| Schedules of Investments | |
| Pax Core Bond Fund | September 30, 2020 |
| PERCENT OF NET ASSETS | SHARES/ | |||||||
| NAME OF ISSUER AND TITLE OF ISSUE | PRINCIPAL | VALUE | ||||||
| BONDS: 96.7% | ||||||||
| COMMUNITY INVESTMENT NOTES: 0.0% (a) | ||||||||
| CINI Investment Note, 2.000%, 10/31/2020 (b)(c) | $ | 286,933 | $ | 286,933 | ||||
| (Cost $286,933) | ||||||||
| CORPORATE BONDS: 37.9% | ||||||||
| COMMUNICATION SERVICES: 4.1% | ||||||||
| Alphabet, Inc., 1.900%, 08/15/40 | 700,000 | 676,213 | ||||||
| AT&T, Inc., 1.650%, 02/01/28 | 2,000,000 | 2,008,508 | ||||||
| AT&T, Inc., 4.300%, 02/15/30 | 1,000,000 | 1,187,158 | ||||||
| AT&T, Inc., 2.750%, 06/01/31 | 2,000,000 | 2,115,867 | ||||||
| AT&T, Inc., 3.100%, 02/01/43 | 1,500,000 | 1,471,202 | ||||||
| CCO Holdings, LLC/Capital Corp., 144A, 4.750%, 03/01/30 (d) | 1,000,000 | 1,060,000 | ||||||
| Charter Communications Operating, LLC/Capital, 5.050%, 03/30/29 | 1,000,000 | 1,200,240 | ||||||
| Discovery Communications, LLC, 3.950%, 03/20/28 | 1,500,000 | 1,708,569 | ||||||
| Discovery Communications, LLC, 4.125%, 05/15/29 | 500,000 | 575,612 | ||||||
| Level 3 Financing, Inc., 144A, 3.400%, 03/01/27 (d) | 500,000 | 539,547 | ||||||
| Level 3 Financing, Inc., 144A, 3.875%, 11/15/29 (d) | 1,000,000 | 1,084,706 | ||||||
| Switch, Ltd., 144A, 3.750%, 09/15/28 (d) | 1,000,000 | 1,012,500 | ||||||
| T-Mobile USA, Inc., 144A, 3.500%, 04/15/25 (d) | 1,500,000 | 1,647,450 | ||||||
| T-Mobile USA, Inc., 144A, 3.000%, 02/15/41 (d) | 1,000,000 | 991,980 | ||||||
| TWDC Enterprises 18 Corp., 3.750%, 06/01/21 | 2,026,000 | 2,073,165 | ||||||
| Verizon Communications, Inc., 3.875%, 02/08/29 | 2,000,000 | 2,371,039 | ||||||
| Verizon Communications, Inc., 1.500%, 09/18/30 | 3,000,000 | 2,996,851 | ||||||
| Verizon Communications, Inc., 4.500%, 08/10/33 | 1,000,000 | 1,270,920 | ||||||
| Virgin Media Secured Finance PLC, 144A, 5.500%, 08/15/26 (d) | 2,000,000 | 2,088,750 | ||||||
| Walt Disney Co., The, 1.750%, 08/30/24 | 2,000,000 | 2,084,053 | ||||||
| 30,164,330 | ||||||||
| CONSUMER DISCRETIONARY: 2.0% | ||||||||
| Amazon.com, Inc., 2.800%, 08/22/24 | 1,000,000 | 1,083,310 | ||||||
| Amazon.com, Inc., 2.500%, 06/03/50 | 1,000,000 | 1,026,386 | ||||||
| Doris Duke Charitable Foundation, The, 2.345%, 07/01/50 | 2,000,000 | 1,932,775 | ||||||
| eBay, Inc., 2.750%, 01/30/23 | 1,000,000 | 1,049,205 | ||||||
| Home Depot, Inc., The, 2.800%, 09/14/27 | 2,000,000 | 2,211,942 | ||||||
| Home Depot, Inc., The, 2.950%, 06/15/29 | 1,000,000 | 1,130,790 | ||||||
| Ross Stores, Inc., 3.375%, 09/15/24 | 2,000,000 | 2,154,604 | ||||||
| Sirius XM Radio, Inc., 144A, 4.625%, 07/15/24 (d) | 1,000,000 | 1,035,625 | ||||||
| Starbucks Corp., 4.450%, 08/15/49 | 2,000,000 | 2,418,708 | ||||||
| TJX Cos, Inc., The, 2.250%, 09/15/26 | 1,000,000 | 1,065,959 | ||||||
| 15,109,304 | ||||||||
| CONSUMER STAPLES: 2.1% | ||||||||
| Albertsons Cos., Inc./Safeway, Inc., 144A, 3.250%, 03/15/26 (d) | 1,000,000 | 994,820 | ||||||
| Campbell Soup Co., 2.375%, 04/24/30 | 1,000,000 | 1,041,594 | ||||||
| Capital Impact Partners, 2.300%, 10/15/24 | 500,000 | 513,794 | ||||||
| Clorox Co., The, 1.800%, 05/15/30 | 1,500,000 | 1,548,905 | ||||||
| CVS Health Corp., 3.625%, 04/01/27 | 1,000,000 | 1,121,644 | ||||||
| CVS Health Corp., 3 month LIBOR + 0.63%, 4.300%, 03/25/28 | 1,000,000 | 1,171,952 | ||||||
| CVS Health Corp., 3.250%, 08/15/29 | 500,000 | 551,464 | ||||||
| General Mills, Inc., 2.875%, 04/15/30 | 1,000,000 | 1,099,124 | ||||||
| Kellogg Co., 2.100%, 06/01/30 | 1,000,000 | 1,027,006 | ||||||
| Keurig Dr Pepper, Inc., 3.200%, 05/01/30 | 1,000,000 | 1,124,687 | ||||||
| Mondelez International, Inc., 1.875%, 10/15/32 | 500,000 | 498,825 | ||||||
| PepsiCo, Inc., 3.500%, 07/17/25 | 1,000,000 | 1,127,319 | ||||||
| PepsiCo, Inc., 2.875%, 10/15/49 | 1,000,000 | 1,079,280 | ||||||
| Raza Development Fund, Inc., 3.534%, 07/01/34 | 1,000,000 | 1,125,547 | ||||||
| Sysco Corp., 2.400%, 02/15/30 | 1,500,000 | 1,509,454 | ||||||
| 15,535,415 | ||||||||
| ENERGY: 0.3% | ||||||||
| MidAmerican Energy Co., 3.100%, 05/01/27 | 1,000,000 | 1,116,469 | ||||||
| MidAmerican Energy Co., 3.650%, 04/15/29 | 1,000,000 | 1,193,187 | ||||||
| 2,309,656 |
| FINANCIALS: 13.1% | ||||||||
| Aflac, Inc., 3.600%, 04/01/30 | 1,000,000 | 1,175,885 | ||||||
| Allstate Corp., The, 3 month LIBOR + 0.43%, 0.648%, 03/29/21 (e) | 1,000,000 | 1,001,956 | ||||||
| Allstate Corp., The, 3.850%, 08/10/49 | 1,000,000 | 1,199,669 | ||||||
| Andrew W Mellon Foundation, The, 0.947%, 08/01/27 | 1,000,000 | 1,001,780 | ||||||
| Bank of America Corp., 3.499%, 05/17/22 (e) | 3,000,000 | 3,056,720 | ||||||
| Bank of America Corp., 1.486%, 05/19/24 (e) | 1,650,000 | 1,679,443 | ||||||
| Bank of America Corp., 0.981%, 09/25/25 (e) | 2,000,000 | 2,001,098 | ||||||
| Bank of America Corp., 3.559%, 04/23/27 (e) | 1,000,000 | 1,118,067 | ||||||
| Bank of Montreal, 2.050%, 11/01/22 | 1,000,000 | 1,034,268 | ||||||
| Bank of New York Mellon Corp., The, 1.850%, 01/27/23 | 250,000 | 258,020 | ||||||
| Bank of New York Mellon Corp., The, 3.400%, 01/29/28 | 1,000,000 | 1,157,844 | ||||||
| BlackRock, Inc., 3.250%, 04/30/29 | 2,000,000 | 2,315,705 | ||||||
| BlueHub Loan Fund, Inc., 2.890%, 01/01/27 | 1,000,000 | 1,011,058 | ||||||
| Calvert Impact Capital, Inc., 3.000%, 03/14/25 | 2,000,000 | 2,000,000 | ||||||
| Charles Schwab Corp., The, 3.550%, 02/01/24 | 1,000,000 | 1,093,363 | ||||||
| Chubb INA Holdings, Inc., 1.375%, 09/15/30 | 2,000,000 | 1,980,780 | ||||||
| CIT Bank NA, 2.969%, 09/27/25 (e) | 1,000,000 | 994,055 | ||||||
| Discover Bank, 3.200%, 08/09/21 | 1,000,000 | 1,020,356 | ||||||
| Fifth Third Bancorp, 1.625%, 05/05/23 | 1,500,000 | 1,541,536 | ||||||
| Fifth Third Bank, 2.250%, 02/01/27 | 1,000,000 | 1,071,137 | ||||||
| Ford Motor Credit Co., LLC, 2.343%, 11/02/20 | 1,000,000 | 1,001,250 | ||||||
| Ford Motor Credit Co., LLC, 3 month LIBOR + 0.83%, 1.114%, 04/05/21 (e) | 1,086,000 | 1,070,182 | ||||||
