29/08/2024 | Press release | Distributed by Public on 29/08/2024 13:23
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act File Number: 811-03591
Calvert Variable Series, Inc.
(Exact Name of Registrant as Specified in Charter)
2050 M Street NW, Suite 200, Washington, DC 20036
(Address of Principal Executive Offices)
Deidre E. Walsh
One Post Office Square, Boston, Massachusetts 02109
(Name and Address of Agent for Services)
(202) 238-2200
(Registrant's Telephone Number)
December 31
Date of Fiscal Year End
June 30, 2024
Date of Reporting Period
Item 1. Reports to Stockholders
(a) |
Semi-Annual Shareholder Report June 30, 2024
This semi-annual shareholder report contains important information about the Calvert VP SRI Balanced Portfolio for the period of January 1, 2024 to June 30, 2024. You can find additional information about the Fund at www.eatonvance.com/variable-portfolios.php. You can also request this information by contacting us at 1-800-368-2745.
(based on a hypothetical $10,000 investment)
Class Name
|
Costs of a $10,000 investment
|
Costs paid as a percentage of a $10,000 investment
|
Class F
|
$47
|
0.89%
|
Footnote | Description |
Footnote1
|
Does not reflect expenses and charges that are, or may be, imposed under the variable annuity contract or variable life insurance separate account or qualified pension or retirement plan through which your investment in the Fund is made. |
Total Net Assets
|
$425,475,957
|
# of Portfolio Holdings
|
481
|
Portfolio Turnover Rate
|
74%
|
The following tables reflect what the Fund invested in as of the report date.
Value
|
Value
|
OtherFootnote Reference†
|
1.6%
|
Collateralized Mortgage Obligations
|
1.2%
|
U.S. Treasury Obligations
|
3.6%
|
Short-Term Investments
|
3.7%
|
Commercial Mortgage-Backed Securities
|
4.2%
|
Asset-Backed Securities
|
4.9%
|
U.S. Government Agency Mortgage-Backed Securities
|
8.7%
|
Corporate Bonds
|
11.7%
|
Common Stocks
|
60.4%
|
Footnote | Description |
Footnote†
|
Investment types less than 1% each |
Microsoft Corp.
|
5.3%
|
NVIDIA Corp.
|
4.4%
|
Apple, Inc.
|
4.0%
|
Alphabet, Inc., Class C
|
3.3%
|
Uniform Mortgage-Backed Security, 5.00%, 30-Year, TBA
|
3.1%
|
Amazon.com, Inc.
|
2.9%
|
Uniform Mortgage-Backed Security, 4.00%, 30-Year, TBA
|
2.3%
|
AbbVie, Inc.
|
1.6%
|
Walmart, Inc.
|
1.6%
|
Alphabet, Inc., Class A
|
1.5%
|
Total
|
30.0%
|
Footnote | Description |
Footnotea
|
Excluding cash equivalents |
If you wish to view additional information about the Fund, including the prospectus, statement of additional information, financial statements and holdings, please scan the QR code or visit www.eatonvance.com/variable-portfolios.php. For proxy information, please visit www.calvert.com/active-engagement.php?DM=how-we-influence.
The Funds may deliver a single copy of certain required shareholder documents (including prospectuses, shareholder reports, and proxy materials) to investors with the same last name and the same address. Your participation will continue indefinitely unless you instruct otherwise by calling 1-800-368-2745 or by contacting your financial intermediary. Your instruction will typically be effective within 30 days of receipt.
Not FDIC Insured | May Lose Value | No Bank Guarantee
Semi-Annual Shareholder Report June 30, 2024
Semi-Annual Shareholder Report June 30, 2024
This semi-annual shareholder report contains important information about the Calvert VP SRI Balanced Portfolio for the period of January 1, 2024 to June 30, 2024. You can find additional information about the Fund at www.eatonvance.com/variable-portfolios.php. You can also request this information by contacting us at 1-800-368-2745.
(based on a hypothetical $10,000 investment)
Class Name
|
Costs of a $10,000 investment
|
Costs paid as a percentage of a $10,000 investment
|
Class I
|
$34
|
0.64%
|
Footnote | Description |
Footnote1
|
Does not reflect expenses and charges that are, or may be, imposed under the variable annuity contract or variable life insurance separate account or qualified pension or retirement plan through which your investment in the Fund is made. |
Total Net Assets
|
$425,475,957
|
# of Portfolio Holdings
|
481
|
Portfolio Turnover Rate
|
74%
|
The following tables reflect what the Fund invested in as of the report date.
Value
|
Value
|
OtherFootnote Reference†
|
1.6%
|
Collateralized Mortgage Obligations
|
1.2%
|
U.S. Treasury Obligations
|
3.6%
|
Short-Term Investments
|
3.7%
|
Commercial Mortgage-Backed Securities
|
4.2%
|
Asset-Backed Securities
|
4.9%
|
U.S. Government Agency Mortgage-Backed Securities
|
8.7%
|
Corporate Bonds
|
11.7%
|
Common Stocks
|
60.4%
|
Footnote | Description |
Footnote†
|
Investment types less than 1% each |
Microsoft Corp.
|
5.3%
|
NVIDIA Corp.
|
4.4%
|
Apple, Inc.
|
4.0%
|
Alphabet, Inc., Class C
|
3.3%
|
Uniform Mortgage-Backed Security, 5.00%, 30-Year, TBA
|
3.1%
|
Amazon.com, Inc.
|
2.9%
|
Uniform Mortgage-Backed Security, 4.00%, 30-Year, TBA
|
2.3%
|
AbbVie, Inc.
|
1.6%
|
Walmart, Inc.
|
1.6%
|
Alphabet, Inc., Class A
|
1.5%
|
Total
|
30.0%
|
Footnote | Description |
Footnotea
|
Excluding cash equivalents |
If you wish to view additional information about the Fund, including the prospectus, statement of additional information, financial statements and holdings, please scan the QR code or visit www.eatonvance.com/variable-portfolios.php. For proxy information, please visit www.calvert.com/active-engagement.php?DM=how-we-influence.
The Funds may deliver a single copy of certain required shareholder documents (including prospectuses, shareholder reports, and proxy materials) to investors with the same last name and the same address. Your participation will continue indefinitely unless you instruct otherwise by calling 1-800-368-2745 or by contacting your financial intermediary. Your instruction will typically be effective within 30 days of receipt.
Not FDIC Insured | May Lose Value | No Bank Guarantee
Semi-Annual Shareholder Report June 30, 2024
Semi-Annual Shareholder Report June 30, 2024
This semi-annual shareholder report contains important information about the Calvert VP SRI Mid Cap Portfolio for the period of January 1, 2024 to June 30, 2024. You can find additional information about the Fund at www.eatonvance.com/variable-portfolios.php. You can also request this information by contacting us at 1-800-368-2745.
(based on a hypothetical $10,000 investment)
Fund Name
|
Costs of a $10,000 investment
|
Costs paid as a percentage of a $10,000 investment
|
Calvert VP SRI Mid Cap Portfolio
|
$50
|
0.99%
|
Footnote | Description |
Footnote1
|
Does not reflect expenses and charges that are, or may be, imposed under the variable annuity contract or variable life insurance separate account or qualified pension or retirement plan through which your investment in the Fund is made. |
Total Net Assets
|
$24,809,437
|
# of Portfolio Holdings
|
59
|
Portfolio Turnover Rate
|
20%
|
The following tables reflect what the Fund invested in as of the report date.
Value
|
Value
|
Short-Term Investments
|
4.2%
|
Consumer Staples
|
5.0%
|
Materials
|
5.1%
|
Utilities
|
5.3%
|
Real Estate
|
8.1%
|
Health Care
|
9.3%
|
Financials
|
14.2%
|
Information Technology
|
14.6%
|
Consumer Discretionary
|
14.9%
|
Industrials
|
19.3%
|
AptarGroup, Inc.
|
3.1%
|
Motorola Solutions, Inc.
|
3.0%
|
Tradeweb Markets, Inc., Class A
|
2.7%
|
CMS Energy Corp.
|
2.7%
|
Aramark
|
2.7%
|
Alliant Energy Corp.
|
2.6%
|
Equity LifeStyle Properties, Inc.
|
2.5%
|
AMETEK, Inc.
|
2.5%
|
Lamar Advertising Co., Class A
|
2.5%
|
VeriSign, Inc.
|
2.4%
|
Total
|
26.7%
|
Footnote | Description |
Footnotea
|
Excluding cash equivalents |
If you wish to view additional information about the Fund, including the prospectus, statement of additional information, financial statements and holdings, please scan the QR code or visit www.eatonvance.com/variable-portfolios.php. For proxy information, please visit www.calvert.com/active-engagement.php?DM=how-we-influence.
The Funds may deliver a single copy of certain required shareholder documents (including prospectuses, shareholder reports, and proxy materials) to investors with the same last name and the same address. Your participation will continue indefinitely unless you instruct otherwise by calling 1-800-368-2745 or by contacting your financial intermediary. Your instruction will typically be effective within 30 days of receipt.
Not FDIC Insured | May Lose Value | No Bank Guarantee
Semi-Annual Shareholder Report June 30, 2024
(b) |
Not applicable. |
Item 2. Code of Ethics
Not required in this filing.
Item 3. Audit Committee Financial Expert
Not required in this filing.
Item 4. Principal Accountant Fees and Services
Not required in this filing.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Schedule of Investments
(a) |
Please see schedule of investments contained in the Financial Statements and Financial Highlights included under Item 7 of this Form N-CSR. |
(b) |
Not applicable. |
Item 7. Financial Statements and Financial Highlights for Open-EndManagement Investment Companies
Table of Contents | |
Schedule of Investments | 1 |
Statement of Assets and Liabilities | 12 |
Statement of Operations | 13 |
Statements of Changes in Net Assets | 14 |
Financial Highlights | 15 |
Notes to Financial Statements | 17 |
Board of Directors' Contract Approval | 26 |
Asset-Backed Securities - 5.1% |
Security |
Principal Amount (000's omitted)* |
Value | |
Avis Budget Rental Car Funding AESOP LLC, Series 2024-3A, Class C, 6.11%, 12/20/30(1) | 100 | $ 99,488 | |
Coinstar Funding LLC, Series 2017-1A, Class A2, 5.216%, 4/25/47(1) | 430 | 375,928 | |
Cologix Data Centers U.S. Issuer LLC: | |||
Series 2021-1A, Class A2, 3.30%, 12/26/51(1) | 600 | 549,926 | |
Series 2021-1A, Class B, 3.79%, 12/26/51(1) | 350 | 320,653 | |
Conn's Receivables Funding LLC, Series 2022-A, Class C, 0.00%, 12/15/26(1) | 556 | 531,197 | |
DataBank Issuer LLC, Series 2021-2A, Class A2, 2.40%, 10/25/51(1) | 283 | 256,945 | |
DB Master Finance LLC, Series 2017-1A, Class A2II, 4.03%, 11/20/47(1) | 80 | 75,783 | |
Diamond Infrastructure Funding LLC: | |||
Series 2021-1A, Class A, 1.76%, 4/15/49(1) | 415 | 374,745 | |
Series 2021-1A, Class C, 3.475%, 4/15/49(1) | 99 | 89,333 | |
Diamond Issuer LLC, Series 2021-1A, Class A, 2.305%, 11/20/51(1) | 782 | 705,864 | |
Driven Brands Funding LLC: | |||
Series 2018-1A, Class A2, 4.739%, 4/20/48(1) | 84 | 82,529 | |
Series 2019-1A, Class A2, 4.641%, 4/20/49(1) | 84 | 82,090 | |
Enterprise Fleet Financing LLC, Series 2023-1, Class A2, 5.51%, 1/22/29(1) | 530 | 529,437 | |
ExteNet LLC: | |||
Series 2019-1A, Class A2, 3.204%, 7/25/49(1) | 345 | 344,243 | |
Series 2019-1A, Class B, 4.14%, 7/25/49(1) | 55 | 54,855 | |
Federal National Mortgage Association Grantor Trust, Series 2017-T1, Class A, 2.898%, 6/25/27 | 272 | 256,430 | |
FMC GMSR Issuer Trust: | |||
Series 2021-GT1, Class A, 3.62%, 7/25/26(1)(2) | 100 | 89,702 | |
Series 2021-GT2, Class A, 3.85%, 10/25/26(1)(2) | 420 | 377,134 | |
Series 2022-GT1, Class A, 6.19%, 4/25/27(1) | 100 | 97,506 | |
Series 2022-GT2, Class A, 7.90%, 7/25/27(1) | 350 | 355,514 | |
