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 811-08416
Touchstone Variable Series Trust
(Exact name of registrant as specified in charter)
303 Broadway, Suite 1100
Cincinnati, Ohio 45202-4203
(Address of principal executive offices) (Zip code)
E. Blake Moore, Jr.
303 Broadway, Suite 1100
Cincinnati, Ohio 45202-4203
(Name and address of agent for service)
Registrant's telephone number, including area code: 800-638-8194
Date of fiscal year end: December 31
Date of reporting period: June 30, 2023
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 roles.
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 the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
(a) | The Report to Shareholders is attached herewith. |
Touchstone Variable Series Trust |
Touchstone Balanced Fund |
Touchstone Bond Fund |
Touchstone Common Stock Fund |
Touchstone Small Company Fund |
Credit Quality*(% of Fixed Income Securities) | |
AAA/Aaa | 49.4% |
AA/Aa | 5.3 |
A/A | 12.9 |
BBB/Baa | 32.4 |
Total | 100.0% |
Sector Allocation**(% of Net Assets) | |
Common Stocks | |
Information Technology | 16.8% |
Health Care | 9.9 |
Financials | 8.6 |
Communication Services | 8.2 |
Industrials | 5.8 |
Consumer Discretionary | 5.2 |
Consumer Staples | 2.5 |
Energy | 2.4 |
Materials | 1.0 |
Real Estate | 0.6 |
Corporate Bonds | 17.1 |
U.S. Treasury Obligations | 10.2 |
Commercial Mortgage-Backed Securities | 4.0 |
U.S. Government Mortgage-Backed Obligations | 3.9 |
Exchange-Traded Fund | 1.8 |
Sovereign Government Obligations | 0.2 |
Short-Term Investment Funds | 1.9 |
Other Assets/Liabilities (Net) | (0.1) |
Total | 100.0% |
Credit Quality*(% of Fixed Income Securities) | |
AAA/Aaa | 45.8% |
AA/Aa | 7.7 |
A/A | 10.9 |
BBB/Baa | 30.7 |
BB/Ba | 0.2 |
B/B | 0.3 |
CC | 0.1 |
Not Rated | 2.1 |
Cash Equivalents | 2.2 |
Total | 100.0% |
Sector Allocation**(% of Net Assets) | |
Information Technology | 27.2% |
Health Care | 16.3 |
Financials | 14.0 |
Communication Services | 13.8 |
Consumer Discretionary | 8.8 |
Industrials | 8.8 |
Consumer Staples | 4.4 |
Energy | 4.2 |
Materials | 1.7 |
Real Estate | 1.1 |
Short-Term Investment Fund | 0.0 |
Other Assets/Liabilities (Net) | (0.3) |
Total | 100.0% |
Sector Allocation*(% of Net Assets) | |
Industrials | 22.2% |
Health Care | 16.8 |
Consumer Discretionary | 15.4 |
Information Technology | 15.0 |
Real Estate | 10.6 |
Financials | 9.1 |
Materials | 4.3 |
Energy | 3.0 |
Communication Services | 2.6 |
Short-Term Investment Fund | 1.2 |
Other Assets/Liabilities (Net) | (0.2) |
Total | 100.0% |
Shares | Market Value | |||
Common Stocks — 61.0% | ||||
Information Technology — 16.8% | ||||
13,273 | Apple, Inc. | $ 2,574,564 | ||
3,115 | International Business Machines Corp. | 416,818 | ||
8,512 | Microsoft Corp. | 2,898,677 | ||
7,146 | Oracle Corp. | 851,017 | ||
3,457 | Salesforce, Inc.* | 730,326 | ||
3,574 | Texas Instruments, Inc. | 643,391 | ||
2,137 | Workday, Inc. - Class A* | 482,727 | ||
8,597,520 | ||||
Health Care — 9.9% | ||||
3,963 | AmerisourceBergen Corp. | 762,600 | ||
6,020 | BioMarin Pharmaceutical, Inc.* | 521,814 | ||
6,710 | Bristol-Myers Squibb Co. | 429,104 | ||
2,722 | HCA Healthcare, Inc. | 826,073 | ||
5,818 | Johnson & Johnson | 962,995 | ||
6,711 | Medtronic PLC | 591,239 | ||
2,039 | UnitedHealth Group, Inc. | 980,025 | ||
5,073,850 | ||||
Financials — 8.6% | ||||
21,793 | Bank of America Corp. | 625,241 | ||
4,285 | Berkshire Hathaway, Inc. - Class B* | 1,461,185 | ||
2,228 | Goldman Sachs Group, Inc. (The) | 718,619 | ||
384 | Markel Group, Inc.* | 531,141 | ||
4,138 | PayPal Holdings, Inc.* | 276,129 | ||
3,415 | Visa, Inc. - Class A | 810,994 | ||
4,423,309 | ||||
Communication Services — 8.2% | ||||
13,038 | Alphabet, Inc. - Class C* | 1,577,207 | ||
7,542 | AT&T, Inc. | 120,295 | ||
11,777 | Comcast Corp. - Class A | 489,334 | ||
2,823 | Fox Corp. - Class A | 95,982 | ||
4,324 | Meta Platforms, Inc. - Class A* | 1,240,901 | ||
986 | Netflix, Inc.* | 434,323 | ||
2,667 | Walt Disney Co. (The)* | 238,110 | ||
4,196,152 | ||||
Industrials — 5.8% | ||||
2,270 | Boeing Co. (The)* | 479,333 | ||
856 | FedEx Corp. | 212,203 | ||
1,879 | Hubbell, Inc. | 623,001 | ||
6,347 | Raytheon Technologies Corp. | 621,752 | ||
9,216 | Southwest Airlines Co. | 333,711 | ||
6,141 | SS&C Technologies Holdings, Inc. | 372,145 | ||
3,335 | Stanley Black & Decker, Inc. | 312,523 | ||
2,954,668 | ||||
Consumer Discretionary — 5.2% | ||||
2,567 | Airbnb, Inc. - Class A* | 328,987 | ||
2,136 | Alibaba Group Holding Ltd. (China) ADR* | 178,036 | ||
10,639 | Amazon.com, Inc.* | 1,386,900 | ||
2,943 | Hilton Worldwide Holdings, Inc. | 428,354 | ||
3,659 | Starbucks Corp. | 362,460 | ||
2,684,737 | ||||
Consumer Staples — 2.5% | ||||
11,705 | Monster Beverage Corp.* | 672,335 | ||
6,538 | Philip Morris International, Inc. | 638,240 | ||
1,310,575 | ||||
Energy — 2.4% | ||||
7,488 | Exxon Mobil Corp. | 803,088 | ||
8,856 | Schlumberger NV | 435,007 | ||
1,238,095 |
Shares | Market Value | |||
Materials — 1.0% | ||||
7,104 | DuPont de Nemours, Inc. | $ 507,510 | ||
Real Estate — 0.6% | ||||
1,833 | Jones Lang LaSalle, Inc.* | 285,581 | ||
Total Common Stocks | $31,271,997 |
Principal Amount | ||||
Corporate Bonds — 17.1% | ||||
Financials — 4.6% | ||||
$ 150,000 | AerCap Ireland Capital DAC / AerCap Global Aviation Trust (Ireland), 2.450%, 10/29/26 | 134,002 | ||
89,000 | Allstate Corp. (The), Ser B, 5.750%, 8/15/53 | 87,582 | ||
112,000 | Ares Capital Corp., 3.250%, 7/15/25 | 103,513 | ||
81,000 | Bank of America Corp., 2.687%, 4/22/32 | 67,064 | ||
82,000 | Bank of America Corp., 3.705%, 4/24/28 | 76,835 | ||
94,000 | Bank of Montreal (Canada), 3.803%, 12/15/32 | 82,735 | ||
80,000 | Bank of New York Mellon Corp. (The), 5.834%, 10/25/33 | 83,307 | ||
70,000 | Berkshire Hathaway Finance Corp., 4.250%, 1/15/49 | 63,622 | ||
77,000 | Citigroup, Inc., 3.200%, 10/21/26 | 72,029 | ||
60,000 | Citigroup, Inc., 6.174%, 5/25/34 | 60,439 | ||
171,000 | Corestates Capital III, 144a, (3M LIBOR +0.570%), 5.891%, 2/15/27(A) | 156,924 | ||
122,000 | Goldman Sachs Group, Inc. (The), 2.615%, 4/22/32 | 100,013 | ||
55,000 | Goldman Sachs Group, Inc. (The), 3.691%, 6/5/28 | 51,659 | ||
126,000 | Huntington Bancshares, Inc., 2.550%, 2/4/30 | 100,334 | ||
128,000 | JPMorgan Chase & Co., 2.956%, 5/13/31 | 109,721 | ||
100,000 | JPMorgan Chase & Co., 3.509%, 1/23/29 | 92,408 | ||
112,000 | Mastercard, Inc., 2.000%, 11/18/31 | 92,429 | ||
109,000 | Morgan Stanley, 3.950%, 4/23/27 | 103,185 | ||
66,000 | Morgan Stanley, 5.297%, 4/20/37 | 62,421 | ||
74,000 | New York Life Global Funding, 144a, 4.550%, 1/28/33 | 71,313 | ||
76,000 | Northern Trust Corp., 6.125%, 11/2/32 | 78,752 | ||
113,000 | Northwestern Mutual Life Insurance Co. (The), 144a, 3.850%, 9/30/47 | 88,020 | ||
121,000 | PNC Capital Trust, (3M LIBOR +0.570%), 6.066%, 6/1/28(A) | 108,916 | ||
67,000 | Prudential Financial, Inc., 5.125%, 3/1/52 | 60,492 | ||
185,000 | Truist Bank, Ser A, (3M LIBOR +0.670%), 5.990%, 5/15/27(A) | 168,043 | ||
22,000 | Truist Financial Corp., MTN, 2.850%, 10/26/24 | 21,116 | ||
68,000 | US Bancorp, 4.967%, 7/22/33 | 61,562 | ||
2,358,436 | ||||
Consumer Discretionary — 1.9% | ||||
101,000 | 7-Eleven, Inc., 144a, 1.800%, 2/10/31 | 79,861 | ||
135,000 | BAT Capital Corp. (United Kingdom), 3.557%, 8/15/27 | 123,956 | ||
82,000 | Brunswick Corp., 4.400%, 9/15/32 | 71,607 | ||
60,000 | Ford Motor Co., 3.250%, 2/12/32 | 47,196 | ||
105,000 | General Motors Financial Co., Inc., 3.100%, 1/12/32 | 84,889 | ||
56,000 | General Motors Financial Co., Inc., 5.650%, 1/17/29 | 55,055 | ||
59,000 | Home Depot, Inc. (The), 5.950%, 4/1/41 | 64,875 | ||
86,000 | JBS USA LUX SA / JBS USA Food Co. / JBS USA Finance, Inc., 144a, 2.500%, 1/15/27 | 75,345 | ||
33,000 | JBS USA LUX SA / JBS USA Food Co. / JBS USA Finance, Inc., 144a, 4.375%, 2/2/52 | 23,127 | ||
113,000 | Lowe's Cos., Inc., 4.500%, 4/15/30 | 109,838 | ||
110,000 | Toll Brothers Finance Corp., 3.800%, 11/1/29 | 98,491 | ||
58,000 | Warnermedia Holdings, Inc., 4.279%, 3/15/32 | 51,447 | ||
104,000 | Warnermedia Holdings, Inc., 5.141%, 3/15/52 | 84,574 | ||
970,261 | ||||
Health Care — 1.6% | ||||
84,000 | AbbVie, Inc., 4.450%, 5/14/46 | 73,836 | ||
90,000 | Amgen, Inc., 5.150%, 3/2/28 | 89,895 |
Principal Amount | MarketValue | |||
Corporate Bonds — 17.1% (Continued) | ||||
Health Care — (Continued) | ||||
$ 67,000 | Becton Dickinson & Co., 4.685%, 12/15/44 | $ 60,551 | ||
86,000 | CommonSpirit Health, 4.187%, 10/1/49 | 69,277 | ||
73,000 | CVS Health Corp., 5.125%, 7/20/45 | 67,433 | ||
104,000 | DH Europe Finance II Sarl, 3.250%, 11/15/39 | 84,403 | ||
72,000 | Elevance Health, Inc., 4.750%, 2/15/33 | 69,897 | ||
68,000 | Eli Lilly & Co., 4.875%, 2/27/53 | 69,747 | ||
88,000 | HCA, Inc., 5.375%, 9/1/26 | 87,279 | ||
107,000 | UnitedHealth Group, Inc., 3.500%, 8/15/39 | 89,607 | ||
100,000 | Viatris, Inc., 2.700%, 6/22/30 | 80,876 | ||
842,801 | ||||
Industrials — 1.6% | ||||
100,000 | Amcor Flexibles North America, Inc., 2.630%, 6/19/30 | 83,130 | ||
53,000 | Boeing Co. (The), 5.805%, 5/1/50 | 52,607 | ||
83,000 | Burlington Northern Santa Fe LLC, 5.750%, 5/1/40 | 87,658 | ||
54,000 | Carrier Global Corp., 3.577%, 4/5/50 | 39,833 | ||
94,000 | FedEx Corp., 5.100%, 1/15/44 | 87,371 | ||
99,000 | John Deere Capital Corp., MTN, 2.450%, 1/9/30 | 86,933 | ||
88,000 | Mohawk Industries, Inc., 3.625%, 5/15/30† | 79,397 | ||
81,000 | Norfolk Southern Corp., 4.837%, 10/1/41 | 74,806 | ||
71,000 | Roper Technologies, Inc., 2.950%, 9/15/29 | 62,744 | ||
52,000 | WestRock MWV LLC, 8.200%, 1/15/30 | 59,608 | ||
117,000 | Xylem, Inc., 1.950%, 1/30/28 | 102,601 | ||
816,688 | ||||
Utilities — 1.6% | ||||
127,000 | CMS Energy Corp., 4.750%, 6/1/50 | 109,499 | ||
74,000 | Duke Energy Progress LLC, 4.150%, 12/1/44 | 61,255 | ||
72,000 | Edison International, 4.125%, 3/15/28 | 67,170 | ||
98,000 | FirstEnergy Transmission LLC, 144a, 5.450%, 7/15/44 | 90,499 | ||
107,000 | NextEra Energy Capital Holdings, Inc., (3M LIBOR +2.067%), 7.601%, 10/1/66(A) | 92,242 | ||
104,000 | Ohio Power Co., Ser R, 2.900%, 10/1/51 | 68,930 | ||
126,000 | Pacific Gas and Electric Co., 3.500%, 8/1/50 | 79,924 | ||
89,000 | PacifiCorp., 5.750%, 4/1/37 | 85,700 | ||
190,000 | WEC Energy Group, Inc., (3M LIBOR +2.112%), 7.433%, 5/15/67(A) | 159,889 | ||
815,108 | ||||
Information Technology — 1.5% | ||||
67,000 | Apple, Inc., 4.650%, 2/23/46 | 65,953 | ||
