LOGO

Semi-Annual Report

Period Ended: April 30, 2023 (Unaudited)

 

 

DIMENSIONAL ETF TRUST

 

Dimensional US Sustainability Core 1 ETF

Dimensional International Sustainability Core 1 ETF

Dimensional Emerging Markets Sustainability Core 1 ETF

Dimensional Global Sustainability Fixed Income ETF


LOGO

June 2023

Dear Shareholder,

Dimensional has a long history of putting financial science to work for investors around the world. We believe in the power of markets. We focus on the drivers of higher expected returns. We add value through implementation. And we’re committed to delivering an exceptional client experience to help investors pursue their goals.

We’ve been innovating on behalf of investors since 1981. We start with what clients are looking for and then determine how best to deliver flexible, low-cost, diversified strategies to meet those needs. Our ability to capture long-term premiums has led Dimensional to outperform benchmarks and peers over long periods of time and across strategies.

Whether you’re investing through mutual funds or ETFs, we believe investors can have a successful investment experience without having to outguess the market. On behalf of everyone at Dimensional, we thank you for entrusting us with your investments.

Sincerely,

 

LOGO    LOGO
David P. Butler    Gerard O’Reilly
CO-CHIEF EXECUTIVE OFFICER    CO-CHIEF EXECUTIVE OFFICER and
   CHIEF INVESTMENT OFFICE


 

 

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DIMENSIONAL ETF TRUST

SEMI-ANNUAL REPORT

(Unaudited)

Table of Contents

 

Letter to Shareholders

  

Definitions of Abbreviations and Footnotes

     3  

Disclosure of Fund Expenses

     5  

Disclosure of Portfolio Holdings

     7  

Summary Schedules of Investments

     8  

Dimensional US Sustainability Core 1 ETF

     8  

Dimensional International Sustainability Core 1 ETF

     11  

Dimensional Emerging Markets Sustainability Core 1 ETF

     15  

Schedule of Investments

     19  

Dimensional Global Sustainability Fixed Income ETF

     19  

Statements of Assets and Liabilities

     26  

Statements of Operations

     28  

Statements of Changes In Net Assets

     30  

Financial Highlights

     31  

Notes to Financial Statements

     32  

Voting Proxies on Fund Portfolio Securities

     46  

Statement Regarding Liquidity Risk Management Program

     47  

Board Approval of Investment Management Agreements

     49  

This report is submitted for the information of each Fund’s shareholders. It is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus.

 

i


 

 

[THIS PAGE INTENTIONALLY LEFT BLANK]


DIMENSIONAL ETF TRUST

DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES

(Unaudited)

Summary Schedules of Investments

Investment Abbreviations

 

ADR

   American Depositary Receipt

AUD

   Australian Dollars

GBP

   British Pounds

GDR

   Global Depositary Receipt

JPY

   Japanese Yen

MTN

   Medium-Term Note

NZD

   New Zealand Dollars

PLC

   Public Limited Company

SA

   Special Assessment

TBA

   To Be Announced purchase or sale commitment. Security is subject to delayed delivery.

USD

   United States Dollar
Investment Footnotes

*

   Non-Income Producing Securities

   Calculated as a percentage of total net assets. Percentages shown parenthetically next to the category headings have been calculated as a percentage of total investments. “Other Securities” are those securities that are not among the top 50 holdings in unaffiliated issuers of the Fund or do not represent more than 1.0% of the net assets of the Fund. Some of the individual securities within this category may include Total or Partial Securities on Loan and/ or Non-Income Producing Securities.

   See Note B to Financial Statements.

W

   Rule 144A, Section 4(2), or other security that is restricted as to resale to institutional investors. This security has been deemed liquid based upon the Fund’s Liquidity Guidelines. The liquidity determination is unaudited.

#

   Total or Partial Securities on Loan

§

   Affiliated Fund

^

   Denominated in USD, unless otherwise noted.

@

   Security purchased with cash collateral received from Securities on Loan

 

3


DEFINITIONS OF ABBREVIATIONS AND FOOTNOTES

CONTINUED

Financial Highlights

(a)

   Computed using average shares outstanding.

(b)

   Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, if any, and redemption on the last day of the period at net asset value. This percentage is not an indication of the performance of a shareholder’s investment in the Fund based on market value due to differences between the market price of the shares and the net asset value per share of the Fund.

(c)

   Not annualized for periods less than one year.

(d)

   Market value total return is calculated assuming an initial investment made at the market value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, if any, and redemption on the last day of the period at market value. Market value is determined by the composite closing price. Composite closing security price is defined as the last reported sale price from any primary listing market (e.g., NYSE Arca) or participating regional exchanges or markets. The composite closing price is the last reported sale price from any of the eligible sources, regardless of volume and not an average price and may have occurred on a date prior to the close of the reporting period. Market value may be greater or less than net asset value, depending on the Fund’s closing price on the listing market.

(e)

   Annualized for periods less than one year.

(f)

   Excludes impact of in-kind transactions.
All Statements, Schedules and Notes to Financial Statements

   Amounts designated as — are either zero or rounded to zero

SEC

   Securities and Exchange Commission

 

4


DIMENSIONAL ETF TRUST

DISCLOSURE OF FUND EXPENSES

(Unaudited)

The following Expense Tables are shown so that you can understand the impact of fees on your investment. All funds have operating expenses. As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports, among others. Operating expenses and legal and audit services, which are deducted from a fund’s gross income, directly reduce the investment return of the fund. A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs, in dollars, of investing in the fund and to compare these costs with those of other funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.

The Expense Tables below illustrate your fund’s costs in two ways.

Actual Fund Return

This section helps you to estimate the actual expenses after fee waivers that you paid over the period. The “Ending Account Value” shown is derived from the fund’s actual return and “Expenses Paid During Period” reflects the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.

To do so, simply divide your account value by $1,000 (for example, a $7,500 account value divided by $1,000 = 7.5), then multiply the result by the number given for your fund under the heading “Expenses Paid During Period.”

Hypothetical Example for Comparison Purposes

This section is intended to help you compare your fund’s costs with those of other funds. The hypothetical “Ending Account Value” and “Expenses Paid During Period” are derived from the fund’s actual expense ratio and an assumed 5% annual return before expenses. In this case, because the return used is not the fund’s actual return, the results do not apply to your investment. The example is useful in making comparisons because the SEC requires all funds to calculate expenses based on a 5% annual return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.

Please note that the expenses shown in the tables are meant to highlight and help you compare ongoing costs only and do not reflect any transactional costs, such as brokerage commissions, if applicable. The “Annualized Expense Ratio” represents the actual expenses for the six-month period indicated.

EXPENSE TABLES

 

            For the period ended April 30, 2023  
     Beginning
Account Value
11/1/2022
     Ending
Account Value
4/30/2023
     Annualized
Expense
Ratio
    Expenses Paid
During Period
(a)
 

Dimensional US Sustainability Core 1 ETF

          

Actual Fund Return

   $ 1,000.00      $ 1,076.80        0.18   $ 0.92  

Hypothetical 5% Annual Return

   $ 1,000.00      $ 1,023.90        0.18   $ 0.90  

Dimensional International Sustainability Core 1 ETF

          

Actual Fund Return

   $ 1,000.00      $ 1,225.60        0.24   $ 1.32  

Hypothetical 5% Annual Return

   $ 1,000.00      $ 1,023.60        0.24   $ 1.20  

Dimensional Emerging Markets Sustainability Core 1 ETF

          

Actual Fund Return

   $ 1,000.00      $ 1,156.50        0.41   $ 2.18  

Hypothetical 5% Annual Return

   $ 1,000.00      $ 1,022.76        0.41   $ 2.06  

 

5


DISCLOSURE OF FUND EXPENSES

CONTINUED

 

     Beginning
Account Value
11/1/2022
     Ending
Account Value
4/30/2023
     Annualized
Expense
Ratio
    Expenses Paid
During Period
(a)
 

Dimensional Global Sustainability Fixed Income ETF

          

Actual Fund Return(b)

   $ 1,000.00      $ 1,044.00        0.24   $ 1.12  

Hypothetical 5% Annual Return

   $ 1,000.00      $ 1,023.60        0.24   $ 1.20  

(a)

Expenses are equal to the Fund’s annualized expense ratio for the six-month period, multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period (181), then divided by the number of days in the year (365) to reflect the six-month period.

(b)

Information shown reflects values for the stub period of 167 days from November 15, 2022 (commencement of operations) to April 30, 2023 and has been calculated using expense ratios and rates of returns for the same period.

 

6


DIMENSIONAL ETF TRUST

DISCLOSURE OF PORTFOLIO HOLDINGS

(Unaudited)

The SEC requires that all funds file a complete Schedule of Investments with the SEC for their first and third fiscal quarters as an exhibit to their reports on Form N-PORT. For Dimensional ETF Trust, this would be for the fiscal quarters ending January 31 and July 31. Such Form N-PORT filing must be made within 60 days of the end of the quarter. Dimensional ETF Trust filed its most recent Form N-PORT with the SEC on March 30, 2023. They are available upon request, without charge, by calling collect: (512) 306-7400; by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, TX 78746; or by visiting the SEC’s website at http:// www.sec.gov.

SEC regulations permit a fund to include in its reports to shareholders a “Summary Schedule of Investments” in lieu of a full Schedule of Investments. The Summary Schedule of Investments reports the fund’s 50 largest holdings in unaffiliated issuers and any investments that exceed one percent of the fund’s net assets at the end of the reporting period. The regulations also require that the Summary Schedule of Investments identifies each category of investments that are held.

A fund is required to file a complete Schedule of Investments with the SEC on Form N-CSR within ten days after mailing the annual and semi-annual reports to shareholders. It will be available upon request, without charge, by calling collect: (512) 306-7400; by mailing a request to Dimensional Fund Advisors LP, 6300 Bee Cave Road, Building One, Austin, TX 78746; or by visiting the SEC’s website at http://www.sec.gov.

PORTFOLIO HOLDINGS

The SEC requires that all funds present their categories of portfolio holdings in a table, chart, or graph format in their annual and semi-annual shareholder reports, whether or not a Schedule of Investments is used. The following table, which presents portfolio holdings as a percentage of total investments before short-term investments and collateral for loaned securities, is provided in compliance with this requirement. The categories shown below represent broad industry sectors. Each industry sector consists of one or more specific industry classifications.

 

Dimensional US Sustainability Core 1 ETF  

Communication Services

     9.2

Consumer Discretionary

     12.7

Consumer Staples

     6.6

Energy

     2.0

Financials

     16.6

Health Care

     14.6

Industrials

     13.2

Information Technology

     19.9

Materials

     3.7

Real Estate

     0.3

Utilities

     1.2
  

 

 

 
     100.0

Dimensional International Sustainability Core 1
ETF
 

Communication Services

     5.9

Consumer Discretionary

     14.2

Consumer Staples

     8.2

Energy

     1.4

Financials

     17.9

Health Care

     9.7

Industrials

     20.5

Information Technology

     8.7

Materials

     8.4

Real Estate

     2.1

Utilities

     3.0
  

 

 

 
     100.0
Dimensional Emerging Markets Sustainability
Core 1 ETF
 

Communication Services

     8.9

Consumer Discretionary

     11.8

Consumer Staples

     6.2

Energy

     1.7

Financials

     17.6

Health Care

     5.9

Industrials

     10.2

Information Technology

     22.8

Materials

     9.2

Real Estate

     3.1

Utilities

     2.6
  

 

 

 
     100.0

 

 

Dimensional Global Sustainability Fixed
Income ETF
 

Communication Services

     5.7

Consumer Discretionary

     6.5

Consumer Staples

     1.9

Energy

     0.3

Financials

     31.2

Foreign Government

     4.3

Health Care

     4.0

Industrials

     4.0

Information Technology

     5.1

Materials

     0.3

Real Estate

     2.4

Sovereign Bond

     11.9

U.S. Government

     21.8

Utilities

     0.6
  

 

 

 
     100.0

    

    

 

7


DIMENSIONAL US SUSTAINABILITY CORE 1 ETF

SUMMARY SCHEDULE OF INVESTMENTS

April 30, 2023

(Unaudited)

 

     Shares      Value†      Percentage of
Net Assets‡
 

COMMON STOCKS — (98.9%)

        

COMMUNICATION SERVICES — (9.1%)

        

*   Alphabet, Inc., Class A

     58,679      $ 6,298,604        1.6

*   Alphabet, Inc., Class C

     53,238        5,761,416        1.5

Comcast Corp., Class A

     60,594        2,506,774        0.6

*   Meta Platforms, Inc., Class A

     41,519        9,977,846        2.5

Verizon Communications, Inc.

     53,311        2,070,066        0.5

*   Walt Disney Co. (The)

     16,195        1,659,987        0.4

Other Securities

        8,308,853        2.1
     

 

 

    

 

 

 

TOTAL COMMUNICATION SERVICES

        36,583,546        9.2
     

 

 

    

 

 

 

CONSUMER DISCRETIONARY — (12.6%)

        

*   Amazon.com, Inc.

     60,307        6,359,373        1.6

*   Booking Holdings, Inc.

     592        1,590,296        0.4

Home Depot, Inc. (The)

     13,548        4,071,716        1.0

McDonald’s Corp.

     5,923        1,751,727        0.4

NIKE, Inc., Class B

     18,828        2,385,884        0.6

*   Tesla, Inc.

     24,433        4,014,586        1.0

Other Securities

        30,227,672        7.7
     

 

 

    

 

 

 

TOTAL CONSUMER DISCRETIONARY

        50,401,254        12.7
     

 

 

    

 

 

 

CONSUMER STAPLES — (6.6%)

        

Coca-Cola Co. (The)

     40,988        2,629,380        0.7

Costco Wholesale Corp.

     5,875        2,956,418        0.7

PepsiCo., Inc.

     10,675        2,037,751        0.5

Procter & Gamble Co. (The)

     21,241        3,321,668        0.8

Walmart, Inc.

     16,698        2,520,897        0.6

Other Securities

        12,771,201        3.3
     

 

 

    

 

 

 

TOTAL CONSUMER STAPLES

        26,237,315        6.6
     

 

 

    

 

 

 

ENERGY — (2.0%)

        

Marathon Petroleum Corp.

     9,587        1,169,614        0.3

Other Securities

        6,944,554        1.7
     

 

 

    

 

 

 

TOTAL ENERGY

        8,114,168        2.0
     

 

 

    

 

 

 

FINANCIALS — (16.4%)

        

JPMorgan Chase & Co.

     27,716        3,831,460        1.0

Mastercard, Inc., Class A

     9,408        3,575,322        0.9

Morgan Stanley

     15,922        1,432,502        0.4

Travelers Cos, Inc. (The)

     7,085        1,283,377        0.3

Visa, Inc., Class A

     17,664        4,110,943        1.0

Other Securities

        51,584,310        13.0
     

 

 

    

 

 

 

TOTAL FINANCIALS

        65,817,914        16.6
     

 

 

    

 

 

 

HEALTH CARE — (14.4%)

        

AbbVie, Inc.

     19,645        2,968,752        0.8

Amgen, Inc.

     5,903        1,415,185        0.4

Bristol-Myers Squibb Co.

     30,192        2,015,920        0.5

Cigna Group (The)

     5,505        1,394,361        0.4

CVS Health Corp.

     18,760        1,375,296        0.4

Danaher Corp.

     6,015        1,425,014        0.4

Elevance Health, Inc.

     2,922        1,369,395        0.4

Eli Lilly & Co.

     5,260        2,082,224        0.5

Gilead Sciences, Inc.

     15,893        1,306,564        0.3

Johnson & Johnson

     25,258        4,134,735        1.0

Merck & Co., Inc.

     17,168        1,982,389        0.5

Pfizer, Inc.

     61,837        2,404,841        0.6

 

8


DIMENSIONAL US SUSTAINABILITY CORE 1 ETF

CONTINUED

 

     Shares      Value†      Percentage of
Net Assets‡
 

HEALTH CARE — (Continued)

        

Thermo Fisher Scientific, Inc.

     2,371      $ 1,315,668        0.3

UnitedHealth Group, Inc.

     13,146        6,469,015        1.6

Other Securities

        25,986,880        6.4
     

 

 

    

 

 

 

TOTAL HEALTH CARE

        57,646,239        14.5
     

 

 

    

 

 

 

INDUSTRIALS — (13.1%)

        

Caterpillar, Inc.

     5,378        1,176,706        0.3

Raytheon Technologies Corp.

     12,913        1,290,009        0.3

Other Securities

        49,898,866        12.6
     

 

 

    

 

 

 

TOTAL INDUSTRIALS

        52,365,581        13.2
     

 

 

    

 

 

 

INFORMATION TECHNOLOGY — (19.6%)

        

Accenture PLC, Class A

     6,697        1,877,102        0.5

*   Adobe, Inc.

     4,684        1,768,491        0.5

Apple, Inc.

     130,951        22,219,766        5.6

Broadcom, Inc.

     5,584        3,498,376        0.9

Cisco Systems, Inc.

     38,831        1,834,765        0.5

International Business Machines Corp.

     11,189        1,414,401        0.4

Microsoft Corp.

     41,196        12,657,883        3.2

NVIDIA Corp.

     15,643        4,340,776        1.1

Oracle Corp.

     13,881        1,314,808        0.3

QUALCOMM, Inc.

     16,180        1,889,824        0.5

*   Salesforce, Inc.

