Paper copies of the Funds’ shareholder reports are no longer sent by mail, unless you specifically request them from the Funds or from your financial intermediary, such as a broker-dealer or bank. Shareholder reports are available online and you will be notified by mail each time a report is posted on the Funds’ website and provided with a link to access the report online.

You may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to inform it that you wish to continue receiving paper copies of your shareholder reports. If you invest directly with the Funds, you can inform the Funds that you wish to continue receiving paper copies of your shareholder reports by calling 1-877-835-4531. Your election to receive reports in paper will apply to all funds held with the SEI Funds or your financial intermediary.

The Trust files its complete schedule of portfolio holdings with the Securities and Exchange Commission for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The Trust’s Form N-PORT reports are available on the Commission’s website at https://www.sec.gov.

A description of the policies and procedures that the Trust uses to determine how to vote proxies relating to portfolio securities, as well as information relating to how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30, is available (i) without charge, upon request, by calling 1-877-835-4531; and (ii) on the Commission’s website at https://www.sec.gov.

^† Percentages based on total investments. Total investments do not include derivatives such as options, futures contracts, forward contracts, and swap contracts, if applicable.


Description	Shares		Market Value ($ Thousands)
COMMON STOCK — 96.8%

Communication Services — 6.5%
Activision Blizzard Inc		3,984	$	305
Alphabet Inc, Cl A *		75,260		6,640
Alphabet Inc, Cl C *		69,700		6,184
AMC Entertainment Holdings, Cl A *		6,903		28
AT&T Inc		119,675		2,203
Bandwidth Inc, Cl A *		74		2
Cable One Inc		79		56
Cardlytics Inc *		761		4
Cars.com Inc *		4,178		58
Charter Communications Inc, Cl A *		1,268		430
Cinemark Holdings Inc *		4,289		37
Cogent Communications Holdings Inc		148		8
Comcast Corp, Cl A		52,817		1,847
Cumulus Media, Cl A *		7,164		44
EchoStar Corp, Cl A *		1,124		19
Electronic Arts Inc		5,584		682
Eventbrite Inc, Cl A *		2,537		15
EverQuote Inc, Cl A *		1,468		22
EW Scripps Co/The, Cl A *		3,299		44
Fox Corp, Cl A		1,372		42
Fox Corp, Cl B		1,428		41
fuboTV *		3,908		7
IAC Inc *		376		17
IMAX Corp *		2,244		33
Interpublic Group of Cos Inc/The		8,487		283
Iridium Communications Inc		366		19
John Wiley & Sons Inc, Cl A		236		9
Liberty Broadband Corp, Cl A *		81		6
Liberty Broadband Corp, Cl C *		343		26
Liberty Media Corp-Liberty SiriusXM, Cl C *		234		9
Liberty Media -Liberty Braves *		3,670		119
Live Nation Entertainment Inc *		181		13
Loyalty Ventures *		534		1
Lumen Technologies		872		5
Madison Square Garden Entertainment Corp *		1,768		80


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Madison Square Garden Sports Corp		39	$	7
Magnite Inc *		2,551		27
Match Group Inc *		1,841		76
Meta Platforms, Cl A *		24,587		2,959
Netflix Inc *		5,046		1,488
New York Times Co/The, Cl A		439		14
News Corp, Cl A		829		15
Nexstar Media Group Inc, Cl A		94		16
Omnicom Group Inc		10,137		827
Paramount Global, Cl B		7,304		123
Pinterest, Cl A *		3,339		81
ROBLOX, Cl A *		6,473		184
Roku Inc, Cl A *		818		33
Scholastic Corp		1,266		50
Shenandoah Telecommunications Co		222		4
Shutterstock Inc		205		11
Sirius XM Holdings Inc		7,153		42
Spotify Technology SA *		1,265		100
Take-Two Interactive Software Inc *		1,416		147
TechTarget Inc *		1,986		87
TEGNA Inc		3,052		65
T-Mobile US Inc *		6,126		858
Trade Desk Inc/The, Cl A *		8,290		372
TripAdvisor Inc *		1,712		31
Verizon Communications Inc		57,853		2,279
Vimeo *		610		2
Walt Disney Co/The *		21,958		1,908
Warner Bros Discovery *		29,305		278
World Wrestling Entertainment Inc, Cl A		780		53
Yelp, Cl A *		1,355		37
Ziff Davis *		2,547		202

				31,714
Consumer Discretionary — 10.0%
1-800-Flowers.com Inc, Cl A *		3,668		35
2U Inc *		871		5
Aaron's Co Inc		416		5
Abercrombie & Fitch Co, Cl A *		2,970		68
Adient PLC *		732		25
ADT Inc		4,942		45
Adtalem Global Education Inc *		5,431		193
Advance Auto Parts Inc		317		47
Airbnb, Cl A *		3,103		265
Amazon.com Inc *		108,984		9,155
American Eagle Outfitters Inc		3,416		48
American Public Education Inc *		1,831		23
AMMO *		41,896		72
Aptiv PLC *		3,490		325
Aramark		260		11
Asbury Automotive Group Inc *		70		13
AutoNation Inc *		970		104
AutoZone Inc *		235		580
Bath & Body Works		638		27


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Bed Bath & Beyond Inc *		517	$	1
Best Buy Co Inc		14,318		1,148
Big Lots Inc		1,758		26
Bloomin' Brands Inc		2,259		45
Booking Holdings Inc *		563		1,135
Boot Barn Holdings Inc *		199		12
BorgWarner Inc		321		13
Bright Horizons Family Solutions Inc *		76		5
Brinker International Inc *		1,180		38
Brunswick Corp/DE		839		60
Buckle Inc/The		1,885		85
Burlington Stores Inc *		482		98
Capri Holdings Ltd *		1,319		76
CarMax Inc *		1,086		66
Carnival Corp *		15,800		127
Carter's Inc		471		35
Carvana Co, Cl A *		5,499		26
Cavco Industries Inc *		255		58
Cheesecake Factory Inc/The		1,236		39
Chegg Inc *		176		4
Chico's FAS *		7,300		36
Children's Place Inc/The *		812		30
Chipotle Mexican Grill Inc, Cl A *		232		322
Choice Hotels International Inc		113		13
Columbia Sportswear Co		891		78
Cracker Barrel Old Country Store Inc		323		31
Dana Inc		2,660		40
Darden Restaurants Inc		705		98
Dave & Buster's Entertainment Inc *		1,283		45
Deckers Outdoor Corp *		1,069		427
Denny's Corp *		2,500		23
Designer Brands Inc, Cl A		3,316		32
Dick's Sporting Goods Inc		1,054		127
Dillard's Inc, Cl A		594		192
Dollar General Corp		2,608		642
Dollar Tree Inc *		1,320		187
Domino's Pizza Inc		33		11
DoorDash, Cl A *		523		26
Dorman Products Inc *		128		10
DR Horton Inc		1,973		176
eBay Inc		20,542		852
Etsy Inc *		1,162		139
Expedia Group Inc *		389		34
Fisker *		2,626		19
Five Below Inc *		410		73
Floor & Decor Holdings Inc, Cl A *		232		16
Foot Locker Inc		1,308		49
Ford Motor Co		14,150		165
Fox Factory Holding Corp *		749		68
Frontdoor *		251		5
GameStop, Cl A *		2,040		38
Gap Inc/The		11,382		128


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Garmin Ltd		418	$	39
General Motors Co		5,975		201
Gentex Corp		440		12
Gentherm Inc *		184		12
Genuine Parts Co		67		12
Goodyear Tire & Rubber Co/The *		989		10
Graham Holdings Co, Cl B		78		47
Grand Canyon Education Inc *		121		13
Group 1 Automotive Inc		86		16
GrowGeneration *		2,599		10
Guess? Inc		2,341		48
H&R Block Inc		3,157		115
Hanesbrands Inc		13,319		85
Harley-Davidson Inc		306		13
Hasbro Inc		2,632		161
Helen of Troy Ltd *		57		6
Hilton Grand Vacations Inc *		3,016		116
Hilton Worldwide Holdings Inc		7,895		998
Home Depot Inc/The		13,012		4,110
Hyatt Hotels Corp, Cl A *		135		12
Installed Building Products Inc		694		59
iRobot Corp *		1,013		49
Jack in the Box Inc		658		45
Johnson Outdoors Inc, Cl A		659		44
KB Home		4,733		151
Kohl's Corp		1,859		47
Kontoor Brands Inc		1,282		51
La-Z-Boy Inc, Cl Z		1,597		36
LCI Industries		483		45
Lear Corp		6,486		804
Leggett & Platt Inc		222		7
Lennar Corp, Cl A		596		54
Lennar Corp, Cl B		171		13
LGI Homes Inc *		127		12
Liquidity Services *		2,249		32
LKQ Corp		317		17
Lowe's Cos Inc		13,214		2,633
Lululemon Athletica Inc *		1,171		375
M/I Homes Inc *		198		9
Macy's Inc		4,042		83
Malibu Boats Inc, Cl A *		202		11
Marriott International Inc/MD, Cl A		3,599		536
Marriott Vacations Worldwide Corp		394		53
Mattel Inc *		14,805		264
McDonald's Corp		11,361		2,994
Meritage Homes Corp *		794		73
Mohawk Industries Inc *		127		13
Monro Inc		626		28
Murphy USA Inc		422		118
National Vision Holdings Inc *		447		17
Newell Brands Inc		605		8
NIKE Inc, Cl B		17,693		2,070


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Nordstrom Inc		3,866	$	62
Norwegian Cruise Line Holdings Ltd *		14,956		183
NVR Inc *		13		60
ODP Corp/The *		283		13
Ollie's Bargain Outlet Holdings Inc *		212		10
OneSpaWorld Holdings Ltd *		3,063		29
O'Reilly Automotive Inc *		677		571
Oxford Industries Inc		665		62
Papa John's International Inc		151		12
Peloton Interactive Inc, Cl A *		2,845		23
Penske Automotive Group Inc		957		110
PetMed Express Inc		366		6
Planet Fitness Inc, Cl A *		173		14
Polaris Inc		966		98
PulteGroup Inc		5,125		233
PVH Corp		108		8
Qurate Retail Inc *		1,412		2
Ralph Lauren Corp, Cl A		690		73
RealReal Inc/The *		5,091		6
Rent-A-Center Inc/TX, Cl A		1,764		40
Revolve Group, Cl A *		2,223		49
RH *		224		60
Rivian Automotive, Cl A *		1,274		23
Ross Stores Inc		3,209		372
Royal Caribbean Cruises Ltd *		8,804		435
Sally Beauty Holdings Inc *		2,794		35
SeaWorld Entertainment Inc *		251		13
Service Corp International/US		250		17
Shake Shack Inc, Cl A *		157		7
Signet Jewelers Ltd		2,402		163
Six Flags Entertainment Corp *		248		6
Sleep Number Corp *		1,033		27
Standard Motor Products Inc		943		33
Starbucks Corp		16,902		1,677
Steven Madden Ltd		1,178		38
Stitch Fix Inc, Cl A *		1,021		3
Strategic Education Inc		331		26
Stride Inc *		348		11
Tapestry Inc		2,803		107
Target Corp		6,577		980
Taylor Morrison Home Corp, Cl A *		12,743		387
Tempur Sealy International Inc		2,272		78
Tesla Inc *		31,772		3,914
Texas Roadhouse Inc, Cl A		889		81
Thor Industries Inc		106		8
TJX Cos Inc/The		14,736		1,173
Toll Brothers Inc		269		13
TopBuild Corp *		476		74
Topgolf Callaway Brands *		2,383		47
Tractor Supply Co		2,377		535
Travel + Leisure		3,358		122
Tri Pointe Homes *		3,236		60


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Tupperware Brands Corp *		3,286	$	14
Udemy *		3,378		36
Ulta Beauty Inc *		279		131
Under Armour Inc, Cl C *		556		5
Urban Outfitters Inc *		417		10
Vail Resorts Inc		46		11
VF Corp		4,023		111
Victoria's Secret *		212		8
Visteon Corp *		85		11
Wayfair Inc, Cl A *		320		11
Wendy's Co/The		11,419		258
Whirlpool Corp		638		90
Williams-Sonoma Inc		160		18
Wingstop Inc		582		80
Winnebago Industries Inc		191		10
Wolverine World Wide Inc		1,511		17
Workhorse Group Inc *		4,879		7
WW International Inc *		1,262		5
Wyndham Hotels & Resorts Inc		189		13
Yum! Brands Inc		8,356		1,070
Zumiez Inc *		1,593		35

				49,202
Consumer Staples — 6.5%
Andersons Inc/The		338		12
Archer-Daniels-Midland Co		5,103		474
B&G Foods Inc		862		10
BellRing Brands *		136		3
Beyond Meat Inc *		166		2
BJ's Wholesale Club Holdings Inc *		800		53
Bunge Ltd		1,596		159
Calavo Growers Inc		571		17
Campbell Soup Co		10,354		588
Casey's General Stores Inc		65		15
Celsius Holdings *		430		45
Chefs' Warehouse Inc/The *		1,366		45
Church & Dwight Co Inc		1,025		83
Clorox Co/The		2,716		381
Coca-Cola Co/The		47,053		2,993
Colgate-Palmolive Co		13,653		1,076
Conagra Brands Inc		14,479		560
Costco Wholesale Corp		5,215		2,381
Coty Inc, Cl A *		1,026		9
Darling Ingredients *		716		45
Edgewell Personal Care Co		310		12
elf Beauty *		1,902		105
Energizer Holdings Inc		231		8
Estee Lauder Cos Inc/The, Cl A		2,390		593
Flowers Foods Inc		555		16
Fresh Del Monte Produce Inc		1,442		38
General Mills Inc		13,887		1,164
Grocery Outlet Holding Corp *		263		8
Hain Celestial Group Inc/The *		461		7


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Herbalife Nutrition Ltd *		1,088	$	16
Hershey Co/The		2,295		531
HF Foods Group Inc *		2,213		9
Hormel Foods Corp		4,797		218
Ingredion Inc		1,110		109
J M Smucker Co/The		6,494		1,029
Kellogg Co		6,713		478
Keurig Dr Pepper Inc		30,864		1,101
Kimberly-Clark Corp		6,484		880
Kraft Heinz Co/The		3,923		160
Kroger Co/The		17,094		762
Lamb Weston Holdings Inc		594		53
McCormick & Co Inc/MD		5,832		483
Medifast Inc		71		8
Mondelez International Inc, Cl A		17,402		1,160
Monster Beverage Corp *		2,566		260
National Beverage Corp *		344		16
PepsiCo Inc		23,874		4,313
Performance Food Group Co *		1,023		60
Pilgrim's Pride Corp *		355		8
Post Holdings Inc *		108		10
PriceSmart Inc		179		11
Procter & Gamble Co/The		29,205		4,426
SpartanNash Co		1,252		38
Spectrum Brands Holdings Inc		183		11
Sprouts Farmers Market Inc *		623		20
Sysco Corp		17,657		1,350
TreeHouse Foods Inc *		237		12
Tyson Foods Inc, Cl A		1,410		88
US Foods Holding Corp *		2,211		75
Vita Coco *		3,906		54
Walgreens Boots Alliance Inc		16,549		618
Walmart Inc		17,088		2,423

				31,692
Energy — 5.1%
Antero Midstream Corp		7,912		85
APA Corp		273		13
Baker Hughes Co, Cl A		4,496		133
Cactus Inc, Cl A		1,525		77
Callon Petroleum *		2,548		95
ChampionX Corp		383		11
Cheniere Energy Inc		1,963		294
Chevron Corp		24,126		4,331
Clean Energy Fuels *		4,579		24
CNX Resources Corp *		1,745		29
ConocoPhillips		25,233		2,977
Coterra Energy		7,300		179
Denbury *		630		55
Devon Energy Corp		5,867		361
Diamondback Energy Inc		853		117
Dril-Quip Inc *		1,072		29
DT Midstream		405		22


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
EOG Resources Inc		5,951	$	771
EQT Corp		2,732		92
Equitrans Midstream Corp		2,185		15
Expro Group Holdings *		1,529		28
Exxon Mobil Corp		52,023		5,738
Gevo *		26,517		50
Golar LNG Ltd *		3,888		89
Halliburton Co		5,660		223
Helix Energy Solutions Group *		10,917		81
Helmerich & Payne Inc		1,494		74
Hess Corp		4,195		595
HF Sinclair		3,119		162
International Seaways Inc		642		24
Kinder Morgan Inc		32,576		589
Kinetik Holdings, Cl A		310		10
Kosmos Energy Ltd *		44,503		283
Magnolia Oil & Gas Corp, Cl A		1,806		42
Marathon Oil Corp		5,472		148
Marathon Petroleum Corp		7,000		815
Murphy Oil Corp		449		19
Nabors Industries Ltd *		367		57
NOV Inc		482		10
Occidental Petroleum Corp		8,202		517
Oceaneering International Inc *		3,376		59
ONEOK Inc		3,505		230
Ovintiv		1,009		51
Patterson-UTI Energy Inc		4,952		83
PBF Energy Inc, Cl A		494		20
Phillips 66		5,367		559
Pioneer Natural Resources Co		2,260		516
Range Resources Corp		2,413		60
RPC Inc		1,226		11
Schlumberger Ltd		39,202		2,096
SM Energy		5,146		179
Southwestern Energy Co *		21,739		127
Targa Resources Corp		11,252		827
Teekay Tankers, Cl A *		1,755		54
Tellurian *		11,904		20
Texas Pacific Land		29		68
Uranium Energy *		15,244		59
Valero Energy Corp		4,715		598
Williams Cos Inc/The		11,002		362

				25,243
Financials — 12.4%
Affiliated Managers Group Inc		910		144
Aflac Inc		4,907		353
AGNC Investment Corp ^‡		2,838		29
Allstate Corp/The		3,458		469
Ally Financial Inc		1,575		38
Amalgamated Financial		2,110		49
American Express Co		9,360		1,383
American Financial Group Inc/OH		89		12


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
American International Group Inc		6,597	$	417
Ameriprise Financial Inc		1,250		389
Ameris Bancorp		1,129		53
AMERISAFE Inc		743		39
Annaly Capital Management ^‡		9,784		206
Aon PLC, Cl A		3,101		931
Apollo Commercial Real Estate Finance Inc ^‡		2,686		29
Apollo Global Management		2,091		133
Arch Capital Group Ltd *		2,404		151
Ares Management, Cl A		632		43
Argo Group International Holdings Ltd		750		19
Arthur J Gallagher & Co		1,610		304
Artisan Partners Asset Management Inc, Cl A		1,589		47
AssetMark Financial Holdings *		1,796		41
Associated Banc-Corp		4,274		99
Assurant Inc		87		11
Assured Guaranty Ltd		994		62
Atlantic Union Bankshares Corp		1,302		46
Axis Capital Holdings Ltd		825		45
Axos Financial Inc *		310		12
Bank of America Corp		87,545		2,899
Bank of Hawaii Corp		1,051		81
Bank of Marin Bancorp		1,079		35
Bank of New York Mellon Corp/The		12,656		576
Bank of NT Butterfield & Son Ltd/The		1,324		39
Bank OZK		366		15
BankUnited Inc		346		12
Banner Corp		851		54
Berkshire Hathaway Inc, Cl B *		21,623		6,679
Berkshire Hills Bancorp Inc		1,501		45
BGC Partners Inc, Cl A		8,389		32
BlackRock Inc, Cl A		1,878		1,331
Blackstone		6,935		514
BOK Financial Corp		568		59
Bread Financial Holdings		1,335		50
Brighthouse Financial Inc *		268		14
Brown & Brown Inc		290		17
Cadence Bank		1,525		38
Capital One Financial Corp		3,914		364
Capitol Federal Financial Inc		3,529		31
Carlyle Group		923		28
Cathay General Bancorp		1,291		53
Cboe Global Markets Inc		99		12
Central Pacific Financial Corp		1,651		33
Charles Schwab Corp/The		16,432		1,368
Chimera Investment Corp ^‡		2,402		13
Chubb Ltd		6,169		1,361
Cincinnati Financial Corp		891		91
Citigroup Inc		24,313		1,100
Citizens Financial Group Inc		3,587		141


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
City Holding Co		607	$	56
CME Group Inc, Cl A		4,726		795
CNA Financial Corp		253		11
Cohen & Steers Inc		764		49
Coinbase Global, Cl A *		850		30
Comerica Inc		1,232		82
Commerce Bancshares Inc/MO		1,722		117
Community Bank System Inc		710		45
ConnectOne Bancorp Inc		1,891		46
Credit Acceptance Corp *		177		84
Cullen/Frost Bankers Inc		850		114
Dime Community Bancshares		1,467		47
Discover Financial Services		11,446		1,120
Eagle Bancorp Inc		1,035		46
East West Bancorp Inc		1,710		113
eHealth Inc *		512		2
Ellington Financial Inc ^‡		2,748		34
Enterprise Financial Services Corp		1,063		52
Equitable Holdings Inc		432		12
Erie Indemnity Co, Cl A		433		108
Essent Group Ltd		970		38
Evercore Inc, Cl A		659		72
Everest Re Group Ltd		179		59
Eversource Energy		10,983		921
F&G Annuities & Life		72		1
FactSet Research Systems Inc		306		123
FB Financial Corp		1,250		45
Federal Agricultural Mortgage Corp, Cl C		119		13
Federated Hermes Inc, Cl B		1,492		54
Fidelity National Financial Inc		1,063		40
Fifth Third Bancorp		4,599		151
First American Financial Corp		814		43
First BanCorp/Puerto Rico		821		10
First Busey Corp		1,790		44
First Citizens BancShares Inc/NC, Cl A		159		121
First Commonwealth Financial Corp		3,365		47
First Financial Bancorp		1,921		47
First Financial Bankshares Inc		1,378		47
First Hawaiian Inc		3,126		81
First Horizon		6,041		148
First Interstate BancSystem, Cl A		1,171		45
First Merchants Corp		1,182		49
First Republic Bank/CA		1,080		132
FirstCash Holdings		612		53
FNB Corp/PA		3,907		51
Franklin Resources Inc		6,856		181
Fulton Financial Corp		2,789		47
Genworth Financial Inc, Cl A *		10,439		55
German American Bancorp Inc		1,414		53
Globe Life Inc		108		13
Goldman Sachs Group Inc/The		3,960		1,360
Goosehead Insurance Inc, Cl A *		215		7


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Hancock Whitney Corp		1,142	$	55
Hannon Armstrong Sustainable Infrastructure Capital Inc		20,833		604
Hanover Insurance Group Inc/The		124		17
HarborOne Bancorp Inc		861		12
Hartford Financial Services Group Inc/The		1,006		76
Heartland Financial USA Inc		1,003		47
Heritage Financial Corp/WA		1,744		53
Home BancShares Inc/AR		2,523		57
HomeStreet Inc		309		9
Hope Bancorp Inc		3,233		41
Horace Mann Educators Corp		1,125		42
Houlihan Lokey Inc, Cl A		192		17
Huntington Bancshares Inc/OH		9,540		134
Independent Bank Corp		580		49
Independent Bank Group Inc		846		51
Intercontinental Exchange Inc		5,170		530
Invesco Ltd		18,276		329
Invesco Mortgage Capital ^‡		323		4
James River Group Holdings Ltd		1,180		25
Janus Henderson Group		1,207		28
Jefferies Financial Group Inc		2,313		79
JPMorgan Chase & Co		35,839		4,806
KeyCorp		12,904		225
Kinsale Capital Group Inc		73		19
KKR & Co Inc		3,222		150
KKR Real Estate Finance Trust Inc ^‡		2,440		34
Lakeland Bancorp Inc		2,890		51
Lazard Ltd, Cl A		2,316		80
Lemonade *		1,665		23
LendingTree Inc *		175		4
Lincoln National Corp		3,621		111
Loews Corp		222		13
LPL Financial Holdings Inc		1,036		224
M&T Bank Corp		1,519		220
MarketAxess Holdings Inc		144		40
Marsh & McLennan Cos Inc		13,132		2,173
Mercury General Corp		233		8
MetLife Inc		6,576		476
MFA Financial ^‡		1,584		16
MGIC Investment Corp		3,455		45
Moelis & Co, Cl A		1,564		60
Moody's Corp		3,947		1,100
Morgan Stanley		28,589		2,431
Morningstar Inc		67		14
Mr Cooper Group Inc *		335		13
MSCI Inc, Cl A		635		295
Nasdaq Inc		7,134		438
NBT Bancorp Inc		1,213		53
Nelnet Inc, Cl A		145		13
New York Community Bancorp Inc		951		8
New York Mortgage Trust Inc ^‡		7,776		20


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
NMI Holdings Inc, Cl A *		1,470	$	31
Northern Trust Corp		7,549		668
Northfield Bancorp Inc		2,868		45
OFG Bancorp		2,119		58
Old National Bancorp/IN		5,093		92
OneMain Holdings Inc, Cl A		258		9
Orchid Island Capital, Cl A ^‡		3,472		36
Pacific Premier Bancorp Inc		3,188		101
PacWest Bancorp		1,283		29
Palomar Holdings Inc, Cl A *		145		7
Pathward Financial		266		11
PennyMac Mortgage Investment Trust ^‡		18,482		229
Pinnacle Financial Partners Inc		1,489		109
PNC Financial Services Group Inc/The		5,690		899
Popular Inc		1,507		100
PRA Group Inc *		1,320		45
Primerica		323		46
Principal Financial Group Inc		662		56
ProAssurance Corp		1,351		24
PROG Holdings Inc *		832		14
Progressive Corp/The		6,231		808
Prosperity Bancshares Inc		1,192		87
Provident Financial Services Inc		1,988		42
Prudential Financial Inc		15,519		1,544
Radian Group Inc		1,924		37
Raymond James Financial Inc		1,949		208
Redwood Trust Inc ^‡		2,992		20
Regional Management		872		24
Regions Financial Corp		62,324		1,344
Reinsurance Group of America Inc, Cl A		578		82
RenaissanceRe Holdings Ltd		248		46
Renasant Corp		1,366		51
Rithm Capital ^‡		1,403		11
RLI Corp		545		72
S&P Global Inc		7,141		2,392
S&T Bancorp Inc		1,247		43
Sandy Spring Bancorp Inc		1,350		48
Seacoast Banking Corp of Florida		1,616		50
ServisFirst Bancshares Inc		187		13
Signature Bank/New York NY		676		78
Silvergate Capital, Cl A *		716		12
SLM Corp		8,316		138
SouthState		216		16
Starwood Property Trust Inc ^‡		2,000		37
State Street Corp		9,970		773
Stellar Bancorp		1,869		55
Stifel Financial Corp		245		14
SVB Financial Group *		439		101
Synchrony Financial		4,720		155
Synovus Financial Corp		1,267		48
T Rowe Price Group Inc		2,711		296
Texas Capital Bancshares Inc *		822		50


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
TFS Financial Corp		573	$	8
TPG RE Finance Trust Inc ^‡		2,439		17
Travelers Cos Inc/The		2,743		514
TriCo Bancshares		1,219		62
Triumph Financial *		822		40
Truist Financial Corp		14,236		613
Trustmark Corp		1,410		49
Two Harbors Investment ^‡		1,597		25
UMB Financial Corp		715		60
Umpqua Holdings Corp		2,753		49
Univest Financial Corp		1,820		48
Unum Group		1,638		67
Upstart Holdings *		1,290		17
US Bancorp		12,299		536
Valley National Bancorp		4,269		48
Veritex Holdings Inc		348		10
Virtu Financial Inc, Cl A		3,026		62
W R Berkley Corp		247		18
Walker & Dunlop Inc		749		59
Washington Trust Bancorp Inc		924		44
Webster Financial Corp		2,008		95
Wells Fargo & Co		37,515		1,549
Westamerica BanCorp		731		43
Western Alliance Bancorp		1,801		107
Willis Towers Watson PLC		907		222
Wintrust Financial Corp		708		60
Zions Bancorp NA		1,771		87

