 2.8% | ||||||||
MONEY MARKET FUND — 0.8% | ||||||||
$ | 14,237,689 | Invesco STIT — Government & Agency Portfolio, Institutional Class(d) (Cost — $14,237,689) | 14,237,689 | |||||
|
| |||||||
TIME DEPOSITS — 2.0% | ||||||||
2,581,595 | Banco Santander SA — Frankfurt, 0.590% due 9/1/17 | 2,581,595 | ||||||
1,894 | CAD | BBH — Grand Cayman, 0.150% due 9/1/17 | 1,517 |
See Notes to Financial Statements.
53
Schedules of Investments |
(continued) |
Large Cap Equity Fund | ||||||||
Face Amount† | Security | Value | ||||||
TIME DEPOSITS — 2.0% — (continued) | ||||||||
$ | 29,594,580 | Citibank — New York, 0.590% due 9/1/17 | $ | 29,594,580 | ||||
1,250,378 | Sumitomo — Tokyo, 0.590% due 9/1/17 | 1,250,378 | ||||||
|
| |||||||
TOTAL TIME DEPOSITS (Cost — $33,427,947) | 33,428,070 | |||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost — $47,665,759) | 47,665,759 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 100.4% (Cost — $1,225,921,310) | 1,693,893,748 | |||||||
|
| |||||||
Liabilities in Excess of Other Assets — (0.4)% | (7,107,689 | ) | ||||||
|
| |||||||
TOTAL NET ASSETS — 100.0% | $ | 1,686,786,059 | ||||||
|
|
† | Amount denominated in U.S. dollars, unless otherwise noted. |
* | Non-income producing security. |
(a) | All or a portion of this security is on loan (See Note 1). |
(b) | Affiliated security (See Note 2). As at August 31, 2017, total cost and total market value of affiliated securities amounted to $1,158,545 and $2,181,953, respectively. |
(c) | Inclusive of all short term holdings, including collateral received from securities lending activities. Excluding such collateral, the percentage of portfolio holdings would be 2.0%. |
(d) | Represents investment of collateral received from securities lending transactions. |
At August 31, 2017, for Large Cap Equity Fund the aggregate cost of investments, the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:
Fund | Aggregate Cost For Federal Income Tax Purposes | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||||||||||
Large Cap Equity Fund | $ | 1,241,331,412 | $ | 498,670,052 | $ | (46,015,682 | ) | $ | 452,654,370 |
Abbreviations used in this schedule: | ||
ADR | — American Depositary Receipts | |
PLC | — Public Limited Company |
Summary of Investments by Security Sector^ | ||||
Information Technology | 25.1 | % | ||
Health Care | 14.5 | |||
Consumer Discretionary | 12.3 | |||
Financials | 12.1 | |||
Industrials | 9.2 | |||
Consumer Staples | 8.4 | |||
Energy | 5.9 | |||
Materials | 3.3 | |||
Real Estate | 2.4 | |||
Utilities | 2.1 | |||
Telecommunication Services | 1.9 | |||
Short-Term Investments | 2.8 | |||
|
| |||
100.0 | % | |||
|
|
^ | As a percentage of total investments. |
See Notes to Financial Statements.
54
Schedules of Investments |
(continued) |
Large Cap Equity Fund |
At August 31, 2017, Large Cap Equity Fund had open exchange traded futures contracts as described below.
The unrealized appreciation (depreciation) on the open contracts reflected in the accompanying financial statements were as follows:
Open Futures Contracts | Number of Contracts | Expiration Date (Month/Year) | Notional Amounts | Market Value | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Contracts to Buy: | ||||||||||||||||||||
S&P 500 E-mini Index September Futures | 85 | 9/17 | $ | 10,394,981 | $ | 10,497,500 | $ | 102,519 | ||||||||||||
S&P MidCap 400 E-mini Index September Futures | 5 | 9/17 | 875,685 | 865,200 | (10,485 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | 92,034 | |||||||||||||||||||
|
|
At August 31, 2017, Large Cap Equity Fund had deposited cash of $380,984 with a broker or brokers as margin collateral on open exchange traded futures contracts.
Currency Abbreviations used in this schedule: | ||
CAD | — Canadian Dollar |
See Notes to Financial Statements.
55
Schedules of Investments |
(continued) |
Small-Mid Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
COMMON STOCKS — 92.0% | ||||||||
CONSUMER DISCRETIONARY — 12.1% | ||||||||
Auto Components — 0.6% | ||||||||
5,065 | Adient PLC | $ | 357,994 | |||||
4,736 | American Axle & Manufacturing Holdings Inc.* | 69,193 | ||||||
2,973 | Cooper Tire & Rubber Co. | 99,893 | ||||||
986 | Cooper-Standard Holdings Inc.* | 99,172 | ||||||
39,464 | Dana Inc. | 949,899 | ||||||
1,527 | Dorman Products Inc.* | 101,423 | ||||||
1,982 | Fox Factory Holding Corp.* | 79,280 | ||||||
15,958 | Gentex Corp. | 291,553 | ||||||
2,073 | Gentherm Inc.* | 64,574 | ||||||
13,795 | Goodyear Tire & Rubber Co. (The) | 417,989 | ||||||
1,235 | Horizon Global Corp.* | 21,242 | ||||||
1,357 | LCI Industries | 134,072 | ||||||
3,822 | Lear Corp. | 571,542 | ||||||
2,802 | Modine Manufacturing Co.* | 45,252 | ||||||
1,075 | Motorcar Parts of America Inc.* | 28,240 | ||||||
370 | Shiloh Industries Inc.*(a) | 3,241 | ||||||
1,214 | Standard Motor Products Inc. | 53,537 | ||||||
1,297 | Stoneridge Inc.* | 21,478 | ||||||
1,453 | Superior Industries International Inc. | 21,286 | ||||||
2,994 | Tenneco Inc. | 162,275 | ||||||
1,179 | Tower International Inc. | 26,469 | ||||||
1,784 | Visteon Corp.* | 205,945 | ||||||
702 | VOXX International Corp., Class A Shares* | 5,686 | ||||||
|
| |||||||
Total Auto Components | 3,831,235 | |||||||
|
| |||||||
Automobiles — 0.0% | ||||||||
2,782 | Thor Industries Inc. | 302,236 | ||||||
1,785 | Winnebago Industries Inc. | 64,528 | ||||||
|
| |||||||
Total Automobiles | 366,764 | |||||||
|
| |||||||
Distributors — 0.2% | ||||||||
2,596 | Core-Mark Holding Co., Inc. | 70,248 | ||||||
24,895 | LKQ Corp.* | 862,612 | ||||||
2,267 | Pool Corp. | 225,997 | ||||||
241 | Weyco Group Inc. | 6,639 | ||||||
|
| |||||||
Total Distributors | 1,165,496 | |||||||
|
| |||||||
Diversified Consumer Services — 0.7% | ||||||||
3,463 | Adtalem Global Education Inc. | 118,435 | ||||||
741 | American Public Education Inc.* | 13,671 | ||||||
460 | Ascent Capital Group Inc., Class A Shares* | 4,568 | ||||||
1,170 | Bridgepoint Education Inc.* | 10,331 | ||||||
27,991 | Bright Horizons Family Solutions Inc.* | 2,237,321 | ||||||
206 | Cambium Learning Group Inc.* | 1,207 | ||||||
638 | Capella Education Co. | 42,969 | ||||||
3,860 | Career Education Corp.* | 37,095 | ||||||
930 | Carriage Services Inc., Class A Shares | 22,776 | ||||||
45,508 | Chegg Inc.*(a) | 645,759 | ||||||
367 | Collectors Universe Inc. | 8,819 | ||||||
241 | Graham Holdings Co., Class B Shares | 141,515 | ||||||
2,614 | Grand Canyon Education Inc.* | 214,479 | ||||||
11,683 | H&R Block Inc. | 312,403 | ||||||
5,857 | Houghton Mifflin Harcourt Co.* | 59,741 | ||||||
1,925 | K12 Inc.* | 34,496 |
See Notes to Financial Statements.
56
Schedules of Investments |
(continued) |
Small-Mid Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
CONSUMER DISCRETIONARY — 12.1% — (continued) | ||||||||
Diversified Consumer Services — 0.7% — (continued) | ||||||||
2,067 | Laureate Education Inc., Class A Shares* | $ | 30,261 | |||||
299 | Liberty Tax Inc. | 4,022 | ||||||
1,630 | Regis Corp.* | 21,646 | ||||||
10,201 | Service Corp. International | 360,503 | ||||||
7,570 | ServiceMaster Global Holdings Inc.* | 356,698 | ||||||
2,141 | Sotheby’s* | 96,067 | ||||||
595 | Strayer Education Inc. | 47,606 | ||||||
1,568 | Weight Watchers International Inc.* | 73,398 | ||||||
|
| |||||||
Total Diversified Consumer Services | 4,895,786 | |||||||
|
| |||||||
Hotels, Restaurants & Leisure — 2.7% | ||||||||
61,940 | Aramark | 2,520,339 | ||||||
5,206 | Belmond Ltd., Class A Shares* | 66,376 | ||||||
66 | Biglari Holdings Inc.* | 19,652 | ||||||
1,227 | BJ’s Restaurants Inc.* | 36,933 | ||||||
5,639 | Bloomin’ Brands Inc. | 95,919 | ||||||
1,115 | Bob Evans Farms Inc. | 76,690 | ||||||
1,117 | Bojangles’ Inc.* | 14,912 | ||||||
4,743 | Boyd Gaming Corp. | 125,405 | ||||||
2,800 | Brinker International Inc. | 87,416 | ||||||
675 | Buffalo Wild Wings Inc.* | 69,356 | ||||||
2,883 | Caesars Acquisition Co., Class A Shares* | 53,768 | ||||||
3,292 | Caesars Entertainment Corp.*(a) | 38,187 | ||||||
2,236 | Carrols Restaurant Group Inc.* | 24,372 | ||||||
1,025 | Century Casinos Inc.* | 7,021 | ||||||
2,543 | Cheesecake Factory Inc. (The) | 105,356 | ||||||
1,892 | Choice Hotels International Inc. | 117,399 | ||||||
756 | Churchill Downs Inc. | 147,722 | ||||||
1,076 | Chuy’s Holdings Inc.* | 20,229 | ||||||
3,694 | ClubCorp Holdings Inc. | 62,798 | ||||||
1,081 | Cracker Barrel Old Country Store Inc.(a) | 160,701 | ||||||
2,367 | Dave & Buster’s Entertainment Inc.* | 138,375 | ||||||
1,025 | Del Frisco’s Restaurant Group Inc.* | 14,350 | ||||||
1,987 | Del Taco Restaurants Inc.* | 27,977 | ||||||
3,966 | Denny’s Corp.* | 47,433 | ||||||
1,021 | DineEquity Inc.(a) | 40,585 | ||||||
2,660 | Domino’s Pizza Inc. | 484,812 | ||||||
5,223 | Dunkin’ Brands Group Inc. | 269,298 | ||||||
983 | El Pollo Loco Holdings Inc.*(a) | 11,157 | ||||||
105,094 | Eldorado Resorts Inc.*(a) | 2,417,162 | ||||||
60 | Empire Resorts Inc.* | 1,401 | ||||||
8,599 | Extended Stay America Inc. | 168,454 | ||||||
1,521 | Fiesta Restaurant Group Inc.* | 26,465 | ||||||
348 | Fogo De Chao Inc.* | 4,402 | ||||||
573 | Golden Entertainment Inc.* | 13,019 | ||||||
1,241 | Habit Restaurants Inc. (The), Class A Shares*(a) | 16,133 | ||||||
3,369 | Hilton Grand Vacations Inc.* | 122,126 | ||||||
2,363 | Hyatt Hotels Corp., Class A Shares* | 140,622 | ||||||
5,971 | ILG Inc. | 157,634 | ||||||
6,158 | International Game Technology PLC | 125,438 | ||||||
978 | International Speedway Corp., Class A Shares | 34,866 | ||||||
603 | J Alexander’s Holdings Inc.* | 5,970 | ||||||
1,780 | Jack in the Box Inc. | 166,644 | ||||||
4,769 | La Quinta Holdings Inc.* | 75,350 | ||||||
1,033 | Lindblad Expeditions Holdings Inc.* | 11,487 |
See Notes to Financial Statements.
57
Schedules of Investments |
(continued) |
Small-Mid Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
CONSUMER DISCRETIONARY — 12.1% — (continued) | ||||||||
Hotels, Restaurants & Leisure — 2.7% — (continued) | ||||||||
1,085 | Marcus Corp. (The) | $ | 27,016 | |||||
1,246 | Marriott Vacations Worldwide Corp. | 144,985 | ||||||
34,943 | MGM Resorts International | 1,151,721 | ||||||
712 | Monarch Casino & Resort Inc.* | 25,326 | ||||||
149 | Nathan’s Famous Inc.* | 8,724 | ||||||
502 | Noodles & Co., Class A Shares*(a) | 1,933 | ||||||
1,541 | Papa John’s International Inc. | 115,251 | ||||||
3,706 | Penn National Gaming Inc.* | 82,236 | ||||||
3,063 | Pinnacle Entertainment Inc.* | 59,729 | ||||||
4,744 | Planet Fitness Inc., Class A Shares | 120,355 | ||||||
1,098 | Potbelly Corp.* | 13,176 | ||||||
363 | RCI Hospitality Holdings Inc. | 8,458 | ||||||
657 | Red Lion Hotels Corp.* | 4,599 | ||||||
738 | Red Robin Gourmet Burgers Inc.* | 42,066 | ||||||
3,973 | Red Rock Resorts Inc., Class A Shares | 89,790 | ||||||
3,389 | Royal Caribbean Cruises Ltd. | 421,795 | ||||||
2,263 | Ruby Tuesday Inc.* | 4,865 | ||||||
1,725 | Ruth’s Hospitality Group Inc. | 33,724 | ||||||
2,985 | Scientific Games Corp., Class A Shares* | 105,072 | ||||||
146,110 | SeaWorld Entertainment Inc.(a) | 1,896,508 | ||||||
1,268 | Shake Shack Inc., Class A Shares*(a) | 39,207 | ||||||
4,015 | Six Flags Entertainment Corp. | 219,099 | ||||||
53,272 | Sonic Corp.(a) | 1,247,098 | ||||||
858 | Speedway Motorsports Inc. | 17,855 | ||||||
14,835 | Texas Roadhouse Inc., Class A Shares | 703,921 | ||||||
9,703 | Vail Resorts Inc. | 2,211,799 | ||||||
10,422 | Wendy’s Co. (The) | 155,496 | ||||||
1,719 | Wingstop Inc.(a) | 55,713 | ||||||
13,972 | Yum! Brands Inc. | 1,073,329 | ||||||
945 | Zoe’s Kitchen Inc.*(a) | 12,162 | ||||||
|
| |||||||
Total Hotels, Restaurants & Leisure | 18,464,719 | |||||||
|
| |||||||
Household Durables — 1.8% | ||||||||
554 | AV Homes Inc.* | 8,559 | ||||||
641 | Bassett Furniture Industries Inc. | 22,980 | ||||||
1,865 | Beazer Homes USA Inc.* | 27,807 | ||||||
4,006 | CalAtlantic Group Inc. | 139,209 | ||||||
484 | Cavco Industries Inc.* | 65,122 | ||||||
1,109 | Century Communities Inc.* | 25,008 | ||||||
597 | CSS Industries Inc. | 15,988 | ||||||
1,406 | Ethan Allen Interiors Inc. | 41,125 | ||||||
435 | Flexsteel Industries Inc. | 19,792 | ||||||
6,026 | GoPro Inc., Class A Shares* | 55,499 | ||||||
1,498 | Green Brick Partners Inc.*(a) | 14,156 | ||||||
1,523 | Helen of Troy Ltd.* | 137,527 | ||||||
686 | Hooker Furniture Corp. | 27,612 | ||||||
7,439 | Hovnanian Enterprises Inc., Class A Shares* | 13,539 | ||||||
38,057 | Installed Building Products Inc.* | 2,195,889 | ||||||
1,477 | iRobot Corp.* | 140,935 | ||||||
4,721 | KB Home | 101,029 | ||||||
2,714 | La-Z-Boy Inc. | 64,729 | ||||||
7,288 | Leggett & Platt Inc. | 335,029 | ||||||
992 | LGI Homes Inc.*(a) | 42,200 | ||||||
1,046 | Libbey Inc. | 8,546 | ||||||
440 | Lifetime Brands Inc. | 7,656 |
See Notes to Financial Statements.
58
Schedules of Investments |
(continued) |
Small-Mid Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
CONSUMER DISCRETIONARY — 12.1% — (continued) | ||||||||
Household Durables — 1.8% — (continued) | ||||||||
1,374 | M/I Homes Inc.* | $ | 33,800 | |||||
2,359 | MDC Holdings Inc. | 73,719 | ||||||
2,188 | Meritage Homes Corp.* | 89,052 | ||||||
15,876 | Mohawk Industries Inc.* | 4,018,533 | ||||||
193 | NACCO Industries Inc., Class A Shares | 13,993 | ||||||
522 | New Home Co., Inc. (The)* | 5,387 | ||||||
186 | NVR Inc.* | 506,078 | ||||||
1,408 | PICO Holdings Inc.* | 22,880 | ||||||
16,430 | PulteGroup Inc. | 424,223 | ||||||
3,449 | Taylor Morrison Home Corp., Class A Shares* | 69,739 | ||||||
2,613 | Tempur Sealy International Inc.*(a) | 161,745 | ||||||
8,559 | Toll Brothers Inc. | 333,459 | ||||||
45,174 | TopBuild Corp.* | 2,681,077 | ||||||
8,922 | TRI Pointe Group Inc.* | 113,666 | ||||||
2,841 | Tupperware Brands Corp. | 164,409 | ||||||
788 | Universal Electronics Inc.* | 46,137 | ||||||
1,392 | William Lyon Homes, Class A Shares* | 33,394 | ||||||
1,897 | ZAGG Inc.* | 23,902 | ||||||
|
| |||||||
Total Household Durables | 12,325,129 | |||||||
|
| |||||||
Internet & Direct Marketing Retail — 0.5% | ||||||||
1,715 | 1-800-Flowers.com Inc., Class A Shares* | 15,435 | ||||||
474 | Duluth Holdings Inc., Class B Shares* | 9,286 | ||||||
11,489 | Expedia Inc. | 1,704,508 | ||||||
801 | FTD Cos., Inc.* | 10,725 | ||||||
379 | Gaia Inc., Class A Shares* | 4,226 | ||||||
19,166 | Groupon Inc., Class A Shares* | 85,097 | ||||||
1,836 | HSN Inc. | 67,381 | ||||||
647 | Lands’ End Inc.*(a) | 7,861 | ||||||
3,076 | Liberty Expedia Holdings Inc., Class A Shares* | 168,227 | ||||||
4,169 | Liberty TripAdvisor Holdings Inc., Class A Shares* | 55,656 | ||||||
4,484 | Liberty Ventures, Series A* | 276,035 | ||||||
1,657 | Nutrisystem Inc. | 89,975 | ||||||
1,125 | Overstock.com Inc.* | 24,694 | ||||||
1,105 | PetMed Express Inc. | 40,078 | ||||||
1,905 | Shutterfly Inc.* | 86,830 | ||||||
6,232 | TripAdvisor Inc.* | 266,293 | ||||||
2,155 | Wayfair Inc., Class A Shares* | 153,027 | ||||||
|
| |||||||
Total Internet & Direct Marketing Retail | 3,065,334 | |||||||
|
| |||||||
Leisure Products — 0.5% | ||||||||
55,861 | Acushnet Holdings Corp.(a) | 918,355 | ||||||
3,185 | American Outdoor Brands Corp.*(a) | 51,979 | ||||||
32,139 | Brunswick Corp. | 1,686,655 | ||||||
5,288 | Callaway Golf Co. | 73,715 | ||||||
725 | Clarus Corp.* | 5,256 | ||||||
544 | Escalade Inc. | 6,555 | ||||||
220 | Johnson Outdoors Inc., Class A Shares | 14,036 | ||||||
1,045 | Malibu Boats Inc., Class A Shares* | 28,184 | ||||||
338 | Marine Products Corp. | 5,266 | ||||||
1,153 | MCBC Holdings Inc.* | 19,762 | ||||||
1,832 | Nautilus Inc.* | 29,953 | ||||||
3,331 | Polaris Industries Inc.(a) | 310,549 | ||||||
956 | Sturm Ruger & Co., Inc.(a) | 43,785 | ||||||
3,278 | Vista Outdoor Inc.* | 67,199 | ||||||
|
| |||||||
Total Leisure Products | 3,261,249 | |||||||
|
|
See Notes to Financial Statements.
59
Schedules of Investments |
(continued) |
Small-Mid Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
CONSUMER DISCRETIONARY — 12.1% — (continued) | ||||||||
Media — 1.4% | ||||||||
3,158 | AMC Entertainment Holdings Inc., Class A Shares(a) | $ | 42,317 | |||||
3,055 | AMC Networks Inc., Class A Shares* | 185,683 | ||||||
262 | Cable One Inc. | 198,790 | ||||||
4,863 | Central European Media Enterprises Ltd., Class A Shares*(a) | 20,182 | ||||||
5,996 | Cinemark Holdings Inc. | 199,607 | ||||||
1,440 | Clear Channel Outdoor Holdings Inc., Class A Shares | 5,544 | ||||||
56 | Daily Journal Corp.*(a) | 11,754 | ||||||
970 | Emerald Expositions Events Inc.(a) | 21,088 | ||||||
1,928 | Entercom Communications Corp., Class A Shares(a) | 19,858 | ||||||
3,206 | Entravision Communications Corp., Class A Shares | 17,793 | ||||||
1,361 | Eros International PLC*(a) | 13,270 | ||||||
3,328 | EW Scripps Co. (The), Class A Shares* | 59,505 | ||||||
6,715 | Gannett Co., Inc. | 57,010 | ||||||
2,205 | Global Eagle Entertainment Inc.*(a) | 6,813 | ||||||
3,681 | Gray Television Inc.* | 52,638 | ||||||
618 | Hemisphere Media Group Inc., Class A Shares* | 8,003 | ||||||
20,806 | IMAX Corp.* | 388,032 | ||||||
22,230 | Interpublic Group of Cos., Inc. (The) | 447,712 | ||||||
2,497 | John Wiley & Sons Inc., Class A Shares | 134,713 | ||||||
513 | Liberty Media Corp-Liberty Braves, Class A Shares* | 12,522 | ||||||
1,982 | Liberty Media Corp-Liberty Braves, Class C Shares* | 48,500 | ||||||
1,408 | Liberty Media Corp-Liberty Formula One, Class A Shares*(a) | 53,405 | ||||||
6,380 | Liberty Media Corp-Liberty Formula One, Class C Shares* | 250,734 | ||||||
2,980 | Lions Gate Entertainment Corp., Class A Shares* | 88,595 | ||||||
69,791 | Lions Gate Entertainment Corp., Class B Shares* | 1,959,033 | ||||||
7,532 | Live Nation Entertainment Inc.* | 300,979 | ||||||
608 | Loral Space & Communications Inc.* | 27,603 | ||||||
8,383 | Madison Square Garden Co. (The), Class A Shares* | 1,781,471 | ||||||
3,309 | MDC Partners Inc., Class A Shares* | 33,752 | ||||||
2,214 | Meredith Corp. | 120,331 | ||||||
19,440 | MSG Networks Inc., Class A Shares* | 416,988 | ||||||
3,872 | National CineMedia Inc. | 20,948 | ||||||
3,087 | New Media Investment Group Inc. | 42,570 | ||||||
7,024 | New York Times Co. (The), Class A Shares | 130,998 | ||||||
20,360 | Nexstar Media Group Inc., Class A Shares | 1,225,672 | ||||||
846 | Reading International Inc., Class A Shares* | 13,333 | ||||||
6,326 | Regal Entertainment Group, Class A Shares(a) | 93,435 | ||||||
152 | Saga Communications Inc., Class A Shares | 6,209 | ||||||
576 | Salem Media Group Inc., Class A Shares | 3,485 | ||||||
1,613 | Scholastic Corp. | 63,601 | ||||||
4,096 | Sinclair Broadcast Group Inc., Class A Shares | 123,904 | ||||||
12,151 | TEGNA Inc. | 153,346 | ||||||
5,701 | Time Inc. | 74,968 | ||||||
542 | Townsquare Media Inc., Class A Shares* | 5,409 | ||||||
4,120 | Tribune Media Co., Class A Shares | 165,088 | ||||||
1,276 | tronc Inc.* | 18,515 | ||||||
2,157 | World Wrestling Entertainment Inc., Class A Shares(a) | 47,023 | ||||||
|
| |||||||
Total Media | 9,172,729 | |||||||
|
| |||||||
Multiline Retail — 0.5% | ||||||||
2,510 | Big Lots Inc.(a) | 119,476 | ||||||
867 | Dillard’s Inc., Class A Shares(a) | 52,714 | ||||||
19,963 | Dollar General Corp. | 1,448,515 | ||||||
9,346 | Dollar Tree Inc.* | 744,316 | ||||||
1,372 | Fred’s Inc., Class A Shares(a) | 8,122 |
See Notes to Financial Statements.
60
Schedules of Investments |
(continued) |
Small-Mid Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
CONSUMER DISCRETIONARY — 12.1% — (continued) | ||||||||
Multiline Retail — 0.5% — (continued) | ||||||||
17,641 | JC Penney Co., Inc.*(a) | $ | 68,271 | |||||
9,276 | Kohl’s Corp. | 368,999 | ||||||
6,581 | Nordstrom Inc.(a) | 293,644 | ||||||
2,645 | Ollie’s Bargain Outlet Holdings Inc.* | 110,693 | ||||||
591 | Sears Holdings Corp.*(a) | 4,852 | ||||||
|
| |||||||
Total Multiline Retail | 3,219,602 | |||||||
|
| |||||||
Specialty Retail — 1.6% | ||||||||
3,538 | Aaron’s Inc. | 156,627 | ||||||
3,909 | Abercrombie & Fitch Co., Class A Shares(a) | 49,801 | ||||||
9,111 | American Eagle Outfitters Inc. | 108,876 | ||||||
323 | America’s Car-Mart Inc.*(a) | 12,403 | ||||||
1,066 | Asbury Automotive Group Inc.* | 57,404 | ||||||
8,138 | Ascena Retail Group Inc.*(a) | 16,602 | ||||||
159 | At Home Group Inc.* | 3,895 | ||||||
3,643 | AutoNation Inc.*(a) | 165,283 | ||||||
1,751 | Barnes & Noble Education Inc.* | 9,070 | ||||||
3,571 | Barnes & Noble Inc. | 27,675 | ||||||
7,877 | Bed Bath & Beyond Inc. | 217,326 | ||||||
787 | Big 5 Sporting Goods Corp.(a) | 6,021 | ||||||
615 | Boot Barn Holdings Inc.*(a) | 4,981 | ||||||
1,769 | Buckle Inc. (The)(a) | 25,031 | ||||||
571 | Build-A-Bear Workshop Inc.* | 5,253 | ||||||
3,886 | Burlington Stores Inc.* | 338,587 | ||||||
2,854 | Cabela’s Inc.* | 153,260 | ||||||
2,357 | Caleres Inc. | 63,592 | ||||||
603 | Camping World Holdings Inc., Class A Shares(a) | 22,160 | ||||||
887 | Carvana Co., Class A Shares*(a) | 15,833 | ||||||
1,466 | Cato Corp. (The), Class A Shares | 19,293 | ||||||
7,239 | Chico’s FAS Inc. | 55,596 | ||||||
961 | Children’s Place Inc. (The) | 102,010 | ||||||
918 | Citi Trends Inc. | 16,643 | ||||||
1,094 | Conn’s Inc.* | 18,981 | ||||||
932 | Container Store Group Inc. (The)*(a) | 3,784 | ||||||
4,907 | Dick’s Sporting Goods Inc. | 129,349 | ||||||
3,711 | DSW Inc., Class A Shares | 68,765 | ||||||
35,149 | Express Inc.* | 223,899 | ||||||
2,301 | Finish Line Inc. (The), Class A Shares | 19,167 | ||||||
3,021 | Five Below Inc.* | 143,709 | ||||||
612 | Floor & Decor Holdings Inc., Class A Shares* | 21,995 | ||||||
7,366 | Foot Locker Inc. | 259,504 | ||||||
1,797 | Francesca’s Holdings Corp.* | 13,046 | ||||||
5,651 | GameStop Corp., Class A Shares | 104,543 | ||||||
1,117 | Genesco Inc.* | 23,625 | ||||||
4,092 | GNC Holdings Inc., Class A Shares(a) | 33,964 | ||||||
1,158 | Group 1 Automotive Inc. | 69,503 | ||||||
3,440 | Guess? Inc. | 53,595 | ||||||
1,105 | Haverty Furniture Cos., Inc. | 25,912 | ||||||
1,252 | Hibbett Sports Inc.*(a) | 15,400 | ||||||
364 | J. Jill Inc.* | 3,534 | ||||||
609 | Kirkland’s Inc.* | 7,022 | ||||||
5,806 | Lithia Motors Inc., Class A Shares | 627,048 | ||||||
1,584 | Lumber Liquidators Holdings Inc.*(a) | 59,448 | ||||||
1,462 | MarineMax Inc.* | 23,611 | ||||||
6,582 | Michaels Cos., Inc. (The)* | 147,766 | ||||||
1,803 | Monro Inc. | 86,003 |
See Notes to Financial Statements.
61
Schedules of Investments |
(continued) |
Small-Mid Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
CONSUMER DISCRETIONARY — 12.1% — (continued) | ||||||||
Specialty Retail — 1.6% — (continued) | ||||||||
1,942 | Murphy USA Inc.* | $ | 125,181 | |||||
26,700 | New York & Co., Inc.* | 51,531 | ||||||
108,440 | Office Depot Inc. | 465,208 | ||||||
5,869 | O’Reilly Automotive Inc.* | 1,151,087 | ||||||
1,704 | Party City Holdco Inc.*(a) | 23,771 | ||||||
2,035 | Penske Automotive Group Inc. | 86,203 | ||||||
5,319 | Pier 1 Imports Inc. | 22,287 | ||||||
2,511 | Rent-A-Center Inc.(a) | 30,383 | ||||||
1,916 | RH*(a) | 89,650 | ||||||
67,344 | Ross Stores Inc. | 3,936,257 | ||||||
7,763 | Sally Beauty Holdings Inc.* | 144,314 | ||||||
2,308 | Select Comfort Corp.* | 68,155 | ||||||
716 | Shoe Carnival Inc. | 14,392 | ||||||
3,853 | Signet Jewelers Ltd.(a) | 243,009 | ||||||
1,557 | Sonic Automotive Inc., Class A Shares | 28,182 | ||||||
1,962 | Sportsman’s Warehouse Holdings Inc.*(a) | 8,142 | ||||||
35,262 | Staples Inc. | 360,201 | ||||||
2,888 | Tailored Brands Inc.(a) | 34,136 | ||||||
1,943 | Tile Shop Holdings Inc. | 29,242 | ||||||
727 | Tilly’s Inc., Class A Shares | 8,004 | ||||||
4,893 | Urban Outfitters Inc.* | 100,013 | ||||||
1,088 | Vitamin Shoppe Inc.* | 5,821 | ||||||
1,255 | West Marine Inc. | 16,277 | ||||||
4,878 | Williams-Sonoma Inc. | 224,388 | ||||||
109 | Winmark Corp. | 14,372 | ||||||
808 | Zumiez Inc.* | 10,060 | ||||||
|
| |||||||
Total Specialty Retail | 11,126,661 | |||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.6% | ||||||||
31,154 | Carter’s Inc. | 2,701,363 | ||||||
1,630 | Columbia Sportswear Co. | 93,383 | ||||||
39,450 | Crocs Inc.* | 352,288 | ||||||
488 | Culp Inc. | 14,152 | ||||||
15,872 | Deckers Outdoor Corp.* | 1,014,221 | ||||||
225 | Delta Apparel Inc.* | 4,414 | ||||||
2,677 | Fossil Group Inc.*(a) | 22,192 | ||||||
2,487 | G-III Apparel Group Ltd.* | 68,392 | ||||||
61,806 | Hanesbrands Inc.(a) | 1,499,414 | ||||||
3,076 | Iconix Brand Group Inc.* | 17,195 | ||||||
5,461 | lululemon athletica Inc.* | 314,281 | ||||||
8,679 | Michael Kors Holdings Ltd.* | 366,427 | ||||||
715 | Movado Group Inc. | 19,841 | ||||||
939 | Oxford Industries Inc. | 54,284 | ||||||
879 | Perry Ellis International Inc.* | 19,189 | ||||||
27,038 | PVH Corp. | 3,403,814 | ||||||
3,189 | Ralph Lauren Corp., Class A Shares | 280,281 | ||||||
1,751 | Sequential Brands Group Inc.*(a) | 5,341 | ||||||
7,393 | Skechers U.S.A. Inc., Class A Shares* | 195,397 | ||||||
3,312 | Steven Madden Ltd.* | 140,429 | ||||||
332 | Superior Uniform Group Inc. | 7,311 | ||||||
743 | Unifi Inc.* | 23,092 | ||||||
1,040 | Vera Bradley Inc.* | 9,402 | ||||||
5,291 | Wolverine World Wide Inc. | 139,153 | ||||||
|
| |||||||
Total Textiles, Apparel & Luxury Goods | 10,765,256 | |||||||
|
| |||||||
TOTAL CONSUMER DISCRETIONARY | 81,659,960 | |||||||
|
|
See Notes to Financial Statements.
62
Schedules of Investments |
(continued) |
Small-Mid Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
CONSUMER STAPLES — 1.5% | ||||||||
Beverages — 0.2% | ||||||||
502 | Boston Beer Co., Inc. (The), Class A Shares*(a) | $ | 74,798 | |||||
3,526 | Castle Brands Inc.* | 5,007 | ||||||
260 | Coca-Cola Bottling Co. Consolidated | 55,533 | ||||||
663 | Craft Brew Alliance Inc.* | 11,536 | ||||||
728 | MGP Ingredients Inc.(a) | 40,936 | ||||||
19,742 | Monster Beverage Corp.* | 1,101,999 | ||||||
654 | National Beverage Corp. | 76,001 | ||||||
1,661 | Primo Water Corp.* | 18,188 | ||||||
|
| |||||||
Total Beverages | 1,383,998 | |||||||
|
| |||||||
Food & Staples Retailing — 0.2% | ||||||||
1,547 | Andersons Inc. (The) | 49,272 | ||||||
2,172 | Casey’s General Stores Inc. | 228,972 | ||||||
1,394 | Chefs’ Warehouse Inc. (The)* | 24,047 | ||||||
880 | Ingles Markets Inc., Class A Shares | 19,316 | ||||||
321 | Natural Grocers by Vitamin Cottage Inc.*(a) | 1,804 | ||||||
3,999 | Performance Food Group Co.* | 111,172 | ||||||
1,232 | PriceSmart Inc. | 100,100 | ||||||
59,694 | Rite Aid Corp.* | 144,459 | ||||||
986 | Smart & Final Stores Inc.* | 6,951 | ||||||
2,165 | SpartanNash Co. | 53,346 | ||||||
7,556 | Sprouts Farmers Market Inc.* | 150,667 | ||||||
2,200 | SUPERVALU Inc.* | 43,978 | ||||||
2,892 | United Natural Foods Inc.* | 100,497 | ||||||
7,585 | US Foods Holding Corp.* | 208,208 | ||||||
570 | Village Super Market Inc., Class A Shares | 13,184 | ||||||
537 | Weis Markets Inc. | 23,741 | ||||||
|
| |||||||
Total Food & Staples Retailing | 1,279,714 | |||||||
|
| |||||||
Food Products — 0.8% | ||||||||
205 | Alico Inc. | 6,560 | ||||||
2,103 | Amplify Snack Brands Inc.*(a) | 15,163 | ||||||
3,704 | B&G Foods Inc. | 112,972 | ||||||
28,148 | Blue Buffalo Pet Products Inc.* | 725,093 | ||||||
901 | Calavo Growers Inc. | 60,502 | ||||||
1,752 | Cal-Maine Foods Inc.* | 63,860 | ||||||
9,232 | Darling Ingredients Inc.* | 160,637 | ||||||
5,138 | Dean Foods Co. | 56,518 | ||||||
410 | Farmer Brothers Co.* | 13,346 | ||||||
10,049 | Flowers Foods Inc. | 174,551 | ||||||
1,854 | Fresh Del Monte Produce Inc. | 87,119 | ||||||
1,174 | Freshpet Inc.*(a) | 18,608 | ||||||
10,467 | Hain Celestial Group Inc. (The)* | 420,983 | ||||||
4,517 | Hostess Brands Inc., Class A Shares* | 60,257 | ||||||
3,951 | Ingredion Inc. | 489,213 | ||||||
830 | J&J Snack Foods Corp. | 105,817 | ||||||
524 | John B Sanfilippo & Son Inc. | 32,519 | ||||||
8,088 | Lamb Weston Holdings Inc. | 367,842 | ||||||
1,043 | Lancaster Colony Corp. | 121,478 | ||||||
1,251 | Landec Corp.* | 16,263 | ||||||
83 | Lifeway Foods Inc.* | 722 | ||||||
761 | Limoneira Co. | 17,046 | ||||||
1,441 | Omega Protein Corp. | 22,768 | ||||||
3,020 | Pilgrim’s Pride Corp.* | 88,939 | ||||||
6,530 | Pinnacle Foods Inc. | 387,294 |
See Notes to Financial Statements.
63
Schedules of Investments |
(continued) |
Small-Mid Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
CONSUMER STAPLES — 1.5% — (continued) | ||||||||
Food Products — 0.8% — (continued) | ||||||||
3,528 | Post Holdings Inc.* | $ | 300,339 | |||||
1,122 | Sanderson Farms Inc. | 165,517 | ||||||
15 | Seaboard Corp. | 64,435 | ||||||
283 | Seneca Foods Corp., Class A Shares* | 8,433 | ||||||
4,826 | Snyder’s-Lance Inc. | 171,420 | ||||||
980 | Tootsie Roll Industries Inc.(a) | 36,603 | ||||||
12,422 | TreeHouse Foods Inc.* | 832,150 | ||||||
|
| |||||||
Total Food Products | 5,204,967 | |||||||
|
| |||||||
Household Products — 0.2% | ||||||||
681 | Central Garden & Pet Co.* | 24,005 | ||||||
19,403 | Central Garden & Pet Co., Class A Shares* | 661,448 | ||||||
3,441 | Energizer Holdings Inc. | 151,920 | ||||||
6,621 | HRG Group Inc.* | 104,546 | ||||||
189 | Oil-Dri Corp. of America | 7,692 | ||||||
419 | Orchids Paper Products Co.(a) | 4,274 | ||||||
1,375 | Spectrum Brands Holdings Inc. | 151,195 | ||||||
764 | WD-40 Co. | 83,238 | ||||||
|
| |||||||
Total Household Products | 1,188,318 | |||||||
|
| |||||||
Personal Products — 0.1% | ||||||||
3,227 | Edgewell Personal Care Co.* | 245,058 | ||||||
1,168 | elf Beauty Inc.*(a) | 24,166 | ||||||
3,851 | Herbalife Ltd.*(a) | 265,758 | ||||||
990 | Inter Parfums Inc. | 39,056 | ||||||
495 | Medifast Inc. | 28,027 | ||||||
391 | Natural Health Trends Corp. | 7,890 | ||||||
462 | Nature’s Sunshine Products Inc. | 4,874 | ||||||
2,895 | Nu Skin Enterprises Inc., Class A Shares | 176,103 | ||||||
560 | Revlon Inc., Class A Shares* | 9,464 | ||||||
642 | USANA Health Sciences Inc.* | 38,006 | ||||||
|
| |||||||
Total Personal Products | 838,402 | |||||||
|
| |||||||
Tobacco — 0.0% | ||||||||
290 | Turning Point Brands Inc.* | 4,988 | ||||||
1,385 | Universal Corp. | 79,222 | ||||||
5,223 | Vector Group Ltd. | 112,817 | ||||||
|
| |||||||
Total Tobacco | 197,027 | |||||||
|
| |||||||
TOTAL CONSUMER STAPLES | 10,092,426 | |||||||
|
| |||||||
ENERGY — 2.4% | ||||||||
Energy Equipment & Services — 0.5% | ||||||||
3,973 | Archrock Inc. | 40,525 | ||||||
4,419 | Atwood Oceanics Inc.*(a) | 29,033 | ||||||
1,000 | Basic Energy Services Inc.* | 14,240 | ||||||
1,586 | Bristow Group Inc. | 13,069 | ||||||
2,604 | C&J Energy Services Inc.* | 65,777 | ||||||
815 | CARBO Ceramics Inc.*(a) | 5,346 | ||||||
3,729 | Diamond Offshore Drilling Inc.*(a) | 42,361 | ||||||
2,110 | Dril-Quip Inc.* | 79,230 | ||||||
17,372 | Ensco PLC, Class A Shares(a) | 73,831 | ||||||
852 | Era Group Inc.* | 7,506 | ||||||
1,778 | Exterran Corp.* | 49,322 | ||||||
8,929 | Fairmount Santrol Holdings Inc.*(a) | 27,323 | ||||||
3,890 | Forum Energy Technologies Inc.* | 45,124 |
See Notes to Financial Statements.
64
Schedules of Investments |
(continued) |
Small-Mid Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
ENERGY — 2.4% — (continued) | ||||||||
Energy Equipment & Services — 0.5% — (continued) | ||||||||
3,044 | Frank’s International NV(a) | $ | 19,116 | |||||
684 | Geospace Technologies Corp.* | 10,322 | ||||||
445 | Gulf Island Fabrication Inc. | 4,984 | ||||||
8,091 | Helix Energy Solutions Group Inc.* | 50,731 | ||||||
5,978 | Helmerich & Payne Inc.(a) | 253,108 | ||||||
1,645 | Independence Contract Drilling Inc.* | 5,297 | ||||||
1,766 | Keane Group Inc.*(a) | 22,870 | ||||||
752 | Key Energy Services Inc.*(a) | 9,573 | ||||||
272 | Mammoth Energy Services Inc.*(a) | 3,748 | ||||||
1,272 | Matrix Service Co.* | 15,073 | ||||||
50,270 | McDermott International Inc.* | 308,658 | ||||||
15,679 | Nabors Industries Ltd. | 102,697 | ||||||
578 | Natural Gas Services Group Inc.* | 13,641 | ||||||
775 | NCS Multistage Holdings Inc.*(a) | 15,314 | ||||||
5,123 | Newpark Resources Inc.* | 41,240 | ||||||
14,043 | Noble Corp. PLC* | 45,780 | ||||||
5,549 | Oceaneering International Inc. | 125,130 | ||||||
2,879 | Oil States International Inc.* | 62,618 | ||||||
5,656 | Parker Drilling Co.* | 6,222 | ||||||
11,664 | Patterson-UTI Energy Inc. | 186,274 | ||||||
474 | PHI Inc.* | 5,209 | ||||||
3,537 | Pioneer Energy Services Corp.* | 6,013 | ||||||
1,558 | ProPetro Holding Corp.*(a) | 17,933 | ||||||
503 | RigNet Inc.* | 8,048 | ||||||
6,636 | Rowan Cos. PLC, Class A Shares* | 64,701 | ||||||
3,256 | RPC Inc.(a) | 63,199 | ||||||
936 | SEACOR Holdings Inc.* | 35,914 | ||||||
1,033 | SEACOR Marine Holdings Inc.* | 13,233 | ||||||
1,101 | Smart Sand Inc.*(a) | 6,573 | ||||||
436 | Solaris Oilfield Infrastructure Inc., Class A Shares* | 6,174 | ||||||
8,583 | Superior Energy Services Inc.* | 70,724 | ||||||
2,401 | Tesco Corp.* | 10,564 | ||||||
78,439 | TETRA Technologies Inc.* | 161,584 | ||||||
22,238 | Transocean Ltd.*(a) | 181,462 | ||||||
2,978 | Unit Corp.* | 47,410 | ||||||
4,574 | US Silica Holdings Inc. | 124,459 | ||||||
49,893 | Weatherford International PLC*(a) | 191,090 | ||||||
1,549 | Willbros Group Inc.* | 3,408 | ||||||
|
| |||||||
Total Energy Equipment & Services | 2,812,781 | |||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 1.9% | ||||||||
11,041 | Abraxas Petroleum Corp.* | 18,770 | ||||||
128 | Adams Resources & Energy Inc. | 4,438 | ||||||
13,094 | Antero Resources Corp.* | 257,821 | ||||||
1,790 | Approach Resources Inc.* | 4,976 | ||||||
1,232 | Arch Coal Inc., Class A Shares(a) | 98,400 | ||||||
1,580 | Ardmore Shipping Corp.*(a) | 12,798 | ||||||
5,076 | Bill Barrett Corp.* | 15,177 | ||||||
1,145 | Bonanza Creek Energy Inc.* | 29,759 | ||||||
2,033 | California Resources Corp.*(a) | 15,857 | ||||||
11,386 | Callon Petroleum Co.* | 117,959 | ||||||
26,112 | Carrizo Oil & Gas Inc.* | 350,945 | ||||||
6,334 | Centennial Resource Development Inc., Class A Shares* | 109,515 | ||||||
51,099 | Chesapeake Energy Corp.*(a) | 186,000 | ||||||
8,748 | Clean Energy Fuels Corp.* | 20,820 |
See Notes to Financial Statements.
65
Schedules of Investments |
(continued) |
Small-Mid Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
ENERGY — 2.4% — (continued) | ||||||||
Oil, Gas & Consumable Fuels — 1.9% — (continued) | ||||||||
4,913 | Cloud Peak Energy Inc.* | $ | 15,427 | |||||
4,535 | Concho Resources Inc.* | 503,249 | ||||||
12,881 | CONSOL Energy Inc.* | 187,419 | ||||||
1,308 | Contango Oil & Gas Co.* | 6,004 | ||||||
968 | CVR Energy Inc.(a) | 20,735 | ||||||
4,341 | Delek US Holdings Inc. | 107,310 | ||||||
23,207 | Denbury Resources Inc.* | 24,599 | ||||||
4,728 | DHT Holdings Inc. | 17,730 | ||||||
5,345 | Diamondback Energy Inc.* | 485,273 | ||||||
587 | Dorian LPG Ltd.* | 4,027 | ||||||
592 | Earthstone Energy Inc., Class A Shares* | 5,677 | ||||||
5,806 | Eclipse Resources Corp.* | 13,528 | ||||||
5,500 | Energen Corp.* | 282,040 | ||||||
1,745 | Energy XXI Gulf Coast Inc.* | 18,235 | ||||||
1,831 | EP Energy Corp., Class A Shares*(a) | 5,383 | ||||||
1,370 | Evolution Petroleum Corp. | 9,521 | ||||||
6,889 | Extraction Oil & Gas Inc.* | 90,521 | ||||||
4,663 | Frontline Ltd.(a) | 22,755 | ||||||
2,362 | GasLog Ltd.(a) | 39,682 | ||||||
14,540 | Gastar Exploration Inc.* | 8,582 | ||||||
3,193 | Gener8 Maritime Inc.*(a) | 14,369 | ||||||
5,377 | Golar LNG Ltd. | 116,573 | ||||||
2,179 | Green Plains Inc. | 40,420 | ||||||
9,102 | Gulfport Energy Corp.* | 114,048 | ||||||
3,795 | Halcon Resources Corp.*(a) | 23,491 | ||||||
658 | Hallador Energy Co. | 3,816 | ||||||
9,989 | HollyFrontier Corp. | 312,756 | ||||||
1,684 | International Seaways Inc.* | 31,053 | ||||||
51 | Isramco Inc.* | 5,743 | ||||||
2,060 | Jagged Peak Energy Inc.*(a) | 26,389 | ||||||
3,053 | Jones Energy Inc., Class A Shares*(a) | 3,022 | ||||||
10,882 | Kosmos Energy Ltd.* | 76,609 | ||||||
9,228 | Laredo Petroleum Inc.* | 114,612 | ||||||
2,021 | Lilis Energy Inc.*(a) | 7,397 | ||||||
5,075 | Matador Resources Co.* | 119,669 | ||||||
530 | Midstates Petroleum Co., Inc.* | 7,680 | ||||||
9,292 | Murphy Oil Corp. | 210,557 | ||||||
3,788 | Navios Maritime Acquisition Corp. | 4,773 | ||||||
11,271 | Newfield Exploration Co.* | 294,511 | ||||||
5,934 | Nordic American Tankers Ltd.(a) | 28,127 | ||||||
13,339 | Oasis Petroleum Inc.* | 97,375 | ||||||
1,628 | Overseas Shipholding Group Inc., Class A Shares* | 3,679 | ||||||
2,541 | Pacific Ethanol Inc.* | 12,705 | ||||||
920 | Panhandle Oil and Gas Inc., Class A Shares | 19,412 | ||||||
114,692 | Par Pacific Holdings Inc.* | 2,042,665 | ||||||
13,050 | Parsley Energy Inc., Class A Shares* | 326,903 | ||||||
6,180 | PBF Energy Inc., Class A Shares(a) | 146,342 | ||||||
3,740 | PDC Energy Inc.* | 147,094 | ||||||
3,443 | Peabody Energy Corp.* | 99,847 | ||||||
844 | Penn Virginia Corp.*(a) | 32,494 | ||||||
17,222 | Pioneer Natural Resources Co. | 2,232,832 | ||||||
13,675 | QEP Resources Inc.* | 103,246 | ||||||
12,953 | Range Resources Corp. | 224,864 | ||||||
2,192 | Renewable Energy Group Inc.* | 26,523 | ||||||
15,992 | Resolute Energy Corp.*(a) | 472,564 |
See Notes to Financial Statements.
66
Schedules of Investments |
(continued) |
Small-Mid Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
ENERGY — 2.4% — (continued) | ||||||||
Oil, Gas & Consumable Fuels — 1.9% — (continued) | ||||||||
342 | REX American Resources Corp.* | $ | 29,624 | |||||
7,168 | Rice Energy Inc.* | 196,116 | ||||||
2,628 | Ring Energy Inc.* | 31,326 | ||||||
7,450 | RSP Permian Inc.* | 233,781 | ||||||
2,632 | Sanchez Energy Corp.*(a) | 11,528 | ||||||
2,041 | SandRidge Energy Inc.*(a) | 35,146 | ||||||
9,630 | Scorpio Tankers Inc. | 39,194 | ||||||
3,748 | SemGroup Corp., Class A Shares | 96,324 | ||||||
3,440 | Ship Finance International Ltd.(a) | 44,892 | ||||||
555 | SilverBow Resources Inc.* | 12,010 | ||||||
6,329 | SM Energy Co. | 84,555 | ||||||
28,612 | Southwestern Energy Co.* | 155,935 | ||||||
11,431 | SRC Energy Inc.* | 90,191 | ||||||
1,147 | Stone Energy Corp.*(a) | 27,757 | ||||||
10,619 | Targa Resources Corp. | 473,289 | ||||||
3,193 | Teekay Corp.(a) | 29,439 | ||||||
5,986 | Teekay Tankers Ltd., Class A Shares | 8,440 | ||||||
3,176 | Tellurian Inc.* | 29,346 | ||||||
11,004 | Ultra Petroleum Corp.*(a) | 85,721 | ||||||
9,496 | Uranium Energy Corp.* | 12,535 | ||||||
4,169 | W&T Offshore Inc.* | 7,963 | ||||||
808 | Westmoreland Coal Co.* | 1,883 | ||||||
20,573 | Whiting Petroleum Corp.* | 91,961 | ||||||
990 | WildHorse Resource Development Corp.*(a) | 10,801 | ||||||
3,822 | World Fuel Services Corp. | 132,012 | ||||||
22,451 | WPX Energy Inc.* | 224,285 | ||||||
|
| |||||||
Total Oil, Gas & Consumable Fuels | 12,851,146 | |||||||
|
| |||||||
TOTAL ENERGY | 15,663,927 | |||||||
|
| |||||||
FINANCIALS — 11.5% | ||||||||
Banks — 5.1% | ||||||||
914 | 1st Source Corp. | 42,656 | ||||||
861 | Access National Corp.(a) | 22,110 | ||||||
203 | ACNB Corp. | 5,308 | ||||||
690 | Allegiance Bancshares Inc.* | 23,495 | ||||||
490 | American National Bankshares Inc. | 17,885 | ||||||
2,037 | Ameris Bancorp | 89,730 | ||||||
550 | Ames National Corp.(a) | 14,905 | ||||||
759 | Arrow Financial Corp. | 24,516 | ||||||
8,530 | Associated Banc-Corp. | 186,807 | ||||||
1,345 | Atlantic Capital Bancshares Inc.* | 24,143 | ||||||
2,475 | Banc of California Inc.(a) | 45,911 | ||||||
932 | BancFirst Corp. | 46,973 | ||||||
1,681 | Banco Latinoamericano de Comercio Exterior SA, Class E Shares | 45,320 | ||||||
2,905 | Bancorp Inc. (The)* | 22,804 | ||||||
4,821 | BancorpSouth Inc. | 140,050 | ||||||
558 | Bank of Commerce Holdings(a) | 5,887 | ||||||
2,397 | Bank of Hawaii Corp. | 187,278 | ||||||
285 | Bank of Marin Bancorp | 18,653 | ||||||
40,741 | Bank of NT Butterfield & Son Ltd. (The) | 1,339,564 | ||||||
6,114 | Bank of the Ozarks | 262,657 | ||||||
93,244 | BankUnited Inc. | 3,103,160 | ||||||
228 | Bankwell Financial Group Inc. | 7,729 | ||||||
1,857 | Banner Corp. | 102,358 | ||||||
868 | Bar Harbor Bankshares | 22,794 |
See Notes to Financial Statements.
67
Schedules of Investments |
(continued) |
Small-Mid Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
FINANCIALS — 11.5% — (continued) | ||||||||
Banks — 5.1% — (continued) | ||||||||
362 | BCB Bancorp Inc.(a) | $ | 5,140 | |||||
2,019 | Berkshire Hills Bancorp Inc. | 68,242 | ||||||
1,458 | Blue Hills Bancorp Inc. | 27,265 | ||||||
1,438 | BOK Financial Corp. | 115,730 | ||||||
4,790 | Boston Private Financial Holdings Inc. | 70,413 | ||||||
1,101 | Bridge Bancorp Inc. | 34,021 | ||||||
4,332 | Brookline Bancorp Inc. | 62,164 | ||||||
962 | Bryn Mawr Bank Corp. | 39,394 | ||||||
116 | C&F Financial Corp. | 5,435 | ||||||
634 | Cadence BanCorp, Class A Shares* | 13,213 | ||||||
875 | Camden National Corp. | 34,125 | ||||||
1,648 | Capital Bank Financial Corp., Class A Shares | 61,965 | ||||||
423 | Capital City Bank Group Inc. | 8,752 | ||||||
670 | Capstar Financial Holdings Inc.* | 11,618 | ||||||
697 | Carolina Financial Corp. | 23,719 | ||||||
4,222 | Cathay General Bancorp | 148,910 | ||||||
3,046 | CenterState Banks Inc. | 74,536 | ||||||
1,182 | Central Pacific Financial Corp. | 34,278 | ||||||
641 | Central Valley Community Bancorp | 12,608 | ||||||
157 | Century Bancorp Inc., Class A Shares | 10,488 | ||||||
3,977 | Chemical Financial Corp. | 180,596 | ||||||
124 | Chemung Financial Corp. | 5,008 | ||||||
38,072 | CIT Group Inc. | 1,707,529 | ||||||
745 | Citizens & Northern Corp. | 16,718 | ||||||
861 | City Holding Co. | 54,527 | ||||||
400 | Civista Bancshares Inc.(a) | 8,084 | ||||||
691 | CNB Financial Corp. | 16,695 | ||||||
2,154 | CoBiz Financial Inc. | 36,726 | ||||||
412 | Codorus Valley Bancorp Inc. | 10,321 | ||||||
3,268 | Columbia Banking System Inc. | 121,472 | ||||||
9,500 | Comerica Inc. | 648,375 | ||||||
4,932 | Commerce Bancshares Inc. | 271,211 | ||||||
204 | Commerce Union Bancshares Inc. | 4,894 | ||||||
2,743 | Community Bank System Inc. | 141,155 | ||||||
758 | Community Bankers Trust Corp.* | 6,367 | ||||||
155 | Community Financial Corp. (The) | 5,425 | ||||||
880 | Community Trust Bancorp Inc. | 37,444 | ||||||
1,737 | ConnectOne Bancorp Inc. | 39,604 | ||||||
133 | County Bancorp Inc. | 3,987 | ||||||
959 | CU Bancorp* | 34,188 | ||||||
3,138 | Cullen/Frost Bankers Inc. | 264,220 | ||||||
1,619 | Customers Bancorp Inc.* | 45,623 | ||||||
5,811 | CVB Financial Corp. | 120,288 | ||||||
133 | DNB Financial Corp. | 4,329 | ||||||
1,767 | Eagle Bancorp Inc.* | 109,907 | ||||||
52,518 | East West Bancorp Inc. | 2,907,922 | ||||||
560 | Enterprise Bancorp Inc. | 17,914 | ||||||
1,265 | Enterprise Financial Services Corp. | 48,323 | ||||||
496 | Equity Bancshares Inc., Class A Shares* | 16,938 | ||||||
187 | Evans Bancorp Inc.(a) | 7,723 | ||||||
180 | Farmers & Merchants Bancorp Inc. | 12,053 | ||||||
448 | Farmers Capital Bank Corp. | 16,778 | ||||||
1,447 | Farmers National Banc Corp. | 19,824 | ||||||
291 | FB Financial Corp.* | 10,112 | ||||||
29,182 | FCB Financial Holdings Inc., Class A Shares* | 1,272,335 |
See Notes to Financial Statements.
68
Schedules of Investments |
(continued) |
Small-Mid Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
FINANCIALS — 11.5% — (continued) | ||||||||
Banks — 5.1% — (continued) | ||||||||
1,308 | Fidelity Southern Corp. | $ | 28,593 | |||||
839 | Financial Institutions Inc. | 22,821 | ||||||
1,389 | First Bancorp | 42,976 | ||||||
9,693 | First Bancorp* | 55,056 | ||||||
635 | First Bancorp Inc. | 16,529 | ||||||
356 | First Bancshares Inc. (The)(a) | 10,039 | ||||||
2,159 | First Busey Corp. | 62,287 | ||||||
619 | First Business Financial Services Inc. | 13,191 | ||||||
412 | First Citizens BancShares Inc., Class A Shares | 140,290 | ||||||
5,477 | First Commonwealth Financial Corp. | 69,065 | ||||||
978 | First Community Bancshares Inc. | 25,174 | ||||||
848 | First Connecticut Bancorp Inc. | 20,988 | ||||||
3,471 | First Financial Bancorp | 83,130 | ||||||
3,553 | First Financial Bankshares Inc.(a) | 142,298 | ||||||
613 | First Financial Corp. | 26,604 | ||||||
414 | First Financial Northwest Inc. | 6,624 | ||||||
1,785 | First Foundation Inc.* | 30,256 | ||||||
175 | First Guaranty Bancshares Inc. | 4,583 | ||||||
3,042 | First Hawaiian Inc. | 82,408 | ||||||
13,103 | First Horizon National Corp. | 225,503 | ||||||
338 | First Internet Bancorp | 10,748 | ||||||
1,468 | First Interstate BancSystem Inc., Class A Shares | 51,674 | ||||||
2,300 | First Merchants Corp. | 90,321 | ||||||
595 | First Mid-Illinois Bancshares Inc. | 20,635 | ||||||
5,734 | First Midwest Bancorp Inc. | 120,873 | ||||||
323 | First Northwest Bancorp* | 5,123 | ||||||
1,341 | First of Long Island Corp. (The) | 35,872 | ||||||
33,645 | First Republic Bank | 3,265,247 | ||||||
1,603 | Flushing Financial Corp. | 43,826 | ||||||
199 | FNB Bancorp | 5,960 | ||||||
18,200 | FNB Corp. | 230,958 | ||||||
711 | Franklin Financial Network Inc.* | 23,250 | ||||||
9,594 | Fulton Financial Corp. | 167,415 | ||||||
1,201 | German American Bancorp Inc. | 39,081 | ||||||
4,309 | Glacier Bancorp Inc. | 143,102 | ||||||
644 | Great Southern Bancorp Inc. | 32,071 | ||||||
3,328 | Great Western Bancorp Inc. | 119,542 | ||||||
1,236 | Green Bancorp Inc.* | 24,782 | ||||||
1,346 | Guaranty Bancorp | 34,727 | ||||||
156 | Guaranty Bancshares Inc. | 4,717 | ||||||
4,711 | Hancock Holding Co. | 207,048 | ||||||
1,802 | Hanmi Financial Corp. | 48,113 | ||||||
820 | HarborOne Bancorp Inc.* | 14,096 | ||||||
1,388 | Heartland Financial USA Inc. | 63,154 | ||||||
2,097 | Heritage Commerce Corp. | 28,100 | ||||||
1,682 | Heritage Financial Corp. | 43,984 | ||||||
4,261 | Hilltop Holdings Inc. | 100,858 | ||||||
7,245 | Home BancShares Inc. | 168,881 | ||||||
977 | HomeTrust Bancshares Inc.* | 22,666 | ||||||
7,316 | Hope Bancorp Inc. | 118,080 | ||||||
1,235 | Horizon Bancorp | 32,320 | ||||||
288 | Howard Bancorp Inc.*(a) | 5,688 | ||||||
57,700 | Huntington Bancshares Inc. | 726,443 | ||||||
2,830 | IBERIABANK Corp. | 216,778 | ||||||
2,658 | Independent Bank Corp. | 127,329 |
See Notes to Financial Statements.
69
Schedules of Investments |
(continued) |
Small-Mid Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
FINANCIALS — 11.5% — (continued) | ||||||||
Banks — 5.1% — (continued) | ||||||||
1,012 | Independent Bank Group Inc. | $ | 56,318 | |||||
3,086 | International Bancshares Corp. | 110,942 | ||||||
591 | Investar Holding Corp.(a) | 13,002 | ||||||
14,538 | Investors Bancorp Inc. | 190,302 | ||||||
2,551 | Lakeland Bancorp Inc. | 47,193 | ||||||
1,359 | Lakeland Financial Corp. | 59,062 | ||||||
649 | LCNB Corp. | 11,974 | ||||||
2,672 | LegacyTexas Financial Group Inc. | 96,165 | ||||||
1,123 | Live Oak Bancshares Inc. | 25,099 | ||||||
1,729 | Macatawa Bank Corp. | 16,547 | ||||||
1,402 | MainSource Financial Group Inc. | 45,887 | ||||||
4,543 | MB Financial Inc. | 180,675 | ||||||
806 | MBT Financial Corp. | 8,181 | ||||||
940 | Mercantile Bank Corp. | 28,567 | ||||||
99 | Middlefield Banc Corp. | 4,450 | ||||||
898 | Midland States Bancorp Inc. | 27,425 | ||||||
394 | MidSouth Bancorp Inc.(a) | 4,669 | ||||||
667 | MidWestOne Financial Group Inc. | 21,931 | ||||||
358 | MutualFirst Financial Inc. | 12,602 | ||||||
1,395 | National Bank Holdings Corp., Class A Shares | 44,891 | ||||||
403 | National Bankshares Inc.(a) | 15,878 | ||||||
623 | National Commerce Corp.* | 24,764 | ||||||
2,412 | NBT Bancorp Inc. | 79,186 | ||||||
435 | Nicolet Bankshares Inc.* | 23,773 | ||||||
455 | Northrim BanCorp Inc. | 13,582 | ||||||
134 | Norwood Financial Corp. | 5,901 | ||||||
2,812 | OFG Bancorp(a) | 24,464 | ||||||
134 | Ohio Valley Banc Corp.(a) | 4,409 | ||||||
437 | Old Line Bancshares Inc. | 12,017 | ||||||
7,589 | Old National Bancorp | 124,080 | ||||||
150 | Old Point Financial Corp. | 4,611 | ||||||
1,680 | Old Second Bancorp Inc. | 19,236 | ||||||
1,247 | Opus Bank* | 27,933 | ||||||
419 | Orrstown Financial Services Inc. | 10,245 | ||||||
1,241 | Pacific Continental Corp. | 29,474 | ||||||
487 | Pacific Mercantile Bancorp* | 4,139 | ||||||
27,115 | Pacific Premier Bancorp Inc.* | 959,871 | ||||||
6,465 | PacWest Bancorp | 291,895 | ||||||
284 | Paragon Commercial Corp.* | 14,725 | ||||||
757 | Park National Corp. | 73,119 | ||||||
2,970 | Park Sterling Corp. | 33,769 | ||||||
259 | Parke Bancorp Inc.(a) | 5,038 | ||||||
977 | Peapack Gladstone Financial Corp. | 29,769 | ||||||
251 | Penns Woods Bancorp Inc. | 10,770 | ||||||
957 | Peoples Bancorp Inc. | 29,724 | ||||||
151 | Peoples Bancorp of North Carolina Inc.(a) | 4,587 | ||||||
416 | Peoples Financial Services Corp.(a) | 17,285 | ||||||
18,989 | People’s United Financial Inc. | 317,116 | ||||||
641 | People’s Utah Bancorp | 17,531 | ||||||
3,864 | Pinnacle Financial Partners Inc. | 240,341 | ||||||
14,522 | Popular Inc. | 579,573 | ||||||
739 | Preferred Bank | 39,758 | ||||||
644 | Premier Financial Bancorp Inc. | 12,172 | ||||||
3,512 | Prosperity Bancshares Inc. | 209,842 | ||||||
699 | QCR Holdings Inc. | 30,546 |
See Notes to Financial Statements.
70
Schedules of Investments |
(continued) |
Small-Mid Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
FINANCIALS — 11.5% — (continued) | ||||||||
Banks — 5.1% — (continued) | ||||||||
2,431 | Renasant Corp. | $ | 96,827 | |||||
570 | Republic Bancorp Inc., Class A Shares | 20,281 | ||||||
2,834 | Republic First Bancorp Inc.* | 23,947 | ||||||
1,948 | S&T Bancorp Inc. | 70,011 | ||||||
1,341 | Sandy Spring Bancorp Inc. | 51,722 | ||||||
2,278 | Seacoast Banking Corp. of Florida* | 52,098 | ||||||
2,602 | ServisFirst Bancshares Inc. | 88,754 | ||||||
643 | Shore Bancshares Inc. | 10,603 | ||||||
590 | Sierra Bancorp | 14,933 | ||||||
7,897 | Signature Bank* | 1,013,501 | ||||||
1,718 | Simmons First National Corp., Class A Shares | 89,680 | ||||||
231 | SmartFinancial Inc.* | 5,334 | ||||||
1,613 | South State Corp. | 132,669 | ||||||
257 | Southern First Bancshares Inc.* | 9,085 | ||||||
1,059 | Southern National Bancorp of Virginia Inc. | 17,738 | ||||||
1,593 | Southside Bancshares Inc. | 52,043 | ||||||
1,099 | Southwest Bancorp Inc. | 27,750 | ||||||
2,149 | State Bank Financial Corp. | 57,744 | ||||||
7,384 | Sterling Bancorp | 165,771 | ||||||
1,237 | Stock Yards Bancorp Inc. | 43,048 | ||||||
791 | Stonegate Bank | 38,134 | ||||||
538 | Summit Financial Group Inc.(a) | 11,777 | ||||||
488 | Sun Bancorp Inc. | 11,395 | ||||||
245 | Sunshine Bancorp Inc.*(a) | 5,292 | ||||||
2,906 | SVB Financial Group* | 492,102 | ||||||
6,660 | Synovus Financial Corp. | 280,519 | ||||||
56,476 | TCF Financial Corp. | 877,072 | ||||||
10,692 | Texas Capital Bancshares Inc.* | 793,881 | ||||||
831 | Tompkins Financial Corp. | 63,090 | ||||||
3,181 | Towne Bank | 97,657 | ||||||
1,161 | TriCo Bancshares | 41,308 | ||||||
1,283 | TriState Capital Holdings Inc.* | 26,815 | ||||||
761 | Triumph Bancorp Inc.* | 21,460 | ||||||
3,775 | Trustmark Corp. | 111,815 | ||||||
261 | Two River Bancorp | 4,755 | ||||||
2,533 | UMB Financial Corp. | 170,015 | ||||||
12,467 | Umpqua Holdings Corp. | 218,172 | ||||||
2,443 | Union Bankshares Corp. | 76,539 | ||||||
178 | Union Bankshares Inc. | 7,681 | ||||||
5,226 | United Bankshares Inc. | 175,332 | ||||||
3,984 | United Community Banks Inc. | 104,022 | ||||||
508 | United Security Bancshares | 4,699 | ||||||
281 | Unity Bancorp Inc. | 4,875 | ||||||
1,481 | Univest Corp. of Pennsylvania | 43,171 | ||||||
14,584 | Valley National Bancorp | 163,195 | ||||||
842 | Veritex Holdings Inc.* | 22,237 | ||||||
861 | Washington Trust Bancorp Inc. | 44,126 | ||||||
570 | WashingtonFirst Bankshares Inc. | 19,306 | ||||||
16,781 | Webster Financial Corp. | 783,337 | ||||||
2,394 | WesBanco Inc. | 90,924 | ||||||
724 | West Bancorporation Inc. | 15,892 | ||||||
1,444 | Westamerica Bancorporation(a) | 74,438 | ||||||
5,194 | Western Alliance Bancorp* | 250,507 | ||||||
3,095 | Wintrust Financial Corp. | 225,347 | ||||||
214 | Xenith Bankshares Inc.* | 6,131 |
See Notes to Financial Statements.
71
Schedules of Investments |
(continued) |
Small-Mid Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
FINANCIALS — 11.5% — (continued) | ||||||||
Banks — 5.1% — (continued) | ||||||||
10,918 | Zions Bancorporation | $ | 476,680 | |||||
|
| |||||||
Total Banks | 34,635,443 | |||||||
|
| |||||||
Capital Markets — 2.5% | ||||||||
2,627 | Artisan Partners Asset Management Inc., Class A Shares | 80,649 | ||||||
296 | Associated Capital Group Inc., Class A Shares | 10,168 | ||||||
990 | B. Riley Financial Inc. | 16,236 | ||||||
13,103 | BGC Partners Inc., Class A Shares | 170,208 | ||||||
6,137 | CBOE Holdings Inc. | 619,162 | ||||||
1,290 | Cohen & Steers Inc. | 48,814 | ||||||
1,731 | Cowen Inc., Class A Shares* | 28,129 | ||||||
195 | Diamond Hill Investment Group Inc. | 38,284 | ||||||
1,567 | Donnelley Financial Solutions Inc.* | 33,549 | ||||||
32,918 | E*Trade Financial Corp.* | 1,349,967 | ||||||
6,304 | Eaton Vance Corp. | 299,944 | ||||||
2,319 | Evercore Inc., Class A Shares | 174,969 | ||||||
2,178 | FactSet Research Systems Inc. | 342,338 | ||||||
4,162 | Federated Investors Inc., Class B Shares | 113,664 | ||||||
3,349 | Financial Engines Inc. | 110,684 | ||||||
1,969 | GAIN Capital Holdings Inc. | 12,405 | ||||||
241 | GAMCO Investors Inc., Class A Shares | 7,102 | ||||||
122,519 | Greenhill & Co., Inc. | 1,843,911 | ||||||
848 | Hamilton Lane Inc., Class A Shares | 19,877 | ||||||
1,328 | Houlihan Lokey Inc., Class A Shares | 47,874 | ||||||
938 | INTL. FCStone Inc.* | 33,290 | ||||||
1,292 | Investment Technology Group Inc. | 25,956 | ||||||
6,981 | Ladenburg Thalmann Financial Services Inc.* | 17,941 | ||||||
6,626 | Lazard Ltd., Class A Shares | 284,189 | ||||||
4,971 | Legg Mason Inc. | 189,842 | ||||||
5,028 | LPL Financial Holdings Inc. | 235,512 | ||||||
5,637 | MarketAxess Holdings Inc. | 1,087,659 | ||||||
151 | Medley Management Inc., Class A Shares | 936 | ||||||
1,404 | Moelis & Co., Class A Shares | 55,318 | ||||||
5,700 | Moody’s Corp. | 763,971 | ||||||
1,080 | Morningstar Inc. | 89,316 | ||||||
4,944 | MSCI Inc., Class A Shares | 566,632 | ||||||
18,762 | Nasdaq Inc. | 1,414,280 | ||||||
3,309 | OM Asset Management PLC | 46,756 | ||||||
494 | Oppenheimer Holdings Inc., Class A Shares | 8,027 | ||||||
848 | Piper Jaffray Cos. | 47,022 | ||||||
1,016 | PJT Partners Inc., Class A Shares | 39,279 | ||||||
1,397 | Pzena Investment Management Inc., Class A Shares | 13,830 | ||||||
21,499 | Raymond James Financial Inc. | 1,683,802 | ||||||
1,498 | Safeguard Scientifics Inc.* | 18,276 | ||||||
75,790 | SEI Investments Co. | 4,430,683 | ||||||
236 | Silvercrest Asset Management Group Inc., Class A Shares | 2,891 | ||||||
3,789 | Stifel Financial Corp. | 180,925 | ||||||
1,589 | Virtu Financial Inc., Class A Shares(a) | 28,523 | ||||||
403 | Virtus Investment Partners Inc. | 42,718 | ||||||
3,294 | Waddell & Reed Financial Inc., Class A Shares | 61,301 | ||||||
530 | Westwood Holdings Group Inc. | 32,399 | ||||||
6,453 | WisdomTree Investments Inc.(a) | 59,174 | ||||||
|
| |||||||
Total Capital Markets | 16,828,382 | |||||||
|
|
See Notes to Financial Statements.
72
Schedules of Investments |
(continued) |
Small-Mid Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
FINANCIALS — 11.5% — (continued) | ||||||||
Consumer Finance — 0.4% | ||||||||
605 | Credit Acceptance Corp.*(a) | $ | 164,741 | |||||
578 | Elevate Credit Inc.* | 3,659 | ||||||
1,043 | Encore Capital Group Inc.*(a) | 42,085 | ||||||
1,950 | Enova International Inc.* | 23,205 | ||||||
3,017 | EZCORP Inc., Class A Shares* | 27,304 | ||||||
2,674 | FirstCash Inc. | 156,964 | ||||||
2,576 | Green Dot Corp., Class A Shares* | 124,112 | ||||||
18,034 | LendingClub Corp.* | 111,630 | ||||||
15,918 | Navient Corp. | 210,118 | ||||||
1,161 | Nelnet Inc., Class A Shares | 55,066 | ||||||
3,070 | OneMain Holdings Inc., Class A Shares* | 84,026 | ||||||
2,604 | PRA Group Inc.* | 75,256 | ||||||
753 | Regional Management Corp.* | 16,528 | ||||||
8,514 | Santander Consumer USA Holdings Inc.* | 121,580 | ||||||
115,290 | SLM Corp.* | 1,172,499 | ||||||
354 | World Acceptance Corp.* | 26,486 | ||||||
|
| |||||||
Total Consumer Finance | 2,415,259 | |||||||
|
| |||||||
Diversified Financial Services — 0.1% | ||||||||
3,746 | FNFV Group* | 63,120 | ||||||
631 | Marlin Business Services Corp. | 16,469 | ||||||
2,104 | NewStar Financial Inc. | 22,555 | ||||||
2,236 | On Deck Capital Inc.*(a) | 10,800 | ||||||
1,343 | Tiptree Inc., Class A Shares | 8,595 | ||||||
10,069 | Voya Financial Inc. | 384,938 | ||||||
|
| |||||||
Total Diversified Financial Services | 506,477 | |||||||
|
| |||||||
Insurance — 2.4% | ||||||||
634 | Alleghany Corp.* | 356,796 | ||||||
376 | Ambac Financial Group Inc.* | 6,839 | ||||||
3,711 | American Equity Investment Life Holding Co. | 103,017 | ||||||
4,036 | American Financial Group Inc. | 410,905 | ||||||
503 | American National Insurance Co. | 58,202 | ||||||
808 | AMERISAFE Inc. | 43,470 | ||||||
5,055 | AmTrust Financial Services Inc. | 62,682 | ||||||
13,197 | Aon PLC | 1,836,495 | ||||||
1,742 | Argo Group International Holdings Ltd. | 104,868 | ||||||
9,914 | Arthur J. Gallagher & Co. | 574,021 | ||||||
3,345 | Aspen Insurance Holdings Ltd. | 151,194 | ||||||
3,161 | Assurant Inc. | 299,315 | ||||||
6,697 | Assured Guaranty Ltd. | 284,890 | ||||||
944 | Atlas Financial Holdings Inc.* | 15,906 | ||||||
4,681 | Axis Capital Holdings Ltd. | 281,983 | ||||||
928 | Baldwin & Lyons Inc., Class B Shares | 20,323 | ||||||
776 | Blue Capital Reinsurance Holdings Ltd. | 14,589 | ||||||
6,634 | Brown & Brown Inc. | 298,265 | ||||||
3,288 | Citizens Inc., Class A Shares*(a) | 24,759 | ||||||
7,260 | CNO Financial Group Inc. | 162,261 | ||||||
639 | Crawford & Co., Class B Shares | 6,339 | ||||||
971 | Donegal Group Inc., Class A Shares | 14,885 | ||||||
702 | eHealth Inc.* | 17,045 | ||||||
739 | EMC Insurance Group Inc. | 20,603 | ||||||
1,898 | Employers Holdings Inc. | 80,001 | ||||||
631 | Enstar Group Ltd.* | 130,964 | ||||||
1,388 | Erie Indemnity Co., Class A Shares | 167,657 |
See Notes to Financial Statements.
73
Schedules of Investments |
(continued) |
Small-Mid Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
FINANCIALS — 11.5% — (continued) | ||||||||
Insurance — 2.4% — (continued) | ||||||||
2,304 | Everest Re Group Ltd. | $ | 581,714 | |||||
714 | FBL Financial Group Inc., Class A Shares | 48,552 | ||||||
718 | Federated National Holding Co. | 11,158 | ||||||
938 | Fidelity & Guaranty Life | 29,313 | ||||||
6,052 | First American Financial Corp. | 296,911 | ||||||
56,894 | FNF Group | 2,744,567 | ||||||
21,834 | Genworth Financial Inc., Class A Shares* | 74,891 | ||||||
601 | Global Indemnity Ltd.* | 24,292 | ||||||
1,999 | Greenlight Capital Re Ltd., Class A Shares* | 44,478 | ||||||
890 | Hallmark Financial Services Inc.* | 9,123 | ||||||
2,483 | Hanover Insurance Group Inc. (The) | 243,781 | ||||||
500 | HCI Group Inc. | 19,495 | ||||||
793 | Health Insurance Innovations Inc., Class A Shares*(a) | 26,685 | ||||||
1,916 | Heritage Insurance Holdings Inc. | 21,804 | ||||||
2,528 | Horace Mann Educators Corp. | 88,859 | ||||||
796 | Independence Holding Co. | 17,273 | ||||||
685 | Infinity Property & Casualty Corp. | 60,588 | ||||||
102 | Investors Title Co. | 17,939 | ||||||
1,209 | James River Group Holdings Ltd. | 48,215 | ||||||
2,218 | Kemper Corp. | 106,242 | ||||||
824 | Kingstone Cos., Inc.(a) | 12,401 | ||||||
899 | Kinsale Capital Group Inc. | 34,027 | ||||||
190,247 | Maiden Holdings Ltd. | 1,379,291 | ||||||
7,309 | MBIA Inc.* | 73,529 | ||||||
1,656 | Mercury General Corp. | 95,170 | ||||||
3,067 | National General Holdings Corp. | 52,660 | ||||||
164 | National Western Life Group Inc., Class A Shares | 54,843 | ||||||
1,152 | Navigators Group Inc. (The) | 64,282 | ||||||
792 | NI Holdings Inc.* | 13,076 | ||||||
13,726 | Old Republic International Corp. | 262,029 | ||||||
1,515 | OneBeacon Insurance Group Ltd., Class A Shares | 27,603 | ||||||
2,254 | Primerica Inc. | 172,544 | ||||||
3,068 | ProAssurance Corp. | 163,371 | ||||||
3,615 | Reinsurance Group of America Inc., Class A Shares | 486,037 | ||||||
1,610 | RenaissanceRe Holdings Ltd. | 224,048 | ||||||
2,272 | RLI Corp. | 121,597 | ||||||
591 | Safety Insurance Group Inc. | 42,197 | ||||||
3,306 | Selective Insurance Group Inc. | 166,622 | ||||||
1,126 | State Auto Financial Corp. | 27,857 | ||||||
1,843 | State National Cos., Inc. | 38,279 | ||||||
1,317 | Stewart Information Services Corp. | 47,517 | ||||||
4,682 | Third Point Reinsurance Ltd.* | 65,782 | ||||||
6,603 | Torchmark Corp. | 508,233 | ||||||
1,397 | Trupanion Inc.* | 30,566 | ||||||
877 | United Fire Group Inc. | 36,887 | ||||||
1,354 | United Insurance Holdings Corp. | 21,312 | ||||||
1,921 | Universal Insurance Holdings Inc.(a) | 41,206 | ||||||
4,341 | Validus Holdings Ltd. | 217,701 | ||||||
253 | White Mountains Insurance Group Ltd. | 220,381 | ||||||
7,213 | Willis Towers Watson PLC | 1,070,914 | ||||||
10,198 | WMIH Corp.* | 12,748 | ||||||
5,483 | WR Berkley Corp. | 365,387 | ||||||
|
| |||||||
Total Insurance | 16,214,251 | |||||||
|
|
See Notes to Financial Statements.
74
Schedules of Investments |
(continued) |
Small-Mid Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
FINANCIALS — 11.5% — (continued) | ||||||||
Mortgage Real Estate Investment Trusts (REITs) — 0.4% | ||||||||
1,210 | AG Mortgage Investment Trust Inc. | $ | 23,317 | |||||
19,938 | AGNC Investment Corp. | 429,464 | ||||||
4,508 | Anworth Mortgage Asset Corp. | 27,318 | ||||||
5,452 | Apollo Commercial Real Estate Finance Inc. | 98,627 | ||||||
2,024 | Ares Commercial Real Estate Corp. | 26,697 | ||||||
2,209 | ARMOUR Residential REIT Inc. | 58,340 | ||||||
4,276 | Capstead Mortgage Corp. | 41,349 | ||||||
1,062 | Cherry Hill Mortgage Investment Corp. | 19,626 | ||||||
10,397 | Chimera Investment Corp. | 198,271 | ||||||
9,017 | CYS Investments Inc. | 79,259 | ||||||
3,717 | Dynex Capital Inc. | 26,576 | ||||||
891 | Ellington Residential Mortgage REIT(a) | 13,035 | ||||||
1,385 | Great Ajax Corp. | 19,639 | ||||||
2,764 | Hannon Armstrong Sustainable Infrastructure Capital Inc. | 64,125 | ||||||
6,626 | Invesco Mortgage Capital Inc. | 112,509 | ||||||
728 | KKR Real Estate Finance Trust Inc.(a) | 15,121 | ||||||
3,162 | Ladder Capital Corp., Class A Shares | 43,383 | ||||||
22,050 | MFA Financial Inc. | 193,599 | ||||||
2,866 | MTGE Investment Corp. | 55,027 | ||||||
17,190 | New Residential Investment Corp. | 283,291 | ||||||
5,257 | New York Mortgage Trust Inc. | 32,909 | ||||||
885 | Orchid Island Capital Inc., Class A Shares(a) | 8,558 | ||||||
673 | Owens Realty Mortgage Inc. | 11,676 | ||||||
2,882 | PennyMac Mortgage Investment Trust | 49,830 | ||||||
4,581 | Redwood Trust Inc. | 76,411 | ||||||
1,455 | Resource Capital Corp. | 15,059 | ||||||
14,246 | Starwood Property Trust Inc. | 316,404 | ||||||
1,344 | Sutherland Asset Management Corp.(a) | 20,496 | ||||||
19,944 | Two Harbors Investment Corp. | 204,027 | ||||||
2,078 | Western Asset Mortgage Capital Corp. | 21,840 | ||||||
|
| |||||||
Total Mortgage Real Estate Investment Trusts (REITs) | 2,585,783 | |||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.6% | ||||||||
108 | ASB Bancorp Inc., Class B Shares* | 4,790 | ||||||
5,233 | Astoria Financial Corp. | 102,514 | ||||||
2,555 | Bank Mutual Corp. | 23,378 | ||||||
626 | BankFinancial Corp. | 10,041 | ||||||
726 | Bear State Financial Inc. | 7,463 | ||||||
3,983 | Beneficial Bancorp Inc. | 59,546 | ||||||
3,394 | BofI Holding Inc.*(a) | 89,975 | ||||||
549 | BSB Bancorp Inc.* | 15,647 | ||||||
7,279 | Capitol Federal Financial Inc. | 99,868 | ||||||
534 | Charter Financial Corp. | 8,683 | ||||||
981 | Clifton Bancorp Inc. | 15,451 | ||||||
1,878 | Dime Community Bancshares Inc. | 35,588 | ||||||
280 | Entegra Financial Corp.*(a) | 6,496 | ||||||
526 | ESSA Bancorp Inc. | 7,943 | ||||||
4,436 | Essent Group Ltd.* | 173,359 | ||||||
513 | Federal Agricultural Mortgage Corp., Class C Shares | 34,946 | ||||||
580 | First Defiance Financial Corp. | 28,397 | ||||||
1,231 | Flagstar Bancorp Inc.* | 40,401 | ||||||
181 | Greene County Bancorp Inc. | 4,226 | ||||||
52 | Hingham Institution for Savings | 9,569 | ||||||
391 | Home Bancorp Inc. | 15,789 | ||||||
1,668 | HomeStreet Inc.* | 42,117 |
See Notes to Financial Statements.
75
Schedules of Investments |
(continued) |
Small-Mid Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
FINANCIALS — 11.5% — (continued) | ||||||||
Thrifts & Mortgage Finance — 0.6% — (continued) | ||||||||
439 | Impac Mortgage Holdings Inc.*(a) | $ | 5,826 | |||||
4,853 | Kearny Financial Corp. | 68,670 | ||||||
359 | LendingTree Inc.* | 82,911 | ||||||
238 | Malvern Bancorp Inc.*(a) | 5,664 | ||||||
2,730 | Meridian Bancorp Inc. | �� | 48,048 | |||||
507 | Meta Financial Group Inc. | 35,642 | ||||||
145,355 | MGIC Investment Corp.* | 1,664,315 | ||||||
1,733 | Nationstar Mortgage Holdings Inc.* | 29,842 | ||||||
27,009 | New York Community Bancorp Inc. | 325,458 | ||||||
3,507 | NMI Holdings Inc., Class A Shares* | 38,051 | ||||||
2,479 | Northfield Bancorp Inc. | 39,937 | ||||||
5,422 | Northwest Bancshares Inc. | 83,661 | ||||||
1,822 | OceanFirst Financial Corp. | 45,477 | ||||||
5,003 | Ocwen Financial Corp.*(a) | 14,659 | ||||||
2,350 | Oritani Financial Corp. | 37,717 | ||||||
1,077 | PCSB Financial Corp.*(a) | 18,223 | ||||||
3,053 | PHH Corp.* | 43,353 | ||||||
186 | Provident Bancorp Inc.* | 3,794 | ||||||
415 | Provident Financial Holdings Inc. | 7,860 | ||||||
3,515 | Provident Financial Services Inc. | 87,348 | ||||||
276 | Prudential Bancorp Inc.(a) | 5,092 | ||||||
12,296 | Radian Group Inc. | 215,180 | ||||||
886 | Riverview Bancorp Inc. | 7,115 | ||||||
778 | SI Financial Group Inc. | 11,359 | ||||||
211 | Southern Missouri Bancorp Inc. | 6,849 | ||||||
291 | Territorial Bancorp Inc. | 8,797 | ||||||
3,124 | TFS Financial Corp. | 48,047 | ||||||
287 | Timberland Bancorp Inc. | 7,953 | ||||||
5,379 | TrustCo Bank Corp. NY | 42,494 | ||||||
2,449 | United Community Financial Corp. | 22,261 | ||||||
2,941 | United Financial Bancorp Inc. | 50,938 | ||||||
1,571 | Walker & Dunlop Inc.* | 75,706 | ||||||
5,010 | Washington Federal Inc. | 156,562 | ||||||
1,500 | Waterstone Financial Inc. | 26,475 | ||||||
1,290 | Western New England Bancorp Inc. | 12,836 | ||||||
1,729 | WSFS Financial Corp. | 77,286 | ||||||
|
| |||||||
Total Thrifts & Mortgage Finance | 4,297,593 | |||||||
|
| |||||||
TOTAL FINANCIALS | 77,483,188 | |||||||
|
| |||||||
HEALTH CARE — 14.0% | ||||||||
Biotechnology — 3.0% | ||||||||
954 | Abeona Therapeutics Inc.* | 12,545 | ||||||
5,458 | ACADIA Pharmaceuticals Inc.*(a) | 194,359 | ||||||
42,785 | Acceleron Pharma Inc.* | 1,658,347 | ||||||
1,627 | Achaogen Inc.*(a) | 30,490 | ||||||
6,934 | Achillion Pharmaceuticals Inc.* | 35,433 | ||||||
2,476 | Acorda Therapeutics Inc.* | 51,501 | ||||||
907 | Adamas Pharmaceuticals Inc.*(a) | 18,993 | ||||||
2,358 | Aduro Biotech Inc.* | 28,650 | ||||||
1,745 | Advaxis Inc.*(a) | 11,883 | ||||||
3,576 | Agenus Inc.*(a) | 13,195 | ||||||
2,347 | Agios Pharmaceuticals Inc.*(a) | 148,471 | ||||||
1,999 | Aimmune Therapeutics Inc.*(a) | 42,978 | ||||||
2,104 | Akebia Therapeutics Inc.* | 35,221 | ||||||
2,735 | Alder Biopharmaceuticals Inc.* | 26,803 |
See Notes to Financial Statements.
76
Schedules of Investments |
(continued) |
Small-Mid Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
HEALTH CARE — 14.0% — (continued) | ||||||||
Biotechnology — 3.0% — (continued) | ||||||||
18,170 | Alkermes PLC* | $ | 922,673 | |||||
4,251 | Alnylam Pharmaceuticals Inc.* | 364,438 | ||||||
2,026 | AMAG Pharmaceuticals Inc.* | 33,834 | ||||||
8,068 | Amicus Therapeutics Inc.* | 112,468 | ||||||
194 | AnaptysBio Inc.* | 5,426 | ||||||
1,344 | Anavex Life Sciences Corp.* | 5,967 | ||||||
1,549 | Ardelyx Inc.* | 7,977 | ||||||
1,853 | Arena Pharmaceuticals Inc.* | 42,953 | ||||||
9,724 | Array BioPharma Inc.* | 94,128 | ||||||
1,258 | Asterias Biotherapeutics Inc.*(a) | 4,340 | ||||||
1,533 | Atara Biotherapeutics Inc.* | 24,145 | ||||||
7,238 | Athersys Inc.*(a) | 12,666 | ||||||
918 | Audentes Therapeutics Inc.* | 19,269 | ||||||
12,576 | Avexis Inc.* | 1,173,970 | ||||||
1,694 | Axovant Sciences Ltd.*(a) | 33,880 | ||||||
1,672 | Bellicum Pharmaceuticals Inc.*(a) | 18,108 | ||||||
4,941 | BioCryst Pharmaceuticals Inc.* | 25,199 | ||||||
646 | Biohaven Pharmaceutical Holding Co., Ltd.* | 23,095 | ||||||
11,259 | BioMarin Pharmaceutical Inc.* | 1,015,449 | ||||||
347 | BioSpecifics Technologies Corp.* | 16,361 | ||||||
3,583 | BioTime Inc.*(a) | 10,498 | ||||||
15,226 | Bioverativ Inc.* | 863,162 | ||||||
2,513 | Bluebird Bio Inc.*(a) | 313,748 | ||||||
2,179 | Blueprint Medicines Corp.* | 118,145 | ||||||
1,733 | Calithera Biosciences Inc.*(a) | 28,421 | ||||||
1,723 | Cara Therapeutics Inc.*(a) | 24,691 | ||||||
1,339 | Cascadian Therapeutics Inc.*(a) | 4,847 | ||||||
2,733 | Catalyst Pharmaceuticals Inc.*(a) | 7,516 | ||||||
6,065 | Celldex Therapeutics Inc.*(a) | 14,920 | ||||||
1,063 | ChemoCentryx Inc.* | 7,377 | ||||||
1,919 | Chimerix Inc.* | 9,134 | ||||||
16,696 | Clovis Oncology Inc.* | 1,270,065 | ||||||
2,212 | Coherus Biosciences Inc.*(a) | 31,963 | ||||||
950 | Conatus Pharmaceuticals Inc.* | 5,453 | ||||||
733 | Concert Pharmaceuticals Inc.* | 11,156 | ||||||
2,926 | Corbus Pharmaceuticals Holdings Inc.*(a) | 22,677 | ||||||
238 | Corvus Pharmaceuticals Inc.*(a) | 3,848 | ||||||
8,154 | Curis Inc.* | 16,634 | ||||||
2,369 | Cytokinetics Inc.* | 35,180 | ||||||
1,826 | CytomX Therapeutics Inc.* | 31,553 | ||||||
3,075 | Dynavax Technologies Corp.*(a) | 55,196 | ||||||
464 | Eagle Pharmaceuticals Inc.*(a) | 25,316 | ||||||
1,054 | Edge Therapeutics Inc.*(a) | 11,120 | ||||||
1,962 | Editas Medicine Inc.*(a) | 41,418 | ||||||
1,880 | Emergent BioSolutions Inc.* | 70,180 | ||||||
887 | Enanta Pharmaceuticals Inc.* | 38,017 | ||||||
2,364 | Epizyme Inc.*(a) | 41,015 | ||||||
844 | Esperion Therapeutics Inc.*(a) | 41,710 | ||||||
6,146 | Exact Sciences Corp.* | 257,456 | ||||||
15,667 | Exelixis Inc.* | 458,103 | ||||||
1,568 | Fate Therapeutics Inc.*(a) | 5,927 | ||||||
3,339 | FibroGen Inc.* | 160,940 | ||||||
1,553 | Five Prime Therapeutics Inc.* | 52,678 | ||||||
1,583 | Flexion Therapeutics Inc.*(a) | 40,683 | ||||||
1,120 | Fortress Biotech Inc.* | 5,320 |
See Notes to Financial Statements.
77
Schedules of Investments |
(continued) |
Small-Mid Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
HEALTH CARE — 14.0% — (continued) | ||||||||
Biotechnology — 3.0% — (continued) | ||||||||
808 | Foundation Medicine Inc.*(a) | $ | 32,562 | |||||
877 | Genocea Biosciences Inc.*(a) | 4,271 | ||||||
1,127 | Genomic Health Inc.* | 35,726 | ||||||
8,615 | Geron Corp.*(a) | 18,695 | ||||||
2,092 | Global Blood Therapeutics Inc.*(a) | 63,597 | ||||||
6,173 | Halozyme Therapeutics Inc.* | 80,311 | ||||||
2,612 | Heron Therapeutics Inc.*(a) | 43,098 | ||||||
5,563 | Idera Pharmaceuticals Inc.* | 11,015 | ||||||
2,844 | Ignyta Inc.* | 32,706 | ||||||
1,299 | Immune Design Corp.*(a) | 14,094 | ||||||
4,793 | ImmunoGen Inc.*(a) | 40,069 | ||||||
5,773 | Immunomedics Inc.*(a) | 72,971 | ||||||
15,443 | Incyte Corp.* | 2,122,023 | ||||||
3,871 | Inovio Pharmaceuticals Inc.*(a) | 22,994 | ||||||
3,488 | Insmed Inc.* | 43,321 | ||||||
1,137 | Insys Therapeutics Inc.*(a) | 10,392 | ||||||
743 | Intellia Therapeutics Inc.*(a) | 15,625 | ||||||
1,011 | Intercept Pharmaceuticals Inc.*(a) | 117,893 | ||||||
3,044 | Intrexon Corp.*(a) | 60,058 | ||||||
2,243 | Invitae Corp.*(a) | 22,026 | ||||||
6,661 | Ionis Pharmaceuticals Inc.*(a) | 357,163 | ||||||
2,516 | Iovance Biotherapeutics Inc.* | 14,467 | ||||||
7,539 | Ironwood Pharmaceuticals Inc., Class A Shares* | 120,247 | ||||||
285 | Jounce Therapeutics Inc.* | 4,842 | ||||||
3,621 | Juno Therapeutics Inc.*(a) | 149,439 | ||||||
2,123 | Karyopharm Therapeutics Inc.* | 21,697 | ||||||
4,683 | Keryx Biopharmaceuticals Inc.*(a) | 33,764 | ||||||
1,530 | Kindred Biosciences Inc.*(a) | 11,628 | ||||||
2,737 | Kite Pharma Inc.*(a) | 487,159 | ||||||
640 | Kura Oncology Inc.*(a) | 4,608 | ||||||
990 | La Jolla Pharmaceutical Co.*(a) | 33,809 | ||||||
2,456 | Lexicon Pharmaceuticals Inc.* | 37,184 | ||||||
1,144 | Ligand Pharmaceuticals Inc.* | 147,427 | ||||||
1,127 | Loxo Oncology Inc.* | 93,992 | ||||||
1,918 | MacroGenics Inc.* | 36,269 | ||||||
1,718 | Matinas BioPharma Holdings Inc.* | 2,199 | ||||||
1,120 | MediciNova Inc.*(a) | 6,070 | ||||||
5,482 | Merrimack Pharmaceuticals Inc. | 7,456 | ||||||
5,802 | MiMedx Group Inc.*(a) | 94,399 | ||||||
1,710 | Minerva Neurosciences Inc.*(a) | 10,346 | ||||||
510 | Miragen Therapeutics Inc.* | 4,590 | ||||||
4,145 | Momenta Pharmaceuticals Inc.* | 69,843 | ||||||
3,624 | Myriad Genetics Inc.* | 110,496 | ||||||
2,261 | NantKwest Inc.*(a) | 14,086 | ||||||
1,862 | Natera Inc.* | 22,996 | ||||||
15,563 | Neurocrine Biosciences Inc.* | 880,866 | ||||||
863 | NewLink Genetics Corp.*(a) | 7,008 | ||||||
19,014 | Novavax Inc.*(a) | 19,965 | ||||||
465 | Novelion Therapeutics Inc.* | 3,306 | ||||||
1,230 | Nymox Pharmaceutical Corp.* | 4,588 | ||||||
18,860 | OPKO Health Inc.*(a) | 120,704 | ||||||
6,397 | Organovo Holdings Inc.*(a) | 13,306 | ||||||
1,627 | Otonomy Inc.* | 5,857 | ||||||
364 | Ovid therapeutics Inc.*(a) | 3,429 | ||||||
9,644 | PDL BioPharma Inc.* | 30,089 |
See Notes to Financial Statements.
78
Schedules of Investments |
(continued) |
Small-Mid Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
HEALTH CARE — 14.0% — (continued) | ||||||||
Biotechnology — 3.0% — (continued) | ||||||||
1,293 | Pieris Pharmaceuticals Inc.* | $ | 7,124 | |||||
2,789 | Portola Pharmaceuticals Inc.* | 176,962 | ||||||
4,065 | Progenics Pharmaceuticals Inc.* | 27,357 | ||||||
262 | Protagonist Therapeutics Inc.*(a) | 4,278 | ||||||
25,575 | Prothena Corp. PLC*(a) | 1,571,328 | ||||||
1,887 | PTC Therapeutics Inc.* | 39,155 | ||||||
1,599 | Puma Biotechnology Inc.*(a) | 147,907 | ||||||
491 | Ra Pharmaceuticals Inc.* | 7,370 | ||||||
2,092 | Radius Health Inc.*(a) | 78,722 | ||||||
719 | Recro Pharma Inc.* | 5,414 | ||||||
1,627 | REGENXBIO Inc.* | 37,014 | ||||||
1,922 | Repligen Corp.* | 83,934 | ||||||
2,169 | Retrophin Inc.* | 52,924 | ||||||
7,490 | Rigel Pharmaceuticals Inc.* | 19,099 | ||||||
1,936 | Sage Therapeutics Inc.* | 159,236 | ||||||
4,081 | Sangamo Therapeutics Inc.* | 54,481 | ||||||
2,907 | Sarepta Therapeutics Inc.* | 117,123 | ||||||
5,402 | Seattle Genetics Inc.* | 283,767 | ||||||
454 | Selecta Biosciences Inc.*(a) | 8,104 | ||||||
934 | Seres Therapeutics Inc.* | 13,104 | ||||||
1,313 | Spark Therapeutics Inc.* | 108,099 | ||||||
4,356 | Spectrum Pharmaceuticals Inc.* | 42,515 | ||||||
1,192 | Stemline Therapeutics Inc.* | 10,788 | ||||||
954 | Strongbridge Biopharma PLC* | 6,392 | ||||||
256 | Syndax Pharmaceuticals Inc.* | 2,970 | ||||||
12,859 | Synergy Pharmaceuticals Inc.*(a) | 38,320 | ||||||
514 | Syros Pharmaceuticals Inc.* | 10,059 | ||||||
2,091 | TESARO Inc.* | 270,032 | ||||||
2,764 | TG Therapeutics Inc.*(a) | 35,103 | ||||||
314 | Tocagen Inc.* | 4,368 | ||||||
2,233 | Trevena Inc.* | 5,359 | ||||||
2,223 | Ultragenyx Pharmaceutical Inc.* | 126,844 | ||||||
2,508 | United Therapeutics Corp.* | 328,046 | ||||||
2,498 | Vanda Pharmaceuticals Inc.* | 42,966 | ||||||
1,105 | VBI Vaccines Inc.* | 3,956 | ||||||
800 | Veracyte Inc.* | 6,552 | ||||||
1,866 | Versartis Inc.* | 35,454 | ||||||
1,184 | Voyager Therapeutics Inc.* | 11,414 | ||||||
134 | vTv Therapeutics Inc., Class A Shares* | 728 | ||||||
905 | XBiotech Inc.*(a) | 4,634 | ||||||
2,170 | Xencor Inc.* | 46,915 | ||||||
7,454 | ZIOPHARM Oncology Inc.*(a) | 47,631 | ||||||
|
| |||||||
Total Biotechnology | 20,333,571 | |||||||
|
| |||||||
Health Care Equipment & Supplies — 4.7% | ||||||||
1,228 | Abaxis Inc. | 56,758 | ||||||
2,227 | ABIOMED Inc.* | 335,832 | ||||||
140,950 | Accuray Inc.* | 584,942 | ||||||
4,842 | Alere Inc.* | 239,485 | ||||||
6,158 | Align Technology Inc.* | 1,088,365 | ||||||
10,009 | Analogic Corp. | 716,144 | ||||||
2,095 | AngioDynamics Inc.* | 35,678 | ||||||
813 | Anika Therapeutics Inc.* | 43,658 | ||||||
8,206 | Antares Pharma Inc.* | 24,700 | ||||||
24,996 | AtriCure Inc.* | 560,660 |
See Notes to Financial Statements.
79
Schedules of Investments |
(continued) |
Small-Mid Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
HEALTH CARE — 14.0% — (continued) | ||||||||
Health Care Equipment & Supplies — 4.7% — (continued) | ||||||||
77 | Atrion Corp. | $ | 47,906 | |||||
1,695 | AxoGen Inc.* | 29,832 | ||||||
20,232 | Becton Dickinson and Co. | 4,035,070 | ||||||
2,026 | Cantel Medical Corp. | 164,612 | ||||||
1,808 | Cardiovascular Systems Inc.* | 53,101 | ||||||
4,771 | Cerus Corp.*(a) | 11,212 | ||||||
1,766 | ConforMIS Inc.*(a) | 6,534 | ||||||
1,539 | CONMED Corp. | 76,334 | ||||||
13,890 | Cooper Cos., Inc. (The) | 3,484,029 | ||||||
4,883 | Corindus Vascular Robotics Inc.*(a) | 9,327 | ||||||
1,869 | CryoLife Inc.* | 38,875 | ||||||
815 | Cutera Inc.* | 30,277 | ||||||
18,034 | DexCom Inc.* | 1,345,517 | ||||||
7,960 | Edwards Lifesciences Corp.* | 904,734 | ||||||
5,262 | Endologix Inc.* | 22,258 | ||||||
853 | Entellus Medical Inc.*(a) | 15,098 | ||||||
504 | Exactech Inc.* | 15,397 | ||||||
235 | FONAR Corp.* | 6,956 | ||||||
2,498 | GenMark Diagnostics Inc.* | 24,331 | ||||||
1,615 | Glaukos Corp.*(a) | 60,966 | ||||||
3,932 | Globus Medical Inc., Class A Shares* | 118,864 | ||||||
47,079 | Haemonetics Corp.* | 2,025,339 | ||||||
2,637 | Halyard Health Inc.* | 119,430 | ||||||
358 | Heska Corp.* | 36,416 | ||||||
3,698 | Hill-Rom Holdings Inc. | 284,598 | ||||||
830 | ICU Medical Inc.* | 144,710 | ||||||
951 | Inogen Inc.* | 91,106 | ||||||
3,261 | Insulet Corp.* | 189,334 | ||||||
1,750 | Integer Holdings Corp* | 80,413 | ||||||
42,706 | Integra LifeSciences Holdings Corp.* | 2,177,579 | ||||||
2,045 | Invacare Corp. | 27,607 | ||||||
789 | iRhythm Technologies Inc.* | 37,667 | ||||||
2,288 | K2M Group Holdings Inc.* | 53,493 | ||||||
1,569 | Lantheus Holdings Inc.* | 27,458 | ||||||
924 | LeMaitre Vascular Inc. | 33,634 | ||||||
2,718 | LivaNova PLC*(a) | 170,092 | ||||||
13,312 | Masimo Corp.* | 1,123,267 | ||||||
2,422 | Meridian Bioscience Inc. | 33,666 | ||||||
2,721 | Merit Medical Systems Inc.* | 112,377 | ||||||
1,824 | Natus Medical Inc.* | 61,286 | ||||||
2,066 | Neogen Corp.* | 142,347 | ||||||
21,839 | Nevro Corp.* | 1,882,085 | ||||||
3,284 | Novocure Ltd.*(a) | 67,322 | ||||||
2,832 | NuVasive Inc.* | 176,943 | ||||||
3,653 | NxStage Medical Inc.* | 102,284 | ||||||
426 | Obalon Therapeutics Inc.*(a) | 3,830 | ||||||
3,198 | OraSure Technologies Inc.* | 65,271 | ||||||
973 | Orthofix International NV* | 47,881 | ||||||
1,124 | Oxford Immunotec Global PLC* | 17,782 | ||||||
1,636 | Penumbra Inc.* | 140,696 | ||||||
392 | Pulse Biosciences Inc.* | 7,852 | ||||||
1,568 | Quidel Corp.* | 54,786 | ||||||
1,673 | Quotient Ltd.* | 6,458 | ||||||
7,754 | ResMed Inc. | 601,555 | ||||||
2,194 | Rockwell Medical Inc.*(a) | 13,866 |
See Notes to Financial Statements.
80
Schedules of Investments |
(continued) |
Small-Mid Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
HEALTH CARE — 14.0% — (continued) | ||||||||
Health Care Equipment & Supplies — 4.7% — (continued) | ||||||||
3,529 | RTI Surgical Inc.* | $ | 15,880 | |||||
519 | Sientra Inc.* | 5,948 | ||||||
1,988 | STAAR Surgical Co.* | 23,757 | ||||||
13,213 | STERIS PLC | 1,151,645 | ||||||
635 | Surmodics Inc.* | 16,510 | ||||||
570 | Tactile Systems Technology Inc.* | 18,742 | ||||||
7,085 | Teleflex Inc. | 1,500,249 | ||||||
203 | Utah Medical Products Inc. | 14,646 | ||||||
73,770 | Varex Imaging Corp.* | 2,252,198 | ||||||
1,082 | ViewRay Inc.*(a) | 5,691 | ||||||
588 | Viveve Medical Inc.*(a) | 3,334 | ||||||
4,116 | West Pharmaceutical Services Inc. | 358,257 | ||||||
67,727 | Wright Medical Group NV* | 2,004,719 | ||||||
|
| |||||||
Total Health Care Equipment & Supplies | 31,719,458 | |||||||
|
| |||||||
Health Care Providers & Services — 1.8% | ||||||||
454 | AAC Holdings Inc.* | 4,218 | ||||||
36,860 | Acadia Healthcare Co., Inc.* | 1,730,208 | ||||||
1,722 | Aceto Corp. | 18,270 | ||||||
331 | Addus HomeCare Corp.* | 11,271 | ||||||
716 | Almost Family Inc.* | 34,869 | ||||||
1,592 | Amedisys Inc.* | 83,166 | ||||||
409 | American Renal Associates Holdings Inc.*(a) | 5,861 | ||||||
2,641 | AMN Healthcare Services Inc.* | 98,641 | ||||||
3,048 | BioScrip Inc.*(a) | 9,235 | ||||||
1,577 | BioTelemetry Inc.* | 58,586 | ||||||
10,410 | Brookdale Senior Living Inc.* | 126,273 | ||||||
1,436 | Capital Senior Living Corp.* | 17,849 | ||||||
870 | Chemed Corp. | 171,642 | ||||||
820 | Civitas Solutions Inc.* | 15,662 | ||||||
5,454 | Community Health Systems Inc.* | 41,669 | ||||||
554 | CorVel Corp.* | 28,753 | ||||||
2,226 | Cross Country Healthcare Inc.* | 27,558 | ||||||
2,751 | Diplomat Pharmacy Inc.* | 46,079 | ||||||
2,719 | Ensign Group Inc. (The) | 55,848 | ||||||
44,272 | Envision Healthcare Corp.* | 2,320,296 | ||||||
2,272 | Genesis Healthcare Inc., Class A Shares* | 2,363 | ||||||
2,788 | HealthEquity Inc.* | 119,243 | ||||||
4,748 | HealthSouth Corp. | 217,221 | ||||||
4,784 | Kindred Healthcare Inc. | 38,750 | ||||||
18,239 | Laboratory Corp. of America Holdings* | 2,861,152 | ||||||
516 | Landauer Inc. | 32,018 | ||||||
883 | LHC Group Inc.* | 57,616 | ||||||
2,098 | LifePoint Health Inc.* | 121,579 | ||||||
1,353 | Magellan Health Inc.* | 109,458 | ||||||
5,145 | MEDNAX Inc.* | 230,753 | ||||||
12,161 | Molina Healthcare Inc.*(a) | 778,304 | ||||||
625 | National HealthCare Corp. | 38,962 | ||||||
412 | National Research Corp., Class A Shares | 13,308 | ||||||
3,439 | Owens & Minor Inc. | 96,086 | ||||||
4,323 | Patterson Cos., Inc. | 166,435 | ||||||
1,686 | PharMerica Corp.* | 49,568 | ||||||
2,868 | Premier Inc., Class A Shares* | 96,078 | ||||||
667 | Providence Service Corp. (The)* | 34,571 | ||||||
6,196 | R1 RCM Inc.*(a) | 20,447 |
See Notes to Financial Statements.
81
Schedules of Investments |
(continued) |
Small-Mid Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
HEALTH CARE — 14.0% — (continued) | ||||||||
Health Care Providers & Services — 1.8% — (continued) | ||||||||
2,346 | RadNet Inc.* | $ | 24,047 | |||||
6,020 | Select Medical Holdings Corp.* | 111,972 | ||||||
1,198 | Surgery Partners Inc.* | 11,681 | ||||||
3,015 | Teladoc Inc.*(a) | 101,153 | ||||||
4,614 | Tenet Healthcare Corp.*(a) | 79,222 | ||||||
27,079 | Tivity Health Inc.* | 1,061,497 | ||||||
1,456 | Triple-S Management Corp., Class B Shares* | 35,978 | ||||||
685 | US Physical Therapy Inc. | 41,032 | ||||||
4,321 | VCA Inc.* | 401,680 | ||||||
2,502 | WellCare Health Plans Inc.* | 437,049 | ||||||
|
| |||||||
Total Health Care Providers & Services | 12,295,177 | |||||||
|
| |||||||
Health Care Technology — 0.7% | ||||||||
91,091 | Allscripts Healthcare Solutions Inc.* | 1,196,936 | ||||||
2,225 | athenahealth Inc.* | 313,569 | ||||||
2,904 | Castlight Health Inc., Class B Shares*(a) | 11,326 | ||||||
660 | Computer Programs & Systems Inc. | 19,866 | ||||||
1,496 | Cotiviti Holdings Inc.* | 53,452 | ||||||
2,206 | Evolent Health Inc., Class A Shares* | 36,840 | ||||||
1,467 | HealthStream Inc.* | 34,460 | ||||||
4,765 | HMS Holdings Corp.* | 84,436 | ||||||
3,588 | Inovalon Holdings Inc., Class A Shares*(a) | 48,617 | ||||||
3,148 | Medidata Solutions Inc.* | 235,974 | ||||||
1,079 | NantHealth Inc.* | 2,989 | ||||||
46,824 | Omnicell Inc.* | 2,402,071 | ||||||
2,935 | Quality Systems Inc.* | 46,226 | ||||||
445 | Simulations Plus Inc.(a) | 6,453 | ||||||
334 | Tabula Rasa HealthCare Inc.* | 7,592 | ||||||
6,034 | Veeva Systems Inc., Class A Shares* | 359,023 | ||||||
1,559 | Vocera Communications Inc.* | 43,418 | ||||||
|
| |||||||
Total Health Care Technology | 4,903,248 | |||||||
|
| |||||||
Life Sciences Tools & Services — 2.1% | ||||||||
1,469 | Accelerate Diagnostics Inc.*(a) | 33,787 | ||||||
55,727 | Agilent Technologies Inc. | 3,606,651 | ||||||
1,462 | Albany Molecular Research Inc.*(a) | 31,784 | ||||||
1,177 | Bio-Rad Laboratories Inc., Class A Shares* | 256,374 | ||||||
2,078 | Bio-Techne Corp. | 257,215 | ||||||
5,899 | Bruker Corp. | 171,602 | ||||||
1,811 | Cambrex Corp.* | 94,353 | ||||||
19,752 | Charles River Laboratories International Inc.* | 2,149,018 | ||||||
2,341 | Enzo Biochem Inc.* | 26,336 | ||||||
134,641 | Fluidigm Corp.* | 615,309 | ||||||
22,525 | ICON PLC, ADR* | 2,554,110 | ||||||
3,560 | Illumina Inc.* | 727,878 | ||||||
3,050 | INC Research Holdings Inc., Class A Shares* | 179,035 | ||||||
28,099 | Luminex Corp. | 543,154 | ||||||
383 | Medpace Holdings Inc.* | 12,501 | ||||||
1,208 | NanoString Technologies Inc.* | 18,664 | ||||||
3,427 | NeoGenomics Inc.* | 34,647 | ||||||
3,765 | Pacific Biosciences of California Inc.*(a) | 18,637 | ||||||
2,811 | PAREXEL International Corp.* | 247,059 | ||||||
6,053 | PerkinElmer Inc. | 405,490 | ||||||
2,711 | PRA Health Sciences Inc.* | 209,831 | ||||||
42,553 | QIAGEN NV* | 1,368,930 |
See Notes to Financial Statements.
82
Schedules of Investments |
(continued) |
Small-Mid Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
HEALTH CARE — 14.0% — (continued) | ||||||||
Life Sciences Tools & Services — 2.1% — (continued) | ||||||||
4,828 | VWR Corp.* | $ | 159,420 | |||||
|
| |||||||
Total Life Sciences Tools & Services | 13,721,785 | |||||||
|
| |||||||
Pharmaceuticals — 1.7% | ||||||||
41,353 | Aclaris Therapeutics Inc.*(a) | 1,072,283 | ||||||
1,704 | Aerie Pharmaceuticals Inc.* | 97,724 | ||||||
5,039 | Akorn Inc.* | 165,783 | ||||||
2,060 | Amphastar Pharmaceuticals Inc.* | 32,981 | ||||||
391 | ANI Pharmaceuticals Inc.* | 18,768 | ||||||
2,690 | Aratana Therapeutics Inc.*(a) | 15,360 | ||||||
911 | Assembly Biosciences Inc.* | 24,697 | ||||||
234,640 | Cardiome Pharma Corp.* | 572,522 | ||||||
7,010 | Catalent Inc.* | 289,443 | ||||||
2,091 | Cempra Inc.* | 6,378 | ||||||
988 | Clearside Biomedical Inc.*(a) | 6,906 | ||||||
1,548 | Collegium Pharmaceutical Inc.*(a) | 15,542 | ||||||
5,141 | Corcept Therapeutics Inc.* | 85,700 | ||||||
1,474 | Corium International Inc.*(a) | 12,603 | ||||||
3,274 | Depomed Inc.* | 19,906 | ||||||
2,141 | Dermira Inc.* | 50,506 | ||||||
9,552 | Durect Corp.* | 15,188 | ||||||
12,602 | Endo International PLC* | 110,772 | ||||||
9,223 | Horizon Pharma PLC* | 126,171 | ||||||
23,467 | Impax Laboratories Inc.* | 508,061 | ||||||
4,283 | Innoviva Inc.* | 60,133 | ||||||
19,164 | Intersect ENT Inc.* | 592,168 | ||||||
1,625 | Intra-Cellular Therapies Inc., Class A Shares* | 29,981 | ||||||
1,628 | Lannett Co., Inc.*(a) | 28,571 | ||||||
5,602 | Mallinckrodt PLC* | 230,130 | ||||||
39,906 | Medicines Co. (The)* | 1,464,151 | ||||||
1,117 | MyoKardia Inc.*(a) | 48,422 | ||||||
84,495 | Nektar Therapeutics, Class A Shares* | 1,776,930 | ||||||
1,067 | Neos Therapeutics Inc.* | 8,909 | ||||||
1,095 | Ocular Therapeutix Inc.*(a) | 6,855 | ||||||
2,376 | Omeros Corp.*(a) | 48,637 | ||||||
34,120 | Pacira Pharmaceuticals Inc.* | 1,299,972 | ||||||
1,347 | Paratek Pharmaceuticals Inc.* | 37,985 | ||||||
1,054 | Phibro Animal Health Corp., Class A Shares | 37,417 | ||||||
2,967 | Prestige Brands Holdings Inc.* | 150,457 | ||||||
380 | Reata Pharmaceuticals Inc., Class A Shares* | 11,495 | ||||||
1,280 | Revance Therapeutics Inc.*(a) | 31,424 | ||||||
2,963 | SciClone Pharmaceuticals Inc.* | 32,593 | ||||||
1,652 | Sucampo Pharmaceuticals Inc., Class A Shares* | 19,411 | ||||||
2,648 | Supernus Pharmaceuticals Inc.* | 121,278 | ||||||
2,397 | Teligent Inc.*(a) | 16,563 | ||||||
2,531 | Tetraphase Pharmaceuticals Inc.* | 17,666 | ||||||
8,919 | TherapeuticsMD Inc.*(a) | 53,514 | ||||||
2,339 | Theravance Biopharma Inc.*(a) | 76,415 | ||||||
600 | WaVe Life Sciences Ltd.*(a) | 14,100 | ||||||
31,853 | Zoetis Inc., Class A Shares | 1,997,183 | ||||||
1,455 | Zogenix Inc.*(a) | 17,242 | ||||||
824 | Zynerba Pharmaceuticals Inc.*(a) | 5,232 | ||||||
|
| |||||||
Total Pharmaceuticals | 11,482,128 | |||||||
|
| |||||||
TOTAL HEALTH CARE | 94,455,367 | |||||||
|
|
See Notes to Financial Statements.
83
Schedules of Investments |
(continued) |
Small-Mid Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
INDUSTRIALS — 17.7% | ||||||||
Aerospace & Defense — 2.4% | ||||||||
1,800 | AAR Corp. | $ | 64,908 | |||||
3,881 | Aerojet Rocketdyne Holdings Inc.* | 114,994 | ||||||
24,772 | Aerovironment Inc.* | 1,214,323 | ||||||
1,227 | Astronics Corp.* | 32,258 | ||||||
2,925 | Axon Enterprise Inc.*(a) | 63,502 | ||||||
5,275 | BWX Technologies Inc. | 288,648 | ||||||
1,413 | Cubic Corp. | 60,688 | ||||||
2,451 | Curtiss-Wright Corp. | 237,306 | ||||||
3,459 | DigitalGlobe Inc.* | 118,990 | ||||||
671 | Ducommun Inc.* | 18,452 | ||||||
1,068 | Engility Holdings Inc.* | 33,183 | ||||||
1,462 | Esterline Technologies Corp.* | 124,855 | ||||||
1,380 | HEICO Corp. | 118,363 | ||||||
2,593 | HEICO Corp., Class A Shares | 188,381 | ||||||
80,527 | Hexcel Corp. | 4,329,937 | ||||||
2,505 | Huntington Ingalls Industries Inc. | 535,970 | ||||||
110,379 | KEYW Holding Corp. (The)*(a) | 789,210 | ||||||
31,020 | KLX Inc.* | 1,487,099 | ||||||
4,029 | Kratos Defense & Security Solutions Inc.* | 53,908 | ||||||
47,368 | Mercury Systems Inc.* | 2,285,506 | ||||||
1,782 | Moog Inc., Class A Shares* | 136,786 | ||||||
289 | National Presto Industries Inc. | 28,784 | ||||||
3,150 | Orbital ATK Inc. | 351,477 | ||||||
705 | Sparton Corp.* | 16,335 | ||||||
20,174 | Spirit AeroSystems Holdings Inc., Class A Shares | 1,502,963 | ||||||
6,905 | Teledyne Technologies Inc.* | 1,036,164 | ||||||
18,400 | Textron Inc. | 903,256 | ||||||
2,765 | Triumph Group Inc. | 72,720 | ||||||
531 | Vectrus Inc.* | 15,176 | ||||||
3,273 | Wesco Aircraft Holdings Inc.* | 27,493 | ||||||
|
| |||||||
Total Aerospace & Defense | 16,251,635 | |||||||
|
| |||||||
Air Freight & Logistics — 0.1% | ||||||||
2,913 | Air Transport Services Group Inc.* | 66,883 | ||||||
1,313 | Atlas Air Worldwide Holdings Inc.* | 87,708 | ||||||
1,645 | Echo Global Logistics Inc.* | 25,004 | ||||||
1,658 | Forward Air Corp. | 86,166 | ||||||
1,843 | Hub Group Inc., Class A Shares* | 70,863 | ||||||
1,739 | Radiant Logistics Inc.* | 8,782 | ||||||
5,960 | XPO Logistics Inc.* | 364,752 | ||||||
|
| |||||||
Total Air Freight & Logistics | 710,158 | |||||||
|
| |||||||
Airlines — 0.3% | ||||||||
6,688 | Alaska Air Group Inc. | 499,326 | ||||||
738 | Allegiant Travel Co., Class A Shares | 87,084 | ||||||
1,725 | Copa Holdings SA, Class A Shares | 214,021 | ||||||
2,980 | Hawaiian Holdings Inc.* | 127,693 | ||||||
42,098 | JetBlue Airways Corp.* | 833,961 | ||||||
2,868 | SkyWest Inc. | 99,520 | ||||||
3,916 | Spirit Airlines Inc.* | 133,340 | ||||||
|
| |||||||
Total Airlines | 1,994,945 | |||||||
|
| |||||||
Building Products — 1.3% | ||||||||
2,317 | AAON Inc. | 75,534 | ||||||
2,013 | Advanced Drainage Systems Inc. | 39,153 | ||||||
5,183 | Allegion PLC | 407,954 |
See Notes to Financial Statements.
84
Schedules of Investments |
(continued) |
Small-Mid Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
INDUSTRIALS — 17.7% — (continued) | ||||||||
Building Products — 1.3% — (continued) | ||||||||
782 | American Woodmark Corp.* | $ | 64,750 | |||||
26,038 | AO Smith Corp. | 1,450,056 | ||||||
1,590 | Apogee Enterprises Inc. | 69,483 | ||||||
1,457 | Armstrong Flooring Inc.* | 21,738 | ||||||
2,486 | Armstrong World Industries Inc.* | 118,085 | ||||||
5,498 | Builders FirstSource Inc.* | 89,507 | ||||||
1,297 | Caesarstone Ltd.* | 37,581 | ||||||
2,254 | Continental Building Products Inc.* | 54,885 | ||||||
834 | CSW Industrials Inc.* | 34,903 | ||||||
8,394 | Fortune Brands Home & Security Inc. | 524,877 | ||||||
1,800 | Gibraltar Industries Inc.* | 52,650 | ||||||
1,671 | Griffon Corp. | 30,997 | ||||||
1,054 | Insteel Industries Inc. | 26,424 | ||||||
1,325 | JELD-WEN Holding Inc.* | 40,439 | ||||||
2,138 | Lennox International Inc. | 354,331 | ||||||
1,675 | Masonite International Corp.* | 106,027 | ||||||
140,522 | NCI Building Systems Inc.* | 2,360,770 | ||||||
5,996 | Owens Corning | 444,483 | ||||||
909 | Patrick Industries Inc.* | 67,266 | ||||||
2,758 | PGT Innovations Inc.* | 36,406 | ||||||
110,784 | Ply Gem Holdings Inc.* | 1,722,691 | ||||||
1,962 | Quanex Building Products Corp. | 38,455 | ||||||
2,324 | Simpson Manufacturing Co., Inc. | 101,745 | ||||||
1,645 | Trex Co., Inc.* | 125,020 | ||||||
1,121 | Universal Forest Products Inc. | 97,762 | ||||||
4,983 | USG Corp.* | 149,490 | ||||||
|
| |||||||
Total Building Products | 8,743,462 | |||||||
|
| |||||||
Commercial Services & Supplies — 1.8% | ||||||||
3,122 | ABM Industries Inc. | 138,710 | ||||||
6,083 | ACCO Brands Corp.* | 66,609 | ||||||
1,460 | Advanced Disposal Services Inc.* | 34,806 | ||||||
633 | Aqua Metals Inc.*(a) | 4,691 | ||||||
1,684 | ARC Document Solutions Inc.* | 5,945 | ||||||
2,636 | Brady Corp., Class A Shares | 87,911 | ||||||
2,548 | Brink’s Co. (The) | 199,891 | ||||||
2,188 | Casella Waste Systems Inc., Class A Shares* | 36,780 | ||||||
1,470 | CECO Environmental Corp. | 10,981 | ||||||
15,907 | Cintas Corp. | 2,147,604 | ||||||
19,534 | Clean Harbors Inc.* | 1,056,594 | ||||||
11,164 | Copart Inc.* | 364,951 | ||||||
155,899 | Covanta Holding Corp.(a) | 2,237,151 | ||||||
2,538 | Deluxe Corp. | 176,010 | ||||||
1,514 | Ennis Inc. | 28,917 | ||||||
2,219 | Essendant Inc. | 26,317 | ||||||
3,993 | Healthcare Services Group Inc. | 204,442 | ||||||
607 | Heritage-Crystal Clean Inc.* | 11,836 | ||||||
3,348 | Herman Miller Inc. | 112,660 | ||||||
2,494 | HNI Corp. | 91,405 | ||||||
2,355 | Hudson Technologies Inc.* | 20,959 | ||||||
2,634 | InnerWorkings Inc.* | 27,578 | ||||||
3,528 | Interface Inc., Class A Shares | 67,032 | ||||||
34,702 | KAR Auction Services Inc. | 1,564,713 | ||||||
2,043 | Kimball International Inc., Class B Shares | 34,649 | ||||||
2,741 | Knoll Inc. | 49,475 |
See Notes to Financial Statements.
85
Schedules of Investments |
(continued) |
Small-Mid Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
INDUSTRIALS — 17.7% — (continued) | ||||||||
Commercial Services & Supplies — 1.8% — (continued) | ||||||||
1,927 | LSC Communications Inc. | $ | 31,044 | |||||
1,751 | Matthews International Corp., Class A Shares | 105,498 | ||||||
1,324 | McGrath RentCorp | 53,450 | ||||||
2,516 | Mobile Mini Inc. | 76,109 | ||||||
1,855 | MSA Safety Inc. | 135,155 | ||||||
768 | Multi-Color Corp. | 61,286 | ||||||
632 | NL Industries Inc.* | 4,772 | ||||||
10,503 | Pitney Bowes Inc. | 134,964 | ||||||
1,844 | Quad/Graphics Inc. | 35,147 | ||||||
5,361 | Rollins Inc. | 238,082 | ||||||
3,316 | RR Donnelley & Sons Co. | 30,607 | ||||||
1,052 | SP Plus Corp.* | 38,819 | ||||||
4,867 | Steelcase Inc., Class A Shares | 64,244 | ||||||
1,680 | Team Inc.*(a) | 20,748 | ||||||
3,169 | Tetra Tech Inc. | 134,999 | ||||||
855 | UniFirst Corp. | 122,778 | ||||||
1,217 | US Ecology Inc. | 62,554 | ||||||
1,159 | Viad Corp. | 63,687 | ||||||
518 | VSE Corp. | 27,014 | ||||||
27,601 | Waste Connections Inc. | 1,840,711 | ||||||
2,514 | West Corp. | 58,752 | ||||||
|
| |||||||
Total Commercial Services & Supplies | 12,149,037 | |||||||
|
| |||||||
Construction & Engineering — 2.0% | ||||||||
8,271 | AECOM* | 277,078 | ||||||
1,911 | Aegion Corp., Class A Shares* | 41,411 | ||||||
881 | Ameresco Inc., Class A Shares* | 6,387 | ||||||
820 | Argan Inc. | 51,947 | ||||||
5,740 | Chicago Bridge & Iron Co. NV(a) | 70,832 | ||||||
2,076 | Comfort Systems USA Inc. | 70,688 | ||||||
1,709 | Dycom Industries Inc.* | 137,882 | ||||||
42,416 | EMCOR Group Inc. | 2,801,153 | ||||||
7,529 | Fluor Corp. | 290,394 | ||||||
32,536 | Granite Construction Inc. | 1,796,963 | ||||||
2,352 | Great Lakes Dredge & Dock Corp.* | 9,526 | ||||||
1,890 | HC2 Holdings Inc.* | 8,618 | ||||||
299 | IES Holdings Inc.* | 4,933 | ||||||
68,863 | Jacobs Engineering Group Inc. | 3,752,345 | ||||||
64,405 | KBR Inc. | 1,047,869 | ||||||
148,063 | Layne Christensen Co.*(a) | 1,590,197 | ||||||
3,724 | MasTec Inc.* | 151,939 | ||||||
936 | MYR Group Inc.* | 24,158 | ||||||
306 | Northwest Pipe Co.* | 5,612 | ||||||
520 | NV5 Global Inc.* | 25,090 | ||||||
1,240 | Orion Group Holdings Inc.* | 7,490 | ||||||
2,239 | Primoris Services Corp. | 64,058 | ||||||
8,362 | Quanta Services Inc.* | 300,447 | ||||||
1,514 | Sterling Construction Co., Inc.* | 17,835 | ||||||
2,151 | Tutor Perini Corp.* | 56,249 | ||||||
4,637 | Valmont Industries Inc. | 665,641 | ||||||
|
| |||||||
Total Construction & Engineering | 13,276,742 | |||||||
|
| |||||||
Electrical Equipment — 0.5% | ||||||||
328 | Allied Motion Technologies Inc. | 8,295 | ||||||
1,875 | Atkore International Group Inc.* | 31,238 |
See Notes to Financial Statements.
86
Schedules of Investments |
(continued) |
Small-Mid Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
INDUSTRIALS — 17.7% — (continued) | ||||||||
Electrical Equipment — 0.5% — (continued) | ||||||||
1,463 | AZZ Inc. | $ | 71,541 | |||||
2,881 | Babcock & Wilcox Enterprises Inc.* | 6,511 | ||||||
1,152 | Encore Wire Corp. | 49,421 | ||||||
1,193 | Energous Corp.* | 11,322 | ||||||
2,443 | EnerSys | 156,596 | ||||||
3,451 | Generac Holdings Inc.* | 139,351 | ||||||
2,844 | General Cable Corp. | 48,206 | ||||||
3,012 | Hubbell Inc., Class B Shares | 339,723 | ||||||
1,036 | LSI Industries Inc. | 5,895 | ||||||
13,144 | Plug Power Inc.*(a) | 28,128 | ||||||
407 | Powell Industries Inc. | 11,587 | ||||||
144 | Preformed Line Products Co. | 7,524 | ||||||
2,502 | Regal Beloit Corp. | 188,651 | ||||||
720 | Revolution Lighting Technologies Inc.* | 5,335 | ||||||
9,177 | Sensata Technologies Holding NV* | 409,845 | ||||||
4,917 | Sunrun Inc.*(a) | 32,944 | ||||||
124,757 | Thermon Group Holdings Inc.* | 2,060,986 | ||||||
577 | TPI Composites Inc.* | 11,736 | ||||||
1,036 | Vicor Corp.* | 20,150 | ||||||
1,359 | Vivint Solar Inc.* | 6,455 | ||||||
|
| |||||||
Total Electrical Equipment | 3,651,440 | |||||||
|
| |||||||
Industrial Conglomerates — 0.6% | ||||||||
21,392 | Carlisle Cos., Inc. | 2,025,609 | ||||||
2,028 | Raven Industries Inc. | 56,784 | ||||||
7,643 | Roper Technologies Inc. | 1,762,934 | ||||||
|
| |||||||
Total Industrial Conglomerates | 3,845,327 | |||||||
|
| |||||||
Machinery — 4.3% | ||||||||
19,527 | Actuant Corp., Class A Shares | 469,624 | ||||||
3,647 | AGCO Corp. | 249,637 | ||||||
534 | Alamo Group Inc. | 49,000 | ||||||
1,612 | Albany International Corp., Class A Shares | 86,403 | ||||||
7,528 | Allison Transmission Holdings Inc. | 261,447 | ||||||
1,627 | Altra Industrial Motion Corp. | 74,923 | ||||||
357 | American Railcar Industries Inc.(a) | 12,852 | ||||||
1,204 | Astec Industries Inc. | 59,815 | ||||||
2,795 | Barnes Group Inc. | 174,743 | ||||||
330 | Blue Bird Corp.*(a) | 6,006 | ||||||
2,383 | Briggs & Stratton Corp. | 49,900 | ||||||
1,750 | Chart Industries Inc.* | 59,045 | ||||||
939 | CIRCOR International Inc. | 45,091 | ||||||
5,012 | Colfax Corp.* | 199,879 | ||||||
1,145 | Columbus McKinnon Corp. | 37,819 | ||||||
985 | Commercial Vehicle Group Inc.* | 5,851 | ||||||
2,813 | Crane Co. | 208,809 | ||||||
782 | DMC Global Inc. | 10,127 | ||||||
7,152 | Donaldson Co., Inc. | 337,932 | ||||||
1,246 | Douglas Dynamics Inc. | 43,485 | ||||||
203 | Eastern Co. (The) | 5,308 | ||||||
1,692 | Energy Recovery Inc.*(a) | 10,998 | ||||||
1,189 | EnPro Industries Inc. | 83,789 | ||||||
1,422 | ESCO Technologies Inc. | 77,428 | ||||||
462 | ExOne Co. (The)*(a) | 3,738 | ||||||
3,338 | Federal Signal Corp. | 62,387 |
See Notes to Financial Statements.
87
Schedules of Investments |
(continued) |
Small-Mid Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
INDUSTRIALS — 17.7% — (continued) | ||||||||
Machinery — 4.3% — (continued) | ||||||||
21,432 | Flowserve Corp. | $ | 841,849 | |||||
2,594 | Franklin Electric Co., Inc. | 99,999 | ||||||
494 | FreightCar America Inc. | 8,971 | ||||||
2,391 | Gardner Denver Holdings Inc.* | 56,165 | ||||||
303 | Gencor Industries Inc.* | 4,666 | ||||||
1,228 | Global Brass & Copper Holdings Inc. | 36,656 | ||||||
1,081 | Gorman-Rupp Co. (The) | 32,906 | ||||||
3,035 | Graco Inc. | 350,573 | ||||||
362 | Graham Corp. | 7,251 | ||||||
1,555 | Greenbrier Cos., Inc. (The)(a) | 66,710 | ||||||
678 | Hardinge Inc. | 9,282 | ||||||
43,132 | Harsco Corp.* | 737,557 | ||||||
3,548 | Hillenbrand Inc. | 126,841 | ||||||
240 | Hurco Cos., Inc. | 8,436 | ||||||
587 | Hyster-Yale Materials Handling Inc. | 41,783 | ||||||
27,727 | IDEX Corp. | 3,260,141 | ||||||
18,222 | ITT Inc. | 735,440 | ||||||
26,463 | John Bean Technologies Corp. | 2,347,268 | ||||||
614 | Kadant Inc. | 53,326 | ||||||
4,497 | Kennametal Inc. | 157,395 | ||||||
593 | LB Foster Co., Class A Shares | 11,326 | ||||||
3,229 | Lincoln Electric Holdings Inc. | 280,406 | ||||||
588 | Lindsay Corp.(a) | 50,903 | ||||||
948 | Lydall Inc.* | 44,556 | ||||||
432,549 | Manitowoc Co., Inc. (The)* | 3,559,878 | ||||||
31,915 | Meritor Inc.* | 633,832 | ||||||
3,064 | Middleby Corp. (The)* | 372,889 | ||||||
81,576 | Milacron Holdings Corp.* | 1,301,137 | ||||||
563 | Miller Industries Inc. | 14,131 | ||||||
3,197 | Mueller Industries Inc. | 95,367 | ||||||
8,656 | Mueller Water Products Inc., Class A Shares | 103,785 | ||||||
2,803 | Navistar International Corp.* | 95,750 | ||||||
1,538 | NN Inc. | 39,219 | ||||||
3,161 | Nordson Corp. | 345,497 | ||||||
97 | Omega Flex Inc. | 5,625 | ||||||
3,983 | Oshkosh Corp. | 297,132 | ||||||
407 | Park-Ohio Holdings Corp. | 16,219 | ||||||
1,395 | Proto Labs Inc.* | 100,161 | ||||||
1,298 | RBC Bearings Inc.* | 143,130 | ||||||
741 | REV Group Inc.(a) | 18,666 | ||||||
5,856 | Rexnord Corp.* | 139,841 | ||||||
21,216 | Snap-on Inc. | 3,130,845 | ||||||
1,440 | Spartan Motors Inc. | 13,248 | ||||||
1,916 | SPX Corp.* | 46,176 | ||||||
61,839 | SPX FLOW Inc.* | 2,069,751 | ||||||
711 | Standex International Corp. | 67,865 | ||||||
1,343 | Sun Hydraulics Corp. | 64,343 | ||||||
574 | Supreme Industries Inc., Class A Shares | 12,020 | ||||||
990 | Tennant Co. | 60,341 | ||||||
5,067 | Terex Corp. | 195,333 | ||||||
3,890 | Timken Co. (The) | 174,467 | ||||||
2,846 | Titan International Inc. | 24,419 | ||||||
5,813 | Toro Co. (The) | 358,546 | ||||||
2,589 | TriMas Corp.* | 62,654 | ||||||
8,475 | Trinity Industries Inc. | 244,419 |
See Notes to Financial Statements.
88
Schedules of Investments |
(continued) |
Small-Mid Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
INDUSTRIALS — 17.7% — (continued) | ||||||||
Machinery — 4.3% — (continued) | ||||||||
14,879 | Twin Disc Inc.* | $ | 258,299 | |||||
3,353 | Wabash National Corp. | 70,480 | ||||||
2,735 | WABCO Holdings Inc.* | 392,801 | ||||||
19,649 | Wabtec Corp.(a) | 1,386,630 | ||||||
1,566 | Watts Water Technologies Inc., Class A Shares | 96,622 | ||||||
7,269 | Welbilt Inc.* | 144,653 | ||||||
2,959 | Woodward Inc. | 207,751 | ||||||
9,875 | Xylem Inc. | 612,941 | ||||||
|
| |||||||
Total Machinery | 29,033,305 | |||||||
|
| |||||||
Marine — 0.1% | ||||||||
1,837 | Costamare Inc. | 11,518 | ||||||
45,200 | Danaos Corp.*(a) | 74,580 | ||||||
2,714 | Eagle Bulk Shipping Inc.* | 12,295 | ||||||
519 | Genco Shipping & Trading Ltd.* | 7,219 | ||||||
2,984 | Kirby Corp.* | 186,798 | ||||||
22,611 | Matson Inc. | 583,364 | ||||||
4,582 | Navios Maritime Holdings Inc.* | 7,056 | ||||||
2,124 | Safe Bulkers Inc.* | 6,882 | ||||||
2,841 | Scorpio Bulkers Inc.*(a) | 22,870 | ||||||
|
| |||||||
Total Marine | 912,582 | |||||||
|
| |||||||
Professional Services — 1.1% | ||||||||
721 | Acacia Research Corp.* | 2,343 | ||||||
2,284 | Advisory Board Co. (The)* | 121,623 | ||||||
407 | Barrett Business Services Inc. | 20,993 | ||||||
266 | BG Staffing Inc. | 4,301 | ||||||
2,977 | CBIZ Inc.* | 45,102 | ||||||
636 | Cogint Inc.*(a) | 3,116 | ||||||
571 | CRA International Inc. | 21,430 | ||||||
2,099 | Dun & Bradstreet Corp. (The) | 233,913 | ||||||
13,150 | Equifax Inc. | 1,873,480 | ||||||
1,459 | Exponent Inc. | 99,358 | ||||||
449 | Franklin Covey Co.* | 8,441 | ||||||
2,346 | FTI Consulting Inc.* | 79,553 | ||||||
559 | GP Strategies Corp.* | 15,987 | ||||||
1,070 | Heidrick & Struggles International Inc. | 19,528 | ||||||
1,829 | Hill International Inc.* | 8,688 | ||||||
1,272 | Huron Consulting Group Inc.* | 38,478 | ||||||
1,034 | ICF International Inc.* | 49,684 | ||||||
1,025 | Insperity Inc. | 82,308 | ||||||
1,778 | Kelly Services Inc., Class A Shares | 38,458 | ||||||
1,360 | Kforce Inc. | 24,480 | ||||||
2,863 | Korn/Ferry International | 95,395 | ||||||
3,699 | ManpowerGroup Inc. | 412,475 | ||||||
90,629 | Mistras Group Inc.* | 1,713,794 | ||||||
2,710 | Navigant Consulting Inc.* | 41,544 | ||||||
2,838 | On Assignment Inc.* | 135,373 | ||||||
734 | Pendrell Corp.*(a) | 4,977 | ||||||
1,405 | Resources Connection Inc. | 17,914 | ||||||
6,781 | Robert Half International Inc. | 307,179 | ||||||
2,638 | RPX Corp.* | 34,452 | ||||||
8,372 | TransUnion* | 400,684 | ||||||
2,332 | TriNet Group Inc.* | 83,322 | ||||||
2,379 | TrueBlue Inc.* | 48,651 |
See Notes to Financial Statements.
89
Schedules of Investments |
(continued) |
Small-Mid Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
INDUSTRIALS — 17.7% — (continued) | ||||||||
Professional Services — 1.1% — (continued) | ||||||||
17,956 | WageWorks Inc.* | $ | 1,058,506 | |||||
345 | Willdan Group Inc.* | 10,698 | ||||||
|
| |||||||
Total Professional Services | 7,156,228 | |||||||
|
| |||||||
Road & Rail — 1.0% | ||||||||
284 | AMERCO | 105,992 | ||||||
1,553 | ArcBest Corp. | 46,124 | ||||||
52,229 | Avis Budget Group Inc.* | 1,892,257 | ||||||
855 | Covenant Transportation Group Inc., Class A Shares* | 20,528 | ||||||
1,190 | Daseke Inc.*(a) | 15,589 | ||||||
3,215 | Genesee & Wyoming Inc., Class A Shares* | 220,420 | ||||||
2,583 | Heartland Express Inc. | 57,265 | ||||||
28,823 | Hertz Global Holdings Inc.*(a) | 626,612 | ||||||
4,043 | Knight Transportation Inc.(a) | 157,879 | ||||||
2,321 | Landstar System Inc. | 216,665 | ||||||
2,206 | Marten Transport Ltd. | 37,833 | ||||||
3,350 | Old Dominion Freight Line Inc. | 334,665 | ||||||
1,683 | Roadrunner Transportation Systems Inc.* | 12,572 | ||||||
37,971 | Ryder System Inc. | 2,946,550 | ||||||
1,401 | Saia Inc.* | 79,227 | ||||||
1,835 | Schneider National Inc., Class B Shares | 40,829 | ||||||
4,067 | Swift Transportation Co., Class A Shares* | 114,079 | ||||||
346 | Universal Logistics Holdings Inc. | 5,744 | ||||||
2,626 | Werner Enterprises Inc. | 86,921 | ||||||
2,126 | YRC Worldwide Inc.* | 28,467 | ||||||
|
| |||||||
Total Road & Rail | 7,046,218 | |||||||
|
| |||||||
Trading Companies & Distributors — 2.1% | ||||||||
5,458 | Air Lease Corp., Class A Shares | 221,813 | ||||||
2,718 | Aircastle Ltd. | 60,938 | ||||||
2,136 | Applied Industrial Technologies Inc. | 121,752 | ||||||
24,612 | Beacon Roofing Supply Inc.* | 1,159,225 | ||||||
84,124 | BMC Stock Holdings Inc.* | 1,707,717 | ||||||
1,020 | CAI International Inc.* | 31,610 | ||||||
913 | DXP Enterprises Inc.* | 24,733 | ||||||
170 | EnviroStar Inc. | 5,619 | ||||||
680 | Foundation Building Materials Inc.* | 8,881 | ||||||
2,197 | GATX Corp.(a) | 133,094 | ||||||
1,365 | GMS Inc.* | 43,926 | ||||||
1,833 | H&E Equipment Services Inc. | 43,149 | ||||||
44,482 | HD Supply Holdings Inc.* | 1,481,251 | ||||||
1,379 | Herc Holdings Inc.* | 58,221 | ||||||
892 | Huttig Building Products Inc.* | 5,084 | ||||||
1,514 | Kaman Corp. | 74,247 | ||||||
172 | Lawson Products Inc.* | 4,102 | ||||||
5,048 | MRC Global Inc.* | 79,607 | ||||||
2,489 | MSC Industrial Direct Co., Inc., Class A Shares | 171,442 | ||||||
292 | Neff Corp., Class A Shares* | 7,285 | ||||||
1,820 | Nexeo Solutions Inc.* | 13,049 | ||||||
6,062 | NOW Inc.* | 70,683 | ||||||
37,136 | Rush Enterprises Inc., Class A Shares* | 1,522,205 | ||||||
276 | Rush Enterprises Inc., Class B Shares* | 10,632 | ||||||
1,893 | SiteOne Landscape Supply Inc.* | 95,104 | ||||||
178,762 | Textainer Group Holdings Ltd.* | 3,173,025 | ||||||
1,105 | Titan Machinery Inc.* | 14,254 |
See Notes to Financial Statements.
