United States
Securities and Exchange Commission
Washington, D.C. 20549
Form N-CSR
Certified Shareholder Report of Registered Management Investment Companies
811-8042
(Investment Company Act File Number)
Federated Hermes Insurance Series
______________________________________________________________
(Exact Name of Registrant as Specified in Charter)
Federated Hermes Funds
4000 Ericsson Drive
Warrendale, PA 15086-7561
(Address of Principal Executive Offices)
(412) 288-1900
(Registrant's Telephone Number)
Peter J. Germain, Esquire
1001 Liberty Avenue
Pittsburgh, Pennsylvania 15222-3779
(Name and Address of Agent for Service)
(Notices should be sent to the Agent for Service)
Date of Fiscal Year End: 12/31/23
Date of Reporting Period: Six months ended 06/30/23
Item 1. | Reports to Stockholders |
Share Class
|
Service
|
|
|
|
|
|
|
|
Security Type
|
Percentage of
Total Net Assets
|
U.S. Government Agency Securities
|
24.0%
|
U.S. Treasury Securities
|
9.3%
|
Repurchase Agreements
|
67.3%
|
Other Assets and Liabilities—Net2
|
(0.6)%
|
TOTAL
|
100%
|
1
|
See the Fund’s Prospectus and Statement of Additional Information for a description of the types of securities in which the Fund invests.
|
2
|
Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities.
|
Securities With an
Effective Maturity of:
|
Percentage of
Total Net Assets
|
1-7 Days
|
88.5%
|
8-30 Days
|
0.1%
|
31-90 Days
|
1.8%
|
91-180 Days
|
2.1%
|
181 Days or more
|
8.1%
|
Other Assets and Liabilities—Net2
|
(0.6)%
|
Total
|
100%
|
1
|
Effective maturity is determined in accordance with the requirements of Rule 2a-7 under the Investment Company Act of 1940,
which regulates money market
mutual funds.
|
2
|
Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities.
|
Principal
Amount
|
|
|
Value
|
|
|
GOVERNMENT AGENCIES—24.0%
|
|
$ 525,000
|
1
|
Federal Farm Credit System Floating Rate Notes, 5.085% (SOFR +0.025%), 7/3/2023
|
$ 525,000
|
400,000
|
1
|
Federal Farm Credit System Floating Rate Notes, 5.087% (SOFR +0.027%), 7/3/2023
|
399,983
|
150,000
|
1
|
Federal Farm Credit System Floating Rate Notes, 5.100% (SOFR +0.040%), 7/3/2023
|
150,000
|
350,000
|
1
|
Federal Farm Credit System Floating Rate Notes, 5.105% (SOFR +0.045%), 7/3/2023
|
350,000
|
925,000
|
1
|
Federal Farm Credit System Floating Rate Notes, 5.110% (SOFR +0.050%), 7/3/2023
|
925,002
|
325,000
|
1
|
Federal Farm Credit System Floating Rate Notes, 5.120% (SOFR +0.060%), 7/3/2023
|
324,987
|
500,000
|
1
|
Federal Farm Credit System Floating Rate Notes, 5.135% (SOFR +0.075%), 7/3/2023
|
499,982
|
500,000
|
1
|
Federal Farm Credit System Floating Rate Notes, 5.140% (SOFR +0.080%), 7/3/2023
|
499,993
|
400,000
|
1
|
Federal Farm Credit System Floating Rate Notes, 5.145% (SOFR +0.085%), 7/3/2023
|
399,996
|
450,000
|
1
|
Federal Farm Credit System Floating Rate Notes, 5.150% (SOFR +0.090%), 7/3/2023
|
450,000
|
250,000
|
1
|
Federal Farm Credit System Floating Rate Notes, 5.155% (SOFR +0.095%), 7/3/2023
|
250,000
|
250,000
|
1
|
Federal Farm Credit System Floating Rate Notes, 5.160% (SOFR +0.100%), 7/3/2023
|
250,000
|
300,000
|
1
|
Federal Farm Credit System Floating Rate Notes, 5.165% (SOFR +0.105%), 7/3/2023
|
300,000
|
200,000
|
1
|
Federal Farm Credit System Floating Rate Notes, 5.170% (SOFR +0.110%), 7/3/2023
|
200,000
|
250,000
|
1
|
Federal Farm Credit System Floating Rate Notes, 5.180% (SOFR +0.120%), 7/3/2023
|
250,000
|
600,000
|
1
|
Federal Farm Credit System Floating Rate Notes, 5.190% (SOFR +0.130%), 7/3/2023
|
599,995
|
100,000
|
1
|
Federal Farm Credit System Floating Rate Notes, 5.195% (SOFR +0.135%), 7/3/2023
|
100,000
|
150,000
|
1
|
Federal Farm Credit System Floating Rate Notes, 5.260% (SOFR +0.200%), 7/3/2023
|
150,000
|
875,000
|
1
|
Federal Home Loan Bank System Floating Rate Notes, 5.120% (SOFR +0.060%), 7/3/2023
|
875,000
|
500,000
|
1
|
Federal Home Loan Bank System Floating Rate Notes, 5.125% (SOFR +0.065%), 7/3/2023
|
500,000
|
100,000
|
1
|
Federal Home Loan Bank System Floating Rate Notes, 5.130% (SOFR +0.070%), 7/3/2023
|
100,000
|
300,000
|
1
|
Federal Home Loan Bank System Floating Rate Notes, 5.145% (SOFR +0.085%), 7/3/2023
|
300,000
|
950,000
|
1
|
Federal Home Loan Bank System Floating Rate Notes, 5.150% (SOFR +0.090%), 7/3/2023
|
950,000
|
250,000
|
1
|
Federal Home Loan Bank System Floating Rate Notes, 5.160% (SOFR +0.100%), 7/3/2023
|
250,000
|
750,000
|
1
|
Federal Home Loan Bank System Floating Rate Notes, 5.180% (SOFR +0.120%), 7/3/2023
|
750,000
|
7,725,000
|
|
Federal Home Loan Bank System, 2.300% - 5.740%, 7/3/2023 - 7/12/2024
|
7,724,946
|
350,000
|
|
Federal Home Loan Mortgage Corp., 5.410% - 5.420%, 6/14/2024 - 6/17/2024
|
350,000
|
100,000
|
|
Federal National Mortgage Association Notes, 0.250%, 7/10/2023
|
99,906
|
|
|
TOTAL GOVERNMENT AGENCIES
|
18,524,790
|
|
|
U.S. TREASURIES—9.3%
|
|
|
2
|
U.S. Treasury Bills—2.1%
|
|
1,000,000
|
|
United States Treasury Bills, 5.215%, 12/28/2023
|
973,925
|
650,000
|
|
United States Treasury Bills, 5.220% - 5.230%, 10/31/2023
|
638,862
|
|
|
TOTAL
|
1,612,787
|
|
1
|
U.S. Treasury Notes—7.2%
|
|
500,000
|
|
United States Treasury Floating Rate Notes, 5.173% (91-day T-Bill -0.075%), 7/4/2023
|
500,000
|
750,000
|
|
United States Treasury Floating Rate Notes, 5.233% (91-day T-Bill -0.015%), 7/4/2023
|
750,180
|
1,400,000
|
|
United States Treasury Floating Rate Notes, 5.277% (91-day T-Bill +0.029%), 7/4/2023
|
1,400,019
|
750,000
|
|
United States Treasury Floating Rate Notes, 5.285% (91-day T-Bill +0.037%), 7/4/2023
|
749,561
|
250,000
|
|
United States Treasury Floating Rate Notes, 5.388% (91-day T-Bill +0.140%), 7/4/2023
|
249,737
|
850,000
|
|
United States Treasury Floating Rate Notes, 5.417% (91-day T-Bill +0.169%), 7/4/2023
|
850,174
|
1,050,000
|
|
United States Treasury Floating Rate Notes, 5.448% (91-day T-Bill +0.200%), 7/4/2023
|
1,050,209
|
|
|
TOTAL
|
5,549,880
|
|
|
TOTAL U.S. TREASURIES
|
7,162,667
|
|
|
REPURCHASE AGREEMENTS—67.3%
|
|
18,000,000
|
|
Interest in $775,000,000 joint repurchase agreement 5.06%, dated 6/30/2023 under which ABN Amro Bank N.V., Netherlands
will repurchase securities provided as collateral for $775,326,792 on 7/3/2023. The securities provided as collateral at the
end
of the period held with BNY Mellon as tri-party agent, were U.S. Government Agency securities and a U.S. Treasury securities
with various maturities to 5/20/2053 and the market value of those underlying securities was $791,072,098.
|
18,000,000
|
Principal
Amount
|
|
|
Value
|
|
|
REPURCHASE AGREEMENTS—continued
|
|
$15,802,000
|
|
Interest in $3,000,000,000 joint repurchase agreement 5.05%, dated 6/30/2023 under which Sumitomo Mitsui Banking Corp
will repurchase securities provided as collateral for $3,001,262,500 on 7/3/2023. The securities provided as collateral at
the
end of the period held with BNY Mellon as tri-party agent, were U.S. Government Agency securities and a U.S. Treasury
securities with various maturities to 10/20/2052 and the market value of those underlying securities was $3,061,287,771.
|
$15,802,000
|
18,000,000
|
|
Interest in $4,100,000,000 joint repurchase agreement 5.06%, dated 6/30/2023 under which Wells Fargo Securities LLC will
repurchase securities provided as collateral for $4,101,728,833 on 7/3/2023. The securities provided as collateral at the
end of
the period held with BNY Mellon as tri-party agent, were U.S. Government Agency securities with various maturities to
6/20/2053 and the market value of those underlying securities was $4,185,028,949.
|
18,000,000
|
|
|
TOTAL REPURCHASE AGREEMENTS
|
51,802,000
|
|
|
TOTAL INVESTMENT IN SECURITIES—100.6%
(AT AMORTIZED COST)3
|
77,489,457
|
|
|
OTHER ASSETS AND LIABILITIES - NET—(0.6)%4
|
(480,588)
|
|
|
TOTAL NET ASSETS—100%
|
$77,008,869
|
1
|
Floating/variable note with current rate and current maturity or next reset date shown.
|
2
|
Discount rate(s) at time of purchase.
|
3
|
Also represents cost for federal tax purposes.
|
4
|
Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities.
|
The following acronym(s) are used throughout this portfolio:
|
|
|
SOFR
|
—Secured Overnight Financing Rate
|
|
Six Months
Ended
(unaudited)
6/30/2023
|
Year Ended December 31,
|
||||
|
2022
|
2021
|
2020
|
2019
|
2018
|
|
Net Asset Value, Beginning of Period
|
$1.00
|
$1.00
|
$1.00
|
$1.00
|
$1.00
|
$1.00
|
Income From Investment Operations:
|
|
|
|
|
|
|
Net investment income (loss)
|
0.020
|
0.011
|
0.0001
|
0.002
|
0.016
|
0.012
|
Net realized gain (loss)
|
0.0001
|
0.001
|
(0.000)1
|
0.0001
|
0.0001
|
(0.000)1
|
Total From Investment Operations
|
0.020
|
0.012
|
0.0001
|
0.002
|
0.016
|
0.012
|
Less Distributions:
|
|
|
|
|
|
|
Distributions from net investment income
|
(0.020)
|
(0.012)
|
(0.000)1
|
(0.002)
|
(0.016)
|
(0.012)
|
Net Asset Value, End of Period
|
$1.00
|
$1.00
|
$1.00
|
$1.00
|
$1.00
|
$1.00
|
Total Return2
|
2.06%
|
1.16%
|
0.00%3
|
0.20%
|
1.64%
|
1.25%
|
Ratios to Average Net Assets:
|
|
|
|
|
|
|
Net expenses4
|
0.63%5
|
0.48%
|
0.07%
|
0.31%
|
0.63%
|
0.63%
|
Net investment income
|
4.12%5
|
1.14%
|
0.00%3
|
0.18%
|
1.66%
|
1.26%
|
Expense waiver/reimbursement6
|
0.08%5
|
0.24%
|
0.66%
|
0.40%
|
0.09%
|
0.11%
|
Supplemental Data:
|
|
|
|
|
|
|
Net assets, end of period (000 omitted)
|
$77,009
|
$80,514
|
$81,245
|
$90,591
|
$80,054
|
$130,261
|
1
|
Represents less than $0.001.
|
2
|
Based on net asset value. Total returns do not reflect any additional fees or expenses that may be imposed by separate accounts
of insurance companies or in
connection with any variable annuity or variable life insurance contract. Total returns for periods of less than one year
are not annualized.
|
3
|
Represents less than 0.01%.
|
4
|
Amount does not reflect net expenses incurred by investment companies in which the Fund may invest.
|
5
|
Computed on an annualized basis.
|
6
|
This expense decrease is reflected in both the net expense and the net investment income ratios shown above. Amount does not
reflect expense waiver/
reimbursement recorded by investment companies in which the Fund may invest.
|
Assets:
|
|
Investment in repurchase agreements
|
$51,802,000
|
Investment in securities
|
25,687,457
|
Total investment in securities, at amortized cost and fair value
|
77,489,457
|
Income receivable
|
212,612
|
Receivable for shares sold
|
6,095
|
Total Assets
|
77,708,164
|
Liabilities:
|
|
Payable for investments purchased
|
638,862
|
Payable for shares redeemed
|
31,463
|
Payable to bank
|
957
|
Payable for investment adviser fee (Note 4)
|
247
|
Payable for administrative fee (Note 4)
|
165
|
Payable for other service fees (Notes 2 and 4)
|
15,737
|
Accrued expenses (Note 4)
|
11,864
|
Total Liabilities
|
699,295
|
Net assets for 77,009,302 shares outstanding
|
$77,008,869
|
Net Assets Consist of:
|
|
Paid-in capital
|
$77,008,851
|
Total distributable earnings (loss)
|
18
|
Total Net Assets
|
$77,008,869
|
Net Asset Value, Offering Price and Redemption Proceeds Per Share:
|
|
Service Shares:
|
|
$77,008,869 ÷ 77,009,302 shares outstanding, no par value, unlimited shares authorized
|
$1.00
|
Investment Income:
|
|
Interest
|
$1,848,326
|
Expenses:
|
|
Investment adviser fee (Note 4)
|
77,704
|
Administrative fee (Note 4)
|
30,858
|
Custodian fees
|
3,768
|
Transfer agent fees
|
2,263
|
Directors’/Trustees’ fees (Note 4)
|
821
|
Auditing fees
|
10,460
|
Legal fees
|
4,639
|
Portfolio accounting fees
|
34,365
|
Other service fees (Notes 2 and 4)
|
96,368
|
Printing and postage
|
12,142
|
Miscellaneous (Note 4)
|
2,724
|
TOTAL EXPENSES
|
276,112
|
Waiver of investment adviser fee (Note 4)
|
(30,202)
|
Net expenses
|
245,910
|
Net investment income
|
1,602,416
|
Change in net assets resulting from operations
|
$1,602,416
|
|
Six Months
Ended
(unaudited)
6/30/2023
|
Year Ended
12/31/2022
|
Increase (Decrease) in Net Assets
|
|
|
Operations:
|
|
|
Net investment income
|
$1,602,416
|
$938,526
|
Net realized gain (loss)
|
—
|
989
|
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS
|
1,602,416
|
939,515
|
Distributions to Shareholders:
|
|
|
Service Shares
|
(1,602,513)
|
(938,522)
|
Share Transactions:
|
|
|
Proceeds from sale of shares
|
8,287,234
|
30,810,447
|
Net asset value of shares issued to shareholders in payment of distributions declared
|
1,602,511
|
938,520
|
Cost of shares redeemed
|
(13,394,865)
|
(32,480,761)
|
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS
|
(3,505,120)
|
(731,794)
|
Change in net assets
|
(3,505,217)
|
(730,801)
|
Net Assets:
|
|
|
Beginning of period
|
80,514,086
|
81,244,887
|
End of period
|
$77,008,869
|
$80,514,086
|
|
Other Service
Fees Incurred
|
Service Shares
|
$96,368
|
|
Six Months Ended
6/30/2023
|
Year Ended
12/31/2022
|
||
Primary Shares:
|
Shares
|
Amount
|
Shares
|
Amount
|
Shares sold
|
—
|
$—
|
—
|
$—
|
Shares issued to shareholders in payment of distributions declared
|
—
|
—
|
—
|
—
|
Shares redeemed
|
—
|
—
|
(100)
|
(100)
|
NET CHANGE RESULTING FROM PRIMARY SHARE TRANSACTIONS
|
—
|
$—
|
(100)
|
$(100)
|
|
Six Months Ended
6/30/2023
|
Year Ended
12/31/2022
|
||
Service Shares:
|
Shares
|
Amount
|
Shares
|
Amount
|
Shares sold
|
8,287,234
|
$8,287,234
|
30,810,447
|
$30,810,447
|
Shares issued to shareholders in payment of distributions declared
|
1,602,511
|
1,602,511
|
938,520
|
938,520
|
Shares redeemed
|
(13,394,865)
|
(13,394,865)
|
(32,480,661)
|
(32,480,661)
|
NET CHANGE RESULTING FROM SERVICE SHARE TRANSACTIONS
|
(3,505,120)
|
$(3,505,120)
|
(731,694)
|
$(731,694)
|
NET CHANGE RESULTING FROM TOTAL FUND SHARE TRANSACTIONS
|
(3,505,120)
|
$(3,505,120)
|
(731,794)
|
$(731,794)
|
Administrative Fee
|
Average Daily Net Assets
of the Investment Complex
|
0.100%
|
on assets up to $50 billion
|
0.075%
|
on assets over $50 billion
|
|
Beginning
Account Value
1/1/2023
|
Ending
Account Value
6/30/2023
|
Expenses Paid
During Period1
|
Actual:
|
|
|
|
Service Shares
|
$1,000
|
$1,020.60
|
$3.16
|
Hypothetical (assuming a 5% return before expenses):
|
|
|
|
Service Shares
|
$1,000
|
$1,021.67
|
$3.16
|
1
|
Expenses are equal to the Fund’s annualized net expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the
one-half-year period). The expenses shown in the table do not include the charges and expenses imposed by the insurance company
under the variable insurance
product contract. Please refer to the variable insurance product prospectus for a complete listing of these expenses. The
annualized net expense ratio is as
follows:
|
Service Shares
|
0.63%
|
Share Class
|
Primary
|
Service
|
|
|
|
|
|
|
Index Classification
|
Percentage of
Total Net Assets
|
Technology
|
10.7%
|
Cable Satellite
|
7.7%
|
Insurance - P&C
|
6.8%
|
Midstream
|
6.6%
|
Automotive
|
6.1%
|
Media Entertainment
|
5.7%
|
Health Care
|
5.7%
|
Packaging
|
5.0%
|
Independent Energy
|
4.3%
|
Gaming
|
4.2%
|
Building Materials
|
3.8%
|
Other2
|
29.6%
|
Cash Equivalents3
|
2.2%
|
Other Assets and Liabilities - Net4
|
1.6%
|
Total
|
100%
|
1
|
Index classifications are based upon, and individual portfolio securities are assigned to, the classifications and sub-classifications
of the Bloomberg U.S. Corporate
High Yield 2% Issuer Capped Index (BHY2%ICI). Individual portfolio securities that are not included in the BHY2%ICI are assigned
to an index classification by the
Fund’s Adviser.
|
2
|
For purposes of this table, index classifications which constitute less than 3.5% of the Fund’s total net assets have been aggregated under the designation
“Other.”
|
3
|
Cash Equivalents include any investments in money market mutual funds and/or overnight repurchase agreements.
|
4
|
Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities.
|
Principal
Amount
or Shares
|
|
|
Value
|
|
|
CORPORATE BONDS—95.8%
|
|
|
|
Aerospace/Defense—1.6%
|
|
$ 475,000
|
|
TransDigm, Inc., Sec. Fac. Bond, 144A, 6.250%, 3/15/2026
|
$ 473,106
|
175,000
|
|
TransDigm, Inc., Sec. Fac. Bond, 144A, 6.750%, 8/15/2028
|
175,882
|
450,000
|
|
TransDigm, Inc., Sr. Sub., 6.875%, 5/15/2026
|
446,366
|
775,000
|
|
TransDigm, Inc., Sr. Sub., Series WI, 5.500%, 11/15/2027
|
731,879
|
100,000
|
|
TransDigm, Inc., Sr. Sub., Series WI, 7.500%, 3/15/2027
|
100,264
|
|
|
TOTAL
|
1,927,497
|
|
|
Airlines—0.2%
|
|
225,000
|
|
American Airlines, Inc./AAdvantage Loyalty IP Ltd., 144A, 5.500%, 4/20/2026
|
223,108
|
|
|
Automotive—6.1%
|
|
75,000
|
|
Adient Global Holdings Ltd., Sec. Fac. Bond, 144A, 7.000%, 4/15/2028
|
75,899
|
550,000
|
|
Adient Global Holdings Ltd., Sr. Unsecd. Note, 144A, 4.875%, 8/15/2026
|
523,111
|
22,000
|
|
Clarios Global LP, Sec. Fac. Bond, 144A, 6.750%, 5/15/2025
|
22,038
|
25,000
|
|
Dana Financing Lux Sarl, Sr. Unsecd. Note, 144A, 5.750%, 4/15/2025
|
24,663
|
25,000
|
|
Dana, Inc., Sr. Unsecd. Note, 4.250%, 9/1/2030
|
20,836
|
150,000
|
|
Dana, Inc., Sr. Unsecd. Note, 4.500%, 2/15/2032
|
124,668
|
125,000
|
|
Dana, Inc., Sr. Unsecd. Note, 5.375%, 11/15/2027
|
118,522
|
600,000
|
|
Dornoch Debt Merger Sub, Inc., Sr. Unsecd. Note, 144A, 6.625%, 10/15/2029
|
490,215
|
550,000
|
|
Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 3.375%, 11/13/2025
|
511,942
|
200,000
|
|
Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 4.000%, 11/13/2030
|
171,097
|
300,000
|
|
Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 4.063%, 11/1/2024
|
290,574
|
275,000
|
|
Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 4.125%, 8/17/2027
|
251,362
|
200,000
|
|
Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 4.271%, 1/9/2027
|
185,334
|
450,000
|
|
Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 5.113%, 5/3/2029
|
417,768
|
325,000
|
|
Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 5.125%, 6/16/2025
|
316,365
|
300,000
|
|
Ford Motor Credit Co. LLC, Sr. Unsecd. Note, 6.800%, 5/12/2028
|
300,601
|
500,000
|
|
Ford Motor Credit Co. LLC, Sr. Unsecd. Note, Series GMTN, 4.389%, 1/8/2026
|
473,657
|
225,000
|
|
IHO Verwaltungs GmbH, Sec. Fac. Bond, 144A, 6.000%, 5/15/2027
|
211,834
|
475,000
|
|
IHO Verwaltungs GmbH, Sec. Fac. Bond, 144A, 6.375%, 5/15/2029
|
441,096
|
12,000
|
|
KAR Auction Services, Inc., Sr. Unsecd. Note, 144A, 5.125%, 6/1/2025
|
11,774
|
1,325,000
|
|
Panther BF Aggregator 2 LP, Sr. Unsecd. Note, 144A, 8.500%, 5/15/2027
|
1,329,652
|
575,000
|
|
Real Hero Merger Sub 2, Inc., Sr. Unsecd. Note, 144A, 6.250%, 2/1/2029
|
472,138
|
325,000
|
|
Schaeffler Verwaltung ZW, 144A, 4.750%, 9/15/2026
|
300,134
|
175,000
|
|
ZF North America Capital, Inc., Sr. Unsecd. Note, 144A, 7.125%, 4/14/2030
|
178,174
|
|
|
TOTAL
|
7,263,454
|
|
|
Banking—0.2%
|
|
200,000
|
|
Ally Financial, Inc., Sr. Sub. Note, 5.750%, 11/20/2025
|
192,733
|
|
|
Building Materials—3.8%
|
|
25,000
|
|
Abc Supply Co., Inc., Sr. Unsecd. Note, 144A, 3.875%, 11/15/2029
|
21,376
|
275,000
|
|
American Builders & Contractors Supply Co., Inc., 144A, 4.000%, 1/15/2028
|
250,893
|
225,000
|
|
Camelot Return Merger SU, Sec. Fac. Bond, 144A, 8.750%, 8/1/2028
|
212,922
|
150,000
|
|
Cornerstone Building Brands, Sr. Unsecd. Note, 144A, 6.125%, 1/15/2029
|
118,747
|
575,000
|
|
Cp Atlas Buyer, Inc., Sr. Unsecd. Note, 144A, 7.000%, 12/1/2028
|
452,022
|
575,000
|
|
Foundation Building Materials, Inc., Sr. Unsecd. Note, 144A, 6.000%, 3/1/2029
|
480,852
|
350,000
|
|
Gyp Holdings III Corp., Sr. Unsecd. Note, 144A, 4.625%, 5/1/2029
|
308,698
|
175,000
|
|
Interface, Inc., Sr. Unsecd. Note, 144A, 5.500%, 12/1/2028
|
142,145
|
75,000
|
|
MIWD Holdco II LLC/ MIWD Finance Corp., Sr. Unsecd. Note, 144A, 5.500%, 2/1/2030
|
61,972
|
575,000
|
|
Srs Distribution, Inc., Sr. Unsecd. Note, 144A, 6.000%, 12/1/2029
|
497,085
|
Principal
Amount
or Shares
|
|
|
Value
|
|
|
CORPORATE BONDS—continued
|
|
|
|
Building Materials—continued
|
|
$ 500,000
|
|
Srs Distribution, Inc., Sr. Unsecd. Note, 144A, 6.125%, 7/1/2029
|
$ 432,468
|
375,000
|
|
Standard Industries, Inc., Sr. Unsecd. Note, 144A, 3.375%, 1/15/2031
|
302,304
|
750,000
|
|
Standard Industries, Inc., Sr. Unsecd. Note, 144A, 5.000%, 2/15/2027
|
715,507
|
400,000
|
|
White Cap Buyer LLC, Sr. Unsecd. Note, 144A, 6.875%, 10/15/2028
|
363,034
|
200,000
|
|
White Cap Parent LLC, Sr. Sub. Secd. Note, 144A, 8.250%, 3/15/2026
|
191,793
|
|
|
TOTAL
|
4,551,818
|
|
|
Cable Satellite—7.7%
|
|
125,000
|
|
CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 4.250%, 2/1/2031
|
101,234
|
250,000
|
|
CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 4.250%, 1/15/2034
|
189,199
|
225,000
|
|
CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 4.500%, 6/1/2033
|
176,929
|
900,000
|
|
CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 4.750%, 3/1/2030
|
770,385
|
750,000
|
|
CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 5.000%, 2/1/2028
|
684,105
|
75,000
|
|
CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 5.125%, 5/1/2027
|
69,920
|
275,000
|
|
CCO Holdings LLC/Cap Corp., Sr. Unsecd. Note, 144A, 5.375%, 6/1/2029
|
248,882
|
75,000
|
|
CSC Holdings LLC, Sr. Unsecd. Note, 5.250%, 6/1/2024
|
69,841
|
225,000
|
|
CSC Holdings LLC, Sr. Unsecd. Note, 144A, 3.375%, 2/15/2031
|
152,519
|
425,000
|
|
CSC Holdings LLC, Sr. Unsecd. Note, 144A, 4.125%, 12/1/2030
|
297,709
|
300,000
|
|
CSC Holdings LLC, Sr. Unsecd. Note, 144A, 4.500%, 11/15/2031
|
209,484
|
450,000
|
|
CSC Holdings LLC, Sr. Unsecd. Note, 144A, 4.625%, 12/1/2030
|
200,690
|
475,000
|
|
CSC Holdings LLC, Sr. Unsecd. Note, 144A, 5.750%, 1/15/2030
|
224,953
|
450,000
|
|
CSC Holdings LLC, Sr. Unsecd. Note, 144A, 6.500%, 2/1/2029
|
364,224
|
350,000
|
|
CSC Holdings LLC, Sr. Unsecd. Note, 144A, 7.500%, 4/1/2028
|
200,029
|
250,000
|
|
DIRECTV Holdings LLC, Sec. Fac. Bond, 144A, 5.875%, 8/15/2027
|
226,703
|
225,000
|
|
DISH DBS Corp., Sec. Fac. Bond, 144A, 5.750%, 12/1/2028
|
167,773
|
50,000
|
|
DISH DBS Corp., Sr. Unsecd. Note, 7.375%, 7/1/2028
|
26,822
|
275,000
|
|
DISH DBS Corp., Sr. Unsecd. Note, 7.750%, 7/1/2026
|
168,953
|
575,000
|
|
DISH DBS Corp., Sr. Unsecd. Note, Series WI, 5.125%, 6/1/2029
|
267,571
|
175,000
|
|
DISH Network Corp., Sec. Fac. Bond, 144A, 11.750%, 11/15/2027
|
170,982
|
325,000
|
1,2,3
|
Intelsat Jackson Holdings S.A., Sr. Unsecd. Note, 5.500%, 8/1/2023
|
0
|
225,000
|
1,2,3
|
Intelsat Jackson Holdings S.A., Sr. Unsecd. Note, 144A, 8.500%, 10/15/2024
|
0
|
75,000
|
|
Sirius XM Radio, Inc., Sr. Unsecd. Note, 144A, 3.125%, 9/1/2026
|
67,225
|
300,000
|
|
Sirius XM Radio, Inc., Sr. Unsecd. Note, 144A, 3.875%, 9/1/2031
|
232,274
|
150,000
|
|
Sirius XM Radio, Inc., Sr. Unsecd. Note, 144A, 4.000%, 7/15/2028
|
130,491
|
300,000
|
|
Sirius XM Radio, Inc., Sr. Unsecd. Note, 144A, 4.125%, 7/1/2030
|
245,236
|
50,000
|
|
Sirius XM Radio, Inc., Sr. Unsecd. Note, 144A, 5.000%, 8/1/2027
|
46,440
|
450,000
|
|
Sirius XM Radio, Inc., Sr. Unsecd. Note, 144A, 5.500%, 7/1/2029
|
406,351
|
850,000
|
|
Telenet Finance Luxembourg, Sec. Fac. Bond, 144A, 5.500%, 3/1/2028
|
786,080
|
625,000
|
|
UPC Broadband Finco BV, Sr. Note, 144A, 4.875%, 7/15/2031
|
515,137
|
325,000
|
|
Virgin Media Finance PLC, Sr. Unsecd. Note, 144A, 5.000%, 7/15/2030
|
259,059
|
200,000
|
|
Virgin Media Secured Finance PLC, Sec. Fac. Bond, 144A, 4.500%, 8/15/2030
|
167,844
|
200,000
|
|
Virgin Media Secured Finance PLC, Sec. Fac. Bond, 144A, 5.500%, 5/15/2029
|
181,099
|
200,000
|
|
Vmed O2 UK Financing I PLC, Sec. Fac. Bond, 144A, 4.250%, 1/31/2031
|
161,892
|
250,000
|
|
Vmed O2 UK Financing I PLC, Sr. Note, 144A, 4.750%, 7/15/2031
|
208,141
|
375,000
|
|
VZ Secured Financing BV, Sec. Fac. Bond, 144A, 5.000%, 1/15/2032
|
302,421
|
200,000
|
|
Ziggo Bond Co. BV, Sr. Unsecd. Note, 144A, 5.125%, 2/28/2030
|
151,693
|
275,000
|
|
Ziggo Finance BV, Sr. Unsecd. Note, 144A, 6.000%, 1/15/2027
|
252,733
|
|
|
TOTAL
|
9,103,023
|
|
|
Chemicals—2.8%
|
|
150,000
|
|
Ashland LLC, Sr. Unsecd. Note, 144A, 3.375%, 9/1/2031
|
119,955
|
150,000
|
|
Axalta Coat/Dutch Holding BV, Sr. Unsecd. Note, 144A, 4.750%, 6/15/2027
|
141,539
|
Principal
Amount
or Shares
|
|
|
Value
|
|
|
CORPORATE BONDS—continued
|
|
|
|
Chemicals—continued
|
|
$ 250,000
|
|
Cheever Escrow Issuer, Sec. Fac. Bond, 144A, 7.125%, 10/1/2027
|
$ 225,624
|
625,000
|
|
Diamond BC BV, Sr. Unsecd. Note, 144A, 4.625%, 10/1/2029
|
630,867
|
300,000
|
|
Element Solutions, Inc., Sr. Unsecd. Note, 144A, 3.875%, 9/1/2028
|
262,035
|
175,000
|
|
H.B. Fuller Co., Sr. Unsecd. Note, 4.250%, 10/15/2028
|
155,972
|
600,000
|
|
Herens Holdco S.a.r.l., Sec. Fac. Bond, 144A, 4.750%, 5/15/2028
|
465,597
|
125,000
|
|
Illuminate Buyer LLC/Illuminate Holdings IV, Inc., Sr. Unsecd. Note, 144A, 9.000%, 7/1/2028
|
109,096
|
200,000
|
|
Olympus Water US Holding Corp., Sec. Fac. Bond, 144A, 4.250%, 10/1/2028
|
158,289
|
225,000
|
|
Olympus Water US Holding Corp., Sec. Fac. Bond, 144A, 9.750%, 11/15/2028
|
219,724
|
350,000
|
|
Olympus Water US Holding Corp., Sr. Unsecd. Note, 144A, 6.250%, 10/1/2029
|
253,470
|
275,000
|
|
Polar US Borrower LLC, Sr. Unsecd. Note, 144A, 6.750%, 5/15/2026
|
162,926
|
200,000
|
|
SPCM SA, Sr. Unsecd. Note, 144A, 3.375%, 3/15/2030
|
166,551
|
75,000
|
|
WR Grace Holdings LLC, Sec. Fac. Bond, 144A, 7.375%, 3/1/2031
|
73,566
|
200,000
|
|
WR Grace Holdings LLC, Sr. Unsecd. Note, 144A, 5.625%, 8/15/2029
|
164,050
|
|
|
TOTAL
|
3,309,261
|
|
|
Construction Machinery—0.7%
|
|
425,000
|
|
H&E Equipment Services, Inc., Sr. Unsecd. Note, 144A, 3.875%, 12/15/2028
|
368,424
|
75,000
|
|
Ritchie Bros Holdings, Inc., Sr. Unsecd. Note, 144A, 6.750%, 3/15/2028
|
75,688
|
75,000
|
|
Ritchie Bros Holdings, Inc., Sr. Unsecd. Note, 144A, 7.750%, 3/15/2031
|
77,901
|
175,000
|
|
United Rentals North America, Inc., Sr. Unsecd. Note, 3.750%, 1/15/2032
|
148,411
|
75,000
|
|
United Rentals North America, Inc., Sr. Unsecd. Note, 4.000%, 7/15/2030
|
66,490
|
138,000
|
|
United Rentals, Inc., Sr. Unsecd. Note, 5.500%, 5/15/2027
|
135,942
|
|
|
TOTAL
|
872,856
|
|
|
Consumer Cyclical Services—3.0%
|
|
225,000
|
|
Allied Universal Holdco LLC, Sec. Fac. Bond, 144A, 6.625%, 7/15/2026
|
213,803
|
425,000
|
|
Allied Universal Holdco LLC, Sr. Unsecd. Note, 144A, 6.000%, 6/1/2029
|
314,160
|
850,000
|
|
Allied Universal Holdco LLC, Sr. Unsecd. Note, 144A, 9.750%, 7/15/2027
|
752,580
|
125,000
|
|
Garda World Security Corp., Sec. Fac. Bond, 144A, 4.625%, 2/15/2027
|
114,488
|
100,000
|
|
Garda World Security Corp., Sec. Fac. Bond, 144A, 7.750%, 2/15/2028
|
99,369
|
325,000
|
|
Garda World Security Corp., Sr. Unsecd. Note, 144A, 6.000%, 6/1/2029
|
266,649
|
325,000
|
|
Go Daddy Operating Co. LLC/GD Finance Co., Inc., Sr. Unsecd. Note, 144A, 5.250%, 12/1/2027
|
309,055
|
854,000
|
|
GW B-CR Security Corp., Sr. Unsecd. Note, 144A, 9.500%, 11/1/2027
|
826,094
|
450,000
|
|
Match Group, Inc., Sr. Unsecd. Note, 144A, 4.125%, 8/1/2030
|
385,830
|
275,000
|
|
Match Group, Inc., Sr. Unsecd. Note, 144A, 5.000%, 12/15/2027
|
255,313
|
150,000
|
|
Signal Parent, Inc., Sr. Unsecd. Note, 144A, 6.125%, 4/1/2029
|
83,815
|
|
|
TOTAL
|
3,621,156
|
|
|
Consumer Products—1.7%
|
|
800,000
|
|
BCPE Empire Holdings, Inc., Sr. Unsecd. Note, 144A, 7.625%, 5/1/2027
|
744,871
|
200,000
|
|
Edgewell Personal Care Co., Sr. Unsecd. Note, 144A, 4.125%, 4/1/2029
|
174,725
|
150,000
|
|
Edgewell Personal Care Co., Sr. Unsecd. Note, 144A, 5.500%, 6/1/2028
|
141,945
|
375,000
|
|
Energizer Holdings, Inc., Sr. Unsecd. Note, 144A, 4.375%, 3/31/2029
|
323,625
|
275,000
|
|
Energizer Holdings, Inc., Sr. Unsecd. Note, 144A, 4.750%, 6/15/2028
|
245,575
|
275,000
|
|
Energizer Holdings, Inc., Sr. Unsecd. Note, 144A, 6.500%, 12/31/2027
|
264,730
|
125,000
|
|
Prestige Brands, Inc., Sr. Unsecd. Note, 144A, 3.750%, 4/1/2031
|
103,654
|
|
|
TOTAL
|
1,999,125
|
|
|
Diversified Manufacturing—1.0%
|
|
850,000
|
|
Gates Global LLC, Sr. Unsecd. Note, 144A, 6.250%, 1/15/2026
|
837,454
|
125,000
|
|
WESCO Distribution, Inc., Sr. Unsecd. Note, 144A, 7.125%, 6/15/2025
|
126,429
|
200,000
|
|
WESCO Distribution, Inc., Sr. Unsecd. Note, 144A, 7.250%, 6/15/2028
|
204,191
|
|
|
TOTAL
|
1,168,074
|
Principal
Amount
or Shares
|
|
|
Value
|
|
|
CORPORATE BONDS—continued
|
|
|
|
Finance Companies—2.2%
|
|
$ 75,000
|
|
Navient Corp., Sr. Unsecd. Note, 5.000%, 3/15/2027
|
$ 67,164
|
375,000
|
|
Navient Corp., Sr. Unsecd. Note, 5.500%, 3/15/2029
|
320,117
|
200,000
|
|
Navient Corp., Sr. Unsecd. Note, 6.750%, 6/25/2025
|
196,820
|
175,000
|
|
Navient Corp., Sr. Unsecd. Note, 6.750%, 6/15/2026
|
168,893
|
200,000
|
|
Quicken Loans LLC / Quicken Loans Co-Issuer, Inc., Sr. Unsecd. Note, 144A, 3.625%, 3/1/2029
|
168,293
|
225,000
|
|
Quicken Loans LLC / Quicken Loans Co-Issuer, Inc., Sr. Unsecd. Note, 144A, 3.875%, 3/1/2031
|
182,645
|
375,000
|
|
Rocket Mortgage Co-Issuer, Inc., Sr. Unsecd. Note, 144A, 2.875%, 10/15/2026
|
332,271
|
250,000
|
|
Rocket Mortgage Co-Issuer, Inc., Sr. Unsecd. Note, 144A, 4.000%, 10/15/2033
|
195,798
|
425,000
|
|
United Shore Financial Services, Sr. Unsecd. Note, 144A, 5.500%, 11/15/2025
|
404,867
|
350,000
|
|
United Wholesale Mortgage, LLC, Sr. Unsecd. Note, 144A, 5.500%, 4/15/2029
|
300,471
|
275,000
|
|
United Wholesale Mortgage, LLC, Sr. Unsecd. Note, 144A, 5.750%, 6/15/2027
|
251,344
|
|
|
TOTAL
|
2,588,683
|
|
|
Financial Institution - REIT - Other—0.1%
|
|
75,000
|
|
RHP Hotel Property/RHP Finance Corp., Sr. Unsecd. Note, 144A, 7.250%, 7/15/2028
|
75,835
|
|
|
Food & Beverage—1.9%
|
|
400,000
|
|
Aramark Services, Inc., Sr. Unsecd. Note, 144A, 5.000%, 4/1/2025
|
394,626
|
350,000
|
|
Bellring Brands, Inc., Sr. Unsecd. Note, 144A, 7.000%, 3/15/2030
|
352,579
|
200,000
|
|
Performance Food Group, Inc., Sr. Unsecd. Note, 144A, 4.250%, 8/1/2029
|
178,267
|
150,000
|
|
Performance Food Group, Inc., Sr. Unsecd. Note, 144A, 5.500%, 10/15/2027
|
144,747
|
200,000
|
|
Post Holdings, Inc., Sr. Unsecd. Note, 144A, 5.500%, 12/15/2029
|
184,806
|
100,000
|
|
Post Holdings, Inc., Sr. Unsecd. Note, 144A, 5.625%, 1/15/2028
|
96,237
|
330,000
|
|
Post Holdings, Inc., Sr. Unsecd. Note, 144A, 5.750%, 3/1/2027
|
322,561
|
150,000
|
|
US Foods, Inc., Sr. Unsecd. Note, 144A, 4.625%, 6/1/2030
|
134,587
|
475,000
|
|
US Foods, Inc., Sr. Unsecd. Note, 144A, 4.750%, 2/15/2029
|
435,351
|
|
|
TOTAL
|
2,243,761
|
|
|
Gaming—4.2%
|
|
425,000
|
|
Affinity Gaming LLC, 144A, 6.875%, 12/15/2027
|
374,381
|
275,000
|
|
Boyd Gaming Corp., Sr. Unsecd. Note, 4.750%, 12/1/2027
|
260,804
|
100,000
|
|
Boyd Gaming Corp., Sr. Unsecd. Note, 144A, 4.750%, 6/15/2031
|
89,440
|
50,000
|
|
Caesars Entertainment Corp., Sec. Fac. Bond, 144A, 7.000%, 2/15/2030
|
50,257
|
75,000
|
|
Caesars Entertainment Corp., Sr. Unsecd. Note, 144A, 4.625%, 10/15/2029
|
65,558
|
100,000
|
|
CCM Merger, Inc., Sr. Unsecd. Note, 144A, 6.375%, 5/1/2026
|
97,119
|
200,000
|
|
Churchill Downs, Inc., Sr. Unsecd. Note, 144A, 6.750%, 5/1/2031
|
198,000
|
200,000
|
|
Colt Merger Sub., Inc., Sr. Secd. Note, 144A, 5.750%, 7/1/2025
|
202,545
|
375,000
|
|
Colt Merger Sub., Inc., Sr. Secd. Note, 144A, 6.250%, 7/1/2025
|
373,601
|
475,000
|
|
Colt Merger Sub., Inc., Sr. Unsecd. Note, 144A, 8.125%, 7/1/2027
|
486,682
|
225,000
|
|
Midwest Gaming Borrower LLC, Sr. Note, 144A, 4.875%, 5/1/2029