     6,302        1,250,128        0.3

Other Securities

        24,547,285        6.0
     

 

 

    

 

 

 

TOTAL INFORMATION TECHNOLOGY

        78,613,605        19.8
     

 

 

    

 

 

 

MATERIALS — (3.6%)

        

Other Securities

        14,477,230        3.7
     

 

 

    

 

 

 

REAL ESTATE — (0.3%)

        

Other Securities

        1,205,450        0.3
     

 

 

    

 

 

 

UTILITIES — (1.2%)

        

Other Securities

        4,554,541        1.2
     

 

 

    

 

 

 

TOTAL COMMON STOCKS

        396,016,843        99.8
     

 

 

    

 

 

 

RIGHTS/WARRANTS — (0.0%)

        

HEALTH CARE — (0.0%)

        

Other Securities

        65        0.0
     

 

 

    

 

 

 

INDUSTRIALS — (0.0%)

        

Other Securities

        29        0.0
     

 

 

    

 

 

 

TOTAL RIGHTS/WARRANTS

        94        0.0
     

 

 

    

 

 

 

TOTAL INVESTMENT SECURITIES — (98.9%)
(Cost $381,337,969)

        396,016,937     
     

 

 

    

SECURITIES LENDING COLLATERAL — (1.1%)

        

@§ The DFA Short Term Investment Fund

     394,917        4,567,332        1.2
     

 

 

    

 

 

 

TOTAL INVESTMENTS — (100.0%)
(Cost $385,905,301)

      $ 400,584,269        101.0
     

 

 

    

 

 

 

 

9


DIMENSIONAL US SUSTAINABILITY CORE 1 ETF

CONTINUED

 

Summary of the Fund’s investments as of April 30, 2023, based on their valuation inputs, is as follows (see Security Valuation Note):

 

     Investments in Securities (Market Value)  
     Level 1      Level 2      Level 3      Total  

Common Stocks

           

Communication Services

   $ 36,583,546      $ —        $ —        $ 36,583,546  

Consumer Discretionary

     50,401,254        —          —          50,401,254  

Consumer Staples

     26,237,315        —          —          26,237,315  

Energy

     8,114,168        —          —          8,114,168  

Financials

   $ 65,817,914      $ —        $ —        $ 65,817,914  

Health Care

     57,646,239        —          —          57,646,239  

Industrials

     52,365,581        —          —          52,365,581  

Information Technology

     78,613,605        —          —          78,613,605  

Materials

     14,477,230        —          —          14,477,230  

Real Estate

     1,205,450        —          —          1,205,450  

Utilities

     4,554,541        —          —          4,554,541  

Rights/Warrants

                  

Health Care

     —          65        —          65  

Industrials

     29        —          —          29  

Securities Lending Collateral

     —          4,567,332        —          4,567,332  
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Investments

   $ 396,016,872      $ 4,567,397      $ —        $ 400,584,269  
  

 

 

    

 

 

    

 

 

    

 

 

 

See accompanying Notes to Financial Statements.

 

10



DIMENSIONAL INTERNATIONAL SUSTAINABILITY CORE 1 ETF

SUMMARY SCHEDULE OF INVESTMENTS

April 30, 2023

(Unaudited)

 

     Shares      Value†      Percentage of
Net Assets‡
 

COMMON STOCKS — (97.7%)

        

AUSTRALIA — (4.8%)

        

Other Securities

      $ 9,010,791        4.8
     

 

 

    

 

 

 

AUSTRIA — (0.3%)

        

Other Securities

        592,398        0.3
     

 

 

    

 

 

 

BELGIUM — (1.0%)

        

Other Securities

        1,950,193        1.1
     

 

 

    

 

 

 

CANADA — (9.2%)

        

National Bank of Canada

     6,898        513,828        0.3

Royal Bank of Canada

     12,312        1,221,033        0.7

Other Securities

        15,673,022        8.3
     

 

 

    

 

 

 

TOTAL CANADA

        17,407,883        9.3
     

 

 

    

 

 

 

DENMARK — (3.8%)

        

Novo Nordisk A/S, Class B

     21,276        3,544,057        1.9

Other Securities

        3,746,879        2.0
     

 

 

    

 

 

 

TOTAL DENMARK

        7,290,936        3.9
     

 

 

    

 

 

 

FINLAND — (2.0%)

        

Other Securities

        3,742,546        2.0
     

 

 

    

 

 

 

FRANCE — (10.1%)

        

Airbus SE

     6,051        849,331        0.5

AXA SA

     24,336        794,453        0.4

BNP Paribas SA

     8,923        577,168        0.3

Hermes International

     460        998,816        0.5

Kering SA

     814        520,949        0.3

L’Oreal SA

     3,209        1,533,114        0.8

LVMH Moet Hennessy Louis Vuitton SE

     3,355        3,226,104        1.7

Orange SA

     58,290        760,383        0.4

Sanofi

     5,843        645,065        0.4

Schneider Electric SE

     3,204        558,242        0.3

Vinci SA

     5,291        655,388        0.4

Other Securities

        8,111,009        4.3
     

 

 

    

 

 

 

TOTAL FRANCE

        19,230,022        10.3
     

 

 

    

 

 

 

GERMANY — (6.9%)

        

adidas AG

     3,373        593,720        0.3

Allianz SE, Registered

     3,117        782,691        0.4

E.ON SE

     52,289        693,011        0.4

Mercedes-Benz Group AG

     8,870        691,151        0.4

SAP SE

     3,818        517,862        0.3

Siemens AG, Registered

     4,797        788,555        0.4

Other Securities

        9,055,809        4.8
     

 

 

    

 

 

 

TOTAL GERMANY

        13,122,799        7.0
     

 

 

    

 

 

 

HONG KONG — (1.8%)

        

AIA Group, Ltd.

     109,600        1,186,069        0.6

Other Securities

        2,134,196        1.2
     

 

 

    

 

 

 

TOTAL HONG KONG

        3,320,265        1.8
     

 

 

    

 

 

 

IRELAND — (0.6%)

        

Other Securities

        1,184,573        0.6
     

 

 

    

 

 

 

ISRAEL — (0.3%)

        

Other Securities

        624,366        0.3
     

 

 

    

 

 

 

 

11


DIMENSIONAL INTERNATIONAL SUSTAINABILITY CORE 1 ETF

CONTINUED

 

     Shares      Value†      Percentage of
Net Assets‡
 

ITALY — (2.2%)

        

Other Securities

      $ 4,182,877        2.2
     

 

 

    

 

 

 

JAPAN — (21.1%)

        

KDDI Corp.

     18,400        574,033        0.3

Nintendo Co., Ltd.

     17,300        726,863        0.4

Nomura Research Institute, Ltd.

     24,700        620,380        0.3

OBIC Co., Ltd.

     4,400        675,680        0.4

Recruit Holdings Co., Ltd.

     18,500        519,546        0.3

Shin-Etsu Chemical Co., Ltd.

     29,400        834,078        0.5

Shiseido Co., Ltd.

     11,500        574,388        0.3

Sony Group Corp.

     12,300        1,158,954        0.6

Toyota Motor Corp.

     77,600        1,058,298        0.6

Other Securities

        33,178,032        17.6
     

 

 

    

 

 

 

TOTAL JAPAN

        39,920,252        21.3
     

 

 

    

 

 

 

NETHERLANDS — (4.6%)

        

ASML Holding NV, Sponsored NYS

     3,852        2,453,185        1.3

Koninklijke Ahold Delhaize NV

     15,123        521,241        0.3

Wolters Kluwer NV

     5,609        744,007        0.4

Other Securities

        4,932,164        2.6
     

 

 

    

 

 

 

TOTAL NETHERLANDS

        8,650,597        4.6
     

 

 

    

 

 

 

NEW ZEALAND — (0.3%)

        

Other Securities

        493,090        0.3
     

 

 

    

 

 

 

NORWAY — (0.6%)

        

Other Securities

        1,130,935        0.6
     

 

 

    

 

 

 

PORTUGAL — (0.2%)

        

Other Securities

        371,398        0.2
     

 

 

    

 

 

 

SINGAPORE — (0.6%)

        

Other Securities

        1,186,319        0.6
     

 

 

    

 

 

 

SPAIN — (2.2%)

        

Other Securities

        4,172,072        2.2
     

 

 

    

 

 

 

SWEDEN — (3.9%)

        

Other Securities

        7,330,818        3.9
     

 

 

    

 

 

 

SWITZERLAND — (8.2%)

        

ABB, Ltd., Registered

     17,264        623,021        0.3

Givaudan SA, Registered

     171        599,811        0.3

Novartis AG, Sponsored ADR

     13,284        1,362,540        0.7

Roche Holding AG

     6,150        1,937,141        1.0

Sika AG, Registered

     2,985        823,009        0.5

Swisscom AG, Registered

     805        554,424        0.3

UBS Group AG

     25,450        515,363        0.3

Zurich Insurance Group AG

     1,698        823,770        0.4

Other Securities

        8,276,753        4.5
     

 

 

    

 

 

 

TOTAL SWITZERLAND

        15,515,832        8.3
     

 

 

    

 

 

 

UNITED KINGDOM — (12.7%)

        

AstraZeneca PLC, Sponsored ADR

     17,907        1,311,151        0.7

Compass Group PLC

     20,008        527,353        0.3

Diageo PLC

     26,352        1,199,670        0.6

GSK PLC

     31,354        567,880        0.3

#   HSBC Holdings PLC, Sponsored ADR

     19,987        720,531        0.4

RELX PLC, Sponsored ADR

     35,370        1,171,101        0.6

Rio Tinto PLC

     12,176        772,698        0.4

Unilever PLC, Sponsored ADR

     29,889        1,659,736        0.9

Other Securities

        16,142,634        8.7
     

 

 

    

 

 

 

TOTAL UNITED KINGDOM

        24,072,754        12.9
     

 

 

    

 

 

 

 

12


DIMENSIONAL INTERNATIONAL SUSTAINABILITY CORE 1 ETF

CONTINUED

 

     Shares      Value†      Percentage of
Net Assets‡
 

UNITED STATES — (0.3%)

        

Ferguson PLC

     4,389      $ 618,059        0.3
     

 

 

    

TOTAL UNITED STATES

        618,059        0.3
     

 

 

    

 

 

 

TOTAL COMMON STOCKS

        185,121,775        98.8
     

 

 

    

 

 

 

PREFERRED STOCKS — (0.5%)

        

GERMANY — (0.5%)

        

Other Securities

        941,930        0.5
     

 

 

    

 

 

 

TOTAL PREFERRED STOCKS

        941,930        0.5
     

 

 

    

 

 

 

RIGHTS/WARRANTS — (0.0%)

        

AUSTRIA — (0.0%)

        

Other Securities

        —          0.0
     

 

 

    

 

 

 

FRANCE — (0.0%)

        

Other Securities

        1,112        0.0
     

 

 

    

 

 

 

SWEDEN — (0.0%)

        

Other Securities

        2        0.0
     

 

 

    

 

 

 

UNITED STATES — (0.0%)

        

Other Securities

        4        0.0
     

 

 

    

 

 

 

TOTAL RIGHTS/WARRANTS

        1,118        0.0
     

 

 

    

 

 

 

TOTAL INVESTMENT SECURITIES — (98.2%)
(Cost $167,256,774)

        186,064,823     
     

 

 

    

SECURITIES LENDING COLLATERAL — (1.8%)

        

@§ The DFA Short Term Investment Fund

     293,173        3,390,638        1.8
     

 

 

    

 

 

 

TOTAL INVESTMENTS — (100.0%)
(Cost $170,647,412)

      $ 189,455,461        101.1
     

 

 

    

 

 

 

Summary of the Fund’s investments as of April 30, 2023, based on their valuation inputs, is as follows (see Security Valuation Note):

 

     Investments in Securities (Market Value)  
     Level 1      Level 2      Level 3      Total  

Common Stocks

           

Australia

   $ 9,007,007      $ 3,784      $ —        $ 9,010,791  

Austria

     592,398        —          —          592,398  

Belgium

     1,950,193        —          —          1,950,193  

Canada

     17,407,883        —          —          17,407,883  

Denmark

     7,290,936        —          —          7,290,936  

Finland

     3,742,546        —          —          3,742,546  

France

     19,229,642        380        —          19,230,022  

Germany

     13,122,799        —          —          13,122,799  

Hong Kong

     3,320,265        —          —          3,320,265  

Ireland

     1,184,573        —          —          1,184,573  

Israel

     624,366        —          —          624,366  

Italy

     4,182,877        —          —          4,182,877  

Japan

     39,920,252        —          —          39,920,252  

Netherlands

     8,650,597        —          —          8,650,597  

New Zealand

     493,090        —          —          493,090  

Norway

     1,130,935        —          —          1,130,935  

Portugal

     371,398        —          —          371,398  

Singapore

     1,186,319        —          —          1,186,319  

Spain

     4,172,072        —          —          4,172,072  

Sweden

     7,330,818        —          —          7,330,818  

Switzerland

     15,515,832        —          —          15,515,832  

United Kingdom

     24,072,754        —          —          24,072,754  

 

13


DIMENSIONAL INTERNATIONAL SUSTAINABILITY CORE 1 ETF

CONTINUED

 

     Investments in Securities (Market Value)  
     Level 1      Level 2      Level 3      Total  

United States

   $ 618,059      $ —        $ —        $ 618,059  

Preferred Stocks

           

Germany

     941,930        —          —          941,930  

Rights/Warrants

           

Austria

     —          —          —          —    

France

     —          1,112        —          1,112  

Sweden

     2        —          —          2  

United States

     —          —          4        4  

Securities Lending Collateral

     —          3,390,638        —          3,390,638  
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Investments

   $ 186,059,543      $ 3,395,914      $ 4      $ 189,455,461  
  

 

 

    

 

 

    

 

 

    

 

 

 

A reconciliation of Level 3 investments is presented when the Fund had a significant amount of Level 3 investments at the beginning and/or end of the reporting period in relation to net assets.

See accompanying Notes to Financial Statements.

 

14


DIMENSIONAL EMERGING MARKETS SUSTAINABILITY CORE 1 ETF

SUMMARY SCHEDULE OF INVESTMENTS

April 30, 2023

(Unaudited)

 

     Shares      Value†      Percentage of
Net Assets‡
 

COMMON STOCKS — (99.0%)

        

BRAZIL — (3.6%)

        

Other Securities

      $ 4,464,414        3.5
     

 

 

    

 

 

 

CHILE — (0.5%)

        

Other Securities

        613,132        0.5
     

 

 

    

 

 

 

CHINA — (30.9%)

        

*   Alibaba Group Holding, Ltd.

     173,800        1,816,621        1.5

ANTA Sports Products, Ltd.

     28,200        347,745        0.3

*   Baidu, Inc., Class A

     26,000        383,215        0.3

Bank of China, Ltd., Class H

     2,075,000        827,367        0.7

China Construction Bank Corp., Class H

     983,000        657,429        0.5

China Merchants Bank Co., Ltd., Class H

     69,000        330,941        0.3

China Resources Beer Holdings Co., Ltd.

     54,000        415,152        0.3

China Resources Land, Ltd.

     88,000        408,056        0.3

ENN Energy Holdings, Ltd.

     30,000        408,922        0.3

Industrial & Commercial Bank of China, Ltd., Class H

     1,487,000        799,391        0.6

JD.com, Inc., Class A

     18,800        325,472        0.3

Lenovo Group, Ltd.

     510,000        521,051        0.4

Li Ning Co., Ltd.

     83,500        594,081        0.5

*W  Meituan, Class B

     31,510        533,871        0.4

NetEase, Inc.

     47,100        831,611        0.7

*   PDD Holdings, Inc., Sponsored ADR

     5,419        369,305        0.3

PICC Property & Casualty Co., Ltd., Class H

     324,000        390,869        0.3

Ping An Insurance Group Co. of China, Ltd., Class H

     155,500        1,123,180        0.9

Sinopharm Group Co., Ltd., Class H

     114,800        405,827        0.3

Tencent Holdings, Ltd.

     81,100        3,558,114        2.8

*   Vipshop Holdings, Ltd., Sponsored ADR

     27,361        429,568        0.4

*W  Xiaomi Corp., Class B

     311,400        438,742        0.4

Other Securities

        22,937,133        17.9
     

 

 

    

 

 

 

TOTAL CHINA

        38,853,663        30.7
     

 

 

    

 

 

 

COLOMBIA — (0.1%)

        

Other Securities

        68,931        0.1
     

 

 

    

 

 

 

CZECHIA — (0.0%)

        

Other Securities

        21,754        0.0
     

 

 

    

 

 

 

EGYPT — (0.0%)

        

Other Securities

        17,659        0.0
     

 

 

    

 

 

 

GREECE — (0.4%)

        

Other Securities

        458,299        0.4
     

 

 

    

 

 

 

HUNGARY — (0.1%)

        

Other Securities

        175,017        0.1
     

 

 

    

 

 

 

INDIA — (14.3%)

        

Asian Paints, Ltd.

     10,336        366,570        0.3

HDFC Bank, Ltd.

     21,473        442,809        0.4

Hindustan Unilever, Ltd.

     14,522        436,053        0.4

ICICI Bank, Ltd., Sponsored ADR

     17,561        399,513        0.3

Infosys, Ltd.

     89,452        1,369,332        1.1

Mahindra & Mahindra, Ltd.

     22,126        331,716        0.3

Tata Consultancy Services, Ltd.

     18,571        730,540        0.6

Other Securities

        13,935,141        10.8
     

 

 

    

 

 

 

TOTAL INDIA

        18,011,674        14.2
     

 

 

    

 

 

 

 

15


DIMENSIONAL EMERGING MARKETS SUSTAINABILITY CORE 1 ETF

CONTINUED

 

     Shares      Value†      Percentage of
Net Assets‡
 

INDONESIA — (0.8%)

        

Other Securities

      $ 992,045        0.8
     

 

 

    

 

 

 

KOREA, REPUBLIC OF — (14.1%)

        

Ecopro Co., Ltd.