90
Schedules of Investments |
(continued) |
Small-Mid Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
INDUSTRIALS — 17.7% — (continued) | ||||||||
Trading Companies & Distributors — 2.1% — (continued) | ||||||||
2,464 | Triton International Ltd. | $ | 90,971 | |||||
4,610 | United Rentals Inc.* | 544,257 | ||||||
60,051 | Univar Inc.* | 1,694,039 | ||||||
683 | Veritiv Corp.* | 19,124 | ||||||
8,278 | Watsco Inc. | 1,219,846 | ||||||
2,758 | WESCO International Inc.* | 139,141 | ||||||
210 | Willis Lease Finance Corp.* | 4,998 | ||||||
|
| |||||||
Total Trading Companies & Distributors | 14,055,024 | |||||||
|
| |||||||
Transportation Infrastructure — 0.1% | ||||||||
4,290 | Macquarie Infrastructure Corp. | 319,519 | ||||||
|
| |||||||
TOTAL INDUSTRIALS | 119,145,622 | |||||||
|
| |||||||
INFORMATION TECHNOLOGY — 18.7% | ||||||||
Communications Equipment — 1.4% | ||||||||
1,057 | Acacia Communications Inc.*(a) | 51,613 | ||||||
2,755 | ADTRAN Inc. | 60,886 | ||||||
1,111 | Aerohive Networks Inc.* | 3,833 | ||||||
1,032 | Applied Optoelectronics Inc.*(a) | 61,012 | ||||||
2,901 | Arista Networks Inc.* | 511,011 | ||||||
56,124 | ARRIS International PLC* | 1,563,615 | ||||||
22,863 | Brocade Communications Systems Inc. | 283,044 | ||||||
1,984 | CalAmp Corp.* | 36,783 | ||||||
2,086 | Calix Inc.* | 10,221 | ||||||
129,008 | Ciena Corp.* | 2,787,863 | ||||||
411 | Clearfield Inc.*(a) | 5,014 | ||||||
10,305 | CommScope Holding Co., Inc.* | 340,683 | ||||||
1,355 | Comtech Telecommunications Corp. | 26,517 | ||||||
1,211 | Digi International Inc.* | 11,141 | ||||||
2,661 | EchoStar Corp., Class A Shares* | 160,458 | ||||||
754 | EMCORE Corp.* | 6,861 | ||||||
6,157 | Extreme Networks Inc.* | 70,375 | ||||||
6,262 | Finisar Corp.* | 151,227 | ||||||
5,050 | Harmonic Inc.* | 16,413 | ||||||
125,566 | Infinera Corp.* | 1,062,288 | ||||||
1,949 | InterDigital Inc. | 139,061 | ||||||
659 | KVH Industries Inc.* | 7,776 | ||||||
3,409 | Lumentum Holdings Inc.* | 193,802 | ||||||
32,700 | Mitel Networks Corp.* | 266,178 | ||||||
1,818 | NETGEAR Inc.* | 87,264 | ||||||
4,975 | NetScout Systems Inc.* | 162,931 | ||||||
9,292 | Oclaro Inc.*(a) | 78,146 | ||||||
1,871 | Plantronics Inc. | 79,761 | ||||||
1,237 | Quantenna Communications Inc.* | 22,984 | ||||||
4,342 | ShoreTel Inc.* | 32,348 | ||||||
67,538 | Sonus Networks Inc.* | 466,688 | ||||||
1,299 | Ubiquiti Networks Inc.*(a) | 77,407 | ||||||
2,985 | ViaSat Inc.*(a) | 189,876 | ||||||
61,828 | Viavi Solutions Inc.* | 620,753 | ||||||
|
| |||||||
Total Communications Equipment | 9,645,833 | |||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 2.7% | ||||||||
556 | Akoustis Technologies Inc.*(a) | 3,736 | ||||||
11,594 | Amphenol Corp., Class A Shares | 938,418 | ||||||
1,633 | Anixter International Inc.* | 120,515 |
See Notes to Financial Statements.
91
Schedules of Investments |
(continued) |
Small-Mid Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
INFORMATION TECHNOLOGY — 18.7% — (continued) | ||||||||
Electronic Equipment, Instruments & Components — 2.7% — (continued) | ||||||||
4,900 | Arrow Electronics Inc.* | $ | 389,207 | |||||
6,626 | Avnet Inc. | 255,565 | ||||||
2,599 | AVX Corp. | 45,353 | ||||||
1,582 | Badger Meter Inc. | 72,614 | ||||||
429 | Bel Fuse Inc., Class B Shares | 10,939 | ||||||
2,358 | Belden Inc. | 181,731 | ||||||
2,814 | Benchmark Electronics Inc.* | 91,455 | ||||||
8,504 | CDW Corp. | 539,324 | ||||||
4,557 | Cognex Corp. | 496,576 | ||||||
1,349 | Coherent Inc.* | 314,749 | ||||||
1,454 | Control4 Corp.* | 36,001 | ||||||
1,814 | CTS Corp. | 40,815 | ||||||
1,833 | Daktronics Inc. | 17,652 | ||||||
3,102 | Dolby Laboratories Inc., Class A Shares | 156,527 | ||||||
2,001 | Electro Scientific Industries Inc.* | 24,652 | ||||||
734 | ePlus Inc.* | 61,436 | ||||||
2,047 | Fabrinet* | 79,505 | ||||||
959 | FARO Technologies Inc.* | 33,038 | ||||||
10,048 | Fitbit Inc., Class A Shares*(a) | 60,589 | ||||||
33,830 | Flex Ltd.* | 550,414 | ||||||
7,475 | FLIR Systems Inc. | 284,050 | ||||||
12,703 | II-VI Inc.* | 455,403 | ||||||
2,004 | Insight Enterprises Inc.* | 80,320 | ||||||
2,020 | IPG Photonics Corp.* | 355,096 | ||||||
974 | Iteris Inc.* | 6,253 | ||||||
12,415 | Itron Inc.* | 901,329 | ||||||
9,810 | Jabil Inc. | 307,543 | ||||||
2,590 | KEMET Corp.* | 61,927 | ||||||
105,167 | Keysight Technologies Inc.* | 4,297,124 | ||||||
1,633 | Kimball Electronics Inc.* | 31,109 | ||||||
4,983 | Knowles Corp.* | 73,101 | ||||||
1,253 | Littelfuse Inc. | 233,258 | ||||||
56,121 | Maxwell Technologies Inc.*(a) | 312,594 | ||||||
191 | Mesa Laboratories Inc.(a) | 26,085 | ||||||
2,016 | Methode Electronics Inc. | 82,454 | ||||||
2,421 | MicroVision Inc.*(a) | 5,738 | ||||||
960 | MTS Systems Corp. | 46,464 | ||||||
505 | Napco Security Technologies Inc.* | 3,964 | ||||||
5,989 | National Instruments Corp. | 241,896 | ||||||
1,803 | Novanta Inc.* | 70,497 | ||||||
24,340 | Orbotech Ltd.* | 967,272 | ||||||
9,280 | OSI Systems Inc.* | 770,797 | ||||||
1,118 | Park Electrochemical Corp. | 20,303 | ||||||
757 | PC Connection Inc. | 19,311 | ||||||
408 | PCM Inc.* | 5,365 | ||||||
1,894 | Plexus Corp.* | 98,640 | ||||||
1,285 | Radisys Corp.* | 2,017 | ||||||
1,010 | Rogers Corp.* | 119,736 | ||||||
4,144 | Sanmina Corp.* | 155,193 | ||||||
1,419 | ScanSource Inc.* | 55,696 | ||||||
1,617 | SYNNEX Corp. | 193,409 | ||||||
784 | Systemax Inc. | 19,161 | ||||||
1,959 | Tech Data Corp.* | 216,058 | ||||||
13,665 | Trimble Inc.* | 528,562 | ||||||
5,208 | TTM Technologies Inc.* | 74,162 |
See Notes to Financial Statements.
92
Schedules of Investments |
(continued) |
Small-Mid Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
INFORMATION TECHNOLOGY — 18.7% — (continued) | ||||||||
Electronic Equipment, Instruments & Components — 2.7% — (continued) | ||||||||
10,148 | Universal Display Corp. | $ | 1,289,811 | |||||
42,566 | VeriFone Systems Inc.* | 841,530 | ||||||
7,529 | Vishay Intertechnology Inc. | 133,263 | ||||||
461 | Vishay Precision Group Inc.* | 10,073 | ||||||
2,792 | Zebra Technologies Corp., Class A Shares* | 287,827 | ||||||
|
| |||||||
Total Electronic Equipment, Instruments & Components | 18,205,202 | |||||||
|
| |||||||
Internet Software & Services — 1.1% | ||||||||
2,448 | 2U Inc.* | 122,645 | ||||||
1,737 | Actua Corp.* | 22,234 | ||||||
1,136 | Alarm.com Holdings Inc.* | 51,029 | ||||||
662 | Alteryx Inc., Class A Shares*(a) | 15,617 | ||||||
934 | Amber Road Inc.* | 7,528 | ||||||
2,301 | Angie’s List Inc.*(a) | 27,980 | ||||||
518 | Appfolio Inc., Class A Shares* | 22,222 | ||||||
1,181 | Apptio Inc., Class A Shares* | 21,022 | ||||||
2,722 | Bankrate Inc.* | 37,700 | ||||||
5,378 | Bazaarvoice Inc.* | 25,546 | ||||||
925 | Benefitfocus Inc.*(a) | 28,536 | ||||||
2,299 | Blucora Inc.* | 52,417 | ||||||
4,398 | Box Inc., Class A Shares* | 86,289 | ||||||
1,464 | Brightcove Inc.* | 10,321 | ||||||
1,424 | Carbonite Inc.* | 28,480 | ||||||
960 | Care.com Inc.* | 14,371 | ||||||
4,056 | Cars.com Inc.*(a) | 104,888 | ||||||
1,202 | ChannelAdvisor Corp.* | 13,943 | ||||||
1,407 | Cimpress NV*(a) | 130,063 | ||||||
980 | Cloudera Inc.*(a) | 19,012 | ||||||
652 | CommerceHub Inc., Series A* | 14,455 | ||||||
1,745 | CommerceHub Inc., Series C* | 37,046 | ||||||
2,926 | Cornerstone OnDemand Inc.* | 102,352 | ||||||
7,317 | CoStar Group Inc.* | 2,097,199 | ||||||
1,683 | Coupa Software Inc.*(a) | 51,264 | ||||||
2,559 | DHI Group Inc.* | 4,990 | ||||||
3,601 | Endurance International Group Holdings Inc.*(a) | 27,728 | ||||||
2,428 | Envestnet Inc.* | 107,925 | ||||||
6,493 | Etsy Inc.* | 106,290 | ||||||
2,922 | Five9 Inc.* | 62,823 | ||||||
4,375 | GoDaddy Inc., Class A Shares* | 196,088 | ||||||
3,244 | Gogo Inc.*(a) | 45,449 | ||||||
4,803 | GrubHub Inc.*(a) | 274,203 | ||||||
1,725 | GTT Communications Inc.* | 54,769 | ||||||
2,719 | Hortonworks Inc.* | 46,196 | ||||||
3,925 | IAC/InterActiveCorp.* | 445,527 | ||||||
1,186 | Instructure Inc.* | 35,106 | ||||||
5,003 | Internap Corp.*(a) | 22,363 | ||||||
2,579 | j2 Global Inc. | 194,147 | ||||||
584 | Leaf Group Ltd.* | 4,146 | ||||||
2,946 | Limelight Networks Inc.* | 10,576 | ||||||
1,072 | Liquidity Services Inc.* | 6,110 | ||||||
3,074 | LivePerson Inc.* | 41,192 | ||||||
2,918 | LogMeIn Inc. | 333,819 | ||||||
2,091 | Match Group Inc.*(a) | 45,479 | ||||||
3,147 | Meet Group Inc. (The)* | 12,336 | ||||||
2,060 | MINDBODY Inc., Class A Shares*(a) | 48,719 |
See Notes to Financial Statements.
93
Schedules of Investments |
(continued) |
Small-Mid Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
INFORMATION TECHNOLOGY — 18.7% — (continued) | ||||||||
Internet Software & Services — 1.1% — (continued) | ||||||||
888 | MuleSoft Inc., Class A Shares*(a) | $ | 19,358 | |||||
1,637 | New Relic Inc.* | 78,412 | ||||||
3,589 | NIC Inc. | 58,680 | ||||||
1,957 | Nutanix Inc., Class A Shares*(a) | 43,054 | ||||||
691 | Okta Inc., Class A Shares*(a) | 18,650 | ||||||
644 | Ominto Inc.*(a) | 2,093 | ||||||
12,774 | Pandora Media Inc.*(a) | 107,940 | ||||||
1,755 | Q2 Holdings Inc.* | 71,253 | ||||||
1,618 | QuinStreet Inc.* | 8,656 | ||||||
4,183 | Quotient Technology Inc.* | 62,745 | ||||||
303 | Reis Inc. | 5,181 | ||||||
1,724 | Rocket Fuel Inc.* | 4,465 | ||||||
1,047 | Shutterstock Inc.* | 35,158 | ||||||
948 | SPS Commerce Inc.* | 57,752 | ||||||
881 | Stamps.com Inc.* | 168,491 | ||||||
831 | TechTarget Inc.* | 8,260 | ||||||
977 | Trade Desk Inc. (The), Class A Shares* | 51,752 | ||||||
3,511 | TrueCar Inc.*(a) | 59,512 | ||||||
534 | Tucows Inc., Class A Shares*(a) | 28,222 | ||||||
3,510 | Twilio Inc., Class A Shares*(a) | 102,773 | ||||||
2,166 | Web.com Group Inc.* | 54,800 | ||||||
2,060 | WebMD Health Corp., Class A Shares* | 136,866 | ||||||
1,394 | XO Group Inc.* | 25,956 | ||||||
4,359 | Yelp Inc., Class A Shares* | 185,693 | ||||||
947 | Yext Inc.*(a) | 12,321 | ||||||
2,943 | Zillow Group Inc., Class A Shares* | 117,485 | ||||||
5,944 | Zillow Group Inc., Class C Shares* | 235,501 | ||||||
|
| |||||||
Total Internet Software & Services | 7,031,169 | |||||||
|
| |||||||
IT Services — 4.6% | ||||||||
47,726 | Acxiom Corp.* | 1,111,539 | ||||||
3,555 | Alliance Data Systems Corp. | 801,652 | ||||||
1,645 | Black Knight Financial Services Inc., Class A Shares*(a) | 70,077 | ||||||
3,084 | Blackhawk Network Holdings Inc., Class A Shares* | 138,163 | ||||||
8,285 | Booz Allen Hamilton Holding Corp., Class A Shares | 282,601 | ||||||
6,513 | Broadridge Financial Solutions Inc. | 508,861 | ||||||
1,361 | CACI International Inc., Class A Shares* | 176,658 | ||||||
2,593 | Cardtronics PLC, Class A Shares* | 67,366 | ||||||
628 | Cass Information Systems Inc. | 38,446 | ||||||
68,459 | Conduent Inc.* | 1,130,258 | ||||||
5,318 | Convergys Corp. | 124,973 | ||||||
35,565 | CoreLogic Inc.* | 1,670,488 | ||||||
1,904 | CSG Systems International Inc. | 73,704 | ||||||
8,661 | CSRA Inc. | 272,908 | ||||||
18,380 | DST Systems Inc. | 943,445 | ||||||
10,780 | DXC Technology Co. | 916,300 | ||||||
2,735 | EPAM Systems Inc.* | 222,438 | ||||||
74,097 | Euronet Worldwide Inc.* | 7,281,512 | ||||||
2,681 | Everi Holdings Inc.* | 20,670 | ||||||
3,492 | EVERTEC Inc. | 64,253 | ||||||
1,857 | ExlService Holdings Inc.* | 104,512 | ||||||
490 | Forrester Research Inc. | 19,967 | ||||||
11,717 | Gartner Inc.* | 1,412,953 | ||||||
86,372 | Genpact Ltd. | 2,457,283 | ||||||
24,216 | Global Payments Inc. | 2,312,386 |
See Notes to Financial Statements.
94
Schedules of Investments |
(continued) |
Small-Mid Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
INFORMATION TECHNOLOGY — 18.7% — (continued) | ||||||||
IT Services — 4.6% — (continued) | ||||||||
1,513 | Hackett Group Inc. (The) | $ | 20,668 | |||||
1,769 | Information Services Group Inc.* | 6,634 | ||||||
54,949 | InterXion Holding NV* | 2,849,106 | ||||||
11,162 | Jack Henry & Associates Inc. | 1,150,467 | ||||||
7,802 | Leidos Holdings Inc. | 455,013 | ||||||
1,454 | ManTech International Corp., Class A Shares | 58,480 | ||||||
3,607 | MAXIMUS Inc. | 219,233 | ||||||
1,668 | MoneyGram International Inc.* | 26,288 | ||||||
2,021 | Perficient Inc.* | 36,984 | ||||||
2,390 | Planet Payment Inc.* | 9,464 | ||||||
1,272 | Presidio Inc.*(a) | 17,694 | ||||||
11,765 | Sabre Corp. | 216,947 | ||||||
2,452 | Science Applications International Corp. | 181,154 | ||||||
5,028 | ServiceSource International Inc.* | 17,699 | ||||||
12,523 | Square Inc., Class A Shares* | 326,976 | ||||||
470 | StarTek Inc.* | 5,593 | ||||||
2,241 | Sykes Enterprises Inc.* | 59,745 | ||||||
2,041 | Syntel Inc. | 36,860 | ||||||
800 | TeleTech Holdings Inc. | 31,760 | ||||||
7,318 | Teradata Corp.* | 233,591 | ||||||
6,929 | Travelport Worldwide Ltd. | 104,905 | ||||||
41,219 | Unisys Corp.*(a) | 319,447 | ||||||
11,752 | Vantiv Inc., Class A Shares* | 830,749 | ||||||
1,604 | Virtusa Corp.* | 58,257 | ||||||
2,223 | WEX Inc.* | 242,618 | ||||||
40,330 | WNS Holdings Ltd., ADR* | 1,411,550 | ||||||
|
| |||||||
Total IT Services | 31,151,295 | |||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.5% | ||||||||
2,227 | Advanced Energy Industries Inc.* | 163,774 | ||||||
45,146 | Advanced Micro Devices Inc.* | 586,898 | ||||||
891 | Alpha & Omega Semiconductor Ltd.* | 14,149 | ||||||
1,824 | Ambarella Inc.*(a) | 99,226 | ||||||
5,753 | Amkor Technology Inc.* | 50,511 | ||||||
1,706 | Axcelis Technologies Inc.* | 35,655 | ||||||
1,501 | AXT Inc.* | 11,708 | ||||||
3,867 | Brooks Automation Inc. | 100,813 | ||||||
1,382 | Cabot Microelectronics Corp. | 98,979 | ||||||
20,318 | Cavium Inc.* | 1,286,333 | ||||||
11,818 | CEVA Inc.* | 479,220 | ||||||
3,593 | Cirrus Logic Inc.* | 208,322 | ||||||
1,595 | Cohu Inc. | 29,922 | �� | |||||
5,482 | Cree Inc.* | 133,377 | ||||||
288 | CyberOptics Corp.* | 4,363 | ||||||
81,797 | Cypress Semiconductor Corp. | 1,119,801 | ||||||
2,163 | Diodes Inc.* | 60,867 | ||||||
1,468 | DSP Group Inc.* | 17,469 | ||||||
7,953 | Entegris Inc.* | 202,404 | ||||||
4,596 | First Solar Inc.* | 215,828 | ||||||
35,377 | FormFactor Inc.* | 534,193 | ||||||
591 | GSI Technology Inc.*(a) | 3,924 | ||||||
498 | Ichor Holdings Ltd.* | 11,394 | ||||||
1,021 | Impinj Inc.*(a) | 39,043 | ||||||
2,364 | Inphi Corp.* | 90,518 | ||||||
89,084 | Integrated Device Technology Inc.* | 2,201,266 |
See Notes to Financial Statements.
95
Schedules of Investments |
(continued) |
Small-Mid Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
INFORMATION TECHNOLOGY — 18.7% — (continued) | ||||||||
Semiconductors & Semiconductor Equipment — 3.5% — (continued) | ||||||||
1,433 | IXYS Corp.* | $ | 32,959 | |||||
3,077 | Kopin Corp.* | 12,369 | ||||||
8,183 | Lam Research Corp. | 1,358,214 | ||||||
6,925 | Lattice Semiconductor Corp.* | 39,126 | ||||||
63,963 | MACOM Technology Solutions Holdings Inc.* | 2,912,875 | ||||||
22,612 | Marvell Technology Group Ltd. | 404,981 | ||||||
3,372 | MaxLinear Inc., Class A Shares* | 72,835 | ||||||
24,400 | Mellanox Technologies Ltd.*(a) | 1,145,580 | ||||||
28,360 | Microsemi Corp.* | 1,428,777 | ||||||
10,200 | MKS Instruments Inc. | 839,970 | ||||||
21,836 | Monolithic Power Systems Inc. | 2,212,423 | ||||||
1,384 | Nanometrics Inc.* | 35,693 | ||||||
1,517 | NeoPhotonics Corp.*(a) | 8,874 | ||||||
284 | NVE Corp. | 21,539 | ||||||
23,525 | ON Semiconductor Corp.* | 401,807 | ||||||
1,677 | PDF Solutions Inc.* | 25,474 | ||||||
3,807 | Photronics Inc.* | 30,075 | ||||||
1,140 | Pixelworks Inc.* | 5,472 | ||||||
1,602 | Power Integrations Inc. | 116,706 | ||||||
20,662 | Qorvo Inc.* | 1,512,872 | ||||||
104,241 | Rambus Inc.* | 1,352,006 | ||||||
1,771 | Rudolph Technologies Inc.* | 39,316 | ||||||
3,630 | Semtech Corp.* | 136,488 | ||||||
1,790 | Sigma Designs Inc.* | 11,187 | ||||||
2,344 | Silicon Laboratories Inc.* | 177,910 | ||||||
3,702 | SunPower Corp., Class A Shares*(a) | 32,726 | ||||||
1,940 | Synaptics Inc.* | 80,646 | ||||||
10,759 | Teradyne Inc. | 383,128 | ||||||
1,865 | Ultra Clean Holdings Inc.* | 43,025 | ||||||
34,258 | Veeco Instruments Inc.* | 647,476 | ||||||
6,113 | Versum Materials Inc. | 225,753 | ||||||
3,079 | Xcerra Corp.* | 30,236 | ||||||
2,755 | Xperi Corp. | 75,074 | ||||||
|
| |||||||
Total Semiconductors & Semiconductor Equipment | 23,653,549 | |||||||
|
| |||||||
Software — 5.2% | ||||||||
4,944 | 8x8 Inc.* | 69,958 | ||||||
3,066 | A10 Networks Inc.* | 20,082 | ||||||
6,505 | ACI Worldwide Inc.* | 148,054 | ||||||
24,138 | Activision Blizzard Inc. | 1,582,487 | ||||||
597 | Agilysys Inc.* | 6,143 | ||||||
1,723 | American Software Inc., Class A Shares | 18,970 | ||||||
4,734 | ANSYS Inc.* | 609,834 | ||||||
4,193 | Aspen Technology Inc.* | 265,207 | ||||||
4,115 | Atlassian Corp. PLC, Class A Shares* | 146,494 | ||||||
1,500 | Barracuda Networks Inc.* | 36,315 | ||||||
2,646 | Blackbaud Inc. | 223,349 | ||||||
679 | Blackline Inc.* | 20,961 | ||||||
11,579 | Bottomline Technologies de Inc.* | 350,959 | ||||||
18,728 | BroadSoft Inc.* | 927,972 | ||||||
46,113 | Cadence Design Systems Inc.* | 1,811,780 | ||||||
3,614 | Callidus Software Inc.* | 93,060 | ||||||
24,787 | CDK Global Inc. | 1,598,762 | ||||||
25,432 | CommVault Systems Inc.* | 1,552,624 | ||||||
459 | Digimarc Corp.*(a) | 14,183 |
See Notes to Financial Statements.
96
Schedules of Investments |
(continued) |
Small-Mid Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
INFORMATION TECHNOLOGY — 18.7% — (continued) | ||||||||
Software — 5.2% — (continued) | ||||||||
1,341 | Ebix Inc.(a) | $ | 77,376 | |||||
19,728 | Electronic Arts Inc.* | 2,396,952 | ||||||
1,882 | Ellie Mae Inc.* | 156,168 | ||||||
979 | Everbridge Inc.* | 22,683 | ||||||
738 | Exa Corp.* | 10,590 | ||||||
1,710 | Fair Isaac Corp. | 240,700 | ||||||
79,797 | FireEye Inc.*(a) | 1,178,602 | ||||||
50,997 | Fortinet Inc.* | 1,948,085 | ||||||
2,033 | Gigamon Inc.* | 87,317 | ||||||
5,035 | Glu Mobile Inc.* | 18,327 | ||||||
750 | Guidance Software Inc.* | 5,310 | ||||||
4,179 | Guidewire Software Inc.* | 316,392 | ||||||
1,884 | HubSpot Inc.* | 138,191 | ||||||
1,880 | Imperva Inc.* | 83,942 | ||||||
3,882 | Manhattan Associates Inc.* | 163,238 | ||||||
528 | MicroStrategy Inc., Class A Shares* | 68,112 | ||||||
2,066 | Mitek Systems Inc.* | 20,970 | ||||||
3,528 | MobileIron Inc.* | 13,406 | ||||||
1,540 | Model N Inc.* | 20,867 | ||||||
2,356 | Monotype Imaging Holdings Inc. | 42,997 | ||||||
12,780 | Nice Ltd., ADR | 999,652 | ||||||
102,793 | Nuance Communications Inc.* | 1,651,884 | ||||||
673 | Park City Group Inc.*(a) | 8,480 | ||||||
2,747 | Paycom Software Inc.*(a) | 204,954 | ||||||
1,461 | Paylocity Holding Corp.* | 71,794 | ||||||
2,040 | Pegasystems Inc. | 117,402 | ||||||
2,659 | Progress Software Corp. | 89,289 | ||||||
20,902 | Proofpoint Inc.* | 1,917,968 | ||||||
1,482 | PROS Holdings Inc.* | 39,036 | ||||||
6,455 | PTC Inc.* | 361,480 | ||||||
604 | QAD Inc., Class A Shares | 20,355 | ||||||
1,755 | Qualys Inc.* | 83,363 | ||||||
1,002 | Rapid7 Inc.* | 16,894 | ||||||
1,166 | RealNetworks Inc.* | 4,652 | ||||||
3,278 | RealPage Inc.* | 141,282 | ||||||
12,542 | Red Hat Inc.* | 1,348,265 | ||||||
3,488 | RingCentral Inc., Class A Shares* | 147,717 | ||||||
699 | Rosetta Stone Inc.* | 6,431 | ||||||
1,908 | Rubicon Project Inc. (The)* | 7,174 | ||||||
60,200 | Seachange International Inc.* | 157,122 | ||||||
208 | SecureWorks Corp., Class A Shares* | 2,128 | ||||||
84,072 | Silver Spring Networks Inc.* | 1,064,352 | ||||||
7,480 | Splunk Inc.* | 501,833 | ||||||
26,100 | SS&C Technologies Holdings Inc. | 1,010,331 | ||||||
2,455 | Synchronoss Technologies Inc.* | 41,219 | ||||||
23,552 | Tableau Software Inc., Class A Shares* | 1,707,049 | ||||||
5,384 | Take-Two Interactive Software Inc.* | 526,501 | ||||||
2,041 | Telenav Inc.* | 13,267 | ||||||
74,493 | TiVo Corp. | 1,363,222 | ||||||
1,854 | Tyler Technologies Inc.* | 320,371 | ||||||
5,053 | Ultimate Software Group Inc. (The)* | 1,015,148 | ||||||
323 | Upland Software Inc.* | 7,429 | ||||||
1,079 | Varonis Systems Inc.* | 41,865 | ||||||
21,926 | VASCO Data Security International Inc.* | 275,171 | ||||||
48,196 | Verint Systems Inc.* | 1,913,381 |
See Notes to Financial Statements.
97
Schedules of Investments |
(continued) |
Small-Mid Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
INFORMATION TECHNOLOGY — 18.7% — (continued) | ||||||||
Software — 5.2% — (continued) | ||||||||
3,411 | VirnetX Holding Corp.*(a) | $ | 13,644 | |||||
1,469 | Workiva Inc., Class A Shares* | 29,674 | ||||||
45,618 | Zendesk Inc.* | 1,249,933 | ||||||
3,435 | Zix Corp.* | 18,240 | ||||||
42,659 | Zynga Inc., Class A Shares* | 159,971 | ||||||
|
| |||||||
Total Software | 35,177,342 | |||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 0.2% | ||||||||
6,141 | 3D Systems Corp.*(a) | 77,131 | ||||||
1,660 | Avid Technology Inc.* | 7,321 | ||||||
778 | CPI Card Group Inc.(a) | 747 | ||||||
2,292 | Cray Inc.* | 43,204 | ||||||
20,049 | Diebold Nixdorf Inc.(a) | 410,002 | ||||||
787 | Eastman Kodak Co.*(a) | 6,099 | ||||||
2,585 | Electronics for Imaging Inc.* | 91,923 | ||||||
1,868 | Immersion Corp.*(a) | 13,674 | ||||||
789 | Intevac Inc.* | 7,180 | ||||||
6,797 | NCR Corp.* | 248,294 | ||||||
5,229 | Pure Storage Inc., Class A Shares*(a) | 77,860 | ||||||
20,205 | Quantum Corp.*(a) | 111,329 | ||||||
2,828 | Stratasys Ltd.* | 63,291 | ||||||
2,193 | Super Micro Computer Inc.* | 58,389 | ||||||
2,814 | USA Technologies Inc.*(a) | 15,336 | ||||||
|
| |||||||
Total Technology Hardware, Storage & Peripherals | 1,231,780 | |||||||
|
| |||||||
TOTAL INFORMATION TECHNOLOGY | 126,096,170 | |||||||
|
| |||||||
MATERIALS — 6.2% | ||||||||
Chemicals — 2.1% | ||||||||
1,620 | A Schulman Inc. | 49,248 | ||||||
1,687 | AdvanSix Inc.* | 53,866 | ||||||
1,201 | AgroFresh Solutions Inc.* | 8,551 | ||||||
28,270 | Albemarle Corp. | 3,286,670 | ||||||
1,689 | American Vanguard Corp. | 34,202 | ||||||
3,487 | Ashland Global Holdings Inc. | 216,368 | ||||||
11,475 | Axalta Coating Systems Ltd.* | 338,742 | ||||||
1,758 | Balchem Corp. | 131,780 | ||||||
3,420 | Cabot Corp. | 180,166 | ||||||
153,836 | Calgon Carbon Corp. | 1,876,799 | ||||||
24,747 | CF Industries Holdings Inc. | 717,416 | ||||||
394 | Chase Corp. | 36,839 | ||||||
10,051 | Chemours Co. (The) | 493,203 | ||||||
2,107 | Codexis Inc.* | 11,694 | ||||||
258 | Core Molding Technologies Inc. | 5,307 | ||||||
4,702 | Ferro Corp.* | 90,608 | ||||||
3,171 | Flotek Industries Inc.*(a) | 16,426 | ||||||
12,831 | FMC Corp. | 1,106,289 | ||||||
1,501 | FutureFuel Corp. | 20,233 | ||||||
4,008 | GCP Applied Technologies Inc.* | 113,226 | ||||||
595 | Hawkins Inc. | 21,212 | ||||||
21,392 | HB Fuller Co. | 1,073,664 | ||||||
11,307 | Huntsman Corp. | 300,427 | ||||||
2,373 | Ingevity Corp.* | 149,428 | ||||||
1,098 | Innophos Holdings Inc. | 50,135 | ||||||
1,332 | Innospec Inc. | 73,926 | ||||||
6,294 | Intrepid Potash Inc.*(a) | 23,351 |
See Notes to Financial Statements.
98
Schedules of Investments |
(continued) |
Small-Mid Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
MATERIALS — 6.2% — (continued) | ||||||||
Chemicals — 2.1% — (continued) | ||||||||
520 | KMG Chemicals Inc. | $ | 24,970 | |||||
1,171 | Koppers Holdings Inc.* | 45,903 | ||||||
1,696 | Kraton Corp.* | 55,680 | ||||||
1,409 | Kronos Worldwide Inc. | 29,490 | ||||||
973 | LSB Industries Inc.*(a) | 5,935 | ||||||
1,961 | Minerals Technologies Inc. | 125,504 | ||||||
410 | NewMarket Corp. | 171,589 | ||||||
9,305 | Olin Corp. | 299,900 | ||||||
2,792 | OMNOVA Solutions Inc.* | 24,290 | ||||||
12,494 | Platform Specialty Products Corp.* | 145,930 | ||||||
4,537 | PolyOne Corp. | 163,967 | ||||||
714 | Quaker Chemical Corp. | 99,403 | ||||||
2,447 | Rayonier Advanced Materials Inc.(a) | 33,573 | ||||||
7,228 | RPM International Inc. | 353,955 | ||||||
2,464 | Scotts Miracle-Gro Co. (The) | 235,534 | ||||||
2,448 | Sensient Technologies Corp. | 176,623 | ||||||
2,552 | Sherwin-Williams Co. (The) | 865,817 | ||||||
1,105 | Stepan Co. | 85,483 | ||||||
1,070 | Trecora Resources* | 13,001 | ||||||
1,680 | Tredegar Corp. | 27,384 | ||||||
2,479 | Trinseo SA | 165,845 | ||||||
3,670 | Tronox Ltd., Class A Shares | 75,932 | ||||||
1,313 | Valhi Inc. | 2,862 | ||||||
11,534 | Valvoline Inc. | 245,559 | ||||||
2,001 | Westlake Chemical Corp. | 153,897 | ||||||
3,829 | WR Grace & Co. | 273,697 | ||||||
|
| |||||||
Total Chemicals | 14,381,499 | |||||||
|
| |||||||
Construction Materials — 0.8% | ||||||||
14,240 | Eagle Materials Inc. | 1,384,840 | ||||||
674 | Forterra Inc.* | 2,238 | ||||||
5,244 | Martin Marietta Materials Inc. | 1,111,675 | ||||||
56,787 | Summit Materials Inc., Class A Shares* | 1,677,488 | ||||||
65 | United States Lime & Minerals Inc. | 5,197 | ||||||
862 | US Concrete Inc.*(a) | 69,003 | ||||||
8,624 | Vulcan Materials Co. | 1,045,746 | ||||||
|
| |||||||
Total Construction Materials | 5,296,187 | |||||||
|
| |||||||
Containers & Packaging — 1.8% | ||||||||
3,348 | AptarGroup Inc. | 279,926 | ||||||
1,079 | Ardagh Group SA., Class A Shares | 22,432 | ||||||
20,478 | Avery Dennison Corp. | 1,930,256 | ||||||
41,306 | Ball Corp. | 1,651,827 | ||||||
4,832 | Bemis Co., Inc. | 205,892 | ||||||
69,024 | Berry Global Group Inc.* | 3,881,910 | ||||||
32,175 | Crown Holdings Inc.* | 1,899,290 | ||||||
17,404 | Graphic Packaging Holding Co. | 227,122 | ||||||
1,476 | Greif Inc., Class A Shares | 89,224 | ||||||
263 | Greif Inc., Class B Shares | 16,609 | ||||||
1,327 | Myers Industries Inc. | 24,948 | ||||||
9,121 | Owens-Illinois Inc.* | 224,742 | ||||||
5,180 | Packaging Corp. of America | 582,284 | ||||||
10,785 | Sealed Air Corp. | 478,638 | ||||||
4,124 | Silgan Holdings Inc. | 124,091 | ||||||
5,353 | Sonoco Products Co. | 258,336 |
See Notes to Financial Statements.
99
Schedules of Investments |
(continued) |
Small-Mid Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
MATERIALS — 6.2% — (continued) | ||||||||
Containers & Packaging — 1.8% — (continued) | ||||||||
377 | UFP Technologies Inc.* | $ | 10,028 | |||||
|
| |||||||
Total Containers & Packaging | 11,907,555 | |||||||
|
| |||||||
Metals & Mining — 1.3% | ||||||||
17,739 | AK Steel Holding Corp.*(a) | 99,338 | ||||||
10,426 | Alcoa Corp.* | 457,493 | ||||||
6,105 | Allegheny Technologies Inc.*(a) | 127,167 | ||||||
230 | Ampco-Pittsburgh Corp. | 3,542 | ||||||
2,604 | Carpenter Technology Corp. | 105,540 | ||||||
2,802 | Century Aluminum Co.* | 54,695 | ||||||
119,419 | Cleveland-Cliffs Inc.* | 998,343 | ||||||
10,170 | Coeur Mining Inc.* | 88,987 | ||||||
6,479 | Commercial Metals Co. | 122,388 | ||||||
1,897 | Compass Minerals International Inc. | 126,720 | ||||||
3,346 | Ferroglobe Representation & Warranty Insurance Trust*(b)(e) | — | ||||||
2,477 | Gold Resource Corp.(a) | 9,883 | ||||||
50 | Handy & Harman Ltd.* | 1,635 | ||||||
778 | Haynes International Inc. | 23,768 | ||||||
22,037 | Hecla Mining Co. | 116,355 | ||||||
939 | Kaiser Aluminum Corp. | 90,444 | ||||||
9,956 | Klondex Mines Ltd.* | 33,552 | ||||||
1,118 | Materion Corp. | 42,708 | ||||||
372 | Olympic Steel Inc. | 6,789 | ||||||
34,283 | Reliance Steel & Aluminum Co. | 2,482,775 | ||||||
3,679 | Royal Gold Inc. | 343,177 | ||||||
563 | Ryerson Holding Corp.* | 4,842 | ||||||
82,362 | Schnitzer Steel Industries Inc., Class A Shares | 2,215,538 | ||||||
12,657 | Steel Dynamics Inc. | 436,034 | ||||||
3,659 | SunCoke Energy Inc.* | 34,102 | ||||||
17,518 | Tahoe Resources Inc. | 83,561 | ||||||
2,375 | TimkenSteel Corp.* | 35,221 | ||||||
9,832 | United States Steel Corp. | 261,630 | ||||||
1,121 | Warrior Met Coal Inc. | 30,592 | ||||||
2,519 | Worthington Industries Inc. | 125,849 | ||||||
|
| |||||||
Total Metals & Mining | 8,562,668 | |||||||
|
| |||||||
Paper & Forest Products — 0.2% | ||||||||
2,191 | Boise Cascade Co.* | 65,730 | ||||||
925 | Clearwater Paper Corp.* | 43,013 | ||||||
609 | Deltic Timber Corp. | 47,526 | ||||||
3,520 | Domtar Corp. | 142,349 | ||||||
48,291 | KapStone Paper and Packaging Corp. | 1,080,270 | ||||||
8,117 | Louisiana-Pacific Corp.* | 206,821 | ||||||
919 | Neenah Paper Inc. | 70,993 | ||||||
2,464 | PH Glatfelter Co. | 42,676 | ||||||
1,715 | Schweitzer-Mauduit International Inc. | 65,050 | ||||||
2,823 | Verso Corp., Class A Shares*(a) | 15,018 | ||||||
|
| |||||||
Total Paper & Forest Products | 1,779,446 | |||||||
|
| |||||||
TOTAL MATERIALS | 41,927,355 | |||||||
|
| |||||||
REAL ESTATE — 5.8% | ||||||||
Equity Real Estate Investment Trusts (REITs) — 5.0% | ||||||||
4,701 | Acadia Realty Trust | 134,872 | ||||||
1,495 | Agree Realty Corp. | 74,929 | ||||||
2,641 | Alexander & Baldwin Inc. | 114,619 |
See Notes to Financial Statements.
100
Schedules of Investments |
(continued) |
Small-Mid Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
REAL ESTATE — 5.8% — (continued) | ||||||||
Equity Real Estate Investment Trusts (REITs) — 5.0% — (continued) | ||||||||
122 | Alexander’s Inc. | $ | 51,080 | |||||
5,013 | Alexandria Real Estate Equities Inc. | 608,127 | ||||||
2,929 | Altisource Residential Corp. | 35,470 | ||||||
2,325 | American Assets Trust Inc. | 94,442 | ||||||
7,596 | American Campus Communities Inc. | 361,494 | ||||||
12,535 | American Homes 4 Rent, Class A Shares | 277,776 | ||||||
8,701 | Apartment Investment & Management Co., Class A Shares | 394,416 | ||||||
11,828 | Apple Hospitality REIT Inc. | 215,033 | ||||||
2,770 | Armada Hoffler Properties Inc. | 37,035 | ||||||
1,057 | Ashford Hospitality Prime Inc. | 10,168 | ||||||
14,482 | Ashford Hospitality Trust Inc. | 89,933 | ||||||
1,706 | Bluerock Residential Growth REIT Inc., Class A Shares | 17,282 | ||||||
9,879 | Brandywine Realty Trust | 169,721 | ||||||
17,189 | Brixmor Property Group Inc. | 321,778 | ||||||
4,795 | Camden Property Trust | 429,057 | ||||||
4,195 | CareTrust REIT Inc. | 80,922 | ||||||
2,532 | CatchMark Timber Trust Inc., Class A Shares | 29,194 | ||||||
9,433 | CBL & Associates Properties Inc.(a) | 75,464 | ||||||
5,277 | Cedar Realty Trust Inc. | 26,596 | ||||||
1,506 | Chatham Lodging Trust | 30,542 | ||||||
3,310 | Chesapeake Lodging Trust | 84,703 | ||||||
2,093 | City Office REIT Inc. | 26,769 | ||||||
1,065 | Clipper Realty Inc. | 11,885 | ||||||
29,185 | Colony NorthStar Inc., Class A Shares | 382,615 | ||||||
58,078 | Columbia Property Trust Inc. | 1,219,638 | ||||||
19,773 | Community Healthcare Trust Inc. | 525,171 | ||||||
6,710 | CoreCivic Inc. | 179,828 | ||||||
811 | CorEnergy Infrastructure Trust Inc.(a) | 26,463 | ||||||
1,903 | CoreSite Realty Corp. | 226,000 | ||||||
5,623 | Corporate Office Properties Trust | 187,583 | ||||||
23,533 | Cousins Properties Inc. | 220,034 | ||||||
9,972 | CubeSmart | 245,810 | ||||||
4,808 | CyrusOne Inc. | 303,048 | ||||||
5,109 | DCT Industrial Trust Inc. | 298,110 | ||||||
15,997 | DDR Corp. | 154,851 | ||||||
11,394 | DiamondRock Hospitality Co. | 125,220 | ||||||
8,038 | Douglas Emmett Inc. | 313,160 | ||||||
19,808 | Duke Realty Corp. | 588,694 | ||||||
4,270 | DuPont Fabros Technology Inc. | 274,817 | ||||||
2,080 | Easterly Government Properties Inc. | 41,725 | ||||||
1,867 | EastGroup Properties Inc. | 165,902 | ||||||
4,185 | Education Realty Trust Inc. | 161,708 | ||||||
7,236 | Empire State Realty Trust Inc., Class A Shares | 147,253 | ||||||
3,502 | EPR Properties | 243,949 | ||||||
6,862 | Equity Commonwealth* | 212,310 | ||||||
4,500 | Equity LifeStyle Properties Inc. | 401,175 | ||||||
2,412 | Farmland Partners Inc.(a) | 21,370 | ||||||
7,431 | FelCor Lodging Trust Inc. | 54,246 | ||||||
6,541 | First Industrial Realty Trust Inc. | 202,640 | ||||||
3,497 | First Potomac Realty Trust | 38,922 | ||||||
12,958 | Forest City Realty Trust Inc., Class A Shares | 310,474 | ||||||
3,438 | Four Corners Property Trust Inc. | 87,360 | ||||||
6,278 | Franklin Street Properties Corp. | 62,592 | ||||||
11,059 | Gaming and Leisure Properties Inc. | 433,402 | ||||||
6,911 | GEO Group Inc. (The) | 191,020 |
See Notes to Financial Statements.
101
Schedules of Investments |
(continued) |
Small-Mid Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
REAL ESTATE — 5.8% — (continued) | ||||||||
Equity Real Estate Investment Trusts (REITs) — 5.0% — (continued) | ||||||||
1,660 | Getty Realty Corp. | $ | 45,750 | |||||
1,604 | Gladstone Commercial Corp. | 34,326 | ||||||
643 | Global Medical REIT Inc.(a) | 5,433 | ||||||
3,310 | Global Net Lease Inc. | 71,695 | ||||||
1,935 | Government Properties Income Trust | 35,894 | ||||||
8,537 | Gramercy Property Trust | 260,037 | ||||||
6,483 | Healthcare Realty Trust Inc. | 215,754 | ||||||
26,855 | Healthcare Trust of America Inc., Class A Shares | 834,385 | ||||||
2,430 | Hersha Hospitality Trust, Class A Shares | 45,052 | ||||||
5,736 | Highwoods Properties Inc. | 299,591 | ||||||
6,984 | Hospitality Properties Trust | 191,082 | ||||||
108,410 | Host Hotels & Resorts Inc. | 1,964,389 | ||||||
8,682 | Hudson Pacific Properties Inc. | 286,506 | ||||||
2,239 | Independence Realty Trust Inc. | 23,039 | ||||||
26,560 | InfraREIT Inc. | 597,334 | ||||||
7,404 | Investors Real Estate Trust | 46,497 | ||||||
5,083 | Invitation Homes Inc. | 117,621 | ||||||
14,691 | Iron Mountain Inc. | 579,119 | ||||||
4,183 | iStar Inc.* | 48,565 | ||||||
728 | Jernigan Capital Inc. | 14,152 | ||||||
5,356 | Kilroy Realty Corp. | 370,796 | ||||||
3,591 | Kite Realty Group Trust | 72,251 | ||||||
4,607 | Lamar Advertising Co., Class A Shares | 306,642 | ||||||
6,370 | LaSalle Hotel Properties | 180,781 | ||||||
12,486 | Lexington Realty Trust | 123,112 | ||||||
8,207 | Liberty Property Trust | 349,618 | ||||||
2,522 | Life Storage Inc. | 185,594 | ||||||
2,252 | LTC Properties Inc. | 109,515 | ||||||
5,171 | Mack-Cali Realty Corp. | 118,364 | ||||||
1,966 | MedEquities Realty Trust Inc. | 22,550 | ||||||
19,236 | Medical Properties Trust Inc. | 253,146 | ||||||
25,810 | Mid-America Apartment Communities Inc. | 2,747,733 | ||||||
4,138 | Monmouth Real Estate Investment Corp. | 67,243 | ||||||
9,422 | Monogram Residential Trust Inc. | 113,064 | ||||||
2,252 | National Health Investors Inc. | 180,565 | ||||||
8,307 | National Retail Properties Inc. | 347,482 | ||||||
2,610 | National Storage Affiliates Trust | 58,255 | ||||||
2,656 | New Senior Investment Group Inc. | 24,515 | ||||||
1,165 | NexPoint Residential Trust Inc. | 27,145 | ||||||
3,302 | NorthStar Realty Europe Corp. | 41,044 | ||||||
10,901 | Omega Healthcare Investors Inc. | 347,415 | ||||||
1,087 | One Liberty Properties Inc. | 26,099 | ||||||
7,329 | Outfront Media Inc. | 161,238 | ||||||
11,164 | Paramount Group Inc. | 176,168 | ||||||
7,119 | Park Hotels & Resorts Inc. | 190,006 | ||||||
2,482 | Parkway Inc. | 56,987 | ||||||
3,937 | Pebblebrook Hotel Trust | 132,244 | ||||||
4,114 | Pennsylvania Real Estate Investment Trust(a) | 41,263 | ||||||
9,916 | Physicians Realty Trust | 185,727 | ||||||
8,244 | Piedmont Office Realty Trust Inc., Class A Shares | 166,941 | ||||||
2,319 | Potlatch Corp. | 110,848 | ||||||
1,963 | Preferred Apartment Communities Inc., Class A Shares | 35,707 | ||||||
1,092 | PS Business Parks Inc. | 147,540 | ||||||
21,489 | QTS Realty Trust Inc., Class A Shares | 1,164,274 | ||||||
5,444 | Quality Care Properties Inc.* | 74,692 |
See Notes to Financial Statements.
102
Schedules of Investments |
(continued) |
Small-Mid Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
REAL ESTATE — 5.8% — (continued) | ||||||||
Equity Real Estate Investment Trusts (REITs) — 5.0% — (continued) | ||||||||
2,891 | RAIT Financial Trust | $ | 2,391 | |||||
3,295 | Ramco-Gershenson Properties Trust | 43,329 | ||||||
7,164 | Rayonier Inc. | 207,828 | ||||||
8,342 | Regency Centers Corp. | 536,557 | ||||||
6,242 | Retail Opportunity Investments Corp. | 123,841 | ||||||
13,651 | Retail Properties of America Inc., Class A Shares | 181,968 | ||||||
3,768 | Rexford Industrial Realty Inc. | 113,228 | ||||||
7,074 | RLJ Lodging Trust | 142,753 | ||||||
2,474 | Ryman Hospitality Properties Inc. | 147,005 | ||||||
8,827 | Sabra Health Care REIT Inc. | 192,870 | ||||||
688 | Saul Centers Inc.(a) | 41,693 | ||||||
11,437 | SBA Communications Corp., Class A Shares* | 1,756,151 | ||||||
3,576 | Select Income REIT | 82,999 | ||||||
10,188 | Senior Housing Properties Trust | 200,907 | ||||||
1,470 | Seritage Growth Properties, Class A Shares(a) | 70,648 | ||||||
25,424 | Spirit Realty Capital Inc. | 221,189 | ||||||
5,100 | STAG Industrial Inc. | 142,749 | ||||||
5,700 | Starwood Waypoint Homes | 212,211 | ||||||
8,978 | STORE Capital Corp. | 227,862 | ||||||
5,823 | Summit Hotel Properties Inc. | 86,413 | ||||||
3,974 | Sun Communities Inc. | 358,892 | ||||||
12,434 | Sunstone Hotel Investors Inc. | 196,457 | ||||||
5,386 | Tanger Factory Outlet Centers Inc. | 126,032 | ||||||
3,266 | Taubman Centers Inc. | 170,616 | ||||||
2,803 | Terreno Realty Corp. | 101,609 | ||||||
2,824 | Tier REIT Inc. | 51,990 | ||||||
1,733 | UMH Properties Inc. | 27,416 | ||||||
35,160 | Uniti Group Inc. | 677,182 | ||||||
739 | Universal Health Realty Income Trust | 55,950 | ||||||
5,594 | Urban Edge Properties | 140,689 | ||||||
1,877 | Urstadt Biddle Properties Inc., Class A Shares | 38,816 | ||||||
10,979 | Washington Prime Group Inc. | 91,675 | ||||||
4,409 | Washington Real Estate Investment Trust | 144,880 | ||||||
6,465 | Weingarten Realty Investors | 207,139 | ||||||
2,433 | Whitestone REIT, Class B Shares | 30,510 | ||||||
5,914 | WP Carey Inc. | 407,179 | ||||||
6,023 | Xenia Hotels & Resorts Inc. | 120,219 | ||||||
|
| |||||||
Total Equity Real Estate Investment Trusts (REITs) | 33,965,025 | |||||||
|
| |||||||
Real Estate Management & Development — 0.8% | ||||||||
569 | Altisource Portfolio Solutions SA*(a) | 12,962 | ||||||
108,997 | CBRE Group Inc., Class A Shares* | 3,932,612 | ||||||
170 | Consolidated-Tomoka Land Co. | 9,418 | ||||||
1,717 | Forestar Group Inc.* | 29,532 | ||||||
409 | FRP Holdings Inc.* | 17,955 | ||||||
2,080 | HFF Inc., Class A Shares | 79,310 | ||||||
1,925 | Howard Hughes Corp. (The)* | 225,899 | ||||||
2,509 | Jones Lang LaSalle Inc. | 305,872 | ||||||
4,811 | Kennedy-Wilson Holdings Inc. | 92,852 | ||||||
1,014 | Marcus & Millichap Inc.* | 26,699 | ||||||
322 | Maui Land & Pineapple Co., Inc.*(a) | 4,154 | ||||||
1,043 | RE/MAX Holdings Inc., Class A Shares | 63,884 | ||||||
7,221 | Realogy Holdings Corp. | 244,792 | ||||||
430 | RMR Group Inc. (The), Class A Shares | 22,209 | ||||||
1,957 | St Joe Co. (The)* | 36,889 |
See Notes to Financial Statements.
103
Schedules of Investments |
(continued) |
Small-Mid Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
REAL ESTATE — 5.8% — (continued) | ||||||||
Real Estate Management & Development — 0.8% — (continued) | ||||||||
206 | Stratus Properties Inc. | $ | 6,098 | |||||
661 | Tejon Ranch Co.* | 13,207 | ||||||
1,059 | Trinity Place Holdings Inc.*(a) | 7,318 | ||||||
|
| |||||||
Total Real Estate Management & Development | 5,131,662 | |||||||
|
| |||||||
TOTAL REAL ESTATE | 39,096,687 | |||||||
|
| |||||||
TELECOMMUNICATION SERVICES — 0.3% | ||||||||
Diversified Telecommunication Services — 0.3% | ||||||||
594 | ATN International Inc. | 35,978 | ||||||
2,377 | Cincinnati Bell Inc.* | 50,036 | ||||||
2,308 | Cogent Communications Holdings Inc. | 107,553 | ||||||
3,683 | Consolidated Communications Holdings Inc. | 67,951 | ||||||
4,502 | Frontier Communications Corp.(a) | 60,642 | ||||||
1,495 | General Communication Inc., Class A Shares* | 64,479 | ||||||
25,275 | Globalstar Inc.*(a) | 48,528 | ||||||
275 | Hawaiian Telcom Holdco Inc.* | 8,365 | ||||||
867 | IDT Corp., Class B Shares | 12,753 | ||||||
1,074 | Intelsat SA*(a) | 4,146 | ||||||
4,827 | Iridium Communications Inc.*(a) | 53,580 | ||||||
1,253 | Lumos Networks Corp.* | 22,529 | ||||||
563 | Ooma Inc.* | 5,517 | ||||||
54,727 | ORBCOMM Inc.* | 605,281 | ||||||
447 | pdvWireless Inc.*(a) | 13,075 | ||||||
480 | Straight Path Communications Inc., Class B Shares* | 85,685 | ||||||
11,199 | Vonage Holdings Corp.* | 92,952 | ||||||
11,066 | Windstream Holdings Inc.(a) | 22,907 | ||||||
10,042 | Zayo Group Holdings Inc.* | 343,135 | ||||||
|
| |||||||
Total Diversified Telecommunication Services | 1,705,092 | |||||||
|
| |||||||
Wireless Telecommunication Services — 0.0% | ||||||||
2,078 | Boingo Wireless Inc.* | 42,786 | ||||||
2,633 | Shenandoah Telecommunications Co. | 94,920 | ||||||
1,333 | Spok Holdings Inc. | 22,328 | ||||||
5,481 | Telephone & Data Systems Inc. | 160,648 | ||||||
852 | United States Cellular Corp.* | 32,955 | ||||||
|
| |||||||
Total Wireless Telecommunication Services | 353,637 | |||||||
|
| |||||||
TOTAL TELECOMMUNICATION SERVICES | 2,058,729 | |||||||
|
| |||||||
UTILITIES — 1.8% | ||||||||
Electric Utilities — 0.5% | ||||||||
2,844 | ALLETE Inc. | 219,926 | ||||||
12,668 | Alliant Energy Corp. | 541,430 | ||||||
2,263 | El Paso Electric Co. | 125,710 | ||||||
615 | Genie Energy Ltd., Class B Shares | 3,782 | ||||||
11,956 | Great Plains Energy Inc. | 366,930 | ||||||
5,968 | Hawaiian Electric Industries Inc. | 199,451 | ||||||
2,797 | IDACORP Inc. | 248,877 | ||||||
1,936 | MGE Energy Inc. | 123,130 | ||||||
11,069 | OGE Energy Corp. | 395,385 | ||||||
2,218 | Otter Tail Corp. | 92,712 | ||||||
6,172 | Pinnacle West Capital Corp. | 555,295 | ||||||
4,436 | PNM Resources Inc. | 188,086 | ||||||
4,969 | Portland General Electric Co. | 236,077 | ||||||
502 | Spark Energy Inc., Class A Shares(a) | 7,957 |
See Notes to Financial Statements.
104
Schedules of Investments |
(continued) |
Small-Mid Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
UTILITIES — 1.8% — (continued) | ||||||||
Electric Utilities — 0.5% — (continued) | ||||||||
7,855 | Westar Energy Inc., Class A Shares | $ | 403,040 | |||||
|
| |||||||
Total Electric Utilities | 3,707,788 | |||||||
|
| |||||||
Gas Utilities — 0.4% | ||||||||
5,696 | Atmos Energy Corp. | 501,476 | ||||||
872 | Chesapeake Utilities Corp. | 69,280 | ||||||
460 | Delta Natural Gas Co., Inc. | 14,094 | ||||||
4,559 | National Fuel Gas Co. | 264,331 | ||||||
4,795 | New Jersey Resources Corp. | 209,302 | ||||||
1,589 | Northwest Natural Gas Co. | 105,351 | ||||||
2,880 | ONE Gas Inc. | 216,691 | ||||||
221 | RGC Resources Inc.(a) | 6,089 | ||||||
4,476 | South Jersey Industries Inc. | 160,599 | ||||||
2,646 | Southwest Gas Holdings Inc. | 210,410 | ||||||
2,627 | Spire Inc. | 200,965 | ||||||
9,736 | UGI Corp. | 481,056 | ||||||
2,831 | WGL Holdings Inc. | 238,540 | ||||||
|
| |||||||
Total Gas Utilities | 2,678,184 | |||||||
|
| |||||||
Independent Power and Renewable Electricity Producers — 0.6% | ||||||||
140,963 | Atlantic Power Corp.* | 345,359 | ||||||
20,379 | Calpine Corp.* | 299,571 | ||||||
62,801 | Dynegy Inc.* | 591,585 | ||||||
51,710 | NRG Energy Inc. | 1,288,096 | ||||||
2,331 | NRG Yield Inc., Class A Shares | 42,401 | ||||||
3,443 | NRG Yield Inc., Class C Shares | 63,696 | ||||||
15,804 | Ormat Technologies Inc. | 907,782 | ||||||
4,047 | Pattern Energy Group Inc., Class A Shares | 101,661 | ||||||
5,210 | TerraForm Global Inc., Class A Shares* | 26,311 | ||||||
4,569 | TerraForm Power Inc., Class A Shares* | 63,783 | ||||||
13,722 | Vistra Energy Corp. | 242,879 | ||||||
|
| |||||||
Total Independent Power and Renewable Electricity Producers | 3,973,124 | |||||||
|
| |||||||
Multi-Utilities — 0.2% | ||||||||
3,559 | Avista Corp. | 182,933 | ||||||
2,989 | Black Hills Corp.(a) | 210,366 | ||||||
10,989 | MDU Resources Group Inc. | 297,142 | ||||||
2,718 | NorthWestern Corp. | 163,950 | ||||||
792 | Unitil Corp. | 39,489 | ||||||
4,569 | Vectren Corp. | 299,772 | ||||||
|
| |||||||
Total Multi-Utilities | 1,193,652 | |||||||
|
| |||||||
Water Utilities — 0.1% | ||||||||
2,029 | American States Water Co. | 100,030 | ||||||
10,038 | Aqua America Inc. | 335,269 | ||||||
626 | AquaVenture Holdings Ltd.*(a) | 9,490 | ||||||
487 | Artesian Resources Corp., Class A Shares | 18,063 | ||||||
1,390 | Cadiz Inc.*(a) | 16,958 | ||||||
2,694 | California Water Service Group | 100,890 | ||||||
635 | Connecticut Water Service Inc. | 34,442 | ||||||
557 | Consolidated Water Co., Ltd. | 6,656 | ||||||
370 | Global Water Resources Inc. | 3,545 | ||||||
919 | Middlesex Water Co. | 34,904 | ||||||
592 | Pure Cycle Corp.*(a) | 4,292 | ||||||
922 | SJW Group | 51,171 |
See Notes to Financial Statements.
105
Schedules of Investments |
(continued) |
Small-Mid Cap Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
UTILITIES — 1.8% — (continued) | ||||||||
Water Utilities — 0.1% — (continued) | ||||||||
595 | York Water Co. (The) | $ | 19,575 | |||||
|
| |||||||
Total Water Utilities | 735,285 | |||||||
|
| |||||||
TOTAL UTILITIES | 12,288,033 | |||||||
|
| |||||||
TOTAL COMMON STOCKS (Cost — $521,317,424) | 619,967,464 | |||||||
|
| |||||||
CLOSED END MUTUAL FUND SECURITY — 4.4% | ||||||||
FINANCIALS — 4.4% | ||||||||
Capital Markets — 4.4% | ||||||||
255,015 | iShares Russell 2000 Value, Common Class (Cost — $30,025,868) | 29,627,643 | ||||||
|
| |||||||
CONVERTIBLE PREFERRED STOCK — 0.0% | ||||||||
UTILITIES — 0.0% | ||||||||
Independent Power and Renewable Electricity Producers — 0.0% | ||||||||
4,500 | Dynegy Inc., 7.000% (Cost — $429,353) | 303,480 | ||||||
|
| |||||||
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost — $551,772,645) | 649,898,587 | |||||||
|
| |||||||
Face Amount† | ||||||||
SHORT-TERM INVESTMENTS (c) — 6.8% | ||||||||
MONEY MARKET FUND — 4.1% | ||||||||
$ | 27,747,336 | Invesco STIT — Government & Agency Portfolio, Institutional Class(d) (Cost — $27,747,336) | 27,747,336 | |||||
|
| |||||||
TIME DEPOSITS — 2.7% | ||||||||
1,094,397 | Banco Santander SA — Frankfurt, 0.590% due 9/1/17 | 1,094,397 | ||||||
3,257 | CAD | BBH — Grand Cayman, 0.150% due 9/1/17 | 2,609 | |||||
5,541,641 | Citibank — New York, 0.590% due 9/1/17 | 5,541,641 | ||||||
2,876,972 | JPMorgan Chase & Co. — New York, 0.590% due 9/1/17 | 2,876,973 | ||||||
8,478,160 | Sumitomo — Tokyo, 0.590% due 9/1/17 | 8,478,160 | ||||||
|
| |||||||
TOTAL TIME DEPOSITS (Cost — $17,993,780) | 17,993,780 | |||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost — $45,741,116) | 45,741,116 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 103.2% (Cost — $597,513,761) | 695,639,703 | |||||||
|
| |||||||
Liabilities in Excess of Other Assets — (3.2)% | (21,567,845 | ) | ||||||
|
| |||||||
TOTAL NET ASSETS — 100.0% | $ | 674,071,858 | ||||||
|
|
† | Amount denominated in U.S. dollars, unless otherwise noted. |
* | Non-income producing security. |
(a) | All or a portion of this security is on loan (See Note 1). |
(b) | Security is valued in good faith at fair value by or under the direction of the Board of Trustees. |
(c) | Inclusive of all short term holdings, including collateral received from securities lending activities. Excluding such collateral, the percentage of portfolio holdings would be 2.7%. |
(d) | Represents investment of collateral received from securities lending transactions. |
(e) | Security that used significant unobservable inputs to determine fair value. |
See Notes to Financial Statements.
106
Schedules of Investments |
(continued) |
Small-Mid Cap Equity Fund |
At August 31, 2017, for Small-Mid Cap Equity the aggregate cost of investments, the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:
Fund | Aggregate Cost For Federal Income Tax Purposes | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||||||||||
Small-Mid Cap Equity Fund | $ | 604,919,745 | $ | 116,946,184 | $ | (26,230,774 | ) | $ | 90,715,410 |
Abbreviations used in this schedule: | ||
ADR | — American Depositary Receipts | |
PLC | — Public Limited Company |
Summary of Investments by Security Sector^ | ||||
Information Technology | 18.1 | % | ||
Industrials | 17.1 | |||
Financials | 15.4 | |||
Health Care | 13.6 | |||
Consumer Discretionary | 11.7 | |||
Materials | 6.0 | |||
Real Estate | 5.6 | |||
Energy | 2.3 | |||
Utilities | 1.8 | |||
Consumer Staples | 1.5 | |||
Telecommunication Services | 0.3 | |||
Short-Term Investments | 6.6 | |||
|
| |||
100.0 | % | |||
|
|
^ | As a percentage of total investments. |
At August 31, 2017, Small-Mid Cap Equity Fund had open exchange traded futures contracts as described below.
The unrealized appreciation (depreciation) on the open contracts reflected in the accompanying financial statements were as follows:
Open Futures Contracts | Number of Contracts | Expiration Date | Notional Amounts | Market Value | Unrealized Appreciation/ | |||||||||||||||
Contracts to Buy: | ||||||||||||||||||||
NASDAQ 100 E-mini Index September Futures | 1 | 9/17 | $ | 117,090 | $ | 119,815 | $ | 2,725 | ||||||||||||
Russell 2000 Mini Index September Futures | 9 | 9/17 | 634,633 | 631,980 | (2,653 | ) | ||||||||||||||
S&P MidCap 400 E-mini Index September Futures | 3 | 9/17 | 523,740 | 519,120 | (4,620 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | (4,548 | ) | ||||||||||||||||||
|
|
At August 31, 2017, Small-Mid Cap Equity Fund had deposited cash of $51,995 with a broker or brokers as margin collateral on open exchange traded futures contracts.
Currency Abbreviations used in this schedule: | ||
CAD | — Canadian Dollar |
See Notes to Financial Statements.
107
Schedules of Investments |
(continued) |
International Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
COMMON STOCKS — 95.7% | ||||||||
Australia — 3.5% | ||||||||
14,386 | AGL Energy Ltd. | $ | 274,687 | |||||
51,890 | Alumina Ltd. | 87,565 | ||||||
25,609 | Amcor Ltd. | 329,121 | ||||||
66,472 | AMP Ltd. | 269,908 | ||||||
24,955 | APA Group | 176,365 | ||||||
11,712 | Aristocrat Leisure Ltd. | 198,106 | ||||||
4,233 | ASX Ltd. | 184,245 | ||||||
44,841 | Aurizon Holdings Ltd. | 177,115 | ||||||
46,200 | AusNet Services | 63,996 | ||||||
63,573 | Australia & New Zealand Banking Group Ltd. | 1,493,610 | ||||||
9,423 | Bank of Queensland Ltd. | 94,510 | ||||||
9,646 | Bendigo & Adelaide Bank Ltd. | 91,872 | ||||||
69,205 | BHP Billiton Ltd. | 1,505,699 | ||||||
355,438 | BHP Billiton PLC | 6,780,225 | ||||||
12,319 | BlueScope Steel Ltd. | 107,438 | ||||||
25,391 | Boral Ltd. | 134,893 | ||||||
407,594 | Brambles Ltd. | 3,028,690 | ||||||
5,975 | Caltex Australia Ltd. | 158,852 | ||||||
12,360 | Challenger Ltd. | 123,922 | ||||||
2,277 | CIMIC Group Ltd. | 76,249 | ||||||
12,314 | Coca-Cola Amatil Ltd. | 78,870 | ||||||
1,152 | Cochlear Ltd. | 144,275 | ||||||
37,463 | Commonwealth Bank of Australia | 2,268,184 | ||||||
9,818 | Computershare Ltd. | 109,865 | ||||||
7,831 | Crown Resorts Ltd. | 72,283 | ||||||
68,916 | CSL Ltd. | 7,048,648 | ||||||
22,899 | Dexus, REIT | 174,841 | ||||||
1,325 | Domino’s Pizza Enterprises Ltd.(a) | 45,510 | ||||||
1,174 | Flight Centre Travel Group Ltd.(a) | 45,200 | ||||||
33,660 | Fortescue Metals Group Ltd. | 161,096 | ||||||
38,549 | Goodman Group, REIT | 254,495 | ||||||
39,039 | GPT Group (The), REIT | 156,003 | ||||||
11,799 | Harvey Norman Holdings Ltd. | 38,399 | ||||||
37,138 | Healthscope Ltd. | 50,753 | ||||||
35,780 | Incitec Pivot Ltd. | 95,265 | ||||||
51,233 | Insurance Australia Group Ltd. | 261,553 | ||||||
11,699 | LendLease Group | 154,471 | ||||||
6,972 | Macquarie Group Ltd. | 483,882 | ||||||
59,111 | Medibank Pvt Ltd. | 143,068 | ||||||
79,210 | Mirvac Group, REIT | 146,941 | ||||||
57,947 | National Australia Bank Ltd. | 1,398,428 | ||||||
16,776 | Newcrest Mining Ltd. | 305,526 | ||||||
29,681 | Oil Search Ltd. | 158,646 | ||||||
7,772 | Orica Ltd. | 125,833 | ||||||
37,494 | Origin Energy Ltd.* | 228,561 | ||||||
11,181 | Qantas Airways Ltd. | 51,056 | ||||||
29,081 | QBE Insurance Group Ltd. | 242,981 | ||||||
3,026 | Ramsay Health Care Ltd. | 164,600 | ||||||
1,123 | REA Group Ltd. | 59,628 | ||||||
39,175 | Santos Ltd.* | 117,783 | ||||||
119,506 | Scentre Group, REIT | 368,443 | ||||||
6,903 | SEEK Ltd. | 92,351 | ||||||
93,800 | Sonic Healthcare Ltd. | 1,635,623 | ||||||
114,144 | South32 Ltd. | 265,547 | ||||||
51,151 | Stockland, REIT | 180,392 |
See Notes to Financial Statements.
108
Schedules of Investments |
(continued) |
International Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
Australia — 3.5% — (continued) | ||||||||
27,218 | Suncorp Group Ltd. | $ | 282,492 | |||||
23,775 | Sydney Airport | 140,062 | ||||||
18,149 | Tabcorp Holdings Ltd. | 59,484 | ||||||
31,071 | Tatts Group Ltd. | 101,945 | ||||||
90,156 | Telstra Corp., Ltd. | 263,243 | ||||||
7,182 | TPG Telecom Ltd. | 31,382 | ||||||
43,757 | Transurban Group | 423,597 | ||||||
15,863 | Treasury Wine Estates Ltd. | 182,853 | ||||||
71,933 | Vicinity Centres, REIT | 150,035 | ||||||
24,177 | Wesfarmers Ltd. | 819,993 | ||||||
460,613 | Westfield Corp., REIT | 2,731,951 | ||||||
199,310 | Westpac Banking Corp. | 4,959,449 | ||||||
16,658 | Woodside Petroleum Ltd. | 383,597 | ||||||
28,128 | Woolworths Ltd. | 581,979 | ||||||
|
| |||||||
Total Australia | 43,798,130 | |||||||
|
| |||||||
Austria — 0.1% | ||||||||
1,554 | ANDRITZ AG | 84,625 | ||||||
6,516 | Erste Group Bank AG | 275,849 | ||||||
3,518 | OMV AG | 202,316 | ||||||
2,665 | Raiffeisen Bank International AG* | 87,412 | ||||||
2,400 | Voestalpine AG | 124,697 | ||||||
|
| |||||||
Total Austria | 774,899 | |||||||
|
| |||||||
Belgium — 0.7% | ||||||||
4,281 | Ageas | 198,969 | ||||||
34,498 | Anheuser-Busch InBev SA/NV | 4,090,650 | ||||||
1,507 | Colruyt SA | 83,787 | ||||||
1,697 | Groupe Bruxelles Lambert SA | 172,869 | ||||||
5,362 | KBC Group NV | 441,033 | ||||||
3,140 | Proximus SADP | 110,680 | ||||||
1,602 | Solvay SA | 232,579 | ||||||
1,184 | Telenet Group Holding NV* | 80,204 | ||||||
2,632 | UCB SA | 181,503 | ||||||
44,823 | Umicore SA | 3,350,970 | ||||||
|
| |||||||
Total Belgium | 8,943,244 | |||||||
|
| |||||||
Canada — 3.3% | ||||||||
57,674 | Alimentation Couche-Tard Inc., Class B Shares | 2,754,476 | ||||||
32,427 | Canadian Pacific Railway Ltd. | 5,046,566 | ||||||
82,879 | CCL Industries Inc., Class B Shares | 3,845,405 | ||||||
40,491 | Dollarama Inc. | 3,991,212 | ||||||
654,691 | Encana Corp. | 6,108,806 | ||||||
121,047 | Gildan Activewear Inc., Class A Shares | 3,791,717 | ||||||
104,567 | Goldcorp Inc. | 1,437,163 | ||||||
242,400 | Manulife Financial Corp. | 4,762,382 | ||||||
88,665 | Potash Corp. of Saskatchewan Inc. | 1,543,143 | ||||||
103,314 | Saputo Inc. | 3,488,621 | ||||||
67,221 | Toronto-Dominion Bank (The) | 3,610,460 | ||||||
|
| |||||||
Total Canada | 40,379,951 | |||||||
|
| |||||||
Chile — 0.2% | ||||||||
181,222 | Antofagasta PLC | 2,428,239 | ||||||
|
| |||||||
China — 1.8% | ||||||||
19,586 | Alibaba Group Holding Ltd., ADR* | 3,363,700 | ||||||
44,060 | Baidu Inc., ADR* | 10,047,883 | ||||||
4,677,500 | CNOOC Ltd. | 5,648,123 |
See Notes to Financial Statements.
109
Schedules of Investments |
(continued) |
International Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
China — 1.8% — (continued) | ||||||||
86,600 | Tencent Holdings Ltd. | $ | 3,679,784 | |||||
44,900 | Yangzijiang Shipbuilding Holdings Ltd. | 49,606 | ||||||
|
| |||||||
Total China | 22,789,096 | |||||||
|
| |||||||
Denmark — 1.8% | ||||||||
85 | AP Moller — Maersk AS, Class A Shares | 166,519 | ||||||
141 | AP Moller — Maersk AS, Class B Shares | 290,936 | ||||||
2,327 | Carlsberg AS, Class B Shares | 267,288 | ||||||
2,164 | Chr Hansen Holding AS | 186,281 | ||||||
20,315 | Coloplast AS, Class B Shares | 1,664,042 | ||||||
15,909 | Danske Bank AS | 618,679 | ||||||
3,196 | DONG Energy AS(b) | 166,439 | ||||||
4,172 | DSV AS | 295,995 | ||||||
1,213 | Genmab AS* | 283,313 | ||||||
1,488 | H. Lundbeck AS | 95,125 | ||||||
3,639 | ISS AS | 141,669 | ||||||
130,399 | Novo Nordisk AS, Class B Shares | 6,226,414 | ||||||
66,942 | Novozymes AS, Class B Shares | 3,406,803 | ||||||
34,638 | Pandora AS | 3,682,607 | ||||||
17,496 | TDC AS | 104,285 | ||||||
2,644 | Tryg AS | 61,138 | ||||||
21,948 | Vestas Wind Systems AS | 1,999,817 | ||||||
104,236 | William Demant Holding AS* | 2,760,014 | ||||||
|
| |||||||
Total Denmark | 22,417,364 | |||||||
|
| |||||||
Finland — 0.7% | ||||||||
3,087 | Elisa OYJ | 134,946 | ||||||
9,911 | Fortum OYJ | 177,987 | ||||||
7,309 | Kone OYJ, Class B Shares | 396,767 | ||||||
2,538 | Metso OYJ | 84,192 | ||||||
2,888 | Neste OYJ | 127,399 | ||||||
728,419 | Nokia OYJ | 4,510,521 | ||||||
57,886 | Nokian Renkaat OYJ | 2,448,692 | ||||||
2,362 | Orion OYJ, Class B Shares | 111,910 | ||||||
9,499 | Sampo OYJ, Class A Shares | 501,688 | ||||||
11,740 | Stora Enso OYJ, Class R Shares | 154,438 | ||||||
11,394 | UPM-Kymmene OYJ | 296,689 | ||||||
3,167 | Wartsila OYJ Abp | 218,681 | ||||||
|
| |||||||
Total Finland | 9,163,910 | |||||||
|
| |||||||
France — 9.7% | ||||||||
3,844 | Accor SA | 178,256 | ||||||
696 | Aeroports de Paris | 124,226 | ||||||
8,423 | Air Liquide SA | 1,029,897 | ||||||
48,448 | Airbus SE | 4,075,782 | ||||||
3,245 | Alstom SA | 115,521 | ||||||
35,973 | Amundi SA(b) | 2,771,980 | ||||||
1,555 | Arkema SA | 169,234 | ||||||
33,716 | Atos SE | 5,209,446 | ||||||
42,020 | AXA SA | 1,220,468 | ||||||
122,315 | BNP Paribas SA | 9,318,307 | ||||||
17,434 | Bollore SA(a) | 81,051 | ||||||
4,391 | Bouygues SA | 199,304 | ||||||
5,480 | Bureau Veritas SA | 130,496 | ||||||
3,487 | Capgemini SE | 387,126 | ||||||
12,709 | Carrefour SA | 256,467 | ||||||
1,178 | Casino Guichard Perrachon SA | 67,037 |
See Notes to Financial Statements.
110
Schedules of Investments |
(continued) |
International Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
France — 9.7% — (continued) | ||||||||
51,930 | Cie de Saint-Gobain | $ | 2,850,647 | |||||
3,704 | Cie Générale des Établissements Michelin | 505,448 | ||||||
3,469 | CNP Assurances | 80,604 | ||||||
24,830 | Credit Agricole SA | 438,237 | ||||||
45,050 | Danone SA | 3,551,598 | ||||||
63 | Dassault Aviation SA | 96,297 | ||||||
35,182 | Dassault Systemes SE | 3,469,094 | ||||||
143,804 | Edenred | 3,892,808 | ||||||
1,589 | Eiffage SA | 164,393 | ||||||
12,302 | Electricite de France SA | 130,448 | ||||||
456,778 | Engie SA | 7,628,654 | ||||||
48,788 | Essilor International SA | 6,168,417 | ||||||
843 | Eurazeo SA | 69,761 | ||||||
3,760 | Eutelsat Communications SA | 109,331 | ||||||
685 | Fonciere Des Regions, REIT | 67,783 | ||||||
881 | Gecina SA, REIT | 137,303 | ||||||
9,865 | Groupe Eurotunnel SE, Class Registered Shares | 117,651 | ||||||
7,539 | Hermes International | 3,991,636 | ||||||
893 | ICADE, REIT | 79,382 | ||||||
15,572 | Iliad SA | 4,024,527 | ||||||
637 | Imerys SA | 56,066 | ||||||
1,191 | Ingenico Group SA | 118,443 | ||||||
809 | Ipsen SA | 108,801 | ||||||
1,522 | JCDecaux SA | 49,877 | ||||||
1,622 | Kering | 609,356 | ||||||
5,013 | Klepierre SA., REIT | 202,042 | ||||||
3,086 | Lagardere SCA | 99,246 | ||||||
52,177 | Legrand SA | 3,659,104 | ||||||
5,469 | L’Oréal SA | 1,156,367 | ||||||
36,074 | LVMH Moët Hennessy Louis Vuitton SE | 9,470,892 | ||||||
19,498 | Natixis SA | 146,581 | ||||||
43,760 | Orange SA | 744,456 | ||||||
26,896 | Pernod Ricard SA | 3,678,323 | ||||||
10,331 | Peugeot SA | 218,427 | ||||||
4,731 | Publicis Groupe SA | 319,651 | ||||||
446 | Remy Cointreau SA | 50,971 | ||||||
3,968 | Renault SA | 351,586 | ||||||
6,307 | Rexel SA | 94,293 | ||||||
6,578 | Safran SA | 639,253 | ||||||
25,231 | Sanofi | 2,463,944 | ||||||
183,796 | Schneider Electric SE* | 14,837,388 | ||||||
3,721 | SCOR SE | 156,062 | ||||||
24,335 | SEB SA | 4,423,462 | ||||||
603 | Societe BIC SA | 72,518 | ||||||
16,492 | Societe Generale SA | 924,406 | ||||||
2,009 | Sodexo SA | 234,644 | ||||||
7,971 | Suez | 151,285 | ||||||
390,100 | Technicolor SA, Class Registered Shares | 1,426,339 | ||||||
2,338 | Thales SA | 259,099 | ||||||
50,898 | TOTAL SA | 2,633,957 | ||||||
2,173 | Unibail-Rodamco SE, REIT | 553,323 | ||||||
83,171 | Valeo SA | 5,569,671 | ||||||
9,890 | Veolia Environnement SA | 232,202 | ||||||
10,944 | Vinci SA | 1,008,792 | ||||||
22,002 | Vivendi SA | 505,444 | ||||||
679 | Wendel SA | 107,693 |
See Notes to Financial Statements.
111
Schedules of Investments |
(continued) |
International Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
France — 9.7% — (continued) | ||||||||
4,412 | Zodiac Aerospace | $ | 127,685 | |||||
|
| |||||||
Total France | 120,370,266 | |||||||
|
| |||||||
Germany — 10.2% | ||||||||
20,535 | adidas AG | 4,611,043 | ||||||
9,901 | Allianz SE, Class Registered Shares | 2,119,001 | ||||||
1,019 | Axel Springer SE | 63,156 | ||||||
140,019 | BASF SE | 13,570,412 | ||||||
106,571 | Bayer AG, Class Registered Shares | 13,651,086 | ||||||
76,283 | Bayerische Motoren Werke AG | 7,086,694 | ||||||
2,218 | Beiersdorf AG | 236,888 | ||||||
53,741 | Brenntag AG | 2,853,180 | ||||||
22,546 | Commerzbank AG* | 280,378 | ||||||
38,058 | Continental AG | 8,588,536 | ||||||
2,396 | Covestro AG(b) | 188,396 | ||||||
20,941 | Daimler AG, Class Registered Shares | 1,527,278 | ||||||
44,088 | Deutsche Bank AG, Class Registered Shares | 707,373 | ||||||
4,234 | Deutsche Boerse AG | 452,917 | ||||||
5,048 | Deutsche Lufthansa AG, Class Registered Shares | 126,736 | ||||||
21,825 | Deutsche Post AG, Class Registered Shares | 905,620 | ||||||
305,815 | Deutsche Telekom AG, Class Registered Shares | 5,521,865 | ||||||
7,442 | Deutsche Wohnen SE | 316,157 | ||||||
46,928 | E.ON SE | 530,762 | ||||||
54,571 | Evonik Industries AG | 1,770,390 | ||||||
897 | Fraport AG Frankfurt Airport Services Worldwide | 88,548 | ||||||
30,933 | Fresenius Medical Care AG & Co. KGaA | 2,893,486 | ||||||
9,132 | Fresenius SE & Co. KGaA | 773,116 | ||||||
49,031 | GEA Group AG | 2,161,790 | ||||||
1,327 | Hannover Rueck SE | 160,922 | ||||||
29,474 | HeidelbergCement AG | 2,831,046 | ||||||
2,300 | Henkel AG & Co. KGaA | 278,446 | ||||||
413 | Hochtief AG | 72,817 | ||||||
1,424 | HUGO BOSS AG | 120,595 | ||||||
408,403 | Infineon Technologies AG | 9,422,712 | ||||||
3,073 | Innogy SE(b) | 135,457 | ||||||
4,116 | K+S AG, Class Registered Shares | 98,181 | ||||||
1,535 | KION Group AG | 140,177 | ||||||
1,972 | Lanxess AG | 147,238 | ||||||
49,283 | Linde AG | 9,452,291 | ||||||
755 | MAN SE | 84,788 | ||||||
2,799 | Merck KGaA | 307,716 | ||||||
3,888 | METRO AG* | 76,012 | ||||||
3,488 | Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen, Class Registered Shares | 720,243 | ||||||
1,919 | OSRAM Licht AG | 157,757 | ||||||
79,196 | ProSiebenSat.1 Media SE | 2,657,480 | ||||||
11,220 | RWE AG | 279,991 | ||||||
166,061 | SAP SE | 17,420,764 | ||||||
49,174 | Scout24 AG(b) | 1,981,544 | ||||||
16,469 | Siemens AG, Class Registered Shares | 2,153,752 | ||||||
28,325 | Symrise AG | 2,071,081 | ||||||
17,043 | Telefonica Deutschland Holding AG | 92,282 | ||||||
7,946 | ThyssenKrupp AG | 238,377 | ||||||
9,533 | TUI AG | 161,369 | ||||||
45,527 | United Internet AG, Class Registered Shares | 2,704,867 | ||||||
10,679 | Volkswagen AG | 1,649,440 | ||||||
10,100 | Vonovia SE | 426,998 |
See Notes to Financial Statements.
112
Schedules of Investments |
(continued) |
International Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
Germany — 10.2% — (continued) | ||||||||
2,454 | Zalando SE*(b) | $ | 116,315 | |||||
|
| |||||||
Total Germany | 127,185,466 | |||||||
|
| |||||||
Hong Kong — 2.4% | ||||||||
986,000 | AIA Group Ltd. | 7,571,878 | ||||||
5,200 | ASM Pacific Technology Ltd. | 64,911 | ||||||
25,600 | Bank of East Asia Ltd. (The) | 117,391 | ||||||
79,500 | BOC Hong Kong Holdings Ltd. | 406,115 | ||||||
56,500 | Cheung Kong Property Holdings Ltd. | 497,429 | ||||||
761,377 | China Merchants Port Holdings Co., Ltd. | 2,498,729 | ||||||
783,500 | China Mobile Ltd. | 8,307,553 | ||||||
57,500 | CK Hutchison Holdings Ltd. | 754,199 | ||||||
15,000 | CK Infrastructure Holdings Ltd. | 136,170 | ||||||
36,500 | CLP Holdings Ltd. | 386,146 | ||||||
44,000 | First Pacific Co., Ltd. | 35,397 | ||||||
51,000 | Galaxy Entertainment Group Ltd. | 320,704 | ||||||
20,000 | Hang Lung Group Ltd. | 75,426 | ||||||
48,000 | Hang Lung Properties Ltd. | 116,966 | ||||||
15,800 | Hang Seng Bank Ltd. | 364,333 | ||||||
26,400 | Henderson Land Development Co., Ltd. | 164,268 | ||||||
64,000 | HK Electric Investments & HK Electric Investments Ltd.(b) | 58,870 | ||||||
81,000 | HKT Trust & HKT Ltd., Class Miscella Shares | 104,768 | ||||||
177,100 | Hong Kong & China Gas Co., Ltd. | 334,974 | ||||||
25,099 | Hong Kong Exchanges & Clearing Ltd. | 685,839 | ||||||
26,400 | Hongkong Land Holdings Ltd. | 195,768 | ||||||
14,000 | Hysan Development Co., Ltd. | 64,788 | ||||||
22,783 | I-CABLE Communications Ltd.* | 803 | ||||||
4,600 | Jardine Matheson Holdings Ltd. | 302,309 | ||||||
80,640 | Jardine Strategic Holdings Ltd. | 3,535,141 | ||||||
14,500 | Kerry Properties Ltd. | 57,593 | ||||||
122,000 | Li & Fung Ltd. | 55,046 | ||||||
46,500 | Link REIT | 384,695 | ||||||
5,305 | Melco Resorts & Entertainment Ltd., ADR | 116,445 | ||||||
31,500 | MTR Corp., Ltd. | 184,541 | ||||||
121,679 | New World Development Co., Ltd. | 166,877 | ||||||
34,750 | NWS Holdings Ltd. | 66,942 | ||||||
90,000 | PCCW Ltd. | 50,214 | ||||||
32,000 | Power Assets Holdings Ltd. | 282,877 | ||||||
26,000 | Shangri-La Asia Ltd. | 43,546 | ||||||
66,646 | Sino Land Co., Ltd. | 115,716 | ||||||
43,000 | SJM Holdings Ltd. | 37,618 | ||||||
30,000 | Sun Hung Kai Properties Ltd. | 500,945 | ||||||
11,500 | Swire Pacific Ltd., Class A Shares | 117,220 | ||||||
24,600 | Swire Properties Ltd. | 85,313 | ||||||
30,000 | Techtronic Industries Co., Ltd. | 155,300 | ||||||
162,500 | WH Group Ltd.(b) | 169,914 | ||||||
31,000 | Wharf Holdings Ltd. (The) | 296,114 | ||||||
17,000 | Wheelock & Co., Ltd. | 127,210 | ||||||
15,500 | Yue Yuen Industrial Holdings Ltd. | 67,181 | ||||||
|
| |||||||
Total Hong Kong | 30,182,182 | |||||||
|
| |||||||
India — 1.0% | ||||||||
81,833 | HDFC Bank Ltd. | 2,260,250 | ||||||
86,317 | Hero MotoCorp Ltd. | 5,389,014 | ||||||
328,413 | ICICI Bank Ltd., ADR | 3,077,230 |
See Notes to Financial Statements.
113
Schedules of Investments |
(continued) |
International Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
India — 1.0% — (continued) | ||||||||
152,389 | Zee Entertainment Enterprises Ltd. | $ | 1,239,882 | |||||
|
| |||||||
Total India | 11,966,376 | |||||||
|
| |||||||
Indonesia — 0.1% | ||||||||
1,169,200 | Bank Central Asia Tbk PT | 1,658,866 | ||||||
|
| |||||||
Ireland — 0.6% | ||||||||
3,664 | AerCap Holdings NV* | 184,299 | ||||||
232,902 | Allied Irish Banks PLC*(b) | 1,386,446 | ||||||
21,791 | Bank of Ireland Group PLC* | 181,618 | ||||||
18,153 | CRH PLC | 634,794 | ||||||
2,004 | DCC PLC | 182,655 | ||||||
117,862 | James Hardie Industries PLC, CDI | 1,667,362 | ||||||
32,690 | Kerry Group PLC, Class A Shares | 3,044,022 | ||||||
1,823 | Paddy Power Betfair PLC | 160,215 | ||||||
|
| |||||||
Total Ireland | 7,441,411 | |||||||
|
| |||||||
Israel — 0.4% | ||||||||
968 | Azrieli Group Ltd. | 55,841 | ||||||
23,446 | Bank Hapoalim BM | 157,868 | ||||||
30,542 | Bank Leumi Le-Israel BM | 160,087 | ||||||
44,036 | Bezeq Israeli Telecommunication Corp., Ltd. | 64,899 | ||||||
35,522 | Check Point Software Technologies Ltd.* | 3,973,846 | ||||||
507 | Elbit Systems Ltd. | 69,836 | ||||||
861 | Frutarom Industries Ltd. | 66,118 | ||||||
10,541 | Israel Chemicals Ltd. | 45,518 | ||||||
3,160 | Mizrahi Tefahot Bank Ltd. | 56,327 | ||||||
1,306 | Nice Ltd. | 101,824 | ||||||
349 | Taro Pharmaceutical Industries Ltd.*(a) | 36,589 | ||||||
19,826 | Teva Pharmaceutical Industries Ltd., ADR | 314,440 | ||||||
|
| |||||||
Total Israel | 5,103,193 | |||||||
|
| |||||||
Italy — 1.4% | ||||||||
25,485 | Assicurazioni Generali SpA | 456,994 | ||||||
9,377 | Atlantia SpA | 302,116 | ||||||
177,632 | Enel SpA | 1,075,219 | ||||||
54,364 | Eni SpA | 852,842 | ||||||
2,659 | Ferrari NV | 304,858 | ||||||
1,681,921 | Intesa Sanpaolo SpA | 5,682,650 | ||||||
8,628 | Leonardo SpA | 146,227 | ||||||
3,721 | Luxottica Group SpA | 214,499 | ||||||
12,861 | Mediobanca SpA | 132,115 | ||||||
12,094 | Poste Italiane SpA(b) | 87,936 | ||||||
4,483 | Prysmian SpA | 141,172 | ||||||
2,249 | Recordati SpA | 96,418 | ||||||
13,276 | Saipem SpA* | 49,339 | ||||||
56,268 | Snam SpA | 274,058 | ||||||
144,800 | Telecom Italia SpA | 112,665 | ||||||
224,010 | Telecom Italia SpA* | 214,924 | ||||||
32,742 | Terna Rete Elettrica Nazionale SpA | 193,369 | ||||||
353,327 | UniCredit SpA* | 7,208,869 | ||||||
27,779 | UnipolSai Assicurazioni SpA | 63,119 | ||||||
|
| |||||||
Total Italy | 17,609,389 | |||||||
|
| |||||||
Japan — 15.5% | ||||||||
700 | ABC-Mart Inc. | 36,011 | ||||||
8,800 | Acom Co., Ltd.* | 36,078 |
See Notes to Financial Statements.
114
Schedules of Investments |
(continued) |
International Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
Japan — 15.5% — (continued) | ||||||||
13,200 | Aeon Co., Ltd. | $ | 194,902 | |||||
2,200 | AEON Financial Service Co., Ltd. | 46,738 | ||||||
2,500 | Aeon Mall Co., Ltd. | 45,026 | ||||||
3,000 | Air Water Inc. | 55,472 | ||||||
4,100 | Aisin Seiki Co., Ltd. | 206,687 | ||||||
12,000 | Ajinomoto Co., Inc. | 237,227 | ||||||
4,000 | Alfresa Holdings Corp. | 75,846 | ||||||
4,600 | Alps Electric Co., Ltd. | 126,772 | ||||||
7,100 | Amada Holdings Co., Ltd. | 78,117 | ||||||
25,000 | ANA Holdings Inc. | 92,867 | ||||||
26,000 | Aozora Bank Ltd. | 98,526 | ||||||
4,400 | Asahi Glass Co., Ltd. | 172,421 | ||||||
8,200 | Asahi Group Holdings Ltd. | 357,572 | ||||||
28,000 | Asahi Kasei Corp. | 336,064 | ||||||
3,400 | Asics Corp. | 51,450 | ||||||
46,600 | Astellas Pharma Inc. | 586,811 | ||||||
4,300 | Bandai Namco Holdings Inc. | 144,339 | ||||||
7,000 | Bank of Kyoto Ltd. (The) | 64,910 | ||||||
1,400 | Benesse Holdings Inc. | 53,947 | ||||||
83,800 | Bridgestone Corp. | 3,602,607 | ||||||
5,100 | Brother Industries Ltd. | 121,678 | ||||||
1,700 | Calbee Inc. | 58,233 | ||||||
23,000 | Canon Inc. | 806,827 | ||||||
5,000 | Casio Computer Co., Ltd. | 70,824 | ||||||
3,200 | Central Japan Railway Co. | 543,451 | ||||||
15,000 | Chiba Bank Ltd. (The) | 100,717 | ||||||
14,200 | Chubu Electric Power Co., Inc. | 185,944 | ||||||
5,000 | Chugai Pharmaceutical Co., Ltd. | 203,673 | ||||||
3,600 | Chugoku Bank Ltd. (The) | 48,637 | ||||||
6,400 | Chugoku Electric Power Co., Inc. (The) | 73,872 | ||||||
2,600 | Coca-Cola Bottlers Japan Inc. | 89,289 | ||||||
27,500 | Concordia Financial Group Ltd. | 131,892 | ||||||
3,300 | Credit Saison Co., Ltd. | 59,989 | ||||||
2,100 | CYBERDYNE Inc.* | 27,637 | ||||||
12,000 | Dai Nippon Printing Co., Ltd. | 141,968 | ||||||
6,300 | Daicel Corp. | 80,443 | ||||||
23,200 | Dai-ichi Life Holdings Inc. | 374,600 | ||||||
12,800 | Daiichi Sankyo Co., Ltd. | 302,966 | ||||||
25,100 | Daikin Industries Ltd. | 2,514,779 | ||||||
1,500 | Daito Trust Construction Co., Ltd. | 266,635 | ||||||
11,800 | Daiwa House Industry Co., Ltd. | 413,614 | ||||||
30 | Daiwa House REIT Investment Corp., Class A Shares | 73,364 | ||||||
36,000 | Daiwa Securities Group Inc. | 197,460 | ||||||
2,000 | DeNA Co., Ltd. | 42,829 | ||||||
10,100 | Denso Corp. | 491,286 | ||||||
4,400 | Dentsu Inc. | 184,528 | ||||||
600 | Disco Corp. | 108,432 | ||||||
2,500 | Don Quijote Holdings Co., Ltd. | 95,116 | ||||||
102,700 | East Japan Railway Co. | 9,449,216 | ||||||
5,600 | Eisai Co., Ltd. | 290,373 | ||||||
3,300 | Electric Power Development Co., Ltd. | 90,579 | ||||||
1,800 | FamilyMart UNY Holdings Co., Ltd. | 97,716 | ||||||
4,200 | FANUC Corp. | 816,962 | ||||||
1,100 | Fast Retailing Co., Ltd. | 315,500 | ||||||
12,000 | Fuji Electric Co., Ltd. | 66,320 | ||||||
9,400 | FUJIFILM Holdings Corp. | 370,421 |
See Notes to Financial Statements.
115
Schedules of Investments |
(continued) |
International Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
Japan — 15.5% — (continued) | ||||||||
43,000 | Fujitsu Ltd. | $ | 321,071 | |||||
17,000 | Fukuoka Financial Group Inc. | 74,885 | ||||||
8,900 | Hachijuni Bank Ltd. (The) | 54,379 | ||||||
4,600 | Hakuhodo DY Holdings Inc. | 62,752 | ||||||
3,000 | Hamamatsu Photonics KK | 93,132 | ||||||
5,200 | Hankyu Hanshin Holdings Inc. | 198,747 | ||||||
400 | Hikari Tsushin Inc. | 49,706 | ||||||
5,400 | Hino Motors Ltd. | 62,185 | ||||||
700 | Hirose Electric Co., Ltd. | 97,074 | ||||||
11,000 | Hiroshima Bank Ltd. (The) | 44,347 | ||||||
1,300 | Hisamitsu Pharmaceutical Co., Inc. | 63,046 | ||||||
2,300 | Hitachi Chemical Co., Ltd. | 62,421 | ||||||
2,300 | Hitachi Construction Machinery Co., Ltd. | 65,085 | ||||||
1,500 | Hitachi High-Technologies Corp. | 53,714 | ||||||
849,000 | Hitachi Ltd. | 5,856,661 | ||||||
4,600 | Hitachi Metals Ltd. | 61,609 | ||||||
37,100 | Honda Motor Co., Ltd. | 1,041,768 | ||||||
1,100 | Hoshizaki Corp. | 95,881 | ||||||
65,100 | Hoya Corp. | 3,749,668 | ||||||
6,300 | Hulic Co., Ltd. | 62,483 | ||||||
2,000 | Idemitsu Kosan Co., Ltd. | 49,054 | ||||||
32,000 | IHI Corp. | 106,191 | ||||||
3,200 | Iida Group Holdings Co., Ltd. | 54,492 | ||||||
20,700 | Inpex Corp. | 198,662 | ||||||
7,100 | Isetan Mitsukoshi Holdings Ltd. | 73,179 | ||||||
12,700 | Isuzu Motors Ltd. | 166,741 | ||||||
32,400 | ITOCHU Corp. | 530,263 | ||||||
5,100 | J Front Retailing Co., Ltd. | 71,423 | ||||||
210,500 | Japan Airlines Co., Ltd. | 7,240,854 | ||||||
1,000 | Japan Airport Terminal Co., Ltd. | 36,381 | ||||||
11,300 | Japan Exchange Group Inc. | 192,995 | ||||||
8,600 | Japan Post Bank Co., Ltd. | 109,679 | ||||||
10,500 | Japan Post Holdings Co., Ltd. | 130,746 | ||||||
19 | Japan Prime Realty Investment Corp., REIT | 68,305 | ||||||
28 | Japan Real Estate Investment Corp., REIT | 145,146 | ||||||
56 | Japan Retail Fund Investment Corp., REIT | 103,081 | ||||||
23,700 | Japan Tobacco Inc. | 812,621 | ||||||
11,200 | JFE Holdings Inc. | 221,738 | ||||||
4,500 | JGC Corp. | 72,348 | ||||||
4,100 | JSR Corp. | 79,987 | ||||||
4,800 | JTEKT Corp. | 64,418 | ||||||
64,450 | JXTG Holdings Inc. | 313,422 | ||||||
20,000 | Kajima Corp. | 183,806 | ||||||
3,100 | Kakaku.com Inc. | 38,649 | ||||||
5,000 | Kamigumi Co., Ltd. | 55,520 | ||||||
6,000 | Kaneka Corp. | 46,807 | ||||||
15,700 | Kansai Electric Power Co., Inc. (The) | 220,176 | ||||||
4,700 | Kansai Paint Co., Ltd. | 119,410 | ||||||
10,900 | Kao Corp. | 681,021 | ||||||
30,000 | Kawasaki Heavy Industries Ltd. | 92,409 | ||||||
508,100 | KDDI Corp. | 13,727,542 | ||||||
11,000 | Keihan Holdings Co., Ltd. | 66,406 | ||||||
10,000 | Keikyu Corp. | 106,403 | ||||||
12,000 | Keio Corp. | 99,998 | ||||||
3,000 | Keisei Electric Railway Co., Ltd. | 81,837 | ||||||
20,000 | Keyence Corp. | 10,436,621 |
See Notes to Financial Statements.
116
Schedules of Investments |
(continued) |
International Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
Japan — 15.5% — (continued) | ||||||||
3,000 | Kikkoman Corp. | $ | 94,103 | |||||
39,000 | Kintetsu Group Holdings Co., Ltd. | 147,350 | ||||||
19,100 | Kirin Holdings Co., Ltd. | 434,496 | ||||||
6,600 | Kobe Steel Ltd.* | 79,745 | ||||||
63,200 | Koito Manufacturing Co., Ltd. | 3,961,755 | ||||||
223,400 | Komatsu Ltd. | 6,060,310 | ||||||
2,000 | Konami Holdings Corp. | 104,415 | ||||||
9,600 | Konica Minolta Inc. | 76,831 | ||||||
700 | Kose Corp. | 87,988 | ||||||
405,100 | Kubota Corp. | 7,051,461 | ||||||
7,700 | Kuraray Co., Ltd. | 146,494 | ||||||
2,200 | Kurita Water Industries Ltd. | 63,460 | ||||||
7,000 | Kyocera Corp. | 421,257 | ||||||
5,700 | Kyowa Hakko Kirin Co., Ltd. | 100,282 | ||||||
9,500 | Kyushu Electric Power Co., Inc. | 111,756 | ||||||
7,200 | Kyushu Financial Group Inc. | 43,973 | ||||||
3,400 | Kyushu Railway Co. | 106,482 | ||||||
1,000 | Lawson Inc. | 67,265 | ||||||
900 | LINE Corp.*(a) | 31,768 | ||||||
5,000 | Lion Corp. | 99,588 | ||||||
5,700 | LIXIL Group Corp. | 149,754 | ||||||
4,200 | M3 Inc. | 109,682 | ||||||
1,100 | Mabuchi Motor Co., Ltd. | 52,064 | ||||||
66,100 | Makita Corp. | 2,658,812 | ||||||
35,100 | Marubeni Corp. | 228,824 | ||||||
4,500 | Marui Group Co., Ltd. | 63,116 | ||||||
1,200 | Maruichi Steel Tube Ltd. | 35,605 | ||||||
12,300 | Mazda Motor Corp. | 181,453 | ||||||
1,500 | McDonald’s Holdings Co. Japan Ltd. | 66,693 | ||||||
20,910 | Mebuki Financial Group Inc. | 74,319 | ||||||
3,700 | Medipal Holdings Corp. | 65,351 | ||||||
2,500 | MEIJI Holdings Co., Ltd. | 199,499 | ||||||
9,100 | MINEBEA MITSUMI Inc. | 150,078 | ||||||
1,200 | Miraca Holdings Inc. | 54,611 | ||||||
6,100 | MISUMI Group Inc. | 157,159 | ||||||
31,000 | Mitsubishi Chemical Holdings Corp. | 289,217 | ||||||
32,700 | Mitsubishi Corp. | 757,566 | ||||||
41,700 | Mitsubishi Electric Corp. | 618,800 | ||||||
27,500 | Mitsubishi Estate Co., Ltd. | 474,503 | ||||||
4,000 | Mitsubishi Gas Chemical Co., Inc. | 99,522 | ||||||
68,000 | Mitsubishi Heavy Industries Ltd. | 260,792 | ||||||
2,400 | Mitsubishi Materials Corp. | 86,244 | ||||||
14,800 | Mitsubishi Motors Corp. | 109,676 | ||||||
5,000 | Mitsubishi Tanabe Pharma Corp. | 123,143 | ||||||
261,500 | Mitsubishi UFJ Financial Group Inc. | 1,593,512 | ||||||
10,300 | Mitsubishi UFJ Lease & Finance Co., Ltd. | 52,241 | ||||||
36,800 | Mitsui & Co., Ltd. | 552,278 | ||||||
20,000 | Mitsui Chemicals Inc. | 119,976 | ||||||
19,000 | Mitsui Fudosan Co., Ltd. | 411,909 | ||||||
24,000 | Mitsui OSK Lines Ltd. | 77,233 | ||||||
1,000 | Mixi Inc. | 53,527 | ||||||
522,200 | Mizuho Financial Group Inc. | 900,118 | ||||||
10,300 | MS&AD Insurance Group Holdings Inc. | 340,841 | ||||||
4,100 | Murata Manufacturing Co., Ltd. | 629,732 | ||||||
2,400 | Nabtesco Corp. | 84,141 | ||||||
20,000 | Nagoya Railroad Co., Ltd. | 89,595 |
See Notes to Financial Statements.
117
Schedules of Investments |
(continued) |
International Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
Japan — 15.5% — (continued) | ||||||||
56,000 | NEC Corp. | $ | 148,553 | |||||
3,700 | Nexon Co., Ltd. | 92,641 | ||||||
5,600 | NGK Insulators Ltd. | 104,825 | ||||||
3,900 | NGK Spark Plug Co., Ltd. | 74,563 | ||||||
4,000 | NH Foods Ltd. | 117,743 | ||||||
44,700 | Nidec Corp. | 5,077,290 | ||||||
7,400 | Nikon Corp. | 122,210 | ||||||
2,500 | Nintendo Co., Ltd. | 840,234 | ||||||
31 | Nippon Building Fund Inc., REIT | 165,034 | ||||||
1,800 | Nippon Electric Glass Co., Ltd. | 68,621 | ||||||
18,000 | Nippon Express Co., Ltd. | 124,477 | ||||||
3,500 | Nippon Paint Holdings Co., Ltd. | 119,689 | ||||||
35 | Nippon Prologis REIT Inc. | 76,037 | ||||||
16,900 | Nippon Steel & Sumitomo Metal Corp. | 404,400 | ||||||
136,900 | Nippon Telegraph & Telephone Corp. | 6,818,393 | ||||||
34,000 | Nippon Yusen KK | 67,495 | ||||||
2,300 | Nissan Chemical Industries Ltd. | 77,201 | ||||||
50,800 | Nissan Motor Co., Ltd. | 505,966 | ||||||
4,300 | Nisshin Seifun Group Inc. | 74,901 | ||||||
1,300 | Nissin Foods Holdings Co., Ltd. | 80,227 | ||||||
1,800 | Nitori Holdings Co., Ltd. | 278,389 | ||||||
3,600 | Nitto Denko Corp. | 318,299 | ||||||
2,000 | NOK Corp. | 45,232 | ||||||
78,500 | Nomura Holdings Inc. | 438,612 | ||||||
2,700 | Nomura Real Estate Holdings Inc. | 55,988 | ||||||
75 | Nomura Real Estate Master Fund Inc., REIT | 99,094 | ||||||
2,860 | Nomura Research Institute Ltd. | 111,539 | ||||||
9,400 | NSK Ltd. | 111,991 | ||||||
13,500 | NTT Data Corp. | 146,088 | ||||||
30,000 | NTT DOCOMO Inc. | 697,561 | ||||||
14,100 | Obayashi Corp. | 166,586 | ||||||
1,600 | Obic Co., Ltd. | 100,412 | ||||||
6,500 | Odakyu Electric Railway Co., Ltd. | 126,076 | ||||||
18,000 | Oji Holdings Corp. | 94,651 | ||||||
6,600 | Olympus Corp. | 229,997 | ||||||
4,100 | Omron Corp. | 206,215 | ||||||
8,800 | Ono Pharmaceutical Co., Ltd. | 179,579 | ||||||
800 | Oracle Corp. Japan | 59,258 | ||||||
4,600 | Oriental Land Co., Ltd. | 345,898 | ||||||
244,000 | ORIX Corp. | 3,917,887 | ||||||
42,000 | Osaka Gas Co., Ltd. | 164,585 | ||||||
1,100 | Otsuka Corp. | 72,930 | ||||||
8,400 | Otsuka Holdings Co., Ltd. | 338,926 | ||||||
47,200 | Panasonic Corp. | 630,707 | ||||||
2,200 | Park24 Co., Ltd. | 52,963 | ||||||
2,000 | Pola Orbis Holdings Inc. | 64,354 | ||||||
20,000 | Rakuten Inc. | 238,393 | ||||||
228,900 | Recruit Holdings Co., Ltd. | 4,566,632 | ||||||
10,800 | Renesas Electronics Corp.* | 108,933 | ||||||
47,500 | Resona Holdings Inc. | 237,607 | ||||||
14,200 | Ricoh Co., Ltd. | 142,532 | ||||||
800 | Rinnai Corp. | 69,557 | ||||||
2,100 | Rohm Co., Ltd. | 165,010 | ||||||
500 | Ryohin Keikaku Co., Ltd. | 138,870 | ||||||
900 | Sankyo Co., Ltd. | 29,445 | ||||||
184,000 | Santen Pharmaceutical Co., Ltd. | 2,860,244 |
See Notes to Financial Statements.
118
Schedules of Investments |
(continued) |
International Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
Japan — 15.5% — (continued) | ||||||||
4,900 | SBI Holdings Inc. | $ | 68,265 | |||||
4,700 | Secom Co., Ltd. | 349,356 | ||||||
4,000 | Sega Sammy Holdings Inc. | 57,556 | ||||||
3,700 | Seibu Holdings Inc. | 63,743 | ||||||
6,000 | Seiko Epson Corp. | 154,256 | ||||||
203,400 | Sekisui Chemical Co., Ltd. | 3,799,956 | ||||||
114,400 | Sekisui House Ltd. | 1,984,095 | ||||||
16,300 | Seven & i Holdings Co., Ltd. | 647,931 | ||||||
13,000 | Seven Bank Ltd. | 49,391 | ||||||
33,000 | Sharp Corp.*(a) | 99,132 | ||||||
5,800 | Shimadzu Corp. | 107,209 | ||||||
500 | Shimamura Co., Ltd. | 61,023 | ||||||
1,700 | Shimano Inc. | 230,043 | ||||||
12,000 | Shimizu Corp. | 124,195 | ||||||
8,400 | Shin-Etsu Chemical Co., Ltd. | 744,308 | ||||||
38,000 | Shinsei Bank Ltd. | 60,963 | ||||||
6,200 | Shionogi & Co., Ltd. | 327,238 | ||||||
66,400 | Shiseido Co., Ltd. | 2,765,325 | ||||||
10,000 | Shizuoka Bank Ltd. (The) | 87,609 | ||||||
4,200 | Showa Shell Sekiyu KK | 46,129 | ||||||
11,900 | SMC Corp. | 4,092,073 | ||||||
18,000 | SoftBank Group Corp. | 1,464,615 | ||||||
1,600 | Sohgo Security Services Co., Ltd. | 70,044 | ||||||
7,700 | Sompo Holdings Inc. | 290,394 | ||||||
27,400 | Sony Corp. | 1,083,753 | ||||||
3,800 | Sony Financial Holdings Inc. | 60,344 | ||||||
3,300 | Stanley Electric Co., Ltd. | 109,814 | ||||||
3,900 | Start Today Co., Ltd. | 121,596 | ||||||
164,100 | Subaru Corp. | 5,766,289 | ||||||
34,000 | Sumitomo Chemical Co., Ltd. | 204,168 | ||||||
25,500 | Sumitomo Corp. | 361,709 | ||||||
3,600 | Sumitomo Dainippon Pharma Co., Ltd. | 49,439 | ||||||
15,500 | Sumitomo Electric Industries Ltd. | 243,863 | ||||||
12,000 | Sumitomo Heavy Industries Ltd. | 89,770 | ||||||
11,000 | Sumitomo Metal Mining Co., Ltd. | 189,931 | ||||||
194,800 | Sumitomo Mitsui Financial Group Inc. | 7,257,309 | ||||||
7,400 | Sumitomo Mitsui Trust Holdings Inc. | 256,685 | ||||||
8,000 | Sumitomo Realty & Development Co., Ltd. | 242,636 | ||||||
3,700 | Sumitomo Rubber Industries Ltd. | 61,492 | ||||||
1,600 | Sundrug Co., Ltd. | 66,611 | ||||||
52,100 | Suntory Beverage & Food Ltd. | 2,409,803 | ||||||
3,800 | Suruga Bank Ltd. | 81,442 | ||||||
1,700 | Suzuken Co., Ltd. | 62,006 | ||||||
55,500 | Suzuki Motor Corp. | 2,795,712 | ||||||
3,400 | Sysmex Corp. | 210,126 | ||||||
12,500 | T&D Holdings Inc. | 172,019 | ||||||
26,000 | Taiheiyo Cement Corp. | 100,506 | ||||||
23,000 | Taisei Corp. | 231,081 | ||||||
800 | Taisho Pharmaceutical Holdings Co., Ltd. | 62,526 | ||||||
2,900 | Taiyo Nippon Sanso Corp. | 33,925 | ||||||
7,000 | Takashimaya Co., Ltd. | 64,342 | ||||||
70,600 | Takeda Pharmaceutical Co., Ltd. | 3,913,157 | ||||||
2,800 | TDK Corp. | 188,163 | ||||||
4,000 | Teijin Ltd. | 81,313 | ||||||
7,000 | Terumo Corp. | 270,873 | ||||||
2,500 | THK Co., Ltd. | 84,036 |
See Notes to Financial Statements.
119
Schedules of Investments |
(continued) |
International Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
Japan — 15.5% — (continued) | ||||||||
21,000 | Tobu Railway Co., Ltd. | $ | 116,447 | |||||
2,500 | Toho Co., Ltd. | 93,117 | ||||||
9,000 | Toho Gas Co., Ltd. | 59,448 | ||||||
10,100 | Tohoku Electric Power Co., Inc. | 138,318 | ||||||
14,800 | Tokio Marine Holdings Inc. | 592,269 | ||||||
30,400 | Tokyo Electric Power Co. Holdings Inc.* | 123,236 | ||||||
3,400 | Tokyo Electron Ltd. | 483,313 | ||||||
43,000 | Tokyo Gas Co., Ltd. | 228,412 | ||||||
4,500 | Tokyo Tatemono Co., Ltd. | 55,596 | ||||||
11,500 | Tokyu Corp. | 167,587 | ||||||
11,000 | Tokyu Fudosan Holdings Corp. | 65,744 | ||||||
11,000 | Toppan Printing Co., Ltd. | 110,304 | ||||||
32,000 | Toray Industries Inc. | 305,136 | ||||||
87,000 | Toshiba Corp.* | 242,283 | ||||||
13,000 | Tosoh Corp. | 152,867 | ||||||
3,100 | TOTO Ltd. | 118,359 | ||||||
3,500 | Toyo Seikan Group Holdings Ltd. | 57,838 | ||||||
1,900 | Toyo Suisan Kaisha Ltd. | 70,317 | ||||||
1,400 | Toyoda Gosei Co., Ltd. | 32,715 | ||||||
3,500 | Toyota Industries Corp. | 187,043 | ||||||
56,600 | Toyota Motor Corp. | 3,195,078 | ||||||
5,000 | Toyota Tsusho Corp. | 154,324 | ||||||
2,400 | Trend Micro Inc. | 111,360 | ||||||
800 | Tsuruha Holdings Inc. | 95,320 | ||||||
8,700 | Unicharm Corp. | 205,060 | ||||||
65 | United Urban Investment Corp., REIT | 98,196 | ||||||
4,600 | USS Co., Ltd. | 90,731 | ||||||
3,600 | West Japan Railway Co. | 262,020 | ||||||
27,800 | Yahoo Japan Corp. | 127,600 | ||||||
1,900 | Yakult Honsha Co., Ltd. | 132,017 | ||||||
13,400 | Yamada Denki Co., Ltd. | 72,603 | ||||||
4,000 | Yamaguchi Financial Group Inc. | 45,347 | ||||||
3,600 | Yamaha Corp. | 125,678 | ||||||
6,100 | Yamaha Motor Co., Ltd. | 172,859 | ||||||
7,700 | Yamato Holdings Co., Ltd. | 164,799 | ||||||
2,900 | Yamazaki Baking Co., Ltd. | 55,095 | ||||||
5,400 | Yaskawa Electric Corp. | 163,948 | ||||||
4,900 | Yokogawa Electric Corp. | 76,590 | ||||||
2,400 | Yokohama Rubber Co., Ltd. (The) | 44,520 | ||||||
|
| |||||||
Total Japan | 192,475,792 | |||||||
|
| |||||||
Jersey, Channel Islands — 0.0% | ||||||||
2,025 | Randgold Resources Ltd., ADR | 207,552 | ||||||
|
| |||||||
Jordan — 0.0% | ||||||||
3,532 | Hikma Pharmaceuticals PLC | 57,226 | ||||||
|
| |||||||
Luxembourg — 0.7% | ||||||||
98,275 | ArcelorMittal* | 2,631,890 | ||||||
243 | Eurofins Scientific SE | 138,969 | ||||||
1,422 | Millicom International Cellular SA, ADR | 88,762 | ||||||
890 | RTL Group SA | 67,584 | ||||||
138,523 | SES SA, Class A Shares | 3,170,695 | ||||||
176,900 | Tenaris SA | 2,356,429 | ||||||
|
| |||||||
Total Luxembourg | 8,454,329 | |||||||
|
|
See Notes to Financial Statements.
120
Schedules of Investments |
(continued) |
International Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
Macau — 0.0% | ||||||||
20,400 | MGM China Holdings Ltd. | $ | 40,891 | |||||
52,400 | Sands China Ltd. | 234,827 | ||||||
33,600 | Wynn Macau Ltd. | 74,049 | ||||||
|
| |||||||
Total Macau | 349,767 | |||||||
|
| |||||||
Mexico — 0.1% | ||||||||
4,727 | Fresnillo PLC | 98,832 | ||||||
148,486 | Grupo Financiero Banorte SAB de CV, Class O Shares | 1,012,989 | ||||||
|
| |||||||
Total Mexico | 1,111,821 | |||||||
|
| |||||||
Netherlands — 5.2% | ||||||||
153,298 | Aalberts Industries NV | 6,832,057 | ||||||
78,960 | ABN AMRO Group NV, Dutch Certificate, GDR(b) | 2,216,210 | ||||||
40,964 | Aegon NV | 234,188 | ||||||
80,855 | Akzo Nobel NV | 7,392,184 | ||||||
10,350 | Altice NV, Class A Shares* | 238,956 | ||||||
2,673 | Altice NV, Class B Shares* | 61,891 | ||||||
51,154 | ASML Holding NV | 7,970,889 | ||||||
61,528 | Boskalis Westminster | 2,012,397 | ||||||
2,450 | EXOR NV | 157,619 | ||||||
40,196 | Gemalto NV | 2,173,799 | ||||||
2,131 | Heineken Holding NV | 210,549 | ||||||
45,287 | Heineken NV | 4,755,419 | ||||||
166,907 | ING Groep NV | 2,965,765 | ||||||
27,322 | Koninklijke Ahold Delhaize NV | 491,843 | ||||||
3,945 | Koninklijke DSM NV | 299,637 | ||||||
76,432 | Koninklijke KPN NV | 270,476 | ||||||
20,129 | Koninklijke Philips NV | 763,326 | ||||||
45,779 | Koninklijke Vopak NV | 1,940,271 | ||||||
6,525 | NN Group NV(a) | 259,150 | ||||||
7,444 | NXP Semiconductors NV* | 840,874 | ||||||
4,888 | QIAGEN NV* | 156,888 | ||||||
2,457 | Randstad Holding NV | 143,764 | ||||||
334,602 | Royal Dutch Shell PLC, Class A Shares | 9,220,315 | ||||||
439,342 | Royal Dutch Shell PLC, Class B Shares | 12,279,636 | ||||||
6,463 | Wolters Kluwer NV | 282,517 | ||||||
|
| |||||||
Total Netherlands | 64,170,620 | |||||||
|
| |||||||
New Zealand — 0.0% | ||||||||
20,404 | Auckland International Airport Ltd. | 99,514 | ||||||
16,758 | Contact Energy Ltd. | 67,156 | ||||||
16,231 | Fletcher Building Ltd. | 95,172 | ||||||
15,884 | Mercury NZ Ltd. | 39,249 | ||||||
28,934 | Meridian Energy Ltd. | 61,295 | ||||||
7,999 | Ryman Healthcare Ltd. | 52,287 | ||||||
38,054 | Spark New Zealand Ltd. | 107,018 | ||||||
|
| |||||||
Total New Zealand | 521,691 | |||||||
|
| |||||||
Norway — 0.8% | ||||||||
229,049 | DNB ASA | 4,475,689 | ||||||
4,271 | Gjensidige Forsikring ASA | 74,769 | ||||||
8,424 | Marine Harvest ASA* | 167,372 | ||||||
557,433 | Norsk Hydro ASA | 4,023,852 | ||||||
17,687 | Orkla ASA | 181,660 | ||||||
1,822 | Schibsted ASA, Class A Shares | 44,285 | ||||||
2,230 | Schibsted ASA, Class B Shares | 51,175 | ||||||
24,555 | Statoil ASA | 465,057 |
See Notes to Financial Statements.
121
Schedules of Investments |
(continued) |
International Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
Norway — 0.8% — (continued) | ||||||||
16,809 | Telenor ASA | $ | 340,522 | |||||
3,723 | Yara International ASA | 152,323 | ||||||
|
| |||||||
�� | Total Norway | 9,976,704 | ||||||
|
| |||||||
Peru — 0.1% | ||||||||
7,239 | Credicorp Ltd. | 1,468,359 | ||||||
|
| |||||||
Portugal — 0.0% | ||||||||
50,100 | EDP — Energias de Portugal SA | 192,415 | ||||||
9,949 | Galp Energia SGPS SA, Class B Shares | 164,872 | ||||||
5,467 | Jeronimo Martins SGPS SA | 109,127 | ||||||
|
| |||||||
Total Portugal | 466,414 | |||||||
|
| |||||||
Singapore — 0.6% | ||||||||
51,800 | Ascendas Real Estate Investment Trust | 101,748 | ||||||
28,500 | CapitaLand Commercial Trust, REIT | 36,597 | ||||||
58,300 | CapitaLand Ltd. | 162,806 | ||||||
59,100 | CapitaLand Mall Trust, REIT | 94,635 | ||||||
9,300 | City Developments Ltd. | 80,458 | ||||||
48,100 | ComfortDelGro Corp., Ltd. | 81,403 | ||||||
39,400 | DBS Group Holdings Ltd. | 600,264 | ||||||
132,000 | Genting Singapore PLC | 115,577 | ||||||
60,300 | Global Logistic Properties Ltd. | 144,073 | ||||||
158,600 | Golden Agri-Resources Ltd. | 46,175 | ||||||
104,400 | Hutchison Port Holdings Trust | 47,598 | ||||||
2,200 | Jardine Cycle & Carriage Ltd. | 64,813 | ||||||
30,700 | Keppel Corp., Ltd. | 143,064 | ||||||
544,200 | Oversea-Chinese Banking Corp., Ltd. | 4,490,067 | ||||||
11,100 | SATS Ltd. | 39,579 | ||||||
21,700 | Sembcorp Industries Ltd. | 47,741 | ||||||
13,700 | Singapore Airlines Ltd. | 104,245 | ||||||
17,400 | Singapore Exchange Ltd. | 96,307 | ||||||
14,100 | Singapore Press Holdings Ltd. | 28,723 | ||||||
37,500 | Singapore Technologies Engineering Ltd. | 101,125 | ||||||
176,900 | Singapore Telecommunications Ltd. | 483,099 | ||||||
13,800 | StarHub Ltd. | 26,590 | ||||||
58,600 | Suntec Real Estate Investment Trust | 82,023 | ||||||
28,503 | United Overseas Bank Ltd. | 506,055 | ||||||
11,971 | UOL Group Ltd. | 72,307 | ||||||
41,700 | Wilmar International Ltd. | 102,352 | ||||||
|
| |||||||
Total Singapore | 7,899,424 | |||||||
|
| |||||||
South Africa — 0.2% | ||||||||
12,813 | Investec PLC | 97,830 | ||||||
7,828 | Mediclinic International PLC | 77,436 | ||||||
8,211 | Mondi PLC | 224,465 | ||||||
169,776 | SPAR Group Ltd. (The) | 2,206,145 | ||||||
|
| |||||||
Total South Africa | 2,605,876 | |||||||
|
| |||||||
South Korea — 1.2% | ||||||||
3,190 | NAVER Corp. | 2,150,316 | ||||||
3,290 | Samsung Electronics Co., Ltd. | 6,814,038 | ||||||
27,824 | SK Telecom Co., Ltd. | 6,292,273 | ||||||
|
| |||||||
Total South Korea | 15,256,627 | |||||||
|
| |||||||
Spain — 3.1% | ||||||||
15,871 | Abertis Infraestructuras SA | 321,440 | ||||||
5,160 | ACS Actividades de Construccion y Servicios SA | 195,220 |
See Notes to Financial Statements.
122
Schedules of Investments |
(continued) |
International Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
Spain — 3.1% — (continued) | ||||||||
1,563 | Aena SA(b) | $ | 305,573 | |||||
71,788 | Amadeus IT Group SA | 4,454,479 | ||||||
532,700 | Banco Bilbao Vizcaya Argentaria SA | 4,714,105 | ||||||
119,225 | Banco de Sabadell SA | 262,461 | ||||||
347,826 | Banco Santander SA | 2,264,126 | ||||||
26,618 | Bankia SA. | 129,713 | ||||||
14,216 | Bankinter SA | 135,628 | ||||||
547,070 | CaixaBank SA | 2,829,348 | ||||||
14,683 | Distribuidora Internacional de Alimentacion SA | 92,962 | ||||||
1,230 | Enagas SA | 36,265 | ||||||
6,899 | Endesa SA | 166,583 | ||||||
10,848 | Ferrovial SA | 247,457 | ||||||
7,440 | Gas Natural SDG SA | 181,010 | ||||||
160,505 | Grifols SA | 4,541,651 | ||||||
127,739 | Iberdrola SA | 1,043,825 | ||||||
163,405 | Industria de Diseno Textil SA | 6,210,932 | ||||||
27,471 | Mapfre SA | 97,335 | ||||||
699,125 | Prosegur Cash SA.*(b) | 2,070,415 | ||||||
523,120 | Prosegur Cia de Seguridad SA | 3,563,367 | ||||||
140,241 | Red Electrica Corp. SA | 3,150,912 | ||||||
26,793 | Repsol SA | 460,485 | ||||||
5,129 | Siemens Gamesa Renewable Energy SA. | 76,634 | ||||||
98,045 | Telefonica SA | 1,058,189 | ||||||
|
| |||||||
Total Spain | 38,610,115 | |||||||
|
| |||||||
Sweden — 2.2% | ||||||||
145,006 | Alfa Laval AB | 3,288,051 | ||||||
185,628 | Assa Abloy AB, Class B Shares | 4,016,344 | ||||||
120,156 | Atlas Copco AB, Class A Shares | 4,714,675 | ||||||
8,595 | Atlas Copco AB, Class B Shares | 307,114 | ||||||
6,002 | Boliden AB | 210,395 | ||||||
5,196 | Electrolux AB, Series B | 189,107 | ||||||
212,157 | Elekta AB, Class B Shares(a) | 2,197,583 | ||||||
12,916 | Essity AB, Class B Shares* | 358,891 | ||||||
4,155 | Getinge AB, Class B Shares | 77,368 | ||||||
20,601 | Hennes & Mauritz AB, Class B Shares | 521,746 | ||||||
5,551 | Hexagon AB, Class B Shares | 272,633 | ||||||
9,209 | Husqvarna AB, Class B Shares | 92,961 | ||||||
1,751 | ICA Gruppen AB(a) | 69,837 | ||||||
3,545 | Industrivarden AB, Class C Shares | 84,035 | ||||||
9,806 | Investor AB, Class B Shares | 458,951 | ||||||
5,157 | Kinnevik AB, Class B Shares | 155,287 | ||||||
823 | L E Lundbergforetagen AB, Class B Shares | 63,789 | ||||||
4,143 | Lundin Petroleum AB | 88,934 | ||||||
65,320 | Nordea Bank AB | 879,519 | ||||||
25,035 | Sandvik AB | 414,115 | ||||||
6,780 | Securitas AB, Class B Shares | 111,565 | ||||||
32,412 | Skandinaviska Enskilda Banken AB, Class A Shares | 422,120 | ||||||
7,342 | Skanska AB, Class B Shares | 165,953 | ||||||
156,574 | SKF AB, Class B Shares | 3,132,153 | ||||||
33,164 | Svenska Handelsbanken AB, Class A Shares | 495,836 | ||||||
19,293 | Swedbank AB, Class A Shares | 521,948 | ||||||
71,993 | Swedish Match AB | 2,568,127 | ||||||
7,833 | Tele2 AB, Class B Shares | 91,234 | ||||||
66,666 | Telefonaktiebolaget LM Ericsson, Class B Shares | 391,929 | ||||||
57,883 | Telia Co. AB | 276,202 |
See Notes to Financial Statements.
123
Schedules of Investments |
(continued) |
International Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
Sweden — 2.2% — (continued) | ||||||||
34,113 | Volvo AB, Class B Shares | $ | 583,798 | |||||
|
| |||||||
Total Sweden | 27,222,200 | |||||||
|
| |||||||
Switzerland — 9.8% | ||||||||
341,442 | ABB Ltd., Class Registered Shares | 7,912,877 | ||||||
3,487 | Adecco Group AG, Class Registered Shares | 252,935 | ||||||
93,667 | Aryzta AG* | 2,954,095 | ||||||
1,088 | Baloise Holding AG, Class Registered Shares | 173,419 | ||||||
2,131 | Barry Callebaut AG, Class Registered Shares* | 3,068,582 | ||||||
22 | Chocoladefabriken Lindt & Spruengli AG | 126,243 | ||||||
2 | Chocoladefabriken Lindt & Spruengli AG, Class Registered Shares | 139,194 | ||||||
136,250 | Cie Financiere Richemont SA, Class Registered Shares | 12,194,474 | ||||||
3,797 | Coca-Cola HBC AG* | 129,929 | ||||||
53,581 | Credit Suisse Group AG, Class Registered Shares* | 788,635 | ||||||
944 | Dufry AG, Class Registered Shares* | 145,593 | ||||||
182 | EMS-Chemie Holding AG, Class Registered Shares | 124,518 | ||||||
31,057 | Ferguson PLC | 1,847,784 | ||||||
802 | Geberit AG, Class Registered Shares | 366,636 | ||||||
197 | Givaudan SA, Class Registered Shares | 402,842 | ||||||
262,095 | Glencore PLC* | 1,219,557 | ||||||
4,735 | Julius Baer Group Ltd.* | 265,008 | ||||||
1,206 | Kuehne + Nagel International AG, Class Registered Shares | 218,556 | ||||||
9,556 | LafargeHolcim Ltd., Class Registered Shares* | 561,934 | ||||||
36,128 | Lonza Group AG, Class Registered Shares* | 9,158,152 | ||||||
158,009 | Nestlé SA, Class Registered Shares | 13,412,102 | ||||||
130,625 | Novartis AG, Class Registered Shares | 11,019,209 | ||||||
836 | Pargesa Holding SA | 67,801 | ||||||
391 | Partners Group Holding AG | 253,834 | ||||||
79,216 | Roche Holding AG | 20,194,914 | ||||||
12,062 | Schindler Holding AG | 2,585,290 | ||||||
439 | Schindler Holding AG, Class Registered Shares | 92,337 | ||||||
115 | SGS SA, Class Registered Shares | 257,144 | ||||||
563 | Sika AG | 3,994,238 | ||||||
18,483 | Sonova Holding AG, Class Registered Shares | 3,126,004 | ||||||
242,221 | STMicroelectronics NV | 4,213,880 | ||||||
205 | Straumann Holding AG, Class Registered Shares | 131,580 | ||||||
677 | Swatch Group AG (The) | 270,608 | ||||||
1,189 | Swatch Group AG (The), Class Registered Shares | 92,281 | ||||||
700 | Swiss Life Holding AG, Class Registered Shares* | 250,787 | ||||||
1,506 | Swiss Prime Site AG, Class Registered Shares* | 136,345 | ||||||
7,040 | Swiss Re AG | 638,110 | ||||||
581 | Swisscom AG, Class Registered Shares | 293,169 | ||||||
49,800 | Temenos Group AG, Class Registered Shares* | 4,923,321 | ||||||
397,847 | UBS Group AG, Class Registered Shares* | 6,563,929 | ||||||
900 | Vifor Pharma AG | 91,029 | ||||||
22,627 | Zurich Insurance Group AG | 6,775,574 | ||||||
|
| |||||||
Total Switzerland | 121,434,449 | |||||||
|
| |||||||
Taiwan — 0.1% | ||||||||
122,000 | Taiwan Semiconductor Manufacturing Co., Ltd. | 879,494 | ||||||
|
| |||||||
Thailand — 0.2% | ||||||||
1,487,100 | CP ALL PCL | 2,778,788 | ||||||
|
| |||||||
United Kingdom — 16.4% | ||||||||
20,315 | 3i Group PLC | 254,816 | ||||||
4,368 | Admiral Group PLC | 109,123 |
See Notes to Financial Statements.
124
Schedules of Investments |
(continued) |
International Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
United Kingdom — 16.4% — (continued) | ||||||||
28,844 | Anglo American PLC | $ | 522,730 | |||||
10,633 | Ashtead Group PLC | 228,475 | ||||||
7,641 | Associated British Foods PLC | 328,367 | ||||||
142,871 | AstraZeneca PLC | 8,397,949 | ||||||
20,834 | Auto Trader Group PLC(b) | 95,305 | ||||||
1,537,680 | Aviva PLC | 10,397,435 | ||||||
5,553 | Babcock International Group PLC | 58,321 | ||||||
421,934 | BAE Systems PLC | 3,313,136 | ||||||
907,075 | Balfour Beatty PLC | 3,152,134 | ||||||
3,405,364 | Barclays PLC | 8,421,467 | ||||||
21,151 | Barratt Developments PLC | 170,970 | ||||||
2,701 | Berkeley Group Holdings PLC | 130,650 | ||||||
1,707,966 | BP PLC | 9,864,807 | ||||||
191,093 | British American Tobacco PLC | 11,916,817 | ||||||
20,654 | British Land Co. PLC (The), REIT | 163,262 | ||||||
779,263 | BT Group PLC | 2,948,267 | ||||||
182,970 | Bunzl PLC | 5,467,990 | ||||||
270,104 | Burberry Group PLC | 6,284,602 | ||||||
14,637 | Capita PLC | 122,714 | ||||||
121,414 | Centrica PLC | 313,887 | ||||||
22,003 | CNH Industrial NV | 250,328 | ||||||
2,103,983 | Cobham PLC | 3,737,010 | ||||||
4,488 | Coca-Cola European Partners PLC | 192,234 | ||||||
34,082 | Compass Group PLC | 727,707 | ||||||
25,190 | ConvaTec Group PLC*(b) | 93,555 | ||||||
2,698 | Croda International PLC | 133,987 | ||||||
307,014 | Diageo PLC | 10,285,720 | ||||||
55,422 | Dignity PLC | 1,618,205 | ||||||
28,818 | Direct Line Insurance Group PLC | 141,582 | ||||||
20,077 | Dixons Carphone PLC | 45,066 | ||||||
574,506 | Domino’s Pizza Group PLC | 2,010,384 | ||||||
3,168 | easyJet PLC | 49,049 | ||||||
252,620 | Essentra PLC | 1,743,789 | ||||||
144,163 | Experian PLC | 2,895,747 | ||||||
23,165 | Fiat Chrysler Automobiles NV* | 349,870 | ||||||
32,697 | G4S PLC | 119,951 | ||||||
37,750 | GKN PLC | 155,780 | ||||||
415,651 | GlaxoSmithKline PLC | 8,245,760 | ||||||
15,765 | Hammerson PLC, REIT | 114,323 | ||||||
5,304 | Hargreaves Lansdown PLC | 96,079 | ||||||
434,285 | HSBC Holdings PLC | 4,220,826 | ||||||
5,990 | IMI PLC | 87,826 | ||||||
21,083 | Imperial Brands PLC | 871,991 | ||||||
174,261 | Inmarsat PLC | 1,650,293 | ||||||
3,798 | InterContinental Hotels Group PLC | 190,183 | ||||||
19,881 | International Consolidated Airlines Group SA | 157,738 | ||||||
59,126 | Intertek Group PLC | 3,909,805 | ||||||
21,956 | Intu Properties PLC, REIT | 70,663 | ||||||
76,436 | ITV PLC | 156,835 | ||||||
36,134 | J Sainsbury PLC | 110,041 | ||||||
4,289 | Johnson Matthey PLC | 153,212 | ||||||
50,561 | Kingfisher PLC | 195,588 | ||||||
17,648 | Land Securities Group PLC, REIT | 230,407 | ||||||
127,541 | Legal & General Group PLC | 429,006 | ||||||
10,237,274 | Lloyds Banking Group PLC | 8,421,320 | ||||||
6,739 | London Stock Exchange Group PLC | 344,085 |
See Notes to Financial Statements.
125
Schedules of Investments |
(continued) |
International Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
United Kingdom — 16.4% — (continued) | ||||||||
34,729 | Marks & Spencer Group PLC | $ | 143,673 | |||||
18,948 | Meggitt PLC | 127,099 | ||||||
14,209 | Merlin Entertainments PLC(b) | 84,794 | ||||||
74,817 | National Grid PLC | 942,479 | ||||||
267,918 | NEX Group PLC | 2,296,644 | ||||||
3,018 | Next PLC | 161,251 | ||||||
103,127 | Old Mutual PLC | 276,653 | ||||||
18,835 | Pearson PLC | 147,718 | ||||||
7,112 | Persimmon PLC | 244,671 | ||||||
3,401 | Provident Financial PLC(a) | 38,891 | ||||||
520,373 | Prudential PLC | 12,225,380 | ||||||
119,543 | Reckitt Benckiser Group PLC | 11,341,016 | ||||||
21,874 | RELX NV | 459,960 | ||||||
22,940 | RELX PLC | 501,884 | ||||||
9,213 | Rio Tinto Ltd. | 497,661 | ||||||
26,910 | Rio Tinto PLC | 1,302,610 | ||||||
35,834 | Rolls-Royce Holdings PLC* | 423,231 | ||||||
76,821 | Royal Bank of Scotland Group PLC* | 250,434 | ||||||
279,164 | Royal Mail PLC | 1,423,532 | ||||||
21,468 | RSA Insurance Group PLC | 185,084 | ||||||
23,772 | Sage Group PLC (The) | 213,106 | ||||||
2,961 | Schroders PLC | 128,913 | ||||||
21,294 | Segro PLC, REIT | 148,240 | ||||||
5,107 | Severn Trent PLC | 149,761 | ||||||
22,678 | Sky PLC | 280,546 | ||||||
19,723 | Smith & Nephew PLC | 356,549 | ||||||
8,858 | Smiths Group PLC | 177,106 | ||||||
71,326 | Spectris PLC | 2,135,366 | ||||||
229,084 | SSE PLC | 4,220,282 | ||||||
11,556 | St. James’s Place PLC | 172,455 | ||||||
70,724 | Standard Chartered PLC* | 703,712 | ||||||
58,674 | Standard Life Aberdeen PLC | 326,205 | ||||||
9,760 | Tate & Lyle PLC | 86,234 | ||||||
69,007 | Taylor Wimpey PLC | 179,014 | ||||||
79,406 | TechnipFMC PLC* | 2,037,677 | ||||||
181,741 | Tesco PLC* | 425,452 | ||||||
352,245 | TP ICAP PLC | 2,248,033 | ||||||
224,639 | Travis Perkins PLC | 4,370,887 | ||||||
35,069 | Unilever NV, Dutch Certificate | 2,089,533 | ||||||
132,444 | Unilever PLC | 7,744,477 | ||||||
14,739 | United Utilities Group PLC | 173,373 | ||||||
3,414,753 | Vodafone Group PLC | 9,768,506 | ||||||
51,004 | Weir Group PLC (The) | 1,183,117 | ||||||
77,229 | Whitbread PLC | 3,751,547 | ||||||
46,201 | WM Morrison Supermarkets PLC | 147,042 | ||||||
39,658 | Worldpay Group PLC(b) | 213,996 | ||||||
27,691 | WPP PLC | 508,231 | ||||||
|
| |||||||
Total United Kingdom | 203,883,194 | |||||||
|
| |||||||
United States — 1.6% | ||||||||
74,260 | Carnival Corp. | 5,159,585 | ||||||
84,738 | Carnival PLC | 5,894,867 | ||||||
20,721 | Philip Morris International Inc. | 2,422,906 | ||||||
1,500 | Priceline Group Inc. (The)* | 2,778,120 | ||||||
522,900 | Samsonite International SA | 2,135,304 |
See Notes to Financial Statements.
126
Schedules of Investments |
(continued) |
International Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
United States — 1.6% — (continued) | ||||||||
19,417 | Shire PLC | $ | 966,715 | |||||
|
| |||||||
Total United States | 19,357,497 | |||||||
|
| |||||||
TOTAL COMMON STOCKS (Cost — $991,557,311) | 1,191,399,921 | |||||||
|
| |||||||
PREFERRED STOCKS — 1.3% | ||||||||
Brazil — 0.2% | ||||||||
130,500 | Telefonica Brasil SA, Class Preferred Shares | 2,024,753 | ||||||
|
| |||||||
Germany — 1.1% | ||||||||
1,201 | Bayerische Motoren Werke AG, Class Preferred Shares | 99,676 | ||||||
1,592 | FUCHS PETROLUB SE, Class Preferred Shares | 88,599 | ||||||
3,843 | Henkel AG & Co. KGaA, Class Preferred Shares | 515,152 | ||||||
3,307 | Porsche Automobil Holding SE, Class Preferred Shares | 187,547 | ||||||
3,572 | Schaeffler AG, Class Preferred Shares | 50,358 | ||||||
89,458 | Volkswagen AG, Class Preferred Shares | 13,356,873 | ||||||
|
| |||||||
Total Germany | 14,298,205 | |||||||
|
| |||||||
TOTAL PREFERRED STOCKS (Cost — $14,048,541) | 16,322,958 | |||||||
|
| |||||||
RIGHT — 0.0% | ||||||||
Sweden — 0.0% | ||||||||
4,155 | Getinge AB* (Cost — $0) | 1,538 | ||||||
|
| |||||||
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost — $1,005,605,852) | 1,207,724,417 | |||||||
|
| |||||||
Face Amount† | ||||||||
SHORT-TERM INVESTMENTS (c) — 2.7% | ||||||||
MONEY MARKET FUND — 0.2% | ||||||||
$ | 2,723,340 | Invesco STIT — Government & Agency Portfolio, Institutional Class(d) (Cost — $2,723,340) | 2,723,340 | |||||
|
| |||||||
TIME DEPOSITS — 2.5% | ||||||||
170,061 | AUD | ANZ National Bank — London, 0.484% due 9/1/17 | 135,190 | |||||
BBH — Grand Cayman: | ||||||||
48,417 | CHF | (1.450)% due 9/1/17 | 50,499 | |||||
219,588 | SEK | (0.929)% due 9/1/17 | 27,641 | |||||
149,287 | DKK | (0.800)% due 9/1/17 | 23,900 | |||||
84 | JPY | (0.230)% due 9/1/17 | 1 | |||||
4 | GBP | 0.050% due 9/1/17 | 5 | |||||
37,766 | NOK | 0.100% due 9/1/17 | 4,869 | |||||
2,260 | CAD | 0.150% due 9/1/17 | 1,810 | |||||
1 | AUD | 0.484% due 9/1/17 | 1 | |||||
33,694 | NZD | 0.800% due 9/1/17 | 24,195 | |||||
3 | SGD | 0.010% due 9/4/17 | 2 | |||||
BNP Paribas — Paris: | ||||||||
708,020 | HKD | 0.005% due 9/1/17 | 90,474 | |||||
6,719,162 | 0.590% due 9/1/17 | 6,719,161 | ||||||
Citibank — London: | ||||||||
387,823 | EUR | (0.556)% due 9/1/17 | 461,762 | |||||
198,632 | GBP | 0.050% due 9/1/17 | 256,870 | |||||
13,157,538 | Citibank — New York, 0.590% due 9/1/17 | 13,157,538 | ||||||
97,860 | SGD | HSBC Bank — Singapore, 0.010% due 9/4/17 | 72,171 |
See Notes to Financial Statements.