116,000 | Broadcom, Inc., 4.150%, 11/15/30 | 106,673 | ||
105,000 | Marvell Technology, Inc., 2.950%, 4/15/31 | 87,950 | ||
112,000 | Microchip Technology, Inc., 0.983%, 9/1/24 | 105,777 | ||
54,000 | Micron Technology, Inc., 2.703%, 4/15/32 | 42,552 | ||
20,000 | Micron Technology, Inc., 6.750%, 11/1/29 | 20,779 | ||
49,000 | Microsoft Corp., 3.500%, 2/12/35 | 45,813 | ||
90,000 | NXP BV / NXP Funding LLC (China), 5.350%, 3/1/26 | 89,365 | ||
46,000 | Oracle Corp., 2.650%, 7/15/26 | 42,514 | ||
32,000 | Oracle Corp., 3.600%, 4/1/40 | 24,718 | ||
24,000 | Oracle Corp., 4.300%, 7/8/34 | 21,732 | ||
65,000 | Visa, Inc., 4.150%, 12/14/35 | 61,849 | ||
71,000 | VMware, Inc., 1.400%, 8/15/26 | 62,666 | ||
778,341 | ||||
Real Estate — 1.2% | ||||
100,000 | Crown Castle International Corp. REIT, 3.650%, 9/1/27 | 93,450 | ||
122,000 | Host Hotels & Resorts LP REIT, Ser F, 4.500%, 2/1/26 | 118,248 | ||
94,000 | Invitation Homes Operating Partnership LP REIT, 4.150%, 4/15/32 | 84,142 | ||
13,000 | Kilroy Realty LP REIT, 2.500%, 11/15/32 | 9,003 | ||
45,000 | Kilroy Realty LP REIT, 2.650%, 11/15/33 | 30,504 | ||
47,000 | Kilroy Realty LP REIT, 3.050%, 2/15/30 | 36,740 | ||
74,000 | Sabra Health Care LP REIT, 5.125%, 8/15/26 | 69,489 |
Principal Amount | MarketValue | |||
Real Estate — (Continued) | ||||
$ 58,000 | SBA Tower Trust REIT, 144a, 6.599%, 1/15/28 | $ 58,912 | ||
46,000 | STORE Capital Corp. REIT, 2.700%, 12/1/31 | 31,944 | ||
8,000 | STORE Capital Corp. REIT, 2.750%, 11/18/30 | 5,778 | ||
63,000 | STORE Capital Corp. REIT, 4.625%, 3/15/29 | 53,024 | ||
591,234 | ||||
Energy — 1.0% | ||||
64,000 | Boardwalk Pipelines LP, 4.800%, 5/3/29 | 61,342 | ||
74,000 | Cenovus Energy, Inc. (Canada), 5.250%, 6/15/37 | 68,062 | ||
112,000 | Cheniere Energy, Inc., 4.625%, 10/15/28 | 104,587 | ||
60,000 | Continental Resources, Inc., 144a, 5.750%, 1/15/31 | 57,026 | ||
73,000 | Midwest Connector Capital Co. LLC, 144a, 4.625%, 4/1/29 | 66,681 | ||
67,000 | MPLX LP, 4.950%, 3/14/52 | 56,737 | ||
81,000 | NGPL PipeCo LLC, 144a, 7.768%, 12/15/37 | 86,304 | ||
20,000 | Sabine Pass Liquefaction LLC, 5.000%, 3/15/27 | 19,681 | ||
520,420 | ||||
Consumer Staples — 1.0% | ||||
94,000 | Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide, Inc. (Belgium), 4.900%, 2/1/46 | 89,576 | ||
64,000 | Kroger Co. (The), 5.000%, 4/15/42 | 58,380 | ||
96,000 | Mars, Inc., 144a, 3.875%, 4/1/39 | 80,801 | ||
55,000 | PepsiCo, Inc., 1.625%, 5/1/30 | 45,682 | ||
44,000 | PepsiCo, Inc., 4.450%, 2/15/33† | 44,339 | ||
125,000 | Philip Morris International, Inc., 5.375%, 2/15/33 | 124,675 | ||
65,000 | Starbucks Corp., 3.350%, 3/12/50 | 47,568 | ||
491,021 | ||||
Communication Services — 0.8% | ||||
54,000 | AT&T, Inc., 4.500%, 5/15/35 | 49,619 | ||
60,000 | Charter Communications Operating LLC / Charter Communications Operating Capital, 6.484%, 10/23/45 | 56,462 | ||
74,000 | Comcast Corp., 4.000%, 3/1/48 | 61,603 | ||
64,000 | Paramount Global, 4.200%, 5/19/32 | 53,604 | ||
118,000 | T-Mobile USA, Inc., 3.875%, 4/15/30 | 108,700 | ||
42,000 | T-Mobile USA, Inc., 5.750%, 1/15/54 | 43,101 | ||
98,000 | Verizon Communications, Inc., 2.987%, 10/30/56 | 62,042 | ||
435,131 | ||||
Materials — 0.3% | ||||
90,000 | Celanese US Holdings LLC, 6.165%, 7/15/27 | 89,695 | ||
83,000 | Sherwin-Williams Co. (The), 4.500%, 6/1/47 | 72,578 | ||
162,273 | ||||
Total Corporate Bonds | $8,781,714 | |||
U.S. Treasury Obligations — 10.2% | ||||
815,000 | U.S. Treasury Bond, 4.000%, 11/15/42 | 808,506 | ||
404,000 | U.S. Treasury Bond, 4.000%, 11/15/52 | 414,289 | ||
1,110,000 | U.S. Treasury Note, 3.500%, 2/15/33 | 1,080,689 | ||
690,000 | U.S. Treasury Note, 3.625%, 5/31/28 | 674,691 | ||
1,940,000 | U.S. Treasury Note, 4.000%, 2/29/28 | 1,924,995 | ||
55,000 | U.S. Treasury Note, 4.375%, 10/31/24 | 54,330 | ||
250,000 | U.S. Treasury Note, 4.625%, 2/28/25 | 248,027 | ||
Total U.S. Treasury Obligations | $5,205,527 | |||
Commercial Mortgage-Backed Securities — 4.0% | ||||
60,000 | BANK, Ser 2020-BN26, Class A4, 2.403%, 3/15/63 | 49,812 | ||
145,000 | BANK, Ser 2021-BN36, Class A5, 2.470%, 9/15/64 | 117,806 | ||
280,000 | BANK, Ser 2021-BN37, Class A5, 2.618%, 11/15/64(A)(B) | 229,451 | ||
75,000 | BANK, Ser 2022-BNK39, Class A4, 2.928%, 2/15/55 | 62,590 | ||
55,000 | BBCMS Mortgage Trust, Ser 2021-C11, Class A5, 2.322%, 9/15/54 | 44,174 | ||
165,000 | BBCMS Mortgage Trust, Ser 2021-C12, Class A5, 2.689%, 11/15/54 | 135,617 |
Principal Amount | MarketValue | |||
Commercial Mortgage-Backed Securities — 4.0% (Continued) | ||||
$ 45,000 | BBCMS Mortgage Trust, Ser 2022-C14, Class A5, 2.946%, 2/15/55(A)(B) | $ 37,685 | ||
140,000 | BBCMS Mortgage Trust, Ser 2022-C16, Class A5, 4.600%, 6/15/55(A)(B) | 132,761 | ||
160,000 | Benchmark Mortgage Trust, Ser 2018-B8, Class A5, 4.232%, 1/15/52 | 146,809 | ||
255,000 | Citigroup Commercial Mortgage Trust, Ser 2020-GC46, Class A5, 2.717%, 2/15/53 | 214,412 | ||
80,000 | COMM Mortgage Trust, Ser 2015-DC1, Class A5, 3.350%, 2/10/48 | 76,143 | ||
80,000 | GS Mortgage Securities Trust, Ser 2020-GC47, Class A5, 2.377%, 5/12/53 | 65,018 | ||
235,000 | JP Morgan Chase Commercial Mortgage Securities Trust, Ser 2016-JP2, Class A4, 2.822%, 8/15/49 | 213,508 | ||
170,000 | JP Morgan Chase Commercial Mortgage Securities Trust, Ser 2017-JP7, Class A5, 3.454%, 9/15/50 | 153,873 | ||
75,000 | Morgan Stanley Capital I Trust, Ser 2018-H3, Class A5, 4.177%, 7/15/51 | 69,562 | ||
170,000 | Wells Fargo Commercial Mortgage Trust, Ser 2019-C51, Class A4, 3.311%, 6/15/52 | 149,370 | ||
145,000 | Wells Fargo Commercial Mortgage Trust, Ser 2019-C53, Class A4, 3.040%, 10/15/52 | 125,374 | ||
Total Commercial Mortgage-Backed Securities | $2,023,965 | |||
U.S. Government Mortgage-Backed Obligations — 3.9% | ||||
100,821 | FHLMC, Pool #G05624, 4.500%, 9/1/39 | 99,712 | ||
68,403 | FHLMC, Pool #Q29260, 4.000%, 10/1/44 | 65,532 | ||
292,958 | FHLMC REMIC, Pool #QE9228, 4.500%, 9/1/52 | 281,889 | ||
299,902 | FHLMC REMIC, Pool #SD1436, 4.500%, 8/1/52 | 288,618 | ||
297,373 | FHLMC REMIC, Pool #SD1515, 4.500%, 8/1/52 | 286,221 | ||
287,601 | FHLMC REMIC, Pool #SD1620, 5.000%, 9/1/52 | 282,002 | ||
308,040 | FHLMC REMIC, Pool #SD1638, 5.000%, 9/1/52 | 302,226 | ||
41,635 | FNMA, Pool #725423, 5.500%, 5/1/34 | 42,612 | ||
37,685 | FNMA, Pool #725610, 5.500%, 7/1/34 | 38,576 | ||
8,247 | FNMA, Pool #890310, 4.500%, 12/1/40 | 8,147 | ||
27,508 | FNMA, Pool #AD9193, 5.000%, 9/1/40 | 27,717 | ||
296,018 | FNMA, Pool #FS2906, 5.000%, 9/1/52 | 290,477 | ||
Total U.S. Government Mortgage-Backed Obligations | $2,013,729 |
Shares | ||||
Exchange-Traded Fund — 1.8% | ||||
10,788 | iShares JP Morgan USD Emerging Markets Bond ETF | 933,593 |
Principal Amount | ||||
Sovereign Government Obligations — 0.2% | ||||
$ 146,000 | Peruvian Government International Bond, 2.780%, 12/1/60 | 88,748 |
Shares | ||||
Short-Term Investment Funds — 1.9% | ||||
898,414 | Dreyfus Government Cash Management, Institutional Shares, 5.00%∞Ω | 898,414 | ||
82,944 | Invesco Government & Agency Portfolio, Institutional Class, 5.05%∞Ω** | 82,944 | ||
Total Short-Term Investment Funds | $981,358 | |||
Total Investment Securities—100.1% (Cost $44,727,753) | $51,300,631 | |||
Liabilities in Excess of Other Assets — (0.1%) | (48,642) | |||
Net Assets — 100.0% | $51,251,989 |
(A) | Variable rate security - Rate reflected is the rate in effect as of June 30, 2023. |
(B) | Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description. |
* | Non-income producing security. |
** | Represents collateral for securities loaned. |
† | All or a portion of the security is on loan. The total market value of the securities on loan as of June 30, 2023 was $81,105. |
∞ | Open-End Fund. |
Ω | Represents the 7-Day SEC yield as of June 30, 2023. |
Portfolio Abbreviations: |
ADR – American Depositary Receipt |
DAC – Designated Activity Company |
ETF – Exchange-Traded Fund |
FHLMC – Federal Home Loan Mortgage Corporation |
FNMA – Federal National Mortgage Association |
LIBOR – London Interbank Offered Rate |
LLC – Limited Liability Company |
LP – Limited Partnership |
MTN – Medium Term Note |
PLC – Public Limited Company |
REIT – Real Estate Investment Trust |
REMIC – Real Estate Mortgage Investment Conduit |
USD – United States Dollar |
144a - This is a restricted security that was sold in a transaction qualifying for the exemption under Rule 144a of the Securities Act of 1933. This security may be sold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2023, these securities were valued at $934,813 or 1.8% of net assets. These securities were deemed liquid pursuant to procedures approved by the Board of Trustees. |
Valuation Inputs at Reporting Date: | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks | $31,271,997 | $— | $— | $31,271,997 |
Corporate Bonds | — | 8,781,714 | — | 8,781,714 |
U.S. Treasury Obligations | — | 5,205,527 | — | 5,205,527 |
Commercial Mortgage-Backed Securities | — | 2,023,965 | — | 2,023,965 |
U.S. Government Mortgage-Backed Obligations | — | 2,013,729 | — | 2,013,729 |
Exchange-Traded Fund | 933,593 | — | — | 933,593 |
Sovereign Government Obligations | — | 88,748 | — | 88,748 |
Short-Term Investment Funds | 981,358 | — | — | 981,358 |
Total | $33,186,948 | $18,113,683 | $— | $51,300,631 |
Principal Amount | Market Value | |||
Corporate Bonds — 37.4% | ||||
Financials — 10.3% | ||||
$ 400,000 | AerCap Ireland Capital DAC / AerCap Global Aviation Trust (Ireland), 2.450%, 10/29/26 | $ 357,338 | ||
319,000 | Allstate Corp. (The), Ser B, 5.750%, 8/15/53 | 313,918 | ||
283,000 | Ares Capital Corp., 3.250%, 7/15/25 | 261,556 | ||
200,000 | Bank of America Corp., 2.687%, 4/22/32 | 165,591 | ||
250,000 | Bank of America Corp., 3.705%, 4/24/28 | 234,253 | ||
335,000 | Bank of Montreal (Canada), 3.803%, 12/15/32 | 294,854 | ||
306,000 | Bank of New York Mellon Corp. (The), 5.834%, 10/25/33 | 318,650 | ||
495,000 | Bank of Nova Scotia (The) (Canada), 3.625%, 10/27/81 | 349,891 | ||
377,000 | Barclays PLC (United Kingdom), 2.894%, 11/24/32 | 296,695 | ||
176,000 | Berkshire Hathaway Finance Corp., 4.250%, 1/15/49 | 159,964 | ||
225,000 | Citigroup, Inc., 3.200%, 10/21/26 | 210,474 | ||
180,000 | Citigroup, Inc., 6.174%, 5/25/34 | 181,316 | ||
314,000 | Citizens Bank NA, 4.575%, 8/9/28 | 285,323 | ||
318,000 | Cooperatieve Rabobank UA (Netherlands), 144a, 1.106%, 2/24/27 | 280,980 | ||
