UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-07989
Metropolitan West Funds
(Exact name of registrant as specified in charter)
865 South Figueroa Street
Los Angeles, CA 90017
(Address of principal executive offices) (Zip code)
David B. Lippman
Metropolitan West Funds
865 South Figueroa Street
Los Angeles, CA 90017
(Name and address of agent for service)
Registrant’s telephone number, including area code: (213) 244-0000
Date of fiscal year end: March 31
Date of reporting period: September 30, 2014
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Reports to Stockholders.
The Report to Shareholders is attached herewith.
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| Metropolitan West Funds | | | September 30, 2014 (Unaudited) | |
| Table of Contents | | | | |
METROPOLITAN WEST FUNDS
Dear Fellow Shareholder,
We are pleased to present this Annual Report for the Metropolitan West Funds for the period ended September 30, 2014. With your continued investment in and ongoing sponsorship of the Funds, assets grew to over $41 billion by the end of September 2014. As fund advisor, MetWest appreciates this steady growth not only as an indicator that we continue to meet the portfolio needs of our clients, but as a basis to maintain and enhance the resources of the investment team to deliver returns in all types of market environments.
The September 30, 2014 Annual Report for the Metropolitan West Funds covers the following:
| | |
| Metropolitan West Ultra Short Bond Fund | | M-Class (MWUSX), I-Class (MWUIX) |
| Metropolitan West Low Duration Bond Fund | | M-Class (MWLDX), I-Class (MWLIX), Administrative-Class (MWLNX) |
| Metropolitan West Intermediate Bond Fund | | M-Class (MWIMX), I-Class (MWIIX) |
| Metropolitan West Total Return Bond Fund | | M-Class (MWTRX), I-Class (MWTIX), Administrative-Class (MWTNX), Plan-Class (MWTSX) |
| Metropolitan West High Yield Bond Fund | | M-Class (MWHYX), I-Class (MWHIX) |
| Metropolitan West Unconstrained Bond Fund | | M-Class (MWCRX), I Class (MWCIX) |
| Metropolitan West Floating Rate Income Fund | | M-Class (MWFLX), I Class (MWFIX) |
| Metropolitan West Strategic Income Fund | | M-Class (MWSTX), I Class (MWSIX) |
| Metropolitan West AlphaTrak 500 Fund | | M-Class (MWATX) |
Economic Review and Market Environment
While the harsh winter dampened first quarter data, the effects faded in the second quarter as manufacturing, housing, and employment showed improvements and both equities and fixed income sectors rallied, suggesting the unlikelihood of a recession. Continuing into the third quarter, volatility picked up in August as speculation about the Federal Reserve’s (Fed) plans for a post-QE regime in the US intensified despite encouraging signs of economic improvement. Final second quarter GDP indicated an annualized pace of expansion at 4.6% and growth in non-farm payrolls showed eight straight months of 200,000+ new jobs in pushing the unemployment rate to below 6%. Various factors have come together to support improved domestic economic conditions, including continued private sector deleveraging, easing fiscal drag and, of course, ongoing accommodation from the Fed. The healthier economy has smoothed the way for reduced purchases of US Treasury and agency mortgage securities by the Fed as 2014 has played out. As the QE asset purchases near an end in October, the focus will be on the Fed Funds rate, namely, when hikes might start and once they do, the pace of normalization from the longstanding zero interest rate policy.
As always, reality confounds well-calibrated economic models, so even as the Fed plots its exit strategy for QE, economic challenges in the rest of the world have renewed programs of aggressive monetary stimulus. With growth slipping in Europe, and bearing the brunt of the sanctions imposed on Russia for invading Ukraine, the European Central Bank (ECB) has hinted strongly they may embark on another round of quantitative easing, with Chairman Mario Draghi committing to do “whatever it takes”. Similarly, Japan’s economy remains mired in the doldrums with the initial promise of “Abe-nomics” fading as tax hikes take a toll. Further, falling property prices and an increasing burden of bad debt are weighing on Chinese growth, with monetary authorities so far unwilling to embark on another round of general easing. Despite the clear divergence in growth trajectories between the US and other economies, global interest rates have been directionally consistent, with yields falling (not least in some of the European peripherals, with funding shockingly cheaper than the US in some cases). It remains to be seen whether developed market interest rates will decouple from one another and move according to the fundamentals of their underlying economies or if, more likely, central banks will work to keep them low.
Following a surprisingly strong first half of 2014, volatility returned during the third quarter as capital markets grappled with some apparent valuation inconsistencies. While a flight-to-quality trade drove US Treasury rates to 2014 lows and caused most non-government fixed income sectors to underperform government debt, equity markets continued their ascent with the S&P 500 Index surpassing 2,000 for the first time in history. Despite softness in non-agency MBS during the quarter, positive carry associated with cash flows helped to drive a positive return in excess of all other fixed income sectors. Additionally, fundamentals such as voluntary prepayments continued to improve, while new issuance remained minimal. Quarterly returns for asset-backed securities (ABS) were flat, though floating rate issues posted a small positive return and continued to outpace fixed rate ABS by a significant margin for 2014. Spreads were slightly wider among credit card and auto ABS, but were modestly tighter for equipment and student loan issues as fundamentals continued to improve. Agency MBS gained 0.2%, but trailed duration-matched US Treasuries by nearly 30 bps as spreads widened modestly. Uncertainty surrounding the timing of changes to the Fed’s accommodative policy pushed mortgages wider in July and August, though increased sponsorship from yield based buyers drove tightening in September as the US Treasury sell-off created attractive opportunities.
1 / Semi-Annual Report September 2014
Corporate credit was weighed down by weakening liquidity conditions, merger and acquisition headlines (especially among industrial sectors such as food and beverage and pharmaceuticals), the Treasury Department’s anti-tax inversion rules, and heavy new issuance. Commodity-related sectors such as energy and metals and mining experienced significant widening as commodity price pressures continued. High yield corporates struggled the most, falling almost 2% with risk premiums increasing by nearly 90 bps as the broad conditions weakened sponsorship, prompting outflows. Not surprisingly, emerging market debt also saw spreads widen, though to a lesser degree than high yield.
The Economy and Market Ahead
{lp;9qGrowth in the US, though still not robust, appears to be picking up and moving out of the recent range near 2%. Barring any unforeseen and unexpected exogenous events, growth in the 2.5% to 3% range seems achievable. The Fed’s prolonged period of stimulus has pushed interest rates lower, squeezed volatility out of markets and encouraged speculation in credit markets by keeping money cheap and driving investors out the risk spectrum in their search for yield. However, as tapering concludes and the Fed enacts a normalization of policy through its exit strategy, there will be upward pressure on rates, particularly if inflation appears. As a result, Fund strategy continues to be largely influenced by a view that interest rate pressures will heighten over time and that late-stage credit cycle dynamics such as increased leverage and looser underwriting standards warrant a cautious and selective investment strategy. Interest rate risk is constrained via a shorter-than-Index duration position and credit risk is managed via selective asset allocation across non-government fixed income sectors.
Thematically, strategy across the Funds remains consistent heading into the fourth quarter of 2014, driven by a view that interest rate pressures will heighten over time and that late-stage credit cycle dynamics such as increased leverage and looser underwriting standards warrant a cautious and selective investment strategy. Interest rate risk is constrained via a shorter-than-Index duration position and selective asset allocation across non-government fixed income sectors. Non-agency MBS continues to offer some of the most compelling opportunities in the fixed income universe and therefore continues to represent a sizable allocation within the Funds where suitable, with positioning reflecting a high degree of selectivity as differentiation of collateral pools become increasingly important. ABS and commercial MBS also continue to appear relatively attractive, with security selection focused on non-traditional ABS collateral types such as student loans while the emphasis among commercial MBS has shifted to agency-backed issues with some exposure to super-senior tranches of seasoned and de-levered non-agency commercial MBS.
Corporate credit has become marginally less attractive with deteriorating underwriting standards and low yield compensation, thus informing an underweight, particularly among industrial credits. However, financials and utilities continue to represent an overweight as both are somewhat protected from increasing leverage due to regulatory oversight. Outside of the investment grade space, bank loans and high yield corporates remain a modest allocation, with a tilt toward issues that are higher in the capital structure and have shorter durations to reduce exposure to interest rate volatility. In the High Yield Fund, this approach manifests itself in a tilt away from the lower quality and less well-collateralized segments of the market, reducing potential risk as the credit cycle ages.
Data sources for the discussion above include Bloomberg, Barclays, and Merrill Lynch.
Fund Results
General Performance Commentary
Performance across the Funds was generally favorable over the past year despite a drag from the defensive duration position as issue selection proved beneficial on a relative return basis given superior bottoms up security selection. The ongoing allocation to non-agency residential mortgage-backed securities where allowed was also additive, as the sector benefitted from solid sponsorship as well as improving fundamentals such as appreciating home prices and declining default rates. Commercial MBS and asset-backed securities (ABS) also remained well bid, particularly non-traditional ABS such as student loan ABS which can provide higher quality collateral and robust structures while still offering a reasonable yield premium over Treasuries or comparable corporates. Given the record setting returns of the S&P 500, the AlphaTrak 500 Fund in particular has benefitted to gain more than 6% in the past six months and more than 20% in the year ended September 30, 2014.
The HighYield Fund gained just over 5% over the year, though a relative overweight to metals and minings credits resulted in a drag as slowing global growth weighed on demand for commodity-based credits. Nevertheless, the risk-adjusted return profile for the Fund remains very appealing and the Fund should be well-poised to capitalize as the credit cycle continues to mature and volatility picks up. Overall, the Fund continues to exhibit favorable default and loss-given-default measures, which is anticipated to benefit the Fund as the market becomes more discriminating in the quarters ahead.
The performance data presented below represents past performance and is no guarantee of future results. Total returns include reinvestment of dividends and distributions. Current performance may be lower or higher than the performance data presented. Performance data current to the most recent month end is available on the Fund’s website at TCW.com. Investment returns and principal value will fluctuate with market conditions. The value of an investment in the Fund, when redeemed, may be worth more or less than its original purchase cost.
Semi-Annual Report September 2014 / 2
Metropolitan West Ultra Short Bond Fund
M-Class (MWUSX), I-Class (MWUIX)
| | | | | | | | | | | | |
| | | Performance Through September 30, 2014 |
| | | 6 Months
(Cumulative) | | 1 Year
(Annualized) | | 3 Year
(Annualized) | | 5 Year
(Annualized) | | 10 Year
(Annualized) | | Since Inception
(Annualized) |
MWUSX (Inception: June 30, 2003) | | 0.36% | | 0.96% | | 2.48% | | 4.34% | | 1.75% | | 2.23% |
BofA Merrill Lynch 1-Year U.S. Treasury Index | | 0.17% | | 0.26% | | 0.28% | | 0.46% | | 2.03% | | 1.91% |
MWUIX (Inception: July 31, 2004) | | 0.21% | | 1.13% | | 2.64% | | 4.51% | | 1.91% | | 1.92% |
BofA Merrill Lynch 1-Year U.S. Treasury Index | | 0.17% | | 0.26% | | 0.28% | | 0.46% | | 2.03% | | 2.02% |
For MWUSX, the total expense ratio is 0.63% and the net expense ratio is 0.50%. For MWUIX, the total expense ratio is 0.44% and the net expense ratio is 0.34%.
Metropolitan West Low Duration Bond Fund
M-Class (MWLDX), I-Class (MWLIX), Administrative-Class (MWLNX)
| | | | | | | | | | | | |
| | | Performance Through September 30, 2014 |
| | | 6 Months
(Cumulative) | | 1 Year
(Annualized) | | 3 Year
(Annualized) | | 5 Year
(Annualized) | | 10 Year
(Annualized) | | Since Inception
(Annualized) |
MWLDX (Inception: March 31, 1997) | | 0.81% | | 1.86% | | 3.78% | | 5.18% | | 3.27% | | 4.25% |
BofA Merrill Lynch 1-3 Year U.S. Treasury Index | | 0.31% | | 0.50% | | 0.48% | | 1.03% | | 2.52% | | 3.75% |
MWLIX (Inception: March 31, 2000) | | 0.91% | | 2.07% | | 3.98% | | 5.38% | | 3.47% | | 3.86% |
BofA Merrill Lynch 1-3 Year U.S. Treasury Index | | 0.31% | | 0.50% | | 0.48% | | 1.03% | | 2.52% | | 3.34% |
MWLNX (Inception: September 22, 2009) | | 0.69% | | 1.65% | | 3.58% | | 4.96% | | – | | 5.14% |
BofA Merrill Lynch 1-3 Year U.S. Treasury Index | | 0.31% | | 0.50% | | 0.48% | | 1.03% | | – | | 1.06% |
| | | | | | | | | | | | | |
For MWLDX, the total expense ratio is 0.61% and the net expense ratio is 0.60%. For MWLIX, the total expense ratio is 0.40% and the net expense ratio is 0.40%. For MWLNX, the total expense ratio is 0.80% and the net expense ratio is 0.80%.
Metropolitan West Intermediate Bond Fund
M-Class (MWIMX), I-Class (MWIIX)
| | | | | | | | | | | | |
| | | Performance Through September 30, 2014 |
| | | 6 Months
(Cumulative) | | 1 Year
(Annualized) | | 3 Year
(Annualized) | | 5 Year
(Annualized) | | 10 Year
(Annualized) | | Since Inception
(Annualized) |
MWIMX (Inception: June 30, 2003) | | 1.29% | | 2.62% | | 4.23% | | 6.16% | | 5.21% | | 5.18% |
Barclays Capital Intermediate U.S. Government/Credit Index | | 1.20% | | 2.20% | | 2.01% | | 3.42% | | 4.05% | | 3.83% |
MWIIX (Inception: June 28, 2002) | | 1.39% | | 2.94% | | 4.45% | | 6.38% | | 5.43% | | 6.22% |
Barclays Capital Intermediate U.S. Government/Credit Index | | 1.20% | | 2.20% | | 2.01% | | 3.42% | | 4.05% | | 4.38% |
For MWIMX, the total expense ratio is 0.70% and the net expense ratio is 0.67%. For MWIIX, the total expense ratio is 0.46% and the net expense ratio is 0.46%.
Metropolitan West Total Return Bond Fund
M-Class (MWTRX), I-Class (MWTIX), Administrative-Class (MWTNX), Plan-Class (MWTSX)
| | | | | | | | | | | | |
| | | Performance Through September 30, 2014 |
| | | 6 Months
(Cumulative) | | 1 Year
(Annualized) | | 3 Year
(Annualized) | | 5 Year
(Annualized) | | 10 Year
(Annualized) | | Since Inception
(Annualized) |
MWTRX (Inception: March 31, 1997) | | 2.45% | | 4.81% | | 5.51% | | 7.05% | | 6.55% | | 7.05% |
Barclays Capital U.S. Aggregate Bond Index | | 2.21% | | 3.96% | | 2.43% | | 4.12% | | 4.62% | | 5.80% |
MWTIX (Inception: March 31, 2000) | | 2.48% | | 4.95% | | 5.71% | | 7.26% | | 6.77% | | 6.96% |
Barclays Capital U.S. Aggregate Bond Index | | 2.21% | | 3.96% | | 2.43% | | 4.12% | | 4.62% | | 5.61% |
MWTNX (Inception: December 18, 2009) | | 2.37% | | 4.64% | | 5.31% | | – | | – | | 6.34% |
Barclays Capital U.S. Aggregate Bond Index | | 2.21% | | 3.96% | | 2.43% | | – | | – | | 4.06% |
MWTSX (Inception: August 1, 2011) | | 2.57% | | 5.13% | | 5.62% | | – | | – | | 5.46% |
Barclays Capital U.S. Aggregate Bond Index | | 2.21% | | 3.96% | | 2.43% | | – | | – | | 3.00% |
3 / Semi-Annual Report September 2014
For MWTRX, the total expense ratio is 0.68% and the net expense ratio is 0.67%. For MWTIX, the total expense ratio is 0.44% and the net expense ratio is 0.44%. For MWTNX, the total expense ratio is 0.83% and the net expense ratio is 0.83%. For MWTSX, the total expense ratio is 0.39% and the net expense ratio is 0.39%.
Metropolitan West High Yield Bond Fund
M-Class (MWHYX), I-Class (MWHIX)
| | | | | | | | | | | | |
| | | Performance Through September 30, 2014 |
| | | 6 Months (Cumulative) | | 1 Year (Annualized) | | 3 Year (Annualized) | | 5 Year (Annualized) | | 10 Year (Annualized) | | Since Inception (Annualized) |
MWHYX (Inception: September 30, 2002) | | (0.31)% | | 4.99% | | 9.44% | | 8.48% | | 7.60% | | 9.94% |
Barclays Capital U.S. Corporate High Yield Index - 2% Issuer Cap | | 0.50% | | 7.19% | | 11.07% | | 10.52% | | 8.32% | | 10.28% |
MWHIX (Inception: March 31, 2003) | | (0.19)% | | 5.25% | | 9.71% | | 8.75% | | 7.86% | | 9.02% |
Barclays Capital U.S. Corporate High Yield Index - 2% Issuer Cap | | 0.50% | | 7.19% | | 11.07% | | 10.52% | | 8.32% | | 9.46% |
For MWHYX, the total expense ratio is 0.90% and the net expense ratio is 0.81%. For MWHIX, the total expense ratio is 0.60% and the net expense ratio is 0.57%.
Metropolitan West Unconstrained Bond Fund
M-Class (MWCRX), I-Class (MWCIX)
| | | | | | | | | | | | |
| | | Performance Through September 30, 2014 |
| | | 6 Months (Cumulative) | | 1 Year (Annualized) | | 3 Year (Annualized) | | 5 Year (Annualized) | | 10 Year (Annualized) | | Since Inception (Annualized) |
MWCRX (Inception: October 1, 2011) | | 1.68% | | 4.78% | | 9.99% | | – | | – | | 9.99% |
BofA Merrill Lynch U.S. LIBOR 3-Month Average Index | | 0.12% | | 0.24% | | 0.34% | | – | | – | | 0.34% |
MWCIX (Inception: October 1, 2011) | | 1.80% | | 5.12% | | 10.22% | | – | | – | | 10.22% |
BofA Merrill Lynch U.S. LIBOR 3-Month Average Index | | 0.12% | | 0.24% | | 0.34% | | – | | – | | 0.34% |
For MWCRX, the total expense ratio is 1.04% and the net expense ratio is 1.01%. For MWCIX, the total expense ratio is 0.77% and the net expense ratio is 0.77%.
Metropolitan West Floating Rate Income Fund
M-Class (MWFLX), I-Class (MWFIX)
| | | | | | | | | | | | |
| | | Performance Through September 30, 2014 |
| | | 6 Months (Cumulative) | | 1 Year (Annualized) | | 3 Year (Annualized) | | 5 Year (Annualized) | | 10 Year (Annualized) | | Since Inception (Annualized) |
MWFLX (Inception: June 28, 2013) | | 1.06% | | 4.39% | | – | | – | | – | | 4.94% |
S&P/LSTA Leveraged Loan Index | | 0.90% | | 3.82% | | – | | – | | – | | 4.02% |
MWFIX (Inception: June 28, 2013) | | 1.06% | | 4.48% | | – | | – | | – | | 5.06% |
S&P/LSTA Leveraged Loan Index | | 0.90% | | 3.82% | | – | | – | | – | | 4.02% |
For MWFLX, the total expense ratio is 1.14% and the net expense ratio is 0.87%. For MWFIX, the total expense ratio is 0.80% and the net expense ratio is 0.67%.
Semi-Annual Report September 2014 / 4
Metropolitan West Strategic Income Fund
M-Class (MWSTX), I-Class (MWSIX)
| | | | | | | | | | | | |
| | | Performance Through September 30, 2014 |
| | | 6 Months
(Cumulative) | | 1 Year
(Annualized) | | 3 Year
(Annualized) | | 5 Year
(Annualized) | | 10 Year
(Annualized) | | Since Inception
(Annualized) |
MWSTX (Inception: June 30, 2003) | | 1.61% | | 3.77% | | 6.41% | | 9.04% | | 3.79% | | 4.90% |
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index + 2% | | 1.02% | | 2.05% | | 2.07% | | 2.10% | | 3.63% | | 3.57% |
MWSIX (Inception: March 31, 2004) | | 1.75% | | 4.19% | | 6.73% | | 9.32% | | 4.05% | | 4.03% |
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index + 2% | | 1.02% | | 2.05% | | 2.07% | | 2.10% | | 3.63% | | 3.61% |
For MWSTX, the total expense ratio is 2.36% and the net expense ratio is 2.35%. For MWSIX, the total expense ratio is 2.05% and the net expense ratio is 2.05%.
Metropolitan West AlphaTrak 500 Fund
(MWATX)
| | | | | | | | | | | | |
| | | Performance Through September 30, 2014 |
| | | 6 Months
(Cumulative) | | 1 Year
(Annualized) | | 3 Year
(Annualized) | | 5 Year
(Annualized) | | 10 Year
(Annualized) | | Since Inception
(Annualized) |
MWATX (Inception: June 29, 1998) | | 6.33% | | 20.36% | | 24.92% | | 20.79% | | 7.76% | | 5.43% |
Standard & Poor’s 500 Index | | 5.30% | | 18.47% | | 22.64% | | 15.50% | | 8.02% | | 5.32% |
For MWATX, the total expense ratio is 3.30% and the net expense ratio is 0.90%.
A Disciplined Value Philosophy
As we get set to see a winding down of the longstanding quantitative easing program of the Federal Reserve and, again, expect challenges as our government leaders grapple with midterm elections in Washington and the ongoing budget and the debt ceiling debates, it’s as important as ever to maintain our long-term perspective and value-oriented discipline to carry through to our investment management. Key to this is diversification and risk control, with an awareness to opportunities that generate returns and protect those gains as they are earned.
Again, we thank you for your continued support of the Metropolitan West Funds and look forward to the ongoing opportunity to meet your investment objectives.
Sincerely,
David B. Lippman
President and Principal Executive Officer of the Trust
Metropolitan West Funds
Portfolio composition is subject to change. The current and future portfolio holdings of the Funds are subject to investment risk.
Bond Funds have similar interest rates, issues, and credit risks as those associated with the underlying bonds in their portfolio, all of which could reduce a Fund’s value. As interest rates rise, the value of a Bond Fund can decline and an investor can lose principal. Additional risks to the funds include derivatives risk, foreign securities risk, asset-backed securities risk, and prepayment risk. The High Yield Bond Fund purchases more speculative bonds, which are subject to greater risks than higher rated bonds, including “leverage risk”. The Strategic Income Fund engages in sophisticated investment strategies, and is subject to short sales and leverage risks. The AlphaTrak 500 trades futures and derivative contracts. These Funds may not be suitable for all investors.
Derivatives risk refers to the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset. Foreign securities risk refers to the value of the Fund’s investments in foreign securities on changing currency values, political and economic environments in the countries where the Fund invests. Asset-backed securities risk refers to certain asset-backed securities do not have the benefit of the same security interest in the related collateral as do mortgage-backed securities; nor are they provided government guarantees of repayment. Prepayment risk refers to the possibility that falling interest rates may cause the owners of the underlying to pay off their mortgages at a faster than expected rate. This tends to reduce returns since the funds prepaid will have to be reinvested at the then lower prevailing rates. Short sale risk refers to the limited ability of the Fund to sell a debt or equity security short (without owning it) and to borrow the same security from a broker or other institution to complete the sale. If the value of the short sale increases, a Fund would lose money because it will need to replace the borrowed security by purchasing it at a higher price. Leverage Risk refers to the limited ability of Fund to borrow from broker-dealers or other institutions to leverage
5 / Semi-Annual Report September 2014
a transaction, provided that the borrowing is fully-collateralized. The Fund’s assets may change in value while the borrowing is outstanding which could create interest expenses that can exceed the income from the assets retained.
The Adviser has contractually agreed to waive and/or reimburse certain fees and expenses for the Metropolitan West Ultra Short Bond Fund, Intermediate Bond Fund, Total Return Bond Fund (Plan Class), High Yield Bond Fund, Unconstrained Bond Fund and AlphaTrak 500 Fund until July 31, 2015.
The views and forecasts expressed here are as of October 2014, are subject to change without notice and may not come to pass. Investment strategies may not achieve the desired results due to implementation lag, other timing factors, portfolio management decision making, economic or market conditions or other unanticipated factors.
Funds are distributed by Foreside Funds Distributors LLC, 400 Berwyn Park, Suite 110, 899 Cassatt Road., Berwyn, PA 19312.
This report must be preceded or accompanied by a prospectus.
Semi-Annual Report September 2014 / 6
Metropolitan West Funds
Disclosure of Fund Expenses
For the Six Months Ended September 30, 2014 (Unaudited)
We believe it is important for you to understand the impact of fees regarding your investment. All mutual funds have operating expenses. As a shareholder of a mutual fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, 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 fees (in dollars) of investing in your Fund and to compare these costs with those of other mutual 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.
This table illustrates your Fund’s costs in two ways:
Actual Fund Return: This section helps you to estimate the actual expenses, after any applicable fee waivers, that you paid over the period. The “Ending Account Value” shown is derived from the Fund’s actual return for the past six-month period, the “Expense Ratio” column shows the period’s annualized expense ratio, and the “Expenses Paid During Period” column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund at the beginning of the period.
You may use the information here, together with your account value, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your Fund in the first line under the heading entitled “Expenses Paid During Period.”
Hypothetical 5% Return: This section is intended to help you compare your Fund’s costs with those of other mutual funds. It assumes that the Fund had an annual return of 5% before expenses, but that the expense ratio is unchanged. In this case, because the return used is not the Fund’s actual return, the results do not apply to your investment. This example is useful in making comparisons to other mutual funds because the Securities and Exchange Commission (SEC) requires all mutual funds to calculate expenses based on an assumed 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 expense shown in the table are meant to highlight and help you compare your ongoing costs only and do not reflect any transactional costs such as sales charges (loads), redemption fees, or exchange fees. The Metropolitan West Funds do not charge any sales loads or exchange fees, but these may be present in other funds to which you compare this data. Therefore, the hypothetical portions of the table are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
| | | | | | | | |
| | | Beginning
Account Value
04/01/14 | | Ending
Account Value
09/30/14 | | Expense
Ratio1 | | Expenses
Paid During
Period2 |
ULTRA SHORT BOND FUND | | | | | | | | |
Actual Fund Return | | | | | | | | |
Class M | | $1,000.00 | | $1,003.63 | | 0.50% | | $2.51 |
Class I | | $1,000.00 | | $1,002.11 | | 0.34% | | $1.71 |
Hypothetical 5% Return | | | | | | | | |
Class M | | $1,000.00 | | $1,022.56 | | 0.50% | | $2.54 |
Class I | | $1,000.00 | | $1,023.36 | | 0.34% | | $1.72 |
LOW DURATION BOND FUND | | | | | | | | |
Actual Fund Return | | | | | | | | |
Class M | | $1,000.00 | | $1,008.13 | | 0.60% | | $3.02 |
Class I | | $1,000.00 | | $1,009.14 | | 0.40% | | $2.01 |
Administrative Class | | $1,000.00 | | $1,006.88 | | 0.80% | | $4.02 |
Hypothetical 5% Return | | | | | | | | |
Class M | | $1,000.00 | | $1,022.06 | | 0.60% | | $3.04 |
Class I | | $1,000.00 | | $1,023.06 | | 0.40% | | $2.03 |
Administrative Class | | $1,000.00 | | $1,021.06 | | 0.80% | | $4.05 |
| 1 | Annualized, based on the Fund’s most recent fiscal half-year expenses. |
| 2 | Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 183 days then divided by 365 (to reflect the one-half year period shown). |
7 / Semi-Annual Report September 2014
| | | | | | | | |
| | | Beginning
Account Value
04/01/14 | | Ending
Account Value
09/30/14 | | Expense
Ratio1 | | Expenses Paid During
Period2 |
INTERMEDIATE BOND FUND | | | | | | | | |
Actual Fund Return | | | | | | | | |
Class M | | $1,000.00 | | $1,012.87 | | 0.67% | | $3.38 |
Class I | | $1,000.00 | | $1,013.94 | | 0.46% | | $2.32 |
Hypothetical 5% Return | | | | | | | | |
Class M | | $1,000.00 | | $1,021.71 | | 0.67% | | $3.40 |
Class I | | $1,000.00 | | $1,022.76 | | 0.46% | | $2.33 |
TOTAL RETURN BOND FUND | | | | | | | | |
Actual Fund Return | | | | | | | | |
Class M | | $1,000.00 | | $1,024.51 | | 0.67% | | $3.40 |
Class I | | $1,000.00 | | $1,024.76 | | 0.44% | | $2.23 |
Administrative Class | | $1,000.00 | | $1,023.68 | | 0.83% | | $4.21 |
Plan Class | | $1,000.00 | | $1,025.73 | | 0.39% | | $1.98 |
Hypothetical 5% Return | | | | | | | | |
Class M | | $1,000.00 | | $1,021.71 | | 0.67% | | $3.40 |
Class I | | $1,000.00 | | $1,022.86 | | 0.44% | | $2.23 |
Administrative Class | | $1,000.00 | | $1,020.91 | | 0.83% | | $4.20 |
Plan Class | | $1,000.00 | | $1,023.11 | | 0.39% | | $1.98 |
HIGH YIELD BOND FUND | | | | | | | | |
Actual Fund Return | | | | | | | | |
Class M | | $1,000.00 | | $ 996.89 | | 0.81% | | $4.05 |
Class I | | $1,000.00 | | $ 998.14 | | 0.57% | | $2.86 |
Hypothetical 5% Return | | | | | | | | |
Class M | | $1,000.00 | | $1,021.01 | | 0.81% | | $4.10 |
Class I | | $1,000.00 | | $1,022.21 | | 0.57% | | $2.89 |
UNCONSTRAINED BOND FUND | | | | | | | | |
Actual Fund Return | | | | | | | | |
Class M | | $1,000.00 | | $1,016.82 | | 1.01% | | $5.11 |
Class I | | $1,000.00 | | $1,018.03 | | 0.77% | | $3.90 |
Hypothetical 5% Return | | | | | | | | |
Class M | | $1,000.00 | | $1,020.00 | | 1.01% | | $5.11 |
Class I | | $1,000.00 | | $1,021.21 | | 0.77% | | $3.90 |
| 1 | Annualized, based on the Fund’s most recent fiscal half-year expenses. |
| 2 | Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 183 days then divided by 365 (to reflect the one-half year period shown). |
Semi-Annual Report September 2014 / 8
| | | | | | | | |
| | | Beginning
Account Value
04/01/14 | | Ending
Account Value
09/30/14 | | Expense
Ratio1 | | Expenses
Paid During
Period2 |
FLOATING RATE INCOME FUND | | | | | | | | |
Actual Fund Return | | | | | | | | |
Class M | | $1,000.00 | | $1,010.57 | | 0.87% | | $4.38 |
Class I | | $1,000.00 | | $1,010.55 | | 0.67% | | $3.38 |
Hypothetical 5% Return | | | | | | | | |
Class M | | $1,000.00 | | $1,020.71 | | 0.87% | | $4.41 |
Class I | | $1,000.00 | | $1,021.71 | | 0.67% | | $3.40 |
STRATEGIC INCOME FUND | | | | | | | | |
Actual Fund Return | | | | | | | | |
Class M | | $1,000.00 | | $1,016.06 | | 2.35% | | $11.88 |
Class I | | $1,000.00 | | $1,017.51 | | 2.05% | | $10.37 |
Hypothetical 5% Return | | | | | | | | |
Class M | | $1,000.00 | | $1,013.29 | | 2.35% | | $11.86 |
Class I | | $1,000.00 | | $1,014.79 | | 2.05% | | $10.35 |
ALPHATRAK 500 FUND | | | | | | | | |
Actual Fund Return | | $1,000.00 | | $1,063.33 | | 0.90% | | $4.66 |
Hypothetical 5% Return | | $1,000.00 | | $1,020.56 | | 0.90% | | $4.56 |
| 1 | Annualized, based on the Fund’s most recent fiscal half-year expenses. |
| 2 | Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 183 days then divided by 365 (to reflect the one-half year period shown). |
9 / Semi-Annual Report September 2014
Metropolitan West Funds
Summary of Portfolio Holdings
September 30, 2014 (Unaudited)
These tables are provided to give you a quick reference to the composition of each Fund. The “Sector Diversification” table is a percentage of net assets. The “Distribution by Maturity” table is a percentage of market value. We hope that this information enhances your understanding of the different kinds of investments in the Funds.
| | | | | | | | | | |
| ULTRA SHORT BOND FUND | |
| Sector Diversification | | | Distribution by Maturity | |
U.S. Agency Mortgage-Backed | | | 43.62% | | | 0 to 1 years | | | 27.98% | |
Corporate Bonds | | | 14.24% | | | 1 year to 3 years | | | 35.09% | |
Commercial Mortgage-Backed | | | 11.30% | | | 3 years to 5 years | | | 25.00% | |
Non-Agency Mortgage-Backed | | | 9.62% | | | 5 years to 10 years | | | 9.22% | |
U.S. Agency Discount Notes | | | 9.37% | | | 10 years to 20 years | | | 0.70% | |
Asset-Backed Securities | | | 4.12% | | | 20 years + | | | 2.01% | |
U.S. Agency Securities | | | 2.75% | | | | | | | |
Money Market RIC | | | 2.01% | | | | | | | |
Commercial Paper | | | 1.10% | | | | | | | |
Municipal Bonds | | | 0.68% | | | | | | | |
Bank Loans | | | 0.33% | | | | | | | |
U.S. Treasury Securities | | | 0.17% | | | | | | | |
Other * | | | 0.69% | | | | | | | |
Total | | | 100.00% | | | Total | | | 100.00% | |
| | | | | | | | | | |
| | | | | | | | | | |
| LOW DURATION BOND FUND | |
| Sector Diversification | | | Distribution by Maturity | |
U.S. Agency Mortgage-Backed | | | 19.90% | | | 0 to 1 years | | | 27.10% | |
Corporate Bonds | | | 17.60% | | | 1 year to 3 years | | | 27.83% | |
Non-Agency Mortgage-Backed | | | 17.56% | | | 3 years to 5 years | | | 22.84% | |
Asset-Backed Securities | | | 14.66% | | | 5 years to 10 years | | | 17.73% | |
U.S. Agency Discount Notes | | | 12.74% | | | 10 years to 20 years | | | 2.05% | |
Commercial Mortgage-Backed | | | 5.98% | | | 20 years + | | | 2.45% | |
U.S. Agency Securities | | | 4.02% | | | | | | | |
Money Market RIC | | | 1.98% | | | | | | | |
Municipal Bonds | | | 1.07% | | | | | | | |
Commercial Paper | | | 0.72% | | | | | | | |
Bank Loans | | | 0.66% | | | | | | | |
U.S. Treasury Securities | | | 0.60% | | | | | | | |
U.S. Treasury Bills | | | 0.01% | | | | | | | |
Purchased Swaptions | | | 0.01% | | | | | | | |
Other * | | | 2.49% | | | | | | | |
Total | | | 100.00% | | | Total | | | 100.00% | |
Semi-Annual Report September 2014 / 10
| | | | | | | | | | |
| INTERMEDIATE BOND FUND | |
| Sector Diversification | | | Distribution by Maturity | |
U.S. Treasury Securities | | | 34.62% | | | 0 to 1 years | | | 10.63% | |
Corporate Bonds | | | 15.16% | | | 1 year to 3 years | | | 28.81% | |
U.S. Agency Mortgage-Backed | | | 15.09% | | | 3 years to 5 years | | | 23.03% | |
Non-Agency Mortgage-Backed | | | 12.48% | | | 5 years to 10 years | | | 32.02% | |
Asset-Backed Securities | | | 9.27% | | | 10 years to 20 years | | | 2.99% | |
Commercial Mortgage-Backed | | | 3.65% | | | 20 years + | | | 2.52% | |
U.S. Agency Discount Notes | | | 3.32% | | | | | | | |
Money Market RIC | | | 1.94% | | | | | | | |
U.S. Agency Securities | | | 1.40% | | | | | | | |
Municipal Bonds | | | 1.19% | | | | | | | |
Commercial Paper | | | 0.79% | | | | | | | |
Bank Loans | | | 0.11% | | | | | | | |
U.S. Treasury Bills | | | 0.01% | | | | | | | |
Other * | | | 0.97% | | | | | | | |
Total | | | 100.00% | | | Total | | | 100.00% | |
| | | | | | | | | | |
| | | | | | | | | | |
| TOTAL RETURN BOND FUND | |
| Sector Diversification | | | Distribution by Maturity | |
U.S. Treasury Securities | | | 31.43% | | | 0 to 1 years | | | (1.50)% | |
U.S. Agency Mortgage-Backed | | | 26.17% | | | 1 year to 3 years | | | 26.14% | |
Corporate Bonds | | | 13.56% | | | 3 years to 5 years | | | 10.03% | |
Non-Agency Mortgage-Backed | | | 12.76% | | | 5 years to 10 years | | | 49.20% | |
Asset-Backed Securities | | | 9.10% | | | 10 years to 20 years | | | 6.17% | |
U.S. Agency Discount Notes | | | 7.70% | | | 20 years + | | | 9.96% | |
Commercial Mortgage-Backed | | | 4.16% | | | | | | | |
Money Market RIC | | | 1.96% | | | | | | | |
Municipal Bonds | | | 1.60% | | | | | | | |
Commercial Paper | | | 1.56% | | | | | | | |
Repurchase Agreements | | | 0.84% | | | | | | | |
U.S. Agency Securities | | | 0.81% | | | | | | | |
Bank Loans | | | 0.24% | | | | | | | |
Foreign Government Obligations | | | 0.23% | | | | | | | |
Purchased Swaptions | | | 0.08% | | | | | | | |
U.S. Treasury Bills | | | 0.04% | | | | | | | |
Put Options Purchased | | | 0.04% | | | | | | | |
Common Stock | | | 0.04% | | | | | | | |
Call Options Purchased | | | 0.00% | | | | | | | |
Other * | | | (12.32)% | | | | | | | |
Total | | | 100.00% | | | Total | | | 100.00% | |
11 / Semi-Annual Report September 2014
| | | | | | | | | | |
| HIGH YIELD BOND FUND | |
| Sector Diversification | | | Distribution by Maturity | |
Corporate Bonds | | | 80.75% | | | 0 to 1 years | | | 4.71% | |
Bank Loans | | | 9.74% | | | 1 year to 3 years | | | 6.28% | |
Money Market RIC | | | 2.03% | | | 3 years to 5 years | | | 15.94% | |
Common Stock | | | 1.35% | | | 5 years to 10 years | | | 60.98% | |
Asset-Backed Securities | | | 1.03% | | | 10 years to 20 years | | | 6.83% | |
U.S. Agency Discount Notes | | | 0.56% | | | 20 years + | | | 5.26% | |
Non-Agency Mortgage-Backed | | | 0.02% | | | | | | | |
Warrant | | | 0.00% | | | | | | | |
Other * | | | 4.52% | | | | | | | |
Total | | | 100.00% | | | Total | | | 100.00% | |
| | | | | | | | | | |
| | | | | | | | | | |
| UNCONSTRAINED BOND FUND | |
| Sector Diversification | | | Distribution by Maturity | |
Non-Agency Mortgage-Backed | | | 30.60% | | | 0 to 1 years | | | 18.00% | |
Corporate Bonds | | | 19.78% | | | 1 year to 3 years | | | 14.40% | |
Asset-Backed Securities | | | 19.14% | | | 3 years to 5 years | | | 12.72% | |
U.S. Agency Discount Notes | | | 10.85% | | | 5 years to 10 years | | | 38.91% | |
Commercial Mortgage-Backed | | | 7.42% | | | 10 years to 20 years | | | 11.48% | |
U.S. Agency Mortgage-Backed | | | 5.72% | | | 20 years + | | | 4.49% | |
Money Market RIC | | | 2.00% | | | | | | | |
Municipal Bonds | | | 1.55% | | | | | | | |
U.S. Agency Securities | | | 1.49% | | | | | | | |
Bank Loans | | | 0.65% | | | | | | | |
Commercial Paper | | | 0.58% | | | | | | | |
Foreign Government Obligations | | | 0.53% | | | | | | | |
U.S. Treasury Bills | | | 0.05% | | | | | | | |
U.S. Treasury Securities | | | 0.05% | | | | | | | |
Mutual Funds | | | 0.01% | | | | | | | |
Other * | | | (0.42)% | | | | | | | |
Total | | | 100.00% | | | Total | | | 100.00% | |
Semi-Annual Report September 2014 / 12
| | | | | | | | | | |
| FLOATING RATE INCOME FUND | |
| Sector Diversification | | | Distribution by Maturity | |
Bank Loans | | | 72.97% | | | 0 to 1 years | | | 13.15% | |
Corporate Bonds | | | 9.87% | | | 1 year to 3 years | | | 5.26% | |
U.S. Agency Discount Notes | | | 9.34% | | | 3 years to 5 years | | | 24.37% | |
Money Market RIC | | | 2.01% | | | 5 years to 10 years | | | 51.66% | |
U.S. Agency Securities | | | 1.41% | | | 10 years to 20 years | | | 1.09% | |
Municipal Bonds | | | 0.50% | | | 20 years + | | | 4.47% | |
Other * | | | 3.90% | | | | | | | |
Total | | | 100.00% | | | Total | | | 100.00% | |
| | | | | | | | | | |
| | | | | | | | | | |
| STRATEGIC INCOME FUND | |
| Sector Diversification | | | Distribution by Maturity | |
Non-Agency Mortgage-Backed | | | 40.85% | | | 0 to 1 years | | | 18.23% | |
Asset-Backed Securities | | | 20.18% | | | 1 year to 3 years | | | 15.00% | |
U.S. Agency Discount Notes | | | 11.37% | | | 3 years to 5 years | | | 21.45% | |
Corporate Bonds | | | 9.87% | | | 5 years to 10 years | | | 29.37% | |
U.S. Agency Mortgage-Backed | | | 6.76% | | | 10 years to 20 years | | | 10.62% | |
Commercial Mortgage-Backed | | | 3.01% | | | 20 years + | | | 5.33% | |
Commercial Paper | | | 2.07% | | | | | | | |
Money Market RIC | | | 2.00% | | | | | | | |
U.S. Agency Securities | | | 0.56% | | | | | | | |
Bank Loans | | | 0.48% | | | | | | | |
Common Stock | | | 0.36% | | | | | | | |
U.S. Treasury Securities | | | 0.20% | | | | | | | |
U.S. Treasury Bills | | | 0.01% | | | | | | | |
Mutual Funds | | | 0.01% | | | | | | | |
Foreign Government Obligations | | | 0.00% | | | | | | | |
Municipal Bonds | | | 0.00% | | | | | | | |
Other * | | | 2.27% | | | | | | | |
Total | | | 100.00% | | | Total | | | 100.00% | |
13 / Semi-Annual Report September 2014
| | | | | | | | | | |
| ALPHATRAK 500 FUND | |
| Sector Diversification | | | Distribution by Maturity | |
U.S. Agency Discount Notes | | | 27.36% | | | 0 to 1 years | | | 44.33% | |
Non-Agency Mortgage-Backed | | | 17.94% | | | 1 year to 3 years | | | 22.05% | |
Corporate Bonds | | | 15.63% | | | 3 years to 5 years | | | 14.14% | |
Asset-Backed Securities | | | 12.79% | | | 5 years to 10 years | | | 11.61% | |
U.S. Agency Mortgage-Backed | | | 11.79% | | | 10 years to 20 years | | | 4.62% | |
Commercial Mortgage-Backed | | | 7.89% | | | 20 years + | | | 3.25% | |
Money Market RIC | | | 2.00% | | | | | | | |
U.S. Agency Securities | | | 1.63% | | | | | | | |
U.S. Treasury Bills | | | 1.57% | | | | | | | |
Municipal Bonds | | | 0.96% | | | | | | | |
Other * | | | 0.44% | | | | | | | |
Total | | | 100.00% | | | Total | | | 100.00% | |
* Includes cash and equivalents, futures, foreign currency exchange contracts, options written, swaps, pending trades, fund share transactions, interest and dividends receivable and accrued expenses payable.
In addition to its annual and semi-annual reports, the Funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ most recent Form N-Q was filed for the quarter ended June 30, 2014. The Funds’ Form N-Q is available on the SEC’s website at www.sec.gov and may be reviewed and copied at the Commission’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
Semi-Annual Report September 2014 / 14
Ultra Short Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
BONDS – 86.83% | |
ASSET-BACKED SECURITIES — 4.12%** | | | | | |
Goal Capital Funding Trust, Series 2006-1, | |
Class A3 | |
0.36% | | 11/25/262 | | $ | 232,512 | | | $ | 230,575 | |
Nelnet Student Loan Trust, Series 2012-5A, | |
Class A | |
0.76% | | 10/27/362,3 | | | 231,565 | | | | 231,009 | |
SLC Student Loan Trust, Series 2005-1, | |
Class A2 | | | | | | | | | | |
0.31% | | 11/15/212 | | | 532,495 | | | | 532,299 | |
SLM Student Loan Trust, Series 2003-12, | |
Class A5 | |
0.51% | | 09/15/222,3 | | | 344,723 | | | | 344,823 | |
SLM Student Loan Trust, Series 2005-8, | |
Class A3 | |
0.34% | | 10/25/242 | | | 800,926 | | | | 799,600 | |
SLM Student Loan Trust, Series 2006-4, | |
Class A5 | |
0.33% | | 10/27/252 | | | 917,002 | | | | 914,836 | |
SLM Student Loan Trust, Series 2007-7, | |
Class A3 | |
0.47% | | 04/25/172 | | | 990,000 | | | | 989,517 | |
SLM Student Loan Trust, Series 2008-5, | |
Class A3 | |
1.53% | | 01/25/182 | | | 775,575 | | | | 780,421 | |
SLM Student Loan Trust, Series 2008-8, | |
Class A2 | |
1.13% | | 10/25/172 | | | 224,863 | | | | 225,618 | |
SLM Student Loan Trust, Series 2010-1, | |
Class A | |
0.56% | | 03/25/252 | | | 986,381 | | | | 987,956 | |
SLM Student Loan Trust, Series 2012-6, | |
Class A2 | |
0.44% | | 09/25/192 | | | 638,453 | | | | 638,621 | |
SLM Student Loan Trust, Series 2013-4, | |
Class A | |
0.70% | | 06/25/272 | | | 334,367 | | | | 335,122 | |
SLM Student Loan Trust, Series 2013-5, | |
Class A1 | |
0.42% | | 05/25/182 | | | 779,258 | | | | 779,388 | |
Triton Container Finance LLC, | |
Series 2007-1A, Class NOTE | |
0.29% | | 02/26/192,3 | | | 15,625 | | | | 15,593 | |
| | | | | | | | | | |
|
Total Asset-Backed Securities | |
(Cost $7,799,995) | | | | | | | 7,805,378 | |
| | | | | | | | | | |
|
BANK LOANS — 0.33%* | |
Health Care — 0.33% | |
HCA, Inc., Term Loan B4 | |
2.98% | | 05/01/182 | | | 634,235 | | | | 627,629 | |
| | | | | | | | | | |
|
Total Bank Loans | |
(Cost $634,235) | | | | | | | | |
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
CORPORATES — 14.24%* | |
Automotive — 0.48% | |
Nissan Motor Acceptance Corp. | |
0.94% | | 09/26/162,3 | | $ | 900,000 | | | $ | 907,823 | |
| | | | | | | | | | |
|
Banking — 2.99% | |
Abbey National Treasury Services | |
PLC/London (United Kingdom) | |
3.88% | | 11/10/143,4 | | | 500,000 | | | | 501,795 | |
Bank of America N.A. (BKNT) | |
0.53% | | 06/15/172 | | | 750,000 | | | | 745,351 | |
Credit Suisse/New York (YCD) (Switzerland) | |
0.47% | | 04/10/152,4 | | | 500,000 | | | | 500,806 | |
0.56% | | 08/24/152,4 | | | 850,000 | | | | 849,805 | |
JPMorgan Chase Bank N.A. | |
0.56% | | 06/13/162 | | | 1,550,000 | | | | 1,547,793 | |
JPMorgan Chase Bank N.A. (BKNT) | |
5.88% | | 06/13/16 | | | 295,000 | | | | 318,719 | |
Macquarie Bank Ltd. (Australia) | |
0.68% | | 06/15/162,3,4 | | | 500,000 | | | | 500,210 | |
National City Bank/Cleveland OH (BKNT) | |
0.60% | | 06/07/172 | | | 700,000 | | | | 698,163 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 5,662,642 | |
| | | | | | | | | | |
|
Communications — 0.72% | |
AT&T, Inc. | |
2.50% | | 08/15/15 | | | 438,000 | | | | 445,525 | |
Verizon Communications, Inc. | |
1.76% | | 09/15/162 | | | 900,000 | | | | 923,674 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 1,369,199 | |
| | | | | | | | | | |
|
Electric — 0.32% | |
NextEra Energy Capital Holdings, Inc. | |
1.34% | | 09/01/15 | | | 600,000 | | | | 603,910 | |
| | | | | | | | | | |
|
Energy — 0.64% | |
Florida Gas Transmission Co. LLC | |
4.00% | | 07/15/153 | | | 550,000 | | | | 563,593 | |
Trans-Canada Pipelines Ltd. (Canada) | |
0.91% | | 06/30/162,4 | | | 650,000 | | | | 654,965 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 1,218,558 | |
| | | | | | | | | | |
|
Finance — 2.29% | |
Citigroup, Inc. | |
1.19% | | 07/25/162 | | | 1,800,000 | | | | 1,820,014 | |
5.30% | | 01/07/16 | | | 275,000 | | | | 290,293 | |
Ford Motor Credit Co. LLC, Series FRN | |
1.48% | | 05/09/162 | | | 600,000 | | | | 608,659 | |
General Electric Capital Corp., | |
Series G (MTN) | |
0.88% | | 07/12/162 | | | 500,000 | | | | 504,836 | |
See accompanying notes to Schedule of Portfolio Investments.
15 / Semi-Annual Report September 2014
Ultra Short Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Finance (continued) | |
General Motors Financial Co., Inc., | |
Series 3YR | | | | | | | | | | |
3.00% | | 09/25/17 | | $ | 650,000 | | | $ | 657,313 | |
Goldman Sachs Group, Inc., Series B (MTN) | |
0.63% | | 07/22/152 | | | 200,000 | | | | 200,316 | |
Morgan Stanley (MTN) | |
0.68% | | 10/18/162 | | | 260,000 | | | | 260,408 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 4,341,839 | |
| | | | | | | | | | |
|
Food — 0.26% | |
Kraft Foods Group, Inc. | |
1.62% | | 06/04/15 | | | 500,000 | | | | 503,815 | |
| | | | | | | | | | |
|
Health Care — 0.94% | |
McKesson Corp. | |
0.63% | | 09/10/152 | | | 800,000 | | | | 801,239 | |
Providence Health & Services | |
Obligated Group | |
0.88% | | 10/01/152 | | | 975,000 | | | | 976,581 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 1,777,820 | |
| | | | | | | | | | |
|
Industrials — 0.59% | |
Heathrow Funding Ltd. (United Kingdom) | |
2.50% | | 06/25/153,4 | | | 1,100,000 | | | | 1,112,743 | |
| | | | | | | | | | |
|
Insurance — 0.43% | |
Metropolitan Life Global Funding I | |
0.76% | | 07/15/162,3 | | | 250,000 | | | | 252,115 | |
1.70% | | 06/29/153 | | | 550,000 | | | | 555,472 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 807,587 | |
| | | | | | | | | | |
|
Real Estate Investment Trust (REIT) — 4.48% | |
Arc Properties Operating Partnership LP/ | |
Clark Acquisition LLC | |
2.00% | | 02/06/173 | | | 450,000 | | | | 450,228 | |
Brandywine Operating Partnership LP | |
7.50% | | 05/15/15 | | | 700,000 | | | | 727,812 | |
Camden Property Trust | |
5.00% | | 06/15/15 | | | 320,000 | | | | 329,608 | |
HCP, Inc. | |
6.00% | | 01/30/17 | | | 1,100,000 | | | | 1,215,628 | |
7.07% | | 06/08/15 | | | 625,000 | | | | 651,676 | |
Hospitality Properties Trust | |
6.30% | | 06/15/16 | | | 500,000 | | | | 528,644 | |
Kimco Realty Corp. (MTN) | |
5.58% | | 11/23/15 | | | 560,000 | | | | 589,894 | |
Mid-America Apartments LP | |
5.50% | | 10/01/15 | | | 900,000 | | | | 940,846 | |
Nationwide Health Properties, Inc. | |
6.00% | | 05/20/15 | | | 1,025,000 | | | | 1,058,324 | |
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Real Estate Investment Trust (REIT) (continued) | |
Pan Pacific Retail Properties, Inc. | |
5.25% | | 09/01/15 | | $ | 500,000 | | | $ | 520,147 | |
Realty Income Corp. | |
5.50% | | 11/15/15 | | | 700,000 | | | | 735,675 | |
WEA Finance LLC/Westfield UK & Europe | |
Finance PLC | |
1.75% | | 09/15/173 | | | 750,000 | | | | 751,446 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 8,499,928 | |
| | | | | | | | | | |
|
Transportation — 0.10% | |
JetBlue Airways Pass-Through Trust, | |
Series 2004, Class G1 | |
0.61% | | 08/15/162 | | | 201,608 | | | | 198,241 | |
| | | | | | | | | | |
|
Total Corporates | |
(Cost $26,767,005) | | | | 27,004,105 | |
| | | | | | | | | | |
MORTGAGE-BACKED — 64.54%** | |
Commercial Mortgage-Backed — 11.30% | |
Banc of America Merrill Lynch Commercial | |
Mortgage, Inc., Series 2004-6, Class A5 | |
4.81% | | 12/10/42 | | | 325,043 | | | | 325,052 | |
Banc of America Merrill Lynch Commercial | |
Mortgage, Inc., Series 2005-4, Class A4 | |
5.37% | | 07/10/452 | | | 700,000 | | | | 703,177 | |
Banc of America Merrill Lynch Commercial | |
Mortgage, Inc., Series 2005-6, Class A4 | |
5.35% | | 09/10/472 | | | 531,859 | | | | 548,912 | |
Banc of America Merrill Lynch Commercial | |
Mortgage, Inc., Series 2007-3, Class A3 | |
5.79% | | 06/10/492 | | | 323,399 | | | | 324,564 | |
Bear Stearns Commercial Mortgage | |
Securities Trust, Series 2007-PW16, | |
Class AAB | |
5.90% | | 06/11/402 | | | 561,829 | | | | 577,017 | |
Bear Stearns Commercial Mortgage | |
Securities Trust, Series 2007-PW17, | |
Class A3 | |
5.74% | | 06/11/50 | | | 239,838 | | | | 242,680 | |
COMM Mortgage Trust, Series 2012-CR5, | |
Class A2 | | | | | | | | | | |
1.68% | | 12/10/45 | | | 520,000 | | | | 516,002 | |
Commercial Mortgage Trust, | |
Series 2006-C8, Class AAB | |
5.29% | | 12/10/46 | | | 89,022 | | | | 89,742 | |
Commercial Mortgage Trust, | |
Series 2006-CD3, Class A1S | |
5.61% | | 10/15/48 | | | 928,617 | | | | 992,711 | |
Commercial Mortgage Trust, | |
Series 2012-CR3, Class A1 | |
0.67% | | 10/15/45 | | | 1,332,481 | | | | 1,326,798 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2014 / 16
Ultra Short Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Commercial Mortgage-Backed (continued) | |
Credit Suisse First Boston Commercial | |
Mortgage Trust, Series 2005-C1, Class A4 | |
5.01% | | 02/15/382 | | $ | 564,907 | | | $ | 569,082 | |
DBRR Trust, Series 2013-EZ3, Class A | |
1.64% | | 12/18/492,3 | | | 891,164 | | | | 895,759 | |
DBUBS Mortgage Trust, Series 2011-LX2A, | |
Class A1 | |
3.53% | | 07/10/443 | | | 907,399 | | | | 953,868 | |
GE Capital Commercial Mortgage Corp., | |
Series 2005-C1, Class A5 | |
4.77% | | 06/10/482 | | | 508,505 | | | | 512,185 | |
GS Mortgage Securities Trust, | |
Series 2011-GC3, Class A2 | |
3.64% | | 03/10/443 | | | 760,832 | | | | 781,546 | |
GS Mortgage Securities Trust, | |
Series 2011-GC5, Class A2 | |
3.00% | | 08/10/44 | | | 1,040,000 | | | | 1,071,257 | |
JPMorgan Chase Commercial Mortgage | |
Securities Corp., Series 2004-CBX, | |
Class A6 | |
4.90% | | 01/12/37 | | | 645,576 | | | | 645,225 | |
JPMorgan Chase Commercial Mortgage | |
Securities Corp., Series 2005-LDP2, | |
Class ASB | |
4.66% | | 07/15/42 | | | 44,225 | | | | 44,280 | |
JPMorgan Chase Commercial Mortgage | |
Securities Corp., Series 2005-LDP5, | |
Class A3 | |
5.43% | | 12/15/442 | | | 319,325 | | | | 320,443 | |
JPMorgan Chase Commercial Mortgage | |
Securities Corp., Series 2005-LDP5, | |
Class A4 | |
5.40% | | 12/15/442 | | | 1,330,000 | | | | 1,371,784 | |
JPMorgan Chase Commercial Mortgage | |
Securities Corp., Series 2006-CB14, | |
Class ASB | |
5.51% | | 12/12/442 | | | 124,300 | | | | 126,507 | |
JPMorgan Chase Commercial Mortgage | |
Securities Corp., Series 2006-LDP7, | |
Class ASB | |
6.06% | | 04/15/452 | | | 605,327 | | | | 619,425 | |
JPMorgan Chase Commercial Mortgage | |
Securities Corp., Series 2006-LDP9, | |
Class A3S | |
5.24% | | 05/15/473 | | | 104,802 | | | | 104,941 | |
JPMorgan Chase Commercial Mortgage | |
Securities Corp., Series 2007-CB20, | |
Class ASB | |
5.69% | | 02/12/51 | | | 138,838 | | | | 145,832 | |
JPMorgan Chase Commercial Mortgage | |
Securities Corp., Series 2007-LD11, | |
Class ASB | |
5.98% | | 06/15/492 | | | 286,662 | | | | 301,578 | |
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Commercial Mortgage-Backed (continued) | |
JPMorgan Chase Commercial Mortgage | |
Securities Corp., Series 2011-C3, | |
Class A3 | |
4.39% | | 02/15/463 | | $ | 1,100,000 | | | $ | 1,186,863 | |
JPMorgan Chase Commercial Mortgage | |
Securities Trust, Series 2005-LDP2, Class A3 | |
4.70% | | 07/15/42 | | | 838,738 | | | | 839,885 | |
JPMorgan Chase Commercial Mortgage | |
Securities Trust, Series 2011-C4, Class A3 | |
4.11% | | 07/15/463 | | | 980,000 | | | | 1,048,442 | |
LB-UBS Commercial Mortgage Trust, | |
Series 2003-C5, Class K | |
5.25% | | 04/15/372,3 | | | 1,274,000 | | | | 1,277,137 | |
LB-UBS Commercial Mortgage Trust, | |
Series 2005-C1, Class A4 | |
4.74% | | 02/15/30 | | | 200,021 | | | | 200,452 | |
Merrill Lynch Mortgage Investors, Inc., | |
Series 2004-BPC1, Class A5 | |
4.86% | | 10/12/412 | | | 25,697 | | | | 25,682 | |
ML-CFC Commercial Mortgage Trust, | |
Series 2006-4, Class A1A | |
5.17% | | 12/12/49 | | | 897,915 | | | | 959,527 | |
Morgan Stanley Capital I Trust, | |
Series 2001-C3, Class A2 | |
3.22% | | 08/15/49 | | | 605,110 | | | | 625,653 | |
Morgan Stanley Capital I Trust, | |
Series 2007-HQ12, Class A2 | |
5.59% | | 04/12/492 | | | 743,506 | | | | 753,963 | |
Wachovia Bank Commercial Mortgage Trust, | |
Series 2004-C15, Class A4 | |
4.80% | | 10/15/41 | | | 66,524 | | | | 66,460 | |
Wachovia Bank Commercial Mortgage Trust, | |
Series 2007-C31, Class A2 | |
5.42% | | 04/15/47 | | | 48,569 | | | | 48,618 | |
WF-RBS Commercial Mortgage Trust, | |
Series 2011-C2, Class A1 | |
2.50% | | 02/15/443 | | | 282,841 | | | | 285,061 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 21,428,110 | |
| | | | | | | | | | |
|
Non-Agency Mortgage-Backed — 9.62% | |
Aames Mortgage Trust, Series 2002-1, | |
Class A3 (STEP) | |
6.51% | | 06/25/32 | | | 34,578 | | | | 33,740 | |
Adjustable Rate Mortgage Trust, | |
Series 2005-1, Class 1A1 | |
2.93% | | 05/25/352 | | | 764,528 | | | | 684,297 | |
Adjustable Rate Mortgage Trust, | |
Series 2005-11, Class 2A12 | |
2.64% | | 02/25/362 | | | 227,726 | | | | 226,052 | |
Adjustable Rate Mortgage Trust, | |
Series 2005-11, Class 2A41 | |
2.64% | | 02/25/362 | | | 459,606 | | | | 448,130 | |
See accompanying notes to Schedule of Portfolio Investments.
17 / Semi-Annual Report September 2014
Ultra Short Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
Asset-Backed Securities Corp. Home Equity | |
Loan Trust, Series 2005-HE4, Class M2 | |
0.83% | | 05/25/352 | | $ | 200,072 | | | $ | 200,552 | |
Banc of America Funding Corp., | |
Series 2003-2, Class 1A1 | |
6.50% | | 06/25/32 | | | 8,924 | | | | 9,465 | |
Banc of America Funding Corp., | |
Series 2006-G, Class 2A3 | |
0.32% | | 07/20/362 | | | 138,861 | | | | 138,950 | |
Banc of America Merrill Lynch Commercial | |
Mortgage, Inc., Series 2005-3, Class A4 | |
4.67% | | 07/10/43 | | | 1,028,000 | | | | 1,048,396 | |
Banc of America Mortgage Securities, Inc., | |
Series 2003-A, Class 2A2 | |
3.03% | | 02/25/332 | | | 3,093 | | | | 3,085 | |
BCAP LLC Trust, Series 2007-AA1, | |
Class 1A2 | |
0.32% | | 02/25/472 | | | 392,254 | | | | 358,724 | |
Centex Home Equity Loan Trust, | |
Series 2005-D, Class M1 | |
0.58% | | 10/25/352 | | | 575,000 | | | | 564,864 | |
Citigroup Mortgage Loan Trust, Inc., | |
Series 2004-HYB1, Class A41 | |
2.86% | | 02/25/342 | | | 119,097 | | | | 117,265 | |
Citigroup Mortgage Loan Trust, Inc., | |
Series 2005-WF2, Class MV1 | |
0.80% | | 08/25/352 | | | 346,317 | | | | 342,654 | |
Citigroup Mortgage Loan Trust, Inc., | |
Series 2007-WFH2, Class A3 | |
0.34% | | 03/25/372 | | | 2,300,827 | | | | 2,263,212 | |
Conseco Financial Corp., Series 1994-1, | |
Class A5 | |
7.65% | | 04/15/19 | | | 561 | | | | 584 | |
Countrywide Alternative Loan Trust, | |
Series 2004-J6, Class 2A1 | |
6.50% | | 11/25/31 | | | 128,600 | | | | 136,945 | |
Credit Suisse First Boston Commercial | |
Mortgage Trust, Series 2007-C5, Class AAB | |
5.62% | | 09/15/402 | | | 647,712 | | | | 684,031 | |
Credit Suisse First Boston Mortgage | |
Securities Corp., Series 2002-AR31, | |
Class 4A2 | |
2.65% | | 11/25/322 | | | 200,000 | | | | 182,175 | |
Credit-Based Asset Servicing and | |
Securitization LLC, Series 2007-CB4, | |
Class A2A (STEP) | |
4.54% | | 04/25/37 | | | 12,035 | | | | 12,054 | |
DBRR Trust, Series 2013-EZ2, Class A | |
0.85% | | 02/25/432,3 | | | 349,224 | | | | 348,895 | |
Downey Savings & Loan Association | |
Mortgage Loan Trust, Series 2004-AR3, | |
Class 2A2A | |
0.52% | | 07/19/442 | | | 353,911 | | | | 346,059 | |
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
Equifirst Mortgage Loan Trust, Series 2005-1, | |
Class M1 | |
0.58% | | 04/25/352 | | $ | 326,582 | | | $ | 326,915 | |
Fremont Home Loan Trust, Series 2005-C, | |
Class M1 | |
0.64% | | 07/25/352 | | | 316,935 | | | | 317,536 | |
GE Mortgage Services LLC, | |
Series 1998-HE1, Class A7 | |
6.46% | | 06/25/28 | | | 79 | | | | 78 | |
GMAC Mortgage Corp. Loan Trust, | |
Series 2003-GH1, Class A5 (STEP) | |
5.60% | | 07/25/34 | | | 22,441 | | | | 22,755 | |
Green Tree Home Improvement Loan Trust, | |
Series 1995-F, Class B2 | |
7.10% | | 01/15/21 | | | 4,566 | | | | 4,569 | |
GSAA Trust, Series 2006-2, Class 2A3 | |
0.42% | | 12/25/352 | | | 403,350 | | | | 400,952 | |
Home Equity Loan Trust, Series 2007-3, | |
Class APT | |
1.35% | | 11/20/362 | | | 708,539 | | | | 709,844 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2004-AR12, Class A1 | |
0.94% | | 12/25/342 | | | 684,361 | | | | 572,355 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2004-AR6, Class 6A1 | |
2.70% | | 10/25/342 | | | 612,470 | | | | 624,864 | |
IndyMac Manufactured Housing Contract, | |
Series 1998-2, Class A4 | |
6.64% | | 08/25/292 | | | 60,961 | | | | 60,834 | |
Irwin Home Equity Corp., Series 2003-A, | |
Class M2 | |
2.80% | | 10/25/272 | | | 8,295 | | | | 8,276 | |
JPMorgan Mortgage Trust, Series 2005-A2, | |
Class 9A1 | |
2.50% | | 04/25/352 | | | 515,050 | | | | 519,598 | |
MASTR Adjustable Rate Mortgages Trust, | |
Series 2004-1, Class 2A1 | |
2.75% | | 01/25/342 | | | 14,174 | | | | 13,821 | |
MASTR Adjustable Rate Mortgages Trust, | |
Series 2004-12, Class 5A1 | |
2.84% | | 10/25/342 | | | 741,464 | | | | 706,676 | |
MASTR Adjustable Rate Mortgages Trust, | |
Series 2004-5, Class 3A1 | |
2.59% | | 06/25/342 | | | 16,043 | | | | 15,522 | |
MASTR Adjustable Rate Mortgages Trust, | |
Series 2007-2, Class A2 | |
0.26% | | 03/25/472 | | | 632,411 | | | | 622,218 | |
MASTR Seasoned Securities Trust, | |
Series 2004-1, Class 4A1 | |
2.53% | | 10/25/322 | | | 82,044 | | | | 82,251 | |
Merrill Lynch Mortgage Investors, Inc., | |
Series 2003-A1, Class 2A | |
2.19% | | 12/25/322 | | | 221,178 | | | | 229,098 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2014 / 18
Ultra Short Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
Mid-State Trust, Series 6, Class A4 | |
7.79% | | 07/01/35 | | $ | 29,020 | | | $ | 31,188 | |
Park Place Securities, Inc., | |
Series 2005-WHQ2, Class A1B | |
0.42% | | 05/25/352 | | | 449,766 | | | | 449,103 | |
Residential Asset Mortgage Products, Inc., | |
Series 2003-RZ3, Class A6 (STEP) | |
3.90% | | 03/25/33 | | | 257,963 | | | | 259,797 | |
Residential Asset Mortgage Products, Inc., | |
Series 2003-SL1, Class A11 | |
7.12% | | 03/25/16 | | | 4,382 | | | | 4,463 | |
Residential Asset Mortgage Products, Inc., | |
Series 2004-SL1, Class A2 | |
8.50% | | 11/25/31† | | | 67,467 | | | | 26,986 | |
Residential Asset Mortgage Products, Inc., | |
Series 2004-SL1, Class A8 | |
6.50% | | 11/25/31 | | | 112,204 | | | | 115,962 | |
Residential Asset Securities Corp., | |
Series 2004-IP2, Class 2A1 | |
2.49% | | 12/25/342 | | | 278,319 | | | | 284,351 | |
Residential Asset Securities Corp., | |
Series 2005-KS12, Class A3 | |
0.48% | | 01/25/362 | | | 698,000 | | | | 691,779 | |
Residential Funding Mortgage Securities II, | |
Inc., Series 1999-HI6, Class AI7 (STEP) | |
8.60% | | 09/25/29 | | | 21,124 | | | | 21,144 | |
Residential Funding Mortgage Securities II, | |
Inc., Series 2000-HI1, Class AI7 (STEP) | |
8.29% | | 02/25/25 | | | 1,803 | | | | 1,800 | |
Soundview Home Equity Loan Trust, | |
Series 2006-WF2, Class A2C | |
0.30% | | 12/25/362 | | | 580,279 | | | | 571,930 | |
Structured Asset Investment Loan Trust, | |
Series 2005-5, Class M1 | |
0.78% | | 06/25/352 | | | 550,210 | | | | 551,737 | |
Structured Asset Securities Corp., | |
Series 2001-15A, Class 4A1 | |
2.18% | | 10/25/312 | | | 35,896 | | | | 36,165 | |
Terwin Mortgage Trust, Series 2004-13AL, | |
Class 2PX (IO) | |
0.34% | | 08/25/343,5 | | | 4,762,093 | | | | 69,183 | |
UCFC Home Equity Loan, Series 1998-D, | |
Class BF1 | |
8.96% | | 04/15/302 | | | 1,243 | | | | 182 | |
WaMu Alternative Mortgage Pass-Through | |
Certificates, Series 2005-4, Class CB13 | |
0.66% | | 06/25/352 | | | 411,106 | | | | 320,834 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2002-AR6, Class A | |
1.52% | | 06/25/422 | | | 78,377 | | | | 76,384 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2003-AR6, Class A1 | |
2.44% | | 06/25/332 | | | 238,744 | | | | 241,547 | |
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2003-MS9, Class 1A | |
7.00% | | 04/25/33 | | $ | 1,613 | | | $ | 1,654 | |
Wells Fargo Home Equity Trust, | |
Series 2005-3, Class M1 | |
0.56% | | 11/25/352 | | | 483,426 | | | | 483,541 | |
Wells Fargo Home Equity Trust, | |
Series 2005-4, Class AI3 | |
0.54% | | 12/25/352 | | | 610,673 | | | | 604,781 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 18,232,802 | |
| | | | | | | | | | |
|
U.S. Agency Mortgage-Backed — 43.62% | |
Fannie Mae Aces, Series 2014-M6, Class FA | |
0.46% | | 12/25/17 | | | 963,800 | | | | 965,306 | |
Fannie Mae Pool 111643 | |
1.93% | | 09/01/202 | | | 9,575 | | | | 9,645 | |
Fannie Mae Pool 254548 | |
5.50% | | 12/01/32 | | | 358,451 | | | | 402,358 | |
Fannie Mae Pool 523829 | |
8.00% | | 11/01/19 | | | 67,613 | | | | 75,970 | |
Fannie Mae Pool 555098 | |
2.47% | | 11/01/322 | | | 54,882 | | | | 57,848 | |
Fannie Mae Pool 555424 | |
5.50% | | 05/01/33 | | | 234,633 | | | | 262,040 | |
Fannie Mae Pool 567002 | |
8.00% | | 05/01/23 | | | 53,478 | | | | 60,328 | |
Fannie Mae Pool 646884 | |
1.79% | | 05/01/322 | | | 5,955 | | | | 5,979 | |
Fannie Mae Pool 648860 | |
6.50% | | 05/01/17 | | | 129,207 | | | | 134,743 | |
Fannie Mae Pool 655127 | |
7.00% | | 07/01/32 | | | 12,580 | | | | 13,318 | |
Fannie Mae Pool 655133 | |
7.00% | | 08/01/32 | | | 25,705 | | | | 28,728 | |
Fannie Mae Pool 655151 | |
7.00% | | 08/01/32 | | | 18,159 | | | | 19,637 | |
Fannie Mae Pool 745506 | |
5.66% | | 02/01/16 | | | 451,274 | | | | 470,756 | |
Fannie Mae Pool 754001 | |
2.63% | | 12/01/332 | | | 364,079 | | | | 366,741 | |
Fannie Mae Pool 762525 | |
6.50% | | 11/01/33 | | | 48,365 | | | | 53,510 | |
Fannie Mae Pool 770900 | |
2.06% | | 04/01/342 | | | 346,021 | | | | 369,105 | |
Fannie Mae Pool 893489 | |
2.25% | | 09/01/362 | | | 73,289 | | | | 78,603 | |
Fannie Mae Pool AD0538 | |
6.00% | | 05/01/24 | | | 214,414 | | | | 235,295 | |
Fannie Mae Pool AE0443 | |
6.50% | | 10/01/39 | | | 326,132 | | | | 370,169 | |
See accompanying notes to Schedule of Portfolio Investments.
19 / Semi-Annual Report September 2014
Ultra Short Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
Fannie Mae Pool AL0561 | |
3.74% | | 06/01/18 | | $ | 924,285 | | | $ | 984,199 | |
Fannie Mae Pool AL0851 | |
6.00% | | 10/01/40 | | | 280,108 | | | | 317,579 | |
Fannie Mae REMICS, Series 2003-29, | |
Class F | |
0.66% | | 12/25/322 | | | 853,656 | | | | 856,269 | |
Fannie Mae REMICS, Series 2003-64, | |
Class KS | |
9.44% | | 07/25/182 | | | 146,719 | | | | 162,125 | |
Fannie Mae REMICS, Series 2004-38, | |
Class FT | |
0.58% | | 10/25/332 | | | 1,141,281 | | | | 1,148,553 | |
Fannie Mae REMICS, Series 2005-57, | |
Class EG | |
0.46% | | 03/25/352 | | | 1,318,729 | | | | 1,322,956 | |
Fannie Mae REMICS, Series 2006-84, | |
Class WF | |
0.46% | | 02/25/362 | | | 535,682 | | | | 537,012 | |
Fannie Mae REMICS, Series 2009-111, | |
Class DA | |
5.00% | | 12/25/39 | | | 229,884 | | | | 249,619 | |
Fannie Mae REMICS, Series 2011-8, | |
Class PF | |
0.66% | | 01/25/402 | | | 676,164 | | | | 680,647 | |
Fannie Mae REMICS, Series 2012-19, | |
Class FP | |
0.66% | | 12/25/392 | | | 1,608,405 | | | | 1,612,447 | |
Fannie Mae REMICS, Series 2013-75, | |
Class FC | |
0.40% | | 07/25/422 | | | 1,458,026 | | | | 1,457,960 | |
Fannie Mae REMICS. Series 2004-92, | |
Class FD | |
0.50% | | 05/25/342 | | | 1,585,444 | | | | 1,592,090 | |
Fannie Mae, Series 1988-12, Class A | |
3.74% | | 02/25/182 | | | 26,181 | | | | 27,060 | |
Fannie Mae, Series 1993-80, Class S | |
10.69% | | 05/25/232 | | | 3,267 | | | | 3,666 | |
Fannie Mae, Series 2001-42, Class SB | |
8.50% | | 09/25/312 | | | 3,036 | | | | 3,363 | |
Fannie Mae, Series 2001-60, Class OF | |
1.10% | | 10/25/312 | | | 293,714 | | | | 302,780 | |
Fannie Mae, Series 2002-30, Class FB | |
1.16% | | 08/25/312 | | | 402,665 | | | | 411,500 | |
Fannie Mae, Series 2003-117, Class XF | |
0.50% | | 08/25/332 | | | 474,805 | | | | 475,744 | |
Fannie Mae, Series 2003-124, Class TS | |
9.80% | | 01/25/342 | | | 39,116 | | | | 47,246 | |
Fannie Mae, Series 2003-134, Class FC | |
0.76% | | 12/25/322 | | | 1,314,924 | | | | 1,335,542 | |
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
Fannie Mae, Series 2004-60, Class FW | |
0.60% | | 04/25/342 | | $ | 1,115,877 | | | $ | 1,124,631 | |
Fannie Mae, Series 2004-79, Class F | |
0.46% | | 08/25/322 | | | 394,925 | | | | 396,430 | |
Fannie Mae, Series 2004-96, Class MT | |
7.00% | | 12/25/342 | | | 10,049 | | | | 10,496 | |
Fannie Mae, Series 2006-56, Class FD | |
0.40% | | 07/25/362 | | | 1,471,264 | | | | 1,476,146 | |
Fannie Mae, Series 2007-68, Class SC (IO) | |
6.55% | | 07/25/372 | | | 455,089 | | | | 73,205 | |
Fannie Mae, Series 2008-47, Class PF | |
0.66% | | 06/25/382 | | | 344,873 | | | | 346,820 | |
Fannie Mae, Series 2009-33, Class FB | |
0.98% | | 03/25/372 | | | 430,066 | | | | 438,919 | |
Fannie Mae, Series 2010-109, Class PF | |
0.56% | | 10/25/402 | | | 248,553 | | | | 250,140 | |
Fannie Mae, Series 2010-119, Class FK | |
0.66% | | 04/25/402 | | | 994,949 | | | | 999,184 | |
Fannie Mae, Series 2010-26, Class S (IO) | |
6.08% | | 11/25/362 | | | 1,275,944 | | | | 185,880 | |
Fannie Mae, Series 2010-35, Class FL | |
0.60% | | 07/25/382 | | | 1,284,765 | | | | 1,289,110 | |
Fannie Mae, Series 2011-71, Class FB | |
0.66% | | 05/25/372 | | | 544,578 | | | | 548,948 | |
Fannie Mae, Series 2012-33, Class F | |
0.68% | | 04/25/422 | | | 1,661,627 | | | | 1,677,811 | |
Fannie Mae, Series 2014-M8, Class FA | |
0.42% | | 05/25/18 | | | 1,048,275 | | | | 1,049,888 | |
Federal Home Loan Bank (STEP) | |
0.75% | | 05/26/28 | | | 680,000 | | | | 678,737 | |
Freddie Mac Gold Pool C90237 | |
6.50% | | 11/01/18 | | | 38,165 | | | | 43,170 | |
Freddie Mac Gold Pool C90474 | |
7.00% | | 08/01/21 | | | 53,996 | | | | 60,653 | |
Freddie Mac Gold Pool D93410 | |
6.50% | | 04/01/19 | | | 37,028 | | | | 41,885 | |
Freddie Mac Gold Pool G13107 | |
5.50% | | 07/01/20 | | | 290,601 | | | | 308,060 | |
Freddie Mac Multifamily Structured | |
Pass-Through Certificates, Series K004, | |
Class A2 | |
4.19% | | 08/25/19 | | | 855,000 | | | | 931,659 | |
Freddie Mac Multifamily Structured | |
Pass-Through Certificates, Series K010, | |
Class A1 | |
3.32% | | 07/25/20 | | | 770,933 | | | | 808,461 | |
Freddie Mac Multifamily Structured | |
Pass-Through Certificates, Series K701, | |
Class A2 | |
3.88% | | 11/25/17 | | | 1,045,000 | | | | 1,111,292 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2014 / 20
Ultra Short Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
Freddie Mac Non Gold Pool 775554 | |
2.40% | | 10/01/182 | | $ | 2,753 | | | $ | 2,783 | |
Freddie Mac Non Gold Pool 865369 | |
2.65% | | 06/01/222 | | | 1,215 | | | | 1,243 | |
Freddie Mac REMICS, Series 2733, | |
Class FB | |
0.75% | | 10/15/332 | | | 1,060,000 | | | | 1,076,021 | |
Freddie Mac REMICS, Series 2763, | |
Class FC | |
0.50% | | 04/15/322 | | | 1,220,140 | | | | 1,226,074 | |
Freddie Mac REMICS, Series 2817, | |
Class FC | | | | | | | | | | |
0.60% | | 07/15/312 | | | 362,657 | | | | 362,942 | |
Freddie Mac REMICS, Series 2990, | |
Class DE | |
0.53% | | 11/15/342 | | | 2,075,371 | | | | 2,085,948 | |
Freddie Mac REMICS, Series 2990, | |
Class LE | |
0.47% | | 10/15/342 | | | 1,254,147 | | | | 1,258,395 | |
Freddie Mac REMICS, Series 3001, | |
Class HS | |
16.37% | | 02/15/352 | | | 64,438 | | | | 74,627 | |
Freddie Mac REMICS, Series 3085, | |
Class FW | |
0.85% | | 08/15/352 | | | 1,665,305 | | | | 1,691,855 | |
Freddie Mac REMICS, Series 3174, | |
Class FM | |
0.39% | | 05/15/362 | | | 1,424,641 | | | | 1,426,633 | |
Freddie Mac REMICS, Series 3423, | |
Class FA | |
0.65% | | 06/15/362 | | | 1,052,286 | | | | 1,054,377 | |
Freddie Mac REMICS, Series 3652, | |
Class PF | |
0.90% | | 07/15/322 | | | 414,412 | | | | 418,749 | |
Freddie Mac REMICS, Series 3806, | |
Class DF | |
0.55% | | 08/15/252 | | | 710,994 | | | | 714,055 | |
Freddie Mac REMICS, Series 3828, | |
Class TF | |
0.55% | | 04/15/292 | | | 699,713 | | | | 702,574 | |
Freddie Mac REMICS, Series 3831, | |
Class PV | |
5.00% | | 05/15/25 | | | 1,004,734 | | | | 1,094,489 | |
Freddie Mac REMICS, Series 3845, | |
Class FQ | |
0.40% | | 02/15/262 | | | 1,246,179 | | | | 1,247,171 | |
Freddie Mac Strips, Series 263, Class F5 | |
0.65% | | 06/15/422 | | | 922,850 | | | | 925,692 | |
Freddie Mac, Series 1526, Class L | |
6.50% | | 06/15/23 | | | 8,386 | | | | 9,189 | |
Freddie Mac, Series 2368, Class AF | |
1.10% | | 10/15/312 | | | 184,235 | | | | 189,814 | |
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
Freddie Mac, Series 2642, Class BW (IO) | |
5.00% | | 06/15/23 | | $ | 7,745 | | | $ | 735 | |
Freddie Mac, Series 2945, Class LD | |
4.00% | | 02/15/35 | | | 94,711 | | | | 98,708 | |
Freddie Mac, Series 2971, Class AB | |
5.00% | | 05/15/20 | | | 21,211 | | | | 22,232 | |
Freddie Mac, Series 3196, Class FA | |
0.50% | | 04/15/322 | | | 1,148,693 | | | | 1,151,660 | |
Freddie Mac, Series 3300, Class FA | |
0.45% | | 08/15/352 | | | 1,549,840 | | | | 1,553,056 | |
Freddie Mac, Series 3325, Class NF | |
0.45% | | 08/15/352 | | | 311,341 | | | | 311,988 | |
Freddie Mac, Series 3345, Class FP | |
0.35% | | 11/15/362 | | | 34,993 | | | | 35,050 | |
Freddie Mac, Series 3345, Class PF | |
0.33% | | 05/15/362 | | | 41,928 | | | | 41,987 | |
Freddie Mac, Series 3346, Class FA | |
0.38% | | 02/15/192 | | | 1,162,747 | | | | 1,163,988 | |
Freddie Mac, Series 3626, Class MA | |
5.00% | | 02/15/30 | | | 154,983 | | | | 156,477 | |
Freddie Mac, Series 3895, Class BF | |
0.65% | | 07/15/412 | | | 634,945 | | | | 639,889 | |
Freddie Mac, Series 3946, Class FG | |
0.50% | | 10/15/392 | | | 1,053,736 | | | | 1,057,222 | |
Freddie Mac, Series 4109, Class KF | |
0.55% | | 05/15/322 | | | 1,927,333 | | | | 1,927,802 | |
Freddie Mac, Series KS02, Class A | |
0.54% | | 08/25/23 | | | 995,898 | | | | 997,086 | |
Ginnie Mae II Pool 80546 | |
1.62% | | 10/20/312 | | | 23,083 | | | | 24,049 | |
Ginnie Mae II Pool 80610 | |
1.62% | | 06/20/322 | | | 279,318 | | | | 290,227 | |
Ginnie Mae II Pool 80614 | |
1.62% | | 07/20/322 | | | 38,527 | | | | 40,072 | |
Ginnie Mae II Pool 80687 | |
1.62% | | 04/20/332 | | | 186,846 | | | | 194,139 | |
Ginnie Mae II Pool 8339 | |
1.62% | | 12/20/232 | | | 43,072 | | | | 44,213 | |
Ginnie Mae II Pool 8684 | |
1.62% | | 08/20/252 | | | 57,589 | | | | 59,290 | |
Ginnie Mae II Pool MA0331 | |
2.50% | | 08/20/422 | | | 724,044 | | | | 743,690 | |
Ginnie Mae, Series 2001-22, Class FK | |
0.50% | | 05/16/312 | | | 1,583,973 | | | | 1,590,390 | |
Ginnie Mae, Series 2001-51, Class FA | |
0.65% | | 10/16/312 | | | 1,712,337 | | | | 1,725,209 | |
Ginnie Mae, Series 2002-16, Class FV | |
0.55% | | 02/16/322 | | | 1,737,436 | | | | 1,747,734 | |
See accompanying notes to Schedule of Portfolio Investments.
21 / Semi-Annual Report September 2014
Ultra Short Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
Ginnie Mae, Series 2002-20, Class FC | |
0.45% | | 03/16/322 | | $ | 785,534 | | | $ | 784,743 | |
Ginnie Mae, Series 2002-72, Class FB | |
0.55% | | 10/20/322 | | | 421,249 | | | | 424,032 | |
Ginnie Mae, Series 2002-72, Class FC | |
0.55% | | 10/20/322 | | | 401,764 | | | | 404,419 | |
Ginnie Mae, Series 2003-42, Class FA | |
0.55% | | 07/16/312 | | | 1,752,590 | | | | 1,758,466 | |
Ginnie Mae, Series 2004-2, Class FW | |
1.56% | | 01/16/342 | | | 489,231 | | | | 517,995 | |
Ginnie Mae, Series 2009-66, Class UF | |
1.15% | | 08/16/392 | | | 470,185 | | | | 479,876 | |
Ginnie Mae, Series 2009-92, Class FC | |
0.95% | | 10/16/392 | | | 479,509 | | | | 485,646 | |
Ginnie Mae, Series 2010-108, Class PF | |
0.55% | | 02/20/382 | | | 1,353,137 | | | | 1,359,060 | |
Ginnie Mae, Series 2010-118, Class B | |
2.81% | | 07/16/39 | | | 74,640 | | | | 74,806 | |
Ginnie Mae, Series 2010-2, Class FA | |
0.65% | | 05/20/372 | | | 1,411,621 | | | | 1,414,797 | |
Ginnie Mae, Series 2010-66, Class C | |
3.24% | | 04/16/42 | | | 785,239 | | | | 801,986 | |
Ginnie Mae, Series 2011-70, Class IL (IO) | |
0.60% | | 06/16/372 | | | 6,330,157 | | | | 118,001 | |
Ginnie Mae, Series 2011-80, Class BF | |
0.48% | | 06/20/362 | | | 1,455,944 | | | | 1,457,398 | |
Ginnie Mae, Series 2011-96, Class AB | |
2.16% | | 11/16/36 | | | 341,011 | | | | 341,623 | |
Ginnie Mae, Series 2012-10, Class FP | |
0.45% | | 01/20/412 | | | 1,121,123 | | | | 1,121,465 | |
Ginnie Mae, Series 2012-13, Class KF | |
0.45% | | 07/20/382 | | | 1,619,906 | | | | 1,626,339 | |
NCUA Guaranteed Notes, Series 2010-R1, | |
Class 1A | |
0.61% | | 10/07/202 | | | 1,340,447 | | | | 1,347,662 | |
NCUA Guaranteed Notes, Series 2010-R2, | |
Class 1A | |
0.53% | | 11/06/172 | | | 1,682,959 | | | | 1,687,298 | |
NCUA Guaranteed Notes, Series 2010-R3, | |
Class 1A | |
0.72% | | 12/08/202 | | | 1,104,993 | | | | 1,114,640 | |
NCUA Guaranteed Notes, Series 2011-C1, | |
Class 2A | |
0.69% | | 03/09/212 | | | 1,020,150 | | | | 1,022,915 | |
NCUA Guaranteed Notes, Series 2011-R3, | |
Class 1A | |
0.55% | | 03/11/202 | | | 626,086 | | | | 628,593 | |
NCUA Guaranteed Notes, Series 2011-R4, | |
Class 1A | |
0.54% | | 03/06/202 | | | 414,418 | | | | 415,411 | |
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
NCUA Guaranteed Notes, Series 2011-R5, | |
Class 1A | |
0.54% | | 04/06/202 | | $ | 633,564 | | | $ | 634,727 | |
NCUA Guaranteed Notes, Series 2011-R6, | |
Class 1A | |
0.54% | | 05/07/202 | | | 163,719 | | | | 163,862 | |
| | | | | | | �� | | | |
| | | |
| | | | | | | | | 82,725,245 | |
| | | | | | | | | | |
|
Total Mortgage-Backed | |
(Cost $121,731,068) | | | | | | | 122,386,157 | |
| | | | | | | | | | |
|
MUNICIPAL BONDS — 0.68%* | |
California — 0.27% | |
State of California, Taxable, Various Purpose, | |
Series 3 | | | | | | | | | | |
5.45% | | 04/01/15 | | | 500,000 | | | | 512,640 | |
| | | | | | | | | | |
|
Illinois — 0.41% | |
State of Illinois, Taxable Pension Bonds | |
4.35% | | 06/01/18 | | | 750,000 | | | | 784,170 | |
| | | | | | | | | | |
|
Total Municipal Bonds | |
(Cost $1,299,713) | | | | 1,296,810 | |
| | | | | | | | | | |
|
U.S. AGENCY SECURITIES — 2.75% | |
Federal Farm Credit Bank | |
0.17% | | 09/14/162 | | | 985,000 | | | | 985,239 | |
0.18% | | 04/26/172 | | | 2,000,000 | | | | 2,002,156 | |
0.20% | | 04/17/172 | | | 1,280,000 | | | | 1,282,048 | |
Federal Home Loan Bank | |
0.22% | | 10/07/152 | | | 940,000 | | | | 940,888 | |
| | | | | | | | | | |
|
Total U.S. Agency Securities | |
(Cost $5,204,679) | | | | 5,210,331 | |
| | | | | | | | | | |
|
U.S. TREASURY SECURITIES — 0.17% | |
U.S. Treasury Notes — 0.17% | |
U.S. Treasury Notes - Treasury Inflation | |
Indexed Notes | |
0.50% | | 04/15/156 | | | 300,000 | | | | 330,258 | |
| | | | | | | | | | |
|
Total U.S. Treasury Securities | |
(Cost $337,456) | | | | | |
Total Bonds – 86.83% | |
(Cost $163,774,151) | | | | 164,660,668 | |
| | | | | | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2014 / 22
Ultra Short Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount/
Share | | | Value | |
SHORT-TERM INVESTMENTS — 12.48% | |
Commercial Paper — 1.10% | |
RBS Holdings USA, Inc. | |
0.19%7 | | 10/27/14 | | $ | 2,080,000 | | | $ | 2,079,739 | |
| | | | | | | | | | |
|
Money Market Funds — 2.01% | |
Dreyfus Cash Advantage Fund | |
0.01%8 | | | | | 1,896,000 | | | | 1,896,000 | |
Morgan Stanley Institutional Fund | |
0.04%8 | | | | | 1,914,000 | | | | 1,914,000 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 3,810,000 | |
| | | | | | | | | | |
|
U.S. Agency Discount Notes — 9.37% | |
Fannie Mae | |
0.07%7 | | 11/05/14 | | | 4,075,000 | | | | 4,074,813 | |
Federal Home Loan Bank | |
0.06%7 | | 11/14/14 | | | 2,215,000 | | | | 2,214,954 | |
0.08%7 | | 11/07/14 | | | 2,805,000 | | | | 2,804,865 | |
0.08%7 | | 03/06/15 | | | 3,000,000 | | | | 2,999,739 | |
0.08%7 | | 03/18/15 | | | 1,475,000 | | | | 1,474,863 | |
0.09%7 | | 10/17/14 | | | 2,000,000 | | | | 1,999,976 | |
Freddie Mac | |
0.06%7 | | 03/23/15 | | | 2,200,000 | | | | 2,199,789 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 17,768,999 | |
| | | | | | | | | | |
|
Total Short-Term Investments | |
(Cost $23,656,812) | | | | 23,658,738 | |
| | | | | | | | | | |
|
Total Investments – 99.31% | |
(Cost $187,430,963)1 | | | | 188,319,406 | |
| | | | | | | | | | |
|
Cash and Other Assets, Less | |
Liabilities – 0.69% | | | | 1,310,006 | |
| | | | | | | | | | |
| |
Net Assets – 100.00% | | | $ | 189,629,412 | |
| | | | | | | | | | |
Notes:
| 1 | Cost for federal income tax purposes is $187,438,122 and net unrealized appreciation/(depreciation) consists of: |
| | | | |
Gross unrealized appreciation | | $ | 1,579,974 | |
Gross unrealized (depreciation) | | | (698,690 | ) |
| | | | |
Net unrealized appreciation | | $ | 881,284 | |
| | | | |
| 2 | Floating rate security. The rate disclosed was in effect at September 30, 2014. |
| 3 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| 4 | U.S. dollar-denominated security issued by foreign-domiciled entity. |
| 5 | Illiquid security as determined under procedures approved by the Funds’ Board of Trustees. The aggregate value of illiquid securities is $69,183, which is 0.04% of total net assets. |
| 6 | Inflation protected security. Principal amount reflects original security face amount. |
| 7 | Represents annualized yield at date of purchase. |
| 8 | Represents the current yield as of September 30, 2014. |
| † | Fair valued security. The aggregate value of fair valued securities is $26,986, which is 0.01% of total net assets, which have not been valued utilizing an independent quote and were valued pursuant to guidelines established by the Board of Trustees. This figure represents securities that are priced using a benchmark pricing system and securities that have been deemed permanently stale, see Notes to Financial Statements. |
| * | Securities with a call or reset feature will have an effective maturity date sooner than the stated maturity. |
| ** | Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date sooner than the stated maturity date. |
Note: For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for more meaningful presentation for investors.