     1,014        553,063        0.5

KB Financial Group, Inc.

     10,327        381,938        0.3

LG Electronics, Inc.

     4,398        359,161        0.3

Samsung Electronics Co., Ltd., GDR

     292        360,328        0.3

Samsung Electronics Co., Ltd.

     69,245        3,388,783        2.7

Shinhan Financial Group Co., Ltd.

     12,289        320,906        0.3

SK Hynix, Inc.

     5,728        383,036        0.3

Other Securities

        12,022,149        9.4
     

 

 

    

 

 

 

TOTAL KOREA, REPUBLIC OF

        17,769,364        14.1
     

 

 

    

 

 

 

KUWAIT — (0.2%)

        

Other Securities

        191,437        0.2
     

 

 

    

 

 

 

MALAYSIA — (1.1%)

        

Other Securities

        1,362,318        1.1
     

 

 

    

 

 

 

MEXICO — (2.4%)

        

Other Securities

        2,972,325        2.3
     

 

 

    

 

 

 

PERU — (0.1%)

        

Other Securities

        119,938        0.1
     

 

 

    

 

 

 

PHILIPPINES — (0.4%)

        

Other Securities

        462,088        0.4
     

 

 

    

 

 

 

POLAND — (0.8%)

        

Other Securities

        968,814        0.8
     

 

 

    

 

 

 

QATAR — (0.8%)

        

Other Securities

        1,011,700        0.8
     

 

 

    

 

 

 

SAUDI ARABIA — (3.3%)

        

Al Rajhi Bank

     24,962        511,126        0.4

Other Securities

        3,697,788        2.9
     

 

 

    

 

 

 

TOTAL SAUDI ARABIA

        4,208,914        3.3
     

 

 

    

 

 

 

SOUTH AFRICA — (2.5%)

        

Gold Fields, Ltd., Sponsored ADR

     28,783        447,863        0.4

Other Securities

        2,746,804        2.1
     

 

 

    

 

 

 

TOTAL SOUTH AFRICA

        3,194,667        2.5
     

 

 

    

 

 

 

TAIWAN — (18.7%)

        

Accton Technology Corp.

     51,000        496,023        0.4

CTBC Financial Holding Co., Ltd.

     513,000        377,126        0.3

Fubon Financial Holding Co., Ltd.

     202,000        387,672        0.3

Hon Hai Precision Industry Co., Ltd.

     162,000        550,671        0.4

International Games System Co., Ltd.

     32,000        556,884        0.5

Lite-On Technology Corp.

     190,000        454,257        0.4

MediaTek, Inc.

     39,000        843,620        0.7

Novatek Microelectronics Corp.

     34,000        462,845        0.4

Pegatron Corp.

     253,000        576,075        0.5

Realtek Semiconductor Corp.

     49,000        572,205        0.5

Taiwan Semiconductor Manufacturing Co., Ltd.

     213,000        3,478,117        2.8

Other Securities

        14,769,351        11.4
     

 

 

    

 

 

 

TOTAL TAIWAN

        23,524,846        18.6
     

 

 

    

 

 

 

THAILAND — (1.7%)

        

Other Securities

        2,098,338        1.7
     

 

 

    

 

 

 

TURKEY — (0.7%)

        

Other Securities

        926,528        0.7
     

 

 

    

 

 

 

 

16


DIMENSIONAL EMERGING MARKETS SUSTAINABILITY CORE 1 ETF

CONTINUED

 

     Shares      Value†      Percentage of
Net Assets‡
 

UNITED ARAB EMIRATES — (1.5%)

        

Emirates Telecommunications Group Co. PJSC

     55,373      $ 361,915        0.3

Other Securities

        1,568,694        1.2
     

 

 

    

 

 

 

TOTAL UNITED ARAB EMIRATES

        1,930,609        1.5
     

 

 

    

 

 

 

TOTAL COMMON STOCKS

        124,418,474        98.4
     

 

 

    

 

 

 

PREFERRED STOCKS — (0.8%)

        

BRAZIL — (0.8%)

        

Other Securities

        1,030,362        0.8
     

 

 

    

 

 

 

CHILE — (0.0%)

        

Other Securities

        24,527        0.0
     

 

 

    

 

 

 

COLOMBIA — (0.0%)

        

Other Securities

        717        0.0
     

 

 

    

 

 

 

TOTAL PREFERRED STOCKS

        1,055,606        0.8
     

 

 

    

 

 

 

INVESTMENT COMPANY — (0.0%)

        

BRAZIL — (0.0%)

        

Other Securities

        59        0.0
     

 

 

    

 

 

 

TOTAL INVESTMENT COMPANY

        59        0.0
     

 

 

    

 

 

 

RIGHTS/WARRANTS — (0.0%)

        

BRAZIL — (0.0%)

        

Other Securities

        230        0.0
     

 

 

    

 

 

 

CHINA — (0.0%)

        

Other Securities

        —          0.0
     

 

 

    

 

 

 

TAIWAN — (0.0%)

        

Other Securities

        —          0.0
     

 

 

    

 

 

 

THAILAND — (0.0%)

        

Other Securities

        21        0.0
     

 

 

    

 

 

 

TOTAL RIGHTS/WARRANTS

        251        0.0
     

 

 

    

 

 

 

TOTAL INVESTMENT SECURITIES — (99.8%)
(Cost $114,922,776)

        125,474,390     
     

 

 

    

SECURITIES LENDING COLLATERAL — (0.2%)

        

@§ The DFA Short Term Investment Fund

     19,884        229,968        0.2
     

 

 

    

 

 

 

TOTAL INVESTMENTS — (100.0%)
(Cost $115,152,744)

      $ 125,704,358        99.4
     

 

 

    

 

 

 

Summary of the Fund’s investments as of April 30, 2023, based on their valuation inputs, is as follows (see Security Valuation Note):

 

     Investments in Securities (Market Value)  
     Level 1      Level 2      Level 3      Total  

Common Stocks

           

Brazil

   $ 4,464,414      $ —        $ —        $ 4,464,414  

Chile

     613,132        —          —          613,132  

China

     38,792,089        61,574        —          38,853,663  

Colombia

     68,931        —          —          68,931  

Czechia

     21,754        —          —          21,754  

Egypt

     17,659        —          —          17,659  

Greece

     458,299        —          —          458,299  

Hungary

     175,017        —          —          175,017  

India

     17,978,015        7,539        26,120        18,011,674  

Indonesia

     992,045        —          —          992,045  

Korea, Republic of

     17,466,620        302,744        —          17,769,364  

Kuwait

     191,437        —          —          191,437  

 

17


DIMENSIONAL EMERGING MARKETS SUSTAINABILITY CORE 1 ETF

CONTINUED

 

     Investments in Securities (Market Value)  
     Level 1      Level 2      Level 3      Total  

Malaysia

   $ 1,362,318      $ —        $ —        $ 1,362,318  

Mexico

     2,972,325        —          —          2,972,325  

Peru

     119,938        —          —          119,938  

Philippines

     462,088        —          —          462,088  

Poland

     968,814        —          —          968,814  

Qatar

     1,011,700        —          —          1,011,700  

Saudi Arabia

     4,208,914        —          —          4,208,914  

South Africa

     3,194,667        —          —          3,194,667  

Taiwan

     23,524,846        —          —          23,524,846  

Thailand

     2,090,964        7,374        —          2,098,338  

Turkey

     926,528        —          —          926,528  

United Arab Emirates

     1,930,609        —          —          1,930,609  

Preferred Stocks

           

Brazil

     1,030,362        —          —          1,030,362  

Chile

     24,527        —          —          24,527  

Colombia

     717        —          —          717  

Rights/Warrants

           

Brazil

     230        —          —          230  

China

     —          —          —          —    

Taiwan

     —          —          —          —    

Thailand

     —          21        —          21  

Investment Company

     59        —          —          59  

Securities Lending Collateral

     —          229,968        —          229,968  
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Investments

   $ 125,069,018      $ 609,220      $ 26,120      $ 125,704,358  
  

 

 

    

 

 

    

 

 

    

 

 

 

A reconciliation of Level 3 investments is presented when the Fund had a significant amount of Level 3 investments at the beginning and/or end of the reporting period in relation to net assets.

See accompanying Notes to Financial Statements.

 

18


DIMENSIONAL GLOBAL SUSTAINABILITY FIXED INCOME ETF

SCHEDULE OF INVESTMENTS

April 30, 2023

(Unaudited)

 

     Face
Amount ^
     Value†  
     (000)         

AGENCY OBLIGATIONS — (8.7%)

     

Federal National Mortgage Association

     

2.000%, 05/25/38, 15YR TBA

     2,615      $ 2,360,037  

2.500%, 05/25/38, 15YR TBA

     2,161        2,008,126  

2.500%, 05/25/53, 30YR TBA

     2,752        2,382,791  

2.000%, 05/25/53, 30YR TBA

     278        231,267  

3.000%, 05/25/53, 30YR TBA

     2,700        2,425,148  

Government National Mortgage Association

     

3.000%, 05/20/53, 30YR TBA

     697        636,013  

3.500%, 05/20/53, 30YR TBA

     1,335        1,253,127  

TOTAL AGENCY OBLIGATIONS

        11,296,509  
     

 

 

 

BONDS — (77.6%)

     

AUSTRALIA — (4.3%)

     

ASB Finance, Ltd.

     

0.250%, 09/08/28, MTN

     118        107,210  

New South Wales Treasury Corp.

     

1.750%, 03/20/34

     2,700        1,401,989  

South Australian Government Financing Authority

     

1.750%, 05/24/34

     500        258,433  

2.000%, 05/23/36

     800        401,410  

Treasury Corp. of Victoria

     

2.000%, 09/17/35

     1,012        516,795  

4.750%, 09/15/36

     2,138        1,457,803  

Westpac Banking Corp.

     

4.892%, 02/16/28, MTN

     500        331,249  

Westpac Securities NZ, Ltd.

     

1.099%, 03/24/26, MTN

     1,015        1,036,519  
     

 

 

 

TOTAL AUSTRALIA

        5,511,408  
     

 

 

 

AUSTRIA — (0.3%)

     

Oesterreichische Kontrollbank AG

     

3.125%, 11/07/23

     350        346,456  
     

 

 

 

TOTAL AUSTRIA

        346,456  
     

 

 

 

BELGIUM — (0.7%)

     

Dexia Credit Local SA

     

0.010%, 01/22/27, MTN

     900        884,748  
     

 

 

 

TOTAL BELGIUM

        884,748  
     

 

 

 

CANADA — (6.5%)

     

Brookfield Finance, Inc.

     

3.900%, 01/25/28

     39        36,760  
     Face
Amount ^
     Value†  
     (000)         

CANADA — (Continued)

     

4.850%, 03/29/29

     12      $ 11,804  

4.350%, 04/15/30

     219        207,482  

2.724%, 04/15/31

     5        4,198  

Canadian Imperial Bank of Commerce

     

#   3.600%, 04/07/32

     595        548,691  

CDP Financial, Inc.

     

1.125%, 04/06/27

     500        507,938  

CPPIB Capital, Inc.

     

1.250%, 12/07/27

     856        934,799  

Fairfax Financial Holdings, Ltd.

     

4.850%, 04/17/28

     100        98,369  

4.625%, 04/29/30

     50        47,795  

3.375%, 03/03/31

     100        85,054  

W  5.625%, 08/16/32

     664        657,294  

OMERS Finance Trust

     

0.450%, 05/13/25

     300        311,201  

Ontario Teachers’ Finance Trust

     

3.300%, 10/05/29, MTN

     800        873,273  

0.050%, 11/25/30

     700        597,720  

1.850%, 05/03/32

     924        889,143  

Province of Alberta Canada

     

0.625%, 04/18/25

     300        314,000  

Province of Ontario Canada

     

0.250%, 12/15/26, MTN

     899        967,468  

Rogers Communications, Inc.

     

2.900%, 11/15/26

     41        37,794  

7.500%, 08/15/38

     456        516,727  

Royal Bank of Canada

     

2.125%, 04/26/29, MTN

     700        694,230  
     

 

 

 

TOTAL CANADA

        8,341,740  
     

 

 

 

FINLAND — (1.3%)

     

Finnvera Oyj

     

2.125%, 03/08/28, MTN

     500        530,222  

Nordea Bank Abp

     

1.125%, 02/12/25, MTN

     417        439,566  

0.500%, 11/02/28, MTN

     821        754,735  
     

 

 

 

TOTAL FINLAND

        1,724,523  
     

 

 

 

FRANCE — (8.4%)

     

Agence Francaise de Developpement EPIC

     

0.500%, 05/31/35, MTN

     1,200        951,246  

Agence France Locale

     

2.810%, 03/20/31, MTN

     800        687,966  

BNP Paribas SA

     

3.625%, 09/01/29, MTN

     500        534,363  

BPCE SA

     

W  2.700%, 10/01/29

     50        44,077  

0.625%, 01/15/30

     300        267,393  

2.375%, 04/26/32, MTN

     800        775,368  

 

19


DIMENSIONAL GLOBAL SUSTAINABILITY FIXED INCOME ETF

CONTINUED

 

     Face
Amount ^
     Value†  
     (000)         

FRANCE — (Continued)

     

Credit Agricole SA

     

0.375%, 04/20/28, MTN

     500      $ 462,243  

2.500%, 08/29/29, MTN

     400        411,093  

French Republic Government Bond OAT

     

W  1.250%, 05/25/36

     2,588        2,299,314  

1.250%, 05/25/38

     693        590,683  

La Poste SA

     

2.625%, 09/14/28, MTN

     900        958,753  

0.625%, 01/18/36, MTN

     400        298,796  

Societe Generale SA

     

0.250%, 07/08/27, MTN

     700        664,366  

4.250%, 11/16/32, MTN

     100        111,838  

Societe Nationale SNCF SA

     

1.500%, 02/02/29, MTN

     900        905,652  

UNEDIC ASSEO

     

0.500%, 05/25/36, MTN

     1,000        772,673  

Vinci SA

     

2.250%, 03/15/27, MTN

     200        228,997  
     

 

 

 

TOTAL FRANCE

        10,964,821  
     

 

 

 

GERMANY — (4.5%)

     

BMW US Capital LLC

     

1.000%, 04/20/27, MTN

     114        115,870  

W  3.700%, 04/01/32

     50        47,065  

Bundesrepublik Deutschland Bundesanleihe

     

1.000%, 08/15/24

     1,132        1,220,930  

Deutsche Bahn Finance GMBH

     

0.375%, 12/03/26, MTN

     306        332,614  

0.750%, 07/16/35, MTN

     1,520        1,228,566  

Deutsche Telekom International Finance BV

     

2.500%, 10/10/25, MTN

     200        238,969  

W  4.750%, 06/21/38

     35        33,311  

Fresenius Medical Care AG & Co KGaA

     

3.875%, 09/20/27, MTN

     209        228,689  

Fresenius Medical Care US Finance III, Inc.

     

W  3.750%, 06/15/29

     138        120,352  

Fresenius SE & Co KGaA

     

2.875%, 05/24/30, MTN

     150        150,503  

HOWOGE Wohnungsbaugesellschaft mbH

     

0.625%, 11/01/28, MTN

     200        180,960  

Kreditanstalt fuer Wiederaufbau

     

2.600%, 06/20/37

     62,000        571,651  

Mercedes-Benz International Finance BV

     

2.000%, 08/22/26, MTN

     796        852,312  

Siemens Financieringsmaatschappij NV

     

2.250%, 03/10/25, MTN

     200        216,564  

W  2.875%, 03/11/41

     213        165,808  
     Face
Amount ^
     Value†  
     (000)         

GERMANY — (Continued)

     

State of North Rhine-Westphalia Germany

     

1.875%, 03/15/24, MTN

     280      $ 305,100  
     

 

 

 

TOTAL GERMANY

        6,009,264  
     

 

 

 

IRELAND — (0.4%)

     

AerCap Ireland Capital DAC/AerCap Global Aviation Trust

     

3.650%, 07/21/27

     64        59,551  

3.300%, 01/30/32

     677        554,512  
     

 

 

 

TOTAL IRELAND

        614,063  
     

 

 

 

ITALY — (1.1%)

     

Intesa Sanpaolo SpA

     

5.250%, 01/12/24

     29        28,876  

W  3.250%, 09/23/24

     45        43,375  

1.350%, 02/24/31, MTN

     500        416,676  

Italy Buoni Poliennali Del Tesoro

     

5.750%, 02/01/33

     483        601,243  

W  0.950%, 03/01/37

     193        139,811  

W  3.250%, 03/01/38

     100        96,499  

W  1.800%, 03/01/41

     100        75,232  
     

 

 

 

TOTAL ITALY

        1,401,712  
     

 

 

 

JAPAN — (4.0%)

     

7-Eleven, Inc.

     

W  1.800%, 02/10/31

     669        535,246  

Japan Government Thirty Year Bond

     

2.000%, 03/20/42

     50,000        430,206  

Japan Government Twenty Year Bond

     

0.400%, 03/20/36

     67,000        476,447  

0.600%, 09/20/37

     14,000        100,718  

Mitsubishi UFJ Financial Group, Inc.

     

3.195%, 07/18/29

     560        504,050  

Mizuho Financial Group, Inc.

     

3.490%, 09/05/27, MTN

     300        324,674  

Nomura Holdings, Inc.

