NPORT-EX 2 0346PennSeriesQualityBdFd.htm HTML

PENN SERIES FUNDS, INC.

SCHEDULE OF INVESTMENTS — MARCH 31, 2020 (Unaudited)

QUALITY BOND FUND

 

     Par
(000)		      Value†  

ASSET BACKED SECURITIES — 12.2%

 

 

  

First Eagle BSL CLO Ltd., Series 2019-1A Class B
(3 M ICE LIBOR + 3.250%, Floor 3.250%) 5.125%, 01/20/33 144A @,•

    $ 5,000      $ 4,014,955  

Fortress Credit BSL III Ltd., Series 2015-1A Class B1R
(3 M ICE LIBOR + 1.730%, Floor 1.730%) 3.549%, 04/18/31 144A @,•

      3,000        2,619,309  

Mountain View CLO LLC, Series 2017-2A Class A
(3 M ICE LIBOR + 1.210%) 3.053%, 01/16/31 144A @,•

      3,500        3,245,417  

SLM Student Loan Trust•

 

(1 M ICE LIBOR + 1.000%) 1.947%, 04/27/43, Series 2012-6 Class B

      4,860        4,025,413  

(1 M ICE LIBOR + 0.590%, Floor 0.590%) 1.537%, 03/25/55, Series 2014-2 Class A3

      5,098        4,809,982  

SMB Private Education Loan Trust144A @

 

(1 M ICE LIBOR + 1.950%) 2.655%, 08/16/32, Series 2015-C Class A3 •

      5,000        4,958,213  

4.000%, 09/15/42, Series 2014-A Class B

      1,930        1,999,791  

3.500%, 09/15/43, Series 2015-C Class B

      5,000        5,181,143  

Steele Creek CLO Ltd., Series 2016-1A Class BR
(3 M ICE LIBOR + 1.650%, Floor 1.650%) 2.391%, 06/15/31 144A @,•

      3,250        2,709,466  

Toyota Auto Receivables Owner Trust, Series 2018-D Class A3
3.180%, 03/15/23

      8,235        8,376,233  

Venture 37 CLO Ltd., Series 2019-37A Class A1F
3.657%, 07/15/32 144A @

      5,000        5,020,260  

Verizon Owner Trust, Series 2017-1A Class C
2.650%, 09/20/21 144A @

      4,260        4,244,389  
     

 

 

  

TOTAL ASSET BACKED SECURITIES
(Cost $53,878,742)

 

      51,204,571  
  

 

 

  

COMMERCIAL MORTGAGE BACKED SECURITIES — 16.1%

 

 

  

Benchmark Mortgage Trust, Series 2019-B9 Class A5
4.016%, 03/15/52

      5,000        5,535,495  

CFCRE Commercial Mortgage Trust, Series 2011-C1 Class A4
4.961%, 04/15/44 144A @,•

      671        681,051  

FHLMC Multifamily Structured Pass-Through Certificates

      

1.592%, 03/25/22, Series K019 Class X1 •

      46,264        1,213,268  

2.396%, 06/25/22, Series K021 Class A2

      4,000        4,087,900  

3.062%, 12/25/24, Series K043 Class A2

      3,000        3,229,898  

2.653%, 08/25/26, Series K058 Class A2

      5,000        5,362,644  

3.347%, 11/25/26, Series K061 Class A2 •

      4,750        5,288,814  

2.903%, 06/25/29, Series K094 Class A2

      2,000        2,240,468  

Fontainebleau Miami Beach Trust, Series 2019-FBLU Class B
3.447%, 12/10/36 144A @

      2,500        2,139,639  
     Par
(000)		      Value†  

FREMF Mortgage Trust144A @

 

3.932%, 02/25/25, Series 2018-K731 Class B •

    $ 6,610      $ 6,461,350  

4.319%, 12/25/44, Series 2012-K17 Class B •

      4,000        4,010,981  

4.024%, 05/25/45, Series 2012-K19 Class C •

      4,500        4,443,372  

3.656%, 10/25/45, Series 2012-K23 Class C •

      5,000        4,882,856  

3.638%, 08/25/48, Series 2015-K48 Class B •

      5,000        4,812,624  

4.418%, 12/25/48, Series 2011-K11 Class B •

      3,000        3,000,253  

3.925%, 01/25/49, Series 2016-K52 Class B •

      5,065        4,921,849  

3.652%, 12/25/51, Series 2019-K102 Class B •

      5,000        4,455,813  

Government National Mortgage Association, Series 2011-77 Class D
4.177%, 10/16/45 •