| Ford Motor Credit Co., LLC, 3.810%, 01/09/24 | 1,000,000 | 991,875 | ||||||
| ING Groep NV, 144A, 4.625%, 01/06/26 (d) | 2,000,000 | 2,349,087 | ||||||
| JPMorgan Chase & Co., 2.972%, 01/15/23 | 2,000,000 | 2,065,893 | ||||||
| JPMorgan Chase & Co., 0.653%, 09/16/24 (e) | 3,000,000 | 3,002,456 | ||||||
| JPMorgan Chase & Co., 3.964%, 11/15/48 (e) | 1,000,000 | 1,219,482 | ||||||
| Kreditanstalt fuer Wiederaufbau, 3.125%, 12/15/21 | 7,000,000 | 7,247,041 | ||||||
| Kreditanstalt fuer Wiederaufbau, 2.125%, 06/15/22 | 1,000,000 | 1,032,655 | ||||||
| Kreditanstalt fuer Wiederaufbau, 2.375%, 12/29/22 | 3,000,000 | 3,145,378 | ||||||
| Kreditanstalt fuer Wiederaufbau, 2.625%, 02/28/24 | 5,000,000 | 5,399,040 | ||||||
| Kreditanstalt fuer Wiederaufbau, 2.000%, 05/02/25 (f) | 3,000,000 | 3,222,027 | ||||||
| Kreditanstalt fuer Wiederaufbau, 0.375%, 07/18/25 | 1,000,000 | 998,432 | ||||||
| Kreditanstalt fuer Wiederaufbau, 0.750%, 09/30/30 | 1,800,000 | 1,790,532 | ||||||
| MetLife, Inc., 4.875%, 11/13/43 | 1,000,000 | 1,345,579 |
| Metropolitan Life Global Funding I, 144A, 0.950%, 07/02/25 (d) | 3,000,000 | 3,028,012 | ||||||
| Morgan Stanley, 3.625%, 01/20/27 | 2,000,000 | 2,269,749 | ||||||
| Morgan Stanley, 4.457%, 04/22/39 (e) | 1,000,000 | 1,247,056 | ||||||
| National Bank of Canada, 0.900%, 08/15/23 (e) | 1,750,000 | 1,757,825 | ||||||
| Natwest Group, PLC, 2.359%, 05/22/24 (e) | 2,000,000 | 2,053,747 | ||||||
| PNC Bank NA, 3.100%, 10/25/27 (f) | 1,000,000 | 1,115,422 | ||||||
| PNC Financial Services Group, Inc., The, 2.200%, 11/01/24 | 3,000,000 | 3,176,474 | ||||||
| PNC Financial Services Group, Inc., The, 3.450%, 04/23/29 | 500,000 | 576,354 | ||||||
| Progressive Corp., The, 3.200%, 03/26/30 | 1,500,000 | 1,718,756 | ||||||
| Prudential Financial, Inc., 1.500%, 03/10/26 | 250,000 | 260,768 | ||||||
| Prudential Financial, Inc., 4.350%, 02/25/50 | 1,000,000 | 1,204,854 | ||||||
| Raymond James Financial, Inc., 3.625%, 09/15/26 | 1,000,000 | 1,151,328 | ||||||
| Regions Financial Corp., 3.800%, 08/14/23 | 1,500,000 | 1,627,643 | ||||||
| Royal Bank of Canada, 1.150%, 06/10/25 | 2,000,000 | 2,030,250 | ||||||
| Toronto-Dominion Bank, The, 1.900%, 12/01/22 | 500,000 | 516,472 | ||||||
| Toronto-Dominion Bank, The, 2.650%, 06/12/24 | 1,000,000 | 1,070,492 | ||||||
| Toyota Motor Credit Corp., 3.450%, 09/20/23 | 3,000,000 | 3,256,049 | ||||||
| Toyota Motor Credit Corp., 2.150%, 02/13/30 | 500,000 | 528,083 | ||||||
| Travelers Cos, Inc., The, 4.100%, 03/04/49 | 1,000,000 | 1,254,652 | ||||||
| USAA Capital Corp., 144A, 1.500%, 05/01/23 (d)(f) | 2,500,000 | 2,565,372 | ||||||
| USAA Capital Corp., 144A, 2.125%, 05/01/30 (d) | 1,000,000 | 1,054,939 | ||||||
| 97,057,946 | ||||||||
| HEALTH CARE: 4.3% | ||||||||
| Abbott Laboratories, 3.750%, 11/30/26 | 1,133,000 | 1,317,061 | ||||||
| Abbott Laboratories, 1.150%, 01/30/28 | 1,000,000 | 1,008,820 | ||||||
| AbbVie, Inc., 144A, 2.150%, 11/19/21 (d) | 1,000,000 | 1,018,859 | ||||||
| AbbVie, Inc., 144A, 3.200%, 11/21/29 (d) | 1,000,000 | 1,106,018 | ||||||
| Amgen, Inc., 3.625%, 05/22/24 | 1,000,000 | 1,101,505 | ||||||
| Amgen, Inc., 1.900%, 02/21/25 | 500,000 | 524,703 | ||||||
| Anthem, Inc., 2.375%, 01/15/25 | 1,000,000 | 1,064,541 | ||||||
| Anthem, Inc., 4.101%, 03/01/28 | 1,000,000 | 1,164,374 | ||||||
| Anthem, Inc., 2.250%, 05/15/30 | 1,000,000 | 1,031,936 | ||||||
| Avantor Funding, Inc., 144A, 4.625%, 07/15/28 (d) | 1,000,000 | 1,038,750 | ||||||
| Becton Dickinson & Co., 3.363%, 06/06/24 | 1,000,000 | 1,082,769 | ||||||
| Becton Dickinson & Co., 3.700%, 06/06/27 | 1,000,000 | 1,134,497 | ||||||
| Biogen, Inc., 2.250%, 05/01/30 | 1,000,000 | 1,026,662 | ||||||
| Bristol-Myers Squibb Co., 2.900%, 07/26/24 | 2,000,000 | 2,168,027 |
| Centene Corp., 4.250%, 12/15/27 | 1,000,000 | 1,048,745 | ||||||
| CVS Health Corp., 1.750%, 08/21/30 | 500,000 | 489,723 | ||||||
| Danaher Corp., 2.600%, 10/01/50 | 2,000,000 | 1,966,759 | ||||||
| IQVIA, Inc., 144A, 5.000%, 05/15/27 (d) | 2,000,000 | 2,101,070 | ||||||
| Kaiser Foundation Hospitals, 3.266%, 11/01/49 | 1,000,000 | 1,122,468 | ||||||
| Merck & Co., Inc., 3.400%, 03/07/29 | 1,000,000 | 1,166,764 | ||||||
| Merck & Co., Inc., 1.450%, 06/24/30 | 1,000,000 | 1,016,228 | ||||||
| Merck & Co., Inc., 2.350%, 06/24/40 | 1,000,000 | 1,018,695 | ||||||
| Quest Diagnostics, Inc., 3.450%, 06/01/26 | 1,000,000 | 1,134,028 | ||||||
| UnitedHealth Group, Inc., 2.375%, 10/15/22 | 2,000,000 | 2,081,748 | ||||||
| UnitedHealth Group, Inc., 1.250%, 01/15/26 | 500,000 | 513,978 | ||||||
| UnitedHealth Group, Inc., 2.750%, 05/15/40 | 500,000 | 529,902 | ||||||
| Zoetis, Inc., 3.000%, 09/12/27 | 1,000,000 | 1,107,208 | ||||||
| Zoetis, Inc., 3.900%, 08/20/28 | 1,000,000 | 1,188,671 | ||||||
| 32,274,509 | ||||||||
| INDUSTRIALS: 3.4% | ||||||||
| Ashtead Capital, Inc., 144A, 4.000%, 05/01/28 (d) | 1,000,000 | 1,040,000 | ||||||
| Burlington Northern Santa Fe, LLC, 3.550%, 02/15/50 | 1,000,000 | 1,173,590 | ||||||
| Caterpillar, Inc., 2.600%, 04/09/30 (f) | 1,000,000 | 1,100,269 | ||||||
| Cummins, Inc., 7.125%, 03/01/28 (f) | 1,000,000 | 1,354,522 | ||||||
| Delta Air Lines, Inc./SkyMiles IP, Ltd., 144A, 4.500%, 10/20/25 (d) | 500,000 | 513,859 | ||||||
| John Deere Capital Corp., 2.050%, 01/09/25 (f) | 1,000,000 | 1,060,896 | ||||||
| Johnson Controls International plc/Tyco Fire & Security Finance SCA, 1.750%, 09/15/30 | 1,000,000 | 1,007,667 | ||||||
| Masco Corp., 4.375%, 04/01/26 | 1,000,000 | 1,162,602 | ||||||
| Mueller Water Products, Inc., 144A, 5.500%, 06/15/26 (d) | 1,000,000 | 1,036,060 | ||||||
| Republic Services, Inc., 1.450%, 02/15/31 | 2,000,000 | 1,977,130 | ||||||
| Roper Technologies, Inc., 2.000%, 06/30/30 | 1,500,000 | 1,531,068 | ||||||
| Standard Industries, Inc., 144A, 4.750%, 01/15/28 (d) | 1,000,000 | 1,040,000 | ||||||
| Standard Industries, Inc., 144A, 4.375%, 07/15/30 (d) | 1,000,000 | 1,026,800 | ||||||
| Tesla Energy Operations, Inc., 4.700%, 05/29/25 | 2,000,000 | 2,131,904 | ||||||