     

2.679%, 07/16/30

     666        547,224  

NTT Finance Corp.

     

0.082%, 12/13/25, MTN

     665        673,982  

ORIX Corp.

     

5.200%, 09/13/32

     311        320,083  

Sumitomo Mitsui Financial Group, Inc.

     

1.546%, 06/15/26

     727        746,503  

3.040%, 07/16/29

     77        68,891  

2.724%, 09/27/29

     243        211,796  

Takeda Pharmaceutical Co., Ltd.

     

1.000%, 07/09/29

     473        446,373  

3.025%, 07/09/40

     24        18,688  
     

 

 

 

TOTAL JAPAN

        5,404,881  
     

 

 

 

LUXEMBOURG — (0.4%)

     

Prologis International Funding II SA

     

3.625%, 03/07/30, MTN

     498        517,811  
     

 

 

 

TOTAL LUXEMBOURG

        517,811  
     

 

 

 

 

20


DIMENSIONAL GLOBAL SUSTAINABILITY FIXED INCOME ETF

CONTINUED

 

     Face
Amount ^
     Value†  
     (000)         

LUXEMBOURG — (Continued)

     

NETHERLANDS — (1.9%)

     

ABN AMRO Bank NV

     

4.250%, 02/21/30, MTN

     500      $ 551,415  

BNG Bank NV

     

0.500%, 12/21/26

     600        653,259  

1.600%, 11/27/30

     640        346,659  

2.450%, 07/21/32

     556        310,106  

Cooperatieve Rabobank UA

     

5.250%, 05/24/41

     118        125,911  

ING Groep NV

     

4.100%, 10/02/23

     209        207,714  

2.000%, 09/20/28, MTN

     200        200,237  

4.550%, 10/02/28

     17        16,653  

4.050%, 04/09/29

     21        20,072  
     

 

 

 

TOTAL NETHERLANDS

        2,432,026  
     

 

 

 

NEW ZEALAND — (0.4%)

     

New Zealand Government Bond

     

0.500%, 05/15/24

     850        500,417  
     

 

 

 

TOTAL NEW ZEALAND

        500,417  
     

 

 

 

SPAIN — (1.4%)

     

CaixaBank SA

     

3.750%, 09/07/29, MTN

     600        657,765  

Spain Government Bond

     

2.833%, 01/31/27

     227        224,486  

Telefonica Emisiones SA

     

7.045%, 06/20/36

     447        496,656  

4.665%, 03/06/38

     356        310,306  

Telefonica Europe BV

     

8.250%, 09/15/30

     66        77,714  
     

 

 

 

TOTAL SPAIN

        1,766,927  
     

 

 

 

SUPRANATIONAL — (4.9%)

     

African Development Bank

     

3.000%, 09/20/23

     469        465,208  

Asian Development Bank

     

0.250%, 07/14/23

     200        198,082  

2.350%, 06/21/27

     50,000        401,787  

0.750%, 12/07/27

     500        537,479  

European Investment Bank

     

2.875%, 08/15/23

     214        212,497  

2.150%, 01/18/27

     70,000        553,267  

European Union

     

2.630%, 10/04/30, MTN

     120        106,950  

Inter-American Development Bank

     

3.000%, 10/04/23

     1,073        1,063,013  

0.250%, 11/15/23

     1,093        1,064,886  

International Bank for Reconstruction & Development

     

0.250%, 11/24/23

     445        432,994  

2.500%, 01/24/24, MTN

     59        35,593  

International Finance Corp.

     

1.250%, 02/06/31, MTN

     500        265,540  

1.500%, 04/15/35, MTN

     2,100        1,003,995  
     

 

 

 

TOTAL SUPRANATIONAL

        6,341,291  
     

 

 

 
     Face
Amount ^
     Value†  
     (000)         

SUPRANATIONAL — (Continued)

     

SWEDEN — (1.6%)

     

Kommuninvest I Sverige AB

     

1.000%, 05/12/25, MTN

     1,000      $ 92,792  

Svenska Handelsbanken AB

     

3.900%, 11/20/23

     115        114,082  

0.050%, 09/06/28, MTN

     1,600        1,455,240  

Volvo Treasury AB

     

2.625%, 02/20/26, MTN

     350        378,246  
     

 

 

 

TOTAL SWEDEN

        2,040,360  
     

 

 

 

SWITZERLAND — (0.1%)

     

Novartis Capital Corp.

     

3.400%, 05/06/24

     120        118,211  
     

 

 

 

TOTAL SWITZERLAND

        118,211  
     

 

 

 

UNITED KINGDOM — (5.1%)

     

Ashtead Capital, Inc.

     

W  5.500%, 08/11/32

     259        255,822  

British Telecommunications PLC

     

5.125%, 12/04/28

     45        45,614  

W  3.250%, 11/08/29

     184        166,766  

3.375%, 08/30/32, MTN

     200        211,949  

Diageo Finance PLC

     

1.750%, 10/12/26, MTN

     250        286,029  

HSBC USA, Inc.

     

3.750%, 05/24/24

     135        132,614  

Lloyds Banking Group PLC

     

4.375%, 03/22/28

     269        259,976  

4.550%, 08/16/28

     176        169,722  

Motability Operations Group PLC

     

3.750%, 07/16/26, MTN

     250        305,539  

Nationwide Building Society

     

3.250%, 09/05/29, MTN

     515        543,178  

Unilever Finance Netherlands BV

     

1.375%, 09/04/30

     804        784,401  

United Kingdom Gilt

     

0.625%, 07/31/35

     1,489        1,285,884  

1.750%, 09/07/37

     1,667        1,590,293  

Vodafone Group PLC

     

6.150%, 02/27/37

     466        502,018  
     

 

 

 

TOTAL UNITED KINGDOM

        6,539,805  
     

 

 

 

UNITED STATES — (30.3%)

     

AbbVie, Inc.

     

4.050%, 11/21/39

     27        23,883  

Advance Auto Parts, Inc.

     

3.900%, 04/15/30

     255        233,927  

Affiliated Managers Group, Inc.

     

3.300%, 06/15/30

     648        562,079  

Amcor Finance USA, Inc.

     

4.500%, 05/15/28

     50        49,411  

American Express Co.

     

4.050%, 05/03/29

     370        362,313  

4.050%, 12/03/42

     200        181,284  

 

21


DIMENSIONAL GLOBAL SUSTAINABILITY FIXED INCOME ETF

CONTINUED

 

     Face
Amount ^
     Value†  
     (000)         

UNITED STATES — (Continued)

     

American Medical Systems Europe BV

     

1.625%, 03/08/31

     473      $ 443,571  

American Tower Corp.

     

1.500%, 01/31/28

     39        33,551  

American Water Capital Corp.

     

6.593%, 10/15/37

     664        762,745  

Amgen, Inc.

     

6.400%, 02/01/39

     93        101,537  

Arrow Electronics, Inc.

     

3.875%, 01/12/28

     561        528,275  

Assured Guaranty US Holdings, Inc.

     

3.150%, 06/15/31

     88        77,055  

AT&T, Inc.

     

3.550%, 12/17/32

     360        382,733  

4.850%, 03/01/39

     322        302,155  

Autodesk, Inc.

     

2.850%, 01/15/30

     244        217,796  

Avnet, Inc.

     

3.000%, 05/15/31

     224        182,819  

5.500%, 06/01/32

     229        222,197  

Best Buy Co., Inc.

     

1.950%, 10/01/30

     1        820  

Booking Holdings, Inc.

     

4.500%, 11/15/31

     1,048        1,205,191  

Brighthouse Financial, Inc.

     

5.625%, 05/15/30

     306        298,872  

Brixmor Operating Partnership, LP

     

3.900%, 03/15/27

     35        32,684  

2.250%, 04/01/28

     45        38,360  

4.125%, 05/15/29

     142        130,057  

4.050%, 07/01/30

     84        75,922  

Broadcom, Inc.

     

W  4.000%, 04/15/29

     80        75,341  

W  3.469%, 04/15/34

     422        348,642  

W  3.187%, 11/15/36

     396        301,358  

Broadstone Net Lease LLC

     

2.600%, 09/15/31

     98        71,906  

Brown & Brown, Inc.

     

2.375%, 03/15/31

     525        430,008  

Chubb INA Holdings, Inc.

     

0.875%, 12/15/29

     231        211,613  

Cigna Group (The)

     

2.400%, 03/15/30

     238        206,364  

3.200%, 03/15/40

     470        370,158  

Citigroup, Inc.

     

8.125%, 07/15/39

     70        90,472  

5.875%, 01/30/42

     125        133,313  

CNA Financial Corp.

     

3.900%, 05/01/29

     372        353,447  

CNO Financial Group, Inc.

     

5.250%, 05/30/29

     150        142,769  

Comcast Corp.

     

3.480%, 09/14/26

     611        602,323  
     Face
Amount ^
     Value†  
     (000)         

UNITED STATES — (Continued)

     

6.400%, 03/01/40

     96      $ 106,173  

Cox Communications, Inc.

     

W  2.600%, 06/15/31

     98        81,175  

W  4.800%, 02/01/35

     871        804,820  

DH Europe Finance II Sarl

     

3.250%, 11/15/39

     128        107,122  

Discover Financial Services

     

3.750%, 03/04/25

     25        23,949  

4.100%, 02/09/27

     251        238,798  

eBay, Inc.

     

6.300%, 11/22/32

     462        500,694  

Elevance Health, Inc.

     

4.100%, 05/15/32

     60        57,612  

6.375%, 06/15/37

     434        486,261  

Equifax, Inc.

     

2.350%, 09/15/31

     398        321,621  

Experian Finance PLC

     

0.739%, 10/29/25, MTN

     260        295,424  

FedEx Corp.

     

4.900%, 01/15/34

     75        74,808  

Fidelity National Financial, Inc.

     

3.400%, 06/15/30

     664        587,593  

First American Financial Corp.

     

4.000%, 05/15/30

     162        147,217  

2.400%, 08/15/31

     341        265,025  

Fiserv, Inc.

     

3.500%, 07/01/29

     80        74,515  

1.625%, 07/01/30

     150        141,637  

Flex, Ltd.

     

4.875%, 06/15/29

     317        307,498  

Flowserve Corp.

     

3.500%, 10/01/30

     402        354,771  

2.800%, 01/15/32

     90        72,780  

Fortune Brands Innovations, Inc.

     

3.250%, 09/15/29

     323        289,495  

4.000%, 03/25/32

     511        459,649  

Fox Corp.

     

3.500%, 04/08/30

     150        136,193  

5.476%, 01/25/39

     610        578,104  

GATX Corp.

     

4.550%, 11/07/28

     100        97,807  

General Motors Co.

     

6.600%, 04/01/36

     587        602,994  

General Motors Financial Co., Inc.

     

0.650%, 09/07/28

     300        272,486  

Global Payments, Inc.

     

2.150%, 01/15/27

     88        78,938  

4.450%, 06/01/28

     15        14,408  

3.200%, 08/15/29

     337        298,058  

Goldman Sachs Group, Inc. (The)

     

7.250%, 04/10/28

     827        1,121,710  

Health Care Service Corp. A Mutual Legal Reserve Co.

     

W  2.200%, 06/01/30

     436        366,038  

 

22


DIMENSIONAL GLOBAL SUSTAINABILITY FIXED INCOME ETF

CONTINUED

 

     Face
Amount ^
     Value†  
     (000)         

UNITED STATES — (Continued)

     

Healthcare Realty Holdings, LP

     

3.625%, 01/15/28

     26      $ 23,776  

3.100%, 02/15/30

     80        69,572  

Home Depot, Inc. (The)

     

3.300%, 04/15/40

     50        41,675  

HP, Inc.

     

3.400%, 06/17/30

     114        101,030  

4.200%, 04/15/32

     605        542,135  

6.000%, 09/15/41

     229        232,237  

Intel Corp.

     

4.600%, 03/25/40

     125        117,583  

International Business Machines Corp.

     

0.875%, 02/09/30, MTN

     550        511,936  

4.150%, 05/15/39

     123        109,148  

International Flavors & Fragrances, Inc.

     

4.450%, 09/26/28

     15        14,042  

W  3.268%, 11/15/40

     165        117,770  

Interpublic Group of Cos., Inc. (The)

     

4.750%, 03/30/30

     56        54,984  

3.375%, 03/01/41

     691        522,170  

Invitation Homes Operating Partnership, LP

     

2.000%, 08/15/31

     69        53,175  

Jackson Financial, Inc.

     

#   5.670%, 06/08/32

     407        403,066  

Johnson & Johnson

     

5.850%, 07/15/38

     486        565,431  

JPMorgan Chase & Co.

     

5.600%, 07/15/41

     90        93,860  

Juniper Networks, Inc.

     

3.750%, 08/15/29

     215        202,256  

Kemper Corp.

     

2.400%, 09/30/30

     94        75,767  

Kraft Heinz Foods Co.

     

W  7.125%, 08/01/39

     686        783,968  

Lazard Group LLC

     

4.500%, 09/19/28

     268        258,067  

Lear Corp.

     

4.250%, 05/15/29

     341        325,904  

Liberty Mutual Group, Inc.

     

W  4.569%, 02/01/29

     357        344,410  

Marsh & McLennan Cos., Inc.

     

4.750%, 03/15/39

     394        373,257  

Mastercard, Inc.

     

3.375%, 04/01/24

     98        96,501  

MetLife, Inc.

     

5.375%, 12/09/24

     75        93,876  

5.700%, 06/15/35

     95        101,199  

Mohawk Industries, Inc.

     

3.625%, 05/15/30

     293        267,403  

Morgan Stanley

     

1.875%, 04/27/27, MTN

     400        408,505  
     Face
Amount ^
     Value†  
     (000)         

UNITED STATES — (Continued)

     

7.250%, 04/01/32

     9      $ 10,615  

6.375%, 07/24/42

     120        135,847  

Motorola Solutions, Inc.

     

4.600%, 02/23/28

     5        4,960  

2.300%, 11/15/30

     95        77,884  

2.750%, 05/24/31

     756        629,240  

Mylan, Inc.

     

4.550%, 04/15/28

     40        38,319  

NewMarket Corp.

     

2.700%, 03/18/31

     264        222,192  

NIKE, Inc.

     

3.250%, 03/27/40

     602        508,054  

Oracle Corp.

     

6.500%, 04/15/38

     223        243,611  

6.125%, 07/08/39

     455        480,047  

3.600%, 04/01/40

     117        90,854  

5.375%, 07/15/40

     80        77,070  

Penske Truck Leasing Co., Lp/PTL Finance Corp.

     

W  3.350%, 11/01/29

     350        310,996  

Pfizer, Inc.

     

7.200%, 03/15/39

     245        309,470  

Principal Financial Group, Inc.

     

3.700%, 05/15/29

     379        359,723  

Prologis, LP

     

4.625%, 01/15/33

     117        116,567  

Prudential Financial, Inc.

     

5.700%, 12/14/36, MTN

     96        103,363  

PulteGroup, Inc.

     

7.875%, 06/15/32

     200        233,451  

Reinsurance Group of America, Inc.

     

3.150%, 06/15/30

     335        294,360  

Revvity, Inc.

     

2.550%, 03/15/31

     85        70,765  

Schlumberger Holdings Corp.

     

W  4.300%, 05/01/29

     357        348,528  

Simon Property Group, LP

     

2.250%, 01/15/32

     512        407,552  

6.750%, 02/01/40

     431        482,926  

Spirit Realty, LP

     

2.100%, 03/15/28

     105        88,679  

4.000%, 07/15/29

     285        258,461  

STORE Capital Corp.

     

4.500%, 03/15/28

     434        387,694  

Sutter Health

     

3.695%, 08/15/28

     41        39,015  

3.161%, 08/15/40

     780        596,753  

Tapestry, Inc.

     

3.050%, 03/15/32

     870        720,470  

Texas Instruments, Inc.

     

3.875%, 03/15/39

     1,153        1,058,377  

Thermo Fisher Scientific, Inc.

     

3.200%, 01/21/26

     150        164,654  

 

23


DIMENSIONAL GLOBAL SUSTAINABILITY FIXED INCOME ETF

CONTINUED

 

     Face
Amount ^
     Value†  
     (000)         

UNITED STATES — (Continued)

     

T-Mobile USA, Inc.

     

4.375%, 04/15/40

     550      $ 493,999  

Travelers Cos., Inc. (The)

     

6.250%, 06/15/37, MTN

     141        159,784  

5.350%, 11/01/40

     316        332,872  

UnitedHealth Group, Inc.

     

5.700%, 10/15/40

     237        255,662  

Unum Group

     

5.750%, 08/15/42

     757        706,653  

Upjohn Finance BV

     

1.362%, 06/23/27

     400        390,687  

Verizon Communications, Inc.

     

0.875%, 03/19/32

     250        214,736  

VF Corp.

     

#   2.950%, 04/23/30

     602        510,217  

Walgreens Boots Alliance, Inc.

     

4.500%, 11/18/34

     331        305,378  

Walt Disney Co. (The)

     

6.650%, 11/15/37

     337        400,333  

Welltower OP LLC

     

3.850%, 06/15/32

     80        71,902  

Western Union Co. (The)

     

1.350%, 03/15/26

     131        117,967  

2.750%, 03/15/31

     939        751,983  

Whirlpool Corp.

     

4.750%, 02/26/29

     75        74,937  

WP Carey, Inc.

