Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks: | |||||||
Healthcare-Products | $118,941,197 | $— | $43,475 | $118,984,672 | |||
Other Industries | 1,584,447,793 | — | — | 1,584,447,793 | |||
Total Investments at Value | $1,703,388,990 | $— | $43,475 | $1,703,432,465 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks | $479,439,565 | $— | $— | $479,439,565 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Affiliated Investment Companies | $13,794,096 | $— | $— | $13,794,096 | |||
Unaffiliated Investment Companies | 84,617,913 | — | — | 84,617,913 | |||
Short-Term Investments | 184,766 | — | — | 184,766 | |||
Total Investments at Value | $98,596,775 | $— | $— | $98,596,775 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
Equity Swaps | |||||||||||
Counterparty | Pay/ Recieve | Underlying Reference | Financing Rate | Payment Frequency | Maturity Date | Notional Amount | Premiums Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | Value | ||
JPMorgan Chase Bank | Pay | Russell 1000 Value Index | 12-Month SOFR + 0.45% | Quarterly | 10/04/2024 | $14,309,444 | $— | $(324,800) | $(324,800) |
SOFR—Secured Overnight Financing Rate |
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation |
119 | Short | U.S. Treasury Long Bonds | June 2024 | $14,179,265 | $13,543,687 | $ 635,578 |
162 | Short | U.S. Treasury Ultra Bonds | June 2024 | 20,714,757 | 19,369,125 | 1,345,632 |
$1,981,210 |
Unrealized (Depreciation) | ||||||
426 | Long | MSCI EAFE Index | June 2024 | $50,043,489 | $48,297,750 | $(1,745,739) |
241 | Long | S&P 500 E-Mini Index | June 2024 | 62,311,161 | 61,057,350 | (1,253,811) |
138 | Long | Euro STOXX 50 Index | June 2024 | 7,270,606 | 7,197,485 | (73,121) |
$(3,072,671) | ||||||
Net Unrealized Appreciation (Depreciation) | $(1,091,461) |
* | Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract. |
Forward Foreign Currency Contracts | ||||||||
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized (Depreciation) | |||
Deutsche Bank AG | EUR | 202,000 | USD | 222,221 | 06/20/2024 | $ 6,217 | $ — | |
JPY | 67,934,000 | USD | 453,581 | 06/20/2024 | 19,636 | — | ||
USD | 169,570 | JPY | 24,662,000 | 06/20/2024 | — | (12,036) | ||
25,853 | (12,036) | |||||||
JPMorgan Chase Bank, N.A. | AUD | 283,000 | USD | 185,696 | 06/20/2024 | 2,102 | — | |
EUR | 890,735 | USD | 979,952 | 06/20/2024 | 27,467 | — | ||
JPY | 267,839,930 | USD | 1,841,655 | 06/20/2024 | 130,762 | — | ||
USD | 22,084,525 | AUD | 33,238,529 | 06/20/2024 | — | (521,268) | ||
USD | 6,900,142 | CAD | 9,276,528 | 06/20/2024 | — | (156,253) | ||
USD | 528,817 | EUR | 485,000 | 06/20/2024 | — | (10,194) | ||
USD | 217,856 | SEK | 2,306,000 | 06/20/2024 | — | (8,152) | ||
USD | 53,564 | SGD | 71,000 | 06/20/2024 | — | (1,434) | ||
160,331 | (697,301) | |||||||
Morgan Stanley & Co. International PLC | CAD | 38,001 | USD | 28,266 | 06/20/2024 | 640 | — | |
JPY | 23,654,000 | USD | 154,674 | 06/20/2024 | 3,578 | — | ||
NZD | 6,000 | USD | 3,699 | 06/20/2024 | 164 | — | ||
SEK | 1,927,000 | USD | 189,491 | 06/20/2024 | 14,252 | — | ||
USD | 386,970 | CHF | 336,000 | 06/20/2024 | — | (19,473) | ||
USD | 35,876 | GBP | 28,000 | 06/20/2024 | — | (880) | ||
USD | 91,867 | NOK | 959,000 | 06/20/2024 | — | (5,431) | ||
18,634 | (25,784) | |||||||
UBS AG | USD | 13,625,084 | EUR | 12,384,999 | 06/20/2024 | — | (381,493) | |
Unrealized Appreciation (Depreciation) | $204,818 | $(1,116,614) |
Industry Allocation* | |
U.S. Government & Agency Obligations | 44.6% |
Short-Term Investments | 8.1 |
Pharmaceuticals | 4.1 |
Internet | 3.9 |
Semiconductors | 3.6 |
Software | 3.2 |
Banks | 3.0 |
Insurance | 2.2 |
Computers | 2.1 |
Oil & Gas | 1.8 |
Retail | 1.5 |
Auto Manufacturers | 1.2 |
Commercial Services | 1.2 |
Diversified Financial Services | 1.1 |
Electronics | 1.1 |
Food | 1.0 |
Healthcare-Products | 1.0 |
Building Materials | 0.8 |
Distribution/Wholesale | 0.7 |
Miscellaneous Manufacturing | 0.7 |
Telecommunications | 0.7 |
Biotechnology | 0.7 |
Home Builders | 0.7 |
Mining | 0.6 |
Apparel | 0.6 |
Electric | 0.6 |
Industry Allocation*(continued) | |
Electrical Components & Equipment | 0.6% |
Cosmetics/Personal Care | 0.5 |
Healthcare-Services | 0.5 |
Media | 0.5 |
Machinery-Diversified | 0.5 |
Aerospace/Defense | 0.4 |
Engineering & Construction | 0.4 |
Machinery-Construction & Mining | 0.4 |
Iron/Steel | 0.4 |
Chemicals | 0.3 |
Beverages | 0.3 |
Household Products/Wares | 0.3 |
Oil & Gas Services | 0.3 |
Real Estate | 0.2 |
Agriculture | 0.2 |
REITS | 0.2 |
Transportation | 0.2 |
Investment Companies | 0.2 |
Purchased Options | 0.2 |
Airlines | 0.2 |
Auto Parts & Equipment | 0.1 |
Environmental Control | 0.1 |
Entertainment | 0.1 |
Toys/Games/Hobbies | 0.1 |
Home Furnishings | 0.1 |
Gas | 0.1 |
Lodging | 0.1 |
Water | 0.1 |
Food Service | 0.1 |
98.5% |
* | Calculated as a percentage of net assets |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks: | |||||||
Bermuda | $541,085 | $385,551 | $— | $926,636 | |||
Canada | 138,425 | — | — | 138,425 | |||
Cayman Islands | 175,420 | 374,627 | — | 550,047 | |||
Curacao | 1,055,480 | — | — | 1,055,480 | |||
Denmark | 2,151 | 5,860,253 | — | 5,862,404 | |||
Germany | 122,305 | 12,419,338 | — | 12,541,643 | |||
Ireland | 3,806,917 | 1,580,948 | — | 5,387,865 | |||
Israel | 1,283,040 | 199,143 | — | 1,482,183 | |||
Jersey | 431,764 | 1,631,654 | — | 2,063,418 | |||
Luxembourg | 465,250 | 1,341,563 | — | 1,806,813 | |||
Panama | 53,056 | — | — | 53,056 | |||
Switzerland | 2,348,195 | 13,020,189 | — | 15,368,384 | |||
United Kingdom | 149,759 | 18,998,519 | 0 | 19,148,278 | |||
United States | 165,596,371 | — | 117 | 165,596,488 | |||
Other Countries | — | 77,077,336 | — | 77,077,336 | |||
U.S. Government & Agency Obligations | — | 302,034,630 | — | 302,034,630 | |||
Purchased Options | 1,285,200 | — | — | 1,285,200 | |||
Warrants | 10,366 | — | — | 10,366 | |||
Short-Term Investments: | |||||||
U.S. Government | — | 6,902,984 | — | 6,902,984 | |||
Other Short-Term Investments | 48,114,761 | — | — | 48,114,761 | |||
Total Investments at Value | $225,579,545 | $441,826,735 | $117 | $667,406,397 |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Other Financial Instruments:† | |||||||
Futures Contracts | $1,981,210 | $— | $— | $1,981,210 | |||
Forward Foreign Currency Contracts | — | 204,818 | — | 204,818 | |||
Total Other Financial Instruments | $1,981,210 | $204,818 | $— | $2,186,028 | |||
LIABILITIES: | |||||||
Other Financial Instruments:† | |||||||
Swaps | $— | $324,800 | $— | $324,800 | |||
Futures Contracts | 2,999,550 | 73,121 | — | 3,072,671 | |||
Forward Foreign Currency Contracts | — | 1,116,614 | — | 1,116,614 | |||
Total Other Financial Instruments | $2,999,550 | $1,514,535 | $— | $4,514,085 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized (Depreciation) |
96 | Long | MSCI Emerging Markets Index | June 2024 | $5,082,101 | $5,001,600 | $(80,501) |
* | Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract. |
Industry Allocation* | |
Banks | 15.3% |
Semiconductors | 14.7 |
Internet | 11.4 |
Oil & Gas | 4.6 |
Unaffiliated Investment Companies | 3.9 |
Diversified Financial Services | 3.7 |
Industry Allocation*(continued) | |
Computers | 3.2% |
Auto Manufacturers | 2.9 |
Telecommunications | 2.4 |
Retail | 2.2 |
Chemicals | 2.1 |
Electronics | 2.1 |
Insurance | 2.0 |
Electric | 1.9 |
Mining | 1.8 |
Food | 1.8 |
Iron/Steel | 1.5 |
Pharmaceuticals | 1.4 |
Real Estate | 1.3 |
Beverages | 1.3 |
Engineering & Construction | 1.0 |
Software | 1.0 |
Auto Parts & Equipment | 0.8 |
Healthcare-Services | 0.8 |
Building Materials | 0.8 |
Electrical Components & Equipment | 0.8 |
Commercial Services | 0.7 |
Transportation | 0.6 |
Miscellaneous Manufacturing | 0.5 |
Biotechnology | 0.4 |
Coal | 0.4 |
Leisure Time | 0.4 |
Machinery-Diversified | 0.4 |
Cosmetics/Personal Care | 0.4 |
Agriculture | 0.3 |
Aerospace/Defense | 0.3 |
Home Furnishings | 0.3 |
Household Products/Wares | 0.3 |
Holding Companies-Diversified | 0.3 |
Lodging | 0.3 |
Gas | 0.3 |
Shipbuilding | 0.3 |
Investment Companies | 0.2 |
Airlines | 0.2 |
Apparel | 0.2 |
Metal Fabricate/Hardware | 0.2 |
Short-Term Investments | 0.2 |
Distribution/Wholesale | 0.2 |
Energy-Alternate Sources | 0.2 |
Entertainment | 0.2 |
Forest Products & Paper | 0.1 |
Water | 0.1 |
Machinery-Construction & Mining | 0.1 |
REITS | 0.1 |
Packaging & Containers | 0.1 |
95.0% |
* | Calculated as a percentage of net assets |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks: | |||||||
Bermuda | $150,208 | $246,466 | $— | $396,674 | |||
Brazil | 4,457,682 | — | — | 4,457,682 | |||
British Virgin Islands | — | — | 0 | 0 | |||
Cayman Islands | 1,916,161 | 11,360,908 | — | 13,277,069 | |||
Chile | 402,629 | — | — | 402,629 | |||
Colombia | 104,824 | — | — | 104,824 | |||
Cyprus | — | — | 0 | 0 | |||
Mexico | 2,360,296 | — | — | 2,360,296 | |||
Netherlands | — | 34,681 | 0 | 34,681 | |||
Peru | 40,223 | — | — | 40,223 | |||
Russia | — | — | 0 | 0 | |||
Thailand | 62,120 | 1,218,767 | — | 1,280,887 | |||
United Arab Emirates | — | 1,035,596 | 13,805 | 1,049,401 | |||
United States | 315,184 | — | — | 315,184 | |||
Other Countries | — | 61,268,069 | — | 61,268,069 | |||
Unaffiliated Investment Companies | 3,638,802 | — | — | 3,638,802 | |||
Warrants | 76 | — | — | 76 | |||
Corporate Bonds & Notes | — | 492 | — | 492 | |||
Short-Term Investments | — | 198,865 | — | 198,865 | |||
Total Investments at Value | $13,448,205 | $75,363,844 | $13,805 | $88,825,854 | |||
LIABILITIES: | |||||||
Other Financial Instruments:† | |||||||
Futures Contracts | $80,501 | $— | $— | $80,501 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Corporate Bonds & Notes | $— | $1,271,969,860 | $— | $1,271,969,860 | |||
U.S. Government & Agency Obligations | — | 48,026,094 | — | 48,026,094 | |||
Escrows and Litigation Trusts | — | 14,625 | 300 | 14,925 | |||
Total Investments at Value | $— | $1,320,010,579 | $300 | $1,320,010,879 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
Industry Allocation* | |
Semiconductors | 12.0% |
Banks | 8.4 |
Software | 7.8 |
Commercial Services | 7.7 |
Industry Allocation*(continued) | |
Diversified Financial Services | 5.2% |
Chemicals | 4.9 |
Computers | 4.2 |
Apparel | 4.0 |
Machinery-Diversified | 3.4 |
Aerospace/Defense | 3.3 |
Pharmaceuticals | 3.1 |
Media | 3.1 |
Transportation | 3.0 |
Electronics | 2.8 |
Private Equity | 2.8 |
Internet | 2.8 |
Insurance | 2.7 |
Electrical Components & Equipment | 2.0 |
Cosmetics/Personal Care | 1.9 |
Auto Manufacturers | 1.7 |
Telecommunications | 1.7 |
Food Service | 1.6 |
Healthcare-Products | 1.6 |
Engineering & Construction | 1.5 |
Retail | 1.5 |
Building Materials | 1.5 |
Lodging | 1.4 |
Environmental Control | 1.4 |
99.0% |
* | Calculated as a percentage of net assets |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks: | |||||||
Canada | $31,954,706 | $— | $— | $31,954,706 | |||
Ireland | 4,080,644 | 4,126,621 | — | 8,207,265 | |||
United States | 32,805,725 | — | — | 32,805,725 | |||
Other Countries | — | 195,231,028 | — | 195,231,028 | |||
Warrants | — | — | 0 | 0 | |||
Total Investments at Value | $68,841,075 | $199,357,649 | $0 | $268,198,724 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks | $241,171,448 | $— | $— | $241,171,448 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
ETF—Exchange Traded Fund |
FRS—Floating Rate Security |
TSFR3M—Term Secured Overnight Financing Rate 3 Month |
ULC—Unlimited Liability Corp. |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Corporate Bonds & Notes | $— | $211,660,118 | $— | $211,660,118 | |||
U.S. Government & Agency Obligations | — | 291,262,321 | — | 291,262,321 | |||
Unaffiliated Investment Companies | 17,385,300 | — | — | 17,385,300 | |||
Repurchase Agreements | — | 899,399 | — | 899,399 | |||
Total Investments at Value | $17,385,300 | $503,821,838 | $— | $521,207,138 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
Security Description | Shares or Principal Amount | Value | ||
UNAFFILIATED INVESTMENT COMPANIES (continued) | ||||
iShares 7-10 Year Treasury Bond ETF | 12,200 | $ 1,115,446 | ||
iShares iBoxx $ Investment Grade Corporate Bond ETF | 53,000 | 5,564,470 | ||
Total Unaffiliated Investment Companies (cost $18,601,008) | 16,176,316 | |||
Total Long-Term Investment Securities (cost $515,933,628) | 481,614,652 | |||
REPURCHASE AGREEMENTS — 0.1% | ||||
Agreement with Fixed Income Clearing Corp., bearing interest at 1.60% dated 04/30/2024, to be repurchased 05/01/2024 in
the amount of $406,775 and collateralized by $415,800 of United States Treasury Notes, bearing interest at 4.88% due 04/30/2026 and having an approximate value of $415,051 (cost $406,757) | $ 406,757 | 406,757 | ||
TOTAL INVESTMENTS (cost $516,340,385) | 99.4% | 482,021,409 | ||
Other assets less liabilities | 0.6 | 2,889,739 | ||
NET ASSETS | 100.0% | $484,911,148 |
ETF—Exchange Traded Fund |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Corporate Bonds & Notes | $— | $186,374,009 | $— | $186,374,009 | |||
U.S. Government & Agency Obligations | — | 279,064,327 | — | 279,064,327 | |||
Unaffiliated Investment Companies | 16,176,316 | — | — | 16,176,316 | |||
Repurchase Agreements | — | 406,757 | — | 406,757 | |||
Total Investments at Value | $16,176,316 | $465,845,093 | $— | $482,021,409 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
Security Description | Shares or Principal Amount | Value | ||
SHORT-TERM INVESTMENTS — 0.4% | ||||
Unaffiliated Investment Companies — 0.4% | ||||
State Street Institutional U.S. Government Money Market Fund, Premier Class 5.25%(1) (cost $5,369,229) | $5,369,229 | $ 5,369,229 | ||
TOTAL INVESTMENTS (cost $930,634,091) | 99.9% | 1,202,058,454 | ||
Other assets less liabilities | 0.1 | 1,266,394 | ||
NET ASSETS | 100.0% | $1,203,324,848 |
† | Non-income producing security |
(1) | The rate shown is the 7-day yield as of April 30, 2024. |
ETF—Exchange Traded Fund |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks | $1,186,450,675 | $— | $— | $1,186,450,675 | |||
Unaffiliated Investment Companies | 10,238,550 | — | — | 10,238,550 | |||
Short-Term Investments | 5,369,229 | — | — | 5,369,229 | |||
Total Investments at Value | $1,202,058,454 | $— | $— | $1,202,058,454 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks: | |||||||
Aerospace/Defense | $— | $9,653,779 | $— | $9,653,779 | |||
Apparel | 1,013,255 | 1,346,248 | — | 2,359,503 | |||
Chemicals | 15,716,624 | 5,031,805 | — | 20,748,429 | |||
Commercial Services | 12,370,922 | 670,793 | — | 13,041,715 | |||
Engineering & Construction | 6,609,332 | 571,068 | — | 7,180,400 | |||
Food | — | 8,019,066 | — | 8,019,066 | |||
Lodging | 7,801,259 | 2,327,912 | — | 10,129,171 | |||
Miscellaneous Manufacturing | — | 1,384,500 | — | 1,384,500 | |||
Other Industries | 203,751,258 | — | — | 203,751,258 | |||
Short-Term Investments: | |||||||
U.S. Government Agency | — | 8,548,747 | — | 8,548,747 | |||
Other Short-Term Investments | 744,664 | — | — | 744,664 | |||
Total Investments at Value | $248,007,314 | $37,553,918 | $— | $285,561,232 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks | $144,344,848 | $— | $— | $144,344,848 | |||
Short-Term Investments: | |||||||
U.S. Government Agency | — | 1,395,000 | — | 1,395,000 | |||
Other Short-Term Investments | 162,045 | — | — | 162,045 | |||
Total Investments at Value | $144,506,893 | $1,395,000 | $— | $145,901,893 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
Security Description | Shares or Principal Amount | Value | ||
SHORT-TERM INVESTMENTS — 2.1% | ||||
U.S. Government Agency — 1.9% | ||||
Federal Home Loan Bank | ||||
5.27%, 05/01/2024 | $6,815,000 | $ 6,814,001 | ||
Unaffiliated Investment Companies — 0.2% | ||||
State Street Institutional U.S. Government Money Market Fund, Premier Class 5.25%(1) | 602,170 | 602,170 | ||
Total Short-Term Investments (cost $7,417,170) | 7,416,171 | |||
TOTAL INVESTMENTS (cost $319,062,590) | 101.5% | 357,502,977 | ||
Other assets less liabilities | (1.5) | (5,178,844) | ||
NET ASSETS | 100.0% | $352,324,133 |
† | Non-income producing security |
(1) | The rate shown is the 7-day yield as of April 30, 2024. |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks | $350,086,806 | $— | $— | $350,086,806 | |||
Short-Term Investments: | |||||||
U.S. Government Agency | — | 6,814,001 | — | 6,814,001 | |||
Other Short-Term Investments | 602,170 | — | — | 602,170 | |||
Total Investments at Value | $350,688,976 | $6,814,001 | $— | $357,502,977 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation |
21 | Short | U.S. Treasury 10 Year Notes | June 2024 | $2,314,058 | $2,256,187 | $57,871 |
Unrealized (Depreciation) | ||||||
9 | Long | S&P 500 E-Mini Index | June 2024 | $2,333,988 | $2,280,150 | $(53,838) |
7 | Long | U.S. Treasury 10 Year Notes | June 2024 | 769,747 | 752,063 | (17,684) |
2 | Long | U.S. Treasury 2 Year Notes | June 2024 | 409,782 | 405,313 | (4,469) |
1 | Long | U.S. Treasury 5 Year Notes | June 2024 | 107,396 | 104,742 | (2,654) |
$(78,645) | ||||||
Net Unrealized Appreciation (Depreciation) | $(20,774) |
* | Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract. |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | |
ASSETS: | ||||
Investments at Value:* | ||||
Common Stocks: | ||||
Advertising | $19,106 | $46,419 | $— | $65,525 |
Aerospace/Defense | 843,283 | 258,756 | — | 1,102,039 |
Agriculture | 224,261 | 34,914 | — | 259,175 |
Airlines | 95,089 | 75,900 | — | 170,989 |
Apparel | 193,910 | 273,741 | — | 467,651 |
Auto Manufacturers | 332,455 | 607,100 | — | 939,555 |
Auto Parts & Equipment | 111,491 | 223,261 | — | 334,752 |
Banks | 2,412,610 | 1,584,141 | — | 3,996,751 |
Beverages | 641,225 | 121,358 | — | 762,583 |
Biotechnology | 596,399 | 30,758 | 887 | 628,044 |
Building Materials | 391,589 | 214,466 | — | 606,055 |