(BKNT): Banker’s Note, Inc.
(IO): Interest only
(MTN): Medium-term note
(STEP): Step coupon bond
(YCD): Yankee Certificate of Deposit
See accompanying notes to Schedule of Portfolio Investments.
23 / Semi-Annual Report September 2014
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BONDS – 82.05% | |
ASSET-BACKED SECURITIES — 14.66%** | |
Alm Loan Funding, Series 2012-7A, Class A1 | |
(Cayman Islands) | |
1.65% | | | 10/19/24 | 2,3,4 | | $ | 4,200,000 | | | $ | 4,195,254 | |
ARES CLO Ltd., Series 2007-12A, Class A | |
(Cayman Islands) | |
0.86% | | | 11/25/20 | 2,3,4 | | | 4,851,622 | | | | 4,832,584 | |
Axis Equipment Finance Receivables LLC, | |
Series 2012-1I, Class E1 | |
6.25% | | | 04/20/16 | | | | 975,815 | | | | 979,597 | |
Bayview Commercial Asset Trust, | |
Series 2005-1A, Class A1 | |
0.46% | | | 04/25/35 | 3,4 | | | 594,286 | | | | 549,562 | |
Bayview Commercial Asset Trust, | |
Series 2005-2A, Class A1 | |
0.46% | | | 08/25/35 | 3,4 | | | 2,551,442 | | | | 2,330,561 | |
Bayview Commercial Asset Trust, | |
Series 2007-1, Class A1 | |
0.38% | | | 03/25/37 | 3,4 | | | 488,207 | | | | 443,196 | |
Bayview Commercial Asset Trust, | |
Series 2007-3, Class A1 | |
0.40% | | | 07/25/37 | 3,4 | | | 4,172,929 | | | | 3,733,590 | |
Blue Hill CLO Ltd., Series 2013-1A, Class A | |
1.71% | | | 01/15/26 | 3,4 | | | 8,350,000 | | | | 8,356,441 | |
BlueMountain CLO Ltd., Series 2013-4A, | |
Class A (Cayman Islands) | |
1.73% | | | 04/15/25 | 2,3,4 | | | 4,235,000 | | | | 4,239,510 | |
Brazos Higher Education Authority, Inc., | |
Series 2003 I, Class A3 | |
0.38% | | | 09/26/22 | 3 | | | 4,135,964 | | | | 4,117,280 | |
Brazos Higher Education Authority, Inc., | |
Series 2010-1, Class A2 | |
1.44% | | | 02/25/35 | 3 | | | 3,070,000 | | | | 3,165,260 | |
Brazos Higher Education Authority, Inc., | |
Series 2011-1, Class A2 | |
1.04% | | | 02/25/30 | 3 | | | 355,252 | | | | 358,977 | |
Brazos Higher Education Authority, Inc., | |
Series 2011-2, Class A3 | |
1.23% | | | 10/27/36 | 3 | | | 5,075,000 | | | | 5,156,559 | |
Cent CLO LP, Series 2013-19A, Class A1A | |
(Cayman Islands) | |
1.56% | | | 10/29/25 | 2,3,4 | | | 9,980,946 | | | | 9,930,113 | |
Cronos Containers Program Ltd., | |
Series 2012-2A, Class A (Bermuda) | |
3.81% | | | 09/18/27 | 2,4 | | | 3,040,000 | | | | 3,043,092 | |
Dryden XXII Senior Loan Fund, | |
Series 2013-30A, Class A (Cayman Islands) | |
1.48% | | | 11/15/25 | 2,3,4 | | | 7,500,000 | | | | 7,429,088 | |
Education Loan Asset-Backed Trust, Series | |
2013-1A, Class A2 | |
0.96% | | | 04/26/32 | 3,4 | | | 8,375,000 | | | | 8,384,428 | |
Flatiron CLO Ltd., Series 2013-1A, Class A1 | |
(Cayman Islands) | |
1.63% | | | 01/17/26 | 2,3,4 | | | 8,550,000 | | | | 8,540,253 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | |
GCO Education Loan Funding Trust, | |
Series 2006-2AR, Class A1RN | |
0.80% | | | 08/27/46 | 3,4 | | $ | 9,250,486 | | | $ | 9,022,345 | |
GCO Education Loan Funding Trust, | |
Series 2007-1A, Class A5L | |
0.30% | | | 05/25/23 | 3,4 | | | 2,047,607 | | | | 2,032,880 | |
GE Business Loan Trust, Series 2004-2A, | |
Class A | |
0.37% | | | 12/15/32 | 3,4 | | | 3,048,553 | | | | 2,974,153 | |
GE Business Loan Trust, Series 2005-1A, | |
Class A3 | |
0.40% | | | 06/15/33 | 3,4 | | | 2,054,912 | | | | 1,995,731 | |
Goal Capital Funding Trust, Series 2006-1, | |
Class A3 | |
0.36% | | | 11/25/26 | 3 | | | 3,324,924 | | | | 3,297,221 | |
Goal Capital Funding Trust, Series 2006-1, | |
Class B | |
0.68% | | | 08/25/42 | 3 | | | 4,273,482 | | | | 3,942,845 | |
ING Investment Management Ltd., | |
Series 2012-4A, Class A1 (Cayman Islands) | |
1.62% | | | 10/15/23 | 2,3,4 | | | 4,550,000 | | | | 4,542,602 | |
J.G. Wentworth XXX LLC, Series 2013-3A, | |
Class A | |
4.08% | | | 01/17/73 | 4 | | | 5,446,189 | | | | 5,662,302 | |
Latitude CLO II Corp., Series 2006-2A, | |
Class A2 (Cayman Islands) | |
0.56% | | | 12/15/18 | 2,3,4 | | | 3,664,013 | | | | 3,641,536 | |
LCM VI LP, Series 6A, Class A | |
(Cayman Islands) | |
0.47% | | | 05/28/19 | 2,3,4 | | | 4,012,038 | | | | 4,006,099 | |
Limerock CLO, Series 2014-2A, Class A | |
(Cayman Islands) | |
1.73% | | | 04/18/26 | 2,3,4 | | | 7,425,000 | | | | 7,428,683 | |
National Collegiate Student Loan Trust, | |
Series 2006-1, Class A3 | |
0.34% | | | 05/25/26 | 3 | | | 4,900,338 | | | | 4,867,055 | |
National Collegiate Student Loan Trust, | |
Series 2006-3, Class A3 | |
0.30% | | | 10/25/27 | 3 | | | 1,927,378 | | | | 1,903,344 | |
National Collegiate Student Loan Trust, | |
Series 2007-1, Class A2 | |
0.28% | | | 11/27/28 | 3 | | | 748,229 | | | | 741,119 | |
National Collegiate Student Loan Trust, | |
Series 2007-2, Class A2 | |
0.28% | | | 06/26/28 | 3 | | | 5,259,868 | | | | 5,135,202 | |
National Collegiate Student Loan Trust, | |
Series 2007-4, Class A2A3 | |
3.65% | | | 12/26/25 | 3 | | | 250,000 | | | | 249,680 | |
Nelnet Student Loan Trust, Series 2007-1, | |
Class A1 | |
0.24% | | | 11/27/18 | 3 | | | 519,829 | | | | 519,591 | |
Nelnet Student Loan Trust, Series 2008-4, | |
Class A4 | |
1.71% | | | 04/25/24 | 3 | | | 8,310,000 | | | | 8,532,093 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2014 / 24
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | |
Nelnet Student Loan Trust, Series 2012-5A, | |
Class A | |
0.76% | | | 10/27/36 | 3,4 | | $ | 3,848,764 | | | $ | 3,839,535 | |
Nelnet Student Loan Trust, Series 2013-1A, | |
Class A | |
0.76% | | | 06/25/41 | 3,4 | | | 5,611,101 | | | | 5,633,007 | |
Nelnet Student Loan Trust, Series 2014-5A, | |
Class A | |
0.70% | | | 07/25/41 | 3,4 | | | 17,449,760 | | | | 17,478,035 | |
North Carolina State Education Authority, | |
Series 2011-1, Class A3 | |
1.14% | | | 10/25/41 | 3 | | | 5,500,000 | | | | 5,588,715 | |
Northstar Education Finance, Inc. | |
0.34% | | | 04/28/30 | 3 | | | 5,605,000 | | | | 5,473,563 | |
Oak Hill Credit Partners, Series 2012-7A, | |
Class A (Cayman Islands) | |
1.65% | | | 11/20/23 | 2,3,4 | | | 5,350,000 | | | | 5,340,375 | |
Octagon Investment Partners XI Ltd., | |
Series 2007-1X, Class A1B | |
0.50% | | | 08/25/21 | 4,5 | | | 3,750,000 | | | | 3,697,788 | |
OHA Credit Partners IX Ltd., Series 2013-9A, | |
Class A1 (Cayman Islands) | |
1.63% | | | 10/20/25 | 2,3,4 | | | 9,621,703 | | | | 9,602,084 | |
OHA Loan Funding Ltd., Series 2012-1A, | |
Class A (Cayman Islands) | |
1.62% | | | 01/23/25 | 2,3,4 | | | 7,000,000 | | | | 6,971,615 | |
SLC Student Loan Trust I, Series 2002-2, | |
Class B2 | |
0.04% | | | 07/01/42 | 3,4 | | | 4,500,000 | | | | 3,479,279 | |
SLC Student Loan Trust, Series 2004-1, | |
Class B | |
0.52% | | | 08/15/31 | 3 | | | 2,085,318 | | | | 1,918,515 | |
SLC Student Loan Trust, Series 2005-1, | |
Class A2 | |
0.31% | | | 11/15/21 | 3 | | | 265,935 | | | | 265,837 | |
SLC Student Loan Trust, Series 2006-1, | |
Class A4 | |
0.31% | | | 12/15/21 | 3 | | | 187,968 | | | | 187,559 | |
SLC Student Loan Trust, Series 2007-1, | |
Class A3 | |
0.26% | | | 11/15/21 | 3 | | | 5,176,161 | | | | 5,174,404 | |
SLC Student Loan Trust, Series 2007-1, | |
Class A4 | |
0.29% | | | 05/15/29 | 3 | | | 8,000,000 | | | | 7,765,268 | |
SLM Student Loan Trust, Series 2003-11, | |
Class A5 | |
0.28% | | | 12/15/22 | 3,4 | | | 7,839,930 | | | | 7,816,316 | |
SLM Student Loan Trust, Series 2003-12, | |
Class A5 | |
0.51% | | | 09/15/22 | 3,4 | | | 7,511,826 | | | | 7,514,004 | |
SLM Student Loan Trust, Series 2003-8, | |
Class A4 | |
0.43% | | | 03/15/19 | 3 | | | 2,014,506 | | | | 2,014,013 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | |
SLM Student Loan Trust, Series 2004-1, | |
Class A3 | |
0.44% | | | 04/25/23 | 3 | | $ | 195,390 | | | $ | 195,160 | |
SLM Student Loan Trust, Series 2004-2, | |
Class B | |
0.70% | | | 07/25/39 | 3 | | | 2,402,599 | | | | 2,245,382 | |
SLM Student Loan Trust, Series 2004-5A, | |
Class A5 | |
0.76% | | | 10/25/23 | 3,4 | | | 7,235,000 | | | | 7,275,091 | |
SLM Student Loan Trust, Series 2004-7, | |
Class A5 | |
0.40% | | | 01/27/20 | 3 | | | 514,233 | | | | 513,359 | |
SLM Student Loan Trust, Series 2004-8, | |
Class B | |
0.69% | | | 01/25/40 | 3 | | | 894,860 | | | | 821,500 | |
SLM Student Loan Trust, Series 2004-9, | |
Class A5 | |
0.38% | | | 01/27/20 | 3 | | | 294,765 | | | | 294,228 | |
SLM Student Loan Trust, Series 2004-A, | |
Class A3 | |
0.63% | | | 06/15/33 | 3 | | | 1,900,000 | | | | 1,839,323 | |
SLM Student Loan Trust, Series 2004-B, | |
Class A3 | |
0.56% | | | 03/15/24 | 3 | | | 5,100,000 | | | | 4,869,926 | |
SLM Student Loan Trust, Series 2005-10, | |
Class A4 | |
0.34% | | | 10/25/19 | 3 | | | 6,977,322 | | | | 6,968,921 | |
SLM Student Loan Trust, Series 2005-2, | |
Class A5 | |
0.32% | | | 04/27/20 | 3 | | | 2,758,654 | | | | 2,749,047 | |
SLM Student Loan Trust, Series 2005-4, | |
Class A3 | |
0.35% | | | 01/25/27 | 3 | | | 6,370,000 | | | | 6,293,812 | |
SLM Student Loan Trust, Series 2005-4, | |
Class B | |
0.41% | | | 07/25/40 | 3 | | | 2,959,353 | | | | 2,664,707 | |
SLM Student Loan Trust, Series 2005-5, | |
Class A3 | |
0.33% | | | 04/25/25 | 3 | | | 637,282 | | | | 635,504 | |
SLM Student Loan Trust, Series 2005-8, | |
Class A3 | |
0.34% | | | 10/25/24 | 3 | | | 3,035,652 | | | | 3,030,627 | |
SLM Student Loan Trust, Series 2005-8, | |
Class A4 | |
0.98% | | | 01/25/28 | 3 | | | 9,485,000 | | | | 9,497,543 | |
SLM Student Loan Trust, Series 2006-2, | |
Class A4 | |
0.32% | | | 10/25/22 | 3 | | | 6,003,001 | | | | 5,999,903 | |
SLM Student Loan Trust, Series 2006-2, | |
Class A6 | |
0.40% | | | 01/25/41 | 3 | | | 6,000,000 | | | | 5,574,138 | |
SLM Student Loan Trust, Series 2006-4, | |
Class A5 | |
0.33% | | | 10/27/25 | 3 | | | 7,906,799 | | | | 7,888,124 | |
See accompanying notes to Schedule of Portfolio Investments.
25 / Semi-Annual Report September 2014
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | |
SLM Student Loan Trust, Series 2006-5, | |
Class A5 | |
0.34% | | | 01/25/27 | 3 | | $ | 9,000,000 | | | $ | 8,901,314 | |
SLM Student Loan Trust, Series 2006-8, | |
Class A6 | |
0.39% | | | 01/25/41 | 3 | | | 6,000,000 | | | | 5,472,645 | |
SLM Student Loan Trust, Series 2007-1, | |
Class A5 | |
0.32% | | | 01/26/26 | 3 | | | 2,970,000 | | | | 2,909,801 | |
SLM Student Loan Trust, Series 2007-2, | |
Class A2 | |
0.23% | | | 07/25/17 | 3 | | | 1,210,896 | | | | 1,208,546 | |
SLM Student Loan Trust, Series 2007-6, | |
Class B | |
1.08% | | | 04/27/43 | 3 | | | 1,039,873 | | | | 951,877 | |
SLM Student Loan Trust, Series 2007-7, | |
Class A3 | |
0.47% | | | 04/25/17 | 3 | | | 7,000,000 | | | | 6,996,584 | |
SLM Student Loan Trust, Series 2008-2, | |
Class B | |
1.43% | | | 01/25/29 | 3 | | | 1,095,000 | | | | 1,005,492 | |
SLM Student Loan Trust, Series 2008-3, | |
Class B | |
1.43% | | | 04/25/29 | 3 | | | 1,095,000 | | | | 1,013,555 | |
SLM Student Loan Trust, Series 2008-4, | |
Class A4 | |
1.88% | | | 07/25/22 | 3 | | | 4,531,000 | | | | 4,772,264 | |
SLM Student Loan Trust, Series 2008-4, | |
Class B | |
2.08% | | | 04/25/29 | 3 | | | 1,095,000 | | | | 1,104,723 | |
SLM Student Loan Trust, Series 2008-5, | |
Class A3 | |
1.53% | | | 01/25/18 | 3 | | | 7,161,954 | | | | 7,206,698 | |
SLM Student Loan Trust, Series 2008-5, | |
Class A4 | |
1.93% | | | 07/25/23 | 3 | | | 7,000,000 | | | | 7,312,365 | |
SLM Student Loan Trust, Series 2008-5, | |
Class B | |
2.08% | | | 07/25/29 | 3 | | | 1,095,000 | | | | 1,128,172 | |
SLM Student Loan Trust, Series 2008-6, | |
Class B | |
2.08% | | | 07/25/29 | 3 | | | 1,095,000 | | | | 1,104,895 | |
SLM Student Loan Trust, Series 2008-7, | |
Class B | |
2.08% | | | 07/25/29 | 3 | | | 1,095,000 | | | | 1,103,381 | |
SLM Student Loan Trust, Series 2008-8, | |
Class A4 | |
1.73% | | | 04/25/23 | 3 | | | 8,200,000 | | | | 8,560,230 | |
SLM Student Loan Trust, Series 2008-8, | |
Class B | |
2.48% | | | 10/25/29 | 3 | | | 1,095,000 | | | | 1,151,834 | |
SLM Student Loan Trust, Series 2008-9, | |
Class A | |
1.73% | | | 04/25/23 | 3 | | | 6,847,532 | | | | 7,103,271 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | |
SLM Student Loan Trust, Series 2008-9, | |
Class B | |
2.48% | | | 10/25/29 | 3 | | $ | 1,095,000 | | | $ | 1,157,207 | |
SLM Student Loan Trust, Series 2010-1, | |
Class A | |
0.56% | | | 03/25/25 | 3 | | | 19,190,920 | | | | 19,221,553 | |
SLM Student Loan Trust, Series 2011-1, | |
Class A1 | |
0.68% | | | 03/25/26 | 3 | | | 670,280 | | | | 674,998 | |
SLM Student Loan Trust, Series 2012-1, | |
Class A2 | |
0.60% | | | 11/25/20 | 3 | | | 1,558,297 | | | | 1,560,673 | |
SLM Student Loan Trust, Series 2012-1, | |
Class A3 | |
1.10% | | | 09/25/28 | 3 | | | 7,504,000 | | | | 7,697,112 | |
SLM Student Loan Trust, Series 2012-3, | |
Class A | |
0.80% | | | 12/26/25 | 3 | | | 17,700,146 | | | | 17,876,136 | |
SLM Student Loan Trust, Series 2012-5, | |
Class A2 | |
0.46% | | | 06/25/19 | 3 | | | 2,185,000 | | | | 2,185,340 | |
SLM Student Loan Trust, Series 2012-6, | |
Class A2 | |
0.44% | | | 09/25/19 | 3 | | | 1,600,694 | | | | 1,601,114 | |
SLM Student Loan Trust, Series 2012-6, | |
Class A3 | |
0.90% | | | 05/26/26 | 3 | | | 8,942,000 | | | | 9,065,252 | |
SLM Student Loan Trust, Series 2012-7, | |
Class A2 | |
0.44% | | | 09/25/19 | 3 | | | 3,170,000 | | | | 3,171,103 | |
SLM Student Loan Trust, Series 2012-7, | |
Class A3 | |
0.80% | | | 05/26/26 | 3 | | | 4,460,000 | | | | 4,467,627 | |
SLM Student Loan Trust, Series 2013-1, | |
Class A2 | |
0.40% | | | 09/25/19 | 3 | | | 1,370,000 | | | | 1,368,809 | |
SLM Student Loan Trust, Series 2013-2, | |
Class A | |
0.60% | | | 09/25/26 | 3 | | | 16,678,050 | | | | 16,675,105 | |
SLM Student Loan Trust, Series 2013-3, | |
Class A2 | |
0.46% | | | 05/26/20 | 3 | | | 8,715,000 | | | | 8,713,976 | |
SLM Student Loan Trust, Series 2013-4, | |
Class A | |
0.70% | | | 06/25/27 | 3 | | | 7,642,044 | | | | 7,659,291 | |
SLM Student Loan Trust, Series 2013-5, | |
Class A2 | |
0.56% | | | 10/26/20 | 3 | | | 8,745,000 | | | | 8,771,650 | |
SLM Student Loan Trust, Series 2013-6, | |
Class A2 | |
0.66% | | | 02/25/21 | 3 | | | 8,830,000 | | | | 8,857,572 | |
SLM Student Loan Trust, Series 2014-1, | |
Class A3 | |
0.76% | | | 02/26/29 | 3 | | | 6,900,000 | | | | 6,915,925 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2014 / 26
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | |
SLM Student Loan Trust, Series 2014-2, | |
Class A2 | |
0.50% | | | 10/25/21 | 3 | | $ | 4,665,000 | | | $ | 4,667,099 | |
South Carolina Student Loan Corp., Series A2 | |
0.35% | | | 12/01/20 | 3 | | | 2,433,534 | | | | 2,421,262 | |
Spirit Master Funding LLC, Series 2014-1A, | |
Class A1 | |
5.05% | | | 07/20/40 | 4 | | | 3,353,088 | | | | 3,578,382 | |
TAL Advantage LLC, Series 2006-1, | |
Class NOTE | |
0.35% | | | 04/20/21 | 3,4 | | | 930,208 | | | | 922,182 | |
Triton Container Finance LLC, | |
Series 2007-1A, Class NOTE | |
0.29% | | | 02/26/19 | 3,4 | | | 321,615 | | | | 320,966 | |
| | | | | | | | | | | | |
|
Total Asset-Backed Securities | |
(Cost $521,093,686) | | | | | | | | 527,954,014 | |
| | | | | | | | | | | | |
|
BANK LOANS — 0.66%* | |
Communications — 0.15% | |
Charter Communications Operating LLC, | |
Term Loan G, 1st Lien | |
4.25% | | | 09/10/21 | 3 | | | 5,500,000 | | | | 5,493,428 | |
| | | | | | | | | | | | |
|
Energy — 0.13% | |
Offshore Group Investment Ltd., | |
Term Loan B, 1st Lien | |
5.00% | | | 10/25/17 | 3 | | | 4,837,894 | | | | 4,665,570 | |
| | | | | | | | | | | | |
|
Health Care — 0.33% | |
HCA, Inc., Term Loan B4 | |
2.98% | | | 05/01/18 | 3 | | | 6,020,569 | | | | 5,957,864 | |
Valeant Pharmaceuticals International, Inc., | |
Term Loan (Canada) | |
3.75% | | | 08/05/20 | 2,3 | | | 5,986,516 | | | | 5,925,154 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 11,883,018 | |
| | | | | | | | | | | | |
|
Services — 0.05% | |
AABS Ltd. Loan, Series 2013-1, Class A | |
(STEP) (Bermuda) | |
4.72% | | | 01/15/38 | 2,3,† | | | 1,522,917 | | | | 1,576,175 | |
| | | | | | | | | | | | |
|
Total Bank Loans | |
(Cost $23,848,715) | | | | | | | | 23,618,191 | |
| | | | | | | | | | | | |
|
CORPORATES — 17.60%* | |
Automotive — 0.42% | |
Nissan Motor Acceptance Corp. | |
0.94% | | | 09/26/16 | 3,4 | | | 15,000,000 | | | | 15,130,378 | |
| | | | | | | | | | | | |
|
Banking — 2.68% | |
Abbey National Treasury Services | |
PLC/London (United Kingdom) | |
3.88% | | | 11/10/14 | 2,4 | | | 3,185,000 | | | | 3,196,431 | |
Ally Financial, Inc. | |
2.43% | | | 12/01/14 | 3 | | | 1,424,000 | | | | 1,425,780 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Banking (continued) | |
Bank of America Corp. | |
6.50% | | | 08/01/16 | | | $ | 6,700,000 | | | $ | 7,315,904 | |
Bank of America Corp., Series L (MTN) | |
5.65% | | | 05/01/18 | | | | 300,000 | | | | 334,702 | |
Bank of America N.A. (BKNT) | |
0.51% | | | 06/15/16 | 3 | | | 1,900,000 | | | | 1,892,096 | |
0.53% | | | 06/15/17 | 3 | | | 2,500,000 | | | | 2,484,505 | |
6.10% | | | 06/15/17 | | | | 5,000,000 | | | | 5,574,867 | |
Capital One Financial Corp. | |
1.00% | | | 11/06/15 | | | | 2,600,000 | | | | 2,608,253 | |
Credit Suisse/New York (YCD) (Switzerland) | |
0.47% | | | 04/10/15 | 2,3 | | | 4,000,000 | | | | 4,006,444 | |
0.56% | | | 08/24/15 | 2,3 | | | 20,000,000 | | | | 19,995,400 | |
JPMorgan Chase & Co. | |
3.45% | | | 03/01/16 | | | | 5,300,000 | | | | 5,492,771 | |
JPMorgan Chase Bank N.A. | |
0.56% | | | 06/13/16 | 3 | | | 4,250,000 | | | | 4,243,948 | |
JPMorgan Chase Bank N.A. (BKNT) | |
6.00% | | | 10/01/17 | | | | 12,700,000 | | | | 14,209,179 | |
Lloyds TSB Bank PLC (United Kingdom) | |
4.88% | | | 01/21/16 | 2 | | | 10,380,000 | | | | 10,931,669 | |
Macquarie Bank Ltd. (Australia) | |
0.68% | | | 06/15/16 | 2,3,4 | | | 4,350,000 | | | | 4,351,830 | |
Royal Bank of Scotland PLC | |
(United Kingdom) | |
2.55% | | | 09/18/15 | 2 | | | 5,000,000 | | | | 5,075,565 | |
UBS AG/Stamford CT (MTN) (Switzerland) | |
2.38% | | | 08/14/19 | 2 | | | 3,300,000 | | | | 3,274,204 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 96,413,548 | |
| | | | | | | | | | | | |
|
Communications — 0.67% | |
AT&T, Inc. | |
2.50% | | | 08/15/15 | | | | 2,645,000 | | | | 2,690,441 | |
Verizon Communications, Inc. | |
1.00% | | | 06/17/19 | 3 | | | 5,750,000 | | | | 5,836,411 | |
1.98% | | | 09/14/18 | 3 | | | 2,950,000 | | | | 3,110,335 | |
2.62% | | | 02/21/20 | 4 | | | 3,708,000 | | | | 3,666,044 | |
Verizon Communications, Inc., Series FRN | |
0.63% | | | 06/09/17 | 3 | | | 5,000,000 | | | | 5,015,265 | |
Windstream Corp. | |
7.88% | | | 11/01/17 | | | | 3,450,000 | | | | 3,833,985 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 24,152,481 | |
| | | | | | | | | | | | |
|
Consumer Discretionary — 0.36% | |
Catholic Health Initiatives | |
2.60% | | | 08/01/18 | | | | 13,000,000 | | | | 13,163,611 | |
| | | | | | | | | | | | |
|
Electric — 1.58% | |
AES Corp. | |
3.23% | | | 06/01/19 | 3 | | | 3,000,000 | | | | 2,985,000 | |
See accompanying notes to Schedule of Portfolio Investments.
27 / Semi-Annual Report September 2014
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Electric (continued) | |
FirstEnergy Corp., Series A | |
2.75% | | | 03/15/18 | | | $ | 6,000,000 | | | $ | 6,028,576 | |
Florida Gas Transmission Co. LLC | |
7.90% | | | 05/15/19 | 4 | | | 3,320,000 | | | | 4,073,466 | |
FPL Energy National Wind Portfolio LLC | |
6.12% | | | 03/25/19 | 4 | | | 7,581 | | | | 7,477 | |
Homer City Generation LP (PIK) | |
8.14% | | | 10/01/19 | 6 | | | 8,200,000 | | | | 8,569,000 | |
Ipalco Enterprises, Inc. | |
7.25% | | | 04/01/16 | 4 | | | 8,830,000 | | | | 9,500,899 | |
Oncor Electric Delivery Co. LLC | |
6.80% | | | 09/01/18 | | | | 14,109,000 | | | | 16,554,449 | |
Trans-Allegheny Interstate Line Co. | |
4.00% | | | 01/15/15 | 4 | | | 7,000,000 | | | | 7,070,062 | |
W3A Funding Corp. | |
8.09% | | | 01/02/17 | | | | 2,322,988 | | | | 2,323,978 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 57,112,907 | |
| | | | | | | | | | | | |
|
Energy — 1.56% | |
Chesapeake Energy Corp. | |
3.48% | | | 04/15/19 | 3 | | | 7,000,000 | | | | 7,043,750 | |
El Paso Pipeline Partners | |
4.10% | | | 11/15/15 | | | | 3,000,000 | | | | 3,101,349 | |
Energy Transfer Partners LP | |
3.26% | | | 11/01/66 | 3 | | | 3,000,000 | | | | 2,838,750 | |
Florida Gas Transmission Co. LLC | |
4.00% | | | 07/15/15 | 4 | | | 6,450,000 | | | | 6,609,407 | |
Petrobras Global Finance BV (Netherlands) | |
1.85% | | | 05/20/16 | 2,3 | | | 2,382,000 | | | | 2,382,938 | |
Rockies Express Pipeline LLC | |
3.90% | | | 04/15/15 | 4 | | | 5,500,000 | | | | 5,513,750 | |
Sabine Pass LNG LP | |
7.50% | | | 11/30/16 | | | | 11,652,000 | | | | 12,453,075 | |
7.50% | | | 11/30/16 | 4 | | | 4,275,000 | | | | 4,552,875 | |
Tennessee Gas Pipeline Co. LLC | |
8.00% | | | 02/01/16 | | | | 8,673,000 | | | | 9,457,837 | |
Trans-Canada Pipelines Ltd. (Canada) | |
0.91% | | | 06/30/16 | 2,3 | | | 2,065,000 | | | | 2,080,773 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 56,034,504 | |
| | | | | | | | | | | | |
|
Finance — 3.44% | |
Chase Capital II, Series B | |
0.74% | | | 02/01/27 | 3 | | | 2,398,000 | | | | 2,116,235 | |
Chase Capital VI | |
0.86% | | | 08/01/28 | 3 | | | 1,000,000 | | | | 873,750 | |
CIT Group, Inc. | |
5.00% | | | 05/15/17 | | | | 3,500,000 | | | | 3,591,875 | |
Citigroup, Inc. | |
1.19% | | | 07/25/16 | 3 | | | 11,849,000 | | | | 11,980,750 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Finance (continued) | |
2.50% | | | 09/26/18 | | | $ | 10,000,000 | | | $ | 10,073,138 | |
2.50% | | | 07/29/19 | | | | 3,000,000 | | | | 2,973,925 | |
5.50% | | | 10/15/14 | | | | 3,510,000 | | | | 3,516,551 | |
Ford Motor Credit Co. LLC | |
0.75% | | | 09/08/17 | 3 | | | 1,440,000 | | | | 1,442,700 | |
7.00% | | | 04/15/15 | | | | 1,500,000 | | | | 1,551,645 | |
Ford Motor Credit Co. LLC, Series FRN | |
1.48% | | | 05/09/16 | 3 | | | 8,000,000 | | | | 8,115,452 | |
General Electric Capital Corp. (MTN) | |
0.62% | | | 05/05/26 | 3 | | | 6,300,000 | | | | 6,030,620 | |
General Electric Capital Corp., | |
Series G (MTN) | |
0.88% | | | 07/12/16 | 3 | | | 5,485,000 | | | | 5,538,055 | |
General Motors Financial Co., Inc., | |
Series 3YR | |
3.00% | | | 09/25/17 | | | | 11,000,000 | | | | 11,123,750 | |
Goldman Sachs Group, Inc. | |
0.73% | | | 01/12/15 | 3 | | | 1,900,000 | | | | 1,901,712 | |
2.38% | | | 01/22/18 | | | | 1,000,000 | | | | 1,011,224 | |
5.12% | | | 01/15/15 | | | | 583,000 | | | | 590,784 | |
6.15% | | | 04/01/18 | | | | 3,500,000 | | | | 3,948,343 | |
6.25% | | | 09/01/17 | | | | 1,475,000 | | | | 1,658,359 | |
JPMorgan Chase Capital XIII, Series M | |
1.18% | | | 09/30/34 | 3 | | | 2,465,000 | | | | 2,141,469 | |
JPMorgan Chase Capital XXI, Series U | |
1.19% | | | 02/02/37 | 3 | | | 5,250,000 | | | | 4,528,125 | |
JPMorgan Chase Capital XXIII | |
1.23% | | | 05/15/47 | 3 | | | 7,950,000 | | | | 6,479,250 | |
Merrill Lynch & Co., Inc. (MTN) | |
8.68% | | | 05/02/17 | 3 | | | 30,000 | | | | 32,100 | |
8.95% | | | 05/18/17 | 3 | | | 30,000 | | | | 32,289 | |
9.57% | | | 06/06/17 | 3 | | | 5,184,000 | | | | 5,663,520 | |
Morgan Stanley | |
0.71% | | | 10/15/15 | 3 | | | 2,830,000 | | | | 2,839,523 | |
3.80% | | | 04/29/16 | | | | 3,800,000 | | | | 3,961,441 | |
4.20% | | | 11/20/14 | | | | 750,000 | | | | 750,450 | |
Prudential Holdings LLC (AGM) | |
1.11% | | | 12/18/17 | 3,4 | | | 9,141,429 | | | | 9,091,263 | |
Woodbourne Capital Trust I | |
2.66% | | | 04/29/49 | 3,4,7 | | | 595,000 | | | | 333,200 | |
Woodbourne Capital Trust IV | |
2.66% | | | 04/08/49 | 3,4,7 | | | 1,000,000 | | | | 560,000 | |
ZFS Finance USA Trust II | |
6.45% | | | 12/15/65 | 3,4 | | | 8,966,000 | | | | 9,660,865 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 124,112,363 | |
| | | | | | | | | | | | |
|
Food — 0.15% | |
Kraft Foods Group, Inc. | |
1.62% | | | 06/04/15 | | | | 5,325,000 | | | | 5,365,631 | |
| | | | | | | | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2014 / 28
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Health Care — 0.60% | |
Catholic Health Initiatives | |
1.60% | | | 11/01/17 | | | $ | 1,145,000 | | | $ | 1,150,878 | |
HCA, Inc. | | | | | | | | | | | | |
3.75% | | | 03/15/19 | | | | 1,000,000 | | | | 987,500 | |
7.25% | | | 09/15/20 | | | | 1,750,000 | | | | 1,841,875 | |
Providence Health & Services | |
Obligated Group | |
0.88% | | | 10/01/15 | 3 | | | 3,000,000 | | | | 3,004,864 | |
1.04% | | | 10/01/16 | 3 | | | 2,750,000 | | | | 2,757,043 | |
1.18% | | | 10/01/17 | 3 | | | 11,940,000 | | | | 12,000,911 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 21,743,071 | |
| | | | | | | | | | | | |
|
Industrials — 0.41% | |
Heathrow Funding Ltd. (United Kingdom) | |
2.50% | | | 06/25/15 | 2,4 | | | 14,630,000 | | | | 14,799,484 | |
| | | | | | | | | | | | |
|
Insurance — 0.59% | |
Berkshire Hathaway, Inc. | |
2.20% | | | 08/15/16 | | | | 1,010,000 | | | | 1,039,807 | |
Metropolitan Life Global Funding I | |
0.76% | | | 07/15/16 | 3,4 | | | 2,000,000 | | | | 2,016,916 | |
1.88% | | | 06/22/18 | 4 | | | 7,500,000 | | | | 7,474,830 | |
Nationwide Mutual Insurance Co. | |
5.81% | | | 12/15/24 | 3,4 | | | 3,550,000 | | | | 3,576,625 | |
New York Life Global Funding | |
1.12% | | | 03/01/17 | 4 | | | 7,000,000 | | | | 7,000,600 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 21,108,778 | |
| | | | | | | | | | | | |
|
Materials — 0.07% | |
Rio Tinto Finance USA PLC, Series FRN | |
(United Kingdom) | |
1.08% | | | 06/17/16 | 2,3 | | | 2,380,000 | | | | 2,403,550 | |
| | | | | | | | | | | | |
|
Real Estate Investment Trust (REIT) — 4.28% | |
Alexandria Real Estate Equities, Inc. | |
2.75% | | | 01/15/20 | | | | 5,800,000 | | | | 5,753,913 | |
Arc Properties Operating Partnership LP/ | |
Clark Acquisition LLC | |
2.00% | | | 02/06/17 | 4 | | | 10,000,000 | | | | 10,005,069 | |
Brandywine Operating Partnership LP | |
7.50% | | | 05/15/15 | | | | 8,247,000 | | | | 8,574,662 | |
Essex Portfolio LP | |
5.50% | | | 03/15/17 | | | | 6,820,000 | | | | 7,478,348 | |
HCP, Inc. | |
6.00% | | | 01/30/17 | | | | 16,073,000 | | | | 17,762,529 | |
7.07% | | | 06/08/15 | | | | 1,000,000 | | | | 1,042,682 | |
HCP, Inc. (MTN) | |
6.30% | | | 09/15/16 | | | | 7,600,000 | | | | 8,364,431 | |
Health Care REIT, Inc. | |
3.62% | | | 03/15/16 | | | | 3,000,000 | | | | 3,115,207 | |
4.70% | | | 09/15/17 | | | | 6,291,000 | | | | 6,837,958 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Real Estate Investment Trust (REIT) (continued) | |
Healthcare Realty Trust, Inc. | |
6.50% | | | 01/17/17 | | | $ | 3,771,000 | | | $ | 4,172,540 | |
Hospitality Properties Trust | |
6.30% | | | 06/15/16 | | | | 5,737,000 | | | | 6,065,665 | |
Host Hotels & Resorts LP (WI) | |
5.88% | | | 06/15/19 | | | | 10,051,000 | | | | 10,651,467 | |
Liberty Property LP | |
5.12% | | | 03/02/15 | | | | 5,305,000 | | | | 5,400,034 | |
Mid-America Apartments LP | |
5.50% | | | 10/01/15 | | | | 9,640,000 | | | | 10,077,502 | |
Nationwide Health Properties, Inc. | |
6.00% | | | 05/20/15 | | | | 3,000,000 | | | | 3,097,533 | |
Realty Income Corp. | |
5.50% | | | 11/15/15 | | | | 9,815,000 | | | | 10,315,221 | |
UDR, Inc. (MTN) | |
5.25% | | | 01/15/16 | | | | 6,425,000 | | | | 6,771,144 | |
Ventas Realty LP/Ventas Capital Corp. | |
1.55% | | | 09/26/16 | | | | 15,485,000 | | | | 15,635,845 | |
2.00% | | | 02/15/18 | | | | 4,935,000 | | | | 4,940,019 | |
WEA Finance LLC/Westfield UK & Europe | |
Finance PLC | |
1.75% | | | 09/15/17 | 4 | | | 8,000,000 | | | | 8,015,427 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 154,077,196 | |
| | | | | | | | | | | | |
|
Transportation — 0.79% | |
American Airlines Pass-Through Trust, | |
Series 2013-2, Class A | |
4.95% | | | 01/15/23 | | | | 10,548,845 | | | | 11,326,822 | |
Continental Airlines Pass-Through Trust, | |
Series 1997, Class 4A | |
6.90% | | | 01/02/18 | | | | 107,374 | | | | 114,488 | |
Continental Airlines Pass-Through Trust, | |
Series 1999-1, Class A | |
6.54% | | | 08/02/20 | | | | 3,336,081 | | | | 3,717,646 | |
JetBlue Airways Pass-Through Trust, | |
Series 2004, Class G2 | |
0.68% | | | 11/15/16 | 3 | | | 7,725,000 | | | | 7,601,400 | |
UAL Pass-Through Trust, Series 2009-1 | |
10.40% | | | 11/01/16 | | | | 1,875,862 | | | | 2,077,517 | |
UAL Pass-Through Trust, Series 2009-2A | |
9.75% | | | 01/15/17 | | | | 3,094,256 | | | | 3,504,245 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 28,342,118 | |
| | | | | | | | | | | | |
|
Total Corporates | |
(Cost $619,349,552) | | | | 633,959,620 | |
| | | | | | | | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
29 / Semi-Annual Report September 2014
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED — 43.44%** | |
Commercial Mortgage-Backed — 5.98% | |
Banc of America Merrill Lynch Commercial | |
Mortgage, Inc., Series 2005-4, Class A3 | |
4.89% | | | 07/10/45 | | | $ | 2,136,791 | | | $ | 2,143,051 | |
Banc of America Merrill Lynch Commercial | |
Mortgage, Inc., Series 2005-4, Class A4 | |
5.37% | | | 07/10/45 | 3 | | | 10,000,000 | | | | 10,045,390 | |
Banc of America Merrill Lynch Commercial | |
Mortgage, Inc., Series 2005-6, Class A4 | |
5.35% | | | 09/10/47 | 3 | | | 6,675,575 | | | | 6,889,617 | |
Bayview Commercial Asset Trust, | |
Series 2006-1A, Class A1 | |
0.42% | | | 04/25/36 | 3,4 | | | 1,037,335 | | | | 919,113 | |
Bayview Commercial Asset Trust, | |
Series 2008-4, Class A2 | |
2.66% | | | 07/25/38 | 3,4 | | | 543,785 | | | | 591,869 | |
Bayview Commercial Asset Trust, | |
Series 2008-4, Class A3 | |
2.90% | | | 07/25/38 | 3,4 | | | 6,267,000 | | | | 6,151,826 | |
Bear Stearns Commercial Mortgage | |
Securities Trust, Series 2004-T16, | |
Class A6 | |
4.75% | | | 02/13/46 | 3 | | | 248,527 | | | | 248,446 | |
Bear Stearns Commercial Mortgage | |
Securities Trust, Series 2005-PWR7, | |
Class A3 | |
5.12% | | | 02/11/41 | 3 | | | 4,075,155 | | | | 4,113,875 | |
Bear Stearns Commercial Mortgage | |
Securities Trust, Series 2005-T20, | |
Class A4A | |
5.29% | | | 10/12/42 | 3 | | | 7,746,000 | | | | 7,977,810 | |
Bear Stearns Commercial Mortgage | |
Securities Trust, Series 2007-PW16, | |
Class AAB | |
5.90% | | | 06/11/40 | 3 | | | 4,911,831 | | | | 5,044,610 | |
Credit Suisse First Boston Commercial | |
Mortgage Trust, Series 2007-C4, Class AAB | |
6.10% | | | 09/15/39 | 3 | | | 2,031,894 | | | | 2,127,389 | |
DBUBS Mortgage Trust, Series 2011-LC1A, | |
Class A1 | |
3.74% | | | 11/10/46 | 4 | | | 17,139,407 | | | | 17,706,367 | |
GE Business Loan Trust, Series 2003-2A, | |
Class A | |
0.52% | | | 11/15/31 | 3,4 | | | 2,223,966 | | | | 2,136,117 | |
GE Business Loan Trust, Series 2006-2A, | |
Class A | |
0.33% | | | 11/15/34 | 3,4 | | | 7,056,968 | | | | 6,713,047 | |
GS Mortgage Securities Trust, | |
Series 2011-GC5, Class A2 | |
3.00% | | | 08/10/44 | | | | 15,270,000 | | | | 15,728,937 | |
JPMorgan Chase Commercial Mortgage | |
Securities Corp., Series 2004-CBX, | |
Class A6 | |
4.90% | | | 01/12/37 | | | | 7,069,061 | | | | 7,065,219 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Commercial Mortgage-Backed (continued) | |
JPMorgan Chase Commercial Mortgage | |
Securities Corp., Series 2005-LDP3, | |
Class ASB | |
4.89% | | | 08/15/42 | 3 | | $ | 2,375,087 | | | $ | 2,412,912 | |
JPMorgan Chase Commercial Mortgage | |
Securities Corp., Series 2006-LDP9, | |
Class A3S | |
5.24% | | | 05/15/47 | 4 | | | 1,614,726 | | | | 1,616,863 | |
JPMorgan Chase Commercial Mortgage | |
Securities Corp., Series 2006-LDP9, | |
Class AMS | |
5.34% | | | 05/15/47 | | | | 10,090,000 | | | | 10,141,234 | |
JPMorgan Chase Commercial Mortgage | |
Securities Corp., Series 2007-C1, | |
Class ASB | |
5.86% | | | 02/15/51 | | | | 5,460,550 | | | | 5,771,015 | |
JPMorgan Chase Commercial Mortgage | |
Securities Corp., Series 2007-CB20, | |
Class ASB | |
5.69% | | | 02/12/51 | | | | 1,648,060 | | | | 1,731,076 | |
JPMorgan Chase Commercial Mortgage | |
Securities Corp., Series 2007-LD11, | |
Class ASB | |
5.98% | | | 06/15/49 | 3 | | | 11,014,516 | | | | 11,587,645 | |
JPMorgan Chase Commercial Mortgage | |
Securities Corp., Series 2007-LD12, | |
Class A3 | |
5.95% | | | 02/15/51 | 3 | | | 255,400 | | | | 255,972 | |
JPMorgan Chase Commercial Mortgage | |
Securities Corp., Series 2010-C1, | |
Class A1 | |
3.85% | | | 06/15/43 | 4 | | | 10,370,578 | | | | 10,492,230 | |
JPMorgan Chase Commercial Mortgage | |
Securities Corp., Series 2010-C2, | |
Class A1 | |
2.75% | | | 11/15/43 | 4 | | | 10,667,766 | | | | 10,858,817 | |
JPMorgan Chase Commercial Mortgage | |
Securities Corp., Series 2011-C3, | |
Class A3 | |
4.39% | | | 02/15/46 | 4 | | | 17,565,000 | | | | 18,952,047 | |
JPMorgan Chase Commercial Mortgage | |
Securities Corp., Series 2011-C5, | |
Class ASB | |
3.68% | | | 08/15/46 | | | | 1,513,000 | | | | 1,594,696 | |
JPMorgan Chase Commercial Mortgage | |
Securities Trust, Series 2011-C4, Class A3 | |
4.11% | | | 07/15/46 | 4 | | | 3,275,000 | | | | 3,503,723 | |
LB-UBS Commercial Mortgage Trust, | |
Series 2005-C2, Class AAB | |
5.01% | | | 04/15/30 | | | | 831,632 | | | | 833,925 | |
Merrill Lynch Mortgage Investors, Inc., | |
Series 2004-BPC1, Class A5 | |
4.86% | | | 10/12/41 | 3 | | | 79,018 | | | | 78,972 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2014 / 30
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Commercial Mortgage-Backed (continued) | |
Merrill Lynch Mortgage Investors, Inc., | |
Series 2005-MKB2, Class A4 | |
5.20% | | | 09/12/42 | 3 | | $ | 10,695,633 | | | $ | 10,767,128 | |
Morgan Stanley Capital I Trust, | |
Series 2001-C3, Class A2 | |
3.22% | | | 08/15/49 | | | | 1,880,495 | | | | 1,944,338 | |
Morgan Stanley Capital I Trust, | |
Series 2005-IQ9, Class A5 | |
4.70% | | | 07/15/56 | | | | 1,565,030 | | | | 1,572,060 | |
Morgan Stanley Capital I Trust, | |
Series 2006-IQ11, Class A4 | |
5.83% | | | 10/15/42 | 3 | | | 5,216,260 | | | | 5,438,027 | |
Morgan Stanley Capital I Trust, | |
Series 2007-HQ12, Class A2FL | |
0.40% | | | 04/12/49 | 3 | | | 3,354,321 | | | | 3,341,894 | |
PNC Mortgage Acceptance Corp., Series | |
2001-C1, Class J | |
5.91% | | | 03/12/34 | 4 | | | 7,451,000 | | | | 7,699,647 | |
Wachovia Bank Commercial Mortgage Trust, | |
Series 2004-C11, Class A5 | |
5.22% | | | 01/15/41 | 3 | | | 610,157 | | | | 610,855 | |
Wachovia Bank Commercial Mortgage Trust, | |
Series 2005-C21, Class A4 | |
5.41% | | | 10/15/44 | 3 | | | 8,273,977 | | | | 8,527,889 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 215,335,648 | |
| | | | | | | | | | | | |
|
Non-Agency Mortgage-Backed — 17.56% | |
Accredited Mortgage Loan Trust, | |
Series 2007-1, Class A4 | |
0.38% | | | 02/25/37 | 3 | | | 12,000,000 | | | | 9,746,095 | |
ACE Securities Corp., Series 2005-HE6, | |
Class A1 | |
0.42% | | | 10/25/35 | 3 | | | 15,091,670 | | | | 15,028,593 | |
American Home Mortgage Assets, | |
Series 2007-4, Class A2 | |
0.34% | | | 08/25/37 | 3 | | | 3,065,279 | | | | 2,991,455 | |
Ameriquest Mortgage Securities, Inc., | |
Series 2005-R5, Class M1 | |
0.58% | | | 07/25/35 | 3 | | | 2,445,000 | | | | 2,447,756 | |
Amresco Residential Securities Mortgage | |
Loan Trust, Series 1998-1, Class A5 (STEP) | |
7.57% | | | 10/25/27 | | | | 24,353 | | | | 25,909 | |
Asset-Backed Securities Corp. Home Equity | |
Loan Trust, Series 2005-HE4, Class M2 | |
0.83% | | | 05/25/35 | 3 | | | 420,151 | | | | 421,160 | |
Banc of America Alternative Loan Trust, | |
Series 2003-8, Class 1CB1 | |
5.50% | | | 10/25/33 | | | | 20,536,893 | | | | 21,070,049 | |
Banc of America Funding Corp., | |
Series 2006-G, Class 2A3 | |
0.32% | | | 07/20/36 | 3 | | | 1,042,812 | | | | 1,043,475 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
Banc of America Merrill Lynch Commercial | |
Mortgage, Inc., Series 2005-3, Class A4 | |
4.67% | | | 07/10/43 | | | $ | 3,820,000 | | | $ | 3,895,791 | |
Banco de Credito Y Securitizacion SA, | |
Series 2001-1, Class AF (Argentina) | |
8.00% | | | 06/30/20 | 2,4,7 | | | 7,000 | | | | 560 | |
BCAP LLC Trust, Series 2007-AA1, | |
Class 1A2 | |
0.32% | | | 02/25/47 | 3 | | | 6,034,676 | | | | 5,518,826 | |
BCAP LLC Trust, Series 2011-RR5, | |
Class 2A3 | |
2.71% | | | 06/26/37 | 3,4 | | | 5,434,308 | | | | 5,455,426 | |
BCAP LLC Trust, Series 2012-R11, | |
Class 11A1 | |
2.60% | | | 09/26/36 | 3,4 | | | 11,406,741 | | | | 11,538,302 | |
BCAP LLC Trust, Series 2013-RR2, | |
Class 5A1 | |
2.63% | | | 03/26/36 | 3,4 | | | 9,289,884 | | | | 9,458,430 | |
BCAP LLC Trust, Series 2013-RR5, | |
Class 2A1 | |
2.13% | | | 03/26/37 | 3,4 | | | 13,710,445 | | | | 13,669,752 | |
Bear Stearns ARM Trust, Series 2004-3, | |
Class 4A | |
2.55% | | | 07/25/34 | 3 | | | 6,340,593 | | | | 6,285,248 | |
Bear Stearns ARM Trust, Series 2005-2, | |
Class A1 | |
2.58% | | | 03/25/35 | 3 | | | 6,498,419 | | | | 6,579,971 | |
Bear Stearns Asset-Backed Securities Trust, | |
Series 2005-HE10, Class M1 | |
0.70% | | | 11/25/35 | 3 | | | 5,306,074 | | | | 5,299,669 | |
Bear Stearns Asset-Backed Securities Trust, | |
Series 2005-SD1, Class 1A3 | |
0.56% | | | 08/25/43 | 3 | | | 1,055,850 | | | | 1,044,523 | |
BHN I Mortgage Fund, Series 2000-1, | |
Class AF (Argentina) | |
8.00% | | | 01/31/20 | 2,4,7,† | | | 9,000 | | | | 3 | |
CC Mortgage Funding Corp., Series 2005-2A, | |
Class A1 | |
0.34% | | | 05/25/36 | 3,4 | | | 1,946,868 | | | | 1,747,955 | |
Chase Funding Mortgage Loan Asset-Backed | |
Certificates, Series 2002-2, Class 2M1 | |
1.06% | | | 02/25/32 | 3 | | | 423,906 | | | | 408,051 | |
Chase Mortgage Finance Corp., | |
Series 2007-A1, Class 8A1 | |
2.57% | | | 02/25/37 | 3 | | | 23,005,490 | | | | 23,411,675 | |
Chase Mortgage Finance Corp., | |
Series 2007-A2, Class 2A3 | |
2.57% | | | 07/25/37 | 3 | | | 4,641,701 | | | | 4,737,575 | |
Citigroup Mortgage Loan Trust, Inc., | |
Series 2004-HYB1, Class A41 | |
2.86% | | | 02/25/34 | 3 | | | 253,742 | | | | 249,839 | |
See accompanying notes to Schedule of Portfolio Investments.
31 / Semi-Annual Report September 2014
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
Citigroup Mortgage Loan Trust, Inc., | |
Series 2006-WFH4, Class A3 | |
0.30% | | | 11/25/36 | 3 | | $ | 14,947,181 | | | $ | 14,893,072 | |
Citigroup Mortgage Loan Trust, Inc., | |
Series 2007-WFH2, Class A3 | |
0.34% | | | 03/25/37 | 3 | | | 1,518,546 | | | | 1,493,720 | |
Citigroup Mortgage Loan Trust, Inc., | |
Series 2007-WFH4, Class A2C | |
1.46% | | | 07/25/37 | 3 | | | 90,000 | | | | 75,771 | |
Conseco Finance Securitizations Corp., | |
Series 2001-4, Class A4 | |
7.36% | | | 09/01/33 | | | | 4,797,522 | | | | 5,344,792 | |
Conseco Financial Corp., Series 1994-1, | |
Class A5 | |
7.65% | | | 04/15/19 | | | | 33,093 | | | | 34,462 | |
Conseco Financial Corp., Series 1996-1, | |
Class M1 | |
7.00% | | | 03/15/27 | 3 | | | 3,080,229 | | | | 3,158,294 | |
Conseco Financial Corp., Series 1997-2, | |
Class A7 | |
7.62% | | | 06/15/28 | 3 | | | 1,921,469 | | | | 2,019,105 | |
Conseco Financial Corp., Series 1997-3, | |
Class A7 | |
7.64% | | | 03/15/28 | 3 | | | 1,238,139 | | | | 1,331,106 | |
Conseco Financial Corp., Series 1997-7, | |
Class A9 | |
7.37% | | | 07/15/29 | 3 | | | 3,989,652 | | | | 4,240,466 | |
Conseco Financial Corp., Series 1998-2, | |
Class A5 | |
6.24% | | | 12/01/28 | 3 | | | 16,329 | | | | 16,965 | |
Countrywide Home Loan Mortgage | |
Pass-Through Trust, Series 2004-14, | |
Class 4A1 | |
2.34% | | | 08/25/34 | 3 | | | 40,714 | | | | 40,925 | |
Credit Suisse First Boston Commercial | |
Mortgage Trust, Series 2007-C1, Class AAB | |
5.34% | | | 02/15/40 | | | | 1,980,862 | | | | 2,064,202 | |
Credit Suisse First Boston Mortgage | |
Securities Corp., Series 2004-AR1, | |
Class 5A1 | |
2.41% | | | 02/25/34 | 3 | | | 4,944,431 | | | | 5,042,620 | |
Credit Suisse First Boston Mortgage | |
Securities Corp., Series 2013-7R, | |
Class 5A1 | |
0.40% | | | 07/26/36 | 3,4 | | | 5,109,819 | | | | 4,593,304 | |
Credit Suisse Mortgage Capital Certificates, | |
Series 2009-12R, Class 41A1 | |
5.25% | | | 03/27/37 | 3,4 | | | 8,674,578 | | | | 8,838,385 | |
Credit-Based Asset Servicing and | |
Securitization LLC, Series 2005-CB7, | |
Class AF3 (STEP) | |
4.11% | | | 11/25/35 | | | | 1,259,663 | | | | 1,319,288 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
Credit-Based Asset Servicing and | |
Securitization LLC, Series 2006-CB1, | |
Class AF2 (STEP) | |
3.51% | | | 01/25/36 | | | $ | 2,827,324 | | | $ | 2,074,692 | |
Credit-Based Asset Servicing and | |
Securitization LLC, Series 2007-CB2, | |
Class A2B (STEP) | |
4.64% | | | 02/25/37 | | | | 16,065,705 | | | | 11,968,051 | |
Credit-Based Asset Servicing and | |
Securitization LLC, Series 2007-CB5, | |
Class A1 (STEP) | |
0.22% | | | 04/25/37 | 3 | | | 4,375,952 | | | | 2,999,445 | |
DBRR Trust, Series 2013-EZ2, Class A | |
0.85% | | | 02/25/43 | 3,4 | | | 11,938,286 | | | | 11,927,075 | |
Downey Savings & Loan Association | |
Mortgage Loan Trust, Series 2005-AR2, | |
Class 2A1A | |
0.36% | | | 03/19/45 | 3 | | | 2,324,512 | | | | 2,126,898 | |
Downey Savings & Loan Association | |
Mortgage Loan Trust, Series 2006-AR1, | |
Class 2A1A | |
1.06% | | | 04/19/47 | 3 | | | 58,005 | | | | 51,636 | |
First Franklin Mortgage Loan Asset-Backed | |
Certificates, Series 2004-FF5, Class A3C | |
1.16% | | | 08/25/34 | 3 | | | 1,852,058 | | | | 1,796,396 | |
First Franklin Mortgage Loan Asset-Backed | |
Certificates, Series 2005-FF6, Class M1 | |
0.58% | | | 05/25/36 | 3 | | | 3,349,926 | | | | 3,309,000 | |
First Horizon Alternative Mortgage Securities | |
Trust, Series 2004-AA3, Class A1 | |
2.20% | | | 09/25/34 | 3 | | | 24,533 | | | | 24,217 | |
First Horizon Mortgage Pass-Through Trust, | |
Series 2004-AR7, Class 2A2 | |
2.55% | | | 02/25/35 | 3 | | | 2,929,477 | | | | 2,947,962 | |
GE Business Loan Trust, Series 2007-1A, | |
Class A | |
0.32% | | | 04/16/35 | 3,4 | | | 3,478,203 | | | | 3,299,543 | |
GMAC Mortgage Corp. Loan Trust, | |
Series 2000-HE2, Class A1 | |
0.60% | | | 06/25/30 | 3 | | | 458,886 | | | | 413,572 | |
GSAA Home Equity Trust, Series 2005-9, | |
Class 1A1 | |
0.44% | | | 08/25/35 | 3 | | | 5,943,409 | | | | 5,819,192 | |
GSAMP Trust, Series 2005-HE4, Class M1 | |
0.60% | | | 07/25/45 | 3 | | | 5,530,111 | | | | 5,560,582 | |
GSR Mortgage Loan Trust, Series 2005-AR6, | |
Class 2A1 | |
2.66% | | | 09/25/35 | 3 | | | 4,152,912 | | | | 4,198,009 | |
GSR Mortgage Loan Trust, Series 2005-AR7, | |
Class 2A1 | |
2.69% | | | 11/25/35 | 3 | | | 2,167,424 | | | | 2,133,257 | |
Home Equity Loan Trust, Series 2006-3, | |
Class A4 | |
0.39% | | | 03/20/36 | 3 | | | 8,674,180 | | | | 8,592,209 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2014 / 32
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
Home Equity Loan Trust, Series 2007-1, | |
Class AS | |
0.35% | | | 03/20/36 | 3 | | $ | 4,204,311 | | | $ | 4,173,186 | |
Home Equity Loan Trust, Series 2007-2, | |
Class A3V | |
0.37% | | | 07/20/36 | 3 | | | 1,593,119 | | | | 1,592,749 | |
Household Home Equity Loan Trust, | |
Series 2006-1, Class A2 | |
0.33% | | | 01/20/36 | 3 | | | 1,594,590 | | | | 1,580,050 | |
Impac CMB Trust, Series 2005-5, Class A1 | |
0.80% | | | 08/25/35 | 3 | | | 3,636,852 | | | | 3,285,631 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2004-AR12, Class A1 | |
0.94% | | | 12/25/34 | 3 | | | 440,084 | | | | 368,058 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2004-AR8, Class 2A2A | |
0.96% | | | 11/25/34 | 3 | | | 1,514,387 | | | | 1,389,341 | |
IndyMac Manufactured Housing Contract, | |
Series 1998-1, Class A4 | |
6.49% | | | 09/25/28 | | | | 940,408 | | | | 961,223 | |
JPMorgan Chase Commercial Mortgage | |
Securities Corp., Series 2006-LDP9, | |
Class A3SF | |
0.31% | | | 05/15/47 | 3 | | | 970,388 | | | | 972,820 | |
JPMorgan Chase Commercial Mortgage | |
Securities Corp., Series 2011-C5, | |
Class A2 | |
3.15% | | | 08/15/46 | | | | 13,491,388 | | | | 13,982,559 | |
JPMorgan Mortgage Acquisition Corp., | |
Series 2005-FRE1, Class A2F3 (STEP) | |
3.55% | | | 10/25/35 | | | | 2,313,764 | | | | 2,196,595 | |
JPMorgan Mortgage Acquisition Corp., | |
Series 2007-HE1, Class AV4 | |
0.44% | | | 03/25/47 | 3 | | | 50,000 | | | | 30,355 | |
JPMorgan Mortgage Trust, Series 2005-A3, | |
Class 5A3 | |
2.72% | | | 06/25/35 | 3 | | | 97,521 | | | | 91,480 | |
JPMorgan Mortgage Trust, Series 2007-A1, | |
Class 1A1 | |
2.55% | | | 07/25/35 | 3 | | | 3,666,919 | | | | 3,642,413 | |
JPMorgan Mortgage Trust, Series 2007-A1, | |
Class 5A2 | |
2.62% | | | 07/25/35 | 3 | | | 835,618 | | | | 853,644 | |
Lehman ABS Manufactured Housing Contract | |
Trust, Series 2001-B, Class A3 | |
4.35% | | | 04/15/40 | | | | 3,177,360 | | | | 3,369,595 | |
Lehman ABS Manufactured Housing Contract | |
Trust, Series 2001-B, Class A4 | |
5.27% | | | 04/15/40 | | | | 2,634,327 | | | | 2,841,916 | |
Lehman ABS Manufactured Housing Contract | |
Trust, Series 2001-B, Class AIOC (IO) | |
0.55% | | | 04/15/40 | 3,7 | | | 213,007,390 | | | | 4,676,535 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
Long Beach Mortgage Loan Trust, | |
Series 2005-2, Class M3 | |
0.89% | | | 04/25/35 | 3 | | $ | 8,347,781 | | | $ | 8,352,598 | |
MASTR Adjustable Rate Mortgages Trust, | |
Series 2003-6, Class 4A2 | |
2.67% | | | 01/25/34 | 3 | | | 33,616 | | | | 33,150 | |
MASTR Adjustable Rate Mortgages Trust, | |
Series 2004-1, Class 2A1 | |
2.75% | | | 01/25/34 | 3 | | | 55,822 | | | | 54,430 | |
MASTR Adjustable Rate Mortgages Trust, | |
Series 2004-13, Class 3A1 | |
2.64% | | | 11/21/34 | 3 | | | 3,594,160 | | | | 3,656,804 | |
MASTR Adjustable Rate Mortgages Trust, | |
Series 2004-3, Class 3A3 | |
2.12% | | | 04/25/34 | 3 | | | 352,208 | | | | 341,841 | |
MASTR Adjustable Rate Mortgages Trust, | |
Series 2004-5, Class 3A1 | |
2.59% | | | 06/25/34 | 3 | | | 84,797 | | | | 82,047 | |
MASTR Alternative Loan Trust, | |
Series 2003-1, Class 1A1 | |
6.25% | | | 12/25/32 | | | | 5,570,634 | | | | 5,887,757 | |
MASTR Alternative Loan Trust, | |
Series 2003-5, Class 4A1 | |
5.50% | | | 07/25/33 | | | | 10,554,722 | | | | 11,110,109 | |
MASTR Alternative Loan Trust, | |
Series 2003-9, Class 4A1 | |
5.25% | | | 11/25/33 | | | | 11,504,819 | | | | 11,993,521 | |
MASTR Alternative Loan Trust, | |
Series 2004-7, Class 1A1 | |
5.50% | | | 07/25/34 | | | | 11,507,241 | | | | 11,757,720 | |
MASTR Asset-Backed Securities Trust, | |
Series 2006-AB1, Class A2 | |
0.38% | | | 02/25/36 | 3 | | | 3,833,280 | | | | 3,754,477 | |
MASTR Seasoned Securities Trust, | |
Series 2004-1, Class 4A1 | |
2.53% | | | 10/25/32 | 3 | | | 422,527 | | | | 423,596 | |
Merrill Lynch First Franklin Mortgage Loan | |
Trust, Series 2007-3, Class A2C | |
0.34% | | | 06/25/37 | 3 | | | 18,059,394 | | | | 12,143,098 | |
Merrill Lynch Mortgage Investors, Inc., | |
Series 2004-A4, Class A1 | |
2.46% | | | 08/25/34 | 3 | | | 3,485,089 | | | | 3,604,962 | |
Merrill Lynch Mortgage Investors, Inc., | |
Series 2006-F1, Class 1A2 | |
6.00% | | | 04/25/36 | | | | 4,466,734 | | | | 4,131,027 | |
Mid-State Trust, Series 2004-1, Class B | |
8.90% | | | 08/15/37 | | | | 1,759,533 | | | | 2,114,734 | |
Mid-State Trust, Series 2006-1, Class A | |
5.79% | | | 10/15/40 | 4 | | | 7,405,930 | | | | 7,852,130 | |
Morgan Stanley Capital I Trust, | |
Series 2004-NC7, Class M2 | |
1.08% | | | 07/25/34 | 3 | | | 12,077,633 | | | | 11,926,095 | |
See accompanying notes to Schedule of Portfolio Investments.
33 / Semi-Annual Report September 2014
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
Morgan Stanley Capital I Trust, | |
Series 2005-HE3, Class M2 | |
0.94% | | | 07/25/35 | 3 | | $ | 4,354,060 | | | $ | 4,267,288 | |
Morgan Stanley Capital I Trust, | |
Series 2005-NC2, Class M2 | |
0.78% | | | 03/25/35 | 3 | | | 10,237,900 | | | | 10,144,428 | |
Morgan Stanley Mortgage Loan Trust, | |
Series 2004-6AR, Class 1A | |
0.60% | | | 07/25/34 | 3 | | | 1,186,841 | | | | 1,154,574 | |
MortgageIT Trust, Series 2005-3, Class A1 | |
0.46% | | | 08/25/35 | 3 | | | 979,113 | | | | 937,450 | |
MortgageIT Trust, Series 2005-4, Class A1 | |
0.44% | | | 10/25/35 | 3 | | | 14,989,318 | | | | 13,856,605 | |
Nationstar Home Equity Loan Trust, | |
Series 2007-C, Class 2AV3 | |
0.34% | | | 06/25/37 | 3 | | | 7,807,200 | | | | 7,095,907 | |
New Century Home Equity Loan Trust, | |
Series 2005-3, Class M2 | |
0.64% | | | 07/25/35 | 3 | | | 15,000,000 | | | | 14,404,253 | |
Nomura Resecuritization Trust, | |
Series 2013-1R, Class 3A1 | |
0.32% | | | 10/26/36 | 3,4 | | | 12,568,396 | | | | 12,227,898 | |
Nomura Resecuritization Trust, | |
Series 2014-1R, Class 1A1 | |
0.32% | | | 10/25/36 | 3,4 | | | 10,349,763 | | | | 10,028,133 | |
Nomura Resecuritization Trust, | |
Series 2014-1R, Class 3A1 | |
0.30% | | | 07/26/36 | 3,4 | | | 8,268,398 | | | | 8,184,833 | |
Nomura Resecuritization Trust, | |
Series 2014-1R, Class 4A1 | |
0.41% | | | 01/25/37 | 3,4 | | | 7,075,075 | | | | 6,958,671 | |
Oakwood Mortgage Investors, Inc., | |
Series 1997-B, Class M | |
7.78% | | | 08/15/27 | | | | 2,081,882 | | | | 2,135,809 | |
Park Place Securities, Inc., | |
Series 2005-WCW3, Class A1B | |
0.46% | | | 08/25/35 | 3,4 | | | 8,797,582 | | | | 8,774,664 | |
Park Place Securities, Inc., | |
Series 2005-WHQ1, Class M2 | |
0.66% | | | 03/25/35 | 3 | | | 5,475,519 | | | | 5,477,126 | |
Park Place Securities, Inc., | |
Series 2005-WHQ2, Class A1B | |
0.42% | | | 05/25/35 | 3 | | | 6,798,785 | | | | 6,788,759 | |
Park Place Securities, Inc., | |
Series 2005-WHQ3, Class M1 | |
0.58% | | | 06/25/35 | 3 | | | 459,412 | | | | 460,160 | |
Residential Accredit Loans, Inc., | |
Series 2005-QA3, Class NB1 | |
2.97% | | | 03/25/35 | 3 | | | 9,911,486 | | | | 7,311,008 | |
Residential Asset Mortgage Products, Inc., | |
Series 2004-SL4, Class A3 | |
6.50% | | | 07/25/32 | | | | 1,158,322 | | | | 1,201,091 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
Residential Asset Mortgage Products, Inc., | |
Series 2005-SL1, Class A5 | |
6.50% | | | 05/25/32 | | | $ | 2,372,863 | | | $ | 2,282,636 | |
Residential Asset Securities Corp., | |
Series 2005-KS12, Class A2 | |
0.40% | | | 01/25/36 | 3 | | | 48,085 | | | | 48,051 | |
Residential Funding Mortgage Securities I, | |
Inc., Series 2005-S8, Class A1 | |
5.50% | | | 11/25/35 | | | | 2,789,979 | | | | 2,790,305 | |
Residential Funding Mortgage Securities II, | |
Inc., Series 2000-HI1, Class AI7 (STEP) | |
8.29% | | | 02/25/25 | | | | 1,335 | | | | 1,333 | |
SG Mortgage Securities Trust, | |
Series 2006-FRE1, Class A1B | |
0.42% | | | 02/25/36 | 3 | | | 1,031,395 | | | | 746,401 | |
Soundview Home Equity Loan Trust, | |
Series 2006-WF2, Class A2C | |
0.30% | | | 12/25/36 | 3 | | | 5,114,899 | | | | 5,041,313 | |
Specialty Underwriting & Residential Finance, | |
Series 2005-AB1, Class A1C | |
0.50% | | | 03/25/36 | 3 | | | 407,919 | | | | 408,251 | |
Structured Adjustable Rate Mortgage Loan | |
Trust, Series 2004-16, Class 6A | |
2.40% | | | 11/25/34 | 3 | | | 11,263,672 | | | | 10,927,185 | |
Structured Asset Investment Loan Trust, | |
Series 2005-11, Class A5 | |
0.44% | | | 01/25/36 | 3 | | | 6,377,823 | | | | 6,352,899 | |
Structured Asset Securities Corp., Series | |
2007-GEL1, | |
Class A1 | |
0.26% | | | 01/25/37 | 3,4 | | | 3,008,841 | | | | 3,002,105 | |
Structured Asset Securities Corp., | |
Series 2002-5A, Class 6A | |
2.00% | | | 04/25/32 | 3 | | | 19,156 | | | | 17,115 | |
Structured Asset Securities Corp., | |
Series 2003-26A, Class 3A5 | |
2.43% | | | 09/25/33 | 3 | | | 2,280,075 | | | | 2,296,806 | |
Structured Asset Securities Corp., | |
Series 2005-WF4, Class A4 | |
0.52% | | | 11/25/35 | 3 | | | 4,773,156 | | | | 4,773,390 | |
Terwin Mortgage Trust, Series 2004-7HE, | |
Class A1 | |
1.26% | | | 07/25/34 | 3,4 | | | 130,330 | | | | 125,025 | |
WaMu Mortgage Pass-Through Certificates | |
Trust, Series 2004-CB2, Class 2A | |
5.50% | | | 07/25/34 | | | | 13,093,783 | | | | 13,645,152 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2002-AR18, Class A | |
2.50% | | | 01/25/33 | 3 | | | 253,290 | | | | 257,782 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2004-AR14, Class A1 | |
2.40% | | | 01/25/35 | 3 | | | 2,005,782 | | | | 2,027,200 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2014 / 34
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2005-AR13, Class A1A1 | |
0.44% | | | 10/25/45 | 3 | | $ | 5,509,732 | | | $ | 5,302,731 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2005-AR2, Class 2A21 | |
0.48% | | | 01/25/45 | 3 | | | 868,489 | | | | 820,968 | |
Wells Fargo Home Equity Trust, | |
Series 2005-3, Class M1 | |
0.56% | | | 11/25/35 | 3 | | | 9,464,138 | | | | 9,466,390 | |
Wells Fargo Mortgage-Backed Securities | |
Trust, Series 2004-Q, Class 1A1 | |
2.62% | | | 09/25/34 | 3 | | | 3,558,125 | | | | 3,611,280 | |
Wells Fargo Mortgage-Backed Securities | |
Trust, Series 2005-AR10, Class 2A14 | |
2.61% | | | 06/25/35 | 3 | | | 12,393,329 | | | | 12,442,645 | |
Wells Fargo Mortgage-Backed Securities | |
Trust, Series 2005-AR9, Class 1A1 | |
2.61% | | | 05/25/35 | 3 | | | 325,247 | | | | 337,287 | |
Wells Fargo Mortgage-Backed Securities | |
Trust, Series 2006-AR2, Class 2A5 | |
2.62% | | | 03/25/36 | 3 | | | 3,360,994 | | | | 3,264,041 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 632,449,495 | |
| | | | | | | | | | | | |
|
U.S. Agency Mortgage-Backed — 19.90% | |
Fannie Mae Pool (TBA) | |
2.50% | | | 10/25/27 | | | | 10,915,000 | | | | 10,979,808 | |
Fannie Mae Pool 465761 | |
3.16% | | | 08/01/17 | | | | 5,487,977 | | | | 5,588,755 | |
Fannie Mae Pool 555284 | |
7.50% | | | 10/01/17 | | | | 460 | | | | 486 | |
Fannie Mae Pool 567002 | |
8.00% | | | 05/01/23 | | | | 56,024 | | | | 63,201 | |
Fannie Mae Pool 735861 | |
6.50% | | | 09/01/33 | | | | 28,374 | | | | 33,051 | |
Fannie Mae Pool 745936 | |
6.08% | | | 08/01/16 | | | | 23,201,327 | | | | 24,922,474 | |
Fannie Mae Pool 770900 | |
2.06% | | | 04/01/34 | 3 | | | 515,805 | | | | 550,215 | |
Fannie Mae Pool 995182 | |
5.50% | | | 06/01/20 | | | | 4,662,920 | | | | 4,939,399 | |
Fannie Mae Pool 995793 | |
5.50% | | | 09/01/36 | | | | 3,297,928 | | | | 3,689,842 | |
Fannie Mae Pool AD0172 | |
4.75% | | | 04/01/16 | | | | 16,278,486 | | | | 17,056,559 | |
Fannie Mae Pool AD0538 | |
6.00% | | | 05/01/24 | | | | 1,572,366 | | | | 1,725,500 | |
Fannie Mae Pool AD0791 | |
4.76% | | | 02/01/20 | | | | 18,204,790 | | | | 20,180,861 | |
Fannie Mae Pool AE0083 | |
6.00% | | | 01/01/40 | | | | 3,765,012 | | | | 4,285,466 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
Fannie Mae Pool AL0851 | |
6.00% | | | 10/01/40 | | | $ | 4,508,863 | | | $ | 5,112,038 | |
Fannie Mae Pool AL5262 | |
3.06% | | | 12/01/20 | | | | 14,900,022 | | | | 15,495,867 | |
Fannie Mae Pool FN0002 | |
3.31% | | | 12/01/17 | | | | 5,798,301 | | | | 6,073,726 | |
Fannie Mae REMICS, Series 2007-61, | |
Class A | |
0.44% | | | 03/25/37 | 3 | | | 5,737,813 | | | | 5,746,343 | |
Fannie Mae REMICS, Series 2009-111, | |
Class DA | |
5.00% | | | 12/25/39 | | | | 3,708,798 | | | | 4,027,191 | |
Fannie Mae REMICS, Series 2009-85, | |
Class LF | |
1.36% | | | 10/25/49 | 3 | | | 10,137,840 | | | | 10,351,265 | |
Fannie Mae REMICS, Series 2009-96, | |
Class FA | |
1.06% | | | 11/25/49 | 3 | | | 7,582,942 | | | | 7,700,315 | |
Fannie Mae REMICS, Series 2010-6, | |
Class BF | |
0.92% | | | 02/25/40 | 3 | | | 5,975,135 | | | | 6,078,263 | |
Fannie Mae REMICS, Series 2011-118, | |
Class FB | |
0.60% | | | 11/25/41 | 3 | | | 20,226,439 | | | | 20,419,838 | |
Fannie Mae REMICS, Series 2013-75, | |
Class FC | |
0.40% | | | 07/25/42 | 3 | | | 13,188,326 | | | | 13,187,725 | |
Fannie Mae, Series 1997-76, Class FS | |
0.60% | | | 09/17/27 | 3 | | | 33,476 | | | | 33,828 | |
Fannie Mae, Series 2001-60, Class OF | |
1.10% | | | 10/25/31 | 3 | | | 2,017,448 | | | | 2,079,721 | |
Fannie Mae, Series 2003-134, Class FC | |
0.76% | | | 12/25/32 | 3 | | | 13,679,588 | | | | 13,894,091 | |
Fannie Mae, Series 2007-64, Class FA | |
0.62% | | | 07/25/37 | 3 | | | 1,601,108 | | | | 1,618,105 | |
Fannie Mae, Series 2009-33, Class FB | |
0.98% | | | 03/25/37 | 3 | | | 6,911,691 | | | | 7,053,972 | |
Fannie Mae, Series 2010-109, Class PF | |
0.56% | | | 10/25/40 | 3 | | | 4,089,263 | | | | 4,115,364 | |
Fannie Mae, Series 2010-26, Class S (IO) | |
6.08% | | | 11/25/36 | 3 | | | 23,050,029 | | | | 3,357,939 | |
Fannie Mae, Series 2010-39, Class FE | |
0.92% | | | 06/25/37 | 3 | | | 12,636,290 | | | | 12,862,361 | |
Fannie Mae, Series 2010-43, Class DP | |
5.00% | | | 05/25/40 | | | | 3,708,564 | | | | 3,957,177 | |
Fannie Mae, Series 2010-95, Class S (IO) | |
6.45% | | | 09/25/40 | 3 | | | 14,747,790 | | | | 2,764,916 | |
Fannie Mae, Series 2010-M1, Class A1 | |
3.30% | | | 06/25/19 | | | | 1,894,395 | | | | 1,938,717 | |
See accompanying notes to Schedule of Portfolio Investments.
35 / Semi-Annual Report September 2014
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
Fannie Mae, Series 2011-71, Class FB | |
0.66% | | | 05/25/37 | 3 | | $ | 9,230,734 | | | $ | 9,304,800 | |
Fannie Mae, Series 2012-33, Class F | |
0.68% | | | 04/25/42 | 3 | | | 16,134,957 | | | | 16,292,110 | |
Fannie Mae, Series 2013-M11, Class A | |
1.50% | | | 01/25/18 | | | | 12,628,608 | | | | 12,723,689 | |
Fannie Mae, Series G92-10, Class Z | |
7.75% | | | 01/25/22 | | | | 4,713 | | | | 5,091 | |
Federal Home Loan Bank (STEP) | |
0.75% | | | 05/26/28 | | | | 15,570,000 | | | | 15,541,086 | |
Freddie Mac Gold Pool A45796 | |
7.00% | | | 01/01/33 | | | | 14,417 | | | | 16,856 | |
Freddie Mac Gold Pool C46104 | |
6.50% | | | 09/01/29 | | | | 18,883 | | | | 21,879 | |
Freddie Mac Gold Pool G13032 | |
6.00% | | | 09/01/22 | | | | 2,602,003 | | | | 2,847,531 | |
Freddie Mac Gold Pool G13475 | |
6.00% | | | 01/01/24 | | | | 338,337 | | | | 371,315 | |
Freddie Mac Multifamily Structured | |
Pass-Through Certificates, Series K004, | |
Class A2 | |
4.19% | | | 08/25/19 | | | | 17,405,000 | | | | 18,965,532 | |
Freddie Mac Multifamily Structured | |
Pass-Through Certificates, Series K005, | |
Class A2 | |
4.32% | | | 11/25/19 | | | | 16,592,000 | | | | 18,199,864 | |
Freddie Mac Multifamily Structured | |
Pass-Through Certificates, Series K007, | |
Class A2 | |
4.22% | | | 03/25/20 | | | | 14,910,000 | | | | 16,322,148 | |
Freddie Mac Multifamily Structured | |
Pass-Through Certificates, Series K033, | |
Class A1 | |
2.87% | | | 02/25/23 | | | | 16,092,351 | | | | 16,542,083 | |
Freddie Mac Multifamily Structured | |
Pass-Through Certificates, Series K701, | |
Class A2 | |
3.88% | | | 11/25/17 | | | | 9,097,000 | | | | 9,674,091 | |
Freddie Mac REMICS, Series 2733, | |
Class FB | |
0.75% | | | 10/15/33 | 3 | | | 5,335,000 | | | | 5,415,635 | |
Freddie Mac REMICS, Series 3084, Class FN | |
0.65% | | | 12/15/34 | 3 | | | 9,787,698 | | | | 9,842,924 | |
Freddie Mac REMICS, Series 3524, | |
Class FC | |
1.09% | | | 06/15/38 | 3 | | | 3,705,665 | | | | 3,744,090 | |
Freddie Mac REMICS, Series 3531, | |
Class FM | |
1.05% | | | 05/15/39 | 3 | | | 4,765,165 | | | | 4,839,203 | |
Freddie Mac REMICS, Series 3828, | |
Class TF | |
0.55% | | | 04/15/29 | 3 | | | 2,407,113 | | | | 2,416,958 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
Freddie Mac REMICS, Series 4235, | |
Class FA | |
0.50% | | | 01/15/34 | 3 | | $ | 13,912,472 | | | $ | 13,914,643 | |
Freddie Mac Strips, Series 263, Class F5 | |
0.65% | | | 06/15/42 | 3 | | | 6,864,679 | | | | 6,885,823 | |
Freddie Mac Strips, Series 319, Class F2 | |
0.65% | | | 11/15/43 | 3 | | | 29,170,216 | | | | 29,217,573 | |
Freddie Mac, Series 2174, Class PN | |
6.00% | | | 07/15/29 | | | | 1,159,131 | | | | 1,260,916 | |
Freddie Mac, Series 240, Class F30 | |
0.45% | | | 07/15/36 | 3 | | | 8,765,112 | | | | 8,792,868 | |
Freddie Mac, Series 2454, Class FQ | |
1.15% | | | 06/15/31 | 3 | | | 18,180 | | | | 18,759 | |
Freddie Mac, Series 3294, Class CB | |
5.50% | | | 03/15/37 | | | | 1,048,564 | | | | 1,122,138 | |
Freddie Mac, Series 3300, Class FA | |
0.45% | | | 08/15/35 | 3 | | | 2,712,368 | | | | 2,717,995 | |
Freddie Mac, Series 3325, Class NF | |
0.45% | | | 08/15/35 | 3 | | | 6,994,782 | | | | 7,009,321 | |
Freddie Mac, Series 3345, Class FP | |
0.35% | | | 11/15/36 | 3 | | | 1,985,826 | | | | 1,989,038 | |
Freddie Mac, Series 3345, Class PF | |
0.33% | | | 05/15/36 | 3 | | | 914,920 | | | | 916,219 | |
Freddie Mac, Series 3346, Class FA | |
0.38% | | | 02/15/19 | 3 | | | 10,494,753 | | | | 10,505,956 | |
Freddie Mac, Series 3626, Class MA | |
5.00% | | | 02/15/30 | | | | 1,508,734 | | | | 1,523,277 | |
Freddie Mac, Series 3672, Class A | |
6.00% | | | 05/15/40 | | | | 828,475 | | | | 889,187 | |
Freddie Mac, Series 4109, Class KF | |
0.55% | | | 05/15/32 | 3 | | | 32,069,732 | | | | 32,077,541 | |
Freddie Mac, Series KS02, Class A | |
0.54% | | | 08/25/23 | | | | 19,753,632 | | | | 19,777,202 | |
Ginnie Mae I Pool 422972 | |
6.50% | | | 07/15/29 | | | | 42,269 | | | | 48,167 | |
Ginnie Mae II Pool (TBA) | |
3.00% | | | 10/20/42 | | | | 15,075,000 | | | | 15,175,108 | |
Ginnie Mae II Pool 1849 | |
8.50% | | | 08/20/24 | | | | 624 | | | | 705 | |
Ginnie Mae II Pool 2020 | |
8.50% | | | 06/20/25 | | | | 1,628 | | | | 1,875 | |
Ginnie Mae II Pool 2286 | |
8.50% | | | 09/20/26 | | | | 1,842 | | | | 2,143 | |
Ginnie Mae II Pool 2487 | |
8.50% | | | 09/20/27 | | | | 15,888 | | | | 18,495 | |
Ginnie Mae II Pool 80059 | |
1.62% | | | 04/20/27 | 3 | | | 33,870 | | | | 34,883 | |
Ginnie Mae II Pool 80589 | |
1.62% | | | 03/20/32 | 3 | | | 76,930 | | | | 79,729 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2014 / 36
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
Ginnie Mae II Pool 80610 | |
1.62% | | | 06/20/32 | 3 | | $ | 23,512 | | | $ | 24,430 | |
Ginnie Mae II Pool 80968 | |
1.62% | | | 07/20/34 | 3 | | | 678,148 | | | | 702,686 | |
Ginnie Mae II Pool 81201 | |
2.12% | | | 01/20/35 | 3 | | | 19,129 | | | | 20,146 | |
Ginnie Mae II Pool 8599 | |
3.00% | | | 02/20/25 | 3 | | | 28,124 | | | | 30,172 | |
Ginnie Mae, Series 2003-11, Class FK | |
0.45% | | | 02/16/33 | 3 | | | 2,785,787 | | | | 2,791,480 | |
Ginnie Mae, Series 2004-5, Class PF | |
0.70% | | | 02/20/33 | 3 | | | 3,742,679 | | | | 3,761,526 | |
Ginnie Mae, Series 2006-3, Class C | |
5.24% | | | 04/16/39 | | | | 6,040,842 | | | | 6,178,761 | |
Ginnie Mae, Series 2009-106, Class XI (IO) | |
6.65% | | | 05/20/37 | 3 | | | 13,197,459 | | | | 2,214,254 | |
Ginnie Mae, Series 2010-118, Class B | |
2.81% | | | 07/16/39 | | | | 1,847,344 | | | | 1,851,458 | |
Ginnie Mae, Series 2011-126, Class AB | |
1.97% | | | 06/16/35 | | | | 10,637,272 | | | | 10,689,905 | |
Ginnie Mae, Series 2011-144, Class AE | |
1.66% | | | 07/16/35 | | | | 9,718,191 | | | | 9,740,159 | |
Ginnie Mae, Series 2011-78, Class AB | |
2.45% | | | 02/16/39 | | | | 2,235,194 | | | | 2,259,098 | |
Ginnie Mae, Series 2012-13, Class KF | |
0.45% | | | 07/20/38 | 3 | | | 5,299,801 | | | | 5,320,846 | |
Ginnie Mae, Series 2013-53, Class AD | |
1.50% | | | 12/20/26 | | | | 9,299,784 | | | | 9,160,743 | |
NCUA Guaranteed Notes, Series 2010-R1, | |
Class 1A | |
0.61% | | | 10/07/20 | 3 | | | 12,123,159 | | | | 12,188,412 | |
NCUA Guaranteed Notes, Series 2010-R2, | |
Class 1A | |
0.53% | | | 11/06/17 | 3 | | | 14,005,913 | | | | 14,042,021 | |
NCUA Guaranteed Notes, Series 2010-R2, | |
Class 2A | |
0.63% | | | 11/05/20 | 3 | | | 10,372,297 | | | | 10,428,818 | |
NCUA Guaranteed Notes, Series 2010-R3, | |
Class 1A | |
0.72% | | | 12/08/20 | 3 | | | 14,614,764 | | | | 14,742,358 | |
NCUA Guaranteed Notes, Series 2010-R3, | |
Class 2A | |
0.72% | | | 12/08/20 | 3 | | | 6,280,256 | | | | 6,333,491 | |
NCUA Guaranteed Notes, Series 2011-C1, | |
Class 2A | |
0.69% | | | 03/09/21 | 3 | | | 12,271,018 | | | | 12,304,273 | |
NCUA Guaranteed Notes, Series 2011-R1, | |
Class 1A | |
0.61% | | | 01/08/20 | 3 | | | 8,756,125 | | | | 8,809,825 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
NCUA Guaranteed Notes, Series 2011-R2, | |
Class 1A | |
0.56% | | | 02/06/20 | 3 | | $ | 8,550,110 | | | $ | 8,584,844 | |
NCUA Guaranteed Notes, Series 2011-R3, | |
Class 1A | |
0.55% | | | 03/11/20 | 3 | | | 4,893,905 | | | | 4,913,500 | |
NCUA Guaranteed Notes, Series 2011-R4, | |
Class 1A | |
0.54% | | | 03/06/20 | 3 | | | 4,915,565 | | | | 4,927,338 | |
NCUA Guaranteed Notes, Series 2011-R5, | |
Class 1A | |
0.54% | | | 04/06/20 | 3 | | | 3,098,896 | | | | 3,104,585 | |
NCUA Guaranteed Notes, Series 2011-R6, | |
Class 1A | |
0.54% | | | 05/07/20 | 3 | | | 2,816,992 | | | | 2,819,468 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 716,895,422 | |
| | | | | | | | | | | | |
|
Total Mortgage-Backed | |
(Cost $1,551,519,206) | | | | 1,564,680,565 | |
| | | | | | | | | | | | |
|
MUNICIPAL BONDS — 1.07%* | |
California — 0.53% | |
State of California, Taxable, Various Purpose | |
4.85% | | | 10/01/14 | | | | 4,900,000 | | | | 4,900,000 | |
5.50% | | | 03/01/16 | | | | 1,775,000 | | | | 1,893,890 | |
6.20% | | | 03/01/19 | | | | 600,000 | | | | 703,386 | |
State of California, Taxable, Various Purpose, | |
Series 3 | |
5.45% | | | 04/01/15 | | | | 1,715,000 | | | | 1,758,355 | |
University of California, Floating Rate Notes, | |
Series Y, Class 1 | |
0.66% | | | 07/01/41 | 3 | | | 10,000,000 | | | | 10,039,599 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 19,295,230 | |
| | | | | | | | | | | | |
|
Illinois — 0.54% | |
State of Illinois, Build America Bonds | |
6.20% | | | 07/01/21 | 3 | | | 6,750,000 | | | | 7,514,910 | |
State of Illinois, Taxable Bonds | |
5.36% | | | 03/01/17 | | | | 2,250,000 | | | | 2,428,898 | |
State of Illinois, Taxable Pension Bonds | |
4.05% | | | 06/01/15 | 3 | | | 1,040,000 | | | | 1,062,443 | |
4.35% | | | 06/01/18 | 3 | | | 8,010,000 | | | | 8,374,936 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 19,381,187 | |
| | | | | | | | | | | | |
|
Total Municipal Bonds | |
(Cost $38,032,178) | | | | 38,676,417 | |
| | | | | | | | | | | | |
|
U.S. AGENCY SECURITIES — 4.02% | |
Federal Farm Credit Bank | |
0.17% | | | 09/14/16 | 3 | | | 17,560,000 | | | | 17,564,258 | |
0.18% | | | 04/26/17 | 3 | | | 35,365,000 | | | | 35,403,123 | |
See accompanying notes to Schedule of Portfolio Investments.