     

3.850%, 07/15/29

     80        74,321  
     

 

 

 

TOTAL UNITED STATES

        39,788,955  
     

 

 

 
     Face
Amount ^
     Value†  
     (000)         

UNITED STATES — (Continued)

     

TOTAL BONDS

      $ 101,249,419  
     

 

 

 

U.S. TREASURY OBLIGATIONS — (13.0%)

 

  

U.S. Treasury Bonds

     

1.125%, 08/15/40

     1,670        1,109,898  

1.750%, 08/15/41

     5,295        3,851,346  

U.S. Treasury Notes

     

0.125%, 07/31/23

     222        219,294  

0.125%, 08/31/23

     1,306        1,284,829  

0.250%, 09/30/23

     420        412,092  

0.375%, 10/31/23

     170        166,202  

2.750%, 02/15/24

     271        266,395  

1.500%, 02/29/24

     3,336        3,244,130  

0.250%, 03/15/24

     1,800        1,729,758  

2.250%, 03/31/24

     3,802        3,714,079  

2.500%, 05/31/24

     212        206,932  

3.000%, 06/30/24

     811        795,825  

TOTAL U.S. TREASURY OBLIGATIONS

        17,000,780  
     

 

 

 

TOTAL INVESTMENT SECURITIES — (99.3%)
(Cost $126,427,195)

        129,546,708  
     

 

 

 

SECURITIES LENDING COLLATERAL — (0.7%)

     

The DFA Short Term

     

@§ Investment Fund

     76,202        881,300  
     

 

 

 

TOTAL INVESTMENTS — (100.0%) (Cost $127,308,495)

      $ 130,428,008  
     

 

 

 

Forward Currency Contracts

As of April 30, 2023, Dimensional Global Sustainability Fixed Income ETF had entered into the following forward currency contracts:

 

Currency Purchased

     Currency Sold     

Counterparty

   Settlement
Date
     Unrealized
Foreign
Exchange
Appreciation
(Depreciation)
 

USD

     1,133,076      JPY      148,776,026      Citigroup      05/02/23      $ 40,460  

GBP

     75,980      USD      91,498      Citigroup      05/09/23        4,017  

GBP

     93,464      USD      115,745      Citigroup      05/09/23        1,749  

GBP

     90,424      USD      112,452      State Street Bank and Trust      05/09/23        1,221  

USD

     537,988      NZD      868,798      Citigroup      05/15/23        1,393  

USD

     123,367      AUD      184,713      Citigroup      06/07/23        1,105  

USD

     57,904      AUD      85,941      State Street Bank and Trust      06/07/23        1,020  

USD

     1,717,785      AUD      2,593,514      State Street Bank and Trust      06/07/23        1,131  

USD

     88,906      AUD      133,811      Citigroup      06/29/23        249  

USD

     62,405      AUD      93,480      Citigroup      06/29/23        470  

USD

     1,796,290      AUD      2,677,486      State Street Bank and Trust      06/29/23        22,315  

USD

     1,102,179      JPY      148,711,553      State Street Bank and Trust      06/29/23        61  

USD

     1,512,908      JPY      196,519,520      State Street Bank and Trust      07/05/23        55,132  

USD

     1,788,449      AUD      2,628,116      Citigroup      07/13/23        46,146  

USD

     975,836      AUD      1,470,708      State Street Bank and Trust      07/13/23        834  
                 

 

 

 

Total Appreciation

            $ 177,303  
                 

 

 

 

USD

     95,416      GBP      76,559      Citigroup      05/05/23      $ (818

 

24


DIMENSIONAL GLOBAL SUSTAINABILITY FIXED INCOME ETF

CONTINUED

 

Currency Purchased

     Currency Sold     

Counterparty

   Settlement
Date
     Unrealized
Foreign
Exchange
Appreciation
(Depreciation)
 

USD

     2,557,406        GBP        2,046,530      State Street Bank and Trust      05/05/23      $ (15,056

USD

     93,054        SEK        961,656      Citigroup      05/08/23        (731

USD

     8,074,222        EUR        7,390,040      State Street Bank and Trust      05/08/23        (87,443

USD

     6,389,784        GBP        5,243,915      Citigroup      05/09/23        (202,380

USD

     14,152,234        EUR        13,374,558      Citigroup      05/09/23        (619,748

USD

     14,185,680        EUR        12,950,974      State Street Bank and Trust      05/22/23        (130,178

AUD

     131,633        USD        88,201      State Street Bank and Trust      06/07/23        (1,073

AUD

     175,230        USD        118,008      Citigroup      06/29/23        (1,909
                 

 

 

 

Total (Depreciation)

 

            $ (1,059,336
                 

 

 

 

Total Appreciation (Depreciation)

 

         $ (882,033
                 

 

 

 

Summary of the Fund’s investments as of April 30, 2023, based on their valuation inputs, is as follows (see Security Valuation Note):

 

     Investments in Securities (Market Value)  
     Level 1      Level 2      Level 3      Total  

Agency Obligations

           

United States

   $ —        $ 11,296,509      $ —        $ 11,296,509  

Bonds

           

Australia

     —          5,511,408        —          5,511,408  

Austria

     —          346,456        —          346,456  

Belgium

     —          884,748        —          884,748  

Canada

     —          8,341,741        —          8,341,741  

Finland

     —          1,724,523        —          1,724,523  

France

     —          10,964,821        —          10,964,821  

Germany

     —          6,009,264        —          6,009,264  

Ireland

     —          614,063        —          614,063  

Italy

     —          1,401,712        —          1,401,712  

Japan

     —          5,404,881        —          5,404,881  

Luxembourg

     —          517,811        —          517,811  

Netherlands

     —          2,432,026        —          2,432,026  

New Zealand

     —          500,417        —          500,417  

Spain

     —          1,766,927        —          1,766,927  

Supranational

     —          6,341,291        —          6,341,291  

Sweden

     —          2,040,360        —          2,040,360  

Switzerland

     —          118,211        —          118,211  

United Kingdom

     —          6,539,805        —          6,539,805  

United States

     —          39,788,955        —          39,788,955  

U.S. Treasury Obligations

           

United States

     —          17,000,779        —          17,000,779  

Securities Lending Collateral

     —          881,300        —          881,300  

Forward Currency Contracts**

     —          (882,033      —          (882,033
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Investments

   $ —        $ 129,545,975      $ —        $ 129,545,975  
  

 

 

    

 

 

    

 

 

    

 

 

 

 

**

Valued at the unrealized appreciation/(depreciation) on the investment.

See accompanying Notes to Financial Statements.

 

25


DIMENSIONAL ETF TRUST

STATEMENTS OF ASSETS AND LIABILITIES

APRIL 30, 2023

(Unaudited)

(Amounts in thousands, except share and per share amounts)

 

     Dimensional
US
Sustainability
Core 1 ETF
     Dimensional
International
Sustainability
Core 1 ETF
 

ASSETS:

     

Investment Securities at Value (including $4,461 and $3,524 of securities on loan, respectively)

   $ 396,017      $ 186,065  

Collateral from Securities on Loan Invested in Affiliate at Value (Cost of $4,567 and $3,391, respectively) (Note G)

     4,567        3,391  

Foreign Currencies at Value

     —          616  

Cash

     237        104  

Receivables:

     

Investment Securities Sold

     25        345  

Dividends and Interest

     244        714  

Receivable for Tax Reclaims

     —          115  

Prepaid Expenses and Other Assets

     2        2  
  

 

 

    

 

 

 

Total Assets

     401,092        191,352  
  

 

 

    

 

 

 

LIABILITIES:

     

Payables:

     

Investment Securities Purchased

     —          461  

Upon Return of Securities Loaned

     4,567        3,391  

Accrued Expenses and Other Liabilities:

     

Advisory Fee

     40        9  

Administration and Accounting

     17        17  

Custodian

     1        8  

Other Expenses

     8        4  
  

 

 

    

 

 

 

Total Liabilities

     4,633        3,890  
  

 

 

    

 

 

 

NET ASSETS

   $ 396,459      $ 187,462  
  

 

 

    

 

 

 

SHARES OUTSTANDING, $0.01 PAR VALUE

     14,800,000        6,100,000  
  

 

 

    

 

 

 

Net Asset Value, Offering and Redemption price per share

   $ 26.79      $ 30.73  
  

 

 

    

 

 

 

Investment Securities at Cost

   $ 381,338      $ 167,257  
  

 

 

    

 

 

 

Foreign Currencies at Cost

   $ —        $ 616  
  

 

 

    

 

 

 

NET ASSETS CONSIST OF:

     

Paid-In Capital

   $ 381,448      $ 168,222  

Total Distributable Earnings (Loss)

     15,011        19,240  
  

 

 

    

 

 

 

NET ASSETS

   $ 396,459      $ 187,462  
  

 

 

    

 

 

 

See accompanying Notes to Financial Statements.

 

26


DIMENSIONAL ETF TRUST

STATEMENTS OF ASSETS AND LIABILITIES

APRIL 30, 2023

(Unaudited)

(Amounts in thousands, except share and per share amounts)

 

     Dimensional
Emerging
Markets
Sustainability
Core 1 ETF
     Dimensional
Global
Sustainability
Fixed Income
ETF
 

ASSETS:

     

Investment Securities at Value (including $548 and $86,178 of securities on loan, respectively)

   $ 125,474      $ 129,547  

Collateral from Securities on Loan Invested in Affiliate at Value (Cost of $230 and $881, respectively) (Note G)

     230        881  

Foreign Currencies at Value

     553        65  

Cash

     21        1,220  

Unrealized Appreciation on Forward Foreign Currency Contracts

     —          177  

Receivables:

     

Investment Securities Sold

     721        983  

Dividends and Interest

     165        912  

Receivable for Tax Reclaims

     —          2  

Prepaid Expenses and Other Assets

     58        2  
  

 

 

    

 

 

 

Total Assets

     127,222        133,789  
  

 

 

    

 

 

 

LIABILITIES:

     

Payables:

     

Investment Securities Purchased

     505        12,463  

Unrealized Depreciation on Forward Foreign Currency Contracts

     —          1,059  

Upon Return of Securities Loaned

     230        881  

Accrued Expenses and Other Liabilities:

     

Advisory Fee

     10        6  

Administration and Accounting

     17        17  

Custodian

     —          1  

Trustee

     1        —    

Other Expenses

     4        10  
  

 

 

    

 

 

 

Total Liabilities

     767        14,437  
  

 

 

    

 

 

 

NET ASSETS

   $ 126,455      $ 119,352  
  

 

 

    

 

 

 

SHARES OUTSTANDING, $0.01 PAR VALUE

     4,300,000        2,300,000  
  

 

 

    

 

 

 

Net Asset Value, Offering and Redemption price per share

   $ 29.41      $ 51.89  
  

 

 

    

 

 

 

Investment Securities at Cost

   $ 114,923      $ 126,427  
  

 

 

    

 

 

 

Foreign Currencies at Cost

   $ 552      $ 66  
  

 

 

    

 

 

 

NET ASSETS CONSIST OF:

     

Paid-In Capital

   $ 116,176      $ 116,510  

Total Distributable Earnings (Loss)

     10,279        2,842  
  

 

 

    

 

 

 

NET ASSETS

   $ 126,455      $ 119,352  
  

 

 

    

 

 

 

See accompanying Notes to Financial Statements.

 

27


DIMENSIONAL ETF TRUST

STATEMENTS OF OPERATIONS

FOR THE PERIOD ENDED APRIL 30, 2023

(Unaudited)

(Amounts in thousands)

 

     Dimensional
US
Sustainability
Core 1 ETF(a)
(b)
    Dimensional
International
Sustainability
Core 1 ETF(a)
(b)
 

INVESTMENT INCOME:

    

Dividends (Net of Foreign Taxes Withheld of $(1) and $(273), respectively)

   $ 1,483     $ 2,047  

Income from Securities Lending

     7       11  
  

 

 

   

 

 

 

Total Investment Income

     1,490       2,058  
  

 

 

   

 

 

 

EXPENSES:

    

Investment Management Fees (Note D)

     142       127  

Administration and Accounting

     22       21  

Custodian

     1       28  

Filing Fees

     7       4  

Trustees’ Fees & Expenses

     1       1  

Organization Fees

     3       3  

Professional Fees

     1       2  

Exchange Listing Fee

     4       4  

Other Expenses

     5       6  
  

 

 

   

 

 

 

Total Expenses

     186       196  
  

 

 

   

 

 

 

Fees Waived, Expenses Reimbursed by Advisor (Note D)

     (3     (42

Fees Paid Indirectly (Note D)

     —         (2
  

 

 

   

 

 

 

Net Expenses

     183       152  
  

 

 

   

 

 

 

Net Investment Income (Loss)

     1,307       1,906  
  

 

 

   

 

 

 

Realized and Unrealized Gain (Loss)

    

Net Realized Gain (Loss) from:

    

Investment Securities Sold and Foreign Currency Transactions

     (1,155     (992

In-Kind Transactions

     943       —    

Change in Unrealized Appreciation (Depreciation) on:

    

Investment Securities and Foreign Currency Translations

     14,679       18,803  
  

 

 

   

 

 

 

Net Realized and Unrealized Gain (Loss)

     14,467       17,811  
  

 

 

   

 

 

 

Net Increase (Decrease) in Net Assets Resulting from Operations

   $ 15,774     $ 19,717  
  

 

 

   

 

 

 

(a)

Portion of income is from investment in affiliated fund.

(b)

For the period from the commencement of operations on November 1, 2022 through April 30, 2023.

See accompanying Notes to Financial Statements.

 

28


DIMENSIONAL ETF TRUST

STATEMENTS OF OPERATIONS

FOR THE PERIOD ENDED APRIL 30, 2023

(Unaudited)

(Amounts in thousands)

 

     Dimensional
Emerging
Markets
Sustainability
Core 1 ETF(a)
(b)
    Dimensional
Global
Sustainability
Fixed Income
ETF(a)(c)
 

INVESTMENT INCOME:

    

Interest (Net of Foreign Taxes Withheld of $— and $(15), respectively)

   $ —       $ 1,792  

Dividends (Net of Foreign Taxes Withheld of $(137) and $—, respectively)

     922       —    

Non-cash Dividends

     187       —    

Income from Securities Lending

     14       2  
  

 

 

   

 

 

 

Total Investment Income

     1,123       1,794  
  

 

 

   

 

 

 

EXPENSES:

    

Investment Management Fees (Note D)

     187       81  

Administration and Accounting

     21       22  

Custodian

     64       2  

Filing Fees

     4       3  

Trustees’ Fees & Expenses

     1       —    

Organization Fees

     4       3  

Professional Fees

     3       6  

Exchange Listing Fee

     4       4  

Other Expenses

     10       5  
  

 

 

   

 

 

 

Total Expenses

     298       126  
  

 

 

   

 

 

 

Fees Waived, Expenses Reimbursed by Advisor (Note D)

     (66     (29

Fees Paid Indirectly (Note D)

     (13     —    
  

 

 

   

 

 

 

Net Expenses

     219       97  
  

 

 

   

 

 

 

Net Investment Income (Loss)

     904       1,697  
  

 

 

   

 

 

 

Realized and Unrealized Gain (Loss)

    

Net Realized Gain (Loss) from:

    

Investment Securities Sold and Foreign Currency Transactions*

     (739     639  

Forward Currency Contracts

     —         (1,077

Futures

     9       —    

Change in Unrealized Appreciation (Depreciation) on:

    

Investment Securities and Foreign Currency Translations

     10,557       3,128  

Forward Currency Contracts

     —         (882
  

 

 

   

 

 

 

Net Realized and Unrealized Gain (Loss)

     9,827       1,808  
  

 

 

   

 

 

 

Net Increase (Decrease) in Net Assets Resulting from Operations

   $ 10,731     $ 3,505  
  

 

 

   

 

 

 

(a)

Portion of income is from investment in affiliated fund.

(b)

For the period from the commencement of operations on November 1, 2022 through April 30, 2023.

(c)

For the period from the commencement of operations on November 15, 2022 through April 30, 2023.

*

Net of foreign capital gain taxes withheld of $— and $0.

See accompanying Notes to Financial Statements.

 

29


DIMENSIONAL ETF TRUST

STATEMENTS OF CHANGES IN NET ASSETS

(Amounts in thousands)

 

     Dimensional
US
Sustainability
Core 1 ETF
    Dimensional
International
Sustainability
Core 1 ETF
    Dimensional
Emerging
Markets
Sustainability
Core 1 ETF
    Dimensional
Global
Sustainability
Fixed Income
ETF
 
     For the period
Nov. 1, 2022
through
April 30, 2023
    For the period
Nov. 1, 2022
through
April 30, 2023
    For the period
Nov. 1, 2022
through
April 30, 2023
    For the period
Nov. 15, 2022
through
April 30, 2023
 
     (Unaudited)     (Unaudited)     (Unaudited)     (Unaudited)  

Increase (Decrease) in Net Assets:

        

Operations:

        

Net Investment Income (Loss)

   $ 1,307     $ 1,906     $ 904     $ 1,697  

Net Realized Gain (Loss) on:

        

Investment Securities Sold and Foreign Currency Transactions*

     (1,155     (992     (739     639  

In-Kind Transactions

     943       —         —         —    

Forward Currency Contracts

     —         —         —         (1,077

Futures

     —         —         9       —    

Change in Unrealized Appreciation (Depreciation)on:

        

Investment Securities and Foreign Currency Translations

     14,679       18,803       10,557       3,128  

Forward Currency Contracts

     —         —         —         (882
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in Net Assets Resulting from Operations

     15,774       19,717       10,731       3,505  
  

 

 

   

 

 

   

 

 

   

 

 

 

Distributions:

        

Total Distributions

     (763     (477     (452     (663
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in Net Assets Resulting from Distributions

     (763     (477     (452     (663
  

 

 

   

 

 

   

 

 

   

 

 

 

Capital Share Transactions:

        

Shares Issued

     388,142       168,222       116,176       116,510  

Cost of Shares Redeemed

     (6,694     —         —         —    
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in Net Assets Resulting from Capital Share Transactions

     381,448       168,222       116,176       116,510  
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in Net Assets

     396,459       187,462       126,455       119,352  

Net Assets:

        

Beginning of Period

     —         —         —         —    
  

 

 

   

 

 

   

 

 

   

 

 

 

End of Period

   $ 396,459     $ 187,462     $ 126,455     $ 119,352  
  

 

 

   

 

 

   

 

 

   

 

 

 

Share Transactions:

        

Issued

     15,050       6,100       4,300       2,300  

Redeemed

     (250     —         —         —    
  

 

 

   

 

 

   

 

 

   

 

 

 

Change in Shares

     14,800       6,100       4,300       2,300  
  

 

 

   

 

 

   

 

 

   

 

 

 

 

*

Net of foreign capital gain taxes withheld of $0, $0, $— and $0.