Chemicals | 904,591 | 362,657 | — | 1,267,248 |
Commercial Services | 1,177,484 | 206,565 | — | 1,384,049 |
Computers | 2,307,768 | 121,306 | — | 2,429,074 |
Cosmetics/Personal Care | 539,093 | 158,687 | — | 697,780 |
Distribution/Wholesale | 398,348 | 363,495 | — | 761,843 |
Diversified Financial Services | 1,982,576 | 143,395 | — | 2,125,971 |
Electric | 763,320 | 249,933 | — | 1,013,253 |
Electrical Components & Equipment | 819,121 | 159,617 | — | 978,738 |
Electronics | 494,282 | 299,677 | — | 793,959 |
Engineering & Construction | 84,491 | 119,014 | — | 203,505 |
Entertainment | 35,289 | 72,414 | — | 107,703 |
Food | 992,411 | 622,945 | — | 1,615,356 |
Food Service | — | 114,018 | — | 114,018 |
Forest Products & Paper | 87,170 | 103,042 | — | 190,212 |
Gas | 26,830 | 218,949 | — | 245,779 |
Hand/Machine Tools | 27,612 | 31,733 | — | 59,345 |
Healthcare-Products | 1,849,095 | 183,476 | — | 2,032,571 |
Healthcare-Services | 1,320,734 | 34,424 | — | 1,355,158 |
Home Builders | 197,734 | 68,590 | — | 266,324 |
Home Furnishings | 11,691 | 176,842 | — | 188,533 |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
Insurance | $2,212,689 | $692,087 | $— | $2,904,776 | |||
Internet | 5,214,463 | 94,719 | — | 5,309,182 | |||
Investment Companies | 33,139 | 125,179 | — | 158,318 | |||
Iron/Steel | 218,222 | 188,765 | 64 | 407,051 | |||
Lodging | 20,260 | 80,567 | — | 100,827 | |||
Machinery-Construction & Mining | 267,811 | 197,949 | — | 465,760 | |||
Machinery-Diversified | 175,861 | 183,667 | — | 359,528 | |||
Media | 484,325 | 136,802 | — | 621,127 | |||
Metal Fabricate/Hardware | 59,390 | 41,645 | — | 101,035 | |||
Mining | 74,455 | 261,750 | — | 336,205 | |||
Miscellaneous Manufacturing | 65,274 | 186,220 | — | 251,494 | |||
Office/Business Equipment | 17,715 | 23,009 | — | 40,724 | |||
Oil & Gas | 2,353,301 | 636,363 | — | 2,989,664 | |||
Packaging & Containers | 185,395 | 42,559 | — | 227,954 | |||
Pharmaceuticals | 3,316,281 | 1,622,083 | 0 | 4,938,364 | |||
Private Equity | 39,987 | 156,790 | — | 196,777 | |||
Real Estate | 15,590 | 187,665 | — | 203,255 | |||
REITS | 696,361 | 30,008 | — | 726,369 | |||
Retail | 1,934,882 | 450,456 | — | 2,385,338 | |||
Semiconductors | 2,950,678 | 572,245 | — | 3,522,923 | |||
Shipbuilding | 6,646 | 33,076 | — | 39,722 | |||
Software | 4,872,444 | 261,542 | — | 5,133,986 | |||
Telecommunications | 943,971 | 514,256 | — | 1,458,227 | |||
Toys/Games/Hobbies | 17,328 | 116,958 | — | 134,286 | |||
Transportation | 1,010,433 | 73,642 | — | 1,084,075 | |||
Water | 28,657 | 13,184 | — | 41,841 | |||
Other Industries | 1,100,447 | — | — | 1,100,447 | |||
Corporate Bonds & Notes | — | 10,858,309 | — | 10,858,309 | |||
Collateralized Mortgage Obligations | — | 33,656 | — | 33,656 | |||
U.S. Government & Agency Obligations | — | 14,993,387 | — | 14,993,387 | |||
Unaffiliated Investment Companies | 5,129,775 | — | — | 5,129,775 | |||
Short-Term Investments | 1,358,856 | — | — | 1,358,856 | |||
Total Investments at Value | $54,685,694 | $40,090,131 | $951 | $94,776,776 | |||
Other Financial Instruments:† | |||||||
Futures Contracts | $57,871 | $— | $— | $57,871 | |||
LIABILITIES: | |||||||
Forward Sales Contracts: | |||||||
U.S. Government Agencies | $— | $176,161 | $— | $176,161 | |||
Other Financial Instruments:† | |||||||
Futures Contracts | $78,645 | $— | $— | $78,645 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Affiliated Investment Companies | $96,615,888 | $— | $— | $96,615,888 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Affiliated Investment Companies | $98,480,533 | $— | $— | $98,480,533 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Affiliated Investment Companies | $361,446,242 | $— | $— | $361,446,242 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
Credit Default Swaps - Seller | ||||||||||||||||
Counterparty (OTC)/ Centrally cleared | Reference obligation | Implied credit spread | Notional amount | Currency | USD notional amount | Received fixed rate | Fixed payment frequency | Maturity date | Upfront payment paid (received) | Unrealized appreciation (depreciation) | Value | |||||
Centrally Cleared | CDX Investment Grade Index Series 42 | 0.5352% | 6,000,000 | USD | 6,000,000 | 1.000% | Quarterly | Jun 2029 | $131,617 | $(5,853) | $125,764 |
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation |
1 | Long | TOPIX Index | June 2024 | $172,814 | $173,004 | $190 |
Unrealized (Depreciation) | ||||||
13 | Long | MSCI Emerging Markets Index | June 2024 | $ 681,389 | $ 677,300 | $ (4,089) |
138 | Long | U.S. Treasury 10 Year Notes | June 2024 | 15,202,277 | 14,826,375 | (375,902) |
$(379,991) | ||||||
Net Unrealized Appreciation (Depreciation) | $(379,801) |
* | Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract. |
Forward Foreign Currency Contracts | ||||||||
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized (Depreciation) | |||
Bank of America, N.A. | NZD | 88,000 | USD | 51,932 | 05/03/2024 | $78 | $— |
NZD—New Zealand Dollar |
USD—United States Dollar |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | |
ASSETS: | ||||
Investments at Value:* | ||||
Common Stocks: | ||||
Advertising | $122,204 | $— | $— | $122,204 |
Aerospace/Defense | 390,743 | 696,447 | — | 1,087,190 |
Agriculture | 63,529 | 27,855 | — | 91,384 |
Apparel | 166,968 | 57,698 | — | 224,666 |
Auto Manufacturers | 382,561 | 540,638 | — | 923,199 |
Auto Parts & Equipment | 165,529 | 18,499 | — | 184,028 |
Banks | 737,080 | 516,374 | — | 1,253,454 |
Beverages | 430,803 | 10,252 | — | 441,055 |
Biotechnology | 121,427 | 338,064 | — | 459,491 |
Building Materials | 281,310 | 188,201 | — | 469,511 |
Chemicals | 455,509 | — | — | 455,509 |
Commercial Services | 541,398 | 14,188 | — | 555,586 |
Computers | 1,764,738 | 67,896 | — | 1,832,634 |
Distribution/Wholesale | 26,904 | 236,352 | — | 263,256 |
Diversified Financial Services | 1,108,169 | 413,602 | — | 1,521,771 |
Electric | 170,955 | 164,086 | — | 335,041 |
Electrical Components & Equipment | 417,702 | 506,704 | — | 924,406 |
Electronics | 212,315 | 397,115 | — | 609,430 |
Engineering & Construction | 29,215 | 188,939 | — | 218,154 |
Entertainment | 14,016 | — | — | 14,016 |
Gas | 13,559 | — | — | 13,559 |
Healthcare-Products | 47,037 | 203,278 | — | 250,315 |
Healthcare-Services | 1,373,175 | 253,037 | — | 1,626,212 |
Home Builders | 213,287 | 290,016 | — | 503,303 |
Household Products/Wares | 235,105 | 373,166 | — | 608,271 |
Insurance | 1,132,347 | 881,498 | — | 2,013,845 |
Internet | 2,483,637 | 34,465 | — | 2,518,102 |
Iron/Steel | 59,304 | 396,393 | — | 455,697 |
Leisure Time | 10,774 | — | — | 10,774 |
Machinery-Diversified | 72,853 | 130,036 | — | 202,889 |
Media | 23,714 | 19,175 | — | 42,889 |
Miscellaneous Manufacturing | 317,214 | 125,980 | — | 443,194 |
Multi-National | 26,734 | — | — | 26,734 |
Oil & Gas | 488,711 | 69,549 | — | 558,260 |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
Oil & Gas Services | $41,412 | $— | $— | $41,412 | |||
Pharmaceuticals | 304,921 | 853,905 | — | 1,158,826 | |||
Pipelines | 164,922 | — | — | 164,922 | |||
REITS | 838,738 | — | — | 838,738 | |||
Retail | 1,050,821 | 451,739 | — | 1,502,560 | |||
Semiconductors | 1,251,996 | 885,473 | — | 2,137,469 | |||
Software | 2,731,769 | 132,446 | — | 2,864,215 | |||
Telecommunications | 157,443 | 93,587 | — | 251,030 | |||
Transportation | 232,160 | 102,061 | — | 334,221 | |||
Other Industries | — | 1,283,392 | — | 1,283,392 | |||
Unaffiliated Investment Companies | 1,624,290 | — | — | 1,624,290 | |||
Short-Term Investments | 11,554,461 | — | — | 11,554,461 | |||
Total Investments at Value | $34,053,459 | $10,962,106 | $— | $45,015,565 | |||
Other Financial Instruments:† | |||||||
Futures Contracts | $— | $190 | $— | $190 | |||
Forward Foreign Currency Contracts | — | 78 | — | 78 | |||
Total Other Financial Instruments | $— | $268 | $— | $268 | |||
LIABILITIES: | |||||||
Other Financial Instruments:† | |||||||
Swaps | $— | $5,853 | $— | $5,853 | |||
Futures Contracts | 379,991 | — | — | 379,991 | |||
Total Other Financial Instruments | $379,991 | $5,853 | $— | $385,844 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Affiliated Investment Companies | $258,208,745 | $— | $— | $258,208,745 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Affiliated Investment Companies | $499,037,787 | $— | $— | $499,037,787 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Affiliated Investment Companies | $1,363,491,891 | $— | $— | $1,363,491,891 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
ADR—American Depositary Receipt |
BR—Bearer Shares |
CDI—Chess Depositary Interest |
CVA—Certification Van Aandelen (Dutch Cert.) |
TRQX—Turquoise Stock Exchange |
XEGT—Equiduct Stock Exchange |
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized (Depreciation) |
245 | Long | MSCI EAFE Index | June 2024 | $28,792,954 | $27,776,875 | $(1,016,079) |
* | Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract. |
Industry Allocation* | |
Banks | 11.1% |
Pharmaceuticals | 9.2 |
Insurance | 4.9 |
Oil & Gas | 4.3 |
Auto Manufacturers | 4.1 |
Semiconductors | 4.1 |
Food | 3.6 |
Telecommunications | 2.6 |
Repurchase Agreements | 2.6 |
Mining | 2.6 |
Chemicals | 2.5 |
Electric | 2.5 |
Commercial Services | 2.5 |
Apparel | 2.2 |
Cosmetics/Personal Care | 2.2 |
Aerospace/Defense | 2.1 |
Retail | 2.0 |
Building Materials | 2.0 |
Healthcare-Products | 1.9 |
Machinery-Diversified | 1.9 |
Distribution/Wholesale | 1.8 |
Beverages | 1.8 |
Electronics | 1.7 |
Software | 1.6 |
Machinery-Construction & Mining | 1.6 |
Diversified Financial Services | 1.5 |
Engineering & Construction | 1.2 |
Transportation | 1.1 |
Computers | 1.1 |
Miscellaneous Manufacturing | 0.9 |
Electrical Components & Equipment | 0.9 |
Internet | 0.8 |
Auto Parts & Equipment | 0.8 |
REITS | 0.7 |
Real Estate | 0.7 |
Entertainment | 0.7 |
Home Furnishings | 0.7 |
Biotechnology | 0.7 |
Healthcare-Services | 0.7 |
Agriculture | 0.6 |
Iron/Steel | 0.6 |
Private Equity | 0.5 |
Investment Companies | 0.5 |
Gas | 0.5 |
Toys/Games/Hobbies | 0.4 |
Household Products/Wares | 0.4 |
Food Service | 0.4 |
Media | 0.3 |
Lodging | 0.3 |
Industry Allocation*(continued) | |
Hand/Machine Tools | 0.3% |
Metal Fabricate/Hardware | 0.3 |
Advertising | 0.3 |
Forest Products & Paper | 0.3 |
Water | 0.3 |
Home Builders | 0.2 |
Office/Business Equipment | 0.2 |
Energy-Alternate Sources | 0.2 |
Leisure Time | 0.2 |
Short-Term Investments | 0.1 |
Airlines | 0.1 |
Packaging & Containers | 0.1 |
99.0% |
* | Calculated as a percentage of net assets |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks: | |||||||
Cayman Islands | $1,469,419 | $2,073,961 | $— | $3,543,380 | |||
Denmark | 21,035 | 26,616,327 | — | 26,637,362 | |||
Ireland | 2,354,962 | 4,943,187 | — | 7,298,149 | |||
Israel | 2,402,317 | 2,687,683 | — | 5,090,000 | |||
Netherlands | 738,274 | 45,502,134 | — | 46,240,408 | |||
United Kingdom | 649,044 | 99,347,791 | — | 99,996,835 | |||
Other Countries | — | 525,789,089 | — | 525,789,089 | |||
Short-Term Investments | — | 991,460 | — | 991,460 | |||
Repurchase Agreements | — | 19,318,792 | — | 19,318,792 | |||
Total Investments at Value | $7,635,051 | $727,270,424 | $— | $734,905,475 | |||
LIABILITIES: | |||||||
Other Financial Instruments:† | |||||||
Futures Contracts | $1,016,079 | $— | $— | $1,016,079 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks | $281,952,006 | $— | $— | $281,952,006 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks: | |||||||
Apparel | $— | $7,447,644 | $— | $7,447,644 | |||
Other Industries | 410,383,629 | — | — | 410,383,629 | |||
Short-Term Investments | — | 5,999,118 | — | 5,999,118 | |||
Total Investments at Value | $410,383,629 | $13,446,762 | $— | $423,830,391 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation |
121 | Short | Canadian Dollar | June 2024 | $ 8,932,255 | $ 8,799,725 | $132,530 |
33 | Short | Euro FX | June 2024 | 4,446,806 | 4,413,131 | 33,675 |
100 | Short | Euro-BUND | June 2024 | 13,987,965 | 13,882,145 | 105,820 |
33 | Short | MSCI EAFE Index | June 2024 | 3,834,052 | 3,741,375 | 92,677 |
8 | Short | S&P 500 E-Mini Index | June 2024 | 2,026,883 | 2,026,800 | 83 |
48 | Short | Swiss Franc | June 2024 | 6,899,669 | 6,562,800 | 336,869 |
2 | Short | U.S. Treasury Long Bonds | June 2024 | 228,121 | 227,625 | 496 |
36 | Short | SPI 200 Index | June 2024 | 4,513,118 | 4,435,673 | 77,445 |
$779,595 |
Unrealized (Depreciation) | ||||||
134 | Long | Australian Dollar | June 2024 | $ 8,781,398 | $ 8,699,280 | $ (82,118) |
121 | Long | Euro-BTP | June 2024 | 15,180,805 | 15,107,067 | (73,738) |
4 | Long | MSCI EAFE Index | June 2024 | 463,883 | 453,500 | (10,383) |
274 | Long | U.S. Treasury 10 Year Notes | June 2024 | 30,195,997 | 29,437,876 | (758,121) |
42 | Long | U.S. Treasury 2 Year Notes | June 2024 | 8,594,227 | 8,511,563 | (82,664) |
44 | Long | U.S. Treasury 5 Year Notes | June 2024 | 4,642,938 | 4,608,656 | (34,282) |
24 | Long | U.S. Treasury Ultra 10 Year Notes | June 2024 | 2,724,548 | 2,645,250 | (79,298) |
Numberof Contracts | Type | Description | ExpirationMonth | NotionalBasis* | NotionalValue* | Unrealized (Depreciation) |
33 | Long | U.S. Treasury Ultra Bonds | June 2024 | $ 4,125,898 | $ 3,945,562 | $ (180,336) |
74 | Long | TOPIX Index | June 2024 | 12,859,465 | 12,802,306 | (57,159) |
235 | Short | MSCI Emerging Markets Index | June 2024 | 12,130,579 | 12,243,500 | (112,921) |
$(1,471,020) | ||||||
Net Unrealized Appreciation (Depreciation) | $(691,425) |
* | Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract. |
Forward Foreign Currency Contracts | ||||||||
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized (Depreciation) | |||
Barclays Bank PLC | USD | 3,571,573 | JPY | 545,369,824 | 07/29/2024 | $ — | $ (67,286) | |
BNP Paribas SA | USD | 1,598,391 | AUD | 2,451,154 | 07/29/2024 | — | (6,493) | |
Goldman Sachs International | HKD | 2,941,821 | USD | 376,781 | 07/29/2024 | — | (241) | |
HSBC Bank PLC | DKK | 3,869,003 | USD | 557,024 | 07/29/2024 | 791 | — | |
SGD | 469,693 | USD | 346,660 | 07/29/2024 | 1,174 | — | ||
USD | 3,176,874 | CAD | 4,340,627 | 07/29/2024 | — | (19,100) | ||
USD | 796,943 | SEK | 8,610,891 | 07/29/2024 | — | (12,404) | ||
1,965 | (31,504) | |||||||
Merrill Lynch International | EUR | 577,343 | USD | 616,857 | 07/29/2024 | — | (1,610) | |
Morgan Stanley & Co. International PLC | GBP | 224,440 | USD | 279,071 | 07/29/2024 | — | (1,516) | |
Royal Bank of Canada | EUR | 653,349 | USD | 700,991 | 07/29/2024 | 1,105 | — | |
Standard Chartered Bank | USD | 290,510 | JPY | 44,809,838 | 07/29/2024 | — | (2,583) | |
State Street Bank & Trust Co. | CHF | 703,344 | USD | 777,408 | 07/29/2024 | 4,675 | — | |
Unrealized Appreciation (Depreciation) | $7,745 | $(111,233) |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | |
ASSETS: | ||||
Investments at Value:* | ||||
Common Stocks: | ||||
Advertising | $313,256 | $85,733 | $— | $398,989 |
Aerospace/Defense | 2,130,492 | 2,676,643 | — | 4,807,135 |
Agriculture | 288,523 | 248,766 | — | 537,289 |
Apparel | 372,974 | 3,988,323 | — | 4,361,297 |
Auto Manufacturers | 301,312 | 2,082,300 | — | 2,383,612 |
Banks | 10,389,913 | 8,476,744 | — | 18,866,657 |
Beverages | 2,222,860 | 2,724,124 | — | 4,946,984 |
Biotechnology | 4,368,376 | 274,323 | — | 4,642,699 |
Building Materials | 3,224,066 | 860,092 | — | 4,084,158 |
Chemicals | 849,083 | 3,972,053 | — | 4,821,136 |
Commercial Services | 1,567,440 | 2,234,536 | — | 3,801,976 |
Computers | 10,318,992 | 238,107 | — | 10,557,099 |
Cosmetics/Personal Care | 786,714 | 705,977 | — | 1,492,691 |
Distribution/Wholesale | 474,577 | 1,365,520 | — | 1,840,097 |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
Diversified Financial Services | $12,422,062 | $1,282,946 | $— | $13,705,008 | |||
Electric | 6,232,234 | 1,869,814 | — | 8,102,048 | |||
Electrical Components & Equipment | 1,695,338 | 1,603,608 | — | 3,298,946 | |||
Electronics | 2,497,851 | 928,723 | — | 3,426,574 | |||
Entertainment | 105,243 | 243,965 | — | 349,208 | |||
Food | 2,102,575 | 3,877,370 | — | 5,979,945 | |||
Healthcare-Products | 4,673,583 | 1,034,776 | — | 5,708,359 | |||
Healthcare-Services | 5,474,069 | 192,339 | 0 | 5,666,408 | |||
Housewares | 109,175 | — | — | 109,175 | |||
Insurance | 5,586,886 | 4,681,036 | — | 10,267,922 | |||
Internet | 23,380,774 | 1,429,083 | — | 24,809,857 | |||
Iron/Steel | — | 190,284 | 21 | 190,305 | |||
Lodging | 1,978,653 | 478,829 | — | 2,457,482 | |||
Machinery-Construction & Mining | 191,022 | 939,875 | — | 1,130,897 | |||
Machinery-Diversified | 2,755,414 | 1,615,282 | — | 4,370,696 | |||
Media | 486,237 | 152,130 | — | 638,367 | |||
Metal Fabricate/Hardware | 175,942 | 72,366 | — | 248,308 | |||
Miscellaneous Manufacturing | 589,205 | 375,698 | — | 964,903 | |||
Oil & Gas | 8,392,237 | 4,620,300 | — | 13,012,537 | |||
Oil & Gas Services | 1,250,346 | — | — | 1,250,346 | |||
Packaging & Containers | 872,604 | 36,153 | — | 908,757 | |||
Pharmaceuticals | 8,061,114 | 6,847,130 | — | 14,908,244 | |||
Pipelines | 779,048 | 14,179 | — | 793,227 | |||
Private Equity | 574,233 | 835,433 | — | 1,409,666 | |||
Real Estate | 159,965 | 738,010 | — | 897,975 | |||
REITS | 5,957,718 | 321,001 | — | 6,278,719 | |||
Retail | 11,506,656 | 1,171,253 | — | 12,677,909 | |||
Semiconductors | 24,754,839 | 2,920,024 | — | 27,674,863 | |||
Software | 20,727,283 | 1,509,539 | — | 22,236,822 | |||
Telecommunications | 712,458 | 930,385 | — | 1,642,843 | |||
Transportation | 2,607,658 | 499,438 | — | 3,107,096 | |||
Other Industries | — | 6,768,615 | — | 6,768,615 | |||
Preferred Stocks | — | 3,067 | — | 3,067 | |||
Corporate Bonds & Notes | — | 62,219,151 | — | 62,219,151 | |||
Asset Backed Securities | — | 12,772,525 | — | 12,772,525 | |||
Collateralized Mortgage Obligations | — | 7,887,056 | — | 7,887,056 | |||