FOCUS Brands Funding LLC, Series 2017-1A, Class A2II, 5.093%, 4/30/47(1) | 167 | 162,479 | |
GoodLeap Sustainable Home Solutions Trust, Series 2021-5CS, Class A, 2.31%, 10/20/48(1) | 191 | 152,244 | |
Hardee's Funding LLC, Series 2020-1A, Class A2, 3.981%, 12/20/50(1) | 174 | 158,172 | |
Horizon Aircraft Finance I Ltd., Series 2018-1, Class A, 4.458%, 12/15/38(1) | 162 | 147,252 | |
Jersey Mike's Funding LLC, Series 2019-1A, Class A2, 4.433%, 2/15/50(1) | 279 | 268,416 | |
JPMorgan Chase Bank NA, Series 2021-3, Class B, 0.76%, 2/26/29(1) | 55 | 53,959 | |
LAD Auto Receivables Trust: | |||
Series 2023-1A, Class A2, 5.68%, 10/15/26(1) | 62 | 61,566 | |
Series 2023-4A, Class A2, 6.21%, 10/15/26(1) | 96 | 95,948 | |
LL ABS Trust, Series 2022-1A, Class B, 5.05%, 11/15/29(1) | 89 | 88,580 |
Security |
Principal Amount (000's omitted)* |
Value | |
Loanpal Solar Loan Ltd., Series 2020-1GS, Class C, 2.00%, 6/20/47(1) | 68 | $ 40,294 | |
Marlette Funding Trust, Series 2023-1A, Class A, 6.07%, 4/15/33(1) | 102 | 102,249 | |
MetroNet Infrastructure Issuer LLC: | |||
Series 2024-1A, Class A2, 6.23%, 4/20/54(1) | 222 | 224,762 | |
Series 2024-1A, Class B, 7.59%, 4/20/54(1) | 67 | 67,849 | |
Mill City Solar Loan Ltd., Series 2020-1A, Class C, 2.00%, 6/20/47(1) | 140 | 89,872 | |
Mosaic Solar Loan Trust: | |||
Series 2019-1A, Class A, 4.37%, 12/21/43(1) | 146 | 135,879 | |
Series 2019-2A, Class B, 3.28%, 9/20/40(1) | 341 | 301,365 | |
Series 2020-1A, Class A, 2.10%, 4/20/46(1) | 41 | 35,290 | |
Series 2020-1A, Class B, 3.10%, 4/20/46(1) | 41 | 34,903 | |
Series 2020-2A, Class A, 1.44%, 8/20/46(1) | 74 | 62,422 | |
Series 2020-2A, Class B, 2.21%, 8/20/46(1) | 88 | 72,735 | |
Series 2021-1A, Class C, 2.25%, 12/20/46(1) | 368 | 326,409 | |
Series 2021-3A, Class C, 1.77%, 6/20/52(1) | 95 | 79,390 | |
Series 2022-2A, Class D, 8.29%, 1/21/53(1) | 100 | 37,017 | |
Neighborly Issuer LLC, Series 2021-1A, Class A2, 3.584%, 4/30/51(1) | 378 | 339,079 | |
NextGear Floorplan Master Owner Trust, Series 2024-1A, Class A2, 5.12%, 3/15/29(1) | 260 | 259,261 | |
NRZ Excess Spread-Collateralized Notes, Series 2021-GNT1, Class A, 3.474%, 11/25/26(1) | 223 | 208,383 | |
OneMain Financial Issuance Trust, Series 2022-S1, Class A, 4.13%, 5/14/35(1) | 495 | 484,674 | |
Oportun Funding XIV LLC, Series 2021-A, Class B, 1.76%, 3/8/28(1) | 29 | 28,330 | |
Oportun Issuance Trust: | |||
Series 2021-B, Class A, 1.47%, 5/8/31(1) | 338 | 320,202 | |
Series 2021-C, Class A, 2.18%, 10/8/31(1) | 1,850 | 1,759,077 | |
Series 2021-C, Class B, 2.67%, 10/8/31(1) | 220 | 208,198 | |
Series 2022-2, Class C, 9.36%, 10/9/29(1) | 125 | 125,773 | |
Series 2022-3, Class B, 8.533%, 1/8/30(1) | 277 | 278,434 | |
Oscar U.S. Funding XVI LLC, Series 2024-1A, Class A2, 5.48%, 2/10/27(1) | 675 | 674,470 | |
Pagaya AI Debt Selection Trust: | |||
Series 2021-2, 3.00%, 1/25/29(1) | 69 | 67,883 | |
Series 2021-HG1, Class A, 1.22%, 1/16/29(1) | 29 | 28,962 | |
Planet Fitness Master Issuer LLC: | |||
Series 2019-1A, Class A2, 3.858%, 12/5/49(1) | 267 | 244,774 | |
Series 2024-1A, Class A2I, 5.765%, 6/5/54(1) | 378 | 379,015 | |
Prodigy Finance CM DAC, Series 2021-1A, Class A, 6.71%, (1 mo. SOFR + 1.364%), 7/25/51(1)(3) | 78 | 78,061 | |
Retained Vantage Data Centers Issuer LLC: | |||
Series 2023-1A, Class A2A, 5.00%, 9/15/48(1) | 469 | 453,509 | |
Series 2023-1A, Class A2B, 5.25%, 9/15/48(1) | CAD | 150 | 106,098 |
ServiceMaster Funding LLC: | |||
Series 2020-1, Class A2I, 2.841%, 1/30/51(1) | 152 | 135,317 | |
Series 2020-1, Class A2II, 3.337%, 1/30/51(1) | 172 | 144,973 |
Security |
Principal Amount (000's omitted)* |
Value | |
SERVPRO Master Issuer LLC: | |||
Series 2019-1A, Class A2, 3.882%, 10/25/49(1) | 907 | $ 862,523 | |
Series 2024-1A, Class A2, 6.174%, 1/25/54(1) | 170 | 171,192 | |
SoFi Consumer Loan Program Trust, Series 2023-1S, Class A, 5.81%, 5/15/31(1) | 23 | 22,493 | |
SolarCity LMC I LLC, Series 2013-1, Class A, 4.80%, 11/20/38(1) | 126 | 121,348 | |
Sonic Capital LLC, Series 2020-1A, Class A2I, 3.845%, 1/20/50(1) | 502 | 477,391 | |
SpringCastle America Funding LLC, Series 2020-AA, Class A, 1.97%, 9/25/37(1) | 151 | 138,218 | |
Stack Infrastructure Issuer LLC: | |||
Series 2020-1A, Class A2, 1.893%, 8/25/45(1) | 247 | 235,053 | |
Series 2021-1A, Class A2, 1.877%, 3/26/46(1) | 45 | 41,903 | |
Stream Innovations Issuer Trust, Series 2024-1A, Class B, 7.89%, 7/15/44(1)(4) | 100 | 99,986 | |
Sunnova Helios IX Issuer LLC, Series 2022-B, Class A, 5.00%, 8/20/49(1) | 238 | 222,007 | |
Sunnova Helios V Issuer LLC, Series 2021-A, Class A, 1.80%, 2/20/48(1) | 271 | 216,553 | |
Sunnova Helios X Issuer LLC, Series 2022-C, Class B, 5.60%, 11/22/49(1) | 454 | 417,759 | |
Sunnova Helios XII Issuer LLC, Series 2023-B, Class A, 5.30%, 8/22/50(1) | 434 | 422,365 | |
Sunnova Hestia I Issuer LLC, Series 2023-GRID1, Class 1A, 5.75%, 12/20/50(1) | 277 | 279,702 | |
Sunnova Sol II Issuer LLC, Series 2020-2A, Class A, 2.73%, 11/1/55(1) | 493 | 400,654 | |
Sunnova Sol Issuer LLC, Series 2020-1A, Class A, 3.35%, 2/1/55(1) | 91 | 78,367 | |
Sunrun Atlas Issuer LLC, Series 2019-2, Class A, 3.61%, 2/1/55(1) | 190 | 173,956 | |
Sunrun Demeter Issuer LLC, Series 2021-2A, Class A, 2.27%, 1/30/57(1) | 231 | 188,977 | |
Sunrun Jupiter Issuer LLC, Series 2022-1A, Class A, 4.75%, 7/30/57(1) | 677 | 623,624 | |
Sunrun Xanadu Issuer LLC, Series 2019-1A, Class A, 3.98%, 6/30/54(1) | 137 | 127,351 | |
Theorem Funding Trust, Series 2022-3A, Class A, 7.60%, 4/15/29(1) | 56 | 56,556 | |
U.S. Small Business Administration, Series 2017-20E, Class 1, 2.88%, 5/1/37 | 350 | 316,673 | |
Upstart Pass-Through Trust, Series 2020-ST1, Class A, 3.75%, 2/20/28(1) | 1 | 768 | |
Vantage Data Centers LLC: | |||
Series 2020-2A, Class A2, 1.992%, 9/15/45(1) | 735 | 653,416 | |
Series 2021-1A, Class A2, 2.165%, 10/15/46(1) | 224 | 205,964 | |
VB-S1 Issuer LLC, Series 2024-1A, Class F, 8.871%, 5/15/54(1) | 37 | 37,694 | |
Vivint Solar Financing VII LLC, Series 2020-1A, Class A, 2.21%, 7/31/51(1) | 345 | 296,763 |
Security |
Principal Amount (000's omitted)* |
Value | |
Willis Engine Structured Trust V, Series 2020-A, Class B, 4.212%, 3/15/45(1) | 193 | $ 170,019 | |
Total Asset-Backed Securities (identified cost $23,071,782) |
$ 21,832,102 |
Collateralized Mortgage Obligations - 1.3% |
Security |
Principal Amount (000's omitted) |
Value | |
Bellemeade Re Ltd.: | |||
Series 2021-3A, Class A2, 6.335%, (30-day SOFR Average + 1.00%), 9/25/31(1)(3) | $ | 215 | $ 214,624 |
Series 2021-3A, Class M1B, 6.735%, (30-day SOFR Average + 1.40%), 9/25/31(1)(3) | 166 | 165,890 | |
Cascade MH Asset Trust, Series 2022-MH1, Class A, 4.25% to 7/25/27, 8/25/54(1)(5) | 382 | 348,111 | |
CHNGE Mortgage Trust: | |||
Series 2023-2, Class A3, 7.436% to 5/25/26, 6/25/58(1)(5) | 215 | 216,547 | |
Series 2023-4, Class A1, 7.573% to 8/25/26, 9/25/58(1)(5) | 296 | 300,958 | |
Eagle Re Ltd., Series 2021-2, Class M1C, 8.785%, (30-day SOFR Average + 3.45%), 4/25/34(1)(3) | 150 | 152,813 | |
Federal Home Loan Mortgage Corp.: | |||
Series 5324, Class MZ, 6.00%, 7/25/53 | 37 | 37,076 | |
Series 5402, Class BZ, 6.00%, 4/25/54 | 15 | 15,699 | |
Series 5413, Class MZ, 6.00%, 5/25/54 | 35 | 36,807 | |
Federal Home Loan Mortgage Corp. STACR REMICS Trust: | |||
Series 2019-DNA3, Class B2, 13.60%, (30-day SOFR Average + 8.264%), 7/25/49(1)(3) | 85 | 99,280 | |
Series 2020-DNA6, Class B1, 8.335%, (30-day SOFR Average + 3.00%), 12/25/50(1)(3) | 25 | 27,168 | |
Series 2020-HQA2, Class B1, 9.55%, (30-day SOFR Average + 4.214%), 3/25/50(1)(3) | 41 | 46,553 | |
Series 2021-DNA2, Class B1, 8.735%, (30-day SOFR Average + 3.40%), 8/25/33(1)(3) | 55 | 61,693 | |
Series 2021-DNA2, Class B2, 11.335%, (30-day SOFR Average + 6.00%), 8/25/33(1)(3) | 50 | 58,772 | |
Series 2021-DNA3, Class M1, 6.085%, (30-day SOFR Average + 0.75%), 10/25/33(1)(3) | 8 | 7,751 | |
Series 2022-DNA2, Class M1A, 6.635%, (30-day SOFR Average + 1.30%), 2/25/42(1)(3) | 184 | 185,074 | |
Federal National Mortgage Association Connecticut Avenue Securities: | |||
Series 2014-C03, Class 2M2, 8.35%, (30-day SOFR Average + 3.014%), 7/25/24(3) | 32 | 31,991 | |
Series 2019-R01, Class 2B1, 9.80%, (30-day SOFR Average + 4.464%), 7/25/31(1)(3) | 55 | 60,037 | |
Series 2019-R03, Class 1B1, 9.55%, (30-day SOFR Average + 4.214%), 9/25/31(1)(3) | 49 | 52,747 | |
Series 2019-R05, Class 1B1, 9.55%, (30-day SOFR Average + 4.214%), 7/25/39(1)(3) | 64 | 67,305 | |
Series 2019-R06, Class 2B1, 9.20%, (30-day SOFR Average + 3.864%), 9/25/39(1)(3) | 284 | 296,541 | |
Series 2019-R07, Class 1B1, 8.85%, (30-day SOFR Average + 3.514%), 10/25/39(1)(3) | 104 | 108,861 |
Security |
Principal Amount (000's omitted) |
Value | |
Federal National Mortgage Association Connecticut Avenue Securities: (continued) | |||
Series 2020-R02, Class 2B1, 8.45%, (30-day SOFR Average + 3.114%), 1/25/40(1)(3) | $ | 405 | $ 418,273 |
Series 2021-R01, Class 1B2, 11.335%, (30-day SOFR Average + 6.00%), 10/25/41(1)(3) | 143 | 150,969 | |
Series 2021-R02, Class 2B1, 8.635%, (30-day SOFR Average + 3.30%), 11/25/41(1)(3) | 12 | 12,738 | |
Government National Mortgage Association: | |||
Series 2023-84, Class DL, 6.00%, 6/20/53 | 163 | 167,918 | |
Series 2023-84, Class MW, 6.00%, 6/20/53 | 171 | 175,894 | |
Series 2023-98, Class BW, 6.00%, 7/20/53 | 25 | 25,755 | |
Series 2023-99, Class AL, 6.00%, 7/20/53 | 25 | 25,714 | |
Series 2024-44, Class LM, 6.00%, 3/20/54 | 98 | 100,664 | |
Series 2024-46, Class AL, 6.00%, 3/20/54 | 24 | 24,643 | |
Series 2024-59, Class LG, 6.00%, 4/20/54 | 630 | 663,122 | |
Home Re Ltd.: | |||
Series 2018-1, Class M2, 8.46%, (1 mo. SOFR + 3.114%), 10/25/28(1)(3) | 63 | 63,524 | |
Series 2021-1, Class M2, 8.30%, (30-day SOFR Average + 2.964%), 7/25/33(1)(3) | 150 | 151,508 | |
NYMT Loan Trust, Series 2024-BPL1, Class A1, 7.154% to 7/25/26, 2/25/29(1)(5) | 100 | 100,595 | |
PNMAC GMSR Issuer Trust, Series 2022-FT1, Class A, 9.525%, (30-day SOFR Average + 4.19%), 6/25/27(1)(3) | 881 | 893,016 | |
Total Collateralized Mortgage Obligations (identified cost $5,437,971) |
$5,566,631 |
Commercial Mortgage-Backed Securities - 4.4% |
Security |
Principal Amount (000's omitted) |
Value | |
BAMLL Commercial Mortgage Securities Trust: | |||
Series 2019-BPR, Class DNM, 3.843%, 11/5/32(1)(2) | $ | 695 | $ 445,669 |
Series 2019-BPR, Class ENM, 3.843%, 11/5/32(1)(2) | 325 | 128,908 | |
Series 2019-BPR, Class FNM, 3.843%, 11/5/32(1)(2) | 485 | 109,005 | |
BPR Trust, Series 2022-SSP, Class A, 8.329%, (1 mo. SOFR + 3.00%), 5/15/39(1)(3) | 295 | 296,512 | |
BX Commercial Mortgage Trust: | |||
Series 2021-VOLT, Class B, 6.393%, (1 mo. SOFR + 1.064%), 9/15/36(1)(3) | 666 | 656,952 | |
Series 2021-VOLT, Class C, 6.543%, (1 mo. SOFR + 1.214%), 9/15/36(1)(3) | 204 | 199,925 | |
Series 2021-VOLT, Class D, 7.093%, (1 mo. SOFR + 1.764%), 9/15/36(1)(3) | 702 | 692,498 | |
CSMC Trust: | |||
Series 2021-BPNY, Class A, 9.158%, (1 mo. SOFR + 3.829%), 8/15/26(1)(3) | 100 | 90,671 | |
Series 2022-NWPT, Class A, 8.472%, (1 mo. SOFR + 3.143%), 9/9/24(1)(3) | 290 | 291,219 | |
Extended Stay America Trust: | |||
Series 2021-ESH, Class A, 6.524%, (1 mo. SOFR + 1.194%), 7/15/38(1)(3) | 397 | 395,479 |