37 / Semi-Annual Report September 2014
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
U.S. AGENCY SECURITIES (continued) | |
0.20% | | | 04/17/17 | 3 | | $ | 22,785,000 | | | $ | 22,821,456 | |
0.21% | | | 02/27/17 | 3 | | | 17,135,000 | | | | 17,165,226 | |
Federal Home Loan Bank | |
0.22% | | | 10/07/15 | 3 | | | 16,250,000 | | | | 16,265,356 | |
Fico Strip Principal, Series 5P | |
0.00% | | | 02/08/18 | 8 | | | 37,445,000 | | | | 35,601,471 | |
| | | | | | | | | | | | |
|
Total U.S. Agency Securities | |
(Cost $144,648,632) | | | | 144,820,890 | |
| | | | | | | | | | | | |
|
U.S. TREASURY SECURITIES — 0.60% | |
U.S. Treasury Notes — 0.60% | |
U.S. Treasury Notes - Treasury Inflation | |
Indexed Notes | |
0.50% | | | 04/15/15 | 9 | | | 6,330,000 | | | | 6,968,444 | |
1.62% | | | 01/15/15 | 9 | | | 11,780,000 | | | | 14,718,132 | |
| | | | | | | | | | | | |
|
Total U.S. Treasury Securities | |
(Cost $22,057,962) | | | | 21,686,576 | |
| | | | | | | | | | | | |
|
Total Bonds – 82.05% | |
(Cost $2,920,549,931) | | | | 2,955,396,273 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | | |
| | | | | | | | | | |
| Issues | | | | Notional
Amount
(000’s) | | | Value | |
PURCHASED SWAPTIONS — 0.01% | |
| Option to enter into a 30-year Interest Rate Swap for the counterparty to pay the Fund a floating rate based on 3-month USD LIBOR in exchange for receiving from the Fund a fixed rate of 6.00% annually; Option Expiration Date of 12/24/23. Counterparty: Goldman Sachs Group, Inc. | | | | | | | | |
| | | | | 30,000 | | | | 416,925 | |
| | | | | | | | | | |
|
Total Purchased Swaptions | |
(Cost $939,000) | | | | | |
| | | |
| | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount/
Share | | | Value | |
|
SHORT-TERM INVESTMENTS — 15.45% | |
|
Commercial Paper — 0.72% | |
RBS Holdings USA, Inc. | |
0.19%10 | | | 10/27/14 | | | | 26,000,000 | | | | 25,996,736 | |
| | | | | | | | | | | | |
|
Money Market Funds — 1.98% | |
Dreyfus Cash Advantage Fund | |
0.01%11 | | | | | | | 35,766,000 | | | | 35,766,000 | |
Morgan Stanley Institutional Fund | |
0.04%11 | | | | | | | 35,758,000 | | | | 35,758,000 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 71,524,000 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount/
Share | | | Value | |
SHORT-TERM INVESTMENTS (continued) | |
U.S. Agency Discount Notes — 12.74% | |
Fannie Mae | | | | | |
0.04%10 | | | 02/09/15 | | | $ | 35,000,000 | | | $ | 34,998,740 | |
Federal Home Loan Bank | | | | | |
0.06%10 | | | 03/25/15 | | | | 35,000,000 | | | | 34,996,605 | |
0.06%10 | | | 03/20/15 | | | | 35,000,000 | | | | 34,996,710 | |
0.06%10 | | | 11/21/14 | | | | 35,000,000 | | | | 34,999,851 | |
0.07%10 | | | 12/05/14 | | | | 95,250,000 | | | | 95,249,143 | |
0.07%10 | | | 11/28/14 | | | | 35,000,000 | | | | 34,999,831 | |
0.08%10 | | | 10/15/14 | | | | 33,000,000 | | | | 32,999,650 | |
0.08%10 | | | 10/29/14 | | | | 30,000,000 | | | | 29,999,749 | |
0.08%10 | | | 11/12/14 | | | | 18,755,000 | | | | 18,754,633 | |
0.08%10 | | | 03/18/15 | | | | 35,000,000 | | | | 34,996,745 | |
0.08%10 | | | 10/31/14 | | | | 41,200,000 | | | | 41,199,623 | |
0.09%10 | | | 10/17/14 | | | | 30,720,000 | | | | 30,719,631 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 458,910,911 | |
| | | | | | | | | | | | |
| |
U.S. Treasury Bills — 0.01% | | | | | |
U.S. Treasury Bills | | | | | |
0.02%10 | | | 10/16/14 | 12 | | | 169,000 | | | | 168,998 | |
0.02%10 | | | 11/20/14 | 12 | | | 36,000 | | | | 36,000 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 204,998 | |
| | | | | | | | | | | | |
|
Total Short-Term Investments | |
(Cost $556,583,663) | | | | 556,636,645 | |
| | | | | | | | | | | | |
| |
Total Investments – 97.51% | | | | | |
(Cost $3,478,072,594)1 | | | | 3,512,449,843 | |
| | | | | | | | | | | | |
|
Cash and Other Assets, Less | |
Liabilities – 2.49% | | | | 89,710,058 | |
| | | | | | | | | | | | |
| |
Net Assets – 100.00% | | | $ | 3,602,159,901 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | | |
| Issues | | Notional
Amount
(000’s) | | | Premiums
(Received) | | | Value | |
|
WRITTEN SWAPTIONS | |
| Option to enter into a 30-year Interest Rate Swap for the counterparty to pay the Fund a floating rate based on 3-month USD LIBOR in exchange for receiving from the Fund a fixed rate of 7.00% annually; Option Expiration Date of 12/24/23. Counterparty: Goldman Sachs Group, Inc. | |
| | $ | (30,000 | ) | | | $(540,000) | | | $ | (232,341 | ) |
| | | | | | | | | | | | |
Total Written Swaptions | | | | $(540,000) | | | $ | (232,341 | ) |
| | | | | | | | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2014 / 38
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | |
| Contracts | | Unrealized Appreciation/ (Depreciation) | |
FUTURES CONTRACTS: LONG POSITIONS | |
| 380 | | Euro Dollar Ninety Day, | | | | |
| | Expiration March 2015 | | $ | 36,777 | |
| 160 | | Euro Dollar Ninety Day, | | | | |
| | Expiration December 2016 | | | (18,410 | ) |
| | | | | | |
| | Net unrealized appreciation | | $ | 18,367 | |
| | | | | | |
| | | | | | |
| Contracts | | | | Unrealized
Appreciation | |
FUTURES CONTRACTS: SHORT POSITIONS | |
| 380 | | Euro Dollar Ninety Day, | | | | |
| | Expiration March 2016 | | $ | 137,277 | |
| 160 | | Euro Dollar Ninety Day, | | | | |
| | Expiration December 2017 | | | 3,639 | |
| | | | | | |
| | Net unrealized appreciation | | $ | 140,916 | |
| | | | | | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | Expiration
Date | | Premiums
(Received) | | Notional
Amount
(000’s) | | Appreciation | | Value |
SWAPTION: RATE FLOOR INFLATION | |
| The Fund received a fixed payment equal to $115,920 and the Fund will pay to the counterparty a floating rate based on the Consumer Price Indexes-Urban at expiration of the swaption 11/23/20. Counterparty: Citigroup, Inc. | |
| | 11/23/20 | | | $ | (115,920 | ) | | | $ | 10,080 | | | | $ | 110,174 | | | | $ | (5,746 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | $ | (115,920 | ) | | | $ | 10,080 | | | | $ | 110,174 | | | | $ | (5,746 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
Notes:
| 1 | Cost for federal income tax purposes is $3,478,748,471 and net unrealized appreciation/(depreciation) consists of: |
| | | | | |
Gross unrealized appreciation | | | $ | 50,603,155 | |
Gross unrealized (depreciation) | | | | (16,901,783 | ) |
| | | | | |
Net unrealized appreciation | | | $ | 33,701,372 | |
| | | | | |
| 2 | U.S. dollar-denominated security issued by foreign-domiciled entity. |
| 3 | Floating rate security. The rate disclosed was in effect at September 30, 2014. |
| 4 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| 5 | Private placements under procedures approved by the Fund’s Board of Trustees. |
| 6 | Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer. 8.14% cash or 8.64% payment-in-kind interest. |
| 7 | Illiquid security as determined under procedures approved by the Funds’ Board of Trustees. The aggregate value of illiquid securities is $5,570,298, which is 0.15% of total net assets. |
| 8 | Zero coupon bond. The rate shown is the effective yield as of September 30, 2014. |
| 9 | Inflation protected security. Principal amount reflects original security face amount. |
| 10 | Represents annualized yield at date of purchase. |
| 11 | Represents the current yield as of September 30, 2014. |
| 12 | Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $204,998. |
| † | Fair valued security. The aggregate value of fair valued securities is $1,576,178, which is 0.04% of total net assets, which have not been valued utilizing an independent quote and were valued pursuant to guidelines established by the Board of Trustees. This figure represents securities that are priced using a benchmark pricing system and securities that have been deemed permanently stale, see Notes to Financial Statements. |
| * | Securities with a call or reset feature will have an effective maturity date sooner than the stated maturity. |
| ** | Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date sooner than the stated maturity date. |
Note: For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for more meaningful presentation for investors.
(AGM): Assurance Guaranty Municipal Corp. (formerly known as FSA (Financial Security Assurance, Inc.))
(BKNT): Banker’s Note, Inc.
(IO): Interest only
(LIBOR): London InterBank Offer Rate
(MTN): Medium-term note
(PIK): Payment in kind
(STEP): Step coupon bond
(TBA): To be announced
(USD): U.S. dollar
(WI): When issued
(YCD): Yankee Certificate of Deposit
See accompanying notes to Schedule of Portfolio Investments.
39 / Semi-Annual Report September 2014
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BONDS – 92.97% | | | | | | | | | |
ASSET-BACKED SECURITIES — 9.27%** | | | | | |
321 Henderson Receivables I LLC, | | | | | |
Series 2014-2A, Class A | | | | | |
3.61% | | | 01/17/73 | 2 | | $ | 1,150,000 | | | $ | 1,150,968 | |
Academic Loan Funding Trust, | | | | | |
Series 2012-1A, Class A2 | | | | | |
1.26% | | | 12/27/44 | 2,3 | | | 950,000 | | | | 953,766 | |
Alm Loan Funding, Series 2012-7A, Class A1 | | | | | |
(Cayman Islands) | | | | | | | | | | | | |
1.65% | | | 10/19/24 | 2,3,4 | | | 775,000 | | | | 774,124 | |
American Money Management Corp., | | | | | |
Series 2014-14A, Class A1L | | | | | |
1.80% | | | 07/27/26 | 2,3 | | | 1,100,000 | | | | 1,099,829 | |
Axis Equipment Finance Receivables LLC, | | | | | |
Series 2012-1I, Class E1 | | | | | |
6.25% | | | 04/20/16 | | | | 170,768 | | | | 171,431 | |
Babson CLO Ltd., Series 2014-IIA, Class A | | | | | |
(Cayman Islands) | | | | | |
1.66% | | | 10/17/26 | 2,3,4 | | | 850,000 | | | | 850,313 | |
Bayview Commercial Asset Trust, | | | | | |
Series 2004-3, Class A1 | | | | | |
0.52% | | | 01/25/35 | 2,3 | | | 1,028,294 | | | | 956,326 | |
Bayview Commercial Asset Trust, | | | | | |
Series 2005-2A, Class A1 | | | | | |
0.46% | | | 08/25/35 | 2,3 | | | 421,112 | | | | 384,656 | |
BlueMountain CLO Ltd., Series 2013-1A, | | | | | |
Class A1 (Cayman Islands) | | | | | |
1.43% | | | 05/15/25 | 2,3,4 | | | 1,420,000 | | | | 1,408,188 | |
Brazos Higher Education Authority, Inc., | | | | | |
Series 2005-3, Class A16 | | | | | |
0.43% | | | 06/25/26 | 3 | | | 350,000 | | | | 342,169 | |
Brazos Higher Education Authority, Inc., | | | | | |
Series 2010-1, Class A2 | | | | | |
1.44% | | | 02/25/35 | 3 | | | 650,000 | | | | 670,169 | |
Brazos Higher Education Authority, Inc., | | | | | |
Series 2011-2, Class A3 | | | | | |
1.23% | | | 10/27/36 | 3 | | | 930,000 | | | | 944,946 | |
CIT Education Loan Trust, Series 2007-1, | | | | | |
Class A | | | | | | | | | | | | |
0.32% | | | 03/25/42 | 2,3 | | | 485,680 | | | | 464,669 | |
Cronos Containers Program Ltd., | | | | | |
Series 2012-2A, Class A (Bermuda) | | | | | |
3.81% | | | 09/18/27 | 2,4 | | | 400,000 | | | | 400,407 | |
Educational Funding of the South, Inc., | | | | | |
Series 2011-1, Class A2 | | | | | |
0.88% | | | 04/25/35 | 3 | | | 780,000 | | | | 782,665 | |
Flatiron CLO Ltd. | | | | | |
1.62% | | | 07/17/26 | 2,3 | | | 1,350,000 | | | | 1,344,668 | |
GCO Education Loan Funding Trust, | | | | | |
Series 2006-2AR, Class A1RN | | | | | |
0.80% | | | 08/27/46 | 2,3 | | | 1,026,831 | | | | 1,001,507 | |
GE Business Loan Trust, Series 2004-1, | | | | | |
Class A | | | | | |
0.44% | | | 05/15/32 | 2,3 | | | 2,343,226 | | | | 2,304,335 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | | | | | |
GE Business Loan Trust, Series 2004-2A, | | | | | |
Class A | | | | | |
0.37% | | | 12/15/32 | 2,3 | | $ | 501,756 | | | $ | 489,510 | |
GE Business Loan Trust, Series 2005-1A, | | | | | |
Class A3 | | | | | |
0.40% | | | 06/15/33 | 2,3 | | | 686,802 | | | | 667,022 | |
Global SC Finance SRL, Series 2014-1A, | | | | | |
Class A2 (Barbados) | | | | | |
3.09% | | | 07/17/24 | 2,4 | | | 1,647,083 | | | | 1,629,833 | |
Higher Education Funding, Series 2014-1, | | | | | |
Class A | | | | | |
1.29% | | | 05/25/34 | 2,3 | | | 1,294,363 | | | | 1,285,442 | |
ING Investment Management CLO Ltd., | | | | | |
Series 2014-1A, Class A1 (Cayman Islands) | | | | | |
1.77% | | | 04/18/26 | 2,3,4 | | | 1,430,000 | | | | 1,429,999 | |
ING Investment Management Ltd., | | | | | |
Series 2012-4A, Class A1 (Cayman Islands) | | | | | |
1.62% | | | 10/15/23 | 2,3,4 | | | 1,050,000 | | | | 1,048,293 | |
J.G. Wentworth XXX LLC, Series 2013-3A, | | | | | |
Class A | | | | | |
4.08% | | | 01/17/73 | 2 | | | 642,986 | | | | 668,501 | |
LCM VI LP, Series 6A, Class A | | | | | |
(Cayman Islands) | | | | | |
0.47% | | | 05/28/19 | 2,3,4 | | | 640,555 | | | | 639,607 | |
Limerock CLO, Series 2014-2A, Class A | | | | | |
(Cayman Islands) | | | | | |
1.73% | | | 04/18/26 | 2,3,4 | | | 1,200,000 | | | | 1,200,595 | |
Navient Student Loan Trust, Series 2014-1, | | | | | |
Class A3 | | | | | |
0.66% | | | 06/25/31 | 3 | | | 2,765,000 | | | | 2,769,783 | |
Navient Student Loan Trust, Series 2014-2, | | | | | |
Class A | | | | | |
0.80% | | | 03/25/43 | 3 | | | 2,945,000 | | | | 2,950,518 | |
Navient Student Loan Trust, Series 2014-3, | | | | | |
Class A | | | | | |
0.78% | | | 03/25/43 | 3 | | | 2,945,000 | | | | 2,950,409 | |
Navient Student Loan Trust, Series 2014-4, | | | | | |
Class A | | | | | |
0.83% | | | 03/25/43 | 3 | | | 2,825,000 | | | | 2,830,179 | |
Nelnet Student Loan Trust, Series 2011-1A, | | | | | |
Class A | | | | | | | | | | | | |
1.00% | | | 02/25/43 | 2,3 | | | 2,598,271 | | | | 2,638,894 | |
Nelnet Student Loan Trust, Series 2014-4A, | | | | | |
Class A2 | | | | | | | | | | | | |
1.10% | | | 11/25/43 | 2,3 | | | 1,370,000 | | | | 1,375,697 | |
Oak Hill Credit Partners, Series 2012-7A, | | | | | |
Class A (Cayman Islands) | | | | | |
1.65% | | | 11/20/23 | 2,3,4 | | | 775,000 | | | | 773,606 | |
Peach Finance Co., Series 2000, Class A | | | | | |
4.71% | | | 04/15/48 | 2 | | | 313,887 | | | | 324,854 | |
SLC Student Loan Trust I, Series 2002-2, | | | | | |
Class B2 | | | | | |
0.04% | | | 07/01/42 | 2,3 | | | 750,000 | | | | 579,880 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2014 / 40
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | |
SLC Student Loan Trust, Series 2004-1, | |
Class B | |
0.52% | | | 08/15/31 | 3 | | $ | 288,559 | | | $ | 265,477 | |
SLC Student Loan Trust, Series 2005-3, | |
Class B | |
0.48% | | | 06/15/40 | 3 | | | 1,085,368 | | | | 988,029 | |
SLC Student Loan Trust, Series 2008-1, | |
Class A4A | |
1.83% | | | 12/15/32 | 3 | | | 625,000 | | | | 654,182 | |
SLM Student Loan Trust, Series 2004-2, | |
Class B | |
0.70% | | | 07/25/39 | 3 | | | 323,191 | | | | 302,042 | |
SLM Student Loan Trust, Series 2004-8, | |
Class B | |
0.69% | | | 01/25/40 | 3 | | | 324,123 | | | | 297,551 | |
SLM Student Loan Trust, Series 2004-8A, | |
Class A5 | |
0.73% | | | 04/25/24 | 2,3 | | | 2,614,797 | | | | 2,622,551 | |
SLM Student Loan Trust, Series 2005-4, | |
Class A3 | |
0.35% | | | 01/25/27 | 3 | | | 2,815,000 | | | | 2,781,331 | |
SLM Student Loan Trust, Series 2005-4, | |
Class B | |
0.41% | | | 07/25/40 | 3 | | | 369,919 | | | | 333,088 | |
SLM Student Loan Trust, Series 2006-2, | |
Class A6 | |
0.40% | | | 01/25/41 | 3 | | | 925,000 | | | | 859,346 | |
SLM Student Loan Trust, Series 2006-8, | |
Class A6 | |
0.39% | | | 01/25/41 | 3 | | | 925,000 | | | | 843,699 | |
SLM Student Loan Trust, Series 2007-6, | |
Class B | |
1.08% | | | 04/27/43 | 3 | | | 151,945 | | | | 139,087 | |
SLM Student Loan Trust, Series 2008-2, | |
Class B | |
1.43% | | | 01/25/29 | 3 | | | 160,000 | | | | 146,921 | |
SLM Student Loan Trust, Series 2008-3, | |
Class B | |
1.43% | | | 04/25/29 | 3 | | | 160,000 | | | | 148,099 | |
SLM Student Loan Trust, Series 2008-4, | |
Class B | |
2.08% | | | 04/25/29 | 3 | | | 160,000 | | | | 161,421 | |
SLM Student Loan Trust, Series 2008-5, | |
Class B | |
2.08% | | | 07/25/29 | 3 | | | 160,000 | | | | 164,847 | |
SLM Student Loan Trust, Series 2008-6, | |
Class B | |
2.08% | | | 07/25/29 | 3 | | | 160,000 | | | | 161,446 | |
SLM Student Loan Trust, Series 2008-7, | |
Class B | |
2.08% | | | 07/25/29 | 3 | | | 160,000 | | | | 161,225 | |
SLM Student Loan Trust, Series 2008-8, | |
Class B | |
2.48% | | | 10/25/29 | 3 | | | 160,000 | | | | 168,304 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | |
SLM Student Loan Trust, Series 2008-9, | |
Class B | |
2.48% | | | 10/25/29 | 3 | | $ | 160,000 | | | $ | 169,090 | |
SLM Student Loan Trust, Series 2011-2, | |
Class A2 | |
1.36% | | | 10/25/34 | 3 | | | 500,000 | | | | 511,436 | |
SLM Student Loan Trust, Series 2012-3, | |
Class A | |
0.80% | | | 12/26/25 | 3 | | | 2,599,297 | | | | 2,625,141 | |
SLM Student Loan Trust, Series 2012-7, | |
Class A3 | |
0.80% | | | 05/26/26 | 3 | | | 800,000 | | | | 801,368 | |
SLM Student Loan Trust, Series 2013-4, | |
Class A | |
0.70% | | | 06/25/27 | 3 | | | 717,129 | | | | 718,748 | |
South Carolina Student Loan Corp., Series A2 | |
0.35% | | | 12/01/20 | 3 | | | 359,697 | | | | 357,883 | |
Spirit Master Funding LLC, Series 2014-1A, | |
Class A1 | |
5.05% | | | 07/20/40 | 2 | | | 543,610 | | | | 580,135 | |
Structured Receivables Finance LLC, | |
Series 2010-A, Class B | |
7.61% | | | 01/16/46 | 2,† | | | 760,368 | | | | 906,483 | |
Symphony CLO Ltd., Series 2013-11A, | |
Class A (Cayman Islands) | |
1.53% | | | 01/17/25 | 2,3,4 | | | 1,350,000 | | | | 1,342,725 | |
TAL Advantage LLC, Series 2006-1, | |
Class NOTE | |
0.35% | | | 04/20/21 | 2,3 | | | 229,583 | | | | 227,602 | |
Triton Container Finance LLC, | |
Series 2007-1A, Class NOTE | |
0.29% | | | 02/26/19 | 2,3 | | | 45,573 | | | | 45,481 | |
| | | | | | | | | | | | |
| |
Total Asset-Backed Securities | | | | | |
(Cost $60,826,721) | | | | 61,742,496 | |
| | | | | | | | | | | | |
|
BANK LOANS — 0.11%* | |
Health Care — 0.07% | |
HCA, Inc., Term Loan B4 | |
2.98% | | | 05/01/18 | 3 | | | 450,582 | | | | 445,889 | |
| | | | | | | | | | | | |
|
Services — 0.04% | |
AABS Ltd. Loan, Series 2013-1, Class A | |
(STEP) (Bermuda) | |
4.72% | | | 01/15/38 | 3,4,† | | | 268,750 | | | | 278,148 | |
| | | | | | | | | | | | |
| |
Total Bank Loans | | | | | |
(Cost $721,871) | | | | 724,037 | |
| | | | | | | | | | | | |
|
CORPORATES — 15.16%* | |
Banking — 2.23% | |
Bank of America Corp. (MTN) | |
1.10% | | | 04/01/19 | 3 | | | 1,000,000 | | | | 1,009,784 | |
Bank of America N.A. (BKNT) | |
0.53% | | | 06/15/17 | 3 | | | 1,350,000 | | | | 1,341,633 | |
See accompanying notes to Schedule of Portfolio Investments.
41 / Semi-Annual Report September 2014
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Banking (continued) | |
6.00% | | | 06/15/16 | | | $ | 650,000 | | | $ | 700,851 | |
6.10% | | | 06/15/17 | | | | 340,000 | | | | 379,091 | |
Commonwealth Bank of Australia (Australia) | | | | | |
1.95% | | | 03/16/15 | 4 | | | 1,400,000 | | | | 1,410,173 | |
Credit Suisse/New York (Switzerland) | | | | | |
6.00% | | | 02/15/18 | 4 | | | 288,000 | | | | 323,177 | |
Credit Suisse/New York (YCD) (Switzerland) | | | | | |
0.47% | | | 04/10/15 | 3,4 | | | 1,000,000 | | | | 1,001,611 | |
0.56% | | | 08/24/15 | 3,4 | | | 1,250,000 | | | | 1,249,713 | |
HBOS PLC, Series G (MTN) | | | | | |
(United Kingdom) | | | | | |
6.75% | | | 05/21/18 | 2,4 | | | 915,000 | | | | 1,035,457 | |
JPMorgan Chase Bank N.A. | | | | | |
0.56% | | | 06/13/16 | 3 | | | 600,000 | | | | 599,146 | |
JPMorgan Chase Bank N.A. (BKNT) | | | | | |
6.00% | | | 07/05/17 | | | | 600,000 | | | | 671,290 | |
6.00% | | | 10/01/17 | | | | 500,000 | | | | 559,417 | |
Macquarie Bank Ltd. (Australia) | | | | | |
0.68% | | | 06/15/16 | 2,3,4 | | | 2,000,000 | | | | 2,000,842 | |
National Australia Bank/New York (MTN) | | | | | |
(Australia) | | | | | |
2.00% | | | 03/09/15 | 4 | | | 1,200,000 | | | | 1,208,329 | |
Royal Bank of Scotland PLC | | | | | |
(United Kingdom) | | | | | |
2.55% | | | 09/18/15 | 4 | | | 1,370,000 | | | | 1,390,705 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 14,881,219 | |
| | | | | | | | | | | | |
|
Communications — 0.62% | |
Sprint Nextel Corp. | | | | | |
9.00% | | | 11/15/18 | 2 | | | 1,500,000 | | | | 1,735,350 | |
Verizon Communications, Inc. | | | | | |
2.62% | | | 02/21/20 | 2 | | | 1,609,000 | | | | 1,590,794 | |
3.45% | | | 03/15/21 | | | | 765,000 | | | | 777,087 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 4,103,231 | |
| | | | | | | | | | | | |
|
Consumer Discretionary — 0.31% | |
Catholic Health Initiatives | | | | | |
2.60% | | | 08/01/18 | | | | 1,000,000 | | | | 1,012,585 | |
4.20% | | | 08/01/23 | | | | 1,000,000 | | | | 1,040,169 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 2,052,754 | |
| | | | | | | | | | | | |
|
Electric — 2.05% | |
AES Corp. | | | | | |
3.23% | | | 06/01/19 | 3 | | | 500,000 | | | | 497,500 | |
DPL, Inc. | | | | | |
6.50% | | | 10/15/16 | | | | 700,000 | | | | 750,750 | |
Duquesne Light Holdings, Inc. | | | | | |
6.40% | | | 09/15/20 | 2 | | | 1,363,000 | | | | 1,594,723 | |
FirstEnergy Corp., Series A | | | | | |
2.75% | | | 03/15/18 | | | | 1,140,000 | | | | 1,145,429 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Electric (continued) | |
Florida Gas Transmission Co. LLC | | | | | |
7.90% | | | 05/15/19 | 2 | | $ | 500,000 | | | $ | 613,474 | |
Homer City Generation LP (PIK) | | | | | |
8.73% | | | 10/01/26 | 5 | | | 500,000 | | | | 526,250 | |
Ipalco Enterprises, Inc. | | | | | |
7.25% | | | 04/01/16 | 2 | | | 760,000 | | | | 817,744 | |
Ipalco Enterprises, Inc. (WI) | | | | | |
5.00% | | | 05/01/18 | | | | 1,000,000 | | | | 1,054,690 | |
Metropolitan Edison Co. | | | | | |
7.70% | | | 01/15/19 | | | | 500,000 | | | | 603,277 | |
Mirant Mid Atlantic Pass-Through Trust, | | | | | |
Series C | | | | | |
10.06% | | | 12/30/28 | | | | 682,006 | | | | 757,027 | |
Oncor Electric Delivery Co. LLC | | | | | |
6.80% | | | 09/01/18 | | | | 900,000 | | | | 1,055,993 | |
Public Service Co. of New Mexico | | | | | |
7.95% | | | 05/15/18 | | | | 475,000 | | | | 567,985 | |
Southwestern Electric Power Co. | | | | | |
6.45% | | | 01/15/19 | | | | 1,109,000 | | | | 1,298,262 | |
Texas-New Mexico Power Co. | | | | | |
9.50% | | | 04/01/19 | 2 | | | 500,000 | | | | 644,111 | |
Trans-Allegheny Interstate Line Co. | | | | | |
4.00% | | | 01/15/15 | 2 | | | 1,000,000 | | | | 1,010,009 | |
Tucson Electric Power | | | | | |
3.85% | | | 03/15/23 | | | | 700,000 | | | | 714,550 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 13,651,774 | |
| | | | | | | | | | | | |
|
Energy — 1.24% | |
Chesapeake Energy Corp. | | | | | |
3.48% | | | 04/15/19 | 3 | | | 1,000,000 | | | | 1,006,250 | |
Energy Transfer Partners LP | | | | | |
3.26% | | | 11/01/66 | 3 | | | 910,000 | | | | 861,087 | |
Florida Gas Transmission Co. LLC | | | | | |
3.88% | | | 07/15/22 | 2 | | | 1,000,000 | | | | 1,037,400 | |
Petrobras Global Finance BV (Netherlands) | | | | | |
2.37% | | | 01/15/19 | 3,4 | | | 1,194,000 | | | | 1,202,916 | |
Ruby Pipeline LLC | | | | | |
6.00% | | | 04/01/22 | 2 | | | 1,250,000 | | | | 1,383,325 | |
Spectra Energy Partners LP | | | | | |
2.95% | | | 09/25/18 | | | | 1,275,000 | | | | 1,311,986 | |
Tennessee Gas Pipeline Co. LLC | | | | | |
8.00% | | | 02/01/16 | | | | 1,250,000 | | | | 1,363,115 | |
Williams Cos., Inc. | | | | | |
7.88% | | | 09/01/21 | | | | 70,000 | | | | 84,436 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 8,250,515 | |
| | | | | | | | | | | | |
|
Finance — 3.82% | |
Bear Stearns Cos. LLC | | | | | |
7.25% | | | 02/01/18 | | | | 1,140,000 | | | | 1,327,255 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2014 / 42
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Finance (continued) | |
Chase Capital III, Series C | |
0.78% | | | 03/01/27 | 3 | | $ | 500,000 | | | $ | 443,750 | |
CIT Group, Inc. | |
4.25% | | | 08/15/17 | | | | 1,049,000 | | | | 1,064,735 | |
Citigroup, Inc. | |
0.72% | | | 08/14/17 | 3 | | | 750,000 | | | | 751,173 | |
0.78% | | | 08/25/36 | 3 | | | 205,000 | | | | 166,756 | |
1.30% | | | 11/15/16 | | | | 1,000,000 | | | | 1,001,716 | |
1.93% | | | 05/15/18 | 3 | | | 583,000 | | | | 607,206 | |
5.30% | | | 01/07/16 | | | | 625,000 | | | | 659,757 | |
5.50% | | | 10/15/14 | | | | 371,000 | | | | 371,693 | |
6.00% | | | 08/15/17 | | | | 250,000 | | | | 280,181 | |
6.12% | | | 05/15/18 | | | | 345,000 | | | | 390,946 | |
Ford Motor Credit Co. LLC | |
2.75% | | | 05/15/15 | | | | 500,000 | | | | 506,603 | |
Ford Motor Credit Co. LLC, Series FRN | |
1.48% | | | 05/09/16 | 3 | | | 1,000,000 | | | | 1,014,431 | |
General Electric Capital Corp. | |
4.62% | | | 01/07/21 | | | | 700,000 | | | | 772,544 | |
5.62% | | | 05/01/18 | | | | 730,000 | | | | 825,296 | |
General Electric Capital Corp. (MTN) | |
0.62% | | | 05/05/26 | 3 | | | 1,610,000 | | | | 1,541,158 | |
3.35% | | | 10/17/16 | | | | 750,000 | | | | 786,844 | |
General Motors Financial Co., Inc., | |
Series 3YR | |
3.00% | | | 09/25/17 | | | | 2,000,000 | | | | 2,022,500 | |
Goldman Sachs Group, Inc. | |
5.95% | | | 01/18/18 | | | | 350,000 | | | | 392,119 | |
6.15% | | | 04/01/18 | | | | 1,100,000 | | | | 1,240,908 | |
7.50% | | | 02/15/19 | | | | 550,000 | | | | 656,456 | |
Goldman Sachs Group, Inc., Series B (MTN) | |
0.63% | | | 07/22/15 | 3 | | | 100,000 | | | | 100,158 | |
JPMorgan Chase Capital XIII, Series M | |
1.18% | | | 09/30/34 | 3 | | | 1,070,000 | | | | 929,563 | |
JPMorgan Chase Capital XXI, Series U | |
1.19% | | | 02/02/37 | 3 | | | 1,650,000 | | | | 1,423,125 | |
Merrill Lynch & Co., Inc. (MTN) | |
8.68% | | | 05/02/17 | 3 | | | 510,000 | | | | 545,700 | |
8.95% | | | 05/18/17 | 3 | | | 410,000 | | | | 441,283 | |
9.57% | | | 06/06/17 | 3 | | | 319,000 | | | | 348,507 | |
Morgan Stanley | |
0.71% | | | 10/15/15 | 3 | | | 187,000 | | | | 187,629 | |
Morgan Stanley (MTN) | |
0.68% | | | 10/18/16 | 3 | | | 1,185,000 | | | | 1,186,860 | |
6.25% | | | 08/28/17 | | | | 800,000 | | | | 900,865 | |
Prudential Holdings LLC (AGM) | |
1.11% | | | 12/18/17 | 2,3 | | | 428,571 | | | | 426,220 | |
Reckson Operating Partnership LP | |
5.00% | | | 08/15/18 | | | | 700,000 | | | | 754,855 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Finance (continued) | |
ZFS Finance USA Trust II | |
6.45% | | | 12/15/65 | 2,3 | | $ | 1,250,000 | | | $ | 1,346,875 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 25,415,667 | |
| | | | | | | | | | | | |
|
Health Care — 0.62% | |
CHS/Community Health Systems, Inc. | |
5.12% | | | 08/15/18 | | | | 1,100,000 | | | | 1,133,000 | |
HCA, Inc. | |
3.75% | | | 03/15/19 | | | | 1,000,000 | | | | 987,500 | |
Providence Health & Services | |
Obligated Group | |
1.18% | | | 10/01/17 | 3 | | | 1,975,000 | | | | 1,985,075 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 4,105,575 | |
| | | | | | | | | | | | |
|
Industrials — 0.40% | |
Heathrow Funding Ltd. (United Kingdom) | |
2.50% | | | 06/25/15 | 2,4 | | | 1,000,000 | | | | 1,011,585 | |
Sydney Airport Finance Co. Pty Ltd. | |
(Australia) | |
3.90% | | | 03/22/23 | 2,4 | | | 900,000 | | | | 914,104 | |
5.12% | | | 02/22/21 | 2,4 | | | 690,000 | | | | 768,980 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 2,694,669 | |
| | | | | | | | | | | | |
|
Insurance — 0.49% | |
Metropolitan Life Global Funding I | |
3.88% | | | 04/11/22 | 2 | | | 1,000,000 | | | | 1,050,762 | |
Nationwide Mutual Insurance Co. | |
5.81% | | | 12/15/24 | 2,3 | | | 1,002,000 | | | | 1,009,515 | |
New York Life Global Funding | |
1.12% | | | 03/01/17 | 2 | | | 1,200,000 | | | | 1,200,103 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 3,260,380 | |
| | | | | | | | | | | | |
|
Materials — 0.07% | |
Barrick Gold Corp. (WI) (Canada) | |
4.10% | | | 05/01/23 | 4 | | | 475,000 | | | | 457,565 | |
| | | | | | | | | | | | |
|
Real Estate Investment Trust (REIT) — 2.50% | |
Alexandria Real Estate Equities, Inc. | |
4.60% | | | 04/01/22 | | | | 1,000,000 | | | | 1,060,590 | |
Arc Properties Operating Partnership LP/ | |
Clark Acquisition LLC | |
2.00% | | | 02/06/17 | 2 | | | 2,000,000 | | | | 2,001,014 | |
HCP, Inc. | | | | | | | | | | | | |
2.62% | | | 02/01/20 | | | | 750,000 | | | | 740,801 | |
4.25% | | | 11/15/23 | | | | 315,000 | | | | 323,069 | |
6.00% | | | 01/30/17 | | | | 1,000,000 | | | | 1,105,116 | |
7.07% | | | 06/08/15 | | | | 200,000 | | | | 208,536 | |
HCP, Inc. (MTN) | |
6.30% | | | 09/15/16 | | | | 500,000 | | | | 550,291 | |
Health Care REIT, Inc. | |
4.70% | | | 09/15/17 | | | | 1,000,000 | | | | 1,086,943 | |
See accompanying notes to Schedule of Portfolio Investments.
43 / Semi-Annual Report September 2014
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Real Estate Investment Trust (REIT) (continued) | |
5.25% | | | 01/15/22 | | | $ | 930,000 | | | $ | 1,029,831 | |
Host Hotels & Resorts LP (WI) | |
5.88% | | | 06/15/19 | | | | 1,245,000 | | | | 1,319,379 | |
Mid-America Apartments LP | |
5.50% | | | 10/01/15 | | | | 1,000,000 | | | | 1,045,384 | |
Simon Property Group LP | |
4.20% | | | 02/01/15 | | | | 400,000 | | | | 401,283 | |
SL Green Realty Corp./SL Green Operating | |
Partnership | |
7.75% | | | 03/15/20 | | | | 650,000 | | | | 774,436 | |
UDR, Inc. (MTN) | |
5.25% | | | 01/15/15 | | | | 1,000,000 | | | | 1,013,567 | |
Ventas Realty LP/Ventas Capital Corp. | |
1.55% | | | 09/26/16 | | | | 1,000,000 | | | | 1,009,741 | |
2.70% | | | 04/01/20 | | | | 1,025,000 | | | | 1,009,684 | |
WEA Finance LLC/Westfield UK & Europe | |
Finance PLC | |
1.75% | | | 09/15/17 | 2 | | | 2,000,000 | | | | 2,003,857 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 16,683,522 | |
| | | | | | | | | | | | |
|
Transportation — 0.81% | |
American Airlines Pass-Through Trust, | |
Series 2013-2, Class A | |
4.95% | | | 01/15/23 | | | | 991,167 | | | | 1,064,265 | |
Continental Airlines Pass-Through Trust, | |
Series 1997, Class 4A | |
6.90% | | | 01/02/18 | | | | 46,976 | | | | 50,088 | |
Continental Airlines Pass-Through Trust, | |
Series 1999, Class C2 | |
7.26% | | | 03/15/20 | | | | 293,536 | | | | 332,429 | |
Continental Airlines Pass-Through Trust, | |
Series 1999-1, Class A | |
6.54% | | | 08/02/20 | | | | 617,158 | | | | 687,745 | |
Continental Airlines Pass-Through Trust, | |
Series 2007, Class 1A | |
5.98% | | | 04/19/22 | | | | 314,346 | | | | 351,674 | |
JetBlue Airways Pass-Through Trust, | |
Series 2004, Class G1 | |
0.61% | | | 08/15/16 | 3 | | | 8,064 | | | | 7,930 | |
JetBlue Airways Pass-Through Trust, | |
Series 2004, Class G2 | |
0.68% | | | 11/15/16 | 3 | | | 1,161,000 | | | | 1,142,424 | |
Northwest Airlines Pass-Through Trust, | |
Series 2001-1, Class A-1 | |
7.04% | | | 04/01/22 | | | | 164,562 | | | | 194,183 | |
UAL Pass-Through Trust, Series 2009-2A | |
9.75% | | | 01/15/17 | | | | 215,853 | | | | 244,454 | |
US Airways Pass-Through Trust, | |
Series 2012, Class 2A | |
4.62% | | | 06/03/25 | | | | 477,955 | | | | 501,554 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Transportation (continued) | |
US Airways Pass-Through Trust, | |
Series 2012-1, Class A | |
5.90% | | | 10/01/24 | | | $ | 741,679 | | | $ | 827,436 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 5,404,182 | |
| | | | | | | | | | | | |
Total Corporates | | | | | |
(Cost $97,117,640) | | | | 100,961,053 | |
| | | | | | | | | | | | |
|
MORTGAGE-BACKED — 31.22%** | |
Commercial Mortgage-Backed — 3.65% | |
Bayview Commercial Asset Trust, | |
Series 2008-4, Class A2 | |
2.66% | | | 07/25/38 | 2,3 | | | 78,237 | | | | 85,155 | |
Bear Stearns Commercial Mortgage | |
Securities Trust, Series 2005-T20, | |
Class A4A | |
5.29% | | | 10/12/42 | 3 | | | 1,140,000 | | | | 1,174,116 | |
Bear Stearns Commercial Mortgage | |
Securities Trust, Series 2006-T22, | |
Class A4 | |
5.76% | | | 04/12/38 | 3 | | | 1,052,283 | | | | 1,105,891 | |
COMM Mortgage Trust, Series 2010-C1, | |
Class A1 | |
3.16% | | | 07/10/46 | 2 | | | 3,321,052 | | | | 3,373,538 | |
Credit Suisse First Boston Commercial | |
Mortgage Trust, Series 2006-C1, Class AAB | |
5.64% | | | 02/15/39 | 3 | | | 281,388 | | | | 283,531 | |
DBRR Trust, Series 2011-LC2, Class A4A | |
4.54% | | | 04/12/21 | 2,3 | | | 516,997 | | | | 565,952 | |
GE Business Loan Trust, Series 2003-2A, | |
Class A | | | | | | | | | | | | |
0.52% | | | 11/15/31 | 2,3 | | | 501,731 | | | | 481,912 | |
GE Capital Commercial Mortgage Corp., | |
Series 2005-C4, Class A4 | |
5.49% | | | 11/10/45 | 3 | | | 1,315,000 | | | | 1,351,191 | |
JPMorgan Chase Commercial Mortgage | |
Securities Corp., Series 2005-CB13, | |
Class A3A1 | |
5.42% | | | 01/12/43 | 3 | | | 1,178,214 | | | | 1,179,013 | |
JPMorgan Chase Commercial Mortgage | |
Securities Corp., Series 2007-LD12, | |
Class ASB | |
5.83% | | | 02/15/51 | 3 | | | 904,967 | | | | 953,749 | |
LB-UBS Commercial Mortgage Trust, | |
Series 2005-C1, Class A4 | |
4.74% | | | 02/15/30 | | | | 537,235 | | | | 538,393 | |
Morgan Stanley Capital I Trust, | |
Series 2001-C3, Class A2 | |
3.22% | | | 08/15/49 | | | | 265,317 | | | | 274,325 | |
Morgan Stanley Capital I Trust, | |
Series 2011-C1, Class A1 | |
2.60% | | | 09/15/47 | 2 | | | 3,055,751 | | | | 3,092,384 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2014 / 44
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Commercial Mortgage-Backed (continued) | |
Morgan Stanley Capital I Trust, | |
Series 2012-C4, Class A4 | |
3.24% | | | 03/15/45 | | | $ | 1,445,000 | | | $ | 1,461,455 | |
Wachovia Bank Commercial Mortgage Trust, | |
Series 2005-C17, Class A4 | |
5.08% | | | 03/15/42 | 3 | | | 2,212,337 | | | | 2,229,900 | |
Wachovia Bank Commercial Mortgage Trust, | |
Series 2005-C20, Class A7 | |
5.12% | | | 07/15/42 | 3 | | | 850,508 | | | | 866,936 | |
WF-RBS Commercial Mortgage Trust, | |
Series 2011-C4, Class A1 | |
1.61% | | | 06/15/44 | 2 | | | 1,011,294 | | | | 1,015,143 | |
WF-RBS Commercial Mortgage Trust, | |
Series 2011-C5, Class A4 | |
3.67% | | | 11/15/44 | | | | 1,405,000 | | | | 1,471,310 | |
WF-RBS Commercial Mortgage Trust, | |
Series 2012-C8, Class A1 | |
0.86% | | | 08/15/45 | | | | 2,849,706 | | | | 2,842,772 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 24,346,666 | |
| | | | | | | | | | | | |
|
Non-Agency Mortgage-Backed — 12.48% | |
Accredited Mortgage Loan Trust, | |
Series 2005-3, Class A1 | |
0.40% | | | 09/25/35 | 3 | | | 1,273,346 | | | | 1,264,069 | |
Ameriquest Mortgage Securities, Inc., | |
Series 2005-R5, Class M1 | |
0.58% | | | 07/25/35 | 3 | | | 6,351,065 | | | | 6,358,223 | |
Ameriquest Mortgage Securities, Inc., | |
Series 2005-R6, Class A2 | |
0.36% | | | 08/25/35 | 3 | | | 113,376 | | | | 113,217 | |
Asset-Backed Securities Corp. Home Equity | |
Loan Trust, Series 2004-HE9, Class M1 | |
1.13% | | | 12/25/34 | 3 | | | 854,924 | | | | 766,838 | |
Asset-Backed Securities Corp. Home Equity | |
Loan Trust, Series 2005-HE4, Class M2 | |
0.83% | | | 05/25/35 | 3 | | | 473,770 | | | | 474,908 | |
Banc of America Funding Corp., | |
Series 2003-2, Class 1A1 | |
6.50% | | | 06/25/32 | | | | 4,119 | | | | 4,369 | |
Banc of America Funding Corp., | |
Series 2006-G, Class 2A3 | |
0.32% | | | 07/20/36 | 3 | | | 162,095 | | | | 162,198 | |
Bear Stearns Asset-Backed Securities Trust, | |
Series 2002-1, Class 1A5 (STEP) | |
6.89% | | | 12/25/34 | | | | 3,905 | | | | 4,043 | |
Bear Stearns Asset-Backed Securities Trust, | |
Series 2005-HE12, Class 1A3 | |
0.54% | | | 12/25/35 | 3 | | | 800,000 | | | | 794,428 | |
Bear Stearns Asset-Backed Securities Trust, | |
Series 2005-HE9, Class M1 | |
0.66% | | | 10/25/35 | 3 | | | 881,532 | | | | 875,249 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
CC Mortgage Funding Corp., Series 2004-1A, | |
Class A1 | |
0.44% | | | 01/25/35 | 2,3 | | $ | 228,156 | | | $ | 207,386 | |
CC Mortgage Funding Corp., Series 2005-2A, | |
Class A1 | |
0.34% | | | 05/25/36 | 2,3 | | | 196,470 | | | | 176,396 | |
Centex Home Equity Loan Trust, | |
Series 2005-D, Class M1 | |
0.58% | | | 10/25/35 | 3 | | | 1,710,000 | | | | 1,679,858 | |
Chase Funding Mortgage Loan Asset-Backed | |
Certificates, Series 2004-2, Class 1A4 | |
5.32% | | | 02/25/35 | | | | 6,973 | | | | 7,085 | |
Citigroup Mortgage Loan Trust, Inc., | |
Series 2004-HYB1, Class A41 | |
2.86% | | | 02/25/34 | 3 | | | 19,849 | | | | 19,544 | |
Citigroup Mortgage Loan Trust, Inc., | |
Series 2007-WFH2, Class A3 | |
0.34% | | | 03/25/37 | 3 | | | 1,404,885 | | | | 1,381,917 | |
Conseco Finance Securitizations Corp., | |
Series 2000-E, Class M1 | |
8.13% | | | 08/15/31 | 3 | | | 11,303 | | | | 11,355 | |
Conseco Finance Securitizations Corp., | |
Series 2001-4, Class A4 | |
7.36% | | | 09/01/33 | | | | 431,942 | | | | 481,215 | |
Conseco Finance, Series 2002-A, | |
Class A5 (STEP) | |
7.55% | | | 04/15/32 | | | | 58,371 | | | | 59,562 | |
Conseco Finance, Series 2002-C, | |
Class BF2 | |
8.00% | | | 06/15/32 | 2,3 | | | 248,472 | | | | 273,692 | |
Conseco Financial Corp., Series 1996-7, | |
Class M1 | |
7.70% | | | 10/15/27 | 3 | | | 760,307 | | | | 818,338 | |
Conseco Financial Corp., Series 1997-3, | |
Class A7 | |
7.64% | | | 03/15/28 | 3 | | | 234,647 | | | | 252,266 | |
Conseco Financial Corp., Series 1998-6, | |
Class A8 | |
6.66% | | | 06/01/30 | | | | 804,541 | | | | 863,344 | |
Countryplace Manufactured Housing Contract | |
Trust, Series 2007-1, Class A4 | |
5.85% | | | 07/15/37 | 2,3 | | | 700,000 | | | | 705,018 | |
Countrywide Alternative Loan Trust, | |
Series 2005-27, Class 3A2 | |
1.22% | | | 08/25/35 | 3 | | | 22,022 | | | | 15,206 | |
Countrywide Asset-Backed Certificates, | |
Series 2005-1, Class MV2 | |
0.60% | | | 07/25/35 | 3 | | | 225,364 | | | | 225,824 | |
Countrywide Home Loan Mortgage | |
Pass-Through Trust, Series 2004-14, | |
Class 4A1 | |
2.34% | | | 08/25/34 | 3 | | | 187,413 | | | | 188,387 | |
See accompanying notes to Schedule of Portfolio Investments.
45 / Semi-Annual Report September 2014
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
Credit Suisse First Boston Commercial | |
Mortgage Trust, Series 2014-4R, Class 16A1 | |
0.36% | | | 02/27/36 | 2,3 | | $ | 2,479,528 | | | $ | 2,438,524 | |
Credit-Based Asset Servicing and | |
Securitization LLC, Series 2003-CB3, | |
Class AF1 (STEP) | |
3.38% | | | 12/25/32 | | | | 1,535,387 | | | | 1,501,024 | |
Credit-Based Asset Servicing and | |
Securitization LLC, Series 2006-CB2, | |
Class AF4 (STEP) | |
3.77% | | | 12/25/36 | | | | 1,002,727 | | | | 756,509 | |
Credit-Based Asset Servicing and | |
Securitization LLC, Series 2006-CB6, | |
Class A23 | |
0.30% | | | 07/25/36 | 3 | | | 1,099,110 | | | | 960,195 | |
Credit-Based Asset Servicing and | |
Securitization LLC, Series 2007-CB5, | |
Class A1 (STEP) | |
0.22% | | | 04/25/37 | 3 | | | 218,224 | | | | 149,579 | |
Credit-Based Asset Servicing and | |
Securitization LLC, Series 2007-CB5, | |
Class A3 | |
0.40% | | | 04/25/37 | 3 | | | 2,593,064 | | | | 1,833,032 | |
DBRR Trust, Series 2013-EZ2, Class A | |
0.85% | | | 02/25/43 | 2,3 | | | 421,008 | | | | 420,613 | |
Equifirst Mortgage Loan Trust, Series 2005-1, | |
Class M1 | |
0.58% | | | 04/25/35 | 3 | | | 789,239 | | | | 790,044 | |
First Franklin Mortgage Loan Asset-Backed | |
Certificates, Series 2005-FF4, Class M1 | |
0.58% | | | 05/25/35 | 3 | | | 2,563,844 | | | | 2,553,797 | |
First Horizon Alternative Mortgage Securities | |
Trust, Series 2004-AA3, Class A1 | |
2.20% | | | 09/25/34 | 3 | | | 664,835 | | | | 656,271 | |
Green Tree Financial Corp., Series 1998-4, | |
Class A5 | |
6.18% | | | 04/01/30 | | | | 411,072 | | | | 425,011 | |
Green Tree, Series 2008-MH1, Class A2 | |
8.97% | | | 04/25/38 | 2,3 | | | 444,330 | | | | 478,230 | |
Green Tree, Series 2008-MH1, Class A3 | |
8.97% | | | 04/25/38 | 2,3 | | | 644,685 | | | | 688,957 | |
Greenpoint Manufactured Housing, | |
Series 1999-5, Class A5 | |
7.82% | | | 12/15/29 | 3 | | | 329,389 | | | | 336,519 | |
GSAA Home Equity Trust, Series 2005-9, | |
Class 1A1 | |
0.44% | | | 08/25/35 | 3 | | | 2,066,025 | | | | 2,022,845 | |
Home Equity Loan Trust, Series 2006-2, | |
Class A1 | |
0.30% | | | 03/20/36 | 3 | | | 917,552 | | | | 912,482 | |
Home Equity Loan Trust, Series 2007-3, | |
Class APT | |
1.35% | | | 11/20/36 | 3 | | | 1,272,841 | | | | 1,275,184 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
IndyMac Index Mortgage Loan Trust, | |
Series 2004-AR6, Class 6A1 | |
2.70% | | | 10/25/34 | 3 | | $ | 90,034 | | | $ | 91,856 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2004-AR8, Class 2A2A | |
0.96% | | | 11/25/34 | 3 | | | 38,296 | | | | 35,133 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2007-AR11, Class 1A1 | |
2.35% | | | 06/25/37 | 3 | | | 1,509,425 | | | | 1,005,601 | |
IndyMac Manufactured Housing Contract, | |
Series 1997-1, Class A3 | |
6.61% | | | 02/25/28 | | | | 308,005 | | | | 316,140 | |
IndyMac Manufactured Housing Contract, | |
Series 1997-1, Class A4 | |
6.75% | | | 02/25/28 | | | | 81,993 | | | | 85,259 | |
IndyMac Manufactured Housing Contract, | |
Series 1998-1, Class A4 | |
6.49% | | | 09/25/28 | | | | 206,433 | | | | 211,003 | |
JPMorgan Mortgage Trust, Series 2007-A3, | |
Class 3A2 | |
4.94% | | | 05/25/37 | 3 | | | 552,549 | | | | 522,011 | |
LB-UBS Commercial Mortgage Trust, | |
Series 2005-C5, Class A4 | |
4.95% | | | 09/15/30 | | | | 1,426,926 | | | | 1,451,859 | |
Lehman ABS Manufactured Housing Contract | |
Trust, Series 2001-B, Class A4 | |
5.27% | | | 04/15/40 | | | | 258,948 | | | | 279,353 | |
Lehman ABS Manufactured Housing Contract | |
Trust, Series 2001-B, Class A5 | |
5.87% | | | 04/15/40 | | | | 148,790 | | | | 159,134 | |
Lehman ABS Manufactured Housing Contract | |
Trust, Series 2001-B, Class A6 | |
6.47% | | | 04/15/40 | 3 | | | 468,906 | | | | 517,021 | |
MASTR Adjustable Rate Mortgages Trust, | |
Series 2003-6, Class 4A2 | |
2.67% | | | 01/25/34 | 3 | | | 289,587 | | | | 285,571 | |
MASTR Adjustable Rate Mortgages Trust, | |
Series 2004-1, Class 2A1 | |
2.75% | | | 01/25/34 | 3 | | | 709 | | | | 691 | |
MASTR Asset Securitization Trust, | |
Series 2002-8, Class 1A1 | |
5.50% | | | 12/25/17 | | | | 1,396 | | | | 1,433 | |
MASTR Asset-Backed Securities Trust, | |
Series 2006-AB1, Class A2 | |
0.38% | | | 02/25/36 | 3 | | | 1,247,192 | | | | 1,221,552 | |
MASTR Asset-Backed Securities Trust, | |
Series 2006-HE1, Class A3 | |
0.34% | | | 01/25/36 | 3 | | | 1,107,676 | | | | 1,095,951 | |
MASTR Seasoned Securities Trust, | |
Series 2004-1, Class 4A1 | |
2.53% | | | 10/25/32 | 3 | | | 2,133 | | | | 2,139 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2014 / 46
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
MASTR Seasoned Securities Trust, | |
Series 2005-1, Class 4A1 | |
2.44% | | | 10/25/32 | 3 | | $ | 22,112 | | | $ | 22,443 | |
Merrill Lynch First Franklin Mortgage Loan | |
Trust, Series 2007-3, Class A2C | |
0.34% | | | 06/25/37 | 3 | | | 769,201 | | | | 517,209 | |
Merrill Lynch First Franklin Mortgage Loan | |
Trust, Series 2007-3, Class A2D | |
0.40% | | | 06/25/37 | 3 | | | 1,421,462 | | | | 981,274 | |
Mid-State Trust, Series 11, Class A1 | |
4.86% | | | 07/15/38 | | | | 1,066,257 | | | | 1,144,278 | |
Mid-State Trust, Series 2004-1, Class A | |
6.00% | | | 08/15/37 | | | | 566,755 | | | | 597,476 | |
Mid-State Trust, Series 2004-1, Class B | |
8.90% | | | 08/15/37 | | | | 777,899 | | | | 934,935 | |
Mid-State Trust, Series 2004-1, Class M1 | |
6.50% | | | 08/15/37 | | | | 555,642 | | | | 606,352 | |
Mid-State Trust, Series 2005-1, Class M2 | |
7.08% | | | 01/15/40 | | | | 841,833 | | | | 938,852 | |
Morgan Stanley Capital I Trust, | |
Series 2004-NC7, Class M2 | |
1.08% | | | 07/25/34 | 3 | | | 1,858,097 | | | | 1,834,784 | |
Morgan Stanley Capital I Trust, | |
Series 2005-HE3, Class M3 | |
0.95% | | | 07/25/35 | 3 | | | 1,903,000 | | | | 1,842,883 | |
Morgan Stanley Home Equity Loan Trust, | |
Series 2005-3, Class M1 | |
0.60% | | | 08/25/35 | 3 | | | 1,610,420 | | | | 1,611,444 | |
New Century Home Equity Loan Trust, | |
Series 2005-3, Class M1 | |
0.64% | | | 07/25/35 | 3 | | | 3,482,706 | | | | 3,471,168 | |
Origen Manufactured Housing, | |
Series 2004-A, Class M2 | |
6.64% | | | 01/15/35 | 3 | | | 414,690 | | | | 455,208 | |
Park Place Securities, Inc., | |
Series 2004-WCW1, Class M2 | |
1.18% | | | 09/25/34 | 3 | | | 577,860 | | | | 573,945 | |
Park Place Securities, Inc., | |
Series 2004-WWF1, Class M2 | |
1.18% | | | 12/25/34 | 3 | | | 894,838 | | | | 888,958 | |
Park Place Securities, Inc., | |
Series 2005-WCW2, Class A2D | |
0.52% | | | 07/25/35 | 3 | | | 2,801,546 | | | | 2,794,531 | |
RBSSP Resecuritization Trust, Series 2009-6, | |
Class 11A4 | |
0.58% | | | 08/26/36 | 2,3 | | | 2,274,507 | | | | 2,174,762 | |
Residential Asset Mortgage Products, Inc., | |
Series 2002-RS4, Class AI5 (STEP) | |
6.16% | | | 08/25/32 | | | | 2,220 | | | | 2,013 | |
Residential Asset Mortgage Products, Inc., | |
Series 2003-RS1, Class AI5 (STEP) | |
6.19% | | | 03/25/33 | | | | 15,836 | | | | 15,947 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
Residential Asset Mortgage Products, Inc., | |
Series 2003-SL1, Class A41 | |
8.00% | | | 04/25/31 | | | $ | 37,144 | | | $ | 41,028 | |
Residential Asset Securities Corp., | |
Series 2004-IP2, Class 2A1 | |
2.49% | | | 12/25/34 | 3 | | | 59,459 | | | | 60,748 | |
Residential Funding Mortgage Securities II, | |
Inc., Series 2001-HI3, Class AI7 (STEP) | |
7.56% | | | 07/25/26 | | | | 202,946 | | | | 206,632 | |
Residential Funding Mortgage Securities II, | |
Inc., Series 2003-HS2, Class AI4 (STEP) | |
4.37% | | | 07/25/33 | | | | 5,919 | | | | 5,909 | |
SG Mortgage Securities Trust, | |
Series 2006-FRE1, Class A1B | |
0.42% | | | 02/25/36 | 3 | | | 52,892 | | | | 38,277 | |
Soundview Home Equity Loan Trust, | |
Series 2006-WF2, Class A2C | |
0.30% | | | 12/25/36 | 3 | | | 716,046 | | | | 705,744 | |
Soundview Home Loan Trust, | |
Series 2005-OPT4, Class 2A3 | |
0.68% | | | 12/25/35 | 3 | | | 2,754,162 | | | | 2,713,581 | |
Structured Adjustable Rate Mortgage Loan | |
Trust, Series 2004-15, Class A | |
2.48% | | | 10/25/34 | 3 | | | 2,247,988 | | | | 2,176,939 | |
Structured Asset Mortgage Investments II | |
Trust, Series 2005-AR1, Class A1 | |
0.63% | | | 04/19/35 | 3 | | | 2,191,103 | | | | 2,047,465 | |
Structured Asset Mortgage Investments, Inc., | |
Series 2005-AR8, Class A2 | |
1.61% | | | 02/25/36 | 3 | | | 1,083,555 | | | | 950,758 | |
Structured Asset Mortgage Investments, Inc., | |
Series 2006-AR3, Class 22A1 | |
1.95% | | | 05/25/36 | 3 | | | 3,546,954 | | | | 2,348,183 | |
Structured Asset Securities Corp., | |
Series 2005-WF2, Class A3 | |
0.76% | | | 05/25/35 | 3 | | | 2,416,948 | | | | 2,419,147 | |
UCFC Home Equity Loan, Series 1998-D, | |
Class BF1 | |
8.96% | | | 04/15/30 | 3 | | | 3,657 | | | | 535 | |
UCFC Home Equity Loan, Series 1998-D, | |
Class MF1 | |
6.90% | | | 04/15/30 | | | | 81,974 | | | | 84,690 | |
WaMu Alternative Mortgage Pass-Through | |
Certificates, Series 2007-OA2, Class 2A | |
0.82% | | | 01/25/47 | 3 | | | 1,396,235 | | | | 1,031,179 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2002-AR18, Class A | |
2.50% | | | 01/25/33 | 3 | | | 13,964 | | | | 14,212 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2005-AR13, Class A1A3 | |
0.94% | | | 10/25/45 | 3 | | | 2,371,784 | | | | 2,252,957 | |
See accompanying notes to Schedule of Portfolio Investments.
47 / Semi-Annual Report September 2014
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
Wells Fargo Home Equity Trust, | |
Series 2005-3, Class M1 | |
0.56% | | | 11/25/35 | 3 | | $ | 940,527 | | | $ | 940,750 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 83,111,654 | |
| | | | | | | | | | | | |
|
U.S. Agency Mortgage-Backed — 15.09% | |
Fannie Mae Pool (TBA) | |
2.50% | | | 10/25/27 | | | | 1,570,000 | | | | 1,579,322 | |
3.00% | | | 10/25/26 | | | | 1,150,000 | | | | 1,184,500 | |
3.00% | | | 10/25/42 | | | | 12,250,000 | | | | 12,076,777 | |
3.50% | | | 10/25/42 | | | | 5,790,000 | | | | 5,918,466 | |
4.00% | | | 10/25/41 | | | | 9,070,000 | | | | 9,559,638 | |
Fannie Mae Pool 253974 | |
7.00% | | | 08/01/31 | | | | 8,080 | | | | 9,326 | |
Fannie Mae Pool 254232 | |
6.50% | | | 03/01/22 | | | | 13,127 | | | | 14,868 | |
Fannie Mae Pool 527247 | |
7.00% | | | 09/01/26 | | | | 53 | | | | 59 | |
Fannie Mae Pool 545191 | |
7.00% | | | 09/01/31 | | | | 4,452 | | | | 5,073 | |
Fannie Mae Pool 545646 | |
7.00% | | | 09/01/26 | | | | 52 | | | | 58 | |
Fannie Mae Pool 549740 | |
6.50% | | | 10/01/27 | | | | 16,420 | | | | 18,598 | |
Fannie Mae Pool 555284 | |
7.50% | | | 10/01/17 | | | | 218 | | | | 231 | |
Fannie Mae Pool 606108 | |
7.00% | | | 03/01/31 | | | | 911 | | | | 949 | |
Fannie Mae Pool 630599 | |
7.00% | | | 05/01/32 | | | | 10,308 | | | | 12,272 | |
Fannie Mae Pool 655928 | |
7.00% | | | 08/01/32 | | | | 5,939 | | | | 7,085 | |
Fannie Mae Pool 735207 | |
7.00% | | | 04/01/34 | | | | 3,234 | | | | 3,783 | |
Fannie Mae Pool 735646 | |
4.50% | | | 07/01/20 | | | | 5,672 | | | | 6,009 | |
Fannie Mae Pool 735686 | |
6.50% | | | 12/01/22 | | | | 54,287 | | | | 61,476 | |
Fannie Mae Pool 735861 | |
6.50% | | | 09/01/33 | | | | 164,489 | | | | 191,599 | |
Fannie Mae Pool 764388 | |
1.78% | | | 03/01/34 | 3 | | | 42,857 | | | | 45,731 | |
Fannie Mae Pool 776708 | |
5.00% | | | 05/01/34 | | | | 276,161 | | | | 308,571 | |
Fannie Mae Pool 817611 | |
5.37% | | | 11/01/35 | 3 | | | 27,172 | | | | 29,191 | |
Fannie Mae Pool 844773 | |
5.27% | | | 12/01/35 | 3 | | | 3,618 | | | | 3,913 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
Fannie Mae Pool 889125 | |
5.00% | | | 12/01/21 | | | $ | 286,026 | | | $ | 304,955 | |
Fannie Mae Pool 889184 | |
5.50% | | | 09/01/36 | | | | 302,981 | | | | 339,968 | |
Fannie Mae Pool 890221 | |
5.50% | | | 12/01/33 | | | | 451,443 | | | | 504,174 | |
Fannie Mae Pool 918445 | |
6.02% | | | 05/01/37 | 3 | | | 9,823 | | | | 10,589 | |
Fannie Mae Pool 939419 | |
1.78% | | | 05/01/37 | 3 | | | 122,887 | | | | 131,593 | |
Fannie Mae Pool AB3685 | |
4.00% | | | 10/01/41 | | | | 2,187,392 | | | | 2,316,514 | |
Fannie Mae Pool AE0605 | |
4.67% | | | 07/01/20 | | | | 1,230,849 | | | | 1,362,343 | |
Fannie Mae Pool AJ0764 | |
4.50% | | | 09/01/41 | | | | 814,628 | | | | 880,403 | |
Fannie Mae Pool AJ7696 | |
4.50% | | | 12/01/41 | | | | 3,075,713 | | | | 3,320,208 | |
Fannie Mae Pool AL0209 | |
4.50% | | | 05/01/41 | | | | 812,555 | | | | 890,660 | |
Fannie Mae Pool AL2602 | |
2.65% | | | 10/01/22 | | | | 1,454,865 | | | | 1,449,774 | |
Fannie Mae Pool AL3306 | |
2.46% | | | 04/01/23 | | | | 2,421,693 | | | | 2,387,131 | |
Fannie Mae Pool AL3366 | |
2.44% | | | 02/01/23 | | | | 2,443,380 | | | | 2,397,272 | |
Fannie Mae Pool AL3400 | |
2.54% | | | 03/01/23 | | | | 2,425,867 | | | | 2,390,436 | |
Fannie Mae Pool FN0005 | |
3.38% | | | 11/01/20 | | | | 1,394,169 | | | | 1,467,313 | |
Fannie Mae Pool FN0007 | |
3.46% | | | 11/01/20 | | | | 1,390,000 | | | | 1,469,726 | |
Fannie Mae Pool MA1561 | |
3.00% | | | 09/01/33 | | | | 3,266,315 | | | | 3,317,729 | |
Fannie Mae Pool MA1582 | |
3.50% | | | 09/01/43 | | | | 2,348,189 | | | | 2,395,978 | |
Fannie Mae Whole Loan, Series 2003-W6, | |
Class 5T (IO) | |
0.55% | | | 09/25/42 | 3 | | | 22,191,630 | | | | 339,274 | |
Fannie Mae, Pool MA1608 | |
3.50% | | | 10/01/33 | | | | 3,518,991 | | | | 3,654,390 | |
Fannie Mae, Series 1989-25, Class G | |
6.00% | | | 06/25/19 | | | | 1,896 | | | | 2,027 | |
Fannie Mae, Series 1992-116, Class B | |
6.50% | | | 06/25/22 | | | | 162 | | | | 171 | |
Fannie Mae, Series 1993-80, Class S | |
10.69% | | | 05/25/23 | 3 | | | 10,210 | | | | 11,458 | |
Fannie Mae, Series 2001-52, Class YZ | |
6.50% | | | 10/25/31 | | | | 213,067 | | | | 241,313 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2014 / 48
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
Fannie Mae, Series 2007-64, Class FA | |
0.62% | | | 07/25/37 | 3 | | $ | 258,336 | | | $ | 261,078 | |
Fannie Mae, Series 2008-50, Class SA (IO) | |
5.90% | | | 11/25/36 | 3 | | | 3,239,382 | | | | 504,755 | |
Fannie Mae, Series 2009-M1, Class A2 | |
4.29% | | | 07/25/19 | | | | 101,000 | | | | 109,825 | |
Fannie Mae, Series 2012-M12, Class 1A | |
2.94% | | | 08/25/22 | 3 | | | 2,034,284 | | | | 2,064,792 | |
Fannie Mae, Series 2012-M15, Class A | |
2.74% | | | 10/25/22 | 3 | | | 1,604,804 | | | | 1,612,763 | |
Federal Home Loan Bank (STEP) | |
0.75% | | | 05/26/28 | | | | 1,610,000 | | | | 1,607,010 | |
Freddie Mac Gold Pool A25162 | |
5.50% | | | 05/01/34 | | | | 381,622 | | | | 427,566 | |
Freddie Mac Gold Pool A33262 | |
5.50% | | | 02/01/35 | | | | 87,675 | | | | 99,587 | |
Freddie Mac Gold Pool A68781 | |
5.50% | | | 10/01/37 | | | | 18,885 | | | | 21,155 | |
Freddie Mac Gold Pool C03813 | |
3.50% | | | 04/01/42 | | | | 1,815,638 | | | | 1,859,185 | |
Freddie Mac Gold Pool C90504 | |
6.50% | | | 12/01/21 | | | | 1,497 | | | | 1,693 | |
Freddie Mac Gold Pool E01279 | |
5.50% | | | 01/01/18 | | | | 1,482 | | | | 1,572 | |
Freddie Mac Gold Pool E90474 | |
6.00% | | | 07/01/17 | | | | 2,493 | | | | 2,592 | |
Freddie Mac Gold Pool G01548 | |
7.50% | | | 07/01/32 | | | | 587,407 | | | | 717,554 | |
Freddie Mac Gold Pool G01644 | |
5.50% | | | 02/01/34 | | | | 245,158 | | | | 275,480 | |
Freddie Mac Gold Pool G02366 | |
6.50% | | | 10/01/36 | | | | 181,733 | | | | 205,632 | |
Freddie Mac Gold Pool G11707 | |
6.00% | | | 03/01/20 | | | | 3,092 | | | | 3,303 | |
Freddie Mac Gold Pool G12393 | |
5.50% | | | 10/01/21 | | | | 246,564 | | | | 266,055 | |
Freddie Mac Gold Pool G12909 | |
6.00% | | | 11/01/22 | | | | 339,259 | | | | 373,022 | |
Freddie Mac Gold Pool G13032 | |
6.00% | | | 09/01/22 | | | | 208,297 | | | | 227,953 | |
Freddie Mac Gold Pool J06246 | |
5.50% | | | 10/01/21 | | | | 101,414 | | | | 109,835 | |
Freddie Mac Gold Pool Q05261 | |
3.50% | | | 12/01/41 | | | | 1,162,367 | | | | 1,196,057 | |
Freddie Mac Multifamily Structured | |
Pass-Through Certificates, Series K004, | |
Class A2 | | | | | | | | | | | | |
4.19% | | | 08/25/19 | | | | 3,385,000 | | | | 3,688,499 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
Freddie Mac Multifamily Structured | |
Pass-Through Certificates, Series K017, | |
Class A2 | |
2.87% | | | 12/25/21 | | | $ | 2,040,000 | | | $ | 2,069,571 | |
Freddie Mac Multifamily Structured | |
Pass-Through Certificates, Series K018, | |
Class A2 | |
2.79% | | | 01/25/22 | | | | 2,235,000 | | | | 2,258,264 | |
Freddie Mac Pool Q20178 | |
3.50% | | | 07/01/43 | | | | 1,586,769 | | | | 1,629,957 | |
Freddie Mac REMICS, Series 3460, | |
Class SA (IO) | |
6.05% | | | 06/15/38 | 3 | | | 3,307,058 | | | | 449,505 | |
Freddie Mac REMICS, Series 4030, | |
Class HS (IO) | |
6.46% | | | 04/15/42 | 3 | | | 3,120,455 | | | | 537,699 | |
Freddie Mac, Series 1602, Class SN | |
10.09% | | | 10/15/23 | 3 | | | 14,590 | | | | 19,105 | |
Freddie Mac, Series 2174, Class PN | |
6.00% | | | 07/15/29 | | | | 83,527 | | | | 90,862 | |
Freddie Mac, Series K020, Class A2 | |
2.37% | | | 05/25/40 | | | | 1,555,000 | | | | 1,520,526 | |
Freddie Mac, Series KF02, Class A3 | |
0.78% | | | 07/25/20 | | | | 3,214,993 | | | | 3,226,547 | |
Ginnie Mae I Pool 782810 | |
4.50% | | | 11/15/39 | | | | 1,812,772 | | | | 1,997,660 | |
Ginnie Mae II Pool (TBA) | |
3.00% | | | 10/20/42 | | | | 835,000 | | | | 840,545 | |
4.00% | | | 10/20/44 | | | | 1,905,000 | | | | 2,020,044 | |
Ginnie Mae II Pool 80968 | |
1.62% | | | 07/20/34 | 3 | | | 48,384 | | | | 50,135 | |
Ginnie Mae, Series 2004-8, Class SE | |
13.99% | | | 11/26/23 | 3 | | | 73,194 | | | | 94,231 | |
Ginnie Mae, Series 2011-152, Class A | |
1.62% | | | 07/16/33 | | | | 2,069,051 | | | | 2,070,738 | |
NCUA Guaranteed Notes, Series 2010-R2, | |
Class 1A | |
0.53% | | | 11/06/17 | 3 | | | 959,969 | | | | 962,444 | |
NCUA Guaranteed Notes, Series 2010-R2, | |
Class 2A | |
0.63% | | | 11/05/20 | 3 | | | 810,442 | | | | 814,858 | |
NCUA Guaranteed Notes, Series 2011-C1, | |
Class 2A | |
0.69% | | | 03/09/21 | 3 | | | 735,287 | | | | 737,280 | |
NCUA Guaranteed Notes, Series 2011-R2, | |
Class 1A | |
0.56% | | | 02/06/20 | 3 | | | 867,402 | | | | 870,926 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 100,520,754 | |
| | | | | | | | | | | | |
Total Mortgage-Backed | | | | | |
(Cost $200,904,710) | | | | 207,979,074 | |
| | | | | | | | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
49 / Semi-Annual Report September 2014
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MUNICIPAL BONDS — 1.19%* | |
California — 0.34% | |
State of California, Taxable, Various Purpose, | |
Series 3 | |
5.95% | | | 04/01/16 | | | $ | 225,000 | | | $ | 242,672 | |
University of California, Floating Rate Notes, | |
Series Y, Class 1 | |
0.66% | | | 07/01/41 | 3 | | | 2,000,000 | | | | 2,007,920 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 2,250,592 | |
| | | | | | | | | | | | |
|
Illinois — 0.42% | |
State of Illinois, Build America Bonds | |
6.20% | | | 07/01/21 | | | | 600,000 | | | | 667,992 | |
State of Illinois, Taxable Bonds | |
4.95% | | | 06/01/23 | | | | 1,275,000 | | | | 1,322,736 | |
State of Illinois, Taxable Pension Bonds | |
4.35% | | | 06/01/18 | | | | 800,000 | | | | 836,448 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 2,827,176 | |
| | | | | | | | | | | | |
|
New York — 0.28% | |
City of New York, Build America Bonds | |
5.05% | | | 10/01/24 | | | | 1,000,000 | | | | 1,126,570 | |
New York State Urban Development Corp., | |
Series F | |
3.20% | | | 03/15/22 | | | | 700,000 | | | | 714,441 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 1,841,011 | |
| | | | | | | | | | | | |
|
Texas — 0.15% | |
City of Houston Texas, Taxable Pension | |
Obligation, Series A | |
6.29% | | | 03/01/32 | | | | 790,000 | | | | 981,125 | |
| | | | | | | | | | | | |
| |
Total Municipal Bonds | | | | | |
(Cost $7,819,359) | | | | 7,899,904 | |
| | | | | | | | | | | | |
|
U.S. AGENCY SECURITIES — 1.40% | |
U.S. Agency Securities — 1.40% | |
Federal Farm Credit Bank | |
0.17% | | | 09/14/16 | 3 | | | 2,460,000 | | | | 2,460,597 | |
0.20% | | | 04/17/17 | 3 | | | 2,505,000 | | | | 2,509,008 | |
0.21% | | | 02/27/17 | 3 | | | 2,415,000 | | | | 2,419,260 | |
Federal Home Loan Bank | |
0.22% | | | 10/07/15 | 3 | | | 1,955,000 | | | | 1,956,847 | |
| | | | | | | | | | | | |
| |
Total U.S. Agency Securities | | | | | |
(Cost $9,334,523) | | | | 9,345,712 | |
| | | | | | | | | | | | |
|
U.S. TREASURY SECURITIES — 34.62% | |
U.S. Treasury Bonds — 0.24% | |
U.S. Treasury Bonds (Strip Principal) | |
0.00% | | | 11/15/27 | 6 | | | 2,300,000 | | | | 1,572,649 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
U.S. TREASURY SECURITIES (continued) | |
U.S. Treasury Notes — 34.38% | |
U.S. Treasury Notes | |
0.25% | | | 05/15/15 | | | $ | 8,340,000 | | | $ | 8,350,426 | |
0.25% | | | 08/15/15 | | | | 3,095,000 | | | | 3,099,051 | |
0.50% | | | 07/31/16 | | | | 22,720,000 | | | | 22,725,619 | |
0.50% | | | 08/31/16 | | | | 44,080,000 | | | | 44,037,815 | |
0.88% | | | 09/15/16 | | | | 9,300,000 | | | | 9,351,765 | |
0.88% | | | 05/15/17 | | | | 4,015,000 | | | | 4,010,138 | |
0.88% | | | 07/15/17 | | | | 14,110,000 | | | | 14,062,946 | |
2.12% | | | 01/31/21 | | | | 2,555,000 | | | | 2,555,199 | |
2.38% | | | 08/15/24 | | | | 35,260,000 | | | | 34,859,925 | |
U.S. Treasury Notes - Treasury Inflation | |
Indexed Notes | |
0.12% | | | 04/15/17 | 7 | | | 2,555,000 | | | | 2,717,284 | |
0.12% | | | 07/15/24 | 7 | | | 2,455,000 | | | | 2,365,387 | |
0.50% | | | 04/15/15 | 7 | | | 1,070,000 | | | | 1,177,920 | |
1.62% | | | 01/15/15 | 7 | | | 2,070,000 | | | | 2,586,293 | |
U.S. Treasury Notes (WI) | |
1.62% | | | 07/31/19 | | | | 77,610,000 | | | | 77,124,934 | |
| | | | | | | | | | | | |
| |
Total U.S. Treasury Securities | | | | | |
(Cost $231,071,854) | | | | 230,597,351 | |
| | | | | | | | | | | | |
| |
Total Bonds – 92.97% | | | | | |
(Cost $607,796,678) | | | | 619,249,627 | |
| | | | | | | | | | | | |
| | | | | |
| Issues | | Maturity
Date | | | Principal
Amount/
Shares | | | Value | |
SHORT-TERM INVESTMENTS — 6.06% | |
Commercial Paper — 0.79% | |
Macquarie Bank Ltd. (Australia) | |
0.23%8 | | | 11/24/14 | 2,4 | | | 5,275,000 | | | | 5,273,625 | |
| | | | | | | | | | | | |
|
Money Market Funds — 1.94% | |
Dreyfus Cash Advantage Fund | |
0.01%9 | | | | | | | 6,469,000 | | | | 6,469,000 | |
Morgan Stanley Institutional Fund | |
0.04%9 | | | | | | | 6,469,000 | | | | 6,469,000 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 12,938,000 | |
| | | | | | | | | | | | |
|
U.S. Agency Discount Notes — 3.32% | |
Federal Home Loan Bank | |
0.06%8 | | | 10/22/14 | | | | 10,080,000 | | | | 10,079,647 | |
0.06%8 | | | 11/26/14 | | | | 12,000,000 | | | | 11,999,942 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 22,079,589 | |
| | | | | | | | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2014 / 50
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount/
Shares | | | Value | |
SHORT-TERM INVESTMENTS (continued) | | | | | |
U.S. Treasury Bills — 0.01% | | | | | |
U.S. Treasury Bills | | | | | |
0.01%8 | | | 12/04/14 | 10 | | $ | 7,000 | | | $ | 7,000 | |
0.02%8 | | | 10/16/14 | 10 | | | 34,000 | | | | 34,000 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 41,000 | |
| | | | | | | | | | | | |
| |
Total Short-Term Investments | | | | | |
(Cost $40,330,707) | | | | 40,332,214 | |
| | | | | | | | | | | | |
| |
Total Investments – 99.03% | | | | | |
(Cost $648,127,385)1 | | | | 659,581,841 | |
| | | | | | | | | | | | |
| |
Cash and Other Assets, Less | | | | | |
Liabilities – 0.97% | | | | 6,486,512 | |
| | | | | | | | | | | | |
| |
Net Assets – 100.00% | | | $ | 666,068,353 | |
| | | | | | | | | | | | |
| | | | | | | | | | |
| Contracts | | | | Unrealized
Appreciation/
(Depreciation) | |
FUTURES CONTRACTS: LONG POSITIONS | |
65 | | Euro Dollar Ninety Day, | | | | | | | | |
| | Expiration March 2015 | | | | | | $ | 6,397 | |
30 | | Euro Dollar Ninety Day, | | | | | | | | |
| | Expiration December 2016 | | | | | | | (3,452 | ) |
| | | | | | | | | | |
| | Net unrealized appreciation | | | | | | $ | 2,945 | |
| | | | | | | | | | |
| | | | | | | | | | |
| Contracts | | | | Unrealized
Appreciation | |
FUTURES CONTRACTS: SHORT POSITIONS | |
65 | | Euro Dollar Ninety Day, | | | | | | | | |
| | Expiration March 2016 | | | | | | $ | 23,271 | |
30 | | Euro Dollar Ninety Day, | | | | | | | | |
| | Expiration December 2017 | | | | | | | 682 | |
| | | | | | | | | | |
| | Net unrealized appreciation | | | | | | $ | 23,953 | |
| | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Expiration Date | | Premiums
Paid/
(Received) | | Notional
Amount
(000’s) | | Appreciation | | Value |
SWAPS: INTEREST RATE | |
The Fund pays a fixed rate equal to 2.42% semi-annually and the Fund receives from the counterparty a floating rate based on 3-month USD LIBOR quarterly. Counterparty: Barclays, Inc. | |
| | | | |
11/15/27 | | | $ | — | | | | | $ 725 | | | | | $20,321 | | | | $ | 20,321 | |
|
The Fund pays a fixed rate equal to 2.48% semi-annually and the Fund receives from the counterparty a floating rate based on 3-month USD LIBOR quarterly. Counterparty: Barclays, Inc. | |
11/15/27 | | | | — | | | | | 720 | | | | | 13,270 | | | | | 13,270 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
| | | $ | — | | | | $ | 1,445 | | | | $ | 33,591 | | | | $ | 33,591 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Expiration Date | | Premiums
(Received) | | Notional
Amount
(000’s) | | Appreciation | | Value |
SWAPTION: RATE FLOOR INFLATION | |
| The Fund received a fixed payment equal to $13,685 and the Fund will pay to the counterparty a floating rate based on the Consumer Price Indexes-Urban at expiration of the swaption 11/23/20. Counterparty: Citigroup, Inc. | |
11/23/20 | | | $ | (13,685 | ) | | | $ | 1,190 | | | | $ | 13,007 | | | | $ | (678 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
| | | $ | (13,685 | ) | | | $ | 1,190 | | | | $ | 13,007 | | | | $ | (678 | ) |
| | | | | | | | | | | | | | | | | | | | |
Notes:
| 1 | Cost for federal income tax purposes is $648,132,555 and net unrealized appreciation/(depreciation) consists of: |
| | | | |
Gross unrealized appreciation | | $ | 12,794,286 | |
Gross unrealized (depreciation) | | | (1,345,000 | ) |
| | | | |
Net unrealized appreciation | | $ | 11,449,286 | |
| | | | |
| 2 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| 3 | Floating rate security. The rate disclosed was in effect at September 30, 2014. |
| 4 | U.S. dollar-denominated security issued by foreign-domiciled entity. |
| 5 | Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer. 8.73% cash or 9.23% payment-in-kind interest. |
| 6 | Zero coupon bond. The rate shown is the effective yield as of September 30, 2014. |
| 7 | Inflation protected security. Principal amount reflects original security face amount. |
| 8 | Represents annualized yield at date of purchase. |
| 9 | Represents the current yield as of September 30, 2014. |
| 10 | Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $41,000. |
| † | Fair valued security. The aggregate value of fair valued securities is $1,184,631, which is 0.18% of total net assets, which have not been valued utilizing an independent quote and were valued pursuant to guidelines established by the Board of Trustees. This figure represents securities that are priced using a benchmark pricing system and securities that have been deemed permanently stale, see Notes to Financial Statements. |
| * | Securities with a call or reset feature will have an effective maturity date sooner than the stated maturity. |
| ** | Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date sooner than the stated maturity date. |
Note: For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for more meaningful presentation for investors.
(AGM): Assurance Guaranty Municipal Corp. (formerly known as FSA
(Financial Security Assurance, Inc.))
(BKNT): Banker’s Note, Inc.
(IO): Interest only
(LIBOR): London InterBank Offer Rate
(PIK): Payment in kind
(MTN): Medium-term note
(STEP): Step coupon bond
(TBA): To be announced
(USD): U.S. dollar
(WI): When issued
(YCD): Yankee Certificate of Deposit
See accompanying notes to Schedule of Portfolio Investments.