U.S. Government & Agency Obligations | — | 32,740,647 | — | 32,740,647 | |||
Foreign Government Obligations | — | 2,905,549 | — | 2,905,549 | |||
Municipal Securities | — | 605,852 | — | 605,852 | |||
Unaffiliated Investment Companies | 24,718,690 | — | — | 24,718,690 | |||
Short-Term Investments: | |||||||
Unaffiliated Investment Companies | 3,789,049 | — | — | 3,789,049 | |||
Other Short-Term Investments | — | 4,776,437 | — | 4,776,437 | |||
Total Investments at Value | $222,928,739 | $202,023,109 | $21 | $424,951,869 | |||
Other Financial Instruments:† | |||||||
Futures Contracts | $702,150 | $77,445 | $— | $779,595 | |||
Forward Foreign Currency Contracts | — | 7,745 | — | 7,745 | |||
Total Other Financial Instruments | $702,150 | $85,190 | $— | $787,340 | |||
LIABILITIES: | |||||||
Other Financial Instruments:† | |||||||
Futures Contracts | $1,413,861 | $57,159 | $— | $1,471,020 | |||
Forward Foreign Currency Contracts | — | 111,233 | — | 111,233 | |||
Total Other Financial Instruments | $1,413,861 | $168,392 | $— | $1,582,253 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation |
219 | Long | IFSC Nifty 50 Index | May 2024 | $9,811,050 | $9,964,500 | $153,450 |
* | Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract. |
Industry Allocation* | |
Semiconductors | 19.2% |
Banks | 18.7 |
Internet | 10.3 |
Oil & Gas | 8.9 |
Auto Manufacturers | 3.5 |
Insurance | 3.3 |
Telecommunications | 2.9 |
Computers | 2.8 |
Transportation | 2.6 |
Diversified Financial Services | 2.4 |
Home Furnishings | 2.3 |
Mining | 1.8 |
Auto Parts & Equipment | 1.6 |
Food | 1.5 |
Airlines | 1.5 |
Electronics | 1.2 |
Miscellaneous Manufacturing | 1.2 |
Software | 1.0 |
Retail | 0.9 |
Engineering & Construction | 0.8 |
Coal | 0.7 |
Real Estate | 0.5 |
Beverages | 0.4 |
Forest Products & Paper | 0.4 |
Electric | 0.4 |
Diversified Finan Serv | 0.3 |
Machinery-Diversified | 0.3 |
Pharmaceuticals | 0.3 |
Household Products/Wares | 0.3 |
Entertainment | 0.3 |
Commercial Services | 0.3 |
Electrical Components & Equipment | 0.2 |
Industry Allocation*(continued) | |
Building Materials | 0.2% |
Energy-Alternate Sources | 0.2 |
93.2% |
* | Calculated as a percentage of net assets |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks: | |||||||
Bermuda | $1,075,471 | $— | $— | $1,075,471 | |||
Brazil | 10,120,037 | — | — | 10,120,037 | |||
Cayman Islands | 3,145,980 | 21,576,002 | — | 24,721,982 | |||
Chile | 562,881 | — | — | 562,881 | |||
Colombia | 515,414 | — | — | 515,414 | |||
India | 19,160,857 | — | — | 19,160,857 | |||
Mexico | 4,532,923 | — | — | 4,532,923 | |||
Panama | 983,364 | — | — | 983,364 | |||
Russia | — | — | 0 | 0 | |||
Thailand | 3,427,314 | — | — | 3,427,314 | |||
Other Countries | — | 115,650,050 | — | 115,650,050 | |||
Total Investments at Value | $43,524,241 | $137,226,052 | $0 | $180,750,293 | |||
Other Financial Instruments:† | |||||||
Futures Contracts | $153,450 | $— | $— | $153,450 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks | $947,201,126 | $— | $— | $947,201,126 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
Security Description | Shares or Principal Amount | Value | ||
REPURCHASE AGREEMENTS — 1.2% | ||||
Agreement with Fixed Income Clearing Corp., bearing interest at 1.60% dated 04/30/2024, to be repurchased 05/01/2024 in
the amount of $3,714,954 and collateralized by $5,473,300 of United States Treasury Bonds, bearing interest at 2.50% due 05/15/2046 and having an approximate value of $3,789,138 (cost $3,714,788) | $3,714,788 | $ 3,714,788 | ||
TOTAL INVESTMENTS (cost $242,246,235) | 100.1% | 322,264,326 | ||
Other assets less liabilities | (0.1) | (337,890) | ||
NET ASSETS | 100.0% | $321,926,436 |
* | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The SA JPMorgan Global Equities Portfolio has no right to demand registration of these securities. At April 30, 2024, the aggregate value of these securities was $672,301 representing 0.2% of net assets. |
† | Non-income producing security |
Industry Allocation* | |
Internet | 9.1% |
Banks | 8.3 |
Semiconductors | 7.8 |
Pharmaceuticals | 7.5 |
Software | 6.8 |
Computers | 6.0 |
Oil & Gas | 5.1 |
Insurance | 4.0 |
Retail | 3.9 |
Diversified Financial Services | 3.1 |
Electric | 3.1 |
Food | 2.8 |
Healthcare-Services | 2.7 |
Beverages | 1.9 |
REITS | 1.7 |
Auto Manufacturers | 1.5 |
Distribution/Wholesale | 1.5 |
Biotechnology | 1.4 |
Building Materials | 1.4 |
Commercial Services | 1.4 |
Home Builders | 1.3 |
Mining | 1.3 |
Repurchase Agreements | 1.2 |
Iron/Steel | 1.1 |
Chemicals | 1.1 |
Cosmetics/Personal Care | 1.0 |
Electrical Components & Equipment | 0.9 |
Auto Parts & Equipment | 0.9 |
Private Equity | 0.8 |
Telecommunications | 0.8 |
Lodging | 0.8 |
Apparel | 0.8 |
Aerospace/Defense | 0.7 |
Airlines | 0.7 |
Entertainment | 0.6 |
Machinery-Diversified | 0.6 |
Gas | 0.5 |
Home Furnishings | 0.5 |
Healthcare-Products | 0.4 |
Advertising | 0.4 |
Environmental Control | 0.4 |
Real Estate | 0.4 |
Industry Allocation*(continued) | |
Machinery-Construction & Mining | 0.3% |
Leisure Time | 0.3 |
Engineering & Construction | 0.3 |
Metal Fabricate/Hardware | 0.3 |
Packaging & Containers | 0.2 |
Shipbuilding | 0.2 |
Transportation | 0.1 |
Electronics | 0.1 |
Oil & Gas Services | 0.1 |
100.1% |
* | Calculated as a percentage of net assets |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks: | |||||||
Bermuda | $1,153,825 | $— | $— | $1,153,825 | |||
Canada | 6,344,096 | — | — | 6,344,096 | |||
Ireland | 5,191,312 | 1,418,527 | — | 6,609,839 | |||
Liberia | 1,032,005 | — | — | 1,032,005 | |||
Netherlands | 2,131,757 | 8,743,346 | — | 10,875,103 | |||
United Kingdom | 1,045,298 | 19,545,353 | — | 20,590,651 | |||
United States | 212,250,880 | — | — | 212,250,880 | |||
Other Countries | — | 59,693,139 | — | 59,693,139 | |||
Repurchase Agreements | — | 3,714,788 | — | 3,714,788 | |||
Total Investments at Value | $229,149,173 | $93,115,153 | $— | $322,264,326 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
Security Description | Shares or Principal Amount | Value | ||
REPURCHASE AGREEMENTS — 0.4% | ||||
Agreement with Fixed Income Clearing Corp., bearing interest at 1.60% dated 04/30/2024, to be repurchased 05/01/2024 in
the amount of $1,597,499 and collateralized by $2,353,700 of United States Treasury Bonds, bearing interest at 2.50% due 05/15/2046 and having an approximate value of $1,629,510 (cost $1,597,428) | $1,597,428 | $ 1,597,428 | ||
TOTAL INVESTMENTS (cost $387,815,909) | 101.9% | 456,120,452 | ||
Other assets less liabilities | (1.9) | (8,397,104) | ||
NET ASSETS | 100.0% | $447,723,348 |
† | Non-income producing security |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks | $454,523,024 | $— | $— | $454,523,024 | |||
Repurchase Agreements | — | 1,597,428 | — | 1,597,428 | |||
Total Investments at Value | $454,523,024 | $1,597,428 | $— | $456,120,452 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized (Depreciation) |
92 | Long | U.S. Treasury 2 Year Notes | June 2024 | $18,821,847 | $18,644,375 | $ (177,472) |
230 | Long | U.S. Treasury Long Bonds | June 2024 | 28,024,925 | 26,176,875 | (1,848,050) |
389 | Long | U.S. Treasury Ultra Bonds | June 2024 | 49,462,232 | 46,509,813 | (2,952,419) |
$(4,977,941) |
* | Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract. |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Corporate Bonds & Notes: | |||||||
Forest Products & Paper | $— | $— | $99,212 | $99,212 | |||
Other Industries | — | 529,889,133 | — | 529,889,133 | |||
Asset Backed Securities: | |||||||
Auto Loan Receivables | — | 39,514,847 | 44,976 | 39,559,823 | |||
Other Asset Backed Securities | — | 119,842,417 | 45,629 | 119,888,046 | |||
Other Industries | — | 4,035,379 | — | 4,035,379 | |||
Collateralized Mortgage Obligations | — | 201,761,983 | — | 201,761,983 | |||
U.S. Government & Agency Obligations | — | 774,369,694 | — | 774,369,694 | |||
Foreign Government Obligations | — | 3,681,132 | — | 3,681,132 | |||
Municipal Securities | — | 10,393,802 | — | 10,393,802 | |||
Short-Term Investments: | |||||||
U.S. Government Agency | — | 32,983,166 | — | 32,983,166 | |||
Other Short-Term Investments | 8,409,813 | — | — | 8,409,813 | |||
Repurchase Agreements | — | 535,036 | — | 535,036 | |||
Total Investments at Value | $8,409,813 | $1,717,006,589 | $189,817 | $1,725,606,219 | |||
LIABILITIES: | |||||||
Other Financial Instruments:† | |||||||
Futures Contracts | $4,977,941 | $— | $— | $4,977,941 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks | $641,933,735 | $— | $— | $641,933,735 | |||
Repurchase Agreements | — | 4,718,870 | — | 4,718,870 | |||
Total Investments at Value | $641,933,735 | $4,718,870 | $— | $646,652,605 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Corporate Bonds & Notes | $— | $93,332,712 | $— | $93,332,712 | |||
Asset Backed Securities | — | 6,165,320 | — | 6,165,320 | |||
U.S. Government & Agency Obligations | — | 108,372,832 | — | 108,372,832 | |||
Foreign Government Obligations | — | 20,205,093 | — | 20,205,093 | |||
Short-Term Investments: | |||||||
Unaffiliated Investment Companies | 30,411,002 | — | — | 30,411,002 | |||
Other Short-Term Investments | — | 151,938,382 | — | 151,938,382 | |||
Total Investments at Value | $30,411,002 | $380,014,339 | $— | $410,425,341 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
Security Description | Shares or Principal Amount | Value | ||
SHORT-TERM INVESTMENTS — 0.0% | ||||
U.S. Government — 0.0% | ||||
United States Treasury Bills | ||||
5.25%, 06/06/2024(1) (cost $49,738) | $ 50,000 | $ 49,738 | ||
TOTAL INVESTMENTS (cost $375,839,593) | 100.2% | 513,893,404 | ||
Other assets less liabilities | (0.2) | (935,921) | ||
NET ASSETS | 100.0% | $512,957,483 |
† | Non-income producing security |
(1) | The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts. |
ETF—Exchange Traded Fund |
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized (Depreciation) |
2 | Long | S&P 500 E-Mini Index | June 2024 | $518,639 | $506,700 | $(11,939) |
* | Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract. |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks | $500,082,042 | $— | $— | $500,082,042 | |||
Unaffiliated Investment Companies | 13,761,624 | — | — | 13,761,624 | |||
Short-Term Investments | — | 49,738 | — | 49,738 | |||
Total Investments at Value | $513,843,666 | $49,738 | $— | $513,893,404 | |||
LIABILITIES: | |||||||
Other Financial Instruments:† | |||||||
Futures Contracts | $11,939 | $— | $— | $11,939 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation |
198 | Long | S&P 500 E-Mini Index | June 2024 | $50,110,044 | $50,163,300 | $53,256 |
* | Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract. |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks | $3,086,695,536 | $— | $— | $3,086,695,536 | |||
Short-Term Investments | — | 3,467,906 | — | 3,467,906 | |||
Repurchase Agreements | — | 42,831,156 | — | 42,831,156 | |||
Total Investments at Value | $3,086,695,536 | $46,299,062 | $— | $3,132,994,598 | |||
Other Financial Instruments:† | |||||||
Futures Contracts | $53,256 | $— | $— | $53,256 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized (Depreciation) |
3 | Long | S&P 500 E-Mini Index | June 2024 | $777,958 | $760,050 | $(17,908) |
* | Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract. |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks | $471,733,628 | $— | $— | $471,733,628 | |||
Unaffiliated Investment Companies | 10,530,731 | — | — | 10,530,731 | |||
Short-Term Investments | — | 49,447 | — | 49,447 | |||
Total Investments at Value | $482,264,359 | $49,447 | $— | $482,313,806 | |||
LIABILITIES: | |||||||
Other Financial Instruments:† | |||||||
Futures Contracts | $17,908 | $— | $— | $17,908 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks | $643,482,744 | $— | $— | $643,482,744 | |||
Short-Term Investments | — | 2,030,702 | — | 2,030,702 | |||
Total Investments at Value | $643,482,744 | $2,030,702 | $— | $645,513,446 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks: | |||||||
Apparel | $— | $8,077,135 | $— | $8,077,135 | |||
Beverages | — | 12,571,068 | — | 12,571,068 | |||
Semiconductors | 79,228,826 | 9,266,227 | — | 88,495,053 | |||
Other Industries | 742,346,280 | — | — | 742,346,280 | |||
Short-Term Investments | — | 6,630,028 | — | 6,630,028 | |||
Total Investments at Value | $821,575,106 | $36,544,458 | $— | $858,119,564 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation |
44 | Short | U.S. Treasury Ultra 10 Year Notes | June 2024 | $4,998,973 | $4,849,625 | $149,348 |
Unrealized (Depreciation) | ||||||
110 | Long | U.S. Treasury 5 Year Notes | June 2024 | $11,741,947 | $11,521,641 | $(220,306) |
28 | Long | U.S. Treasury Ultra Bonds | June 2024 | 3,560,263 | 3,347,750 | (212,513) |
$(432,819) | ||||||
Net Unrealized Appreciation (Depreciation) | $(283,471) |
* | Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract. |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks: | |||||||
Beverages | $2,260,103 | $1,634,241 | $— | $3,894,344 | |||
Electric | 13,375,213 | 1,425,354 | — | 14,800,567 | |||
Household Products/Wares | — | 2,413,340 | — | 2,413,340 | |||
Mining | — | 1,075,103 | — | 1,075,103 | |||
Pharmaceuticals | 26,385,267 | 2,048,846 | — | 28,434,113 | |||
Semiconductors | 13,562,674 | 1,168,790 | — | 14,731,464 | |||
Other Industries | 221,240,116 | — | — | 221,240,116 | |||
Corporate Bonds & Notes | — | 61,676,720 | — | 61,676,720 | |||
Asset Backed Securities | — | 9,942,615 | — | 9,942,615 | |||
Collateralized Mortgage Obligations | — | 20,378,321 | — | 20,378,321 | |||
U.S. Government & Agency Obligations | — | 99,713,464 | — | 99,713,464 | |||
Municipal Securities | — | 1,554,078 | — | 1,554,078 | |||
Short-Term Investments | — | 10,355,482 | — | 10,355,482 | |||
Total Investments at Value | $276,823,373 | $213,386,354 | $— | $490,209,727 | |||
Other Financial Instruments:† | |||||||
Futures Contracts | $149,348 | $— | $— | $149,348 | |||
LIABILITIES: | |||||||
Other Financial Instruments:† | |||||||
Futures Contracts | $432,819 | $— | $— | $432,819 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized (Depreciation) |
19 | Long | S&P Mid Cap 400 E-Mini Index | June 2024 | $5,634,873 | $5,466,680 | $(168,193) |
* | Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract. |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks | $460,715,758 | $— | $— | $460,715,758 | |||
Short-Term Investments | — | 845,510 | — | 845,510 | |||
Repurchase Agreements | — | 5,035,730 | — | 5,035,730 | |||
Total Investments at Value | $460,715,758 | $5,881,240 | $— | $466,596,998 | |||
LIABILITIES: | |||||||
Other Financial Instruments:† | |||||||
Futures Contracts | $168,193 | $— | $— | $168,193 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
ADR—American Depositary Receipt |
LSE—London Stock Exchange |
XAMS—Euronext Amsterdam Stock Exchange |
Industry Allocation* | |
Pharmaceuticals | 8.4% |
Beverages | 7.8 |
Insurance | 7.2 |
Oil & Gas | 6.9 |
Machinery-Diversified | 6.6 |
Software | 5.9 |
Banks | 5.7 |
Semiconductors | 5.6 |
Mining | 5.3 |
Entertainment | 4.3 |
Commercial Services | 3.7 |
Electronics | 3.7 |
Cosmetics/Personal Care | 3.5 |
Healthcare-Products | 3.0 |
Retail | 2.3 |
Electrical Components & Equipment | 2.2 |
Diversified Financial Services | 2.1 |
Aerospace/Defense | 2.0 |
Household Products/Wares | 1.7 |
Transportation | 1.5 |
Apparel | 1.5 |
Agriculture | 1.4 |
Internet | 1.3 |
Home Furnishings | 1.3 |
Computers | 1.2 |
Machinery-Construction & Mining | 1.2 |
Miscellaneous Manufacturing | 0.7 |
98.0% |
* | Calculated as a percentage of net assets |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks: | |||||||
Canada | $22,526,322 | $— | $— | $22,526,322 | |||
Taiwan | 5,310,388 | — | — | 5,310,388 | |||
Other Countries | — | 309,801,742 | — | 309,801,742 | |||
Warrants | — | — | 0 | 0 | |||
Total Investments at Value | $27,836,710 | $309,801,742 | $0 | $337,638,452 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
Interest Rate Swaps | ||||||||||||
Counterparty (OTC)/ Centrally cleared | Notional amount | Currency | Payments made | Payments received | Fixed payment frequency | Floating payment frequency | Maturity date | Upfront payment paid (received) | Unrealized appreciation (depreciation) | Value | ||
Goldman Sachs International | 8,000,000 | MYR | Fixed 3.750% | 6-Month KLIBO | Quarterly | Quarterly | Sep 2033 | $ 37,200 | $ (29) | $ 37,171 | ||
Centrally Cleared | 30,300,000 | AUD | 6-Month BBSW | Fixed 4.750% | Semiannual | Semiannual | Dec 2033 | (146,321) | 6,111 | (140,210) | ||
Centrally Cleared | 24,000,000 | USD | 12-Month SOFR | Fixed 3.750 | Annual | Annual | Jun 2029 | (660,670) | (63,552) | (724,222) | ||
Centrally Cleared | 35,400,000 | USD | 12-Month SOFR | Fixed 3.750 | Annual | Annual | Jun 2034 | (1,377,557) | (143,241) | (1,520,798) | ||
Centrally Cleared | 36,700,000 | EUR | 6-Month EURIBOR | Fixed 2.750 | Annual | Semiannual | Sep 2034 | (36,712) | (195,168) | (231,880) | ||
Centrally Cleared | 15,000,000 | GBP | 12-Month SONIA | Fixed 4.000 | Annual | Annual | Sep 2029 | (37,556) | (61,916) | (99,472) | ||
Centrally Cleared | 470,000,000 | JPY | Fixed 0.400 | 6-Month TONA | Semiannual | Semiannual | Jun 2039 | 380,359 | — | 380,359 | ||
Centrally Cleared | 1,700,000 | CAD | Fixed 3.500 | 6-Month CORRA | Semiannual | Semiannual | Jun 2054 | 27,386 | (205) | 27,181 | ||
Centrally Cleared | 29,000,000 | USD | Fixed 4.000 | 12-Month SOFR | Annual | Annual | Jun 2026 | 446,610 | — | 446,610 | ||
Centrally Cleared | 8,600,000 | USD | Fixed 3.500 | 12-Month SOFR | Annual | Annual | Jun 2054 | 702,066 | 47,218 | 749,284 | ||
Centrally Cleared | 66,000,000 | USD | Fixed 3.500 | 12-Month SOFR | Annual | Maturity | Dec 2025 | 799,970 | — | 799,970 | ||