| Union Pacific Corp., 3.700%, 03/01/29 | 1,000,000 | 1,162,583 | ||||||
| Union Pacific Corp., 2.400%, 02/05/30 | 500,000 | 539,739 | ||||||
| United Rentals North America, Inc., 5.250%, 01/15/30 | 2,000,000 | 2,186,250 | ||||||
| Waste Management, Inc., 3.150%, 11/15/27 | 2,500,000 | 2,797,800 | ||||||
| Xylem, Inc., 1.950%, 01/30/28 | 1,500,000 | 1,567,120 | ||||||
| 25,409,859 |
| INFORMATION TECHNOLOGY: 3.6% | ||||||||
| Adobe, Inc., 2.150%, 02/01/27 | 1,500,000 | 1,610,926 | ||||||
| Analog Devices, Inc., 2.950%, 04/01/25 | 1,000,000 | 1,088,750 | ||||||
| Apple, Inc., 2.850%, 02/23/23 | 1,000,000 | 1,055,663 | ||||||
| Apple, Inc., 3.000%, 06/20/27 | 2,500,000 | 2,823,739 | ||||||
| Fiserv, Inc., 2.250%, 06/01/27 | 1,000,000 | 1,058,430 | ||||||
| Gartner, Inc., 144A, 4.500%, 07/01/28 (d) | 1,000,000 | 1,052,500 | ||||||
| Hewlett Packard Enterprise Co., 1.450%, 04/01/24 | 1,500,000 | 1,518,452 | ||||||
| Intel Corp., 3.400%, 03/25/25 | 500,000 | 561,021 | ||||||
| MasterCard, Inc., 3.300%, 03/26/27 | 500,000 | 570,770 | ||||||
| MasterCard, Inc., 3.500%, 02/26/28 | 1,000,000 | 1,167,470 | ||||||
| MasterCard, Inc., 2.950%, 06/01/29 | 500,000 | 565,549 | ||||||
| Microsoft Corp., 2.400%, 08/08/26 | 2,000,000 | 2,187,583 | ||||||
| NetApp, Inc., 3.250%, 12/15/22 | 671,000 | 696,620 | ||||||
| NetApp, Inc., 1.875%, 06/22/25 | 1,000,000 | 1,037,410 | ||||||
| NXP BV/Funding, LLC/USA, Inc., 144A, 3.400%, 05/01/30 (d) | 1,000,000 | 1,097,798 | ||||||
| salesforce.com, Inc., 3.700%, 04/11/28 | 3,000,000 | 3,544,306 | ||||||
| TSMC Global, Ltd., 144A, 0.750%, 09/28/25 (d) | 500,000 | 495,864 | ||||||
| Visa, Inc., 0.750%, 08/15/27 | 2,000,000 | 1,988,844 | ||||||
| Visa, Inc., 3.650%, 09/15/47 | 2,000,000 | 2,459,445 | ||||||
| 26,581,140 | ||||||||
| MATERIALS: 0.2% | ||||||||
| Ecolab, Inc., 1.300%, 01/30/31 | 500,000 | 490,750 | ||||||
| Ecolab, Inc., 2.125%, 08/15/50 | 500,000 | 460,963 | ||||||
| Owens-Brockway Glass Container, Inc., 144A, 6.625%, 05/13/27 (d) | 500,000 | 542,500 | ||||||
| 1,494,213 | ||||||||
| REAL ESTATE: 2.2% | ||||||||
| Alexandria Real Estate Equities, Inc., 1.875%, 02/01/33 | 1,000,000 | 983,098 | ||||||
| American Tower Corp., 2.400%, 03/15/25 | 500,000 | 529,182 | ||||||
| American Tower Corp., 1.300%, 09/15/25 | 500,000 | 506,157 | ||||||
| American Tower Corp., 2.100%, 06/15/30 | 250,000 | 252,265 | ||||||
| American Tower Corp., 1.875%, 10/15/30 | 500,000 | 494,707 | ||||||
| Boston Properties, LP, 3.400%, 06/21/29 | 2,000,000 | 2,180,763 |
| Crown Castle International Corp., 3.300%, 07/01/30 | 500,000 | 547,685 | ||||||
| Equinix, Inc., 1.000%, 09/15/25 | 2,000,000 | 1,988,076 | ||||||
| Equinix, Inc., 5.375%, 05/15/27 | 1,000,000 | 1,090,055 | ||||||
| Equinix, Inc., 1.550%, 03/15/28 | 500,000 | 501,697 | ||||||
| HAT Holdings I, LLC/II, LLC, 144A, 6.000%, 04/15/25 (d) | 1,000,000 | 1,066,550 | ||||||
| HAT Holdings I, LLC/II, LLC, 144A, 3.750%, 09/15/30 (d) | 1,000,000 | 1,007,500 | ||||||
| Iron Mountain, Inc., 144A, 4.875%, 09/15/27 (d) | 1,000,000 | 1,022,668 | ||||||
| Iron Mountain, Inc., 144A, 4.500%, 02/15/31 (d) | 1,000,000 | 1,011,275 | ||||||
| Prologis, LP, 1.250%, 10/15/30 | 500,000 | 490,075 | ||||||
| Service Properties Trust, 7.500%, 09/15/25 | 500,000 | 532,086 | ||||||
| Starwood Property Trust, Inc., 3.625%, 02/01/21 | 1,000,000 | 1,002,925 | ||||||
| Welltower, Inc., 2.700%, 02/15/27 | 1,000,000 | 1,057,455 | ||||||
| 16,264,219 | ||||||||
| UTILITIES: 2.6% | ||||||||
| American Water Capital Corp., 2.800%, 05/01/30 | 3,000,000 | 3,295,547 | ||||||
| Avangrid, Inc., 3.200%, 04/15/25 | 2,000,000 | 2,201,727 | ||||||
| Consolitated Edison Co. of New York, Inc., 3.350%, 04/01/30 | 1,000,000 | 1,154,149 | ||||||
| DTE Electric Co., 3.950%, 03/01/49 | 2,000,000 | 2,530,465 | ||||||
| Niagara Mohawk Power Corp., 144A, 1.960%, 06/27/30 (d) | 2,000,000 | 2,057,314 | ||||||
| NSTAR Electric Co., 3.250%, 05/15/29 | 3,000,000 | 3,429,700 | ||||||
| Pattern Energy Operations, LP/Inc., 144A, 4.500%, 08/15/28 (d) | 1,000,000 | 1,039,375 | ||||||
| Southern Power Co., 4.150%, 12/01/25 | 1,000,000 | 1,147,972 | ||||||
| Southwestern Public Service Co., 3.150%, 05/01/50 | 1,500,000 | 1,622,467 | ||||||
| TerraForm Power Operating, LLC, 144A, 4.250%, 01/31/23 (d) | 1,000,000 | 1,027,280 | ||||||
| 19,505,996 | ||||||||
| TOTAL CORPORATE BONDS | ||||||||
| (Cost $263,909,623) | 281,706,587 |
| U.S. GOVERNMENT AGENCY BONDS: 1.2% | ||||||||
| AGENCY SECURITIES: 1.2% | ||||||||
| North American Development Bank, 2.400%, 10/26/22 | 2,000,000 | 2,069,173 | ||||||
| United States International Development Finance Corp., 0.000%, 08/21/21 | 1,000,000 | 1,021,330 | ||||||
| United States International Development Finance Corp., 0.130%, 09/15/26 (e) | 2,000,000 | 2,001,250 | ||||||
| United States International Development Finance Corp., 0.130%, 03/15/30 (e) | 2,000,000 | 2,001,250 | ||||||
| United States International Development Finance Corp., 3.520%, 09/20/32 | 1,714,286 | 2,005,463 | ||||||
| TOTAL U.S. GOVERNMENT AGENCY BONDS | 9,098,466 | |||||||
| (Cost $8,666,251) | ||||||||
| SUPRANATIONAL BONDS: 10.1% | ||||||||
| European Bank for Reconstruction & Development, 0.250%, 07/10/23 | 3,000,000 | 3,002,014 | ||||||
| European Bank for Reconstruction & Development, 1.625%, 09/27/24 | 3,000,000 | 3,152,434 | ||||||
| European Investment Bank, 2.375%, 05/13/21 | 2,000,000 | 2,026,268 | ||||||
| European Investment Bank, 2.500%, 03/15/23 | 5,000,000 | 5,279,557 | ||||||
| European Investment Bank, 0.250%, 09/15/23 | 7,000,000 | 7,000,371 | ||||||
| European Investment Bank, 3.125%, 12/14/23 | 3,000,000 | 3,276,763 | ||||||
| European Investment Bank, 3.250%, 01/29/24 | 8,000,000 | 8,795,875 | ||||||
| European Investment Bank, 0.750%, 09/23/30 | 3,000,000 | 2,976,397 | ||||||
| Inter-American Development Bank, 0.250%, 11/15/23 | 4,000,000 | 3,994,641 | ||||||
| Inter-American Development Bank, 1.750%, 03/14/25 | 3,000,000 | 3,178,492 | ||||||