See accompanying Notes to Financial Statements.

 

30


DIMENSIONAL ETF TRUST

FINANCIAL HIGHLIGHTS

(for a share outstanding throughout each period)

 

     Dimensional US
Sustainability
Core 1 ETF
    Dimensional
International
Sustainability
Core 1 ETF
    Dimensional
Emerging
Markets
Sustainability
Core 1 ETF
    Dimensional
Global
Sustainability
Fixed Income

ETF
 
     Period
November 1, 2022
through

April 30, 2023
    Period
November 1, 2022
through

April 30, 2023
    Period
November 1, 2022
through

April 30, 2023
    Period
November 15, 2022
through

April 30, 2023
 
     (Unaudited)     (Unaudited)     (Unaudited)     (Unaudited)  

Net Asset Value, Beginning of Period

   $ 24.97     $ 25.17     $ 25.54     $ 50.10  
  

 

 

   

 

 

   

 

 

   

 

 

 

Income From Investment Operations (a)

        

Net Investment Income (Loss)

     0.17       0.43       0.24       0.98  

Net Gains (Losses) on Securities (Realized and Unrealized)

     1.74       5.23       3.75       1.22  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total from Investment Operations

     1.91       5.66       3.99       2.20  
  

 

 

   

 

 

   

 

 

   

 

 

 

Less Distributions:

        

Net Investment Income

     (0.09     (0.10     (0.12     (0.41
  

 

 

   

 

 

   

 

 

   

 

 

 

Total Distributions

     (0.09     (0.10     (0.12     (0.41
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Asset Value, End of Period

   $ 26.79     $ 30.73     $ 29.41     $ 51.89  
  

 

 

   

 

 

   

 

 

   

 

 

 

Total Return at NAV (b)(c)

     7.68     22.57     15.65     4.41
  

 

 

   

 

 

   

 

 

   

 

 

 

Total Return at Market (c)(d)

     7.60     22.89     16.51     4.71
  

 

 

   

 

 

   

 

 

   

 

 

 

Net Assets, End of Year (thousands)

   $ 396,459     $ 187,462     $ 126,455     $ 119,352  

Ratio of Expenses to Average Net Assets (e)

     0.18     0.24     0.41     0.24

Ratio of Expenses to Average Net Assets (Excluding Fees Waived, Expenses Reimbursed, Previously Waived Fees Recovered by Advisor and/or Fees Paid Indirectly) (e)

     0.18     0.31     0.56     0.31

Ratio of Net Investment Income to Average Net Assets (e)

     1.29     3.00     1.69     4.16

Portfolio Turnover Rate (c)(f)

     —       6     6     4
  

 

 

   

 

 

   

 

 

   

 

 

 

See page 3 for the Definitions of Abbreviations and Footnotes.

See accompanying Notes to Financial Statements.

 

31


DIMENSIONAL ETF TRUST

NOTES TO FINANCIAL STATEMENTS

(Unaudited)

A. ORGANIZATION

The Dimensional ETF Trust (the “Trust”) was organized on June 16, 2020 as a Delaware statutory trust. The Trust is an open-end management investment company, registered under the Investment Company Act of 1940 (the “1940 Act”). As of April 30, 2023, the Trust is comprised of thirty operational exchange-traded funds (“ETFs”) and is authorized to issue an unlimited number of shares of beneficial interest (“Shares”) for each fund representing interests in separate portfolios of securities. The accompanying financial statements are those of the following (individually referred to as a “Fund” or collectively as the “Funds”):

 

Fund

  

Short Name

Dimensional US Sustainability Core 1 ETF

   US Sustainability Core 1 ETF

Dimensional International Sustainability Core 1 ETF

   International Sustainability Core 1 ETF

Dimensional Emerging Markets Sustainability Core 1 ETF

   Emerging Markets Sustainability Core 1 ETF

Dimensional Global Sustainability Fixed Income ETF

   Global Sustainability Fixed Income ETF

The assets of each Fund are segregated and a shareholder’s interest is limited to the Fund in which Shares are held. The Funds are investment companies and, accordingly, follow the accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946, “Financial Services – Investment Companies”.

The Board is responsible for establishing the Trust’s policies and for overseeing the management of the Trust. Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In the normal course of business, the Trust enters into contracts that contain a variety of representations and warranties that provide general indemnification. The Trust’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust and/or its affiliates that have not yet occurred. However, based on prior experience, the Trust expects the risk of loss to be remote.

B. SIGNIFICANT ACCOUNTING POLICIES

Shares of the Funds are listed and traded on the NYSE Arca, Inc. Market prices for the Shares may be different from their net asset value (“NAV”). The Funds issue and redeem Shares on a continuous basis at NAV only in large blocks of Shares called “Creation Units”. Creation Units are issued and redeemed principally in-kind. Once created, Shares generally trade in the secondary market at market prices that change throughout the day in amounts less than a Creation Unit. Shares of each Fund may be purchased or redeemed directly only by certain financial institutions (“Authorized Participants”). An Authorized Participant is either (i) a broker-dealer or other participant in the clearing process through the Continuous Net Settlement System of the National Securities Clearing Corporation or (ii) a DTC participant and, in each case, must have executed a Participant Agreement with the Funds’ distributor (the “Distributor”). Most retail investors do not qualify as Authorized Participants nor have the resources to buy and sell whole Creation Units. Therefore, they are unable to purchase or redeem Shares directly from a Fund.

The following is a summary of significant accounting policies consistently followed by each Fund in the preparation of its financial statements. These policies are in conformity with generally accepted accounting principles in the United States of America (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses for the period. Actual results could differ from those estimates.

 

32


1. SECURITY VALUATION

The Funds hold investments at fair value. Fair value is defined as the price that would be expected to be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The valuation techniques used to determine fair value are further described below.

Security values are ordinarily obtained through the use of independent pricing services in accordance with Rule 2a-5 under the 1940 Act pursuant to procedures approved by the Board. Pursuant to these procedures, the Funds may use a pricing service, bank, or broker-dealer experienced in such matters to value the Funds’ securities. When reliable market quotations are not readily available for any security, the fair value of that security will be determined by a committee established by the Advisor, with input from certain third-party pricing services and others, in accordance with Rule 2a-5 under the 1940 Act pursuant to procedures approved by the Board. The fair valuation process is designed to value the subject security at the price the Funds would reasonably expect to receive upon its current sale. Additional consideration is given to securities that have experienced a decrease in the volume or level of activity or to circumstances that indicate that a transaction is not orderly.

The Trust has a three-tier fair value hierarchy that is dependent upon the various inputs used to determine the value of the Funds’ investments. The valuation techniques described below maximize the use of observable inputs and minimize the use of unobservable inputs in determining fair value. These inputs are summarized in the three broad levels listed below:

 

   

Level 1 – Inputs are quoted prices in active markets for identical securities (including equity securities, open-end investment companies, and futures contracts)

 

   

Level 2 – Other observable pricing inputs at the measurement date (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

 

   

Level 3 – Significant unobservable pricing inputs at the measurement date (including the Funds’ own assumptions in determining the fair value of investments).

The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments.

Debt securities held by the Funds are valued on the basis of evaluated prices provided by one or more pricing services or other reasonably reliable sources including broker/dealers that typically handle the purchase and sale of such securities. Securities that are traded over-the-counter and on a stock exchange generally will be valued according to the broadest and most representative market, and it is expected that for bonds and other fixed income securities, this ordinarily will be the over-the-counter market. These securities are generally categorized as Level 2 or Level 3 in the hierarchy.

Rights and warrants are valued at the last sales price on a national securities exchange. If these instruments are not scheduled to trade for a certain period they are generally valued intrinsically based on the terms of the issuance and the price of the underlying security. These instruments are typically categorized as Level 1 in the fair value hierarchy unless intrinsic value is used and then would be categorized as Level 2 in the fair value hierarchy.

Equity securities traded on a securities exchange are valued at the official closing price or the last reported sales price on the principal exchange. Equity securities quoted by Nasdaq are valued at the Nasdaq official closing price. If there is no reported sale on the principal exchange or official closing price of the day, and in the case of over-the-counter securities, the Funds value the securities at the mean between the most recent quoted bid and asked prices. In each of these situations, securities are typically categorized as Level 1 and Level 2, respectively, in the fair value hierarchy.

With respect to the International Sustainability ETF, Emerging Sustainability ETF, and Global Sustainability Fixed Income ETF (“the International Funds”), the prices of securities traded in foreign currencies will be expressed in U.S. dollars by using the mid-rate prices for the U.S. dollar as quoted by generally recognized reliable sources at 4 p.m. London time. The International Funds own securities that are primarily listed on foreign exchanges which may trade on days when the International Funds do not price their shares, therefore the value of securities held by the International Funds may change on days when shareholders will not be able to purchase or redeem shares.

 

33


Derivative Instruments: Forward currency contracts are valued using the sum of the spot rate, the available forward point quotation nearest and prior to settlement date, and the linear interpolation of the available forward point quotations nearest to, before and after the settlement date. Futures contracts are valued using the settlement price established each day on the exchange on which they are traded. The value of such futures contracts held by the Fund is determined each day as of such exchange close.

Listed derivatives, such as futures, that are actively traded are valued based on quoted prices from the exchange and are categorized as Level 1 in the hierarchy. Over-the-counter derivative contracts, which include forward currency contracts, do not require material subjectivity as pricing inputs are observed from quoted markets and are categorized as Level 2 in the hierarchy.

Securities for which no market quotations are readily available (including restricted securities), or for which market quotations have become unreliable, are valued in good faith at fair value in accordance with Rule 2a-5 under the 1940 Act pursuant to procedures approved by the Board. Fair value pricing may also be used if events that have a significant effect on the value of an investment (as determined in the discretion of the Advisor) occur before the NAV is calculated. When fair value pricing is used, the prices of securities used by the Funds may differ from the quoted or published prices for the same securities on their primary markets or exchanges. These securities are typically categorized as Level 2 or Level 3 in the fair value hierarchy.

2. SECURITY TRANSACTIONS AND RELATED INCOME

Investment transactions are accounted for no later than the first calculation of the NAV on the business day following the trade date. For financial reporting purposes, however, security transactions are accounted for on the trade date on the last business day of the reporting period. Securities gains and losses are calculated on the identified cost basis. Interest income and expenses are accrued daily. Dividends, less foreign tax withholding, if any, are recorded on the ex-dividend date. Investment income from non-U.S. sources received by a Fund is generally subject to non-U.S. withholding taxes at rates ranging up to 30%. Such withholding taxes may be reduced or eliminated under the terms of applicable U.S. income tax treaties. Such taxes are accrued on a daily basis and due upon sale of individual securities. Non-cash dividend income received in the form of securities in-lieu of cash, if any, are recorded at the fair value of the securities received.

3. FOREIGN CURRENCY TRANSLATIONS

The accounting records of the International Funds are maintained in U.S. dollars. Investment securities and other assets and liabilities of a Fund denominated in a foreign currency are translated into U.S. dollars at current exchange rates. Purchases and sales of securities, income receipts and expense payments are translated into U.S. dollars at the exchange rates on the date of the transactions. The International Funds do not isolate the portion of the results of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are disclosed as net change in unrealized appreciation (depreciation) on investment securities and foreign currency translations on the Statements of Operations. Any realized gains or losses from these fluctuations are disclosed as net realized gains or losses from investment securities sold and foreign currency transactions on the Statements of Operations.

4. TO BE ANNOUNCED (TBA) COMMITMENTS

To Be Announced (“TBA”) commitments are commitments to purchase or sell mortgage-backed securities for a fixed price at a future date, typically not exceeding 90 days. TBA’s may be considered securities in themselves and involve a risk of loss if the value of the security to be purchased declines prior to the settlement date. This risk is in addition to the risk of decline in each Fund’s other assets. Unsettled TBA securities are valued by an independent pricing service based on the characteristics of the securities to be delivered or received.

 

34


5. RESTRICTED SECURITIES

A restricted security is a security that cannot be offered for public sale without prior registration under the Securities Act of 1933 (the “1933 Act”) (absent an exemption). Whether a restricted security is illiquid is determined pursuant to the applicable provisions of the Funds’ liquidity risk management program. Not all restricted securities are considered illiquid.

6. DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS

Distributions are recorded on the ex-dividend date. The Funds intend to distribute to their shareholders net investment income, if any, at least quarterly except for the Global Sustainability Fixed Income ETF, which intends to distribute dividends to shareholders monthly. The Funds intend to distribute net realized capital gains to shareholders, if any, at least annually. The amount of dividends from net investment income and net realized gains is determined in accordance with federal income tax regulations, which may differ from GAAP.

7. DEFERRED COMPENSATION PLAN

Each eligible Trustee (each a “Trustee” and collectively, the “Trustees”) of the Trust may elect to participate in the Fee Deferral Plan for Independent Directors and Trustees (the “Plan”). Under the Plan, effective January 1, 2002, such Trustees may defer payment of all or a portion of their total fees earned as a Trustee. These deferred amounts may be treated as though such amounts had been invested in shares of the following funds: the U.S. Large Cap Value Portfolio, U.S. Core Equity 1 Portfolio, U.S. Large Company Portfolio, U.S. Vector Equity Portfolio, U.S. Micro Cap Portfolio, DFA International Value Portfolio, International Core Equity Portfolio, Emerging Markets Portfolio, Emerging Markets Core Equity Portfolio, DFA Inflation-Protected Securities Portfolio, and/or DFA Two-Year Global Fixed Income Portfolio. Contributions made under the Plan and the change in unrealized appreciation (depreciation) and income are included in Trustees’ Fees & Expenses.

Each Trustee has the option to receive the distribution of proceeds by one of the following methods: lump sum, annual installments over a period of agreed-upon years, or quarterly installments over a period of agreed-upon years. Each Trustee shall have the right in a notice of election (the “Notice”) to defer the receipt of the Trustee’s deferred compensation until a date specified by such Trustee in the Notice, which date may not be sooner than the earlier of: (i) the first business day of January following the year in which such Trustee ceases to be a member of the Board and (ii) five years following the effective date of the Trustee’s first deferral election. If a Trustee who elects to defer fees fails to designate in the Notice a time or date as of which payment of the Trustee’s deferred fee account shall commence, payment of such amount shall commence as of the first business day of January following the year in which the Trustee ceases to be a member of the Board (unless the Trustee files an amended Notice selecting a different distribution date).

8. OTHER

Discount and premium on debt securities purchased are amortized over the lives of the respective securities, using the effective interest method. Expenses directly attributable to a Fund are charged directly. Common expenses of the Funds are allocated using methods approved by the Board, generally based on average net assets.

The Funds may be subject to taxes imposed by countries in which they invest with respect to their investments in issuers existing or operating in such countries. Such taxes are generally based on income earned or repatriated and capital gains realized on the sale of such investments. The Funds accrue such taxes when the related income or capital gains are earned or throughout the holding period. Some countries require governmental approval for the repatriation of investment income, capital or the proceeds of sales earned by foreign investors. Additionally, if there is a deterioration in a country’s balance of payments or for other reasons, a country may impose temporary restrictions on foreign capital remittances abroad. Emerging Markets Sustainability Core 1 ETF is subject to tax on short-term and long-term capital gains for investments in India. Such taxes are accrued on a daily basis and due upon sale of individual securities.

 

35


C. DERIVATIVE INSTRUMENTS

All open derivative positions at period end are reflected on each Fund’s Summary Schedule of Investments. The following is a description of the derivative instruments utilized by the Funds, including the primary underlying risk exposure related to each instrument type.

1. FORWARD CURRENCY CONTRACTS

The International Funds may enter into foreign currency exchange transactions, including foreign currency forward contracts, in connection with the settlement of foreign securities or to transfer cash balances from one currency to another currency. The decision to hedge a Fund’s currency exposure with respect to a foreign market will be based primarily on the Fund’s existing exposure to a given foreign currency. Each contract is valued daily and the change in value is recorded by a Fund as an unrealized gain or loss, which is presented in the Fund’s Statement of Operations as the change in unrealized appreciation or depreciation of forward currency contracts. When the contract is closed or offset with the same counterparty, a Fund records a realized gain or loss equal to the change in the value of the contract when it was opened and the value at the time it was closed or offset. This is presented in the Statement of Operations as a net realized gain or loss on forward currency contracts. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of foreign currency relative to the U.S. dollar.