Centrally Cleared | 15,600,000 | EUR | Fixed 2.500 | 6-Month EURIBOR | Annual | Semiannual | Sep 2054 | (79,788) | 103,190 | 23,402 | ||
Centrally Cleared | 1,000,000,000 | JPY | Fixed 0.600 | 12-Month TONA | Annual | Annual | Sep 2029 | 21,167 | — | 21,167 | ||
Centrally Cleared | 750,000,000 | JPY | Fixed 1.000 | 12-Month TONA | Annual | Annual | Sep 2034 | 12,358 | — | 12,358 | ||
Centrally Cleared | 115,000,000 | JPY | Fixed 1.500 | 12-Month TONA | Annual | Annual | Sep 2054 | 27,736 | — | 27,736 | ||
Centrally Cleared | 115,000,000 | CNY | Fixed 2.250 | 3-Month CNRR | Quarterly | Quarterly | Sep 2029 | (43,094) | (30) | (43,124) | ||
Centrally Cleared | 21,000,000 | SGD | Fixed 2.750 | 6-Month SORA | Semiannual | Semiannual | Sep 2029 | 339,467 | (1,430) | 338,037 | ||
Centrally Cleared | 560,000,000 | THB | Fixed 2.418 | 3-Month THOR | Quarterly | Quarterly | Apr 2029 | 121,589 | (118) | 121,471 | ||
Centrally Cleared | 40,400,000 | AUD | 6-Month BBSW | Fixed 4.500 | Semiannual | Semiannual | Sep 2032 | (293,460) | 4,065 | (289,395) | ||
Centrally Cleared | 20,700,000 | AUD | 6-Month BBSW | Fixed 4.000 | Semiannual | Semiannual | Jun 2033 | (686,214) | 9,506 | (676,708) | ||
Centrally Cleared | 2,500,000 | AUD | 6-Month BBSW | Fixed 4.500 | Semiannual | Semiannual | Mar 2029 | 1,215 | (17) | 1,198 | ||
Centrally Cleared | 11,300,000 | CAD | 6-Month CORRA | Fixed 3.500 | Semiannual | Semiannual | Jun 2029 | (93,411) | 650 | (92,761) | ||
Centrally Cleared | 88,000,000 | CAD | 12-Month CORRA | Fixed 3.500 | Maturity | Maturity | Dec 2025 | (462,071) | 2,692 | (459,379) | ||
Centrally Cleared | 14,500,000 | GBP | 12-Month SONIA | Fixed 3.000 | Annual | Annual | Jun 2027 | (367,533) | 1,612 | (365,921) | ||
Centrally Cleared | 41,000,000 | EUR | 6-Month EURIBOR | Fixed 3.000 | Annual | Semiannual | Sep 2026 | (71,978) | 247 | (71,731) | ||
Centrally Cleared | 6,000,000 | GBP | 12-Month SONIA | Fixed 4.250 | Annual | Annual | Sep 2026 | (31,969) | 132 | (31,837) | ||
Centrally Cleared | 24,700,000 | GBP | 12-Month SONIA | Fixed 3.750 | Annual | Annual | Sep 2034 | (524,613) | 2,620 | (521,993) |
Interest Rate Swaps — (continued) | ||||||||||||
Counterparty (OTC)/ Centrally cleared | Notional amount | Currency | Payments made | Payments received | Fixed payment frequency | Floating payment frequency | Maturity date | Upfront payment paid (received) | Unrealized appreciation (depreciation) | Value | ||
Centrally Cleared | 100,000 | GBP | 12-Month SONIA | Fixed 3.750% | Annual | Annual | Sep 2054 | $ (5,179) | $ 27 | $ (5,152) | ||
Centrally Cleared | 43,000,000 | EUR | 6-Month EURIBOR | Fixed 2.750 | Annual | Semiannual | Sep 2029 | (81,930) | 333 | (81,597) | ||
Centrally Cleared | 2,600,000,000 | INR | 6-Month MIBOR | Fixed 6.500 | Semiannual | Semiannual | Sep 2029 | (75,714) | (1) | (75,715) | ||
$(2,195,847) | $(287,275) | $(2,483,122) | ||||||||||
$(2,158,647) | $(287,304) | $(2,445,951) |
Credit Default Swaps - Buyer(1) | ||||||||||||||||
Counterparty (OTC)/ Centrally cleared | Reference obligation | Notional amount(2) | Currency | USD notional amount(2) | Pay fixed rate | Fixed payment frequency | Maturity date | Upfront payment paid (received) | Unrealized appreciation (depreciation) | Value(3) | ||||||
Centrally Cleared | CDX Investment Grade Index Series 41 | $28,400,000 | USD | $28,400,000 | 1.000% | Quarterly | Dec 2033 | $(249,990) | $(71) | $(250,061) | ||||||
Centrally Cleared | ITraxx Europe | 3,100,000 | EUR | 3,100,000 | 1.000 | Quarterly | Jun 2034 | (14,891) | 64 | (14,827) | ||||||
$31,500,000 | $(264,881) | $(7) | $(264,888) |
Credit Default Swaps - Seller(1) | |||||||||||||||||
Counterparty (OTC)/ Centrally cleared | Reference obligation | Implied credit spread(2) | Notional amount(3) | Currency | USD notional amount(3) | Received fixed rate | Fixed payment frequency | Maturity date | Upfront payment paid (received) | Unrealized appreciation (depreciation) | Value(4) | ||||||
Centrally Cleared | CDX Investment Grade Index Series 41 | 0.4764% | 200,000,000 | USD | 200,000,000 | 1.000% | Quarterly | Dec 2028 | $4,509,179 | $ 2,663 | $4,511,842 | ||||||
Centrally Cleared | ITraxx Europe | 0.5575 | 58,700,000 | EUR | 58,700,000 | 1.000 | Quarterly | Jun 2029 | 1,342,138 | (5,424) | 1,336,714 | ||||||
258,700,000 | $5,851,317 | $(2,761) | $5,848,556 |
(1) | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation. |
(2) | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, credit indices or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as “Defaulted” indicates a credit event has occurred for the referenced entity or obligation. |
(3) | The maximum potential amount the Portfolio could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(4) | The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement have been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation |
31 | Long | Australian 3 Year Bonds | June 2024 | $ 2,115,442 | $ 2,118,924 | $ 3,482 |
300 | Short | 3-Month SOFR | June 2025 | 71,400,000 | 71,332,500 | 67,500 |
348 | Short | 3-Month SOFR | March 2025 | 82,663,050 | 82,597,800 | 65,250 |
25 | Short | 3-Month SOFR | September 2024 | 5,919,063 | 5,918,126 | 937 |
110 | Short | Euro-BOBL | June 2024 | 13,710,912 | 13,667,957 | 42,955 |
1 | Short | Euro-BTP | June 2024 | 125,407 | 124,852 | 555 |
140 | Short | Euro-OAT | June 2024 | 18,822,366 | 18,746,232 | 76,134 |
53 | Short | Euro-Schatz | June 2024 | 5,953,256 | 5,945,193 | 8,063 |
160 | Short | Long Gilt | June 2024 | 19,253,644 | 19,149,107 | 104,537 |
84 | Short | U.S. Treasury 10 Year Notes | June 2024 | 9,058,875 | 9,024,750 | 34,125 |
275 | Short | U.S. Treasury 5 Year Notes | June 2024 | 28,883,594 | 28,804,102 | 79,492 |
152 | Short | U.S. Treasury Long Bonds | June 2024 | 17,380,250 | 17,299,500 | 80,750 |
$563,780 |
Numberof Contracts | Type | Description | ExpirationMonth | NotionalBasis* | NotionalValue* | Unrealized (Depreciation) |
307 | Long | 3-Month SOFR | June 2024 | $72,649,631 | $72,647,712 | $ (1,919) |
42 | Long | 3-Month SOFR | December 2024 | 9,959,250 | 9,953,475 | (5,775) |
95 | Long | 3-Month SOFR | September 2025 | 22,652,750 | 22,629,000 | (23,750) |
229 | Long | 3-Month SOFR | December 2025 | 54,696,650 | 54,642,263 | (54,387) |
27 | Long | Canada 10 Year Bonds | June 2024 | 2,305,880 | 2,294,505 | (11,375) |
4 | Long | Euro-BUXL 30 Year Bonds | June 2024 | 553,664 | 550,334 | (3,330) |
20 | Long | U.S. Treasury Ultra 10 Year Notes | June 2024 | 2,214,063 | 2,204,375 | (9,688) |
26 | Long | U.S. Treasury Ultra Bonds | June 2024 | 3,127,313 | 3,108,626 | (18,687) |
103 | Short | Australian 10 Year Bonds | June 2024 | 7,468,354 | 7,508,417 | (40,063) |
12 | Short | Japan 10 Year Bonds | June 2024 | 10,990,774 | 10,994,515 | (3,741) |
$(172,715) | ||||||
Net Unrealized Appreciation (Depreciation) | $391,065 |
* | Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract. |
Forward Foreign Currency Contracts | ||||||||
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized (Depreciation) | |||
Goldman Sachs International | CAD | 8,052,000 | USD | 5,870,422 | 06/04/2024 | $ 18,396 | $— | |
EUR | 66,131,000 | USD | 70,873,386 | 06/04/2024 | 208,113 | — | ||
GBP | 2,972,000 | USD | 3,722,037 | 06/04/2024 | 7,751 | — | ||
JPY | 7,586,800,000 | USD | 48,447,710 | 06/04/2024 | 103,469 | — | ||
337,729 | — | |||||||
JPMorgan Chase Bank, N.A. | CAD | 7,940,000 | USD | 5,816,680 | 05/01/2024 | 49,055 | — | |
Unrealized Appreciation (Depreciation) | $386,784 | $— |
CAD—Canadian Dollar |
EUR—Euro Currency |
GBP—British Pound |
JPY—Japanese Yen |
USD—United States Dollar |
Industry Allocation* | |
U.S. Government & Agency Obligations | 31.8% |
Short-Term Investments | 14.4 |
Foreign Government Obligations | 11.7 |
Collateralized Mortgage Obligations | 10.7 |
Repurchase Agreements | 9.7 |
Banks | 8.3 |
Other Asset Backed Securities | 4.1 |
Auto Loan Receivables | 3.7 |
Credit Card Receivables | 1.5 |
Investment Companies | 0.7 |
Multi-National | 0.3 |
Auto Manufacturers | 0.3 |
Telecommunications | 0.3 |
Real Estate | 0.2 |
Savings & Loans | 0.2 |
Pharmaceuticals | 0.2 |
Media | 0.2 |
REITS | 0.2 |
Agriculture | 0.2 |
Mining | 0.2 |
Internet | 0.1 |
Computers | 0.1 |
Diversified Financial Services | 0.1 |
Commercial Services | 0.1 |
Industry Allocation*(continued) | |
Electric | 0.1% |
Chemicals | 0.1 |
99.5% |
@ | Effective April 29, 2024, the SA Goldman Sachs Global Bond Portfolio changed its name to SA PIMCO Global Bond Opportunities Portfolio. |
* | Calculated as a percentage of net assets |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Corporate Bonds & Notes | $— | $35,340,847 | $— | $35,340,847 | |||
Asset Backed Securities | — | 27,620,133 | — | 27,620,133 | |||
Collateralized Mortgage Obligations | — | 31,737,630 | — | 31,737,630 | |||
U.S. Government & Agency Obligations | — | 94,801,978 | — | 94,801,978 | |||
Foreign Government Obligations | — | 34,872,577 | — | 34,872,577 | |||
Short-Term Investments: | |||||||
Sovereign | — | 14,801,754 | — | 14,801,754 | |||
Other Short-Term Investments | 28,138,318 | — | — | 28,138,318 | |||
Repurchase Agreements | — | 28,700,000 | — | 28,700,000 | |||
Total Investments at Value | $28,138,318 | $267,874,919 | $— | $296,013,237 | |||
Other Financial Instruments:† | |||||||
Swaps | $— | $181,130 | $— | $181,130 | |||
Futures Contracts | 563,780 | — | — | 563,780 | |||
Forward Foreign Currency Contracts | — | 386,784 | — | 386,784 | |||
Total Other Financial Instruments | $563,780 | $567,914 | $— | $1,131,694 | |||
LIABILITIES: | |||||||
Forward Sales Contracts: | |||||||
U.S. Government Agencies | $— | $25,516,992 | $— | $25,516,992 | |||
Other Financial Instruments:† | |||||||
Swaps | $— | $471,202 | $— | $471,202 | |||
Futures Contracts | 172,715 | — | — | 172,715 | |||
Total Other Financial Instruments | $172,715 | $471,202 | $— | $643,917 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
Security Description | Shares or Principal Amount | Value | ||
REPURCHASE AGREEMENTS — 0.1% | ||||
Agreement with Fixed Income Clearing Corp., bearing interest at 1.60% dated 04/30/2024, to be repurchased 05/01/2024 in
the amount of $597,276 and collateralized by $880,000 of United States Treasury Bonds, bearing interest at 2.50% due 05/15/2046 and having an approximate value of $609,236 (cost $597,249) | $ 597,249 | $ 597,249 | ||
TOTAL INVESTMENTS (cost $436,396,568) | 98.9% | 454,761,193 | ||
Other assets less liabilities | 1.1 | 5,017,614 | ||
NET ASSETS | 100.0% | $459,778,807 |
* | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The SA PIMCO RAE International Value Portfolio has no right to demand registration of these securities. At April 30, 2024, the aggregate value of these securities was $2,576,901 representing 0.6% of net assets. |
† | Non-income producing security |
(1) | Securities classified as Level 3 (see Note 1). |
ADR—American Depositary Receipt |
Industry Allocation* | |
Pharmaceuticals | 11.2% |
Insurance | 10.4 |
Food | 6.8 |
Auto Manufacturers | 6.4 |
Electric | 5.2 |
Telecommunications | 5.1 |
Chemicals | 4.0 |
Retail | 3.5 |
Auto Parts & Equipment | 3.2 |
Commercial Services | 3.1 |
Building Materials | 3.0 |
Banks | 2.7 |
Gas | 2.6 |
Transportation | 2.4 |
Oil & Gas | 2.4 |
Real Estate | 2.2 |
Office/Business Equipment | 1.9 |
Mining | 1.8 |
Computers | 1.8 |
Apparel | 1.7 |
Electronics | 1.6 |
Home Builders | 1.5 |
Engineering & Construction | 1.3 |
Healthcare-Services | 1.2 |
Healthcare-Products | 1.1 |
Iron/Steel | 1.1 |
Cosmetics/Personal Care | 1.0 |
Machinery-Construction & Mining | 0.9 |
Agriculture | 0.8 |
Machinery-Diversified | 0.8 |
Home Furnishings | 0.7 |
Diversified Financial Services | 0.7 |
Distribution/Wholesale | 0.6 |
REITS | 0.5 |
Semiconductors | 0.5 |
Hand/Machine Tools | 0.5 |
Advertising | 0.4 |
Packaging & Containers | 0.3 |
Software | 0.3 |
Industry Allocation*(continued) | |
Internet | 0.3% |
Lodging | 0.2 |
Biotechnology | 0.2 |
Electrical Components & Equipment | 0.2 |
Media | 0.1 |
Forest Products & Paper | 0.1 |
Private Equity | 0.1 |
Repurchase Agreements | 0.1 |
Miscellaneous Manufacturing | 0.1 |
Aerospace/Defense | 0.1 |
Beverages | 0.1 |
Oil & Gas Services | 0.1 |
98.9% |
* | Calculated as a percentage of net assets |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks: | |||||||
Canada | $37,972,874 | $— | $— | $37,972,874 | |||
Cayman Islands | 2,000,628 | 2,957,606 | — | 4,958,234 | |||
Denmark | 42,676 | 4,989,651 | — | 5,032,327 | |||
Israel | 3,456,590 | 2,308,881 | — | 5,765,471 | |||
Netherlands | 2,196,317 | 34,079,007 | — | 36,275,324 | |||
United Kingdom | — | 56,121,648 | 3,501 | 56,125,149 | |||
United States | 620,512 | — | — | 620,512 | |||
Other Countries | — | 307,414,053 | — | 307,414,053 | |||
Repurchase Agreements | — | 597,249 | — | 597,249 | |||
Total Investments at Value | $46,289,597 | $408,468,095 | $3,501 | $454,761,193 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
Interest Rate Swaps | ||||||||||
Counterparty (OTC)/ Centrally cleared | Notional amount | Currency | Payments made | Payments received | Fixed payment frequency | Floating payment frequency | Maturity date | Upfront payment paid (received) | Unrealized appreciation (depreciation) | Value |
Centrally Cleared | 4,200,000 | USD | Fixed 1.750% | 12-Month SOFR | Annual | Annual | Dec 2051 | $(163,121) | $1,748,623 | $1,585,502 |
Centrally Cleared | 400,000 | USD | 12-Month SOFR | Fixed 3.340% | Annual | Annual | Feb 2030 | — | (22,065) | (22,065) |
Centrally Cleared | 200,000 | USD | 12-Month SOFR | Fixed 3.750 | Annual | Annual | Jul 2033 | — | (8,584) | (8,584) |
Centrally Cleared | 200,000 | USD | 12-Month SOFR | Fixed 3.370 | Annual | Annual | Jul 2053 | — | (22,712) | (22,712) |
Centrally Cleared | 200,000 | USD | 12-Month SOFR | Fixed 3.900 | Annual | Annual | Aug 2033 | — | (6,392) | (6,392) |
Centrally Cleared | 1,100,000 | USD | 12-Month SOFR | Fixed 3.950 | Annual | Annual | Sep 2033 | — | (31,064) | (31,064) |
Centrally Cleared | 900,000 | USD | 12-Month SOFR | Fixed 4.165 | Annual | Annual | Sep 2033 | — | (10,697) | (10,697) |
Centrally Cleared | 1,000,000 | USD | 12-Month SOFR | Fixed 4.150 | Annual | Annual | Oct 2033 | — | (13,043) | (13,043) |
Centrally Cleared | 15,200,000 | AUD | 6-Month BBSW | Fixed 4.750 | Semiannual | Semiannual | Dec 2033 | (187,557) | 117,221 | (70,336) |
Centrally Cleared | 800,000 | CAD | 6-Month CORRA | Fixed 1.220 | Semiannual | Semiannual | Mar 2025 | (16,447) | (197) | (16,644) |
Centrally Cleared | 3,400,000 | CAD | 6-Month CORRA | Fixed 1.235 | Semiannual | Semiannual | Mar 2025 | (69,795) | (853) | (70,648) |
Centrally Cleared | 1,200,000 | USD | 12-Month SOFR | Fixed 3.710 | Annual | Annual | Mar 2034 | — | (57,360) | (57,360) |
Centrally Cleared | 200,000 | USD | 12-Month SOFR | Fixed 3.555 | Annual | Annual | Mar 2054 | — | (16,239) | (16,239) |
Centrally Cleared | 8,100,000 | EUR | 6-Month EURIBOR | Fixed 2.750 | Annual | Annual | Sep 2034 | 133,731 | (184,909) | (51,178) |
Centrally Cleared | 6,800,000 | GBP | 12-Month SONIA | Fixed 4.000 | Annual | Annual | Sep 2029 | 130,109 | (175,203) | (45,094) |
Centrally Cleared | 1,100,000 | BRL | Less than 1-Month BRCDI | Fixed 9.842 | Maturity | Maturity | Jan 2027 | — | (6,060) | (6,060) |
Centrally Cleared | 42,400,000 | BRL | Less than 1-Month BRCDI | Fixed 9.832 | Maturity | Maturity | Jan 2027 | — | (235,113) | (235,113) |
Centrally Cleared | 46,500,000 | BRL | Less than 1-Month BRCDI | Fixed 9.815 | Maturity | Maturity | Jan 2027 | — | (261,872) | (261,872) |
Centrally Cleared | 3,200,000 | USD | Fixed 2.000 | 3-Month SOFR | Semiannual | Quarterly | Dec 2051 | (100,514) | 1,320,940 | 1,220,426 |
Centrally Cleared | 4,200,000 | USD | Fixed 1.441 | 3-Month SOFR | Semiannual | Quarterly | Jul 2031 | (587) | 821,797 | 821,210 |
Centrally Cleared | 1,100,000 | CAD | Fixed 3.750 | 6-Month CORRA | Semiannual | Semiannual | Dec 2033 | — | 4,668 | 4,668 |
Centrally Cleared | 5,100,000 | CAD | Fixed 3.500 | 6-Month CORRA | Semiannual | Semiannual | Jun 2032 | (40,624) | 119,135 | 78,511 |
Centrally Cleared | 8,600,000 | USD | Fixed 3.750 | 12-Month SOFR | Annual | Annual | Jun 2029 | 13,316 | 246,196 | 259,512 |
Centrally Cleared | 4,200,000 | USD | Fixed 3.750 | 12-Month SOFR | Annual | Annual | Jun 2034 | 21,776 | 158,658 | 180,434 |
Centrally Cleared | 2,800,000 | USD | Fixed 3.500 | 12-Month SOFR | Annual | Annual | Jun 2054 | (827) | 244,780 | 243,953 |
Centrally Cleared | 8,100,000 | USD | Fixed 3.604 | 12-Month SOFR | Annual | Annual | Aug 2033 | — | 437,142 | 437,142 |
Centrally Cleared | 10,600,000 | USD | Fixed 3.608 | 12-Month SOFR | Annual | Annual | Aug 2033 | — | 568,518 | 568,518 |
Centrally Cleared | 2,800,000 | USD | Fixed 3.619 | 12-Month SOFR | Annual | Annual | Aug 2033 | — | 147,895 | 147,895 |
Centrally Cleared | 1,300,000 | USD | Fixed 3.600 | 12-Month SOFR | Annual | Annual | Jan 2034 | — | 72,935 | 72,935 |
Centrally Cleared | 2,100,000 | USD | Fixed 3.609 | 12-Month SOFR | Annual | Annual | Aug 2033 | — | 112,429 | 112,429 |
Centrally Cleared | 3,300,000 | EUR | Fixed 2.500 | 6-Month EURIBOR | Annual | Semiannual | Sep 2054 | (131,231) | 136,182 | 4,951 |
Centrally Cleared | 6,400,000 | USD | Fixed 3.722 | 12-Month SOFR | Annual | Annual | Nov 2033 | — | 281,969 | 281,969 |
Centrally Cleared | 1,700,000 | USD | 12-Month SOFR | Fixed 4.090 | Annual | Annual | Apr 2034 | — | (29,932) | (29,932) |
Interest Rate Swaps — (continued) | ||||||||||||
Counterparty (OTC)/ Centrally cleared | Notional amount | Currency | Payments made | Payments received | Fixed payment frequency | Floating payment frequency | Maturity date | Upfront payment paid (received) | Unrealized appreciation (depreciation) | Value | ||