| Inter-American Development Bank, 0.625%, 07/15/25 | 3,000,000 | 3,028,803 | ||||||
| Inter-American Development Bank, 0.625%, 09/16/27 | 600,000 | 600,297 | ||||||
| International Bank for Reconstruction & Development, 2.530%, 03/11/22 | 4,000,000 | 4,126,439 | ||||||
| International Bank for Reconstruction & Development, 2.125%, 07/01/22 | 2,000,000 | 2,066,487 | ||||||
| International Bank for Reconstruction & Development, 1.625%, 01/15/25 | 8,000,000 | 8,418,209 | ||||||
| International Bank for Reconstruction & Development, 0.625%, 04/22/25 | 5,000,000 | 5,048,825 | ||||||
| International Bank for Reconstruction & Development, 2.750%, 05/31/36 | 2,000,000 | 2,009,711 | ||||||
| International Development Association, 144A, 0.375%, 09/23/25 (d) | 3,200,000 | 3,198,917 | ||||||
| International Finance Corp., 0.375%, 07/16/25 | 1,000,000 | 999,525 | ||||||
| Nordic Investment Bank, 0.375%, 09/11/25 | 3,000,000 | 2,993,527 |
| TOTAL SUPRANATIONAL BONDS | 75,173,552 | |||||||
| (Cost $73,935,844) | ||||||||
| MUNICIPAL BONDS: 2.7% | ||||||||
| California Health Facilities Financing Authority, 1.970%, 06/01/23 | 500,000 | 516,635 | ||||||
| City & County of Honolulu HI, 3.974%, 09/01/35 | 1,475,000 | 1,687,798 | ||||||
| City & County of San Francisco CA Community Facilities District No 2014-1, 4.221%, 09/01/39 | 1,000,000 | 1,130,520 | ||||||
| City of Los Angeles CA Wastewater System Revenue, 3.144%, 06/01/26 | 2,000,000 | 2,210,140 | ||||||
| City of Los Angeles CA Wastewater System Revenue, 4.029%, 06/01/39 | 1,020,000 | 1,153,120 | ||||||
| Ford Foundation, The, 2.415%, 06/01/50 | 750,000 | 774,545 | ||||||
| President & Fellows of Harvard College, 2.517%, 10/15/50 | 500,000 | 520,791 | ||||||
| Santa Clara Valley Water District, 3.369%, 06/01/27 | 1,305,000 | 1,468,712 | ||||||
| State of California, 7.550%, 04/01/39 | 2,000,000 | 3,503,500 | ||||||
| State of Oregon, 3.227%, 05/01/24 | 1,000,000 | 1,097,260 | ||||||
| Trustees of Princeton University, The, 2.516%, 07/01/50 | 1,000,000 | 1,054,211 | ||||||
| University of Massachusetts Building Authority, 6.573%, 05/01/39 | 125,000 | 125,503 | ||||||
| University of Massachusetts Building Authority, 5.450%, 11/01/40 | 1,225,000 | 1,709,390 | ||||||
| Virginia Resources Authority, 5.790%, 11/01/40 | 2,655,000 | 2,666,523 | ||||||
| TOTAL MUNICIPAL BONDS | 19,618,648 | |||||||
| (Cost $17,957,442) | ||||||||
| U.S. TREASURY NOTES: 13.0% | ||||||||
| United States Treasury Note, 0.125%, 04/15/21 | 3,279,120 | 3,293,516 | ||||||
| United States Treasury Note, 0.125%, 04/15/22 | 6,391,320 | 6,505,671 | ||||||
| United States Treasury Note, 0.125%, 07/15/24 | 4,364,080 | 4,618,648 | ||||||
| United States Treasury Note, 0.250%, 06/30/25 | 9,000,000 | 8,997,539 | ||||||
| United States Treasury Note, 0.625%, 01/15/26 | 3,270,780 | 3,607,864 | ||||||
| United States Treasury Note, 0.500%, 06/30/27 | 8,000,000 | 8,031,562 | ||||||
| United States Treasury Note, 0.375%, 07/15/27 | 7,413,210 | 8,248,859 |
| United States Treasury Note, 0.625%, 08/15/30 | 6,000,000 | 5,970,469 | ||||||
| United States Treasury Note, 5.000%, 05/15/37 | 2,000,000 | 3,244,219 | ||||||
| United States Treasury Note, 1.125%, 08/15/40 | 23,000,000 | 22,620,860 | ||||||
| United States Treasury Note, 1.000%, 02/15/48 | 1,050,530 | 1,454,798 | ||||||
| United States Treasury Note, 1.375%, 08/15/50 | 20,000,000 | 19,632,812 | ||||||
| TOTAL U.S. TREASURY NOTES | 96,226,817 | |||||||
| (Cost $93,720,257) | ||||||||
| ASSET-BACKED SECURITIES: 7.0% | ||||||||
| AMSR 2020-SFR4 Trust, 144A, 1.355%, 11/17/37 (d) | 3,000,000 | 3,011,290 | ||||||
| Bayview Opportunity Master Fund IVa Trust 2016, 144A, 4.000%, 04/28/55 (d) | 897,008 | 924,069 | ||||||
| Carmax Auto Owner Trust 2019-4, 2.800%, 04/15/26 | 2,000,000 | 2,041,272 | ||||||
| Commonbond Student Loan Trust 2016-B, 144A, 2.730%, 10/25/40 (d) | 477,089 | 484,253 | ||||||
| Commonbond Student Loan Trust 2018-C-GS, 144A, 3.870%, 02/25/46 (d) | 1,610,704 | 1,678,795 | ||||||
| Commonbond Student Loan Trust 2019-A-GS, 144A, 2.540%, 01/25/47 (d) | 1,520,003 | 1,576,423 | ||||||
| Commonbond Student Loan Trust 2020-A-GS, 144A, 1.980%, 08/25/50 (d) | 451,457 | 461,713 | ||||||
| Dell Equipment Finance Trust 2019-1, 144A, 3.450%, 03/24/25 (d) | 1,305,000 | 1,341,607 | ||||||
| Drive Auto Receivables Trust, 4.090%, 01/15/26 | 2,000,000 | 2,089,883 | ||||||
| FirstKey Homes 2020-SFR1 Trust, 144A, 1.339%, 09/17/25 (d) | 1,000,000 | 1,006,729 | ||||||
| Mastr Asset Backed Securities Trust 2007-NCW, 1 month LIBOR + 0.60%, 144A, 0.775%, 05/25/37 (d)(e) | 1,294,553 | 1,232,435 | ||||||
| Mill City Mortgage Trust 2015-1, 144A, 3.730%, 06/25/56 (d)(e) | 2,000,000 | 2,123,050 | ||||||
| Mill City Solar Loan 2019-1, Ltd., 144A, 4.340%, 03/20/43 (d) | 735,293 | 776,844 | ||||||
| Mill City Solar Loan 2019-2, Ltd., 144A, 3.690%, 07/20/43 (d) | 798,471 | 840,706 | ||||||
| Mosaic Solar Loan Trust 2018-1, 144A, 4.010%, 06/22/43 (d) | 1,144,867 | 1,212,809 | ||||||
| Mosaic Solar Loan Trust 2019-2, 144A, 2.880%, 09/20/40 (d) | 635,073 | 673,955 | ||||||
| Mosaic Solar Loan Trust 2020-1, 144A, 2.100%, 04/20/46 (d) | 496,983 | 509,346 |
| Mosaic Solar Loan Trust 2020-2, 144A, 1.440%, 08/20/46 (d) | 1,500,000 | 1,488,703 | ||||||
| Mosaic Solar Loans 2017-1 LLC, 144A, 4.450%, 06/20/42 (d) | 791,184 | 851,365 | ||||||
| Mosaic Solar Loans 2017-2 LLC, 144A, 3.820%, 06/22/43 (d) | 760,267 | 803,464 | ||||||
| Mosaic Solar Loans 2017-2 LLC, 144A, 2.000%, 06/22/43 (d) | 1,293,768 | 1,233,366 | ||||||
| Santander Drive Auto Receivables Trust 2018-5, 4.190%, 12/16/24 | 1,250,000 | 1,302,623 | ||||||
| SoFi Professional Loan Program 2015-d, LLC, 144A, 3.590%, 10/26/37 (d) | 1,133,303 | 1,149,351 | ||||||
| SoFi Professional Loan Program 2017-B, LLC, 144A, 3.700%, 05/25/40 (d)(e) | 1,900,000 | 1,985,465 | ||||||
| SoFi Professional Loan Program 2017-F, LLC, 144A, 3.620%, 01/25/41 (d) | 1,800,000 | 1,876,920 | ||||||