Security |
Principal Amount (000's omitted) |
Value | |
Extended Stay America Trust: (continued) | |||
Series 2021-ESH, Class C, 7.144%, (1 mo. SOFR + 1.814%), 7/15/38(1)(3) | $ | 545 | $ 543,818 |
Series 2021-ESH, Class D, 7.694%, (1 mo. SOFR + 2.364%), 7/15/38(1)(3) | 163 | 163,482 | |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates: | |||
Series KG02, Class A2, 2.412%, 8/25/29 | 1,440 | 1,295,260 | |
Series KG08, Class A2, 4.134%, 5/25/33(2) | 1,499 | 1,425,726 | |
Series KSG1, Class A2, 1.503%, 9/25/30 | 278 | 231,477 | |
Series KW06, Class A2, 3.80%, 6/25/28(2) | 530 | 511,025 | |
Series W5FX, Class AFX, 3.336%, 4/25/28(2) | 192 | 180,071 | |
Federal National Mortgage Association: | |||
Series 2017-M13, Class A2, 3.028%, 9/25/27(2) | 457 | 431,831 | |
Series 2018-M13, Class A2, 3.863%, 9/25/30(2) | 1,292 | 1,226,482 | |
Series 2019-M1, Class A2, 3.665%, 9/25/28(2) | 385 | 367,511 | |
Series 2019-M22, Class A2, 2.522%, 8/25/29 | 482 | 434,621 | |
Series 2020-M1, Class A2, 2.444%, 10/25/29 | 963 | 857,694 | |
Series 2023-M1S, Class A2, 4.651%, 4/25/33(2) | 848 | 830,622 | |
Federal National Mortgage Association Multifamily Connecticut Avenue Securities Trust: | |||
Series 2019-01, Class M10, 8.70%, (30-day SOFR Average + 3.364%), 10/25/49(1)(3) | 452 | 453,007 | |
Series 2020-01, Class M10, 9.20%, (30-day SOFR Average + 3.864%), 3/25/50(1)(3) | 515 | 518,607 | |
FS Commercial Mortgage Trust, Series 2023-4SZN, Class A, 7.066%, 11/10/39(1) | 262 | 271,991 | |
Great Wolf Trust: | |||
Series 2024-WLF2, Class A, 7.02%, (1 mo. SOFR + 1.691%), 5/15/41(1)(3) | 441 | 441,512 | |
Series 2024-WLF2, Class D, 8.268%, (1 mo. SOFR + 2.939%), 5/15/41(1)(3) | 100 | 100,291 | |
Hawaii Hotel Trust, Series 2019-MAUI, Class A, 6.776%, (1 mo. SOFR + 1.197%), 5/15/38(1)(3) | 989 | 987,254 | |
HLTN Commercial Mortgage Trust: | |||
Series 2024-DPLO, Class A, 6.97%, (1 mo. SOFR + 1.642%), 6/15/41(1)(3) | 275 | 274,136 | |
Series 2024-DPLO, Class C, 7.869%, (1 mo. SOFR + 2.54%), 6/15/41(1)(3) | 265 | 264,474 | |
JPMorgan Chase Commercial Mortgage Securities Trust: | |||
Series 2014-DSTY, Class B, 3.771%, 6/10/27(1) | 300 | 41,800 | |
Series 2014-DSTY, Class C, 3.931%, 6/10/27(1)(2) | 100 | 6,570 | |
JW Commercial Mortgage Trust, Series 2024-MRCO, Class B, 7.261%, (1 mo. SOFR + 1.941%), 6/15/39(1)(3) | 294 | 294,000 | |
Med Trust: | |||
Series 2021-MDLN, Class D, 7.444%, (1 mo. SOFR + 2.114%), 11/15/38(1)(3) | 293 | 293,422 | |
Series 2021-MDLN, Class E, 8.594%, (1 mo. SOFR + 3.264%), 11/15/38(1)(3) | 219 | 219,186 | |
ORL Trust, Series 2023-GLKS, Class A, 7.679%, (1 mo. SOFR + 2.35%), 10/19/36(1)(3) | 289 | 290,626 | |
SDR Commercial Mortgage Trust, Series 2024-DSNY, Class A, 6.72%, (1 mo. SOFR + 1.392%), 5/15/39(1)(3) | 421 | 419,561 |
Security |
Principal Amount (000's omitted) |
Value | |
TX Trust: | |||
Series 2024-HOU, Class A, 6.91%, (1 mo. SOFR + 1.591%), 6/15/39(1)(3) | $ | 430 | $ 427,049 |
Series 2024-HOU, Class E, 9.706%, (1 mo. SOFR + 4.387%), 6/15/39(1)(3) | 78 | 77,663 | |
TYSN Mortgage Trust, Series 2023-CRNR, Class A, 6.799%, 12/10/33(1)(2) | 422 | 438,816 | |
VMC Finance LLC: | |||
Series 2021-HT1, Class A, 7.096%, (1 mo. SOFR + 1.764%), 1/18/37(1)(3) | 234 | 229,509 | |
Series 2021-HT1, Class B, 9.946%, (1 mo. SOFR + 4.614%), 1/18/37(1)(3) | 753 | 738,189 | |
WFLD Mortgage Trust, Series 2014-MONT, Class C, 3.88%, 8/10/31(1)(2) | 450 | 281,250 | |
Total Commercial Mortgage-Backed Securities (identified cost $20,655,452) |
$ 18,875,371 |
Common Stocks - 63.8% |
Security | Shares | Value | |
Aerospace & Defense - 0.7% | |||
HEICO Corp. | 13,600 | $ 3,041,096 | |
$ 3,041,096 | |||
Biotechnology - 1.7% | |||
AbbVie, Inc. | 41,400 | $ 7,100,928 | |
$ 7,100,928 | |||
Broadline Retail - 3.1% | |||
Amazon.com, Inc.(6) | 67,180 | $ 12,982,535 | |
$ 12,982,535 | |||
Capital Markets - 3.5% | |||
Intercontinental Exchange, Inc. | 24,900 | $3,408,561 | |
S&P Global, Inc. | 9,400 | 4,192,400 | |
Stifel Financial Corp. | 37,500 | 3,155,625 | |
Tradeweb Markets, Inc., Class A | 40,103 | 4,250,918 | |
$15,007,504 | |||
Chemicals - 0.6% | |||
Linde PLC | 5,900 | $2,588,979 | |
$2,588,979 | |||
Commercial Services & Supplies - 1.3% | |||
GFL Environmental, Inc. | 73,600 | $2,865,248 | |
Waste Management, Inc. | 13,316 | 2,840,835 | |
$5,706,083 | |||
Consumer Staples Distribution & Retail - 2.6% | |||
BJ's Wholesale Club Holdings, Inc.(6) | 47,800 | $4,198,752 |
Security | Shares | Value | |
Consumer Staples Distribution & Retail (continued) | |||
Walmart, Inc. | 103,500 | $ 7,007,985 | |
$ 11,206,737 | |||
Containers & Packaging - 0.7% | |||
AptarGroup, Inc. | 21,639 | $ 3,046,988 | |
$ 3,046,988 | |||
Electric Utilities - 1.0% | |||
NextEra Energy, Inc. | 59,600 | $ 4,220,276 | |
$ 4,220,276 | |||
Electrical Equipment - 0.9% | |||
AMETEK, Inc. | 23,000 | $3,834,330 | |
$3,834,330 | |||
Energy Equipment & Services - 1.5% | |||
Baker Hughes Co. | 174,800 | $6,147,716 | |
$6,147,716 | |||
Entertainment - 1.2% | |||
Netflix, Inc.(6) | 5,900 | $3,981,792 | |
Spotify Technology SA(6) | 3,700 | 1,161,023 | |
$5,142,815 | |||
Financial Services - 2.3% | |||
Shift4 Payments, Inc., Class A(6)(7) | 49,000 | $3,594,150 | |
Visa, Inc., Class A | 23,700 | 6,220,539 | |
$9,814,689 | |||
Ground Transportation - 1.1% | |||
Uber Technologies, Inc.(6) | 65,300 | $4,746,004 | |
$4,746,004 | |||
Health Care Equipment & Supplies - 0.9% | |||
Intuitive Surgical, Inc.(6) | 8,800 | $3,914,680 | |
$3,914,680 | |||
Health Care Providers & Services - 1.1% | |||
Elevance Health, Inc. | 8,500 | $4,605,810 | |
$4,605,810 | |||
Hotels, Restaurants & Leisure - 0.8% | |||
Marriott International, Inc., Class A | 13,300 | $3,215,541 | |
$3,215,541 | |||
Insurance - 2.4% | |||
Allstate Corp. | 33,800 | $5,396,508 | |
W.R. Berkley Corp. | 63,500 | 4,989,830 | |
$10,386,338 |
Security | Shares | Value | |
Interactive Media & Services - 5.1% | |||
Alphabet, Inc., Class A | 37,700 | $ 6,867,055 | |
Alphabet, Inc., Class C | 81,500 | 14,948,730 | |
$ 21,815,785 | |||
IT Services - 0.9% | |||
Gartner, Inc.(6) | 8,800 | $ 3,951,728 | |
$ 3,951,728 | |||
Life Sciences Tools & Services - 0.9% | |||
Thermo Fisher Scientific, Inc. | 7,018 | $ 3,880,954 | |
$3,880,954 | |||
Machinery - 0.6% | |||
Parker-Hannifin Corp. | 5,000 | $2,529,050 | |
$2,529,050 | |||
Media - 0.6% | |||
Comcast Corp., Class A | 60,400 | $2,365,264 | |
$2,365,264 | |||
Pharmaceuticals - 2.3% | |||
Eli Lilly & Co. | 7,400 | $6,699,812 | |
Novo Nordisk AS ADR | 20,000 | 2,854,800 | |
$9,554,612 | |||
Professional Services - 2.7% | |||
Automatic Data Processing, Inc. | 16,400 | $3,914,516 | |
Booz Allen Hamilton Holding Corp. | 17,900 | 2,754,810 | |
TransUnion | 66,300 | 4,916,808 | |
$11,586,134 | |||
Real Estate Management & Development - 1.3% | |||
CoStar Group, Inc.(6) | 29,700 | $2,201,958 | |
FirstService Corp. | 21,800 | 3,321,666 | |
$5,523,624 | |||
Semiconductors & Semiconductor Equipment - 8.2% | |||
Analog Devices, Inc. | 19,800 | $4,519,548 | |
Broadcom, Inc. | 4,249 | 6,821,897 | |
Lam Research Corp. | 3,500 | 3,726,975 | |
NVIDIA Corp. | 158,600 | 19,593,444 | |
$34,661,864 | |||
Software - 7.1% | |||
Fair Isaac Corp.(6) | 2,763 | $4,113,168 | |
Microsoft Corp. | 53,593 | 23,953,391 | |
Palo Alto Networks, Inc.(6) | 6,400 | 2,169,664 | |
$30,236,223 |
Security | Shares | Value | |
Specialty Retail - 1.5% | |||
Burlington Stores, Inc.(6) | 14,000 | $ 3,360,000 | |
TJX Cos., Inc. | 28,800 | 3,170,880 | |
$ 6,530,880 | |||
Technology Hardware, Storage & Peripherals - 4.2% | |||
Apple, Inc. | 85,188 | $ 17,942,297 | |
$ 17,942,297 | |||
Textiles, Apparel & Luxury Goods - 0.4% | |||
NIKE, Inc., Class B | 20,600 | $ 1,552,622 | |
$1,552,622 | |||
Wireless Telecommunication Services - 0.6% | |||
T-Mobile U.S., Inc. | 13,430 | $2,366,097 | |
$2,366,097 | |||
Total Common Stocks (identified cost $151,610,040) |
$271,206,183 |
Corporate Bonds - 12.3% |
Security |
Principal Amount* (000's omitted) |
Value | |
Basic Materials - 0.2% | |||
Celanese U.S. Holdings LLC: | |||
6.55%, 11/15/30 | 285 | $ 297,956 | |
6.70%, 11/15/33 | 126 | 132,474 | |
Compass Minerals International, Inc., 6.75%, 12/1/27(1)(7) | 410 | 392,202 | |
South32 Treasury Ltd., 4.35%, 4/14/32(1) | 48 | 43,471 | |
$ 866,103 | |||
Communications - 0.5% | |||
AT&T, Inc., 3.65%, 6/1/51 | 591 | $ 417,780 | |
Charter Communications Operating LLC/Charter Communications Operating Capital, 4.80%, 3/1/50 | 1,153 | 846,657 | |
Clear Channel Outdoor Holdings, Inc., 7.875%, 4/1/30(1) | 44 | 44,323 | |
Connect Finco SARL/Connect U.S. Finco LLC, 6.75%, 10/1/26(1) | 325 | 313,954 | |
LCPR Senior Secured Financing DAC, 6.75%, 10/15/27(1) | 300 | 281,286 | |
SES GLOBAL Americas Holdings, Inc., 5.30%, 3/25/44(1) | 185 | 137,101 | |
SES SA, 5.30%, 4/4/43(1) | 109 | 79,208 | |
$2,120,309 | |||
Consumer, Cyclical - 1.3% | |||
American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.50%, 4/20/26(1) | 386 | $382,926 | |
Delta Air Lines, Inc./SkyMiles IP Ltd.: | |||
4.50%, 10/20/25(1) | 150 | 148,211 | |
4.75%, 10/20/28(1) | 341 | 332,235 |
Security |
Principal Amount* (000's omitted) |
Value | |
Consumer, Cyclical (continued) | |||
Ford Motor Co., 4.75%, 1/15/43 | 45 | $ 36,421 | |
Ford Motor Credit Co. LLC: | |||
5.125%, 6/16/25 | 265 | 263,082 | |
7.122%, 11/7/33 | 159 | 168,108 | |
7.35%, 11/4/27 | 356 | 371,120 | |
7.35%, 3/6/30 | 518 | 548,484 | |
General Motors Financial Co., Inc.: | |||
5.60%, 6/18/31 | 315 | 312,752 | |
5.80%, 1/7/29 | 170 | 171,576 | |
5.95%, 4/4/34 | 400 | 400,499 | |
Hyundai Capital America: | |||
5.30%, 6/24/29(1) | 385 | 383,030 | |
5.40%, 6/24/31(1) | 287 | 284,686 | |
5.70%, 6/26/30(1) | 40 | 40,548 | |
6.20%, 9/21/30(1) | 25 | 25,994 | |
Lithia Motors, Inc.: | |||
3.875%, 6/1/29(1)(7) | 373 | 335,370 | |
4.375%, 1/15/31(1)(7) | 60 | 53,483 | |
Sonic Automotive, Inc., 4.625%, 11/15/29(1)(7) | 50 | 45,184 | |
Tapestry, Inc.: | |||
7.00%, 11/27/26 | 221 | 227,207 | |
7.35%, 11/27/28 | 470 | 487,928 | |
WarnerMedia Holdings, Inc., 5.141%, 3/15/52 | 425 | 331,123 | |
$5,349,967 | |||
Consumer, Non-cyclical - 0.8% | |||
AbbVie, Inc., 5.50%, 3/15/64 | 216 | $213,402 | |
Ashtead Capital, Inc.: | |||
4.00%, 5/1/28(1) | 200 | 189,059 | |
4.25%, 11/1/29(1) | 384 | 360,342 | |
Bristol-Myers Squibb Co., 5.65%, 2/22/64 | 471 | 460,457 | |
Centene Corp.: | |||
2.50%, 3/1/31 | 250 | 205,357 | |
3.375%, 2/15/30 | 199 | 176,784 | |
4.25%, 12/15/27 | 257 | 245,593 | |
Conservation Fund, 3.474%, 12/15/29 | 285 | 257,799 | |
CVS Pass-Through Trust, 6.036%, 12/10/28 | 221 | 221,337 | |
Doris Duke Charitable Foundation, 2.345%, 7/1/50 | 678 | 401,675 | |
Ford Foundation, 2.415%, 6/1/50 | 435 | 261,634 | |
LifePoint Health, Inc., 10.00%, 6/1/32(1) | 50 | 51,183 | |
Smithfield Foods, Inc.: | |||
2.625%, 9/13/31(1) | 323 | 258,782 | |
3.00%, 10/15/30(1) | 77 | 65,421 | |
5.20%, 4/1/29(1) | 45 | 43,678 | |
WASH Multifamily Acquisition, Inc., 5.75%, 4/15/26(1)(7) | 40 | 39,140 | |
$3,451,643 |
Security |
Principal Amount* (000's omitted) |
Value | |
Energy - 0.2% | |||