				60,988
Health Care — 15.1%
10X Genomics, Cl A *		954		35
Abbott Laboratories		27,119		2,977
AbbVie Inc		25,124		4,060
Acadia Healthcare Co Inc *		220		18
Accolade *		956		7
AdaptHealth, Cl A *		2,632		51
Adaptive Biotechnologies Corp *		1,704		13
Addus HomeCare Corp *		495		49
Agilent Technologies Inc		7,874		1,178
Agios Pharmaceuticals Inc *		1,062		30
Alector Inc *		2,628		24
Align Technology Inc *		691		146
Allogene Therapeutics Inc *		1,838		12
Alnylam Pharmaceuticals Inc *		1,202		286
Amedisys Inc *		56		5
American Well, Cl A *		10,093		29
AmerisourceBergen Corp, Cl A		589		98
Amgen Inc		7,498		1,969
Amicus Therapeutics Inc *		5,193		63
AMN Healthcare Services Inc *		832		86
AnaptysBio *		1,908		59
Anika Therapeutics Inc *		920		27
Apellis Pharmaceuticals Inc *		246		13


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Apollo Medical Holdings Inc *		344	$	10
Arcturus Therapeutics Holdings *		483		8
Arcus Biosciences Inc *		2,371		49
Arrowhead Pharmaceuticals Inc *		251		10
Arvinas Inc *		1,298		44
Atara Biotherapeutics Inc *		3,254		11
AtriCure *		1,029		46
Atrion Corp		71		40
Avanos Medical Inc *		301		8
Avantor Inc *		1,656		35
Avidity Biosciences *		2,388		53
Avista Public Acquisition II, Cl W *		2,263		8
Axonics Inc *		351		22
Axsome Therapeutics Inc *		618		48
Azenta *		207		12
Baxter International Inc		12,373		631
Becton Dickinson and Co		4,437		1,128
BioCryst Pharmaceuticals Inc *		1,030		12
Biogen Inc *		2,874		796
Biohaven *		45		1
BioLife Solutions *		2,163		39
BioMarin Pharmaceutical Inc *		1,042		108
Bio-Rad Laboratories Inc, Cl A *		32		13
Bio-Techne Corp		212		18
Bluebird Bio Inc *		645		4
Boston Scientific Corp *		16,399		759
Bridgebio Pharma Inc *		241		2
Bristol-Myers Squibb Co		34,297		2,468
Brookdale Senior Living Inc *		7,397		20
Bruker Corp		233		16
Cara Therapeutics Inc *		2,942		32
Cardinal Health Inc		2,213		170
CareDx *		6,310		72
Cassava Sciences *		614		18
Castle Biosciences *		730		17
Catalent Inc *		949		43
Catalyst Pharmaceuticals Inc *		11,416		212
Centene Corp *		4,805		394
Charles River Laboratories International Inc *		77		17
Chemed Corp		114		58
Cigna Corp		7,185		2,381
Collegium Pharmaceutical *		2,915		68
Cooper Cos Inc/The		236		78
Corcept Therapeutics Inc *		3,878		79
CorVel Corp *		125		18
Crinetics Pharmaceuticals Inc *		2,310		42
CryoPort *		871		15
CVS Health Corp		19,003		1,771
Cytokinetics Inc *		7,134		327
Danaher Corp		7,586		2,013
DaVita Inc *		160		12


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Deciphera Pharmaceuticals Inc *		716	$	12
Denali Therapeutics Inc *		2,631		73
DENTSPLY SIRONA Inc		3,113		99
Dexcom *		3,388		384
Dynavax Technologies Corp *		8,733		93
Eagle Pharmaceuticals Inc/DE *		1,045		31
Editas Medicine Inc, Cl A *		1,596		14
Edwards Lifesciences Corp *		8,484		633
Elanco Animal Health Inc *		398		5
Elevance Health		5,325		2,732
Eli Lilly		11,234		4,110
Embecta		887		22
Emergent BioSolutions Inc *		950		11
Enanta Pharmaceuticals Inc *		785		37
Encompass Health Corp		164		10
Enhabit *		82		1
Enovis *		485		26
Envista Holdings Corp *		317		11
Esperion Therapeutics Inc *		962		6
Exact Sciences Corp *		930		46
Exelixis Inc *		4,344		70
Fate Therapeutics Inc *		3,277		33
FibroGen Inc *		1,053		17
Fulgent Genetics *		853		25
Gilead Sciences Inc		14,228		1,222
Glaukos Corp *		167		7
Globus Medical Inc, Cl A *		179		13
Gossamer Bio Inc *		3,279		7
Halozyme Therapeutics Inc *		2,641		150
HCA Healthcare Inc		2,314		555
Health Catalyst Inc *		1,594		17
HealthEquity Inc *		673		41
Henry Schein Inc *		2,612		209
Heron Therapeutics Inc *		1,977		5
Heska Corp *		69		4
Hologic Inc *		927		69
Horizon Therapeutics PLC *		1,437		164
Humana Inc		1,261		646
ICU Medical Inc *		62		10
Ideaya Biosciences *		4,068		74
IDEXX Laboratories Inc *		707		288
IGM Biosciences *		1,084		18
Illumina Inc *		3,200		647
ImmunityBio *		12,691		64
Inari Medical *		419		27
Incyte Corp *		1,063		85
Innoviva Inc *		3,557		47
Inogen Inc *		706		14
Inovio Pharmaceuticals Inc *		2,095		3
Insmed Inc *		2,129		43
Inspire Medical Systems Inc *		110		28
Insulet Corp *		65		19


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Integer Holdings Corp *		625	$	43
Integra LifeSciences Holdings Corp *		188		11
Intellia Therapeutics *		1,231		43
Intercept Pharmaceuticals Inc *		417		5
Intra-Cellular Therapies Inc *		3,894		206
Intuitive Surgical Inc *		4,209		1,117
Invitae Corp *		54,164		101
Ionis Pharmaceuticals Inc *		782		30
Iovance Biotherapeutics Inc *		8,304		53
IQVIA Holdings Inc *		1,378		282
iRhythm Technologies *		210		20
Ironwood Pharmaceuticals Inc, Cl A *		3,844		48
Johnson & Johnson		32,711		5,778
Karuna Therapeutics Inc *		118		23
Karyopharm Therapeutics Inc *		2,929		10
Kezar Life Sciences *		10,142		71
Kiniksa Pharmaceuticals Ltd, Cl A *		801		12
Kodiak Sciences Inc *		1,218		9
Krystal Biotech Inc *		823		65
Kura Oncology Inc *		3,438		43
Laboratory Corp of America Holdings		515		121
Lantheus Holdings Inc *		2,408		123
LHC Group Inc *		57		9
Ligand Pharmaceuticals Inc *		462		31
LivaNova PLC *		657		36
MacroGenics Inc *		1,782		12
Madrigal Pharmaceuticals Inc *		531		154
McKesson Corp		1,233		463
MeiraGTx Holdings *		4,240		28
Merck & Co Inc		36,681		4,070
Meridian Bioscience Inc *		1,293		43
Mersana Therapeutics *		13,514		79
Mettler-Toledo International Inc *		1,016		1,469
Mirati Therapeutics Inc *		429		19
Moderna Inc *		4,368		785
Myriad Genetics Inc *		1,860		27
Natera Inc *		229		9
National Research Corp		779		29
Nektar Therapeutics, Cl A *		2,328		5
Neogen Corp *		300		5
Neurocrine Biosciences Inc *		1,089		130
Nevro Corp *		83		3
NextGen Healthcare Inc *		3,392		64
Novavax Inc *		816		8
Novocure *		224		16
Ocugen *		19,686		26
Omnicell *		466		23
Option Care Health Inc *		648		20
OraSure Technologies Inc *		6,042		29
Organon		649		18
Pediatrix Medical Group *		417		6
Pennant Group Inc/The *		1,609		18


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Penumbra Inc *		72	$	16
PerkinElmer Inc		120		17
Pfizer Inc		73,662		3,774
Phreesia Inc *		361		12
Premier Inc, Cl A		2,266		79
Protagonist Therapeutics *		1,083		12
PTC Therapeutics Inc *		1,021		39
QIAGEN NV *		2,338		117
Quest Diagnostics Inc		865		135
Reata Pharmaceuticals Inc, Cl A *		537		20
Regeneron Pharmaceuticals Inc *		1,105		797
Repligen Corp *		553		94
ResMed Inc		2,930		610
Revance Therapeutics Inc *		3,056		56
Rocket Pharmaceuticals *		932		18
Sage Therapeutics Inc *		516		20
Sangamo Therapeutics Inc *		1,002		3
Sarepta Therapeutics Inc *		87		11
Seagen Inc *		750		96
Shockwave Medical Inc *		452		93
Simulations Plus Inc		1,477		54
STAAR Surgical Co *		2,233		108
Stryker Corp		3,476		850
Supernus Pharmaceuticals Inc *		2,174		78
Surmodics Inc *		1,169		40
Tactile Systems Technology Inc *		728		8
Tandem Diabetes Care Inc *		144		6
Teladoc Health Inc *		2,033		48
Teleflex Inc		742		185
Tenon Medical *		21,009		33
TG Therapeutics Inc *		4,916		58
Theravance Biopharma Inc *		2,200		25
Thermo Fisher Scientific Inc		4,827		2,658
Travere Therapeutics *		3,434		72
Twist Bioscience Corp *		606		14
Ultragenyx Pharmaceutical Inc *		1,143		53
United Therapeutics Corp *		559		156
UnitedHealth Group Inc		11,675		6,190
Universal Health Services Inc, Cl B		80		11
US Physical Therapy Inc		428		35
Utah Medical Products		515		52
Varex Imaging Corp *		1,631		33
Veeva Systems Inc, Cl A *		1,157		187
Veradigm *		3,611		64
Vericel *		1,218		32
Vertex Pharmaceuticals Inc *		3,305		954
Viatris Inc, Cl W *		1,277		14
Waters Corp *		395		135
West Pharmaceutical Services Inc		1,875		441
Xencor *		1,686		44
Y-mAbs Therapeutics *		3,117		15
Zentalis Pharmaceuticals *		497		10


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Zimmer Biomet Holdings Inc		3,501	$	446
Zimvie *		350		3
Zoetis Inc, Cl A		6,022		883

				74,330
Industrials — 8.3%
3M Co		10,841		1,300
A O Smith Corp		1,708		98
AAON Inc		192		14
AAR Corp *		1,101		49
ABM Industries Inc		1,349		60
ACCO Brands Corp		5,214		29
Acuity Brands Inc		84		14
AECOM		6,633		563
AerSale *		3,461		56
AGCO Corp		149		21
Air Lease Corp, Cl A		1,053		40
Alamo Group Inc		86		12
Alaska Air Group Inc *		9,238		397
Albany International Corp, Cl A		652		64
Allegion PLC		855		90
Allison Transmission Holdings Inc		1,870		78
Altra Industrial Motion Corp		260		16
American Airlines Group Inc *		405		5
American Woodmark Corp *		461		23
AMETEK Inc		1,369		191
Apogee Enterprises Inc		1,229		55
Applied Industrial Technologies Inc		745		94
ArcBest Corp		336		24
Arcosa Inc		1,128		61
Argan Inc		1,315		48
Armstrong World Industries Inc		161		11
ASGN Inc *		146		12
Astec Industries Inc		204		8
Astronics *		3,653		38
Atkore *		453		51
Avis Budget Group Inc *		1,282		210
Axon Enterprise Inc *		1,678		278
AZZ Inc		1,071		43
Barnes Group Inc		807		33
Blink Charging *		1,491		16
Bloom Energy Corp, Cl A *		4,597		88
Brady Corp, Cl A		9,852		464
Brink's Co/The		540		29
Cadre Holdings		2,060		41
Carlisle Cos Inc		311		73
Carrier Global Corp		6,184		255
CBIZ Inc *		1,805		85
CH Robinson Worldwide Inc		148		14
Chart Industries Inc *		142		16
Cintas Corp		1,907		861
CIRCOR International Inc *		1,110		27
Clean Harbors Inc *		137		16


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Comfort Systems USA Inc		988	$	114
Construction Partners Inc, Cl A *		391		10
Copa Holdings SA, Cl A *		469		39
Copart Inc *		2,568		156
CoStar Group Inc *		3,260		252
Crane Holdings		135		14
CSW Industrials Inc		116		13
CSX Corp		29,082		901
Cummins Inc		3,179		770
Curtiss-Wright Corp		1,789		299
Deere & Co		4,735		2,030
Delta Air Lines Inc *		35,179		1,156
Deluxe Corp		981		17
Donaldson Co Inc		202		12
Dover Corp		383		52
Dycom Industries Inc *		1,064		100
Eaton Corp PLC		12,068		1,894
EMCOR Group Inc		565		84
Emerson Electric Co		6,592		633
Enerpac Tool Group, Cl A		2,369		60
EnerSys		664		49
EnPro Industries Inc		738		80
Equifax Inc		64		12
Esab		485		23
ESCO Technologies Inc		568		50
ESS Tech *		12,723		31
Expeditors International of Washington Inc		1,163		121
Exponent Inc		135		13
Fastenal Co		242		11
Federal Signal Corp		1,560		72
FedEx Corp		2,712		470
Flowserve Corp		239		7
Fluor Corp *		4,373		152
Forrester Research Inc *		1,169		42
Fortune Brands Innovations		174		10
Forward Air Corp		144		15
Franklin Electric Co Inc		180		14
FTC Solar *		10,081		27
FTI Consulting Inc *		443		70
FuelCell Energy *		8,509		24
Generac Holdings Inc *		203		20
General Electric		11,119		932
Gibraltar Industries Inc *		164		8
Graco Inc		223		15
GrafTech International Ltd		954		5
Granite Construction Inc		1,780		62
Great Lakes Dredge & Dock Corp *		4,289		26
Greenbrier Cos Inc/The		1,583		53
GXO Logistics *		1,041		44
Hawaiian Holdings Inc *		1,619		17
Healthcare Services Group Inc		422		5
HEICO Corp		4,351		668


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
HEICO Corp, Cl A		3,221	$	386
Helios Technologies Inc		1,091		59
Herc Holdings Inc		1,012		133
Hexcel Corp		20,095		1,183
Hillenbrand Inc		300		13
HNI Corp		1,268		36
Howmet Aerospace Inc		7,379		291
Hubbell Inc, Cl B		78		18
Hyliion Holdings *		4,149		10
IAA Inc *		253		10
ICF International Inc		545		54
IDEX Corp		68		16
Illinois Tool Works Inc		8,979		1,978
Ingersoll Rand Inc		355		19
Insperity Inc		592		67
Interface Inc, Cl A		15,150		150
ITT Inc		1,404		114
JB Hunt Transport Services Inc		437		76
JetBlue Airways Corp *		837		5
John Bean Technologies Corp		439		40
Kadant Inc		65		12
Kaman Corp		55,761		1,243
KAR Auction Services Inc *		2,303		30
Kelly Services Inc, Cl A		2,214		37
Kennametal Inc		1,343		32
Kforce Inc		444		24
Kimball International, Cl B		4,936		32
Kirby Corp *		1,032		66
Knight-Swift Transportation Holdings Inc, Cl A		1,357		71
Korn Ferry		1,193		60
Landstar System Inc		83		14
Lennox International Inc		44		11
Li-Cycle Holdings *		8,390		40
Lincoln Electric Holdings Inc		1,027		148
Lindsay Corp		91		15
Lyft Inc, Cl A *		240		3
ManpowerGroup Inc		3,586		298
Marten Transport Ltd		592		12
Masco Corp		245		11
Masterbrand *		174		1
Matson Inc		1,273		80
Maxar Technologies Inc		10,873		563
McGrath RentCorp		666		66
MDU Resources Group Inc		386		12
Middleby Corp/The *		103		14
MillerKnoll		2,900		61
MRC Global Inc *		3,597		42
MSC Industrial Direct Co Inc, Cl A		1,115		91
Nordson Corp		600		143
Norfolk Southern Corp		2,628		648
NOW Inc *		4,359		55


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
NV5 Global Inc *		202	$	27
Old Dominion Freight Line Inc		42		12
Omega Flex Inc		70		7
Oshkosh Corp		2,762		244
Otis Worldwide Corp		2,457		192
Owens Corning		4,958		423
PACCAR Inc		1,967		195
Park Aerospace		4,245		57
Parker-Hannifin Corp		1,231		358
Parsons Corp *		1,198		55
Pentair PLC		245		11
Pitney Bowes Inc		11,792		45
Plug Power Inc *		4,368		54
Proto Labs Inc *		91		2
Quanta Services Inc		2,291		326
RBC Bearings Inc *		64		13
Redwire *		15,060		30
Regal Rexnord		1,068		128
Republic Services Inc, Cl A		969		125
Resideo Technologies Inc *		448		7
Robert Half International Inc		806		60
Rockwell Automation Inc		1,620		417
Rollins Inc		3,532		129
RXO *		1,041		18
Ryder System Inc		1,425		119
Saia Inc *		96		20
Schneider National Inc, Cl B		521		12
Shoals Technologies Group, Cl A *		697		17
Shyft Group Inc/The		429		11
Simpson Manufacturing Co Inc		643		57
SiteOne Landscape Supply *		361		42
Snap-on Inc		318		73
Southwest Airlines Co		322		11
SP Plus Corp *		1,169		41
Spirit AeroSystems Holdings Inc, Cl A		22,727		673
Spirit Airlines Inc		1,221		24
SPX Technologies *		999		66
Stanley Black & Decker Inc		1,349		101
Steelcase Inc, Cl A		2,620		19
Stem *		5,869		52
Stericycle Inc *		179		9
Sunrun Inc *		1,979		48
Tennant Co		639		39
Terex Corp		341		15
Tetra Tech Inc		564		82
Timken Co/The		204		14
Toro Co/The		1,175		133
TPI Composites Inc *		472		5
TransUnion		135		8
Trex Co Inc *		1,134		48
Trinity Industries Inc		511		15
Triton International		827		57


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Triumph Group Inc *		1,853	$	19
TrueBlue Inc *		6,957		136
Uber Technologies Inc *		6,259		155
UFP Industries Inc		196		16
U-Haul Holding		28		2
U-Haul Holding, Cl B		252		14
UniFirst Corp/MA		235		45
Union Pacific Corp		7,120		1,474
United Airlines Holdings Inc *		289		11
United Parcel Service Inc, Cl B		8,569		1,490
United Rentals Inc *		1,692		601
Univar Solutions Inc *		476		15
Upwork *		3,753		39
Valmont Industries Inc		76		25
Verisk Analytics Inc, Cl A		1,729		305
Virgin Galactic Holdings Inc *		141,653		493
Wabash National Corp		3,217		73
Waste Management Inc		6,467		1,015
Watsco Inc		52		13
Watts Water Technologies Inc, Cl A		507		74
WESCO International Inc *		3,661		458
Westinghouse Air Brake Technologies Corp		465		46
WillScot Mobile Mini Holdings Corp, Cl A *		590		27
Woodward Inc		139		13
WW Grainger Inc		2,502		1,392
XPO *		1,041		35
Xylem Inc/NY		12,451		1,377
Zurn Elkay Water Solutions		1,629		34

				40,561
Information Technology — 24.7%
8x8 Inc *		2,725		12
Accenture PLC, Cl A		11,297		3,014
ACI Worldwide Inc *		1,373		32
Adeia		2,351		22
Adobe Inc *		8,356		2,812
ADTRAN Holdings		979		18
Advanced Energy Industries Inc		725		62
Advanced Micro Devices Inc *		18,853		1,221
Affirm Holdings, Cl A *		2,309		22
Agilysys Inc *		323		26
Akamai Technologies Inc *		7,949		670
Akoustis Technologies Inc *		2,669		8
Alarm.com Holdings Inc *		1,192		59
Altair Engineering Inc, Cl A *		269		12
Alteryx Inc, Cl A *		635		32
Ambarella Inc *		160		13
Amdocs Ltd *		3,632		330
Amkor Technology Inc		3,864		93
Amphenol Corp, Cl A		4,648		354
Analog Devices Inc		5,627		923
ANSYS Inc *		683		165
Appian Corp, Cl A *		1,246		41


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Apple Inc		196,636	$	25,549
Applied Materials Inc		13,913		1,355
Arista Networks Inc *		3,072		373
Arlo Technologies *		7,542		26
Arrow Electronics Inc *		2,084		218
Asana, Cl A *		3,091		43
Aspen Technology *		173		36
Atlassian, Cl A *		1,043		134
Autodesk Inc *		3,559		665
Automatic Data Processing Inc		9,709		2,319
Avnet Inc		325		13
Axcelis Technologies Inc *		2,104		167
Badger Meter Inc		775		84
Belden Inc		900		65
Benchmark Electronics Inc		1,447		39
Bentley Systems, Cl B		1,422		53
BigCommerce Holdings *		3,803		33
Bill.com Holdings Inc *		1,644		179
Black Knight Inc *		1,569		97
Blackbaud Inc *		629		37
Blackline Inc *		185		12
Block, Cl A *		4,127		259
Box Inc, Cl A *		539		17
Broadcom Inc		4,787		2,677
Broadridge Financial Solutions Inc		720		97
Cadence Design Systems Inc *		2,312		371
Cass Information Systems Inc		865		40
CDW Corp/DE		806		144
Cerence Inc *		493		9
Ceridian HCM Holding Inc *		792		51
Ciena Corp *		1,223		62
Cirrus Logic Inc *		640		48
Cisco Systems Inc		73,242		3,489
Cloudflare, Cl A *		1,522		69
Cognex Corp		203		10
Cognizant Technology Solutions Corp, Cl A		8,315		476
Coherent *		265		9
Cohu Inc *		2,351		75
CommScope Holding Co Inc *		7,086		52
CommVault Systems Inc *		219		14
Concentrix		387		52
Consensus Cloud Solutions *		180		10
Corning Inc		6,104		195
Coupa Software Inc *		970		77
Crowdstrike Holdings Inc, Cl A *		1,523		160
CSG Systems International Inc		965		55
CTS Corp		301		12
Datadog Inc, Cl A *		1,589		117
Dell Technologies Inc, Cl C		4,108		165
Diebold Nixdorf Inc *		4,695		7
Digital Turbine Inc *		4,674		71
DocuSign Inc, Cl A *		1,618		90


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Dolby Laboratories Inc, Cl A		731	$	52
Domo Inc, Cl B *		297		4
Dropbox Inc, Cl A *		2,914		65
Dynatrace Inc *		465		18
Ebix Inc		299		6
Elastic NV *		183		9
Enphase Energy Inc *		2,249		596
Entegris Inc		1,018		67
Envestnet Inc *		717		44
EPAM Systems Inc *		121		40
Euronet Worldwide Inc *		74		7
Everbridge Inc *		1,814		54
EVERTEC Inc		1,569		51
ExlService Holdings Inc *		136		23
Extreme Networks Inc *		6,878		126
F5 Inc *		578		83
Fair Isaac Corp *		299		179
Fastly Inc, Cl A *		905		7
Fidelity National Information Services Inc		7,874		534
First Solar Inc *		3,538		530
Fiserv Inc *		5,664		572
Five9 Inc *		93		6
FleetCor Technologies Inc *		277		51
FormFactor Inc *		353		8
Fortinet Inc *		4,535		222
Gartner *		326		110
Gen Digital		4,737		102
Genpact Ltd		6,870		318
Global Payments Inc		2,965		294
Globant SA *		271		46
GoDaddy Inc, Cl A *		1,102		82
Guidewire Software Inc *		109		7
Hackett Group Inc/The		3,129		64
HubSpot Inc *		322		93
Ichor Holdings Ltd *		486		13
Infinera Corp *		6,579		44
Insight Enterprises Inc *		132		13
Intel Corp		51,878		1,371
InterDigital Inc		917		45
International Business Machines Corp		13,123		1,849
Intuit Inc		3,714		1,446
IPG Photonics Corp *		558		53
Itron Inc *		588		30
Jabil Inc		6,948		474
Jack Henry & Associates Inc		636		112
Juniper Networks Inc		7,826		250
Keysight Technologies Inc *		8,857		1,515
Kimball Electronics *		2,142		48
KLA Corp		1,904		718
Knowles Corp *		2,314		38
Kulicke & Soffa Industries		764		34
Kyndryl Holdings *		2,624		29


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Lam Research Corp		3,493	$	1,468
Lattice Semiconductor Corp *		369		24
Littelfuse Inc		60		13
Lumentum Holdings Inc *		660		34
Manhattan Associates Inc *		1,278		155
Marathon Digital Holdings *		3,468		12
Marvell Technology		7,143		265
Mastercard Inc, Cl A		12,101		4,208
Matterport *		11,962		33
Maximus		682		50
Microchip Technology Inc		3,873		272
Micron Technology Inc		11,221		561
Microsoft Corp		99,587		23,883
MicroStrategy Inc, Cl A *		69		10
MicroVision *		2,858		7
MKS Instruments Inc		103		9
MongoDB Inc, Cl A *		574		113
Monolithic Power Systems Inc		64		23
N-Able *		317		3
National Instruments Corp		2,353		87
NCR Corp *		334		8
NetApp Inc		2,936		176
NetScout Systems Inc *		2,073		67
New Relic Inc *		952		54
Novanta Inc *		98		13
Nutanix Inc, Cl A *		359		9
NVIDIA Corp		35,018		5,118
Okta Inc, Cl A *		812		55
ON Semiconductor Corp *		9,649		602
Oracle Corp		24,339		1,989
OSI Systems Inc *		497		39
PagerDuty Inc *		1,821		48
Palantir Technologies, Cl A *		12,031		77
Palo Alto Networks Inc *		2,616		365
Paychex Inc		2,612		302
Paycom Software Inc *		194		60
Paylocity Holding Corp *		417		81
PayPal Holdings Inc *		16,718		1,191
Pegasystems Inc		150		5
Perficient Inc *		181		13
Photronics Inc *		580		10
Plexus Corp *		589		61
Power Integrations Inc		196		14
Priority Technology Holdings *		10,659		56
Procore Technologies *		1,013		48
Progress Software Corp		1,206		61
PROS Holdings Inc *		818		20
PTC Inc *		677		81
Pure Storage Inc, Cl A *		685		18
Qorvo Inc *		100		9
QUALCOMM Inc		17,833		1,961
Qualys Inc *		591		66


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Rambus Inc *		3,633	$	130
Rapid7 Inc *		393		13
Repay Holdings, Cl A *		7,436		60
RingCentral Inc, Cl A *		699		25
Riot Platforms *		3,379		11
Rogers Corp *		392		47
Roper Technologies Inc		687		297
Sabre Corp *		506		3
Salesforce *		16,945		2,247
Sanmina Corp *		189		11
ScanSource Inc *		1,292		38
Semtech Corp *		1,000		29
ServiceNow Inc *		2,243		871
Silicon Laboratories Inc *		437		59
Skyworks Solutions Inc		308		28
Smartsheet Inc, Cl A *		266		10
Snowflake, Cl A *		2,583		371
SolarWinds *		317		3
Splunk Inc *		1,357		117
Sprout Social, Cl A *		832		47
SPS Commerce Inc *		152		19
Sumo Logic *		5,230		42
Synaptics Inc *		142		14
Synopsys Inc *		1,235		394
TD SYNNEX		387		37
Teledyne Technologies Inc *		997		399
Telos *		6,297		32
Teradata Corp *		4,437		149
Teradyne Inc		4,784		418
Texas Instruments Inc		10,356		1,711
Trimble Inc *		2,035		103
TTEC Holdings Inc		202		9
TTM Technologies Inc *		3,386		51
Tucows Inc, Cl A *		170		6
Twilio Inc, Cl A *		2,168		106
Tyler Technologies Inc *		393		127
Ubiquiti Inc		48		13
UiPath, Cl A *		4,174		53
Unisys Corp *		689		3
Unity Software *		2,638		75
Universal Display Corp		2,185		236
Upland Software Inc *		255		2
Varonis Systems Inc, Cl B *		327		8
Verint Systems Inc *		947		34
VeriSign Inc *		802		165
Verra Mobility Corp, Cl A *		3,479		48
ViaSat Inc *		693		22
Viavi Solutions Inc *		3,355		35
Visa Inc, Cl A		21,213		4,407
VMware Inc, Cl A *		3,153		387
Western Digital Corp *		2,423		76
Western Union Co/The		425		6


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
WEX Inc *		55	$	9
Wix.com *		342		26
Wolfspeed *		248		17
Workday Inc, Cl A *		2,079		348
Workiva Inc, Cl A *		1,224		103
Xerox Holdings Corp		4,697		69
Xperi *		940		8
Zebra Technologies Corp, Cl A *		438		112
Zoom Video Communications Inc, Cl A *		2,001		136
Zscaler Inc *		786		88
Zuora Inc, Cl A *		3,498		22