127
Schedules of Investments |
(continued) |
International Equity Fund | ||||||||
Face Amount† | Security | Value | ||||||
TIME DEPOSITS — 2.5% — (continued) | ||||||||
$ | 9,115,549 | JPMorgan Chase & Co. — New York, 0.590% due 9/1/17 | $ | 9,115,549 | ||||
Sumitomo — Tokyo: | ||||||||
27,594,784 | JPY | (0.230)% due 9/1/17 | 250,976 | |||||
67,290 | 0.590% due 9/1/17 | 67,290 | ||||||
|
| |||||||
TOTAL TIME DEPOSITS (Cost — $30,459,904) | 30,459,904 | |||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost — $33,183,244) | 33,183,244 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 99.7% (Cost — $1,038,789,096) | 1,240,907,661 | |||||||
|
| |||||||
Other Assets in Excess of Liabilities — 0.3% | 3,183,367 | |||||||
|
| |||||||
TOTAL NET ASSETS — 100.0% | $ | 1,244,091,028 | ||||||
|
|
† | Amount denominated in U.S. dollars, unless otherwise noted. |
* | Non-income producing security. |
(a) | All or a portion of this security is on loan (See Note 1). |
(b) | Restricted security that may be sold to “qualified institutional buyers” pursuant to the conditions of Rule 144A under the Securities Act of 1933, as amended. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted. The aggregate value of restricted 144A holdings at August 31, 2017, amounts to approximately $12,143,145 and represents 0.98% of net assets. |
(c) | Inclusive of all short term holdings, including collateral received from securities lending activities. Excluding such collateral, the percentage of portfolio holdings would be 2.5%. |
(d) | Represents investment of collateral received from securities lending transactions. |
At August 31, 2017, for International Equity Fund the aggregate cost of investments, the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:
Fund | Aggregate Cost For Federal Income Tax Purposes | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||||||||||
International Equity Fund | $ | 1,059,801,555 | $ | 262,006,376 | $ | (80,908,394 | ) | $ | 181,097,982 |
Abbreviations used in this schedule: | ||
ADR | — American Depositary Receipts | |
CDI | — Clearing House Electronics Systems (CHESS) Depositary Interest | |
GDR | — Global Depositary Receipt | |
PCL | — Public Company Limited | |
PLC | — Public Limited Company | |
REIT | — Real Estate Investment Trust |
Summary of Investments by Security Sector^ | ||||
Industrials | 16.2 | % | ||
Financials | 15.5 | |||
Consumer Discretionary | 14.7 | |||
Health Care | 10.6 | |||
Information Technology | 10.3 | |||
Consumer Staples | 9.5 | |||
Materials | 7.4 | |||
Telecommunication Services | 5.5 | |||
Energy | 4.5 | |||
Utilities | 2.0 | |||
Real Estate | 1.1 | |||
Short-Term Investments | 2.7 | |||
|
| |||
100.0 | % | |||
|
|
^ | As a percentage of total investments. |
See Notes to Financial Statements.
128
Schedules of Investments |
(continued) |
International Equity Fund |
At August 31, 2017, International Equity Fund had open exchange traded futures contracts as described below.
The unrealized appreciation (depreciation) on the open contracts reflected in the accompanying financial statements were as follows:
Open Futures Contracts | Number of Contracts | Expiration Date (Month/Year) | Notional Amounts | Market Value | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Contracts to Buy: | ||||||||||||||||||||
Euro STOXX 50 September Futures | 16 | 9/17 | $ | 663,311 | $ | 652,285 | $ | (11,026 | ) | |||||||||||
FTSE 100 Index September Futures | 5 | 9/17 | 477,993 | 480,586 | 2,593 | |||||||||||||||
SPI 200 Index September Futures | 2 | 9/17 | 227,594 | 226,084 | (1,510 | ) | ||||||||||||||
TOPIX Index September Futures | 2 | 9/17 | 293,042 | 294,861 | 1,819 | |||||||||||||||
|
| |||||||||||||||||||
$ | (8,124 | ) | ||||||||||||||||||
|
|
At August 31, 2017, International Equity Fund had deposited cash of $102,671 with a broker or brokers as margin collateral on open exchange traded futures contracts.
Currency Abbreviations used in this schedule: | ||
AUD | — Australian Dollar | |
CAD | — Canadian Dollar | |
CHF | — Swiss Franc | |
DKK | — Danish Krone | |
EUR | — Euro | |
GBP | — British Pound | |
HKD | — Hong Kong Dollar | |
JPY | — Japanese Yen | |
NOK | — Norwegian Krone | |
NZD | — New Zealand Dollar | |
SEK | — Swedish Krona | |
SGD | — Singapore Dollar |
See Notes to Financial Statements.
129
Schedules of Investments |
(continued) |
Emerging Markets Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
COMMON STOCKS — 93.6% | ||||||||
Argentina — 1.0% | ||||||||
105,480 | Grupo Supervielle SA, ADR | $ | 2,154,956 | |||||
127,033 | YPF SA, ADR | 2,548,282 | ||||||
|
| |||||||
�� | Total Argentina | 4,703,238 | ||||||
|
| |||||||
Brazil — 6.8% | ||||||||
139,315 | Ambev SA | 878,948 | ||||||
417,571 | Ambev SA, ADR | 2,613,994 | ||||||
65,992 | B3 SA — Brasil Bolsa Balcao | 463,727 | ||||||
25,003 | Banco Bradesco SA | 256,158 | ||||||
588,243 | Banco do Brasil SA | 5,736,951 | ||||||
10,834 | Banco Santander Brasil SA | 96,506 | ||||||
349,951 | BB Seguridade Participações SA | 3,081,672 | ||||||
20,976 | BR Malls Participações SA | 90,625 | ||||||
15,157 | BRF SA* | 204,735 | ||||||
556,674 | CCR SA | 3,087,672 | ||||||
8,618 | Centrais Eletricas Brasileiras SA* | 48,239 | ||||||
9,985 | Cia de Saneamento Basico do Estado de Sao Paulo | 101,980 | ||||||
15,800 | Cia Siderurgica Nacional SA* | 43,618 | ||||||
538,263 | Cielo SA | 3,835,392 | ||||||
4,160 | Cosan SA Indústria e Comércio | 50,998 | ||||||
6,552 | CPFL Energia SA | 56,386 | ||||||
101,100 | CVC Brasil Operadora e Agencia de Viagens SA | 1,226,875 | ||||||
7,900 | Duratex SA | 21,583 | ||||||
7,700 | EDP — Energias do Brasil SA | 37,279 | ||||||
20,394 | Embraer SA | 116,163 | ||||||
4,100 | Engie Brasil Energia SA | 47,019 | ||||||
5,810 | Equatorial Energia SA | 112,809 | ||||||
6,369 | Fibria Celulose SA | 84,553 | ||||||
174,600 | Fleury SA | 1,758,286 | ||||||
8,800 | Hypermarcas SA | 82,497 | ||||||
24,055 | JBS SA | 66,254 | ||||||
16,491 | Klabin SA | 89,688 | ||||||
38,205 | Kroton Educacional SA | 218,099 | ||||||
122,813 | Localiza Rent a Car SA | 2,323,334 | ||||||
4,757 | Lojas Americanas SA | 21,822 | ||||||
19,750 | Lojas Renner SA | 191,988 | ||||||
3,542 | M Dias Branco SA | 55,248 | ||||||
517,000 | Movida Participacoes SA* | 1,558,629 | ||||||
2,108 | Multiplan Empreendimentos Imobiliarios SA | 48,946 | ||||||
4,400 | Natura Cosméticos SA | 41,234 | ||||||
6,700 | Odontoprev SA | 31,543 | ||||||
18,000 | Ouro Fino Saude Animal Participacoes SA* | 154,105 | ||||||
89,885 | Petroleo Brasileiro SA* | 398,905 | ||||||
2,900 | Porto Seguro SA | 32,014 | ||||||
5,500 | Qualicorp SA | 60,891 | ||||||
6,476 | Raia Drogasil SA | 142,672 | ||||||
20,300 | Rumo SA* | 66,617 | ||||||
97,000 | Smiles SA | 2,141,929 | ||||||
5,205 | Sul America SA | 29,730 | ||||||
21,500 | TIM Participações SA | 77,043 | ||||||
10,409 | Transmissora Alianca de Energia Eletrica SA | 74,401 | ||||||
9,913 | Ultrapar Participações SA | 231,304 | ||||||
90,334 | Vale SA | 1,006,689 | ||||||
16,574 | WEG SA | 107,726 | ||||||
|
| |||||||
Total Brazil | 33,305,476 | |||||||
|
|
See Notes to Financial Statements.
130
Schedules of Investments |
(continued) |
Emerging Markets Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
Chile — 0.3% | ||||||||
95,321 | AES Gener SA | $ | 33,541 | |||||
65,824 | Aguas Andinas SA, Class A Shares | 42,290 | ||||||
738,556 | Banco de Chile | 107,499 | ||||||
948 | Banco de Credito e Inversiones | 61,993 | ||||||
1,888,321 | Banco Santander Chile | 138,151 | ||||||
40,976 | Cencosud SA | 123,688 | ||||||
3,735 | Cia Cervecerias Unidas SA | 51,228 | ||||||
199,393 | Colbun SA | 48,413 | ||||||
3,852 | Empresa Nacional de Telecomunicaciones SA | 40,541 | ||||||
31,738 | Empresas CMPC SA | 83,508 | ||||||
12,701 | Empresas COPEC SA | 161,854 | ||||||
1,044,558 | Enel Americas SA | 226,271 | ||||||
611,657 | Enel Chile SA | 72,397 | ||||||
98,948 | Enel Generacion Chile SA | 84,198 | ||||||
3,934,534 | Itau CorpBanca | 38,005 | ||||||
8,676 | Latam Airlines Group SA | 109,629 | ||||||
20,935 | SACI Falabella | 210,957 | ||||||
|
| |||||||
Total Chile | 1,634,163 | |||||||
|
| |||||||
China — 22.4% | ||||||||
25,000 | 3SBio Inc.*(a) | 34,383 | ||||||
2,508 | 58.com Inc., ADR* | 157,076 | ||||||
110,763 | AAC Technologies Holdings Inc. | 2,034,688 | ||||||
788,000 | Agricultural Bank of China Ltd., Class H Shares(b) | 371,869 | ||||||
46,000 | Air China Ltd., Class H Shares(b) | 40,918 | ||||||
93,849 | Alibaba Group Holding Ltd., ADR* | 16,117,627 | ||||||
100,000 | Aluminum Corp. of China Ltd., Class H Shares*(b) | 74,442 | ||||||
31,500 | Anhui Conch Cement Co., Ltd., Class H Shares(b) | 117,616 | ||||||
32,000 | ANTA Sports Products Ltd. | 125,940 | ||||||
1,618 | Autohome Inc., ADR*(c) | 103,989 | ||||||
53,000 | AviChina Industry & Technology Co., Ltd., Class H Shares(b) | 31,364 | ||||||
32,765 | Baidu Inc., ADR* | 7,472,058 | ||||||
2,320,000 | Bank of China Ltd., Class H Shares(b) | 1,226,908 | ||||||
241,000 | Bank of Communications Co., Ltd., Class H Shares(b) | 184,665 | ||||||
2,112,000 | Beijing Capital International Airport Co., Ltd., Class H Shares(b) | 3,416,937 | ||||||
318,000 | Beijing Originwater Technology Co., Ltd., Class A Shares | 914,854 | ||||||
22,500 | BYD Co., Ltd., Class H Shares(b) | 134,061 | ||||||
311,000 | CGN Power Co., Ltd., Class H Shares(a)(b) | 85,852 | ||||||
255,000 | China Cinda Asset Management Co., Ltd., Class H Shares(b) | 94,918 | ||||||
247,000 | China CITIC Bank Corp., Ltd., Class H Shares(b) | 163,743 | ||||||
52,000 | China Coal Energy Co., Ltd., Class H Shares(b) | 26,198 | ||||||
152,000 | China Communications Construction Co., Ltd., Class H Shares(b) | 203,351 | ||||||
82,000 | China Communications Services Corp., Ltd., Class H Shares(b) | 44,454 | ||||||
44,500 | China Conch Venture Holdings Ltd. | 80,987 | ||||||
9,356,380 | China Construction Bank Corp., Class H Shares(b) | 8,207,714 | ||||||
79,000 | China Everbright Bank Co., Ltd., Class H Shares(b) | 38,048 | ||||||
112,000 | China Evergrande Group*(c) | 338,875 | ||||||
91,000 | China Galaxy Securities Co., Ltd., Class H Shares(b) | 82,777 | ||||||
160,000 | China Huarong Asset Management Co., Ltd., Class H Shares(a)(b) | 68,330 | ||||||
102,000 | China Huishan Dairy Holdings Co., Ltd.(d)(g) | — | ||||||
221,000 | China Life Insurance Co., Ltd., Class H Shares(b) | 712,782 | ||||||
28,600 | China Lodging Group Ltd., ADR*(c) | 3,246,386 | ||||||
98,000 | China Longyuan Power Group Corp., Ltd., Class H Shares(b) | 73,801 | ||||||
1,550,000 | China Maple Leaf Educational Systems Ltd. | 1,319,644 | ||||||
1,222,000 | China Medical System Holdings Ltd. | 2,249,560 | ||||||
93,000 | China Mengniu Dairy Co., Ltd. | 217,325 |
See Notes to Financial Statements.
131
Schedules of Investments |
(continued) |
Emerging Markets Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
China — 22.4% — (continued) | ||||||||
116,500 | China Merchants Bank Co., Ltd., Class H Shares(b) | $ | 441,490 | |||||
153,500 | China Minsheng Banking Corp., Ltd., Class H Shares(b) | 153,260 | ||||||
78,000 | China National Building Material Co., Ltd., Class H Shares(b) | 49,288 | ||||||
46,000 | China Oilfield Services Ltd., Class H Shares(b) | 38,046 | ||||||
85,200 | China Pacific Insurance Group Co., Ltd., Class H Shares(b) | 403,226 | ||||||
760,000 | China Petroleum & Chemical Corp., Class H Shares(b) | 580,501 | ||||||
50,000 | China Railway Construction Corp., Ltd., Class H Shares(b) | 65,803 | ||||||
102,000 | China Railway Group Ltd., Class H Shares(b) | 81,865 | ||||||
432,000 | China Resources Phoenix Healthcare Holdings Co., Ltd.(c) | 546,077 | ||||||
759,000 | China Shenhua Energy Co., Ltd., Class H Shares(b) | 1,959,030 | ||||||
46,000 | China Southern Airlines Co., Ltd., Class H Shares(b) | 35,993 | ||||||
380,000 | China Telecom Corp., Ltd., Class H Shares(b) | 195,945 | ||||||
33,200 | China Vanke Co., Ltd., Class H Shares(b) | 99,530 | ||||||
21,700 | Chongqing Changan Automobile Co., Ltd., Class B Shares | 28,402 | ||||||
83,000 | Chongqing Rural Commercial Bank Co., Ltd., Class H Shares(b) | 58,042 | ||||||
61,500 | CITIC Securities Co., Ltd., Class H Shares(b) | 136,908 | ||||||
1,382,442 | CNOOC Ltd. | 1,669,311 | ||||||
150,000 | Country Garden Holdings Co., Ltd. | 199,539 | ||||||
106,000 | CRRC Corp., Ltd., Class H Shares(b) | 95,938 | ||||||
118,000 | CSPC Pharmaceutical Group Ltd. | 184,384 | ||||||
11,076 | Ctrip.com International Ltd., ADR* | 569,860 | ||||||
68,000 | Dongfeng Motor Group Co., Ltd., Class H Shares(b) | 88,619 | ||||||
221,000 | ENN Energy Holdings Ltd. | 1,432,265 | ||||||
65,500 | Fosun International Ltd. | 113,738 | ||||||
1,252,000 | Fu Shou Yuan International Group Ltd. | 839,196 | ||||||
11,600 | Fuyao Glass Industry Group Co., Ltd., Class H Shares(a)(b) | 36,988 | ||||||
135,000 | Geely Automobile Holdings Ltd. | 332,443 | ||||||
34,400 | GF Securities Co., Ltd., Class H Shares(b) | 73,688 | ||||||
313,000 | GOME Retail Holdings Ltd. | 32,807 | ||||||
93,000 | Great Wall Motor Co., Ltd., Class H Shares(b) | 116,799 | ||||||
60,000 | Guangzhou Automobile Group Co., Ltd., Class H Shares(b) | 118,870 | ||||||
24,400 | Guangzhou R&F Properties Co., Ltd., Class H Shares(b) | 57,060 | ||||||
16,000 | Haitian International Holdings Ltd. | 48,062 | ||||||
88,000 | Haitong Securities Co., Ltd., Class H Shares(b) | 148,238 | ||||||
52,000 | Hengan International Group Co., Ltd. | 434,614 | ||||||
108,000 | Huaneng Power International Inc., Class H Shares(b) | 70,592 | ||||||
140,000 | Huaneng Renewables Corp., Ltd., Class H Shares(b) | 42,953 | ||||||
44,400 | Huatai Securities Co., Ltd., Class H Shares(a)(b) | 99,283 | ||||||
2,146,000 | Industrial & Commercial Bank of China Ltd., Class H Shares(b) | 1,614,106 | ||||||
111,791 | JD.com Inc., ADR* | 4,685,161 | ||||||
30,000 | Jiangsu Expressway Co., Ltd., Class H Shares(b) | 46,073 | ||||||
32,000 | Jiangxi Copper Co., Ltd., Class H Shares(b) | 56,013 | ||||||
20,000 | Kingsoft Corp., Ltd. | 47,728 | ||||||
23,929 | Kweichow Moutai Co., Ltd., Class A Shares | 1,781,760 | ||||||
202,000 | Lenovo Group Ltd. | 110,521 | ||||||
37,000 | Longfor Properties Co., Ltd. | 88,961 | ||||||
18,000 | Minth Group Ltd. | 83,286 | ||||||
3,095 | Momo Inc., ADR* | 119,250 | ||||||
17,365 | NetEase Inc., ADR | 4,789,962 | ||||||
28,000 | New China Life Insurance Co., Ltd., Class H Shares(b) | 180,107 | ||||||
4,080 | New Oriental Education & Technology Group Inc., ADR* | 333,540 | ||||||
176,000 | People’s Insurance Co. Group of China Ltd., Class H Shares(b) | 83,048 | ||||||
656,000 | PetroChina Co., Ltd., Class H Shares(b) | 420,247 | ||||||
126,000 | PICC Property & Casualty Co., Ltd., Class H Shares(b) | 237,619 | ||||||
690,000 | Ping An Insurance Group Co. of China Ltd., Class H Shares(b) | 5,484,564 | ||||||
90,200 | Semiconductor Manufacturing International Corp.* | 84,835 |
See Notes to Financial Statements.
132
Schedules of Investments |
(continued) |
Emerging Markets Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
China — 22.4% — (continued) | ||||||||
48,000 | Shandong Weigao Group Medical Polymer Co., Ltd., Class H Shares(b) | $ | 38,366 | |||||
72,000 | Shanghai Electric Group Co., Ltd., Class H Shares*(b) | 32,669 | ||||||
13,500 | Shanghai Fosun Pharmaceutical Group Co., Ltd., Class H Shares(b) | 50,751 | ||||||
23,100 | Shanghai Lujiazui Finance & Trade Zone Development Co., Ltd., Class B Shares | 37,167 | ||||||
21,800 | Shanghai Pharmaceuticals Holding Co., Ltd., Class H Shares(b) | 53,689 | ||||||
132,000 | Shenzhou International Group Holdings Ltd. | 1,057,971 | ||||||
96,000 | Sihuan Pharmaceutical Holdings Group Ltd. | 37,086 | ||||||
1,693 | SINA Corp.* | 172,398 | ||||||
76,000 | Sino-Ocean Group Holding Ltd. | 52,485 | ||||||
31,500 | Sinopec Engineering Group Co., Ltd., Class H Shares(b) | 28,421 | ||||||
88,000 | Sinopec Shanghai Petrochemical Co., Ltd., Class H Shares(b) | 55,015 | ||||||
304,800 | Sinopharm Group Co., Ltd., Class H Shares(b) | 1,377,381 | ||||||
52,500 | SOHO China Ltd.* | 30,646 | ||||||
63,000 | Sunac China Holdings Ltd. | 189,446 | ||||||
19,000 | Sunny Optical Technology Group Co., Ltd. | 275,723 | ||||||
110,460 | TAL Education Group, ADR | 3,361,298 | ||||||
412,131 | Tencent Holdings Ltd. | 17,512,160 | ||||||
50,000 | Tingyi Cayman Islands Holding Corp. | 66,616 | ||||||
23,000 | TravelSky Technology Ltd., Class H Shares(b) | 63,153 | ||||||
10,000 | Tsingtao Brewery Co., Ltd., Class H Shares(b) | 41,481 | ||||||
11,168 | Vipshop Holdings Ltd., ADR* | 103,974 | ||||||
145,000 | Want Want China Holdings Ltd. | 96,076 | ||||||
1,308 | Weibo Corp., ADR*(c) | 132,239 | ||||||
2,205,200 | Weichai Power Co., Ltd., Class H Shares(b) | 2,283,445 | ||||||
46,000 | Yanzhou Coal Mining Co., Ltd., Class H Shares(b) | 46,243 | ||||||
1,235 | YY Inc., ADR* | 92,279 | ||||||
36,000 | Zhejiang Expressway Co., Ltd., Class H Shares(b) | 45,049 | ||||||
14,000 | Zhuzhou CRRC Times Electric Co., Ltd., Class H Shares(b) | 73,539 | ||||||
200,000 | Zijin Mining Group Co., Ltd., Class H Shares(b) | 73,522 | ||||||
19,000 | ZTE Corp., Class H Shares*(b) | 52,086 | ||||||
|
| |||||||
Total China | 109,271,948 | |||||||
|
| |||||||
Colombia — 0.1% | ||||||||
7,110 | Bancolombia SA | 79,554 | ||||||
11,531 | Cementos Argos SA | 46,760 | ||||||
150,786 | Ecopetrol SA | 70,043 | ||||||
7,386 | Grupo Argos SA | 52,541 | ||||||
7,004 | Grupo de Inversiones Suramericana SA | 98,554 | ||||||
9,779 | Interconexion Electrica SA ESP | 44,298 | ||||||
|
| |||||||
Total Colombia | 391,750 | |||||||
|
| |||||||
Czech Republic — 0.1% | ||||||||
4,731 | CEZ AS | 89,763 | ||||||
1,924 | Komercní Banka AS | 84,766 | ||||||
16,196 | Moneta Money Bank AS(a) | 56,802 | ||||||
1,576 | O2 Czech Republic AS | 19,766 | ||||||
|
| |||||||
Total Czech Republic | 251,097 | |||||||
|
| |||||||
Egypt — 0.6% | ||||||||
26,531 | Commercial International Bank Egypt SAE | 126,513 | ||||||
588,693 | Commercial International Bank Egypt SAE, Class Registered Shares, GDR | 2,690,717 | ||||||
66,557 | Global Telecom Holding SAE* | 26,147 | ||||||
|
| |||||||
Total Egypt | 2,843,377 | |||||||
|
| |||||||
Georgia — 0.5% | ||||||||
59,000 | BGEO Group PLC | 2,639,289 | ||||||
|
|
See Notes to Financial Statements.
133
Schedules of Investments |
(continued) |
Emerging Markets Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
Greece — 0.1% | ||||||||
42,552 | Alpha Bank AE* | $ | 108,005 | |||||
46,981 | Eurobank Ergasias SA* | 50,721 | ||||||
1,594 | FF Group* | 39,669 | ||||||
6,204 | Hellenic Telecommunications Organization SA | 79,026 | ||||||
2,580 | JUMBO SA | 43,025 | ||||||
138,699 | National Bank of Greece SA* | 56,363 | ||||||
7,278 | OPAP SA | 81,369 | ||||||
8,367 | Piraeus Bank SA* | 46,990 | ||||||
1,168 | Titan Cement Co. SA | 33,093 | ||||||
|
| |||||||
Total Greece | 538,261 | |||||||
|
| |||||||
Hong Kong — 4.2% | ||||||||
336,000 | AIA Group Ltd. | 2,580,275 | ||||||
82,000 | Alibaba Health Information Technology Ltd.* | 38,290 | ||||||
370,000 | Alibaba Pictures Group Ltd.* | 64,780 | ||||||
13,000 | Beijing Enterprises Holdings Ltd. | 72,630 | ||||||
4,014,000 | Beijing Enterprises Water Group Ltd. | 3,412,537 | ||||||
84,000 | Brilliance China Automotive Holdings Ltd. | 217,651 | ||||||
63,000 | China Everbright International Ltd. | 83,293 | ||||||
24,000 | China Everbright Ltd. | 54,880 | ||||||
44,000 | China Gas Holdings Ltd. | 111,179 | ||||||
94,000 | China Jinmao Holdings Group Ltd. | 41,827 | ||||||
38,969 | China Merchants Port Holdings Co., Ltd. | 127,891 | ||||||
179,500 | China Mobile Ltd. | 1,903,262 | ||||||
88,737 | China Mobile Ltd., ADR | 4,710,160 | ||||||
122,000 | China Overseas Land & Investment Ltd. | 428,138 | ||||||
84,000 | China Power International Development Ltd. | 28,750 | ||||||
46,000 | China Resources Beer Holdings Co., Ltd. | 115,505 | ||||||
22,000 | China Resources Gas Group Ltd. | 77,866 | ||||||
76,000 | China Resources Land Ltd. | 238,510 | ||||||
48,000 | China Resources Power Holdings Co., Ltd. | 88,367 | ||||||
60,000 | China State Construction International Holdings Ltd. | 86,952 | ||||||
40,800 | China Taiping Insurance Holdings Co., Ltd. | 124,500 | ||||||
190,000 | China Unicom Hong Kong Ltd.* | 275,601 | ||||||
158,000 | �� | CITIC Ltd. | 242,791 | |||||
42,000 | COSCO SHIPPING Ports Ltd. | 49,664 | ||||||
50,000 | Far East Horizon Ltd. | 45,702 | ||||||
167,500 | Fullshare Holdings Ltd.*(c) | 66,779 | ||||||
390,000 | Galaxy Entertainment Group Ltd. | 2,452,443 | ||||||
497,000 | GCL-Poly Energy Holdings Ltd.* | 56,149 | ||||||
72,000 | Guangdong Investment Ltd. | 106,493 | ||||||
32,000 | Haier Electronics Group Co., Ltd. | 85,582 | ||||||
82,000 | Kunlun Energy Co., Ltd. | 79,554 | ||||||
1,972,800 | Man Wah Holdings Ltd. | 1,835,112 | ||||||
41,000 | Nine Dragons Paper Holdings Ltd. | 68,747 | ||||||
13,000 | Shanghai Industrial Holdings Ltd. | 39,580 | ||||||
31,000 | Shimao Property Holdings Ltd. | 64,079 | ||||||
133,000 | Sino Biopharmaceutical Ltd. | 116,808 | ||||||
60,000 | Sun Art Retail Group Ltd. | 55,260 | ||||||
|
| |||||||
Total Hong Kong | 20,247,587 | |||||||
|
| |||||||
Hungary — 0.9% | ||||||||
1,178 | MOL Hungarian Oil & Gas PLC | 109,263 | ||||||
107,510 | OTP Bank PLC | 4,372,434 | ||||||
4,028 | Richter Gedeon Nyrt | 104,801 | ||||||
|
| |||||||
Total Hungary | 4,586,498 | |||||||
|
|
See Notes to Financial Statements.
134
Schedules of Investments |
(continued) |
Emerging Markets Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
India — 5.9% | ||||||||
1,643 | ACC Ltd. | $ | 46,392 | |||||
21,164 | Adani Ports & Special Economic Zone Ltd. | 130,935 | ||||||
10,647 | Aditya Birla Capital Ltd.*(d)(g) | 30,931 | ||||||
18,748 | Ambuja Cements Ltd. | 82,255 | ||||||
2,546 | Apollo Hospitals Enterprise Ltd.* | 43,139 | ||||||
1,143,672 | Ashok Leyland Ltd. | 1,920,388 | ||||||
7,963 | Asian Paints Ltd. | 145,823 | ||||||
7,984 | Aurobindo Pharma Ltd. | 90,797 | ||||||
47,635 | Axis Bank Ltd. | 372,999 | ||||||
74,176 | Axis Bank Ltd., Class Registered Shares, GDR | 2,861,286 | ||||||
2,409 | Bajaj Auto Ltd. | 105,562 | ||||||
4,666 | Bajaj Finance Ltd. | 130,878 | ||||||
1,172 | Bajaj Finserv Ltd. | 101,274 | ||||||
3,342 | Bharat Forge Ltd. | 59,048 | ||||||
14,824 | Bharat Heavy Electricals Ltd. | 29,930 | ||||||
20,781 | Bharat Petroleum Corp., Ltd. | 171,585 | ||||||
32,381 | Bharti Airtel Ltd. | 216,118 | ||||||
369,409 | Bharti Infratel Ltd. | 2,176,370 | ||||||
224 | Bosch Ltd. | 76,740 | ||||||
5,174 | Cadila Healthcare Ltd. | 40,711 | ||||||
100,855 | Cholamandalam Investment and Finance Co., Ltd. | 1,843,382 | ||||||
10,212 | Cipla Ltd. | 91,638 | ||||||
17,538 | Coal India Ltd. | 65,229 | ||||||
1,051 | Container Corp. Of India Ltd. | 21,693 | ||||||
13,307 | Dabur India Ltd. | 65,728 | ||||||
3,259 | Dr Reddy’s Laboratories Ltd., ADR | 103,778 | ||||||
369 | Eicher Motors Ltd. | 181,620 | ||||||
14,080 | GAIL India Ltd. | 83,361 | ||||||
3,495 | Glenmark Pharmaceuticals Ltd.* | 33,289 | ||||||
6,006 | Godrej Consumer Products Ltd. | 87,652 | ||||||
8,709 | Grasim Industries Ltd. | 162,717 | ||||||
6,303 | Havells India Ltd. | 48,296 | ||||||
15,361 | HCL Technologies Ltd. | 205,383 | ||||||
93,000 | HDFC Bank Ltd. | 2,568,686 | ||||||
18,600 | HDFC Bank Ltd., ADR | 1,812,198 | ||||||
1,260 | Hero MotoCorp Ltd. | 78,665 | ||||||
32,091 | Hindalco Industries Ltd. | 119,793 | ||||||
17,031 | Hindustan Petroleum Corp., Ltd. | 130,053 | ||||||
20,548 | Hindustan Unilever Ltd. | 390,860 | ||||||
44,366 | Housing Development Finance Corp., Ltd. | 1,234,377 | ||||||
78,996 | ICICI Bank Ltd. | 370,211 | ||||||
42,338 | Idea Cellular Ltd. | 60,386 | ||||||
34,702 | IDFC Bank Ltd. | 29,778 | ||||||
8,874 | Indiabulls Housing Finance Ltd. | 168,202 | ||||||
16,581 | Indian Oil Corp., Ltd. | 118,242 | ||||||
54,987 | Infosys Ltd. | 790,802 | ||||||
101,413 | ITC Ltd. | 447,718 | ||||||
21,380 | JSW Steel Ltd. | 84,915 | ||||||
12,997 | Larsen & Toubro Ltd. | 230,747 | ||||||
7,539 | LIC Housing Finance Ltd. | 79,591 | ||||||
6,352 | Lupin Ltd. | 97,238 | ||||||
7,018 | Mahindra & Mahindra Financial Services Ltd. | 46,928 | ||||||
10,093 | Mahindra & Mahindra Ltd. | 212,333 | ||||||
11,385 | Marico Ltd. | 56,257 | ||||||
3,248 | Maruti Suzuki India Ltd. | 391,879 | ||||||
18,681 | Motherson Sumi Systems Ltd. | 89,731 |
See Notes to Financial Statements.
135
Schedules of Investments |
(continued) |
Emerging Markets Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
India — 5.9% — (continued) | ||||||||
584 | Nestle India Ltd. | $ | 64,905 | |||||
41,679 | NTPC Ltd. | 109,615 | ||||||
32,550 | Oil & Natural Gas Corp., Ltd. | 79,699 | ||||||
162,000 | Phoenix Mills Ltd.* | 1,304,872 | ||||||
2,408 | Piramal Enterprises Ltd. | 102,013 | ||||||
16,158 | Power Finance Corp., Ltd. | 30,762 | ||||||
38,230 | Reliance Industries Ltd. | 954,943 | ||||||
17,436 | Rural Electrification Corp., Ltd. | 46,052 | ||||||
211 | Shree Cement Ltd. | 57,973 | ||||||
3,722 | Shriram Transport Finance Co., Ltd. | 57,549 | ||||||
1,788 | Siemens Ltd. | 36,076 | ||||||
55,042 | State Bank of India | 240,163 | ||||||
52,000 | Strides Shasun Ltd.* | 736,969 | ||||||
28,501 | Sun Pharmaceutical Industries Ltd. | 214,961 | ||||||
118,313 | Syngene International Ltd., (Restricted, cost — $862,415, acquired 9/23/2016)(a)(h) | 827,736 | ||||||
14,196 | Tata Consultancy Services Ltd. | 554,894 | ||||||
48,552 | Tata Motors Ltd.* | 287,521 | ||||||
9,692 | Tata Motors Ltd., Class A Shares* | 33,159 | ||||||
28,154 | Tata Power Co., Ltd. | 34,875 | ||||||
7,620 | Tata Steel Ltd. | 76,133 | ||||||
11,467 | Tech Mahindra Ltd. | 76,645 | ||||||
7,849 | Titan Co., Ltd. | 75,990 | ||||||
3,162 | UltraTech Cement Ltd. | 197,791 | ||||||
1,671 | United Spirits Ltd.* | 66,437 | ||||||
12,511 | UPL Ltd. | 162,602 | ||||||
49,844 | Vedanta Ltd. | 241,286 | ||||||
32,765 | Wipro Ltd. | 152,540 | ||||||
9,297 | Yes Bank Ltd. | 254,263 | ||||||
14,516 | Zee Entertainment Enterprises Ltd. | 118,106 | ||||||
|
| |||||||
Total India | 28,633,047 | |||||||
|
| |||||||
Indonesia — 3.4% | ||||||||
363,400 | Adaro Energy Tbk PT | 49,772 | ||||||
44,800 | AKR Corporindo Tbk PT | 22,732 | ||||||
4,236,900 | Astra International Tbk PT | 2,503,925 | ||||||
292,900 | Bank Central Asia Tbk PT | 415,568 | ||||||
84,900 | Bank Danamon Indonesia Tbk PT | 34,654 | ||||||
3,242,462 | Bank Mandiri Persero Tbk PT | 3,189,284 | ||||||
241,100 | Bank Negara Indonesia Persero Tbk PT | 132,939 | ||||||
3,005,500 | Bank Rakyat Indonesia Persero Tbk PT | 3,413,193 | ||||||
192,800 | Bumi Serpong Damai Tbk PT | 26,547 | ||||||
186,200 | Charoen Pokphand Indonesia Tbk PT | 38,713 | ||||||
14,300 | Gudang Garam Tbk PT | 74,194 | ||||||
313,800 | Hanjaya Mandala Sampoerna Tbk PT | 85,520 | ||||||
50,100 | Indocement Tunggal Prakarsa Tbk PT | 74,274 | ||||||
58,600 | Indofood CBP Sukses Makmur Tbk PT | 38,329 | ||||||
146,800 | Indofood Sukses Makmur Tbk PT | 92,330 | ||||||
54,967 | Jasa Marga Persero Tbk PT | 24,012 | ||||||
715,400 | Kalbe Farma Tbk PT | 91,691 | ||||||
2,042,000 | Link Net Tbk PT | 761,302 | ||||||
464,800 | Lippo Karawaci Tbk PT | 27,344 | ||||||
69,778 | Matahari Department Store Tbk PT | 52,317 | ||||||
125,600 | Media Nusantara Citra Tbk PT | 14,040 | ||||||
615,200 | Pakuwon Jati Tbk PT | 30,971 | ||||||
275,400 | Perusahaan Gas Negara Persero Tbk | 43,733 | ||||||
1,468,200 | Semen Indonesia Persero Tbk PT | 1,151,987 |
See Notes to Financial Statements.
136
Schedules of Investments |
(continued) |
Emerging Markets Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
Indonesia — 3.4% — (continued) | ||||||||
254,000 | Summarecon Agung Tbk PT | $ | 19,935 | |||||
147,100 | Surya Citra Media Tbk PT | 24,401 | ||||||
1,484,487 | Telekomunikasi Indonesia Persero Tbk PT | 522,810 | ||||||
95,250 | Telekomunikasi Indonesia Persero Tbk PT, ADR | 3,364,230 | ||||||
60,800 | Tower Bersama Infrastructure Tbk PT | 29,318 | ||||||
42,300 | Unilever Indonesia Tbk PT | 160,195 | ||||||
50,600 | United Tractors Tbk PT | 114,985 | ||||||
119,000 | Waskita Karya Persero Tbk PT | 19,827 | ||||||
94,700 | XL Axiata Tbk PT* | 25,561 | ||||||
|
| |||||||
Total Indonesia | 16,670,633 | |||||||
|
| |||||||
Kenya — 0.6% | ||||||||
10,800,000 | Safaricom Ltd. | 2,685,653 | ||||||
|
| |||||||
Luxembourg — 0.2% | ||||||||
130,860 | Biotoscana Investments SA, BDR* | 1,122,423 | ||||||
|
| |||||||
Malaysia — 1.3% | ||||||||
46,100 | AirAsia Bhd | 35,939 | ||||||
25,600 | Alliance Financial Group Bhd | 23,057 | ||||||
46,100 | AMMB Holdings Bhd | 46,183 | ||||||
38,800 | Astro Malaysia Holdings Bhd | 24,371 | ||||||
94,700 | Axiata Group Bhd | 109,497 | ||||||
124,453 | British American Tobacco Malaysia Bhd | 1,287,618 | ||||||
116,807 | CIMB Group Holdings Bhd | 193,810 | ||||||
78,500 | Dialog Group Bhd | 37,725 | ||||||
88,600 | DiGi.Com Bhd | 100,583 | ||||||
32,100 | Felda Global Ventures Holdings Bhd | 11,692 | ||||||
52,500 | Gamuda Bhd | 65,627 | ||||||
70,400 | Genting Bhd | 159,779 | ||||||
84,200 | Genting Malaysia Bhd | 116,050 | ||||||
5,900 | Genting Plantations Bhd | 14,742 | ||||||
20,100 | HAP Seng Consolidated Bhd | 42,733 | ||||||
16,500 | Hartalega Holdings Bhd | 26,318 | ||||||
16,600 | Hong Leong Bank Bhd | 59,944 | ||||||
5,900 | Hong Leong Financial Group Bhd | 23,405 | ||||||
62,100 | IHH Healthcare Bhd | 86,969 | ||||||
72,500 | IJM Corp. Bhd | 56,784 | ||||||
56,900 | IOI Corp. Bhd | 60,652 | ||||||
48,750 | IOI Properties Group Bhd | 22,804 | ||||||
13,100 | Kuala Lumpur Kepong Bhd | 75,382 | ||||||
108,109 | Malayan Banking Bhd | 239,674 | ||||||
858,900 | Malaysia Airports Holdings Bhd | 1,814,419 | ||||||
47,600 | Maxis Bhd | 64,543 | ||||||
36,500 | MISC Bhd | 63,760 | ||||||
68,000 | Petronas Chemicals Group Bhd | 114,252 | ||||||
10,700 | Petronas Dagangan Bhd | 61,179 | ||||||
20,700 | Petronas Gas Bhd | 89,489 | ||||||
12,000 | PPB Group Bhd | 46,853 | ||||||
83,200 | Public Bank Bhd | 401,799 | ||||||
20,300 | RHB Bank Bhd | 24,043 | ||||||
109,600 | Sapura Energy Bhd | 35,589 | ||||||
77,200 | Sime Darby Bhd | 162,901 | ||||||
28,900 | Telekom Malaysia Bhd | 43,387 | ||||||
101,100 | Tenaga Nasional Bhd | 338,154 | ||||||
11,800 | UMW Holdings Bhd* | 16,823 | ||||||
25,800 | Westports Holdings Bhd | 22,731 |
See Notes to Financial Statements.
137
Schedules of Investments |
(continued) |
Emerging Markets Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
Malaysia — 1.3% — (continued) | ||||||||
109,000 | YTL Corp. Bhd | $ | 36,511 | |||||
52,300 | YTL Power International Bhd | 17,271 | ||||||
|
| |||||||
Total Malaysia | 6,275,042 | |||||||
|
| |||||||
Malta — 0.0% | ||||||||
11,154 | Brait SE* | 49,351 | ||||||
|
| |||||||
Mexico — 4.1% | ||||||||
83,514 | Alfa SAB de CV, Class A Shares | 116,751 | ||||||
216,344 | América Móvil SAB de CV, Class L Shares, ADR | 4,041,306 | ||||||
969,533 | América Móvil SAB de CV, Series L | 901,059 | ||||||
12,439 | Arca Continental SAB de CV | 90,759 | ||||||
160,000 | Banregio Grupo Financiero SAB de CV | 1,034,905 | ||||||
448,462 | Cemex SAB de CV* | 418,545 | ||||||
14,105 | Coca-Cola Femsa SAB de CV, Series L | 115,558 | ||||||
762,000 | Concentradora Hipotecaria SAPI de CV, REIT | 943,818 | ||||||
4,730 | El Puerto de Liverpool SAB de CV, Class C1 Shares | 42,105 | ||||||
71,100 | Fibra Uno Administracion SA de CV, REIT | 126,511 | ||||||
57,490 | Fomento Economico Mexicano SAB de CV | 575,640 | ||||||
20,140 | Fomento Económico Mexicano SAB de CV, ADR | 2,015,209 | ||||||
24,800 | Gentera SAB de CV | 38,192 | ||||||
5,475 | Gruma SAB de CV, Class B Shares | 80,290 | ||||||
10,314 | Grupo Aeroportuario del Pacifico SAB de CV, Class B Shares | 113,925 | ||||||
5,309 | Grupo Aeroportuario del Sureste SAB de CV, Class B Shares | 108,059 | ||||||
42,056 | Grupo Bimbo SAB de CV, Series A | 101,712 | ||||||
14,300 | Grupo Carso SAB de CV, Series A1 | 57,622 | ||||||
74,619 | Grupo Financiero Banorte SAB de CV, Class O Shares | 509,060 | ||||||
59,000 | Grupo Financiero Inbursa SAB de CV, Class O Shares | 98,812 | ||||||
45,271 | Grupo Financiero Santander Mexico SAB de CV, Class B Shares | 92,957 | ||||||
1,623 | Grupo Financiero Santander Mexico SAB de CV, Class B Shares, ADR | 16,733 | ||||||
15,700 | Grupo Lala SAB de CV, Class B Shares | 27,874 | ||||||
479,242 | Grupo México SAB de CV, Series B | 1,581,126 | ||||||
76,127 | Grupo Televisa SAB | 392,916 | ||||||
4,075 | Industrias Peñoles SAB de CV | 105,989 | ||||||
13,163 | Infraestructura Energetica Nova SAB de CV | 71,759 | ||||||
660,300 | Kimberly-Clark de México SAB de CV, Class A Shares | 1,297,486 | ||||||
�� | 27,162 | Mexichem SAB de CV | 72,298 | |||||
746,216 | PLA Administradora Industrial S de RL de CV, REIT* | 1,271,442 | ||||||
6,730 | Promotora y Operadora de Infraestructura SAB de CV | 73,528 | ||||||
530,000 | Qualitas Controladora SAB de CV | 917,268 | ||||||
641,000 | Unifin Financiera SAB de CV SOFOM ENR | 2,204,412 | ||||||
154,381 | Wal-Mart de Mexico SAB de CV | 375,528 | ||||||
|
| |||||||
Total Mexico | 20,031,154 | |||||||
|
| |||||||
Pakistan — 0.6% | ||||||||
7,300 | Engro Corp., Ltd. | 19,655 | ||||||
443,135 | Habib Bank Ltd. | 748,262 | ||||||
3,299 | Lucky Cement Ltd. | 18,726 | ||||||
10,100 | MCB Bank Ltd. | 18,577 | ||||||
576,462 | Oil & Gas Development Co., Ltd. | 773,171 | ||||||
836,516 | Pakistan Petroleum Ltd. | 1,315,528 | ||||||
12,400 | United Bank Ltd. | 21,981 | ||||||
|
| |||||||
Total Pakistan | 2,915,900 | |||||||
|
| |||||||
Peru — 0.5% | ||||||||
5,924 | Cia de Minas Buenaventura SAA, ADR | 79,559 | ||||||
11,732 | Credicorp Ltd. | 2,379,719 |
See Notes to Financial Statements.
138
Schedules of Investments |
(continued) |
Emerging Markets Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
Peru — 0.5% — (continued) | ||||||||
2,502 | Southern Copper Corp. | $ | 101,832 | |||||
|
| |||||||
Total Peru | 2,561,110 | |||||||
|
| |||||||
Philippines — 1.8% | ||||||||
49,060 | Aboitiz Equity Ventures Inc. | 71,497 | ||||||
37,300 | Aboitiz Power Corp. | 28,813 | ||||||
110,700 | Alliance Global Group Inc.* | 30,091 | ||||||
6,970 | Ayala Corp. | 125,522 | ||||||
2,508,800 | Ayala Land Inc. | 2,062,842 | ||||||
41,850 | Bank of the Philippine Islands | 86,674 | ||||||
73,164 | BDO Unibank Inc. | 181,885 | ||||||
101,900 | DMCI Holdings Inc. | 31,263 | ||||||
238,200 | Energy Development Corp. | 31,593 | ||||||
845 | Globe Telecom Inc. | 33,051 | ||||||
2,505 | GT Capital Holdings Inc. | 54,768 | ||||||
894,340 | International Container Terminal Services Inc. | 1,826,388 | ||||||
80,180 | JG Summit Holdings Inc. | 112,538 | ||||||
10,760 | Jollibee Foods Corp. | 50,176 | ||||||
284,600 | Megaworld Corp. | 27,545 | ||||||
419,500 | Metro Pacific Investments Corp. | 52,184 | ||||||
16,230 | Metropolitan Bank & Trust Co. | 27,823 | ||||||
2,465 | PLDT Inc. | 83,082 | ||||||
43,176 | PLDT Inc., ADR | 1,444,237 | ||||||
41,400 | Robinsons Land Corp. | 18,834 | ||||||
1,076,000 | Robinsons Retail Holdings Inc. | 1,909,590 | ||||||
2,890 | Security Bank Corp. | 14,155 | ||||||
6,870 | SM Investments Corp. | 108,897 | ||||||
229,700 | SM Prime Holdings Inc. | 150,089 | ||||||
22,070 | Universal Robina Corp. | 63,058 | ||||||
|
| |||||||
Total Philippines | 8,626,595 | |||||||
|
| |||||||
Poland — 0.6% | ||||||||
2,267 | Alior Bank SA* | 41,932 | ||||||
839 | Bank Handlowy w Warszawie SA | 16,695 | ||||||
15,277 | Bank Millennium SA* | 31,884 | ||||||
4,354 | Bank Pekao SA | 156,219 | ||||||
1,001 | Bank Zachodni WBK SA | 103,799 | ||||||
1,466 | CCC SA* | 107,745 | ||||||
6,582 | Cyfrowy Polsat SA | 49,437 | ||||||
1,916 | Eurocash SA | 21,038 | ||||||
1,123 | Grupa Azoty SA | 21,681 | ||||||
2,342 | Grupa Lotos SA* | 38,634 | ||||||
1,350 | Jastrzebska Spolka Weglowa SA* | 39,408 | ||||||
3,950 | KGHM Polska Miedz SA | 139,752 | ||||||
10,574 | KRUK SA | 1,010,694 | ||||||
60 | LPP SA | 146,885 | ||||||
371 | mBank SA* | 45,617 | ||||||
16,889 | Orange Polska SA* | 28,375 | ||||||
21,259 | PGE Polska Grupa Energetyczna SA | 84,990 | ||||||
8,196 | Polski Koncern Naftowy ORLEN SA | 270,715 | ||||||
44,416 | Polskie Gornictwo Naftowe i Gazownictwo SA | 84,979 | ||||||
31,372 | Powszechna Kasa Oszczednosci Bank Polski SA* | 322,500 | ||||||
18,114 | Powszechny Zaklad Ubezpieczen SA | 246,374 | ||||||
14,745 | Synthos SA | 19,761 | ||||||
26,657 | Tauron Polska Energia SA* | 29,297 | ||||||
|
| |||||||
Total Poland | 3,058,411 | |||||||
|
|
See Notes to Financial Statements.
139
Schedules of Investments |
(continued) |
Emerging Markets Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
Qatar — 0.2% | ||||||||
2,730 | Barwa Real Estate Co. | $ | 23,471 | |||||
6,934 | Commercial Bank QSC* | 55,934 | ||||||
24,295 | Ezdan Holding Group QSC | 74,099 | ||||||
3,938 | Industries Qatar QSC | 96,840 | ||||||
11,103 | Masraf Al Rayan QSC | 115,049 | ||||||
2,589 | Ooredoo QSC | 61,738 | ||||||
737 | Qatar Electricity & Water Co. QSC | 37,192 | ||||||
5,134 | Qatar Gas Transport Co., Ltd. | 23,657 | ||||||
3,533 | Qatar Insurance Co. SAQ | 63,257 | ||||||
2,085 | Qatar Islamic Bank SAQ | 52,670 | ||||||
6,625 | Qatar National Bank QPSC | 234,367 | ||||||
|
| |||||||
Total Qatar | 838,274 | |||||||
|
| |||||||
Romania — 0.0% | ||||||||
6,036 | NEPI Rockcastle PLC* | 87,449 | ||||||
|
| |||||||
Russia — 4.9% | ||||||||
878,426 | Alrosa PJSC | 1,229,832 | ||||||
305,593 | Gazprom PJSC | 621,583 | ||||||
290,851 | Gazprom PJSC, ADR | 1,160,732 | ||||||
940,688 | Inter RAO UES PJSC | 63,742 | ||||||
11,915 | Lukoil PJSC | 604,087 | ||||||
58,605 | Lukoil PJSC, ADR | 2,946,073 | ||||||
45,675 | Magnit PJSC, Class Registered Shares, GDR | 1,909,444 | ||||||
1,714 | MMC Norilsk Nickel PJSC | 289,320 | ||||||
285,764 | Mobile TeleSystems PJSC, ADR | 2,854,782 | ||||||
42,729 | Moscow Exchange MICEX-RTS PJSC | 77,644 | ||||||
2,772 | Novatek PJSC, Class Registered Shares, GDR | 293,243 | ||||||
36,979 | Novolipetsk Steel PJSC | 89,211 | ||||||
3,394 | PhosAgro PJSC, Class Registered Shares, GDR | 47,187 | ||||||
27,023 | Rosneft Oil Co. PJSC | 141,642 | ||||||
33,202 | Rostelecom PJSC | 38,355 | ||||||
3,540,320 | RusHydro PJSC | 50,708 | ||||||
1,851,981 | Sberbank of Russia PJSC | 5,859,772 | ||||||
284,610 | Sberbank of Russia PJSC, ADR | 3,862,990 | ||||||
5,290 | Severstal PJSC | 83,001 | ||||||
4,280 | Sistema PJSC FC, Class Registered Shares, GDR | 17,769 | ||||||
208,839 | Surgutneftegas OJSC | 97,221 | ||||||
1 | T Plus PJSC*(d)(g) | — | ||||||
46,160 | Tatneft PJSC | 308,803 | ||||||
119,395,647 | VTB Bank PJSC | 132,887 | ||||||
39,100 | Yandex NV, Class A Shares* | 1,173,391 | ||||||
|
| |||||||
Total Russia | 23,953,419 | |||||||
|
| |||||||
South Africa — 7.1% | ||||||||
621,000 | Advtech Ltd. | 868,408 | ||||||
1,362 | Anglo American Platinum Ltd.* | 36,896 | ||||||
11,988 | AngloGold Ashanti Ltd. | 121,800 | ||||||
11,231 | Aspen Pharmacare Holdings Ltd. | 250,457 | ||||||
18,461 | Barclays Africa Group Ltd. | 210,692 | ||||||
10,547 | Bid Corp., Ltd. | 239,529 | ||||||
125,499 | Bidvest Group Ltd. | 1,654,466 | ||||||
1,019 | Capitec Bank Holdings Ltd. | 70,543 | ||||||
5,703 | Coronation Fund Managers Ltd. | 30,856 | ||||||
10,222 | Discovery Ltd. | 118,393 | ||||||
5,107 | Exxaro Resources Ltd. | 51,284 | ||||||
106,771 | FirstRand Ltd. | 456,151 |
See Notes to Financial Statements.
140
Schedules of Investments |
(continued) |
Emerging Markets Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
South Africa — 7.1% — (continued) | ||||||||
24,223 | Fortress Income Fund Ltd., REIT, Class A Shares | $ | 32,653 | |||||
23,833 | Fortress Income Fund Ltd., REIT, Class B Shares | 72,191 | ||||||
6,660 | Foschini Group Ltd. | 78,348 | ||||||
20,989 | Gold Fields Ltd. | 93,347 | ||||||
59,940 | Growthpoint Properties Ltd., REIT | 115,863 | ||||||
7,453 | Hyprop Investments Ltd., REIT | 65,376 | ||||||
15,793 | Impala Platinum Holdings Ltd.* | 48,761 | ||||||
132,391 | Imperial Holdings Ltd. | 2,124,310 | ||||||
7,975 | Investec Ltd. | 60,726 | ||||||
4,363 | Liberty Holdings Ltd. | 34,769 | ||||||
628,340 | Life Healthcare Group Holdings Ltd. | 1,274,225 | ||||||
2,726 | Massmart Holdings Ltd. | 25,479 | ||||||
26,001 | MMI Holdings Ltd. | 41,600 | ||||||
2,995 | Mondi Ltd. | 81,589 | ||||||
6,081 | Mr Price Group Ltd. | 84,730 | ||||||
52,120 | MTN Group Ltd.(c) | 517,912 | ||||||
37,014 | Naspers Ltd., Class N Shares | 8,343,572 | ||||||
83,533 | Nedbank Group Ltd. | 1,412,493 | ||||||
30,506 | Netcare Ltd. | 56,532 | ||||||
9,359 | Pick n Pay Stores Ltd. | 45,964 | ||||||
3,220 | Pioneer Foods Group Ltd. | 31,360 | ||||||
1,404,015 | PPC Ltd.* | 613,268 | ||||||
2,310 | PSG Group Ltd. | 44,789 | ||||||
20,832 | Rand Merchant Investment Holdings Ltd. | 66,662 | ||||||
145,653 | Redefine Properties Ltd., REIT | 119,336 | ||||||
15,304 | Remgro Ltd. | 255,765 | ||||||
8,617 | Resilient REIT Ltd. | 82,835 | ||||||
620,000 | Rhodes Food Group Pty Ltd. | 1,119,778 | ||||||
20,754 | RMB Holdings Ltd. | 105,827 | ||||||
313,686 | Sanlam Ltd. | 1,732,518 | ||||||
15,522 | Sappi Ltd. | 104,144 | ||||||
16,913 | Sasol Ltd. | 510,296 | ||||||
202,420 | Shoprite Holdings Ltd. | 3,508,084 | ||||||
46,596 | Sibanye Gold Ltd. | 74,237 | ||||||
5,711 | SPAR Group Ltd. | 74,211 | ||||||
157,182 | Standard Bank Group Ltd. | 2,024,368 | ||||||
91,462 | Steinhoff International Holdings NV | 442,095 | ||||||
6,698 | Telkom SA SOC Ltd. | 32,314 | ||||||
4,606 | Tiger Brands Ltd. | 142,713 | ||||||
1,013,173 | Transaction Capital Ltd. | 1,164,236 | ||||||
11,641 | Truworths International Ltd. | 74,299 | ||||||
155,684 | Vodacom Group Ltd. | 2,173,196 | ||||||
262,347 | Woolworths Holdings Ltd. | 1,194,353 | ||||||
|
| |||||||
Total South Africa | 34,410,599 | |||||||
|
| |||||||
South Korea — 9.8% | ||||||||
888 | Amorepacific Corp. | 227,467 | ||||||
801 | AMOREPACIFIC Group | 95,263 | ||||||
623 | BGF retail Co., Ltd. | 50,483 | ||||||
7,996 | BNK Financial Group Inc. | 70,046 | ||||||
2,175 | Celltrion Inc.*(c) | 222,305 | ||||||
1,752 | Cheil Worldwide Inc. | 29,618 | ||||||
238 | CJ CheilJedang Corp. | 76,761 | ||||||
488 | CJ Corp. | 77,077 | ||||||
479 | CJ E&M Corp. | 32,446 | ||||||
248 | CJ Logistics Corp.* | 37,247 |
See Notes to Financial Statements.
141
Schedules of Investments |
(continued) |
Emerging Markets Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
South Korea — 9.8% — (continued) | ||||||||
26,892 | Coway Co., Ltd. | $ | 2,365,740 | |||||
950 | Daelim Industrial Co., Ltd. | 70,770 | ||||||
3,187 | Daewoo Engineering & Construction Co., Ltd.* | 19,919 | ||||||
4,444 | DGB Financial Group Inc. | 43,582 | ||||||
1,253 | Dongbu Insurance Co., Ltd. | 84,015 | ||||||
890 | Dongsuh Cos., Inc. | 20,973 | ||||||
1,818 | Doosan Heavy Industries & Construction Co., Ltd. | 29,198 | ||||||
580 | E-MART Inc. | 115,925 | ||||||
1,257 | GS Engineering & Construction Corp.* | 31,980 | ||||||
1,305 | GS Holdings Corp. | 81,902 | ||||||
684 | GS Retail Co., Ltd. | 24,565 | ||||||
9,302 | Hana Financial Group Inc. | 405,246 | ||||||
2,119 | Hankook Tire Co., Ltd. | 111,164 | ||||||
176 | Hanmi Pharm Co., Ltd.*(c) | 63,310 | ||||||
314 | Hanmi Science Co., Ltd.*(c) | 25,120 | ||||||
4,728 | Hanon Systems | 48,697 | ||||||
268 | Hanssem Co., Ltd. | 40,516 | ||||||
2,668 | Hanwha Chemical Corp. | 84,276 | ||||||
1,147 | Hanwha Corp. | 50,389 | ||||||
229,365 | Hanwha Life Insurance Co., Ltd. | 1,489,539 | ||||||
1,490 | Hanwha Techwin Co., Ltd.* | 51,453 | ||||||
844 | Hotel Shilla Co., Ltd. | 46,432 | ||||||
534 | Hyosung Corp. | 75,620 | ||||||
389 | Hyundai Department Store Co., Ltd. | 33,449 | ||||||
1,987 | Hyundai Development Co.-Engineering & Construction | 66,746 | ||||||
2,158 | Hyundai Engineering & Construction Co., Ltd. | 77,934 | ||||||
569 | Hyundai Glovis Co., Ltd. | 78,714 | ||||||
876 | Hyundai Heavy Industries Co., Ltd.* | 116,373 | ||||||
1,582 | Hyundai Marine & Fire Insurance Co., Ltd. | 64,974 | ||||||
12,816 | Hyundai Mobis Co., Ltd. | 2,689,701 | ||||||
4,678 | Hyundai Motor Co. | 584,925 | ||||||
269 | Hyundai Robotics Co., Ltd.* | 106,316 | ||||||
2,277 | Hyundai Steel Co. | 117,435 | ||||||
416 | Hyundai Wia Corp. | 25,966 | ||||||
6,416 | Industrial Bank of Korea | 85,589 | ||||||
931 | Kakao Corp. | 102,406 | ||||||
3,383 | Kangwon Land Inc. | 103,795 | ||||||
57,431 | KB Financial Group Inc. | 2,830,558 | ||||||
184 | KCC Corp. | 64,760 | ||||||
571 | KEPCO Plant Service & Engineering Co., Ltd. | 23,291 | ||||||
8,593 | Kia Motors Corp. | 270,857 | ||||||
1,969 | Korea Aerospace Industries Ltd. | 80,808 | ||||||
6,942 | Korea Electric Power Corp. | 266,264 | ||||||
714 | Korea Gas Corp.* | 28,847 | ||||||
993 | Korea Investment Holdings Co., Ltd. | 57,899 | ||||||
217 | Korea Zinc Co., Ltd. | 99,592 | ||||||
1,791 | Korean Air Lines Co., Ltd.* | 53,071 | ||||||
14,526 | KT&G Corp. | 1,478,838 | ||||||
465 | Kumho Petrochemical Co., Ltd. | 32,624 | ||||||
1,441 | LG Chem Ltd. | 485,148 | ||||||
2,619 | LG Corp. | 195,409 | ||||||
6,357 | LG Display Co., Ltd. | 177,628 | ||||||
2,913 | LG Electronics Inc. | 212,197 | ||||||
260 | LG Household & Health Care Ltd. | 222,069 | ||||||
360 | LG Innotek Co., Ltd. | 59,597 | ||||||
431 | Lotte Chemical Corp. | 153,008 |
See Notes to Financial Statements.
142
Schedules of Investments |
(continued) |
Emerging Markets Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
South Korea — 9.8% — (continued) | ||||||||
16 | Lotte Chilsung Beverage Co., Ltd. | $ | 22,014 | |||||
145 | Lotte Confectionery Co., Ltd. | 25,459 | ||||||
350 | Lotte Shopping Co., Ltd. | 80,050 | ||||||
107 | Medy-Tox Inc. | 54,070 | ||||||
9,834 | Mirae Asset Daewoo Co., Ltd. | 89,482 | ||||||
841 | NAVER Corp. | 566,901 | ||||||
571 | NCSoft Corp. | 195,881 | ||||||
528 | Netmarble Games Corp.*(a) | 72,641 | ||||||
3,589 | NH Investment & Securities Co., Ltd. | 44,373 | ||||||
582 | OCI Co., Ltd. | 51,061 | ||||||
598 | Orion Corp.* | 46,436 | ||||||
31 | Ottogi Corp. | 20,966 | ||||||
11,505 | Pan Ocean Co., Ltd.* | 65,980 | ||||||
2,241 | POSCO | 682,351 | ||||||
1,157 | Posco Daewoo Corp. | 21,787 | ||||||
482 | S-1 Corp. | 38,423 | ||||||
2,374 | Samsung Biologics Co., Ltd.*(a) | 600,710 | ||||||
2,441 | Samsung C&T Corp. | 281,474 | ||||||
884 | Samsung Card Co., Ltd. | 29,144 | ||||||
1,888 | Samsung Electro-Mechanics Co., Ltd. | 171,025 | ||||||
7,850 | Samsung Electronics Co., Ltd. | 16,258,420 | ||||||
847 | Samsung Fire & Marine Insurance Co., Ltd. | 208,807 | ||||||
7,320 | Samsung Heavy Industries Co., Ltd.* | 70,017 | ||||||
1,906 | Samsung Life Insurance Co., Ltd. | 195,681 | ||||||
1,617 | Samsung SDI Co., Ltd. | 284,218 | ||||||
966 | Samsung SDS Co., Ltd. | 144,743 | ||||||
2,009 | Samsung Securities Co., Ltd. | 65,677 | ||||||
83,980 | Shinhan Financial Group Co., Ltd. | 3,880,018 | ||||||
188 | Shinsegae Inc. | 32,242 | ||||||
868 | SK Holdings Co., Ltd. | 206,311 | ||||||
75,095 | SK Hynix Inc. | 4,634,287 | ||||||
2,060 | SK Innovation Co., Ltd. | 345,755 | ||||||
5,190 | SK Networks Co., Ltd. | 32,434 | ||||||
572 | SK Telecom Co., Ltd. | 129,355 | ||||||
1,316 | S-Oil Corp. | 147,140 | ||||||
11,225 | Soulbrain Co., Ltd. | 647,843 | ||||||
9,772 | Woori Bank | 161,485 | ||||||
300 | Yuhan Corp. | 60,409 | ||||||
|
| |||||||
Total South Korea | 48,010,902 | |||||||
|
| |||||||
Spain — 0.7% | ||||||||
131,201 | CIE Automotive SA | 3,290,906 | ||||||
|
| |||||||
Switzerland — 0.5% | ||||||||
13,300 | Luxoft Holding Inc., Class A Shares* | 673,645 | ||||||
46,800 | Wizz Air Holdings PLC, (Restricted, cost — $944,144, acquired 8/2/2016)*(a)(h) | 1,784,145 | ||||||
|
| |||||||
Total Switzerland | 2,457,790 | |||||||
|
| |||||||
Taiwan — 7.8% | ||||||||
74,000 | Acer Inc.* | 37,405 | ||||||
177,997 | Advanced Semiconductor Engineering Inc. | 215,240 | ||||||
8,799 | Advantech Co., Ltd. | 65,165 | ||||||
110,574 | Airtac International Group | 1,546,058 | ||||||
60,000 | Asia Cement Corp. | 54,534 | ||||||
54,000 | Asia Pacific Telecom Co., Ltd.* | 18,586 | ||||||
20,000 | Asustek Computer Inc. | 165,915 | ||||||
267,000 | AU Optronics Corp. | 109,745 |
See Notes to Financial Statements.
143
Schedules of Investments |
(continued) |
Emerging Markets Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
Taiwan — 7.8% — (continued) | ||||||||
455,000 | Basso Industry Corp. | $ | 1,358,606 | |||||
20,000 | Catcher Technology Co., Ltd. | 255,917 | ||||||
248,000 | Cathay Financial Holding Co., Ltd. | 405,629 | ||||||
31,000 | Chailease Holding Co., Ltd. | 84,869 | ||||||
131,334 | Chang Hwa Commercial Bank Ltd. | 71,919 | ||||||
67,000 | Cheng Shin Rubber Industry Co., Ltd. | 135,210 | ||||||
13,065 | Chicony Electronics Co., Ltd. | 32,940 | ||||||
67,000 | China Airlines Ltd.* | 28,485 | ||||||
345,000 | China Development Financial Holding Corp. | 108,079 | ||||||
88,000 | China Life Insurance Co., Ltd. | 97,556 | ||||||
376,000 | China Steel Corp. | 316,136 | ||||||
360,000 | Chroma ATE Inc. | 1,238,412 | ||||||
112,000 | Chunghwa Telecom Co., Ltd. | 390,004 | ||||||
108,000 | Compal Electronics Inc. | 77,862 | ||||||
545,880 | CTBC Financial Holding Co., Ltd. | 354,279 | ||||||
62,000 | Delta Electronics Inc. | 341,539 | ||||||
249,100 | E.Sun Financial Holding Co., Ltd. | 153,896 | ||||||
5,100 | Eclat Textile Co., Ltd. | 62,811 | ||||||
52,993 | Eva Airways Corp. | 27,619 | ||||||
44,000 | Evergreen Marine Corp. Taiwan Ltd.* | 33,740 | ||||||
98,000 | Far Eastern New Century Corp. | 78,695 | ||||||
41,000 | Far EasTone Telecommunications Co., Ltd. | 99,602 | ||||||
11,000 | Feng TAY Enterprise Co., Ltd. | 52,329 | ||||||
248,354 | First Financial Holding Co., Ltd. | 161,839 | ||||||
81,000 | Formosa Chemicals & Fibre Corp. | 255,366 | ||||||
36,000 | Formosa Petrochemical Corp. | 127,519 | ||||||
128,000 | Formosa Plastics Corp. | 399,533 | ||||||
20,000 | Formosa Taffeta Co., Ltd. | 19,915 | ||||||
23,230 | Foxconn Technology Co., Ltd. | 74,097 | ||||||
211,000 | Fubon Financial Holding Co., Ltd. | 340,582 | ||||||
5,000 | General Interface Solution Holding Ltd.* | 59,977 | ||||||
11,000 | Giant Manufacturing Co., Ltd. | 55,719 | ||||||
6,000 | Globalwafers Co., Ltd. | 48,070 | ||||||
21,000 | Highwealth Construction Corp.* | 33,498 | ||||||
7,242 | Hiwin Technologies Corp. | 64,538 | ||||||
923,825 | Hon Hai Precision Industry Co., Ltd. | 3,626,448 | ||||||
8,000 | Hotai Motor Co., Ltd. | 94,654 | ||||||
17,000 | HTC Corp.* | 38,761 | ||||||
196,257 | Hua Nan Financial Holdings Co., Ltd. | 109,863 | ||||||
268,000 | Innolux Corp. | 130,802 | ||||||
79,000 | Inventec Corp. | 63,163 | ||||||
14,541 | Largan Precision Co., Ltd. | 2,821,902 | ||||||
61,264 | Lite-On Technology Corp. | 90,983 | ||||||
45,000 | MediaTek Inc. | 405,717 | ||||||
332,000 | Mega Financial Holding Co., Ltd. | 267,707 | ||||||
5,000 | Merida Industry Co., Ltd. | 22,063 | ||||||
17,000 | Micro-Star International Co., Ltd. | 38,959 | ||||||
147,000 | Nan Ya Plastics Corp. | 372,079 | ||||||
17,000 | Nanya Technology Corp. | 36,638 | ||||||
4,000 | Nien Made Enterprise Co., Ltd. | 43,247 | ||||||
15,000 | Novatek Microelectronics Corp. | 58,662 | ||||||
54,000 | Pegatron Corp. | 171,026 | ||||||
4,000 | Phison Electronics Corp. | 54,281 | ||||||
56,000 | Pou Chen Corp. | 72,802 | ||||||
17,000 | Powertech Technology Inc. | 51,857 | ||||||
141,360 | Poya International Co., Ltd. | 1,841,646 |
See Notes to Financial Statements.
144
Schedules of Investments |
(continued) |
Emerging Markets Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
Taiwan — 7.8% — (continued) | ||||||||
16,539 | President Chain Store Corp. | $ | 138,879 | |||||
74,000 | Quanta Computer Inc. | 168,928 | ||||||
11,000 | Realtek Semiconductor Corp. | 42,823 | ||||||
25,200 | Ruentex Development Co., Ltd.* | 24,746 | ||||||
14,000 | Ruentex Industries Ltd.* | 22,599 | ||||||
209,000 | Shin Kong Financial Holding Co., Ltd. | 60,965 | ||||||
56,000 | Siliconware Precision Industries Co., Ltd. | 88,858 | ||||||
258,300 | SinoPac Financial Holdings Co., Ltd.* | 83,180 | ||||||
16,629 | Standard Foods Corp. | 42,555 | ||||||
35,700 | Synnex Technology International Corp. | 40,015 | ||||||
7,000 | TaiMed Biologics Inc.* | 50,543 | ||||||
260,417 | Taishin Financial Holding Co., Ltd. | 115,929 | ||||||
104,905 | Taiwan Business Bank | 29,050 | ||||||
84,000 | Taiwan Cement Corp. | 97,244 | ||||||
227,434 | Taiwan Cooperative Financial Holding Co., Ltd. | 120,114 | ||||||
19,000 | Taiwan Fertilizer Co., Ltd. | 25,381 | ||||||
45,000 | Taiwan High Speed Rail Corp. | 39,804 | ||||||
54,000 | Taiwan Mobile Co., Ltd. | 193,751 | ||||||
2,161,132 | Taiwan Semiconductor Manufacturing Co., Ltd. | 15,579,526 | ||||||
48,000 | Teco Electric and Machinery Co., Ltd. | 44,948 | ||||||
5,000 | Transcend Information Inc. | 14,942 | ||||||
154,000 | Uni-President Enterprises Corp. | 328,572 | ||||||
438,000 | United Microelectronics Corp. | 220,013 | ||||||
23,000 | Vanguard International Semiconductor Corp. | 41,674 | ||||||
78,069 | Wistron Corp. | 74,043 | ||||||
38,000 | WPG Holdings Ltd. | 49,692 | ||||||
280,000 | Yuanta Financial Holding Co., Ltd. | 121,932 | ||||||
22,000 | Yulon Motor Co., Ltd. | 19,008 | ||||||
10,000 | Zhen Ding Technology Holding Ltd. | 23,276 | ||||||
|
| |||||||
Total Taiwan | 37,975,685 | |||||||
|
| |||||||
Thailand — 2.2% | ||||||||
28,600 | Advanced Info Service PCL, NVDR(c) | 161,663 | ||||||
123,000 | Airports of Thailand PCL, NVDR | 202,215 | ||||||
14,400 | Bangkok Bank PCL, Class Registered Shares | 81,270 | ||||||
97,700 | Bangkok Dusit Medical Services PCL, NVDR | 61,517 | ||||||
173,300 | Bangkok Expressway & Metro PCL, NVDR | 40,769 | ||||||
62,000 | Banpu PCL, NVDR | 32,904 | ||||||
61,900 | BEC World PCL, NVDR | 32,304 | ||||||
34,400 | Berli Jucker PCL, NVDR | 51,084 | ||||||
149,400 | BTS Group Holdings PCL, NVDR(c) | 38,942 | ||||||
9,000 | Bumrungrad Hospital PCL, NVDR | 59,112 | ||||||
39,800 | Central Pattana PCL, NVDR | 86,377 | ||||||
68,400 | Charoen Pokphand Foods PCL, NVDR | 56,201 | ||||||
2,189,800 | CP ALL PCL, NVDR | 4,091,122 | ||||||
12,600 | Delta Electronics Thailand PCL, NVDR | 33,853 | ||||||
6,100 | Electricity Generating PCL, NVDR | 43,008 | ||||||
42,300 | Energy Absolute PCL, NVDR | 48,165 | ||||||
17,400 | Glow Energy PCL, NVDR | 44,974 | ||||||
143,100 | Home Product Center PCL, NVDR | 43,112 | ||||||
36,400 | Indorama Ventures PCL, NVDR | 42,767 | ||||||
254,400 | IRPC PCL, NVDR | 45,635 | ||||||
149,300 | Kasikornbank PCL | 949,063 | ||||||
16,600 | Kasikornbank PCL, NVDR | 100,646 | ||||||
12,300 | KCE Electronics PCL, NVDR | 32,426 | ||||||
89,600 | Krung Thai Bank PCL, NVDR | 50,491 |
See Notes to Financial Statements.
145
Schedules of Investments |
(continued) |
Emerging Markets Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
Thailand — 2.2% — (continued) | ||||||||
54,200 | Minor International PCL, NVDR | $ | 64,955 | |||||
35,500 | PTT Exploration & Production PCL, NVDR | 93,678 | ||||||
52,500 | PTT Global Chemical PCL, NVDR | 121,110 | ||||||
30,300 | PTT PCL, NVDR | 364,508 | ||||||
20,200 | Robinson PCL, NVDR | 35,018 | ||||||
92,000 | Siam Cement PCL, Class Registered Shares | 1,385,604 | ||||||
2,800 | Siam Cement PCL, NVDR | 42,212 | ||||||
45,100 | Siam Commercial Bank PCL, NVDR | 204,673 | ||||||
1,167,920 | Srisawad Corp. PCL, NVDR(c) | 1,803,045 | ||||||
20,700 | Thai Oil PCL, NVDR | 58,858 | ||||||
48,400 | Thai Union Group PCL, NVDR | 28,881 | ||||||
597,100 | TMB Bank PCL, NVDR | 42,455 | ||||||
253,200 | True Corp. PCL, NVDR*(c) | 42,765 | ||||||
|
| |||||||
Total Thailand | 10,717,382 | |||||||
|
| |||||||
Turkey — 3.5% | ||||||||
687,732 | Akbank Turk AS | 2,063,738 | ||||||
5,229 | Anadolu Efes Biracilik Ve Malt Sanayii AS | 32,099 | ||||||
5,951 | Arcelik AS | 41,407 | ||||||
7,996 | Aselsan Elektronik Sanayi Ve Ticaret AS | 62,571 | ||||||
158,000 | AvivaSA Emeklilik ve Hayat AS | 950,878 | ||||||
6,058 | BIM Birlesik Magazalar AS | 134,273 | ||||||
1,916 | Coca-Cola Icecek AS | 22,285 | ||||||
47,768 | Emlak Konut Gayrimenkul Yatirim Ortakligi AS, REIT* | 40,726 | ||||||
35,358 | Eregli Demir ve Celik Fabrikalari TAS | 84,284 | ||||||
1,793 | Ford Otomotiv Sanayi AS | 24,701 | ||||||
27,526 | Haci Ömer Sabanci Holding AS | 84,542 | ||||||
346,916 | KOC Holding AS | 1,814,407 | ||||||
24,266 | Petkim Petrokimya Holding AS | 43,888 | ||||||
4,165 | TAV Havalimanlari Holding AS | 25,629 | ||||||
202,122 | Tofas Turk Otomobil Fabrikasi AS | 1,849,999 | ||||||
46,550 | Tüpras Türkiye Petrol Rafinerileri AS | 1,583,033 | ||||||
14,117 | Turk Hava Yollari AO* | 39,930 | ||||||
655,144 | Türk Telekomunikasyon AS* | 1,363,059 | ||||||
466,065 | Turkcell Iletisim Hizmetleri AS | 1,767,583 | ||||||
64,600 | Türkiye Garanti Bankasi AS | 201,239 | ||||||
19,428 | Türkiye Halk Bankasi AS | 83,512 | ||||||
762,159 | Türkiye Is Bankasi, Class C Shares | 1,655,957 | ||||||
4,814,097 | Turkiye Sinai Kalkinma Bankasi AS | 2,117,939 | ||||||
19,993 | Türkiye Sise ve Cam Fabrikalari AS | 25,728 | ||||||
19,105 | Türkiye Vakiflar Bankasi TAO, Class D Shares | 39,908 | ||||||
133,889 | Ulker Biskuvi Sanayi AS | 801,140 | ||||||
22,103 | Yapi ve Kredi Bankasi AS* | 31,163 | ||||||
|
| |||||||
Total Turkey | 16,985,618 | |||||||
|
| |||||||
United Arab Emirates — 0.4% | ||||||||
58,506 | Abu Dhabi Commercial Bank PJSC | 116,726 | ||||||
99,441 | Aldar Properties PJSC | 62,657 | ||||||
64,729 | DAMAC Properties Dubai Co. PJSC | 71,304 | ||||||
4,206 | DP World Ltd. | 96,602 | ||||||
39,533 | Dubai Islamic Bank PJSC | 65,638 | ||||||
67,240 | Emaar Malls PJSC | 45,100 | ||||||
97,857 | Emaar Properties PJSC | 227,233 | ||||||
47,769 | Emirates Telecommunications Group Co. PJSC | 234,472 | ||||||
45,807 | First Abu Dhabi Bank PJSC | 129,759 | ||||||
32,000 | NMC Health PLC | 1,129,774 | ||||||
|
| |||||||
Total United Arab Emirates | 2,179,265 | |||||||
|
|
See Notes to Financial Statements.
146
Schedules of Investments |
(continued) |
Emerging Markets Equity Fund | ||||||||
Shares/Units | Security | Value | ||||||
United States — 0.5% | ||||||||
536,400 | Samsonite International SA | $ | 2,190,432 | |||||
11,347 | Yum China Holdings Inc.* | 401,230 | ||||||
|
| |||||||
Total United States | 2,591,662 | |||||||
|
| |||||||
TOTAL COMMON STOCKS (Cost — $338,935,366) | 456,540,954 | |||||||
|
| |||||||
PREFERRED STOCKS — 3.4% | ||||||||
Brazil — 1.0% | ||||||||
92,607 | Banco Bradesco SA, Class Preferred Shares | 987,894 | ||||||
5,145 | Braskem SA, Class Preferred A Shares | 62,289 | ||||||
5,700 | Centrais Eletricas Brasileiras SA, Class Preferred B Shares | 37,175 | ||||||
4,605 | Cia Brasileira de Distribuicao, Class Preferred Shares* | 105,314 | ||||||
20,670 | Cia Energetica de Minas Gerais, Class Preferred Shares | 55,026 | ||||||
2,600 | Cia Paranaense de Energia, Class Preferred B Shares | 23,738 | ||||||
23,200 | Gerdau SA, Class Preferred Shares | 87,336 | ||||||
179,570 | Itaú Unibanco Holding SA, Class Preferred Shares | 2,301,777 | ||||||
109,286 | Itausa — Investimentos Itau SA, Class Preferred Shares | 354,120 | ||||||
21,975 | Lojas Americanas SA, Class Preferred Shares | 124,052 | ||||||
114,797 | Petroleo Brasileiro SA, Class Preferred Shares* | 497,794 | ||||||
10,200 | Suzano Papel e Celulose SA, Class Preferred A Shares | 56,705 | ||||||
12,275 | Telefonica Brasil SA, Class Preferred Shares | 190,451 | ||||||
|
| |||||||
Total Brazil | 4,883,671 | |||||||
|
| |||||||
Chile — 0.0% | ||||||||
6,556 | Embotelladora Andina SA, Class Preferred B Shares | 31,669 | ||||||
2,760 | Sociedad Quimica y Minera de Chile SA, Class Preferred B Shares | 129,621 | ||||||
|
| |||||||
Total Chile | 161,290 | |||||||
|
| |||||||
Colombia — 0.4% | ||||||||
152,000 | Banco Davivienda SA, Class Preferred Shares | 1,700,742 | ||||||
12,985 | Bancolombia SA, Class Preferred Shares | 147,932 | ||||||
88,943 | Grupo Aval Acciones y Valores SA, Class Preferred Shares | 39,808 | ||||||
3,430 | Grupo de Inversiones Suramericana SA, Class Preferred Shares | 46,799 | ||||||
|
| |||||||
Total Colombia | 1,935,281 | |||||||
|
| |||||||
Russia — 0.1% | ||||||||
251,062 | Surgutneftegas OJSC, Class Preferred Shares | 125,534 | ||||||
29 | Transneft PJSC, Class Preferred Shares | 89,128 | ||||||
|
| |||||||
Total Russia | 214,662 | |||||||
|
| |||||||
South Korea — 1.9% | ||||||||
226 | Amorepacific Corp., Class Preferred Shares | 34,432 | ||||||
1,537 | Hyundai Motor Co., Class Preferred Shares | 136,813 | ||||||
194 | LG Chem Ltd., Class Preferred Shares | 45,541 | ||||||
52 | LG Household & Health Care Ltd., Class Preferred Shares | 27,756 | ||||||
5,381 | Samsung Electronics Co., Ltd., Class Preferred Shares | 9,061,366 | ||||||
|
| |||||||
Total South Korea | 9,305,908 | |||||||
|
| |||||||
TOTAL PREFERRED STOCKS (Cost — $12,349,668) | 16,500,812 | |||||||
|
| |||||||
RIGHT — 0.0% | ||||||||
China — 0.0% | ||||||||
41 | Fosun International Ltd.*(d)(g) (Cost — $0) | — | ||||||
|
| |||||||
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost — $351,285,034) | 473,041,766 | |||||||
|
|
See Notes to Financial Statements.
147
Schedules of Investments |
(continued) |
Emerging Markets Equity Fund | ||||||||
Face Amount† | Security | Value | ||||||
SHORT-TERM INVESTMENTS (e) — 4.0% | ||||||||
MONEY MARKET FUND — 1.1% | ||||||||
$ | 5,151,986 | Invesco STIT — Government & Agency Portfolio, Institutional Class(f) (Cost — $5,151,986) | $ | 5,151,986 | ||||
|
| |||||||
TIME DEPOSITS — 2.9% | ||||||||
BBH — Grand Cayman: | ||||||||
2 | GBP | 0.050% due 9/1/17 | 2 | |||||
41 | ZAR | 5.818% due 9/1/17 | 3 | |||||
1 | SGD | 0.010% due 9/4/17 | 1 | |||||
1,550,030 | BNP Paribas — Paris, 0.590% due 9/1/17 | 1,550,030 | ||||||
21,133 | EUR | Citibank — London, (0.556)% due 9/1/17 | 25,162 | |||||
6,078,278 | Citibank — New York, 0.590% due 9/1/17 | 6,078,278 | ||||||
1,764,644 | HKD | Deutsche Bank AG — New York, 0.005% due 9/1/17 | 225,494 | |||||
485,191 | ZAR | HSBC Bank PLC — London, 5.818% due 9/1/17 | 37,291 | |||||
6,412,695 | JPMorgan Chase & Co. — New York, 0.590% due 9/1/17 | 6,412,695 | ||||||
|
| |||||||
TOTAL TIME DEPOSITS (Cost — $14,328,956) | 14,328,956 | |||||||
|
| |||||||
TOTAL SHORT-TERM INVESTMENTS (Cost — $19,480,942) | 19,480,942 | |||||||
|
| |||||||
TOTAL INVESTMENTS — 101.0% (Cost — $370,765,976) | 492,522,708 | |||||||
|
| |||||||
Liabilities in Excess of Other Assets — (1.0)% | (4,840,765 | ) | ||||||
|
| |||||||
TOTAL NET ASSETS — 100.0% | $ | 487,681,943 | ||||||
|
|
† | Amount denominated in U.S. dollars, unless otherwise noted. |
* | Non-income producing security. |
(a) | Restricted security that may be sold to “qualified institutional buyers” pursuant to the conditions of Rule 144A under the Securities Act of 1933, as amended. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted. The aggregate value of restricted 144A holdings at August 31, 2017, amounts to approximately $3,666,869 and represents 0.75% of net assets. |
(b) | Security trades on the Hong Kong exchange. |
(c) | All or a portion of this security is on loan (See Note 1). |
(d) | Security is valued in good faith at fair value by or under the direction of the Board of Trustees. |
(e) | Inclusive of all short term holdings, including collateral received from securities lending activities. Excluding such collateral, the percentage of portfolio holdings would be 2.9%. |
(f) | Represents investment of collateral received from securities lending transactions. |
(g) | Security that used significant unobservable inputs to determine fair value. |
(h) | The aggregate value of restricted securities (excluding 144A holdings) at August 31, 2017, amounts to approximately $2,611,880 and represents 0.54% of net assets. |
At August 31, 2017, for Emerging Markets Equity Fund the aggregate cost of investments, the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:
Fund | Aggregate Cost For Federal Income Tax Purposes | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||||||||||
Emerging Markets Equity Fund | $ | 383,099,765 | $ | 136,440,078 | $ | (26,923,971 | ) | $ | 109,516,107 |
Abbreviations used in this schedule: | ||
ADR | — American Depositary Receipts | |
BDR | — Brazilian Depositary Receipts | |
GDR | — Global Depositary Receipt | |
NVDR | — Non Voting Depository Receipt | |
PCL | — Public Company Limited | |
PLC | — Public Limited Company | |
REIT | — Real Estate Investment Trust |
See Notes to Financial Statements.
148
Schedules of Investments |
(continued) |
Emerging Markets Equity Fund |
Summary of Investments by Security Sector^ | ||||
Financials: | ||||
Banks | 18.4 | % | ||
Insurance | 4.0 | |||
Consumer Finance | 1.7 | |||
Other Financials | 1.3 | |||
Information Technology: | ||||
Internet Software & Services | 9.9 | |||
Technology Hardware, Storage & Peripherals | 5.4 | |||
Semiconductors & Semiconductor Equipment | 4.4 | |||
Other Information Technology | 3.7 | |||
Consumer Discretionary | 12.7 | |||
Telecommunication Services | 7.0 | |||
Industrials | 6.7 | |||
Consumer Staples | 6.5 | |||
Energy | 4.6 | |||
Materials | 3.4 | |||
Health Care | 2.9 | |||
Real Estate | 1.7 | |||
Utilities | 1.7 | |||
Short-Term Investments | 4.0 | |||
|
| |||
100.0 | % | |||
|
|
^ | As a percentage of total investments. |
At August 31, 2017, Emerging Markets Equity Fund had open exchange traded futures contracts as described below.
The unrealized appreciation on the open contracts reflected in the accompanying financial statements were as follows:
Open Futures Contracts | Number of Contracts | Expiration Date (Month/Year) | Notional Amounts | Market Value | Unrealized Appreciation | |||||||||||||||
Contracts to Buy: | ||||||||||||||||||||
E-mini MSCI Emerging Markets Index September Futures | 32 | 9/17 | $ | 1,644,756 | $ | 1,737,920 | $ | 93,164 | ||||||||||||
|
|
At August 31, 2017, Emerging Markets Equity Fund had deposited cash of $90,994 with a broker or brokers as margin collateral on open exchange traded futures contracts.
Currency Abbreviations used in this schedule: | ||
EUR | — Euro | |
GBP | — British Pound | |
HKD | — Hong Kong Dollar | |
SGD | — Singapore Dollar | |
ZAR | — South African Rand |
See Notes to Financial Statements.
149
Schedules of Investments |
(continued) |
Core Fixed Income Fund | ||||||||||
Face Amount/Units† | Rating†† | Security | Value | |||||||
CORPORATE BONDS & NOTES — 28.6% | ||||||||||
Aerospace & Defense — 0.3% | ||||||||||
$ | 35,000 | BBB | BAE Systems Holdings Inc., Company Guaranteed Notes, 3.850% due 12/15/25(a) | $ | 36,962 | |||||
30,000 | A+ | General Dynamics Corp., Company Guaranteed Notes, 2.125% due 8/15/26 | 28,612 | |||||||
78,000 | BBB- | Harris Corp., Senior Unsecured Notes, 5.054% due 4/27/45 | 90,102 | |||||||
Honeywell International Inc., Senior Unsecured Notes: | ||||||||||
190,000 | A | 1.400% due 10/30/19 | 188,895 | |||||||
50,000 | A | 2.500% due 11/1/26 | 48,650 | |||||||
325,000 | BBB- | L3 Technologies Inc., Company Guaranteed Notes, 5.200% due 10/15/19 | 346,653 | |||||||
Lockheed Martin Corp., Senior Unsecured Notes: | ||||||||||
30,000 | BBB+ | 3.100% due 1/15/23 | 31,117 | |||||||
280,000 | BBB+ | 3.550% due 1/15/26 | 292,937 | |||||||
40,000 | BBB+ | 4.500% due 5/15/36 | 44,597 | |||||||
91,000 | BBB+ | 4.700% due 5/15/46 | 103,633 | |||||||
Northrop Grumman Corp., Senior Unsecured Notes: | ||||||||||
50,000 | BBB | 3.250% due 8/1/23 | 52,213 | |||||||
50,000 | BBB | 3.850% due 4/15/45 | 50,368 | |||||||
215,000 | BBB | Rockwell Collins Inc., Senior Unsecured Notes, 2.800% due 3/15/22 | 219,178 | |||||||
United Technologies Corp.: | ||||||||||
750,000 | BBB+ | Junior Subordinated Notes, step bond to yield, 1.778% due 5/4/18 | 750,932 | |||||||
80,000 | A- | Senior Unsecured Notes, 4.500% due 6/1/42 | 86,252 | |||||||
|
| |||||||||
Total Aerospace & Defense | 2,371,101 | |||||||||
|
| |||||||||
Air Freight & Logistics — 0.0% | ||||||||||
FedEx Corp., Company Guaranteed Notes: | ||||||||||
135,000 | BBB | 3.875% due 8/1/42 | 131,454 | |||||||
49,000 | BBB | 4.100% due 2/1/45 | 48,632 | |||||||
10,000 | BBB | 4.550% due 4/1/46 | 10,630 | |||||||
|
| |||||||||
Total Air Freight & Logistics | 190,716 | |||||||||
|
| |||||||||
Airlines — 0.3% | ||||||||||
291,792 | A- | American Airlines Class A Pass-Through Trust, Series 2013-2, Pass-Thru Certificates, 4.950% due 1/15/23 | 313,530 | |||||||
305,789 | BBB- | American Airlines Class B Pass-Through Trust, Series 2013-1, Pass-Thru Certificates, 5.625% due 1/15/21(a) | 322,226 | |||||||
261,755 | BBB- | American Airlines Class B Pass-Through Trust, Series 2013-2, Pass-Thru Certificates, 5.600% due 7/15/20(a) | 274,515 | |||||||
152,953 | A | Continental Airlines Inc. Class A-1 Pass-Through Trust, Series 1999-2, Pass-Thru Certificates, 7.256% due 3/15/20 | 162,894 | |||||||
505,541 | A | Delta Air Lines Class A Pass-Through Trust, Series 2009-1, Pass-Thru Certificates, 7.750% due 12/17/19 | 555,463 | |||||||
284,502 | BBB | Northwest Airlines Inc. Class A-1 Pass-Through Trust, Series 2001-1, Pass-Thru Certificates, 7.041% due 4/1/22 | 327,889 | |||||||
356,135 | A | US Airways Pass-Through Trust, Series 2001-1G, Pass-Thru Certificates, 7.076% due 3/20/21 | 381,955 | |||||||
|
| |||||||||
Total Airlines | 2,338,472 | |||||||||
|
| |||||||||
Auto Components — 0.0% | ||||||||||
76,000 | BBB | Delphi Automotive PLC, Company Guaranteed Notes, 4.400% due 10/1/46 | 77,670 | |||||||
21,000 | BBB | Delphi Corp., Company Guaranteed Notes, 4.150% due 3/15/24 | 22,387 | |||||||
53,000 | BB | Goodyear Tire & Rubber Co. (The), Company Guaranteed Notes, 4.875% due 3/15/27 | 54,060 | |||||||
|
| |||||||||
Total Auto Components | 154,117 | |||||||||
|
| |||||||||
Automobiles — 0.1% | ||||||||||
Ford Motor Co., Senior Unsecured Notes: | ||||||||||
190,000 | BBB | 4.346% due 12/8/26 | 197,189 | |||||||
60,000 | BBB | 4.750% due 1/15/43 | 58,140 | |||||||
20,000 | BBB | 5.291% due 12/8/46 | 20,610 |
See Notes to Financial Statements.
150
Schedules of Investments |
(continued) |
Core Fixed Income Fund | ||||||||||
Face Amount/Units† | Rating†† | Security | Value | |||||||
Automobiles — 0.1% — (continued) | ||||||||||
General Motors Co., Senior Unsecured Notes: | ||||||||||
$ | 260,000 | BBB | 6.250% due 10/2/43 | $ | 292,814 | |||||
455,000 | BBB | 5.200% due 4/1/45 | 451,998 | |||||||
|
| |||||||||
Total Automobiles | 1,020,751 | |||||||||
|
| |||||||||
Banks — 6.7% | ||||||||||
Bank of America Corp.: | ||||||||||
Senior Unsecured Notes: | ||||||||||
70,000 | BBB+ | 5.750% due 12/1/17 | 70,688 | |||||||
139,000 | BBB+ | 2.000% due 1/11/18 | 139,212 | |||||||
340,000 | BBB+ | 6.875% due 4/25/18 | 351,069 | |||||||
1,180,000 | BBB+ | 5.650% due 5/1/18 | 1,209,812 | |||||||
108,000 | BBB+ | 1.950% due 5/12/18 | 108,223 | |||||||
262,000 | BBB+ | 2.600% due 1/15/19 | 264,748 | |||||||
900,000 | BBB+ | 7.625% due 6/1/19 | 985,942 | |||||||
173,000 | BBB+ | 2.250% due 4/21/20 | 174,017 | |||||||
400,000 | BBB+ | 5.000% due 5/13/21 | 437,500 | |||||||
250,000 | BBB+ | 2.503% due 10/21/22 | 248,541 | |||||||
590,000 | BBB+ | 3.300% due 1/11/23 | 607,251 | |||||||
50,000 | BBB+ | 2.881% (3-Month USD-LIBOR + 1.021%) due 4/24/23(b) | 50,515 | |||||||
490,000 | BBB+ | 4.125% due 1/22/24 | 525,129 | |||||||
690,000 | BBB+ | 4.000% due 4/1/24 | 733,659 | |||||||
344,000 | BBB+ | 3.875% due 8/1/25 | 362,072 | |||||||
210,000 | BBB+ | 3.500% due 4/19/26 | 214,212 | |||||||
400,000 | BBB+ | 3.824% (3-Month USD-LIBOR + 1.575%) due 1/20/28(b) | 412,979 | |||||||
300,000 | BBB+ | 3.705% (3-Month USD-LIBOR + 1.512%) due 4/24/28(b) | 307,280 | |||||||
50,000 | BBB+ | 3.593% (3-Month USD-LIBOR + 1.370%) due 7/21/28(b) | 50,652 | |||||||
40,000 | BBB+ | 4.244% (3-Month USD-LIBOR + 1.814%) due 4/24/38(b) | 42,340 | |||||||
240,000 | BBB+ | 5.000% due 1/21/44 | 279,718 | |||||||
Subordinated Notes: | ||||||||||
990,000 | BBB | 4.200% due 8/26/24 | 1,043,528 | |||||||
610,000 | BBB | 4.000% due 1/22/25 | 632,150 | |||||||
50,000 | BBB | 3.950% due 4/21/25 | 51,683 | |||||||
40,000 | BBB | 4.450% due 3/3/26 | 42,601 | |||||||
195,000 | A+ | Bank of Montreal, Senior Unsecured Notes, 1.500% due 7/18/19 | 194,198 | |||||||
100,000 | BBB- | Barclays Bank PLC, Subordinated Notes, 5.140% due 10/14/20 | 107,514 | |||||||
Barclays PLC: | ||||||||||
260,000 | BBB | Senior Unsecured Notes, 4.375% due 1/12/26 | 274,315 | |||||||
200,000 | BB+ | Subordinated Notes, 5.200% due 5/12/26 | 214,279 | |||||||
BNP Paribas SA: | ||||||||||
260,000 | A | Senior Unsecured Notes, 2.375% due 9/14/17 | 259,997 | |||||||
200,000 | BBB+ | Subordinated Notes, 4.625% due 3/13/27(a) | 213,331 | |||||||
Capital One Financial Corp.: | ||||||||||
280,000 | BBB | Senior Unsecured Notes, 3.500% due 6/15/23 | 289,735 | |||||||
40,000 | BBB- | Subordinated Notes, 3.750% due 7/28/26 | 39,908 | |||||||
Capital One NA/Mclean VA, Senior Unsecured Notes: | ||||||||||
280,000 | BBB+ | 2.350% due 1/31/20 | 281,182 | |||||||
280,000 | BBB+ | 2.250% due 9/13/21 | 277,768 | |||||||
Citigroup Inc.: | ||||||||||
530,000 | BB+ | Junior Subordinated Notes, 5.950% (3-Month USD-LIBOR + 3.905%)(b)(c) | 573,062 | |||||||
Senior Unsecured Notes: | ||||||||||
540,000 | BBB+ | 6.125% due 11/21/17 | 545,151 | |||||||
750,000 | BBB+ | 1.800% due 2/5/18 | 750,562 | |||||||
1,140,000 | BBB+ | 6.125% due 5/15/18 | 1,174,948 | |||||||
1,000,000 | BBB+ | 2.500% due 9/26/18 | 1,007,670 |
See Notes to Financial Statements.
151
Schedules of Investments |
(continued) |
Core Fixed Income Fund | ||||||||||
Face Amount/Units† | Rating†† | Security | Value | |||||||
Banks — 6.7% — (continued) | ||||||||||
$ | 104,000 | BBB+ | 8.125% due 7/15/39 | $ | 163,084 | |||||
196,000 | BBB+ | 4.650% due 7/30/45 | 216,648 | |||||||
Subordinated Notes: | ||||||||||
280,000 | BBB | 4.400% due 6/10/25 | 296,381 | |||||||
250,000 | BBB | 5.500% due 9/13/25 | 283,079 | |||||||
890,000 | BBB | 4.300% due 11/20/26 | 933,560 | |||||||
390,000 | BBB | 4.450% due 9/29/27 | 413,763 | |||||||
30,000 | BBB | 6.625% due 6/15/32 | 38,366 | |||||||
100,000 | BBB | 6.675% due 9/13/43 | 136,181 | |||||||
286,000 | BBB | 5.300% due 5/6/44 | 332,191 | |||||||
30,000 | BBB | 4.750% due 5/18/46 | 32,392 | |||||||
15,000 | BBB+ | Citizens Financial Group Inc., Senior Unsecured Notes, 2.375% due 7/28/21 | 14,981 | |||||||
210,000 | AA- | Commonwealth Bank of Australia, Senior Unsecured Notes, 3.900% due 7/12/47(a) | 212,616 | |||||||
Cooperatieve Rabobank UA: | ||||||||||
340,000 | BBB+ | Bank Guaranteed Notes, 4.375% due 8/4/25 | 361,541 | |||||||
310,000 | BBB+ | Company Guaranteed Notes, 4.625% due 12/1/23 | 337,463 | |||||||
320,000 | BBB- | Junior Subordinated Notes, 11.000% (3-Month USD-LIBOR + 10.868%)(a)(b)(c) | 368,400 | |||||||
250,000 | BBB+ | Credit Agricole SA, Senior Unsecured Notes, 3.375% due 1/10/22(a) | 257,195 | |||||||
750,000 | A | Credit Suisse AG, Senior Unsecured Notes, 1.700% due 4/27/18 | 750,483 | |||||||
Credit Suisse Group Funding Guernsey Ltd., Company Guaranteed Notes: | ||||||||||
250,000 | BBB+ | 3.125% due 12/10/20 | 256,230 | |||||||
320,000 | BBB+ | 4.550% due 4/17/26 | 344,591 | |||||||
49,000 | BBB- | Deutsche Bank AG, Senior Unsecured Notes, 1.875% due 2/13/18 | 49,040 | |||||||
Discover Bank, Senior Unsecured Notes: | ||||||||||
900,000 | BBB | 2.600% due 11/13/18 | 907,520 | |||||||
250,000 | BBB | 3.100% due 6/4/20 | 256,307 | |||||||
1,510,000 | BBB- | HBOS PLC, Subordinated Notes, 6.750% due 5/21/18(a) | 1,560,452 | |||||||
HSBC Holdings PLC: | ||||||||||
210,000 | Baa3(d) | Junior Subordinated Notes, 6.375% (5-Year USD 1100 Run ICE Swap Rate + 3.705%)(b)(c) | 223,650 | |||||||
Senior Unsecured Notes: | ||||||||||
200,000 | A | 3.400% due 3/8/21 | 207,352 | |||||||
200,000 | A | 2.650% due 1/5/22 | 201,570 | |||||||
Subordinated Notes: | ||||||||||
390,000 | BBB+ | 4.250% due 8/18/25 | 408,325 | |||||||
365,000 | BBB+ | 4.375% due 11/23/26 | 384,429 | |||||||
390,000 | BBB+ | 6.500% due 9/15/37 | 510,089 | |||||||
385,000 | A | HSBC USA Inc., Senior Unsecured Notes, 2.350% due 3/5/20 | 388,588 | |||||||
200,000 | BBB+ | ING Bank NV, Subordinated Notes (Restricted, cost — $204,620, acquired 5/18/2017), 4.125% (5-Year USD 1100 Run ICE Swap Rate + 2.700%) due 11/21/23(b)(s) | 204,369 | |||||||
Intesa Sanpaolo SpA: | ||||||||||
Senior Unsecured Notes: | ||||||||||
400,000 | BBB- | 3.125% due 7/14/22(a) | 401,484 | |||||||
230,000 | BBB- | 3.875% due 7/14/27(a) | 231,009 | |||||||
810,000 | BB | Subordinated Notes, 5.017% due 6/26/24(a) | 830,198 | |||||||
JPMorgan Chase & Co.: | ||||||||||
Senior Unsecured Notes: | ||||||||||
750,000 | A- | 6.000% due 1/15/18 | 761,813 | |||||||
69,000 | A- | 1.800% due 1/25/18 | 69,127 | |||||||
630,000 | A- | 1.700% due 3/1/18 | 630,253 | |||||||
195,000 | A- | 2.200% due 10/22/19 | 196,913 | |||||||
200,000 | A- | 2.250% due 1/23/20 | 201,760 | |||||||
555,000 | A- | 2.750% due 6/23/20 | 566,777 | |||||||
90,000 | A- | 4.400% due 7/22/20 | 96,076 | |||||||
200,000 | A- | 2.550% due 3/1/21 | 202,656 | |||||||
200,000 | A- | 2.972% due 1/15/23 | 203,696 |
See Notes to Financial Statements.
152
Schedules of Investments |
(continued) |
Core Fixed Income Fund | ||||||||||
Face Amount/Units† | Rating†† | Security | Value | |||||||
Banks — 6.7% — (continued) | ||||||||||
$ | 119,000 | A- | 2.776% (3-Month USD-LIBOR + 0.935%) due 4/25/23(b) | $ | 120,063 | |||||
55,000 | A- | 2.543% (3-Month USD-LIBOR + 1.230%) due 10/24/23(b) | 56,038 | |||||||
400,000 | A- | 3.300% due 4/1/26 | 403,929 | |||||||
580,000 | A- | 3.782% (3-Month USD-LIBOR + 1.337%) due 2/1/28(b) | 602,646 | |||||||
100,000 | A- | 3.540% (3-Month USD-LIBOR + 1.380%) due 5/1/28(b) | 101,919 | |||||||
Subordinated Notes: | ||||||||||
270,000 | BBB+ | 3.875% due 9/10/24 | 282,928 | |||||||
109,000 | BBB+ | 4.250% due 10/1/27 | 116,226 | |||||||
290,000 | BBB+ | 4.950% due 6/1/45 | 331,059 | |||||||
245,000 | BBB- | Lloyds Banking Group PLC, Subordinated Notes, 4.582% due 12/10/25 | 258,512 | |||||||
530,000 | A | Macquarie Bank Ltd., Senior Unsecured Notes, 1.947% (3-Month USD-LIBOR + 0.630%) due 10/27/17(a)(b) | 530,000 | |||||||
340,000 | A- | Mizuho Financial Group Inc., Senior Unsecured Notes, 2.953% due 2/28/22 | 345,942 | |||||||
250,000 | AA- | National Australia Bank Ltd., Senior Unsecured Notes, 2.125% due 5/22/20 | 250,996 | |||||||
300,000 | A- | Nordea Bank AB, Subordinated Notes, 4.875% due 5/13/21(a) | 323,648 | |||||||
Royal Bank of Canada: | ||||||||||
470,000 | Aaa(d) | Covered Notes, 2.200% due 9/23/19 | 474,242 | |||||||
100,000 | AA- | Senior Unsecured Notes, 2.125% due 3/2/20 | 100,716 | |||||||
Royal Bank of Scotland Group PLC, Subordinated Notes: | ||||||||||
30,000 | BB | 6.125% due 12/15/22 | 33,074 | |||||||
320,000 | BB | 6.100% due 6/10/23 | 354,047 | |||||||
80,000 | BB | 6.000% due 12/19/23 | 88,765 | |||||||
110,000 | BB | 5.125% due 5/28/24 | 116,193 | |||||||
Santander Holdings USA Inc., Senior Unsecured Notes: | ||||||||||
219,000 | BBB+ | 3.450% due 8/27/18 | 222,139 | |||||||
16,000 | BBB+ | 3.700% due 3/28/22(a) | 16,331 | |||||||
30,000 | BBB+ | 4.500% due 7/17/25 | 31,439 | |||||||
Santander UK Group Holdings PLC, Senior Unsecured Notes: | ||||||||||
180,000 | BBB | 2.875% due 10/16/20 | 183,187 | |||||||
165,000 | BBB | 2.875% due 8/5/21 | 166,474 | |||||||
Santander UK PLC: | ||||||||||
900,000 | A | Senior Unsecured Notes, 1.650% due 9/29/17 | 900,208 | |||||||
170,000 | BBB- | Subordinated Notes, 7.950% due 10/26/29 | 217,591 | |||||||
600,000 | BBB- | Standard Chartered PLC, Subordinated Notes, 5.700% due 3/26/44(a) | 699,285 | |||||||
140,000 | A- | Sumitomo Mitsui Financial Group Inc., Senior Unsecured Notes, 2.058% due 7/14/21 | 138,698 | |||||||
230,000 | A+ | UBS AG, Senior Unsecured Notes, 2.200% due 6/8/20(a) | 231,122 | |||||||
US Bancorp, Senior Unsecured Notes: | ||||||||||
80,000 | A+ | 2.375% due 7/22/26 | 77,176 | |||||||
160,000 | A+ | 3.150% due 4/27/27 | 163,111 | |||||||
470,000 | BBB | Wachovia Capital Trust III, Limited Guaranteed Notes, 5.570% (3-Month USD-LIBOR + 0.930%)(b)(c) | 474,259 | |||||||
1,580,000 | A | Wachovia Corp., Company Guaranteed Notes, 5.750% due 2/1/18 | 1,606,799 | |||||||
Wells Fargo & Co.: | ||||||||||
60,000 | BBB | Junior Subordinated Notes, 5.875% (3-Month USD-LIBOR + 3.990%)(b)(c) | 66,675 | |||||||
Senior Unsecured Notes: | ||||||||||
249,000 | A | 2.600% due 7/22/20 | 253,212 | |||||||
415,000 | A | 2.625% due 7/22/22 | 418,228 | |||||||
41,000 | A | 3.550% due 9/29/25 | 42,497 | |||||||
870,000 | A | 3.000% due 10/23/26 | 861,188 | |||||||
980,000 | A | 3.584% (3-Month USD-LIBOR + 1.310%) due 5/22/28(b) | 1,003,312 | |||||||
Subordinated Notes: | ||||||||||
330,000 | A- | 3.450% due 2/13/23 | 340,161 | |||||||
169,000 | A- | 4.480% due 1/16/24 | 183,466 | |||||||
750,000 | A- | 4.300% due 7/22/27 | 801,553 | |||||||
30,000 | A- | 5.375% due 11/2/43 | 35,224 |
See Notes to Financial Statements.
153
Schedules of Investments |
(continued) |
Core Fixed Income Fund | ||||||||||
Face Amount/Units† | Rating†† | Security | Value | |||||||
Banks — 6.7% — (continued) | ||||||||||
$ | 110,000 | A- | 5.606% due 1/15/44 | $ | 133,112 | |||||
280,000 | A- | 4.650% due 11/4/44 | 298,814 | |||||||
450,000 | A- | 4.900% due 11/17/45 | 497,814 | |||||||
260,000 | A- | 4.400% due 6/14/46 | 270,434 | |||||||
160,000 | A- | 4.750% due 12/7/46 | 174,211 | |||||||
Wells Fargo Bank NA: | ||||||||||
590,000 | AA- | Senior Unsecured Notes, 2.150% due 12/6/19 | 594,604 | |||||||
250,000 | A | Subordinated Notes, 6.000% due 11/15/17 | 252,180 | |||||||
100,000 | BBB | Wells Fargo Capital X, Limited Guaranteed Notes, 5.950% due 12/15/36 | 113,750 | |||||||
380,000 | AA- | Westpac Banking Corp., Senior Unsecured Notes, 4.875% due 11/19/19 | 404,598 | |||||||
|
| |||||||||
Total Banks | 47,755,534 | |||||||||
|
| |||||||||
Beverages — 0.7% | ||||||||||
Anheuser-Busch InBev Finance Inc., Company Guaranteed Notes: | ||||||||||
200,000 | A- | 2.650% due 2/1/21 | 204,225 | |||||||
90,000 | A- | 3.300% due 2/1/23 | 93,573 | |||||||
920,000 | A- | 3.650% due 2/1/26 | 958,592 | |||||||
145,000 | A- | 4.700% due 2/1/36 | 161,935 | |||||||
569,000 | A- | 4.900% due 2/1/46 | 651,269 | |||||||
Anheuser-Busch InBev Worldwide Inc., Company Guaranteed Notes: | ||||||||||
290,000 | A- | 5.000% due 4/15/20 | 313,314 | |||||||
200,000 | A- | 2.500% due 7/15/22 | 202,379 | |||||||
60,000 | A- | 3.750% due 7/15/42 | 58,540 | |||||||
545,000 | A- | Coca-Cola Femsa SAB de CV, Company Guaranteed Notes, 4.625% due 2/15/20 | 580,506 | |||||||
275,000 | BBB- | Constellation Brands Inc., Company Guaranteed Notes, 6.000% due 5/1/22 | 316,736 | |||||||
173,000 | A- | Diageo Capital PLC, Company Guaranteed Notes, 4.828% due 7/15/20 | 187,271 | |||||||
160,000 | A- | Diageo Investment Corp., Company Guaranteed Notes, 2.875% due 5/11/22 | 165,151 | |||||||
197,000 | BB- | DS Services of America Inc., Secured Notes, 10.000% due 9/1/21(a) | 208,918 | |||||||
Molson Coors Brewing Co., Company Guaranteed Notes: | ||||||||||
135,000 | BBB- | 1.900% due 3/15/19(a) | 134,923 | |||||||
80,000 | BBB- | 2.250% due 3/15/20(a) | 80,381 | |||||||
50,000 | BBB- | 3.500% due 5/1/22 | 52,218 | |||||||
PepsiCo Inc., Senior Unsecured Notes: | ||||||||||
60,000 | A+ | 2.375% due 10/6/26 | 58,207 | |||||||
60,000 | A+ | 3.450% due 10/6/46 | 57,617 | |||||||
190,000 | BBB- | Pernod Ricard SA, Senior Unsecured Notes, 4.450% due 1/15/22(a) | 204,961 | |||||||
|
| |||||||||
Total Beverages | 4,690,716 | |||||||||
|
| |||||||||
Biotechnology — 0.4% | ||||||||||
Amgen Inc., Senior Unsecured Notes: | ||||||||||
260,000 | A | 1.900% due 5/10/19 | 260,386 | |||||||
60,000 | A | 2.200% due 5/11/20 | 60,458 | |||||||
70,000 | A | 3.625% due 5/22/24 | 73,276 | |||||||
300,000 | A | 4.400% due 5/1/45 | 314,494 | |||||||
54,000 | A | 4.563% due 6/15/48 | 57,966 | |||||||
118,000 | A | 4.663% due 6/15/51 | 128,256 | |||||||
Celgene Corp., Senior Unsecured Notes: | ||||||||||
90,000 | BBB+ | 2.875% due 8/15/20 | 92,355 | |||||||
60,000 | BBB+ | 3.550% due 8/15/22 | 62,945 | |||||||
260,000 | BBB+ | 3.875% due 8/15/25 | 275,608 | |||||||
410,000 | BBB+ | 5.000% due 8/15/45 | 470,009 | |||||||
Gilead Sciences Inc., Senior Unsecured Notes: | ||||||||||
15,000 | A | 2.500% due 9/1/23 | 14,986 | |||||||
410,000 | A | 3.700% due 4/1/24 | 434,972 | |||||||
60,000 | A | 3.650% due 3/1/26 | 63,117 |
See Notes to Financial Statements.
154
Schedules of Investments |
(continued) |
Core Fixed Income Fund | ||||||||||
Face Amount/Units† | Rating†† | Security | Value | |||||||
Biotechnology — 0.4% — (continued) | ||||||||||
$ | 50,000 | A | 2.950% due 3/1/27 | $ | 49,771 | |||||
85,000 | A | 4.800% due 4/1/44 | 94,771 | |||||||
355,000 | A | 4.750% due 3/1/46 | 397,955 | |||||||
225,000 | A | 4.150% due 3/1/47 | 231,541 | |||||||
|
| |||||||||
Total Biotechnology | 3,082,866 | |||||||||
|
| |||||||||
Building Products — 0.0% | ||||||||||
30,000 | BBB+ | Johnson Controls International PLC, Senior Unsecured Notes, step bond to yield, 4.625% due 7/2/44 | 33,293 | |||||||
|
| |||||||||
Capital Markets — 1.2% | ||||||||||
Bank of New York Mellon Corp. (The), | ||||||||||
Senior Unsecured Notes: | ||||||||||
355,000 | A | 2.600% due 2/7/22 | 360,817 | |||||||
195,000 | A | 3.400% due 5/15/24 | 203,592 | |||||||
312,000 | A | 3.442% (3-Month USD-LIBOR + 1.069%) due 2/7/28(b) | 323,027 | |||||||
120,000 | A2e(d) | Subordinated Notes, 3.300% due 8/23/29 | 120,986 | |||||||
21,000 | BB | Goldman Sachs Capital II, Limited Guaranteed Notes, 4.000% (3-Month USD-LIBOR + 0.768%)(b)(c) | 18,951 | |||||||
Goldman Sachs Group Inc. (The): | ||||||||||
Senior Unsecured Notes: | ||||||||||
1,300,000 | BBB+ | 5.950% due 1/18/18 | 1,320,448 | |||||||
1,675,000 | BBB+ | 6.150% due 4/1/18 | 1,717,249 | |||||||
389,000 | BBB+ | 2.900% due 7/19/18 | 392,914 | |||||||
34,000 | BBB+ | 2.625% due 1/31/19 | 34,363 | |||||||
885,000 | BBB+ | 7.500% due 2/15/19 | 955,512 | |||||||
257,000 | BBB+ | 2.550% due 10/23/19 | 260,194 | |||||||
140,000 | BBB+ | 2.300% due 12/13/19 | 140,953 | |||||||
810,000 | BBB+ | 6.000% due 6/15/20 | 894,065 | |||||||
40,000 | BBB+ | 5.250% due 7/27/21 | 44,087 | |||||||
150,000 | BBB+ | 3.500% due 11/16/26 | 151,294 | |||||||
210,000 | BBB+ | 6.250% due 2/1/41 | 278,855 | |||||||
210,000 | BBB+ | 4.750% due 10/21/45 | 235,154 | |||||||
Subordinated Notes: | ||||||||||
220,000 | BBB- | 4.250% due 10/21/25 | 230,810 | |||||||
460,000 | BBB- | 6.750% due 10/1/37 | 607,804 | |||||||
290,000 | BBB- | 5.150% due 5/22/45 | 331,666 | |||||||
650,000 | NR | Lehman Brothers Holdings Inc., Subordinated Notes, 6.750% due 12/28/17(e)(f)(r) | — | |||||||
|
| |||||||||
Total Capital Markets | 8,622,741 | |||||||||
|
| |||||||||
Chemicals — 0.2% | ||||||||||
Air Liquide Finance SA, Company Guaranteed Notes: | ||||||||||
200,000 | A- | 1.750% due 9/27/21(a) | 196,576 | |||||||
200,000 | A- | 2.500% due 9/27/26(a) | 193,410 | |||||||
150,000 | BB- | Axalta Coating Systems LLC, Company Guaranteed Notes, 4.875% due 8/15/24(a) | 153,750 | |||||||
16,000 | BBB | Dow Chemical Co. (The), Senior Unsecured Notes, 4.375% due 11/15/42 | 16,481 | |||||||
61,000 | BBB | Eastman Chemical Co., Senior Unsecured Notes, 3.800% due 3/15/25 | 63,396 | |||||||
45,000 | A- | EI du Pont de Nemours & Co., Senior Unsecured Notes, 2.200% due 5/1/20 | 45,387 | |||||||
51,000 | BBB | LYB International Finance BV, Company Guaranteed Notes, 4.875% due 3/15/44 | 55,432 | |||||||
200,000 | BBB | LyondellBasell Industries NV, Senior Unsecured Notes, 6.000% due 11/15/21 | 226,589 | |||||||
Monsanto Co., Senior Unsecured Notes: | ||||||||||
60,000 | BBB | 3.375% due 7/15/24 | 61,710 | |||||||
30,000 | BBB | 4.400% due 7/15/44 | 30,970 | |||||||
200,000 | BBB- | OCP SA, Senior Unsecured Notes, 4.500% due 10/22/25(a) | 202,560 | |||||||
60,000 | BBB+ | Potash Corp. of Saskatchewan Inc., Senior Unsecured Notes, 4.875% due 3/30/20 | 63,661 | |||||||
160,000 | BBB | Sherwin-Williams Co. (The), Senior Unsecured Notes, 2.750% due 6/1/22 | 161,390 |
See Notes to Financial Statements.
155
Schedules of Investments |
(continued) |
Core Fixed Income Fund | ||||||||||
Face Amount/Units† | Rating†† | Security | Value | |||||||
Chemicals — 0.2% — (continued) | ||||||||||
$ | 115,000 | BB | Valvoline Inc., Company Guaranteed Notes, 5.500% due 7/15/24(a) | $ | 122,331 | |||||
100,000 | BBB | Westlake Chemical Corp., Company Guaranteed Notes, 4.875% due 5/15/23 | 104,500 | |||||||
|
| |||||||||
Total Chemicals | 1,698,143 | |||||||||
|
| |||||||||
Commercial Services & Supplies — 0.3% | ||||||||||
Cintas Corp. No 2, Company Guaranteed Notes: | ||||||||||
100,000 | BBB+ | 2.900% due 4/1/22 | 102,695 | |||||||
110,000 | BBB+ | 3.700% due 4/1/27 | 116,191 | |||||||
72,000 | BB+ | Clean Harbors Inc., Company Guaranteed Notes, 5.125% due 6/1/21 | 73,440 | |||||||
110,000 | A- | Ecolab Inc., Senior Unsecured Notes, 4.350% due 12/8/21 | 119,791 | |||||||
84,000 | BB+ | IHS Markit Ltd., Company Guaranteed Notes, 5.000% due 11/1/22(a) | 92,022 | |||||||
460,000 | AAA | Northwestern University, Unsecured Notes, 3.688% due 12/1/38 | 488,946 | |||||||
Republic Services Inc., Senior Unsecured Notes: | ||||||||||
500,000 | BBB+ | 3.800% due 5/15/18 | 507,397 | |||||||
150,000 | BBB+ | 3.200% due 3/15/25 | 153,360 | |||||||
20,000 | BBB+ | 2.900% due 7/1/26 | 19,938 | |||||||
210,000 | BB- | United Rentals North America Inc., Company Guaranteed Notes, 5.750% due 11/15/24 | 225,551 | |||||||
Waste Management Inc., Company Guaranteed Notes: | ||||||||||
40,000 | A- | 4.600% due 3/1/21 | 43,256 | |||||||
100,000 | A- | 3.500% due 5/15/24 | 105,177 | |||||||
70,000 | A- | 7.375% due 5/15/29 | 94,013 | |||||||
150,000 | B+ | West Corp., Company Guaranteed Notes, 5.375% due 7/15/22(a) | 152,063 | |||||||
|
| |||||||||
Total Commercial Services & Supplies | 2,293,840 | |||||||||
|
| |||||||||
Communications Equipment — 0.1% | ||||||||||
Cisco Systems Inc., Senior Unsecured Notes: | ||||||||||
100,000 | AA- | 4.450% due 1/15/20 | 106,454 | |||||||
37,000 | AA- | 2.200% due 2/28/21 | 37,413 | |||||||
108,000 | AA- | 1.850% due 9/20/21 | 107,546 | |||||||
140,000 | AA- | 2.200% due 9/20/23 | 139,213 | |||||||
160,000 | AA- | 2.500% due 9/20/26 | 156,515 | |||||||
|
| |||||||||
Total Communications Equipment | 547,141 | |||||||||
|
| |||||||||
Consumer Finance — 0.5% | ||||||||||
350,000 | BBB- | Discover Financial Services, Senior Unsecured Notes, 3.750% due 3/4/25 | 353,375 | |||||||
Ford Motor Credit Co. LLC, Senior Unsecured Notes: | ||||||||||
500,000 | BBB | 1.724% due 12/6/17 | 500,333 | |||||||
420,000 | BBB | 5.000% due 5/15/18 | 429,088 | |||||||
300,000 | BBB | 2.875% due 10/1/18 | 303,080 | |||||||
320,000 | BBB | 8.125% due 1/15/20 | 362,053 | |||||||
General Motors Financial Co., Inc., Company Guaranteed Notes: | ||||||||||
175,000 | BBB | 3.250% due 5/15/18 | 176,790 | |||||||
170,000 | BBB | 3.450% due 4/10/22 | 173,321 | |||||||
165,000 | BBB | 4.350% due 1/17/27 | 169,762 | |||||||
Hyundai Capital America, Senior Unsecured Notes: | ||||||||||
60,000 | A- | 2.125% due 10/2/17(a) | 59,999 | |||||||
75,000 | A- | 2.400% due 10/30/18(a) | 75,146 | |||||||
65,000 | A- | 2.500% due 3/18/19(a) | 65,225 | |||||||
20,000 | A- | 2.550% due 4/3/20(a) | 20,089 | |||||||
218,000 | A- | 3.000% due 10/30/20(a) | 220,910 | |||||||
200,000 | A- | Hyundai Capital Services Inc., Senior Unsecured Notes, 3.000% due 8/29/22(a) | 199,895 | |||||||
80,000 | B+ | Navient Corp., Senior Unsecured Notes, 8.000% due 3/25/20 | 88,500 | |||||||
210,000 | AA- | Toyota Motor Credit Corp., Senior Unsecured Notes, 1.250% due 10/5/17 | 209,998 | |||||||
|
| |||||||||
Total Consumer Finance | 3,407,564 | |||||||||
|
|
See Notes to Financial Statements.
156
Schedules of Investments |
(continued) |
Core Fixed Income Fund | ||||||||||
Face Amount/Units† | Rating†† | Security | Value | |||||||
Containers & Packaging — 0.1% | ||||||||||
$ | 115,000 | BB+ | Graphic Packaging International Inc., Company Guaranteed Notes, 4.125% due 8/15/24 | $ | 119,169 | |||||
170,000 | BBB | WestRock Co., Company Guaranteed Notes, 3.000% due 9/15/24(a) | 171,027 | |||||||
WestRock RKT Co., Company Guaranteed Notes: | ||||||||||
100,000 | BBB | 3.500% due 3/1/20 | 103,161 | |||||||
39,000 | BBB | 4.900% due 3/1/22 | 42,876 | |||||||
20,000 | BBB | 4.000% due 3/1/23 | 21,271 | |||||||
|
| |||||||||
Total Containers & Packaging | 457,504 | |||||||||
|
| |||||||||
Diversified Financial Services — 1.8% | ||||||||||
American Express Co., Senior Unsecured Notes: | ||||||||||
500,000 | BBB+ | 1.550% due 5/22/18 | 499,976 | |||||||
72,000 | BBB+ | 2.650% due 12/2/22 | 73,143 | |||||||
Bear Stearns Cos. LLC (The), Company Guaranteed Notes: | ||||||||||
20,000 | A- | 6.400% due 10/2/17 | 19,982 | |||||||
2,280,000 | A- | 7.250% due 2/1/18 | 2,330,952 | |||||||
975,000 | AAA | CDP Financial Inc., Company Guaranteed Notes, 4.400% due 11/25/19(a) | 1,030,514 | |||||||
100,000 | BBB+ | Farmers Exchange Capital, Subordinated Notes, 7.200% due 7/15/48(a) | 131,191 | |||||||
900,000 | BBB+ | Farmers Exchange Capital II, Subordinated Notes, 6.151% (3-Month USD-LIBOR + 3.744%) due 11/1/53(a)(b) | 1,035,540 | |||||||
GE Capital International Funding Co. Unlimited Co., Company Guaranteed Notes: | ||||||||||
607,000 | AA- | 2.342% due 11/15/20 | 614,716 | |||||||
804,000 | AA- | 4.418% due 11/15/35 | 877,824 | |||||||
340,000 | A- | HSBC Finance Corp., Subordinated Notes, 6.676% due 1/15/21 | 386,888 | |||||||
1,090,000 | BBB- | International Lease Finance Corp., Senior Secured Notes, 7.125% due 9/1/18(a) | 1,144,709 | |||||||
John Deere Capital Corp., Senior Unsecured Notes: | ||||||||||
90,000 | A | 2.250% due 4/17/19 | 90,992 | |||||||
70,000 | A | 1.700% due 1/15/20 | 69,935 | |||||||
230,000 | A | 2.650% due 1/6/22 | 234,701 | |||||||
30,000 | A | KKR Group Finance Co. II LLC, Company Guaranteed Notes, 5.500% due 2/1/43(a) | 34,530 | |||||||
30,000 | A- | Nomura Holdings Inc., Senior Unsecured Notes, 2.750% due 3/19/19 | 30,382 | |||||||
65,000 | A- | ORIX Corp., Senior Unsecured Notes, 2.900% due 7/18/22 | 65,691 | |||||||
289,560 | BBB- | Pipeline Funding Co. LLC, Senior Secured Notes, 7.500% due 1/15/30(a) | 348,260 | |||||||
950,000 | AA- | Protective Life Global Funding, Senior Secured Notes, 1.769% (3-Month USD-LIBOR + 0.550%) due 6/8/18(a)(b) | 953,361 | |||||||
100,000 | BB | Quicken Loans Inc., Company Guaranteed Notes, 5.750% due 5/1/25(a) | 105,250 | |||||||
State Street Corp.: | ||||||||||
430,000 | BBB | Junior Subordinated Notes, 4.956% due 3/15/18 | 437,306 | |||||||
Senior Unsecured Notes: | ||||||||||
30,000 | A | 2.550% due 8/18/20 | 30,666 | |||||||
25,000 | A | 1.950% due 5/19/21 | 24,936 | |||||||
60,000 | A | 2.650% due 5/19/26 | 59,375 | |||||||
235,000 | BBB- | Synchrony Financial, Senior Unsecured Notes, 2.700% due 2/3/20 | 237,422 | |||||||
UBS Group Funding Switzerland AG, Company Guaranteed Notes: | ||||||||||
650,000 | A- | 3.491% due 5/23/23(a) | 669,574 | |||||||
200,000 | A- | 4.125% due 9/24/25(a) | 212,369 | |||||||
310,000 | A- | 4.253% due 3/23/28(a) | 329,628 | |||||||
Visa Inc., Senior Unsecured Notes: | ||||||||||
290,000 | A+ | 3.150% due 12/14/25 | 298,893 | |||||||
107,000 | A+ | 4.150% due 12/14/35 | 117,353 | |||||||
278,000 | A+ | 4.300% due 12/14/45 | 311,396 | |||||||
|
| |||||||||
Total Diversified Financial Services | 12,807,455 | |||||||||
|
| |||||||||
Diversified Telecommunication Services — 1.3% | ||||||||||
AT&T Inc., Senior Unsecured Notes: | ||||||||||
260,000 | BBB+ | 5.500% due 2/1/18 | 263,986 | |||||||
10,000 | BBB+ | 5.800% due 2/15/19 | 10,556 |
See Notes to Financial Statements.
157
Schedules of Investments |
(continued) |
Core Fixed Income Fund | ||||||||||
Face Amount/Units† | Rating†† | Security | Value | |||||||
Diversified Telecommunication Services — 1.3% — (continued) | ||||||||||
$ | 98,000 | BBB+ | 4.600% due 2/15/21 | $ | 104,702 | |||||
540,000 | BBB+ | 3.200% due 3/1/22 | 552,730 | |||||||
400,000 | BBB+ | 3.800% due 3/15/22 | 418,651 | |||||||
365,000 | BBB+ | 3.000% due 6/30/22 | 369,445 | |||||||
290,000 | BBB+ | 3.400% due 5/15/25 | 289,420 | |||||||
300,000 | BBB+ | 4.250% due 3/1/27 | 311,720 | |||||||
430,000 | BBB+ | 3.900% due 8/14/27 | 434,626 | |||||||
245,000 | BBB+ | 4.500% due 5/15/35 | 240,654 | |||||||
70,000 | BBB+ | 4.900% due 8/14/37 | 70,938 | |||||||
110,000 | BBB+ | 4.350% due 6/15/45 | 100,177 | |||||||
650,000 | BBB+ | 4.750% due 5/15/46 | 625,394 | |||||||
435,000 | BBB+ | 5.450% due 3/1/47 | 459,148 | |||||||
388,000 | BBB+ | 4.500% due 3/9/48 | 360,457 | |||||||
190,000 | BBB+ | Deutsche Telekom International Finance BV, Company Guaranteed Notes, 1.950% due 9/19/21(a) | 186,781 | |||||||
75,000 | CCC+ | Intelsat Jackson Holdings SA, Company Guaranteed Notes, 9.750% due 7/15/25(a) | 76,500 | |||||||
26,000 | BBB- | Motorola Solutions Inc., Senior Unsecured Notes, 4.000% due 9/1/24 | 26,729 | |||||||
Verizon Communications Inc., Senior Unsecured Notes: | ||||||||||
240,000 | BBB+ | 1.865% (3-Month USD-LIBOR + 0.550%) due 5/22/20(b) | 240,233 | |||||||
135,000 | BBB+ | 4.500% due 9/15/20 | 144,918 | |||||||
485,000 | BBB+ | 3.000% due 11/1/21 | 496,923 | |||||||
792,000 | BBB+ | 5.150% due 9/15/23 | 886,326 | |||||||
210,000 | BBB+ | 2.625% due 8/15/26 | 197,380 | |||||||
280,000 | BBB+ | 4.125% due 3/16/27 | 290,357 | |||||||
220,000 | Baa1(d) | 4.500% due 8/10/33 | 223,264 | |||||||
196,000 | BBB+ | 4.400% due 11/1/34 | 196,856 | |||||||
200,000 | BBB+ | 4.272% due 1/15/36 | 195,148 | |||||||
150,000 | BBB+ | 5.250% due 3/16/37 | 162,322 | |||||||
715,000 | BBB+ | 4.862% due 8/21/46 | 710,799 | |||||||
210,000 | BBB+ | 5.500% due 3/16/47 | 227,899 | |||||||
80,000 | BBB+ | 4.522% due 9/15/48 | 75,515 | |||||||
50,000 | BBB+ | 5.012% due 4/15/49 | 50,176 | |||||||
35,000 | BBB+ | 5.012% due 8/21/54 | 34,584 | |||||||
200,000 | BB- | Virgin Media Secured Finance PLC, Senior Secured Notes, 5.250% due 1/15/26(a) | 208,750 | |||||||
|
| |||||||||
Total Diversified Telecommunication Services | 9,244,064 | |||||||||
|
| |||||||||
Electric Utilities — 2.0% | ||||||||||
17,000 | A- | Alabama Power Co., Senior Unsecured Notes, 5.200% due 6/1/41 | 20,413 | |||||||
150,000 | A- | Baltimore Gas & Electric Co., Senior Unsecured Notes, 3.750% due 8/15/47 | 152,048 | |||||||
115,000 | A- | Berkshire Hathaway Energy Co., Senior Unsecured Notes, 6.500% due 9/15/37 | 157,282 | |||||||
215,000 | BBB+ | Cleveland Electric Illuminating Co. (The), Senior Secured Notes, 7.880% due 11/1/17 | 216,913 | |||||||
30,000 | BBB | CMS Energy Corp., Senior Unsecured Notes, 3.000% due 5/15/26 | 29,810 | |||||||
35,000 | BBB | Dominion Energy Inc., Junior Subordinated Notes, 2.579% due 7/1/20 | 35,359 | |||||||
100,000 | A | DTE Electric Co., General Refinance Mortgage, 3.700% due 3/15/45 | 102,285 | |||||||
Duke Energy Carolinas LLC, 1st Mortgage Notes: | ||||||||||
145,000 | A | 2.950% due 12/1/26 | 146,639 | |||||||
500,000 | A | 4.250% due 12/15/41 | 547,658 | |||||||
Duke Energy Corp., Senior Unsecured Notes: | ||||||||||
410,000 | BBB+ | 3.550% due 9/15/21 | 430,231 | |||||||
490,000 | BBB+ | 3.050% due 8/15/22 | 503,190 | |||||||
195,000 | A | Duke Energy Florida LLC, 1st Mortgage Notes, 5.900% due 3/1/33 | 246,390 | |||||||
750,000 | BBB- | Duquesne Light Holdings Inc., Senior Unsecured Notes, 6.400% due 9/15/20(a) | 841,144 | |||||||
15,000 | BBB | Emera US Finance LP, Company Guaranteed Notes, 2.150% due 6/15/19 | 15,029 | |||||||
15,000 | BBB | Enel Finance International NV, Company Guaranteed Notes, 2.875% due 5/25/22(a) | 15,175 | |||||||
35,000 | BBB | Entergy Corp., Senior Unsecured Notes, 2.950% due 9/1/26 | 34,317 |
See Notes to Financial Statements.
158
Schedules of Investments |
(continued) |
Core Fixed Income Fund | ||||||||||
Face Amount/Units† | Rating†† | Security | Value | |||||||
Electric Utilities — 2.0% — (continued) | ||||||||||
$ | 920,000 | A | Entergy Texas Inc., 1st Mortgage Notes, 7.125% due 2/1/19 | $ | 982,886 | |||||
Exelon Corp., Senior Unsecured Notes: | ||||||||||
175,000 | BBB- | 2.850% due 6/15/20 | 178,961 | |||||||
5,000 | BBB- | 2.450% due 4/15/21 | 5,026 | |||||||
10,000 | BBB- | 3.400% due 4/15/26 | 10,180 | |||||||
200,000 | BBB- | 4.950% due 6/15/35 | 226,832 | |||||||
143,000 | BBB- | 5.625% due 6/15/35 | 173,689 | |||||||
FirstEnergy Corp., Senior Unsecured Notes: | ||||||||||
270,000 | BB+ | 3.900% due 7/15/27 | 276,387 | |||||||
1,130,000 | BB+ | 7.375% due 11/15/31 | 1,529,427 | |||||||
Florida Power & Light Co., 1st Mortgage Notes: | ||||||||||
10,000 | A | 5.690% due 3/1/40 | 13,176 | |||||||
52,000 | A | 4.050% due 6/1/42 | 56,336 | |||||||
Georgia Power Co., Senior Unsecured Notes: | ||||||||||
70,000 | A- | 2.000% due 3/30/20 | 70,141 | |||||||
80,000 | A- | 3.250% due 3/30/27 | 81,099 | |||||||
148,817 | BBB+ | Indiantown Cogeneration LP, 1st Mortgage Notes, 9.770% due 12/15/20(f) | 160,829 | |||||||
600,000 | A- | Interstate Power & Light Co., Senior Unsecured Notes, 5.875% due 9/15/18 | 623,815 | |||||||
350,000 | BB+ | IPALCO Enterprises Inc., Senior Secured Notes, 5.000% due 5/1/18 | 354,375 | |||||||
700,000 | BBB- | Jersey Central Power & Light Co., Senior Unsecured Notes, 4.700% due 4/1/24(a) | 768,327 | |||||||
775,000 | BBB+ | KCP&L Greater Missouri Operations Co., Senior Unsecured Notes, 8.270% due 11/15/21 | 913,111 | |||||||
400,000 | A+ | MidAmerican Energy Co., 1st Mortgage Notes, 4.250% due 5/1/46 | 438,623 | |||||||
487,147 | CCC | Miran Mid-Atlantic Series C Pass-Through Trust, Pass-Thru Certificates, 10.060% due 12/30/28 | 465,226 | |||||||
50,000 | BBB+ | NextEra Energy Capital Holdings Inc., Company Guaranteed Notes, 3.550% due 5/1/27 | 51,975 | |||||||
70,000 | A | Northern States Power Co., 1st Mortgage Notes, 3.600% due 5/15/46 | 70,807 | |||||||
610,000 | A- | Pacific Gas & Electric Co., Senior Unsecured Notes, 6.050% due 3/1/34 | 796,918 | |||||||
500,000 | BBB+ | Public Service Co. of New Mexico, Senior Unsecured Notes, 7.950% due 5/15/18 | 520,709 | |||||||
500,000 | A | Public Service Electric & Gas Co., 1st Mortgage Notes, 4.000% due 6/1/44 | 526,379 | |||||||
700,000 | A- | Southwestern Electric Power Co., Senior Unsecured Notes, 5.875% due 3/1/18 | 713,697 | |||||||
Virginia Electric & Power Co., Senior Unsecured Notes: | ||||||||||
125,000 | BBB+ | 6.000% due 5/15/37 | 164,910 | |||||||
25,000 | BBB+ | 6.350% due 11/30/37 | 33,808 | |||||||
50,000 | BBB+ | 4.000% due 1/15/43 | 52,538 | |||||||
595,000 | BBB+ | 4.000% due 11/15/46 | 629,892 | |||||||
|
| |||||||||
Total Electric Utilities | 14,383,962 | |||||||||
|
| |||||||||
Electrical Equipment — 0.0% | ||||||||||
20,000 | A | ABB Finance USA Inc., Company Guaranteed Notes, 4.375% due 5/8/42 | 22,047 | |||||||
|
| |||||||||
Electronic Equipment, Instruments & Components — 0.1% | ||||||||||
10,000 | BBB- | Avnet Inc., Senior Unsecured Notes, 4.625% due 4/15/26 | 10,494 | |||||||
303,000 | BBB- | Jabil Inc., Senior Unsecured Notes, 8.250% due 3/15/18 | 313,605 | |||||||
20,000 | A- | Tyco Electronics Group SA, Company Guaranteed Notes, 3.450% due 8/1/24 | 20,951 | |||||||
|
| |||||||||
Total Electronic Equipment, Instruments & Components | 345,050 | |||||||||
|
| |||||||||
Energy Equipment & Services — 0.1% | ||||||||||
400,000 | AA- | Sinopec Group Overseas Development 2014 Ltd., Company Guaranteed Notes, 4.375% due 4/10/24(a) | 433,755 | |||||||
30,000 | BBB | Williams Partners LP/ACMP Finance Corp., Senior Unsecured Notes, 4.875% due 3/15/24 | 31,351 | |||||||
|
| |||||||||
Total Energy Equipment & Services | 465,106 | |||||||||
|
| |||||||||
Food & Staples Retailing — 0.2% | ||||||||||
CVS Health Corp., Senior Unsecured Notes: | ||||||||||
550,000 | BBB+ | 1.900% due 7/20/18 | 551,587 | |||||||
5,000 | BBB+ | 2.800% due 7/20/20 | 5,111 |
See Notes to Financial Statements.
159
Schedules of Investments |
(continued) |
Core Fixed Income Fund | ||||||||||
Face Amount/Units† | Rating†† | Security | Value | |||||||
Food & Staples Retailing — 0.2% — (continued) | ||||||||||
$ | 340,000 | BBB+ | 2.750% due 12/1/22 | $ | 344,614 | |||||
116,000 | BBB+ | 3.875% due 7/20/25 | 122,036 | |||||||
175,000 | BBB+ | 5.125% due 7/20/45 | 202,575 | |||||||
187,816 | BBB+ | CVS Pass-Through Trust, Pass-Thru Certificates, 6.036% due 12/10/28 | 214,893 | |||||||
|
| |||||||||
Total Food & Staples Retailing | 1,440,816 | |||||||||
|
| |||||||||
Food Products — 0.4% | ||||||||||
35,000 | BB+ | Aramark Services Inc., Company Guaranteed Notes, 4.750% due 6/1/26 | 36,760 | |||||||
54,000 | CCC+ | Chobani LLC/Chobani Finance Corp., Inc., Company Guaranteed Notes, 7.500% due 4/15/25(a) | 58,928 | |||||||
1,130,000 | BBB+ | Danone SA, Senior Unsecured Notes, 2.077% due 11/2/21(a) | 1,116,168 | |||||||
Kraft Heinz Foods Co.: | ||||||||||
Company Guaranteed Notes: | ||||||||||
60,000 | BBB- | 5.375% due 2/10/20 | 64,713 | |||||||
130,000 | BBB- | 3.950% due 7/15/25 | 134,979 | |||||||
150,000 | BBB- | 3.000% due 6/1/26 | 144,779 | |||||||
60,000 | BBB- | 5.000% due 7/15/35 | 65,577 | |||||||
90,000 | BBB- | 5.200% due 7/15/45 | 98,085 | |||||||
605,000 | BBB- | 4.375% due 6/1/46 | 588,969 | |||||||
96,000 | BBB- | Secured Notes, 4.875% due 2/15/25(a) | 103,194 | |||||||
WM Wrigley Jr Co., Senior Unsecured Notes: | ||||||||||
50,000 | A | 2.400% due 10/21/18(a) | 50,371 | |||||||
140,000 | A | 2.900% due 10/21/19(a) | 142,460 | |||||||
|
| |||||||||
Total Food Products | 2,604,983 | |||||||||
|
| |||||||||
Health Care Equipment & Supplies — 0.4% | ||||||||||
Abbott Laboratories, Senior Unsecured Notes: | ||||||||||
80,000 | BBB | 2.900% due 11/30/21 | 81,459 | |||||||
150,000 | BBB | 3.750% due 11/30/26 | 155,253 | |||||||
70,000 | BBB | 4.750% due 11/30/36 | 76,983 | |||||||
150,000 | BBB | 4.900% due 11/30/46 | 168,358 | |||||||
400,000 | AA- | Baylor Scott & White Holdings, Unsecured Notes, 4.185% due 11/15/45 | 435,028 | |||||||
Becton Dickinson & Co., Senior Unsecured Notes: | ||||||||||
430,000 | BBB+ | 3.363% due 6/6/24 | 435,925 | |||||||
61,000 | BBB+ | 3.734% due 12/15/24 | 63,119 | |||||||
60,000 | BBB+ | 4.685% due 12/15/44 | 63,279 | |||||||
120,000 | A | Medtronic Global Holdings SCA, Company Guaranteed Notes, 3.350% due 4/1/27 | 124,192 | |||||||
Medtronic Inc., Company Guaranteed Notes: | ||||||||||
620,000 | A | 3.500% due 3/15/25 | 654,270 | |||||||
80,000 | A | 5.550% due 3/15/40 | 100,276 | |||||||
St Jude Medical LLC, Senior Unsecured Notes: | ||||||||||
120,000 | BBB | 3.250% due 4/15/23 | 119,881 | |||||||
13,000 | BBB | 4.750% due 4/15/43 | 13,084 | |||||||
Stryker Corp., Senior Unsecured Notes: | ||||||||||
20,000 | A | 3.500% due 3/15/26 | 20,788 | |||||||
30,000 | A | 4.625% due 3/15/46 | 33,209 | |||||||
|
| |||||||||
Total Health Care Equipment & Supplies | 2,545,104 | |||||||||
|
| |||||||||
Health Care Providers & Services — 0.8% | ||||||||||
Aetna Inc., Senior Unsecured Notes: | ||||||||||
40,000 | A | 2.800% due 6/15/23 | 40,640 | |||||||
55,000 | A | 4.125% due 11/15/42 | 58,300 | |||||||
40,000 | A | 3.875% due 8/15/47 | 41,097 | |||||||
Anthem Inc., Senior Unsecured Notes: | ||||||||||
825,000 | A | 1.875% due 1/15/18 | 825,318 | |||||||
410,000 | A | 3.125% due 5/15/22 | 423,000 |
See Notes to Financial Statements.