Enviva Partners LP/Enviva Partners Finance Corp., 6.50%, 1/15/26(1)(8) | 76 | $ 34,229 | |
Raizen Fuels Finance SA, 6.45%, 3/5/34(1) | 200 | 203,285 | |
TerraForm Power Operating LLC: | |||
4.75%, 1/15/30(1) | 369 | 336,680 | |
5.00%, 1/31/28(1) | 460 | 439,833 | |
$ 1,014,027 | |||
Financial - 7.1% | |||
AIB Group PLC, 5.871% to 3/28/34, 3/28/35(1)(9) | 200 | $ 198,777 | |
Air Lease Corp., 5.20%, 7/15/31 | 395 | 386,138 | |
Alliant Holdings Intermediate LLC/Alliant Holdings Co.-Issuer, 6.75%, 10/15/27(1) | 60 | 59,236 | |
Ally Financial, Inc.: | |||
2.20%, 11/2/28(7) | 444 | 384,643 | |
4.70% to 5/15/26(9)(10) | 135 | 119,221 | |
6.848% to 1/3/29, 1/3/30(9) | 72 | 74,011 | |
8.00%, 11/1/31(7) | 90 | 99,379 | |
American Assets Trust LP, 3.375%, 2/1/31 | 84 | 68,871 | |
American National Group LLC, 6.144%, 6/13/32(1) | 70 | 67,190 | |
Andrew W. Mellon Foundation, 0.947%, 8/1/27 | 335 | 298,741 | |
Apollo Debt Solutions BDC, 6.90%, 4/13/29(1) | 77 | 77,411 | |
ASR Nederland NV, 7.00% to 9/7/33, 12/7/43(9)(11) | EUR | 100 | 121,197 |
Banco Santander SA: | |||
5.294%, 8/18/27 | 200 | 198,761 | |
6.35%, 3/14/34 | 600 | 600,773 | |
6.938%, 11/7/33 | 200 | 218,600 | |
Bank of America Corp.: | |||
2.456% to 10/22/24, 10/22/25(9) | 475 | 470,104 | |
3.419% to 12/20/27, 12/20/28(9) | 860 | 808,926 | |
3.824% to 1/20/27, 1/20/28(9) | 581 | 560,128 | |
5.468% to 1/23/34, 1/23/35(9) | 217 | 216,860 | |
5.933% to 9/15/26, 9/15/27(9) | 370 | 374,068 | |
BBVA Bancomer SA: | |||
1.875%, 9/18/25(1) | 262 | 250,153 | |
5.125% to 1/18/28, 1/18/33(1)(9) | 500 | 456,031 | |
8.125% to 1/8/34, 1/8/39(1)(9) | 451 | 457,015 | |
Blackstone Private Credit Fund, 6.25%, 1/25/31(1) | 85 | 84,562 | |
Blue Owl Credit Income Corp., 6.65%, 3/15/31 | 85 | 83,124 | |
BlueHub Loan Fund, Inc., 3.099%, 1/1/30 | 675 | 558,643 | |
BNP Paribas SA: | |||
7.75% to 8/16/29(1)(9)(10) | 420 | 424,626 | |
9.25% to 11/17/27(1)(9)(10) | 200 | 212,567 | |
Broadstone Net Lease LLC, 2.60%, 9/15/31 | 24 | 19,086 | |
Brookfield Finance, Inc., 5.675%, 1/15/35 | 651 | 644,389 | |
CaixaBank SA, 6.84% to 9/13/33, 9/13/34(1)(9) | 643 | 679,397 | |
Capital One Financial Corp., 4.20%, 10/29/25 | 190 | 186,165 | |
Charles Schwab Corp., 6.136% to 8/24/33, 8/24/34(9) | 630 | 656,291 | |
CI Financial Corp., 3.20%, 12/17/30 | 489 | 385,650 |
Security |
Principal Amount* (000's omitted) |
Value | |
Financial (continued) | |||
Citigroup, Inc., 4.00% to 12/10/25(9)(10) | 310 | $ 297,655 | |
COPT Defense Properties LP, 2.90%, 12/1/33 | 546 | 430,266 | |
Credit Agricole SA: | |||
6.251% to 1/10/34, 1/10/35(1)(9) | 688 | 692,581 | |
6.316% to 10/3/28, 10/3/29(1)(9) | 250 | 256,864 | |
Enact Holdings, Inc., 6.25%, 5/28/29 | 660 | 660,464 | |
EPR Properties: | |||
3.60%, 11/15/31 | 160 | 133,473 | |
3.75%, 8/15/29 | 521 | 464,757 | |
4.95%, 4/15/28 | 469 | 449,176 | |
Essent Group Ltd., 6.25%, 7/1/29(4) | 280 | 279,961 | |
Global Atlantic Fin Co.: | |||
3.125%, 6/15/31(1) | 877 | 726,223 | |
6.75%, 3/15/54(1) | 313 | 309,808 | |
7.95%, 6/15/33(1) | 217 | 238,387 | |
7.95% to 7/15/29, 10/15/54(1)(7)(9) | 374 | 376,885 | |
Hannon Armstrong Sustainable Infrastructure Capital, Inc., 6.375%, 7/1/34(1)(4) | 1,186 | 1,162,172 | |
HAT Holdings I LLC/HAT Holdings II LLC: | |||
3.375%, 6/15/26(1) | 156 | 147,249 | |
3.75%, 9/15/30(1)(7) | 108 | 94,300 | |
6.00%, 4/15/25(1) | 223 | 222,968 | |
Intesa Sanpaolo SpA: | |||
7.00%, 11/21/25(1) | 200 | 203,282 | |
8.248% to 11/21/32, 11/21/33(1)(9) | 488 | 538,534 | |
Jefferies Financial Group, Inc., 6.20%, 4/14/34 | 590 | 597,892 | |
JPMorgan Chase & Co.: | |||
5.336% to 1/23/34, 1/23/35(9) | 447 | 444,517 | |
5.766% to 4/22/34, 4/22/35(9) | 364 | 373,606 | |
6.254% to 10/23/33, 10/23/34(9) | 243 | 257,862 | |
KeyBank NA, 5.85%, 11/15/27 | 750 | 747,774 | |
Liberty Mutual Group, Inc., 4.125% to 9/15/26, 12/15/51(1)(9) | 314 | 294,190 | |
LPL Holdings, Inc., 4.00%, 3/15/29(1) | 163 | 152,016 | |
Newmark Group, Inc., 7.50%, 1/12/29(1) | 108 | 111,114 | |
Nuveen LLC, 5.85%, 4/15/34(1) | 401 | 402,810 | |
Oaktree Strategic Credit Fund, 8.40%, 11/14/28(1) | 105 | 111,043 | |
Radian Group, Inc., 6.20%, 5/15/29 | 51 | 51,522 | |
Rocket Mortgage LLC/Rocket Mortgage Co.-Issuer, Inc., 3.875%, 3/1/31(1) | 557 | 485,862 | |
Societe Generale SA: | |||
5.634% to 1/19/29, 1/19/30(1)(9) | 580 | 572,246 | |
6.066% to 1/19/34, 1/19/35(1)(9) | 200 | 198,138 | |
8.50% to 3/25/34(1)(9)(10) | 200 | 189,953 | |
Stifel Financial Corp., 4.00%, 5/15/30 | 266 | 245,273 | |
Swedbank AB: | |||
5.407%, 3/14/29(1) | 203 | 203,439 | |
6.136%, 9/12/26(1) | 437 | 444,588 | |
Synchrony Bank, 5.40%, 8/22/25 | 362 | 359,395 | |
Synchrony Financial, 4.50%, 7/23/25 | 450 | 442,606 |
Security |
Principal Amount* (000's omitted) |
Value | |
Financial (continued) | |||
Synovus Bank/Columbus, GA: | |||
4.00% to 10/29/25, 10/29/30(9) | 250 | $ 224,881 | |
5.625%, 2/15/28 | 494 | 477,489 | |
Texas Capital Bancshares, Inc., 4.00% to 5/6/26, 5/6/31(9) | 240 | 217,601 | |
Toronto-Dominion Bank, 8.125% to 10/31/27, 10/31/82(9) | 887 | 921,471 | |
TPG Operating Group II LP, 5.875%, 3/5/34 | 495 | 497,291 | |
U.S. Bancorp: | |||
5.384% to 1/23/29, 1/23/30(9) | 36 | 36,104 | |
5.678% to 1/23/34, 1/23/35(9) | 1,352 | 1,357,716 | |
5.85% to 10/21/32, 10/21/33(9) | 30 | 30,483 | |
UBS Group AG, 4.375% to 2/10/31(1)(9)(10) | 219 | 178,168 | |
UniCredit SpA: | |||
2.569% to 9/22/25, 9/22/26(1)(9) | 430 | 412,560 | |
5.459% to 6/30/30, 6/30/35(1)(9) | 200 | 187,482 | |
5.861% to 6/19/27, 6/19/32(1)(9) | 200 | 195,322 | |
Ventas Realty LP, 5.625%, 7/1/34 | 399 | 395,692 | |
$30,003,845 | |||
Government - Multinational - 1.2% | |||
Asian Development Bank, 3.125%, 9/26/28 | 540 | $512,300 | |
European Investment Bank: | |||
1.625%, 5/13/31 | 925 | 774,032 | |
2.375%, 5/24/27 | 1,026 | 965,425 | |
2.875%, 6/13/25(1) | 1,892 | 1,852,771 | |
International Bank for Reconstruction & Development, 3.125%, 11/20/25 | 1,200 | 1,170,212 | |
$5,274,740 | |||
Industrial - 0.2% | |||
MasTec, Inc., 5.90%, 6/15/29 | 291 | $292,458 | |
Seaspan Corp., 5.50%, 8/1/29(1) | 52 | 46,468 | |
Smurfit Kappa Treasury ULC, 5.777%, 4/3/54(1) | 290 | 288,627 | |
Trivium Packaging Finance BV, 5.50%, 8/15/26(1) | 346 | 339,379 | |
$966,932 | |||
Technology - 0.6% | |||
Concentrix Corp., 6.60%, 8/2/28(7) | 1,301 | $1,317,307 | |
Genpact Luxembourg SARL/Genpact USA, Inc., 6.00%, 6/4/29 | 85 | 86,010 | |
Kyndryl Holdings, Inc.: | |||
2.70%, 10/15/28(7) | 42 | 37,355 | |
3.15%, 10/15/31 | 246 | 206,106 | |
6.35%, 2/20/34 | 442 | 449,226 | |
Seagate HDD Cayman, 9.625%, 12/1/32 | 383 | 436,945 | |
$2,532,949 | |||
Utilities - 0.2% | |||
Avangrid, Inc., 3.15%, 12/1/24 | 141 | $139,467 | |
Clearway Energy Operating LLC, 3.75%, 1/15/32(1) | 176 | 149,922 | |
NextEra Energy Capital Holdings, Inc., 1.90%, 6/15/28 | 214 | 189,285 |
Security |
Principal Amount* (000's omitted) |
Value | |
Utilities (continued) | |||
NextEra Energy Operating Partners LP, 4.25%, 9/15/24(1) | 34 | $ 33,787 | |
Pattern Energy Operations LP/Pattern Energy Operations, Inc., 4.50%, 8/15/28(1) | 343 | 317,823 | |
$ 830,284 | |||
Total Corporate Bonds (identified cost $54,361,005) |
$ 52,410,799 |
Preferred Stocks - 0.1% |
Security | Shares | Value | |
Real Estate Management & Development - 0.1% | |||
Brookfield Property Partners LP: | |||
Series A, 5.75% | 13,079 | $ 155,117 | |
Series A2, 6.375% | 12,000 | 157,800 | |
$ 312,917 | |||
Wireless Telecommunication Services - 0.0%(12) | |||
U.S. Cellular Corp.: | |||
5.50%(7) | 9,547 | $ 194,282 | |
6.25% | 841 | 18,796 | |
$213,078 | |||
Total Preferred Stocks (identified cost $902,815) |
$525,995 |
Senior Floating-Rate Loans - 0.0%(12)(13) |
Borrower/Description |
Principal Amount (000's omitted) |
Value | |
Paper and Forest Products - 0.0%(12) | |||
Enviva Partners LP/Fin C: | |||
DIP Loan, 4.00%, 12/13/24(14) | $ | 13 | $ 13,561 |
DIP Loan, 13.346%, (SOFR + 8.00%), 12/13/24 | 6 | 6,443 | |
Term Loan, 13.297%, (SOFR + 8.00%), 12/13/24 | 8 | 9,664 | |
Total Senior Floating-Rate Loans (identified cost $25,120) |
$ 29,668 |
Sovereign Government Bonds - 0.4% |
Security |
Principal Amount (000's omitted) |
Value | |
Kreditanstalt fuer Wiederaufbau: | |||
1.00%, 10/1/26 | $ | 1,526 | $ 1,407,837 |
4.375%, 2/28/34 | 193 | 191,590 | |
Total Sovereign Government Bonds (identified cost $1,702,914) |
$ 1,599,427 |
Taxable Municipal Obligations - 1.0% |
Security |
Principal Amount (000's omitted) |
Value | |
General Obligations - 0.3% | |||
Massachusetts, Green Bonds, 3.277%, 6/1/46 | $ | 435 | $ 339,770 |
New York City, NY, 5.206%, 10/1/31(15) | 470 | 469,774 | |
San Francisco City and County, CA, (Social Bonds - Affordable Housing, 2016), 3.921%, 6/15/39 | 285 | 249,803 | |
$ 1,059,347 | |||
Special Tax Revenue - 0.5% | |||
California Health Facilities Financing Authority, (No Place Like Home Program): | |||
Social Bonds, 2.361%, 6/1/26 | $ | 405 | $ 385,066 |
Social Bonds, 2.484%, 6/1/27 | 290 | 271,188 | |
Social Bonds, 2.534%, 6/1/28 | 360 | 331,387 | |
Social Bonds, 2.584%, 6/1/29 | 200 | 181,066 | |
Social Bonds, 2.984%, 6/1/33 | 220 | 188,701 | |
Connecticut, Special Tax Revenue, 5.459%, 11/1/30(15) | 300 | 301,152 | |
New York City Transitional Finance Authority, NY, Future Tax Secured Revenue Bonds, 5.767%, 8/1/36(15) | 545 | 553,480 | |
$2,212,040 | |||
Water and Sewer - 0.2% | |||
District of Columbia Water & Sewer Authority, Green Bonds, 4.814%, 10/1/2114 | $ | 130 | $116,906 |
Narragansett Bay Commission, RI, Wastewater System Revenue: | |||
Green Bonds, 2.094%, 9/1/30 | 170 | 146,613 | |
Green Bonds, 2.184%, 9/1/31 | 140 | 118,439 | |
Green Bonds, 2.264%, 9/1/32 | 125 | 103,824 | |
Green Bonds, 2.344%, 9/1/33 | 135 | 110,063 | |
San Diego County Water Authority, CA: | |||
Green Bonds, 1.531%, 5/1/30 | 145 | 122,178 | |
Green Bonds, 1.701%, 5/1/31 | 130 | 107,459 | |
$825,482 | |||
Total Taxable Municipal Obligations (identified cost $4,637,513) |
$4,096,869 |
U.S. Government Agencies and Instrumentalities - 0.2% |
Security |
Principal Amount (000's omitted) |
Value | |
U.S. Department of Housing and Urban Development: | |||
2.668%, 8/1/24 | $ | 240 | $ 239,438 |
3.435%, 8/1/34 | 220 | 193,014 | |
3.485%, 8/1/35 | 125 | 108,881 | |
3.585%, 8/1/37 | 225 | 193,761 | |
U.S. International Development Finance Corp., 3.52%, 9/20/32 | 260 | 247,362 | |
Total U.S. Government Agencies and Instrumentalities (identified cost $1,114,137) |
$ 982,456 |
U.S. Government Agency Mortgage-Backed Securities - 9.2% |
Security |
Principal Amount (000's omitted) |
Value | |
Federal Home Loan Mortgage Corp.: | |||
3.50%, 3/1/48 | $ | 78 | $ 70,216 |
6.50%, 8/1/53 | 916 | 934,901 | |
6.00%, 6/1/53 | 72 | 72,110 | |
Federal National Mortgage Association: | |||
2.00%, 4/1/51 | 192 | 153,889 | |
2.68%, 7/1/26 | 331 | 316,855 | |
3.00%, 11/1/49 | 239 | 206,765 | |
4.00%, with various maturities to 2048 | 475 | 441,670 | |
5.50%, 7/1/53 | 961 | 948,729 | |
7.00%, 6/1/53 | 99 | 104,060 | |
Government National Mortgage Association: | |||
2.50%, with various maturities to 2051 | 672 | 559,411 | |
6.00%, with various maturities to 2053 | 301 | 304,116 | |
6.50%, 6/20/53 | 324 | 332,978 | |