|
198,888
|
650,000
|
|
Mohegan Tribal Gaming Authority, 144A, 8.000%, 2/1/2026
|
621,368
|
125,000
|
|
Penn National Gaming, Inc., Sr. Unsecd. Note, 144A, 4.125%, 7/1/2029
|
102,700
|
200,000
|
|
Penn National Gaming, Inc., Sr. Unsecd. Note, 144A, 5.625%, 1/15/2027
|
187,250
|
100,000
|
|
Raptor Acquisition Corp. / Raptor Co-Issuer LLC, Sec. Fac. Bond, 144A, 4.875%, 11/1/2026
|
94,340
|
350,000
|
|
Scientific Games Holdings Corp., Sr. Unsecd. Note, 144A, 6.625%, 3/1/2030
|
308,324
|
225,000
|
|
Scientific Games International, Inc., Sr. Unsecd. Note, 144A, 7.250%, 11/15/2029
|
225,484
|
300,000
|
|
Scientific Games International, Inc., Sr. Unsecd. Note, 144A, 8.625%, 7/1/2025
|
306,645
|
475,000
|
|
Station Casinos, Inc., Sr. Unsecd. Note, 144A, 4.500%, 2/15/2028
|
426,923
|
250,000
|
|
Station Casinos, Inc., Sr. Unsecd. Note, 144A, 4.625%, 12/1/2031
|
210,886
|
25,000
|
|
VICI Properties LP/ VICI Note Co., Inc., Sr. Unsecd. Note, 144A, 3.500%, 2/15/2025
|
23,910
|
50,000
|
|
VICI Properties LP/ VICI Note Co., Inc., Sr. Unsecd. Note, 144A, 3.875%, 2/15/2029
|
43,923
|
50,000
|
|
VICI Properties LP/ VICI Note Co., Inc., Sr. Unsecd. Note, 144A, 5.625%, 5/1/2024
|
49,737
|
|
|
TOTAL
|
4,998,765
|
Principal
Amount
or Shares
|
|
|
Value
|
|
|
CORPORATE BONDS—continued
|
|
|
|
Health Care—5.7%
|
|
$ 250,000
|
|
AdaptHealth LLC, Sr. Unsecd. Note, 144A, 4.625%, 8/1/2029
|
$ 199,771
|
225,000
|
|
AdaptHealth LLC, Sr. Unsecd. Note, 144A, 5.125%, 3/1/2030
|
182,468
|
175,000
|
|
Ardent Health Services, Sr. Unsecd. Note, 144A, 5.750%, 7/15/2029
|
151,064
|
550,000
|
|
Avantor Funding, Inc., Sec. Fac. Bond, 144A, 4.625%, 7/15/2028
|
510,303
|
225,000
|
|
Avantor Funding, Inc., Sr. Unsecd. Note, 144A, 3.875%, 11/1/2029
|
197,196
|
150,000
|
|
CHS/Community Health Systems, Inc., 144A, 6.125%, 4/1/2030
|
89,528
|
550,000
|
|
CHS/Community Health Systems, Inc., 144A, 6.875%, 4/15/2029
|
344,091
|
150,000
|
|
CHS/Community Health Systems, Inc., Sec. Fac. Bond, 144A, 5.625%, 3/15/2027
|
132,330
|
50,000
|
|
CHS/Community Health Systems, Inc., Sec. Fac. Bond, 144A, 6.000%, 1/15/2029
|
42,116
|
175,000
|
|
CHS/Community Health Systems, Inc., Sec. Fac. Bond, 144A, 8.000%, 3/15/2026
|
170,626
|
125,000
|
|
CHS/Community Health Systems, Inc., Sr. Note, 144A, 5.250%, 5/15/2030
|
98,595
|
100,000
|
|
Embecta Corp., Sec. Fac. Bond, 144A, 5.000%, 2/15/2030
|
83,127
|
200,000
|
|
Embecta Corp., Sr. Note, 144A, 6.750%, 2/15/2030
|
180,021
|
50,000
|
|
Garden Spinco Corp., Sr. Unsecd. Note, 144A, 8.625%, 7/20/2030
|
53,905
|
275,000
|
|
Global Medical Response, Inc., Sec. Fac. Bond, 144A, 6.500%, 10/1/2025
|
151,603
|
350,000
|
|
HCA, Inc., Sr. Unsecd. Note, 5.875%, 2/15/2026
|
350,304
|
300,000
|
|
IMS Health, Inc., Sr. Unsecd. Note, 144A, 5.000%, 10/15/2026
|
289,942
|
200,000
|
|
Iqvia, Inc., Sr. Unsecd. Note, 144A, 6.500%, 5/15/2030
|
202,225
|
175,000
|
|
LifePoint Health, Inc., 144A, 6.750%, 4/15/2025
|
162,750
|
100,000
|
|
LifePoint Health, Inc., Sr. Unsecd. Note, 144A, 5.375%, 1/15/2029
|
59,160
|
150,000
|
|
LifePoint Health, Inc., Sr. Unsecd. Note, 144A, 9.750%, 12/1/2026
|
126,010
|
300,000
|
|
Mozart Debt Merger Sub., Inc., Sec. Fac. Bond, 144A, 3.875%, 4/1/2029
|
261,003
|
1,150,000
|
|
Mozart Debt Merger Sub., Inc., Sr. Unsecd. Note, 144A, 5.250%, 10/1/2029
|
999,039
|
100,000
|
|
MPH Acquisition Holdings LLC, Sr. Note, 144A, 5.500%, 9/1/2028
|
85,350
|
125,000
|
|
MPH Acquisition Holdings LLC, Sr. Unsecd. Note, 144A, 5.750%, 11/1/2028
|
94,235
|
50,000
|
|
Teleflex, Inc., Sr. Unsecd. Note, 4.625%, 11/15/2027
|
47,170
|
50,000
|
|
Teleflex, Inc., Sr. Unsecd. Note, 144A, 4.250%, 6/1/2028
|
45,737
|
125,000
|
|
Tenet Healthcare Corp., 4.250%, 6/1/2029
|
113,048
|
175,000
|
|
Tenet Healthcare Corp., 4.875%, 1/1/2026
|
170,624
|
300,000
|
|
Tenet Healthcare Corp., 5.125%, 11/1/2027
|
286,736
|
250,000
|
|
Tenet Healthcare Corp., Sec. Fac. Bond, 144A, 6.750%, 5/15/2031
|
250,922
|
50,000
|
|
Tenet Healthcare Corp., Sr. Secd. Note, 6.125%, 6/15/2030
|
49,348
|
500,000
|
|
Tenet Healthcare Corp., Sr. Unsecd. Note, 6.125%, 10/1/2028
|
481,830
|
25,000
|
|
Tenet Healthcare Corp., Term Loan - 1st Lien, 4.625%, 6/15/2028
|
23,376
|
100,000
|
|
Tenet Healthcare Corp., Term Loan - 2nd Lien, 144A, 6.250%, 2/1/2027
|
99,087
|
|
|
TOTAL
|
6,784,640
|
|
|
Health Insurance—0.6%
|
|
250,000
|
|
Centene Corp., Sr. Unsecd. Note, Series WI, 4.250%, 12/15/2027
|
233,977
|
575,000
|
|
Centene Corp., Sr. Unsecd. Note, Series WI, 4.625%, 12/15/2029
|
529,769
|
|
|
TOTAL
|
763,746
|
|
|
Independent Energy—4.3%
|
|
75,000
|
|
Antero Resources Corp., Sr. Unsecd. Note, 144A, 5.375%, 3/1/2030
|
69,501
|
13,000
|
|
Antero Resources Corp., Sr. Unsecd. Note, 144A, 7.625%, 2/1/2029
|
13,203
|
125,000
|
|
Ascent Resources Utica Holdings LLC/ ARU Finance Corp., Sr. Unsecd. Note, 144A, 5.875%, 6/30/2029
|
111,648
|
175,000
|
|
Ascent Resources Utica Holdings LLC/ ARU Finance Corp., Sr. Unsecd. Note, 144A, 8.250%, 12/31/2028
|
172,253
|
75,000
|
|
Ascent Resources Utica Holdings LLC/ ARU Finance Corp., Sr. Unsecd. Note, 144A, 9.000%, 11/1/2027
|
93,333
|
175,000
|
|
Berry Petroleum Co., Sr. Unsecd. Note, 144A, 7.000%, 2/15/2026
|
162,083
|
175,000
|
|
Callon Petroleum Corp., Sr. Unsecd. Note, 144A, 7.500%, 6/15/2030
|
165,346
|
275,000
|
|
Carrizo Oil & Gas, Inc., Sr. Unsecd. Note, 8.250%, 7/15/2025
|
273,465
|
50,000
|
|
Chord Energy Corp., Sr. Unsecd. Note, 144A, 6.375%, 6/1/2026
|
49,616
|
Principal
Amount
or Shares
|
|
|
Value
|
|
|
CORPORATE BONDS—continued
|
|
|
|
Independent Energy—continued
|
|
$ 50,000
|
|
Civitas Resources, Inc., Sr. Unsecd. Note, 144A, 8.750%, 7/1/2031
|
$ 50,752
|
100,000
|
|
Civitas Resources, Inc., Unsecd. Note, 144A, 8.375%, 7/1/2028
|
101,255
|
475,000
|
|
Comstock Resources, Inc., Sr. Unsecd. Note, 144A, 6.750%, 3/1/2029
|
435,084
|
50,000
|
|
Crownrock LP/ Crownrock F, Sr. Unsecd. Note, 144A, 5.000%, 5/1/2029
|
46,891
|
525,000
|
|
Crownrock LP/ Crownrock F, Sr. Unsecd. Note, 144A, 5.625%, 10/15/2025
|
517,834
|
250,000
|
|
Occidental Petroleum Corp., Sr. Unsecd. Note, 5.875%, 9/1/2025
|
248,515
|
50,000
|
|
Occidental Petroleum Corp., Sr. Unsecd. Note, 6.125%, 1/1/2031
|
50,821
|
50,000
|
|
Occidental Petroleum Corp., Sr. Unsecd. Note, 6.450%, 9/15/2036
|
51,386
|
225,000
|
|
Occidental Petroleum Corp., Sr. Unsecd. Note, 6.625%, 9/1/2030
|
234,000
|
75,000
|
|
PDC Energy, Inc., Sr. Unsecd. Note, 6.125%, 9/15/2024
|
75,030
|
225,000
|
|
PDC Energy, Inc., Sr. Unsecd. Note, Series WI, 5.750%, 5/15/2026
|
224,302
|
125,000
|
|
Permian Resources Operating LLC, Sr. Unsecd. Note, 144A, 5.375%, 1/15/2026
|
119,211
|
300,000
|
|
Permian Resources Operating LLC, Sr. Unsecd. Note, 144A, 6.875%, 4/1/2027
|
296,737
|
75,000
|
|
Range Resources Corp., Sr. Unsecd. Note, 4.875%, 5/15/2025
|
73,572
|
200,000
|
|
Range Resources Corp., Sr. Unsecd. Note, 8.250%, 1/15/2029
|
208,420
|
75,000
|
|
Range Resources Corp., Sr. Unsecd. Note, 144A, 4.750%, 2/15/2030
|
67,295
|
175,000
|
|
Rockcliff Energy II LLC, Sr. Unsecd. Note, 144A, 5.500%, 10/15/2029
|
161,607
|
150,000
|
|
SM Energy Co., Sr. Unsecd. Note, 5.625%, 6/1/2025
|
146,752
|
125,000
|
|
SM Energy Co., Sr. Unsecd. Note, 6.500%, 7/15/2028
|
120,124
|
50,000
|
|
SM Energy Co., Sr. Unsecd. Note, 6.625%, 1/15/2027
|
48,608
|
100,000
|
|
SM Energy Co., Sr. Unsecd. Note, 6.750%, 9/15/2026
|
97,561
|
125,000
|
|
Southwestern Energy Co., Sr. Unsecd. Note, 4.750%, 2/1/2032
|
110,345
|
50,000
|
|
Southwestern Energy Co., Sr. Unsecd. Note, 5.375%, 3/15/2030
|
46,707
|
200,000
|
|
Southwestern Energy Co., Sr. Unsecd. Note, 8.375%, 9/15/2028
|
208,406
|
250,000
|
|
Tap Rock Resources LLC., Sr. Unsecd. Note, 144A, 7.000%, 10/1/2026
|
257,725
|
|
|
TOTAL
|
5,109,388
|
|
|
Industrial - Other—1.7%
|
|
600,000
|
|
Emerald Debt Merger, Sec. Fac. Bond, 144A, 6.625%, 12/15/2030
|
595,500
|
25,000
|
|
Madison Iaq LLC, Sec. Fac. Bond, 144A, 4.125%, 6/30/2028
|
22,036
|
850,000
|
|
Madison Iaq LLC, Sr. Unsecd. Note, 144A, 5.875%, 6/30/2029
|
689,485
|
425,000
|
|
Redwood Star Merger Sub., Sr. Unsecd. Note, 144A, 8.750%, 4/1/2030
|
382,988
|
202,000
|
|
Vertical Holdco GmbH, Sr. Unsecd. Note, 144A, 7.625%, 7/15/2028
|
183,494
|
200,000
|
|
Vertical U.S. Newco, Inc., Sr. Unsecd. Note, 144A, 5.250%, 7/15/2027
|
185,012
|
|
|
TOTAL
|
2,058,515
|
|
|
Insurance - P&C—6.8%
|
|
475,000
|
|
AmWINS Group, Inc., Sr. Unsecd. Note, 144A, 4.875%, 6/30/2029
|
429,437
|
594,567
|
|
Ardonagh Midco 2 PLC, Sr. Unsecd. Note, 144A, 11.500% / 12.750% PIK, 1/15/2027
|
549,974
|
275,000
|
|
AssuredPartners, Inc., Sr. Unsecd. Note, 144A, 5.625%, 1/15/2029
|
238,294
|
600,000
|
|
AssuredPartners, Inc., Sr. Unsecd. Note, 144A, 7.000%, 8/15/2025
|
593,307
|
1,025,000
|
|
Broadstreet Partners, Inc., Sr. Unsecd. Note, 144A, 5.875%, 4/15/2029
|
890,278
|
225,000
|
|
GTCR AP Finance, Inc., Sr. Unsecd. Note, 144A, 8.000%, 5/15/2027
|
220,823
|
225,000
|
|
Hub International Ltd., Sec. Fac. Bond, 144A, 7.250%, 6/15/2030
|
232,540
|
425,000
|
|
Hub International Ltd., Sr. Unsecd. Note, 144A, 5.625%, 12/1/2029
|
381,700
|
1,675,000
|
|
Hub International Ltd., Sr. Unsecd. Note, 144A, 7.000%, 5/1/2026
|
1,672,638
|
300,000
|
|
Jones Deslauriers Insurance Management, Inc., Sec. Fac. Bond, 144A, 8.500%, 3/15/2030
|
306,407
|
300,000
|
|
Jones Deslauriers Insurance Management, Inc., Sr. Unsecd. Note, 144A, 10.500%, 12/15/2030
|
302,671
|
125,000
|
|
NFP Corp., Sec. Fac. Bond, 144A, 7.500%, 10/1/2030
|
121,138
|
1,300,000
|
|
NFP Corp., Sr. Unsecd. Note, 144A, 6.875%, 8/15/2028
|
1,130,259
|
75,000
|
|
Ryan Specialty Group, Sec. Fac. Bond, 144A, 4.375%, 2/1/2030
|
66,484
|
Principal
Amount
or Shares
|
|
|
Value
|
|
|
CORPORATE BONDS—continued
|
|
|
|
Insurance - P&C—continued
|
|
$ 900,000
|
|
USIS Merger Subsidiary, Inc., Sr. Unsecd. Note, 144A, 6.875%, 5/1/2025
|
$ 894,429
|
|
|
TOTAL
|
8,030,379
|
|
|
Leisure—0.5%
|
|
450,000
|
|
SeaWorld Parks & Entertainment, Inc., Sr. Unsecd. Note, 144A, 5.250%, 8/15/2029
|
403,216
|
250,000
|
|
Six Flags Entertainment Corp., Sr. Unsecd. Note, 144A, 7.250%, 5/15/2031
|
243,744
|
|
|
TOTAL
|
646,960
|
|
|
Lodging—0.5%
|
|
100,000
|
|
Hilton Domestic Operating Company, Inc., Sr. Unsecd. Note, 144A, 3.625%, 2/15/2032
|
83,469
|
75,000
|
|
Hilton Domestic Operating Company, Inc., Sr. Unsecd. Note, 144A, 5.375%, 5/1/2025
|
74,230
|
100,000
|
|
Hilton Domestic Operating Company, Inc., Sr. Unsecd. Note, 144A, 5.750%, 5/1/2028
|
98,561
|
175,000
|
|
Hilton Domestic Operating Company, Inc., Sr. Unsecd. Note, Series WI, 4.875%, 1/15/2030
|
163,331
|
200,000
|
|
Wyndham Hotels & Resorts, Inc., Sr. Unsecd. Note, 144A, 4.375%, 8/15/2028
|
182,820
|
|
|
TOTAL
|
602,411
|
|
|
Media Entertainment—5.7%
|
|
350,000
|
|
Audacy Capital Corp., 144A, 6.500%, 5/1/2027
|
7,019
|
350,000
|
|
Audacy Capital Corp., 144A, 6.750%, 3/31/2029
|
9,706
|
175,000
|
|
Cumulus Media News Holdings, Inc., 144A, 6.750%, 7/1/2026
|
120,507
|
125,000
|
1,3
|
Diamond Sports Group LLC / Diamond Sports Finance Co., 144A, 5.375%, 8/15/2026
|
4,297
|
350,000
|
1,3
|
Diamond Sports Group LLC / Diamond Sports Finance Co., Sec. Fac. Bond, 144A, 6.625%, 8/15/2027
|
9,027
|
300,000
|
|
Gray Escrow II, Inc., Sr. Unsecd. Note, 144A, 5.375%, 11/15/2031
|
199,168
|
125,000
|
|
Gray Escrow, Inc., Sr. Unsecd. Note, 144A, 7.000%, 5/15/2027
|
106,775
|
275,000
|
|
Gray Television, Inc., Sr. Unsecd. Note, 144A, 4.750%, 10/15/2030
|
186,784
|
250,000
|
|
Gray Television, Inc., Sr. Unsecd. Note, 144A, 5.875%, 7/15/2026
|
224,385
|
100,000
|
|
iHeartCommunications, Inc., 144A, 4.750%, 1/15/2028
|
75,514
|
175,000
|
|
iHeartCommunications, Inc., 144A, 5.250%, 8/15/2027
|
134,062
|
856,114
|
|
iHeartCommunications, Inc., Sr. Unsecd. Note, 8.375%, 5/1/2027
|
571,541
|
100,000
|
|
Lamar Media Corp., Sr. Unsecd. Note, 4.875%, 1/15/2029
|
93,162
|
100,000
|
|
Lamar Media Corp., Sr. Unsecd. Note, Series WI, 3.625%, 1/15/2031
|
84,340
|
1,000,000
|
|
Midas Opco Holdings, LLC, Sr. Unsecd. Note, 144A, 5.625%, 8/15/2029
|
856,887
|
400,000
|
|
Nexstar Broadcasting, Inc., Sr. Unsecd. Note, 144A, 4.750%, 11/1/2028
|
347,452
|
425,000
|
|
Nexstar Escrow Corp., Sr. Unsecd. Note, 144A, 5.625%, 7/15/2027
|
396,568
|
50,000
|
|
Outfront Media Capital LLC / Outfront Media Capital Corp., Sr. Unsecd. Note, 144A, 4.250%, 1/15/2029
|
42,071
|
325,000
|
|
Outfront Media Capital LLC / Outfront Media Capital Corp., Sr. Unsecd. Note, 144A, 4.625%, 3/15/2030
|
271,190
|
300,000
|
|
ROBLOX Corp., Sr. Unsecd. Note, 144A, 3.875%, 5/1/2030
|
253,181
|
50,000
|
|
Scripps Escrow II, Inc., Sr. Unsecd. Note, 144A, 3.875%, 1/15/2029
|
40,421
|
175,000
|
|
Scripps Escrow II, Inc., Sr. Unsecd. Note, 144A, 5.375%, 1/15/2031
|
123,497
|
250,000
|
|
Scripps Escrow, Inc., Sr. Unsecd. Note, 144A, 5.875%, 7/15/2027
|
202,694
|
375,000
|
|
Sinclair Television Group, Sr. Unsecd. Note, 144A, 5.125%, 2/15/2027
|
318,210
|
275,000
|
|
Sinclair Television Group, Sr. Unsecd. Note, 144A, 5.500%, 3/1/2030
|
158,888
|
275,000
|
|
Tegna, Inc., Sr. Unsecd. Note, 144A, 4.625%, 3/15/2028
|
243,719
|
325,000
|
|
Tegna, Inc., Sr. Unsecd. Note, 144A, 5.000%, 9/15/2029
|
280,695
|
900,000
|
|
Terrier Media Buyer, Inc., Sr. Unsecd. Note, 144A, 8.875%, 12/15/2027
|
632,161
|
250,000
|
|
Univision Communications, Inc., Sec. Fac. Bond, 144A, 4.500%, 5/1/2029
|
215,066
|
175,000
|
|
Univision Communications, Inc., Sec. Fac. Bond, 144A, 7.375%, 6/30/2030
|
166,778
|
375,000
|
|
Urban One, Inc., Sec. Fac. Bond, 144A, 7.375%, 2/1/2028
|
327,079
|
150,000
|
|
WMG Acquisition Corp., Sec. Fac. Bond, 144A, 3.750%, 12/1/2029
|
129,819
|
|
|
TOTAL
|
6,832,663
|
|
|
Metals & Mining—0.5%
|
|
225,000
|
|
Cleveland-Cliffs, Inc., Sr. Unsecd. Note, 144A, 4.625%, 3/1/2029
|
202,904
|
125,000
|
|
Cleveland-Cliffs, Inc., Sr. Unsecd. Note, 144A, 6.750%, 4/15/2030
|
120,588
|
Principal
Amount
or Shares
|
|
|
Value
|
|
|
CORPORATE BONDS—continued
|
|
|
|
Metals & Mining—continued
|
|
$ 300,000
|
|
Coeur Mining, Inc., Sr. Unsecd. Note, 144A, 5.125%, 2/15/2029
|
$ 247,818
|
|
|
TOTAL
|
571,310
|
|
|
Midstream—6.6%
|
|
175,000
|
|
AmeriGas Partners LP, Sr. Unsecd. Note, 5.750%, 5/20/2027
|
161,074
|
400,000
|
|
AmeriGas Partners LP, Sr. Unsecd. Note, 5.875%, 8/20/2026
|
376,600
|
475,000
|
|
Antero Midstream Partners LP, Sr. Unsecd. Note, 144A, 5.375%, 6/15/2029
|
441,836
|
275,000
|
|
Antero Midstream Partners LP, Sr. Unsecd. Note, 144A, 5.750%, 3/1/2027
|
265,467
|
400,000
|
|
Antero Midstream Partners LP, Sr. Unsecd. Note, 144A, 5.750%, 1/15/2028
|
381,688
|
250,000
|
|
Antero Midstream Partners LP, Sr. Unsecd. Note, 144A, 7.875%, 5/15/2026
|
253,785
|
125,000
|
|
Cheniere Energy Partners, LP, Sr. Unsecd. Note, 4.000%, 3/1/2031
|
110,199
|
100,000
|
|
Cheniere Energy Partners, LP, Sr. Unsecd. Note, Series WI, 3.250%, 1/31/2032
|
82,405
|
125,000
|
|
Cheniere Energy Partners, LP, Sr. Unsecd. Note, Series WI, 4.500%, 10/1/2029
|
114,832
|
175,000
|
|
Cheniere Energy, Inc., Sec. Fac. Bond, Series WI, 4.625%, 10/15/2028
|
163,588
|
375,000
|
|
CNX Midstream Partners LP, Sr. Unsecd. Note, 144A, 4.750%, 4/15/2030
|
318,441
|
125,000
|
|
Crestwood Midstream Partners LP, Sr. Unsecd. Note, 144A, 7.375%, 2/1/2031
|
123,352
|
275,000
|
|
DT Midstream, Inc., Sr. Unsecd. Note, 144A, 4.375%, 6/15/2031
|
237,261
|
275,000
|
|
EQM Midstream Partners, LP, Sr. Unsecd. Note, 5.500%, 7/15/2028
|
260,457
|
200,000
|
|
EQM Midstream Partners, LP, Sr. Unsecd. Note, 6.500%, 7/15/2048
|
181,178
|
75,000
|
|
EQM Midstream Partners, LP, Sr. Unsecd. Note, 144A, 4.500%, 1/15/2029
|
66,972
|
325,000
|
|
EQM Midstream Partners, LP, Sr. Unsecd. Note, 144A, 4.750%, 1/15/2031
|
285,072
|
65,000
|
|
EQM Midstream Partners, LP, Sr. Unsecd. Note, 144A, 6.000%, 7/1/2025
|
64,341
|
375,000
|
|
EQM Midstream Partners, LP, Sr. Unsecd. Note, 144A, 6.500%, 7/1/2027
|
370,228
|
75,000
|
|
EQM Midstream Partners, LP, Sr. Unsecd. Note, 144A, 7.500%, 6/1/2027
|
75,790
|
100,000
|
|
Hess Midstream Operations LP, Sr. Unsecd. Note, 144A, 4.250%, 2/15/2030
|
87,349
|
100,000
|
|
Hess Midstream Operations LP, Sr. Unsecd. Note, 144A, 5.500%, 10/15/2030
|
92,617
|
275,000
|
|
Hess Midstream Partners LP, Sr. Unsecd. Note, 144A, 5.125%, 6/15/2028
|
257,630
|
275,000
|
|
Holly Energy Partners LP, Sr. Unsecd. Note, 144A, 5.000%, 2/1/2028
|
253,935
|
250,000
|
|
Oasis Midstream Partners, Sr. Unsecd. Note, 144A, 8.000%, 4/1/2029
|
253,637
|
250,000
|
|
Solaris Midstream Holdings LLC, Sr. Unsecd. Note, 144A, 7.625%, 4/1/2026
|
242,186
|
450,000
|
|
Suburban Propane Partners LP, Sr. Unsecd. Note, 5.875%, 3/1/2027
|
435,184
|
175,000
|
|
Suburban Propane Partners LP, Sr. Unsecd. Note, 144A, 5.000%, 6/1/2031
|
146,766
|
200,000
|
|
Summit Midstream Holdings LLC, Sr. Unsecd. Note, 5.750%, 4/15/2025
|
181,930
|
75,000
|
|
Targa Resources Partners LP / Targa Resources Partners Finance Corp., Sr. Unsecd. Note, 5.000%, 1/15/2028
|
71,644
|
75,000
|
|
Targa Resources Partners LP / Targa Resources Partners Finance Corp., Sr. Unsecd. Note, 6.500%, 7/15/2027
|
74,524
|
575,000
|
|
Targa Resources Partners LP / Targa Resources Partners Finance Corp., Sr. Unsecd. Note, 144A, 5.500%, 3/1/2030
|
553,918
|
225,000
|
|
TransMontaigne Partners LP/TLP Finance Corp., Sr. Unsecd. Note, 6.125%, 2/15/2026
|
194,916
|
200,000
|
|
Western Gas Partners LP, Sr. Unsecd. Note, 4.500%, 3/1/2028
|
188,789
|
25,000
|
|
Western Gas Partners LP, Sr. Unsecd. Note, 4.650%, 7/1/2026
|
24,072
|
150,000
|
|
Western Gas Partners LP, Sr. Unsecd. Note, 4.750%, 8/15/2028
|
142,501
|
325,000
|
|
Western Gas Partners LP, Sr. Unsecd. Note, 5.300%, 3/1/2048
|
271,796
|
|
|
TOTAL
|
7,807,960
|
|
|
Oil Field Services—1.9%
|
|
200,000
|
|
Archrock Partners LP / Archrock Partners Finance Corp., Sr. Unsecd. Note, 144A, 6.250%, 4/1/2028
|
188,060
|
700,000
|
|
Archrock Partners LP / Archrock Partners Finance Corp., Sr. Unsecd. Note, 144A, 6.875%, 4/1/2027
|
672,868
|
175,000
|
|
Nabors Industries Ltd., Sr. Unsecd. Note, 144A, 7.250%, 1/15/2026
|
163,575
|
125,000
|
|
Nabors Industries Ltd., Sr. Unsecd. Note, 144A, 7.500%, 1/15/2028
|
109,535
|
50,000
|
|
Nabors Industries, Inc., Sr. Unsecd. Note, 144A, 7.375%, 5/15/2027
|
47,624
|
100,000
|
|
Precision Drilling Corp., Sr. Unsecd. Note, 144A, 6.875%, 1/15/2029
|
90,446
|
225,000
|
|
Precision Drilling Corp., Sr. Unsecd. Note, 144A, 7.125%, 1/15/2026
|
222,450
|
425,000
|
|
USA Compression Partners LP, Sr. Unsecd. Note, 6.875%, 9/1/2027
|
406,253
|
Principal
Amount
or Shares
|
|
|
Value
|
|
|
CORPORATE BONDS—continued
|
|
|
|
Oil Field Services—continued
|
|
$ 425,000
|
|
USA Compression Partners LP, Sr. Unsecd. Note, Series WI, 6.875%, 4/1/2026
|
$ 416,710
|
|
|
TOTAL
|
2,317,521
|
|
|
Packaging—5.0%
|
|
622,108
|
|
ARD Finance SA, Sec. Fac. Bond, 144A, 6.500%, 6/30/2027
|
504,919
|
425,000
|
|
Ardagh Metal Packaging, Sr. Unsecd. Note, 144A, 4.000%, 9/1/2029
|
337,071
|
725,000
|
|
Ardagh Packaging Finance PLC/Ardagh Holdings, Sec. Fac. Bond, 144A, 5.250%, 8/15/2027
|
615,080
|
375,000
|
|
Ardagh Packaging Finance PLC/Ardagh Holdings, Sr. Unsecd. Note, 144A, 5.250%, 8/15/2027
|
318,145
|
275,000
|
|
Ball Corp., Sr. Unsecd. Note, 2.875%, 8/15/2030
|
228,533
|
75,000
|
|
Ball Corp., Sr. Unsecd. Note, 3.125%, 9/15/2031
|
61,785
|
100,000
|
|
Ball Corp., Sr. Unsecd. Note, 6.000%, 6/15/2029
|
99,375
|
100,000
|
|
Ball Corp., Sr. Unsecd. Note, 6.875%, 3/15/2028
|
102,082
|
225,000
|
|
Berry Global Escrow Corp., 144A, 5.625%, 7/15/2027
|
220,421
|
275,000
|
|
Bway Holding Co., 144A, 7.875%, 8/15/2026
|
273,512
|
250,000
|
|
Bway Holding Co., 144A, 9.250%, 4/15/2027
|
231,044
|
1,200,000
|
|
Clydesdale Acquisition Holdings, Inc., Sr. Unsecd. Note, 144A, 8.750%, 4/15/2030
|
1,060,589
|
175,000
|
|
Crown Americas LLC / Crown Americas Capital Corp. VI, Sr. Unsecd. Note, 4.750%, 2/1/2026
|
169,762
|
75,000
|
|
OI European Group BV, Sr. Unsecd. Note, 144A, 4.750%, 2/15/2030
|
67,785
|
200,000
|
|
Owens-Brockway Glass Container, Inc., Sr. Unsecd. Note, 144A, 6.375%, 8/15/2025
|
200,642
|
150,000
|
|
Owens-Brockway Glass Container, Inc., Sr. Unsecd. Note, 144A, 6.625%, 5/13/2027
|
148,716
|
275,000
|
|
Owens-Brockway Glass Container, Inc., Sr. Unsecd. Note, 144A, 7.250%, 5/15/2031
|
278,781
|
100,000
|
|
Sealed Air Corp., Sr. Unsecd. Note, 144A, 5.000%, 4/15/2029
|
93,153
|
100,000
|
|
Sealed Air Corp., Sr. Unsecd. Note, 144A, 6.125%, 2/1/2028
|
99,372
|
375,000
|
|
Trivium Packaging Finance BV, Sec. Fac. Bond, 144A, 5.500%, 8/15/2026
|
360,545
|
500,000
|
|
Trivium Packaging Finance BV, Sr. Unsecd. Note, 144A, 8.500%, 8/15/2027
|
481,918
|
|
|
TOTAL
|
5,953,230
|
|
|
Paper—0.5%
|
|
350,000
|
|
Clearwater Paper Corp., Sr. Unsecd. Note, 144A, 5.375%, 2/1/2025
|
341,777
|
150,000
|
|
Graphic Packaging International, LLC, Sr. Unsecd. Note, 144A, 3.500%, 3/1/2029
|
131,369
|
25,000
|
|
Graphic Packaging International, LLC, Sr. Unsecd. Note, 144A, 3.750%, 2/1/2030
|
21,590
|
125,000
|
|
Graphic Packaging International, LLC, Sr. Unsecd. Note, 144A, 4.750%, 7/15/2027
|
119,016
|
|
|
TOTAL
|
613,752
|
|
|
Pharmaceuticals—1.9%
|
|
75,000
|
|
Bausch Health Cos., Inc., Sec. Fac. Bond, 144A, 6.125%, 2/1/2027
|
48,101
|
175,000
|
|
Bausch Health Cos., Inc., Sr. Unsecd. Note, 144A, 5.000%, 1/30/2028
|
75,258
|
150,000
|
|
Bausch Health Cos., Inc., Sr. Unsecd. Note, 144A, 5.000%, 2/15/2029
|
62,826
|
275,000
|
|
Bausch Health Cos., Inc., Sr. Unsecd. Note, 144A, 5.250%, 1/30/2030
|
114,485
|
325,000
|
|
Bausch Health Cos., Inc., Sr. Unsecd. Note, 144A, 5.250%, 2/15/2031
|
136,155
|
75,000
|
|
Bausch Health Cos., Inc., Sr. Unsecd. Note, 144A, 6.250%, 2/15/2029
|
32,347
|
300,000
|
|
Bausch Health Cos., Inc., Sr. Unsecd. Note, 144A, 7.250%, 5/30/2029
|
127,857
|
325,000
|
|
Bausch Health Cos., Inc., Sr. Unsecd. Note, 144A, 8.500%, 1/31/2027
|
178,331
|
100,000
|
|
Catalent Pharma Solutions, Inc., Sr. Unsecd. Note, 144A, 3.500%, 4/1/2030
|
81,098
|
650,000
|
|
Grifols Escrow Issuer SA, Sr. Unsecd. Note, 144A, 4.750%, 10/15/2028
|
564,811
|
350,000
|
|
Jazz Securities Designated Activity Co., Sec. Fac. Bond, 144A, 4.375%, 1/15/2029
|
312,623
|
450,000
|
|
Organon Finance 1 LLC, Sr. Unsecd. Note, 144A, 5.125%, 4/30/2031
|
371,864
|
125,000
|
|
Syneos Health, Inc., Sr. Unsecd. Note, 144A, 3.625%, 1/15/2029
|
122,349
|
|
|
TOTAL
|
2,228,105
|
|
|
Restaurant—1.5%
|
|
225,000
|
|
1011778 BC Unltd. Liability Co./New Red Finance, Inc., 144A, 3.500%, 2/15/2029
|
197,533
|
1,100,000
|
|
1011778 BC Unltd. Liability Co./New Red Finance, Inc., 144A, 4.000%, 10/15/2030
|
942,736
|
150,000
|
|
1011778 BC Unltd. Liability Co./New Red Finance, Inc., 144A, 4.375%, 1/15/2028
|
138,682
|
Principal
Amount
or Shares
|
|
|
Value
|
|
|
CORPORATE BONDS—continued
|
|
|
|
Restaurant—continued
|
|
$ 75,000
|
|
KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC, Sr. Unsecd. Note, 144A, 4.750%, 6/1/2027
|
$ 72,469
|
375,000
|
|
Yum! Brands, Inc., Sr. Unsecd. Note, 4.625%, 1/31/2032
|
339,247
|
75,000
|
|
Yum! Brands, Inc., Sr. Unsecd. Note, 5.375%, 4/1/2032
|
71,374
|
75,000
|
|
Yum! Brands, Inc., Sr. Unsecd. Note, 144A, 4.750%, 1/15/2030
|
70,304
|
|
|
TOTAL
|
1,832,345
|
|
|
Retailers—0.7%
|
|
225,000
|
|
Academy Ltd., Sec. Fac. Bond, 144A, 6.000%, 11/15/2027
|
216,252
|
200,000
|
|
Asbury Automotive Group, Inc., Sr. Unsecd. Note, 144A, 4.625%, 11/15/2029
|
177,747
|
150,000
|
|
Asbury Automotive Group, Inc., Sr. Unsecd. Note, 144A, 5.000%, 2/15/2032
|
130,763
|
300,000
|
|
Gap (The), Inc., Sr. Unsecd. Note, 144A, 3.625%, 10/1/2029
|
212,294
|
75,000
|
|
Gap (The), Inc., Sr. Unsecd. Note, 144A, 3.875%, 10/1/2031
|
51,440
|
75,000
|
|
Kontoor Brands, Inc., Sr. Unsecd. Note, 144A, 4.125%, 11/15/2029
|
62,714
|
|
|
TOTAL
|
851,210
|
|
|
Supermarkets—0.6%
|
|
525,000
|
|
Albertsons Cos. LLC/SAFEW, Sr. Unsecd. Note, 144A, 3.500%, 3/15/2029
|
454,968
|
75,000
|
|
Albertsons Cos. LLC/SAFEW, Sr. Unsecd. Note, 144A, 5.875%, 2/15/2028
|
72,960
|
150,000
|
|
Albertsons Cos. LLC/SAFEW, Sr. Unsecd. Note, 144A, 6.500%, 2/15/2028
|
150,419
|
50,000
|
|
Albertsons Cos. LLC/SAFEW, Sr. Unsecd. Note, 144A, 7.500%, 3/15/2026
|
50,893
|
|
|
TOTAL
|
729,240
|
|
|
Technology—10.7%
|
|
275,000
|
|
Black Knight InfoServ LLC, Sr. Unsecd. Note, 144A, 3.625%, 9/1/2028
|
246,812
|
350,000
|
|
Boxer Parent Co., Inc., 144A, 9.125%, 3/1/2026
|
348,829
|
300,000
|
|
Capstone Borrower, Inc., Sec. Fac. Bond, 144A, 8.000%, 6/15/2030
|
296,544
|
375,000
|
|
Cars.com, Inc., Sr. Unsecd. Note, 144A, 6.375%, 11/1/2028
|
345,851
|
250,000
|
|
Centerfield Media Parent, Sr. Note, 144A, 6.625%, 8/1/2026
|
184,290
|
400,000
|
|
Central Parent, Inc./Central Merger Sub., Inc., 144A, 7.250%, 6/15/2029
|
395,924
|
50,000
|
|
Ciena Corp., Sr. Unsecd. Note, 144A, 4.000%, 1/31/2030
|
43,608
|
450,000
|
|
Clarivate Science Holdings Corp., Sr. Unsecd. Note, 144A, 4.875%, 7/1/2029
|
399,659
|
325,000
|
|
Cloud Software Group, Inc., Sec. Fac. Bond, 144A, 9.000%, 9/30/2029
|
284,194
|
475,000
|
|
Coherent Corp., Sr. Unsecd. Note, 144A, 5.000%, 12/15/2029
|
429,307
|
275,000
|
|
Consensus Cloud Solutions, Inc., Sr. Unsecd. Note, 144A, 6.000%, 10/15/2026
|
249,810
|
325,000
|
|
Consensus Cloud Solutions, Inc., Sr. Unsecd. Note, 144A, 6.500%, 10/15/2028
|
278,167
|
150,000
|
|
Dun & Bradstreet Corp., Sr. Unsecd. Note, 144A, 5.000%, 12/15/2029
|
132,420
|
450,000
|
|
Elastic N.V., Sr. Unsecd. Note, 144A, 4.125%, 7/15/2029
|
388,620
|
425,000
|
|
Entegris Escrow Corp., Sr. Unsecd. Note, 144A, 5.950%, 6/15/2030
|
407,842
|
100,000
|
|
Gartner, Inc., Sr. Unsecd. Note, 144A, 3.750%, 10/1/2030
|
87,191
|
25,000
|
|
Gartner, Inc., Sr. Unsecd. Note, 144A, 4.500%, 7/1/2028
|
23,378
|
325,000
|
|
HealthEquity, Inc., Sr. Unsecd. Note, 144A, 4.500%, 10/1/2029
|
286,839
|
350,000
|
|
Helios Software Holdings, Sec. Fac. Bond, 144A, 4.625%, 5/1/2028
|
298,469
|
375,000
|
|
Iron Mountain, Inc., Sr. Unsecd. Note, 144A, 7.000%, 2/15/2029
|
376,036
|
550,000
|
|
Logan Merger Sub, Inc., Sr. Secd. Note, 144A, 5.500%, 9/1/2027
|
303,407
|
1,125,000
|
|
McAfee Corp., Sr. Unsecd. Note, 144A, 7.375%, 2/15/2030
|
979,377
|
1,025,000
|
|
Minerva Merger Sub., Inc., Sr. Unsecd. Note, 144A, 6.500%, 2/15/2030
|
863,706
|
275,000
|
|
NCR Corp., Sr. Unsecd. Note, 144A, 5.000%, 10/1/2028
|
245,737
|
300,000
|
|
NCR Corp., Sr. Unsecd. Note, 144A, 5.125%, 4/15/2029
|
265,857
|
350,000
|
|
NCR Corp., Sr. Unsecd. Note, 144A, 5.250%, 10/1/2030
|
304,800
|
50,000
|
|
NCR Corp., Sr. Unsecd. Note, 144A, 5.750%, 9/1/2027
|
50,050
|
25,000
|
|
Open Text Corp., 144A, 6.900%, 12/1/2027
|
25,479
|
175,000
|
|
Open Text Corp., Sr. Unsecd. Note, 144A, 3.875%, 2/15/2028
|
154,291
|
75,000
|
|
Open Text Holdings, Inc. / Open Text Corp., Sr. Unsecd. Note, 144A, 4.125%, 2/15/2030
|
63,578
|
Principal
Amount
or Shares
|
|
|
Value
|
|
|
CORPORATE BONDS—continued
|
|
|
|
Technology—continued
|
|
$ 275,000
|
|
Open Text Holdings, Inc. / Open Text Corp., Sr. Unsecd. Note, 144A, 4.125%, 12/1/2031
|
$ 225,815
|
450,000
|
|
Picard Midco, Inc., Sec. Fac. Bond, 144A, 6.500%, 3/31/2029
|
401,099
|
325,000
|
|
Rackspace Technology, Inc., 144A, 3.500%, 2/15/2028
|
146,597
|
425,000
|
|
Rackspace Technology, Inc., Sr. Unsecd. Note, 144A, 5.375%, 12/1/2028
|
132,319
|
600,000
|
|
Rocket Software, Inc., Sr. Unsecd. Note, 144A, 6.500%, 2/15/2029
|
505,862
|
75,000
|
|
Science Applications International Corp., Sr. Unsecd. Note, 144A, 4.875%, 4/1/2028
|
69,851
|
125,000
|
|
Seagate HDD Cayman, Sr. Unsecd. Note, 144A, 8.500%, 7/15/2031
|
131,235
|
456,125
|
|
Seagate HDD Cayman, Sr. Unsecd. Note, 144A, 9.625%, 12/1/2032
|
503,821
|
200,000
|
|
Sensata Technologies B.V., Sr. Unsecd. Note, 144A, 4.000%, 4/15/2029
|
178,237
|
200,000
|
|
Sensata Technologies B.V., Sr. Unsecd. Note, 144A, 5.875%, 9/1/2030
|
194,670
|
75,000
|
|
Sensata Technologies, Inc., Sr. Unsecd. Note, 144A, 3.750%, 2/15/2031
|
64,229
|
625,000
|
|
SS&C Technologies, Inc., Sr. Unsecd. Note, 144A, 5.500%, 9/30/2027
|
599,161
|
100,000
|
|
Synaptics, Inc., Sr. Unsecd. Note, 144A, 4.000%, 6/15/2029
|
84,074
|
275,000
|
|
TTM Technologies, Inc., Sr. Unsecd. Note, 144A, 4.000%, 3/1/2029
|
234,028
|
325,000
|
|
Veritas US, Inc./Veritas Bermuda Ltd., Sr. Secd. Note, 144A, 7.500%, 9/1/2025
|
264,172
|
75,000
|
|
Viavi Solutions, Inc., Sr. Unsecd. Note, 144A, 3.750%, 10/1/2029
|
63,797
|
175,000
|
|
ZipRecruiter, Inc., Sr. Unsecd. Note, 144A, 5.000%, 1/15/2030
|
149,186
|
|
|
TOTAL
|
12,708,225
|
|
|
Transportation Services—0.3%
|
|
375,000
|
|
Watco Cos. LLC/Finance Co., Sr. Unsecd. Note, 144A, 6.500%, 6/15/2027
|
356,836
|
|
|
Utility - Electric—2.4%
|
|
300,000
|
|
Calpine Corp., 144A, 4.500%, 2/15/2028
|
271,890
|
67,000
|
|
Calpine Corp., 144A, 5.250%, 6/1/2026
|
64,762
|
200,000
|
|
Calpine Corp., Sr. Secd. Note, 144A, 3.750%, 3/1/2031
|
162,214
|
25,000
|
|
Calpine Corp., Sr. Unsecd. Note, 144A, 4.625%, 2/1/2029
|
21,122
|
25,000
|
|
Calpine Corp., Sr. Unsecd. Note, 144A, 5.000%, 2/1/2031
|
20,709
|
175,000
|
|
Calpine Corp., Sr. Unsecd. Note, 144A, 5.125%, 3/15/2028
|
156,412
|
650,000
|
|
Enviva Partners LP/Enviva Partners Finance Corp., Sr. Unsecd. Note, 144A, 6.500%, 1/15/2026
|
512,694
|
50,000
|
|
NRG Energy, Inc., Sr. Unsecd. Note, 144A, 3.625%, 2/15/2031
|
39,078
|
425,000
|
|
NRG Energy, Inc., Sr. Unsecd. Note, 144A, 3.875%, 2/15/2032
|
327,956
|
250,000
|
|
NRG Energy, Inc., Sr. Unsecd. Note, 144A, 5.250%, 6/15/2029
|
223,783
|
50,000
|
|
TerraForm Power Operating LLC, Sr. Unsecd. Note, 144A, 4.750%, 1/15/2030
|
44,173
|
475,000
|
|
TerraForm Power Operating LLC, Sr. Unsecd. Note, 144A, 5.000%, 1/31/2028
|
437,779
|
25,000
|
|
TransAlta Corp., Sr. Unsecd. Note, 7.750%, 11/15/2029
|
25,763
|
175,000
|
|
Vistra Operations Co. LLC, Sr. Unsecd. Note, 144A, 5.500%, 9/1/2026
|
168,550
|
400,000
|
|
Vistra Operations Co. LLC, Sr. Unsecd. Note, 144A, 5.625%, 2/15/2027
|
383,751
|
|
|
TOTAL
|
2,860,636
|
|
|
Wireless Communications—0.2%
|
|
250,000
|
|
T-Mobile USA, Inc., Sr. Unsecd. Note, 4.750%, 2/1/2028
|
243,093
|
|
|
TOTAL CORPORATE BONDS
(IDENTIFIED COST $129,334,385)
|
114,041,314
|
|
|
COMMON STOCKS—0.4%
|
|
|
|
Cable Satellite—0.0%
|
|
545
|
2,3
|
Intelsat Jackson Holdings S.A.
|
2,589
|
|
|
Independent Energy—0.0%
|
|
182
|
2,3
|
Ultra Resources, Inc.
|
0
|
|
|
Media Entertainment—0.0%
|
|
7,915
|
3
|
iHeartMedia, Inc.
|
28,811
|
Principal
Amount
or Shares
|
|
|
Value
|
|
|
COMMON STOCKS—continued
|
|
|
|
Oil Field Services—0.4%
|
|
6,057
|
2,3
|
Superior Energy Services, Inc.
|
$ 408,847
|
|
|
TOTAL COMMON STOCKS
(IDENTIFIED COST $292,164)
|
440,247
|
|
|
REPURCHASE AGREEMENT—2.2%
|
|
$2,554,000
|
|
Interest in $1,976,000,000 joint repurchase agreement 5.06%, dated 6/30/2023 under which Bank of America, N.A. will
repurchase securities provided as collateral for $1,976,833,213 on 7/3/2023. The securities provided as collateral at the
end of
the period held with BNY Mellon as tri-party agent, were U.S. Government Agency securities with various maturities to
7/20/2052 and the market value of those underlying securities was $2,016,369,878.