      682        707,522  
     

 

 

  

TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES
(Cost $67,135,696)

 

      67,475,797  
  

 

 

  

CORPORATE BONDS — 43.2%

 

 

  

Aerospace & Defense — 1.5%

 

General Dynamics Corp.
3.500%, 05/15/25

      3,000        3,196,337  

Lockheed Martin Corp.
3.100%, 01/15/23

      3,000        3,042,785  
     

 

 

  
        6,239,122  
     

 

 

  

Agriculture — 0.7%

 

Cargill, Inc.
3.250%, 03/01/23 144A @

      3,000        3,118,888  
     

 

 

  

Airlines — 6.3%

 

Air Canada Pass Through Trust, Series 2013-1 Class B
5.375%, 11/15/22 144A @

      3,116        3,158,995  

American Airlines Pass Through Trust, Series 2013-2 Class B
5.600%, 01/15/22 144A @

      1,785        1,771,359  

Continental Airlines Pass Through Trust

      

6.250%, 10/11/21, Series 2012-1 Class B

      691        690,496  

5.500%, 04/29/22, Series 2012-2 Class B

      1,365        1,344,267  

Delta Air Lines Pass Through Trust

      

6.821%, 02/10/24, Series 2007-1 Class A

      2,890        3,043,823  

8.021%, 02/10/24, Series 2007-1 Class B

      3,066        3,140,903  

4.250%, 01/30/25, Series 2015-1 Class B

      2,113        1,937,921  

Delta Air Lines, Inc.
3.800%, 04/19/23

      2,000        1,879,444  

JetBlue Pass Through Trust, Series 2019-1 Class A
2.950%, 11/15/29

      3,000        2,507,558  

UAL Pass Through Trust, Series 2007-1 Class A
6.636%, 01/02/24

      3,112        2,847,756  
 

PENN SERIES FUNDS, INC.

SCHEDULE OF INVESTMENTS — MARCH 31, 2020 (Unaudited)

QUALITY BOND FUND

 

     Par
(000)		      Value†  

CORPORATE BONDS — (continued)

 

 

  

Airlines — (continued)

 

United Airlines Pass Through Trust

      

4.750%, 10/11/23, Series 2014-1 Class B

    $ 1,716      $ 1,652,714  

3.100%, 01/07/30, Series 2016-1 Class AA

      2,604        2,416,077  
     

 

 

  
        26,391,313  
     

 

 

  

Auto Manufacturers — 1.0%

 

BMW US Capital LLC
3.450%, 04/12/23 144A @

      4,000        3,973,683  
     

 

 

  

Banks — 3.9%

 

JPMorgan Chase & Co.
(3 M ICE LIBOR + 0.500%) 2.263%, 02/01/27 •

      2,950        2,448,500  

KeyCorp. Capital I
(3 M ICE LIBOR + 0.740%) 2.173%, 07/01/28 •

      2,640        2,164,800  

NTC Capital I
(3 M ICE LIBOR + 0.520%) 2.351%, 01/15/27 •

      5,595        4,755,750  

PNC Capital Trust C
(3 M ICE LIBOR + 0.570%) 2.150%, 06/01/28 •

      2,235        1,792,519  

State Street Corp.
(3 M ICE LIBOR + 0.560%) 2.252%, 05/15/28 •

      1,665        1,365,300  

USB Capital IX
(3 M ICE LIBOR + 1.020%) 3.500% µ,•

      2,000        1,490,000  

Wachovia Capital Trust III
(3 M ICE LIBOR + 0.930%) 5.570% µ,•

      2,510        2,434,700  
     

 

 

  
        16,451,569  
     

 

 

  

Biotechnology — 1.2%

 

Amgen, Inc.

      

2.700%, 05/01/22

      3,000        3,072,516  

2.650%, 05/11/22

      2,000        2,023,641  
     

 

 

  
        5,096,157  
     

 

 

  

Building Materials — 1.6%

 

Martin Marietta Materials, Inc.
4.250%, 07/02/24

      3,000        3,108,376  

Vulcan Materials Co.
4.500%, 04/01/25

      3,565        3,745,945  
     

 

 

  
        6,854,321  
     

 

 

  

Commercial Services — 1.1%

 

Drawbridge Special Opportunities Fund LP
5.000%, 08/01/21 144A @

      2,000        1,921,149  

IHS Markit Ltd.
5.000%, 11/01/22 144A @

      2,500        2,626,698  
     

 