160
Schedules of Investments |
(continued) |
Core Fixed Income Fund | ||||||||||
Face Amount/Units† | Rating†† | Security | Value | |||||||
Health Care Providers & Services — 0.8% — (continued) | ||||||||||
Cardinal Health Inc., Senior Unsecured Notes: | ||||||||||
$ | 70,000 | BBB+ | 2.616% due 6/15/22 | $ | 70,438 | |||||
350,000 | BBB+ | 3.079% due 6/15/24 | 355,597 | |||||||
30,000 | BBB+ | Catholic Health Initiatives, Secured Notes, 4.350% due 11/1/42 | 28,709 | |||||||
175,000 | BB+ | Centene Corp., Senior Unsecured Notes, 4.750% due 1/15/25 | 181,125 | |||||||
70,000 | A | Cigna Corp., Senior Unsecured Notes, 3.250% due 4/15/25 | 71,533 | |||||||
102,000 | B+ | DaVita Inc., Company Guaranteed Notes, 5.000% due 5/1/25 | 103,663 | |||||||
380,000 | BBB- | Fresenius Medical Care US Finance II Inc., Company Guaranteed Notes, 5.625% due 7/31/19(a) | 405,175 | |||||||
20,000 | BBB- | Fresenius Medical Care US Finance Inc., Company Guaranteed Notes, 5.750% due 2/15/21(a) | 22,072 | |||||||
HCA Inc.: | ||||||||||
100,000 | B+ | Company Guaranteed Notes, 7.500% due 2/15/22 | 115,500 | |||||||
Senior Secured Notes: | ||||||||||
410,000 | BBB- | 6.500% due 2/15/20 | 447,507 | |||||||
40,000 | BBB- | 5.000% due 3/15/24 | 42,600 | |||||||
140,000 | BBB- | 5.250% due 6/15/26 | 151,025 | |||||||
Humana Inc., Senior Unsecured Notes: | ||||||||||
280,000 | BBB+ | 3.150% due 12/1/22 | 287,845 | |||||||
30,000 | BBB+ | 3.950% due 3/15/27 | 31,842 | |||||||
70,000 | BBB+ | 4.625% due 12/1/42 | 76,830 | |||||||
40,000 | BBB+ | 4.950% due 10/1/44 | 46,277 | |||||||
500,000 | AA- | Kaiser Foundation Hospitals, Company Guaranteed Notes, 3.150% due 5/1/27 | 507,769 | |||||||
65,000 | BB | Molina Healthcare Inc., Company Guaranteed Notes, 5.375% due 11/15/22 | 68,087 | |||||||
250,000 | A- | Northwell Healthcare Inc., Secured Notes, 3.979% due 11/1/46 | 245,124 | |||||||
Tenet Healthcare Corp.: | ||||||||||
Senior Secured Notes: | ||||||||||
70,000 | BB- | 4.500% due 4/1/21 | 71,750 | |||||||
81,000 | BB- | 4.375% due 10/1/21 | 82,721 | |||||||
10,000 | CCC+ | Senior Unsecured Notes, 8.125% due 4/1/22 | 10,525 | |||||||
UnitedHealth Group Inc., Senior Unsecured Notes: | ||||||||||
460,000 | A+ | 3.375% due 11/15/21 | 482,469 | |||||||
160,000 | A+ | 3.350% due 7/15/22 | 168,196 | |||||||
22,000 | A+ | 4.250% due 3/15/43 | 23,808 | |||||||
190,000 | A+ | 4.750% due 7/15/45 | 222,031 | |||||||
98,000 | BB | WellCare Health Plans Inc., Senior Unsecured Notes, 5.250% due 4/1/25 | 102,900 | |||||||
|
| |||||||||
Total Health Care Providers & Services | 5,811,473 | |||||||||
|
| |||||||||
Hotels, Restaurants & Leisure — 0.2% | ||||||||||
1011778 BC ULC/New Red Finance Inc.: | ||||||||||
130,000 | B- | Secured Notes, 6.000% due 4/1/22(a) | 134,371 | |||||||
113,000 | B+ | Senior Secured Notes, 4.250% due 5/15/24(a) | 114,695 | |||||||
300,000 | BB | Churchill Downs Inc., Company Guaranteed Notes, 5.375% due 12/15/21 | 310,770 | |||||||
115,000 | BB+ | GLP Capital LP/GLP Financing II Inc., Company Guaranteed Notes, 5.375% due 4/15/26 | 125,063 | |||||||
120,000 | BB+ | Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., Company Guaranteed Notes, 4.875% due 4/1/27 | 127,500 | |||||||
McDonald’s Corp., Senior Unsecured Notes: | ||||||||||
50,000 | BBB+ | 3.500% due 7/15/20 | 52,228 | |||||||
170,000 | BBB+ | 3.700% due 1/30/26 | 179,269 | |||||||
40,000 | BBB+ | 3.500% due 3/1/27 | 41,470 | |||||||
180,000 | BBB+ | 4.600% due 5/26/45 | 197,987 | |||||||
40,000 | BBB+ | 4.450% due 3/1/47 | 42,756 | |||||||
|
| |||||||||
Total Hotels, Restaurants & Leisure | 1,326,109 | |||||||||
|
|
See Notes to Financial Statements.
161
Schedules of Investments |
(continued) |
Core Fixed Income Fund | ||||||||||
Face Amount/Units† | Rating†† | Security | Value | |||||||
Household Durables — 0.1% | ||||||||||
Newell Brands Inc., Senior Unsecured Notes: | ||||||||||
$ | 70,000 | BBB- | 3.150% due 4/1/21 | $ | 72,055 | |||||
120,000 | BBB- | 3.850% due 4/1/23 | 127,119 | |||||||
100,000 | BBB- | 4.200% due 4/1/26 | 106,721 | |||||||
150,000 | BB- | Taylor Morrison Communities Inc./Taylor Morrison Holdings II Inc., Company Guaranteed Notes, 5.250% due 4/15/21(a) | 153,682 | |||||||
|
| |||||||||
Total Household Durables | 459,577 | |||||||||
|
| |||||||||
Household Products — 0.0% | ||||||||||
90,000 | BB- | Central Garden & Pet Co., Company Guaranteed Notes, 6.125% due 11/15/23 | 96,300 | |||||||
225,000 | B+ | Reynolds Group Issuer Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu, Senior Secured Notes, 5.750% due 10/15/20 | 229,475 | |||||||
|
| |||||||||
Total Household Products | 325,775 | |||||||||
|
| |||||||||
Independent Power and Renewable Electricity Producers — 0.0% | ||||||||||
90,000 | BB | AES Corp., Senior Unsecured Notes, 4.875% due 5/15/23 | 92,475 | |||||||
|
| |||||||||
Industrial Conglomerates — 0.5% | ||||||||||
Eaton Corp., Company Guaranteed Notes: | ||||||||||
80,000 | A- | 1.500% due 11/2/17 | 79,983 | |||||||
526,000 | A- | 2.750% due 11/2/22 | 534,261 | |||||||
185,000 | A- | 4.150% due 11/2/42 | 191,691 | |||||||
General Electric Co.: | ||||||||||
Senior Unsecured Notes: | ||||||||||
72,000 | AA- | 4.650% due 10/17/21 | 79,483 | |||||||
1,025,000 | AA- | 1.795% (3-Month USD-LIBOR + 0.480%) due 8/15/36(b) | 917,298 | |||||||
122,000 | AA- | 6.150% due 8/7/37 | 162,693 | |||||||
258,000 | AA- | 6.875% due 1/10/39 | 376,858 | |||||||
190,000 | AA- | 4.500% due 3/11/44 | 212,542 | |||||||
141,000 | A+ | Subordinated Notes, 5.300% due 2/11/21 | 156,343 | |||||||
500,000 | A+ | Siemens Financieringsmaatschappij NV, Company Guaranteed Notes, 2.350% due 10/15/26(a) | 476,690 | |||||||
|
| |||||||||
Total Industrial Conglomerates | 3,187,842 | |||||||||
|
| |||||||||
Insurance — 0.7% | ||||||||||
American International Group Inc., Senior Unsecured Notes: | ||||||||||
10,000 | BBB+ | 4.875% due 6/1/22 | 11,066 | |||||||
55,000 | BBB+ | 4.375% due 1/15/55 | 54,582 | |||||||
Aon PLC, Company Guaranteed Notes: | ||||||||||
80,000 | A- | 3.875% due 12/15/25 | 85,329 | |||||||
46,000 | A- | 4.450% due 5/24/43 | 47,839 | |||||||
34,000 | A- | 4.600% due 6/14/44 | 36,912 | |||||||
80,000 | A- | 4.750% due 5/15/45 | 88,572 | |||||||
40,000 | A- | Arch Capital Finance LLC, Company Guaranteed Notes, 4.011% due 12/15/26 | 42,191 | |||||||
400,000 | AA | Berkshire Hathaway Finance Corp., Company Guaranteed Notes, 4.400% due 5/15/42 | 441,126 | |||||||
Berkshire Hathaway Inc., Senior Unsecured Notes: | ||||||||||
45,000 | AA | 2.750% due 3/15/23 | 46,063 | |||||||
30,000 | AA | 3.125% due 3/15/26 | 30,745 | |||||||
Chubb INA Holdings Inc., Company Guaranteed Notes: | ||||||||||
60,000 | A | 2.300% due 11/3/20 | 60,678 | |||||||
70,000 | A | 3.350% due 5/3/26 | 72,559 | |||||||
44,000 | BBB+ | Hartford Financial Services Group Inc. (The), Senior Unsecured Notes, 4.300% due 4/15/43 | 46,579 | |||||||
605,000 | AA | Jackson National Life Global Funding, Senior Secured Notes, 1.875% due 10/15/18(a) | 606,612 | |||||||
Marsh & McLennan Cos., Inc., Senior Unsecured Notes: | ||||||||||
190,000 | A- | 2.750% due 1/30/22 | 193,946 | |||||||
20,000 | A- | 3.500% due 6/3/24 | 20,901 | |||||||
40,000 | A- | 3.500% due 3/10/25 | 41,777 |
See Notes to Financial Statements.
162
Schedules of Investments |
(continued) |
Core Fixed Income Fund | ||||||||||
Face Amount/Units† | Rating†† | Security | Value | |||||||
Insurance — 0.7% — (continued) | ||||||||||
$ | 11,000 | A- | 3.750% due 3/14/26 | $ | 11,671 | |||||
70,000 | A- | 4.350% due 1/30/47 | 76,345 | |||||||
1,020,000 | BBB | MetLife Inc., Junior Subordinated Notes, 6.400% due 12/15/36 | 1,178,100 | |||||||
850,000 | A- | Nationwide Mutual Insurance Co., Subordinated Notes, 3.536% (3-Month USD-LIBOR + 2.290%) due 12/15/24(a)(b) | 851,296 | |||||||
Principal Financial Group Inc., Company Guaranteed Notes: | ||||||||||
35,000 | BBB+ | 3.125% due 5/15/23 | 36,016 | |||||||
25,000 | BBB+ | 3.100% due 11/15/26 | 25,267 | |||||||
10,000 | BBB+ | 4.625% due 9/15/42 | 11,114 | |||||||
140,000 | A | Prudential Financial Inc., Senior Unsecured Notes, 7.375% due 6/15/19 | 153,571 | |||||||
Teachers Insurance & Annuity Association of America, Subordinated Notes: | ||||||||||
24,000 | AA- | 6.850% due 12/16/39(a) | 33,688 | |||||||
320,000 | AA- | 4.900% due 9/15/44(a) | 364,335 | |||||||
19,000 | BBB | Voya Financial Inc., Company Guaranteed Notes, 2.900% due 2/15/18 | 19,114 | |||||||
238,000 | BBB | Willis North America Inc., Company Guaranteed Notes, 3.600% due 5/15/24 | 245,404 | |||||||
|
| |||||||||
Total Insurance | 4,933,398 | |||||||||
|
| |||||||||
Internet & Direct Marketing Retail — 0.2% | ||||||||||
Amazon.com Inc., Senior Unsecured Notes: | ||||||||||
40,000 | AA- | 3.800% due 12/5/24 | 43,160 | |||||||
525,000 | AA- | 3.150% due 8/22/27(a) | 535,565 | |||||||
99,000 | AA- | 4.800% due 12/5/34 | 113,484 | |||||||
80,000 | AA- | 3.875% due 8/22/37(a) | 82,788 | |||||||
160,000 | AA- | 4.950% due 12/5/44 | 187,161 | |||||||
147,000 | AA- | 4.050% due 8/22/47(a) | 151,870 | |||||||
70,000 | AA- | 4.250% due 8/22/57(a) | 73,159 | |||||||
90,000 | B+ | Netflix Inc., Senior Unsecured Notes, 5.500% due 2/15/22 | 97,200 | |||||||
|
| |||||||||
Total Internet & Direct Marketing Retail | 1,284,387 | |||||||||
|
| |||||||||
IT Services — 0.1% | ||||||||||
International Business Machines Corp., Senior Unsecured Notes: | ||||||||||
180,000 | A+ | 1.875% due 5/15/19 | 180,840 | |||||||
150,000 | A+ | 2.875% due 11/9/22 | 154,170 | |||||||
|
| |||||||||
Total IT Services | 335,010 | |||||||||
|
| |||||||||
Life Sciences Tools & Services — 0.1% | ||||||||||
Thermo Fisher Scientific Inc., Senior Unsecured Notes: | ||||||||||
315,000 | BBB | 3.600% due 8/15/21 | 330,367 | |||||||
20,000 | BBB | 2.950% due 9/19/26 | 19,812 | |||||||
|
| |||||||||
Total Life Sciences Tools & Services | 350,179 | |||||||||
|
| |||||||||
Media — 1.1% | ||||||||||
21st Century Fox America Inc., Company Guaranteed Notes: | ||||||||||
30,000 | BBB+ | 4.500% due 2/15/21 | 32,283 | |||||||
25,000 | BBB+ | 6.200% due 12/15/34 | 31,475 | |||||||
10,000 | BBB+ | 6.900% due 8/15/39 | 13,587 | |||||||
80,000 | BB+ | CCO Holdings LLC/CCO Holdings Capital Corp., Senior Unsecured Notes, 5.125% due 5/1/27(a) | 82,600 | |||||||
Charter Communications Operating LLC/Charter Communications Operating Capital, Senior Secured Notes: | ||||||||||
595,000 | BBB- | 4.464% due 7/23/22 | 630,011 | |||||||
130,000 | BBB- | 4.908% due 7/23/25 | 139,488 | |||||||
10,000 | BBB- | 6.384% due 10/23/35 | 11,477 | |||||||
385,000 | BBB- | 6.484% due 10/23/45 | 443,826 | |||||||
215,000 | BBB- | 5.375% due 5/1/47(a) | 220,396 | |||||||
160,000 | A- | Comcast Cable Communications Holdings Inc., Company Guaranteed Notes, 9.455% due 11/15/22 | 214,379 |
See Notes to Financial Statements.
163
Schedules of Investments |
(continued) |
Core Fixed Income Fund | ||||||||||
Face Amount/Units† | Rating†† | Security | Value | |||||||
Media — 1.1% — (continued) | ||||||||||
Comcast Corp., Company Guaranteed Notes: | ||||||||||
$ | 30,000 | A- | 5.875% due 2/15/18 | $ | 30,582 | |||||
430,000 | A- | 5.700% due 5/15/18 | 442,580 | |||||||
37,000 | A- | 2.350% due 1/15/27 | 34,866 | |||||||
270,000 | A- | 3.300% due 2/1/27 | 275,427 | |||||||
30,000 | A- | 6.500% due 11/15/35 | 39,535 | |||||||
40,000 | A- | 6.450% due 3/15/37 | 52,915 | |||||||
20,000 | A- | 6.950% due 8/15/37 | 27,864 | |||||||
10,000 | A- | 6.550% due 7/1/39 | 13,551 | |||||||
61,000 | A- | 4.650% due 7/15/42 | 66,613 | |||||||
190,000 | A- | 3.400% due 7/15/46 | 174,116 | |||||||
265,000 | BBB | Cox Communications Inc., Senior Unsecured Notes, 3.150% due 8/15/24(a) | 265,347 | |||||||
225,000 | B | CSC Holdings LLC, Senior Unsecured Notes, 8.625% due 2/15/19 | 246,375 | |||||||
46,000 | BBB- | Discovery Communications LLC, Company Guaranteed Notes, 4.875% due 4/1/43 | 44,430 | |||||||
DISH DBS Corp., Company Guaranteed Notes: | ||||||||||
20,000 | B+ | 5.125% due 5/1/20 | 21,100 | |||||||
150,000 | B+ | 5.875% due 7/15/22 | 162,563 | |||||||
370,000 | BBB- | Myriad International Holdings BV, Company Guaranteed Notes, 4.850% due 7/6/27(a) | 388,315 | |||||||
NBCUniversal Media LLC, Company Guaranteed Notes: | ||||||||||
40,000 | A- | 5.150% due 4/30/20 | 43,482 | |||||||
170,000 | A- | 4.375% due 4/1/21 | 184,067 | |||||||
171,000 | A- | 4.450% due 1/15/43 | 181,197 | |||||||
30,000 | BBB+ | Omnicom Group Inc., Company Guaranteed Notes, 3.600% due 4/15/26 | 30,580 | |||||||
70,000 | BB+ | TEGNA Inc., Company Guaranteed Notes, 5.500% due 9/15/24(a) | 73,938 | |||||||
Time Warner Cable LLC, Senior Secured Notes: | ||||||||||
500,000 | BBB- | 6.750% due 7/1/18 | 519,644 | |||||||
54,000 | BBB- | 8.750% due 2/14/19 | 58,989 | |||||||
410,000 | BBB- | 8.250% due 4/1/19 | 448,073 | |||||||
200,000 | BBB- | 5.000% due 2/1/20 | 212,509 | |||||||
140,000 | BBB- | 4.125% due 2/15/21 | 146,090 | |||||||
385,000 | BBB- | 4.000% due 9/1/21 | 401,491 | |||||||
230,000 | BBB- | 7.300% due 7/1/38 | 284,470 | |||||||
20,000 | BBB- | 5.875% due 11/15/40 | 21,531 | |||||||
100,000 | BBB- | 5.500% due 9/1/41 | 102,816 | |||||||
40,000 | BBB- | Time Warner Entertainment Co. LP, Senior Secured Notes, 8.375% due 7/15/33 | 53,878 | |||||||
Time Warner Inc., Company Guaranteed Notes: | ||||||||||
60,000 | BBB | 4.700% due 1/15/21 | 64,669 | |||||||
110,000 | BBB | 4.750% due 3/29/21 | 119,006 | |||||||
234,000 | BBB | 3.875% due 1/15/26 | 239,230 | |||||||
230,000 | BBB | 3.800% due 2/15/27 | 231,997 | |||||||
30,000 | BBB | 6.250% due 3/29/41 | 36,006 | |||||||
Viacom Inc., Senior Unsecured Notes: | ||||||||||
40,000 | BBB- | 4.250% due 9/1/23 | 41,499 | |||||||
10,000 | BBB- | 3.875% due 4/1/24 | 10,133 | |||||||
|
| |||||||||
Total Media | 7,610,996 | |||||||||
|
| |||||||||
Metals & Mining — 0.4% | ||||||||||
30,000 | BB+ | ArcelorMittal, Senior Unsecured Notes, 7.500% due 10/15/39 | 35,625 | |||||||
Barrick Gold Corp., Senior Unsecured Notes: | ||||||||||
107,000 | BBB- | 4.100% due 5/1/23 | 117,798 | |||||||
40,000 | BBB- | 5.250% due 4/1/42 | 46,239 | |||||||
Barrick North America Finance LLC, Company Guaranteed Notes: | ||||||||||
34,000 | BBB- | 4.400% due 5/30/21 | 36,806 | |||||||
70,000 | BBB- | 5.700% due 5/30/41 | 84,774 | |||||||
90,000 | BBB- | 5.750% due 5/1/43 | 111,288 |
See Notes to Financial Statements.
164
Schedules of Investments |
(continued) |
Core Fixed Income Fund | ||||||||||
Face Amount/Units† | Rating†† | Security | Value | |||||||
Metals & Mining — 0.4% — (continued) | ||||||||||
BHP Billiton Finance USA Ltd., Company Guaranteed Notes: | ||||||||||
$ | 150,000 | A | 5.000% due 9/30/43 | $ | 178,014 | |||||
310,000 | BBB+ | 6.750% (5-Year USD Swap Rate + 5.093%) due 10/19/75(a)(b) | 360,375 | |||||||
Freeport-McMoRan Inc., Company Guaranteed Notes: | ||||||||||
78,000 | BB- | 6.125% due 6/15/19 | 79,306 | |||||||
30,000 | BB- | 4.000% due 11/14/21 | 30,165 | |||||||
10,000 | BB- | 5.450% due 3/15/43 | 9,350 | |||||||
330,000 | BBB | Glencore Finance Canada Ltd., Company Guaranteed Notes, 2.700% due 10/25/17(a) | 324,743 | |||||||
Glencore Funding LLC, Company Guaranteed Notes: | ||||||||||
20,000 | BBB | 4.125% due 5/30/23(a) | 20,876 | |||||||
210,000 | BBB | 4.625% due 4/29/24(a) | 223,570 | |||||||
280,000 | BBB | 4.000% due 3/27/27(a) | 284,078 | |||||||
660,000 | BBB | Southern Copper Corp., Senior Unsecured Notes, 5.250% due 11/8/42 | 707,977 | |||||||
260,000 | BBB- | Vale Overseas Ltd., Company Guaranteed Notes, 6.875% due 11/21/36 | 298,610 | |||||||
|
| |||||||||
Total Metals & Mining | 2,949,594 | |||||||||
|
| |||||||||
Multiline Retail — 0.0% | ||||||||||
50,000 | BB+ | Dollar Tree Inc., Company Guaranteed Notes, 5.750% due 3/1/23 | 53,000 | |||||||
Target Corp., Senior Unsecured Notes: | ||||||||||
100,000 | A | 2.500% due 4/15/26 | 96,099 | |||||||
50,000 | A | 3.625% due 4/15/46 | 47,112 | |||||||
|
| |||||||||
Total Multiline Retail | 196,211 | |||||||||
|
| |||||||||
Multi-Utilities — 0.0% | ||||||||||
20,000 | BBB | Black Hills Corp., Senior Unsecured Notes, 3.150% due 1/15/27 | 19,842 | |||||||
95,000 | A- | CenterPoint Energy Resources Corp., Senior Unsecured Notes, 4.100% due 9/1/47 | 97,113 | |||||||
|
| |||||||||
Total Multi-Utilities | 116,955 | |||||||||
|
| |||||||||
Oil, Gas & Consumable Fuels — 2.8% | ||||||||||
140,000 | BBB | Anadarko Finance Co., Company Guaranteed Notes, 7.500% due 5/1/31 | 176,265 | |||||||
Anadarko Petroleum Corp., Senior Unsecured Notes: | ||||||||||
70,000 | BBB | 4.850% due 3/15/21 | 74,466 | |||||||
200,000 | BBB | 3.450% due 7/15/24 | 198,809 | |||||||
180,000 | BBB | 5.550% due 3/15/26 | 201,258 | |||||||
40,000 | BBB | 6.450% due 9/15/36 | 46,898 | |||||||
220,000 | BBB | 4.500% due 7/15/44 | 207,651 | |||||||
40,000 | BBB | 6.600% due 3/15/46 | 48,686 | |||||||
Apache Corp., Senior Unsecured Notes: | ||||||||||
230,000 | BBB | 3.250% due 4/15/22 | 234,285 | |||||||
43,000 | BBB | 6.000% due 1/15/37 | 49,712 | |||||||
309,000 | BBB | 5.100% due 9/1/40 | 323,231 | |||||||
120,000 | BBB | 4.750% due 4/15/43 | 119,199 | |||||||
60,000 | BBB | 4.250% due 1/15/44 | 55,968 | |||||||
BP Capital Markets PLC, Company Guaranteed Notes: | ||||||||||
110,000 | A- | 3.245% due 5/6/22 | 114,587 | |||||||
230,000 | A- | 3.216% due 11/28/23 | 236,809 | |||||||
270,000 | A- | 3.814% due 2/10/24 | 287,509 | |||||||
300,000 | A- | 3.506% due 3/17/25 | 313,351 | |||||||
94,000 | BBB+ | Canadian Natural Resources Ltd., Senior Unsecured Notes, 3.850% due 6/1/27 | 94,238 | |||||||
430,000 | BBB | Cenovus Energy Inc., Senior Unsecured Notes, 5.700% due 10/15/19 | 452,198 | |||||||
138,000 | BB- | Cheniere Corpus Christi Holdings LLC, Senior Secured Notes, 5.125% due 6/30/27(a) | 143,175 | |||||||
Chevron Corp., Senior Unsecured Notes: | ||||||||||
125,000 | AA- | 2.895% due 3/3/24 | 128,274 | |||||||
330,000 | AA- | 2.954% due 5/16/26 | 334,003 |
See Notes to Financial Statements.
165
Schedules of Investments |
(continued) |
Core Fixed Income Fund | ||||||||||
Face Amount/Units† | Rating†† | Security | Value | |||||||
Oil, Gas & Consumable Fuels — 2.8% — (continued) | ||||||||||
Cimarex Energy Co.: | ||||||||||
$ | 362,000 | BBB- | Company Guaranteed Notes, 4.375% due 6/1/24 | $ | 384,415 | |||||
416,000 | BBB- | Senior Unsecured Notes, 3.900% due 5/15/27 | 423,125 | |||||||
530,000 | A+ | CNOOC Finance 2015 USA LLC, Company Guaranteed Notes, 3.500% due 5/5/25 | 544,526 | |||||||
95,000 | BBB- | Concho Resources Inc., Company Guaranteed Notes, 5.500% due 10/1/22 | 97,909 | |||||||
30,000 | BB+ | Continental Resources Inc., Company Guaranteed Notes, 4.500% due 4/15/23 | 29,625 | |||||||
Devon Energy Corp., Senior Unsecured Notes: | ||||||||||
148,000 | BBB | 3.250% due 5/15/22 | 149,937 | |||||||
200,000 | BBB | 5.850% due 12/15/25(g) | 229,181 | |||||||
190,000 | BBB | 5.600% due 7/15/41 | 203,497 | |||||||
59,000 | BBB | 5.000% due 6/15/45 | 60,079 | |||||||
72,000 | BB- | Diamondback Energy Inc., Company Guaranteed Notes, 4.750% due 11/1/24 | 72,540 | |||||||
Ecopetrol SA, Senior Unsecured Notes: | ||||||||||
95,000 | BBB | 4.125% due 1/16/25 | 95,475 | |||||||
650,000 | BBB | 5.875% due 5/28/45 | 634,953 | |||||||
285,000 | BBB- | El Paso Natural Gas Co. LLC, Company Guaranteed Notes, 8.625% due 1/15/22 | 346,066 | |||||||
Energy Transfer LP, Senior Unsecured Notes: | ||||||||||
178,000 | BBB- | 4.750% due 1/15/26 | 187,695 | |||||||
300,000 | BBB- | 8.250% due 11/15/29 | 395,363 | |||||||
40,000 | BBB- | 4.900% due 3/15/35 | 39,753 | |||||||
120,000 | BBB- | 5.150% due 3/15/45 | 116,615 | |||||||
EnLink Midstream Partners LP, Senior Unsecured Notes: | ||||||||||
40,000 | BBB- | 2.700% due 4/1/19 | 40,070 | |||||||
30,000 | BBB- | 4.850% due 7/15/26 | 31,460 | |||||||
87,000 | BB | Ensco PLC, Senior Unsecured Notes, 8.000% due 1/31/24(g) | 78,735 | |||||||
Enterprise Products Operating LLC, Company Guaranteed Notes: | ||||||||||
130,000 | BBB+ | 6.300% due 9/15/17 | 129,942 | |||||||
60,000 | BBB+ | 3.700% due 2/15/26 | 62,085 | |||||||
130,000 | BBB+ | 4.900% due 5/15/46 | 141,233 | |||||||
EOG Resources Inc., Senior Unsecured Notes: | ||||||||||
125,000 | BBB+ | 2.450% due 4/1/20 | 125,999 | |||||||
90,000 | BBB+ | 4.150% due 1/15/26 | 96,076 | |||||||
70,000 | BBB+ | 3.900% due 4/1/35 | 69,821 | |||||||
140,000 | CCC- | EP Energy LLC/Everest Acquisition Finance Inc., Company Guaranteed Notes, 6.375% due 6/15/23 | 80,500 | |||||||
Exxon Mobil Corp., Senior Unsecured Notes: | ||||||||||
380,000 | AA+ | 3.043% due 3/1/26 | 391,084 | |||||||
70,000 | AA+ | 4.114% due 3/1/46 | 75,148 | |||||||
Halliburton Co., Senior Unsecured Notes: | ||||||||||
220,000 | BBB+ | 3.800% due 11/15/25 | 227,663 | |||||||
20,000 | BBB+ | 4.850% due 11/15/35 | 21,758 | |||||||
50,000 | BBB+ | 5.000% due 11/15/45 | 54,389 | |||||||
Hess Corp., Senior Unsecured Notes: | ||||||||||
10,000 | BBB- | 7.300% due 8/15/31 | 11,600 | |||||||
45,000 | BBB- | 5.800% due 4/1/47 | 45,145 | |||||||
Kerr-McGee Corp., Company Guaranteed Notes: | ||||||||||
200,000 | BBB | 6.950% due 7/1/24 | 236,665 | |||||||
75,000 | BBB | 7.875% due 9/15/31 | 97,031 | |||||||
Kinder Morgan Energy Partners LP, Company Guaranteed Notes: | ||||||||||
120,000 | BBB- | 6.850% due 2/15/20 | 132,648 | |||||||
460,000 | BBB- | 6.500% due 4/1/20 | 505,402 | |||||||
140,000 | BBB- | 5.400% due 9/1/44 | 144,067 | |||||||
Kinder Morgan Inc., Company Guaranteed Notes: | ||||||||||
40,000 | BBB- | 3.050% due 12/1/19 | 40,658 | |||||||
110,000 | BBB- | 5.550% due 6/1/45 | 117,120 |
See Notes to Financial Statements.
166
Schedules of Investments |
(continued) |
Core Fixed Income Fund | ||||||||||
Face Amount/Units† | Rating†† | Security | Value | |||||||
Oil, Gas & Consumable Fuels — 2.8% — (continued) | ||||||||||
$ | 35,000 | BBB- | 5.050% due 2/15/46 | $ | 35,008 | |||||
40,000 | BBB | Marathon Petroleum Corp., Senior Unsecured Notes, 4.750% due 9/15/44 | 38,949 | |||||||
MPLX LP, Senior Unsecured Notes: | ||||||||||
210,000 | BBB- | 4.875% due 6/1/25 | 225,321 | |||||||
110,000 | BBB- | 5.200% due 3/1/47 | 113,918 | |||||||
320,000 | BBB+ | NiSource Finance Corp., Company Guaranteed Notes, 3.490% due 5/15/27 | 328,086 | |||||||
Noble Energy Inc., Senior Unsecured Notes: | ||||||||||
60,000 | BBB | 4.150% due 12/15/21 | 63,593 | |||||||
160,000 | BBB | 3.900% due 11/15/24 | 164,345 | |||||||
120,000 | BBB | 3.850% due 1/15/28 | 120,577 | |||||||
110,000 | BBB | 5.250% due 11/15/43 | 113,173 | |||||||
60,000 | BBB | 4.950% due 8/15/47 | 60,601 | |||||||
30,000 | B+ | Oasis Petroleum Inc., Company Guaranteed Notes, 6.875% due 3/15/22 | 29,325 | |||||||
Occidental Petroleum Corp., Senior Unsecured Notes: | ||||||||||
100,000 | A | 3.125% due 2/15/22 | 103,743 | |||||||
90,000 | A | 3.400% due 4/15/26 | 92,523 | |||||||
90,000 | A | 4.625% due 6/15/45 | 98,405 | |||||||
1,000,000 | BBB- | Panhandle Eastern Pipe Line Co. LP, Senior Unsecured Notes, 8.125% due 6/1/19 | 1,095,591 | |||||||
1,090,000 | BB- | Petrobras Global Finance BV, Company Guaranteed Notes, 5.375% due 1/27/21 | 1,130,003 | |||||||
33,000 | A- | Petro-Canada, Senior Unsecured Notes, 6.800% due 5/15/38 | 44,229 | |||||||
Petroleos Mexicanos, Company Guaranteed Notes: | ||||||||||
400,000 | BBB+ | 6.000% due 3/5/20 | 432,400 | |||||||
510,000 | BBB+ | 3.500% due 1/30/23 | 506,812 | |||||||
19,000 | BBB+ | 6.625% due 6/15/35 | 20,805 | |||||||
35,000 | BBB+ | 6.500% due 6/2/41 | 37,065 | |||||||
Pioneer Natural Resources Co., Senior Unsecured Notes: | ||||||||||
49,000 | BBB | 3.950% due 7/15/22 | 51,751 | |||||||
163,000 | BBB | 4.450% due 1/15/26 | 176,565 | |||||||
175,000 | BBB- | Plains All American Pipeline LP/PAA Finance Corp., Senior Unsecured Notes, 4.500% due 12/15/26 | 179,594 | |||||||
QEP Resources Inc., Senior Unsecured Notes: | ||||||||||
120,000 | BB+ | 6.875% due 3/1/21 | 125,100 | |||||||
25,000 | BB+ | 5.375% due 10/1/22 | 24,188 | |||||||
25,000 | BB+ | 5.250% due 5/1/23 | 23,875 | |||||||
Range Resources Corp., Company Guaranteed Notes: | ||||||||||
20,000 | BB+ | 5.875% due 7/1/22(a) | 20,500 | |||||||
110,000 | BB+ | 5.000% due 3/15/23(a) | 109,175 | |||||||
30,000 | BB+ | 4.875% due 5/15/25 | 28,875 | |||||||
110,000 | BB+ | Rockies Express Pipeline LLC, Senior Unsecured Notes, 6.000% due 1/15/19(a) | 114,263 | |||||||
135,000 | BBB- | Sabine Pass Liquefaction LLC, Senior Secured Notes, 5.625% due 3/1/25 | 149,135 | |||||||
Schlumberger Holdings Corp., Senior Unsecured Notes: | ||||||||||
170,000 | AA- | 3.000% due 12/21/20(a) | 174,644 | |||||||
120,000 | AA- | 4.000% due 12/21/25(a) | 127,223 | |||||||
20,000 | AA- | Schlumberger Norge AS, Company Guaranteed Notes, 4.200% due 1/15/21(a) | 21,222 | |||||||
Shell International Finance BV, Company Guaranteed Notes: | ||||||||||
180,000 | A | 4.375% due 3/25/20 | 191,836 | |||||||
260,000 | A | 2.875% due 5/10/26 | 261,740 | |||||||
114,000 | A | 4.550% due 8/12/43 | 125,278 | |||||||
220,000 | A | 4.375% due 5/11/45 | 237,066 | |||||||
40,000 | A | 4.000% due 5/10/46 | 40,745 | |||||||
58,000 | BBB+ | Southern Natural Gas Co. LLC, Senior Unsecured Notes, 8.000% due 3/1/32 | 79,603 | |||||||
Spectra Energy Partners LP, Senior Unsecured Notes: | ||||||||||
110,000 | BBB+ | 4.750% due 3/15/24 | 120,629 | |||||||
90,000 | BBB+ | 3.375% due 10/15/26 | 89,976 | |||||||
35,000 | BBB- | Sunoco Logistics Partners Operations LP, Company Guaranteed Notes, 5.350% due 5/15/45 | 34,789 |
See Notes to Financial Statements.
167
Schedules of Investments |
(continued) |
Core Fixed Income Fund | ||||||||||
Face Amount/Units† | Rating†† | Security | Value | |||||||
Oil, Gas & Consumable Fuels — 2.8% — (continued) | ||||||||||
$ | 800,000 | BBB+ | Texas Eastern Transmission LP, Senior Unsecured Notes, 2.800% due 10/15/22(a) | $ | 798,191 | |||||
280,000 | BBB | Transcontinental Gas Pipe Line Co. LLC, Senior Unsecured Notes, 7.850% due 2/1/26 | 365,327 | |||||||
66,500 | BB | Transocean Proteus Ltd., Senior Secured Notes, 6.250% due 12/1/24(a) | 69,991 | |||||||
60,000 | BB- | Whiting Petroleum Corp., Company Guaranteed Notes, 6.250% due 4/1/23 | 55,950 | |||||||
116,000 | BB+ | Williams Cos., Inc. (The), Senior Unsecured Notes, 8.750% due 3/15/32 | 149,060 | |||||||
|
| |||||||||
Total Oil, Gas & Consumable Fuels | 19,608,388 | |||||||||
|
| |||||||||
Paper & Forest Products — 0.0% | ||||||||||
40,000 | BBB- | Celulosa Arauco y Constitucion SA, Senior Unsecured Notes, 4.750% due 1/11/22 | 42,510 | |||||||
Georgia-Pacific LLC, Senior Unsecured Notes: | ||||||||||
40,000 | A+ | 3.600% due 3/1/25(a) | 41,740 | |||||||
60,000 | A+ | 7.750% due 11/15/29 | 85,067 | |||||||
|
| |||||||||
Total Paper & Forest Products | 169,317 | |||||||||
|
| |||||||||
Personal Products — 0.0% | ||||||||||
290,000 | A+ | Unilever Capital Corp., Company Guaranteed Notes, 1.800% due 5/5/20 | 290,823 | |||||||
|
| |||||||||
Pharmaceuticals — 1.1% | ||||||||||
AbbVie Inc., Senior Unsecured Notes: | ||||||||||
100,000 | A- | 3.600% due 5/14/25 | 103,532 | |||||||
40,000 | A- | 4.300% due 5/14/36 | 41,780 | |||||||
389,000 | A- | 4.450% due 5/14/46 | 409,507 | |||||||
Allergan Funding SCS, Company Guaranteed Notes: | ||||||||||
200,000 | BBB | 2.350% due 3/12/18 | 200,676 | |||||||
690,000 | BBB | 3.000% due 3/12/20 | 704,536 | |||||||
150,000 | BBB | 3.450% due 3/15/22 | 155,995 | |||||||
655,000 | BBB | 3.800% due 3/15/25 | 685,985 | |||||||
200,000 | BBB | 4.550% due 3/15/35 | 215,753 | |||||||
94,000 | BBB | 4.750% due 3/15/45 | 103,244 | |||||||
AstraZeneca PLC, Senior Unsecured Notes: | ||||||||||
150,000 | BBB+ | 2.375% due 6/12/22 | 149,848 | |||||||
200,000 | BBB+ | 3.375% due 11/16/25 | 204,988 | |||||||
34,000 | BBB- | Baxalta Inc., Company Guaranteed Notes, 5.250% due 6/23/45 | 39,544 | |||||||
200,000 | A- | Bayer US Finance LLC, Company Guaranteed Notes, 3.000% due 10/8/21(a) | 205,294 | |||||||
186,000 | A+ | Bristol-Myers Squibb Co., Senior Unsecured Notes, 3.250% due 2/27/27 | 192,143 | |||||||
80,000 | AA- | Eli Lilly & Co., Senior Unsecured Notes, 3.100% due 5/15/27 | 81,996 | |||||||
180,000 | A+ | GlaxoSmithKline Capital PLC, Company Guaranteed Notes, 2.850% due 5/8/22 | 184,920 | |||||||
Johnson & Johnson, Senior Unsecured Notes: | ||||||||||
400,000 | AAA | 2.450% due 3/1/26 | 395,888 | |||||||
80,000 | AAA | 2.950% due 3/3/27 | 81,856 | |||||||
110,000 | AAA | 3.625% due 3/3/37 | 115,274 | |||||||
500,000 | BBB+ | Medco Health Solutions Inc., Company Guaranteed Notes, 7.125% due 3/15/18 | 514,438 | |||||||
90,000 | AA | Merck & Co., Inc., Senior Unsecured Notes, 2.750% due 2/10/25 | 90,827 | |||||||
94,000 | BBB- | Mylan NV, Company Guaranteed Notes, 3.950% due 6/15/26 | 95,852 | |||||||
140,000 | AA- | Novartis Capital Corp., Company Guaranteed Notes, 3.100% due 5/17/27 | 143,365 | |||||||
40,000 | AA | Pfizer Inc., Senior Unsecured Notes, 4.125% due 12/15/46 | 42,981 | |||||||
725,000 | BBB- | Shire Acquisitions Investments Ireland DAC, Company Guaranteed Notes, 1.900% due 9/23/19 | 723,405 | |||||||
165,000 | BBB | Teva Pharmaceutical Finance Co. BV, Company Guaranteed Notes, 2.950% due 12/18/22 | 158,045 | |||||||
Teva Pharmaceutical Finance Netherlands III BV, Company Guaranteed Notes: | ||||||||||
115,000 | BBB | 1.400% due 7/20/18 | 114,174 | |||||||
120,000 | BBB | 2.200% due 7/21/21 | 114,363 | |||||||
750,000 | BBB | 2.800% due 7/21/23 | 707,727 | |||||||
150,000 | BBB | 3.150% due 10/1/26(g) | 138,229 |
See Notes to Financial Statements.
168
Schedules of Investments |
(continued) |
Core Fixed Income Fund | ||||||||||
Face Amount/Units† | Rating†† | Security | Value | |||||||
Pharmaceuticals — 1.1% — (continued) | ||||||||||
Valeant Pharmaceuticals International Inc., Company Guaranteed Notes: | ||||||||||
$ | 300,000 | B- | 5.500% due 3/1/23(a) | $ | 253,500 | |||||
335,000 | B- | 6.125% due 4/15/25(a) | 283,912 | |||||||
130,000 | AA | Wyeth LLC, Company Guaranteed Notes, 5.950% due 4/1/37 | 172,716 | |||||||
|
| |||||||||
Total Pharmaceuticals | 7,826,293 | |||||||||
|
| |||||||||
Real Estate Investment Trusts (REITs) — 1.0% | ||||||||||
700,000 | BBB | Alexandria Real Estate Equities Inc., Company Guaranteed Notes, 2.750% due 1/15/20 | 708,206 | |||||||
50,000 | A- | AvalonBay Communities Inc., Senior Unsecured Notes, 3.450% due 6/1/25 | 51,743 | |||||||
400,000 | A- | Boston Properties LP, Senior Unsecured Notes, 2.750% due 10/1/26 | 385,335 | |||||||
464,000 | BBB | CC Holdings GS V LLC/Crown Castle GS III Corp., Senior Secured Notes, 3.849% due 4/15/23 | 489,538 | |||||||
Crown Castle International Corp., Senior Unsecured Notes: | ||||||||||
10,000 | BBB- | 3.400% due 2/15/21 | 10,347 | |||||||
350,000 | BBB- | 3.200% due 9/1/24 | 351,986 | |||||||
15,000 | BBB- | 3.700% due 6/15/26 | 15,245 | |||||||
100,000 | BBB- | 4.750% due 5/15/47 | 105,336 | |||||||
80,000 | A- | ERP Operating LP, Senior Unsecured Notes, 4.500% due 7/1/44 | 86,393 | |||||||
HCP Inc., Senior Unsecured Notes: | ||||||||||
525,000 | BBB | 3.750% due 2/1/19 | 535,664 | |||||||
555,000 | BBB | 4.250% due 11/15/23 | 595,357 | |||||||
120,000 | BBB- | Host Hotels & Resorts LP, Senior Unsecured Notes, 4.750% due 3/1/23 | 129,858 | |||||||
60,000 | BBB+ | Realty Income Corp., Senior Unsecured Notes, 3.000% due 1/15/27 | 58,135 | |||||||
69,000 | B+ | SBA Communications Corp., Senior Unsecured Notes, 4.875% due 9/1/24 | 71,415 | |||||||
400,000 | BBB- | SL Green Realty Corp., Company Guaranteed Notes, 7.750% due 3/15/20 | 447,748 | |||||||
125,000 | BBB+ | Ventas Realty LP, Company Guaranteed Notes, 3.750% due 5/1/24 | 129,475 | |||||||
1,240,000 | BBB+ | Ventas Realty LP/Ventas Capital Corp., Company Guaranteed Notes, 2.700% due 4/1/20 | 1,256,411 | |||||||
654,000 | BBB+ | WEA Finance LLC/Westfield UK & Europe Finance PLC, Company Guaranteed Notes, 2.700% due 9/17/19(a) | 660,890 | |||||||
695,000 | BBB+ | Welltower Inc., Senior Unsecured Notes, 4.950% due 1/15/21 | 751,308 | |||||||
|
| |||||||||
Total Real Estate Investment Trusts (REITs) | 6,840,390 | |||||||||
|
| |||||||||
Road & Rail — 0.1% | ||||||||||
Burlington Northern Santa Fe LLC, Senior Unsecured Notes: | ||||||||||
50,000 | A | 4.375% due 9/1/42 | 53,999 | |||||||
4,000 | A | 4.550% due 9/1/44 | 4,452 | |||||||
10,000 | A | 3.900% due 8/1/46 | 10,202 | |||||||
90,000 | A | 4.125% due 6/15/47 | 94,864 | |||||||
170,000 | BBB+ | CSX Corp., Senior Unsecured Notes, 2.600% due 11/1/26 | 164,237 | |||||||
Norfolk Southern Corp., Senior Unsecured Notes: | ||||||||||
50,000 | BBB+ | 2.900% due 6/15/26 | 50,153 | |||||||
75,000 | BBB+ | 3.150% due 6/1/27 | 76,239 | |||||||
Union Pacific Corp., Senior Unsecured Notes: | ||||||||||
64,000 | A | 4.163% due 7/15/22 | 69,597 | |||||||
64,000 | A | 3.875% due 2/1/55 | 64,759 | |||||||
|
| |||||||||
Total Road & Rail | 588,502 | |||||||||
|
| |||||||||
Semiconductors & Semiconductor Equipment — 0.2% | ||||||||||
Analog Devices Inc., Senior Unsecured Notes: | ||||||||||
60,000 | BBB | 3.500% due 12/5/26 | 61,732 | |||||||
20,000 | BBB | 5.300% due 12/15/45 | 23,529 | |||||||
30,000 | A- | Applied Materials Inc., Senior Unsecured Notes, 4.350% due 4/1/47 | 32,248 | |||||||
Broadcom Corp./Broadcom Cayman Finance Ltd., Company Guaranteed Notes: | ||||||||||
480,000 | BBB- | 3.000% due 1/15/22(a) | 487,009 | |||||||
110,000 | BBB- | 3.625% due 1/15/24(a) | 113,396 |
See Notes to Financial Statements.
169
Schedules of Investments |
(continued) |
Core Fixed Income Fund | ||||||||||
Face Amount/Units† | Rating†† | Security | Value | |||||||
Semiconductors & Semiconductor Equipment — 0.2% — (continued) | ||||||||||
Intel Corp., Senior Unsecured Notes: | ||||||||||
$ | 210,000 | A+ | 2.350% due 5/11/22 | $ | 212,444 | |||||
70,000 | A+ | 3.700% due 7/29/25 | 74,685 | |||||||
50,000 | A+ | 4.900% due 7/29/45 | 59,282 | |||||||
30,000 | A+ | 4.100% due 5/19/46 | 31,664 | |||||||
6,000 | BBB | KLA-Tencor Corp., Senior Unsecured Notes, 4.650% due 11/1/24 | 6,573 | |||||||
54,000 | BBB+ | Lam Research Corp., Senior Unsecured Notes, 2.800% due 6/15/21 | 55,064 | |||||||
QUALCOMM Inc., Senior Unsecured Notes: | ||||||||||
35,000 | A | 3.450% due 5/20/25 | 36,320 | |||||||
79,000 | A | 4.800% due 5/20/45 | 87,322 | |||||||
105,000 | A3(d) | Xilinx Inc., Senior Unsecured Notes, 2.950% due 6/1/24 | 106,601 | |||||||
|
| |||||||||
Total Semiconductors & Semiconductor Equipment | 1,387,869 | |||||||||
|
| |||||||||
Software — 0.7% | ||||||||||
460,000 | BBB | Activision Blizzard Inc., Senior Unsecured Notes, 6.125% due 9/15/23(a) | 494,435 | |||||||
20,000 | BBB | Autodesk Inc., Senior Unsecured Notes, 3.500% due 6/15/27 | 20,040 | |||||||
70,000 | BB+ | CDK Global Inc., Senior Unsecured Notes, 5.000% due 10/15/24 | 74,956 | |||||||
Fidelity National Information Services Inc.: | ||||||||||
19,000 | BBB | Company Guaranteed Notes, 3.500% due 4/15/23 | 19,822 | |||||||
9,000 | BBB | Senior Unsecured Notes, 5.000% due 10/15/25 | 10,222 | |||||||
First Data Corp., Senior Secured Notes: | ||||||||||
�� | 136,000 | BB | 5.375% due 8/15/23(a) | 143,480 | ||||||
95,000 | BB | 5.000% due 1/15/24(a) | 99,274 | |||||||
Microsoft Corp., Senior Unsecured Notes: | ||||||||||
190,000 | AAA | 1.850% due 2/6/20 | 191,229 | |||||||
80,000 | AAA | 1.550% due 8/8/21 | 78,922 | |||||||
195,000 | AAA | 2.650% due 11/3/22 | 199,775 | |||||||
105,000 | AAA | 2.000% due 8/8/23 | 103,773 | |||||||
270,000 | AAA | 2.875% due 2/6/24 | 277,892 | |||||||
70,000 | AAA | 2.700% due 2/12/25 | 70,837 | |||||||
110,000 | AAA | 3.125% due 11/3/25 | 113,912 | |||||||
785,000 | AAA | 2.400% due 8/8/26 | 765,044 | |||||||
660,000 | AAA | 3.300% due 2/6/27 | 688,284 | |||||||
10,000 | AAA | 3.450% due 8/8/36 | 10,104 | |||||||
20,000 | AAA | 4.100% due 2/6/37 | 21,898 | |||||||
350,000 | AAA | 3.750% due 2/12/45 | 356,481 | |||||||
170,000 | AAA | 3.700% due 8/8/46 | 171,424 | |||||||
30,000 | AAA | 4.250% due 2/6/47 | 33,156 | |||||||
130,000 | AAA | 3.950% due 8/8/56 | 133,233 | |||||||
80,000 | AAA | 4.500% due 2/6/57 | 90,049 | |||||||
Oracle Corp., Senior Unsecured Notes: | ||||||||||
220,000 | AA- | 1.200% due 10/15/17 | 219,991 | |||||||
175,000 | AA- | 2.800% due 7/8/21 | 180,765 | |||||||
100,000 | AA- | 4.500% due 7/8/44 | 110,441 | |||||||
170,000 | AA- | 4.000% due 7/15/46 | 175,652 | |||||||
125,000 | BB+ | Quintiles IMS Inc., Company Guaranteed Notes, 4.875% due 5/15/23(a) | 130,625 | |||||||
|
| |||||||||
Total Software | 4,985,716 | |||||||||
|
| |||||||||
Specialty Retail — 0.3% | ||||||||||
61,000 | BBB | Dollar General Corp., Senior Unsecured Notes, 4.150% due 11/1/25 | 65,529 | |||||||
60,000 | A | Home Depot Inc. (The), Senior Unsecured Notes, 3.000% due 4/1/26 | 61,027 | |||||||
45,000 | A- | Lowe’s Cos., Inc., Senior Unsecured Notes, 2.500% due 4/15/26 | 43,463 | |||||||
Walgreens Boots Alliance Inc., Senior Unsecured Notes: | ||||||||||
845,000 | BBB | 3.450% due 6/1/26 | 848,844 | |||||||
25,000 | BBB | 4.800% due 11/18/44 | 27,039 | |||||||
45,000 | BBB | 4.650% due 6/1/46 | 47,568 |
See Notes to Financial Statements.
170
Schedules of Investments |
(continued) |
Core Fixed Income Fund | ||||||||||
Face Amount/Units† | Rating†† | Security | Value | |||||||
Specialty Retail — 0.3% — (continued) | ||||||||||
Wal-Mart Stores Inc., Senior Unsecured Notes: | ||||||||||
$ | 300,000 | AA | 3.250% due 10/25/20 | $ | 314,294 | |||||
475,000 | AA | 4.750% due 10/2/43 | 559,494 | |||||||
73,000 | AA | 4.300% due 4/22/44 | 81,650 | |||||||
|
| |||||||||
Total Specialty Retail | 2,048,908 | |||||||||
|
| |||||||||
Technology Hardware, Storage & Peripherals — 0.4% | ||||||||||
Apple Inc., Senior Unsecured Notes: | ||||||||||
103,000 | AA+ | 2.850% due 5/6/21 | 106,461 | |||||||
490,000 | AA+ | 2.300% due 5/11/22 | 494,515 | |||||||
300,000 | AA+ | 2.400% due 5/3/23 | 301,238 | |||||||
280,000 | AA+ | 2.450% due 8/4/26 | 272,233 | |||||||
220,000 | AA+ | 3.350% due 2/9/27 | 227,902 | |||||||
75,000 | AA+ | 3.200% due 5/11/27 | 76,786 | |||||||
75,000 | AA+ | 3.450% due 2/9/45 | 72,115 | |||||||
40,000 | AA+ | 4.650% due 2/23/46 | 45,760 | |||||||
235,000 | AA+ | 3.850% due 8/4/46 | 239,393 | |||||||
20,000 | AA+ | 4.250% due 2/9/47 | 21,730 | |||||||
Dell International LLC/EMC Corp., Senior Secured Notes: | ||||||||||
480,000 | BBB- | 3.480% due 6/1/19(a) | 490,769 | |||||||
600,000 | BBB- | 4.420% due 6/15/21(a) | 632,776 | |||||||
DXC Technology Co., Senior Unsecured Notes: | ||||||||||
15,000 | BBB | 2.875% due 3/27/20 | 15,266 | |||||||
130,000 | BBB | 4.250% due 4/15/24 | 137,326 | |||||||
|
| |||||||||
Total Technology Hardware, Storage & Peripherals | 3,134,270 | |||||||||
|
| |||||||||
Textiles, Apparel & Luxury Goods — 0.0% | ||||||||||
Coach Inc., Senior Unsecured Notes: | ||||||||||
82,000 | BBB- | 3.000% due 7/15/22 | 82,067 | |||||||
110,000 | BBB- | 4.125% due 7/15/27 | 110,879 | |||||||
|
| |||||||||
Total Textiles, Apparel & Luxury Goods | 192,946 | |||||||||
|
| |||||||||
Tobacco — 0.3% | ||||||||||
Altria Group Inc., Company Guaranteed Notes: | ||||||||||
260,000 | A- | 9.250% due 8/6/19 | 296,395 | |||||||
130,000 | A- | 4.750% due 5/5/21 | 142,189 | |||||||
12,000 | A- | 5.375% due 1/31/44 | 14,267 | |||||||
BAT Capital Corp., Company Guaranteed Notes: | ||||||||||
90,000 | BBB+ | 3.222% due 8/15/24(a) | 91,251 | |||||||
715,000 | BBB+ | 3.557% due 8/15/27(a) | 726,650 | |||||||
250,000 | BBB+ | 4.540% due 8/15/47(a) | 259,283 | |||||||
Philip Morris International Inc., Senior Unsecured Notes: | ||||||||||
190,000 | A | 2.900% due 11/15/21 | 195,146 | |||||||
60,000 | A | 4.500% due 3/20/42 | 64,866 | |||||||
Reynolds American Inc., Company Guaranteed Notes: | ||||||||||
10,000 | BBB+ | 8.125% due 6/23/19 | 11,069 | |||||||
61,000 | BBB+ | 3.250% due 6/12/20 | 62,863 | |||||||
50,000 | BBB+ | 4.000% due 6/12/22 | 53,091 | |||||||
110,000 | BBB+ | 4.450% due 6/12/25 | 119,316 | |||||||
100,000 | BBB+ | 5.850% due 8/15/45 | 121,428 | |||||||
|
| |||||||||
Total Tobacco | 2,157,814 | |||||||||
|
| |||||||||
Transportation Infrastructure — 0.0% | ||||||||||
Park Aerospace Holdings Ltd., Company Guaranteed Notes: | ||||||||||
40,000 | BB- | 5.250% due 8/15/22(a) | 41,850 | |||||||
60,000 | BB- | 5.500% due 2/15/24(a) | 62,550 | |||||||
|
| |||||||||
Total Transportation Infrastructure | 104,400 | |||||||||
|
|
See Notes to Financial Statements.
171
Schedules of Investments |
(continued) |
Core Fixed Income Fund | ||||||||||
Face Amount/Units† | Rating†† | Security | Value | |||||||
Wireless Telecommunication Services — 0.3% | ||||||||||
$ | 250,000 | BB | Altice US Finance I Corp., Senior Secured Notes, 5.375% due 7/15/23(a) | $ | 262,500 | |||||
330,000 | A- | América Móvil SAB de CV, Company Guaranteed Notes, 5.000% due 3/30/20 | 355,828 | |||||||
300,000 | BBB- | Bharti Airtel Ltd., Senior Unsecured Notes, 4.375% due 6/10/25(a) | 305,466 | |||||||
90,000 | B | Sprint Capital Corp., Company Guaranteed Notes, 8.750% due 3/15/32 | 111,825 | |||||||
93,000 | B+ | Sprint Communications Inc., Company Guaranteed Notes, 9.000% due 11/15/18(a) | 100,556 | |||||||
Sprint Corp., Company Guaranteed Notes: | ||||||||||
20,000 | B | 7.250% due 9/15/21 | 22,100 | |||||||
30,000 | B | 7.875% due 9/15/23 | 34,354 | |||||||
50,000 | B | 7.625% due 2/15/25 | 56,625 | |||||||
400,000 | Baa2(d) | Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC, Asset-Backed, 3.360% due 9/20/21(a) | 406,880 | |||||||
Telefónica Emisiones SAU, Company Guaranteed Notes: | ||||||||||
70,000 | BBB | 5.877% due 7/15/19 | 75,031 | |||||||
80,000 | BBB | 5.134% due 4/27/20 | 86,159 | |||||||
115,000 | BB | T-Mobile USA Inc., Company Guaranteed Notes, 5.375% due 4/15/27 | 123,659 | |||||||
|
| |||||||||
Total Wireless Telecommunication Services | 1,940,983 | |||||||||
|
| |||||||||
TOTAL CORPORATE BONDS & NOTES (Cost — $194,395,817) | 202,779,686 | |||||||||
|
| |||||||||
MORTGAGE-BACKED SECURITIES — 26.7% | ||||||||||
FHLMC — 6.1% | ||||||||||
Federal Home Loan Mortgage Corp. (FHLMC), Gold: | ||||||||||
76,366 | 6.000% due 2/1/18 — 6/1/39 | 85,373 | ||||||||
803,587 | 5.000% due 6/1/21 — 6/1/41 | 882,754 | ||||||||
11,966,441 | 4.000% due 10/1/25 — 7/1/47 | 12,723,418 | ||||||||
67,075 | 4.500% due 4/1/29 | 72,069 | ||||||||
792,697 | 5.500% due 1/1/30 — 2/1/40 | 872,200 | ||||||||
10,222,315 | 3.000% due 3/1/31 — 1/1/47 | 10,365,809 | ||||||||
1,209,536 | 2.500% due 12/1/31 — 1/1/32 | 1,227,501 | ||||||||
216,700 | 6.500% due 8/1/37 — 9/1/39 | 245,017 | ||||||||
22,450 | 7.000% due 3/1/39 | 25,485 | ||||||||
11,113,343 | 3.500% due 12/1/42 — 7/1/47 | 11,563,020 | ||||||||
4,300,000 | 3.500% due 10/1/47(h) | 4,449,492 | ||||||||
600,000 | 4.000% due 10/1/47(h) | 633,234 | ||||||||
|
| |||||||||
TOTAL FHLMC | 43,145,372 | |||||||||
|
| |||||||||
FNMA — 15.5% | ||||||||||
Federal National Mortgage Association (FNMA): | ||||||||||
14,267,806 | 4.000% due 10/1/19 — 7/1/47 | 15,183,798 | ||||||||
1,911,247 | 5.500% due 10/1/19 — 9/1/56 | 2,135,601 | ||||||||
1,035,000 | 4.400% due 2/1/20 | 1,095,027 | ||||||||
1,145,000 | 3.459% due 11/1/20 | 1,198,730 | ||||||||
472,848 | 3.540% due 11/1/20 | 495,697 | ||||||||
181,306 | 6.000% due 9/1/21 — 10/1/35 | 203,915 | ||||||||
1,129,085 | 3.650% due 11/1/21 | 1,200,542 | ||||||||
1,856,484 | 5.000% due 6/1/22 — 5/1/42 | 2,038,150 | ||||||||
5,246,131 | 4.500% due 3/1/24 — 4/1/56 | 5,680,655 | ||||||||
20,486,661 | 3.500% due 11/1/25 — 3/1/57 | 21,328,567 | ||||||||
1,461,657 | 2.964% due 5/1/27 | 1,502,512 | ||||||||
3,770,205 | 2.500% due 11/1/27 — 10/1/42 | 3,807,752 | ||||||||
19,528,715 | 3.000% due 12/1/27 — 4/1/47 | 19,898,349 | ||||||||
525,000 | 3.010% due 4/1/28 | 541,076 | ||||||||
545,000 | 3.050% due 4/1/28 | 563,624 | ||||||||
445,000 | 3.390% due 1/1/31 | 466,532 | ||||||||
275,000 | 3.200% due 3/1/31 | 283,824 |
See Notes to Financial Statements.
172
Schedules of Investments |
(continued) |
Core Fixed Income Fund | ||||||||||
Face Amount/Units† | Security | Value | ||||||||
FNMA — 15.5% — (continued) | ||||||||||
$ | 470,000 | 2.600% due 10/1/31 | $ | 454,445 | ||||||
10,930,000 | 3.000% due 9/1/32 — 10/1/47(h) | 11,149,551 | ||||||||
1,400,000 | 2.500% due 10/1/32(h) | 1,417,719 | ||||||||
217,295 | 3.267% (1-Year USD-LIBOR + 1.517%) due 3/1/34(b) | 227,854 | ||||||||
377,514 | 3.360% due 7/1/35 | 389,973 | ||||||||
62,196 | 2.690% (1-Year Treasury Average Rate + 1.898%) due 10/1/35(b) | 65,144 | ||||||||
50,724 | 2.713% (1-Year Treasury Average Rate + 1.934%) due 11/1/35(b) | 53,195 | ||||||||
19,143 | 2.753% (1-Year Treasury Average Rate + 1.971%) due 11/1/35(b) | 20,103 | ||||||||
91,674 | 2.873% (1-Year USD-LIBOR + 1.623%) due 9/1/36(b) | 96,909 | ||||||||
46,747 | 7.000% due 4/1/37 | 52,125 | ||||||||
105,580 | 3.015% (1-Year USD-LIBOR + 1.265%) due 5/1/37(b) | 111,985 | ||||||||
383,648 | 6.500% due 9/1/37 — 5/1/40 | 436,604 | ||||||||
2,435,000 | 3.500% due 9/1/47 — 10/1/47(h) | 2,520,904 | ||||||||
4,600,000 | 4.000% due 9/1/47 — 10/1/47(h) | 4,860,154 | ||||||||
9,490,000 | 4.500% due 9/1/47(h) | 10,210,646 | ||||||||
700,000 | 5.000% due 10/1/47(h) | 764,396 | ||||||||
|
| |||||||||
TOTAL FNMA | 110,456,058 | |||||||||
|
| |||||||||
GNMA — 5.1% | ||||||||||
Government National Mortgage Association (GNMA): | ||||||||||
56,580 | 6.000% due 12/15/33 — 1/15/38 | 64,198 | ||||||||
701,751 | 5.000% due 10/15/34 — 9/15/40 | 773,155 | ||||||||
60,085 | 5.500% due 5/15/37 — 6/15/38 | 66,927 | ||||||||
101,498 | 6.500% due 1/15/38 — 10/15/38 | 121,246 | ||||||||
180,138 | 4.500% due 3/15/41 | 195,012 | ||||||||
784,152 | 4.000% due 6/15/41 — 11/15/45 | 842,142 | ||||||||
Government National Mortgage Association II (GNMA): | ||||||||||
1,032 | 9.000% due 11/20/21 | 1,108 | ||||||||
141,800 | 6.000% due 7/20/37 — 11/20/40 | 160,966 | ||||||||
1,420,811 | 4.500% due 1/20/40 — 3/20/46 | 1,524,729 | ||||||||
281,126 | 5.000% due 7/20/40 — 9/20/41 | 308,468 | ||||||||
355,479 | 4.000% due 11/20/40 — 7/20/42 | 377,249 | ||||||||
3,793,474 | 3.000% due 1/20/43 — 12/20/46 | 3,877,592 | ||||||||
8,518,194 | 3.500% due 6/20/43 — 3/20/47 | 8,899,079 | ||||||||
4,700,000 | 3.000% due 9/20/47 — 10/20/47(h) | 4,792,455 | ||||||||
6,055,000 | 3.500% due 9/20/47 — 10/20/47(h) | 6,305,707 | ||||||||
3,350,000 | 4.000% due 9/20/47(h) | 3,529,092 | ||||||||
3,925,000 | 4.500% due 9/20/47(h) | 4,178,285 | ||||||||
|
| |||||||||
TOTAL GNMA | 36,017,410 | |||||||||
|
| |||||||||
TOTAL MORTGAGE-BACKED SECURITIES (Cost — $189,228,592) | 189,618,840 | |||||||||
|
| |||||||||
U.S. GOVERNMENT AGENCIES & OBLIGATIONS — 24.5% | ||||||||||
U.S. GOVERNMENT OBLIGATIONS — 24.1% | ||||||||||
U.S. Treasury Bonds: | ||||||||||
795,000 | 5.000% due 5/15/37 | 1,112,301 | ||||||||
615,000 | 4.625% due 2/15/40 | 829,217 | ||||||||
690,000 | 3.750% due 8/15/41 | 827,097 | ||||||||
2,920,000 | 3.125% due 11/15/41 | 3,168,599 | ||||||||
100,000 | 3.125% due 2/15/43 | 108,191 | ||||||||
3,330,000 | 3.750% due 11/15/43 | 4,002,634 | ||||||||
415,000 | 3.125% due 8/15/44 | 449,286 | ||||||||
290,000 | 2.500% due 2/15/45 | 277,760 | ||||||||
23,540,000 | 3.000% due 5/15/45 | 24,872,401 | ||||||||
625,000 | 2.875% due 8/15/45 | 644,287 |
See Notes to Financial Statements.
173
Schedules of Investments |
(continued) |
Core Fixed Income Fund | ||||||||||
Face Amount/Units† | Security | Value | ||||||||
U.S. GOVERNMENT OBLIGATIONS — 24.1% — (continued) | ||||||||||
$ | 3,490,000 | 2.500% due 2/15/46 | $ | 3,332,950 | ||||||
2,724,000 | 2.875% due 11/15/46 | 2,805,880 | ||||||||
4,083,000 | 3.000% due 2/15/47 | 4,312,111 | ||||||||
12,165,000 | 3.000% due 5/15/47 | 12,853,796 | ||||||||
1,980,000 | 2.750% due 8/15/47 | 1,990,441 | ||||||||
U.S. Treasury Inflation Indexed Bonds: | ||||||||||
296,930 | 2.125% due 2/15/40 | 378,185 | ||||||||
672,117 | 0.750% due 2/15/42 | 658,240 | ||||||||
241,739 | 1.375% due 2/15/44 | 270,627 | ||||||||
2,912,361 | 0.875% due 2/15/47 | 2,918,176 | ||||||||
U.S. Treasury Inflation Indexed Notes: | ||||||||||
1,178,224 | 0.125% due 4/15/21 | 1,183,943 | ||||||||
594,266 | 0.125% due 4/15/22 | 596,332 | ||||||||
1,915,696 | 0.375% due 7/15/23 | 1,950,941 | ||||||||
493,415 | 0.625% due 1/15/24 | 507,032 | ||||||||
3,096,418 | 0.125% due 7/15/26 | 3,043,064 | ||||||||
1,256,420 | 0.375% due 1/15/27 | 1,255,569 | ||||||||
1,557,146 | 0.375% due 7/15/27 | 1,560,782 | ||||||||
U.S. Treasury Notes: | ||||||||||
4,925,000 | 1.250% due 4/30/19 | 4,920,383 | ||||||||
8,560,000 | 1.250% due 6/30/19 | 8,549,467 | ||||||||
840,000 | 1.375% due 7/31/19 | 840,870 | ||||||||
3,905,000 | 1.250% due 8/31/19 | 3,899,204 | ||||||||
1,418,000 | 1.500% due 4/15/20 | 1,422,154 | ||||||||
5,910,000 | 1.500% due 5/15/20 | 5,926,160 | ||||||||
5,445,000 | 1.500% due 6/15/20 | 5,459,038 | ||||||||
2,225,000 | 1.625% due 6/30/20 | 2,237,863 | ||||||||
870,000 | 2.000% due 9/30/20 | 884,137 | ||||||||
3,030,000 | 1.375% due 5/31/21 | 3,008,399 | ||||||||
2,430,000 | 2.000% due 12/31/21 | 2,465,453 | ||||||||
6,105,000 | 1.750% due 6/30/22 | 6,117,401 | ||||||||
16,055,000 | 1.875% due 7/31/22 | 16,176,040 | ||||||||
16,080,000 | 1.625% due 8/31/22 | 16,017,502 | ||||||||
180,000 | 1.375% due 9/30/23 | 175,064 | ||||||||
2,675,000 | 2.000% due 5/31/24 | 2,688,009 | ||||||||
3,725,000 | 2.000% due 6/30/24 | 3,740,933 | ||||||||
775,000 | 1.875% due 8/31/24 | 771,186 | ||||||||
7,985,000 | 2.375% due 5/15/27 | 8,159,360 | ||||||||
1,670,000 | 2.250% due 8/15/27 | 1,689,146 | ||||||||
|
| |||||||||
TOTAL U.S. GOVERNMENT OBLIGATIONS | 171,057,611 | |||||||||
|
| |||||||||
U.S. GOVERNMENT AGENCIES — 0.4% | ||||||||||
345,000 | Federal Home Loan Bank (FHLB), 4.000% due 9/1/28 | 390,245 | ||||||||
Federal National Mortgage Association (FNMA): | ||||||||||
650,000 | zero coupon, due 10/9/19 | 627,244 | ||||||||
405,000 | 7.125% due 1/15/30 | 601,864 | ||||||||
Federal National Mortgage Association (FNMA), Principal Strip: | ||||||||||
575,000 | zero coupon, due 1/15/30(i) | 405,620 | ||||||||
595,000 | zero coupon, due 5/15/30(i) | 414,363 | ||||||||
Residual Funding Corp., Principal Strip: | ||||||||||
240,000 | zero coupon, due 7/15/20(i) | 229,232 | ||||||||
325,000 | zero coupon, due 1/15/21(i) | 307,362 | ||||||||
|
| |||||||||
TOTAL U.S. GOVERNMENT AGENCIES | 2,975,930 | |||||||||
|
| |||||||||
TOTAL U.S. GOVERNMENT AGENCIES & OBLIGATIONS (Cost — $170,645,234) | 174,033,541 | |||||||||
|
|
See Notes to Financial Statements.
174
Schedules of Investments |
(continued) |
Core Fixed Income Fund | ||||||||||
Face Amount/Units† | Rating†† | Security | Value | |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 11.4% | ||||||||||
$ | 270,000 | AAA | 225 Liberty Street Trust, Series 2016-225L, Class A, 3.597% due 2/10/36(a) | $ | 282,996 | |||||
2,800,000 | CCC | Accredited Mortgage Loan Trust, Series 2007-1, Class A4, 1.454% (1-Month USD-LIBOR + 0.220%) due 2/25/37(b) | 2,648,063 | |||||||
100,626 | CC | AFC Home Equity Loan Trust, Series 1999-2, Class 2A, 1.884% (1-Month USD-LIBOR + 0.650%) due 6/25/29(b) | 82,591 | |||||||
1,252,140 | CCC | Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2007-HE1, Class A1B, 1.384% (1-Month USD-LIBOR + 0.150%) due 12/25/36(b) | 1,219,106 | |||||||
480,000 | AA- | BAMLL Commercial Mortgage Securities Trust, Series 2015-200P, Class B, 3.490% due 4/14/33(a) | 497,197 | |||||||
68,281 | AA+ | Banc of America Mortgage Trust, Series 2004-F, Class 1A1, 3.769% due 7/25/34(b) | 69,978 | |||||||
347,708 | A+ | Bayview Commercial Asset Trust, Series 2007-3, Class A1, 1.472% (1-Month USD-LIBOR + 0.240%) due 7/25/37(a)(b) | 327,378 | |||||||
267,654 | NR | BCAP LLC, Series 2013-RR1, Class 6A1, 3.462% due 5/26/36(a)(b) | 271,530 | |||||||
Bear Stearns Adjustable Rate Mortgage Trust: | ||||||||||
103,230 | AA | Series 2005-2, Class A2, 3.636% (1-Year USD-LIBOR + 1.950%) due 3/25/35(b) | 104,539 | |||||||
345,025 | WD(j) | Series 2007-3, Class 1A1, 3.655% due 5/25/47(b) | 329,982 | |||||||
Bear Stearns ALT-A Trust: | ||||||||||
242,361 | BBB- | Series 2004-7, Class 2A1, 3.498% due 8/25/34(b) | 250,460 | |||||||
165,261 | CCC | Series 2005-2, Class 2A4, 3.348% due 4/25/35(b) | 163,874 | |||||||
152,590 | B | Series 2005-4, Class 23A2, 3.496% due 5/25/35(b) | 154,853 | |||||||
586,417 | CCC | Bear Stearns Asset-Backed Securities I Trust, Series 2005-AC6, Class 1A3, 5.500% due 9/25/35(b) | 580,556 | |||||||
565,000 | A | Bear Stearns Commercial Mortgage Securities Trust, Series 2007-PW18, Class AM, 6.084% due 6/11/50(b) | 567,750 | |||||||
173,617 | BBB | Bear Stearns Structured Products Trust, Series 2007-EMX1, Class A1, 2.234% (1-Month USD-LIBOR + 1.000%) due 3/25/37(a)(b) | 174,699 | |||||||
495,377 | BB | Bravo Mortgage Asset Trust, Series 2006-1A, Class A2, 1.474% (1-Month USD-LIBOR + 0.240%) due 7/25/36(a)(b) | 485,491 | |||||||
1,208,982 | BB+ | Centex Home Equity Loan Trust, Series 2006-A, Class AV4, 1.484% (1-Month USD-LIBOR + 0.250%) due 6/25/36(b) | 1,199,529 | |||||||
545,000 | AAA | CGRBS Commercial Mortgage Trust, Series 2013-VN05, Class A, 3.369% due 3/13/35(a) | 569,022 | |||||||
167,393 | BB | Chase Mortgage Finance Trust, Series 2007-A1, Class 5A1, 3.487% due 2/25/37(b) | 166,948 | |||||||
Chevy Chase Funding LLC Mortgage-Backed Certificates: | ||||||||||
1,019,733 | A+ | Series 2004-2A, Class A1, 1.504% (1-Month USD-LIBOR + 0.270%) due 5/25/35(a)(b) | 967,785 | |||||||
2,161,307 | CCC | Series 2004-2A, Class B1, 1.704% due 5/25/35(a)(b) | 1,587,081 | |||||||
Citigroup Commercial Mortgage Trust: | ||||||||||
620,000 | Aaa(d) | Series 2013-375P, Class A, 3.251% due 5/10/35(a) | 644,688 | |||||||
300,000 | BB(j) | Series 2014-GC19, Class E, 4.565% due 3/10/47(a)(b) | 229,962 | |||||||
140,000 | Aa1(d) | Series 2014-GC25, Class AS, 4.017% due 10/10/47 | 148,796 | |||||||
440,000 | Aaa(d) | Series 2015-GC27, Class A5, 3.137% due 2/10/48 | 450,135 | |||||||
420,000 | BBB-(j) | Series 2015-GC33, Class D, 3.172% due 9/10/58 | 335,990 | |||||||
215,000 | Aaa(d) | Series 2017-P7, Class A4, 3.712% due 4/14/50 | 229,856 | |||||||
Citigroup/Deutsche Bank Commercial Mortgage Trust: | ||||||||||
60,000 | D | Series 2006-CD3, Class AJ, 5.688% due 10/15/48 | 31,949 | |||||||
2,067,501 | AA+ | Series 2017-CD4, Class XA, 1.484% due 5/10/50(b)(k) | 194,169 | |||||||
200,000 | Aaa(d) | Series 2017-CD5, Class A4, 3.431% due 8/15/50 | 209,022 | |||||||
338,405 | Aa2(d) | Colony Mortgage Capital Ltd., Series 2014-FL2, Class B, 3.681% (1-Month USD-LIBOR + 2.450%) due 11/10/31(a)(b) | 339,063 | |||||||
191,100 | AA+ | Commercial Mortgage Loan Trust, Series 2008-LS1, Class A1A, 6.372% due 12/10/49(b) | 190,960 | |||||||
Commercial Mortgage Trust: | ||||||||||
265,000 | AAA(j) | Series 2013-300P, Class A1, 4.353% due 8/10/30(a) | 291,619 | |||||||
190,000 | AA-(j) | Series 2013-300P, Class B, 4.540% due 8/10/30(a)(b) | 205,189 | |||||||
260,000 | BB | Series 2013-CR9, Class E, 4.397% due 7/10/45(a)(b) | 206,938 | |||||||
535,000 | Aaa(d) | Series 2013-CR11, Class A3, 3.983% due 8/10/50 | 579,251 | |||||||
40,000 | Aa3(d) | Series 2013-CR12, Class B, 4.762% due 10/10/46(b) | 43,595 |
See Notes to Financial Statements.
175
Schedules of Investments |
(continued) |
Core Fixed Income Fund | ||||||||||
Face Amount/Units† | Rating†† | Security | Value | |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 11.4% — (continued) | ||||||||||
$ | 20,000 | A3(d) | Series 2013-CR12, Class C, 5.252% due 10/10/46(b) | $ | 21,081 | |||||
265,000 | AAA(j) | Series 2014-277P, Class A, 3.732% due 8/10/49(a)(b) | 280,969 | |||||||
205,000 | Aaa(d) | Series 2014-CR17, Class A5, 3.977% due 5/10/47 | 221,472 | |||||||
140,000 | AAA | Series 2014-CR18, Class A5, 3.828% due 7/15/47 | 149,591 | |||||||
685,000 | AAA | Series 2014-CR18, Class ASB, 3.452% due 7/15/47 | 718,640 | |||||||
210,000 | A-(j) | Series 2014-CR21, Class C, 4.564% due 12/10/47(b) | 213,523 | |||||||
345,000 | Aaa(d) | Series 2014-LC17, Class A5, 3.917% due 10/10/47 | 371,693 | |||||||
290,000 | AAA(j) | Series 2015-3BP, Class A, 3.178% due 2/10/35(a) | 297,804 | |||||||
5,318,980 | Aa1(d) | Series 2015-CR25, Class XA, 1.103% due 8/10/48(b)(k) | 305,466 | |||||||
270,000 | AAA | Series 2016-787S, Class A, 3.545% due 2/10/36(a) | 282,975 | |||||||
Core Industrial Trust: | ||||||||||
100,000 | AAA | Series 2015-CALW, Class A, 3.040% due 2/10/34(a) | 103,375 | |||||||
180,000 | AAA | Series 2015-TEXW, Class A, 3.077% due 2/10/34(a) | 185,667 | |||||||
1,600,000 | BB- | Series 2015-TEXW, Class E, 3.977% due 2/10/34(a)(b) | 1,600,689 | |||||||
377,018 | CCC | Countrywide Alternative Loan Trust, Series 2005-24, Class 4A1, 1.465% (1-Month USD-LIBOR + 0.230%) due 7/20/35(b) | 369,107 | |||||||
Countrywide Asset-Backed Certificates: | ||||||||||
216,913 | CCC | Series 2006-SD3, Class A1, 1.564% (1-Month USD-LIBOR + 0.330%) due 7/25/36(a)(b) | 203,746 | |||||||
922,875 | CCC | Series 2007-4, Class A4W, 5.051% due 4/25/47 | 904,512 | |||||||
356,422 | AA | Series 2007-13, Class 2A2, 2.034% (1-Month USD-LIBOR + 0.800%) due 10/25/47(b) | 353,770 | |||||||
Countrywide Home Loan Mortgage Pass-Through Trust: | ||||||||||
144,008 | D | Series 2005-11, Class 3A3, 2.417% due 4/25/35(b) | 111,581 | |||||||
66,528 | WR(d) | Series 2005-11, Class 6A1, 1.834% (1-Month USD-LIBOR + 0.600%) due 3/25/35(b) | 61,341 | |||||||
Credit Suisse Commercial Mortgage Capital Trust: | ||||||||||
3,389,551 | Caa3(d) | Series 2006-7, Class 3A2, 5.966% (1-Month USD-LIBOR + 7.200%) due 8/25/36(b)(f)(k) | 745,710 | |||||||
290,000 | B- | Series 2014-USA, Class F, 4.373% due 9/15/37(a) | 250,812 | |||||||
1,001,819 | NR | Series 2015-5R, Class 1A1, 1.066% due 9/27/46(a) | 993,895 | |||||||
240,000 | Aaa(d) | Series 2017-LSTK, Class A, 2.761% due 4/5/33(a) | 244,055 | |||||||
Credit Suisse Commercial Mortgage Trust: | ||||||||||
45,827 | Caa3(d) | Series 2006-C3, Class AJ, 6.454% due 6/15/38(b) | 24,970 | |||||||
23,026 | Caa1(d) | Series 2006-C5, Class AJ, 5.373% due 12/15/39 | 21,367 | |||||||
187,874 | B+ | Credit Suisse First Boston Mortgage Securities Corp., Series 2005-6, Class 8A1, 4.500% due 7/25/20 | 189,514 | |||||||
295,000 | Aaa(d) | Credit Suisse USA CSAIL Commercial Mortgage Trust, Series 2015-C1, Class A4, 3.505% due 4/15/50 | 309,521 | |||||||
84,008 | CCC | Downey Savings & Loan Association Mortgage Loan Trust, Series 2004-AR2, Class A2B, 2.031% (1-Month USD-LIBOR + 0.800%) due 11/19/44(b) | 78,489 | |||||||
551,358 | B- | Equifirst Mortgage Loan Trust, Series 2003-2, Class M2, 3.784% (1-Month USD-LIBOR + 2.550%) due 9/25/33(b) | 545,986 | |||||||
Federal Home Loan Mortgage Corp. (FHLMC), Interest Strips: | ||||||||||
149,922 | NR | Series 334, Class S7, 4.873% (1-Month USD-LIBOR + 6.100%) due 8/15/44(b)(k) | 31,794 | |||||||
188,478 | NR | Series 353, Class S1, 4.773% (1-Month USD-LIBOR + 6.000%) due 12/15/46(b)(k) | 42,223 | |||||||
Federal Home Loan Mortgage Corp. (FHLMC), REMICS: | ||||||||||
8,053 | NR | Series 1865, Class DA, 28.371% (11th District Cost of Funds Index + 31.310%) due 2/15/24(b)(k) | 5,384 | |||||||
96,027 | NR | Series 3451, Class SB, 4.803% (1-Month USD-LIBOR + 6.030%) due 5/15/38(b)(k) | 13,541 | |||||||
128,339 | NR | Series 3621, Class SB, 5.003% (1-Month USD-LIBOR + 6.230%) due 1/15/40(b)(k) | 22,374 | |||||||
555,000 | NR | Series 3743, Class PB, 4.500% due 10/15/40 | 627,662 | |||||||
1,585,571 | NR | Series 3866, Class SA, 4.723% (1-Month USD-LIBOR + 5.950%) due 5/15/41(b)(k) | 235,509 | |||||||
598,502 | NR | Series 3947, Class SG, 4.723% (1-Month USD-LIBOR + 5.950%) due 10/15/41(b)(k) | 99,037 | |||||||
40,219 | NR | Series 3973, Class SA, 5.263% (1-Month USD-LIBOR + 6.490%) due 12/15/41(b)(k) | 8,437 | |||||||
490,937 | NR | Series 4203, Class PS, 5.023% (1-Month USD-LIBOR + 6.250%) due 9/15/42(b)(k) | 82,735 | |||||||
333,677 | NR | Series 4210, Class Z, 3.000% due 5/15/43 | 315,070 | |||||||
261,363 | NR | Series 4239, Class IO, 3.500% due 6/15/27(k) | 26,834 | |||||||
279,807 | NR | Series 4316, Class XZ, 4.500% due 3/15/44 | 322,305 |
See Notes to Financial Statements.
176
Schedules of Investments |
(continued) |
Core Fixed Income Fund | ||||||||||
Face Amount/Units† | Rating†† | Security | Value | |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 11.4% — (continued) | ||||||||||
$ | 147,885 | NR | Series 4335, Class SW, 4.773% (1-Month USD-LIBOR + 6.000%) due 5/15/44(b)(k) | $ | 27,891 | |||||
773,971 | NR | Series 4639, Class HZ, step bond to yield, 1.750% due 4/15/53 | 741,199 | |||||||
133,492 | NR | Series R007, Class ZA, 6.000% due 5/15/36 | 150,972 | |||||||
Federal National Mortgage Association (FNMA), ACES: | ||||||||||
409,431 | NR | Series 2006-M2, Class A2A, 5.271% due 10/25/32(b) | 437,359 | |||||||
19,086,622 | NR | Series 2013-M7, Class X2, 0.317% due 12/27/22(b)(k) | 180,113 | |||||||
169,377 | NR | Series 2014-M12, Class FA, 1.563% (1-Month USD-LIBOR + 0.300%) due 10/25/21(b) | 169,481 | |||||||
49,075 | NR | Series 2015-M7, Class AB2, 2.502% due 12/25/24 | 48,497 | |||||||
6,079,794 | NR | Series 2015-M7, Class X2, 0.615% due 12/25/24(b)(k) | 192,030 | |||||||
21,242,469 | NR | Series 2015-M8, Class X2, 0.273% due 1/25/25(b)(k) | 237,172 | |||||||
400,000 | NR | Series 2016-M7, Class A2, 2.499% due 9/25/26 | 395,018 | |||||||
100,000 | NR | Series 2017-M8, Class A2, 3.061% due 5/25/27(b) | 103,795 | |||||||
340,000 | NR | Series 2017-M10, Class AV2, 2.646% due 7/25/24(b) | 346,770 | |||||||
468,436 | Baa2(d) | Federal National Mortgage Association (FNMA), Connecticut Avenue Securities, Series 2016-C04, Class 1M1, 2.684% (1-Month USD-LIBOR + 1.450%) due 1/25/29(a)(b) | 473,676 | |||||||
92,759 | NR | Federal National Mortgage Association (FNMA), Grantor Trust, Series 2000-T6, Class A3, 4.548% due 11/25/40(b) | 91,776 | |||||||
Federal National Mortgage Association (FNMA), Interest Strip: | ||||||||||
209,470 | NR | Series 409, Class C13, 3.500% due 11/25/41(k) | 35,002 | |||||||
389,257 | NR | Series 409, Class C18, 4.000% due 4/25/42(k) | 69,007 | |||||||
58,107 | NR | Series 409, Class C22, 4.500% due 11/25/39(k) | 12,725 | |||||||
Federal National Mortgage Association (FNMA), REMICS: | ||||||||||
42,042 | NR | Series 2004-38, Class FK, 1.584% (1-Month USD-LIBOR + 0.350%) due 5/25/34(b) | 42,107 | |||||||
232,149 | NR | Series 2005-117, Class LC, 5.500% due 11/25/35 | 247,572 | |||||||
913,098 | NR | Series 2006-51, Class SP, 5.416% (1-Month USD-LIBOR + 6.650%) due 3/25/36(b)(k) | 147,703 | |||||||
442,853 | NR | Series 2007-68, Class SC, 5.466% (1-Month USD-LIBOR + 6.700%) due 7/25/37(b)(k) | 78,145 | |||||||
879,932 | NR | Series 2008-18, Class SM, 5.766% (1-Month USD-LIBOR + 7.000%) due 3/25/38(b)(k) | 145,906 | |||||||
1,222,649 | NR | Series 2011-8, Class ZA, 4.000% due 2/25/41 | 1,292,754 | |||||||
557,118 | NR | Series 2011-87, Class SG, 5.316% (1-Month USD-LIBOR + 6.550%) due 4/25/40(b)(k) | 72,252 | |||||||
260,886 | NR | Series 2011-90, Class QI, 5.000% due 5/25/34(k) | 17,490 | |||||||
770,000 | NR | Series 2011-131, Class PB, 4.500% due 12/25/41 | 870,567 | |||||||
182,528 | NR | Series 2012-46, Class BA, 6.000% due 5/25/42 | 207,425 | |||||||
271,558 | NR | Series 2012-51, Class B, 7.000% due 5/25/42 | 314,453 | |||||||
39,612 | NR | Series 2012-70, Class YS, 5.416% (1-Month USD-LIBOR + 6.650%) due 2/25/41(b)(k) | 5,205 | |||||||
217,392 | NR | Series 2012-74, Class SA, 5.416% (1-Month USD-LIBOR + 6.650%) due 3/25/42(b)(k) | 36,264 | |||||||
36,232 | NR | Series 2012-75, Class AO, zero coupon, due 3/25/42(i) | 33,426 | |||||||
342,194 | NR | Series 2012-118, Class CI, 3.500% due 12/25/39(k) | 36,583 | |||||||
165,863 | NR | Series 2012-133, Class CS, 4.916% (1-Month USD-LIBOR + 6.150%) due 12/25/42(b)(k) | 36,709 | |||||||
624,480 | NR | Series 2013-9, Class BC, 6.500% due 7/25/42 | 723,075 | |||||||
507,503 | NR | Series 2013-9, Class CB, 5.500% due 4/25/42 | 566,787 | |||||||
137,342 | NR | Series 2013-54, Class BS, 4.916% (1-Month USD-LIBOR + 6.150%) due 6/25/43(b)(k) | 30,005 | |||||||
414,303 | NR | Series 2016-60, Class QS, 4.866% (1-Month USD-LIBOR + 6.100%) due 9/25/46(b)(k) | 72,915 | |||||||
FHLMC Multifamily Structured Pass-Through Certificates: | ||||||||||
256,407 | AAA(j) | Series K016, Class X1, 1.686% due 10/25/21(b)(k) | 13,345 | |||||||
655,000 | NR | Series K151, Class A3, 3.511% due 4/25/30 | 701,845 | |||||||
897,525 | Aaa(d) | Series KF02, Class A2, 1.782% (1-Month USD-LIBOR + 0.550%) due 7/25/20(b) | 898,379 | |||||||
391,814 | NR | Series KIR2, Class A1, 2.748% due 3/25/27 | 402,441 | |||||||
338,546 | NR | Series KW02, Class A1, 2.896% due 4/25/26 | 350,622 | |||||||
FHLMC Structured Agency Credit Risk Debt Notes: | ||||||||||
739,000 | Ba2(d) | Series 2016-DNA1, Class M3, 6.782% (1-Month USD-LIBOR + 5.550%) due 7/25/28(b) | 875,726 | |||||||
600,000 | BBB-(j) | Series 2016-DNA4, Class M2, 2.534% (1-Month USD-LIBOR + 1.300%) due 3/25/29(b) | 606,927 | |||||||
655,000 | B+(j) | Series 2017-DNA2, Class M2, 4.684% (1-Month USD-LIBOR + 3.450%) due 10/25/29(b) | 686,119 | |||||||
600,000 | AAA | Flagship CLO VIII Ltd., Series 2014-8A, Class AR, 2.554% (3-Month USD-LIBOR + 1.250%) due 1/16/26(a)(b) | 602,482 |
See Notes to Financial Statements.
177
Schedules of Investments |
(continued) |
Core Fixed Income Fund | ||||||||||
Face Amount/Units† | Rating†† | Security | Value | |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 11.4% — (continued) | ||||||||||
$ | 1,740,000 | Aaa(d) | Ford Credit Floorplan Master Owner Trust A, Series 2015-2, Class A2, 1.797% (1-Month USD-LIBOR + 0.570%) due 1/15/22(b) | $ | 1,755,532 | |||||
978,503 | AAA | Four Times Square Trust Commercial Mortgage Pass-Through Certificates, Series 2006-4TS, Class A, 5.401% due 12/13/28(a) | 1,072,814 | |||||||
GAHR Commercial Mortgage Trust: | ||||||||||
106,952 | AAA | Series 2015-NRF, Class AFL1, 2.526% (1-Month USD-LIBOR + 1.300%) due 12/15/34(a)(b) | 107,203 | |||||||
505,000 | BBB- | Series 2015-NRF, Class DFX, 3.495% due 12/15/34(a)(b) | 512,212 | |||||||
141,299 | BB+ | GE Business Loan Trust, Series 2006-1A, Class C, 1.647% (1-Month USD-LIBOR + 0.420%) due 5/15/34(a)(b) | 130,692 | |||||||
Government National Mortgage Association (GNMA): | ||||||||||
2,044,756 | NR | Series 2008-51, Class GS, 5.002% (1-Month USD-LIBOR + 6.230%) due 6/16/38(b)(k) | 388,982 | |||||||
28,585 | NR | Series 2010-31, Class GS, 5.269% (1-Month USD-LIBOR + 6.500%) due 3/20/39(b)(k) | 1,849 | |||||||
104,441 | NR | Series 2010-85, Class HS, 5.419% (1-Month USD-LIBOR + 6.650%) due 1/20/40(b)(k) | 12,903 | |||||||
10,352 | NR | Series 2010-107, Class SG, 4.919% (1-Month USD-LIBOR + 6.150%) due 2/20/38(b)(k) | 133 | |||||||
381,140 | NR | Series 2013-53, Class OI, 3.500% due 4/20/43(k) | 56,107 | |||||||
3,382,609 | NR | Series 2013-85, Class IA, 0.740% due 3/16/47(b)(k) | 137,262 | |||||||
1,863,894 | NR | Series 2014-105, Class IO, 0.961% due 6/16/54(b)(k) | 110,134 | |||||||
153,882 | NR | Series 2015-167, Class OI, 4.000% due 4/16/45(k) | 30,979 | |||||||
160,354 | NR | Series 2016-84, Class IG, 4.500% due 11/16/45(k) | 31,643 | |||||||
91,022 | NR | Series 2016-135, Class SB, 4.872% (1-Month USD-LIBOR + 6.100%) due 10/16/46(b)(k) | 20,861 | |||||||
GS Mortgage Securities Trust: | ||||||||||
335,000 | Aaa(d) | Series 2015-GC32, Class A4, 3.764% due 7/10/48 | 358,344 | |||||||
5,449,285 | Aa1(d) | Series 2015-GS1, Class XA, 0.975% due 11/10/48(b)(k) | 290,463 | |||||||
Harborview Mortgage Loan Trust: | ||||||||||
255,719 | A+ | Series 2004-5, Class 2A6, 3.239% due 6/19/34(b) | 258,128 | |||||||
105,084 | WD(j) | Series 2006-2, Class 1A, 3.523% due 2/25/36(b) | 83,412 | |||||||
18,138 | A+ | HSI Asset Securitization Corp. Trust, Series 2006-OPT1, Class 2A3, 1.424% (1-Month USD-LIBOR + 0.190%) due 12/25/35(b) | 18,181 | |||||||
63,859 | D | Indymac Index Mortgage Loan Trust, Series 2005-AR15, Class A2, 3.319% due 9/25/35(b) | 61,030 | |||||||
1,113,981 | CCC | IXIS Real Estate Capital Trust, Series 2006-HE2, Class A3, 1.394% (1-Month USD-LIBOR + 0.160%) due 8/25/36(b) | 497,470 | |||||||
JP Morgan Mortgage Trust: | ||||||||||
532,333 | Aaa(d) | Series 2017-1, Class A4, 3.500% due 1/25/47(a)(b) | 549,164 | |||||||
410,224 | Aaa(d) | Series 2017-2, Class A6, 3.000% due 5/25/47(a)(b) | 418,236 | |||||||
JPMBB Commercial Mortgage Securities Trust: | ||||||||||
40,000 | Aa3(d) | Series 2013-C17, Class B, 5.049% due 1/15/47(b) | 43,203 | |||||||
350,000 | BB(j) | Series 2014-C23, Class E, 3.364% due 9/15/47(a)(b) | 219,181 | |||||||
240,000 | A3(d) | Series 2014-C24, Class C, 4.572% due 11/15/47(b) | 243,573 | |||||||
120,000 | Aaa(d) | Series 2015-C31, Class A3, 3.801% due 8/15/48 | 128,737 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust: | ||||||||||
960,000 | D | Series 2007-CB18, Class AJ, 5.502% due 6/12/47(b) | 833,323 | |||||||
116,098 | Aaa(d) | Series 2011-C5, Class A3, 4.171% due 8/15/46 | 124,066 | |||||||
175,000 | Aaa(d) | Series 2011-C5, Class AS, 5.587% due 8/15/46(a)(b) | 193,921 | |||||||
370,000 | Aa1(d) | Series 2011-C5, Class B, 5.587% due 8/15/46(a)(b) | 408,024 | |||||||
460,000 | AA | Series 2012-HSBC, Class C, 4.021% due 7/5/32(a) | 485,330 | |||||||
650,000 | AA | Series 2014-FL6, Class B, 3.507% (1-Month USD-LIBOR + 2.280%) due 11/15/31(a)(b) | 647,346 | |||||||
150,000 | A- | Series 2014-PHH, Class C, 3.327% (1-Month USD-LIBOR + 2.100%) due 8/15/27(a)(b) | 150,184 | |||||||
242,831 | AAA | Series 2015-SGP, Class A, 2.927% (1-Month USD-LIBOR + 1.700%) due 7/15/36(a)(b) | 244,124 | |||||||
465,458 | Aa1(d) | JPMorgan Trust, Series 2015-5, Class A9, 2.856% due 5/25/45(a)(b) | 468,173 | |||||||
LB-UBS Commercial Mortgage Trust: | ||||||||||
173,406 | AAA | Series 2007-C6, Class AM, 6.114% due 7/15/40(b) | 173,329 | |||||||
160,000 | A- | Series 2007-C7, Class AM, 6.427% due 9/15/45(b) | 160,508 | |||||||
78,845 | Ca(d) | Lehman XS Trust, Series 2005-7N, Class 1A1B, 1.534% (1-Month USD-LIBOR + 0.300%) due 12/25/35(b) | 56,401 |
See Notes to Financial Statements.
178
Schedules of Investments |
(continued) |
Core Fixed Income Fund | ||||||||||
Face Amount/Units† | Rating†† | Security | Value | |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 11.4% — (continued) | ||||||||||
$ | 358,500 | AAA | Limerock CLO II Ltd., Series 2014-2A, Class AR, 2.604% (3-Month USD-LIBOR + 1.300%) due 4/18/26(a)(b) | $ | 360,146 | |||||
268,588 | AAA | Lone Star Portfolio Trust, Series 2015-LSP, Class A1A2, 3.027% (1-Month USD-LIBOR + 1.800%) due 9/15/28(a)(b) | 269,457 | |||||||
275,000 | Aaa(d) | Magnetite IX Ltd., Series 2014-9A, Class A1R, 2.314% (3-Month USD-LIBOR + 1.000%) due 7/25/26(a)(b) | 276,042 | |||||||
133,209 | A+ | MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A7, 3.427% due 11/21/34(b) | 136,938 | |||||||
506,660 | AA+ | MASTR Seasoned Securitization Trust, Series 2005-1, Class 4A1, 3.285% due 10/25/32(b) | 512,004 | |||||||
343,251 | CCC | Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-4, Class 2A4, 1.484% (1-Month USD-LIBOR + 0.250%) due 7/25/37(b) | 238,478 | |||||||
Merrill Lynch Mortgage Investors Trust: | ||||||||||
32,214 | A+ | Series 2004-A3, Class 4A3, 3.803% due 5/25/34(b) | 32,240 | |||||||
598,416 | BBB | Series 2005-2, Class 2A, 3.480% (1-Year CMT Index + 2.250%) due 10/25/35(b) | 604,813 | |||||||
718,886 | AA+ | Mid-State Capital Corp. Trust, Series 2004-1, Class A, 6.005% due 8/15/37 | 782,170 | |||||||
ML-CFC Commercial Mortgage Trust: | ||||||||||
119,132 | Caa1(d) | Series 2007-5, Class AJ, 5.450% due 8/12/48(b) | 99,983 | |||||||
210,000 | D | Series 2007-9, Class AJ, 6.193% due 9/12/49(b) | 177,082 | |||||||
Morgan Stanley Bank of America Merrill Lynch Trust: | ||||||||||
30,000 | Aaa(d) | Series 2013-C10, Class A4, 4.219% due 7/15/46(b)(l) | 32,708 | |||||||
500,000 | Aaa(d) | Series 2013-C13, Class A4, 4.039% due 11/15/46(l) | 541,490 | |||||||
370,000 | Aaa(d) | Series 2014-C16, Class A5, 3.892% due 6/15/47(l) | 397,604 | |||||||
260,000 | A-(j) | Series 2016-C30, Class C, 4.270% due 9/15/49(b)(l) | 264,948 | |||||||
488,976 | AAA | New Residential Mortgage Loan Trust, Series 2016-4A, Class A1, 3.750% due 11/25/56(a)(b) | 511,437 | |||||||
580,000 | AAA | One Market Plaza Trust, Series 2017-1MKT, Class A, 3.614% due 2/10/32(a) | 611,401 | |||||||
1,940,000 | CCC | Park Place Securities Inc. Asset-Backed Pass-Through Certificates, Series 2005-WHQ4, Class M2, 1.724% (1-Month USD-LIBOR + 0.490%) due 9/25/35(b) | 1,902,142 | |||||||
670,000 | BBB- | People’s Choice Home Loan Securities Trust, Series 2004-1, Class M1, 2.119% (1-Month USD-LIBOR + 0.885%) due 6/25/34(b) | 635,995 | |||||||
PFS Financing Corp.: | ||||||||||
635,000 | AAA | Series 2015-AA, Class A, 1.847% (1-Month USD-LIBOR + 0.620%) due 4/15/20(a)(b) | 635,946 | |||||||
110,000 | AAA | Series 2016-BA, Class A, 1.870% due 10/15/21(a) | 109,699 | |||||||
1,040,000 | AAA | Series 2017-AA, Class A, 1.807% (1-Month USD-LIBOR + 0.580%) due 3/15/21(a)(b) | 1,042,406 | |||||||
1,387,643 | A | Popular ABS Mortgage Pass-Through Trust, Series 2006-C, Class A4, 1.484% (1-Month USD-LIBOR + 0.250%) due 7/25/36(b) | 1,370,035 | |||||||
Prime Mortgage Trust: | ||||||||||
93,981 | CCC | Series 2006-DR1, Class 1A1, 5.500% due 5/25/35(a) | �� | 94,405 | ||||||
27,656 | CCC | Series 2006-DR1, Class 1A2, 6.000% due 5/25/35(a) | 27,931 | |||||||
1,106,790 | CCC | Series 2006-DR1, Class 2A1, 5.500% due 5/25/35(a) | 1,066,185 | |||||||
RAMP Trust: | ||||||||||
3,639 | CCC | Series 2003-RS4, Class AIIB, 1.894% (1-Month USD-LIBOR + 0.660%) due 5/25/33(b) | 3,249 | |||||||
542,497 | A- | Series 2003-RS9, Class AI6A, step bond to yield, 5.641% due 10/25/33 | 569,265 | |||||||
787,062 | CCC | Series 2003-RS11, Class MII1, 2.329% (1-Month USD-LIBOR + 1.095%) due 12/25/33(b) | 759,140 | |||||||
915,000 | AAA | RBS Commercial Funding Inc. Trust, Series 2013-GSP, Class A, 3.961% due 1/13/32(a)(b) | 980,271 | |||||||
284,832 | Caa2(d) | Residential Asset Securitization Trust, Series 2005-A15, Class 1A4, 5.750% due 2/25/36 | 285,345 | |||||||
256,158 | A | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-16, Class 1A2, 3.428% due 11/25/34(b) | 257,780 | |||||||
1,121,500 | AA | Structured Asset Investment Loan Trust, Series 2004-6, Class A3, 2.034% (1-Month USD-LIBOR + 0.800%) due 7/25/34(b) | 1,113,096 | |||||||
156,665 | AA+ | Structured Asset Mortgage Investments II Trust, Series 2005-AR5, Class A3, 1.481% (1-Month USD-LIBOR + 0.250%) due 7/19/35(b) | 151,724 | |||||||
147,084 | CCC | Structured Asset Securities Corp., Series 2005-RF3, Class 1A, 1.584% (1-Month USD-LIBOR + 0.350%) due 6/25/35(a)(b) | 129,676 | |||||||
459,969 | Aaa(d) | Towd Point Mortgage Trust, Series 2016-3, Class A1, 2.250% due 4/25/56(a)(b) | 460,907 | |||||||
530,000 | AAA | VNDO Mortgage Trust, Series 2012-6AVE, Class A, 2.996% due 11/15/30(a) | 547,315 | |||||||
100,000 | AAA | Waldorf Astoria Boca Raton Trust, Series 2016-BOCA, Class A, 2.577% (1-Month USD-LIBOR + 1.350%) due 6/15/29(a)(b) | 100,334 |
See Notes to Financial Statements.
179
Schedules of Investments |
(continued) |
Core Fixed Income Fund | ||||||||||
Face Amount/Units† | Rating†† | Security | Value | |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 11.4% — (continued) | ||||||||||
WaMu Mortgage Pass-Through Certificates Trust: | ||||||||||
$ | 17,870 | BBB+ | Series 2004-AR11, Class A, 3.125% due 10/25/34(b) | $ | 17,963 | |||||
71,371 | BBB+ | Series 2004-AR12, Class A2A, 1.624% (1-Month USD-LIBOR + 0.390%) due 10/25/44(b) | 70,305 | |||||||
505,174 | B- | Series 2005-AR4, Class A5, 3.049% due 4/25/35(b) | 504,229 | |||||||
205,222 | BBB- | Series 2005-AR19, Class A1A2, 1.524% (1-Month USD-LIBOR + 0.290%) due 12/25/45(b) | 201,698 | |||||||
1,168,420 | B+ | Series 2006-AR3, Class A1A, 1.830% (1-Year Treasury Average Rate + 1.000%) due 2/25/46(b) | 1,148,133 | |||||||
570,345 | CCC | Series 2006-AR13, Class 2A, 2.148% (11th District Cost of Funds Index + 1.500%) due 10/25/46(b) | 557,705 | |||||||
252,979 | D | Series 2007-HY4, Class 4A1, 2.926% due 9/25/36(b) | 229,671 | |||||||
681,608 | Ca(d) | Series 2007-OA2, Class 2A, 1.530% (1-Year Treasury Average Rate + 0.700%) due 1/25/47(b) | 551,600 | |||||||
Wells Fargo Commercial Mortgage Trust: | ||||||||||
120,000 | Aa3(d) | Series 2013-LC12, Class B, 4.430% due 7/15/46(b) | 126,942 | |||||||
1,000,000 | Aa2(d) | Series 2015-C28, Class AS, 3.872% due 5/15/48(b) | 1,054,087 | |||||||
150,000 | Aaa(d) | Series 2015-LC20, Class A5, 3.184% due 4/15/50 | 154,226 | |||||||
960,000 | Aaa(d) | Series 2015-NXS1, Class A5, 3.148% due 5/15/48 | 985,428 | |||||||
310,000 | A-(j) | Series 2015-NXS1, Class C, 3.848% due 5/15/48(b) | 311,897 | |||||||
330,000 | BBB-(j) | Series 2015-NXS1, Class D, 4.239% due 5/15/48(b) | 295,616 | |||||||
Wells Fargo Mortgage-Backed Securities Trust: | ||||||||||
349,920 | Caa1(d) | Series 2006-12, Class A3, 6.000% due 10/25/36 | 344,879 | |||||||
171,536 | CCC | Series 2006-AR2, Class 2A1, 3.154% due 3/25/36(b) | 173,734 | |||||||
47,964 | Caa2(d) | Series 2006-AR7, Class 2A4, 3.329% due 5/25/36(b) | 46,315 | |||||||
WF-RBS Commercial Mortgage Trust: | ||||||||||
205,000 | Aaa(d) | Series 2011-C2, Class A4, 4.869% due 2/15/44(a)(b) | 222,632 | |||||||
667,083 | Aaa(d) | Series 2011-C4, Class A3, 4.394% due 6/15/44(a) | 683,147 | |||||||
1,789,983 | Aaa(d) | Series 2012-C7, Class XA, 1.609% due 6/15/45(a)(b)(k) | 94,652 | |||||||
145,000 | Aaa(d) | Series 2013-C14, Class A4, 3.073% due 6/15/46 | 150,041 | |||||||
2,526,099 | Aaa(d) | Series 2014-C20, Class XA, 1.306% due 5/15/47(b)(k) | 127,675 | |||||||
240,000 | BBB-(j) | Series 2014-C22, Class D, 4.055% due 9/15/57(a)(b) | 194,735 | |||||||
|
| |||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost — $82,802,335) | 80,676,782 | |||||||||
|
| |||||||||
ASSET-BACKED SECURITIES — 2.5% | ||||||||||
Automobiles — 0.4% | ||||||||||
AmeriCredit Automobile Receivables Trust: | ||||||||||
170,000 | AAA | Series 2016-2, Class A3, 1.600% due 11/9/20 | 170,040 | |||||||
70,000 | AAA | Series 2017-1, Class A3, 1.870% due 8/18/21 | 70,145 | |||||||
1,129,518 | AAA | Drive Auto Receivables Trust, Series 2017-BA, Class A2, 1.590% due 12/17/18(a) | 1,130,899 | |||||||
1,380,000 | Aaa(d) | Hertz Vehicle Financing LLC, Series 2013-1A, Class A2, 1.830% due 8/25/19(a) | 1,377,069 | |||||||
100,000 | AAA | Hyundai Floorplan Master Owner Trust, Series 2016-1A, Class A2, 1.810% due 3/15/21(a) | 100,038 | |||||||
|
| |||||||||
Total Automobiles | 2,848,191 | |||||||||
|
| |||||||||
Credit Cards — 0.6% | ||||||||||
740,000 | AAA | Capital One Multi-Asset Execution Trust, Series 2016-A4, Class A4, 1.330% due 6/15/22 | 736,471 | |||||||
590,000 | AAA | Chase Issuance Trust, Series 2015-A1, Class A1, 1.547% (1-Month USD-LIBOR + 0.320%) due 2/18/20(b) | 590,756 | |||||||
Citibank Credit Card Issuance Trust: | ||||||||||
635,000 | AAA | Series 2008-A2, Class A2, 2.386% (1-Month USD-LIBOR + 1.150%) due 1/23/20(b) | 637,797 | |||||||
315,000 | AAA | Series 2017-A6, Class A6, 1.999% (1-Month USD-LIBOR + 0.770%) due 5/14/29(b) | 318,233 | |||||||
645,000 | AAA | Discover Card Execution Notes Trust, Series 2016-A1, Class A1, 1.640% due 7/15/21 | 646,077 | |||||||
Synchrony Credit Card Master Notes Trust: | ||||||||||
565,000 | AAA | Series 2012-7, Class A, 1.760% due 9/15/22 | 565,405 | |||||||
490,000 | AAA | Series 2016-3, Class A, 1.580% due 9/15/22 | 488,585 | |||||||
|
| |||||||||
Total Credit Cards | 3,983,324 | |||||||||
|
|
See Notes to Financial Statements.
180
Schedules of Investments |
(continued) |
Core Fixed Income Fund | ||||||||||
Face Amount/Units† | Rating†† | Security | Value | |||||||
Student Loans — 1.5% | ||||||||||
$ | 470,778 | AA+ | CIT Education Loan Trust, Series 2007-1, Class A, 1.386% (3-Month USD-LIBOR + 0.090%) due 3/25/42(a)(b) | $ | 443,237 | |||||
Navient Private Education Loan Trust: | ||||||||||
523,006 | AAA | Series 2014-AA, Class A2B, 2.477% (1-Month USD-LIBOR + 1.250%) due 2/15/29(a)(b) | 531,156 | |||||||
144,857 | AAA | Series 2014-CTA, Class A, 1.927% (1-Month USD-LIBOR + 0.700%) due 9/16/24(a)(b) | 144,955 | |||||||
Navient Student Loan Trust: | ||||||||||
600,000 | AAA | Series 2017-1A, Class A2, 1.984% (1-Month USD-LIBOR + 0.750%) due 7/26/66(a)(b) | 605,604 | |||||||
500,000 | AAA | Series 2017-4A, Class A2, 1.730% (1-Month USD-LIBOR + 0.500%) due 9/27/66(a)(b) | 500,604 | |||||||
SLC Student Loan Trust: | ||||||||||
1,820,000 | AAA | Series 2005-3, Class A3, 1.366% (3-Month USD-LIBOR + 0.120%) due 6/15/29(b) | 1,810,729 | |||||||
480,202 | AAA | Series 2006-2, Class A5, 1.346% (3-Month USD-LIBOR + 0.100%) due 9/15/26(b) | 479,080 | |||||||
SLM Private Education Loan Trust: | ||||||||||
348,782 | AAA | Series 2012-C, Class A2, 3.310% due 10/15/46(a) | 351,045 | |||||||
269,249 | AAA | Series 2012-D, Class A2, 2.950% due 2/15/46(a) | 270,213 | |||||||
SLM Student Loan Trust: | ||||||||||
1,400,000 | AAA | Series 2004-1, Class A4, 1.574% (3-Month USD-LIBOR + 0.260%) due 10/27/25(b) | 1,396,952 | |||||||
502,472 | AAA | Series 2005-4, Class A3, 1.434% (3-Month USD-LIBOR + 0.120%) due 1/25/27(b) | 500,322 | |||||||
550,000 | AAA | Series 2005-5, Class A4, 1.454% (3-Month USD-LIBOR + 0.140%) due 10/25/28(b) | 546,943 | |||||||
880,000 | AA+ | Series 2005-5, Class A5, 2.064% (3-Month USD-LIBOR + 0.750%) due 10/25/40(b) | 862,973 | |||||||
350,000 | AA+ | Series 2005-8, Class A5, 1.484% (3-Month USD-LIBOR + 0.170%) due 1/25/40(b) | 332,793 | |||||||
1,161,991 | AAA | Series 2011-2, Class A1, 1.834% (1-Month USD-LIBOR + 0.600%) due 11/25/27(b) | 1,169,586 | |||||||
SMB Private Education Loan Trust: | ||||||||||
104,915 | AAA | Series 2015-B, Class A1, 1.927% (1-Month USD-LIBOR + 0.700%) due 2/15/23(a)(b) | 104,999 | |||||||
105,000 | AAA | Series 2015-B, Class A2A, 2.980% due 7/15/27(a) | 107,801 | |||||||
545,000 | AAA | Series 2015-C, Class A3, 3.177% (1-Month USD-LIBOR + 1.950%) due 8/16/32(a)(b) | 581,153 | |||||||
100,000 | Aaa(d) | Series 2016-A, Class A2A, 2.700% due 5/15/31(a) | 101,367 | |||||||
|
| |||||||||
Total Student Loans | 10,841,512 | |||||||||
|
| |||||||||
TOTAL ASSET-BACKED SECURITIES (Cost — $17,525,916) | 17,673,027 | |||||||||
|
| |||||||||
SOVEREIGN BONDS — 2.5% | ||||||||||
Argentina — 0.1% | ||||||||||
920,000 | B | Argentine Republic Government International Bonds, 5.625% due 1/26/22 | 964,620 | |||||||
|
| |||||||||
Brazil — 0.5% | ||||||||||
656,000 | BRL | BB | Brazil Notas do Tesouro Nacional Serie B, 6.000% due 8/15/50 | 699,709 | ||||||
Brazil Notas do Tesouro Nacional Serie F: | ||||||||||
296,000 | BRL | BB | 10.000% due 1/1/21 | 98,245 | ||||||
5,296,000 | BRL | BB | 10.000% due 1/1/23 | 1,744,323 | ||||||
Brazilian Government International Bonds: | ||||||||||
280,000 | BB | 4.875% due 1/22/21 | 298,813 | |||||||
400,000 | BB | 5.000% due 1/27/45 | 365,680 | |||||||
|
| |||||||||
Total Brazil | 3,206,770 | |||||||||
|
| |||||||||
Canada — 0.2% | ||||||||||
152,000 | A+ | Province of Manitoba Canada, 3.050% due 5/14/24 | 158,806 | |||||||
895,000 | A+ | Province of Ontario Canada, 1.250% due 6/17/19 | 889,597 | |||||||
|
| |||||||||
Total Canada | 1,048,403 | |||||||||
|
| |||||||||
Colombia — 0.2% | ||||||||||
Colombia Government International Bonds: | ||||||||||
220,000 | BBB | 8.125% due 5/21/24 | 282,645 | |||||||
200,000 | BBB | 4.500% due 1/28/26 | 214,975 | |||||||
535,000 | Baa2(d) | 3.875% due 4/25/27 | 545,834 | |||||||
370,000 | BBB | 5.625% due 2/26/44 | 418,100 | |||||||
|
| |||||||||
Total Colombia | 1,461,554 | |||||||||
|
|
See Notes to Financial Statements.
181
Schedules of Investments |
(continued) |
Core Fixed Income Fund | ||||||||||
Face Amount/Units† | Rating†† | Security | Value | |||||||
Indonesia — 0.1% | ||||||||||
$ | 500,000 | BBB- | Indonesia Government International Bonds, 3.750% due 4/25/22 | $ | 519,583 | |||||
|
| |||||||||
Mexico — 0.9% | ||||||||||
Mexican Bonos: | ||||||||||
30,492,700 | MXN | A | 6.500% due 6/9/22 | 1,691,208 | ||||||
15,120,000 | MXN | A | 10.000% due 12/5/24 | 1,004,111 | ||||||
46,325,700 | MXN | A | 7.750% due 11/13/42 | 2,762,212 | ||||||
9,400,000 | MXN | A3(d) | 8.000% due 11/7/47 | 577,139 | ||||||
Mexico Government International Bonds: | ||||||||||
61,000 | BBB+ | 3.500% due 1/21/21 | 64,233 | |||||||
174,000 | BBB+ | 3.625% due 3/15/22 | 183,135 | |||||||
44,000 | BBB+ | 4.000% due 10/2/23 | 46,684 | |||||||
210,000 | BBB+ | 4.750% due 3/8/44 | 219,975 | |||||||
|
| |||||||||
Total Mexico | 6,548,697 | |||||||||
|
| |||||||||
Panama — 0.0% | ||||||||||
200,000 | BBB | Panama Government International Bonds, 4.000% due 9/22/24 | 215,700 | |||||||
|
| |||||||||
Peru — 0.0% | ||||||||||
Peruvian Government International Bonds: | ||||||||||
60,000 | BBB+ | 6.550% due 3/14/37 | 81,750 | |||||||
170,000 | BBB+ | 5.625% due 11/18/50 | 215,475 | |||||||
|
| |||||||||
Total Peru | 297,225 | |||||||||
|
| |||||||||
Poland — 0.1% | ||||||||||
610,000 | BBB+ | Poland Government International Bonds, 4.000% due 1/22/24 | 661,109 | |||||||
|
| |||||||||
Russia — 0.4% | ||||||||||
Russian Federal Bonds — OFZ: | ||||||||||
22,990,000 | RUB | BBB- | 7.000% due 8/16/23 | 386,881 | ||||||
6,950,000 | RUB | NR | 7.750% due 9/16/26 | 121,269 | ||||||
31,310,000 | RUB | BBB- | 8.150% due 2/3/27 | 561,847 | ||||||
92,823,000 | RUB | BBB- | 7.050% due 1/19/28 | 1,546,684 | ||||||
|
| |||||||||
Total Russia | 2,616,681 | |||||||||
|
| |||||||||
Uruguay — 0.0% | ||||||||||
Uruguay Government International Bonds: | ||||||||||
70,000 | BBB | 4.500% due 8/14/24 | 77,350 | |||||||
210,000 | BBB | 4.375% due 10/27/27 | 227,120 | |||||||
|
| |||||||||
Total Uruguay | 304,470 | |||||||||
|
| |||||||||
TOTAL SOVEREIGN BONDS (Cost — $18,936,292) | 17,844,812 | |||||||||
|
| |||||||||
SENIOR LOANS — 1.2% | ||||||||||
600,000 | NR | Avolon TLB Borrower 1 LLC, (Restricted, cost — $609,000 acquired 1/30/2017), 3.981% (1-Month USD-LIBOR + 2.750%) due 3/21/22(s) | 602,532 | |||||||
37,198 | NR | Berry Global Group Inc., (Restricted, cost — 37,014 acquired 8/10/2017), 3.486% (1-Month USD-LIBOR + 2.250%) due 10/1/22(s) | 37,260 | |||||||
250,000 | NR | CenturyLink Inc., (Restricted, cost — $248,792 acquired 5/19/2017), 2.750% (Ticking Fee (Funded) + 2.750%) due 1/31/25(s) | 245,156 | |||||||
296,250 | NR | Charter Communications Operating LLC, (Restricted, cost — $296,744 acquired 12/23/2016), 3.489% (1-Month USD-LIBOR + 2.250%) due 1/15/24(s) | 297,956 | |||||||
2,100,000 | NR | Delos Finance S.à r.l., (Restricted, cost — $2,118,375 acquired 8/9/2017), 3.296% (3-Month USD-LIBOR + 2.000%) due 10/6/23(s) | 2,114,112 | |||||||
1,091,667 | NR | Delta Air Lines Inc., (Restricted, cost — $1,101,219 acquired 10/24/2016), 3.739% (1-Month USD-LIBOR + 2.500%) due 8/24/22(s) | 1,101,443 | |||||||
2,460,000 | NR | Flying Fortress Inc., (Restricted, cost — $2,482,125 acquired 8/2/2017), 3.296% (2-Month USD-LIBOR + 2.000%) due 10/30/22(s) | 2,473,838 | |||||||
186,653 | NR | Hilton Worldwide Finance LLC, (Restricted, cost — $186,598 acquired 8/18/2016), 3.234% (1-Month USD-LIBOR + 2.000%) due 10/25/23(s) | 187,487 | |||||||
200,946 | NR | Michaels Stores Inc., (Restricted, cost — $202,453 acquired 9/28/2016), 3.984% (1-Month USD-LIBOR + 2.750%) due 1/30/23(s) | 200,852 | |||||||
281,622 | NR | Party City Holdings Inc., (Restricted, cost — $282,326 acquired 10/20/2016), 4.319% (3-Month USD-LIBOR + 3.000%) due 8/19/22(s) | 282,481 |
See Notes to Financial Statements.
182
Schedules of Investments |
(continued) |
Core Fixed Income Fund | ||||||||||
Face Amount/Units† | Rating†† | Security | Value | |||||||
SENIOR LOANS — 1.2% — (continued) | ||||||||||
$ | 995,000 | NR | RPI Finance Trust, (Restricted, cost — $1,006,194 acquired 4/17/2017), 3.296% (3-Month USD-LIBOR + 2.000%) due 3/27/23(s) | $ | 1,000,283 | |||||
|
| |||||||||
TOTAL SENIOR LOANS (Cost — $8,570,838) | 8,543,400 | |||||||||
|
| |||||||||
MUNICIPAL BONDS — 0.6% | ||||||||||
California — 0.2% | ||||||||||
350,000 | AA- | California Health Facilities Financing Authority, Revenue Bonds, 4.000% due 10/1/47 | 366,405 | |||||||
University of California, Revenue Bonds: | ||||||||||
25,000 | AA | Series AD 4.858% due 5/15/12 | 27,467 | |||||||
400,000 | AA | Series AJ 4.601% due 5/15/31 | 449,952 | |||||||
266,000 | AA | Series AQ 4.767% due 5/15/15 | 286,261 | |||||||
|
| |||||||||
Total California | 1,130,085 | |||||||||
|
| |||||||||
Delaware — 0.0% | ||||||||||
300,000 | AA+ | Northstar Education Finance Inc., Revenue Bonds, Student Loan Asset-Backed Notes, Series 2007-1, GTDSTD-Insured, 2.250% due 1/29/46(b) | 278,119 | |||||||
|
| |||||||||
Massachusetts — 0.0% | ||||||||||
100,000 | AA+ | Massachusetts School Building Authority, Revenue Bonds, Series B, 5.000% due 10/15/41 | 113,465 | |||||||
|
| |||||||||
Minnesota — 0.1% | ||||||||||
325,000 | AA+ | Northstar Education Finance Inc., Revenue Bonds, Student Loan Asset-Backed Notes, Series 2007-1, GTDSTD-Insured, 2.148% due 1/29/46(b) | 301,293 | |||||||
|
| |||||||||
New Jersey — 0.0% | ||||||||||
110,000 | BBB+ | New Jersey Transportation Trust Fund Authority, Revenue Bonds, Series AA, 5.000% due 6/15/36 | 117,250 | |||||||
|
| |||||||||
New York — 0.2% | ||||||||||
500,000 | AA | City of New York, GO, Series G-1, 5.968% due 3/1/36 | 666,985 | |||||||
80,000 | AAA | New York City Transitional Finance Authority Future Tax Secured Revenue, Revenue Bonds, Series A, 5.000% due 11/1/42 | 91,928 | |||||||
300,000 | AA+ | New York City Water & Sewer System, Revenue Bonds, Series CC, 5.882% due 6/15/44 | 418,278 | |||||||
270,000 | AAA | New York State Urban Development Corp., Revenue Bonds, Series E, 5.000% due 3/15/24 | 321,980 | |||||||
|
| |||||||||
Total New York | 1,499,171 | |||||||||
|
| |||||||||
Texas — 0.0% | ||||||||||
235,000 | A+ | Dallas/Fort Worth International Airport, Revenue Bonds, Series A, 5.000% due 11/1/45(m) | 255,154 | |||||||
|
| |||||||||
Virginia — 0.1% | ||||||||||
265,617 | AAA | Virginia Housing Development Authority, Revenue Bonds, Series C, 6.000% due 6/25/34 | 285,161 | |||||||
|
| |||||||||
TOTAL MUNICIPAL BONDS (Cost — $3,758,564) | 3,979,698 | |||||||||
|
| |||||||||
Shares/Units | ||||||||||
PREFERRED STOCK — 0.0% | ||||||||||
FINANCIALS — 0.0% | ||||||||||
Banks — 0.0% | ||||||||||
3,800 | GMAC Capital Trust I, 7.100% (3-Month USD — LIBOR + 5.785%)(b) (Cost — $94,240) | 99,256 | ||||||||
|
| |||||||||
TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS (Cost — $685,957,828) | 695,249,042 | |||||||||
|
| |||||||||
Face Amount† | ||||||||||
SHORT-TERM INVESTMENTS (n) — 8.6% | ||||||||||
MONEY MARKET FUND — 0.1% | ||||||||||
$ | 417,220 | Invesco STIT — Government & Agency Portfolio, Institutional Class(o) (Cost — $417,220) | 417,220 | |||||||
|
|
See Notes to Financial Statements.
183
Schedules of Investments |
(continued) |
Core Fixed Income Fund | ||||||||||
Face Amount† | Rating†† | Security | Value | |||||||
REPURCHASE AGREEMENT — 2.4% | ||||||||||
$ | 16,900,000 | Merrill Lynch & Co., Inc. repurchase agreement dated 08/31/17, 1.060% due 9/1/17, Proceeds at maturity — $16,900,498; (Fully collateralized by U.S. Treasury Bonds, 2.500%, due 5/15/46; Market Valued — $17,382,879)(p) (Cost — $16,900,000) | $ | 16,900,000 | ||||||
|
| |||||||||
SOVEREIGN BOND — 1.2% | ||||||||||
970,000,000 | JPY | F1u(j) | Japan Treasury Discount Bills, (0.120)% due 10/16/17(p) (Cost — $8,670,546) | 8,824,715 | ||||||
|
| |||||||||
TIME DEPOSITS — 3.4% | ||||||||||
12,493,516 | Banco Santander SA — Frankfurt, 0.590% due 9/1/17 | 12,493,516 | ||||||||
106,070 | EUR | Citibank — London, (0.556)% due 9/1/17 | 126,293 | |||||||
Sumitomo — Tokyo: | ||||||||||
4,098,995 | JPY | (0.230)% due 9/1/17 | 37,280 | |||||||
11,786,945 | 0.590% due 9/1/17 | 11,786,945 | ||||||||
|
| |||||||||
TOTAL TIME DEPOSITS (Cost — $24,444,034) | 24,444,034 | |||||||||
|
| |||||||||
U.S. GOVERNMENT OBLIGATIONS — 1.5% | ||||||||||
U.S. Treasury Bills: | ||||||||||
140,000 | 0.823% due 9/7/17(p)(q) | 139,981 | ||||||||
8,735,000 | 1.103% due 1/11/18(p) | 8,699,865 | ||||||||
1,920,000 | 1.071% due 1/25/18(p) | 1,911,703 | ||||||||
|
| |||||||||
TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost — $10,751,549) | 10,751,549 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS IN SECURITIES (Cost — $61,183,349) | 61,337,518 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS IN SECURITIES (Cost — $747,141,177) | 756,586,560 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS IN PURCHASED OPTIONS (Cost — $139,813) | 132,156 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 106.6% (Cost — $747,280,990) | 756,718,716 | |||||||||
|
| |||||||||
Liabilities in Excess of Other Assets — (6.6)% | (46,640,971 | ) | ||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $ | 710,077,745 | ||||||||
|
|
† | Amount denominated in U.S. dollars, unless otherwise noted. |
†† | All ratings are by Standard & Poor’s Rating Service, unless otherwise noted. All ratings are unaudited. |
(a) | Restricted security that may be sold to “qualified institutional buyers” pursuant to the conditions of Rule 144A under the Securities Act of 1933, as amended. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted. The aggregate value of restricted 144A holdings at August 31, 2017, amounts to approximately $66,158,396 and represents 9.32% of net assets. |
(b) | Variable rate security. Interest rate disclosed is that which was in effect at August 31, 2017. |
(c) | Security is perpetual in nature and has no stated maturity date. |
(d) | Rating by Moody’s Investors Service. All ratings are unaudited. |
(e) | Security is valued in good faith at fair value by or under the direction of the Board of Trustees. |
(f) | Illiquid security. |
(g) | All or a portion of this security is on loan (See Note 1). |
(h) | This security is traded on a TBA basis (see Note 1). |
(i) | Principal only security. |
(j) | Rating by Fitch Ratings Service. All ratings are unaudited. |
(k) | Interest only security. |
(l) | Affiliated security (See Note 2). As at August 31, 2017, total cost and total market value of affiliated securities amounted to $1,191,235 and $1,236,750, respectively. |
(m) | Income from this issue is considered a preference item for purposes of calculating the alternative minimum tax (AMT). |
(n) | Inclusive of all short term holdings, including collateral received from securities lending activities. Excluding such collateral, the percentage of portfolio holdings would be 8.6%. |
See Notes to Financial Statements.
184
Schedules of Investments |
(continued) |
Core Fixed Income Fund |
(o) | Represents investment of collateral received from securities lending transactions. |
(p) | Rate shown represents yield-to-maturity. |
(q) | All or a portion of this security is held at the broker as collateral for open futures contracts. |
(r) | Security that used significant unobservable inputs to determine fair value. |
(s) | The aggregate value of restricted securities (excluding 144A holdings) at August 31, 2017, amounts to approximately $8,747,768 and represents 1.23% of net assets. |
At August 31, 2017, for Core Fixed Income Fund the aggregate cost of investments, the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:
Fund | Aggregate Cost For Federal Income Tax Purposes | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||||||||||
Core Fixed Income Fund | $ | 750,795,140 | $ | 21,759,392 | $ | (16,447,837 | ) | $ | 5,311,555 |
Abbreviations used in this schedule: | ||
ABS | — Asset-Based Security | |
ACES | — Alternative Credit Enhancement Securities | |
CLO | — Collateralized Loan Obligation | |
GO | — General Obligation | |
GTDSTD | — Guaranteed Student Loans | |
LIBOR | — London Interbank Offered rate | |
MASTR | — Mortgage Asset Securitization Transactions Incorporated | |
PLC | — Public Limited Company | |
REMICS | — Real Estate Mortgage Investment Conduit |
Summary of Investments by Security Type^ | ||||
Corporate Bonds & Notes | 26.8 | % | ||
Mortgage-Backed Securities | 25.1 | |||
U.S. Government Agencies & Obligations | 23.0 | |||
Collateralized Mortgage Obligations | 10.7 | |||
Sovereign Bonds | 2.4 | |||
Asset-Backed Securities | 2.3 | |||
Senior Loans | 1.1 | |||
Municipal Bonds | 0.5 | |||
Purchased Options | 0.0 | * | ||
Preferred Stock | 0.0 | * | ||
Short-Term Investments | 8.1 | |||
|
| |||
100.0 | % | |||
|
|
^ | As a percentage of total investments. |
* | Position represents less than 0.05% |
See Notes to Financial Statements.
185
Schedules of Investments |
(continued) |
Core Fixed Income Fund |
Schedule of Options Contracts Purchased
Options on Futures | ||||||||||||||||||||||
Number of Contracts | Notional Amounts | Security Name | Counterparty | Expiration Date | Strike Price | Value | ||||||||||||||||
23 | $5,665,763 | 3-Month Eurodollar March Futures, Put | GSC | 3/19/18 | $ | 98.25 | $ | 575 | ||||||||||||||
28 | 6,903,750 | 3-Month Eurodollar September Futures, Put | GSC | 9/18/17 | 98.63 | 175 | ||||||||||||||||
34 | 4,026,610 | U.S. Treasury 5-Year Note September Futures, Call | GSC | 9/1/17 | 118.50 | 3,719 | ||||||||||||||||
33 | 3,908,180 | U.S. Treasury 5-Year Note September Futures, Call | GSC | 9/1/17 | 118.75 | 1,031 | ||||||||||||||||
17 | 2,155,813 | U.S. Treasury 10-Year Note October Futures, Put | GSC | 9/22/17 | 126.00 | 2,125 | ||||||||||||||||
15 | 1,902,188 | U.S. Treasury 10-Year Note October Futures, Call | GSC | 9/22/17 | 126.50 | 11,250 | ||||||||||||||||
70 | 8,876,875 | U.S. Treasury 10-Year Note October Futures, Call | GSC | 9/22/17 | 127.00 | 31,718 | ||||||||||||||||
26 | 3,297,125 | U.S. Treasury 10-Year Note October Futures, Call | GSC | 9/22/17 | 127.25 | 8,938 | ||||||||||||||||
62 | 7,862,375 | U.S. Treasury 10-Year Note October Futures, Call | GSC | 9/22/17 | 127.50 | 15,500 | ||||||||||||||||
25 | 3,170,313 | U.S. Treasury 10-Year Note September Futures, Put | GSC | 9/1/17 | 126.75 | 2,344 | ||||||||||||||||
48 | 6,087,000 | U.S. Treasury 10-Year Note September Futures, Call | GSC | 9/1/17 | 127.00 | 8,250 | ||||||||||||||||
4 | 622,625 | U.S. Treasury Bond October Futures, Put | GSC | 9/22/17 | 153.00 | 750 | ||||||||||||||||
19 | 2,957,470 | U.S. Treasury Bond October Futures, Call | GSC | 9/22/17 | 155.00 | 32,656 | ||||||||||||||||
28 | 4,358,376 | U.S. Treasury Long Bond September Futures, Call | GSC | 9/8/17 | 156.50 | 13,125 | ||||||||||||||||
|
| |||||||||||||||||||||
TOTAL OPTIONS CONTRACTS PURCHASED (Cost — $139,813) | $ | 132,156 | ||||||||||||||||||||
|
|
Schedule of Options Contracts Written
Options on Futures | ||||||||||||||||||||||
Number of Contracts | Notional Amounts† | Security Name | Counterparty | Expiration Date | Strike Price | Value | ||||||||||||||||
23 | $5,665,763 | 3-Month Eurodollar March Futures, Put | GSC | 3/19/18 | $ | 98.13 | $ | 144 | ||||||||||||||
6 | 973,620 | EUR | Euro-Bund October Futures, Call | GSC | 9/22/17 | EUR | 163.00 | 2,500 | ||||||||||||||
29 | 3,434,461 | U.S. Treasury 5-Year Note October Futures, Call | GSC | 9/22/17 | 118.50 | 7,477 | ||||||||||||||||
45 | 5,329,337 | U.S. Treasury 5-Year Note October Futures, Call | GSC | 9/22/17 | 118.75 | 7,031 | ||||||||||||||||
29 | 3,434,461 | U.S. Treasury 5-Year Note October Futures, Put | GSC | 9/22/17 | 117.00 | 453 | ||||||||||||||||
13 | 1,648,563 | U.S. Treasury 10-Year Note December Futures, Call | GSC | 11/24/17 | 128.50 | 5,891 | ||||||||||||||||
59 | 7,481,938 | U.S. Treasury 10-Year Note December Futures, Call | GSC | 11/24/17 | 129.00 | 20,281 | ||||||||||||||||
13 | 1,648,563 | U.S. Treasury 10-Year Note December Futures, Put | GSC | 11/24/17 | 124.00 | 2,234 | ||||||||||||||||
17 | 2,155,813 | U.S. Treasury 10-Year Note November Futures, Call | GSC | 10/27/17 | 128.00 | 7,172 | ||||||||||||||||
17 | 2,155,813 | U.S. Treasury 10-Year Note November Futures, Put | GSC | 10/27/17 | 123.50 | 1,062 | ||||||||||||||||
17 | 2,155,813 | U.S. Treasury 10-Year Note October Futures, Call | GSC | 9/22/17 | 128.00 | 2,391 | ||||||||||||||||
18 | 2,282,625 | U.S. Treasury 10-Year Note October Futures, Call | GSC | 9/22/17 | 128.50 | 1,406 | ||||||||||||||||
17 | 2,155,813 | U.S. Treasury 10-Year Note October Futures, Put | GSC | 9/22/17 | 122.50 | — | ||||||||||||||||
14 | 1,775,375 | U.S. Treasury 10-Year Note October Futures, Put | GSC | 9/22/17 | 124.50 | 219 | ||||||||||||||||
8 | 1,245,250 | U.S. Treasury Bond November Futures, Call | GSC | 10/27/17 | 159.00 | 6,750 | ||||||||||||||||
|
| |||||||||||||||||||||
TOTAL OPTIONS CONTRACTS WRITTEN (Premiums received — $64,972) | $ | 65,011 | ||||||||||||||||||||
|
|
† | Amount denominated in U.S. dollars, unless otherwise noted. |
See Notes to Financial Statements.
186
Schedules of Investments |
(continued) |
Core Fixed Income Fund |
At August 31, 2017, Core Fixed Income Fund had open exchange traded futures contracts as described below.
The unrealized appreciation (depreciation) on the open contracts reflected in the accompanying financial statements were as follows:
Open Futures Contracts | Number of Contracts | Expiration Date (Month/Year) | Notional Amounts | Market Value | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Contracts to Buy: | ||||||||||||||||||||
90-Day Eurodollar December Futures | 30 | 12/17 | $ | 7,393,875 | $ | 7,393,875 | $ | — | ||||||||||||
90-Day Eurodollar December Futures | 26 | 12/18 | 6,363,175 | 6,394,700 | 31,525 | |||||||||||||||
Euro-BTP September Futures | 49 | 9/17 | 7,814,403 | 8,012,670 | 198,267 | |||||||||||||||
U.S. Treasury 2-Year Note December Futures | 77 | 12/17 | 16,648,078 | 16,656,062 | 7,984 | |||||||||||||||
U.S. Treasury 5-Year Note December Futures | 489 | 12/17 | 57,815,019 | 57,946,500 | 131,481 | |||||||||||||||
U.S. Treasury 10-Year Note December Futures | 93 | 12/17 | 11,774,771 | 11,809,547 | 34,776 | |||||||||||||||
|
| |||||||||||||||||||
404,033 | ||||||||||||||||||||
|
| |||||||||||||||||||
Contracts to Sell: | ||||||||||||||||||||
90-Day Eurodollar December Futures | 262 | 12/17 | 64,561,538 | 64,573,175 | (11,637 | ) | ||||||||||||||
90-Day Eurodollar December Futures | 30 | 12/18 | 7,372,125 | 7,378,500 | (6,375 | ) | ||||||||||||||
90-Day Eurodollar December Futures | 89 | 12/19 | 21,713,000 | 21,852,838 | (139,838 | ) | ||||||||||||||
90-Day Eurodollar June Futures | 18 | 6/18 | 4,430,025 | 4,432,275 | (2,250 | ) | ||||||||||||||
90-Day Eurodollar September Futures | 67 | 9/17 | 16,523,612 | 16,528,481 | (4,869 | ) | ||||||||||||||
90-Day Eurodollar September Futures | 18 | 9/18 | 4,427,100 | 4,430,250 | (3,150 | ) | ||||||||||||||
Euro FX Currency September Futures | 6 | 9/17 | 849,637 | 893,400 | (43,763 | ) | ||||||||||||||
Euro-Bund September Futures | 126 | 9/17 | 24,671,030 | 24,765,615 | (94,585 | ) | ||||||||||||||
Japan Government 10-Year Bond September Futures | 5 | 9/17 | 6,850,750 | 6,872,214 | (21,464 | ) | ||||||||||||||
U.S. Treasury 2-Year Note December Futures | 26 | 12/17 | 5,624,031 | 5,624,125 | (94 | ) | ||||||||||||||
U.S. Treasury Long Bond December Futures | 75 | 12/17 | 11,660,551 | 11,707,031 | (46,480 | ) | ||||||||||||||
U.S. Ultra Long Bond December Futures | 21 | 12/17 | 2,854,778 | 2,867,156 | (12,378 | ) | ||||||||||||||
|
| |||||||||||||||||||
(386,883 | ) | |||||||||||||||||||
|
| |||||||||||||||||||
Net Unrealized Appreciation on Open Exchange Traded Futures Contracts | $ | 17,150 | ||||||||||||||||||
|
|
At August 31, 2017, Core Fixed Income Fund had deposited cash of $800,358 with a broker or brokers as margin collateral on open exchange traded futures contracts.
At August 31, 2017, Core Fixed Income Fund had open forward foreign currency contracts as described below.
The unrealized appreciation (depreciation) on the open contracts reflected in the accompanying financial statements were as follows:
Foreign Currency | Local Currency | In Exchange For | Counterparty | Market Value | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
Contracts to Buy: | ||||||||||||||||||||||||||||
British Pound | 956,000 | USD | 1,241,127 | CITI | $ | 1,238,180 | 10/19/17 | $ | (2,947 | ) | ||||||||||||||||||
Euro | 260,000 | USD | 299,791 | CITI | 310,310 | 10/19/17 | 10,519 | |||||||||||||||||||||
Euro | 348,212 | USD | 401,328 | CITI | 415,591 | 10/19/17 | 14,263 | |||||||||||||||||||||
Indian Rupee | 124,380,000 | USD | 1,911,187 | CITI | 1,935,389 | 10/18/17 | 24,202 | |||||||||||||||||||||
Indonesian Rupiah | 24,550,200,000 | USD | 1,810,487 | CITI | 1,832,556 | 10/19/17 | 22,069 | |||||||||||||||||||||
New Taiwan Dollar | 75,541,000 | USD | 2,507,793 | CITI | 2,511,267 | 10/19/17 | 3,474 | |||||||||||||||||||||
|
| |||||||||||||||||||||||||||
71,580 | ||||||||||||||||||||||||||||
|
|
See Notes to Financial Statements.
187
Schedules of Investments |
(continued) |
Core Fixed Income Fund |
Foreign Currency | Local Currency | In Exchange For | Counterparty | Market Value | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
Contracts to Sell: | ||||||||||||||||||||||||||||
Chinese Offshore Renminbi | 11,954,157 | USD | 1,741,700 | CITI | $ | 1,808,647 | 10/19/17 | $ | (66,947 | ) | ||||||||||||||||||
Chinese Onshore Renminbi | 26,818,047 | USD | 3,916,472 | CITI | 4,060,379 | 10/19/17 | (143,907 | ) | ||||||||||||||||||||
Euro | 250,000 | USD | 294,197 | CITI | 298,375 | 10/19/17 | (4,178 | ) | ||||||||||||||||||||
Japanese Yen | 970,000,000 | USD | 8,704,275 | GSC | 8,839,398 | 10/16/17 | (135,123 | ) | ||||||||||||||||||||
Japanese Yen | 551,620,558 | USD | 4,923,856 | CITI | 5,027,510 | 10/19/17 | (103,654 | ) | ||||||||||||||||||||
Mexican Peso | 27,180,000 | USD | 1,522,945 | CITI | 1,508,971 | 10/19/17 | 13,974 | |||||||||||||||||||||
New Taiwan Dollar | 75,541,283 | USD | 2,470,284 | CITI | 2,511,276 | 10/19/17 | (40,992 | ) | ||||||||||||||||||||
Philippine Peso | 120,583,000 | USD | 2,348,486 | CITI | 2,352,565 | 10/19/17 | (4,079 | ) | ||||||||||||||||||||
|
| |||||||||||||||||||||||||||
(484,906 | ) | |||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||
Net Unrealized Depreciation on Open Forward Foreign Currency Contracts | $ | (413,326 | ) | |||||||||||||||||||||||||
|
|
At August 31, 2017, Core Fixed Income Fund held the following Centrally Cleared Interest Rate Swap Contracts:
Pay/Receive Floating Rate | Floating Rate Index | Fixed Rate | Maturity Date | Payment Frequency | Notional Amounts | Market Value | Upfront Premiums Paid | Unrealized (Depreciation) | ||||||||||||||||||||||
Receive | 3-Month USD-LIBOR | 2.470% | 11/15/43 | 6-Month | USD | 5,655,000 | $ | (120,515 | ) | $ | 95,291 | $ | (215,806 | ) | ||||||||||||||||
|
|
|
|
|
|
At August 31, 2017, Core Fixed Income Fund deposited cash collateral with brokers in the amount of $431,000 for open centrally cleared swap contracts.