(IDENTIFIED COST $2,554,000)
|
2,554,000
|
|
|
TOTAL INVESTMENT IN SECURITIES—98.4%
(IDENTIFIED COST $132,180,549)4
|
117,035,561
|
|
|
OTHER ASSETS AND LIABILITIES - NET—1.6%5
|
1,952,613
|
|
|
TOTAL NET ASSETS—100%
|
$118,988,174
|
1
|
Issuer in default.
|
2
|
Market quotations and price evaluations are not available. Fair value determined using significant unobservable inputs in
accordance with procedures established
by and under the supervision of the Fund’s Adviser acting through its Valuation Committee.
|
3
|
Non-income-producing security.
|
4
|
The cost of investments for federal tax purposes amounts to $132,483,077.
|
5
|
Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities.
|
Valuation Inputs
|
||||
|
Level 1—
Quoted
Prices
|
Level 2—
Other
Significant
Observable
Inputs
|
Level 3—
Significant
Unobservable
Inputs
|
Total
|
Debt Securities:
|
|
|
|
|
Corporate Bonds
|
$—
|
$114,041,314
|
$0
|
$114,041,314
|
Equity Securities:
|
|
|
|
|
Common Stocks
|
|
|
|
|
Domestic
|
28,811
|
—
|
408,847
|
437,658
|
International
|
—
|
—
|
2,589
|
2,589
|
Repurchase Agreement
|
—
|
2,554,000
|
—
|
2,554,000
|
TOTAL SECURITIES
|
$28,811
|
$116,595,314
|
$411,436
|
$117,035,561
|
The following acronym(s) are used throughout this portfolio:
|
|
|
GMTN
|
—Global Medium Term Note
|
|
PIK
|
—Payment in Kind
|
|
REIT
|
—Real Estate Investment Trust
|
|
Six Months
Ended
(unaudited)
6/30/2023
|
Year Ended December 31,
|
||||
|
2022
|
2021
|
2020
|
2019
|
2018
|
|
Net Asset Value, Beginning of Period
|
$5.34
|
$6.39
|
$6.41
|
$6.53
|
$6.07
|
$6.82
|
Income From Investment Operations:
|
|
|
|
|
|
|
Net investment income (loss)1
|
0.16
|
0.29
|
0.28
|
0.30
|
0.33
|
0.34
|
Net realized and unrealized gain (loss)
|
0.10
|
(1.02)
|
0.02
|
(0.05)
|
0.53
|
(0.55)
|
Total From Investment Operations
|
0.26
|
(0.73)
|
0.30
|
0.25
|
0.86
|
(0.21)
|
Less Distributions:
|
|
|
|
|
|
|
Distributions from net investment income
|
(0.32)
|
(0.32)
|
(0.32)
|
(0.37)
|
(0.40)
|
(0.54)
|
Net Asset Value, End of Period
|
$5.28
|
$5.34
|
$6.39
|
$6.41
|
$6.53
|
$6.07
|
Total Return2
|
5.15%
|
(11.78)%
|
4.85%
|
5.59%
|
14.54%
|
(3.29)%
|
Ratios to Average Net Assets:
|
|
|
|
|
|
|
Net expenses3
|
0.81%4
|
0.81%
|
0.81%
|
0.81%
|
0.81%
|
0.81%
|
Net investment income
|
5.97%4
|
5.15%
|
4.42%
|
4.95%
|
5.26%
|
5.27%
|
Expense waiver/reimbursement5
|
0.06%4
|
0.05%
|
0.04%
|
0.03%
|
0.02%
|
0.01%
|
Supplemental Data:
|
|
|
|
|
|
|
Net assets, end of period (000 omitted)
|
$71,914
|
$68,740
|
$103,152
|
$109,888
|
$109,538
|
$106,628
|
Portfolio turnover6
|
8%
|
13%
|
39%
|
36%
|
31%
|
18%
|
1
|
Per share numbers have been calculated using the average shares method.
|
2
|
Based on net asset value. Total returns do not reflect any additional fees or expenses that may be imposed by separate accounts
of insurance companies or in
connection with any variable annuity or variable life insurance contract. Total returns for periods of less than one year
are not annualized.
|
3
|
Amount does not reflect net expenses incurred by investment companies in which the Fund may invest.
|
4
|
Computed on an annualized basis.
|
5
|
This expense decrease is reflected in both the net expense and the net investment income ratios shown above. Amount does not
reflect expense waiver/
reimbursement recorded by investment companies in which the Fund may invest.
|
6
|
Securities that mature are considered sales for purposes of this calculation.
|
|
Six Months
Ended
(unaudited)
6/30/2023
|
Year Ended December 31,
|
||||
|
2022
|
2021
|
2020
|
2019
|
2018
|
|
Net Asset Value, Beginning of Period
|
$5.31
|
$6.35
|
$6.38
|
$6.49
|
$6.04
|
$6.78
|
Income From Investment Operations:
|
|
|
|
|
|
|
Net investment income (loss)1
|
0.15
|
0.27
|
0.26
|
0.28
|
0.31
|
0.32
|
Net realized and unrealized gain (loss)
|
0.10
|
(1.00)
|
0.01
|
(0.03)
|
0.52
|
(0.54)
|
Total From Investment Operations
|
0.25
|
(0.73)
|
0.27
|
0.25
|
0.83
|
(0.22)
|
Less Distributions:
|
|
|
|
|
|
|
Distributions from net investment income
|
(0.31)
|
(0.31)
|
(0.30)
|
(0.36)
|
(0.38)
|
(0.52)
|
Net Asset Value, End of Period
|
$5.25
|
$5.31
|
$6.35
|
$6.38
|
$6.49
|
$6.04
|
Total Return2
|
4.88%
|
(11.92)%
|
4.44%
|
5.46%
|
14.13%
|
(3.43)%
|
Ratios to Average Net Assets:
|
|
|
|
|
|
|
Net expenses3
|
1.06%4
|
1.06%
|
1.06%
|
1.06%
|
1.06%
|
1.06%
|
Net investment income
|
5.72%4
|
4.92%
|
4.16%
|
4.70%
|
4.99%
|
5.03%
|
Expense waiver/reimbursement5
|
0.06%4
|
0.05%
|
0.04%
|
0.03%
|
0.02%
|
0.01%
|
Supplemental Data:
|
|
|
|
|
|
|
Net assets, end of period (000 omitted)
|
$47,074
|
$47,172
|
$57,578
|
$50,322
|
$58,591
|
$43,012
|
Portfolio turnover6
|
8%
|
13%
|
39%
|
36%
|
31%
|
18%
|
1
|
Per share numbers have been calculated using the average shares method.
|
2
|
Based on net asset value. Total returns do not reflect any additional fees or expenses that may be imposed by separate accounts
of insurance companies or in
connection with any variable annuity or variable life insurance contract. Total returns for periods of less than one year
are not annualized.
|
3
|
Amount does not reflect net expenses incurred by investment companies in which the Fund may invest.
|
4
|
Computed on an annualized basis.
|
5
|
This expense decrease is reflected in both the net expense and the net investment income ratios shown above. Amount does not
reflect expense waiver/
reimbursement recorded by investment companies in which the Fund may invest.
|
6
|
Securities that mature are considered sales for purposes of this calculation.
|
Assets:
|
|
Investment in securities, at value (identified cost $132,180,549)
|
$117,035,561
|
Cash
|
465
|
Income receivable
|
2,034,274
|
Receivable for investments sold
|
1,350
|
Receivable for shares sold
|
60,788
|
Total Assets
|
119,132,438
|
Liabilities:
|
|
Payable for shares redeemed
|
102,282
|
Payable for investment adviser fee (Note 5)
|
1,751
|
Payable for administrative fee (Note 5)
|
253
|
Payable for custodian fees
|
4,246
|
Payable for insurance premiums
|
2,779
|
Payable for legal fees
|
2,493
|
Payable for portfolio accounting fees
|
16,514
|
Payable for distribution services fee (Note 5)
|
9,673
|
Accrued expenses (Note 5)
|
4,273
|
Total Liabilities
|
144,264
|
Net assets for 22,596,910 shares outstanding
|
$118,988,174
|
Net Assets Consist of:
|
|
Paid-in capital
|
$148,287,860
|
Total distributable earnings (loss)
|
(29,299,686)
|
Total Net Assets
|
$118,988,174
|
Net Asset Value, Offering Price and Redemption Proceeds Per Share:
|
|
Primary Shares:
|
|
$71,914,277 ÷ 13,632,772 shares outstanding, no par value, unlimited shares authorized
|
$5.28
|
Service Shares:
|
|
$47,073,897 ÷ 8,964,138 shares outstanding, no par value, unlimited shares authorized
|
$5.25
|
Investment Income:
|
|
Interest
|
$3,810,992
|
Expenses:
|
|
Investment adviser fee (Note 5)
|
350,402
|
Administrative fee (Note 5)
|
49,121
|
Custodian fees
|
5,109
|
Transfer agent fees
|
7,120
|
Directors’/Trustees’ fees (Note 5)
|
890
|
Auditing fees
|
16,535
|
Legal fees
|
4,817
|
Portfolio accounting fees
|
51,339
|
Distribution services fee (Note 5)
|
58,885
|
Printing and postage
|
13,179
|
Miscellaneous (Note 5)
|
10,793
|
TOTAL EXPENSES
|
568,190
|
Waiver of investment adviser fee (Note 5)
|
(33,401)
|
Net expenses
|
534,789
|
Net investment income
|
3,276,203
|
Realized and Unrealized Gain (Loss) on Investments:
|
|
Net realized loss on investments
|
(1,835,693)
|
Net change in unrealized depreciation of investments
|
4,261,416
|
Net realized and unrealized gain (loss) on investments
|
2,425,723
|
Change in net assets resulting from operations
|
$5,701,926
|
|
Six Months
Ended
(unaudited)
6/30/2023
|
Year Ended
12/31/2022
|
Increase (Decrease) in Net Assets
|
|
|
Operations:
|
|
|
Net investment income
|
$3,276,203
|
$6,532,149
|
Net realized gain (loss)
|
(1,835,693)
|
(1,351,738)
|
Net change in unrealized appreciation/depreciation
|
4,261,416
|
(22,618,212)
|
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS
|
5,701,926
|
(17,437,801)
|
Distributions to Shareholders:
|
|
|
Primary Shares
|
(4,093,344)
|
(4,434,390)
|
Service Shares
|
(2,681,065)
|
(2,815,712)
|
CHANGE IN NET ASSETS RESULTING FROM DISTRIBUTIONS TO SHAREHOLDERS
|
(6,774,409)
|
(7,250,102)
|
Share Transactions:
|
|
|
Proceeds from sale of shares
|
9,708,752
|
17,048,944
|
Net asset value of shares issued to shareholders in payment of distributions declared
|
6,774,404
|
7,250,097
|
Cost of shares redeemed
|
(12,333,903)
|
(44,429,214)
|
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS
|
4,149,253
|
(20,130,173)
|
Change in net assets
|
3,076,770
|
(44,818,076)
|
Net Assets:
|
|
|
Beginning of period
|
115,911,404
|
160,729,480
|
End of period
|
$118,988,174
|
$115,911,404
|
|
Six Months Ended
6/30/2023
|
Year Ended
12/31/2022
|
||
Primary Shares:
|
Shares
|
Amount
|
Shares
|
Amount
|
Shares sold
|
1,497,314
|
$7,931,470
|
2,111,750
|
$11,833,606
|
Shares issued to shareholders in payment of distributions declared
|
804,193
|
4,093,344
|
769,859
|
4,434,390
|
Shares redeemed
|
(1,536,890)
|
(8,190,402)
|
(6,157,435)
|
(35,688,342)
|
NET CHANGE RESULTING FROM PRIMARY SHARE TRANSACTIONS
|
764,617
|
$3,834,412
|
(3,275,826)
|
$(19,420,346)
|
|
Six Months Ended
6/30/2023
|
Year Ended
12/31/2022
|
||
Service Shares:
|
Shares
|
Amount
|
Shares
|
Amount
|
Shares sold
|
333,721
|
$1,777,282
|
910,215
|
$5,215,338
|
Shares issued to shareholders in payment of distributions declared
|
528,809
|
2,681,060
|
490,541
|
2,815,707
|
Shares redeemed
|
(780,228)
|
(4,143,501)
|
(1,579,698)
|
(8,740,872)
|
NET CHANGE RESULTING FROM SERVICE SHARE TRANSACTIONS
|
82,302
|
$314,841
|
(178,942)
|
$(709,827)
|
NET CHANGE RESULTING FROM TOTAL FUND SHARE TRANSACTIONS
|
846,919
|
$4,149,253
|
(3,454,768)
|
$(20,130,173)
|
Short-Term
|
Long-Term
|
Total
|
$235,769
|
$14,968,141
|
$15,203,910
|
Administrative Fee
|
Average Daily Net Assets
of the Investment Complex
|
0.100%
|
on assets up to $50 billion
|
0.075%
|
on assets over $50 billion
|
|
Distribution Services
Fees Incurred
|
Service Shares
|
$58,885
|
Purchases
|
$10,276,601
|
Sales
|
$9,419,861
|
|
Beginning
Account Value
1/1/2023
|
Ending
Account Value
6/30/2023
|
Expenses Paid
During Period1
|
Actual:
|
|
|
|
Primary Shares
|
$1,000
|
$1,051.50
|
$4.12
|
Service Shares
|
$1,000
|
$1,048.80
|
$5.38
|
Hypothetical (assuming a 5% return before expenses):
|
|
|
|
Primary Shares
|
$1,000
|
$1,020.78
|
$4.06
|
Service Shares
|
$1,000
|
$1,019.54
|
$5.31
|
1
|
Expenses are equal to the Fund’s annualized net expense ratios, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the
one-half-year period). The expenses shown in the table do not include the charges and expenses imposed by the insurance company
under the variable insurance
product contract. Please refer to the variable insurance product prospectus for a complete listing of these expenses. The
annualized net expense ratios are as
follows:
|
Primary Shares
|
0.81%
|
Service Shares
|
1.06%
|
Share Class
|
Primary
|
Service
|
|
|
|
|
|
|
Sector Composition
|
Percentage of
Total Net Assets
|
Health Care
|
39.1%
|
Consumer Discretionary
|
9.9%
|
Industrials
|
8.4%
|
Financials
|
7.6%
|
Materials
|
7.1%
|
Real Estate
|
7.0%
|
Information Technology
|
6.0%
|
Consumer Staples
|
2.9%
|
Utilities
|
2.5%
|
Energy
|
2.1%
|
Communication Services
|
0.9%
|
U.S. Treasury Notes
|
2.7%
|
Securities Lending Collateral2
|
1.3%
|
Cash Equivalents3
|
3.8%
|
Other Assets and Liabilities—Net4
|
(1.3)%
|
TOTAL
|
100%
|
1
|
Except for Securities Lending Collateral, Cash Equivalents and Other Assets and Liabilities, sector classifications are based
upon, and individual portfolio securities
are assigned to, the classifications of the Global Industry Classification Standard (GICS), except that the Adviser assigns
a classification to securities not classified
by the GICS and to securities for which the Adviser does not have access to the classification made by the GICS.
|
2
|
Represents cash collateral received for portfolio securities on loan that may be invested in affiliated money market funds,
other money market instruments and/or
repurchase agreements.
|
3
|
Cash Equivalents include any investments in money market mutual funds and/or overnight repurchase agreements other than those
representing securities
lending collateral.
|
4
|
Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities.
|
Shares or
Principal
Amount
|
|
|
Value
|
|
|
COMMON STOCKS—91.6%
|
|
|
|
Communication Services—0.9%
|
|
1,160
|
1
|
Alphabet, Inc., Class A
|
$ 138,852
|
12,000
|
|
Infrastrutture Wireless Italiane SPA
|
158,443
|
3,100
|
1
|
Pinterest, Inc.
|
84,754
|
1,000
|
1
|
Take-Two Interactive Software, Inc.
|
147,160
|
27,700
|
|
Universal Music Group
|
615,427
|
5,300
|
1
|
ZoomInfo Technologies, Inc.
|
134,567
|
|
|
TOTAL
|
1,279,203
|
|
|
Consumer Discretionary—9.5%
|
|
3,489
|
1
|
Airbnb, Inc.
|
447,150
|
13,150
|
1
|
Alibaba Group Holding Ltd., ADR
|
1,096,053
|
9,392
|
1
|
Amazon.com, Inc.
|
1,224,341
|
9,154
|
1
|
Bowlero Corp.
|
106,553
|
466
|
1
|
Chipotle Mexican Grill, Inc.
|
996,774
|
4,569
|
|
Choice Hotels International, Inc.
|
536,949
|
1,500
|
1
|
Etsy, Inc.
|
126,915
|
2,230
|
1
|
Five Below, Inc.
|
438,284
|
5,476
|
1
|
Floor & Decor Holdings, Inc.
|
569,285
|
22,900
|
1
|
Las Vegas Sands Corp.
|
1,328,200
|
2,200
|
1
|
Lululemon Athletica, Inc.
|
832,700
|
300
|
1
|
Mercadolibre, Inc.
|
355,380
|
9,630
|
|
Moncler SPA
|
666,333
|
690,074
|
|
NagaCorp Ltd.
|
365,313
|
2,912
|
|
Nike, Inc., Class B
|
321,398
|
11,760
|
1
|
Planet Fitness, Inc.
|
793,094
|
57,156
|
1
|
Sportradar Group AG
|
737,312
|
601
|
|
Vail Resorts, Inc.
|
151,308
|
13,300
|
|
Wingstop, Inc.
|
2,662,128
|
|
|
TOTAL
|
13,755,470
|
|
|
Consumer Staples—2.9%
|
|
1,495
|
|
Costco Wholesale Corp.
|
804,878
|
17,000
|
1
|
Kenvue, Inc.
|
449,140
|
29,300
|
|
Philip Morris International, Inc.
|
2,860,266
|
|
|
TOTAL
|
4,114,284
|
|
|
Energy—2.1%
|
|
9,250
|
|
Cheniere Energy, Inc.
|
1,409,330
|
59,400
|
|
New Fortress Energy, Inc.
|
1,590,732
|
|
|
TOTAL
|
3,000,062
|
|
|
Financials—7.5%
|
|
22,200
|
|
Apollo Global Management, Inc.
|
1,705,182
|
1,740
|
|
BlackRock, Inc.
|
1,202,584
|
201,000
|
1
|
Blue Owl Capital, Inc.
|
2,341,650
|
62,400
|
|
FinecoBank Banca Fineco SPA
|
841,708
|
20,700
|
|
Hamilton Lane Alliance Holdings I, Inc.
|
1,655,586
|
10,401
|
|
London Stock Exchange Group PLC
|
1,102,159
|
1,755
|
|
MSCI, Inc., Class A
|
823,604
|
2,938
|
|
S&P Global, Inc.
|
1,177,815
|
|
|
TOTAL
|
10,850,288
|
Shares or
Principal
Amount
|
|
|
Value
|
|
|
COMMON STOCKS—continued
|
|
|
|
Health Care—38.4%
|
|
32,204
|
1
|
89Bio, Inc.
|
$ 610,266
|
3,300
|
|
Abbott Laboratories
|
359,766
|
8,594
|
1
|
Acrivon Therapeutics, Inc.
|
111,378
|
58,700
|
1,2
|
Albireo Pharma, Inc.
|
126,205
|
33,480
|
1
|
Amphastar Pharmaceuticals, Inc.
|
1,924,096
|
22,901
|
1
|
Amylyx Pharmaceuticals, Inc.
|
493,974
|
57,800
|
1
|
Annexon, Inc.
|
203,456
|
73,500
|
1
|
Arcturus Therapeutics Holdings, Inc.
|
2,107,980
|
18,750
|
1
|
Argenx SE
|
7,294,973
|
1,900
|
|
AstraZeneca PLC
|
272,153
|
140,966
|
1
|
aTyr Pharma, Inc.
|
304,487
|
7,369
|
1
|
Century Therapeutics, Inc.
|
23,286
|
10,433
|
1
|
Cerevel Therapeutics Holdings
|
331,665
|
15,546
|
1
|
Chinook Therapeutics, Inc.
|
597,277
|
56,475
|
1,2
|
Contra Akouos, Inc., Rights
|
44,615
|
79,226
|
1
|
Corcept Therapeutics, Inc.
|
1,762,778
|
5,758
|
1
|
CRISPR Therapeutics AG
|
323,254
|
12,809
|
|
Danaher Corp.
|
3,074,160
|
12,000
|
1
|
Denali Therapeutics, Inc.
|
354,120
|
34,900
|
1
|
Dexcom, Inc.
|
4,484,999
|
194,638
|
1
|
Dynavax Technologies Corp.
|
2,514,723
|
14,135
|
1
|
EDAP TMS SA, ADR
|
130,325
|
4,400
|
|
Eli Lilly & Co.
|
2,063,512
|
1,500
|
1
|
Establishment Labs Holdings, Inc.
|
102,915
|
14,100
|
1
|
Fusion Pharmaceuticals, Inc.
|
65,988
|
39,400
|
1
|
Fusion Pharmaceuticals, Inc.
|
184,392
|
104,689
|
1
|
Fusion Pharmaceuticals, Inc.
|
489,945
|
1,925
|
1
|
Genmab A/S
|
730,626
|
13,800
|
1
|
Guardant Health, Inc.
|
494,040
|
43,800
|
1
|
IDEAYA Biosciences, Inc.
|
1,029,300
|
1,175
|
1
|
IDEXX Laboratories, Inc.
|
590,120
|
1,665
|
1
|
Illumina, Inc.
|
312,171
|
3,746
|
1
|
Inspire Medical Systems, Inc.
|
1,216,101
|
3,347
|
1
|
Insulet Corp.
|
965,074
|
29,338
|
1
|
Intellia Therapeutics, Inc.
|
1,196,404
|
2,300
|
1
|
Intuitive Surgical, Inc.
|
786,462
|
800
|
1
|
Lantheus Holdings, Inc.
|
67,136
|
4,307
|
1,2
|
Laronde, Inc.
|
93,398
|
27,416
|
1
|
Legend Biotech Corp., ADR
|
1,892,526
|
23,700
|
1
|
Merus N.V.
|
624,021
|
17,225
|
1
|
Minerva Neurosciences, Inc.
|
157,436
|
4,050
|
1,2
|
Minerva Neurosciences, Inc.
|
29,662
|
17,548
|
1
|
Moonlake Immunotherapeutics
|
894,948
|
8,700
|
1
|
Morphic Holding, Inc.
|
498,771
|
6,763
|
1
|
Natera, Inc.
|
329,088
|
5,400
|
|
Novo Nordisk A/S
|
872,174
|
12,041
|
1
|
Orchard Therapeutics PLC, ADR
|
62,493
|
250
|
1
|
Penumbra, Inc.
|
86,015
|
6,500
|
1
|
Privia Health Group, Inc.
|
169,715
|
35,326
|
1
|
Regulus Therapeutics, Inc.
|
51,929
|
Shares or
Principal
Amount
|
|
|
Value
|
|
|
COMMON STOCKS—continued
|
|
|
|
Health Care—continued
|
|
15,752
|
1
|
Regulus Therapeutics, Inc.
|
$ 23,155
|
5,350
|
1
|
Repligen Corp.
|
756,811
|
84,174
|
1
|
Rezolute, Inc.
|
166,665
|
62,844
|
1
|
Rhythm Pharmaceuticals, Inc.
|
1,036,298
|
14,700
|
1
|
Sarepta Therapeutics, Inc.
|
1,683,444
|
40,914
|
1
|
Scynexis, Inc.
|
120,696
|
324,801
|
1
|
Seres Therapeutics, Inc.
|
1,555,797
|
14,700
|
1
|
Structure Therapeutics, Inc., ADR
|
611,079
|
1,750
|
|
Stryker Corp.
|
533,907
|
15,300
|
1
|
Tela Bio, Inc.
|
154,989
|
26,600
|
1
|
Ultragenyx Pharmaceutical, Inc.
|
1,227,058
|
1,487
|
|
UnitedHealth Group, Inc.
|
714,712
|
1,450
|
1
|
Vaxcyte, Inc.
|
72,413
|
6,400
|
1
|
Veeva Systems, Inc.
|
1,265,472
|
25,698
|
1
|
Verona Pharma PLC, ADR
|
543,256
|
36,640
|
1
|
Verve Therapeutics, Inc.
|
687,000
|
29,241
|
1
|
Zentalis Pharmaceuticals, LLC
|
824,889
|
|
|
TOTAL
|
55,483,939
|
|
|
Industrials—8.1%
|
|
18,500
|
|
ABB Ltd.
|
727,944
|
2,250
|
|
Comfort Systems USA, Inc.
|
369,450
|
7,474
|
|
Eaton Corp. PLC
|
1,503,022
|
2,000
|
1
|
Generac Holdings, Inc.
|
298,260
|
6,000
|
1
|
GXO Logistics, Inc.
|
376,920
|
10,378
|
|
HEICO Corp.
|
1,836,283
|
13,600
|
|
Quanta Services, Inc.
|
2,671,720
|
1,036
|
|
Rockwell Automation, Inc.
|
341,310
|
7,900
|
|
Trane Technologies PLC
|
1,510,954
|
12,006
|
|
Wabtec Corp.
|
1,316,698
|
6,326
|
|
Xylem, Inc.
|
712,434
|
|
|
TOTAL
|
11,664,995
|
|
|
Information Technology—5.7%
|
|
1,000
|
1
|
Adobe, Inc.
|
488,990
|
400
|
1
|
Advanced Micro Devices, Inc.
|
45,564
|
2,721
|
1
|
Confluent, Inc.
|
96,079
|
2,200
|
1
|
Crowdstrike Holdings, Inc.
|
323,114
|
17,400
|
1
|
HashiCorp, Inc.
|
455,532
|
200
|
1
|
Keysight Technologies, Inc.
|
33,490
|
700
|
|
Marvell Technology, Inc.
|
41,846
|
450
|
|
Microsoft Corp.
|
153,243
|
6,574
|
1
|
Okta, Inc.
|
455,907
|
2,100
|
1
|
Palo Alto Networks, Inc.
|
536,571
|
5,800
|
1
|
Q2 Holdings, Inc.
|
179,220
|
3,466
|
1
|
Rogers Corp.
|
561,249
|
2,750
|
1
|
ServiceNow, Inc.
|
1,545,418
|
18,000
|
1
|
Shopify, Inc.
|
1,162,800
|
4,900
|
1
|
Splunk, Inc.
|
519,841
|
1,500
|
|
Taiwan Semiconductor Manufacturing Co. Ltd., ADR
|
151,380
|
2,457
|
1
|
Tyler Technologies, Inc.
|
1,023,267
|
Shares or
Principal
Amount
|
|
|
Value
|
|
|
COMMON STOCKS—continued
|
|
|
|
Information Technology—continued
|
|
2,233
|
1
|
Workday, Inc.
|
$ 504,412
|
|
|
TOTAL
|
8,277,923
|
|
|
Materials—7.1%
|
|
58,712
|
|
Agnico Eagle Mines Ltd.
|
2,934,426
|
3,250
|
|
Albemarle Corp.
|
725,042
|
118,100
|
|
Barrick Gold Corp.
|
1,999,433
|
59,200
|
|
Newmont Corp.
|
2,525,472
|
5,930
|
|
Sherwin-Williams Co.
|
1,574,534
|
4,434
|
|
Westlake Corp.
|
529,730
|
|
|
TOTAL
|
10,288,637
|
|
|
Real Estate—6.9%
|
|
33,800
|
|
Americold Realty Trust, Inc.
|
1,091,740
|
33,273
|
1
|
CoStar Group, Inc.
|
2,961,297
|
9,650
|
|
Crown Castle International Corp.
|
1,099,521
|
17,796
|
|
Easterly Government Properties, Inc.
|
258,042
|
5,800
|
|
Gaming and Leisure Properties, Inc.
|
281,068
|
5,453
|
|
National Storage Affiliates Trust
|
189,928
|
54,177
|
|
Physicians Realty Trust
|
757,936
|
8,800
|
|
ProLogis, Inc.
|
1,079,144
|
5,373
|
|
Ryman Hospitality Properties, Inc.
|
499,259
|
10,200
|
|
STAG Industrial, Inc.
|
365,976
|
44,400
|
|
VICI Properties, Inc.
|
1,395,492
|
|
|
TOTAL
|
9,979,403
|
|
|
Utilities—2.5%
|
|
7,300
|
|
American Electric Power Co., Inc.
|
614,660
|
11,400
|
|
Duke Energy Corp.
|
1,023,036
|
25,800
|
|
NextEra Energy, Inc.
|
1,914,360
|
|
|
TOTAL
|
3,552,056
|
|
|
TOTAL COMMON STOCKS
(IDENTIFIED COST $88,907,405)
|
132,246,260
|
|
|
U.S. TREASURIES—2.7%
|
|
|
|
U.S. Treasury Notes—2.7%
|
|
$3,500,000
|
|
United States Treasury Note, 4.125%, 11/15/2032
|
3,575,790
|
300,000
|
|
United States Treasury Note, 4.375%, 10/31/2024
|
296,391
|
|
|
TOTAL U.S. TREASURIES
(IDENTIFIED COST $3,888,033)
|
3,872,181
|
|
|
CORPORATE BONDS—0.9%
|
|
|
|
Consumer Discretionary—0.4%
|
|
147,000
|
|
Airbnb, Inc., Conv. Bond, 0.010%, 3/15/2026
|
129,430
|
65,000
|
|
Chegg, Inc., Conv. Bond, 0.125%, 3/15/2025
|
57,266
|
200,000
|
|
Mercadolibre, Inc., Sr. Unsecd. Note, 2.375%, 1/14/2026
|
181,288
|
200,000
|
|
NagaCorp Ltd., Sr. Unsecd. Note, 7.950%, 7/6/2024
|
188,790
|
|
|
TOTAL
|
556,774
|
|
|
Health Care—0.1%
|
|
151,000
|
|
Illumina, Inc., Conv. Bond, 0.010%, 8/15/2023
|
149,423
|
|
|
Industrials—0.1%
|
|
86,000
|
|
Fiverr International Ltd., Conv. Bond, 0.000%, 11/1/2025
|
72,716
|
|
|
Information Technology—0.3%
|
|
145,000
|
|
DocuSign, Inc., Conv. Bond, 0.010%, 1/15/2024
|
140,533
|
145,000
|
|
Okta, Inc., Conv. Bond, 0.125%, 9/1/2025
|
132,380
|
95,000
|
|
RingCentral, Inc., Conv. Bond, 6.220%, 3/1/2025
|
87,520
|
Shares or
Principal
Amount
|
|
|
Value
|
|
|
CORPORATE BONDS—continued
|
|
|
|
Information Technology—continued
|
|
$ 145,000
|
|
Shopify, Inc., Conv. Bond, 0.125%, 11/1/2025
|
$ 131,791
|
|
|
TOTAL
|
492,224
|
|
|
TOTAL CORPORATE BONDS
(IDENTIFIED COST $1,248,154)
|
1,271,137
|
|
|
PREFERRED STOCKS—0.8%
|
|
|
|
Financials—0.1%
|
|
2,715
|
|
JPMorgan Chase & Co., 5.750%, 12/31/2049
|
68,255
|
2,890
|
|
Wells Fargo & Co., 5.625%, 12/31/2049
|
66,817
|
|
|
TOTAL
|
135,072
|
|
|
Health Care—0.4%
|
|
53,840
|
2
|
CeQur SA
|
307,246
|
32,229
|
|
Regulus Therapeutics, Inc.
|
47,377
|
1,382
|
|
Regulus Therapeutics, Inc.
|
203,154
|
|
|
TOTAL
|
557,777
|
|
|
Industrials—0.2%
|
|
12,000
|
|
FTAI Aviation Ltd., 12/31/2049
|
283,800
|
|
|
Real Estate—0.1%
|
|
3,100
|
|
Public Storage, 4.000%, 12/31/2049
|
58,745
|
2,700
|
|
Public Storage, 4.625%, 12/31/2049
|
59,481
|
2,500
|
|
Rexford Industrial Realty, Inc., 5.875%, 12/31/2049
|
57,100
|
|
|
TOTAL
|
175,326
|
|
|
Utilities—0.0%
|
|
1,500
|
|
NextEra Energy, Inc., 6.219%, 9/1/2023
|
73,545
|
|
|
TOTAL PREFERRED STOCKS
(IDENTIFIED COST $1,210,312)
|
1,225,520
|
|
1
|
WARRANTS—0.2%
|
|
|
|
Health Care—0.2%
|
|
11,450
|
|
Catabasis Pharmaceuticals, Inc., Warrants, Expiration Date 2/8/2024
|
36
|
5,250
|
2
|
Minerva Neurosciences, Inc., Warrants, Expiration Date 12/31/2099
|
38,451
|
5,696
|
|
Rezolute, Inc., Warrants, Expiration Date 10/8/2027
|
3,116
|
1,400
|
|
Rezolute, Inc., Warrants, Expiration Date 1/1/2099
|
2,772
|
44,952
|
|
Rezolute, Inc., Warrants, Expiration Date 12/31/2099
|
89,005
|
26,500
|
|
Scynexis, Inc., Warrants, Expiration Date 5/21/2024
|
8,859
|
644
|
|
Scynexis, Inc., Warrants, Expiration Date 4/26/2029
|
1,454
|
53,000
|
|
Scynexis, Inc., Warrants, Expiration Date 1/1/2099
|
156,350
|
|
|
TOTAL WARRANTS
(IDENTIFIED COST $563,503)
|
300,043
|
|
|
REPURCHASE AGREEMENTS—5.1%
|
|
$5,533,000
|
|
Interest in $1,976,000,000 joint repurchase agreement 5.06%, dated 6/30/2023 under which Bank of America, N.A. will
repurchase securities provided as collateral for $1,976,833,213 on 7/3/2023. The securities provided as collateral at the
end of
the period held with BNY Mellon as tri-party agent, were U.S. Government Agency securities with various maturities to
7/20/2052 and the market value of those underlying securities was $2,016,369,878.
|
5,533,000
|
1,877,119
|
|
Interest in $1,976,000,000 joint repurchase agreement 5.06%, dated 6/30/2023 under which Bank of America, N.A. will
repurchase securities provided as collateral for $1,976,833,213 on 7/3/2023. The securities provided as collateral at the
end of
the period held with BNY Mellon as tri-party agent, were U.S. Government Agency securities with various maturities to
7/20/2052 and the market value of those underlying securities was $2,016,369,878 (purchased with proceeds from securities
lending collateral).
|
1,877,119
|
|
|
TOTAL REPURCHASE AGREEMENTS
(IDENTIFIED COST $7,410,119)
|
7,410,119
|
|
|
TOTAL INVESTMENT IN SECURITIES—101.3%
(IDENTIFIED COST $103,227,526)3
|
146,325,260
|
|
|
OTHER ASSETS AND LIABILITIES - NET—(1.3)%4
|
(1,878,040)
|
|
|
TOTAL NET ASSETS—100%
|
$144,447,220
|
Affiliated
|
Value as of
12/31/2022
|
Purchases
at Cost*
|
Proceeds
from Sales*
|
Change in
Unrealized
Appreciation/
Depreciation*
|
Net
Realized Gain/
(Loss)*
|
Value as of
6/30/2023
|
Shares
Held as of
6/30/2023
|
Dividend
Income*
|
Health Care:
|
|
|
|
|
|
|
|
|
Albireo Pharma, Inc.**
|
$706,906
|
$1,690,825
|
$(2,591,605)
|
$261,379
|
$58,700
|
$126,205
|
58,700
|
$—
|
Amphastar Pharmaceuticals, Inc.
|
$938,110
|
$—
|
$—
|
$985,986
|
$—
|
$1,924,096
|
33,480
|
$—
|
Annexon, Inc.
|
$298,826
|
$—
|
$—
|
$(95,370)
|
$—
|
$203,456
|
57,800
|
$—
|
Arcturus Therapeutics Holdings, Inc.
|
$1,106,284
|
$144,720
|
$—
|
$856,976
|
$—
|
$2,107,980
|
73,500
|
$—
|
aTyr Pharma, Inc.
|
$145,854
|
$167,324
|
$—
|
$(8,691)
|
$—
|
$304,487
|
140,966
|
$—
|
Dynavax Technologies Corp.
|
$2,070,948
|
$—
|
$—
|
$443,775
|
$—
|
$2,514,723
|
194,638
|
$—
|
Fusion Pharmaceuticals, Inc.
|
$44,415
|
$—
|
$—
|
$21,573
|
$—
|
$65,988
|
14,100
|
$—
|
Fusion Pharmaceuticals, Inc.
|
$—
|
$133,960
|
$—
|
$50,432
|
$—
|
$184,392
|
39,400
|
$—
|
Fusion Pharmaceuticals, Inc.
|
$—
|
$437,600
|
$—
|
$52,345
|
$—
|
$489,945
|
104,689
|
$—
|
IDEAYA Biosciences, Inc.
|
$657,754
|
$140,600
|
$—
|
$230,946
|
$—
|
$1,029,300
|
43,800
|
$—
|
Merus N.V.
|
$762,594
|
$—
|
$(423,598)
|
$398,738
|
$(113,713)
|
$624,021
|
23,700
|
$—
|
Minerva Neurosciences, Inc.
|
$27,388
|
$—
|
$—
|
$130,048
|
$—
|
$157,436
|
17,225
|
$—
|
Minerva Neurosciences, Inc.
|
$—
|
$40,500
|
$(21,676)
|
$10,838
|
$—
|
$29,662
|
4,050
|
$—
|
Minerva Neurosciences, Inc., Warrants, Expiration
Date 12/31/2099
|
$—
|
$52,447
|
$—
|
$(13,996)
|
$—
|
$38,451
|
5,250
|
$—
|
Orchard Therapeutics PLC, ADR**
|
$72,679
|
$50,966
|
$—
|
$227,917
|
$(289,069)
|
$62,493
|
12,041
|
$—
|
Regulus Therapeutics, Inc.
|
$44,154
|
$—
|
$—
|
$3,223
|
$—
|
$47,377
|
32,229
|
$—
|
Regulus Therapeutics, Inc.
|
$48,397
|
$—
|
$—
|
$3,532
|
$—
|
$51,929
|
35,326
|
$—
|
Regulus Therapeutics, Inc.
|
$—
|
$124,394
|
$—
|
$78,760
|
$—
|
$203,154
|
1,382
|
$—
|
Regulus Therapeutics, Inc.
|
$—
|
$14,178
|
$—
|
$8,977
|
$—
|
$23,155
|
15,752
|
$—
|
Rezolute, Inc.
|
$174,240
|
$—
|
$—
|
$(7,575)
|
$—
|
$166,665
|
84,174
|
$—
|
Rezolute, Inc., Warrants, Expiration Date
10/8/2027
|
$3,452
|
$—
|
$—
|
$(336)
|
$—
|
$3,116
|
5,696
|
$—
|
Rezolute, Inc., Warrants, Expiration Date
1/1/2099
|
$2,898
|
$—
|
$—
|
$(126)
|
$—
|
$2,772
|
1,400
|
$—
|
Rezolute, Inc., Warrants, Expiration Date
12/31/2099
|
$93,051
|
$—
|
$—
|
$(4,046)
|
$—
|
$89,005
|
44,952
|
$—
|
Rhythm Pharmaceuticals, Inc.
|
$3,316,768
|
$—
|
$(1,426,995)
|
$(1,568,989)
|
$715,514
|
$1,036,298
|
62,844
|
$—
|
Scynexis, Inc.
|
$63,826
|
$—
|
$—
|
$56,870
|
$—
|
$120,696
|
40,914
|
$—
|
Scynexis, Inc., Warrants, Expiration Date
5/21/2024
|
$1,200
|
$—
|
$—
|
$7,659
|
$—
|
$8,859
|
26,500
|
$—
|
Scynexis, Inc., Warrants, Expiration Date
4/26/2029
|
$570
|
$—
|
$—
|
$884
|
$—
|
$1,454
|
644
|
$—
|
Scynexis, Inc., Warrants, Expiration Date 1/1/2099
|
$82,680
|
$—
|
$—
|
$73,670
|
$—
|
$156,350
|
53,000
|
$—
|
Seres Therapeutics, Inc.
|
$1,978,480
|
$71,504
|
$(235,866)
|
$(173,195)
|
$(85,126)
|
$1,555,797
|
324,801
|
$—
|
Affiliated Issuers no longer in the portfolio at
period end
|
$2,517,857
|
$9,968
|
$(1,989,484)
|
$428,640
|
$(966,981)
|
$—
|
—
|
$—
|
TOTAL OF AFFILIATED COMPANIES
TRANSACTIONS
|
$15,159,331
|
$3,078,986
|
$(6,689,224)
|
$2,460,844
|
$(680,675)
|
$13,329,262
|
1,552,953
|
$—
|
*
|
A portion of the amount shown was recorded when the Fund no longer had ownership of at least 5% of the voting shares.
|
**
|
At June 30, 2023, the Fund no longer has ownership of at least 5% of the voting shares.
|
1
|
Non-income-producing security.
|
2
|
Market quotations and price valuations are not available. Fair value determined using significant unobservable inputs in accordance
with procedures established
by and under the supervision of the Fund’s Adviser acting through its Valuation Committee.
|
3
|
The cost of investments for federal tax purposes amounts to $103,227,745.
|
4
|
Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities.