Uniform Mortgage-Backed Security: | |||
4.00%, 30-Year, TBA(16) | 11,068 | 10,128,950 | |
4.50%, 30-Year, TBA(16) | 4,567 | 4,306,359 | |
5.00%, 30-Year, TBA(16) | 14,208 | 13,733,470 | |
5.50%, 30-Year, TBA(16) | 5,825 | 5,746,043 | |
6.00%, 30-Year, TBA(16) | 770 | 772,286 | |
Total U.S. Government Agency Mortgage-Backed Securities (identified cost $39,298,221) |
$39,132,808 |
U.S. Treasury Obligations - 3.8% |
Security |
Principal Amount (000's omitted) |
Value | |
U.S. Treasury Bonds: | |||
1.375%, 8/15/50 | $ | 521 | $ 266,717 |
1.875%, 2/15/41 | 481 | 329,306 | |
1.875%, 2/15/51 | 186 | 108,657 | |
1.875%, 11/15/51 | 368 | 213,670 |
Security |
Principal Amount (000's omitted) |
Value | |
U.S. Treasury Bonds: (continued) | |||
2.00%, 11/15/41 | $ | 795 | $ 546,469 |
2.00%, 8/15/51 | 338 | 203,117 | |
2.25%, 2/15/52 | 523 | 333,269 | |
2.375%, 2/15/42 | 7,519 | 5,475,947 | |
2.875%, 5/15/52 | 275 | 201,599 | |
3.00%, 5/15/47 | 13 | 9,947 | |
3.00%, 8/15/52 | 127 | 95,567 | |
3.125%, 5/15/48 | 52 | 40,449 | |
3.625%, 2/15/53 | 292 | 248,462 | |
3.625%, 5/15/53 | 207 | 176,184 | |
3.875%, 2/15/43 | 327 | 295,680 | |
3.875%, 5/15/43 | 43 | 38,810 | |
4.00%, 11/15/42 | 43 | 39,639 | |
4.00%, 11/15/52 | 278 | 253,311 | |
4.25%, 2/15/54 | 185 | 176,198 | |
4.50%, 2/15/44 | 148 | 145,225 | |
4.625%, 5/15/44(7) | 112 | 111,807 | |
5.375%, 2/15/31 | 73 | 77,682 | |
6.25%, 5/15/30 | 13 | 14,269 | |
U.S. Treasury Notes: | |||
0.375%, 12/31/25 | 475 | 444,264 | |
1.00%, 7/31/28 | 30 | 26,210 | |
1.25%, 3/31/28 | 581 | 517,533 | |
1.25%, 4/30/28 | 1,022 | 908,203 | |
1.25%, 6/30/28 | 303 | 268,119 | |
1.375%, 10/31/28 | 202 | 178,155 | |
1.875%, 2/15/32 | 185 | 155,328 | |
2.875%, 4/30/29 | 12 | 11,224 | |
3.125%, 8/31/27 | 1,146 | 1,099,668 | |
3.375%, 5/15/33 | 156 | 144,605 | |
3.50%, 1/31/28 | 631 | 611,195 | |
3.625%, 5/15/26 | 23 | 22,534 | |
3.625%, 5/31/28 | 75 | 72,872 | |
3.75%, 12/31/28 | 27 | 26,316 | |
3.875%, 8/15/33 | 78 | 75,057 | |
4.00%, 2/15/34 | 30 | 29,126 | |
4.125%, 7/31/28 | 60 | 59,373 | |
4.125%, 11/15/32 | 43 | 42,284 | |
4.375%, 8/31/28 | 196 | 195,793 | |
4.50%, 11/15/33 | 39 | 39,369 | |
4.625%, 6/30/25 | 900 | 895,684 | |
4.625%, 9/15/26 | 42 | 41,951 | |
4.875%, 5/31/26 | 819 | 820,728 | |
Total U.S. Treasury Obligations (identified cost $17,808,371) |
$16,087,572 |
Short-Term Investments - 3.9% | |||
Affiliated Fund - 2.6% | |||
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 5.22%(17) | 11,087,612 | $ 11,087,612 | |
Total Affiliated Fund (identified cost $11,087,612) |
$ 11,087,612 |
Securities Lending Collateral - 1.0% | |||
Security | Shares | Value | |
State Street Navigator Securities Lending Government Money Market Portfolio, 5.33%(18) | 3,948,189 | $ 3,948,189 | |
Total Securities Lending Collateral (identified cost $3,948,189) |
$ 3,948,189 | ||
U.S. Treasury Obligations - 0.3% | |||
Security |
Principal Amount (000's omitted) |
Value | |
U.S. Treasury Bills, 0.00%, 8/13/24 | $ | 1,400 | $ 1,391,243 |
Total U.S. Treasury Obligations (identified cost $1,391,225) |
$ 1,391,243 | ||
Total Short-Term Investments (identified cost $16,427,026) |
$ 16,427,044 | ||
Total Investments - 105.5% (identified cost $337,052,367) |
$448,772,925 | ||
Less Unfunded Loan Commitments - (0.0)%(12) | $ (13,284) |
Net Investments - 105.5% (identified cost $337,039,083) |
$448,759,641 |
Other Assets, Less Liabilities - (5.5)% | $(23,283,684) | ||
Net Assets - 100.0% | $425,475,957 |
The percentage shown for each investment category in the Schedule of Investments is based on net assets. | |
* | In U.S. dollars unless otherwise indicated. |
(1) | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may be sold in certain transactions in reliance on an exemption from registration (normally to qualified institutional buyers). At June 30, 2024, the aggregate value of these securities is $57,052,168 or 13.4% of the Fund's net assets. |
(2) | Weighted average fixed-rate coupon that changes/updates monthly. Rate shown is the rate at June 30, 2024. |
(3) | Variable rate security. The stated interest rate represents the rate in effect at June 30, 2024. |
(4) | When-issued security. |
(5) |
Step coupon security. Interest rate represents the rate in effect at June 30, 2024. |
(6) | Non-income producing security. |
(7) | All or a portion of this security was on loan at June 30, 2024. The aggregate market value of securities on loan at June 30, 2024 was $4,764,702. |
(8) | Issuer is in default with respect to interest and/or principal payments and is non-income producing. |
(9) | Security converts to variable rate after the indicated fixed-rate coupon period. |
(10) | Perpetual security with no stated maturity date but may be subject to calls by the issuer. |
(11) | Security exempt from registration under Regulation S of the Securities Act of 1933, as amended, which exempts from registration securities offered and sold outside the United States. Security may not be offered or sold in the United States except pursuant to an exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933, as amended. At June 30, 2024, the aggregate value of these securities is $121,197 or less than 0.05% of the Fund's net assets. |
(12) | Amount is less than 0.05% or (0.05)%, as applicable. |
(13) | Senior floating-rate loans (Senior Loans) often require prepayments from excess cash flows or permit the borrowers to repay at their election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. However, Senior Loans will typically have an expected average life of approximately two to four years. Senior Loans typically have rates of interest which are redetermined periodically by reference to a base lending rate, plus a spread. These base lending rates are primarily the Secured Overnight Financing Rate ("SOFR") and secondarily, the prime rate offered by one or more major United States banks (the "Prime Rate"). Base lending rates may be subject to a floor, or minimum rate. Rates for SOFR are generally 1 or 3-month tenors and may also be subject to a credit spread adjustment. Senior Loans are generally subject to contractual restrictions that must be satisfied before they can be bought or sold. |
(14) | Unfunded or partially unfunded loan commitments. The stated interest rate reflects the weighted average of the reference rate and spread for the funded portion, if any, and the commitment fees on the portion of the loan that is unfunded. At June 30, 2024, the total value of unfunded loan commitments is $13,561. See Note 1F for description. |
(15) | Build America Bond. Represents taxable municipal obligation issued pursuant to the American Recovery and Reinvestment Act of 2009 or other legislation providing for the issuance of taxable municipal debt on which the issuer receives federal support. |
(16) | TBA (To Be Announced) securities are purchased or sold on a forward commitment basis with an approximate principal amount and maturity date. The actual principal amount, which is not expected to differ significantly from the commitment amount, and maturity date are determined upon settlement. |
(17) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of June 30, 2024. |
(18) | Represents investment of cash collateral received in connection with securities lending. |
Currency Purchased | Currency Sold | Counterparty |
Settlement Date |
Unrealized Appreciation |
Unrealized (Depreciation) |
||
USD | 97,444 | CAD | 133,500 | BNP Paribas | 7/24/24 | $ - | $(190) |
USD | 113,335 | EUR | 105,556 | UBS AG | 7/24/24 | 174 | - |
$174 | $(190) |
Description |
Number of Contracts |
Position |
Expiration Date |
Notional Amount |
Value/ Unrealized Appreciation (Depreciation) |
Interest Rate Futures | |||||
U.S. 2-Year Treasury Note | 128 | Long | 9/30/24 | $26,140,000 | $57,875 |
U.S. 5-Year Treasury Note | 88 | Long | 9/30/24 | 9,378,875 | 26,423 |
U.S. 10-Year Treasury Note | 15 | Long | 9/19/24 | 1,649,766 | 11,064 |
U.S. Long Treasury Bond | 32 | Long | 9/19/24 | 3,786,000 | 77,815 |
U.S. Ultra-Long Treasury Bond | 12 | Long | 9/19/24 | 1,504,125 | 41,044 |
U.S. 10-Year Treasury Note | (2) | Short | 9/19/24 | (219,969) | (1,002) |
U.S. Ultra 10-Year Treasury Note | (56) | Short | 9/19/24 | (6,357,750) | (32,177) |
U.S. Ultra-Long Treasury Bond | (4) | Short | 9/19/24 | (501,375) | (12,566) |
$168,476 |
Abbreviations: | |
ADR | - American Depositary Receipt |
DIP | - Debtor In Possession |
OTC | - Over-the-counter |
SOFR | - Secured Overnight Financing Rate |
STACR | - Structured Agency Credit Risk |
TBA | - To Be Announced |
Currency Abbreviations: | |
CAD | - Canadian Dollar |
EUR | - Euro |
USD | - United States Dollar |
June 30, 2024 | |
Assets | |
Investments in securities of unaffiliated issuers, at value (identified cost $325,951,471) - including $4,764,702 of securities on loan |
$437,672,029 |
Investments in securities of affiliated issuers, at value (identified cost $11,087,612) | 11,087,612 |
Receivable for open forward foreign currency exchange contracts | 174 |
Cash denominated in foreign currency, at value (cost $121) | 121 |
Deposits at broker for futures contracts | 633,000 |
Receivable for investments sold | 15,268,217 |
Receivable for capital shares sold | 221,238 |
Dividends and interest receivable | 1,268,284 |
Dividends receivable - affiliated | 33,677 |
Securities lending income receivable | 757 |
Tax reclaims receivable | 26,799 |
Directors' deferred compensation plan | 74,860 |
Total assets | $466,286,768 |
Liabilities | |
Payable for variation margin on open futures contracts | $45,668 |
Payable for open forward foreign currency exchange contracts | 190 |
Due to custodian | 28,416 |
Payable for investments purchased | 9,507 |
Payable for when-issued/delayed delivery/forward commitment securities | 36,202,458 |
Payable for capital shares redeemed | 170,848 |
Deposits for securities loaned | 3,948,189 |
Payable to affiliates: | |
Investment advisory fee | 141,189 |
Administrative fee | 41,589 |
Distribution fees | 4,258 |
Sub-transfer agency fee | 489 |
Directors' deferred compensation plan | 74,860 |
Accrued expenses | 143,150 |
Total liabilities | $40,810,811 |
Net Assets | $425,475,957 |
Sources of Net Assets | |
Paid-in capital | $286,141,470 |
Distributable earnings | 139,334,487 |
Net Assets | $425,475,957 |
Class I Shares | |
Net Assets | $404,447,700 |
Shares Outstanding | 151,919,328 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) |
$2.66 |
Class F Shares | |
Net Assets | $21,028,257 |
Shares Outstanding | 7,977,962 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) |
$2.64 |
Six Months Ended | |
June 30, 2024 | |
Investment Income | |
Dividend income (net of foreign taxes withheld of $3,965) | $1,169,435 |
Dividend income - affiliated issuers | 202,691 |
Interest income | 3,521,852 |
Interest income - affiliated issuers | 20,257 |
Securities lending income, net | 3,408 |
Total investment income | $4,917,643 |
Expenses | |
Investment advisory fee | $834,447 |
Administrative fee | 244,229 |
Distribution fees: | |
Class F | 24,127 |
Directors' fees and expenses | 11,217 |
Custodian fees | 12,154 |