				121,419
Materials — 2.7%
AdvanSix		1,143		43
Air Products and Chemicals Inc		4,688		1,445
Albemarle Corp		752		163
Alcoa Corp		5,657		257
Amcor PLC		4,821		57
Amyris *		23,256		36
AptarGroup Inc		1,944		214
Arconic Corp *		1,844		39
Ashland		152		16
ATI Inc *		2,362		71
Avery Dennison Corp		88		16
Axalta Coating Systems Ltd *		7,963		203
Balchem Corp		107		13
Ball Corp		14,154		724
Berry Global Group Inc		4,123		249
Cabot Corp		238		16
Carpenter Technology Corp		1,006		37
Celanese Corp, Cl A		93		10
CF Industries Holdings Inc		1,066		91
Chemours Co/The		2,832		87
Cleveland-Cliffs Inc *		11,888		192
Coeur Mining Inc *		6,945		23
Commercial Metals Co		1,211		58
Compass Minerals International Inc		851		35
Constellium, Cl A *		4,520		53
Corteva Inc		2,291		135
Crown Holdings Inc		6,925		569
Dow Inc		6,392		322
DuPont de Nemours Inc		3,212		220
Eagle Materials Inc		126		17
Eastman Chemical Co		9,101		741
Ecolab Inc		2,293		334
FMC Corp		2,400		300
Freeport-McMoRan Inc		27,003		1,026
Graphic Packaging Holding Co		681		15
Greif Inc, Cl A		1,122		75
HB Fuller Co		158		11
Huntsman Corp		475		13
Ingevity Corp *		563		40


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Innospec Inc		499	$	51
International Flavors & Fragrances Inc		2,307		242
International Paper Co		360		12
Livent Corp *		5,807		115
Louisiana-Pacific Corp		1,740		103
LyondellBasell Industries NV, Cl A		2,182		181
Martin Marietta Materials Inc		397		134
Minerals Technologies Inc		182		11
Mosaic Co/The		3,590		158
Newmont Corp		21,956		1,036
Novagold Resources Inc *		1,266		8
Nucor Corp		1,828		241
Packaging Corp of America		101		13
PPG Industries Inc		2,274		286
Quaker Chemical Corp		55		9
Reliance Steel & Aluminum Co		412		83
Resolute Forest Products *		2,414		52
Royal Gold Inc		512		58
Schnitzer Steel Industries, Cl A		1,418		43
Scotts Miracle-Gro Co/The		163		8
Sealed Air Corp		293		15
Sensient Technologies Corp		161		12
Sherwin-Williams Co/The		4,705		1,117
Sonoco Products Co		185		11
Southern Copper Corp		272		16
Steel Dynamics Inc		2,648		259
Stepan Co		138		15
Summit Materials Inc, Cl A *		447		13
Sylvamo		32		2
TriMas Corp		1,583		44
Trinseo		1,345		31
Tronox Holdings PLC		4,385		60
United States Lime & Minerals Inc		98		14
United States Steel Corp		3,709		93
Valvoline Inc		11,216		366
Vulcan Materials Co		665		116
Warrior Met Coal Inc		969		34
Westlake		137		14
Westrock Co		336		12
Worthington Industries Inc		223		11

				13,065
Real Estate — 3.1%
Acadia Realty Trust ^‡		1,946		28
Agree Realty Corp ^‡		736		52
Alexander & Baldwin Inc ^‡		2,342		44
Alexandria Real Estate Equities Inc ^‡		1,497		218
American Homes 4 Rent, Cl A ^‡		375		11
American Tower Corp, Cl A ^‡		5,189		1,099
Anywhere Real Estate *		4,621		30
Apartment Income ^‡		304		10
Apartment Investment and Management, Cl A ^‡		1,711		12


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Apple Hospitality ^‡		718	$	11
AvalonBay Communities Inc ^‡		3,261		527
Boston Properties Inc ^‡		1,468		99
Brandywine Realty Trust ^‡		14,492		89
Brixmor Property Group Inc ^‡		4,703		107
Camden Property Trust ^‡		125		14
CareTrust Inc ^‡		2,438		45
CBRE Group Inc, Cl A *		18,437		1,419
Community Healthcare Trust Inc ^‡		1,136		41
Corporate Office Properties Trust ^‡		7,752		201
Cousins Properties Inc ^‡		289		7
Crown Castle ^‡		4,174		566
CubeSmart ^‡		377		15
DiamondRock Hospitality Co ^‡		4,575		38
Digital Realty Trust Inc ^‡		2,674		268
Douglas Emmett Inc ^‡		448		7
EastGroup Properties Inc ^‡		306		45
Elme Communities ^‡		1,705		30
Empire State Realty Trust Inc, Cl A ^‡		5,592		38
EPR Properties ^‡		735		28
Equinix Inc ^‡		1,035		678
Equity Commonwealth ^‡		846		21
Equity LifeStyle Properties Inc ^‡		167		11
Equity Residential ^‡		3,485		206
Essential Properties Realty Trust Inc ^‡		2,028		48
Essex Property Trust Inc ^‡		454		96
eXp World Holdings		2,641		29
Extra Space Storage Inc ^‡		811		119
Federal Realty Investment Trust ^‡		664		67
First Industrial Realty Trust Inc ^‡		263		13
Four Corners Property Trust Inc ^‡		1,848		48
Franklin Street Properties Corp ^‡		5,897		16
Gaming and Leisure Properties Inc ^‡		283		15
Global Net Lease Inc ^‡		2,484		31
Healthcare Realty Trust, Cl A ^‡		392		8
Healthpeak Properties Inc ^‡		9,384		235
Highwoods Properties Inc ^‡		247		7
Host Hotels & Resorts Inc ^‡		17,568		282
Howard Hughes Corp/The *		795		61
Hudson Pacific Properties Inc ^‡		2,475		24
Industrial Logistics Properties Trust ^‡		516		2
Innovative Industrial Properties, Cl A ^‡		59		6
Invitation Homes Inc ^‡		1,509		45
Iron Mountain Inc ^‡		5,996		299
iStar ^‡		3,141		24
JBG SMITH Properties ^‡		2,065		39
Jones Lang LaSalle Inc *		1,270		202
Kilroy Realty Corp ^‡		4,516		175
Kimco Realty Corp ^‡		5,716		121
Kite Realty Group Trust ^‡		3,286		69
Lamar Advertising Co, Cl A ^‡		1,059		100
Life Storage Inc ^‡		165		16


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
LTC Properties Inc ^‡		1,142	$	41
LXP Industrial Trust ^‡		966		10
Macerich Co/The ^‡		5,508		62
Marcus & Millichap Inc		1,380		48
Medical Properties Trust Inc ^‡		2,513		28
Mid-America Apartment Communities Inc ^‡		318		50
National Health Investors Inc ^‡		635		33
Necessity Retail REIT ^‡		3,743		22
Newmark Group Inc, Cl A		3,753		30
Office Properties Income Trust ^‡		1,618		22
Omega Healthcare Investors Inc ^‡		1,229		34
Opendoor Technologies *		9,293		11
Orion Office REIT ^‡		124		1
Outfront Media Inc ^‡		1,951		32
Paramount Group Inc ^‡		5,922		35
Park Hotels & Resorts Inc ^‡		1,996		23
Pebblebrook Hotel Trust ^‡		1,899		25
Physicians Realty Trust ^‡		2,753		40
Piedmont Office Realty Trust Inc, Cl A ^‡		2,333		21
PotlatchDeltic Corp ^‡		231		10
Prologis Inc ^‡		19,306		2,176
Public Storage ^‡		1,303		365
Rayonier Inc ^‡		1,593		53
RE/MAX Holdings Inc, Cl A		1,292		24
Realty Income Corp ^‡		4,725		300
Redfin Corp *		458		2
Regency Centers Corp ^‡		19,332		1,208
Rexford Industrial Realty Inc ^‡		241		13
RLJ Lodging Trust ^‡		2,849		30
RMR Group Inc/The, Cl A		1,095		31
RPT Realty ^‡		3,429		34
Ryman Hospitality Properties Inc ^‡		577		47
Sabra Health Care REIT Inc ^‡		2,410		30
Safehold Inc ^‡		466		13
SBA Communications Corp, Cl A ^‡		684		192
Service Properties Trust ^‡		483		4
Simon Property Group Inc ^‡		3,706		435
SITE Centers Corp ^‡		3,734		51
SL Green Realty ^‡		2,468		83
Spirit Realty Capital Inc ^‡		237		9
St Joe Co/The		460		18
STAG Industrial Inc ^‡		359		12
STORE Capital Corp ^‡		2,555		82
Summit Hotel Properties Inc ^‡		4,173		30
Sun Communities ^‡		272		39
Tanger Factory Outlet Centers Inc ^‡		647		12
UDR Inc ^‡		250		10
Uniti Group Inc ^‡		1,247		7
Urban Edge Properties ^‡		2,679		38
Urstadt Biddle Properties Inc, Cl A ^‡		2,126		40
Ventas Inc ^‡		3,279		148
VICI Properties Inc ^‡		5,265		171


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Vornado Realty Trust ^‡		2,903	$	60
Welltower Inc ^‡		4,270		280
Weyerhaeuser Co ^‡		17,005		527
WP Carey Inc ^‡		149		12
Xenia Hotels & Resorts Inc ^‡		2,347		31
Zillow Group Inc, Cl C *		1,112		36

				15,443
Utilities — 2.4%
AES Corp/The		5,282		152
ALLETE Inc		620		40
Alliant Energy Corp		213		12
Ameren Corp		1,020		91
American Electric Power Co Inc		5,930		563
American States Water Co		580		54
American Water Works Co Inc		2,717		414
Atmos Energy Corp		461		52
Avangrid Inc		1,720		74
CenterPoint Energy Inc		434		13
Clearway Energy, Cl A		1,758		53
Clearway Energy Inc, Cl C		456		15
CMS Energy Corp		20,708		1,311
Consolidated Edison Inc		3,086		294
Constellation Energy		3,696		319
Dominion Energy Inc		8,106		497
DTE Energy Co		876		103
Duke Energy Corp		7,964		820
Edison International		3,288		209
Entergy Corp		2,276		256
Essential Utilities Inc		331		16
Evergy Inc		180		11
Exelon Corp		11,090		479
FirstEnergy Corp		1,531		64
Hawaiian Electric Industries Inc		249		10
IDACORP Inc		108		12
MGE Energy Inc		631		44
National Fuel Gas Co		245		16
New Jersey Resources Corp		1,111		55
NextEra Energy Inc		27,072		2,263
NiSource Inc		419		12
Northwest Natural Holding Co		699		33
NRG Energy Inc		323		10
OGE Energy Corp		261		10
Ormat Technologies Inc		644		56
PG&E Corp *		692		11
Pinnacle West Capital Corp		2,640		201
PNM Resources Inc		975		48
Portland General Electric Co		894		44
PPL Corp		2,577		75
Public Service Enterprise Group Inc		3,126		192
Sempra Energy		2,764		427
SJW Group		716		58
South Jersey Industries Inc		1,556		55


Description	Shares		Market Value ($ Thousands)
COMMON STOCK (continued)
Southern Co/The		7,423	$	530
Sunnova Energy International Inc *		810		15
UGI Corp		253		9
Vistra Corp		2,088		48
WEC Energy Group Inc		1,647		154
Xcel Energy Inc		21,147		1,483

				11,783
Total Common Stock
(Cost $283,717) ($ Thousands)				475,440



FOREIGN COMMON STOCK — 1.2%

Ireland — 0.3%
Cimpress PLC *		398		11
Jazz Pharmaceuticals PLC *		616		98
Medtronic PLC		19,976		1,553
Perrigo Co PLC		211		7

				1,669

United Kingdom — 0.9%
Alkermes PLC *		2,433		63
Cushman & Wakefield PLC *		2,593		32
Gates Industrial Corp PLC *		886		10
Johnson Controls International PLC		8,308		532
Linde PLC		8,544		2,787
nVent Electric PLC		457		18
Sensata Technologies Holding PLC		4,273		172
STERIS PLC		1,716		317
Trane Technologies PLC		1,779		299

				4,230

Total Foreign Common Stock
(Cost $5,168) ($ Thousands)				5,899



CASH EQUIVALENT — 1.4%
SEI Daily Income Trust, Government Fund, Cl F
3.810%**^†		7,106,766		7,107

Total Cash Equivalent
(Cost $7,107) ($ Thousands)				7,107


Total Investments in Securities — 99.4%
(Cost $295,992) ($ Thousands)			$	488,446

A list of the open futures contracts held by the Fund at December 31, 2022 are as follows:

The futures contracts are considered to have equity risk associated with them.

	Percentages are based on Net Assets of $491,580 ($ Thousands).
^‡	Real Estate Investment Trust.
*	Non-income producing security.
**	The rate reported is the 7-day effective yield as of December 31, 2022.
^†	Investment in Affiliated Security (see Note 3).

The following is a summary of the level of inputs used as of December 31, 2022, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

Investments in Securities

Level 1
($)

Level 2
($)

Level 3
($)

Total
($)

Common Stock

475,440

–

475,440

Foreign Common Stock

5,899

–

5,899

Cash Equivalent

7,107

–

7,107

Total Investments in Securities

488,446

–

488,446

Other Financial Instruments	Level 1 ($)			Level 2 ($)		Level 3 ($)		Total ($)
Futures Contracts*
Unrealized Depreciation		(182	)		–		–		(182	)
Total Other Financial Instruments		(182	)		–		–		(182	)

*	Futures contracts are valued at the unrealized depreciation on the instrument.

The following is a summary of the Fund’s transactions with affiliates for the period ended December 31, 2022 ($ Thousands):

For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.

^† Percentages based on total investments. Total investments do not include derivatives such as options, futures contracts, forward contracts, and swap contracts, if applicable.


Description	Face Amount (Thousands)		Market Value ($ Thousands)
MORTGAGE-BACKED SECURITIES — 43.2%
Agency Mortgage-Backed Obligations — 34.8%
FHLMC
6.500%, 12/01/2035 to 09/01/2039	$	380	$	391
6.000%, 03/01/2035		640		664
5.500%, 12/01/2036 to 12/01/2038		123		128
5.000%, 04/01/2024 to 07/01/2052		917		924
4.500%, 06/01/2038 to 08/01/2052		2,557		2,515
4.000%, 07/01/2037 to 07/01/2050		2,625		2,506
3.500%, 04/01/2033 to 05/01/2052		2,395		2,227
3.320%, ICE LIBOR USD 12 Month + 1.625%, 10/01/2046(A)		551		551
3.275%, ICE LIBOR USD 12 Month + 1.598%, 06/01/2047(A)		383		382
3.091%, ICE LIBOR USD 12 Month + 1.621%, 02/01/2050(A)		124		119
3.009%, ICE LIBOR USD 12 Month + 1.628%, 11/01/2048(A)		384		364
3.000%, 09/01/2032 to 10/01/2051		3,852		3,441
2.878%, ICE LIBOR USD 12 Month + 1.619%, 11/01/2047(A)		121		117
2.500%, 08/01/2030 to 04/01/2052		8,241		7,115
2.000%, 11/01/2050 to 03/01/2052		4,222		3,455
1.500%, 10/01/2041 to 11/01/2041		585		473
FHLMC CMO, Ser 2011-3947, Cl SG, IO
1.632%, 10/15/2041(A)		76		6
FHLMC CMO, Ser 2012-4057, Cl UI, IO
3.000%, 05/15/2027		40		1


Description	Face Amount (Thousands)		Market Value ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
FHLMC CMO, Ser 2012-4085, Cl IO, IO
3.000%, 06/15/2027	$	88	$	4
FHLMC CMO, Ser 2012-4099, Cl ST, IO
1.682%, 08/15/2042(A)		46		4
FHLMC CMO, Ser 2013-4203, Cl PS, IO
1.932%, 09/15/2042(A)		70		5
FHLMC CMO, Ser 2014-4310, Cl SA, IO
1.632%, 02/15/2044(A)		19		2
FHLMC CMO, Ser 2014-4335, Cl SW, IO
1.682%, 05/15/2044(A)		40		4
FHLMC CMO, Ser 2014-4415, Cl IO, IO
0.000%, 04/15/2041(A)(B)		20		1
FHLMC Multifamily Structured Pass-Through Certificates, Ser 1515, Cl X1, IO
1.511%, 02/25/2035(A)		2,289		266
FHLMC Multifamily Structured Pass-Through Certificates, Ser 1516, Cl X1, IO
1.511%, 05/25/2035(A)		845		101
FHLMC Multifamily Structured Pass-Through Certificates, Ser K118, Cl X1, IO
0.959%, 09/25/2030(A)		5,715		320
FHLMC Multifamily Structured Pass-Through Certificates, Ser K-1517, Cl X1, IO
1.324%, 07/25/2035(A)		235		25
FHLMC Multifamily Structured Pass-Through Certificates, Ser K740, Cl X1, IO
0.756%, 09/25/2027(A)		7,934		229
FHLMC Multifamily Structured Pass-Through Certificates, Ser KG06, Cl X1, IO
0.532%, 10/25/2031(A)		6,496		232
FHLMC STACR REMIC Trust, Ser 2021-DNA6, Cl M2
5.428%, SOFR30A + 1.500%, 10/25/2041(A)(C)		230		219
FHLMC STACR REMIC Trust, Ser 2022-DNA1, Cl M1B
5.778%, SOFR30A + 1.850%, 01/25/2042(A)(C)		420		399
FHLMC STACR REMIC Trust, Ser 2022-DNA2, Cl M1A
5.228%, SOFR30A + 1.300%, 02/25/2042(A)(C)		188		185
FHLMC STACR REMIC Trust, Ser 2022-DNA4, Cl M1A
6.128%, SOFR30A + 2.200%, 05/25/2042(A)(C)		276		275
FHLMC, Ser 2013-4194, Cl BI, IO
3.500%, 04/15/2043		52		8
FHLMC, Ser 2014-334, Cl S7, IO
1.782%, 08/15/2044(A)		22		2
FHLMC, Ser 2014-4391, Cl MZ
3.000%, 09/15/2044		128		110


Description	Face Amount (Thousands)		Market Value ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
FHLMC, Ser 2016-353, Cl S1, IO
1.682%, 12/15/2046(A)	$	70	$	6
FHLMC, Ser 2018-4813, Cl CJ
3.000%, 08/15/2048		29		25
FHLMC, Ser 2020-5010, Cl JI, IO
2.500%, 09/25/2050		247		38
FHLMC, Ser 2020-5010, Cl IK, IO
2.500%, 09/25/2050		278		41
FHLMC, Ser 2020-5013, Cl IN, IO
2.500%, 09/25/2050		84		13
FHLMC, Ser 2020-5018, Cl MI, IO
2.000%, 10/25/2050		87		12
FHLMC, Ser 2021-5071, Cl IH, IO
2.500%, 02/25/2051		530		68
FHLMC, Ser 2022-5224, Cl HL
4.000%, 04/25/2052		300		270
FNMA
7.000%, 11/01/2037 to 11/01/2038		12		12
6.500%, 01/01/2038 to 05/01/2040		103		108
6.000%, 07/01/2037 to 07/01/2041		69		72
5.500%, 02/01/2035		61		63
5.000%, 11/01/2025 to 12/01/2049		3,103		3,118
4.500%, 02/01/2035 to 08/01/2058		4,515		4,430
4.000%, 06/01/2025 to 06/01/2057		8,384		8,019
3.560%, 07/01/2032		100		93
3.500%, 04/01/2033 to 03/01/2057		8,883		8,244
3.450%, 03/01/2029		57		54
3.250%, 05/01/2029		78		73
3.000%, 07/01/2035 to 06/01/2052		12,450		11,218
2.930%, 06/01/2030		95		86
2.500%, 03/01/2035 to 09/01/2061		16,632		14,403
2.393%, 01/01/2036(A)		21		20
2.246%, ICE LIBOR USD 12 Month + 1.700%, 03/01/2036(A)		18		18
2.195%, ICE LIBOR USD 12 Month + 1.423%, 05/01/2043(A)		126		125
2.150%, 02/01/2032(A)		299		249
2.000%, 07/01/2031 to 04/01/2052		10,563		8,764
1.500%, 01/01/2051 to 03/01/2051		448		346
FNMA CMO, Ser 2003-W2, Cl 2A9
5.900%, 07/25/2042		293		295
FNMA CMO, Ser 2012-93, Cl UI, IO
3.000%, 09/25/2027		129		6
FNMA CMO, Ser 2014-47, Cl AI, IO
0.000%, 08/25/2044(A)(B)		56		2
FNMA CMO, Ser 2015-55, Cl IO, IO
0.000%, 08/25/2055(A)(B)		13		–
FNMA CMO, Ser 2015-56, Cl AS, IO
1.761%, 08/25/2045(A)		32		3


Description	Face Amount (Thousands)		Market Value ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
FNMA Connecticut Avenue Securities, Ser 2014-C04, Cl 1M2
9.289%, ICE LIBOR USD 1 Month + 4.900%, 11/25/2024(A)	$	84	$	86
FNMA Interest, Ser 2012-409, Cl C18, IO
4.000%, 04/25/2042		9		2
FNMA TBA
5.500%, 02/15/2053		200		200
5.000%, 02/15/2053		600		591
4.500%, 01/15/2053 to 02/15/2053		1,300		1,251
4.000%, 01/15/2053 to 02/15/2053		1,800		1,688
3.500%, 01/15/2053 to 02/15/2053		3,300		2,998
3.000%, 02/15/2045 to 01/15/2053		3,000		2,632
2.500%, 01/15/2053 to 02/15/2053		500		423
2.000%, 01/15/2053		900		732
FNMA, Ser 2005-29, Cl ZA
5.500%, 04/25/2035		85		87
FNMA, Ser 2012-101, Cl BI, IO
4.000%, 09/25/2027		3		–
FNMA, Ser 2013-124, Cl SB, IO
1.561%, 12/25/2043(A)		23		2
FNMA, Ser 2013-26, Cl HI, IO
3.000%, 04/25/2032		2		–
FNMA, Ser 2013-54, Cl BS, IO
1.761%, 06/25/2043(A)		19		2
FNMA, Ser 2013-73, Cl IA, IO
3.000%, 09/25/2032		33		2
FNMA, Ser 2014-6, Cl Z
2.500%, 02/25/2044		125		105
FNMA, Ser 2017-76, Cl SB, IO
1.711%, 10/25/2057(A)		125		12
FNMA, Ser 2017-85, Cl SC, IO
1.811%, 11/25/2047(A)		63		5
FNMA, Ser 2019-M19, Cl A2
2.560%, 09/25/2029		79		70
FNMA, Ser 2020-47, Cl GZ
2.000%, 07/25/2050		105		61
FNMA, Ser 2020-56, Cl AQ
2.000%, 08/25/2050		200		157
FNMA, Ser 2020-56, Cl DI, IO
2.500%, 08/25/2050		80		12
FNMA, Ser 2020-96, Cl IN, IO
3.000%, 01/25/2051		747		121
FNMA, Ser 2021-1, Cl IG, IO
2.500%, 02/25/2051		433		73
FNMA, Ser 2021-61, Cl KI, IO
2.500%, 04/25/2049		549		80
FRESB Mortgage Trust, Ser 2018-SB48, Cl A10F
3.352%, 02/25/2028(A)		427		401


Description	Face Amount (Thousands)		Market Value ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
FRESB Mortgage Trust, Ser 2019-SB58, Cl A10F
3.610%, 10/25/2028(A)	$	596	$	558
GNMA
5.500%, 02/20/2037 to 01/15/2039		61		63
5.000%, 12/20/2038 to 10/20/2047		359		364
4.600%, 09/15/2034		970		964
4.500%, 05/20/2040 to 12/20/2050		1,701		1,685
4.000%, 01/15/2041 to 11/20/2049		1,440		1,385
3.500%, 06/20/2044 to 06/20/2052		1,956		1,817
3.000%, 09/15/2042 to 04/20/2052		2,111		1,885
2.500%, 02/20/2027 to 11/20/2051		2,839		2,465
2.000%, 12/20/2050 to 03/20/2051		376		313
GNMA CMO, Ser 2012-34, Cl SA, IO
1.697%, 03/20/2042(A)		18		2
GNMA CMO, Ser 2012-H18, Cl NA
4.362%, ICE LIBOR USD 1 Month + 0.520%, 08/20/2062(A)		64		63
GNMA CMO, Ser 2012-H30, Cl GA
4.192%, ICE LIBOR USD 1 Month + 0.350%, 12/20/2062(A)		256		254
GNMA CMO, Ser 2013-85, Cl IA, IO
0.523%, 03/16/2047(A)		308		3
GNMA CMO, Ser 2013-95, Cl IO, IO
0.431%, 04/16/2047(A)		751		7
GNMA CMO, Ser 2013-H01, Cl TA
4.342%, ICE LIBOR USD 1 Month + 0.500%, 01/20/2063(A)		1		1
GNMA CMO, Ser 2013-H08, Cl BF
4.242%, ICE LIBOR USD 1 Month + 0.400%, 03/20/2063(A)		319		315
GNMA CMO, Ser 2014-105, Cl IO, IO
0.120%, 06/16/2054(A)		64		1
GNMA CMO, Ser 2014-186, Cl IO, IO
0.374%, 08/16/2054(A)		209		2
GNMA CMO, Ser 2015-H20, Cl FA
4.312%, ICE LIBOR USD 1 Month + 0.470%, 08/20/2065(A)		183		181
GNMA TBA
6.000%, 02/15/2053		300		304
5.500%, 02/15/2053		800		804
5.000%, 02/15/2053		900		891
4.500%, 02/15/2045		100		97
4.000%, 01/01/2040 to 02/15/2045		600		568
3.500%, 01/15/2041 to 02/19/2045		800		735
3.000%, 01/15/2043 to 02/01/2045		1,400		1,246
2.500%, 01/15/2053		2,900		2,512
GNMA, Ser 103, Cl AD
1.450%, 01/16/2063		119		95
GNMA, Ser 113, Cl Z
2.000%, 09/16/2061		2,222		1,478


Description	Face Amount (Thousands)		Market Value ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
GNMA, Ser 2013-107, Cl AD
2.846%, 11/16/2047(A)	$	39	$	35
GNMA, Ser 2013-H21, Cl FB
4.542%, ICE LIBOR USD 1 Month + 0.700%, 09/20/2063(A)		198		197
GNMA, Ser 2015-167, Cl OI, IO
4.000%, 04/16/2045		47		8
GNMA, Ser 2020-123, Cl NI, IO
2.500%, 08/20/2050		81		11
GNMA, Ser 2020-127, Cl IN, IO
2.500%, 08/20/2050		80		12
GNMA, Ser 2020-129, Cl IE, IO
2.500%, 09/20/2050		82		12
GNMA, Ser 2020-160, Cl YI, IO
2.500%, 10/20/2050		167		23
GNMA, Ser 2020-175, Cl GI, IO
2.000%, 11/20/2050		319		34
GNMA, Ser 2020-181, Cl WI, IO
2.000%, 12/20/2050		397		44
GNMA, Ser 2020-H04, Cl FP
4.342%, ICE LIBOR USD 1 Month + 0.500%, 06/20/2069(A)		125		123
GNMA, Ser 2020-H09, Cl FL
2.880%, ICE LIBOR USD 1 Month + 1.150%, 05/20/2070(A)		64		63
GNMA, Ser 2020-H13, Cl FM
4.242%, ICE LIBOR USD 1 Month + 0.400%, 08/20/2070(A)		225		222
GNMA, Ser 2020-H13, Cl FA
2.980%, ICE LIBOR USD 1 Month + 0.450%, 07/20/2070(A)		393		376
GNMA, Ser 2021-176, Cl IN, IO
2.500%, 10/20/2051		1,101		148
GNMA, Ser 2021-57, Cl BI, IO
3.000%, 03/20/2051		1,455		212
GNMA, Ser 2021-96, Cl VI, IO
2.500%, 06/20/2051		1,282		175
GNMA, Ser 2022-189, Cl PT
2.500%, 10/20/2051		199		167
GNMA, Ser 3, Cl IO, IO
0.640%, 02/16/2061(A)		983		54
GNMA, Ser 82, Cl Z
2.000%, 02/16/2064		202		130