 

  
        4,547,847  
     

 

 

  

Computers — 0.7%

 

Dell International LLC
5.450%, 06/15/23 144A @

      3,000        3,082,953  
     

 

 

  
     Par
(000)		      Value†  

Cosmetics & Personal Care — 0.8%

 

Procter & Gamble Co.
2.450%, 03/25/25

    $ 3,000      $ 3,152,207  
     

 

 

  

Diversified Financial Services — 1.2%

 

Air Lease Corp.
3.750%, 02/01/22

      2,000        1,830,612  

GE Capital International Funding Co.
4.418%, 11/15/35

      3,000        3,201,242  
     

 

 

  
        5,031,854  
     

 

 

  

Electric — 2.8%

 

ComEd Financing III
6.350%, 03/15/33

      3,355        3,881,735  

Edison International
3.550%, 11/15/24

      2,000        1,986,295  

FirstEnergy Corp.
3.900%, 07/15/27

      4,000        4,063,313  

Vistra Operations Co., LLC
5.000%, 07/31/27 144A @

      2,000        2,030,000  
     

 

 

  
        11,961,343  
     

 

 

  

Food — 2.6%

 

JM Smucker Co.
3.375%, 12/15/27

      2,000        2,006,450  

Kellogg Co.
2.650%, 12/01/23

      2,501        2,518,442  

Land O’ Lakes, Inc.
6.000%, 11/15/22 144A @

      3,500        3,631,250  

Smithfield Foods, Inc.
3.350%, 02/01/22 144A @

      3,000        2,918,298  
     

 

 

  
        11,074,440  
     

 

 

  

Forest Products & Paper — 0.6%

 

Georgia-Pacific LLC
3.163%, 11/15/21 144A @

      2,500        2,534,229  
     

 

 

  

Gas — 0.6%

 

The Brooklyn Union Gas Co.
3.407%, 03/10/26 144A @

      2,500        2,568,275  
     

 

 

  

Healthcare Products — 1.1%

 

Boston Scientific Corp.
3.750%, 03/01/26

      3,000        3,146,118  

Zimmer Biomet Holdings, Inc.
(3 M ICE LIBOR + 0.750%) 1.802%, 03/19/21 •

      1,500        1,481,919  
     

 

 

  
        4,628,037  
     

 

 

  

Healthcare Services — 0.6%

 

Centene Corp.
4.250%, 12/15/27 144A @

      2,500        2,450,000  
     

 

 

  

Home Builders — 0.2%

 

Lennar Corp.
2.950%, 11/29/20

      1,000        975,000  
     

 

 

  
 

PENN SERIES FUNDS, INC.

SCHEDULE OF INVESTMENTS — MARCH 31, 2020 (Unaudited)

QUALITY BOND FUND

 

     Par
(000)		      Value†  

CORPORATE BONDS — (continued)

 

 

  

Household Products & Wares — 0.5%

 

Kimberly-Clark Corp.
3.100%, 03/26/30

    $ 2,000      $ 2,163,639  
     

 

 

  

Internet — 0.3%

 

Alibaba Group Holding Ltd.
3.400%, 12/06/27

      1,000        1,048,234  
     

 

 

  

Media — 2.0%

 

Charter Communications Operating LLC
4.464%, 07/23/22

      3,000        3,111,744  

Comcast Cable Holdings LLC
9.875%, 06/15/22

      1,000        1,131,497  

Comcast Corp.
3.950%, 10/15/25

      4,000        4,349,358  
     

 

 

  
     8,592,599  
  

 

 

  

Mining — 0.2%

 

Newmont Corp.
3.625%, 06/09/21

      1,000        1,003,500  
     

 

 

  

Oil & Gas — 0.8%

 

BG Energy Capital PLC
4.000%, 10/15/21 144A @

      1,000        1,003,985  

BP Capital Markets PLC
2.500%, 11/06/22

      2,500        2,476,083  
     

 

 

  
     3,480,068  
  

 

 

  

Pharmaceuticals — 3.3%

 

AbbVie, Inc.
2.300%, 05/14/21

      3,000        3,009,577  

Becton Dickinson and Co.
3.700%, 06/06/27

      1,956        1,974,461  

CVS Health Corp.
4.100%, 03/25/25

      2,000        2,115,665  

GlaxoSmithKline Capital, Inc.
5.375%, 04/15/34

      1,000        1,248,970  

Mead Johnson Nutrition Co.
4.125%, 11/15/25

      2,000        2,182,223  

Zoetis, Inc.
4.500%, 11/13/25

      3,000        3,120,474  
     

 