583,000 | Corestates Capital III, 144a, (3M LIBOR +0.570%), 5.891%, 2/15/27(A) | 535,010 | ||
352,000 | Goldman Sachs Group, Inc. (The), 2.615%, 4/22/32 | 288,563 | ||
182,000 | Goldman Sachs Group, Inc. (The), 3.691%, 6/5/28 | 170,944 | ||
349,000 | Huntington Bancshares, Inc., 2.550%, 2/4/30 | 277,909 | ||
256,000 | JPMorgan Chase & Co., 2.956%, 5/13/31 | 219,442 | ||
336,000 | JPMorgan Chase & Co., 3.509%, 1/23/29 | 310,491 | ||
374,000 | Mastercard, Inc., 2.000%, 11/18/31 | 308,647 | ||
311,000 | Morgan Stanley, 3.950%, 4/23/27 | 294,409 | ||
252,000 | Morgan Stanley, 5.297%, 4/20/37 | 238,335 | ||
275,000 | New York Life Global Funding, 144a, 4.550%, 1/28/33 | 265,013 | ||
296,000 | Northern Trust Corp., 6.125%, 11/2/32 | 306,717 | ||
395,000 | Northwestern Mutual Life Insurance Co. (The), 144a, 3.850%, 9/30/47 | 307,680 | ||
450,000 | PNC Capital Trust, (3M LIBOR +0.570%), 6.066%, 6/1/28(A) | 405,060 | ||
250,000 | Prudential Financial, Inc., 5.125%, 3/1/52 | 225,718 | ||
518,000 | Truist Bank, Ser A, (3M LIBOR +0.670%), 5.990%, 5/15/27(A) | 470,522 | ||
210,000 | Truist Financial Corp., MTN, 2.850%, 10/26/24 | 201,560 | ||
236,000 | US Bancorp, 4.967%, 7/22/33 | 213,655 | ||
8,750,478 | ||||
Consumer Discretionary — 4.3% | ||||
373,000 | 7-Eleven, Inc., 144a, 1.800%, 2/10/31 | 294,931 | ||
464,000 | BAT Capital Corp. (United Kingdom), 3.557%, 8/15/27 | 426,040 | ||
316,000 | Brunswick Corp., 4.400%, 9/15/32 | 275,951 | ||
202,000 | Ford Motor Co., 3.250%, 2/12/32 | 158,893 | ||
505,000 | General Motors Financial Co., Inc., 3.100%, 1/12/32 | 408,275 | ||
169,000 | General Motors Financial Co., Inc., 5.650%, 1/17/29 | 166,148 | ||
227,000 | Home Depot, Inc. (The), 5.950%, 4/1/41 | 249,603 | ||
227,000 | Imperial Brands Finance PLC (United Kingdom), 144a, 6.125%, 7/27/27 | 227,339 | ||
374,000 | JBS USA LUX SA / JBS USA Food Co. / JBS USA Finance, Inc., 144a, 2.500%, 1/15/27 | 327,661 | ||
120,000 | JBS USA LUX SA / JBS USA Food Co. / JBS USA Finance, Inc., 144a, 4.375%, 2/2/52 | 84,100 | ||
308,000 | Lowe's Cos., Inc., 4.500%, 4/15/30 | 299,380 | ||
358,000 | Toll Brothers Finance Corp., 3.800%, 11/1/29 | 320,544 | ||
218,000 | Warnermedia Holdings, Inc., 4.279%, 3/15/32 | 193,370 | ||
336,000 | Warnermedia Holdings, Inc., 5.141%, 3/15/52 | 273,240 | ||
3,705,475 | ||||
Health Care — 3.4% | ||||
283,000 | AbbVie, Inc., 4.450%, 5/14/46 | 248,756 | ||
232,000 | Alcon Finance Corp. (Switzerland), 144a, 3.800%, 9/23/49 | 179,134 | ||
302,000 | Amgen, Inc., 5.150%, 3/2/28 | 301,646 | ||
194,000 | Becton Dickinson & Co., 4.685%, 12/15/44 | 175,327 | ||
263,000 | CommonSpirit Health, 4.187%, 10/1/49 | 211,860 |
Principal Amount | Market Value | |||
Health Care — (Continued) | ||||
$ 240,000 | CVS Health Corp., 5.125%, 7/20/45 | $ 221,697 | ||
293,000 | DH Europe Finance II Sarl, 3.250%, 11/15/39 | 237,788 | ||
271,000 | Elevance Health, Inc., 4.750%, 2/15/33 | 263,085 | ||
232,000 | Eli Lilly & Co., 4.875%, 2/27/53 | 237,962 | ||
322,000 | HCA, Inc., 5.375%, 9/1/26 | 319,362 | ||
312,000 | UnitedHealth Group, Inc., 3.500%, 8/15/39 | 261,284 | ||
302,000 | Viatris, Inc., 2.700%, 6/22/30 | 244,247 | ||
2,902,148 | ||||
Industrials — 3.2% | ||||
272,000 | Amcor Flexibles North America, Inc., 2.630%, 6/19/30 | 226,113 | ||
153,000 | Boeing Co. (The), 5.805%, 5/1/50 | 151,864 | ||
282,000 | Burlington Northern Santa Fe LLC, 5.750%, 5/1/40 | 297,826 | ||
200,000 | Carrier Global Corp., 3.577%, 4/5/50 | 147,529 | ||
340,000 | FedEx Corp., 5.100%, 1/15/44 | 316,022 | ||
298,000 | John Deere Capital Corp., MTN, 2.450%, 1/9/30 | 261,678 | ||
272,000 | Mohawk Industries, Inc., 3.625%, 5/15/30† | 245,410 | ||
243,000 | Norfolk Southern Corp., 4.837%, 10/1/41 | 224,419 | ||
197,000 | Roper Technologies, Inc., 2.950%, 9/15/29 | 174,092 | ||
515,000 | Weir Group PLC (The) (United Kingdom), 144a, 2.200%, 5/13/26 | 460,781 | ||
202,000 | WestRock MWV LLC, 8.200%, 1/15/30 | 231,556 | ||
2,737,290 | ||||
Information Technology — 3.0% | ||||
234,000 | Apple, Inc., 4.650%, 2/23/46 | 230,342 | ||
432,000 | Broadcom, Inc., 4.150%, 11/15/30 | 397,264 | ||
363,000 | Marvell Technology, Inc., 2.950%, 4/15/31 | 304,054 | ||
370,000 | Microchip Technology, Inc., 0.983%, 9/1/24 | 349,443 | ||
202,000 | Micron Technology, Inc., 2.703%, 4/15/32 | 159,177 | ||
82,000 | Micron Technology, Inc., 6.750%, 11/1/29 | 85,192 | ||
148,000 | Microsoft Corp., 3.500%, 2/12/35 | 138,374 | ||
328,000 | NXP BV / NXP Funding LLC (China), 5.350%, 3/1/26 | 325,686 | ||
174,000 | Oracle Corp., 2.650%, 7/15/26 | 160,815 | ||
120,000 | Oracle Corp., 3.600%, 4/1/40 | 92,692 | ||
94,000 | Oracle Corp., 4.300%, 7/8/34 | 85,119 | ||
220,000 | Visa, Inc., 4.150%, 12/14/35 | 209,335 | ||
2,537,493 | ||||
Utilities — 2.9% | ||||
438,000 | CMS Energy Corp., 4.750%, 6/1/50 | 377,644 | ||
93,000 | Duke Energy Progress LLC, 4.150%, 12/1/44 | 76,982 | ||
207,000 | Edison International, 4.125%, 3/15/28 | 193,113 | ||
224,000 | Electricite de France SA (France), 144a, 4.875%, 9/21/38 | 188,372 | ||
366,000 | FirstEnergy Transmission LLC, 144a, 5.450%, 7/15/44 | 337,988 | ||
351,000 | NextEra Energy Capital Holdings, Inc., (3M LIBOR +2.067%), 7.601%, 10/1/66(A) | 302,588 | ||
338,000 | Ohio Power Co., Ser R, 2.900%, 10/1/51 | 224,022 | ||
372,000 | Pacific Gas and Electric Co., 3.500%, 8/1/50 | 235,967 | ||
127,000 | PacifiCorp., 5.750%, 4/1/37 | 122,291 | ||
535,000 | WEC Energy Group, Inc., (3M LIBOR +2.112%), 7.433%, 5/15/67(A) | 450,213 | ||
2,509,180 | ||||
Energy — 2.6% | ||||
214,000 | Aker BP ASA (Norway), 144a, 6.000%, 6/13/33 | 213,791 | ||
274,000 | Boardwalk Pipelines LP, 4.800%, 5/3/29 | 262,620 | ||
207,000 | Cenovus Energy, Inc. (Canada), 5.250%, 6/15/37 | 190,391 | ||
394,000 | Cheniere Energy, Inc., 4.625%, 10/15/28 | 367,922 | ||
200,000 | Continental Resources, Inc., 144a, 5.750%, 1/15/31 | 190,087 | ||
186,487 | MC Brazil Downstream Trading SARL (Brazil), 144a, 7.250%, 6/30/31 | 125,890 | ||
266,000 | Midwest Connector Capital Co. LLC, 144a, 4.625%, 4/1/29 | 242,973 | ||
251,000 | MPLX LP, 4.950%, 3/14/52 | 212,551 |
Principal Amount | Market Value | |||
Corporate Bonds — 37.4% (Continued) | ||||
Energy — (Continued) | ||||
$ 295,000 | NGPL PipeCo LLC, 144a, 7.768%, 12/15/37 | $ 314,315 | ||
206,000 | Petroleos Mexicanos (Mexico), 6.625%, 6/15/35 | 143,689 | ||
2,264,229 | ||||
Real Estate — 2.3% | ||||
361,000 | Crown Castle International Corp. REIT, 3.650%, 9/1/27 | 337,355 | ||
338,000 | Host Hotels & Resorts LP REIT, Ser F, 4.500%, 2/1/26 | 327,607 | ||
362,000 | Invitation Homes Operating Partnership LP REIT, 4.150%, 4/15/32 | 324,035 | ||
41,000 | Kilroy Realty LP REIT, 2.500%, 11/15/32 | 28,393 | ||
139,000 | Kilroy Realty LP REIT, 2.650%, 11/15/33 | 94,223 | ||
151,000 | Kilroy Realty LP REIT, 3.050%, 2/15/30 | 118,037 | ||
290,000 | Sabra Health Care LP REIT, 5.125%, 8/15/26 | 272,321 | ||
205,000 | SBA Tower Trust REIT, 144a, 6.599%, 1/15/28 | 208,224 | ||
118,000 | STORE Capital Corp. REIT, 2.700%, 12/1/31 | 81,943 | ||
66,000 | STORE Capital Corp. REIT, 2.750%, 11/18/30 | 47,668 | ||
188,000 | STORE Capital Corp. REIT, 4.625%, 3/15/29 | 158,231 | ||
1,998,037 | ||||
Consumer Staples — 2.2% | ||||
324,000 | Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide, Inc. (Belgium), 4.900%, 2/1/46 | 308,752 | ||
306,000 | Ashtead Capital, Inc. (United Kingdom), 144a, 4.000%, 5/1/28 | 283,399 | ||
213,000 | Kroger Co. (The), 5.000%, 4/15/42 | 194,295 | ||
336,000 | Mars, Inc., 144a, 3.875%, 4/1/39 | 282,803 | ||
306,000 | PepsiCo, Inc., 4.450%, 2/15/33 | 308,356 | ||
375,000 | Philip Morris International, Inc., 5.375%, 2/15/33 | 374,025 | ||
164,000 | Starbucks Corp., 3.350%, 3/12/50 | 120,018 | ||
1,871,648 | ||||
Communication Services — 2.1% | ||||
238,000 | AT&T, Inc., 4.500%, 5/15/35 | 218,690 | ||
355,000 | British Telecommunications PLC (United Kingdom), 144a, 3.250%, 11/8/29 | 311,185 | ||
204,000 | Charter Communications Operating LLC / Charter Communications Operating Capital, 6.484%, 10/23/45 | 191,972 | ||
243,000 | Comcast Corp., 4.000%, 3/1/48 | 202,292 | ||
220,000 | Paramount Global, 4.200%, 5/19/32 | 184,264 | ||
335,000 | T-Mobile USA, Inc., 3.875%, 4/15/30 | 308,597 | ||
146,000 | T-Mobile USA, Inc., 5.750%, 1/15/54 | 149,826 | ||
339,000 | Verizon Communications, Inc., 2.987%, 10/30/56 | 214,616 | ||
1,781,442 | ||||
Materials — 1.1% | ||||
206,000 | Braskem Netherlands Finance BV (Brazil), 144a, 4.500%, 1/31/30 | 176,986 | ||
176,000 | Braskem Netherlands Finance BV (Brazil), 144a, 5.875%, 1/31/50 | 142,183 | ||
328,000 | Celanese US Holdings LLC, 6.165%, 7/15/27 | 326,890 | ||
301,000 | Sherwin-Williams Co. (The), 4.500%, 6/1/47 | 263,205 | ||
909,264 | ||||
Total Corporate Bonds | $31,966,684 | |||
U.S. Treasury Obligations — 26.6% | ||||
1,535,000 | U.S. Treasury Bond, 1.750%, 8/15/41 | 1,076,479 | ||
1,995,000 | U.S. Treasury Bond, 2.375%, 2/15/42 | 1,550,489 | ||
1,640,000 | U.S. Treasury Bond, 4.000%, 11/15/42 | 1,626,931 | ||
1,668,000 | U.S. Treasury Bond, 4.000%, 11/15/52 | 1,710,482 | ||
1,380,000 | U.S. Treasury Note, 1.875%, 2/15/32 | 1,181,409 | ||
2,272,000 | U.S. Treasury Note, 2.750%, 8/15/32 | 2,081,631 | ||
6,060,000 | U.S. Treasury Note, 3.500%, 2/15/33 | 5,899,978 | ||
4,160,000 | U.S. Treasury Note, 3.625%, 5/31/28 | 4,067,700 |
Principal Amount | Market Value | |||
U.S. Treasury Obligations — 26.6% (Continued) | ||||
$2,325,000 | U.S. Treasury Note, 4.000%, 2/29/28 | $ 2,307,018 | ||
1,176,000 | U.S. Treasury Note, 4.125%, 11/15/32 | 1,200,990 | ||
Total U.S. Treasury Obligations | $22,703,107 | |||
Commercial Mortgage-Backed Securities — 9.3% | ||||
675,000 | BANK, Ser 2018-BN14, Class A3, 3.966%, 9/15/60 | 627,949 | ||
285,000 | BANK, Ser 2020-BN26, Class A4, 2.403%, 3/15/63 | 236,610 | ||
365,000 | BANK, Ser 2022-BNK39, Class A4, 2.928%, 2/15/55 | 304,603 | ||
275,000 | BBCMS Mortgage Trust, Ser 2021-C11, Class A5, 2.322%, 9/15/54 | 220,870 | ||
810,000 | BBCMS Mortgage Trust, Ser 2021-C12, Class A5, 2.689%, 11/15/54 | 665,757 | ||
210,000 | BBCMS Mortgage Trust, Ser 2022-C14, Class A5, 2.946%, 2/15/55(A)(B) | 175,864 | ||
500,000 | BPR Trust, Ser 2021-KEN, Class B, 144a, (1M LIBOR +1.950%), 7.211%, 2/15/29(A) | 489,678 | ||
250,000 | Citigroup Commercial Mortgage Trust, Ser 2020-GC46, Class A5, 2.717%, 2/15/53 | 210,208 | ||
333,876 | COMM Mortgage Trust, Ser 2014-CR14, Class A2, 3.147%, 2/10/47 | 331,927 | ||