				122,961
Non-Agency Mortgage-Backed Obligations — 8.4%
280 Park Avenue Mortgage Trust, Ser 2017-280P, Cl A
5.117%, ICE LIBOR USD 1 Month + 0.880%, 09/15/2034(A)(C)		130		127


Description	Face Amount (Thousands)		Market Value ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
Atrium Hotel Portfolio Trust, Ser 2017-ATRM, Cl C
6.218%, ICE LIBOR USD 1 Month + 1.650%, 12/15/2036(A)(C)	$	410	$	391
BANK 2021-BNK36, Ser BN36, Cl A5
2.470%, 09/15/2064		355		289
Benchmark Mortgage Trust, Ser 2021-B26, Cl A3
2.391%, 06/15/2054		604		518
BPR Trust, Ser TY, Cl B
5.468%, ICE LIBOR USD 1 Month + 1.150%, 09/15/2038(A)(C)		370		345
BRAVO Residential Funding Trust, Ser 2021-NQM2, Cl A1
0.970%, 03/25/2060(A)(C)		35		33
BRAVO Residential Funding Trust, Ser 2022-NQM3, Cl A1
5.108%, 07/25/2062(A)(C)		365		358
BX Commercial Mortgage Trust, Ser 2019-XL, Cl A
5.370%, ICE LIBOR USD 1 Month + 0.920%, 10/15/2036(A)(C)		832		821
BX Commercial Mortgage Trust, Ser AHP, Cl A
5.326%, TSFR1M + 0.990%, 01/17/2039(A)(C)		630		603
BX Commercial Mortgage Trust, Ser LP2, Cl A
5.349%, TSFR1M + 1.013%, 02/15/2039(A)(C)		381		367
BX Commercial Mortgage Trust, Ser VOLT, Cl A
5.018%, ICE LIBOR USD 1 Month + 0.700%, 09/15/2036(A)(C)		635		612
BX Commercial Mortgage Trust, Ser XL2, Cl A
5.007%, ICE LIBOR USD 1 Month + 0.689%, 10/15/2038(A)(C)		111		107
BX Trust, Ser CLS, Cl A
5.760%, 10/13/2027(C)		534		523
BX Trust, Ser LBA6, Cl A
5.336%, TSFR1M + 1.000%, 01/15/2039(A)(C)		110		106
CAMB Commercial Mortgage Trust, Ser LIFE, Cl A
5.388%, ICE LIBOR USD 1 Month + 1.070%, 12/15/2037(A)(C)		110		108
Cascade MH Asset Trust, Ser 2021-MH1, Cl A1
1.753%, 02/25/2046(C)		78		66
CIM Trust, Ser 2020-INV1, Cl A2
2.500%, 04/25/2050(A)(C)		190		157


Description	Face Amount (Thousands)		Market Value ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
Citigroup Commercial Mortgage Trust, Ser 2013-375P, Cl A
3.251%, 05/10/2035(C)	$	190	$	178
Citigroup Commercial Mortgage Trust, Ser 2014-GC25, Cl AS
4.017%, 10/10/2047		100		95
Citigroup Commercial Mortgage Trust, Ser 2016-P6, Cl AAB
3.512%, 12/10/2049		653		629
COLT Mortgage Loan Trust, Ser 2022-2, Cl A1
2.994%, 02/25/2067(C)(D)		86		77
COMM Mortgage Trust, Ser 2012-CR5, Cl AM
3.223%, 12/10/2045(C)		45		45
COMM Mortgage Trust, Ser 2013-CR12, Cl AM
4.300%, 10/10/2046		20		18
COMM Mortgage Trust, Ser 2013-CR12, Cl B
4.762%, 10/10/2046(A)		20		18
COMM Mortgage Trust, Ser 2013-CR12, Cl C
5.037%, 10/10/2046(A)		10		7
Connecticut Avenue Securities Trust, Ser 2021-R03, Cl 1M2
5.578%, SOFR30A + 1.650%, 12/25/2041(A)(C)		440		415
Credit Suisse Mortgage Trust, Ser 2019-NQM1, Cl A3
3.064%, 10/25/2059(C)(D)		171		162
CSMC Trust, Ser 2014-USA, Cl B
4.185%, 09/15/2037(C)		470		399
CSMC Trust, Ser 2018-J1, Cl A2
3.500%, 02/25/2048(A)(C)		293		255
CSMC Trust, Ser 2021-NQM3, Cl A3
1.632%, 04/25/2066(A)(C)		170		134
CSMC Trust, Ser 2021-NQM5, Cl A1
0.938%, 05/25/2066(A)(C)		137		105
CSMC Trust, Ser 2021-NQM7, Cl A1
1.756%, 10/25/2066(A)(C)		109		90
CSMC Trust, Ser 2021-RPL3, Cl A1
2.000%, 01/25/2060(A)(C)		253		216
CSMC Trust, Ser 2021-RPL3, Cl M3
3.813%, 01/25/2060(A)(C)		120		79
CSMC Trust, Ser 2021-RPL6, Cl A1
2.000%, 10/25/2060(A)(C)		140		122
CSMC Trust, Ser 2022-NQM1, Cl A1
2.265%, 11/25/2066(A)(C)		378		324
Deephaven Residential Mortgage Trust, Ser 2022-1, Cl A1
2.205%, 01/25/2067(A)(C)		306		264
Ellington Financial Mortgage Trust, Ser 2021-2, Cl A1
0.931%, 06/25/2066(A)(C)		308		237


Description	Face Amount (Thousands)		Market Value ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
Ellington Financial Mortgage Trust, Ser 2022-1, Cl A1
2.206%, 01/25/2067(A)(C)	$	99	$	83
Flagstar Mortgage Trust, Ser 2018-2, Cl A4
3.500%, 04/25/2048(A)(C)		5		5
GS Mortgage Securities II, Ser 2018-SRP5, Cl B
7.318%, ICE LIBOR USD 1 Month + 3.000%, 09/15/2031(A)(C)		391		281
GS Mortgage Securities II, Ser 2018-SRP5, Cl A
6.118%, ICE LIBOR USD 1 Month + 1.800%, 09/15/2031(A)(C)		564		473
GS Mortgage Securities Trust, Ser 2013-GC16, Cl B
5.161%, 11/10/2046(A)		80		78
GS Mortgage Securities Trust, Ser 2014-GC24, Cl A5
3.931%, 09/10/2047		511		494
GS Mortgage Securities Trust, Ser 2015-GC30, Cl A3
3.119%, 05/10/2050		951		901
GS Mortgage Securities Trust, Ser 2019-GC39, Cl A2
3.457%, 05/10/2052		520		504
GS Mortgage-Backed Securities Trust, Ser 2018-RPL1, Cl A1A
3.750%, 10/25/2057(C)		148		141
GS Mortgage-Backed Securities Trust, Ser 2020-INV1, Cl A14
2.932%, 10/25/2050(A)(C)		273		229
HarborView Mortgage Loan Trust, Ser 2005-9, Cl 2A1B
5.093%, ICE LIBOR USD 1 Month + 0.740%, 06/20/2035(A)		142		127
ILPT Commercial Mortgage Trust, Ser LPF2, Cl A
6.581%, TSFR1M + 2.245%, 10/15/2039(A)(C)		230		230
JPMBB Commercial Mortgage Securities Trust, Ser 2013-C15, Cl B
4.927%, 11/15/2045(A)		210		205
JPMBB Commercial Mortgage Securities Trust, Ser 2013-C17, Cl B
4.883%, 01/15/2047(A)		30		29
JPMBB Commercial Mortgage Securities Trust, Ser 2014-C22, Cl C
4.547%, 09/15/2047(A)		80		71
JPMBB Commercial Mortgage Securities Trust, Ser 2014-C25, Cl A5
3.672%, 11/15/2047		578		556


Description	Face Amount (Thousands)		Market Value ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
JPMDB Commercial Mortgage Securities Trust, Ser 2019-COR6, Cl A4
3.057%, 11/13/2052	$	537	$	462
JPMorgan Chase Commercial Mortgage Securities Trust, Ser 2015-FL7, Cl D
8.068%, ICE LIBOR USD 1 Month + 3.750%, 05/15/2028(A)(C)		115		106
JPMorgan Chase Commercial Mortgage Securities Trust, Ser ACB, Cl A
5.207%, SOFR30A + 1.400%, 03/15/2039(A)(C)		300		290
JPMorgan Chase Commercial Mortgage Securities Trust, Ser NLP, Cl A
4.932%, TSFR1M + 0.597%, 04/15/2037(A)(C)		119		110
JPMorgan Chase Commercial Mortgage Securities Trust, Ser NYAH, Cl D
5.858%, ICE LIBOR USD 1 Month + 1.540%, 06/15/2038(A)(C)		520		495
JPMorgan Mortgage Trust, Ser 2015-5, Cl A9
4.864%, 05/25/2045(A)(C)		22		21
JPMorgan Mortgage Trust, Ser 2018-3, Cl A1
3.500%, 09/25/2048(A)(C)		90		79
JPMorgan Mortgage Trust, Ser 2018-5, Cl A1
3.500%, 10/25/2048(A)(C)		64		56
JPMorgan Mortgage Trust, Ser 2021-3, Cl A3
2.500%, 07/25/2051(A)(C)		667		537
MAD Mortgage Trust, Ser 2017-330M, Cl A
3.188%, 08/15/2034(A)(C)		220		205
Metlife Securitization Trust, Ser 2020-INV1, Cl A2A
2.500%, 05/25/2050(A)(C)		270		226
Mill City Mortgage Loan Trust, Ser 2019-1, Cl A1
3.250%, 10/25/2069(A)(C)		183		172
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2013-C9, Cl A4
3.102%, 05/15/2046		714		709
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2015-C24, Cl A4
3.732%, 05/15/2048		473		450
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2015-C25, Cl A5
3.635%, 10/15/2048		510		484
Morgan Stanley Bank of America Merrill Lynch Trust, Ser 2017-C34, Cl ASB
3.354%, 11/15/2052		564		535


Description	Face Amount (Thousands)		Market Value ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
Morgan Stanley Capital I Trust, Ser 2015-UBS8, Cl A4
3.809%, 12/15/2048	$	732	$	692
Morgan Stanley Capital I Trust, Ser 2019-BPR, Cl A
5.968%, ICE LIBOR USD 1 Month + 1.650%, 05/15/2036(A)(C)		281		268
MSCG Trust, Ser 2015-ALDR, Cl A2
3.462%, 06/07/2035(A)(C)		410		371
MTN Commercial Mortgage Trust, Ser LPFL, Cl A
5.733%, TSFR1M + 1.397%, 03/15/2039(A)(C)		410		399
Natixis Commercial Mortgage Securities Trust, Ser 2019-FAME, Cl B
3.655%, 08/15/2036(C)		410		371
New Residential Mortgage Loan Trust, Ser 2018-RPL1, Cl M2
3.500%, 12/25/2057(A)(C)		240		192
New Residential Mortgage Loan Trust, Ser 2019-4A, Cl A1B
3.500%, 12/25/2058(A)(C)		165		148
New Residential Mortgage Loan Trust, Ser 2019-6A, Cl B1
4.000%, 09/25/2059(A)(C)		203		181
New Residential Mortgage Loan Trust, Ser 2019-6A, Cl B2
4.250%, 09/25/2059(A)(C)		203		180
New Residential Mortgage Loan Trust, Ser 2019-NQM4, Cl A1
2.492%, 09/25/2059(A)(C)		100		90
New Residential Mortgage Loan Trust, Ser 2019-RPL3, Cl A1
2.750%, 07/25/2059(A)(C)		183		170
New Residential Mortgage Loan Trust, Ser 2021-NQM3, Cl A1
1.156%, 11/27/2056(A)(C)		104		85
New Residential Mortgage Loan Trust, Ser 2021-NQM3, Cl A3
1.516%, 11/27/2056(A)(C)		67		54
New Residential Mortgage Loan Trust, Ser 2022-NQM4, Cl A1
5.000%, 06/25/2062(C)(D)		351		342
OBX Trust, Ser 2021-NQM2, Cl A3
1.563%, 05/25/2061(A)(C)		213		161
OBX Trust, Ser 2021-NQM2, Cl A1
1.101%, 05/25/2061(A)(C)		258		196
OBX Trust, Ser 2021-NQM3, Cl A1
1.054%, 07/25/2061(A)(C)		150		112
OBX Trust, Ser 2022-NQM1, Cl A1
2.305%, 11/25/2061(A)(C)		356		305


Description	Face Amount (Thousands)		Market Value ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
Onslow Bay Mortgage Loan Trust, Ser 2021-NQM4, Cl A1
1.957%, 10/25/2061(A)(C)	$	234	$	186
PRKCM Trust, Ser 2021-AFC1, Cl A1
1.510%, 08/25/2056(A)(C)		206		162
PRKCM Trust, Ser 2021-AFC2, Cl A1
2.071%, 11/25/2056(A)(C)		142		118
Provident Funding Mortgage Trust, Ser 2021-INV1, Cl A1
2.500%, 08/25/2051(A)(C)		550		438
Residential Mortgage Loan Trust, Ser 2019-3, Cl A3
3.044%, 09/25/2059(A)(C)		50		49
Residential Mortgage Loan Trust, Ser 2019-3, Cl A2
2.941%, 09/25/2059(A)(C)		50		49
Residential Mortgage Loan Trust, Ser 2020-2, Cl A1
1.654%, 05/25/2060(A)(C)		60		58
Seasoned Credit Risk Transfer Trust Series, Ser 2017-2, Cl MA
3.000%, 08/25/2056		199		184
Seasoned Credit Risk Transfer Trust, Ser 2018-4, Cl MA
3.500%, 03/25/2058		528		504
Seasoned Credit Risk Transfer Trust, Ser 2019-1, Cl MA
3.500%, 07/25/2058		442		418
Seasoned Credit Risk Transfer Trust, Ser 2019-2, Cl MA
3.500%, 08/25/2058		605		570
Seasoned Credit Risk Transfer Trust, Ser 2019-4, Cl MA
3.000%, 02/25/2059		785		727
Seasoned Credit Risk Transfer Trust, Ser 2020-2, Cl MA
2.000%, 11/25/2059		287		257
Seasoned Credit Risk Transfer Trust, Ser 2022-1, Cl MAU
3.250%, 11/25/2061		930		858
Sequoia Mortgage Trust, Ser 2021-1, Cl A1
2.500%, 03/25/2051(A)(C)		110		88
SG Residential Mortgage Trust, Ser 2022-1, Cl A1
3.166%, 03/27/2062(A)(C)		386		345
Shops at Crystals Trust, Ser 2016-CSTL, Cl A
3.126%, 07/05/2036(C)		100		87
SLG Office Trust, Ser 2021-OVA, Cl A
2.585%, 07/15/2041(C)		510		407
Towd Point Mortgage Trust, Ser 2019-HY2, Cl M2
6.289%, ICE LIBOR USD 1 Month + 1.900%, 05/25/2058(A)(C)		100		96


Description	Face Amount (Thousands)		Market Value ($ Thousands)
MORTGAGE-BACKED SECURITIES (continued)
UBS-Barclays Commercial Mortgage Trust, Ser 2012-CN, Cl XA, IO
0.524%, 05/10/2063(A)(C)	$	43	$	–
Wells Fargo Commercial Mortgage Trust, Ser 2015-NXS3, Cl ASB
3.371%, 09/15/2057		91		88
Wells Fargo Commercial Mortgage Trust, Ser C29, Cl A4
3.637%, 06/15/2048		606		577
WFRBS Commercial Mortgage Trust, Ser 2013-C11, Cl AS
3.311%, 03/15/2045		83		83
WFRBS Commercial Mortgage Trust, Ser 2013-C13, Cl XA, IO
1.158%, 05/15/2045(A)(C)		633		–
WFRBS Commercial Mortgage Trust, Ser 2014-C23, Cl B
4.388%, 10/15/2057(A)		270		256
WFRBS Commercial Mortgage Trust, Ser 2014-C23, Cl XA, IO
0.551%, 10/15/2057(A)		917		7


				29,673
Total Mortgage-Backed Securities
(Cost $167,924) ($ Thousands)				152,634



CORPORATE OBLIGATIONS — 30.2%
Communication Services — 2.3%
Alphabet
2.050%, 08/15/2050		30		18
1.900%, 08/15/2040		40		27
1.100%, 08/15/2030		40		31
0.450%, 08/15/2025		20		18
AT&T
4.250%, 03/01/2027		150		146
2.550%, 12/01/2033		492		378
2.300%, 06/01/2027		120		107
1.650%, 02/01/2028		400		338
Charter Communications Operating
5.050%, 03/30/2029		220		207
4.908%, 07/23/2025		490		480
4.800%, 03/01/2050		40		29
4.400%, 04/01/2033		110		94
3.750%, 02/15/2028		200		180
Comcast
4.250%, 10/15/2030		40		38
4.150%, 10/15/2028		250		240
3.950%, 10/15/2025		210		206
3.750%, 04/01/2040		20		16
3.450%, 02/01/2050		40		29


Description	Face Amount (Thousands)		Market Value ($ Thousands)
CORPORATE OBLIGATIONS (continued)
3.400%, 04/01/2030	$	140	$	128
3.300%, 04/01/2027		30		28
3.250%, 11/01/2039		30		23
3.150%, 03/01/2026		30		29
2.937%, 11/01/2056		27		17
2.800%, 01/15/2051		30		19
Fox
4.709%, 01/25/2029		30		29
Prosus MTN
3.061%, 07/13/2031 (C)		410		316
TCI Communications
7.875%, 02/15/2026		240		260
T-Mobile USA
3.875%, 04/15/2030		390		353
3.750%, 04/15/2027		20		19
3.500%, 04/15/2025		369		355
2.550%, 02/15/2031		190		155
2.050%, 02/15/2028		20		17
Verizon Communications
4.862%, 08/21/2046		40		36
4.500%, 08/10/2033		30		28
4.329%, 09/21/2028		435		418
4.125%, 08/15/2046		40		32
4.000%, 03/22/2050		40		31
3.875%, 02/08/2029		30		28
3.850%, 11/01/2042		10		8
3.000%, 03/22/2027		120		112
2.650%, 11/20/2040		300		202
2.550%, 03/21/2031		1,264		1,039
2.355%, 03/15/2032		983		779
2.100%, 03/22/2028		90		78
Walt Disney
3.350%, 03/24/2025		223		216
Warnermedia Holdings
4.279%, 03/15/2032 (C)		400		330
4.054%, 03/15/2029 (C)		447		387
3.755%, 03/15/2027 (C)		190		171

				8,225

Consumer Discretionary — 1.5%
Amazon.com
4.250%, 08/22/2057		10		9
3.450%, 04/13/2029		160		149
3.300%, 04/13/2027		140		133
3.150%, 08/22/2027		470		442
1.200%, 06/03/2027		20		17
Aptiv
3.250%, 03/01/2032		639		523
Ferguson Finance
4.500%, 10/24/2028 (C)		459		428
3.250%, 06/02/2030 (C)		851		722


Description	Face Amount (Thousands)		Market Value ($ Thousands)
CORPORATE OBLIGATIONS (continued)
General Motors
5.600%, 10/15/2032	$	180	$	167
General Motors Financial
3.700%, 05/09/2023		190		189
3.100%, 01/12/2032		30		23
Home Depot
3.900%, 12/06/2028		10		10
3.900%, 06/15/2047		10		8
3.350%, 04/15/2050		50		37
3.300%, 04/15/2040		40		32
2.875%, 04/15/2027		170		159
2.500%, 04/15/2027		450		414
Honda Motor
2.534%, 03/10/2027		632		578
Lowe's
4.500%, 04/15/2030		30		29
1.700%, 09/15/2028		80		67
McDonald's MTN
4.200%, 04/01/2050		70		58
3.800%, 04/01/2028		280		268
3.700%, 01/30/2026		10		10
3.625%, 09/01/2049		10		8
3.500%, 03/01/2027		20		19
3.500%, 07/01/2027		10		9
3.350%, 04/01/2023		280		279
3.300%, 07/01/2025		50		48
1.450%, 09/01/2025		10		9
NIKE
3.375%, 03/27/2050		30		23
2.750%, 03/27/2027		40		37
2.400%, 03/27/2025		40		38
Target
2.250%, 04/15/2025		80		76
Toyota Motor
1.339%, 03/25/2026		210		188

				5,206

Consumer Staples — 0.5%
Cargill
1.375%, 07/23/2023 (C)		70		69
Coca-Cola
3.375%, 03/25/2027		30		29
2.600%, 06/01/2050		10		7
1.450%, 06/01/2027		80		71
Costco Wholesale
1.600%, 04/20/2030		90		74
1.375%, 06/20/2027		120		105
Hershey
0.900%, 06/01/2025		20		18
Kimberly-Clark
3.100%, 03/26/2030		20		18


Description	Face Amount (Thousands)		Market Value ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Kroger
7.700%, 06/01/2029	$	565	$	623
Mars
3.200%, 04/01/2030 (C)		30		27
2.700%, 04/01/2025 (C)		60		57
Mondelez International
1.500%, 05/04/2025		180		167
PepsiCo
3.900%, 07/18/2032		90		85
2.625%, 03/19/2027		10		9
2.250%, 03/19/2025		10		9
1.625%, 05/01/2030		70		57
0.750%, 05/01/2023		80		79
Procter & Gamble
3.000%, 03/25/2030		40		36
2.800%, 03/25/2027		10		9
Walmart
1.800%, 09/22/2031		160		130

				1,679

Energy — 2.6%
Berkshire Hathaway Energy
3.700%, 07/15/2030		140		128
BP Capital Markets America
3.633%, 04/06/2030		50		46
3.410%, 02/11/2026		90		86
3.119%, 05/04/2026		170		161
Cameron LNG
2.902%, 07/15/2031 (C)		60		51
Chevron
1.995%, 05/11/2027		40		36
1.554%, 05/11/2025		70		65
Chevron USA
3.850%, 01/15/2028		30		29
3.250%, 10/15/2029		80		73
Continental Resources
5.750%, 01/15/2031 (C)		10		9
4.375%, 01/15/2028		120		110
3.800%, 06/01/2024		190		185
Coterra Energy
4.375%, 03/15/2029 (C)		300		282
3.900%, 05/15/2027 (C)		160		149
Devon Energy
5.850%, 12/15/2025		210		214
5.250%, 10/15/2027		64		63
5.000%, 06/15/2045		70		60
4.500%, 01/15/2030		32		30
Diamondback Energy
3.500%, 12/01/2029		50		44
3.250%, 12/01/2026		30		28
3.125%, 03/24/2031		40		33


Description	Face Amount (Thousands)		Market Value ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Ecopetrol
5.375%, 06/26/2026	$	140	$	132
Energy Transfer
4.950%, 06/15/2028		10		10
4.500%, 11/01/2023		60		60
3.750%, 05/15/2030		220		194
2.900%, 05/15/2025		140		132
Enterprise Products Operating
4.800%, 02/01/2049		30		26
4.200%, 01/31/2050		10		8
4.150%, 10/16/2028		140		133
3.950%, 02/15/2027		150		144
3.950%, 01/31/2060		10		7
3.900%, 02/15/2024		457		450
3.700%, 01/31/2051		80		58
3.125%, 07/31/2029		210		185
2.800%, 01/31/2030		230		195
EOG Resources
4.375%, 04/15/2030		190		184
4.150%, 01/15/2026		160		157
EQT
6.125%, 02/01/2025		100		100
3.900%, 10/01/2027		140		129
Exxon Mobil
4.327%, 03/19/2050		30		26
3.043%, 03/01/2026		150		143
2.992%, 03/19/2025		270		260
2.610%, 10/15/2030		100		87
1.571%, 04/15/2023		10		10
KazMunayGas National JSC
5.375%, 04/24/2030 (C)		400		357
Kinder Morgan
5.550%, 06/01/2045		20		18
4.300%, 06/01/2025		60		59
Lukoil Capital DAC
3.600%, 10/26/2031 (C)		230		161
MPLX
5.200%, 03/01/2047		30		26
5.200%, 12/01/2047		50		43
4.800%, 02/15/2029		50		48
4.125%, 03/01/2027		110		104
4.000%, 03/15/2028		40		37
Occidental Petroleum
5.550%, 03/15/2026		170		169
3.400%, 04/15/2026		80		75
3.200%, 08/15/2026		130		119
3.000%, 02/15/2027		130		118
0.000%, 10/10/2036 (E)		1,641		819
Petrobras Global Finance BV
6.850%, 06/05/2115		150		127
Petroleos del Peru
4.750%, 06/19/2032 (C)		400		309


Description	Face Amount (Thousands)		Market Value ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Pioneer Natural Resources
2.150%, 01/15/2031	$	70	$	55
1.900%, 08/15/2030		220		172
1.125%, 01/15/2026		50		45
Reliance Industries
3.625%, 01/12/2052 (C)		250		164
Schlumberger Holdings
3.900%, 05/17/2028 (C)		456		425
Shell International Finance BV
3.250%, 05/11/2025		150		146
3.250%, 04/06/2050		110		79
2.875%, 05/10/2026		90		85
2.750%, 04/06/2030		40		35
Sinopec Group Overseas Development
4.375%, 04/10/2024 (C)		290		288
Targa Resources
5.200%, 07/01/2027		170		167
Tennessee Gas Pipeline
2.900%, 03/01/2030 (C)		160		134
Transcontinental Gas Pipe Line
3.250%, 05/15/2030		100		87
Western Midstream Operating
5.041%, ICE LIBOR USD 3 Month + 1.100%, 01/13/2023 (A)		20		20
4.300%, 02/01/2030		20		17
3.350%, 02/01/2025		30		28
Williams
5.100%, 09/15/2045		70		61
4.900%, 01/15/2045		90		77
3.750%, 06/15/2027		390		367
3.500%, 11/15/2030		20		17

				9,770

Financials — 13.7%
American Express
4.050%, 05/03/2029		200		190
3.375%, 05/03/2024		140		137
American International Group
2.500%, 06/30/2025		26		24
Aviation Capital Group
4.125%, 08/01/2025 (C)		160		149
1.950%, 01/30/2026 (C)		567		494
Banco Santander
5.039%, ICE LIBOR USD 3 Month + 1.120%, 04/12/2023 (A)		200		200
4.175%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 2.000%, 03/24/2028 (A)		200		186
3.125%, 02/23/2023		200		199
2.746%, 05/28/2025		200		187


Description	Face Amount (Thousands)		Market Value ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Bank of America
6.204%, U.S. SOFR + 1.990%, 11/10/2028 (A)	$	584	$	603
3.841%, U.S. SOFR + 1.110%, 04/25/2025 (A)		100		98
3.419%, ICE LIBOR USD 3 Month + 1.040%, 12/20/2028 (A)		234		212
2.972%, U.S. SOFR + 1.330%, 02/04/2033 (A)		200		161
2.592%, U.S. SOFR + 2.150%, 04/29/2031 (A)		380		309
2.572%, U.S. SOFR + 1.210%, 10/20/2032 (A)		240		188
1.734%, U.S. SOFR + 0.960%, 07/22/2027 (A)		2,006		1,757
Bank of America MTN
4.376%, U.S. SOFR + 1.580%, 04/27/2028 (A)		100		96
4.250%, 10/22/2026		10		10
4.200%, 08/26/2024		210		207
4.125%, 01/22/2024		370		367
4.100%, 07/24/2023		280		279
4.083%, ICE LIBOR USD 3 Month + 3.150%, 03/20/2051 (A)		40		31
4.000%, 04/01/2024		440		434
4.000%, 01/22/2025		80		78
3.974%, ICE LIBOR USD 3 Month + 1.210%, 02/07/2030 (A)		80		73
3.593%, ICE LIBOR USD 3 Month + 1.370%, 07/21/2028 (A)		210		193
3.550%, ICE LIBOR USD 3 Month + 0.780%, 03/05/2024 (A)		80		80
3.500%, 04/19/2026		130		124
3.300%, 01/11/2023		60		60
Bank of Montreal MTN
1.850%, 05/01/2025		130		122
Bank of New York Mellon MTN
4.289%, U.S. SOFR + 1.418%, 06/13/2033 (A)		320		299
3.300%, 08/23/2029		790		706
1.600%, 04/24/2025		40		37
Bank of Nova Scotia
1.300%, 06/11/2025		70		64
Blackstone Holdings Finance
1.600%, 03/30/2031 (C)		590		429
BNP Paribas
5.198%, ICE LIBOR USD 3 Month + 2.567%, 01/10/2030 (A)(C)		200		190
4.705%, ICE LIBOR USD 3 Month + 2.235%, 01/10/2025 (A)(C)		270		267
4.400%, 08/14/2028 (C)		200		189
2.871%, U.S. SOFR + 1.387%, 04/19/2032 (A)(C)		200		157