|
Valuation Inputs
|
||||
|
Level 1—
Quoted
Prices
|
Level 2—
Other
Significant
Observable
Inputs
|
Level 3—
Significant
Unobservable
Inputs
|
Total
|
Equity Securities:
|
|
|
|
|
Common Stocks
|
|
|
|
|
Domestic
|
$101,958,942
|
$—
|
$293,880
|
$102,252,822
|
International
|
16,346,185
|
13,647,253
|
—
|
29,993,438
|
Preferred Stocks
|
|
|
|
|
Domestic
|
634,474
|
—
|
—
|
634,474
|
International
|
283,800
|
—
|
307,246
|
591,046
|
Debt Securities:
|
|
|
|
|
U.S. Treasuries
|
—
|
3,872,181
|
—
|
3,872,181
|
Corporate Bonds
|
—
|
1,271,137
|
—
|
1,271,137
|
Warrants
|
91,777
|
169,815
|
38,451
|
300,043
|
Repurchase Agreements
|
—
|
7,410,119
|
—
|
7,410,119
|
TOTAL SECURITIES
|
$119,315,178
|
$26,370,505
|
$639,577
|
$146,325,260
|
The following acronym(s) are used throughout this portfolio:
|
|
|
ADR
|
—American Depositary Receipt
|
|
Six Months
Ended
(unaudited)
6/30/2023
|
Year Ended December 31,
|
||||
|
2022
|
2021
|
2020
|
2019
|
2018
|
|
Net Asset Value, Beginning of Period
|
$15.10
|
$24.31
|
$25.46
|
$22.63
|
$18.55
|
$19.16
|
Income From Investment Operations:
|
|
|
|
|
|
|
Net investment income (loss)1
|
0.02
|
(0.08)
|
(0.24)
|
(0.22)
|
(0.10)
|
(0.11)
|
Net realized and unrealized gain (loss)
|
1.16
|
(6.87)
|
0.83
|
5.27
|
6.15
|
0.95
|
Total From Investment Operations
|
1.18
|
(6.95)
|
0.59
|
5.05
|
6.05
|
0.84
|
Less Distributions:
|
|
|
|
|
|
|
Distributions from net realized gain
|
—
|
(2.26)
|
(1.74)
|
(2.22)
|
(1.97)
|
(1.45)
|
Net Asset Value, End of Period
|
$16.28
|
$15.10
|
$24.31
|
$25.46
|
$22.63
|
$18.55
|
Total Return2
|
7.81%
|
(30.09)%
|
2.51%
|
28.79%
|
33.82%
|
3.84%
|
Ratios to Average Net Assets:
|
|
|
|
|
|
|
Net expenses3
|
1.54%4
|
1.54%
|
1.50%
|
1.50%
|
1.51%
|
1.52%
|
Net investment income (loss)
|
0.29%4
|
(0.51)%
|
(0.99)%
|
(1.01)%
|
(0.49)%
|
(0.53)%
|
Expense waiver/reimbursement5
|
—%4
|
0.00%6
|
—%
|
—%
|
—%
|
—%
|
Supplemental Data:
|
|
|
|
|
|
|
Net assets, end of period (000 omitted)
|
$33,968
|
$34,430
|
$55,366
|
$63,502
|
$57,988
|
$46,160
|
Portfolio turnover7
|
24%
|
41%
|
34%
|
45%
|
43%
|
41%
|
1
|
Per share numbers have been calculated using the average shares method.
|
2
|
Based on net asset value. Total returns do not reflect any additional fees or expenses that may be imposed by separate accounts
of insurance companies or in
connection with any variable annuity or variable life insurance contract. Total returns for periods of less than one year
are not annualized.
|
3
|
Amount does not reflect net expenses incurred by investment companies in which the Fund may invest.
|
4
|
Computed on an annualized basis.
|
5
|
This expense decrease is reflected in both the net expense and the net investment income ratios shown above. Amount does not
reflect expense waiver/
reimbursement recorded by investment companies in which the Fund may invest.
|
6
|
Represents less than 0.01%.
|
7
|
Securities that mature are considered sales for purposes of this calculation.
|
|
Six Months
Ended
(unaudited)
6/30/2023
|
Year Ended December 31,
|
||||
|
2022
|
2021
|
2020
|
2019
|
2018
|
|
Net Asset Value, Beginning of Period
|
$13.73
|
$22.40
|
$23.65
|
$21.27
|
$17.57
|
$18.26
|
Income From Investment Operations:
|
|
|
|
|
|
|
Net investment income (loss)1
|
0.002
|
(0.11)
|
(0.28)
|
(0.26)
|
(0.15)
|
(0.15)
|
Net realized and unrealized gain (loss)
|
1.05
|
(6.30)
|
0.77
|
4.86
|
5.82
|
0.91
|
Total From Investment Operations
|
1.05
|
(6.41)
|
0.49
|
4.60
|
5.67
|
0.76
|
Less Distributions:
|
|
|
|
|
|
|
Distributions from net realized gain
|
—
|
(2.26)
|
(1.74)
|
(2.22)
|
(1.97)
|
(1.45)
|
Net Asset Value, End of Period
|
$14.78
|
$13.73
|
$22.40
|
$23.65
|
$21.27
|
$17.57
|
Total Return3
|
7.65%
|
(30.26)%
|
2.26%
|
28.48%
|
33.52%
|
3.58%
|
Ratios to Average Net Assets:
|
|
|
|
|
|
|
Net expenses4
|
1.79%5
|
1.79%
|
1.75%
|
1.75%
|
1.76%
|
1.77%
|
Net investment income (loss)
|
0.04%5
|
(0.73)%
|
(1.24)%
|
(1.26)%
|
(0.74)%
|
(0.77)%
|
Expense waiver/reimbursement6
|
—%5
|
0.00%7
|
—%
|
—%
|
—%
|
—%
|
Supplemental Data:
|
|
|
|
|
|
|
Net assets, end of period (000 omitted)
|
$110,480
|
$108,981
|
$150,983
|
$169,061
|
$129,327
|
$105,132
|
Portfolio turnover8
|
24%
|
41%
|
34%
|
45%
|
43%
|
41%
|
1
|
Per share numbers have been calculated using the average shares method.
|
2
|
Represents less than $0.01.
|
3
|
Based on net asset value. Total returns do not reflect any additional fees or expenses that may be imposed by separate accounts
of insurance companies or in
connection with any variable annuity or variable life insurance contract. Total returns for periods of less than one year
are not annualized.
|
4
|
Amount does not reflect net expenses incurred by investment companies in which the Fund may invest.
|
5
|
Computed on an annualized basis.
|
6
|
This expense decrease is reflected in both the net expense and the net investment income ratios shown above. Amount does not
reflect expense waiver/
reimbursement recorded by investment companies in which the Fund may invest.
|
7
|
Represents less than 0.01%.
|
8
|
Securities that mature are considered sales for purposes of this calculation.
|
Assets:
|
|
Investment in securities, at value including $1,846,074 of securities loaned and $13,140,564 of investments in affiliated
holdings* (identified
cost $103,227,526, including $13,398,147 of identified cost in affiliated holdings)
|
$146,325,260
|
Cash
|
771
|
Income receivable
|
122,505
|
Receivable for investments sold
|
103,811
|
Receivable for shares sold
|
64,609
|
Total Assets
|
146,616,956
|
Liabilities:
|
|
Payable for investments purchased
|
172,875
|
Payable for shares redeemed
|
36,845
|
Payable for collateral due to broker for securities lending (Note 2)
|
1,877,119
|
Payable for investment adviser fee (Note 5)
|
5,094
|
Payable for administrative fee (Note 5)
|
305
|
Payable for distribution services fee (Note 5)
|
22,449
|
Accrued expenses (Note 5)
|
55,049
|
Total Liabilities
|
2,169,736
|
Net assets for 9,561,717 shares outstanding
|
$144,447,220
|
Net Assets Consist of:
|
|
Paid-in capital
|
$99,164,461
|
Total distributable earnings (loss)
|
45,282,759
|
Total Net Assets
|
$144,447,220
|
Net Asset Value, Offering Price and Redemption Proceeds Per Share:
|
|
Primary Shares:
|
|
$33,967,673 ÷ 2,086,462 shares outstanding, no par value, unlimited shares authorized
|
$16.28
|
Service Shares:
|
|
$110,479,547 ÷ 7,475,255 shares outstanding, no par value, unlimited shares authorized
|
$14.78
|
*
|
See information listed after the Fund’s Portfolio of Investments.
|
Investment Income:
|
|
Dividends
|
$846,103
|
Interest
|
438,503
|
Net income on securities loaned (Note 2)
|
11,387
|
TOTAL INCOME
|
1,295,993
|
Expenses:
|
|
Investment adviser fee (Note 5)
|
923,523
|
Administrative fee (Note 5)
|
56,628
|
Custodian fees
|
10,488
|
Transfer agent fees
|
7,177
|
Directors’/Trustees’ fees (Note 5)
|
966
|
Auditing fees
|
18,000
|
Legal fees
|
6,271
|
Portfolio accounting fees
|
32,095
|
Distribution services fee (Note 5)
|
135,280
|
Printing and postage
|
17,115
|
Miscellaneous (Note 5)
|
20,293
|
TOTAL EXPENSES
|
1,227,836
|
Net investment income
|
68,157
|
Realized and Unrealized Gain (Loss) on Investments and Foreign Currency Transactions:
|
|
Net realized gain on investments (including net realized loss of $(450,306) on sales of investments in affiliated holdings*)
|
3,283,816
|
Net realized loss on foreign currency transactions
|
(535)
|
Net change in unrealized appreciation of investments (including net change in unrealized depreciation of $1,453,258 of investments
in affiliated
holdings*)
|
7,311,550
|
Net change in unrealized appreciation/depreciation of translation of assets and liabilities in foreign currency
|
39
|
Net realized and unrealized gain (loss) on investments and foreign currency transactions
|
10,594,870
|
Change in net assets resulting from operations
|
$10,663,027
|
*
|
See information listed after the Fund’s Portfolio of Investments.
|
|
Six Months
Ended
(unaudited)
6/30/2023
|
Year Ended
12/31/2022
|
Increase (Decrease) in Net Assets
|
|
|
Operations:
|
|
|
Net investment income (loss)
|
$68,157
|
$(1,052,951)
|
Net realized gain (loss)
|
3,283,281
|
(662,474)
|
Net change in unrealized appreciation/depreciation
|
7,311,589
|
(60,249,806)
|
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS
|
10,663,027
|
(61,965,231)
|
Distributions to Shareholders:
|
|
|
Primary Shares
|
—
|
(5,000,707)
|
Service Shares
|
—
|
(15,209,394)
|
CHANGE IN NET ASSETS RESULTING FROM DISTRIBUTIONS TO SHAREHOLDERS
|
—
|
(20,210,101)
|
Share Transactions:
|
|
|
Proceeds from sale of shares
|
3,513,275
|
30,701,378
|
Net asset value of shares issued to shareholders in payment of distributions declared
|
—
|
20,210,085
|
Cost of shares redeemed
|
(13,139,581)
|
(31,674,352)
|
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS
|
(9,626,306)
|
19,237,111
|
Change in net assets
|
1,036,721
|
(62,938,221)
|
Net Assets:
|
|
|
Beginning of period
|
143,410,499
|
206,348,720
|
End of period
|
$144,447,220
|
$143,410,499
|
Fair Value of
Securities Loaned
|
Collateral
Received
|
$1,846,074
|
$1,877,119
|
|
Six Months Ended
6/30/2023
|
Year Ended
12/31/2022
|
||
Primary Shares:
|
Shares
|
Amount
|
Shares
|
Amount
|
Shares sold
|
23,036
|
$358,979
|
126,871
|
$2,146,304
|
Shares issued to shareholders in payment of distributions declared
|
—
|
—
|
277,971
|
5,000,705
|
Shares redeemed
|
(216,287)
|
(3,381,725)
|
(402,248)
|
(6,715,513)
|
NET CHANGE RESULTING FROM PRIMARY SHARE TRANSACTIONS
|
(193,251)
|
$(3,022,746)
|
2,594
|
$431,496
|
|
Six Months Ended
6/30/2023
|
Year Ended
12/31/2022
|
||
Service Shares:
|
Shares
|
Amount
|
Shares
|
Amount
|
Shares sold
|
223,574
|
$3,154,296
|
1,893,686
|
$28,555,074
|
Shares issued to shareholders in payment of distributions declared
|
—
|
—
|
928,534
|
15,209,380
|
Shares redeemed
|
(687,202)
|
(9,757,856)
|
(1,623,969)
|
(24,958,839)
|
NET CHANGE RESULTING FROM SERVICE SHARE TRANSACTIONS
|
(463,628)
|
$(6,603,560)
|
1,198,251
|
$18,805,615
|
NET CHANGE RESULTING FROM TOTAL FUND SHARE TRANSACTIONS
|
(656,879)
|
$(9,626,306)
|
1,200,845
|
$19,237,111
|
Short-Term
|
Long-Term
|
Total
|
$721,039
|
$—
|
$721,039
|
Administrative Fee
|
Average Daily Net Assets
of the Investment Complex
|
0.100%
|
on assets up to $50 billion
|
0.075%
|
on assets over $50 billion
|
|
Percentage of Average Daily
Net Assets of Class
|
Primary Shares
|
0.25%
|
Service Shares
|
0.25%
|
|
Distribution Services
Fees Incurred
|
Service Shares
|
$135,280
|
Purchases
|
$40,166,010
|
Sales
|
$30,729,033
|
|
Beginning
Account Value
1/1/2023
|
Ending
Account Value
6/30/2023
|
Expenses Paid
During Period1
|
Actual:
|
|
|
|
Primary Shares
|
$1,000
|
$1,078.10
|
$7.93
|
Service Shares
|
$1,000
|
$1,076.50
|
$9.22
|
Hypothetical (assuming a 5% return before expenses):
|
|
|
|
Primary Shares
|
$1,000
|
$1,017.16
|
$7.70
|
Service Shares
|
$1,000
|
$1,015.92
|
$8.95
|
1
|
Expenses are equal to the Fund’s annualized net expense ratios, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the
one-half-year period). The expenses shown in the table do not include the charges and expenses imposed by the insurance company
under the variable insurance
product contract. Please refer to the variable insurance product prospectus for a complete listing of these expenses. The
annualized net expense ratios are as
follows:
|
Primary Shares
|
1.54%
|
Service Shares
|
1.79%
|
Share Class
|
Primary
|
Service
|
|
|
|
|
|
|
Portfolio Composition
|
Percentage of
Total Net Assets
|
Domestic Fixed-Income Securities
|
44.2%
|
Domestic Equity Securities
|
39.3%
|
International Equity Securities
|
1.3%
|
Other2
|
0.2%
|
Project and Trade Finance Core Fund
|
2.1%
|
Federated Hermes High Income Bond Fund II, Class P
|
1.3%
|
Emerging Markets Core Fund
|
1.1%
|
Bank Loan Core Fund3
|
0.0%
|
Federated Hermes Short-Intermediate Government Fund, Institutional Shares3
|
0.0%
|
Cash Equivalents4
|
10.0%
|
Derivative Contracts5
|
1.3%
|
Other Assets and Liabilities—Net6
|
(0.8)%
|
TOTAL
|
100%
|
Sector Composition
of Equity Holdings
|
Percentage of
Equity Securities
|
Financials
|
19.7%
|
Health Care
|
15.7%
|
Industrials
|
13.4%
|
Information Technology
|
9.1%
|
Consumer Staples
|
8.4%
|
Energy
|
7.8%
|
Consumer Discretionary
|
5.4%
|
Utilities
|
5.1%
|
Communication Services
|
5.0%
|
Real Estate
|
4.8%
|
Materials
|
4.8%
|
Consumer Cyclicals
|
0.8%
|
TOTAL
|
100%
|
1
|
See the Fund’s Prospectus and Statement of Additional Information for a description of the types of securities in which the Fund invests. As of the date specified
above, the Fund owned shares of one or more affiliated investment companies. For purposes of this table, affiliated investment
companies (other than an
affiliated money market mutual fund) in which the Fund invested greater than 10% of its net assets are not treated as a single
portfolio security, but rather the
Fund is treated as owning a pro rata portion of each security and each other asset and liability owned by the affiliated investment
company. Accordingly, the
percentages of total net assets shown in the table will differ from those presented on the Portfolio of Investments. Affiliated
investment companies (other than an
affiliated money market mutual fund) in which the Fund invested less than 10% of its net assets are listed individually in
the table.
|
2
|
Other consists of purchased put options.
|
3
|
Represents less than 0.1%.
|
4
|
Cash Equivalents include any investments in money market mutual funds and/or overnight repurchase agreements.
|
5
|
Based upon net unrealized appreciation (depreciation) or value of the derivative contracts as applicable. Derivative contracts
may consist of futures, forwards,
options and swaps. The impact of a derivative contract on the Fund’s performance may be larger than its unrealized appreciation (depreciation) or value may
indicate. In many cases, the notional value or amount of a derivative contract may provide a better indication of the contract’s significance to the portfolio. More
complete information regarding the Fund’s direct investments in derivative contracts, including unrealized appreciation (depreciation), value and notional values
or amounts of such contracts, can be found in the table at the end of the Portfolio of Investments included in this Report.
|
6
|
Assets, other than investments in securities and derivative contracts, less liabilities. See Statement of Assets and Liabilities.
|
7
|
Sector classifications are based upon, and individual portfolio securities are assigned to, the classifications of the Global
Industry Classification Standard (GICS)
except that the Co-Advisers assign a classification to securities not classified by the GICS and to securities for which the
Co-Advisers do not have access to the
classification made by the GICS.
|
Shares,
Principal
Amount
or Contracts
|
|
|
Value
|
|
|
COMMON STOCKS—40.6%
|
|
|
|
Communication Services—2.0%
|
|
22,805
|
|
AT&T, Inc.
|
$ 363,740
|
6
|
|
Cable One, Inc.
|
3,943
|
19,880
|
|
Comcast Corp., Class A
|
826,014
|
2,015
|
|
Electronic Arts, Inc.
|
261,346
|
1,169
|
|
Fox Corp
|
37,279
|
456
|
1
|
Madison Square Garden Sports Corp.
|
85,751
|
393
|
|
Nexstar Media Group, Inc., Class A
|
65,454
|
2,734
|
1
|
Playtika Holding Corp.
|
31,714
|
309
|
1
|
Take-Two Interactive Software, Inc.
|
45,472
|
2,319
|
1
|
T-Mobile USA, Inc.
|
322,109
|
18,211
|
1
|
TripAdvisor, Inc.
|
300,299
|
16,271
|
|
Verizon Communications, Inc.
|
605,119
|
6,047
|
1
|
Walt Disney Co.
|
539,876
|
2,210
|
1
|
ZoomInfo Technologies, Inc.
|
56,112
|
|
|
TOTAL
|
3,544,228
|
|
|
Consumer Cyclicals—0.3%
|
|
240,000
|
1
|
Adicon Holdings LTD
|
422,665
|
40,000
|
1
|
Noile-Immune Biotech, Inc.
|
166,326
|
|
|
TOTAL
|
588,991
|
|
|
Consumer Discretionary—2.2%
|
|
30
|
|
ADT, Inc.
|
181
|
2,421
|
1
|
Aptiv PLC
|
247,160
|
24
|
1
|
AutoZone, Inc.
|
59,841
|
245
|
|
Best Buy Co., Inc.
|
20,078
|
1,760
|
|
Block (H&R), Inc.
|
56,091
|
1,494
|
|
BorgWarner, Inc.
|
73,071
|
5,488
|
1
|
Capri Holdings Ltd.
|
196,964
|
945
|
|
Carter’s, Inc.
|
68,607
|
6,825
|
|
eBay, Inc.
|
305,009
|
526
|
1
|
Etsy, Inc.
|
44,505
|
11,698
|
|
Ford Motor Co.
|
176,991
|
41
|
|
General Motors Co.
|
1,581
|
142
|
|
Lear Corp.
|
20,384
|
117
|
|
LKQ Corp.
|
6,817
|
20,000
|
1
|
Lottomatica Group S.P.A.
|
190,218
|
548
|
|
Lowe’s Cos., Inc.
|
123,684
|
2,192
|
|
McDonald’s Corp.
|
654,115
|
2,283
|
|
MGM Resorts International
|
100,269
|
1,392
|
1
|
Norwegian Cruise Line Holdings Ltd.
|
30,304
|
51
|
1
|
NVR, Inc.
|
323,882
|
255
|
1
|
O’Reilly Automotive, Inc.
|
243,601
|
8,962
|
1
|
Rivian Automotive, Inc.
|
149,307
|
128
|
1
|
Royal Caribbean Cruises, Ltd.
|
13,279
|
3,676
|
1
|
Savers Value Village, Inc.
|
87,121
|
4,829
|
|
Tapestry, Inc.
|
206,681
|
452
|
|
Toll Brothers, Inc.
|
35,740
|
Shares,
Principal
Amount
or Contracts
|
|
|
Value
|
|
|
COMMON STOCKS—continued
|
|
|
|
Consumer Discretionary—continued
|
|
95
|
|
Vail Resorts, Inc.
|
$ 23,917
|
1,358
|
|
Whirlpool Corp.
|
202,057
|
1,182
|
|
Wyndham Hotels & Resorts, Inc.
|
81,050
|
1,018
|
|
Yum! Brands, Inc.
|
141,044
|
|
|
TOTAL
|
3,883,549
|
|
|
Consumer Staples—3.4%
|
|
14,076
|
|
Altria Group, Inc.
|
637,643
|
3,058
|
|
Archer-Daniels-Midland Co.
|
231,063
|
457
|
|
Casey’s General Stores, Inc.
|
111,453
|
942
|
|
Colgate-Palmolive Co.
|
72,572
|
233
|
|
Constellation Brands, Inc., Class A
|
57,348
|
4,749
|
|
General Mills, Inc.
|
364,248
|
1,321
|
|
Hershey Foods Corp.
|
329,854
|
2,564
|
|
Kimberly-Clark Corp.
|
353,986
|
3,627
|
|
Kroger Co.
|
170,469
|
439
|
|
Lamb Weston Holdings, Inc.
|
50,463
|
41
|
|
Molson Coors Beverage Co., Class B
|
2,699
|
3,662
|
|
Mondelez International, Inc.
|
267,106
|
2,059
|
|
PepsiCo, Inc.
|
381,368
|
2,312
|
|
Philip Morris International, Inc.
|
225,697
|
6,379
|
|
Procter & Gamble Co.
|
967,949
|
111
|
1
|
The Boston Beer Co., Inc., Class A
|
34,237
|
8,645
|
|
The Coca-Cola Co.
|
520,602
|
1,143
|
1
|
US Foods Holding Corp.
|
50,292
|
6,057
|
|
WalMart, Inc.
|
952,039
|
230,000
|
1
|
ZJLD Group, Inc.
|
230,705
|
|
|
TOTAL
|
6,011,793
|
|
|
Energy—3.1%
|
|
620
|
|
APA Corp.
|
21,185
|
5,960
|
|
Chevron Corp.
|
937,806
|
7,697
|
|
ConocoPhillips
|
797,486
|
16,034
|
|
Exxon Mobil Corp.
|
1,719,647
|
2,958
|
|
Hess Corp.
|
402,140
|
17,567
|
|
Marathon Oil Corp.
|
404,392
|
4,588
|
|
Marathon Petroleum Corp.
|
534,961
|
1,952
|
|
ONEOK, Inc.
|
120,477
|
214
|
|
Pioneer Natural Resources, Inc.
|
44,337
|
2,254
|
|
Range Resources Corp.
|
66,268
|
512
|
|
Schlumberger Ltd.
|
25,149
|
3,000
|
|
TXO Energy Partners, LP
|
64,950
|
3,375
|
|
Valero Energy Corp.
|
395,888
|
|
|
TOTAL
|
5,534,686
|
|
|
Financials—8.0%
|
|
2,315
|
|
Affiliated Managers Group
|
346,995
|
7,546
|
|
Ally Financial, Inc.
|
203,817
|
1,724
|
|
American Express Co.
|
300,321
|
8,733
|
|
American International Group, Inc.
|
502,497
|
24,936
|
|
Bank of America Corp.
|
715,414
|
9,542
|
|
Bank of New York Mellon Corp.
|
424,810
|
Shares,
Principal
Amount
or Contracts
|
|
|
Value
|
|
|
COMMON STOCKS—continued
|
|
|
|
Financials—continued
|
|
394
|
|
Bank OZK
|
$ 15,823
|
5,679
|
1
|
Berkshire Hathaway, Inc., Class B
|
1,936,539
|
267
|
|
BlackRock, Inc.
|
184,534
|
101
|
|
BOK Financial Corp.
|
8,159
|
7,819
|
1
|
Brighthouse Financial, Inc.
|
370,230
|
516
|
|
Capital One Financial Corp.
|
56,435
|
799
|
|
Charles Schwab Corp.
|
45,287
|
6,962
|
|
Citigroup, Inc.
|
320,530
|
1,727
|
|
Citizens Financial Group, Inc.
|
45,040
|
743
|
|
Columbia Banking Systems, Inc.
|
15,068
|
471
|
|
Comerica, Inc.
|
19,952
|
409
|
|
Commerce Bancshares, Inc.
|
19,918
|
212
|
|
Cullen Frost Bankers, Inc.
|
22,796
|
1,984
|
|
Discover Financial Services
|
231,830
|
502
|
|
East West Bancorp, Inc.
|
26,501
|
3,132
|
|
Fidelity National Information Services, Inc.
|
171,320
|
2,428
|
|
Fifth Third Bancorp
|
63,638
|
35
|
|
First Citizens Bancshares, Inc., Class A
|
44,921
|
455
|
|
First Hawaiian, Inc.
|
8,195
|
1,911
|
|
First Horizon Corp.
|
21,537
|
897
|
1
|
Fiserv, Inc.
|
113,157
|
1,278
|
|
FNB Corp. (PA)
|
14,620
|
200
|
|
Global Payments, Inc.
|
19,704
|
1,268
|
|
Goldman Sachs Group, Inc.
|
408,981
|
5,145
|
|
Huntington Bancshares, Inc.
|
55,463
|
863
|
|
Janus Henderson Group PLC
|
23,517
|
10,466
|
|
JPMorgan Chase & Co.
|
1,522,175
|
3,332
|
|
KeyCorp
|
30,788
|
786
|
|
Lazard Ltd., Class A
|
25,152
|
3,148
|
|
Lincoln National Corp.
|
81,092
|
592
|
|
M&T Bank Corp.
|
73,266
|
4,547
|
|
MetLife, Inc.
|
257,042
|
10,290
|
|
MGIC Investment Corp.
|
162,479
|
163
|
|
Moody’s Corp.
|
56,678
|
3,527
|
|
Morgan Stanley
|
301,206
|
2,547
|
|
New York Community Bancorp, Inc.
|
28,628
|
2,599
|
1
|
NU Holdings Ltd./Cayman Islands
|
20,506
|
5,186
|
|
OneMain Holdings, Inc.
|
226,576
|
2,534
|
1
|
PayPal Holdings, Inc.
|
169,094
|
269
|
|
Pinnacle Financial Partners, Inc.
|
15,239
|
1,425
|
|
PNC Financial Services Group, Inc.
|
179,479
|
252
|
|
Popular, Inc.
|
15,251
|
311
|
|
Prosperity Bancshares, Inc.
|
17,565
|
3,563
|
|
Prudential Financial, Inc.
|
314,328
|
3,344
|
|
Regions Financial Corp.
|
59,590
|
258
|
|
S&P Global, Inc.
|
103,430
|
3,000
|
1
|
Skyward Specialty Insurance Group, Inc.
|
76,200
|
21,786
|
|
SLM Corp.
|
355,548
|
2,184
|
|
State Street Corp.
|
159,825
|
Shares,
Principal
Amount
or Contracts
|
|
|
Value
|
|
|
COMMON STOCKS—continued
|
|
|
|
Financials—continued
|
|
11,676
|
|
Synchrony Financial
|
$ 396,050
|
517
|
|
Synovus Financial Corp.
|
15,639
|
3,517
|
|
The Hartford Financial Services Group, Inc.
|
253,294
|
1,933
|
|
The Travelers Cos., Inc.
|
335,685
|
4,747
|
|
Truist Financial Corp.
|
144,071
|
5,485
|
|
U.S. Bancorp
|
181,224
|
10,977
|
|
Virtu Financial, Inc.
|
187,597
|
621
|
|
Webster Financial Corp. Waterbury
|
23,443
|
13,530
|
|
Wells Fargo & Co.
|
577,460
|
387
|
|
Western Alliance Bancorp
|
14,114
|
18,035
|
|
Western Union Co.
|
211,551
|
830
|
1
|
WEX, Inc.
|
151,118
|
261
|
|
White Mountains Insurance Group, Inc.
|
362,506
|
684
|
|
Willis Towers Watson PLC
|
161,082
|
217
|
|
Wintrust Financial Corp.
|
15,759
|
520
|
|
Zions Bancorporation, N.A.
|
13,967
|
|
|
TOTAL
|
14,053,246
|
|
|
Health Care—6.4%
|
|
4,645
|
|
Abbott Laboratories
|
506,398
|
6,000
|
1
|
ACELYRIN, Inc.
|
125,400
|
428
|
|
Agilent Technologies, Inc.
|
51,467
|
521
|
1
|
Biogen, Inc.
|
148,407
|
210
|
1
|
Bio-Rad Laboratories, Inc., Class A
|
79,615
|
7,249
|
1
|
Boston Scientific Corp.
|
392,098
|
11,984
|
|
Bristol-Myers Squibb Co.
|
766,377
|
4,135
|
|
Cardinal Health, Inc.
|
391,047
|
1,092
|
1
|
Centene Corp.
|
73,655
|
186
|
|
CIGNA Corp.
|
52,192
|
5,662
|
|
CVS Health Corp.
|
391,414
|
2,089
|
|
Danaher Corp.
|
501,360
|
289
|
|
Dentsply Sirona, Inc.
|
11,566
|
1,283
|
|
Elevance Health, Inc.
|
570,024
|
570
|
1
|
GE HealthCare Technologies, Inc.
|
46,307
|
8,533
|
|
Gilead Sciences, Inc.
|
657,638
|
791
|
|
HCA Healthcare, Inc.
|
240,053
|
1,015
|
|
Humana, Inc.
|
453,837
|
1,322
|
1
|
Illumina, Inc.
|
247,862
|
9,183
|
|
Johnson & Johnson
|
1,519,970
|
212
|
|
Laboratory Corp. of America Holdings
|
51,162
|
1,125
|
|
McKesson Corp.
|
480,724
|
2,017
|
|
Medtronic PLC
|
177,698
|
7,899
|
|
Merck & Co., Inc.
|
911,466
|
149
|
1
|
Moderna, Inc.
|
18,103
|
16,487
|
|
Pfizer, Inc.
|
604,743
|
6,519
|
|
Premier, Inc.
|
180,316
|
216
|
1
|
Regeneron Pharmaceuticals, Inc.
|
155,205
|
14,242
|
1
|
Teladoc Health, Inc.
|
360,607
|
896
|
|
Thermo Fisher Scientific, Inc.
|
467,488
|
716
|
|
UnitedHealth Group, Inc.
|
344,138
|
Shares,
Principal
Amount
or Contracts
|
|
|
Value
|
|
|
COMMON STOCKS—continued
|
|
|
|
Health Care—continued
|
|
578
|
1
|
Vertex Pharmaceuticals, Inc.
|
$ 203,404
|
62
|
|
Zimmer Biomet Holdings, Inc.
|
9,027
|
|
|
TOTAL
|
11,190,768
|
|
|
Industrials—5.4%
|
|
2,530
|
|
3M Co.
|
253,228
|
402
|
|
Acuity Brands, Inc.
|
65,558
|
1,370
|
|
AECOM
|
116,025
|
2,784
|
|
Allison Transmission Holdings, Inc.
|
157,185
|
263
|
|
Automatic Data Processing, Inc.
|
57,805
|
2,412
|
1
|
Azek Co., Inc.
|
73,059
|
2,000
|
1
|
Boeing Co.
|
422,320
|
3,108
|
1
|
Builders Firstsource, Inc.
|
422,688
|
1,281
|
|
C.H. Robinson Worldwide, Inc.
|
120,862
|
319
|
|
Caterpillar, Inc.
|
78,490
|
16,924
|
1
|
Clarivate PLC
|
161,286
|
140
|
1
|
Clean Harbors, Inc.
|
23,020
|
3,375
|
|
CSX Corp.
|
115,088
|
2,725
|
1
|
Delta Air Lines, Inc.
|
129,547
|
183
|
|
Donaldson Co., Inc.
|
11,439
|
1,827
|
|
Dun & Bradstreet Holdings, Inc.
|
21,138
|
1,245
|
|
Eaton Corp. PLC
|
250,370
|
424
|
|
Emerson Electric Co.
|
38,325
|
15,000
|
1
|
Eurogroup Laminations S.p.A.
|
107,516
|
3,407
|
|
Expeditors International Washington, Inc.
|
412,690
|
2,388
|
|
Ferguson PLC
|
375,656
|
2,153
|
|
General Dynamics Corp.
|
463,218
|
2,329
|
|
General Electric Co.
|
255,841
|
3,360
|
|
Honeywell International, Inc.
|
697,200
|
1,892
|
|
Hunt (J.B.) Transportation Services, Inc.
|
342,509
|
1,589
|
|
Ingersoll-Rand, Inc.
|
103,857
|
4,368
|
|
Johnson Controls International PLC
|
297,636
|
2,097
|
|
L3Harris Technologies, Inc.
|
410,530
|
1,828
|
|
Landstar System, Inc.
|
351,963
|
1,226
|
|
Leidos Holdings, Inc.
|
108,477
|
1,866
|
|
Manpower, Inc.
|
148,160
|
47
|
|
Masco Corp.
|
2,697
|
1,218
|
|
Norfolk Southern Corp.
|
276,194
|
650
|
|
OshKosh Truck Corp.
|
56,284
|
1,689
|
|
Otis Worldwide Corp.
|
150,338
|
1,009
|
|
Owens Corning, Inc.
|
131,675
|
692
|
|
Parker-Hannifin Corp.
|
269,908
|
4,297
|
|
Raytheon Technologies Corp.
|
420,934
|
266
|
|
Republic Services, Inc.
|
40,743
|
10,000
|
1
|
Skymark Airlines, Inc.
|
87,405
|
1,013
|
|
Textron, Inc.
|
68,509
|
944
|
|
Trane Technologies PLC
|
180,549
|
566
|
1
|
United Rentals, Inc.
|
252,079
|
9,548
|
1
|
Univar, Inc.
|
342,200
|
1,865
|
|
Waste Management, Inc.
|
323,428
|
Shares,
Principal
Amount
or Contracts
|
|
|
Value
|
|
|
COMMON STOCKS—continued
|
|
|
|
Industrials—continued
|
|
7,752
|
1
|
Willscot Corp.
|
$ 370,468
|
163
|
|
Xylem, Inc.
|
18,357
|
|
|
TOTAL
|
9,584,454
|
|
|
Information Technology—3.7%
|
|
3,538
|
1
|
Advanced Micro Devices, Inc.
|
403,014
|
646
|
|
Applied Materials, Inc.
|
93,373
|
4,742
|
1
|
Cirrus Logic, Inc.
|
384,149
|
20,329
|
|
Cisco Systems, Inc.
|
1,051,822
|
1,986
|
|
Cognizant Technology Solutions Corp.
|
129,646
|
6,235
|
1
|
Dropbox, Inc.
|
166,287
|
4,944
|
1
|
DXC Technology Co.
|
132,104
|
810
|
1
|
First Solar, Inc.
|
153,973
|
1,571
|
1
|
GoDaddy, Inc.
|
118,029
|
25,372
|
|
Hewlett Packard Enterprise Co.
|
426,250
|
1,546
|
|
HP, Inc.
|
47,478
|
664
|
|
IBM Corp.
|
88,850
|
9,275
|
|
Intel Corp.
|
310,156
|
10,000
|
1
|
IONOS SE
|
142,071
|
2,508
|
|
Juniper Networks, Inc.
|
78,576
|
6,759
|
|
Marvell Technology, Inc.
|
404,053
|
978
|
|
Microchip Technology, Inc.
|
87,619
|
5,277
|
|
Micron Technology, Inc.
|
333,031
|
9,301
|
1
|
Nutanix, Inc.
|
260,893
|
132
|
1
|
ON Semiconductor Corp.
|
12,485
|
2,355
|
|
Oracle Corp.
|
280,457
|
250
|
1
|
Pure Storage, Inc.
|
9,205
|
3,616
|
1
|
Qorvo, Inc.
|
368,940
|
2,473
|
1
|
Salesforce, Inc.
|
522,446
|
1,320
|
1
|
Verisign, Inc.
|
298,280
|
4,105
|
1
|
Western Digital Corp.
|
155,703
|
|
|
TOTAL
|
6,458,890
|
|
|
Materials—2.0%
|
|
129
|
|
Air Products & Chemicals, Inc.
|
38,639
|
578
|
|
Alcoa Corp.
|
19,612
|
1,007
|
|
Avery Dennison Corp.
|
173,003
|
6,238
|
|
Dow, Inc.
|
332,236
|
283
|
|
Eagle Materials, Inc.
|
52,757
|
1,663
|
|
Ecolab, Inc.
|
310,465
|
3,749
|
|
Freeport-McMoRan, Inc.
|
149,960
|
1,497
|
|
Huntsman Corp.
|
40,449
|
10,000
|
1
|
Lithium Royalty Corp.
|
99,717
|
459
|
|
Louisiana-Pacific Corp.
|
34,416
|
1,791
|
|
LyondellBasell Industries N.V.
|
164,467
|
800
|
|
Mosaic Co./The
|
28,000
|
2,352
|
|
New Linde PLC
|
896,300
|
3,113
|
|
Newmont Corp.
|
132,801
|
1,027
|
|
Nucor Corp.
|
168,407
|
4,093
|
|
Olin Corp.
|
210,339
|
164
|
|
Reliance Steel & Aluminum Co.
|
44,541
|
Shares,
Principal
Amount
or Contracts
|
|
|
Value
|
|
|
COMMON STOCKS—continued
|
|
|
|
Materials—continued
|
|
2,965
|
|
Steel Dynamics, Inc.
|
$ 322,977
|
175
|
|
United States Steel Corp.
|
4,377
|
7,613
|
|
WestRock Co.
|
221,310
|
|
|
TOTAL
|
3,444,773
|
|
|
Real Estate—2.0%
|
|
4,014
|
|
Americold Realty Trust, Inc.
|
129,652
|
9,987
|
|
Apartment Income REIT Corp.
|
360,431
|
729
|
|
Avalonbay Communities, Inc.
|
137,978
|
2,499
|
1
|
CBRE Group, Inc.
|
201,694
|
120
|
|
Equinix, Inc.
|
94,073
|
1,776
|
|
Extra Space Storage, Inc.
|
264,357
|
322
|
|
Federal Realty Investment Trust
|
31,160
|
4,542
|
|
First Industrial Realty Trust
|
239,091
|
6,140
|
|
Host Hotels & Resorts, Inc.
|
103,336
|
2,365
|
|
Iron Mountain, Inc.
|
134,379
|
727
|
|
Life Storage, Inc.
|
96,662
|
5,301
|
|
ProLogis, Inc.
|
650,062
|
1,412
|
|
Public Storage
|
412,134
|
476
|
|
SBA Communications Corp.
|
110,318
|
277
|
|
Simon Property Group, Inc.
|
31,988
|
13,617
|
|
Weyerhaeuser Co.
|
456,306
|
|
|
TOTAL
|
3,453,621
|
|
|
Utilities—2.1%
|
|
13,828
|
|
AES Corp.
|
286,654
|
3,438
|
|
Atmos Energy Corp.
|
399,977
|
95
|
|
Brookfield Renewable Corp.
|
2,994
|
3,694
|
|
Consolidated Edison Co.
|
333,938
|
4,258
|
|
FirstEnergy Corp.
|
165,551
|
11,023
|
|
NextEra Energy, Inc.
|
817,907
|
13,982
|
|
PPL Corp.
|
369,964
|
6,983
|
|
Public Service Enterprises Group, Inc.
|
437,206
|
8,826
|
|
UGI Corp.
|
238,037
|
5,449
|
|
Vistra Corp.
|
143,036
|
7,066
|
|
Xcel Energy, Inc.