390,000 | COMM Mortgage Trust, Ser 2015-DC1, Class A5, 3.350%, 2/10/48 | 371,195 | ||
360,000 | DBUBS Mortgage Trust, Ser 2017-BRBK, Class B, 144a, 3.648%, 10/10/34(A)(B) | 307,455 | ||
375,000 | GS Mortgage Securities Corp. II, Ser 2017-SLP, Class B, 144a, 3.772%, 10/10/32 | 362,377 | ||
250,000 | GS Mortgage Securities Trust, Ser 2017-FARM, Class B, 144a, 3.659%, 1/10/43(A)(B) | 209,839 | ||
390,000 | GS Mortgage Securities Trust, Ser 2020-GC47, Class A5, 2.377%, 5/12/53 | 316,961 | ||
210,000 | HONO Mortgage Trust, Ser 2021-LULU, Class B, 144a, (1M LIBOR +1.450%), 6.643%, 10/15/36(A) | 198,396 | ||
805,000 | JP Morgan Chase Commercial Mortgage Securities Trust, Ser 2017-JP7, Class A5, 3.454%, 9/15/50 | 728,636 | ||
350,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2018-MINN, Class A, 144a, (1M LIBOR +1.27%), 6.463%, 11/15/35(A) | 338,110 | ||
355,000 | Morgan Stanley Capital I Trust, Ser 2018-H3, Class A5, 4.177%, 7/15/51 | 329,258 | ||
320,000 | New York City Housing Development Corp., Ser 2014-8SPR, Class B, 3.864%, 2/15/48 | 306,621 | ||
675,000 | SG Commercial Mortgage Securities Trust, Ser 2019-787E, Class A, 144a, 4.163%, 2/15/41 | 587,036 | ||
700,000 | Wells Fargo Commercial Mortgage Trust, Ser 2019-C53, Class A4, 3.040%, 10/15/52 | 605,253 | ||
Total Commercial Mortgage-Backed Securities | $7,924,603 | |||
U.S. Government Mortgage-Backed Obligations — 7.0% | ||||
40,196 | FHLMC, Pool #A95946, 4.000%, 1/1/41 | 38,689 | ||
28,047 | FHLMC, Pool #A96485, 4.500%, 1/1/41 | 27,666 | ||
9,041 | FHLMC, Pool #G03217, 5.500%, 9/1/37 | 9,040 | ||
4,349 | FHLMC, Pool #G03781, 6.000%, 1/1/38 | 4,502 | ||
189,038 | FHLMC, Pool #G05624, 4.500%, 9/1/39 | 186,960 | ||
255,384 | FHLMC, Pool #Q29056, 4.000%, 10/1/44 | 244,533 | ||
112,105 | FHLMC, Pool #Q29260, 4.000%, 10/1/44 | 107,400 | ||
551,009 | FHLMC REMIC, Pool #QD2143, 2.000%, 12/1/51 | 450,437 | ||
602,811 | FHLMC REMIC, Pool #SD0881, 2.500%, 2/1/52 | 511,932 | ||
2,585 | FNMA, Pool #561741, 7.500%, 1/1/31 | 2,632 | ||
156,679 | FNMA, Pool #725423, 5.500%, 5/1/34 | 160,354 | ||
139,575 | FNMA, Pool #725610, 5.500%, 7/1/34 | 142,875 | ||
3,448 | FNMA, Pool #889734, 5.500%, 6/1/37 | 3,544 | ||
22,674 | FNMA, Pool #AB1149, 5.000%, 6/1/40 | 22,847 | ||
22,165 | FNMA, Pool #AB1800, 4.000%, 11/1/40 | 21,310 | ||
38,159 | FNMA, Pool #AD3795, 4.500%, 4/1/40 | 37,597 |
Principal Amount | Market Value | |||
U.S. Government Mortgage-Backed Obligations — 7.0% (Continued) | ||||
$ 49,435 | FNMA, Pool #AD9150, 5.000%, 8/1/40 | $ 49,812 | ||
91,692 | FNMA, Pool #AD9193, 5.000%, 9/1/40 | 92,389 | ||
63,248 | FNMA, Pool #AE0548, 4.500%, 11/1/40 | 62,481 | ||
53,417 | FNMA, Pool #AE4429, 4.000%, 10/1/40 | 51,356 | ||
1,381 | FNMA, Pool #AH2666, 4.000%, 1/1/26 | 1,345 | ||
3,187 | FNMA, Pool #AH3493, 4.000%, 2/1/26 | 3,094 | ||
81,555 | FNMA, Pool #AL0054, 4.500%, 2/1/41 | 80,565 | ||
231,928 | FNMA, Pool #AR9195, 3.000%, 3/1/43 | 209,429 | ||
190,297 | FNMA, Pool #AT2016, 3.000%, 4/1/43 | 171,835 | ||
149,339 | FNMA, Pool #BC1158, 3.500%, 2/1/46 | 138,922 | ||
570,051 | FNMA, Pool #BV4148, 3.000%, 3/1/52 | 504,242 | ||
313,671 | FNMA, Pool #FM4996, 2.000%, 12/1/50 | 258,489 | ||
288,725 | FNMA, Pool #FM5166, 3.000%, 12/1/50 | 255,698 | ||
243,797 | FNMA, Pool #FM5279, 3.500%, 11/1/50 | 224,157 | ||
191,199 | FNMA, Pool #FM5468, 2.500%, 1/1/36 | 174,545 | ||
271,531 | FNMA, Pool #FM5682, 2.500%, 1/1/51 | 231,727 | ||
87,315 | FNMA, Pool #MA1175, 3.000%, 9/1/42 | 78,846 | ||
53,326 | FNMA, Pool #MA2177, 4.000%, 2/1/35 | 51,635 | ||
324,919 | FNMA, Pool #MA4166, 3.000%, 10/1/40 | 295,090 | ||
620,983 | FNMA, Pool #MA4571, 2.500%, 3/1/42 | 539,811 | ||
69,599 | GNMA, Pool #4853, 4.000%, 11/20/40 | 67,573 | ||
53,055 | GNMA, Pool #4883, 4.500%, 12/20/40 | 52,719 | ||
211,211 | GNMA, Pool #5175, 4.500%, 9/20/41 | 209,875 | ||
17,074 | GNMA, Pool #736696, 4.500%, 5/15/40 | 16,840 | ||
129,165 | GNMA, Pool #AD1745, 3.000%, 2/20/43 | 115,990 | ||
78,521 | GNMA, Pool #MA1157, 3.500%, 7/20/43 | 73,999 | ||
Total U.S. Government Mortgage-Backed Obligations | $5,984,782 | |||
Asset-Backed Securities — 4.8% | ||||
224,863 | CF Hippolyta Issuer LLC, Ser 2020-1, Class A1, 144a, 1.690%, 7/15/60 | 201,749 | ||
694,188 | Driven Brands Funding LLC, Ser 2019-1A, Class A2, 144a, 4.641%, 4/20/49 | 651,926 | ||
344,750 | Driven Brands Funding LLC, Ser 2021-1A, Class A2, 144a, 2.791%, 10/20/51 | 283,041 | ||
226,654 | Elara HGV Timeshare Issuer LLC, Ser 2019-A, Class B, 144a, 2.910%, 1/25/34 | 207,494 | ||
292,500 | Jack in the Box Funding LLC, Ser 2022-1A, Class A2I, 144a, 3.445%, 2/26/52 | 258,952 | ||
265,990 | Jersey Mike's Funding, Ser 2019-1A, Class A2, 144a, 4.433%, 2/15/50 | 243,842 | ||
150,625 | Jimmy Johns Funding LLC, Ser 2017-1A, Class A2II, 144a, 4.846%, 7/30/47 | 138,840 | ||
297,000 | Jimmy Johns Funding LLC, Ser 2022-1A, Class A2I, 144a, 4.077%, 4/30/52 | 266,039 | ||
375,000 | Madison Park Funding XLIX Ltd. (Cayman Islands), Ser 2021-49A, Class B1, 144a, (3M LIBOR +1.700%), 6.965%, 10/19/34(A) | 366,191 | ||
289,383 | Mill City Mortgage Loan Trust, Ser 2018-3, Class M3, 144a, 3.250%, 8/25/58(A)(B) | 243,409 | ||
350,000 | New Mountain CLO 1 Ltd. (Cayman Islands), Ser CLO-1A, Class AR, 144a, (3M LIBOR +1.200%), 6.460%, 10/15/34(A) | 343,173 | ||
409,575 | Planet Fitness Master Issuer LLC, Ser 2018-1A, Class A2II, 144a, 4.666%, 9/5/48 | 390,662 | ||
296,250 | Planet Fitness Master Issuer LLC, Ser 2022-1A, Class A2I, 144a, 3.251%, 12/5/51 | 263,295 | ||
234,713 | TAL Advantage VII LLC, Ser 2020-1A, Class A, 144a, 2.050%, 9/20/45 | 205,574 | ||
Total Asset-Backed Securities | $4,064,187 |
Shares | MarketValue | |||
Exchange-Traded Fund — 4.6% | ||||
45,431 | iShares JP Morgan USD Emerging Markets Bond ETF | $ 3,931,599 |
Principal Amount | ||||
Non-Agency Collateralized Mortgage Obligations — 4.2% | ||||
$ 53,385 | Agate Bay Mortgage Trust, Ser 2013-1, Class B3, 144a, 3.556%, 7/25/43(A)(B) | 49,512 | ||
270,626 | Agate Bay Mortgage Trust, Ser 2015-4, Class B2, 144a, 3.514%, 6/25/45(A)(B) | 251,025 | ||
270,152 | Agate Bay Mortgage Trust, Ser 2015-7, Class B1, 144a, 3.646%, 10/25/45(A)(B) | 246,500 | ||
143,475 | CSMC Trust, Ser 2013-IVR3, Class B2, 144a, 3.408%, 5/25/43(A)(B) | 136,399 | ||
202,169 | CSMC Trust, Ser 2015-1, Class B3, 144a, 3.906%, 1/25/45(A)(B) | 186,565 | ||
116,153 | CSMC Trust, Ser 2015-WIN1, Class B3, 144a, 3.771%, 12/25/44(A)(B) | 107,424 | ||
343,268 | Deephaven Residential Mortgage Trust, Ser 2022-2, Class A1, 144a, 4.300%, 3/25/67(A)(B) | 317,731 | ||
171 | Deutsche ALT-A Securities, Inc. ALT, Ser 2003-2XS, Class A6, 5.470%, 9/25/33(A)(B) | 165 | ||
27,289 | EverBank Mortgage Loan Trust, Ser 2013-1, Class B1, 144a, 3.495%, 3/25/43(A)(B) | 26,699 | ||
405,995 | EverBank Mortgage Loan Trust, Ser 2018-1, Class B2, 144a, 3.575%, 2/25/48(A)(B) | 345,286 | ||
276,412 | GS Mortgage-Backed Securities Trust, Ser 2021-PJ6, Class A2, 144a, 2.500%, 11/25/51(A)(B) | 222,490 | ||
464,582 | JP Morgan Mortgage Trust, Ser 2017-1, Class B2, 144a, 3.450%, 1/25/47(A)(B) | 391,080 | ||
411,095 | JP Morgan Mortgage Trust, Ser 2022-2, Class A25A, 144a, 2.500%, 8/25/52(A)(B) | 317,539 | ||
76,054 | Residential Asset Securitization Trust, Ser 2006-A1, Class 1A3, 6.000%, 4/25/36 | 34,033 | ||
50,682 | Sequoia Mortgage Trust, Ser 2013-10, Class B2, 144a, 3.533%, 8/25/43(A)(B) | 47,221 | ||
69,586 | Sequoia Mortgage Trust, Ser 2013-5, Class B1, 144a, 3.492%, 5/25/43(A)(B) | 64,679 | ||
440,218 | Sequoia Mortgage Trust, Ser 2018-CH3, Class B1B, 144a, 4.757%, 8/25/48(A)(B) | 414,849 | ||
398,947 | Sequoia Mortgage Trust, Ser 2018-CH3, Class B2B, 144a, 4.757%, 8/25/48(A)(B) | 375,956 | ||
22,101 | Washington Mutual Mortgage Pass-Through Certificates, Ser 2005-9, Class 2A4, 5.500%, 11/25/35 | 18,901 | ||
Total Non-Agency Collateralized Mortgage Obligations | $3,554,054 | |||
Agency Collateralized Mortgage Obligations — 2.1% | ||||
230,000 | FHLMC REMIC, Ser 4991, Class HB, 2.000%, 7/25/50 | 166,298 | ||
725,000 | FHLMC REMIC, Ser 5178, Class CV, 2.000%, 11/25/40 | 537,907 | ||
10,451 | FNMA REMIC, Ser 2015-51, Class KC, 3.000%, 6/25/45 | 9,694 | ||
210,137 | FNMA REMIC, Ser 2017-90, Class KA, 3.000%, 11/25/47 | 192,372 | ||
450,000 | FNMA REMIC, Ser 2019-35, Class KB, 3.000%, 7/25/49 | 361,805 | ||
675,000 | FNMA REMIC, Ser 2022-16, Class KB, 2.500%, 11/25/49 | 508,872 | ||
Total Agency Collateralized Mortgage Obligations | $1,776,948 | |||
Sovereign Government Obligations — 0.8% | ||||
210,000 | Bahamas Government International Bond, 144a, 6.000%, 11/21/28 | 167,475 | ||
306,000 | Chile Government International Bond, 3.100%, 1/22/61 | 199,019 | ||
206,000 | Colombia Government International Bond, 3.250%, 4/22/32 | 152,246 |
Principal Amount | MarketValue | |||
Sovereign Government Obligations — 0.8% (Continued) | ||||
$ 226,000 | Ecuador Government International Bond, 144a, 5.500%, 7/31/30 | $ 108,667 | ||
210,000 | Ghana Government International Bond, 144a, 7.625%, 5/16/29 | 89,250 | ||
Total Sovereign Government Obligations | $716,657 |
Shares | ||||
Short-Term Investment Funds — 2.6% | ||||
1,922,736 | Dreyfus Government Cash Management, Institutional Shares, 5.00%∞Ω | 1,922,736 | ||
248,337 | Invesco Government & Agency Portfolio, Institutional Class, 5.05%∞Ω** | 248,337 | ||
Total Short-Term Investment Funds | $2,171,073 | |||
Total Investment Securities—99.4% (Cost $93,135,253) | $84,793,694 | |||
Other Assets in Excess of Liabilities — 0.6% | 536,708 | |||
Net Assets — 100.0% | $85,330,402 |
(A) | Variable rate security - Rate reflected is the rate in effect as of June 30, 2023. |
(B) | Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description. |
** | Represents collateral for securities loaned. |
† | All or a portion of the security is on loan. The total market value of the securities on loan as of June 30, 2023 was $242,884. |
∞ | Open-End Fund. |
Ω | Represents the 7-Day SEC yield as of June 30, 2023. |
Portfolio Abbreviations: |
CLO – Collateralized Loan Obligation |
DAC – Designated Activity Company |
ETF – Exchange-Traded Fund |
FHLMC – Federal Home Loan Mortgage Corporation |
FNMA – Federal National Mortgage Association |
GNMA – Government National Mortgage Association |
ICE – Intercontinental Exchange, Inc. |
LIBOR – London Interbank Offered Rate |
LLC – Limited Liability Company |
LP – Limited Partnership |
MTN – Medium Term Note |
PLC – Public Limited Company |
REIT – Real Estate Investment Trust |