Centrally Cleared | 1,000,000 | USD | 12-Month SOFR | Fixed 4.078% | Annual | Annual | Apr 2034 | $ — | $ (18,576) | $ (18,576) | ||
Centrally Cleared | 800,000 | EUR | 6-Month EURIBOR | Fixed 2.780 | Annual | Annual | May 2029 | — | (7,471) | (7,471) | ||
$(411,771) | $5,430,746 | $5,018,975 |
Credit Default Swaps - Seller(1) | ||||||||||||||||
Counterparty (OTC)/ Centrally cleared | Reference obligation | Implied credit spread(2) | Notional amount(3) | Currency | USD notional amount(3) | Received fixed rate | Fixed payment frequency | Maturity date | Upfront payment paid (received) | Unrealized appreciation (depreciation) | Value(4) | |||||
Centrally Cleared | CDX Investment Grade Index Series 42 | 53.52 | 800,000 | USD | 800,000 | 1.000% | Quarterly | Jun 2029 | $17,190 | $(421) | $16,769 |
(1) | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation. |
(2) | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, credit indices or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as “Defaulted” indicates a credit event has occurred for the referenced entity or obligation. |
(3) | The maximum potential amount the Portfolio could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(4) | The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement have been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
Written Options on futures | ||||||||||
Counterparty (OTC)/Exchange-Traded | Name of Issuer | Strike price | Expiration date | Number of contracts | Notional amount | Premium | Value | Unrealized Appreciation (Depreciation) | ||
Calls | ||||||||||
Morgan Stanley & Co., Inc. | Call option on 10 Year U.S. Treasury Note Futures | 112.00 | 5/24/2024 | 4 | $— | $1,120 | $ 94 | $ 1,026 | ||
Puts | ||||||||||
Morgan Stanley & Co., Inc. | Put option on 10 Year U.S. Treasury Note Futures | 108.00 | 5/24/2024 | 4 | — | 1,370 | 4,344 | (2,974) | ||
$2,490 | $4,438 | $(1,948) |
Written Options on Interest Rate Swaps | |||||||
Counterparty (OTC)/Exchange-Traded | Issue | Strike price | Expiration date | Notional amount | Premium | Value | Unrealized Appreciation (Depreciation) |
Calls | |||||||
Citibank, N.A. | Call option to enter into an interest rate swap for the right to receive a fixed rate of 3.73% versus USD_SOFR maturing 05/01/2024 | 3.73 | 5/1/2024 | $100,000 | $270 | $ - | $ 270 |
Citibank, N.A. | Call option to enter into an interest rate swap for the right to receive a fixed rate of 2.55% versus EUR_LIBOR-BBA maturing 05/02/2024 | 2.55 | 5/2/2024 | 1,000,000 | 1,531 | - | 1,531 |
Morgan Stanley & Co., Inc. | Call option to enter into an interest rate swap for the right to receive a fixed rate of 2.48% versus EUR_LIBOR-BBA maturing 05/07/2024 | 2.48 | 5/7/2024 | 400,000 | 1,235 | 4 | 1,231 |
Bank of America, N.A. | Call option to enter into an interest rate swap for the right to receive a fixed rate of 3.93% versus USD_SOFR maturing 05/10/2024 | 3.93 | 5/10/2024 | 2,100,000 | 7,350 | 504 | 6,846 |
Goldman Sachs International | Call option to enter into an interest rate swap for the right to receive a fixed rate of 2.52% versus EUR_LIBOR-BBA maturing 05/15/2024 | 2.52 | 5/15/2024 | 1,100,000 | 3,390 | 308 | 3,082 |
Written Options on Interest Rate Swaps — (continued) | |||||||||
Counterparty (OTC)/Exchange-Traded | Issue | Strike price | Expiration date | Notional amount | Premium | Value | Unrealized Appreciation (Depreciation) | ||
Goldman Sachs International | Call option to enter into an interest rate swap for the right to receive a fixed rate of 4.01% versus USD_SOFR maturing 05/15/2024 | 4.01 | 5/15/2024 | $1,100,000 | $5,225 | $ 1,020 | $ 4,205 | ||
Goldman Sachs & Co. LLC | Call option to enter into an interest rate swap for the right to receive a fixed rate of 4.10% versus USD_SOFR maturing 05/30/2024 | 4.10 | 5/30/2024 | 700,000 | 2,660 | 2,660 | — | ||
$21,661 | $4,496 | $17,165 | |||||||
Puts | |||||||||
Citibank, N.A. | Put option to enter into an interest rate swap for the right to pay a fixed rate of 4.13% versus USD_SOFR maturing 05/01/2024 | 4.13 | 5/1/2024 | 100,000 | 270 | 1,430 | (1,160) | ||
Citibank, N.A. | Put option to enter into an interest rate swap for the right to pay a fixed rate of 2.83% versus EUR_LIBOR-BBA maturing 05/02/2024 | 2.83 | 5/2/2024 | 1,000,000 | 1,531 | 6,799 | (5,268) | ||
Morgan Stanley & Co., Inc. | Put option to enter into an interest rate swap for the right to pay a fixed rate of 2.78% versus EUR_LIBOR-BBA maturing 05/07/2024 | 2.77 | 5/7/2024 | 400,000 | 1,235 | 3,689 | (2,454) | ||
Bank of America, N.A. | Put option to enter into an interest rate swap for the right to pay a fixed rate of 4.33% versus USD_SOFR maturing 05/10/2024 | 4.33 | 5/10/2024 | 2,100,000 | 7,350 | 11,240 | (3,890) | ||
Goldman Sachs International | Put option to enter into an interest rate swap for the right to pay a fixed rate of 2.84% versus EUR_LIBOR-BBA maturing 05/15/2024 | 2.84 | 5/15/2024 | 1,100,000 | 3,390 | 7,763 | (4,373) | ||
Goldman Sachs International | Put option to enter into an interest rate swap for the right to pay a fixed rate of 4.41% versus USD_SOFR maturing 05/15/2024 | 4.41 | 5/15/2024 | 1,100,000 | 5,225 | 4,195 | 1,030 | ||
Goldman Sachs & Co. LLC | Put option to enter into an interest rate swap for the right to pay a fixed rate of 4.50% versus USD_SOFR maturing 05/30/2024 | 4.50 | 5/30/2024 | 700,000 | 2,660 | 2,660 | — | ||
$21,661 | $37,776 | $(16,115) | |||||||
$43,322 | $42,272 | $1,050 |
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation |
13 | Short | Japan 10 Year Bonds | June 2024 | $12,003,291 | $11,910,725 | $ 92,566 |
132 | Short | U.S. Treasury Long Bonds | June 2024 | 15,678,135 | 15,023,250 | 654,885 |
417 | Short | U.S. Treasury Ultra 10 Year Notes | June 2024 | 47,464,823 | 45,961,219 | 1,503,604 |
96 | Short | U.S. Treasury Ultra Bonds | June 2024 | 12,260,099 | 11,478,000 | 782,099 |
$3,033,154 |
Unrealized (Depreciation) | ||||||
49 | Long | Canada 10 Year Bonds | June 2024 | $ 4,260,470 | $ 4,164,101 | $ (96,369) |
460 | Long | E-Mini Russell 2000 Index | June 2024 | 48,364,216 | 45,668,800 | (2,695,416) |
1,216 | Long | MSCI EAFE Index | June 2024 | 141,728,872 | 137,864,000 | (3,864,872) |
1,497 | Long | S&P 500 E-Mini Index | June 2024 | 389,531,378 | 379,264,950 | (10,266,428) |
41 | Long | U.S. Treasury 10 Year Notes | June 2024 | 4,437,017 | 4,404,938 | (32,079) |
91 | Long | U.S. Treasury 2 Year Notes | June 2024 | 18,613,175 | 18,441,719 | (171,456) |
86 | Long | U.S. Treasury 5 Year Notes | June 2024 | 9,175,910 | 9,007,828 | (168,082) |
$(17,294,702) | ||||||
Net Unrealized Appreciation (Depreciation) | $(14,261,548) |
* | Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract. |
Forward Foreign Currency Contracts | ||||||||
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized (Depreciation) | |||
Bank of America, N.A. | AUD | 59,304 | USD | 38,877 | 05/02/2024 | $ 460 | $ — | |
CAD | 163,000 | USD | 118,787 | 05/02/2024 | 382 | — | ||
CNH | 6,939,976 | USD | 958,216 | 05/17/2024 | 1,019 | — | ||
CNH | 13,389,980 | USD | 1,843,413 | 05/24/2024 | — | (3,988) | ||
EUR | 8,325,000 | USD | 9,049,441 | 05/02/2024 | 164,997 | — | ||
EUR | 8,910,000 | USD | 9,566,127 | 06/04/2024 | 45,213 | — | ||
USD | 9,553,555 | EUR | 8,910,000 | 05/02/2024 | — | (44,798) | ||
USD | 762,577 | IDR | 11,837,175,567 | 06/20/2024 | — | (35,616) | ||
USD | 3,375,229 | JPY | 507,678,325 | 05/02/2024 | — | (156,269) | ||
212,071 | (240,671) | |||||||
Barclays Bank PLC | AUD | 50,696 | USD | 32,941 | 05/02/2024 | 100 | — | |
AUD | 110,000 | USD | 71,857 | 06/04/2024 | 528 | — | ||
CHF | 1,432,091 | USD | 1,571,319 | 06/04/2024 | 7,826 | — | ||
GBP | 1,937,352 | USD | 2,449,880 | 05/02/2024 | 29,061 | — | ||
TWD | 28,443,857 | USD | 900,350 | 05/20/2024 | 29,035 | — | ||
USD | 1,571,319 | CHF | 1,437,386 | 05/02/2024 | — | (7,668) | ||
USD | 508,158 | INR | 42,214,718 | 06/20/2024 | — | (3,371) | ||
USD | 571 | MXN | 9,761 | 06/20/2024 | — | (5) | ||
USD | 466,787 | TRY | 15,842,751 | 05/16/2024 | 16,345 | — | ||
USD | 335,303 | TRY | 11,392,590 | 05/17/2024 | 11,740 | — | ||
USD | 959,308 | TRY | 32,895,645 | 06/13/2024 | 14,235 | — | ||
USD | 890,000 | TWD | 28,115,100 | 06/20/2024 | — | (27,851) | ||
108,870 | (38,895) | |||||||
Citibank, N.A. | AUD | 110,000 | USD | 72,267 | 06/04/2024 | 938 | — | |
BRL | 3,872,876 | USD | 748,845 | 05/03/2024 | 3,000 | — | ||
CAD | 3,476,615 | USD | 2,569,099 | 05/02/2024 | 43,641 | — | ||
CAD | 3,652,916 | USD | 2,658,788 | 06/04/2024 | 3,924 | — | ||
EUR | 585,000 | USD | 634,387 | 05/02/2024 | 10,074 | — | ||
MXN | 9,639,983 | USD | 567,485 | 05/14/2024 | 5,737 | — | ||
MXN | 1,516,000 | USD | 91,060 | 06/20/2024 | 3,238 | — | ||
PEN | 955,879 | USD | 256,791 | 06/20/2024 | 3,026 | — | ||
THB | 89,800 | USD | 2,502 | 06/20/2024 | 70 | — | ||
USD | 769,772 | BRL | 3,872,876 | 05/03/2024 | — | (23,927) | ||
USD | 2,658,788 | CAD | 3,654,731 | 05/02/2024 | — | (3,944) | ||
USD | 268,643 | INR | 22,324,362 | 06/20/2024 | — | (1,697) | ||
USD | 3,238,364 | JPY | 505,640,745 | 06/04/2024 | — | (16,344) | ||
73,648 | (45,912) | |||||||
Goldman Sachs International | BRL | 3,877,677 | USD | 762,197 | 05/03/2024 | 15,427 | — | |
BRL | 30,600,000 | USD | 6,094,246 | 07/02/2024 | 236,164 | — | ||
CHF | 1,431,000 | USD | 1,591,866 | 05/02/2024 | 35,162 | — | ||
MXN | 5,865,000 | USD | 349,933 | 06/20/2024 | 10,173 | — | ||
SEK | 11,540,773 | USD | 1,088,678 | 05/02/2024 | 41,459 | — | ||
USD | 749,773 | BRL | 3,877,677 | 05/03/2024 | — | (3,003) | ||
USD | 762,197 | BRL | 3,910,071 | 08/02/2024 | — | (15,789) | ||
USD | 924,912 | PLN | 3,725,269 | 07/22/2024 | — | (7,370) | ||
USD | 641,601 | TRY | 22,829,433 | 06/25/2024 | 25,662 | — | ||
USD | 356,933 | TRY | 17,095,116 | 03/13/2025 | 25,399 | — | ||
389,446 | (26,162) | |||||||
Unrealized Appreciation (Depreciation) | $784,035 | $(351,640) |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Corporate Bonds & Notes | $— | $85,872,256 | $— | $85,872,256 | |||
Asset Backed Securities | — | 28,922,246 | — | 28,922,246 | |||
Collateralized Mortgage Obligations: | |||||||
Commercial and Residential | — | 32,383,264 | 656,474 | 33,039,738 | |||
Other Industries | — | 8,680,321 | — | 8,680,321 | |||
U.S. Government & Agency Obligations | — | 394,564,852 | — | 394,564,852 | |||
Foreign Government Obligations | — | 13,558,371 | — | 13,558,371 | |||
Municipal Securities | — | 1,695,016 | — | 1,695,016 | |||
Purchased Options | 1,627,200 | — | — | 1,627,200 | |||
Short-Term Investments | — | 72,141,998 | — | 72,141,998 | |||
Repurchase Agreements | — | 847,800,000 | — | 847,800,000 | |||
Total Investments at Value | $1,627,200 | $1,485,618,324 | $656,474 | $1,487,901,998 | |||
Other Financial Instruments:† | |||||||
Swaps | $— | $6,539,088 | $— | $6,539,088 | |||
Futures Contracts | 3,033,154 | — | — | 3,033,154 | |||
Forward Foreign Currency Contracts | — | 784,035 | — | 784,035 | |||
Written Options | 1,026 | 18,195 | — | 19,221 | |||
Total Other Financial Instruments | $3,034,180 | $7,341,318 | $— | $10,375,498 | |||
LIABILITIES: | |||||||
Investments at Value:* | |||||||
Reverse Repurchase Agreements | $— | $81,890,550 | $— | $81,890,550 | |||
Other Financial Instruments:† | |||||||
Swaps | $— | $1,108,763 | $— | $1,108,763 | |||
Futures Contracts | 17,294,702 | — | — | 17,294,702 | |||
Forward Foreign Currency Contracts | — | 351,640 | — | 351,640 | |||
Written Options | 2,974 | 17,145 | — | 20,119 | |||
Total Other Financial Instruments | $17,297,676 | $1,477,548 | $— | $18,775,224 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Corporate Bonds & Notes: | |||||||
Oil & Gas | $— | $19,613,384 | $2,020,674 | $21,634,058 | |||
Other Industries | — | 216,623,394 | — | 216,623,394 | |||
Common Stocks | — | — | 4,977,242 | 4,977,242 | |||
Short-Term Investments | 6,557,930 | — | — | 6,557,930 | |||
Total Investments at Value | $6,557,930 | $236,236,778 | $6,997,916 | $249,792,624 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
Corporate Bonds & Notes | Common Stocks | ||
Balance as of January 31, 2024 | $0 | $7,627,956 | |
Accrued Discounts | — | — | |
Accrued Premiums | — | — | |
Realized Gain | — | 1,849,901 | |
Realized Loss | — | — | |
Change in unrealized appreciation(1) | 2,020,674 | — | |
Change in unrealized depreciation(1) | — | (1,780,285) | |
Net purchases | — | — | |
Net sales | — | (2,720,330) | |
Transfers into Level 3 | — | — | |
Transfers out of Level 3 | — | — | |
Balance as of April 30, 2024 | $2,020,674 | $4,977,242 |
(1) | The total change in unrealized appreciation (depreciation) attributable to Level 3 investments still held at April 30, 2024 includes: |
Corporate Bonds & Notes | Common Stocks | ||
$2,020,674 | $(1,780,285) |
Description | Fair Value at April 30, 2024 | Valuation Technique(s) | Unobservable Input (1) | Range (weighted average) |
Corporate Bonds & Notes | $2,020,674 | Income Approach | Cost of Debt Capital | 10.50% |
Common Stocks | $4,977,242 | Market Approach | Pending Merger Consideration * | $31,322.22 |
Value of the Remaining Assets following the Merger* | $3,728.43 |
(1) | The significant unobservable inputs regarding the Level 3 securities in the table above are attributable to private securities and include assumptions made from non-public financial statements, private transactions, and/or market comparables. For those unobservable inputs indicated with *, a significant increase (decrease) in any of those inputs in isolation may result in a significantly higher (lower) fair value measurement, while the remaining unobservable inputs have an inverse relationship. |
Security Description | Shares or Principal Amount | Value | ||
SHORT-TERM INVESTMENTS (continued) | ||||
U.S. Government Agency — 1.1% | ||||
Federal Home Loan Bank 5.27%, 05/01/2024 | $3,739,000 | $ 3,738,452 | ||
Total Short-Term Investments (cost $3,937,409) | 3,936,839 | |||
TOTAL INVESTMENTS (cost $275,545,754) | 99.5% | 328,570,232 | ||
Other assets less liabilities | 0.5 | 1,756,637 | ||
NET ASSETS | 100.0% | $330,326,869 |
† | Non-income producing security |
* | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The SA Putnam International Growth and Income Portfolio has no right to demand registration of these securities. At April 30, 2024, the aggregate value of these securities was $1,371,378 representing 0.4% of net assets. |
LSE—London Stock Exchange |
Forward Foreign Currency Contracts | ||||||||
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized (Depreciation) | |||
Bank of America, N.A. | CAD | 316,600 | USD | 235,160 | 07/17/2024 | $ 4,885 | $ — | |
GBP | 4,687,600 | USD | 5,951,658 | 06/20/2024 | 92,774 | — | ||
USD | 18,343 | AUD | 27,700 | 07/17/2024 | — | (359) | ||
USD | 1,137,126 | CHF | 996,600 | 06/20/2024 | — | (47,102) | ||
USD | 363,252 | JPY | 53,152,500 | 05/16/2024 | — | (25,529) | ||
97,659 | (72,990) | |||||||
Barclays Bank PLC | EUR | 978,000 | USD | 1,065,655 | 06/20/2024 | 19,855 | — | |
GBP | 2,861,800 | USD | 3,633,682 | 06/20/2024 | 56,808 | — | ||
USD | 612,327 | ILS | 2,274,700 | 07/17/2024 | — | (2,283) | ||
USD | 531,092 | SEK | 5,471,100 | 06/20/2024 | — | (33,560) | ||
76,663 | (35,843) | |||||||
Citibank, N.A. | CAD | 1,700,700 | USD | 1,262,996 | 07/17/2024 | 26,017 | — | |
GBP | 4,761,000 | USD | 6,022,199 | 06/20/2024 | 71,574 | — | ||
USD | 647,795 | AUD | 978,300 | 07/17/2024 | — | (12,650) | ||
USD | 1,454,737 | CHF | 1,275,100 | 06/20/2024 | — | (60,106) | ||
USD | 2,120,318 | DKK | 14,441,700 | 06/20/2024 | — | (48,686) | ||
97,591 | (121,442) | |||||||
Goldman Sachs International | GBP | 3,353,500 | USD | 4,257,906 | 06/20/2024 | 66,471 | — | |
JPY | 201,711,700 | USD | 1,341,771 | 05/16/2024 | 60,127 | — | ||
USD | 405,586 | AUD | 612,500 | 07/17/2024 | — | (7,930) | ||
USD | 697,603 | ILS | 2,590,600 | 07/17/2024 | — | (2,839) | ||
USD | 657,723 | NOK | 6,921,500 | 06/20/2024 | — | (33,879) | ||
USD | 4,274,559 | SGD | 5,717,500 | 05/16/2024 | — | (83,541) | ||
126,598 | (128,189) | |||||||
HSBC Bank PLC | CAD | 153,100 | USD | 113,706 | 07/17/2024 | 2,351 | — | |
EUR | 4,425,800 | USD | 4,812,033 | 06/20/2024 | 79,414 | — | ||
GBP | 1,490,300 | USD | 1,892,072 | 06/20/2024 | 29,392 | — | ||
USD | 35,156 | AUD | 53,100 | 07/17/2024 | — | (682) | ||
USD | 116,709 | CHF | 102,300 | 06/20/2024 | — | (4,819) | ||
111,157 | (5,501) | |||||||
JPMorgan Chase Bank, N.A. | CAD | 897,100 | USD | 666,295 | 07/17/2024 | 13,803 | — | |
EUR | 2,419,500 | USD | 2,636,196 | 06/20/2024 | 48,964 | — | ||
USD | 902,621 | JPY | 132,080,900 | 05/16/2024 | — | (63,399) |
Forward Foreign Currency Contracts — (continued) | ||||||||
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized (Depreciation) | |||
USD | 537,507 | NZD | 890,000 | 07/17/2024 | $ — | $ (13,073) | ||
USD | 497,209 | SGD | 665,100 | 05/16/2024 | — | (9,680) | ||
62,767 | (86,152) | |||||||
Morgan Stanley & Co. International PLC | CAD | 1,197,300 | USD | 885,425 | 07/17/2024 | 14,587 | — | |
CHF | 1,079,500 | USD | 1,232,011 | 06/20/2024 | 51,316 | — | ||
EUR | 2,214,800 | USD | 2,425,572 | 06/20/2024 | 57,230 | — | ||
GBP | 1,655,700 | USD | 2,099,443 | 06/20/2024 | 30,036 | — | ||
USD | 288,760 | CAD | 394,500 | 07/17/2024 | — | (1,826) | ||
USD | 823,042 | CHF | 721,200 | 06/20/2024 | — | (34,234) | ||
USD | 578,683 | CZK | 13,534,700 | 06/20/2024 | — | (4,308) | ||
USD | 965,306 | EUR | 893,500 | 06/20/2024 | — | (9,864) | ||
USD | 2,875,432 | JPY | 419,881,200 | 05/16/2024 | — | (207,572) | ||
USD | 86,558 | NOK | 938,100 | 06/20/2024 | — | (2,006) | ||
153,169 | (259,810) | |||||||
Natwest Markets PLC | USD | 4,803,163 | CHF | 4,209,300 | 06/20/2024 | — | (199,273) | |
USD | 109,508 | NOK | 1,151,700 | 06/20/2024 | — | (5,704) | ||
USD | 5,568,582 | SEK | 57,359,100 | 06/20/2024 | — | (352,443) | ||
— | (557,420) | |||||||