 

  
     13,651,370  
  

 

 

  

Pipelines — 2.0%

 

Energy Transfer Operating LP
(UST Yield Curve CMT 5 Yr + 5.306%) 7.125% µ,•

      2,000        1,203,660  

Energy Transfer Partners LP
5.875%, 03/01/22

      2,000        1,878,744  

MPLX LP
(3 M ICE LIBOR + 1.100%) 2.099%, 09/09/22 •

      3,000        2,791,135  

Transcanada Trust
(3 M ICE LIBOR + 4.640%) 5.875%, 08/15/76 •

      3,000        2,347,500  
     

 

 

  
     8,221,039  
  

 

 

  
     Par
(000)		      Value†  

Real Estate Investment Trusts — 2.0%

 

American Tower Corp.
4.700%, 03/15/22

    $ 2,500      $ 2,539,061  

Kimco Realty Corp.
2.800%, 10/01/26

      3,000        2,900,754  

SBA Tower Trust
3.156%, 10/10/45 144A @

      3,000        2,995,586  
     

 

 

  
     8,435,401  
  

 

 

  

Retail — 0.1%

 

Bed Bath & Beyond, Inc.
5.165%, 08/01/44

      1,000        401,470  
     

 

 

  

Software — 0.7%

 

VMware, Inc.
2.950%, 08/21/22

      3,000        2,984,368  
     

 

 

  

Telecommunications — 1.2%

 

Crown Castle Towers LLC
3.663%, 05/15/45 144A @

      4,000        4,000,054  

Sprint Spectrum Co., LLC
3.360%, 03/20/23 144A @

      1,125        1,119,375  
     

 

 

  
     5,119,429  
  

 

 

  

Transportation — 1.6%

 

BNSF Railway Co. Pass Through Trust, Series 2015-1
3.442%, 06/16/28 144A @

      2,492        2,642,750  

Federal Express Corp. Pass Through Trust, Series 1999
7.650%, 07/15/24

      408        438,785  

Union Pacific Corp.
3.375%, 02/01/35

      3,336        3,428,870  
     

 

 

  
     6,510,405  
  

 

 

  

TOTAL CORPORATE BONDS
(Cost $184,423,905)

 

      181,742,760  
  

 

 

  

MUNICIPAL BONDS — 4.4%

 

 

  

Los Angeles Department of Water & Power, Power System Revenue, Build America Bonds, Series A
6.166%, 07/01/40

      5,000        5,042,100  

Northeast Ohio Regional Sewer District, Build America Bonds
6.038%, 11/15/40

      3,755        3,850,189  

State of Texas, Public Finance Authority
3.952%, 10/01/37

      3,725        4,076,119  

West Virginia University, Series A
4.000%, 10/01/47

      5,000        5,551,850  
     

 

 

  

TOTAL MUNICIPAL BONDS
(Cost $18,045,452)

 

      18,520,258  
  

 

 

  
 

PENN SERIES FUNDS, INC.

SCHEDULE OF INVESTMENTS — MARCH 31, 2020 (Unaudited)

QUALITY BOND FUND

 

     Par
(000)		      Value†  

RESIDENTIAL MORTGAGE BACKED SECURITIES — 17.9%

 

 

  

Collateralized Mortgage Obligations — 4.4%

 

Agate Bay Mortgage Trust, Series 2016-3 Class A5
3.500%, 08/25/46 144A @,•

    $ 3,510      $ 3,524,387  

Chase Home Lending Mortgage Trust, Series 2019-1 Class A4
3.500%, 03/25/50 144A @,•

      4,496        4,507,439  

Sequoia Mortgage Trust, Series 2020-3 Class A1
3.000%, 04/25/50 144A @,•

      10,000        10,357,422  
     

 

 

  
        18,389,248  
     

 

 

  

Fannie Mae Pool — 7.2%

 

2.500%, 01/01/43

      2,012        2,094,015  

2.500%, 02/01/43

      5,746        5,981,094  

3.500%, 11/01/44

      3,926        4,148,286  

3.500%, 09/01/47

      7,222        7,651,495  

3.000%, 01/01/50

      9,888        10,362,791  
     

 

 

  
        30,237,681  
     

 

 

  

Freddie Mac Pool — 1.1%

 

2.500%, 01/01/50

      4,654        4,822,010  
     

 

 

  

Freddie Mac REMICS — 5.2%

 