REMIC – Real Estate Mortgage Investment Conduit |
USD – United States Dollar |
144a - This is a restricted security that was sold in a transaction qualifying for the exemption under Rule 144a of the Securities Act of 1933. This security may be sold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2023, these securities were valued at $16,404,254 or 19.2% of net assets. These securities were deemed liquid pursuant to procedures approved by the Board of Trustees. |
Valuation Inputs at Reporting Date: | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Assets: | ||||
Corporate Bonds | $— | $31,966,684 | $— | $31,966,684 |
U.S. Treasury Obligations | — | 22,703,107 | — | 22,703,107 |
Commercial Mortgage-Backed Securities | — | 7,924,603 | — | 7,924,603 |
U.S. Government Mortgage-Backed Obligations | — | 5,984,782 | — | 5,984,782 |
Asset-Backed Securities | — | 4,064,187 | — | 4,064,187 |
Exchange-Traded Fund | 3,931,599 | — | — | 3,931,599 |
Non-Agency Collateralized Mortgage Obligations | — | 3,554,054 | — | 3,554,054 |
Agency Collateralized Mortgage Obligations | — | 1,776,948 | — | 1,776,948 |
Sovereign Government Obligations | — | 716,657 | — | 716,657 |
Short-Term Investment Funds | 2,171,073 | — | — | 2,171,073 |
Other Financial Instruments | ||||
Futures | ||||
Interest rate contracts | 46,537 | — | — | 46,537 |
Total Assets | $6,149,209 | $78,691,022 | $— | $84,840,231 |
Liabilities: | ||||
Other Financial Instruments | ||||
Swap Agreements | ||||
Credit contracts | $— | $(52,834) | $— | $(52,834) |
Futures | ||||
Interest rate contracts | (338,310) | — | — | (338,310) |
Total Liabilities | $(338,310) | $(52,834) | $— | $(391,144) |
Total | $5,810,899 | $78,638,188 | $— | $84,449,087 |
Description | Expiration Date | Number of Contracts | Notional Value | Unrealized Appreciation/ Depreciation |
Short Futures: | ||||
10-Year U.S. Ultra Treasury Note | 9/20/2023 | 22 | $2,605,625 | $36,032 |
30-Year U.S. Ultra Treasury Bond | 9/20/2023 | 9 | 1,225,969 | 10,505 |
Long Futures: | ||||
5-Year U.S. Treasury Note | 9/29/2023 | 39 | 4,176,656 | (29,964) |
2-Year U.S. Treasury Note | 9/29/2023 | 106 | 21,554,438 | (308,346) |
$(291,773) |
Counterparty | Termination Date | Notional Amount(2) | Pay Fixed Rate | Clearinghouse | Underlying Bond | Value(3) | Premiums Paid/ (Received) | Unrealized Depreciation |
Buy Protection: | ||||||||
Wells Fargo | 6/20/28 | $3,595,000 | 5.000% | ICE | Markit CDX North America High Yield Series 40 5Y Index | $(100,410) | $(47,576) | $(52,834) |
(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 referenced obligation or underlying investments comprising the referenced index or (ii) receive a net settlement amount in the form of cash or investments equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying investments comprising the referenced index. |
(2) | The maximum potential amount the Fund could be required to pay 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. |
(3) | The quoted market prices and resulting values for credit default swap agreements on the underlying bond serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative had the notional amount of the swap agreement been closed/sold as of the period end. Decreasing market values (sell protection) or increasing market values (buy protection) when compared to the notional amount of the swap, 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. |
Shares | Market Value | |||
Common Stocks — 100.3% | ||||
Information Technology — 27.2% | ||||
87,268 | Apple, Inc. | $ 16,927,374 | ||
22,843 | International Business Machines Corp. | 3,056,622 | ||
55,447 | Microsoft Corp. | 18,881,921 | ||
42,886 | Oracle Corp. | 5,107,294 | ||
23,223 | Salesforce, Inc.* | 4,906,091 | ||
25,987 | Texas Instruments, Inc. | 4,678,180 | ||
14,663 | Workday, Inc. - Class A* | 3,312,225 | ||
56,869,707 | ||||
Health Care — 16.3% | ||||
25,420 | AmerisourceBergen Corp. | 4,891,571 | ||
41,078 | BioMarin Pharmaceutical, Inc.* | 3,560,641 | ||
46,888 | Bristol-Myers Squibb Co. | 2,998,488 | ||
19,074 | HCA Healthcare, Inc. | 5,788,577 | ||
40,115 | Johnson & Johnson | 6,639,835 | ||
43,174 | Medtronic PLC | 3,803,629 | ||
13,318 | UnitedHealth Group, Inc. | 6,401,163 | ||
34,083,904 | ||||
Financials — 14.0% | ||||
150,470 | Bank of America Corp. | 4,316,984 | ||
27,398 | Berkshire Hathaway, Inc. - Class B* | 9,342,718 | ||
14,825 | Goldman Sachs Group, Inc. (The) | 4,781,656 | ||
2,590 | Markel Group, Inc.* | 3,582,436 | ||
25,722 | PayPal Holdings, Inc.* | 1,716,429 | ||
22,768 | Visa, Inc. - Class A | 5,406,945 | ||
29,147,168 | ||||
Communication Services — 13.8% | ||||
83,721 | Alphabet, Inc. - Class C* | 10,127,729 | ||
88,597 | AT&T, Inc. | 1,413,122 | ||
79,545 | Comcast Corp. - Class A | 3,305,095 | ||
24,139 | Fox Corp. - Class A | 820,726 | ||
30,422 | Meta Platforms, Inc. - Class A* | 8,730,505 | ||
6,573 | Netflix, Inc.* | 2,895,341 | ||
16,977 | Walt Disney Co. (The)* | 1,515,707 | ||
28,808,225 | ||||
Consumer Discretionary — 8.8% | ||||
16,963 | Airbnb, Inc. - Class A* | 2,173,978 | ||
15,202 | Alibaba Group Holding Ltd. (China) ADR* | 1,267,086 | ||
75,433 | Amazon.com, Inc.* | 9,833,446 | ||
18,191 | Hilton Worldwide Holdings, Inc. | 2,647,700 | ||
25,379 | Starbucks Corp. | 2,514,044 | ||
18,436,254 | ||||
Industrials — 8.8% | ||||
15,193 | Boeing Co. (The)* | 3,208,154 | ||
7,486 | FedEx Corp. | 1,855,779 | ||
9,189 | Hubbell, Inc. | 3,046,705 | ||
37,773 | Raytheon Technologies Corp. | 3,700,243 |
Shares | Market Value | |||
Industrials — (Continued) | ||||
63,607 | Southwest Airlines Co. | $ 2,303,210 | ||
41,743 | SS&C Technologies Holdings, Inc. | 2,529,626 | ||
18,592 | Stanley Black & Decker, Inc. | 1,742,256 | ||
18,385,973 | ||||
Consumer Staples — 4.4% | ||||
80,216 | Monster Beverage Corp.* | 4,607,607 | ||
46,964 | Philip Morris International, Inc. | 4,584,626 | ||
9,192,233 | ||||
Energy — 4.2% | ||||
50,133 | Exxon Mobil Corp. | 5,376,764 | ||
67,838 | Schlumberger NV | 3,332,203 | ||
8,708,967 | ||||
Materials — 1.7% | ||||
50,117 | DuPont de Nemours, Inc. | 3,580,358 | ||
Real Estate — 1.1% | ||||
14,337 | Jones Lang LaSalle, Inc.* | 2,233,705 | ||
Total Common Stocks | $209,446,494 | |||
Short-Term Investment Fund — 0.0% | ||||
516 | Dreyfus Government Cash Management, Institutional Shares, 5.00%∞Ω | 516 | ||
Total Investment Securities—100.3% (Cost $110,997,957) | $209,447,010 | |||
Liabilities in Excess of Other Assets — (0.3%) | (603,203) | |||
Net Assets — 100.0% | $208,843,807 |
* | Non-income producing security. |
∞ | Open-End Fund. |
Ω | Represents the 7-Day SEC yield as of June 30, 2023. |
Portfolio Abbreviations: |
ADR – American Depositary Receipt |
PLC – Public Limited Company |
Valuation Inputs at Reporting Date: | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks | $209,446,494 | $— | $— | $209,446,494 |
Short-Term Investment Fund | 516 | — | — | 516 |
Total | $209,447,010 | $— | $— | $209,447,010 |
Shares | Market Value | |||
Common Stocks — 99.0% | ||||
Industrials — 22.2% | ||||
10,507 | ASGN, Inc.* | $ 794,644 | ||
5,259 | Clean Harbors, Inc. * | 864,737 | ||
10,958 | Crane Co. | 976,577 | ||
15,078 | Crane NXT Co. | 851,002 | ||
4,890 | Curtiss-Wright Corp. | 898,097 | ||
4,520 | EMCOR Group, Inc. | 835,206 | ||
7,239 | ESCO Technologies, Inc. | 750,178 | ||
5,207 | ExlService Holdings, Inc.* | 786,570 | ||
14,010 | Federal Signal Corp. | 897,060 | ||
14,368 | ITT, Inc. | 1,339,241 | ||
19,928 | KBR, Inc. | 1,296,516 | ||
18,516 | MAXIMUS, Inc. | 1,564,787 | ||
10,380 | WNS Holdings Ltd. (India) ADR* | 765,214 | ||
32,820 | Zurn Elkay Water Solutions Corp. | 882,530 | ||
13,502,359 | ||||
Health Care — 16.8% | ||||
9,844 | Bio-Techne Corp. | 803,566 | ||
37,940 | Certara, Inc.* | 690,887 | ||
1,500 | Chemed Corp. | 812,505 | ||
13,293 | Encompass Health Corp. | 900,069 | ||
13,230 | Ensign Group, Inc. (The) | 1,262,936 | ||
14,988 | Globus Medical, Inc. - Class A* | 892,386 | ||
9,103 | Merit Medical Systems, Inc.* | 761,375 | ||
50,828 | NextGen Healthcare, Inc.* | 824,430 | ||
30,308 | Premier, Inc. - Class A | 838,319 | ||
21,287 | Progyny, Inc.* | 837,431 | ||
10,118 | QuidelOrtho Corp.* | 838,377 | ||
61,050 | Veradigm, Inc.* | 769,230 | ||
10,231,511 | ||||
Consumer Discretionary — 15.4% | ||||
26,436 | Frontdoor, Inc.* | 843,308 | ||
25,650 | Gentex Corp. | 750,519 | ||
8,220 | Grand Canyon Education, Inc.* | 848,386 | ||
113,985 | Leslie's, Inc.* | 1,070,319 | ||
13,493 | Malibu Boats, Inc. - Class A* | 791,499 | ||
8,190 | Oxford Industries, Inc. | 806,060 | ||
12,480 | Skyline Champion Corp.* | 816,816 | ||
40,292 | Steven Madden Ltd. | 1,317,146 | ||
7,388 | Texas Roadhouse, Inc. | 829,525 | ||
3,100 | TopBuild Corp.* | 824,662 | ||
30,488 | Zumiez, Inc.* | 507,930 | ||
9,406,170 | ||||
Information Technology — 15.0% | ||||
8,092 | Advanced Energy Industries, Inc. | 901,853 | ||
45,150 | Box, Inc. - Class A* | 1,326,507 | ||
116,749 | CCC Intelligent Solutions Holdings, Inc.* | 1,308,756 | ||
12,633 | CommVault Systems, Inc.* | 917,409 | ||
22,055 | Digi International, Inc.* | 868,747 | ||
11,712 | Onto Innovation, Inc.* | 1,364,097 | ||
5,630 | Qualys, Inc.* | 727,227 | ||
4,404 | SPS Commerce, Inc.* | 845,832 | ||
24,885 | Verint Systems, Inc.* | 872,468 | ||
9,132,896 | ||||
Real Estate — 10.6% | ||||
13,080 | Agree Realty Corp. REIT | 855,301 | ||
54,070 | Apple Hospitality REIT, Inc. | 816,998 | ||
7,693 | Colliers International Group, Inc. (Canada) | 755,376 |
Shares | Market Value | |||
Real Estate — (Continued) | ||||
60,515 | Corporate Office Properties Trust REIT | $ 1,437,231 | ||
42,570 | Healthcare Realty Trust, Inc. REIT | 802,870 | ||
42,160 | Kite Realty Group Trust REIT | 941,854 | ||
22,940 | STAG Industrial, Inc. REIT | 823,087 | ||
6,432,717 | ||||
Financials — 9.1% | ||||
6,496 | Evercore, Inc. - Class A | 802,841 | ||
114,872 | FNB Corp. | 1,314,136 | ||
33,800 | Home BancShares, Inc. | 770,640 | ||
34,480 | Pacific Premier Bancorp, Inc. | 713,046 | ||
11,400 | SouthState Corp. | 750,120 | ||
31,887 | Webster Financial Corp. | 1,203,734 | ||
5,554,517 | ||||
Materials — 4.3% | ||||
9,159 | Ashland, Inc. | 796,009 | ||
5,091 | Eagle Materials, Inc. | 949,064 | ||
18,451 | Silgan Holdings, Inc. | 865,167 | ||
2,610,240 | ||||
Energy — 3.0% | ||||
21,560 | Cactus, Inc. - Class A | 912,419 | ||
29,390 | ChampionX Corp. | 912,266 | ||
1,824,685 | ||||
Communication Services — 2.6% | ||||