Description	Face Amount (Thousands)		Market Value ($ Thousands)
CORPORATE OBLIGATIONS (continued)
2.591%, U.S. SOFR + 1.228%, 01/20/2028 (A)(C)	$	542	$	477
1.675%, U.S. SOFR + 0.912%, 06/30/2027 (A)(C)		290		252
BPCE
1.625%, 01/14/2025 (C)		1,085		1,010
Capital One Financial
4.927%, U.S. SOFR + 2.057%, 05/10/2028 (A)		30		29
3.300%, 10/30/2024		480		463
Carlyle Finance Subsidiary
3.500%, 09/19/2029 (C)		716		606
Charles Schwab
3.850%, 05/21/2025		110		107
Citigroup
8.125%, 07/15/2039		12		15
5.500%, 09/13/2025		450		453
5.300%, 05/06/2044		31		28
4.658%, U.S. SOFR + 1.887%, 05/24/2028 (A)		140		135
4.650%, 07/30/2045		28		24
4.450%, 09/29/2027		120		114
4.412%, U.S. SOFR + 3.914%, 03/31/2031 (A)		100		92
4.400%, 06/10/2025		160		157
4.300%, 11/20/2026		40		39
4.125%, 07/25/2028		40		37
4.075%, ICE LIBOR USD 3 Month + 1.192%, 04/23/2029 (A)		240		221
3.785%, U.S. SOFR + 1.939%, 03/17/2033 (A)		250		214
3.668%, ICE LIBOR USD 3 Month + 1.390%, 07/24/2028 (A)		340		312
3.500%, 05/15/2023		100		100
3.400%, 05/01/2026		354		336
3.200%, 10/21/2026		287		266
3.106%, U.S. SOFR + 2.842%, 04/08/2026 (A)		150		142
2.572%, U.S. SOFR + 2.107%, 06/03/2031 (A)		200		162
2.520%, U.S. SOFR + 1.177%, 11/03/2032 (A)		110		86
1.678%, U.S. SOFR + 1.667%, 05/15/2024 (A)		903		890
Cooperatieve Rabobank UA
4.375%, 08/04/2025		500		488
3.649%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.220%, 04/06/2028 (A)(C)		580		534
Credit Agricole MTN
1.907%, U.S. SOFR + 1.676%, 06/16/2026 (A)(C)		250		228


Description	Face Amount (Thousands)		Market Value ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Credit Suisse Group
4.194%, U.S. SOFR + 3.730%, 04/01/2031 (A)(C)	$	250	$	194
Credit Suisse NY
5.000%, 07/09/2027		530		483
2.950%, 04/09/2025		250		225
Danske Bank
4.298%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.750%, 04/01/2028 (A)(C)		240		221
3.773%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.450%, 03/28/2025 (A)(C)		310		300
1.226%, 06/22/2024 (C)		200		187
Equitable Financial Life Global Funding
1.400%, 07/07/2025 (C)		673		610
GA Global Funding Trust
3.850%, 04/11/2025 (C)		1,114		1,066
Goldman Sachs Group
4.387%, U.S. SOFR + 1.510%, 06/15/2027 (A)		400		385
4.250%, 10/21/2025		190		185
4.223%, ICE LIBOR USD 3 Month + 1.301%, 05/01/2029 (A)		650		606
3.691%, ICE LIBOR USD 3 Month + 1.510%, 06/05/2028 (A)		400		372
3.615%, U.S. SOFR + 1.846%, 03/15/2028 (A)		30		28
3.500%, 04/01/2025		80		77
3.500%, 11/16/2026		90		84
2.650%, U.S. SOFR + 1.264%, 10/21/2032 (A)		110		87
Goldman Sachs Group MTN
4.000%, 03/03/2024		420		415
Guardian Life Global Funding
1.100%, 06/23/2025 (C)		30		27
HSBC Holdings PLC
4.583%, ICE LIBOR USD 3 Month + 1.535%, 06/19/2029 (A)		200		184
Intercontinental Exchange
4.600%, 03/15/2033		70		67
Intesa Sanpaolo
3.375%, 01/12/2023 (C)		200		200
Intesa Sanpaolo MTN
5.017%, 06/26/2024 (C)		200		192
JPMorgan Chase
4.565%, U.S. SOFR + 1.750%, 06/14/2030 (A)		998		939
4.452%, ICE LIBOR USD 3 Month + 1.330%, 12/05/2029 (A)		200		188
4.203%, ICE LIBOR USD 3 Month + 1.260%, 07/23/2029 (A)		773		720


Description	Face Amount (Thousands)		Market Value ($ Thousands)
CORPORATE OBLIGATIONS (continued)
4.023%, ICE LIBOR USD 3 Month + 1.000%, 12/05/2024 (A)	$	230	$	227
4.005%, ICE LIBOR USD 3 Month + 1.120%, 04/23/2029 (A)		100		93
3.875%, 09/10/2024		290		284
3.845%, U.S. SOFR + 0.980%, 06/14/2025 (A)		1,180		1,154
2.545%, U.S. SOFR + 1.180%, 11/08/2032 (A)		110		87
2.522%, U.S. SOFR + 2.040%, 04/22/2031 (A)		190		155
2.083%, U.S. SOFR + 1.850%, 04/22/2026 (A)		130		121
1.514%, U.S. SOFR + 1.455%, 06/01/2024 (A)		210		207
KKR Group Finance VI
3.750%, 07/01/2029 (C)		1,149		1,033
Lincoln National
3.400%, 01/15/2031		451		373
Macquarie Bank
2.300%, 01/22/2025 (C)		1,188		1,124
Macquarie Group MTN
4.150%, ICE LIBOR USD 3 Month + 1.330%, 03/27/2024 (A)(C)		495		493
MassMutual Global Funding II MTN
0.850%, 06/09/2023 (C)		220		216
Mitsubishi UFJ Financial Group
3.837%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.125%, 04/17/2026 (A)		200		193
3.407%, 03/07/2024		510		499
Moody's
2.000%, 08/19/2031		1,000		790
Morgan Stanley MTN
3.772%, ICE LIBOR USD 3 Month + 1.140%, 01/24/2029 (A)		150		137
3.750%, 02/25/2023		1,110		1,108
3.622%, U.S. SOFR + 3.120%, 04/01/2031 (A)		475		415
2.699%, U.S. SOFR + 1.143%, 01/22/2031 (A)		200		165
2.188%, U.S. SOFR + 1.990%, 04/28/2026 (A)		400		372
NatWest Group
4.519%, ICE LIBOR USD 3 Month + 1.550%, 06/25/2024 (A)		290		287
4.269%, ICE LIBOR USD 3 Month + 1.762%, 03/22/2025 (A)		200		196
New York Life Global Funding
0.950%, 06/24/2025 (C)		60		54
Oncor Electric Delivery
4.150%, 06/01/2032 (C)		300		283


Description	Face Amount (Thousands)		Market Value ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Peachtree Corners Funding Trust
3.976%, 02/15/2025 (C)	$	944	$	911
Principal Life Global Funding II
1.250%, 06/23/2025 (C)		20		18
Royal Bank of Canada
6.000%, 11/01/2027		1,209		1,260
Royal Bank of Canada MTN
1.600%, 04/17/2023		120		119
1.150%, 06/10/2025		70		64
Standard Chartered
0.991%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 0.780%, 01/12/2025 (A)(C)		670		632
State Street
4.164%, U.S. SOFR + 1.726%, 08/04/2033 (A)		1,095		1,011
3.152%, U.S. SOFR + 2.650%, 03/30/2031 (A)		50		44
Swedbank
1.538%, 11/16/2026 (C)		400		351
1.300%, 06/02/2023 (C)		200		196
Toronto-Dominion Bank MTN
4.693%, 09/15/2027		1,951		1,929
4.456%, 06/08/2032		210		200
3.200%, 03/10/2032		807		695
1.150%, 06/12/2025		80		73
0.750%, 06/12/2023		130		128
UBS Group
4.253%, 03/23/2028 (C)		250		234
4.125%, 04/15/2026 (C)		634		608
2.746%, US Treas Yield Curve Rate T Note Const Mat 1 Yr + 1.100%, 02/11/2033 (A)(C)		575		444
US Bancorp
3.375%, 02/05/2024		540		530
1.450%, 05/12/2025		160		148
USAA Capital
2.125%, 05/01/2030 (C)		150		123
Wells Fargo
3.000%, 10/23/2026		190		176
2.188%, U.S. SOFR + 2.000%, 04/30/2026 (A)		130		121
Wells Fargo MTN
5.013%, U.S. SOFR + 4.502%, 04/04/2051 (A)		380		335
4.900%, 11/17/2045		30		26
4.540%, U.S. SOFR + 1.560%, 08/15/2026 (A)		300		294
4.478%, U.S. SOFR + 4.032%, 04/04/2031 (A)		220		206
4.300%, 07/22/2027		200		192
3.750%, 01/24/2024		540		533


Description	Face Amount (Thousands)		Market Value ($ Thousands)
CORPORATE OBLIGATIONS (continued)
3.350%, U.S. SOFR + 1.500%, 03/02/2033 (A)	$	40	$	34
2.879%, TSFR3M + 1.432%, 10/30/2030 (A)		100		85
2.393%, U.S. SOFR + 2.100%, 06/02/2028 (A)		290		256
1.654%, U.S. SOFR + 1.600%, 06/02/2024 (A)		160		157

				47,844

Health Care — 2.1%
Abbott Laboratories
3.400%, 11/30/2023		175		173
AbbVie
4.250%, 11/21/2049		30		25
3.800%, 03/15/2025		40		39
3.750%, 11/14/2023		20		20
3.600%, 05/14/2025		10		9
3.200%, 11/21/2029		150		135
2.950%, 11/21/2026		20		18
2.600%, 11/21/2024		140		134
Adventist Health System
2.433%, 09/01/2024		431		410
Aetna
2.800%, 06/15/2023		20		20
Becton Dickinson
4.685%, 12/15/2044		36		32
3.734%, 12/15/2024		7		7
3.363%, 06/06/2024		186		182
Bristol-Myers Squibb
3.400%, 07/26/2029		16		15
3.200%, 06/15/2026		79		75
2.900%, 07/26/2024		154		149
Cigna
4.375%, 10/15/2028		420		405
4.125%, 11/15/2025		200		195
3.750%, 07/15/2023		16		16
3.500%, 06/15/2024		160		156
1.250%, 03/15/2026		725		646
CommonSpirit Health
6.073%, 11/01/2027		890		910
CVS Health
5.050%, 03/25/2048		60		54
4.300%, 03/25/2028		164		159
3.875%, 07/20/2025		95		93
3.625%, 04/01/2027		180		171
2.125%, 09/15/2031		150		119
1.875%, 02/28/2031		20		16
1.750%, 08/21/2030		200		158
CVS Pass-Through Trust
7.507%, 01/10/2032 (C)		951		990
5.773%, 01/10/2033 (C)		342		334


Description	Face Amount (Thousands)		Market Value ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Elevance Health
4.100%, 05/15/2032	$	80	$	74
Gilead Sciences
2.500%, 09/01/2023		50		49
Humana
4.500%, 04/01/2025		10		10
3.700%, 03/23/2029		160		146
2.150%, 02/03/2032		30		23
Johnson & Johnson
0.950%, 09/01/2027		100		86
0.550%, 09/01/2025		50		45
Merck
1.900%, 12/10/2028		430		369
1.450%, 06/24/2030		50		40
0.750%, 02/24/2026		80		71
Pfizer
2.625%, 04/01/2030		100		88
1.700%, 05/28/2030		50		41
0.800%, 05/28/2025		110		101
UnitedHealth Group
4.450%, 12/15/2048		10		9
4.250%, 06/15/2048		10		9
4.000%, 05/15/2029		200		191
3.875%, 12/15/2028		30		29
3.750%, 07/15/2025		30		29
3.500%, 06/15/2023		20		20
2.300%, 05/15/2031		20		17
2.000%, 05/15/2030		30		25
1.250%, 01/15/2026		20		18

				7,355

Industrials — 1.9%
3M
3.700%, 04/15/2050		150		115
2.375%, 08/26/2029		30		25
AerCap Ireland Capital DAC
3.000%, 10/29/2028		1,226		1,027
2.450%, 10/29/2026		190		166
Air Lease
3.375%, 07/01/2025		100		95
Burlington Northern Santa Fe
4.550%, 09/01/2044		10		9
Canadian Pacific Railway
2.450%, 12/02/2031		330		273
Carlisle
2.200%, 03/01/2032		634		482
Carrier Global
2.700%, 02/15/2031		10		8
Continental Airlines Pass-Through Trust, Ser 2012-2, Cl A
4.000%, 10/29/2024		501		478


Description	Face Amount (Thousands)		Market Value ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Deere
3.750%, 04/15/2050	$	30	$	25
3.100%, 04/15/2030		10		9
Delta Air Lines Pass-Through Trust, Ser 2015-1, Cl AA
3.625%, 07/30/2027		458		418
Delta Air Lines Pass-Through Trust, Ser 2019-1, Cl AA
3.204%, 04/25/2024		621		605
John Deere Capital MTN
3.350%, 04/18/2029		934		863
Penske Truck Leasing LP
3.900%, 02/01/2024 (C)		965		945
Republic Services
3.200%, 03/15/2025		180		173
Ryder System MTN
3.350%, 09/01/2025		806		765
SMBC Aviation Capital Finance DAC
4.125%, 07/15/2023 (C)		200		198
Union Pacific
3.750%, 07/15/2025		20		19
2.891%, 04/06/2036		20		16

				6,714

Information Technology — 1.2%
Adobe
2.300%, 02/01/2030		210		179
Apple
3.350%, 02/09/2027		210		201
2.900%, 09/12/2027		110		103
2.450%, 08/04/2026		70		65
1.125%, 05/11/2025		130		120
Broadcom
4.926%, 05/15/2037 (C)		33		29
4.150%, 11/15/2030		26		23
3.137%, 11/15/2035 (C)		420		309
Intel
4.750%, 03/25/2050		10		9
3.700%, 07/29/2025		30		29
1.600%, 08/12/2028		50		42
Mastercard
3.850%, 03/26/2050		10		8
3.375%, 04/01/2024		60		59
Micron Technology
2.703%, 04/15/2032		260		194
Microsoft
3.300%, 02/06/2027		210		202
NVIDIA
3.700%, 04/01/2060		90		66
3.500%, 04/01/2040		130		105
3.500%, 04/01/2050		290		219
2.850%, 04/01/2030		90		79


Description	Face Amount (Thousands)		Market Value ($ Thousands)
CORPORATE OBLIGATIONS (continued)
NXP BV
5.000%, 01/15/2033	$	404	$	381
2.700%, 05/01/2025		40		38
Oracle
2.875%, 03/25/2031		30		25
1.650%, 03/25/2026		150		134
PayPal Holdings
4.400%, 06/01/2032		80		75
1.650%, 06/01/2025		60		56
Salesforce
3.700%, 04/11/2028		150		144
3.250%, 04/11/2023		70		70
1.500%, 07/15/2028		510		435
Texas Instruments
1.750%, 05/04/2030		40		33
TSMC Arizona
2.500%, 10/25/2031		250		205
1.750%, 10/25/2026		230		205
Visa
4.300%, 12/14/2045		10		9
3.150%, 12/14/2025		110		106
1.900%, 04/15/2027		60		54
Workday
3.800%, 04/01/2032		250		221
3.700%, 04/01/2029		60		55
3.500%, 04/01/2027		40		37

				4,324

Materials — 1.0%
Anglo American Capital
3.625%, 09/11/2024 (C)		200		194
Equate Petrochemical BV MTN
4.250%, 11/03/2026 (C)		200		191
2.625%, 04/28/2028 (C)		230		200
Glencore Funding
4.125%, 05/30/2023 (C)		890		885
4.125%, 03/12/2024 (C)		60		59
1.625%, 04/27/2026 (C)		90		80
Nacional del Cobre de Chile
3.150%, 01/15/2051		420		292
Nutrien
1.900%, 05/13/2023		501		495
OCP
4.500%, 10/22/2025 (C)		400		389
Orbia Advance
2.875%, 05/11/2031 (C)		200		156
Suzano Austria GmbH
3.125%, 01/15/2032		510		398
Vale Overseas
6.875%, 11/21/2036		148		156


Description	Face Amount (Thousands)		Market Value ($ Thousands)
CORPORATE OBLIGATIONS (continued)
6.250%, 08/10/2026	$	240	$	248

				3,743

Real Estate — 0.8%
Alexandria Real Estate Equities
3.450%, 04/30/2025		802		776
Digital Realty Trust
3.600%, 07/01/2029		815		728
Healthpeak Properties
2.125%, 12/01/2028		769		645
Spirit Realty
2.100%, 03/15/2028		583		475

				2,624

Utilities — 2.6%
American Transmission Systems
2.650%, 01/15/2032 (C)		60		49
American Water Capital
4.450%, 06/01/2032		1,311		1,254
Aquarion
4.000%, 08/15/2024 (C)		227		223
Commonwealth Edison
3.700%, 08/15/2028		468		440
Duke Energy Carolinas
2.850%, 03/15/2032		1,057		894
Duke Energy Florida
3.200%, 01/15/2027		440		415
Exelon
5.625%, 06/15/2035		343		348
FirstEnergy
1.600%, 01/15/2026		30		27
Florida Power & Light
2.450%, 02/03/2032		544		453
MidAmerican Energy
3.650%, 04/15/2029		140		131
Northern States Power
7.125%, 07/01/2025		1,190		1,261
NSTAR Electric
1.950%, 08/15/2031		1,000		795
ORIX
4.050%, 01/16/2024		365		360
Pacific Gas and Electric
2.100%, 08/01/2027		130		111
Perusahaan Perseroan Persero Perusahaan Listrik Negara MTN
5.450%, 05/21/2028 (C)		370		366
PG&E Wildfire Recovery Funding
4.022%, 06/01/2031		791		752
3.594%, 06/01/2030		766		726


Description	Face Amount (Thousands)		Market Value ($ Thousands)
CORPORATE OBLIGATIONS (continued)
Public Service Enterprise Group
2.875%, 06/15/2024	$	713	$	689

				9,294

Total Corporate Obligations
(Cost $117,845) ($ Thousands)				106,778



U.S. TREASURY OBLIGATIONS — 18.3%
U.S. Treasury Bills
4.657%, 06/01/2023 (F)		520		510
4.625%, 05/25/2023 (F)		1,070		1,051
4.506%, 04/18/2023 (F)		1,160		1,145
4.465%, 03/28/2023 (F)		1,660		1,644
4.332%, 03/02/2023 (F)		510		506
4.265%, 02/23/2023 (F)		1,700		1,690
4.239%, 02/28/2023 (F)		260		258
4.163%, 02/09/2023 (F)		540		538
4.106%, 01/31/2023 (F)		720		718
3.962%, 01/03/2023 (F)		700		700
U.S. Treasury Bonds
4.000%, 11/15/2042		380		372
4.000%, 11/15/2052		120		120
3.625%, 08/15/2043		40		37
3.375%, 11/15/2048		190		168
3.000%, 08/15/2052		1,280		1,055
2.875%, 05/15/2049		170		137
2.875%, 05/15/2052		500		401
2.375%, 02/15/2042		618		472
2.375%, 05/15/2051		1,340		961
2.250%, 08/15/2049		280		197
2.250%, 02/15/2052		1,186		825
2.000%, 11/15/2041		830		593
2.000%, 02/15/2050		850		561
2.000%, 08/15/2051		900		589
1.875%, 02/15/2041		600		424
1.875%, 02/15/2051		2,470		1,570
1.875%, 11/15/2051		780		494
1.750%, 08/15/2041		640		438
1.625%, 11/15/2050		1,400		833
1.375%, 11/15/2040		880		572
1.375%, 08/15/2050		2,600		1,445
1.250%, 05/15/2050		3,420		1,840
1.125%, 08/15/2040		580		360
U.S. Treasury Inflation-Protected Securities
0.125%, 01/15/2030		1,034		929
U.S. Treasury Notes
4.125%, 10/31/2027		20		20
4.125%, 11/15/2032		120		123
4.000%, 10/31/2029		1,400		1,400
3.500%, 09/15/2025		2,959		2,900


Description	Face Amount (Thousands)		Market Value ($ Thousands)
U.S. TREASURY OBLIGATIONS (continued)
3.125%, 08/31/2027	$	6,951	$	6,685
3.125%, 08/31/2029		320		304
2.750%, 08/15/2032		2,933		2,671
2.625%, 07/31/2029		550		506
1.500%, 01/31/2027		10,396		9,386
1.250%, 11/30/2026		2,260		2,028
0.750%, 05/31/2026		12,120		10,809
0.625%, 11/30/2027		1,400		1,189
0.375%, 11/30/2025		290		259
0.250%, 05/31/2025		2,540		2,306
0.250%, 09/30/2025		10		9

Total U.S. Treasury Obligations
(Cost $74,761) ($ Thousands)				64,748



ASSET-BACKED SECURITIES — 9.5%
Automotive — 0.6%

Avis Budget Rental Car Funding AESOP, Ser 2020-2A, Cl A
2.020%, 02/20/2027 (C)		440		399
Avis Budget Rental Car Funding AESOP, Ser 2021-1A, Cl A
1.380%, 08/20/2027 (C)		430		374
GM Financial Revolving Receivables Trust, Ser 2022-1, Cl A
5.910%, 10/11/2035 (C)		662		674
Hertz Vehicle Financing III, Ser 2021-2A, Cl B
2.120%, 12/27/2027 (C)		160		137
Hertz Vehicle Financing III, Ser 2021-2A, Cl C
2.520%, 12/27/2027 (C)		300		247
Hertz Vehicle Financing, Ser 2021-1A, Cl B
1.560%, 12/26/2025 (C)		240		220
Hertz Vehicle Financing, Ser 2021-1A, Cl C
2.050%, 12/26/2025 (C)		210		189
				2,240

Home — 0.0%

Bayview Financial Mortgage Pass-Through Trust, Ser 2006-A, Cl M3
5.364%, ICE LIBOR USD 1 Month + 0.975%, 02/28/2041 (A)		39		39
Master Asset-Backed Securities Trust, Ser 2007-NCW, Cl A1
4.689%, ICE LIBOR USD 1 Month + 0.300%, 05/25/2037 (A)(C)		151		130
				169


Description	Face Amount (Thousands)		Market Value ($ Thousands)
ASSET-BACKED SECURITIES (continued)
Other Asset-Backed Securities — 8.9%

AEP Texas Restoration Funding, Ser 2019-1, Cl A2
2.294%, 08/01/2031	$	1,646	$	1,485
Applebee's Funding, Ser 2019-1A, Cl A2I
4.194%, 06/05/2049 (C)		297		292
CF Hippolyta Issuer, Ser 2020-1, Cl A1
1.690%, 07/15/2060 (C)		207		185
Countrywide Home Equity Loan Trust, Ser 2006-F, Cl 2A1A
4.458%, ICE LIBOR USD 1 Month + 0.140%, 07/15/2036 (A)		149		136
DB Master Finance, Ser 2021-1A, Cl A2II
2.493%, 11/20/2051 (C)		1,039		854
FirstKey Homes Trust, Ser 2021-SFR1, Cl A
1.538%, 08/17/2038 (C)		789		685
FirstKey Homes Trust, Ser 2021-SFR3, Cl A
2.135%, 12/17/2038 (C)		437		378
FirstKey Homes Trust, Ser 2022-SFR1, Cl A
4.145%, 05/17/2039 (C)		417		391
GoodLeap Sustainable Home Solutions Trust, Ser 2022-1GS, Cl B
2.940%, 01/20/2049 (C)		580		425
Hardee's Funding, Ser 2021-1A, Cl A2
2.865%, 06/20/2051 (C)		394		314
Home Partners of America Trust, Ser 2022-1, Cl A
3.930%, 04/17/2039 (C)		1,002		940
Merrill Lynch Mortgage Investors Trust, Ser 2004-WMC5, Cl M1
5.319%, ICE LIBOR USD 1 Month + 0.930%, 07/25/2035 (A)		148		142
MMAF Equipment Finance, Ser 2022-B, Cl A3
5.610%, 07/10/2028 (C)		339		343
Morgan Stanley ABS Capital I Trust, Ser 2004-NC7, Cl M1
5.244%, ICE LIBOR USD 1 Month + 0.855%, 07/25/2034 (A)		327		300
Mortgage Repurchase Agreement Financing Trust II, Ser 2022-S1, Cl A1
5.805%, SOFR30A + 2.000%, 03/30/2025 (A)(C)		260		256
Navient Student Loan Trust, Ser 2016-3A, Cl A3
5.739%, ICE LIBOR USD 1 Month + 1.350%, 06/25/2065 (A)(C)		307		303
Navient Student Loan Trust, Ser 2016-6A, Cl A3
5.689%, ICE LIBOR USD 1 Month + 1.300%, 03/25/2066 (A)(C)		550		542


Description	Face Amount (Thousands)		Market Value ($ Thousands)
ASSET-BACKED SECURITIES (continued)
Oak Street Investment Grade Net Lease Fund, Ser 2021-1A, Cl A1
1.480%, 01/20/2051 (C)	$	943	$	824
Palmer Square CLO, Ser 2021-2A, Cl A1A3
5.227%, ICE LIBOR USD 3 Month + 1.000%, 10/17/2031 (A)(C)		693		681
Palmer Square CLO, Ser 2022-2A, Cl A1
3.683%, TSFR3M + 1.570%, 07/20/2034 (A)(C)		400		389
Palmer Square Loan Funding, Ser 2022-2A, Cl A1
5.134%, TSFR3M + 1.270%, 10/15/2030 (A)(C)		836		824
Progress Residential Trust, Ser 2021-SFR2, Cl A
1.546%, 04/19/2038 (C)		596		521
Progress Residential Trust, Ser 2022-SFR2, Cl A
2.950%, 04/17/2027		980		865
Progress Residential Trust, Ser 2022-SFR3, Cl A
3.200%, 04/17/2039 (C)		512		464
RAAC Series Trust, Ser 2005-SP3, Cl M2
5.589%, ICE LIBOR USD 1 Month + 1.200%, 12/25/2035 (A)		19		19
Sabey Data Center Issuer, Ser 2020-1, Cl A2
3.812%, 04/20/2045 (C)		339		316
Sabey Data Center Issuer, Ser 2021-1, Cl A2
1.881%, 06/20/2046 (C)		1,027		873
SLC Student Loan Trust, Ser 2010-1, Cl A
5.574%, ICE LIBOR USD 3 Month + 0.875%, 11/25/2042 (A)		126		125
SLM Private Credit Student Loan Trust, Ser 2006-A, Cl A5
5.059%, ICE LIBOR USD 3 Month + 0.290%, 06/15/2039 (A)		168		158
SLM Private Education Loan Trust, Ser 2010-C, Cl A5
9.068%, ICE LIBOR USD 1 Month + 4.750%, 10/15/2041 (A)(C)		324		348
SLM Student Loan Trust, Ser 2003-7A, Cl A5A
5.969%, ICE LIBOR USD 3 Month + 1.200%, 12/15/2033 (A)(C)		89		87
SLM Student Loan Trust, Ser 2005-8, Cl A5
4.528%, ICE LIBOR USD 3 Month + 0.170%, 01/25/2040 (A)		541		513
SLM Student Loan Trust, Ser 2021-10A, Cl A4
5.439%, ICE LIBOR USD 3 Month + 0.670%, 12/17/2068 (A)(C)		84		81
SMB Private Education Loan Trust 2020-A, Ser 2020-A, Cl A2A
2.230%, 09/15/2037 (C)		176		161