3.500%, 09/15/43, Series 4640 Class LG

      5,899        6,393,252  

4.000%, 07/15/44, Series 4800 Class ED

      4,568        4,727,264  

3.500%, 01/15/45, Series 4743 Class PA

      7,040        7,379,947  

5.000%, 11/15/45, Series 4800 Class KB

      3,022        3,178,257  
     

 

 

  
        21,678,720  
     

 

 

  

TOTAL RESIDENTIAL MORTGAGE BACKED SECURITIES
(Cost $72,753,487)

 

      75,127,659  
  

 

 

  

U.S TREASURY OBLIGATION — 5.9%

 

 

  

U.S. Treasury Bond

      

2.750%, 08/15/42

      1,800        2,324,109  

2.875%, 05/15/43

      4,850        6,401,053  

3.625%, 08/15/43

      1,650        2,435,941  

U.S. Treasury Inflation Indexed Bonds
1.000%, 02/15/46

      1,905        2,315,483  

U.S. Treasury Notes

      

2.000%, 07/31/22 (a)

      600        624,727  

1.500%, 11/30/24

      500        526,504  

1.125%, 02/28/25

      10,000        10,366,797  
     

 

 

  

TOTAL U.S TREASURY OBLIGATION
(Cost $22,116,909)

 

      24,994,614  
  

 

 

  
     Number of
Shares		         

SHORT-TERM INVESTMENTS — 1.9%

 

 

  

BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 0.330%)
(Cost $8,048,777)

      8,048,777        8,048,777  
     

 

 

  

TOTAL INVESTMENTS — 101.6%
(Cost $426,402,968)

      427,114,436  

Other Assets & Liabilities — (1.6)%

      (6,550,454 ) 
  

 

 

  

TOTAL NET ASSETS — 100.0%

    $ 420,563,982  
  

 

 

  

 

µ

Perpetual security with no stated maturity date.

†

See Security Valuation Note in the most recent semi-annual or annual report.

144A @

Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At March 31, 2020, the aggregate value of Rule 144A securities was $139,739,506, which represents 33.2% of the Fund’s net assets.

•   Variable rate security. The rate disclosed is the rate in effect on the report date. The information in parenthesis represents the benchmark and reference rate for each relevant security and the rate floats based upon the reference rate and spread. The security may be further subject to interest rate floors and caps. For loan agreements, the rate shown may represent a weighted average interest rate. Certain variable rate securities are not based on a published reference rate and spread, but are determined by the issuer or agent and are based on current market conditions, or, for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions.
(a)

All or portion of securities segregated as collateral for futures contracts.

CLO — Collateralized Loan Obligation.

CMT — Constant Maturity Treasury.

ICE — Intercontinental Exchange.

LIBOR — London Interbank Offered Rate.

LLC — Limited Liability Company.

LP — Limited Partnership.

M — Month

PLC — Public Limited Company.

REMICS — Real Estate Mortgage Investment Conduits.

UST — US Treasury.

Yr — Year

 

PENN SERIES FUNDS, INC.

SCHEDULE OF INVESTMENTS — MARCH 31, 2020 (Unaudited)

QUALITY BOND FUND

 

Country Weightings as of 03/31/2020 ††

 

 

  

United States

      92 % 

Cayman Islands

      4  

Bangladesh

      1  

Canada

      1  

Ireland

      1  

United Kingdom

      1  
  

 

 

  

Total

      100 % 
  

 

 

  

 

††

% of total investments as of March 31, 2020.

                    

 

Futures Contracts:

 

Type    Futures Contract    Expiration
Date		      Numbers
of
Contracts		     Units
per
Contract		      Closing
Price		      Notional Value     Unrealized
Appreciation		      Unrealized
Depreciation		  

Buy/Sell

    US Treasury 2 year Note      06/30/2020        (370 )      2,000      $ 110      $ (81,541,640 )    $ 71,611      $ —    

Buy/Long

    US Treasury 5 year Note      06/30/2020        690       1,000        125        86,497,969       2,828,827        —    

Buy/Long

    US Treasury 10 year Note      06/19/2020        197       1,000        139        27,321,438       —          (326,502 ) 

Buy/Sell

    US Treasury Long Bond      06/19/2020        (3 )      1,000        179        (537,188 )      —          (39,990 ) 

Buy/Long

    US Treasury Ultra Bond      06/19/2020        133       1,000        222        29,509,375       2,739,739        —    
                  

 

 

     

 

 

  
                   $ 5,640,177      $ (366,492 )