38,666 | Cargurus, Inc.* | 875,012 | ||
10,539 | Ziff Davis, Inc.* | 738,362 | ||
1,613,374 | ||||
Total Common Stocks | $60,308,469 | |||
Short-Term Investment Fund — 1.2% | ||||
713,545 | Dreyfus Government Cash Management, Institutional Shares, 5.00%∞Ω | 713,545 | ||
Total Investment Securities—100.2% (Cost $46,364,396) | $61,022,014 | |||
Liabilities in Excess of Other Assets — (0.2%) | (108,942) | |||
Net Assets — 100.0% | $60,913,072 |
* | Non-income producing security. |
∞ | Open-End Fund. |
Ω | Represents the 7-Day SEC yield as of June 30, 2023. |
Portfolio Abbreviations: |
ADR – American Depositary Receipt |
REIT – Real Estate Investment Trust |
Valuation Inputs at Reporting Date: | ||||
Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks | $60,308,469 | $— | $— | $60,308,469 |
Short-Term Investment Fund | 713,545 | — | — | 713,545 |
Total | $61,022,014 | $— | $— | $61,022,014 |
Touchstone Balanced Fund | Touchstone Bond Fund | Touchstone Common Stock Fund | Touchstone Small Company Fund | |
Assets | ||||
Investments, at cost | $44,727,753 | $93,135,253 | $110,997,957 | $46,364,396 |
Investments, at market value * | $51,300,631 | $84,793,694 | $209,447,010 | $61,022,014 |
Cash deposits held at prime broker (A) | — | 405,556 | — | — |
Foreign currency † | — | — | 1,094 | 99 |
Dividends and interest receivable | 191,244 | 694,031 | 127,275 | 40,654 |
Receivable for capital shares sold | 106 | 7,662 | 2,849 | 2,730 |
Receivable for investments sold | 80,968 | 282,323 | — | — |
Receivable for securities lending income | 34 | 105 | — | — |
Tax reclaim receivable | 127 | 338 | — | — |
Other assets | 40 | 85 | 125 | 59 |
Total Assets | 51,573,150 | 86,183,794 | 209,578,353 | 61,065,556 |
Liabilities | ||||
Due to custodian | — | 9,365 | 357,330 | — |
Payable for return of collateral for securities on loan | 82,944 | 248,337 | — | — |
Payable for capital shares redeemed | 32,531 | 27,533 | 44,904 | 3,437 |
Payable for investments purchased | 103,924 | 308,942 | — | 60,614 |
Payable to Investment Adviser | 35,852 | 21,096 | 77,921 | 20,042 |
Payable to other affiliates | 7,449 | 31,284 | 82,914 | 8,256 |
Payable to Trustees | 19,363 | 19,363 | 19,363 | 19,363 |
Payable for professional services | 12,872 | 13,115 | 13,955 | 11,819 |
Payable for reports to shareholders | 4,340 | 5,041 | 7,224 | 6,190 |
Payable for transfer agent services | 11,794 | 29,201 | 110,976 | 18,795 |
Payable for variation margin on futures contracts | — | 21,094 | — | — |
Payable for variation margin on swap agreements | — | 100,410 | — | — |
Other accrued expenses and liabilities | 10,092 | 18,611 | 19,959 | 3,968 |
Total Liabilities | 321,161 | 853,392 | 734,546 | 152,484 |
Net Assets | $51,251,989 | $85,330,402 | $208,843,807 | $60,913,072 |
Net assets consist of: | ||||
Paid-in capital | 44,498,246 | 97,093,562 | 87,178,855 | 45,110,762 |
Distributable earnings (deficit) | 6,753,743 | (11,763,160) | 121,664,952 | 15,802,310 |
Net Assets | $51,251,989 | $85,330,402 | $208,843,807 | $60,913,072 |
Pricing of Class SC Shares | ||||
Net assets applicable to Class SC Shares | $35,065,626 | $52,794,647 | $73,894,792 | $— |
Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value) | 3,136,292 | 5,976,527 | 6,528,247 | — |
Net asset value, offering price and redemption price per share | $11.18 | $8.83 | $11.32 | $— |
Pricing of Class I Shares | ||||
Net assets applicable to Class I Shares | $16,186,363 | $32,535,755 | $134,949,015 | $60,913,072 |
Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value) | 1,447,330 | 3,679,217 | 11,862,726 | 4,872,095 |
Net asset value, offering price and redemption price per share | $11.18 | $8.84 | $11.38 | $12.50 |
*Includes market value of securities on loan of: | $81,105 | $242,884 | $— | $— |
†Cost of foreign currency: | $— | $— | $1,102 | $103 |
(A) | Represents segregated cash for futures contracts and swap agreements. |
Touchstone Balanced Fund | Touchstone Bond Fund | Touchstone Common Stock Fund | Touchstone Small Company Fund | |
Investment Income | ||||
Dividends* | $290,946 | $108,495 | $1,367,300 | $385,848 |
Interest | 374,318 | 1,682,393 | — | — |
Income from securities loaned | 451 | 1,790 | — | — |
Total Investment Income | 665,715 | 1,792,678 | 1,367,300 | 385,848 |
Expenses | ||||
Investment advisory fees | 152,486 | 164,778 | 493,523 | 148,646 |
Administration fees | 38,378 | 60,024 | 136,733 | 41,149 |
Compliance fees and expenses | 1,807 | 1,807 | 1,807 | 1,807 |
Custody fees | 18,747 | 16,280 | 2,707 | 3,225 |
Professional fees | 12,809 | 14,625 | 14,024 | 11,831 |
Transfer Agent fees, Class SC | 7,106 | 4,882 | 13,111 | — |
Transfer Agent fees, Class I | 2,273 | 14,657 | 54,877 | 12,180 |
Reports to Shareholders, Class SC | 3,023 | 3,236 | 3,494 | — |
Reports to Shareholders, Class I | 3,763 | 4,451 | 5,976 | 5,768 |
Shareholder servicing fees, Class SC | 50,134 | 18,847 | 67,683 | — |
Trustee fees | 12,944 | 12,944 | 12,944 | 12,944 |
Other expenses | 15,550 | 18,729 | 10,534 | 8,692 |
Total Expenses | 319,020 | 335,260 | 817,413 | 246,242 |
Fees waived and/or reimbursed by the Adviser and/or Affiliates(A) | (99,214) | (28,463) | (29,621) | (20,301) |
Net Expenses | 219,806 | 306,797 | 787,792 | 225,941 |
Net Investment Income (Loss) | 445,909 | 1,485,881 | 579,508 | 159,907 |
Realized and Unrealized Gains (Losses) on Investments | ||||
Net realized gains (losses) on investments | (181,491) | (1,446,442) | 8,961,867 | 1,847,865 |
Net realized gains on futures contracts | — | 76,938 | — | — |
Net realized losses on swap agreements | — | (36,658) | — | — |
Net realized losses on foreign currency transactions | — | — | — | (553) |
Net change in unrealized appreciation (depreciation) on investments | 6,288,728 | 2,067,561 | 25,229,483 | 2,132,320 |
Net change in unrealized appreciation (depreciation) on futures contracts | — | (291,773) | — | — |
Net change in unrealized appreciation (depreciation) on swap agreements | — | (52,834) | — | — |
Net change in unrealized appreciation (depreciation) on foreign currency transactions | — | — | 22 | (4) |
Net Realized and Unrealized Gains (Losses) on Investments | 6,107,237 | 316,792 | 34,191,372 | 3,979,628 |
Change in Net Assets Resulting from Operations | $6,553,146 | $1,802,673 | $34,770,880 | $4,139,535 |
*Net of foreign tax withholding of: | $— | $— | $— | $173 |
(A) | See Note 4 in Notes to Financial Statements. |
Touchstone Balanced Fund | Touchstone Bond Fund | Touchstone Common Stock Fund | ||||
For the Six Months Ended June 30, 2023 (Unaudited) | For the Year Ended December 31, 2022 | For the Six Months Ended June 30, 2023 (Unaudited) | For the Year Ended December 31, 2022 | For the Six Months Ended June 30, 2023 (Unaudited) | For the Year Ended December 31, 2022 | |
From Operations | ||||||
Net investment income | $445,909 | $630,719 | $1,485,881 | $2,397,421 | $579,508 | $985,656 |
Net realized gains (losses) on investments, futures contracts, swap agreements and foreign currency transactions | (181,491) | (692,873) | (1,406,162) | (4,402,905) | 8,961,867 | 12,734,514 |
Net change in unrealized appreciation (depreciation) on investments, futures contracts, swap agreements and foreign currency transactions | 6,288,728 | (11,321,169) | 1,722,954 | (12,824,531) | 25,229,505 | (57,658,440) |
Change in Net Assets from Operations | 6,553,146 | (11,383,323) | 1,802,673 | (14,830,015) | 34,770,880 | (43,938,270) |
Distributions to Shareholders: | ||||||
Distributed earnings, Class SC | — | (10,101,111) | — | (1,511,719) | — | (10,047,501) |
Distributed earnings, Class I | — | (3,802,026) | — | (983,538) | — | (17,925,930) |
Total Distributions | — | (13,903,137) | — | (2,495,257) | — | (27,973,431) |
Share Transactions Class SC | ||||||
Proceeds from Shares issued | 112,855 | 1,276,232 | 398,988 | 1,412,860 | 200,036 | 534,139 |
Reinvestment of distributions | — | 10,101,111 | — | 1,511,719 | — | 10,047,501 |
Cost of Shares redeemed | (9,719,025) | (5,517,199) | (3,647,674) | (2,855,299) | (6,986,930) | (9,423,608) |
Change in Net Assets from Class SC Share Transactions | (9,606,170) | 5,860,144 | (3,248,686) | 69,280 | (6,786,894) | 1,158,032 |
Share Transactions Class I | ||||||
Proceeds from Shares issued | 683,838 | 338,780 | 1,020,113 | 1,389,718 | 703,816 | 1,624,241 |
Reinvestment of distributions | — | 3,802,026 | — | 983,538 | — | 17,925,930 |
Cost of Shares redeemed | (1,369,483) | (1,965,684) | (1,843,380) | (4,267,957) | (8,449,481) | (17,507,020) |
Change in Net Assets from Class I Share Transactions | (685,645) | 2,175,122 | (823,267) | (1,894,701) | (7,745,665) | 2,043,151 |
Change in Net Assets from Share Transactions | (10,291,815) | 8,035,266 | (4,071,953) | (1,825,421) | (14,532,559) | 3,201,183 |
Total Increase (Decrease) in Net Assets | (3,738,669) | (17,251,194) | (2,269,280) | (19,150,693) | 20,238,321 | (68,710,518) |
Net Assets | ||||||
Beginning of period | 54,990,658 | 72,241,852 | 87,599,682 | 106,750,375 | 188,605,486 | 257,316,004 |
End of period | $51,251,989 | $54,990,658 | $85,330,402 | $87,599,682 | $208,843,807 | $188,605,486 |
Share Transactions Class SC | ||||||
Shares issued | 10,789 | 89,533 | 44,869 | 142,797 | 19,428 | 45,711 |
Shares reinvested | — | 995,864 | — | 173,101 | — | 1,036,469 |
Shares redeemed | (893,993) | (408,674) | (411,631) | (307,855) | (659,722) | (805,703) |
Change in Class SC Shares Outstanding | (883,204) | 676,723 | (366,762) | 8,043 | (640,294) | 276,477 |
Share Transactions Class I | ||||||
Shares issued | 62,290 | 24,107 | 114,716 | 144,705 | 67,071 | 141,639 |
Shares reinvested | — | 374,471 | — | 112,654 | — | 1,838,824 |
Shares redeemed | (129,049) | (143,864) | (207,161) | (463,827) | (808,889) | (1,488,038) |
Change in Class I Shares Outstanding | (66,759) | 254,714 | (92,445) | (206,468) | (741,818) | 492,425 |
Change in Shares Outstanding | (949,963) | 931,437 | (459,207) | (198,425) | (1,382,112) | 768,902 |
Touchstone Small Company Fund | |
For the Six Months Ended June 30, 2023 (Unaudited) | For the Year Ended December 31, 2022 |
$159,907 | $144,785 |
1,847,312 | 37,109 |
2,132,316 | (10,926,087) |
4,139,535 | (10,744,193) |
— | — |
— | (17,332,749) |
— | (17,332,749) |
— | — |
— | — |
— | — |
— | — |
852,307 | 1,062,667 |
— | 17,332,749 |
(3,299,383) | (6,339,137) |
(2,447,076) | 12,056,279 |
(2,447,076) | 12,056,279 |
1,692,459 | (16,020,663) |