|
439,293
|
|
|
TOTAL
|
3,634,557
|
|
|
TOTAL COMMON STOCKS
(IDENTIFIED COST $59,418,291)
|
71,383,556
|
|
|
U.S. TREASURIES—17.9%
|
|
|
|
Treasury Inflation-Indexed Note—0.0%
|
|
$ 12,801
|
|
U.S. Treasury Inflation-Protected Notes, 1.000%, 2/15/2046
|
11,083
|
|
|
U.S. Treasury Bond—3.0%
|
|
150,000
|
|
United States Treasury Bond, 1.375%, 11/15/2040
|
100,241
|
760,000
|
|
United States Treasury Bond, 1.625%, 11/15/2050
|
471,202
|
660,000
|
|
United States Treasury Bond, 2.375%, 2/15/2042
|
513,575
|
20,000
|
|
United States Treasury Bond, 2.750%, 11/15/2047
|
16,069
|
2,950,000
|
|
United States Treasury Bond, 2.875%, 5/15/2052
|
2,440,951
|
1,000
|
|
United States Treasury Bond, 3.000%, 11/15/2044
|
845
|
900,000
|
|
United States Treasury Bond, 3.000%, 2/15/2049
|
760,659
|
Shares,
Principal
Amount
or Contracts
|
|
|
Value
|
|
|
U.S. TREASURIES—continued
|
|
|
|
U.S. Treasury Bond—continued
|
|
$ 1,100,000
|
|
United States Treasury Bond, 3.125%, 5/15/2048
|
$ 948,431
|
|
|
TOTAL
|
5,251,973
|
|
|
U.S. Treasury Note—14.9%
|
|
2,000,000
|
|
United States Treasury Note, 0.250%, 9/30/2023
|
1,976,186
|
330,000
|
|
United States Treasury Note, 0.625%, 7/31/2026
|
293,921
|
900,000
|
|
United States Treasury Note, 0.625%, 8/15/2030
|
716,549
|
200,000
|
|
United States Treasury Note, 0.875%, 11/15/2030
|
161,740
|
675,000
|
|
United States Treasury Note, 1.250%, 12/31/2026
|
607,350
|
300,000
|
|
United States Treasury Note, 1.375%, 11/15/2031
|
247,141
|
400,000
|
|
United States Treasury Note, 1.500%, 1/31/2027
|
362,250
|
200,000
|
|
United States Treasury Note, 1.625%, 5/15/2031
|
169,880
|
900,000
|
|
United States Treasury Note, 1.750%, 12/31/2024
|
855,557
|
325,000
|
|
United States Treasury Note, 1.750%, 3/15/2025
|
307,404
|
500,000
|
|
United States Treasury Note, 2.125%, 11/30/2024
|
478,904
|
1,150,000
|
|
United States Treasury Note, 2.250%, 3/31/2024
|
1,123,109
|
50,000
|
|
United States Treasury Note, 2.250%, 11/15/2027
|
46,033
|
3,500,000
|
|
United States Treasury Note, 2.500%, 4/30/2024
|
3,416,165
|
500,000
|
|
United States Treasury Note, 2.500%, 5/31/2024
|
486,928
|
3,800,000
|
|
United States Treasury Note, 2.625%, 5/31/2027
|
3,569,333
|
500,000
|
|
United States Treasury Note, 2.750%, 4/30/2027
|
472,157
|
5,700,000
|
|
United States Treasury Note, 2.750%, 7/31/2027
|
5,372,165
|
40,000
|
|
United States Treasury Note, 2.875%, 5/31/2025
|
38,489
|
680,000
|
|
United States Treasury Note, 3.000%, 6/30/2024
|
663,955
|
110,000
|
|
United States Treasury Note, 3.125%, 8/31/2027
|
105,172
|
1,600,000
|
|
United States Treasury Note, 3.500%, 2/15/2033
|
1,557,362
|
250,000
|
|
United States Treasury Note, 3.625%, 3/31/2028
|
244,180
|
250,000
|
|
United States Treasury Note, 3.875%, 11/30/2027
|
246,412
|
2,600,000
|
|
United States Treasury Note, 4.000%, 2/28/2030
|
2,598,172
|
|
|
TOTAL
|
26,116,514
|
|
|
TOTAL U.S. TREASURIES
(IDENTIFIED COST $33,808,961)
|
31,379,570
|
|
|
CORPORATE BONDS—11.7%
|
|
|
|
Basic Industry - Chemicals—0.1%
|
|
50,000
|
|
Albemarle Corp., Sr. Unsecd. Note, 5.450%, 12/1/2044
|
47,229
|
75,000
|
|
RPM International, Inc., Sr. Unsecd. Note, 4.550%, 3/1/2029
|
70,369
|
|
|
TOTAL
|
117,598
|
|
|
Basic Industry - Metals & Mining—0.0%
|
|
60,000
|
|
Glencore Funding LLC, Sr. Unsecd. Note, 144A, 1.625%, 4/27/2026
|
54,141
|
30,000
|
|
Glencore Funding LLC, Sr. Unsecd. Note, 144A, 3.375%, 9/23/2051
|
20,250
|
|
|
TOTAL
|
74,391
|
|
|
Capital Goods - Aerospace & Defense—0.5%
|
|
125,000
|
|
Boeing Co., Sr. Unsecd. Note, 2.700%, 2/1/2027
|
114,318
|
45,000
|
|
Boeing Co., Sr. Unsecd. Note, 3.950%, 8/1/2059
|
33,277
|
75,000
|
|
Boeing Co., Sr. Unsecd. Note, 4.875%, 5/1/2025
|
73,959
|
85,000
|
|
Huntington Ingalls Industries, Inc., Sr. Unsecd. Note, 3.483%, 12/1/2027
|
77,970
|
25,000
|
|
Leidos, Inc., Sr. Unsecd. Note, Series WI, 3.625%, 5/15/2025
|
23,992
|
110,000
|
|
Leidos, Inc., Sr. Unsecd. Note, Series WI, 4.375%, 5/15/2030
|
101,092
|
100,000
|
|
Lockheed Martin Corp., Sr. Unsecd. Note, 4.750%, 2/15/2034
|
99,817
|
90,000
|
|
Northrop Grumman Corp., Sr. Unsecd. Note, 4.700%, 3/15/2033
|
88,377
|
Shares,
Principal
Amount
or Contracts
|
|
|
Value
|
|
|
CORPORATE BONDS—continued
|
|
|
|
Capital Goods - Aerospace & Defense—continued
|
|
$ 95,000
|
|
Raytheon Technologies Corp., Sr. Unsecd. Note, 5.150%, 2/27/2033
|
$ 96,340
|
100,000
|
|
Textron, Inc., Sr. Unsecd. Note, 3.650%, 3/15/2027
|
93,767
|
|
|
TOTAL
|
802,909
|
|
|
Capital Goods - Building Materials—0.1%
|
|
35,000
|
|
Allegion PLC, Sr. Unsecd. Note, 3.500%, 10/1/2029
|
30,939
|
20,000
|
|
Allegion US Holdings Co., Inc., Sr. Unsecd. Note, 3.200%, 10/1/2024
|
19,215
|
90,000
|
|
Allegion US Holdings Co., Inc., Sr. Unsecd. Note, 3.550%, 10/1/2027
|
83,308
|
|
|
TOTAL
|
133,462
|
|
|
Capital Goods - Construction Machinery—0.1%
|
|
100,000
|
|
CNH Industrial NV, Sr. Unsecd. Note, Series MTN, 3.850%, 11/15/2027
|
94,055
|
170,000
|
|
John Deere Capital Corp., Sr. Unsecd. Note, Series MTN, 3.450%, 3/7/2029
|
159,121
|
|
|
TOTAL
|
253,176
|
|
|
Capital Goods - Diversified Manufacturing—0.2%
|
|
45,000
|
|
Honeywell International, Inc., Sr. Unsecd. Note, 1.350%, 6/1/2025
|
42,004
|
45,000
|
|
Honeywell International, Inc., Sr. Unsecd. Note, 2.800%, 6/1/2050
|
33,490
|
50,000
|
|
Honeywell International, Inc., Sr. Unsecd. Note, 4.500%, 1/15/2034
|
48,939
|
65,000
|
|
Valmont Industries, Inc., Sr. Unsecd. Note, 5.000%, 10/1/2044
|
57,249
|
70,000
|
|
Vontier Corp., Sr. Unsecd. Note, Series WI, 1.800%, 4/1/2026
|
62,269
|
45,000
|
|
Xylem, Inc., Sr. Unsecd. Note, 2.250%, 1/30/2031
|
37,364
|
|
|
TOTAL
|
281,315
|
|
|
Capital Goods - Packaging—0.1%
|
|
125,000
|
|
Packaging Corp., of America, Sr. Unsecd. Note, 3.650%, 9/15/2024
|
122,465
|
|
|
Communications - Cable & Satellite—0.3%
|
|
50,000
|
|
CCO Safari II LLC, 6.484%, 10/23/2045
|
47,039
|
25,000
|
|
Charter Communications Operating, LLC/Charter Communications Operating Capital Corp., Sec. Fac. Bond, 3.850%, 4/1/2061
|
15,142
|
225,000
|
|
Comcast Corp., Sr. Unsecd. Note, 3.300%, 2/1/2027
|
213,634
|
150,000
|
|
Comcast Corp., Sr. Unsecd. Note, 3.950%, 10/15/2025
|
146,258
|
90,000
|
|
Time Warner Cable, Inc., Company Guarantee, 5.500%, 9/1/2041
|
74,946
|
|
|
TOTAL
|
497,019
|
|
|
Communications - Media & Entertainment—0.4%
|
|
115,000
|
|
Alphabet, Inc., Sr. Unsecd. Note, 2.050%, 8/15/2050
|
72,042
|
100,000
|
|
Meta Platforms, Inc., Sr. Unsecd. Note, 3.500%, 8/15/2027
|
95,000
|
75,000
|
|
Meta Platforms, Inc., Sr. Unsecd. Note, 3.850%, 8/15/2032
|
69,700
|
75,000
|
|
Netflix, Inc., Sr. Unsecd. Note, 4.875%, 4/15/2028
|
74,245
|
50,000
|
|
Paramount Global, Sr. Unsecd. Note, 4.200%, 6/1/2029
|
44,593
|
65,000
|
|
S&P Global, Inc., Sr. Unsecd. Note, 2.900%, 3/1/2032
|
56,366
|
65,000
|
|
Walt Disney Co., Sr. Unsecd. Note, 3.600%, 1/13/2051
|
51,764
|
45,000
|
|
Walt Disney Co., Sr. Unsecd. Note, 3.800%, 5/13/2060
|
35,973
|
100,000
|
|
Warnermedia Holdings, Inc., Sr. Unsecd. Note, 4.279%, 3/15/2032
|
88,734
|
100,000
|
|
Warnermedia Holdings, Inc., Sr. Unsecd. Note, 5.050%, 3/15/2042
|
84,342
|
|
|
TOTAL
|
672,759
|
|
|
Communications - Telecom Wireless—0.2%
|
|
50,000
|
|
American Tower Corp., Sr. Unsecd. Note, 2.700%, 4/15/2031
|
41,512
|
60,000
|
|
American Tower Corp., Sr. Unsecd. Note, 3.100%, 6/15/2050
|
39,229
|
100,000
|
|
Crown Castle International Corp., Sr. Unsecd. Note, 3.250%, 1/15/2051
|
68,276
|
105,000
|
|
T-Mobile USA, Inc., Sec. Fac. Bond, 3.000%, 2/15/2041
|
76,828
|
90,000
|
|
T-Mobile USA, Inc., Sr. Unsecd. Note, 5.200%, 1/15/2033
|
89,460
|
60,000
|
|
Vodafone Group PLC, Sr. Unsecd. Note, 4.125%, 5/30/2025
|
58,568
|
Shares,
Principal
Amount
or Contracts
|
|
|
Value
|
|
|
CORPORATE BONDS—continued
|
|
|
|
Communications - Telecom Wireless—continued
|
|
$ 70,000
|
|
Vodafone Group PLC, Sr. Unsecd. Note, 5.250%, 5/30/2048
|
$ 65,802
|
|
|
TOTAL
|
439,675
|
|
|
Communications - Telecom Wirelines—0.3%
|
|
150,000
|
|
AT&T, Inc., Sr. Unsecd. Note, 1.700%, 3/25/2026
|
136,778
|
203,000
|
|
AT&T, Inc., Sr. Unsecd. Note, 3.800%, 12/1/2057
|
147,140
|
45,000
|
|
AT&T, Inc., Sr. Unsecd. Note, 5.400%, 2/15/2034
|
45,100
|
45,000
|
|
Rogers Communications, Inc., Sr. Unsecd. Note, 144A, 4.500%, 3/15/2042
|
37,396
|
80,000
|
|
Verizon Communications, Inc., Sr. Unsecd. Note, 3.400%, 3/22/2041
|
61,793
|
100,000
|
|
Verizon Communications, Inc., Sr. Unsecd. Note, 4.125%, 8/15/2046
|
82,302
|
|
|
TOTAL
|
510,509
|
|
|
Consumer Cyclical - Automotive—0.2%
|
|
150,000
|
|
Daimler Trucks Financial NA, Sr. Unsecd. Note, 144A, 2.375%, 12/14/2028
|
129,955
|
100,000
|
|
General Motors Co., Sr. Unsecd. Note, 6.125%, 10/1/2025
|
100,720
|
100,000
|
|
General Motors Financial Co., Inc., Sr. Unsecd. Note, 2.400%, 4/10/2028
|
86,284
|
20,000
|
|
General Motors Financial Co., Inc., Sr. Unsecd. Note, 5.850%, 4/6/2030
|
19,844
|
60,000
|
|
Hyundai Capital America, Sr. Unsecd. Note, 144A, 5.680%, 6/26/2028
|
59,552
|
|
|
TOTAL
|
396,355
|
|
|
Consumer Cyclical - Retailers—0.2%
|
|
45,000
|
|
Advance Auto Parts, Inc., Sr. Unsecd. Note, 1.750%, 10/1/2027
|
37,474
|
90,000
|
|
Advance Auto Parts, Inc., Sr. Unsecd. Note, Series WI, 3.900%, 4/15/2030
|
76,747
|
50,000
|
|
AutoNation, Inc., Sr. Unsecd. Note, 3.850%, 3/1/2032
|
42,453
|
40,000
|
|
AutoZone, Inc., Sr. Unsecd. Note, 3.625%, 4/15/2025
|
38,623
|
20,000
|
|
AutoZone, Inc., Sr. Unsecd. Note, 4.750%, 2/1/2033
|
19,168
|
85,000
|
|
CVS Health Corp., Sr. Unsecd. Note, 4.250%, 4/1/2050
|
70,480
|
60,000
|
|
CVS Health Corp., Sr. Unsecd. Note, 5.250%, 2/21/2033
|
59,793
|
40,000
|
|
Home Depot, Inc., Sr. Unsecd. Note, 2.950%, 6/15/2029
|
36,436
|
35,000
|
|
Tractor Supply Co., Sr. Unsecd. Note, 5.250%, 5/15/2033
|
34,744
|
|
|
TOTAL
|
415,918
|
|
|
Consumer Cyclical - Services—0.1%
|
|
65,000
|
|
Amazon.com, Inc., Sr. Unsecd. Note, 2.500%, 6/3/2050
|
43,291
|
125,000
|
|
Amazon.com, Inc., Sr. Unsecd. Note, 3.875%, 8/22/2037
|
114,244
|
|
|
TOTAL
|
157,535
|
|
|
Consumer Non-Cyclical - Food/Beverage—0.3%
|
|
85,000
|
|
Constellation Brands, Inc., Sr. Unsecd. Note, 3.750%, 5/1/2050
|
66,941
|
25,000
|
|
Flowers Foods, Inc., Sr. Unsecd. Note, 2.400%, 3/15/2031
|
20,412
|
100,000
|
|
Flowers Foods, Inc., Sr. Unsecd. Note, 3.500%, 10/1/2026
|
93,875
|
145,000
|
|
International Flavors & Fragrances, Inc., Sr. Unsecd. Note, 144A, 2.300%, 11/1/2030
|
115,020
|
70,000
|
|
Kraft Heinz Foods Co., Sr. Unsecd. Note, 4.375%, 6/1/2046
|
59,538
|
70,000
|
|
PepsiCo, Inc., Sr. Unsecd. Note, 2.750%, 10/21/2051
|
50,298
|
90,000
|
|
Sysco Corp., Sr. Unsecd. Note, 4.450%, 3/15/2048
|
77,146
|
|
|
TOTAL
|
483,230
|
|
|
Consumer Non-Cyclical - Health Care—0.2%
|
|
27,000
|
|
Becton Dickinson & Co., Sr. Unsecd. Note, 3.794%, 5/20/2050
|
21,375
|
27,000
|
|
Becton Dickinson & Co., Sr. Unsecd. Note, 4.685%, 12/15/2044
|
24,515
|
90,000
|
|
Danaher Corp., Sr. Unsecd. Note, 2.600%, 10/1/2050
|
60,807
|
65,000
|
|
DH Europe Finance II S.a.r.l., Sr. Unsecd. Note, 2.600%, 11/15/2029
|
57,246
|
80,000
|
|
HCA, Inc., Sec. Fac. Bond, 3.500%, 7/15/2051
|
55,428
|
25,000
|
|
HCA, Inc., Sr. Unsecd. Note, 5.200%, 6/1/2028
|
24,814
|
10,000
|
|
Stryker Corp., Sr. Unsecd. Note, 3.500%, 3/15/2026
|
9,598
|
Shares,
Principal
Amount
or Contracts
|
|
|
Value
|
|
|
CORPORATE BONDS—continued
|
|
|
|
Consumer Non-Cyclical - Health Care—continued
|
|
$ 100,000
|
|
Thermo Fisher Scientific, Inc., Sr. Unsecd. Note, 1.215%, 10/18/2024
|
$ 94,604
|
|
|
TOTAL
|
348,387
|
|
|
Consumer Non-Cyclical - Pharmaceuticals—0.5%
|
|
83,000
|
|
Abbott Laboratories, Sr. Unsecd. Note, 3.750%, 11/30/2026
|
80,968
|
110,000
|
|
Amgen, Inc., Sr. Unsecd. Note, 5.250%, 3/2/2033
|
110,193
|
110,000
|
|
Amgen, Inc., Sr. Unsecd. Note, 5.650%, 3/2/2053
|
111,477
|
75,000
|
|
AstraZeneca PLC, Sr. Unsecd. Note, 1.375%, 8/6/2030
|
60,380
|
70,000
|
|
Biogen, Inc., Sr. Unsecd. Note, 2.250%, 5/1/2030
|
58,515
|
75,000
|
|
Biogen, Inc., Sr. Unsecd. Note, 3.150%, 5/1/2050
|
51,376
|
40,000
|
|
Bristol-Myers Squibb Co., Sr. Unsecd. Note, Series WI, 4.250%, 10/26/2049
|
35,486
|
60,000
|
|
Pfizer Investment Enterprises Pte Ltd., Sr. Unsecd. Note, 4.450%, 5/19/2028
|
59,002
|
60,000
|
|
Pfizer Investment Enterprises Pte Ltd., Sr. Unsecd. Note, 4.750%, 5/19/2033
|
59,797
|
45,000
|
|
Pfizer Investment Enterprises Pte Ltd., Sr. Unsecd. Note, 5.300%, 5/19/2053
|
46,821
|
91,000
|
|
Regeneron Pharmaceuticals, Inc., Sr. Unsecd. Note, 2.800%, 9/15/2050
|
58,671
|
115,000
|
|
Zoetis, Inc., Sr. Unsecd. Note, 3.000%, 5/15/2050
|
80,504
|
|
|
TOTAL
|
813,190
|
|
|
Consumer Non-Cyclical - Tobacco—0.1%
|
|
75,000
|
|
Altria Group, Inc., Sr. Unsecd. Note, 3.700%, 2/4/2051
|
50,311
|
50,000
|
|
BAT Capital Corp., Sr. Unsecd. Note, Series WI, 4.540%, 8/15/2047
|
36,846
|
125,000
|
|
Philip Morris International, Inc., Sr. Unsecd. Note, 2.100%, 5/1/2030
|
103,522
|
25,000
|
|
Philip Morris International, Inc., Sr. Unsecd. Note, 5.750%, 11/17/2032
|
25,616
|
55,000
|
|
Reynolds American, Inc., Sr. Unsecd. Note, 7.000%, 8/4/2041
|
54,655
|
|
|
TOTAL
|
270,950
|
|
|
Energy - Independent—0.1%
|
|
55,000
|
|
Diamondback Energy, Inc., Sr. Unsecd. Note, 6.250%, 3/15/2033
|
56,919
|
80,000
|
|
Hess Corp., Sr. Unsecd. Note, 5.600%, 2/15/2041
|
76,646
|
85,000
|
|
Marathon Oil Corp., Sr. Unsecd. Note, 4.400%, 7/15/2027
|
81,116
|
|
|
TOTAL
|
214,681
|
|
|
Energy - Integrated—0.2%
|
|
55,000
|
|
BP Capital Markets America, Inc., Sr. Unsecd. Note, 3.119%, 5/4/2026
|
52,377
|
40,000
|
|
BP Capital Markets America, Inc., Sr. Unsecd. Note, 4.893%, 9/11/2033
|
39,607
|
80,000
|
|
Chevron Corp., Sr. Unsecd. Note, 3.078%, 5/11/2050
|
59,642
|
185,000
|
|
ConocoPhillips Co., Sr. Unsecd. Note, 2.400%, 3/7/2025
|
176,421
|
|
|
TOTAL
|
328,047
|
|
|
Energy - Midstream—0.5%
|
|
45,000
|
|
Boardwalk Pipeline Partners LP, Sr. Unsecd. Note, 3.600%, 9/1/2032
|
38,295
|
40,000
|
|
Boardwalk Pipeline Partners LP, Sr. Unsecd. Note, 4.800%, 5/3/2029
|
38,392
|
35,000
|
|
Eastern Gas Transmission & Storage, Inc., Sr. Unsecd. Note, 3.000%, 11/15/2029
|
30,510
|
115,000
|
|
Eastern Gas Transmission & Storage, Inc., Sr. Unsecd. Note, 3.900%, 11/15/2049
|
85,048
|
60,000
|
|
Energy Transfer LP, Sr. Unsecd. Note, 5.750%, 2/15/2033
|
60,475
|
95,000
|
|
Energy Transfer Partners LP, Sr. Unsecd. Note, Series 10Y, 4.950%, 6/15/2028
|
92,218
|
15,000
|
|
Energy Transfer Partners LP, Sr. Unsecd. Note, 4.900%, 2/1/2024
|
14,901
|
50,000
|
|
Kinder Morgan Energy Partners LP, Sr. Unsecd. Note, 6.375%, 3/1/2041
|
50,271
|
110,000
|
|
MPLX LP, Sr. Unsecd. Note, 4.950%, 9/1/2032
|
105,116
|
75,000
|
|
ONEOK, Inc., Sr. Unsecd. Note, 4.950%, 7/13/2047
|
61,942
|
20,000
|
|
ONEOK, Inc., Sr. Unsecd. Note, 6.100%, 11/15/2032
|
20,354
|
110,000
|
|
Plains All American Pipeline LP, Sr. Unsecd. Note, 5.150%, 6/1/2042
|
91,475
|
100,000
|
|
Targa Resources, Inc., Sr. Unsecd. Note, 4.200%, 2/1/2033
|
88,593
|
Shares,
Principal
Amount
or Contracts
|
|
|
Value
|
|
|
CORPORATE BONDS—continued
|
|
|
|
Energy - Midstream—continued
|
|
$ 100,000
|
|
Williams Partners LP, Sr. Unsecd. Note, 4.900%, 1/15/2045
|
$ 87,393
|
|
|
TOTAL
|
864,983
|
|
|
Energy - Oil Field Services—0.1%
|
|
85,000
|
|
Halliburton Co., Sr. Unsecd. Note, 5.000%, 11/15/2045
|
77,010
|
60,000
|
|
Ovintiv, Inc., Sr. Unsecd. Note, 7.100%, 7/15/2053
|
61,814
|
|
|
TOTAL
|
138,824
|
|
|
Energy - Refining—0.1%
|
|
75,000
|
|
Marathon Petroleum Corp., Sr. Unsecd. Note, 4.750%, 9/15/2044
|
62,829
|
50,000
|
|
Phillips 66, Sr. Unsecd. Note, 4.875%, 11/15/2044
|
45,910
|
75,000
|
|
Valero Energy Corp., Sr. Unsecd. Note, 2.800%, 12/1/2031
|
61,396
|
|
|
TOTAL
|
170,135
|
|
|
Financial Institution - Banking—2.5%
|
|
100,000
|
|
American Express Co., Sr. Unsecd. Note, 4.990%, 5/1/2026
|
98,808
|
115,000
|
|
Associated Banc-Corp., Sub. Note, 4.250%, 1/15/2025
|
107,510
|
135,000
|
|
Bank of America Corp., Sr. Unsecd. Note, 2.299%, 7/21/2032
|
108,016
|
350,000
|
|
Bank of America Corp., Sr. Unsecd. Note, 3.419%, 12/20/2028
|
321,267
|
50,000
|
|
Bank of America Corp., Sr. Unsecd. Note, 5.288%, 4/25/2034
|
49,558
|
75,000
|
|
Bank of America Corp., Sub. Note, Series MTN, 4.000%, 1/22/2025
|
72,975
|
200,000
|
|
Bank of New York Mellon Corp., Sr. Unsecd. Note, Series MTN, 2.200%, 8/16/2023
|
199,192
|
50,000
|
|
Bank of New York Mellon Corp., Sr. Unsecd. Note, Series MTN, 3.992%, 6/13/2028
|
47,959
|
75,000
|
|
Capital One Financial Corp., Sr. Unsecd. Note, 3.273%, 3/1/2030
|
63,759
|
95,000
|
|
Citigroup, Inc., Sr. Unsecd. Note, 3.057%, 1/25/2033
|
79,357
|
195,000
|
|
Citigroup, Inc., Sr. Unsecd. Note, 3.400%, 5/1/2026
|
185,554
|
90,000
|
|
Citigroup, Inc., Sr. Unsecd. Note, 3.668%, 7/24/2028
|
84,203
|
70,000
|
|
Citigroup, Inc., Sub., 6.174%, 5/25/2034
|
70,648
|
100,000
|
|
Fifth Third Bancorp, Sr. Unsecd. Note, 6.361%, 10/27/2028
|
99,643
|
50,000
|
|
FNB Corp. (PA), Sr. Unsecd. Note, 5.150%, 8/25/2025
|
47,900
|
150,000
|
|
Goldman Sachs Group, Inc., Sr. Unsecd. Note, 1.948%, 10/21/2027
|
133,486
|
275,000
|
|
Goldman Sachs Group, Inc., Sr. Unsecd. Note, 1.992%, 1/27/2032
|
216,596
|
275,000
|
|
HSBC Holdings PLC, Sr. Unsecd. Note, 3.900%, 5/25/2026
|
262,205
|
100,000
|
|
Huntington Bancshares, Inc., Sr. Unsecd. Note, 4.443%, 8/4/2028
|
92,976
|
120,000
|
|
JPMorgan Chase & Co., Sr. Unsecd. Note, 1.953%, 2/4/2032
|
95,653
|
100,000
|
|
JPMorgan Chase & Co., Sr. Unsecd. Note, 2.963%, 1/25/2033
|
84,275
|
325,000
|
|
JPMorgan Chase & Co., Sr. Unsecd. Note, 3.509%, 1/23/2029
|
300,714
|
50,000
|
|
JPMorgan Chase & Co., Sr. Unsecd. Note, 5.350%, 6/1/2034
|
50,419
|
75,000
|
|
M&T Bank Corp., Sr. Unsecd. Note, 5.053%, 1/27/2034
|
68,545
|
45,000
|
|
Morgan Stanley, Sr. Unsecd. Note, 5.250%, 4/21/2034
|
44,456
|
325,000
|
|
Morgan Stanley, Sr. Unsecd. Note, Series GMTN, 3.772%, 1/24/2029
|
303,663
|
40,000
|
|
Morgan Stanley, Sr. Unsecd. Note, Series MTN, 1.794%, 2/13/2032
|
31,050
|
55,000
|
|
Morgan Stanley, Sr. Unsecd. Note, Series MTN, 1.928%, 4/28/2032
|
42,961
|
80,000
|
|
Northern Trust Corp., Sub. Note, 6.125%, 11/2/2032
|
82,977
|
110,000
|
|
PNC Financial Services Group, Sub Note, 4.626%, 6/6/2033
|
101,260
|
75,000
|
|
Truist Financial Corp., Sr. Unsecd. Note, Series MTN, 3.750%, 12/6/2023
|
74,286
|
45,000
|
|
Truist Financial Corp., Sr. Unsecd. Note, Series MTN, 5.122%, 1/26/2034
|
42,660
|
50,000
|
|
Truist Financial Corp., Sr. Unsecd. Note, Series MTN, 5.867%, 6/8/2034
|
50,043
|
125,000
|
|
US Bancorp, 4.967%, 7/22/2033
|
113,318
|
30,000
|
|
US Bancorp, Sr. Unsecd. Note, 5.836%, 6/12/2034
|
30,231
|
30,000
|
|
Wells Fargo & Co., Sr. Unsecd. Note, 5.389%, 4/24/2034
|
29,822
|
Shares,
Principal
Amount
or Contracts
|
|
|
Value
|
|
|
CORPORATE BONDS—continued
|
|
|
|
Financial Institution - Banking—continued
|
|
$ 500,000
|
|
Wells Fargo & Co., Sr. Unsecd. Note, Series MTN, 3.584%, 5/22/2028
|
$ 466,009
|
|
|
TOTAL
|
4,353,954
|
|
|
Financial Institution - Broker/Asset Mgr/Exchange—0.1%
|
|
40,000
|
|
BlackRock, Inc., Sr. Unsecd. Note, 4.750%, 5/25/2033
|
39,337
|
100,000
|
|
Jefferies Group LLC, Sr. Unsecd. Note, 2.750%, 10/15/2032
|
76,954
|
100,000
|
|
Raymond James Financial, Inc., Sr. Unsecd. Note, 4.650%, 4/1/2030
|
97,518
|
|
|
TOTAL
|
213,809
|
|
|
Financial Institution - Finance Companies—0.1%
|
|
50,000
|
|
Air Lease Corp., Sr. Unsecd. Note, 5.300%, 2/1/2028
|
49,106
|
85,000
|
|
Air Lease Corp., Sr. Unsecd. Note, 5.850%, 12/15/2027
|
84,967
|
45,000
|
|
ERAC USA Finance LLC, Sr. Unsecd. Note, 144A, 4.600%, 5/1/2028
|
43,753
|
|
|
TOTAL
|
177,826
|
|
|
Financial Institution - Insurance - Health—0.1%
|
|
90,000
|
|
Elevance Health, Inc., Sr. Unsecd. Note, 4.750%, 2/15/2033
|
87,450
|
145,000
|
|
UnitedHealth Group, Inc., Sr. Unsecd. Note, 3.050%, 5/15/2041
|
112,207
|
|
|
TOTAL
|
199,657
|
|
|
Financial Institution - Insurance - Life—0.2%
|
|
110,000
|
|
Lincoln National Corp., Sr. Unsecd. Note, 3.625%, 12/12/2026
|
102,382
|
100,000
|
|
Massachusetts Mutual Life Insurance Co., Sub. Note, 144A, 4.900%, 4/1/2077
|
85,567
|
70,000
|
|
Pacific Life Insurance Co., Sub. Note, 144A, 4.300%, 10/24/2067
|
53,362
|
100,000
|
|
Principal Financial Group, Inc., Sr. Unsecd. Note, 2.125%, 6/15/2030
|
81,246
|
75,000
|
|
Prudential Financial, Inc., Sr. Unsecd. Note, Series MTN, 4.600%, 5/15/2044
|
66,106
|
|
|
TOTAL
|
388,663
|
|
|
Financial Institution - Insurance - P&C—0.3%
|
|
30,000
|
|
Chubb INA Holdings, Inc., 3.350%, 5/3/2026
|
28,847
|
100,000
|
|
Chubb INA Holdings, Inc., Sr. Unsecd. Note, 1.375%, 9/15/2030
|
79,605
|
125,000
|
|
CNA Financial Corp., Sr. Unsecd. Note, 5.500%, 6/15/2033
|
122,001
|
200,000
|
|
Nationwide Mutual Insurance Co., Sub. Note, 144A, 9.375%, 8/15/2039
|
258,019
|
45,000
|
|
Travelers Cos., Inc., Sr. Unsecd. Note, 5.450%, 5/25/2053
|
47,138
|
|
|
TOTAL
|
535,610
|
|
|
Financial Institution - REIT - Apartment—0.2%
|
|
135,000
|
|
Avalonbay Communities, Inc., Sr. Unsecd. Note, Series MTN, 3.350%, 5/15/2027
|
126,090
|
135,000
|
|
Mid-America Apartment Communities LP, 4.000%, 11/15/2025
|
130,687
|
110,000
|
|
UDR, Inc., Sr. Unsecd. Note, Series GMTN, 3.500%, 1/15/2028
|
100,674
|
|
|
TOTAL
|
357,451
|
|
|
Financial Institution - REIT - Healthcare—0.2%
|
|
100,000
|
|
Healthcare Trust of America, Sr. Unsecd. Note, 2.000%, 3/15/2031
|
76,861
|
125,000
|
|
Physicians Realty Trust, Sr. Unsecd. Note, 3.950%, 1/15/2028
|
114,223
|
75,000
|
|
Welltower, Inc., Sr. Unsecd. Note, 2.800%, 6/1/2031
|
62,067
|
100,000
|
|
Welltower, Inc., Sr. Unsecd. Note, 4.250%, 4/1/2026
|
96,763
|
|
|
TOTAL
|
349,914
|
|
|
Financial Institution - REIT - Office—0.1%
|
|
130,000
|
|
Alexandria Real Estate Equities, Inc., Sr. Unsecd. Note, 1.875%, 2/1/2033
|
95,152
|
100,000
|
|
Boston Properties LP, Sr. Unsecd. Note, 3.650%, 2/1/2026
|
92,849
|
40,000
|
|
Piedmont Operating Partnership, LP, Sr. Unsecd. Note, 2.750%, 4/1/2032
|
27,013
|
|
|
TOTAL
|
215,014
|
|
|
Financial Institution - REIT - Other—0.1%
|
|
70,000
|
|
WP Carey, Inc., Sr. Unsecd. Note, 3.850%, 7/15/2029
|
63,628
|
Shares,
Principal
Amount
or Contracts
|
|
|
Value
|
|
|
CORPORATE BONDS—continued
|
|
|
|
Financial Institution - REIT - Other—continued
|
|
$ 50,000
|
|
WP Carey, Inc., Sr. Unsecd. Note, 4.600%, 4/1/2024
|
$ 49,325
|
|
|
TOTAL
|
112,953
|
|
|
Financial Institution - REIT - Retail—0.1%
|
|
135,000
|
|
Regency Centers LP, Sr. Unsecd. Note, 4.125%, 3/15/2028
|
126,291
|
|
|
Technology—0.8%
|
|
165,000
|
|
Apple, Inc., Sr. Unsecd. Note, 2.375%, 2/8/2041
|
121,822
|
65,000
|
|
Apple, Inc., Sr. Unsecd. Note, 2.400%, 8/20/2050
|
43,582
|
65,000
|
|
Apple, Inc., Sr. Unsecd. Note, 4.000%, 5/10/2028
|
63,983
|
112,000
|
|
Broadcom, Inc., Sr. Unsecd. Note, 4.110%, 9/15/2028
|
105,889
|
20,000
|
|
Broadcom, Inc., Sr. Unsecd. Note, 4.150%, 11/15/2030
|
18,411
|
5,000
|
|
Broadcom, Inc., Sr. Unsecd. Note, 144A, 3.187%, 11/15/2036
|
3,782
|
50,000
|
|
CDW LLC / CDW Finance, Sr. Unsecd. Note, 2.670%, 12/1/2026
|
44,951
|
100,000
|
|
Equifax, Inc., Sr. Unsecd. Note, 2.600%, 12/1/2024
|
95,290
|
30,000
|
|
Fidelity National Information Services, Inc., Sr. Unsecd. Note, 4.700%, 7/15/2027
|
29,215
|
35,000
|
|
Fidelity National Information Services, Inc., Sr. Unsecd. Note, 5.625%, 7/15/2052
|
33,031
|
95,000
|
|
Fiserv, Inc., Sr. Unsecd. Note, 3.500%, 7/1/2029
|
86,758
|
80,000
|
|
Fiserv, Inc., Sr. Unsecd. Note, 3.800%, 10/1/2023
|
79,606
|
100,000
|
|
Lam Research Corp., Sr. Unsecd. Note, 4.000%, 3/15/2029
|
96,564
|
65,000
|
|
Microsoft Corp., Sr. Unsecd. Note, 2.525%, 6/1/2050
|
45,005
|
200,000
|
|
Microsoft Corp., Sr. Unsecd. Note, 3.125%, 11/3/2025
|
192,579
|
125,000
|
|
Oracle Corp., Sr. Unsecd. Note, 3.600%, 4/1/2050
|
89,393
|
85,000
|
|
Trimble, Inc., Sr. Unsecd. Note, 6.100%, 3/15/2033
|
86,155
|
110,000
|
|
Verisk Analytics, Inc., Sr. Unsecd. Note, 4.125%, 3/15/2029
|
105,100
|
25,000
|
|
Verisk Analytics, Inc., Sr. Unsecd. Note, 5.500%, 6/15/2045
|
23,830
|
40,000
|
|
VMware, Inc., Sr. Unsecd. Note, 1.400%, 8/15/2026
|
35,341
|
35,000
|
|
VMware, Inc., Sr. Unsecd. Note, 2.200%, 8/15/2031
|
27,517
|
|
|
TOTAL
|
1,427,804
|
|
|
Technology Services—0.1%
|
|
110,000
|
|
Fortinet, Inc., Sr. Unsecd. Note, 1.000%, 3/15/2026
|
98,237
|
85,000
|
|
Global Payments, Inc., Sr. Unsecd. Note, 4.950%, 8/15/2027
|
82,888
|
90,000
|
|
Verisign, Inc., Sr. Unsecd. Note, 2.700%, 6/15/2031
|
74,964
|
|
|
TOTAL
|
256,089
|
|
|
Transportation - Railroads—0.2%
|
|
75,000
|
|
Burlington Northern Santa Fe Corp., Sr. Unsecd. Note, 3.000%, 4/1/2025
|
72,227
|
75,000
|
|
Burlington Northern Santa Fe Corp., Sr. Unsecd. Note, 5.200%, 4/15/2054
|
76,575
|
110,000
|
|
Canadian Pacific Railway Co., Sr. Unsecd. Note, 3.500%, 5/1/2050
|
84,367
|
65,000
|
|
Union Pacific Corp., Sr. Unsecd. Note, 2.375%, 5/20/2031
|
55,025
|
100,000
|
|
Union Pacific Corp., Sr. Unsecd. Note, 2.400%, 2/5/2030
|
87,004
|
|
|
TOTAL
|
375,198
|
|
|
Transportation - Services—0.3%
|
|
70,000
|
|
Enterprise Rent-A-Car USA Finance Co., Sr. Unsecd. Note, 144A, 4.900%, 5/1/2033
|
68,458
|
65,000
|
|
FedEx Corp., Sr. Unsecd. Note, 3.250%, 5/15/2041
|
48,600
|
80,000
|
|
GXO Logistics, Inc., Sr. Unsecd. Note, 1.650%, 7/15/2026
|
69,625
|
80,000
|
|
GXO Logistics, Inc., Sr. Unsecd. Note, 2.650%, 7/15/2031
|
62,369
|
30,000
|
|
Penske Truck Leasing Co. LP & PTL Finance Corp., Sr. Unsecd. Note, 144A, 5.550%, 5/1/2028
|
29,556
|
70,000
|
|
Penske Truck Leasing Co. LP & PTL Finance Corp., Sr. Unsecd. Note, 144A, 5.700%, 2/1/2028
|
69,140
|
50,000
|
|
Ryder System, Inc., Sr. Unsecd. Note, Series MTN, 2.850%, 3/1/2027
|
45,717
|
75,000
|
|
Ryder System, Inc., Sr. Unsecd. Note, Series MTN, 5.250%, 6/1/2028
|
74,110
|
|
|
TOTAL
|
467,575
|
Shares,
Principal
Amount
or Contracts
|
|
|
Value
|
|
|
CORPORATE BONDS—continued
|
|
|
|
Utility - Electric—1.1%
|
|
$ 165,000
|
|
Ameren Corp., Sr. Unsecd. Note, 1.750%, 3/15/2028
|
$ 141,433
|
50,000
|
|
American Electric Power Co., Inc., Jr. Sub. Note, 2.031%, 3/15/2024
|
48,639
|
60,000
|
|
American Electric Power Co., Inc., Sr. Unsecd. Note, 5.625%, 3/1/2033
|
61,040
|
100,000
|
|
Black Hills Corp., Sr. Unsecd. Note, 2.500%, 6/15/2030
|
82,634
|
75,000
|
|
Constellation Energy Generation LLC, Sr. Unsecd. Note, 5.800%, 3/1/2033
|
76,815
|
65,000
|
|
Dominion Energy, Inc., Jr. Sub. Note, 3.071%, 8/15/2024
|
62,804
|
100,000
|
|
Duke Energy Corp., Sr. Unsecd. Note, 2.650%, 9/1/2026
|
92,472
|
125,000
|
|
Duke Energy Corp., Sr. Unsecd. Note, 3.750%, 9/1/2046
|
94,692
|
75,000
|
|
Emera US Finance LP, Sr. Unsecd. Note, 3.550%, 6/15/2026
|
70,962
|
50,000
|
|
Emera US Finance LP, Sr. Unsecd. Note, 4.750%, 6/15/2046
|
40,634
|
100,000
|
|
Enel Finance International SA, Company Guarantee, 144A, 6.000%, 10/7/2039
|
98,329
|
190,000
|
|
Evergy Metro, Inc., Sr. Unsecd. Note, 4.200%, 3/15/2048
|
157,046
|
25,000
|
|
Exelon Corp., Sr. Unsecd. Note, 4.100%, 3/15/2052
|
20,198
|
100,000
|
|
Exelon Corp., Sr. Unsecd. Note, 4.700%, 4/15/2050
|
88,513
|
100,000
|
|
FirstEnergy Transmission LLC, Sr. Unsecd. Note, 144A, 4.550%, 4/1/2049
|
83,556
|
93,000
|
|
Fortis, Inc./Canada, Sr. Unsecd. Note, 3.055%, 10/4/2026
|
85,735
|
50,000
|
|
National Rural Utilities Cooperative Finance Corp., Sr. Sub. Note, 5.250%, 4/20/2046
|
47,000
|
200,000
|
|
NextEra Energy Capital Holdings, Inc., Sr. Unsecd. Note, 2.250%, 6/1/2030
|
166,568
|
65,000
|
|
NiSource Finance Corp., Sr. Unsecd. Note, 4.375%, 5/15/2047
|
55,416
|
10,000
|
|
NiSource, Inc., Sr. Unsecd. Note, 5.250%, 3/30/2028
|
10,002
|
100,000
|
|
PPL Capital Funding, Inc., Sr. Unsecd. Note, 3.100%, 5/15/2026
|
94,452
|
125,000
|
|
Puget Energy, Inc., Sec. Fac. Bond, 2.379%, 6/15/2028
|
107,914
|
100,000
|
|
Southern Co., Jr. Sub. Note, Series B, 4.000%, 1/15/2051
|
92,732
|
20,000
|
|
WEC Energy Group, Inc., Sr. Unsecd. Note, 5.150%, 10/1/2027
|
19,984
|
|
|
TOTAL
|
1,899,570
|
|
|
Utility - Natural Gas—0.3%
|
|
100,000
|
|
Enbridge Energy Partners LP, Sr. Unsecd. Note, 5.500%, 9/15/2040
|
94,766
|
40,000
|
|
National Fuel Gas Co., Sr. Unsecd. Note, 2.950%, 3/1/2031
|
32,031
|
70,000
|
|
National Fuel Gas Co., Sr. Unsecd. Note, 5.500%, 1/15/2026
|
69,040
|
130,000
|
|
Sempra Energy, Sr. Unsecd. Note, 3.700%, 4/1/2029
|
118,879
|
120,000
|
|
Southern Natural Gas, Sr. Unsecd. Note, 144A, 4.800%, 3/15/2047
|
101,461
|
90,000
|
|
TransCanada PipeLines Ltd., Sr. Secd. Note, 5.100%, 3/15/2049
|
83,946
|
|
|
TOTAL
|
500,123
|
|
|
TOTAL CORPORATE BONDS
(IDENTIFIED COST $22,531,888)
|
20,465,014
|
|
|
COMMERCIAL MORTGAGE-BACKED SECURITIES—0.5%
|
|
|
|
Agency Commercial Mortgage-Backed Securities—0.3%
|
|
228,020
|
|
FHLMC REMIC, Series K105, Class A1, 1.536%, 9/25/2029
|
200,490
|
290,000
|
|
FREMF Mortgage Trust 2015-K49 REMIC, Class B, 3.848%, 10/25/2048
|
275,920
|
|
|
TOTAL
|
476,410
|
|
|
Commercial Mortgage—0.2%
|
|
110,000
|
|
Bank 2022-BNK40, Class A4, 3.506%, 3/15/2064
|
95,283
|
85,000
|
|
Bank 2017-BN8, Class A4, 3.488%, 11/15/2050
|
77,120
|
200,000
|
|
Benchmark Mortgage Trust 2020-B19, Class A5, 1.850%, 9/15/2053
|
154,757
|
50,000
|
|
Commercial Mortgage Trust 2015-DC1, Class AM, 3.724%, 2/10/2048
|
46,118
|
100,000
|
|
JPMDB Commercial Mortgage Securities Trust 2016-C4, Class A3, 3.141%, 12/15/2049
|
90,534
|
|
|
TOTAL
|
463,812
|
|
|
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(IDENTIFIED COST $1,072,871)
|
940,222
|
Shares,
Principal
Amount
or Contracts
|
|
|
Value
|
|
|
FOREIGN GOVERNMENTS/AGENCIES—0.2%
|
|
|
|
Sovereign—0.2%
|
|
$ 200,000
|
|
Mexico, Government of, 3.750%, 1/11/2028
|
$ 190,174
|
100,000
|
|
Poland, Government of, 4.000%, 1/22/2024
|
99,077
|
|
|
TOTAL FOREIGN GOVERNMENTS/AGENCIES
(IDENTIFIED COST $298,935)
|
289,251
|
|
|
COLLATERALIZED MORTGAGE OBLIGATION—0.1%
|
|
|
|
Commercial Mortgage—0.1%
|
|
200,000
|
|
Fontainebleau Miami Beach Trust, Class B, 3.447%, 12/10/2036
(IDENTIFIED COST $204,802)
|
189,658
|
|
|
MORTGAGE-BACKED SECURITIES—0.0%
|
|
|
|
Government National Mortgage Association—0.0%
|
|
3,090
|
|
Government National Mortgage Association, Pool 2796, 7.000%, 8/20/2029
|
3,172
|
1,889
|
|
Government National Mortgage Association, Pool 3040, 7.000%, 2/20/2031
|
1,940
|
5,383
|
|
Government National Mortgage Association, Pool 3188, 6.500%, 1/20/2032
|
5,514
|
6,510
|
|
Government National Mortgage Association, Pool 3239, 6.500%, 5/20/2032
|
6,687
|
|
|
TOTAL MORTGAGE-BACKED SECURITIES
(IDENTIFIED COST $16,829)
|
17,313
|
|
|
ADJUSTABLE RATE MORTGAGE—0.0%
|
|
|
|
Federal National Mortgage Association—0.0%
|
|
1,551
|
2
|
Federal National Mortgage Association ARM, 4.094%, 9/1/2037
(IDENTIFIED COST $1,555)
|
1,588
|
|
|
PURCHASED PUT OPTIONS—0.2%
|
|
1,000
|
1
|
SPDR S&P 500 ETF Trust (PUT-Option), Notional Amount $44,328,000, Exercise Price $410. Expiration Date 8/18/2023
|
132,500
|
1,000
|
1
|
SPDR S&P 500 ETF Trust (PUT-Option), Notional Amount $44,328,000, Exercise Price $435. Expiration Date 7/7/2023
|
168,000
|
1,000
|
1
|
SPDR S&P 500 ETF Trust (PUT-Option), Notional Amount $44,328,000, Exercise Price $435. Expiration Date 7/21/2023
|
35,500
|
|
|
TOTAL PURCHASED PUT OPTIONS
(IDENTIFIED COST $443,024)
|
336,000
|
|
|
INVESTMENT COMPANIES—18.7%
|
|
1,642
|
|
Bank Loan Core Fund
|
14,239
|
253,237
|
|
Emerging Markets Core Fund
|
2,000,569
|
434,303
|
|
Federated Hermes High Income Bond Fund II, Class P
|
2,293,121
|
1,098
|
|
Federated Hermes Short-Intermediate Government Fund, Institutional Shares
|
10,657
|
2,972,433
|
|
Mortgage Core Fund
|
24,849,545
|
424,714
|
|
Project and Trade Finance Core Fund
|
3,716,244
|
|
|
TOTAL INVESTMENT COMPANIES
(IDENTIFIED COST $34,619,962)
|
32,884,375
|
|
|
REPURCHASE AGREEMENT—9.4%
|
|
$16,531,000
|
|
Interest in $1,976,000,000 joint repurchase agreement 5.06%, dated 6/30/2023 under which Bank of America, N.A. will
repurchase securities provided as collateral for $1,976,833,213 on 7/3/2023. The securities provided as collateral at the
end of
the period held with BNY Mellon as tri-party agent, were U.S. Government Agency securities with various maturities to
7/20/2052 and the market value of those underlying securities was $2,016,369,878.