51 / Semi-Annual Report September 2014
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
BONDS – 100.06% | |
ASSET-BACKED SECURITIES — 9.10%** | |
321 Henderson Receivables I LLC, | |
Series 2014-2A, Class A | |
3.61% | | 01/17/732 | | $ | 62,355,000 | | | $ | 62,407,462 | |
Academic Loan Funding Trust, | |
Series 2012-1A, Class A2 | |
1.26% | | 12/27/442,3 | | | 14,950,000 | | | | 15,009,262 | |
Access Group, Inc., Series 2001, Class 2A1 | |
0.60% | | 05/25/293 | | | 3,046,014 | | | | 2,901,592 | |
Access Group, Inc., Series 2004-1, Class A2 | |
0.44% | | 09/26/333 | | | 77,500 | | | | 76,339 | |
Aircastle Aircraft Lease Backed Trust, | |
Series 2007-1A, Class G1 | |
0.47% | | 06/14/372,3 | | | 3,581,863 | | | | 3,485,600 | |
Ally Auto Receivables Trust, Series 2012-1, | |
Class A3 | |
0.93% | | 02/16/16 | | | 139,079 | | | | 139,183 | |
American Money Management Corp., | |
Series 2013-12A, Class D1 (Cayman Islands) | |
3.98% | | 05/10/252,3,4 | | | 1,650,000 | | | | 1,596,337 | |
American Money Management Corp., | |
Series 2014-14A, Class A1L | |
1.80% | | 07/27/262,3 | | | 24,765,000 | | | | 24,761,154 | |
Amur Finance IA LLC/Jet Midwest, | |
Series 2014-1, Class A | |
11.00% | | 12/17/172,† | | | 11,191,729 | | | | 11,191,675 | |
ARES CLO Ltd., Series 2012-3A, Class E | |
(Cayman Islands) | |
5.98% | | 01/17/242,3,4 | | | 500,000 | | | | 480,322 | |
ARES CLO Ltd., Series 2013-1A, Class E | |
(Cayman Islands) | |
5.23% | | 04/15/252,3,4 | | | 475,000 | | | | 435,825 | |
ARES XXVI CLO Ltd., Series 2013-1A, | |
Class A (Cayman Islands) | |
1.33% | | 04/15/252,3,4 | | | 15,000,000 | | | | 14,771,430 | |
Avery Point CLO Ltd., Series 2014-1A, | |
Class A | |
1.75% | | 04/25/262,3 | | | 8,000,000 | | | | 7,997,192 | |
Axis Equipment Finance Receivables LLC, | |
Series 2012-1I, Class E1 | |
6.25% | | 04/20/16 | | | 2,604,451 | | | | 2,614,545 | |
Axis Equipment Finance Receivables LLC, | |
Series 2012-1I, Class E2 | |
7.00% | | 03/20/17 | | | 5,240,000 | | | | 5,265,958 | |
Babcock & Brown Air Funding I Ltd., | |
Series 2007-1A, Class G1 (Bermuda) | |
0.46% | | 11/14/332,3,4 | | | 907,608 | | | | 771,467 | |
Babson CLO Ltd., Series 2013-IA, Class A | |
(Cayman Islands) | |
1.33% | | 04/20/252,3,4 | | | 19,800,000 | | | | 19,530,661 | |
Babson CLO Ltd., Series 2013-IA, Class C | |
(Cayman Islands) | |
2.93% | | 04/20/252,3,4 | | | 300,000 | | | | 292,756 | |
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
| ASSET-BACKED SECURITIES (continued) | |
Babson CLO Ltd., Series 2014-IA, Class D | |
(Cayman Islands) | |
5.13% | | 07/12/252,3,4 | | $ | 700,000 | | | $ | 641,005 | |
Bayview Commercial Asset Trust, | |
Series 2004-3, Class A1 | |
0.52% | | 01/25/352,3 | | | 3,849,362 | | | | 3,579,953 | |
Bayview Commercial Asset Trust, | |
Series 2005-1A, Class A1 | |
0.46% | | 04/25/352,3 | | | 8,873,861 | | | | 8,206,041 | |
Bayview Commercial Asset Trust, | |
Series 2005-2A, Class A1 | |
0.46% | | 08/25/352,3 | | | 24,740,562 | | | | 22,598,746 | |
Bayview Commercial Asset Trust, | |
Series 2006-4A, Class A1 | |
0.38% | | 12/25/362,3 | | | 217,249 | | | | 197,997 | |
Bayview Commercial Asset Trust, | |
Series 2007-1, Class A1 | |
0.38% | | 03/25/372,3 | | | 9,252,878 | | | | 8,399,806 | |
Bayview Commercial Asset Trust, | |
Series 2007-2A, Class A1 | |
0.42% | | 07/25/372,3 | | | 15,180,543 | | | | 13,375,962 | |
Bayview Commercial Asset Trust, | |
Series 2007-3, Class A1 | |
0.40% | | 07/25/372,3 | | | 2,290,041 | | | | 2,048,939 | |
Beacon Container Finance LLC, | |
Series 2012-1A, Class A | |
3.72% | | 09/20/272 | | | 13,798,995 | | | | 14,007,065 | |
BlueMountain CLO Ltd., Series 2012-2A, | |
Class A1 (Cayman Islands) | |
1.65% | | 11/20/242,3,4 | | | 50,000,000 | | | | 49,958,700 | |
BlueMountain CLO Ltd., Series 2012-2A, | |
Class C (Cayman Islands) | |
2.98% | | 11/20/242,3,4 | | | 125,000 | | | | 121,403 | |
BlueMountain CLO Ltd., Series 2014-1A, | |
Class A (Cayman Islands) | |
1.74% | | 04/30/262,3,4 | | | 9,250,000 | | | | 9,240,815 | |
Brazos Higher Education Authority, Inc., | |
Series 2003 I, Class A3 | |
0.38% | | 09/26/223 | | | 45,202 | | | | 44,998 | |
Brazos Higher Education Authority, Inc., | |
Series 2005-1, Class 1A4 | |
0.42% | | 03/26/293 | | | 10,000,000 | | | | 9,766,700 | |
Brazos Higher Education Authority, Inc., | |
Series 2010-1, Class A2 | |
1.44% | | 02/25/353 | | | 13,355,000 | | | | 13,769,395 | |
Brazos Higher Education Authority, Inc., | |
Series 2011-1, Class A2 | |
1.04% | | 02/25/303 | | | 50,750 | | | | 51,282 | |
Brazos Higher Education Authority, Inc., | |
Series 2011-1, Class A3 | |
1.29% | | 11/25/333 | | | 16,050,000 | | | | 16,318,934 | |
Brazos Higher Education Authority, Inc., | |
Series 2011-2, Class A2 | |
1.08% | | 07/25/293 | | | 3,669,664 | | | | 3,701,898 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2014 / 52
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | |
Brazos Higher Education Authority, Inc., | |
Series 2011-2, Class A3 | |
1.23% | | 10/27/363 | | $ | 24,411,000 | | | $ | 24,803,302 | |
Brazos Higher Education Authority, Inc., | |
Series 2012-1, Class A1 | |
0.86% | | 12/26/353 | | | 48,817 | | | | 48,730 | |
CAL Funding II Ltd., Series 2012-1A, | |
Class A (Bermuda) | |
3.47% | | 10/25/272,4 | | | 202,083 | | | | 202,451 | |
Cent CLO LP, Series 2013-17A, Class D | |
(Cayman Islands) | |
6.24% | | 01/30/252,3,4 | | | 805,000 | | | | 787,137 | |
Cent CLO LP, Series 2104-21A, Class A1B | |
(Cayman Islands) | |
1.62% | | 07/27/262,3,4 | | | 49,675,000 | | | | 49,435,914 | |
CIFC Funding Ltd., Series 2012-2A, | |
Class A1L (Cayman Islands) | |
1.63% | | 12/05/242,3,4 | | | 58,350,000 | | | | 58,225,306 | |
CIFC Funding Ltd., Series 2014-2A, | |
Class A3L (Cayman Islands) | |
3.10% | | 05/26/262,3,4 | | | 1,800,000 | | | | 1,750,241 | |
CIT Education Loan Trust, Series 2007-1, | |
Class A | |
0.32% | | 03/25/422,3 | | | 35,942,917 | | | | 34,388,005 | |
CIT Education Loan Trust, Series 2007-1, | |
Class B | |
0.53% | | 06/25/422,3 | | | 25,221,284 | | | | 22,942,197 | |
College Loan Corp. Trust, Series 2005-2, | |
Class B | |
0.72% | | 01/15/373 | | | 5,524,229 | | | | 4,989,807 | |
Columbus Nova CLO Ltd., Series 2007-2A, | |
Class D | |
4.73% | | 10/15/212,3 | | | 375,000 | | | | 386,291 | |
Cronos Containers Program Ltd., | |
Series 2012-2A, Class A (Bermuda) | |
3.81% | | 09/18/272,4 | | | 2,620,000 | | | | 2,622,665 | |
Dryden Senior Loan Fund, | |
Series 2012-23RA, Class DR | |
(Cayman Islands) | |
6.23% | | 07/17/232,3,4 | | | 350,000 | | | | 342,558 | |
Dryden Senior Loan Fund, | |
Series 2014-33A, Class B (Cayman Islands) | |
2.22% | | 07/15/262,3,4 | | | 4,000,000 | | | | 3,936,324 | |
Dryden XXV Senior Loan Fund, | |
Series 2012-25A, Class A (Cayman Islands) | |
1.61% | | 01/15/252,3,4 | | | 24,100,000 | | | | 24,014,614 | |
Eaton Vance CLO Ltd., Series 2014-1A, | |
Class A (Cayman Islands) | |
1.68% | | 07/15/262,3,4 | | | 48,773,000 | | | | 48,767,879 | |
Education Loan Asset-Backed Trust, Series | |
2013-1A, Class A2 | |
0.96% | | 04/26/322,3 | | | 12,750,000 | | | | 12,764,353 | |
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | |
Educational Funding of the South, Inc., | |
Series 2011-1, Class A2 | |
0.88% | | 04/25/353 | | $ | 125,000 | | | $ | 125,427 | |
Educational Funding of the South, Inc., | |
Series 2012-1, Class A | |
1.20% | | 03/25/363 | | | 35,161,037 | | | | 35,727,646 | |
EFS Volunteer No. 2 LLC | |
1.50% | | 03/25/362,3 | | | 685,000 | | | | 706,470 | |
Flatiron CLO Ltd. | |
1.62% | | 07/17/262,3 | | | 26,693,000 | | | | 26,587,563 | |
Ford Credit Auto Owner Trust, | |
Series 2012-C, Class A4 | |
0.79% | | 11/15/17 | | | 155,000 | | | | 155,339 | |
GCO Education Loan Funding Trust, | |
Series 2006-1, Class A11L | |
0.46% | | 05/25/363 | | | 25,000,000 | | | | 23,193,925 | |
GE Business Loan Trust, Series 2004-1, | |
Class A | |
0.44% | | 05/15/322,3 | | | 11,325,269 | | | | 11,137,298 | |
GE Business Loan Trust, Series 2004-2A, | |
Class A | |
0.37% | | 12/15/322,3 | | | 7,445,138 | | | | 7,263,439 | |
GE Business Loan Trust, Series 2005-1A, | |
Class A3 | |
0.40% | | 06/15/332,3 | | | 9,848,745 | | | | 9,565,101 | |
GE Business Loan Trust, Series 2005-2A, | |
Class A | |
0.39% | | 11/15/332,3 | | | 24,190,005 | | | | 23,491,676 | |
Global SC Finance SRL, Series 2014-1A, | |
Class A2 (Barbados) | |
3.09% | | 07/17/242,4 | | | 87,560,917 | | | | 86,643,882 | |
Goal Capital Funding Trust, Series 2005-2, | |
Class B | |
0.76% | | 11/25/443 | | | 15,583,052 | | | | 14,351,866 | |
Goal Capital Funding Trust, Series 2006-1, | |
Class A3 | |
0.36% | | 11/25/263 | | | 33,216 | | | | 32,939 | |
Goal Capital Funding Trust, Series 2006-1, | |
Class B | |
0.68% | | 08/25/423 | | | 4,469,514 | | | | 4,123,710 | |
GoldenTree Loan Opportunities V Ltd., | |
Series 2007-5A, Class C (Cayman Islands) | |
2.23% | | 10/18/212,3,4 | | | 650,000 | | | | 655,524 | |
GoldenTree Loan Opportunities VII Ltd., | |
Series 2013-7A, Class A (Cayman Islands) | |
1.38% | | 04/25/252,3,4 | | | 25,000,000 | | | | 24,711,650 | |
GoldenTree Loan Opportunities VIII Ltd., | |
Series 2014-8A, Class E (Cayman Islands) | |
4.74% | | 04/19/262,3,4 | | | 730,000 | | | | 659,126 | |
Honda Auto Receivables Owner Trust, | |
Series 2012-1, Class A4 | |
0.97% | | 04/16/18 | | | 32,000 | | | | 32,108 | |
See accompanying notes to Schedule of Portfolio Investments.
53 / Semi-Annual Report September 2014
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | |
ING Investment Management CLO Ltd., | |
Series 2013-3A, Class D (Cayman Islands) | |
4.73% | | 01/18/262,3,4 | | $ | 395,000 | | | $ | 350,810 | |
J.G. Wentworth XXX LLC, Series 2013-3A, | |
Class A | |
4.08% | | 01/17/732 | | | 1,050,851 | | | | 1,092,550 | |
LCM LP, Series 14A, Class D | |
(Cayman Islands) | |
3.73% | | 07/15/252,3,4 | | | 750,000 | | | | 717,400 | |
LCM LP, Series 16A, Class E | |
(Cayman Islands) | |
4.86% | | 07/15/262,3,4 | | | 700,000 | | | | 622,533 | |
Limerock CLO, Series 2014-2A, Class E | |
(Cayman Islands) | |
4.73% | | 04/18/262,3,4 | | | 705,000 | | | | 617,727 | |
National Collegiate Master Student Loan | |
Trust I, Series 2002-2, Class AR10 | |
3.66% | | 11/01/422,3 | | | 15,775,000 | | | | 15,773,375 | |
National Collegiate Student Loan Trust, | |
Series 2006-1, Class A3 | |
0.34% | | 05/25/263 | | | 6,920,872 | | | | 6,873,865 | |
National Collegiate Student Loan Trust, | |
Series 2006-3, Class A3 | |
0.30% | | 10/25/273 | | | 29,368,418 | | | | 29,002,208 | |
National Collegiate Student Loan Trust, | |
Series 2006-4, Class A2 | |
0.30% | | 12/27/273 | | | 2,501,684 | | | | 2,478,861 | |
National Collegiate Student Loan Trust, | |
Series 2007-4, Class A2A3 | |
3.65% | | 12/26/253 | | | 2,700,000 | | | | 2,696,547 | |
Navient Student Loan Trust, Series 2014-2, | |
Class A | |
0.80% | | 03/25/433 | | | 113,380,000 | | | | 113,592,446 | |
Navient Student Loan Trust, Series 2014-3, | |
Class A | |
0.78% | | 03/25/433 | | | 116,540,000 | | | | 116,754,049 | |
Navient Student Loan Trust, Series 2014-4, | |
Class A | |
0.83% | | 03/25/433 | | | 184,880,000 | | | | 185,218,931 | |
Navient Student Loan Trust, Series 2014-5, | |
Class A | |
0.83% | | 03/25/433 | | | 152,325,000 | | | | 152,603,930 | |
Navient Student Loan Trust, Series 2014-6, | |
Class A | |
0.77% | | 03/25/433 | | | 152,500,000 | | | | 152,808,767 | |
Navient Student Loan Trust, Series 2014-7, | |
Class A | |
0.77% | | 03/25/433 | | | 152,500,000 | | | | 152,809,895 | |
Nelnet Education Loan Funding, Inc., | |
Series 2004-1A, Class B1 | |
0.60% | | 02/25/362,3 | | | 10,125,000 | | | | 7,881,442 | |
Nelnet Student Loan Trust, Series 2006-1, | |
Class A6 | |
0.68% | | 08/23/362,3 | | | 12,500,000 | | | | 12,246,937 | |
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | |
Nelnet Student Loan Trust, Series 2008-3, | |
Class A4 | |
1.88% | | 11/25/243 | | $ | 2,520,000 | | | $ | 2,644,925 | |
Nelnet Student Loan Trust, Series 2014-5A, | |
Class A | |
0.70% | | 07/25/412,3 | | | 145,512,751 | | | | 145,748,540 | |
Nissan Auto Receivables Owner Trust, | |
Series 2012-B, Class A4 | |
0.66% | | 12/17/18 | | | 85,000 | | | | 85,007 | |
North Carolina State Education Authority, | |
Series 2011-1, Class A3 | |
1.14% | | 10/25/413 | | | 24,545,000 | | | | 24,940,911 | |
Northstar Education Finance, Inc. | |
0.98% | | 01/29/463 | | | 42,825,000 | | | | 42,729,475 | |
Northwoods Capital Corp., Series 2014-11A, | |
Class A (Cayman Islands) | |
1.83% | | 04/15/252,3,4 | | | 10,000,000 | | | | 10,005,381 | |
Oak Hill Credit Partners, Series 2012-7A, | |
Class A (Cayman Islands) | |
1.65% | | 11/20/232,3,4 | | | 11,950,000 | | | | 11,928,502 | |
Octagon Investment Partners XI Ltd., | |
Series 2007-1X, Class A1B | |
0.50% | | 08/25/212,5 | | | 10,000,000 | | | | 9,860,769 | |
Octagon Investment Partners XIX Ltd., | |
Series 2014-1A, Class A (Cayman Islands) | |
1.75% | | 04/15/262,3,4 | | | 10,000,000 | | | | 10,006,589 | |
Panhandle-Plains Higher Education | |
Authority, Inc., Series 2011-1, Class A3 | |
1.18% | | 10/01/373 | | | 16,950,000 | | | | 17,041,324 | |
Panthera Aviation, Series 2013-1 | |
10.00% | | 01/25/222,3,5,† | | | 19,225,000 | | | | 19,224,922 | |
Panthera Aviation, Series 2013-2 | |
10.00% | | 03/20/242,3,5,† | | | 34,417,817 | | | | 34,415,823 | |
Race Point CLO Ltd., Series 2012-7A, | |
Class A (Cayman Islands) | |
1.64% | | 11/08/242,3,4 | | | 59,075,000 | | | | 58,997,671 | |
Red River CLO Ltd., Series 1A, Class A | |
(Cayman Islands) | |
0.51% | | 07/27/182,3,4 | | | 6,869,905 | | | | 6,840,227 | |
Scholar Funding Trust, Series 2012-B, | |
Class A2 | |
1.25% | | 03/28/462,3 | | | 38,825,000 | | | | 39,792,080 | |
SLC Student Loan Trust I, Series 2002-2, | |
Class B2 | |
0.04% | | 07/01/422,3 | | | 25,050,000 | | | | 19,367,984 | |
SLC Student Loan Trust, Series 2005-3, | |
Class B | |
0.48% | | 06/15/403 | | | 586,686 | | | | 534,070 | |
SLC Student Loan Trust, Series 2006-1, | |
Class B | |
0.44% | | 03/15/393 | | | 157,133 | | | | 140,545 | |
SLC Student Loan Trust, Series 2008-1, | |
Class A4A | |
1.83% | | 12/15/323 | | | 17,630,000 | | | | 18,453,172 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2014 / 54
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | |
SLC Student Loan Trust, Series 2008-2, | |
Class B | |
1.98% | | 09/15/223 | | $ | 4,015,000 | | | $ | 4,042,573 | |
SLM Student Loan Trust, Series 2003-11, | |
Class A6 | |
0.98% | | 12/15/252,3 | | | 14,605,000 | | | | 14,610,423 | |
SLM Student Loan Trust, Series 2004-1, | |
Class A4 | |
0.49% | | 10/27/253 | | | 2,810,000 | | | | 2,760,787 | |
SLM Student Loan Trust, Series 2004-5A, | |
Class A5 | |
0.76% | | 10/25/232,3 | | | 11,985,000 | | | | 12,051,412 | |
SLM Student Loan Trust, Series 2004-8, | |
Class B | |
0.69% | | 01/25/403 | | | 2,011,674 | | | | 1,846,759 | |
SLM Student Loan Trust, Series 2004-8A, | |
Class A5 | |
0.73% | | 04/25/242,3 | | | 123,626,102 | | | | 123,992,715 | |
SLM Student Loan Trust, Series 2004-A, | |
Class A3 | |
0.63% | | 06/15/333 | | | 40,400,000 | | | | 39,109,806 | |
SLM Student Loan Trust, Series 2004-B, | |
Class A3 | |
0.56% | | 03/15/243 | | | 24,340,000 | | | | 23,241,962 | |
SLM Student Loan Trust, Series 2005-4, | |
Class B | |
0.41% | | 07/25/403 | | | 14,017,211 | | | | 12,621,595 | |
SLM Student Loan Trust, Series 2005-5, | |
Class A5 | |
0.98% | | 10/25/403 | | | 60,000 | | | | 59,637 | |
SLM Student Loan Trust, Series 2005-8, | |
Class A4 | |
0.98% | | 01/25/283 | | | 5,160,000 | | | | 5,166,824 | |
SLM Student Loan Trust, Series 2005-A, | |
Class A3 | |
0.43% | | 06/15/233 | | | 2,500,000 | | | | 2,428,607 | |
SLM Student Loan Trust, Series 2005-B, | |
Class A3 | |
0.50% | | 12/15/233 | | | 28,785,000 | | | | 28,023,320 | |
SLM Student Loan Trust, Series 2006-2, | |
Class A6 | |
0.40% | | 01/25/413 | | | 42,655,000 | | | | 39,627,476 | |
SLM Student Loan Trust, Series 2006-5, | |
Class A5 | |
0.34% | | 01/25/273 | | | 30,900,000 | | | | 30,561,177 | |
SLM Student Loan Trust, Series 2006-8, | |
Class A6 | |
0.39% | | 01/25/413 | | | 32,855,000 | | | | 29,967,292 | |
SLM Student Loan Trust, Series 2006-9, | |
Class A5 | |
0.33% | | 01/26/263 | | | 8,350,000 | | | | 8,212,892 | |
SLM Student Loan Trust, Series 2007-1, | |
Class A5 | |
0.32% | | 01/26/263 | | | 9,550,000 | | | | 9,356,431 | |
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | |
SLM Student Loan Trust, Series 2007-3, | |
Class A4 | |
0.29% | | 01/25/223 | | $ | 7,585,000 | | | $ | 7,373,634 | |
SLM Student Loan Trust, Series 2007-6, | |
Class B | |
1.08% | | 04/27/433 | | | 7,220,233 | | | | 6,609,242 | |
SLM Student Loan Trust, Series 2008-2, | |
Class B | |
1.43% | | 01/25/293 | | | 38,909,000 | | | | 35,728,497 | |
SLM Student Loan Trust, Series 2008-3, | |
Class A3 | |
1.23% | | 10/25/213 | | | 40,000 | | | | 40,855 | |
SLM Student Loan Trust, Series 2008-3, | |
Class B | |
1.43% | | 04/25/293 | | | 1,750,000 | | | | 1,619,837 | |
SLM Student Loan Trust, Series 2008-4, | |
Class A4 | |
1.88% | | 07/25/223 | | | 287,000 | | | | 302,282 | |
SLM Student Loan Trust, Series 2008-4, | |
Class B | |
2.08% | | 04/25/293 | | | 4,384,000 | | | | 4,422,928 | |
SLM Student Loan Trust, Series 2008-5, | |
Class A4 | |
1.93% | | 07/25/233 | | | 245,000 | | | | 255,933 | |
SLM Student Loan Trust, Series 2008-5, | |
Class B | |
2.08% | | 07/25/293 | | | 32,444,000 | | | | 33,426,855 | |
SLM Student Loan Trust, Series 2008-6, | |
Class B | |
2.08% | | 07/25/293 | | | 31,688,000 | | | | 31,974,342 | |
SLM Student Loan Trust, Series 2008-7, | |
Class B | |
2.08% | | 07/25/293 | | | 17,346,000 | | | | 17,478,766 | |
SLM Student Loan Trust, Series 2008-8, | |
Class A4 | |
1.73% | | 04/25/233 | | | 1,480,000 | | | | 1,545,017 | |
SLM Student Loan Trust, Series 2008-8, | |
Class B | |
2.48% | | 10/25/293 | | | 560,000 | | | | 589,066 | |
SLM Student Loan Trust, Series 2008-9, | |
Class B | |
2.48% | | 10/25/293 | | | 31,600,000 | | | | 33,395,196 | |
SLM Student Loan Trust, Series 2009-3, | |
Class A | |
0.90% | | 01/25/452,3 | | | 58,302,821 | | | | 58,394,415 | |
SLM Student Loan Trust, Series 2010-1, | |
Class A | |
0.56% | | 03/25/253 | | | 7,515,978 | | | | 7,527,975 | |
SLM Student Loan Trust, Series 2012-2, | |
Class A | |
0.86% | | 01/25/293 | | | 32,483,841 | | | | 32,746,272 | |
SLM Student Loan Trust, Series 2013-2, | |
Class A | |
0.60% | | 09/25/263 | | | 4,982,867 | | | | 4,981,987 | |
See accompanying notes to Schedule of Portfolio Investments.
55 / Semi-Annual Report September 2014
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | |
SoFi Professional Loan Program LLC, | |
Series 2014-A, Class A1 | |
1.81% | | 06/25/252,3 | | $ | 14,474,784 | | | $ | 14,633,491 | |
South Carolina Student Loan Corp., Series A2 | |
0.35% | | 12/01/203 | | | 24,807 | | | | 24,682 | |
0.35% | | 12/01/223 | | | 29,000,000 | | | | 28,234,690 | |
Spirit Master Funding LLC, Series 2014-1A, | |
Class A1 | |
5.05% | | 07/20/402 | | | 15,542,315 | | | | 16,586,603 | |
Spirit Master Funding LLC, Series 2014-2A, | |
Class A | |
5.76% | | 03/20/422 | | | 8,145,749 | | | | 9,013,760 | |
Symphony CLO Ltd., Series 2012-9A, | |
Class D (Cayman Islands) | |
4.48% | | 04/16/222,3,4 | | | 1,700,000 | | | | 1,699,977 | |
Symphony CLO XII Ltd., Series 2013-12A, | |
Class D (Cayman Islands) | |
3.73% | | 10/15/252,3,4 | | | 2,000,000 | | | | 1,910,834 | |
TAL Advantage LLC, Series 2006-1, | |
Class NOTE | |
0.35% | | 04/20/212,3 | | | 17,691,376 | | | | 17,538,717 | |
Triton Container Finance LLC, | |
Series 2007-1A, Class NOTE | |
0.29% | | 02/26/192,3 | | | 2,254,531 | | | | 2,249,984 | |
Vermont Student Assistance Corp., Student | |
Loan Asset-Backed Notes, Series 2012-1, | |
Class A | |
0.86% | | 07/28/343 | | | 9,633,009 | | | | 9,628,339 | |
Voya CLO Ltd., Series 2014-2A, Class D | |
(Cayman Islands) | |
4.98% | | 07/17/262,3,4 | | | 700,000 | | | | 625,663 | |
| | | | | | | | | | |
|
Total Asset-Backed Securities | |
(Cost $3,049,108,081) | | | | 3,104,472,579 | |
| | | | | | | | | | |
|
BANK LOANS — 0.24%* | |
Communications — 0.10% | |
Charter Communications Operating LLC, | |
Term Loan G, 1st Lien | |
4.25% | | 09/10/213 | | | 17,650,000 | | | | 17,628,908 | |
Intelsat Jackson Holdings SA, Term Loan B1, | |
1st Lien (Luxembourg) | |
3.75% | | 06/30/193,4 | | | 15,151,012 | | | | 14,937,004 | |
| | | | | | | | | | |
| | | | | | | | | 32,565,912 | |
| | | | | | | | | | |
Energy — 0.01% | |
Drillships Financing Holding, Term Loan B1, | |
1st Lien | |
6.00% | | 03/31/213 | | | 3,119,622 | | | | 2,998,737 | |
| | | | | | | | | | |
Health Care — 0.08% | |
HCA, Inc., Term Loan B4 | |
2.98% | | 05/01/183 | | | 15,778,765 | | | | 15,614,430 | |
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
BANK LOANS (continued) | |
Health Care (continued) | |
Valeant Pharmaceuticals International, Inc., | |
Term Loan (Canada) | |
3.75% | | 08/05/203,4 | | $ | 10,828,274 | | | $ | 10,717,284 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 26,331,714 | |
| | | | | | | | | | |
Services — 0.05% | |
AABS Ltd. Loan, Series 2013-1, Class A | |
(STEP) (Bermuda) | |
4.72% | | 01/15/383,4,† | | | 18,252,604 | | | | 18,890,917 | |
| | | | | | | | | | |
|
Total Bank Loans | |
(Cost $80,674,606) | | | | 80,787,280 | |
| | | | | | | | | | |
|
CORPORATES — 13.56%* | |
Banking — 2.76% | |
Abbey National Treasury Services | |
PLC/London (United Kingdom) | |
3.88% | | 11/10/142,4 | | | 23,210,000 | | | | 23,293,301 | |
Ally Financial, Inc. | |
2.43% | | 12/01/143 | | | 9,009,000 | | | | 9,020,261 | |
Bank of America Corp. | |
5.62% | | 07/01/20 | | | 36,593,000 | | | | 41,371,826 | |
5.75% | | 12/01/17 | | | 1,145,000 | | | | 1,274,974 | |
Bank of America Corp. (MTN) | |
1.70% | | 08/25/17 | | | 2,500,000 | | | | 2,493,050 | |
2.00% | | 01/11/18 | | | 50,000 | | | | 49,822 | |
Bank of America N.A. (BKNT) | |
0.51% | | 06/15/163 | | | 16,945,000 | | | | 16,874,506 | |
0.53% | | 06/15/173 | | | 46,120,000 | | | | 45,834,148 | |
5.30% | | 03/15/17 | | | 30,625,000 | | | | 33,198,756 | |
6.00% | | 06/15/16 | | | 11,345,000 | | | | 12,232,553 | |
6.10% | | 06/15/17 | | | 76,491,000 | | | | 85,285,434 | |
Bank One Corp. (STEP) | |
8.53% | | 03/01/19 | | | 1,810,000 | | | | 2,219,091 | |
Barclays Bank PLC (United Kingdom) | |
5.00% | | 09/22/164 | | | 110,000 | | | | 118,309 | |
Capital One Financial Corp. | |
2.40% | | 09/05/19 | | | 17,050,000 | | | | 16,895,901 | |
Commonwealth Bank of Australia (Australia) | |
1.95% | | 03/16/154 | | | 16,600,000 | | | | 16,720,621 | |
Credit Suisse USA, Inc. | |
5.12% | | 08/15/15 | | | 15,000 | | | | 15,607 | |
Credit Suisse/New York (Switzerland) | |
6.00% | | 02/15/184 | | | 18,692,000 | | | | 20,975,116 | |
Credit Suisse/New York (MTN) (Switzerland) | |
0.54% | | 03/11/163,4 | | | 7,610,000 | | | | 7,609,384 | |
Credit Suisse/New York (YCD) (Switzerland) | |
0.47% | | 04/10/153,4 | | | 56,150,000 | | | | 56,240,460 | |
0.56% | | 08/24/153,4 | | | 105,983,000 | | | | 105,958,624 | |
First Chicago NBD Institutional Capital I | |
0.79% | | 02/01/273 | | | 6,455,000 | | | | 5,720,744 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2014 / 56
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Banking (continued) | |
HBOS PLC (United Kingdom) | |
6.00% | | 11/01/332,4 | | $ | 3,500,000 | | | $ | 3,976,157 | |
HBOS PLC, Series G (MTN) | |
(United Kingdom) | |
6.75% | | 05/21/182,4 | | | 60,740,000 | | | | 68,736,256 | |
HSBC Bank PLC (United Kingdom) | |
3.10% | | 05/24/162,4 | | | 28,270,000 | | | | 29,338,740 | |
HSBC Holdings PLC (United Kingdom) | |
4.25% | | 03/14/244 | | | 10,000,000 | | | | 10,137,620 | |
5.10% | | 04/05/214 | | | 23,495,000 | | | | 26,474,766 | |
JPMorgan Chase & Co. | |
4.25% | | 10/15/20 | | | 9,525,000 | | | | 10,193,010 | |
4.35% | | 08/15/21 | | | 12,615,000 | | | | 13,516,410 | |
4.50% | | 01/24/22 | | | 320,000 | | | | 344,296 | |
4.62% | | 05/10/21 | | | 51,300,000 | | | | 55,705,113 | |
6.30% | | 04/23/19 | | | 170,000 | | | | 197,199 | |
JPMorgan Chase Bank N.A. | |
0.56% | | 06/13/163 | | | 14,944,000 | | | | 14,922,721 | |
JPMorgan Chase Bank N.A. (BKNT) | |
5.88% | | 06/13/16 | | | 5,040,000 | | | | 5,445,236 | |
6.00% | | 07/05/17 | | | 1,678,000 | | | | 1,877,375 | |
6.00% | | 10/01/17 | | | 47,957,000 | | | | 53,655,874 | |
M&T Capital Trust III | |
9.25% | | 02/01/27 | | | 10,200,000 | | | | 10,324,063 | |
Macquarie Bank Ltd. (Australia) | |
6.62% | | 04/07/212,4 | | | 4,728,000 | | | | 5,394,643 | |
National Australia Bank/New York (MTN) | |
(Australia) | |
2.75% | | 03/09/174 | | | 56,825,000 | | | | 58,869,966 | |
National Capital Trust II | |
5.49% | | 12/29/492,3 | | | 2,717,000 | | | | 2,752,593 | |
Royal Bank of Scotland PLC | |
(United Kingdom) | |
2.55% | | 09/18/154 | | | 13,780,000 | | | | 13,988,257 | |
5.12% | | 05/28/244 | | | 3,250,000 | | | | 3,200,779 | |
Wachovia Corp. | |
0.58% | | 10/28/153 | | | 13,165,000 | | | | 13,188,565 | |
Wells Fargo & Co. | |
1.50% | | 01/16/18 | | | 220,000 | | | | 218,898 | |
Wells Fargo & Co. (MTN) | |
3.30% | | 09/09/24 | | | 37,360,000 | | | | 36,703,456 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 942,564,481 | |
| | | | | | | | | | |
Communications — 0.43% | |
Cablevision Systems Corp. | |
8.62% | | 09/15/17 | | | 913,000 | | | | 1,016,854 | |
CCO Holdings LLC/CCO Holdings | |
Capital Corp. (WI) | |
8.12% | | 04/30/20 | | | 15,194,000 | | | | 16,124,633 | |
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Communications (continued) | |
Intelsat Jackson Holdings SA (Luxembourg) | |
7.25% | | 10/15/204 | | $ | 11,205,000 | | | $ | 11,905,313 | |
Sprint Nextel Corp. | |
9.00% | | 11/15/182 | | | 33,545,000 | | | | 38,808,211 | |
Verizon Communications, Inc. | |
5.15% | | 09/15/23 | | | 7,650,000 | | | | 8,474,462 | |
6.55% | | 09/15/43 | | | 11,295,000 | | | | 13,996,822 | |
Verizon Communications, Inc., Series FRN | |
0.63% | | 06/09/173 | | | 56,035,000 | | | | 56,206,075 | |
Windstream Corp. (WI) | |
8.12% | | 09/01/18 | | | 1,520,000 | | | | 1,589,350 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 148,121,720 | |
| | | | | | | | | | |
Consumer Discretionary — 0.02% | |
Anheuser-Busch Inbev Finance, Inc. | |
3.70% | | 02/01/24 | | | 1,250,000 | | | | 1,260,499 | |
Reynolds Group Issuer, Inc./Reynolds Group | |
Issuer LLC (WI) | |
5.75% | | 10/15/20 | | | 6,650,000 | | | | 6,783,000 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 8,043,499 | |
| | | | | | | | | | |
Electric — 1.21% | |
Alabama Power Capital Trust V | |
3.34% | | 10/01/423 | | | 290,000 | | | | 272,380 | |
American Transmission Systems, Inc. | |
5.00% | | 09/01/442 | | | 10,915,000 | | | | 11,045,203 | |
Cleco Power LLC | |
6.65% | | 06/15/18 | | | 17,887,000 | | | | 20,573,234 | |
Coso Geothermal Power Holdings | |
7.00% | | 07/15/262 | | | 6,873,188 | | | | 4,983,061 | |
DPL, Inc. | |
6.50% | | 10/15/16 | | | 14,080,000 | | | | 15,100,800 | |
7.25% | | 10/15/21 | | | 18,881,000 | | | | 19,589,038 | |
Duquesne Light Holdings, Inc. | |
6.25% | | 08/15/35 | | | 42,000 | | | | 50,390 | |
Dynegy Escrow Holdings | |
0.00% | | 01/01/506,7,† | | | 54,205,000 | | | | – | |
Entergy Gulf States Louisiana LLC (WI) | |
6.00% | | 05/01/18 | | | 17,500,000 | | | | 19,901,438 | |
Entergy Texas, Inc. | |
7.12% | | 02/01/19 | | | 35,000 | | | | 41,798 | |
FirstEnergy Corp., Series C | |
7.38% | | 11/15/31 | | | 4,070,000 | | | | 4,823,898 | |
FirstEnergy Transmission LLC | |
4.35% | | 01/15/252 | | | 15,930,000 | | | | 16,108,223 | |
5.45% | | 07/15/442 | | | 10,175,000 | | | | 10,340,089 | |
FPL Energy National Wind Portfolio LLC | |
6.12% | | 03/25/192 | | | 24,909 | | | | 24,567 | |
See accompanying notes to Schedule of Portfolio Investments.
57 / Semi-Annual Report September 2014
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Electric (continued) | |
FPL Energy Wind Funding LLC | |
6.88% | | | 06/27/172 | | | $ | 315,137 | | | $ | 311,592 | |
GenOn Americas Generation LLC | |
8.50% | | | 10/01/21 | | | | 10,932,000 | | | | 10,289,745 | |
9.12% | | | 05/01/31 | | | | 4,184,000 | | | | 3,849,280 | |
Homer City Generation LP (PIK) | |
8.14% | | | 10/01/19 | 8 | | | 17,906,740 | | | | 18,712,543 | |
8.73% | | | 10/01/26 | 9 | | | 45,059,199 | | | | 47,424,807 | |
Ipalco Enterprises, Inc. 7.25% 04/01/162 19,650,000 21,142,998 | |
Jersey Central Power & Light Co. | |
4.70% | | | 04/01/242 | | | | 4,288,000 | | | | 4,560,545 | |
Kansas City Power & Light Co. | |
6.38% | | | 03/01/18 | | | | 4,320,000 | | | | 4,893,670 | |
Metropolitan Edison Co. | |
3.50% | | | 03/15/232 | | | | 11,725,000 | | | | 11,684,814 | |
4.00% | | | 04/15/252 | | | | 9,850,000 | | | | 9,886,519 | |
MidAmerican Energy Co. | |
4.40% | | | 10/15/44 | | | | 3,375,000 | | | | 3,486,164 | |
Mirant Mid Atlantic Pass-Through Trust, | |
Series B | |
9.12% | | | 06/30/17 | | | | 14,373,207 | | | | 15,415,264 | |
Mirant Mid Atlantic Pass-Through Trust, | |
Series C | |
10.06% | | | 12/30/28 | | | | 8,836,850 | | | | 9,808,904 | |
Nevada Power Co. | |
5.45% | | | 05/15/41 | | | | 600,000 | | | | 708,648 | |
Niagara Mohawk Power Corp. | |
3.51% | | | 10/01/242 | | | | 6,000,000 | | | | 6,047,983 | |
Oncor Electric Delivery Co. LLC | |
5.25% | | | 09/30/40 | | | | 9,938,000 | | | | 11,548,055 | |
5.30% | | | 06/01/42 | | | | 24,358,000 | | | | 28,808,523 | |
Pennsylvania Electric Co. | |
4.15% | | | 04/15/252 | | | | 3,390,000 | | | | 3,403,069 | |
PNM Resources, Inc. | |
9.25% | | | 05/15/15 | | | | 15,387,000 | | | | 16,181,246 | |
Public Service Co. of New Hampshire | |
6.00% | | | 05/01/18 | | | | 5,000,000 | | | | 5,647,155 | |
Public Service Co. of New Mexico | |
5.35% | | | 10/01/21 | | | | 5,320,000 | | | | 5,818,997 | |
7.95% | | | 05/15/18 | | | | 41,187,000 | | | | 49,249,644 | |
PVNGS II Funding Corp., Inc. | |
8.00% | | | 12/30/15 | | | | 525,000 | | | | 538,823 | |
Tucson Electric Power | |
3.85% | | | 03/15/23 | | | | 85,000 | | | | 86,767 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 412,359,874 | |
| | | | | | | | | | | | |
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Energy — 1.56% | |
Arch Coal, Inc. | |
7.00% | | 06/15/19 | | $ | 14,345,000 | | | $ | 7,692,506 | |
El Paso Pipeline Partners | |
4.10% | | 11/15/15 | | | 46,175,000 | | | | 47,734,930 | |
5.00% | | 10/01/21 | | | 2,000,000 | | | | 2,161,824 | |
Energy Transfer Partners LP | |
3.26% | | 11/01/663 | | | 75,433,000 | | | | 71,378,476 | |
3.60% | | 02/01/23 | | | 17,750,000 | | | | 17,308,629 | |
Newfield Exploration Co. | |
5.62% | | 07/01/24 | | | 43,414,000 | | | | 46,507,248 | |
Panhandle Eastern Pipeline Co. LP | |
8.12% | | 06/01/19 | | | 2,392,000 | | | | 2,913,476 | |
Petrobras Global Finance BV (Netherlands) | |
1.85% | | 05/20/163,4 | | | 16,970,000 | | | | 16,976,682 | |
Plains Exploration & Production Co. | |
6.12% | | 06/15/19 | | | 4,695,000 | | | | 5,161,566 | |
6.75% | | 02/01/22 | | | 9,608,000 | | | | 10,630,419 | |
6.88% | | 02/15/23 | | | 7,931,000 | | | | 9,021,513 | |
Rockies Express Pipeline LLC | |
6.00% | | 01/15/192 | | | 27,777,000 | | | | 29,304,735 | |
6.85% | | 07/15/182 | | | 28,951,000 | | | | 31,411,835 | |
Ruby Pipeline LLC | |
6.00% | | 04/01/222 | | | 51,505,000 | | | | 56,998,508 | |
Sabine Pass Liquefaction LLC | |
5.62% | | 04/15/232 | | | 20,000,000 | | | | 20,350,000 | |
5.75% | | 05/15/242 | | | 25,000,000 | | | | 25,500,000 | |
Sabine Pass LNG LP | |
7.50% | | 11/30/16 | | | 62,238,000 | | | | 66,516,863 | |
7.50% | | 11/30/162 | | | 19,273,000 | | | | 20,525,745 | |
Tennessee Gas Pipeline Co. LLC | |
7.62% | | 04/01/37 | | | 40,000 | | | | 51,684 | |
8.00% | | 02/01/16 | | | 25,955,000 | | | | 28,303,720 | |
8.38% | | 06/15/32 | | | 5,224,000 | | | | 6,867,025 | |
Trans-Canada Pipelines Ltd. (Canada) | |
6.35% | | 05/15/673,4 | | | 85,000 | | | | 87,975 | |
Weatherford International Ltd. (Switzerland) | |
4.50% | | 04/15/224 | | | 220,000 | | | | 229,400 | |
Williams Cos., Inc. | |
7.88% | | 09/01/21 | | | 5,881,000 | | | | 7,093,868 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 530,728,627 | |
| | | | | | | | | | |
Finance — 3.74% | |
Alta Wind Holdings LLC | |
7.00% | | 06/30/352 | | | 14,173,982 | | | | 16,293,072 | |
Astoria Depositor Corp. | |
8.14% | | 05/01/212 | | | 47,522,000 | | | | 50,967,345 | |
Bear Stearns Cos. LLC | |
4.65% | | 07/02/18 | | | 4,330,000 | | | | 4,709,686 | |
7.25% | | 02/01/18 | | | 6,875,000 | | | | 8,004,281 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2014 / 58
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Finance (continued) | |
Chase Capital II, Series B | |
0.74% | | 02/01/273 | | $ | 23,335,000 | | | $ | 20,593,138 | |
Chase Capital III, Series C | |
0.78% | | 03/01/273 | | | 10,900,000 | | | | 9,673,750 | |
Chase Capital VI | |
0.86% | | 08/01/283 | | | 17,175,000 | | | | 15,006,656 | |
CIT Group, Inc. | |
4.25% | | 08/15/17 | | | 10,708,000 | | | | 10,868,620 | |
6.62% | | 04/01/182 | | | 6,385,000 | | | | 6,871,856 | |
Citigroup Capital III | |
7.62% | | 12/01/36 | | | 7,438,000 | | | | 9,243,418 | |
Citigroup, Inc. | | | | | | | | | | |
0.52% | | 11/05/143 | | | 14,309,000 | | | | 14,311,404 | |
0.72% | | 08/14/173 | | | 5,355,000 | | | | 5,363,375 | |
0.78% | | 08/25/363 | | | 61,134,000 | | | | 49,729,208 | |
1.19% | | 07/25/163 | | | 36,535,000 | | | | 36,941,237 | |
1.30% | | 11/15/16 | | | 5,625,000 | | | | 5,634,653 | |
1.75% | | 05/01/18 | | | 17,650,000 | | | | 17,398,593 | |
2.50% | | 09/26/18 | | | 8,500,000 | | | | 8,562,167 | |
4.50% | | 01/14/22 | | | 265,000 | | | | 284,076 | |
4.59% | | 12/15/15 | | | 8,083,000 | | | | 8,445,983 | |
5.30% | | 01/07/16 | | | 23,609,000 | | | | 24,921,934 | |
5.38% | | 08/09/20 | | | 8,425,000 | | | | 9,546,115 | |
5.50% | | 10/15/14 | | | 72,000 | | | | 72,134 | |
5.85% | | 08/02/16 | | | 155,000 | | | | 167,871 | |
6.00% | | 08/15/17 | | | 28,913,000 | | | | 32,403,464 | |
6.12% | | 11/21/17 | | | 10,055,000 | | | | 11,351,291 | |
Countrywide Capital III, Series B | |
8.05% | | 06/15/27 | | | 3,000,000 | | | | 3,689,796 | |
Discover Bank/Greenwood DE (BKNT) | |
3.20% | | 08/09/21 | | | 2,270,000 | | | | 2,239,266 | |
8.70% | | 11/18/19 | | | 3,676,000 | | | | 4,622,570 | |
Discover Financial Services | |
3.85% | | 11/21/22 | | | 10,899,000 | | | | 10,972,296 | |
5.20% | | 04/27/22 | | | 4,515,000 | | | | 4,951,190 | |
Ford Motor Credit Co. LLC | |
1.70% | | 05/09/16 | | | 9,225,000 | | | | 9,308,480 | |
2.75% | | 05/15/15 | | | 7,425,000 | | | | 7,523,062 | |
3.88% | | 01/15/15 | | | 26,042,000 | | | | 26,294,139 | |
7.00% | | 04/15/15 | | | 31,214,000 | | | | 32,288,704 | |
Ford Motor Credit Co. LLC, Series FRN | |
1.48% | | 05/09/163 | | | 10,525,000 | | | | 10,676,891 | |
General Electric Capital Corp. | |
4.62% | | 01/07/21 | | | 20,325,000 | | | | 22,431,361 | |
5.62% | | 05/01/18 | | | 295,000 | | | | 333,510 | |
General Electric Capital Corp. (MTN) | |
0.62% | | 05/05/263 | | | 57,410,000 | | | | 54,955,223 | |
0.71% | | 08/15/363 | | | 13,220,000 | | | | 11,461,871 | |
4.38% | | 09/16/20 | | | 30,715,000 | | | | 33,550,017 | |
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Finance (continued) | |
5.00% | | 01/08/16 | | $ | 250,000 | | | $ | 263,594 | |
5.38% | | 10/20/16 | | | 3,803,000 | | | | 4,141,130 | |
General Electric Capital Corp., | |
Series A (MTN) | |
6.75% | | 03/15/32 | | | 13,915,000 | | | | 18,397,606 | |
General Electric Capital Corp., | |
Series G (MTN) | |
3.10% | | 01/09/23 | | | 17,035,000 | | | | 16,877,631 | |
6.15% | | 08/07/37 | | | 14,393,000 | | | | 17,832,985 | |
6.88% | | 01/10/39 | | | 1,915,000 | | | | 2,585,529 | |
General Motors Financial Co., Inc. | |
4.38% | | 09/25/21 | | | 10,000,000 | | | | 10,275,000 | |
General Motors Financial Co., Inc., | |
Series 3YR | |
3.00% | | 09/25/17 | | | 52,050,000 | | | | 52,635,563 | |
Goldman Sachs Group, Inc. | |
0.68% | | 03/22/163 | | | 1,325,000 | | | | 1,328,340 | |
2.38% | | 01/22/18 | | | 18,810,000 | | | | 19,021,120 | |
3.62% | | 02/07/16 | | | 11,605,000 | | | | 11,998,435 | |
5.00% | | 10/01/14 | | | 50,000 | | | | 50,000 | |
5.25% | | 07/27/21 | | | 11,445,000 | | | | 12,717,380 | |
5.75% | | 10/01/16 | | | 3,600,000 | | | | 3,910,857 | |
5.95% | | 01/18/18 | | | 7,015,000 | | | | 7,859,185 | |
6.00% | | 06/15/20 | | | 9,510,000 | | | | 10,926,078 | |
6.15% | | 04/01/18 | | | 31,176,000 | | | | 35,169,583 | |
6.75% | | 10/01/37 | | | 500,000 | | | | 598,021 | |
7.50% | | 02/15/19 | | | 7,405,000 | | | | 8,838,290 | |
Goldman Sachs Group, Inc. (MTN) | |
1.84% | | 11/29/233 | | | 21,935,000 | | | | 22,591,929 | |
3.85% | | 07/08/24 | | | 6,450,000 | | | | 6,422,294 | |
Goldman Sachs Group, Inc., Series G (MTN) | |
5.38% | | 03/15/20 | | | 60,000 | | | | 66,850 | |
International Lease Finance Corp. | |
6.75% | | 09/01/162 | | | 41,450,000 | | | | 44,455,125 | |
JPMorgan Chase Capital XIII, Series M | |
1.18% | | 09/30/343 | | | 4,238,000 | | | | 3,681,763 | |
JPMorgan Chase Capital XXI, Series U | |
1.19% | | 02/02/373 | | | 58,900,000 | | | | 50,801,250 | |
JPMorgan Chase Capital XXIII | |
1.23% | | 05/15/473 | | | 72,309,000 | | | | 58,931,835 | |
Merrill Lynch & Co., Inc. (MTN) | |
8.68% | | 05/02/173 | | | 5,800,000 | | | | 6,206,000 | |
8.95% | | 05/18/173 | | | 5,990,000 | | | | 6,447,037 | |
9.57% | | 06/06/173 | | | 12,113,000 | | | | 13,233,453 | |
Morgan Stanley | |
0.71% | | 10/15/153 | | | 5,730,000 | | | | 5,749,281 | |
3.80% | | 04/29/16 | | | 9,140,000 | | | | 9,528,307 | |
4.20% | | 11/20/14 | | | 8,625,000 | | | | 8,630,158 | |
5.50% | | 07/24/20 | | | 32,400,000 | | | | 36,497,434 | |
See accompanying notes to Schedule of Portfolio Investments.
59 / Semi-Annual Report September 2014
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Finance (continued) | |
7.30% | | 05/13/19 | | $ | 205,000 | | | $ | 244,760 | |
Morgan Stanley (MTN) | |
0.68% | | 10/18/163 | | | 20,365,000 | | | | 20,396,965 | |
5.62% | | 09/23/19 | | | 600,000 | | | | 675,397 | |
5.75% | | 10/18/16 | | | 8,550,000 | | | | 9,296,803 | |
5.95% | | 12/28/17 | | | 125,000 | | | | 140,106 | |
6.25% | | 08/28/17 | | | 12,950,000 | | | | 14,582,755 | |
6.62% | | 04/01/18 | | | 8,180,000 | | | | 9,375,343 | |
Morgan Stanley, Series G (MTN) | |
5.45% | | 01/09/17 | | | 100,000 | | | | 108,701 | |
Pipeline Funding Co. LLC | |
7.50% | | 01/15/302 | | | 18,725,000 | | | | 23,543,427 | |
Prudential Holdings LLC | |
8.70% | | 12/18/232 | | | 14,885,486 | | | | 19,167,795 | |
Raymond James Financial, Inc. | |
8.60% | | 08/15/19 | | | 8,453,000 | | | | 10,556,681 | |
Reckson Operating Partnership LP | |
5.00% | | 08/15/18 | | | 18,225,000 | | | | 19,653,196 | |
Woodbourne Capital Trust I | |
2.66% | | 04/29/492,3,6 | | | 900,000 | | | | 504,000 | |
Woodbourne Capital Trust II | |
2.66% | | 04/08/492,3,6 | | | 925,000 | | | | 518,000 | |
Woodbourne Capital Trust III | |
2.66% | | 04/08/492,3,6 | | | 1,525,000 | | | | 854,000 | |
ZFS Finance USA Trust II | |
6.45% | | 12/15/652,3 | | | 23,561,000 | | | | 25,386,978 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 1,276,337,653 | |
| | | | | | | | | | |
Health Care — 0.42% | |
Catholic Health Initiatives | |
2.95% | | 11/01/22 | | | 7,655,000 | | | | 7,491,403 | |
CHS/Community Health Systems, Inc. | |
5.12% | | 08/15/18 | | | 3,725,000 | | | | 3,836,750 | |
7.12% | | 07/15/20 | | | 2,850,000 | | | | 3,028,125 | |
8.00% | | 11/15/19 | | | 13,050,000 | | | | 13,996,125 | |
HCA, Inc. | |
5.88% | | 03/15/22 | | | 4,921,000 | | | | 5,185,504 | |
7.25% | | 09/15/20 | | | 44,605,000 | | | | 46,946,763 | |
North Shore Long Island | |
Jewish Health Care, Inc. | |
4.80% | | 11/01/42 | | | 40,000 | | | | 39,235 | |
6.15% | | 11/01/43 | | | 27,975,000 | | | | 34,365,186 | |
NYU Hospitals Center, Series 13-A | |
5.75% | | 07/01/43 | | | 6,040,000 | | | | 7,053,655 | |
Roche Holdings, Inc. | |
3.35% | | 09/30/242 | | | 6,735,000 | | | | 6,747,608 | |
Tenet Healthcare Corp. | |
4.50% | | 04/01/21 | | | 4,240,000 | | | | 4,155,200 | |
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
| CORPORATES (continued) | |
| Health Care (continued) | |
Valeant Pharmaceuticals International, Inc. | |
(Canada) | |
5.62% | | 12/01/212,4 | | $ | 5,000,000 | | | $ | 5,000,250 | |
7.25% | | 07/15/222,4 | | | 3,000,000 | | | | 3,187,500 | |
VPI Escrow Corp. | |
6.38% | | 10/15/202 | | | 2,000,000 | | | | 2,062,500 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 143,095,804 | |
| | | | | | | | | | |
Industrials — 0.16% | |
General Electric Co. | |
5.25% | | 12/06/17 | | | 17,228,000 | | | | 19,122,098 | |
Sydney Airport Finance Co. Pty Ltd. | |
(Australia) | |
3.90% | | 03/22/232,4 | | | 10,000,000 | | | | 10,156,710 | |
5.12% | | 02/22/212,4 | | | 23,825,000 | | | | 26,552,105 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 55,830,913 | |
| | | | | | | | | | |
Insurance — 0.74% | |
Berkshire Hathaway, Inc. | |
4.50% | | 02/11/43 | | | 16,870,000 | | | | 17,166,563 | |
Farmers Exchange Capital | |
7.05% | | 07/15/282 | | | 10,634,000 | | | | 13,305,633 | |
7.20% | | 07/15/482 | | | 18,265,000 | | | | 23,449,399 | |
Farmers Exchange Capital II | |
6.15% | | 11/01/532,3 | | | 58,200,000 | | | | 66,340,259 | |
MetLife, Inc. | |
5.00% | | 06/15/15 | | | 250,000 | | | | 257,839 | |
Metropolitan Life Global Funding I | |
1.50% | | 01/10/182 | | | 39,800,000 | | | | 39,491,395 | |
1.88% | | 06/22/182 | | | 23,650,000 | | | | 23,570,629 | |
3.88% | | 04/11/222 | | | 18,675,000 | | | | 19,622,980 | |
Nationwide Mutual Insurance Co. | |
5.81% | | 12/15/242,3 | | | 12,949,000 | | | | 13,046,117 | |
Pricoa Global Funding I | |
1.60% | | 05/29/182 | | | 24,825,000 | | | | 24,544,319 | |
Teachers Insurance & Annuity Association of America | |
4.38% | | 09/15/542,3 | | | 9,700,000 | | | | 9,783,469 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 250,578,602 | |
| | | | | | | | | | |
Materials — 0.07% | |
ArcelorMittal (Luxembourg) | |
5.75% | | 08/05/204 | | | 140,000 | | | | 146,650 | |
Barrick Gold Corp. (WI) (Canada) | |
4.10% | | 05/01/234 | | | 1,215,000 | | | | 1,170,404 | |
Barrick North America Finance LLC | |
4.40% | | 05/30/21 | | | 5,000,000 | | | | 5,106,052 | |
5.75% | | 05/01/43 | | | 18,130,000 | | | | 17,951,534 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 24,374,640 | |
| | | | | | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2014 / 60
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Real Estate Investment Trust (REIT) — 1.66% | |
Alexandria Real Estate Equities, Inc. | |
4.60% | | 04/01/22 | | $ | 8,696,000 | | | $ | 9,222,889 | |
Arc Properties Operating Partnership LP/ | |
Clark Acquisition LLC | |
2.00% | | 02/06/172 | | | 87,495,000 | | | | 87,539,347 | |
Avalonbay Communities, Inc., (MTN) | |
3.95% | | 01/15/21 | | | 7,245,000 | | | | 7,664,858 | |
Boston Properties LP | |
3.80% | | 02/01/24 | | | 2,005,000 | | | | 2,018,090 | |
Camden Property Trust | |
4.62% | | 06/15/21 | | | 600,000 | | | | 652,039 | |
ERP Operating LP | |
5.12% | | 03/15/16 | | | 70,000 | | | | 74,347 | |
5.75% | | 06/15/17 | | | 100,000 | | | | 111,291 | |
Essex Portfolio LP | |
5.50% | | 03/15/17 | | | 100,000 | | | | 109,653 | |
First Industrial LP (MTN) | |
7.50% | | 12/01/17 | | | 80,000 | | | | 92,152 | |
HCP, Inc. | | | | | | | | | | |
2.62% | | 02/01/20 | | | 60,170,000 | | | | 59,431,985 | |
3.15% | | 08/01/22 | | | 2,850,000 | | | | 2,777,783 | |
3.75% | | 02/01/19 | | | 7,907,000 | | | | 8,321,621 | |
3.88% | | 08/15/24 | | | 8,790,000 | | | | 8,628,548 | |
4.25% | | 11/15/23 | | | 7,539,000 | | | | 7,732,108 | |
5.38% | | 02/01/21 | | | 20,035,000 | | | | 22,387,343 | |
5.62% | | 05/01/17 | | | 1,508,000 | | | | 1,663,759 | |
6.00% | | 01/30/17 | | | 16,320,000 | | | | 18,035,493 | |
7.07% | | 06/08/15 | | | 125,000 | | | | 130,335 | |
HCP, Inc. (MTN) | |
6.30% | | 09/15/16 | | | 27,844,000 | | | | 30,644,633 | |
Health Care REIT, Inc. | |
3.75% | | 03/15/23 | | | 5,820,000 | | | | 5,756,422 | |
4.12% | | 04/01/19 | | | 17,505,000 | | | | 18,642,296 | |
4.70% | | 09/15/17 | | | 28,088,000 | | | | 30,530,055 | |
4.95% | | 01/15/21 | | | 16,142,000 | | | | 17,715,678 | |
5.25% | | 01/15/22 | | | 28,070,000 | | | | 31,083,176 | |
6.12% | | 04/15/20 | | | 7,275,000 | | | | 8,423,861 | |
6.50% | | 03/15/41 | | | 13,430,000 | | | | 17,018,006 | |
Healthcare Realty Trust, Inc. | |
5.75% | | 01/15/21 | | | 23,645,000 | | | | 26,363,117 | |
6.50% | | 01/17/17 | | | 380,000 | | | | 420,463 | |
Highwoods Realty LP | |
7.50% | | 04/15/18 | | | 6,810,000 | | | | 7,960,481 | |
Nationwide Health Properties, Inc. | |
6.00% | | 05/20/15 | | | 22,580,000 | | | | 23,314,098 | |
Post Apartment Homes LP | |
4.75% | | 10/15/17 | | | 21,885,000 | | | | 23,785,012 | |
Simon Property Group LP | |
6.12% | | 05/30/18 | | | 1,290,000 | | | | 1,481,310 | |
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Real Estate Investment Trust (REIT) (continued) | |
SL Green Realty Corp./SL Green Operating | |
Partnership | |
7.75% | | 03/15/20 | | $ | 38,473,000 | | | $ | 45,838,271 | |
UDR, Inc. (MTN) | |
5.25% | | 01/15/15 | | | 200,000 | | | | 202,713 | |
Ventas Realty LP/Ventas Capital Corp. | |
2.00% | | 02/15/18 | | | 60,000 | | | | 60,061 | |
2.70% | | 04/01/20 | | | 4,315,000 | | | | 4,250,525 | |
4.75% | | 06/01/21 | | | 10,925,000 | | | | 11,858,457 | |
WEA Finance LLC/Westfield UK & Europe | |
Finance PLC | |
1.75% | | 09/15/172 | | | 3,880,000 | | | | 3,887,482 | |
2.70% | | 09/17/192 | | | 21,025,000 | | | | 21,105,067 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 566,934,825 | |
| | | | | | | | | | |
Transportation — 0.79% | |
America West Airlines Pass-Through Trust, | |
Series 2001-1, Class 11G | |
7.10% | | 04/02/21 | | | 1,674,933 | | | | 1,854,988 | |
American Airlines Pass-Through Trust, | |
Series 2011-1, Class A | |
5.25% | | 01/31/21 | | | 3,777,702 | | | | 4,083,696 | |
American Airlines Pass-Through Trust, | |
Series 2013-1, Class A | |
4.00% | | 07/15/25 | | | 22,579,621 | | | | 22,904,203 | |
American Airlines Pass-Through Trust, | |
Series 2013-2, Class A | |
4.95% | | 01/15/23 | | | 81,417,260 | | | | 87,421,782 | |
Autopistas Metropolitanas de Puerto | |
Rico LLC | |
6.75% | | 06/30/352 | | | 3,315,000 | | | | 2,964,406 | |
Continental Airlines Pass-Through Trust, | |
Series 1997, Class 4A | |
6.90% | | 01/02/18 | | | 1,954,216 | | | | 2,083,682 | |
Continental Airlines Pass-Through Trust, | |
Series 1999, Class C2 | |
7.26% | | 03/15/20 | | | 2,556,653 | | | | 2,895,410 | |
Continental Airlines Pass-Through Trust, | |
Series 1999-1, Class A | |
6.54% | | 08/02/20 | | | 1,890,903 | | | | 2,107,175 | |
Continental Airlines Pass-Through Trust, | |
Series 1999-2 AMBC, Class C2 | |
6.24% | | 03/15/20 | | | 93,022 | | | | 99,185 | |
Continental Airlines Pass-Through Trust, | |
Series 2000-2 A1 | |
7.71% | | 10/02/22 | | | 2,097,397 | | | | 2,366,126 | |
Continental Airlines Pass-Through Trust, | |
Series 2007, Class 1A | |
5.98% | | 04/19/22 | | | 2,393,407 | | | | 2,677,624 | |
Continental Airlines Pass-Through Trust, | |
Series 2007, Class 1B | |
6.90% | | 04/19/22 | | | 2,282,487 | | | | 2,456,413 | |
See accompanying notes to Schedule of Portfolio Investments.
61 / Semi-Annual Report September 2014
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | | | |
| | | Maturity | | | Principal | | | | |
| Issues | | Date | | | Amount | | | Value | |
CORPORATES (continued) | |
Transportation (continued) | |
Continental Airlines Pass-Through Trust, | |
Series 2009, Class A2 | |
7.25% | | | 11/10/19 | | | $ | 6,545,630 | | | $ | 7,646,114 | |
Delta Air Lines Pass-Through Trust, | |
Series 2002, Class G1 | |
6.72% | | | 01/02/23 | | | | 42,398,572 | | | | 49,394,337 | |
JetBlue Airways Pass-Through Trust, | |
Series 2004, Class G2 | |
0.68% | | | 11/15/163 | | | | 13,575,000 | | | | 13,357,800 | |
Northwest Airlines Pass-Through Trust, | |
Series 2001-1, Class A-1 | |
7.04% | | | 04/01/22 | | | | 929,773 | | | | 1,097,132 | |
UAL Pass-Through Trust, Series 2009-1 | |
10.40% | | | 11/01/16 | | | | 35,416 | | | | 39,223 | |
UAL Pass-Through Trust, Series 2009-2A | |
9.75% | | | 01/15/17 | | | | 11,575,130 | | | | 13,108,834 | |
US Airways Pass-Through Trust, | |
Series 2010-1, Class A | |
6.25% | | | 04/22/23 | | | | 18,444,664 | | | | 20,842,470 | |
US Airways Pass-Through Trust, | |
Series 2011-1, Class A | |
7.12% | | | 10/22/23 | | | | 4,951,010 | | | | 5,761,738 | |
US Airways Pass-Through Trust, | |
Series 2012-1, Class A | |
5.90% | | | 10/01/24 | | | | 20,906,298 | | | | 23,323,589 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 268,485,927 | |
| | | | | | | | | | | | |
|
Total Corporates | |
(Cost $4,377,084,182) | | | | 4,627,456,565 | |
| | | | | | | | | | | | |
|
FOREIGN GOVERNMENT OBLIGATIONS — 0.23% | |
Foreign Government Obligations — 0.23% | |
Kommunalbanken AS (Norway) | |
1.12% | | | 05/23/182,4 | | | | 81,650,000 | | | | 80,520,603 | |
| | | | | | | | | | | | |
|
Total Foreign Government Obligations | |
(Cost $81,498,861) | | | | | |
|
MORTGAGE-BACKED — 43.09%** | |
Commercial Mortgage-Backed — 4.16% | |
Banc of America Merrill Lynch Commercial | |
Mortgage, Inc., Series 2005-4, Class A4 | |
5.37% | | | 07/10/45 | 3 | | | 6,800,000 | | | | 6,830,865 | |
Banc of America Merrill Lynch Commercial | |
Mortgage, Inc., Series 2005-6, Class A4 | |
5.35% | | | 09/10/473 | | | | 64,867,897 | | | | 66,947,786 | |
Bayview Commercial Asset Trust, | |
Series 2004-2, Class A | |
0.58% | | | 08/25/342,3 | | | | 695,537 | | | | 670,039 | |
Bayview Commercial Asset Trust, | |
Series 2005-3A, Class A1 | |
0.48% | | | 11/25/352,3 | | | | 26,600 | | | | 24,480 | |
| | | | | | | | | | |
| | | Maturity | | Principal | | | | |
| Issues | | Date | | Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Commercial Mortgage-Backed (continued) | |
Bayview Commercial Asset Trust, | |
Series 2006-3A, Class A1 | |
0.40% | | 10/25/362,3 | | $ | 4,720,389 | | | $ | 4,176,015 | |
Bayview Financial Mortgage Pass-Through | |
Trust, Series 2005-D, Class AF3 | |
5.50% | | 12/28/353 | | | 460,496 | | | | 472,569 | |
Bear Stearns Commercial Mortgage | |
Securities Trust, Series 2005-T20, | |
Class A4A | |
5.29% | | 10/12/423 | | | 40,390,000 | | | | 41,598,727 | |
Bear Stearns Commercial Mortgage | |
Securities Trust, Series 2006-T22, | |
Class A4 | |
5.76% | | 04/12/383 | | | 20,511,384 | | | | 21,556,316 | |
CD Commercial Mortgage Trust, | |
Series 2007-CD4, Class A3 | |
5.29% | | 12/11/49 | | | 8,720,172 | | | | 8,783,354 | |
CFCRE Commercial Mortgage Trust, | |
Series 2011-C2, Class A2 | |
3.06% | | 12/15/47 | | | 54,242,000 | | | | 56,161,657 | |
Credit Suisse First Boston Commercial | |
Mortgage Trust, Series 2007-C1, Class A1A | |
5.36% | | 02/15/40 | | | 19,698,657 | | | | 20,952,200 | |
Credit Suisse First Boston Commercial | |
Mortgage Trust, Series 2007-C2, Class A1A | |
5.53% | | 01/15/493 | | | 133,551,564 | | | | 142,891,425 | |
Credit Suisse First Boston Commercial | |
Mortgage Trust, Series 2007-C5, Class A1A | |
5.57% | | 09/15/403 | | | 65,695,339 | | | | 70,465,970 | |
DBRR Trust, Series 2011-LC2, Class A4C | |
4.54% | | 07/12/442,3 | | | 1,227,782 | | | | 1,312,685 | |
DBUBS Mortgage Trust, Series 2011-LC3A, | |
Class A2 | |
3.64% | | 08/10/44 | | | 101,690,000 | | | | 105,720,687 | |
GE Business Loan Trust, Series 2003-2A, | |
Class A | |
0.52% | | 11/15/312,3 | | | 16,912 | | | | 16,244 | |
GE Capital Commercial Mortgage Corp., | |
Series 2005-C1, Class A5 | |
4.77% | | 06/10/483 | | | 43,362,517 | | | | 43,676,301 | |
GE Capital Commercial Mortgage Corp., | |
Series 2005-C4, Class A4 | |
5.49% | | 11/10/453 | | | 27,513,000 | | | | 28,270,199 | |
GMAC Commercial Mortgage Securities, Inc., | |
Series 1998-C2, Class X (IO) | |
1.23% | | 05/15/353,6 | | | 8,562,156 | | | | 233,743 | |
GS Mortgage Securities Corp. II, | |
Series 2005-GG4, Class A4A | |
4.75% | | 07/10/39 | | | 2,393,206 | | | | 2,412,462 | |
GS Mortgage Securities Corp. II, | |
Series 2011-GC5, Class A4 | |
3.71% | | 08/10/443 | | | 107,315,000 | | | | 112,801,394 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2014 / 62
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | |
| | | Maturity | | Principal | | | | |
| Issues | | Date | | Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Commercial Mortgage-Backed (continued) | |
GS Mortgage Securities Trust, | |
Series 2010-C2, Class A1 | |
3.85% | | 12/10/432 | | $ | 45,197,644 | | | $ | 46,712,737 | |
GS Mortgage Securities Trust, | |
Series 2011-GC3, Class A2 | |
3.64% | | 03/10/442 | | | 18,582,557 | | | | 19,088,489 | |
GS Mortgage Securities Trust, | |
Series 2011-GC5, Class A2 | |
3.00% | | 08/10/44 | | | 26,076,000 | | | | 26,859,709 | |
GS Mortgage Securities Trust, | |
Series 2014-3R, Class 2A | |
0.34% | | 09/26/363 | | | 28,066,753 | | | | 27,157,486 | |
JPMorgan Chase Commercial Mortgage | |
Securities Corp., Series 2005-CB12, | |
Class A4 | |
4.90% | | 09/12/37 | | | 2,920,000 | | | | 2,970,420 | |
JPMorgan Chase Commercial Mortgage | |
Securities Corp., Series 2005-LDP5, | |
Class A4 | |
5.40% | | 12/15/443 | | | 13,500,000 | | | | 13,924,121 | |
JPMorgan Chase Commercial Mortgage | |
Securities Corp., Series 2006-LDP9, | |
Class A3S | |
5.24% | | 05/15/472 | | | 2,132,914 | | | | 2,135,737 | |
JPMorgan Chase Commercial Mortgage | |
Securities Corp., Series 2010-C1, | |
Class A1 | |
3.85% | | 06/15/432 | | | 5,934,799 | | | | 6,004,417 | |
JPMorgan Chase Commercial Mortgage | |
Securities Corp., Series 2010-C2, | |
Class A1 | |
2.75% | | 11/15/432 | | | 23,667,377 | | | | 24,091,242 | |
JPMorgan Chase Commercial Mortgage | |
Securities Trust, Series 2005-CB13, | |
Class A4 | |
5.42% | | 01/12/433 | | | 53,000,000 | | | | 54,860,645 | |
JPMorgan Chase Commercial Mortgage | |
Securities, Series 2011-C3, Class A3 | |
4.39% | | 02/15/462 | | | 10,005,000 | | | | 10,795,060 | |
LB Commercial Mortgage Trust, | |
Series 2007-C3, Class A1A | |
6.06% | | 07/15/443 | | | 27,527,430 | | | | 30,284,715 | |
LB-UBS Commercial Mortgage Trust, | |
Series 2007-C1, Class A1A | |
5.39% | | 02/15/40 | | | 99,761,917 | | | | 107,772,110 | |
Lehman Brothers Small Balance Commercial | |
Mortgage Trust, Series 2007-1A, Class 2A3 | |
5.62% | | 03/25/372,3 | | | 10,447,599 | | | | 10,639,490 | |
Merrill Lynch/Countrywide Commercial | |
Mortgage Trust, Series 2006-4, | |
Class ASB | |
5.13% | | 12/12/493 | | | 9,139,773 | | | | 9,380,501 | |
| | | | | | | | | | |
| | | Maturity | | Principal | | | | |
| Issues | | Date | | Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Commercial Mortgage-Backed (continued) | |
Morgan Stanley Bank of America Merrill | |
Lynch Trust, Series 2012-C6, Class A2 | |
1.87% | | 11/15/45 | | $ | 38,000,000 | | | $ | 38,177,996 | |
Morgan Stanley Capital I Trust, | |
Series 2001-C3, Class A2 | |
3.22% | | 08/15/49 | | | 15,407,960 | | | | 15,931,060 | |
Morgan Stanley Capital I Trust, | |
Series 2006-IQ12, Class A4 | |
5.33% | | 12/15/43 | | | 81,135 | | | | 86,937 | |
Morgan Stanley Capital I Trust, | |
Series 2007-HQ12, Class A3 | |
5.77% | | 04/12/493 | | | 37,055,000 | | | | 37,874,193 | |
RBSCF Trust, Series 2010-MB1, Class A2 | |
3.69% | | 04/15/242 | | | 17,490,950 | | | | 17,590,360 | |
Wells Fargo Commercial Mortgage Trust, | |
Series 2010-C1, Class A2 | |
4.39% | | 11/15/432 | | | 900,000 | | | | 973,297 | |
WF-RBS Commercial Mortgage Trust, | |
Series 2010-C8, Class A3 | |
3.00% | | 08/15/45 | | | 52,205,000 | | | | 52,031,601 | |
WF-RBS Commercial Mortgage Trust, | |
Series 2011-C2, Class A2 | |
3.79% | | 02/15/442 | | | 34,000,000 | | | | 35,051,391 | |
WF-RBS Commercial Mortgage Trust, | |
Series 2011-C3, Class A2 | |
3.24% | | 03/15/442 | | | 36,434,000 | | | | 37,508,256 | |
WF-RBS Commercial Mortgage Trust, | |
Series 2011-C4, Class A3 | |
4.39% | | 06/15/442 | | | 2,550,000 | | | | 2,763,542 | |
WF-RBS Commercial Mortgage Trust, | |
Series 2011-C5, Class A4 | |
3.67% | | 11/15/44 | | | 17,612,000 | | | | 18,443,216 | |
WF-RBS Commercial Mortgage Trust, | |
Series 2012-C7, Class A2 | |
3.43% | | 06/15/45 | | | 33,148,000 | | | | 33,923,763 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 1,419,007,609 | |
| | | | | | | | | | |
Non-Agency Mortgage-Backed — 12.76% | |
Aames Mortgage Trust, Series 2002-1, | |
Class A3 (STEP) | |
6.51% | | 06/25/32 | | | 69,156 | | | | 67,479 | |
Accredited Mortgage Loan Trust, | |
Series 2005-2, Class A2C | |
0.50% | | 07/25/353 | | | 8,532,614 | | | | 8,549,491 | |
Accredited Mortgage Loan Trust, | |
Series 2007-1, Class A4 | |
0.38% | | 02/25/373 | | | 46,125,000 | | | | 37,461,553 | |
ACE Securities Corp., Series 2006-ASP1, | |
Class A1 | |
0.40% | | 12/25/353 | | | 10,302,870 | | | | 10,170,514 | |
ACE Securities Corp., Series 2006-HE3, | |
Class A2C | |
0.30% | | 06/25/363 | | | 4,358,063 | | | | 2,944,576 | |
See accompanying notes to Schedule of Portfolio Investments.
63 / Semi-Annual Report September 2014
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | |
| | | Maturity | | Principal | | | | |
| Issues | | Date | | Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
Adjustable Rate Mortgage Trust, | |
Series 2005-10, Class 6A1 | |
0.70% | | 01/25/363 | | $ | 575,678 | | | $ | 502,827 | |
Adjustable Rate Mortgage Trust, | |
Series 2005-5, Class 6A21 | |
0.38% | | 09/25/353 | | | 4,753,533 | | | | 4,566,552 | |
Aegis Asset-Backed Securities Trust, | |
Series 2005-5, Class 1A3 | |
0.42% | | 12/25/353 | | | 6,732,426 | | | | 6,652,748 | |
American Home Mortgage Assets, | |
Series 2007-4, Class A2 | |
0.34% | | 08/25/373 | | | 4,918,343 | | | | 4,799,890 | |
American Home Mortgage Investment Trust, | |
Series 2004-3, Class 2A | |
1.83% | | 10/25/343 | | | 10,784,896 | | | | 10,493,871 | |
American Home Mortgage Investment Trust, | |
Series 2006-1, Class 12A1 | |
0.36% | | 03/25/463 | | | 2,711,500 | | | | 2,321,820 | |
American Home Mortgage Investment Trust, | |
Series 2007-1, Class GA1C | |
0.34% | | 05/25/473 | | | 92,020,953 | | | | 67,463,229 | |
Ameriquest Mortgage Securities, Inc., | |
Series 2005-R6, Class A2 | |
0.36% | | 08/25/353 | | | 7,693 | | | | 7,683 | |
Amresco Residential Securities Mortgage | |
Loan Trust, Series 1998-1, Class A5 (STEP) | |
7.57% | | 10/25/27 | | | 108,233 | | | | 115,148 | |
Argent Securities, Inc., Series 2004-W6, | |
Class AV2 | |
1.06% | | 05/25/343 | | | 18,496,542 | | | | 17,735,770 | |
Argent Securities, Inc., Series 2005-W2, | |
Class A2B1 | |
0.36% | | 10/25/353 | | | 11,731 | | | | 11,687 | |
Asset-Backed Funding Certificates, | |
Series 2006-OPT3, Class A3B | |
0.32% | | 11/25/363 | | | 14,291,625 | | | | 7,840,628 | |
Asset-Backed Funding Certificates, | |
Series 2007-WMC1, Class A2B | |
1.16% | | 06/25/373 | | | 36,875,542 | | | | 24,856,966 | |
Asset-Backed Securities Corp. Home Equity, | |
Series 2005-HE6, Class M2 | |
0.66% | | 07/25/353 | | | 47,351 | | | | 47,003 | |
Asset-Backed Securities Corp. Home Equity, | |
Series 2006-HE6, Class A5 | |
0.38% | | 11/25/363 | | | 18,411,000 | | | | 11,966,379 | |
Banc of America Alternative Loan Trust, | |
Series 2003-2, Class CB4 | |
5.50% | | 04/25/33 | | | 1,708,852 | | | | 1,763,303 | |
Banc of America Funding Corp., | |
Series 2003-2, Class 1A1 | |
6.50% | | 06/25/32 | | | 37,411 | | | | 39,681 | |
| | | | | | | | | | |
| | | Maturity | | Principal | | | | |
| Issues | | Date | | Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
Banc of America Funding Corp., | |
Series 2006-E, Class 2A1 | |
2.68% | | 06/20/363 | | $ | 230,009 | | | $ | 193,351 | |
Banc of America Funding Corp., | |
Series 2006-G, Class 2A1 | |
0.37% | | 07/20/363 | | | 23,874,296 | | | | 22,274,694 | |
Banc of America Funding Corp., | |
Series 2006-G, Class 2A3 | |
0.32% | | 07/20/363 | | | 10,833,894 | | | | 10,840,785 | |
Banc of America Funding Corp., | |
Series 2006-H, Class 3A1 | |
2.79% | | 09/20/463 | | | 4,244,810 | | | | 3,456,524 | |
Banc of America Mortgage Securities, Inc., | |
Series 2003-1, Class ASS 3A1 | |
2.78% | | 10/25/333 | | | 2,546,159 | | | | 2,608,718 | |
Banc of America Mortgage Securities, Inc., | |
Series 2004-F, Class 1A1 | |
2.50% | | 07/25/343 | | | 139,275 | | | | 141,177 | |
Banc of America Mortgage Securities, Inc., | |
Series 2005-C, Class 2A2 | |
2.69% | | 04/25/353 | | | 1,374,141 | | | | 1,270,719 | |
Banc of America Mortgage Securities, Inc., | |
Series 2006-2, Class A2 | |
6.00% | | 07/25/463 | | | 490,890 | | | | 478,761 | |
Banc of America Mortgage Securities, Inc., | |
Series 2007-1, Class 1A24 | |
6.00% | | 03/25/37 | | | 2,567,820 | | | | 2,421,465 | |
Banc of America Mortgage Securities, Inc., | |
Series 2007-3, Class 1A1 | |
6.00% | | 09/25/37 | | | 1,365,154 | | | | 1,263,868 | |
Banco de Credito Y Securitizacion SA, | |
Series 2001-1, Class AF (Argentina) | |
8.00% | | 06/30/202,4,6 | | | 8,000 | | | | 640 | |
BCAP LLC Trust, Series 2011-RR3, | |
Class 1A5 | |
2.71% | | 05/27/372,3 | | | 15,163,504 | | | | 15,132,237 | |
BCAP LLC Trust, Series 2007-AA1, | |
Class 2A1 | |
0.34% | | 03/25/373 | | | 1,546,713 | | | | 1,287,950 | |
BCAP LLC Trust, Series 2007-AA2, | |
Class 2A5 | |
6.00% | | 04/25/37 | | | 617,682 | | | | 537,891 | |
BCAP LLC Trust, Series 2009-RR10, | |
Class 7A1 | |
2.41% | | 10/26/352,3 | | | 12,835,833 | | | | 13,184,210 | |
BCAP LLC Trust, Series 2010-RR11, | |
Class 3A2 | |
2.76% | | 06/27/362,3 | | | 5,885,632 | | | | 5,905,961 | |
BCAP LLC Trust, Series 2011-RR2, | |
Class 3A6 | |
2.68% | | 11/21/352,3 | | | 21,794,693 | | | | 20,351,499 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2014 / 64
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | |
| | | Maturity | | Principal | | | | |
| Issues | | Date | | Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
BCAP LLC Trust, Series 2011-RR3, | |
Class 5A3 | |
2.76% | | 11/27/372,3 | | $ | 13,131,368 | | | $ | 12,710,337 | |
BCAP LLC Trust, Series 2011-RR4, | |
Class 1A3 | |
2.85% | | 03/26/362,3 | | | 18,641,207 | | | | 18,178,541 | |
BCAP LLC Trust, Series 2011-RR5, | |
Class 1A3 | |
2.53% | | 03/26/372,3 | | | 1,299,282 | | | | 1,278,463 | |
BCAP LLC Trust, Series 2011-RR5, | |
Class 2A3 | |
2.71% | | 06/26/372,3 | | | 7,517,811 | | | | 7,547,025 | |
Bear Stearns ALT-A Trust, Series 2006-3, | |
Class 1A1 | |
0.54% | | 05/25/363 | | | 3,095,306 | | | | 2,296,782 | |
Bear Stearns ALT-A Trust, Series 2006-4, | |
Class 32A1 | |
2.62% | | 07/25/363 | | | 4,211,939 | | | | 3,055,332 | |
Bear Stearns ARM Trust, Series 2003-4, | |
Class 3A1 | |
2.30% | | 07/25/333 | | | 67,523 | | | | 68,234 | |
Bear Stearns ARM Trust, Series 2004-1, | |
Class 13A2 | |
2.75% | | 04/25/343 | | | 22,694 | | | | 22,161 | |
Bear Stearns ARM Trust, Series 2004-10, | |
Class 14A1 | |
5.06% | | 01/25/353 | | | 9,086,557 | | | | 9,156,532 | |
Bear Stearns ARM Trust, Series 2006-4, | |
Class 2A1 | |
2.61% | | 10/25/363 | | | 1,561,411 | | | | 1,408,822 | |
Bear Stearns Asset-Backed Securities Trust, | |
Series 2002-1, Class 1A5 (STEP) | |
6.89% | | 12/25/34 | | | 53,693 | | | | 55,595 | |
Bear Stearns Asset-Backed Securities Trust, | |
Series 2003-AC7, Class A1 (STEP) | |
5.50% | | 01/25/34 | | | 1,545,768 | | | | 1,603,142 | |
Bear Stearns Asset-Backed Securities Trust, | |
Series 2003-AC7, Class A2 (STEP) | |
5.75% | | 01/25/34 | | | 1,393,614 | | | | 1,462,344 | |
Bear Stearns Asset-Backed Securities Trust, | |
Series 2005-AC5, Class 2A3 | |
0.40% | | 08/25/203 | | | 4,249,144 | | | | 3,202,860 | |
Bear Stearns Asset-Backed Securities Trust, | |
Series 2005-SD1, Class 1A3 | |
0.56% | | 08/25/433 | | | 21,069 | | | | 20,843 | |
Bear Stearns Asset-Backed Securities Trust, | |
Series 2005-TC2, Class A3 | |
0.52% | | 08/25/353 | | | 4,688,924 | | | | 4,665,901 | |
Bear Stearns Asset-Backed Securities Trust, | |
Series 2006-AC2, Class 21A3 | |
6.00% | | 03/25/36 | | | 2,993,411 | | | | 2,669,327 | |
| | | | | | | | | | |
| | | Maturity | | Principal | | | | |
| Issues | | Date | | Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
Bear Stearns Mortgage Funding Trust, | |
Series 2006-AR3, Class 1A1 | |
0.34% | | 10/25/363 | | $ | 3,269,395 | | | $ | 2,316,693 | |
Bear Stearns Mortgage Funding Trust, | |
Series 2007-AR4, Class 2A1 | |
0.36% | | 06/25/373 | | | 331,443 | | | | 267,906 | |
BHN I Mortgage Fund, Series 1997-2, | |
Class A1 (Argentina)10 | |
1.44% | | 05/31/172,3,4,6,11,† | | | 13,760 | | | | 688 | |
BHN I Mortgage Fund, Series 1997-2, | |
Class A2 (Argentina)10 | |
7.54% | | 05/31/172,4,6,11,†
| | | 2,500 | | | | 125 | |
BHN I Mortgage Fund, Series 2000-1, | |
Class AF (Argentina) | |
8.00% | | 01/31/202,4,6,† | | | 6,000 | | | | 2 | |
Bombardier Capital Mortgage Securitization | |
Corp., Series 2001-A, Class A | |
6.80% | | 12/15/303 | | | 16,665,235 | | | | 17,286,405 | |
CC Mortgage Funding Corp., Series 2004-1A, | |
Class A1 | |
0.44% | | 01/25/352,3 | | | 1,546,862 | | | | 1,406,044 | |
Centex Home Equity Loan Trust, | |
Series 2006-A, Class AV3 | |
0.32% | | 06/25/363 | | | 21,279,097 | | | | 21,092,714 | |
Centex Home Equity Loan Trust, | |
Series 2006-A, Class AV4 | |
0.40% | | 06/25/363 | | | 27,500,000 | | | | 25,446,768 | |
Chase Mortgage Finance Corp., | |
Series 2006-A1, Class 1A2 | |
2.53% | | 09/25/363 | | | 1,724,282 | | | | 1,425,073 | |
Chase Mortgage Finance Corp., | |
Series 2006-S3, Class 2A1 | |
5.50% | | 11/25/21 | | | 3,444,030 | | | | 2,980,726 | |
Chase Mortgage Finance Corp., | |
Series 2007-A2, Class 2A3 | |
2.57% | | 07/25/373 | | | 7,044,358 | | | | 7,189,859 | |
Chaseflex Trust, Series 2005-2, Class 4A2 | |
5.50% | | 05/25/20 | | | 6,942,541 | | | | 6,860,932 | |
Chaseflex Trust, Series 2006-2, Class A2B | |
0.36% | | 09/25/363 | | | 2,426,984 | | | | 1,878,896 | |
CIT Mortgage Loan Trust, Series 2007-1, | |
Class 2A2 | |
1.40% | | 10/25/372,3 | | | 4,829,660 | | | | 4,824,025 | |
Citicorp Mortgage Securities, Inc., | |
Series 2005-1, Class 1A12 | |
5.00% | | 02/25/35 | | | 703,000 | | | | 664,889 | |
Citicorp Residential Mortgage Securities, Inc., | |
Series 2006-2, Class A5 (STEP) | |
6.04% | | 09/25/36 | | | 525,000 | | | | 548,640 | |
Citicorp Residential Mortgage Securities, Inc., | |
Series 2007-1, Class A5 (STEP) | |
6.05% | | 03/25/37 | | | 650,000 | | | | 637,271 | |
See accompanying notes to Schedule of Portfolio Investments.