Transfer agency fees and expenses | 59,996 |
Accounting fees | 70,136 |
Professional fees | 32,344 |
Reports to shareholders | 25,642 |
Miscellaneous | 13,429 |
Total expenses | $1,327,721 |
Waiver and/or reimbursement of expenses by affiliates | $(5,791) |
Net expenses | $1,321,930 |
Net investment income | $3,595,713 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment securities | $10,637,407 |
Investment securities - affiliated issuers | 2,838 |
Futures contracts | (180,783) |
Foreign currency transactions | 707 |
Forward foreign currency exchange contracts | 1,021 |
Net realized gain | $10,461,190 |
Change in unrealized appreciation (depreciation): | |
Investment securities | $34,466,576 |
Investment securities - affiliated issuers | 14,963 |
Futures contracts | (712,139) |
Foreign currency | (62) |
Forward foreign currency exchange contracts | 5,919 |
Net change in unrealized appreciation (depreciation) | $33,775,257 |
Net realized and unrealized gain | $44,236,447 |
Net increase in net assets from operations | $47,832,160 |
Six Months Ended June 30, 2024 (Unaudited) |
Year Ended December 31, 2023 |
|
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $3,595,713 | $7,287,773 |
Net realized gain | 10,461,190 | 6,433,267 |
Net change in unrealized appreciation (depreciation) | 33,775,257 | 45,295,559 |
Net increase in net assets from operations | $47,832,160 | $59,016,599 |
Distributions to shareholders: | ||
Class I | $ - | $(7,236,515) |
Class F | - | (346,178) |
Total distributions to shareholders | $ - | $(7,582,693) |
Capital share transactions: | ||
Class I | $(20,849,917) | $(23,660,538) |
Class F | 1,184,921 | 2,249,415 |
Net decrease in net assets from capital share transactions | $(19,664,996) | $(21,411,123) |
Net increase in net assets | $28,167,164 | $30,022,783 |
Net Assets | ||
At beginning of period | $397,308,793 | $367,286,010 |
At end of period | $425,475,957 | $397,308,793 |
Class I | ||||||
Six Months Ended June 30, 2024 (Unaudited) |
Year Ended December 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | ||
Net asset value - Beginning of period | $2.37 | $2.07 | $2.78 | $2.52 | $2.29 | $1.94 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $0.02 | $0.04 | $0.04 | $0.03 | $0.03 | $0.04 |
Net realized and unrealized gain (loss) | 0.27 | 0.31 | (0.48) | 0.34 | 0.31 | 0.43 |
Total income (loss) from operations | $0.29 | $0.35 | $(0.44) | $0.37 | $0.34 | $0.47 |
Less Distributions | ||||||
From net investment income | $ - | $(0.04) | $(0.03) | $(0.03) | $(0.04) | $(0.04) |
From net realized gain | - | (0.01) | (0.24) | (0.08) | (0.07) | (0.08) |
Total distributions | $ - | $(0.05) | $(0.27) | $(0.11) | $(0.11) | $(0.12) |
Net asset value - End of period | $2.66 | $2.37 | $2.07 | $2.78 | $2.52 | $2.29 |
Total Return(2) | 12.24%(3) | 16.82% | (15.41)% | 15.12% | 15.26% | 24.40% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000's omitted) | $404,448 | $379,730 | $354,044 | $445,917 | $408,223 | $362,392 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Total expenses | 0.64%(5) | 0.65% | 0.64% | 0.63% | 0.63% | 0.62% |
Net expenses | 0.64%(5)(6) | 0.65%(6) | 0.64%(6) | 0.63% | 0.63% | 0.62% |
Net investment income | 1.78%(5) | 1.92% | 1.55% | 1.04% | 1.39% | 1.68% |
Portfolio Turnover | 74%(3)(7) | 119%(7) | 84%(7) | 93%(7) | 104%(7) | 70%(7) |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect fees and expenses imposed by variable annuity contracts or variable life insurance policies. If included, total return would be lower. |
(3) | Not annualized. |
(4) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(5) | Annualized. |
(6) | Includes a reduction by the investment adviser of a portion of its advisory fee due to the Fund's investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the six months ended June 30, 2024 and the years ended December 31, 2023 and 2022). |
(7) | Includes the effect of To-Be-Announced (TBA) transactions. |
Class F | ||||||
Six Months Ended June 30, 2024 (Unaudited) |
Year Ended December 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | ||
Net asset value - Beginning of period | $2.35 | $2.06 | $2.77 | $2.52 | $2.30 | $1.95 |
Income (Loss) From Operations | ||||||
Net investment income(1) | $0.02 | $0.04 | $0.03 | $0.02 | $0.03 | $0.03 |
Net realized and unrealized gain (loss) | 0.27 | 0.30 | (0.47) | 0.34 | 0.30 | 0.44 |
Total income (loss) from operations | $0.29 | $0.34 | $(0.44) | $0.36 | $0.33 | $0.47 |
Less Distributions | ||||||
From net investment income | $ - | $(0.04) | $(0.03) | $(0.03) | $(0.04) | $(0.04) |
From net realized gain | - | (0.01) | (0.24) | (0.08) | (0.07) | (0.08) |
Total distributions | $ - | $(0.05) | $(0.27) | $(0.11) | $(0.11) | $(0.12) |
Net asset value - End of period | $2.64 | $2.35 | $2.06 | $2.77 | $2.52 | $2.30 |
Total Return(2) | 12.34%(3) | 16.42% | (15.47)% | 14.72% | 14.76% | 24.28% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000's omitted) | $21,028 | $17,579 | $13,242 | $13,003 | $7,896 | $5,023 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Total expenses | 0.89%(5) | 0.90% | 0.89% | 0.88% | 0.88% | 0.86% |
Net expenses | 0.89%(5)(6) | 0.90%(6) | 0.89%(6) | 0.88% | 0.88% | 0.86% |
Net investment income | 1.53%(5) | 1.67% | 1.31% | 0.79% | 1.13% | 1.44% |
Portfolio Turnover | 74%(3)(7) | 119%(7) | 84%(7) | 93%(7) | 104%(7) | 70%(7) |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect fees and expenses imposed by variable annuity contracts or variable life insurance policies. If included, total return would be lower. |
(3) | Not annualized. |
(4) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(5) | Annualized. |
(6) | Includes a reduction by the investment adviser of a portion of its advisory fee due to the Fund's investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the six months ended June 30, 2024 and the years ended December 31, 2023 and 2022). |
(7) | Includes the effect of To-Be-Announced (TBA) transactions. |
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Asset-Backed Securities | $ - | $21,832,102 | $ - | $21,832,102 |
Collateralized Mortgage Obligations | - | 5,566,631 | - | 5,566,631 |
Commercial Mortgage-Backed Securities | - | 18,875,371 | - | 18,875,371 |
Common Stocks | 271,206,183(1) | - | - | 271,206,183 |
Corporate Bonds | - | 52,410,799 | - | 52,410,799 |
Preferred Stocks | 525,995 | - | - | 525,995 |
Senior Floating-Rate Loans (Less Unfunded Loan Commitments) | - | 16,384 | - | 16,384 |
Sovereign Government Bonds | - | 1,599,427 | - | 1,599,427 |
Taxable Municipal Obligations | - | 4,096,869 | - | 4,096,869 |
U.S. Government Agencies and Instrumentalities | - | 982,456 | - | 982,456 |
U.S. Government Agency Mortgage-Backed Securities | - | 39,132,808 | - | 39,132,808 |
U.S. Treasury Obligations | - | 16,087,572 | - | 16,087,572 |
Short-Term Investments: | ||||
Affiliated Fund | 11,087,612 | - | - | 11,087,612 |
Securities Lending Collateral | 3,948,189 | - | - | 3,948,189 |
U.S. Treasury Obligations | - | 1,391,243 | - | 1,391,243 |
Total Investments | $286,767,979 | $161,991,662 | $ - | $448,759,641 |
Forward Foreign Currency Exchange Contracts | $ - | $174 | $ - | $174 |
Futures Contracts | 214,221 | - | - | 214,221 |
Total | $286,982,200 | $161,991,836 | $ - | $448,974,036 |
Liability Description | ||||
Forward Foreign Currency Exchange Contracts | $ - | $(190) | $ - | $(190) |
Futures Contracts | (45,745) | - | - | (45,745) |
Total | $(45,745) | $(190) | $ - | $(45,935) |
(1) | The level classification by major category of investments is the same as the category presentation in the Schedule of Investments. |
Average Daily Net Assets |
Annual Fee Rate |
Up to and including $500 million | 0.410% |
Over $500 million up to and including $1 billion | 0.360% |
Over $1 billion | 0.325% |
Aggregate cost | $337,611,933 |
Gross unrealized appreciation | $121,018,523 |
Gross unrealized depreciation | (9,702,355) |
Net unrealized appreciation | $111,316,168 |
Risk | Derivative | Statement of Assets and Liabilities Caption | Assets | Liabilities |
Foreign exchange | Forward foreign currency exchange contracts |
Receivable/Payable for open forward foreign currency exchange contracts |
$174 | $(190) |
Interest rate | Futures contracts | Distributable earnings | 214,221(1) | (45,745)(1) |
Total | $214,395 | $(45,935) | ||
Derivatives not subject to master netting agreements | $214,221 | $(45,745) | ||
Total Derivatives subject to master netting agreements | $174 | $(190) |
(1) | Only the current day's variation margin is reported within the Statement of Assets and Liabilities as Receivable or Payable for variation margin on open futures contracts, as applicable. |
Counterparty |
Derivative Assets Subject to Master Netting Agreement |
Derivatives Available for Offset |
Non-cash Collateral Received(a) |
Cash Collateral Received(a) |
Net Amount of Derivative Assets(b) |
UBS AG | $174 | $ - | $ - | $ - | $174 |
Counterparty |
Derivative Liabilities Subject to Master Netting Agreement |
Derivatives Available for Offset |
Non-cash Collateral Pledged(a) |
Cash Collateral Pledged(a) |
Net Amount of Derivative Liabilities(c) |
BNP Paribas | $(190) | $ - | $ - | $ - | $(190) |
(a) | In some instances, the total collateral received and/or pledged may be more than the amount shown due to overcollateralization. |
(b) | Net amount represents the net amount due from the counterparty in the event of default. |
(c) | Net amount represents the net amount payable to the counterparty in the event of default. |
Statement of Operations Caption | Foreign exchange | Interest rate | Total |
Net realized gain (loss): | |||
Forward foreign currency exchange contracts | $1,021 | $ - | $1,021 |
Futures contracts | - | (180,783) | (180,783) |
Total | $1,021 | $(180,783) | $(179,762) |
Change in unrealized appreciation (depreciation): | |||
Forward foreign currency exchange contracts | $5,919 | $ - | $5,919 |
Futures contracts | - | (712,139) | (712,139) |
Total | $5,919 | $(712,139) | $(706,220) |
Futures Contracts - Long | Futures Contracts - Short | Forward Foreign Currency Exchange Contracts* |
$34,090,000 | $5,878,000 | $212,000 |
* | The average notional amount for forward foreign currency exchange contracts is based on the absolute value of notional amounts of currency purchased and currency sold. |
Remaining Contractual Maturity of the Transactions | |||||
Overnight and Continuous |
<30 days | 30 to 90 days | >90 days | Total | |
Common Stocks | $2,835,225 | $ - | $ - | $ - | $2,835,225 |
Corporate Bonds | 992,430 | - | - | - | 992,430 |
Preferred Stocks | 7,310 | - | - | - | 7,310 |
U.S. Treasury Obligations | 113,224 | - | - | - | 113,224 |
Total | $3,948,189 | $ - | $ - | $ - | $3,948,189 |
Name |
Value, beginning of period |
Purchases |
Sales proceeds |
Net realized gain (loss) |
Change in unrealized appreciation (depreciation) |
Value, end of period |
Interest/ Dividend income |
Principal amount/ Shares, end of period |
Commercial Mortgage-Backed Securities | ||||||||
Morgan Stanley Capital I Trust: | ||||||||