State Street Bank & Trust Co. | CAD | 2,221,700 | USD | 1,650,002 | 07/17/2024 | 34,082 | — | |
EUR | 3,364,600 | USD | 3,613,549 | 06/20/2024 | 15,697 | — | ||
GBP | 2,785,600 | USD | 3,537,127 | 06/20/2024 | 55,493 | — | ||
JPY | 504,788,800 | USD | 3,342,156 | 05/16/2024 | 134,807 | — | ||
USD | 977,629 | AUD | 1,489,400 | 07/17/2024 | — | (10,661) | ||
USD | 16,545 | CHF | 14,500 | 06/20/2024 | — | (686) | ||
USD | 2,894,202 | HKD | 22,576,800 | 05/16/2024 | — | (6,899) | ||
USD | 951,628 | ILS | 3,531,300 | 07/17/2024 | — | (4,579) | ||
USD | 1,704,342 | JPY | 259,907,200 | 05/16/2024 | — | (52,932) | ||
USD | 783,815 | SEK | 8,076,000 | 06/20/2024 | — | (49,397) | ||
240,079 | (125,154) | |||||||
Toronto Dominion Bank | CAD | 1,812,400 | USD | 1,345,996 | 07/17/2024 | 27,774 | — | |
USD | 631,695 | AUD | 954,000 | 07/17/2024 | — | (12,326) | ||
USD | 2,911,185 | GBP | 2,274,600 | 06/20/2024 | — | (68,234) | ||
USD | 3,724,401 | HKD | 29,050,700 | 05/16/2024 | — | (9,164) | ||
USD | 1,410,721 | SEK | 14,531,000 | 06/20/2024 | — | (89,296) | ||
27,774 | (179,020) | |||||||
UBS AG | CAD | 3,033,700 | USD | 2,253,134 | 07/17/2024 | 46,618 | — | |
EUR | 603,400 | USD | 657,483 | 06/20/2024 | 12,252 | — | ||
JPY | 29,170,500 | USD | 191,725 | 05/16/2024 | 6,380 | — | ||
USD | 2,022,542 | CHF | 1,781,700 | 06/20/2024 | — | (73,821) | ||
USD | 4,125,223 | EUR | 3,761,700 | 06/20/2024 | — | (102,743) | ||
USD | 6,524,852 | GBP | 5,201,900 | 06/20/2024 | — | (23,161) | ||
USD | 450,762 | HKD | 3,516,000 | 05/16/2024 | — | (1,108) | ||
65,250 | (200,833) | |||||||
Westpac Banking Corp. | CAD | 1,632,300 | USD | 1,212,254 | 07/17/2024 | 25,025 | — | |
USD | 5,783,610 | CHF | 5,068,900 | 06/20/2024 | — | (239,538) | ||
25,025 | (239,538) | |||||||
Unrealized Appreciation (Depreciation) | $1,083,732 | $(2,011,892) |
USD—United States Dollar |
Industry Allocation* | |
Banks | 22.6% |
Oil & Gas | 8.7 |
Insurance | 8.4 |
Distribution/Wholesale | 5.7 |
Pharmaceuticals | 5.0 |
Telecommunications | 4.8 |
Food | 4.3 |
Miscellaneous Manufacturing | 3.7 |
Building Materials | 3.4 |
Mining | 2.8 |
Electronics | 2.3 |
Engineering & Construction | 2.3 |
Beverages | 2.2 |
Water | 1.8 |
Diversified Financial Services | 1.6 |
Home Furnishings | 1.6 |
Electric | 1.5 |
Semiconductors | 1.4 |
Aerospace/Defense | 1.3 |
Leisure Time | 1.3 |
Private Equity | 1.2 |
Retail | 1.2 |
Short-Term Investments | 1.2 |
Transportation | 1.1 |
Airlines | 1.1 |
Cosmetics/Personal Care | 1.0 |
Commercial Services | 0.9 |
Agriculture | 0.8 |
Home Builders | 0.8 |
REITS | 0.8 |
Food Service | 0.8 |
Auto Parts & Equipment | 0.7 |
Chemicals | 0.6 |
Apparel | 0.6 |
99.5% |
* | Calculated as a percentage of net assets |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks: | |||||||
Canada | $9,489,229 | $— | $— | $9,489,229 | |||
United Kingdom | 5,342,732 | 65,738,729 | — | 71,081,461 | |||
Other Countries | — | 244,062,703 | — | 244,062,703 | |||
Short-Term Investments | — | 3,936,839 | — | 3,936,839 | |||
Total Investments at Value | $14,831,961 | $313,738,271 | $— | $328,570,232 | |||
Other Financial Instruments:† | |||||||
Forward Foreign Currency Contracts | $— | $1,083,732 | $— | $1,083,732 | |||
LIABILITIES: | |||||||
Other Financial Instruments:† | |||||||
Forward Foreign Currency Contracts | $— | $2,011,892 | $— | $2,011,892 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation |
25 | Long | E-Mini S&P Select Sector Index - Energy | June 2024 | $ 2,398,935 | $ 2,462,501 | $ 63,566 |
30 | Long | TOPIX Index | June 2024 | 5,097,616 | 5,190,115 | 92,499 |
258 | Short | Euro-Schatz | June 2024 | 29,077,680 | 28,940,749 | 136,931 |
162 | Short | MSCI Emerging Markets Index | June 2024 | 8,474,352 | 8,440,200 | 34,152 |
207 | Short | U.S. Treasury 10 Year Notes | June 2024 | 22,886,665 | 22,239,563 | 647,102 |
$974,250 |
Unrealized (Depreciation) | ||||||
108 | Long | Euro STOXX 50 Index | June 2024 | $ 5,687,449 | $ 5,632,815 | $ (54,634) |
372 | Long | S&P 500 E-Mini Index | June 2024 | 96,023,123 | 94,246,200 | (1,776,923) |
18 | Long | S&P/Toronto Stock Exchange 60 Index | June 2024 | 3,424,302 | 3,413,940 | (10,362) |
32 | Long | SPI 200 Index | June 2024 | 4,007,778 | 3,942,823 | (64,955) |
120 | Long | U.S. Treasury 2 Year Notes | June 2024 | 24,553,929 | 24,318,750 | (235,179) |
69 | Long | U.S. Treasury 5 Year Notes | June 2024 | 7,413,784 | 7,227,211 | (186,573) |
Numberof Contracts | Type | Description | ExpirationMonth | NotionalBasis* | NotionalValue* | Unrealized (Depreciation) |
146 | Long | U.S. Treasury Long Bonds | June 2024 | $17,333,206 | $16,616,625 | $ (716,581) |
10 | Short | FTSE 100 Index | June 2024 | 969,388 | 1,014,958 | (45,570) |
$(3,090,777) | ||||||
Net Unrealized Appreciation (Depreciation) | $(2,116,527) |
* | Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract. |
Forward Foreign Currency Contracts | ||||||||
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized (Depreciation) | |||
Bank of America, N.A. | CHF | 151,739 | GBP | 134,353 | 05/28/2024 | $ 2,372 | $ — | |
CHF | 6,170,453 | JPY | 1,045,359,803 | 05/28/2024 | — | (77,191) | ||
EUR | 4,332,422 | AUD | 7,177,000 | 05/28/2024 | 24,763 | — | ||
JPY | 1,052,063,000 | USD | 6,741,511 | 05/28/2024 | 44,719 | — | ||
USD | 1,847,527 | CAD | 2,534,000 | 05/28/2024 | — | (6,066) | ||
USD | 6,803,005 | CHF | 6,185,000 | 05/28/2024 | — | (55,822) | ||
71,854 | (139,079) | |||||||
Barclays Bank PLC | EUR | 4,345,876 | CLP | 4,462,537,000 | 05/16/2024 | 7,002 | — | |
EUR | 6,621,000 | USD | 7,080,514 | 05/28/2024 | 7,559 | — | ||
GBP | 76,916 | AUD | 148,725 | 05/28/2024 | 297 | — | ||
IDR | 2,902,251,000 | USD | 179,706 | 05/16/2024 | 1,263 | — | ||
JPY | 223,601,000 | USD | 1,454,071 | 05/28/2024 | 30,763 | — | ||
SGD | 3,649,000 | USD | 2,689,640 | 05/28/2024 | 13,343 | — | ||
TWD | 17,403,000 | USD | 534,999 | 05/16/2024 | 1,938 | — | ||
USD | 738,018 | CHF | 668,000 | 05/28/2024 | — | (9,301) | ||
62,165 | (9,301) | |||||||
Citibank, N.A. | AUD | 355,000 | CAD | 315,027 | 05/28/2024 | — | (1,220) | |
EUR | 13,939 | GBP | 12,000 | 05/28/2024 | 106 | — | ||
GBP | 134,353 | CHF | 150,743 | 05/28/2024 | — | (3,458) | ||
GBP | 12,000 | EUR | 14,006 | 05/28/2024 | — | (35) | ||
USD | 2,127,337 | HKD | 16,639,000 | 05/28/2024 | 1,449 | — | ||
1,555 | (4,713) | |||||||
Goldman Sachs International | ILS | 696,000 | USD | 184,404 | 05/28/2024 | — | (1,820) | |
NZD | 86,000 | USD | 50,597 | 05/28/2024 | — | (78) | ||
USD | 4,136,464 | EUR | 3,869,000 | 05/28/2024 | — | (3,363) | ||
USD | 178,732 | IDR | 2,902,251,000 | 05/16/2024 | — | (289) | ||
USD | 717,213 | INR | 59,860,000 | 05/16/2024 | — | (519) | ||
— | (6,069) | |||||||
Morgan Stanley & Co. International PLC | AUD | 148,725 | GBP | 77,084 | 05/28/2024 | — | (87) | |
BRL | 11,771,000 | USD | 2,349,126 | 05/03/2024 | 82,246 | — | ||
CAD | 313,301 | AUD | 355,000 | 05/28/2024 | 2,474 | — | ||
JPY | 150,619,364 | EUR | 919,116 | 05/28/2024 | 23,104 | — | ||
USD | 2,275,997 | BRL | 11,771,000 | 05/03/2024 | — | (9,117) | ||
USD | 436,491 | COP | 1,703,405,000 | 05/16/2024 | — | (3,205) | ||
USD | 183,902 | ILS | 696,000 | 05/28/2024 | 2,322 | — | ||
USD | 50,990 | NZD | 86,000 | 05/28/2024 | — | (314) | ||
110,146 | (12,723) | |||||||
UBS AG | BRL | 11,771,000 | USD | 2,275,997 | 05/03/2024 | 9,117 | — | |
COP | 1,703,405,000 | USD | 431,080 | 05/16/2024 | — | (2,206) | ||
DKK | 5,377,000 | USD | 770,965 | 05/28/2024 | 603 | — | ||
EUR | 917,757 | JPY | 150,619,364 | 05/28/2024 | — | (21,652) | ||
EUR | 4,270,000 | USD | 4,550,138 | 05/28/2024 | — | (11,336) | ||
GBP | 1,399,000 | USD | 1,744,766 | 05/28/2024 | — | (3,584) | ||
INR | 59,860,000 | USD | 717,047 | 05/16/2024 | 354 | — | ||
USD | 4,043,656 | AUD | 6,263,000 | 05/28/2024 | 16,710 | — | ||
USD | 2,352,671 | BRL | 11,771,000 | 05/03/2024 | — | (85,791) |
Forward Foreign Currency Contracts — (continued) | ||||||||
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized (Depreciation) | |||
USD | 4,868,378 | CAD | 6,694,000 | 05/28/2024 | $ — | $ (3,841) | ||
USD | 4,692,240 | JPY | 720,286,534 | 05/28/2024 | — | (107,335) | ||
USD | 402,906 | NOK | 4,429,000 | 05/28/2024 | — | (3,945) | ||
USD | 531,803 | SEK | 5,781,000 | 05/28/2024 | — | (6,649) | ||
USD | 539,226 | TWD | 17,403,000 | 05/16/2024 | — | (6,165) | ||
26,784 | (252,504) | |||||||
Unrealized Appreciation (Depreciation) | $272,504 | $(424,389) |
Industry Allocation* | |
Short-Term Investments | 16.6% |
Banks | 12.4 |
REITS | 4.7 |
Oil & Gas | 4.7 |
Semiconductors | 4.6 |
Internet | 4.3 |
Pharmaceuticals | 4.3 |
Software | 4.3 |
Telecommunications | 3.7 |
Unaffiliated Investment Companies | 3.4 |
Diversified Financial Services | 2.8 |
Insurance | 2.5 |
Pipelines | 2.3 |
Retail | 2.2 |
Beverages | 1.9 |
Healthcare-Products | 1.8 |
Electric | 1.7 |
Computers | 1.5 |
Healthcare-Services | 1.3 |
Commercial Services | 1.3 |
Mining | 1.3 |
Auto Manufacturers | 1.2 |
Cosmetics/Personal Care | 1.2 |
Media | 1.0 |
Aerospace/Defense | 1.0 |
Entertainment | 0.9 |
Building Materials | 0.9 |
Electrical Components & Equipment | 0.9 |
Food | 0.8 |
Chemicals | 0.7 |
Machinery-Diversified | 0.6 |
Distribution/Wholesale | 0.6 |
Miscellaneous Manufacturing | 0.6 |
Auto Parts & Equipment | 0.5 |
Electronics | 0.5 |
Lodging | 0.5 |
Transportation | 0.3 |
Environmental Control | 0.3 |
Apparel | 0.3 |
Household Products/Wares | 0.3 |
Biotechnology | 0.3 |
Energy-Alternate Sources | 0.3 |
Machinery-Construction & Mining | 0.2 |
Industry Allocation*(continued) | |
Hand/Machine Tools | 0.2% |
Iron/Steel | 0.1 |
Packaging & Containers | 0.1 |
Home Builders | 0.1 |
Leisure Time | 0.1 |
Purchased Options | 0.1 |
Advertising | 0.1 |
98.3% |
* | Calculated as a percentage of net assets |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks: | |||||||
Bermuda | $355,690 | $— | $— | $355,690 | |||
Canada | 2,254,099 | — | — | 2,254,099 | |||
Cayman Islands | 829,987 | 1,370,376 | — | 2,200,363 | |||
Curacao | 161,907 | — | — | 161,907 | |||
Ireland | 2,850,142 | 130,371 | — | 2,980,513 | |||
Israel | 31,781 | — | — | 31,781 | |||
Jersey | 913,122 | 67,316 | — | 980,438 | |||
Liberia | 22,899 | — | — | 22,899 | |||
Luxembourg | 43,188 | 57,837 | — | 101,025 | |||
Mexico | 64,108 | — | — | 64,108 | |||
Netherlands | 148,334 | 3,092,256 | — | 3,240,590 | |||
Puerto Rico | 32,466 | — | — | 32,466 | |||
Switzerland | 598,725 | 4,920,505 | — | 5,519,230 | |||
Taiwan | 2,054,881 | — | — | 2,054,881 | |||
United Kingdom | 457,064 | 14,975,543 | — | 15,432,607 | |||
United States | 112,738,919 | — | — | 112,738,919 | |||
Other Countries | — | 42,932,022 | — | 42,932,022 | |||
Corporate Bonds & Notes | — | 162,546,226 | — | 162,546,226 | |||
Unaffiliated Investment Companies | 15,490,254 | — | — | 15,490,254 | |||
Purchased Options | 292,110 | — | — | 292,110 | |||
Warrants | — | — | 0 | 0 | |||
Short-Term Investments: | |||||||
U.S. Government | — | 71,901,101 | — | 71,901,101 | |||
Other Short-Term Investments | 3,367,437 | — | — | 3,367,437 | |||
Total Investments at Value | $142,707,113 | $301,993,553 | $0 | $444,700,666 | |||
Other Financial Instruments:† | |||||||
Futures Contracts | $881,751 | $92,499 | $— | $974,250 | |||
Forward Foreign Currency Contracts | — | 272,504 | — | 272,504 | |||
Total Other Financial Instruments | $881,751 | $365,003 | $— | $1,246,754 | |||
LIABILITIES: | |||||||
Other Financial Instruments:† | |||||||
Futures Contracts | $2,925,618 | $165,159 | $— | $3,090,777 | |||
Forward Foreign Currency Contracts | — | 424,389 | — | 424,389 | |||
Total Other Financial Instruments | $2,925,618 | $589,548 | $— | $3,515,166 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized (Depreciation) |
194 | Long | E-Mini Russell 2000 Index | June 2024 | $20,289,617 | $19,260,320 | $(1,029,297) |
* | Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract. |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Common Stocks: | |||||||
Biotechnology | $20,187,554 | $— | $6,604 | $20,194,158 | |||
Pharmaceuticals | 7,546,129 | — | 145 | 7,546,274 | |||
Other Industries | 250,209,148 | — | — | 250,209,148 | |||
Unaffiliated Investment Companies | 4,701,600 | — | — | 4,701,600 | |||
Warrants | 28,979 | — | — | 28,979 | |||
Short-Term Investments | — | 1,367,275 | — | 1,367,275 | |||
Repurchase Agreements | — | 18,436,934 | — | 18,436,934 | |||
Total Investments at Value | $282,673,410 | $19,804,209 | $6,749 | $302,484,368 | |||
LIABILITIES: | |||||||
Other Financial Instruments:† | |||||||
Futures Contracts | $1,029,297 | $— | $— | $1,029,297 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
Credit Default Swaps - Seller(1) | ||||||||||||||||
Counterparty (OTC)/ Centrally cleared | Reference obligation | Implied credit spread(2) | Notional amount(3) | Currency | USD notional amount(3) | Received fixed rate | Fixed payment frequency | Maturity date | Upfront payment paid (received) | Unrealized appreciation (depreciation) | Value(4) | |||||
Centrally Cleared | CDX Investment Grade Index Series 41 | 0.476% | 5,000,000 | USD | 5,000,000 | 1.000% | Quarterly | Dec 2028 | $86,472 | $21,676 | $108,148 |
(1) | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation. |
(2) | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, credit indices or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as “Defaulted” indicates a credit event has occurred for the referenced entity or obligation. |
(3) | The maximum potential amount the Portfolio could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
(4) | The quoted market prices and resulting values for credit default swap agreements on asset-backed securities and credit indices serve as an indicator of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement have been closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation |
1 | Short | U.S. Treasury Long Bonds | June 2024 | $114,587 | $113,813 | $ 774 |
1 | Short | U.S. Treasury Ultra 10 Year Notes | June 2024 | 113,920 | 110,218 | 3,702 |
$4,476 |
Unrealized (Depreciation) | ||||||
36 | Long | U.S. Treasury 5 Year Notes | June 2024 | $3,829,966 | $3,770,719 | $(59,247) |
3 | Long | U.S. Treasury Ultra Bonds | June 2024 | 381,067 | 358,687 | (22,380) |
$(81,627) | ||||||
Net Unrealized Appreciation (Depreciation) | $(77,151) |
* | Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract. |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | |
ASSETS: | ||||
Investments at Value:* | ||||
Common Stocks: | ||||
Advertising | $348,136 | $795,385 | $— | $1,143,521 |
Aerospace/Defense | 11,271,471 | 1,911,087 | — | 13,182,558 |
Agriculture | 1,408,058 | 550,402 | — | 1,958,460 |
Apparel | 1,266,534 | 810,682 | — | 2,077,216 |
Auto Manufacturers | 4,694,021 | 3,259,420 | — | 7,953,441 |
Auto Parts & Equipment | 1,150,621 | 1,980,485 | — | 3,131,106 |
Banks | 23,544,361 | 8,798,589 | — | 32,342,950 |
Beverages | 6,754,233 | 2,012,245 | — | 8,766,478 |
Biotechnology | 3,894,154 | 358,015 | 0 | 4,252,169 |
Chemicals | 6,921,826 | 3,629,773 | — | 10,551,599 |
Commercial Services | 8,093,397 | 2,553,599 | 11,919 | 10,658,915 |
Computer Graphics | — | — | 44,800 | 44,800 |
Computers | 22,866,693 | 1,317,923 | — | 24,184,616 |
Cosmetics/Personal Care | 9,598,543 | 3,058,916 | — | 12,657,459 |
Distribution/Wholesale | 1,402,337 | 2,303,579 | — | 3,705,916 |
Diversified Financial Services | 21,878,209 | 932,015 | — | 22,810,224 |
Electric | 9,240,581 | 2,668,466 | — | 11,909,047 |
Electrical Components & Equipment | 1,473,811 | 1,677,939 | — | 3,151,750 |
Electronics | 9,541,941 | 1,972,314 | — | 11,514,255 |
Engineering & Construction | 571,102 | 539,185 | — | 1,110,287 |
Food | 2,504,448 | 3,980,571 | — | 6,485,019 |
Food Service | 63,871 | 1,149,932 | — | 1,213,803 |
Gas | 750,084 | 166,730 | — | 916,814 |
Healthcare-Products | 17,885,502 | 3,174,555 | — | 21,060,057 |
Healthcare-Services | 15,250,981 | 703,527 | — | 15,954,508 |
Home Builders | 680,195 | 377,077 | — | 1,057,272 |
Home Furnishings | 7,122 | 1,455,696 | — | 1,462,818 |
Insurance | 22,314,602 | 8,287,560 | — | 30,602,162 |
Internet | 41,736,698 | 1,194,485 | — | 42,931,183 |
Machinery-Construction & Mining | 2,294,546 | 1,788,423 | — | 4,082,969 |
Machinery-Diversified | 7,898,805 | 1,256,402 | — | 9,155,207 |
Metal Fabricate/Hardware | 412,367 | 1,028,078 | — | 1,440,445 |
Mining | 2,732,477 | 3,114,052 | — | 5,846,529 |
Miscellaneous Manufacturing | 898,607 | 3,845,641 | — | 4,744,248 |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
Oil & Gas | $18,348,305 | $3,729,640 | $— | $22,077,945 | |||
Packaging & Containers | 868,142 | 616,514 | — | 1,484,656 | |||
Pharmaceuticals | 30,709,403 | 7,884,126 | — | 38,593,529 | |||
Private Equity | 1,573,318 | 246,144 | — | 1,819,462 | |||
Real Estate | 205,705 | 1,062,388 | — | 1,268,093 | |||
REITS | 8,700,428 | 824,103 | — | 9,524,531 | |||
Retail | 23,094,418 | 2,981,609 | — | 26,076,027 | |||
Semiconductors | 40,124,469 | 8,209,345 | — | 48,333,814 | |||
Software | 50,794,895 | 1,493,376 | — | 52,288,271 | |||
Telecommunications | 4,596,933 | 2,845,472 | — | 7,442,405 | |||
Transportation | 8,029,724 | 332,049 | — | 8,361,773 | |||
Other Industries | 23,537,134 | — | — | 23,537,134 | |||
Convertible Preferred Stocks | — | — | 103,057 | 103,057 | |||
Corporate Bonds & Notes | — | 43,000,074 | — | 43,000,074 | |||
Asset Backed Securities | — | 3,530,210 | — | 3,530,210 | |||
Collateralized Mortgage Obligations | — | 6,208,447 | — | 6,208,447 | |||
U.S. Government & Agency Obligations | — | 66,755,844 | — | 66,755,844 | |||
Foreign Government Obligations | — | 1,363,381 | — | 1,363,381 | |||
Municipal Securities | — | 3,275,875 | — | 3,275,875 | |||
Escrows and Litigation Trusts | — | — | 3,496 | 3,496 | |||
Purchased Options | 859 | — | — | 859 | |||
Short-Term Investments | 13,915,339 | — | — | 13,915,339 | |||