65 / Semi-Annual Report September 2014
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | |
| | | Maturity | | Principal | | | | |
| Issues | | Date | | Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
Citigroup Mortgage Loan Trust, Inc., | |
Series 2004-HYB1, Class A41 | |
2.86% | | 02/25/343 | | $ | 286,163 | | | $ | 281,761 | |
Citigroup Mortgage Loan Trust, Inc., | |
Series 2004-RR2, Class A2 | |
2.49% | | 05/25/342,3 | | | 6,678,755 | | | | 6,919,798 | |
Citigroup Mortgage Loan Trust, Inc., | |
Series 2005-5, Class 3A2A | |
2.48% | | 10/25/353 | | | 1,457,610 | | | | 1,183,071 | |
Citigroup Mortgage Loan Trust, Inc., | |
Series 2005-9, Class 1A1 | |
0.42% | | 11/25/353 | | | 381,821 | | | | 258,647 | |
Citigroup Mortgage Loan Trust, Inc., | |
Series 2006-AR3, Class 1A2A | |
5.33% | | 06/25/363 | | | 14,340,663 | | | | 13,856,459 | |
Citigroup Mortgage Loan Trust, Inc., | |
Series 2006-WFH2, Class A2A | |
0.30% | | 08/25/363 | | | 9,310,159 | | | | 8,783,455 | |
Citigroup Mortgage Loan Trust, Inc., | |
Series 2007-6, Class 1A4A | |
3.12% | | 03/25/373 | | | 1,140,197 | | | | 821,041 | |
Citigroup Mortgage Loan Trust, Inc., | |
Series 2007-WFH1, Class A4 | |
0.36% | | 01/25/373 | | | 173,000 | | | | 162,465 | |
Citigroup Mortgage Loan Trust, Inc., | |
Series 2007-WFH2, Class A3 | |
0.34% | | 03/25/373 | | | 37,371,874 | | | | 36,760,903 | |
Citigroup Mortgage Loan Trust, Inc., | |
Series 2010-7, Class 2A1 | |
2.41% | | 02/25/352,3 | | | 392,964 | | | | 403,414 | |
Citigroup Mortgage Loan Trust, Inc., | |
Series 2010-9, Class 2A1 | |
2.51% | | 11/25/352,3 | | | 348,901 | | | | 356,807 | |
Citigroup Mortgage Loan Trust, Inc., | |
Series 2012-3, Class 4A1 | |
0.05% | | 11/25/362,3 | | | 3,573,880 | | | | 3,618,211 | |
Citigroup Mortgage Loan Trust, Inc., | |
Series 2014-6, Class 3A2 | |
2.71% | | 11/25/352,3 | | | 25,462,312 | | | | 25,854,628 | |
Collateralized Mortgage Obligation Trust, | |
Series 57, Class D | |
9.90% | | 02/01/19 | | | 1,513 | | | | 1,696 | |
Conseco Finance Securitizations Corp., | |
Series 2001-4, Class A4 | |
7.36% | | 09/01/33 | | | 6,480,204 | | | | 7,219,424 | |
Conseco Finance, Series 2001-C, | |
Class A5 (STEP) | |
7.29% | | 08/15/33 | | | 595,146 | | | | 612,068 | |
Conseco Finance, Series 2002-A, | |
Class A5 (STEP) | |
7.55% | | 04/15/32 | | | 37,258 | | | | 38,019 | |
| | | | | | | | | | |
| | | Maturity | | Principal | | | | |
| Issues | | Date | | Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
Conseco Finance, Series 2002-C, | |
Class BF2 | |
8.00% | | 06/15/322,3 | | $ | 425,953 | | | $ | 469,186 | |
Conseco Financial Corp., Series 1996-7, | |
Class M1 | |
7.70% | | 10/15/273 | | | 13,633,159 | | | | 14,673,730 | |
Conseco Financial Corp., Series 1998-2, | |
Class A5 | |
6.24% | | 12/01/283 | | | 108,022 | | | | 112,232 | |
Conseco Financial Corp., Series 1998-3, | |
Class A6 | |
6.76% | | 03/01/303 | | | 6,108,682 | | | | 6,494,480 | |
Conseco Financial Corp., Series 1998-6, | |
Class A8 | |
6.66% | | 06/01/30 | | | 8,071,271 | | | | 8,661,189 | |
Countryplace Manufactured Housing Contract | |
Trust, Series 2007-1, Class A4 | |
5.85% | | 07/15/372,3 | | | 9,150,000 | | | | 9,215,589 | |
Countrywide Alternative Loan Trust, | |
Series 2004-J6, Class 2A1 | |
6.50% | | 11/25/31 | | | 15,709 | | | | 16,729 | |
Countrywide Alternative Loan Trust, | |
Series 2005-27, Class 3A2 | |
1.22% | | 08/25/353 | | | 7,772 | | | | 5,367 | |
Countrywide Alternative Loan Trust, | |
Series 2005-84, Class 1A1 | |
2.59% | | 02/25/363 | | | 158,883 | | | | 121,549 | |
Countrywide Alternative Loan Trust, | |
Series 2006-24CB, Class A19 | |
0.66% | | 06/25/363 | | | 2,118,901 | | | | 1,584,342 | |
Countrywide Alternative Loan Trust, | |
Series 2006-HY13, Class 4A1 | |
2.66% | | 02/25/373 | | | 4,632,670 | | | | 4,153,716 | |
Countrywide Alternative Loan Trust, | |
Series 2006-OC5, Class 2A2A | |
0.32% | | 06/25/363 | | | 2,157,509 | | | | 1,817,009 | |
Countrywide Alternative Loan Trust, | |
Series 2007-J1, Class 2A1 | |
0.36% | | 03/25/373 | | | 1,082,019 | | | | 557,241 | |
Countrywide Asset-Backed Certificates, | |
Series 2005-11, Class AF4 | |
5.05% | | 02/25/363 | | | 7,000,000 | | | | 6,525,631 | |
Countrywide Asset-Backed Certificates, | |
Series 2005-12, Class 2A5 | |
5.24% | | 02/25/363 | | | 7,426,617 | | | | 7,676,522 | |
Countrywide Asset-Backed Certificates, | |
Series 2005-13, Class AF4 | |
5.05% | | 04/25/363 | | | 275,000 | | | | 225,911 | |
Countrywide Asset-Backed Certificates, | |
Series 2005-16, Class 4AV4 | |
0.50% | | 05/25/363 | | | 13,360,120 | | | | 12,916,103 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2014 / 66
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | |
| | | Maturity | | Principal | | | | |
| Issues | | Date | | Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
Countrywide Asset-Backed Certificates, | |
Series 2005-17, Class 4A2A | |
0.42% | | 05/25/363 | | $ | 9,538,769 | | | $ | 9,533,561 | |
Countrywide Asset-Backed Certificates, | |
Series 2005-2, Class M2 | |
0.60% | | 08/25/353 | | | 9,490,937 | | | | 9,411,798 | |
Countrywide Asset-Backed Certificates, | |
Series 2005-7, Class MV1 | |
0.66% | | 11/25/353 | | | 2,403,718 | | | | 2,399,540 | |
Countrywide Asset-Backed Certificates, | |
Series 2005-9, Class 2A5 | |
0.56% | | 01/25/363 | | | 26,855,818 | | | | 26,447,508 | |
Countrywide Asset-Backed Certificates, | |
Series 2007-13, Class 2A2 | |
0.96% | | 10/25/473 | | | 23,397,724 | | | | 21,279,504 | |
Countrywide Home Loan Mortgage | |
Pass-Through Trust, Series 2001-HYB1, | |
Class 1A1 | |
2.08% | | 06/19/313 | | | 44,068 | | | | 43,432 | |
Countrywide Home Loan Mortgage | |
Pass-Through Trust, Series 2002-38, | |
Class A3 | |
5.00% | | 02/25/18 | | | 1,482,556 | | | | 1,501,860 | |
Countrywide Home Loan Mortgage | |
Pass-Through Trust, Series 2003-J8, | |
Class 1A4 | |
5.25% | | 09/25/23 | | | 278,618 | | | | 289,814 | |
Countrywide Home Loan Mortgage | |
Pass-Through Trust, Series 2004-14, | |
Class 4A1 | |
2.34% | | 08/25/343 | | | 3,167,156 | | | | 3,183,613 | |
Countrywide Home Loan Mortgage | |
Pass-Through Trust, Series 2004-25, | |
Class 1A1 | |
0.48% | | 02/25/353 | | | 252,911 | | | | 233,434 | |
Countrywide Home Loan Mortgage | |
Pass-Through Trust, Series 2004-29, | |
Class 3A1 | |
2.22% | | 02/25/353 | | | 6,287,280 | | | | 4,731,178 | |
Countrywide Home Loan Mortgage | |
Pass-Through Trust, Series 2004-HYB3, | |
Class 1A | |
2.49% | | 06/20/343 | | | 111,900 | | | | 112,203 | |
Countrywide Home Loan Mortgage | |
Pass-Through Trust, Series 2004-HYB4, | |
Class 2A1 | |
2.39% | | 09/20/343 | | | 3,645,795 | | | | 3,616,745 | |
Countrywide Home Loan Mortgage | |
Pass-Through Trust, Series 2004-HYB7, | |
Class 3A | |
2.44% | | 11/20/343 | | | 3,481,429 | | | | 3,431,415 | |
Countrywide Home Loan Mortgage | |
Pass-Through Trust, Series 2005-11, | |
Class 1A2 | |
2.90% | | 04/25/353 | | | 1,992,159 | | | | 1,747,099 | |
| | | | | | | | | | |
| | | Maturity | | Principal | | | | |
| Issues | | Date | | Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
Countrywide Home Loan Mortgage | |
Pass-Through Trust, Series 2005-31, | |
Class 2A3 | |
2.59% | | 01/25/363 | | $ | 537,259 | | | $ | 473,676 | |
Countrywide Home Loan Mortgage | |
Pass-Through Trust, Series 2005-4, | |
Class 4A1 | |
0.44% | | 02/25/353 | | | 146,992 | | | | 124,277 | |
Countrywide Home Loan Mortgage | |
Pass-Through Trust, Series 2005-9, | |
Class 1A1 | |
0.46% | | 05/25/353 | | | 8,199,803 | | | | 7,312,273 | |
Countrywide Home Loan Mortgage | |
Pass-Through Trust, Series 2007-HY5, | |
Class 1A1 | |
2.66% | | 09/25/473 | | | 2,612,077 | | | | 2,325,067 | |
Countrywide Home Loan Mortgage | |
Pass-Through Trust, Series 2007-HYB1, | |
Class 1A1 | |
2.90% | | 03/25/373 | | | 2,203,705 | | | | 1,663,006 | |
Credit Suisse First Boston Commercial | |
Mortgage Trust, Series 2004-AR5, Class 6A1 | |
2.47% | | 06/25/343 | | | 496,490 | | | | 500,342 | |
Credit Suisse First Boston Commercial | |
Mortgage Trust, Series 2009-14R, Class 2A1 | |
5.00% | | 06/26/372 | | | 32,532,010 | | | | 33,834,979 | |
Credit Suisse First Boston Commercial | |
Mortgage Trust, Series 2011-12R, Class 1A1 | |
1.00% | | 10/27/372,3 | | | 11,229,533 | | | | 11,128,383 | |
Credit Suisse First Boston Commercial | |
Mortgage Trust, Series 2011-16R, Class 5A1 | |
2.63% | | 09/27/352,3 | | | 9,806,122 | | | | 9,818,252 | |
Credit Suisse First Boston Commercial | |
Mortgage Trust, Series 2014-7R, Class 7A1 | |
0.30% | | 08/27/362,3 | | | 41,186,091 | | | | 40,359,707 | |
Credit Suisse First Boston Mortgage | |
Securities Corp., Series 2003-AR20, | |
Class 2A4 | |
2.47% | | 08/25/333 | | | 36,406 | | | | 36,539 | |
Credit Suisse First Boston Mortgage | |
Securities Corp., Series 2004-1, | |
Class 2A1 | |
6.50% | | 02/25/34 | | | 72,003 | | | | 76,874 | |
Credit Suisse Mortgage Capital Certificates, | |
Series 2006-2, Class 2A1 | |
0.86% | | 03/25/363 | | | 7,415,133 | | | | 4,721,994 | |
Credit Suisse Mortgage Capital Certificates, | |
Series 2007-2, Class 3A4 | |
5.50% | | 03/25/37 | | | 6,109,830 | | | | 5,889,167 | |
Credit Suisse Mortgage Capital Certificates, | |
Series 2010-17R, Class 1A1 | |
2.32% | | 06/26/362,3 | | | 1,813,630 | | | | 1,854,781 | |
See accompanying notes to Schedule of Portfolio Investments.
67 / Semi-Annual Report September 2014
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | |
| | | Maturity | | Principal | | | | |
| Issues | | Date | | Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
Credit-Based Asset Servicing and | |
Securitization LLC, Series 2003-CB1, | |
Class AF (STEP) | |
3.95% | | 01/25/33 | | $ | 27,771 | | | $ | 27,632 | |
Credit-Based Asset Servicing and | |
Securitization LLC, Series 2003-CB4, | |
Class M1 | |
1.19% | | 03/25/333 | | | 6,528,018 | | | | 6,220,019 | |
Credit-Based Asset Servicing and | |
Securitization LLC, Series 2003-CB5, | |
Class M1 | |
1.18% | | 11/25/333 | | | 50,055 | | | | 43,701 | |
Credit-Based Asset Servicing and | |
Securitization LLC, Series 2005-FR3, | |
Class M1 | |
0.86% | | 04/25/353 | | | 1,377,045 | | | | 1,363,662 | |
Credit-Based Asset Servicing and | |
Securitization LLC, Series 2006-CB1, | |
Class AF2 (STEP) | |
3.51% | | 01/25/36 | | | 11,147,036 | | | | 8,179,700 | |
Credit-Based Asset Servicing and | |
Securitization LLC, Series 2006-CB6, | |
Class A23 | |
0.30% | | 07/25/363 | | | 28,959,896 | | | | 25,299,684 | |
Credit-Based Asset Servicing and | |
Securitization LLC, Series 2006-CB8, | |
Class A2B | |
0.26% | | 10/25/363 | | | 12,042,574 | | | | 11,776,536 | |
Credit-Based Asset Servicing and | |
Securitization LLC, Series 2007-BR1, | |
Class A2A | |
0.26% | | 02/25/373 | | | 8,818,064 | | | | 5,054,208 | |
Credit-Based Asset Servicing and | |
Securitization LLC, Series 2007-BR1, | |
Class A2B | |
0.42% | | 02/25/373 | | | 43,183,965 | | | | 25,279,753 | |
Credit-Based Asset Servicing and | |
Securitization LLC, Series 2007-BR2, | |
Class A2 | |
0.38% | | 02/25/373 | | | 70,321,638 | | | | 40,585,947 | |
Credit-Based Asset Servicing and | |
Securitization LLC, Series 2007-BR5, | |
Class A2A | |
0.28% | | 05/25/373 | | | 28,159,091 | | | | 20,454,454 | |
Credit-Based Asset Servicing and | |
Securitization LLC, Series 2007-BR5, | |
Class A2C | |
0.50% | | 05/25/373 | | | 19,070,268 | | | | 14,174,072 | |
Credit-Based Asset Servicing and | |
Securitization LLC, Series 2007-CB1, | |
Class AF4 (STEP) | |
4.17% | | 01/25/37 | | | 9,268,135 | | | | 5,529,014 | |
Credit-Based Asset Servicing and | |
Securitization LLC, Series 2007-CB1, | |
Class AF5 (STEP) | |
4.17% | | 01/25/37 | | | 17,328,764 | | | | 9,785,553 | |
| | | | | | | | | | |
| | | Maturity | | Principal | | | | |
| Issues | | Date | | Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
Credit-Based Asset Servicing and | |
Securitization LLC, Series 2007-CB2, | |
Class A2C (STEP) | |
4.64% | | 02/25/37 | | $ | 56,647,581 | | | $ | 42,195,140 | |
Credit-Based Asset Servicing and | |
Securitization LLC, Series 2007-CB2, | |
Class A2D (STEP) | |
4.68% | | 02/25/37 | | | 38,742,045 | | | | 28,850,581 | |
Credit-Based Asset Servicing and | |
Securitization LLC, Series 2007-CB2, | |
Class A2E (STEP) | |
4.68% | | 02/25/37 | | | 7,542,067 | | | | 5,617,505 | |
Credit-Based Asset Servicing and | |
Securitization LLC, Series 2007-CB5, | |
Class A2 (STEP) | |
0.32% | | 04/25/373 | | | 45,510,042 | | | | 31,790,266 | |
Credit-Based Asset Servicing and | |
Securitization LLC, Series 2007-NC1, | |
Class A2B | |
0.30% | | 12/25/363 | | | 48,533,287 | | | | 28,098,395 | |
Credit-Based Asset Servicing and | |
Securitization LLC, Series 2007-NC2, | |
Class A2B | |
0.30% | | 01/25/373 | | | 27,126,502 | | | | 18,782,940 | |
CSAB Mortgage-Backed Trust, | |
Series 2006-4, Class A6B (STEP) | |
5.78% | | 12/25/36 | | | 5,268,016 | | | | 1,878,939 | |
Deutsche ALT-A Securities Mortgage Loan | |
Trust, Series 2006-AR3, Class A1 | |
0.34% | | 08/25/363 | | | 2,678,498 | | | | 2,079,431 | |
Deutsche ALT-A Securities Mortgage Loan | |
Trust, Series 2006-AR4, Class A1 | |
0.28% | | 12/25/363 | | | 3,452,771 | | | | 2,134,917 | |
Deutsche ALT-A Securities, Inc. Alternate | |
Loan Trust, Series 2005-3, Class 4A5 | |
5.25% | | 06/25/35 | | | 27,018 | | | | 27,733 | |
Deutsche ALT-A Securities, Inc. Alternate | |
Loan Trust, Series 2005-6, Class 1A7 | |
5.50% | | 12/25/35 | | | 948,549 | | | | 772,123 | |
Deutsche ALT-A Securities, Inc. Alternate | |
Loan Trust, Series 2006-AR6, Class A6 | |
0.34% | | 02/25/373 | | | 1,822,605 | | | | 1,364,951 | |
Deutsche ALT-A Securities, Inc. Mortgage | |
Loan Trust, Series 2006-AR1, Class 2A1 | |
2.87% | | 02/25/363 | | | 2,237,224 | | | | 1,754,579 | |
Deutsche Mortgage Securities, Inc., | |
Series 2010-RS2, Class A3 | |
3.85% | | 06/28/472,3 | | | 20,000,000 | | | | 20,205,381 | |
Downey Savings & Loan Association | |
Mortgage Loan Trust, Series 2005-AR3, | |
Class 2A1A | |
0.39% | | 07/19/453 | | | 460,031 | | | | 419,520 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2014 / 68
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | |
| | | Maturity | | Principal | | | | |
| Issues | | Date | | Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
Downey Savings & Loan Association | |
Mortgage Loan Trust, Series 2007-AR1, | |
Class 2A1A | |
0.29% | | 04/19/483 | | $ | 13,004,062 | | | $ | 10,919,030 | |
DSLA Mortgage Loan Trust, | |
Series 2004-AR4, Class 2A1A | |
0.51% | | 01/19/453 | | | 5,164,077 | | | | 4,438,524 | |
DSLA Mortgage Loan Trust, | |
Series 2005-AR1, Class 2A1A | |
0.40% | | 03/19/453 | | | 979,286 | | | | 907,883 | |
Equifirst Mortgage Loan Trust, Series 2005-1, | |
Class M1 | |
0.58% | | 04/25/353 | | | 8,967,394 | | | | 8,976,540 | |
Equity One ABS, Inc., Series 1998-1, | |
Class A2 (STEP) | |
7.48% | | 11/25/29 | | | 83,747 | | | | 81,388 | |
Equity One ABS, Inc., Series 2002-4, | |
Class M1 | |
5.22% | | 02/25/333 | | | 13,012 | | | | 12,514 | |
Equity One Mortgage Pass-Through Trust, | |
Series 2002-5, Class M1 (STEP) | |
5.80% | | 11/25/32 | | | 128,000 | | | | 130,313 | |
First Franklin Mortgage Loan Asset-Backed | |
Certificates, Series 2005-FF4, Class M1 | |
0.58% | | 05/25/353 | | | 5,158,641 | | | | 5,138,424 | |
First Franklin Mortgage Loan Asset-Backed | |
Certificates, Series 2005-FFH2, Class M1 | |
0.88% | | 04/25/352,3 | | | 708,386 | | | | 703,884 | |
First Franklin Mortgage Loan Asset-Backed | |
Certificates, Series 2006-FF18, Class A2B | |
0.26% | | 12/25/373 | | | 18,806,997 | | | | 12,396,971 | |
First Franklin Mortgage Loan Asset-Backed | |
Certificates, Series 2006-FF18, Class A2C | |
0.32% | | 12/25/373 | | | 54,724,165 | | | | 36,345,273 | |
First Franklin Mortgage Loan Asset-Backed | |
Certificates, Series 2006-FF18, Class A2D | |
0.36% | | 12/25/373 | | | 39,662,531 | | | | 26,539,746 | |
First Franklin Mortgage Loan Asset-Backed | |
Certificates, Series 2007-FF1, Class A2C | |
0.30% | | 01/25/383 | | | 99,103,128 | | | | 58,677,585 | |
First Franklin Mortgage Loan Asset-Backed | |
Certificates, Series 2007-FF2, Class A2B | |
0.26% | | 03/25/373 | | | 44,888,360 | | | | 28,774,830 | |
First Franklin Mortgage Loan Asset-Backed | |
Certificates, Series 2007-FF2, Class A2C | |
0.30% | | 03/25/373 | | | 23,205,103 | | | | 14,910,091 | |
First Franklin Mortgage Loan Asset-Backed | |
Certificates, Series 2007-FF2, Class A2D | |
0.38% | | 03/25/373 | | | 43,207,287 | | | | 27,962,417 | |
First Horizon Alternative Mortgage Securities | |
Trust, Series 2004-AA2, Class 1A1 | |
2.18% | | 08/25/343 | | | 23,686,846 | | | | 23,736,943 | |
| | | | | | | | | | |
| | | Maturity | | Principal | | | | |
| Issues | | Date | | Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
First Horizon Alternative Mortgage Securities | |
Trust, Series 2004-AA3, Class A1 | |
2.20% | | 09/25/343 | | $ | 156,191 | | | $ | 154,179 | |
First Horizon Alternative Mortgage Securities | |
Trust, Series 2004-AA4, Class A1 | |
2.23% | | 10/25/343 | | | 5,928,222 | | | | 5,933,077 | |
First Horizon Alternative Mortgage Securities | |
Trust, Series 2005-AA10, Class 1A1 | |
2.26% | | 12/25/353 | | | 42,545,119 | | | | 37,340,787 | |
First Horizon Alternative Mortgage Securities | |
Trust, Series 2006-FA8, Class 1A7 | |
6.00% | | 02/25/37 | | | 25,703 | | | | 21,103 | |
First Horizon Asset Securities, Inc., | |
Series 2004-AR5, Class 2A1 | |
2.57% | | 10/25/343 | | | 2,466,344 | | | | 2,449,807 | |
First Horizon Asset Securities, Inc., | |
Series 2007-AR3, Class 1A1 | |
2.40% | | 11/25/373 | | | 740,345 | | | | 646,515 | |
First Horizon Mortgage Pass-Through Trust, | |
Series 2004-AR1, Class 2A1 | |
2.53% | | 02/25/343 | | | 1,685,684 | | | | 1,684,225 | |
First Horizon Mortgage Pass-Through Trust, | |
Series 2004-AR6, Class 2A1 | |
2.62% | | 12/25/343 | | | 1,106,552 | | | | 1,116,122 | |
First Horizon Mortgage Pass-Through Trust, | |
Series 2006-AR4, Class 1A2 | |
2.54% | | 01/25/373 | | | 380,796 | | | | 333,189 | |
FNBA Mortgage Pass-Through Certificates, | |
Series 2004-AR1, Class A2 | |
0.55% | | 08/19/343 | | | 35,622 | | | | 34,888 | |
Fremont Home Loan Trust, Series 2005-C, | |
Class M1 | |
0.64% | | 07/25/353 | | | 8,176,920 | | | | 8,192,432 | |
GE Business Loan Trust, Series 2007-1A, | |
Class A | |
0.32% | | 04/16/352,3 | | | 26,979,604 | | | | 25,593,783 | |
GMAC Mortgage Corp. Loan Trust, | |
Series 2000-HE2, Class A1 | |
0.60% | | 06/25/303 | | | 69,359 | | | | 62,510 | |
GMAC Mortgage Corp. Loan Trust, | |
Series 2003-AR2, Class 3A5 | |
2.95% | | 12/19/333 | | | 12,600,860 | | | | 12,935,331 | |
GMAC Mortgage Corp. Loan Trust, | |
Series 2004-AR1, Class 22A | |
2.88% | | 06/25/343 | | | 10,926 | | | | 10,609 | |
GMAC Mortgage Corp. Loan Trust, | |
Series 2005-AR6, Class 3A1 | |
2.90% | | 11/19/353 | | | 2,194,150 | | | | 2,141,579 | |
GMAC Mortgage Corp. Loan Trust, | |
Series 2006-AR2, Class 1A1 | |
2.68% | | 05/19/363 | | | 2,379,402 | | | | 1,833,912 | |
Green Tree, Series 2008-MH1, Class A2 | |
8.97% | | 04/25/382,3 | | | 23,450,760 | | | | 25,239,903 | |
See accompanying notes to Schedule of Portfolio Investments.
69 / Semi-Annual Report September 2014
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | |
| | | Maturity | | Principal | | | | |
| Issues | | Date | | Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
Greenpoint Mortgage Funding Trust, | |
Series 2005-AR3, Class 1A1 | |
0.40% | | 08/25/453 | | $ | 3,029,250 | | | $ | 2,565,169 | |
Greenpoint Mortgage Funding Trust, | |
Series 2006-AR8, Class 1A2A | |
0.34% | | 01/25/473 | | | 17,161,900 | | | | 16,347,620 | |
Greenpoint Mortgage Funding Trust, | |
Series 2007-AR1, Class 3A2 | |
0.32% | | 02/25/373 | | | 7,351,657 | | | | 5,677,685 | |
GS Mortgage Securities Trust., | |
Series 2009-1R, Class 2A1 | |
2.60% | | 11/25/352,3 | | | 63,342 | | | | 64,246 | |
GSAA Home Equity Trust, Series 2005-9, | |
Class 2A3 | |
0.52% | | 08/25/353 | | | 8,402,601 | | | | 7,859,347 | |
GSAMP Trust, Series 2005-AHL2, Class A2D | |
0.50% | | 12/25/353 | | | 25,693,000 | | | | 17,526,526 | |
GSAMP Trust, Series 2005-HE5, Class M1 | |
0.58% | | 11/25/353 | | | 17,000,000 | | | | 16,248,821 | |
GSR Mortgage Loan Trust, Series 2004-9, | |
Class 3A1 | |
2.52% | | 08/25/343 | | | 14,010 | | | | 14,161 | |
GSR Mortgage Loan Trust, Series 2004-9, | |
Class 5A7 | |
2.41% | | 08/25/343 | | | 1,328,728 | | | | 1,295,137 | |
GSR Mortgage Loan Trust, Series 2005-AR5, | |
Class 2A3 | |
2.57% | | 10/25/353 | | | 9,260,161 | | | | 8,275,047 | |
GSR Mortgage Loan Trust, Series 2005-AR5, | |
Class 2A4 | |
2.57% | | 10/25/353 | | | 6,415,913 | | | | 6,371,002 | |
GSR Mortgage Loan Trust, Series 2005-AR6, | |
Class 4A5 | |
2.68% | | 09/25/353 | | | 701,677 | | | | 706,008 | |
GSR Mortgage Loan Trust, Series 2006-OA1, | |
Class 2A1 | |
0.34% | | 08/25/463 | | | 9,293,375 | | | | 8,742,278 | |
GSR Mortgage Loan Trust, Series 2007-AR2, | |
Class 2A1 | |
2.72% | | 05/25/473 | | | 6,434,277 | | | | 5,863,911 | |
Harborview Mortgage Loan Trust, | |
Series 2004-1, Class 2A | |
2.39% | | 04/19/343 | | | 20,950 | | | | 20,211 | |
Harborview Mortgage Loan Trust, | |
Series 2004-11, Class 3A2A | |
0.49% | | 01/19/353 | | | 833,053 | | | | 708,726 | |
Harborview Mortgage Loan Trust, | |
Series 2005-4, Class 2A | |
2.72% | | 07/19/353 | | | 896,368 | | | | 838,395 | |
Harborview Mortgage Loan Trust, | |
Series 2006-8, Class 2A1A | |
0.34% | | 07/21/363 | | | 390,278 | | | | 319,157 | |
| | | | | | | | | | |
| | | Maturity | | Principal | | | | |
| Issues | | Date | | Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
Harborview Mortgage Loan Trust, | |
Series 2007-7, Class 2A1A | |
1.16% | | 11/25/473 | | $ | 1,367,619 | | | $ | 1,236,877 | |
Home Equity Loan Trust, Series 2006-1, | |
Class A1 | |
0.31% | | 01/20/363 | | | 16,049,148 | | | | 15,989,542 | |
Home Equity Loan Trust, Series 2006-2, | |
Class A1 | |
0.30% | | 03/20/363 | | | 21,325,038 | | | | 21,207,217 | |
Home Equity Loan Trust, Series 2007-1, | |
Class AM | |
0.39% | | 03/20/363 | | | 1,713,257 | | | | 1,701,617 | |
Home Equity Loan Trust, Series 2007-3, | |
Class A4 | |
1.65% | | 11/20/363 | | | 13,120,000 | | | | 13,155,070 | |
Home Equity Loan Trust, Series 2007-3, | |
Class APT | |
1.35% | | 11/20/363 | | | 44,634,191 | | | | 44,716,362 | |
Homestar Mortgage Acceptance Corp., | |
Series 2004-5, Class A4 | |
0.72% | | 10/25/343 | | | 5,336,337 | | | | 5,368,985 | |
HSI Asset Securitization Corp. Trust, | |
Series 2006-OPT1, Class 2A3 | |
0.34% | | 12/25/353 | | | 16,323,750 | | | | 16,038,704 | |
Impac CMB Trust, Series 2005-1, Class 1A1 | |
0.68% | | 04/25/353 | | | 9,293,067 | | | | 8,630,415 | |
Impac Secured Assets Corp., CMN Owners | |
Trust, Series 2004-3, Class 1 | |
0.96% | | 11/25/343 | | | 1,339,290 | | | | 1,337,340 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2004-AR4, Class 1A | |
2.37% | | 08/25/343 | | | 2,578,989 | | | | 2,167,958 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2004-AR5, Class 2A1B | |
0.96% | | 08/25/343 | | | 39,413 | | | | 35,786 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2004-AR6, Class 6A1 | |
2.70% | | 10/25/343 | | | 327,559 | | | | 334,187 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2004-AR7, Class A2 | |
1.02% | | 09/25/343 | | | 123,377 | | | | 107,510 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2004-AR8, Class 2A2A | |
0.96% | | 11/25/343 | | | 91,847 | | | | 84,263 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2005-AR1, Class 4A1 | |
2.44% | | 03/25/353 | | | 2,563,741 | | | | 2,548,606 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2005-AR13, Class 4A1 | |
2.38% | | 08/25/353 | | | 204,250 | | | | 175,543 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2005-AR15, Class A1 | |
4.55% | | 09/25/353 | | | 998,128 | | | | 877,018 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2014 / 70
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | |
| | | Maturity | | Principal | | | | |
| Issues | | Date | | Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
IndyMac Index Mortgage Loan Trust, | |
Series 2005-AR17, Class 3A1 | |
2.34% | | 09/25/353 | | $ | 9,866,408 | | | $ | 8,517,236 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2005-AR18, Class 2A1A | |
0.46% | | 10/25/363 | | | 309,301 | | | | 234,944 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2005-AR25, Class 1A21 | |
4.86% | | 12/25/353 | | | 9,348,652 | | | | 7,648,684 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2005-AR31, Class 3A1 | |
2.43% | | 01/25/363 | | | 3,970,946 | | | | 3,480,292 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2005-AR6, Class 2A1 | |
0.40% | | 04/25/353 | | | 1,213,050 | | | | 1,143,222 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2006-AR14, Class 1A4A | |
0.32% | | 11/25/463 | | | 16,796,581 | | | | 15,830,576 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2006-AR19, Class 1A2 | |
2.67% | | 08/25/363 | | | 28,320,481 | | | | 20,273,981 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2006-AR21, Class A1 | |
0.28% | | 08/25/363 | | | 363,971 | | | | 275,714 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2006-AR4, Class A1A | |
0.36% | | 05/25/463 | | | 31,658,744 | | | | 27,226,520 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2006-AR7, Class 1A1 | |
2.90% | | 05/25/363 | | | 8,070,454 | | | | 6,123,642 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2006-AR8, Class A3A | |
0.38% | | 07/25/463 | | | 39,592,481 | | | | 31,197,450 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2007-AR1, Class 1A2 | |
2.83% | | 03/25/373 | | | 2,032,707 | | | | 1,892,005 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2007-AR11, Class 1A1 | |
2.35% | | 06/25/373 | | | 7,431,524 | | | | 4,950,993 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2007-AR5, Class 2A1 | |
2.66% | | 05/25/373 | | | 397,388 | | | | 301,446 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2007-AR7, Class 1A1 | |
2.80% | | 11/25/373 | | | 6,992,374 | | | | 6,727,332 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2007-AR9, Class 2A1 | |
2.69% | | 04/25/373 | | | 643,237 | | | | 450,735 | |
IndyMac Manufactured Housing Contract, | |
Series 1997-1, Class A3 | |
6.61% | | 02/25/28 | | | 254,149 | | | | 260,862 | |
| | | | | | | | | | |
| | | Maturity | | Principal | | | | |
| Issues | | Date | | Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
IndyMac Residential Asset-Backed Trust, | |
Series 2005-C, Class AI1 | |
0.42% | | 10/25/353 | | $ | 18,091,661 | | | $ | 17,923,616 | |
JPMorgan Alternative Loan Trust, | |
Series 2006-A2, Class 1A3 | |
0.32% | | 05/25/363 | | | 4,677,525 | | | | 4,461,152 | |
JPMorgan Alternative Loan Trust, | |
Series 2006-A2, Class 2A1 | |
2.67% | | 05/25/363 | | | 1,744,204 | | | | 1,386,686 | |
JPMorgan Alternative Loan Trust, | |
Series 2006-A2, Class 5A1 | |
4.93% | | 05/25/363 | | | 16,962,589 | | | | 13,458,950 | |
JPMorgan Alternative Loan Trust, | |
Series 2006-S4, Class A4 (STEP) | |
5.96% | | 12/25/36 | | | 38,700,000 | | | | 31,917,786 | |
JPMorgan Mortgage Acquisition Corp., | |
Series 2006-WF1, Class A6 (STEP) | |
6.00% | | 07/25/36 | | | 6,370,537 | | | | 3,935,304 | |
JPMorgan Mortgage Acquisition Corp., | |
Series 2007-CH3, Class A4 | |
0.36% | | 03/25/373 | | | 3,566,818 | | | | 3,158,293 | |
JPMorgan Mortgage Acquisition Corp., | |
Series 2007-HE1, Class AF1 | |
0.26% | | 03/25/473 | | | 275,352 | | | | 189,400 | |
JPMorgan Mortgage Acquisition Corp., | |
Series 2007-HE1, Class AF2 (STEP) | |
5.47% | | 03/25/47 | | | 9,480,000 | | | | 7,136,146 | |
JPMorgan Mortgage Acquisition Corp., | |
Series 2007-HE1, Class AF3 (STEP) | |
5.47% | | 03/25/47 | | | 10,000,000 | | | | 7,526,580 | |
JPMorgan Mortgage Acquisition Corp., | |
Series 2007-HE1, Class AF4 (STEP) | |
5.47% | | 03/25/47 | | | 5,000,000 | | | | 3,761,815 | |
JPMorgan Mortgage Acquisition Corp., | |
Series 2007-HE1, Class AV4 | |
0.44% | | 03/25/473 | | | 90,000 | | | | 54,639 | |
JPMorgan Mortgage Trust, Series 2003-A2, | |
Class 2A3 | |
1.94% | | 11/25/333 | | | 388,140 | | | | 378,626 | |
JPMorgan Mortgage Trust, Series 2004-A4, | |
Class 1A3 | |
2.56% | | 09/25/343 | | | 2,282,005 | | | | 2,370,381 | |
JPMorgan Mortgage Trust, Series 2005-A3, | |
Class 5A3 | |
2.72% | | 06/25/353 | | | 255,411 | | | | 239,591 | |
JPMorgan Mortgage Trust, Series 2005-A5, | |
Class TA1 | |
5.24% | | 08/25/353 | | | 376,524 | | | | 371,644 | |
JPMorgan Mortgage Trust, Series 2005-S2, | |
Class 4A3 | |
5.50% | | 09/25/20 | | | 9,400,145 | | | | 10,071,757 | |
See accompanying notes to Schedule of Portfolio Investments.
71 / Semi-Annual Report September 2014
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
JPMorgan Mortgage Trust, Series 2006-A2, | |
Class 5A3 | |
2.52% | | 11/25/333 | | $ | 25,051 | | | $ | 25,257 | |
JPMorgan Mortgage Trust, Series 2006-A3, | |
Class 2A1 | |
2.67% | | 05/25/363 | | | 2,740,663 | | | | 2,302,606 | |
JPMorgan Mortgage Trust, Series 2006-A3, | |
Class 3A3 | |
2.61% | | 05/25/363 | | | 2,171,024 | | | | 1,953,666 | |
JPMorgan Mortgage Trust, Series 2006-A4, | |
Class 1A1 | |
2.60% | | 06/25/363 | | | 1,679,122 | | | | 1,459,352 | |
JPMorgan Mortgage Trust, Series 2006-A4, | |
Class 1A4 | |
2.60% | | 06/25/363 | | | 5,412,954 | | | | 4,676,203 | |
JPMorgan Mortgage Trust, Series 2006-A5, | |
Class 2A4 | |
2.56% | | 08/25/363 | | | 1,249,390 | | | | 1,083,255 | |
JPMorgan Mortgage Trust, Series 2007-A1, | |
Class 5A2 | |
2.62% | | 07/25/353 | | | 6,436,170 | | | | 6,575,017 | |
JPMorgan Mortgage Trust, Series 2007-A3, | |
Class 2A3 | |
2.54% | | 05/25/373 | | | 7,847,120 | | | | 6,846,573 | |
JPMorgan Mortgage Trust, Series 2007-A3, | |
Class 3A2 | |
4.94% | | 05/25/373 | | | 773,569 | | | | 730,815 | |
JPMorgan Mortgage Trust, Series 2007-A4, | |
Class 2A3 | |
2.66% | | 06/25/373 | | | 1,503,690 | | | | 1,380,139 | |
JPMorgan Resecuritization Trust, | |
Series 2010-1, Class 1A1 | |
6.00% | | 02/26/372 | | | 807,082 | | | | 817,849 | |
JPMorgan Resecuritization Trust, | |
Series 2010-4, Class 1A1 | |
2.61% | | 07/26/362,3 | | | 439,044 | | | | 442,756 | |
Lehman ABS Manufactured Housing Contract | |
Trust, Series 2001-B, Class A4 | |
5.27% | | 04/15/40 | | | 27,994 | | | | 30,200 | |
Lehman ABS Manufactured Housing Contract | |
Trust, Series 2001-B, Class A6 | |
6.47% | | 04/15/403 | | | 8,108,910 | | | | 8,940,978 | |
Lehman XS Trust, Series 2005-5N, | |
Class 3A1A | |
0.46% | | 11/25/353 | | | 23,750,982 | | | | 21,369,590 | |
Lehman XS Trust, Series 2006-13, | |
Class 1A2 | |
0.32% | | 09/25/363 | | | 40,039,662 | | | | 33,741,383 | |
Lehman XS Trust, Series 2006-14N, | |
Class 3A2 | |
0.28% | | 08/25/363 | | | 226,185 | | | | 176,997 | |
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
Lehman XS Trust, Series 2006-16N, | |
Class A4A | |
0.34% | | 11/25/463 | | $ | 638,139 | | | $ | 528,315 | |
Lehman XS Trust, Series 2006-19, | |
Class A2 | |
0.32% | | 12/25/363 | | | 27,932,351 | | | | 23,010,978 | |
Lehman XS Trust, Series 2006-9, | |
Class A1B | |
0.32% | | 05/25/463 | | | 49,719,126 | | | | 41,277,813 | |
Long Beach Mortgage Loan Trust, | |
Series 2004-4, Class M1 | |
1.06% | | 10/25/343 | | | 75,000 | | | | 71,496 | |
MASTR Adjustable Rate Mortgages Trust, | |
Series 2003-6, Class 4A2 | |
2.67% | | 01/25/343 | | | 178,207 | | | | 175,736 | |
MASTR Adjustable Rate Mortgages Trust, | |
Series 2003-7, Class 3A1 | |
2.07% | | 11/25/333 | | | 2,270,355 | | | | 2,317,979 | |
MASTR Adjustable Rate Mortgages Trust, | |
Series 2004-13, Class 3A1 | |
2.64% | | 11/21/343 | | | 18,767,804 | | | | 19,094,917 | |
MASTR Adjustable Rate Mortgages Trust, | |
Series 2004-15, Class 9A1 | |
2.68% | | 10/25/343 | | | 2,097,306 | | | | 2,023,774 | |
MASTR Adjustable Rate Mortgages Trust, | |
Series 2004-5, Class 3A1 | |
2.59% | | 06/25/343 | | | 688 | | | | 665 | |
MASTR Adjustable Rate Mortgages Trust, | |
Series 2004-8, Class 2A1 | |
2.47% | | 09/25/343 | | | 6,802,360 | | | | 6,668,954 | |
MASTR Alternative Loan Trust, | |
Series 2004-6, Class 3A1 | |
4.75% | | 07/25/19 | | | 4,189,176 | | | | 4,346,707 | |
MASTR Asset Securitization Trust, | |
Series 2002-8, Class 1A1 | |
5.50% | | 12/25/17 | | | 22,439 | | | | 23,035 | |
MASTR Asset Securitization Trust, | |
Series 2003-8, Class 3A12 | |
5.25% | | 09/25/33 | | | 2,069,338 | | | | 2,246,495 | |
MASTR Asset Securitization Trust, | |
Series 2004-3, Class 3A2 | |
4.50% | | 03/25/19 | | | 1,682,931 | | | | 1,740,628 | |
MASTR Asset-Backed Securities Trust, | |
Series 2006-HE4, Class A3 | |
0.30% | | 11/25/363 | | | 20,805,025 | | | | 9,825,217 | |
MASTR Asset-Backed Securities Trust, | |
Series 2006-HE4, Class A4 | |
0.36% | | 11/25/363 | | | 5,779,174 | | | | 2,755,247 | |
MASTR Asset-Backed Securities Trust, | |
Series 2007-HE1, Class A3 | |
0.36% | | 05/25/373 | | | 26,441,000 | | | | 18,999,017 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2014 / 72
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
MASTR Seasoned Securities Trust, | |
Series 2004-1, Class 4A1 | |
2.53% | | 10/25/323 | | $ | 37,051 | | | $ | 37,145 | |
Mellon Residential Funding Corp., | |
Series 2001-TBC1, Class A1 | |
0.86% | | 11/15/313 | | | 3,995,460 | | | | 4,005,417 | |
Merrill Lynch First Franklin Mortgage Loan | |
Trust, Series 2006-FF13, Class A2C | |
0.32% | | 10/25/363 | | | 5,918,714 | | | | 4,746,279 | |
Merrill Lynch First Franklin Mortgage Loan | |
Trust, Series 2007-1, Class A2B | |
0.32% | | 04/25/373 | | | 17,053,955 | | | | 10,102,098 | |
Merrill Lynch First Franklin Mortgage Loan | |
Trust, Series 2007-1, Class A2C | |
0.40% | | 04/25/373 | | | 40,900,222 | | | | 24,541,687 | |
Merrill Lynch First Franklin Mortgage Loan | |
Trust, Series 2007-2, Class A2B | |
0.32% | | 05/25/373 | | | 15,818,993 | | | | 9,416,762 | |
Merrill Lynch First Franklin Mortgage Loan | |
Trust, Series 2007-2, Class A2C | |
0.40% | | 05/25/373 | | | 51,130,301 | | | | 29,899,704 | |
Merrill Lynch First Franklin Mortgage Loan | |
Trust, Series 2007-2, Class A2D | |
0.48% | | 05/25/373 | | | 26,816,123 | | | | 16,330,804 | |
Merrill Lynch First Franklin Mortgage Loan | |
Trust, Series 2007-3, Class A2C | |
0.34% | | 06/25/373 | | | 22,148,751 | | | | 14,892,774 | |
Merrill Lynch First Franklin Mortgage Loan | |
Trust, Series 2007-3, Class A2D | |
0.40% | | 06/25/373 | | | 32,913,485 | | | | 22,721,067 | |
Merrill Lynch First Franklin Mortgage Loan | |
Trust, Series 2007-4, Class 2A3 | |
0.32% | | 07/25/373 | | | 36,177,689 | | | | 23,102,168 | |
Merrill Lynch Mortgage Investors, Inc., | |
Series 2003-A6, Class 2A | |
2.57% | | 10/25/333 | | | 1,402,953 | | | | 1,373,488 | |
Merrill Lynch Mortgage Investors, Inc., | |
Series 2004-A4, Class A1 | |
2.46% | | 08/25/343 | | | 5,064,705 | | | | 5,238,911 | |
Merrill Lynch Mortgage Investors, Inc., | |
Series 2005-A10, Class A | |
0.36% | | 02/25/363 | | | 29,386 | | | | 26,684 | |
Merrill Lynch Mortgage Investors, Inc., | |
Series 2006-WMC2, Class A2B (STEP) | |
4.58% | | 03/25/37 | | | 38,503,007 | | | | 16,976,906 | |
Merrill Lynch Mortgage Investors, Inc., | |
Series 2006-WMC2, Class A2D (STEP) | |
4.58% | | 03/25/37 | | | 29,058,392 | | | | 12,812,894 | |
Merrill Lynch Mortgage Investors, Inc., | |
Series 2007-2, Class 1A1 | |
2.51% | | 08/25/363 | | | 14,963,203 | | | | 13,905,140 | |
Mid-State Trust, Series 11, Class A1 | |
4.86% | | 07/15/38 | | | 385,091 | | | | 413,269 | |
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
Mid-State Trust, Series 2004-1, Class A | |
6.00% | | 08/15/37 | | $ | 559,346 | | | $ | 589,666 | |
Mid-State Trust, Series 2005-1, Class A | |
5.74% | | 01/15/40 | | | 25,237,915 | | | | 27,416,237 | |
Mid-State Trust, Series 2006-1, Class A | |
5.79% | | 10/15/402 | | | 17,244,855 | | | | 18,283,840 | |
Mid-State Trust, Series 6, Class A1 | |
7.34% | | 07/01/35 | | | 122,188 | | | | 131,936 | |
Mid-State Trust, Series 6, Class A2 | |
7.40% | | 07/01/35 | | | 7,637 | | | | 8,204 | |
Morgan Stanley Capital I Trust, | |
Series 2005-HE3, Class M2 | |
0.94% | | 07/25/353 | | | 56,871 | | | | 55,738 | |
Morgan Stanley Capital I Trust, | |
Series 2006-NC1, Class A4 | |
0.46% | | 12/25/353 | | | 27,508,112 | | | | 26,370,019 | |
Morgan Stanley Home Equity Loan Trust, | |
Series 2005-04, Class A1 | |
0.40% | | 09/25/353 | | | 12,422,566 | | | | 12,384,342 | |
Morgan Stanley Home Equity Loan Trust, | |
Series 2005-3, Class M1 | |
0.60% | | 08/25/353 | | | 30,772 | | | | 30,792 | |
Morgan Stanley Mortgage Loan Trust, | |
Series 2004-11AR, Class 1A1 | |
0.48% | | 01/25/353 | | | 488,287 | | | | 467,935 | |
Morgan Stanley Mortgage Loan Trust, | |
Series 2004-3, Class 2A2 | |
5.50% | | 04/25/34 | | | 588,952 | | | | 615,519 | |
Morgan Stanley Mortgage Loan Trust, | |
Series 2004-7AR, Class 2A4 | |
2.02% | | 09/25/343 | | | 3,050,235 | | | | 2,959,463 | |
Morgan Stanley Mortgage Loan Trust, | |
Series 2004-8AR, Class 4A1 | |
2.43% | | 10/25/343 | | | 273,234 | | | | 271,529 | |
Morgan Stanley Mortgage Loan Trust, | |
Series 2005-2AR, Class A | |
0.42% | | 04/25/353 | | | 11,446,398 | | | | 10,708,056 | |
Morgan Stanley Mortgage Loan Trust, | |
Series 2006-7, Class 5A2 | |
5.96% | | 06/25/363 | | | 253,496 | | | | 148,129 | |
Morgan Stanley Mortgage Loan Trust, | |
Series 2007-6XS, Class 1A2S (STEP) | |
5.50% | | 02/25/47 | | | 723,466 | | | | 718,361 | |
Morgan Stanley Mortgage Loan Trust, | |
Series 2007-7AX, Class 2A1 | |
0.28% | | 04/25/373 | | | 7,492,986 | | | | 4,209,987 | |
Morgan Stanley Reremic Trust, | |
Series 2014-R4, Class 2A | |
2.45% | | 11/26/352,3 | | | 10,096,280 | | | | 10,198,184 | |
Morgan Stanley Resecuritization Trust, | |
Series 2010-R4, Class 1B | |
0.48% | | 01/26/362,3 | | | 8,816,012 | | | | 8,752,449 | |
See accompanying notes to Schedule of Portfolio Investments.
73 / Semi-Annual Report September 2014
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
Morgan Stanley Resecuritization Trust, | |
Series 2013-R9, Class 3A | |
2.38% | | 06/26/462,3 | | $ | 18,678,737 | | | $ | 18,927,902 | |
Morgan Stanley Resecuritization Trust, | |
Series 2014-R2, Class 1A | |
0.94% | | 12/26/462,3 | | | 39,054,504 | | | | 37,877,678 | |
MortgageIT Trust, Series 2005-1, Class 1A1 | |
0.48% | | 02/25/353 | | | 9,313,066 | | | | 8,953,441 | |
MortgageIT Trust, Series 2005-4, Class A1 | |
0.44% | | 10/25/353 | | | 13,894,312 | | | | 12,844,347 | |
MortgageIT Trust, Series 2005-5, Class A1 | |
0.42% | | 12/25/353 | | | 2,748,559 | | | | 2,573,118 | |
Nationstar Home Equity Loan Trust, | |
Series 2007-C, Class 2AV4 | |
0.40% | | 06/25/373 | | | 7,955,000 | | | | 5,732,803 | |
New Century Home Equity Loan Trust, | |
Series 2003-6, Class M1 | |
1.24% | | 01/25/343 | | | 47,737 | | | | 42,903 | |
New Century Home Equity Loan Trust, | |
Series 2005-2, Class M1 | |
0.58% | | 06/25/353 | | | 60,957 | | | | 60,263 | |
New Century Home Equity Loan Trust, | |
Series 2005-4, Class M1 | |
0.64% | | 09/25/353 | | | 36,420,000 | | | | 35,432,818 | |
Newcastle Mortgage Securities Trust, | |
Series 2006-1, Class A4 | |
0.44% | | 03/25/363 | | | 71,929,000 | | | | 71,605,841 | |
Nomura Resecuritization Trust, | |
Series 2011-4RA, Class 1A1 | |
2.21% | | 12/26/362,3 | | | 35,566,505 | | | | 35,681,172 | |
Nomura Resecuritization Trust, | |
Series 2011-4RA, Class 2A1 | |
2.06% | | 06/26/372,3 | | | 12,946,136 | | | | 12,879,476 | |
Nomura Resecuritization Trust, | |
Series 2013-1R, Class 2A1 | |
0.30% | | 11/26/362,3 | | | 18,121,593 | | | | 17,336,160 | |
Nomura Resecuritization Trust, | |
Series 2013-1R, Class 3A1 | |
0.32% | | 10/26/362,3 | | | 13,150,111 | | | | 12,793,854 | |
Nomura Resecuritization Trust, | |
Series 2014-4R, Class 1A1 | |
2.23% | | 01/25/362,3 | | | 27,267,210 | | | | 27,694,106 | |
Nomura Resecuritization Trust, | |
Series 2014-4R, Class 3A1 | |
0.32% | | 09/25/362,3 | | | 13,713,243 | | | | 13,209,365 | |
Option One Mortgage Loan Trust, | |
Series 2005-4, Class A3 | |
0.42% | | 11/25/353 | | | 33,239 | | | | 32,839 | |
Option One Mortgage Loan Trust, | |
Series 2005-5, Class A3 | |
0.36% | | 12/25/353 | | | 41,929 | | | | 41,708 | |
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
Ownit Mortgage Loan Asset-Backed | |
Certificates, Series 2006-4, Class A2D | |
0.40% | | 05/25/373 | | $ | 34,441,935 | | | $ | 23,134,579 | |
Park Place Securities, Inc., | |
Series 2005-WHQ4, Class A1A | |
0.42% | | 09/25/353 | | | 53,655,138 | | | | 53,585,427 | |
Popular ABS Mortgage Pass-Through Trust, | |
Series 2005-6, Class A5 (STEP) | |
4.37% | | 01/25/36 | | | 22,910,000 | | �� | | 17,443,117 | |
Popular ABS Mortgage Pass-Through Trust, | |
Series 2006-D, Class A3 | |
0.42% | | 11/25/463 | | | 85,000 | | | | 74,753 | |
Popular ABS Mortgage Pass-Through Trust, | |
Series 2007-A, Class A3 | |
0.46% | | 06/25/473 | | | 23,015,500 | | | | 15,932,733 | |
Provident Funding Mortgage Loan Trust, | |
Series 2003-1, Class A | |
2.50% | | 08/25/333 | | | 1,380,503 | | | | 1,441,273 | |
Residential Accredit Loans, Inc., | |
Series 2003-QS3, Class A4 | |
5.50% | | 02/25/18 | | | 121,668 | | | | 124,347 | |
Residential Accredit Loans, Inc., | |
Series 2005-QA10, Class A31 | |
3.57% | | 09/25/353 | | | 1,103,979 | | | | 937,722 | |
Residential Accredit Loans, Inc., | |
Series 2005-QA12, Class CB1 | |
3.45% | | 12/25/353 | | | 7,496,414 | | | | 5,599,806 | |
Residential Accredit Loans, Inc., | |
Series 2005-QA4, Class A41 | |
2.94% | | 04/25/353 | | | 7,247,865 | | | | 7,207,205 | |
Residential Accredit Loans, Inc., | |
Series 2005-QA7, Class A1 | |
5.97% | | 07/25/353 | | | 6,918,732 | | | | 5,509,027 | |
Residential Accredit Loans, Inc., | |
Series 2005-QA8, Class CB21 | |
3.18% | | 07/25/353 | | | 5,992,893 | | | | 5,003,108 | |
Residential Accredit Loans, Inc., | |
Series 2005-QA9, Class CB11 | |
3.04% | | 08/25/353 | | | 12,553,150 | | | | 10,725,867 | |
Residential Accredit Loans, Inc., | |
Series 2005-QO4, Class 2A1 | |
0.44% | | 12/25/453 | | | 2,514,668 | | | | 1,872,143 | |
Residential Accredit Loans, Inc., | |
Series 2005-QO5, Class A1 | |
1.12% | | 01/25/463 | | | 13,786,681 | | | | 10,135,100 | |
Residential Accredit Loans, Inc., | |
Series 2006-Q09, Class 1A2A | |
0.30% | | 12/25/463 | | | 767,067 | | | | 768,730 | |
Residential Accredit Loans, Inc., | |
Series 2006-QA1, Class A11 | |
3.24% | | 01/25/363 | | | 210,746 | | | | 167,745 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2014 / 74
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
Residential Accredit Loans, Inc., | |
Series 2006-QA1, Class A21 | |
3.73% | | 01/25/363 | | $ | 4,752,250 | | | $ | 3,847,242 | |
Residential Accredit Loans, Inc., | |
Series 2006-QS10, Class AV (IO) | |
0.56% | | 08/25/363,6 | | | 61,990,913 | | | | 1,605,596 | |
Residential Accredit Loans, Inc., | |
Series 2006-QS12, Class 2A9 | |
0.54% | | 09/25/363 | | | 561,734 | | | | 384,249 | |
Residential Accredit Loans, Inc., | |
Series 2006-QS2, Class 1AV (IO) | |
0.48% | | 02/25/363,6 | | | 217,783,381 | | | | 4,132,331 | |
Residential Accredit Loans, Inc., | |
Series 2006-QS7, Class AV (IO) | |
0.65% | | 06/25/363,6 | | | 109,869,919 | | | | 3,575,931 | |
Residential Accredit Loans, Inc., | |
Series 2006-QS8, Class AV (IO) | |
0.77% | | 08/25/363,6 | | | 268,306,425 | | | | 8,574,389 | |
Residential Accredit Loans, Inc., | |
Series 2007-QS10, Class AV (IO) | |
0.46% | | 09/25/373,6 | | | 165,150,227 | | | | 3,026,378 | |
Residential Accredit Loans, Inc., | |
Series 2007-QS4, Class 3AV (IO) | |
0.38% | | 03/25/373,6 | | | 102,436,822 | | | | 1,526,411 | |
Residential Accredit Loans, Inc., | |
Series 2007-QS5, Class AV (IO) | |
0.25% | | 03/25/373,6 | | | 130,550,584 | | | | 1,215,948 | |
Residential Accredit Loans, Inc., | |
Series 2007-QS6, Class AV (IO) | |
0.32% | | 04/25/373,6 | | | 281,232,530 | | | | 4,192,333 | |
Residential Accredit Loans, Inc., | |
Series 2007-QS7, Class 2AV (IO) | |
0.37% | | 06/25/373,6 | | | 84,256,684 | | | | 1,185,871 | |
Residential Accredit Loans, Inc., | |
Series 2007-QS8, Class AV (IO) | |
0.39% | | 06/25/373,6 | | | 221,353,969 | | | | 3,355,948 | |
Residential Asset Mortgage Products, Inc., | |
Series 2003-RS10, Class AI6 (STEP) | |
5.86% | | 11/25/33 | | | 575,965 | | | | 612,940 | |
Residential Asset Mortgage Products, Inc., | |
Series 2003-RS11, Class AI6A (STEP) | |
5.98% | | 12/25/33 | | | 302,610 | | | | 328,946 | |
Residential Asset Mortgage Products, Inc., | |
Series 2003-RS9, Class AI6A (STEP) | |
6.01% | | 10/25/33 | | | 32,379 | | | | 32,225 | |
Residential Asset Mortgage Products, Inc., | |
Series 2004-RS12, Class AI6 | |
4.55% | | 12/25/34 | | | 24,537 | | | | 24,907 | |
Residential Asset Mortgage Products, Inc., | |
Series 2004-RS12, Class MII2 | |
1.36% | | 12/25/343 | | | 751,068 | | | | 743,696 | |
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
Residential Asset Mortgage Products, Inc., | |
Series 2004-SL1, Class A8 | |
6.50% | | 11/25/31 | | $ | 87,685 | | | $ | 90,622 | |
Residential Asset Mortgage Products, Inc., | |
Series 2004-SL3, Class A2 | |
6.50% | | 12/25/31 | | | 75,340 | | | | 79,809 | |
Residential Asset Mortgage Products, Inc., | |
Series 2004-SL3, Class A4 | |
8.50% | | 12/25/31 | | | 44,359 | | | | 41,501 | |
Residential Asset Securities Corp., | |
Series 2004-IP2, Class 1A1 | |
2.45% | | 12/25/343 | | | 457,935 | | | | 458,004 | |
Residential Asset Securities Corp., | |
Series 2004-IP2, Class 2A1 | |
2.49% | | 12/25/343 | | | 56,085 | | | | 57,301 | |
Residential Asset Securities Corp., | |
Series 2004-IP2, Class 3A1 | |
2.47% | | 12/25/343 | | | 1,262,650 | | | | 1,275,360 | |
Residential Asset Securities Corp., | |
Series 2006-A7CB, Class 1A3 | |
6.25% | | 07/25/36 | | | 4,595,431 | | | | 4,128,959 | |
Residential Funding Mortgage Securities I, | |
Inc., Series 2005-SA5, Class 1A | |
2.85% | | 11/25/353 | | | 13,248,888 | | | | 11,051,613 | |
Residential Funding Mortgage Securities I, | |
Inc., Series 2006-SA3, Class 3A1 | |
3.80% | | 09/25/363 | | | 2,557,489 | | | | 2,249,570 | |
Residential Funding Mortgage Securities I, | |
Inc., Series 2006-SA3, Class 4A1 | |
6.11% | | 09/25/363 | | | 915,916 | | | | 787,875 | |
Residential Funding Mortgage Securities I, | |
Inc., Series 2006-SA4, Class 2A1 | |
3.53% | | 11/25/363 | | | 239,087 | | | | 209,184 | |
Residential Funding Mortgage Securities I, | |
Inc., Series 2007-SA2, Class 2A2 | |
3.04% | | 04/25/373 | | | 4,942,045 | | | | 4,367,814 | |
Residential Funding Mortgage Securities II, | |
Inc., Series 1999-HI6, Class AI7 (STEP) | |
8.60% | | 09/25/29 | | | 66,789 | | | | 66,852 | |
Residential Funding Mortgage Securities II, | |
Inc., Series 2000-HI1, Class AI7 (STEP) | |
8.29% | | 02/25/25 | | | 52,747 | | | | 52,667 | |
Residential Funding Mortgage Securities | |
Trust, Series 1999-HI1, Class A6 (STEP) | |
7.58% | | 09/25/29 | | | 2,583 | | | | 2,584 | |
Residential Funding Mortgage Securities | |
Trust, Series 2003-S7, Class A7 | |
5.50% | | 05/25/33 | | | 2,212,830 | | | | 2,357,199 | |
Residential Funding Mortgage Securities | |
Trust, Series 2004-S2, Class A9 | |
5.50% | | 03/25/34 | | | 1,303,002 | | | | 1,340,198 | |
See accompanying notes to Schedule of Portfolio Investments.
75 / Semi-Annual Report September 2014
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
Residential Funding Mortgage Securities | |
Trust, Series 2004-S6, Class 1A6 | |
5.50% | | 06/25/34 | | $ | 868,897 | | | $ | 889,165 | |
Saxon Asset Securities Trust, Series 2001-2, | |
Class AF6 (STEP) | |
6.81% | | 06/25/16 | | | 19,141 | | | | 20,503 | |
Saxon Asset Securities Trust, Series 2005-2, | |
Class M1 | |
0.58% | | 10/25/353 | | | 18,577,025 | | | | 18,518,192 | |
Saxon Asset Securities Trust, Series 2007-1, | |
Class A2C | |
0.30% | | 01/25/473 | | | 13,135,000 | | | | 10,766,359 | |
Saxon Asset Securities Trust, Series 2007-3, | |
Class 2A3 | |
0.56% | | 09/25/473 | | | 32,174,000 | | | | 24,378,658 | |
Sequoia Mortgage Trust, Series 2004-3, | |
Class A | |
0.83% | | 05/20/343 | | | 1,403,741 | | | | 1,356,032 | |
SG Mortgage Securities Trust, | |
Series 2006-FRE1, Class A1B | |
0.42% | | 02/25/363 | | | 1,839,903 | | | | 1,331,503 | |
SG Mortgage Securities Trust, | |
Series 2007-NC1, Class A2 | |
0.40% | | 12/25/362,3 | | | 13,061,221 | | | | 8,297,310 | |
Soundview Home Equity Loan Trust, | |
Series 2006-1, Class A3 | |
0.34% | | 02/25/363 | | | 9,236,317 | | | | 9,090,397 | |
Soundview Home Equity Loan Trust, | |
Series 2006-EQ1, Class A4 | |
0.40% | | 10/25/363 | | | 14,062,000 | | | | 9,730,074 | |
Soundview Home Equity Loan Trust, | |
Series 2006-WF2, Class A2C | |
0.30% | | 12/25/363 | | | 30,431,936 | | | | 29,994,122 | |
Structured Adjustable Rate Mortgage Loan | |
Trust, Series 2004-1, Class 3A3 | |
2.52% | | 02/25/343 | | | 45,396 | | | | 45,998 | |
Structured Adjustable Rate Mortgage Loan | |
Trust, Series 2004-12, Class 2A | |
2.41% | | 09/25/343 | | | 24,763,713 | | | | 24,948,896 | |
Structured Adjustable Rate Mortgage Loan | |
Trust, Series 2004-14, Class 1A | |
2.49% | | 10/25/343 | | | 361,363 | | | | 360,987 | |
Structured Adjustable Rate Mortgage Loan | |
Trust, Series 2004-14, Class 2A | |
2.38% | | 10/25/343 | | | 29,287,578 | | | | 29,769,021 | |
Structured Adjustable Rate Mortgage Loan | |
Trust, Series 2004-15, Class A | |
2.48% | | 10/25/343 | | | 5,018,003 | | | | 4,859,406 | |
Structured Adjustable Rate Mortgage Loan | |
Trust, Series 2004-16, Class 3A1 | |
2.48% | | 11/25/343 | | | 22,042,788 | | | | 22,333,378 | |
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
Structured Adjustable Rate Mortgage Loan | |
Trust, Series 2004-17, Class A1 | |
1.01% | | 11/25/343 | | $ | 103,985 | | | $ | 96,508 | |
Structured Adjustable Rate Mortgage Loan | |
Trust, Series 2004-20, Class 1A2 | |
2.50% | | 01/25/353 | | | 1,576,373 | | | | 1,525,848 | |
Structured Adjustable Rate Mortgage Loan | |
Trust, Series 2005-12, Class 3A1 | |
2.40% | | 06/25/353 | | | 5,792,070 | | | | 5,474,421 | |
Structured Adjustable Rate Mortgage Loan | |
Trust, Series 2007-9, Class 2A1 | |
2.72% | | 10/25/473 | | | 1,769,681 | | | | 1,401,769 | |
Structured Asset Investment Loan Trust, | |
Series 2006-1, Class A3 | |
0.36% | | 01/25/363 | | | 12,571,484 | | | | 12,270,749 | |
Structured Asset Mortgage Investments, Inc., | |
Series 2006-AR3, Class 24A1 | |
2.35% | | 05/25/363 | | | 804,827 | | | | 555,260 | |
Structured Asset Mortgage Investments, Inc., | |
Series 2007-AR3, Class 1A2 | |
0.32% | | 04/25/373 | | | 2,198,294 | | | | 2,222,814 | |
Structured Asset Mortgage Investments, Inc., | |
Series 2007-AR6, Class A1 | |
1.62% | | 08/25/473 | | | 136,295,244 | | | | 122,791,384 | |
Structured Asset Securities Corp. Mortgage | |
Pass-Through Certificates, Series | |
2004-23XS, Class 2A1 | |
0.46% | | 01/25/353 | | | 5,005,751 | | | | 4,637,008 | |
Structured Asset Securities Corp. Trust, | |
Series 2005-5, Class 2A4 | |
5.50% | | 04/25/35 | | | 9,047,222 | | | | 9,071,794 | |
Structured Asset Securities Corp., | |
Series 1997-2, Class 2A4 | |
7.25% | | 03/28/30 | | | 2,990 | | | | 3,026 | |
Structured Asset Securities Corp., | |
Series 2001-15A, Class 4A1 | |
2.18% | | 10/25/313 | | | 11,168 | | | | 11,251 | |
Structured Asset Securities Corp., | |
Series 2003-26A, Class 3A5 | |
2.43% | | 09/25/333 | | | 529,078 | | | | 532,961 | |
Structured Asset Securities Corp., | |
Series 2003-34A, Class 5A4 | |
2.45% | | 11/25/333 | | | 4,096,170 | | | | 4,141,699 | |
Structured Asset Securities Corp., | |
Series 2005-17, Class 4A4 | |
5.50% | | 10/25/35 | | | 9,248,684 | | | | 9,422,173 | |
Structured Asset Securities Corp., | |
Series 2005-WF4, Class A4 | |
0.52% | | 11/25/353 | | | 5,947,102 | | | | 5,947,394 | |
Structured Asset Securities Corp., | |
Series 2006-BC5, Class A3 | |
0.28% | | 12/25/363 | | | 8,695,380 | | | | 8,659,668 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2014 / 76
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
Structured Asset Securities Corp., | |
Series 2006-WF1, Class A5 | |
0.46% | | 02/25/363 | | $ | 14,343,463 | | | $ | 14,120,652 | |
Structured Asset Securities Corp., | |
Series 2006-WF2, Class A3 | |
0.30% | | 07/25/363 | | | 6,835,205 | | | | 6,796,505 | |
Structured Asset Securities Corp., | |
Series 2006-WF2, Class A4 | |
0.46% | | 07/25/363 | | | 43,826,000 | | | | 41,199,289 | |
Structured Asset Securities Corp., | |
Series 2006-WF3, Class A1 | |
0.30% | | 09/25/363 | | | 27,076,761 | | | | 26,533,136 | |
Structured Asset Securities Corp., | |
Series 2006-WF3, Class A3 | |
0.30% | | 09/25/363 | | | 3,982,877 | | | | 3,926,794 | |
Structured Asset Securities Corp., | |
Series 2007-BC4, Class A3 | |
0.40% | | 11/25/373 | | | 4,821,581 | | | | 4,769,383 | |
Suntrust Adjustable Rate Mortgage Loan | |
Trust, Series 2007-3, Class 1A1 | |
2.59% | | 06/25/373 | | | 13,897,624 | | | | 12,728,598 | |
Thornburg Mortgage Securities Trust, | |
Series 2004-4, Class 2A | |
2.04% | | 12/25/443 | | | 345,801 | | | | 337,679 | |
Vanderbilt Acquisition Loan Trust, | |
Series 2002-1, Class A4 | |
6.57% | | 05/07/273 | | | 1,912,238 | | | | 1,996,445 | |
Wachovia Bank Commercial Mortgage Trust, | |
Series 2006-AMN1, Class A3 | |
0.40% | | 08/25/363 | | | 1,830,128 | | | | 1,202,587 | |
WaMu Alternative Mortgage Pass-Through | |
Certificates, Series 2005-3, Class 2A3 | |
0.70% | | 05/25/353 | | | 7,521,276 | | | | 6,198,359 | |
WaMu Alternative Mortgage Pass-Through | |
Certificates, Series 2005-4, Class CB13 | |
0.66% | | 06/25/353 | | | 13,585,228 | | | | 10,602,157 | |
WaMu Alternative Mortgage Pass-Through | |
Certificates, Series 2006-AR2, Class A1A | |
1.06% | | 04/25/463 | | | 17,684,053 | | | | 14,323,022 | |
WaMu Alternative Mortgage Pass-Through | |
Certificates, Series 2006-AR3, Class A1A | |
1.09% | | 05/25/463 | | | 32,081,081 | | | | 24,899,860 | |
WaMu Alternative Mortgage Pass-Through | |
Certificates, Series 2006-AR7, Class A1A | |
1.04% | | 09/25/463 | | | 8,754,780 | | | | 5,916,664 | |
WaMu Alternative Mortgage Pass-Through | |
Certificates, Series 2007-1, Class 2A1 | |
6.00% | | 01/25/22 | | | 760,947 | | | | 744,679 | |
WaMu Alternative Mortgage Pass-Through | |
Certificates, Series 2007-OA1, Class 2A | |
0.84% | | 12/25/463 | | | 8,839,358 | | | | 6,360,864 | |
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
WaMu Alternative Mortgage Pass-Through | |
Certificates, Series 2007-OA2, Class 2A | |
0.82% | | 01/25/473 | | $ | 21,373,164 | | | $ | 15,785,001 | |
WaMu Alternative Mortgage Pass-Through | |
Certificates, Series 2007-OA3, Class 2A | |
0.87% | | 02/25/473 | | | 41,935,551 | | | | 30,123,816 | |
WaMu Alternative Mortgage Pass-Through | |
Certificates, Series 2007-OA3, Class 4A1 | |
0.89% | | 04/25/473 | | | 2,647,069 | | | | 2,164,294 | |
WaMu Asset-Backed Certificates, | |
Series 2007-HE1, Class 2A2 | |
0.26% | | 01/25/373 | | | 5,876,878 | | | | 3,478,912 | |
WaMu Asset-Backed Certificates, | |
Series 2007-HE1, Class 2A3 | |
0.30% | | 01/25/373 | | | 54,250,192 | | | | 31,193,337 | |
WaMu Asset-Backed Certificates, | |
Series 2007-HE1, Class 2A4 | |
0.38% | | 01/25/373 | | | 18,210,873 | | | | 10,583,988 | |
WaMu Asset-Backed Certificates, | |
Series 2007-HE2, Class 2A4 | |
0.52% | | 04/25/373 | | | 1,521,553 | | | | 811,939 | |
WaMu Asset-Backed Certificates, | |
Series 2007-HE3, Class 2A5 | |
0.40% | | 05/25/473 | | | 10,139,274 | | | | 6,822,150 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2002-AR1, Class 1A1 | |
2.33% | | 11/25/303 | | | 510,769 | | | | 513,448 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2002-AR18, Class A | |
2.50% | | 01/25/333 | | | 23,698 | | | | 24,118 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2003-AR6, Class A1 | |
2.44% | | 06/25/333 | | | 13,438,851 | | | | 13,596,623 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2004-AR3, Class A2 | |
2.38% | | 06/25/343 | | | 122,490 | | | | 125,486 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2004-AR6, Class A | |
0.58% | | 05/25/443 | | | 131,381 | | | | 129,253 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2005-AR1, Class A1A | |
0.48% | | 01/25/453 | | | 1,818,655 | | | | 1,756,235 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2005-AR11, Class A1A | |
0.48% | | 08/25/453 | | | 88,261,974 | | | | 84,950,429 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2005-AR12, Class 1A6 | |
2.34% | | 10/25/353 | | | 3,650,000 | | | | 3,568,497 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2005-AR13, Class A1A1 | |
0.44% | | 10/25/453 | | | 2,811,148 | | | | 2,705,533 | |
See accompanying notes to Schedule of Portfolio Investments.
77 / Semi-Annual Report September 2014
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2005-AR14, Class 2A1 | |
2.46% | | 12/25/353 | | $ | 11,114,617 | | | $ | 10,665,719 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2005-AR15, Class A1A1 | |
0.42% | | 11/25/453 | | | 37,315,973 | | | | 35,356,325 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2005-AR19, Class A1A2 | |
0.44% | | 12/25/453 | | | 18,386,905 | | | | 17,425,269 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2005-AR2, Class 1A1A | |
0.48% | | 01/25/453 | | | 27,052,740 | | | | 25,760,863 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2005-AR2, Class 2A1A | |
0.46% | | 01/25/453 | | | 2,881,997 | | | | 2,818,458 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2005-AR6, Class 2A1A | |
0.38% | | 04/25/453 | | | 393,059 | | | | 375,686 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2006-AR1, Class 2A1A | |
1.19% | | 01/25/463 | | | 74,296,662 | | | | 72,260,934 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2006-AR16, Class 3A1 | |
4.08% | | 12/25/363 | | | 1,804,963 | | | | 1,668,112 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2006-AR3, Class A1A | |
1.12% | | 02/25/463 | | | 1,687,612 | | | | 1,585,343 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2006-AR4, Class 1A1A | |
1.06% | | 05/25/463 | | | 12,329,197 | | | | 11,678,881 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2006-AR7, Class 2A | |
1.10% | | 07/25/463 | | | 17,177,603 | | | | 14,545,994 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2006-AR9, Class 2A | |
2.17% | | 08/25/463 | | | 1,767,648 | | | | 1,616,161 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2007-HE2, Class 2A3 | |
0.40% | | 04/25/373 | | | 41,101,770 | | | | 21,662,811 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2007-HY1, Class 1A1 | |
2.19% | | 02/25/373 | | | 2,254,959 | | | | 1,901,161 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2007-HY1, Class 4A1 | |
2.38% | | 02/25/373 | | | 1,807,866 | | | | 1,606,841 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2007-HY6, Class 2A1 | |
2.45% | | 06/25/373 | | | 804,530 | | | | 719,127 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2007-HY7, Class 4A2 | |
4.64% | | 07/25/373 | | | 708,619 | | | | 668,957 | |
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2007-OA1, Class A1A | |
0.82% | | 02/25/473 | | $ | 29,578,823 | | | $ | 24,561,575 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2007-OA3, Class 5A | |
1.92% | | 04/25/473 | | | 7,104,708 | | | | 5,514,994 | |
Wells Fargo Alternative Loan Trust, | |
Series 2007-PA5, Class 1A1 | |
6.25% | | 11/25/37 | | | 612,802 | | | | 584,337 | |
Wells Fargo Home Equity Trust, | |
Series 2004-2, Class AI6 | |
5.00% | | 05/25/343 | | | 2,257,433 | | | | 2,278,816 | |
Wells Fargo Mortgage-Backed Securities | |
Trust, Series 2003-17, Class 2A10 | |
5.50% | | 01/25/34 | | | 7,284,768 | | | | 7,414,371 | |
Wells Fargo Mortgage-Backed Securities | |
Trust, Series 2003-M, Class A1 | |
2.62% | | 12/25/333 | | | 2,392,851 | | | | 2,417,983 | |
Wells Fargo Mortgage-Backed Securities | |
Trust, Series 2004-L, Class A8 | |
2.63% | | 07/25/343 | | | 622,838 | | | | 623,593 | |
Wells Fargo Mortgage-Backed Securities | |
Trust, Series 2004-S, Class A1 | |
2.62% | | 09/25/343 | | | 6,170,728 | | | | 6,341,164 | |
Wells Fargo Mortgage-Backed Securities | |
Trust, Series 2005-AR10, Class 2A14 | |
2.61% | | 06/25/353 | | | 2,638,230 | | | | 2,648,728 | |
Wells Fargo Mortgage-Backed Securities | |
Trust, Series 2006-10, Class A4 | |
6.00% | | 08/25/36 | | | 6,518,116 | | | | 6,709,988 | |
Wells Fargo Mortgage-Backed Securities | |
Trust, Series 2006-2, Class 2A3 | |
5.50% | | 03/25/36 | | | 708,145 | | | | 682,981 | |
Wells Fargo Mortgage-Backed Securities | |
Trust, Series 2006-AR10, Class 5A1 | |
2.61% | | 07/25/363 | | | 571,451 | | | | 560,956 | |
Wells Fargo Mortgage-Backed Securities | |
Trust, Series 2006-AR10, Class 5A2 | |
2.61% | | 07/25/363 | | | 193,802 | | | | 190,243 | |
Wells Fargo Mortgage-Backed Securities | |
Trust, Series 2006-AR10, Class 5A3 | |
2.61% | | 07/25/363 | | | 414,478 | | | | 402,911 | |
Wells Fargo Mortgage-Backed Securities | |
Trust, Series 2006-AR10, Class 5A6 | |
2.61% | | 07/25/363 | | | 1,957,873 | | | | 1,903,232 | |
Wells Fargo Mortgage-Backed Securities | |
Trust, Series 2006-AR17, Class A1 | |
2.61% | | 10/25/363 | | | 4,505,934 | | | | 4,367,895 | |
Wells Fargo Mortgage-Backed Securities | |
Trust, Series 2006-AR8, Class 1A3 | |
2.61% | | 04/25/363 | | | 25,405 | | | | 25,506 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2014 / 78
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
Wells Fargo Mortgage-Backed Securities | |
Trust, Series 2007-5, Class 1A1 | |
5.50% | | 05/25/37 | | $ | 10,392,692 | | | $ | 10,447,471 | |
Wells Fargo Mortgage-Backed Securities, | |
Series 06-AR1, Class 1A1 | |
5.55% | | 03/25/363 | | | 9,465,999 | | | | 9,280,106 | |
Wells Fargo Mortgage-Backed Securities, | |
Series 2005-AR10, Class 2A17 | |
2.61% | | 06/25/353 | | | 61,966,646 | | | | 62,763,475 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 4,353,927,197 | |
| | | | | | | | | | |
|
U.S. Agency Mortgage-Backed — 26.17% | |
Fannie Mae Aces, Series 2014-M6, Class FA | |
0.46% | | 12/25/17 | | | 63,552,945 | | | | 63,652,246 | |
Fannie Mae FNCL (TBA) | |
4.50% | | 10/25/39 | | | 300,830,000 | | | | 324,614,357 | |
Fannie Mae Pool (TBA) | |
2.50% | | 10/25/27 | | | 213,390,000 | | | | 214,657,003 | |
3.00% | | 10/25/26 | | | 129,580,000 | | | | 133,467,400 | |
3.00% | | 10/25/42 | | | 1,128,055,000 | | | | 1,112,103,547 | |
3.50% | | 10/25/25 | | | 64,500,000 | | | | 67,805,625 | |
3.50% | | 10/25/42 | | | 887,780,000 | | | | 907,477,645 | |
4.00% | | 10/25/41 | | | 855,085,000 | | | | 901,246,208 | |
Fannie Mae Pool 190375 | |
5.50% | | 11/01/36 | | | 2,637,805 | | | | 2,946,470 | |
Fannie Mae Pool 254232 | |
6.50% | | 03/01/22 | | | 52,230 | | | | 59,157 | |
Fannie Mae Pool 313182 | |
7.50% | | 10/01/26 | | | 5,765 | | | | 6,506 | |
Fannie Mae Pool 394854 | |
6.50% | | 05/01/27 | | | 2,286 | | | | 2,634 | |
Fannie Mae Pool 464367 | |
4.54% | | 01/01/20 | | | 5,158,014 | | | | 5,660,155 | |
Fannie Mae Pool 467243 | |
4.55% | | 01/01/21 | | | 2,631,346 | | | | 2,915,112 | |
Fannie Mae Pool 468128 | |
4.33% | | 07/01/21 | | | 1,970,000 | | | | 2,175,180 | |
Fannie Mae Pool 468587 | |
3.84% | | 08/01/21 | | | 777,346 | | | | 835,047 | |
Fannie Mae Pool 468764 | |
4.16% | | 07/01/21 | | | 28,200,000 | | | | 30,782,686 | |
Fannie Mae Pool 545191 | |
7.00% | | 09/01/31 | | | 15,034 | | | | 17,131 | |
Fannie Mae Pool 545831 | |
6.50% | | 08/01/17 | | | 17,727 | | | | 18,701 | |
Fannie Mae Pool 555284 | |
7.50% | | 10/01/17 | | | 2,241 | | | | 2,368 | |
Fannie Mae Pool 606108 | |
7.00% | | 03/01/31 | | | 5,883 | | | | 6,125 | |
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
Fannie Mae Pool 613142 | |
7.00% | | 11/01/31 | | $ | 19,937 | | | $ | 23,191 | |
Fannie Mae Pool 625666 | |
7.00% | | 01/01/32 | | | 21,107 | | | | 24,687 | |
Fannie Mae Pool 633698 | |
7.50% | | 02/01/31 | | | 92,856 | | | | 102,873 | |
Fannie Mae Pool 646884 | |
1.79% | | 05/01/323 | | | 7,146 | | | | 7,175 | |
Fannie Mae Pool 655928 | |
7.00% | | 08/01/32 | | | 285,817 | | | | 340,951 | |
Fannie Mae Pool 725257 | |
5.50% | | 02/01/34 | | | 2,859,103 | | | | 3,207,981 | |
Fannie Mae Pool 734922 | |
4.50% | | 09/01/33 | | | 4,430,736 | | | | 4,829,183 | |
Fannie Mae Pool 735207 | |
7.00% | | 04/01/34 | | | 53,366 | | | | 62,415 | |
Fannie Mae Pool 735224 | |
5.50% | | 02/01/35 | | | 11,718,635 | | | | 13,147,907 | |
Fannie Mae Pool 735646 | |
4.50% | | 07/01/20 | | | 3,102,160 | | | | 3,286,292 | |
Fannie Mae Pool 735651 | |
4.50% | | 06/01/35 | | | 12,264,857 | | | | 13,327,425 | |
Fannie Mae Pool 735686 | |
6.50% | | 12/01/22 | | | 91,462 | | | | 103,575 | |
Fannie Mae Pool 740297 | |
5.50% | | 10/01/33 | | | 5,622 | | | | 6,308 | |
Fannie Mae Pool 745592 | |
5.00% | | 01/01/21 | | | 16,463 | | | | 17,552 | |
Fannie Mae Pool 817611 | |
5.37% | | 11/01/353 | | | 760,079 | | | | 816,544 | |
Fannie Mae Pool 839109 | |
5.38% | | 11/01/353 | | | 17,204 | | | | 18,402 | |
Fannie Mae Pool 841031 | |
5.17% | | 11/01/353 | | | 86,604 | | | | 93,069 | |
Fannie Mae Pool 844773 | |
5.27% | | 12/01/353 | | | 22,226 | | | | 24,036 | |
Fannie Mae Pool 888412 | |
7.00% | | 04/01/37 | | | 1,549,657 | | | | 1,740,785 | |
Fannie Mae Pool 889125 | |
5.00% | | 12/01/21 | | | 10,077,431 | | | | 10,744,346 | |
Fannie Mae Pool 889184 | |
5.50% | | 09/01/36 | | | 10,769,182 | | | | 12,083,847 | |
Fannie Mae Pool 918445 | |
6.02% | | 05/01/373 | | | 129,245 | | | | 139,332 | |
Fannie Mae Pool 933033 | |
6.50% | | 10/01/37 | | | 2,881,033 | | | | 3,240,824 | |
Fannie Mae Pool AB1613 | |
4.00% | | 10/01/40 | | | 73,072,042 | | | | 77,473,171 | |
See accompanying notes to Schedule of Portfolio Investments.
79 / Semi-Annual Report September 2014
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
Fannie Mae Pool AB1803 | |
4.00% | | 11/01/40 | | $ | 77,580,448 | | | $ | 82,414,166 | |
Fannie Mae Pool AB2127 | |
3.50% | | 01/01/26 | | | 52,643,003 | | | | 55,604,085 | |
Fannie Mae Pool AB3679 | |
3.50% | | 10/01/41 | | | 26,693,725 | | | | 27,439,072 | |
Fannie Mae Pool AB3864 | |
3.50% | | 11/01/41 | | | 21,262,506 | | | | 21,880,536 | |
Fannie Mae Pool AB4045 | |
3.50% | | 12/01/41 | | | 22,482,388 | | | | 23,182,329 | |
Fannie Mae Pool AB9703 | |
3.50% | | 06/01/43 | | | 51,994,480 | | | | 53,052,649 | |
Fannie Mae Pool AD0791 | |
4.76% | | 02/01/20 | | | 18,409,287 | | | | 20,407,556 | |
Fannie Mae Pool AD0849 | |
4.25% | | 02/01/20 | | | 29,031,617 | | | | 31,777,829 | |
Fannie Mae Pool AD0850 | |
4.31% | | 02/01/20 | | | 48,614,015 | | | | 53,089,009 | |
Fannie Mae Pool AE0482 | |
5.50% | | 01/01/38 | | | 25,617,755 | | | | 28,610,042 | |
Fannie Mae Pool AE0600 | |
3.98% | | 11/01/20 | | | 40,736,659 | | | | 44,158,976 | |
Fannie Mae Pool AE0605 | |
4.67% | | 07/01/20 | | | 31,632,589 | | | | 35,011,962 | |
Fannie Mae Pool AE0918 | |
3.66% | | 10/01/20 | | | 6,128,571 | | | | 6,559,516 | |
Fannie Mae Pool AH3780 | |
4.00% | | 02/01/41 | | | 31,666,337 | | | | 33,636,068 | |
Fannie Mae Pool AJ0764 | |
4.50% | | 09/01/41 | | | 51,593 | | | | 55,759 | |
Fannie Mae Pool AJ1404 | |
4.00% | | 09/01/41 | | | 54,277,790 | | | | 57,430,787 | |
Fannie Mae Pool AJ4087 | |
3.00% | | 10/01/26 | | | 55,469 | | | | 57,344 | |
Fannie Mae Pool AL0209 | |
4.50% | | 05/01/41 | | | 48,779,493 | | | | 53,468,355 | |
Fannie Mae Pool AL0290 | |
4.45% | | 04/01/21 | | | 32,643,806 | | | | 36,224,048 | |
Fannie Mae Pool AL0600 | |
4.30% | | 07/01/21 | | | 4,676,989 | | | | 5,145,032 | |
Fannie Mae Pool AL0834 | |
4.06% | | 10/01/21 | | | 39,298,769 | | | | 42,680,508 | |
Fannie Mae Pool AL0851 | |
6.00% | | 10/01/40 | | | 54,400,576 | | | | 61,678,036 | |
Fannie Mae Pool AL1410 | |
4.50% | | 12/01/41 | | | 61,103,314 | | | | 66,036,927 | |
Fannie Mae Pool AL1445 | |
4.34% | | 11/01/21 | | | 80,491,438 | | | | 88,787,738 | |
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
Fannie Mae Pool AL2602 | |
2.65% | | 10/01/22 | | $ | 116,778 | | | $ | 116,370 | |
Fannie Mae Pool AL2669 | |
4.48% | | 09/01/21 | | | 35,662,485 | | | | 39,566,306 | |
Fannie Mae Pool AL3306 | |
2.46% | | 04/01/23 | | | 43,766 | | | | 43,141 | |
Fannie Mae Pool AL4597 | |
4.00% | | 01/01/44 | | | 111,813,028 | | | | 118,787,775 | |
Fannie Mae Pool AU3739 | |
3.50% | | 08/01/43 | | | 74,718,479 | | | | 76,892,903 | |
Fannie Mae Pool FN0000 | |
3.58% | | 09/01/20 | | | 10,912,170 | | | | 11,591,680 | |
Fannie Mae Pool FN0001 | |
3.76% | | 12/01/20 | | | 25,263,399 | | | | 27,034,001 | |
Fannie Mae Pool FN0002 | |
3.31% | | 12/01/17 | | | 1,451,932 | | | | 1,520,900 | |
Fannie Mae Pool FN0003 | |
4.30% | | 01/01/21 | | | 8,325,161 | | | | 9,144,182 | |
Fannie Mae Pool FN0005 | |
3.38% | | 11/01/20 | | | 42,649,312 | | | | 44,886,904 | |
Fannie Mae Pool FN0007 | |
3.46% | | 11/01/20 | | | 80,000 | | | | 84,589 | |
Fannie Mae Pool FN0010 | |
3.84% | | 09/01/20 | | | 340,692 | | | | 364,844 | |
Fannie Mae Pool MA1527 | |
3.00% | | 07/01/33 | | | 128,351,289 | | | | 130,371,536 | |
Fannie Mae Pool MA1561 | |
3.00% | | 09/01/33 | | | 78,832,680 | | | | 80,073,550 | |
Fannie Mae Pool MA1582 | |
3.50% | | 09/01/43 | | | 34,056,972 | | | | 34,750,084 | |
Fannie Mae Pool MA1584 | |
3.50% | | 09/01/33 | | | 152,052,953 | | | | 157,903,426 | |
Fannie Mae REMICS, Series 1998-37, | |
Class VZ | |
6.00% | | 06/17/28 | | | 24,533 | | | | 27,156 | |
Fannie Mae REMICS, Series 2005-122, | |
Class SG (IO) | |
6.45% | | 11/25/353 | | | 246,195 | | | | 38,215 | |
Fannie Mae REMICS, Series 2006-49, | |
Class SE | |
28.38% | | 04/25/363 | | | 7,069,975 | | | | 11,252,172 | |
Fannie Mae REMICS, Series 2007-17, | |
Class SI (IO) | |
6.25% | | 03/25/373 | | | 8,129,583 | | | | 917,075 | |
Fannie Mae REMICS, Series 2010-116, | |
Class SE (IO) | |
6.45% | | 10/25/403 | | | 14,272,220 | | | | 2,508,682 | |
Fannie Mae REMICS, Series 2010-135, | |
Class EA | |
3.00% | | 01/25/40 | | | 48,319 | | | | 50,048 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2014 / 80
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
Fannie Mae REMICS, Series 2011-2, | |
Class PD | |
4.00% | | 12/25/39 | | $ | 127,000 | | | $ | 134,414 | |
Fannie Mae REMICS, Series 2013-101, | |
Class BO (PO) | |
0.00% | | 10/25/4312 | | | 36,118,271 | | | | 27,174,148 | |
Fannie Mae REMICS, Series 2013-101, | |
Class CO (PO) | |
0.00% | | 10/25/4312 | | | 22,086,006 | | | | 16,633,607 | |
Fannie Mae REMICS, Series G92-12, | |
Class B | |
7.70% | | 02/25/22 | | | 513 | | | | 554 | |
Fannie Mae Whole Loan, Series 2003-W2, | |
Class 2A9 | |
5.90% | | 07/25/42 | | | 50,227 | | | | 56,273 | |
Fannie Mae, Pool MA1608 | |
3.50% | | 10/01/33 | | | 103,070,481 | | | | 107,036,277 | |
Fannie Mae, Series 1988-28, Class H | |
9.05% | | 12/25/18 | | | 1,078 | | | | 1,158 | |
Fannie Mae, Series 1989-27, Class Y | |
6.90% | | 06/25/19 | | | 356 | | | | 382 | |
Fannie Mae, Series 1991-65, Class Z | |
6.50% | | 06/25/21 | | | 8,708 | | | | 9,473 | |
Fannie Mae, Series 1992-123, Class Z | |
7.50% | | 07/25/22 | | | 1,676 | | | | 1,953 | |
Fannie Mae, Series 1993-132, Class D (PO) | |
0.00% | | 10/25/2212 | | | 87,903 | | | | 84,108 | |
Fannie Mae, Series 1993-199, Class SD (IO) | |
0.88% | | 10/25/233 | | | 120,613 | | | | 1,262 | |
Fannie Mae, Series 1993-29, Class PK | |
7.00% | | 03/25/23 | | | 20,224 | | | | 22,249 | |
Fannie Mae, Series 1994-55, Class H | |
7.00% | | 03/25/24 | | | 36,636 | | | | 40,616 | |
Fannie Mae, Series 1997-34, Class SA | |
3.75% | | 10/25/233 | | | 9,067 | | | | 10,551 | |
Fannie Mae, Series 1999-11, Class Z | |
5.50% | | 03/25/29 | | | 95,093 | | | | 102,911 | |
Fannie Mae, Series 2001-52, Class YZ | |
6.50% | | 10/25/31 | | | 256,142 | | | | 290,099 | |
Fannie Mae, Series 2005-104, Class NI (IO) | |
6.55% | | 03/25/353 | | | 43,901,013 | | | | 5,548,790 | |
Fannie Mae, Series 2005-117, Class LC | |
5.50% | | 11/25/35 | | | 23,118,409 | | | | 25,217,127 | |
Fannie Mae, Series 2005-92, Class US (IO) | |
5.95% | | 10/25/253 | | | 16,451,954 | | | | 2,126,253 | |
Fannie Mae, Series 2006-18, Class PD | |
5.50% | | 08/25/34 | | | 521,882 | | | | 540,894 | |
Fannie Mae, Series 2006-4, Class WE | |
4.50% | | 02/25/36 | | | 210,467 | | | | 220,384 | |
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
Fannie Mae, Series 2007-34, Class SB (IO) | |
5.96% | | 04/25/373 | | $ | 11,694,736 | | | $ | 2,115,449 | |
Fannie Mae, Series 2008-24, Class NA | |
6.75% | | 06/25/37 | | | 3,359,396 | | | | 3,657,295 | |
Fannie Mae, Series 2010-17, Class SB (IO) | |
6.20% | | 03/25/403 | | | 21,437,311 | | | | 3,334,902 | |
Fannie Mae, Series 2010-43, Class KS (IO) | |
6.27% | | 05/25/403 | | | 39,280,678 | | | | 6,777,826 | |
Fannie Mae, Series 2011-101, Class HE | |
4.00% | | 10/25/41 | | | 10,100,000 | | | | 10,761,656 | |
Fannie Mae, Series 2011-111, Class DB | |
4.00% | | 11/25/41 | | | 24,977,334 | | | | 26,691,528 | |
Fannie Mae, Series 2012-M12, Class 1A | |
2.94% | | 08/25/223 | | | 144,592,894 | | | | 146,761,382 | |
Fannie Mae, Series 2012-M15, Class A | |
2.74% | | 10/25/223 | | | 114,454,847 | | | | 115,022,646 | |
Fannie Mae, Series 2014-M8, Class A1 | |
2.35% | | 06/25/24 | | | 8,107,721 | | | | 8,106,010 | |
Fannie Mae, Series 2014-M8, Class FA | |
0.42% | | 05/25/18 | | | 133,530,265 | | | | 133,735,768 | |
Fannie Mae, Series G92-36, Class Z | |
7.00% | | 07/25/22 | | | 279 | | | | 301 | |
Fannie Mae, Series G93-21, Class Z | |
7.20% | | 05/25/23 | | | 7,189 | | | | 8,038 | |
Federal Home Loan Bank (STEP) | |
0.75% | | 05/26/28 | | | 112,670,000 | | | | 112,460,766 | |
Freddie Mac Gold Pool A24156 | |
6.50% | | 10/01/31 | | | 719,904 | | | | 836,575 | |
Freddie Mac Gold Pool A25162 | |
5.50% | | 05/01/34 | | | 5,824,354 | | | | 6,525,551 | |
Freddie Mac Gold Pool A39012 | |
5.50% | | 06/01/35 | | | 104,549 | | | | 117,512 | |
Freddie Mac Gold Pool A54856 | |
5.00% | | 01/01/34 | | | 9,190,622 | | | | 10,150,792 | |
Freddie Mac Gold Pool A61164 | |
5.00% | | 04/01/36 | | | 36,761 | | | | 40,734 | |
Freddie Mac Gold Pool A97038 | |
4.00% | | 02/01/41 | | | 27,643,489 | | | | 29,231,908 | |
Freddie Mac Gold Pool C01492 | |
5.00% | | 02/01/33 | | | 2,059,158 | | | | 2,278,732 | |
Freddie Mac Gold Pool C04546 | |
3.00% | | 02/01/43 | | | 33,990,922 | | | | 33,743,845 | |
Freddie Mac Gold Pool C04573 | |
3.00% | | 03/01/43 | | | 42,062,822 | | | | 41,796,211 | |
Freddie Mac Gold Pool C46104 | |
6.50% | | 09/01/29 | | | 40,874 | | | | 47,358 | |
Freddie Mac Gold Pool C55789 | |
7.50% | | 10/01/27 | | | 19,927 | | | | 22,421 | |
See accompanying notes to Schedule of Portfolio Investments.