Currency Abbreviations used in this schedule: | Counterparty Abbreviations used in this schedule: | |||||
BRL | — Brazilian Real | CITI | — Citigroup Global Markets Inc. | |||
EUR | — Euro | GSC | — Goldman Sachs & Co. | |||
JPY | — Japanese Yen | |||||
MXN | — Mexican Peso | |||||
RUB | — Russian Ruble |
See pages 253-254 for definitions of ratings.
See Notes to Financial Statements.
188
Schedules of Investments |
(continued) |
High Yield Fund | ||||||||||
Face Amount/Units† | Rating†† | Security | Value | |||||||
CORPORATE BONDS & NOTES — 90.1% | ||||||||||
Aerospace & Defense — 0.3% | ||||||||||
$ | 280,000 | BBB- | Arconic Inc., Senior Unsecured Notes, 5.950% due 2/1/37 | $ | 294,644 | |||||
300,000 | BB- | CBC Ammo LLC/CBC FinCo Inc., Senior Unsecured Notes, 7.250% due 11/15/21(a) | 304,500 | |||||||
|
| |||||||||
Total Aerospace & Defense | 599,144 | |||||||||
|
| |||||||||
Air Freight & Logistics — 0.8% | ||||||||||
75,000 | B- | CEVA Group PLC, Senior Secured Notes, 7.000% due 3/1/21(a) | 72,750 | |||||||
140,000 | B | Con-Way Inc., Senior Unsecured Notes, 6.700% due 5/1/34 | 135,100 | |||||||
232,150 | CCC- | Neovia Logistics Services LLC/Logistics Intermediate Finance Corp., Senior Unsecured Notes, 10.000% (10.000% cash or 10.750% PIK) due 4/1/20(a)(b) | 103,307 | |||||||
90,000 | CCC+ | Neovia Logistics services LLC/SPL Logistics Finance Corp., Senior Secured Notes, 8.875% due 8/1/20(a) | 76,050 | |||||||
XPO Logistics Inc., Company Guaranteed Notes: | ||||||||||
100,000 | BB- | 6.500% due 6/15/22(a) | 105,585 | |||||||
850,000 | BB- | 6.125% due 9/1/23(a) | 890,375 | |||||||
|
| |||||||||
Total Air Freight & Logistics | 1,383,167 | |||||||||
|
| |||||||||
Airlines — 0.5% | ||||||||||
212,233 | BBB- | American Airlines Class B Pass-Through Trust, Series 2013-2, Pass-Thru Certificates, 5.600% due 7/15/20(a) | 222,580 | |||||||
342,464 | BBB- | United Airlines Class B Pass-Through Trust, Series 2014-1, Pass-Thru Certificates, 4.750% due 4/11/22 | 356,710 | |||||||
183,445 | BBB- | US Airways Class B Pass-Through Trust, Series 2012-2, Pass-Thru Certificates, 6.750% due 6/3/21 | 202,367 | |||||||
|
| |||||||||
Total Airlines | 781,657 | |||||||||
|
| |||||||||
Auto Components — 0.4% | ||||||||||
300,000 | BB | Adient Global Holdings Ltd., Company Guaranteed Notes, 4.875% due 8/15/26(a) | 308,715 | |||||||
American Axle & Manufacturing Inc., Company Guaranteed Notes: | ||||||||||
55,000 | B | 6.250% due 4/1/25(a) | 54,862 | |||||||
65,000 | B | 6.500% due 4/1/27(a) | 64,188 | |||||||
Goodyear Tire & Rubber Co. (The), Company Guaranteed Notes: | ||||||||||
240,000 | BB | 5.125% due 11/15/23 | 251,698 | |||||||
50,000 | BB | 5.000% due 5/31/26 | 52,375 | |||||||
|
| |||||||||
Total Auto Components | 731,838 | |||||||||
|
| |||||||||
Automobiles — 1.0% | ||||||||||
420,000 | Ba3(c) | Allison Transmission Inc., Senior Unsecured Notes, 5.000% due 10/1/24(a) | 433,650 | |||||||
405,000 | BB- | Deck Chassis Acquisition Inc., Secured Notes, 10.000% due 6/15/23(a) | 453,600 | |||||||
220,000 | BBB | General Motors Co., Senior Unsecured Notes, 5.200% due 4/1/45 | 218,549 | |||||||
200,000 | BB- | IHO Verwaltungs GmbH, Senior Secured Notes, 4.750% (4.750% cash or 5.500% PIK) due 9/15/26(a)(b) | 202,500 | |||||||
410,000 | BB+ | ZF North America Capital Inc., Company Guaranteed Notes, 4.750% due 4/29/25(a) | 431,525 | |||||||
|
| |||||||||
Total Automobiles | 1,739,824 | |||||||||
|
| |||||||||
Banks — 2.4% | ||||||||||
450,000 | BBB- | BNP Paribas SA, Junior Subordinated Notes, 7.625% (5-Year USD Swap Rate + 6.314%)(a)(d)(e) | 493,313 | |||||||
CIT Group Inc., Senior Unsecured Notes: | ||||||||||
200,000 | BB+ | 5.375% due 5/15/20 | 215,250 | |||||||
500,000 | BB+ | 5.000% due 8/1/23 | 544,375 | |||||||
Credit Agricole SA, Junior Subordinated Notes: | ||||||||||
210,000 | BB+ | 8.375% (3-Month USD-LIBOR + 6.982%)(a)(d)(e) | 233,961 | |||||||
200,000 | BB+ | 8.125% (5-Year USD Swap Rate + 6.185%)(a)(d)(e) | 237,616 | |||||||
1,000,000 | BB | Credit Suisse Group AG, Junior Subordinated Notes, 6.250% (5-Year USD Swap Rate + 3.455%)(a)(d)(e) | 1,062,390 |
See Notes to Financial Statements.
189
Schedules of Investments |
(continued) |
High Yield Fund | ||||||||||
Face Amount/Units† | Rating†† | Security | Value | |||||||
Banks — 2.4% — (continued) | ||||||||||
$ | 570,000 | BBB- | JPMorgan Chase & Co., Junior Subordinated Notes, 6.750% (3-Month USD-LIBOR + 3.780%)(d)(e) | $ | 651,937 | |||||
700,000 | B | Royal Bank of Scotland Group PLC, Junior Subordinated Notes, 8.625% (5-Year USD Swap Rate + 7.598%)(d)(e) | 777,000 | |||||||
|
| |||||||||
Total Banks | 4,215,842 | |||||||||
|
| |||||||||
Beverages — 0.6% | ||||||||||
310,000 | B- | Beverages & More Inc., Senior Secured Notes, 11.500% due 6/15/22(a) | 292,175 | |||||||
170,000 | B- | Carolina Beverage Group LLC/Carolina Beverage Group Finance Inc., Senior Secured Notes, 10.625% due 8/1/18(a) | 172,337 | |||||||
210,000 | B | Cott Holdings Inc., Company Guaranteed Notes, 5.500% due 4/1/25(a) | 219,975 | |||||||
246,000 | BB- | DS Services of America Inc., Secured Notes, 10.000% due 9/1/21(a) | 260,883 | |||||||
|
| |||||||||
Total Beverages | 945,370 | |||||||||
|
| |||||||||
Biotechnology — 0.1% | ||||||||||
220,000 | BB- | AMAG Pharmaceuticals Inc., Company Guaranteed Notes, 7.875% due 9/1/23(a) | 221,265 | |||||||
|
| |||||||||
Building Products — 0.5% | ||||||||||
320,000 | B+ | Builders FirstSource Inc., Senior Secured Notes, 5.625% due 9/1/24(a) | 335,600 | |||||||
Standard Industries Inc., Senior Unsecured Notes: | ||||||||||
200,000 | BBB- | 5.375% due 11/15/24(a) | 210,000 | |||||||
295,000 | BBB- | 6.000% due 10/15/25(a) | 318,600 | |||||||
|
| |||||||||
Total Building Products | 864,200 | |||||||||
|
| |||||||||
Capital Markets — 0.1% | ||||||||||
200,000 | B | Donnelley Financial Solutions Inc., Company Guaranteed Notes, 8.250% due 10/15/24 | 215,500 | |||||||
|
| |||||||||
Chemicals — 1.7% | ||||||||||
200,000 | CCC+ | Alpha 3 BV/Alpha US Bidco Inc., Company Guaranteed Notes, 6.250% due 2/1/25(a) | 206,500 | |||||||
95,000 | B+ | Chemours Co. (The), Company Guaranteed Notes, 5.375% due 5/15/27 | 99,275 | |||||||
510,000 | B+ | Platform Specialty Products Corp., Senior Unsecured Notes, 6.500% due 2/1/22(a) | 531,675 | |||||||
90,000 | BB+ | SPCM SA, Senior Unsecured Notes, 4.875% due 9/15/25(a) | 92,925 | |||||||
300,000 | B- | Tronox Finance LLC, Company Guaranteed Notes, 6.375% due 8/15/20 | 305,250 | |||||||
Valvoline Inc., Company Guaranteed Notes: | ||||||||||
825,000 | BB | 5.500% due 7/15/24(a) | 877,594 | |||||||
100,000 | BB | 4.375% due 8/15/25(a) | 101,000 | |||||||
300,000 | BB- | Venator Finance Sarl/Venator Materials LLC, Company Guaranteed Notes, 5.750% due 7/15/25(a) | 308,062 | |||||||
300,000 | BB+ | WR Grace & Co-Conn, Company Guaranteed Notes, 5.125% due 10/1/21(a) | 327,000 | |||||||
|
| |||||||||
Total Chemicals | 2,849,281 | |||||||||
|
| |||||||||
Commercial Services & Supplies — 4.9% | ||||||||||
210,000 | BB- | ACCO Brands Corp., Company Guaranteed Notes, 5.250% due 12/15/24(a) | 216,825 | |||||||
ADT Corp. (The), Senior Secured Notes: | ||||||||||
300,000 | BB- | 6.250% due 10/15/21 | 327,615 | |||||||
260,000 | BB- | 4.125% due 6/15/23 | 263,900 | |||||||
300,000 | B- | Advanced Disposal Services Inc., Company Guaranteed Notes, 5.625% due 11/15/24(a) | 312,750 | |||||||
Ashtead Capital Inc., Secured Notes: | ||||||||||
380,000 | BBB- | 5.625% due 10/1/24(a) | 408,926 | |||||||
350,000 | BBB- | 4.375% due 8/15/27(a) | 357,437 | |||||||
Covanta Holding Corp., Senior Unsecured Notes: | ||||||||||
325,000 | B | 5.875% due 3/1/24 | 325,812 | |||||||
420,000 | B | 5.875% due 7/1/25 | 417,900 | |||||||
GFL Environmental Inc., Senior Unsecured Notes: | ||||||||||
200,000 | B- | 9.875% due 2/1/21(a) | 216,000 | |||||||
75,000 | B- | 5.625% due 5/1/22(a) | 78,000 | |||||||
100,000 | B- | Hertz Corp. (The), Company Guaranteed Notes, 5.500% due 10/15/24(a) | 85,500 |
See Notes to Financial Statements.
190
Schedules of Investments |
(continued) |
High Yield Fund | ||||||||||
Face Amount/Units† | Rating†† | Security | Value | |||||||
Commercial Services & Supplies — 4.9% — (continued) | ||||||||||
$ | 645,000 | B- | Jaguar Holding Co. II/Pharmaceutical Product Development LLC, Company Guaranteed Notes, 6.375% due 8/1/23(a) | $ | 678,024 | |||||
250,000 | B | KAR Auction Services Inc., Company Guaranteed Notes, 5.125% due 6/1/25(a) | 259,175 | |||||||
425,000 | B- | Laureate Education Inc., Company Guaranteed Notes, 8.250% due 5/1/25(a) | 463,250 | |||||||
230,000 | CCC | Monitronics International Inc., Company Guaranteed Notes, 9.125% due 4/1/20(f) | 194,637 | |||||||
210,000 | BB+ | Nielsen Co. Luxembourg SARL (The), Company Guaranteed Notes, 5.000% due 2/1/25(a) | 217,350 | |||||||
740,000 | B- | Prime Security Services Borrower LLC/Prime Finance Inc., Secured Notes, 9.250% due 5/15/23(a) | 819,550 | |||||||
315,000 | BB- | Ritchie Bros Auctioneers Inc., Company Guaranteed Notes, 5.375% due 1/15/25(a) | 328,388 | |||||||
ServiceMaster Co. LLC (The): | ||||||||||
250,000 | BB- | Company Guaranteed Notes, 5.125% due 11/15/24(a) | 257,500 | |||||||
360,000 | B | Senior Unsecured Notes, 7.450% due 8/15/27 | 392,400 | |||||||
510,000 | B- | Tervita Escrow Corp., Secured Notes, 7.625% due 12/1/21(a) | 515,100 | |||||||
145,000 | B | TMS International Corp., Senior Unsecured Notes, 7.250% due 8/15/25(a) | 146,813 | |||||||
UR Financing Escrow Corp., Company Guaranteed Notes: | ||||||||||
40,000 | BB- | 5.750% due 11/15/24 | 42,962 | |||||||
300,000 | BB- | 5.875% due 9/15/26 | 327,675 | |||||||
280,000 | BB- | 5.500% due 5/15/27 | 297,500 | |||||||
530,000 | B+ | West Corp., Company Guaranteed Notes, 5.375% due 7/15/22(a) | 537,288 | |||||||
|
| |||||||||
Total Commercial Services & Supplies | 8,488,277 | |||||||||
|
| |||||||||
Communications Equipment — 0.5% | ||||||||||
CommScope Technologies LLC, Company Guaranteed Notes: | ||||||||||
500,000 | BB- | 6.000% due 6/15/25(a) | 533,750 | |||||||
160,000 | BB- | 5.000% due 3/15/27(a) | 159,848 | |||||||
140,000 | NR | Finisar Corp., Senior Unsecured Notes, 0.500% due 12/15/36(a) | 134,925 | |||||||
|
| |||||||||
Total Communications Equipment | 828,523 | |||||||||
|
| |||||||||
Construction & Engineering — 0.3% | ||||||||||
238,995 | CCC | Michael Baker Holdings LLC/Michael Baker Finance Corp., Senior Unsecured Notes, 8.875% (8.875% cash or 9.625% PIK) due 4/15/19(a)(b) | 238,696 | |||||||
290,000 | B+ | Weekley Homes LLC/Weekley Finance Corp., Senior Unsecured Notes, 6.625% due 8/15/25(a) | 282,750 | |||||||
|
| |||||||||
Total Construction & Engineering | 521,446 | |||||||||
|
| |||||||||
Construction Materials — 0.3% | ||||||||||
130,000 | BB- | Summit Materials LLC/Summit Materials Finance Corp., Company Guaranteed Notes, 5.125% due 6/1/25(a) | 132,925 | |||||||
400,000 | BB- | US Concrete Inc., Company Guaranteed Notes, 6.375% due 6/1/24 | 434,000 | |||||||
|
| |||||||||
Total Construction Materials | 566,925 | |||||||||
|
| |||||||||
Consumer Finance — 0.8% | ||||||||||
350,000 | BB+ | Ally Financial Inc., Senior Unsecured Notes, 5.125% due 9/30/24 | 378,000 | |||||||
210,000 | BB | FirstCash Inc., Company Guaranteed Notes, 5.375% due 6/1/24(a) | 222,075 | |||||||
Navient Corp., Senior Unsecured Notes: | ||||||||||
150,000 | B+ | 8.450% due 6/15/18 | 157,687 | |||||||
150,000 | B+ | 8.000% due 3/25/20 | 165,937 | |||||||
150,000 | B+ | 5.000% due 10/26/20 | 154,313 | |||||||
140,000 | B+ | 5.875% due 3/25/21 | 147,175 | |||||||
100,000 | B+ | 6.625% due 7/26/21 | 106,875 | |||||||
100,000 | B+ | 5.875% due 10/25/24 | 101,550 | |||||||
|
| |||||||||
Total Consumer Finance | 1,433,612 | |||||||||
|
|
See Notes to Financial Statements.
191
Schedules of Investments |
(continued) |
High Yield Fund | ||||||||||
Face Amount/Units† | Rating†† | Security | Value | |||||||
Containers & Packaging — 1.7% | ||||||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA Inc.: | ||||||||||
Company Guaranteed Notes: | ||||||||||
$ | 740,000 | B | 7.250% due 5/15/24(a) | $ | 819,069 | |||||
620,000 | B | 6.000% due 2/15/25(a) | 661,850 | |||||||
200,000 | BB | Senior Secured Notes, 4.250% due 9/15/22(a) | 205,500 | |||||||
325,000 | CCC | BWAY Holding Co., Senior Unsecured Notes, 7.250% due 4/15/25(a) | 332,719 | |||||||
Pactiv LLC, Senior Unsecured Notes: | ||||||||||
100,000 | B- | 7.950% due 12/15/25 | 112,375 | |||||||
680,000 | B- | 8.375% due 4/15/27 | 773,500 | |||||||
|
| |||||||||
Total Containers & Packaging | 2,905,013 | |||||||||
|
| |||||||||
Diversified Consumer Services — 0.2% | ||||||||||
Service Corp. International, Senior Unsecured Notes: | ||||||||||
125,000 | BB | 5.375% due 5/15/24 | 133,437 | |||||||
130,000 | BB | 7.500% due 4/1/27 | 155,350 | |||||||
|
| |||||||||
Total Diversified Consumer Services | 288,787 | |||||||||
|
| |||||||||
Diversified Financial Services — 1.5% | ||||||||||
280,000 | CCC+ | ASP AMC Merger Sub Inc., Senior Unsecured Notes, 8.000% due 5/15/25(a) | 267,400 | |||||||
DAE Funding LLC, Company Guaranteed Notes: | ||||||||||
230,000 | BB | 4.500% due 8/1/22(a) | 235,175 | |||||||
180,000 | BB | 5.000% due 8/1/24(a) | 184,500 | |||||||
220,000 | B | Exela Intermediate LLC/Exela Finance Inc., Senior Secured Notes, 10.000% due 7/15/23(a) | 216,700 | |||||||
200,000 | B+ | Exterran Energy Solutions LP/EES Finance Corp., Company Guaranteed Notes, 8.125% due 5/1/25(a) | 206,500 | |||||||
320,000 | B+ | FBM Finance Inc., Senior Secured Notes, 8.250% due 8/15/21(a) | 343,200 | |||||||
350,000 | CCC+ | KCA Deutag UK Finance PLC, Senior Secured Notes, 9.875% due 4/1/22(a) | 348,250 | |||||||
210,000 | B+ | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., Senior Unsecured Notes, 5.250% due 3/15/22(a) | 216,825 | |||||||
410,000 | BB | Quicken Loans Inc., Company Guaranteed Notes, 5.750% due 5/1/25(a) | 431,525 | |||||||
230,000 | B- | TMX Finance LLC/TitleMax Finance Corp., Senior Secured Notes, 8.500% due 9/15/18(a) | 213,325 | |||||||
|
| |||||||||
Total Diversified Financial Services | 2,663,400 | |||||||||
|
| |||||||||
Diversified Telecommunication Services — 3.2% | ||||||||||
CenturyLink Inc., Senior Unsecured Notes: | ||||||||||
120,000 | BB | 6.450% due 6/15/21 | 126,150 | |||||||
150,000 | BB | 5.800% due 3/15/22 | 149,625 | |||||||
150,000 | BB | 6.750% due 12/1/23 | 153,750 | |||||||
285,000 | B- | Cincinnati Bell Inc., Company Guaranteed Notes, 7.000% due 7/15/24(a) | 282,863 | |||||||
Frontier Communications Corp., Senior Unsecured Notes: | ||||||||||
80,000 | B | 6.250% due 9/15/21 | 68,400 | |||||||
50,000 | B | 10.500% due 9/15/22 | 45,125 | |||||||
345,000 | B | 11.000% due 9/15/25 | 302,306 | |||||||
Hughes Satellite Systems Corp.: | ||||||||||
500,000 | BB- | Company Guaranteed Notes, 6.625% due 8/1/26 | 546,875 | |||||||
230,000 | BBB- | Senior Secured Notes, 5.250% due 8/1/26 | 242,075 | |||||||
Intelsat Jackson Holdings SA: | ||||||||||
Company Guaranteed Notes: | ||||||||||
200,000 | CCC+ | 7.500% due 4/1/21 | 188,560 | |||||||
300,000 | CCC+ | 5.500% due 8/1/23 | 252,000 | |||||||
220,000 | CCC+ | 9.750% due 7/15/25(a) | 224,400 | |||||||
400,000 | B | Senior Secured Notes, 8.000% due 2/15/24(a) | 431,620 | |||||||
Level 3 Financing Inc., Company Guaranteed Notes: | ||||||||||
250,000 | BB- | 5.375% due 8/15/22 | 257,825 | |||||||
400,000 | BB- | 5.125% due 5/1/23 | 407,500 | |||||||
250,000 | BB- | 5.250% due 3/15/26 | 256,250 |
See Notes to Financial Statements.
192
Schedules of Investments |
(continued) |
High Yield Fund | ||||||||||
Face Amount/Units† | Rating†† | Security | Value | |||||||
Diversified Telecommunication Services — 3.2% — (continued) | ||||||||||
$ | 400,000 | BB+ | Telecom Italia SpA, Senior Unsecured Notes, 5.303% due 5/30/24(a) | $ | 434,500 | |||||
435,000 | B | Virgin Media Finance PLC, Company Guaranteed Notes, 6.375% due 4/15/23(a) | 457,837 | |||||||
300,000 | BB- | Virgin Media Secured Finance PLC, Senior Secured Notes, 5.500% due 8/15/26(a) | 318,000 | |||||||
Windstream Services LLC, Company Guaranteed Notes: | ||||||||||
100,000 | B+ | 7.750% due 10/15/20 | 89,562 | |||||||
20,000 | B+ | 7.750% due 10/1/21 | 15,950 | |||||||
270,000 | B+ | 7.500% due 6/1/22(f) | 211,950 | |||||||
50,000 | B+ | 7.500% due 4/1/23(f) | 38,875 | |||||||
|
| |||||||||
Total Diversified Telecommunication Services | 5,501,998 | |||||||||
|
| |||||||||
Electric Utilities — 0.9% | ||||||||||
409,204 | CCC | Miran Mid-Atlantic Series C Pass-Through Trust, Pass-Thru Certificates, 10.060% due 12/30/28 | 390,789 | |||||||
1,490,000 | CCC | NRG REMA LLC, Pass-Thru Certificates, 9.681% due 7/2/26 | 1,087,700 | |||||||
|
| |||||||||
Total Electric Utilities | 1,478,489 | |||||||||
|
| |||||||||
Electronic Equipment, Instruments & Components — 0.3% | ||||||||||
210,000 | BB- | CDW LLC/CDW Finance Corp., Company Guaranteed Notes, 5.000% due 9/1/25 | 219,975 | |||||||
335,000 | B | Vertiv Group Corp., Senior Unsecured Notes, 9.250% due 10/15/24(a) | 374,363 | |||||||
|
| |||||||||
Total Electronic Equipment, Instruments & Components | 594,338 | |||||||||
|
| |||||||||
Energy Equipment & Services — 1.0% | ||||||||||
430,000 | BBB | Access Midstream Partners LP, Senior Unsecured Notes, 4.875% due 3/15/24 | 449,359 | |||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp., Company Guaranteed Notes: | ||||||||||
220,000 | BB- | 5.125% due 2/1/25(a) | 226,875 | |||||||
40,000 | BB- | 5.375% due 2/1/27(a) | 41,600 | |||||||
905,000 | BB- | Trinidad Drilling Ltd., Company Guaranteed Notes, 6.625% due 2/15/25(a) | 841,650 | |||||||
Weatherford International Ltd., Company Guaranteed Notes: | ||||||||||
55,000 | B | 8.250% due 6/15/23 | 54,037 | |||||||
130,000 | B | 9.875% due 2/15/24(a) | 133,575 | |||||||
|
| |||||||||
Total Energy Equipment & Services | 1,747,096 | |||||||||
|
| |||||||||
Food Products — 1.9% | ||||||||||
200,000 | BB+ | Aramark Services Inc., Company Guaranteed Notes, 5.000% due 4/1/25(a) | 211,560 | |||||||
465,000 | BB | Dean Foods Co., Company Guaranteed Notes, 6.500% due 3/15/23(a) | 474,300 | |||||||
300,000 | CCC+ | Dole Food Co., Inc., Senior Secured Notes, 7.250% due 6/15/25(a) | 323,250 | |||||||
400,000 | BB | Lamb Weston Holdings Inc., Company Guaranteed Notes, 4.875% due 11/1/26(a) | 416,060 | |||||||
Post Holdings Inc., Company Guaranteed Notes: | ||||||||||
315,000 | B | 5.500% due 3/1/25(a) | 328,388 | |||||||
200,000 | B | 5.000% due 8/15/26(a) | 200,500 | |||||||
400,000 | B | Simmons Foods Inc., Secured Notes, 7.875% due 10/1/21(a) | 425,250 | |||||||
300,000 | BB | TreeHouse Foods Inc., Company Guaranteed Notes, 6.000% due 2/15/24(a) | 318,750 | |||||||
625,000 | B+ | US Foods Inc., Company Guaranteed Notes, 5.875% due 6/15/24(a) | 653,906 | |||||||
|
| |||||||||
Total Food Products | 3,351,964 | |||||||||
|
| |||||||||
Health Care Equipment & Supplies — 0.8% | ||||||||||
160,000 | CCC+ | Alere Inc., Company Guaranteed Notes, 6.375% due 7/1/23(a) | 171,600 | |||||||
60,000 | CCC | DJO Finance LLC/DJO Finance Corp., Secured Notes, 10.750% due 4/15/20 | 52,500 | |||||||
310,000 | CCC | DJO Finco Inc./DJO Finance LLC/DJO Finance Corp., Secured Notes, 8.125% due 6/15/21(a) | 296,143 | |||||||
250,000 | CCC+ | Greatbatch Ltd., Company Guaranteed Notes, 9.125% due 11/1/23(a) | 273,750 | |||||||
70,000 | CCC- | Immucor Inc., Company Guaranteed Notes, 11.125% due 2/15/22(a)(f) | 73,325 | |||||||
290,000 | B- | Kinetic Concepts Inc./KCI USA Inc., Secured Notes, 12.500% due 11/1/21(a) | 324,800 | |||||||
140,000 | BB- | Mallinckrodt International Finance SA/Mallinckrodt CB LLC, Company Guaranteed Notes, 5.750% due 8/1/22(a) | 138,600 | |||||||
|
| |||||||||
Total Health Care Equipment & Supplies | 1,330,718 | |||||||||
|
|
See Notes to Financial Statements.
193
Schedules of Investments |
(continued) |
High Yield Fund | ||||||||||
Face Amount/Units† | Rating†† | Security | Value | |||||||
Health Care Providers & Services — 6.2% | ||||||||||
BioScrip Inc.: | ||||||||||
$ | 590,000 | CC | Company Guaranteed Notes, 8.875% due 2/15/21(f)(h) | $ | 539,850 | |||||
649,000 | CCC+ | First Lien Notes, Senior Secured Notes, 8.875% due 8/15/20(g)(h)(m) | 643,159 | |||||||
Centene Corp., Senior Unsecured Notes: | ||||||||||
500,000 | BB+ | 4.750% due 5/15/22 | 527,250 | |||||||
1,000,000 | BB+ | 6.125% due 2/15/24 | 1,078,750 | |||||||
800,000 | B+ | CHS/Community Health Systems Inc., Senior Secured Notes, 6.250% due 3/31/23 | 809,000 | |||||||
215,000 | CCC+ | Eagle Holding Co. II LLC, Senior Unsecured Notes, 7.625% (7.625 cash or 8.375% PIK) due 5/15/22(a)(b) | 222,794 | |||||||
910,000 | B | Envision Healthcare Corp., Company Guaranteed Notes, 6.250% due 12/1/24(a) | 982,800 | |||||||
940,000 | NR | Escrow Magellan Health, (Restricted, cost — $0, acquired 4/14/2015), 9.750% due 5/15/20(g)(h)(m)(n) | — | |||||||
HCA Inc.: | ||||||||||
Company Guaranteed Notes: | ||||||||||
495,000 | B+ | 7.500% due 2/15/22 | 571,725 | |||||||
685,000 | B+ | 5.375% due 2/1/25 | 724,387 | |||||||
200,000 | B+ | 7.500% due 11/6/33 | 228,000 | |||||||
210,000 | B+ | 7.500% due 11/15/95 | 217,875 | |||||||
Senior Secured Notes: | ||||||||||
330,000 | BBB- | 5.250% due 6/15/26 | 355,987 | |||||||
80,000 | BBB- | 4.500% due 2/15/27 | 81,300 | |||||||
290,000 | BBB- | 5.500% due 6/15/47 | 300,513 | |||||||
1,150,000 | B- | MPH Acquisition Holdings LLC, Company Guaranteed Notes, 7.125% due 6/1/24(a) | 1,236,250 | |||||||
310,000 | CCC+ | Team Health Holdings Inc., Company Guaranteed Notes, 6.375% due 2/1/25(a) | 299,972 | |||||||
Tenet Healthcare Corp., Senior Unsecured Notes: | ||||||||||
875,000 | CCC+ | 8.125% due 4/1/22 | 920,937 | |||||||
150,000 | CCC+ | 6.750% due 6/15/23(f) | 149,190 | |||||||
520,000 | BB | WellCare Health Plans Inc., Senior Unsecured Notes, 5.250% due 4/1/25 | 546,000 | |||||||
190,000 | CCC+ | West Street Merger Sub Inc., Senior Unsecured Notes, 6.375% due 9/1/25(a) | 190,238 | |||||||
|
| |||||||||
Total Health Care Providers & Services | 10,625,977 | |||||||||
|
| |||||||||
Hotels, Restaurants & Leisure — 5.0% | ||||||||||
1011778 BC ULC/New Red Finance Inc.: | ||||||||||
Secured Notes: | ||||||||||
230,000 | B- | 6.000% due 4/1/22(a) | 237,734 | |||||||
345,000 | B- | 5.000% due 10/15/25(a) | 355,781 | |||||||
560,000 | B+ | Senior Secured Notes, 4.250% due 5/15/24(a) | 568,400 | |||||||
141,634 | NR | Bossier Casino Venture Holdco Inc., Senior Secured Notes, 14.000% (0.000% cash or 14.000% PIK) due 2/9/18(a)(b)(g)(h)(m) | 141,634 | |||||||
220,000 | BB+ | Brinker International Inc., Company Guaranteed Notes, 5.000% due 10/1/24(a) | 217,800 | |||||||
410,000 | CCC+ | Caesars Entertainment Resort Properties LLC/Caesars Entertainment Resort Properties Finance Inc., Senior Secured Notes, 8.000% due 10/1/20 | 421,275 | |||||||
Carlson Travel Inc.: | ||||||||||
200,000 | CCC+ | Company Guaranteed Notes, 9.500% due 12/15/24(a) | 196,000 | |||||||
200,000 | B | Senior Secured Notes, 6.750% due 12/15/23(a) | 195,500 | |||||||
240,000 | B | Carrols Restaurant Group Inc., Secured Notes, 8.000% due 5/1/22 | 256,800 | |||||||
205,000 | B- | CCM Merger Inc., Senior Unsecured Notes, 6.000% due 3/15/22(a) | 213,713 | |||||||
120,000 | CCC+ | CEC Entertainment Inc., Company Guaranteed Notes, 8.000% due 2/15/22 | 126,000 | |||||||
Eldorado Resorts Inc., Company Guaranteed Notes: | ||||||||||
305,000 | B- | 7.000% due 8/1/23 | 329,019 | |||||||
75,000 | B- | 6.000% due 4/1/25 | 80,062 | |||||||
330,000 | BB+ | GLP Capital LP/GLP Financing II Inc., Company Guaranteed Notes, 5.375% due 4/15/26 | 358,875 | |||||||
240,000 | BB+ | Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp., Company Guaranteed Notes, 4.875% due 4/1/27 | 255,000 | |||||||
250,000 | B+ | Jack Ohio Finance LLC/Jack Ohio Finance 1 Corp., Senior Secured Notes, 6.750% due 11/15/21(a) | 260,625 |
See Notes to Financial Statements.
194
Schedules of Investments |
(continued) |
High Yield Fund | ||||||||||
Face Amount/Units† | Rating†† | Security | Value | |||||||
Hotels, Restaurants & Leisure — 5.0% — (continued) | ||||||||||
$ | 210,000 | BB | KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC, Company Guaranteed Notes, 4.750% due 6/1/27(a) | $ | 216,038 | |||||
530,000 | CCC+ | Landry’s Inc., Senior Unsecured Notes, 6.750% due 10/15/24(a) | 537,950 | |||||||
MGM Resorts International, Company Guaranteed Notes: | ||||||||||
410,000 | BB- | 7.750% due 3/15/22 | 480,725 | |||||||
410,000 | BB- | 4.625% due 9/1/26 | 419,221 | |||||||
390,000 | BB | NCL Corp., Ltd., Senior Unsecured Notes, 4.750% due 12/15/21(a) | 405,112 | |||||||
Scientific Games International Inc.: | ||||||||||
330,000 | B- | Company Guaranteed Notes, 10.000% due 12/1/22 | 368,362 | |||||||
425,000 | B+ | Senior Secured Notes, 7.000% due 1/1/22(a) | 454,750 | |||||||
245,000 | BB- | Silversea Cruise Finance Ltd., Senior Secured Notes, 7.250% due 2/1/25(a) | 265,213 | |||||||
210,000 | BB+ | Speedway Motorsports Inc., Company Guaranteed Notes, 5.125% due 2/1/23 | 217,350 | |||||||
440,000 | B- | Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp., Senior Secured Notes, 5.875% due 5/15/25(a) | 432,300 | |||||||
Viking Cruises Ltd., Senior Unsecured Notes: | ||||||||||
190,000 | B | 8.500% due 10/15/22(a) | 199,500 | |||||||
370,000 | B | 6.250% due 5/15/25(a) | 379,250 | |||||||
|
| |||||||||
Total Hotels, Restaurants & Leisure | 8,589,989 | |||||||||
|
| |||||||||
Household Durables — 1.4% | ||||||||||
240,000 | BB- | American Greetings Corp., Senior Unsecured Notes, 7.875% due 2/15/25(a) | 261,600 | |||||||
90,000 | BB | CalAtlantic Group Inc., Company Guaranteed Notes, 6.250% due 12/15/21 | 99,506 | |||||||
220,000 | B | Century Communities Inc., Company Guaranteed Notes, 5.875% due 7/15/25(a) | 218,900 | |||||||
Lennar Corp., Company Guaranteed Notes: | ||||||||||
190,000 | BB+ | 4.875% due 12/15/23 | 201,638 | |||||||
220,000 | BB+ | 4.500% due 4/30/24 | 228,250 | |||||||
380,000 | BB | Mattamy Group Corp., Senior Unsecured Notes, 6.875% due 12/15/23(a) | 388,550 | |||||||
400,000 | BB- | Shea Homes LP/Shea Homes Funding Corp., Company Guaranteed Notes, 6.125% due 4/1/25(a) | 414,000 | |||||||
300,000 | BB- | Taylor Morrison Communities Inc./Taylor Morrison Holdings II Inc., Company Guaranteed Notes, 5.875% due 4/15/23(a) | 319,500 | |||||||
William Lyon Homes Inc., Company Guaranteed Notes: | ||||||||||
240,000 | B- | 5.750% due 4/15/19 | 244,200 | |||||||
60,000 | B- | 7.000% due 8/15/22 | 62,400 | |||||||
|
| |||||||||
Total Household Durables | 2,438,544 | |||||||||
|
| |||||||||
Household Products — 0.9% | ||||||||||
630,000 | BB- | Central Garden & Pet Co., Company Guaranteed Notes, 6.125% due 11/15/23 | 674,100 | |||||||
280,000 | B- | Reynolds Group Issuer Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu, Company Guaranteed Notes, 7.000% due 7/15/24(a) | 300,475 | |||||||
590,000 | BB- | Spectrum Brands Inc., Company Guaranteed Notes, 5.750% due 7/15/25 | 630,563 | |||||||
|
| |||||||||
Total Household Products | 1,605,138 | |||||||||
|
| |||||||||
Independent Power and Renewable Electricity Producers — 1.8% | ||||||||||
AES Corp., Senior Unsecured Notes: | ||||||||||
40,000 | BB | 5.500% due 3/15/24 | 41,700 | |||||||
20,000 | BB | 5.500% due 4/15/25 | 20,950 | |||||||
475,000 | BB | 6.000% due 5/15/26 | 509,437 | |||||||
Dynegy Inc., Company Guaranteed Notes: | ||||||||||
35,000 | B+ | 7.625% due 11/1/24(f) | 36,269 | |||||||
85,000 | B+ | 8.000% due 1/15/25(a) | 87,869 | |||||||
138,000 | BB- | NRG Energy Inc., Company Guaranteed Notes, 7.875% due 5/15/21 | 143,175 | |||||||
400,000 | NR | NRG Yield Inc., Company Guaranteed Notes, 3.250% due 6/1/20(a) | 401,250 | |||||||
1,000,000 | BB | NRG Yield Operating LLC, Company Guaranteed Notes, 5.375% due 8/15/24 | 1,050,000 |
See Notes to Financial Statements.
195
Schedules of Investments |
(continued) |
High Yield Fund | ||||||||||
Face Amount/Units† | Rating†† | Security | Value | |||||||
Independent Power and Renewable Electricity Producers — 1.8% — (continued) | ||||||||||
Pattern Energy Group Inc., Company Guaranteed Notes: | ||||||||||
$ | 580,000 | NR | 4.000% due 7/15/20 | $ | 611,175 | |||||
150,000 | BB- | 5.875% due 2/1/24(a) | 157,875 | |||||||
|
| |||||||||
Total Independent Power and Renewable Electricity Producers | 3,059,700 | |||||||||
|
| |||||||||
Industrial Conglomerates — 0.7% | ||||||||||
200,000 | B+ | American Builders & Contractors Supply Co., Inc., Senior Unsecured Notes, 5.750% due 12/15/23(a) | 210,750 | |||||||
175,000 | CCC+ | American Tire Distributors Inc., Senior Subordinated Notes, 10.250% due 3/1/22(a) | 181,562 | |||||||
625,000 | B+ | HD Supply Inc., Company Guaranteed Notes, 5.750% due 4/15/24(a) | 671,875 | |||||||
125,000 | BB+ | Icahn Enterprises LP/Icahn Enterprises Finance Corp., Company Guaranteed Notes, 6.250% due 2/1/22 | 129,219 | |||||||
|
| |||||||||
Total Industrial Conglomerates | 1,193,406 | |||||||||
|
| |||||||||
Insurance — 1.3% | ||||||||||
500,000 | CCC+ | Alliant Holdings Intermediate LLC, Senior Unsecured Notes, 8.250% due 8/1/23(a) | 526,250 | |||||||
540,000 | B3(c) | Ardonagh Midco 3 PLC, Senior Secured Notes, 8.625% due 7/15/23(a) | 543,779 | |||||||
100,000 | CCC+ | AssuredPartners Inc., Senior Unsecured Notes, 7.000% due 8/15/25(a) | 100,990 | |||||||
410,000 | BB+ | CNO Financial Group Inc., Senior Unsecured Notes, 5.250% due 5/30/25 | 437,675 | |||||||
210,000 | BB- | Fidelity & Guaranty Life Holdings Inc., Senior Unsecured Notes, 6.375% due 4/1/21(a) | 216,825 | |||||||
Genworth Holdings Inc., Company Guaranteed Notes: | ||||||||||
150,000 | B | 7.700% due 6/15/20 | 150,750 | |||||||
250,000 | B | 4.900% due 8/15/23 | 213,750 | |||||||
|
| |||||||||
Total Insurance | 2,190,019 | |||||||||
|
| |||||||||
Internet & Direct Marketing Retail — 0.5% | ||||||||||
Netflix Inc., Senior Unsecured Notes: | ||||||||||
90,000 | B+ | 5.750% due 3/1/24 | 96,638 | |||||||
700,000 | B+ | 5.875% due 2/15/25 | 759,500 | |||||||
|
| |||||||||
Total Internet & Direct Marketing Retail | 856,138 | |||||||||
|
| |||||||||
Internet Software & Services — 1.8% | ||||||||||
180,000 | NR | Akamai Technologies Inc., Senior Unsecured Notes, zero coupon, due 2/15/19 | 175,051 | |||||||
410,000 | B+ | Cogent Communications Group Inc., Senior Secured Notes, 5.375% due 3/1/22(a) | 430,500 | |||||||
355,000 | CCC+ | EIG Investors Corp., Company Guaranteed Notes, 10.875% due 2/1/24 | 397,600 | |||||||
Equinix Inc., Senior Unsecured Notes: | ||||||||||
400,000 | BB+ | 5.875% due 1/15/26 | 440,000 | |||||||
160,000 | BB+ | 5.375% due 5/15/27 | 172,600 | |||||||
455,000 | BB | j2 Cloud Services LLC/j2 Global Co-Obligor Inc., Company Guaranteed Notes, 6.000% due 7/15/25(a) | 471,494 | |||||||
240,000 | BB- | Match Group Inc., Senior Unsecured Notes, 6.375% due 6/1/24 | 261,600 | |||||||
Zayo Group LLC/Zayo Capital Inc., Company Guaranteed Notes: | ||||||||||
600,000 | B | 6.375% due 5/15/25 | 647,064 | |||||||
95,000 | B | 5.750% due 1/15/27(a) | 101,054 | |||||||
|
| |||||||||
Total Internet Software & Services | 3,096,963 | |||||||||
|
| |||||||||
IT Services — 0.7% | ||||||||||
Alliance Data Systems Corp., Company Guaranteed Notes: | ||||||||||
325,000 | NR | 6.375% due 4/1/20(a) | 329,875 | |||||||
200,000 | NR | 5.375% due 8/1/22(a) | 205,500 | |||||||
455,000 | B+ | Booz Allen Hamilton Inc., Company Guaranteed Notes, 5.125% due 5/1/25(a) | 456,547 | |||||||
210,000 | BB- | Gartner Inc., Company Guaranteed Notes, 5.125% due 4/1/25(a) | 221,812 | |||||||
|
| |||||||||
Total IT Services | 1,213,734 | |||||||||
|
| |||||||||
Leisure Products — 0.2% | ||||||||||
250,000 | BBB- | Brunswick Corp., Senior Unsecured Notes, 4.625% due 5/15/21(a) | 255,872 | |||||||
|
|
See Notes to Financial Statements.
196
Schedules of Investments |
(continued) |
High Yield Fund | ||||||||||
Face Amount/Units† | Rating†† | Security | Value | |||||||
Machinery — 0.9% | ||||||||||
$ | 460,000 | B | BlueLine Rental Finance Corp./BlueLine Rental LLC, Secured Notes, 9.250% due 3/15/24(a) | $ | 503,424 | |||||
55,000 | B | Cloud Crane LLC, Secured Notes, 10.125% due 8/1/24(a) | 61,737 | |||||||
405,000 | CCC+ | Navistar International Corp., Company Guaranteed Notes, 8.250% due 11/1/21 | 409,050 | |||||||
290,000 | BB | Tennant Co., Company Guaranteed Notes, 5.625% due 5/1/25(a) | 304,138 | |||||||
250,000 | BB | Terex Corp., Company Guaranteed Notes, 5.625% due 2/1/25(a) | 262,187 | |||||||
|
| |||||||||
Total Machinery | 1,540,536 | |||||||||
|
| |||||||||
Media — 8.8% | ||||||||||
370,000 | BB- | Altice Financing SA, Senior Secured Notes, 7.500% due 5/15/26(a) | 406,149 | |||||||
Altice Luxembourg SA, Company Guaranteed Notes: | ||||||||||
300,000 | B | 7.750% due 5/15/22(a) | 318,750 | |||||||
705,000 | B | 7.625% due 2/15/25(a) | 765,595 | |||||||
AMC Entertainment Holdings Inc., Company Guaranteed Notes: | ||||||||||
642,000 | B+ | 5.750% due 6/15/25 | 613,110 | |||||||
250,000 | B+ | 6.125% due 5/15/27(f) | 235,313 | |||||||
140,000 | BB | AMC Networks Inc., Company Guaranteed Notes, 4.750% due 8/1/25 | 140,875 | |||||||
200,000 | BB | Carmike Cinemas Inc., Secured Notes, 6.000% due 6/15/23(a) | 211,500 | |||||||
60,000 | B- | CBS Radio Inc., Company Guaranteed Notes, 7.250% due 11/1/24(a) | 63,450 | |||||||
CCO Holdings LLC/CCO Holdings Capital Corp., Senior Unsecured Notes: | ||||||||||
455,000 | BB+ | 5.875% due 4/1/24(a) | 484,575 | |||||||
395,000 | BB+ | 5.375% due 5/1/25(a) | 412,775 | |||||||
360,000 | BB+ | 5.750% due 2/15/26(a) | 381,488 | |||||||
Charter Communications Operating LLC/Charter Communications Operating Capital, Senior Secured Notes: | ||||||||||
500,000 | BBB- | 4.908% due 7/23/25 | 536,491 | |||||||
220,000 | BBB- | 6.484% due 10/23/45 | 253,615 | |||||||
300,000 | B- | Clear Channel Worldwide Holdings Inc., Company Guaranteed Notes, 7.625% due 3/15/20 | 300,000 | |||||||
CSC Holdings LLC: | ||||||||||
485,000 | BB | Company Guaranteed Notes, 6.625% due 10/15/25(a) | 532,287 | |||||||
Senior Unsecured Notes: | ||||||||||
440,000 | B | 6.750% due 11/15/21 | 487,432 | |||||||
425,000 | B | 10.125% due 1/15/23(a) | 493,404 | |||||||
696,000 | B | 10.875% due 10/15/25(a) | 857,820 | |||||||
DISH DBS Corp., Company Guaranteed Notes: | ||||||||||
330,000 | B+ | 6.750% due 6/1/21 | 365,062 | |||||||
370,000 | B+ | 5.875% due 7/15/22 | 400,988 | |||||||
240,000 | B+ | 5.875% due 11/15/24 | 259,800 | |||||||
620,000 | B+ | 7.750% due 7/1/26 | 729,275 | |||||||
210,000 | BB- | EW Scripps Co. (The), Company Guaranteed Notes, 5.125% due 5/15/25(a) | 213,150 | |||||||
240,000 | CCC | Gibson Brands Inc., Senior Secured Notes, 8.875% due 8/1/18(a) | 186,600 | |||||||
281,374 | C | iHeartCommunications Inc., Company Guaranteed Notes, 14.000% (12.000% cash or 2.000% PIK) due 2/1/21(b) | 56,802 | |||||||
1,094 | CC | LBI Media Inc., Secured Notes, 13.500% (4.250% cash or 9.250% PIK) due 4/15/20(a)(b) | 542 | |||||||
190,000 | B- | Lions Gate Entertainment Corp., Company Guaranteed Notes, 5.875% due 11/1/24(a) | 199,500 | |||||||
270,000 | B | MDC Partners Inc., Company Guaranteed Notes, 6.500% due 5/1/24(a) | 270,338 | |||||||
SFR Group SA, Senior Secured Notes: | ||||||||||
550,000 | B+ | 6.000% due 5/15/22(a) | 580,239 | |||||||
855,000 | B+ | 6.250% due 5/15/24(a) | 903,094 | |||||||
400,000 | B+ | 7.375% due 5/1/26(a) | 433,508 | |||||||
875,000 | BB | Sirius XM Radio Inc., Company Guaranteed Notes, 6.000% due 7/15/24(a) | 947,432 | |||||||
170,000 | BBB- | Time Warner Cable LLC, Senior Secured Notes, 7.300% due 7/1/38 | 210,261 | |||||||
650,000 | B | Unitymedia GmbH, Secured Notes, 6.125% due 1/15/25(a) | 698,717 | |||||||
220,000 | BB- | Univision Communications Inc., Senior Secured Notes, 5.125% due 2/15/25(a) | 221,650 | |||||||
530,000 | B | Ziggo Bonds Finance BV, Senior Unsecured Notes, 6.000% due 1/15/27(a) | 545,238 | |||||||
540,000 | BB- | Ziggo Secured Finance BV, Senior Secured Notes, 5.500% due 1/15/27(a) | 558,225 | |||||||
|
| |||||||||
Total Media | 15,275,050 | |||||||||
|
|
See Notes to Financial Statements.
197
Schedules of Investments |
(continued) |
High Yield Fund | ||||||||||
Face Amount/Units† | Rating†† | Security | Value | |||||||
Metals & Mining — 3.5% | ||||||||||
$ | 290,000 | BB- | Alcoa Nederland Holding BV, Company Guaranteed Notes, 7.000% due 9/30/26(a) | $ | 325,525 | |||||
Allegheny Technologies Inc., Senior Unsecured Notes: | ||||||||||
70,000 | B | 5.950% due 1/15/21 | 71,575 | |||||||
170,000 | B | 7.875% due 8/15/23 | 182,962 | |||||||
200,000 | BBB- | Anglo American Capital PLC, Company Guaranteed Notes, 4.750% due 4/10/27(a) | 211,000 | |||||||
195,000 | B | Big River Steel LLC/BRS Finance Corp., Senior Secured Notes, 7.250% due 9/1/25(a) | 204,750 | |||||||
150,000 | BB- | Coeur Mining Inc., Company Guaranteed Notes, 5.875% due 6/1/24(a) | 150,563 | |||||||
300,000 | B+ | Eldorado Gold Corp., Company Guaranteed Notes, 6.125% due 12/15/20(a) | 306,750 | |||||||
435,000 | (P)B3(c) | Ferroglobe PLC/Globe Specialty Metals Inc., Company Guaranteed Notes, 9.375% due 3/1/22(a) | 468,169 | |||||||
First Quantum Minerals Ltd., Company Guaranteed Notes: | ||||||||||
100,000 | B- | 7.000% due 2/15/21(a) | 103,438 | |||||||
420,000 | B- | 7.250% due 4/1/23(a) | 432,600 | |||||||
640,000 | B- | 7.500% due 4/1/25(a) | 657,600 | |||||||
Freeport-McMoRan Inc., Company Guaranteed Notes: | ||||||||||
150,000 | BB- | 6.625% due 5/1/21 | 153,975 | |||||||
110,000 | BB- | 6.750% due 2/1/22 | 115,775 | |||||||
200,000 | BB- | 6.875% due 2/15/23 | 217,750 | |||||||
80,000 | BB- | 5.450% due 3/15/43 | 74,800 | |||||||
640,000 | B | HudBay Minerals Inc., Company Guaranteed Notes, 7.625% due 1/15/25(a) | 708,800 | |||||||
177,135 | WR(c) | Midwest Vanadium Pty Ltd., Senior Secured Notes, 11.500% due 2/15/18(a)(h)(i) | 3,321 | |||||||
1,162 | NR | Mirabela Nickel Ltd., Subordinated Notes, 1.000% due 9/10/44(a)(g)(h)(m) | — | |||||||
New Gold Inc.: | ||||||||||
400,000 | B | Company Guaranteed Notes, 6.250% due 11/15/22(a) | 416,000 | |||||||
110,000 | B | Senior Unsecured Notes, 6.375% due 5/15/25(a) | 114,125 | |||||||
300,000 | B | Novelis Corp., Company Guaranteed Notes, 5.875% due 9/30/26(a) | 313,500 | |||||||
200,000 | B | Park-Ohio Industries Inc., Company Guaranteed Notes, 6.625% due 4/15/27 | 213,125 | |||||||
220,000 | BB- | SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp., Company Guaranteed Notes, 7.500% due 6/15/25(a) | 225,500 | |||||||
350,000 | BB | Teck Resources Ltd., Company Guaranteed Notes, 6.250% due 7/15/41 | 386,750 | |||||||
|
| |||||||||
Total Metals & Mining | 6,058,353 | |||||||||
|
| |||||||||
Multiline Retail — 0.1% | ||||||||||
200,000 | BB+ | Dollar Tree Inc., Company Guaranteed Notes, 5.750% due 3/1/23 | 212,000 | |||||||
|
| |||||||||
Oil, Gas & Consumable Fuels — 12.7% | ||||||||||
AmeriGas Partners LP/AmeriGas Finance Corp., Senior Unsecured Notes: | ||||||||||
650,000 | Ba3(c) | 5.625% due 5/20/24 | 677,625 | |||||||
130,000 | Ba3(c) | 5.500% due 5/20/25 | 132,275 | |||||||
155,000 | Ba3(c) | 5.750% due 5/20/27 | 157,325 | |||||||
140,000 | BB+ | Andeavor Logistics LP/Tesoro Logistics Finance Corp., Company Guaranteed Notes, 6.375% due 5/1/24 | 152,950 | |||||||
650,000 | BB | Antero Midstream Partners LP/Antero Midstream Finance Corp., Company Guaranteed Notes, 5.375% due 9/15/24 | 666,250 | |||||||
Antero Resources Corp., Company Guaranteed Notes: | ||||||||||
635,000 | BB | 5.125% due 12/1/22 | 639,763 | |||||||
650,000 | BB | 5.625% due 6/1/23 | 664,625 | |||||||
Berry Petroleum Co. LLC, Senior Unsecured Notes: | ||||||||||
310,000 | WR(c) | 6.750% due 11/1/20(g)(h)(m) | — | |||||||
790,000 | WR(c) | 6.375% due 9/15/22(g)(h)(m) | — | |||||||
510,000 | B | Blue Racer Midstream LLC/Blue Racer Finance Corp., Company Guaranteed Notes, 6.125% due 11/15/22(a) | 526,575 | |||||||
200,000 | B+ | Calumet Specialty Products Partners LP/Calumet Finance Corp., Senior Secured Notes, 11.500% due 1/15/21(a) | 233,000 | |||||||
170,000 | B+ | Carrizo Oil & Gas Inc., Company Guaranteed Notes, 8.250% due 7/15/25 | 176,800 |
See Notes to Financial Statements.
198
Schedules of Investments |
(continued) |
High Yield Fund | ||||||||||
Face Amount/Units† | Rating†† | Security | Value | |||||||
Oil, Gas & Consumable Fuels — 12.7% — (continued) | ||||||||||
Cheniere Corpus Christi Holdings LLC, Senior Secured Notes: | ||||||||||
$ | 350,000 | BB- | 7.000% due 6/30/24 | $ | 399,875 | |||||
330,000 | (P)BB- | 5.875% due 3/31/25 | 355,987 | |||||||
455,000 | BB- | 5.125% due 6/30/27(a) | 472,063 | |||||||
Chesapeake Energy Corp., Company Guaranteed Notes: | ||||||||||
10,000 | CCC | 5.375% due 6/15/21 | 9,200 | |||||||
300,000 | CCC | 5.750% due 3/15/23 | 266,625 | |||||||
200,000 | CCC | 8.000% due 1/15/25(a) | 193,500 | |||||||
190,000 | CCC | 5.500% due 9/15/26(a) | 159,481 | |||||||
Continental Resources Inc., Company Guaranteed Notes: | ||||||||||
320,000 | BB+ | 5.000% due 9/15/22 | 322,800 | |||||||
60,000 | BB+ | 4.500% due 4/15/23 | 59,250 | |||||||
150,000 | BB+ | 4.900% due 6/1/44 | 127,590 | |||||||
370,000 | B | Covey Park Energy LLC/Covey Park Finance Corp., Company Guaranteed Notes, 7.500% due 5/15/25(a) | 372,313 | |||||||
130,000 | BB- | Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., Company Guaranteed Notes, 6.250% due 4/1/23 | 134,875 | |||||||
810,000 | B+ | CrownRock LP/CrownRock Finance Inc., Senior Unsecured Notes, 7.750% due 2/15/23(a) | 862,650 | |||||||
265,000 | BB- | CVR Refining LLC/Coffeyville Finance Inc., Company Guaranteed Notes, 6.500% due 11/1/22 | 269,637 | |||||||
200,000 | BB | DCP Midstream Operating LP, Company Guaranteed Notes, 6.750% due 9/15/37(a) | 213,000 | |||||||
75,000 | B | Denbury Resources Inc., Secured Notes, 9.000% due 5/15/21(a) | 67,500 | |||||||
210,000 | BB- | Diamondback Energy Inc., Company Guaranteed Notes, 5.375% due 5/31/25 | 216,825 | |||||||
Endeavor Energy Resources LP/EER Finance Inc., Senior Unsecured Notes: | ||||||||||
330,000 | B+ | 7.000% due 8/15/21(a) | 341,962 | |||||||
650,000 | B+ | 8.125% due 9/15/23(a) | 695,500 | |||||||
EP Energy LLC/Everest Acquisition Finance Inc.: | ||||||||||
Company Guaranteed Notes: | ||||||||||
200,000 | CCC- | 7.750% due 9/1/22 | 123,000 | |||||||
160,000 | CCC- | 6.375% due 6/15/23 | 92,000 | |||||||
200,000 | CCC- | Secured Notes, 8.000% due 2/15/25(a) | 133,000 | |||||||
210,000 | B | Extraction Oil & Gas Inc., Company Guaranteed Notes, 7.375% due 5/15/24(a) | 212,100 | |||||||
300,000 | B | Extraction Oil & Gas Inc./Extraction Finance Corp., Company Guaranteed Notes, 7.875% due 7/15/21(a) | 311,250 | |||||||
Genesis Energy LP/Genesis Energy Finance Corp., Company Guaranteed Notes: | ||||||||||
200,000 | BB- | 6.000% due 5/15/23 | 197,000 | |||||||
80,000 | BB- | 5.625% due 6/15/24 | 75,600 | |||||||
270,000 | CCC+ | Great Western Petroleum LLC/Great Western Finance Corp., Senior Unsecured Notes, 9.000% due 9/30/21(a) | 270,000 | |||||||
Gulfport Energy Corp., Company Guaranteed Notes: | ||||||||||
225,000 | B+ | 6.625% due 5/1/23 | 225,000 | |||||||
515,000 | B+ | 6.000% due 10/15/24(a) | 507,275 | |||||||
220,000 | B+ | 6.375% due 5/15/25(a) | 217,250 | |||||||
210,000 | B- | Halcon Resources Corp., Company Guaranteed Notes, 6.750% due 2/15/25(a) | 212,100 | |||||||
MEG Energy Corp., Company Guaranteed Notes: | ||||||||||
60,000 | BB- | 6.375% due 1/30/23(a) | 48,225 | |||||||
260,000 | BB- | 7.000% due 3/31/24(a) | 208,000 | |||||||
300,000 | BB+ | Murphy Oil USA Inc., Company Guaranteed Notes, 5.625% due 5/1/27 | 322,500 | |||||||
430,000 | CCC | Murray Energy Corp., Secured Notes, 11.250% due 4/15/21(a) | 251,550 | |||||||
60,000 | BB+ | Newfield Exploration Co., Senior Unsecured Notes, 5.375% due 1/1/26 | 63,000 | |||||||
NGL Energy Partners LP/NGL Energy Finance Corp., Company Guaranteed Notes: | ||||||||||
200,000 | B+ | 6.875% due 10/15/21 | 196,000 | |||||||
330,000 | B+ | 7.500% due 11/1/23 | 319,275 | |||||||
NGPL PipeCo LLC, Senior Unsecured Notes: | ||||||||||
155,000 | BB+ | 4.375% due 8/15/22(a) | 159,650 | |||||||
215,000 | BB+ | 4.875% due 8/15/27(a) | 221,987 | |||||||
200,000 | BB+ | 7.768% due 12/15/37(a) | 249,500 |
See Notes to Financial Statements.
199
Schedules of Investments |
(continued) |
High Yield Fund | ||||||||||
Face Amount/Units† | Rating†† | Security | Value | |||||||
Oil, Gas & Consumable Fuels — 12.7% — (continued) | ||||||||||
Oasis Petroleum Inc., Company Guaranteed Notes: | ||||||||||
$ | 270,000 | B+ | 6.875% due 3/15/22(f) | $ | 263,925 | |||||
145,000 | B+ | 6.875% due 1/15/23(f) | 139,490 | |||||||
50,000 | B+ | 2.625% due 9/15/23 | 46,437 | |||||||
Parsley Energy LLC/Parsley Finance Corp., Company Guaranteed Notes: | ||||||||||
120,000 | B+ | 6.250% due 6/1/24(a) | 125,700 | |||||||
200,000 | B+ | 5.375% due 1/15/25(a) | 202,000 | |||||||
105,000 | B+ | 5.250% due 8/15/25(a) | 105,525 | |||||||
PBF Holding Co. LLC/PBF Finance Corp., Company Guaranteed Notes: | ||||||||||
300,000 | BB | 7.000% due 11/15/23 | 302,250 | |||||||
115,000 | BB | 7.250% due 6/15/25(a) | 114,138 | |||||||
70,000 | BB- | PDC Energy Inc., Company Guaranteed Notes, 7.750% due 10/15/22 | 72,887 | |||||||
915,000 | WR(c) | Peabody Energy Corp., Senior Secured Notes, 10.000% due 3/15/22(g)(m) | — | |||||||
Petrobras Global Finance BV, Company Guaranteed Notes: | ||||||||||
100,000 | BB- | 4.375% due 5/20/23 | 98,150 | |||||||
190,000 | BB- | 7.375% due 1/17/27 | 210,376 | |||||||
90,000 | BB | Pride International LLC, Company Guaranteed Notes, 7.875% due 8/15/40 | 71,100 | |||||||
200,000 | BB+ | QEP Resources Inc., Senior Unsecured Notes, 5.250% due 5/1/23 | 191,000 | |||||||
420,000 | B- | Resolute Energy Corp., Company Guaranteed Notes, 8.500% due 5/1/20 | 421,050 | |||||||
200,000 | BB- | Rice Energy Inc., Company Guaranteed Notes, 6.250% due 5/1/22 | 208,250 | |||||||
Rockies Express Pipeline LLC, Senior Unsecured Notes: | ||||||||||
300,000 | BB+ | 7.500% due 7/15/38(a) | 338,625 | |||||||
220,000 | BB+ | 6.875% due 4/15/40(a) | 241,450 | |||||||
280,000 | B+ | RSP Permian Inc., Company Guaranteed Notes, 5.250% due 1/15/25(a) | 282,100 | |||||||
Sanchez Energy Corp., Company Guaranteed Notes: | ||||||||||
260,000 | B- | 7.750% due 6/15/21(f) | 226,200 | |||||||
260,000 | B- | 6.125% due 1/15/23(f) | 199,550 | |||||||
50,000 | B+ | SemGroup Corp., Company Guaranteed Notes, 6.375% due 3/15/25(a) | 49,500 | |||||||
Seven Generations Energy Ltd., Company Guaranteed Notes: | ||||||||||
300,000 | B+ | 6.750% due 5/1/23(a) | 313,875 | |||||||
760,000 | B+ | 6.875% due 6/30/23(a) | 794,200 | |||||||
252,130 | B- | Shelf Drilling Holdings Ltd., Secured Notes, 9.500% due 11/2/20(a) | 245,827 | |||||||
80,000 | B+ | Summit Midstream Holdings LLC/Summit Midstream Finance Corp., Company Guaranteed Notes, 5.500% due 8/15/22 | 80,600 | |||||||
470,000 | B | Teine Energy Ltd., Senior Unsecured Notes, 6.875% due 9/30/22(a) | 472,350 | |||||||
200,000 | B+ | Transocean Inc., Company Guaranteed Notes, 6.800% due 3/15/38(f) | 154,000 | |||||||
410,000 | BB- | Whiting Petroleum Corp., Company Guaranteed Notes, 1.250% due 4/1/20 | 350,038 | |||||||
225,000 | B | WildHorse Resource Development Corp., Company Guaranteed Notes, 6.875% due 2/1/25(a) | 221,625 | |||||||
Williams Cos., Inc. (The), Senior Unsecured Notes: | ||||||||||
150,000 | BB+ | 7.500% due 1/15/31 | 180,750 | |||||||
130,000 | BB+ | 8.750% due 3/15/32 | 167,050 | |||||||
WPX Energy Inc., Senior Unsecured Notes: | ||||||||||
250,000 | B+ | 8.250% due 8/1/23 | 275,625 | |||||||
90,000 | B+ | 5.250% due 9/15/24 | 88,650 | |||||||
400,000 | B3(c) | YPF SA, Senior Unsecured Notes, 8.500% due 3/23/21(a) | 455,400 | |||||||
|
| |||||||||
Total Oil, Gas & Consumable Fuels | 21,892,776 | |||||||||
|
| |||||||||
Paper & Forest Products — 0.2% | ||||||||||
250,000 | BB- | Mercer International Inc., Senior Unsecured Notes, 6.500% due 2/1/24(a) | 261,250 | |||||||
|
| |||||||||
Pharmaceuticals — 3.0% | ||||||||||
636,000 | B | inVentiv Group Holdings Inc./inVentiv Health Inc./inVentiv Health Clinical Inc., Company Guaranteed Notes, 7.500% due 10/1/24(a) | 705,960 | |||||||
70,000 | NR | Jazz Investments I Ltd., Company Guaranteed Notes, 1.500% due 8/15/24(a) | 69,387 | |||||||
440,000 | B- | Nature’s Bounty Co. (The), Senior Unsecured Notes, 7.625% due 5/15/21(a) | 470,800 | |||||||
271,000 | BB- | PRA Holdings Inc., Senior Unsecured Notes, 9.500% due 10/1/23(a) | 296,745 |
See Notes to Financial Statements.
200
Schedules of Investments |
(continued) |
High Yield Fund | ||||||||||
Face Amount/Units† | Rating†† | Security | Value | |||||||
Pharmaceuticals — 3.0% — (continued) | ||||||||||
Valeant Pharmaceuticals International Inc.: | ||||||||||
Company Guaranteed Notes: | ||||||||||
$ | 10,000 | B- | 5.375% due 3/15/20(a) | $ | 9,913 | |||||
240,000 | B- | 7.000% due 10/1/20(a) | 240,600 | |||||||
1,355,000 | B- | 6.375% due 10/15/20(a) | 1,348,631 | |||||||
30,000 | B- | 7.500% due 7/15/21(a) | 29,550 | |||||||
40,000 | B- | 7.250% due 7/15/22(a) | 38,200 | |||||||
450,000 | B- | 5.500% due 3/1/23(a) | 380,250 | |||||||
80,000 | B- | 5.875% due 5/15/23(a) | 68,600 | |||||||
Senior Secured Notes: | ||||||||||
305,000 | BB- | 6.500% due 3/15/22(a) | 320,631 | |||||||
625,000 | BB- | 7.000% due 3/15/24(a) | 664,844 | |||||||
470,000 | B- | Vizient Inc., Senior Unsecured Notes, 10.375% due 3/1/24(a) | 541,675 | |||||||
|
| |||||||||
Total Pharmaceuticals | 5,185,786 | |||||||||
|
| |||||||||
Real Estate Investment Trusts (REITs) — 1.3% | ||||||||||
400,000 | BB | CoreCivic Inc., Company Guaranteed Notes, 5.000% due 10/15/22 | 416,000 | |||||||
420,000 | BB- | CTR Partnership LP/CareTrust Capital Corp., Company Guaranteed Notes, 5.250% due 6/1/25 | 434,700 | |||||||
210,000 | BB- | ESH Hospitality Inc., Company Guaranteed Notes, 5.250% due 5/1/25(a) | 216,825 | |||||||
260,000 | B+ | GEO Group Inc. (The), Company Guaranteed Notes, 5.125% due 4/1/23 | 262,275 | |||||||
MGP Escrow Issuer LLC, Company Guaranteed Notes: | ||||||||||
500,000 | BB- | 5.625% due 5/1/24 | 546,250 | |||||||
210,000 | BB- | 4.500% due 9/1/26 | 214,725 | |||||||
10,000 | B+ | SBA Communications Corp., Senior Unsecured Notes, 4.875% due 9/1/24 | 10,350 | |||||||
Uniti Group LP/Uniti Group Finance Inc./CSL Capital LLC: | ||||||||||
130,000 | B- | Company Guaranteed Notes, 8.250% due 10/15/23 | 127,673 | |||||||
40,000 | BB- | Senior Secured Notes, 6.000% due 4/15/23(a) | 40,200 | |||||||
|
| |||||||||
Total Real Estate Investment Trusts (REITs) | 2,268,998 | |||||||||
|
| |||||||||
Real Estate Management & Development — 0.3% | ||||||||||
400,000 | BB- | Greystar Real Estate Partners LLC, Senior Secured Notes, 8.250% due 12/1/22(a) | 431,000 | |||||||
|
| |||||||||
Semiconductors & Semiconductor Equipment — 1.0% | ||||||||||
Microchip Technology Inc.: | ||||||||||
90,000 | B+u | Junior Subordinated Notes, 2.250% due 2/15/37(a) | 106,763 | |||||||
290,000 | B+u | Senior Subordinated Notes, 1.625% due 2/15/27(a) | 346,550 | |||||||
365,000 | BB | Micron Technology Inc., Senior Unsecured Notes, 5.250% due 8/1/23(a) | 381,881 | |||||||
160,000 | BB- | ON Semiconductor Corp., Company Guaranteed Notes, 1.625% due 10/15/23(a) | 178,900 | |||||||
400,000 | BB | Sensata Technologies UK Financing Co. PLC, Company Guaranteed Notes, 6.250% due 2/15/26(a) | 439,000 | |||||||
325,000 | BB | Versum Materials Inc., Company Guaranteed Notes, 5.500% due 9/30/24(a) | 342,875 | |||||||
|
| |||||||||
Total Semiconductors & Semiconductor Equipment | 1,795,969 | |||||||||
|
| |||||||||
Software — 2.2% | ||||||||||
500,000 | B- | Camelot Finance SA, Senior Unsecured Notes, 7.875% due 10/15/24(a) | 543,750 | |||||||
180,000 | BB+ | CDK Global Inc., Senior Unsecured Notes, 4.875% due 6/1/27(a) | 183,150 | |||||||
First Data Corp.: | ||||||||||
500,000 | B | Company Guaranteed Notes, 7.000% due 12/1/23(a) | 540,000 | |||||||
480,000 | B | Secured Notes, 5.750% due 1/15/24(a) | 507,000 | |||||||
490,000 | CCC | Infor Software Parent LLC/Infor Software Parent Inc., Company Guaranteed Notes, 7.125% (7.125% cash or 7.875% PIK) due 5/1/21(a)(b) | 502,250 | |||||||
500,000 | CCC+ | Solera LLC/Solera Finance Inc., Senior Unsecured Notes, 10.500% due 3/1/24(a) | 571,875 | |||||||
500,000 | B+ | SS&C Technologies Holdings Inc., Company Guaranteed Notes, 5.875% due 7/15/23 | 527,500 | |||||||
155,000 | BB+ | Symantec Corp., Senior Unsecured Notes, 5.000% due 4/15/25(a) | 162,704 | |||||||
315,000 | B+ | Veritas US Inc./Veritas Bermuda Ltd., Senior Secured Notes, 7.500% due 2/1/23(a) | 335,475 | |||||||
|
| |||||||||
Total Software | 3,873,704 | |||||||||
|
|
See Notes to Financial Statements.
201
Schedules of Investments |
(continued) |
High Yield Fund | ||||||||||
Face Amount/Units† | Rating†† | Security | Value | |||||||
Specialty Retail — 1.2% | ||||||||||
$ | 250,000 | BB | GameStop Corp., Company Guaranteed Notes, 6.750% due 3/15/21(a) | $ | 260,312 | |||||
Guitar Center Inc.: | ||||||||||
325,000 | CCC- | Company Guaranteed Notes, 9.625% due 4/15/20(a) | 184,437 | |||||||
70,000 | CCC+ | Senior Secured Notes, 6.500% due 4/15/19(a) | 61,600 | |||||||
245,000 | B | Hot Topic Inc., Senior Secured Notes, 9.250% due 6/15/21(a) | 222,644 | |||||||
120,000 | BB | Lithia Motors Inc., Company Guaranteed Notes, 5.250% due 8/1/25(a) | 123,000 | |||||||
PetSmart Inc.: | ||||||||||
300,000 | B- | Company Guaranteed Notes, 8.875% due 6/1/25(a) | 250,500 | |||||||
330,000 | B+ | Senior Secured Notes, 5.875% due 6/1/25(a) | 296,175 | |||||||
315,000 | BB+ | Reliance Intermediate Holdings LP, Senior Secured Notes, 6.500% due 4/1/23(a) | 335,475 | |||||||
210,000 | BB+ | Sally Holdings LLC/Sally Capital Inc., Company Guaranteed Notes, 5.625% due 12/1/25 | 215,515 | |||||||
170,000 | BB- | Suburban Propane Partners LP/Suburban Energy Finance Corp., Senior Unsecured Notes, 5.875% due 3/1/27 | 168,300 | |||||||
|
| |||||||||
Total Specialty Retail | 2,117,958 | |||||||||
|
| |||||||||
Technology Hardware, Storage & Peripherals — 1.7% | ||||||||||
Dell International LLC/EMC Corp.: | ||||||||||
765,000 | BB | Company Guaranteed Notes, 7.125% due 6/15/24(a) | 847,790 | |||||||
200,000 | BBB- | Senior Secured Notes, 6.020% due 6/15/26(a) | 223,810 | |||||||
625,000 | CCC+ | Riverbed Technology Inc., Company Guaranteed Notes, 8.875% due 3/1/23(a) | 613,281 | |||||||
1,000,000 | BB+ | Western Digital Corp., Company Guaranteed Notes, 10.500% due 4/1/24 | 1,190,000 | |||||||
|
| |||||||||
Total Technology Hardware, Storage & Peripherals | 2,874,881 | |||||||||
|
| |||||||||
Textiles, Apparel & Luxury Goods — 0.4% | ||||||||||
240,000 | BB | Hanesbrands Inc., Company Guaranteed Notes, 4.875% due 5/15/26(a) | 250,800 | |||||||
250,000 | BB+ | Levi Strauss & Co., Senior Unsecured Notes, 5.000% due 5/1/25 | 262,500 | |||||||
210,000 | BB+ | William Carter Co. (The), Company Guaranteed Notes, 5.250% due 8/15/21 | 215,775 | |||||||
|
| |||||||||
Total Textiles, Apparel & Luxury Goods | 729,075 | |||||||||
|
| |||||||||
Tobacco — 0.2% | ||||||||||
Alliance One International Inc.: | ||||||||||
175,000 | CCC | Secured Notes, 9.875% due 7/15/21 | 152,469 | |||||||
200,000 | B- | Senior Secured Notes, 8.500% due 4/15/21(a) | 209,000 | |||||||
|
| |||||||||
Total Tobacco | 361,469 | |||||||||
|
| |||||||||
Trading Companies & Distributors — 0.2% | ||||||||||
190,000 | B- | CD&R Waterworks Merger Sub LLC, Senior Unsecured Notes, 6.125% due 8/15/25(a) | 194,275 | |||||||
215,000 | BB- | H&E Equipment Services Inc., Company Guaranteed Notes, 5.625% due 9/1/25(a) | 222,525 | |||||||
|
| |||||||||
Total Trading Companies & Distributors | 416,800 | |||||||||
|
| |||||||||
Transportation Infrastructure — 1.8% | ||||||||||
90,000 | B- | CTP Transportation Products LLC/CTP Finance Inc., Senior Secured Notes, 8.250% due 12/15/19(a) | 85,275 | |||||||
430,000 | CCC- | Flexi-Van Leasing Inc., Company Guaranteed Notes, 7.875% due 8/15/18(a) | 422,475 | |||||||
350,000 | B | Navios Maritime Acquisition Corp./Navios Acquisition Finance US Inc., Senior Secured Notes, 8.125% due 11/15/21(a) | 291,375 | |||||||
Park Aerospace Holdings Ltd., Company Guaranteed Notes: | ||||||||||
355,000 | BB- | 5.250% due 8/15/22(a) | 371,419 | |||||||
1,060,000 | BB- | 5.500% due 2/15/24(a) | 1,105,050 | |||||||
710,000 | B- | Watco Cos. LLC/Watco Finance Corp., Company Guaranteed Notes, 6.375% due 4/1/23(a) | 741,950 | |||||||
|
| |||||||||
Total Transportation Infrastructure | 3,017,544 | |||||||||
|
| |||||||||
Wireless Telecommunication Services — 3.4% | ||||||||||
300,000 | BB | Altice US Finance I Corp., Senior Secured Notes, 5.500% due 5/15/26(a) | 318,188 | |||||||
Sprint Capital Corp., Company Guaranteed Notes: | ||||||||||
100,000 | B | 6.875% due 11/15/28 | 110,250 | |||||||
625,000 | B | 8.750% due 3/15/32 | 776,562 |
See Notes to Financial Statements.
202
Schedules of Investments |
(continued) |
High Yield Fund | ||||||||||
Face Amount/Units† | Rating†† | Security | Value | |||||||
Wireless Telecommunication Services — 3.4% — (continued) | ||||||||||
Sprint Communications Inc., Senior Unsecured Notes: | ||||||||||
$ | 525,000 | B | 7.000% due 8/15/20 | $ | 576,844 | |||||
540,000 | B | 11.500% due 11/15/21 | 687,150 | |||||||
Sprint Corp., Company Guaranteed Notes: | ||||||||||
880,000 | B | 7.250% due 9/15/21 | 972,400 | |||||||
770,000 | B | 7.875% due 9/15/23 | 881,750 | |||||||
T-Mobile USA Inc., Company Guaranteed Notes: | ||||||||||
150,000 | BB | 6.000% due 3/1/23 | 158,437 | |||||||
600,000 | BB | 6.625% due 4/1/23 | 633,750 | |||||||
710,000 | BB | 6.500% due 1/15/26 | 788,100 | |||||||
|
| |||||||||
Total Wireless Telecommunication Services | 5,903,431 | |||||||||
|
| |||||||||
TOTAL CORPORATE BONDS & NOTES (Cost — $150,178,963) | 155,589,734 | |||||||||
|
| |||||||||
SENIOR LOANS — 2.9% | ||||||||||
369,000 | NR | Ancestry.com Operations Inc., (Restricted, cost — $365,713, acquired 10/14/2016), 9.490% (1-Month USD-LIBOR + 8.250%) due 10/19/24(n) | 374,535 | |||||||
425,000 | NR | Asurion LLC, due 8/4/25(j) | 435,183 | |||||||
130,000 | NR | Big River Steel LLC, 6.236% (3-Month USD-LIBOR + 5.000%) due 8/23/23 | 131,950 | |||||||
520,000 | NR | CenturyLink Inc., 2.750% (Ticking Fee (Funded) + 2.750%) due 1/31/25 | 509,925 | |||||||
EIG Investors Corp.: | ||||||||||
989,848 | 5.318% (3-Month USD-LIBOR + 4.000%) due 2/9/23 | 1,002,325 | ||||||||
21,896 | 5.236% (1-Month USD-LIBOR + 4.000%) due 2/9/23 | 22,172 | ||||||||
124,851 | NR | Hercules Offshore Inc., (Restricted, cost — $40,051, acquired 5/26/2016), due 5/6/20(h)(n) | 96,759 | |||||||
219,450 | NR | Lantheus Medical Imaging Inc., (Restricted, cost — $218,944, acquired 3/29/2017), 5.739% (1-Month USD-LIBOR + 4.500%) due 6/30/22(n) | 221,279 | |||||||
359,100 | NR | Laureate Education Inc., (Restricted, cost — $355,681, acquired 4/21/2017), 5.739% (1-Month USD-LIBOR + 4.500%) due 4/26/24(n) | 361,748 | |||||||
172,979 | NR | Murray Energy Corp., (Restricted, cost — $162,572, acquired 4/9/2015), 8.546% (3-Month USD-LIBOR + 7.250%) due 4/16/20(n) | 158,800 | |||||||
317,544 | NR | Panda Temple Power LLC, (Restricted, cost — $313,484, acquired 3/4/2015), 9.500% (3-Month USD-PRIME + 5.250%) due 3/6/22(h)(i)(n) | 225,456 | |||||||
625,000 | NR | Press Ganey Holdings Inc., 8.489% (1-Month USD-LIBOR + 7.250%) due 10/21/24 | 639,844 | |||||||
300,000 | NR | Radnet Management Inc., (Restricted, cost — $299,252, acquired 8/16/2017), 5.085% (3-Month USD-LIBOR + 3.750%/3-Month USD-PRIME + 2.750%) due 6/30/23(n) | 300,375 | |||||||
258,690 | NR | Solera LLC, 4.507% (2-Month USD-LIBOR + 3.250%) due 3/3/23 | 259,984 | |||||||
313,421 | NR | Veritas US Inc., 5.796% (3-Month USD-LIBOR + 4.500%) due 1/27/23 | 316,457 | |||||||
|
| |||||||||
TOTAL SENIOR LOANS (Cost — $5,041,166) | 5,056,792 | |||||||||
|
| |||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 0.3% | ||||||||||
300,000 | NR | Commercial Mortgage Trust, Series 2015-LC21, Class E, 3.250% due 7/10/48(a) | 179,011 | |||||||
200,000 | NR | JPMBB Commercial Mortgage Securities Trust, Series 2015-C31, Class E, 4.772% due 8/15/48(a)(d) | 131,891 | |||||||
300,000 | NR | Wells Fargo Commercial Mortgage Trust, Series 2015-C28, Class E, 3.000% due 5/15/48(a) | 171,839 | |||||||
|
| |||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost — $533,852) | 482,741 | |||||||||
|
| |||||||||
SOVEREIGN BOND — 0.3% | ||||||||||
Argentina — 0.3% | ||||||||||
500,000 | B | Argentine Republic Government International Bonds, 7.500% due 4/22/26 (Cost — $531,500) | 560,250 | |||||||
|
| |||||||||
Shares/Units | ||||||||||
PREFERRED STOCKS — 0.7% | ||||||||||
ENERGY — 0.3% | ||||||||||
Energy Equipment & Services — 0.0% | ||||||||||
4,240,500 | Tricer Holdco S.C.A., (Restricted, cost — $227,584, acquired 4/20/2011), 0.000%*(g)(h)(m)(n) | 42,405 | ||||||||
|
|
See Notes to Financial Statements.
203
Schedules of Investments |
(continued) |
High Yield Fund | ||||||||||
Shares/Units | Security | Value | ||||||||
Oil, Gas & Consumable Fuels — 0.3% | ||||||||||
47,239 | Berry Petroleum Co., 0.000%*(h) | $ | 472,390 | |||||||
707 | Berry Petroleum Co., (Restricted, cost — $7,070, acquired 2/23/2017), 0.000%*(g)(h)(n) | 7,070 | ||||||||
|
| |||||||||
Total Oil, Gas & Consumable Fuels | 479,460 | |||||||||
|
| |||||||||
TOTAL ENERGY | 521,865 | |||||||||
|
| |||||||||
FINANCIALS — 0.4% | ||||||||||
Banks — 0.4% | ||||||||||
22,709 | GMAC Capital Trust I, 7.100% (3-Month USD-LIBOR + 5.785%)(d) | 593,159 | ||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS (Cost — $1,153,728) | 1,115,024 | |||||||||
|
| |||||||||
COMMON STOCKS — 0.5% | ||||||||||
CONSUMER DISCRETIONARY — 0.0% | ||||||||||
Hotels, Restaurants & Leisure — 0.0% | ||||||||||
9,953 | Bossier Casino Venture Holdco Inc., (Restricted, cost — $19,906, acquired 2/6/2012)*(a)(g)(h)(m)(n) | 72,856 | ||||||||
|
| |||||||||
ENERGY — 0.4% | ||||||||||
Energy Equipment & Services — 0.0% | ||||||||||
9,541 | Tricer Holdco S.C.A., (Restricted, cost — $69,128, acquired 4/20/2011)*(g)(h)(m)(n) | 22,421 | ||||||||
17,453 | Hercules Offshore Inc.*(g)(h)(m) | 4,922 | ||||||||
|
| |||||||||
Total Energy Equipment & Services | 27,343 | |||||||||
|
| |||||||||
Oil, Gas & Consumable Fuels — 0.4% | ||||||||||
43,396 | Berry Petroleum Corp., (Restricted, cost — $501,842, acquired 3/31/2016)*(h)(n) | 390,564 | ||||||||
24,541 | Blue Ridge Mountain Resources Inc.*(h) | 215,961 | ||||||||
11,773 | PetroQuest Energy Inc., (Restricted, cost — $38,964, acquired 8/17/2016)*(n) | 21,074 | ||||||||
4,080 | Southwestern Energy Co.* | 22,236 | ||||||||
|
| |||||||||
Total Oil, Gas & Consumable Fuels | 649,835 | |||||||||
|
| |||||||||
TOTAL ENERGY | 677,178 | |||||||||
|
| |||||||||
FINANCIALS — 0.0% | ||||||||||
Diversified Financial Services — 0.0% | ||||||||||
559 | Jack Cooper Holdings Corp., Class B Shares*(a)(g)(h)(m) | — | ||||||||
68 | MWO Holdings, ADR, (Restricted, cost — $208,716, acquired 6/30/2011)*(g)(h)(m)(n) | 10,033 | ||||||||
|
| |||||||||
TOTAL FINANCIALS | 10,033 | |||||||||
|
| |||||||||
MATERIALS — 0.1% | ||||||||||
Metals & Mining — 0.1% | ||||||||||
10,008 | SunCoke Energy Partners LP(f) | 175,640 | ||||||||
|
| |||||||||
TOTAL COMMON STOCKS (Cost — $2,899,556) | 935,707 | |||||||||
|
| |||||||||
CONVERTIBLE PREFERRED STOCK — 0.1% | ||||||||||
ENERGY — 0.1% | ||||||||||
Oil, Gas & Consumable Fuels — 0.1% | ||||||||||
12,500 | Sanchez Energy Corp., 6.500%(e) (Cost — $553,477) | 223,125 | ||||||||
|
| |||||||||
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost — $160,892,242) | 163,963,373 | |||||||||
|
| |||||||||
Face Amount | ||||||||||
SHORT-TERM INVESTMENTS (k) — 5.4% | ||||||||||
MONEY MARKET FUND — 1.5% | ||||||||||
$ | 2,487,699 | Invesco STIT — Government & Agency Portfolio, Institutional Class(l) (Cost — $2,487,699) | 2,487,699 | |||||||
|
|
See Notes to Financial Statements.
204
Schedules of Investments |
(continued) |
High Yield Fund | ||||||||||
Face Amount | Security | Value | ||||||||
TIME DEPOSITS — 3.9% | ||||||||||
$ | 1,044,659 | Citibank — New York, 0.590% due 9/1/17 | $ | 1,044,659 | ||||||
5,753,238 | JPMorgan Chase & Co. — New York, 0.590% due 9/1/17 | 5,753,238 | ||||||||
|
| |||||||||
TOTAL TIME DEPOSITS (Cost — $6,797,897) | 6,797,897 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost — $9,285,596) | 9,285,596 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 100.3% (Cost — $170,177,838) | 173,248,969 | |||||||||
|
| |||||||||
Liabilities in Excess of Other Assets — (0.3)% | (569,652 | ) | ||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $ | 172,679,317 | ||||||||
|
|
† | Amount denominated in U.S. dollars, unless otherwise noted. |
†† | All ratings are by Standard & Poor’s Rating Service, unless otherwise noted. All ratings are unaudited. |
* | Non-income producing security. |
(a) | Restricted security that may be sold to “qualified institutional buyers” pursuant to the conditions of Rule 144A under the Securities Act of 1933, as amended. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted. The aggregate value of restricted 144A holdings at August 31, 2017, amounts to approximately $93,418,690 and represents 54.10% of net assets. |
(b) | Payment in-kind security for which part of the income earned may be paid as additional principal. |
(c) | Rating by Moody’s Investors Service. All ratings are unaudited. |
(d) | Variable rate security. Interest rate disclosed is that which was in effect at August 31, 2017. |
(e) | Security is perpetual in nature and has no stated maturity date. |
(f) | All or a portion of this security is on loan (See Note 1). |
(g) | Security is valued in good faith at fair value by or under the direction of the Board of Trustees. |
(h) | Illiquid security. |
(i) | Security is currently in default. |
(j) | This position represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate. |
(k) | Inclusive of all short term holdings, including collateral received from securities lending activities. Excluding such collateral, the percentage of portfolio holdings would be 3.9%. |
(l) | Represents investment of collateral received from securities lending transactions. |
(m) | Security that used significant unobservable inputs to determine fair value. |
(n) | The aggregate value of restricted securities (excluding 144A holdings) at August 31, 2017, amounts to approximately $2,305,377 and represents 1.34% of net assets. |
At August 31, 2017, for High Yield Fund the aggregate cost of investments, the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:
Fund | Aggregate Cost For Federal Income Tax Purposes | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||||||||||
High Yield Fund | $ | 171,253,804 | $ | 8,441,443 | $ | (6,446,278 | ) | $ | 1,995,165 |
Abbreviations used in this schedule: | ||
ADR | — American Depositary Receipts | |
LIBOR | — London Interbank Offered Rate | |
PLC | — Public Limited Company |
See pages 253-254 for definitions of ratings.
Summary of Investments by Security Type^ | ||||
Corporate Bonds & Notes | 89.8 | % | ||
Senior Loans | 2.9 | |||
Preferred Stocks | 0.7 | |||
Common Stocks | 0.5 | |||
Sovereign Bond | 0.3 | |||
Collateralized Mortgage Obligations | 0.3 | |||
Convertible Preferred Stock | 0.1 | |||
Short-Term Investments | 5.4 | |||
|
| |||
100.0 | % | |||
|
| |||
^ As a percentage of total investments. |
See Notes to Financial Statements.
205
Schedules of Investments |
(continued) |
International Fixed Income Fund | ||||||||||
Face Amount/Units† | Security | Value | ||||||||
CORPORATE BONDS & NOTES — 42.8% | ||||||||||
Canada — 0.2% | ||||||||||
Enbridge Inc., Senior Unsecured Notes: | ||||||||||
$ | 100,000 | 1.946% (3-Month USD-LIBOR + 0.700%) due 6/15/20(a) | $ | 100,865 | ||||||
200,000 | 2.900% due 7/15/22 | 201,511 | ||||||||
|
| |||||||||
Total Canada | 302,376 | |||||||||
|
| |||||||||
Cayman Islands — 0.6% | ||||||||||
200,000 | KSA Sukuk Ltd., Senior Unsecured Notes, 2.894% due 4/20/22(b) | 201,892 | ||||||||
800,000 | US Capital Funding II Ltd./US Capital Funding II Corp., Asset-Backed, 2.061% (3-Month USD-LIBOR + 0.750%) due 8/1/34(a)(b) | 692,000 | ||||||||
|
| |||||||||
Total Cayman Islands | 893,892 | |||||||||
|
| |||||||||
Denmark — 7.9% | ||||||||||
BRFkredit AS, Covered Notes: | ||||||||||
7,328,336 | DKK | 2.000% due 10/1/47 | 1,168,810 | |||||||
8,271 | DKK | 3.000% due 10/1/47 | 1,398 | |||||||
Nordea Kredit Realkreditaktieselskab, Covered Notes: | ||||||||||
411,337 | DKK | 2.500% due 10/1/37 | 69,375 | |||||||
2,688,659 | DKK | 2.000% due 10/1/47 | 427,442 | |||||||
860,778 | DKK | 2.500% due 10/1/47 | 142,282 | |||||||
1,000,000 | DKK | 2.000% due 10/1/50 | 157,379 | |||||||
Nykredit Realkredit AS, Covered Notes: | ||||||||||
8,459,235 | DKK | 2.000% due 10/1/37 | 1,396,239 | |||||||
3,600,361 | DKK | 2.500% due 10/1/37 | 606,074 | |||||||
12,549,057 | DKK | 2.000% due 10/1/47 | 1,994,441 | |||||||
10,871,835 | DKK | 2.500% due 10/1/47 | 1,795,757 | |||||||
Realkredit Danmark AS, Covered Notes: | ||||||||||
1,566,039 | DKK | 2.000% due 10/1/37 | 258,733 | |||||||
3,207,540 | DKK | 2.500% due 10/1/37 | 539,691 | |||||||
12,734,020 | DKK | 2.000% due 10/1/47 | 2,023,939 | |||||||
6,219,199 | DKK | 2.500% due 10/1/47 | 1,028,751 | |||||||
|
| |||||||||
Total Denmark | 11,610,311 | |||||||||
|
| |||||||||
France — 1.1% | ||||||||||
Dexia Credit Local SA, Government Liquid Guaranteed Notes: | ||||||||||
400,000 | 1.889% (3-Month USD-LIBOR + 0.600%) due 3/23/18(a)(b) | 401,022 | ||||||||
300,000 | 2.250% due 2/18/20(b) | 302,011 | ||||||||
1,000,000 | 1.875% due 9/15/21(b) | 986,482 | ||||||||
|
| |||||||||
Total France | 1,689,515 | |||||||||
|
| |||||||||
Germany — 1.8% | ||||||||||
800,000 | Deutsche Bank AG, Senior Unsecured Notes, 4.250% due 10/14/21(c) | 844,900 | ||||||||
2,400,000 | NZD | Landwirtschaftliche Rentenbank, Government Guaranteed Notes, 4.750% due 3/12/19 | 1,785,851 | |||||||
|
| |||||||||
Total Germany | 2,630,751 | |||||||||
|
| |||||||||
Ireland — 0.9% | ||||||||||
800,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, Company Guaranteed Notes, 4.625% due 10/30/20 | 853,382 | ||||||||
200,000 | EUR | Bank of Ireland, Junior Subordinated Notes, 7.375% (5-Year EUR Swap Rate + 6.956%)(a)(d) | 261,929 | |||||||
200,000 | SMBC Aviation Capital Finance DAC, Company Guaranteed Notes, 3.000% due 7/15/22(b) | 201,857 | ||||||||
|
| |||||||||
Total Ireland | 1,317,168 | |||||||||
|
| |||||||||
Italy — 0.7% | ||||||||||
400,000 | EUR | Banca Carige SpA, Covered Notes, 3.875% due 10/24/18 | 493,522 | |||||||
500,000 | EUR | Banca Monte dei Paschi di Siena SpA, Covered Notes, 5.000% due 2/9/18 | 610,233 | |||||||
|
| |||||||||
Total Italy | 1,103,755 | |||||||||
|
|
See Notes to Financial Statements.
206
Schedules of Investments |
(continued) |
International Fixed Income Fund | ||||||||||
Face Amount/Units† | Security | Value | ||||||||
Japan — 0.4% | ||||||||||
$ | 200,000 | Central Nippon Expressway Co., Ltd., Senior Unsecured Notes, 2.091% due 9/14/21 | $ | 196,815 | ||||||
400,000 | Chugoku Electric Power Co., Inc. (The), Senior Secured Notes, 2.701% due 3/16/20 | 403,454 | ||||||||
|
| |||||||||
Total Japan | 600,269 | |||||||||
|
| |||||||||
Jersey Channel Islands — 0.5% | ||||||||||
200,000 | GBP | HBOS Capital Funding LP, Company Guaranteed Notes, 9.540% (3-Month GBP-LIBOR + 6.750%)(a)(d) | 269,956 | |||||||
300,000 | GBP | Kennedy Wilson Europe Real Estate PLC, Senior Unsecured Notes, 3.950% due 6/30/22 | 405,071 | |||||||
|
| |||||||||
Total Jersey Channel Islands | 675,027 | |||||||||
|
| |||||||||
Luxembourg — 1.0% | ||||||||||
100,000 | Allergan Funding SCS, Company Guaranteed Notes, 3.800% due 3/15/25 | 104,730 | ||||||||
600,000 | EUR | Commerzbank Finance & Covered Bonds SA, Covered Notes, 4.250% due 6/4/18 | 737,455 | |||||||
500,000 | EUR | Wind Acquisition Finance SA, Secured Notes, 7.000% due 4/23/21 | 620,561 | |||||||
|
| |||||||||
Total Luxembourg | 1,462,746 | |||||||||
|
| |||||||||
Netherlands — 2.7% | ||||||||||
700,000 | CAD | Bank Nederlandse Gemeenten NV, Senior Unsecured Notes, 2.125% due 10/1/19(b) | 565,808 | |||||||
300,000 | EUR | Cooperatieve Rabobank UA, Senior Unsecured Notes, 6.875% due 3/19/20 | 417,088 | |||||||
ING Bank NV: | ||||||||||
600,000 | Covered Notes, 2.625% due 12/5/22(b) | 610,457 | ||||||||
1,000,000 | Subordinated Notes, 4.125% (5-Year USD 1100 Run ICE Swap Rate + 2.700%) due 11/21/23(a) | 1,021,843 | ||||||||
Petrobras Global Finance BV, Company Guaranteed Notes: | ||||||||||
600,000 | 8.375% due 5/23/21 | 682,425 | ||||||||
400,000 | 6.125% due 1/17/22 | 425,000 | ||||||||
200,000 | EUR | Stichting AK Rabobank Certificaten, Junior Subordinated Notes, 6.500%(d) | 283,756 | |||||||
|
| |||||||||
Total Netherlands | 4,006,377 | |||||||||
|
| |||||||||
Norway — 0.3% | ||||||||||
400,000 | DNB Boligkreditt AS, Covered Notes, 2.500% due 3/28/22(b) | 406,363 | ||||||||
|
| |||||||||
Portugal — 0.3% | ||||||||||
Banco Espirito Santo SA, Senior Unsecured Notes: | ||||||||||
200,000 | EUR | 4.750% due 1/15/18(e)(f) | 74,118 | |||||||
200,000 | EUR | 4.000% due 1/21/19(e)(f) | 74,118 | |||||||
300,000 | EUR | Novo Banco SA, Senior Unsecured Notes, 5.000% due 4/4/19 | 292,898 | |||||||
|
| |||||||||
Total Portugal | 441,134 | |||||||||
|
| |||||||||
Spain — 0.5% | ||||||||||
600,000 | EUR | Banco Santander SA, Junior Subordinated Notes, 6.250% (5-Year EUR Swap Rate + 5.640%)(a)(d) | 762,604 | |||||||
|
| |||||||||
Supranational — 1.3% | ||||||||||
1,400,000 | NZD | Asian Development Bank, Senior Unsecured Notes, 4.625% due 3/6/19 | 1,039,749 | |||||||
European Investment Bank, Senior Unsecured Notes: | ||||||||||
500,000 | AUD | 0.500% due 6/21/23 | 343,317 | |||||||
800,000 | AUD | 0.500% due 8/10/23 | 545,396 | |||||||
|
| |||||||||
Total Supranational | 1,928,462 | |||||||||
|
| |||||||||
Sweden — 5.3% | ||||||||||
Lansforsakringar Hypotek AB, Covered Notes: | ||||||||||
10,100,000 | SEK | 2.250% due 9/21/22 | 1,367,977 | |||||||
12,000,000 | SEK | 1.250% due 9/20/23 | 1,531,177 | |||||||
10,700,000 | SEK | Nordea Hypotek AB, Covered Notes, 1.000% due 4/8/22 | 1,373,309 | |||||||
2,500,000 | SEK | Skandinaviska Enskilda Banken AB, Covered Notes, 1.500% due 12/15/21 | 328,223 |
See Notes to Financial Statements.
207
Schedules of Investments |
(continued) |
International Fixed Income Fund | ||||||||||
Face Amount/Units† | Security | Value | ||||||||
Sweden — 5.3% — (continued) | ||||||||||
Stadshypotek AB, Covered Notes: | ||||||||||
2,000,000 | SEK | 1.500% due 12/15/21 | $ | 262,578 | ||||||
8,000,000 | SEK | 4.500% due 9/21/22 | 1,197,189 | |||||||
Sveriges Sakerstallda Obligationer AB, Covered Notes: | ||||||||||
7,000,000 | SEK | 1.250% due 6/15/22 | 907,056 | |||||||
2,000,000 | SEK | 2.000% due 6/17/26 | 261,872 | |||||||
5,100,000 | SEK | Swedbank Hypotek AB, Covered Notes, 1.000% due 6/15/22 | 653,584 | |||||||
|
| |||||||||
Total Sweden | 7,882,965 | |||||||||
|
| |||||||||
Switzerland — 1.5% | ||||||||||
UBS AG: | ||||||||||
Senior Unsecured Notes: | ||||||||||
$ | 500,000 | 1.799% (3-Month USD-LIBOR + 0.580%) due 6/8/20(a)(b) | 502,065 | |||||||
300,000 | 2.200% due 6/8/20(b) | 301,463 | ||||||||
Subordinated Notes: | ||||||||||
250,000 | 7.625% due 8/17/22 | 296,875 | ||||||||
300,000 | 4.750% (5-Year USD Swap Rate + 3.765%) due 5/22/23(a) | 305,078 | ||||||||
400,000 | 5.125% due 5/15/24 | 428,959 | ||||||||
400,000 | UBS Group Funding Switzerland AG, Company Guaranteed Notes, 2.265% (3-Month USD-LIBOR + 0.950%) due 8/15/23(a)(b)(f) | 400,124 | ||||||||
|
| |||||||||
Total Switzerland | 2,234,564 | |||||||||
|
| |||||||||
United Kingdom — 4.7% | ||||||||||
Barclays Bank PLC, Subordinated Notes: | ||||||||||
400,000 | 7.625% due 11/21/22 | 460,250 | ||||||||
700,000 | 7.750% (5-Year USD Swap Rate + 6.833%) due 4/10/23(a) | 723,625 | ||||||||
Barclays PLC: | ||||||||||
Junior Subordinated Notes: | ||||||||||
300,000 | EUR | 6.500% (5-Year EUR Swap Rate + 5.875%)(a)(d) | 372,354 | |||||||
400,000 | GBP | 7.000% (5-Year GBP Swap Rate + 5.084%)(a)(d) | 538,031 | |||||||
200,000 | 8.250% (5-Year USD Swap Rate + 6.705%)(a)(d) | 212,532 | ||||||||
600,000 | Senior Unsecured Notes, 3.419% (3-Month USD-LIBOR + 2.110%) due 8/10/21(a)(c) | 628,331 | ||||||||
200,000 | British Telecommunications PLC, Senior Unsecured Notes, 9.125% due 12/15/30 | 310,135 | ||||||||
200,000 | GBP | Co-operative Group Holdings 2011 Ltd., Company Guaranteed Notes, step bond to yield, 6.875% due 7/8/20 | 290,615 | |||||||
500,000 | HBOS PLC, Subordinated Notes, 6.750% due 5/21/18(b) | 516,706 | ||||||||
400,000 | Imperial Brands Finance PLC, Company Guaranteed Notes, 2.950% due 7/21/20(b) | 407,645 | ||||||||
100,000 | GBP | Legal & General Group PLC, Subordinated Notes, 5.500% (5-Year UK Government Note Generic Bid Yield + 3.170%) due 6/27/64(a) | 144,524 | |||||||
Lloyds Banking Group PLC, Junior Subordinated Notes: | ||||||||||
300,000 | GBP | 7.000% (5-Year GBP Swap Rate + 5.060%)(a)(d) | 407,769 | |||||||
200,000 | GBP | 7.625% (5-Year GBP Swap Rate + 5.010%)(a)(d) | 293,065 | |||||||
100,000 | GBP | RAC Bonds Co. PLC, Senior Secured Notes, 4.870% due 5/6/26 | 146,421 | |||||||
500,000 | Santander UK Group Holdings PLC, Subordinated Notes, 4.750% due 9/15/25(b) | 522,651 | ||||||||
98,220 | GBP | Tesco Property Finance 4 PLC, Senior Secured Notes, 5.801% due 10/13/40 | 144,880 | |||||||
300,000 | GBP | Virgin Media Secured Finance PLC, Senior Secured Notes, 4.875% due 1/15/27 | 404,874 | |||||||
300,000 | GBP | Virgin Money PLC, Senior Unsecured Notes, 2.250% due 4/21/20 | 399,081 | |||||||
|
| |||||||||
Total United Kingdom | 6,923,489 | |||||||||
|
| |||||||||
United States — 11.1% | ||||||||||
Ally Financial Inc.: | ||||||||||
500,000 | Company Guaranteed Notes, 8.000% due 11/1/31 | 646,250 | ||||||||
Senior Unsecured Notes: | ||||||||||
200,000 | 3.250% due 9/29/17 | 200,210 | ||||||||
100,000 | 3.600% due 5/21/18 | 101,050 |
See Notes to Financial Statements.
208
Schedules of Investments |
(continued) |
International Fixed Income Fund | ||||||||||
Face Amount/Units† | Security | Value | ||||||||
United States — 11.1% — (continued) | ||||||||||
$ | 100,000 | American Honda Finance Corp., Senior Unsecured Notes, 1.669% (3-Month USD-LIBOR + 0.350%) due 11/5/21(a) | $ | 99,980 | ||||||
300,000 | EUR | American International Group Inc., Senior Unsecured Notes, 1.500% due 6/8/23 | 371,650 | |||||||
300,000 | Anheuser-Busch InBev Finance Inc., Company Guaranteed Notes, 3.300% due 2/1/23 | 311,909 | ||||||||
AT&T Inc., Senior Unsecured Notes: | ||||||||||
200,000 | 5.200% due 3/15/20 | 215,036 | ||||||||
400,000 | 2.254% (3-Month USD-LIBOR + 0.950%) due 7/15/21(a) | 404,303 | ||||||||
300,000 | EUR | 1.800% due 9/4/26 | 361,428 | |||||||
BAT Capital Corp., Company Guaranteed Notes: | ||||||||||
100,000 | 1.905% (3-Month USD-LIBOR + 0.590%) due 8/14/20(a)(b) | 100,103 | ||||||||
100,000 | 3.222% due 8/15/24(b)(f) | 101,390 | ||||||||
100,000 | 3.557% due 8/15/27(b)(f) | 101,629 | ||||||||
100,000 | 4.390% due 8/15/37(b)(f) | 103,248 | ||||||||
400,000 | Boston Scientific Corp., Senior Unsecured Notes, 6.000% due 1/15/20 | 436,366 | ||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital, Senior Secured Notes: | ||||||||||
250,000 | 3.579% due 7/23/20 | 256,655 | ||||||||
700,000 | 4.464% due 7/23/22 | 741,190 | ||||||||
400,000 | DDR Corp., Senior Unsecured Notes, 3.900% due 8/15/24 | 405,544 | ||||||||
Dell International LLC/EMC Corp., Senior Secured Notes: | ||||||||||
400,000 | 3.480% due 6/1/19(b) | 408,974 | ||||||||
250,000 | 4.420% due 6/15/21(b) | 263,657 | ||||||||
200,000 | Emera US Finance LP, Company Guaranteed Notes, 2.700% due 6/15/21 | 202,085 | ||||||||
200,000 | EPR Properties, Company Guaranteed Notes, 4.500% due 6/1/27 | 203,599 | ||||||||
Fidelity National Information Services Inc., Senior Unsecured Notes: | ||||||||||
100,000 | EUR | 0.400% due 1/15/21 | 119,464 | |||||||
100,000 | GBP | 1.700% due 6/30/22 | 129,695 | |||||||
400,000 | Ford Motor Credit Co. LLC, Senior Unsecured Notes, 5.875% due 8/2/21 | 447,359 | ||||||||
300,000 | Fresenius Medical Care US Finance II Inc., Company Guaranteed Notes, 5.625% due 7/31/19(b) | 319,875 | ||||||||
300,000 | Harris Corp., Senior Unsecured Notes, 5.550% due 10/1/21 | 335,641 | ||||||||
1,200,000 | JPMorgan Chase & Co., Senior Unsecured Notes, 1.864% (3-Month USD-LIBOR + 0.550%) due 4/25/18(a)(c) | 1,203,270 | ||||||||
400,000 | KLA-Tencor Corp., Senior Unsecured Notes, 3.375% due 11/1/19 | 410,572 | ||||||||
1,300,000 | Lehman Brothers Holdings Inc., Senior Unsecured Notes, 0.000% due 12/30/16(f) | 80,275 | ||||||||
1,000,000 | Marriott International Inc., Senior Unsecured Notes, 6.750% due 5/15/18 | 1,033,232 | ||||||||
Navient Corp., Senior Unsecured Notes: | ||||||||||
100,000 | 5.500% due 1/15/19 | 103,780 | ||||||||
350,000 | 4.875% due 6/17/19 | 362,687 | ||||||||
400,000 | 8.000% due 3/25/20 | 442,500 | ||||||||
600,000 | OneMain Financial Holdings LLC, Company Guaranteed Notes, 6.750% due 12/15/19(b) | 628,500 | ||||||||
1,000,000 | Santander Holdings USA Inc., Senior Unsecured Notes, 2.767% (3-Month USD-LIBOR + 1.450%) due 11/24/17(a)(c) | 1,002,659 | ||||||||
100,000 | Spectra Energy Partners LP, Senior Unsecured Notes, 2.016% (3-Month USD-LIBOR + 0.700%) due 6/5/20(a) | 100,564 | ||||||||
100,000 | Springleaf Finance Corp., Company Guaranteed Notes, 6.000% due 6/1/20 | 105,875 | ||||||||
300,000 | Time Warner Cable LLC, Senior Secured Notes, 8.250% due 4/1/19 | 327,858 | ||||||||
1,100,000 | UnitedHealth Group Inc., Senior Unsecured Notes, 3.750% due 7/15/25(c) | 1,172,542 | ||||||||
346,000 | Verizon Communications Inc., Senior Unsecured Notes, 3.376% due 2/15/25(b) | 348,039 | ||||||||
300,000 | WEA Finance LLC/Westfield UK & Europe Finance PLC, Company Guaranteed Notes, 3.750% due 9/17/24(b) | 308,155 | ||||||||
Wells Fargo & Co., Senior Unsecured Notes: | ||||||||||
100,000 | 2.423% (3-Month USD-LIBOR + 1.110%) due 1/24/23(a) | 101,548 | ||||||||
900,000 | 2.541% (3-Month USD-LIBOR + 1.230%) due 10/31/23(a)(c) | 920,025 |
See Notes to Financial Statements.
209
Schedules of Investments |
(continued) |
International Fixed Income Fund | ||||||||||
Face Amount/Units† | Security | Value | ||||||||
United States — 11.1% — (continued) | ||||||||||
$ | 300,000 | Zimmer Biomet Holdings Inc., Senior Unsecured Notes, 3.150% due 4/1/22 | $ | 307,009 | ||||||
|
| |||||||||
Total United States | 16,347,380 | |||||||||
|
| |||||||||
TOTAL CORPORATE BONDS & NOTES (Cost — $60,864,919) | 63,219,148 | |||||||||
|
| |||||||||
SOVEREIGN BONDS — 37.7% | ||||||||||
Brazil — 0.8% | ||||||||||
3,700,000 | BRL | Brazil Letras do Tesouro Nacional, zero coupon, due 10/1/17 | 1,167,088 | |||||||
|
| |||||||||
Canada — 3.4% | ||||||||||
Province of Alberta Canada: | ||||||||||
900,000 | CAD | 1.250% due 6/1/20 | 713,087 | |||||||
900,000 | CAD | 2.350% due 6/1/25 | 715,855 | |||||||
3,100,000 | CAD | Province of Ontario Canada, 3.150% due 6/2/22 | 2,616,310 | |||||||
1,100,000 | CAD | Province of Quebec Canada, 3.750% due 9/1/24 | 962,587 | |||||||
|
| |||||||||
Total Canada | 5,007,839 | |||||||||
|
| |||||||||
France — 4.4% | ||||||||||
French Republic Government Bonds OAT: | ||||||||||
900,000 | EUR | 3.250% due 5/25/45(c) | 1,454,370 | |||||||
3,200,000 | EUR | 2.000% due 5/25/48(b)(c) | 4,044,800 | |||||||
850,000 | EUR | 1.750% due 5/25/66(b) | 974,101 | |||||||
|
| |||||||||
Total France | 6,473,271 | |||||||||
|
| |||||||||
Ireland — 1.1% | ||||||||||
1,000,000 | EUR | Ireland Government Bonds, 5.400% due 3/13/25(c) | 1,625,997 | |||||||
|
| |||||||||
Italy — 2.2% | ||||||||||
Italy Buoni Poliennali Del Tesoro: | ||||||||||
100,000 | EUR | 2.700% due 3/1/47(b)(c) | 108,279 | |||||||
1,200,000 | EUR | 3.450% due 3/1/48(b)(c) | 1,480,013 | |||||||
500,000 | EUR | 2.800% due 3/1/67(b)(c) | 507,640 | |||||||
700,000 | GBP | Republic of Italy Government International Bonds, 6.000% due 8/4/28 | 1,144,614 | |||||||
|
| |||||||||
Total Italy | 3,240,546 | |||||||||
|
| |||||||||
Japan — 10.6% | ||||||||||
200,000 | Development Bank of Japan Inc., 2.000% due 10/19/21 | 197,684 | ||||||||
Japan Bank for International Cooperation: | ||||||||||
400,000 | 2.000% due 11/4/21 | 397,572 | ||||||||
200,000 | 2.375% due 7/21/22 | 202,239 | ||||||||
Japan Finance Organization for Municipalities: | ||||||||||
500,000 | 2.125% due 4/13/21(b) | 496,919 | ||||||||
200,000 | 2.625% due 4/20/22(b) | 202,637 | ||||||||
Japan Government Thirty Year Bonds: | ||||||||||
210,000,000 | JPY | 1.700% due 9/20/44 | 2,349,848 | |||||||
330,000,000 | JPY | 1.400% due 9/20/45 | 3,465,951 | |||||||
180,000,000 | JPY | 0.500% due 9/20/46 | 1,508,343 | |||||||
Japan Government Twenty Year Bonds: | ||||||||||
400,000,000 | JPY | 1.000% due 12/20/35 | 3,985,997 | |||||||
280,000,000 | JPY | 0.400% due 3/20/36 | 2,512,309 | |||||||
400,000 | Tokyo Metropolitan Government, 2.000% due 5/17/21(b) | 396,591 | ||||||||
|
| |||||||||
Total Japan | 15,716,090 | |||||||||
|
| |||||||||
Kuwait — 0.9% | ||||||||||
Kuwait International Government Bonds: | ||||||||||
400,000 | 2.750% due 3/20/22(b) | 406,174 |
See Notes to Financial Statements.
210
Schedules of Investments |
(continued) |
International Fixed Income Fund | ||||||||||
Face Amount/Units† | Security | Value | ||||||||
Kuwait — 0.9% — (continued) | ||||||||||
$ | 900,000 | 3.500% due 3/20/27(b) | $ | 935,046 | ||||||
|
| |||||||||
Total Kuwait | 1,341,220 | |||||||||
|
| |||||||||
New Zealand — 0.2% | ||||||||||
300,000 | NZD | New Zealand Government Bonds, 5.500% due 4/15/23 | 249,252 | |||||||
|
| |||||||||
Poland — 0.5% | ||||||||||
2,700,000 | PLN | Republic of Poland Government Bonds, 3.250% due 7/25/25 | 766,487 | |||||||
|
| |||||||||
Qatar — 0.2% | ||||||||||
200,000 | Qatar Government International Bonds, 4.500% due 1/20/22 | 213,630 | ||||||||
|
| |||||||||
Saudi Arabia — 1.1% | ||||||||||
1,700,000 | Saudi Government International Bonds, 2.375% due 10/26/21 | 1,685,040 | ||||||||
|
| |||||||||
Slovenia — 2.4% | ||||||||||
Slovenia Government International Bonds: | ||||||||||
500,000 | 4.750% due 5/10/18 | 510,750 | ||||||||
800,000 | 4.125% due 2/18/19 | 826,848 | ||||||||
200,000 | 5.500% due 10/26/22 | 229,405 | ||||||||
1,250,000 | 5.850% due 5/10/23 | 1,468,792 | ||||||||
450,000 | 5.250% due 2/18/24 | 519,979 | ||||||||
|
| |||||||||
Total Slovenia | 3,555,774 | |||||||||
|
| |||||||||
Spain — 5.3% | ||||||||||
Autonomous Community of Catalonia: | ||||||||||
200,000 | EUR | 4.750% due 6/4/18 | 243,714 | |||||||
500,000 | EUR | 4.950% due 2/11/20 | 629,250 | |||||||
200,000 | EUR | 4.900% due 9/15/21 | 249,837 | |||||||
Spain Government Bonds: | ||||||||||
800,000 | EUR | 1.500% due 4/30/27(b)(c) | 957,092 | |||||||
3,900,000 | EUR | 1.450% due 10/31/27(b)(c) | 4,597,508 | |||||||
900,000 | EUR | 2.900% due 10/31/46(b)(c) | 1,097,054 | |||||||
|
| |||||||||
Total Spain | 7,774,455 | |||||||||
|
| |||||||||
United Kingdom — 4.6% | ||||||||||
United Kingdom Gilt: | ||||||||||
1,800,000 | GBP | 3.250% due 1/22/44(c) | 3,069,796 | |||||||
2,100,000 | GBP | 3.500% due 1/22/45(c) | 3,757,470 | |||||||
|
| |||||||||
Total United Kingdom | 6,827,266 | |||||||||
|
| |||||||||
TOTAL SOVEREIGN BONDS (Cost — $53,482,434) | 55,643,955 | |||||||||
|
| |||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 20.1% | ||||||||||
ALBA PLC: | ||||||||||
472,944 | GBP | Series 2007-1, Class A3, 0.467% (3-Month GBP-LIBOR + 0.170%) due 3/17/39(a) | 586,649 | |||||||
500,714 | GBP | Series 2015-1, Class A, 1.501% (1-Month GBP-LIBOR + 1.250%) due 4/24/49(a) | 651,546 | |||||||
816,677 | Argent Mortgage Loan Trust, Series 2005-W1, Class A1, 1.714% (1-Month USD-LIBOR + 0.480%) due 5/25/35(a) | 739,816 | ||||||||
36,731 | Banc of America Funding Trust, Series 2006-A, Class 1A1, 3.153% due 2/20/36(a) | 36,410 | ||||||||
345,047 | Bayview Financial Asset Trust, Series 2007-SR1A, Class A, 1.684% (1-Month USD-LIBOR + 0.450%) due 3/25/37(a)(b) | 319,406 | ||||||||
Bear Stearns Adjustable Rate Mortgage Trust: | ||||||||||
8,334 | Series 2003-5, Class 1A2, 3.312% due 8/25/33(a) | 8,263 | ||||||||
13,853 | Series 2003-7, Class 6A, 3.333% due 10/25/33(a) | 13,996 | ||||||||
32,220 | Series 2004-2, Class 22A, 3.662% due 5/25/34(a) | 31,446 | ||||||||
7,645 | Series 2004-2, Class 23A, 3.202% due 5/25/34(a) | 7,160 | ||||||||
16,130 | Series 2005-2, Class A2, 3.636% (1-Year USD-LIBOR + 1.950%) due 3/25/35(a) | 16,334 |
See Notes to Financial Statements.
211
Schedules of Investments |
(continued) |
International Fixed Income Fund | ||||||||||
Face Amount/Units† | Security | Value | ||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 20.1% — (continued) | ||||||||||
$ | 122,737 | Bear Stearns Structured Products Inc. Trust, Series 2007-R6, Class 1A1, 3.321% due 1/26/36(a) | $ | 110,385 | ||||||
105,315 | EUR | Casa d’este Finance SRL, Series 1, Class A2, 0.019% (3-Month EURIBOR + 0.350%) due 9/15/40(a) | 124,890 | |||||||
700,000 | Cent CLO 22 Ltd., Series 2014-22A, Class A1R, 2.722% (3-Month USD-LIBOR + 1.410%) due 11/7/26(a)(b) | 700,488 | ||||||||
152,187 | CHL Mortgage Pass-Through Trust 2007-19, Series 2007-19, Class 2A1, 6.500% due 11/25/47(f) | 138,251 | ||||||||
385,386 | EUR | Claris ABS SRL, Series 2011-1, Class A, 0.102% (6-Month EURIBOR + 0.350%) due 10/31/60(a) | 459,049 | |||||||
Countrywide Alternative Loan Trust: | ||||||||||
1,913 | Series 2004-J5, Class 2A1, 1.914% (1-Month USD-LIBOR + 0.680%) due 8/25/34(a) | 1,931 | ||||||||
10,270 | Series 2005-21CB, Class A3, 5.250% due 6/25/35 | 9,753 | ||||||||
39,438 | Series 2007-7T2, Class A9, 6.000% due 4/25/37 | 28,203 | ||||||||
64,016 | Series 2007-11T1, Class A12, 1.584% (1-Month USD-LIBOR + 0.350%) due 5/25/37(a) | 34,814 | ||||||||
31,346 | Series 2007-16CB, Class 5A1, 6.250% due 8/25/37 | 27,995 | ||||||||
Countrywide Asset-Backed Certificates: | ||||||||||
1,000,363 | Series 2007-13, Class 1A, 2.074% (1-Month USD-LIBOR + 0.840%) due 10/25/47(a) | 989,463 | ||||||||
756,896 | Series 2007-SEA2, Class 1A1, 2.234% (1-Month USD-LIBOR + 1.000%) due 8/25/47(a)(b) | 742,907 | ||||||||
Countrywide Home Loan Mortgage Pass-Through Trust: | ||||||||||
5,958 | Series 2004-12, Class 11A1, 3.551% due 8/25/34(a) | 5,701 | ||||||||
117,059 | Series 2005-2, Class 1A1, 1.874% (1-Month USD-LIBOR + 0.640%) due 3/25/35(a) | 103,128 | ||||||||
9,794 | Series 2005-3, Class 2A1, 1.814% (1-Month USD-LIBOR + 0.580%) due 4/25/35(a) | 9,053 | ||||||||
106,453 | Series 2005-9, Class 1A3, 1.694% (1-Month USD-LIBOR + 0.460%) due 5/25/35(a) | 95,474 | ||||||||
31,969 | Series 2005-11, Class 3A1, 2.417% due 4/25/35(a) | 26,776 | ||||||||
46,483 | Series 2005-HYB9, Class 3A2A, 3.309% (1-Year USD-LIBOR + 1.750%) due 2/20/36(a) | 41,712 | ||||||||
979,405 | Series 2007-4, Class 1A47, 6.000% due 5/25/37 | 813,105 | ||||||||
5,174 | Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR20, Class 2A1, 3.311% due 8/25/33(a) | 5,219 | ||||||||
872,700 | Credit Suisse Mortgage Capital Certificates, Series 2007-NC1, Class 2A1, 1.834% (1-Month USD-LIBOR + 0.600%) due 9/25/37(a) | 853,304 | ||||||||
41,828 | Credit Suisse Mortgage Capital Trust, Series 2007-5R, Class A5, 6.500% due 7/26/36 | 24,944 | ||||||||
188,296 | CSAB Mortgage-Backed Trust, Series 2006-4, Class A6A, step bond to yield, 5.684% due 12/25/36 | 97,422 | ||||||||
352,522 | CWABS Asset-Backed Certificates Trust, Series 2006-18, Class 2A2, 1.394% (1-Month USD-LIBOR + 0.160%) due 3/25/37(a) | 345,845 | ||||||||
851,366 | Deutsche Alternative-A Securities Mortgage Loan Trust, Series 2007-3, Class 2A1, 1.984% (1-Month USD-LIBOR + 0.750%) due 10/25/47(a) | 754,502 | ||||||||
881,353 | Ellington Loan Acquisition Trust, Series 2007-2, Class A1, 2.284% (1-Month USD-LIBOR + 1.050%) due 5/25/37(a)(b) | 848,400 | ||||||||
266,481 | GBP | Eurohome UK Mortgages PLC, Series 2007-1, Class A, 0.439% (3-Month GBP-LIBOR + 0.150%) due 6/15/44(a) | 333,930 | |||||||
Eurosail-UK PLC: | ||||||||||
10,879 | GBP | Series 2007-4X, Class A2A, 0.590% (3-Month GBP-LIBOR + 0.300%) due 6/13/45(a) | 14,074 | |||||||
500,000 | GBP | Series 2007-4X, Class A3, 1.240% (3-Month GBP-LIBOR + 0.950%) due 6/13/45(a) | 644,385 | |||||||
285,304 | GBP | Series 2007-6NCX, Class A2A, 0.990% (3-Month GBP-LIBOR + 0.700%) due 9/13/45(a) | 368,080 | |||||||
Federal Home Loan Mortgage Corp. (FHLMC): | ||||||||||
38,378 | Series T-35, Class A, 1.514% (1-Month USD-LIBOR + 0.280%) due 9/25/31(a) | 37,944 | ||||||||
55,277 | Series T-62, Class 1A1, 1.976% (1-Year Treasury Average Rate + 1.200%) due 10/25/44(a) | 56,228 | ||||||||
Federal Home Loan Mortgage Corp. (FHLMC), REMICS: | ||||||||||
49,510 | Series 2391, Class FJ, 1.727% (1-Month USD-LIBOR + 0.500%) due 4/15/28(a) | 49,727 | ||||||||
77,228 | Series 2614, Class SJ, 16.289% (1-Month USD-LIBOR + 19.663%) due 5/15/33(a) | 107,615 | ||||||||
360,659 | Series 4579, Class FD, 1.577% (1-Month USD-LIBOR + 0.350%) due 1/15/38(a) | 359,300 | ||||||||
360,659 | Series 4579, Class SD, 1.465% due 1/15/38(a)(g) | 20,914 |
See Notes to Financial Statements.
212
Schedules of Investments |
(continued) |
International Fixed Income Fund | ||||||||||
Face Amount/Units† | Security | Value | ||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 20.1% — (continued) | ||||||||||
$ | 8,705 | Federal National Mortgage Association (FNMA), Grantor Trust, Series 2004-T3, Class 1A1, 6.000% due 2/25/44 | $ | 10,038 | ||||||
Federal National Mortgage Association (FNMA), REMICS: | ||||||||||
8,143 | Series 2003-34, Class A1, 6.000% due 4/25/43 | 9,249 | ||||||||
29 | Series 2005-120, Class NF, 1.334% (1-Month USD-LIBOR + 0.100%) due 1/25/21(a) | 29 | ||||||||
19,888 | Series 2006-48, Class TF, 1.634% (1-Month USD-LIBOR + 0.400%) due 6/25/36(a) | 19,962 | ||||||||
159,770 | Series 2009-104, Class FA, 2.034% (1-Month USD-LIBOR + 0.800%) due 12/25/39(a) | 162,512 | ||||||||
693,433 | Series 2010-46, Class WF, 1.984% (1-Month USD-LIBOR + 0.750%) due 5/25/40(a) | 706,619 | ||||||||
115,501 | Series 2013-130, Class FB, 1.684% (1-Month USD-LIBOR + 0.450%) due 1/25/44(a) | 115,983 | ||||||||
63,401 | Federal National Mortgage Association (FNMA), REMICS, Whole Loan, Series 2004-W12, Class 1A1, 6.000% due 7/25/44 | 73,513 | ||||||||
536,236 | Finn Square CLO Ltd., Series 2012-1A, Class A1R, 2.506% (3-Month USD-LIBOR + 1.210%) due 12/24/23(a)(b) | 538,632 | ||||||||
366,839 | First Franklin Mortgage Loan Trust, Series 2005-FF9, Class A4, 1.594% (1-Month USD-LIBOR + 0.360%) due 10/25/35(a) | 367,478 | ||||||||
800,000 | Flagship VII LTD, Series 2013-7A, Class A1R, 2.427% (3-Month USD-LIBOR + 1.120%) due 1/20/26(a)(b) | 800,516 | ||||||||
37,418 | EUR | Giovecca Mortgages SRL, Series 2011-1, Class A, 0.268% (3-Month EURIBOR + 0.600%) due 4/23/48(a) | 44,632 | |||||||
70,760 | GMACM Mortgage Loan Trust, Series 2005-AR6, Class 3A1, 3.516% due 11/19/35(a) | 68,047 | ||||||||
1,000,000 | GoldenTree Loan Opportunities IX Ltd., Series 2014-9A, Class AR, 2.681% (3-Month USD-LIBOR + 1.370%) due 10/29/26(a)(b) | 1,002,734 | ||||||||
491,305 | Government National Mortgage Association, Series 2016-H15, Class FA, 2.024% (1-Month USD-LIBOR + 0.800%) due 7/20/66(a) | 495,433 | ||||||||
18,505 | GSR Mortgage Loan Trust, Series 2003-1, Class A2, 2.560% (1-Year CMT Index + 1.750%) due 3/25/33(a) | 18,372 | ||||||||
432,855 | GSR Mortgage Loan Trust 2005-AR7, Series 2005-AR7, Class 2A1, 3.278% due 11/25/35(a) | 432,670 | ||||||||
Harborview Mortgage Loan Trust: | ||||||||||
31,476 | Series 2005-2, Class 2A1A, 1.671% (1-Month USD-LIBOR + 0.440%) due 5/19/35(a) | 29,596 | ||||||||
73,799 | Series 2005-3, Class 2A1A, 1.471% (1-Month USD-LIBOR + 0.240%) due 6/19/35(a) | 72,704 | ||||||||
122,642 | Series 2006-SB1, Class A1A, 1.680% (1-Year Treasury Average Rate + 0.850%) due 12/19/36(a) | 118,802 | ||||||||
149,507 | Series 2007-1, Class 2A1A, 1.361% (1-Month USD-LIBOR + 0.130%) due 3/19/37(a) | 141,075 | ||||||||
JPMorgan Mortgage Trust: | ||||||||||
6,585 | Series 2003-A2, Class 3A1, 2.990% due 11/25/33(a) | 6,365 | ||||||||
2,862 | Series 2005-A1, Class 6T1, 3.613% due 2/25/35(a) | 2,839 | ||||||||
104,567 | JPMorgan Resecuritization Trust, Series 2009-7, Class 17A1, 5.390% due 7/27/37(a)(b) | 107,381 | ||||||||
800,000 | KVK CLO Ltd., Series 2013-2A, Class AR, 2.454% (3-Month USD-LIBOR + 1.150%) due 1/15/26(a)(b) | 800,752 | ||||||||
650,900 | GBP | Ludgate Funding PLC, Series 2007-1, Class A2A, 0.464% (3-Month GBP-LIBOR + 0.160%) due 1/1/61(a) | 799,020 | |||||||
Merrill Lynch Mortgage Investors Trust: | ||||||||||
11,584 | Series 2003-A2, Class 1A1, 3.107% due 2/25/33(a) | 11,272 | ||||||||
39,115 | Series 2005-2, Class 1A, 2.665% (6-Month USD-LIBOR + 1.250%) due 10/25/35(a) | 39,148 | ||||||||
34,869 | GBP | Money Partners Securities 4 PLC, Series 4X, Class A1A, 0.669% (3-Month GBP-LIBOR + 0.380%) due 3/15/40(a) | 45,111 | |||||||
700,000 | GBP | Newgate Funding, Series 2007-1X, Class A3, 0.453% (3-Month GBP-LIBOR + 0.160%) due 12/1/50(a) | 829,979 | |||||||
400,000 | NewMark Capital Funding 2014-2 CLO Ltd., Series 2014-2A, Class A1R, 2.372% (3-Month USD-LIBOR + 1.220%) due 6/30/26(a)(b) | 400,012 | ||||||||
Puma Finance Pty Ltd.: | ||||||||||
216,160 | AUD | Series 2014-1, Class A, 2.500% (1-Month Australian Bank Bill + 0.900%) due 5/13/45(a) | 172,108 | |||||||
206,400 | AUD | Series 2014-2, Class A, 2.385% (1-Month Australian Bank Bill + 0.790%) due 10/18/45(a) | 163,797 | |||||||
350,818 | RAAC Trust, Series 2007-SP3, Class A1, 2.434% (1-Month USD-LIBOR + 1.200%) due 9/25/47(a) | 349,154 |
See Notes to Financial Statements.
213
Schedules of Investments |
(continued) |
International Fixed Income Fund | ||||||||||
Face Amount/Units† | Security | Value | ||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 20.1% — (continued) | ||||||||||
$ | 72,641 | RALI Trust, Series 2007-QO2, Class A1, 1.384% (1-Month USD-LIBOR + 0.150%) due 2/25/47(a) | $ | 48,445 | ||||||
Residential Asset Securitization Trust: | ||||||||||
21,886 | Series 2005-A15, Class 5A1, 5.750% due 2/25/36 | 17,485 | ||||||||
53,473 | Series 2006-R1, Class A2, 1.634% (1-Month USD-LIBOR + 0.400%) due 1/25/46(a) | 26,642 | ||||||||
394,234 | GBP | Residential Mortgage Securities 28 PLC, Series 28, Class A, 1.439% (3-Month GBP-LIBOR + 1.150%) due 6/15/46(a) | 513,797 | |||||||
319,964 | GBP | ResLoC UK PLC, Series 2007-1X, Class A3B, 0.449% (3-Month GBP-LIBOR + 0.160%) due 12/15/43(a) | 395,235 | |||||||
RMAC Securities No 1 PLC: | ||||||||||
301,945 | GBP | Series 2006-NS1X, Class A2A, 0.439% (3-Month GBP-LIBOR + 0.150%) due 6/12/44(a) | 375,568 | |||||||
571,704 | GBP | Series 2006-NS3X, Class A2A, 0.439% (3-Month GBP-LIBOR + 0.150%) due 6/12/44(a) | 706,647 | |||||||
Soundview Home Loan Trust: | ||||||||||
488,431 | Series 2006-3, Class A3, 1.394% (1-Month USD-LIBOR + 0.160%) due 11/25/36(a) | 459,803 | ||||||||
1,300,000 | Series 2006-3, Class A4, 1.484% (1-Month USD-LIBOR + 0.250%) due 11/25/36(a) | 1,074,232 | ||||||||
Structured Adjustable Rate Mortgage Loan Trust: | ||||||||||
10,775 | Series 2004-1, Class 4A1, 3.470% due 2/25/34(a) | 10,780 | ||||||||
41,469 | Series 2004-4, Class 3A2, 3.449% due 4/25/34(a) | 42,087 | ||||||||
58,368 | Series 2004-19, Class 2A1, 2.132% (1-Year Treasury Average Rate + 1.400%) due 1/25/35(a) | 54,980 | ||||||||
Structured Asset Mortgage Investments II Trust: | ||||||||||
73,082 | Series 2005-AR2, Class 2A1, 1.694% (1-Month USD-LIBOR + 0.460%) due 5/25/45(a) | 68,623 | ||||||||
81,467 | Series 2005-AR8, Class A1A, 1.514% (1-Month USD-LIBOR + 0.280%) due 2/25/36(a) | 77,923 | ||||||||
55,787 | Series 2006-AR5, Class 1A1, 1.444% (1-Month USD-LIBOR + 0.210%) due 5/25/36(a) | 44,067 | ||||||||
300,530 | Series 2007-AR4, Class A3, 1.454% (1-Month USD-LIBOR + 0.220%) due 9/25/47(a) | 283,602 | ||||||||
132,474 | Series 2007-AR6, Class A1, 2.330% (1-Year Treasury Average Rate + 1.500%) due 8/25/47(a) | 125,838 | ||||||||
54,224 | Structured Asset Securities Corp. Trust, Series 2005-10, Class 4A1, 5.500% due 12/25/34 | 53,811 | ||||||||
900,000 | Symphony CLO XII Ltd., Series 2013-12A, Class AR, 2.334% (3-Month USD-LIBOR + 1.030%) due 10/15/25(a)(b) | 900,032 | ||||||||
900,000 | TICP CLO I Ltd., Series 2014-1A, Class A1R, 2.494% (3-Month USD-LIBOR + 1.180%) due 4/26/26(a)(b) | 904,050 | ||||||||
372,651 | US Residential Opportunity Fund III Trust, Series 2016-3III, Class A, step bond to yield, 3.598% due 10/27/36(b) | 372,144 | ||||||||
900,000 | Venture XVI CLO Ltd., Series 2014-16A, Class A1R, 2.424% (3-Month USD-LIBOR + 1.120%) due 4/15/26(a)(b) | 900,019 | ||||||||
WaMu Mortgage Pass-Through Certificates Trust: | ||||||||||
15,834 | Series 2002-AR9, Class 1A, 2.230% (1-Year Treasury Average Rate + 1.400%) due 8/25/42(a) | 15,367 | ||||||||
5,126 | Series 2003-AR5, Class A7, 3.062% due 6/25/33(a) | 5,227 | ||||||||
382,614 | Series 2003-AR9, Class 2A, 3.243% due 9/25/33(a) | 387,297 | ||||||||
462,814 | Series 2004-AR1, Class A, 3.140% due 3/25/34(a) | 473,058 | ||||||||
59,265 | Series 2005-AR13, Class A1A1, 1.524% (1-Month USD-LIBOR + 0.290%) due 10/25/45(a) | 59,422 | ||||||||
99,190 | Series 2006-AR13, Class 2A, 2.148% (11th District Cost of Funds Index + 1.500%) due 10/25/46(a) | 96,992 | ||||||||
12 | Washington Mutual Mortgage Loan Trust, Series 2001-7, Class A, 1.972% due 5/25/41(a) | 12 | ||||||||
28,201 | Washington Mutual Mortgage Pass-Through Certificates WMALT, Series 2006-AR5, Class 3A, 1.770% (1-Year Treasury Average Rate + 0.940%) due 7/25/46(a) | 20,970 | ||||||||
163,823 | Washington Mutual MSC Mortgage Pass-Through Certificates Trust, Series 2002-AR3, Class 1A7, 3.138% due 12/25/32(a) | 164,309 | ||||||||
217,719 | Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR2, Class 2A1, 3.154% due 3/25/36(a) | 220,509 | ||||||||
|
| |||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost — $30,290,470) | 29,650,444 | |||||||||
|
|
See Notes to Financial Statements.
214
Schedules of Investments |
(continued) |
International Fixed Income Fund | ||||||||||
Face Amount/Units† | Security | Value | ||||||||
MORTGAGE-BACKED SECURITIES — 5.5% | ||||||||||
CMHC — 0.5% | ||||||||||
Canadian Mortgage and Housing Corp. (CMHC): | ||||||||||
216,016 | CAD | 1.525% due 6/1/20(f) | $ | 172,865 | ||||||
512,046 | CAD | 1.525% due 7/1/20(f) | 411,416 | |||||||
153,035 | CAD | 1.525% due 8/1/20(f) | 122,952 | |||||||
|
| |||||||||
TOTAL CMHC | 707,233 | |||||||||
|
| |||||||||
FNMA — 5.0% | ||||||||||
Federal National Mortgage Association (FNMA): | ||||||||||
$ | 89,581 | 3.000% due 1/1/22 | 93,198 | |||||||
65,079 | 3.107% (1-Year CMT Index + 2.360%) due 11/1/34(a) | 69,001 | ||||||||
114,076 | 6.500% due 8/1/37 | 127,932 | ||||||||
3,000,000 | 3.000% due 10/1/47(h) | 3,030,117 | ||||||||
4,000,000 | 3.500% due 11/1/47(h) | 4,131,250 | ||||||||
|
| |||||||||
TOTAL FNMA | 7,451,498 | |||||||||
|
| |||||||||
GNMA — 0.0% | ||||||||||
Government National Mortgage Association II (GNMA): | ||||||||||
6,404 | 6.000% due 9/20/38 | 6,882 | ||||||||
|
| |||||||||
TOTAL MORTGAGE-BACKED SECURITIES (Cost — $8,056,257) | 8,165,613 | |||||||||
|
| |||||||||
U.S. GOVERNMENT OBLIGATIONS — 3.9% | ||||||||||
1,650,390 | U.S. Treasury Inflation Indexed Bonds, 2.375% due 1/15/25(i) | 1,902,287 | ||||||||
U.S. Treasury Inflation Indexed Notes: | ||||||||||
201,446 | 0.125% due 4/15/22 | 202,146 | ||||||||
3,206,020 | 0.250% due 1/15/25(c)(i) | 3,198,617 | ||||||||
500,000 | U.S. Treasury Notes, 2.375% due 5/15/27 | 510,918 | ||||||||
|
| |||||||||
TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost — $5,768,934) | 5,813,968 | |||||||||
|
| |||||||||
SENIOR LOAN — 0.2% | ||||||||||
300,000 | CenturyLink Inc., 2.750% (Ticking Fee (Funded) + 2.750%) due 1/31/25 (Cost — $298,525) | 294,188 | ||||||||
|
| |||||||||
ASSET-BACKED SECURITIES — 0.1% | ||||||||||
Automobiles — 0.0% | ||||||||||
51,791 | Chrysler Capital Auto Receivables Trust, Series 2016-AA, Class A2, 1.470% due 4/15/19(b) | 51,790 | ||||||||
|
| |||||||||
Student Loans — 0.1% | ||||||||||
130,524 | Massachusetts Educational Financing Authority, Series 2008-1, Class A1, 2.264% (3-Month USD-LIBOR + 0.950%) due 4/25/38(a) | 131,199 | ||||||||
|
| |||||||||
TOTAL ASSET-BACKED SECURITIES (Cost — $182,315) | 182,989 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS (Cost — $158,943,854) | 162,970,305 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 13.8% | ||||||||||
SOVEREIGN BONDS — 12.3% | ||||||||||
Japan — 11.2% | ||||||||||
Japan Treasury Discount Bills: | ||||||||||
450,000,000 | JPY | (0.122)% due 9/4/17(j) | 4,094,014 | |||||||
190,000,000 | JPY | (0.097)% due 9/11/17(j) | 1,728,476 | |||||||
590,000,000 | JPY | (0.123)% due 10/30/17(j) | 5,367,723 | |||||||
140,000,000 | JPY | (0.146)% due 11/27/17(j) | 1,273,771 | |||||||
450,000,000 | JPY | (0.176)% due 12/4/17(j) | 4,094,566 | |||||||
|
| |||||||||
Total Japan | 16,558,550 | |||||||||
|
|
See Notes to Financial Statements.
215
Schedules of Investments |
(continued) |
International Fixed Income Fund | ||||||||||
Face Amount† | Security | Value | ||||||||
Mexico — 1.1% | ||||||||||
301,000,000 | MXN | Mexico Cetes, 6.946% due 3/1/18(j) | $ | 1,628,241 | ||||||
|
| |||||||||
TOTAL SOVEREIGN BONDS (Cost — $17,898,306) | 18,186,791 | |||||||||
|
| |||||||||
TIME DEPOSITS — 1.5% | ||||||||||
28,412 | AUD | ANZ National Bank — London, 0.484% due 9/1/17 | 22,586 | |||||||
BBH — Grand Cayman: | ||||||||||
737 | CHF | (1.450)% due 9/1/17 | 768 | |||||||
52,979 | SEK | (0.929)% due 9/1/17 | 6,669 | |||||||
291 | DKK | (0.800)% due 9/1/17 | 46 | |||||||
91,000 | NOK | 0.100% due 9/1/17 | 11,732 | |||||||
136,288 | CAD | 0.150% due 9/1/17 | 109,157 | |||||||
38,195 | NZD | 0.800% due 9/1/17 | 27,428 | |||||||
252,969 | ZAR | 5.818% due 9/1/17 | 19,443 | |||||||
222 | SGD | 0.010% due 9/4/17 | 164 | |||||||
Citibank — London: | ||||||||||
234,408 | EUR | (0.556)% due 9/1/17 | 279,098 | |||||||
90,377 | GBP | 0.050% due 9/1/17 | 116,875 | |||||||
$ | 1,181,708 | Citibank — New York, 0.590% due 9/1/17 | 1,181,708 | |||||||
366,270 | JPMorgan Chase & Co. — New York, 0.590% due 9/1/17 | 366,270 | ||||||||
11,701,363 | JPY | Sumitomo — Tokyo, (0.230)% due 9/1/17 | 106,424 | |||||||
|
| |||||||||
TOTAL TIME DEPOSITS (Cost — $2,248,368) | 2,248,368 | |||||||||
|
| |||||||||
U.S. GOVERNMENT OBLIGATION — 0.0% | ||||||||||
$ | 9,000 | U.S. Treasury Bills, 1.065% due 1/4/18(i)(j) (Cost — $8,967) | 8,967 | |||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS IN SECURITIES (Cost — $20,155,641) | 20,444,126 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS IN SECURITIES (Cost — $179,099,495) | 183,414,431 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS IN PURCHASED OPTIONS (Cost — $124,454) | 30,047 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 124.1% (Cost — $179,223,949) | 183,444,478 | |||||||||
|
| |||||||||
Liabilities in Excess of Other Assets — (24.1)% | (35,641,353 | ) | ||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $ | 147,803,125 | ||||||||
|
|
† | Amount denominated in U.S. dollars, unless otherwise noted. |
(a) | Variable rate security. Interest rate disclosed is that which was in effect at August 31, 2017. |
(b) | Restricted security that may be sold to “qualified institutional buyers” pursuant to the conditions of Rule 144A under the Securities Act of 1933, as amended. |
This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted. The aggregate value of restricted 144A holdings at August 31, 2017, amounts to approximately $35,295,232 and represents 23.88% of net assets. |
(c) | Position, or portion thereof, has been segregated to collateralize reverse repurchase agreement. |
(d) | Security is perpetual in nature and has no stated maturity date. |
(e) | Security is currently in default. |
(f) | Illiquid security. |
(g) | Interest only security. |
(h) | This security is traded on a TBA basis (see Note 1). |
(i) | All or a portion of this security is held at the broker as collateral for open OTC derivative instruments. |
(j) | Rate shown represents yield-to-maturity. |
See Notes to Financial Statements.