Total Investments at Value | $485,849,406 | $227,011,345 | $163,272 | $713,024,023 | |||
Other Financial Instruments:† | |||||||
Swaps | $— | $21,676 | $— | $21,676 | |||
Futures Contracts | 4,476 | — | — | 4,476 | |||
Total Other Financial Instruments | $4,476 | $21,676 | $— | $26,152 | |||
LIABILITIES: | |||||||
Other Financial Instruments:† | |||||||
Futures Contracts | $81,627 | $— | $— | $81,627 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation |
403 | Short | U.S. Treasury 10 Year Notes | June 2024 | $44,502,529 | $43,297,312 | $1,205,217 |
181 | Short | U.S. Treasury 2 Year Notes | June 2024 | 37,053,766 | 36,680,781 | 372,985 |
95 | Short | U.S. Treasury 5 Year Notes | June 2024 | 10,155,102 | 9,950,508 | 204,594 |
145 | Short | U.S. Treasury Long Bonds | June 2024 | 17,267,255 | 16,502,813 | 764,442 |
56 | Short | U.S. Treasury Ultra Bonds | June 2024 | 7,110,913 | 6,695,500 | 415,413 |
$2,962,651 |
Numberof Contracts | Type | Description | ExpirationMonth | NotionalBasis* | NotionalValue* | Unrealized (Depreciation) |
707 | Long | MSCI EAFE Index | June 2024 | $ 82,850,176 | $ 80,156,125 | $(2,694,051) |
822 | Long | S&P 500 E-Mini Index | June 2024 | 213,871,854 | 208,253,701 | (5,618,153) |
$(8,312,204) | ||||||
Net Unrealized Appreciation (Depreciation) | $(5,349,553) |
* | Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract. |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | |
ASSETS: | ||||
Investments at Value:* | ||||
Common Stocks: | ||||
Advertising | $— | $1,687,764 | $— | $1,687,764 |
Aerospace/Defense | 11,651,745 | 4,007,879 | — | 15,659,624 |
Agriculture | 1,006,721 | 1,152,102 | 2,119 | 2,160,942 |
Apparel | 967,992 | 1,698,499 | — | 2,666,491 |
Auto Manufacturers | 7,603,589 | 6,508,347 | — | 14,111,936 |
Auto Parts & Equipment | 1,542,227 | 4,243,029 | — | 5,785,256 |
Banks | 26,749,506 | 19,808,708 | — | 46,558,214 |
Beverages | 6,914,058 | 4,271,044 | — | 11,185,102 |
Biotechnology | 3,084,263 | 742,910 | — | 3,827,173 |
Building Materials | 2,688,195 | 31,189 | — | 2,719,384 |
Chemicals | 8,175,748 | 8,348,564 | — | 16,524,312 |
Commercial Services | 6,703,452 | 5,395,998 | 35,374 | 12,134,824 |
Computer Graphics | — | — | 127,999 | 127,999 |
Computers | 29,092,697 | 2,818,104 | — | 31,910,801 |
Cosmetics/Personal Care | 13,574,957 | 6,378,088 | — | 19,953,045 |
Distribution/Wholesale | 1,255,032 | 4,788,560 | — | 6,043,592 |
Diversified Financial Services | 25,818,755 | 1,976,122 | — | 27,794,877 |
Electric | 12,432,102 | 5,616,738 | — | 18,048,840 |
Electrical Components & Equipment | 1,803,954 | 2,043,101 | — | 3,847,055 |
Electronics | 9,303,382 | 4,117,305 | — | 13,420,687 |
Engineering & Construction | — | 1,202,624 | — | 1,202,624 |
Environmental Control | 1,479,600 | 18,058 | — | 1,497,658 |
Food | 2,175,068 | 8,286,736 | — | 10,461,804 |
Food Service | — | 2,425,331 | — | 2,425,331 |
Gas | 66,948 | 381,555 | — | 448,503 |
Healthcare-Products | 19,653,533 | 6,696,354 | — | 26,349,887 |
Healthcare-Services | 20,868,317 | 1,457,220 | — | 22,325,537 |
Home Builders | 510,305 | 900,785 | — | 1,411,090 |
Home Furnishings | — | 3,045,391 | — | 3,045,391 |
Insurance | 26,491,409 | 17,359,598 | — | 43,851,007 |
Internet | 74,229,113 | 2,443,672 | — | 76,672,785 |
Investment Companies | — | 32,388 | — | 32,388 |
Iron/Steel | 2,540,257 | 1,007,223 | — | 3,547,480 |
Lodging | 2,011,984 | 136,940 | — | 2,148,924 |
Machinery-Construction & Mining | 2,391,783 | 3,793,803 | — | 6,185,586 |
Machinery-Diversified | 9,762,372 | 2,576,665 | — | 12,339,037 |
Metal Fabricate/Hardware | 102,368 | 2,197,457 | — | 2,299,825 |
Mining | 12,583,898 | 13,819,019 | 0 | 26,402,917 |
Miscellaneous Manufacturing | 305,482 | 7,869,811 | — | 8,175,293 |
Oil & Gas | 30,378,315 | 9,591,969 | — | 39,970,284 |
Packaging & Containers | 796,523 | 1,343,996 | — | 2,140,519 |
Pharmaceuticals | 38,235,662 | 16,484,310 | — | 54,719,972 |
Private Equity | 2,404,500 | 522,460 | — | 2,926,960 |
Real Estate | 241,819 | 3,993,117 | — | 4,234,936 |
REITS | 24,078,824 | 3,956,062 | — | 28,034,886 |
Retail | 23,717,723 | 6,136,775 | — | 29,854,498 |
Semiconductors | 61,019,791 | 17,205,296 | — | 78,225,087 |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
Software | $64,383,629 | $3,100,096 | $— | $67,483,725 | |||
Telecommunications | 6,340,978 | 6,072,129 | — | 12,413,107 | |||
Transportation | 8,913,696 | 705,318 | — | 9,619,014 | |||
Other Industries | 17,270,203 | — | — | 17,270,203 | |||
Preferred Stocks | — | 452,422 | — | 452,422 | |||
Convertible Preferred Stocks | — | — | 680,844 | 680,844 | |||
Corporate Bonds & Notes | — | 160,812,490 | — | 160,812,490 | |||
Loans | — | 9,574,889 | — | 9,574,889 | |||
Asset Backed Securities | — | 11,385,036 | — | 11,385,036 | |||
Collateralized Mortgage Obligations | — | 28,569,571 | — | 28,569,571 | |||
U.S. Government & Agency Obligations | — | 217,636,418 | — | 217,636,418 | |||
Foreign Government Obligations | — | 5,120,889 | — | 5,120,889 | |||
Municipal Securities | — | 10,060,143 | — | 10,060,143 | |||
Escrows and Litigation Trusts | — | — | 117,462 | 117,462 | |||
Purchased Options | — | 444,695 | — | 444,695 | |||
Warrants | — | 0 | — | 0 | |||
Short-Term Investments | 151,349,108 | — | — | 151,349,108 | |||
Total Investments at Value | $774,671,583 | $674,452,762 | $963,798 | $1,450,088,143 | |||
Other Financial Instruments:† | |||||||
Futures Contracts | $2,962,651 | $— | $— | $2,962,651 | |||
LIABILITIES: | |||||||
Other Financial Instruments:† | |||||||
Futures Contracts | $8,312,204 | $— | $— | $8,312,204 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized (Depreciation) |
6,100 | Long | S&P 500 E-Mini Index | June 2024 | $1,582,226,031 | $1,545,435,000 | $(36,791,031) |
* | Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract. |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Affiliated Investment Companies | $6,799,690,310 | $— | $— | $6,799,690,310 | |||
U.S. Government & Agency Obligations | — | 1,065,126,638 | — | 1,065,126,638 | |||
Purchased Options | — | 64,139,975 | — | 64,139,975 | |||
Short-Term Investments | 267,019,568 | — | — | 267,019,568 | |||
Total Investments at Value | $7,066,709,878 | $1,129,266,613 | $— | $8,195,976,491 | |||
LIABILITIES: | |||||||
Other Financial Instruments:† | |||||||
Futures Contracts | $36,791,031 | $— | $— | $36,791,031 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized (Depreciation) |
2,300 | Long | S&P 500 E-Mini Index | June 2024 | $591,304,405 | $582,705,000 | $(8,599,405) |
* | Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract. |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Affiliated Investment Companies | $4,409,210,111 | $— | $— | $4,409,210,111 | |||
U.S. Government & Agency Obligations | — | 664,068,579 | — | 664,068,579 | |||
Purchased Options | — | 41,940,739 | — | 41,940,739 | |||
Short-Term Investments | 158,410,143 | — | — | 158,410,143 | |||
Total Investments at Value | $4,567,620,254 | $706,009,318 | $— | $5,273,629,572 | |||
LIABILITIES: | |||||||
Other Financial Instruments:† | |||||||
Futures Contracts | $8,599,405 | $— | $— | $8,599,405 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation |
85 | Short | U.S. Treasury 10 Year Notes | June 2024 | $ 9,385,075 | $ 9,132,188 | $252,887 |
69 | Short | U.S. Treasury 2 Year Notes | June 2024 | 14,124,879 | 13,983,281 | 141,598 |
93 | Short | U.S. Treasury 5 Year Notes | June 2024 | 9,939,246 | 9,741,024 | 198,222 |
27 | Short | U.S. Treasury Long Bonds | June 2024 | 3,215,282 | 3,072,938 | 142,344 |
14 | Short | U.S. Treasury Ultra Bonds | June 2024 | 1,777,724 | 1,673,875 | 103,849 |
$838,900 |
Unrealized (Depreciation) | ||||||
97 | Long | E-Mini Russell 2000 Index | June 2024 | $ 10,209,356 | $ 9,630,160 | $ (579,196) |
213 | Long | MSCI EAFE Index | June 2024 | 24,960,293 | 24,148,875 | (811,418) |
461 | Long | S&P 500 E-Mini Index | June 2024 | 119,944,954 | 116,794,350 | (3,150,604) |
52 | Long | S&P Mid Cap 400 E-Mini Index | June 2024 | 15,546,004 | 14,961,440 | (584,564) |
$(5,125,782) | ||||||
Net Unrealized Appreciation (Depreciation) | $(4,286,882) |
* | Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract. |
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | ||||
ASSETS: | |||||||
Investments at Value:* | |||||||
Affiliated Investment Companies | $421,095,829 | $— | $— | $421,095,829 | |||
Purchased Options | — | 262,842 | — | 262,842 | |||
Short-Term Investments: | |||||||
U.S. Government | — | 8,500,012 | — | 8,500,012 | |||
Other Short-Term Investments | 90,167,947 | — | — | 90,167,947 | |||
Total Investments at Value | $511,263,776 | $8,762,854 | $— | $520,026,630 | |||
Other Financial Instruments:† | |||||||
Futures Contracts | $838,900 | $— | $— | $838,900 | |||
LIABILITIES: | |||||||
Other Financial Instruments:† | |||||||
Futures Contracts | $5,125,782 | $— | $— | $5,125,782 |
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
† | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
Objectives for Using Derivatives | |||||||||||||||
Portfolio | Futures Contracts | Foreign Forward Exchange Contracts | Options Contracts | Inflation Swap Contracts | Interest Rate Swap Contracts | Credit Default Swap Contracts | Equity Swap Contracts | ||||||||
SA BlackRock VCP Global Multi Asset | 2, 5 | 7 | 6 | - | - | - | 4 | ||||||||
SA Emerging Markets Equity Index | 5 | - | - | - | - | - | - | ||||||||
SA Federated Hermes Corporate Bond | 2 | - | - | - | - | - | - | ||||||||
SA Franklin Tactical Opportunities | 5 | - | - | - | - | - | - | ||||||||
SA Goldman Sachs Multi-Asset Insights | 4 | - | - | - | - | 4 | - | ||||||||
SA International Index | 5 | - | - | - | - | - | - | ||||||||
SA JPMorgan Diversified Balanced | 2, 5 | 1 | - | - | - | - | - | ||||||||
SA JPMorgan Emerging Markets | 5 | - | - | - | - | - | - | ||||||||
SA JPMorgan MFS Core Bond | 2 | - | - | - | - | - | - | ||||||||
SA Large Cap Growth Index | 5 | - | - | - | - | - | - | ||||||||
SA Large Cap Index | 5 | - | - | - | - | - | - | ||||||||
SA Large Cap Value Index | 5 | - | - | - | - | - | - | ||||||||
SA MFS Total Return | 2 | - | - | - | - | - | - | ||||||||
SA Mid Cap Index | 5 | - | - | - | - | - | - | ||||||||
SA PIMCO Global Bond Opportunities | 2, 5 | 1, 7 | 2,5, 6, 7 | - | 2, 5, 7 | 3, 5, 6 | - | ||||||||
SA PIMCO VCP Tactical Balanced | 2, 5 | 7 | 2, 5, 6 | - | 2, 5 | 3, 5, 6 | - | ||||||||
SA Putnam International Growth and Income | - | 7 | - | - | - | - | - | ||||||||
SA Schroders VCP Global Allocation | 2, 5 | 7 | 5, 6 | - | - | 5 | - | ||||||||
SA Small Cap Index | 5 | - | - | - | - | - | - | ||||||||
SA T. Rowe Price Asset Allocation Growth | 2 | - | 5 | - | - | 3 | - | ||||||||
SA T. Rowe Price VCP Balanced | 2, 5 | - | 5 | - | - | - | - | ||||||||
SA VCP Dynamic Allocation | 6 | - | 6 | - | - | - | - | ||||||||
SA VCP Dynamic Strategy | 6 | - | 6 | - | - | - | - | ||||||||
SA VCP Index Allocation | 5 | - | 5 | - | - | - | - |
(1) | To manage foreign currency exchange rate risk. |
(2) | To manage interest rate risk and the duration of the portfolio. |
(3) | To manage credit risk. |
(4) | To manage against or gain exposure to certain securities and/or sectors. |
(5) | To manage exposures in certain securities markets. |
(6) | To manage portfolio risk. |
(7) | To manage interest rate or foreign currency exchange rate risk, or gain exposures to foreign currencies. |
SA Blackrock Multi-Factor 70/30 Portfolio | ||||||||||||||||
Security | Income | Capital Gain Distribution Received | Value at January 31, 2024 | Cost of Purchases | Proceeds of Sales | Realized Gain/(Loss) | Change in Unrealized Gain (Loss) | Value at April 30, 2024 | ||||||||
iShares U.S. Fixed Income Balanced Risk Systematic ETF | $— | $— | $14,085,429 | $— | $— | $— | $(291,333) | $13,794,096 |
SA Global Index Allocation 60/40 Portfolio | ||||||||||||||||
Security | Income | Capital Gain Distribution Received | Value at January 31, 2024 | Cost of Purchases | Proceeds of Sales | Realized Gain/(Loss) | Change in Unrealized Gain (Loss) | Value at April 30, 2024 | ||||||||
SunAmerica Series Trust | ||||||||||||||||
SA Emerging Markets Equity Index Portfolio, Class 1 | $— | $— | $2,567,048 | $177,163 | $49,596 | $8,141 | $171,935 | $2,874,691 |
SA Global Index Allocation 60/40 Portfolio | ||||||||||||||||
Security | Income | Capital Gain Distribution Received | Value at January 31, 2024 | Cost of Purchases | Proceeds of Sales | Realized Gain/(Loss) | Change in Unrealized Gain (Loss) | Value at April 30, 2024 | ||||||||
SA Fixed Income Index Portfolio, Class 1 | $— | $— | $18,021,358 | $807,851 | $325,709 | $(47,690) | $(449,117) | $18,006,693 | ||||||||
SA Fixed Income Intermediate Index Portfolio, Class 1 | — | — | 19,000,464 | 833,573 | 342,241 | (18,897) | (269,818) | 19,203,081 | ||||||||
SA International Index Portfolio, Class 1 | — | — | 23,607,388 | 625,701 | 1,606,671 | 194,049 | 452,464 | 23,272,931 | ||||||||
SA Large Cap Index Portfolio, Class 1 | — | — | 24,327,249 | 1,236,847 | 1,007,286 | 302,636 | 715,762 | 25,575,208 | ||||||||
SA Mid Cap Index Portfolio, Class 1 | — | — | 4,919,030 | 334,067 | 85,651 | 14,089 | 233,015 | 5,414,550 | ||||||||
SA Small Cap Index Portfolio, Class 1 | — | — | 1,929,313 | 356,904 | 36,055 | 3,504 | 15,068 | 2,268,734 | ||||||||
$— | $— | $94,371,850 | $4,372,106 | $3,453,209 | $455,832 | $869,309 | $96,615,888 |
SA Global Index Allocation 75/25 Portfolio | ||||||||||||||||
Security | Income | Capital Gain Distribution Received | Value at January 31, 2024 | Cost of Purchases† | Proceeds of Sales | Realized Gain/(Loss) | Change in Unrealized Gain (Loss) | Value at April 30, 2024 | ||||||||
SunAmerica Series Trust | ||||||||||||||||
SA Emerging Markets Equity Index Portfolio, Class 1 | $— | $— | $4,275,028 | $415,469 | $79,512 | $1,054 | $304,873 | $4,916,912 | ||||||||
SA Fixed Income Index Portfolio, Class 1 | — | — | 11,436,182 | 409,381 | 194,675 | (28,298) | (284,563) | 11,338,027 | ||||||||
SA Fixed Income Intermediate Index Portfolio, Class 1 | — | — | 12,412,209 | 422,473 | 560,577 | (28,247) | (155,126) | 12,090,732 | ||||||||
SA International Index Portfolio, Class 1 | — | — | 28,759,163 | 476,065 | 2,062,194 | 368,512 | 429,628 | 27,971,174 | ||||||||
SA Large Cap Index Portfolio, Class 1 | — | — | 29,789,640 | 1,497,431 | 976,371 | 350,000 | 900,427 | 31,561,127 | ||||||||
SA Mid Cap Index Portfolio, Class 1 | — | — | 5,968,145 | 182,375 | 99,362 | 22,656 | 279,150 | 6,352,964 | ||||||||
SA Small Cap Index Portfolio, Class 1 | — | — | 3,903,453 | 356,187 | 67,557 | 808 | 56,706 | 4,249,597 | ||||||||
$— | $— | $96,543,820 | $3,759,381 | $4,040,248 | $686,485 | $1,531,095 | $98,480,533 |
† | Includes reinvestment of distributions paid. |
SA Global Index Allocation 90/10 Portfolio | ||||||||||||||||
Security | Income | Capital Gain Distribution Received | Value at January 31, 2024 | Cost of Purchases | Proceeds of Sales | Realized Gain/(Loss) | Change in Unrealized Gain (Loss) | Value at April 30, 2024 | ||||||||
SunAmerica Series Trust | ||||||||||||||||
SA Emerging Markets Equity Index Portfolio, Class 1 | $— | $— | $15,048,441 | $2,345,948 | $237,199 | $(11,510) | $1,119,283 | $18,264,963 | ||||||||
SA Fixed Income Index Portfolio, Class 1 | — | — | 16,018,988 | 733,620 | 1,221,837 | (234,982) | (186,555) | 15,109,234 | ||||||||
SA Fixed Income Intermediate Index Portfolio, Class 1 | — | — | 19,356,079 | 782,810 | 1,269,278 | (132,495) | (151,301) | 18,585,815 | ||||||||
SA International Index Portfolio, Class 1 | — | — | 131,075,400 | 2,300,227 | 6,709,658 | 1,555,240 | 2,101,012 | 130,322,221 | ||||||||
SA Large Cap Index Portfolio, Class 1 | — | — | 121,770,979 | 3,184,021 | 1,649,568 | 627,711 | 4,512,314 | 128,445,457 | ||||||||
SA Mid Cap Index Portfolio, Class 1 | — | — | 29,147,833 | 809,965 | 399,383 | 102,880 | 1,379,983 | 31,041,278 | ||||||||
SA Small Cap Index Portfolio, Class 1 | — | — | 17,909,992 | 1,762,395 | 257,065 | 21,754 | 240,198 | 19,677,274 | ||||||||
$— | $— | $350,327,712 | $11,918,986 | $11,743,988 | $1,928,598 | $9,014,934 | $361,446,242 |
SA Index Allocation 60/40 Portfolio | ||||||||||||||||
Security | Income | Capital Gain Distribution Received | Value at January 31, 2024 | Cost of Purchases | Proceeds of Sales | Realized Gain/(Loss) | Change in Unrealized Gain (Loss) | Value at April 30, 2024 | ||||||||
SunAmerica Series Trust | ||||||||||||||||
SA Fixed Income Index Portfolio, Class 1 | $— | $— | $48,168,717 | $1,642,536 | $1,108,024 | $(176,001) | $(1,140,481) | $47,386,747 | ||||||||
SA Fixed Income Intermediate Index Portfolio, Class 1 | — | — | 50,814,749 | 1,664,943 | 1,164,208 | (62,386) | (703,375) | 50,549,723 | ||||||||
SA International Index Portfolio, Class 1 | — | — | 23,444,700 | 212,865 | 533,748 | 90,211 | 555,702 | 23,769,730 | ||||||||
SA Large Cap Index Portfolio, Class 1 | — | — | 109,143,419 | 891,794 | 4,639,342 | 1,719,519 | 2,915,827 | 110,031,217 | ||||||||
SA Mid Cap Index Portfolio, Class 1 | — | — | 12,889,632 | 114,275 | 286,538 | 65,433 | 590,258 | 13,373,060 | ||||||||
SA Small Cap Index Portfolio, Class 1 | — | — | 13,053,174 | 114,275 | 286,538 | 7,831 | 209,526 | 13,098,268 | ||||||||
$— | $— | $257,514,391 | $4,640,688 | $8,018,398 | $1,644,607 | $2,427,457 | $258,208,745 |
SA Index Allocation 80/20 Portfolio | ||||||||||||||||
Security | Income | Capital Gain Distribution Received | Value at January 31, 2024 | Cost of Purchases† | Proceeds of Sales | Realized Gain/(Loss) | Change in Unrealized Gain (Loss) | Value at April 30, 2024 | ||||||||
SunAmerica Series Trust | ||||||||||||||||
SA Fixed Income Index Portfolio, Class 1 | $— | $— | $45,298,697 | $1,829,407 | $1,875,863 | $(291,670) | $(928,498) | $44,032,073 | ||||||||
SA Fixed Income Intermediate Index Portfolio, Class 1 | — | — | 50,063,850 | 1,863,204 | 1,996,880 | (86,860) | (658,284) | 49,185,030 | ||||||||