81 / Semi-Annual Report September 2014
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
Freddie Mac Gold Pool C90573 | |
6.50% | | | 08/01/22 | | | $ | 142,648 | | | $ | 161,398 | |
Freddie Mac Gold Pool E02402 | |
6.00% | | | 10/01/22 | | | | 39,151 | | | | 43,650 | |
Freddie Mac Gold Pool G00992 | |
7.00% | | | 11/01/28 | | | | 2,646 | | | | 3,063 | |
Freddie Mac Gold Pool G01515 | |
5.00% | | | 02/01/33 | | | | 1,884,768 | | | | 2,085,362 | |
Freddie Mac Gold Pool G02579 | |
5.00% | | | 12/01/34 | | | | 2,537,391 | | | | 2,806,602 | |
Freddie Mac Gold Pool G02884 | |
6.00% | | | 04/01/37 | | | | 8,927,121 | | | | 10,170,197 | |
Freddie Mac Gold Pool G02955 | |
5.50% | | | 03/01/37 | | | | 8,792,580 | | | | 9,963,717 | |
Freddie Mac Gold Pool G03357 | |
5.50% | | | 08/01/37 | | | | 3,203,076 | | | | 3,588,195 | |
Freddie Mac Gold Pool G03676 | |
5.50% | | | 12/01/37 | | | | 7,128,693 | | | | 8,100,203 | |
Freddie Mac Gold Pool G03783 | |
5.50% | | | 01/01/38 | | | | 4,619,200 | | | | 5,176,030 | |
Freddie Mac Gold Pool G03985 | |
6.00% | | | 03/01/38 | | | | 78,814 | | | | 88,878 | |
Freddie Mac Gold Pool G04438 | |
5.50% | | | 05/01/38 | | | | 14,580,819 | | | | 16,407,582 | |
Freddie Mac Gold Pool G04703 | |
5.50% | | | 08/01/38 | | | | 15,284,014 | | | | 17,042,763 | |
Freddie Mac Gold Pool G04706 | |
5.50% | | | 09/01/38 | | | | 432,472 | | | | 490,075 | |
Freddie Mac Gold Pool G05866 | |
4.50% | | | 02/01/40 | | | | 39,236,067 | | | | 42,984,929 | |
Freddie Mac Gold Pool G06361 | |
4.00% | | | 03/01/41 | | | | 49,687 | | | | 52,854 | |
Freddie Mac Gold Pool G06498 | |
4.00% | | | 04/01/41 | | | | 51,242,162 | | | | 54,330,699 | |
Freddie Mac Gold Pool G06499 | |
4.00% | | | 03/01/41 | | | | 23,875,512 | | | | 25,266,073 | |
Freddie Mac Gold Pool G06620 | |
4.50% | | | 07/01/41 | | | | 62,067,077 | | | | 67,674,940 | |
Freddie Mac Gold Pool G07786 | |
4.00% | | | 08/01/44 | | | | 104,262,392 | | | | 110,562,931 | |
Freddie Mac Gold Pool G11707 | |
6.00% | | | 03/01/20 | | | | 1,042,354 | | | | 1,113,419 | |
Freddie Mac Gold Pool G12393 | |
5.50% | | | 10/01/21 | | | | 8,169,191 | | | | 8,814,984 | |
Freddie Mac Gold Pool G12399 | |
6.00% | | | 09/01/21 | | | | 4,472 | | | | 4,892 | |
Freddie Mac Gold Pool G12824 | |
6.00% | | | 08/01/22 | | | | 3,819,536 | | | | 4,195,358 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
Freddie Mac Gold Pool G12909 | |
6.00% | | | 11/01/22 | | | $ | 10,307,481 | | | $ | 11,333,265 | |
Freddie Mac Gold Pool G13032 | |
6.00% | | | 09/01/22 | | | | 2,031,917 | | | | 2,223,651 | |
Freddie Mac Gold Pool G13058 | |
4.50% | | | 10/01/20 | | | | 5,856,389 | | | | 6,179,891 | |
Freddie Mac Gold Pool H00790 | |
5.50% | | | 05/01/37 | | | | 93,763 | | | | 102,765 | |
Freddie Mac Gold Pool H03161 | |
6.50% | | | 08/01/37 | | | | 8,573 | | | | 9,453 | |
Freddie Mac Gold Pool H05069 | |
5.50% | | | 05/01/37 | | | | 4,787,482 | | | | 5,295,030 | |
Freddie Mac Gold Pool H09082 | |
6.50% | | | 09/01/37 | | | | 16,472 | | | | 18,542 | |
Freddie Mac Gold Pool Q05804 | |
4.00% | | | 01/01/42 | | | | 79,144,921 | | | | 84,192,864 | |
Freddie Mac Gold Pool U95034 | |
4.00% | | | 09/01/42 | | | | 59,281,907 | | | | 62,623,459 | |
Freddie Mac Gold Pool U99054 | |
4.00% | | | 06/01/43 | | | | 63,480,973 | | | | 67,059,214 | |
Freddie Mac Gold Pool V80356 | |
3.50% | | | 08/01/43 | | | | 77,958,244 | | | | 79,965,475 | |
Freddie Mac Multifamily Structured | |
Pass-Through Certificates, Series K010, Class A2 | |
4.33% | | | 10/25/20 | | | | 60,000 | | | | 66,137 | |
Freddie Mac Multifamily Structured | |
Pass-Through Certificates, Series K013, Class A2 | |
3.97% | | | 01/25/21 | 3 | | | 22,640,000 | | | | 24,525,901 | |
Freddie Mac Multifamily Structured | |
Pass-Through Certificates, Series K038, Class A2 | |
3.39% | | | 03/25/24 | | | | 86,940,000 | | | | 89,934,405 | |
Freddie Mac Multi-Family Structured | |
Pass-Through Certificates, Series KF03, Class A | |
0.50% | | | 01/25/21 | | | | 47,755,541 | | | | 47,845,082 | |
Freddie Mac Pool G07408 | |
3.50% | | | 06/01/43 | | | | 42,169,975 | | | | 43,321,048 | |
Freddie Mac REMICS, Series 2313, Class LA | |
6.50% | | | 05/15/31 | | | | 32,778 | | | | 37,212 | |
Freddie Mac REMICS, Series 2649, Class PC | |
5.50% | | | 07/15/33 | | | | 62,301 | | | | 65,877 | |
Freddie Mac REMICS, Series 2778, Class JD | |
5.00% | | | 12/15/32 | | | | 2,628 | | | | 2,633 | |
Freddie Mac REMICS, Series 3019, Class SW (IO) | |
7.05% | | | 08/15/35 | 3 | | | 5,051,474 | | | | 1,127,254 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2014 / 82
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
Freddie Mac REMICS, Series 3300, Class SA (IO) | |
7.05% | | | 08/15/35 | 3 | | $ | 2,233,369 | | | $ | 383,104 | |
Freddie Mac REMICS, Series 3730, Class JG | |
3.00% | | | 09/15/39 | | | | 59,943 | | | | 61,553 | |
Freddie Mac REMICS, Series 3891, Class HS (IO) | |
5.80% | | | 07/15/41 | 3 | | | 20,624,213 | | | | 2,722,163 | |
Freddie Mac REMICS, Series 4102, Class TC | |
2.50% | | | 09/15/41 | | | | 38,330,731 | | | | 38,520,792 | |
Freddie Mac Strips, Series 309, Class PO (PO) | |
0.00% | | | 08/15/43 | 12 | | | 57,073,187 | | | | 43,706,963 | |
Freddie Mac Strips, Series 319, Class F2 | |
0.65% | | | 11/15/43 | 3 | | | 11,524,228 | | | | 11,542,938 | |
Freddie Mac, Series 1004, Class H | |
7.95% | | | 10/15/20 | | | | 308 | | | | 335 | |
Freddie Mac, Series 1073, Class G | |
7.00% | | | 05/15/21 | | | | 1,361 | | | | 1,499 | |
Freddie Mac, Series 1107, Class ZC | |
6.50% | | | 07/15/21 | | | | 6,081 | | | | 6,605 | |
Freddie Mac, Series 165, Class K | |
6.50% | | | 09/15/21 | | | | 130 | | | | 140 | |
Freddie Mac, Series 1980, Class Z | |
7.00% | | | 07/15/27 | | | | 190,107 | | | | 215,934 | |
Freddie Mac, Series 1983, Class Z | |
6.50% | | | 12/15/23 | | | | 95,700 | | | | 106,160 | |
Freddie Mac, Series 2098, Class TZ | |
6.00% | | | 01/15/28 | | | | 818,843 | | | | 833,293 | |
Freddie Mac, Series 2174, Class PN | |
6.00% | | | 07/15/29 | | | | 47,657 | | | | 51,841 | |
Freddie Mac, Series 2433, Class SA | |
20.53% | | | 02/15/32 | 3 | | | 26,962 | | | | 38,039 | |
Freddie Mac, Series 2481, Class AW | |
6.50% | | | 08/15/32 | | | | 109,385 | | | | 122,597 | |
Freddie Mac, Series 2642, Class BW (IO) | |
5.00% | | | 06/15/23 | | | | 57,058 | | | | 5,413 | |
Freddie Mac, Series 2971, Class AB | |
5.00% | | | 05/15/20 | | | | 9,109 | | | | 9,547 | |
Freddie Mac, Series 3063, Class YG | |
5.50% | | | 11/15/35 | | | | 8,794,000 | | | | 9,856,854 | |
Freddie Mac, Series 3210, Class PD | |
6.00% | | | 08/15/35 | | | | 139,554 | | | | 143,342 | |
Freddie Mac, Series 3345, Class FP | |
0.35% | | | 11/15/36 | 3 | | | 4,864,806 | | | | 4,872,673 | |
Freddie Mac, Series 3345, Class PF | |
0.33% | | | 05/15/36 | 3 | | | 5,538,937 | | | | 5,546,799 | |
Freddie Mac, Series 3707, Class EI (IO) | |
5.00% | | | 12/15/38 | | | | 48,726,460 | | | | 7,157,337 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
Freddie Mac, Series 3752, Class XL | |
4.50% | | | 11/15/40 | | | $ | 66,277,000 | | | $ | 72,956,993 | |
Freddie Mac, Series 3904, Class JB | |
4.50% | | | 08/15/41 | | | | 18,155,000 | | | | 19,519,357 | |
Freddie Mac, Series 3925, Class LB | |
4.50% | | | 09/15/41 | | | | 9,215,000 | | | | 10,402,085 | |
Freddie Mac, Series 3928, Class JD | |
4.00% | | | 09/15/41 | | | | 32,095,702 | | | | 34,240,671 | |
Freddie Mac, Series 4161, Class BA | |
2.50% | | | 12/15/41 | | | | 55,446,115 | | | | 55,593,483 | |
Freddie Mac, Series K020, Class A2 | |
2.37% | | | 05/25/40 | | | | 110,155,000 | | | | 107,712,864 | |
Freddie Mac, Series KX01, Class A | |
2.36% | | | 02/25/23 | | | | 89,468,207 | | | | 89,193,325 | |
Ginnie Mae I Pool 782817 | |
4.50% | | | 11/15/39 | | | | 45,341,916 | | | | 49,470,510 | |
Ginnie Mae II Pool (TBA) | |
3.00% | | | 10/20/42 | | | | 73,755,000 | | | | 74,244,781 | |
3.50% | | | 10/20/42 | | | | 95,355,000 | | | | 98,588,130 | |
4.00% | | | 10/20/44 | | | | 332,090,000 | | | | 352,145,121 | |
4.50% | | | 10/21/44 | | | | 188,735,000 | | | | 204,718,486 | |
Ginnie Mae II Pool 2631 | |
7.00% | | | 08/20/28 | | | | 4,656 | | | | 5,441 | |
Ginnie Mae II Pool 80968 | |
1.62% | | | 07/20/34 | 3 | | | 32,901 | | | | 34,091 | |
Ginnie Mae II Pool 81267 | |
1.62% | | | 03/20/35 | 3 | | | 67,430 | | | | 70,007 | |
Ginnie Mae II Pool 8631 | |
2.00% | | | 05/20/25 | 3 | | | 10,236 | | | | 10,661 | |
Ginnie Mae II Pool 8644 | |
2.50% | | | 06/20/25 | 3 | | | 16,795 | | | | 17,752 | |
Ginnie Mae II Pool G281432 | |
1.62% | | | 08/20/35 | 3 | | | 58,092 | | | | 60,514 | |
Ginnie Mae II Pool G281497 | |
1.62% | | | 10/20/35 | 3 | | | 56,408 | | | | 58,784 | |
Ginnie Mae, Series 2000-22, Class SG (IO) | |
10.65% | | | 05/16/30 | 3 | | | 319,402 | | | | 49,355 | |
Ginnie Mae, Series 2003-86, Class ZK | |
5.00% | | | 10/20/33 | | | | 21,014,847 | | | | 23,099,583 | |
Ginnie Mae, Series 2004-93, Class PC | |
5.00% | | | 04/16/34 | | | | 202,830 | | | | 214,696 | |
Ginnie Mae, Series 2005-78, Class ZA | |
5.00% | | | 10/16/35 | | | | 24,341,385 | | | | 27,571,828 | |
Ginnie Mae, Series 2007-35, Class PY (IO) | |
6.60% | | | 06/16/37 | 3 | | | 37,043,401 | | | | 6,043,831 | |
Ginnie Mae, Series 2009-106, Class SD (IO) | |
6.10% | | | 03/20/36 | 3 | | | 32,272,980 | | | | 4,695,409 | |
Ginnie Mae, Series 2009-106, Class XI (IO) | |
6.65% | | | 05/20/37 | 3 | | | 83,870,443 | | | | 14,071,682 | |
See accompanying notes to Schedule of Portfolio Investments.
83 / Semi-Annual Report September 2014
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
Ginnie Mae, Series 2009-124, Class SC (IO) | |
6.33% | | | 12/20/39 | 3 | | $ | 15,001,212 | | | $ | 2,261,043 | |
Ginnie Mae, Series 2009-17, Class P | |
4.00% | | | 08/16/38 | | | | 46,330 | | | | 48,748 | |
Ginnie Mae, Series 2010-124, Class A | |
3.85% | | | 10/16/32 | | | | 1,834 | | | | 1,837 | |
Ginnie Mae, Series 2010-4, Class SL (IO) | |
6.25% | | | 01/16/40 | 3 | | | 168,413 | | | | 27,288 | |
Ginnie Mae, Series 2010-4, Class SM (IO) | |
5.65% | | | 01/16/40 | 3 | | | 30,620,621 | | | | 3,591,851 | |
Ginnie Mae, Series 2010-6, Class BS (IO) | |
6.35% | | | 09/16/39 | 3 | | | 13,727,359 | | | | 1,638,603 | |
Ginnie Mae, Series 2011-146, Class EI (IO) | |
5.00% | | | 11/16/41 | | | | 148,148 | | | | 35,008 | |
Ginnie Mae, Series 2013-113, Class LY | |
3.00% | | | 05/20/43 | | | | 51,184,000 | | | | 48,780,753 | |
NCUA Guaranteed Notes, Series 2010-C1, | |
Class A2 | |
2.90% | | | 10/29/20 | | | | 773,000 | | | | 802,168 | |
NCUA Guaranteed Notes, Series 2010-R1, | |
Class 1A | | | | | | | | | | | | |
0.61% | | | 10/07/20 | 3 | | | 30,396,604 | | | | 30,560,214 | |
NCUA Guaranteed Notes, Series 2010-R3, | |
Class 1A | |
0.72% | | | 12/08/20 | 3 | | | 43,249,567 | | | | 43,627,157 | |
NCUA Guaranteed Notes, Series 2010-R3, | |
Class 2A | |
0.72% | | | 12/08/20 | 3 | | | 36,223,619 | | | | 36,530,670 | |
NCUA Guaranteed Notes, Series 2011-C1, | |
Class 2A | |
0.69% | | | 03/09/21 | 3 | | | 4,321,638 | | | | 4,333,350 | |
NCUA Guaranteed Notes, Series 2011-R6, | |
Class 1A | |
0.54% | | | 05/07/20 | 3 | | | 21,291 | | | | 21,309 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 8,931,119,043 | |
| | | | | | | | | | | | |
Total Mortgage-Backed | |
(Cost $14,070,896,179) | | | | 14,704,053,849 | |
| | | | | | | | | | | | |
MUNICIPAL BONDS — 1.60%* | |
California — 0.39% | |
Los Angeles Department of Water & Power, | |
Build America Bonds, Series SY | |
6.01% | | | 07/01/39 | | | | 350,000 | | | | 433,961 | |
State of California, Build America Bonds | |
5.70% | | | 11/01/21 | | | | 8,940,000 | | | | 10,532,572 | |
6.65% | | | 03/01/22 | | | | 4,245,000 | | | | 5,245,971 | |
7.30% | | | 10/01/39 | | | | 12,565,000 | | | | 17,574,037 | |
7.35% | | | 11/01/39 | | | | 25,000,000 | | | | 35,133,000 | |
7.95% | | | 03/01/36 | | | | 7,350,000 | | | | 8,972,807 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MUNICIPAL BONDS (continued) | |
California (continued) | |
State of California, Build America Bonds, | |
Various Purpose | |
7.50% | | | 04/01/34 | | | $ | 3,885,000 | | | $ | 5,546,536 | |
State of California, Taxable, Various Purpose | |
5.50% | | | 03/01/16 | | | | 8,450,000 | | | | 9,015,981 | |
6.20% | | | 03/01/19 | | | | 10,675,000 | | | | 12,514,409 | |
University of California, Floating Rate Notes, | |
Series Y, Class 1 | |
0.66% | | | 07/01/41 | 3 | | | 12,485,000 | | | | 12,534,441 | |
University of California, Floating Rate Notes, | |
Series Y, Class 2 | |
0.75% | | | 07/01/41 | 3 | | | 15,000,000 | | | | 15,059,400 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 132,563,115 | |
| | | | | | | | | | | | |
Illinois — 0.54% | |
State of Illinois, Build America Bonds | |
6.20% | | | 07/01/21 | | | | 30,175,000 | | | | 33,594,431 | |
7.10% | | | 07/01/35 | | | | 21,490,000 | | | | 23,718,728 | |
7.35% | | | 07/01/35 | | | | 11,720,000 | | | | 13,463,819 | |
State of Illinois, Build America Bonds, | |
Series S | |
6.63% | | | 02/01/35 | | | | 13,210,000 | | | | 14,461,780 | |
State of Illinois, Taxable Bonds | |
4.95% | | | 06/01/23 | | | | 31,825,000 | | | | 33,016,528 | |
5.66% | | | 03/01/18 | | | | 2,850,000 | | | | 3,144,006 | |
5.88% | | | 03/01/19 | | | | 16,000,000 | | | | 17,746,400 | |
State of Illinois, Taxable Pension Bonds | |
4.35% | | | 06/01/18 | | | | 8,885,000 | | | | 9,289,801 | |
5.10% | | | 06/01/33 | | | | 38,246,000 | | | | 37,177,024 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 185,612,517 | |
| | | | | | | | | | | | |
New York — 0.28% | |
City of New York, Build America Bonds | |
5.05% | | | 10/01/24 | | | | 13,820,000 | | | | 15,569,197 | |
5.52% | | | 10/01/37 | | | | 2,525,000 | | | | 2,951,069 | |
5.82% | | | 10/01/31 | | | | 220,000 | | | | 242,845 | |
City of New York, Build America Bonds, | |
Series F1 | |
6.65% | | | 12/01/31 | | | | 46,470,000 | | | | 55,415,010 | |
Fiscal Year 2005 Securitization Corp., | |
Special Obligation, Series B | |
4.93% | | | 04/01/20 | | | | 65,000 | | | | 71,070 | |
New York City Municipal Water Finance | |
Authority, Build America Bonds, Series SE | |
6.49% | | | 06/15/42 | | | | 3,405,000 | | | | 3,932,639 | |
New York State Urban Development Corp., | |
Series F | |
3.20% | | | 03/15/22 | | | | 15,870,000 | | | | 16,197,398 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 94,379,228 | |
| | | | | | | | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2014 / 84
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MUNICIPAL BONDS (continued) | |
Texas — 0.39% | |
City of Houston Texas, Taxable Pension | |
Obligation, Series A | |
6.29% | | | 03/01/32 | | | $ | 78,145,000 | | | $ | 97,050,620 | |
State of Texas, Build America Bonds | |
5.52% | | | 04/01/39 | | | | 29,280,000 | | | | 36,539,683 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 133,590,303 | |
| | | | | | | | | | | | |
| | | | | |
Total Municipal Bonds | |
(Cost $518,187,745) | | | | 546,145,163 | |
| | | | | | | | | | | | |
U.S. AGENCY SECURITIES — 0.81% | |
U.S. Agency Securities — 0.81% | |
Federal Farm Credit Bank | |
0.18% | | | 04/26/17 | 3 | | | 52,655,000 | | | | 52,711,762 | |
0.20% | | | 04/17/17 | 3 | | | 27,465,000 | | | | 27,508,944 | |
0.21% | | | 02/27/17 | 3 | | | 133,065,000 | | | | 133,299,727 | |
Federal Home Loan Bank | |
0.22% | | | 10/07/15 | 3 | | | 61,965,000 | | | | 62,023,557 | |
| | | | | | | | | | | | |
| | | | | |
Total U.S. Agency Securities | |
(Cost $275,146,595) | | | | 275,543,990 | |
| | | | | | | | | | | | |
| | | | | |
U.S. TREASURY SECURITIES — 31.43% | |
U.S. Treasury Bonds — 6.33% | |
U.S. Treasury Bonds | |
2.75% | | | 08/15/42 | | | | 59,290,000 | | | | 54,342,961 | |
3.12% | | | 02/15/42 | | | | 155,870,000 | | | | 154,384,403 | |
3.12% | | | 08/15/44 | | | | 971,005,000 | | | | 955,226,120 | |
3.62% | | | 02/15/44 | | | | 43,800,000 | | | | 47,345,084 | |
3.75% | | | 11/15/43 | | | | 583,360,000 | | | | 644,886,396 | |
U.S. Treasury Bonds - Treasury Inflation | |
Indexed Bonds | |
1.38% | | | 02/15/44 | 13 | | | 177,185,000 | | | | 193,869,573 | |
U.S. Treasury Bonds (Strip Principal) | |
0.00% | | | 11/15/27 | 12 | | | 159,440,000 | | | | 109,017,671 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 2,159,072,208 | |
| | | | | | | | | | | | |
| | | | | |
U.S. Treasury Notes — 25.10% | |
U.S. Treasury Notes | |
0.25% | | | 10/31/14 | | | | 200,000 | | | | 200,043 | |
0.50% | | | 06/30/16 | | | | 400,000,000 | | | | 400,296,876 | |
0.50% | | | 07/31/16 | | | | 1,302,165,000 | | | | 1,302,487,064 | |
0.50% | | | 08/31/16 | | | | 942,260,000 | | | | 941,358,257 | |
0.50% | | | 09/30/16 | | | | 1,000,000,000 | | | | 998,398,000 | |
0.62% | | | 08/31/17 | | | | 131,675,000 | | | | 129,931,333 | |
0.88% | | | 09/15/16 | | | | 309,570,000 | | | | 311,293,122 | |
0.88% | | | 05/15/17 | | | | 403,565,000 | | | | 403,076,283 | |
0.88% | | | 07/15/17 | | | | 339,960,000 | | | | 338,826,291 | |
1.38% | | | 07/31/18 | | | | 263,000,000 | | | | 261,968,088 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
U.S. TREASURY SECURITIES (continued) | |
U.S. Treasury Notes (continued) | |
2.12% | | | 01/31/21 | | | $ | 419,265,000 | | | $ | 419,297,703 | |
2.38% | | | 08/15/24 | | | | 673,755,000 | | | | 666,110,286 | |
2.50% | | | 05/15/24 | | | | 238,815,000 | | | | 238,992,201 | |
2.75% | | | 11/15/23 | | | | 440,687,000 | | | | 451,755,824 | |
2.75% | | | 02/15/24 | | | | 1,301,735,000 | | | | 1,332,549,671 | |
U.S. Treasury Notes - Treasury Inflation | |
Indexed Notes | |
0.12% | | | 04/15/17 | 13 | | | 134,910,000 | | | | 143,478,953 | |
0.12% | | | 07/15/24 | 13 | | | 128,590,000 | | | | 123,896,173 | |
0.50% | | | 04/15/15 | 13 | | | 41,030,000 | | | | 45,168,286 | |
1.62% | | | 01/15/15 | 13 | | | 46,685,000 | | | | 58,329,034 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 8,567,413,488 | |
| | | | | | | | | | | | |
| | | | | |
Total U.S. Treasury Securities | |
(Cost $10,614,330,020) | | | | 10,726,485,696 | |
| | | | | | | | | | | | |
|
Total Bonds – 100.06% | |
(Cost $33,066,926,269) | | | | 34,145,465,725 | |
| | | | | | | | | | | | |
| | | | | |
| Issues | | | | | Shares | | | Value | |
COMMON STOCK — 0.04% | |
Electric — 0.04% | |
Dynegy, Inc.10 | | | | 439,047 | | | | 12,670,891 | |
| | | | | | | | | | | | |
|
Total Common Stock | |
(Cost $8,442,870) | | | | | |
| | | | | |
| Issues | | | | | Contracts | | | Value | |
CALL OPTIONS PURCHASED — 0.00% | |
Call Options Purchased — 0.00% | |
Eurodollar One Year Mid-curve Option, Call, | |
Strike $99.00, Expires | | | | | |
03/13/15 | | | | 2,300 | | | | 258,750 | |
IMM Eurodollar Future Options, Call, Strike | |
$99.63, Expires 03/16/15 | | | | 2,300 | | | | 474,375 | |
| | | | | | | | | | | | |
|
Total Call Options Purchased | |
(Cost $729,146) | | | | 733,125 | |
| | | | | | | | | | | | |
| | | | | |
| Issues | | | | | Contracts | | | Value | |
PUT OPTIONS PURCHASED — 0.04% | |
Put Options Purchased — 0.04% | |
Eurodollar One Year Mid-curve Option, Call, | |
Strike $99.00, Expires 12/12/14 | | | | 10,000 | | | | 4,000,000 | |
IMM Eurodollar Future Options, Put, Strike | |
| $99.50, Expires 03/16/15 | | | | 12,000 | | | | 525,000 | |
| IMM Eurodollar Future Options, Put, Strike | |
| $99.50, Expires 06/15/15 | | | | 10,100 | | | | 3,661,250 | |
| U.S. 10 Year Future Option, December 2014 | |
| Put, Strike 124.00, Expires 11/21/14 | | | | 5,700 | | | | 3,473,438 | |
| | | | | | | | | | | | |
|
Total Put Options Purchased | |
(Cost $12,399,208) | | | | 11,659,688 | |
| | | | | | | | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
85 / Semi-Annual Report September 2014
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | |
| Issues | | | | Notional
Amount
(000’s) | | | Value | |
PURCHASED SWAPTIONS — 0.08% | |
| | |
| Option to enter into a 5-year Interest Rate Swap for the Fund to pay a floating rate based on 3-month USD LIBOR in exchange for receiving a fixed rate of 5.00% annually; Option Expiration Date of 01/14/19. Counterparty: Barclays, Inc. | | $ | 57,150 | | | $ | 1,591,393 | |
| | |
| Option to enter into a 5-year Interest Rate Swap for the Fund to pay a floating rate based on 3-month USD LIBOR in exchange for receiving a fixed rate of 5.00% annually; Option Expiration Date of 01/14/19. Counterparty: Morgan Stanley | | | 90,000 | | | | 2,506,131 | |
| | |
| Option to enter into a 30-year Interest Rate Swap for the counterparty to pay the Fund a floating rate based on 3-month USD LIBOR in exchange for receiving from the Fund a fixed rate of 4.50% annually; Option Expiration Date of 03/13/18. Counterparty: Barclays, Inc.14 | | | 16,650 | | | | 648,221 | |
| | |
| Option to enter into a 30-year Interest Rate Swap for the counterparty to pay the Fund a floating rate based on 3-month USD LIBOR in exchange for receiving from the Fund a fixed rate of 4.50% annually; Option Expiration Date of 03/13/18. Counterparty: Citigroup, Inc.15 | | | 106,585 | | | | 4,149,589 | |
| | |
| Option to enter into a 30-year Interest Rate Swap for the counterparty to pay the Fund a floating rate based on 3-month USD LIBOR in exchange for receiving from the Fund a fixed rate of 4.50% annually; Option Expiration Date of 03/13/18. Counterparty: Deutsche Bank AG16 | | | 157,135 | | | | 6,117,611 | |
| | |
| Option to enter into a 30-year Interest Rate Swap for the counterparty to pay the Fund a floating rate based on 3-month USD LIBOR in exchange for receiving from the Fund a fixed rate of 4.50% annually; Option Expiration Date of 03/13/18. Counterparty: Goldman Sachs Group, Inc.17 | | | 99,450 | | | | 3,871,807 | |
| | |
| Option to enter into a 30-year Interest Rate Swap for the Fund to pay a floating rate based on 3-month USD LIBOR in exchange for receiving a fixed rate of 4.50% annually; Option Expiration Date of 04/09/18. Counterparty: Barclays, Inc.18 | | | 65,450 | | | | 2,603,084 | |
| | |
| Option to enter into a 30-year Interest Rate Swap for the Fund to pay a floating rate based on 3-month USD LIBOR in exchange for receiving a fixed rate of 4.50% annually; Option Expiration Date of 04/09/18. Counterparty: Deutsche Bank AG19 | | | 150,000 | | | | 5,965,815 | |
| | | | | | | | | | |
Total Purchased Swaptions | |
(Cost $50,818,471) | | | | | | | | | 27,453,651 | |
| | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount/
Shares | | | Value | |
SHORT-TERM INVESTMENTS — 12.10% | |
Commercial Paper — 1.56% | |
Macquarie Bank Ltd. (Australia) | |
0.23%20 | | | 11/24/14 | 2,4 | | $ | 282,590,000 | | | $ | 282,516,320 | |
RBS Holdings USA, Inc. | | | | | |
0.19%20 | | | 10/27/14 | | | | 250,435,000 | | | | 250,403,561 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 532,919,881 | |
| | | | | | | | | | | | |
Money Market Funds — 1.96% | |
Dreyfus Cash Advantage Fund | |
0.01%21,22 | | | | | | | 340,653,000 | | | | 340,653,000 | |
Morgan Stanley Institutional Fund | |
0.04%21 | | | | | | | 326,848,000 | | | | 326,848,000 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 667,501,000 | |
| | | | | | | | | | | | |
Repurchase Agreements — 0.84% | |
| RBS (Dated 9/30/14, total to be received $288,000,080, (collateralized by U.S. government sponsored agency obligations, 0.00% to 9.38%, due from 10/02/14 to 4/15/30, par and fair value of $379,014,000 and $293,761,004, respectively)) | | | | | | | | | |
0.01% | | | 10/01/14 | | | | 288,000,000 | | | | 288,000,000 | |
| | | | | | | | | | | | |
U.S. Agency Discount Notes — 7.70% | |
Fannie Mae | | | | | | | | | | | | |
0.04%20 | | | 02/09/15 | | | | 227,910,000 | | | | 227,901,795 | |
0.08%20 | | | 03/03/15 | | | | 150,000,000 | | | | 149,987,250 | |
Federal Home Loan Bank | |
0.05%20 | | | 12/02/14 | | | | 200,000,000 | | | | 199,998,200 | |
0.06%20 | | | 10/22/14 | | | | 39,215,000 | | | | 39,214,375 | |
0.06%20 | | | 11/24/14 | | | | 199,570,000 | | | | 199,569,102 | |
0.06%20 | | | 03/25/15 | | | | 122,318,000 | | | | 122,306,135 | |
0.06%20 | | | 03/27/15 | | | | 150,000,000 | | | | 149,985,300 | |
0.06%20 | | | 03/20/15 | | | | 330,515,000 | | | | 330,483,932 | |
0.06%20 | | | 10/24/14 | | | | 200,000,000 | | | | 199,991,694 | |
0.06%20 | | | 11/21/14 | | | | 129,035,000 | | | | 129,034,452 | |
0.06%20 | | | 11/21/14 | | | | 110,200,000 | | | | 110,199,532 | |
0.07%20 | | | 11/21/14 | | | | 113,300,000 | | | | 113,299,518 | |
0.07%20 | | | 11/28/14 | | | | 160,000,000 | | | | 159,999,227 | |
0.08%20 | | | 03/18/15 | | | | 90,725,000 | | | | 90,716,563 | |
0.08%20 | | | 10/31/14 | | | | 259,000,000 | | | | 258,997,629 | |
0.09%20 | | | 10/31/14 | | | | 145,510,000 | | | | 145,508,668 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 2,627,193,372 | |
| | | | | | | | | | | | |
U.S. Treasury Bills — 0.04% | |
U.S. Treasury Bills | |
0.00%20 | | | 12/11/14 | 23 | | | 551,000 | | | | 550,989 | |
0.01%20 | | | 12/04/14 | 23 | | | 1,436,000 | | | | 1,435,974 | |
0.02%20 | | | 12/11/14 | 23 | | | 1,837,000 | | | | 1,836,963 | |
0.02%20 | | | 12/04/14 | 23 | | | 3,163,000 | | | | 3,162,943 | |
0.03%20 | | | 11/06/14 | 23 | | | 5,452,000 | | | | 5,451,890 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2014 / 86
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount/
Shares | | | Value | |
SHORT-TERM INVESTMENTS (continued) | |
U.S. Treasury Bills (continued) | |
0.03%20 | | | 11/06/14 | 23 | | $ | 730,000 | | | $ | 729,986 | |
0.05%20 | | | 11/06/14 | 23 | | | 100,000 | | | | 99,998 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 13,268,743 | |
| | | | | | | | | | | | |
Total Short-Term Investments | |
(Cost $4,128,540,455) | | | | 4,128,882,996 | |
| | | | | | | | | | | | |
|
Total Investments – 112.32% | |
(Cost $37,267,856,419)1 | | | | 38,326,866,076 | |
| | | | | | | | | | | | |
|
Liabilities in Excess of Other | |
Assets – (12.32)% | | | | (4,203,155,783 | ) |
| | | | | | | | | | | | |
| |
Net Assets – 100.00% | | | $ | 34,123,710,293 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Notional
Amount
(000’s) | | | Premiums
(Received) | | | Value | |
WRITTEN SWAPTIONS | |
|
| Option to enter into a 5-year Interest Rate Swap for the Fund to pay a floating rate based on 3-month USD LIBOR in exchange for receiving a fixed rate of 5.00% annually; Option Expiration Date of 01/14/19. Counterparty: Barclays, Inc. | |
| | $ | (216,060 | ) | | $ | (5,592,141 | ) | | $ | (2,421,579 | ) |
|
| Option to enter into a 5-year Interest Rate Swap for the Fund to pay a floating rate based on 3-month USD LIBOR in exchange for receiving a fixed rate of 5.00% annually; Option Expiration Date of 01/14/19. Counterparty: Morgan Stanley | |
| | | (340,000 | ) | | | (8,730,000 | ) | | | (3,810,686 | ) |
| | | | | | | | | | | | |
| | |
Total Written Swaptions | | | $ | (14,322,141 | ) | | $ | (6,232,265 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Contracts | | | Premiums
(Received) | | | Value | |
CALL OPTIONS WRITTEN | |
|
| Eurodollar One Year | |
| Mid-curve Option, Call, Strike | |
| $98.88, Expires 03/13/15 | | | (2,300 | ) | | $ | (656,052 | ) | | $ | (460,000 | ) |
IMM Eurodollar Future | |
Options, Call, Strike $99.75, | |
| Expires 03/16/15 | | | (2,300 | ) | | | (23,552 | ) | | | (86,250 | ) |
| | | | | | | | | | | | |
| | |
Total Call Options Written | | | $ | (679,604 | ) | | $ | (546,250 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Contracts | | | Premiums
(Received) | | | Value | |
PUT OPTIONS WRITTEN | |
|
Eurodollar One Year | |
Mid-curve Option, Put, Strike | |
| $98.625, Expires 12/12/14 | | | (10,000 | ) | | $ | (1,352,400 | ) | | $ | (625,000 | ) |
Eurodollar One Year | |
Mid-curve Option, Put, Strike | |
| $98.75, Expires 12/12/14 | | | (10,000 | ) | | | (2,102,400 | ) | | | (1,312,500 | ) |
| | | | | | | | | | | | |
| Issues | | Contracts | | | Premiums
(Received) | | | Value | |
| PUT OPTIONS WRITTEN (continued) | |
|
IMM Eurodollar Future | |
Options, Put, Strike $98.875, | |
Expires 06/15/15 | | | (20,000 | ) | | $ | (954,800 | ) | | $ | (750,000 | ) |
IMM Eurodollar Future | |
Options, Put, Strike $99.125, | |
Expires 06/15/15 | | | (20,300 | ) | | | (2,430,372 | ) | | | (1,776,250 | ) |
IMM Eurodollar Future | |
Options, Put, Strike $99.38, | |
Expires 03/16/15 | | | (24,000 | ) | | | (845,760 | ) | | | (450,000 | ) |
U.S. 10 Year Future Option, | |
December 2014 Put, Strike | |
| 122.50, Expires 11/21/14 | | | (5,700 | ) | | | (1,496,151 | ) | | | (1,246,875 | ) |
| U.S. 10 Year Future Option, | |
| December 2014 Put, Strike | |
| 125.00, Expires 11/21/14 | | | (5,700 | ) | | | (877,401 | ) | | | (890,625 | ) |
| | | | | | | | | | | | |
Total Put Options Written | | | $ | (10,059,284 | ) | | $ | (7,051,250 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | | | | | | |
| Contracts | | | | | | Unrealized
Appreciation/
(Depreciation) | |
FUTURES CONTRACTS: LONG POSITIONS | |
| | |
4,355 | | Euro Dollar Ninety Day, | | | | |
| | Expiration March 2015 | | $ | 181,914 | |
2,000 | | Euro Dollar Ninety Day, | | | | |
| | Expiration June 2015 | | | 7,485 | |
9,000 | | Euro Dollar Ninety Day, | | | | |
| | Expiration December 2016 | | | (544,228 | ) |
3,869 | | U.S. Treasury Five Year Note, | | | | |
| | Expiration December 2014 | | | (1,459,610 | ) |
2,445 | | U.S. Treasury Ten Year Note, | | | | |
| | Expiration December 2014 | | | (1,202,388 | ) |
1,597 | | U.S. Treasury Ultra Bond, | | | | |
| | Expiration December 2014 | | | (2,552,475 | ) |
| | | | | | | | |
| | |
| | Net unrealized (depreciation) | | $ | (5,569,302 | ) |
| | | | | | | | |
| | | | | | | | |
| Contracts | | | | | | Unrealized
Appreciation/
(Depreciation) | |
FUTURES CONTRACTS: SHORT POSITIONS | |
| | |
2,000 | | Euro Dollar Ninety Day, | | | | |
| | Expiration December 2015 | | $ | 170,015 | |
4,355 | | Euro Dollar Ninety Day, | | | | |
| | Expiration March 2016 | | | 1,816,538 | |
7,000 | | Euro Dollar Ninety Day, | | | | |
| | Expiration December 2017 | | | (219,560 | ) |
2,000 | | Euro Dollar Ninety Day, | | | | |
| | Expiration December 2018 | | | 1,584 | |
2,641 | | U.S. Treasury Thirty Year Long Bond, | | | | |
| | Expiration December 2014 | | | 3,042,410 | |
| | | | | | | | |
| | |
| | Net unrealized appreciation | | $ | 4,810,987 | |
| | | | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
87 / Semi-Annual Report September 2014
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | | | | | | | |
| | | Expiration Date | | Premiums
Paid/ (Received) | | Notional Amount (000’s) | | | Appreciation/
(Depreciation) | | | Value | |
SWAPS: INTEREST RATE | |
|
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 1.92% quarterly. Counterparty: Goldman Sachs, Inc. | |
| | | | | |
| | 09/02/19 | | $– | | $ | 103,000 | | | $ | 96,040 | | | $ | 96,040 | |
|
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 2.67% quarterly. Counterparty: Goldman Sachs, Inc. | |
| | | | | |
| | 09/02/24 | | – | | | 55,000 | | | | (210,724 | ) | | | (210,724 | ) |
|
The Fund pays a floating rate based on 3-month USD LIBOR quarterly and the Fund receives from the counterparty a fixed rate equal to 3.15% semi-annually. Counterparty: Deutsche Bank AG | |
| | | | | |
| | 03/15/26 | | – | | | 176,000 | | | | 54,366 | | | | 54,366 | |
|
The Fund pays a floating rate based on 3-month USD LIBOR quarterly and the Fund receives from the counterparty a fixed rate equal to 3.15% semi-annually. Counterparty: Barclays, Inc. | |
| | | | | |
| | 03/15/26 | | – | | | 105,370 | | | | 32,549 | | | | 32,549 | |
|
The Fund pays a floating rate based on 3-month USD LIBOR quarterly and the Fund receives from the counterparty a fixed rate equal to 2.80% semi-annually. Counterparty: Goldman Sachs Group, Inc. | |
| | | | | |
| | 04/09/26 | | – | | | 100,730 | | | | (3,070,704 | ) | | | (3,070,704 | ) |
|
The Fund pays a floating rate based on 3-month USD LIBOR quarterly and the Fund receives from the counterparty a fixed rate equal to 2.81% semi-annually. Counterparty: Barclays, Inc. | |
| | | | | |
| | 04/09/26 | | – | | | 195,580 | | | | (5,941,290 | ) | | | (5,941,290 | ) |
|
The Fund pays a fixed rate equal to 2.48% semi-annually and the Fund receives from the counterparty a floating rate based on 3-month USD LIBOR quarterly. Counterparty: Barclays, Inc. | |
| | | | | |
| | 11/15/27 | | – | | | 50,120 | | | | 923,728 | | | | 923,728 | |
|
The Fund pays a fixed rate equal to 2.42% semi-annually and the Fund receives from the counterparty a floating rate based on 3-month USD LIBOR quarterly. Counterparty: Barclays, Inc. | |
| | | | | |
| | 11/15/27 | | – | | | 49,760 | | | | 1,394,717 | | | | 1,394,717 | |
|
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 2.75% quarterly. Counterparty: Barclays, Inc. | |
| | | | | |
| | 02/17/42 | | – | | | 54,815 | | | | 4,298,312 | | | | 4,298,312 | |
|
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 2.72% quarterly. Counterparty: Barclays, Inc. | |
| | | | | |
| | 02/17/42 | | – | | | 45,000 | | | | 3,747,424 | | | | 3,747,424 | |
|
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 2.72% quarterly. Counterparty: Morgan Stanley | |
| | | | | |
| | 02/17/42 | | – | | | 45,000 | | | | 3,747,424 | | | | 3,747,424 | |
|
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 2.72% quarterly. Counterparty: Citigroup, Inc. | |
| | | | | |
| | 08/15/42 | | – | | | 53,985 | | | | 4,667,815 | | | | 4,667,815 | |
|
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 3.68% quarterly. Counterparty: Citigroup, Inc. | |
| | | | | |
| | 11/15/43 | | – | | | 50,000 | | | | (5,306,611 | ) | | | (5,306,611 | ) |
|
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 3.68% quarterly. Counterparty: Citigroup, Inc. | |
| | | | | |
| | 11/15/43 | | – | | | 43,685 | | | | (4,630,362 | ) | | | (4,630,362 | ) |
| | | | | | | | | | | | | | | | |
| | | Expiration Date | | Premiums
Paid/ (Received) | | Notional Amount (000’s) | | | Appreciation/
(Depreciation) | | | Value | |
SWAPS: INTEREST RATE (continued) | |
|
The Fund pays a floating rate based on 3-month USD LIBOR quarterly and the Fund receives from the counterparty a fixed rate equal to 3.49% semi-annually. Counterparty: Deutsche Bank AG | |
| | | | | |
| | 03/15/46 | | $– | | | $ 78,900 | | | | $(1,150,693 | ) | | | $(1,150,693 | ) |
|
The Fund pays a floating rate based on 3-month USD LIBOR quarterly and the Fund receives from the counterparty a fixed rate equal to 3.49% semi-annually. Counterparty: Barclays, Inc. | |
| | | | | |
| | 03/15/46 | | – | | | 47,250 | | | | (678,042 | ) | | | (678,042 | ) |
|
The Fund pays a floating rate based on 3-month USD LIBOR quarterly and the Fund receives from the counterparty a fixed rate equal to 3.13% semi-annually. Counterparty: Goldman Sachs Group, Inc. | |
| | | | | |
| | 04/09/46 | | – | | | 45,240 | | | | 2,506,767 | | | | 2,506,767 | |
|
The Fund pays a floating rate based on 3-month USD LIBOR quarterly and the Fund receives from the counterparty a fixed rate equal to 3.13% semi-annually. Counterparty: Barclays, Inc. | |
| | | | | |
| | 04/09/46 | | – | | | 87,920 | | | | 4,871,682 | | | | 4,871,682 | |
| | | | | |
| | | | $– | | | $1,387,355 | | | | $5,352,398 | | | | $5,352,398 | |
| | | | | | | | | | | | | | | | |
| | | Expiration
Date | | Premiums Paid | | Notional Amount (000’s)a | | | (Depreciation) | | | Value | |
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES | |
|
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Goldman Sachs Group, Inc., 6.60%, due 01/15/12. Counterparty: Deutsche Bank AG | |
| | | | | |
| | 09/20/16 | | $283,737 | | | $ 9,800 | | | | $ (396,339 | ) | | | $(112,602 | ) |
|
The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Goldman Sachs Group, Inc., 6.60%, due 01/15/12. Counterparty: JPMorgan Chase & Co. | |
| | | | | |
| | 09/20/16 | | 706,446 | | | 24,400 | | | | (986,802 | ) | | | (280,356 | ) |
| | | | | |
| | | | $990,183 | | | $34,200 | | | | $(1,383,141 | ) | | | $(392,958 | ) |
| | | | | | | | | | | | | | | | |
| | | Expiration
Date | | Premiums
(Received) | | Notional
Amount
(000’s) | | | Appreciation | | | Value | |
SWAPTION: RATE FLOOR INFLATION | |
|
The Fund received a fixed payment equal to $735,540 and the Fund will pay to the counterparty a floating rate based on the Consumer Price Indexes-Urban at expiration of the swaption 11/23/20. Counterparty: Citigroup, Inc. | |
| | | | | |
| | 11/23/20 | | $(735,540) | | | $63,960 | | | | $699,083 | | | | $(36,457 | ) |
| | | | | |
| | | | $(735,540) | | | $63,960 | | | | $699,083 | | | | $(36,457 | ) |
| a | The maximum potential payment the Fund could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of the swap agreement. |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2014 / 88
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
Notes:
| 1 | Cost for federal income tax purposes is $37,282,034,915 and net unrealized appreciation/(depreciation) consists of: |
| | | | |
Gross unrealized appreciation | | $ | 1,199,568,199 | |
Gross unrealized (depreciation) | | | (154,737,038 | ) |
| | | | |
| |
Net unrealized appreciation | | $ | 1,044,831,161 | |
| | | | |
| 2 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| 3 | Floating rate security. The rate disclosed was in effect at September 30, 2014. |
| 4 | U.S. dollar-denominated security issued by foreign-domiciled entity. |
| 5 | Private placements under procedures approved by the Fund’s Board of Trustees. |
| 6 | Illiquid security as determined under procedures approved by the Funds’ Board of Trustees. The aggregate value of illiquid securities is $34,502,334, which is 0.10% of total net assets. |
| 7 | Worthless due to company bankruptcy filing. |
| 8 | Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer. 8.14% cash or 8.64% payment-in-kind interest. |
| 9 | Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer. 8.73% cash or 9.23% payment-in-kind interest. |
| 10 | Non-income producing security. |
| 11 | Security is currently in default with regard to scheduled interest or principal payments. |
| 12 | Zero coupon bond. The rate shown is the effective yield as of September 30, 2014. |
| 13 | Inflation protected security. Principal amount reflects original security face amount. |
| 14 | Forward settling fee due at maturity in the amount of $(1,263,735). |
| 15 | Forward settling fee due at maturity in the amount of $(7,919,266). |
| 16 | Forward settling fee due at maturity in the amount of $(11,675131). |
| 17 | Forward settling fee due at maturity in the amount of $(7,488,585). |
| 18 | Forward settling fee due at maturity in the amount of $(3,855,005). |
| 19 | Forward settling fee due at maturity in the amount of $(8,775,000). |
| 20 | Represents annualized yield at date of purchase. |
| 21 | Represents the current yield as of September 30, 2014. |
| 22 | Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $13,960,000. |
| 23 | Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $13,268,665. |
| † | Fair valued security. The aggregate value of fair valued securities is $83,724,152, which is 0.25% of total net assets, which have not been valued utilizing an independent quote and were valued pursuant to guidelines established by the Board of Trustees. This figure represents securities that are priced using a benchmark pricing system and securities that have been deemed permanently stale, see Notes to Financial Statements. |
| * | Securities with a call or reset feature will have an effective maturity date sooner than the stated maturity. |
| ** | Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date sooner than the stated maturity date. |
Note: For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for more meaningful presentation for investors.
(BKNT): Banker’s Note, Inc.
(IO): Interest only
(LIBOR): London InterBank Offer Rate
(MTN): Medium-term Note
(PIK): Payment in kind
(PO): Principal only
(STEP): Step coupon bond
(TBA): To be announced
(USD): U.S. dollar
(WI): When issued
(YCD): Yankee Certificate of Deposit
See accompanying notes to Schedule of Portfolio Investments.
89 / Semi-Annual Report September 2014
High Yield Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BONDS – 91.54% | |
ASSET-BACKED SECURITIES — 1.03%** | |
BlueMountain CLO Ltd., Series 2012-2A, | |
Class C (Cayman Islands) | |
2.98% | | | 11/20/24 | 2,3,4 | | $ | 3,125,000 | | | $ | 3,035,063 | |
Halcyon Loan Advisors Funding Ltd., | |
Series 2012-2A, Class C (Cayman Islands) | |
3.08% | | | 12/20/24 | 2,3,4 | | | 3,250,000 | | | | 3,146,568 | |
Highbridge Loan Management Ltd., Series | |
3A-2014, Class A2 (Cayman Islands) | |
2.08% | | | 01/18/25 | 2,3,4 | | | 4,680,000 | | | | 4,531,710 | |
LCM LP, Series 12A, Class C | |
(Cayman Islands) | |
3.48% | | | 10/19/22 | 2,3,4 | | | 2,400,000 | | | | 2,399,995 | |
LCM LP, Series 12A, Class D | |
(Cayman Islands) | |
4.73% | | | 10/19/22 | 2,3,4 | | | 1,900,000 | | | | 1,900,338 | |
Race Point CLO Ltd., Series 2012-7A, | |
Class C (Cayman Islands) | |
3.22% | | | 11/08/24 | 2,3,4 | | | 3,300,000 | | | | 3,249,322 | |
| | | | | | | | | | | | |
Total Asset-Backed Securities | |
(Cost $18,199,767) | | | | 18,262,996 | |
| | | | | | | | | | | | |
|
BANK LOANS — 9.74%* | |
Automotive — 0.56% | |
Navistar, Inc., Term Loan B, 1st Lien | |
5.75% | | | 08/17/17 | 3 | | | 10,000,000 | | | | 10,050,000 | |
| | | | | | | | | | | | |
|
Communications — 1.24% | |
Charter Communications Operating LLC, | |
Term Loan G, 1st Lien | |
4.25% | | | 09/10/21 | 3 | | | 12,000,000 | | | | 11,985,660 | |
Level 3 Financing, Inc., Term Loan B, 1st Lien | |
4.00% | | | 01/15/20 | 3 | | | 2,000,000 | | | | 1,967,250 | |
Level 3 Financing, Inc., Term Loan, | |
Tranche B-III 2019 | |
4.00% | | | 08/01/19 | 3 | | | 2,250,000 | | | | 2,213,437 | |
Numericable U.S. LLC, Term Loan B1, | |
1st Lien | |
4.50% | | | 05/21/20 | 3 | | | 536,154 | | | | 533,425 | |
Numericable U.S. LLC, Term Loan B2, | |
1st Lien | |
4.50% | | | 05/21/20 | 3 | | | 463,846 | | | | 461,485 | |
PR Wireless, Inc., Term Loan B, 1st Lien | |
10.00% | | | 05/15/20 | 3 | | | 2,578,538 | | | | 2,552,752 | |
Univision Communications, Inc., | |
Converted Extended Term Loan, 1st Lien | |
4.00% | | | 03/01/20 | 3 | | | 2,494,999 | | | | 2,452,122 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 22,166,131 | |
| | | | | | | | | | | | |
Consumer Discretionary — 0.25% | |
Hilton Worldwide Finance LLC, | |
Term Loan B2, 1st Lien | |
3.50% | | | 10/25/20 | 3 | | | 4,532,895 | | | | 4,468,664 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BANK LOANS (continued) | |
Consumer Products — 0.16% | |
Sun Products Corp., Term Loan | |
5.50% | | | 03/23/20 | 3 | | $ | 2,933,033 | | | $ | 2,766,232 | |
| | | | | | | | | | | | |
|
Electric — 3.46% | |
Boston Generating LLC, Term Loan, 1st Lien5 | |
0.00% | | | 12/31/14 | 3,6,7,8,† | | | 254,344 | | | | – | |
Dynegy, Inc., Term Loan B2, 1st Lien | |
4.00% | | | 04/23/20 | 3 | | | 2,430,769 | | | | 2,415,966 | |
Entegra Holdings LLC, Term Loan B, | |
3rd Lien (PIK)5 | |
0.00% | | | 10/19/15 | 3,8,9 | | | 28,520,705 | | | | 18,467,157 | |
Entegra Holdings LLC, Term Loan, | |
2nd Lien (PIK) | |
10.00% | | | 03/27/17 | 3,6,9,† | | | 5,261,670 | | | | 5,287,956 | |
La Frontera Generation LLC, Term Loan B, | |
1st Lien | |
4.50% | | | 09/30/20 | 3 | | | 7,070,788 | | | | 6,998,984 | |
Moxie Liberty LLC (Panda), | |
Term Loan, 1st Lien | |
7.50% | | | 08/21/20 | 3 | | | 8,250,000 | | | | 8,435,625 | |
Panda Temple Power II LLC | |
7.25% | | | 04/03/19 | 3 | | | 2,000,000 | | | | 2,050,000 | |
Utility Services Associates, Term Loan B, | |
1st Lien | |
6.75% | | | 10/18/19 | 3 | | | 11,213,754 | | | | 11,269,823 | |
Viva Alamo LLC, Term Loan B, 1st Lien | |
4.75% | | | 02/22/21 | 3 | | | 6,716,250 | | | | 6,657,483 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 61,582,994 | |
| | | | | | | | | | | | |
Energy — 1.77% | |
Drillships Financing Holding, Term Loan B1, | |
1st Lien | |
6.00% | | | 03/31/21 | 3 | | | 2,331,612 | | | | 2,241,262 | |
Harvey Gulf International Marine, | |
Term Loan B, 1st Lien | |
5.50% | | | 06/18/20 | 3 | | | 6,187,500 | | | | 6,104,371 | |
MEG Energy Corp., Term Loan B, 1st Lien | |
(Canada) | |
3.75% | | | 03/31/20 | 2,3 | | | 698,206 | | | | 695,462 | |
Murray Energy Corp., Term Loan B, 1st Lien | |
5.25% | | | 12/05/19 | 3 | | | 2,288,500 | | | | 2,288,145 | |
Pacific Drilling SA, Term Loan B, 1st Lien | |
4.50% | | | 06/03/18 | 3 | | | 989,975 | | | | 960,276 | �� |
Peabody Energy Corp., Term Loan, 1st Lien | |
4.25% | | | 09/24/20 | 3 | | | 4,455,000 | | | | 4,354,763 | |
Power Buyer LLC, Delayed-Draw Term Loan, | |
1st Lien | |
4.25% | | | 05/06/20 | 3 | | | 23,376 | | | | 22,966 | |
Power Buyer LLC, Term Loan, 1st Lien | |
4.25% | | | 05/06/20 | 3 | | | 438,889 | | | | 431,208 | |
Power Buyer LLC, Term Loan, 2nd Lien | |
8.25% | | | 11/06/20 | 3 | | | 4,150,000 | | | | 4,046,250 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2014 / 90
High Yield Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BANK LOANS (continued) | |
Energy (continued) | |
Sabine Oil & Gas LLC, Term Loan, 2nd Lien | |
8.75% | | | 12/31/18 | 3 | | $ | 6,350,000 | | | $ | 6,361,906 | |
TPF II LC LLC, Term Loan, 1st Lien | |
7.75% | | | 08/21/19 | 3 | | | 3,898,530 | | | | 3,971,627 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 31,478,236 | |
| | | | | | | | | | | | |
Finance — 0.15% | |
Delos Finance SARL, Term Loan B, 1st Lien | |
3.50% | | | 03/06/21 | 3 | | | 2,750,000 | | | | 2,720,781 | |
|
Health Care — 0.67% | |
CHS/Community Health Systems, Inc., | |
Term Loan D, 1st Lien | |
4.25% | | | 01/27/21 | 3 | | | 3,473,750 | | | | 3,467,862 | |
DaVita Healthcare Partners, Inc., | |
Term Loan B, 1st Lien | |
3.50% | | | 06/19/21 | 3 | | | 3,491,250 | | | | 3,457,874 | |
RegionalCare Hospital Partners, Inc., | |
Term Loan, 1st Lien | |
6.00% | | | 04/21/19 | 3 | | | 2,992,500 | | | | 3,001,852 | |
Valeant Pharmaceuticals International, Inc., | |
Term Loan (Canada) | |
3.75% | | | 08/05/20 | 2,3 | | | 2,005,533 | | | | 1,984,976 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 11,912,564 | |
| | | | | | | | | | | | |
Industrials — 1.04% | |
BWAY Holding Co., Term Loan B, 1st Lien | |
5.50% | | | 08/08/20 | 3 | | | 1,995,000 | | | | 1,996,257 | |
Jazz Acquisition, Inc., Term Loan, 2nd Lien | |
7.75% | | | 06/26/22 | 3 | | | 1,500,000 | | | | 1,494,375 | |
Maxim Crane Works LP, Term Loan B, | |
2nd Lien | |
10.25% | | | 11/26/18 | 3 | | | 6,000,000 | | | | 6,137,520 | |
OSG International, Inc., | |
Term Loan B-Exit, 1st Lien | |
5.75% | | | 07/08/19 | 3 | | | 1,995,000 | | | | 1,990,013 | |
Synagro Infrastructure, Term Loan, 1st Lien | |
6.25% | | | 08/22/20 | 3 | | | 6,930,000 | | | | 6,817,387 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 18,435,552 | |
| | | | | | | | | | | | |
Transportation — 0.44% | |
American Airlines, Inc., Term Loan B | |
3.75% | | | 06/27/19 | 3 | | | 7,900,000 | | | | 7,779,525 | |
| | | | | | | | | | | | |
|
Total Bank Loans | |
(Cost $180,481,782) | | | | 173,360,679 | |
| | | | | | | | | | | | |
|
CORPORATES — 80.75%* | |
Automotive — 0.12% | |
Goodyear Tire & Rubber Co. | |
8.25% | | | 08/15/20 | | | | 2,010,000 | | | | 2,145,675 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Banking — 1.57% | |
Ally Financial, Inc. | |
3.50% | | | 01/27/19 | | | $ | 4,380,000 | | | $ | 4,248,600 | |
4.75% | | | 09/10/18 | | | | 2,400,000 | | | | 2,472,000 | |
5.12% | | | 09/30/24 | | | | 3,750,000 | | | | 3,684,375 | |
6.25% | | | 12/01/17 | | | | 2,000,000 | | | | 2,165,000 | |
Ally Financial, Inc. (WI) | |
7.50% | | | 09/15/20 | | | | 12,700,000 | | | | 14,668,500 | |
CIT Group, Inc. | |
5.25% | | | 03/15/18 | | | | 750,000 | | | | 775,313 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 28,013,788 | |
| | | | | | | | | | | | |
Communications — 22.02% | |
Cablevision Systems Corp. | |
8.62% | | | 09/15/17 | | | | 11,000,000 | | | | 12,251,250 | |
CBS Outdoor Americas Capital LLC/CBS | |
Outdoor Americas Capital Corp. | |
5.88% | | | 03/15/25 | 4 | | | 2,370,000 | | | | 2,381,850 | |
CCO Holdings LLC/CCO Holdings | |
Capital Corp. | |
5.25% | | | 03/15/21 | | | | 5,369,000 | | | | 5,281,754 | |
5.75% | | | 09/01/23 | | | | 2,000,000 | | | | 1,997,500 | |
6.50% | | | 04/30/21 | | | | 3,000,000 | | | | 3,138,750 | |
CCO Holdings LLC/CCO Holdings | |
Capital Corp. (WI) | |
8.12% | | | 04/30/20 | | | | 17,237,000 | | | | 18,292,766 | |
CenturyLink, Inc. | |
5.80% | | | 03/15/22 | | | | 15,920,000 | | | | 16,317,890 | |
Cequel Communications Escrow 1 | |
LLC/Cequel Communications Escrow | |
Capital Corp. | |
6.38% | | | 09/15/20 | 4 | | | 9,490,000 | | | | 9,810,287 | |
Clear Channel Worldwide Holdings, Inc. | |
6.50% | | | 11/15/22 | | | | 28,408,000 | | | | 29,331,260 | |
CSC Holdings LLC | |
5.25% | | | 06/01/24 | 4 | | | 12,000,000 | | | | 11,482,500 | |
6.75% | | | 11/15/21 | | | | 10,405,000 | | | | 11,122,425 | |
DISH DBS Corp. | |
5.12% | | | 05/01/20 | | | | 500,000 | | | | 500,000 | |
5.88% | | | 07/15/22 | | | | 5,250,000 | | | | 5,381,250 | |
DISH DBS Corp. (WI) | |
6.75% | | | 06/01/21 | | | | 11,700,000 | | | | 12,606,750 | |
Inmarsat Finance PLC (United Kingdom) | |
4.88% | | | 05/15/22 | 2,4 | | | 5,000,000 | | | | 4,884,375 | |
Intelsat Jackson Holdings SA (Luxembourg) | |
5.50% | | | 08/01/23 | 2 | | | 5,000,000 | | | | 4,793,750 | |
7.25% | | | 10/15/20 | 2 | | | 14,500,000 | | | | 15,406,250 | |
7.50% | | | 04/01/21 | 2 | | | 17,347,000 | | | | 18,604,658 | |
Level 3 Financing, Inc. | |
6.12% | | | 01/15/21 | 4 | | | 1,000,000 | | | | 1,033,750 | |
7.00% | | | 06/01/20 | | | | 4,783,000 | | | | 5,064,001 | |
See accompanying notes to Schedule of Portfolio Investments.
91 / Semi-Annual Report September 2014
High Yield Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Communications (continued) | |
Level 3 Financing, Inc. (WI) | |
8.12% | | | 07/01/19 | | | $ | 9,215,000 | | | $ | 9,860,050 | |
9.38% | | | 04/01/19 | | | | 3,973,000 | | | | 4,266,009 | |
Lynx I Corp. | |
5.38% | | | 04/15/21 | 4 | | | 6,251,000 | | | | 6,329,137 | |
MetroPCS Wireless, Inc. | |
6.62% | | | 11/15/20 | | | | 10,768,000 | | | | 11,091,040 | |
Numericable Group SA (France) | |
4.88% | | | 05/15/19 | 2,4 | | | 7,075,000 | | | | 7,021,937 | |
Qwest Corp. | |
6.75% | | | 12/01/21 | | | | 5,155,000 | | | | 5,846,899 | |
7.25% | | | 09/15/25 | | | | 5,055,000 | | | | 5,974,245 | |
SBA Communications Corp. | |
4.88% | | | 07/15/22 | 4 | | | 2,500,000 | | | | 2,368,750 | |
Sinclair Television Group, Inc. | |
5.38% | | | 04/01/21 | | | | 10,000,000 | | | | 9,875,000 | |
6.12% | | | 10/01/22 | | | | 7,640,000 | | | | 7,754,600 | |
Softbank Corp. (Japan) | |
4.50% | | | 04/15/20 | 2,4 | | | 15,965,000 | | | | 15,925,088 | |
Sprint Nextel Corp. | |
9.00% | | | 11/15/18 | 4 | | | 23,874,000 | | | | 27,619,831 | |
9.25% | | | 04/15/22 | | | | 12,870,000 | | | | 14,929,200 | |
Time, Inc. | |
5.75% | | | 04/15/22 | 4 | | | 5,000,000 | | | | 4,800,000 | |
T-Mobile USA, Inc. | |
5.25% | | | 09/01/18 | | | | 2,500,000 | | | | 2,584,375 | |
6.25% | | | 04/01/21 | | | | 6,625,000 | | | | 6,724,375 | |
6.54% | | | 04/28/20 | | | | 9,345,000 | | | | 9,613,669 | |
6.63% | | | 04/28/21 | | | | 4,365,000 | | | | 4,490,494 | |
6.73% | | | 04/28/22 | | | | 8,185,000 | | | | 8,430,550 | |
Townsquare Radio LLC/Townsquare | |
Radio, Inc. | |
9.00% | | | 04/01/19 | 4 | | | 4,765,000 | | | | 5,158,113 | |
Virgin Media Finance PLC | |
6.38% | | | 04/15/23 | 4 | | | 4,000,000 | | | | 4,150,000 | |
Virgin Media Secured Finance PLC | |
(United Kingdom) | |
5.25% | | | 01/15/21 | 2 | | | 3,405,000 | | | | 3,439,050 | |
5.50% | | | 01/15/25 | 2,4 | | | 5,500,000 | | | | 5,486,250 | |
Windstream Corp. | |
7.75% | | | 10/15/20 | | | | 14,811,000 | | | | 15,662,633 | |
7.88% | | | 11/01/17 | | | | 2,500,000 | | | | 2,778,250 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 391,862,561 | |
| | | | | | | | | | | | |
Consumer Discretionary — 1.20% | |
Hilton Worldwide Finance LLC/Hilton | |
Worldwide Finance Corp. | |
5.62% | | | 10/15/21 | 4 | | | 4,870,000 | | | | 5,040,450 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Consumer Discretionary (continued) | |
Reynolds Group Issuer, Inc./Reynolds Group | |
Issuer LLC | |
6.88% | | | 02/15/21 | | | $ | 4,950,000 | | | $ | 5,172,750 | |
7.88% | | | 08/15/19 | | | | 1,678,000 | | | | 1,787,070 | |
Reynolds Group Issuer, Inc./Reynolds Group | |
Issuer LLC (WI) | |
5.75% | | | 10/15/20 | | | | 9,200,000 | | | | 9,384,000 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 21,384,270 | |
| | | | | | | | | | | | |
Electric — 5.22% | |
AES Corp. | |
3.23% | | | 06/01/19 | 3 | | | 1,250,000 | | | | 1,243,750 | |
4.88% | | | 05/15/23 | | | | 5,975,000 | | | | 5,713,594 | |
5.50% | | | 03/15/24 | | | | 9,355,000 | | | | 9,191,287 | |
AES Red Oak LLC, Series A | |
8.54% | | | 11/30/19 | | | | 2,237,279 | | | | 2,438,634 | |
Amerenenergy Generating Co., Series H | |
7.00% | | | 04/15/18 | | | | 3,665,000 | | | | 3,500,075 | |
Astoria Depositor Corp. | |
7.90% | | | 05/01/21 | 4 | | | 237,514 | | | | 247,015 | |
Coso Geothermal Power Holdings | |
7.00% | | | 07/15/26 | 4 | | | 1,800,052 | | | | 1,305,037 | |
DPL, Inc. | |
6.50% | | | 10/15/16 | | | | 510,000 | | | | 546,975 | |
7.25% | | | 10/15/21 | | | | 2,538,000 | | | | 2,633,175 | |
Dynegy Escrow Holdings | |
0.00% | | | 06/01/15 | 6,7,† | | | 8,350,000 | | | | – | |
0.00% | | | 01/01/50 | 6,7,† | | | 23,846,000 | | | | – | |
Dynegy, Inc. | |
5.88% | | | 06/01/23 | | | | 6,395,000 | | | | 5,995,313 | |
FPL Energy National Wind Portfolio LLC | |
6.12% | | | 03/25/19 | 4 | | | 341,578 | | | | 336,881 | |
GenOn Americas Generation LLC | |
8.50% | | | 10/01/21 | | | | 13,119,000 | | | | 12,348,259 | |
Homer City Generation LP (PIK) | |
8.14% | | | 10/01/19 | 10 | | | 8,377,360 | | | | 8,754,341 | |
8.73% | | | 10/01/26 | 11 | | | 20,902,869 | | | | 22,000,269 | |
Indiantown Cogeneration LP, Series A-10 | |
9.77% | | | 12/15/20 | | | | 805,471 | | | | 923,271 | |
Mirant Mid Atlantic Pass-Through Trust, | |
Series C | | | | | | | | | | | | |
10.06% | | | 12/30/28 | | | | 8,666,349 | | | | 9,619,647 | |
RJS Power Holdings LLC | |
5.12% | | | 07/15/19 | 4 | | | 6,225,000 | | | | 6,147,187 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 92,944,710 | |
| | | | | | | | | | | | |
Energy — 25.30% | |
Access Midstream Partners LP/ACMP | |
Finance Corp. | |
4.88% | | | 03/15/24 | | | | 5,475,000 | | | | 5,611,875 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2014 / 92
High Yield Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Energy (continued) | |
5.88% | | | 04/15/21 | | | $ | 14,267,000 | | | $ | 15,123,020 | |
American Energy-Permian Basin, LLC/AEPB | |
Finance Corp. | |
6.74% | | | 08/01/19 | 3,4 | | | 1,600,000 | | | | 1,474,000 | |
7.38% | | | 11/01/21 | 4 | | | 2,045,000 | | | | 1,881,400 | |
Approach Resources, Inc. | |
7.00% | | | 06/15/21 | | | | 7,100,000 | | | | 7,064,500 | |
Arch Coal, Inc. | |
7.00% | | | 06/15/19 | | | | 8,415,000 | | | | 4,512,544 | |
8.00% | | | 01/15/19 | 4 | | | 8,500,000 | | | | 7,331,250 | |
Chaparral Energy, Inc. | |
8.25% | | | 09/01/21 | | | | 6,403,000 | | | | 6,883,225 | |
9.88% | | | 10/01/20 | | | | 14,847,000 | | | | 15,960,525 | |
Chesapeake Energy Corp. | |
3.48% | | | 04/15/19 | 3 | | | 15,665,000 | | | | 15,762,906 | |
Cimarex Energy Co. | |
5.88% | | | 05/01/22 | | | | 4,995,000 | | | | 5,407,087 | |
Concho Resources, Inc. | |
5.50% | | | 04/01/23 | | | | 11,761,000 | | | | 12,290,245 | |
Crestwood Midstream Partners LP/Crestwood | |
Midstream Finance Corp. | |
6.00% | | | 12/15/20 | | | | 175,000 | | | | 176,750 | |
6.12% | | | 03/01/22 | | | | 2,850,000 | | | | 2,871,375 | |
Denbury Resources, Inc. | |
5.50% | | | 05/01/22 | | | | 3,000,000 | | | | 2,985,000 | |
El Paso LLC | |
6.50% | | | 09/15/20 | | | | 8,578,000 | | | | 9,693,140 | |
El Paso LLC, Series G (MTN) | |
7.75% | | | 01/15/32 | | | | 5,897,000 | | | | 7,268,053 | |
7.80% | | | 08/01/31 | | | | 7,396,000 | | | | 8,986,140 | |
8.05% | | | 10/15/30 | | | | 7,658,000 | | | | 9,419,340 | |
Energy Transfer Partners LP | |
3.26% | | | 11/01/66 | 3 | | | 30,967,000 | | | | 29,302,524 | |
EP Energy LLC/EP Energy Finance, Inc. | |
9.38% | | | 05/01/20 | | | | 2,045,000 | | | | 2,239,275 | |
Gulfport Energy Corp. | |
7.75% | | | 11/01/20 | 4 | | | 2,450,000 | | | | 2,566,375 | |
Ithaca Energy, Inc. (Canada) | |
8.12% | | | 07/01/19 | 2,4 | | | 1,800,000 | | | | 1,791,540 | |
Jupiter Resources, Inc. (Canada) | |
8.50% | | | 10/01/22 | 2,4 | | | 2,870,000 | | | | 2,554,300 | |
Linn Energy LLC/Linn Energy Finance Corp. | |
8.62% | | | 04/15/20 | | | | 17,795,000 | | | | 18,640,263 | |
MEG Energy Corp. (Canada) | |
6.50% | | | 03/15/21 | 2,4 | | | 3,000,000 | | | | 3,082,500 | |
7.00% | | | 03/31/24 | 2,4 | | | 14,300,000 | | | | 14,872,000 | |
Pacific Drilling SA (Luxembourg) | |
5.38% | | | 06/01/20 | 2,4 | | | 2,165,000 | | | | 1,991,800 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Energy (continued) | |
Pacific Drilling V Ltd. (Luxembourg) | |
7.25% | | | 12/01/17 | 2,4 | | $ | 21,440,000 | | | $ | 21,600,800 | |
Peabody Energy Corp. | |
4.75% | | | 12/15/41 | | | | 29,295,000 | | | | 20,213,550 | |
Penn Virginia Corp. | |
8.50% | | | 05/01/20 | | | | 8,750,000 | | | | 9,231,250 | |
QEP Resources, Inc. | |
5.25% | | | 05/01/23 | | | | 13,298,000 | | | | 12,965,550 | |
6.88% | | | 03/01/21 | | | | 8,000,000 | | | | 8,720,000 | |
Rockies Express Pipeline LLC | |
5.62% | | | 04/15/20 | 4 | | | 3,100,000 | | | | 3,216,250 | |
6.00% | | | 01/15/19 | 4 | | | 5,185,000 | | | | 5,470,175 | |
6.88% | | | 04/15/40 | 4 | | | 3,975,000 | | | | 4,332,750 | |
Rose Rock Midstream LP/Rose Rock | |
Finance Corp. | |
5.62% | | | 07/15/22 | 4 | | | 5,915,000 | | | | 5,885,425 | |
Sabine Pass Liquefaction LLC | |
5.62% | | | 02/01/21 | | | | 15,025,000 | | | | 15,513,313 | |
5.75% | | | 05/15/24 | 4 | | | 2,940,000 | | | | 2,998,800 | |
Sabine Pass LNG LP | |
7.50% | | | 11/30/16 | | | | 17,395,000 | | | | 18,590,906 | |
Sanchez Energy Corp. | |
6.12% | | | 01/15/23 | 4 | | | 2,580,000 | | | | 2,561,424 | |
SandRidge Energy, Inc. | |
8.12% | | | 10/15/22 | | | | 5,795,000 | | | | 5,809,487 | |
8.75% | | | 01/15/20 | | | | 1,485,000 | | | | 1,536,975 | |
Seventy Seven Energy, Inc. | |
6.50% | | | 07/15/22 | 4 | | | 5,160,000 | | | | 5,095,500 | |
SM Energy Co. | |
6.50% | | | 11/15/21 | | | | 10,273,000 | | | | 10,915,063 | |
6.50% | | | 01/01/23 | | | | 11,966,000 | | | | 12,504,470 | |
Southern Star Central Corp. | |
5.12% | | | 07/15/22 | 4 | | | 7,765,000 | | | | 7,745,587 | |
Summit Midstream Holdings LLC/Summit | |
Midstream Finance Corp. | |
5.50% | | | 08/15/22 | | | | 3,500,000 | | | | 3,447,500 | |
7.50% | | | 07/01/21 | | | | 10,340,000 | | | | 11,244,750 | |
Targa Resources Partners LP/Targa | |
Resources Partners Finance Corp. | |
4.25% | | | 11/15/23 | | | | 3,595,000 | | | | 3,460,187 | |
Walter Energy, Inc. | |
9.50% | | | 10/15/19 | 4 | | | 8,640,000 | | | | 7,905,600 | |
9.88% | | | 12/15/20 | | | | 12,470,000 | | | | 4,052,750 | |
Walter Energy, Inc. (PIK) | |
11.00% | | | 04/01/20 | 4,12 | | | 23,085,000 | | | | 11,311,650 | |
Walter Energy, Inc. (WI) | |
8.50% | | | 04/15/21 | | | | 9,855,000 | | | | 3,055,050 | |
Whiting Petroleum Corp. | |
5.00% | | | 03/15/19 | | | | 8,065,000 | | | | 8,246,463 | |
See accompanying notes to Schedule of Portfolio Investments.
93 / Semi-Annual Report September 2014
High Yield Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Energy (continued) | |
WPX Energy, Inc. | |
5.25% | | | 09/15/24 | | | $ | 5,005,000 | | | $ | 4,892,387 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 450,266,564 | |
| | | | | | | | | | | | |
Entertainment — 0.14% | |
Carmike Cinemas, Inc. | |
7.38% | | | 05/15/19 | | | | 2,370,000 | | | | 2,524,050 | |
| | | | | | | | | | | | |
|
Finance — 5.55% | |
AerCap Ireland Capital, Ltd./AerCap Global | |
Aviation Trust (Ireland) | |
3.75% | | | 05/15/19 | 2,4 | | | 2,000,000 | | | | 1,942,500 | |
5.00% | | | 10/01/21 | 2,4 | | | 3,475,000 | | | | 3,485,773 | |
Alta Wind Holdings LLC | |
7.00% | | | 06/30/35 | 4 | | | 2,220,521 | | | | 2,552,502 | |
Astoria Depositor Corp. | |
8.14% | | | 05/01/21 | 4 | | | 12,798,000 | | | | 13,725,855 | |
Chase Capital II, Series B | |
0.74% | | | 02/01/27 | 3 | | | 1,790,000 | | | | 1,579,675 | |
Chase Capital VI | |
0.86% | | | 08/01/28 | 3 | | | 4,000,000 | | | | 3,495,000 | |
CIT Group, Inc. | |
4.25% | | | 08/15/17 | | | | 4,850,000 | | | | 4,922,750 | |
6.62% | | | 04/01/18 | 4 | | | 12,196,000 | | | | 13,125,945 | |
Citigroup, Inc. | |
0.78% | | | 08/25/36 | 3 | | | 9,460,000 | | | | 7,695,199 | |
General Electric Capital Corp. (MTN) | |
0.71% | | | 08/15/36 | 3 | | | 5,480,000 | | | | 4,751,214 | |
General Motors Financial Co., Inc. | |
4.38% | | | 09/25/21 | | | | 4,925,000 | | | | 5,060,437 | |
International Lease Finance Corp. | |
7.12% | | | 09/01/18 | 4 | | | 7,170,000 | | | | 8,059,080 | |
JPMorgan Chase Capital XIII, Series M | |
1.18% | | | 09/30/34 | 3 | | | 4,917,000 | | | | 4,271,644 | |
JPMorgan Chase Capital XXI, Series U | |
1.19% | | | 02/02/37 | 3 | | | 2,750,000 | | | | 2,371,875 | |
JPMorgan Chase Capital XXIII | |
1.23% | | | 05/15/47 | 3 | | | 2,320,000 | | | | 1,890,800 | |
Nielsen Co., Luxembourg SARL | |
(Luxembourg) | |
5.50% | | | 10/01/21 | 2,4 | | | 5,020,000 | | | | 5,057,650 | |
NRG Yield Operating LLC | |
5.38% | | | 08/15/24 | 4 | | | 10,000,000 | | | | 10,075,000 | |
ZFS Finance USA Trust II | |
6.45% | | | 12/15/65 | 3,4 | | | 4,450,000 | | | | 4,794,875 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 98,857,774 | |
| | | | | | | | | | | | |
Food — 0.32% | |
Post Holdings, Inc. | |
6.75% | | | 12/01/21 | 4 | | | 1,150,000 | | | | 1,109,750 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Food (continued) | |
7.38% | | | 02/15/22 | | | $ | 4,565,000 | | | $ | 4,530,763 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 5,640,513 | |
| | | | | | | | | | | | |
Health Care — 8.63% | |
Alere, Inc. | |
7.25% | | | 07/01/18 | | | | 3,820,000 | | | | 4,020,550 | |
CHS/Community Health Systems, Inc. | |
5.12% | | | 08/15/18 | | | | 6,115,000 | | | | 6,298,450 | |
5.12% | | | 08/01/21 | 4 | | | 1,735,000 | | | | 1,739,337 | |
7.12% | | | 07/15/20 | | | | 5,250,000 | | | | 5,578,125 | |
8.00% | | | 11/15/19 | | | | 7,203,000 | | | | 7,725,217 | |
DaVita, Inc. | | | | | | | | | | | | |
5.12% | | | 07/15/24 | | | | 14,750,000 | | | | 14,528,750 | |
Fresenius Medical Care U.S. Finance II, Inc. | |
5.62% | | | 07/31/19 | 4 | | | 5,366,000 | | | | 5,674,545 | |
Fresenius Medical Care U.S. Finance, Inc. | |
5.75% | | | 02/15/21 | 4 | | | 3,000,000 | | | | 3,176,250 | |
6.50% | | | 09/15/18 | 4 | | | 6,996,000 | | | | 7,713,090 | |
HCA, Inc. | |
6.50% | | | 02/15/20 | | | | 8,456,000 | | | | 9,259,320 | |
7.50% | | | 12/15/23 | | | | 3,965,000 | | | | 4,351,587 | |
HealthSouth Corp. | |
5.75% | | | 11/01/24 | | | | 3,240,000 | | | | 3,321,000 | |
Lifepoint Hospitals, Inc. | |
5.50% | | | 12/01/21 | | | | 12,000,000 | | | | 12,210,000 | |
Mallinckrodt International Finance SA/ | |
Mallinckrodt CB LLC (Luxembourg) | |
5.75% | | | 08/01/22 | 2,4 | | | 12,860,000 | | | | 12,972,525 | |
Salix Pharmaceuticals Ltd. | |
6.00% | | | 01/15/21 | 4 | | | 2,750,000 | | | | 2,990,625 | |
Tenet Healthcare Corp. | |
4.50% | | | 04/01/21 | | | | 7,590,000 | | | | 7,438,200 | |
6.00% | | | 10/01/20 | | | | 2,500,000 | | | | 2,650,000 | |
Valeant Pharmaceuticals International, Inc. | |
(Canada) | |
5.62% | | | 12/01/21 | 2,4 | | | 15,842,000 | | | | 15,842,792 | |
6.75% | | | 08/15/21 | 2,4 | | | 8,191,000 | | | | 8,528,879 | |
6.88% | | | 12/01/18 | 2,4 | | | 500,000 | | | | 518,125 | |
7.00% | | | 10/01/20 | 2,4 | | | 5,000,000 | | | | 5,237,500 | |
7.25% | | | 07/15/22 | 2,4 | | | 4,145,000 | | | | 4,404,063 | |
VPII Escrow Corp. (Canada) | |
7.50% | | | 07/15/21 | 2,4 | | | 6,885,000 | | | | 7,401,375 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 153,580,305 | |
| | | | | | | | | | | | |
Industrials — 1.87% | |
AECOM Technology Corp. | |
5.75% | | | 10/15/22 | 4 | | | 3,990,000 | | | | 4,014,937 | |
5.88% | | | 10/15/24 | 4 | | | 2,510,000 | | | | 2,538,237 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2014 / 94
High Yield Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Industrials (continued) | |
Ardagh Packaging Finance PLC/Ardagh | |
Holdings USA, Inc. (Ireland) | |
3.23% | | | 12/15/19 | 2,3,4 | | $ | 14,925,000 | | | $ | 14,495,906 | |
Ball Corp. | |
4.00% | | | 11/15/23 | | | | 4,340,000 | | | | 4,036,200 | |
Berry Plastics Corp. | |
5.50% | | | 05/15/22 | | | | 1,925,000 | | | | 1,867,250 | |
MasTec, Inc. | |
4.88% | | | 03/15/23 | | | | 6,690,000 | | | | 6,355,500 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 33,308,030 | |
| | | | | | | | | | | | |
Information Technology — 3.22% | |
Audatex North America, Inc. | |
6.00% | | | 06/15/21 | 4 | | | 9,300,000 | | | | 9,579,000 | |
First Data Corp. | |
6.75% | | | 11/01/20 | 4 | | | 8,834,000 | | | | 9,386,125 | |
7.38% | | | 06/15/19 | 4 | | | 27,840,000 | | | | 29,373,984 | |
8.88% | | | 08/15/20 | 4 | | | 4,370,000 | | | | 4,697,750 | |
Freescale Semiconductor, Inc. | |
5.00% | | | 05/15/21 | 4 | | | 4,325,000 | | | | 4,303,375 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 57,340,234 | |
| | | | | | | | | | | | |
Insurance — 0.59% | |
Nationwide Mutual Insurance Co. | |
5.81% | | | 12/15/24 | 3,4 | | | 10,497,000 | | | | 10,575,727 | |
| | | | | | | | | | | | |
Materials — 0.94% | |
Alcoa, Inc. | |
5.12% | | | 10/01/24 | | | | 3,960,000 | | | | 3,960,000 | |
ArcelorMittal (Luxembourg) | |
10.35% | | | 06/01/19 | 2 | | | 5,820,000 | | | | 7,122,225 | |
Momentive Performance Materials, Inc. | |
8.88% | | | 10/15/20 | | | | 4,625,000 | | | | 4,156,719 | |
WR Grace & Co./Connecticut | |
5.12% | | | 10/01/21 | 4 | | | 1,450,000 | | | | 1,477,187 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 16,716,131 | |
| | | | | | | | | | | | |
|
Real Estate Investment Trust (REIT) — 0.57% | |
DuPont Fabros Technology LP (WI) | |
5.88% | | | 09/15/21 | | | | 4,500,000 | | | | 4,635,000 | |
Geo Group, Inc. | |
5.88% | | | 01/15/22 | | | | 5,320,000 | | | | 5,413,100 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 10,048,100 | |
| | | | | | | | | | | | |
Services — 0.62% | |
CBRE Services, Inc. | |
5.25% | | | 03/15/25 | | | | 3,420,000 | | | | 3,407,175 | |
Ceridian Corp. | |
8.88% | | | 07/15/19 | 4 | | | 6,808,000 | | | | 7,539,860 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 10,947,035 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Transportation — 2.87% | |
American Airlines Pass-Through Trust, | |
Series 2013-1, Class B | |
5.62% | | | 01/15/21 | 4 | | $ | 11,572,763 | | | $ | 11,977,810 | |
American Airlines Pass-Through Trust, | |
Series 2013-2, Class A | |
4.95% | | | 01/15/23 | | | | 8,297,481 | | | | 8,909,420 | |
Continental Airlines Pass-Through Trust, | |
Series 2007, Class 1B | |
6.90% | | | 04/19/22 | | | | 4,547,627 | | | | 4,894,156 | |
Continental Airlines Pass-Through Trust, | |
Series 2009, Class 1 | |
9.00% | | | 07/08/16 | | | | 1,268,813 | | | | 1,414,730 | |
Delta Air Lines Pass-Through Trust, | |
Series 2002, Class G1 | |
6.72% | | | 01/02/23 | | | | 12,839,456 | | | | 14,957,967 | |
Delta Air Lines Pass-Through Trust, | |
Series 2009, Class B1 | |
9.75% | | | 12/17/16 | | | | 1,142,590 | | | | 1,306,838 | |
JetBlue Airways Pass-Through Trust, | |
Series 2004, Class G1 | |
0.61% | | | 08/15/16 | 3 | | | 940,837 | | | | 925,125 | |
US Airways Pass-Through Trust, | |
Series 2010-1, Class A | |
6.25% | | | 04/22/23 | | | | 2,015,810 | | | | 2,277,866 | |
US Airways Pass-Through Trust, | |
Series 2012, Class 2B | |
6.75% | | | 06/03/21 | | | | 1,055,337 | | | | 1,145,041 | |
US Airways Pass-Through Trust, | |
Series 2012-1, Class A | |
5.90% | | | 10/01/24 | | | | 2,966,716 | | | | 3,309,743 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 51,118,696 | |
| | | | | | | | | | | | |
Total Corporates | |
(Cost $1,451,579,480) | | | | 1,437,274,163 | |
| | | | | | | | | | | | |
|
MORTGAGE-BACKED — 0.02%** | |
Non-Agency Mortgage-Backed — 0.02% | |
BHN I Mortgage Fund, Series 2000-1, | |
Class AF (Argentina) | |
8.00% | | | 01/31/20 | 2,4,6,† | | | 2,890 | | | | 1 | |
Countrywide Asset-Backed Certificates, | |
Series 2007-13, Class 2A1 | |
1.06% | | | 10/25/47 | 3 | | | 463,126 | | | | 407,953 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 407,954 | |
| | | | | | | | | | | | |
Total Mortgage-Backed | |
(Cost $332,419) | |
Total Bonds – 91.54% | |
(Cost $1,650,593,448) | | | | 1,629,305,792 | |
| | | | | | | | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
95 / Semi-Annual Report September 2014
High Yield Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | | | |
| Issues | | | | | Shares | | | Value | |
COMMON STOCK — 1.35% | |
|
Electric — 0.25% | |
Dynegy, Inc.5 | | | | | | | 154,929 | | | | $ 4,471,241 | |
|
Energy — 1.10% | |
Mach Gen, LLC Common | |
Units4,6 | | | | | | | 347,486 | | | | 19,574,929 | |
|
Total Common Stock | |
(Cost $39,187,563) | | | | 24,046,170 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | | | | Shares | | | Value | |
WARRANT — 0.00% | |
|
Communications — 0.00% | |
PR Wireless, Inc., | |
Open Mobile Warrant, | |
Term Loan B, 1st Lien4,13,† | | | | 31 | | | | – | |
|
Total Warrant | |
(Cost $ — ) | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount/
Shares | | | Value | |
SHORT-TERM INVESTMENTS — 2.59% | |
|
Money Market Funds — 2.03% | |
Dreyfus Cash Advantage Fund | |
0.01%14 | | | | | | $ | 17,967,000 | | | | 17,967,000 | |
Morgan Stanley Institutional Fund | |
0.04%14 | | | | | | | 18,076,000 | | | | 18,076,000 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 36,043,000 | |
| | | | | | | | | | | | |
|
U.S. Agency Discount Notes — 0.56% | |
Federal Home Loan Bank | |
0.06%15 | | | 11/26/14 | | | | 10,000,000 | | | | 9,999,952 | |
| | | | | | | | | | | | |
|
Total Short-Term Investments | |
(Cost $46,042,067) | | | | 46,042,952 | |
| | | | | | | | | | | | |
|
Total Investments – 95.48% | |
(Cost $1,735,823,078)1 | | | | 1,699,394,914 | |
| | | | | | | | | | | | |
|
Cash and Other Assets, Less | |
| |
Liabilities – 4.52% | | | | 80,526,277 | |
| | | | | | | | | | | | |
Net Assets – 100.00% | | | $ | 1,779,921,191 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | |
| | | Expiration Date | | Premiums
Paid | | | Notional
Amount
(000’s)a | | | (Depreciation) | | | Value | |
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES | |
|
| The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Teck Resources Limited, 3.15%, due 01/15/17. Counterparty: Morgan Stanley | |
| | | | | |
| | 03/20/19 | | | $ 165,798 | | | | $ 5,000 | | | | $ (32,670 | ) | | | $133,128 | |
|
| The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Teck Resources Limited., 3.15%, due 01/15/17. Counterparty: Morgan Stanley | |
| | | | | |
| | 03/20/19 | | | 161,802 | | | | 5,000 | | | | (28,674 | ) | | | 133,128 | |
|
| The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Alcoa, Inc., 5.72%, due 02/23/19 Counterparty: Goldman Sachs, Inc. | |
| | | | | |
| | 03/20/19 | | | 342,764 | | | | 9,650 | | | | (207,662 | ) | | | 135,102 | |
|
| The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Alcoa, Inc., 5.72%, due 02/23/19 Counterparty: Goldman Sachs, Inc. | |
| | | | | |
| | 03/20/19 | | | 292,454 | | | | 9,750 | | | | (155,953 | ) | | | 136,501 | |
|
| The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Freeport-McMoran Copper & Gold, Inc., 3.55%, due 03/01/22 Counterparty: Credit Suisse First Boston | |
| | | | | |
| | 03/20/19 | | | 191,893 | | | | 9,850 | | | | (100,064 | ) | | | 91,829 | |
|
| The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Alcoa, Inc., 5.72%, due 02/23/19 Counterparty: Morgan Stanley | |
| | | | | |
| | 03/20/19 | | | 366,439 | | | | 10,000 | | | | (226,437 | ) | | | 140,002 | |
| | | | | |
| | | | | $1,521,150 | | | | $49,250 | | | | $(751,460 | ) | | | $769,690 | |
| a | The maximum potential payment the Fund could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of the swap agreement. |
Notes:
| 1 | Cost for federal income tax purposes is $1,737,115,462 and net unrealized appreciation/(depreciation) consists of: |
| | | | |
Gross unrealized appreciation | | $ | 33,952,073 | |
Gross unrealized (depreciation) | | | (71,672,621 | ) |
| | | | |
| |
Net unrealized (depreciation) | | $ | (37,720,548 | ) |
| | | | |
| 2 | U.S. dollar-denominated security issued by foreign-domiciled entity. |
| 3 | Floating rate security. The rate disclosed was in effect at September 30, 2014. |
| 4 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| 5 | Non-income producing security. |
| 6 | Illiquid security as determined under procedures approved by the Funds’ Board of Trustees. The aggregate value of illiquid securities is $24,862,886, which is 1.40% of total net assets. |
| 7 | Worthless due to company bankruptcy filing. |
| 8 | Security is currently in default with regard to scheduled interest or principal payments. |
| 9 | Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer. |
| 10 | Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer. 8.14% cash or 8.64% payment-in-kind interest. |
| 11 | Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer. 8.73% cash or 9.23% payment-in-kind interest. |
| 12 | Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer. 11.00% cash or 12.00% payment-in-kind interest. |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2014 / 96
High Yield Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| 13 | Warrants entitle the Fund to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date of the warrants, if any. |
| 14 | Represents the current yield as of September 30, 2014. |
| 15 | Represents annualized yield at date of purchase. |
| † | Fair valued security. The aggregate value of fair valued securities is $5,287,957, which is 0.30% of total net assets, which have not been valued utilizing an independent quote and were valued pursuant to guidelines established by the Board of Trustees. This figure represents securities that are priced using a benchmark pricing system and securities that have been deemed permanently stale, see Notes to Financial Statements. |
| * | Securities with a call or reset feature will have an effective maturity date sooner than the stated maturity. |
| ** | Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date sooner than the stated maturity date. |
Note: For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for more meaningful presentation for investors.