216
Schedules of Investments |
(continued) |
International Fixed Income Fund |
At August 31, 2017, for International Fixed Income Fund the aggregate cost of investments, the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:
Fund | Aggregate Cost For Federal Income Tax Purposes | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||||||||||
International Fixed Income Fund | $ | 182,466,422 | $ | 16,114,176 | $ | (15,009,283 | ) | $ | 1,104,893 |
Abbreviations used in this schedule: | ||
ABS | — Asset-Based Security | |
CLO | — Collateralized Loan Obligation | |
EURIBOR | — Euro Interbank Offered rate | |
LIBOR | — London Interbank Offered rate | |
OTC | — Over the Counter | |
PLC | — Public Limited Company | |
REMICS | — Real Estate Mortgage Investment Conduit |
Summary of Investments by Security Type^ | ||||
Corporate Bonds & Notes | 34.5 | % | ||
Sovereign Bonds | 30.3 | |||
Collateralized Mortgage Obligations | 16.2 | |||
Mortgage-Backed Securities | 4.4 | |||
U.S. Government Obligation | 3.2 | |||
Senior Loan | 0.2 | |||
Asset-Backed Securities | 0.1 | |||
Purchased Options | 0.0 | * | ||
Short-Term Investments | 11.1 | |||
|
| |||
100.0 | % | |||
|
|
^ | As a percentage of total investments. |
* | Position represents less than 0.05%. |
Schedule of Options Contracts Purchased
Currency Options | ||||||||||||||||||||||||
Number of Contracts | Notional Amounts | Security Name | Counterparty | Expiration Date | Strike Price | Value | ||||||||||||||||||
463,000 | $463,000 | OTC U.S. Dollar versus Japanese Yen, Call | DUB | 4/17/20 | JPY 120.00 | $ | 7,150 | |||||||||||||||||
641,000 | 641,000 | OTC U.S. Dollar versus Japanese Yen, Call | BOA | 4/17/20 | JPY 120.00 | 9,898 | ||||||||||||||||||
748,000 | 748,000 | OTC U.S. Dollar versus Japanese Yen, Call | GSC | 4/20/20 | JPY 120.00 | 11,589 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Currency Options | $ | 28,637 | ||||||||||||||||||||||
|
| |||||||||||||||||||||||
Floor Option | ||||||||||||||||||||||||
Number of Contracts | Notional Amounts | Security Name | Counterparty | Expiration Date | Exercise Rate | Value | ||||||||||||||||||
21,200,000 | $ | 27,901,532 | OTC 5-Year Interest Rate Floor, 3-Month USD-LIBOR, Call | SOG | 10/26/17 | 0.400% | $ | — | ||||||||||||||||
|
|
See Notes to Financial Statements.
217
Schedules of Investments |
(continued) |
International Fixed Income Fund |
Interest Rate Swaptions | ||||||||||||||||||||||||
Number of Contracts | Notional Amounts | Security Name | Counterparty | Expiration Date | Strike Price | Value | ||||||||||||||||||
35,000,000 | $46,063,850 | OTC 1-Year Swaption, 3-Month USD-LIBOR, Put | GSC | 12/18/17 | 2.030% | $ | 105 | |||||||||||||||||
57,000,000 | 75,018,270 | OTC 1-Year Swaption, 3-Month USD-LIBOR, Put | GSC | 3/14/18 | 2.400 | 205 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Interest Rate Swaptions | $ | 310 | ||||||||||||||||||||||
|
| |||||||||||||||||||||||
Options on Futures | ||||||||||||||||||||||||
Number of Contracts | Notional Amounts | Security Name | Counterparty | Expiration Date | Strike Price | Value | ||||||||||||||||||
44 | $10,838,850 | 3-Month Eurodollar March Futures, Put | GSC | 3/19/18 | $ 98.25 | $ | 1,100 | |||||||||||||||||
41 | 5,199,313 | U.S. Treasury 10-Year Note December Futures, Put | GSC | 11/24/17 | 115.00 | — | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Options on Futures | $ | 1,100 | ||||||||||||||||||||||
|
| |||||||||||||||||||||||
TOTAL OPTIONS CONTRACTS PURCHASED (Cost — $124,454) | $ | 30,047 | ||||||||||||||||||||||
|
|
Schedule of Options Contracts Written
Currency Options | ||||||||||||||||||||||||
Number of Contracts | Notional Amounts | Security Name | Counterparty | Expiration Date | Strike Price | Value | ||||||||||||||||||
491,738 | $491,738 | OTC Euro versus U.S. Dollar, Call | DUB | 9/21/17 | $ | 1.20 | $ | 3,110 | ||||||||||||||||
413,000 | 413,000 | EUR | OTC Euro versus U.S. Dollar, Put | DUB | 9/21/17 | 1.14 | 209 | |||||||||||||||||
748,000 | 748,000 | OTC U.S. Dollar versus Korean Won, Put | GSC | 4/20/18 | KRW | 1,075.00 | 8,155 | |||||||||||||||||
733,000 | 733,000 | OTC U.S. Dollar versus Korean Won, Put | JPM | 4/25/18 | KRW | 1,075.00 | 8,228 | |||||||||||||||||
215,000 | 215,000 | OTC U.S. Dollar versus Korean Won, Put | BNP | 4/25/18 | KRW | 1,075.00 | 2,413 | |||||||||||||||||
|
| |||||||||||||||||||||||
Total Currency Options | $ | 22,115 | ||||||||||||||||||||||
|
| |||||||||||||||||||||||
Floor Option | ||||||||||||||||||||||||
Number of Contracts | Notional Amounts | Security Name | Counterparty | Expiration Date | Exercise Rate | Value | ||||||||||||||||||
21,200,000 | $ | 27,901,532 | OTC 5-Year Interest Rate Floor, 3-Month USD-LIBOR, Call | SOG | 10/26/17 | 0.01% | $ | — | ||||||||||||||||
|
| |||||||||||||||||||||||
Option on Futures | ||||||||||||||||||||||||
Number of Contracts | Notional Amounts | Security Name | Counterparty | Expiration Date | Strike Price | Value | ||||||||||||||||||
44 | $10,838,850 | 3-Month Eurodollar March Futures, Call | GSC | 3/19/18 | $ | 98.75 | $ | 2,200 | ||||||||||||||||
|
| |||||||||||||||||||||||
TOTAL OPTIONS CONTRACTS WRITTEN (Premiums received — $42,914) | $ | 24,315 | ||||||||||||||||||||||
|
|
See Notes to Financial Statements.
218
Schedules of Investments |
(continued) |
International Fixed Income Fund |
Schedule of Reverse Repurchase Agreements
Face Amounts† | Security | Value | ||||||
BNP Paribas SA: | ||||||||
5,476,742 | EUR | (0.350)% due 11/2/17 | $ | 6,520,883 | ||||
Credit Suisse Securities (USA) LLC: | ||||||||
$ | 3,133,000 | 1.500% due 9/6/17 | 3,133,000 | |||||
2,321,000 | 1.550% due 9/6/17 | 2,321,000 | ||||||
Scotia Capital (USA) Inc.: | ||||||||
925,875 | 1.250% due 10/27/17 | 925,875 | ||||||
Standard Chartered Bank: | ||||||||
5,079,213 | GBP | 0.370% due 10/11/17 | 6,568,438 | |||||
4,539,449 | EUR | (0.450)% due 10/19/17 | 5,404,895 | |||||
98,554 | EUR | (0.350)% due 11/2/17 | 117,344 | |||||
UBS AG: | ||||||||
964,359 | EUR | (0.340)% due 11/2/17 | 1,148,214 | |||||
1,775,440 | EUR | (0.320)% due 11/2/17 | 2,113,927 | |||||
|
| |||||||
TOTAL REVERSE REPURCHASE AGREEMENTS (Proceeds — $28,138,807) | $ | 28,253,576 | ||||||
|
|
At August 31, 2017 International Fixed Income Fund had cash collateral from broker in the amount of $308,000 for reverse repurchase agreements.
For the year ended August 31, 2017, the average borrowing and interest rate under the reverse repurchase agreements were $21,680,700 and 0.330%, respectively.
At August 31, 2017, International Fixed Income Fund had open exchange traded futures contracts as described below.
The unrealized appreciation (depreciation) on the open contracts reflected in the accompanying financial statements were as follows:
Open Futures Contracts | Number of Contracts | Expiration Date (Month/Year) | Notional Amounts | Market Value | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Contracts to Buy: | ||||||||||||||||||||
90-Day Eurodollar March Futures | 33 | 3/18 | $ | 8,105,830 | $ | 8,129,550 | $ | 23,720 | ||||||||||||
90-Day Eurodollar September Futures | 88 | 9/17 | 21,694,373 | 21,709,050 | 14,677 | |||||||||||||||
Australian Government 3-Year Bond September Futures | 3 | 9/17 | 267,907 | 265,906 | (2,001 | ) | ||||||||||||||
Australian Government 10-Year Bond September Futures | 19 | 9/17 | 1,981,455 | 1,943,140 | (38,315 | ) | ||||||||||||||
Bank Accept December Futures | 80 | 12/17 | 15,781,416 | 15,779,905 | (1,511 | ) | ||||||||||||||
Bank Accept September Futures | 2 | 9/17 | 395,297 | 394,958 | (339 | ) | ||||||||||||||
Euro-Bobl December Futures | 16 | 12/17 | 2,507,318 | 2,506,270 | (1,048 | ) | ||||||||||||||
Euro-BTP September Futures | 47 | 9/17 | 7,497,642 | 7,685,622 | 187,980 | |||||||||||||||
Euro-Bund December Futures | 9 | 12/17 | 1,729,753 | 1,738,218 | 8,465 | |||||||||||||||
Euro-Buxl 30-Year Bond September Futures | 13 | 9/17 | 2,571,280 | 2,605,642 | 34,362 | |||||||||||||||
Euro-OAT September Futures | 10 | 9/17 | 1,787,999 | 1,795,024 | 7,025 | |||||||||||||||
Euro-Schatz Note September Futures | 80 | 9/17 | 10,682,036 | 10,693,466 | 11,430 | |||||||||||||||
Japan Government 10-Year Bond September Futures | 7 | 9/17 | 9,583,220 | 9,621,101 | 37,881 | |||||||||||||||
U.S. Treasury 5-Year Note December Futures | 102 | 12/17 | 12,068,672 | 12,087,000 | 18,328 | |||||||||||||||
U.S. Treasury 10-Year Note December Futures | 175 | 12/17 | 22,097,852 | 22,222,266 | 124,414 | |||||||||||||||
U.S. Treasury Ultra Long Bond December Futures | 50 | 12/17 | 8,390,234 | 8,453,125 | 62,891 | |||||||||||||||
United Kingdom Treasury 10-Year Gilt December Futures | 6 | 12/17 | 991,044 | 987,746 | (3,298 | ) | ||||||||||||||
|
| |||||||||||||||||||
484,661 | ||||||||||||||||||||
|
|
See Notes to Financial Statements.
219
Schedules of Investments |
(continued) |
International Fixed Income Fund |
Open Futures Contracts | Number of Contracts | Expiration Date (Month/Year) | Notional Amounts | Market Value | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Contracts to Sell: | ||||||||||||||||||||
90-Day Eurodollar December Futures | 64 | 12/17 | $ | 15,766,680 | $ | 15,773,600 | $ | (6,920 | ) | |||||||||||
90-Day Eurodollar March Futures | 33 | 3/19 | 8,060,554 | 8,113,463 | (52,909 | ) | ||||||||||||||
90-Day Eurodollar September Futures | 90 | 9/18 | 22,075,380 | 22,151,250 | (75,870 | ) | ||||||||||||||
U.S. Treasury 2-Year Note December Futures | 12 | 12/17 | 2,595,750 | 2,595,750 | — | |||||||||||||||
U.S. Treasury Long Bond December Futures | 35 | 12/17 | 5,434,052 | 5,463,281 | (29,229 | ) | ||||||||||||||
|
| |||||||||||||||||||
(164,928 | ) | |||||||||||||||||||
|
| |||||||||||||||||||
Net Unrealized Appreciation on Open Exchange Traded Futures Contracts | $ | 319,733 | ||||||||||||||||||
|
|
At August 31, 2017, International Fixed Income Fund had deposited cash of $ 798,000 with a broker or brokers as margin collateral on open exchange traded futures contracts.
At August 31, 2017, International Fixed Income Fund had open forward foreign currency contracts as described below.
The unrealized appreciation (depreciation) on the open contracts reflected in the accompanying financial statements were as follows:
Foreign Currency | Local Currency | In Exchange For | Counterparty | Market Value | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
Contracts to Buy: | ||||||||||||||||||||||||||||
Australian Dollar | 327,000 | USD | 261,046 | JPM | $ | 259,949 | 9/5/17 | $ | (1,097 | ) | ||||||||||||||||||
Brazilian Real | 4,225,693 | USD | 1,301,615 | BNP | 1,342,406 | 9/5/17 | 40,791 | |||||||||||||||||||||
Brazilian Real | 248,455 | USD | 78,947 | BOA | 78,928 | 9/5/17 | (19 | ) | ||||||||||||||||||||
Brazilian Real | 1,564,218 | USD | 497,034 | DUB | 496,916 | 9/5/17 | (118 | ) | ||||||||||||||||||||
Brazilian Real | 899,947 | USD | 285,961 | GSC | 285,893 | 9/5/17 | (68 | ) | ||||||||||||||||||||
Brazilian Real | 1,513,073 | USD | 480,783 | UBS | 480,669 | 9/5/17 | (114 | ) | ||||||||||||||||||||
Brazilian Real | 1,513,073 | USD | 470,074 | UBS | 478,500 | 10/3/17 | 8,426 | |||||||||||||||||||||
British Pound | 124,000 | USD | 164,307 | HSBC | 160,357 | 9/5/17 | (3,950 | ) | ||||||||||||||||||||
British Pound | 8,705,189 | USD | 11,293,959 | SOG | 11,257,545 | 9/5/17 | (36,414 | ) | ||||||||||||||||||||
Canadian Dollar | 8,022,000 | USD | 6,432,008 | HSBC | 6,425,053 | 9/5/17 | (6,955 | ) | ||||||||||||||||||||
Chinese Offshore Renminbi | 8,467,144 | USD | 1,230,546 | GSC | 1,277,719 | 12/5/17 | 47,173 | |||||||||||||||||||||
Danish Krone | 11,023,000 | USD | 1,706,559 | GSC | 1,767,407 | 10/2/17 | 60,848 | |||||||||||||||||||||
Danish Krone | 6,785,000 | USD | 985,404 | GSC | 1,087,894 | 10/2/17 | 102,490 | |||||||||||||||||||||
Danish Krone | 815,000 | USD | 124,959 | UBS | 130,676 | 10/2/17 | 5,717 | |||||||||||||||||||||
Danish Krone | 37,873,000 | USD | 5,895,652 | JPM | 6,105,014 | 1/2/18 | 209,362 | |||||||||||||||||||||
Danish Krone | 7,604,000 | USD | 1,190,080 | GSC | 1,232,882 | 4/3/18 | 42,802 | |||||||||||||||||||||
Euro | 65,000 | USD | 76,452 | BOA | 77,392 | 9/5/17 | 940 | |||||||||||||||||||||
Euro | 115,000 | USD | 134,760 | GSC | 136,925 | 9/5/17 | 2,165 | |||||||||||||||||||||
Euro | 8,940,544 | USD | 10,782,724 | JPM | 10,645,063 | 9/5/17 | (137,661 | ) | ||||||||||||||||||||
Euro | 248,000 | USD | 294,028 | JPM | 295,281 | 9/5/17 | 1,253 | |||||||||||||||||||||
Indian Rupee | 11,831,200 | USD | 184,000 | GSC | 184,699 | 9/21/17 | 699 | |||||||||||||||||||||
Indian Rupee | 12,095,920 | USD | 188,000 | SCB | 188,832 | 9/21/17 | 832 | |||||||||||||||||||||
Indian Rupee | 71,026,161 | USD | 1,078,442 | GSC | 1,099,051 | 12/4/17 | 20,609 | |||||||||||||||||||||
Indian Rupee | 12,325,280 | USD | 188,000 | UBS | 190,720 | 12/4/17 | 2,720 | |||||||||||||||||||||
Indonesian Rupiah | 2,567,956,800 | USD | 190,999 | BCLY | 191,797 | 10/13/17 | 798 | |||||||||||||||||||||
Indonesian Rupiah | 3,502,200,000 | USD | 260,000 | BCLY | 261,575 | 10/13/17 | 1,575 | |||||||||||||||||||||
Indonesian Rupiah | 2,154,400,000 | USD | 159,999 | GSC | 160,909 | 10/13/17 | 910 | |||||||||||||||||||||
Indonesian Rupiah | 2,762,375,000 | USD | 205,000 | JPM | 206,318 | 10/13/17 | 1,318 | |||||||||||||||||||||
Indonesian Rupiah | 324,960,000 | USD | 24,000 | JPM | 24,271 | 10/13/17 | 271 |
See Notes to Financial Statements.
220
Schedules of Investments |
(continued) |
International Fixed Income Fund |
Foreign Currency | Local Currency | In Exchange For | Counterparty | Market Value | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
Contracts to Buy: (continued) | ||||||||||||||||||||||||||||
Japanese Yen | 38,500,000 | USD | 350,935 | JPM | $ | 350,159 | 9/5/17 | $ | (776 | ) | ||||||||||||||||||
Korean Won | 293,062,200 | USD | 258,000 | GSC | 261,652 | 4/24/18 | 3,652 | |||||||||||||||||||||
Korean Won | 84,337,500 | USD | 75,000 | BNP | 75,303 | 4/27/18 | 303 | |||||||||||||||||||||
Korean Won | 274,939,200 | USD | 244,000 | JPM | 245,487 | 4/27/18 | 1,487 | |||||||||||||||||||||
Malaysian Ringgit | 3,604,280 | USD | 845,361 | UBS | 843,540 | 9/18/17 | (1,821 | ) | ||||||||||||||||||||
Mexican Peso | 12,806,504 | USD | 710,328 | GSC | 704,785 | 12/15/17 | (5,543 | ) | ||||||||||||||||||||
New Zealand Dollar | 4,407,135 | USD | 3,202,959 | GSC | 3,164,763 | 9/5/17 | (38,196 | ) | ||||||||||||||||||||
New Zealand Dollar | 307,000 | USD | 223,354 | UBS | 220,457 | 9/5/17 | (2,897 | ) | ||||||||||||||||||||
New Zealand Dollar | 269,000 | USD | 195,762 | UBS | 193,169 | 9/5/17 | (2,593 | ) | ||||||||||||||||||||
New Zealand Dollar | 1,359,000 | USD | 990,990 | UBS | 975,898 | 9/5/17 | (15,092 | ) | ||||||||||||||||||||
Peruvian Sol | 1,185,338 | USD | 362,911 | GSC | 364,585 | 10/23/17 | 1,674 | |||||||||||||||||||||
Russian Ruble | 37,820,000 | USD | 620,000 | GSC | 650,106 | 9/21/17 | 30,106 | |||||||||||||||||||||
Russian Ruble | 72,538,958 | USD | 1,253,557 | HSBC | 1,246,907 | 9/21/17 | (6,650 | ) | ||||||||||||||||||||
Russian Ruble | 11,435,050 | USD | 187,000 | HSBC | 196,563 | 9/21/17 | 9,563 | |||||||||||||||||||||
Singapore Dollar | 651,958 | USD | 471,000 | HSBC | 480,870 | 9/18/17 | 9,870 | |||||||||||||||||||||
Singapore Dollar | 4,019,361 | USD | 2,940,279 | SCB | 2,964,594 | 9/18/17 | 24,315 | |||||||||||||||||||||
Swedish Krona | 50,945,000 | USD | 6,435,552 | SCB | 6,412,693 | 9/5/17 | (22,859 | ) | ||||||||||||||||||||
Swiss Franc | 496,000 | USD | 513,023 | JPM | 517,340 | 9/5/17 | 4,317 | |||||||||||||||||||||
Swiss Franc | 854,000 | USD | 878,944 | JPM | 890,743 | 9/5/17 | 11,799 | |||||||||||||||||||||
Turkish Lira | 2,630,654 | USD | 722,548 | BOA | 746,087 | 11/15/17 | 23,539 | |||||||||||||||||||||
|
| |||||||||||||||||||||||||||
389,501 | ||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||
Contracts to Sell: | ||||||||||||||||||||||||||||
Australian Dollar | 1,238,000 | USD | 974,951 | JPM | 984,148 | 9/5/17 | (9,197 | ) | ||||||||||||||||||||
Australian Dollar | 363,000 | USD | 284,816 | JPM | 288,567 | 9/5/17 | (3,751 | ) | ||||||||||||||||||||
Australian Dollar | 282,000 | USD | 220,920 | JPM | 224,176 | 9/5/17 | (3,256 | ) | ||||||||||||||||||||
Brazilian Real | 4,225,693 | USD | 1,342,726 | BNP | 1,342,406 | 9/5/17 | 320 | |||||||||||||||||||||
Brazilian Real | 248,455 | USD | 79,000 | BOA | 78,928 | 9/5/17 | 72 | |||||||||||||||||||||
Brazilian Real | 1,564,218 | USD | 498,000 | DUB | 496,916 | 9/5/17 | 1,084 | |||||||||||||||||||||
Brazilian Real | 464,335 | USD | 148,000 | GSC | 147,509 | 9/5/17 | 491 | |||||||||||||||||||||
Brazilian Real | 435,612 | USD | 139,000 | GSC | 138,384 | 9/5/17 | 616 | |||||||||||||||||||||
Brazilian Real | 1,513,073 | USD | 472,245 | UBS | 480,669 | 9/5/17 | (8,424 | ) | ||||||||||||||||||||
Brazilian Real | 3,700,000 | USD | 1,154,842 | BNP | 1,170,102 | 10/3/17 | (15,260 | ) | ||||||||||||||||||||
Brazilian Real | 1,820,042 | USD | 516,325 | DUB | 555,504 | 7/2/18 | (39,179 | ) | ||||||||||||||||||||
British Pound | 8,645,189 | USD | 11,372,358 | GSC | 11,179,953 | 9/5/17 | 192,405 | |||||||||||||||||||||
British Pound | 89,000 | USD | 115,588 | JPM | 115,095 | 9/5/17 | 493 | |||||||||||||||||||||
British Pound | 95,000 | USD | 122,574 | JPM | 122,854 | 9/5/17 | (280 | ) | ||||||||||||||||||||
British Pound | 8,705,189 | USD | 11,305,514 | SOG | 11,268,561 | 10/3/17 | 36,953 | |||||||||||||||||||||
Canadian Dollar | 8,022,000 | USD | 6,436,291 | BOA | 6,425,053 | 9/5/17 | 11,238 | |||||||||||||||||||||
Canadian Dollar | 50,000 | USD | 39,880 | HSBC | 40,046 | 9/5/17 | (166 | ) | ||||||||||||||||||||
Canadian Dollar | 8,022,000 | USD | 6,434,319 | HSBC | 6,426,942 | 10/3/17 | 7,377 | |||||||||||||||||||||
Chinese Offshore Renminbi | 8,240,429 | USD | 1,166,539 | UBS | 1,243,507 | 12/5/17 | (76,968 | ) | ||||||||||||||||||||
Danish Krone | 51,450,000 | USD | 7,928,506 | GSC | 8,249,398 | 10/2/17 | (320,892 | ) | ||||||||||||||||||||
Danish Krone | 2,290,000 | USD | 349,000 | HSBC | 367,174 | 10/2/17 | (18,174 | ) | ||||||||||||||||||||
Danish Krone | 11,074,000 | USD | 1,695,866 | HSBC | 1,775,585 | 10/2/17 | (79,719 | ) | ||||||||||||||||||||
Danish Krone | 800,000 | USD | 122,525 | HSBC | 128,271 | 10/2/17 | (5,746 | ) | ||||||||||||||||||||
Danish Krone | 995,000 | USD | 153,395 | JPM | 159,536 | 10/2/17 | (6,141 | ) | ||||||||||||||||||||
Danish Krone | 6,865,000 | USD | 1,055,008 | JPM | 1,100,721 | 10/2/17 | (45,713 | ) | ||||||||||||||||||||
Danish Krone | 6,785,000 | USD | 1,039,910 | JPM | 1,087,894 | 10/2/17 | (47,984 | ) | ||||||||||||||||||||
Danish Krone | 4,410,000 | USD | 678,596 | JPM | 707,091 | 10/2/17 | (28,495 | ) | ||||||||||||||||||||
Danish Krone | 1,145,000 | USD | 176,517 | JPM | 183,587 | 10/2/17 | (7,070 | ) | ||||||||||||||||||||
Danish Krone | 3,210,000 | USD | 493,992 | UBS | 514,685 | 10/2/17 | (20,693 | ) |
See Notes to Financial Statements.
221
Schedules of Investments |
(continued) |
International Fixed Income Fund |
Foreign Currency | Local Currency | In Exchange For | Counterparty | Market Value | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
Contracts to Sell: (continued) | ||||||||||||||||||||||||||||
Danish Krone | 890,000 | USD | 141,077 | UBS | $ | 142,701 | 10/2/17 | $ | (1,624 | ) | ||||||||||||||||||
Danish Krone | 20,382,000 | USD | 2,981,568 | BOA | 3,285,517 | 1/2/18 | (303,949 | ) | ||||||||||||||||||||
Danish Krone | 17,392,000 | USD | 2,543,991 | JPM | 2,803,538 | 1/2/18 | (259,547 | ) | ||||||||||||||||||||
Danish Krone | 7,500,000 | USD | 1,117,235 | BNP | 1,216,020 | 4/3/18 | (98,785 | ) | ||||||||||||||||||||
Danish Krone | 75,000 | USD | 11,504 | GSC | 12,160 | 4/3/18 | (656 | ) | ||||||||||||||||||||
Euro | 509,000 | USD | 602,041 | BNP | 606,041 | 9/5/17 | (4,000 | ) | ||||||||||||||||||||
Euro | 7,664,544 | USD | 9,002,543 | BNP | 9,125,793 | 9/5/17 | (123,250 | ) | ||||||||||||||||||||
Euro | 429,000 | USD | 509,926 | JPM | 510,789 | 9/5/17 | (863 | ) | ||||||||||||||||||||
Euro | 766,000 | USD | 905,074 | JPM | 912,038 | 9/5/17 | (6,964 | ) | ||||||||||||||||||||
Euro | 8,940,544 | USD | 10,799,603 | JPM | 10,661,133 | 10/3/17 | 138,470 | |||||||||||||||||||||
Indian Rupee | 11,698,160 | USD | 178,000 | BNP | 181,016 | 12/4/17 | (3,016 | ) | ||||||||||||||||||||
Indian Rupee | 8,002,468 | USD | 122,000 | JPM | 123,829 | 12/4/17 | (1,829 | ) | ||||||||||||||||||||
Indian Rupee | 16,043,000 | USD | 244,000 | JPM | 248,248 | 12/4/17 | (4,248 | ) | ||||||||||||||||||||
Indonesian Rupiah | 1,463,940,000 | USD | 108,000 | HSBC | 109,340 | 10/13/17 | (1,340 | ) | ||||||||||||||||||||
Japanese Yen | 1,545,400,000 | USD | 14,013,103 | HSBC | 14,055,480 | 9/5/17 | (42,377 | ) | ||||||||||||||||||||
Japanese Yen | 450,000,000 | USD | 4,002,590 | HSBC | 4,092,769 | 9/5/17 | (90,179 | ) | ||||||||||||||||||||
Japanese Yen | 190,000,000 | USD | 1,694,530 | HSBC | 1,728,483 | 9/11/17 | (33,953 | ) | ||||||||||||||||||||
Japanese Yen | 1,506,900,000 | USD | 13,651,930 | GSC | 13,723,555 | 10/3/17 | (71,625 | ) | ||||||||||||||||||||
Japanese Yen | 590,000,000 | USD | 5,354,315 | GSC | 5,380,099 | 10/30/17 | (25,784 | ) | ||||||||||||||||||||
Japanese Yen | 140,000,000 | USD | 1,285,892 | HSBC | 1,278,267 | 11/27/17 | 7,625 | |||||||||||||||||||||
Japanese Yen | 450,000,000 | USD | 4,086,489 | BNP | 4,110,021 | 12/4/17 | (23,532 | ) | ||||||||||||||||||||
Korean Won | 292,778,400 | USD | 258,000 | UBS | 261,399 | 4/24/18 | (3,399 | ) | ||||||||||||||||||||
Korean Won | 358,556,000 | USD | 319,000 | JPM | 320,146 | 4/27/18 | (1,146 | ) | ||||||||||||||||||||
Malaysian Ringgit | 1,121,913 | USD | 258,000 | BCLY | 262,571 | 9/18/17 | (4,571 | ) | ||||||||||||||||||||
Malaysian Ringgit | 459,833 | USD | 107,000 | GSC | 107,618 | 9/18/17 | (618 | ) | ||||||||||||||||||||
Malaysian Ringgit | 1,382,507 | USD | 322,000 | UBS | 323,560 | 9/18/17 | (1,560 | ) | ||||||||||||||||||||
Malaysian Ringgit | 647,400 | USD | 150,000 | UBS | 151,516 | 9/18/17 | (1,516 | ) | ||||||||||||||||||||
Mexican Peso | 30,100,000 | USD | 1,439,385 | BNP | 1,637,243 | 3/1/18 | (197,858 | ) | ||||||||||||||||||||
New Zealand Dollar | 6,342,135 | USD | 4,735,206 | JPM | 4,554,287 | 9/5/17 | 180,919 | |||||||||||||||||||||
New Zealand Dollar | 4,407,135 | USD | 3,201,263 | GSC | 3,163,087 | 10/3/17 | 38,176 | |||||||||||||||||||||
Polish Zloty | 2,892,133 | USD | 802,519 | HSBC | 810,800 | 11/3/17 | (8,281 | ) | ||||||||||||||||||||
Russian Ruble | 6,656,040 | USD | 108,000 | HSBC | 114,414 | 9/21/17 | (6,414 | ) | ||||||||||||||||||||
Russian Ruble | 70,920,288 | USD | 1,209,986 | GSC | 1,212,311 | 10/20/17 | (2,325 | ) | ||||||||||||||||||||
Singapore Dollar | 4,171,319 | USD | 3,023,024 | SCB | 3,076,675 | 9/18/17 | (53,651 | ) | ||||||||||||||||||||
Singapore Dollar | 500,000 | USD | 361,115 | SCB | 368,789 | 9/18/17 | (7,674 | ) | ||||||||||||||||||||
Singapore Dollar | 4,019,361 | USD | 2,942,432 | SCB | 2,967,166 | 12/4/17 | (24,734 | ) | ||||||||||||||||||||
Swedish Krona | 50,945,000 | USD | 6,276,224 | GSC | 6,412,693 | 9/5/17 | (136,469 | ) | ||||||||||||||||||||
Swedish Krona | 50,945,000 | USD | 6,446,342 | SCB | 6,422,882 | 10/3/17 | 23,460 | |||||||||||||||||||||
Swiss Franc | 1,397,000 | USD | 1,449,025 | SCB | 1,457,106 | 9/5/17 | (8,081 | ) | ||||||||||||||||||||
|
| |||||||||||||||||||||||||||
(1,653,227 | ) | |||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||
Net Unrealized Depreciation on Open Forward Foreign Currency Contracts | $ | (1,263,726) | ||||||||||||||||||||||||||
|
|
See Notes to Financial Statements.
222
Schedules of Investments |
(continued) |
International Fixed Income Fund |
At August 31, 2017, International Fixed Income Fund held the following OTC Interest Rate Swap Contracts:
Pay/Receive Floating Rate | Floating Rate Index | Fixed Rate | Maturity Date | Counterparty | Notional Amounts | Market Value | Upfront (Received) | Unrealized (Depreciation) | ||||||||||||||||||||||
Receive | 3-Month KRW Certificate of Deposit Rate | 1.993% | 7/10/27 | JPM | KRW | 980,600,000 | $ | (5,504 | ) | $ | — | $ | (5,504 | ) | ||||||||||||||||
Receive | 3-Month KRW Certificate of Deposit Rate | 2.025% | 7/10/27 | SOG | KRW | 3,500,900,000 | (29,321 | ) | — | (29,321 | ) | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
$ | (34,825 | ) | $ | — | $ | (34,825 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
At August 31, 2017, International Fixed Income Fund held the following Centrally Cleared Interest Rate Swap Contracts:
|
| |||||||||||||||||||||||||||||
Pay/Receive Floating Rate | Floating Rate Index | Fixed Rate | Maturity Date | Payment Frequency | Notional Amounts | Market Value | Upfront (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
Pay | 28-Day MXN TIIE Banxico | 5.825% | 1/12/23 | 28-Day | MXN | 6,800,000 | $ | (19,297 | ) | $ | 2,273 | $ | (21,570 | ) | ||||||||||||||||
Pay | 28-Day MXN TIIE Banxico | 7.317% | 3/23/22 | 28-Day | MXN | 2,100,000 | 1,971 | — | 1,971 | |||||||||||||||||||||
Pay | 28-Day MXN TIIE Banxico | 7.740% | 2/22/27 | 28-Day | MXN | 15,800,000 | 38,908 | (2,879 | ) | 41,787 | ||||||||||||||||||||
Pay | 3-Month Canadian Bank Bill | 1.400% | 9/13/19 | 6-Month | CAD | 15,600,000 | (55,508 | ) | (31,283 | ) | (24,225 | ) | ||||||||||||||||||
Pay | 3-Month Canadian Bank Bill | 1.450% | 12/13/19 | 6-Month | CAD | 9,400,000 | (34,420 | ) | (28,762 | ) | (5,658 | ) | ||||||||||||||||||
Receive | 3-Month Canadian Bank Bill | 1.850% | 9/15/27 | 6-Month | CAD | 3,500,000 | 78,637 | 83,314 | (4,677 | ) | ||||||||||||||||||||
Receive | 3-Month Canadian Bank Bill | 2.200% | 6/16/26 | 6-Month | CAD | 200,000 | (2,049 | ) | (13,679 | ) | 11,630 | |||||||||||||||||||
Pay | 3-Month FRA New Zealand Bank Bill | 2.500% | 7/11/19 | 6-Month | NZD | 20,300,000 | 28,294 | 10,960 | 17,334 | |||||||||||||||||||||
Receive | 3-Month SEK-STIBOR | 0.398% | 8/11/22 | 12-Month | SEK | 4,200,000 | (1,076 | ) | — | (1,076 | ) | |||||||||||||||||||
Receive | 3-Month SEK-STIBOR | 0.413% | 8/10/22 | 12-Month | SEK | 11,700,000 | (4,184 | ) | — | (4,184 | ) | |||||||||||||||||||
Receive | 3-Month SEK-STIBOR | 0.425% | 8/14/22 | 12-Month | SEK | 3,200,000 | (1,306 | ) | — | (1,306 | ) | |||||||||||||||||||
Receive | 3-Month SEK-STIBOR | 0.440% | 8/8/22 | 12-Month | SEK | 7,700,000 | (4,210 | ) | — | (4,210 | ) | |||||||||||||||||||
Receive | 3-Month SEK-STIBOR | 0.750% | 3/21/23 | 12-Month | SEK | 28,300,000 | (28,124 | ) | (8,574 | ) | (19,550 | ) | ||||||||||||||||||
Pay | 3-Month USD-LIBOR | 1.000% | 5/15/18 | 6-Month | USD | 10,000,000 | (4,282 | ) | (39,837 | ) | 35,555 | |||||||||||||||||||
Receive | 3-Month USD-LIBOR | 1.250% | 5/15/19 | 6-Month | USD | 10,000,000 | 32,747 | 11,480 | 21,267 | |||||||||||||||||||||
Receive | 3-Month USD-LIBOR | 1.250% | 6/21/19 | 6-Month | USD | 31,000,000 | 150,522 | 193,677 | (43,155 | ) | ||||||||||||||||||||
Pay | 3-Month USD-LIBOR | 1.750% | 6/18/18 | PAM | * | USD | 62,400,000 | 91,656 | 5,120 | 86,536 | ||||||||||||||||||||
Receive | 3-Month USD-LIBOR | 1.750% | 12/21/26 | 6-Month | USD | 4,400,000 | 104,235 | (125,634 | ) | 229,869 | ||||||||||||||||||||
Receive | 3-Month USD-LIBOR | 1.768% | 12/15/46 | 6-Month | USD | 1,100,000 | 148,411 | 22,641 | 125,770 | |||||||||||||||||||||
Receive | 3-Month USD-LIBOR | 2.000% | 12/20/19 | 6-Month | USD | 7,300,000 | (57,622 | ) | (41,018 | ) | (16,604 | ) | ||||||||||||||||||
Receive | 3-Month USD-LIBOR | 2.038% | 8/31/22 | 6-Month | USD | 3,200,000 | (41,485 | ) | (103,623 | ) | 62,138 | |||||||||||||||||||
Receive | 3-Month USD-LIBOR | 2.098% | 7/1/41 | 6-Month | USD | 5,400,000 | 91,216 | 15,841 | 75,375 | |||||||||||||||||||||
Receive | 3-Month USD-LIBOR | 2.250% | 6/18/19 | PAM | * | USD | 62,400,000 | (181,825 | ) | (4,298 | ) | (177,527 | ) | |||||||||||||||||
Receive | 3-Month USD-LIBOR | 2.250% | 12/16/22 | 6-Month | USD | 22,800,000 | (581,633 | ) | (49,287 | ) | (532,346 | ) | ||||||||||||||||||
Receive | 3-Month USD-LIBOR | 2.750% | 12/20/47 | 6-Month | USD | 2,800,000 | (206,030 | ) | (85,789 | ) | (120,241 | ) | ||||||||||||||||||
Receive | 3-Month USD-LIBOR | 2.953% | 11/12/49 | 6-Month | USD | 600,000 | (59,273 | ) | — | (59,273 | ) | |||||||||||||||||||
Receive | 3-Month USD-LIBOR | 2.955% | 11/12/49 | 6-Month | USD | 600,000 | (59,597 | ) | — | (59,597 | ) | |||||||||||||||||||
Pay | 3-Month ZAR-SAJIBOR | 8.500% | 3/15/27 | 3-Month | ZAR | 5,200,000 | 22,014 | (349 | ) | 22,363 | ||||||||||||||||||||
Pay | 3-Month ZAR-SAJIBOR | 8.750% | 3/16/21 | 3-Month | ZAR | 15,700,000 | 74,997 | 1,570 | 73,427 | |||||||||||||||||||||
Pay | 6-Month EURIBOR | 0.000% | 3/21/20 | 12-Month | EUR | 6,400,000 | 14,810 | 14,298 | 512 | |||||||||||||||||||||
Pay | 6-Month EURIBOR | 0.500% | 3/21/23 | 12-Month | EUR | 13,100,000 | 165,901 | 169,013 | (3,112 | ) | ||||||||||||||||||||
Pay | 6-Month EURIBOR | 1.000% | 3/21/28 | 12-Month | EUR | 4,000,000 | 40,620 | 24,555 | 16,065 | |||||||||||||||||||||
Receive | 6-Month EURIBOR | 1.500% | 3/21/48 | 12-Month | EUR | 4,150,000 | 17,780 | 77,716 | (59,936 | ) | ||||||||||||||||||||
Pay | 6-Month GBP-LIBOR | 0.750% | 9/20/19 | 6-Month | GBP | 3,900,000 | 20,394 | (12,586 | ) | 32,980 |
See Notes to Financial Statements.
223
Schedules of Investments |
(continued) |
International Fixed Income Fund |
Pay/Receive Floating Rate | Floating Rate Index | Fixed Rate | Maturity Date | Payment Frequency | Notional Amounts | Market Value | Upfront (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
Receive | 6-Month GBP-LIBOR | 1.000% | 3/21/23 | 6-Month | GBP | 200,000 | $ | (1,662 | ) | $ | (1,828 | ) | $ | 166 | ||||||||||||||||
Receive | 6-Month GBP-LIBOR | 1.500% | 3/21/28 | 6-Month | GBP | 3,600,000 | (132,872 | ) | (123,278 | ) | (9,594 | ) | ||||||||||||||||||
Receive | 6-Month GBP-LIBOR | 1.750% | 3/21/48 | 6-Month | GBP | 1,350,000 | (132,255 | ) | (62,450 | ) | (69,805 | ) | ||||||||||||||||||
Pay | 6-Month JPY-LIBOR | 0.150% | 3/22/18 | 6-Month | JPY | 2,310,000,000 | 28,628 | (13,887 | ) | 42,515 | ||||||||||||||||||||
Pay | 6-Month JPY-LIBOR | 0.300% | 3/18/26 | 6-Month | JPY | 580,000,000 | 62,119 | (582,900 | ) | 645,019 | ||||||||||||||||||||
Receive | 6-Month JPY-LIBOR | 0.500% | 9/18/22 | 6-Month | JPY | 430,000,000 | (93,843 | ) | (134,679 | ) | 40,836 | |||||||||||||||||||
Receive | 6-Month JPY-LIBOR | 1.000% | 3/21/48 | 6-Month | JPY | 180,000,000 | (45,638 | ) | (32,313 | ) | (13,325 | ) | ||||||||||||||||||
Pay | 6-Month JPY-LIBOR | 1.500% | 6/19/33 | 6-Month | JPY | 150,000,000 | 216,806 | 105,297 | 111,509 | |||||||||||||||||||||
Receive | 6-Month JPY-LIBOR | 1.500% | 12/20/44 | 6-Month | JPY | 100,000,000 | (162,347 | ) | (58,113 | ) | (104,234 | ) | ||||||||||||||||||
Receive | 6-Month JPY-LIBOR | 1.500% | 12/21/45 | 6-Month | JPY | 60,000,000 | (97,004 | ) | (162,055 | ) | 65,051 | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
$ | (576,876 | ) | $ | (981,346 | ) | $ | 404,470 | |||||||||||||||||||||||
|
|
|
|
|
|
* | PAM - paid at maturity. |
Counterparty Pay Floating Rate Index | Counterparty Receive Floating Rate Index | Maturity Date | Notional Amounts | Market Value | Upfront (Received) | Unrealized Appreciation | ||||||||||||||||
1-Month USD-LIBOR+0.070% | 3-Month USD-LIBOR | 6/12/22 | USD | 1,400,000 | $ | 1,272 | $ | — | $ | 1,272 | ||||||||||||
1-Month USD-LIBOR+0.084% | 3-Month USD-LIBOR | 6/12/22 | USD | 1,900,000 | 442 | — | 442 | |||||||||||||||
1-Month USD-LIBOR+0.085% | 3-Month USD-LIBOR | 6/19/22 | USD | 7,400,000 | 1,428 | (555 | ) | 1,983 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||||
$ | 3,142 | $ | (555 | ) | $ | 3,697 | ||||||||||||||||
|
|
|
|
|
|
At August 31, 2017, International Fixed Income Fund held the following OTC Volatility Swap Contracts:
Pay/Receive Volatility* | Reference Obligation | Fixed Rate | Maturity Date | Counterparty | Notional Amounts | Market Value | Upfront (Received) | Unrealized Depreciation | ||||||||||||||||||||||
Pay | EUR vs. CHF spot exchange rate | 6.750% | 6/26/19 | DUB | CHF | 200,000 | $ | (1,343 | ) | $ | — | $ | (1,343 | ) | ||||||||||||||||
Pay | EUR vs. CHF spot exchange rate | 6.800% | 6/24/19 | DUB | CHF | 100,000 | (596 | ) | — | (596 | ) | |||||||||||||||||||
Receive | USD vs. CHF spot exchange rate | 9.000% | 6/24/19 | DUB | CHF | 100,000 | (120 | ) | — | (120 | ) | |||||||||||||||||||
Receive | USD vs. CHF spot exchange rate | 9.000% | 6/26/19 | DUB | CHF | 200,000 | (188 | ) | — | (188 | ) | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
$ | (2,247 | ) | $ | — | $ | (2,247 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
* | Fund will pay or receive the volatility of the reference asset depending on whether the realized volatility of the reference asset exceeds or is less than the fixed rate. For contracts where the Fund has elected to receive the volatility of the reference asset, it will receive a net payment of the difference between the realized volatility and the fixed rate multiplied by the notional amount if the realized volatility exceeds the fixed rate; the Fund will make a net payment of the absolute value of the difference of the realized volatility and the fixed rate multiplied by the notional amount if the realized volatility is less than the fixed rate. For contracts where the Fund has elected to pay the volatility of the reference asset, it will make a net payment of the difference between the realized volatility and the fixed rate multiplied by the notional amount if the realized volatility exceeds the fixed rate; the Fund will receive a net payment of the absolute value of the difference of the realized and the fixed rate multiplied by the notional amount if the realized volatility is less than the fixed rate. |
See Notes to Financial Statements.
224
Schedules of Investments |
(continued) |
International Fixed Income Fund |
At August 31, 2017, International Fixed Income Fund held the following OTC and Centrally Cleared Credit Default Swap Contracts:
OTC Credit Default Swaps on Corporate and Sovereign Issues and Indexes — Buy Protection (1)
Reference Obligation | Fixed Deal (Pay) Rate | Maturity Date | Payment Frequency | Counterparty | Implied Credit Spread at 8/31/17 (2) | Notional Amounts (3) | Market Value | Upfront (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||||
Japan Government International Bond, A+ | (1.000 | )% | 6/20/22 | 3-Month | BCLY | 0.312 | % | USD | 400,000 | $ | (13,587 | ) | $ | (14,121 | ) | $ | 534 | |||||||||||||||||||
Japan Government International Bond, A+ | (1.000 | )% | 6/20/22 | 3-Month | BNP | 0.312 | % | USD | 700,000 | (23,779 | ) | (25,057 | ) | 1,278 | ||||||||||||||||||||||
Japan Government International Bond, A+ | (1.000 | )% | 6/20/22 | 3-Month | BOA | 0.312 | % | USD | 200,000 | (6,795 | ) | (6,914 | ) | 119 | ||||||||||||||||||||||
Japan Government International Bond, A+ | (1.000 | )% | 6/20/22 | 3-Month | GSC | 0.312 | % | USD | 500,000 | (16,984 | ) | (17,653 | ) | 669 | ||||||||||||||||||||||
Japan Government International Bond, A+ | (1.000 | )% | 6/20/22 | 3-Month | HSBC | 0.312 | % | USD | 300,000 | (10,190 | ) | (10,159 | ) | (31 | ) | |||||||||||||||||||||
Mariott International Inc., BBB | (1.490 | )% | 6/20/18 | 3-Month | BOA | 0.056 | % | USD | 1,000,000 | (14,601 | ) | — | (14,601 | ) | ||||||||||||||||||||||
Markit iTraxx Europe Sub Financials Series 27 5-Year Index | (1.000 | )% | 6/20/22 | 3-Month | BNP | 1.230 | % | EUR | 700,000 | 7,317 | 36,665 | (29,348 | ) | |||||||||||||||||||||||
UST Inc., A- | (0.720 | )% | 3/20/18 | 3-Month | GSC | 0.053 | % | USD | 500,000 | (2,580 | ) | — | (2,580 | ) | ||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||||
$ | (81,199 | ) | $ | (37,239 | ) | $ | (43,960 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
Centrally Cleared — Credit Default Swaps on Corporate and Sovereign Issues and Indexes — Buy Protection (1)
Reference Obligation | Fixed Deal (Pay) Rate | Maturity Date | Payment Frequency | Implied Credit Spread at 8/31/17 (2) | Notional Amounts (3) | Market Value | Upfront Premiums (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||
Altria Group Inc., A- | (1.000 | %) | 12/20/20 | 3-Month | 0.204 | % | USD | 500,000 | $ | (14,101 | ) | $ | (14,738 | ) | $ | 637 | ||||||||||||||||
Basf Se, A | (1.000 | %) | 12/20/20 | 3-Month | 0.207 | % | EUR | 100,000 | (3,417 | ) | (2,908 | ) | (509 | ) | ||||||||||||||||||
Bayer AG, A- | (1.000 | %) | 12/20/20 | 3-Month | 0.262 | % | EUR | 200,000 | (6,410 | ) | (4,551 | ) | (1,859 | ) | ||||||||||||||||||
Koninklijke Dsm NV, A- | (1.000 | %) | 12/20/20 | 3-Month | 0.247 | % | EUR | 300,000 | (9,811 | ) | (9,555 | ) | (256 | ) | ||||||||||||||||||
Markit CDX North America High Yield Series 28 5-Year Index | (5.000 | %) | 6/20/22 | 3-Month | 3.259 | % | USD | 800,000 | (66,386 | ) | (55,780 | ) | (10,606 | ) | ||||||||||||||||||
Markit CDX North America Investment Grade Series 28 5-Year Index | (1.000 | %) | 6/20/22 | 3-Month | 0.578 | % | USD | 10,100,000 | (214,663 | ) | (180,962 | ) | (33,701 | ) | ||||||||||||||||||
Markit iTraxx Europe Senior Financials Series 27 5-Year Index | (1.000 | %) | 6/20/22 | 3-Month | 0.533 | % | EUR | 300,000 | (8,682 | ) | (7,708 | ) | (974 | ) | ||||||||||||||||||
Markit iTraxx Europe Series 26 5-Year Index | (1.000 | %) | 12/20/21 | 3-Month | 0.483 | % | EUR | 44,000,000 | (1,272,822 | ) | (1,292,755 | ) | 19,933 | |||||||||||||||||||
Markit iTraxx Europe Series 27 5-Year Index | (1.000 | %) | 6/20/22 | 3-Month | 0.550 | % | EUR | 12,400,000 | (347,676 | ) | (173,993 | ) | (173,683 | ) | ||||||||||||||||||
Pfizer Inc., AA | (1.000 | %) | 12/20/20 | 3-Month | 0.169 | % | USD | 300,000 | (8,803 | ) | (8,761 | ) | (42 | ) | ||||||||||||||||||
Reynolds American Inc., BBB+ | (1.000 | %) | 12/20/20 | 3-Month | 0.179 | % | USD | 500,000 | (14,496 | ) | (14,731 | ) | 235 | |||||||||||||||||||
Teliasonera AB, A- | (1.000 | %) | 12/20/20 | 3-Month | 0.312 | % | EUR | 100,000 | (3,006 | ) | (2,451 | ) | (555 | ) | ||||||||||||||||||
United Utilities PLC, BBB+ | (1.000 | %) | 12/20/20 | 3-Month | 0.449 | % | EUR | 200,000 | (4,987 | ) | (3,440 | ) | (1,547 | ) | ||||||||||||||||||
Unitedhealth Group Inc., A+ | (1.000 | %) | 12/20/20 | 3-Month | 0.152 | % | USD | 300,000 | (8,956 | ) | (8,361 | ) | (595 | ) | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | (1,984,216 | ) | $ | (1,780,694 | ) | $ | (203,522 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
See Notes to Financial Statements.
225
Schedules of Investments |
(continued) |
International Fixed Income Fund |
Centrally Cleared — Credit Default Swaps on Corporate and Sovereign Issues — Sell Protection (4)
Reference Obligation | Fixed Deal Receive Rate | Maturity Date | Payment Frequency | Implied Credit Spread at 8/31/17 (2) | Notional Amount (3) | Market Value | Upfront (Received) | Unrealized Appreciation | ||||||||||||||||||||||||
Royal Bank Of Scotland PLC, BBB+ | 1.000 | % | 12/20/17 | 3-Month | 0.103 | % | EUR | 100,000 | $ | 563 | $ | 522 | $ | 41 | ||||||||||||||||||
Ryder System, Inc., BBB+ | 1.000 | % | 6/20/22 | 3-Month | 0.552 | % | USD | 100,000 | 2,312 | 1,866 | 446 | |||||||||||||||||||||
Shell International Finance BV, A | 1.000 | % | 12/20/26 | 3-Month | 0.854 | % | EUR | 200,000 | 3,852 | (5,907 | ) | 9,759 | ||||||||||||||||||||
Telecom Italia SpA, BB+ | 1.000 | % | 6/20/24 | 3-Month | 1.806 | % | EUR | 100,000 | (5,832 | ) | (7,452 | ) | 1,620 | |||||||||||||||||||
Tesco PLC, BB+ | 1.000 | % | 6/20/22 | 3-Month | 1.470 | % | EUR | 1,000,000 | (23,409 | ) | (59,924 | ) | 36,515 | |||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | (22,514 | ) | $ | (70,895 | ) | $ | 48,381 | |||||||||||||||||||||||||
|
|
|
|
|
|
At August 31, 2017, International Fixed Income Fund held the following OTC Cross Currency Swap Contracts:
Counterparty Pay | Counterparty Receive | Maturity Date (5) | Counterparty | Notional Amounts of Currency Received (6) (amounts below are in 000’s) | Notional Amounts of Currency Delivered (6) (amounts below are in 000’s) | Market Value | Upfront (Received) | Unrealized Appreciation | ||||||||||||||||||||||
Floating rate equal to 3-Month USD-LIBOR based on the notional amount of currency received | Floating rate equal to 3-Month GBP-LIBOR less 0.150% based on the notional amount of currency delivered | 3/15/19 |
| BOA | USD | 2,159 | GBP | 1,700 | $ | 39,273 | $ | (7,310 | ) | $ | 46,583 | |||||||||||||||
Floating rate equal to 3-Month USD-LIBOR based on the notional amount of currency received | Floating rate equal to 3-Month GBP-LIBOR less 0.150% based on the notional amount of currency delivered | 3/21/20 |
| CITI | USD | 3,058 | GBP | 2,500 | 174,007 | 2,750 | 171,257 | |||||||||||||||||||
Floating rate equal to 3-Month USD-LIBOR based on the notional amount of currency received | Floating rate equal to 3-Month GBP-LIBOR less 0.055% based on the notional amount of currency delivered | 10/13/26 |
| DUB | USD | 244 | GBP | 200 | 14,798 | (30 | ) | 14,828 | ||||||||||||||||||
Floating rate equal to 3-Month USD-LIBOR based on the notional amount of currency received | Floating rate equal to 3-Month GBP-LIBOR less 0.150% based on the notional amount of currency delivered | 3/21/20 |
| GSC | USD | 8,194 | GBP | 6,700 | 466,338 | (14,230 | ) | 480,568 | ||||||||||||||||||
Floating rate equal to 3-Month USD-LIBOR based on the notional amount of currency received | Floating rate equal to 3-Month GBP-LIBOR less 0.150% based on the notional amount of currency delivered | 3/15/19 |
| RBS | USD | 2,794 | GBP | 2,200 | 50,823 | (9,460 | ) | 60,283 | ||||||||||||||||||
Floating rate equal to 3-Month USD-LIBOR based on the notional amount of currency received | Floating rate equal to 3-Month GBP-LIBOR less 0.055% based on the notional amount of currency delivered | 10/13/26 |
| RBS | USD | 610 | GBP | 500 | 36,895 | 14,000 | 22,895 |
See Notes to Financial Statements.
226
Schedules of Investments |
(continued) |
International Fixed Income Fund |
Counterparty Pay | Counterparty Receive | Maturity Date (5) | Counterparty | Notional Amounts of Currency Received (6) (amounts below are in 000’s) | Notional Amounts of Currency Delivered (6) (amounts below are in 000’s) | Market Value | Upfront (Received) | Unrealized Appreciation | ||||||||||||||||||||||
Floating rate equal to 3-Month USD-LIBOR based on the notional amount of currency received | Floating rate equal to 3-Month GBP-LIBOR less 0.150% based on the notional amount of currency delivered | 3/21/20 |
| SOG | USD | 1,345 | GBP | 1,100 | $ | 76,563 | $ | (7,260 | ) | $ | 83,823 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
$ | 858,697 | $ | (21,540 | ) | $ | 880,237 | ||||||||||||||||||||||||
|
|
|
|
|
|
(1) | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the reference obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising the referenced index. |
(2) | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as ‘‘Defaulted’’ indicates a credit event has occurred for the referenced entity or obligation. |
(3) | The maximum potential amount the Fund could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(4) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(5) | At the maturity date, the notional amount of the currency received will be exchanged back for the notional amount of the currency delivered. |
(6) | The notional amounts to be received or delivered may be determined and exchanged at a future date, based on the effective date of the cross-currency swap. |
At August 31, 2017, International Fixed Income Fund deposited cash collateral with brokers in the amount of $3,460,000 for open centrally cleared swap contracts.
Currency Abbreviations used in this schedule: | Counterparty Abbreviations used in this schedule: | |||||
AUD | — Australian Dollar | BCLY | — Barclays Bank PLC | |||
BRL | — Brazilian Real | BNP | — BNP Paribas SA | |||
CAD | — Canadian Dollar | BOA | — Bank of America | |||
CHF | — Swiss Franc | CITI | — Citigroup Global Markets Inc. | |||
DKK | — Danish Krone | CSFB | — Credit Suisse Securities (USA) LLC | |||
EUR | — Euro | DUB | — Deutsche Bank AG | |||
GBP | — British Pound | GSC | — Goldman Sachs & Co. | |||
JPY | — Japanese Yen | HSBC | — HSBC Bank USA | |||
KRW | — Korean Won | JPM | — JPMorgan Chase & Co. | |||
MXN | — Mexican Peso | RBS | — Royal Bank of Scotland PLC | |||
NOK | — Norwegian Krone | SCB | — Standard Chartered Bank | |||
NZD | — New Zealand Dollar | SOG | — Societe Generale SA | |||
PLN | — Polish Zloty | UBS | — UBS Securities LLC | |||
SEK | — Swedish Krona | |||||
SGD | — Singapore Dollar | |||||
ZAR | — South African Rand |
See Notes to Financial Statements.
227
Schedules of Investments |
(continued) |
Municipal Bond Fund | ||||||||||
Face Amount | Rating†† | Security | Value | |||||||
MUNICIPAL BONDS — 96.3% | ||||||||||
California — 17.6% | ||||||||||
$ | 1,000,000 | AA+ | California Infrastructure & Economic Development Bank, Revenue Bonds, Bay Area Toll Bridges, Series A, Prerefunded 1/1/28 @ 100, AMBAC-Insured, 5.000% due 7/1/36(a) | $ | 1,294,660 | |||||
1,500,000 | AA- | California State University, Revenue Bonds, Systemwide, Series A, 4.000% due 11/1/37 | 1,609,965 | |||||||
1,050,000 | AA- | California Statewide Communities Development Authority, Revenue Bonds, Sutter Health Project, Series A, 5.500% due 8/15/26 | 1,184,662 | |||||||
2,000,000 | AA- | Garden Grove Unified School District, GO, 2010 Election, Series C, 5.000% due 8/1/35 | 2,347,060 | |||||||
2,000,000 | A3(b) | Kaweah Delta Health Care District, Revenue Bonds, Series B, 4.000% due 6/1/45 | 2,060,340 | |||||||
1,500,000 | A+ | San Diego County, CA, Regional Airport Authority, Revenue Bonds, Series A, 5.000% due 7/1/43 | 1,714,980 | |||||||
|
| |||||||||
Total California | 10,211,667 | |||||||||
|
| |||||||||
Colorado — 13.3% | ||||||||||
1,435,000 | AA | City of Colorado Springs, CO, Utilities System Revenue, Revenue Bonds, System Improvement, Series B-2, 5.000% due 11/15/38 | 1,679,022 | |||||||
Colorado Health Facilities Authority, Revenue Bonds: | ||||||||||
1,000,000 | BBB+ | Catholic Health Initiatives, Series A, 5.250% due 2/1/31 | 1,061,920 | |||||||
1,500,000 | AA- | Sisters of Charity of Leavenworth Inc., Series A, 5.000% due 1/1/44 | 1,650,600 | |||||||
1,000,000 | AAA | Colorado Water Resources & Power Development Authority, Revenue Bonds, Revolving Fund, Series A, 5.500% due 9/1/22 | 1,208,590 | |||||||
2,000,000 | AA- | University of Colorado Hospital Authority, Revenue Bonds, Series A, 4.000% due 11/15/36 | 2,079,780 | |||||||
|
| |||||||||
Total Colorado | 7,679,912 | |||||||||
|
| |||||||||
District of Colombia — 3.0% | ||||||||||
1,500,000 | AAA | District of Columbia, Revenue Bonds, Income Tax Revenue, Series A, 5.000% due 12/1/28 | 1,731,345 | |||||||
|
| |||||||||
Florida — 1.8% | ||||||||||
1,000,000 | A+ | City of Jacksonville, FL, Revenue Bonds, Better Jacksonville, Prerefunded 10/1/18 @ 100, 5.000% due 10/1/21(a) | 1,044,850 | |||||||
|
| |||||||||
Illinois — 7.6% | ||||||||||
Illinois Finance Authority, Revenue Bonds: | ||||||||||
1,235,000 | AA+ | Advocate Health Care, 4.000% due 6/1/47 | 1,249,301 | |||||||
600,000 | A | DePaul University, 5.000% due 10/1/36 | 688,494 | |||||||
1,095,000 | A2(b) | DePaul University, Series A, 5.375% due 10/1/19 | 1,189,094 | |||||||
1,000,000 | AAA | Northwestern University, 5.000% due 12/1/28 | 1,261,450 | |||||||
|
| |||||||||
Total Illinois | 4,388,339 | |||||||||
|
| |||||||||
Indiana — 2.0% | ||||||||||
1,000,000 | A+ | Indiana Municipal Power Agency, Power Supply, Revenue Bonds, Series C, 5.000% due 1/1/37 | 1,162,350 | |||||||
|
| |||||||||
Louisiana — 1.0% | ||||||||||
New Orleans Aviation Board, AMT, General Airport North Terminal, Revenue Bonds, Series B: | ||||||||||
250,000 | A- | 5.000% due 1/1/37(c) | 288,837 | |||||||
250,000 | A- | 5.000% due 1/1/38(c) | 287,963 | |||||||
|
| |||||||||
Total Louisiana | 576,800 | |||||||||
|
| |||||||||
Massachusetts — 8.1% | ||||||||||
1,000,000 | AA | Massachusetts Bay Transportation Authority, Revenue Bonds, Series A, 5.250% due 7/1/34 | 1,323,630 | |||||||
Massachusetts Development Finance Agency, Revenue Bonds: | ||||||||||
700,000 | BBB+ | Emerson College, Series A, 5.000% due 1/1/34 | 806,904 | |||||||
1,145,000 | AAA | Harvard University, Series A, 5.000% due 7/15/40 | 1,517,423 | |||||||
1,000,000 | A2(b) | Massachusetts Health & Educational Facilities Authority, Revenue Bonds, Northeastern University, Series R, 5.000% due 10/1/28 | 1,041,560 | |||||||
|
| |||||||||
Total Massachusetts | 4,689,517 | |||||||||
|
| |||||||||
Nevada — 2.4% | ||||||||||
1,130,000 | AAA | State of Nevada Highway Improvement Revenue, Revenue Bonds, 5.000% due 12/1/31 | 1,383,696 | |||||||
|
|
See Notes to Financial Statements.
228
Schedules of Investments |
(continued) |
Municipal Bond Fund | ||||||||||
Face Amount | Rating†† | Security | Value | |||||||
New Jersey — 2.8% | ||||||||||
$ | 1,340,000 | A3(b) | Manalapan-Englishtown Regional Board of Education, GO, FGIC & NPFG-Insured, 5.750% due 12/1/22 | $ | 1,624,964 | |||||
|
| |||||||||
North Carolina — 3.6% | ||||||||||
2,000,000 | AAApre(d) | North Carolina Eastern Municipal Power Agency, Revenue Bonds, Series B, Prerefunded 1/1/19 @ 100, 5.000% due 1/1/26(a) | 2,108,920 | |||||||
|
| |||||||||
Oregon — 2.7% | ||||||||||
1,330,000 | Aa2(b) | Washington & Clackamas Counties School District No. 23J Tigard-Tualatin, GO, NPFG-Insured, 5.000% due 6/15/22 | 1,567,910 | |||||||
|
| |||||||||
Pennsylvania — 3.9% | ||||||||||
2,000,000 | A+ | Monroeville Finance Authority, University of Pittsburgh Medical Center, Revenue Bonds, Series B, 5.000% due 7/1/39 | 2,272,640 | |||||||
|
| |||||||||
South Carolina — 3.1% | ||||||||||
1,535,000 | Aa3(b) | Clemson University, Revenue Bonds, 5.000% due 5/1/29 | 1,819,528 | |||||||
|
| |||||||||
Tennessee — 2.4% | ||||||||||
1,380,000 | Aa2(b) | Tennessee Housing Development Agency, Revenue Bonds, Series A, 3.850% due 1/1/35 | 1,408,663 | |||||||
|
| |||||||||
Texas — 9.8% | ||||||||||
North East, TX, Independent School District, GO, PSF-GTD-Insured: | ||||||||||
1,000,000 | AAA | 5.250% due 2/1/28 | 1,288,650 | |||||||
1,000,000 | AAA | 5.250% due 2/1/30 | 1,312,940 | |||||||
1,000,000 | AA | Texas State Technical College, Revenue Bonds, AGM-Insured, 4.000% due 10/15/33 | 1,071,740 | |||||||
1,575,000 | AAA | Texas Transportation Commission State Highway Fund, Revenue Bonds, 5.250% due 4/1/26 | 2,006,140 | |||||||
|
| |||||||||
Total Texas | 5,679,470 | |||||||||
|
| |||||||||
Utah — 4.0% | ||||||||||
2,000,000 | AA | Utah State University, Revenue Bonds, Student Building Fee, Series B, 5.000% due 12/1/44 | 2,300,160 | |||||||
|
| |||||||||
Washington — 2.0% | ||||||||||
1,000,000 | AA+ | City of Seattle, WA, Drainage & Wastewater Revenue, Revenue Bonds, 4.000% due 7/1/28 | 1,152,430 | |||||||
|
| |||||||||
Wisconsin — 5.2% | ||||||||||
1,500,000 | AA+ | Wisconsin Department of Transportation, Revenue Bonds, Series I, FGIC & NPFG-Insured, 5.000% due 7/1/20 | 1,668,150 | |||||||
1,300,000 | A+ | Wisconsin Health & Educational Facilities Authority, Revenue Bonds, Aspirus Inc. Obligation Group, 4.000% due 8/15/40 | 1,319,214 | |||||||
|
| |||||||||
Total Wisconsin | 2,987,364 | |||||||||
|
| |||||||||
TOTAL MUNICIPAL BONDS (Cost — $51,914,761) | 55,790,525 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 3.0% | ||||||||||
TIME DEPOSITS — 3.0% | ||||||||||
1,217,749 | Sumitomo — Tokyo, 0.590% due 9/1/17 | 1,217,749 | ||||||||
538,885 | DNB — Oslo, 0.590% due 9/1/17 | 538,885 | ||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost — $1,756,634) | 1,756,634 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 99.3% (Cost — $53,671,395 ) | 57,547,159 | |||||||||
|
| |||||||||
Other Assets in Excess of Liabilities — 0.7% | 390,151 | |||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $ | 57,937,310 | ||||||||
|
|
See Notes to Financial Statements.
229
Schedules of Investments |
(continued) |
Municipal Bond Fund |
†† | All ratings are by Standard & Poor’s Rating Service, unless otherwise noted. All ratings are unaudited. |
(a) | Pre-refunded bonds are escrowed with government obligations and/or government agency securities and are considered by the Manager to be triple-A rated even if the issuer has not applied for new ratings. |
(b) | Rating by Moody’s Investors Service. All ratings are unaudited. |
(c) | Income from this issue is considered a preference item for purpose of calculating the alternative minimum tax (AMT). |
(d) | Rating by Fitch Ratings Service. All ratings are unaudited. |
At August 31, 2017, for Municipal Bond Fund the aggregate cost of investments, the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:
Fund | Aggregate Cost For Federal Income Tax Purposes | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||||||||||
Municipal Bond Fund | $ | 53,671,395 | $ | 3,942,122 | $ | (66,358 | ) | $ | 3,875,764 |
Abbreviations used in this schedule: | ||
AGM | — Assured Guaranty Municipal Corporation | |
AMBAC | — American Bond Assurance Corporation | |
FGIC | — Financial Guarantee Insurance Company | |
GO | — General Obligation | |
NPFG | — National Public Finance Guarantee Corporation | |
PSF-GTD | — Permanent School Fund Guaranteed |
See pages 253-254 for definitions of ratings.
Summary of Investments by Industry^ | ||||
Higher Education | 23.1 | % | ||
Health Care Providers & Services | 20.3 | |||
School District | 14.1 | |||
Transportation | 11.0 | |||
General Obligation | 7.1 | |||
Utilities | 4.9 | |||
Water and Sewer | 4.1 | |||
Airport | 4.0 | |||
Power | 3.7 | |||
Single Family Housing | 2.5 | |||
Development | 2.1 | |||
Short-Term Investments | 3.1 | |||
|
| |||
100.0 | % | |||
|
|
^ | As a percentage of total investments. |
See Notes to Financial Statements.
230
Schedules of Investments |
(continued) |
Inflation-Linked Fixed Income Fund | ||||||||||
Face Amount/Units† | Rating†† | Security | Value | |||||||
U.S. GOVERNMENT OBLIGATIONS — 112.6% | ||||||||||
$ | 850,000 | U.S. Treasury Bonds, 3.000% due 5/15/47(a) | $ | 898,128 | ||||||
U.S. Treasury Inflation Indexed Bonds: | ||||||||||
13,709,936 | 2.375% due 1/15/25 | 15,802,463 | ||||||||
74,050 | 2.000% due 1/15/26(b) | 84,149 | ||||||||
13,933,400 | 3.625% due 4/15/28 | 18,485,736 | ||||||||
11,044,106 | 2.500% due 1/15/29 | 13,517,272 | ||||||||
894,030 | 3.875% due 4/15/29 | 1,233,036 | ||||||||
4,533,280 | 2.125% due 2/15/40 | 5,773,817 | ||||||||
1,677,840 | 2.125% due 2/15/41 | 2,148,686 | ||||||||
213,086 | 0.625% due 2/15/43 | 202,043 | ||||||||
5,812,251 | 1.375% due 2/15/44 | 6,506,822 | ||||||||
624,138 | 0.750% due 2/15/45 | 604,503 | ||||||||
5,572,236 | 1.000% due 2/15/46 | 5,742,379 | ||||||||
1,217,712 | 0.875% due 2/15/47 | 1,220,143 | ||||||||
U.S. Treasury Inflation Indexed Notes: | ||||||||||
2,405,474 | 0.125% due 4/15/18 | 2,400,478 | ||||||||
8,969,446 | 0.125% due 4/15/19(a) | 8,989,866 | ||||||||
21,757,008 | 0.125% due 4/15/20(a) | 21,872,711 | ||||||||
2,426,134 | 1.250% due 7/15/20 | 2,532,074 | ||||||||
18,634,546 | 0.125% due 4/15/21 | 18,724,989 | ||||||||
26,530,750 | 0.125% due 1/15/23(a) | 26,585,469 | ||||||||
5,726,035 | 0.375% due 7/15/23 | 5,831,383 | ||||||||
5,774,010 | 0.625% due 1/15/24 | 5,933,349 | ||||||||
10,832,010 | 0.125% due 7/15/24 | 10,796,288 | ||||||||
2,906,102 | 0.250% due 1/15/25 | 2,899,391 | ||||||||
1,322,163 | 0.375% due 7/15/25 | 1,333,886 | ||||||||
10,865,791 | 0.625% due 1/15/26 | 11,120,212 | ||||||||
1,073,016 | 0.125% due 7/15/26 | 1,054,527 | ||||||||
1,101,518 | 0.375% due 7/15/27 | 1,104,090 | ||||||||
U.S. Treasury Notes: | ||||||||||
400,000 | 1.750% due 11/30/21(b) | 401,836 | ||||||||
100,000 | 2.125% due 12/31/21(b) | 101,977 | ||||||||
14,500,000 | 1.875% due 2/28/22(a) | 14,632,256 | ||||||||
3,000,000 | 2.125% due 7/31/24 | 3,035,918 | ||||||||
2,900,000 | 2.250% due 8/15/27(a) | 2,933,248 | ||||||||
|
| |||||||||
TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost — $211,625,437) | 214,503,125 | |||||||||
|
| |||||||||
SOVEREIGN BONDS — 7.0% | ||||||||||
Argentina — 0.1% | ||||||||||
3,500,000 | ARS | NR | Argentina POM Politica Monetaria, 26.250% due 6/21/20(c) | 217,168 | ||||||
|
| |||||||||
Australia — 0.2% | ||||||||||
400,000 | AUD | Aaa(d) | Australia Government Bonds, 3.000% due 9/20/25 | 445,417 | ||||||
|
| |||||||||
Brazil — 4.5% | ||||||||||
28,600,000 | BRL | BB | Brazil Letras do Tesouro Nacional, zero coupon, due 7/1/18 | 8,562,047 | ||||||
|
| |||||||||
Canada — 0.3% | ||||||||||
445,428 | CAD | AAA | Canadian Government Real Return Bonds Inflation Linked Bonds, 4.250% due 12/1/26 | 483,933 | ||||||
|
| |||||||||
Italy — 0.1% | ||||||||||
Italy Buoni Poliennali Del Tesoro: | ||||||||||
100,106 | EUR | Baa2u(d) | 1.650% due 4/23/20 | 125,964 | ||||||
102,485 | EUR | Baa2u(d) | 0.100% due 5/15/22(e) | 123,077 | ||||||
|
| |||||||||
Total Italy | 249,041 | |||||||||
|
|
See Notes to Financial Statements.
231
Schedules of Investments |
(continued) |
Inflation-Linked Fixed Income Fund | ||||||||||
Face Amount/Units† | Rating†† | Security | Value | |||||||
Japan — 0.7% | ||||||||||
$ | 200,000 | A+ | Development Bank of Japan Inc., 2.125% due 9/1/22(e)(f) | $ | 199,904 | |||||
110,441,100 | JPY | A1(d) | Japanese Government CPI Linked Bonds Inflation Linked Bonds, 0.100% due 3/10/27 | 1,046,252 | ||||||
|
| |||||||||
Total Japan | 1,246,156 | |||||||||
|
| |||||||||
New Zealand — 0.4% | ||||||||||
970,000 | NZD | AA+ | New Zealand Government Bonds Inflation Linked Bonds, 2.500% due 9/20/35 | 752,407 | ||||||
|
| |||||||||
Peru — 0.2% | ||||||||||
1,400,000 | PEN | A3(d) | Peru Government Bonds Inflation Linked Bonds, 6.150% due 8/12/32(e) | 453,265 | ||||||
|
| |||||||||
United Kingdom — 0.5% | ||||||||||
United Kingdom Gilt Inflation Linked Bonds: | ||||||||||
161,612 | GBP | Aa1u(d) | 0.125% due 3/22/46 | 344,596 | ||||||
7,196 | GBP | Aa1u(d) | 0.125% due 11/22/56 | 18,358 | ||||||
188,201 | GBP | Aa1u(d) | 0.125% due 11/22/65 | 569,750 | ||||||
|
| |||||||||
Total United Kingdom | 932,704 | |||||||||
|
| |||||||||
TOTAL SOVEREIGN BONDS (Cost — $12,948,148) | 13,342,138 | |||||||||
|
| |||||||||
CORPORATE BONDS & NOTES — 4.2% | ||||||||||
Banks — 1.7% | ||||||||||
700,000 | BBB- | Deutsche Bank AG, Senior Unsecured Notes, 4.250% due 10/14/21 | 739,287 | |||||||
100,000 | GBP | BBB+ | HSBC Holdings PLC, Subordinated Notes, 6.000% due 3/29/40 | 178,462 | ||||||
2,200,000 | DKK | AAA | Nykredit Realkredit AS, Covered Notes, 2.000% due 4/1/18 | 357,275 | ||||||
700,000 | BBB+ | Santander Holdings USA Inc., Senior Unsecured Notes, 2.767% (3-Month USD-LIBOR + 1.450%) due 11/24/17(c) | 701,862 | |||||||
400,000 | Aaa(d) | Toronto-Dominion Bank (The), Covered Notes, 2.250% due 3/15/21(e) | 402,536 | |||||||
UBS AG, Senior Unsecured Notes: | ||||||||||
400,000 | A+ | 1.539% (3-Month USD-LIBOR + 0.320%) due 12/7/18(c)(e) | 400,792 | |||||||
400,000 | A+ | 1.799% (3-Month USD-LIBOR + 0.580%) due 6/8/20(c)(e) | 401,652 | |||||||
|
| |||||||||
Total Banks | 3,181,866 | |||||||||
|
| |||||||||
Consumer Finance — 1.0% | ||||||||||
Ally Financial Inc.: | ||||||||||
400,000 | BB+ | Company Guaranteed Notes, 8.000% due 11/1/31 | 517,000 | |||||||
100,000 | BB+ | Senior Unsecured Notes, 8.000% due 11/1/31 | 129,000 | |||||||
100,000 | A1e(d) | American Honda Finance Corp., Senior Unsecured Notes, 1.669% (3-Month USD-LIBOR + 0.350%) due 11/5/21(c) | 99,980 | |||||||
200,000 | A- | Hyundai Capital America, Senior Unsecured Notes, 1.750% due 9/27/19(e) | 197,649 | |||||||
200,000 | B+ | Navient Corp., Senior Unsecured Notes, 5.500% due 1/15/19 | 207,560 | |||||||
800,000 | BBB+ | Volkswagen Group of America Finance LLC, Company Guaranteed Notes, 1.756% (3-Month USD-LIBOR + 0.440%) due 11/20/17(c)(e) | 800,438 | |||||||
|
| |||||||||
Total Consumer Finance | 1,951,627 | |||||||||
|
| |||||||||
Diversified Financial Services — 0.7% | ||||||||||
600,000 | BBB- | International Lease Finance Corp., Senior Unsecured Notes, 6.250% due 5/15/19 | 640,396 | |||||||
700,000 | B | Springleaf Finance Corp., Company Guaranteed Notes, 5.250% due 12/15/19 | 728,000 | |||||||
|
| |||||||||
Total Diversified Financial Services | 1,368,396 | |||||||||
|
| |||||||||
Diversified Telecommunication Services — 0.4% | ||||||||||
AT&T Inc., Senior Unsecured Notes: | ||||||||||
200,000 | BBB+ | 1.954% (3-Month USD-LIBOR + 0.650%) due 1/15/20(c) | 201,121 | |||||||
500,000 | BBB+ | 2.254% (3-Month USD-LIBOR + 0.950%) due 7/15/21(c) | 505,379 | |||||||
|
| |||||||||
Total Diversified Telecommunication Services | 706,500 | |||||||||
|
| |||||||||
Electric Utilities — 0.1% | ||||||||||
100,000 | BBB | E.ON International Finance BV, Company Guaranteed Notes, 5.800% due 4/30/18(e) | 102,506 | |||||||
|
|
See Notes to Financial Statements.
232
Schedules of Investments |
(continued) |
Inflation-Linked Fixed Income Fund | ||||||||||
Face Amount/Units† | Rating†† | Security | Value | |||||||
Media — 0.1% | ||||||||||
$ | 100,000 | BBB- | Time Warner Cable LLC, Senior Secured Notes, 6.750% due 7/1/18 | $ | 103,929 | |||||
|
| |||||||||
Oil, Gas & Consumable Fuels — 0.2% | ||||||||||
400,000 | BB- | Petrobras Global Finance BV, Company Guaranteed Notes, 8.375% due 5/23/21 | 454,950 | |||||||
|
| |||||||||
Tobacco — 0.0% | ||||||||||
100,000 | BBB+ | BAT Capital Corp., Company Guaranteed Notes, 1.905% (3-Month USD-LIBOR + 0.590%) due 8/14/20(c)(e) | 100,102 | |||||||
|
| |||||||||
TOTAL CORPORATE BONDS & NOTES (Cost — $7,731,286) | 7,969,876 | |||||||||
|
| |||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 3.0% | ||||||||||
1,045,356 | Caa3(d) | Alternative Loan Trust Resecuritization, Series 2008-2R, Class 1A1, 6.000% due 8/25/37(c) | 1,017,027 | |||||||
6,123 | BBB+ | American Home Mortgage Investment Trust, Series 2005-2, Class 4A1, 2.953% (6-Month USD-LIBOR + 1.500%) due 9/25/45(c) | 6,157 | |||||||
79,041 | AAA | Banc of America Funding Trust, Series 2005-B, Class 3A1B, 1.541% (1-Month USD-LIBOR + 0.310%) due 4/20/35(c) | 77,948 | |||||||
47,364 | BBB+ | Bear Stearns Adjustable Rate Mortgage Trust, Series 2003-3, Class 3A2, 3.190% due 5/25/33(c) | 47,903 | |||||||
485,809 | CCC | Bear Stearns Asset-Backed Securities Trust, Series 2004-1, Class M1, 2.209% (1-Month USD-LIBOR + 0.975%) due 6/25/34(c) | 485,061 | |||||||
207,065 | Caa2(d) | CHL Mortgage Pass-Through Trust, Series 2006-6, Class A4, 6.000% due 4/25/36 | 184,471 | |||||||
12,692 | B- | Citigroup Mortgage Loan Trust Inc., Series 2004-HYB2, Class 2A, 3.573% due 3/25/34(c) | 12,780 | |||||||
165,043 | NR | Credit Suisse Commercial Mortgage Capital Trust, Series 2017-1, Class A, 4.500% due 3/25/21(e) | 165,553 | |||||||
7,605 | AA+ | HarborView Mortgage Loan Trust, Series 2005-9, Class 2A1A, 1.571% (1-Month USD-LIBOR + 0.340%) due 6/20/35(c) | 7,463 | |||||||
113,768 | B- | IndyMac INDX Mortgage Loan Trust, Series 2005-16IP, Class A1, 1.874% (1-Month USD-LIBOR + 0.640%) due 7/25/45(c) | 105,462 | |||||||
28,064 | AA+ | MRFC Mortgage Pass-Through Trust, Series 2000-TBC2, Class A1, 1.707% (1-Month USD-LIBOR + 0.480%) due 6/15/30(c) | 27,010 | |||||||
128,040 | NR | NYMT Residential, Series 2016-RP1A, Class A, step bond to yield, 4.000% due 3/25/21(e) | 128,850 | |||||||
600,000 | B- | RASC Trust, Series 2006-KS3, Class M1, 1.564% (1-Month USD-LIBOR + 0.330%) due 4/25/36(c) | 580,119 | |||||||
665,672 | CCC | Securitized Asset-Backed Receivables LLC Trust, Series 2006-FR3, Class A3, 1.484% (1-Month USD-LIBOR + 0.250%) due 5/25/36(c) | 414,002 | |||||||
699,447 | B | Sequoia Mortgage Trust, Series 6, Class A, 1.868% (1-Month USD-LIBOR + 0.640%) due 4/19/27(c) | 665,493 | |||||||
332,471 | BBB | Structured Asset Investment Loan Trust, Series 2003-BC13, Class 1A3, 2.234% (1-Month USD-LIBOR + 1.000%) due 11/25/33(c) | 320,939 | |||||||
609,023 | NR | US Residential Opportunity Fund III Trust, Series 2016-1III, Class A, step bond to yield, 3.475% due 7/27/36(e) | 614,561 | |||||||
841,838 | NR | VOLT LVII LLC, Series 2017-NPL4, Class A1, step bond to yield, 3.375% due 4/25/47(e) | 851,405 | |||||||
WaMu Mortgage Pass-Through Certificates Trust: | ||||||||||
22,146 | Baa1(d) | Series 2002-AR2, Class A, 1.907% (11th District Cost of Funds Index + 1.250%) due 2/27/34(c) | 21,931 | |||||||
9,960 | BBB | Series 2002-AR17, Class 1A, 2.030% (1-Year Treasury Average Rate + 1.200%) due 11/25/42(c) | 9,498 | |||||||
5,437 | A+ | Wells Fargo Mortgage-Backed Securities Trust, Series 2004-E, Class A2, 3.319% due 5/25/34(c) | 5,534 | |||||||
|
| |||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost — $5,559,944) | 5,749,167 | |||||||||
|
|
See Notes to Financial Statements.
233
Schedules of Investments |
(continued) |
Inflation-Linked Fixed Income Fund | ||||||||||
Face Amount/Units† | Rating†† | Security | Value | |||||||
ASSET-BACKED SECURITY — 0.2% | ||||||||||
Student Loans — 0.2% | ||||||||||
$ | 273,151 | Aaa(d) | Navient Student Loan Trust, Series 2016-7A, Class A, 2.384% (1-Month USD-LIBOR + 1.150%) due 3/25/66(c)(e) (Cost — $273,151) | $ | 276,804 | |||||
|
| |||||||||
TOTAL INVESTMENTS IN SECURITIES BEFORE SHORT-TERM INVESTMENTS (Cost — $238,137,966) | 241,841,110 | |||||||||
|
| |||||||||
SHORT-TERM INVESTMENTS — 1.1% | ||||||||||
SOVEREIGN BONDS — 0.6% | ||||||||||
Argentina Treasury Bills: | ||||||||||
200,000 | NR | 3.176% due 9/15/17(g) | 199,760 | |||||||
100,000 | NR | 2.909% due 9/29/17(g) | 99,777 | |||||||
100,000 | NR | 2.899% due 10/13/17(g) | 99,671 | |||||||
100,000 | NR | 2.858% due 10/27/17(g) | 99,567 | |||||||
100,000 | NR | 3.200% due 12/15/17(g) | 99,100 | |||||||
460,000 | NR | 2.810% due 3/16/18(g) | 453,165 | |||||||
|
| |||||||||
TOTAL SOVEREIGN BONDS (Cost — $1,051,040) | 1,051,040 | |||||||||
|
| |||||||||
TIME DEPOSITS — 0.5% | ||||||||||
17,755 | EUR | Banco Santander SA — Frankfurt, (0.556)% due 9/1/17 | 21,140 | |||||||
BBH — Grand Cayman: | ||||||||||
2,116 | DKK | (0.800)% due 9/1/17 | 339 | |||||||
91 | CAD | 0.150% due 9/1/17 | �� | 73 | ||||||
629 | AUD | 0.484% due 9/1/17 | 500 | |||||||
486 | NZD | 0.800% due 9/1/17 | 349 | |||||||
658,038 | Citibank — New York, 0.590% due 9/1/17 | 658,038 | ||||||||
83,524 | GBP | HSBC Bank — London, 0.050% due 9/1/17 | 108,013 | |||||||
21,952,752 | JPY | Shanghai Commercial Bank Ltd. — Hong Kong, (0.230)% due 9/1/17 | 199,661 | |||||||
|
| |||||||||
TOTAL TIME DEPOSITS (Cost — $988,113) | 988,113 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS IN SECURITIES (Cost — $2,039,153) | 2,039,153 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS IN SECURITIES (Cost — $240,177,119) | 243,880,263 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS IN PURCHASED OPTIONS (Cost — $98,197) | 53,272 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 128.1% (Cost — $240,275,316) | 243,933,535 | |||||||||
|
| |||||||||
Liabilities in Excess of Other Assets — (28.1)% | (53,444,893 | ) | ||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $ | 190,488,642 | ||||||||
|
|
† | Amount denominated in U.S. dollars, unless otherwise noted. |
†† | All ratings are by Standard & Poor’s Rating Service, unless otherwise noted. All ratings are unaudited. |
(a) | Position, or portion thereof, has been segregated to collateralize reverse repurchase agreement. |
(b) | All or a portion of this security is held at the broker as collateral for open OTC derivative instruments. |
(c) | Variable rate security. Interest rate disclosed is that which was in effect at August 31, 2017. |
(d) | Rating by Moody’s Investors Service. All ratings are unaudited. |
(e) | Restricted security that may be sold to “qualified institutional buyers” pursuant to the conditions of Rule 144A under the Securities Act of 1933, as amended. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted. The aggregate value of restricted 144A holdings at August 31, 2017, amounts to approximately $5,219,094 and represents 2.74% of net assets. |
(f) | Illiquid security. |
(g) | Rate shown represents yield-to-maturity. |
See Notes to Financial Statements.
234
Schedules of Investments |
(continued) |
Inflation-Linked Fixed Income Fund |
At August 31, 2017, for Inflation-Linked Fixed Income Fund the aggregate cost of investments, the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:
Fund | Aggregate Cost For Federal Income Tax Purposes | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||||||||||
Inflation-Linked Fixed Income Fund | $ | 241,585,701 | $ | 5,697,637 | $ | (3,648,379 | ) | $ | 2,049,258 |
Abbreviations used in this schedule: | ||
CPI | — Consumer Price Index | |
LIBOR | — London Interbank Offered Rate | |
OTC | — Over the Counter | |
PLC | — Public Limited Company |
Summary of Investments by Security Type^ | ||||
U.S. Government Obligations | 87.9 | % | ||
Sovereign Bonds | 5.5 | |||
Corporate Bonds & Notes | 3.3 | |||
Collateralized Mortgage Obligations | 2.4 | |||
Asset-Backed Security | 0.1 | |||
Purchased Options | 0.0 | * | ||
Short-Term Investments | 0.8 | |||
|
| |||
100.0 | % | |||
|
|
^ | As a percentage of total investments. |
* | Position represents less than 0.05% |
Schedule of Options Contracts Purchased
Interest Rate Swaptions | ||||||||||||||||||||||||
Number of Contracts | Notional Amounts | Security Name | Counterparty | Expiration Date | Strike Price | Value | ||||||||||||||||||
1,550,000 | $ | 2,039,971 | OTC 10-Year Swaption, 3-Month USD-LIBOR, Put | JPM | 7/16/18 | 2.765 | % | $ | 9,467 | |||||||||||||||
400,000 | 526,444 | OTC 30-Year Swaption, 3-Month USD-LIBOR, Call | DUB | 6/15/18 | 2.150 | 10,604 | ||||||||||||||||||
400,000 | 526,444 | OTC 30-Year Swaption, 3-Month USD-LIBOR, Put | DUB | 6/15/18 | 2.150 | 33,201 | ||||||||||||||||||
|
| |||||||||||||||||||||||
TOTAL OPTIONS CONTRACTS PURCHASED (Cost — $98,197) | $ | 53,272 | ||||||||||||||||||||||
|
|
Schedule of Options Contracts Written
Currency Option | ||||||||||||||||||||||||
Number of Contracts | Notional Amounts | Security Name | Counterparty | Expiration Date | Strike Price | Value | ||||||||||||||||||
641,760 | $ | 641,760 | OTC Euro versus U.S. Dollar, Call(a) | SCB | 10/6/17 | $ | 1.20 | $ | 4,230 | |||||||||||||||
|
|
See Notes to Financial Statements.
235
Schedules of Investments |
(continued) |
Inflation-Linked Fixed Income Fund |
Options on Futures | ||||||||||||||||||||||||
Number of Contracts | Notional Amounts | Security Name | Counterparty | Expiration Date | Strike Price | Value | ||||||||||||||||||
40 | $ | 5,072,501 | U.S. Treasury 10-Year Note October Futures, Call | CSFB | 9/22/17 | $ | 127.00 | $ | 18,125 | |||||||||||||||
40 | 5,072,501 | U.S. Treasury 10-Year Note October Futures, Put | CSFB | 9/22/17 | 125.50 | 2,500 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total Options on Futures | 20,625 | |||||||||||||||||||||||
|
| |||||||||||||||||||||||
TOTAL OPTIONS CONTRACTS WRITTEN (Premiums received — $27,659) | $ | 24,855 | ||||||||||||||||||||||
|
|
(a) | Illiquid security. |
Schedule of Reverse Repurchase Agreements
Face Amounts | Security | Value | ||||||
Merrill Lynch & Pierce, Fenner & Smith Inc.: | ||||||||
$ | 2,929,000 | 0.800% due 9/1/17 | $ | 2,929,000 | ||||
RBS Securities Inc.: | ||||||||
1,714,875 | 1.250% due 9/7/17 | 1,714,875 | ||||||
898,875 | 1.220% due 10/27/17 | 898,875 | ||||||
Standard Chartered Bank: | ||||||||
12,976,000 | 1.270% due 10/17/17 | 12,976,000 | ||||||
35,456,750 | 1.290% due 10/17/17 | 35,456,750 | ||||||
|
| |||||||
TOTAL REVERSE REPURCHASE AGREEMENTS (Proceeds — $53,975,500) | $ | 53,975,500 | ||||||
|
|
For the year ended August 31, 2017, the average borrowing and interest rate under the reverse repurchase agreements were $42,574,933 and 0.911%, respectively.
At August 31, 2017, Inflation-Linked Fixed Income Fund had open exchange traded futures contracts as described below.
The unrealized appreciation (depreciation) on the open contracts reflected in the accompanying financial statements were as follows:
Open Futures Contracts | Number of Contracts | Expiration Date (Month/Year) | Notional Amounts | Market Value | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Contracts to Buy: | ||||||||||||||||||||
U.S. Treasury 10-Year Note December Futures | 123 | 12/17 | $ | 15,530,672 | $ | 15,619,078 | $ | 88,406 | ||||||||||||
|
| |||||||||||||||||||
Contracts to Sell: | ||||||||||||||||||||
Japan Government 10-Year Bond September Futures | 3 | 9/17 | 4,109,414 | 4,123,329 | (13,915 | ) | ||||||||||||||
U.S. Treasury 2-Year Note December Futures | 92 | 12/17 | 19,902,040 | 19,900,750 | 1,290 | |||||||||||||||
U.S. Treasury 5-Year Note December Futures | 184 | 12/17 | 21,784,499 | 21,804,000 | (19,501 | ) | ||||||||||||||
U.S. Treasury Long Bond December Futures | 22 | 12/17 | 3,415,690 | 3,434,063 | (18,373 | ) | ||||||||||||||
United Kingdom Treasury 10-Year Gilt December Futures | 23 | 12/17 | 3,777,140 | 3,786,360 | (9,220 | ) | ||||||||||||||
|
| |||||||||||||||||||
(59,719 | ) | |||||||||||||||||||
|
| |||||||||||||||||||
Net Unrealized Appreciation on Open Exchange Traded Futures Contracts | $ | 28,687 | ||||||||||||||||||
|
|
See Notes to Financial Statements.
236
Schedules of Investments |
(continued) |
Inflation-Linked Fixed Income Fund |
At August 31, 2017, Inflation-Linked Fixed Income Fund had deposited cash of $ 229,000 with a broker or brokers as margin collateral on open exchange traded futures contracts.
At August 31, 2017, Inflation-Linked Fixed Income Fund had open forward foreign currency contracts as described below.
The unrealized appreciation (depreciation) on the open contracts reflected in the accompanying financial statements were as follows:
Foreign Currency | Local Currency | In Exchange For | Counterparty | Market Value | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
Contracts to Buy: | ||||||||||||||||||||||||||||
Argentine Peso | 3,890,850 | USD | 232,498 | HSBC | $ | 224,020 | 9/15/17 | $ | (8,478 | ) | ||||||||||||||||||
Argentine Peso | 2,234,280 | USD | 129,000 | BNP | 128,456 | 9/18/17 | (544 | ) | ||||||||||||||||||||
Argentine Peso | 1,426,882 | USD | 82,000 | HSBC | 82,036 | 9/18/17 | 36 | |||||||||||||||||||||
Argentine Peso | 756,800 | USD | 43,000 | HSBC | 43,428 | 9/22/17 | 428 | |||||||||||||||||||||
Brazilian Real | 1,569,674 | USD | 483,498 | BNP | 498,650 | 9/5/17 | 15,152 | |||||||||||||||||||||
Brazilian Real | 279,594 | USD | 88,842 | DUB | 88,821 | 9/5/17 | (21 | ) | ||||||||||||||||||||
Brazilian Real | 1,290,080 | USD | 409,927 | MLP | 409,829 | 9/5/17 | (98 | ) | ||||||||||||||||||||
Brazilian Real | 12,400,000 | USD | 3,698,733 | BNP | 3,921,424 | 10/3/17 | 222,691 | |||||||||||||||||||||
Brazilian Real | 4,100,000 | USD | 1,285,009 | DUB | 1,296,600 | 10/3/17 | 11,591 | |||||||||||||||||||||
Brazilian Real | 4,800,000 | USD | 1,436,319 | DUB | 1,517,970 | 10/3/17 | 81,651 | |||||||||||||||||||||
Brazilian Real | 1,290,080 | USD | 405,290 | MLP | 407,980 | 10/3/17 | 2,690 | |||||||||||||||||||||
British Pound | 403,000 | USD | 533,056 | JPM | 521,159 | 9/5/17 | (11,897 | ) | ||||||||||||||||||||
Indian Rupee | 26,786,707 | USD | 406,722 | BNP | 414,495 | 12/4/17 | 7,773 | |||||||||||||||||||||
Indian Rupee | 15,434,164 | USD | 236,000 | JPM | 238,827 | 12/4/17 | 2,827 | |||||||||||||||||||||
Japanese Yen | 121,100,000 | USD | 1,116,086 | SCB | 1,101,410 | 9/5/17 | (14,676 | ) | ||||||||||||||||||||
Mexican Peso | 10,900,000 | USD | 549,440 | BNP | 592,889 | 3/1/18 | 43,449 | |||||||||||||||||||||
Russian Ruble | 24,070,320 | USD | 415,963 | HSBC | 413,756 | 9/21/17 | (2,207 | ) | ||||||||||||||||||||
|
| |||||||||||||||||||||||||||
350,367 | ||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||
Contracts to Sell: | ||||||||||||||||||||||||||||
Argentine Peso | 393,235 | USD | 21,500 | BNP | 22,641 | 9/15/17 | (1,141 | ) | ||||||||||||||||||||
Argentine Peso | 393,450 | USD | 21,500 | JPM | 22,653 | 9/15/17 | (1,153 | ) | ||||||||||||||||||||
Australian Dollar | 282,000 | USD | 222,641 | BNP | 224,176 | 9/5/17 | (1,535 | ) | ||||||||||||||||||||
Australian Dollar | 970,000 | USD | 774,280 | JPM | 771,101 | 9/5/17 | 3,179 | |||||||||||||||||||||
Australian Dollar | 282,000 | USD | 222,435 | JPM | 224,176 | 9/5/17 | (1,741 | ) | ||||||||||||||||||||
Brazilian Real | 1,569,674 | USD | 498,769 | BNP | 498,650 | 9/5/17 | 119 | |||||||||||||||||||||
Brazilian Real | 279,594 | USD | 88,000 | DUB | 88,821 | 9/5/17 | (821 | ) | ||||||||||||||||||||
Brazilian Real | 1,290,080 | USD | 407,158 | MLP | 409,829 | 9/5/17 | (2,671 | ) | ||||||||||||||||||||
Brazilian Real | 5,800,000 | USD | 1,727,398 | BNP | 1,834,214 | 10/3/17 | (106,816 | ) | ||||||||||||||||||||
Brazilian Real | 6,100,000 | USD | 1,779,463 | BNP | 1,929,087 | 10/3/17 | (149,624 | ) | ||||||||||||||||||||
Brazilian Real | 5,500,000 | USD | 1,617,647 | JPM | 1,739,341 | 10/3/17 | (121,694 | ) | ||||||||||||||||||||
Brazilian Real | 3,900,000 | USD | 1,160,196 | JPM | 1,233,351 | 10/3/17 | (73,155 | ) | ||||||||||||||||||||
Brazilian Real | 14,300,000 | USD | 4,079,886 | BNP | 4,363,903 | 7/3/18 | (284,017 | ) | ||||||||||||||||||||
Brazilian Real | 4,300,000 | USD | 1,297,604 | DUB | 1,312,223 | 7/3/18 | (14,619 | ) | ||||||||||||||||||||
Brazilian Real | 5,400,000 | USD | 1,544,663 | DUB | 1,647,907 | 7/3/18 | (103,244 | ) | ||||||||||||||||||||
Brazilian Real | 4,400,000 | USD | 1,308,550 | JPM | 1,342,739 | 7/3/18 | (34,189 | ) | ||||||||||||||||||||
Brazilian Real | 200,000 | USD | 58,420 | JPM | 61,034 | 7/3/18 | (2,614 | ) | ||||||||||||||||||||
British Pound | 1,404,000 | USD | 1,837,748 | DUB | 1,815,652 | 9/5/17 | 22,096 | |||||||||||||||||||||
British Pound | 87,000 | USD | 112,870 | MLP | 112,508 | 9/5/17 | 362 | |||||||||||||||||||||
Canadian Dollar | 581,000 | USD | 456,237 | JPM | 465,340 | 9/5/17 | (9,103 | ) | ||||||||||||||||||||
Canadian Dollar | 615,000 | USD | 484,411 | MLP | 492,571 | 9/5/17 | (8,160 | ) | ||||||||||||||||||||
Danish Krone | 2,200,000 | USD | 327,722 | BNP | 356,699 | 4/3/18 | (28,977 | ) | ||||||||||||||||||||
Danish Krone | 44,000 | USD | 6,750 | DUB | 7,134 | 4/3/18 | (384 | ) | ||||||||||||||||||||
Euro | 134,000 | USD | 158,494 | HSBC | 159,547 | 9/5/17 | (1,053 | ) |
See Notes to Financial Statements.
237
Schedules of Investments |
(continued) |
Inflation-Linked Fixed Income Fund |
Foreign Currency | Local Currency | In Exchange For | Counterparty | Market Value | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
Contracts to Sell: (continued) | ||||||||||||||||||||||||||||
Euro | 190,000 | USD | 223,271 | JPM | $ | 226,224 | 9/5/17 | $ | (2,953 | ) | ||||||||||||||||||
Euro | 207,000 | USD | 243,465 | MLP | 246,465 | 9/5/17 | (3,000 | ) | ||||||||||||||||||||
Indian Rupee | 8,327,680 | USD | 128,000 | BNP | 128,862 | 12/4/17 | (862 | ) | ||||||||||||||||||||
Japanese Yen | 121,100,000 | USD | 1,097,003 | SCB | 1,101,410 | 9/5/17 | (4,407 | ) | ||||||||||||||||||||
Japanese Yen | 121,100,000 | USD | 1,117,674 | SCB | 1,102,875 | 10/3/17 | 14,799 | |||||||||||||||||||||
Mexican Peso | 10,900,000 | USD | 521,240 | BNP | 592,889 | 3/1/18 | (71,649 | ) | ||||||||||||||||||||
New Zealand Dollar | 1,074,000 | USD | 802,346 | JPM | 771,239 | 9/5/17 | 31,107 | |||||||||||||||||||||
Russian Ruble | 23,941,800 | USD | 409,360 | SCB | 409,261 | 10/20/17 | 99 | |||||||||||||||||||||
|
| |||||||||||||||||||||||||||
(957,821 | ) | |||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||
Net Unrealized Depreciation on Open Forward Foreign Currency Contracts | $ | (607,454 | ) | |||||||||||||||||||||||||
|
|
At August 31, 2017, Inflation-Linked Fixed Income Fund held the following Centrally Cleared Interest Rate Swap Contracts:
Pay/Receive Floating Rate | Floating Rate Index | Fixed Rate | Maturity Date | Payment Frequency | Notional Amounts | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
Pay | 28-Day MXN TIIE Banxico | 5.610% | 7/7/21 | 28-Day | MXN | 8,600,000 | $ | (21,727 | ) | $ | (23,909 | ) | $ | 2,182 | ||||||||||||||||
Pay | 28-Day MXN TIIE Banxico | 6.750% | 8/31/21 | 28-Day | MXN | 9,200,000 | (2,750 | ) | (5,618 | ) | 2,868 | |||||||||||||||||||
Pay | 28-Day MXN TIIE Banxico | 7.030% | 11/10/21 | 28-Day | MXN | 10,500,000 | 3,013 | (333 | ) | 3,346 | ||||||||||||||||||||
Pay | 28-Day MXN TIIE Banxico | 7.200% | 6/5/24 | 28-Day | MXN | 8,100,000 | 4,848 | 86 | 4,762 | |||||||||||||||||||||
Pay | 28-Day MXN TIIE Banxico | 7.200% | 6/11/27 | 28-Day | MXN | 2,400,000 | 548 | 1,269 | (721 | ) | ||||||||||||||||||||
Pay | 28-Day MXN TIIE Banxico | 7.380% | 11/4/26 | 28-Day | MXN | 900,000 | 930 | — | 930 | |||||||||||||||||||||
Pay | 28-Day MXN TIIE Banxico | 7.388% | 11/17/21 | 28-Day | MXN | 1,100,000 | 1,143 | — | 1,143 | |||||||||||||||||||||
Pay | 28-Day MXN TIIE Banxico | 7.480% | 6/18/37 | 28-Day | MXN | 300,000 | 33 | — | 33 | |||||||||||||||||||||
Pay | 28-Day MXN TIIE Banxico | 7.733% | 2/25/27 | 28-Day | MXN | 6,400,000 | 15,568 | 9,391 | 6,177 | |||||||||||||||||||||
Pay | 28-Day MXN TIIE Banxico | 8.035% | 12/17/26 | 28-Day | MXN | 600,000 | 2,188 | (1,037 | ) | 3,225 | ||||||||||||||||||||
Pay | 28-Day MXN TIIE Banxico | 8.280% | 11/28/36 | 28-Day | MXN | 3,200,000 | 16,805 | 16,343 | 462 | |||||||||||||||||||||
Receive | 3-Month USD-LIBOR | 1.250% | 6/21/19 | 6-Month | USD | 13,500,000 | 65,551 | 81,220 | (15,669 | ) | ||||||||||||||||||||
Receive | 3-Month USD-LIBOR | 1.750% | 12/21/26 | 6-Month | USD | 630,000 | 14,925 | (16,090 | ) | 31,015 | ||||||||||||||||||||
Receive | 3-Month USD-LIBOR | 2.000% | 7/27/26 | 6-Month | USD | 3,100,000 | 44,932 | 90,254 | (45,322 | ) | ||||||||||||||||||||
Receive | 3-Month USD-LIBOR | 2.250% | 12/21/46 | 6-Month | USD | 20,000 | 659 | (2,253 | ) | 2,912 | ||||||||||||||||||||
Receive | 3-Month USD-LIBOR | 2.500% | 2/22/26 | 6-Month | USD | 18,130,000 | (187,472 | ) | (375,388 | ) | 187,916 | |||||||||||||||||||
Receive | 6-Month GBP-LIBOR | 1.500% | 3/21/28 | 6-Month | GBP | 2,700,000 | (99,655 | ) | (92,459 | ) | (7,196 | ) | ||||||||||||||||||
Receive | 6-Month JPY-LIBOR | 0.450% | 3/20/29 | 6-Month | JPY | 310,000,000 | (30,933 | ) | (17,168 | ) | (13,765 | ) | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
$ | (171,394 | ) | $ | (335,692 | ) | $ | 164,298 | |||||||||||||||||||||||
|
|
|
|
|
|
At August 31, 2017, Inflation-Linked Fixed Income Fund held the following Centrally Cleared Inflation Rate Swap Contracts: | ||||||||||||||||||||||||||
Pay/Receive Floating Rate | Floating Rate Index | Fixed Rate | Maturity Date | Notional Amounts | Market Value | Upfront (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
Pay | 2-Year EUR Inflation Linked | 0.890% | 11/15/18 | EUR | 100,000 | $ | 58 | $ | (429 | ) | $ | 487 | ||||||||||||||
Receive | 10-Year EUR Inflation Linked | 1.385% | 12/15/26 | EUR | 70,000 | (231 | ) | (6,018 | ) | 5,787 | ||||||||||||||||
Receive | 10-Year EUR Inflation Linked | 1.438% | 6/15/27 | EUR | 800,000 | (6,427 | ) | (3,096 | ) | (3,331 | ) | |||||||||||||||
Receive | 15-Year GBP Inflation Linked | 3.100% | 6/15/31 | GBP | 2,900,000 | (279,241 | ) | (300,001 | ) | 20,760 | ||||||||||||||||
Receive | 15-Year GBP Inflation Linked | 3.530% | 10/15/31 | GBP | 1,190,000 | 24,055 | (7,844 | ) | 31,899 | |||||||||||||||||
Pay | 30-Year GBP Inflation Linked | 3.585% | 10/15/46 | GBP | 240,000 | (18,467 | ) | (20,844 | ) | 2,377 | ||||||||||||||||
Pay | 1-Year USD Inflation Linked | 1.710% | 4/27/18 | USD | 1,400,000 | (6,468 | ) | — | (6,468 | ) | ||||||||||||||||
Receive | 2-Year USD Inflation Linked | 1.935% | 4/27/19 | USD | 1,400,000 | 10,745 | — | 10,745 |
See Notes to Financial Statements.
238
Schedules of Investments |
(continued) |
Inflation-Linked Fixed Income Fund |
Pay/Receive Floating Rate | Floating Rate Index | Fixed Rate | Maturity Date | Notional Amounts | Market Value | Upfront (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
Pay | 4-Year USD Inflation Linked | 2.027% | 11/23/20 | USD | 700,000 | $ | (3,958 | ) | $ | — | $ | (3,958 | ) | |||||||||||||
Pay | 5-Year USD Inflation Linked | 1.550% | 7/26/21 | USD | 400,000 | 7,084 | 13,538 | (6,454 | ) | |||||||||||||||||
Pay | 5-Year USD Inflation Linked | 1.603% | 9/12/21 | USD | 310,000 | 4,018 | 9,337 | (5,319 | ) | |||||||||||||||||
Receive | 10-Year USD Inflation Linked | 1.730% | 7/26/26 | USD | 400,000 | (11,813 | ) | (21,441 | ) | 9,628 | ||||||||||||||||
Receive | 10-Year USD Inflation Linked | 1.762% | 8/30/26 | USD | 1,500,000 | (35,736 | ) | (73,591 | ) | 37,855 | ||||||||||||||||
Receive | 10-Year USD Inflation Linked | 1.801% | 9/12/26 | USD | 310,000 | (6,425 | ) | (14,319 | ) | 7,894 | ||||||||||||||||
Receive | 10-Year USD Inflation Linked | 2.067% | 7/25/27 | USD | 600,000 | 9 | — | 9 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||
$ | (322,797 | ) | $ | (424,708 | ) | $ | 101,911 | |||||||||||||||||||
|
|
|
|
|
|
At August 31, 2017, Inflation-Linked Fixed Income Fund held the following OTC and Centrally Cleared Credit Default Swap Contracts:
OTC Credit Default Swaps on Corporate and Sovereign Issues — Sell Protection (1)
Reference Obligation | Fixed Deal Receive Rate | Maturity Date | Payment Frequency | Counterparty | Implied Credit Spread at 8/31/17 (2) | Notional Amounts (3) | Market Value | Upfront Premiums (Received) | Unrealized Appreciation | |||||||||||||||||||||||||||
Brazil Government International Bond, BB | 1.000 | % | 6/20/21 | 3-Month | DUB | 1.471 | % | USD | 100,000 | $ | (1,512 | ) | $ | (8,609 | ) | $ | 7,097 | |||||||||||||||||||
Brazil Government International Bond, BB | 1.000 | % | 6/20/21 | 3-Month | HSBC | 1.471 | % | USD | 800,000 | (12,094 | ) | (55,500 | ) | 43,406 | ||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||||
$ | (13,606 | ) | $ | (64,109 | ) | $ | 50,503 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
Centrally Cleared — Credit Default Swaps on Indexes — Buy Protection (4)
Reference Obligation | Fixed Deal (Pay) Rate | Maturity Date | Payment Frequency | Implied Credit Spread at 8/31/17 (2) | Notional Amounts (3) | Market Value | Upfront Premiums (Received) | Unrealized (Depreciation) | ||||||||||||||||||||||||
Markit CDX North America High Yield Series 28 | (5.000 | %) | 6/20/22 | 3-Month | 3.259 | % | USD | 2,100,000 | $ | (174,262 | ) | $ | (153,600 | ) | $ | (20,662 | ) | |||||||||||||||
Markit iTraxx Europe Series 27 5-Year Index | (1.000 | %) | 6/20/22 | 3-Month | 0.550 | % | EUR | 1,700,000 | (47,665 | )�� | (29,002 | ) | (18,663 | ) | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | (221,927 | ) | $ | (182,602 | ) | $ | (39,325 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
(1) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as ‘‘Defaulted’’ indicates a credit event has occurred for the referenced entity or obligation. |
(3) | The maximum potential amount the Fund could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(4) | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the reference obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising the referenced index. |
See Notes to Financial Statements.
239
Schedules of Investments |
(continued) |
Inflation-Linked Fixed Income Fund |
At August 31, 2017, Inflation-Linked Fixed Income Fund deposited cash collateral with brokers in the amount of $727,000 for open centrally cleared swap contracts.
At August 31, 2017, Inflation-Linked Fixed Income Fund had cash collateral from brokers in the amount of $260,000 for open OTC swap contracts.
Currency Abbreviations used in this schedule: | Counterparty Abbreviations used in this schedule: | |||||
ARS | — Argentine Peso | BNP | — BNP Paribas SA | |||
AUD | — Australian Dollar | CSFB | — Credit Suisse Securities (USA) LLC | |||
BRL | — Brazilian Real | DUB | — Deutsche Bank AG | |||
CAD | — Canadian Dollar | HSBC | — HSBC Bank USA | |||
DKK | — Danish Krone | JPM | — JPMorgan Chase & Co. | |||
EUR | — Euro | MLP | — Merrill Lynch, Pierce, Fenner & Smith Inc. | |||
GBP | — British Pound | SCB | — Standard Chartered Bank | |||
JPY | — Japanese Yen | UBS | — UBS Securities LLC | |||
MXN | — Mexican Peso | |||||
NZD | — New Zealand Dollar | |||||
PEN | — Peruvian Sol |
See pages 253-254 for definitions of ratings.
See Notes to Financial Statements.
240
Schedules of Investments |
(continued) |
Ultra-Short Term Fixed Income Fund | ||||||||||
Face Amount/Units† | Rating†† | Security | Value | |||||||
CORPORATE BONDS & NOTES — 59.6% | ||||||||||
Airlines — 0.3% | ||||||||||
$ | 468,322 | A | Northwest Airlines Inc., Class A Pass-Through Trust, Series 2007-1, Pass-Thru Certificates, 7.027% due 11/1/19 | $ | 516,910 | |||||
320,929 | BBB+ | Northwest Airlines Inc., Class G-2 Pass-Through Trust, Series 2002-1, Pass-Thru Certificates, 6.264% due 11/20/21 | 342,993 | |||||||
|
| |||||||||
Total Airlines | 859,903 | |||||||||
|
| |||||||||
Automobiles — 0.8% | ||||||||||
2,300,000 | A- | Aviation Capital Group Corp., Senior Unsecured Notes, 4.625% due 1/31/18(a) | 2,325,326 | |||||||
|
| |||||||||
Banks — 16.4% | ||||||||||
400,000 | A- | Aozora Bank Ltd., Senior Unsecured Notes, 2.750% due 3/9/20 | 403,672 | |||||||
1,500,000 | A+ | Banco del Estado de Chile, Senior Unsecured Notes, 2.000% due 11/9/17(a) | 1,500,208 | |||||||
1,600,000 | BBB+ | Bank of America Corp., Senior Unsecured Notes, 5.650% due 5/1/18 | 1,640,423 | |||||||
Barclays Bank PLC, Subordinated Notes: | ||||||||||
1,500,000 | BBB- | 6.050% due 12/4/17 | 1,516,040 | |||||||
1,850,000 | BBB- | 6.050% due 12/4/17(a) | 1,869,550 | |||||||
400,000 | BB+ | 7.750% (5-Year USD Swap Rate + 6.833%) due 4/10/23(b) | 413,500 | |||||||
Barclays PLC: | ||||||||||
200,000 | B+ | Junior Subordinated Notes, 8.250% (5-Year USD Swap Rate + 6.705%)(b)(c) | 212,532 | |||||||
500,000 | BBB | Senior Unsecured Notes, 2.000% due 3/16/18 | 500,703 | |||||||
468,000 | BB+ | CIT Group Inc., Senior Unsecured Notes, 5.500% due 2/15/19(a) | 490,815 | |||||||
3,300,000 | BBB+ | Citigroup Inc., Senior Unsecured Notes, 2.624% (3-Month USD-LIBOR + 1.310%) due 10/26/20(b) | 3,373,708 | |||||||
1,250,000 | A | Credit Suisse AG, Senior Unsecured Notes, 1.700% due 4/27/18 | 1,250,806 | |||||||
2,600,000 | AA | Dexia Credit Local SA, Government Liquid Guaranteed Notes, 1.889% (3-Month USD-LIBOR + 0.600%) due 3/23/18(a)(b) | 2,606,643 | |||||||
600,000 | BBB+ | Eksportfinans ASA, Senior Unsecured Notes, 2.109% (3-Month USD-LIBOR + 0.800%) due 11/10/20(b) | 593,438 | |||||||
300,000 | A3(e) | Emirates NBD PJSC, Senior Unsecured Notes, 2.864% (3-Month USD-LIBOR + 1.550%) due 1/26/20(b) | 300,605 | |||||||
600,000 | BBB- | HBOS PLC, Subordinated Notes, 1.923% (3-Month USD-LIBOR + 0.700%) due 9/6/17(b) | 599,996 | |||||||
2,000,000 | A | HSBC USA Inc., Senior Unsecured Notes, 1.700% due 3/5/18 | 2,001,528 | |||||||
ICICI Bank Ltd., Senior Unsecured Notes: | ||||||||||
1,000,000 | BBB- | 4.700% due 2/21/18(a) | 1,013,476 | |||||||
500,000 | BBB- | 4.800% due 5/22/19 | 520,853 | |||||||
200,000 | BBB- | 3.125% due 8/12/20 | 202,783 | |||||||
600,000 | BBB+ | ING Bank NV, Subordinated Notes, 4.125% (5-Year USD 1100 Run ICE Swap Rate + 2.700%) due 11/21/23(b) | 613,106 | |||||||
400,000 | BBB- | KBC Bank NV, Subordinated Notes, 8.000% (5-Year USD Swap Rate + 7.097%) due 1/25/23(b) | 409,376 | |||||||
1,600,000 | GBP | BB- | Lloyds Banking Group PLC, Junior Subordinated Notes, 7.000% (5-Year GBP Swap Rate + 5.060%)(b)(c) | 2,174,769 | ||||||
1,600,000 | A | Macquarie Bank Ltd., Senior Unsecured Notes, 2.600% due 6/24/19(a) | 1,616,656 | |||||||
Mizuho Financial Group Inc., Senior Unsecured Notes: | ||||||||||
1,800,000 | A- | 2.376% (3-Month USD-LIBOR + 1.140%) due 9/13/21(b) | 1,828,050 | |||||||
1,600,000 | A- | 2.257% (3-Month USD-LIBOR + 0.940%) due 2/28/22(b) | 1,607,289 | |||||||
QNB Finance Ltd., Company Guaranteed Notes: | ||||||||||
700,000 | A | 2.125% due 2/14/18 | 699,580 | |||||||
300,000 | Aa3(e) | 2.716% (3-Month USD-LIBOR + 1.400%) due 5/20/18(b) | 298,316 | |||||||
1,900,000 | BBB- | Royal Bank of Scotland Group PLC, Senior Unsecured Notes, 2.785% (3-Month USD-LIBOR + 1.470%) due 5/15/23(b) | 1,912,345 | |||||||
2,800,000 | BBB+ | Santander Holdings USA Inc., Senior Unsecured Notes, 2.767% (3-Month USD-LIBOR + 1.450%) due 11/24/17(b) | 2,807,447 | |||||||
300,000 | BBB | Santander UK Group Holdings PLC, Senior Unsecured Notes, 2.875% due 10/16/20 | 305,312 |
See Notes to Financial Statements.
241
Schedules of Investments |
(continued) |
Ultra-Short Term Fixed Income Fund | ||||||||||
Face Amount/Units† | Rating†† | Security | Value | |||||||
Banks — 16.4% — (continued) | ||||||||||
$ | 1,200,000 | BBB+ | Siam Commercial Bank PCL, Senior Unsecured Notes, 3.375% due 9/19/17(a) | $ | 1,200,622 | |||||
100,000 | BBB- | SMFG Preferred Capital USD 3 Ltd., Junior Subordinated Notes, 9.500% (6-Month USD-LIBOR + 5.890%)(b)(c) | 106,715 | |||||||
700,000 | BB+ | Societe Generale SA, Junior Subordinated Notes, 8.250% (5-Year USD Swap Rate + 6.394%)(b)(c) | 743,621 | |||||||
2,500,000 | BBB+ | Standard Chartered PLC, Senior Unsecured Notes, 1.559% (3-Month USD-LIBOR + 0.340%) due 9/8/17(a)(b) | 2,500,010 | |||||||
900,000 | BBB- | State Bank of India, Senior Unsecured Notes, 2.252% (3-Month USD-LIBOR + 0.950%) due 4/6/20(b) | 901,125 | |||||||
3,500,000 | A- | Sumitomo Mitsui Financial Group Inc., Senior Unsecured Notes, 2.084% (3-Month USD-LIBOR + 0.780%) due 7/12/22(b) | 3,505,884 | |||||||
900,000 | BBB+ | UBS AG, Subordinated Notes, 4.750% (5-Year USD Swap Rate + 3.765%) due 5/22/23(b) | 915,233 | |||||||
|
| |||||||||
Total Banks | 45,156,735 | |||||||||
|
| |||||||||
Capital Market — 0.6% | ||||||||||
1,685,000 | BBB+ | Goldman Sachs Group Inc. (The), Senior Unsecured Notes, 2.446% (3-Month USD-LIBOR + 1.200%) due 9/15/20(b) | 1,715,422 | |||||||
|
| |||||||||
Commercial Services & Supplies — 3.2% | ||||||||||
Central Nippon Expressway Co., Ltd., Senior Unsecured Notes: | ||||||||||
2,300,000 | A1(e) | 2.079% due 11/5/19 | 2,299,478 | |||||||
3,000,000 | A1(e) | 2.126% (3-Month USD-LIBOR + 0.810%) due 3/3/22(b) | 3,012,420 | |||||||
1,200,000 | BBB+ | ERAC USA Finance LLC, Company Guaranteed Notes, 6.375% due 10/15/17(a) | 1,206,126 | |||||||
1,500,000 | BBB+ | HPHT Finance 15 Ltd., Company Guaranteed Notes, 2.250% due 3/17/18(f) | 1,500,293 | |||||||
800,000 | AA- | SoQ Sukuk A QSC, Government Guaranteed Notes, 2.099% due 1/18/18 | 800,200 | |||||||
|
| |||||||||
Total Commercial Services & Supplies | 8,818,517 | |||||||||
|
| |||||||||
Consumer Finance — 6.6% | ||||||||||
Ally Financial Inc.: | ||||||||||
Company Guaranteed Notes: | ||||||||||
1,700,000 | BB+ | 4.750% due 9/10/18 | 1,741,973 | |||||||
300,000 | BB+ | 3.500% due 1/27/19 | 304,500 | |||||||
500,000 | BB+ | Senior Unsecured Notes, 3.250% due 2/13/18 | 502,500 | |||||||
800,000 | A1e(e) | American Honda Finance Corp., Senior Unsecured Notes, 1.669% (3-Month USD-LIBOR + 0.350%) due 11/5/21(b) | 799,840 | |||||||
4,600,000 | A | Daimler Finance North America LLC, Company Guaranteed Notes, 1.931% (3-Month USD-LIBOR + 0.620%) due 10/30/19(a)(b) | 4,623,239 | |||||||
3,400,000 | BBB | Ford Motor Credit Co. LLC, Senior Unsecured Notes, 2.304% (3-Month USD-LIBOR + 1.000%) due 1/9/20(b) | 3,428,373 | |||||||
Navient Corp., Senior Unsecured Notes: | ||||||||||
500,000 | B+ | 4.625% due 9/25/17 | 500,500 | |||||||
1,100,000 | B+ | 5.500% due 1/15/19 | 1,141,580 | |||||||
500,000 | B+ | 4.875% due 6/17/19 | 518,125 | |||||||
500,000 | B+ | 8.000% due 3/25/20 | 553,125 | |||||||
Nissan Motor Acceptance Corp., Senior Unsecured Notes: | ||||||||||
550,000 | A | 2.229% (3-Month USD-LIBOR + 1.010%) due 3/8/19(a)(b) | 556,193 | |||||||
1,700,000 | A | 1.954% (3-Month USD-LIBOR + 0.650%) due 7/13/22(a)(b) | 1,702,613 | |||||||
1,500,000 | BBB | RCI Banque SA, Senior Unsecured Notes, 3.500% due 4/3/18(a) | 1,514,134 | |||||||
200,000 | BBB+ | VW Credit Inc., Company Guaranteed Notes, 2.250% due 3/23/18 | 200,548 | |||||||
|
| |||||||||
Total Consumer Finance | 18,087,243 | |||||||||
|
| |||||||||
Diversified Financial Services — 5.3% | ||||||||||
200,000 | BBB- | AerCap Ireland Capital DAC / AerCap Global Aviation Trust, Company Guaranteed Notes, 3.750% due 5/15/19 | 205,267 | |||||||
Bear Stearns Cos. LLC (The), Company Guaranteed Notes: | ||||||||||
1,100,000 | A- | 6.400% due 10/2/17 | 1,177,517 |
See Notes to Financial Statements.
242
Schedules of Investments |
(continued) |
Ultra-Short Term Fixed Income Fund | ||||||||||
Face Amount/Units† | Rating†† | Security | Value | |||||||
Diversified Financial Services — 5.3% — (continued) | ||||||||||
$ | 500,000 | A- | 7.250% due 2/1/18 | $ | 511,174 | |||||
190,000 | A3(e) | 4.650% due 7/2/18 | 194,683 | |||||||
1,100,000 | A- | BOC Aviation Ltd., Senior Unsecured Notes, 2.875% due 10/10/17 | 1,101,144 | |||||||
800,000 | BBB- | Indian Railway Finance Corp., Ltd., Senior Unsecured Notes, 3.917% due 2/26/19 | 818,468 | |||||||
International Lease Finance Corp.: | ||||||||||
900,000 | BBB- | Senior Secured Notes, 7.125% due 9/1/18(a) | 945,173 | |||||||
Senior Unsecured Notes: | ||||||||||
600,000 | BBB- | 6.250% due 5/15/19 | 640,396 | |||||||
500,000 | BBB- | 8.250% due 12/15/20 | 586,773 | |||||||
LeasePlan Corp. NV, Senior Unsecured Notes: | ||||||||||
1,200,000 | BBB- | 3.000% due 10/23/17(a) | 1,201,701 | |||||||
1,500,000 | BBB- | 2.500% due 5/16/18(a) | 1,504,247 | |||||||
1,200,000 | A | Mitsubishi UFJ Lease & Finance Co., Ltd., Senior Unsecured Notes, 2.241% (3-Month USD-LIBOR + 0.925%) due 2/20/19(b) | 1,204,667 | |||||||
300,000 | EUR | BBB | Nationwide Building Society, Subordinated Notes, 4.125% (5-Year EUR Swap Rate + 3.300%) due 3/20/23(b) | 364,664 | ||||||
200,000 | AA- | NTT Finance Corp., Senior Unsecured Notes, 1.825% (3-Month USD-LIBOR + 0.530%) due 6/29/20(b) | 200,732 | |||||||
2,300,000 | BBB- | Synchrony Financial, Senior Unsecured Notes, 2.711% (3-Month USD-LIBOR + 1.400%) due 11/9/17(b) | 2,304,205 | |||||||
1,600,000 | A- | UBS Group Funding Switzerland AG, Company Guaranteed Notes, 3.084% (3-Month USD-LIBOR + 1.780%) due 4/14/21(a)(b) | 1,658,335 | |||||||
|
| |||||||||
Total Diversified Financial Services | 14,619,146 | |||||||||
|
| |||||||||
Diversified Telecommunication Services — 2.0% | ||||||||||
AT&T Inc., Senior Unsecured Notes: | ||||||||||
600,000 | BBB+ | 2.226% (3-Month USD-LIBOR + 0.930%) due 6/30/20(b) | 608,074 | |||||||
900,000 | BBB+ | 2.254% (3-Month USD-LIBOR + 0.950%) due 7/15/21(b) | 909,681 | |||||||
2,600,000 | BBB+ | Deutsche Telekom International Finance BV, Company Guaranteed Notes, 1.717% (3-Month USD-LIBOR + 0.450%) due 9/19/19(a)(b) | 2,605,583 | |||||||
200,000 | A- | Ooredoo Tamweel Ltd., Senior Unsecured Notes, 3.039% due 12/3/18 | 201,731 | |||||||
300,000 | BB+ | Telecom Italia Capital SA, Company Guaranteed Notes, 6.999% due 6/4/18 | 311,250 | |||||||
800,000 | BBB | Telefonica Emisiones SAU, Company Guaranteed Notes, 3.192% due 4/27/18 | 807,295 | |||||||
|
| |||||||||
Total Diversified Telecommunication Services | 5,443,614 | |||||||||
|
| |||||||||
Electric Utilities — 0.8% | ||||||||||
800,000 | BBB- | Israel Electric Corp., Ltd., Senior Secured Notes, 7.700% due 7/15/18(f) | 839,194 | |||||||
1,000,000 | BBB- | Metropolitan Edison Co., Senior Unsecured Notes, 7.700% due 1/15/19 | 1,072,942 | |||||||
400,000 | BBB+ | Southern Co., Senior Unsecured Notes, 2.950% due 7/1/23 | 405,257 | |||||||
|
| |||||||||
Total Electric Utilities | 2,317,393 | |||||||||
|
| |||||||||
Electronic Equipment, Instruments & Components — 0.8% | ||||||||||
300,000 | BBB- | Arrow Electronics Inc., Senior Unsecured Notes, 3.500% due 4/1/22 | 309,256 | |||||||
2,000,000 | A- | Competition Team Technologies Ltd., Company Guaranteed Notes, 2.125% due 12/13/17 | 2,001,412 | |||||||
|
| |||||||||
Total Electronic Equipment, Instruments & Components | 2,310,668 | |||||||||
|
| |||||||||
Energy Equipment & Services — 0.5% | ||||||||||
1,400,000 | BBB- | Energy Transfer LP, Senior Unsecured Notes, 2.500% due 6/15/18 | 1,406,944 | |||||||
|
| |||||||||
Food and Staples Retailing — 0.6% | ||||||||||
1,500,000 | BB+ | Tesco PLC, Senior Unsecured Notes, 5.500% due 11/15/17(a) | 1,512,775 | |||||||
|
| |||||||||
Food Products — 0.3% | ||||||||||
700,000 | BBB- | Kraft Heinz Foods Co., Company Guaranteed Notes, 1.879% (3-Month USD-LIBOR + 0.570%) due 2/10/21(b) | 700,389 | |||||||
|
|
See Notes to Financial Statements.
243
Schedules of Investments |
(continued) |
Ultra-Short Term Fixed Income Fund | ||||||||||
Face Amount/Units† | Rating†† | Security | Value | |||||||
Health Care Providers & Services — 0.4% | ||||||||||
$ | 1,000,000 | BBB+ | Cardinal Health Inc., Senior Unsecured Notes, 1.998% (3-Month USD-LIBOR + 0.770%) due 6/15/22(b) | $ | 1,002,982 | |||||
|
| |||||||||
Hotels, Restaurants & Leisure — 0.5% | ||||||||||
1,300,000 | BB- | MGM Resorts International, Company Guaranteed Notes, 8.625% due 2/1/19 | 1,425,125 | |||||||
|
| |||||||||
Household Durables — 0.3% | ||||||||||
900,000 | BBB- | DR Horton Inc., Company Guaranteed Notes, 3.625% due 2/15/18 | 902,753 | |||||||
|
| |||||||||
Household Products — 0.6% | ||||||||||
1,500,000 | A- | Reckitt Benckiser Treasury Services PLC, Company Guaranteed Notes, 1.856% (3-Month USD-LIBOR + 0.560%) due 6/24/22(a)(b) | 1,501,112 | |||||||
|
| |||||||||
Insurance — 2.3% | ||||||||||
1,500,000 | A | AIA Group Ltd., Senior Unsecured Notes, 1.750% due 3/13/18 | 1,496,625 | |||||||
American International Group Inc., Senior Unsecured Notes: | ||||||||||
700,000 | BBB+ | 6.400% due 12/15/20 | 791,527 | |||||||
500,000 | BBB+ | 3.300% due 3/1/21 | 517,879 | |||||||
Athene Global Funding, Secured Notes: | ||||||||||
1,000,000 | A- | 2.447% (3-Month USD-LIBOR + 1.140%) due 4/20/20(a)(b) | 1,012,321 | |||||||
1,700,000 | A- | 2.529% (3-Month USD-LIBOR + 1.230%) due 7/1/22(a)(b) | 1,713,002 | |||||||
500,000 | BBB+ | CNP Assurances, Subordinated Notes, 7.500% (6-Year USD Swap Rate + 6.481%)(b)(c) | 527,625 | |||||||
400,000 | AA | Jackson National Life Global Funding, Senior Secured Notes, 2.023% (3-Month USD-LIBOR + 0.730%) due 6/27/22(a)(b) | 402,156 | |||||||
|
| |||||||||
Total Insurance | 6,461,135 | |||||||||
|
| |||||||||
Internet Software & Services — 1.1% | ||||||||||
1,500,000 | A3(e) | Baidu Inc., Senior Unsecured Notes, 3.250% due 8/6/18 | 1,517,754 | |||||||
1,400,000 | BBB+ | eBay Inc., Senior Unsecured Notes, 2.181% (3-Month USD-LIBOR + 0.870%) due 1/30/23(b) | 1,408,413 | |||||||
|
| |||||||||
Total Internet Software & Services | 2,926,167 | |||||||||
|
| |||||||||
Media — 2.0% | ||||||||||
1,200,000 | BBB | Cox Communications Inc., Senior Unsecured Notes, 9.375% due 1/15/19(a) | 1,314,369 | |||||||
1,700,000 | B+ | DISH DBS Corp., Company Guaranteed Notes, 4.250% due 4/1/18 | 1,723,375 | |||||||
2,300,000 | BBB- | Time Warner Cable LLC, Senior Secured Notes, 6.750% due 7/1/18 | 2,390,365 | |||||||
|
| |||||||||
Total Media | 5,428,109 | |||||||||
|
| |||||||||
Metals & Mining — 0.7% | ||||||||||
1,100,000 | BBB+ | Goldcorp Inc., Senior Unsecured Notes, 2.125% due 3/15/18 | 1,102,844 | |||||||
800,000 | A+u | Minera y Metalurgica del Boleo SA de CV, Company Guaranteed Notes, 2.875% due 5/7/19 | 808,387 | |||||||
|
| |||||||||
Total Metals & Mining | 1,911,231 | |||||||||
|
| |||||||||
Oil, Gas & Consumable Fuels — 2.8% | ||||||||||
500,000 | A+ | CNPC General Capital Ltd., Company Guaranteed Notes, 2.750% due 5/14/19 | 504,516 | |||||||
500,000 | BBB | Ecopetrol SA, Senior Unsecured Notes, 4.250% due 9/18/18 | 513,000 | |||||||
500,000 | BBB+ | Enbridge Inc., Senior Unsecured Notes, 1.946% (3-Month USD-LIBOR + 0.700%) due 6/15/20(b) | 504,324 | |||||||
700,000 | BBB- | Kinder Morgan Energy Partners LP, Company Guaranteed Notes, 5.950% due 2/15/18 | 712,654 | |||||||
1,600,000 | BBB- | Kinder Morgan Finance Co. LLC, Company Guaranteed Notes, 6.000% due 1/15/18(a) | 1,623,009 | |||||||
800,000 | BBB | ONEOK Partners LP, Company Guaranteed Notes, 2.000% due 10/1/17 | 800,000 | |||||||
Petronas Capital Ltd., Company Guaranteed Notes: | ||||||||||
750,000 | A- | 5.250% due 8/12/19(a) | 794,788 | |||||||
500,000 | A- | 5.250% due 8/12/19 | 529,858 | |||||||
300,000 | BBB- | Sabine Pass Liquefaction LLC, Senior Secured Notes, 5.625% due 2/1/21 | 325,015 | |||||||
1,500,000 | AA- | Sinopec Group Overseas Development 2016 Ltd., Company Guaranteed Notes, 2.125% due 5/3/19 | 1,499,188 | |||||||
|
| |||||||||
Total Oil, Gas & Consumable Fuels | 7,806,352 | |||||||||
|
|
See Notes to Financial Statements.
244
Schedules of Investments |
(continued) |
Ultra-Short Term Fixed Income Fund | ||||||||||
Face Amount/Units† | Rating†† | Security | Value | |||||||
Pharmaceuticals — 4.0% | ||||||||||
$ | 2,500,000 | BBB | Allergan Funding SCS, Company Guaranteed Notes, 2.308% (3-Month USD-LIBOR + 1.080%) due 3/12/18(b) | $ | 2,509,447 | |||||
2,000,000 | BBB- | Baxalta Inc., Company Guaranteed Notes, 2.067% (3-Month USD-LIBOR + 0.780%) due 6/22/18(b) | 2,008,196 | |||||||
1,500,000 | A- | Bayer US Finance LLC, Company Guaranteed Notes, 1.582% (3-Month USD-LIBOR + 0.280%) due 10/6/17(a)(b) | 1,499,926 | |||||||
2,500,000 | BBB- | Mylan Inc., Company Guaranteed Notes, 2.600% due 6/24/18 | 2,514,835 | |||||||
Teva Pharmaceutical Finance Netherlands III BV, Company Guaranteed Notes: | ||||||||||
2,100,000 | BBB | 1.400% due 7/20/18 | 2,084,912 | |||||||
500,000 | BBB | 1.700% due 7/19/19 | 489,098 | |||||||
|
| |||||||||
Total Pharmaceuticals | 11,106,414 | |||||||||
|
| |||||||||
Real Estate Management & Development — 0.5% | ||||||||||
1,200,000 | AA- | Qatari Diar Finance Co., Government Guaranteed Notes, 5.000% due 7/21/20 | 1,274,602 | |||||||
|
| |||||||||
Semiconductors & Semiconductor Equipment — 0.9% | ||||||||||
700,000 | BBB- | NXP BV / NXP Funding LLC, Company Guaranteed Notes, 5.750% due 3/15/23(a) | 732,375 | |||||||
1,750,000 | A | QUALCOMM Inc., Senior Unsecured Notes, 2.041% (3-Month USD-LIBOR + 0.730%) due 1/30/23(b) | 1,754,205 | |||||||
|
| |||||||||
Total Semiconductors & Semiconductor Equipment | 2,486,580 | |||||||||
|
| |||||||||
Specialty Retail — 1.2% | ||||||||||
225,000 | BBB- | Marks & Spencer PLC, Senior Unsecured Notes, 6.250% due 12/1/17(a) | 227,216 | |||||||
3,100,000 | BBB- | QVC Inc., Senior Secured Notes, 3.125% due 4/1/19 | �� | 3,141,565 | ||||||
|
| |||||||||
Total Specialty Retail | 3,368,781 | |||||||||
|
| |||||||||
Technology Hardware, Storage & Peripherals — 1.6% | ||||||||||
2,600,000 | BBB- | Dell International LLC/EMC Corp., Senior Secured Notes, 3.480% due 6/1/19(a) | 2,658,333 | |||||||
1,800,000 | BB- | EMC Corp., Senior Unsecured Notes, 1.875% due 6/1/18 | 1,793,828 | |||||||
|
| |||||||||
Total Technology Hardware, Storage & Peripherals | 4,452,161 | |||||||||
|
| |||||||||
Tobacco — 2.1% | ||||||||||
1,000,000 | BBB+ | BAT Capital Corp., Company Guaranteed Notes, 2.195% (3-Month USD-LIBOR + 0.880%) due 8/15/22(a)(b)(f) | 1,004,334 | |||||||
2,740,000 | BBB | Imperial Brands Finance PLC, Company Guaranteed Notes, 2.050% due 2/11/18(a) | 2,740,711 | |||||||
2,000,000 | BBB+ | Reynolds American Inc., Company Guaranteed Notes, 2.300% due 6/12/18 | 2,008,285 | |||||||
|
| |||||||||
Total Tobacco | 5,753,330 | |||||||||
|
| |||||||||
Transportation Infrastructure — 0.4% | ||||||||||
600,000 | BBB- | Asciano Finance Ltd., Company Guaranteed Notes, 5.000% due 4/7/18(a)(f) | 609,274 | |||||||
500,000 | A | Eastern Creation II Investment Holdings Ltd., Company Guaranteed Notes, 2.625% due 11/20/17 | 500,626 | |||||||
|
| |||||||||
Total Transportation Infrastructure | 1,109,900 | |||||||||
|
| |||||||||
TOTAL CORPORATE BONDS & NOTES (Cost — $163,568,722) | 164,190,809 | |||||||||
|
| |||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 12.7% | ||||||||||
98,894 | AAA | American Home Mortgage Investment Trust, Series 2004-4, Class 2A1, 1.814% (1-Month USD-LIBOR + 0.580%) due 2/25/45(b) | 99,099 | |||||||
900,000 | AAA | Apidos CLO XVI, Series 2013-16A, Class A1R, 2.286% (3-Month USD-LIBOR + 0.980%) due 1/19/25(a)(b) | 900,187 | |||||||
800,000 | Aaa(e) | Babson CLO Ltd., Series 2014-IIA, Class AR, 2.454% (3-Month USD-LIBOR + 1.150%) due 10/17/26(a)(b) | 803,800 | |||||||
1,000,000 | AAA | BAMLL Commercial Mortgage Securities Trust, Series 2015-ASHF, Class A, 2.447% (1-Month USD-LIBOR + 1.220%) due 1/15/28(a)(b) | 1,001,799 | |||||||
369,593 | Aaa(e) | Bancorp Commercial Mortgage Trust, Series 2016-CRE1, Class A, 2.657% (1-Month USD-LIBOR + 1.430%) due 11/15/33(a)(b) | 370,430 |
See Notes to Financial Statements.
245
Schedules of Investments |
(continued) |
Ultra-Short Term Fixed Income Fund | ||||||||||
Face Amount/Units† | Rating†† | Security | Value | |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 12.7% — (continued) | ||||||||||
Bayview Opportunity Master Fund IIIb Trust: | ||||||||||
$ | 654,198 | NR | Series 2017-RN2, Class A1, 3.475% due 4/28/32(a)(b) | $ | 661,002 | |||||
1,000,000 | NR | Series 2017-RN6, Class A1, step bond to yield, 3.105% due 8/28/32(a)(d)(f)(i) | 1,000,114 | |||||||
996,700 | NR | Bayview Opportunity Master Fund IVb Trust, Series 2017-RPL1, Class A1, step bond to yield, 3.105% due 7/28/32(a) | 997,448 | |||||||
1,182,373 | AA+ | Bear Stearns ALT-A Trust, Series 2004-10, Class 2A1, 1.894% (1-Month USD-LIBOR + 0.660%) due 9/25/34(b) | 1,147,687 | |||||||
1,500,000 | AAA | BlueMountain CLO Ltd., Series 2013-3A, Class AR, 2.201% (3-Month USD-LIBOR + 0.890%) due 10/29/25(a)(b) | 1,500,041 | |||||||
1,000,000 | AAA | Cent CLO 19 Ltd., Series 2013-19A, Class A1A, 2.641% (3-Month USD-LIBOR + 1.330%) due 10/29/25(a)(b) | 1,002,467 | |||||||
1,000,000 | AAA | Citigroup Commercial Mortgage Trust, Series 2017-1500, Class A, 2.100% (1-Month USD-LIBOR + 0.850%) due 7/15/19(a)(b)(f) | 1,001,875 | |||||||
400,000 | AAA | Cold Storage Trust, Series 2017-ICE3, Class A, 2.227% (1-Month USD-LIBOR + 1.000%) due 4/15/36(a)(b) | 401,808 | |||||||
398,723 | Aaa(e) | Colony Starwood Homes Trust, Series 2016-1A, Class A, 2.728% (1-Month USD-LIBOR + 1.500%) due 7/17/33(a)(b) | 404,526 | |||||||
330,086 | NR | Credit Suisse Commercial Mortgage Capital Trust, Series 2017-1, Class A, 4.500% due 3/25/21(a) | 331,105 | |||||||
993,442 | B+ | CWABS Inc. Asset-Backed Certificates Trust, Series 2004-5, Class M1, 2.089% (1-Month USD-LIBOR + 0.855%) due 8/25/34(b) | 989,389 | |||||||
400,000 | A | Eagle I Ltd., Series 2014-1A, Class A1, 2.570% due 12/15/39(a)(f) | 397,804 | |||||||
643,483 | AAA | Finn Square CLO Ltd., Series 2012-1A, Class A1R, 2.506% (3-Month USD-LIBOR + 1.210%) due 12/24/23(a)(b) | 646,358 | |||||||
305,231 | AAA | FNBA Mortgage Loan Trust, Series 2004-AR1, Class A2, 1.631% (1-Month USD-LIBOR + 0.400%) due 8/19/34(b) | 303,841 | |||||||
800,000 | AAA | Fortress Credit BSL II Ltd., Series 2013-2A, Class A1FR, 2.456% (3-Month USD-LIBOR + 1.150%) due 10/19/25(a)(b) | 800,019 | |||||||
566,676 | AAA | Fortress Credit BSL Ltd., Series 2013-1A, Class A, 2.486% (3-Month USD-LIBOR + 1.180%) due 1/19/25(a)(b) | 567,830 | |||||||
316,865 | NR | GCAT LLC, Series 2016-1, Class A1, step bond to yield, 4.500% due 3/25/21(a) | 319,999 | |||||||
Government National Mortgage Association (GNMA): | ||||||||||
2,619,433 | NR | Series 2016-H06, Class FD, 2.144% (1-Month USD-LIBOR + 0.920%) due 7/20/65(b) | 2,654,790 | |||||||
2,001,636 | NR | Series 2017-H15, Class FE, 2.530% (1-Year USD-LIBOR + 0.800%) due 7/20/67(b) | 2,075,932 | |||||||
500,000 | Aaa(e) | GS Mortgage Securities Trust, Series 2014-GC18, Class AAB, 3.648% due 1/10/47 | 528,839 | |||||||
234,142 | B | Impac CMB Trust, Series 2004-10, Class 1A1, 1.874% (1-Month USD-LIBOR + 0.640%) due 3/25/35(b) | 228,942 | |||||||
668,633 | Aaa(e) | Invitation Homes Trust, Series 2015-SFR3, Class A, 2.528% (1-Month USD-LIBOR + 1.300%) due 8/17/32(a)(b) | 673,097 | |||||||
1,200,000 | Aaa(e) | JMP Credit Advisors CLO III Ltd., Series 2014-1A, Class AR, 2.544% (3-Month USD-LIBOR + 1.240%) due 10/17/25(a)(b) | 1,200,057 | |||||||
2,700,000 | AAA | JP Morgan Chase Commercial Mortgage Securities Corp., Series 2017-MAUI, Class A, 2.064% (1-Month USD-LIBOR + 0.830%) due 7/15/34(a)(b) | 2,710,974 | |||||||
800,000 | AAA | Madison Park Funding XVI Ltd., Series 2015-16A, Class A1R, 2.637% (3-Month USD-LIBOR + 1.330%) due 4/20/26(a)(b) | 805,404 | |||||||
1,500,000 | AAA | Motel 6 Trust, Series 2017-MTL6, Class A, 2.155% due 8/15/34(a)(f) | 1,501,972 | |||||||
600,000 | AAA | Octagon Investment Partners XVII Ltd., Series 2013-1A, Class A1R, 2.314% (3-Month USD-LIBOR + 1.000%) due 10/25/25(a)(b) | 600,274 | |||||||
548,660 | AAA | Palmer Square Loan Funding Ltd., Series 2016-3A, Class A1, 2.454% (3-Month USD-LIBOR + 1.150%) due 1/15/25(a)(b) | 548,921 | |||||||
699,900 | AAA | RBSSP Resecuritization Trust, Series 2009-12, Class 16A1, 3.100% due 10/25/35(a)(b) | 710,541 | |||||||
SoFi Consumer Loan Program LLC: | ||||||||||
178,979 | AA | Series 2017-3, Class A, 2.770% due 5/25/26(a) | 180,285 | |||||||
383,575 | (P)AA | Series 2017-4, Class A, 2.500% due 5/26/26(a) | 384,452 | |||||||
263,411 | NR | Stanwich Mortgage Loan Co., Series 2016-NPA1, 3.844% due 10/16/46(a)(b) | 264,482 | |||||||
600,000 | Aaa(e) | Tralee CLO III Ltd., Series 2014-3A, Class A1R, 2.757% (3-Month USD-LIBOR + 1.450%) due 7/20/26(a)(b) | 604,833 |
See Notes to Financial Statements.