| SoFi Professional Loan Program 2018-B Trust, 144A, 3.830%, 08/25/47 (d) | 500,000 | 528,749 | ||||||
| SoFi Professional Loan Program 2018-B Trust, 144A, 3.340%, 08/25/47 (d) | 1,999,575 | 2,062,447 | ||||||
| SoFi Professional Loan Program 2019-A, LLC, 144A, 3.180%, 06/15/48 (d) | 168,232 | 169,152 | ||||||
| SoFi Professional Loan Program 2020-A Trust, 144A, 2.540%, 05/15/46 (d) | 2,000,000 | 2,080,104 | ||||||
| Sunnova Sol Issuer, LLC, 144A, 3.350%, 02/01/55 (d) | 994,998 | 1,008,166 | ||||||
| Sunrun Athena Issuer 2018-1, LLC, 144A, 5.310%, 04/30/49 (d) | 956,717 | 1,050,738 | ||||||
| Sunrun Atlas Issuer 2019-2, LLC, 144A, 3.610%, 02/01/55 (d) | 982,881 | 1,034,042 | ||||||
| Tesla Auto Lease Trust 2018-B, 144A, 5.290%, 11/22/21 (d) | 2,000,000 | 2,063,573 | ||||||
| Tesla Auto Lease Trust 2018-B, 144A, 7.870%, 06/20/22 (d) | 1,500,000 | 1,569,167 | ||||||
| Tesla Auto Lease Trust 2019-A, 144A, 2.410%, 12/20/22 (d) | 1,015,000 | 1,043,169 | ||||||
| Tesla Auto Lease Trust 2020-A, 144A, 1.180%, 01/22/24 (d) | 820,000 | 825,574 | ||||||
| Tesla Auto Lease Trust 2020-A, 144A, 1.680%, 02/20/24 (d) | 630,000 | 636,946 | ||||||
| Towd Point Mortgage Trust 2015-2, 1 month LIBOR + 0.60%, 144A, 3.750%, 11/25/57 (d)(e) | 1,000,000 | 1,061,886 | ||||||
| Towd Point Mortgage Trust 2015-2, 144A, 3.628%, 11/25/60 (d)(e) | 2,000,000 | 2,126,373 | ||||||
| Towd Point Mortgage Trust 2017-6, 144A, 3.000%, 10/25/57 (d)(e) | 1,000,000 | 1,068,098 | ||||||
| Vivint Solar Financing V, LLC, 144A, 4.730%, 04/30/48 (d) | 967,787 | 1,001,865 |
| TOTAL ASSET-BACKED SECURITIES | 52,006,485 | |||||||
| (Cost $50,686,239) | ||||||||
| MORTGAGE-BACKED SECURITIES: 24.8% | ||||||||
| GINNIE MAE (MORTGAGE-BACKED): 1.0% | ||||||||
| Ginnie Mae, 1.550%, 06/16/36 | 1,834,387 | 1,840,384 | ||||||
| Ginnie Mae, 3.020%, 09/15/41 | 1,780,520 | 1,937,213 | ||||||
| Ginnie Mae, 2.857%, 09/16/50 (e) | 2,000,000 | 2,113,292 | ||||||
| Ginnie Mae, 2.706%, 03/16/55 (e) | 1,625,642 | 1,739,154 | ||||||
| 7,630,043 | ||||||||
| FREDDIE MAC (MORTGAGE-BACKED): 8.1% | ||||||||
| Freddie Mac, 4.000%, 06/01/26 | 1,466,452 | 1,559,449 | ||||||
| Freddie Mac, 2.939%, 04/25/29 | 3,000,000 | 3,401,130 | ||||||
| Freddie Mac, 0.704%, 04/25/29 (e) | 500,000 | 498,772 | ||||||
| Freddie Mac, 2.412%, 08/25/29 | 2,000,000 | 2,197,189 | ||||||
| Freddie Mac, 3.000%, 07/01/33 | 1,286,428 | 1,360,732 | ||||||
| Freddie Mac, 4.500%, 01/01/34 | 1,295,139 | 1,385,368 | ||||||
| Freddie Mac, 3.500%, 01/01/34 | 1,091,184 | 1,179,531 | ||||||
| Freddie Mac, 3.000%, 12/01/34 | 1,700,130 | 1,786,069 | ||||||
| Freddie Mac, 4.000%, 10/01/35 | 2,145,342 | 2,340,285 | ||||||
| Freddie Mac, 3.500%, 04/01/42 | 907,832 | 998,551 | ||||||
| Freddie Mac, 3.500%, 01/01/44 | 1,490,042 | 1,643,649 | ||||||
| Freddie Mac, 3.500%, 02/01/45 | 1,410,149 | 1,571,476 | ||||||
| Freddie Mac, 3.000%, 06/01/46 | 1,826,620 | 2,003,044 | ||||||
| Freddie Mac, 3.000%, 01/01/47 | 2,239,142 | 2,416,233 | ||||||
| Freddie Mac, 4.000%, 08/01/47 | 928,420 | 995,276 | ||||||
| Freddie Mac, 3.500%, 08/01/47 | 1,849,087 | 1,958,662 | ||||||
| Freddie Mac, 3.500%, 09/01/47 | 1,277,636 | 1,353,241 | ||||||
| Freddie Mac, 3.500%, 10/01/47 | 1,961,929 | 2,080,082 | ||||||
| Freddie Mac, 3.500%, 12/01/47 | 1,347,919 | 1,429,000 | ||||||
| Freddie Mac, 3.500%, 03/01/48 | 1,624,995 | 1,717,428 | ||||||
| Freddie Mac, 4.000%, 04/01/48 | 3,404,145 | 3,653,984 | ||||||
| Freddie Mac, 3.500%, 05/01/48 | 1,515,219 | 1,602,693 | ||||||
| Freddie Mac, 3.500%, 06/01/49 | 1,623,964 | 1,717,548 | ||||||
| Freddie Mac, 3.000%, 12/01/49 | 3,053,609 | 3,204,536 | ||||||
| Freddie Mac, 3.000%, 02/01/50 | 6,323,587 | 6,664,946 |
| Freddie Mac, 3.000%, 03/01/50 | 2,881,444 | 3,028,782 | ||||||
| Freddie Mac, 144A, 3.275%, 03/25/50 (d)(e) | 2,000,000 | 1,982,801 | ||||||
| Freddie Mac, 2.500%, 05/01/50 | 2,444,908 | 2,567,370 | ||||||
| Freddie Mac, 144A, 1.675%, 06/25/50 (d)(e) | 2,000,000 | 2,007,581 | ||||||
| 60,305,408 | ||||||||
| FANNIE MAE (MORTGAGE-BACKED): 13.9% | ||||||||
| Fannie Mae, 2.801%, 02/25/27 (e) | 2,820,000 | 3,140,683 | ||||||
| Fannie Mae, 3.270%, 09/01/27 | 2,310,361 | 2,420,885 | ||||||
| Fannie Mae, 2.902%, 01/25/28 (e) | 1,900,000 | 2,160,357 | ||||||
| Fannie Mae, 3.325%, 06/25/28 (e) | 2,000,000 | 2,327,429 | ||||||
| Fannie Mae, 3.555%, 09/25/28 (e) | 2,034,000 | 2,422,850 | ||||||
| Fannie Mae, 3.660%, 01/01/29 | 1,949,174 | 2,042,218 | ||||||
| Fannie Mae, 2.937%, 04/25/29 | 2,000,000 | 2,266,712 | ||||||
| Fannie Mae, 1.435%, 10/25/29 | 2,500,000 | 2,574,060 | ||||||
| Fannie Mae, 3.500%, 07/01/35 | 1,232,867 | 1,332,601 | ||||||
| Fannie Mae, 3.500%, 09/01/37 | 1,027,801 | 1,093,845 | ||||||
| Fannie Mae, 4.000%, 03/01/38 | 1,889,698 | 2,078,114 | ||||||
| Fannie Mae, 3.500%, 09/01/39 | 1,429,448 | 1,510,875 | ||||||
| Fannie Mae, 4.000%, 02/01/41 | 2,578,250 | 2,864,425 | ||||||
| Fannie Mae, 4.000%, 01/01/42 | 2,443,331 | 2,714,507 | ||||||
| Fannie Mae, 3.500%, 01/01/43 | 2,771,543 | 3,013,861 | ||||||
| Fannie Mae, 3.500%, 08/01/45 | 1,850,576 | 2,027,814 | ||||||
| Fannie Mae, 4.000%, 09/01/45 | 1,330,656 | 1,472,112 | ||||||
| Fannie Mae, 4.000%, 10/01/45 | 1,139,287 | 1,243,189 | ||||||
| Fannie Mae, 3.500%, 10/01/45 | 1,427,953 | 1,541,930 | ||||||
| Fannie Mae, 4.000%, 11/01/45 | 2,633,665 | 2,863,860 | ||||||
| Fannie Mae, 4.000%, 06/01/46 | 1,100,242 | 1,189,409 | ||||||
| Fannie Mae, 3.000%, 06/01/46 | 2,470,871 | 2,612,935 | ||||||
| Fannie Mae, 4.000%, 07/01/46 | 1,570,551 | 1,722,039 | ||||||
| Fannie Mae, 4.500%, 09/01/46 | 1,551,584 | 1,741,922 | ||||||
| Fannie Mae, 3.000%, 10/01/46 | 968,685 | 1,018,830 | ||||||
| Fannie Mae, 4.000%, 01/01/47 | 1,094,414 | 1,192,417 | ||||||
| Fannie Mae, 4.000%, 05/01/47 | 3,093,871 | 3,323,679 | ||||||
| Fannie Mae, 4.000%, 06/01/47 | 2,456,607 | 2,640,113 | ||||||
| Fannie Mae, 3.500%, 06/01/47 | 1,817,895 | 1,973,409 | ||||||
| Fannie Mae, 3.500%, 08/01/47 | 1,014,274 | 1,069,387 | ||||||
| Fannie Mae, 3.500%, 11/01/47 | 2,075,558 | 2,288,811 | ||||||