(MTN): Medium-term note
(PIK): Payment in kind
(WI): When issued
See accompanying notes to Schedule of Portfolio Investments.
97 / Semi-Annual Report September 2014
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BONDS – 86.94% | |
ASSET-BACKED SECURITIES — 19.14%** | |
321 Henderson Receivables I LLC, | |
Series 2014-2A, Class B | |
4.48% | | | 01/15/75 | 2 | | $ | 2,145,000 | | | $ | 2,149,303 | |
Access Group, Inc., Series 2001, Class 2A1 | |
0.60% | | | 05/25/29 | 3 | | | 3,170,060 | | | | 3,019,756 | |
American Money Management Corp., | |
Series 2013-13A, Class A1L | |
(Cayman Islands) | |
1.68% | | | 01/24/26 | 2,3,4 | | | 1,150,000 | | | | 1,148,591 | |
American Money Management Corp., | |
Series 2014-14A, Class A1L | |
1.80% | | | 07/27/26 | 2,3 | | | 1,900,000 | | | | 1,899,705 | |
ARES CLO Ltd., Series 2007-12A, Class A | |
(Cayman Islands) | |
0.86% | | | 11/25/20 | 2,3,4 | | | 697,836 | | | | 695,098 | |
ARES XXVI CLO Ltd., Series 2013-1A, | |
Class A (Cayman Islands) | |
1.33% | | | 04/15/25 | 2,3,4 | | | 1,900,000 | | | | 1,871,048 | |
Avalon IV Capital Ltd., Series 2012-1AR, | |
Class CR (Cayman Islands) | |
3.08% | | | 04/17/23 | 2,3,4 | | | 1,700,000 | | | | 1,698,817 | |
Axis Equipment Finance Receivables LLC, | |
Series 2012-1I, Class E1 | |
6.25% | | | 04/20/16 | | | | 9,758 | | | | 9,796 | |
Axis Equipment Finance Receivables LLC, | |
Series 2012-1I, Class E2 | |
7.00% | | | 03/20/17 | | | | 15,000 | | | | 15,074 | |
Babson CLO Ltd., Series 2013-IA, Class A | |
(Cayman Islands) | |
1.33% | | | 04/20/25 | 2,3,4 | | | 1,400,000 | | | | 1,380,956 | |
Babson CLO Ltd., Series 2014-IA, Class A1 | |
(Cayman Islands) | |
1.72% | | | 07/12/25 | 2,3,4 | | | 1,800,000 | | | | 1,801,628 | |
Babson CLO Ltd., Series 2014-IIA, Class C | |
(Cayman Islands) | |
3.17% | | | 10/17/26 | 2,3,4 | | | 2,300,000 | | | | 2,278,210 | |
Beacon Container Finance LLC, | |
Series 2012-1A, Class A | |
3.72% | | | 09/20/27 | 2 | | | 100,138 | | | | 101,648 | |
Blue Hill CLO Ltd., Series 2013-1A, Class C1 | |
3.23% | | | 01/15/26 | 2,3 | | | 1,300,000 | | | | 1,281,366 | |
BlueMountain CLO Ltd., Series 2013-1A, | |
Class A1 (Cayman Islands) | |
1.43% | | | 05/15/25 | 2,3,4 | | | 2,605,000 | | | | 2,583,332 | |
BlueMountain CLO Ltd., Series 2013-4A, | |
Class B1 (Cayman Islands) | |
2.13% | | | 04/15/25 | 2,3,4 | | | 1,500,000 | | | | 1,465,059 | |
BlueMountain CLO Ltd., Series 2013-4A, | |
Class E (Cayman Islands) | |
5.33% | | | 04/15/25 | 2,3,4 | | | 50,000 | | | | 46,028 | |
Brazos Higher Education Authority, Inc., | |
Series 2005-3, Class A16 | |
0.43% | | | 06/25/26 | 3 | | | 150,000 | | | | 146,644 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | |
Brazos Higher Education Authority, Inc., | |
Series 2006-2, Class A9 | |
0.24% | | | 12/26/24 | 3 | | $ | 35,195 | | | $ | 34,723 | |
Brazos Higher Education Authority, Inc., | |
Series 2011-1, Class A2 | |
1.04% | | | 02/25/30 | 3 | | | 169,168 | | | | 170,941 | |
CAL Funding II Ltd., Series 2012-1A, | |
Class A (Bermuda) | |
3.47% | | | 10/25/27 | 2,4 | | | 282,917 | | | | 283,431 | |
Cent CLO LP, Series 2013-17A, Class A1 | |
(Cayman Islands) | |
1.54% | | | 01/30/25 | 2,3,4 | | | 1,710,000 | | | | 1,697,146 | |
Cent CLO LP, Series 2013-18A, Class B1 | |
(Cayman Islands) | |
1.78% | | | 07/23/25 | 2,3,4 | | | 1,700,000 | | | | 1,618,881 | |
Cent CLO LP, Series 2013-19A, Class A1A | |
(Cayman Islands) | |
1.56% | | | 10/29/25 | 2,3,4 | | | 2,320,000 | | | | 2,308,184 | |
CIFC Funding IV, Ltd., Series 2013-4A, | |
Class B1 (Cayman Islands) | |
2.09% | | | 11/27/24 | 2,3,4 | | | 1,400,000 | | | | 1,354,975 | |
CIFC Funding Ltd., Series 2012-2A, | |
Class A1L (Cayman Islands) | |
1.63% | | | 12/05/24 | 2,3,4 | | | 1,900,000 | | | | 1,895,940 | |
CIT Education Loan Trust, Series 2007-1, | |
Class A | |
0.32% | | | 03/25/42 | 2,3 | | | 4,919,803 | | | | 4,706,970 | |
Cronos Containers Program Ltd., | |
Series 2012-2A, Class A (Bermuda) | |
3.81% | | | 09/18/27 | 2,4 | | | 80,000 | | | | 80,081 | |
Dryden Senior Loan Fund, Series 2013-28A, | |
Class A1L (Cayman Islands) | |
1.33% | | | 08/15/25 | 2,3,4 | | | 1,950,000 | | | | 1,924,629 | |
Dryden Senior Loan Fund, | |
Series 2013-26A, Class C (Cayman Islands) | |
2.73% | | | 07/15/25 | 2,3,4 | | | 900,000 | | | | 859,342 | |
Dryden XXII Senior Loan Fund, | |
Series 2013-30A, Class C (Cayman Islands) | |
3.08% | | | 11/15/25 | 2,3,4 | | | 1,330,000 | | | | 1,306,976 | |
Eaton Vance CLO Ltd., Series 2014-1A, | |
Class A (Cayman Islands) | |
1.68% | | | 07/15/26 | 2,3,4 | | | 2,000,000 | | | | 1,999,790 | |
Education Loan Asset-Backed Trust, Series | |
2013-1A, Class A2 | |
0.96% | | | 04/26/32 | 2,3 | | | 3,465,000 | | | | 3,468,901 | |
Educational Funding of the South, Inc., | |
Series 2012-1, Class A | |
1.20% | | | 03/25/36 | 3 | | | 213,123 | | | | 216,557 | |
Educational Services of America, Inc., | |
Series 2012-2, Class A | |
0.88% | | | 04/25/39 | 2,3 | | | 418,751 | | | | 421,241 | |
Flatiron CLO Ltd. | |
1.62% | | | 07/17/26 | 2,3 | | | 1,900,000 | | | | 1,892,495 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2014 / 98
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | |
Flatiron CLO Ltd., Series 2013-1A, Class A1 | |
(Cayman Islands) | |
1.63% | | | 01/17/26 | 2,3,4 | | $ | 2,390,000 | | | $ | 2,387,275 | |
GCO Education Loan Funding Trust, | |
Series 2006-2AR, Class A1RN | |
0.80% | | | 08/27/46 | 2,3 | | | 3,377,733 | | | | 3,294,430 | |
GCO Education Loan Funding Trust, | |
Series 2007-1A, Class A5L | |
0.30% | | | 05/25/23 | 2,3 | | | 291,173 | | | | 289,079 | |
GE Business Loan Trust, Series 2004-2A, | |
Class A | |
0.37% | | | 12/15/32 | 2,3 | | | 867,123 | | | | 845,961 | |
GE Business Loan Trust, Series 2005-1A, | |
Class A3 | |
0.40% | | | 06/15/33 | 2,3 | | | 1,593,381 | | | | 1,547,492 | |
Global SC Finance SRL, Series 2014-1A, | |
Class A2 (Barbados) | |
3.09% | | | 07/17/24 | 2,4 | | | 2,497,667 | | | | 2,471,508 | |
Goal Capital Funding Trust, Series 2006-1, | |
Class A3 | |
0.36% | | | 11/25/26 | 3 | | | 332,160 | | | | 329,393 | |
Goal Capital Funding Trust, Series 2006-1, | |
Class B | |
0.68% | | | 08/25/42 | 3 | | | 784,125 | | | | 723,458 | |
GoldenTree Loan Opportunities VII Ltd., | |
Series 2013-7A, Class A (Cayman Islands) | |
1.38% | | | 04/25/25 | 2,3,4 | | | 1,800,000 | | | | 1,779,239 | |
GoldenTree Loan Opportunities VIII Ltd., | |
Series 2014-8A, Class C (Cayman Islands) | |
2.93% | | | 04/19/26 | 2,3,4 | | | 1,875,000 | | | | 1,821,071 | |
Higher Education Funding, Series 2014-1, | |
Class A | |
1.29% | | | 05/25/34 | 2,3 | | | 1,818,973 | | | | 1,806,435 | |
ING Investment Management CLO Ltd., | |
Series 2013-1A, Class A1 (Cayman Islands) | |
1.37% | | | 04/15/24 | 2,3,4 | | | 1,350,000 | | | | 1,333,093 | |
J.G. Wentworth XX LLC, Series 2010-1A, | |
Class B | |
9.31% | | | 07/15/61 | 2 | | | 658,662 | | | | 826,767 | |
J.G. Wentworth XXX LLC, Series 2013-3A, | |
Class B | |
5.54% | | | 01/15/75 | 2 | | | 1,295,000 | | | | 1,418,567 | |
Jasper CLO Ltd., Series 2005-1A, Class A | |
(Cayman Islands) | |
0.51% | | | 08/01/17 | 2,3,4 | | | 124,035 | | | | 123,882 | |
LCM VI LP, Series 6A, Class A | |
(Cayman Islands) | |
0.47% | | | 05/28/19 | 2,3,4 | | | 352,877 | | | | 352,354 | |
MSIM Peconic Bay Ltd., Series 2007-1A, | |
Class C (Cayman Islands) | |
2.23% | | | 07/20/19 | 2,3,4 | | | 355,000 | | | | 358,297 | |
National Collegiate Student Loan Trust, | |
Series 2006-1, Class A3 | |
0.34% | | | 05/25/26 | 3 | | | 918,424 | | | | 912,186 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | |
National Collegiate Student Loan Trust, | |
Series 2006-2, Class A2 | |
0.30% | | | 07/25/26 | 3 | | $ | 1,088,944 | | | $ | 1,084,301 | |
National Collegiate Student Loan Trust, | |
Series 2006-4, Class A2 | |
0.30% | | | 12/27/27 | 3 | | | 1,994,646 | | | | 1,976,449 | |
National Collegiate Student Loan Trust, | |
Series 2007-2, Class A2 | |
0.28% | | | 06/26/28 | 3 | | | 1,536,528 | | | | 1,500,109 | |
Navient Student Loan Trust, Series 2014-1, | |
Class A4 | |
0.90% | | | 02/25/39 | 3 | | | 3,840,000 | | | | 3,849,732 | |
Nelnet Education Loan Funding, Inc., | |
Series 2004-1A, Class B1 | |
0.60% | | | 02/25/36 | 2,3 | | | 150,000 | | | | 116,762 | |
Nelnet Education Loan Funding, Inc., | |
Series 2004-1A, Class B2 | |
0.68% | | | 02/25/36 | 2,3 | | | 825,000 | | | | 655,743 | |
Nelnet Student Loan Trust, Series 2008-4, | |
Class A4 | |
1.71% | | | 04/25/24 | 3 | | | 1,575,000 | | | | 1,617,093 | |
Nelnet Student Loan Trust, Series 2012-5A, | |
Class A | |
0.76% | | | 10/27/36 | 2,3 | | | 259,512 | | | | 258,890 | |
Nelnet Student Loan Trust, Series 2014-4A, | |
Class A2 | |
1.10% | | | 11/25/43 | 2,3 | | | 1,865,000 | | | | 1,872,756 | |
Neuberger Berman CLO Ltd., | |
Series 2014-16A, Class A1 | |
1.70% | | | 04/15/26 | 2,3 | | | 1,710,000 | | | | 1,708,225 | |
Nomad CLO Ltd., Series 2013-1A, Class A1 | |
(Cayman Islands) | |
1.43% | | | 01/15/25 | 2,3,4 | | | 2,330,000 | | | | 2,310,274 | |
Northstar Education Finance, Inc. | |
0.98% | | | 01/29/46 | 3 | | | 135,000 | | | | 134,699 | |
Octagon Investment Partners XV Ltd., | |
Series 2013-1A, Class C (Cayman Islands) | |
3.08% | | | 01/19/25 | 2,3,4 | | | 510,000 | | | | 497,427 | |
Race Point CLO Ltd., Series 2012-7A, | |
Class A (Cayman Islands) | |
1.64% | | | 11/08/24 | 2,3,4 | | | 250,000 | | | | 249,673 | |
Red River CLO Ltd., Series 1A, Class A | |
(Cayman Islands) | |
0.51% | | | 07/27/18 | 2,3,4 | | | 126,053 | | | | 125,509 | |
Scholar Funding Trust, Series 2011-A, | |
Class A | |
1.14% | | | 10/28/43 | 2,3 | | | 235,757 | | | | 237,109 | |
Scholar Funding Trust, Series 2012-B, | |
Class A2 | |
1.25% | | | 03/28/46 | 2,3 | | | 150,000 | | | | 153,736 | |
SLC Student Loan Trust I, Series 2002-2, | |
Class B2 | |
0.04% | | | 07/01/42 | 2,3 | | | 100,000 | | | | 77,317 | |
See accompanying notes to Schedule of Portfolio Investments.
99 / Semi-Annual Report September 2014
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | |
SLC Student Loan Trust, Series 2004-1, | |
Class B | |
0.52% | | | 08/15/31 | 3 | | $ | 1,025,987 | | | $ | 943,919 | |
SLC Student Loan Trust, Series 2005-2, | |
Class B | |
0.51% | | | 03/15/40 | 3 | | | 818,670 | | | | 739,377 | |
SLC Student Loan Trust, Series 2005-3, | |
Class B | |
0.48% | | | 06/15/40 | 3 | | | 1,686,721 | | | | 1,535,451 | |
SLC Student Loan Trust, Series 2006-1, | |
Class B | |
0.44% | | | 03/15/39 | 3 | | | 1,579,602 | | | | 1,412,843 | |
SLC Student Loan Trust, Series 2006-2, | |
Class A5 | |
0.33% | | | 09/15/26 | 3 | | | 175,000 | | | | 172,185 | |
SLC Student Loan Trust, Series 2006-2, | |
Class B | |
0.46% | | | 12/15/39 | 3 | | | 1,111,927 | | | | 996,768 | |
SLC Student Loan Trust, Series 2008-1, | |
Class A4A | |
1.83% | | | 12/15/32 | 3 | | | 1,824,000 | | | | 1,909,165 | |
SLC Student Loan Trust, Series 2008-2, | |
Class B | |
1.98% | | | 09/15/22 | 3 | | | 2,735,000 | | | | 2,753,783 | |
SLM Student Loan Trust, Series 2003-11, | |
Class A6 | |
0.98% | | | 12/15/25 | 2,3 | | | 250,000 | | | | 250,093 | |
SLM Student Loan Trust, Series 2003-4, | |
Class A5D | |
0.98% | | | 03/15/33 | 2,3 | | | 4,277,548 | | | | 4,272,265 | |
SLM Student Loan Trust, Series 2004-2, | |
Class B | |
0.70% | | | 07/25/39 | 3 | | | 1,034,210 | | | | 966,535 | |
SLM Student Loan Trust, Series 2004-5A, | |
Class A5 | |
0.76% | | | 10/25/23 | 2,3 | | | 1,720,000 | | | | 1,729,531 | |
SLM Student Loan Trust, Series 2004-8A, | |
Class A5 | |
0.73% | | | 04/25/24 | 2,3 | | | 1,547,364 | | | | 1,551,953 | |
SLM Student Loan Trust, Series 2005-10, | |
Class A4 | |
0.34% | | | 10/25/19 | 3 | | | 1,430,217 | | | | 1,428,497 | |
SLM Student Loan Trust, Series 2005-4, | |
Class B | |
0.41% | | | 07/25/40 | 3 | | | 1,051,349 | | | | 946,672 | |
SLM Student Loan Trust, Series 2005-8, | |
Class A3 | |
0.34% | | | 10/25/24 | 3 | | | 1,430,225 | | | | 1,427,857 | |
SLM Student Loan Trust, Series 2005-9, | |
Class B | |
0.53% | | | 01/25/41 | 3 | | | 1,564,509 | | | | 1,438,002 | |
SLM Student Loan Trust, Series 2006-2, | |
Class A4 | |
0.32% | | | 10/25/22 | 3 | | | 2,200,548 | | | | 2,199,412 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | |
SLM Student Loan Trust, Series 2006-2, | |
Class A6 | |
0.40% | | | 01/25/41 | 3 | | $ | 1,800,000 | | | $ | 1,672,241 | |
SLM Student Loan Trust, Series 2006-4, | |
Class A5 | |
0.33% | | | 10/27/25 | 3 | | | 3,078,505 | | | | 3,071,234 | |
SLM Student Loan Trust, Series 2006-8, | |
Class A6 | |
0.39% | | | 01/25/41 | 3 | | | 1,800,000 | | | | 1,641,793 | |
SLM Student Loan Trust, Series 2006-9, | |
Class A5 | |
0.33% | | | 01/26/26 | 3 | | | 200,000 | | | | 196,716 | |
SLM Student Loan Trust, Series 2007-1, | |
Class B | |
0.45% | | | 01/27/42 | 3 | | | 2,172,135 | | | | 1,966,389 | |
SLM Student Loan Trust, Series 2007-3, | |
Class A4 | |
0.29% | | | 01/25/22 | 3 | | | 215,000 | | | | 209,009 | |
SLM Student Loan Trust, Series 2007-6, | |
Class B | |
1.08% | | | 04/27/43 | 3 | | | 674,256 | | | | 617,199 | |
SLM Student Loan Trust, Series 2007-7, | |
Class B | |
0.98% | | | 10/25/28 | 3 | | | 2,195,000 | | | | 2,000,184 | |
SLM Student Loan Trust, Series 2007-8, | |
Class B | |
1.23% | | | 04/27/43 | 3 | | | 3,066,611 | | | | 2,877,234 | |
SLM Student Loan Trust, Series 2008-2, | |
Class B | |
1.43% | | | 01/25/29 | 3 | | | 710,000 | | | | 651,963 | |
SLM Student Loan Trust, Series 2008-3, | |
Class B | |
1.43% | | | 04/25/29 | 3 | | | 710,000 | | | | 657,191 | |
SLM Student Loan Trust, Series 2008-4, | |
Class A4 | |
1.88% | | | 07/25/22 | 3 | | | 2,200,000 | | | | 2,317,145 | |
SLM Student Loan Trust, Series 2008-4, | |
Class B | |
2.08% | | | 04/25/29 | 3 | | | 710,000 | | | | 716,304 | |
SLM Student Loan Trust, Series 2008-5, | |
Class A3 | |
1.53% | | | 01/25/18 | 3 | | | 173,697 | | | | 174,782 | |
SLM Student Loan Trust, Series 2008-5, | |
Class A4 | |
1.93% | | | 07/25/23 | 3 | | | 2,930,000 | | | | 3,060,747 | |
SLM Student Loan Trust, Series 2008-5, | |
Class B | |
2.08% | | | 07/25/29 | 3 | | | 3,730,000 | | | | 3,842,996 | |
SLM Student Loan Trust, Series 2008-6, | |
Class B | |
2.08% | | | 07/25/29 | 3 | | | 710,000 | | | | 716,416 | |
SLM Student Loan Trust, Series 2008-7, | |
Class B | |
2.08% | | | 07/25/29 | 3 | | | 820,000 | | | | 826,276 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2014 / 100
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | |
SLM Student Loan Trust, Series 2008-8, | |
Class A4 | |
1.73% | | | 04/25/23 | 3 | | $ | 3,210,000 | | | $ | 3,351,017 | |
SLM Student Loan Trust, Series 2008-8, | |
Class B | |
2.48% | | | 10/25/29 | 3 | | | 710,000 | | | | 746,851 | |
SLM Student Loan Trust, Series 2008-9, | |
Class B | |
2.48% | | | 10/25/29 | 3 | | | 3,710,000 | | | | 3,920,765 | |
SLM Student Loan Trust, Series 2010-1, | |
Class A | |
0.56% | | | 03/25/25 | 3 | | | 580,224 | | | | 581,150 | |
SLM Student Loan Trust, Series 2011-1, | |
Class A2 | |
1.30% | | | 10/25/34 | 3 | | | 2,680,000 | | | | 2,769,255 | |
SLM Student Loan Trust, Series 2011-2, | |
Class A1 | |
0.76% | | | 11/25/27 | 3 | | | 1,299,107 | | | | 1,309,573 | |
SLM Student Loan Trust, Series 2011-2, | |
Class A2 | |
1.36% | | | 10/25/34 | 3 | | | 4,035,000 | | | | 4,127,287 | |
SLM Student Loan Trust, Series 2012-1, | |
Class A3 | |
1.10% | | | 09/25/28 | 3 | | | 1,300,000 | | | | 1,333,455 | |
SLM Student Loan Trust, Series 2012-2, | |
Class A | |
0.86% | | | 01/25/29 | 3 | | | 1,561,172 | | | | 1,573,785 | |
SLM Student Loan Trust, Series 2012-7, | |
Class A3 | |
0.80% | | | 05/26/26 | 3 | | | 200,000 | | | | 200,342 | |
SLM Student Loan Trust, Series 2013-3, | |
Class A2 | |
0.46% | | | 05/26/20 | 3 | | | 3,360,000 | | | | 3,359,605 | |
SLM Student Loan Trust, Series 2013-4, | |
Class A | |
0.70% | | | 06/25/27 | 3 | | | 2,991,704 | | | | 2,998,456 | |
SLM Student Loan Trust, Series 2013-6, | |
Class A2 | |
0.66% | | | 02/25/21 | 3 | | | 1,760,000 | | | | 1,765,496 | |
SLM Student Loan Trust, Series 2013-6, | |
Class A3 | |
0.80% | | | 06/26/28 | 3 | | | 4,830,000 | | | | 4,851,592 | |
SLM Student Loan Trust, Series 2014-1, | |
Class A3 | |
0.76% | | | 02/26/29 | 3 | | | 1,670,000 | | | | 1,673,854 | |
Sound Point CLO Ltd., Series 2012-1A, | |
Class C (Cayman Islands) | |
3.53% | | | 10/20/23 | 2,3,4 | | | 1,800,000 | | | | 1,799,978 | |
Spirit Master Funding LLC, Series 2013-2A, | |
Class A | |
5.27% | | | 12/20/43 | 2 | | | 1,522,646 | | | | 1,645,664 | |
Spirit Master Funding LLC, Series 2014-1A, | |
Class A1 | |
5.05% | | | 07/20/40 | 2 | | | 163,083 | | | | 174,040 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | |
Structured Receivables Finance LLC, | |
Series 2010-A, Class B | |
7.61% | | | 01/16/46 | 2,† | | $ | 879,176 | | | $ | 1,048,121 | |
Structured Receivables Finance LLC, | |
Series 2010-B, Class B | |
7.97% | | | 08/15/36 | 2,† | | | 720,000 | | | | 894,331 | |
Symphony CLO Ltd., Series 2012-9A, | |
Class C (Cayman Islands) | |
3.48% | | | 04/16/22 | 2,3,4 | | | 1,645,000 | | | | 1,645,096 | |
TAL Advantage LLC, Series 2006-1, | |
Class NOTE | |
0.35% | | | 04/20/21 | 2,3 | | | 22,167 | | | | 21,975 | |
Triton Container Finance LLC, | |
Series 2007-1A, Class NOTE | |
0.29% | | | 02/26/19 | 2,3 | | | 17,812 | | | | 17,777 | |
| | | | | | | | | | | | |
|
Total Asset-Backed Securities | |
(Cost $184,752,957) | | | | 186,579,145 | |
| | | | | | | | | | | | |
|
BANK LOANS — 0.65%* | |
Automotive — 0.05% | |
Navistar, Inc., Term Loan B, 1st Lien | |
5.75% | | | 08/17/17 | 3 | | | 500,000 | | | | 502,500 | |
| | | | | | | | | | | | |
|
Electric — 0.06% | |
Dynegy, Inc., Term Loan B2, 1st Lien | |
4.00% | | | 04/23/20 | 3 | | | 607,691 | | | | 603,990 | |
| | | | | | | | | | | | |
|
Finance — 0.15% | |
Delos Finance SARL, Term Loan B, 1st Lien | |
3.50% | | | 03/06/21 | 3 | | | 1,500,000 | | | | 1,484,063 | |
| | | | | | | | | | | | |
|
Services — 0.39% | |
AABS Ltd. Loan, Series 2013-1, Class A | |
(STEP) (Bermuda) | |
4.72% | | | 01/15/38 | 3,4,† | | | 3,610,208 | | | | 3,736,461 | |
| | | | | | | | | | | | |
|
Total Bank Loans | |
(Cost $6,324,215) | | | | 6,327,014 | |
| | | | | | | | | | | | |
|
CORPORATES — 19.78%* | |
Automotive — 0.46% | |
Daimler Finance North America LLC | |
0.83% | | | 01/09/15 | 2,3 | | | 500,000 | | | | 500,678 | |
Ford Motor Co. | |
6.50% | | | 08/01/18 | | | | 1,000,000 | | | | 1,155,468 | |
General Motors Co. | |
4.88% | | | 10/02/23 | | | | 1,710,000 | | | | 1,816,875 | |
Tenedora Nemak SA de CV (Mexico) | |
5.50% | | | 02/28/23 | 2,4 | | | 1,000,000 | | | | 1,030,000 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 4,503,021 | |
| | | | | | | | | | | | |
|
Banking — 3.15% | |
Abbey National Treasury Services | |
PLC/London (United Kingdom) | |
3.05% | | | 08/23/18 | 4 | | | 425,000 | | | | 440,865 | |
See accompanying notes to Schedule of Portfolio Investments.
101 / Semi-Annual Report September 2014
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Banking (continued) | |
3.88% | | | 11/10/14 | 2,4 | | $ | 125,000 | | | $ | 125,449 | |
Akbank TAS (Turkey) | |
5.00% | | | 10/24/22 | 2,4 | | | 1,000,000 | | | | 988,750 | |
Banco Santander SA (Spain) | |
5.95% | | | 01/30/24 | 2,3,4 | | | 700,000 | | | | 744,625 | |
Bank of America N.A. (BKNT) | |
0.51% | | | 06/15/16 | 3 | | | 122,000 | | | | 121,492 | |
0.53% | | | 06/15/17 | 3 | | | 2,000,000 | | | | 1,987,604 | |
5.30% | | | 03/15/17 | | | | 1,575,000 | | | | 1,707,365 | |
6.00% | | | 06/15/16 | | | | 2,075,000 | | | | 2,237,333 | |
6.10% | | | 06/15/17 | | | | 1,100,000 | | | | 1,226,471 | |
BBVA Banco Continental SA (Peru) | |
5.25% | | | 09/22/29 | 2,3,4 | | | 1,000,000 | | | | 1,003,500 | |
BBVA Bancomer SA/Texas (Mexico) | |
6.75% | | | 09/30/22 | 2,4 | | | 500,000 | | | | 558,750 | |
Credit Suisse/New York (YCD) (Switzerland) | |
0.47% | | | 04/10/15 | 3,4 | | | 1,500,000 | | | | 1,502,417 | |
0.56% | | | 08/24/15 | 3,4 | | | 3,500,000 | | | | 3,499,195 | |
HBOS PLC, Series G (MTN) | |
(United Kingdom) | |
6.75% | | | 05/21/18 | 2,4 | | | 1,425,000 | | | | 1,612,597 | |
JPMorgan Chase & Co. | |
3.88% | | | 09/10/24 | | | | 2,000,000 | | | | 1,964,149 | |
Macquarie Bank Ltd. (Australia) | |
0.68% | | | 06/15/16 | 2,3,4 | | | 1,500,000 | | | | 1,500,631 | |
5.00% | | | 02/22/17 | 2,4 | | | 170,000 | | | | 183,304 | |
6.62% | | | 04/07/21 | 2,4 | | | 2,824,000 | | | | 3,222,181 | |
National Australia Bank Ltd. (Australia) | |
1.60% | | | 08/07/15 | 4 | | | 250,000 | | | | 252,566 | |
Royal Bank of Scotland PLC | |
(United Kingdom) | |
2.55% | | | 09/18/15 | 4 | | | 350,000 | | | | 355,290 | |
5.12% | | | 05/28/24 | 4 | | | 3,750,000 | | | | 3,693,207 | |
6.10% | | | 06/10/23 | 4 | | | 700,000 | | | | 741,631 | |
6.12% | | | 12/15/22 | 4 | | | 100,000 | | | | 106,249 | |
Sberbank of Russia via SB Capital SA | |
(Luxembourg) | |
5.25% | | | 05/23/23 | 2,4 | | | 500,000 | | | | 442,845 | |
VTB Bank OJSC via VTB Capital SA | |
(Luxembourg) | |
6.95% | | | 10/17/22 | 2,4 | | | 500,000 | | | | 481,250 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 30,699,716 | |
| | | | | | | | | | | | |
|
Communications — 0.63% | |
CCO Holdings LLC/CCO Holdings | |
Capital Corp. (WI) | |
8.12% | | | 04/30/20 | | | | 65,000 | | | | 68,981 | |
CSC Holdings LLC | |
6.75% | | | 11/15/21 | | | | 60,000 | | | | 64,137 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Communications (continued) | |
Intelsat Jackson Holdings SA (Luxembourg) | |
7.25% | | | 10/15/20 | 4 | | $ | 860,000 | | | $ | 913,750 | |
Qwest Corp. | |
7.25% | | | 09/15/25 | | | | 300,000 | | | | 354,555 | |
Sprint Nextel Corp. | |
9.00% | | | 11/15/18 | 2 | | | 1,250,000 | | | | 1,446,125 | |
T-Mobile USA, Inc. | |
6.63% | | | 04/28/21 | | | | 2,450,000 | | | | 2,520,437 | |
Windstream Corp. (WI) | |
8.12% | | | 09/01/18 | | | | 785,000 | | | | 820,816 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 6,188,801 | |
| | | | | | | | | | | | |
|
Consumer Discretionary — 0.29% | |
Catholic Health Initiatives | |
4.20% | | | 08/01/23 | | | | 2,700,000 | | | | 2,808,456 | |
| | | | | | | | | | | | |
|
Electric — 3.02% | |
Dominion Resources, Inc. | |
5.75% | | | 10/01/54 | 3 | | | 2,875,000 | | | | 2,915,052 | |
DPL, Inc. | | | | | | | | | | | | |
6.50% | | | 10/15/16 | | | | 545,000 | | | | 584,513 | |
Duquesne Light Holdings, Inc. | |
6.40% | | | 09/15/20 | 2 | | | 4,641,000 | | | | 5,430,015 | |
Electricite de France SA (France) | |
5.25% | | | 07/29/49 | 2,3,4 | | | 125,000 | | | | 128,125 | |
5.62% | | | 12/29/49 | 2,3,4 | | | 1,275,000 | | | | 1,326,000 | |
FirstEnergy Transmission LLC | |
4.35% | | | 01/15/25 | 2 | | | 2,000,000 | | | | 2,022,376 | |
Florida Gas Transmission Co. LLC | |
7.90% | | | 05/15/19 | 2 | | | 1,375,000 | | | | 1,687,053 | |
GenOn Americas Generation LLC | |
8.50% | | | 10/01/21 | | | | 1,025,000 | | | | 964,781 | |
GNL Quintero SA (Chile) | |
4.63% | | | 07/31/29 | 2,4 | | | 1,000,000 | | | | 1,004,000 | |
Homer City Generation LP (PIK) | |
8.14% | | | 10/01/19 | 5 | | | 2,100,000 | | | | 2,194,500 | |
Ipalco Enterprises, Inc. | |
7.25% | | | 04/01/16 | 2 | | | 2,850,000 | | | | 3,066,542 | |
Ipalco Enterprises, Inc. (WI) | |
5.00% | | | 05/01/18 | | | | 700,000 | | | | 738,283 | |
Metropolitan Edison Co. | |
7.70% | | | 01/15/19 | | | | 2,230,000 | | | | 2,690,615 | |
Oncor Electric Delivery Co. LLC | |
6.80% | | | 09/01/18 | | | | 1,000,000 | | | | 1,173,325 | |
Perusahaan Gas Negara Persero TBK PT | |
(Indonesia) | |
5.12% | | | 05/16/24 | 2,4 | | | 1,000,000 | | | | 1,005,000 | |
PNM Resources, Inc. | |
9.25% | | | 05/15/15 | | | | 200,000 | | | | 210,324 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2014 / 102
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Electric (continued) | |
Public Service Co. of New Mexico | |
5.35% | | | 10/01/21 | | | $ | 50,000 | | | $ | 54,690 | |
Southwestern Electric Power Co. | |
6.45% | | | 01/15/19 | | | | 1,885,000 | | | | 2,206,694 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 29,401,888 | |
| | | | | | | | | | | | |
|
Energy — 1.47% | |
Florida Gas Transmission Co. LLC | |
4.00% | | | 07/15/15 | 2 | | | 500,000 | | | | 512,357 | |
GeoPark Latin America Ltd., Agencia En Chile | |
(Bermuda) | |
7.50% | | | 02/11/20 | 2,4 | | | 600,000 | | | | 645,000 | |
Pacific Drilling V Ltd. (Luxembourg) | |
7.25% | | | 12/01/17 | 2,4 | | | 725,000 | | | | 730,437 | |
Pacific Rubiales Energy Corp., Series REGS | |
(Canada) | |
7.25% | | | 12/12/21 | 4 | | | 500,000 | | | | 546,725 | |
Peabody Energy Corp. | |
4.75% | | | 12/15/41 | | | | 900,000 | | | | 621,000 | |
Petrobras Global Finance BV (Netherlands) | |
2.37% | | | 01/15/19 | 3,4 | | | 1,200,000 | | | | 1,208,961 | |
Petroleos Mexicanos (Mexico) | |
1.70% | | | 12/20/22 | 4 | | | 127,500 | | | | 124,975 | |
Rio Oil Finance Trust, Series REGS (Brazil) | |
6.25% | | | 07/06/24 | 4 | | | 500,000 | | | | 517,239 | |
Rockies Express Pipeline LLC | |
5.62% | | | 04/15/20 | 2 | | | 2,400,000 | | | | 2,490,000 | |
Ruby Pipeline LLC | |
6.00% | | | 04/01/22 | 2 | | | 1,600,000 | | | | 1,770,655 | |
Sabine Pass Liquefaction LLC | |
5.75% | | | 05/15/24 | 2 | | | 2,000,000 | | | | 2,040,000 | |
Sabine Pass LNG LP | |
7.50% | | | 11/30/16 | | | | 1,500,000 | | | | 1,603,124 | |
7.50% | | | 11/30/16 | 2 | | | 500,000 | | | | 532,500 | |
SandRidge Energy, Inc. | |
8.12% | | | 10/15/22 | | | | 550,000 | | | | 551,375 | |
SM Energy Co. | |
6.50% | | | 01/01/23 | | | | 165,000 | | | | 172,425 | |
Tennessee Gas Pipeline Co. LLC | |
8.00% | | | 02/01/16 | | | | 225,000 | | | | 245,361 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 14,312,134 | |
| | | | | | | | | | | | |
|
Finance — 3.32% | |
Astoria Depositor Corp. | |
8.14% | | | 05/01/21 | 2 | | | 440,000 | | | | 471,900 | |
CIT Group, Inc. | |
6.62% | | | 04/01/18 | 2 | | | 1,000,000 | | | | 1,076,250 | |
Citigroup, Inc. | |
0.78% | | | 08/25/36 | 3 | | | 4,050,000 | | | | 3,294,456 | |
1.19% | | | 07/25/16 | 3 | | | 1,000,000 | | | | 1,011,119 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Finance (continued) | |
4.59% | | | 12/15/15 | | | $ | 125,000 | | | $ | 130,613 | |
6.12% | | | 05/15/18 | | | | 100,000 | | | | 113,318 | |
Ford Motor Credit Co. LLC | |
3.88% | | | 01/15/15 | | | | 400,000 | | | | 403,873 | |
General Electric Capital Corp. (MTN) | |
0.62% | | | 05/05/26 | 3 | | | 1,000,000 | | | | 957,241 | |
0.71% | | | 08/15/36 | 3 | | | 4,085,000 | | | | 3,541,736 | |
4.65% | | | 10/17/21 | | | | 70,000 | | | | 77,500 | |
General Motors Financial Co., Inc. | |
2.62% | | | 07/10/17 | | | | 2,500,000 | | | | 2,513,013 | |
General Motors Financial Co., Inc., | |
Series 3YR | |
3.00% | | | 09/25/17 | | | | 1,000,000 | | | | 1,011,250 | |
Goldman Sachs Group, Inc. | |
2.90% | | | 07/19/18 | | | | 1,000,000 | | | | 1,026,009 | |
5.95% | | | 01/18/18 | | | | 75,000 | | | | 84,025 | |
Goldman Sachs Group, Inc. (MTN) | |
1.84% | | | 11/29/23 | 3 | | | 1,401,000 | | | | 1,442,958 | |
Grupo Aval Ltd. (Cayman Islands) | |
4.75% | | | 09/26/22 | 2,4 | | | 600,000 | | | | 595,419 | |
International Lease Finance Corp. | |
6.75% | | | 09/01/16 | 2 | | | 400,000 | | | | 429,000 | |
JPMorgan Chase Capital XIII, Series M | |
1.18% | | | 09/30/34 | 3 | | | 225,000 | | | | 195,469 | |
JPMorgan Chase Capital XXI, Series U | |
1.19% | | | 02/02/37 | 3 | | | 3,410,000 | | | | 2,941,125 | |
JPMorgan Chase Capital XXIII | |
1.23% | | | 05/15/47 | 3 | | | 7,750,000 | | | | 6,316,250 | |
KKR Group Finance Co. LLC | |
6.38% | | | 09/29/20 | 2 | | | 400,000 | | | | 468,939 | |
Raymond James Financial, Inc. | |
8.60% | | | 08/15/19 | | | | 530,000 | | | | 661,900 | |
Reckson Operating Partnership LP | |
5.00% | | | 08/15/18 | | | | 895,000 | | | | 965,136 | |
ZFS Finance USA Trust II | |
6.45% | | | 12/15/65 | 2,3 | | | 2,475,000 | | | | 2,666,813 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 32,395,312 | |
| | | | | | | | | | | | |
|
Health Care — 1.07% | |
Hartford HealthCare Corp. | |
5.75% | | | 04/01/44 | | | | 1,525,000 | | | | 1,727,629 | |
Hospira, Inc. | |
5.20% | | | 08/12/20 | | | | 1,000,000 | | | | 1,077,516 | |
North Shore Long Island | |
Jewish Health Care, Inc. | |
4.80% | | | 11/01/42 | | | | 650,000 | | | | 637,568 | |
6.15% | | | 11/01/43 | | | | 2,250,000 | | | | 2,763,956 | |
Providence Health & Services | |
Obligated Group | |
1.18% | | | 10/01/17 | 3 | | | 3,200,000 | | | | 3,216,325 | |
See accompanying notes to Schedule of Portfolio Investments.
103 / Semi-Annual Report September 2014
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Health Care (continued) | |
Tenet Healthcare Corp. | |
4.50% | | | 04/01/21 | | | $ | 1,000,000 | | | $ | 980,000 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 10,402,994 | |
| | | | | | | | | | | | |
|
Industrials — 0.43% | |
Cemex Espana Luxembourg (Spain) | |
9.88% | | | 04/30/19 | 2,4 | | | 600,000 | | | | 665,096 | |
Heathrow Funding Ltd. (United Kingdom) | |
2.50% | | | 06/25/15 | 2,4 | | | 1,200,000 | | | | 1,213,902 | |
4.88% | | | 07/15/21 | 2,4 | | | 700,000 | | | | 773,400 | |
Odebrecht Offshore Drilling Finance Ltd. | |
(Cayman Islands) | |
6.75% | | | 10/01/22 | 2,4 | | | 476,850 | | | | 495,924 | |
Sydney Airport Finance Co. Pty Ltd. | |
(Australia) | |
3.90% | | | 03/22/23 | 2,4 | | | 325,000 | | | | 330,093 | |
5.12% | | | 02/22/21 | 2,4 | | | 660,000 | | | | 735,546 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 4,213,961 | |
| | | | | | | | | | | | |
|
Insurance — 0.41% | |
Farmers Exchange Capital | |
7.20% | | | 07/15/48 | 2 | | | 150,000 | | | | 192,577 | |
Farmers Exchange Capital II | |
6.15% | | | 11/01/53 | 2,3 | | | 2,500,000 | | | | 2,849,667 | |
Metropolitan Life Global Funding I | |
1.50% | | | 01/10/18 | 2 | | | 500,000 | | | | 496,123 | |
1.70% | | | 06/29/15 | 2 | | | 175,000 | | | | 176,741 | |
Nationwide Mutual Insurance Co. | |
5.81% | | | 12/15/24 | 2,3 | | | 250,000 | | | | 251,875 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 3,966,983 | |
| | | | | | | | | | | | |
|
Materials — 0.09% | |
Barrick Gold Corp. (WI) (Canada) | |
4.10% | | | 05/01/23 | 4 | | | 900,000 | | | | 866,966 | |
| | | | | | | | | | | | |
|
Real Estate Investment Trust (REIT) — 3.49% | |
Alexandria Real Estate Equities, Inc. | |
3.90% | | | 06/15/23 | | | | 1,650,000 | | | | 1,645,058 | |
Arc Properties Operating Partnership LP/ | |
Clark Acquisition LLC | |
2.00% | | | 02/06/17 | 2 | | | 3,700,000 | | | | 3,701,875 | |
AvalonBay Communities, Inc. | |
3.62% | | | 10/01/20 | | | | 1,500,000 | | | | 1,559,902 | |
Boston Properties LP | |
5.62% | | | 11/15/20 | | | | 1,750,000 | | | | 1,992,900 | |
5.88% | | | 10/15/19 | | | | 200,000 | | | | 230,659 | |
Essex Portfolio LP | |
3.62% | | | 08/15/22 | | | | 250,000 | | | | 252,593 | |
5.50% | | | 03/15/17 | | | | 2,197,000 | | | | 2,409,081 | |
HCP, Inc. | |
2.62% | | | 02/01/20 | | | | 1,500,000 | | | | 1,481,602 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Real Estate Investment Trust (REIT) (continued) | |
3.88% | | | 08/15/24 | | | $ | 2,000,000 | | | $ | 1,963,265 | |
5.62% | | | 05/01/17 | | | | 100,000 | | | | 110,329 | |
6.00% | | | 01/30/17 | | | | 1,000,000 | | | | 1,105,116 | |
Health Care REIT, Inc. | |
4.95% | | | 01/15/21 | | | | 1,020,000 | | | | 1,119,439 | |
Healthcare Realty Trust, Inc. | |
5.75% | | | 01/15/21 | | | | 1,250,000 | | | | 1,393,694 | |
6.50% | | | 01/17/17 | | | | 875,000 | | | | 968,171 | |
Highwoods Realty LP | |
7.50% | | | 04/15/18 | | | | 800,000 | | | | 935,152 | |
Hospitality Properties Trust | |
6.30% | | | 06/15/16 | | | | 1,900,000 | | | | 2,008,848 | |
Host Hotels & Resorts LP (WI) | |
5.88% | | | 06/15/19 | | | | 2,684,000 | | | | 2,844,348 | |
Liberty Property LP (MTN) | |
7.50% | | | 01/15/18 | | | | 900,000 | | | | 1,034,754 | |
Mack-Cali Realty LP | |
2.50% | | | 12/15/17 | | | | 1,000,000 | | | | 1,014,022 | |
Post Apartment Homes LP | |
3.38% | | | 12/01/22 | | | | 100,000 | | | | 97,500 | |
4.75% | | | 10/15/17 | | | | 270,000 | | | | 293,441 | |
SL Green Realty Corp./SL Green Operating | |
Partnership | |
7.75% | | | 03/15/20 | | | | 2,375,000 | | | | 2,829,670 | |
WEA Finance LLC/Westfield UK & Europe | |
Finance PLC | |
1.75% | | | 09/15/17 | 2 | | | 3,000,000 | | | | 3,005,785 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 33,997,204 | |
| | | | | | | | | | | | |
|
Transportation — 1.95% | |
America West Airlines Pass-Through Trust, | |
Series 2001-1, Class 11G | |
7.10% | | | 04/02/21 | | | | 1,849,358 | | | | 2,048,164 | |
American Airlines Pass-Through Trust, | |
Series 2011-1, Class A | |
5.25% | | | 01/31/21 | | | | 57,528 | | | | 62,188 | |
American Airlines Pass-Through Trust, | |
Series 2013-2, Class A | |
4.95% | | | 01/15/23 | | | | 4,153,460 | | | | 4,459,778 | |
Autopistas Metropolitanas de Puerto | |
Rico LLC | |
6.75% | | | 06/30/35 | 2 | | | 750,000 | | | | 670,680 | |
Continental Airlines Pass-Through Trust, | |
Series 1997, Class 4A | |
6.90% | | | 01/02/18 | | | | 90,597 | | | | 96,599 | |
Continental Airlines Pass-Through Trust, | |
Series 1999, Class C2 | |
7.26% | | | 03/15/20 | 6 | | | 2,583,940 | | | | 2,926,311 | |
Continental Airlines Pass-Through Trust, | |
Series 1999-1, Class A | |
6.54% | | | 08/02/20 | | | | 2,186,110 | | | | 2,436,147 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2014 / 104
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Transportation (continued) | |
Continental Airlines Pass-Through Trust, | |
Series 2000-2 A1 | |
7.71% | | | 10/02/22 | | | $ | 836,651 | | | $ | 943,847 | |
Continental Airlines Pass-Through Trust, | |
Series 2007, Class 1A | |
5.98% | | | 04/19/22 | | | | 421,374 | | | | 471,413 | |
Continental Airlines Pass-Through Trust, | |
Series 2012-1, Class B | |
6.25% | | | 04/11/20 | | | | 67,399 | | | | 72,116 | |
Delta Air Lines Pass-Through Trust, | |
Series 2002, Class G1 | |
6.72% | | | 01/02/23 | | | | 1,181,354 | | | | 1,376,278 | |
JetBlue Airways Pass-Through Trust, | |
Series 2004, Class G2 | |
0.68% | | | 11/15/16 | 3 | | | 250,000 | | | | 246,000 | |
UAL Pass-Through Trust, Series 2009-2A | |
9.75% | | | 01/15/17 | | | | 2,158,532 | | | | 2,444,538 | |
US Airways Pass-Through Trust, | |
Series 2010-1, Class A | |
6.25% | | | 04/22/23 | | | | 564,427 | | | | 637,802 | |
US Airways Pass-Through Trust, | |
Series 2012-1, Class A | |
5.90% | | | 10/01/24 | | | | 115,887 | | | | 129,287 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 19,021,148 | |
| | | | | | | | | | | | |
Total Corporates | |
(Cost $188,952,584) | | | | 192,778,584 | |
| | | | | | | | | | | | |
|
FOREIGN GOVERNMENT OBLIGATIONS — 0.53% | |
Foreign Government Obligations — 0.53% | |
Croatia Government Bond (Croatia) | |
6.00% | | | 01/26/24 | 2,4 | | | 500,000 | | | | 534,375 | |
Hungary Government International Bond | |
(Hungary) | |
5.75% | | | 11/22/23 | 4 | | | 750,000 | | | | 816,787 | |
Perusahaan Penerbit SBSN, Indonesia III | |
(Indonesia) | |
4.35% | | | 09/10/24 | 2,4 | | | 500,000 | | | | 488,750 | |
Republic of Serbia, Series REGS (Serbia) | |
4.88% | | | 02/25/20 | 4 | | | 450,000 | | | | 450,563 | |
Romanian Government Bond (Romania) | |
4.88% | | | 01/22/24 | 2,4 | | | 1,000,000 | | | | 1,060,000 | |
Russian Federation Foreign Bond-Eurobond | |
(Russia) | |
4.88% | | | 09/16/23 | 4 | | | 200,000 | | | | 198,250 | |
Slovenia Government International Bond | |
(Slovenia) | |
5.50% | | | 10/26/22 | 2,4 | | | 500,000 | | | | 545,000 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
FOREIGN GOVERNMENT OBLIGATIONS (continued) | |
Foreign Government Obligations (continued) | |
Venezuela Government International Bond | |
Series REGS (Venezuela) | |
7.75% | | | 10/13/19 | 4 | | $ | 1,500,000 | | | $ | 1,046,250 | |
| | | | | | | | | | | | |
|
Total Foreign Government Obligations | |
(Cost $5,170,139) | | | | 5,139,975 | |
| | | | | | | | | | | | |
|
MORTGAGE-BACKED — 43.74%** | |
Commercial Mortgage-Backed — 7.42% | |
Banc of America Commercial Mortgage, Inc., | |
Series 2005-3, Class A3A | |
4.62% | | | 07/10/43 | | | | 3,106,041 | | | | 3,121,282 | |
Banc of America Merrill Lynch Commercial | |
Mortgage, Inc., Series 2005-6, Class A4 | |
5.35% | | | 09/10/47 | 3 | | | 104,384 | | | | 107,730 | |
Banc of America Merrill Lynch Commercial | |
Mortgage, Inc., Series 2006-5, Class A2 | |
5.32% | | | 09/10/47 | | | | 309,654 | | | | 310,276 | |
Bayview Commercial Asset Trust, | |
Series 2004-2, Class A | |
0.58% | | | 08/25/34 | 2,3 | | | 1,077,860 | | | | 1,038,346 | |
Bayview Commercial Asset Trust, | |
Series 2005-3A, Class A1 | |
0.48% | | | 11/25/35 | 2,3 | | | 299,254 | | | | 275,399 | |
Bayview Commercial Asset Trust, | |
Series 2008-4, Class A3 | |
2.90% | | | 07/25/38 | 2,3 | | | 1,200,000 | | | | 1,177,947 | |
Bear Stearns Commercial Mortgage | |
Securities Trust, Series 2004-PWR4, | |
Class A3 | |
5.47% | | | 06/11/41 | 3 | | | 42,470 | | | | 42,468 | |
Bear Stearns Commercial Mortgage | |
Securities Trust, Series 2006-PW14, | |
Class A3 | |
5.21% | | | 12/11/38 | | | | 315,520 | | | | 318,077 | |
Bear Stearns Commercial Mortgage | |
Securities Trust, Series 2006-T22, | |
Class A4 | |
5.76% | | | 04/12/38 | 3 | | | 114,795 | | | | 120,643 | |
Bear Stearns Commercial Mortgage | |
Securities Trust, Series 2007-PW17, | |
Class A3 | |
5.74% | | | 06/11/50 | | | | 646,901 | | | | 654,569 | |
Commercial Mortgage Trust, | |
Series 2006-C8, Class AAB | |
5.29% | | | 12/10/46 | | | | 178,043 | | | | 179,484 | |
Credit Suisse First Boston Commercial | |
Mortgage Trust, Series 2007-C2, Class A1A | |
5.53% | | | 01/15/49 | 3 | | | 1,926,508 | | | | 2,061,237 | |
Credit Suisse First Boston Commercial | |
Mortgage Trust, Series 2007-C5, Class A3 | |
5.69% | | | 09/15/40 | 3 | | | 3,349,944 | | | | 3,353,503 | |
See accompanying notes to Schedule of Portfolio Investments.
105 / Semi-Annual Report September 2014
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Commercial Mortgage-Backed (continued) | |
Credit Suisse First Boston Mortgage | |
Securities Corp., Series 2005-C5, | |
Class A4 | |
5.10% | | | 08/15/38 | 3 | | $ | 48,744 | | | $ | 49,770 | |
Credit Suisse First Boston Mortgage | |
Securities Corp., Series 2005-C6, | |
Class A4 | |
5.23% | | | 12/15/40 | 3 | | | 62,902 | | | | 64,877 | |
DBRR Trust, Series 2013-EZ3, Class A | |
1.64% | | | 12/18/49 | 2,3 | | | 3,163,632 | | | | 3,179,943 | |
DBUBS Mortgage Trust, Series 2011-LC3A, | |
Class A2 | |
3.64% | | | 08/10/44 | | | | 470,000 | | | | 488,629 | |
GE Business Loan Trust, Series 2003-2A, | |
Class A | |
0.52% | | | 11/15/31 | 2,3 | | | 947,088 | | | | 909,677 | |
GE Business Loan Trust, Series 2006-2A, | |
Class A | |
0.33% | | | 11/15/34 | 2,3 | | | 2,636,774 | | | | 2,508,271 | |
GS Mortgage Securities Corp. II, | |
Series 2004-GG2, Class E | |
5.97% | | | 08/10/38 | 3 | | | 712,182 | | | | 713,007 | |
JPMorgan Chase Commercial Mortgage | |
Securities Corp., Series 2004-C3, | |
Class A5 | |
4.88% | | | 01/15/42 | | | | 2,743,623 | | | | 2,754,362 | |
JPMorgan Chase Commercial Mortgage | |
Securities Corp., Series 2005-CB12, | |
Class A4 | |
4.90% | | | 09/12/37 | | | | 90,000 | | | | 91,554 | |
JPMorgan Chase Commercial Mortgage | |
Securities Corp., Series 2005-CB13, | |
Class A3A1 | |
5.42% | | | 01/12/43 | 3 | | | 1,250,647 | | | | 1,251,496 | |
JPMorgan Chase Commercial Mortgage | |
Securities Corp., Series 2005-LDP2, | |
Class A3A | |
4.68% | | | 07/15/42 | | | | 372,386 | | | | 372,697 | |
JPMorgan Chase Commercial Mortgage | |
Securities Corp., Series 2005-LDP5, | |
Class A3 | |
5.43% | | | 12/15/44 | 3 | | | 495,505 | | | | 497,239 | |
JPMorgan Chase Commercial Mortgage | |
Securities Corp., Series 2006-CB14, | |
Class ASB | |
5.51% | | | 12/12/44 | 3 | | | 72,249 | | | | 73,533 | |
JPMorgan Chase Commercial Mortgage | |
Securities Corp., Series 2006-CB17, | |
Class ASB | |
5.42% | | | 12/12/43 | | | | 77,916 | | | | 80,463 | |
JPMorgan Chase Commercial Mortgage | |
Securities Corp., Series 2006-LDP9, | |
Class AMS | |
5.34% | | | 05/15/47 | | | | 2,200,000 | | | | 2,211,171 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Commercial Mortgage-Backed (continued) | |
JPMorgan Chase Commercial Mortgage | |
Securities Corp., Series 2007-C1, | |
Class ASB | |
5.86% | | | 02/15/51 | | | $ | 333,469 | | | $ | 352,428 | |
JPMorgan Chase Commercial Mortgage | |
Securities Corp., Series 2007-CB19, | |
Class ASB | |
5.87% | | | 02/12/49 | 3 | | | 188,232 | | | | 197,271 | |
JPMorgan Chase Commercial Mortgage | |
Securities Corp., Series 2010-C1, | |
Class A1 | |
3.85% | | | 06/15/43 | 2 | | | 2,116,541 | | | | 2,141,369 | |
LB-UBS Commercial Mortgage Trust, Series | |
2006-C7, Class A2 | |
5.30% | | | 11/15/38 | | | | 1,984,169 | | | | 2,039,980 | |
LB-UBS Commercial Mortgage Trust, | |
Series 2005-C1, Class A4 | |
4.74% | | | 02/15/30 | | | | 741,102 | | | | 742,699 | |
Lehman Brothers Small Balance Commercial | |
Mortgage Trust, Series 2006-2A, Class 1A | |
0.36% | | | 09/25/36 | 2,3 | | | 1,237,131 | | | | 1,152,808 | |
Merrill Lynch Mortgage Investors, Inc., | |
Series 2005-CIP1, Class A3A | |
4.95% | | | 07/12/38 | 3 | | | 2,826,132 | | | | 2,846,954 | |
ML-CFC Commercial Mortgage Trust, Series | |
2006-4, Class A1A | |
5.17% | | | 12/12/49 | | | | 5,351,041 | | | | 5,718,211 | |
Morgan Stanley Bank of America Merrill | |
Lynch Trust, Series 2012-C6, Class A3 | |
2.51% | | | 11/15/45 | | | | 947,000 | | | | 940,945 | |
Morgan Stanley Bank of America Merrill | |
Lynch Trust, Series 2012-C6, Class A4 | |
2.86% | | | 11/15/45 | | | | 1,360,000 | | | | 1,333,140 | |
Morgan Stanley Capital I Trust, | |
Series 2001-C3, Class A2 | |
3.22% | | | 08/15/49 | | | | 134,986 | | | | 139,569 | |
Morgan Stanley Capital I Trust, | |
Series 2006-IQ12, Class A4 | |
5.33% | | | 12/15/43 | | | | 95,453 | | | | 102,279 | |
Morgan Stanley Capital I Trust, | |
Series 2006-T23, Class A3 | |
5.98% | | | 08/12/41 | 3 | | | 2,826,950 | | | | 2,830,205 | |
Morgan Stanley Capital I Trust, | |
Series 2007-HQ12, Class A2FX | |
5.77% | | | 04/12/49 | 3 | | | 4,273,021 | | | | 4,333,123 | |
Morgan Stanley Capital I Trust, | |
Series 2012-C4, Class A4 | |
3.24% | | | 03/15/45 | | | | 1,200,000 | | | | 1,213,665 | |
RBSCF Trust, Series 2010-MB1, Class A2 | |
3.69% | | | 04/15/24 | 2 | | | 7,955,221 | | | | 8,000,435 | |
Wachovia Bank Commercial Mortgage Trust, | |
Series 2005-C20, Class A7 | |
5.12% | | | 07/15/42 | 3 | | | 538,353 | | | | 548,752 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2014 / 106
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Commercial Mortgage-Backed (continued) | |
Wachovia Bank Commercial Mortgage Trust, | |
Series 2007-C30, Class A3 | |
5.25% | | | 12/15/43 | | | $ | 5,805,701 | | | $ | 5,879,567 | |
WF-RBS Commercial Mortgage Trust, | |
Series 2010-C8, Class A3 | |
3.00% | | | 08/15/45 | | | | 1,380,000 | | | | 1,375,416 | |
WF-RBS Commercial Mortgage Trust, | |
Series 2011-C2, Class A2 | |
3.79% | | | 02/15/44 | 2 | | | 1,100,000 | | | | 1,134,016 | |
WF-RBS Commercial Mortgage Trust, | |
Series 2011-C5, Class A2 | |
2.68% | | | 11/15/44 | | | | 110,000 | | | | 113,189 | |
WF-RBS Commercial Mortgage Trust, | |
Series 2012-C9, Class A3 | |
2.87% | | | 11/15/45 | | | | 1,185,000 | | | | 1,164,880 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 72,308,551 | |
| | | | | | | | | | | | |
|
Non-Agency Mortgage-Backed — 30.60% | |
Aames Mortgage Investment Trust, | |
Series 2006-1, Class A4 | |
0.72% | | | 04/25/36 | 3 | | | 1,725,000 | | | | 1,497,902 | |
ACE Securities Corp., Series 2003-MH1, | |
Class B1 | |
6.50% | | | 08/15/30 | 2,3 | | | 23,346 | | | | 23,873 | |
ACE Securities Corp., Series 2006-OP2, | |
Class A2C | |
0.30% | | | 08/25/36 | 3 | | | 872,395 | | | | 645,996 | |
ACE Securities Corp., Series 2007-ASP1, | |
Class A2D | |
0.54% | | | 03/25/37 | 3 | | | 4,329,157 | | | | 2,581,956 | |
Adjustable Rate Mortgage Trust, | |
Series 2005-4, Class 5A1 | |
2.44% | | | 08/25/35 | 3 | | | 5,243,071 | | | | 4,873,875 | |
Adjustable Rate Mortgage Trust, | |
Series 2005-5, Class 6A21 | |
0.38% | | | 09/25/35 | 3 | | | 817,912 | | | | 785,739 | |
American Home Mortgage Investment Trust, | |
Series 2007-1, Class GA1C | |
0.34% | | | 05/25/47 | 3 | | | 865,521 | | | | 634,538 | |
Asset-Backed Funding Certificates, | |
Series 2007-NC1, Class A2 | |
0.46% | | | 05/25/37 | 2,3 | | | 4,432,000 | | | | 3,238,532 | |
Asset-Backed Funding Certificates, | |
Series 2007-WMC1, Class A2B | |
1.16% | | | 06/25/37 | 3 | | | 3,602,738 | | | | 2,428,524 | |
Asset-Backed Securities Corp. Home Equity | |
Loan Trust, Series 2004-HE9, Class M1 | |
1.13% | | | 12/25/34 | 3 | | | 2,513,162 | | | | 2,254,223 | |
Asset-Backed Securities Corp. Home Equity | |
Loan Trust, Series 2006-HE1, Class A4 | |
0.46% | | | 01/25/36 | 3 | | | 5,000,000 | | | | 4,499,694 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
Banc of America Alternative Loan Trust, | |
Series 2003-3, Class A4 | |
5.75% | | | 05/25/33 | | | $ | 1,010,589 | | | $ | 1,042,220 | |
Banc of America Alternative Loan Trust, | |
Series 2003-4, Class 1A5 | |
5.50% | | | 06/25/33 | | | | 1,024,363 | | | | 1,060,731 | |
Banc of America Alternative Loan Trust, | |
Series 2003-8, Class 1CB1 | |
5.50% | | | 10/25/33 | | | | 2,660,324 | | | | 2,729,388 | |
Banc of America Alternative Loan Trust, | |
Series 2003-9, Class 1CB5 | |
5.50% | | | 11/25/33 | | | | 1,001,209 | | | | 1,029,705 | |
Banc of America Alternative Loan Trust, | |
Series 2005-2, Class 4A1 | |
5.50% | | | 03/25/20 | | | | 201,317 | | | | 203,879 | |
Banc of America Funding Corp., | |
Series 2004-B, Class 5A1 | |
2.82% | | | 11/20/34 | 3 | | | 1,001,083 | | | | 974,758 | |
Banc of America Funding Corp., | |
Series 2006-D, Class 3A1 | |
2.76% | | | 05/20/36 | 3 | | | 3,678,886 | | | | 3,359,268 | |
Banc of America Funding Corp., | |
Series 2006-G, Class 2A1 | |
0.37% | | | 07/20/36 | 3 | | | 4,437,980 | | | | 4,140,631 | |
Banc of America Funding Corp., | |
Series 2006-G, Class 2A4 | |
0.44% | | | 07/20/36 | 3 | | | 1,550,000 | | | | 1,459,288 | |
Banc of America Funding Corp., | |
Series 2006-H, Class 2A3 | |
2.76% | | | 09/20/46 | 3 | | | 2,060,545 | | | | 1,755,443 | |
Banc of America Merrill Lynch Commercial | |
Mortgage, Inc., Series 2005-3, Class A4 | |
4.67% | | | 07/10/43 | | | | 4,300,000 | | | | 4,385,315 | |
BCAP LLC Trust, Series 2009-RR4, | |
Class 1A1 | |
9.50% | | | 06/26/37 | 2 | | | 1,025,227 | | | | 1,070,007 | |
BCAP LLC Trust, Series 2012-R11, | |
Class 11A1 | |
2.60% | | | 09/26/36 | 2,3 | | | 1,986,351 | | | | 2,009,261 | |
BCAP LLC Trust, Series 2013-RR2, | |
Class 6A1 | |
2.67% | | | 06/26/37 | 2,3 | | | 679,704 | | | | 679,809 | |
Bear Stearns ALT-A Trust, Series 2005-2, | |
Class 2A4 | |
2.61% | | | 04/25/35 | 3 | | | 4,952,800 | | | | 4,784,697 | |
Bear Stearns ALT-A Trust, Series 2005-7, | |
Class 25A1 | |
2.41% | | | 09/25/35 | 3 | | | 109,344 | | | | 88,130 | |
Bear Stearns ARM Trust, Series 2005-2, | |
Class A1 | |
2.58% | | | 03/25/35 | 3 | | | 669,250 | | | | 677,649 | |
See accompanying notes to Schedule of Portfolio Investments.
107 / Semi-Annual Report September 2014
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
Bear Stearns ARM Trust, Series 2005-9, | |
Class A1 | |
2.43% | | | 10/25/35 | 3 | | $ | 3,402,383 | | | $ | 3,382,251 | |
Bear Stearns Asset-Backed Securities Trust, | |
Series 2005-AC6, Class 1A3 | |
5.50% | | | 09/25/35 | 3 | | | 1,299,835 | | | | 1,339,799 | |
Bear Stearns Asset-Backed Securities Trust, | |
Series 2006-AC2, Class 21A3 | |
6.00% | | | 03/25/36 | | | | 351,189 | | | | 313,168 | |
Bear Stearns Asset-Backed Securities Trust, | |
Series 2006-HE9, Class 1A2 | |
0.30% | | | 11/25/36 | 3 | | | 2,684,405 | | | | 1,960,778 | |
BNC Mortgage Loan Trust, Series 2007-4, | |
Class A3A | |
0.40% | | | 11/25/37 | 3 | | | 149,147 | | | | 148,841 | |
Centex Home Equity Loan Trust, | |
Series 2005-D, Class M1 | |
0.58% | | | 10/25/35 | 3 | | | 350,000 | | | | 343,831 | |
Centex Home Equity Loan Trust, | |
Series 2006-A, Class AV4 | |
0.40% | | | 06/25/36 | 3 | | | 4,450,000 | | | | 4,117,750 | |
Chase Mortgage Finance Corp., | |
Series 2007-A1, Class 8A1 | |
2.57% | | | 02/25/37 | 3 | | | 3,401,446 | | | | 3,461,501 | |
Citigroup Mortgage Loan Trust, Inc., | |
Series 2005-9, Class 1A1 | |
0.42% | | | 11/25/35 | 3 | | | 156,645 | | | | 106,112 | |
Citigroup Mortgage Loan Trust, Inc., | |
Series 2005-WF2, Class MV1 | |
0.80% | | | 08/25/35 | 3 | | | 541,676 | | | | 535,947 | |
Citigroup Mortgage Loan Trust, Inc., | |
Series 2006-AR3, Class 1A2A | |
5.33% | | | 06/25/36 | 3 | | | 1,022,726 | | | | 988,194 | |
Citigroup Mortgage Loan Trust, Inc., | |
Series 2006-HE2, Class A2D | |
0.40% | | | 08/25/36 | 3 | | | 2,300,000 | | | | 1,951,367 | |
Citigroup Mortgage Loan Trust, Inc., | |
Series 2006-NC1, Class A2C | |
0.30% | | | 08/25/36 | 3 | | | 3,829,814 | | | | 2,979,917 | |
Citigroup Mortgage Loan Trust, Inc., | |
Series 2006-WFH2, Class A2A | |
0.30% | | | 08/25/36 | 3 | | | 315,990 | | | | 298,114 | |
Citigroup Mortgage Loan Trust, Inc., | |
Series 2007-WFH1, Class A4 | |
0.36% | | | 01/25/37 | 3 | | | 4,000,000 | | | | 3,756,414 | |
Citigroup Mortgage Loan Trust, Inc., | |
Series 2007-WFH2, Class A3 | |
0.34% | | | 03/25/37 | 3 | | | 1,380,496 | | | | 1,357,927 | |
Citigroup Mortgage Loan Trust, Inc., | |
Series 2010-9, Class 5A (STEP) | |
7.19% | | | 03/25/37 | 2 | | | 290,000 | | | | 296,552 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
Conseco Financial Corp., Series 1998-6, | |
Class A8 | |
6.66% | | | 06/01/30 | | | $ | 79,305 | | | $ | 85,101 | |
Countrywide Alternative Loan Trust, | |
Series 2005-76, Class 1A1 | |
1.60% | | | 01/25/36 | 3 | | | 3,009,206 | | | | 2,827,149 | |
Countrywide Alternative Loan Trust, | |
Series 2007-HY5R, Class 2A1A | |
2.55% | | | 03/25/47 | 3 | | | 50,374 | | | | 49,932 | |
Countrywide Home Loan Mortgage | |
Pass-Through Trust, Series 2004-HYB7, | |
Class 3A | |
2.44% | | | 11/20/34 | 3 | | | 186,898 | | | | 184,213 | |
Countrywide Home Loan Mortgage | |
Pass-Through Trust, Series 2005-4, | |
Class 4A1 | |
0.44% | | | 02/25/35 | 3 | | | 63,028 | | | | 53,288 | |
Countrywide Home Loan Mortgage | |
Pass-Through Trust, Series 2005-9, | |
Class 1A1 | |
0.46% | | | 05/25/35 | 3 | | | 224,966 | | | | 200,616 | |
Countrywide Home Loan Mortgage | |
Pass-Through Trust, Series 2007-J2, | |
Class 2A1 | |
0.80% | | | 07/25/37 | 3 | | | 3,113,703 | | | | 2,127,273 | |
Credit Suisse First Boston Commercial | |
Mortgage Trust, Series 2003-AR26, Class 3A1 | |
2.48% | | | 11/25/33 | 3 | | | 2,953,465 | | | | 2,987,849 | |
Credit Suisse First Boston Commercial | |
Mortgage Trust, Series 2005-11, Class 1A1 | |
6.50% | | | 12/25/35 | | | | 1,065,922 | | | | 863,189 | |
Credit Suisse First Boston Commercial | |
Mortgage Trust, Series 2006-8, Class 3A1 | |
6.00% | | | 10/25/21 | | | | 596,235 | | | | 583,779 | |
Credit Suisse First Boston Mortgage | |
Securities Corp., Series 2004-AR5, | |
Class 9A1 | |
2.24% | | | 06/25/34 | 3 | | | 835,977 | | | | 848,200 | |
Credit Suisse Mortgage Capital Certificates, | |
Series 2013-3R, Class 5A1 | |
2.50% | | | 10/27/36 | 2,3 | | | 866,396 | | | | 868,039 | |
Credit-Based Asset Servicing and | |
Securitization LLC, Series 2006-CB1, | |
Class AF4 (STEP) | |
3.50% | | | 01/25/36 | | | | 2,909,545 | | | | 2,179,083 | |
Credit-Based Asset Servicing and | |
Securitization LLC, Series 2006-CB2, | |
Class AF3 (STEP) | |
3.77% | | | 12/25/36 | | | | 1,000,000 | | | | 675,407 | |
Credit-Based Asset Servicing and | |
Securitization LLC, Series 2006-CB3, | |
Class AV4 | |
0.42% | | | 03/25/36 | 3 | | | 2,900,000 | | | | 1,928,148 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2014 / 108
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
Credit-Based Asset Servicing and | |
Securitization LLC, Series 2006-CB9, | |
Class A2 | |
0.26% | | | 11/25/36 | 3 | | $ | 4,765,548 | | | $ | 2,736,778 | |
Credit-Based Asset Servicing and | |
Securitization LLC, Series 2007-BR2, | |
Class A2 | |
0.38% | | | 02/25/37 | 3 | | | 2,039,991 | | | | 1,177,375 | |
Credit-Based Asset Servicing and | |
Securitization LLC, Series 2007-BR4, | |
Class A2B | |
0.36% | | | 05/25/37 | 3 | | | 3,818,072 | | | | 2,478,552 | |
Credit-Based Asset Servicing and | |
Securitization LLC, Series 2007-CB1, | |
Class AF2 (STEP) | |
4.15% | | | 01/25/37 | | | | 317,765 | | | | 175,250 | |
Credit-Based Asset Servicing and | |
Securitization LLC, Series 2007-CB2, | |
Class A2B (STEP) | |
4.64% | | | 02/25/37 | | | | 4,410,653 | | | | 3,285,689 | |
Credit-Based Asset Servicing and | |
Securitization LLC, Series 2007-CB2, | |
Class A2C (STEP) | |
4.64% | | | 02/25/37 | | | | 1,557,478 | | | | 1,160,120 | |
Credit-Based Asset Servicing and | |
Securitization LLC, Series 2007-CB3, | |
Class A3 (STEP) | |
4.14% | | | 03/25/37 | | | | 2,611,846 | | | | 1,616,419 | |
Credit-Based Asset Servicing and | |
Securitization LLC, Series 2007-CB5, | |
Class A1 (STEP) | |
0.22% | | | 04/25/37 | 3 | | | 2,891,061 | | | | 1,981,644 | |
Credit-Based Asset Servicing and | |
Securitization LLC, Series 2007-NC1, | |
Class A2B | |
0.30% | | | 12/25/36 | 3 | | | 3,348,671 | | | | 1,938,716 | |
DBRR Trust, Series 2013-EZ2, Class A | |
0.85% | | | 02/25/43 | 2,3 | | | 415,188 | | | | 414,798 | |
Deutsche Mortgage Securities, Inc., | |
Series 2010-RS2, Class A3 | |
3.85% | | | 06/28/47 | 2,3 | | | 3,400,000 | | | | 3,434,915 | |
Downey Savings & Loan Association | |
Mortgage Loan Trust, Series 2005-AR6, | |
Class 2A1A | |
0.44% | | | 10/19/45 | 3 | | | 318,559 | | | | 278,134 | |
Downey Savings & Loan Association | |
Mortgage Loan Trust, Series 2006-AR2, | |
Class 2A1A | |
0.35% | | | 10/19/36 | 3 | | | 1,136,005 | | | | 943,624 | |
Downey Savings & Loan Association | |
Mortgage Loan Trust, Series 2007-AR1, | |
Class 2A1A | |
0.29% | | | 04/19/48 | 3 | | | 1,471,124 | | | | 1,235,248 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
DSLA Mortgage Loan Trust, | |
Series 2004-AR4, Class 2A1A | |
0.51% | | | 01/19/45 | 3 | | $ | 2,036,008 | | | $ | 1,749,949 | |
First Franklin Mortgage Loan Asset-Backed | |
Certificates, Series 2005-FFA, Class M2 | |
(STEP) | |
5.98% | | | 03/25/25 | | | | 74,623 | | | | 77,358 | |
First Franklin Mortgage Loan Asset-Backed | |
Certificates, Series 2006-FF18, Class A2D | |
0.36% | | | 12/25/37 | 3 | | | 2,890,301 | | | | 1,934,013 | |
First Franklin Mortgage Loan Asset-Backed | |
Certificates, Series 2007-FF2, Class A2B | |
0.26% | | | 03/25/37 | 3 | | | 1,163,815 | | | | 746,042 | |
First Horizon Alternative Mortgage Securities | |
Trust, Series 2004-AA3, Class A1 | |
2.20% | | | 09/25/34 | 3 | | | 367,990 | | | | 363,250 | |
First Horizon Alternative Mortgage Securities | |
Trust, Series 2004-AA3, Class A3 | |
2.20% | | | 09/25/34 | 3 | | | 3,753,497 | | | | 3,665,154 | |
First Horizon Alternative Mortgage Securities | |
Trust, Series 2004-AA7, Class 1A1 | |
2.21% | | | 02/25/35 | 3 | | | 222,573 | | | | 202,949 | |
First Horizon Alternative Mortgage Securities | |
Trust, Series 2005-AA10, Class 1A1 | |
2.26% | | | 12/25/35 | 3 | | | 4,414,018 | | | | 3,874,074 | |
First Horizon Alternative Mortgage Securities | |
Trust, Series 2005-AA7, Class 2A1 | |
2.24% | | | 09/25/35 | 3 | | | 4,754,908 | | | | 4,204,926 | |
First Horizon Alternative Mortgage Securities, | |
Series 2005-AA3, Class 3A1 | |
2.26% | | | 05/25/35 | 3 | | | 4,579,502 | | | | 4,339,090 | |
First Horizon Asset Securities, Inc., | |
Series 2004-AR5, Class 2A1 | |
2.57% | | | 10/25/34 | 3 | | | 153,012 | | | | 151,986 | |
First Horizon Mortgage Pass-Through Trust, | |
Series 2005-AR4, Class 2A1 | |
2.56% | | | 10/25/35 | 3 | | | 430,117 | | | | 381,152 | |
First Horizon Mortgage Pass-Through Trust, | |
Series 2007-AR2, Class 1A2 | |
2.56% | | | 08/25/37 | 3 | | | 435,017 | | | | 364,795 | |
GE Business Loan Trust, Series 2007-1A, | |
Class A | |
0.32% | | | 04/16/35 | 2,3 | | | 2,048,021 | | | | 1,942,823 | |
GMAC Mortgage Corp. Loan Trust, | |
Series 2005-AR5, Class 2A1 | |
2.90% | | | 09/19/35 | 3 | | | 4,029,988 | | | | 3,795,979 | |
GMAC Mortgage Corp. Loan Trust, | |
Series 2006-AR1, Class 1A1 | |
2.95% | | | 04/19/36 | 3 | | | 3,369,892 | | | | 3,007,911 | |
Green Tree, Series 2008-MH1, Class A3 | |
8.97% | | | 04/25/38 | 2,3 | | | 30,699 | | | | 32,807 | |
See accompanying notes to Schedule of Portfolio Investments.
109 / Semi-Annual Report September 2014
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
Greenpoint Mortgage Funding Trust, | |
Series 2006-AR8, Class 1A2A | |
0.34% | | | 01/25/47 | 3 | | $ | 481,260 | | | $ | 458,425 | |
GSAA Home Equity Trust, Series 2006-4, | |
Class 4A2 | |
0.38% | | | 03/25/36 | 3 | | | 987,863 | | | | 877,065 | |
GSAA Trust, Series 2006-2, Class 2A3 | |
0.42% | | | 12/25/35 | 3 | | | 403,350 | | | | 400,952 | |
GSAMP Trust, Series 2006-FM3, Class A2C | |
0.36% | | | 11/25/36 | 3 | | | 5,711,123 | | | | 3,532,250 | |
GSR Mortgage Loan Trust, Series 2005-4F, | |
Class 4A3 | |
5.50% | | | 05/25/35 | | | | 203,983 | | | | 212,129 | |
GSR Mortgage Loan Trust, Series 2005-7F, | |
Class 3A3 (IO) | |
5.35% | | | 09/25/35 | 3,7 | | | 104,562 | | | | 9,174 | |
GSR Mortgage Loan Trust, Series 2005-AR6, | |
Class 2A1 | |
2.66% | | | 09/25/35 | 3 | | | 638,232 | | | | 645,163 | |
GSR Mortgage Loan Trust, Series 2006-AR2, | |
Class 2A1 | |
2.60% | | | 04/25/36 | 3 | | | 747,699 | | | | 683,195 | |
GSR Mortgage Loan Trust, Series 2007-AR2, | |
Class 5A1A | |
5.16% | | | 05/25/47 | 3 | | | 3,301,829 | | | | 3,264,752 | |
Home Equity Loan Trust, Series 2007-2, | |
Class A3V | |
0.37% | | | 07/20/36 | 3 | | | 76,940 | | | | 76,923 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2005-AR15, Class A1 | |
4.55% | | | 09/25/35 | 3 | | | 3,537,669 | | | | 3,108,417 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2005-AR19, Class A1 | |
4.72% | | | 10/25/35 | 3 | | | 1,455,730 | | | | 1,265,486 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2005-AR25, Class 1A21 | |
4.86% | | | 12/25/35 | 3 | | | 3,324,306 | | | | 2,719,811 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2006-AR7, Class 3A1 | |
2.57% | | | 05/25/36 | 3 | | | 366,225 | | | | 291,046 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2007-AR5, Class 2A1 | |
2.66% | | | 05/25/37 | 3 | | | 2,261,140 | | | | 1,715,229 | |
IndyMac Manufactured Housing Contract, | |
Series 1998-1, Class A4 | |
6.49% | | | 09/25/28 | | | | 103,217 | | | | 105,501 | |
JPMorgan Mortgage Acquisition Corp., | |
Series 2007-CH5, Class A4 | |
0.32% | | | 05/25/37 | 3 | | | 1,773,000 | | | | 1,590,341 | |
JPMorgan Mortgage Trust, Series 2005-A6, | |
Class 7A1 | |
2.53% | | | 08/25/35 | 3 | | | 169,724 | | | | 166,539 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
JPMorgan Mortgage Trust, Series 2006-A3, | |
Class 2A1 | |
2.67% | | | 05/25/36 | 3 | | $ | 121,348 | | | $ | 101,952 | |
JPMorgan Mortgage Trust, Series 2006-S2, | |
Class 2A2 | |
5.88% | | | 06/25/21 | | | | 1,084,405 | | | | 1,089,332 | |
JPMorgan Mortgage Trust, Series 2007-S1, | |
Class 1A2 | |
5.50% | | | 03/25/22 | | | | 875,039 | | | | 877,900 | |
Lehman ABS Manufactured Housing Contract | |
Trust, Series 2001-B, Class A3 | |
4.35% | | | 04/15/40 | | | | 31,494 | | | | 33,399 | |
Lehman XS Trust, Series 2005-4, Class 1A3 | |
0.96% | | | 10/25/35 | 3 | | | 345,233 | | | | 327,536 | |
Lehman XS Trust, Series 2006-1, Class 1A1 | |
0.40% | | | 02/25/36 | 3 | | | 4,125,977 | | | | 3,986,143 | |
Luminent Mortgage Trust, Series 2007-2, | |
Class 1A3 | |
0.38% | | | 05/25/37 | 3 | | | 1,880,090 | | | | 1,724,119 | |
MASTR Adjustable Rate Mortgages Trust, | |
Series 2003-7, Class 3A1 | |
2.07% | | | 11/25/33 | 3 | | | 655,603 | | | | 669,356 | |
MASTR Adjustable Rate Mortgages Trust, | |
Series 2004-15, Class 8A1 | |
4.56% | | | 10/25/34 | 3 | | | 423,630 | | | | 421,986 | |
MASTR Adjustable Rate Mortgages Trust, | |
Series 2004-3, Class 3A3 | |
2.12% | | | 04/25/34 | 3 | | | 218,659 | | | | 212,223 | |
MASTR Adjustable Rate Mortgages Trust, | |
Series 2006-2, Class 4A1 | |
2.63% | | | 02/25/36 | 3 | | | 350,256 | | | | 347,110 | |
MASTR Adjustable Rate Mortgages Trust, | |
Series 2007-2, Class A2 | |
0.26% | | | 03/25/47 | 3 | | | 3,276,772 | | | | 3,223,961 | |
MASTR Asset-Backed Securities Trust, | |
Series 2007-HE1, Class A4 | |
0.44% | | | 05/25/37 | 3 | | | 3,150,000 | | | | 2,084,418 | |
Merrill Lynch Alternative Note Asset, | |
Series 2007-A3, Class A2D | |
0.48% | | | 04/25/37 | 3 | | | 883,581 | | | | 175,159 | |
Merrill Lynch First Franklin Mortgage Loan | |
Trust, Series 2006-FF13, Class A2C | |
0.32% | | | 10/25/36 | 3 | | | 1,677,260 | | | | 1,345,012 | |
Merrill Lynch First Franklin Mortgage Loan | |
Trust, Series 2007-2, Class A2B | |
0.32% | | | 05/25/37 | 3 | | | 4,213,470 | | | | 2,508,203 | |
Merrill Lynch First Franklin Mortgage Loan | |
Trust, Series 2007-4, Class 2A4 | |
0.40% | | | 07/25/37 | 3 | | | 1,897,416 | | | | 1,129,494 | |
Merrill Lynch Mortgage Investors, Inc., | |
Series 2003-A6, Class 2A | |
2.57% | | | 10/25/33 | 3 | | | 671,626 | | | | 657,521 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2014 / 110
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
Merrill Lynch Mortgage Investors, Inc., | |
Series 2007-2, Class 1A1 | |
2.51% | | | 08/25/36 | 3 | | $ | 4,839,418 | | | $ | 4,497,218 | |
Mid-State Trust, Series 2004-1, Class B | |
8.90% | | | 08/15/37 | | | | 111,128 | | | | 133,562 | |
Morgan Stanley Home Equity Loan Trust, | |
Series 2006-2, Class A4 | |
0.44% | | | 02/25/36 | 3 | | | 4,000,000 | | | | 3,613,583 | |
Morgan Stanley Mortgage Loan Trust, | |
Series 2004-7AR, Class 2A4 | |
2.02% | | | 09/25/34 | 3 | | | 1,581,604 | | | | 1,534,536 | |
Morgan Stanley Mortgage Loan Trust, | |
Series 2005-6AR, Class 1A1 | |
0.44% | | | 11/25/35 | 3 | | | 396,581 | | | | 392,353 | |
Morgan Stanley Mortgage Loan Trust, | |
Series 2006-2, Class 1A | |
5.25% | | | 02/25/21 | | | | 602,744 | | | | 577,596 | |
Morgan Stanley Reremic Trust, | |
Series 2013-R3, Class 12A | |
2.81% | | | 01/26/47 | 2,3 | | | 789,564 | | | | 792,087 | |
MortgageIT Trust, Series 2005-4, Class A1 | |
0.44% | | | 10/25/35 | 3 | | | 4,268,029 | | | | 3,945,503 | |
MortgageIT Trust, Series 2005-5, Class A1 | |
0.42% | | | 12/25/35 | 3 | | | 1,447,496 | | | | 1,355,102 | |
New York Mortgage Trust, Series 2005-3, | |
Class A1 | |
0.40% | | | 02/25/36 | 3 | | | 160,798 | | | | 150,377 | |
Popular ABS Mortgage Pass-Through Trust, | |
Series 2007-A, Class A3 | |
0.46% | | | 06/25/47 | 3 | | | 5,152,000 | | | | 3,566,529 | |
Residential Accredit Loans, Inc., | |
Series 2005-QA13, Class 2A1 | |
3.57% | | | 12/25/35 | 3 | | | 5,505,004 | | | | 4,687,137 | |
Residential Accredit Loans, Inc., | |
Series 2005-QA4, Class A41 | |
2.94% | | | 04/25/35 | 3 | | | 590,994 | | | | 587,678 | |
Residential Accredit Loans, Inc., | |
Series 2005-QA7, Class A21 | |
2.91% | | | 07/25/35 | 3 | | | 3,495,094 | | | | 3,182,425 | |
Residential Accredit Loans, Inc., | |
Series 2005-QA8, Class CB21 | |
3.18% | | | 07/25/35 | 3 | | | 1,472,094 | | | | 1,228,963 | |
Residential Accredit Loans, Inc., | |
Series 2005-SP1, Class 4A1 | |
7.00% | | | 09/25/34 | | | | 261,417 | | | | 284,772 | |
Residential Accredit Loans, Inc., | |
Series 2006-QS13, Class 2A1 | |
5.75% | | | 09/25/21 | | | | 495,521 | | | | 476,452 | |
Residential Accredit Loans, Inc., | |
Series 2006-QS16, Class A6 | |
6.00% | | | 11/25/36 | | | | 1,502,077 | | | | 1,198,752 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
Residential Accredit Loans, Inc., | |
Series 2007-QS1, Class 2AV (IO) | |
0.18% | | | 01/25/37 | 3,7 | | $ | 6,474,155 | | | $ | 51,077 | |
Residential Asset Mortgage Products, Inc., | |
Series 2006-RS3, Class A3 | |
0.36% | | | 05/25/36 | 3 | | | 106,021 | | | | 103,902 | |
Residential Asset Securities Corp., | |
Series 2004-KS9, Class AII4 | |
0.76% | | | 10/25/34 | 3 | | | 29,017 | | | | 17,582 | |
Residential Asset Securities Corp., | |
Series 2005-KS12, Class A3 | |
0.48% | | | 01/25/36 | 3 | | | 2,300,000 | | | | 2,279,501 | |
Residential Asset Securities Corp., | |
Series 2006-EMX1, Class A2 | |
0.38% | | | 01/25/36 | 3 | | | 43,960 | | | | 43,776 | |
Residential Funding Mortgage Securities I, | |
Inc., Series 2007-SA2, Class 1A | |
3.25% | | | 04/25/37 | 3 | | | 682,490 | | | | 489,532 | |
Soundview Home Equity Loan Trust, | |
Series 2007-WMC1, Class 3A3 | |
0.42% | | | 02/25/37 | 3 | | | 1,347,377 | | | | 675,136 | |
Structured Adjustable Rate Mortgage Loan | |
Trust, Series 2004-12, Class 2A | |
2.41% | | | 09/25/34 | 3 | | | 2,183,383 | | | | 2,199,710 | |
Structured Adjustable Rate Mortgage Loan | |
Trust, Series 2004-2, Class 4A2 | |
2.52% | | | 03/25/34 | 3 | | | 3,195,116 | | | | 3,228,250 | |
Structured Adjustable Rate Mortgage Loan | |
Trust, Series 2005-12, Class 3A1 | |
2.40% | | | 06/25/35 | 3 | | | 3,838,134 | | | | 3,627,643 | |
Structured Adjustable Rate Mortgage Loan | |
Trust, Series 2005-21, Class 2A | |
2.44% | | | 11/25/35 | 3 | | | 3,759,896 | | | | 3,374,254 | |
Structured Adjustable Rate Mortgage Loan | |
Trust, Series 2006-11, Class 1A1 | |
0.32% | | | 12/25/36 | 3 | | | 388,126 | | | | 316,152 | |
Structured Asset Mortgage Investments, Inc., | |
Series 2006-AR3, Class 22A1 | |
1.95% | | | 05/25/36 | 3 | | | 882,305 | | | | 584,111 | |
Structured Asset Mortgage Investments, Inc., | |
Series 2006-AR5, Class 1A1 | |
0.36% | | | 05/25/46 | 3 | | | 786,403 | | | | 563,000 | |
Structured Asset Securities Corp., | |
Series 2002-11A, Class 2A1 | |
2.75% | | | 06/25/32 | 3 | | | 178,120 | | | | 175,024 | |
Structured Asset Securities Corp., | |
Series 2003-34A, Class 3A3 | |
2.48% | | | 11/25/33 | 3 | | | 241,028 | | | | 239,888 | |
Structured Asset Securities Corp., | |
Series 2005-2XS, Class 2A2 | |
1.66% | | | 02/25/35 | 3 | | | 423,326 | | | | 412,620 | |
See accompanying notes to Schedule of Portfolio Investments.