246
Schedules of Investments |
(continued) |
Ultra-Short Term Fixed Income Fund | ||||||||||
Face Amount/Units† | Rating†† | Security | Value | |||||||
COLLATERALIZED MORTGAGE OBLIGATIONS — 12.7% — (continued) | ||||||||||
$ | 800,000 | AAA | Venture XVII CLO Ltd., Series 2014-17A, Class AR, 2.384% (3-Month USD-LIBOR + 1.080%) due 7/15/26(a)(b) | $ | 800,031 | |||||
546,364 | NR | VOLT LV LLC, Series 2017-NPL2, Class A1, step bond to yield, 3.500% due 3/25/47(a) | 552,813 | |||||||
706,598 | NR | VOLT LVIII LLC, Series 2017-NPL5, Class A1, step bond to yield, 3.375% due 5/28/47(a) | 713,704 | |||||||
362,332 | NR | VOLT LXI LLC, Series 2017-NPL8, Class A1, step bond to yield, 3.125% due 6/25/47(a) | 365,165 | |||||||
1,386,796 | AA | WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR13, Class A1A1, 1.524% (1-Month USD-LIBOR + 0.290%) due 10/25/45(b) | 1,390,473 | |||||||
|
| |||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost — $34,867,419) | 35,144,609 | |||||||||
|
| |||||||||
U.S. GOVERNMENT OBLIGATIONS — 11.2% | ||||||||||
U.S. Treasury Inflation Indexed Notes: | ||||||||||
5,891,121 | 0.125% due 4/15/21 | 5,919,714 | ||||||||
6,748,441 | 0.125% due 4/15/22 | 6,771,903 | ||||||||
U.S. Treasury Notes: | ||||||||||
6,000,000 | 1.875% due 7/31/22 | 6,045,234 | ||||||||
11,900,000 | 2.375% due 5/15/27 | 12,159,848 | ||||||||
|
| |||||||||
TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost — $30,483,714) | 30,896,699 | |||||||||
|
| |||||||||
SOVEREIGN BONDS — 4.7% | ||||||||||
India — 0.6% | ||||||||||
Export-Import Bank of India: | ||||||||||
200,000 | BBB- | 3.875% due 10/2/19 | 206,219 | |||||||
1,500,000 | BBB- | 2.750% due 4/1/20 | 1,508,693 | |||||||
|
| |||||||||
Total India | 1,714,912 | |||||||||
|
| |||||||||
Japan — 4.1% | ||||||||||
Japan Bank for International Cooperation: | ||||||||||
800,000 | A+ | 1.887% (3-Month USD-LIBOR + 0.570%) due 2/24/20(b) | 803,055 | |||||||
3,200,000 | A+ | 1.697% (3-Month USD-LIBOR + 0.390%) due 7/21/20(b) | 3,199,500 | |||||||
Japan Finance Organization for Municipalities: | ||||||||||
200,000,000 | JPY | A+ | 1.770% due 12/20/17 | 1,828,609 | ||||||
3,000,000 | A+ | 2.500% due 9/12/18(a) | 3,016,115 | |||||||
100,000,000 | JPY | NR | Major Joint Local Government Bonds, 1.720% due 11/24/17 | 913,179 | ||||||
100,000,000 | JPY | NR | Nuclear Damage Compensation & Decommissioning Facilitation Corp., 0.059% due 11/2/17 | 909,621 | ||||||
500,000 | A+ | Tokyo Metropolitan Government, 2.500% due 6/8/22(a) | 505,099 | |||||||
|
| |||||||||
Total Japan | 11,175,178 | |||||||||
|
| |||||||||
Malaysia — 0.0% | ||||||||||
200,000 | MYR | A-(g) | Malaysia Government Bonds, 3.314% due 10/31/17 | 46,856 | ||||||
|
| |||||||||
TOTAL SOVEREIGN BONDS (Cost — $13,035,716) | 12,936,946 | |||||||||
|
| |||||||||
ASSET-BACKED SECURITIES — 3.5% | ||||||||||
Student Loans — 3.5% | ||||||||||
1,000,000 | Aaa(e) | ECMC Group Student Loan Trust, Series 2017-2A, Class A, 2.295% (1-Month USD-LIBOR + 1.050%) due 5/25/67(a)(b)(f) | 1,000,000 | |||||||
378,649 | AAA | EFS Volunteer LLC, Series 2010-1, Class A2, 2.164% (3-Month USD-LIBOR + 0.850%) due 10/25/35(a)(b) | 378,855 | |||||||
190,493 | Aaa(e) | Navient Private Education Loan Trust, Series 2015-AA, Class A2A, 2.650% due 12/15/28(a) | 192,557 | |||||||
355,337 | Aaa(e) | Navient Student Loan Trust, Series 2016-5A, Class A, 2.484% (1-Month USD-LIBOR + 1.250%) due 6/25/65(a)(b) | 362,969 | |||||||
843,604 | AA+ | Pennsylvania Higher Education Assistance Agency, Series 2006-2, Class A-3, 1.444% (3-Month USD-LIBOR + 0.130%) due 10/25/36(b) | 817,781 | |||||||
997,593 | AAA | SLC Student Loan Trust, Series 2007-1, Class A4, 1.375% (3-Month USD-LIBOR + 0.060%) due 5/15/29(b) | 984,035 |
See Notes to Financial Statements.
247
Schedules of Investments |
(continued) |
Ultra-Short Term Fixed Income Fund | ||||||||||
Face Amount/Units† | Rating†† | Security | Value | |||||||
Student Loans — 3.5% — (continued) | ||||||||||
SLM Student Loan Trust: | ||||||||||
$ | 501,853 | AAA | Series 2003-10A, Class A3, 1.716% (3-Month USD-LIBOR + 0.550%) due 12/15/27(a)(b) | $ | 504,279 | |||||
1,500,000 | AAA | Series 2005-5, Class A4, 1.454% (3-Month USD-LIBOR + 0.140%) due 10/25/28(b) | 1,491,662 | |||||||
1,372,342 | AA+ | Series 2008-5, Class A4, 3.014% (3-Month USD-LIBOR + 1.700%) due 7/25/23(b) | 1,414,555 | |||||||
1,000,000 | AA+ | Series 2008-7, Class A4, 2.214% (3-Month USD-LIBOR + 0.900%) due 7/25/23(b) | 1,004,769 | |||||||
250,000 | AA+ | Series 2008-8, Class A4, 2.814% (3-Month USD-LIBOR + 1.500%) due 4/25/23(b) | 255,964 | |||||||
1,334,873 | AA+ | Utah State Board of Regents, Series 2017-1, Class A, 1.984% (1-Month USD-LIBOR + 0.750%) due 1/25/57(b) | 1,338,157 | |||||||
|
| |||||||||
TOTAL ASSET-BACKED SECURITIES (Cost — $9,710,736) | 9,745,583 | |||||||||
|
| |||||||||
SENIOR LOANS — 0.8% | ||||||||||
53,193 | NR | AWAS Aviation Capital Ltd., 0.906% (3-Month USD-LIBOR + 2.250%) due 3/28/18(d)(f)(i) | 53,195 | |||||||
Energy Future Intermediate Holdings Co. LLC: | ||||||||||
363,636 | NR | 3.079% (1-Month USD-LIBOR + 3.000%) due 9/26/17 | 365,727 | |||||||
1,200,000 | NR | 4.234% (1-Month USD-LIBOR + 3.000%) due 6/30/18 | 1,206,900 | |||||||
593,939 | NR | Las Vegas Sands LLC, 3.240% (1-Month USD-LIBOR + 2.000%) due 3/29/24 | 596,021 | |||||||
|
| |||||||||
TOTAL SENIOR LOANS (Cost — $2,213,901) | 2,221,843 | |||||||||
|
| |||||||||
MUNICIPAL BOND — 0.6% | ||||||||||
Washington — 0.6% | ||||||||||
1,600,000 | Washington Health Care Facilities Authority, 1.840% (SIFMA Municipal Swap Index Yield + 1.050%) due 1/1/42(b) (Cost — $1,600,000) | 1,603,744 | ||||||||
|
| |||||||||
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS (Cost — $255,480,208) | 256,740,233 | |||||||||
|
| |||||||||
Face Amount† | ||||||||||
SHORT-TERM INVESTMENTS — 34.0% | ||||||||||
COMMERCIAL PAPERS — 2.0% | ||||||||||
500,000 | Eni Finance USA Inc., 2.020% due 5/7/18(h) | 493,180 | ||||||||
2,600,000 | Entergy Corp., 1.687% due 10/19/17(h) | 2,594,176 | ||||||||
900,000 | Ford Motor Credit Co. LLC, 1.989% due 6/1/18(h) | 886,691 | ||||||||
1,600,000 | Syngenta Wilmington Inc., 2.025% due 9/14/17(a)(h) | 1,598,845 | ||||||||
|
| |||||||||
TOTAL COMMERCIAL PAPERS (Cost — $5,572,892) | 5,572,892 | |||||||||
|
| |||||||||
CORPORATE BONDS — 0.4% | ||||||||||
934,000 | BBB | Hewlett Packard Enterprise Co., 2.450% due 10/5/17 | 940,604 | |||||||
200,000 | BBB+ | TechnipFMC PLC, 2.000% due 10/1/17(a) | 200,085 | |||||||
|
| |||||||||
TOTAL CORPORATE BONDS (Cost — $1,140,689) | 1,140,689 | |||||||||
|
| |||||||||
SOVEREIGN BOND — 0.0% | ||||||||||
110,000 | MYR | F1(g) | Malaysia Treasury Bills, 2.950% due 1/19/18(h) (Cost — $25,478) | 25,478 | ||||||
|
| |||||||||
TIME DEPOSITS — 0.5% | ||||||||||
BBH — Grand Cayman: | ||||||||||
4,175 | DKK | (0.800)% due 9/1/17 | 668 | |||||||
758 | EUR | (0.556)% due 9/1/17 | 902 | |||||||
877,018 | JPY | (0.230)% due 9/1/17 | 7,977 | |||||||
95,303 | CAD | 0.150% due 9/1/17 | 76,331 | |||||||
893 | AUD | 0.484% due 9/1/17 | 710 |
See Notes to Financial Statements.
248
Schedules of Investments |
(continued) |
Ultra-Short Term Fixed Income Fund | ||||||||||
Face Amount† | Security | Value | ||||||||
TIME DEPOSITS — 0.5% — (continued) | ||||||||||
54,243 | GBP | Citibank — London, 0.050% due 9/1/17 | $ | 70,148 | ||||||
$ | 1,318,706 | Citibank — New York, 0.590% due 9/1/17 | 1,318,706 | |||||||
|
| |||||||||
TOTAL TIME DEPOSITS (Cost — $1,475,442) | 1,475,442 | |||||||||
|
| |||||||||
U.S. GOVERNMENT OBLIGATIONS — 31.1% | ||||||||||
U.S. Treasury Bills: | ||||||||||
77,000,000 | 0.957% due 9/28/17(h) | 76,944,800 | ||||||||
7,600,000 | 0.957% due 11/9/17(h) | 7,586,089 | ||||||||
1,000,000 | 0.969% due 11/30/17(h) | 997,690 | ||||||||
|
| |||||||||
TOTAL U.S. GOVERNMENT OBLIGATIONS (Cost — $85,528,579) | 85,528,579 | |||||||||
|
| |||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost — $93,743,080) | 93,743,080 | |||||||||
|
| |||||||||
TOTAL INVESTMENTS — 127.1% (Cost — $349,223,288) | 350,483,313 | |||||||||
|
| |||||||||
Liabilities in Excess of Other Assets — (27.1)% | (74,753,098 | ) | ||||||||
|
| |||||||||
TOTAL NET ASSETS — 100.0% | $ | 275,730,215 | ||||||||
|
|
† | Amount denominated in U.S. dollars, unless otherwise noted. |
†† | All ratings are by Standard & Poor’s Rating Service, unless otherwise noted. All ratings are unaudited. |
(a) | Restricted security that may be sold to “qualified institutional buyers” pursuant to the conditions of Rule 144A under the Securities Act of 1933, as amended. This security has been deemed liquid pursuant to guidelines approved by the Board of Trustees, unless otherwise noted. The aggregate value of restricted 144A holdings at August 31, 2017, amounts to approximately $82,038,852 and represents 29.75% of net assets. |
(b) | Variable rate security. Interest rate disclosed is that which was in effect at August 31, 2017. |
(c) | Security is perpetual in nature and has no stated maturity date. |
(d) | Security is valued in good faith at fair value by or under the direction of the Board of Trustees. |
(e) | Rating by Moody’s Investors Service. All ratings are unaudited. |
(f) | Illiquid security. |
(g) | Rating by Fitch Ratings Service. All ratings are unaudited. |
(h) | Rate shown represents yield-to-maturity. |
(i) | Security that used significant unobservable inputs to determine fair value. |
At August 31, 2017, for Ultra-Short Term Fixed Income Fund the aggregate cost of investments, the aggregate gross unrealized appreciation and depreciation of all investments for federal income tax purposes were as follows:
Fund | Aggregate Cost For Federal Income Tax Purposes | Gross Unrealized Appreciation | Gross Unrealized (Depreciation) | Net Unrealized Appreciation (Depreciation) | ||||||||||||
Ultra-Short Term Fixed Income Fund | $ | 350,535,341 | $ | 2,789,646 | $ | (2,998,726 | ) | $ | (209,080 | ) |
Abbreviations used in this schedule: | ||
CLO | — Collateralized Loan Obligation | |
LIBOR | — London Interbank Offered Rate | |
PCL | — Public Company Limited | |
PLC | — Public Limited Company |
See Notes to Financial Statements.
249
Schedules of Investments |
(continued) |
Ultra-Short Term Fixed Income Fund |
Summary of Investments by Security Type^ | ||||
Corporate Bonds & Notes | 46.9 | % | ||
Collateralized Mortgage Obligations | 10.0 | |||
U.S. Government Obligations | 8.8 | |||
Sovereign Bonds | 3.7 | |||
Asset-Backed Securities | 2.8 | |||
Senior Loans | 0.6 | |||
Municipal Bond | 0.5 | |||
Short-Term Investments | 26.7 | |||
|
| |||
100.0 | % | |||
|
|
^ | As a percentage of total investments. |
At August 31, 2017, Ultra-Short Term Fixed Income Fund had open exchange traded futures contracts as described below.
The unrealized appreciation (depreciation) on the open contracts reflected in the accompanying financial statements were as follows:
Open Futures Contracts | Number of Contracts | Expiration Date (Month/Year) | Notional Amounts | Market Value | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Contracts to Buy: | ||||||||||||||||||||
Bank Accept December Futures | 89 | 12/18 | $ | 17,501,041 | $ | 17,510,592 | $ | 9,551 | ||||||||||||
Bank Accept June Futures | 114 | 6/18 | 22,444,029 | 22,453,266 | 9,237 | |||||||||||||||
U.S. Treasury 10-Year Note December Futures | 18 | 12/17 | 2,272,781 | 2,285,718 | 12,937 | |||||||||||||||
|
| |||||||||||||||||||
31,725 | ||||||||||||||||||||
|
| |||||||||||||||||||
Contracts to Sell: | ||||||||||||||||||||
U.S. Treasury 2-Year Note December Futures | 545 | 12/17 | 117,917,444 | 117,890,313 | 27,131 | |||||||||||||||
United Kingdom Treasury 10-Year Gilt December Futures | 48 | 12/17 | 7,882,105 | 7,901,968 | (19,863 | ) | ||||||||||||||
|
| |||||||||||||||||||
7,268 | ||||||||||||||||||||
|
| |||||||||||||||||||
Net Unrealized Appreciation on Open Exchange Traded Futures Contracts | $ | 38,993 | ||||||||||||||||||
|
|
At August 31, 2017, Ultra-Short Term Fixed Income Fund had deposited cash of $412,000 with a broker or brokers as margin collateral on open exchange traded futures contracts.
At August 31, 2017, Ultra-Short Term Fixed Income Fund had open forward foreign currency contracts as described below.
The unrealized appreciation (depreciation) on the open contracts reflected in the accompanying financial statements were as follows:
Foreign Currency | Local Currency | In Exchange For | Counterparty | Market Value | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
Contracts to Buy: | ||||||||||||||||||||||||||||
Australian Dollar | 10,073,000 | USD | 8,033,218 | BNP | $ | 8,007,530 | 9/5/17 | $ | (25,688 | ) | ||||||||||||||||||
Canadian Dollar | 10,368,000 | USD | 8,313,021 | HSBC | 8,304,033 | 9/5/17 | (8,988 | ) | ||||||||||||||||||||
Japanese Yen | 147,000,000 | USD | 1,332,919 | JPM | 1,336,971 | 9/5/17 | 4,052 | |||||||||||||||||||||
Malaysian Ringgit | 308,159 | USD | 72,160 | JPM | 72,160 | 9/5/17 | — | |||||||||||||||||||||
|
| |||||||||||||||||||||||||||
(30,624 | ) | |||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||
Contracts to Sell: | ||||||||||||||||||||||||||||
Australian Dollar | 922,000 | USD | 722,327 | BNP | 732,944 | 9/5/17 | (10,617 | ) | ||||||||||||||||||||
Australian Dollar | 9,151,000 | USD | 7,339,569 | DUB | 7,274,586 | 9/5/17 | 64,983 | |||||||||||||||||||||
Australian Dollar | 10,073,000 | USD | 8,030,447 | BNP | 8,004,832 | 10/3/17 | 25,615 | |||||||||||||||||||||
British Pound | 70,000 | USD | 91,014 | BNP | 90,524 | 9/5/17 | 490 | |||||||||||||||||||||
British Pound | 1,652,000 | USD | 2,185,132 | JPM | 2,136,365 | 9/5/17 | 48,767 | |||||||||||||||||||||
Canadian Dollar | 166,000 | USD | 133,167 | BNP | 132,954 | 9/5/17 | 213 | |||||||||||||||||||||
Canadian Dollar | 974,000 | USD | 764,124 | MLP | 780,105 | 9/5/17 | (15,981 | ) |
See Notes to Financial Statements.
250
Schedules of Investments |
(continued) |
Ultra-Short Term Fixed Income Fund |
Foreign Currency | Local Currency | In Exchange For | Counterparty | Market Value | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
Canadian Dollar | 9,228,000 | USD | 7,403,901 | MLP | $ | 7,390,974 | 9/5/17 | $ | 12,927 | |||||||||||||||||||
Canadian Dollar | 10,368,000 | USD | 8,316,008 | HSBC | 8,306,474 | 10/3/17 | 9,534 | |||||||||||||||||||||
Euro | 312,000 | USD | 369,032 | HSBC | 371,483 | 9/5/17 | (2,451 | ) | ||||||||||||||||||||
Japanese Yen | 148,700,000 | USD | 1,347,022 | SCB | 1,352,433 | 9/5/17 | (5,411 | ) | ||||||||||||||||||||
Japanese Yen | 100,000,000 | USD | 970,402 | JPM | 912,010 | 11/2/17 | 58,392 | |||||||||||||||||||||
Japanese Yen | 100,000,000 | USD | 971,440 | JPM | 912,924 | 11/24/17 | 58,516 | |||||||||||||||||||||
Japanese Yen | 200,000,000 | USD | 1,794,687 | JPM | 1,828,384 | 12/20/17 | (33,697 | ) | ||||||||||||||||||||
Malaysian Ringgit | 308,159 | USD | 72,363 | JPM | 72,160 | 9/5/17 | 203 | |||||||||||||||||||||
Malaysian Ringgit | 200,000 | USD | 46,816 | BNP | 46,724 | 11/2/17 | 92 | |||||||||||||||||||||
Malaysian Ringgit | 110,000 | USD | 25,674 | BNP | 25,624 | 1/23/18 | 50 | |||||||||||||||||||||
Mexican Peso | 3,617,758 | USD | 199,758 | BNP | 199,097 | 12/15/17 | 661 | |||||||||||||||||||||
|
| |||||||||||||||||||||||||||
212,286 | ||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||
Net Unrealized Appreciation on Open Forward Foreign Currency Contracts | $ | 181,662 | ||||||||||||||||||||||||||
|
|
At August 31, 2017, Ultra-Short Term Fixed Income Fund held the following Centrally Cleared Interest Rate Swap Contracts:
Pay/Receive Floating Rate | Floating Rate Index | Fixed Rate | Maturity Date | Payment Frequency | Notional Amounts | Market Value | Upfront Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||||
Pay | 28-Day MXN TIIE Banxico | 5.798% | 9/6/21 | 28-Day | MXN | 94,200,000 | $ | (209,741 | ) | $ | (288,878 | ) | $ | 79,137 | ||||||||||||||||||||
Pay | 28-Day MXN TIIE Banxico | 7.150% | 6/11/27 | 28-Day | MXN | 18,700,000 | 398 | (1,947 | ) | 2,345 | ||||||||||||||||||||||||
Receive | 3-Month USD-LIBOR | 1.500% | 6/21/27 | 6-Month | USD | 11,000,000 | 573,088 | 872,410 | (299,322 | ) | ||||||||||||||||||||||||
Pay | 3-Month USD-LIBOR | 2.000% | 12/20/19 | 6-Month | USD | 67,300,000 | 531,227 | 410,073 | 121,154 | |||||||||||||||||||||||||
Receive | 3-Month USD-LIBOR | 2.250% | 12/20/22 | 6-Month | USD | 27,900,000 | (570,487 | ) | (360,295 | ) | (210,192 | ) | ||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||
$ | 324,485 | $ | 631,363 | $ | (306,878 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
Counterparty Pay Floating Rate Index | Counterparty Receive Floating Rate Index | Maturity Date | Notional Amounts | Market Value | Upfront Premiums Paid/ (Received) | Unrealized (Depreciation) | ||||||||||||||||
1-Month USD-LIBOR+0.095% | 3-Month USD-LIBOR | 5/21/22 | USD | 147,600,000 | $ | (20,437 | ) | $ | — | $ | (20,437 | ) | ||||||||||
|
|
|
|
|
|
See Notes to Financial Statements.
251
Schedules of Investments |
(continued) |
Ultra-Short Term Fixed Income Fund |
At August 31, 2017, Ultra-Short Term Fixed Income Fund held the following Centrally Cleared Credit Default Swap Contracts:
Centrally Cleared — Credit Default Swaps on Indexes — Buy Protection (1)
Reference Obligation | Fixed Deal (Pay) Rate | Maturity Date | Payment Frequency | Implied Credit Spread at 8/31/17 (2) | Notional Amounts (3) | Market Value | Upfront Premiums (Received) | Unrealized (Depreciation) | ||||||||||||||||||||||||||||
Markit CDX North America High Yield Series 28 5-Year Index | (5.000 | %) | 6/20/22 | 3-Month | 3.259 | % | USD | 6,100,000 | $ | (506,190 | ) | $ | (455,798 | ) | $ | (50,392 | ) | |||||||||||||||||||
|
|
|
|
|
|
(1) | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the reference obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the reference obligation or underlying securities comprising the referenced index. |
(2) | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as ‘‘Defaulted’’ indicates a credit event has occurred for the referenced entity or obligation. |
(3) | The maximum potential amount the Fund could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
At 31 August, 2017, Ultra-Short Term Fixed Income Fund deposited cash collateral with brokers in the amount of $915,000 for open centrally cleared swap contracts.
At 31 August, 2017, Ultra-Short Term Fixed Income Fund had cash collateral from brokers in the amount of $165,000 for open forward foreign currency contracts.
Currency Abbreviations used in this schedule: | Counterparty Abbreviations used in this schedule: | |||||
AUD | — Australian Dollar | BNP | — BNP Paribas SA | |||
CAD | — Canadian Dollar | CSFB | — Credit Suisse Securities (USA) LLC | |||
DKK | — Danish Krone | DUB | — Deutsche Bank AG | |||
EUR | — Euro | HSBC | — HSBC Bank USA | |||
GBP | — British Pound | JPM | — JPMorgan Chase & Co. | |||
JPY | — Japanese Yen | MLP | — Merrill Lynch, Pierce, Fenner & Smith Inc. | |||
MXN | — Mexican Peso | SCB | — Standard Chartered Bank | |||
MYR | — Malaysian Ringgit |
See pages 253-254 for definitions of ratings.
See Notes to Financial Statements.
252
Ratings |
The definitions of the applicable rating symbols are set forth below:
Standard & Poor’s Ratings Service (“Standard & Poor’s”) — Ratings from “AA” to “CCC” may be modified by the addition of a plus (+) or minus (-) sign to show relative standings within the major rating categories.
AAA | — Bonds rated “AAA” have the highest rating assigned by Standard & Poor’s. Capacity to pay interest and repay principal is extremely strong. | |
AA | — Bonds rated “AA” have a very strong capacity to pay interest and repay principal and differ from the highest rated issues only in a small degree. | |
A | — Bonds rated “A” have a strong capacity to pay interest and repay principal although they are somewhat more susceptible to the adverse effects of changes in circumstances and economic conditions than debt in higher rated categories. | |
BBB | — Bonds rated “BBB” are regarded as having an adequate capacity to pay interest and repay principal. Whereas they normally exhibit adequate protection parameters, adverse economic conditions or changing circumstances are more likely to lead to a weakened capacity to pay interest and repay principal for bonds in this category than in higher rated categories. | |
BB, B, CCC, CC and C | — Bonds rated “BB”, “B”, “CCC”, “CC” and “C” are regarded, on balance, as predominantly speculative with respect to capacity to pay interest and repay principal in accordance with the terms of the obligation. “BB” represents the lowest degree of speculation and “C” the highest degree of speculation. While such bonds will likely have some quality and protective characteristics, these are outweighed by large uncertainties or major risk exposures to adverse conditions. | |
D | — Bonds rated “D” are in default and payment of interest and/or repayment of principal is in arrears. | |
P | — Preliminary rating. | |
u | — The upgrade state defines bonds that have recently been upgraded into higher rating categories. |
Moody’s Investors Service (“Moody’s”) — Numerical modifiers 1, 2 and 3 may be applied to each generic rating from “Aa” to “Caa,” where 1 is the highest and 3 the lowest ranking within its generic category.
Aaa | — Bonds rated “Aaa” are judged to be of the best quality. They carry the smallest degree of investment risk and are generally referred to as “gilt edge.” Interest payments are protected by a large or by an exceptionally stable margin and principal is secure. While the various protective elements are likely to change, such changes as can be visualized are most unlikely to impair the fundamentally strong position of such issues. | |
Aa | — Bonds rated “Aa” are judged to be of high quality by all standards. Together with the “Aaa” group they comprise what are generally known as high grade bonds. They are rated lower than the best bonds because margins of protection may not be as large as in “Aaa” securities or fluctuation of protective elements may be of greater amplitude or there may be other elements present which make the long-term risks appear somewhat larger than in “Aaa” securities. | |
A | — Bonds rated “A” possess many favorable investment attributes and are to be considered as upper medium grade obligations. Factors giving security to principal and interest are considered adequate but elements may be present which suggest a susceptibility to impairment some time in the future. | |
Baa | — Bonds rated “Baa” are considered as medium grade obligations, i.e., they are neither highly protected nor poorly secured. Interest payments and principal security appear adequate for the present but certain protective elements may be lacking or may be characteristically unreliable over any great length of time. Such bonds lack outstanding investment characteristics and in fact have speculative characteristics as well. | |
Ba | — Bonds rated “Ba” are judged to have speculative elements; their future cannot be considered as well assured. Often the protection of interest and principal payments may be very moderate and therefore not well safeguarded during both good and bad times over the future. Uncertainty of position characterizes bonds in this class. | |
B | — Bonds rated “B” generally lack characteristics of desirable investments. Assurance of interest and principal payments or of maintenance of other terms of the contract over any long period of time may be small. | |
Caa | — Bonds rated “Caa” are of poor standing. These may be in default, or present elements of danger may exist with respect to principal or interest. | |
Ca | — Bonds rated “Ca” represent obligations which are speculative in a high degree. Such issues are often in default or have other marked short-comings. | |
C | — Bonds rated “C” are the lowest class of bonds and issues so rated can be regarded as having extremely poor prospects of ever attaining any real investment standing. | |
e | — Expected. | |
u | — Upgraded. |
Fitch Ratings Service (“Fitch”) — Ratings from “AA” to “CCC” may be modified by the addition of a plus (+) or minus (-) sign to show relative standings within the major rating categories.
AAA | — Bonds rated “AAA” have the highest rating assigned by Fitch. Capacity to pay interest and repay principal is extremely strong. | |
AAApre | — Stable Outlook rating is based on the pledge of securities in the escrow deposit fund securing the bonds and reflects the lien of the refunded bondholders on the escrow trust funds and that all amounts have been invested in direct non-callable obligations of the United States. | |
AA | — Bonds rated “AA” have a very strong capacity to pay interest and repay principal and differ from the highest rated issues only in a small degree. | |
A | — Bonds rated “A” have a strong capacity to pay interest and repay principal although they are somewhat more susceptible to the adverse effects of changes in circumstances and economic conditions than debt in higher rated categories. |
253
Ratings |
(continued) |
BBB | — Bonds rated “BBB” are regarded as having an adequate capacity to pay interest and repay principal. Whereas they normally exhibit adequate protection parameters, adverse economic conditions or changing circumstances are more likely to lead to a weakened capacity to pay interest and repay principal for bonds in this category than in higher rated categories. | |
BB, B, CCC, CC and C | — Bonds rated “BB”, “B”, “CCC”, “CC” and “C” are regarded, on balance, as predominantly speculative with respect to capacity to pay interest and repay principal in accordance with the terms of the obligation. “BB” represents a lower degree of speculation than “B”, and “CC” the highest degree of speculation. While such bonds will likely have some quality and protective characteristics, these are outweighed by large uncertainties or major risk exposures to adverse conditions. | |
D | — Bonds rated “D” are in default and payment of interest and/or repayment of principal is in arrears. | |
NR | — Indicates that the bond is not rated by Standard & Poor’s, Moody’s, or Fitch. | |
WD, WR | — Indicates that the bonds rating has been withdrawn and the issuer is no longer rated by Standard & Poor’s, Moody’s or Fitch. |
Short-Term Security Ratings
SP-1 | — Standard & Poor’s highest rating indicating very strong or strong capacity to pay principal and interest; those issues determined to possess overwhelming safety characteristics are denoted with a plus (+) sign. | |
A-1 | — Standard & Poor’s highest commercial paper and variable-rate demand obligation (VRDO) rating indicating that the degree of safety regarding timely payment is either overwhelming or very strong; those issues determined to possess overwhelming safety characteristics are denoted with a plus (+) sign. | |
VMIG 1 | — Moody’s highest rating for issues having a demand feature — VRDO. | |
MIG1 | — Moody’s highest rating for short-term municipal obligations. | |
P-1 | — Moody’s highest rating for commercial paper and for VRDO prior to the advent of the VMIG 1 rating. | |
F-1 | — Fitch’s highest rating indicating the strongest capacity for timely payment of financial commitments; those issues determined to possess overwhelming strong credit feature are denoted with a plus (+) sign. | |
F-2 | — Fitch’s rating indicating a good capacity for timely payment of financial commitments. |
254
(This page intentionally left blank)
Statements of Assets and Liabilities |
August 31, 2017 |
Large Cap Equity Fund | Small-Mid Cap Equity Fund | International Equity Fund | ||||||||||||||
ASSETS: | ||||||||||||||||
Unaffiliated investments, at value1,3 | $ | 1,691,711,795 | $ | 695,639,703 | $ | 1,240,907,661 | ||||||||||
Affiliated investments, at value2 | 2,181,953 | — | — | |||||||||||||
Foreign currency, at value4 | — | 11,978 | 61,441 | |||||||||||||
Cash | 2,514,875 | 5,314,504 | 96,541 | |||||||||||||
Receivable for securities sold | 1,452,873 | 125,407 | 183,970 | |||||||||||||
Receivable for TBA securities sold | — | — | — | |||||||||||||
Dividends and interest receivable from unaffiliated investments | 3,078,331 | 433,020 | 5,884,192 | |||||||||||||
Dividends and interest receivable from affiliated investments | — | — | — | |||||||||||||
Receivable for Fund shares sold | 3,302,954 | 2,027,694 | 3,719,293 | |||||||||||||
Unrealized appreciation on unfunded loan commitments | — | — | — | |||||||||||||
Unrealized appreciation on open forward foreign currency contracts (Note 1) | — | — | — | |||||||||||||
Variation margin on open future contracts (Note 1) | 67,012 | 11,630 | 16,869 | |||||||||||||
Variation margin on open centrally cleared swap contracts (Note 1) | — | — | — | |||||||||||||
Unrealized appreciation on swap contracts | — | — | — | |||||||||||||
Upfront premiums paid on swap contracts | — | — | — | |||||||||||||
Deposits for collateral with counterparty | 380,984 | 51,995 | 102,671 | |||||||||||||
Foreign capital gains tax receivable | — | — | 11,438 | |||||||||||||
Prepaid expenses | 47,387 | 25,357 | 37,792 | |||||||||||||
|
|
|
|
|
| |||||||||||
Total Assets | 1,704,738,164 | 703,641,288 | 1,251,021,868 | |||||||||||||
|
|
|
|
|
| |||||||||||
LIABILITIES: | ||||||||||||||||
Payable for reverse repurchase agreements | — | — | — | |||||||||||||
Payable for collateral received from securities on loan | 14,237,689 | 27,747,336 | 2,723,340 | |||||||||||||
Payable for Fund shares repurchased | 2,321,893 | 757,587 | 1,481,259 | |||||||||||||
Payable for securities purchased | 546,315 | 635,528 | 1,780,637 | |||||||||||||
Payable for TBA securities purchased | — | — | — | |||||||||||||
Investment management fee payable | 521,650 | 264,561 | 530,425 | |||||||||||||
Transfer agent fees payable | 19,316 | 4,698 | 12,630 | |||||||||||||
Interest expense payable | — | — | — | |||||||||||||
Custody fee payable | 207,966 | 71,920 | 272,780 | |||||||||||||
Trustees’ fees payable | 3 | 21 | 5 | |||||||||||||
Variation margin on open centrally cleared swap contracts (Note 1) | — | — | — | |||||||||||||
Options contracts written, at value5 (Note 1) | — | — | — | |||||||||||||
Unrealized depreciation on swap contracts | — | — | — | |||||||||||||
Upfront premiums received on swap contracts | — | — | — | |||||||||||||
Unrealized depreciation on open forward foreign currency contracts (Note 1) | — | — | — | |||||||||||||
Deposits for collateral from counterparty | — | — | — | |||||||||||||
Foreign capital gains tax payable | — | — | 13,880 | |||||||||||||
Distributions payable | — | — | — | |||||||||||||
Accrued expenses | 97,273 | 87,779 | 115,884 | |||||||||||||
|
|
|
|
|
| |||||||||||
Total Liabilities | 17,952,105 | 29,569,430 | 6,930,840 | |||||||||||||
|
|
|
|
|
| |||||||||||
Total Net Assets | $ | 1,686,786,059 | $ | 674,071,858 | $ | 1,244,091,028 | ||||||||||
|
|
|
|
|
| |||||||||||
NET ASSETS: | ||||||||||||||||
Par value (Note 4) | $ | 89,917 | $ | 34,512 | $ | 100,837 | ||||||||||
Paid-in capital in excess of par value | 1,164,926,885 | 558,647,717 | 1,342,926,355 | |||||||||||||
Accumulated net investment loss | — | — | — | |||||||||||||
Undistributed net investment income | 12,056,565 | 1,537,046 | 21,731,959 | |||||||||||||
Accumulated net realized gain (loss) on investments, futures contracts, options contracts written, forward sale commitments, swap contracts and foreign currency transactions | 41,648,220 | 15,731,293 | (322,853,834 | ) | ||||||||||||
Net unrealized appreciation (depreciation) on investments, futures contracts, options contracts written, forward sale commitments, swap contracts, forward foreign currency contracts and foreign currency transactions | 468,064,472 | 98,121,290 | 202,185,711 | |||||||||||||
|
|
|
|
|
| |||||||||||
Total Net Assets | $ | 1,686,786,059 | $ | 674,071,858 | $ | 1,244,091,028 | ||||||||||
|
|
|
|
|
| |||||||||||
Shares Outstanding | 89,916,758 | 34,512,264 | 100,836,968 | |||||||||||||
|
|
|
|
|
| |||||||||||
Net Asset Value | $ | 18.76 | $ | 19.53 | $ | 12.34 | ||||||||||
|
|
|
|
|
| |||||||||||
1 Unaffiliated investments, at cost | $ | 1,224,762,765 | $ | 597,513,761 | $ | 1,038,789,096 | ||||||||||
|
|
|
|
|
| |||||||||||
2 Affiliated investments, at cost | $ | 1,158,545 | $ | — | $ | — | ||||||||||
|
|
|
|
|
| |||||||||||
3 Includes securities on loan | $ | 14,132,520 | $ | 27,480,675 | $ | 2,649,508 | ||||||||||
|
|
|
|
|
| |||||||||||
4 Foreign currency, at cost | $ | — | $ | 12,082 | $ | 38,925 | ||||||||||
|
|
|
|
|
| |||||||||||
5 Premiums received | $ | — | $ | — | $ | — | ||||||||||
|
|
|
|
|
|
See Notes to Financial Statements.
256
Emerging Markets Equity Fund | Core Fixed Income Fund | High Yield Fund | International Fixed Income Fund | Municipal Bond Fund | Inflation-Linked Fixed Income | Ultra-Short Term Fixed Income Fund | ||||||||||||||||||||||||
$ | 492,522,708 | $ | 755,481,966 | $ | 173,248,969 | $ | 183,444,478 | $ | 57,547,159 | $ | 243,933,535 | $ | 350,483,313 | |||||||||||||||||
— | 1,236,750 | — | — | — | — | — | ||||||||||||||||||||||||
1,265,779 | 813,370 | — | 102,260 | — | 51,329 | 186,637 | ||||||||||||||||||||||||
28,625 | 11,980 | 2,445 | 890 | 965 | 3,116,170 | 3,549,199 | ||||||||||||||||||||||||
247,999 | 7,230,640 | 164,455 | 9,030,439 | — | 3,730,066 | 100,764 | ||||||||||||||||||||||||
— | 35,394,410 | — | 14,252,734 | — | — | — | ||||||||||||||||||||||||
740,959 | 3,851,184 | 2,737,432 | 1,104,628 | 541,350 | 605,085 | 1,447,785 | ||||||||||||||||||||||||
— | 3,914 | — | — | — | — | — | ||||||||||||||||||||||||
1,270,562 | 3,217,882 | 514,155 | 450,307 | 16,226 | 1,008,278 | 1,352,546 | ||||||||||||||||||||||||
— | — | — | — | — | — | 1,129 | ||||||||||||||||||||||||
— | 88,501 | — | 1,312,023 | — | 460,049 | 284,495 | ||||||||||||||||||||||||
2,105 | 210,885 | — | 28,922 | — | 13,157 | 3,773 | ||||||||||||||||||||||||
— | — | — | 29,962 | — | 23,187 | 25,454 | ||||||||||||||||||||||||
— | — | — | 882,837 | — | 50,503 | — | ||||||||||||||||||||||||
— | — | — | 53,415 | — | — | — | ||||||||||||||||||||||||
90,994 | 1,231,358 | — | 4,258,000 | — | 956,000 | 1,327,000 | ||||||||||||||||||||||||
127,446 | — | — | — | — | — | — | ||||||||||||||||||||||||
16,700 | 30,966 | 15,847 | 17,302 | 12,792 | 4,563 | 11,181 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
496,313,877 | 808,803,806 | 176,683,303 | 214,968,197 | 58,118,492 | 253,951,922 | 358,773,276 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
— | — | — | 28,253,576 | — | 53,975,500 | — | ||||||||||||||||||||||||
5,151,986 | 417,220 | 2,487,699 | — | — | — | — | ||||||||||||||||||||||||
720,446 | 1,226,850 | 480,336 | 235,084 | 89,711 | 309,387 | 362,666 | ||||||||||||||||||||||||
1,814,151 | 5,905,822 | 773,214 | 13,955,655 | — | 7,552,619 | 82,180,794 | ||||||||||||||||||||||||
— | 89,935,103 | — | 21,338,359 | — | — | — | ||||||||||||||||||||||||
266,951 | 222,069 | 69,727 | 53,128 | 19,158 | 71,350 | 105,284 | ||||||||||||||||||||||||
5,461 | 8,831 | 6,134 | 2,998 | 813 | 2,341 | 1,414 | ||||||||||||||||||||||||
— | — | — | 236 | — | 26,194 | 118 | ||||||||||||||||||||||||
190,990 | 272,207 | 101,085 | 135,307 | 38,234 | 69,590 | 67,347 | ||||||||||||||||||||||||
24 | 23 | 18 | 4 | 4 | 2 | 16 | ||||||||||||||||||||||||
— | 64,348 | — | — | — | — | — | ||||||||||||||||||||||||
— | 65,011 | — | 24,315 | — | 24,855 | — | ||||||||||||||||||||||||
— | — | — | 83,632 | — | — | — | ||||||||||||||||||||||||
— | — | — | 112,194 | — | 64,109 | — | ||||||||||||||||||||||||
— | 501,827 | — | 2,575,749 | — | 1,067,503 | 102,833 | ||||||||||||||||||||||||
— | — | — | 308,000 | — | 260,000 | 165,000 | ||||||||||||||||||||||||
396,994 | — | — | — | — | — | — | ||||||||||||||||||||||||
— | 4,899 | 1,734 | — | 37 | 930 | 1,634 | ||||||||||||||||||||||||
84,931 | 101,851 | 84,039 | 86,835 | 33,225 | 38,900 | 55,955 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
8,631,934 | 98,726,061 | 4,003,986 | 67,165,072 | 181,182 | 63,463,280 | 83,043,061 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
$ | 487,681,943 | $ | 710,077,745 | $ | 172,679,317 | $ | 147,803,125 | $ | 57,937,310 | $ | 190,488,642 | $ | 275,730,215 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
$ | 31,818 | $ | 86,684 | $ | 44,788 | $ | 19,002 | $ | 6,181 | $ | 18,905 | $ | 27,611 | |||||||||||||||||
424,166,332 | 709,653,084 | 202,729,972 | 152,271,190 | 53,777,634 | 188,985,196 | 276,288,528 | ||||||||||||||||||||||||
— | — | — | — | — | — | (156,814 | ) | |||||||||||||||||||||||
5,872,248 | 393,961 | 1,102,028 | 1,617,001 | 419,273 | 461,380 | — | ||||||||||||||||||||||||
(63,780,864 | ) | (8,866,816 | ) | (34,268,602 | ) | (8,820,635 | ) | (141,542 | ) | (2,345,817 | ) | (1,566,470 | ) | |||||||||||||||||
121,392,409 | 8,810,832 | 3,071,131 | 2,716,567 | 3,875,764 | 3,368,978 | 1,137,360 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
$ | 487,681,943 | $ | 710,077,745 | $ | 172,679,317 | $ | 147,803,125 | $ | 57,937,310 | $ | 190,488,642 | $ | 275,730,215 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
31,817,644 | 86,683,651 | 44,788,203 | 19,001,995 | 6,180,687 | 18,905,381 | 27,610,661 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
$ | 15.33 | $ | 8.19 | $ | 3.86 | $ | 7.78 | $ | 9.37 | $ | 10.08 | $ | 9.99 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
$ | 370,765,976 | $ | 746,089,755 | $ | 170,177,838 | $ | 179,223,949 | $ | 53,671,395 | $ | 240,275,316 | $ | 349,223,288 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
$ | — | $ | 1,191,235 | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
$ | 5,025,914 | $ | 406,727 | $ | 2,409,817 | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
$ | 1,257,116 | $ | 827,555 | $ | — | $ | 102,722 | $ | — | $ | 49,532 | $ | 182,976 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
$ | — | $ | 64,972 | $ | — | $ | 42,914 | $ | — | $ | 27,659 | $ | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
257
Statements of Operations |
For the Year Ended August 31, 2017 |
Large Cap Equity Fund | Small-Mid Cap Equity Fund | International Equity Fund | ||||||||||||||
INVESTMENT INCOME: | ||||||||||||||||
Dividends from unaffiliated investments | $ | 31,578,369 | $ | 5,688,960 | $ | 33,937,428 | ||||||||||
Dividends from affiliated investments | 45,326 | — | — | |||||||||||||
Interest from unaffiliated investments | 104,421 | 55,714 | 68,624 | |||||||||||||
Interest from affiliated investments | — | — | — | |||||||||||||
Income from securities lending | 107,072 | 196,343 | 579,913 | |||||||||||||
Less: Foreign taxes withheld (see Note 1q) | (43,256 | ) | (4,796 | ) | (2,532,536 | ) | ||||||||||
Income from security litigation | — | — | — | |||||||||||||
|
|
|
|
|
| |||||||||||
Total Investment Income | 31,791,932 | 5,936,221 | 32,053,429 | |||||||||||||
|
|
|
|
|
| |||||||||||
EXPENSES: | ||||||||||||||||
Investment management fee (Note 2) | 10,088,163 | 4,113,147 | 8,022,316 | |||||||||||||
Transfer agent fees | 216,335 | 71,749 | 144,873 | |||||||||||||
Custody fees | 542,884 | 222,794 | 670,080 | |||||||||||||
Trustees’ fees | 321,974 | 94,660 | 215,903 | |||||||||||||
Shareholder reports | 186,091 | 175,199 | 177,961 | |||||||||||||
Insurance | 83,599 | 19,359 | 51,695 | |||||||||||||
Audit and tax | 69,628 | 78,838 | 85,978 | |||||||||||||
Legal fees | 52,352 | 2,255 | 40,812 | |||||||||||||
Registration fees | 34,898 | 32,200 | 35,005 | |||||||||||||
Offering costs | — | — | — | |||||||||||||
Miscellaneous expense | 49,160 | 15,040 | 74,649 | |||||||||||||
Interest expense | — | — | — | |||||||||||||
|
|
|
|
|
| |||||||||||
Total Expenses | 11,645,084 | 4,825,241 | 9,519,272 | |||||||||||||
Less: Fee waivers and/or expense reimbursement (Note 2) | (3,511,519 | ) | (1,577,066 | ) | (2,073,116 | ) | ||||||||||
|
|
|
|
|
| |||||||||||
Net Expenses | 8,133,565 | 3,248,175 | 7,446,156 | |||||||||||||
|
|
|
|
|
| |||||||||||
Net Investment Income | $ | 23,658,367 | $ | 2,688,046 | $ | 24,607,273 | ||||||||||
|
|
|
|
|
| |||||||||||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, FUTURES CONTRACTS, OPTIONS CONTRACTS WRITTEN, FORWARD SALE COMMITMENTS, SWAP CONTRACTS, FORWARD FOREIGN CURRENCY CONTRACTS AND FOREIGN CURRENCY TRANSACTIONS (NOTES 1 AND 3): | ||||||||||||||||
Net Realized Gain (Loss) From: | ||||||||||||||||
Unaffiliated investments | $ | 90,325,827 | $ | 26,703,050 | $ | 7,629,164 | ||||||||||
Affiliated investments | 183,066 | — | — | |||||||||||||
Futures contracts | 1,125,019 | 462,484 | 165,785 | |||||||||||||
Options contracts written | — | — | — | |||||||||||||
Forward sale commitments | — | — | — | |||||||||||||
Swap contracts | — | — | — | |||||||||||||
Forward foreign currency contracts | — | — | — | |||||||||||||
Foreign currency transactions | 113,236 | 88,550 | (311,708 | ) | ||||||||||||
|
|
|
|
|
| |||||||||||
Net Realized Gain (Loss) | 91,747,148 | 27,254,084 | 7,483,241 | |||||||||||||
|
|
|
|
|
| |||||||||||
Change in Net Unrealized Appreciation (Depreciation) From: | ||||||||||||||||
Unaffiliated investments | 102,551,014 | 37,295,473 | 150,106,829 | (b) | ||||||||||||
Affiliated investments | 569,140 | — | — | |||||||||||||
Futures contracts | 92,034 | (4,548 | ) | (8,124 | ) | |||||||||||
Options contracts written | — | — | — | |||||||||||||
Forward sale commitments | — | — | — | |||||||||||||
Swap contracts | — | — | — | |||||||||||||
Unfunded loan commitments | — | — | — | |||||||||||||
Forward foreign currency contracts | — | — | — | |||||||||||||
Foreign currency transactions | — | (29 | ) | 161,225 | ||||||||||||
|
|
|
|
|
| |||||||||||
Change in Net Unrealized Appreciation (Depreciation): | 103,212,188 | 37,290,896 | 150,259,930 | |||||||||||||
|
|
|
|
|
| |||||||||||
Net Gain (Loss) on Investments, Futures Contracts, Options Contracts Written, Forward Sale Commitments, Swap Contracts, Forward Foreign Currency Contracts and Foreign Currency Transactions | 194,959,336 | 64,544,980 | 157,743,171 | |||||||||||||
|
|
|
|
|
| |||||||||||
Total Increase (Decrease) in Net Assets from Operations | $ | 218,617,703 | $ | 67,233,026 | $ | 182,350,444 | ||||||||||
|
|
|
|
|
|
(a) | Includes foreign capital gains tax of $344,196 for Emerging Markets Equity Fund. |
(b) | Net increase (decrease) in accrued foreign capital gains taxes of $20,694 and $474,635 for International Equity Fund and Emerging Markets Equity Fund, respectively. |
See Notes to Financial Statements.
258
Emerging Markets Equity Fund | Core Fixed Income Fund | High Yield Fund | International Fixed Income Fund | Municipal Bond Fund | Inflation-Linked Fixed Income Fund | Ultra-Short Term Fixed Income Fund | ||||||||||||||||||||||||
$ | 11,423,249 | $ | 14,783 | $ | 250,461 | $ | — | $ | — | $ | — | $ | — | |||||||||||||||||
— | — | — | — | — | — | — | ||||||||||||||||||||||||
50,924 | 20,430,251 | 19,017,439 | 4,841,085 | 2,221,736 | 5,637,326 | 3,805,773 | ||||||||||||||||||||||||
— | 46,018 | — | — | — | — | 4,990 | ||||||||||||||||||||||||
81,984 | 4,655 | 78,089 | 266 | — | — | — | ||||||||||||||||||||||||
(1,258,122 | ) | — | — | — | — | — | — | |||||||||||||||||||||||
— | — | — | 35,418 | — | — | — | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
10,298,035 | 20,495,707 | 19,345,989 | 4,876,769 | 2,221,736 | 5,637,326 | 3,810,763 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
3,949,266 | 2,833,811 | 2,105,942 | 855,511 | 244,994 | 836,427 | 912,469 | ||||||||||||||||||||||||
62,478 | 96,702 | 55,138 | 29,338 | 9,623 | 31,352 | 31,998 | ||||||||||||||||||||||||
525,498 | 649,889 | 256,597 | 355,382 | 91,877 | 156,021 | 160,081 | ||||||||||||||||||||||||
65,100 | 114,286 | 57,795 | 33,606 | 9,574 | 30,073 | 32,057 | ||||||||||||||||||||||||
193,415 | 152,421 | 230,461 | 146,476 | 11,907 | 133,675 | 123,445 | ||||||||||||||||||||||||
19,161 | 33,094 | 12,575 | 9,126 | 3,057 | 6,950 | 5,154 | ||||||||||||||||||||||||
70,164 | 123,222 | 89,735 | 119,241 | 58,933 | 79,654 | 85,332 | ||||||||||||||||||||||||
17,776 | 26,756 | 15,308 | 24,215 | 8,810 | 13,047 | 15,774 | ||||||||||||||||||||||||
32,058 | 36,305 | 31,327 | 25,089 | 22,951 | 21,653 | 18,045 | ||||||||||||||||||||||||
— | — | — | — | — | 52,453 | 51,140 | ||||||||||||||||||||||||
5,994 | 43,851 | 22,092 | 15,572 | 2,880 | 84,874 | 7,696 | ||||||||||||||||||||||||
— | 332 | — | 216,179 | — | 487,205 | 99,235 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
4,940,910 | 4,110,669 | 2,876,970 | 1,829,735 | 464,606 | 1,933,384 | 1,542,426 | ||||||||||||||||||||||||
(1,220,752 | ) | (129,727 | ) | (603,841 | ) | (86,582 | ) | — | (84,384 | ) | (92,949 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
3,720,158 | 3,980,942 | 2,273,129 | 1,743,153 | 464,606 | 1,849,000 | 1,449,477 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
$ | 6,577,877 | $ | 16,514,765 | $ | 17,072,860 | $ | 3,133,616 | $ | 1,757,130 | $ | 3,788,326 | $ | 2,361,286 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
$ | 4,305,342 | (a) | $ | (5,063,538 | ) | $ | 8,868,540 | $ | (7,236,118 | ) | $ | (141,542 | ) | $ | (1,252,987 | ) | $ | 414,353 | ||||||||||||
— | — | — | — | — | — | — | ||||||||||||||||||||||||
241,960 | 2,156,657 | 13,092 | (856,812 | ) | — | (144,598 | ) | 608,752 | ||||||||||||||||||||||
— | 708,583 | 4,294 | 254,756 | — | 273,141 | — | ||||||||||||||||||||||||
— | (3,621 | ) | — | (360,793 | ) | — | 76,961 | 15,986 | ||||||||||||||||||||||
— | (164,031 | ) | — | (2,604,735 | ) | — | (56,216 | ) | (457,311 | ) | ||||||||||||||||||||
— | 635,846 | — | 3,549,316 | — | (980,998 | ) | (87,038 | ) | ||||||||||||||||||||||
(20,583 | ) | 217,258 | — | 3,207,618 | — | (24,819 | ) | (68,787 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
4,526,719 | (1,512,846 | ) | 8,885,926 | (4,046,768 | ) | (141,542 | ) | (2,109,516 | ) | 425,955 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
89,366,476 | (b) | (8,389,122 | ) | (793,584 | ) | (256,488 | ) | (2,095,714 | ) | (1,295,575 | ) | 726,413 | ||||||||||||||||||
— | (15,468 | ) | — | — | — | — | 10,988 | |||||||||||||||||||||||
105,790 | 200,803 | — | (133,879 | ) | — | 42,547 | 107,812 | |||||||||||||||||||||||
— | (7,319 | ) | — | (79,447 | ) | — | (15,321 | ) | — | |||||||||||||||||||||
— | — | — | 4,219 | — | — | — | ||||||||||||||||||||||||
— | 536,709 | — | 4,674,042 | — | 1,158,916 | (377,707 | ) | |||||||||||||||||||||||
— | — | — | — | — | — | 1,129 | ||||||||||||||||||||||||
— | (384,099 | ) | — | (87,898 | ) | — | 369,120 | 144,361 | ||||||||||||||||||||||
24,688 | 1,755 | — | (2,460,560 | ) | — | 10,871 | 38,564 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
89,496,954 | (8,056,741 | ) | (793,584 | ) | 1,659,989 | (2,095,714 | ) | 270,558 | 651,560 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
94,023,673 | (9,569,587 | ) | 8,092,342 | (2,386,779 | ) | (2,237,256 | ) | (1,838,958 | ) | 1,077,515 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
$ | 100,601,550 | $ | 6,945,178 | $ | 25,165,202 | $ | 746,837 | $ | (480,126 | ) | $ | 1,949,368 | $ | 3,438,801 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
259
Statements of Changes in Net Assets |
For the Year Ended August 31, 2017 and August 31, 2016 |
Large Cap Equity Fund | ||||||||||||
2017 | 2016 | |||||||||||
OPERATIONS: | ||||||||||||
Net investment income | $ | 23,658,367 | $ | 17,386,610 | ||||||||
Net realized gain (loss) | 91,747,271 | 195,074,263 | ||||||||||
Change in unrealized appreciation (depreciation) | 103,212,065 | (4,212,931 | ) | |||||||||
|
|
|
| |||||||||
Increase (Decrease) in Net Assets From Operations | 218,617,703 | 208,247,942 | ||||||||||
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM (NOTE 1): | ||||||||||||
Net investment income | (25,767,690 | ) | (7,025,138 | ) | ||||||||
Net realized gains | (31,555,579 | ) | (301,650,427 | ) | ||||||||
|
|
|
| |||||||||
Decrease in Net Assets From Distributions to Shareholders | (57,323,269 | ) | (308,675,565 | ) | ||||||||
|
|
|
| |||||||||
FUND SHARE TRANSACTIONS (NOTE 4): | ||||||||||||
Net proceeds from sale of shares | 180,110,640 | 78,704,964 | ||||||||||
Reinvestment of distributions | 57,321,969 | 308,666,437 | ||||||||||
Cost of shares repurchased | (421,326,905 | ) | (903,883,177 | ) | ||||||||
Issued in connection with tax-free reorganization (see Note 8) | — | 973,690,395 | ||||||||||
|
|
|
| |||||||||
Increase (Decrease) in Net Assets From Fund Share Transactions | (183,894,296 | ) | 457,178,619 | |||||||||
|
|
|
| |||||||||
Increase (Decrease) in Net Assets | (22,599,862 | ) | 356,750,996 | |||||||||
NET ASSETS: | ||||||||||||
Beginning of year | 1,709,385,921 | 1,352,634,925 | ||||||||||
|
|
|
| |||||||||
End of year*† | $ | 1,686,786,059 | $ | 1,709,385,921 | ||||||||
|
|
|
| |||||||||
* Includes undistributed net investment income of: | $ | 12,056,565 | $ | 14,971,956 | ||||||||
|
|
|
|
See Notes to Financial Statements.
260
Small-Mid Cap Equity Fund | International Equity Fund | Emerging Markets Equity Fund | Core Fixed Income Fund | |||||||||||||||||||||||||||||||
2017 | 2016 | 2017 | 2016 | 2017 | 2016 | 2017 | 2016 | |||||||||||||||||||||||||||
$ | 2,688,046 | $ | 915,164 | $ | 24,607,273 | $ | 24,624,184 | $ | 6,577,877 | $ | 4,572,660 | $ | 16,514,765 | $ | 18,875,696 | |||||||||||||||||||
27,254,084 | 1,837,345 | 7,483,241 | (86,755,141 | ) | 4,526,719 | (30,733,716 | ) | (1,512,846 | ) | 7,059,016 | ||||||||||||||||||||||||
37,290,896 | 25,124,514 | 150,259,930 | 90,914,644 | 89,496,954 | 73,500,807 | (8,056,741 | ) | 17,127,512 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
67,233,026 | 27,877,023 | 182,350,444 | 28,783,687 | 100,601,550 | 47,339,751 | 6,945,178 | 43,062,224 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
(1,556,300 | ) | — | (29,084,966 | ) | (19,988,419 | ) | (4,329,624 | ) | (6,232,037 | ) | (19,170,901 | ) | (21,187,856 | ) | ||||||||||||||||||||
(8,066,172 | ) | (52,617,603 | ) | — | — | — | — | (7,141,572 | ) | (6,236,992 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
(9,622,472 | ) | (52,617,603 | ) | (29,084,966 | ) | (19,988,419 | ) | (4,329,624 | ) | (6,232,037 | ) | (26,312,473 | ) | (27,424,848 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
238,600,461 | 160,893,040 | 214,219,124 | 402,909,238 | 70,040,704 | 120,366,330 | 176,774,776 | 204,302,357 | |||||||||||||||||||||||||||
9,622,468 | 52,615,219 | 29,084,961 | 19,988,419 | 4,329,619 | 6,232,035 | 26,310,426 | 27,421,877 | |||||||||||||||||||||||||||
(106,953,582 | ) | (129,465,575 | ) | (274,821,559 | ) | (511,193,040 | ) | (111,014,182 | ) | (203,472,381 | ) | (195,738,156 | ) | (384,592,902 | ) | |||||||||||||||||||
— | 187,304,118 | — | — | — | — | — | — | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
141,269,347 | 271,346,802 | (31,517,474 | ) | (88,295,383 | ) | (36,643,859 | ) | (76,874,016 | ) | 7,347,046 | (152,868,668 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
198,879,901 | 246,606,222 | 121,748,004 | (79,500,115 | ) | 59,628,067 | (35,766,302 | ) | (12,020,249 | ) | (137,231,292 | ) | |||||||||||||||||||||||
475,191,957 | 228,585,735 | 1,122,343,024 | 1,201,843,139 | 428,053,876 | 463,820,178 | 722,097,994 | 859,329,286 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
$ | 674,071,858 | $ | 475,191,957 | $ | 1,244,091,028 | $ | 1,122,343,024 | $ | 487,681,943 | $ | 428,053,876 | $ | 710,077,745 | $ | 722,097,994 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
$ | 1,537,046 | $ | 723,744 | $ | 21,731,959 | $ | 25,314,228 | $ | 5,872,248 | $ | 3,798,997 | $ | 393,961 | $ | 19,773 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
261
Statements of Changes in Net Assets |
For the Year/Period Ended August 31, 2017 and August 31, 2016 |
High Yield Fund | ||||||||||||
2017 | 2016 | |||||||||||
OPERATIONS: | ||||||||||||
Net investment income | $ | 17,072,860 | $ | 15,949,781 | ||||||||
Net realized gain (loss) | 8,885,926 | (24,162,069 | ) | |||||||||
Change in unrealized appreciation (depreciation) | (793,584 | ) | 20,646,286 | |||||||||
|
|
|
| |||||||||
Increase (Decrease) in Net Assets From Operations | 25,165,202 | 12,433,998 | ||||||||||
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS FROM (NOTE 1): | ||||||||||||
Net investment income | (18,440,615 | ) | (16,980,249 | ) | ||||||||
Net realized gains | — | — | ||||||||||
|
|
|
| |||||||||
Decrease in Net Assets From Distributions to Shareholders | (18,440,615 | ) | (16,980,249 | ) | ||||||||
|
|
|
| |||||||||
FUND SHARE TRANSACTIONS (NOTE 4): | ||||||||||||
Net proceeds from sale of shares | 42,621,807 | 138,664,513 | ||||||||||
Reinvestment of distributions | 18,441,381 | 16,977,875 | ||||||||||
Cost of shares repurchased | (219,890,663 | ) | (80,651,570 | ) | ||||||||
|
|
|
| |||||||||
Increase (Decrease) in Net Assets From Fund Share Transactions | (158,827,475 | ) | 74,990,818 | |||||||||
|
|
|
| |||||||||
Increase (Decrease) in Net Assets | (152,102,888 | ) | 70,444,567 | |||||||||
NET ASSETS: | ||||||||||||
Beginning of year/period | 324,782,205 | 254,337,638 | ||||||||||
|
|
|
| |||||||||
End of year/period*† | $ | 172,679,317 | $ | 324,782,205 | ||||||||
|
|
|
| |||||||||
* Includes undistributed net investment income of: | $ | 1,102,028 | $ | 1,054,862 | ||||||||
|
|
|
| |||||||||
† Includes accumulated net investment loss of: | — | $ | — | |||||||||
|
|
|
|
(a) | The period from Fund inception (March 8, 2016) through the period end August 31, 2016. |
See Notes to Financial Statements.
262
International Fixed Income Fund | Municipal Bond Fund | Inflation-Linked Fixed Income Fund | Ultra-Short Term Fixed Income Fund | |||||||||||||||||||||||||||||||
2017 | 2016 | 2017 | 2016 | 2017 | 2016(a) | 2017 | 2016(a) | |||||||||||||||||||||||||||
$ | 3,133,616 | $ | 3,544,582 | $ | 1,757,130 | $ | 2,203,871 | $ | 3,788,326 | $ | 1,858,032 | $ | 2,361,286 | $ | 1,063,107 | |||||||||||||||||||
(4,046,768 | ) | 1,245,577 | (141,542 | ) | 1,682,257 | (2,109,516 | ) | 894,933 | 425,955 | (112,254 | ) | |||||||||||||||||||||||
1,659,989 | 13,814,830 | (2,095,714 | ) | 612,192 | 270,558 | 3,098,420 | 651,560 | 485,800 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
746,837 | 18,604,989 | (480,126 | ) | 4,498,320 | 1,949,368 | 5,851,385 | 3,438,801 | 1,436,653 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
(1,952,470 | ) | (14,225,200 | ) | (1,758,101 | ) | (2,193,237 | ) | (4,121,509 | ) | (3,176,335 | ) | (4,042,585 | ) | (1,418,793 | ) | |||||||||||||||||||
— | — | (1,685,563 | ) | (180,832 | ) | (152,952 | ) | — | — | — | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
(1,952,470 | ) | (14,225,200 | ) | (3,443,664 | ) | (2,374,069 | ) | (4,274,461 | ) | (3,176,335 | ) | (4,042,585 | ) | (1,418,793 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
28,258,011 | 48,037,831 | 8,027,078 | 18,229,393 | 64,860,229 | 168,452,906 | 153,583,764 | 177,291,553 | |||||||||||||||||||||||||||
1,952,470 | 14,225,200 | 3,443,854 | 2,373,871 | 4,275,758 | 3,174,104 | 4,041,804 | 1,417,941 | |||||||||||||||||||||||||||
(72,874,340 | ) | (98,005,036 | ) | (18,821,942 | ) | (38,612,137 | ) | (35,509,950 | ) | (15,114,362 | ) | (43,745,301 | ) | (16,273,622 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
(42,663,859 | ) | (35,742,005 | ) | (7,351,010 | ) | (18,008,873 | ) | 33,626,037 | 156,512,648 | 113,880,267 | 162,435,872 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
(43,869,492 | ) | (31,362,216 | ) | (11,274,800 | ) | (15,884,622 | ) | 31,300,944 | 159,187,698 | 113,276,483 | 162,453,732 | |||||||||||||||||||||||
191,672,617 | 223,034,833 | 69,212,110 | 85,096,732 | 159,187,698 | — | 162,453,732 | — | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
$ | 147,803,125 | $ | 191,672,617 | $ | 57,937,310 | $ | 69,212,110 | $ | 190,488,642 | $ | 159,187,698 | $ | 275,730,215 | $ | 162,453,732 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
$ | 1,617,001 | $ | 3,221,895 | $ | 419,273 | $ | 441,601 | $ | 461,380 | $ | 952,322 | $ | — | $ | 211,814 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
$ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (156,814 | ) | $ | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
263
Statement of Cash Flows |
For the Year Ended August 31, 2017 |
International Fixed Income Fund | Inflation-Linked Fixed Income Fund | |||||||
Cash Flows Provided by Operating Activities | ||||||||
Net increase in net assets from operations | $ | 746,837 | $ | 1,949,368 | ||||
Adjustments to reconcile net increase in net assets from operations to net cash and foreign currency from operating activities: | ||||||||
Purchases of long-term investments | (473,341,848 | ) | (290,602,084 | ) | ||||
Proceeds from the sale and maturity of long-term investments | 500,741,810 | 270,399,319 | ||||||
Purchase of/Proceeds from short-term investments, net | 12,242,458 | (1,124,280 | ) | |||||
Decrease to the principal amount of inflation-indexed bonds | (606,015 | ) | (2,562,043 | ) | ||||
Change in net unrealized depreciation from unaffiliated investments | 256,488 | 1,295,575 | ||||||
Change in net unrealized apppreciation from option contracts written | 79,447 | 15,321 | ||||||
Change in net unrealized appreciation from OTC swap contracts | (1,960,067 | ) | (167,388 | ) | ||||
Decrease in Variation Margin on Centrally Cleared swap contracts | 199,848 | 112,805 | ||||||
Net amortization (accretion) of premiums (discounts) of investments | (347,069 | ) | (593,049 | ) | ||||
Net realized loss from unaffiliated investments | 7,236,118 | 1,252,987 | ||||||
Net realized gain on option contracts written | (254,756 | ) | (273,141 | ) | ||||
Increase/Decrease in premiums received on written options | (71,520 | ) | 267,135 | |||||
Increase in Variation Margin on futures contracts | (50,733 | ) | (12,995 | ) | ||||
Decrease in receivable for securities sold | 28,942,307 | 715,694 | ||||||
Increase/Decrease in dividends and interest receivable from unaffiliated investments | 218,783 | (198,525 | ) | |||||
Increase in deposits for collateral with counterparty | (837,000 | ) | (16,000 | ) | ||||
Increase in net premium received/premium paid on OTC swaps | 164,170 | 61,276 | ||||||
Decrease in forward sale commitments | (5,416,992 | ) | — | |||||
Increase in prepaid expenses | (548 | ) | (4,563 | ) | ||||
Increase/Decrease in unrealized appreciation on open forward foreign currency contracts | 352,116 | (327,983 | ) | |||||
Decrease in organizational expense | — | 52,453 | ||||||
Decrease in other assets | — | 3,230 | ||||||
Decrease in payable for collateral received from securities on loan | (557,865 | ) | — | |||||
Decrease in payable for securities purchased | (34,004,597 | ) | (2,861,383 | ) | ||||
Decrease in deposits for collateral from counterparty | (242,000 | ) | (100,000 | ) | ||||
Increase/Decrease in investment management fee payable | (21,109 | ) | 7,131 | |||||
Decrease in interest expense payable | (3,437 | ) | (5,896 | ) | ||||
Decrease in custody fee payable | (2,646 | ) | (12,209 | ) | ||||
Decrease in trustees’ fees payable | (506 | ) | (296 | ) | ||||
Increase/Decrease in transfer agent fees payable | (4,056 | ) | 2,341 | |||||
Decrease in unrealized depreciation on open forward foreign currency contracts | (264,218 | ) | (41,137 | ) | ||||
Increase in accrued expenses | 51,406 | 38,900 | ||||||
Decrease in other liabilities | — | (3,558 | ) | |||||
|
|
|
| |||||
Net cash and foreign currency used in operating activities | 33,244,806 | (22,732,995 | ) | |||||
|
|
|
| |||||
Cash Flows Provided by Financing Activities: | ||||||||
Payments on/Proceeds from reverse repurchase agreements | 11,645,026 | (3,665,625 | ) | |||||
Proceeds from sale of shares | 28,168,055 | 64,621,213 | ||||||
Cost of shares repurchased | (73,014,925 | ) | (35,753,040 | ) | ||||
Distributions to shareholders, net of reinvestments | — | (4 | ) | |||||
|
|
|
| |||||
Net cash and foreign currency provided by financing activities | (33,201,844 | ) | 25,202,544 | |||||
|
|
|
| |||||
Net increase in cash and foreign currency (a) | $ | 42,962 | $ | 2,469,549 | ||||
|
|
|
| |||||
Cash and Foreign Currency: | ||||||||
Cash and foreign currency at beginning of the period | 60,188 | 697,950 | ||||||
|
|
|
| |||||
Cash and foreign currency at end of the year | $ | 103,150 | $ | 3,167,499 | ||||
|
|
|
| |||||
Non-Cash Financing Activities: | ||||||||
Reinvestment of distributions | $ | 1,952,470 | $ | 4,275,758 | ||||
|
|
|
|
(a) | Includes net change in unrealized appreciation (depreciation) on foreign currency of $2,112 and $4,135 for International Fixed Income Fund and Inflation-Linked Fixed Income Fund, respectively. |
See Notes to Financial Statements.
264
Financial Highlights |
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
Large Cap Equity Fund | ||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||
Net asset value, Beginning of Year | $ | 17.06 | $ | 20.63 | $ | 22.19 | $ | 19.29 | $ | 16.39 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income from Operations: | ||||||||||||||||||||
Net investment income(1) | 0.25 | 0.19 | 0.08 | 0.07 | 0.11 | |||||||||||||||
Net realized and unrealized gain | 2.05 | 1.15 | 0.87 | 4.47 | 2.85 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Income from Operations | 2.30 | 1.34 | 0.95 | 4.54 | 2.96 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions From: | ||||||||||||||||||||
Net investment income | (0.27 | ) | (0.11 | ) | (0.07 | ) | (0.11 | ) | (0.06 | ) | ||||||||||
Net realized gain | (0.33 | ) | (4.80 | ) | (2.44 | ) | (1.53 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.60 | ) | (4.91 | ) | (2.51 | ) | (1.64 | ) | (0.06 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value, End of Year | $ | 18.76 | $ | 17.06 | $ | 20.63 | $ | 22.19 | $ | 19.29 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return(2) | 13.86 | % | 7.08 | % | 4.39 | %(3) | 24.35 | % | 18.11 | % | ||||||||||
Net Assets, End of Year (millions) | $ | 1,687 | $ | 1,709 | $ | 1,353 | $ | 1,780 | $ | 1,571 | ||||||||||
Ratios to Average Net Assets: | ||||||||||||||||||||
Gross expenses | 0.69 | % | 0.69 | % | 0.68 | % | 0.67 | % | 0.69 | % | ||||||||||
Net expenses(4) | 0.48 | 0.56 | 0.68 | 0.67 | 0.69 | |||||||||||||||
Net investment income | 1.40 | 1.10 | 0.36 | 0.33 | 0.60 | |||||||||||||||
Portfolio Turnover Rate | 18 | % | 105 | % | 66 | % | 56 | % | 57 | % |
(1) | Per share amounts have been calculated using the average shares method. |
(2) | Performance figures may reflect fee waivers and/or expense reimbursements and assume reinvestment of dividend distribution. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Applicable advisory program charges, which may be up to 2.50%, are not reflected in the performance data and would reduce the total returns. Past performance is no guarantee of future results. |
(3) | The Manager contributed a non-recourse voluntary reimbursement to Large Cap Equity Fund. The effect of the reimbursement is reflected in the Fund’s total return above. Without this reimbursement, the impact was less than 0.00% to the total return for Large Cap Equity Fund. |
(4) | Reflects fee waivers and/or expense reimbursements. |
See Notes to Financial Statements.
265
Financial Highlights |
(continued) |
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
Small-Mid Cap Equity Fund | ||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||
Net asset value, Beginning of Year | $ | 17.40 | $ | 24.39 | $ | 28.53 | $ | 25.22 | $ | 19.81 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Operations: | ||||||||||||||||||||
Net investment income (loss)(1) | 0.10 | 0.05 | (0.12 | ) | (0.12 | ) | (0.00 | )(2) | ||||||||||||
Net realized and unrealized gain (loss) | 2.39 | (1.22 | ) | 1.93 | 4.36 | 5.41 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Income (Loss) from Operations | 2.49 | (1.17 | ) | 1.81 | 4.24 | 5.41 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions From: | ||||||||||||||||||||
Net investment income | (0.06 | ) | — | — | — | — | ||||||||||||||
Net realized gain | (0.30 | ) | (5.82 | ) | (5.95 | ) | (0.93 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.36 | ) | (5.82 | ) | (5.95 | ) | (0.93 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value, End of Year | $ | 19.53 | $ | 17.40 | $ | 24.39 | $ | 28.53 | $ | 25.22 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return(3) | 14.49 | % | (5.51 | )% | 7.36 | %(4) | 16.91 | % | 27.31 | % | ||||||||||
Net Assets, End of Year (millions) | $ | 674 | $ | 475 | $ | 229 | $ | 296 | $ | 311 | ||||||||||
Ratios to Average Net Assets: | ||||||||||||||||||||
Gross expenses | 0.94 | % | 0.99 | % | 0.93 | % | 0.92 | % | 0.97 | % | ||||||||||
Net expenses(5) | 0.63 | 0.79 | 0.93 | 0.92 | 0.97 | |||||||||||||||
Net investment income (loss) | 0.52 | 0.28 | (0.45 | ) | (0.42 | ) | (0.02 | ) | ||||||||||||
Portfolio Turnover Rate | 34 | % | 151 | % | 89 | % | 80 | % | 90 | % |
(1) | Per share amounts have been calculated using the average shares method. |
(2) | Amounts represent less than $(0.01) per share. |
(3) | Performance figures may reflect fee waivers and/or expense reimbursements and assume reinvestment of dividend distribution. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Applicable advisory program charges, which may be up to 2.50%, are not reflected in the performance data and would reduce the total returns. Past performance is no guarantee of future results. |
(4) | The Manager contributed a non-recourse voluntary reimbursement to Small-Mid Cap Equity Fund. The effect of the reimbursement is reflected in the Fund’s total return above. Without this reimbursement, the total return for Small-Mid Cap Equity Fund was 7.27%. |
(5) | Reflects fee waivers and/or expense reimbursements. |
See Notes to Financial Statements.
266
Financial Highlights |
(continued) |
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
International Equity Fund | ||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||
Net asset value, Beginning of Year | $ | 10.83 | $ | 10.91 | $ | 12.03 | $ | 10.92 | $ | 9.58 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Operations: | ||||||||||||||||||||
Net investment income(1) | 0.24 | 0.21 | 0.21 | 0.22 | 0.20 | |||||||||||||||
Net realized and unrealized gain (loss) | 1.56 | (0.10 | ) | (1.13 | ) | 1.03 | 1.27 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Income (Loss) from Operations | 1.80 | 0.11 | (0.92 | ) | 1.25 | 1.47 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions From: | ||||||||||||||||||||
Net investment income | (0.29 | ) | (0.19 | ) | (0.20 | ) | (0.14 | ) | (0.13 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.29 | ) | (0.19 | ) | (0.20 | ) | (0.14 | ) | (0.13 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value, End of Year | $ | 12.34 | $ | 10.83 | $ | 10.91 | $ | 12.03 | $ | 10.92 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return(2) | 17.14 | % | 0.96 | % | (7.68 | )%(3) | 11.45 | % | 15.47 | % | ||||||||||
Net Assets, End of Year (millions) | $ | 1,244 | $ | 1,122 | $ | 1,202 | $ | 1,149 | $ | 773 | ||||||||||
Ratios to Average Net Assets: | ||||||||||||||||||||
Gross expenses | 0.83 | % | 0.82 | % | 0.81 | % | 0.81 | % | 0.84 | % | ||||||||||
Net expenses(4) | 0.65 | 0.76 | 0.79 | 0.77 | 0.83 | |||||||||||||||
Net investment income | 2.15 | 2.02 | 1.80 | 1.83 | 1.88 | |||||||||||||||
Portfolio Turnover Rate | 27 | % | 64 | % | 80 | % | 95 | % | 63 | % |
(1) | Per share amounts have been calculated using the average shares method. |
(2) | Performance figures may reflect fee waivers and/or expense reimbursements and assume reinvestment of dividend distribution. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Applicable advisory program charges, which may be up to 2.50%, are not reflected in the performance data and would reduce the total returns. Past performance is no guarantee of future results. |
(3) | The Manager contributed a non-recourse voluntary reimbursement to International Equity Fund. The effect of the reimbursement is reflected in the Fund’s total return above. Without this reimbursement, the total return for International Equity Fund was (7.94)%. |
(4) | Reflects fee waivers and/or expense reimbursements. |
Emerging Markets Equity Fund | ||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||
Net asset value, Beginning of Year | $ | 12.36 | $ | 10.87 | $ | 14.54 | $ | 13.67 | $ | 14.46 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Operations: | ||||||||||||||||||||
Net investment income(1) | 0.20 | 0.13 | 0.17 | 0.20 | 0.21 | |||||||||||||||
Net realized and unrealized gain (loss) | 2.90 | 1.51 | (3.64 | ) | 2.36 | (0.69 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Income (Loss) from Operations | 3.10 | 1.64 | (3.47 | ) | 2.56 | (0.48 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions From: | ||||||||||||||||||||
Net investment income | (0.13 | ) | (0.15 | ) | (0.20 | ) | (0.29 | ) | (0.31 | ) | ||||||||||
Net realized gain | — | — | — | (1.40 | ) | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.13 | ) | (0.15 | ) | (0.20 | ) | (1.69 | ) | (0.31 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value, End of Year | $ | 15.33 | $ | 12.36 | $ | 10.87 | $ | 14.54 | $ | 13.67 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return(2) | 25.48 | % | 15.31 | % | (24.08 | )% | 19.97 | % | (3.54 | )% | ||||||||||
Net Assets, End of Year (millions) | $ | 488 | $ | 428 | $ | 464 | $ | 385 | $ | 414 | ||||||||||
Ratios to Average Net Assets: | ||||||||||||||||||||
Gross expenses | 1.14 | % | 1.13 | % | 1.08 | % | 1.09 | % | 1.10 | % | ||||||||||
Net expenses(3) | 0.86 | 0.96 | 0.96 | 0.99 | 0.99 | |||||||||||||||
Net investment income | 1.51 | 1.15 | 1.34 | 1.49 | 1.39 | |||||||||||||||
Portfolio Turnover Rate | 27 | % | 99 | % | 41 | % | 29 | % | 89 | % |
(1) | Per share amounts have been calculated using the average shares method. |
(2) | Performance figures may reflect fee waivers and/or expense reimbursements and assume reinvestment of dividend distribution. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Applicable advisory program charges, which may be up to 2.50%, are not reflected in the performance data and would reduce the total returns. Past performance is no guarantee of future results. |
(3) | Reflects fee waivers and/or expense reimbursements. |
See Notes to Financial Statements.
267
Financial Highlights |
(continued) |
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
Core Fixed Income Fund | ||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||
Net asset value, Beginning of Year | $ | 8.41 | $ | 8.23 | $ | 8.44 | $ | 8.17 | $ | 8.87 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Operations: | ||||||||||||||||||||
Net investment income(1) | 0.19 | 0.20 | 0.17 | 0.18 | 0.20 | |||||||||||||||
Net realized and unrealized gain (loss) | (0.11 | ) | 0.27 | (0.06 | ) | 0.31 | (0.30 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Income (Loss) from Operations | 0.08 | 0.47 | 0.11 | 0.49 | (0.10 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions From: | ||||||||||||||||||||
Net investment income | (0.22 | ) | (0.23 | ) | (0.20 | ) | (0.22 | ) | (0.24 | ) | ||||||||||
Net realized gain | (0.08 | ) | (0.06 | ) | (0.12 | ) | — | (0.36 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.30 | ) | (0.29 | ) | (0.32 | ) | (0.22 | ) | (0.60 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value, End of Year | $ | 8.19 | $ | 8.41 | $ | 8.23 | $ | 8.44 | $ | 8.17 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return(2) | 1.07 | % | 5.84 | % | 1.35 | % | 6.10 | % | (1.31 | )% | ||||||||||
Net Assets, End of Year (millions) | $ | 710 | $ | 722 | $ | 859 | $ | 799 | $ | 937 | ||||||||||
Ratios to Average Net Assets: | ||||||||||||||||||||
Gross expenses(3) | 0.58 | % | 0.55 | % | 0.54 | % | 0.53 | % | 0.54 | % | ||||||||||
Net expenses(3)(4) | 0.56 | 0.54 | 0.55 | 0.53 | 0.54 | |||||||||||||||
Net investment income | 2.32 | 2.42 | 2.06 | 2.19 | 2.30 | |||||||||||||||
Portfolio Turnover Rate | 236 | % | 245 | % | 326 | % | 446 | % | 421 | % |
(1) | Per share amounts have been calculated using the average shares method. |
(2) | Performance figures may reflect fee waivers and/or expense reimbursements and assume reinvestment of dividend distribution. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Applicable advisory program charges, which may be up to 2.50%, are not reflected in the performance data and would reduce the total returns. Past performance is no guarantee of future results. |
(3) | Ratio includes interest expense on forward sale commitments and reverse repurchase agreements which represents less than 0.01%. |
(4) | Reflects fee waivers and/or expense reimbursements. |
High Yield Fund | ||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||
Net asset value, Beginning of Year | $ | 3.78 | $ | 3.88 | $ | 4.41 | $ | 4.27 | $ | 4.24 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Operations: | ||||||||||||||||||||
Net investment income(1) | 0.22 | 0.23 | 0.24 | 0.24 | 0.27 | |||||||||||||||
Net realized and unrealized gain (loss) | 0.10 | (0.09 | ) | (0.50 | ) | 0.17 | 0.07 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Income (Loss) from Operations | 0.32 | 0.14 | (0.26 | ) | 0.41 | 0.34 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions From: | ||||||||||||||||||||
Net investment income | (0.24 | ) | (0.24 | ) | (0.27 | ) | (0.27 | ) | (0.31 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.24 | ) | (0.24 | ) | (0.27 | ) | (0.27 | ) | (0.31 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value, End of Year | $ | 3.86 | $ | 3.78 | $ | 3.88 | $ | 4.41 | $ | 4.27 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return(2) | 8.38 | % | 4.02 | % | (6.14 | )% | 9.75 | % | 8.07 | % | ||||||||||
Net Assets, End of Year (millions) | $ | 173 | $ | 325 | $ | 254 | $ | 258 | $ | 111 | ||||||||||
Ratios to Average Net Assets: | ||||||||||||||||||||
Gross expenses | 0.95 | % | 0.88 | % | 0.90 | % | 0.92 | % | 0.93 | % | ||||||||||
Net expenses(3) | 0.75 | 0.70 | 0.74 | 0.76 | 0.78 | |||||||||||||||
Net investment income | 5.65 | 6.21 | 5.74 | 5.53 | 6.25 | |||||||||||||||
Portfolio Turnover Rate | 72 | % | 64 | % | 42 | % | 57 | % | 86 | % |
(1) | Per share amounts have been calculated using the average shares method. |
(2) | Performance figures may reflect fee waivers and/or expense reimbursements and assume reinvestment of dividend distribution. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Applicable advisory program charges, which may be up to 2.50%, are not reflected in the performance data and would reduce the total returns. Past performance is no guarantee of future results. |
(3) | Reflects fee waivers and/or expense reimbursements. |
See Notes to Financial Statements.
268
Financial Highlights |
(continued) |
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
International Fixed Income Fund | ||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||
Net asset value, Beginning of Year | $ | 7.79 | $ | 7.61 | $ | 8.04 | $ | 8.02 | $ | 8.56 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Operations: | ||||||||||||||||||||
Net investment income(1) | 0.14 | 0.13 | 0.13 | 0.16 | 0.18 | |||||||||||||||
Net realized and unrealized gain (loss) | (0.07 | ) | 0.56 | (0.09 | ) | 0.40 | (0.23 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Income (Loss) from Operations | 0.07 | 0.69 | 0.04 | 0.56 | (0.05 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions From: | ||||||||||||||||||||
Net investment income | (0.08 | ) | (0.51 | ) | (0.47 | ) | (0.54 | ) | (0.49 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.08 | ) | (0.51 | ) | (0.47 | ) | (0.54 | ) | (0.49 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value, End of Year | $ | 7.78 | $ | 7.79 | $ | 7.61 | $ | 8.04 | $ | 8.02 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return(2) | 0.98 | % | 9.56 | % | 0.44 | % | 7.36 | % | (0.77 | )% | ||||||||||
Net Assets, End of Year (millions) | $ | 148 | $ | 192 | $ | 223 | $ | 267 | $ | 317 | ||||||||||
Ratios to Average Net Assets: | ||||||||||||||||||||
Gross expenses | 1.06 | %(3) | 0.87 | %(3) | 0.87 | %(3) | 0.76 | %(3) | 0.69 | %(3) | ||||||||||
Net expenses | 1.01 | (3)(4) | 0.83 | (3)(4) | 0.87 | (3) | 0.76 | (3) | 0.69 | (3) | ||||||||||
Net investment income | 1.82 | 1.71 | 1.61 | 2.00 | 2.12 | |||||||||||||||
Portfolio Turnover Rate | 268 | % | 199 | % | 416 | % | 397 | % | 198 | % |
(1) | Per share amounts have been calculated using the average shares method. |
(2) | Performance figures may reflect fee waivers and/or expense reimbursements and assume reinvestment of dividend distribution. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Applicable advisory program charges, which may be up to 2.50%, are not reflected in the performance data and would reduce the total returns. Past performance is no guarantee of future results. |
(3) | Ratio includes interest expense on forward sale commitments and reverse repurchase agreements which represents 0.11%, 0.04%, 0.10%, 0.04% and less than 0.01%, respectively. |
(4) | Reflects fee waivers and/or expense reimbursements. |
Municipal Bond Fund | ||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||
Net asset value, Beginning of Year | $ | 9.93 | $ | 9.65 | $ | 9.76 | $ | 9.21 | $ | 9.88 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (Loss) from Operations: | ||||||||||||||||||||
Net investment income(1) | 0.27 | 0.28 | 0.28 | 0.29 | 0.29 | |||||||||||||||
Net realized and unrealized gain (loss) | (0.31 | ) | 0.30 | (0.06 | ) | 0.55 | (0.67 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Income (Loss) from Operations | (0.04 | ) | 0.58 | 0.22 | 0.84 | (0.38 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less Distributions From: | ||||||||||||||||||||
Net investment income | (0.27 | ) | (0.28 | ) | (0.28 | ) | (0.29 | ) | (0.29 | ) | ||||||||||
Net realized gain | (0.25 | ) | (0.02 | ) | (0.05 | ) | — | — | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Distributions | (0.52 | ) | (0.30 | ) | (0.33 | ) | (0.29 | ) | (0.29 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Asset Value, End of Year | $ | 9.37 | $ | 9.93 | $ | 9.65 | $ | 9.76 | $ | 9.21 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return(2) | (0.22 | )% | 6.14 | % | 2.32 | % | 9.24 | % | (4.01 | )% | ||||||||||
Net Assets, End of Year (millions) | $ | 58 | $ | 69 | $ | 85 | $ | 78 | $ | 80 | ||||||||||
Ratios to Average Net Assets: | ||||||||||||||||||||
Gross expenses | 0.75 | % | 0.68 | % | 0.66 | % | 0.59 | % | 0.61 | % | ||||||||||
Net expenses | 0.75 | 0.68 | 0.66 | 0.59 | 0.61 | |||||||||||||||
Net investment income | 2.85 | 2.87 | 2.91 | 3.03 | 2.92 | |||||||||||||||
Portfolio Turnover Rate | 13 | % | 16 | % | 8 | % | 19 | % | 9 | % |
(1) | Per share amounts have been calculated using the average shares method. |
(2) | Performance figures may reflect fee waivers and/or expense reimbursements and assume reinvestment of dividend distribution. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Applicable advisory program charges, which may be up to 2.50%, are not reflected in the performance data and would reduce the total returns. Past performance is no guarantee of future results. |
See Notes to Financial Statements.
269
Financial Highlights |
(continued) |
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
Inflation-Linked Fixed Income Fund | ||||||||
2017 | 2016(1) | |||||||
Net asset value, Beginning of Year/Period | $ | 10.23 | $ | 10.00 | ||||
|
|
|
| |||||
Income from Operations: | ||||||||
Net investment income(2) | 0.23 | 0.14 | ||||||
Net realized and unrealized gain | (0.13 | ) | 0.32 | |||||
|
|
|
| |||||
Total Income from Operations | 0.10 | 0.46 | ||||||
|
|
|
| |||||
Less Distributions From: | ||||||||
Net investment income | (0.24 | ) | (0.23 | ) | ||||
Net realized gain | (0.01 | ) | — | |||||
|
|
|
| |||||
Total Distributions | (0.25 | ) | (0.23 | ) | ||||
|
|
|
| |||||
Net Asset Value, End of Year/Period | $ | 10.08 | $ | 10.23 | ||||
|
|
|
| |||||
Total Return(3) | 1.05 | % | 4.59 | % | ||||
Net Assets, End of Year/Period (millions) | $ | 190 | $ | 159 | ||||
Ratios to Average Net Assets: | ||||||||
Gross expenses | 1.15 | %(4) | 1.03 | %(4)(5) | ||||
Net expenses(6) | 1.10 | (4) | 0.99 | (4)(5) | ||||
Net investment income | 2.25 | 2.91 | (5) | |||||
Portfolio Turnover Rate | 120 | % | 35 | % |
(1) | For the period from Fund inception (March 8, 2016) through the period end August 31, 2016. |
(2) | Per share amounts have been calculated using the average shares method. |
(3) | Performance figures may reflect fee waivers and/or expense reimbursements and assume reinvestment of dividend distribution. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Applicable advisory program charges, which may be up to 2.50%, are not reflected in the performance data and would reduce the total returns. Past performance is no guarantee of future results. |
(4) | Ratio includes interest expense on forward sale commitments and reverse repurchase agreements which represents 0.29% and 0.19% (annualized), respectively. |
(5) | Annualized. |
(6) | Reflects fee waivers and/or expense reimbursements. |
See Notes to Financial Statements.
270
Financial Highlights |
(continued) |
For a share of beneficial interest outstanding throughout each year ended August 31, unless otherwise noted:
Ultra-Short Term Fixed Income Fund | ||||||||
2017 | 2016(1) | |||||||
Net asset value, Beginning of Year/Period | $ | 10.00 | $ | 10.00 | ||||
|
|
|
| |||||
Income from Operations: | ||||||||
Net investment income(2) | 0.13 | 0.07 | ||||||
Net realized and unrealized gain | 0.08 | 0.02 | ||||||
|
|
|
| |||||
Total Income from Operations | 0.21 | 0.09 | ||||||
|
|
|
| |||||
Less Distributions From: | ||||||||
Net investment income | (0.22 | ) | (0.09 | ) | ||||
|
|
|
| |||||
Total Distributions | (0.22 | ) | (0.09 | ) | ||||
|
|
|
| |||||
Net Asset Value, End of Year/Period | $ | 9.99 | $ | 10.00 | ||||
|
|
|
| |||||
Total Return(3) | 2.14 | % | 0.89 | % | ||||
Net Assets, End of Year/Period (millions) | $ | 276 | $ | 162 | ||||
Ratios to Average Net Assets: | ||||||||
Gross expenses | 0.84 | %(4) | 0.81 | %(4)(5) | ||||
Net expenses(6) | �� | 0.79 | (4) | 0.77 | (4)(5) | |||
Net investment income | 1.29 | 1.47 | (5) | |||||
Portfolio Turnover Rate | 103 | % | 100 | % |
(1) | For the period from Fund inception (March 8, 2016) through the period end August 31, 2016. |
(2) | Per share amounts have been calculated using the average shares method. |
(3) | Performance figures may reflect fee waivers and/or expense reimbursements and assume reinvestment of dividend distribution. In the absence of fee waivers and/or expense reimbursements, the total return would have been lower. Applicable advisory program charges, which may be up to 2.50%, are not reflected in the performance data and would reduce the total returns. Past performance is no guarantee of future results. |
(4) | Ratio includes interest expense on forward sale commitments and reverse repurchase agreements which represents 0.05% and 0.02% (annualized), respectively. |
(5) | Annualized. |
(6) | Reflects fee waivers and/or expense reimbursements. |
See Notes to Financial Statements.
271
Notes to Financial Statements |
1. Organization and Significant Accounting Policies
The Consulting Group Capital Markets Funds (“Trust”) is organized as a Massachusetts business trust and registered under the Investment Company Act of 1940, as amended (“1940 Act”), as an open-end management investment company. The Trust currently consists of Large Cap Equity Fund, Small-Mid Cap Equity Fund, International Equity Fund, Emerging Markets Equity Fund, Core Fixed Income Fund, High Yield Fund, International Fixed Income Fund, Municipal Bond Fund, Inflation-Linked Fixed Income Fund and Ultra-Short Term Fixed Income Fund (individually, a “Fund” and collectively, the “Funds”). Each Fund is a diversified series of the Trust, except for International Fixed Income Fund, which is non-diversified.
The following is a summary of significant accounting policies consistently followed by the Funds which are in conformity with accounting principles generally accepted in the United States of America (“GAAP”). Estimates and assumptions are required to be made by management regarding assets, liabilities and changes in net assets resulting from operations when financial statements are prepared. Changes in the economic environment, financial markets and any other parameters used in determining these estimates could cause actual results to differ. The Funds are investment companies and follow the accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 — Investment Companies.
(a) Investment Valuation. Equity securities for each Fund for which market quotations are readily available and are traded on an exchange are valued at the closing sale price or official closing price on the exchange on which such security is principally traded. In the event there are no sales that day, such securities are valued at the mean between the bid and ask prices. For securities that are primarily traded on foreign exchanges, these values are converted to U.S. dollars using the current exchange rates as of the close of the New York Stock Exchange (“NYSE”).
Exchange-traded purchased and written options and futures contracts are valued at the last sale price (closing price) in the market where such contracts are principally traded or, if no sales are reported, the bid price. Swaps for which quotations are available on an automated basis from approved third-party pricing services are valued using those automated third-party pricing service quotations. Forward foreign currency contracts are valued using the official closing price for such contracts on the NYSE.
Portfolio securities traded in the over-the-counter market for which market quotations are readily available are valued at the last sales price that day. In the event there are no sales that day, such securities are valued at the mean between the bid and ask prices. Investments in registered open-end management investment companies are valued at reported net asset value per share.
Debt obligations that will mature in 60 days or less are valued at amortized cost, which approximates market value. Debt obligations that will mature in more than 60 days are valued using valuations furnished by an approved third-party pricing service; such valuations are determined by the third-party pricing service based upon its analysis of a variety of factors, including transactions in debt obligations, quotations from bond dealers, market transactions in comparable securities and its analysis of various relationships between securities, prices or yields of securities with similar characteristics, benchmark curves or information pertaining to the issuer, and as well as industry and economic events.
Overnight repurchase agreements and repurchase agreements maturing in seven days or less are valued at cost. Term repurchase agreements maturing in more than seven days are valued at the average of the bid quotations obtained daily from at least two recognized purchasers of such term repurchase agreements selected by Consulting Group Advisory Services, LLC (“CGAS”) (the “Manager”).
The Board of Trustees (the “Board”) has ultimate responsibility for ensuring the Funds’ investments are valued appropriately. The Board has delegated primary responsibility for determining or causing to be determined the value of the Funds’ investments (including any fair valuation) to the Manager pursuant to valuation policies and procedures approved by the Board. When market quotations are not readily available or are determined to be unreliable, investments are valued at fair value as determined in good faith by the valuation committee established by the Manager in accordance with such procedures under the oversight of the Board. Circumstances that may indicate that market quotations are not readily available or are unreliable include, but are not limited to, such instances when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, and before the applicable Fund calculates its Net Asset Value (“NAV”).
Each business day, Emerging Markets Equity Fund and International Equity Fund use a Board-approved third-party pricing service to assist with the valuation of foreign equity securities. Events occurring after the close of trading on foreign exchanges may result in adjustments to the valuation of foreign securities to reflect market trading that occurs after the close of the applicable foreign
272
Notes to Financial Statements |
(continued) |
markets of comparable securities or other instruments that have a strong correlation to the fair-valued securities to more accurately reflect their fair value as of the close of regular trading on the NYSE.
The Funds disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure the fair value. The hierarchy prioritizes inputs to valuation methods and requires disclosure of the fair value hierarchy, separately for each major category of assets and liabilities that segregates fair value measurements into levels (Level 1, 2, and 3). The three levels of the fair value hierarchy are as follows:
Level 1 – unadjusted quoted prices in active markets for identical securities.
Level 2 – significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3 – significant unobservable inputs (including assumptions made by the Board or persons acting at their direction that are used in determining the fair value of investments).
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following are certain inputs and techniques that the Funds generally use to evaluate how to classify each major category of assets and liabilities in accordance with GAAP.
Fixed income securities including corporate, convertible and municipal bonds and notes, U.S. government agencies, U.S. treasury obligations, sovereign bonds, bank loans, convertible preferred securities and non-U.S. bonds are normally valued by third-party pricing service providers that use broker quotations, reported trades or valuation estimates from their internal pricing models. The service providers’ internal models use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar assets. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy. To the extent that these inputs are significant and unobservable, the values are categorized as Level 3 of the fair value hierarchy.
Mortgage-related and asset-backed securities are usually issued as separate tranches, or classes, of securities within each deal. These securities are also normally valued by third-party pricing service providers that use broker-dealer quotations or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche-level attributes, current market data, estimated cash flows and market-based yield spreads for each tranche, and incorporate deal collateral performance, as available. Mortgage-related and asset-backed securities and the related forward sales commitments that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy. To the extent that these inputs are significant and unobservable, the values are categorized as Level 3 of the fair value hierarchy.
Common stocks, preferred stocks, rights, warrants, exchange-traded funds and financial derivative instruments, such as futures contracts or options contracts that are traded on a national securities exchange, are categorized as Level 1 of the fair value hierarchy, to the extent these securities are actively traded and valuation adjustments are not applied.
Valuation adjustments may be applied to certain securities that are solely traded on a foreign exchange to account for the market movement between the close of the foreign market and the NYSE close. Securities using these valuation adjustments are categorized as Level 2 of the fair value hierarchy. Preferred securities and other equities traded on inactive markets or valued by reference to similar instruments are also categorized as Level 2 of the fair value hierarchy.
Investments in registered open-end investment management companies are valued based upon the NAVs of such investments and are categorized as Level 1 of the fair value hierarchy.
Short-term investments having a maturity of 60 days or less are generally valued at amortized cost which approximates fair market value. These investments are categorized as Level 2 of the fair value hierarchy.
Over-the-counter financial derivative instruments, such as foreign currency contracts, forward foreign currency contracts, options contracts, or swap contracts, derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. These contracts are normally valued on the basis of broker dealer quotations or by third-party pricing service providers. Depending on the product and the terms of the transaction, the value of financial derivatives can be estimated by a third-party pricing service provider using a series of techniques, including simulation pricing models. The pricing models use inputs that are observed from actively quoted markets such as issuer details, indices, spreads, interest rates, yield curves, dividends
273
Notes to Financial Statements |
(continued) |
and exchange rates. Financial derivatives that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy. To the extent that these inputs are significant and unobservable, the values are categorized as Level 3 of the fair value hierarchy.
Centrally cleared swaps listed or traded on a multilateral or trade facility platform, such as a registered exchange, are valued at the daily settlement price determined by the respective exchange. For centrally cleared credit default swaps the clearing facility requires its members to provide actionable levels across complete term structures. These levels along with external third party prices are used to produce daily settlement prices. Centrally cleared interest rate swaps are valued using a pricing model that references the underlying rates including the overnight index swap rate and London Interbank Offered Rate (“LIBOR”) forward rate to produce the daily settlement price. These securities are categorized as Level 2 of the fair value hierarchy.
The Funds’ policy is to recognize transfers between levels at the end of the reporting period. In some instances, the inputs used to measure fair value might fall in different levels of the fair value hierarchy. The level in the fair value hierarchy within which the fair value measurement in its entirety falls is determined based on the lowest level input that is significant to the fair value measurement in its entirety. Because of the inherent uncertainties of valuation, the values reflected in the financial statements may materially differ from the value received upon actual sale of those investments.
The following table summarizes the valuation of each Fund’s assets and liabilities using the fair value hierarchy:
Total Fair Value at August 31, 2017 | Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Observable Inputs (Level 2) | Significant Inputs (Level 3) | |||||||||||||
Large Cap Equity Fund | ||||||||||||||||
Investments, at value | ||||||||||||||||
Common Stocks: | ||||||||||||||||
Consumer Discretionary | $ | 208,967,049 | $ | 208,967,049 | $ | — | $ | — | ||||||||
Consumer Staples | 142,131,138 | 142,131,138 | — | — | ||||||||||||
Energy | 99,237,453 | 99,237,453 | — | — | ||||||||||||
Financials | 204,476,600 | 204,476,600 | — | — | ||||||||||||
Health Care | 245,515,802 | 245,515,802 | — | — | ||||||||||||
Industrials | 156,499,235 | 156,499,235 | — | — | ||||||||||||
Information Technology | 425,068,054 | 425,068,054 | — | — | ||||||||||||
Materials | 55,085,849 | 55,085,849 | — | — | ||||||||||||
Real Estate | 41,429,445 | 41,429,445 | — | — | ||||||||||||
Telecommunication Services | 32,052,184 | 32,052,184 | — | — | ||||||||||||
Utilities | 35,765,180 | 35,765,180 | — | — | ||||||||||||
Short-Term Investments: | ||||||||||||||||
Money Market Fund | 14,237,689 | 14,237,689 | — | — | ||||||||||||
Time Deposits | 33,428,070 | — | 33,428,070 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments, at value | $ | 1,693,893,748 | $ | 1,660,465,678 | $ | 33,428,070 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments — Assets | ||||||||||||||||
Futures Contracts | $ | 102,519 | $ | 102,519 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments — Assets | $ | 102,519 | $ | 102,519 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments — Liabilities | ||||||||||||||||
Futures Contracts | $ | (10,485 | ) | $ | (10,485 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments — Liabilities | $ | (10,485 | ) | $ | (10,485 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
|
274
Notes to Financial Statements |
(continued) |
Total Fair Value at August 31, 2017 | Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Observable Inputs (Level 2) | Significant Inputs (Level 3) | |||||||||||||
Small-Mid Cap Equity Fund | ||||||||||||||||
Investments, at value | ||||||||||||||||
Common Stocks: | ||||||||||||||||
Consumer Discretionary | $ | 81,659,960 | $ | 81,659,960 | $ | — | $ | — | ||||||||
Consumer Staples | 10,092,426 | 10,092,426 | — | — | ||||||||||||
Energy | 15,663,927 | 15,663,927 | — | — | ||||||||||||
Financials | 77,483,188 | 77,483,188 | — | — | ||||||||||||
Health Care | 94,455,367 | 94,455,367 | — | — | ||||||||||||
Industrials | 119,145,622 | 119,145,622 | — | — | ||||||||||||
Information Technology | 126,096,170 | 126,096,170 | — | — | ||||||||||||
Materials | 41,927,355 | * | 41,927,355 | — | — | * | ||||||||||
Real Estate | 39,096,687 | 39,096,687 | — | — | ||||||||||||
Telecommunication Services | 2,058,729 | 2,058,729 | — | — | ||||||||||||
Utilities | 12,288,033 | 12,288,033 | — | — | ||||||||||||
Closed End Mutual Fund Security: | ||||||||||||||||
Financials | 29,627,643 | 29,627,643 | — | — | ||||||||||||
Convertible Preferred Stock: | ||||||||||||||||
Utilities | 303,480 | 303,480 | — | — | ||||||||||||
Short-Term Investments: |
| |||||||||||||||
Money Market Fund | 27,747,336 | 27,747,336 | — | — | ||||||||||||
Time Deposits | 17,993,780 | — | 17,993,780 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments, at value | $ | 695,639,703 | * | $ | 677,645,923 | $ | 17,993,780 | $ | — | * | ||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments — Assets | ||||||||||||||||
Futures Contracts | $ | 2,725 | $ | 2,725 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments — Assets | $ | 2,725 | $ | 2,725 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments — Liabilities | ||||||||||||||||
Futures Contracts | $ | (7,273 | ) | $ | (7,273 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments — Liabilities | $ | (7,273 | ) | $ | (7,273 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
International Equity Fund | ||||||||||||||||
Investments, at value | ||||||||||||||||
Common Stocks: | ||||||||||||||||
France | $ | 120,370,266 | $ | — | $ | 120,370,266 | $ | — | ||||||||
Germany | 127,185,466 | — | 127,185,466 | — | ||||||||||||
Japan | 192,475,792 | 108,933 | 192,366,859 | — | ||||||||||||
Netherlands | 64,170,620 | 840,874 | 63,329,746 | — | ||||||||||||
Switzerland | 121,434,449 | — | 121,434,449 | — | ||||||||||||
United Kingdom | 203,883,194 | — | 203,883,194 | — | ||||||||||||
Other Countries** | 361,880,134 | 74,336,342 | 287,543,792 | — | ||||||||||||
Preferred Stocks: | ||||||||||||||||
Brazil | 2,024,753 | 2,024,753 | — | — | ||||||||||||
Germany | 14,298,205 | — | 14,298,205 | — | ||||||||||||
Right: | ||||||||||||||||
Sweden | 1,538 | — | 1,538 | — |
275
Notes to Financial Statements |
(continued) |
Total Fair Value at August 31, 2017 | Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Observable Inputs (Level 2) | Significant Inputs (Level 3) | |||||||||||||
Short-Term Investments: |
| |||||||||||||||
Money Market Fund | $ | 2,723,340 | $ | 2,723,340 | $ | — | $ | — | ||||||||
Time Deposits | 30,459,904 | — | 30,459,904 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total — Investments, at value | $ | 1,240,907,661 | $ | 80,034,242 | $ | 1,160,873,419 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments — Asset | ||||||||||||||||
Futures Contracts | $ | 4,412 | $ | 4,412 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments — Assets | $ | 4,412 | $ | 4,412 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments — Liabilities | ||||||||||||||||
Futures Contract | $ | (12,536 | ) | $ | (12,536 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments — Liabilities | $ | (12,536 | ) | $ | (12,536 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Emerging Markets Equity Fund | ||||||||||||||||
Investments, at value | ||||||||||||||||
Common Stocks: | ||||||||||||||||
Brazil | $ | 33,305,476 | $ | 33,305,476 | $ | — | $ | — | ||||||||
China | 109,271,948 | * | 41,457,097 | 67,814,851 | — | * | ||||||||||
India | 28,633,047 | 1,812,198 | 26,789,918 | 30,931 | ||||||||||||
South Africa | 34,410,599 | — | 34,410,599 | — | ||||||||||||
South Korea | 48,010,902 | — | 48,010,902 | — | ||||||||||||
Taiwan | 37,975,685 | 59,977 | 37,915,708 | — | ||||||||||||
Other Countries** | 164,933,297 | * | 51,756,906 | 113,176,391 | — | * | ||||||||||
Preferred Stocks: | ||||||||||||||||
Brazil | 4,883,671 | 4,883,671 | — | — | ||||||||||||
Chile | 161,290 | 161,290 | — | — | ||||||||||||
Colombia | 1,935,281 | 1,935,281 | — | — | ||||||||||||
Russia | 214,662 | — | 214,662 | — | ||||||||||||
South Korea | 9,305,908 | — | 9,305,908 | — | ||||||||||||
Right: | ||||||||||||||||
China | — | * | — | — | — | * | ||||||||||
Short-Term Investments: |
| |||||||||||||||
Money Market Fund | 5,151,986 | 5,151,986 | — | — | ||||||||||||
Time Deposits | 14,328,956 | — | 14,328,956 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments, at value | $ | 492,522,708 | * | $ | 140,523,882 | $ | 351,967,895 | $ | 30,931 | * | ||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments — Assets | ||||||||||||||||
Futures Contract | $ | 93,164 | $ | 93,164 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments — Assets | $ | 93,164 | $ | 93,164 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Core Fixed Income Fund | ||||||||||||||||
Investments, at value | ||||||||||||||||
Corporate Bonds & Notes | $ | 202,779,686 | * | $ | — | $ | 202,779,686 | $ | — | * | ||||||
Mortgage-Backed Securities | 189,618,840 | — | 189,618,840 | — | ||||||||||||
U.S Government Agencies & Obligations | 174,033,541 | — | 174,033,541 | — |
276
Notes to Financial Statements |
(continued) |
Total Fair Value at August 31, 2017 | Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Observable Inputs (Level 2) | Significant Inputs (Level 3) | |||||||||||||
Collateralized Mortgage Obligations | $ | 80,676,782 | $ | — | $ | 80,676,782 | $ | — | ||||||||
Asset-Backed Securities | 17,673,027 | — | 17,673,027 | — | ||||||||||||
Sovereign Bonds | 17,844,812 | — | 17,844,812 | — | ||||||||||||
Senior Loans | 8,543,400 | — | 8,543,400 | — | ||||||||||||
Municipal Bonds | 3,979,698 | — | 3,979,698 | — | ||||||||||||
Preferred Stock: | ||||||||||||||||
Financials | 99,256 | 99,256 | — | — | ||||||||||||
Purchased Options | 132,156 | 132,156 | — | — | ||||||||||||
Short-Term Investments: |
| |||||||||||||||
Money Market Fund | 417,220 | 417,220 | — | — | ||||||||||||
Repurchase Agreement | 16,900,000 | — | 16,900,000 | — | ||||||||||||
Sovereign Bond | 8,824,715 | — | 8,824,715 | — | ||||||||||||
Time Deposits | 24,444,034 | — | 24,444,034 | — | ||||||||||||
U.S. Government Obligations | 10,751,549 | — | 10,751,549 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments, at value | $ | 756,718,716 | * | $ | 648,632 | $ | 756,070,084 | $ | — | * | ||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments — Assets | ||||||||||||||||
Futures Contracts | $ | 404,033 | $ | 404,033 | $ | — | $ | — | ||||||||
Forward Foreign Currency Contracts | 88,501 | — | 88,501 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments — Assets | $ | 492,534 | $ | 404,033 | $ | 88,501 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments — Liabilities | ||||||||||||||||
Options Contracts Written | $ | (65,011 | ) | $ | (65,011 | ) | $ | — | $ | — | ||||||
Futures Contracts | (386,883 | ) | (386,883 | ) | — | — | ||||||||||
Forward Foreign Currency Contracts | (501,827 | ) | — | (501,827 | ) | — | ||||||||||
Centrally Cleared Interest Rate Swap | (215,806 | ) | — | (215,806 | ) | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments — Liabilities | $ | (1,169,527 | ) | $ | (451,894 | ) | $ | (717,633 | ) | $ | — | |||||
|
|
|
|
|
|
|
| |||||||||
High Yield Fund | ||||||||||||||||
Investments, at value | ||||||||||||||||
Corporate Bonds & Notes | $ | 155,589,734 | * | $ | — | $ | 154,804,941 | $ | 784,793 | * | ||||||
Senior Loans | 5,056,792 | — | 5,056,792 | — | ||||||||||||
Collateralized Mortgage Obligations | 482,741 | — | 482,741 | — | ||||||||||||
Sovereign Bond | 560,250 | — | 560,250 | — | ||||||||||||
Preferred Stocks: | ||||||||||||||||
Energy | 521,865 | 472,390 | 7,070 | 42,405 | ||||||||||||
Financials | 593,159 | 593,159 | — | — | ||||||||||||
Common Stocks: | ||||||||||||||||
Consumer Discretionary | 72,856 | — | — | 72,856 | ||||||||||||
Energy | 677,178 | 259,271 | 390,564 | 27,343 | ||||||||||||
Financials | 10,033 | * | — | — | 10,033 | * | ||||||||||
Materials | 175,640 | 175,640 | — | — | ||||||||||||
Convertible Preferred Stock: | ||||||||||||||||
Energy | 223,125 | 223,125 | — | — | ||||||||||||
Short-Term Investments: |
| |||||||||||||||
Money Market Fund | 2,487,699 | 2,487,699 | — | — |
277
Notes to Financial Statements |
(continued) |
Total Fair Value at August 31, 2017 | Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Observable Inputs (Level 2) | Significant Inputs (Level 3) | |||||||||||||
Time Deposits | $ | 6,797,897 | $ | — | $ | 6,797,897 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments, at value | $ | 173,248,969 | * | $ | 4,211,284 | $ | 168,100,255 | $ | 937,430 | * | ||||||
|
|
|
|
|
|
|
| |||||||||
International Fixed Income Fund | ||||||||||||||||
Investments, at value | ||||||||||||||||
Corporate Bonds & Notes: | ||||||||||||||||
Denmark | $ | 11,610,311 | $ | — | $ | 11,610,311 | $ | — | ||||||||
Sweden | 7,882,965 | — | 7,882,965 | — | ||||||||||||
United States | 16,347,380 | — | 16,347,380 | — | ||||||||||||
Other Countries** | 27,378,492 | — | 27,378,492 | — | ||||||||||||
Sovereign Bonds: | ||||||||||||||||
Japan | 15,716,090 | — | 15,716,090 | — | ||||||||||||
Spain | 7,774,455 | — | 7,774,455 | — | ||||||||||||
Other Countries** | 32,153,410 | — | 32,153,410 | — | ||||||||||||
Collateralized Mortgage Obligations | 29,650,444 | — | 29,650,444 | — | ||||||||||||
Mortgage-Backed Securities | 8,165,613 | — | 8,165,613 | — | ||||||||||||
U.S. Government Obligations | 5,813,968 | — | 5,813,968 | — | ||||||||||||
Senior Loan | 294,188 | — | 294,188 | — | ||||||||||||
Asset-Backed Securities | 182,989 | — | 182,989 | — | ||||||||||||
Purchased Options | 30,047 | 1,100 | 28,947 | — | ||||||||||||
Short-Term Investments: |
| |||||||||||||||
Sovereign Bonds: | ||||||||||||||||
Japan | 16,558,550 | — | 16,558,550 | — | ||||||||||||
Other Countries** | 1,628,241 | — | 1,628,241 | — | ||||||||||||
Time Deposits | 2,248,368 | — | 2,248,368 | — | ||||||||||||
U.S. Government Obligation | 8,967 | — | 8,967 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total — Investments, at value | $ | 183,444,478 | $ | 1,100 | $ | 183,443,378 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments — Assets | ||||||||||||||||
Futures Contracts | $ | 531,173 | $ | 531,173 | $ | — | $ | — | ||||||||
Forward Foreign Currency Contracts | 1,312,023 | — | 1,312,023 | — | ||||||||||||
Centrally Cleared Interest Rate Swaps | 1,763,372 | — | 1,763,372 | — | ||||||||||||
OTC Credit Default Swaps | 2,600 | — | 2,600 | — | ||||||||||||
Centrally Cleared Credit Default Swaps | 69,186 | — | 69,186 | — | ||||||||||||
OTC Cross Currency Swaps | 880,237 | — | 880,237 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments — Assets | $ | 4,558,591 | $ | 531,173 | $ | 4,027,418 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments — Liabilities | ||||||||||||||||
Options Contracts Written | $ | (24,315 | ) | $ | (2,200 | ) | $ | (22,115 | ) | $ | — | |||||
Reverse Repurchase Agreements | (28,253,576 | ) | — | (28,253,576 | ) | — | ||||||||||
Futures Contracts | (211,440 | ) | (211,440 | ) | — | — | ||||||||||
Forward Foreign Currency Contracts | (2,575,749 | ) | — | (2,575,749 | ) | — | ||||||||||
OTC Interest Rate Swaps | (34,825 | ) | — | (34,825 | ) | — | ||||||||||
Centrally Cleared Interest Rate Swaps | (1,355,205 | ) | — | (1,355,205 | ) | — | ||||||||||
OTC Volatility Swaps | (2,247 | ) | — | (2,247 | ) | — | ||||||||||
OTC Credit Default Swaps | (46,560 | ) | — | (46,560 | ) | — |
278
Notes to Financial Statements |
(continued) |
Total Fair Value at August 31, 2017 | Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Observable Inputs (Level 2) | Significant Inputs (Level 3) | |||||||||||||
Centrally Cleared Credit Default Swaps | $ | (224,327 | ) | $ | — | $ | (224,327 | ) | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments — Liabilities | $ | (32,728,244 | ) | $ | (213,640 | ) | $ | (32,514,604 | ) | $ | — | |||||
|
|
|
|
|
|
|
| |||||||||
Municipal Bond Fund | ||||||||||||||||
Investments, at value | ||||||||||||||||
Municipal Bonds | $ | 55,790,525 | $ | — | $ | 55,790,525 | $ | — | ||||||||
Short-Term Investments: |
| |||||||||||||||
Time Deposits | 1,756,634 | — | 1,756,634 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments, at value | $ | 57,547,159 | $ | — | $ | 57,547,159 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Inflation-Linked Fixed Income Fund | ||||||||||||||||
Investments, at value | ||||||||||||||||
U.S. Government Obligations | $ | 214,503,125 | $ | — | $ | 214,503,125 | $ | — | ||||||||
Sovereign Bonds | 13,342,138 | — | 13,342,138 | — | ||||||||||||
Corporate Bonds & Notes | 7,969,876 | — | 7,969,876 | — | ||||||||||||
Collateralized Mortgage Obligations | 5,749,167 | — | 5,749,167 | — | ||||||||||||
Asset-Backed Security | 276,804 | — | 276,804 | — | ||||||||||||
Purchased Options | 53,272 | — | 53,272 | — | ||||||||||||
Short-Term Investments: |
| |||||||||||||||
Sovereign Bonds | 1,051,040 | — | 1,051,040 | — | ||||||||||||
Time Deposits | 988,113 | — | 988,113 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments, at value | $ | 243,933,535 | $ | — | $ | 243,933,535 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments — Assets | ||||||||||||||||
Futures Contracts | $ | 89,696 | $ | 89,696 | $ | — | $ | — | ||||||||
Forward Foreign Currency Contracts | 460,049 | — | 460,049 | — | ||||||||||||
Centrally Cleared Interest Rate Swaps | 246,971 | — | 246,971 | — | ||||||||||||
Centrally Cleared Inflation Rate Swaps | 127,441 | — | 127,441 | — | ||||||||||||
OTC Credit Default Swaps | 50,503 | — | 50,503 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments — Assets | $ | 974,660 | $ | 89,696 | $ | 884,964 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments — Liabilities | ||||||||||||||||
Options Contracts Written | $ | (24,855 | ) | $ | (20,625 | ) | $ | (4,230 | ) | $ | — | |||||
Reverse Repurchase Agreements | (53,975,500 | ) | — | (53,975,500 | ) | — | ||||||||||
Futures Contracts | (61,009 | ) | (61,009 | ) | — | — | ||||||||||
Forward Foreign Currency Contracts | (1,067,503 | ) | — | (1,067,503 | ) | — | ||||||||||
Centrally Cleared Interest Rate Swaps | (82,673 | ) | — | (82,673 | ) | — | ||||||||||
Centrally Cleared Inflation Rate Swaps | (25,530 | ) | — | (25,530 | ) | — | ||||||||||
Centrally Cleared Credit Default Swaps | (39,325 | ) | — | (39,325 | ) | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments — Liabilities | $ | (55,276,395 | ) | $ | (81,634 | ) | $ | (55,194,761 | ) | $ | — | |||||
|
|
|
|
|
|
|
|
279
Notes to Financial Statements |
(continued) |
Total Fair Value at August 31, 2017 | Unadjusted Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Observable Inputs (Level 2) | Significant Inputs (Level 3) | |||||||||||||
Ultra-Short Term Fixed Income Fund | ||||||||||||||||
Investments, at value | ||||||||||||||||
Corporate Bonds & Notes | $ | 164,190,809 | $ | — | $ | 164,190,809 | $ | — | ||||||||
Collateralized Mortgage Obligations | 35,144,609 | — | 34,144,495 | 1,000,114 | ||||||||||||
U.S. Government Obligations | 30,896,699 | — | 30,896,699 | — | ||||||||||||
Sovereign Bonds | 12,936,946 | — | 12,936,946 | — | ||||||||||||
Asset-Backed Securities | 9,745,583 | — | 9,745,583 | — | ||||||||||||
Senior Loans | 2,221,843 | — | 2,168,648 | 53,195 | ||||||||||||
Municipal Bond | 1,603,744 | — | 1,603,744 | — | ||||||||||||
Short-Term Investments: |
| |||||||||||||||
Commercial Papers | 5,572,892 | — | 5,572,892 | — | ||||||||||||
Corporate Bonds | 1,140,689 | — | 1,140,689 | — | ||||||||||||
Sovereign Bond | 25,478 | — | 25,478 | — | ||||||||||||
Time Deposits | 1,475,442 | — | 1,475,442 | — | ||||||||||||
U.S. Government Obligations | 85,528,579 | — | 85,528,579 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments, at value | $ | 350,483,313 | $ | — | $ | 349,430,004 | $ | 1,053,309 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments — Assets | ||||||||||||||||
Futures Contracts | $ | 58,856 | $ | 58,856 | $ | — | $ | — | ||||||||
Forward Foreign Currency Contracts | 284,495 | — | 284,495 | — | ||||||||||||
Centrally Cleared Interest Rate Swaps | 202,636 | — | 202,636 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments — Assets | $ | 545,987 | $ | 58,856 | $ | 487,131 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments — Liabilities | ||||||||||||||||
Futures Contract | $ | (19,863 | ) | $ | (19,863 | ) | $ | — | $ | — | ||||||
Forward Foreign Currency Contracts | (102,833 | ) | — | (102,833 | ) | — | ||||||||||
Centrally Cleared Interest Rate Swaps | (529,951 | ) | — | (529,951 | ) | — | ||||||||||
Centrally Cleared Credit Default Swap | (50,392 | ) | — | (50,392 | ) | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments — Liabilities | $ | (703,039 | ) | $ | (19,863 | ) | $ | (683,176 | ) | $ | — | |||||
|
|
|
|
|
|
|
|
* | Includes securities that are valued in good faith at fair value by or under the direction of the Board of Trustees at $0. |
** | Other Countries represents Countries that are individually less than 5% of Net Assets. |
The level classification by major category of investments is the same as the category presentation in the Schedules of Investments.
During the year ended August 31, 2017 there were no transfers from Level 1 to Level 2. Emerging Markets Equity Fund had a transfer from Level 1 to Level 3 of $0, from Level 2 to Level 1 of $2,946,073, from Level 2 to Level 3 of $0 and from Level 3 to Level 1 of $154,105.
The following is a reconciliation of assets for which significant unobservable inputs (Level 3) were used in determining fair value during the year September 1, 2016, through August 31, 2017:
Total | Collateralized Mortgage Obligations | Common Stocks | Corporate Bonds & Notes | Convertible Preferred Stocks | Senior Loans | Rights | ||||||||||||||||||||||
Small-Mid Cap Equity Fund | ||||||||||||||||||||||||||||
Balance as of August 31, 2016 | $ | 42,742 | $ | — | $ | 42,742 | $ | — | $ | — | $ | — | $ | — | ||||||||||||||
Total realized gain (loss) | 16,406 | — | 16,406 | — | — | — | — | |||||||||||||||||||||
Change in unrealized appreciation (depreciation) | (16,406 | ) | — | (16,406 | ) | — | — | — | — |
280
Notes to Financial Statements |
(continued) |
Total | Collateralized Mortgage Obligations | Common Stocks | Corporate Bonds & Notes | Convertible Preferred Stocks | Senior Loans | Rights | ||||||||||||||||||||||
Purchases | $ | — | * | $ | — | $ | — | * | $ | — | $ | — | $ | — | $ | — | ||||||||||||
(Sales) | (42,742 | ) | — | (42,742 | ) | — | — | — | — | |||||||||||||||||||
Transfers In | — | — | — | — | — | — | — | |||||||||||||||||||||
Transfers Out | — | — | — | — | — | — | — | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Balance as of August 31, 2017 | $ | — | * | $ | — | $ | — | * | $ | — | $ | — | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Change in unrealized appreciation (depreciation) from Investments held as of August 31, 2017 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Emerging Markets Equity Fund | ||||||||||||||||||||||||||||
Balance as of August 31, 2016 | $ | 376,511 | * | $ | — | $ | 376,511 | $ | — | $ | — | $ | — | $ | — | * | ||||||||||||
Total realized gain (loss) | (118,184 | ) | — | (118,184 | ) | — | — | — | — | |||||||||||||||||||
Change in unrealized appreciation (depreciation) | (39,882 | ) | — | (39,882 | ) | — | — | — | — | |||||||||||||||||||
Purchases | 212,092 | * | — | 212,092 | — | — | — | — | * | |||||||||||||||||||
(Sales) | (245,501 | )* | — | (245,501 | ) | — | — | — | — | * | ||||||||||||||||||
Transfers In | — | * | — | — | * | — | — | — | — | |||||||||||||||||||
Transfers Out | (154,105 | ) | — | (154,105 | ) | — | — | — | — | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Balance as of August 31, 2017 | $ | 30,931 | * | $ | — | $ | 30,931 | * | $ | — | $ | — | $ | — | $ | — | * | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Change in unrealized appreciation (depreciation) from Investments held as of August 31, 2017 | $ | (49,537 | ) | $ | — | $ | (49,537 | ) | $ | — | $ | — | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Core Fixed Income Fund | ||||||||||||||||||||||||||||
Balance as of August 31, 2016 | $ | — | * | $ | — | $ | — | $ | — | * | $ | — | $ | — | $ | — | ||||||||||||
Total realized gain (loss) | — | — | — | — | — | — | — | |||||||||||||||||||||
Change in unrealized appreciation (depreciation) | — | — | — | — | — | — | — | |||||||||||||||||||||
Purchases | — | — | — | — | — | — | — | |||||||||||||||||||||
(Sales) | — | — | — | — | — | — | — | |||||||||||||||||||||
Transfers In | — | — | — | — | — | — | — | |||||||||||||||||||||
Transfers Out | — | — | — | — | — | — | — | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Balance as of August 31, 2017 | $ | — | * | $ | — | $ | — | $ | — | * | $ | — | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Change in unrealized appreciation (depreciation) from Investments held as of August 31, 2017 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
High Yield Fund | ||||||||||||||||||||||||||||
Balance as of August 31, 2016 | $ | 427,339 | * | $ | — | $ | 215,681 | * | $ | 211,658 | * | $ | — | $ | — | $ | — | |||||||||||
Total realized gain (loss) | (19,611 | ) | — | (19,611 | ) | — | — | — | — | |||||||||||||||||||
Accured discounts (premiums) | 8,281 | — | — | 8,281 | — | — | — |
281
Notes to Financial Statements |
(continued) |
Total | Collateralized Mortgage Obligations | Common Stocks | Corporate Bonds & Notes | Convertible Preferred Stocks | Senior Loans | Rights | ||||||||||||||||||||||
Change in unrealized appreciation (depreciation) | $ | (1,122,448 | ) | $ | — | $ | (1,083,593 | ) | $ | 146,324 | $ | (185,179 | ) | $ | — | $ | — | |||||||||||
Purchases | 2,195,124 | * | — | 1,294,466 | 666,004 | * | 227,584 | — | — | |||||||||||||||||||
(Sales) | (544,185 | ) | — | (296,711 | ) | (247,474 | ) | — | — | — | ||||||||||||||||||
Transfers In | — | — | — | — | — | — | — | |||||||||||||||||||||
Transfers Out | — | — | — | — | — | — | — | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Balance as of August 31, 2017 | $ | 944,500 | * | $ | — | $ | 110,232 | * | $ | 784,793 | * | $ | 42,405 | $ | — | $ | — | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Change in unrealized appreciation (depreciation) from Investments held as of August 31, 2017 | $ | (1,467,127 | ) | $ | — | $ | (1,274,408 | ) | $ | (7,540 | ) | $ | (185,179 | ) | $ | — | $ | — | ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Inflation-Linked Fixed Income Fund | ||||||||||||||||||||||||||||
Balance as of August 31, 2016 | $ | 799,906 | $ | 799,906 | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||
Total realized gain (loss) | — | — | — | — | — | — | — | |||||||||||||||||||||
Change in unrealized appreciation (depreciation) | 94 | 94 | — | — | — | — | — | |||||||||||||||||||||
Purchases | — | — | — | — | — | — | — | |||||||||||||||||||||
(Sales) | (800,000 | ) | (800,000 | ) | — | — | — | — | — | |||||||||||||||||||
Transfers In | — | — | — | — | — | — | — | |||||||||||||||||||||
Transfers Out | — | — | — | — | — | — | — | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Balance as of August 31, 2017 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Change in unrealized appreciation (depreciation) from Investments held as of August 31, 2017 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Ultra-Short Term Fixed Income Fund | ||||||||||||||||||||||||||||
Balance as of August 31, 2016 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||
Total realized gain (loss) | — | — | — | — | — | — | — | |||||||||||||||||||||
Accrued discounts (premiun) | — | — | — | — | — | — | — | |||||||||||||||||||||
Change in unrealized appreciation (depreciation) | 116 | 114 | — | — | — | 2 | — | |||||||||||||||||||||
Purchases | 1,053,193 | 1,000,000 | — | — | — | 53,193 | — | |||||||||||||||||||||
(Sales) | — | — | — | — | — | — | — | |||||||||||||||||||||
Transfers In | — | — | — | — | — | — | — | |||||||||||||||||||||
Transfers Out | — | — | — | — | — | — | — | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Balance as of August 31, 2017 | $ | 1,053,309 | $ | 1,000,114 | $ | — | $ | — | $ | — | $ | 53,195 | $ | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Change in unrealized appreciation (depreciation) from Investments held as of August 31, 2017 | $ | 116 | $ | 114 | $ | — | $ | — | $ | — | $ | 2 | $ | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* | Includes securities that are fair valued at $0. |
282
Notes to Financial Statements |
(continued) |
(b) Accounting for Derivative Instruments. Derivative instruments require enhanced disclosures regarding a Fund’s credit derivatives holdings, including credit default swaps, credit spread options, and hybrid financial instruments containing embedded credit derivatives.
All open derivative positions at year end for each Fund are disclosed in the Fund’s Schedule of Investments.
Certain Funds may use derivative instruments including futures, options, forward foreign currency contracts, swaptions and swap contracts as part of their investment strategies. Following is a description of these derivative instruments, including the primary underlying risk exposures related to each instrument type:
(i) Futures Contracts. Certain Funds may enter into futures contracts, to the extent permitted by their investment policies and objectives, for bonafide hedging and other permissible risk management purposes including protecting against anticipated changes in the value of securities a Fund intends to purchase. Upon entering into a futures contract, a Fund is required to deposit cash or securities as initial margin. Additional securities are also segregated as collateral up to the current market value of the futures contracts. Subsequent payments, known as variation margin, are made or received by the Fund, depending on the fluctuation in the value of the underlying financial instruments and are reported on the Statements of Assets and Liabilities. The Fund recognizes an unrealized gain or loss equal to the variation margin. When futures contracts are closed, a realized gain or loss is recognized which is equal to the difference between the proceeds from (or cost of) the closing transactions and the Fund’s basis in the contracts.
The risks associated with entering into futures contracts include the possibility that a change in the value of the contract may not correlate with the changes in the value of the underlying instruments. In addition, investing in futures contracts involves the risk that the Fund could lose more than the original margin deposit due to subsequent payments that may be required for a futures transaction.
(ii) Options Written. Certain Funds may write options to manage exposure to certain changes in the market. When a Fund writes an option, an amount equal to the premium received by the Fund is recorded as a liability, the value of which is marked-to-market daily to reflect the current market value of the option written. If the option expires, the Fund realizes a gain from investments equal to the amount of the premium received. When a written call option is exercised, the premium received is added to the proceeds from the sale of the underlying security in determining whether the Fund has a realized gain or loss. When a written put option is exercised, the amount of the premium received reduces the cost of the security purchased by the Fund.
When writing a covered call option, a Fund may forego the opportunity of profit if the market price of the underlying security increases more than the premium received and the option is exercised. When writing a put option, a Fund may incur a loss if the market price of the underlying security decreases more than the premium received and the option is exercised. In addition, there is the risk that the Fund may not be able to enter into a closing transaction because of an illiquid secondary market.
(iii) Purchased Options. Certain Funds may purchase options to manage exposure to certain changes in the market. A Fund will normally purchase call options in anticipation of an increase in the market value of securities of the type in which they may invest, an amount equal to the value is recorded as an asset. The purchase of a call option will entitle a Fund, in return for the premium paid, to purchase specified securities at a specified price during the option period. A Fund will ordinarily realize a gain if, during the option period, the value of such securities exceeded the sum of the exercise price, the premium paid and transaction costs; otherwise, the Fund will realize a loss equal to the amount of the premium paid on the purchase of the call option.
A Fund will normally purchase put options in anticipation of a decline in the market value of securities in its portfolio (“protective puts”) or in securities in which it may invest. The purchase of a put option will entitle the Fund, in exchange for the premium paid, to sell specified securities at a specified price during the option period. The purchase of protective puts is designed to offset or hedge against a decline in the market value of the Fund’s securities. Put options may also be purchased by a Fund for the purpose of affirmatively benefiting from a decline in the price of securities which it does not own. The Fund will ordinarily realize a gain if, during the option period, the value of the underlying securities decreased below the exercise price sufficiently to more than cover the premium and transaction costs; otherwise the Fund will realize a loss equal to the
283
Notes to Financial Statements |
(continued) |
amount of the premium paid on the purchase of the put option. Gains and losses on the purchase of protective put options would tend to be offset by countervailing changes in the value of the underlying portfolio securities.
(iv) Inflation-Capped Options. Certain Funds may write or purchase inflation-capped options to enhance returns or for hedging opportunities. When a Fund writes and inflation-capped option, an amount equal to the premium received is recorded as a liability on the Statements of Assets and Liabilities and subsequently marked to market to reflect the change value of the option written. When a Fund purchases an inflation-capped option, the Fund pays a premium which is recorded as an asset on the Statements of Assets and Liabilities and subsequently marked to market to reflect the current value of the option. The purpose of purchasing inflation-capped options is to protect a Fund from inflation erosion above a certain rate on a given notional exposure. A floor can be used to give downside protection to investments in inflation-linked products.
(v) Forward Foreign Currency Contracts. Certain Funds may enter into forward foreign currency contracts to hedge against foreign currency exchange rate risk on their non-U.S. dollar denominated securities or to facilitate settlement of foreign currency denominated portfolio transactions. A forward foreign currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. The contract is marked-to-market daily and the change in value is recorded by a Fund as an unrealized gain or loss. When a forward foreign currency contract is extinguished, through either delivery or offset by entering into another forward foreign currency contract, the Fund records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value of the contract at the time it was extinguished.
Forward foreign currency contracts involve elements of market risk in excess of the amounts reflected in the Statements of Assets and Liabilities. The Fund bears the risk of an unfavorable change in the foreign exchange rate underlying the forward foreign currency contract. Risks may also arise upon entering into these contracts from the potential inability of the counterparties to meet the terms of their contracts.
(vi) Swaptions. Swaptions contracts entered into by the Funds typically represent an option that gives the purchaser the right, but not the obligation, to enter into a swap contract on a future date. Certain Funds may purchase swaptions to manage exposure to fluctuations in interest rates and to enhance portfolio yield. Changes in the value of purchased swaptions are reported as net change in unrealized appreciation or depreciation on the Statements of Operations and Changes in Net Assets Gain or loss is recognized when the swaptions contract expires or is closed as net realized gain or loss on the Statements of Operations and Changes in Net Assets. Details of purchased swaptions contracts held at year end are included on the Fund’s Schedule of Investments under the caption “Purchased Options”.
Certain Funds may write swaption contracts to manage exposure to fluctuations in interest rates and to enhance portfolio yield. Swaption contracts written by a Fund represent an option that obligates the writer upon exercise by the purchaser, to enter into a previously agreed upon swap contract on a future date. If a written call swaption is exercised, the writer will enter into a swap and is obligated to pay the fixed rate and receive a floating rate in exchange. If a written put swaption is exercised, the writer will enter a swap and is obligated to pay the floating rate and receive a fixed rate in exchange.
When a Fund writes a swaption, the premium received is recorded as a liability in the Statements of Assets and Liabilities and is subsequently adjusted to the current market value of the swaption. Changes in the value of the swaption are reported as unrealized gains or losses in the Statements of Operations. A gain or loss is recognized when the swaption contract expires or is closed. Premiums received from writing swaptions that expire or are exercised are treated by the Fund as realized gains from investments. The difference between the premium and the amount paid on effecting a closing purchase transaction is also treated as a realized gain or, if the premium received is less than the amount paid for the closing purchase, as a realized loss.
Entering into a swaption contract involves, to varying degrees, the elements of credit, market and interest rate risk, associated with both option contracts and swap contracts. To reduce credit risk from potential counterparty default, a Fund only enters into swaption contracts with counterparties that meet certain standards of creditworthiness. A Fund bears the market risk arising from any change in index values or interest rates.
(vii) Swap Contracts. Swaps involve the exchange by a Fund with another party of the respective amounts payable with respect to a notional principal amount related to one or more indices. Certain Funds may enter into these transactions to preserve a return or spread on a particular investment or portion of its assets, as a duration management technique or to
284
Notes to Financial Statements |
(continued) |
protect against any increase in the price of securities the Fund anticipates purchasing at a later date. Certain Funds may also use these transactions for speculative purposes, such as to obtain the price performance of a security without actually purchasing the security in circumstances where, for example, the subject security is illiquid, is unavailable for direct investment or available only on less attractive terms.
Swaps are marked-to-market daily based upon quotations from market makers and the change, if any, is recorded as change in unrealized appreciation or depreciation in the Statements of Operations. Net receipts or payments of interest are recorded as realized gains or losses, respectively. Gains and losses are realized upon termination of a swap contract. An upfront payment received by the Fund, is recorded as a liability on the Fund’s books. An upfront payment made by the Fund is recorded as an asset on the Fund’s books. Any upfront payments paid or received upon entering a swap contract to compensate for differences between stated terms of the agreement and prevailing market conditions (e.g. credit spreads, interest rates or other factors) are recorded as a realized gain or loss at the termination of the swap.
Swaps have risks associated with them, including possible default by the counterparty to the transaction, illiquidity and, where swaps are used as hedges, the risk that the use of a swap could result in losses greater than if the swap had not been employed. This risk is mitigated by the posting of collateral by the counterparty to the Fund to cover the Fund’s exposure to the counterparty. Such amounts are reported on the Statements of Assets and Liabilities as deposits with counterparties.
(viii) Credit Default Swaps. Certain Funds may enter into credit default swap contracts for investment purposes, to manage their credit risk or to add leverage. As a seller in a credit default swap contract, a Fund is required to pay the notional or other agreed-upon value to the counterparty in the event of a default by a third party, such as a U.S. or foreign corporate issuer, on the referenced debt obligation. In return, the Fund receives from the counterparty a periodic stream of payments over the term of the contract provided that no event of default has occurred. If no default occurs, the Fund keeps the stream of payments and has no payment obligations. Such periodic payments are accrued daily and accounted for as realized gains.
Certain Funds may also purchase credit default swap contracts in order to hedge against the risk of default by debt securities held in their portfolios. In these cases a Fund functions as the counterparty referenced in the preceding paragraph. As a purchaser of a credit default swap contract, the Fund receives the notional or other agreed upon value from the counterparty in the event of a default by a third party, such as a U.S. or foreign corporate issuer, on the referenced debt obligation. In return, the Fund makes periodic payments to the counterparty over the term of the contract provided no event of default has occurred. Such periodic payments are accrued daily and accounted for as realized losses.
For a credit default swap sold by a Fund, payment of the agreed upon amount made by the Fund in the event of default of the referenced debt obligation is recorded as the cost of the referenced debt obligation received. For a credit default swap purchased by a Fund, the agreed upon amount received by the Fund in the event of default of the referenced debt obligation is recorded as proceeds from sale/delivery of the referenced debt obligation and the resulting gain or loss realized on the referenced debt obligation is recorded as such by the Fund.
Entering into credit default swaps involves, to varying degrees, elements of credit and market risk in excess of the related amounts recognized on the Statements of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there will be unfavorable changes in net interest rates. As privately negotiated transactions, swaps may involve risk, which is the risk that the swap contracts fail to contemplate a particular outcome or that the parties disagree about the proper interpretation of a transaction term.
(ix) Interest Rate Swaps. Certain Funds may enter into interest rate swaps for investment purposes to manage exposure to fluctuations in interest rates or to add leverage. Interest rate swaps represent an agreement between two counterparties to exchange cash flows based on the difference in the fixed interest rate and the floating interest rate, applied to the notional principal amount for a specified period. The payment flows are usually netted against each other, with the difference being paid by one party to the other. Once the payments are settled in cash, the net amount is recorded as realized gain or loss from swap contracts on the Statements of Operations. The Funds settle accrued net receivable or payable under the swap contracts on a periodic basis.
The primary risk associated with interest rate swaps is that unfavorable changes in interest rates could adversely impact a Fund.