| Fannie Mae, 4.000%, 01/01/48 | 1,972,819 | 2,182,444 | ||||||
| Fannie Mae, 3.500%, 03/01/48 | 1,248,838 | 1,321,444 | ||||||
| Fannie Mae, 3.500%, 04/01/48 | 3,032,778 | 3,372,947 |
| Fannie Mae, 4.500%, 06/01/48 | 955,191 | 1,056,518 | ||||||
| Fannie Mae, 3.500%, 06/01/48 | 2,068,327 | 2,221,444 | ||||||
| Fannie Mae, 3.000%, 10/01/48 | 1,107,200 | 1,128,220 | ||||||
| Fannie Mae, 3.500%, 07/01/49 | 1,519,818 | 1,636,799 | ||||||
| Fannie Mae, 3.500%, 09/01/49 | 1,280,591 | 1,350,106 | ||||||
| Fannie Mae, 3.000%, 09/01/49 | 1,450,637 | 1,531,016 | ||||||
| Fannie Mae, 3.000%, 10/01/49 | 2,672,513 | 2,836,303 | ||||||
| Fannie Mae, 3.500%, 02/01/50 | 2,382,482 | 2,510,841 | ||||||
| Fannie Mae, 3.000%, 03/01/50 | 2,806,596 | 2,967,118 | ||||||
| Fannie Mae, 2.500%, 03/01/50 | 2,994,271 | 3,144,249 | ||||||
| Fannie Mae, 2.500%, 08/01/50 | 2,991,801 | 3,154,045 | ||||||
| Fannie Mae, 2.500%, 09/01/50 | 7,991,613 | 8,404,736 | ||||||
| 102,703,508 | ||||||||
| COMMERCIAL MORTGAGE-BACKED: 1.8% | ||||||||
| Arroyo Mortgage Trust 2018-1, 144A, 3.763%, 04/25/48 (d)(e) | 1,291,029 | 1,321,114 | ||||||
| Bellemeade Re 2018-1, Ltd., 1 month LIBOR + 1.35%, 144A, 1.775%, 04/25/28 (d)(e) | 373,364 | 369,901 | ||||||
| Bellemeade Re 2018-2, Ltd., 1 month LIBOR + 1.35%, 144A, 1.525%, 08/25/28 (d)(e) | 209,064 | 208,889 | ||||||
| COLT 2019-2 Mortgage Loan Trust, 144A, 3.337%, 05/25/49 (d)(e) | 821,378 | 829,928 | ||||||
| COLT 2020-1 Mortgage Loan Trust, 144A, 2.693%, 02/25/50 (d)(e) | 1,994,852 | 2,022,077 | ||||||
| MKT 2020-525M Mortgage Trust, 144A, 2.694%, 02/12/40 (d) | 1,000,000 | 1,079,829 | ||||||
| New Residential Mortgage Loan Trust 2018-4, 1 month LIBOR + 0.90%, 144A, 1.075%, 01/25/48 (d)(e) | 1,023,675 | 1,014,339 | ||||||
| New Residential Mortgage Loan Trust 2019-2, 144A, 4.250%, 12/25/57 (d)(e) | 1,849,183 | 2,001,666 | ||||||
| New Residential Mortgage Loan Trust 2019-4, 144A, 3.500%, 12/25/58 (d)(e) | 759,259 | 812,561 | ||||||
| New Residential Mortgage Loan Trust 2019-5, 144A, 3.500%, 08/25/59 (d)(e) | 1,126,903 | 1,186,190 | ||||||
| New Residential Mortgage Loan Trust 2019-RPL3, 144A, 2.750%, 07/25/59 (d)(e) | 2,048,970 | 2,158,072 | ||||||
| Radnor RE 2018-1, Ltd., 1 month LIBOR + 1.40%, 144A, 1.575%, 03/25/28 (d)(e) | 117,756 | 117,687 | ||||||
| Sequoia Mortgage Trust 2018-CH1, 144A, 4.000%, 02/25/48 (d)(e) | 544,090 | 559,041 | ||||||
| 13,681,294 |
| TOTAL MORTGAGE-BACKED SECURITIES | ||||||||
| (Cost $176,922,728) | 184,320,253 | |||||||
| TOTAL BONDS | ||||||||
| (Cost $686,085,317) | 718,437,741 | |||||||
| CERTIFICATES OF DEPOSIT: 0.1% | ||||||||
| Community Credit Union of Lynn, 2.200%, 11/29/22 | 250,000 | 261,149 | ||||||
| Self-Help Federal Credit Union, 1.900%, 12/20/21 | 250,000 | 255,557 | ||||||
| TOTAL CERTIFICATES OF DEPOSIT | 516,706 | |||||||
| (Cost $500,000) | ||||||||
| MONEY MARKET: 4.3% | ||||||||
| State Street Institutional U.S. Government Money Market Fund, 0.030% (g)(h) | 32,133,339 | 32,133,339 | ||||||
| (Cost $32,133,339) | ||||||||
| SECURITIES PURCHASED WITH CASH COLLATERAL FROM SECURITIES LENDING: 0.5% | ||||||||
| State Street Navigator Securities Lending Government Money Market Portfolio, 0.090% (g)(h) | 3,814,010 | 3,814,010 | ||||||
| (Cost $3,814,010) | ||||||||
| TOTAL INVESTMENTS: 101.6% | ||||||||
| (Cost $722,532,666) | 754,901,796 | |||||||
| PAYABLE UPON RETURN OF SECURITIES LOANED (NET):- 0.5% | (3,814,010 | ) | ||||||
| OTHER ASSETS AND LIABILITIES - (NET):- 1.1% | (7,946,448 | ) | ||||||
| Net Assets: 100.0% | $ | 743,141,338 |
| (a) | Rounds to less than 0.05%. |
| (b) | Illiquid security. |
| (c) | Security valued using significant unobservable inputs. |
| (d) | Security purchased pursuant to Rule 144A of the Securities Act of 1933 and may be resold only to qualified institutional buyers. |
| (e) | Rate shown reflects the accrual rate as of September 30, 2020 on securities with variable or step rates. |
| (f) | Security of partial position of this security was on loan as of September 30, 2020. The total market value of securities on loan as of September 30, 2020 was $3,814,010. |
| (g) | Rate shown represents annualized 7-day yield as of September 30, 2020. |
| (h) | Premier Class shares |
LIBOR-London Inter-bank Offered Rate. At September 30, 2020 the 1 month and 3 month LIBOR rates were 0.148% and 0.234%, respectively.
LP - Limited Partnership
TIPS - Treasury Inflation Protected Securities
September 30, 2020
Pax World Funds Series Trust I and Pax World Fund Series Trust III
Valuation of Investments For purposes of calculating the net asset value (“NAV”), determined ordinarily as of the close of regular trading (normally 4:00 p.m. Eastern time) (the “NYSE Close”) on the New York Stock Exchange (“NYSE”) on each day that the NYSE is open for trading, the Funds normally use pricing data for domestic equity securities received shortly after the NYSE Close and do not normally take into account trading, clearances or settlements that take place after the NYSE Close. U.S. fixed income and non-U.S. securities are normally priced using data reflecting the earlier closing of the principal markets for those securities, subject to possible fair value adjustments. Information that becomes known to the Funds or their agents after NAV has been calculated on a particular day will not generally be used to retroactively adjust the price of a security or NAV determined earlier that day.
For the purpose of these financial statements, fair values for various types of securities and other instruments are determined on the basis of closing prices or last sales prices on an exchange or other market, or based on quotes or other market information obtained from quotation reporting systems, established market makers or pricing services. Short-term investments having a maturity of 60 days or less are generally valued at amortized cost, which approximates fair value.