SA International Index Portfolio, Class 1 | — | — | 67,730,275 | 490,053 | 1,754,751 | 327,247 | 1,546,328 | 68,339,152 | ||||||||
SA Large Cap Index Portfolio, Class 1 | — | — | 257,196,071 | 1,683,298 | 9,034,772 | 3,011,735 | 7,905,798 | 260,762,130 | ||||||||
SA Mid Cap Index Portfolio, Class 1 | — | — | 48,848,375 | 1,341,347 | 1,222,275 | 294,526 | 2,236,544 | 51,498,517 | ||||||||
SA Small Cap Index Portfolio, Class 1 | — | — | 24,844,150 | 572,363 | 617,188 | 66,918 | 354,642 | 25,220,885 | ||||||||
$— | $— | $493,981,418 | $7,779,672 | $16,501,729 | $3,321,896 | $10,456,530 | $499,037,787 |
† | Includes reinvestment of distributions paid. |
SA Index Allocation 90/10 Portfolio | ||||||||||||||||
Security | Income | Capital Gain Distribution Received | Value at January 31, 2024 | Cost of Purchases | Proceeds of Sales | Realized Gain/(Loss) | Change in Unrealized Gain (Loss) | Value at April 30, 2024 | ||||||||
SunAmerica Series Trust | ||||||||||||||||
SA Fixed Income Index Portfolio, Class 1 | $— | $— | $59,805,052 | $2,657,684 | $4,139,929 | $(711,330) | $(860,379) | $56,751,098 | ||||||||
SA Fixed Income Intermediate Index Portfolio, Class 1 | — | — | 71,863,291 | 2,723,011 | 4,402,521 | (206,045) | (843,889) | 69,133,847 | ||||||||
SA International Index Portfolio, Class 1 | — | — | 245,626,818 | 1,273,875 | 5,120,537 | 673,654 | 6,100,941 | 248,554,751 | ||||||||
SA Large Cap Index Portfolio, Class 1 | — | — | 759,702,218 | 7,585,152 | 19,104,784 | 6,836,170 | 25,433,240 | 780,451,996 | ||||||||
SA Mid Cap Index Portfolio, Class 1 | — | — | 134,754,914 | 1,159,802 | 2,652,176 | 494,613 | 6,372,218 | 140,129,371 | ||||||||
SA Small Cap Index Portfolio, Class 1 | — | — | 67,042,434 | 1,633,167 | 1,339,217 | 147,560 | 986,884 | 68,470,828 | ||||||||
$— | $— | $1,338,794,727 | $17,032,691 | $36,759,164 | $7,234,622 | $37,189,015 | $1,363,491,891 |
SA Large Cap Index Portfolio | ||||||||||||||||
Security | Income | Capital Gain Distribution Received | Value at January 31, 2024 | Cost of Purchases | Proceeds of Sales | Realized Gain/(Loss) | Change in Unrealized Gain (Loss) | Value at April 30, 2024 | ||||||||
American International Group, Inc. - Common Stock | $ 18,903 | $— | $ 3,719,271 | $ 3,661 | $ 160,219 | $ 37,127 | $ 264,166 | $ 3,864,006 |
SA Large Cap Value Index Portfolio | ||||||||||||||||
Security | Income | Capital Gain Distribution Received | Value at January 31, 2024 | Cost of Purchases | Proceeds of Sales | Realized Gain/(Loss) | Change in Unrealized Gain (Loss) | Value at April 30, 2024 | ||||||||
American International Group, Inc.— Common Stock | $6,209 | $— | $1,155,812 | $49,421 | $— | $— | $98,232 | $1,303,465 |
SA VCP Dynamic Allocation Portfolio | ||||||||||||||||
Security | Income | Capital Gain Distribution Received | Value at January 31, 2024 | Cost of Purchases | Proceeds of Sales | Realized Gain/(Loss) | Change in Unrealized Gain (Loss) | Value at April 30, 2024 | ||||||||
Seasons Series Trust | ||||||||||||||||
SA American Century Inflation Protection Portfolio, Class 1 | $— | $— | $119,220,502 | $8,000,000 | $5,049,613 | $(722,396) | $(1,697,344) | $119,751,149 | ||||||||
SA Columbia Focused Value Portfolio, Class 1 | — | — | 160,264,665 | — | 6,925,183 | 517,718 | 8,759,460 | 162,616,660 | ||||||||
SA Multi-Managed Diversified Fixed Income Portfolio, Class 1 | — | — | 420,716,296 | — | 18,755,705 | (3,016,187) | (8,391,003) | 390,553,401 | ||||||||
SA Multi-Managed International Equity Portfolio, Class 1 | — | — | 132,194,793 | — | 5,338,162 | 631,518 | 3,714,643 | 131,202,792 | ||||||||
SA Multi-Managed Large Cap Growth Portfolio, Class 1 | — | — | 134,928,016 | — | 10,193,887 | (1,030,179) | 5,666,469 | 129,370,419 | ||||||||
SA Multi-Managed Large Cap Value Portfolio, Class 1 | — | — | 225,010,795 | — | 10,733,577 | (978,304) | 6,583,831 | 219,882,745 | ||||||||
SA Multi-Managed Mid Cap Growth Portfolio, Class 1 | — | — | 59,461,555 | — | 2,308,395 | (689,007) | 3,426,021 | 59,890,174 | ||||||||
SA Multi-Managed Mid Cap Value Portfolio, Class 1 | — | — | 104,070,711 | — | 3,751,142 | 318,500 | 5,296,097 | 105,934,166 | ||||||||
SA Multi-Managed Small Cap Portfolio, Class 1 | — | — | 50,627,306 | — | 2,019,845 | (647,669) | 1,619,684 | 49,579,476 | ||||||||
SA T. Rowe Price Growth Stock Portfolio, Class 1 | — | — | 152,997,174 | — | 16,770,986 | 5,308 | 5,922,516 | 142,154,012 | ||||||||
SunAmerica Series Trust | ||||||||||||||||
SA AB Growth Portfolio, Class 1 | — | — | 294,769,593 | — | 27,541,972 | 7,932,412 | 1,894,599 | 277,054,632 | ||||||||
SA AB Small & Mid Cap Value Portfolio, Class 1 | — | — | 10,394,725 | — | 865,648 | (417,426) | 627,222 | 9,738,873 | ||||||||
SA DFA Ultra Short Bond Portfolio, Class 1 | — | — | 52,026,599 | — | 2,596,943 | 46,796 | 620,286 | 50,096,738 | ||||||||
SA Emerging Markets Equity Index Portfolio, Class 1 | — | — | 21,595,636 | — | 865,648 | (77,258) | 1,573,061 | 22,225,791 |
SA VCP Dynamic Allocation Portfolio | ||||||||||||||||
Security | Income | Capital Gain Distribution Received | Value at January 31, 2024 | Cost of Purchases | Proceeds of Sales | Realized Gain/(Loss) | Change in Unrealized Gain (Loss) | Value at April 30, 2024 | ||||||||
SA Federated Hermes Corporate Bond Portfolio, Class 1 | $— | $— | $195,452,750 | $30,000,000 | $8,945,028 | $(2,074,377) | $(2,572,267) | $211,861,078 | ||||||||
SA Fidelity Institutional AM® International Growth Portfolio, Class 1 | — | — | 136,720,328 | — | 5,482,438 | 968,746 | 2,172,933 | 134,379,569 | ||||||||
SA Fidelity Institutional AM® Real Estate Portfolio, Class 1 | — | — | 50,254,474 | — | 2,308,395 | 424,601 | (2,767,491) | 45,603,189 | ||||||||
SA Fixed Income Index Portfolio, Class 1 | — | — | 89,155,681 | — | 3,751,141 | (262,199) | (2,132,195) | 83,010,146 | ||||||||
SA Fixed Income Intermediate Index Portfolio, Class 1 | — | — | 93,941,566 | — | 4,905,339 | (79,766) | (1,306,015) | 87,650,446 | ||||||||
SA Franklin BW U.S. Large Cap Value Portfolio, Class 1 | — | — | 206,130,088 | — | 11,867,930 | (1,150,372) | 11,951,996 | 205,063,782 | ||||||||
SA Franklin Small Company Value Portfolio, Class 1 | — | — | 68,218,666 | — | 2,885,493 | (942,672) | 2,451,621 | 66,842,122 | ||||||||
SA Franklin Systematic U.S. Large Cap Core Portfolio, Class 1 | — | — | 64,146,262 | — | 2,466,515 | 522,166 | 2,856,480 | 65,058,393 | ||||||||
SA International Index Portfolio, Class 1 | — | — | 71,014,369 | — | 2,885,493 | 702,031 | 1,270,794 | 70,101,701 | ||||||||
SA Invesco Growth Opportunities Portfolio, Class 1 | — | — | 97,793,360 | — | 4,039,689 | (1,402,327) | 5,794,641 | 98,145,985 | ||||||||
SA Janus Focused Growth Portfolio, Class 1 | — | — | 93,926,594 | — | 12,462,592 | 2,448,252 | 614,481 | 84,526,735 | ||||||||
SA JPMorgan Emerging Markets Portfolio, Class 1 | — | — | 24,319,822 | — | 1,442,747 | 284,307 | 1,972,711 | 25,134,093 | ||||||||
SA JPMorgan Equity-Income Portfolio, Class 1 | — | — | 249,457,922 | — | 10,387,776 | (794,106) | 10,637,826 | 248,913,866 | ||||||||
SA JPMorgan Global Equities Portfolio, Class 1 | — | — | 140,000,364 | — | 5,193,888 | 482,758 | 8,011,265 | 143,300,499 | ||||||||
SA JPMorgan Large Cap Core Portfolio, Class 1 | — | — | — | 30,000,000 | 357,903 | (8,195) | (647,610) | 28,986,292 | ||||||||
SA JPMorgan MFS Core Bond Portfolio, Class 1 | — | — | 488,448,660 | 62,000,000 | 22,074,021 | (2,457,709) | (10,190,421) | 515,726,509 | ||||||||
SA JPMorgan Mid Cap Growth Portfolio, Class 1 | — | — | 87,119,100 | — | 3,751,141 | (473,957) | 3,743,903 | 86,637,905 | ||||||||
SA Large Cap Growth Index Portfolio, Class 1 | — | — | 261,382,797 | — | 11,541,971 | 3,822,474 | 10,023,905 | 263,687,205 | ||||||||
SA Large Cap Index Portfolio, Class 1 | — | — | 934,474,717 | — | 71,078,585 | 34,340,735 | 5,480,876 | 903,217,743 | ||||||||
SA Large Cap Value Index Portfolio, Class 1 | — | — | 186,128,404 | 5,000,000 | 8,079,381 | 1,713,397 | 4,058,764 | 188,821,184 | ||||||||
SA MFS Blue Chip Growth, Class 1 | — | — | 253,963,220 | — | 22,954,951 | 3,722,375 | 10,533,002 | 245,263,646 | ||||||||
SA MFS Massachusetts Investors Trust Portfolio, Class 1 | — | — | 266,246,085 | — | 48,737,400 | (162,756) | 12,430,745 | 229,776,674 | ||||||||
SA Mid Cap Index Portfolio, Class 1 | — | — | 53,913,245 | — | 2,164,119 | 656,608 | 2,100,986 | 54,506,720 | ||||||||
SA Morgan Stanley International Equities Portfolio, Class 1 | — | — | 118,968,756 | — | 4,761,063 | 314,976 | 2,705,052 | 117,227,721 | ||||||||
SA PIMCO Global Bond Opportunities Portfolio, Class 1 | — | — | 21,164,972 | 4,000,000 | 1,154,197 | (183,346) | (560,552) | 23,266,877 | ||||||||
SA PIMCO RAE International Value Portfolio, Class 1 | — | — | 44,883,814 | — | 1,875,570 | (190,263) | 1,355,280 | 44,173,261 | ||||||||
SA PineBridge High-Yield Bond Portfolio, Class 1 | — | — | 43,535,745 | — | 1,587,022 | (107,557) | 527,942 | 42,369,108 | ||||||||
SA Putnam International Growth and Income Portfolio, Class 1 | — | — | 64,476,821 | — | 2,741,218 | 42,776 | 2,807,827 | 64,586,206 | ||||||||
SA Small Cap Index Portfolio, Class 1 | — | — | 49,060,031 | — | 1,875,570 | (61,803) | 912,531 | 48,035,189 | ||||||||
SA Wellington Capital Appreciation Portfolio, Class 1 | — | — | 118,916,813 | — | 12,328,239 | (1,313,252) | 10,961,000 | 116,236,322 | ||||||||
SA Wellington Government & Quality Bond Portfolio, Class 1 | — | — | 417,670,712 | — | 17,745,782 | (2,704,668) | (9,691,146) | 387,529,116 | ||||||||
$— | $— | $6,929,164,504 | $139,000,000 | $427,549,303 | $37,950,703 | $121,124,406 | $6,799,690,310 |
SA VCP Dynamic Strategy Portfolio | ||||||||||||||||
Security | Income | Capital Gain Distribution Received | Value at January 31, 2024 | Cost of Purchases† | Proceeds of Sales | Realized Gain/(Loss) | Change in Unrealized Gain (Loss) | Value at April 30, 2024 | ||||||||
Seasons Series Trust | ||||||||||||||||
SA American Century Inflation Protection Portfolio, Class 1 | $— | $— | $50,524,777 | $3,000,000 | $2,122,060 | $(253,818) | $(772,403) | $50,376,496 | ||||||||
SA Columbia Focused Value Portfolio, Class 1 | — | — | 99,945,825 | 8,000,000 | 4,428,646 | 788,176 | 5,304,892 | 109,610,247 | ||||||||
SA Multi-Managed Diversified Fixed Income Portfolio, Class 1 | — | — | 147,809,286 | — | 6,642,968 | (1,598,763) | (2,410,223) | 137,157,332 | ||||||||
SA Multi-Managed International Equity Portfolio, Class 1 | — | — | 76,754,125 | — | 5,452,429 | 715,446 | 1,868,459 | 73,885,601 | ||||||||
SA Multi-Managed Large Cap Growth Portfolio, Class 1 | — | — | 124,654,658 | — | 11,797,699 | (5,357,864) | 9,855,888 | 117,354,983 | ||||||||
SA Multi-Managed Large Cap Value Portfolio, Class 1 | — | — | 197,030,129 | — | 18,644,326 | 1,127,838 | 3,810,743 | 183,324,384 | ||||||||
SA Multi-Managed Mid Cap Growth Portfolio, Class 1 | — | — | 55,215,168 | — | 2,306,587 | (692,365) | 3,234,971 | 55,451,187 | ||||||||
SA Multi-Managed Mid Cap Value Portfolio, Class 1 | — | — | 44,236,520 | — | 1,568,479 | 95,095 | 2,289,009 | 45,052,145 | ||||||||
SA Multi-Managed Small Cap Portfolio, Class 1 | — | — | 74,378,909 | — | 2,952,430 | (492,972) | 1,916,556 | 72,850,063 | ||||||||
SA T. Rowe Price Growth Stock Portfolio, Class 1 | — | — | 21,029,873 | 5,000,000 | 970,372 | (596,344) | 1,176,322 | 25,639,479 | ||||||||
SunAmerica Series Trust | ||||||||||||||||
SA AB Growth Portfolio, Class 1 | — | — | 157,487,529 | 2,000,000 | 13,413,914 | 3,672,563 | 1,677,500 | 151,423,678 | ||||||||
SA AB Small & Mid Cap Value Portfolio, Class 1 | — | — | 86,936,622 | — | 5,413,747 | 396,777 | 1,362,781 | 83,282,433 | ||||||||
SA DFA Ultra Short Bond Portfolio, Class 1 | — | — | 23,287,042 | — | 1,014,898 | 8,783 | 290,704 | 22,571,631 | ||||||||
SA Emerging Markets Equity Index Portfolio, Class 1 | — | — | 16,496,539 | — | 553,580 | (49,794) | 1,193,452 | 17,086,617 | ||||||||
SA Federated Hermes Corporate Bond Portfolio, Class 1 | — | — | 85,919,299 | 8,000,000 | 4,244,119 | (735,193) | (1,220,412) | 87,719,575 | ||||||||
SA Fidelity Institutional AM® International Growth Portfolio, Class 1 | — | — | 67,039,959 | 15,500,000 | 3,348,565 | 590,498 | 157,283 | 79,939,175 | ||||||||
SA Fidelity Institutional AM® Real Estate Portfolio, Class 1 | — | — | 33,018,098 | — | 1,476,214 | 194,758 | (1,737,941) | 29,998,701 | ||||||||
SA Fixed Income Index Portfolio, Class 1 | — | — | 48,364,413 | — | 2,398,850 | (168,452) | (1,126,224) | 44,670,887 | ||||||||
SA Fixed Income Intermediate Index Portfolio, Class 1 | — | — | 47,393,725 | — | 2,029,796 | (115,964) | (586,655) | 44,661,310 | ||||||||
SA Franklin BW U.S. Large Cap Value Portfolio, Class 1 | — | — | 178,007,530 | — | 20,813,955 | 3,300,237 | 6,306,763 | 166,800,575 | ||||||||
SA Franklin Small Company Value Portfolio, Class 1 | — | — | 25,763,604 | — | 1,107,161 | (192,489) | 760,981 | 25,224,935 | ||||||||
SA Franklin Systematic U.S. Large Cap Core Portfolio, Class 1 | — | — | 51,855,460 | — | 2,029,796 | 417,759 | 2,308,171 | 52,551,594 |
SA VCP Dynamic Strategy Portfolio | ||||||||||||||||
Security | Income | Capital Gain Distribution Received | Value at January 31, 2024 | Cost of Purchases† | Proceeds of Sales | Realized Gain/(Loss) | Change in Unrealized Gain (Loss) | Value at April 30, 2024 | ||||||||
SA Franklin Systematic U.S. Large Cap Value Portfolio, Class 1 | $— | $— | $111,355,818 | $— | $18,138,315 | $(1,026,926) | $7,429,150 | $99,619,727 | ||||||||
SA International Index Portfolio, Class 1 | — | — | 53,196,696 | — | 1,476,215 | 183,519 | 1,288,752 | 53,192,752 | ||||||||
SA Invesco Growth Opportunities Portfolio, Class 1 | — | — | 20,144,678 | — | 830,371 | (597,261) | 1,500,795 | 20,217,841 | ||||||||
SA Janus Focused Growth Portfolio, Class 1 | — | — | 126,641,443 | — | 11,889,963 | 1,677,213 | 2,606,971 | 119,035,664 | ||||||||
SA JPMorgan Emerging Markets Portfolio, Class 1 | — | — | 14,658,518 | — | 1,014,898 | (74,714) | 1,431,244 | 15,000,150 | ||||||||
SA JPMorgan Equity-Income Portfolio, Class 1 | — | — | 201,179,436 | — | 19,013,379 | (948,344) | 8,993,587 | 190,211,300 | ||||||||
SA JPMorgan Global Equities Portfolio, Class 1 | — | — | 80,757,191 | — | 3,136,958 | 166,194 | 4,730,175 | 82,516,602 | ||||||||
SA JPMorgan Large Cap Core Portfolio, Class 1 | — | — | 235,709,174 | — | 17,410,872 | 206,979 | 11,844,581 | 230,349,862 | ||||||||
SA JPMorgan MFS Core Bond Portfolio, Class 1 | — | — | 218,951,211 | 12,000,000 | 9,779,925 | (1,024,846) | (4,548,348) | 215,598,092 | ||||||||
SA JPMorgan Mid Cap Growth Portfolio, Class 1 | — | — | 48,752,995 | 2,000,000 | 2,122,060 | (38,580) | 1,761,950 | 50,354,305 | ||||||||
SA Large Cap Growth Index Portfolio, Class 1 | — | — | 124,425,875 | 15,000,000 | 5,699,676 | 1,940,688 | 4,150,678 | 139,817,565 | ||||||||
SA Large Cap Index Portfolio, Class 1 | — | — | 482,843,786 | — | 26,637,215 | 12,980,941 | 7,732,888 | 476,920,400 | ||||||||
SA Large Cap Value Index Portfolio, Class 1 | — | — | 162,107,603 | 22,000,000 | 7,565,602 | 620,872 | 4,349,407 | 181,512,280 | ||||||||
SA MFS Blue Chip Growth, Class 1 | — | — | 138,904,558 | 6,000,000 | 12,699,677 | 2,242,426 | 5,453,429 | 139,900,736 | ||||||||
SA MFS Massachusetts Investors Trust Portfolio, Class 1 | — | — | 240,097,557 | — | 9,779,925 | (224,547) | 10,730,462 | 240,823,547 | ||||||||
SA Mid Cap Index Portfolio, Class 1 | — | — | 39,703,874 | 4,000,000 | 1,845,269 | 532,432 | 1,308,946 | 43,699,983 | ||||||||
SA Morgan Stanley International Equities Portfolio, Class 1 | — | — | 51,770,734 | — | 2,398,849 | (272,835) | 1,584,410 | 50,683,460 | ||||||||
SA PIMCO Global Bond Opportunities Portfolio, Class 1 | — | — | 19,786,940 | 4,000,000 | 1,107,160 | (269,337) | (425,617) | 21,984,826 | ||||||||
SA PIMCO RAE International Value Portfolio, Class 1 | — | — | 71,476,385 | — | 10,754,364 | 2,952,398 | (1,029,549) | 62,644,870 | ||||||||
SA PineBridge High-Yield Bond Portfolio, Class 1 | — | — | 17,648,337 | 5,000,000 | 645,845 | (72,820) | 262,270 | 22,191,942 | ||||||||
SA Putnam International Growth and Income Portfolio, Class 1 | — | — | 102,072,934 | — | 9,138,315 | 1,082,793 | 3,410,665 | 97,428,077 | ||||||||
SA Small Cap Index Portfolio, Class 1 | — | — | 29,580,095 | — | 1,291,688 | 193,032 | 322,359 | 28,803,798 | ||||||||
SA Wellington Government & Quality Bond Portfolio, Class 1 | — | — | 161,792,113 | — | 6,919,758 | (1,315,526) | (3,487,525) | 150,069,304 | ||||||||
$— | $— | $4,466,707,041 | $111,500,000 | $296,026,890 | $19,967,663 | $107,062,297 | $4,409,210,111 |
† | Includes reinvestment of distributions paid. |
SA VCP Index Allocation Portfolio | ||||||||||||||||
Security | Income | Capital Gain Distribution Received | Value at January 31, 2024 | Cost of Purchases | Proceeds of Sales | Realized Gain/(Loss) | Change in Unrealized Gain (Loss) | Value at April 30, 2024 | ||||||||
SunAmerica Series Trust | ||||||||||||||||
SA Fixed Income Index Portfolio, Class 1 | $— | $— | $58,095,923 | $2,076,679 | $1,430,987 | $(207,029) | $(1,374,235) | $57,160,351 | ||||||||
SA Fixed Income Intermediate Index Portfolio, Class 1 | — | — | 62,278,111 | 2,109,012 | 1,528,103 | (74,159) | (860,819) | 61,924,042 | ||||||||
SA International Index Portfolio, Class 1 | — | — | 47,772,772 | 387,988 | 1,165,370 | 229,310 | 1,106,158 | 48,330,858 | ||||||||
SA Large Cap Index Portfolio, Class 1 | — | — | 197,802,332 | 1,448,931 | 7,553,607 | 2,851,872 | 5,607,167 | 200,156,695 | ||||||||
SA Mid Cap Index Portfolio, Class 1 | — | — | 31,188,950 | 245,725 | 738,067 | 185,323 | 1,415,604 | 32,297,535 | ||||||||
SA Small Cap Index Portfolio, Class 1 | — | — | 21,194,297 | 164,895 | 495,283 | 97,532 | 264,907 | 21,226,348 | ||||||||
$— | $— | $418,332,385 | $6,433,230 | $12,911,417 | $3,082,849 | $6,158,782 | $421,095,829 |