(IDENTIFIED COST $16,531,000)
|
16,531,000
|
|
|
TOTAL INVESTMENT IN SECURITIES—99.3%
(IDENTIFIED COST $168,948,118)3
|
174,417,547
|
|
|
OTHER ASSETS AND LIABILITIES - NET—0.7%4
|
1,205,431
|
|
|
TOTAL NET ASSETS—100%
|
$175,622,978
|
Description
|
Number of
Contracts
|
Notional
Value
|
Expiration
Date
|
Value and
Unrealized
Appreciation
(Depreciation)
|
Long Futures:
|
|
|
|
|
S&P 500 E-Mini Long Futures
|
400
|
$89,765,000
|
September 2023
|
$2,602,398
|
United States Treasury Notes 2-Year Long Futures
|
50
|
$10,167,188
|
September 2023
|
$(117,691)
|
United States Treasury Notes 5-Year Long Futures
|
90
|
$9,638,438
|
September 2023
|
$(121,601)
|
United States Treasury Notes 10-Year Ultra Long Futures
|
20
|
$2,368,750
|
September 2023
|
$(15,670)
|
Short Futures:
|
|
|
|
|
United States Treasury Notes 10-Year Short Futures
|
300
|
$33,679,688
|
September 2023
|
$425,888
|
United States Treasury Ultra Bond Short Futures
|
10
|
$1,362,188
|
September 2023
|
$(19,007)
|
NET UNREALIZED APPRECIATION ON FUTURES CONTRACTS
|
$2,754,317
|
Affiliates
|
Value as of
12/31/2022
|
Purchases
at Cost
|
Proceeds
from Sales
|
Change in
Unrealized
Appreciation/
Depreciation
|
Net
Realized
Gain/
(Loss)
|
Value as of
6/30/2023
|
Shares
Held as of
6/30/2023
|
Dividend
Income
|
Bank Loan Core Fund
|
$13,706
|
$520
|
$—
|
$13
|
$—
|
$14,239
|
1,642
|
$632
|
Emerging Markets Core Fund
|
$2,389,776
|
$524,992
|
$(910,000)
|
$158,958
|
$(163,157)
|
$2,000,569
|
253,237
|
$91,155
|
Federated Hermes High Income Bond Fund II, Class P
|
$2,753,671
|
$166,458
|
$(600,000)
|
$(65,791)
|
$38,783
|
$2,293,121
|
434,303
|
$166,458
|
Federated Hermes Short-Intermediate Government
Fund, Institutional Shares
|
$10,633
|
$146
|
$—
|
$(122)
|
$—
|
$10,657
|
1,098
|
$209
|
Mortgage Core Fund
|
$21,642,062
|
$6,021,686
|
$(2,750,000)
|
$256,029
|
$(320,232)
|
$24,849,545
|
2,972,433
|
$515,618
|
Project and Trade Finance Core Fund
|
$3,567,737
|
$111,219
|
$—
|
$37,288
|
$—
|
$3,716,244
|
424,714
|
$136,136
|
TOTAL OF AFFILIATED TRANSACTIONS
|
$30,377,585
|
$6,825,021
|
$(4,260,000)
|
$386,375
|
$(444,606)
|
$32,884,375
|
4,087,427
|
$910,208
|
1
|
Non-income-producing security.
|
2
|
Floating/adjustable note with current rate and current maturity or next reset date shown. Adjustable rate mortgage security
coupons are based on the weighted
average note rates of the underlying mortgages less the guarantee and servicing fees. These securities do not indicate an
index and spread in their description
above.
|
3
|
The cost of investments for federal tax purposes amounts to $168,891,797.
|
4
|
Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities.
|
Valuation Inputs
|
||||
|
Level 1—
Quoted
Prices
|
Level 2—
Other
Significant
Observable
Inputs
|
Level 3—
Significant
Unobservable
Inputs
|
Total
|
Equity Securities:
|
|
|
|
|
Common Stocks
|
|
|
|
|
Domestic
|
$68,786,298
|
$—
|
$—
|
$68,786,298
|
International
|
2,597,258
|
—
|
—
|
2,597,258
|
Debt Securities:
|
|
|
|
|
U.S. Treasuries
|
—
|
31,379,570
|
—
|
31,379,570
|
Corporate Bonds
|
—
|
20,465,014
|
—
|
20,465,014
|
Commercial Mortgage-Backed Securities
|
—
|
940,222
|
—
|
940,222
|
Foreign Governments/Agencies
|
—
|
289,251
|
—
|
289,251
|
Collateralized Mortgage Obligation
|
—
|
189,658
|
—
|
189,658
|
Mortgage-Backed Securities
|
—
|
17,313
|
—
|
17,313
|
Adjustable Rate Mortgage
|
—
|
1,588
|
—
|
1,588
|
Purchased Put Options
|
336,000
|
—
|
—
|
336,000
|
Investment Companies1
|
29,168,131
|
—
|
—
|
32,884,375
|
Repurchase Agreement
|
—
|
16,531,000
|
—
|
16,531,000
|
TOTAL SECURITIES
|
$100,887,687
|
$69,813,616
|
$—
|
$174,417,547
|
Other Financial Instruments:2
|
|
|
|
|
Assets
|
$3,028,286
|
$—
|
$—
|
$3,028,286
|
Liabilities
|
(273,969)
|
—
|
—
|
(273,969)
|
TOTAL OTHER FINANCIAL INSTRUMENTS
|
$2,754,317
|
$—
|
$—
|
$2,754,317
|
1
|
As permitted by U.S. generally accepted accounting principles (GAAP), an Investment Company valued at $3,716,244 is measured
at fair value using the net asset
value (NAV) per share practical expedient and has not been categorized in the chart above but is included in the Total column.
The amount included herein is
intended to permit reconciliation of the fair value classifications to the amounts presented on the Statement of Assets and
Liabilities. The price of shares
redeemed of Project and Trade Finance Core Fund may be determined as of the closing NAV of the fund up to twenty-four days
after receipt of a shareholder
redemption request.
|
2
|
Other financial instruments are futures contracts.
|
The following acronym(s) are used throughout this portfolio:
|
|
|
ARM
|
—Adjustable Rate Mortgage
|
|
ETF
|
—Exchange-Traded Fund
|
|
FHLMC
|
—Federal Home Loan Mortgage Corporation
|
|
FREMF
|
—Freddie Mac Multifamily K-Deals
|
|
GMTN
|
—Global Medium Term Note
|
|
MTN
|
—Medium Term Note
|
|
REIT
|
—Real Estate Investment Trust
|
|
REMIC
|
—Real Estate Mortgage Investment Conduit
|
|
SPDR
|
—Standard & Poor’s Depositary Receipt
|
|
Six Months
Ended
(unaudited)
6/30/2023
|
Year Ended December 31,
|
||||
|
2022
|
2021
|
2020
|
2019
|
2018
|
|
Net Asset Value, Beginning of Period
|
$8.46
|
$12.90
|
$11.09
|
$11.30
|
$9.60
|
$10.80
|
Income From Investment Operations:
|
|
|
|
|
|
|
Net investment income (loss)1
|
0.10
|
0.16
|
0.19
|
0.19
|
0.24
|
0.23
|
Net realized and unrealized gain (loss)
|
0.25
|
(1.72)
|
1.83
|
(0.13)
|
1.68
|
(1.13)
|
Total From Investment Operations
|
0.35
|
(1.56)
|
2.02
|
0.06
|
1.92
|
(0.90)
|
Less Distributions:
|
|
|
|
|
|
|
Distributions from net investment income
|
(0.16)
|
(0.21)
|
(0.21)
|
(0.27)
|
(0.22)
|
(0.30)
|
Distributions from net realized gain
|
—
|
(2.67)
|
—
|
—
|
—
|
—
|
Total Distributions
|
(0.16)
|
(2.88)
|
(0.21)
|
(0.27)
|
(0.22)
|
(0.30)
|
Net Asset Value, End of Period
|
$8.65
|
$8.46
|
$12.90
|
$11.09
|
$11.30
|
$9.60
|
Total Return2
|
4.22%
|
(13.75)%
|
18.51%
|
0.93%
|
20.23%
|
(8.49)%
|
Ratios to Average Net Assets:
|
|
|
|
|
|
|
Net expenses3
|
0.95%4
|
0.95%
|
0.93%
|
0.92%
|
0.91%
|
0.89%
|
Net investment income
|
2.32%4
|
1.72%
|
1.58%
|
1.82%
|
2.28%
|
2.26%
|
Expense waiver/reimbursement5
|
0.11%4
|
0.11%
|
0.02%
|
0.01%
|
0.02%
|
0.03%
|
Supplemental Data:
|
|
|
|
|
|
|
Net assets, end of period (000 omitted)
|
$174,044
|
$173,194
|
$217,682
|
$586,281
|
$651,498
|
$632,957
|
Portfolio turnover6
|
28%
|
51%
|
60%
|
61%
|
47%
|
96%
|
1
|
Per share numbers have been calculated using the average shares method.
|
2
|
Based on net asset value. Total returns do not reflect any additional fees or expenses that may be imposed by separate accounts
of insurance companies or in
connection with any variable annuity or variable life insurance contract. Total returns for periods of less than one year
are not annualized.
|
3
|
Amount does not reflect net expenses incurred by investment companies in which the Fund may invest.
|
4
|
Computed on an annualized basis.
|
5
|
This expense decrease is reflected in both the net expense and the net investment income ratios shown above. Amount does not
reflect expense waiver/
reimbursement recorded by investment companies in which the Fund may invest.
|
6
|
Securities that mature are considered sales for purposes of this calculation.
|
|
Six Months
Ended
(unaudited)
6/30/2023
|
Year Ended December 31,
|
Period
Ended
12/31/20181
|
|||
|
2022
|
2021
|
2020
|
2019
|
||
Net Asset Value, Beginning of Period
|
$8.63
|
$12.90
|
$11.09
|
$11.27
|
$9.59
|
$10.08
|
Income From Investment Operations:
|
|
|
|
|
|
|
Net investment income (loss)2
|
0.09
|
0.14
|
0.16
|
0.16
|
0.21
|
0.13
|
Net realized and unrealized gain (loss)
|
0.25
|
(1.74)
|
1.84
|
(0.12)
|
1.68
|
(0.62)
|
Total From Investment Operations
|
0.34
|
(1.60)
|
2.00
|
0.04
|
1.89
|
(0.49)
|
Less Distributions:
|
|
|
|
|
|
|
Distributions from net investment income
|
(0.14)
|
—
|
(0.19)
|
(0.22)
|
(0.21)
|
—
|
Distributions from net realized gain
|
—
|
(2.67)
|
—
|
—
|
—
|
—
|
Total Distributions
|
(0.14)
|
(2.67)
|
(0.19)
|
(0.22)
|
(0.21)
|
—
|
Net Asset Value, End of Period
|
$8.83
|
$8.63
|
$12.90
|
$11.09
|
$11.27
|
$9.59
|
Total Return3
|
3.97%
|
(14.00)%
|
18.25%
|
0.71%
|
19.92%
|
(4.86)%
|
Ratios to Average Net Assets:
|
|
|
|
|
|
|
Net expenses4
|
1.20%5
|
1.20%
|
1.16%
|
1.17%
|
1.16%
|
1.15%5
|
Net investment income
|
2.07%5
|
1.47%
|
1.38%
|
1.57%
|
2.03%
|
1.91%5
|
Expense waiver/reimbursement6
|
0.11%5
|
0.11%
|
0.02%
|
0.01%
|
0.02%
|
0.02%5
|
Supplemental Data:
|
|
|
|
|
|
|
Net assets, end of period (000 omitted)
|
$1,579
|
$1,576
|
$1,949
|
$39,680
|
$44,161
|
$44,037
|
Portfolio turnover7
|
28%
|
51%
|
60%
|
61%
|
47%
|
96%8
|
1
|
Reflects operations for the period from April 26, 2018 (commencement of operations) to December 31, 2018.
|
2
|
Per share numbers have been calculated using the average shares method.
|
3
|
Based on net asset value. Total returns do not reflect any additional fees or expenses that may be imposed by separate accounts
of insurance companies or in
connection with any variable annuity or variable life insurance contract. Total returns for periods of less than one year
are not annualized.
|
4
|
Amount does not reflect net expenses incurred by investment companies in which the Fund may invest.
|
5
|
Computed on an annualized basis.
|
6
|
This expense decrease is reflected in both the net expense and the net investment income ratios shown above. Amount does not
reflect expense waiver/
reimbursement recorded by investment companies in which the Fund may invest.
|
7
|
Securities that mature are considered sales for purposes of this calculation.
|
8
|
Portfolio turnover is calculated at the Fund level. Percentage indicated was calculated for the year ended December 31, 2018.
|
Assets:
|
|
Investment in securities, at value including $32,884,375 of investments in affiliated holdings* (identified cost $168,948,118, including
$34,619,962 of identified cost in affiliated holdings)
|
$174,417,547
|
Due from broker (Note 2)
|
2,000
|
Income receivable
|
511,204
|
Income receivable from affiliated holdings
|
135,125
|
Receivable for investments sold
|
172,832
|
Receivable for shares sold
|
1,920
|
Receivable for variation margin on futures contracts
|
999,705
|
Total Assets
|
176,240,333
|
Liabilities:
|
|
Payable for investments purchased
|
346,329
|
Payable for shares redeemed
|
65,374
|
Bank overdraft denominated in foreign currencies (identified cost $122,342)
|
122,284
|
Payable to bank
|
1,197
|
Payable for investment adviser fee (Note 5)
|
3,048
|
Payable for administrative fee (Note 5)
|
714
|
Payable for custodian fees
|
10,080
|
Payable for legal fees
|
1,423
|
Payable for portfolio accounting fees
|
39,862
|
Payable for distribution services fee (Note 5)
|
322
|
Accrued expenses (Note 5)
|
26,722
|
Total Liabilities
|
617,355
|
Net assets for 20,309,164 shares outstanding
|
$175,622,978
|
Net Assets Consist of:
|
|
Paid-in capital
|
$188,851,017
|
Total distributable earnings (loss)
|
(13,228,039)
|
Total Net Assets
|
$175,622,978
|
Net Asset Value, Offering Price and Redemption Proceeds Per Share:
|
|
Primary Shares:
|
|
$174,044,137 ÷ 20,130,459 shares outstanding, no par value, unlimited shares authorized
|
$8.65
|
Service Shares:
|
|
$1,578,841 ÷ 178,705 shares outstanding, no par value, unlimited shares authorized
|
$8.83
|
*
|
See information listed after the Fund’s Portfolio of Investments.
|
Investment Income:
|
|
Dividends (including $910,208 received from affiliated holdings* and net of foreign taxes withheld of $362)
|
$1,672,727
|
Interest
|
1,155,025
|
TOTAL INCOME
|
2,827,752
|
Expenses:
|
|
Investment adviser fee (Note 5)
|
647,615
|
Administrative fee (Note 5)
|
133,470
|
Custodian fees
|
17,101
|
Transfer agent fees
|
8,695
|
Directors’/Trustees’ fees (Note 5)
|
1,076
|
Auditing fees
|
18,000
|
Legal fees
|
6,027
|
Portfolio accounting fees
|
60,028
|
Distribution services fee (Note 5)
|
1,958
|
Printing and postage
|
15,432
|
Miscellaneous (Note 5)
|
14,334
|
TOTAL EXPENSES
|
923,736
|
Waiver and Reimbursement:
|
|
Waiver/reimbursement of investment adviser fee (Note 5)
|
(96,906)
|
Net expenses
|
826,830
|
Net investment income
|
2,000,922
|
Realized and Unrealized Gain (Loss) on Investments and Futures Contracts:
|
|
Net realized loss on investments (including net realized loss of $(444,606) on sales of investments in affiliated holdings*)
|
(2,514,903)
|
Net realized gain on futures contracts
|
4,047,843
|
Net change in unrealized appreciation of investments (including net change in unrealized depreciation of $386,375 on investments
in affiliated
holdings*)
|
1,238,778
|
Net change in unrealized appreciation of futures contracts
|
2,271,138
|
Net realized and unrealized gain (loss) on investments and futures contracts
|
5,042,856
|
Change in net assets resulting from operations
|
$7,043,778
|
*
|
See information listed after the Fund’s Portfolio of Investments.
|
|
Six Months
Ended
(unaudited)
6/30/2023
|
Year Ended
12/31/2022
|
Increase (Decrease) in Net Assets
|
|
|
Operations:
|
|
|
Net investment income
|
$2,000,922
|
$3,233,732
|
Net realized gain (loss)
|
1,532,940
|
(9,154,345)
|
Net change in unrealized appreciation/depreciation
|
3,509,916
|
(23,779,774)
|
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS
|
7,043,778
|
(29,700,387)
|
Distributions to Shareholders:
|
|
|
Primary Shares
|
(3,205,320)
|
(47,808,168)
|
Service Shares
|
(24,674)
|
(400,234)
|
CHANGE IN NET ASSETS RESULTING FROM DISTRIBUTIONS TO SHAREHOLDERS
|
(3,229,994)
|
(48,208,402)
|
Share Transactions:
|
|
|
Proceeds from sale of shares
|
1,669,249
|
5,130,009
|
Net asset value of shares issued to shareholders in payment of distributions declared
|
3,229,992
|
48,208,376
|
Cost of shares redeemed
|
(7,859,730)
|
(20,291,100)
|
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS
|
(2,960,489)
|
33,047,285
|
Change in net assets
|
853,295
|
(44,861,504)
|
Net Assets:
|
|
|
Beginning of period
|
174,769,683
|
219,631,187
|
End of period
|
$175,622,978
|
$174,769,683
|
Fair Value of Derivative Instruments
|
||
|
Assets
|
|
|
Statement of
Assets and
Liabilities
Location
|
Fair
Value
|
Derivatives not accounted for as hedging
instruments under ASC Topic 815
|
|
|
Interest rate contracts
|
Receivable for variation
margin on futures contracts
|
$151,919*
|
Equity contracts
|
Receivable for variation
margin on futures contracts
|
2,602,398*
|
Equity contracts
|
Purchased options, within
Investment in securities at value
|
336,000
|
Total derivatives not accounted for as hedging instruments under ASC Topic 815
|
|
$3,090,317
|
*
|
Includes cumulative net appreciation of futures contracts as reported in the footnotes to the Portfolio of Investments. Only the current day’s variation margin is
reported within the Statement of Assets and Liabilities.
|
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
|
|||
|
Futures
Contracts
|
Purchased
Options
Contracts1
|
Total
|
Interest rate contracts
|
$708,237
|
$—
|
$708,237
|
Equity contracts
|
3,339,606
|
(3,542,928)
|
(203,322)
|
TOTAL
|
$4,047,843
|
$(3,542,928)
|
$504,915
|
1
|
The net realized loss on Purchased Options Contracts is found within the Net realized loss on investments on the Statement
of Operations.
|
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
|
|||
|
Futures
Contracts
|
Purchased
Options
Contracts2
|
Total
|
Interest rate contracts
|
$(369,406)
|
$—
|
$(369,406)
|
Equity contracts
|
2,640,544
|
(83,601)
|
2,556,943
|
TOTAL
|
$2,271,138
|
$(83,601)
|
$2,187,537
|
2
|
The net change in unrealized depreciation of Purchased Options Contracts is found within the Net change in unrealized appreciation
of investments on the
Statement of Operations.
|
|
Six Months Ended
6/30/2023
|
Year Ended
12/31/2022
|
||
Primary Shares:
|
Shares
|
Amount
|
Shares
|
Amount
|
Shares sold
|
195,726
|
$1,660,702
|
530,991
|
$4,916,770
|
Shares issued to shareholders in payment of distributions declared
|
388,995
|
3,205,319
|
5,219,233
|
47,808,168
|
Shares redeemed
|
(916,125)
|
(7,792,358)
|
(2,158,898)
|
(19,972,108)
|
NET CHANGE RESULTING FROM PRIMARY SHARE TRANSACTIONS
|
(331,404)
|
$(2,926,337)
|
3,591,326
|
$32,752,830
|
|
Six Months Ended
6/30/2023
|
Year Ended
12/31/2022
|
||
Service Shares:
|
Shares
|
Amount
|
Shares
|
Amount
|
Shares sold
|
978
|
$8,547
|
21,072
|
$213,239
|
Shares issued to shareholders in payment of distributions declared
|
2,930
|
24,673
|
42,757
|
400,208
|
Shares redeemed
|
(7,765)
|
(67,372)
|
(32,386)
|
(318,992)
|
NET CHANGE RESULTING FROM SERVICE SHARE TRANSACTIONS
|
(3,857)
|
$(34,152)
|
31,443
|
$294,455
|
NET CHANGE RESULTING FROM TOTAL FUND SHARE TRANSACTIONS
|
(335,261)
|
$(2,960,489)
|
3,622,769
|
$33,047,285
|
Short-Term
|
Long-Term
|
Total
|
$4,527,589
|
$16,965,617
|
$21,493,206
|
Administrative Fee
|
Average Daily Net Assets
of the Investment Complex
|
0.100%
|
on assets up to $50 billion
|
0.075%
|
on assets over $50 billion
|
|
Distribution Services
Fees Incurred
|
Service Shares
|
$1,958
|
Purchases
|
$37,612,779
|
Sales
|
$31,687,280
|
|
Beginning
Account Value
1/1/2023
|
Ending
Account Value
6/30/2023
|
Expenses Paid
During Period1
|
Actual:
|
|
|
|
Primary Shares
|
$1,000
|
$1,042.20
|
$4.81
|
Service Shares
|
$1,000
|
$1,039.70
|
$6.07
|
Hypothetical (assuming a 5% return before expenses):
|
|
|
|
Primary Shares
|
$1,000
|
$1,020.08
|
$4.76
|
Service Shares
|
$1,000
|
$1,018.84
|
$6.01
|
1
|
Expenses are equal to the Fund’s annualized net expense ratios, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the
one-half-year period). The expenses shown in the table do not include the charges and expenses imposed by the insurance company
under the variable insurance
product contract. Please refer to the variable insurance product prospectus for a complete listing of these expenses. The
annualized net expense ratios are as
follows:
|
Primary Shares
|
0.95%
|
Service Shares
|
1.20%
|
Share Class
|
Primary
|
Service
|
|
|
|
|
|
|
Security Type
|
Percentage of
Total Net Assets
|
Corporate Bonds
|
96.9%
|
Mortgage-Backed Securities2,3
|
0.0%
|
Securities Lending Collateral4
|
1.3%
|
Cash Equivalents5
|
2.2%
|
Derivative Contracts3,6
|
(0.0)%
|
Other Assets and Liabilities—Net7
|
(0.4)%
|
TOTAL
|
100%
|
1
|
See the Fund’s Prospectus and Statement of Additional Information for a description of these security types.
|
2
|
For purposes of this table, mortgage-backed securities include mortgage-backed securities guaranteed by Government Sponsored
Entities.
|
3
|
Represents less than 0.1%.
|
4
|
Represents cash collateral received for portfolio securities on loan that may be invested in affiliated money market funds,
other money market instruments and/or
repurchase agreements.
|
5
|
Cash Equivalents include any investments in money market mutual funds and/or overnight repurchase agreements other than those
representing cash collateral
for securities lending.
|
6
|
Based upon net unrealized appreciation (depreciation) or value of the derivative contracts as applicable. Derivative contracts
may consist of futures, forwards,
options and swaps. The impact of a derivative contract on the Fund’s performance may be larger than its unrealized appreciation (depreciation) or value may
indicate. In many cases, the notional value or amount of a derivative contract may provide a better indication of the contract’s significance to the portfolio. More
complete information regarding the Fund’s direct investments in derivative contracts, including unrealized appreciation (depreciation), value and notional values
or amounts of such contracts, can be found in the table at the end of the Portfolio of Investments included in this Report.
|
7
|
Assets, other than investments in securities and derivative contracts, less liabilities. See Statement of Assets and Liabilities.
|
Principal
Amount
|
|
|
Value
|
|
|
CORPORATE BONDS—96.9%
|
|
|
|
Basic Industry - Chemicals—0.3%
|
|
$ 500,000
|
|
RPM International, Inc., Sr. Unsecd. Note, 4.550%, 3/1/2029
|
$ 469,130
|
|
|
Basic Industry - Metals & Mining—0.7%
|
|
350,000
|
|
Anglo American Capital PLC, Sr. Unsecd. Note, 144A, 2.250%, 3/17/2028
|
301,175
|
200,000
|
|
Anglo American Capital PLC, Sr. Unsecd. Note, 144A, 2.875%, 3/17/2031
|
165,275
|
200,000
|
|
Anglo American Capital PLC, Sr. Unsecd. Note, 144A, 5.500%, 5/2/2033
|
195,504
|
350,000
|
|
Glencore Funding LLC, Sr. Unsecd. Note, 144A, 1.625%, 4/27/2026
|
315,825
|
|
|
TOTAL
|
977,779
|
|
|
Capital Goods - Aerospace & Defense—2.8%
|
|
600,000
|
|
Airbus Group SE, Sr. Unsecd. Note, 144A, 3.150%, 4/10/2027
|
561,756
|
280,000
|
|
BAE Systems Holdings, Inc., Sr. Unsecd. Note, 144A, 3.850%, 12/15/2025
|
268,680
|
200,000
|
|
BAE Systems PLC, Sr. Unsecd. Note, 144A, 3.400%, 4/15/2030
|
181,039
|
600,000
|
|
Boeing Co., Sr. Unsecd. Note, 2.700%, 2/1/2027
|
548,725
|
275,000
|
|
General Dynamics Corp., Sr. Unsecd. Note, 3.250%, 4/1/2025
|
266,031
|
410,000
|
|
Huntington Ingalls Industries, Inc., Sr. Unsecd. Note, 3.483%, 12/1/2027
|
376,091
|
600,000
|
|
Leidos, Inc., Sr. Unsecd. Note, Series WI, 2.300%, 2/15/2031
|
473,156
|
335,000
|
|
Leidos, Inc., Sr. Unsecd. Note, Series WI, 3.625%, 5/15/2025
|
321,492
|
800,000
|
|
Raytheon Technologies Corp., Sr. Unsecd. Note, 4.125%, 11/16/2028
|
771,044
|
460,000
|
1
|
Textron Financial Corp., Jr. Sub. Note, 144A, 7.055% (3-month USLIBOR +1.735%), 2/15/2042
|
339,430
|
|
|
TOTAL
|
4,107,444
|
|
|
Capital Goods - Building Materials—1.1%
|
|
415,000
|
|
Allegion PLC, Sr. Unsecd. Note, 3.500%, 10/1/2029
|
366,851
|
800,000
|
|
Allegion US Holdings Co., Inc., Sr. Unsecd. Note, 3.200%, 10/1/2024
|
768,590
|
300,000
|
|
Masco Corp., Sr. Unsecd. Note, 2.000%, 10/1/2030
|
237,249
|
300,000
|
|
Masco Corp., Sr. Unsecd. Note, 3.500%, 11/15/2027
|
280,562
|
|
|
TOTAL
|
1,653,252
|
|
|
Capital Goods - Construction Machinery—1.8%
|
|
500,000
|
|
Ashtead Capital, Inc., Sr. Unsecd. Note, 144A, 1.500%, 8/12/2026
|
437,283
|
205,000
|
|
Ashtead Capital, Inc., Sr. Unsecd. Note, 144A, 5.550%, 5/30/2033
|
200,030
|
600,000
|
|
CNH Industrial Capital America LLC, Sr. Unsecd. Note, 1.450%, 7/15/2026
|
530,724
|
595,000
|
|
CNH Industrial NV, Sr. Unsecd. Note, Series MTN, 3.850%, 11/15/2027
|
559,630
|
500,000
|
|
John Deere Capital Corp., Sr. Unsecd. Note, 3.400%, 6/6/2025
|
484,454
|
510,000
|
|
Weir Group PLC/The, Sr. Unsecd. Note, 144A, 2.200%, 5/13/2026
|
457,081
|
|
|
TOTAL
|
2,669,202
|
|
|
Capital Goods - Diversified Manufacturing—2.7%
|
|
700,000
|
|
GE Capital Funding LLC, Sr. Unsecd. Note, 4.400%, 5/15/2030
|
649,971
|
205,000
|
|
Honeywell International, Inc., Sr. Unsecd. Note, 1.350%, 6/1/2025
|
191,350
|
400,000
|
|
Honeywell International, Inc., Sr. Unsecd. Note, 1.950%, 6/1/2030
|
336,463
|
555,000
|
|
Hubbell, Inc., Sr. Unsecd. Note, 2.300%, 3/15/2031
|
458,300
|
585,000
|
|
Lennox International, Inc., Sr. Unsecd. Note, 1.700%, 8/1/2027
|
508,781
|
430,000
|
|
Roper Technologies, Inc., Sr. Unsecd. Note, 2.000%, 6/30/2030
|
351,850
|
875,000
|
|
Roper Technologies, Inc., Sr. Unsecd. Note, 3.800%, 12/15/2026
|
837,353
|
500,000
|
|
Vontier Corp., Sr. Unsecd. Note, Series WI, 2.400%, 4/1/2028
|
417,117
|
235,000
|
|
Wabtec Corp., Sr. Unsecd. Note, 3.200%, 6/15/2025
|
223,195
|
|
|
TOTAL
|
3,974,380
|
|
|
Capital Goods - Packaging—0.3%
|
|
500,000
|
|
WestRock Co., Sr. Unsecd. Note, Series WI, 3.750%, 3/15/2025
|
481,330
|
|
|
Communications - Cable & Satellite—1.9%
|
|
1,000,000
|
|
CCO Safari II LLC, 4.908%, 7/23/2025
|
980,947
|
Principal
Amount
|
|
|
Value
|
|
|
CORPORATE BONDS—continued
|
|
|
|
Communications - Cable & Satellite—continued
|
|
$ 900,000
|
|
Comcast Corp., Sr. Unsecd. Note, 2.350%, 1/15/2027
|
$ 826,791
|
300,000
|
|
Comcast Corp., Sr. Unsecd. Note, 3.300%, 2/1/2027
|
284,846
|
750,000
|
|
Comcast Corp., Sr. Unsecd. Note, 3.950%, 10/15/2025
|
731,290
|
|
|
TOTAL
|
2,823,874
|
|
|
Communications - Media & Entertainment—2.0%
|
|
300,000
|
|
British Sky Broadcasting Group PLC, Sr. Unsecd. Note, 144A, 3.750%, 9/16/2024
|
292,969
|
220,000
|
|
Meta Platforms, Inc., Sr. Unsecd. Note, 3.500%, 8/15/2027
|
208,999
|
250,000
|
|
Meta Platforms, Inc., Sr. Unsecd. Note, 3.850%, 8/15/2032
|
232,335
|
500,000
|
|
Netflix, Inc., Sr. Unsecd. Note, 4.375%, 11/15/2026
|
488,716
|
310,000
|
2
|
Paramount Global, Sr. Unsecd. Note, 4.200%, 5/19/2032
|
259,926
|
805,000
|
|
S&P Global, Inc., Sr. Unsecd. Note, 2.900%, 3/1/2032
|
698,069
|
355,000
|
|
Warnermedia Holdings, Inc., Sr. Unsecd. Note, 3.755%, 3/15/2027
|
331,274
|
500,000
|
|
Warnermedia Holdings, Inc., Sr. Unsecd. Note, 4.054%, 3/15/2029
|
457,286
|
|
|
TOTAL
|
2,969,574
|
|
|
Communications - Telecom Wireless—1.6%
|
|
500,000
|
|
American Tower Corp., Sr. Unsecd. Note, 1.450%, 9/15/2026
|
440,337
|
180,000
|
|
Crown Castle, Inc., Sr. Unsecd. Note, 2.250%, 1/15/2031
|
146,867
|
250,000
|
|
Crown Castle, Inc., Sr. Unsecd. Note, 4.800%, 9/1/2028
|
242,770
|
250,000
|
|
Crown Castle, Inc., Sr. Unsecd. Note, 5.100%, 5/1/2033
|
245,859
|
450,000
|
|
T-Mobile USA, Inc., Series WI, 3.750%, 4/15/2027
|
426,190
|
450,000
|
|
T-Mobile USA, Inc., Sec. Fac. Bond, Series WI, 3.875%, 4/15/2030
|
414,839
|
395,000
|
|
Vodafone Group PLC, Sr. Unsecd. Note, 4.125%, 5/30/2025
|
385,573
|
|
|
TOTAL
|
2,302,435
|
|
|
Communications - Telecom Wirelines—1.6%
|
|
300,000
|
|
AT&T, Inc., Sr. Unsecd. Note, 2.300%, 6/1/2027
|
269,953
|
877,000
|
|
AT&T, Inc., Sr. Unsecd. Note, 2.550%, 12/1/2033
|
689,165
|
250,000
|
|
Telefonica SA, Company Guarantee, 7.045%, 6/20/2036
|
272,799
|
300,000
|
|
Verizon Communications, Inc., Sr. Unsecd. Note, 0.850%, 11/20/2025
|
270,698
|
800,000
|
|
Verizon Communications, Inc., Sr. Unsecd. Note, 1.750%, 1/20/2031
|
631,461
|
110,000
|
|
Verizon Communications, Inc., Sr. Unsecd. Note, 2.550%, 3/21/2031
|
91,875
|
175,000
|
2
|
Verizon Communications, Inc., Sr. Unsecd. Note, 3.150%, 3/22/2030
|
155,609
|
|
|
TOTAL
|
2,381,560
|
|
|
Consumer Cyclical - Automotive—3.9%
|
|
605,000
|
|
Daimler Trucks Financial NA, Sr. Unsecd. Note, 144A, 2.000%, 12/14/2026
|
540,468
|
300,000
|
2
|
Daimler Trucks Financial NA, Sr. Unsecd. Note, 144A, 5.125%, 1/19/2028
|
297,519
|
250,000
|
|
Ford Motor Co., Sr. Unsecd. Note, 4.346%, 12/8/2026
|
241,841
|
250,000
|
2
|
General Motors Co., Sr. Unsecd. Note, 4.200%, 10/1/2027
|
237,006
|
250,000
|
|
General Motors Co., Sr. Unsecd. Note, 6.125%, 10/1/2025
|
251,800
|
500,000
|
|
General Motors Financial Co., Inc., 1.250%, 1/8/2026
|
446,317
|
500,000
|
|
General Motors Financial Co., Inc., Sr. Unsecd. Note, 2.400%, 4/10/2028
|
431,419
|
300,000
|
|
General Motors Financial Co., Inc., Sr. Unsecd. Note, 4.000%, 10/6/2026
|
284,653
|
210,000
|
|
General Motors Financial Co., Inc., Sr. Unsecd. Note, 5.850%, 4/6/2030
|
208,366
|
1,000,000
|
|
Mercedes-Benz Finance NA LLC, Sr. Unsecd. Note, 144A, 3.250%, 8/1/2024
|
974,132
|
680,000
|
|
Nissan Motor Acceptance Company LLC., Sr. Unsecd. Note, 144A, 1.125%, 9/16/2024
|
633,725
|
200,000
|
|
Stellantis Finance US, Inc., Sr. Unsecd. Note, 144A, 1.711%, 1/29/2027
|
175,355
|
500,000
|
|
Toyota Motor Credit Corp., Sr. Unsecd. Note, 3.950%, 6/30/2025
|
489,271
|
500,000
|
|
Volkswagen Group of America Finance LLC, Sr. Unsecd. Note, 144A, 1.250%, 11/24/2025
|
450,860
|
|
|
TOTAL
|
5,662,732
|
|
|
Consumer Cyclical - Retailers—4.0%
|
|
1,000,000
|
|
Advance Auto Parts, Inc., Sr. Unsecd. Note, Series WI, 3.900%, 4/15/2030
|
852,745
|
470,000
|
|
Alimentation Couche-Tard, Inc., Sr. Unsecd. Note, 144A, 2.950%, 1/25/2030
|
404,246
|
Principal
Amount
|
|
|
Value
|
|
|
CORPORATE BONDS—continued
|
|
|
|
Consumer Cyclical - Retailers—continued
|
|
$ 265,000
|
|
AutoNation, Inc., Sr. Unsecd. Note, 4.750%, 6/1/2030
|
$ 247,976
|
240,000
|
|
AutoZone, Inc., Sr. Unsecd. Note, 4.750%, 2/1/2033
|
230,016
|
275,000
|
|
Costco Wholesale Corp., Sr. Unsecd. Note, 1.375%, 6/20/2027
|
242,951
|
1,290,000
|
|
CVS Health Corp., Sr. Unsecd. Note, 4.300%, 3/25/2028
|
1,244,992
|
500,000
|
|
Dollar Tree, Inc., Sr. Unsecd. Note, 4.000%, 5/15/2025
|
484,245
|
800,000
|
|
Home Depot, Inc., Sr. Unsecd. Note, 2.125%, 9/15/2026
|
738,205
|
410,000
|
|
Home Depot, Inc., Sr. Unsecd. Note, 2.875%, 4/15/2027
|
385,526
|
320,000
|
|
O’Reilly Automotive, Inc., Sr. Unsecd. Note, 1.750%, 3/15/2031
|
252,318
|
120,000
|
|
O’Reilly Automotive, Inc., Sr. Unsecd. Note, 4.200%, 4/1/2030
|
113,379
|
580,000
|
|
Tractor Supply Co., Sr. Unsecd. Note, 1.750%, 11/1/2030
|
459,751
|
90,000
|
|
Tractor Supply Co., Sr. Unsecd. Note, 5.250%, 5/15/2033
|
89,341
|
|
|
TOTAL
|
5,745,691
|
|
|
Consumer Cyclical - Services—2.4%
|
|
200,000
|
|
Alibaba Group Holding Ltd., Sr. Unsecd. Note, 2.125%, 2/9/2031
|
162,965
|
500,000
|
|
Alibaba Group Holding Ltd., Sr. Unsecd. Note, 3.400%, 12/6/2027
|
465,210
|
300,000
|
|
Amazon.com, Inc., Sr. Unsecd. Note, 3.000%, 4/13/2025
|
289,538
|
170,000
|
|
Amazon.com, Inc., Sr. Unsecd. Note, 3.150%, 8/22/2027
|
160,078
|
760,000
|
|
Amazon.com, Inc., Sr. Unsecd. Note, 3.300%, 4/13/2027
|
724,305
|
400,000
|
|
Booking Holdings, Inc., Sr. Unsecd. Note, 4.625%, 4/13/2030
|
390,043
|
750,000
|
|
Cintas Corp. No. 2, Sr. Unsecd. Note, 3.700%, 4/1/2027
|
723,365
|
54,000
|
|
Expedia Group, Inc., Sr. Unsecd. Note, Series WI, 2.950%, 3/15/2031
|
45,562
|
530,000
|
|
Visa, Inc., Sr. Unsecd. Note, 3.150%, 12/14/2025
|
508,225
|
|
|
TOTAL
|
3,469,291
|
|
|
Consumer Non-Cyclical - Food/Beverage—5.3%
|
|
750,000
|
|
Anheuser-Busch InBev Worldwide, Inc., Sr. Unsecd. Note, 4.750%, 1/23/2029
|
747,155
|
1,015,000
|
|
Coca-Cola Femsa S.A.B. de C.V., Sr. Unsecd. Note, 2.750%, 1/22/2030
|
893,041
|
750,000
|
|
Constellation Brands, Inc., Sr. Unsecd. Note, 4.650%, 11/15/2028
|
736,022
|
380,000
|
|
Flowers Foods, Inc., Sr. Unsecd. Note, 3.500%, 10/1/2026
|
356,725
|
500,000
|
|
Grupo Bimbo S.A.B. de CV, Sr. Unsecd. Note, 144A, 3.875%, 6/27/2024
|
490,308
|
915,000
|
|
International Flavors & Fragrances, Inc., Sr. Unsecd. Note, 144A, 1.230%, 10/1/2025
|
816,149
|
450,000
|
|
Keurig Dr Pepper, Inc., Sr. Unsecd. Note, 4.417%, 5/25/2025
|
441,290
|
417,000
|
|
Kraft Heinz Foods Co., Sr. Unsecd. Note, 3.000%, 6/1/2026
|
393,636
|
900,000
|
|
Kraft Heinz Foods Co., Sr. Unsecd. Note, Series WI, 3.875%, 5/15/2027
|
864,605
|
300,000
|
|
PepsiCo, Inc., Sr. Unsecd. Note, 2.625%, 7/29/2029
|
270,460
|
300,000
|
|
Smithfield Foods, Inc., Sr. Unsecd. Note, 144A, 2.625%, 9/13/2031
|
221,896
|
510,000
|
|
Smithfield Foods, Inc., Sr. Unsecd. Note, 144A, 3.000%, 10/15/2030
|
400,251
|
60,000
|
|
Smithfield Foods, Inc., Sr. Unsecd. Note, 144A, 4.250%, 2/1/2027
|
55,329
|
450,000
|
|