2. FUTURES CONTRACTS

Each Fund may purchase or sell futures and options on futures contracts for securities and indices to increase or decrease market exposure based on actual or expected cash inflows to or outflows from the Fund. Global Sustainability Fixed Income ETF may also purchase or sell futures contracts and options on futures contracts to hedge its interest rate or currency exposure or for non-hedging purposes, such as a substitute for direct investment. Upon entering into futures contracts, the Funds are required to pledge to the broker an amount of cash and/or other assets equal to a certain percentage of the contract amount (initial margin deposit). Subsequent payments, known as “variation margin”, are made or received each day, depending on the daily fluctuations in the fair value of the underlying security. The Funds recognize an unrealized gain or loss equal to the daily variation margin. Should market conditions move unexpectedly, the Funds may not achieve the anticipated benefits of the futures contracts and may realize a loss. Futures contracts involve, to varying degrees, elements of market risk (generally equity price risk related to stock futures, interest rate risk related to bond futures, and foreign currency risk related to currency futures) and exposure to loss in excess of the amounts reflected on the Statements of Assets and Liabilities as variation margin. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in market value of the securities held by the Funds and the prices of futures contracts, the possibility of an illiquid market, and the possibility that the Fund could lose more than the initial margin requirements. The Funds entering into stock index futures are subject to equity price risk from those futures contracts. Counterparty credit risk related to exchange-traded futures is minimal because the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees the futures against default.

The average volume (based on the open positions at each fiscal month-end) of derivative activity for the period ended April 30, 2023 was as follows (amounts in thousands):

 

     Forward
Currency
Contracts*
 

Global Sustainability Fixed Income ETF

   $ 42,839  

 

*

Average amount of Currency Purchased/Sold in USD.

 

36


Summary of Derivative Instruments:

The following is a summary of the fair value of derivative instruments on the Statements of Assets and Liabilities, categorized by risk exposure, as of April 30, 2023 (amounts in thousands):

 

     Assets  
     Unrealized
Appreciation
on Forward
Currency
Contracts (1)
 

Currency Rate Risk Exposure:

  

Global Sustainability Fixed Income ETF

   $ 177  
     Liabilities  
     Unrealized
Depreciation
on Forward
Currency
Contracts (2)
 

Currency Rate Risk Exposure:

  

Global Sustainability Fixed Income ETF

   $ 1,059  

 

(1)

Presented on Statements of Assets and Liabilities as Unrealized Appreciation on Forward Foreign Currency Contracts.

(2)

Presented on Statements of Assets and Liabilities as Unrealized Depreciation on Forward Foreign Currency Contracts.

The following summary of the realized and change in unrealized gains and losses from derivative instrument holdings categorized by primary risk exposure for the period ended April 30, 2023 (amounts in thousands):

 

            Realized Gain
(Loss) from
Futures (1)
 

Equity Rate Risk Exposure:

     

Emerging Markets Sustainability Core 1 ETF

      $ 9  
     Realized Gain
(Loss) from:
     Net Change
in Unrealized
Appreciation
(Depreciation)
on Derivatives
 
     Forward
Currency
Contracts (2)
     Forward
Currency
Contracts (3)
 

Currency Rate Risk Exposure:

     

Global Sustainability Fixed Income ETF

   $ (1,077    $ (882

 

(1)

Presented on Statements of Operations as Net Realized Gain (Loss) of: Futures.

(2)

Presented on Statements of Operations as Net Realized Gain (Loss) of: Forward Currency Contracts.

(3)

Presented on Statements of Operations as Change in Unrealized Appreciation (Depreciation) on: Forward Currency Contracts.

Offsetting of Derivative Assets and Derivative Liabilities:

In order to better define contractual rights and to secure rights that will help mitigate counterparty risk, certain Funds have entered into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or a similar agreement with certain derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between a Fund and a counterparty that governs over-the-counter (OTC) derivatives and

 

37


forward currency contracts and typically contains, among other things, provisions in the event of a default and/or termination event and may also include collateral posting items. Under an ISDA Master Agreement, a Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted, if any, and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out), including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency, or other events.

For financial reporting purposes, a Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities.

The Funds’ derivative assets and liabilities (by type) were as follows:

 

     Global Sustainability Fixed Income
ETF
 
     Assets      Liabilities  

Derivative Financial Instruments:

     

Forward currency contracts (without ISDA)

   $ —        $ —    

Forward currency contracts (with ISDA)

     177        1,059  

Total derivative assets and liabilities in the Statement of Assets and Liabilities

   $ 177      $ 1,059  

Derivative asset and liabilities not subject to a master netting agreement or similar agreement (“MNA”)

     —          —    
  

 

 

    

 

 

 

Total assets and liabilities subject to a MNA

   $ 177      $ 1,059  
  

 

 

    

 

 

 

The following tables present the Funds’ derivative assets and liabilities by counterparty net of amounts available for offset under an MNA and net of the related collateral received and pledged by the Fund:

 

Counterparty

   Derivative
Assets
Subject to
a MNA by
Counterparty
     Derivatives
Available for
Offset
    Non-cash
Collateral
Received (a)
     Cash
Collateral
Received (a)
     Net Amount
of Derivative
Assets
 

Global Sustainability Fixed Income ETF

             

Citigroup

   $ 95      $ (95   $ —        $ —        $ —    

State Street Bank and Trust

     82        (82     —          —          —    
  

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 
   $ 177      $ (177   $ —        $ —        $ —    
  

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

 

(a)

The actual collateral received may be in excess of the amounts shown in the table. The table only reflects collateral amounts up to the amount of the financial instrument disclosed on the Statements of Assets and Liabilities.

 

Counterparty

   Derivative
Liabilities
Subject to
a MNA by
Counterparty
     Derivatives
Available for
Offset
    Non-cash
Collateral
Pledged (b)
     Cash
Collateral
Pledged (b)
     Net Amount
of Derivative
Liabilities
 

Global Sustainability Fixed Income ETF

             

Citigroup

   $ 825      $ (95   $ —        $ —        $ 730  

State Street Bank and Trust

     234        (82     —          —          152  
  

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 
   $ 1,059      $ (177   $ —        $ —        $ 882  
  

 

 

    

 

 

   

 

 

    

 

 

    

 

 

 

 

(b)

The actual collateral pledged may be in excess of the amounts shown in the table. The table only reflects collateral amounts up to the amount of the financial instrument disclosed on the Statements of Assets and Liabilities.

 

38


D. INVESTMENT ADVISORY AND OTHER CONTRACTUAL SERVICES

1. INVESTMENT ADVISORY FEES

Dimensional Fund Advisors LP (the “Advisor”) serves as the investment advisor to the Funds pursuant to an investment management agreement. Subject at all times to the oversight and approval of the Board, the Advisor is responsible for the overall management of the Funds. Dimensional Fund Advisors Ltd. and DFA Australia Limited serve as Sub-Advisors for the International Funds.

For the period ended April 30, 2023, each Fund’s investment management fee was accrued daily and paid monthly to the Advisor based on the following effective annual rate of average daily net assets:

 

     Management
Fee
 

US Sustainability Core 1 ETF

     0.14

International Sustainability Core 1 ETF

     0.20

Emerging Markets Sustainability Core 1 ETF

     0.35

Global Sustainability Fixed Income ETF

     0.20

Pursuant to a Fee Waiver and Expense Assumption Agreement (the “Fee Waiver Agreement”), the Advisor has contractually agreed to waive certain fees, and in certain instances, assume certain expenses of the Funds, as described in the notes below. The Fee Waiver Agreement will remain in effect through February 28, 2024, may only be terminated by the Trust’s Board of Trustees prior to that date and shall continue in effect from year to year thereafter unless terminated by the Trust or the Advisor. During the period ended April 30, 2023, the Funds had expense limits based on a percentage of average net assets on an annualized basis, as listed below. The net amount of waived fees/expenses assumed during the period ended April 30, 2023 are also reflected below (amounts in thousands). At any time that the ETF Fund Expenses (defined below) of a Fund are less than the applicable Expense Limitation Amount listed below, the Advisor retains the right to recover fees previously waived and/or expenses previously assumed to the extent that the expense ratio following such recovery would be less than the Expense Limitation Amount that was in place when such prior year fees were waived and/or expenses assumed, and less than the current Expense Limitation Amount in place for the Fund. The Trust, on behalf of a Fund, is also not obligated to reimburse the Advisor for fees previously waived or expenses previously assumed by the Advisor more than thirty-six months before the date of recovery.

 

     Expense
Limitation
Amount
    Waived
Fees/
Expenses
Assumed
     Recovery of
Previously Waived
Fees/ Expense
Assumed
     Previous Waived
Fees/ Expense
Assumed
Subject to Future
Recovery
 

US Sustainability Core 1 ETF

     0.18   $ 3      $ —        $ 3  

International Sustainability Core 1 ETF

     0.24     42        —          42  

Emerging Markets Sustainability Core 1 ETF

     0.41     66        —          66  

Global Sustainability Fixed Income ETF

     0.24     29        —          29  

The Advisor has contractually agreed to waive all or a portion of its management fee and assume the ordinary operating expenses of the Funds (excluding the expenses that the Funds incurs indirectly through its investment in other investment companies) (“ETF Fund Expenses”) to the extent necessary to limit the ETF Fund Expenses of the Funds, on an annualized basis, to the rate listed above as percentage of average net assets (the “Expense Limitation Amount”).

 

39


2. EARNED INCOME CREDIT

Additionally, certain Funds have entered into arrangements with their custodian whereby net interest earned on uninvested cash balances was used to reduce a portion of each Fund’s custody expenses. Custody expense in the accompanying financial statements is presented before reduction for credits. The impact of such credits is generally less than one basis point of each Fund’s net assets. During the period ended April 30, 2023, expenses reduced were as follows (amounts in thousands):

 

     Fees Paid
Indirectly
 

International Sustainability Core 1 ETF

   $ 2  

Emerging Markets Sustainability Core 1 ETF

     13  

3. ADMINISTRATION, ACCOUNTING, TRANSFER AGENT, AND CUSTODIAN FEES

Citi Fund Services Ohio, Inc. serves as the Funds’ Administrator and Fund Accountant pursuant to a Services Agreement with the Trust. Citibank, N.A. serves as the Funds’ Custodian and Transfer Agent pursuant to a Global Custodial and Agency Services Agreement with the Trust.

4. DISTRIBUTION AND SHAREHOLDER SERVICES FEES

DFA Securities, LLC, a wholly-owned subsidiary of the Advisor, is the principal underwriter and distributor for the Funds’ Shares. The Distributor does not maintain any secondary market in the Funds’ shares.

5. FEES PAID TO OFFICERS AND TRUSTEES

Certain Officers and Trustees of the Advisor are also Officers and Trustees of the Trust; however, such Officers and Trustees (with the exception of the CCO, with respect to the Funds) receive no compensation from the Trust. For the period ended April 30, 2023, the total related amounts paid by the Trust to the CCO was $11 (in thousands). The total related amounts paid by each of the Funds are included in Other Expenses on the Statements of Operations.

E. DEFERRED COMPENSATION

As of April 30, 2023, the total liability for deferred compensation to Trustees is included in Accrued Expenses and Other Liabilities on the Statements of Assets and Liabilities as follows (amounts in thousands):

 

US Sustainability Core 1 ETF

   $ —    

International Sustainability Core 1 ETF

     —    

Emerging Markets Sustainability Core 1 ETF

     —    

Global Sustainability Fixed Income ETF

     —    

F. FEDERAL INCOME TAXES

Each Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code for federal income tax purposes and to distribute substantially all of its taxable income and net capital gains to its shareholders. Accordingly, no provision has been made for federal income taxes.

Distributions from net investment income and net realized capital gains are determined in accordance with U.S. federal income tax regulations, which may differ from those amounts determined under GAAP. These book/tax differences are either temporary or permanent in nature. To the extent that these differences are permanent, they are charged or credited to paid-in capital or distributable earnings, undistributed net investment income or accumulated net realized gains or losses, as appropriate, in the period that the differences arise. Accordingly, the permanent differences can occur as a result of realized gains on securities considered to be “passive foreign investment companies,” non-deductible expenses, realized foreign capital gains tax, the use of accumulated earnings and profits distributed to shareholders on redemptions of shares as part of the dividends paid deduction for

 

40


income tax purposes, net foreign currency gains/losses, distributions received from real estate investment trusts and distribution redesignations, redemption in-kind transactions, and were reclassified to the accounts mentioned above. These reclassifications had no effect on net assets or net asset value per share.

As of April 30, 2023, the total cost and aggregate gross unrealized appreciation (depreciation) of securities for federal income tax purposes were different from amounts reported for financial reporting purposes, as follows (amounts in thousands):

 

     Tax Cost of
Securities
     Unrealized
Appreciation
     Unrealized
Depreciation
     Net Unrealized
Appreciation
(Depreciation)
 

US Sustainability Core 1 ETF

   $ 385,905      $ 27,691      $ (13,012    $ 14,679  

International Sustainability Core 1 ETF

     170,652        20,512        (1,709      18,803  

Emerging Markets Sustainability Core 1 ETF

     115,157        14,604        (4,056      10,548  

Global Sustainability Fixed Income ETF

     127,308        3,378        (259      3,119  

The difference between GAAP-basis and tax-basis unrealized gains (losses) can occur as a result of wash sales, net mark-to-market gains (losses) on regulated futures contracts, net mark-to-market gains (losses) on foreign currency contracts, and differences in the tax treatment of passive foreign investment company investments or other investments.

ASC 740 Accounting for Uncertainty in Income Taxes sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. Management has analyzed the Funds’ tax positions for all open years and has concluded that no additional provision for income tax is required in the Funds’ financial statements. The Funds are not aware of any tax positions for which it is more likely than not that the total amounts of unrecognized tax benefits will significantly change in the next twelve months. The Funds’ federal tax returns for the prior three fiscal years, if applicable, remain subject to examination by the Internal Revenue Service.

G. SECURITIES LENDING

As of April 30, 2023, the Funds had securities on loan to brokers/dealers for which the Funds received cash collateral. Additionally, the Funds received non-cash collateral consisting of short-and/or long-term U.S. Treasuries and U.S. government agency securities as follows (amounts in thousands):

 

     Non-Cash
Collateral
Market
Value
 

International Sustainability Core 1 ETF

   $ 224  

Emerging Markets Sustainability Core 1 ETF

     458  

Each Fund with securities on loan invests the cash collateral, as described below, and records a liability for the return of the collateral during the period the securities are on loan. Loans of securities are expected at all times to be secured by collateral in an amount (i) equal to at least 100% of the current market value of the loaned securities with respect to securities of the U.S. government or its agencies, (ii) generally equal to 102% of the current market value of the loaned securities with respect to U.S. securities, and (iii) generally equal to 105% of the current market value of the loaned securities with respect to foreign securities. However, daily market fluctuations could cause the Funds’ collateral to be lower or higher than the expected thresholds. If this were to occur, the collateral would be adjusted the next business day to ensure adequate collateralization. In the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings. If the borrower fails to return loaned securities, cash collateral being maintained by the borrower is insufficient to cover the value of loaned securities, and such collateral insufficiency is not the result of investment losses, the lending agent has

 

41


agreed to pay the amount of the shortfall to the Fund or, at the option of the lending agent, to replace the securities. In the event of the bankruptcy of the borrower, the Fund could experience delay in recovering the loaned securities or only recover cash or a security of equivalent value.

Subject to its stated investment policies, a Fund with securities on loan will generally invest the cash collateral received for the loaned securities in The DFA Short Term Investment Fund (the “Money Market Series”), an affiliated registered money market fund advised by the Advisor for which the Advisor receives a management fee of 0.05% of the average daily net assets of the Money Market Series. Income received from the Money Market Series is netted with fees for securities lending and collateral investment expenses and with other payments to and from borrowers of securities. The Funds also may invest the cash collateral received for the loaned securities in securities of the U.S. government or its agencies, repurchase agreements collateralized by securities of the U.S. government or its agencies, and affiliated or unaffiliated money market funds that are registered or unregistered. For purposes of this paragraph, agencies include both agency debentures and agency mortgage-backed securities. Additionally, a Fund will be able to terminate the loan at any time and will receive reasonable interest on the loan, as well as amounts equal to any dividends, interest or, other distributions on the loaned securities. However, dividend income received from loaned securities may not be eligible for taxation at qualified dividend income rates.

The following table reflects a breakdown of transactions accounted for as secured borrowings, the gross obligation by the type of collateral pledged, and the remaining contractual maturity of those transactions as of April 30, 2023 (amounts in thousands):

 

     Remaining Contractual Maturity of Ingredients  
     Overnight
and
Continuous
     <30
days
     Between 30
and 90 days
     >90
days
     Total  

US Sustainability Core 1 ETF

              

Common Stocks

   $ 4,567      $ —        $ —        $ —        $ 4,567  

International Sustainability Core 1 ETF

              

Common Stocks

     3,391          —            —            —          3,391  

Emerging Markets Sustainability Core 1 ETF

              

Common Stocks

     230        —          —          —          230  

Global Sustainability Fixed Income ETF

              

Common Stocks

     881        —          —          —          881  

H. AFFILIATED TRADES

Cross trades for the period ended April 30, 2023, if any, were executed by the Funds pursuant to procedures adopted by the Board of Trustees of the Trust to ensure compliance with Rule 17a-7 under the 1940 Act. Cross trading is the buying or selling of fund securities between series of investment companies, or between a series of an investment company and another entity, that are or could be considered affiliates by virtue of a common investment advisor (or affiliated investment advisors), common Trustees and/or common Officers. At its regularly scheduled meetings, the CCO certifies to the Board that the 17a-7 transactions entered into by the Funds complied with the Rule 17a-7 Procedures adopted by the Board of Trustees of the Trust. For the period ended April 30, 2023, the Funds did not engage in any Rule 17a-7 transactions under the Rule.