Investments denominated in currencies other than the U.S. dollar are converted to U.S. dollars using exchange rates obtained from pricing services. As a result, the NAV of a Fund’s shares may be affected by changes in the value of currencies in relation to the U.S. dollar.
If market quotations are not readily available (including in cases when available market quotations are deemed to be unreliable), the Funds’ investments will be valued as determined in good faith pursuant to policies and procedures approved by the Boards of Trustees of the Trusts (the "Boards" or "Boards of Trustees")(so called “fair value pricing”). Fair value pricing may require subjective determinations about the value of a security or other asset, and fair values used to determine a Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same investments. Also, the use of fair value pricing may not always result in adjustments to the prices of securities or other assets held by a Fund. The Boards have delegated to the Advisers’ Best Execution and Valuation Committee the day-to-day responsibility for making fair value pricing determinations with respect to Fund holdings.
The Funds may determine that market quotations are not readily available due to events relating to a single issuer (e.g., corporate actions or announcements) or events relating to multiple issuers (e.g., governmental actions or natural disasters). The Funds may determine the fair value of investments based on information provided by pricing services and other third-party vendors, which may recommend fair value prices or adjustments with reference to other securities, indices or assets. In considering whether fair value pricing is required and in determining fair values, the Funds may, among other things, consider significant events (which may be considered to include changes in the value of U.S. securities or securities indices) that occur after the close of the relevant market and the usual time of valuation. At September 30, 2020, four securities were fair valued in good faith pursuant to policies and procedures approved by the Boards of Trustees. The High Yield Bond Fund held two securities fair valued at $0, representing 0.00% of the Fund’s net asset value, and the Core Bond Fund and High Yield Bond Fund each hold one position each in a Community Investment note which is valued based on a general obligation by the parent entity to limit exposure on the issue.
For those Funds that invest in non-U.S. securities, investors should be aware that many securities markets and exchanges outside the U.S. close prior to the close of the NYSE, and the closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before the close of the NYSE. As a result, the Funds’ fair value pricing procedures require the Funds to consider changes in the fair value of non-U.S. securities between the time of the closing of the local market’s exchange and the close of the NYSE. Generally, if there has been a movement in the U.S. market that exceeds a specified threshold, the Funds will assess whether the closing price on the local exchange is still appropriate. Although the threshold may be revised from time to time and the number of days on which fair value prices will be used will depend on market activity, it is possible that fair value prices will be used by the Funds to a significant extent. The value determined for an investment using the Funds’ fair value pricing procedures may differ from recent market prices for the investment.
Fair Value Measurements Fair value is defined as the price that the Fund would receive upon selling an investment in an orderly transaction between market participants. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below.
• Level 1 – unadjusted quoted prices in active markets for identical investments
• Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
• Level 3 – significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments)
Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed 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 developed based on the best information available in the circumstances. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following is a general summary of valuation inputs and classifications for different categories of securities.
Equity Securities Equity securities, including common stocks, preferred stocks and exchange-traded funds, for which market quotations are readily available, valued at the last reported sale price or official closing price as reported by an independent pricing service, are generally categorized as Level 1 in the hierarchy. Non-U.S. equity securities may also be valued at official close, or may be valued based on the fair value pricing procedures noted above. When third-party fair value pricing of foreign securities methods are applied, they are generally categorized as Level 2. To the extent that inputs for equity securities are unobservable, values are categorized as Level 3 in the hierarchy.
Fixed Income Securities Fixed income securities, including Corporate Bonds (both investment-grade and high-yield), U.S. Treasury Obligations, Government Bonds, Mortgage-Backed and Asset-Backed Securities, Bank Loans and Municipal Bonds, are valued at evaluated prices received from independent pricing services, which are evaluated using various inputs and techniques which may include trade activity, broker-dealer quotes, yield curves, coupon rates, default rates, cash flows, models and other inputs, and are generally categorized as Level 2 in the hierarchy. To the extent that inputs for fixed income securities are unobservable, values are categorized as Level 3 in the hierarchy.
Affiliated and Unaffiliated Investment Companies Investments in mutual funds are valued at the Funds’ closing net asset value and are generally categorized as Level 1.
Short-term Investments Short-term securities, including repurchase agreements, with remaining maturities of 60 days or less, which are valued at amortized cost, are generally categorized as Level 2 in the hierarchy.