Series 2019-BPR, Class A, 7.318%, (1 mo. SOFR + 1.992%), 5/15/36 | $ 400,116 | $ - | $ (408,506) | $ - | $ 8,390 | $ - | $ 11,224 | $ - |
Series 2019-BPR, Class B, 8.018%, (1 mo. SOFR + 2.692%), 5/15/36 | 181,503 | - | (187,000) | 2,838 | 2,621 | - | 5,667 | - |
Series 2019-BPR, Class C, 8.968%, (1 mo. SOFR + 3.642%), 5/15/36 | 96,048 | - | (100,000) | - | 3,952 | - | 3,366 | - |
Short-Term Investments | ||||||||
Liquidity Fund | 12,445,046 | 49,729,548 | (51,086,982) | - | - | 11,087,612 | 202,691 | 11,087,612 |
Total | $2,838 | $14,963 | $11,087,612 | $222,948 |
Six Months Ended June 30, 2024 (Unaudited) |
Year Ended December 31, 2023 |
||||
Shares | Amount | Shares | Amount | ||
Class I | |||||
Shares sold | 3,579,521 | $8,959,831 | 7,134,330 | $15,738,473 | |
Reinvestment of distributions | - | - | 3,304,345 | 7,236,515 | |
Shares redeemed | (11,919,781) | (29,809,748) | (21,053,089) | (46,635,526) | |
Net decrease | (8,340,260) | $(20,849,917) | (10,614,414) | $(23,660,538) | |
Class F | |||||
Shares sold | 994,041 | $2,437,966 | 2,410,539 | $5,259,134 | |
Reinvestment of distributions | - | - | 159,529 | 346,178 | |
Shares redeemed | (499,726) | (1,253,045) | (1,515,013) | (3,355,897) | |
Net increase | 494,315 | $1,184,921 | 1,055,055 | $2,249,415 |
• | A report from an independent data provider comparing the advisory and related fees paid by each fund with fees paid by comparable funds; |
• | A report from an independent data provider comparing each fund's total expense ratio and its components to comparable funds; |
• | A report from an independent data provider comparing the investment performance of each fund to the investment performance of comparable funds over various time periods; |
• | Data regarding investment performance in comparison to benchmark indices; |
• | For each fund, comparative information concerning the fees charged and the services provided by the Adviser in managing other accounts (including mutual funds, other collective investment funds and institutional accounts) using investment strategies and techniques similar to those used in managing such fund; |
• | Profitability analyses for the Adviser with respect to each fund; |
• | Descriptions of the investment management services provided to each fund, including investment strategies and processes it employs; |
• | Information about the Adviser's policies and practices with respect to trading, including the Adviser's processes for monitoring best execution of portfolio transactions; |
• | Information about the allocation of brokerage transactions and the benefits received by the Adviser as a result of brokerage allocation, including information concerning the acquisition of research through client commission arrangements and policies with respect to "soft dollars"; |
• | Reports detailing the financial results and condition of CRM; |
• | Descriptions of the qualifications, education and experience of the individual investment professionals whose responsibilities include portfolio management and investment research for the funds, and information relating to their compensation and responsibilities with respect to managing other mutual funds and investment accounts; |
• | Policies and procedures relating to proxy voting and the handling of corporate actions and class actions; |
• | A description of CRM's procedures for overseeing sub-advisers, including with respect to regulatory and compliance issues, investment management and other matters; |
• | Information concerning the nature, cost and character of the administrative and other non-investment advisory services provided by CRM and its affiliates; and |
• | The terms of each investment advisory agreement. |
Table of Contents | |
Schedule of Investments | 1 |
Statement of Assets and Liabilities | 4 |
Statement of Operations | 5 |
Statements of Changes in Net Assets | 6 |
Financial Highlights | 7 |
Notes to Financial Statements | 8 |
Board of Directors' Contract Approval | 13 |
Common Stocks - 97.9% |
Security | Shares | Value | |
Automobile Components - 2.4% | |||
Dorman Products, Inc.(1) | 6,512 | $ 595,718 | |
$ 595,718 | |||
Banks - 2.3% | |||
Commerce Bancshares, Inc. | 5,538 | $ 308,910 | |
First Financial Bankshares, Inc. | 8,485 | 250,562 | |
$ 559,472 | |||
Biotechnology - 0.6% | |||
Neurocrine Biosciences, Inc.(1) | 1,089 | $ 149,923 | |
$149,923 | |||
Building Products - 1.9% | |||
AZEK Co., Inc.(1) | 11,166 | $470,424 | |
$470,424 | |||
Capital Markets - 4.4% | |||
LPL Financial Holdings, Inc. | 1,393 | $389,065 | |
Tradeweb Markets, Inc., Class A | 6,567 | 696,102 | |
$1,085,167 | |||
Chemicals - 2.0% | |||
Quaker Chemical Corp. | 2,899 | $491,960 | |
$491,960 | |||
Commercial Services & Supplies - 4.6% | |||
Copart, Inc.(1) | 10,870 | $588,719 | |
Rentokil Initial PLC ADR(2) | 18,819 | 557,984 | |
$1,146,703 | |||
Communications Equipment - 3.1% | |||
Motorola Solutions, Inc. | 1,972 | $761,291 | |
$761,291 | |||
Consumer Staples Distribution & Retail - 2.6% | |||
Casey's General Stores, Inc. | 595 | $227,028 | |
U.S. Foods Holding Corp.(1) | 7,757 | 410,966 | |
$637,994 | |||
Containers & Packaging - 3.2% | |||
AptarGroup, Inc. | 5,636 | $793,605 | |
$793,605 | |||
Electric Utilities - 2.6% | |||
Alliant Energy Corp. | 12,917 | $657,475 | |
$657,475 |
Security | Shares | Value | |
Electrical Equipment - 2.5% | |||
AMETEK, Inc. | 3,789 | $ 631,664 | |
$ 631,664 | |||
Electronic Equipment, Instruments & Components - 2.0% | |||
TE Connectivity Ltd. | 3,236 | $ 486,791 | |
$ 486,791 | |||
Food Products - 1.1% | |||
Lamb Weston Holdings, Inc. | 3,211 | $ 269,981 | |
$ 269,981 | |||
Ground Transportation - 1.1% | |||
Landstar System, Inc. | 1,423 | $262,515 | |
$262,515 | |||
Health Care Equipment & Supplies - 6.2% | |||
Cooper Cos., Inc. | 6,267 | $547,109 | |
IDEXX Laboratories, Inc.(1) | 1,053 | 513,022 | |
Teleflex, Inc. | 2,292 | 482,076 | |
$1,542,207 | |||
Hotels, Restaurants & Leisure - 7.3% | |||
Aramark | 19,774 | $672,711 | |
Choice Hotels International, Inc. | 2,189 | 260,491 | |
Domino's Pizza, Inc. | 535 | 276,237 | |
Wyndham Hotels & Resorts, Inc. | 8,188 | 605,912 | |
$1,815,351 | |||
Household Durables - 1.0% | |||
NVR, Inc.(1) | 34 | $258,011 | |
$258,011 | |||
Household Products - 1.5% | |||
Church & Dwight Co., Inc. | 3,592 | $372,419 | |
$372,419 | |||
Industrial REITs - 1.5% | |||
Rexford Industrial Realty, Inc. | 8,438 | $376,250 | |
$376,250 | |||
Insurance - 7.9% | |||
American Financial Group, Inc. | 2,952 | $363,155 | |
Arch Capital Group Ltd.(1) | 3,574 | 360,581 | |
Kinsale Capital Group, Inc. | 650 | 250,432 | |
Ryan Specialty Holdings, Inc. | 4,549 | 263,432 | |
W.R. Berkley Corp. | 3,158 | 248,156 | |
White Mountains Insurance Group Ltd. | 265 | 481,624 | |
$1,967,380 |
Security | Shares | Value | |
IT Services - 2.5% | |||
VeriSign, Inc.(1) | 3,443 | $ 612,165 | |
$ 612,165 | |||
Life Sciences Tools & Services - 1.1% | |||
Avantor, Inc.(1) | 12,901 | $ 273,501 | |
$ 273,501 | |||
Machinery - 4.2% | |||
Graco, Inc. | 4,841 | $ 383,795 | |
Middleby Corp.(1) | 2,857 | 350,297 | |
Nordson Corp. | 1,327 | 307,784 | |
$1,041,876 | |||
Multi-Utilities - 2.7% | |||
CMS Energy Corp. | 11,306 | $673,046 | |
$673,046 | |||
Pharmaceuticals - 1.6% | |||
Royalty Pharma PLC, Class A | 14,738 | $388,641 | |
$388,641 | |||
Professional Services - 2.0% | |||
Dayforce, Inc.(1)(2) | 4,302 | $213,379 | |
Verisk Analytics, Inc. | 1,070 | 288,419 | |
$501,798 | |||
Residential REITs - 4.2% | |||
Equity LifeStyle Properties, Inc. | 9,709 | $632,347 | |
Mid-America Apartment Communities, Inc. | 2,921 | 416,564 | |
$1,048,911 | |||
Semiconductors & Semiconductor Equipment - 3.7% | |||
Microchip Technology, Inc. | 4,984 | $456,036 | |
ON Semiconductor Corp.(1) | 3,972 | 272,280 | |
Teradyne, Inc. | 1,254 | 185,956 | |
$914,272 | |||
Software - 3.7% | |||
Fair Isaac Corp.(1) | 220 | $327,505 | |
Tyler Technologies, Inc.(1) | 1,187 | 596,800 | |
$924,305 | |||
Specialized REITs - 2.5% | |||
Lamar Advertising Co., Class A | 5,252 | $627,772 | |
$627,772 | |||
Specialty Retail - 4.5% | |||
Burlington Stores, Inc.(1) | 1,573 | $377,520 | |
Five Below, Inc.(1) | 1,217 | 132,616 |
Security | Shares | Value | |
Specialty Retail (continued) | |||
O'Reilly Automotive, Inc.(1) | 564 | $ 595,618 | |
$ 1,105,754 | |||
Trading Companies & Distributors - 3.4% | |||
Core & Main, Inc., Class A(1) | 12,158 | $ 595,013 | |
United Rentals, Inc. | 396 | 256,105 | |
$ 851,118 | |||
Total Common Stocks (identified cost $20,438,834) |
$24,295,460 |
Short-Term Investments - 4.3% | |||
Affiliated Fund - 2.1% | |||
Security | Shares | Value | |
Morgan Stanley Institutional Liquidity Funds - Government Portfolio, Institutional Class, 5.22%(3) | 525,250 | $ 525,250 | |
Total Affiliated Fund (identified cost $525,250) |
$ 525,250 | ||
Securities Lending Collateral - 2.2% | |||
Security | Shares | Value | |
State Street Navigator Securities Lending Government Money Market Portfolio, 5.33%(4) | 536,526 | $ 536,526 | |
Total Securities Lending Collateral (identified cost $536,526) |
$ 536,526 | ||
Total Short-Term Investments (identified cost $1,061,776) |
$ 1,061,776 | ||
Total Investments - 102.2% (identified cost $21,500,610) |
$25,357,236 | ||
Other Assets, Less Liabilities - (2.2)% | $ (547,799) | ||
Net Assets - 100.0% | $24,809,437 |
The percentage shown for each investment category in the Schedule of Investments is based on net assets. | |
(1) | Non-income producing security. |
(2) | All or a portion of this security was on loan at June 30, 2024. The aggregate market value of securities on loan at June 30, 2024 was $763,576. |
(3) | May be deemed to be an affiliated investment company. The rate shown is the annualized seven-day yield as of June 30, 2024. |
(4) | Represents investment of cash collateral received in connection with securities lending. |
Abbreviations: | |
ADR | - American Depositary Receipt |
REITs | - Real Estate Investment Trusts |
June 30, 2024 | |
Assets | |
Investments in securities of unaffiliated issuers, at value (identified cost $20,975,360) - including $763,576 of securities on loan |
$24,831,986 |
Investments in securities of affiliated issuers, at value (identified cost $525,250) | 525,250 |
Receivable for capital shares sold | 18,059 |
Dividends receivable | 13,198 |
Dividends receivable - affiliated | 2,619 |
Securities lending income receivable | 135 |
Receivable from affiliates | 5,333 |
Directors' deferred compensation plan | 8,695 |
Total assets | $25,405,275 |
Liabilities | |
Due to custodian | $1,579 |
Payable for capital shares redeemed | 9,957 |
Deposits for securities loaned | 536,526 |
Payable to affiliates: | |
Investment advisory fee | 13,183 |
Administrative fee | 2,447 |
Sub-transfer agency fee | 176 |
Directors' deferred compensation plan | 8,695 |
Accrued expenses | 23,275 |
Total liabilities | $595,838 |
Net Assets | $24,809,437 |
Sources of Net Assets | |
Paid-in capital | $20,118,300 |
Distributable earnings | 4,691,137 |
Net Assets | $24,809,437 |
Net Assets | $24,809,437 |
Shares Outstanding | 944,468 |
Net Asset Value, Offering Price and Redemption Price Per Share (net assets ÷ shares of beneficial interest outstanding) |