 

42


I. INVESTMENT TRANSACTIONS

Purchases and sales of investments, excluding in-kind transactions and short-term investments, for the period ended April 30, 2023 were as follows (amounts in thousands):

 

     US Government
Securities
     Other Investment
Securities
 
     Purchases      Sales      Purchases      Sales  

US Sustainability Core 1 ETF

   $ —        $ —        $ 1,756      $ 953  

International Sustainability Core 1 ETF

     —          —          21,581        7,490  

Emerging Markets Sustainability Core 1 ETF

     —          —          108,339        5,854  

Global Sustainability Fixed Income ETF

     15,896        1,283        43,381        2,719  

In-kind transactions for the period ended April 30, 2023 were as follows (amounts in thousands):

 

     US Government
Securities
     Other Investment
Securities
 
     Purchases      Sales      Purchases      Sales  

US Sustainability Core 1 ETF

   $ —        $ —        $ 387,427      $ 6,687  

International Sustainability Core 1 ETF

     —          —          154,134        —    

Emerging Markets Sustainability Core 1 ETF

     —          —          12,945        —    

Global Sustainability Fixed Income ETF

     15,464        —          58,851        —    

J. CAPITAL SHARES TRANSACTIONS

Shares are issued and redeemed by each Fund only in aggregations of a specified number of shares or multiples thereof at NAV. Except when aggregated in Creation Units, shares of each Fund are not redeemable. Transactions in shares for each Fund are disclosed in detail on the Statement of Changes in Net Assets.

The consideration for the purchase of Creation Units of a Fund generally consists of the in-kind deposit of a designated basket of securities, which constitutes an optimized representation of the securities of that Fund’s specified universe, and an amount of cash. Investors purchasing and redeeming Creation Units may be charged a transaction fee to cover the transfer and other transactional costs it incurs to issue or redeem Creation Units. The Advisor may increase, decrease or otherwise modify the creation transaction fee to an amount that, in its judgment, is necessary or appropriate to recoup for the Fund the costs it may incur as a result of such purchases, or to otherwise eliminate or reduce so far as practicable any dilution of the value of the Shares.

Such transactions fees are treated as increases in capital and are disclosed in the Funds’ Statements of Changes in Net Assets.

From time to time, settlement of securities related to subscriptions-in-kind or redemptions-in-kind may be delayed. In such cases, securities related to in-kind contributions are reflected as “Due from custodian” and securities related to in-kind redemptions are reflected as “Securities payable related to in-kind transactions” on the Statements of Assets and Liabilities.

K. FINANCIAL INSTRUMENTS

In accordance with the Funds’ investment objectives and policies, the Funds may invest in certain financial instruments that have off-balance sheet risk in excess of the amounts recognized in the financial statements and concentrations of credit and market risk. These instruments and their significant corresponding risks are described below:

Foreign Market Risks: Investments in foreign markets may involve certain considerations and risks not typically associated with investments in the United States of America, including the possibility of future political and economic developments and the level of foreign governmental supervision and regulation of foreign securities markets. These markets are generally smaller, less liquid and more volatile than the major securities markets in the United States of America. Consequently, acquisition and disposition of international securities held by the Funds may be inhibited.

 

43


L. LINE OF CREDIT AND INTERFUND LENDING PROGRAM

The Trust, together with other Dimensional-advised funds, has entered into a $700 million unsecured line of credit with its custodian bank effective December 28, 2022. A line of credit with similar terms was in effect through December 28, 2022. Each Fund is permitted to borrow, subject to its investment limitations, up to a maximum of the lower of one-quarter of such Fund’s net assets or $500 million, as long as total borrowings under the line of credit do not exceed $700 million in the aggregate. Each Fund is individually, and not jointly, liable for its particular advances under the line of credit. Borrowings under the line of credit are charged interest at rates agreed upon by the parties at the time of borrowing. There is no commitment fee on the unused portion of the line of credit. The line of credit agreement expires on December 27, 2023.

For the period ended April 30, 2023, borrowings by the following Fund under the line of credit were as follows (amounts in thousands, except percentages and days):

 

     Weighted
Average
Interest
Rate
    Weighted
Average
Loan
Balance
     Number
of Days
Outstanding*
     Interest
Expense
Incurred
     Maximum
Amount
Borrowed
During the
Year
     Outstanding
Borrowings as
of 4/30/23
 

Emerging Markets Sustainability Core 1 ETF

     5.38   $ 29        10      $      $ 62      $  

 

*

Number of Days Outstanding represents the total of single or consecutive days during the period ended April 30, 2023, that the Fund’s available line of credit was used.

Pursuant to an exemptive order issued by the SEC (the “Order”), the Funds may participate in an interfund lending program among certain portfolios managed by the Advisor (funds that operate as feeder funds do not participate in the program). The program allows the participating funds to borrow money from and loan money to each other for temporary or emergency purposes, subject to the conditions in the Order. A loan can only be made through the program if the interfund loan rate on that day is more favorable to both the borrowing and lending funds as compared to rates available through short-term bank loans or investments in overnight repurchase agreements and money market funds, respectively, as detailed in the Order. Further, a fund may participate in the program only if and to the extent that such participation is consistent with its investment objectives and limitations. Interfund loans have a maximum duration of seven days and may be called on one business day’s notice.

The Funds did not use the interfund lending program during the period ended April 30, 2023.

M. RECENTLY ISSUED ACCOUNTING STANDARDS AND REGULATIONS

In March 2020, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2020-04, Reference Rate Reform (Topic 848) – Facilitation of the Effects of Reference Rate Reform on Financial Reporting. In January 2021, the FASB issued ASU No. 2021-01, with further amendments to Topic 848. The amendments in the ASUs provide optional temporary accounting recognition and financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the LIBOR and other interbank-offered based reference rates as of the end of 2021 and 2023. The ASUs were effective for certain reference rate-related contract modifications that occurred during the period March 12, 2020 through December 31, 2022. Management has reviewed the requirements and determined the adoption of these ASUs will not have a material impact on the Funds’ financial statements.

N. OTHER

The Funds are subject to claims and suits that arise from time to time in the ordinary course of business (for example, claw back litigation against former shareholders of fund companies that filed for bankruptcy, such as the now ended litigation involving The Tribune Company and the ongoing litigation involving Nine West). Although management currently believes that resolving claims against the Funds, individually or in aggregate, will not have a material adverse impact on the Funds’ financial position, results of operations, or cash flows, these matters are subject to inherent uncertainties and management’s view of these matters may change in the future.

 

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As of April 30, 2023, the following number of shareholders held the following approximate percentages of the Funds’ outstanding shares. The following shareholders are omnibus accounts, which typically hold shares for the benefit of several other underlying investors.

 

     Number of
Shareholders
     Approximate
Percentage of
Outstanding
Shares
 

US Sustainability Core 1 ETF

     1        100

International Sustainability Core 1 ETF

     1        100

Emerging Markets Sustainability Core 1 ETF

     1        100

Global Sustainability Fixed Income ETF

     1        100

O. SUBSEQUENT EVENTS

Management has evaluated the impact of all subsequent events on the Funds through the date on which the financial statements were issued and has determined that there are no subsequent events requiring recognition or disclosure in the financial statements

 

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VOTING PROXIES ON FUND PORTFOLIO SECURITIES

A description of the policies and procedures that the Fund and the Trust use in voting proxies relating to securities held in the portfolios is available (1) without charge, upon request, by calling collect: (512) 306-7400 (2) from the Advisor’s website at www.dimensional.com; and (3) on the SEC’s website at http://www.sec.gov. Information regarding how the Advisor votes these proxies is available from the EDGAR database on the SEC’s website at http://www.sec.gov and from the Advisor’s website at http://us.dimensional.com and reflects the twelve-month period beginning July 1st and ending June 30th.

 

46


STATEMENT REGARDING LIQUIDITY RISK MANAGEMENT PROGRAM

Each series/portfolio of DFA Investment Dimensions Group Inc., Dimensional Investment Group Inc., Dimensional Emerging Markets Value Fund, Dimensional ETF Trust and The DFA Investment Trust Company, except for The DFA Short Term Investment Fund (each, a “Fund”), has adopted and implemented a written liquidity risk management program (the “Program”) pursuant to Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”). The Program includes policies and procedures reasonably designed to assess and manage each Fund’s liquidity risk (which is defined as the “risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund”) and to comply with the requirements of the Liquidity Rule, including with respect to: (i) assessment, management and periodic review of liquidity risk; (ii) classification of portfolio holdings; (iii) establishment of a highly liquid investment minimum (“HLIM”), as applicable; (iv) illiquid investments; and (v) redemptions in-kind.

Each Fund’s Board of Directors/Trustees (collectively, the “Board”) previously approved the designation of the Liquidity Risk Management Committee of Dimensional Fund Advisors LP, each Fund’s investment advisor, to serve as administrator of the Program (the “Program Administrator”). The Program Administrator oversees the monitoring of liquidity and liquidity risk for each Fund on an ongoing basis.

At a meeting of the Board held on March 23-24, 2023, the Program Administrator provided its annual written report (the “Report”) to the Board addressing the operation of the Program and assessing its adequacy and effectiveness of implementation and any material changes to the Program for the period from January 1, 2022 through December 31, 2022 (the “Reporting Period”).

The Program Administrator conducted an annual review of each Fund’s liquidity risk in accordance with the requirements of the Liquidity Rule, taking into account the following factors enumerated in the Liquidity Rule and identified in the Program, as applicable:

1) Each Fund’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions, including: (i) whether the Fund’s investment strategy is appropriate for an open-end fund; (ii) the extent to which the Fund’s strategy involves a relatively concentrated portfolio or large positions in particular issuers; (iii) the Fund’s use of borrowings for investment purposes; and (iv) the Fund’s use of derivatives;

2) Short-term and long-term cash flow projections during both normal and reasonably foreseeable stressed conditions;

3) Holdings of cash and cash equivalents, as well as borrowing arrangements and other funding sources; and

4) For the series of the Dimensional ETF Trust that operate as exchange-traded funds (“ETFs”), in addition to the factors above: (i) the relationship between the ETF’s portfolio liquidity and the way in which, and the prices and spreads at which, ETF shares trade, including, the efficiency of the arbitrage function and the level of active participation by market participants (including authorized participants); and (ii) the effect of the composition of baskets on the overall liquidity of the ETF’s portfolio.

Based on the information considered, which included a review of notable liquidity matters that arose during the Reporting Period, such as the impacts of sanctions regimes adopted by various government and regulatory bodies on Russian securities in response to the Russia-Ukraine conflict and extended market holidays, on the Funds’ portfolio liquidity, as applicable, the Report concluded that each of the Funds continues to have an investment strategy that is appropriate for an open-end fund, and that each of the Funds is reasonably likely to be able to meet redemption requests without significant dilution of remaining shareholders’ interests in the Fund. The Report further noted the flexibility of the Funds to draw on a line of credit and/or engage in interfund lending, as applicable.

In accordance with the Program, each Fund’s portfolio investments were classified into one of four liquidity categories as provided in the Liquidity Rule as applicable during the Reporting Period. Liquidity classification determinations take into account a variety of factors including market, trading and investment-specific considerations, as well as market depth in accordance with the requirements of the Liquidity Rule and as specified in the Program,

 

47


STATEMENT REGARDING LIQUIDITY RISK MANAGEMENT PROGRAM

CONTINUED

and generally incorporate analysis from a third-party data vendor. The Report reviewed the adequacy of the vendor methodology and services provided to the Funds during the Reporting Period and noted that the liquidity model functioned as intended.

Pursuant to the Liquidity Rule, no Fund may acquire any illiquid investment if, after the acquisition, the Fund would have invested more than 15% of its assets in illiquid investments that are assets. The Report concluded that the Program includes provisions reasonably designed to comply with the 15% limit on illiquid investments and for determining, periodically reviewing and complying with the HLIM requirements, as applicable, and that such provisions were implemented effectively during the Reporting Period.

In addition, the Report also referenced the ability of each Fund to effect in-kind redemptions to manage liquidity as needed and actual in-kind transactions pursuant to the Funds’ applicable policies and procedures effected during the Reporting Period. The Report further noted that the ETFs settle redemptions in-kind with authorized participants in the primary market.

During the Reporting Period, each of the Funds that is subject to the HLIM provisions of the Program qualified as a fund that primarily holds assets that are highly liquid investments and, therefore, no Fund was required to establish or comply with an HLIM as set forth in the Program.

On the basis of the review, the Report concluded that: (i) the Program remains reasonably designed to manage each Fund’s liquidity risk; (ii) the Program was implemented and operated effectively to achieve the goal of assessing and managing each Fund’s liquidity risk during the Reporting Period; and (iii) each Fund was able to meet requests for redemption without significant dilution of remaining investors in the Fund during the Reporting Period.

 

48


BOARD APPROVAL OF INVESTMENT MANAGEMENT AGREEMENTS

At the Board meeting held on December 19-20, 2022 (the “Meeting”), the Board of Trustees of Dimensional ETF Trust (the “Board”) considered the continuation of the investment management agreements for each Portfolio (collectively, the “Funds”) and a Fund’s sub-advisory agreements. Dimensional Fund Advisors Ltd. or DFA Australia Limited serves as a sub-advisor. (The investment management agreements and the sub-advisory agreements are referred to as the “Management Agreements,” and the Advisor and sub-advisors are referred to as the “Advisor.”)

Prior to the Meeting, independent counsel to the Independent Board Members sent to the Advisor a request for information, which identified the information that the Independent Board Members wished to receive in order to consider the continuation of the Management Agreements. At a Board meeting held on October 31, 2022, the Board discussed the materials provided by the Advisor, the independent reports prepared by Broadridge Financial Solutions (the “Broadridge Reports”), and issues related to the continuation of the Management Agreements. Also in advance of the Meeting, the Independent Board Members met with their independent counsel to discuss the materials and management provided additional materials to address and respond to questions that the Independent Board Members posed after their review and analysis of materials provided by the Advisor and the Broadridge Reports.

At the Meeting, the Board considered a number of factors when considering the continuation of each Management Agreement for a Fund, including: (i) the nature, extent and quality of services provided by the Advisor to each Fund; (ii) the performance of each Fund and the Advisor; (iii) the fees and expenses borne by each Fund; (iv) the profitability realized by the Advisor from the relationship with each Fund; and (v) whether economies of scale are realized by the Advisor with respect to each Fund as it grows larger, and the extent to which this is reflected in the level of the management fee charged.

When considering the nature and quality of the services provided by the Advisor to a Fund, the Board reviewed: (a) the scope and depth of the Advisor’s organization; (b) the experience and expertise of its investment professionals currently providing management services to the Fund; and (c) the Advisor’s investment global advisory capabilities. The Board evaluated the Advisor’s portfolio management process and discussed the unique features of the Advisor’s investment approach. The Board also considered the nature and character of non-investment advisory services provided by the Advisor, including administrative services. After analyzing the caliber of services provided by the Advisor to each Fund, both quantitatively and qualitatively, including the impact of these services on investment performance, the Board concluded that the nature, extent and quality of services provided to each Fund were consistent with the operational requirements of the Fund and met the needs of the shareholders of the Fund.

In considering the performance of each Fund, the Board analyzed the Broadridge Reports, which compared the performance of each Fund with other funds in its respective peer group and investment category. The Board also reviewed the performance analysis prepared by the Advisor, which presented the performance of each Fund and its benchmark index, over multiple performance periods, along with the Advisor’s explanation of the performance. The Board concluded that the Advisor’s explanations provided a sound basis for understanding the comparative performance of the Funds. The Board determined, among other things, that after considering each Fund’s investment strategies and the expectations of its shareholder base, the performance of each Fund was reasonable as compared with relevant performance standards and appropriate market indexes.

When considering the fees and expenses borne by each Fund, and considering the reasonableness of the management fees paid to the Advisor in light of the services provided to the Fund and any additional benefits received by the Advisor in connection with providing such services, the Board compared the fees charged by the Advisor to the Fund to the fees charged to the funds in its peer group for comparable services as provided in the Broadridge Reports. The Board concluded that the effective management fees and total expenses of each Fund over various periods were favorable in relation to those of its peer funds, and that the management fees were fair, both on an absolute basis and in comparison with the fees of other funds identified in the peer groups and the industry at large.

 

49


BOARD APPROVAL OF INVESTMENT MANAGEMENT AGREEMENTS

CONTINUED

The Board considered the profitability of each Fund to the Advisor by reviewing the profitability analysis provided by the Advisor, including information about its fee revenues and income. The Board reviewed the overall profitability of the Advisor, and the compensation that it received for providing services to each Fund. The Board considered the profitability to the Advisor of managing and servicing the Funds and the Advisor’s unregistered clients, such as collective trusts, group trusts and separate accounts. Upon closely examining the Advisor’s profitability, the Board concluded, among other things, that it was reasonable and similar to the profitability reported in previous years.

The Board also discussed whether economies of scale are realized by the Advisor with respect to each Fund as it grows larger, and the extent to which this is reflected in the level of management fees charged. For several reasons, the Board concluded that economies of scale and the reflection of such economies of scale in the level of management fees charged were not particularly meaningful to each Fund at the present time, due to the current level of fees and expenses and the profitability of the Fund.

After full consideration of the factors discussed above, with no single factor identified as being of paramount importance, the Board, including the Independent Board Members, with the assistance of independent counsel, concluded that the continuation of the Management Agreement for each Fund was in the best interests of the Fund and its shareholders.

 

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