Description	Face Amount (Thousands)		Market Value ($ Thousands)
ASSET-BACKED SECURITIES (continued)
SMB Private Education Loan Trust, Ser 2021-A, Cl A2B
1.590%, 01/15/2053 (C)	$	329	$	287
SMB Private Education Loan Trust, Ser 2021-C, Cl B
2.300%, 01/15/2053 (C)		170		145
Stack Infrastructure Issuer, Ser 2019-1A, Cl A2
4.540%, 02/25/2044 (C)		455		444
Store Master Funding I-VII, Ser 2018-1A, Cl A1
3.960%, 10/20/2048 (C)		366		351
Store Master Funding I-VII, Ser 2019-1, Cl A1
2.820%, 11/20/2049 (C)		316		283
Structured Asset Investment Loan Trust, Ser 2004-7, Cl A8
5.589%, ICE LIBOR USD 1 Month + 1.200%, 08/25/2034 (A)		153		147
Taco Bell Funding, Ser 2021-1A, Cl A2II
2.294%, 08/25/2051 (C)		587		472
Tricon American Homes Trust, Ser 2019-SFR1, Cl A
2.750%, 03/17/2038 (C)		270		248
Tricon Residential Trust, Ser 2021-SFR1, Cl A
1.943%, 07/17/2038 (C)		850		739
Triumph Rail Holdings, Ser 2021-2, Cl A
2.150%, 06/19/2051 (C)		270		230
TRP 2021, Ser 2021-1, Cl A
2.070%, 06/19/2051 (C)		488		409
United States Small Business Administration, Ser 2010-20H, Cl 1
3.520%, 08/01/2030		128		122
United States Small Business Administration, Ser 2011-20B, Cl 1
4.220%, 02/01/2031		118		113
United States Small Business Administration, Ser 2011-20J, Cl 1
2.760%, 10/01/2031		84		77
United States Small Business Administration, Ser 2013-20K, Cl 1
3.380%, 11/01/2033		368		349
United States Small Business Administration, Ser 2014-20F, Cl 1
2.990%, 06/01/2034		496		461
United States Small Business Administration, Ser 2015-20C, Cl 1
2.720%, 03/01/2035		412		380
United States Small Business Administration, Ser 2015-20E, Cl 1
2.770%, 05/01/2035		242		226
United States Small Business Administration, Ser 2015-20K, Cl 1
2.700%, 11/01/2035		300		281


Description	Face Amount (Thousands)		Market Value ($ Thousands)
ASSET-BACKED SECURITIES (continued)
United States Small Business Administration, Ser 2017-20J, Cl 1
2.850%, 10/01/2037	$	382	$	350
United States Small Business Administration, Ser 2018-20E, Cl 1
3.500%, 05/01/2038		798		751
United States Small Business Administration, Ser 2019-25G, Cl 1
2.690%, 07/01/2044		45		39
United States Small Business Administration, Ser 2021-25H, Cl 1
1.450%, 08/01/2046		1,526		1,224
United States Small Business Administration, Ser 2022-25A, Cl 1
2.040%, 01/01/2047		1,069		899
United States Small Business Administration, Ser 2022-25D, Cl 1
3.500%, 04/01/2047		698		643
United States Small Business Administration, Ser 2022-25E, Cl 1
3.940%, 05/01/2047		981		930
United States Small Business Administration, Ser 2022-25F, Cl 1
4.010%, 06/01/2047		980		936
United States Small Business Administration, Ser 2022-25G, Cl 1
3.930%, 07/01/2047		971		926
United States Small Business Administration, Ser 2022-25H, Cl 1
3.800%, 08/01/2047		470		443
United States Small Business Administration, Ser 2022-25K, Cl 1
5.130%, 11/01/2047		549		550
Vantage Data Centers, Ser 2020-2A, Cl A2
1.992%, 09/15/2045 (C)		1,000		821
Wendy's Funding, Ser 2019-1A, Cl A2I
3.783%, 06/15/2049 (C)		309		285
Wendy's Funding, Ser 2021-1A, Cl A2I
2.370%, 06/15/2051 (C)		1,013		817
Wendy's Funding, Ser 2021-1A, Cl A2II
2.775%, 06/15/2051 (C)		261		203
Wind River CLO, Ser 2021-3A, Cl A
5.393%, ICE LIBOR USD 3 Month + 1.150%, 07/20/2033 (A)(C)		614		589
				31,390

Total Asset-Backed Securities
(Cost $37,403) ($ Thousands)				33,799


Description	Face Amount (Thousands)		Market Value ($ Thousands)
SOVEREIGN DEBT — 1.2%

Colombia Government International Bond
5.625%, 02/26/2044	$	280	$	206
5.200%, 05/15/2049		310		211
3.125%, 04/15/2031		220		163
Indonesia Government International Bond MTN
5.125%, 01/15/2045(C)		200		193
Mexico Government International Bond
3.500%, 02/12/2034		1,040		832
Panama Government International Bond
6.700%, 01/26/2036		190		198
4.300%, 04/29/2053		300		217
Peruvian Government International Bond
3.550%, 03/10/2051		90		64
Province of Quebec Canada
2.625%, 02/13/2023		500		499
Province of Quebec Canada, Ser A MTN
6.350%, 01/30/2026		1,010		1,051
Uruguay Government International Bond
5.750%, 10/28/2034		440		476
4.375%, 01/23/2031		120		119

Total Sovereign Debt
(Cost $4,887) ($ Thousands)				4,229



MUNICIPAL BONDS — 1.2%
California — 0.5%
California Health Facilities Financing Authority, RB
3.378%, 06/01/2028		575		532
Regents of the University of California Medical Center Pooled Revenue, RB
4.132%, 05/15/2032		600		559
San Jose, Financing Authority, RB
1.311%, 06/01/2026		540		476

				1,567

Michigan — 0.2%
Michigan State, Finance Authority, RB
2.988%, 09/01/2049 (A)		755		732


New Jersey — 0.0%
New Jersey State, Transportation Trust Fund Authority, RB
2.551%, 06/15/2023		125		124


New York — 0.3%
New York State Dormitory Authority, Ser B, RB
3.329%, 03/15/2031		415		363


Description	Face Amount (Thousands)		Market Value ($ Thousands)
MUNICIPAL BONDS (continued)
New York State Urban Development
3.350%, 03/15/2026 (G)	$	380	$	366
3.350%, 03/15/2026		285		272

				1,001

Wisconsin — 0.2%
Wisconsin State, Ser A, RB, AGM
5.700%, 05/01/2026		685		697



Total Municipal Bonds
(Cost $4,377) ($ Thousands)				4,121


	Shares
CASH EQUIVALENT — 1.5%
SEI Daily Income Trust, Government Fund, Cl F
3.810%**^†		5,129,171		5,129

Total Cash Equivalent
(Cost $5,129) ($ Thousands)				5,129


PURCHASED OPTIONS — 0.0%
Total Purchased Options
(Cost $68) ($ Thousands)				40


Total Investments in Securities — 105.1%
(Cost $412,394) ($ Thousands)			$	371,478

A list of open exchange-traded options contracts held by the Fund at December 31, 2022 is as follows:

A list of the open futures contracts held by the Fund at December 31, 2022 are as follows:

The options contracts and futures contracts are considered to have interest rate risk associated with them.

	Percentages are based on Net Assets of $353,346 ($ Thousands).
**	The rate reported is the 7-day effective yield as of December 31, 2022.
^†	Investment in Affiliated Security (see Note 3).
(A)	Variable or floating rate security. The rate shown is the effective interest rate as of period end. The rates on certain securities are not based on published reference rates and spreads and are either determined by the issuer or agent based on current market conditions; by using a formula based on the rates of underlying loans; or by adjusting periodically based on prevailing interest rates.
(B)	No interest rate available.
(C)	Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration normally to qualified institutions. On December 31, 2022, the value of these securities amounted to $63,846 ($ Thousands), representing 18.1% of the Net Assets of the Fund.
(D)	Step coupon security. Coupon rate will either increase (step-up bond) or decrease (step-down bond) at regular intervals until maturity. Interest rate shown reflects the rate currently in effect.
(E)	Zero coupon security.
(F)	Interest rate represents the security's effective yield at the time of purchase.
(G)	Security is escrowed to maturity.

The following is a summary of the level of inputs used as of December 31, 2022, in valuing the Fund’s investments and other financial instruments carried at value ($ Thousands):

Investments in Securities	Level 1 ($)		Level 2 ($)		Level 3 ($)		Total ($)
Mortgage-Backed Securities		–		152,634		–		152,634
Corporate Obligations		–		106,778		–		106,778
U.S. Treasury Obligations		24,572		40,176		–		64,748
Asset-Backed Securities		–		33,799		–		33,799
Sovereign Debt		–		4,229		–		4,229
Municipal Bonds		–		4,121		–		4,121
Cash Equivalent		5,129		–		–		5,129
Purchased Options		40		–		–		40
Total Investments in Securities		29,741		341,737		–		371,478

The following is a summary of the transactions with affiliates for the period ended December 31, 2022 ($ Thousands):

^†	Percentages are based on total investments.


Description	Shares		Market Value ($ Thousands)
AFFILIATED INVESTMENT FUNDS — 98.9%
Equity Fund — 60.3%
New Covenant Growth Fund ^†		3,914,407	$	190,984

Total Equity Fund
(Cost $107,806) ($ Thousands)				190,984
Fixed Income Fund — 38.6%
New Covenant Income Fund ^†		5,958,568		122,032

Total Fixed Income Fund
(Cost $134,909) ($ Thousands)				122,032


Description	Shares		Market Value ($ Thousands)
CASH EQUIVALENT — 1.1%
SEI Daily Income Trust, Government Fund, Cl F
3.810%**^†		3,400,480	$	3,400

Total Cash Equivalent
(Cost $3,400) ($ Thousands)				3,400


Total Investments in Securities — 100.0%
(Cost $246,115) ($ Thousands)			$	316,416


	Percentages are based on Net Assets of $316,545 ($ Thousands).
**	The rate reported is the 7-day effective yield as of December 31, 2022.
^†	Investment in Affiliated Security (see Note 3).

As of December 31, 2022, all of the Fund's investments were considered Level 1, in accordance with the authoritative guidance on fair value measurements and disclosure under U.S. GAAP.

For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.

The following is a summary of the transactions with affiliates for the period ended December 31, 2022 ($ Thousands):

^†	Percentages are based on total investments.


Description	Shares		Market Value ($ Thousands)
AFFILIATED INVESTMENT FUNDS — 99.3%
Fixed Income Fund — 63.8%
New Covenant Income Fund ^†		2,582,024	$	52,880

Total Fixed Income Fund
(Cost $59,340) ($ Thousands)				52,880
Equity Fund — 35.5%
New Covenant Growth Fund ^†		602,979		29,419

Total Equity Fund
(Cost $15,847) ($ Thousands)				29,419


Description	Shares		Market Value ($ Thousands)
CASH EQUIVALENT — 0.6%
SEI Daily Income Trust, Government Fund, Cl F
3.810%**^†		465,917	$	466

Total Cash Equivalent
(Cost $466) ($ Thousands)				466


Total Investments in Securities — 99.9%
(Cost $75,653) ($ Thousands)			$	82,765

	Percentages are based on Net Assets of $82,865 ($ Thousands).
**	The rate reported is the 7-day effective yield as of December 31, 2022.
^†	Investment in Affiliated Security (see Note 3).

As of December 31, 2022, all of the Fund's investments were considered level 1, in accordance with the authoritative guidance on fair value measurements and disclosure under U.S. GAAP.

For more information on valuation inputs, see Note 2 – Significant Accounting Policies in Notes to Financial Statements.

The following is a summary of the transactions with affiliates for the period ended December 31, 2022 ($ Thousands):

Glossary (abbreviations which may be used in the preceding Schedules of Investments):

Portfolio Abbreviations

ABS — Asset-Backed Security

AGM — Assured Guaranty Municipal

Cl — Class

CLO — Collateralized Loan Obligation

CMO — Collateralized Mortgage Obligation

DAC — Designated Activity Company

FHLMC — Federal Home Loan Mortgage Corporation

FNMA — Federal National Mortgage Association

FRESB — Freddie Mac Small Balance Mortgage Trust

GNMA — Government National Mortgage Association

ICE — Intercontinental Exchange

IO — Interest Only - face amount represents notional amount

JSC — Joint Stock Company

L.P. — Limited Partnership

LIBOR — London Interbank Offered Rate

MSCI — Morgan Stanley Capital International

MTN — Medium Term Note

PLC — Public Limited Company

RB — Revenue Bond

REIT — Real Estate Investment Trust

REMIC — Real Estate Mortgage Investment Conduit

Ser — Series

SOFR — Secured Overnight Financing Rate

SOFR30A — Secured Overnight Financing Rate 30-day Average

STACR — Structured Agency Credit Risk

TBA — To Be Announced

TSFR1M — Term Secured Overnight Financing Rate 1 Month

USD — U.S. Dollar

For the period ended December 31, 2022 (Unaudited) and the year ended June 30, 2022

New Covenant Funds (the “Trust”), an open-end, diversified management investment company, was organized as a Delaware business trust on September 30, 1998. It currently consists of four investment funds: New Covenant Growth Fund (“Growth Fund”), New Covenant Income Fund (“Income Fund”), New Covenant Balanced Growth Fund (“Balanced Growth Fund”), and New Covenant Balanced Income Fund (“Balanced Income Fund”) (individually, a “Fund,” and collectively, the “Funds”). The Funds commenced operations on July 1, 1999. The Trust’s authorized capital consists of an unlimited number of shares of beneficial interest of $0.001 par value. Effective February 20, 2012, the Funds’ investment adviser is SEI Investments Management Corporation (“SIMC” or the “Adviser”). Prior to February 20, 2012, the Funds’ investment adviser was One Compass Advisors, a wholly owned subsidiary of the Presbyterian Church (U.S.A.) Foundation.

The following are significant accounting policies, which are consistently followed in the preparation of its financial statements by the Funds. The Funds are investment companies that apply the accounting and reporting guidance issued in Topic 946 by the U.S. Financial Accounting Standards Board (“FASB”).

Use of Estimates — The preparation of financial statements, in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”), requires management to make estimates and assumptions that affect the reported amount of assets and liabilities and disclosure of contingent assets and liabilities as of the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

Security Valuation — Effective September 8, 2022, and pursuant to the requirements of the 1940 Act and Rule 2a-5, the administrator, as delegated by the Board of Trustees (the “Board”), has the responsibility for the valuation of Fund investments with readily available market quotations in accordance with the Funds' Valuation and Pricing Policy. The Trust's Board of Trustees has designated SEI Investments Management Corporation (“SIMC”) as the Valuation Designee for the Funds pursuant to Rule 2a-5 (the “Rule”) under the 1940 Act. The Valuation Designee has the responsibility for the fair value determination with respect to all Fund investments that do not have readily available market quotations or quotations that are no longer reliable. SIMC, in furtherance of the Board’s designation, has appointed a valuation committee of SIMC persons to function as the Valuation Designee (the “Committee”) and has established a Valuation and Pricing Policy to implement the Rule and the Fund’s' Valuation and Pricing Policy (together with SIMC’s Valuation and Pricing Policy, the “Fair Value Procedures”). Prior to September 8, 2022, fair-value determinations were performed in accordance with the Trust's Fair Value Procedures established by the Funds' Board of Trustees and were implemented through a Fair Value Committee designated by the Board.

When valuing portfolio securities, a Fund values securities listed on a securities exchange, market or automated quotation system for which quotations are readily available (other than securities traded on National Association of Securities Dealers Automated Quotations (NASDAQ) or as otherwise noted below) at the last quoted sale price on an exchange or market (foreign or domestic) on which the securities are traded, or, if there is no such reported sale, at the most recent quoted bid price. A Fund values securities traded on NASDAQ at the NASDAQ Official Closing Price. If available, debt securities, swaps (which are not centrally cleared), bank loans or debt tranches of collateralized debt obligations (including collateralized loan obligations), such as those held by the Funds, are priced based upon valuations provided by independent, third-party pricing agents. Such values generally reflect the last reported sales price if the security is actively traded. The third-party pricing agents may also value debt securities at an evaluated bid price by employing methodologies that utilize actual market transactions, broker-supplied valuations or other

methodologies designed to identify the market value for such securities. The assets of the Balanced Growth Fund and the Balanced Income Fund (the “Balanced Funds”) consist primarily of investments in underlying affiliated investment companies. Redeemable securities issued by open-end investment companies are valued at the investment company’s applicable NAV per share. The prices of foreign securities are reported in local currency and converted to U.S. dollars using currency exchange rates. If a security’s price cannot be obtained, as noted above or in the case of an equity tranche of a CDO/CLO, a Fund will value the securities using a bid price from at least one independent broker.

On the first day a new debt security purchase is recorded, if a price is not available from a third-party pricing agent or an independent broker, the security may be valued at its purchase price. Each day thereafter, the debt security will be valued according to the Procedures until an independent source can be secured. Debt securities held by a Fund with remaining maturities of 60 days or less will be valued by the amortized cost method, which involves valuing a security at its cost on the date of purchase and thereafter (absent unusual circumstances) assuming a constant amortization to maturity of any discount or premium, regardless of the impact of fluctuations in general market rates of interest on the value of the instrument. While this method provides certainty in valuation, it may result in periods during which value, as determined by this method, is higher or lower than the price a Fund would receive if it sold the instrument, and the value of securities in the Fund can be expected to vary inversely with changes in prevailing interest rates. Should existing credit, liquidity or interest rate conditions in the relevant markets and issuer-specific circumstances suggest that amortized cost does not approximate fair value, then the amortized cost method may not be used.

Options are valued at the last quoted sales price. If there is no such reported sale on the valuation date, long positions are valued at the most recent bid price, and short positions are valued at the most recent ask price. Futures and swaps cleared through a central clearing house (centrally cleared swaps) are valued at the settlement price established each day by the board of exchange on which they are traded. The daily settlement prices for financial futures and centrally cleared swaps are provided by an independent source. On days when there is excessive volume, market volatility or the future or centrally cleared swap does not end trading by the time a fund calculates its NAV, the settlement price may not be available at the time at which a fund calculates its NAV. On such days, the best available price (which is typically the last sales price) may be used to value a fund’s futures or centrally cleared swaps position. Foreign currency forward contracts are valued at the current day's interpolated foreign exchange rate, as calculated using forward rates provided by an independent source.

Prices for most securities held by a Fund are provided daily by third-party independent pricing agents. SIMC or a Sub-Adviser, as applicable, reasonably believes that prices provided by independent pricing agents are reliable. However, there can be no assurance that such pricing service's prices will be reliable. SIMC or a Sub-Adviser, as applicable, will continuously monitor the reliability of prices obtained from any pricing service and shall promptly notify the Funds' administrator if it believes that a particular pricing service is no longer a reliable source of prices. The Funds' administrator, in turn, will notify the Committee if it receives such notification from a Sub-Adviser, as applicable, or if the Funds' administrator reasonably believes that a particular pricing service is no longer a reliable source for prices.

The Procedures provide that any change in a primary pricing agent or a pricing methodology requires prior approval by the Board. However, when the change would not materially affect the valuation of a Fund’s net assets or involve a material departure in pricing methodology from that of the Fund’s existing pricing agent or pricing methodology, ratification may be obtained at the next regularly scheduled meeting of the Board. Securities for which market prices are not "readily available" are valued in accordance with Rule 2a-5 and the Procedures. The Committee must monitor for circumstances that may necessitate that a security be valued using Fair Value Procedures which can include: (i) the security's trading has been halted or suspended, (ii) the security has been de-listed from a national exchange, (iii) the security's primary trading market is temporarily closed at a time when under normal conditions it would be open, (iv) the security has not been traded for an extended period of time, (v) the security's primary pricing source is not able or willing to provide a price, (vi) trading of the security is subject to local government-imposed restrictions; or (vii) a significant event (as defined below). When a security is valued in accordance with the Fair Value Procedures, the Committee will determine the value after taking into consideration relevant information reasonably available to the Committee. Examples of factors the Committee may consider include: (i) the type of security or asset, (ii) the last trade price, (iii) evaluation of the forces that influence the market in which the security is purchased and sold, (iv) the liquidity of the security, (v) the size of the holding in a Fund or (vi) any other appropriate information.

The Committee is responsible for selecting and applying, in a consistent manner, the appropriate methodologies for determining and calculating the fair value of holdings of the Funds, including specifying the key inputs and assumptions specific to each asset class or holding. The determination of a security’s fair value price often involves the consideration of a number of subjective factors and is therefore subject to the unavoidable risk that the value assigned to a security may be higher or lower than the security’s value would be if a reliable market quotation for the security was readily available.

The Growth Fund uses a third-party fair valuation vendor. The vendor provides a fair value for foreign securities held by the Fund based on certain factors and methodologies (involving, generally, tracking valuation correlations between the U.S. market and each non-U.S. security). Values from the fair value vendor are applied in the event that there is a movement in the U.S. market that exceeds a specific threshold that has been established by the Committee. The Committee has also established a “confidence interval” which is used to determine the level of historical correlation between the value of a specific foreign security and movements in the U.S. market before a particular security will be fair valued when the threshold is exceeded. In the event that the threshold established by the Committee is exceeded on a specific day, the Growth Fund will value the non-U.S. securities in its portfolio that exceed the applicable “confidence interval” based upon the adjusted prices provided by the fair valuation vendor.

For securities that principally trade on a foreign market or exchange, a significant gap in time can exist between the time of a particular security’s last trade and the time at which a Fund calculates its NAV. The closing prices of such securities may no longer reflect their market value at the time a Fund calculates NAV if an event that could materially affect the value of those securities (a Significant Event), including substantial fluctuations in domestic or foreign markets or occurrences not tied directly to the securities markets, such as natural disasters, armed conflicts or significant governmental actions, has occurred between the time of the security’s last close and the time that the Fund calculates NAV. A Fund may invest in securities that are primarily listed on foreign exchanges that trade on weekends or other days when the Fund does not price its shares. As a result, the NAV of the Fund’s shares may change on days when shareholders will not be able to purchase or redeem Fund shares. A Significant Event may relate to a single issuer or to an entire market sector. If SIMC or a Sub-Adviser becomes aware of a Significant Event that has occurred with respect to a security or group of securities after the closing of the exchange or market on which the security or securities principally trade, but before the time at which a Fund calculate NAV, it may request that a Committee meeting be called. In addition, with respect to certain securities, the Funds’ administrator performs price comparisons and price movement review (among other processes), to monitor the pricing data supplied by various sources. Any identified discrepancies are researched and subject to the procedures described above.

In accordance with U.S. GAAP, fair value is defined as the price that a Fund would receive upon selling an investment in an orderly transaction to an independent buyer in the principal or most advantageous market of the investment. A three tier hierarchy has been established to maximize the use of observable and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing an asset. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability based on the best information available in the circumstances.

The three-tier hierarchy of inputs is summarized in the three broad Levels listed below:

Level 2 — other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risks, etc.)

Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

The valuation techniques used by the Funds to measure fair value during the period ended December 31, 2022 maximized the use of observable inputs and minimized the use of unobservable inputs.

For details of the investment classifications reference the Schedules of Investments.

Securities Transactions and Investment Income — Security transactions are recorded on the trade date. Cost used in determining net realized capital gains and losses on the sale of securities is determined on the basis of specific

identification. Dividend income and expense is recognized on the ex-dividend date, and interest income or expense is recognized using the accrual basis of accounting.

Distributions received on securities that represent a return of capital or capital gains are recorded as a reduction of cost of investments and/or as a realized gain. The Trust estimates the components of distributions received that may be considered nontaxable distributions or capital gain distributions.

Amortization and accretion is calculated using the scientific interest method, which approximates the effective interest method over the holding period of the security. Amortization of premiums and discounts is included in interest income.

Cash and Cash Equivalents — Idle cash and currency balances may be swept into various overnight sweep accounts and are classified as cash equivalents on the Statement of Assets and Liabilities. These amounts, at times, may exceed United States federally insured limits. Amounts swept are available on the next business day.

Expenses — Expenses that are directly related to a Fund are charged directly to that Fund. Other operating expenses of the Trust are prorated to the Funds on the basis of relative net assets.

Foreign Currency Translation — The books and records of the Funds investing in international securities are maintained in U.S. dollars on the following basis:

(I) market value of investment securities, assets and liabilities at the current rate of exchange; and

(II) purchases and sales of investment securities, income and expenses at the relevant rates of exchange prevailing on the respective dates of such transactions.

The Funds do not isolate that portion of gains and losses on investments in equity securities that is due to changes in the foreign exchange rates from that which is due to changes in market prices of equity securities.

The Funds report certain foreign-currency-related transactions as components of realized gains for financial reporting purposes, whereas such components are treated as ordinary income for Federal income tax purposes.

Repurchase Agreements — To the extent consistent with its investment objective and strategies, a Fund may enter into repurchase agreements which are secured by obligations of the U.S. Government with a bank, broker-dealer or other financial institution. Each repurchase agreement is at least 102% collateralized and marked-to-market. However, in the event of default or bankruptcy by the counterparty to the repurchase agreement, realization of the collateral may by subject to certain costs, losses or delays.

Futures Contracts — To the extent consistent with its investment objective and strategies, a Fund may use futures contracts for tactical hedging purposes as well as to enhance the Fund’s returns. These Funds’ investments in futures contracts are designed to enable the Funds to more closely approximate the performance of their benchmark indices. Initial margin deposits of cash or securities are made upon entering into futures contracts. The contracts are marked-to-market daily and the resulting changes in value are accounted for as unrealized gains and losses. Variation margin payments are paid or received, depending upon whether unrealized gains or losses are incurred. When contracts are closed, the Funds record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the amount invested in the contract.

Risks of entering into futures contracts include the possibility that there will be an imperfect price correlation between the futures and the underlying securities. Second, it is possible that a lack of liquidity for futures contracts could exist in the secondary market, resulting in an inability to close a position prior to its maturity date. Third, futures contracts involve the risk that a Fund could lose more than the original margin deposit required to initiate a futures transaction.

Finally, the risk exists that losses could exceed amounts disclosed on the Statements of Assets and Liabilities. Refer to each Fund’s Schedule of Investments for details regarding open futures contracts as of December 31, 2022, if applicable.

Options Writing/Purchasing — To the extent consistent with its investment objective and strategies, a Fund may invest in financial options contracts for the purpose of hedging its existing portfolio securities, or securities that a Fund intends to purchase, against fluctuations in fair market value caused by changes in prevailing market interest rates. A Fund may also invest in financial option contracts to enhance its returns. When the Fund writes or purchases an option, an amount equal to the premium received or paid by the Fund is recorded as a liability or an asset and is subsequently adjusted to the current market value of the option written or purchased. Premiums received or

paid from writing or purchasing options which expire unexercised are treated by the Fund on the expiration date as realized gains or losses. The difference between the premium and the amount paid or received on affecting a closing purchase or sale transaction, including brokerage commissions, is also treated as a realized gain or loss. If an option is exercised, the premium paid or received is added to the cost of the purchase or proceeds from the sale in determining whether the Fund has realized a gain or a loss.

The risk in writing a call option is a Fund may give up the opportunity for profit if the market price of the security increases. The risk in writing a put option is a Fund may incur a loss if the market price of the security decreases and the option is exercised. The risk in purchasing an option is a Fund may pay a premium whether or not the option is exercised. The Funds also have the additional risk of being unable to enter into a closing transaction at an acceptable price if a liquid secondary market does not exist. Option contracts also involve the risk that they may not work as intended due to unanticipated developments in market conditions or other causes.