59,220,613 | 75,241,276 |
$60,913,072 | $59,220,613 |
— | — |
— | — |
— | — |
— | — |
71,439 | 64,243 |
— | 1,465,206 |
(273,207) | (389,661) |
(201,768) | 1,139,788 |
(201,768) | 1,139,788 |
Touchstone Balanced Fund | ||||||||||||||||||||||||||||
Period ended | Net asset value at beginning of period | Net investment income(1) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Distributions from net investment income | Distributions from realized capital gains | Total distributions | Net asset value at end of period | Total return(2) | Net assets at end of period (000's) | Ratio of net expenses to average net assets | Ratio of gross expenses to average net assets | Ratio of net investment income (loss) to average net assets | Portfolio turnover rate | ||||||||||||||
Class SC | ||||||||||||||||||||||||||||
12/31/21(3) | $14.67(4) | $0.05 | $1.18 | $1.23 | $(0.03) | $ (0.17) | $(0.20) | $15.70 | 8.45%(5) | $52,471 | 0.79%(6) | 1.13%(6) | 0.46%(6) | 132%(7) | ||||||||||||||
12/31/22 | 15.70 | 0.14 | (2.60) | (2.46) | (0.05) | (3.25) | (3.30) | 9.94 | (15.95) | 39,940 | 0.79 | 1.23 | 1.03 | 61 | ||||||||||||||
06/30/23(8) | 9.94 | 0.08 | 1.16 | 1.24 | — | — | — | 11.18 | 12.48(5) | 35,066 | 0.79(6) | 1.21(6) | 1.61(6) | 27(5) | ||||||||||||||
Class I | ||||||||||||||||||||||||||||
12/31/18 | $14.85 | $0.18 | $(0.92) | $(0.74) | $(0.12) | $ (4.13) | $(4.25) | $9.86 | (6.07)% | $15,971 | 0.85% | 1.15% | 1.22% | 140% | ||||||||||||||
12/31/19 | 9.86 | 0.14 | 2.11 | 2.25 | (0.16) | (— ) (9) | (0.16) | 11.95 | 22.80 | 17,628 | 0.85 | 1.48 | 1.22 | 129 | ||||||||||||||
12/31/20 | 11.95 | 0.12 | 2.16 | 2.28 | (0.16) | (0.48) | (0.64) | 13.59 | 19.16 | 18,609 | 0.85 | 1.38 | 0.85 | 71 | ||||||||||||||
12/31/21 | 13.59 | 0.07 | 2.24 | 2.31 | (0.03) | (0.17) | (0.20) | 15.70 | 17.07 | 19,771 | 0.81 | 1.05 | 0.48 | 132(7) | ||||||||||||||
12/31/22 | 15.70 | 0.14 | (2.60) | (2.46) | (0.05) | (3.25) | (3.30) | 9.94 | (15.97) | 15,050 | 0.79 | 0.96 | 1.03 | 61 | ||||||||||||||
06/30/23(8) | 9.94 | 0.08 | 1.16 | 1.24 | — | — | — | 11.18 | 12.48(5) | 16,186 | 0.79(6) | 0.99(6) | 1.61(6) | 27(5) |
(1) | The net investment income per share was based on average shares outstanding for the period. |
(2) | Total returns do not include any insurance, sales or administrative charges of variable annuity or life insurance contracts. If these charges were included, the returns would be lower. |
(3) | Represents the period from commencement of operations (April 13, 2021) through December 31, 2021. |
(4) | Net asset value at the beginning of period is based on the net asset value of Class I shares on April 13, 2021. |
(5) | Not annualized. |
(6) | Annualized. |
(7) | Portfolio turnover excludes the purchases and sales of securities of the Aggressive ETF Fund, the Conservative ETF Fund and the Moderate ETF Fund acquired on April 16, 2021. If these transactions were included, portfolio turnover would have been higher. |
(8) | Unaudited. |
(9) | Less than $0.005 per share. |
Touchstone Bond Fund | ||||||||||||||||||||||||||||
Period ended | Net asset value at beginning of period | Net investment income | Net realized and unrealized gains (losses) on investments | Total from investment operations | Distributions from net investment income | Distributions from realized capital gains | Total distributions | Net asset value at end of period | Total return(1) | Net assets at end of period (000's) | Ratio of net expenses to average net assets | Ratio of gross expenses to average net assets | Ratio of net investment income (loss) to average net assets | Portfolio turnover rate | ||||||||||||||
Class SC | ||||||||||||||||||||||||||||
12/31/19(2) | $9.90 | $0.11 | $0.13 | $0.24 | $(0.13) | $ — | $(0.13) | $10.01 | 2.43%(3) | $59,462 | 0.78%(4) | 0.84%(4) | 2.29%(4) | 335%(5) | ||||||||||||||
12/31/20 | 10.01 | 0.24 | 0.72 | 0.96 | (0.18) | — | (0.18) | 10.79 | 9.62 | 66,042 | 0.77 | 0.77 | 2.39 | 168 | ||||||||||||||
12/31/21 | 10.79 | 0.16 | (0.30) | (0.14) | (0.25) | (0.06) | (0.31) | 10.34 | (1.30) | 65,530 | 0.79 | 0.79 | 1.47 | 142 | ||||||||||||||
12/31/22 | 10.34 | 0.23 | (1.67) | (1.44) | (0.17) | (0.07) | (0.24) | 8.66 | (13.90) | 54,930 | 0.78 | 0.78 | 2.49 | 163 | ||||||||||||||
06/30/23(6) | 8.66 | 0.16 | 0.01 | 0.17 | — | — | — | 8.83 | 1.96(3) | 52,795 | 0.77(4) | 0.77(4) | 3.37(4) | 67(3) | ||||||||||||||
Class I | ||||||||||||||||||||||||||||
12/31/18 | $9.60 | $0.28 | $(0.46) | $(0.18) | $(0.23) | $ — | $(0.23) | $9.19 | (1.88)% | $41,808 | 0.67% | 0.87% | 2.62% | 431% | ||||||||||||||
12/31/19 | 9.19 | 0.33 | 0.63 | 0.96 | (0.13) | — | (0.13) | 10.02 | 10.46 | 37,819 | 0.67 | 0.94 | 2.58 | 335(5) | ||||||||||||||
12/31/20 | 10.02 | 0.28 | 0.69 | 0.97 | (0.18) | — | (0.18) | 10.81 | 9.71 | 39,316 | 0.67 | 0.82 | 2.49 | 168 | ||||||||||||||
12/31/21 | 10.81 | 0.12 | (0.25) | (0.13) | (0.26) | (0.06) | (0.32) | 10.36 | (1.21) | 41,221 | 0.67 | 0.77 | 1.60 | 142 | ||||||||||||||
12/31/22 | 10.36 | 0.28 | (1.72) | (1.44) | (0.19) | (0.07) | (0.26) | 8.66 | (13.85) | 32,670 | 0.67 | 0.76 | 2.60 | 163 | ||||||||||||||
06/30/23(6) | 8.66 | 0.17 | 0.01 | 0.18 | — | — | — | 8.84 | 2.08(3) | 32,536 | 0.61(4) | 0.78(4) | 3.52(4) | 67(3) |
(1) | Total returns do not include any insurance, sales or administrative charges of variable annuity or life insurance contracts. If these charges were included, the returns would be lower. |
(2) | Represents the period from commencement of operations (July 12, 2019) through December 31, 2019. |
(3) | Not annualized. |
(4) | Annualized. |
(5) | Portfolio turnover excludes the purchases and sales of securities of the Touchstone Active Bond Fund acquired on July 12, 2019. If these transactions were included, portfolio turnover would have been higher. |
(6) | Unaudited. |
Touchstone Common Stock Fund | ||||||||||||||||||||||||||||
Period ended | Net asset value at beginning of period | Net investment income | Net realized and unrealized gains (losses) on investments | Total from investment operations | Distributions from net investment income | Distributions from realized capital gains | Total distributions | Net asset value at end of period | Total return(1) | Net assets at end of period (000's) | Ratio of net expenses to average net assets | Ratio of gross expenses to average net assets | Ratio of net investment income (loss) to average net assets | Portfolio turnover rate | ||||||||||||||
Class SC | ||||||||||||||||||||||||||||
12/31/19(2) | $8.61 | $0.02 | $0.72 | $0.74 | $(0.05) | $ (0.10) | $(0.15) | $9.20 | 8.60%(3) | $82,546 | 0.94%(4) | 0.94%(4) | 0.46%(4) | 18%(5) | ||||||||||||||
12/31/20 | 9.20 | 0.04 | 2.11 | 2.15 | (0.06) | (0.31) | (0.37) | 10.98 | 23.48 | 85,232 | 0.90 | 0.90 | 0.47 | 15 | ||||||||||||||
12/31/21 | 10.98 | 0.01 | 3.01 | 3.02 | (0.05) | (0.44) | (0.49) | 13.51 | 27.57 | 93,121 | 0.91 | 0.91 | 0.16 | 6 | ||||||||||||||
12/31/22 | 13.51 | 0.04 | (2.42) | (2.38) | (0.02) | (1.60) | (1.62) | 9.51 | (17.79) | 68,199 | 0.91 | 0.91 | 0.35 | 7 | ||||||||||||||
06/30/23(6) | 9.51 | 0.02 | 1.79 | 1.81 | — | — | — | 11.32 | 19.03(3) | 73,895 | 0.92(4) | 0.92(4) | 0.47(4) | 1(3) | ||||||||||||||
Class I | ||||||||||||||||||||||||||||
12/31/18 | $18.74 | $0.14(7) | $(1.00) | $(0.86) | $(0.11) | $ (10.49) | $(10.60) | $7.28 | (8.05)% | $124,796 | 0.73% | 0.83% | 0.77% | 10% | ||||||||||||||
12/31/19 | 7.28 | 0.08 | 2.00 | 2.08 | (0.05) | (0.10) | (0.15) | 9.21 | 28.58 | 139,536 | 0.73 | 0.82 | 0.82 | 18(5) | ||||||||||||||
12/31/20 | 9.21 | 0.07 | 2.10 | 2.17 | (0.06) | (0.31) | (0.37) | 11.01 | 23.68 | 149,336 | 0.73 | 0.80 | 0.64 | 15 | ||||||||||||||
12/31/21 | 11.01 | 0.06 | 3.00 | 3.06 | (0.07) | (0.44) | (0.51) | 13.56 | 27.85 | 164,195 | 0.73 | 0.76 | 0.34 | 6 | ||||||||||||||
12/31/22 | 13.56 | 0.05 | (2.42) | (2.37) | (0.04) | (1.60) | (1.64) | 9.55 | (17.66) | 120,406 | 0.73 | 0.77 | 0.53 | 7 | ||||||||||||||
06/30/23(6) | 9.55 | 0.04 | 1.79 | 1.83 | — | — | — | 11.38 | 19.16(3) | 134,949 | 0.73(4) | 0.78(4) | 0.65(4) | 1(3) |
(1) | Total returns do not include any insurance, sales or administrative charges of variable annuity or life insurance contracts. If these charges were included, the returns would be lower. |
(2) | Represents the period from commencement of operations (July 12, 2019) through December 31, 2019. |
(3) | Not annualized. |
(4) | Annualized. |
(5) | Portfolio turnover excludes the purchases and sales of securities of the Touchstone Focused Fund and the Touchstone Large Cap Core Equity Fund acquired on July 12, 2019. If these transactions were included, portfolio turnover would have been higher. |
(6) | Unaudited. |
(7) | The net investment income per share was based on average shares outstanding for the period. |
Touchstone Small Company Fund | ||||||||||||||||||||||||||||
Period ended | Net asset value at beginning of period | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Distributions from net investment income | Distributions from realized capital gains | Total distributions | Net asset value at end of period | Total return(1) | Net assets at end of period (000's) | Ratio of net expenses to average net assets | Ratio of gross expenses to average net assets | Ratio of net investment income (loss) to average net assets | Portfolio turnover rate | ||||||||||||||
Class I | ||||||||||||||||||||||||||||
12/31/18 | $15.73 | $0.01 | $(1.11) | $(1.10) | $— | $ (1.94) | $(1.94) | $12.69 | (7.98)% | $57,884 | 0.76% | 0.84% | 0.05% | 68% | ||||||||||||||
12/31/19 | 12.69 | 0.02 | 2.64 | 2.66 | (—)(2) | (1.66) | (1.66) | 13.69 | 21.40 | 64,630 | 0.76 | 0.85 | 0.13 | 85 | ||||||||||||||
12/31/20 | 13.69 | 0.01 | 2.53 | 2.54 | (0.02) | (0.50) | (0.52) | 15.71 | 18.70 | 71,632 | 0.76 | 0.87 | 0.06 | 95 | ||||||||||||||
12/31/21 | 15.71 | —(2)(3) | 3.79 | 3.79 | (0.01) | (0.36) | (0.37) | 19.13 | 24.18 | 75,241 | 0.76 | 0.79 | 0.01 | 67 | ||||||||||||||
12/31/22 | 19.13 | 0.03 | (2.73) | (2.70) | (—)(2) | (4.76) | (4.76) | 11.67 | (14.44) | 59,221 | 0.76 | 0.80 | 0.23 | 75 | ||||||||||||||
06/30/23(4) | 11.67 | 0.03 | 0.80 | 0.83 | — | — | — | 12.50 | 7.11(5) | 60,913 | 0.76(6) | 0.83(6) | 0.54(6) | 36(5) |
(1) | Total returns do not include any insurance, sales or administrative charges of variable annuity or life insurance contracts. If these charges were included, the returns would be lower. |
(2) | Less than $0.005 per share. |
(3) | The net investment income (loss) per share was based on average shares outstanding for the period. |