Sysco Corp., Sr. Unsecd. Note, 3.250%, 7/15/2027
|
420,422
|
700,000
|
|
Sysco Corp., Sr. Unsecd. Note, 3.300%, 7/15/2026
|
661,468
|
|
|
TOTAL
|
7,768,757
|
|
|
Consumer Non-Cyclical - Health Care—1.5%
|
|
250,000
|
|
Becton Dickinson & Co., Sr. Unsecd. Note, 3.700%, 6/6/2027
|
237,832
|
203,000
|
|
Becton Dickinson & Co., Sr. Unsecd. Note, 3.734%, 12/15/2024
|
197,155
|
235,000
|
|
DH Europe Finance II S.a.r.l., Sr. Unsecd. Note, 2.600%, 11/15/2029
|
206,968
|
470,000
|
|
DH Europe Finance II S.a.r.l., Sr. Unsecd. Note, Series 5YR, 2.200%, 11/15/2024
|
450,335
|
300,000
|
|
GE Healthcare Holding LLC, Sr. Unsecd. Note, 5.857%, 3/15/2030
|
308,073
|
300,000
|
|
GE Healthcare Holding LLC, Sr. Unsecd. Note, 5.905%, 11/22/2032
|
313,983
|
85,000
|
|
HCA, Inc., Sec. Fac. Bond, 144A, 3.125%, 3/15/2027
|
78,110
|
450,000
|
|
PerkinElmer, Inc., Sr. Unsecd. Note, 3.300%, 9/15/2029
|
402,408
|
|
|
TOTAL
|
2,194,864
|
Principal
Amount
|
|
|
Value
|
|
|
CORPORATE BONDS—continued
|
|
|
|
Consumer Non-Cyclical - Pharmaceuticals—4.5%
|
|
$ 500,000
|
|
Abbott Laboratories, Sr. Unsecd. Note, 1.150%, 1/30/2028
|
$ 433,002
|
453,000
|
|
Abbott Laboratories, Sr. Unsecd. Note, 3.750%, 11/30/2026
|
441,910
|
455,000
|
|
AbbVie, Inc., Sr. Unsecd. Note, 3.200%, 11/21/2029
|
411,736
|
300,000
|
|
AbbVie, Inc., Sr. Unsecd. Note, 3.600%, 5/14/2025
|
290,113
|
67,000
|
|
AbbVie, Inc., Sr. Unsecd. Note, 4.750%, 3/15/2045
|
61,332
|
1,000,000
|
2
|
Amgen, Inc., Sr. Unsecd. Note, 5.250%, 3/2/2030
|
1,002,759
|
140,000
|
|
Amgen, Inc., Sr. Unsecd. Note, 5.507%, 3/2/2026
|
139,767
|
235,000
|
|
AstraZeneca PLC, Sr. Unsecd. Note, 0.700%, 4/8/2026
|
210,039
|
600,000
|
|
AstraZeneca PLC, Sr. Unsecd. Note, 3.125%, 6/12/2027
|
563,868
|
200,000
|
|
Bayer US Finance II LLC, Sr. Unsecd. Note, 144A, 4.250%, 12/15/2025
|
193,045
|
235,000
|
|
Biogen, Inc., Sr. Unsecd. Note, 2.250%, 5/1/2030
|
196,445
|
600,000
|
|
Biogen, Inc., Sr. Unsecd. Note, 4.050%, 9/15/2025
|
580,693
|
152,000
|
|
Bristol-Myers Squibb Co., Sr. Unsecd. Note, Series WI, 5.000%, 8/15/2045
|
151,693
|
220,000
|
|
Gilead Sciences, Inc., Sr. Unsecd. Note, 3.650%, 3/1/2026
|
211,719
|
350,000
|
|
Pfizer Investment Enterprises Pte Ltd., Sr. Unsecd. Note, 4.450%, 5/19/2028
|
344,176
|
350,000
|
|
Pfizer Investment Enterprises Pte Ltd., Sr. Unsecd. Note, 4.650%, 5/19/2030
|
345,992
|
670,000
|
|
Regeneron Pharmaceuticals, Inc., Sr. Unsecd. Note, 1.750%, 9/15/2030
|
534,384
|
240,000
|
|
Royalty Pharma PLC, Sr. Unsecd. Note, Series WI, 1.200%, 9/2/2025
|
216,530
|
300,000
|
|
Teva Pharmaceutical Finance Netherlands III B.V., Sr. Unsecd. Note, 3.150%, 10/1/2026
|
269,192
|
|
|
TOTAL
|
6,598,395
|
|
|
Consumer Non-Cyclical - Products—0.3%
|
|
200,000
|
|
Kenvue, Inc., Sr. Unsecd. Note, 144A, 5.000%, 3/22/2030
|
202,049
|
200,000
|
|
Kenvue, Inc., Sr. Unsecd. Note, 144A, 5.350%, 3/22/2026
|
201,621
|
|
|
TOTAL
|
403,670
|
|
|
Consumer Non-Cyclical - Supermarkets—0.5%
|
|
610,000
|
|
Kroger Co., Bond, 6.900%, 4/15/2038
|
676,855
|
|
|
Consumer Non-Cyclical - Tobacco—1.9%
|
|
350,000
|
|
Altria Group, Inc., Sr. Unsecd. Note, 4.400%, 2/14/2026
|
342,647
|
250,000
|
|
BAT Capital Corp., Sr. Unsecd. Note, 2.259%, 3/25/2028
|
214,440
|
300,000
|
|
BAT Capital Corp., Sr. Unsecd. Note, 7.750%, 10/19/2032
|
330,388
|
290,000
|
|
BAT International Finance PLC, Sr. Unsecd. Note, 144A, 3.950%, 6/15/2025
|
279,398
|
300,000
|
|
Philip Morris International, Inc., Sr. Unsecd. Note, 5.125%, 11/17/2027
|
301,134
|
500,000
|
|
Philip Morris International, Inc., Sr. Unsecd. Note, 5.125%, 2/15/2030
|
494,819
|
140,000
|
|
Philip Morris International, Inc., Sr. Unsecd. Note, 5.625%, 11/17/2029
|
142,762
|
300,000
|
|
Reynolds American, Inc., Sr. Unsecd. Note, 4.450%, 6/12/2025
|
291,663
|
360,000
|
|
Reynolds American, Inc., Sr. Unsecd. Note, 7.000%, 8/4/2041
|
357,741
|
|
|
TOTAL
|
2,754,992
|
|
|
Energy - Independent—2.1%
|
|
215,000
|
|
Cimarex Energy Co., Sr. Unsecd. Note, 4.375%, 3/15/2029
|
182,306
|
160,000
|
|
Diamondback Energy, Inc., Sr. Unsecd. Note, 6.250%, 3/15/2033
|
165,583
|
700,000
|
|
Hess Corp., Sr. Unsecd. Note, 4.300%, 4/1/2027
|
671,740
|
300,000
|
|
Marathon Oil Corp., Sr. Unsecd. Note, 4.400%, 7/15/2027
|
286,290
|
100,000
|
|
Occidental Petroleum Corp., Sr. Unsecd. Note, 2.900%, 8/15/2024
|
96,357
|
1,000,000
|
|
Occidental Petroleum Corp., Sr. Unsecd. Note, 3.450%, 7/15/2024
|
971,935
|
325,000
|
|
Pioneer Natural Resources, Inc., Sr. Unsecd. Note, 1.125%, 1/15/2026
|
292,814
|
550,000
|
|
Pioneer Natural Resources, Inc., Sr. Unsecd. Note, 2.150%, 1/15/2031
|
450,386
|
|
|
TOTAL
|
3,117,411
|
|
|
Energy - Integrated—2.0%
|
|
500,000
|
|
BP Capital Markets America, Inc., Sr. Unsecd. Note, 3.796%, 9/21/2025
|
487,584
|
300,000
|
|
Cenovus Energy, Inc., Sr. Unsecd. Note, 2.650%, 1/15/2032
|
242,348
|
500,000
|
|
Cenovus Energy, Inc., Sr. Unsecd. Note, 4.250%, 4/15/2027
|
478,460
|
Principal
Amount
|
|
|
Value
|
|
|
CORPORATE BONDS—continued
|
|
|
|
Energy - Integrated—continued
|
|
$ 500,000
|
|
Chevron Corp., Sr. Unsecd. Note, 1.554%, 5/11/2025
|
$ 468,707
|
530,000
|
2
|
CNPC Hong Kong Overseas Capital Ltd., Company Guarantee, 144A, 5.950%, 4/28/2041
|
588,844
|
240,000
|
|
Husky Energy, Inc., Sr. Unsecd. Note, 4.400%, 4/15/2029
|
220,480
|
175,000
|
|
Petroleos Mexicanos, Sr. Unsecd. Note, 4.875%, 1/18/2024
|
172,113
|
325,000
|
|
Shell International Finance B.V., Sr. Unsecd. Note, 2.875%, 5/10/2026
|
309,666
|
|
|
TOTAL
|
2,968,202
|
|
|
Energy - Midstream—2.6%
|
|
265,000
|
|
Boardwalk Pipeline Partners LP, Sr. Unsecd. Note, 3.400%, 2/15/2031
|
228,273
|
500,000
|
|
Boardwalk Pipeline Partners LP, Sr. Unsecd. Note, 4.800%, 5/3/2029
|
479,893
|
205,000
|
|
Eastern Energy Gas Holdings, Sr. Unsecd. Note, Series A, 2.500%, 11/15/2024
|
195,880
|
300,000
|
|
Energy Transfer LP, Sr. Unsecd. Note, 3.750%, 5/15/2030
|
270,908
|
290,000
|
|
MPLX, LP, Sr. Unsecd. Note, 1.750%, 3/1/2026
|
263,376
|
395,000
|
|
MPLX LP, Sr. Unsecd. Note, 4.125%, 3/1/2027
|
378,189
|
345,000
|
|
ONEOK, Inc., Sr. Unsecd. Note, 4.000%, 7/13/2027
|
323,133
|
120,000
|
|
ONEOK, Inc., Sr. Unsecd. Note, 6.100%, 11/15/2032
|
122,126
|
500,000
|
|
Plains All American Pipeline LP, Sr. Unsecd. Note, 3.550%, 12/15/2029
|
441,005
|
140,000
|
|
Targa Resources, Inc., Sr. Unsecd. Note, 4.200%, 2/1/2033
|
124,030
|
400,000
|
|
Targa Resources, Inc., Sr. Unsecd. Note, 6.125%, 3/15/2033
|
408,924
|
600,000
|
|
TC Pipelines, LP, Sr. Unsecd. Note, 3.900%, 5/25/2027
|
571,922
|
|
|
TOTAL
|
3,807,659
|
|
|
Energy - Oil Field Services—0.5%
|
|
200,000
|
|
Ovintiv, Inc., Sr. Unsecd. Note, 5.650%, 5/15/2028
|
196,187
|
180,000
|
|
Ovintiv, Inc., Sr. Unsecd. Note, 6.250%, 7/15/2033
|
177,655
|
300,000
|
|
Schlumberger Holdings Corp., Sr. Unsecd. Note, 144A, 4.000%, 12/21/2025
|
290,214
|
|
|
TOTAL
|
664,056
|
|
|
Energy - Refining—0.9%
|
|
600,000
|
|
Marathon Petroleum Corp., Sr. Unsecd. Note, 4.700%, 5/1/2025
|
588,923
|
185,000
|
|
Phillips 66, Sr. Unsecd. Note, 1.300%, 2/15/2026
|
167,291
|
335,000
|
|
Valero Energy Corp., Sr. Unsecd. Note, 6.625%, 6/15/2037
|
359,819
|
215,000
|
|
Valero Energy Corp., Sr. Unsecd. Note, 7.500%, 4/15/2032
|
242,564
|
|
|
TOTAL
|
1,358,597
|
|
|
Financial Institution - Banking—22.4%
|
|
1,085,000
|
|
Associated Banc-Corp., Sub. Note, 4.250%, 1/15/2025
|
1,014,332
|
700,000
|
|
Bank of America Corp., Sr. Unsecd. Note, 1.734%, 7/22/2027
|
625,329
|
1,900,000
|
|
Bank of America Corp., Sr. Unsecd. Note, 2.592%, 4/29/2031
|
1,596,068
|
1,250,000
|
|
Bank of America Corp., Sr. Unsecd. Note, 3.705%, 4/24/2028
|
1,172,487
|
500,000
|
|
Bank of America Corp., Sr. Unsecd. Note, Series MTN, 3.248%, 10/21/2027
|
466,188
|
500,000
|
|
Bank of America Corp., Sr. Unsecd. Note, Series MTN, 4.271%, 7/23/2029
|
474,767
|
250,000
|
|
Bank of New York Mellon Corp., Sr. Unsecd. Note, 2.050%, 1/26/2027
|
225,158
|
300,000
|
|
Bank of New York Mellon Corp., Sr. Unsecd. Note, 3.350%, 4/25/2025
|
288,662
|
550,000
|
|
Bank of New York Mellon Corp., Sr. Unsecd. Note, Series MTN, 3.250%, 9/11/2024
|
533,471
|
400,000
|
|
Capital One Financial Corp., Sr. Unsecd. Note, 5.817%, 2/1/2034
|
381,816
|
500,000
|
|
Citigroup, Inc., 4.125%, 7/25/2028
|
471,683
|
250,000
|
|
Citigroup, Inc., Sr. Unsecd. Note, 1.122%, 1/28/2027
|
222,966
|
1,400,000
|
|
Citigroup, Inc., Sr. Unsecd. Note, 2.572%, 6/3/2031
|
1,168,664
|
480,000
|
|
Citigroup, Inc., Sr. Unsecd. Note, 3.400%, 5/1/2026
|
456,748
|
500,000
|
|
Citigroup, Inc., Sr. Unsecd. Note, 3.700%, 1/12/2026
|
479,900
|
250,000
|
|
Citigroup, Inc., Sr. Unsecd. Note, 3.887%, 1/10/2028
|
237,066
|
500,000
|
|
Citigroup, Inc., Sr. Unsecd. Note, 4.075%, 4/23/2029
|
471,148
|
90,000
|
|
Citizens Financial Group, Inc., Sr. Unsecd. Note, 2.500%, 2/6/2030
|
70,631
|
300,000
|
|
Comerica, Inc., 3.800%, 7/22/2026
|
267,280
|
Principal
Amount
|
|
|
Value
|
|
|
CORPORATE BONDS—continued
|
|
|
|
Financial Institution - Banking—continued
|
|
$ 500,000
|
|
Compass Bank, Birmingham, Sub. Note, Series BKNT, 3.875%, 4/10/2025
|
$ 477,614
|
140,000
|
|
Fifth Third Bancorp, Sr. Unsecd. Note, 2.375%, 1/28/2025
|
131,092
|
250,000
|
2
|
Fifth Third Bank, Sr. Unsecd. Note, Series BKNT, 2.250%, 2/1/2027
|
218,934
|
300,000
|
|
FNB Corp. (PA), Sr. Unsecd. Note, 5.150%, 8/25/2025
|
287,402
|
200,000
|
|
Goldman Sachs Group, Inc., Sr. Unsecd. Note, 1.431%, 3/9/2027
|
178,801
|
750,000
|
|
Goldman Sachs Group, Inc., Sr. Unsecd. Note, 1.992%, 1/27/2032
|
590,715
|
250,000
|
|
Goldman Sachs Group, Inc., Sr. Unsecd. Note, 2.640%, 2/24/2028
|
227,028
|
1,250,000
|
|
Goldman Sachs Group, Inc., Sr. Unsecd. Note, 3.500%, 11/16/2026
|
1,172,691
|
500,000
|
|
Goldman Sachs Group, Inc., Sr. Unsecd. Note, 4.223%, 5/1/2029
|
472,566
|
500,000
|
|
Goldman Sachs Group, Inc., Sub. Note, 4.250%, 10/21/2025
|
482,079
|
1,000,000
|
|
HSBC USA, Inc., Sr. Unsecd. Note, 3.500%, 6/23/2024
|
976,968
|
240,000
|
|
Huntington Bancshares, Inc., Sr. Unsecd. Note, 2.550%, 2/4/2030
|
192,514
|
1,000,000
|
|
JPMorgan Chase & Co., Sr. Unsecd. Note, 1.045%, 11/19/2026
|
896,147
|
1,000,000
|
|
JPMorgan Chase & Co., Sr. Unsecd. Note, 2.545%, 11/8/2032
|
819,739
|
500,000
|
|
JPMorgan Chase & Co., Sr. Unsecd. Note, 2.580%, 4/22/2032
|
415,487
|
500,000
|
|
JPMorgan Chase & Co., Sr. Unsecd. Note, 3.845%, 6/14/2025
|
489,150
|
500,000
|
|
JPMorgan Chase & Co., Sr. Unsecd. Note, 4.323%, 4/26/2028
|
482,916
|
500,000
|
|
JPMorgan Chase & Co., Sr. Unsecd. Note, 4.452%, 12/5/2029
|
479,555
|
410,000
|
|
M&T Bank Corp., Sr. Unsecd. Note, 4.553%, 8/16/2028
|
384,015
|
250,000
|
|
M&T Bank Corp., Sr. Unsecd. Note, 5.053%, 1/27/2034
|
228,484
|
550,000
|
|
Morgan Stanley, Sr. Unsecd. Note, 0.985%, 12/10/2026
|
490,646
|
1,000,000
|
|
Morgan Stanley, Sr. Unsecd. Note, 3.625%, 1/20/2027
|
950,293
|
210,000
|
|
Morgan Stanley, Sr. Unsecd. Note, 5.123%, 2/1/2029
|
207,235
|
500,000
|
|
Morgan Stanley, Sr. Unsecd. Note, 6.342%, 10/18/2033
|
532,130
|
500,000
|
|
Morgan Stanley, Sr. Unsecd. Note, Series GMTN, 2.239%, 7/21/2032
|
397,598
|
165,000
|
|
Morgan Stanley, Sr. Unsecd. Note, Series GMTN, 2.699%, 1/22/2031
|
140,400
|
500,000
|
|
PNC Financial Services Group, Inc., Sr. Unsecd. Note, 3.150%, 5/19/2027
|
462,191
|
500,000
|
|
PNC Financial Services Group, Inc., Sr. Unsecd. Note, 5.068%, 1/24/2034
|
479,658
|
200,000
|
|
PNC Financial Services Group, Inc., Sr. Unsecd. Note, 5.582%, 6/12/2029
|
199,203
|
330,000
|
2
|
Regions Financial Corp., Sr. Unsecd. Note, 2.250%, 5/18/2025
|
305,399
|
700,000
|
|
State Street Corp., Sr. Unsecd. Note, 3.300%, 12/16/2024
|
675,846
|
65,000
|
|
State Street Corp., Sr. Unsecd. Note, 4.421%, 5/13/2033
|
61,719
|
1,200,000
|
|
Synovus Bank GA, Sr. Unsecd. Note, 5.625%, 2/15/2028
|
1,085,169
|
300,000
|
|
Synovus Financial Corp., Sr. Unsecd. Note, 5.200%, 8/11/2025
|
285,846
|
200,000
|
|
Truist Bank, Sub. Note, Series BKNT, 3.300%, 5/15/2026
|
183,496
|
500,000
|
|
Truist Financial Corp., Sr. Unsecd. Note, Series MTN, 1.125%, 8/3/2027
|
421,357
|
500,000
|
|
Truist Financial Corp., Sr. Unsecd. Note, Series MTN, 4.123%, 6/6/2028
|
471,595
|
400,000
|
|
Truist Financial Corp., Sr. Unsecd. Note, Series MTN, 5.122%, 1/26/2034
|
379,203
|
250,000
|
|
US Bancorp, Sr. Unsecd. Note, 5.836%, 6/12/2034
|
251,924
|
1,250,000
|
|
US Bancorp, Sr. Unsecd. Note, Series MTN, 2.215%, 1/27/2028
|
1,108,816
|
750,000
|
|
Wells Fargo & Co., Sr. Unsecd. Note, 2.188%, 4/30/2026
|
703,069
|
1,320,000
|
|
Wells Fargo & Co., Sr. Unsecd. Note, 3.000%, 10/23/2026
|
1,226,208
|
235,000
|
|
Wells Fargo & Co., Sr. Unsecd. Note, 5.389%, 4/24/2034
|
233,608
|
250,000
|
|
Wells Fargo & Co., Sr. Unsecd. Note, Series MTN, 2.406%, 10/30/2025
|
238,165
|
1,000,000
|
|
Wells Fargo & Co., Sr. Unsecd. Note, Series MTN, 2.572%, 2/11/2031
|
847,282
|
|
|
TOTAL
|
32,566,317
|
|
|
Financial Institution - Broker/Asset Mgr/Exchange—1.4%
|
|
500,000
|
|
Charles Schwab Corp., Sr. Unsecd. Note, 3.625%, 4/1/2025
|
480,996
|
220,000
|
|
Invesco Finance PLC, Sr. Unsecd. Note, 3.750%, 1/15/2026
|
212,166
|
200,000
|
|
Jefferies Group LLC, Sr. Unsecd. Note, 6.500%, 1/20/2043
|
200,569
|
245,000
|
|
Nuveen LLC, Sr. Unsecd. Note, 144A, 4.000%, 11/1/2028
|
231,371
|
Principal
Amount
|
|
|
Value
|
|
|
CORPORATE BONDS—continued
|
|
|
|
Financial Institution - Broker/Asset Mgr/Exchange—continued
|
|
$ 595,000
|
|
Raymond James Financial, Inc., Sr. Unsecd. Note, 4.650%, 4/1/2030
|
$ 580,235
|
390,000
|
|
Stifel Financial Corp., Sr. Unsecd. Note, 4.250%, 7/18/2024
|
381,909
|
|
|
TOTAL
|
2,087,246
|
|
|
Financial Institution - Finance Companies—1.9%
|
|
190,000
|
|
AerCap Ireland Capital Ltd. / AerCap Global Aviation Trust, Sr. Unsecd. Note, 1.750%, 1/30/2026
|
170,681
|
205,000
|
|
AerCap Ireland Capital Ltd. / AerCap Global Aviation Trust, Sr. Unsecd. Note, 3.000%, 10/29/2028
|
177,414
|
200,000
|
|
AerCap Ireland Capital Ltd. / AerCap Global Aviation Trust, Sr. Unsecd. Note, 3.500%, 1/15/2025
|
191,599
|
550,000
|
|
AerCap Ireland Capital Ltd. / AerCap Global Aviation Trust, Sr. Unsecd. Note, 4.625%, 10/15/2027
|
521,646
|
700,000
|
|
Air Lease Corp., Sr. Unsecd. Note, 1.875%, 8/15/2026
|
622,152
|
550,000
|
|
Air Lease Corp., Sr. Unsecd. Note, 3.625%, 12/1/2027
|
502,290
|
140,000
|
|
Air Lease Corp., Sr. Unsecd. Note, 5.850%, 12/15/2027
|
139,946
|
180,000
|
|
Ally Financial, Inc., Sr. Unsecd. Note, 6.992%, 6/13/2029
|
177,927
|
250,000
|
|
Discover Financial Services, Sr. Unsecd. Note, 4.100%, 2/9/2027
|
232,138
|
|
|
TOTAL
|
2,735,793
|
|
|
Financial Institution - Insurance - Health—1.1%
|
|
645,000
|
|
Centene Corp., Sr. Unsecd. Note, 2.450%, 7/15/2028
|
551,940
|
200,000
|
|
The Cigna Group, Sr. Unsecd. Note, 4.375%, 10/15/2028
|
193,493
|
400,000
|
|
The Cigna Group, Sr. Unsecd. Note, 5.685%, 3/15/2026
|
400,563
|
405,000
|
|
UnitedHealth Group, Inc., Sr. Unsecd. Note, 3.750%, 7/15/2025
|
394,357
|
|
|
TOTAL
|
1,540,353
|
|
|
Financial Institution - Insurance - Life—0.9%
|
|
350,000
|
|
AIA Group Ltd., Sr. Unsecd. Note, 144A, 3.600%, 4/9/2029
|
324,266
|
550,000
|
|
Lincoln National Corp., Sr. Unsecd. Note, 3.050%, 1/15/2030
|
455,373
|
172,000
|
|
Massachusetts Mutual Life Insurance Co., Sub. Note, 144A, 8.875%, 6/1/2039
|
214,940
|
290,000
|
|
Met Life Global Funding I, Sec. Fac. Bond, 144A, 0.550%, 6/7/2024
|
276,131
|
|
|
TOTAL
|
1,270,710
|
|
|
Financial Institution - Insurance - P&C—0.7%
|
|
300,000
|
|
Chubb INA Holdings, Inc., Sr. Unsecd. Note, 3.350%, 5/15/2024
|
294,126
|
250,000
|
|
CNA Financial Corp., Sr. Unsecd. Note, 3.450%, 8/15/2027
|
232,003
|
95,000
|
|
CNA Financial Corp., Sr. Unsecd. Note, 3.900%, 5/1/2029
|
87,305
|
300,000
|
|
Nationwide Mutual Insurance Co., Sub. Note, 144A, 9.375%, 8/15/2039
|
387,029
|
|
|
TOTAL
|
1,000,463
|
|
|
Financial Institution - REIT - Apartment—1.2%
|
|
395,000
|
|
Avalonbay Communities, Inc., Sr. Unsecd. Note, Series MTN, 3.350%, 5/15/2027
|
368,931
|
115,000
|
|
Camden Property Trust, Sr. Unsecd. Note, 2.800%, 5/15/2030
|
99,976
|
500,000
|
|
Mid-America Apartment Communities LP, Sr. Unsecd. Note, 3.750%, 6/15/2024
|
490,362
|
320,000
|
|
Mid-America Apartment Communities LP, Sr. Unsub. Note, 1.700%, 2/15/2031
|
252,915
|
500,000
|
|
UDR, Inc., Sr. Unsecd. Note, Series MTN, 2.950%, 9/1/2026
|
457,516
|
|
|
TOTAL
|
1,669,700
|
|
|
Financial Institution - REIT - Healthcare—1.2%
|
|
445,000
|
|
Healthcare Trust of America, Sr. Unsecd. Note, 2.000%, 3/15/2031
|
342,031
|
710,000
|
|
Physicians Realty Trust, Sr. Unsecd. Note, 4.300%, 3/15/2027
|
669,062
|
375,000
|
|
Welltower, Inc., Sr. Unsecd. Note, 2.750%, 1/15/2031
|
309,760
|
500,000
|
|
Welltower, Inc., Sr. Unsecd. Note, 3.100%, 1/15/2030
|
433,646
|
|
|
TOTAL
|
1,754,499
|
|
|
Financial Institution - REIT - Office—0.6%
|
|
250,000
|
|
Alexandria Real Estate Equities, Inc., Sr. Unsecd. Note, 4.900%, 12/15/2030
|
242,300
|
480,000
|
|
Boston Properties LP, Sr. Unsecd. Note, 3.200%, 1/15/2025
|
455,575
|
80,000
|
|
Boston Properties LP, Sr. Unsecd. Note, 3.250%, 1/30/2031
|
65,269
|
120,000
|
|
Piedmont Operating Partnership, LP, Sr. Unsecd. Note, 2.750%, 4/1/2032
|
81,039
|
|
|
TOTAL
|
844,183
|
Principal
Amount
|
|
|
Value
|
|
|
CORPORATE BONDS—continued
|
|
|
|
Financial Institution - REIT - Other—0.7%
|
|
$ 320,000
|
|
ProLogis LP, Sr. Unsecd. Note, 4.375%, 2/1/2029
|
$ 307,793
|
275,000
|
|
WP Carey, Inc., Sr. Unsecd. Note, 2.400%, 2/1/2031
|
221,354
|
450,000
|
|
WP Carey, Inc., Sr. Unsecd. Note, 4.600%, 4/1/2024
|
443,924
|
|
|
TOTAL
|
973,071
|
|
|
Financial Institution - REIT - Retail—0.6%
|
|
250,000
|
|
Kimco Realty Corp., Sr. Unsecd. Note, 1.900%, 3/1/2028
|
210,882
|
410,000
|
|
Kimco Realty Corp., Sr. Unsecd. Note, 2.700%, 3/1/2024
|
400,649
|
250,000
|
|
Kimco Realty Corp., Sr. Unsecd. Note, 2.700%, 10/1/2030
|
206,444
|
|
|
TOTAL
|
817,975
|
|
|
Sovereign—0.4%
|
|
510,000
|
|
Inter-American Development Bank, Series MTN, 6.750%, 7/15/2027
|
545,430
|
|
|
Technology—5.4%
|
|
315,000
|
|
Apple, Inc., Sr. Unsecd. Note, 1.125%, 5/11/2025
|
293,610
|
125,000
|
|
Apple, Inc., Sr. Unsecd. Note, 4.450%, 5/6/2044
|
121,923
|
340,000
|
|
Automatic Data Processing, Inc., Sr. Unsecd. Note, 3.375%, 9/15/2025
|
328,894
|
666,000
|
|
Broadcom, Inc., Sr. Unsecd. Note, 4.110%, 9/15/2028
|
629,661
|
135,000
|
|
Broadcom, Inc., Sr. Unsecd. Note, 144A, 3.419%, 4/15/2033
|
112,957
|
250,000
|
|
Broadcom, Inc., Sr. Unsecd. Note, 144A, 4.000%, 4/15/2029
|
231,082
|
250,000
|
|
CDW LLC / CDW Finance, Sr. Unsecd. Note, 2.670%, 12/1/2026
|
224,755
|
250,000
|
|
Dell International LLC / EMC Corp., Sr. Unsecd. Note, 5.300%, 10/1/2029
|
248,331
|
150,000
|
|
Dell International LLC / EMC Corp., Sr. Unsecd. Note, 5.850%, 7/15/2025
|
150,620
|
250,000
|
|
Fiserv, Inc., Sr. Unsecd. Note, 2.650%, 6/1/2030
|
213,204
|
230,000
|
|
Fiserv, Inc., Sr. Unsecd. Note, 2.750%, 7/1/2024
|
223,215
|
500,000
|
|
Fiserv, Inc., Sr. Unsecd. Note, 4.200%, 10/1/2028
|
479,137
|
175,000
|
|
Intel Corp., Sr. Unsecd. Note, 3.400%, 3/25/2025
|
169,680
|
100,000
|
|
Keysight Technologies, Inc., Sr. Unsecd. Note, 3.000%, 10/30/2029
|
87,654
|
460,000
|
|
Keysight Technologies, Inc., Sr. Unsecd. Note, 4.550%, 10/30/2024
|
452,398
|
310,000
|
|
Lam Research Corp., Sr. Unsecd. Note, 4.000%, 3/15/2029
|
299,349
|
750,000
|
|
Microsoft Corp., Sr. Unsecd. Note, 2.400%, 8/8/2026
|
704,284
|
500,000
|
|
Oracle Corp., Sr. Unsecd. Note, 1.650%, 3/25/2026
|
453,936
|
750,000
|
|
Oracle Corp., Sr. Unsecd. Note, 3.400%, 7/8/2024
|
731,415
|
230,000
|
|
Oracle Corp., Sr. Unsecd. Note, 6.150%, 11/9/2029
|
239,713
|
260,000
|
|
Total System Services, Inc., Sr. Unsecd. Note, 4.450%, 6/1/2028
|
244,193
|
400,000
|
|
Trimble, Inc., Sr. Unsecd. Note, 6.100%, 3/15/2033
|
405,437
|
600,000
|
|
Verisk Analytics, Inc., Sr. Unsecd. Note, 4.125%, 3/15/2029
|
573,271
|
265,000
|
|
VMware, Inc., Sr. Unsecd. Note, 1.400%, 8/15/2026
|
234,136
|
|
|
TOTAL
|
7,852,855
|
|
|
Technology Services—0.7%
|
|
255,000
|
|
Fortinet, Inc., Sr. Unsecd. Note, 1.000%, 3/15/2026
|
227,731
|
320,000
|
|
Global Payments, Inc., Sr. Unsecd. Note, 1.200%, 3/1/2026
|
284,522
|
300,000
|
|
Global Payments, Inc., Sr. Unsecd. Note, 2.150%, 1/15/2027
|
266,886
|
90,000
|
|
Global Payments, Inc., Sr. Unsecd. Note, 2.900%, 5/15/2030
|
76,366
|
145,000
|
|
Verisign, Inc., Sr. Unsecd. Note, 2.700%, 6/15/2031
|
120,776
|
|
|
TOTAL
|
976,281
|
|
|
Transportation - Airlines—0.1%
|
|
215,000
|
|
Southwest Airlines Co., Sr. Unsecd. Note, 5.250%, 5/4/2025
|
212,817
|
|
|
Transportation - Railroads—0.6%
|
|
500,000
|
|
Canadian Pacific Railway Co., Sr. Unsecd. Note, 2.450%, 12/2/2031
|
438,156
|
500,000
|
|
Union Pacific Corp., Sr. Unsecd. Note, 2.150%, 2/5/2027
|
457,144
|
|
|
TOTAL
|
895,300
|
Principal
Amount
|
|
|
Value
|
|
|
CORPORATE BONDS—continued
|
|
|
|
Transportation - Services—1.9%
|
|
$ 735,000
|
|
GXO Logistics, Inc., Sr. Unsecd. Note, Series WI, 1.650%, 7/15/2026
|
$ 639,678
|
315,000
|
|
GXO Logistics, Inc., Sr. Unsecd. Note, Series WI, 2.650%, 7/15/2031
|
245,578
|
215,000
|
|
Penske Truck Leasing Co. LP & PTL Finance Corp., Sr. Unsecd. Note, 144A, 1.200%, 11/15/2025
|
191,332
|
250,000
|
|
Penske Truck Leasing Co. LP & PTL Finance Corp., Sr. Unsecd. Note, 144A, 1.700%, 6/15/2026
|
220,940
|
300,000
|
|
Penske Truck Leasing Co. LP & PTL Finance Corp., Sr. Unsecd. Note, 144A, 3.450%, 7/1/2024
|
292,331
|
250,000
|
|
Penske Truck Leasing Co. LP & PTL Finance Corp., Sr. Unsecd. Note, 144A, 4.450%, 1/29/2026
|
239,573
|
350,000
|
|
Ryder System, Inc., Sr. Unsecd. Note, Series MTN, 1.750%, 9/1/2026
|
313,089
|
590,000
|
|
United Parcel Service, Inc., Sr. Unsecd. Note, 3.900%, 4/1/2025
|
577,610
|
|
|
TOTAL
|
2,720,131
|
|
|
Utility - Electric—4.9%
|
|
310,000
|
|
AEP Texas, Inc., Sr. Unsecd. Note, 3.850%, 10/1/2025
|
295,248
|
185,000
|
|
Ameren Corp., Sr. Unsecd. Note, 1.950%, 3/15/2027
|
164,626
|
125,000
|
|
American Electric Power Co., Inc., Sr. Unsecd. Note, 2.300%, 3/1/2030
|
103,802
|
500,000
|
|
Berkshire Hathaway Energy Co., 3.500%, 2/1/2025
|
483,414
|
130,000
|
|
Berkshire Hathaway Energy Co., Sr. Unsecd. Note, Series WI, 4.050%, 4/15/2025
|
126,978
|
250,000
|
|
Constellation Energy Generation LLC, Sr. Unsecd. Note, 3.250%, 6/1/2025
|
238,095
|
560,000
|
|
Dominion Energy, Inc., Jr. Sub. Note, 3.071%, 8/15/2024
|
541,080
|
400,000
|
|
EDP Finance BV, Sr. Unsecd. Note, 144A, 1.710%, 1/24/2028
|
342,464
|
500,000
|
|
EDP Finance BV, Sr. Unsecd. Note, 144A, 3.625%, 7/15/2024
|
487,259
|
200,000
|
|
Electricite de France SA, Sr. Unsecd. Note, 144A, 5.700%, 5/23/2028
|
199,824
|
190,000
|
|
Emera US Finance LP, Sr. Unsecd. Note, 0.833%, 6/15/2024
|
179,742
|
500,000
|
|
Enel Finance America LLC, Sr. Unsecd. Note, 144A, 7.100%, 10/14/2027
|
525,745
|
330,000
|
|
Enel Finance International NV, Sr. Unsecd. Note, 144A, 1.375%, 7/12/2026
|
291,464
|
385,000
|
|
Exelon Corp., Sr. Unsecd. Note, 4.050%, 4/15/2030
|
360,213
|
500,000
|
|
Exelon Corp., Sr. Unsecd. Note, 2.750%, 3/15/2027
|
457,862
|
240,000
|
|
Fortis, Inc./Canada, Sr. Unsecd. Note, 3.055%, 10/4/2026
|
221,251
|
260,000
|
|
NextEra Energy Capital Holdings, Inc., Sr. Unsecd. Note, 4.625%, 7/15/2027
|
254,411
|
300,000
|
|
NextEra Energy Capital Holdings, Inc., Sr. Unsecd. Note, 5.000%, 2/28/2030
|
297,011
|
500,000
|
|
NiSource Finance Corp., Sr. Unsecd. Note, 3.490%, 5/15/2027
|
470,827
|
45,000
|
|
NiSource, Inc., Sr. Unsecd. Note, 5.250%, 3/30/2028
|
45,008
|
245,000
|
|
Puget Energy, Inc., Sec. Fac. Bond, 2.379%, 6/15/2028
|
211,511
|
250,000
|
|
Southern Co., Sr. Unsecd. Note, 3.250%, 7/1/2026
|
235,291
|
300,000
|
|
Virginia Electric & Power Co., Sr. Unsecd. Note, Series B, 3.750%, 5/15/2027
|
287,520
|
155,000
|
|
WEC Energy Group, Inc., Sr. Unsecd. Note, 2.200%, 12/15/2028
|
133,480
|
108,000
|
|
Wisconsin Energy Corp., Sr. Unsecd. Note, 3.550%, 6/15/2025
|
103,649
|
|
|
TOTAL
|
7,057,775
|
|
|
Utility - Natural Gas—0.7%
|
|
280,000
|
|
National Fuel Gas Co., Sr. Unsecd. Note, 2.950%, 3/1/2031
|
224,216
|
395,000
|
|
National Fuel Gas Co., Sr. Unsecd. Note, 5.500%, 1/15/2026
|
389,581
|
500,000
|
|
Sempra Energy, Sr. Unsecd. Note, 3.250%, 6/15/2027
|
463,003
|
|
|
TOTAL
|
1,076,800
|
|
|
Utility - Natural Gas Distributor—0.3%
|
|
450,000
|
|
Southern Co. Gas Capital, Sr. Unsecd. Note, 2.450%, 10/1/2023
|
446,270
|
|
|
TOTAL CORPORATE BONDS
(IDENTIFIED COST $152,067,441)
|
141,045,101
|
|
|
MORTGAGE-BACKED SECURITIES—0.0%
|
|
|
|
Federal Home Loan Mortgage Corporation—0.0%
|
|
266
|
|
Federal Home Loan Mortgage Corp., Pool C01051, 8.000%, 9/1/2030
|
280
|
|
|
Government National Mortgage Association—0.0%
|
|
62
|
|
Government National Mortgage Association, Pool 1512, 7.500%, 12/20/2023
|
62
|
835
|
|
Government National Mortgage Association, Pool 2630, 6.500%, 8/20/2028
|
850
|
Principal
Amount
|
|
|
Value
|
|
|
MORTGAGE-BACKED SECURITIES—continued
|
|
|
|
Government National Mortgage Association—continued
|
|
$ 1,242
|
|
Government National Mortgage Association, Pool 2631, 7.000%, 8/20/2028
|
$ 1,275
|
1,628
|
|
Government National Mortgage Association, Pool 2658, 6.500%, 10/20/2028
|
1,658
|
2,557
|
|
Government National Mortgage Association, Pool 2701, 6.500%, 1/20/2029
|
2,603
|
2,060
|
|
Government National Mortgage Association, Pool 2796, 7.000%, 8/20/2029
|
2,115
|
391
|
|
Government National Mortgage Association, Pool 3039, 6.500%, 2/20/2031
|
399
|
1,511
|
|
Government National Mortgage Association, Pool 3040, 7.000%, 2/20/2031
|
1,552
|
5,383
|
|
Government National Mortgage Association, Pool 3188, 6.500%, 1/20/2032
|
5,514
|
3,887
|
|
Government National Mortgage Association, Pool 3239, 6.500%, 5/20/2032
|
3,993
|
9,079
|
|
Government National Mortgage Association, Pool 3261, 6.500%, 7/20/2032
|
9,334
|
|
|
TOTAL
|
29,355
|
|
|
TOTAL MORTGAGE-BACKED SECURITIES
(IDENTIFIED COST $28,916)
|
29,635
|
|
|
REPURCHASE AGREEMENTS—3.5%
|
|
1,934,163
|
|
Interest in $1,976,000,000 joint repurchase agreement 5.06%, dated 6/30/2023 under which Bank of America, N.A. will
repurchase securities provided as collateral for $1,976,833,213 on 7/3/2023. The securities provided as collateral at the
end of
the period held with BNY Mellon as tri-party agent, were U.S. Government Agency securities with various maturities to
7/20/2052 and the market value of those underlying securities was $2,016,369,878 (purchased with proceeds from securities
lending collateral)
|
1,934,163
|
3,133,000
|
|
Interest in $1,976,000,000 joint repurchase agreement 5.06%, dated 6/30/2023 under which Bank of America, N.A. will
repurchase securities provided as collateral for $1,976,833,213 on 7/3/2023. The securities provided as collateral at the
end of
the period held with BNY Mellon as tri-party agent, were U.S. Government Agency securities with various maturities to
7/20/2052 and the market value of those underlying securities was $2,016,369,878.
|
3,133,000
|
|
|
TOTAL REPURCHASE AGREEMENTS
(IDENTIFIED COST $5,067,162)
|
5,067,163
|
|
|
TOTAL INVESTMENT IN SECURITIES—100.4%
(IDENTIFIED COST $157,163,519)3
|
146,141,899
|
|
|
OTHER ASSETS AND LIABILITIES - NET—(0.4)%4
|
(616,226)
|
|
|
TOTAL NET ASSETS—100%
|
$145,525,673
|
Description
|
Number of
Contracts
|
Notional
Value
|
Expiration
Date
|
Value and
Unrealized
(Depreciation)
|
Long Futures:
|
|
|
|
|
United States Treasury Notes 10-Year Long Futures
|
10
|
$1,122,656
|
September 2023
|
$(13,396)
|
United States Treasury Notes 10-Year Ultra Long Futures
|
49
|
$5,803,438
|
September 2023
|
$(36,449)
|
NET UNREALIZED DEPRECIATION ON FUTURES CONTRACTS
|
$(49,845)
|
1
|
Floating/variable note with current rate and current maturity or next reset date shown.
|
2
|
All or a portion of these securities are temporarily on loan to unaffiliated broker/dealers.
|
3
|
Also represents cost of investments for federal tax purposes.
|
4
|
Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities.
|
Valuation Inputs
|
||||
|
Level 1—
Quoted
Prices
|
Level 2—
Other
Significant
Observable
Inputs
|
Level 3—
Significant
Unobservable
Inputs
|
Total
|
Debt Securities:
|
|
|
|
|
Corporate Bonds
|
$—
|
$141,045,101
|
$—
|
$141,045,101
|
Mortgage-Backed Securities
|
—
|
29,635
|
—
|
29,635
|
Repurchase Agreements
|
—
|
5,067,163
|
—
|
5,067,163
|
TOTAL SECURITIES
|
$—
|
$146,141,899
|
$—
|
$146,141,899
|
Other Financial Instruments:1
|
|
|
|
|
Liabilities
|
$(49,845)
|
$—
|
$—
|
$(49,845)
|
1
|
Other financial instruments are futures contracts.
|
The following acronym(s) are used throughout this portfolio:
|
|
|
BKNT
|
—Bank Notes
|
|
GMTN
|
—Global Medium Term Note
|
|
LIBOR
|
—London Interbank Offered Rate
|
|
MTN
|
—Medium Term Note
|
|
REIT
|
—Real Estate Investment Trust
|
|
Six Months
Ended
(unaudited)
6/30/2023
|
Year Ended December 31,
|
||||
|
2022
|
2021
|
2020
|
2019
|
2018
|
|
Net Asset Value, Beginning of Period
|
$9.81
|
$11.26
|
$11.82
|
$11.31
|
$10.65
|
$11.05
|
Income From Investment Operations:
|
|
|
|
|
|
|
Net investment income (loss)1
|
0.14
|
0.25
|
0.25
|
0.28
|
0.31
|
0.30
|
Net realized and unrealized gain (loss)
|
0.04
|
(1.27)
|
(0.42)
|
0.58
|
0.68
|
(0.37)
|
Total From Investment Operations
|
0.18
|
(1.02)
|
(0.17)
|
0.86
|
0.99
|
(0.07)
|
Less Distributions:
|
|
|
|
|
|
|
Distributions from net investment income
|
(0.26)
|
(0.27)
|
(0.29)
|
(0.32)
|
(0.33)
|
(0.33)
|
Distributions from net realized gain
|
—
|
(0.16)
|
(0.10)
|
(0.03)
|
(0.00)2
|
—
|
Total Distributions
|
(0.26)
|
(0.43)
|
(0.39)
|
(0.35)
|
(0.33)
|
(0.33)
|
Net Asset Value, End of Period
|
$9.73
|
$9.81
|
$11.26
|
$11.82
|
$11.31
|
$10.65
|
Total Return3
|
1.85%
|
(9.28)%
|
(1.40)%
|
8.12%
|
9.44%
|
(0.59)%
|
Ratios to Average Net Assets:
|
|
|
|
|
|
|
Net expenses4
|
0.74%5
|
0.74%
|
0.74%
|
0.74%
|
0.74%
|
0.74%
|
Net investment income
|
2.87%5
|
2.44%
|
2.17%
|
2.50%
|
2.79%
|
2.83%
|
Expense waiver/reimbursement6
|
0.07%5
|
0.07%
|
0.06%
|
0.07%
|
0.08%
|
0.08%
|
Supplemental Data:
|
|
|
|
|
|
|
Net assets, end of period (000 omitted)
|
$133,048
|
$134,757
|
$162,034
|
$170,912
|
$167,625
|
$162,812
|
Portfolio turnover7
|
9%
|
15%
|
27%
|
24%
|
21%
|
19%
|
1
|
Per share numbers have been calculated using the average shares method.
|
2
|
Represents less than $0.01.
|
3
|
Based on net asset value. Total returns do not reflect any additional fees or expenses that may be imposed by separate accounts
of insurance companies or in
connection with any variable annuity or variable life insurance contract. Total returns for periods of less than one year
are not annualized.
|
4
|
Amount does not reflect net expenses incurred by investment companies in which the Fund may invest.