Swap Agreements — To the extent consistent with its investment objective and strategies, a Fund may invest in swap contracts as an efficient means to take and manage risk in the portfolio, including interest rate risk, credit risk and overall yield sensitivity. A swap agreement is a two-party contract under which an agreement is made to exchange returns from predetermined investments or instruments, including a particular interest rate, foreign currency, or “basket” of securities representing a particular index. Swap agreements are privately negotiated in the over-the-counter market (“OTC swaps”) or may be executed in a multilateral or other trade facility platform, such as a registered commodities exchange (“Centrally Cleared swaps”). Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to pay or receive interest (e.g., an exchange of floating rate payments for fixed rate payments) with respect to a notional amount of principal. Credit default swaps involve the periodic payment by a Fund or counterparty of interest based on a specified rate multiplied by a notional amount assigned to an underlying debt instrument or group of debt instruments in exchange for the assumption of credit risk on the same instruments. In the event of a credit event, usually in the form of a credit rating downgrade, the party receiving periodic payments (i.e. floating rate payer) must pay the other party (i.e. fixed rate payer) an amount equal to the outstanding principal of the downgraded debt instrument. Total return swaps allow an investor to benefit from the cash flow without ever actually owning the underlying security. The receiver must pay any decline in value to the payer at the end of the total return swap. However, the investor does not need to make a payment if there is no decline in price. Payments can be made on various indices, bonds (i.e. mortgage backed securities, bank debt and corporate), loans or commodities. The value of a total return swap is equal to the change in value of the underlying asset versus the accrued income payment based on LIBOR (London Interbank Offered Rate) or some other form of index on the notional amount. Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to pay or receive interest (e.g., an exchange of floating rate payments for fixed rate payments) with respect to a notional amount of principal to manage a Fund’s exposure to interest rates. Payments received or made are recorded as realized gains or losses. A Fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty defaults on its obligation to perform. Risk of loss may exceed amounts recognized on the statement of assets and liabilities. In connection with swap agreements, securities/cash may be set aside as collateral by the Fund’s custodian. A Fund may enter into swap agreements in order to, among other things, change the maturity or duration of the investment portfolio; protect a Fund’s value from changes in interest rates; or expose a Fund to a different security or market.

Swaps are marked-to-market daily based upon quotations from market makers and the resulting changes in market values, if any, are recorded as unrealized gains or losses in the Statement of Operations. Centrally cleared swaps are valued at the settlement price established each day by the board of exchange on which they are traded. The daily settlement prices for centrally cleared swaps are provided by an independent source. Net payments of interest are recorded as realized gains or losses. Daily changes in valuation of Centrally Cleared swaps, if any, are recorded as a receivable or payable for the change in value as appropriate (“variation margin”) on the Statements of Assets and Liabilities.

Entering into swap agreements involves, to varying degrees, elements of credit and market risk in excess of the amounts recognized on the Schedule of Investments or the Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreement may default on its obligation to perform and that there may be unfavorable changes in the fluctuation of interest rates. Risks also arise from potential losses from adverse market movements. Counterparty risk may be mitigated by having a master netting arrangement between a Fund and the counterparty and by having the counterparty post collateral to cover a Fund’s exposure to the counterparty.

Forward Treasury Commitments — To the extent consistent with its investment objective and strategies, the Growth Fund and Income Fund may invest in commitments to purchase U.S. Treasury securities on an extended settlement basis. Such transactions involve the commitment to purchase a security with payment and delivery taking place in the future, sometimes a month or more after the transaction date. The Funds account for such transactions as purchases and sales and record an unrealized gain or loss each day equal to the difference between the cost of the purchase commitment and the current market value. Realized gains or losses are recorded upon closure or settlement of such commitments. No interest is earned prior to settlement of the transaction. These instruments are subject to market fluctuation due to changes in interest rates and the market value at the time of settlement could be higher or lower than the purchase price. A Fund may incur losses due to changes in the value of the underlying treasury securities from interest rate fluctuations or as a result of counterparty nonperformance. These transactions may increase the overall investment exposure for a Fund (and so may also create investment leverage) and involve a risk of loss if the value of the securities declines prior to the settlement date.

Master Limited Partnerships — To the extent consistent with its investment objective and strategies, a Fund may invest in entities commonly referred to as “MLPs” that are generally organized under state law as limited partnerships or limited liability companies. The Funds intend to primarily invest in MLPs receiving partnership taxation treatment under the Internal Revenue Code of 1986 (the “Code”), and whose interests or “units” are traded on securities exchanges like shares of corporate stock. To be treated as a partnership for U.S. federal income tax purposes, an MLP whose units are traded on a securities exchange must receive at least 90% of its income from qualifying sources such as interest, dividends, real estate rents, gain from the sale or disposition of real property, income and gain from mineral or natural resources activities, income and gain from the transportation or storage of certain fuels, and, in certain circumstances, income and gain from commodities or futures, forwards and options with respect to commodities. Mineral or natural resources activities include exploration, development, production, processing, mining, refining, marketing and transportation (including pipelines) of oil and gas, minerals, geothermal energy, fertilizer, timber or industrial source carbon dioxide. An MLP consists of a general partner and limited partners (or in the case of MLPs organized as limited liability companies, a managing member and members). The general partner or managing member typically controls the operations and management of the MLP and has an ownership stake in the partnership. The limited partners or members, through their ownership of limited partner or member interests, provide capital to the entity, are intended to have no role in the operation and management of the entity and receive cash distributions. The MLPs themselves generally do not pay U.S. Federal income taxes. Thus, unlike investors in corporate securities, direct MLP investors are generally not subject to double taxation (i.e., corporate level tax and tax on corporate dividends). Currently, most MLPs operate in the energy and/or natural resources sector.

Delayed Delivery Transactions — To the extent consistent with its investment objective and strategies, the Growth Fund and Income Fund may purchase or sell securities on a when-issued or delayed delivery basis. These transactions involve a commitment by those Funds to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. When delayed delivery purchases are outstanding, the Funds will set aside liquid assets in an amount sufficient to meet the purchase price. When purchasing a security on a delayed delivery basis, that Fund assumes the rights and risks of ownership of the security, including the risk of price and yield fluctuations, and takes such fluctuations into account when determining its net asset value. Those Funds may dispose of or renegotiate a delayed delivery transaction after it is entered into, and may sell when-issued securities before they are delivered, which may result in a capital gain or loss. When those Funds have sold a security on a delayed delivery basis, that Fund does not participate in future gains and losses with respect to the security.

Dividends and Distributions to Shareholders — Dividends from net investment income are declared and paid to shareholders quarterly for the Growth Fund, Balanced Growth Fund and Balanced Income Fund; declared and paid monthly for the Income Fund. Dividends and distributions are recorded on the ex-dividend date. Any net realized capital gains will be distributed at least annually by the Funds.

Investments in Real Estate Investment Trusts (“REITs”) — Dividend income is recorded based on the income included in distributions received from the REIT investments using published REIT reclassifications including some management estimates when actual amounts are not available. Distributions received in excess of this estimated amount are recorded as a reduction of the cost of investments or reclassified to capital gains. The actual amounts of

income, return of capital, and capital gains are only determined by each REIT after its fiscal year-end, and may differ from the estimated amounts.

Administration Agreement — The Trust entered into an Administration Agreement with SEI Investments Global Funds Services (the “Administrator”). Under the Administration Agreement, the Administrator provides administrative and accounting services to the Funds. The Administrator has voluntarily agreed to waive a portion of its fee so that the total annual expenses of the Balanced Growth Fund and the Balanced Income Fund, exclusive of acquired fund fees and expenses, will not exceed certain voluntary expense limitations adopted by the Adviser. Accordingly, effective April 1, 2017, the voluntary expense limitations are 0.13% and 0.15% for the Balanced Growth Fund and the Balanced Income Fund, respectively. These voluntary waivers may be terminated by the Adviser at any time. The following is a summary of annual fees payable to the Administrator:

Transfer Agent Servicing Agreement — In 2008, the Trust entered into a transfer agent servicing agreement (“Agreement”) with U.S. Bancorp Fund Services, LLC (“USBFS”), an indirect, wholly-owned subsidiary of U.S. Bancorp. Under the terms of the Agreement, USBFS is entitled to account based fees and annual fund level fees, as well as reimbursement of out-of-pocket expenses incurred in providing transfer agency services.

Investment Advisory Agreement — The Trust, on behalf of each Fund, entered into an Investment Advisory Agreement (“Agreement”) with the Adviser. Under the Agreement, the Adviser is responsible for the investment management of the Funds and receives an annual advisory fee of 0.47% for the Growth Fund and 0.42% for the Income Fund. The Adviser does not receive an advisory fee for the Balanced Growth Fund and Balanced Income Fund. The Adviser has voluntarily agreed to waive a portion of its fee so that the total annual expenses of the Growth and Income Funds, exclusive of acquired fund fees and expenses, will not exceed certain voluntary expense limitations adopted by the Adviser. Accordingly, effective April 1, 2017, the voluntary expense limitation is 0.80% for the Income Fund. Effective May 13, 2019, the voluntary expense limitation is 0.72% for the Growth Fund.

The Adviser has entered into sub-advisory agreements to assist in the selection and management of investment securities in the Growth Fund and the Income Fund. It is the responsibility of the sub-advisers, under the direction of the Adviser, to make day-to-day investment decisions for these Funds. The Adviser, not the Funds, pays each sub-adviser a quarterly fee, in arrears, for their services. The Adviser pays sub-advisory fees directly from its own advisory fee. The sub-advisory fees are based on the assets of the Fund allocated to the sub-adviser for which the sub-adviser is responsible for making investment decisions.

The following is the sub-adviser for the Growth Fund: Parametric Portfolio Associates LLC.

The following are the sub-advisers for the Income Fund: Income Research & Management, Western Asset Management Company and Western Asset Management Company Limited.

Distribution Agreement — The Trust issues shares of the Funds pursuant to a Distribution Agreement with SEI Investments Distribution Co. (the “Distributor”), a wholly-owned subsidiary of SEI Investments Company (“SEI”). The Funds do not compensate the Distributor in its capacity as principal distributor.

Shareholder Service Plan and Agreement—The Trust entered into a Shareholder Service Plan and Agreement (the “Agreement”) with the Distributor. Per the Agreement, a Fund is authorized to make payments to certain entities which may include investment advisors, banks, trust companies and other types of organizations (“Authorized Service Providers”) for providing administrative services with respect to shares of the Funds attributable to or held in the name of the Authorized Service Providers for its clients or other parties with whom they have a servicing relationship. Under the terms of the Agreement, the Growth Fund and the Income Funds are authorized to pay an Authorized Service Provider a shareholder servicing fee at an annual rate of up to 0.10% of the average daily net asset value of the Growth Fund and Income Fund, respectively, which fee will be computed daily and paid monthly,

for providing certain administrative services to Fund shareholders with whom the Authorized Service Provider has a servicing relationship.

Social Witness Services and License Agreement — The Trust retained New Covenant Trust Company (“NCTC”) to ensure that each Fund continues to invest consistent with social witness principles adopted by the General Assembly of the Presbyterian Church (U.S.A.). No less than annually, NCTC will provide the Trust with an updated list of issuers in which the Funds will be prohibited from investing.

NCTC will distribute to the Trust proxy voting guidelines and shareholder advocacy services for the Funds that NCTC deems to be consistent with social witness principles adopted by the General Assembly of the Presbyterian Church (U.S.A.). The Trust also engages NCTC to vote Fund proxies consistent with such proxy voting guidelines. NCTC shall monitor and review and, as necessary, amend the Proxy Voting Guidelines periodically to ensure that they remain consistent with the social witness principles.

NCTC also grants to the Trust a non-exclusive right and license to use and refer to the trade name, trademark and/or service mark rights to the name “New Covenant Funds” and the phrase “Funds with a Mission”, in the name of the Trust and each Fund, and in connection with the offering, marketing, promotion, management and operation of the Trust and the Funds.

In consideration of the services provided by NCTC, the Growth Fund and the Income Fund will each pay to NCTC a fee at an annual rate of 0.15% of the average daily net asset value of the shares of such Fund, which fee will be computed daily and paid monthly.

Payment to Affiliates — Certain officers and/or interested trustees of the Trust are also officers of the Distributor, the Adviser, the Administrator or NCTC. The Trust pays each unaffiliated Trustee an annual fee for attendance at quarterly and interim board meetings. Compensation of officers and affiliated Trustees of the Trust is paid by the Adviser, the Administrator or NCTC.

A portion of the services provided by the Chief Compliance Officer (“CCO”) and his staff, whom are employees of the Administrator, are paid for by the Trust as incurred. The services include regulatory oversight of the Trust’s Adviser, sub-advisers and service providers as required by SEC regulations. The CCO’s services have been approved by and are reviewed annually by the Board.

Investment in Affiliated Security — The Funds may invest excess cash in the SEI Daily Income Trust (SDIT) Government Fund, an affiliated money market fund. The Balanced Funds invest in the Growth Fund and Income Fund.

Interfund Lending — The SEC has granted an exemption that permits the Trust to participate in an interfund lending program (the ‘‘Program’’) with existing or future investment companies registered under the 1940 Act that are advised by SIMC (the ‘‘SEI Funds’’). The Program allows the SEI Funds to lend money to and borrow money from each other for temporary or emergency purposes. Participation in the Program is voluntary for both borrowing and lending funds. Interfund loans may be made only when the rate of interest to be charged is more favorable to the lending fund than an investment in overnight repurchase agreements (‘‘Repo Rate’’), and more favorable to the borrowing fund than the rate of interest that would be charged by a bank for short-term borrowings (‘‘Bank Loan Rate’’). The Bank Loan Rate will be determined using a formula reviewed annually by the SEI Funds’ Board of Trustees. The interest rate imposed on interfund loans is the average of the Repo Rate and the Bank Loan Rate. During the period ended December 31, 2022, the Trust did not participate in interfund lending.

The International Swaps and Derivatives Association, Inc. Master Agreements and Credit Support Annexes (“ISDA Master Agreements”) maintain provisions for general obligations, representations, agreements, collateral, and events of default or termination. The occurrence of a specified event of termination may give a counterparty the right to terminate all of its contracts and affect settlement of all outstanding transactions under the applicable ISDA Master Agreement.

To reduce counterparty risk with respect to Over The Counter (“OTC”) transactions, the Funds have entered into master netting arrangements, established within the Funds’ ISDA Master Agreements, which allow the Funds to make (or to have an entitlement to receive) a single net payment in the event of default (close-out netting) for outstanding payables and receivables with respect to certain OTC positions in swaps for each individual counterparty. In addition, the Funds may require that certain counterparties post cash and/or securities in collateral accounts to cover their net

payment obligations for those derivative contracts subject to ISDA Master Agreements. If the counterparty fails to perform under these contracts and agreements, the cash and/or securities will be made available to the Funds.

For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities and therefore disclose these derivative assets and derivative liabilities on a gross basis. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.

Collateral terms are contract specific for OTC derivatives. For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark to market amount of each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Funds or the counterparty. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Funds, if any, is reported separately on the Statement of Assets and Liabilities as cash pledged as collateral. Non-cash collateral pledged by the Funds, if any, is noted in the Schedules of Investments. Generally, the amount of collateral due from or to a party must exceed a minimum transfer amount threshold before a transfer has to be made. To the extent amounts due to the Funds from its counterparties are not fully collateralized, contractually or otherwise, the Funds bear the risk of loss from counterparty nonperformance.

Cash with a total market value of $436 and $810 ($ Thousands) for the Growth Fund and Income Fund, respectively, has been pledged as collateral for exchange-traded derivative instruments as of December 31, 2022.

The fair value of derivative instruments located on the Statements of Assets and Liabilities as of December 31, 2022 was as follows ($ Thousands):

* Includes cumulative appreciation/depreciation of futures contracts as reported in the Schedules of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities.

The effect of derivative instruments on the Statements of Operations for the period ended December 31, 2022.

Amount of realized gain or (loss) on derivatives recognized in income ($ Thousands):

Change in unrealized appreciation or (depreciation) on derivatives recognized in income ($ Thousands):

The following table discloses the volume of the Funds' futures contracts, option contracts, forward foreign currency contracts and swap contracts (if applicable) activity during the period ended December 31, 2022 ($ Thousands):

The cost of security purchases and the proceeds from the sale and maturities of securities, excluding U.S. government and other short-term investments, for the period ended December 31, 2022, were as follows:

It is each Fund’s intention to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code and distribute all of its taxable income (including net capital gains). Accordingly, no provision for federal income tax is required.

Dividends from net investment income and distributions from net realized capital gains are determined in accordance with U.S. Federal income tax regulations, which may differ from those amounts determined under U.S. GAAP. These book/tax differences are either temporary or permanent in nature. To the extent these differences are permanent, they are charged or credited to paid-in capital or distributable earnings (loss), as appropriate, in the period that the differences arise.

The tax character of dividends and distributions paid during the last two years ended June 30 were as follows:

As of June 30, 2022, the components of distributable earnings (accumulated losses) were as follows:

For Federal income tax purposes, the cost of securities owned at June 30, 2022, and the net realized gains or losses on securities sold for the period were not materially different from amounts reported for financial reporting purposes. These differences are primarily due to wash sales, MLP basis adjustments and basis adjustments from investments in registered investment companies which cannot be used for Federal income tax purposes in the current year and have been deferred for use in future years.

For Federal income tax purposes, capital loss carryforwards may be carried forward and applied against future capital gains. Under the Regulated Investment Company Modernization Act of 2010, Funds are permitted to carry forward capital losses for an unlimited period. Losses carried forward are as follows:

The aggregate gross unrealized appreciation and depreciation on total investments held by the Funds at December 31, 2022 was as follows:

Management has analyzed the Funds’ tax positions taken on Federal income tax returns for all open tax years and has concluded that as of December 31, 2022, no provision for income tax would be required in the Funds’ financial statements. The Funds’ Federal and state income and Federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state departments of revenue.

In the normal course of business, the Trust enters into contracts that provide general indemnifications by the Trust to the counterparty to the contract. The Trust’s maximum exposure under these arrangements is dependent on future claims that may be made against the Trust and, therefore, cannot be estimated; however, management believes that, based on experience, the risk of loss from such claims is considered remote.

Asset Allocation Risk — The risk that SIMC’s decisions regarding the allocation of a Balance Funds assets to the Growth Fund and Income Fund will not anticipate market trends successfully.

Asset-Backed Securities Risk — Payment of principal and interest on asset-backed securities is dependent largely on the cash flows generated by the assets backing the securities. Securitization trusts generally do not have any assets or sources of funds other than the receivables and related property they own, and asset-backed securities are generally not insured or guaranteed by the related sponsor or any other entity. Asset-backed securities may be more illiquid than more conventional types of fixed income securities that the Fund may acquire.

Below Investment Grade Securities (Junk Bonds) Risk — Fixed income securities rated below investment grade (junk bonds) involve greater risks of default or downgrade and are generally more volatile than investment grade securities because the prospect for repayment of principal and interest of many of these securities is speculative. Because these securities typically offer a higher rate of return to compensate investors for these risks, they are sometimes referred to as “high yield bonds,” but there is no guarantee that an investment in these securities will result in a high rate of return. These risks may be increased in foreign and emerging markets.

Corporate Fixed Income Securities Risk — Corporate fixed income securities respond to economic developments, especially changes in interest rates, as well as perceptions of the creditworthiness and business prospects of individual issuers.

Credit Risk — The risk that the issuer of a security or the counterparty to a contract will default or otherwise become unable to honor a financial obligation.

Currency Risk — As a result of the Fund's investments in securities denominated in, and/or receiving revenues in, foreign currencies, the Fund will be subject to currency risk. Currency risk is the risk that foreign currencies will decline in value relative to the U.S. dollar or, in the case of hedging positions, that the U.S. dollar will decline in value relative to the currency hedged. In either event, the dollar value of an investment in the Fund would be adversely affected. Due to the Fund's investments in securities denominated in foreign currencies, it will be subject to the risk that currency exchange rates may fluctuate in response to, among other things, changes in interest rates, intervention (or failure to intervene) by U.S. or foreign governments, central banks or supranational entities, or by the imposition of currency controls or other political developments in the United States or abroad.

Derivatives Risk — The Funds’ use of futures, options and swaps is subject to market risk, leverage risk, correlation risk and liquidity risk. Market risk and liquidity risk are described below. Leverage risk is the risk that the Fund's total investment exposure substantially exceeds the value of its portfolio securities. Correlation risk is the risk that changes in the value of the derivative may not correlate perfectly with the underlying asset, rate or index. Liquidity risk is the risk that certain securities may be difficult or impossible to sell at the time and the price that the Fund would like. The Fund may have to lower the price of the security, sell other securities instead or forego an investment opportunity, any of which could have a negative effect on Fund management or performance. Each of these risks could cause the Fund to lose more than the principal amount invested in a derivative instrument. The Fund's use of derivatives may also increase the amount of taxes payable by shareholders. Both U.S. and non-U.S. regulators have adopted and implemented regulations governing derivatives markets, the ultimate impact of which remains unclear.

Duration Risk — The longer-term securities in which the Fund may invest are more volatile. A portfolio with a longer average portfolio duration is more sensitive to changes in interest rates than a portfolio with a shorter average portfolio duration.

Economic Risks of Global Health Events — Global health events and pandemics, such as COVID-19, have the ability to affect—quickly, drastically and substantially the economies of many nations, states, individual companies and the markets in general and can cause disruptions that cannot necessarily be foreseen. The spread of COVID-19 around the world in 2020 resulted in a substantial number of nations implementing social distancing measures, quarantines, and the shutdown of non-essential businesses and governmental services. Further, it has caused significant volatility in U.S. and international markets. The impact of the outbreak may be short term or may last for an extended period of time.

Equity Market Risk — The risk that the market value of a security may move up and down, sometimes rapidly and unpredictably. Market risk may affect a single issuer, an industry, a sector or the equity or bond market as a whole.

Extension Risk — The risk that rising interest rates may extend the duration of a fixed income security, typically reducing the security’s value.

Fixed Income Market Risk — The prices of the Fund’s fixed income securities respond to economic developments, particularly interest rate changes, as well as to perceptions about the creditworthiness of individual issuers, including governments and their agencies. Generally, the Fund’s fixed income securities will decrease in value if interest rates rise and vice versa. In a low interest rate environment, risks associated with rising rates are heightened. In the case of foreign securities, price fluctuations will reflect international economic and political events, as well as changes in currency valuations relative to the U.S. dollar.

Foreign Investment/Emerging Markets Risk — The risk that non-U.S. securities may be subject to additional risks due to, among other things, political, social and economic developments abroad, currency movements and different legal, regulatory, tax, accounting and audit environments. These additional risks may be heightened with respect to emerging market countries because political turmoil and rapid changes in economic conditions are more likely to occur in these countries. Investments in emerging markets are subject to the added risk that information in emerging market investments may be unreliable or outdated due to differences in regulatory, accounting or auditing and financial record keeping standards, or because less information about emerging market investments is publicly available. In addition, the rights and remedies associated with emerging market investments may be different than investments in developed markets. A lack of reliable information, rights and remedies increase the risks of investing in emerging markets in comparison to more developed markets. In addition, periodic U.S. Government restrictions on investments in issuers from certain foreign countries may require the Fund to sell such investments at inopportune times, which could result in losses to the Fund.

Foreign Sovereign Debt Securities Risk — The risks that (i) the governmental entity that controls the repayment of sovereign debt may not be willing or able to repay the principal and/or interest when it becomes due because of factors such as debt service burden, political constraints, cash flow problems and other national economic factors; (ii) governments may default on their debt securities, which may require holders of such securities to participate in debt rescheduling or additional lending to defaulting governments; and (iii) there is no bankruptcy proceeding by which defaulted sovereign debt may be collected in whole or in part.

Interest Rate Risk — The risk that a change in interest rates will cause a fall in the value of fixed income securities, including U.S. Government securities, in which the Fund invests. Generally, the value of the Fund’s fixed income securities will vary inversely with the direction of prevailing interest rates. Changing interest rates may have unpredictable effects on the markets and may affect the value and liquidity of instruments held by the Fund. Although U.S. Government securities are considered to be among the safest investments, they are not guaranteed against price movements due to changing interest rates.

Investment Style Risk — The risk that the equity or fixed income securities in which a Fund invests may underperform other segments of the equity or fixed income markets or the equity or fixed income markets as a whole.

Liquidity Risk — The risk that certain securities may be difficult or impossible to sell at the time and the price that the Fund would like. The Fund may have to accept a lower price to sell a security, sell other securities to raise cash or give up an investment opportunity, any of which could have a negative effect on Fund management or performance.

Mortgage-Backed Securities Risk —Mortgage-backed securities are affected significantly by the rate of prepayments and modifications of the mortgage loans backing those securities, as well as by other factors such as borrower defaults, delinquencies, realized or liquidation losses and other shortfalls. Mortgage-backed securities are particularly sensitive to prepayment risk, which is described below, given that the term to maturity for mortgage loans is generally substantially longer than the expected lives of those securities; however, the timing and amount of prepayments cannot be accurately predicted. The timing of changes in the rate of prepayments of the mortgage loans may significantly affect the Fund’s actual yield to maturity on any mortgage-backed securities, even if the average rate of principal payments is consistent with the Fund’s expectation. Along with prepayment risk, mortgage-backed securities are significantly affected by interest rate risk, which is described above. In a low interest rate environment, mortgage loan prepayments would generally be expected to increase due to factors such as refinancings and loan modifications at lower interest rates. In contrast, if prevailing interest rates rise, prepayments of mortgage loans would generally be expected to decline and therefore extend the weighted average lives of mortgage-backed securities held or acquired by the Fund.

Mortgage Dollar Rolls Risk — Mortgage dollar rolls are transactions in which the Fund sells securities (usually mortgage-backed securities) and simultaneously contracts to repurchase substantially similar, but not identical, securities on a specified future date. If the broker-dealer to whom the Fund sells the security becomes insolvent, the Fund's right to repurchase the security may be restricted. Other risks involved in entering into mortgage dollar rolls include the risk that the value of the security may change adversely over the term of the mortgage dollar roll and that the security the Fund is required to repurchase may be worth less than the security that the Fund originally held.

Opportunity Risk — The risk of missing out on an investment opportunity because the assets necessary to take advantage of it are tied up in other investments.

Portfolio Turnover Risk — Due to its investment strategy, the Fund may buy and sell securities frequently. This may result in higher transaction costs and taxes subject to ordinary income tax rates as opposed to more favorable capital gains rates, which may affect the Fund’s performance.

Prepayment Risk — The risk that, in a declining interest rate environment, fixed income securities with stated interest rates may have the principal paid earlier than expected, requiring the Fund to invest the proceeds at generally lower interest rates.

Repurchase Agreement Risk — Although repurchase agreement transactions must be fully collateralized at all times, they generally create leverage and involve some counterparty risk to the Fund whereby a defaulting counterparty could delay or prevent the Fund’s recovery of collateral.

Small Capitalization Risk — Smaller capitalization companies in which the Fund may invest may be more vulnerable to adverse business or economic events than larger, more established companies. In particular, small capitalization companies may have limited product lines, markets and financial resources and may depend upon a relatively small management group. Therefore, small capitalization stocks may be more volatile than those of larger companies. Small capitalization stocks may be traded over-the-counter (OTC). OTC stocks may trade less frequently and in smaller volume than exchange listed stocks and may have more price volatility than that of exchange-listed stocks.

Social-Witness Principles/Socially Responsible Investing Risk — The Fund considers social-witness principles and Sub-Advisers’ ESG criteria in its investment process and may choose not to purchase, or may sell, otherwise profitable investments in companies which have been identified as being in conflict with its established social-witness principles and other socially responsible investing principles. This means that the Fund may underperform other similar mutual funds that do not consider social-witness principles and other socially responsible investing principles in their investing.

U.S. Government Securities Risk — Although U.S. Government securities are considered to be among the safest investments, they are still subject to the credit risk of the U.S. Government and are not guaranteed against price movements due to changing interest rates. Obligations issued by some U.S. Government agencies are backed by the U.S. Treasury, while others are backed solely by the ability of the agency to borrow from the U.S. Treasury or by the agency’s own resources. No assurance can be given that the U.S. Government will provide financial support to its agencies and instrumentalities if it is not obligated by law to do so.

The Balanced Growth Fund and Balanced Income Fund invest their assets primarily in the Growth Fund and the Income Fund. By investing primarily in shares of these Funds, shareholders of the Balanced Funds indirectly pay a portion of the operating expenses, management fees and brokerage costs of the underlying Funds as well as their own operating expenses. Thus, shareholders of the Balanced Funds may indirectly pay slightly higher total operating

expenses and other costs than they would pay by directly owning shares of the Growth Fund and Income Fund. A change in the asset allocation of either Balanced Fund could increase or reduce the fees and expenses actually borne by investors in that Fund. The Balanced Funds are also subject to rebalancing risk. Rebalancing activities, while undertaken to maintain a Fund’s investment risk-to- reward ratio, may cause the Fund to under-perform other funds with similar investment objectives. For the Balanced Growth Fund, it is possible after rebalancing from equities into a greater percentage of fixed-income securities, that equities will outperform fixed income investments. For the Balanced Income Fund, it is possible that after rebalancing from fixed-income securities into a greater percentage of equity securities, that fixed-income securities will outperform equity investments. The performance of the Balanced Growth Fund and the Balanced Income Fund depends on the performance of the underlying Funds in which they invest.