The following is a summary of the inputs used to value the Funds’ net assets as of September 30, 2020:
| Level 1 | Level 2 | Level 3* | Totals | |||||||||||||
| Large Cap | ||||||||||||||||
| Common Stocks | $ | 862,792,309 | $ | - | $ | - | $ | 862,792,309 | ||||||||
| Cash Equivalents | 37,183,475 | - | - | 37,183,475 | ||||||||||||
| Total | $ | 899,975,784 | $ | - | $ | - | $ | 899,975,784 | ||||||||
| Small Cap | ||||||||||||||||
| Common Stocks | $ | 349,069,153 | $ | - | $ | - | $ | 349,069,153 | ||||||||
| Cash Equivalents | 12,342,593 | - | - | 12,342,593 | ||||||||||||
| Total | $ | 361,411,746 | $ | - | $ | - | $ | 361,411,746 | ||||||||
| ESG Beta Quality | ||||||||||||||||
| Common Stocks | $ | 233,690,319 | $ | - | $ | - | $ | 233,690,319 | ||||||||
| Cash Equivalents | 1,086,196 | - | - | 1,086,196 | ||||||||||||
| Total | $ | 234,776,515 | $ | - | $ | - | $ | 234,776,515 | ||||||||
| ESG Beta Dividend | ||||||||||||||||
| Common Stocks | $ | 122,592,619 | $ | - | $ | - | $ | 122,592,619 | ||||||||
| Cash Equivalents | 1,090,974 | - | - | 1,090,974 | ||||||||||||
| Total | $ | 123,683,593 | $ | - | $ | - | $ | 123,683,593 | ||||||||
| Global Opportunities | ||||||||||||||||
| Common Stocks | $ | 29,676,029 | $ | 23,547,538 | $ | - | $ | 53,223,567 | ||||||||
| Cash Equivalents | 1,042,686 | - | - | 1,042,686 | ||||||||||||
| Total | $ | 30,718,715 | $ | 23,547,538 | $ | - | $ | 54,266,253 | ||||||||
| Global Environmental Markets | ||||||||||||||||
| Common Stocks | $ | 702,264,595 | $ | 475,988,030 | $ | - | $ | 1,178,252,625 | ||||||||
| Cash Equivalents | 38,788,560 | - | - | 38,788,560 | ||||||||||||
| Total | $ | 741,053,155 | $ | 475,988,030 | $ | - | $ | 1,217,041,185 | ||||||||
| Global Women’s Leadership | ||||||||||||||||
| Common Stocks | $ | 436,731,688 | $ | 164,493,782 | $ | - | $ | 601,225,470 | ||||||||
| Preferred Stocks | - | 586,890 | - | 586,890 | ||||||||||||
| Cash Equivalents | 3,840,223 | - | - | 3,840,223 | ||||||||||||
| Total | $ | 440,571,911 | $ | 165,080,672 | $ | - | $ | 605,652,583 | ||||||||
| EAFE ESG Leaders | ||||||||||||||||
| Common Stocks | $ | 14,902,920 | $ | 572,250,576 | $ | - | $ | 587,153,496 | ||||||||
| Preferred Stocks | - | 2,894,181 | - | 2,894,181 | ||||||||||||
| Cash Equivalents | 4,759,916 | - | - | 4,759,916 | ||||||||||||
| Total | $ | 19,662,836 | $ | 575,144,757 | $ | - | $ | 594,807,593 | ||||||||
| Core Bond | ||||||||||||||||
| Community Investment Notes | $ | - | $ | - | $ | 286,933 | 286,933 | |||||||||
| Corporate Bonds | - | 281,706,587 | - | 281,706,587 | ||||||||||||
| U.S. Gov't Agency Bonds | - | 9,098,466 | - | 9,098,466 | ||||||||||||
| Supranational Bonds | - | 75,173,552 | - | 75,173,552 | ||||||||||||
| Municipal Bonds | - | 19,618,649 | - | 19,618,649 | ||||||||||||
| U.S. Treasury Notes | - | 96,226,817 | - | 96,226,817 | ||||||||||||
| Asset-Backed Securities | - | 52,006,485 | - | 52,006,485 | ||||||||||||
| Mortgage-Backed Securities | - | 184,320,254 | - | 184,320,254 | ||||||||||||
| Medium Term Certificates of Deposit | - | 261,149 | - | 261,149 | ||||||||||||
| Cash Equivalents | 32,133,339 | 255,557 | - | 32,388,896 | ||||||||||||
| Total | $ | 32,133,339 | $ | 718,667,516 | $ | 286,933 | $ | 751,087,788 | ||||||||
| High Yield Bond | ||||||||||||||||
| Common Stocks | $ | - | $ | - | $ | 0 | $ | 0 | ||||||||
| Community Investment Notes | 500,000 | 500,000 | ||||||||||||||
| Preferred Stocks | 3,289,200 | - | 0 | 3,289,200 | ||||||||||||
| Corporate Bonds | - | 382,306,050 | - | 382,306,050 | ||||||||||||
| Loans | - | 3,237,894 | - | 3,237,894 | ||||||||||||
| Medium Term Certificates of Deposit | - | 100,871 | - | 100,871 | ||||||||||||
| Cash Equivalents | 12,821,526 | 1,108,891 | - | 13,930,417 | ||||||||||||
| Total | $ | 16,110,726 | $ | 386,753,706 | $ | 500,000 | $ | 403,364,432 | ||||||||
| Sustainable Allocation | ||||||||||||||||
| Affiliated Investment Companies | $ | 1,900,335,122 | $ | - | $ | - | $ | 1,900,335,122 | ||||||||
| Cash Equivalents | 75,262,447 | - | - | 75,262,447 | ||||||||||||
| Total | $ | 1,975,597,569 | $ | - | $ | - | $ | 1,975,597,569 | ||||||||
| * | Table includes securities valued at zero. |
Affiliated Investments The term “affiliated company” includes other investment companies that are managed by a Fund’s Adviser. At September 30, 2020, the Sustainable Allocation Fund held the following investments in affiliated Funds:
| Shares Held at | Gross | Gross | Shares Held at | Value at | Dividend | Realized | Net change in Unrealized Appreciation/ | Value at | ||||||||||||||||||||||||||||
| Fund | 12/31/19 | Additions | Reductions | 9/30/2020 | 12/31/19 | Income | Gains/Losses1 | Depreciation | 09/30/20 | |||||||||||||||||||||||||||
| Sustainable Allocation | ||||||||||||||||||||||||||||||||||||
| Large Cap | 73,178,029 | 3,835,312 | 6,629,032 | 70,384,309 | $ | 761,051,498 | $ | 3,440,315 | $ | 2,803,750 | $ | 64,527,917 | $ | 791,823,480 | ||||||||||||||||||||||
| Small Cap | 2,158,328 | 1,631,022 | - | 3,789,350 | 31,986,423 | - | - | (3,065,910 | ) | 48,920,512 | ||||||||||||||||||||||||||
| ESG Beta Dividend | 10,010,369 | 90,100 | 1,963,974 | 8,136,495 | 128,232,821 | 1,094,720 | 4,118,270 | (2,345,914 | ) | 106,099,897 | ||||||||||||||||||||||||||
| Global Opportunities | 2,548,966 | - | - | 2,548,966 | 30,689,545 | - | - | 2,243,090 | 32,932,635 | |||||||||||||||||||||||||||
| Global Environmental Markets | 1,482,025 | 693,169 | - | 2,175,194 | 25,149,965 | 159,810 | - | 6,735,842 | 40,545,617 | |||||||||||||||||||||||||||
| Global Women's Leadership | 785,900 | 737,843 | - | 1,523,743 | 21,329,334 | 287,008 | - | (170,537 | ) | 41,445,806 | ||||||||||||||||||||||||||
| EAFE ESG Leaders | 15,576,499 | 3,282,363 | 2,116,402 | 16,742,460 | 145,484,501 | 1,707,198 | 1,664,745 | (1,848,547 | ) | 149,007,897 | ||||||||||||||||||||||||||
| Core Bond | 66,778,157 | 4,232,916 | 7,162,992 | 63,848,081 | 687,147,238 | 10,629,102 | 3,396,107 | 28,886,831 | 689,559,278 | |||||||||||||||||||||||||||
| High Yield | 3,263,125 | 69,072 | 3,332,197 | - | 22,058,723 | 448,587 | (130,091 | ) | (1,047,239 | ) | - | |||||||||||||||||||||||||
| Total | $ | 1,853,130,048 | $ | 17,766,740 | $ | 11,852,782 | $ | 93,915,532 | $ | 1,900,335,122 | ||||||||||||||||||||||||||
| 1 | Includes realized capital gain distributions, from an affiliated fund, if any. |