|
5
|
Computed on an annualized basis.
|
6
|
This expense decrease is reflected in both the net expense and the net investment income ratios shown above. Amount does not
reflect expense waiver/
reimbursement recorded by investment companies in which the Fund may invest.
|
7
|
Securities that mature are considered sales for purposes of this calculation.
|
|
Six Months
Ended
(unaudited)
6/30/2023
|
Year Ended December 31,
|
||||
|
2022
|
2021
|
2020
|
2019
|
2018
|
|
Net Asset Value, Beginning of Period
|
$9.79
|
$11.23
|
$11.79
|
$11.28
|
$10.62
|
$11.01
|
Income From Investment Operations:
|
|
|
|
|
|
|
Net investment income (loss)1
|
0.13
|
0.22
|
0.22
|
0.26
|
0.28
|
0.27
|
Net realized and unrealized gain (loss)
|
0.04
|
(1.26)
|
(0.42)
|
0.57
|
0.68
|
(0.36)
|
Total From Investment Operations
|
0.17
|
(1.04)
|
(0.20)
|
0.83
|
0.96
|
(0.09)
|
Less Distributions:
|
|
|
|
|
|
|
Distributions from net investment income
|
(0.23)
|
(0.24)
|
(0.26)
|
(0.29)
|
(0.30)
|
(0.30)
|
Distributions from net realized gain
|
—
|
(0.16)
|
(0.10)
|
(0.03)
|
(0.00)2
|
—
|
Total Distributions
|
(0.23)
|
(0.40)
|
(0.36)
|
(0.32)
|
(0.30)
|
(0.30)
|
Net Asset Value, End of Period
|
$9.73
|
$9.79
|
$11.23
|
$11.79
|
$11.28
|
$10.62
|
Total Return3
|
1.77%
|
(9.46)%
|
(1.66)%
|
7.86%
|
9.17%
|
(0.78)%
|
Ratios to Average Net Assets:
|
|
|
|
|
|
|
Net expenses4
|
0.99%5
|
0.99%
|
0.99%
|
0.99%
|
0.99%
|
0.99%
|
Net investment income
|
2.62%5
|
2.19%
|
1.92%
|
2.25%
|
2.54%
|
2.58%
|
Expense waiver/reimbursement6
|
0.07%5
|
0.07%
|
0.06%
|
0.07%
|
0.08%
|
0.07%
|
Supplemental Data:
|
|
|
|
|
|
|
Net assets, end of period (000 omitted)
|
$12,478
|
$12,873
|
$16,287
|
$18,302
|
$18,776
|
$19,344
|
Portfolio turnover7
|
9%
|
15%
|
27%
|
24%
|
21%
|
19%
|
1
|
Per share numbers have been calculated using the average shares method.
|
2
|
Represents less than $0.01.
|
3
|
Based on net asset value. Total returns do not reflect any additional fees or expenses that may be imposed by separate accounts
of insurance companies or in
connection with any variable annuity or variable life insurance contract. Total returns for periods of less than one year
are not annualized.
|
4
|
Amount does not reflect net expenses incurred by investment companies in which the Fund may invest.
|
5
|
Computed on an annualized basis.
|
6
|
This expense decrease is reflected in both the net expense and the net investment income ratios shown above. Amount does not
reflect expense waiver/
reimbursement recorded by investment companies in which the Fund may invest.
|
7
|
Securities that mature are considered sales for purposes of this calculation.
|
Assets:
|
|
Investment in securities, at value including $1,877,140 of securities loaned (identified cost $157,163,519)
|
$146,141,899
|
Cash
|
317
|
Due from broker (Note 2)
|
172,900
|
Income receivable
|
1,341,577
|
Receivable for shares sold
|
29,840
|
Receivable for variation margin on futures contracts
|
15,997
|
Total Assets
|
147,702,530
|
Liabilities:
|
|
Payable for shares redeemed
|
184,865
|
Payable for collateral due to broker for securities lending (Note 2)
|
1,934,163
|
Payable for investment adviser fee (Note 5)
|
2,113
|
Payable for administrative fee (Note 5)
|
310
|
Payable for portfolio accounting fees
|
27,548
|
Payable for distribution services fee (Note 5)
|
2,599
|
Accrued expenses (Note 5)
|
25,259
|
Total Liabilities
|
2,176,857
|
Net assets for 14,951,584 shares outstanding
|
$145,525,673
|
Net Assets Consist of:
|
|
Paid-in capital
|
$155,919,681
|
Total distributable earnings (loss)
|
(10,394,008)
|
Total Net Assets
|
$145,525,673
|
Net Asset Value, Offering Price and Redemption Proceeds Per Share:
|
|
Primary Shares:
|
|
$133,047,670 ÷ 13,668,529 shares outstanding, no par value, unlimited shares authorized
|
$9.73
|
Service Shares:
|
|
$12,478,003 ÷ 1,283,055 shares outstanding, no par value, unlimited shares authorized
|
$9.73
|
Investment Income:
|
|
Interest
|
$2,647,373
|
Net income on securities loaned (Note 2)
|
7,469
|
TOTAL INCOME
|
2,654,842
|
Expenses:
|
|
Investment adviser fee (Note 5)
|
440,663
|
Administrative fee (Note 5)
|
60,059
|
Custodian fees
|
3,745
|
Transfer agent fees
|
7,415
|
Directors’/Trustees’ fees (Note 5)
|
1,007
|
Auditing fees
|
13,970
|
Legal fees
|
4,536
|
Portfolio accounting fees
|
41,755
|
Distribution services fee (Note 5)
|
16,010
|
Printing and postage
|
10,357
|
Miscellaneous (Note 5)
|
12,814
|
TOTAL EXPENSES
|
612,331
|
Waiver of investment adviser fee (Note 5)
|
(49,238)
|
Net expenses
|
563,093
|
Net investment income
|
2,091,749
|
Realized and Unrealized Gain (Loss) on Investments and Futures Contracts:
|
|
Net realized loss on investments
|
(658,527)
|
Net realized loss on futures contracts
|
(93,033)
|
Net change in unrealized depreciation of investments
|
1,456,802
|
Net change in unrealized depreciation of futures contracts
|
(35,388)
|
Net realized and unrealized gain (loss) on investments and futures contracts
|
669,854
|
Change in net assets resulting from operations
|
$2,761,603
|
|
Six Months
Ended
(unaudited)
6/30/2023
|
Year Ended
12/31/2022
|
Increase (Decrease) in Net Assets
|
|
|
Operations:
|
|
|
Net investment income
|
$2,091,749
|
$3,828,050
|
Net realized gain (loss)
|
(751,560)
|
(677,538)
|
Net change in unrealized appreciation/depreciation
|
1,421,414
|
(19,480,310)
|
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS
|
2,761,603
|
(16,329,798)
|
Distributions to Shareholders:
|
|
|
Primary Shares
|
(3,525,781)
|
(5,969,547)
|
Service Shares
|
(302,937)
|
(565,684)
|
CHANGE IN NET ASSETS RESULTING FROM DISTRIBUTIONS TO SHAREHOLDERS
|
(3,828,718)
|
(6,535,231)
|
Share Transactions:
|
|
|
Proceeds from sale of shares
|
3,375,938
|
6,380,104
|
Net asset value of shares issued to shareholders in payment of distributions declared
|
3,828,716
|
6,535,227
|
Cost of shares redeemed
|
(8,241,783)
|
(20,741,748)
|
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS
|
(1,037,129)
|
(7,826,417)
|
Change in net assets
|
(2,104,244)
|
(30,691,446)
|
Net Assets:
|
|
|
Beginning of period
|
147,629,917
|
178,321,363
|
End of period
|
$145,525,673
|
$147,629,917
|
Fair Value of
Securities Loaned
|
Collateral
Received
|
$1,877,140
|
$1,934,163
|
Fair Value of Derivative Instruments
|
||
|
Assets
|
|
|
Statement of
Assets and
Liabilities
Location
|
Fair
Value
|
Derivatives not accounted for as hedging
instruments under ASC Topic 815
|
|
|
Interest rate contracts
|
Receivable for variation
margin on futures contracts
|
$(49,845)*
|
*
|
Includes cumulative net depreciation of futures contracts as reported in the footnotes to the Portfolio of Investments. Only the current day’s variation margin is
reported within the Statement of Assets and Liabilities.
|
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
|
|
|
Futures
Contracts
|
Interest rate contracts
|
$(93,033)
|
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
|
|
|
Futures
Contracts
|
Interest rate contracts
|
$(35,388)
|
|
Six Months Ended
6/30/2023
|
Year Ended
12/31/2022
|
||
Primary Shares:
|
Shares
|
Amount
|
Shares
|
Amount
|
Shares sold
|
336,688
|
$3,318,152
|
602,659
|
$6,152,032
|
Shares issued to shareholders in payment of distributions declared
|
363,483
|
3,525,781
|
581,827
|
5,969,547
|
Shares redeemed
|
(768,316)
|
(7,561,349)
|
(1,835,220)
|
(18,635,582)
|
NET CHANGE RESULTING FROM PRIMARY SHARE TRANSACTIONS
|
(68,145)
|
$(717,416)
|
(650,734)
|
$(6,514,003)
|
|
Six Months Ended
6/30/2023
|
Year Ended
12/31/2022
|
||
Service Shares:
|
Shares
|
Amount
|
Shares
|
Amount
|
Shares sold
|
5,826
|
$57,786
|
21,948
|
$228,072
|
Shares issued to shareholders in payment of distributions declared
|
31,230
|
302,935
|
55,135
|
565,680
|
Shares redeemed
|
(69,451)
|
(680,434)
|
(211,485)
|
(2,106,166)
|
NET CHANGE RESULTING FROM SERVICE SHARE TRANSACTIONS
|
(32,395)
|
$(319,713)
|
(134,402)
|
$(1,312,414)
|
NET CHANGE RESULTING FROM TOTAL FUND SHARE TRANSACTIONS
|
(100,540)
|
$(1,037,129)
|
(785,136)
|
$(7,826,417)
|
Short-Term
|
Long-Term
|
Total
|
$34,783
|
$641,637
|
$676,420
|
Administrative Fee
|
Average Daily Net Assets
of the Investment Complex
|
0.100%
|
on assets up to $50 billion
|
0.075%
|
on assets over $50 billion
|
|
Percentage of Average Daily
Net Assets of Class
|
Primary Shares
|
0.25%
|
Service Shares
|
0.25%
|
|
Distribution Services
Fees Incurred
|
Service Shares
|
$16,010
|
Purchases
|
$12,435,799
|
Sales
|
$15,778,401
|
|
Beginning
Account Value
1/1/2023
|
Ending
Account Value
6/30/2023
|
Expenses Paid
During Period1
|
Actual:
|
|
|
|
Primary Shares
|
$1,000
|
$1,018.50
|
$3.70
|
Service Shares
|
$1,000
|
$1,017.70
|
$4.95
|
Hypothetical (assuming a 5% return before expenses):
|
|
|
|
Primary Shares
|
$1,000
|
$1,021.12
|
$3.71
|
Service Shares
|
$1,000
|
$1,019.89
|
$4.96
|
1
|
Expenses are equal to the Fund’s annualized net expense ratios, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the
one-half-year period). The expenses shown in the table do not include the charges and expenses imposed by the insurance company
under the variable insurance
product contract. Please refer to the variable insurance product prospectus for a complete listing of these expenses. The
annualized net expense ratios are as
follows:
|
Primary Shares
|
0.74%
|
Service Shares
|
0.99%
|
Type of Investments
|
Percentage of
Total Net Assets
|
U.S. Government Agency Mortgage-Backed Securities
|
63.9%
|
U.S. Treasury Securities
|
16.2%
|
Non-Agency Mortgage-Backed Securities
|
7.3%
|
Asset-Backed Securities
|
4.9%
|
U.S. Government Agency Securities
|
4.5%
|
U.S. Government Agency Commercial Mortgage-Backed Securities
|
1.6%
|
Derivative Contracts2
|
(0.0)%
|
Cash Equivalents3
|
1.5%
|
Other Assets and Liabilities—Net4
|
0.1%
|
TOTAL
|
100%
|
1
|
See the Fund’s Prospectus and Statement of Additional Information for a description of these investments.
|
2
|
Represents less than 0.1%.
|
3
|
Cash Equivalents include any investments in money market mutual funds and/or overnight repurchase agreements.
|
4
|
Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities.
|
Principal
Amount
|
|
|
Value
|
|
|
MORTGAGE-BACKED SECURITIES—63.5%
|
|
|
|
Federal Home Loan Mortgage Corporation—20.7%
|
|
$ 901,364
|
|
2.000%, 9/1/2050
|
$ 745,514
|
942,988
|
|
2.000%, 1/1/2052
|
778,763
|
6,053,655
|
|
2.000%, 1/1/2052
|
4,955,875
|
1,474,548
|
|
2.500%, 9/1/2050
|
1,254,992
|
870,199
|
|
2.500%, 10/1/2051
|
739,270
|
2,072,179
|
|
2.500%, 4/1/2052
|
1,772,705
|
273,926
|
|
3.000%, 11/1/2045
|
247,185
|
532,036
|
|
3.000%, 10/1/2046
|
476,773
|
348,501
|
|
3.000%, 10/1/2046
|
314,154
|
54,573
|
|
3.000%, 11/1/2046
|
48,802
|
517,576
|
|
3.500%, 9/1/2043
|
482,402
|
147,762
|
|
3.500%, 5/1/2046
|
136,573
|
1,390,813
|
|
3.500%, 7/1/2052
|
1,281,807
|
66,778
|
|
4.000%, 1/1/2042
|
64,078
|
360,068
|
|
4.000%, 3/1/2046
|
343,510
|
54,867
|
|
4.000%, 12/1/2047
|
52,207
|
243
|
|
4.000%, 4/1/2048
|
231
|
303,896
|
|
4.000%, 7/1/2048
|
289,066
|
483,742
|
|
4.000%, 11/1/2052
|
454,014
|
1,230,810
|
|
4.500%, 11/1/2037
|
1,205,959
|
130,634
|
|
4.500%, 8/1/2040
|
128,246
|
912,060
|
|
4.500%, 7/1/2052
|
880,584
|
180,880
|
|
5.000%, 1/1/2034
|
179,823
|
53,060
|
|
5.000%, 5/1/2034
|
52,744
|
39,877
|
|
5.000%, 4/1/2036
|
39,787
|
14,200
|
|
5.000%, 5/1/2036
|
14,162
|
8,990
|
|
5.000%, 6/1/2036
|
8,969
|
34,516
|
|
5.000%, 6/1/2040
|
34,645
|
301,902
|
|
5.500%, 5/1/2034
|
304,827
|
11,568
|
|
5.500%, 12/1/2035
|
11,733
|
67,840
|
|
5.500%, 2/1/2036
|
68,958
|
46,630
|
|
5.500%, 5/1/2036
|
47,337
|
3,095
|
|
5.500%, 5/1/2036
|
3,153
|
5,417
|
|
5.500%, 5/1/2036
|
5,507
|
3,410
|
|
5.500%, 6/1/2036
|
3,474
|
888
|
|
5.500%, 6/1/2036
|
904
|
43,740
|
|
5.500%, 11/1/2037
|
44,558
|
85,095
|
|
5.500%, 1/1/2038
|
86,648
|
3,542
|
|
6.000%, 1/1/2032
|
3,573
|
11,909
|
|
6.000%, 2/1/2032
|
12,047
|
51,176
|
|
6.000%, 4/1/2036
|
52,436
|
5,407
|
|
6.000%, 5/1/2036
|
5,538
|
130,139
|
|
6.000%, 6/1/2037
|
134,171
|
9,262
|
|
6.000%, 7/1/2037
|
9,530
|
3,053
|
|
6.500%, 3/1/2029
|
3,117
|
1,735
|
|
6.500%, 6/1/2029
|
1,772
|
1,120
|
|
6.500%, 7/1/2029
|
1,143
|
342
|
|
6.500%, 9/1/2029
|
349
|
Principal
Amount
|
|
|
Value
|
|
|
MORTGAGE-BACKED SECURITIES—continued
|
|
|
|
Federal Home Loan Mortgage Corporation—continued
|
|
$ 804
|
|
7.000%, 12/1/2029
|
$ 830
|
304
|
|
7.000%, 6/1/2030
|
314
|
111
|
|
7.000%, 11/1/2030
|
115
|
144,120
|
|
7.000%, 4/1/2032
|
150,529
|
13,699
|
|
7.500%, 12/1/2030
|
14,346
|
6,037
|
|
7.500%, 1/1/2031
|
6,322
|
1,171
|
|
8.500%, 5/1/2030
|
1,226
|
177
|
|
9.000%, 2/1/2025
|
179
|
|
|
TOTAL
|
17,957,476
|
|
|
Federal National Mortgage Association—26.7%
|
|
1,242,232
|
|
2.000%, 6/1/2050
|
1,018,517
|
2,183,827
|
|
2.000%, 7/1/2050
|
1,790,538
|
751,941
|
|
2.000%, 11/1/2050
|
616,522
|
921,719
|
|
2.000%, 7/1/2051
|
755,725
|
1,937,513
|
|
2.000%, 8/1/2051
|
1,592,821
|
910,213
|
|
2.000%, 2/1/2052
|
744,584
|
1,929,731
|
|
2.000%, 2/1/2052
|
1,576,172
|
605,994
|
|
2.500%, 10/1/2051
|
517,178
|
978,365
|
|
3.000%, 9/1/2037
|
913,866
|
37,185
|
|
3.000%, 2/1/2047
|
33,543
|
583,928
|
|
3.000%, 2/1/2048
|
518,713
|
1,929,553
|
|
3.000%, 2/1/2048
|
1,725,511
|
843,742
|
|
3.000%, 5/1/2051
|
744,236
|
1,554,920
|
|
3.000%, 2/1/2052
|
1,370,936
|
1,537,605
|
|
3.500%, 8/1/2037
|
1,462,279
|
1,568,220
|
|
3.500%, 9/1/2037
|
1,491,394
|
447,621
|
|
3.500%, 9/1/2046
|
416,664
|
546,065
|
|
3.500%, 12/1/2046
|
503,283
|
340,196
|
|
3.500%, 12/1/2047
|
315,818
|
839,350
|
|
3.500%, 1/1/2048
|
775,794
|
968,500
|
|
3.500%, 11/1/2050
|
900,007
|
148,720
|
|
4.000%, 2/1/2041
|
142,762
|
1,782
|
|
4.000%, 2/1/2048
|
1,707
|
106,472
|
|
4.000%, 2/1/2048
|
101,310
|
125,675
|
|
4.500%, 10/1/2041
|
123,477
|
130,493
|
|
5.000%, 7/1/2034
|
129,782
|
15,473
|
|
5.000%, 11/1/2035
|
15,420
|
1,464,627
|
|
5.000%, 9/1/2052
|
1,436,256
|
70,529
|
|
5.500%, 9/1/2034
|
71,366
|
28,877
|
|
5.500%, 1/1/2036
|
29,320
|
37,839
|
|
5.500%, 4/1/2036
|
38,433
|
1,000,000
|
|
5.500%, 6/1/2053
|
995,342
|
1,324
|
|
6.000%, 7/1/2029
|
1,336
|
952
|
|
6.000%, 5/1/2031
|
962
|
5,317
|
|
6.000%, 5/1/2036
|
5,458
|
95,821
|
|
6.000%, 7/1/2036
|
98,550
|
2,773
|
|
6.000%, 7/1/2036
|
2,850
|
23,904
|
|
6.000%, 9/1/2037
|
24,608
|
19,170
|
|
6.000%, 11/1/2037
|
19,780
|
12,732
|
|
6.000%, 12/1/2037
|
13,024
|
1,288
|
|
6.500%, 6/1/2029
|
1,315
|
Principal
Amount
|
|
|
Value
|
|
|
MORTGAGE-BACKED SECURITIES—continued
|
|
|
|
Federal National Mortgage Association—continued
|
|
$ 103
|
|
6.500%, 6/1/2029
|
$ 105
|
104
|
|
6.500%, 7/1/2029
|
107
|
153
|
|
6.500%, 7/1/2029
|
156
|
2,022
|
|
6.500%, 7/1/2029
|
2,065
|
116
|
|
6.500%, 7/1/2029
|
118
|
91
|
|
6.500%, 8/1/2029
|
93
|
3,088
|
|
6.500%, 9/1/2030
|
3,153
|
13,102
|
|
6.500%, 6/1/2031
|
13,441
|
10,026
|
|
6.500%, 4/1/2032
|
10,333
|
84
|
|
7.000%, 2/1/2024
|
84
|
1,159
|
|
7.000%, 10/1/2029
|
1,196
|
9,414
|
|
7.000%, 10/1/2029
|
9,715
|
3,296
|
|
7.000%, 11/1/2030
|
3,419
|
70,324
|
|
7.000%, 4/1/2032
|
73,410
|
408
|
|
7.500%, 8/1/2028
|
419
|
123
|
|
7.500%, 9/1/2028
|
126
|
2,738
|
|
7.500%, 2/1/2030
|
2,857
|
1,335
|
|
8.000%, 7/1/2030
|
1,402
|
|
|
TOTAL
|
23,159,358
|
|
|
Government National Mortgage Association—16.1%
|
|
1,899,512
|
|
2.000%, 6/20/2052
|
1,594,762
|
2,768,544
|
|
2.500%, 6/20/2051
|
2,403,356
|
607,325
|
|
3.000%, 11/20/2047
|
549,466
|
1,090,506
|
|
3.500%, 1/20/2048
|
1,015,470
|
498,148
|
|
3.500%, 2/20/2048
|
464,183
|
1,000,000
|
|
4.000%, 10/20/2052
|
945,574
|
983,423
|
|
4.000%, 12/20/2052
|
929,592
|
202,300
|
|
4.500%, 6/20/2039
|
199,222
|
159,241
|
|
4.500%, 10/15/2039
|
155,446
|
227,528
|
|
4.500%, 8/20/2040
|
224,313
|
977,533
|
|
4.500%, 10/20/2052
|
944,020
|
118,520
|
|
5.000%, 7/15/2034
|
117,136
|
966,264
|
|
5.000%, 9/20/2052
|
950,086
|
970,758
|
|
5.500%, 10/20/2052
|
966,720
|
7,432
|
|
6.000%, 4/15/2032
|
7,493
|
18,663
|
|
6.000%, 5/15/2032
|
18,968
|
67,720
|
|
6.000%, 4/15/2036
|
69,471
|
61,086
|
|
6.000%, 5/15/2036
|
62,653
|
17,460
|
|
6.000%, 7/20/2036
|
17,981
|
18,030
|
|
6.000%, 5/20/2037
|
18,622
|
104,463
|
|
6.000%, 7/20/2038
|
108,213
|
1,927,214
|
|
6.000%, 10/20/2052
|
1,940,459
|
121
|
|
6.500%, 12/15/2023
|
121
|
546
|
|
6.500%, 5/15/2024
|
545
|
351
|
|
6.500%, 6/15/2029
|
358
|
1,313
|
|
6.500%, 6/15/2031
|
1,337
|
2,397
|
|
6.500%, 7/20/2031
|
2,454
|
2,291
|
|
6.500%, 8/20/2031
|
2,344
|
19,401
|
|
6.500%, 10/15/2031
|
19,849
|
22,207
|
|
6.500%, 12/15/2031
|
22,705
|
2,197
|
|
6.500%, 4/15/2032
|
2,247
|
Principal
Amount
|
|
|
Value
|
|
|
MORTGAGE-BACKED SECURITIES—continued
|
|
|
|
Government National Mortgage Association—continued
|
|
$ 15,355
|
|
6.500%, 5/15/2032
|
$ 15,718
|
136,793
|
|
6.500%, 5/15/2032
|
140,227
|
279
|
|
7.500%, 10/15/2029
|
288
|
2,301
|
|
7.500%, 3/20/2030
|
2,375
|
758
|
|
8.000%, 4/15/2030
|
791
|
|
|
TOTAL
|
13,914,565
|
|
|
TOTAL MORTGAGE-BACKED SECURITIES
(IDENTIFIED COST $56,839,320)
|
55,031,399
|
|
|
U.S. TREASURIES—16.2%
|
|
|
|
U.S. Treasury Bonds—3.8%
|
|
400,000
|
|
2.250%, 5/15/2041
|
307,766
|
1,200,000
|
|
2.875%, 8/15/2045
|
989,341
|
650,000
|
|
3.125%, 8/15/2044
|
561,797
|
600,000
|
|
3.250%, 5/15/2042
|
534,854
|
600,000
|
|
3.375%, 11/15/2048
|
542,227
|
300,000
|
|
4.000%, 11/15/2052
|
307,716
|
|
|
TOTAL
|
3,243,701
|
|
|
U.S. Treasury Notes—12.4%
|
|
2,500,000
|
|
0.500%, 10/31/2027
|
2,133,078
|
750,000
|
|
1.875%, 2/28/2027
|
687,364
|
250,000
|
|
2.500%, 2/28/2026
|
236,918
|
750,000
|
|
2.625%, 7/31/2029
|
692,528
|
1,500,000
|
|
2.750%, 5/31/2029
|
1,395,896
|
500,000
|
|
2.875%, 5/15/2032
|
463,293
|
500,000
|
|
3.500%, 1/31/2030
|
485,050
|
1,000,000
|
|
3.500%, 4/30/2030
|
970,937
|
1,000,000
|
|
3.625%, 3/31/2028
|
976,719
|
750,000
|
|
3.875%, 12/31/2029
|
743,204
|
2,000,000
|
|
4.000%, 12/15/2025
|
1,968,562
|
|
|
TOTAL
|
10,753,549
|
|
|
TOTAL U.S. TREASURIES
(IDENTIFIED COST $14,830,546)
|
13,997,250
|
|
|
COLLATERALIZED MORTGAGE OBLIGATIONS—7.7%
|
|
|
|
Government National Mortgage Association—0.4%
|
|
357,785
|
|
REMIC, Series 2015-47, Class AE, 2.900%, 11/16/2055
|
334,847
|
|
|
Non-Agency Mortgage-Backed Securities—7.3%
|
|
58,896
|
|
Credit Suisse Mortgage Trust 2007-4, Class 4A2, 5.500%, 6/25/2037
|
5,882
|
66,341
|
|
Credit Suisse Mortgage Trust 2015-WIN1, Class A6, 3.500%, 12/25/2044
|
59,078
|
1,013,927
|
|
GS Mortgage-Backed Securities Trust 2022-PJ3, Class A4, 2.500%, 8/25/2052
|
816,013
|
539,245
|
|
GS Mortgage-Backed Securities Trust 2023-PJ1, Class A4, 3.500%, 2/25/2053
|
467,880
|
1,107,073
|
1
|
JP Morgan Mortgage Trust 2021-1, Class A11, 5.622% (30-DAY AVERAGE SOFR +0.650%), 6/25/2051
|
1,020,035
|
1,279,134
|
|
JP Morgan Mortgage Trust 2022-1, Class A2, 3.000%, 7/25/2052
|
1,067,727
|
1,370,318
|
|
JP Morgan Mortgage Trust 2022-2, Class A3, 2.500%, 8/25/2052
|
1,101,126
|
1,191,521
|
|
JP Morgan Mortgage Trust 2022-3, Class A3, 2.500%, 8/25/2052
|
957,452
|
1,084,679
|
|
Sequoia Mortgage Trust 2021-3, Class A1, 2.500%, 5/25/2051
|
872,954
|
|
|
TOTAL
|
6,368,147
|
|
|
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(IDENTIFIED COST $7,756,367)
|
6,702,994
|
|
|
ASSET-BACKED SECURITIES—4.9%
|
|
|
|
Auto Receivables—1.1%
|
|
311,000
|
|
AmeriCredit Automobile Receivables Trust 2020-2, Class C, 1.480%, 2/18/2026
|
299,987
|
382,383
|
|
Chase Auto Owner Trust 2022-AA, Class A2, 3.860%, 10/27/2025
|
379,412
|
Principal
Amount
|
|
|
Value
|
|
|
ASSET-BACKED SECURITIES—continued
|
|
|
|
Auto Receivables—continued
|
|
$ 250,000
|
|
Ford Credit Auto Lease Trust 2023-A, Class A2A, 5.190%, 6/15/2025
|
$ 249,257
|
|
|
TOTAL
|
928,656
|
|
|
Single Family Rental Securities—1.0%
|
|
605,000
|
|
Progress Residential Trust 2022-SFR1, Class E1, 3.930%, 2/17/2041
|
504,510
|
409,212
|
|
Progress Residential Trust 2022-SFR4, Class B, 4.788%, 5/17/2041
|
385,937
|
|
|
TOTAL
|
890,447
|
|
|
Student Loans—2.8%
|
|
186,531
|
|
Navient Student Loan Trust 2020-FA, Class A, 1.220%, 7/15/2069
|
165,938
|
385,967
|
|
Navient Student Loan Trust 2020-GA, Class A, 1.170%, 9/16/2069
|
343,087
|
208,222
|
|
Navient Student Loan Trust 2020-HA, Class A, 144A, 1.310%, 1/15/2069
|
188,703
|
658,681
|
|
Navient Student Loan Trust 2021-FA, Class A, 1.110%, 2/18/2070
|
550,912
|
841,847
|
|
Navient Student Loan Trust 2021-GA, Class A, 1.580%, 4/15/2070
|
724,422
|
475,974
|
1
|
SMB Private Education Loan Trust 2020-BA, Class A1B, 6.293% (1-month USLIBOR +1.100%), 7/15/2053
|
470,904
|
|
|
TOTAL
|
2,443,966
|
|
|
TOTAL ASSET-BACKED SECURITIES
(IDENTIFIED COST $4,707,231)
|
4,263,069
|
|
|
GOVERNMENT AGENCIES—4.5%
|
|
|
|
Tennessee Valley Authority Bonds—4.5%
|
|
1,700,000
|
|
2.875%, 2/1/2027
|
1,607,681
|
2,000,000
|
|
4.650%, 6/15/2035
|
2,036,770
|
250,000
|
|
4.875%, 1/15/2048
|
251,980
|
|
|
TOTAL GOVERNMENT AGENCIES
(IDENTIFIED COST $4,017,410)
|
3,896,431
|
|
|
COMMERCIAL MORTGAGE-BACKED SECURITIES—1.6%
|
|
|
|
Agency Commercial Mortgage-Backed Securities—1.6%
|
|
457,000
|
|
FHLMC REMIC, Series K151, Class A2, 3.800%, 10/25/2032
|
431,583
|
1,000,000
|
|
FHLMC REMIC, Series K750, Class A2, 3.000%, 9/25/2029
|
916,694
|
|
|
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES
(IDENTIFIED COST $1,327,154)
|
1,348,277
|
|
|
REPURCHASE AGREEMENT—1.5%
|
|
1,289,000
|
|
Interest in $1,976,000,000 joint repurchase agreement 5.06%, dated 6/30/2023 under which Bank of America, N.A. will
repurchase securities provided as collateral for $1,976,833,213 on 7/3/2023. The securities provided as collateral at the
end of
the period held with BNY Mellon as tri-party agent, were U.S. Government Agency securities with various maturities to
7/20/2052 and the market value of those underlying securities was $2,016,369,878.
(IDENTIFIED COST $1,289,000)
|
1,289,000
|
|
|
TOTAL INVESTMENT IN SECURITIES—99.9%
(IDENTIFIED COST $90,767,028)2
|
86,528,420
|
|
|
OTHER ASSETS AND LIABILITIES - NET—0.1%3
|
72,525
|
|
|
TOTAL NET ASSETS—100%
|
$86,600,945
|
Description
|
Number of
Contracts
|
Notional
Value
|
Expiration
Date
|
Value and
Unrealized
(Depreciation)
|
Long Futures:
|
|
|
|
|
United States Treasury Notes 5-Year Long Futures
|
25
|
$2,677,344
|
September 2023
|
$(39,918)
|
1
|
Floating/variable note with current rate and current maturity or next reset date shown.
|
2
|
Also represents cost of investments for federal tax purposes.
|
3
|
Assets, other than investments in securities, less liabilities. See Statement of Assets and Liabilities.
|
The following acronym(s) are used throughout this portfolio:
|
|
|
FHLMC
|
—Federal Home Loan Mortgage Corporation
|
|
LIBOR
|
—London Interbank Offered Rate
|
|
REMIC
|
—Real Estate Mortgage Investment Conduit
|
|
SOFR
|
—Secured Overnight Financing Rate
|
|
Six Months
Ended
(unaudited)
6/30/2023
|
Year Ended December 31,
|
||||
|
2022
|
2021
|
2020
|
2019
|
2018
|
|
Net Asset Value, Beginning of Period
|
$9.20
|
$10.71
|
$11.16
|
$10.87
|
$10.52
|
$10.73
|
Income From Investment Operations:
|
|
|
|
|
|
|
Net investment income (loss)1
|
0.14
|
0.21
|
0.15
|
0.20
|
0.27
|
0.24
|
Net realized and unrealized gain (loss)
|
(0.01)
|
(1.54)
|
(0.38)
|
0.36
|
0.34
|
(0.20)
|
TOTAL FROM INVESTMENT OPERATIONS
|
0.13
|
(1.33)
|
(0.23)
|
0.56
|
0.61
|
0.04
|
Less Distributions:
|
|
|
|
|
|
|
Distributions from net investment income
|
(0.23)
|
(0.18)
|
(0.22)
|
(0.27)
|
(0.26)
|
(0.25)
|
Net Asset Value, End of Period
|
$9.10
|
$9.20
|
$10.71
|
$11.16
|
$10.87
|
$10.52
|
Total Return2
|
1.40%
|
(12.55)%
|
(2.04)%
|
5.21%
|
5.90%
|
0.45%
|
Ratios to Average Net Assets:
|
|
|
|
|
|
|
Net expenses3
|
0.78%4
|
0.78%
|
0.78%
|
0.78%
|
0.78%
|
0.78%
|
Net investment income
|
3.09%4
|
2.12%
|
1.34%
|
1.79%
|
2.49%
|
2.28%
|
Expense waiver/reimbursement5
|
0.13%4
|
0.13%
|
0.09%
|
0.08%
|
0.10%
|
0.08%
|
Supplemental Data:
|
|
|
|
|
|
|
Net assets, end of period (000 omitted)
|
$86,601
|
$91,840
|
$114,594
|
$130,306
|
$116,935
|
$120,654
|
Portfolio turnover6
|
30%
|
122%
|
166%
|
139%
|
65%
|
64%
|
Portfolio turnover (excluding purchases and sales from dollar-roll transactions)6
|
30%
|
96%
|
31%
|
37%
|
61%
|
64%
|
1
|
Per share numbers have been calculated using the average shares method.
|
2
|
Based on net asset value. Total returns do not reflect any additional fees or expenses that may be imposed by separate accounts
of insurance companies or in
connection with any variable annuity or variable life insurance contract. Total returns for periods of less than one year
are not annualized.
|
3
|
Amount does not reflect net expenses incurred by investment companies in which the Fund may invest.
|
4
|
Computed on an annualized basis.
|
5
|
This expense decrease is reflected in both the net expense and the net investment income ratios shown above. Amount does not
reflect expense waiver/
reimbursement recorded by investment companies in which the Fund may invest.
|
6
|
Securities that mature are considered sales for purposes of this calculation.
|
Assets:
|
|
Investment in securities, at value including (identified cost $90,767,028)
|
$86,528,420
|
Cash
|
198
|
Due from broker (Note 2)
|
49,700
|
Income receivable
|
349,667
|
Receivable for investments sold
|
173,976
|
Receivable for shares sold
|
75,316
|
Total Assets
|
87,177,277
|
Liabilities:
|
|
Payable for investments purchased
|
517,683
|
Payable for shares redeemed
|
7,345
|
Payable for variation margin on futures contracts
|
14,705
|
Payable for investment adviser fee (Note 5)
|
1,076
|
Payable for administrative fee (Note 5)
|
185
|
Payable for portfolio accounting fees
|
34,281
|
Accrued expenses (Note 5)
|
1,057
|
Total Liabilities
|
576,332
|
Net assets for 9,511,752 shares outstanding
|
$86,600,945
|
Net Assets Consist of:
|
|
Paid-in capital
|
$98,763,801
|
Total distributable earnings (loss)
|
(12,162,856)
|
Total Net Assets
|
$86,600,945
|
Net Asset Value, Offering Price and Redemption Proceeds Per Share:
|
|
$86,600,945 ÷ 9,511,752 shares outstanding, no par value, unlimited shares authorized
|
$9.10
|
Investment Income:
|
|
Interest
|
$1,712,124
|
Expenses:
|
|
Investment adviser fee (Note 5)
|
265,355
|
Administrative fee (Note 5)
|
35,976
|
Custodian fees
|
7,371
|
Transfer agent fees
|
5,024
|
Directors’/Trustees’ fees (Note 5)
|
830
|
Auditing fees
|
12,758
|
Legal fees
|
4,817
|
Portfolio accounting fees
|
50,680
|
Printing and postage
|
10,861
|
Miscellaneous (Note 5)
|
10,633
|
TOTAL EXPENSES
|
404,305
|
Waiver of investment adviser fee (Note 5)
|
(57,177)
|
Net expenses
|
347,128
|
Net investment income
|
1,364,996
|
Realized and Unrealized Gain (Loss) on Investments and Futures Contracts:
|
|
Net realized loss on investments
|
(2,032,044)
|
Net realized loss on futures contracts
|
(28,209)
|
Net change in unrealized depreciation of investments
|
2,132,536
|
Net change in unrealized appreciation of futures contracts
|
(39,918)
|
Net realized and unrealized gain (loss) on investments and futures contracts
|
32,365
|
Change in net assets resulting from operations
|
$1,397,361
|
|
Six Months
Ended
(unaudited)
6/30/2023
|
Year Ended
12/31/2022
|
Increase (Decrease) in Net Assets
|
|
|
Operations:
|
|
|
Net investment income
|
$1,364,996
|
$2,141,798
|
Net realized gain (loss)
|
(2,060,253)
|
(6,371,670)
|
Net change in unrealized appreciation/depreciation
|
2,092,618
|
(9,883,732)
|
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS
|
1,397,361
|
(14,113,604)
|
Distributions to Shareholders
|
(2,190,864)
|
(1,919,363)
|
Share Transactions:
|
|
|
Proceeds from sale of shares
|
2,170,007
|
10,329,104
|
Net asset value of shares issued to shareholders in payment of distributions declared
|
2,190,864
|
1,919,363
|
Cost of shares redeemed
|
(8,806,888)
|
(18,969,052)
|
CHANGE IN NET ASSETS RESULTING FROM SHARE TRANSACTIONS
|
(4,446,017)
|
(6,720,585)
|
Change in net assets
|
(5,239,520)
|
(22,753,552)
|
Net Assets:
|
|
|
Beginning of period
|
91,840,465
|
114,594,017
|
End of period
|
$86,600,945
|
$91,840,465
|
Fair Value of Derivative Instruments
|
||
|
Liabilities
|
|
|
Statement of
Assets and
Liabilities
Location
|
Fair
Value
|
Derivatives not accounted for as hedging
instruments under ASC Topic 815
|
|
|
Interest rate contracts
|
Payable for variation margin
on futures contracts
|
$(39,918)*
|
*
|
Includes cumulative net depreciation of futures contracts as reported in the footnotes to the Portfolio of Investments. Only the current day’s variation margin is
reported within the Statement of Assets and Liabilities.
|
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
|
|
|
Futures
Contracts
|
Interest rate contracts
|
$(28,209)
|
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income
|
|
|
Futures
Contracts
|
Interest rate contracts
|
$(39,918)
|
|
Six Months Ended
6/30/2023
|
Year Ended
12/31/2022
|
Shares sold
|
235,011
|
1,043,424
|
Shares issued to shareholders in payment of distributions declared
|
238,916
|
191,744
|
Shares redeemed
|
(945,435)
|
(1,949,011)
|
NET CHANGE RESULTING FROM FUND SHARE TRANSACTIONS
|
(471,508)
|
(713,843)
|
Short-Term
|
Long-Term
|
Total
|
$4,865,823
|
$2,355,680
|
$7,221,503
|
Administrative Fee
|
Average Daily Net Assets
of the Investment Complex
|
0.100%
|
on assets up to $50 billion
|
0.075%
|
on assets over $50 billion
|
Purchases
|
$744,633
|
Sales
|
$1,802,742
|
|
Beginning
Account Value
1/1/2023
|
Ending
Account Value
6/30/2023
|
Expenses Paid
During Period1
|
Actual
|
$1,000
|
$1,014.00
|
$3.90
|
Hypothetical (assuming a 5% return before expenses)
|
$1,000
|
$1,020.93
|
$3.91
|
1
|
Expenses are equal to the Fund’s annualized net expense ratio of 0.78%, multiplied by the average account value over the period, multiplied by 181/365 (to
reflect the one-half-year period). The expenses shown in the table do not include the charges and expenses imposed by the
insurance company under the
variable insurance product contract. Please refer to the variable insurance product prospectus for a complete listing of these
expenses.
|
Item 2. | Code of Ethics |
Not Applicable
Item 3. | Audit Committee Financial Expert |
Not Applicable
Item 4. | Principal Accountant Fees and Services |
Not Applicable
Item 5. | Audit Committee of Listed Registrants |
Not Applicable
Item 6. | Schedule of Investments |
(a) The registrant’s Schedule of Investments is included as part of the Report to Stockholders filed under Item 1 of this form.
(b) Not Applicable; Fund had no divestments during the reporting period covered since the previous Form N-CSR filing.
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies |
Not Applicable
Item 8. | Portfolio Managers of Closed-End Management Investment Companies |
Not Applicable
Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers |
Not Applicable
Item 10. | Submission of Matters to a Vote of Security Holders |
No Changes to Report
Item 11. | Controls and Procedures |
(a) The registrant’s President and Treasurer have concluded that the
registrant’s disclosure controls and procedures (as defined in rule 30a-3(c) under the Act) are effective in design and operation and are sufficient to form the basis of the certifications required by Rule 30a-(2) under the Act, based on their evaluation of these disclosure controls and procedures within 90 days of the filing date of this report on Form N-CSR.
(b) There were no changes in the registrant’s internal control over financial reporting (as defined in rule 30a-3(d) under the Act) during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies |
Not Applicable
Item 13. | Exhibits |
(a)(1) Code of Ethics- Not Applicable to this Report.
(a)(2) Certifications of Principal Executive Officer and Principal Financial Officer.
(a)(3) Not Applicable.
(b) Certifications pursuant to 18 U.S.C. Section 1350.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Registrant Federated Hermes Insurance Series
By /S/ Lori A. Hensler
Lori A. Hensler
Principal Financial Officer
Date August 15, 2023
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By /S/ John B. Fisher
John B. Fisher
Principal Executive Officer
Date August 15, 2023
By /S/ Lori A. Hensler
Lori A. Hensler
Principal Financial Officer
Date August 15, 2023
N-CSR Item 13(a)(2) - Exhibits: Certifications
I, John B. Fisher, certify that:
Date: August 15, 2023
/S/ John B. Fisher
John B. Fisher
President - Principal Executive Officer
N-CSR Item 13(a)(2) - Exhibits: Certifications
I, Lori A. Hensler, certify that:
Date: August 15, 2023
/S/ Lori A. Hensler
Lori A. Hensler
Treasurer - Principal Financial Officer
N-CSR Item 13(b) - Exhibits: Certifications
SECTION 906 CERTIFICATION
Pursuant to 18 U.S.C.§ 1350, the undersigned officers of Federated Hermes Insurance Series on behalf of Federated Hermes Fund for U.S. Government Securities II, Federated Hermes Government Money Fund II, Federated Hermes High Income Bond Fund II, Federated Hermes Kaufmann Fund II, Federated Hermes Managed Volatility Fund II, Federated Hermes Quality Bond Fund II(the “Registrant”), hereby certify, to the best of our knowledge, that the Registrant’s Report on Form N-CSR for the period ended June 30, 2023(the “Report”) fully complies with the requirements of Section 13(a) or 15(d), as applicable, of the Securities and Exchange Act of 1934 and that the information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant.
Dated: August 15, 2023
/s/ John B. Fisher
John B. Fisher
Title: President, Principal Executive Officer
Dated: August 15, 2023
/s/ Lori A. Hensler
Lori A. Hensler
Title: Treasurer, Principal Financial Officer
This certification is being furnished solely pursuant to 18 U.S.C.§ 1350 and is not being filed as part of the Report or as a separate disclosure document.