On December 31, 2022, the number of shareholders below held the following percentage of the outstanding shares of the Funds. These shareholders are affiliated with the Funds.

The U.K. Financial Conduct Authority stopped compelling or inducing banks to submit certain London Inter-Bank Offered Rate (LIBOR) rates. The publication of LIBOR on a representative basis ceased for the one-week and two-month U.S. dollar LIBOR settings immediately after December 31, 2021, and is expected to cease for the remaining U.S. dollar LIBOR settings immediately after June 30, 2023. The elimination of the LIBOR may adversely affect the interest rates on, and value of, certain Fund investments for which the value is tied to LIBOR. Such investments may include bank loans, derivatives, floating rate securities, and other assets or liabilities tied to LIBOR. Actions by regulators have resulted in the establishment of alternative reference rates to LIBOR in most major currencies. The U.S. Federal Reserve, based on the recommendations of the New York Federal Reserve’s Alternative Reference Rate Committee (comprised of major derivative market participants and their regulators), has begun publishing a Secured Overnight Financing Rate (SOFR), which is intended to replace U.S. dollar LIBOR. Alternative reference rates for other currencies have also been announced or have already begun publication. Markets are slowly developing in response to these new rates. Questions around liquidity impacted by these rates, and how to appropriately adjust these rates at the time of transition, remain a concern for a Fund. The effect of any changes to, or discontinuation of, LIBOR on a Fund will vary depending on, among other things, (1) existing fallback or termination provisions in individual contracts and (2) whether, how, and when industry participants develop and adopt new reference rates and fallbacks for both legacy and new products and instruments. Accordingly, it is difficult to predict the full impact of the transition away from LIBOR on a Fund until new reference rates and fallbacks for both legacy and new products, instruments and contracts are commercially accepted.

Management has evaluated the need for disclosures and/or adjustments resulting from subsequent events through the date the financial statements were issued. Based on this evaluation, no disclosures and/or adjustments were required to the financial statements as of December 31, 2022.

All mutual funds have operating expenses. As a shareholder of a mutual fund, your investment is affected by these ongoing costs, which include (among others) costs for portfolio management, administrative services, and shareholder reports like this one. It is important for you to understand the impact of these costs on your investment returns.

Operating expenses such as these are deducted from the mutual fund’s gross income and directly reduce its final investment return. These expenses are expressed as a percentage of the mutual fund’s average net assets; this percentage is known as the mutual fund’s expense ratio.

The following examples use the expense ratio and are intended to help you understand the ongoing costs (in dollars) of investing in your Fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period (July 1, 2022 to December 31, 2022).

Actual Fund Return: This section helps you to estimate the actual expenses after fee waivers that your Fund incurred over the period. The “Expenses Paid During Period” column shows the actual dollar expense cost incurred by a $1,000 investment in the Fund, and the “Ending Account Value” number is derived from deducting that expense cost from the Fund’s gross investment return.

You can use this information, together with the actual amount you invested in your Fund, to estimate the expenses you paid over that period. Simply divide your actual starting account value by $1,000 to arrive at a ratio (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply that ratio by the number shown for your Fund under “Expenses Paid During Period.”

Hypothetical 5% Return: This section helps you compare your Fund’s costs with those of other mutual funds. It assumes that your Fund had an annual 5% return before expenses during the year, but that the expense ratio (Column 3) is unchanged. This example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to make this 5% calculation. You can assess your Fund’s comparative cost by comparing the hypothetical result for your Fund in the “Expenses Paid During Period” column with those that appear in the same charts in the shareholder reports for other mutual funds.

NOTE: Because the return is set at 5% for comparison purposes — NOT your Fund’s actual return — the account values shown do not apply to your specific investment.

BOARD OF TRUSTEES CONSIDERATIONS IN APPROVING THE ADVISORY AND SUB-ADVISORY AGREEMENTS (Unaudited)

New Covenant Funds (the “Trust”) and SEI Investments Management Corporation (“SIMC”) have entered into an investment advisory agreement (the “Advisory Agreement”), pursuant to which SIMC provides investment advisory services to the series of the Trust (the “Funds”). Pursuant to separate sub-advisory agreements with SIMC (the “Sub-Advisory Agreements” and, together with the Advisory Agreement, the “Investment Advisory Agreements”), and under the supervision of SIMC and the Trust’s Board of Trustees (each member, a “Trustee” and, collectively, the “Trustees” or the “Board”), the sub-advisers (each, a “Sub-Adviser” and collectively, the “Sub-Advisers”) provide security selection and certain other advisory services with respect to all or a discrete portion of the assets of the Funds. The Sub-Advisers are also responsible for managing their employees who provide services to the Funds. The Sub-Advisers are selected based primarily upon the research and recommendations of SIMC, which evaluates quantitatively and qualitatively the Sub-Advisers’ skills and investment results in managing assets for specific asset classes, investment styles and strategies.

The Investment Company Act of 1940, as amended (the “1940 Act”), requires that the initial approval of a Fund’s Investment Advisory Agreements be specifically approved by the vote of a majority of the outstanding shareholders of the Funds and the vote of a majority of the Trustees who are not parties to the Investment Advisory Agreements or “interested persons” of any party (the “Independent Trustees”) cast in person (or otherwise, as consistent with applicable laws, regulations and related guidance and relief) at a meeting called for such purpose. In addition, the 1940 Act requires that the continuation or renewal of any Investment Advisory Agreement be approved at least annually (after an initial period of up to two years), which also requires the vote of a majority of the Board, including a majority of the Independent Trustees. In connection with their consideration of such renewals, the Funds’ Trustees must request and evaluate, and SIMC and the Sub-Advisers are required to furnish, such information as may be reasonably necessary to evaluate the terms of the Investment Advisory Agreements. In addition, the Securities and Exchange Commission takes the position that, as part of their fiduciary duties with respect to a mutual fund’s fees, mutual fund boards are required to evaluate the material factors applicable to a decision to approve or renew an Investment Advisory Agreement.

Consistent with these responsibilities, the Board calls and holds meetings each year to consider whether to approve new and/or renew existing Investment Advisory Agreements between the Trust and SIMC and SIMC and the Sub-Advisers with respect to the Funds of the Trust. In preparation for these meetings, the Board requests and reviews a wide variety of materials provided by SIMC and the Sub-Advisers, including information about SIMC’s and the Sub-Advisers’ affiliates, personnel and operations and the services provided pursuant to the Investment Advisory Agreements. The Board also receives data from third parties. This information is provided in addition to the detailed information about the Funds that the Board reviews during the course of each year, including information that relates to Fund operations and Fund performance. The Trustees also receive a memorandum from counsel regarding the responsibilities of Trustees in connection with their consideration of whether to renew the Trust’s Investment Advisory Agreements. Finally, the Independent Trustees receive advice from independent counsel to the Independent Trustees, meet in executive sessions outside the presence of Fund management and participate in question and answer sessions with representatives of SIMC and the Sub-Advisers.

Specifically, during the first half of the Trust’s fiscal year, the Board requested and received written materials from SIMC and the Sub-Advisers regarding: (i) the quality of each Sub-Adviser’s investment management and other services; (ii) each Sub-Adviser’s investment management personnel; (iii) each Sub-Adviser’s operations and financial condition; (iv) each Sub-Adviser’s brokerage practices (including any soft dollar arrangements) and investment strategies; (v) the level of the sub-advisory fees that SIMC pays each Sub-Adviser, compared with fees each charge to comparable accounts; (vi) the level of each Sub-Adviser’s profitability from their Fund-related operations; (vii) each Sub-Adviser’s compliance program, including a description of material compliance matters and material compliance violations; (viii) each Sub-Adviser’s policies on and compliance procedures for personal securities transactions; (ix) each Sub-Adviser’s expertise and resources in domestic and/or international financial markets; and (x) the Funds’ performance over various periods of time.

Certain Sub-Advisory Agreements were renewed at meetings of the Board held during the course of the Trust’s fiscal year on September 6-8, 2022 and December 5-7, 2022. In each case, the Board’s renewal was based on its consideration and evaluation of the factors described above, as discussed at the meetings and at prior meetings. The following discusses some, but not all, of the factors that were considered by the Board in connection with its assessment of the Sub-Advisory Agreements.

BOARD OF TRUSTEES CONSIDERATIONS IN APPROVING THE ADVISORY AND SUB-ADVISORY AGREEMENTS (Unaudited) (Concluded)

Nature, Extent and Quality of Services. The Board considered the nature, extent and quality of the services provided by the Sub-Advisers to the Funds and the resources of the Sub-Advisers and their affiliates dedicated to the Funds. In this regard, the Trustees evaluated, among other things, each Sub-Adviser’s personnel, experience, track record and compliance program. Following evaluation, the Board concluded that, within the context of its full deliberations, the nature, extent and quality of services provided by the Sub-Advisers to the Funds and the resources of the Sub-Advisers and their affiliates dedicated to the Funds were sufficient to support the renewal of the Sub-Advisory Agreements.

Performance. The Trustees were provided with regular reports regarding the Funds’ performance, and the Sub-Advisers’ contribution thereto, over various time periods. The Trustees also considered the Funds’ performance relative to their peer groups and appropriate indexes/benchmarks. The Trustees found Fund performance satisfactory, or, where performance was materially below the benchmark and/or peer group, the Trustees were satisfied with the reasons provided to explain such performance. In connection with the renewal of Sub-Advisory Agreements, the Board considered the performance of each Sub-Adviser relative to appropriate indexes/benchmarks. Following evaluation, the Board concluded that, within the context of its full deliberations, the performance of each Sub-Adviser was sufficient to support the renewal of each Sub-Advisory Agreement.

Fees. With respect to the Funds’ expenses under the Sub-Advisory Agreements, the Trustees considered the rate of compensation called for by the Sub-Advisory Agreements and the Funds’ net operating expense ratios in comparison to those of the Funds’ respective peer groups. Based on the materials considered and discussion at the meetings, the Trustees further determined that fees were either shown to be below the peer average in the comparative fee analysis, or that there was a reasonable basis for the fee level. When considering fees paid to Sub-Advisers, the Board took into account the fact that the Sub-Advisers are compensated by SIMC and not by the Funds directly, and that such compensation with respect to any unaffiliated Sub-Adviser reflects an arms-length negotiation between the Sub-Adviser and SIMC. Following evaluation, the Board concluded that, within the context of its full deliberations, the expenses of the Funds are reasonable and supported the renewal of the Sub-Advisory Agreements. The Board also considered whether the Sub-Advisers and their affiliates may have realized other benefits from their relationship with the Funds, such as any research and brokerage services received under soft dollar arrangements.

Profitability. With regard to profitability, the Trustees considered compensation flowing to the Sub-Advisers and their affiliates, directly or indirectly. The Trustees considered whether the levels of compensation and profitability were reasonable. As with the fee levels, when considering the profitability of the Sub-Advisers, the Board took into account the fact that compensation with respect to any unaffiliated Sub-Adviser reflects an arms-length negotiation between the Sub-Adviser and SIMC. In connection with the renewal of each Sub-Advisory Agreement, the Board also took into consideration the impact that the fees paid to the Sub-Adviser have on SIMC’s advisory fee margin and profitability. Based on this evaluation, the Board concluded that, within the context of its full deliberations, the profitability of each of the Sub-Advisers is reasonable and supported the renewal of the Sub-Advisory Agreements.

Economies of Scale. The Trustees considered whether any economies of scale were being realized by the Sub-Advisers in connection with the Funds as Fund assets grow, and, if so, whether the benefits of such economies of scale were passed along to the Funds or Funds’ shareholders through a graduated investment advisory fee schedule or other means. The Trustees recognized that economies of scale are difficult to identify and quantify and are rarely identifiable on a fund-by-fund basis. Based on this evaluation, the Board determined that the sub-advisory fees were reasonable in light of the information that was provided by the Sub-Advisers with respect to economies of scale.

Based on the Trustees’ deliberation and their evaluation of the information described above, the Board, including all of the Independent Trustees, with the assistance of Fund counsel and Independent Trustees’ counsel, unanimously approved the renewal of the Sub-Advisory Agreements and concluded that the compensation under the Sub-Advisory Agreements is fair and reasonable in light of such services and expenses and such other matters as the Trustees considered to be relevant in the exercise of their reasonable judgment. In the course of its deliberations, the Board did not identify any particular factor (or conclusion with respect thereto) or single piece of information that was all-important, controlling or determinative of its decision, but considered all of the factors together, and each Trustee may have attributed different weights to the various factors (and conclusions with respect thereto) and information.

Trustees

Robert A. Nesher, Chairman

William M. Doran

Nina Lesavoy

James M. Williams

Hubert L. Harris, Jr.

Susan C. Cote

James B. Taylor

Christine Reynolds

Officers

Robert A. Nesher

President and Chief Executive Officer

Ankit Puri

Controller and Chief Financial Officer

Glenn R. Kurdziel

Assistant Controller

Stephen Panner

Chief Compliance Officer

Timothy D. Barto

Vice President, Assistant Secretary

David F. McCann

Vice President, Assistant Secretary

Katherine Mason

Vice President, Assistant Secretary

Stephen G. MacRae

Vice President

Bridget Sudall

Anti-Money Laundering Compliance Officer

Privacy Officer

Investment Adviser

SEI Investments Management Corporation

Administrator

SEI Investments Global Funds Services

Distributor

SEI Investments Distribution Co.

Legal Counsel

Morgan, Lewis & Bockius LLP

Independent Registered Public Accounting Firm

KPMG LLP

This report and the financial statements contained herein are submitted for the general information of the shareholders of the Trust and must be preceded or accompanied by a current prospectus. Shares of the Funds are not deposits or obligations of, or guaranteed or endorsed by, any bank. The shares are not federally insured by the Federal Deposit Insurance Corporation (FDIC), the Federal Reserve Board, or any other government agency. Investment in the shares involves risk, including the possible loss of principal.

For more information call

New Covenant Fund

877-835-4531

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Item 9. Purchases of Equity Securities by Closed-End Management Company and Affiliated Purchasers.

There have been no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees (the “Board”). The Registrant has a standing Governance Committee (the “Committee”) currently consisting of the Independent Trustees. The Committee is responsible for evaluating and recommending nominees for election to the Board. Pursuant to the Committee’s Charter, adopted on February 22, 2012, the Committee will review all shareholder recommendations for nominations to fill vacancies on the Board if such recommendations are submitted in writing and addressed to the Committee at the Registrant’s office.

(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 (the “1940 Act”)) are effective, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 as of a date within 90 days of the filing date of this report.

(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) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

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.

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.

Type of Contract	Number of Contracts		Expiration Date		Notional Amount (Thousands)		Value (Thousands)		Unrealized Appreciation/ (Depreciation) (Thousands)
Long Contracts
Russell 2000 Index E-MINI		13		Mar-2023	$	1,174	$	1,151	$	(23	)
S&P 500 Index E-MINI		33		Mar-2023		6,530		6,371		(159	)
					$	7,704	$	7,522	$	(182	)

Schedules of Investments	1
Statements of Assets and Liabilities	41
Statements of Operations	42
Statements of Changes in Net Assets	43
Financial Highlights	45
Notes to Financial Statements	49
Disclosure of Fund Expenses	64
Board of Trustees Considerations in Approving the Advisory and Sub-Advisory Agreements	65

Description	Number of Contracts		Notional Amount (Thousands)		Exercise Price		Expiration Date		Value (Thousands)
PURCHASED OPTIONS — 0.0%
Call Options
January 2023, One-Year SOFR*		70	$	25		96.63		1/16/2023	$	9
January 2023, One-Year SOFR*		73		31		95.88		1/16/2023		27
February 2023, U.S. 10 Year Future Option*		14		12		114.00		1/30/2023		4



Total Purchased Options			$	68					$	40

Security Description	Value 6/30/2022		Purchases at Cost		Proceeds from Sales			Realized Gain/(Loss)			Change in Unrealized Appreciation/(Depreciation)			Value 12/31/2022		Income		Capital Gains
New Covenant Income Fund	$	125,653	$	14,996	$	(11,688	)	$	(4,502	)	$	(2,427	)	$	122,032	$	1,503	$	—
New Covenant Growth Fund		197,912		8,934		(20,432	)		1,574			2,996			190,984		1,341		2,093
SEI Daily Income Trust, Government Fund, Cl F		2,729		15,359		(14,688	)		—			—			3,400		30		—
Totals	$	326,294	$	39,289	$	(46,808	)	$	(2,928	)	$	569		$	316,416	$	2,874	$	2,093

	Growth Fund			Income Fund			Balanced Growth Fund			Balanced Income Fund
Assets:
Investments, at value^†	$	481,339		$	366,349		$	—		$	—
Affiliated investments, at value^†^†		7,107			5,129			316,416			82,765
Cash and cash equivalents		2,492			—			—			—
Dividends and interest receivable		481			2,092			276			118
Cash pledged as collateral for futures contracts		436			810			—			—
Foreign tax reclaim receivable		83			37			—			—
Receivable for fund shares sold		26			27			382			2
Receivable for investment securities sold		—			16,646			—			—
Receivable for variation margin on futures contracts		—			84			—			—
Prepaid expenses		18			13			12			4
Total Assets		491,982			391,187			317,086			82,889
Liabilities:
Investment advisory fees payable		99			86			—			—
Administration fees payable		79			52			21			7
Social witness and licensing fees payable		65			44			—			—
Shareholder servicing fees payable		43			31			—			—
Payable for variation margin on futures contracts		22			38			—			—
Payable for fund shares redeemed		10			20			461			—
Trustees' fees payable		3			2			2			1
CCO fees payable		2			1			1			—
Payable for investment securities purchased		—			36,576			—			—
Income distribution payable		—			705			—			—
Payable to custodian		—			175			—			—
Accrued expense payable		79			111			56			16
Total Liabilities		402			37,841			541			24
Net Assets	$	491,580		$	353,346		$	316,545		$	82,865
^† Cost of investments	$	288,885		$	407,265		$	—		$	—
^†^† Cost of affiliated investments		7,107			5,129			246,115			75,653
Net Assets:
Paid-in Capital — (unlimited authorization — par value $0.001)	$	298,435		$	407,833		$	259,453		$	80,102
Total distributable earnings/(loss)		193,145			(54,487	)		57,092			2,763
Net Assets	$	491,580		$	353,346		$	316,545		$	82,865
Net Asset Value, Offering and Redemption Price Per Share	$	48.79		$	20.48		$	100.42		$	19.69
		(491,579,761 ÷ 10,075,842 shares	)		(353,345,895 ÷ 17,252,962 shares	)		(316,545,144 ÷ 3,152,280 shares	)		(82,864,691 ÷ 4,207,043 shares	)

	Growth Fund						Income Fund
	07/01/22 to 12/31/22			07/01/21 to 06/30/22			07/01/22 to 12/31/22			07/01/21 to 06/30/22
Operations:
Net investment income	$	2,441		$	3,665		$	4,092		$	4,903
Net realized gain (loss)		4,850			13,643			(6,556	)		(6,337	)
Net change in unrealized appreciation (depreciation)		6,219			(94,548	)		(7,569	)		(39,277	)
Net increase (decrease) in net assets resulting from operations		13,510			(77,240	)		(10,033	)		(40,711	)
Distributions:
Total distributions		(8,829	)		(33,098	)		(4,350	)		(7,722	)
Capital Share Transactions:
Proceeds from shares issued		15,204			54,825			21,650			63,080
Reinvestment of dividends & distributions		5,861			29,378			368			1,569
Cost of shares redeemed		(31,321	)		(59,338	)		(35,551	)		(44,923	)
Increase (decrease) in net assets derived from capital share transactions		(10,256	)		24,865			(13,533	)		19,726
Net decrease in net assets		(5,575	)		(85,473	)		(27,916	)		(28,707	)
Net Assets:
Beginning of Period		497,155			582,628			381,262			409,969
End of Period	$	491,580		$	497,155		$	353,346		$	381,262
Share Transactions:
Shares issued		305			996			1,030			2,725
Shares issued in lieu of dividends and distributions		118			482			18			68
Shares redeemed		(608	)		(1,008	)		(1,724	)		(2,025	)
Increase (decrease) in net assets derived from share transactions		(185	)		470			(676	)		768


Growth Fund
		2022@			2022		2021			2020				2019			2018
Net Asset Value, Beginning of Period	$	48.45		$	59.51		$	43.44		$	42.86		$	43.17		$	40.15
Investment Activities:
Net investment income⁽¹⁾		0.24			0.37			0.36			0.51			0.50			0.46
Net realized and unrealized gains (losses) on securities ⁽¹⁾		0.98			(7.95	)		17.75			2.56			2.28			5.34
Total from investment activities		1.22			(7.58	)		18.11			3.07			2.78			5.80
Dividends and Distributions from:
Net investment income		(0.34	)		(0.35	)		(0.40	)		(0.50	)		(0.50	)		(0.39	)
Net realized gains		(0.54	)		(3.13	)		(1.64	)		(1.99	)		(2.59	)		(2.39	)
Total dividends and distributions		(0.88	)		(3.48	)		(2.04	)		(2.49	)		(3.09	)		(2.78	)
Net Asset Value, End of Period	$	48.79		$	48.45		$	59.51		$	43.44		$	42.86		$	43.17
Total Return^†		2.51	%		(13.92	)%		42.58	%		7.18	%		7.21	%		14.74	%
Supplemental Data and Ratios:
Net assets, end of period ($ Thousands)	$	491,580		$	497,155		$	582,628		$	461,493		$	448,958		$	428,674
Ratio of net expenses to average net assets		0.72	%		0.72	%		0.72	%		0.72	%		0.85	%		0.87	%
Ratio of expenses to average net assets, excluding waivers		0.97	%		0.97	%		0.97	%		0.99	%		1.12	%		1.12	%
Ratio of net investment income to average net assets		0.95	%		0.64	%		0.69	%		1.19	%		1.19	%		1.08	%
Portfolio turnover rate		2	%		5	%		4	%		19	%		47	%		24	%

^†	Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
(1)	Per share net investment income and net realized and unrealized gains/(losses) calculated using average shares.
@	For the six month period ended December 31, 2022. All ratios for the period have been annualized.

	Growth Fund	Long-term capital appreciation. A modest amount of dividend income may be produced by the Fund’s equity securities.
	Income Fund	High level of current income with preservation of capital.
	Balanced Growth Fund	Capital appreciation with less risk than would be present in a portfolio of only common stocks.
	Balanced Income Fund	Current income and long-term growth of capital.

	First $2.5 Billion		Next $500 Million		Over $3 Billion
Growth Fund	0.2000	%	0.1650	%	0.1200	%

	First $1.5 Billion		Next $500 Million		Next $500 Million		Next $500 Million		Over $3 Billion
Income Fund	0.2000	%	0.1775	%	0.1550	%	0.1325	%	0.1100	%
Balanced Growth Fund	0.1500	%	0.1375	%	0.1250	%	0.1125	%	0.1000	%
Balanced Income Fund	0.1500	%	0.1375	%	0.1250	%	0.1125	%	0.1000	%

	Asset Derivatives				Liability Derivatives
	Statements of Assets and Liabilities Location	Fair Value			Statements of Assets and Liabilities Location	Fair Value
Growth Fund
Equity contracts	Unrealized appreciation on futures contracts	$	—	*	Unrealized depreciation on futures contracts	$	182	*
Total derivatives not accounted for as hedging instruments		$	—			$	182

Income Fund
Interest rate contracts	Investments, at value**	$	40		Options written, at value	$	—
	Unrealized appreciation on futures contracts		893	*	Unrealized depreciation on futures contracts		114	*
Total derivatives not accounted for as hedging instruments		$	933			$	114

Derivatives Not Accounted for as Hedging Instruments	Purchased Options and Swaptions			Written Options and Swaptions		Futures		Forward Currency Contracts		Swaps		Total
Growth Fund
Equity contracts	$	—		$	—	$	1,138	$	—	$	—	$	1,138
Income Fund
Interest rate contracts	$	(364	)	$	517	$	339	$	—	$	—	$	492

	Growth Fund		Income Fund
Futures Contracts:
Average Notional Balance Long	$	9,677	$	104,270
Average Notional Balance Short		—		70,729
Options/Swaptions:
Average Notional Balance Long		—		372
Average Notional Balance Short		—		1,076

	U.S. Gov't ($ Thousands)		Other ($ Thousands)		Total ($ Thousands)
Growth Fund
Purchases	$	—	$	10,461	$	10,461
Sales		—		15,684		15,684
Income Fund
Purchases		152,618		14,944		167,562
Sales		155,538		22,915		178,453
Balanced Growth Fund
Purchases		—		23,929		23,929
Sales		—		32,120		32,120
Balanced Income Fund
Purchases		—		3,533		3,533
Sales		—		12,247		12,247

			Ordinary Income ($ Thousands)		Long Term Capital Gains ($ Thousands)		Total Distributions Paid ($ Thousands)
Growth Fund		2022	$	6,699	$	26,399	$	33,098
	2021			7,269		12,953		20,222
Income Fund		2022		7,072		650		7,722
		2021		10,298		648		10,946
Balanced Growth Fund		2022		5,584		9,900		15,484
		2021		6,451		14,379		20,830
Balanced Income Fund		2022		1,378		3,184		4,562
		2021		2,013		2,437		4,450

	Undistributed Ordinary Income ($ Thousands)		Undistributed Long-Term Capital Gain ($ Thousands)		Capital Loss Carryforwards ($ Thousands)			Post- October Losses ($ Thousands)			Unrealized Appreciation (Depreciation) ($ Thousands)			Other Temporary Differences ($ Thousands)			Total Distributable Earnings (Accumulated Losses) ($ Thousands)
Growth Fund	$	583	$	3,026	$	—		$	—		$	184,852		$	3		$	188,464
Income Fund		660		—		(1,047	)		(6,334	)		(32,711	)		(672	)		(40,104	)
Balanced Growth Fund		36		10,098		—			—			56,839			(1	)		66,972
Balanced Income Fund		243		1,220		—			—			4,388			1			5,852

		Short-Term Loss ($ Thousands)				Long-Term Loss ($ Thousands)				Total ($ Thousands)
Income Fund		$	636			$	411			$	1,047

	Federal Tax Cost ($ Thousands)		Appreciated Securities ($ Thousands)		Depreciated Securities ($ Thousands)			Net Unrealized Appreciation (Depreciation) ($ Thousands)
Growth Fund	$	295,992	$	219,211	$	(26,757	)	$	192,454
Income Fund		412,394		640		(41,556	)		(40,916	)
Balanced Growth Fund		246,115		83,179		(12,878	)		70,301
Balanced Income Fund		75,653		13,572		(6,460	)		7,112

	# of Shareholders		% of Outstanding Shares
Growth Fund		3		77%
Income Fund		3		86%
Balanced Growth Fund		0		0%
Balanced Income Fund		2		13%

	Beginning Account Value 7/1/2022		Ending Account Value 12/31/22		Annualized Expense Ratios			Expenses Paid During Period*
Growth Fund
Actual Fund Return	$	1,000.00	$	1,025.10		0.72	%	$	3.68
Hypothetical 5% Return	$	1,000.00	$	1,021.58		0.72	%	$	3.67
Income Fund
Actual Fund Return	$	1,000.00	$	974.80		0.80	%	$	3.98
Hypothetical 5% Return	$	1,000.00	$	1,021.17		0.80	%	$	4.08
Balanced Growth Fund
Actual Fund Return	$	1,000.00	$	1,006.90		0.13	%	$	0.66
Hypothetical 5% Return	$	1,000.00	$	1,024.55		0.13	%	$	0.66
Balanced Income Fund
Actual Fund Return	$	1,000.00	$	993.40		0.15	%	$	0.75
Hypothetical 5% Return	$	1,000.00	$	1,024.45		0.15	%	$	0.77

		New Covenant Funds

By		/s/ Robert A. Nesher
		Robert A. Nesher
		President & CEO
Date: March 10, 2023