(4) | Unaudited. |
(5) | Not annualized. |
(6) | Annualized. |
Touchstone Balanced Fund ("Balanced Fund”) |
Touchstone Bond Fund ("Bond Fund”) |
Touchstone Common Stock Fund ("Common Stock Fund”) |
Touchstone Small Company Fund ("Small Company Fund”) |
(1) | market value of investment securities, assets and liabilities at the current rate of exchange on the valuation date; and |
(2) | purchases and sales of investment securities, income, and expenses at the relevant rates of exchange prevailing on the respective dates of such transactions. |
Fund | Derivatives not accounted for as hedging instruments under ASC 815 | Asset Derivatives | Liability Derivatives |
Bond Fund | Swap Agreements - Credit Contracts* | $— | $52,834 |
Futures Contracts - Interest Rate Contracts** | 46,537 | 338,310 |
* | Statements of Assets and Liabilities Location: Payable for variation margin on swap agreements. Variation margin reported in the Portfolio of Investments and other tables in the Notes to the Financial Statements is the cumulative unrealized appreciation (depreciation). |
** | Statements of Assets and Liabilities Location: Payable for variation margin on futures contracts. Only current day’s variation margin is reported within the payable/receivable on the Statement of Assets and Liabilities. Includes cumulative appreciation/(depreciation) on futures contracts as reported on the Portfolio of Investments and within the components of net assets section of the Statement of Assets and Liabilities. |
Fund | Derivatives not accounted for as hedging instruments under ASC 815 | Realized Gains (Losses) on Derivatives | Change in Unrealized Appreciation (Depreciation) on Derivatives |
Bond Fund | Futures - Interest Rate Contracts* | $76,938 | $(291,773) |
Swap Agreements - Credit Contracts** | (36,658) | (52,834) |
* | Statements of Operations Location: Net realized gains on futures contracts and Net change in unrealized appreciation (depreciation) on futures contracts, respectively. |
** | Statements of Operations Location: Net realized losses on swap agreements and Net change in unrealized appreciation (depreciation) on swap agreements, respectively. |
Bond Fund | |
Credit Contracts: | |
Credit Default Swaps (buy protection) - Notional value | $2,396,667 |
Interest Rate Contracts: | |
Futures Contracts (long) - Notional Value | 14,288,901 |
Futures Contracts (short) - Notional Value | 2,650,125 |
Fund | Security Type | Market Value of Securities Loaned* | Market Value of Collateral Received** | Net Amount*** |
Balanced Fund | Corporate Bonds | $81,105 | $82,944 | $1,839 |
Bond Fund | Corporate Bonds | 242,884 | 248,337 | 5,453 |
* | The remaining contractual maturity is overnight for all securities. |
** | Gross amount of recognized liabilities for securities lending included in the Statements of Assets and Liabilities. |
*** | Net amount represents the net amount payable due to (received from) the borrower in the event of default. |
Balanced Fund | Bond Fund | Common Stock Fund | Small Company Fund | |
Purchases of investment securities | $1,818,072 | $5,068,896 | $2,433,092 | $21,564,677 |
Proceeds from sales and maturities | $13,479,158 | $8,519,775 | $15,729,258 | $24,047,407 |
Balanced Fund | 0.55% on all assets |
Bond Fund* | 0.38% on the first $200 million 0.30% on such assets over $200 million |
Common Stock Fund Small Company Fund | 0.50% on the first $200 million 0.45% on the next $300 million 0.40% on such assets over $500 million |
Class SC | Class I | Termination Date | |
Balanced Fund | 0.79% | 0.79% | April 29, 2024 |
Bond Fund* | 0.91% | 0.61% | April 29, 2024 |
Common Stock Fund | 1.06% | 0.73% | April 29, 2024 |
Small Company Fund | — | 0.76% | April 29, 2024 |
* | Prior to January 1, 2023, the expense limitation was 0.97% and 0.67% for Class SC and Class I, respectively. |
Fund | Investment Advisory Fees Waived | Administration Fees Waived | Shareholder Servicing Fees and Operating Expenses Reimbursed/ Waived | Total |
Balanced Fund | $— | $32,916 | $66,298 | $99,214 |
Bond Fund | — | 9,355 | 19,108 | 28,463 |
Common Stock Fund | — | — | 29,621 | 29,621 |
Small Company Fund | — | 2,353 | 17,948 | 20,301 |
Fund | Expires on or before December 31, 2023 | Expires on or before December 31, 2024 | Expires on or before December 31, 2025 | Expires on or before December 31, 2026 | Total |
Balanced Fund | $46,135 | $175,490 | $224,509 | $99,214 | $545,348 |
Bond Fund | 27,782 | 38,593 | 30,703 | 28,463 | 125,541 |
Common Stock Fund | 39,239 | 44,492 | 58,693 | 29,621 | 172,045 |
Small Company Fund | 29,362 | 21,468 | 25,756 | 20,301 | 96,887 |
Fund | Daily Average Amount Borrowed | Weighted Average Interest Rate | Interest Expense* |
Balanced Fund | $ 27,541 | 5.65% | $ 782 |
* | Included in Other expenses in the Statements of Operations. |
Balanced Fund | Bond Fund | |||
Year Ended December 31, 2022 | Year Ended December 31, 2021 | Year Ended December 31, 2022 | Year Ended December 31, 2021 | |
From ordinary income | $2,671,177 | $311,042 | $2,080,174 | $3,142,376 |
From long-term capital gains | 11,231,960 | 649,760 | 415,083 | — |
Total distributions | $13,903,137 | $960,802 | $2,495,257 | $3,142,376 |
Common Stock Fund | Small Company Fund | |||
Year Ended December 31, 2022 | Year Ended December 31, 2021 | Year Ended December 31, 2022 | Year Ended December 31, 2021 | |
From ordinary income | $1,076,692 | $1,512,930 | $5,945,899 | $52,041 |
From long-term capital gains | 26,896,739 | 7,816,206 | 11,386,850 | 1,390,549 |
Total distributions | $27,973,431 | $9,329,136 | $17,332,749 | $1,442,590 |
Balanced Fund | Bond Fund | Common Stock Fund | Small Company Fund | |
Tax cost of portfolio investments | $54,735,939 | $97,838,327 | $115,671,434 | $48,049,034 |
Gross unrealized appreciation on investments | 6,316,115 | 242,882 | 80,394,579 | 14,305,128 |
Gross unrealized depreciation on investments | (6,097,691) | (10,937,628) | (7,220,315) | (3,054,551) |
Net unrealized appreciation (depreciation) on investments | 218,424 | (10,694,746) | 73,174,264 | 11,250,577 |
Capital loss carryforwards | (656,718) | (5,227,145) | — | — |
Undistributed ordinary income | 638,891 | 2,468,676 | 1,009,991 | 144,341 |
Undistributed capital gains | — | — | 12,709,817 | 267,857 |
Other temporary differences | — | (112,618) | — | — |
Accumulated earnings (deficit) | $200,597 | $(13,565,833) | $86,894,072 | $11,662,775 |
Fund | No Expiration Short Term | No Expiration Long Term | Total |
Balanced Fund | $ 341,932 | $ 314,786 | $ 656,718 |
Bond Fund* | 1,623,673 | 3,603,472 | 5,227,145 |
* | Future utilization is limited under current tax law. |
Fund | Federal Tax Cost | Gross Unrealized Appreciation on Investments | Gross Unrealized Depreciation on Investments | Gross Unrealized Appreciation on Other(A) | Gross Unrealized Depreciation on Other(A) | Net Unrealized Appreciation (Depreciation) |
Balanced Fund | $44,727,753 | $9,268,038 | $(2,695,160) | $— | $— | $6,572,878 |
Bond Fund | 93,135,253 | 239,155 | (8,580,714) | 46,537 | (391,144) | (8,686,166) |
Common Stock Fund | 110,997,957 | 103,398,647 | (4,949,594) | — | (8) | 98,449,045 |
Small Company Fund | 46,364,396 | 15,850,315 | (1,192,697) | — | (4) | 14,657,614 |
(A) | Other includes Derivatives and Foreign Currency Transactions. |
Net Expense Ratio Annualized June 30, 2023 | Beginning Account Value January 1, 2023 | Ending Account Value June 30, 2023 | Expenses Paid During the Six Months Ended June 30, 2023* | ||
Balanced Fund | |||||
Class SC | Actual | 0.79% | $1,000.00 | $1,124.80 | $4.16 |
Class SC | Hypothetical | 0.79% | $1,000.00 | $1,020.88 | $3.96 |
Class I | Actual | 0.79% | $1,000.00 | $1,124.80 | $4.16 |
Class I | Hypothetical | 0.79% | $1,000.00 | $1,020.88 | $3.96 |
Net Expense Ratio Annualized June 30, 2023 | Beginning Account Value January 1, 2023 | Ending Account Value June 30, 2023 | Expenses Paid During the Six Months Ended June 30, 2023* | ||
Bond Fund | |||||
Class SC | Actual | 0.77% | $1,000.00 | $1,019.60 | $3.86 |
Class SC | Hypothetical | 0.77% | $1,000.00 | $1,020.98 | $3.86 |
Class I | Actual | 0.61% | $1,000.00 | $1,020.80 | $3.06 |
Class I | Hypothetical | 0.61% | $1,000.00 | $1,021.77 | $3.06 |
Common Stock Fund | |||||
Class SC | Actual | 0.92% | $1,000.00 | $1,190.30 | $5.00 |
Class SC | Hypothetical | 0.92% | $1,000.00 | $1,020.23 | $4.61 |
Class I | Actual | 0.73% | $1,000.00 | $1,191.60 | $3.97 |
Class I | Hypothetical | 0.73% | $1,000.00 | $1,021.17 | $3.66 |
Small Company Fund | |||||
Class I | Actual | 0.76% | $1,000.00 | $1,071.10 | $3.90 |
Class I | Hypothetical | 0.76% | $1,000.00 | $1,021.03 | $3.81 |
* | Expenses are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect one-half year period). |
(b) | Not applicable. |
Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
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(a) of this form. |
(b) | Not applicable. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of trustees, 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 (17 CFR 229.407) (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 and principal financial officers, 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 (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (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 1940 Act (17 CFR 270.30a-3(d))) that occurred during 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. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
(a)(1) | Not applicable. |
(a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
(a)(2)(1) | Not applicable. |
(a)(2)(2) | Not applicable. |
(b) | Certifications pursuant to Rule 30a-2(b) under the 1940 Act and 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.
(Registrant) | Touchstone Variable Series Trust | |||
By (Signature and Title)* | /s/ E. Blake Moore, Jr. | |||
E. Blake Moore, Jr., President | ||||
(principal executive officer) | ||||
Date: | 08/30/2023 |
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 (Signature and Title)* | /s/ E. Blake Moore, Jr. | |||
E. Blake Moore, Jr., President | ||||
(principal executive officer) | ||||
Date: | 08/30/2023 | |||
By (Signature and Title)* | /s/ Terrie A. Wiedenheft | |||
Terrie A. Wiedenheft, Controller and Treasurer | ||||
(principal financial officer) | ||||
Date: | 08/30/2023 |
* Print the name and title of each signing officer under his or her signature.