285
Notes to Financial Statements |
(continued) |
(x) Centrally Cleared Swaps. Certain clearinghouses currently offer clearing for limited types of derivatives transactions, principally credit and interest derivatives. In a centrally cleared derivative transaction, a Fund typically enters into the transaction with financial institution counterparty, and performance of the transaction is effectively guaranteed by a central clearinghouse, thereby reducing or eliminating the Fund’s exposure to the credit risk of the original counterparty. The Fund typically will be required to post specified levels of margin with the clearinghouse or at the instruction of the clearinghouse. The margin required by a clearinghouse may be greater than the margin the Fund would be required to post in an uncleared derivative transaction. Daily changes in valuation of centrally cleared swaps, if any, are recorded as variation margin receivable or payable on swap contracts for the change in value as appropriate on the Statements of Assets and Liabilities. Only a limited number of derivative transactions are currently eligible for clearing by clearinghouses.
(xi) Cross-Currency Swaps. Certain Funds may enter into cross-currency swaps to gain or mitigate exposure to currency risk. Cross-currency swaps involve two parties exchanging two different currencies with an agreement to reverse the exchange at a later date at specific exchange rates. The exchange of currencies at the inception date of the contract takes place at the current spot rate. The re-exchange at maturity may take place at the same exchange rate, a specified rate, or the then current spot rate. Interest payments, if applicable, are made between the parties based on interest rates available in the two currencies at the inception of the contract. The terms of cross-currency swap contracts may extend for many years. Cross-currency swaps are usually negotiated with commercial and investment banks. Some cross-currency swaps may not provide for exchanging principal cash flows, but only for exchanging interest cash flows.
(xii) Volatility Swap Contracts. A volatility swap is an agreement between counterparties to exchange periodic payments based on the measured volatility of a reference security, index, currency or other reference investment over a specified time frame. One cash flow is typically based on the realized volatility of the reference investment as measured by changes in its price or level over the specified time period while the other cash flow is based on a specified rate representing expected volatility for the reference investment at the time the swap is executed, or the measured volatility of a different reference investment over the specified time period. The appreciation or depreciation on a volatility swap will typically depend on the magnitude of the reference investment’s volatility, or size of the movements in its price, over the specified time period, rather than general directional increases or decreases in its price.
Volatility swaps are less standard in structure than other types of swaps and provide pure, or isolated, exposure to volatility risk of the specific underlying reference investment. Volatility swaps are typically used to speculate on future volatility levels, to trade the spread between realized and expected volatility, or to decrease the volatility exposure of investments held by the Fund.
Variance swaps are a type of volatility swap where counterparties agree to exchange periodic payments based on the measured variance (or the volatility squared) of a reference security, index, or other reference investment over a specified time period. At payment date, a net cash flow will be exchanged based on the difference between the realized variance of the reference investment over the specified time period and the specified rate representing expected variance for the reference investment at the time the swap is executed multiplied by the notional amount of the contract.
(xiii) Inflation Rate Swap Contracts. The Fund may enter into inflation rate swap contracts to attempt to hedge against inflation. Pursuant to the inflation rate swap agreement, the Fund negotiates with a counterparty to exchange a periodic stream of payments, based on a benchmark inflation index. One cash flow stream will typically be a floating rate payment linked to the specified inflation index while the other is typically a fixed interest rate.
Inflation rate swaps are normally issued on a zero coupon basis where all payments compound during the life of the contract and are netted upon the termination or maturity of the contract. Final payments received or paid by the Fund are recorded as realized gains or losses in the Statement of Operations. Inflation rate swap contracts are subject to movements in interest rates.
286
Notes to Financial Statements |
(continued) |
The following is a summary of the fair valuations of the Funds’ derivative instruments categorized by risk exposure at August 31, 2017:
Large Cap Equity Fund
Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2017 | ||||||||||||||||||||
Location | Interest rate risk | Foreign exchange risk | Credit risk | Equity risk | Total | |||||||||||||||
Asset derivatives | ||||||||||||||||||||
Unrealized appreciation on open futures contracts (b) | $ | — | $ | — | $ | — | $ | 102,519 | $ | 102,519 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | — | $ | — | $ | — | $ | 102,519 | $ | 102,519 | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Liability derivatives | ||||||||||||||||||||
Unrealized depreciation on open futures contracts (b) | $ | — | $ | — | $ | — | $ | 10,485 | $ | 10,485 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | — | $ | — | $ | — | $ | 10,485 | $ | 10,485 | |||||||||||
|
|
|
|
|
|
|
|
|
|
Effect of Derivative Instruments on the Statements of Operations as of August 31, 2017 | ||||||||||||||||||||
Location | Interest rate risk | Foreign exchange risk | Credit risk | Equity risk | Total | |||||||||||||||
Realized gain/(loss) on derivatives recognized in income (d) | ||||||||||||||||||||
Net realized gain (loss) on futures contracts | $ | — | $ | — | $ | — | $ | 1,125,019 | $ | 1,125,019 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | — | $ | — | $ | — | $ | 1,125,019 | $ | 1,125,019 | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Change in unrealized appreciation (depreciation) on derivatives recognized in income (e) | ||||||||||||||||||||
Net change in unrealized appreciation (depreciation) on futures contracts | $ | — | $ | — | $ | — | $ | 92,034 | $ | 92,034 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | — | $ | — | $ | — | $ | 92,034 | $ | 92,034 | |||||||||||
|
|
|
|
|
|
|
|
|
|
Small-Mid Cap Equity Fund
Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2017 | ||||||||||||||||||||
Location | Interest rate risk | Foreign exchange risk | Credit risk | Equity risk | Total | |||||||||||||||
Asset derivatives | ||||||||||||||||||||
Unrealized appreciation on open futures contracts (b) | $ | — | $ | — | $ | — | $ | 2,725 | $ | 2,725 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | — | $ | — | $ | — | $ | 2,725 | $ | 2,725 | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Liability derivatives | ||||||||||||||||||||
Unrealized depreciation on open futures contracts (b) | $ | — | $ | — | $ | — | $ | 7,273 | $ | 7,273 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | — | $ | — | $ | — | $ | 7,273 | $ | 7,273 | |||||||||||
|
|
|
|
|
|
|
|
|
|
Effect of Derivative Instruments on the Statements of Operations as of August 31, 2017 | ||||||||||||||||||||
Location | Interest rate risk | Foreign exchange risk | Credit risk | Equity risk | Total | |||||||||||||||
Realized gain/(loss) on derivatives recognized in income (d) | ||||||||||||||||||||
Net realized gain (loss) on futures contracts | $ | — | $ | — | $ | — | $ | 462,484 | $ | 462,484 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | — | $ | — | $ | — | $ | 462,484 | $ | 462,484 | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Change in unrealized appreciation (depreciation) on derivatives recognized in income (e) | ||||||||||||||||||||
Net change in unrealized appreciation (depreciation) on futures contracts | $ | — | $ | — | $ | — | $ | (4,548 | ) | $ | (4,548 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | — | $ | — | $ | — | $ | (4,548 | ) | $ | (4,548 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
287
Notes to Financial Statements |
(continued) |
International Equity Fund
Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2017 | ||||||||||||||||||||
Location | Interest rate risk | Foreign exchange risk | Credit risk | Equity risk | Total | |||||||||||||||
Asset derivatives | ||||||||||||||||||||
Unrealized appreciation on open futures contracts (b) | $ | — | $ | — | $ | — | $ | 4,412 | $ | 4,412 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | — | $ | — | $ | — | $ | 4,412 | $ | 4,412 | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Liability derivatives | ||||||||||||||||||||
Unrealized depreciation on open futures contracts (b) | $ | — | $ | — | $ | — | $ | 12,536 | $ | 12,536 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | — | $ | — | $ | — | $ | 12,536 | $ | 12,536 | |||||||||||
|
|
|
|
|
|
|
|
|
|
Effect of Derivative Instruments on the Statements of Operations as of August 31, 2017 | ||||||||||||||||||||
Location | Interest rate risk | Foreign exchange risk | Credit risk | Equity risk | Total | |||||||||||||||
Realized gain/(loss) on derivatives recognized in income (d) | ||||||||||||||||||||
Net realized gain (loss) on futures contracts | $ | — | $ | — | $ | — | $ | 165,785 | $ | 165,785 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | — | $ | — | $ | — | $ | 165,785 | $ | 165,785 | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Change in unrealized appreciation (depreciation) on derivatives recognized in income (e) | ||||||||||||||||||||
Net change in unrealized appreciation (depreciation) on futures contracts | $ | — | $ | — | $ | — | $ | (8,124 | ) | $ | (8,124 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | — | $ | — | $ | — | $ | (8,124 | ) | $ | (8,124 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|
Emerging Markets Equity Fund
Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2017 | ||||||||||||||||||||
Location | Interest rate risk | Foreign exchange risk | Credit risk | Equity risk | Total | |||||||||||||||
Asset derivatives | ||||||||||||||||||||
Unrealized appreciation on open futures contracts (b) | $ | — | $ | — | $ | — | $ | 93,164 | $ | 93,164 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | — | $ | — | $ | — | $ | 93,164 | $ | 93,164 | |||||||||||
|
|
|
|
|
|
|
|
|
|
Effect of Derivative Instruments on the Statements of Operations as of August 31, 2017 | ||||||||||||||||||||
Location | Interest rate risk | Foreign exchange risk | Credit risk | Equity risk | Total | |||||||||||||||
Realized gain/(loss) on derivatives recognized in income (d) | ||||||||||||||||||||
Net realized gain (loss) on futures contracts | $ | — | $ | — | $ | — | $ | 241,960 | $ | 241,960 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | — | $ | — | $ | — | $ | 241,960 | $ | 241,960 | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Change in unrealized appreciation (depreciation) on derivatives recognized in income (e) | ||||||||||||||||||||
Net change in unrealized appreciation (depreciation) on futures contracts | $ | — | $ | — | $ | — | $ | 105,790 | $ | 105,790 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | — | $ | — | $ | — | $ | 105,790 | $ | 105,790 | |||||||||||
|
|
|
|
|
|
|
|
|
|
288
Notes to Financial Statements |
(continued) |
Core Fixed Income Fund
Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2017 | ||||||||||||||||||||
Location | Interest rate risk | Foreign exchange risk | Credit risk | Equity risk | Total | |||||||||||||||
Asset derivatives | ||||||||||||||||||||
Purchased options (c) | $ | 132,156 | $ | — | $ | — | $ | — | $ | 132,156 | ||||||||||
Unrealized appreciation on open futures contracts (b) | 404,033 | — | — | — | 404,033 | |||||||||||||||
Unrealized appreciation on forward foreign currency contracts (c) | — | 88,501 | — | — | 88,501 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 536,189 | $ | 88,501 | $ | — | $ | — | $ | 624,690 | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Liability derivatives | ||||||||||||||||||||
Options contracts written outstanding (a) | $ | 65,011 | $ | — | $ | — | $ | — | $ | 65,011 | ||||||||||
Unrealized depreciation on open futures contracts (b) | 343,120 | 43,763 | — | — | 386,883 | |||||||||||||||
Unrealized depreciation on forward foreign currency contracts (a) | — | 501,827 | — | — | 501,827 | |||||||||||||||
Unrealized depreciation on centrally cleared swaps (f) | 215,806 | — | — | — | 215,806 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 623,937 | $ | 545,590 | $ | — | $ | — | $ | 1,169,527 | |||||||||||
|
|
|
|
|
|
|
|
|
|
Effect of Derivative Instruments on the Statements of Operations as of August 31, 2017 | ||||||||||||||||||||
Location | Interest rate risk | Foreign exchange risk | Credit risk | Equity risk | Total | |||||||||||||||
Realized gain/(loss) on derivatives recognized in income (d) | ||||||||||||||||||||
Net realized gain (loss) on purchased options | $ | (669,669 | ) | $ | — | $ | — | $ | — | $ | (669,669 | ) | ||||||||
Net realized gain (loss) on futures contracts | 2,134,191 | 22,466 | — | — | 2,156,657 | |||||||||||||||
Net realized gain (loss) on options written | 708,583 | — | — | — | 708,583 | |||||||||||||||
Net realized gain (loss) on swaps contracts | (164,031 | ) | — | — | — | (164,031 | ) | |||||||||||||
Net realized gain (loss) on forward foreign currency contracts | — | 635,846 | — | — | 635,846 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 2,009,074 | $ | 658,312 | $ | — | $ | — | $ | 2,667,386 | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Change in unrealized appreciation (depreciation) on derivatives recognized in income (e) | ||||||||||||||||||||
Net change in unrealized appreciation (depreciation) on purchased options | $ | (9,612 | ) | $ | — | $ | — | $ | — | $ | (9,612 | ) | ||||||||
Net change in unrealized appreciation (depreciation) on futures contracts | 264,891 | (64,088 | ) | — | — | 200,803 | ||||||||||||||
Net change in unrealized appreciation (depreciation) on options contracts written | (7,319 | ) | — | — | — | (7,319 | ) | |||||||||||||
Net change in unrealized appreciation (depreciation) on swaps contracts | 536,709 | — | — | — | 536,709 | |||||||||||||||
Net change in unrealized appreciation (depreciation) on forward foreign currency contracts | — | (384,099 | ) | — | — | (384,099 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 784,669 | $ | (448,187 | ) | $ | — | $ | — | $ | 336,482 | ||||||||||
|
|
|
|
|
|
|
|
|
|
High Yield Fund
Effect of Derivative Instruments on the Statements of Operations as of August 31, 2017 | ||||||||||||||||||||
Location | Interest rate risk | Foreign exchange risk | Credit risk | Equity risk | Total | |||||||||||||||
Realized gain/(loss) on derivatives recognized in income (d) | ||||||||||||||||||||
Net realized gain (loss) on futures contracts | $ | 13,092 | $ | — | $ | — | $ | — | $ | 13,092 | ||||||||||
Net realized gain (loss) on options written | — | — | — | 4,294 | 4,294 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 13,092 | $ | — | $ | — | $ | 4,294 | $ | 17,386 | |||||||||||
|
|
|
|
|
|
|
|
|
|
289
Notes to Financial Statements |
(continued) |
International Fixed Income Fund
Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2017 | ||||||||||||||||||||
Location | Interest rate risk | Foreign exchange risk | Credit risk | Equity risk | Total | |||||||||||||||
Asset derivatives | ||||||||||||||||||||
Purchased options (c) | $ | 1,410 | $ | 28,637 | $ | — | $ | — | $ | 30,047 | ||||||||||
Unrealized appreciation on open futures contracts (b) | 531,173 | — | — | — | 531,173 | |||||||||||||||
Unrealized appreciation on forward foreign currency contracts (c) | — | 1,312,023 | — | — | 1,312,023 | |||||||||||||||
Unrealized appreciation on centrally cleared swaps (f) | 1,763,372 | — | 69,186 | — | 1,832,558 | |||||||||||||||
Unrealized appreciation on open swaps (c) | — | 880,237 | 2,600 | — | 882,837 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 2,295,955 | $ | 2,220,897 | $ | 71,786 | $ | — | $ | 4,588,638 | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Liability derivatives | ||||||||||||||||||||
Options contracts written outstanding (a) | $ | 2,200 | $ | 22,115 | $ | — | $ | — | $ | 24,315 | ||||||||||
Unrealized depreciation on open futures contracts (b) | 211,440 | — | — | — | 211,440 | |||||||||||||||
Unrealized depreciation on forward foreign currency contracts (a) | — | 2,575,749 | — | — | 2,575,749 | |||||||||||||||
Unrealized depreciation on centrally cleared swaps (f) | 1,355,205 | — | 224,327 | — | 1,579,532 | |||||||||||||||
Unrealized depreciation on open swaps (a) | 34,825 | 2,247 | 46,560 | — | 83,632 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 1,603,670 | $ | 2,600,111 | $ | 270,887 | $ | — | $ | 4,474,668 | |||||||||||
|
|
|
|
|
|
|
|
|
|
Effect of Derivative Instruments on the Statements of Operations as of August 31, 2017 | ||||||||||||||||||||
Location | Interest rate risk | Foreign exchange risk | Credit risk | Equity risk | Total | |||||||||||||||
Realized gain/(loss) on derivatives recognized in income (d) | ||||||||||||||||||||
Net realized gain (loss) on purchased options | $ | 131,651 | $ | (76,352 | ) | $ | — | $ | — | $ | 55,299 | |||||||||
Net realized gain (loss) on futures contracts | (856,812 | ) | — | — | — | (856,812 | ) | |||||||||||||
Net realized gain (loss) on options written | (82,608 | ) | 335,072 | 2,292 | — | 254,756 | ||||||||||||||
Net realized gain (loss) on swaps contracts | (139,987 | ) | (895,512 | ) | (1,569,236 | ) | — | (2,604,735 | ) | |||||||||||
Net realized gain (loss) on forward foreign currency contracts | — | 3,549,316 | — | — | 3,549,316 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | (947,756 | ) | $ | 2,912,524 | $ | (1,566,944 | ) | $ | — | $ | 397,824 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Change in unrealized appreciation (depreciation) on derivatives recognized in income (e) | ||||||||||||||||||||
Net change in unrealized appreciation (depreciation) on purchased options | $ | (106,554 | ) | $ | 39,581 | $ | — | $ | — | $ | (66,973 | ) | ||||||||
Net change in unrealized appreciation (depreciation) on futures contracts | (133,879 | ) | — | — | — | (133,879 | ) | |||||||||||||
Net change in unrealized appreciation (depreciation) on options contracts written | 1,270 | (79,650 | ) | (1,067 | ) | — | (79,447 | ) | ||||||||||||
Net change in unrealized appreciation (depreciation) on swaps contracts | 2,778,961 | 2,020,654 | (125,573 | ) | — | 4,674,042 | ||||||||||||||
Net change in unrealized appreciation (depreciation) on forward foreign currency contracts | — | (87,898 | ) | — | — | (87,898 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 2,539,798 | $ | 1,892,687 | $ | (126,640 | ) | $ | — | $ | 4,305,845 | ||||||||||
|
|
|
|
|
|
|
|
|
|
290
Notes to Financial Statements |
(continued) |
Inflation-Linked Fixed Income Fund
Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2017 | ||||||||||||||||||||
Location | Interest rate risk | Foreign exchange risk | Credit risk | Equity risk | Total | |||||||||||||||
Asset derivatives | ||||||||||||||||||||
Purchased options (c) | $ | 53,272 | $ | — | $ | — | $ | — | $ | 53,272 | ||||||||||
Unrealized appreciation on open futures contracts (b) | 89,696 | — | — | — | 89,696 | |||||||||||||||
Unrealized appreciation on forward foreign currency contracts (c) | — | 460,049 | — | — | 460,049 | |||||||||||||||
Unrealized appreciation on centrally cleared swaps (f) | 374,412 | — | — | — | 374,412 | |||||||||||||||
Unrealized appreciation on open swaps (c) | — | — | 50,503 | — | 50,503 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 517,380 | $ | 460,049 | $ | 50,503 | $ | — | $ | 1,027,932 | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Liability derivatives | ||||||||||||||||||||
Options contracts written outstanding (a) | $ | 20,625 | $ | 4,230 | $ | — | $ | — | $ | 24,855 | ||||||||||
Unrealized depreciation on open futures contracts (b) | 61,009 | — | — | — | 61,009 | |||||||||||||||
Unrealized depreciation on forward foreign currency contracts (a) | — | 1,067,503 | — | — | 1,067,503 | |||||||||||||||
Unrealized depreciation on centrally cleared swaps (f) | 108,203 | — | 39,325 | — | 147,528 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 189,837 | $ | 1,071,733 | $ | 39,325 | $ | — | $ | 1,300,895 | |||||||||||
|
|
|
|
|
|
|
|
|
|
Effect of Derivative Instruments on the Statements of Operations as of August 31, 2017 | ||||||||||||||||||||
Location | Interest rate risk | Foreign exchange risk | Credit risk | Equity risk | Total | |||||||||||||||
Realized gain/(loss) on derivatives recognized in income (d) | ||||||||||||||||||||
Net realized gain (loss) on purchased options | $ | (43,010 | ) | $ | — | $ | — | $ | — | $ | (43,010 | ) | ||||||||
Net realized gain (loss) on futures contracts | (144,598 | ) | — | — | — | (144,598 | ) | |||||||||||||
Net realized gain (loss) on options written | 176,087 | 87,695 | 9,359 | — | 273,141 | |||||||||||||||
Net realized gain (loss) on swaps contracts | (94,642 | ) | — | 38,426 | — | (56,216 | ) | |||||||||||||
Net realized gain (loss) on forward foreign currency contracts | — | (980,998 | ) | — | — | (980,998 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | (106,163 | ) | $ | (893,303 | ) | $ | 47,785 | $ | — | $ | (951,681 | ) | ||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Change in unrealized appreciation (depreciation) on derivatives recognized in income (e) | ||||||||||||||||||||
Net change in unrealized appreciation (depreciation) on purchased options | $ | (36,497 | ) | $ | — | $ | — | $ | — | $ | (36,497 | ) | ||||||||
Net change in unrealized appreciation (depreciation) on futures contracts | 42,547 | — | — | — | 42,547 | |||||||||||||||
Net change in unrealized appreciation (depreciation) on options contracts written | 3,493 | (18,756 | ) | (58 | ) | — | (15,321 | ) | ||||||||||||
Net change in unrealized appreciation (depreciation) on swaps contracts | 1,151,408 | — | 7,508 | — | 1,158,916 | |||||||||||||||
Net change in unrealized appreciation (depreciation) on forward foreign currency contracts | — | 369,120 | — | — | 369,120 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 1,160,951 | $ | 350,364 | $ | 7,450 | $ | — | $ | 1,518,765 | |||||||||||
|
|
|
|
|
|
|
|
|
|
291
Notes to Financial Statements |
(continued) |
Ultra-Short Term Fixed Income Fund
Fair Values of Derivative Instruments on the Statements of Assets and Liabilities as of August 31, 2017 | ||||||||||||||||||||
Location | Interest rate risk | Foreign exchange risk | Credit risk | Equity risk | Total | |||||||||||||||
Asset derivatives | ||||||||||||||||||||
Unrealized appreciation on open futures contracts (b) | $ | 58,856 | $ | — | $ | — | $ | — | $ | 58,856 | ||||||||||
Unrealized appreciation on forward foreign currency contracts (c) | — | 284,495 | — | — | 284,495 | |||||||||||||||
Unrealized appreciation on centrally cleared swaps (f) | 202,636 | — | — | — | 202,636 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 261,492 | $ | 284,495 | $ | — | $ | — | $ | 545,987 | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Liability derivatives | ||||||||||||||||||||
Unrealized depreciation on open futures contracts (b) | $ | 19,863 | $ | — | $ | — | $ | — | $ | 19,863 | ||||||||||
Unrealized depreciation on forward foreign currency contracts (a) | — | 102,833 | — | — | 102,833 | |||||||||||||||
Unrealized depreciation on centrally cleared swaps (f) | 529,951 | — | 50,392 | — | 580,343 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 549,814 | $ | 102,833 | $ | 50,392 | $ | — | $ | 703,039 | |||||||||||
|
|
|
|
|
|
|
|
|
|
Effect of Derivative Instruments on the Statements of Operations as of August 31, 2017 | ||||||||||||||||||||
Location | Interest rate risk | Foreign exchange risk | Credit risk | Equity risk | Total | |||||||||||||||
Realized gain/(loss) on derivatives recognized in income (d) | ||||||||||||||||||||
Net realized gain (loss) on futures contracts | $ | 608,752 | $ | — | $ | — | $ | — | $ | 608,752 | ||||||||||
Net realized gain (loss) on swaps contracts | (327,220 | ) | — | (130,091 | ) | — | (457,311 | ) | ||||||||||||
Net realized gain (loss) on forward foreign currency contracts | — | (87,038 | ) | — | — | (87,038 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 281,532 | $ | (87,038 | ) | $ | (130,091 | ) | $ | — | $ | 64,403 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Change in unrealized appreciation (depreciation) on derivatives recognized in income (e) | ||||||||||||||||||||
Net change in unrealized appreciation (depreciation) on futures contracts | $ | 107,812 | $ | — | $ | — | $ | — | $ | 107,812 | ||||||||||
Net change in unrealized appreciation (depreciation) on swaps contracts | (327,315 | ) | — | (50,392 | ) | — | (377,707 | ) | ||||||||||||
Net change in unrealized appreciation (depreciation) on forward foreign currency contracts | — | 144,361 | — | — | 144,361 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | (219,503 | ) | $ | 144,361 | $ | (50,392 | ) | $ | — | $ | (125,534 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
(a) | Statements of Assets and Liabilities location: Unrealized depreciation on open forward foreign currency contracts, unrealized depreciation on open swap contracts or options contracts written, at value. |
(b) | Only variation margin, if any, is reported within the Statements of Assets and Liabilities. Cumulative appreciation (depreciation) on futures contracts is reported in the “Open Futures Contracts” table in the Fund’s Schedule of Investments. |
(c) | Statements of Assets and Liabilities location: Investments, at value or unrealized appreciation on open forward foreign currency contracts or unrealized appreciation on open swap contracts. |
(d) | Statements of Operations location: Net realized gain (loss) from investments, forward foreign currency contracts, futures contracts, options contracts written or swap contracts. |
(e) | Statements of Operations location: Change in net unrealized appreciation (depreciation) from investments, forward foreign currency contracts, futures contracts, options contracts written or swap contracts. |
(f) | Only variation margin, if any, is reported within the Statements of Assets and Liabilities. Cumulative appreciation (depreciation) on centrally cleared swaps is reported in the “Open Swap Contracts” table in the Fund’s Schedule of Investments. |
292
Notes to Financial Statements |
(continued) |
The average notional amounts of futures contracts, swaps contracts and forward foreign currency contracts, and the average market value of options contracts written and purchased options outstanding during the year ended August 31, 2017 were as follows:
Large Cap Equity Fund
Interest rate risk | Foreign exchange risk | Credit risk | Equity risk | Total | ||||||||||||||||
Futures contracts | $ | — | $ | — | $ | — | $ | 7,553,926 | $ | 7,553,926 |
Small-Mid Cap Equity Fund
Interest rate risk | Foreign exchange risk | Credit risk | Equity risk | Total | ||||||||||||||||
Futures contracts | $ | — | $ | — | $ | — | $ | 2,055,352 | $ | 2,055,352 |
International Equity Fund
Interest rate risk | Foreign exchange risk | Credit risk | Equity risk | Total | ||||||||||||||||
Futures contracts | $ | — | $ | — | $ | — | $ | 1,406,092 | $ | 1,406,092 |
Emerging Markets Equity Fund
Interest rate risk | Foreign exchange risk | Credit risk | Equity risk | Total | ||||||||||||||||
Futures contracts | $ | — | $ | — | $ | — | $ | 1,105,543 | $ | 1,105,543 |
Core Fixed Income Fund
Interest rate risk | Foreign exchange risk | Credit risk | Equity risk | Total | ||||||||||||||||
Purchased options | $ | 80,942 | $ | — | $ | — | $ | — | $ | 80,942 | ||||||||||
Futures contracts | 215,962,508 | 825,830 | — | — | 216,788,338 | |||||||||||||||
Option contracts written | 88,974 | — | — | — | 88,974 | |||||||||||||||
Swap contracts | 1,371,154 | — | — | — | 1,371,154 | |||||||||||||||
Forward foreign currency contracts | — | 28,140,729 | — | — | 28,140,729 |
High Yield Fund
Interest rate risk | Foreign exchange risk | Credit risk | Equity risk | Total | ||||||||||||||||
Futures contracts | $ | 71,207 | $ | — | $ | — | $ | — | $ | 71,207 | ||||||||||
Option contracts written | — | — | — | 330 | 330 |
293
Notes to Financial Statements |
(continued) |
International Fixed Income Fund
Interest rate risk | Foreign exchange risk | Credit risk | Equity risk | Total | ||||||||||||||||
Purchased options | $ | 120,004 | $ | 43,192 | $ | — | $ | — | $ | 163,196 | ||||||||||
Futures contracts | 200,729,096 | — | — | — | 200,729,096 | |||||||||||||||
Option contracts written | 115,873 | 139,628 | 130 | — | 255,631 | |||||||||||||||
Swap contracts | 280,736,197 | 63,910,694 | 80,331,889 | — | 424,978,780 | |||||||||||||||
Forward foreign currency contracts | — | 304,879,390 | — | — | 304,879,390 |
Inflation-Linked Fixed Income Fund
Interest rate risk | Foreign exchange risk | Credit risk | Equity risk | Total | ||||||||||||||||
Purchased options | $ | 247,081 | $ | — | $ | — | $ | — | $ | 247,081 | ||||||||||
Futures contracts | 58,876,082 | — | — | — | 58,876,082 | |||||||||||||||
Option contracts written | 24,026 | 4,300 | 586 | — | 28,912 | |||||||||||||||
Swap contracts | 67,187,885 | — | 3,034,691 | — | 70,222,576 | |||||||||||||||
Forward foreign currency contracts | — | 37,577,704 | — | — | 37,577,704 |
Ultra-Short Term Fixed Income Fund
Interest rate risk | Foreign exchange risk | Credit risk | Equity risk | Total | ||||||||||||||||
Futures contracts | $ | 106,484,175 | $ | — | $ | — | $ | — | $ | 106,484,175 | ||||||||||
Swap contracts | 66,655,598 | — | 2,598,000 | — | 69,253,598 | |||||||||||||||
Forward foreign currency contracts | — | 36,487,502 | — | — | 36,487,502 |
(c) Repurchase Agreements. When entering into repurchase agreements, it is the Funds’ policy that their custodian or a third party custodian takes possession of the underlying collateral securities, the market value of which at least equals the principal amount of the repurchase transaction, including accrued interest. To the extent that any repurchase transaction exceeds one business day, the value of the collateral is marked-to-market daily to ensure the adequacy of the collateral. If the seller defaults and the market value of the collateral declines or if bankruptcy proceedings are commenced with respect to the seller of the security, realization of the collateral by the Funds may be delayed or limited.
(d) Stripped Securities. Certain Funds may invest in “Stripped Securities”, a term used collectively for stripped fixed income securities. Stripped Securities can be principal-only securities (“PO”), which are debt obligations that have been stripped of interest coupons, or interest-only securities (“IO”), which are interest coupons that have been stripped from debt obligations. As is the case with all securities, the market value of Stripped Securities will fluctuate in response to changes in economic conditions, interest rates and the market’s perception of the securities. However, fluctuations in response to interest rates may be greater in Stripped Securities than for debt obligations of comparable maturities that pay interest currently. The amount of fluctuation increases with a longer period of maturity. The yield-to-maturity on an IO is sensitive to the rate of principal repayments (including prepayments) on the related underlying debt obligation and principal payments may have a material effect on yield to maturity. If the underlying debt obligation experiences greater than anticipated prepayments of principal, the Fund may not fully recoup its initial investment in the IO.
(e) Time Deposits. Certain Funds may purchase overnight time deposits issued by offshore branches of U.S. banks that meet credit and risk standards established by the custodian and approved by the Board.
(f) Lending of Portfolio Securities. The Trust has an agreement with its custodian, whereby the custodian, as agent, may lend securities owned by the Funds to brokers, dealers and other financial organizations that have been approved as borrowers by the Funds. The custodian enters into agreements with the borrowers. Loans of securities by a Fund are collateralized by cash, U.S.
294
Notes to Financial Statements |
(continued) |
government securities or irrevocable performance letters of credit issued by banks approved by the Funds. All non-cash collateral is received, held and administered by the custodian in an applicable custody account or other account established for the purpose of holding collateral for each Fund. Cash collateral received by the Funds as a result of securities lending activities is invested in an unaffiliated registered money market fund, and is recorded as Payable for collateral received from securities on loan within the Statements of Assets and Liabilities. Securities lending income represents the income earned on investing cash collateral plus any premium payments that may be received on the loan of certain types of securities, less fees and expenses associated with the loan. Each Fund maintains the risk of any market loss on its securities on loan as well as the potential loss on investments purchased with cash collateral received from its securities lending. The custodian has the right under its agreement with the borrowers to recover any loaned securities from the borrower on demand. Additionally, the Funds are exposed to risks that a borrower may not provide additional collateral when required or return loaned securities when due. If the borrower fails to return the securities, the custodian will use the collateral to purchase replacement securities. The custodian is responsible for any shortfall in collateral value under certain circumstances. See Note 1 (x).
The following table presents securities on loan that are subject to enforceable netting arrangements as of August 31, 2017.
Gross Amounts Not Offset in the Statements of Assets and Liabilities
Fund | Gross Asset Amount Presented in Statements of Assets and Liabilities (a) | Financial Instrument | Collateral Received (b)(c) | Net Amount (Not Less than $0) | ||||||||||||
Large Cap Equity Fund | $ | 14,132,520 | $ | — | $ | (14,132,520 | ) | $ | — | |||||||
Small-Mid Cap Equity Fund | 27,480,675 | — | (27,480,675 | ) | — | |||||||||||
International Equity Fund | 2,649,508 | — | (2,649,508 | ) | — | |||||||||||
Emerging Markets Equity Fund | 5,025,914 | — | (5,025,914 | ) | — | |||||||||||
Core Fixed Income Fund | 406,727 | — | (406,727 | ) | — | |||||||||||
High Yield Fund | 2,409,817 | — | (2,409,817 | ) | — |
(a) | Represents market value of securities on loan at period end. |
(b) | The Funds received cash collateral of $14,237,689, $27,747,336, $2,723,340, $5,151,986, $417,220 and $2,487,699, respectively, which was subsequently invested in Invesco STIT — Government & Agency Portfolio as reported in the Schedules of Investments. |
(c) | The actual collateral received could be greater than the amount shown here due to overcollateralization. |
The Funds have adopted the disclosure provisions of FASB Accounting Standards Update No. 2014-11 (“ASU No. 2014-11”), “Transfers & Servicing (Topic 860): Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures”. ASU No. 2014-11 is intended to provide increased transparency about the types of collateral pledged in securities lending transactions and other similar transactions that are accounted for as secured borrowing.
The following table displays a breakdown of transactions accounted for as secured borrowings, the gross obligations by class of collateral pledged, and the remaining contractual maturity of those transactions as of August 31, 2017.
Remaining Contractual Maturity of the Agreements As of August 31, 2017 | ||||||||||||||||||||
Overnight and Continuous | < 30 days | Between 30 & 90 days | > 90 days | Total | ||||||||||||||||
Large Cap Equity Fund | ||||||||||||||||||||
Securities Lending Transactions | ||||||||||||||||||||
Common Stocks | $ | 14,237,689 | $ | — | $ | — | $ | — | $ | 14,237,689 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Borrowings | $ | 14,237,689 | $ | — | $ | — | $ | — | $ | 14,237,689 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Gross amount of recognized liabilities for securities lending transactions |
| $ | — | $ | — | $ | 14,237,689 | |||||||||||||
|
|
|
|
|
| |||||||||||||||
Small-Mid Cap Equity Fund | ||||||||||||||||||||
Securities Lending Transactions | ||||||||||||||||||||
Common Stocks | $ | 27,747,336 | $ | — | $ | — | $ | — | $ | 27,747,336 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Borrowings | $ | 27,747,336 | $ | — | $ | — | $ | — | $ | 27,747,336 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Gross amount of recognized liabilities for securities lending transactions |
| $ | — | $ | — | $ | 27,747,336 | |||||||||||||
|
|
|
|
|
|
295
Notes to Financial Statements |
(continued) |
Remaining Contractual Maturity of the Agreements As of August 31, 2017 | ||||||||||||||||||||
Overnight and Continuous | < 30 days | Between 30 & 90 days | > 90 days | Total | ||||||||||||||||
International Equity Fund | ||||||||||||||||||||
Securities Lending Transactions | ||||||||||||||||||||
Common Stocks | $ | 2,723,340 | $ | — | $ | — | $ | — | $ | 2,723,340 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Borrowings | $ | 2,723,340 | $ | — | $ | — | $ | — | $ | 2,723,340 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Gross amount of recognized liabilities for securities lending transactions |
| $ | — | $ | — | $ | 2,723,340 | |||||||||||||
|
|
|
|
|
| |||||||||||||||
Emerging Markets Equity Fund | ||||||||||||||||||||
Securities Lending Transactions | ||||||||||||||||||||
Common Stocks | $ | 5,151,986 | $ | — | $ | — | $ | — | $ | 5,151,986 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Borrowings | $ | 5,151,986 | $ | — | $ | — | $ | — | $ | 5,151,986 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Gross amount of recognized liabilities for securities lending transactions |
| $ | — | $ | — | $ | 5,151,986 | |||||||||||||
|
|
|
|
|
| |||||||||||||||
Core Fixed Income Fund | ||||||||||||||||||||
Securities Lending Transactions | ||||||||||||||||||||
Corporate Securities | $ | 417,220 | $ | — | $ | — | $ | — | $ | 417,220 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Borrowings | $ | 417,220 | $ | — | $ | — | $ | — | $ | 417,220 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Gross amount of recognized liabilities for securities lending transactions |
| $ | — | $ | — | $ | 417,220 | |||||||||||||
|
|
|
|
|
| |||||||||||||||
High Yield Fund | ||||||||||||||||||||
Securities Lending Transactions | ||||||||||||||||||||
Common Stocks | $ | 175,725 | $ | — | $ | — | $ | — | $ | 175,725 | ||||||||||
Corporate Securities | 2,311,974 | — | — | — | 2,311,974 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Borrowings | $ | 2,487,699 | $ | — | $ | — | $ | — | $ | 2,487,699 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Gross amount of recognized liabilities for securities lending transactions |
| $ | — | $ | — | $ | 2,487,699 | |||||||||||||
|
|
|
|
|
| |||||||||||||||
International Fixed Income Fund | ||||||||||||||||||||
Reverse Repurchase Agreements Transactions | ||||||||||||||||||||
Sovereign Bonds | $ | — | $ | — | $ | 21,873,701 | $ | — | $ | 21,873,701 | ||||||||||
U.S. Government Obligations | — | 5,454,000 | 925,875 | — | 6,379,875 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Borrowings | $ | — | $ | 5,454,000 | $ | 22,799,576 | $ | — | $ | 28,253,576 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Gross amount of recognized liabilities for reverse repurchase agreements transactions |
| $ | — | $ | — | $ | 28,253,576 | |||||||||||||
|
|
|
|
|
| |||||||||||||||
Inflation-Linked Fixed Income Fund | ||||||||||||||||||||
Reverse Repurchase Agreements Transactions | ||||||||||||||||||||
U.S. Government Obligations | $ | — | $ | 4,643,875 | $ | 49,331,625 | $ | — | $ | 53,975,500 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Borrowings | $ | — | $ | 4,643,875 | $ | 49,331,625 | $ | — | $ | 53,975,500 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Gross amount of recognized liabilities for reverse repurchase agreements transactions |
| $ | — | $ | — | $ | 53,975,500 | |||||||||||||
|
|
|
|
|
|
(g) To-Be-Announced Purchase and Sale Commitments. Certain Funds may trade securities on a to-be-announced (“TBA”) basis. In a TBA transaction, a Fund commits to purchasing or selling securities which have not yet been issued by the issuer and for which specific information is not known, such as the face amount and maturity date and the underlying pool of investments in U.S. government agency mortgage pass-through transactions. Securities purchased on a TBA basis are not settled until they are delivered to the Fund, normally 15 to 45 days later. Beginning on the date the Fund enters into a TBA transaction, cash,
296
Notes to Financial Statements |
(continued) |
U.S. government securities or other liquid high-grade debt obligations are segregated in an amount equal in value to the purchase price of the TBA security. These transactions are marked-to-market on a daily basis and are subject to market fluctuations. Realized gains or losses on TBA purchase commitments are included in Net realized gain (loss) on investments on the Statements of Operations. Any fluctuation in the value of the purchased TBA commitments is included in Net change in unrealized appreciation (depreciation) on investments on the Statements of Operations.
Additionally, when a Fund sells TBA securities without already owning or having the right to obtain the deliverable securities (an uncovered forward commitment to sell), it incurs a risk of loss because it could have to purchase the securities at a price that is higher than the price at which it sold them. A Fund may be unable to purchase the deliverable securities if the corresponding market is illiquid.
TBA securities subject to a forward commitment to sell at period end are included at the end of the Fund’s Schedule of Investments under the caption “Schedule of Forward Sale Commitments”. The proceeds and value of these commitments are recorded as Forward Sale Commitments at value in the Statements of Assets and Liabilities.
(h) Short Sales of Securities. A short sale is a transaction in which a Fund sells securities it does not own in anticipation of a decline in the market price of the securities. To complete a short sale, the Fund may arrange through a broker to borrow the securities to be delivered to the buyer. The proceeds received by the Fund for the short sale are retained by the broker until the Fund replaces the borrowed securities. In borrowing the securities to be delivered to the buyer, the Fund becomes obligated to replace the securities borrowed at their market price at the time of replacement, whatever that price may be.
The risk of engaging in short sale transactions is that selling short magnifies the potential for loss to a Fund. The larger the Fund’s short position, the greater the potential loss. If a security sold short increases in price, the Fund may have to cover its short position at a higher price than the short sale price, resulting in a loss. To borrow the security, the Fund also may be required to pay a premium, which could decrease the proceeds of the security sold short. The amount of any gain will be decreased, and the amount of any loss increased, by the amount of the premium, dividends, interest or expenses the Fund may be required to pay in connection with the short sale. In addition, because the Fund’s loss on a short sale arises from increases in the value of the security sold short, such loss is unlimited.
(i) Mortgage Dollar Rolls. Certain Funds may sell mortgage-backed securities for delivery in the current month and simultaneously contract to repurchase substantially similar (same type, coupon and maturity) securities to settle on a specific future date at an agreed upon price. Pools of mortgage securities are used to collateralize mortgage dollar roll transactions and may have different prepayment histories than those sold. During the period between the sale and the repurchase, a Fund forgoes principal and interest paid on the securities sold. Proceeds of the sale will be invested in short-term instruments and the income from these investments, together with any additional fee income received on a sale, is intended to generate income for a Fund. A Fund accounts for mortgage dollar roll transactions as purchases and sales and realizes the gain or loss at the time the transaction is entered into on these transactions. If certain criteria are met, these dollar roll transactions may be considered financing transactions, whereby the difference in the sale price and the future purchase price is recorded as an adjustment to interest income.
Mortgage dollar roll transactions involve the risk that the market value of the securities a Fund is obligated to repurchase under the agreement may decline below the repurchase price of those securities. If investment performance of securities purchased with proceeds from these transactions does not exceed the income, capital appreciation and gain or loss that would have been realized on the securities sold as part of the dollar roll, the use of this technique will adversely impact the investment performance of a Fund. In the event the buyer of securities under a mortgage dollar roll files for bankruptcy or becomes insolvent, the Fund’s use of proceeds of the dollar roll may be restricted pending a determination by the other party, or its trustee or receiver, whether to enforce the Fund’s obligation to repurchase the securities. No funds participated in MDRs during the year.
(j) Credit and Market Risk. Certain Funds invest in high yield instruments that are subject to certain credit and market risks. The yields of high yield obligations reflect, among other things, perceived credit and market risks. Each Fund’s investment in securities rated below investment grade typically involve risks not associated with higher rated securities, including, among others, greater risk related to timely and ultimate payment of interest and principal, greater market price volatility and less liquid secondary market trading.
297
Notes to Financial Statements |
(continued) |
(k) Foreign Investment and Currency Risks. Certain Funds’ investments in foreign securities may involve risks not present in domestic investments. Because securities may be denominated in foreign currencies and may require settlement in foreign currencies and pay interest or dividends in foreign currencies, changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of a Fund. Foreign investments may also subject the Fund to foreign government exchange restrictions, expropriation, taxation or other political, social or economic developments, all of which affect the market and/or credit risk of the investments.
(l) Emerging Markets Risk. In addition to foreign investment and currency risks, which tend to be amplified in emerging markets, emerging markets may experience rising interest rates, or, more significantly, rapid inflation or hyperinflation. The economies of emerging market countries may grow at slower rates than expected or suffer a downturn or recession. Emerging market securities may present market, credit, liquidity, legal, political and other risks different from, or greater than, the risks of investing in developed foreign countries.
(m) Volatility Risk. Volatility risk refers to the magnitude of the movement, but not the direction of the movement, in a financial instrument’s price over a defined time period. Large increases or decreases in a financial instrument’s price over a relative time period typically indicate greater volatility risk, while small increases or decreases in its price typically indicate lower volatility risk.
(n) Security Transactions and Investment Income. Security transactions are accounted for on a trade date basis. Interest income, adjusted for amortization of premium and accretion of discount, is recorded on an accrual basis. Dividend income is recorded on the ex-dividend date. Foreign dividend income is recorded on the ex-dividend date or as soon as practical after a Fund determines the existence of a dividend declaration after exercising reasonable due diligence. Interest and dividend income payable by delivery of additional shares is reclassified as PIK (payment-in-kind) income upon receipt, if any, and is included in interest and dividend income, respectively. The cost of investments sold is determined by use of the specific identification method. To the extent any issuer defaults on an expected interest payment, the Trust’s policy is to generally halt any additional “interest income accruals and accretion” and consider the Fund’s ability to realize interest accrued up to the date of default.
(o) Foreign Currency Translation. Investment securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollar amounts based upon prevailing exchange rates on the date of valuation. Purchases and sales of investment securities and income and expense items denominated in foreign currencies are translated into U.S. dollar amounts based upon prevailing exchange rates on the respective dates of such transactions.
The Funds do not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss on investments in the Statements of Operations.
Net realized foreign exchange gains or losses arise from sales of foreign currencies, including gains and losses on forward foreign currency contracts, currency gains or losses realized between the trade and settlement dates on securities transactions and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the fair values of assets and liabilities, other than investments in securities, at the date of valuation, resulting from changes in exchange rates.
Foreign security and currency transactions may involve certain considerations and risks not typically associated with those of U.S. dollar denominated transactions as a result of, among other factors, the possibility of lower levels of governmental supervision and regulation of foreign securities markets and the possibility of political or economic instability.
(p) Distributions to Shareholders. Distributions from net investment income for Large Cap Equity Fund, Small-Mid Cap Equity Fund, International Equity Fund, Emerging Markets Equity Fund and International Fixed Income Fund, if any, are declared and paid on an annual basis. Distributions from net investment income for Core Fixed Income Fund, High Yield Fund, Municipal Bond Fund, Inflation-Linked Fixed Income Fund and Ultra-Short Term Fixed Income Fund, if any, are declared and paid on a monthly basis.
The Funds intend to satisfy conditions that will enable interest from municipal securities, which are exempt from regular federal income tax and from designated state income taxes, to retain such tax-exempt status when distributed to the shareholders of the Funds. Distributions of net realized gains to shareholders of the Funds, if any, are taxable and are declared at least annually. Distributions to shareholders of the Funds are recorded on the ex-dividend date and are determined in accordance with income tax regulations, which may differ from GAAP.
298
Notes to Financial Statements |
(continued) |
(q) Federal and Other Taxes. It is the Trust’s policy to comply with the federal income and excise tax requirements of the Internal Revenue Code of 1986, as amended, applicable to regulated investment companies. Accordingly, each Fund intends to distribute substantially all of its income and net realized gains on investments, if any, to shareholders each year. Therefore, no federal income tax provision is required in the Funds’ financial statements. Under the applicable foreign tax laws, a withholding tax may be imposed on interest, dividends and capital gains at various rates.
Management has reviewed the tax positions and has concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken on returns filed for open tax years or expected to be taken in 2017 tax returns. Each Fund’s federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
(r) Reclassification. GAAP requires that certain components of net assets be adjusted to reflect permanent differences between
financial and tax reporting. These reclassifications have no effect on net assets or net asset values per share.
Fund | Undistributed (Dividend in excess of) Net Investment Income | Undistributed Realized Gains/ (Accumulated Net Realized Losses) | Paid-in Capital | |||||||||||
Large Cap Equity Fund | (a),(g),(h) | $ | (806,068 | ) | $ | (6,103,200 | ) | $ | 6,909,268 | |||||
Small-Mid Cap Equity Fund | (a),(g),(h) | (318,444 | ) | (1,730,889 | ) | 2,049,333 | ||||||||
International Equity Fund | (c) | 895,424 | (400,523 | ) | (494,901 | ) | ||||||||
Emerging Markets Equity Fund | (c) | (175,002 | ) | 175,002 | -— | |||||||||
Core Fixed Income Fund | (d),(e),(g) | 3,030,324 | (1,263,563 | ) | (1,766,761 | ) | ||||||||
High Yield Fund | (d),(f),(i) | 1,414,921 | 5,282,328 | (6,697,249 | ) | |||||||||
Municipal Bond Fund | (e) | (21,357 | ) | 21,267 | 90 | |||||||||
International Fixed Income Fund | (d),(g) | (2,786,040 | ) | 2,786,041 | (1 | ) | ||||||||
Inflation-Linked Fixed Income Fund | (d),(e),(g) | (157,759 | ) | 1,257,073 | (1,099,314 | ) | ||||||||
Ultra-Short Term Fixed Income Fund | (d),(g) | 1,312,671 | (1,312,671 | ) | -— |
(a) | Reclassifications are primarily due to book/tax differences in the treatment of distributions from real estate investment trusts. |
(b) | Reclassifications are primarily due to a tax net operating loss. |
(c) | Reclassifications are primarily due to foreign currency transactions treated as ordinary income for tax purposes, and book/tax differences in the treatment of passive foreign investment companies. |
(d) | Reclassifications are primarily due to differences between book and tax amortization of premium on fixed income securities. |
(e) | Reclassifications are primarily due to distribution reclass. |
(f) | Reclassifications are primarily due to defaulted bond interest reclass. |
(g) | Reclassifications are primarily due to foreign currency transactions treated as ordinary income for tax purposes. |
(h) | Reclassifications are primarily due to use of tax equalization |
(i) | Reclassifications are primarily due to expiration of capital loss carryforward |
(s) Restricted Securities. All Funds may invest in non-publicly traded securities, commonly called restricted securities. Restricted securities may be less liquid than publicly-traded securities. Although certain restricted securities may be resold in privately negotiated transactions, the values realized from these sales could be less than originally paid by a Fund. Certain restricted securities may be deemed liquid by the Manager and/or Sub-adviser pursuant to the procedures approved by the Board. The value of restricted securities is determined as described in Note 1(a).
(t) Reverse Repurchase Agreements. Certain Funds may each enter into reverse repurchase agreements with the financial institutions with which it may enter into repurchase agreements. Under a reverse repurchase agreement, a Fund sells securities to a financial institution and agrees to repurchase them at a mutually agreed upon date, price and rate of interest. During the period between the sale and repurchase, the Fund would not be entitled to principal and interest paid on the securities sold by the Fund. The Fund, however, would seek to achieve gains derived from the difference between the current sale price and the forward price for the future purchase as well as the interest earned on the proceeds on the initial sale. Reverse repurchase agreements will be viewed as borrowings by a Fund for the purpose of calculating the Fund’s indebtedness and will have the effect of leveraging the Fund’s assets.
(u) Indemnification. In the normal course of business, the Funds may enter into contracts that provide certain indemnifications. The Funds’ maximum exposure under these arrangements is dependent on future claims that may be made against the Funds and, therefore, cannot be estimated; however, based on experience, risk of loss from such claims is considered remote.
299
Notes to Financial Statements |
(continued) |
(v) Offering costs. Offering costs are incurred in connection with launching of new funds. These offering costs are accounted for as deferred charges and are being amortized to expense over 12 months on a straight line basis.
(w) Senior Floating-Rate Loans. Interests in senior floating-rate loans (Senior Loans) for which reliable market quotations are readily available are valued generally at the average mean of bid and ask quotations obtained from a third party pricing service. Other Senior Loans are valued at fair value by the investment adviser under procedures approved by the Trustees. In fair valuing a Senior Loan, the investment adviser utilizes one or more of the valuation techniques described in (i) through (iii) below to assess the likelihood that the borrower will make a full repayment of the loan underlying such Senior Loan relative to yields on other Senior Loans issued by companies of comparable credit quality. If the investment adviser believes that there is a reasonable likelihood of full repayment, the investment adviser will determine fair value using a matrix pricing approach that considers the yield on the Senior Loan. If the investment adviser believes there is not a reasonable likelihood of full repayment, the investment adviser will determine fair value using analyses that include, but are not limited to: (i) a comparison of the value of the borrower’s outstanding equity and debt to that of comparable public companies; (ii) a discounted cash flow analysis; or (iii) when the investment adviser believes it is likely that a borrower will be liquidated or sold, an analysis of the terms of such liquidation or sale. In certain cases, the investment adviser will use a combination of analytical methods to determine fair value, such as when only a portion of a borrower’s assets are likely to be sold. In conducting its assessment and analyses for purposes of determining fair value of a Senior Loan, the investment adviser will use its discretion and judgment in considering and appraising relevant factors. Fair value determinations are made by the portfolio managers of the Fund based on information available to such managers. The portfolio managers of other funds managed by the investment adviser that invest in Senior Loans may not possess the same information about a Senior Loan borrower as the portfolio managers of the Fund. At times, the fair value of a Senior Loan determined by the portfolio managers of other funds managed by the investment adviser that invest in Senior Loans may vary from the fair value of the same Senior Loan determined by the portfolio managers of the Fund. The fair value of each Senior Loan is periodically reviewed and approved by the investment adviser’s Valuation Committee and by the Trustees based upon procedures approved by the Trustees. Junior Loans (i.e., subordinated loans and second lien loans) are valued in the same manner as Senior Loans.
In connection with bank loan interests, the Fund may enter into unfunded bank loan interests (“commitments”). Unfunded loan commitments may be partially or wholly unfunded. The fund is obligated to fund these commitments at borrower’s discretion. In connection with these commitments, the Fund earns a commitment fee, which is included in interest income in the Statement of Operations and recognized respectively over the commitment period. Fund has sufficient cash/securities to cover commitments.
The following table summarizes the Ultra-Short Term Fixed Income Fund’s partially unfunded loans positions as of August 31, 2017.
Principal | Unfunded Bank Loan Interest (Cost) | Value of Underlying Bank Loan Interest (Value) | Unrealized Appreciation | |||||||||||||
AWAS Aviation Capital Ltd. | $ | 400,000 | $ | 346,807 | $ | 346,820 | $ | 13 | ||||||||
Energy Future Intermediate Holdings Co. LLC | 500,000 | 136,032 | 137,148 | 1,116 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total: | $ | 900,000 | $ | 482,839 | $ | 483,968 | $ | 1,129 | ||||||||
|
|
|
|
|
|
|
|
(x) Disclosure about Offsetting Assets and Liabilities. In order to better define contractual rights under derivative contracts and to secure rights that will help the Funds mitigate their counterparty risk, a sub-adviser may, on behalf of the Funds, enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between the Funds and a counterparty that governs OTC derivatives and foreign exchange contracts and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The ISDA Master Agreement gives a Fund the right, upon an event of default by the applicable counterparty or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net amount payable by one party to the other. Absent an event of default by the counterparty or a termination of the agreement, the ISDA Master Agreement does not result in an offset of reported amounts of assets and liabilities in the Statements of Assets and Liabilities across the transactions between the Funds and the applicable counterparty. The right to offset and net payments across all transactions traded under the ISDA Master Agreement could result in a reduction of the Funds’ credit risk to such counterparty equal to any amounts payable by the Funds under the applicable transactions, if any. The enforceability of the right to offset may vary by jurisdiction.
300
Notes to Financial Statements |
(continued) |
Cash collateral that has been received or pledged to cover obligations under derivative contracts, if any, will be reported separately in the Statements of Assets and Liabilities. Generally the amount of collateral due from or to a counterparty is subject to a minimum transfer threshold amount before a transfer is required, which may vary by counterparty. Collateral pledged for the benefit of the Fund and/or counterparty is held in segregated accounts by the Fund’s custodian and cannot be sold, re-pledged, assigned or otherwise used while pledged. The portion of such collateral representing cash, if any, is reflected as deposits with counterparties and, in the case of cash pledged by counterparty for the benefit of the Fund, a corresponding liability in the Statements of Assets and Liabilities. Securities pledged by the Fund as collateral, if any, are identified as such in the Schedule of Investments. The carrying amount of such deposits due to brokers at August 31, 2017 approximated their fair value. If measured at fair value, such deposits would have been considered as Level 2 in the fair value hierarchy (see Note 1(a)).
Repurchase agreements and reverse repurchase agreements may be entered into by the Funds under Master Repurchase Agreements (“MRA”) which permit a Fund, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from a Fund. 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 the MRA counterparty’s bankruptcy or insolvency. The Fund’s repurchase agreements as of August 31, 2017 are shown on a gross basis and the required offsetting disclosures are shown in the Schedules of Investments. The value of the related collateral exceeded the value of the repurchase agreements as of August 31, 2017.
For financial reporting purposes, the Funds do not offset financial assets and financial liabilities that are subject to master netting arrangements or similar agreements on the Statements of Assets and Liabilities.
The following table presents the Funds’ gross and net amounts of assets and liabilities, by derivative type, available for offset under a master netting agreement, or similar agreement as of August 31, 2017.
Assets | Liabilities | |||||||
Derivative Instruments (a) | Gross Amounts of Recognized Assets Presented in the Statements of Assets and Liabilities | Gross Amounts of Recognized Liabilities Presented in the Statements of Assets and Liabilities | ||||||
Core Fixed Income Fund: | ||||||||
Forward foreign currency contracts | $ | 88,501 | $ | 501,827 | ||||
|
|
|
| |||||
Total Derivative Instruments, subject to master netting arrangement or similar arrangement | $ | 88,501 | $ | 501,827 | ||||
|
|
|
| |||||
International Fixed Income Fund: | ||||||||
Forward foreign currency contracts | $ | 1,312,023 | $ | 2,575,749 | ||||
Options contracts | 28,947 | 22,115 | ||||||
Swap contracts (b) | 882,837 | 83,632 | ||||||
|
|
|
| |||||
Total Derivative Instruments, subject to master netting arrangement or similar arrangement | $ | 2,223,807 | $ | 2,681,496 | ||||
|
|
|
| |||||
Inflation-Linked Fixed Income Fund: | ||||||||
Forward foreign currency contracts | $ | 460,049 | $ | 1,067,503 | ||||
Options contracts | 53,272 | 4,230 | ||||||
Swap contracts (b) | 50,503 | — | ||||||
|
|
|
| |||||
Total Derivative Instruments, subject to master netting arrangement or similar arrangement | $ | 563,824 | $ | 1,071,733 | ||||
|
|
|
|
301
Notes to Financial Statements |
(continued) |
Assets | Liabilities | |||||||
Derivative Instruments (a) | Gross Amounts of Recognized Assets Presented in the Statements of Assets and Liabilities | Gross Amounts of Recognized Liabilities Presented in the Statements of Assets and Liabilities | ||||||
Ultra-Short Term Fixed Income Fund: | ||||||||
Forward foreign currency contracts | $ | 284,495 | $ | 102,833 | ||||
|
|
|
| |||||
Total Derivative Instruments, subject to master netting arrangement or similar arrangement | $ | 284,495 | $ | 102,833 | ||||
|
|
|
|
(a) | Excludes exchange-traded derivatives. |
(b) | The total value of the net amounts of assets and liabilities is comprised of Swap contracts, at value on the Statements of Assets and Liabilities less the net value of the Upfront premiums paid (received) disclosed in the Fund’s Schedules of Investments. |
The following table presents the Funds’ derivative assets and liabilities by counterparty net of amounts available for offset under master netting or similar agreements, and net of related collateral received or pledged as of August 31, 2017.
Counterparty | Gross amounts of Recognized Assets presented in the Statements of Assets and Liabilities | Financial Instruments Available for Offset (a) | Collateral Received (e) | Net Amount (b) | ||||||||||||
Core Fixed Income Fund | ||||||||||||||||
Over-the-counter | ||||||||||||||||
Citigroup Global Markets Inc. | $ | 88,501 | $ | (88,501 | ) | $ | — | $ | — | |||||||
Goldman Sachs & Co. | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Over-the-counter derivative instruments | $ | 88,501 | $ | (88,501 | ) | $ | — | $ | — | |||||||
|
|
|
|
|
|
|
| |||||||||
Counterparty | Gross amounts of Recognized Liabilities presented in the Statements of Assets and Liabilities | Financial Instruments Available for Offset (c) | Collateral Pledged (e) | Net Amount (d) | ||||||||||||
Core Fixed Income Fund | ||||||||||||||||
Over-the-counter | ||||||||||||||||
Citigroup Global Markets Inc. | $ | 366,704 | $ | (88,501 | ) | $ | — | $ | 278,203 | |||||||
Goldman Sachs & Co. | 135,123 | — | — | 135,123 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Over-the-counter derivative instruments | $ | 501,827 | $ | (88,501 | ) | $ | — | $ | 413,326 | |||||||
|
|
|
|
|
|
|
|
302
Notes to Financial Statements |
(continued) |
Counterparty | Gross amounts of Recognized Assets presented in the Statements of Assets and Liabilities | Financial Instruments Available for Offset (a) | Collateral Received (e) | Net Amount (b) | ||||||||||||
International Fixed Income Fund | ||||||||||||||||
Over-the-counter | ||||||||||||||||
Bank of America | $ | 92,389 | $ | (92,389 | ) | $ | — | $ | — | |||||||
Barclays Bank PLC | 2,907 | (2,907 | ) | — | — | |||||||||||
BNP Paribas SA | 42,692 | (42,692 | ) | — | — | |||||||||||
Citigroup Global Markets Inc. | 171,257 | — | — | 171,257 | ||||||||||||
Deutsche Bank AG | 23,062 | (23,062 | ) | — | — | |||||||||||
Goldman Sachs & Co. | 1,037,952 | (612,911 | ) | — | 425,041 | |||||||||||
HSBC Bank USA | 34,435 | (34,435 | ) | — | — | |||||||||||
JPMorgan Chase & Co. | 549,689 | (549,689 | ) | — | — | |||||||||||
Royal Bank of Scotland PLC | 83,178 | — | — | 83,178 | ||||||||||||
Societe Generale SA | 120,776 | (65,735 | ) | — | 55,041 | |||||||||||
Standard Chartered Bank | 48,607 | (48,607 | ) | — | — | |||||||||||
UBS Securities LLC | 16,863 | (16,863 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Over-the-counter derivative instruments | $ | 2,223,807 | $ | (1,489,290 | ) | $ | — | $ | 734,517 | |||||||
|
|
|
|
|
|
|
| |||||||||
Counterparty | Gross amounts of Recognized Liabilities presented in the Statements of Assets and Liabilities | Financial Instruments Available for Offset (c) | Collateral Pledged (e) | Net Amount (d) | ||||||||||||
International Fixed Income Fund | ||||||||||||||||
Over-the-counter | ||||||||||||||||
Bank of America | $ | 318,569 | $ | (92,389 | ) | $ | — | $ | 226,180 | |||||||
Barclays Bank PLC | 4,571 | (2,907 | ) | — | 1,664 | |||||||||||
BNP Paribas SA | 497,462 | (42,692 | ) | — | 454,770 | |||||||||||
Citigroup Global Markets Inc. | — | — | — | — | ||||||||||||
Deutsche Bank AG | 44,863 | (23,062 | ) | — | 21,801 | |||||||||||
Goldman Sachs & Co. | 612,911 | (612,911 | ) | — | — | |||||||||||
HSBC Bank USA | 303,935 | (34,435 | ) | — | 269,500 | |||||||||||
JPMorgan Chase & Co. | 579,750 | (549,689 | ) | — | 30,061 | |||||||||||
Royal Bank of Scotland PLC | — | — | — | — | ||||||||||||
Societe Generale SA | 65,735 | (65,735 | ) | — | — | |||||||||||
Standard Chartered Bank | 116,999 | (48,607 | ) | — | 68,392 | |||||||||||
UBS Securities LLC | 136,701 | (16,863 | ) | — | 119,838 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Over-the-counter derivative instruments | $ | 2,681,496 | $ | (1,489,290 | ) | $ | — | $ | 1,192,206 | |||||||
|
|
|
|
|
|
|
|
303
Notes to Financial Statements |
(continued) |
Counterparty | Gross amounts of Recognized Assets presented in the Statements of Assets and Liabilities | Financial Instruments Available for Offset (a) | Collateral Received (e) | Net Amount (b) | ||||||||||||
Inflation-Linked Fixed Income Fund | ||||||||||||||||
Over-the-counter | ||||||||||||||||
BNP Paribas SA | $ | 289,184 | $ | (289,184 | ) | $ | — | $ | — | |||||||
Deutsche Bank AG | 166,240 | (119,089 | ) | (47,151 | ) | — | ||||||||||
HSBC Bank USA | 43,870 | (11,738 | ) | — | 32,132 | |||||||||||
JPMorgan Chase & Co. | 46,580 | (46,580 | ) | — | — | |||||||||||
Merrill Lynch, Pierce, Fenner & Smith Inc. | 3,052 | (3,052 | ) | — | — | |||||||||||
Standard Chartered Bank | 14,898 | (14,898 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Over-the-counter derivative instruments | $ | 563,824 | $ | (484,541 | ) | $ | (47,151 | ) | $ | 32,132 | ||||||
|
|
|
|
|
|
|
| |||||||||
Counterparty | Gross amounts of Recognized Liabilities presented in the Statements of Assets and Liabilities | Financial Instruments Available for Offset (c) | Collateral Pledged (e) | Net Amount (d) | ||||||||||||
Inflation-Linked Fixed Income Fund | ||||||||||||||||
Over-the-counter | ||||||||||||||||
BNP Paribas SA | $ | 645,165 | $ | (289,184 | ) | $ | — | $ | 355,981 | |||||||
Deutsche Bank AG | 119,089 | (119,089 | ) | — | — | |||||||||||
HSBC Bank USA | 11,738 | (11,738 | ) | — | — | |||||||||||
JPMorgan Chase & Co. | 258,499 | (46,580 | ) | — | 211,919 | |||||||||||
Merrill Lynch, Pierce, Fenner & Smith Inc. | 13,929 | (3,052 | ) | — | 10,877 | |||||||||||
Standard Chartered Bank | 23,313 | (14,898 | ) | — | 8,415 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Over-the-counter derivative instruments | $ | 1,071,733 | $ | (484,541 | ) | $ | — | $ | 587,192 | |||||||
|
|
|
|
|
|
|
| |||||||||
Counterparty | Gross amounts of Recognized Assets presented in the Statements of Assets and Liabilities | Financial Instruments Available for Offset (a) | Collateral Received (e) | Net Amount (b) | ||||||||||||
Ultra-Short Term Fixed Income Fund | ||||||||||||||||
Over-the-counter | ||||||||||||||||
BNP Paribas SA | $ | 27,121.00 | $ | (27,121.00 | ) | $ | — | $ | — | |||||||
Deutsche Bank AG | 64,983 | — | — | 64,983 | ||||||||||||
HSBC Bank USA | 9,534 | (9,534 | ) | — | — | |||||||||||
JPMorgan Chase & Co. | 169,930 | (33,697 | ) | (136,233 | ) | — | ||||||||||
Merrill Lynch, Pierce, Fenner & Smith Inc. | 12,927 | (12,927 | ) | — | — | |||||||||||
Standard Chartered Bank | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Over-the-counter derivative instruments | $ | 284,495 | $ | (83,279 | ) | $ | (136,233 | ) | $ | 64,983 | ||||||
|
|
|
|
|
|
|
|
304
Notes to Financial Statements |
(continued) |
Counterparty | Gross amounts of Recognized Liabilities presented in the Statements of Assets and Liabilities | Financial Instruments Available for Offset (c) | Collateral Pledged (e) | Net Amount (d) | ||||||||||||
Ultra-Short Term Fixed Income Fund | ||||||||||||||||
Over-the-counter | ||||||||||||||||
BNP Paribas SA | $ | 36,305 | $ | (27,121 | ) | $ | — | $ | 9,184 | |||||||
Deutsche Bank AG | — | — | — | — | ||||||||||||
HSBC Bank USA | 11,439 | (9,534 | ) | — | 1,905 | |||||||||||
JPMorgan Chase & Co. | 33,697 | (33,697 | ) | — | — | |||||||||||
Merrill Lynch, Pierce, Fenner & Smith Inc. | 15,981 | (12,927 | ) | — | 3,054 | |||||||||||
Standard Chartered Bank | 5,411 | — | — | 5,411 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Over-the-counter derivative instruments | $ | 102,833 | $ | (83,279 | ) | $ | — | $ | 19,554 | |||||||
|
|
|
|
|
|
|
|
(a) | Represents the amount of assets that could be offset by liabilities with the same counterparty under master netting or similar agreements that are not offset on the Statements of Assets and Liabilities. |
(b) | Net amount represents the new amount receivable from the counterparty in the event of default. |
(c) | Represents the amount of liabilities that could be offset by assets with the same counterparty under master netting or similar agreements that are not offset on the Statements of Assets and Liabilities. |
(d) | Net amount represents the net amount payable to the counterparty in the event of default. |
(e) | In some instances, the actual collateral received and/or pledged may be more than the amount shown here due to overcollateralization. |
2. Investment Management Agreement and Other Transactions with Affiliates
CGAS, a business of Morgan Stanley Smith Barney Holdings LLC (“MSSBH”), serves as the investment manager to the Funds. The Manager selects and oversees professional money managers who are responsible for investing the assets of the Funds (each a “Sub-adviser,” and collectively the “Sub-advisers”). Each Fund pays the Manager an investment management fee calculated daily at an annual rate based on each Fund’s average daily net assets and paid monthly in arrears. The Manager pays each Sub-adviser a sub-advisory fee from its investment management fees.
Effective January 1, 2017, CGAS has contractually agreed to waive fees and reimburse expenses for a period of one year in order to keep the Fund’s management fee from exceeding 0.20% more than the total amount of sub-advisory fees paid by CGAS. This contractual waiver will only apply if the Fund’s total management fees exceed the total amount of sub-advisory fees paid by CGAS plus 0.20%, and will not affect the Fund’s total management fees if they are less than such amount. This fee waiver and reimbursement agreement shall remain in effect until January 1, 2018. The agreement may be amended or terminated only with the consent of the Board of Trustees.
The maximum allowable investment management fee represents the total amount that could be charged to each Fund. The aggregate fees paid by the Manager to each Fund’s Sub-advisers and the fees retained by the Manager for the year ended August 31, 2017 are indicated below:
Fund | Subadvisory Fee | Consulting Group Advisory Services LLC Fee | Maximum Allowable Annual Management Fee | |||||||||
Large Cap Equity Fund | 0.19 | % | 0.20 | % | 0.60 | % | ||||||
Small-Mid Cap Equity Fund | 0.29 | % | 0.20 | % | 0.80 | % | ||||||
International Equity Fund | 0.32 | % | 0.20 | % | 0.70 | % | ||||||
Emerging Markets Equity Fund | 0.42 | % | 0.20 | % | 0.90 | % | ||||||
Core Fixed Income Fund | 0.18 | % | 0.20 | % | 0.40 | % | ||||||
High Yield Fund | 0.30 | % | 0.20 | % | 0.70 | % | ||||||
International Fixed Income Fund | 0.25 | % | 0.20 | % | 0.50 | % | ||||||
Municipal Bond Fund | 0.20 | % | 0.20 | % | 0.40 | % | ||||||
Inflation-Linked Fixed Income Fund | 0.25 | % | 0.20 | % | 0.50 | % | ||||||
Ultra-Short Term Fixed Income Fund | 0.25 | % | 0.20 | % | 0.50 | % |
305
Notes to Financial Statements |
(continued) |
The Manager has agreed to waive and/or reimburse a portion of its fee. For the year ended August 31, 2017, the amounts waived and/or reimbursed by the Manager were as follows:
Fund | Amounts waived and/or reimbursed | |||
Large Cap Equity Fund | $ | 3,511,519 | ||
Small-Mid Cap Equity Fund | 1,577,066 | |||
International Equity Fund | 2,073,116 | |||
Emerging Markets Fund | 1,220,752 | |||
Core Fixed Income Fund | 129,727 | |||
High Yield Fund | 603,841 | |||
International Fixed Income Fund | 86,582 | |||
Municipal Bond Fund | — | |||
Inflation-Linked Fixed Income Fund | 84,384 | |||
Ultra-Short Term Fixed Income Fund | 92,949 |
Brown Brothers Harriman & Co. (“BBH”) serves as the Trust’s administrator. For its administrative services, BBH receives an annual asset based fee of 0.0250% of the Trust’s assets up to $5 billion, 0.02% on assets between $5 billion and $8 billion and 0.0175% on assets in excess of $8 billion, plus out-of-pocket expenses. The fee is calculated and allocated daily based on the relative assets of each Fund.
For the year ended August 31, 2017, Morgan Stanley & Co. Incorporated (“MS&Co.”), and its affiliates, including MSSBH, Morgan Stanley Smith Barney LLC, the Trust’s distributor, received brokerage commissions of:
Fund Name | Commission Dollars to MS&Co. | |||
Large Cap Equity Fund | $ | 6,738 | ||
Small-Mid Cap Equity Fund | 26 | |||
International Equity Fund | 9,525 | |||
Emerging Markets Equity Fund | 3,084 | |||
Core Fixed Income Fund | — | |||
High Yield Fund | — | |||
International Fixed Income Fund | — | |||
Municipal Bond Fund | — | |||
Inflation-Linked Fixed Income Fund | — | |||
Ultra-Short Term Fixed Income Fund | — |
Officers of the Trust do not receive compensation directly from the Trust. The Funds may bear a portion of the annual compensation of the Fund’s Chief Compliance Officer.
For the year ended August 31, 2017, the Funds assume the following to be affiliated issuers:
Large Cap Equity Fund
Underlying Security | Number of Shares held at August 31, 2016 | Shares purchased | Shares sold | Number of Shares held at August 31, 2017 | ||||||||||||
Morgan Stanley | 57,495 | — | (9,540 | ) | 47,955 |
Underlying Security | Net Realized Gain/(Loss) on Sales of Affiliated Investment | Net Increase/Decrease in Unrealized Appreciation/(Depreciation) | Dividend/Interest Income from Affiliated Investments | Ending Value as of August 31, 2017 | ||||||||||||
Morgan Stanley | $ | 183,066 | $ | 569,140 | $ | 45,326 | $ | 2,181,953 |
306
Notes to Financial Statements |
(continued) |
Core Fixed Income Fund
Underlying Security | Face Amount held at August 31, 2016 | Face Amount purchased | Face Amount sold* | Face Amount held at August 31, 2017 | ||||||||||||
Morgan Stanley ABS Capital I Inc. Trust, | ||||||||||||||||
Series 2004-SD3, Class A, 0.984% due 6/25/34 | $ | 17,068 | $ | — | $ | (17,068 | ) | $ | — | |||||||
Morgan Stanley Bank Of America Merrill Lynch Trust: | ||||||||||||||||
Series 2013-C10, Class A4, 4.219% due 7/15/46 | 30,000 | — | — | 30,000 | ||||||||||||
Series 2013-C13, Class A4, 4.039% due 11/15/46 | 500,000 | — | — | 500,000 | ||||||||||||
Series 2014-C16, Class A5, 3.892% due 6/15/47 | — | 370,000 | — | 370,000 | ||||||||||||
Series 2016-C30, Class C, 4.270% due 9/15/49 | — | 260,000 | — | 260,000 | ||||||||||||
Morgan Stanley Capital I Trust: | ||||||||||||||||
Series 2007-HQ11, Class A4FL, 0.653% due 2/12/44 | 723,126 | — | (723,126 | ) | — | |||||||||||
Series 2007-IQ14, Class A4, 5.692% due 4/15/49 | 200,000 | — | (200,000 | ) | — |
Underlying Security | Net Realized Gain/(Loss) on Sales of Affiliated Investment | Net Increase/Decrease in Unrealized Appreciation/ (Depreciation) | Dividend/Interest Income from Affiliated Investments | Ending Value as of August 31, 2017 | ||||||||||||
Morgan Stanley ABS Capital I Inc. Trust, | ||||||||||||||||
Series 2004-SD3, Class A, 0.984% due 6/25/34 | $ | — | $ | (866 | ) | $ | 841 | $ | — | |||||||
Morgan Stanley Bank Of America Merrill Lynch Trust: | ||||||||||||||||
Series 2013-C10, Class A4, 4.219% due 7/15/46 | — | (1,082 | ) | 1,242 | 32,708 | |||||||||||
Series 2013-C13, Class A4, 4.039% due 11/15/46 | — | (20,829 | ) | 20,195 | 541,490 | |||||||||||
Series 2014-C16, Class A5, 3.892% due 6/15/47 | — | 7,542 | 5,520 | 397,604 | ||||||||||||
Series 2016-C30, Class C, 4.270% due 9/15/49 | — | 8,324 | 3,887 | 264,948 | ||||||||||||
Morgan Stanley Capital I Trust: | ||||||||||||||||
Series 2007-HQ11, Class A4FL, 0.653% due 2/12/44 | — | (2,792 | ) | 6,722 | — | |||||||||||
Series 2007-IQ14, Class A4, 5.692% due 4/15/49 | — | (5,765 | ) | 7,611 | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
$ | — | $ | (15,468 | ) | $ | 46,018 | $ | 1,236,750 | ||||||||
|
|
|
|
|
|
|
|
Ultra-Short Term Fixed Income Fund
Underlying Security | Face Amount held at August 31, 2016 | Face Amount purchased | Face Amount sold* | Face Amount held at August 31, 2017 | ||||||||||||
Morgan Stanley Capital I Trust, | ||||||||||||||||
Series 2007-IQ14, Class A1A, 5.665% due 4/15/49 | $ | 1,118,119 | $ | — | $ | (1,118,119 | ) | $ | — |
Underlying Security | Net Realized Gain/(Loss) on Sales of Affiliated Investment | Net Increase/Decrease in Unrealized Appreciation/ (Depreciation) | Dividend/Interest Income from Affiliated Investments | Ending Value as of August 31, 2017 | ||||||||||||
Morgan Stanley Capital I Trust, | ||||||||||||||||
Series 2007-IQ14, Class A1A, 5.665% due 4/15/49 | $ | — | $ | 10,988 | $ | (4,990 | ) | $ | — |
* | Includes Paydown transactions which are not recognized as a true sales. |
307
Notes to Financial Statements |
(continued) |
3. Investments
During the year ended August 31, 2017, the aggregate cost of purchases and proceeds from sales of investments (excluding short-term investments) for each Fund were as follows:
Investments | U.S. Government Agencies & Obligations | |||||||||||||||
Fund | Purchases | Sales | Purchases | Sales | ||||||||||||
Large Cap Equity Fund | $ | 292,777,819 | $ | 496,327,676 | $ | — | $ | — | ||||||||
Small-Mid Cap Equity Fund | 305,748,576 | 168,603,152 | — | — | ||||||||||||
International Equity Fund | 306,491,023 | 351,739,252 | — | — | ||||||||||||
Emerging Markets Equity Fund | 114,735,963 | 149,487,208 | — | — | ||||||||||||
Core Fixed Income Fund | 147,657,054 | 145,271,950 | 1,506,246,594 | 1,505,090,204 | ||||||||||||
High Yield Fund | 209,194,263 | 365,962,498 | — | — | ||||||||||||
International Fixed Income Fund | 101,256,464 | 103,642,196 | 366,417,024 | 382,302,709 | ||||||||||||
Municipal Bond Fund | 7,699,989 | 15,681,867 | — | — | ||||||||||||
Inflation-Linked Fixed Income Fund | 22,183,821 | 18,167,926 | 260,719,489 | 236,775,623 | ||||||||||||
Ultra-Short Term Fixed Income Fund | 169,762,195 | 95,459,125 | 85,997,137 | 66,821,633 |
The cost of investments for federal income tax purposes, gross unrealized appreciation and unrealized depreciation at August 31, 2017 have been disclosed under respective schedules of investments.
4. Shares of Beneficial Interest
At August 31, 2017, the Trust had an unlimited number of units of beneficial interest (shares) authorized with a par value of $0.001 per share. At August 31, 2017, Trustees and executive officers of the Trust as a group owned of record less than 1% of the outstanding shares of the Trust.
Transactions in shares of each Fund were as follows:
Year ended August 31, 2017 | Year ended August 31, 2016 | |||||||
Large Cap Equity Fund | ||||||||
Shares sold | 10,239,844 | 4,877,921 | ||||||
Shares issued on reinvestment | 3,438,631 | 18,527,397 | ||||||
Shares repurchased | (23,968,960 | ) | (56,108,836 | ) | ||||
Shares issued from reorganization | — | 67,349,198 | ||||||
|
|
|
| |||||
Net Increase (Decrease) | (10,290,485 | ) | 34,645,680 | |||||
|
|
|
| |||||
Small-Mid Cap Equity Fund | ||||||||
Shares sold | 12,490,360 | 9,809,644 | ||||||
Shares issued on reinvestment | 538,169 | 2,932,844 | ||||||
Shares repurchased | (5,822,094 | ) | (7,747,278 | ) | ||||
Shares issued from reorganization | — | 12,937,939 | ||||||
|
|
|
| |||||
Net Increase | 7,206,435 | 17,933,149 | ||||||
|
|
|
| |||||
International Equity Fund | ||||||||
Shares sold | 19,104,418 | 39,982,337 | ||||||
Shares issued on reinvestment | 2,848,674 | 1,835,484 | ||||||
Shares repurchased | (24,719,549 | ) | (48,415,840 | ) | ||||
|
|
|
| |||||
Net Decrease | (2,766,457 | ) | (6,598,019 | ) | ||||
|
|
|
|
308
Notes to Financial Statements |
(continued) |
Year ended August 31, 2017 | Year ended August 31, 2016 | |||||||
Emerging Markets Equity Fund | ||||||||
Shares sold | 5,307,615 | 10,381,452 | ||||||
Shares issued on reinvestment | 368,792 | 578,111 | ||||||
Shares repurchased | (8,488,492 | ) | (19,017,755 | ) | ||||
|
|
|
| |||||
Net Decrease | (2,812,085 | ) | (8,058,192 | ) | ||||
|
|
|
| |||||
Core Fixed Income Fund | ||||||||
Shares sold | 21,671,540 | 24,744,796 | ||||||
Shares issued on reinvestment | 3,247,125 | 3,338,003 | ||||||
Shares repurchased | (24,056,455 | ) | (46,711,235 | ) | ||||
|
|
|
| |||||
Net Increase (Decrease) | 862,210 | (18,628,436 | ) | |||||
|
|
|
| |||||
High Yield Fund | ||||||||
Shares sold | 11,119,443 | 38,015,916 | ||||||
Shares issued on reinvestment | 4,810,676 | 4,650,646 | ||||||
Shares repurchased | (57,107,868 | ) | (22,192,736 | ) | ||||
|
|
|
| |||||
Net Increase (Decrease) | (41,177,749 | ) | 20,473,826 | |||||
|
|
|
| |||||
International Fixed Income Fund | ||||||||
Shares sold | 3,704,785 | 6,460,124 | ||||||
Shares issued on reinvestment | 259,637 | 1,970,249 | ||||||
Shares repurchased | (9,561,088 | ) | (13,124,472 | ) | ||||
|
|
|
| |||||
Net Decrease | (5,596,666 | ) | (4,694,099 | ) | ||||
|
|
|
| |||||
Municipal Bond Fund | ||||||||
Shares sold | 862,126 | 1,858,467 | ||||||
Shares issued on reinvestment | 373,740 | 242,808 | ||||||
Shares repurchased | (2,026,878 | ) | (3,943,837 | ) | ||||
|
|
|
| |||||
Net Decrease | (791,012 | ) | (1,842,562 | ) | ||||
|
|
|
| |||||
Year ended August 31, 2017 | Period ended August 31, 2016* | |||||||
Inflation-Linked Fixed Income Fund | ||||||||
Shares sold | 6,445,325 | 16,725,951 | ||||||
Shares issued on reinvestment | 424,881 | 309,874 | ||||||
Shares repurchased | (3,525,171 | ) | (1,475,479 | ) | ||||
|
|
|
| |||||
Net Increase | 3,345,035 | 15,560,346 | ||||||
|
|
|
| |||||
Ultra-Short Term Fixed Income Fund | ||||||||
Shares sold | 15,328,794 | 17,727,847 | ||||||
Shares issued on reinvestment | 403,890 | 141,795 | ||||||
Shares repurchased | (4,365,657 | ) | (1,626,008 | ) | ||||
|
|
|
| |||||
Net Increase | 11,367,027 | 16,243,634 | ||||||
|
|
|
|
* | The values shown represent the period from Fund’s inception (March 8, 2016) through the period end August 31, 2016. |
309
Notes to Financial Statements |
(continued) |
5. Dividend and Tax Components of Capital
The tax character of distributions paid during the fiscal year ended August 31, 2017, were as follows:
Large Cap Equity Fund | Small-Mid Cap Equity Fund | International Equity Fund | Emerging Market Equity Fund | |||||||||||||
Distributions paid from: | ||||||||||||||||
Tax Exempt | $ | — | $ | — | $ | — | $ | — | ||||||||
Tax Return of Capital | — | — | — | — | ||||||||||||
Ordinary Income | 25,767,690 | 1,794,512 | 29,084,966 | 4,329,624 | ||||||||||||
Net Long-term Capital Gains | 31,555,579 | 7,827,960 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions Paid | $ | 57,323,269 | $ | 9,622,472 | $ | 29,084,966 | $ | 4,329,624 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Core Fixed Income Fund | High Yield Fund | Municipal Bond Fund | International Fixed Income Fund | |||||||||||||
Distributions paid from: | ||||||||||||||||
Tax Exempt | $ | — | $ | — | $ | 1,844,757 | $ | — | ||||||||
Tax Return of Capital | 1,776,320 | — | — | — | ||||||||||||
Ordinary Income | 21,792,387 | 18,440,615 | 80,869 | 1,952,470 | ||||||||||||
Net Long-term Capital Gains | 2,743,766 | — | 1,518,038 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Distributions Paid | $ | 26,312,473 | $ | 18,440,615 | $ | 3,443,664 | $ | 1,952,470 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Inflation-Linked Fixed Income Fund | Ultra-Short Term Fixed Income Fund | |||||||||||||||
Distributions paid from: |
| |||||||||||||||
Tax Exempt |
| $ | — | $ | — | |||||||||||
Tax Return of Capital |
| 1,102,534 | — | |||||||||||||
Ordinary Income |
| 3,109,582 | 4,042,585 | |||||||||||||
Net Long-term Capital Gains |
| 62,345 | — | |||||||||||||
|
|
|
| |||||||||||||
Total Distributions Paid |
| $ | 4,274,461 | $ | 4,042,585 | |||||||||||
|
|
|
|
As of August 31, 2017, the components of accumulated earnings on a tax basis were as follows:
Large Cap Equity Fund | Small-Mid Cap Equity Fund | International Equity Fund | Emerging Market Equity Fund | |||||||||||||
Undistributed ordinary income - net | $ | 11,338,969 | $ | 11,697,187 | $ | 21,730,062 | $ | 5,872,171 | ||||||||
Undistributed long-term capital gains - net | 57,775,794 | 12,977,136 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Undistributed earnings | 69,114,763 | 24,674,323 | 21,730,062 | 5,872,171 | ||||||||||||
Capital Loss Carryforward | — | — | (301,839,477 | ) | (51,447,000 | ) | ||||||||||
Current Year Late Year Loss Deferral | — | — | — | — | ||||||||||||
Other book/tax temporary differences | (15,409,978 | )(d) | (7,405,984 | )(e) | (21,012,460 | )(b) | (12,333,787 | )(c) | ||||||||
Unrealized appreciation (depreciation) | 468,064,472 | 98,121,290 | 202,185,711 | 121,392,409 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total accumulated earnings/(losses) - net | $ | 521,769,257 | $ | 115,389,629 | $ | (98,936,164 | ) | $ | 63,483,793 | |||||||
|
|
|
|
|
|
|
|
310
Notes to Financial Statements |
(continued) |
Core Fixed Income Fund | High Yield Fund | Municipal Bond Fund | International Fixed Income Fund | |||||||||||||
Undistributed ordinary income - net | $ | — | $ | 1,096,083 | $ | — | $ | 1,759,385 | ||||||||
Undistributed long-term capital gains - net | — | — | — | — | ||||||||||||
Undistributed Tax Exempt Income - net | — | — | 419,310 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Undistributed earnings | — | 1,096,083 | 419,310 | 1,759,385 | ||||||||||||
Capital Loss Carryforward | (33,186,691 | ) | (141,542 | ) | (5,902,592 | ) | ||||||||||
Current Year Late Year Loss Deferral | (4,958,705 | ) | — | |||||||||||||
Other book/tax temporary differences | (3,514,150 | )(g) | (1,075,966 | )(f) | (37 | ) | (3,060,427 | )(g) | ||||||||
Unrealized appreciation (depreciation) | 8,810,832 | 3,071,131 | 3,875,764 | 2,716,567 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total accumulated earnings/(losses) - net | $ | 337,977 | $ | (30,095,443 | ) | $ | 4,153,495 | $ | (4,487,067 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Inflation-Linked Fixed Income Fund | Ultra-Short Term Fixed Income Fund | |||||||||||||||
Undistributed ordinary income - net |
| $ | — | $ | 54,928 | |||||||||||
Undistributed long-term capital gains - net |
| — | — | |||||||||||||
|
|
|
| |||||||||||||
Total Undistributed earnings |
| — | 54,928 | |||||||||||||
Capital Loss Carryforward |
| — | (536,208 | ) | ||||||||||||
Current Year Late Year Loss Deferral |
| (597,038 | ) | — | ||||||||||||
Other book/tax temporary differences |
| (1,287,399 | )(g) | (1,242,004 | )(h) | |||||||||||
Unrealized appreciation (depreciation) |
| 3,368,978 | 1,137,360 | |||||||||||||
|
|
|
| |||||||||||||
Total accumulated earnings/(losses) - net |
| $ | 1,484,541 | $ | (585,924 | ) | ||||||||||
|
|
|
|
As of August 31, 2017, there were no significant differences between the book and tax components of net assets for Municipal Bond Fund.
(a) | The difference between book-basis and tax-basis unrealized appreciation (depreciation) is attributable primarily to the tax deferral of losses on wash sales. |
(b) | The difference between book-basis and tax-basis unrealized appreciation (depreciation) is attributable primarily to the tax deferral of losses on wash sales, tax cost adjustments related to partnerships and futures, the realization for tax purposes of unrealized gains on investments in passive foreign investment companies. |
(c) | The difference between book-basis and tax-basis unrealized appreciation (depreciation) is attributable primarily to the tax deferral of losses on wash sales, tax cost adjustments related to futures and forwards, and the realization for tax purposes of unrealized gains on investments in passive foreign investment companies. |
(d) | The difference between book-basis and tax-basis unrealized appreciation (depreciation) is attributable primarily to the tax deferral of losses on wash sales, tax cost adjustments related to ROC dividends received and real estate investments, partnerships and futures. |
(e) | The difference between book-basis and tax-basis unrealized appreciation (depreciation) is attributable primarily to the tax deferral of losses on wash sales, tax cost adjustments related to ROC dividends received and real estate investments, partnerships and futures and the realization for tax purposes of unrealized gains on investments in passive foreign investment companies. |
(f) | The difference between book-basis and tax-basis unrealized appreciation (depreciation) is attributable primarily to the tax deferral of losses on wash sales, tax cost adjustments related to partnerships, and the difference between book and tax amortization methods for premiums on fixed income securities. |
(g) | The difference between book-basis and tax-basis unrealized appreciation (depreciation) is attributable primarily to the tax deferral of losses on wash sales, tax cost adjustments related to forwards, futures and options, and the difference between book and tax amortization methods for premiums on fixed income securities. |
(h) | The difference between book-basis and tax-basis unrealized appreciation (depreciation) is attributable primarily to the tax deferral of losses on wash sales, tax cost adjustments related to forwards and futures, and the difference between book and tax amortization methods for premiums on fixed income securities. |
6. Capital Loss Carry Forward
Under the Regulated Investment Company Modernization Act of 2010 (the “Act”), the Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010, for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years. As a result of this, pre-enactment capital loss carryforwards may be more likely to expire unused.
311
Notes to Financial Statements |
(continued) |
As of August 31, 2017, the Funds had the following net capital loss carryforwards remaining:
Year of Expiration | Large Cap Equity Fund | Small-Mid Cap Equity Fund | International Equity Fund | Emerging Market Equity Fund | Core Fixed Income Fund | |||||||||||||||
8/31/2018 | $ | — | $ | — | $ | 234,746,051 | $ | — | $ | — | ||||||||||
Non-expiring: | ||||||||||||||||||||
Short-Term | — | — | 17,150,580 | 33,875,251 | — | |||||||||||||||
Long-Term | — | — | 49,942,846 | 17,571,749 | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | — | $ | — | $ | 301,839,477 | $ | 51,447,000 | $ | — | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Year of Expiration | High Yield Fund | Municipal Bond Fund | International Fixed Income Fund | Inflation-Linked Fixed Income Fund | Ultra-Short Term Fixed Income Fund | |||||||||||||||
8/31/2018 | $ | 5,672,191 | $ | — | $ | 4,292,447 | $ | — | $ | — | ||||||||||
Non-expiring: | ||||||||||||||||||||
Short-Term | 4,992,317 | 141,542 | 832,998 | — | 446,766 | |||||||||||||||
Long-Term | 22,522,183 | — | 777,147 | — | 89,442 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 33,186,691 | $ | 141,542 | $ | 5,902,592 | $ | — | $ | 536,208 | |||||||||||
|
|
|
|
|
|
|
|
|
|
7. Recent Accounting Pronouncement
In March 2017, the FASB issued ASU 2017-08, Receivables — Nonrefundable Fees and Other Costs (Subtopic 310-20), Premium Amortization on Purchased Callable Debt Securities (the “ASU”) which amends the amortization period for certain purchased callable debt securities held at a premium, shortening such period to the earliest call date. The ASU does not require any accounting change for debt securities held at a discount; the discount continues to be amortized to maturity. The ASU is effective for fiscal years, and interim periods within those fiscal years, beginning after December 15, 2018. At this time, management is evaluating the implications of these changes on the financial statements.
8. Reorganization
On October 6, 2015, the Board of Trustees of Large Capitalization Value Equity Fund and Large Capitalization Growth Fund approved the reorganization of Large Capitalization Value Equity Fund into Large Cap Equity Fund, pursuant to which Large Cap Equity Fund would continue as the surviving fund (the “Reorganization”). On February 5, 2016 (“Closing Date”), Large Capitalization Value Equity Fund was reorganized into Large Cap Equity Fund. The purpose of this transaction was to combine two funds with similar investment objectives and strategies.
This tax-free reorganization was accomplished by exchanging the assets and liabilities of Large Capitalization Value Equity Fund for shares of Large Cap Equity Fund. Shareowners holding shares of Large Capitalization Value Equity Fund received shares of Large Cap Equity Fund in the reorganization. The investment portfolio of Large Capitalization Value Equity Fund, with an aggregate value of $926,372,833 and an identified cost of $913,396,269 at February 5, 2016, was the principal asset acquired by Large Capitalization Growth Fund.
For financial reporting purposes, assets received and shares issued by the Large Cap Equity Fund were recorded at net asset value, however, the cost basis of the investments received from Large Capitalization Value Equity Fund was carried forward to align ongoing reporting of Large Cap Equity Fund’ realized and unrealized gains and losses with amounts distributable to shareowners for tax reporting purposes.
Large Capitalization Value Fund (Pre-Reorganization) | Large Capitalization Growth Fund (Pre-Reorganization) | Large Capitalization Growth Fund (Post-Reorganization) | ||||||||||
Net Assets | $ | 973,690,395 | $ | 913,232,958 | $ | 1,886,923,353 | ||||||
Shares Outstanding | 88,422,838 | 63,167,892 | 130,517,090 |
312
Notes to Financial Statements |
(continued) |
Exchange Ratio | Shares Issued In Reorganization | |||||||
0.7617 | 67,349,198 |
Unrealized Appreciation (Depreciation) on Closing Date | Accumulated Gain (Loss) on Closing Date | |||||||
Large Capitalization Value Fund | $ | 12,976,564 | $ | (144,954,736 | ) | |||
Large Capitalization Growth Fund | $ | 196,511,875 | $ | 335,434,156 |
Assuming the Reorganization had been completed on September 1, 2015, the beginning of the Fund’s current fiscal period, the pro forma results of operations for the year ended August 31, 2016, are as follows:
Net investment income (loss) | $ | 26,590,469 | ||
Net realized and unrealized loss | 70,789,807 | |||
|
| |||
Decrease in net assets from operations | $ | 97,380,276 |
On October 6, 2015, the Board of Trustees of Small Capitalization Value Equity Fund and Small Capitalization Growth Fund approved the reorganization of Small Capitalization Value Equity Fund into Small-Mid Cap Equity Fund, pursuant to which Small-Mid Cap Equity Fund would continue as the surviving fund (the “Reorganization”). On February 5, 2016 (“Closing Date”), Small Capitalization Value Equity Fund was reorganized into Small-Mid Cap Equity Fund. The purpose of this transaction was to combine two funds with similar investment objectives and strategies.
This tax-free reorganization was accomplished by exchanging the assets and liabilities of Small Capitalization Value Equity Fund for shares of Small-Mid Cap Equity Fund. Shareowners holding shares of Small Capitalization Value Equity Fund received shares of Small-Mid Cap Equity Fund in the reorganization. The investment portfolio of Small Capitalization Value Equity Fund, with an aggregate value of $175,768,641 and an identified cost of $178,133,527 at February 5, 2016, was the principal asset acquired by Small Capitalization Growth Fund.
For financial reporting purposes, assets received and shares issued by the Small-Mid Cap Equity Fund were recorded at net asset value, however, the cost basis of the investments received from Small Capitalization Value Equity Fund was carried forward to align ongoing reporting of Small-Mid Cap Equity Fund realized and unrealized gains and losses with amounts distributable to shareowners for tax reporting purposes.
Small Capitalization Value Fund (Pre-Reorganization) | Small Capitalization Growth Fund (Pre-Reorganization) | Small Capitalization Growth Fund (Post-Reorganization) | ||||||||||
Net Assets | $ | 187,304,118 | $ | 174,076,542 | $ | 361,380,660 | ||||||
Shares Outstanding | 19,634,932 | 12,024,251 | 24,962,190 |
Exchange Ratio | Shares Issued In Reorganization | |||||||
0.6589 | 12,937,939 |
Unrealized Appreciation (Depreciation) on Closing Date | Accumulated Gain (Loss) on Closing Date | |||||||
Small Capitalization Value Fund | $ | (2,364,886 | ) | $ | 26,692,117 | |||
Small Capitalization Growth Fund | $ | (3,715,701 | ) | $ | 47,577,318 |
313
Notes to Financial Statements |
(continued) |
Assuming the Reorganization had been completed on September 1, 2015, the beginning of the Fund’s current fiscal period, the pro forma results of operations for the year ended August 31, 2016, are as follows:
Net investment income (loss) | $ | 1,927,010 | ||
Net realized and unrealized loss | 3,319,796 | |||
|
| |||
Decrease in net assets from operations | $ | 5,246,806 |
9. Subsequent Events
Management has evaluated subsequent events after the balance sheet date through the date that the financial statements were issued and has not identified any additional events or transactions that would require recognition or disclosure in the financial statements other than the distribution information below.
Subsequent to August 31, 2017, the Funds made the following distributions:
Record Date Payable Date | Core Fixed Income Fund | High Yield Fund | Municipal Bond Fund | Inflation-Linked Fixed Income Fund | Ultra-Short Term Fixed Income Fund | |||||||||||||||
9/01/17-9/30/17 | $ | 0.018069 | $ | 0.017285 | $ | 0.019648 | $ | 0.001286 | $ | 0.015081 |
314
Report of Independent Registered Public Accounting Firm |
To the Board of Trustees and Shareholders of
Consulting Group Capital Markets Funds:
We have audited the accompanying statements of assets and liabilities, including the schedules of investments of Large Cap Equity Fund, Small-Mid Cap Equity Fund, International Equity Fund, Emerging Markets Equity Fund, Core Fixed Income Fund, High Yield Fund, International Fixed Income Fund, and Municipal Bond Fund, as of August 31, 2017, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the statement of cash flows for International Fixed Income Fund for the year then ended, and the financial highlights for each of the five years in the period then ended. We have audited the accompanying statements of assets and liabilities, including the schedules of investments of Inflation-Linked Fixed Income Fund and Ultra-Short Term Fixed Income Fund as of August 31, 2017, and the related statements of operations for the year then ended, the statement of cash flows for Inflation-Linked Fixed Income Fund for the year then ended, the statements of changes in net assets and financial highlights for the year then ended and for the period from March 8, 2016 (commencement of operation) to August 31, 2016. Each of the funds comprise the Consulting Group Capital Markets Funds (collectively the “Funds”). These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of August 31, 2017, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the Funds constituting the Consulting Group Capital Markets Funds as of August 31, 2017, the results of their operations, the changes in their net assets, the cash flows for International Fixed Income Fund and Inflation-Linked Fixed Income Fund, and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America.
DELOITTE & TOUCHE LLP
Boston, Massachusetts
October 30, 2017
315
Board Approval of Management Agreement and Investment Advisory Agreements |
(unaudited) |
Approval of Management Agreement and Subadvisory Agreements
The Consulting Group Capital Markets Funds (“Trust” and, each series thereof a “Fund”) and Consulting Group Advisory Services LLC (“Manager”), a business of Morgan Stanley LLC, have entered into an investment management agreement (“Management Agreement”). Pursuant to the Management Agreement, the Manager serves as “manager of managers” for the Trust and selects and oversees professional money managers (each, a “Sub-adviser” and collectively, the “Sub-advisers”) who are responsible for investing the portion of assets of the Funds allocated to them pursuant to investment advisory agreements (the “Subadvisory Agreements” and, together with the Management Agreement, the “Agreements”) between the Manager and each of the Sub-advisers.
The Investment Company Act of 1940, as amended (the “1940 Act”), requires that the Agreements be approved initially, as well as annually thereafter, by the Trust’s Board of Trustees (“Board”) and by a majority of the Trustees who are not “interested persons” (as defined in the 1940 Act) of any party to the Agreements (“Independent Trustees”), by vote cast in person at a meeting called for the purpose of voting on such approval. In connection with their consideration of the approval of the Agreements, the Independent Trustees must request and evaluate such information as may reasonably be necessary to make a reasonable business judgment with respect to the approval of the Agreements, and the Manager and Sub-advisers are required to provide such information.
At an in-person meeting held on May 24-25, 2017, the Board, including a majority of the Independent Trustees, approved the continuance of the Agreements for an annual period. Both in connection with the meeting specifically held to address the continuance of the Agreements and at other meetings during the course of the year, the Independent Trustees requested and received information from the Manager and the Sub-advisers that they deemed reasonably necessary for their review of the Agreements and the performance of the Manager and Sub-advisers under the Agreements. The Independent Trustees were assisted in their review by Fund counsel and independent legal counsel (“Independent Counsel”) and met with Independent Counsel in executive sessions separate from representatives of the Manager and the Sub-advisers. In addition to the Management Agreement, the Board approved at the meeting the Subadvisory Agreements with the following Sub-advisers on behalf of the indicated Fund to continue for another year:
Sub-adviser Name | Fund(s) | |
BlackRock Financial Management, Inc. | ¨ Core Fixed Income Fund | |
Causeway Capital Management LLC | ¨ International Equity Fund | |
Frontier Capital Management Co., LLC | ¨ Small-Mid Cap Equity Fund | |
Lazard Asset Management LLC | ¨ Emerging Markets Equity Fund | |
McDonnell Investment Management, LLC | ¨ Municipal Bond Fund | |
Metropolitan West Asset Management LLC | ¨ Core Fixed Income Fund | |
OppenheimerFunds, Inc. | ¨ International Equity Fund | |
Pacific Investment Management Company LLC | ¨ International Fixed Income Fund | |
Rutabaga Capital Management LLC | ¨ Small-Mid Cap Equity Fund | |
Schroder Investment Management North America Inc. | ¨ International Equity Fund | |
Western Asset Management Company | ¨ Core Fixed Income Fund ¨ High Yield Fund | |
Westfield Capital Management Co., L.P. | ¨ Small-Mid Cap Equity Fund |
316
Board Approval of Management Agreement and Investment Advisory Agreements |
(unaudited) (continued) |
At meetings held prior to May 24-25, 2017, the Board, including a majority of the Independent Trustees, approved for an initial two-year period, which has not expired, the Subadvisory Agreements with the following Sub-advisers on behalf of the indicated Fund:
Sub-adviser Name | Fund(s) | |
BlackRock Financial Management, Inc. | ¨ Large Cap Equity Fund ¨ Small-Mid Cap Equity Fund ¨ International Equity Fund ¨ Emerging Markets Equity Fund | |
Columbia Management Investment Advisers | ¨ Large Cap Equity Fund | |
Delaware Investments Fund Advisers | ¨ Large Cap Equity Fund | |
Eaton Vance Managers | ¨ High Yield Fund | |
Hahn Capital Management, LLC | ¨ Small-Mid Cap Equity Fund | |
Lazard Asset Management LLC | ¨ Large Cap Equity Fund | |
Lyrical Asset Management | ¨ Large Cap Equity Fund | |
Neuberger Berman LLC | ¨ Small-Mid Cap Equity Fund | |
Pacific Investment Management Company LLC | ¨ Inflation-Linked Fixed Income Fund ¨ Ultra-Short Fixed Income Fund | |
Van Eck Associates Corporation | ¨ Emerging Markets Equity Fund | |
Wedgewood Partners, Inc. | ¨ Large Cap Equity Fund |
In voting to approve the Agreements at the May 24-25, 2017 meeting, the Independent Trustees considered whether the approval of the Agreements would be in the best interests of the respective Fund and its shareholders, an evaluation based on several factors including those discussed below.
Nature, Extent and Quality of the Services Provided Under the Agreements
The Board received and considered information regarding the nature, extent and quality of services provided to the Funds by the Manager and the Sub-advisers under the Management Agreement and the Subadvisory Agreements, respectively, during the meeting and during the past year, as applicable. The Independent Trustees considered information regarding the process by which the Manager selected and recommended the Sub-advisers for Board approval and the Manager’s supervisory activities over the Sub-advisers. The Independent Trustees noted that the Manager monitors and evaluates the performance of each Fund’s Sub-advisers, including the Sub-advisers’ compliance with the investment objective, policies, and restrictions of the relevant Fund. The Board also received a description of the administrative and other services rendered to the Trust and its shareholders during the past year. The Board noted information received at regular meetings throughout the year related to the services rendered by the Manager about the management of the Trust’s affairs and its role in coordinating the activities of the Sub-advisers and the Trust’s other service providers. The Board considered each Sub-adviser’s specific responsibilities in all aspects of the day-to-day management of the portion of the respective Fund’s assets allocated to it, as well as the qualifications, experience and responsibilities of the persons serving as the portfolio managers for the segment of the Fund’s assets managed by the respective Sub-adviser, and other key personnel at the Sub-adviser. The Board specifically took into account each Sub-adviser’s investment process and capabilities, evaluating, if applicable, how the Sub-adviser complemented each of the other Sub-advisers, if any, to the respective Fund.
The Independent Trustees also discussed the acceptability of the terms of the Sub-Advisory Agreements. The Independent Trustees considered the Manager’s favorable assessment of the nature and quality of the sub-advisory services provided to the Funds by the Sub-advisers. The Board also reviewed information received from the Manager and the Trust’s Chief Compliance Officer regarding the Trust’s compliance policies and procedures established pursuant to Rule 38a-1 under the 1940 Act and those of each Sub-adviser.
317
Board Approval of Management Agreement and Investment Advisory Agreements |
(unaudited) (continued) |
During the course of the year and at the meeting, the Board reviewed the qualifications, backgrounds and responsibilities of the Trust’s senior personnel and the portfolio management team primarily responsible for the management of the Funds and the selection and evaluation of Sub-Advisers. The Board also considered the Manager’s and the Sub-advisers’ brokerage policies and practices, transaction execution standards, policies and practices regarding soft dollars, and quality controls applicable to brokerage allocation procedures.
The Board concluded that, overall, the nature, extent and quality of services provided (and expected to be provided) under the Management Agreement and the Subadvisory Agreements were adequate and appropriate.
Fund Performance
As to each Fund, the Board received and considered performance information provided by Broadridge, an independent provider of investment company data, for the Fund and for all retail and institutional funds, regardless of asset size or primary channel of distribution, in the Fund’s Lipper category (the “Performance Universe”). As to each Fund, the Board was provided with a description of the methodology Lipper used to determine the similarity of the Funds with the funds included in the Performance Universe. The Board also noted that it had received and discussed with advisory personnel of the Trust at periodic intervals throughout the year information on the investment performance of each Fund in comparison to similar mutual funds and benchmark performance indices. In addition, as to each Sub-adviser, the Board received and considered performance information provided by the Manager for the Sub-adviser managing the portion of the respective Fund’s assets allocated to it. The information comparing each Fund’s performance to that of its Performance Universe was for the one-, three-, five- and ten-year periods ended March 31, 2017.
The Board noted that each of the Core Fixed Income Fund and the International Fixed Income Fund performed better than the median performance of the funds in their respective Performance Universe for each period, and were ranked in the first quintile of the Performance Universe for the ten-year and the three- and five-year periods, respectively. The Board further noted that the High Yield Fund performed better than the median performance of the funds in its Performance Universe for the one-year period, but that the Fund performed at or below the median performance of the funds in the Performance Universe for the remaining periods. It was noted that a portion of the High Yield Fund’s assets had been transitioned to a recently appointed Sub-Adviser and that the continuing Sub-Adviser’s performance was better than the median performance of the funds in the Performance Universe for the one- and five-year periods. With respect to the Inflation-Linked Fixed Income Fund and the Ultra-Short Term Fixed Income Fund, the Board noted that each Fund performed better than the median performance of the funds in their respective Performance Universe for the one-year period. The Manager noted that performance information for the Inflation-Linked Fixed Income Fund and the Ultra-Short Term Fixed Income Funds was unavailable for the three and five-year periods because the Funds commenced operations on March 8, 2016. Based on its review, as to each Fund, the Board was generally satisfied with the overall performance of the fixed-income Funds and each Sub-Adviser for the Funds. In addition, the Board noted that the Municipal Bond Fund performed below the median performance of the funds in its Performance Universe for each period, and discussed with representatives of management the portfolio management strategy of the Fund’s Sub-Adviser. Based on its review, as to the Municipal Bond Fund, the Board was generally satisfied with the portfolio management strategy of the Fund’s Sub-Adviser.
The Board noted that the Large Cap Equity Fund performed at or better than the median performance of the funds in the Performance Universe for each period. The Board further noted that the Small-Mid Cap Equity Fund performed below the median performance of the funds in its Performance Universe for each period. The Board noted that each of the Large Cap Equity Fund and the Small-Mid Cap Equity Fund had undergone a merger with another series of the Trust in February 2016 and that the Manager had implemented changes to the portfolio management strategy of each Fund at that time and thereafter. Based on its review, as to each of the Large Cap Equity Fund and the Small-Mid Cap Equity Fund, the Board was generally satisfied with the portfolio management strategy changes and with the performance of the new Sub-Advisers for the Funds and, with respect to the Small-Mid Cap Equity Fund, the Fund’s continuing Sub-Advisers whose Subadvisory Agreements were under review.
The Board noted that the International Equity Fund performed below the median performance of the funds in its Performance Universe for each period. The Board further noted that the Manager had recently implemented changes to the portfolio management strategy of the Fund. Based on its review, as to the International Equity Fund, the Board was generally satisfied with the portfolio management strategy changes and with the performance of the Fund’s continuing Sub-Advisers whose Subadvisory Agreements were under review. With respect to the Emerging Markets Equity Fund, the Board noted that the Fund performed
318
Board Approval of Management Agreement and Investment Advisory Agreements |
(unaudited) (continued) |
better than the median performance of the funds in its Performance Universe for the one- and three-year periods, but that the Fund performed below the median performance of the funds in the Performance Universe for the five- and ten-year periods. The Board further noted that the Manager had recently implemented changes to the portfolio management strategy of the Fund. Based on its review, as to the Emerging Markets Equity Fund, the Board was generally satisfied with the portfolio management strategy changes and with the performance of the Fund’s continuing Sub-Advisers whose Subadvisory Agreements were under review.
The Trustees determined to continue to evaluate the Funds’ performance and that of their respective Sub-Advisers, and to continue to periodically review Fund performance with the Manager.
Management Fees and Expense Ratios
As to each Fund, the Board reviewed and considered the contractual management fees (“Contractual Management Fees”) payable by the Fund to the Manager in light of the nature, extent and quality of the management and subadvisory services provided by the Manager and the Sub-advisers, respectively. The Board also reviewed and considered whether fee waiver and/or expense reimbursement arrangements are currently in place for a Fund and considered the actual fee rate (after taking any such waivers and reimbursements into account) (“Actual Management Fee”) and whether any fee waivers and expense reimbursements could be discontinued. The Board noted that the compensation paid to the Sub-advisers is paid by the Manager, not the Funds, and, accordingly, that the retention of the Sub-advisers does not increase the fees or expenses otherwise incurred by the Fund and its shareholders. The Board also reviewed with management the scope of services provided to the Fund by the Manager, noting that the Funds are provided with regulatory compliance services, office facilities and Trust officers (including the Trust’s chief financial, chief legal and chief compliance officers), and that the Manager coordinates and oversees the provision of services to each Fund by other fund service providers, including the Sub-Advisers. The Board also considered and discussed information about the Sub-advisers’ fees and comparable information for other subadvised funds and accounts managed by the Sub-advisers.
Additionally, the Board received and considered information comparing each Funds’ Contractual Management Fees and Actual Management Fees and the Fund’s actual total expenses with those of a group of funds selected by Lipper as comparable to the particular Fund (the “Expense Group”) and a broader group of retail no-load funds selected by Broadridge (the “Expense Universe”). It was noted that the fee and expense information was as of the Funds’ fiscal year end and, thus, some of the Funds have a different fee structure due to the implementation of a leveling management fee structure put into effect in January 2017 than that reflected in the Broadridge materials. The information reviewed showed that the Contractual and Actual Management Fees of the Large Cap Equity Fund, the Small-Mid Cap Equity Fund, the International Equity Fund, the Emerging Markets Equity Fund, the Core Fixed Income Fund and the Municipal Bond Fund were lower than the median Contractual and Actual Management Fees for the funds in the applicable Expense Group, and that the Actual Management Fees were lower than the average Actual Management Fees for the funds in the applicable Expense Universe for each of these Funds, except the Core Fixed Income Fund whose Actual Management Fee was slightly higher than the average Actual Management Fees for the funds in its Expense Universe. For the International Fixed Income Fund, the information reviewed showed that the Contractual Management Fee of the Fund was lower than the median Contractual Management Fees for the funds in its Expense Group and that the Fund’s Actual Management Fee was at the median Actual Management Fees and lower than the average Actual Management Fees for the funds in its Expense Group and Expense Universe, respectively. With respect to the High Yield Fund, the information reviewed showed that the Contractual and Actual Management Fees of the Fund were higher than the median Contractual and Actual Management Fees for the funds in its Expense Group, but that the Fund’s Actual Management Fee was slightly lower than the average Actual Management Fees for the funds in its Expense Universe. The information reviewed also showed that the Contractual and Actual Management Fees of the Inflation-Linked Fixed Income Fund and the Ultra-Short Term Fixed Income Fund were higher than the median Contractual and Actual Management Fees for the funds in the applicable Expense Group, and that the Actual Management Fees were higher than the average Actual Management Fees for the funds in the applicable Expense Universe. It was noted that for each of the Inflation-Linked Fixed Income Fund and the Ultra-Short Term Fixed Income Fund, the management fee was appropriate given the respective Fund’s investment strategy versus that of the funds in its Expense Group. The Independent Trustees also noted that the Broadridge expense information showed that each Fund’s actual total expense ratio, except that of the Inflation-Linked Fixed Income Fund and the Ultra-Short Term Fixed Income Fund, was lower than or, with respect to the Municipal Bond Fund, at the median expense ratio of the funds in its respective Expense Group.
319
Board Approval of Management Agreement and Investment Advisory Agreements |
(unaudited) (continued) |
The Board determined that, as to each Fund, the management fee paid by the Fund to the Manager and the sub-advisory fees paid by the Manager to the Sub-advisers were reasonable in light of comparative performance and expense information and the nature, extent and quality of the services provided to the Fund under the Agreements.
Manager Profitability
The Board received and considered a profitability analysis of the Manager and its affiliates in providing services to the Funds. In addition, the Board received information with respect to the Manager’s allocation methodologies used in preparing this profitability data. To the extent available, the Board also reviewed information provided by the Sub-advisers with respect to the relevant Sub-adviser’s profitability in providing subadvisory services to the Funds. The Board also noted the profitability percentage ranges determined by appropriate court cases to be reasonable given the services rendered to investment companies. As to each Fund, the Board determined that the Manager’s profitability was not excessive in light of the nature, extent and quality of the services provided to the Fund.
Economies of Scale
As to each Fund, the Board considered information regarding whether there have been economies of scale with respect to the management of the Fund, whether the Fund has appropriately benefited from any economies of scale and whether there is potential for realization of any further economies of scale. The Board considered the various ways economies of scale could be realized and shared with Fund investors, and whether economies of scale in the provision of services to the Fund were being passed along to the shareholders. As to each Fund, the Board also noted that to the extent the Fund’s assets increase over time, the Fund and its shareholders should realize economics of scale as certain expenses, such as fixed fund fees, become a smaller percentage of overall assets. The Board noted that it appeared that the benefits of any economies of scale also would be appropriately shared with shareholders through increased investment in fund management resources.
Other Benefits to the Manager and the Sub-advisers
As to each Fund, the Board considered other benefits received by the Manager, the Sub-advisers and their affiliates as a result of their relationship with the Funds, including soft dollar arrangements, receipt of brokerage and the opportunity to offer additional products and services to Fund shareholders.
In light of the Manager’s costs of providing investment management and other services to the Funds and the Manager’s ongoing commitment to the Funds and each Sub-adviser’s day-to-day management of the portion of the respective Fund’s assets allocated to it, the profits and ancillary benefits that the Manager, the Sub-advisers and their affiliates received were considered reasonable.
Based on their discussions and considerations, including those described above, the Board approved the Management Agreement and the Subadvisory Agreements to continue for another year. No single factor reviewed by the Board was identified by the Board as the principal factor in determining whether to approve the Management Agreement and the Subadvisory Agreements.
320
Additional Information |
(unaudited) |
Trustees and Officers of the Trust
The Trust’s Board of Trustees (“Board” or “Trustees”) is responsible for overseeing the Trust’s management and operations. The Board approves all significant agreements between the Trust and the companies that furnish services to the Funds, including agreements with the Trust’s distributor, Sub-advisers, custodian, transfer agent and administrator. The Board elects officers who are responsible for the day-to-day operations of the Trust and the Funds and who execute policies authorized by the Board.
Consulting Group Advisory Services LLC (“CGAS” or “Manager”), a business of Morgan Stanley LLC (“Morgan Stanley”), serves as the investment adviser for each Fund. The Funds employ a “multi-manager” strategy. The Manager selects and oversees professional money managers (each a “Sub-adviser”) who are responsible for investing the assets of the Funds allocated to them. In addition to investment management services, the Manager monitors and supervises the services provided to the Trust by its administrator. The Manager also is responsible for conducting all operations of the Trust, except those operations contracted to the Sub-advisers, the custodian, the transfer agent and the administrator.
The names of the Trustees and officers of the Trust, their addresses and years of birth, together with information as to their principal business occupations and, for the Trustees, other board memberships they have held during the past five years, are set forth below. The executive officers of the Trust are employees of organizations that provide services to the Funds.
Name, Address and | Position(s) | Term of Office | Principal Occupation(s) | Number of Funds in Fund Complex Overseen by Trustee | Other Board | |||||||
INDEPENDENT TRUSTEES | ||||||||||||
John J. Murphy Murphy Capital Management, Inc. 268 Main Street Gladstone, NJ 07934 Birth Year: 1944 | Chairman and Trustee | Since 2002 (Chairman since 2010) | Founder and President, Murphy Capital Management (Investment Management) (August 2017-present); Founder and Senior Principal, Murphy Capital Management (investment management) (1983-July 2017) | 10 | Trustee, Legg Mason Partners Equity Trust (2007-present); Trustee, UBS Funds (2009-present); and formerly Director, Fort Dearborn Income Securities (2013-May 2016) | |||||||
Adela Cepeda PFM Financial Advisors LLC 222 N. LaSalle Street, Suite 910 Chicago, IL 60601 Birth Year: 1958 | Trustee | Since 2008 | Managing Director, PFM Financial Advisors, LLC (September 2016-present); President, A.C. Advisory, Inc. (1995-September 2016) | 10 | Director, BMO Financial Corp. (2012-present); Trustee, Mercer Funds (2005-present); Trustee, UBS Funds (2004-present); formerly Director, Fort Dearborn Income Securities (2000-August 2016); formerly Director, Amalgamated Bank of Chicago (2003-2012); and formerly Director, Municipal Securities Rulemaking Board (2010-2012) |
321
Additional Information |
(unaudited) (continued) |
Name, Address and | Position(s) | Term of Office | Principal Occupation(s) | Number of Funds in Fund Complex Overseen by Trustee | Other Board | |||||||
W. Thomas Matthews 149 Laurel Ridge Circle Aiken, SC 29803 Birth Year: 1949 | Trustee | Since 2009 (Interested Trustee from 2006-2009) | Retired; Advisor, Smith Barney (2005-2007) | 10 | Formerly Treasurer, Congressional Medal of Honor Foundation (2009-2016), formerly Chairman (2005-2009); and formerly Chairman, America’s Warrior Partnership (2013-2017), | |||||||
Mark J. Reed North American Management 1 North Brentwood Blvd., Suite 1510 St. Louis, MO 63105 Birth Year: 1964 | Trustee | Since 2007 | Principal and Portfolio Manager, North American Management Corp. (2013-present); and Managing Director and Chief Compliance Officer, Bush O’Donnell Investment Advisors, Inc. (1988-2013) | 10 | None | |||||||
Eric T. McKissack, CFA® Channing Capital Management, LLC 10 S. LaSalle Street, Suite 2401 Chicago, IL 60603 Birth Year: 1953 | Trustee | Since 2013 | Founder and Chief Executive Officer, Channing Capital Management, LLC (investment management) (2004-present) | 10 | Trustee and Chairman, FlexShares Funds (2011-present); Trustee, The Art Institute of Chicago (2001-present); Director, Shirley Ryan AbilityLab (2000-present); Director, Urban Gateways (1995-present); and formerly Director, ICMA Retirement Corp. (2005-2012) | |||||||
INTERESTED TRUSTEE | ||||||||||||
Paul Ricciardelli** Morgan Stanley 522 Fifth Avenue, 14th Floor, New York, NY 10036 Birth Year: 1969 | Trustee and Chief Executive Officer and President | Since April 2017 | Head of IAR/GIMA, Morgan Stanley (2011-present); Head of Wealth Advisory Solutions, Morgan Stanley (March 2017-present); formerly, Head of Manager Solutions, Morgan Stanley (2015-March 2017) | 10 | None |
322
Additional Information |
(unaudited) (continued) |
Name, Address and | Position(s) | Term of Office*** | Principal Occupation(s) During Past Five Years | |||
OFFICERS | ||||||
Francis Smith Morgan Stanley 522 Fifth Avenue, 4th Floor New York, NY 10036 Birth Year: 1965 | Chief Financial Officer (“CFO”) and Treasurer | Since 2014 | Managing Director, Morgan Stanley (2017-present); formerly Executive Director, Morgan Stanley (2001-2016); and Treasurer and Principal Financial Officer of various Morgan Stanley Funds (2003-present) | |||
Eric Metallo Morgan Stanley 1633 Broadway, 26th Floor New York, NY 10019 Birth Year: 1976 | Chief Legal Officer and Secretary | Since August 2015 | Executive Director, Morgan Stanley Wealth Management (2014-present); formerly Senior Vice President and Associate General Counsel, PineBridge Investments (2011-2014); and formerly Corporate Counsel, Franklin Templeton Investments (2006-2011) | |||
Timothy Hansen Morgan Stanley 1 New York Plaza, 21st Floor New York, NY 10004 Birth Year: 1965 | Interim Chief Compliance Officer | Since August 2017 | Compliance Officer, Morgan Stanley Smith Barney LLC (2011-present); Compliance Officer, Consulting Group Advisory Services (2011-present); and Compliance Officer, Morgan Stanley Smith Barney Ventures Services (2011-present) | |||
Sara Cetron Morgan Stanley 200 Westchester Avenue Purchase, NY 10577 Birth Year: 1980 | Chief Administrative Officer | Since March 2017 | Vice President, Morgan Stanley (2015-present); and formerly Platform Management, Managed Solutions, Barclays Capital Inc. (2008-2015) | |||
Robert Garcia Morgan Stanley 522 Fifth Avenue, 12th Floor New York, NY 10036 Birth Year: 1983 | Chief Operating Officer
Investment Officer
Co-Chief Operating Officer | Since May 2016
Since July 2015
August 2015-May 2016 | Head of Operations and Strategy, Morgan Stanley (May 2017-present); formerly Head of Portfolio Operations-WMIR, Morgan Stanley (2016-May 2017); Head of Packaged Digital Solutions, Morgan Stanley (2015-present); formerly Head of Strategy and Development- Global Investment Solutions, Morgan Stanley (2013-2015); and formerly Overlay Portfolio Manager, Morgan Stanley (2009-2013) | |||
Franceen Jansen Morgan Stanley 522 Fifth Avenue, 12th Floor New York, NY 10036 Birth Year: 1959 | Investment Officer | Since August 2015 | Executive Director, Morgan Stanley (2010-present) |
323
Additional Information |
(unaudited) (continued) |
Name, Address and | Position(s) | Term of Office*** | Principal Occupation(s) During Past Five Years | |||
Brian Mulley Morgan Stanley 522 Fifth Avenue, 11th Floor New York, NY 10036 Birth Year: 1977 | Investment Officer | Since August 2015 | Investment Analyst, Executive Director, Morgan Stanley (2005-present) | |||
Matthew Rizzo Morgan Stanley Delaware Corporate Center II 2 Righter Parkway, 3rd Floor Wilmington, DE 19803 Birth Year: 1970 | Investment Officer | Since August 2015 | Executive Director, Manager Solutions, Morgan Stanley (2015- present); formerly Head of Investment Strategy and Content, Morgan Stanley (2012-2015); and formerly Senior Analyst, Morgan Stanley Smith Barney (2006-2012) | |||
Sukru Saman Morgan Stanley 522 5th Avenue, 14th Floor New York, NY 10036 Birth Year: 1972 | Investment Officer | Since August 2015 | Investment Officer, Morgan Stanley Wealth Management (2013-present); and formerly Due Diligence Analyst, Morgan Stanley Wealth Management (2009-2013) | |||
Lisa Shalett Morgan Stanley 522 Fifth Avenue, 12th Floor New York, NY 10036 Birth Year: 1963 | Investment Officer | Since August 2015 | Head of Investment and Portfolio Strategies, Morgan Stanley (2013-present); formerly Chief Investment Officer, Bank of America/Merrill Lynch (2011-2013); and formerly Head of Alliance Growth Equities, Alliance Bernstein (1995-2010) | |||
Anthony Scaturro Morgan Stanley 1633 Broadway, 27th Floor New York, NY 10019 Birth Year: 1974 | Anti-Money Laundering (“AML”) Compliance Officer | Since August 2015 | AML Compliance Officer, Morgan Stanley (2014-present); and formerly Field Compliance Officer, Morgan Stanley (2009-2014) | |||
James J. Tracy Morgan Stanley 2000 Westchester Avenue Purchase, NY 10577 Birth Year: 1957 | Product Management Officer
Trustee
Chief Executive Officer and President | Since May 2016
2013-2015
2013-2015 | Managing Director, Director of Consulting Group and Practice Management (2016-present); Managing Director, Vice Chairman of Wealth Management (2015); formerly Managing Director, Director of Consulting Group Wealth Advisory Solutions (2012-2015); and formerly Managing Director, Director of National Sales and Business Development, Morgan Stanley (2011-2012) |
324
Additional Information |
(unaudited) (continued) |
Name, Address and | Position(s) | Term of Office*** | Principal Occupation(s) During Past Five Years | |||
Katen Rubeo Morgan Stanley 2000 Westchester Avenue Purchase, NY 10577 Birth Year: 1983 | Product Management Officer | Since May 2016 | Head of Strategic Initiatives for Consulting Group and Practice Management, Morgan Stanley (2016-Present); formerly Head of Business Control for Consulting Group, Morgan Stanley (2015-2016); and formerly Head of Consulting Group Advisor, Morgan Stanley (2011-2015) | |||
Steven Ross Morgan Stanley 522 Fifth Avenue, 4th Floor New York, NY 10036 Birth Year: 1971 | Assistant Treasurer | Since 2014 | Executive Director, Morgan Stanley (2013-present); and formerly Vice President, Morgan Stanley (2005-2013) | |||
Robert Creaney Morgan Stanley One Financial Place 440 South LaSalle Street 39th Floor Chicago, IL 60605 Birth Year: 1974 | Assistant Treasurer | Since 2014 | Executive Director, Morgan Stanley (1997-present) | |||
Michael Conklin Morgan Stanley One Financial Place 440 South LaSalle Street 39th Floor Chicago, IL 60605 Birth Year: 1977 | Assistant Treasurer | Since 2014 | Vice President, Morgan Stanley (2013-present); and formerly Vice President, First Trust Portfolios (2009-2013) | |||
Suzan M. Barron Brown Brothers Harriman & Co. (“BBH&Co.”) 50 Post Office Square Boston, MA 02110 Birth Year: 1964 | Assistant Secretary | Since 2011 | Practice Lead for Portfolio Compliance, Fund Administration, BBH&Co. (2015-present); Senior Vice President and Senior Investor Services Counsel, Corporate Secretary and Regulatory Support Practice of Fund Administration, BBH&Co. (2005-present) |
* | Each Trustee remains in office until he or she resigns, retires or is removed. |
** | Mr. Ricciardelli is an “interested person” of the Trust as defined in the 1940 Act because of his position with Morgan Stanley. |
*** | The President, Treasurer and Secretary hold office until their respective successors are chosen and qualified or until he or she sooner dies, resigns, is removed or becomes disqualified. Each of the other officers serves at the pleasure of the Board. |
Board Composition and Leadership Structure
Currently, five of the six Trustees on the Board (83%) are not “interested persons” (as defined in the 1940 Act) of the Trust and as such are not affiliated with the Manager or any Sub-adviser (“Independent Trustees”). The Board has appointed Mr. Murphy, an Independent Trustee, to serve as Chairman of the Board. There are two primary committees of the Board: the Audit Committee and the Corporate Governance and Nominating Committee. Each Committee is chaired by an Independent Trustee and comprised solely of Independent Trustees. The Board has determined that this leadership structure is appropriate given the specific characteristics and circumstances of the Trust and in light of the services that the Manager and its affiliates and the Sub-advisers
325
Additional Information |
(unaudited) (continued) |
provide to the Trust and potential conflicts of interest that could arise from these relationships. The Board believes that the existing Board structure is appropriate because, among other things, it allows the Independent Trustees to exercise independent business judgment in evaluating the Trust’s management and service providers.
Board Oversight of Risk Management
The Board considers risk management issues as part of its general oversight responsibilities. As is the case with virtually all investment companies (as distinguished from operating companies), service providers to the Trust, primarily the Manager and its affiliates and the Sub-advisers, have responsibility for the day-to-day management of the Funds, which includes responsibility for risk management (including management of investment performance and investment risk, valuation risk, issuer and counterparty credit risk, compliance risk and operational risk). As part of its oversight, the Board, acting at its scheduled meetings, or the Chairman of the Board or the appropriate Committee, acting between Board meetings, regularly interacts with and receives reports from senior personnel of service providers, including the Manager’s investment officers, the Trust’s and the Manager’s Chief Compliance Officer (“CCO”) and the Sub-advisers’ portfolio management personnel. The Board’s Audit Committee meets during its scheduled meetings, and between meetings the Audit Committee chair maintains contact, with the Trust’s independent registered public accounting firm and the Trust’s Chief Financial Officer. The Board receives periodic presentations from senior personnel of the Manager or its affiliates regarding investment performance of the Funds and the applicable investment risk management process. The Board also receives periodic presentations from senior personnel of the Manager or its affiliates and the Sub-advisers regarding risk management generally, as well as periodic presentations regarding specific operational, compliance or investment areas, such as business continuity, anti-money laundering, cybersecurity, personal trading, valuation, credit, investment research, portfolio trading and transactions, and securities lending. The Board has adopted policies and procedures designed to address certain risks to the Funds. In addition, the Manager and other service providers to the Trust have adopted a variety of policies, procedures and controls designed to address particular risks to the Funds. Different processes, procedures and controls are employed with respect to different types of risks. However, it is not possible to eliminate all of the risks applicable to the Funds. The Board also receives reports from counsel to the Trust or counsel to the Manager and the Independent Trustees’ own independent legal counsel regarding regulatory compliance and governance matters. The Board’s oversight role does not make the Board a guarantor of the Funds’ investments or activities.
Individual Trustee Qualifications
The Board believes that each Trustee’s experience, qualifications, attributes or skills on an individual basis and in combination with those of the other Trustees lead to the conclusion that the Board possesses the requisite attributes and skills to effectively oversee the management of the Trust and the interests of Fund shareholders. The Board believes that the significance of each Trustee’s experience, qualifications, attributes or skills is an individual matter (meaning that experience that is important for one Trustee may not have the same value for another) and that these factors are best evaluated at the Board level, with no single Trustee, or particular factor, being indicative of Board effectiveness. However, the Board believes that Trustees must have the ability to critically review, evaluate, question and discuss information provided to them, and to interact effectively with Trust management, service providers and counsel, in order to exercise effective business judgment in the performance of their duties. The Board believes that the Trustees satisfy this standard. Experience relevant to having this ability may be achieved through a Trustee’s educational background; business, professional training or practice (e.g., accounting or law), public service or academic positions; experience from service as a board member (including the Board of the Trust) or as an executive of investment funds, public companies or significant private or not-for-profit entities or other organizations; and/or other life experiences. The charter for the Board’s Corporate Governance and Nominating Committee contains certain other factors considered by the Committee in identifying and evaluating potential nominees to the Board. The Board noted that most of the Trustees had experience serving as directors on the boards of operating companies and/or other investment companies. The Board considered that Ms. Cepeda and Messrs. Matthews, Murphy, McKissack and Reed have or had careers in the financial services or investment management industries, including holding executive positions in companies engaged in these industries, which allows these Trustees to bring valuable, relevant experience as members of the Board. Mr. Ricciardelli has substantial experience as an executive and financial officer in leadership roles with Morgan Stanley and affiliated entities.
326
Additional Information |
(unaudited) (continued) |
Board Committees
The Trust has an Audit Committee and a Corporate Governance and Nominating Committee. The members of the Audit Committee and the Corporate Governance and Nominating Committee consist of all the Independent Trustees of the Trust, namely Ms. Cepeda and Messrs. Matthews, Murphy, McKissack and Reed. The Board also at times may constitute other committees of the Board to assist in the evaluation of specific matters.
The Audit Committee oversees each Fund’s audit, accounting and financial reporting policies and practices and its internal controls. The Audit Committee approves, and recommends to the Board for its ratification, the selection, appointment, retention or termination of the Trust’s independent registered public accounting firm and approves the compensation of the independent registered public accounting firm. The Audit Committee also approves all audit and permissible non-audit services provided to each Fund by the independent registered public accounting firm and all permissible non-audit services provided by the Trust’s independent registered public accounting firm to the Manager and any affiliated service providers if the engagement relates directly to Fund operations and financial reporting. The Audit Committee met two times during the Trust’s most recent fiscal year.
The Corporate Governance and Nominating Committee is charged with overseeing the Board governance matters and related Trustee practices, including selecting and nominating persons for election or appointment by the Board as Independent Trustees of the Trust. The Corporate Governance and Nominating Committee will consider nominees recommended by the Funds’ shareholders if a vacancy occurs. Shareholders who wish to recommend a nominee should send nominations to the Trust’s Secretary. The Corporate Governance and Nominating Committee also considers and recommends to the Board the appropriate compensation for serving as a Trustee on the Board. The Corporate Governance and Nominating Committee met once during the Trust’s most recent fiscal year.
327
Important Tax Information |
(unaudited) |
The following information is provided with respect to the distributions paid during the taxable year ended August 31, 2017:
Large Cap Equity Fund | Small-Mid Cap Equity Fund | International Equity Fund | Emerging Markets Equity Fund | High Yield Fund | ||||||||||||||||
Record Date | 12/2/2016 | 12/2/2016 | 12/2/2016 | 12/2/2016 | Monthly | |||||||||||||||
Payable Date | 12/5/2016 | 12/5/2016 | 12/5/2016 | 12/5/2016 | Monthly | |||||||||||||||
Ordinary Income: | ||||||||||||||||||||
Qualified Dividend Income for Individuals | 100 | % | 100 | % | 100 | % | 100 | % | — | |||||||||||
Dividends Qualifying for the Dividends Received | ||||||||||||||||||||
Deduction for Corporations | 100 | % | 100 | % | — | — | — | |||||||||||||
Foreign Source Income | — | — | 99.54 | %* | 99.99 | %* | — | |||||||||||||
Foreign Tax Paid Per Share | — | — | $ | 0.01927 | $ | 0.03662 | — | |||||||||||||
Long-Term Capital Gain Dividend | $ | 0.32543 | $ | 0.29148 | — | — | — | |||||||||||||
Core Fixed Income Fund | International Fixed Income Fund | Municipal Bond Fund | Inflation-Linked Fixed Income Fund | Ultra-Short Term Fixed Income Fund | ||||||||||||||||
Record Date | Monthly | 12/2/2016 | Monthly | Monthly | Monthly | |||||||||||||||
Payable Date | Monthly | 12/5/2016 | Monthly | Monthly | Monthly | |||||||||||||||
Ordinary Income: | ||||||||||||||||||||
Qualified Dividend Income for Individuals | — | — | — | — | — | |||||||||||||||
Dividends Qualifying for the Dividends Received | ||||||||||||||||||||
Deduction for Corporations | — | — | — | — | — | |||||||||||||||
Interest from Tax-Exempt Obligations | — | — | 100 | % | — | — | ||||||||||||||
Interest from Federal Obligations | 34.87 | % | 4.72 | % | — | 86.84 | % | 3.22 | % | |||||||||||
Long-Term Capital Gain Dividend | $ | 0.01837 | — | $ | 0.23833 | $ | 0.00390 | — |
* | Expressed as a percentage of the cash distribution grossed-up for foreign taxes. |
The law varies in each state as to whether and what percentage of dividend income attributable to Federal obligations is exempt from state income tax. We recommend that you consult with your tax adviser to determine if any portion of the dividends you received is exempt from state income taxes.
The foreign taxes paid represent taxes incurred by the Fund on income received by the Fund from foreign sources. Foreign taxes paid may be included in taxable income with an offsetting deduction from gross income or may be taken as a credit for taxes paid to foreign governments. You should consult your tax adviser regarding the appropriate treatment of foreign taxes paid.
Please retain this information for your records.
328
MORGAN STANLEY SMITH BARNEY LLC
Distributor
CONSULTING GROUP ADVISORY SERVICES LLC
Investment Adviser
This report is submitted for the general information of the shareholders of Consulting Group Capital Markets Funds. It is not authorized for distribution to prospective investors unless accompanied or preceded by a current Prospectus for the Trust which contains information concerning the Trust’s Investment policies, charges and expenses as well as other pertinent information.
The Funds file their complete schedule of portfolio holdings with the Securities and Exchange Commission (“SEC”) for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at www.sec.gov. The Funds’ Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington D.C., and information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. To obtain information on Form N-Q from the Funds, shareholders can call 1-888-454-3965 (“ask for Consulting Group”).
Information on how the Funds voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 and a description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available (1) without charge, upon request, by calling 1-888-454-3965 (ask for “Consulting Group”), (2) on the Funds’ website at www.morganstanley.com/cgcm and (3) on the SEC’s website at www.sec.gov.
© 2017 Morgan Stanley Smith Barney LLC (“Morgan Stanley”). Consulting Group Advisory Services LLC (“CGAS”) is a business of Morgan Stanley. Securities are offered through Morgan Stanley.
Consulting Group Capital Markets Funds
2000 Westchester Avenue
Purchase, NY 10577
ITEM 2. CODE OF ETHICS.
As of the period ended August 31, 2017 (“Reporting Period”), the Registrant has adopted a code of ethics (“Code”) that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the Registrant or a third party. The Registrant has not amended any provision in its Code that relates to an element of the Code’s definitions enumerated in paragraph (b) of Item 2 of this Form N-CSR. A copy of this Code is filed as an Exhibit to this Form N-CSR pursuant to Item 12(a)(1).
The Registrant has not granted any waiver, including any implicit waiver, from a provision of its Code to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the Registrant or a third party.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The Board of Trustees of the Registrant has determined that Mark J. Reed possesses the attributes identified in Instruction (b) of Item 3 to Form N-CSR to qualify as an “audit committee financial expert,” and has designated Mr. Reed as the Registrant’s audit committee financial expert. Mr. Reed is an “independent” Trustee pursuant to paragraph (a)(2) of Item 3 to Form N-CSR.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
AUDIT FEES –
(a) Audit Fees. The aggregate fees billed for each of the last two fiscal years ended August 31, 2017 and August 31, 2016 for professional services rendered by the Registrant’s principal accountant (“Auditor”) for the audit of the Registrant’s annual financial statements, or services that are normally provided by the Auditor in connection with the statutory and regulatory filings or engagements for each of the last two fiscal years, were $560,080 in 2017 and $527,400 in 2016.
(b) Audit-Related Fees. The aggregate fees billed for each of the last two fiscal years ended August 31, 2017, and August 31, 2016, for assurance and related services by the Auditor that were reasonably related to the performance of the audit of the Registrant’s financial statements and were not reported under paragraph (a) of this Item 4, were $0 in 2017 and $0 in 2016.
(c) Tax Fees. The aggregate fees billed for each of the last two fiscal years ended August 31, 2017 and August 31, 2016 for professional services rendered by the Auditor for tax compliance, tax advice and tax planning (“Tax Services”) were $93,450 in 2017 and $87,165 in 2016. These services consisted of (i) review or preparation of U.S. federal, state, local and excise tax returns; (ii) U.S. federal, state and local tax planning, advice and assistance regarding statutory, regulatory or administrative developments, and (iii) tax advice regarding tax qualification matters and/or treatment of various financial instruments held or proposed to be acquired or held.
(d) All Other Fees. The aggregate fees billed for each of the last two fiscal years ended August 31, 2017, and August 31, 2016, for products and services provided by the Auditor to the Registrant, other than the services reported in paragraphs (a) through (c) of this Item 4, were $0 for 2017 and $0 for 2016.
(e)(1) The Charter for the Audit Committee (“Committee”) of the Consulting Group Capital Markets Funds provides that the Committee may delegate its responsibility to approve any such audit and permissible non-audit services to a sub-committee consisting of the Chairperson of the Committee (“Chairperson”) and at least one other member of the Committee as the Chairperson, from time to time, may determine and appoint, and such sub-committee shall report to the Committee, at its next meeting after the sub-committee’s meeting, its decision(s). From year to year, and at such other times as the Committee deems appropriate, the Committee shall report to the Board whether this system of approval has been effective and
efficient or whether this Charter should be amended to allow for pre-approval pursuant to such policies and procedures as the Committee shall approve, including the delegation of some or all of the Committee’s pre-approval responsibilities to other persons (other than the Adviser or the Trust’s officers).
(e)(2) The percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(c) of Rule 2-01 of Regulation S-X, with respect to: Audit-Related Fees were 0% for 2017 and 0% for 2016; Tax Fees were 0% for 2017 and 0% for 2016; and Other Fees were 0% for 2017 and 0% for 2016.
(f) Not Applicable.
(g) Aggregate non-audit fees billed by the Auditor for services rendered to the Registrant and the Registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management as is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant of each of the last two fiscal years of the Registrant (“Service Affiliates”) were $0 for 2017 and $5,000 in 2016.
(h) The Registrant’s Audit Committee has considered whether the provision of non-audit services that were rendered to Service Affiliates that were not pre-approved pursuant to paragraph (c)(7)ii of Rule 2-01 of Regulation S-X is compatible with maintaining the Auditor’s independence.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not Applicable.
ITEM 6. INVESTMENTS.
A Schedule of Investments in securities of unaffiliated issuers as of the close of the Reporting Period is included as part of the report to shareholders filed under Item 1 of this Form N-CSR.
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 COMPANIES AND AFFILIATED PURCHASERS.
Not Applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the Registrant’s board of directors, where those changes were implemented after the Registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
ITEM 11. CONTROLS AND PROCEDURES.
(a) The Registrant’s principal executive officer and principal financial officer, or persons performing similar functions, have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-3(c)) were
effective, as of a date within 90 days of the filing date of this report, based on his evaluation of these disclosure controls and procedures as required by Rule 30a-3(b) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-3(b)), and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)).
(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-3(d)), that occurred during the Registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
ITEM 12. EXHIBITS.
(a)(1) Code of ethics, or any amendment thereto, that is the subject of disclosure required by Item 2 is attached hereto.
(a)(2) Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-2(a)) are attached hereto.
(a)(3) Not Applicable.
(b) Certifications pursuant to 18 U.S.C. Section 1350 as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto.
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.
Consulting Group Capital Markets Funds | ||
By: | /s/ Paul Ricciardelli | |
Paul Ricciardelli | ||
Chief Executive Officer | ||
Consulting Group Capital Markets Funds | ||
Date: November 9, 2017 |
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/ Paul Ricciardelli | |
Paul Ricciardelli | ||
Chief Executive Officer | ||
Consulting Group Capital Markets Funds | ||
Date: November 9, 2017 |
Consulting Group Capital Markets Funds | ||
By: | /s/ Francis Smith | |
Francis Smith | ||
Chief Financial Officer | ||
Consulting Group Capital Markets Funds | ||
Date: November 9, 2017 |