$26.27 |
Six Months Ended | |
June 30, 2024 | |
Investment Income | |
Dividend income | $149,602 |
Dividend income - affiliated issuers | 14,371 |
Securities lending income, net | 378 |
Total investment income | $164,351 |
Expenses | |
Investment advisory fee | $82,618 |
Administrative fee | 15,253 |
Directors' fees and expenses | 685 |
Custodian fees | 1,020 |
Transfer agency fees and expenses | 7,050 |
Accounting fees | 4,414 |
Professional fees | 20,280 |
Reports to shareholders | 2,628 |
Miscellaneous | 2,775 |
Total expenses | $136,723 |
Waiver and/or reimbursement of expenses by affiliates | $(11,296) |
Net expenses | $125,427 |
Net investment income | $38,924 |
Realized and Unrealized Gain (Loss) | |
Net realized gain (loss): | |
Investment securities | $500,344 |
Net realized gain | $500,344 |
Change in unrealized appreciation (depreciation): | |
Investment securities | $251,622 |
Net change in unrealized appreciation (depreciation) | $251,622 |
Net realized and unrealized gain | $751,966 |
Net increase in net assets from operations | $790,890 |
Six Months Ended June 30, 2024 (Unaudited) |
Year Ended December 31, 2023 |
|
Increase (Decrease) in Net Assets | ||
From operations: | ||
Net investment income | $38,924 | $54,738 |
Net realized gain | 500,344 | 259,631 |
Net change in unrealized appreciation (depreciation) | 251,622 | 2,527,732 |
Net increase in net assets from operations | $790,890 | $2,842,101 |
Distributions to shareholders | $ - | $(48,109) |
Net decrease in net assets from capital share transactions | $(1,818,274) | $(3,035,191) |
Net decrease in net assets | $(1,027,384) | $(241,199) |
Net Assets | ||
At beginning of period | $25,836,821 | $26,078,020 |
At end of period | $24,809,437 | $25,836,821 |
Six Months Ended June 30, 2024 (Unaudited) |
Year Ended December 31, | |||||
2023 | 2022 | 2021 | 2020 | 2019 | ||
Net asset value - Beginning of period | $25.47 | $22.86 | $37.47 | $34.10 | $32.89 | $27.48 |
Income (Loss) From Operations | ||||||
Net investment income (loss)(1) | $0.04 | $0.05 | $0.07 | $(0.03) | $0.08 | $0.14 |
Net realized and unrealized gain (loss) | 0.76 | 2.61 | (8.03) | 5.07 | 3.63 | 8.21 |
Total income (loss) from operations | $0.80 | $2.66 | $(7.96) | $5.04 | $3.71 | $8.35 |
Less Distributions | ||||||
From net investment income | $ - | $(0.05) | $ - | $(0.07) | $(0.14) | $(0.15) |
From net realized gain | - | - | (6.65) | (1.60) | (2.36) | (2.79) |
Total distributions | $ - | $(0.05) | $(6.65) | $(1.67) | $(2.50) | $(2.94) |
Net asset value - End of period | $26.27 | $25.47 | $22.86 | $37.47 | $34.10 | $32.89 |
Total Return(2) | 3.14%(3) | 11.64% | (19.49)% | 15.03% | 12.24% | 31.36% |
Ratios/Supplemental Data | ||||||
Net assets, end of period (000's omitted) | $24,809 | $25,837 | $26,078 | $36,972 | $35,873 | $36,066 |
Ratios (as a percentage of average daily net assets):(4) | ||||||
Total expenses | 1.08%(5) | 1.04% | 1.03% | 0.96% | 0.99% | 1.00% |
Net expenses | 0.99%(5)(6) | 0.99%(6) | 0.99%(6) | 0.96% | 0.99% | 0.99% |
Net investment income (loss) | 0.31%(5) | 0.21% | 0.24% | (0.09)% | 0.26% | 0.44% |
Portfolio Turnover | 20%(3) | 31% | 91% | 74% | 82% | 72% |
(1) | Computed using average shares outstanding. |
(2) | Returns are historical and are calculated by determining the percentage change in net asset value with all distributions reinvested and do not reflect fees and expenses imposed by variable annuity contracts or variable life insurance policies. If included, total return would be lower. |
(3) | Not annualized. |
(4) | Total expenses do not reflect amounts reimbursed and/or waived by the adviser and certain of its affiliates, if applicable. Net expenses are net of all reductions and represent the net expenses paid by the Fund. |
(5) | Annualized. |
(6) | Includes a reduction by the investment adviser of a portion of its advisory fee due to the Fund's investment in the Liquidity Fund (equal to less than 0.005% of average daily net assets for the six months ended June 30, 2024 and the years ended December 31, 2023 and 2022). |
Asset Description | Level 1 | Level 2 | Level 3 | Total |
Common Stocks | $24,295,460(1) | $ - | $ - | $24,295,460 |
Short-Term Investments: | ||||
Affiliated Fund | 525,250 | - | - | 525,250 |
Securities Lending Collateral | 536,526 | - | - | 536,526 |
Total Investments | $25,357,236 | $ - | $ - | $25,357,236 |
(1) | The level classification by major category of investments is the same as the category presentation in the Schedule of Investments. |
Aggregate cost | $21,501,697 |
Gross unrealized appreciation | $4,795,100 |
Gross unrealized depreciation | (939,561) |
Net unrealized appreciation | $3,855,539 |
Remaining Contractual Maturity of the Transactions | |||||
Overnight and Continuous |
<30 days | 30 to 90 days | >90 days | Total | |
Common Stocks | $536,526 | $ - | $ - | $ - | $536,526 |
Name |
Value, beginning of period |
Purchases |
Sales proceeds |
Net realized gain (loss) |
Change in unrealized appreciation (depreciation) |
Value, end of period |
Dividend income |
Shares, end of period |
Short-Term Investments | ||||||||
Liquidity Fund | $252,706 | $3,098,701 | $(2,826,157) | $ - | $ - | $525,250 | $14,371 | 525,250 |
Six Months Ended June 30, 2024 (Unaudited) |
Year Ended December 31, 2023 |
||||
Shares | Amount | Shares | Amount | ||
Shares sold | 21,310 | $551,964 | 34,380 | $822,053 | |
Reinvestment of distributions | - | - | 2,064 | 48,109 | |
Shares redeemed | (91,259) | (2,370,238) | (162,830) | (3,905,353) | |
Net decrease | (69,949) | $(1,818,274) | (126,386) | $(3,035,191) |
• | A report from an independent data provider comparing the advisory and related fees paid by each fund with fees paid by comparable funds; |
• | A report from an independent data provider comparing each fund's total expense ratio and its components to comparable funds; |
• | A report from an independent data provider comparing the investment performance of each fund to the investment performance of comparable funds over various time periods; |
• | Data regarding investment performance in comparison to benchmark indices; |
• | For each fund, comparative information concerning the fees charged and the services provided by the Adviser in managing other accounts (including mutual funds, other collective investment funds and institutional accounts) using investment strategies and techniques similar to those used in managing such fund; |
• | Profitability analyses for the Adviser with respect to each fund; |
• | Descriptions of the investment management services provided to each fund, including investment strategies and processes it employs; |
• | Information about the Adviser's policies and practices with respect to trading, including the Adviser's processes for monitoring best execution of portfolio transactions; |
• | Information about the allocation of brokerage transactions and the benefits received by the Adviser as a result of brokerage allocation, including information concerning the acquisition of research through client commission arrangements and policies with respect to "soft dollars"; |
• | Reports detailing the financial results and condition of CRM; |
• | Descriptions of the qualifications, education and experience of the individual investment professionals whose responsibilities include portfolio management and investment research for the funds, and information relating to their compensation and responsibilities with respect to managing other mutual funds and investment accounts; |
• | Policies and procedures relating to proxy voting and the handling of corporate actions and class actions; |
• | A description of CRM's procedures for overseeing sub-advisers, including with respect to regulatory and compliance issues, investment management and other matters; |
• | Information concerning the nature, cost and character of the administrative and other non-investment advisory services provided by CRM and its affiliates; and |
• | The terms of each investment advisory agreement. |
Item 8. Changes in and Disagreements with Accountants for Open-EndManagement Investment Companies
Not applicable.
Item 9. Proxy Disclosures for Open-EndManagement Investment Companies
Not applicable.
Item 10. Remuneration Paid to Directors, Officers, and Others of Open-EndManagement Investment Companies
The information is disclosed as part of the Financial Statements included in Item 7 of this Form N-CSR.
Item 11. Statement Regarding Basis for Approval of Investment Advisory Contract
The information is included in Item 7 of this Form N-CSR.
Item 12. Disclosure of Proxy Voting Policies and Procedures for Closed-EndManagement Investment Companies
Not applicable.
Item 13. Portfolio Managers of Closed-EndManagement Investment Companies
Not applicable.
Item 14. Purchases of Equity Securities by Closed-EndManagement Investment Company and Affiliated Purchasers
Not applicable.
Item 15. Submission of Matters to a Vote of Security Holders
There have been no material changes to the procedures by which shareholders may recommend nominee to the Fund's Board of Directors since the Fund last provided disclosure in response to this item.
Item 16. Controls and Procedures
(a) |
It is the conclusion of the registrant's principal executive officer and principal financial officer that the effectiveness of the registrant's current disclosure controls and procedures (such disclosure controls and procedures having been evaluated within 90 days of the date of this filing) provide reasonable assurance that the information required to be disclosed by the registrant has been recorded, processed, summarized and reported within the time period specified in the Commission's rules and forms and that the information required to be disclosed by the registrant has been accumulated and communicated to the registrant's principal executive officer and principal financial officer in order to allow timely decisions regarding required disclosure. |
(b) |
There have been no changes in the registrant's internal controls over financial reporting during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting. |
Item 17. Disclosure of Securities Lending Activities for Closed-EndManagement Investment Companies
Not applicable.
Item 18. Recovery of Erroneously Awarded Compensation
Not applicable.
Item 19. Exhibits
(a)(1) |
Registrant's Code of Ethics - Not applicable (please see Item 2). | |
(a)(2)(i) |
Principal Financial Officer's Section 302 certification. | |
(a)(2)(ii) |
Principal Executive Officer's Section 302 certification. | |
(b) |
Combined Section 906 certification. |
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.
Calvert Variable Series, Inc. | ||
By: | /s/ Von M. Hughes | |
Von M. Hughes |
||
Principal Executive Officer |
||
Date: |
August 22, 2024 |
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/ James F. Kirchner | |
James F. Kirchner |
||
Principal Financial Officer |
||
Date: |
August 22, 2024 |
|
By: | /s/ Von M. Hughes | |
Von M. Hughes |
||
Principal Executive Officer |
||
Date: |
August 22, 2024 |