111 / Semi-Annual Report September 2014
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
Structured Asset Securities Corp., | |
Series 2005-4XS, Class 2A1A | |
1.90% | | | 03/25/35 | 3 | | $ | 4,463,617 | | | $ | 4,473,392 | |
Suntrust Adjustable Rate Mortgage Loan | |
Trust, Series 2007-04, Class 3A1 | |
2.99% | | | 10/25/37 | 3 | | | 5,430,765 | | | | 4,865,133 | |
Suntrust Adjustable Rate Mortgage Loan | |
Trust, Series 2007-S1, Class 2A1 | |
2.72% | | | 01/25/37 | 3 | | | 2,808,678 | | | | 2,803,805 | |
WaMu Alternative Mortgage Pass-Through | |
Certificates, Series 2007-OA3, Class 2A | |
0.87% | | | 02/25/47 | 3 | | | 1,131,133 | | | | 812,533 | |
WaMu Asset-Backed Certificates, | |
Series 2007-HE1, Class 2A2 | |
0.26% | | | 01/25/37 | 3 | | | 4,916,844 | | | | 2,910,605 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2004-AR13, Class A1A | |
0.52% | | | 11/25/34 | 3 | | | 504,251 | | | | 490,717 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2004-AR14, Class A1 | |
2.40% | | | 01/25/35 | 3 | | | 2,324,297 | | | | 2,349,116 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2004-AR6, Class A | |
0.58% | | | 05/25/44 | 3 | | | 297,797 | | | | 292,973 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2005-AR1, Class A1A | |
0.48% | | | 01/25/45 | 3 | | | 383,108 | | | | 369,959 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2005-AR11, Class A1A | |
0.48% | | | 08/25/45 | 3 | | | 1,305,253 | | | | 1,256,280 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2005-AR12, Class 1A6 | |
2.34% | | | 10/25/35 | 3 | | | 4,985,000 | | | | 4,873,687 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2005-AR13, Class A1A1 | |
0.44% | | | 10/25/45 | 3 | | | 920,738 | | | | 886,146 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2005-AR14, Class 2A1 | |
2.46% | | | 12/25/35 | 3 | | | 97,430 | | | | 93,495 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2005-AR16, Class 1A3 | |
2.36% | | | 12/25/35 | 3 | | | 5,312,358 | | | | 5,108,958 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2005-AR6, Class 2A1A | |
0.38% | | | 04/25/45 | 3 | | | 663,171 | | | | 633,859 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2005-AR9, Class A1A | |
0.48% | | | 07/25/45 | 3 | | | 562,206 | | | | 537,188 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2006-AR4, Class 1A1A | |
1.06% | | | 05/25/46 | 3 | | | 2,964,937 | | | | 2,808,549 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2006-AR7, Class 2A | |
1.10% | | | 07/25/46 | 3 | | $ | 3,388,869 | | | $ | 2,869,694 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2007-HY3, Class 1A1 | |
2.07% | | | 03/25/37 | 3 | | | 5,872,626 | | | | 4,959,577 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2007-HY6, Class 2A1 | |
2.45% | | | 06/25/37 | 3 | | | 2,221,204 | | | | 1,985,415 | |
Wells Fargo Alternative Loan Trust, | |
Series 2007-PA5, Class 1A1 | |
6.25% | | | 11/25/37 | | | | 114,772 | | | | 109,441 | |
Wells Fargo Home Equity Trust, | |
Series 2006-2, Class A3 | |
0.30% | | | 07/25/36 | 3 | | | 56,723 | | | | 56,396 | |
Wells Fargo Home Equity Trust, | |
Series 2007-1, Class A3 | |
0.48% | | | 03/25/37 | 3 | | | 4,690,000 | | | | 3,338,531 | |
Wells Fargo Mortgage-Backed Securities | |
Trust, Series 2006-AR10, Class 5A2 | |
2.61% | | | 07/25/36 | 3 | | | 231,178 | | | | 226,933 | |
Wells Fargo Mortgage-Backed Securities | |
Trust, Series 2006-AR17, Class A1 | |
2.61% | | | 10/25/36 | 3 | | | 1,222,243 | | | | 1,184,799 | |
Wells Fargo Mortgage-Backed Securities | |
Trust, Series 2006-AR14, Class 2A1 | |
2.63% | | | 10/25/36 | 3 | | | 3,170,559 | | | | 2,943,405 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 298,269,871 | |
| | | | | | | | | | | | |
|
U.S. Agency Mortgage-Backed — 5.72% | |
Fannie Mae Pool 468048 | |
4.41% | | | 05/01/21 | | | | 1,751,686 | | | | 1,946,617 | |
Fannie Mae Pool AD0150 | |
5.18% | | | 05/01/19 | | | | 331,473 | | | | 370,953 | |
Fannie Mae Pool AD0791 | |
4.76% | | | 02/01/20 | | | | 309,813 | | | | 343,442 | |
Fannie Mae Pool AD0851 | |
4.37% | | | 02/01/20 | | | | 471,675 | | | | 516,965 | |
Fannie Mae Pool AE0134 | |
4.40% | | | 02/01/20 | | | | 890,000 | | | | 977,322 | |
Fannie Mae Pool AE0600 | |
3.98% | | | 11/01/20 | | | | 301,775 | | | | 327,127 | |
Fannie Mae Pool AE0918 | |
3.66% | | | 10/01/20 | | | | 362,789 | | | | 388,299 | |
Fannie Mae Pool AL0151 | |
4.38% | | | 04/01/21 | | | | 476,605 | | | | 524,506 | |
Fannie Mae Pool AL0600 | |
4.30% | | | 07/01/21 | | | | 136,629 | | | | 150,302 | |
Fannie Mae Pool AL2293 | |
4.38% | | | 06/01/21 | | | | 3,279,332 | | | | 3,620,562 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2014 / 112
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
Fannie Mae Pool AL3594 | |
2.70% | | | 04/01/23 | | | $ | 1,423,992 | | | $ | 1,417,787 | |
Fannie Mae Pool FN0000 | |
3.58% | | | 09/01/20 | | | | 466,891 | | | | 495,964 | |
Fannie Mae Pool FN0002 | |
3.31% | | | 12/01/17 | | | | 3,478,980 | | | | 3,644,235 | |
Fannie Mae Pool FN0004 | |
3.63% | | | 12/01/20 | | | | 859,631 | | | | 907,248 | |
Fannie Mae Pool FN0005 | |
3.38% | | | 11/01/20 | | | | 772,445 | | | | 812,971 | |
Fannie Mae REMICS, Series 2003-64, | |
Class KS | |
9.44% | | | 07/25/18 | 3 | | | 18,213 | | | | 20,126 | |
Fannie Mae REMICS, Series 2006-8, | |
Class HJ (IO) | |
6.45% | | | 03/25/36 | 3 | | | 3,227,013 | | | | 544,019 | |
Fannie Mae REMICS, Series 2007-52, | |
Class LS (IO) | |
5.90% | | | 06/25/37 | 3 | | | 157,848 | | | | 19,963 | |
Fannie Mae REMICS, Series 2007-88, | |
Class JI (IO) | |
6.30% | | | 04/25/37 | 3 | | | 2,745,238 | | | | 470,211 | |
Fannie Mae REMICS, Series 2008-62, | |
Class SN (IO) | |
6.05% | | | 07/25/38 | 3 | | | 773,029 | | | | 99,095 | |
Fannie Mae REMICS, Series 2010-116, | |
Class SE (IO) | |
6.45% | | | 10/25/40 | 3 | | | 202,705 | | | | 35,630 | |
Fannie Mae, Series 2006-11, Class PS | |
24.00% | | | 03/25/36 | 3 | | | 56,027 | | | | 87,503 | |
Fannie Mae, Series 2007-77, Class SK (IO) | |
5.72% | | | 08/25/37 | 3 | | | 290,809 | | | | 34,078 | |
Fannie Mae, Series 2008-18, Class SM (IO) | |
6.85% | | | 03/25/38 | 3 | | | 179,657 | | | | 26,587 | |
Fannie Mae, Series 2010-35, Class IA (IO) | |
5.00% | | | 07/25/38 | | | | 64,951 | | | | 1,567 | |
Fannie Mae, Series 2010-M1, Class A2 | |
4.45% | | | 09/25/19 | | | | 2,280,000 | | | | 2,505,043 | |
Fannie Mae, Series 2012-M12, Class 1A | |
2.94% | | | 08/25/22 | 3 | | | 589,507 | | | | 598,348 | |
Fannie Mae, Series 2012-M15, Class A | |
2.74% | | | 10/25/22 | 3 | | | 332,703 | | | | 334,354 | |
Fannie Mae, Series 2012-M2, Class A2 | |
2.72% | | | 02/25/22 | | | | 670,000 | | | | 670,139 | |
Fannie Mae, Series 2014-M5, Class FA | |
0.52% | | | 01/25/17 | | | | 3,613,358 | | | | 3,622,109 | |
Fannie Mae, Series 2014-M9, Class X1 | |
4.24% | | | 04/25/17 | | | | 27,651,522 | | | | 2,231,353 | |
Fannie Mae-Aces, Series 2011-M1, Class A3 | |
3.76% | | | 06/25/21 | | | | 1,750,000 | | | | 1,877,200 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
Freddie Mac Multifamily Structured | |
Pass-Through Certificates, Series K004, | |
Class A2 | |
4.19% | | | 08/25/19 | | | $ | 3,055,000 | | | $ | 3,328,911 | |
Freddie Mac Multifamily Structured | |
Pass-Through Certificates, Series K005, | |
Class A2 | | | | | | | | | | | | |
4.32% | | | 11/25/19 | | | | 2,915,000 | | | | 3,197,481 | |
Freddie Mac Multifamily Structured | |
Pass-Through Certificates, Series K007, | |
Class A2 | |
4.22% | | | 03/25/20 | | | | 1,525,000 | | | | 1,669,435 | |
Freddie Mac Multifamily Structured | |
Pass-Through Certificates, Series K014, | |
Class A2 | |
3.87% | | | 04/25/21 | | | | 930,000 | | | | 1,002,293 | |
Freddie Mac Multifamily Structured | |
Pass-Through Certificates, Series K017, | |
Class A2 | |
2.87% | | | 12/25/21 | | | | 1,960,000 | | | | 1,988,411 | |
Freddie Mac Multifamily Structured | |
Pass-Through Certificates, Series K018, | |
Class A2 | |
2.79% | | | 01/25/22 | | | | 1,975,000 | | | | 1,995,558 | |
Freddie Mac REMICS, Series 2711, | |
Class FA | |
1.15% | | | 11/15/33 | 3 | | | 214,637 | | | | 218,396 | |
Freddie Mac REMICS, Series 2733, | |
Class FB | |
0.75% | | | 10/15/33 | 3 | | | 545,000 | | | | 553,237 | |
Freddie Mac REMICS, Series 3001, | |
Class HS | |
16.37% | | | 02/15/35 | 3 | | | 28,838 | | | | 33,398 | |
Freddie Mac REMICS, Series 3327, | |
Class LZ | |
6.00% | | | 06/15/37 | | | | 1,243,352 | | | | 1,394,461 | |
Freddie Mac REMICS, Series 3404, | |
Class AS (IO) | |
5.74% | | | 01/15/38 | 3 | | | 204,433 | | | | 30,907 | |
Freddie Mac REMICS, Series 3828, | |
Class TF | |
0.55% | | | 04/15/29 | 3 | | | 358,186 | | | | 359,651 | |
Freddie Mac REMICS, Series 4030, | |
Class HS (IO) | |
6.46% | | | 04/15/42 | 3 | | | 479,017 | | | | 82,541 | |
Freddie Mac, Series 3262, Class KS (IO) | |
6.26% | | | 01/15/37 | 3 | | | 141,017 | | | | 19,544 | |
Freddie Mac, Series 3339, Class JS | |
41.84% | | | 07/15/37 | 3 | | | 44,765 | | | | 88,443 | |
Freddie Mac, Series 3439, Class SC (IO) | |
5.75% | | | 04/15/38 | 3 | | | 155,856 | | | | 20,555 | |
Freddie Mac, Series 3885, Class PO (PO) | |
0.00% | | | 11/15/33 | 8 | | | 74,927 | | | | 66,927 | |
See accompanying notes to Schedule of Portfolio Investments.
113 / Semi-Annual Report September 2014
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
Freddie Mac, Series K020, Class A2 | |
2.37% | | | 05/25/40 | | | $ | 585,000 | | | $ | 572,032 | |
Freddie Mac, Series KP01, Class X | |
3.27% | | | 01/25/19 | | | | 26,577,711 | | | | 2,836,546 | |
Ginnie Mae II Pool MA0243 | |
2.00% | | | 07/20/42 | 3 | | | 369,490 | | | | 381,191 | |
Ginnie Mae, Series 2006-3, Class C | |
5.24% | | | 04/16/39 | | | | 2,345,962 | | | | 2,399,523 | |
Ginnie Mae, Series 2011-109, Class AB | |
2.70% | | | 04/16/43 | | | | 2,046,871 | | | | 2,076,418 | |
Ginnie Mae, Series 2011-146, Class EI (IO) | |
5.00% | | | 11/16/41 | | | | 282,828 | | | | 66,833 | |
Ginnie Mae, Series 2011-69, Class GI (IO) | |
5.00% | | | 05/16/40 | | | | 690,390 | | | | 92,169 | |
Ginnie Mae, Series 2011-70, Class IL (IO) | |
0.60% | | | 06/16/37 | 3 | | | 2,316,385 | | | | 43,180 | |
Ginnie Mae, Series 2011-81, Class IC (IO) | |
0.62% | | | 07/20/35 | 3 | | | 5,369,914 | | | | 74,024 | |
Ginnie Mae, Series 2012-7, Class PI (IO) | |
3.50% | | | 01/20/38 | | | | 321,943 | | | | 32,728 | |
Ginnie Mae, Series 2013-135, Class CS (IO) | |
6.05% | | | 09/16/43 | 3 | | | 10,936,600 | | | | 1,571,498 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 55,817,916 | |
| | | | | | | | | | | | |
|
Total Mortgage-Backed | |
(Cost $416,959,712) | | | | 426,396,338 | |
| | | | | | | | | | | | |
|
MUNICIPAL BONDS — 1.55%* | |
Arizona — 0.24% | |
Arizona Health Facilities Authority, Banner | |
Health, Series B | |
0.97% | | | 01/01/37 | 3 | | | 2,590,000 | | | | 2,321,676 | |
| | | | | | | | | | | | |
|
California — 0.02% | |
State of California, Build America Bonds | |
7.95% | | | 03/01/36 | | | | 150,000 | | | | 183,119 | |
| | | | | | | | | | | | |
|
Illinois — 0.73% | |
City of Chicago, Refunding Taxable Project, | |
Series E | |
6.05% | | | 01/01/29 | | | | 1,550,000 | | | | 1,601,367 | |
State of Illinois, Build America Bonds | |
6.20% | | | 07/01/21 | | | | 2,500,000 | | | | 2,783,300 | |
State of Illinois, Taxable Bonds | |
4.95% | | | 06/01/23 | | | | 2,100,000 | | | | 2,178,624 | |
State of Illinois, Taxable Pension Bonds | |
4.35% | | | 06/01/18 | | | | 565,000 | | | | 590,741 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 7,154,032 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MUNICIPAL BONDS (continued) | |
New York — 0.56% | |
City of New York, Build America Bonds, | |
Series F1 | |
6.65% | | | 12/01/31 | | | $ | 3,000,000 | | | $ | 3,577,470 | |
New York City Municipal Water Finance | |
Authority, Build America Bonds, Series SE | |
6.49% | | | 06/15/42 | | | | 1,650,000 | | | | 1,905,684 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 5,483,154 | |
| | | | | | | | | | | | |
|
Total Municipal Bonds | |
(Cost $14,380,763) | | | | 15,141,981 | |
| | | | | | | | | | | | |
|
MUTUAL FUNDS — 0.01% | |
Blackrock Build America Bond Fund | |
0.01%9 | | | | | | | 2,428 | | | | 51,037 | |
| | | | | | | | | | | | |
|
Total Mutual Funds | |
(Cost $44,300) | |
|
U.S. AGENCY SECURITIES — 1.49% | |
U.S. Agency Securities — 1.49% | |
Federal Farm Credit Bank | |
0.17% | | | 09/14/16 | 3 | | | 3,545,000 | | | | 3,545,860 | |
0.18% | | | 04/26/17 | 3 | | | 4,850,000 | | | | 4,855,228 | |
0.20% | | | 04/17/17 | 3 | | | 3,630,000 | | | | 3,635,808 | |
| | | | | | | | | | | | |
|
Federal Home Loan Bank | |
0.22% | | | 10/07/15 | 3 | | | 2,510,000 | | | | 2,512,372 | |
| | | | | | | | | | | | |
|
Total U.S. Agency Securities | |
(Cost $14,533,999) | | | | 14,549,268 | |
| | | | | | | | | | | | |
|
U.S. TREASURY SECURITIES — 0.05% | |
U.S. Treasury Notes — 0.05% | |
U.S. Treasury Notes - Treasury Inflation | |
Indexed Notes | |
0.50% | | | 04/15/15 | 10 | | | 460,000 | | | | 506,396 | |
| | | | | | | | | | | | |
|
Total U.S. Treasury Securities | |
(Cost $510,253) | |
|
Total Bonds – 86.94% | |
(Cost $831,628,922) | | | | 847,469,738 | |
| | | | | | | | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2014 / 114
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount/
Shares | | | Value | |
SHORT-TERM INVESTMENTS — 13.48% | |
Commercial Paper — 0.58% | |
RBS Holdings USA, Inc. | |
0.19%11 | | | 10/27/14 | | | $ | 5,660,000 | | | $ | 5,659,289 | |
| | | | | | | | | | | | |
|
Money Market Funds — 2.00% | |
Dreyfus Cash Advantage Fund | |
0.01%9 | | | | | | | 9,720,000 | | | | 9,720,000 | |
Morgan Stanley Institutional Fund | |
0.04%9 | | | | | | | 9,720,000 | | | | 9,720,000 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 19,440,000 | |
| | | | | | | | | | | | |
|
U.S. Agency Discount Notes — 10.85% | |
Federal Home Loan Bank | |
0.05%11 | | | 12/02/14 | | | | 4,000,000 | | | | 3,999,964 | |
0.06%11 | | | 11/05/14 | | | | 20,000,000 | | | | 19,999,083 | |
0.06%11 | | | 03/20/15 | | | | 7,685,000 | | | | 7,684,278 | |
0.06%11 | | | 11/21/14 | | | | 10,000,000 | | | | 9,999,957 | |
0.06%11 | | | 11/26/14 | | | | 9,865,000 | | | | 9,864,952 | |
0.08%11 | | | 10/15/14 | | | | 21,000,000 | | | | 20,999,777 | |
0.08%11 | | | 10/29/14 | | | | 20,705,000 | | | | 20,704,827 | |
0.08%11 | | | 11/07/14 | | | | 6,500,000 | | | | 6,499,687 | |
0.08%11 | | | 10/31/14 | | | | 6,040,000 | | | | 6,039,945 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 105,792,470 | |
| | | | | | | | | | | | |
|
U.S. Treasury Bills — 0.05% | |
U.S. Treasury Bills | |
0.03%11 | | | 11/06/14 | 12 | | | 470,000 | | | | 469,991 | |
| | | | | | | | | | | | |
|
Total Short-Term Investments | |
(Cost $131,356,048) | | | | 131,361,750 | |
| | | | | | | | | | | | |
|
Total Investments – 100.42% | |
(Cost $962,984,970)1 | | | | 978,831,488 | |
| | | | | | | | | | | | |
|
Liabilities in Excess of Other | |
Assets – (0.42)% | | | | (4,089,125 | ) |
| | | | | | | | | | | | |
| |
Net Assets – 100.00% | | | $ | 974,742,363 | |
| | | | | | | | | | | | |
| | | | | | | | | | |
| Contracts | | | | Unrealized
Appreciation | |
FUTURES CONTRACTS: SHORT POSITIONS | |
| 135 | | U.S. Treasury Five Year Note, | | | | | | | | |
| | Expiration December 2014 | | | | | | $ | 51,753 | |
| 180 | | U.S. Treasury Ten Year Note, | | | | | | | | |
| | Expiration December 2014 | | | | | | | 174,005 | |
| 28 | | U.S. Treasury Thirty Year Long Bond, Expiration December 2014 | | | | | | | 44,563 | |
| | | | | | | | | | |
| | Net unrealized appreciation | | | | | | $ | 270,321 | |
| | | | | | | | | | |
Notes:
| 1 | Cost for federal income tax purposes is $962,985,137 and net unrealized appreciation/(depreciation) consists of: |
| | | | |
Gross unrealized appreciation | | $ | 18,500,083 | |
Gross unrealized (depreciation) | | | (2,653,732 | ) |
| | | | |
Net unrealized appreciation | | $ | 15,846,351 | |
| | | | |
| 2 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| 3 | Floating rate security. The rate disclosed was in effect at September 30, 2014. |
| 4 | U.S. dollar-denominated security issued by foreign-domiciled entity. |
| 5 | Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer. 8.14% cash or 8.64% payment-in-kind interest. |
| 6 | Expected maturity date. |
| 7 | Illiquid security as determined under procedures approved by the Funds’ Board of Trustees. The aggregate value of illiquid securities is $60,251, which is 0.01% of total net assets. |
| 8 | Zero coupon bond. The rate shown is the effective yield as of September 30, 2014. |
| 9 | Represents the current yield as of September 30, 2014. |
| 10 | Inflation protected security. Principal amount reflects original security face amount. |
| 11 | Represents annualized yield at date of purchase. |
| 12 | Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $469,991. |
| † | Fair valued security. The aggregate value of fair valued securities is $5,678,913, which is 0.58% of total net assets, which have not been valued utilizing an independent quote and were valued pursuant to guidelines established by the Board of Trustees. This figure represents securities that are priced using a benchmark pricing system and securities that have been deemed permanently stale, see Notes to Financial Statements. |
| * | Securities with a call or reset feature will have an effective maturity date sooner than the stated maturity. |
| ** | Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date sooner than the stated maturity date. |
Note: For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for more meaningful presentation for investors.
(BKNT): Banker’s Note, Inc.
(IO): Interest only
(MTN): Medium-term note
(PIK): Payment in kind
(PO): Principal only
(STEP): Step coupon bond
(WI): When issued
(YCD): Yankee Certificate of Deposit
See accompanying notes to Schedule of Portfolio Investments.
115 / Semi-Annual Report September 2014
Floating Rate Income Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BONDS – 84.75% | | | | | |
BANK LOANS — 72.97%* | |
Automotive — 1.46% | |
Chrysler Group LLC, Term Loan B | |
3.50% | | | 05/24/17 | 2 | | $ | 489,198 | | | $ | 485,989 | |
Goodyear Tire & Rubber Co., Term Loan, | |
2nd Lien | | | | | | | | | | | | |
4.75% | | | 04/30/19 | 2 | | | 500,000 | | | | 499,923 | |
Henniges Automotive Holdings, Inc., | |
Term Loan B, 1st Lien | |
6.00% | | | 06/03/21 | 2 | | | 997,500 | | | | 1,009,969 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 1,995,881 | |
| | | | | | | | | | | | |
Communications — 4.95% | |
Charter Communications Operating LLC, | |
Term Loan G, 1st Lien | |
4.25% | | | 09/10/21 | 2 | | | 1,000,000 | | | | 998,805 | |
Cincinnati Bell, Term Loan, 1st Lien | |
4.00% | | | 09/10/20 | 2 | | | 495,000 | | | | 491,287 | |
Consolidated Communications, Inc., | |
Term Loan B, 1st Lien | |
4.25% | | | 12/23/20 | 2 | | | 496,250 | | | | 495,630 | |
eResearchTechnology, Inc., Term Loan B, | |
1st Lien | | | | | | | | | | | | |
6.00% | | | 05/02/18 | 2 | | | 640,188 | | | | 641,788 | |
Intelsat Jackson Holdings SA, Term Loan B1, | |
1st Lien (Luxembourg) | |
3.75% | | | 06/30/19 | 2,3 | | | 481,872 | | | | 475,065 | |
Level 3 Financing, Inc., Term Loan B, 1st Lien | |
4.00% | | | 01/15/20 | 2 | | | 1,000,000 | | | | 983,625 | |
Numericable U.S. LLC, Term Loan B1, | |
1st Lien | | | | | | | | | | | | |
4.50% | | | 05/21/20 | 2 | | | 536,154 | | | | 533,425 | |
Numericable U.S. LLC, Term Loan B2, | |
1st Lien | | | | | | | | | | | | |
4.50% | | | 05/21/20 | 2 | | | 463,846 | | | | 461,485 | |
Univision Communications, Inc., | |
Converted Extended Term Loan, 1st Lien | |
4.00% | | | 03/01/20 | 2 | | | 272,097 | | | | 267,421 | |
Univision Communications, Inc., | |
Incremental Term Loan 2013 | |
4.00% | | | 03/01/20 | 2 | | | 177,300 | | | | 174,149 | |
WideOpenWest Finance LLC, Term Loan B, | |
1st Lien | | | | | | | | | | | | |
4.75% | | | 04/01/19 | 2 | | | 730,134 | | | | 728,915 | |
Windstream Corp., Term Loan B4, 1st Lien | |
3.50% | | | 01/23/20 | 2 | | | 493,719 | | | | 488,781 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 6,740,376 | |
| | | | | | | | | | | | |
Consumer Discretionary — 3.86% | |
Container Store, Facility Term Loan | |
4.25% | | | 04/06/19 | 2 | | | 315,365 | | | | 309,846 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BANK LOANS (continued) | | | | | |
Consumer Discretionary (continued) | |
Hilton Worldwide Finance LLC, | |
Term Loan B2, 1st Lien | |
3.50% | | | 10/25/20 | 2 | | $ | 883,333 | | | $ | 870,817 | |
La Quinta Intermediate Holdings LLC, | |
Term Loan B, 1st Lien | |
4.00% | | | 04/14/21 | 2 | | | 461,938 | | | | 457,512 | |
Laureate Education, Inc., Term Loan B, | |
1st Lien, | | | | | | | | | | | | |
5.00% | | | 06/15/18 | 2 | | | 987,315 | | | | 948,642 | |
Regent Seven Seas Cruises LLC, | |
Term Loan B, 1st Lien | |
3.75% | | | 12/21/18 | 2 | | | 715,439 | | | | 711,862 | |
Spectrum Brands Holding, Inc., Term Loan, | |
1st Lien | | | | | | | | | | | | |
3.50% | | | 09/04/19 | 2 | | | 990,000 | | | | 981,956 | |
Spin Holdco, Inc., Term Loan B, 1st Lien | |
4.25% | | | 11/14/19 | 2 | | | 991,259 | | | | 975,776 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 5,256,411 | |
| | | | | | | | | | | | |
Consumer Products — 2.16% | |
Arysta LifeScience SPC LLC, Term Loan, | |
1st Lien | | | | | | | | | | | | |
4.50% | | | 05/29/20 | 2 | | | 237,000 | | | | 235,222 | |
Dell, Inc., Term Loan B, 1st Lien | |
4.50% | | | 04/29/20 | 2 | | | 921,781 | | | | 916,698 | |
DS Waters of America, Inc., Term Loan, | |
1st Lien | | | | | | | | | | | | |
5.25% | | | 08/30/20 | 2 | | | 990,000 | | | | 1,002,375 | |
Reynolds Group Holdings, Inc., | |
Incremental Term Loan | |
4.00% | | | 12/01/18 | 2 | | | 790,511 | | | | 783,495 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 2,937,790 | |
| | | | | | | | | | | | |
Electric — 9.72% | |
Calpine Corp., Term Loan B3, 1st Lien | |
4.00% | | | 10/09/19 | 2 | | | 493,703 | | | | 489,726 | |
Calpine Corp., Term Loan, 1st Lien | |
4.00% | | | 10/31/20 | 2 | | | 496,250 | | | | 492,280 | |
Dynegy, Inc., Term Loan B2, 1st Lien | |
4.00% | | | 04/23/20 | 2 | | | 592,500 | | | | 588,892 | |
EFS Cogen Holdings I LLC, Term Loan B, | |
1st Lien | |
3.75% | | | 12/17/20 | 2 | | | 878,589 | | | | 876,670 | |
Empire Generating Co. LLC, Term Loan B, | |
1st Lien | |
5.25% | | | 03/13/21 | 2 | | | 930,109 | | | | 921,970 | |
Empire Generating Co. LLC, Term Loan C, | |
1st Lien | | | | | | | | | | | | |
5.25% | | | 03/14/21 | 2 | | | 65,217 | | | | 64,647 | |
Entegra Holdings LLC, Term Loan, | |
2nd Lien (PIK) | |
10.00% | | | 03/27/17 | 2,4,5,† | | | 1,052,334 | | | | 1,057,591 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2014 / 116
Floating Rate Income Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BANK LOANS (continued) | |
Electric (continued) | |
Equipower Resources Holdings LLC, | |
Term Loan C, 1st Lien | | | | | |
4.25% | | | 12/31/19 | 2 | | $ | 992,466 | | | $ | 990,233 | |
Essential Power LLC, Term Loan B | |
4.75% | | | 08/08/19 | 2 | | | 877,736 | | | | 884,319 | |
ExGen Texas Power LLC, Term Loan B, 1st | |
Lien | | | | | |
5.75% | | | 09/16/21 | 2 | | | 1,500,000 | | | | 1,488,750 | |
GIM Channelview Cogeneration LLC, | |
Term Loan B, 1st Lien | | | | | |
4.25% | | | 05/08/20 | 2 | | | 1,344,206 | | | | 1,344,212 | |
Moxie Liberty LLC (Panda), | | | | | |
Term Loan, 1st Lien | | | | | |
7.50% | | | 08/21/20 | 2 | | | 1,000,000 | | | | 1,022,500 | |
Moxie Patriot LLC (Panda), | | | | | |
Term Loan B1, 1st Lien | | | | | |
6.75% | | | 12/19/20 | 2 | | | 1,000,000 | | | | 1,022,500 | |
Panda Sherman Power LLC, | |
Construction Term Loan Advance | |
9.00% | | | 09/14/18 | 2 | | | 199,562 | | | | 204,177 | |
Panda Temple Power II LLC | |
7.25% | | | 04/03/19 | 2 | | | 280,000 | | | | 287,000 | |
Utility Services Associates, Term Loan B, | |
1st Lien | | | | | |
6.75% | | | 10/18/19 | 2 | | | 992,500 | | | | 997,463 | |
Viva Alamo LLC, Term Loan B, 1st Lien | |
4.75% | | | 02/22/21 | 2 | | | 497,500 | | | | 493,147 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 13,226,077 | |
| | | | | | | | | | | | |
Energy — 9.88% | | | | | |
Atlas Energy LP, Term Loan, 1st Lien | |
6.50% | | | 07/31/19 | 2 | | | 990,000 | | | | 998,663 | |
Drillships Ocean Ventures, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
5.50% | | | 07/18/21 | 2 | | | 500,000 | | | | 486,250 | |
EMG Utica LLC, Term Loan B, 1st Lien | |
4.75% | | | 03/27/20 | 2 | | | 1,100,000 | | | | 1,101,375 | |
EP Energy LLC, Term Loan B2, 1st Lien | |
4.50% | | | 04/30/19 | 2 | | | 187,500 | | | | 187,031 | |
Foresight Energy LLC, Term Loan, 1st Lien | |
5.50% | | | 08/21/20 | 2 | | | 649,850 | | | | 652,693 | |
FREIF North American Power I LLC, | |
Term Loan B, 1st Lien | | | | | |
4.75% | | | 03/29/19 | 2 | | | 403,118 | | | | 405,638 | |
FREIF North American Power I LLC, | |
Term Loan C, 1st Lien | | | | | |
4.75% | | | 03/29/19 | 2 | | | 65,930 | | | | 66,342 | |
Harvey Gulf International Marine, | |
Term Loan B, 1st Lien | | | | | |
5.50% | | | 06/18/20 | 2 | | | 1,485,000 | | | | 1,465,049 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BANK LOANS (continued) | |
Energy (continued) | |
MEG Energy Corp., Term Loan B, 1st Lien | |
(Canada) | | | | | |
3.75% | | | 03/31/20 | 2,3 | | $ | 493,657 | | | $ | 491,717 | |
Murray Energy Corp., Term Loan B, 1st Lien | |
5.25% | | | 12/05/19 | 2 | | | 995,000 | | | | 994,846 | |
Northeast Wind Capital II LLC, Term Loan B, | |
1st Lien | | | | | |
5.00% | | | 11/07/20 | 2 | | | 936,762 | | | | 949,643 | |
Offshore Group Investment Ltd., | |
Term Loan B, 1st Lien | |
5.00% | | | 10/25/17 | 2 | | | 397,922 | | | | 383,748 | |
Offshore Group Investment Ltd., | |
Term Loan, 2nd Lien (Cayman Islands) | |
5.75% | | | 03/28/19 | 2,3 | | | 325,050 | | | | 313,369 | |
Pacific Drilling SA, Term Loan B, 1st Lien | |
4.50% | | | 06/03/18 | 2 | | | 987,500 | | | | 957,875 | |
Peabody Energy Corp., Term Loan, 1st Lien | |
4.25% | | | 09/24/20 | 2 | | | 990,000 | | | | 967,725 | |
Power Buyer LLC, Delayed-Draw Term Loan, | |
1st Lien | | | | | |
4.25% | | | 05/06/20 | 2 | | | 55,686 | | | | 54,711 | |
Power Buyer LLC, Term Loan, 1st Lien | |
4.25% | | | 05/06/20 | 2 | | | 1,045,533 | | | | 1,027,236 | |
Seadrill Operating LP, Term Loan B, 1st Lien | |
(Bermuda) | | | | | |
4.00% | | | 02/21/21 | 2,3 | | | 496,250 | | | | 473,609 | |
TGGT Holdings LLC, Term Loan B | |
6.50% | | | 11/15/18 | 2 | | | 481,250 | | | | 477,641 | |
TPF II LC LLC, Term Loan, 1st Lien | |
7.75% | | | 08/21/19 | 2 | | | 974,632 | | | | 992,907 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 13,448,068 | |
| | | | | | | | | | | | |
Entertainment — 0.36% | |
AMC Entertainment, Inc., Term Loan B, | |
1st Lien | | | | | |
3.50% | | | 04/30/20 | 2 | | | 493,734 | | | | 488,693 | |
| | | | | | | | | | | | |
Finance — 1.37% | | | | | |
Delos Finance SARL, Term Loan B, 1st Lien | |
3.50% | | | 03/06/21 | 2 | | | 1,000,000 | | | | 989,375 | |
Nuveen Investments, Inc., Term Loan B, | |
1st Lien | | | | | |
4.16% | | | 05/13/17 | 2 | | | 880,000 | | | | 878,975 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 1,868,350 | |
| | | | | | | | | | | | |
Food — 2.54% | | | | | |
Del Monte Foods Inc., Term Loan, 1st Lien | |
4.26% | | | 02/18/21 | 2 | | | 497,500 | | | | 467,444 | |
Diamond Foods, Inc., Term Loan, 1st Lien | |
4.25% | | | 08/20/18 | 2 | | | 497,500 | | | | 492,838 | |
See accompanying notes to Schedule of Portfolio Investments.
117 / Semi-Annual Report September 2014
Floating Rate Income Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
BANK LOANS (continued) | |
Food (continued) | |
New Hostess Brands Acquisition LLC, Term | |
Loan, 1st Lien | |
6.75% | | 04/09/202 | | $ | 995,000 | | | $ | 1,021,119 | |
Pinnacle Foods LLC, Term Loan H, 1st Lien | |
3.25% | | 04/29/202 | | | 495,000 | | | | 485,630 | |
Post Holdings, Inc., Term Loan B, 1st Lien | |
3.75% | | 05/23/212 | | | 997,500 | | | | 989,949 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 3,456,980 | |
| | | | | | | | | | |
Gaming — 3.54% | |
American Casino & Entertainment Properties | |
LLC, Term Loan B, 1st Lien | |
4.50% | | 07/03/192 | | | 493,750 | | | | 490,664 | |
Bally Technologies, Inc., Term Loan | |
4.25% | | 11/25/202 | | | 104,409 | | | | 104,083 | |
Boyd Gaming Corp., Term Loan B, 1st Lien | |
4.00% | | 08/14/202 | | | 753,792 | | | | 744,546 | |
CCM Merger, Inc./Motorcity Casino, | |
Term Loan B, 1st Lien | |
4.50% | | 07/18/212 | | | 489,796 | | | | 486,125 | |
Golden Nugget, Inc., Delayed-Draw | |
Term Loan, 1st Lien | |
5.50% | | 11/21/192 | | | 297,750 | | | | 300,355 | |
Golden Nugget, Inc., Term Loan B, 1st Lien | |
5.50% | | 11/06/192 | | | 694,750 | | | | 700,829 | |
Las Vegas Sands LLC, Term Loan B, 1st Lien | |
3.25% | | 12/19/202 | | | 992,500 | | | | 987,443 | |
Penn National Gaming, Inc., Term Loan B | |
3.25% | | 10/30/202 | | | 29,775 | | | | 29,564 | |
Tropicana Entertainment, Inc., Term Loan, | |
1st Lien | |
4.00% | | 11/18/202 | | | 990,000 | | | | 972,675 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 4,816,284 | |
| | | | | | | | | | |
Health Care — 6.44% | |
Accellent, Inc., Term Loan, 1st Lien | |
4.50% | | 03/12/212 | | | 497,500 | | | | 489,540 | |
Biomet, Inc., Term Loan B, 1st Lien | |
3.65% | | 07/25/172 | | | 464,819 | | | | 462,155 | |
Carestream Health (Onex) LLC, Term Loan, | |
1st Lien | |
5.00% | | 06/07/192 | | | 327,362 | | | | 327,392 | |
CHS/Community Health Systems, Inc., | |
Term Loan D, 1st Lien | |
4.25% | | 01/27/212 | | | 992,500 | | | | 990,818 | |
DaVita Healthcare Partners, Inc., | |
Term Loan B, 1st Lien | |
3.50% | | 06/19/212 | | | 997,500 | | | | 987,964 | |
DJO Finance LLC/DJO Finance Corp., | |
Term Loan B | |
4.25% | | 09/15/172 | | | 282,806 | | | | 281,334 | |
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
BANK LOANS (continued) | |
Health Care (continued) | |
Jazz Pharmaceuticals, Inc., | |
Term Loan B, 1st Lien | |
3.25% | | 06/12/182 | | $ | 992,500 | | | $ | 986,610 | |
Mallinckrodt International Finance, | |
Term Loan B1, 1st Lien | |
3.50% | | 03/19/212 | | | 750,000 | | | | 740,857 | |
Pharmaceutical Product Development, Inc., | |
2013 Term Loan | |
4.00% | | 12/05/182 | | | 196,500 | | | | 194,862 | |
RegionalCare Hospital Partners, Inc., | |
Term Loan, 1st Lien | |
6.00% | | 04/21/192 | | | 498,750 | | | | 500,309 | |
Salix Pharmaceuticals Ltd., Term Loan B, | |
1st Lien | |
4.25% | | 01/02/202 | | | 962,500 | | | | 961,446 | |
Surgery Center Holdings, Inc., | |
Term Loan, 1st Lien | |
0.00% | | 07/24/202 | | | 500,000 | | | | 499,375 | |
6.00% | | 04/11/192 | | | 135,800 | | | | 136,139 | |
Surgical Care Affiliates, Inc., Term Loan C | |
4.00% | | 06/30/182 | | | 493,750 | | | | 489,738 | |
Valeant Pharmaceuticals International, Inc., | |
Term Loan (Canada) | |
3.75% | | 08/05/202,3 | | | 720,704 | | | | 713,317 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 8,761,856 | |
| | | | | | | | | | |
Industrials — 14.32% | |
Ardagh Holdings USA, Inc., Term Loan B, | |
1st Lien | |
4.00% | | 12/17/192 | | | 497,500 | | | | 491,281 | |
BWAY Holding Co., Term Loan B, 1st Lien | |
5.50% | | 08/08/202 | | | 997,500 | | | | 998,128 | |
Clondalkin Acquisition BV, Term Loan, | |
1st Lien (Netherlands) | |
4.50% | | 05/31/202,3 | | | 493,750 | | | | 485,109 | |
Consolidated Container Co. LLC, | |
Term Loan B, 1st Lien | |
5.00% | | 07/03/192 | | | 493,703 | | | | 486,453 | |
Consolidated Container Co. LLC, | |
Term Loan B, 2nd Lien | |
7.75% | | 01/03/202 | | | 1,000,000 | | | | 975,000 | |
Excelitas Technologies Corp., Term Loan, | |
1st Lien | |
6.00% | | 11/02/202 | | | 489,750 | | | | 490,157 | |
Filtration Group, Inc., Term Loan B, 1st Lien | |
4.50% | | 11/20/202 | | | 496,250 | | | | 495,009 | |
Intelligrated, Inc., Term Loan, 1st Lien | |
4.50% | | 07/30/182 | | | 1,487,410 | | | | 1,465,099 | |
Interline Brands, Inc., Term Loan, 1st Lien | |
4.00% | | 03/21/212 | | | 995,000 | | | | 979,762 | |
Jazz Acquisition, Inc., Term Loan, 1st Lien | |
4.50% | | 06/19/212 | | | 498,788 | | | | 495,982 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2014 / 118
Floating Rate Income Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
BANK LOANS (continued) | |
Industrials (continued) | |
Jazz Acquisition, Inc., Term Loan, 2nd Lien | |
7.75% | | 06/26/222 | | $ | 1,500,000 | | | $ | 1,494,375 | |
Mauser Holding Gmbh, Term Loan, 1st Lien | |
4.50% | | 06/30/212 | | | 1,000,000 | | | | 996,875 | |
Maxim Crane Works LP, Term Loan B, | |
2nd Lien | |
10.25% | | 11/26/182 | | | 1,000,000 | | | | 1,022,920 | |
Multi Packaging Solutions Inc. | |
4.25% | | 09/30/202 | | | 497,500 | | | | 492,836 | |
OSG Bulk Ships, Inc., | |
Term Loan B-Exit, 1st Lien | |
5.25% | | 07/08/192 | | | 498,750 | | | | 497,089 | |
OSG International, Inc., | |
Term Loan B-Exit, 1st Lien | |
5.75% | | 07/08/192 | | | 498,750 | | | | 497,503 | |
Patheon, Inc., Term Loan B, 1st Lien | |
4.25% | | 03/11/212 | | | 997,500 | | | | 976,842 | |
Penn Engineering & Manufacturing Corp., | |
Term Loan, 1st Lien | |
4.50% | | 08/15/212 | | | 500,000 | | | | 499,167 | |
PGT, Inc., Term Loan B, 1st Lien | |
5.25% | | 09/17/212 | | | 1,000,000 | | | | 999,375 | |
Ply Gem Industries, Inc., Term Loan, 1st Lien | |
4.00% | | 02/01/212 | | | 497,500 | | | | 489,105 | |
Polarpack, Inc./WNA Holdings, Inc., | |
Term Loan B, 1st Lien | |
4.50% | | 06/07/202 | | | 162,445 | | | | 160,821 | |
Polarpack, Inc./WNA Holdings, Inc., | |
Term Loan, 1st Lien | |
4.50% | | 06/07/202 | | | 312,211 | | | | 309,089 | |
Polymer Group, Inc., Term Loan B, 1st Lien | |
5.25% | | 12/19/192 | | | 995,620 | | | | 994,998 | |
Synagro Infrastructure, Term Loan, 1st Lien | |
6.25% | | 08/22/202 | | | 990,000 | | | | 973,913 | |
TNT Crane & Rigging, Inc., Term Loan, | |
1st Lien | |
5.50% | | 11/27/202 | | | 992,874 | | | | 994,115 | |
WTG Holdings III Corp., Term Loan, 1st Lien | |
4.75% | | 01/15/212 | | | 496,250 | | | | 491,287 | |
WTG Holdings III Corp., Term Loan, 2nd Lien | |
8.50% | | 12/12/212 | | | 250,000 | | | | 245,450 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 19,497,740 | |
| | | | | | | | | | |
Information Technology — 2.14% | |
Activision Blizzard, Inc., Term Loan, 1st Lien | |
3.25% | | 10/12/202 | | | 627,150 | | | | 626,328 | |
First Data Corp., Extended Term Loan 2021 | |
4.15% | | 03/24/212 | | | 230,043 | | | | 227,240 | |
First Data Corp., Term Loan B1, 1st Lien | |
3.65% | | 09/24/182 | | | 300,000 | | | | 294,219 | |
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
BANK LOANS (continued) | |
Information Technology (continued) | |
First Data Corp., Term Loan C1, 1st Lien | |
3.65% | | 03/23/182 | | $ | 500,000 | | | $ | 491,095 | |
Freescale Semiconductor, Inc., | |
Term Loan B5, 1st Lien | |
5.00% | | 01/15/212 | | | 495,000 | | | | 494,035 | |
Freescale Semiconductor, Inc., | |
Term Loan, Tranche B4 | |
4.25% | | 02/28/202 | | | 285,666 | | | | 281,873 | |
Zebra Technologies Corp., Term Loan B, 1st | |
Lien | |
0.00% | | 09/30/212 | | | 500,000 | | | | 496,250 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 2,911,040 | |
| | | | | | | | | | |
Insurance — 1.29% | |
AssuredPartners, Inc., Term Loan, 1st Lien | |
4.50% | | 04/02/212 | | | 500,000 | | | | 494,377 | |
AssuredPartners, Inc., Term Loan, 2nd Lien | |
7.75% | | 04/02/222 | | | 500,000 | | | | 495,000 | |
Asurion LLC, Incremental Tranche, | |
Term Loan B1 | |
5.00% | | 05/24/192 | | | 767,978 | | | | 765,340 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 1,754,717 | |
| | | | | | | | | | |
Materials — 2.53% | |
Chromaflo Technologies Corp., Term Loan B, | |
1st Lien | |
4.50% | | 12/02/192 | | | 992,500 | | | | 982,575 | |
Hoffmaster Group, Inc., Term Loan, 2nd Lien | |
10.00% | | 05/06/212 | | | 500,000 | | | | 497,500 | |
Orion Engineered Carbons, | |
Term Loan B, 1st Lien | |
5.00% | | 07/25/212 | | | 500,000 | | | | 503,125 | |
Royal Adhesives and Sealants LLC, | |
Term Loan B, 1st Lien | |
5.50% | | 07/26/182 | | | 485,085 | | | | 488,420 | |
Tata Chemicals North America, Inc., | |
Term Loan B, 1st Lien | |
3.75% | | 08/07/202 | | | 987,500 | | | | 980,094 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 3,451,714 | |
| | | | | | | | | | |
Real Estate Investment Trust (REIT) — 0.69% | |
Realogy Group LLC | |
0.01% | | 10/10/162 | | | 13,902 | | | | 13,773 | |
Realogy Group LLC, Term Loan B, 1st Lien | |
3.75% | | 03/05/202 | | | 937,655 | | | | 922,418 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 936,191 | |
| | | | | | | | | | |
Retail — 1.20% | |
Hudson’s Bay Co., Term Loan B, 1st Lien | |
4.75% | | 11/04/202 | | | 1,165,500 | | | | 1,166,590 | |
See accompanying notes to Schedule of Portfolio Investments.
119 / Semi-Annual Report September 2014
Floating Rate Income Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
BANK LOANS (continued) | |
Retail (continued) | |
Serta Simmons Holdings LLC, Term Loan B, | |
1st Lien | |
4.25% | | 10/01/192 | | $ | 468,056 | | | $ | 464,548 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 1,631,138 | |
| | | | | | | | | | |
Services — 2.03% | |
Bright Horizons Family Solutions, Inc., | |
Term Loan, 1st Lien | |
3.75% | | 01/30/202 | | | 493,719 | | | | 488,781 | |
Ceridian Corp., Replacement Term Loan B-1 | |
4.15% | | 09/14/202 | | | 484,322 | | | | 483,339 | |
ESH Hospitality, Inc., Term Loan B, 1st Lien | |
5.00% | | 06/06/192 | | | 1,000,000 | | | | 1,003,750 | |
Protection One, Term Loan, 1st Lien | |
4.25% | | 03/21/192 | | | 790,916 | | | | 787,788 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 2,763,658 | |
| | | | | | | | | | |
Transportation — 2.49% | |
Air Canada, Term Loan B, 1st Lien (Canada) | |
5.50% | | 09/20/192,3 | | | 708,225 | | | | 717,963 | |
American Airlines, Inc., Term Loan B | |
3.75% | | 06/27/192 | | | 987,500 | | | | 972,441 | |
Delta Air Lines, Inc., Term Loan B, 1st Lien | |
3.25% | | 04/20/172 | | | 196,954 | | | | 194,936 | |
Navios Maritime Partners LP, Term Loan B, | |
1st Lien (Greece) | |
5.25% | | 06/27/182,3 | | | 1,482,525 | | | | 1,499,819 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 3,385,159 | |
| | | | | | | | | | |
Total Bank Loans | |
(Cost $99,541,662) | | | | 99,328,123 | |
| | | | | | | | | | |
|
CORPORATES — 9.87%* | |
Banking — 0.37% | |
Bank of America N.A. (BKNT) | |
0.53% | | 06/15/172 | | | 500,000 | | | | 496,901 | |
| | | | | | | | | | |
Communications — 1.36% | |
Verizon Communications, Inc. | |
1.98% | | 09/14/182 | | | 1,750,000 | | | | 1,845,114 | |
| | | | | | | | | | |
Energy — 2.22% | |
Chesapeake Energy Corp. | |
3.48% | | 04/15/192 | | | 2,000,000 | | | | 2,012,500 | |
Enbridge, Inc. (Canada) | |
0.88% | | 10/01/162,3 | | | 1,000,000 | | | | 1,003,516 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 3,016,016 | |
| | | | | | | | | | |
Finance — 3.03% | |
Chase Capital II, Series B | |
0.74% | | 02/01/272 | | | 500,000 | | | | 441,250 | |
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Finance (continued) | |
Citigroup, Inc. | |
0.78% | | 08/25/362 | | $ | 1,000,000 | | | $ | 813,446 | |
General Electric Capital Corp. (MTN) | |
0.71% | | 08/15/362 | | | 850,000 | | | | 736,958 | |
Goldman Sachs Group, Inc. (MTN) | |
1.84% | | 11/29/232 | | | 1,000,000 | | | | 1,029,949 | |
JPMorgan Chase Capital XXI, Series U | |
1.19% | | 02/02/372 | | | 1,000,000 | | | | 862,500 | |
JPMorgan Chase Capital XXIII | |
1.23% | | 05/15/472 | | | 300,000 | | | | 244,500 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 4,128,603 | |
| | | | | | | | | | |
Food — 0.35% | | | | | |
Post Holdings, Inc. | |
6.75% | | 12/01/216 | | | 500,000 | | | | 482,500 | |
| | | | | | | | | | |
Health Care — 0.74% | | | | | |
Lifepoint Hospitals, Inc. | |
5.50% | | 12/01/21 | | | 500,000 | | | | 508,750 | |
Valeant Pharmaceuticals International, Inc. | |
(Canada) | | | | | |
5.62% | | 12/01/213,6 | | | 500,000 | | | | 500,025 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 1,008,775 | |
| | | | | | | | | | |
Industrials — 0.71% | | | | | |
Ardagh Packaging Finance PLC/Ardagh | |
Holdings USA, Inc. (Ireland) | |
3.23% | | 12/15/192,3,6 | | | 1,000,000 | | | | 971,250 | |
| | | | | | | | | | |
Real Estate Investment Trust (REIT) — 0.38% | |
DuPont Fabros Technology LP (WI) | |
5.88% | | 09/15/21 | | | 500,000 | | | | 515,000 | |
| | | | | | | | | | |
Transportation — 0.71% | |
American Airlines Pass-Through Trust, | |
Series 2013-2, Class B | |
5.60% | | 07/15/206 | | | 938,287 | | | | 971,127 | |
| | | | | | | | | | |
Total Corporates | | | | | | | | |
(Cost $13,059,104) | | | | 13,435,286 | |
| | | | | | | | | | |
MUNICIPAL BONDS — 0.50%* | | | | | |
Arizona — 0.50% | | | | | |
Arizona Health Facilities Authority, Banner | |
Health, Series B | | | | | | | | |
0.97% | | 01/01/372 | | | 750,000 | | | | 672,300 | |
| | | | | | | | | | |
Total Municipal Bonds | | | | | |
(Cost $571,617) | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2014 / 120
Floating Rate Income Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
MUNICIPAL BONDS (continued) | |
Arizona (continued) | | | | | |
|
U.S. AGENCY SECURITIES — 1.41% | |
U.S. Agency Securities — 1.41% | |
|
Federal Farm Credit Bank | |
0.17% | | 09/14/162 | | $ | 635,000 | | | $ | 635,154 | |
0.18% | | 04/26/172 | | | 680,000 | | | | 680,733 | |
0.20% | | 04/17/172 | | | 605,000 | | | | 605,968 | |
| | | | | | | | | | |
|
Total U.S. Agency Securities | |
(Cost $1,919,833) | | | | 1,921,855 | |
| | | | | | | | | | |
|
Total Bonds – 84.75% | |
(Cost $115,092,216) | | | | 115,357,564 | |
| | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount/
Shares | | | Value | |
SHORT-TERM INVESTMENTS — 11.35% | |
Money Market Funds — 2.01% | |
Dreyfus Cash Advantage Fund | |
0.01%7 | | | | | | | 1,367,000 | | | | 1,367,000 | |
Morgan Stanley Institutional Fund | |
0.04%7 | | | | | | | 1,367,000 | | | | 1,367,000 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 2,734,000 | |
| | | | | | | | | | | | |
U.S. Agency Discount Notes — 9.34% | |
Fannie Mae | | | | | | | | | | | | |
0.03%8 | | | 01/12/15 | | | | 805,000 | | | | 804,981 | |
0.08%8 | | | 10/07/14 | | | | 700,000 | | | | 699,997 | |
Federal Home Loan Bank | |
0.07%8 | | | 10/01/14 | | | | 1,300,000 | | | | 1,300,000 | |
0.08%8 | | | 10/29/14 | | | | 3,365,000 | | | | 3,364,972 | |
0.08%8 | | | 10/31/14 | | | | 3,330,000 | | | | 3,329,970 | |
0.09%8 | | | 10/17/14 | | | | 3,221,000 | | | | 3,220,961 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 12,720,881 | |
| | | | | | | | | | | | |
Total Short-Term Investments | |
(Cost $15,454,362) | | | | 15,454,881 | |
| | | | | | | | | | | | |
| | | | |
| | | Value | |
Total Investments – 96.10% | | | | |
(Cost $130,546,578)1 | | $ | 130,812,445 | |
| | | | |
| |
Cash and Other Assets, Less | | | | |
Liabilities – 3.90% | | | 5,304,458 | |
| | | | |
| |
Net Assets – 100.00% | | $ | 136,116,903 | |
| | | | |
Notes:
| 1 | Cost for federal income tax purposes is $130,546,612 and net unrealized appreciation/(depreciation) consists of: |
| | | | |
Gross unrealized appreciation | | $ | 953,611 | |
Gross unrealized (depreciation) | | | (687,778 | ) |
| | | | |
Net unrealized appreciation | | $ | 265,833 | |
| | | | |
| 2 | Floating rate security. The rate disclosed was in effect at September 30, 2014. |
| 3 | U.S. dollar-denominated security issued by foreign-domiciled entity. |
| 4 | Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer. |
| 5 | Illiquid security as determined under procedures approved by the Funds’ Board of Trustees. The aggregate value of illiquid securities is $1,057,591, which is 0.78% of total net assets. |
| 6 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| 7 | Represents the current yield as of September 30, 2014. |
| 8 | Represents annualized yield at date of purchase. |
| † | Fair valued security. The aggregate value of fair valued securities is $1,057,591, which is 0.78% of total net assets, which have not been valued utilizing an independent quote and were valued pursuant to guidelines established by the Board of Trustees. This figure represents securities that are priced using a benchmark pricing system and securities that have been deemed permanently stale, see Notes to Financial Statements. |
| * | Securities with a call or reset feature will have an effective maturity date sooner than the stated maturity. |
Note: For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for more meaningful presentation for investors.
(BKNT): Banker’s Note, Inc.
(MTN): Medium-term note
(PIK): Payment in kind
(WI): When issued
See accompanying notes to Schedule of Portfolio Investments.
121 / Semi-Annual Report September 2014
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BONDS – 81.92% | |
ASSET-BACKED SECURITIES — 20.18%** | |
321 Henderson Receivables I LLC, | |
Series 2014-2A, Class B | |
4.48% | | | 01/15/75 | 2 | | $ | 485,000 | | | $ | 485,973 | |
Alm Loan Funding, Series 2012-7A, Class A1 | |
(Cayman Islands) | |
1.65% | | | 10/19/24 | 2,3,4 | | | 500,000 | | | | 499,435 | |
American Money Management Corp., | |
Series 2014-14A, Class A1L | |
1.80% | | | 07/27/26 | 2,4 | | | 490,000 | | | | 489,924 | |
Amur Finance IA LLC/Jet Midwest, | |
Series 2014-1, Class A | |
11.00% | | | 12/17/17 | 2,† | | | 667,167 | | | | 667,164 | |
ARES CLO Ltd., Series 2007-12A, Class A | |
(Cayman Islands) | |
0.86% | | | 11/25/20 | 2,3,4 | | | 365,533 | | | | 364,099 | |
ARES XXVI CLO Ltd., Series 2013-1A, | |
Class A (Cayman Islands) | |
1.33% | | | 04/15/25 | 2,3,4 | | | 500,000 | | | | 492,381 | |
Axis Equipment Finance Receivables LLC, | |
Series 2012-1I, Class E1 | |
6.25% | | | 04/20/16 | | | | 219,558 | | | | 220,409 | |
Axis Equipment Finance Receivables LLC, | |
Series 2012-1I, Class E2 | |
7.00% | | | 03/20/17 | | | | 250,000 | | | | 251,238 | |
Babson CLO Ltd., Series 2013-IA, Class A | |
(Cayman Islands) | |
1.33% | | | 04/20/25 | 2,3,4 | | | 500,000 | | | | 493,199 | |
Babson CLO Ltd., Series 2014-IA, Class A1 | |
(Cayman Islands) | |
1.72% | | | 07/12/25 | 2,3,4 | | | 500,000 | | | | 500,452 | |
Babson CLO Ltd., Series 2014-IIA, Class A | |
(Cayman Islands) | |
1.66% | | | 10/17/26 | 2,3,4 | | | 430,000 | | | | 430,158 | |
Bayview Commercial Asset Trust, | |
Series 2004-3, Class A1 | |
0.52% | | | 01/25/35 | 2,4 | | | 394,180 | | | | 366,592 | |
Bayview Commercial Asset Trust, | |
Series 2006-4A, Class A1 | |
0.38% | | | 12/25/36 | 2,4 | | | 1,203,389 | | | | 1,096,749 | |
Bayview Commercial Asset Trust, | |
Series 2007-3, Class A1 | |
0.40% | | | 07/25/37 | 2,4 | | | 543,620 | | | | 486,386 | |
BlueMountain CLO Ltd., Series 2013-1A, | |
Class A1 (Cayman Islands) | |
1.43% | | | 05/15/25 | 2,3,4 | | | 580,000 | | | | 575,176 | |
BlueMountain CLO Ltd., Series 2013-4A, | |
Class C (Cayman Islands) | |
2.88% | | | 04/15/25 | 2,3,4 | | | 140,000 | | | | 135,643 | |
Cent CLO LP, Series 2013-17A, Class A1 | |
(Cayman Islands) | |
1.54% | | | 01/30/25 | 2,3,4 | | | 580,000 | | | | 575,640 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | |
Cent CLO LP, Series 2013-19A, Class A1A | |
(Cayman Islands) | |
1.56% | | | 10/29/25 | 2,3,4 | | $ | 500,000 | | | $ | 497,453 | |
CIFC Funding Ltd., Series 2012-2A, | |
Class A1L (Cayman Islands) | |
1.63% | | | 12/05/24 | 2,3,4 | | | 600,000 | | | | 598,718 | |
CIT Education Loan Trust, Series 2007-1, | |
Class A | |
0.32% | | | 03/25/42 | 2,4 | | | 1,575,177 | | | | 1,507,034 | |
Cronos Containers Program Ltd., | |
Series 2012-2A, Class A (Bermuda) | |
3.81% | | | 09/18/27 | 2,3 | | | 320,000 | | | | 320,325 | |
Crystal River, Series 2005-1A, Class A | |
(Cayman Islands) | |
0.59% | | | 03/02/46 | 2,3,4,† | | | 470,845 | | | | 28,249 | |
Dryden Senior Loan Fund, | |
Series 2013-26A, Class C (Cayman Islands) | |
2.73% | | | 07/15/25 | 2,3,4 | | | 525,000 | | | | 501,283 | |
Dryden Senior Loan Fund, | |
Series 2014-33A, Class A (Cayman Islands) | |
1.70% | | | 07/15/26 | 2,3,4 | | | 430,000 | | | | 429,361 | |
Dryden XXII Senior Loan Fund, | |
Series 2013-30A, Class C (Cayman Islands) | |
3.08% | | | 11/15/25 | 2,3,4 | | | 625,000 | | | | 614,181 | |
Education Loan Asset-Backed Trust, Series | |
2013-1A, Class A2 | |
0.96% | | | 04/26/32 | 2,4 | | | 645,000 | | | | 645,726 | |
EFS Volunteer LLC, Series 2010-1, Class A2 | |
1.08% | | | 10/25/35 | 2,4 | | | 800,000 | | | | 798,518 | |
Flatiron CLO Ltd. | | | | | | | | | | | | |
1.62% | | | 07/17/26 | 2,4 | | | 500,000 | | | | 498,025 | |
GE Business Loan Trust, Series 2004-1, | |
Class A | |
0.44% | | | 05/15/32 | 2,4 | | | 886,771 | | | | 872,053 | |
GE Business Loan Trust, Series 2004-2A, | |
Class A | |
0.37% | | | 12/15/32 | 2,4 | | | 271,512 | | | | 264,885 | |
GE Business Loan Trust, Series 2005-1A, | |
Class A3 | |
0.40% | | | 06/15/33 | 2,4 | | | 824,163 | | | | 800,427 | |
GE Business Loan Trust, Series 2005-2A, | |
Class A | |
0.39% | | | 11/15/33 | 2,4 | | | 863,293 | | | | 838,371 | |
Global SC Finance SRL, Series 2014-1A, | |
Class A2 (Barbados) | |
3.09% | | | 07/17/24 | 2,3 | | | 560,500 | | | | 554,630 | |
GoldenTree Loan Opportunities VII Ltd., | |
Series 2013-7A, Class A (Cayman Islands) | |
1.38% | | | 04/25/25 | 2,3,4 | | | 600,000 | | | | 593,080 | |
GoldenTree Loan Opportunities VIII Ltd., | |
Series 2014-8A, Class A (Cayman Islands) | |
1.68% | | | 04/19/26 | 2,3,4 | | | 600,000 | | | | 599,618 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2014 / 122
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | |
Higher Education Funding, Series 2014-1, | |
Class A | |
1.29% | | | 05/25/34 | 2,4 | | $ | 490,289 | | | $ | 486,910 | |
ING Investment Management CLO Ltd., | |
Series 2013-2A, Class A1 | |
1.38% | | | 04/25/25 | 2,4 | | | 500,000 | | | | 494,045 | |
ING Investment Management Ltd., | |
Series 2012-4A, Class A1 (Cayman Islands) | |
1.62% | | | 10/15/23 | 2,3,4 | | | 500,000 | | | | 499,187 | |
J.G. Wentworth XXX LLC, Series 2013-3A, | |
Class B | |
5.54% | | | 01/15/75 | 2 | | | 590,000 | | | | 646,297 | |
LCM XIV LP, Series 14A, Class C | |
(Cayman Islands) | |
2.98% | | | 07/15/25 | 2,3,4 | | | 550,000 | | | | 532,403 | |
Leaf II Receivables Funding LLC, | |
Series 2013-1, Class E2 | |
6.00% | | | 09/15/21 | 2 | | | 520,000 | | | | 494,147 | |
Limerock CLO, Series 2014-2A, Class A | |
(Cayman Islands) | |
1.73% | | | 04/18/26 | 2,3,4 | | | 580,000 | | | | 580,288 | |
National Collegiate Student Loan Trust, | |
Series 2006-1, Class A3 | |
0.34% | | | 05/25/26 | 4 | | | 373,596 | | | | 371,059 | |
National Collegiate Student Loan Trust, | |
Series 2007-2, Class A2 | |
0.28% | | | 06/26/28 | 4 | | | 550,772 | | | | 537,717 | |
Nelnet Student Loan Trust, Series 2014-4A, | |
Class A2 | |
1.10% | | | 11/25/43 | 2,4 | | | 500,000 | | | | 502,079 | |
Neuberger Berman CLO Ltd., | |
Series 2014-16A, Class A1 | |
1.70% | | | 04/15/26 | 2,4 | | | 580,000 | | | | 579,398 | |
Nomad CLO Ltd., Series 2013-1A, Class A1 | |
(Cayman Islands) | |
1.43% | | | 01/15/25 | 2,3,4 | | | 580,000 | | | | 575,090 | |
Oak Hill Credit Partners, Series 2012-7A, | |
Class A (Cayman Islands) | |
1.65% | | | 11/20/23 | 2,3,4 | | | 500,000 | | | | 499,101 | |
Panthera Aviation, Series 2013-1 | |
10.00% | | | 01/25/22 | 2,4,5,† | | | 500,000 | | | | 499,998 | |
Peach Finance Co., Series 2000, Class A | |
4.71% | | | 04/15/48 | 2 | | | 348,764 | | | | 360,949 | |
Scholar Funding Trust, Series 2012-B, | |
Class A2 | |
1.25% | | | 03/28/46 | 2,4 | | | 1,000,000 | | | | 1,024,909 | |
SLC Student Loan Trust, Series 2004-1, | |
Class B | |
0.52% | | | 08/15/31 | 4 | | | 577,118 | | | | 530,954 | |
SLC Student Loan Trust, Series 2005-2, | |
Class B | |
0.51% | | | 03/15/40 | 4 | | | 468,875 | | | | 423,461 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | |
SLC Student Loan Trust, Series 2005-3, | |
Class B | |
0.48% | | | 06/15/40 | 4 | | $ | 253,008 | | | $ | 230,318 | |
SLC Student Loan Trust, Series 2006-2, | |
Class B | |
0.46% | | | 12/15/39 | 4 | | | 584,307 | | | | 523,792 | |
SLC Student Loan Trust, Series 2008-2, | |
Class B | |
1.98% | | | 09/15/22 | 4 | | | 240,000 | | | | 241,648 | |
SLM Student Loan Trust, Series 2004-2, | |
Class B | |
0.70% | | | 07/25/39 | 4 | | | 584,975 | | | | 546,696 | |
SLM Student Loan Trust, Series 2005-4, | |
Class B | |
0.41% | | | 07/25/40 | 4 | | | 603,552 | | | | 543,460 | |
SLM Student Loan Trust, Series 2005-9, | |
Class B | |
0.53% | | | 01/25/41 | 4 | | | 667,217 | | | | 613,265 | |
SLM Student Loan Trust, Series 2006-2, | |
Class A6 | |
0.40% | | | 01/25/41 | 4 | | | 1,200,000 | | | | 1,114,828 | |
SLM Student Loan Trust, Series 2007-6, | |
Class B | |
1.08% | | | 04/27/43 | 4 | | | 322,883 | | | | 295,560 | |
SLM Student Loan Trust, Series 2007-7, | |
Class B | |
0.98% | | | 10/25/28 | 4 | | | 215,000 | | | | 195,918 | |
SLM Student Loan Trust, Series 2007-8, | |
Class B | |
1.23% | | | 04/27/43 | 4 | | | 609,513 | | | | 571,873 | |
SLM Student Loan Trust, Series 2008-2, | |
Class B | |
1.43% | | | 01/25/29 | 4 | | | 340,000 | | | | 312,208 | |
SLM Student Loan Trust, Series 2008-3, | |
Class B | |
1.43% | | | 04/25/29 | 4 | | | 340,000 | | | | 314,711 | |
SLM Student Loan Trust, Series 2008-4, | |
Class A4 | |
1.88% | | | 07/25/22 | 4 | | | 1,500,000 | | | | 1,579,870 | |
SLM Student Loan Trust, Series 2008-4, | |
Class B | |
2.08% | | | 04/25/29 | 4 | | | 340,000 | | | | 343,019 | |
SLM Student Loan Trust, Series 2008-5, | |
Class B | |
2.08% | | | 07/25/29 | 4 | | | 235,000 | | | | 242,119 | |
SLM Student Loan Trust, Series 2008-6, | |
Class B | |
2.08% | | | 07/25/29 | 4 | | | 340,000 | | | | 343,072 | |
SLM Student Loan Trust, Series 2008-7, | |
Class B | | | | | | | | | | | | |
2.08% | | | 07/25/29 | 4 | | | 340,000 | | | | 342,602 | |
SLM Student Loan Trust, Series 2008-8, | |
Class B | | | | | | | | | | | | |
2.48% | | | 10/25/29 | 4 | | | 340,000 | | | | 357,647 | |
See accompanying notes to Schedule of Portfolio Investments.
123 / Semi-Annual Report September 2014
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | |
Sound Point CLO Ltd., Series 2012-1A, | |
Class C (Cayman Islands) | |
3.53% | | | 10/20/23 | 2,3,4 | | $ | 625,000 | | | $ | 624,992 | |
Sound Point CLO Ltd., Series 2013-2A, | |
Class E (Cayman Islands) | |
4.83% | | | 07/15/25 | 2,3,4 | | | 235,000 | | | | 203,205 | |
Structured Receivables Finance LLC, | |
Series 2010-A, Class B | |
7.61% | | | 01/16/46 | 2,† | | | 456,221 | | | | 543,890 | |
Structured Receivables Finance LLC, | |
Series 2010-B, Class B | |
7.97% | | | 08/15/36 | 2,† | | | 450,000 | | | | 558,957 | |
Symphony CLO Ltd., Series 2012-9A, | |
Class C (Cayman Islands) | |
3.48% | | | 04/16/22 | 2,3,4 | | | 575,000 | | | | 575,034 | |
Symphony CLO XIV Ltd., Series 2014-14A, | |
Class A2 (Cayman Islands) | |
1.71% | | | 07/14/26 | 2,3,4 | | | 350,000 | | | | 350,138 | |
TAL Advantage LLC, Series 2006-1, | |
Class NOTE | |
0.35% | | | 04/20/21 | 2,4 | | | 95,000 | | | | 94,180 | |
Triton Container Finance LLC, | |
Series 2007-1A, Class NOTE | |
0.29% | | | 02/26/19 | 2,4 | | | 55,990 | | | | 55,877 | |
| | | | | | | | | | | | |
Total Asset-Backed Securities | |
(Cost $39,862,211) | | | | 40,449,426 | |
| | | | | | | | | | | | |
BANK LOANS — 0.48%* | |
Electric — 0.00% | |
Boston Generating LLC, Term Loan, 1st Lien6 | |
0.00% | | | 12/31/14 | 4,7,8,9,† | | | 107,166 | | | | – | |
| | | | | | | | | | | | |
Health Care — 0.29% | |
Valeant Pharmaceuticals International, Inc., | |
Term Loan (Canada) | |
3.75% | | | 08/05/20 | 3,4 | | | 597,147 | | | | 591,027 | |
| | | | | | | | | | | | |
Services — 0.19% | |
AABS Ltd. Loan, Series 2013-1, Class A | |
(STEP) (Bermuda) | |
4.72% | | | 01/15/38 | 3,4,† | | | 358,333 | | | | 370,865 | |
| | | | | | | | | | | | |
Total Bank Loans | |
(Cost $1,058,536) | | | | 961,892 | |
| | | | | | | | | | | | |
CORPORATES — 9.87%* | |
Banking — 0.82% | |
Bank of America Corp. (MTN) | |
5.00% | | | 05/13/21 | | | | 1,090,000 | | | | 1,198,689 | |
First Chicago NBD Institutional Capital I | |
0.79% | | | 02/01/27 | 4 | | | 500,000 | | | | 443,125 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 1,641,814 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Electric — 0.14% | |
Dynegy Escrow Holdings | |
0.00% | | | 01/01/50 | 7,8,† | | $ | 1,175,000 | | | $ | – | |
GenOn Americas Generation LLC | |
8.50% | | | 10/01/21 | | | | 300,000 | | | | 282,375 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 282,375 | |
| | | | | | | | | | | | |
Energy — 0.66% | |
Energy Transfer Partners LP | |
3.26% | | | 11/01/66 | 4 | | | 1,400,000 | | | | 1,324,750 | |
| | | | | | | | | | | | |
Finance — 4.94% | |
Astoria Depositor Corp. | |
8.14% | | | 05/01/21 | 2 | | | 950,000 | | | | 1,018,875 | |
Chase Capital II, Series B | |
0.74% | | | 02/01/27 | 4 | | | 1,500,000 | | | | 1,323,750 | |
Chase Capital VI | |
0.86% | | | 08/01/28 | 4 | | | 500,000 | | | | 436,875 | |
Citigroup, Inc. | |
0.78% | | | 08/25/36 | 4 | | | 3,350,000 | | | | 2,725,044 | |
General Electric Capital Corp. (MTN) | |
0.62% | | | 05/05/26 | 4 | | | 819,000 | | | | 783,981 | |
0.71% | | | 08/15/36 | 4 | | | 2,500,000 | | | | 2,167,525 | |
General Motors Financial Co., Inc., | |
Series 3YR | |
3.00% | | | 09/25/17 | | | | 1,000,000 | | | | 1,011,250 | |
JPMorgan Chase Capital XIII, Series M | |
1.18% | | | 09/30/34 | 4 | | | 300,000 | | | | 260,625 | |
JPMorgan Chase Capital XXIII | |
1.23% | | | 05/15/47 | 4 | | | 200,000 | | | | 163,000 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 9,890,925 | |
| | | | | | | | | | | | |
Insurance — 0.51% | |
Farmers Exchange Capital II | |
6.15% | | | 11/01/53 | 2,4 | | | 900,000 | | | | 1,025,880 | |
| | | | | | | | | | | | |
Real Estate Investment Trust (REIT) — 0.26% | |
HCP, Inc. | |
7.07% | | | 06/08/15 | | | | 500,000 | | | | 521,341 | |
| | | | | | | | | | | | |
Transportation — 2.54% | |
American Airlines Pass-Through Trust, | |
Series 2013-2, Class A | |
4.95% | | | 01/15/23 | | | | 849,571 | | | | 912,227 | |
AWAS Aviation Capital Ltd. (Ireland) | |
7.00% | | | 10/15/16 | 2,3 | | | 431,600 | | | | 440,750 | |
Continental Airlines Pass-Through Trust, | |
Series 2007, Class 1B | |
6.90% | | | 04/19/22 | | | | 2,419,436 | | | | 2,603,797 | |
Delta Air Lines Pass-Through Trust, | |
Series 2002, Class G1 | |
6.72% | | | 01/02/23 | | | | 602,335 | | | | 701,721 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2014 / 124
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Transportation (continued) | |
JetBlue Airways Pass-Through Trust, | |
Series 2004, Class G1 | |
0.61% | | | 08/15/16 | 4 | | $ | 430,097 | | | $ | 422,914 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 5,081,409 | |
| | | | | | | | | | | | |
Total Corporates | |
(Cost $17,472,051) | | | | 19,768,494 | |
| | | | | | | | | | | | |
MORTGAGE-BACKED — 50.62%** | |
Commercial Mortgage-Backed — 3.01% | |
Bayview Commercial Asset Trust, | |
Series 2008-4, Class A3 | |
2.90% | | | 07/25/38 | 2,4 | | | 665,000 | | | | 652,779 | |
Bayview Commercial Mortgage Pass-Through | |
Trust, Series 2006-SP1, Class M1 | |
0.60% | | | 04/25/36 | 2,4 | | | 1,275,000 | | | | 1,167,697 | |
Bear Stearns Commercial Mortgage | |
Securities Trust, Series 2004-PWR4, | |
Class A3 | |
5.47% | | | 06/11/41 | 4 | | | 32,774 | | | | 32,772 | |
Commercial Mortgage Trust, | |
Series 2006-C8, Class AAB | |
5.29% | | | 12/10/46 | | | | 136,005 | | | | 137,106 | |
LB-UBS Commercial Mortgage Trust, | |
Series 2005-C1, Class A4 | |
4.74% | | | 02/15/30 | | | | 189,763 | | | | 190,172 | |
Morgan Stanley Bank of America Merrill | |
Lynch Trust, Series 2012-C6, Class A4 | |
2.86% | | | 11/15/45 | | | | 1,040,000 | | | | 1,019,460 | |
WF-RBS Commercial Mortgage Trust, | |
Series 2010-C8, Class A3 | |
3.00% | | | 08/15/45 | | | | 1,055,000 | | | | 1,051,496 | |
WF-RBS Commercial Mortgage Trust, | |
Series 2011-C2, Class A2 | |
3.79% | | | 02/15/44 | 2 | | | 900,000 | | | | 927,831 | |
WF-RBS Commercial Mortgage Trust, | |
Series 2011-C5, Class A4 | |
3.67% | | | 11/15/44 | | | | 810,000 | | | | 848,229 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 6,027,542 | |
| | | | | | | | | | | | |
Non-Agency Mortgage-Backed — 40.85% | |
ACE Securities Corp., Series 2003-MH1, | |
Class B1 | |
6.50% | | | 08/15/30 | 2,4 | | | 93,810 | | | | 95,925 | |
ACE Securities Corp., Series 2006-HE3, | |
Class A2C | |
0.30% | | | 06/25/36 | 4 | | | 2,063,607 | | | | 1,394,300 | |
Adjustable Rate Mortgage Trust, | |
Series 2005-11, Class 2A12 | |
2.64% | | | 02/25/36 | 4 | | | 138,997 | | | | 137,975 | |
Adjustable Rate Mortgage Trust, | |
Series 2005-11, Class 2A41 | |
2.64% | | | 02/25/36 | 4 | | | 504,557 | | | | 491,959 | |
| | | | | | | | | | | | |
| Issues | | Maturity Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
Adjustable Rate Mortgage Trust, | |
Series 2005-5, Class 6A21 | |
0.38% | | | 09/25/35 | 4 | | $ | 676,892 | | | $ | 650,267 | |
Ameriquest Mortgage Securities, Inc., | |
Series 2005-R2, Class M2 | |
0.64% | | | 04/25/35 | 4 | | | 1,200,000 | | | | 1,190,822 | |
Banc of America Alternative Loan Trust, | |
Series 2003-3, Class A4 | |
5.75% | | | 05/25/33 | | | | 1,539,945 | | | | 1,588,144 | |
Banc of America Alternative Loan Trust, | |
Series 2005-2, Class 4A1 | |
5.50% | | | 03/25/20 | | | | 402,634 | | | | 407,758 | |
Banc of America Funding Corp., | |
Series 2006-3, Class 5A3 | |
5.50% | | | 03/25/36 | | | | 1,081,487 | | | | 1,042,087 | |
Banco de Credito Y Securitizacion SA, | |
Series 2001-1, Class AF (Argentina) | |
8.00% | | | 06/30/20 | 2,3,7 | | | 5,000 | | | | 400 | |
BCAP LLC Trust, Series 2011-RR3, | |
Class 1A5 | |
2.71% | | | 05/27/37 | 2,4 | | | 1,313,908 | | | | 1,311,198 | |
BCAP LLC Trust, Series 2007-AA1, | |
Class 1A2 | |
0.32% | | | 02/25/47 | 4 | | | 724,161 | | | | 662,259 | |
BCAP LLC Trust, Series 2009-RR4, | |
Class 1A1 | |
9.50% | | | 06/26/37 | 2 | | | 618,212 | | | | 645,214 | |
BCAP LLC Trust, Series 2010-RR11, | |
Class 3A2 | |
2.76% | | | 06/27/36 | 2,4 | | | 974,296 | | | | 977,661 | |
BCAP LLC Trust, Series 2011-RR3, | |
Class 5A3 | |
2.76% | | | 11/27/37 | 2,4 | | | 2,085,943 | | | | 2,019,061 | |
BCAP LLC Trust, Series 2011-RR4, | |
Class 1A3 | |
2.85% | | | 03/26/36 | 2,4 | | | 992,168 | | | | 967,543 | |
Bear Stearns ALT-A Trust, Series 2005-1, | |
Class A1 | |
0.72% | | | 01/25/35 | 4 | | | 860,191 | | | | 835,160 | |
Bear Stearns ARM Trust, Series 2005-2, | |
Class A1 | |
2.58% | | | 03/25/35 | 4 | | | 401,550 | | | | 406,589 | |
BHN I Mortgage Fund, Series 2000-1, | |
Class AF (Argentina) | |
8.00% | | | 01/31/20 | 2,3,7,8,† | | | 110 | | | | – | |
Centex Home Equity Loan Trust, | |
Series 2006-A, Class AV4 | |
0.40% | | | 06/25/36 | 4 | | | 2,150,000 | | | | 1,989,475 | |
Chase Mortgage Finance Corp., | |
Series 2007-A1, Class 8A1 | |
2.57% | | | 02/25/37 | 4 | | | 346,444 | | | | 352,560 | |
See accompanying notes to Schedule of Portfolio Investments.
125 / Semi-Annual Report September 2014
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
Citicorp Residential Mortgage Securities, Inc., | |
Series 2007-1, Class A5 (STEP) | |
6.05% | | | 03/25/37 | | | $ | 1,750,000 | | | $ | 1,715,730 | |
Citigroup Mortgage Loan Trust, Inc., | |
Series 2005-OPT3, Class M2 | |
0.60% | | | 05/25/35 | 4 | | | 1,100,000 | | | | 1,072,562 | |
Citigroup Mortgage Loan Trust, Inc., | |
Series 2006-WFH4, Class A3 | |
0.30% | | | 11/25/36 | 4 | | | 646,932 | | | | 644,590 | |
Citigroup Mortgage Loan Trust, Inc., | |
Series 2007-WFH2, Class A3 | |
0.34% | | | 03/25/37 | 4 | | | 2,300,827 | | | | 2,263,212 | |
Conseco Finance Securitizations Corp., | |
Series 2001-4, Class A4 | |
7.36% | | | 09/01/33 | | | | 593,920 | | | | 661,670 | |
Conseco Finance Securitizations Corp., | |
Series 2002-1, Class A | |
6.68% | | | 12/01/33 | 4 | | | 5,724 | | | | 5,753 | |
Conseco Finance, Series 2002-C, | |
Class BF1 | |
8.00% | | | 06/15/32 | 4 | | | 2,262,023 | | | | 2,459,832 | |
Conseco Finance, Series 2002-C, | |
Class BF2 | |
8.00% | | | 06/15/32 | 2,4 | | | 878,409 | | | | 967,566 | |
Conseco Financial Corp., Series 1996-7, | |
Class M1 | |
7.70% | | | 10/15/27 | 4 | | | 833,468 | | | | 897,084 | |
Conseco Financial Corp., Series 1997-3, | |
Class A7 | |
7.64% | | | 03/15/28 | 4 | | | 289,565 | | | | 311,307 | |
Conseco Financial Corp., Series 1998-3, | |
Class A6 | |
6.76% | | | 03/01/30 | 4 | | | 651,297 | | | | 692,430 | |
Conseco Financial Corp., Series 1998-4, | |
Class A6 | |
6.53% | | | 04/01/30 | 4 | | | 781,858 | | | | 817,369 | |
Conseco Financial Corp., Series 1998-4, | |
Class A7 | |
6.87% | | | 04/01/30 | 4 | | | 387,152 | | | | 412,196 | |
Conseco Financial Corp., Series 1999-5, | |
Class A5 | |
7.86% | | | 03/01/30 | 4 | | | 108,494 | | | | 99,739 | |
Credit Suisse First Boston Commercial | |
Mortgage Trust, Series 2014-4R, Class 16A1 | |
0.36% | | | 02/27/36 | 2,4 | | | 974,100 | | | | 957,991 | |
Credit-Based Asset Servicing and | |
Securitization LLC, Series 2007-CB2, | |
Class A2B (STEP) | |
4.64% | | | 02/25/37 | | | | 1,654,971 | | | | 1,232,860 | |
Credit-Based Asset Servicing and | |
Securitization LLC, Series 2007-CB2, | |
Class A2C (STEP) | |
4.64% | | | 02/25/37 | | | | 546,484 | | | | 407,060 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
Credit-Based Asset Servicing and | |
Securitization LLC, Series 2007-CB3, | |
Class A3 (STEP) | |
4.14% | | | 03/25/37 | | | $ | 1,350,955 | | | $ | 836,079 | |
First Franklin Mortgage Loan Asset-Backed | |
Certificates, Series 2006-FF18, Class A2B | |
0.26% | | | 12/25/37 | 4 | | | 1,140,662 | | | | 751,888 | |
First Franklin Mortgage Loan Asset-Backed | |
Certificates, Series 2007-FF1, Class A2D | |
0.38% | | | 01/25/38 | 4 | | | 3,256,126 | | | | 2,069,031 | |
First Franklin Mortgage Loan Asset-Backed | |
Certificates, Series 2007-FF2, Class A2B | |
0.26% | | | 03/25/37 | 4 | | | 1,163,815 | | | | 746,042 | |
GMAC Mortgage Corp. Loan Trust, | |
Series 2006-AR1, Class 1A1 | |
2.95% | | | 04/19/36 | 4 | | | 943,570 | | | | 842,215 | |
Green Tree Home Improvement Loan Trust, | |
Series 1995-D, Class B2 | |
7.45% | | | 09/15/25 | | | | 16,461 | | | | 16,474 | |
Green Tree Home Improvement Loan Trust, | |
Series 1995-F, Class B2 | |
7.10% | | | 01/15/21 | | | | 2,415 | | | | 2,416 | |
Green Tree, Series 2008-MH1, Class A2 | |
8.97% | | | 04/25/38 | 2,4 | | | 567,755 | | | | 611,071 | |
Green Tree, Series 2008-MH1, Class A3 | |
8.97% | | | 04/25/38 | 2,4 | | | 835,020 | | | | 892,364 | |
Greenpoint Mortgage Funding Trust, | |
Series 2006-AR8, Class 1A2A | |
0.34% | | | 01/25/47 | 4 | | | 971,600 | | | | 925,500 | |
GSAMP Trust, Series 2005-HE5, Class M1 | |
0.58% | | | 11/25/35 | 4 | | | 1,285,000 | | | | 1,228,220 | |
GSR Mortgage Loan Trust, Series 2005-AR6, | |
Class 2A1 | |
2.66% | | | 09/25/35 | 4 | | | 418,152 | | | | 422,693 | |
GSR Mortgage Loan Trust, Series 2007-AR2, | |
Class 5A1A | |
5.16% | | | 05/25/47 | 4 | | | 1,276,707 | | | | 1,262,371 | |
Harborview Mortgage Loan Trust, | |
Series 2006-8, Class 2A1A | |
0.34% | | | 07/21/36 | 4 | | | 493,169 | | | | 403,299 | |
Home Equity Loan Trust, Series 2007-3, | |
Class A4 | |
1.65% | | | 11/20/36 | 4 | | | 1,040,000 | | | | 1,042,780 | |
Home Equity Loan Trust, Series 2007-3, | |
Class APT | |
1.35% | | | 11/20/36 | 4 | | | 697,658 | | | | 698,943 | |
HSI Asset Loan Obligation Trust, | |
Series 2007-2, Class 2A12 | |
6.00% | | | 09/25/37 | | | | 923,584 | | | | 883,594 | |
Impac CMB Trust, Series 2004-4, Class 1A2 | |
0.78% | | | 09/25/34 | 4 | | | 883,243 | | | | 818,547 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2014 / 126
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
IndyMac Index Mortgage Loan Trust, | |
Series 2005-AR25, Class 2A1 | |
4.61% | | | 12/25/35 | 4 | | $ | 988,524 | | | $ | 911,957 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2007-FLX2, Class A1C | |
0.34% | | | 04/25/37 | 4 | | | 2,642,440 | | | | 1,956,240 | |
IndyMac Manufactured Housing Contract, | |
Series 1997-1, Class A3 | |
6.61% | | | 02/25/28 | | | | 410,391 | | | | 421,230 | |
IndyMac Manufactured Housing Contract, | |
Series 1997-1, Class A4 | |
6.75% | | | 02/25/28 | | | | 172,761 | | | | 179,642 | |
IndyMac Manufactured Housing Contract, | |
Series 1998-1, Class A4 | |
6.49% | | | 09/25/28 | | | | 160,585 | | | | 164,139 | |
IndyMac Manufactured Housing Contract, | |
Series 1998-1, Class A5 | |
6.96% | | | 09/25/28 | 4 | | | 387,063 | | | | 409,028 | |
IndyMac Manufactured Housing Contract, | |
Series 1998-2, Class A2 | |
6.17% | | | 08/25/29 | | | | 45,979 | | | | 46,610 | |
IndyMac Manufactured Housing Contract, | |
Series 1998-2, Class A4 | |
6.64% | | | 08/25/29 | 4 | | | 455,210 | | | | 454,262 | |
JPMorgan Mortgage Acquisition Corp., | |
Series 2007-HE1, Class AF6 (STEP) | |
4.57% | | | 03/25/47 | | | | 1,389,925 | | | | 1,083,397 | |
JPMorgan Mortgage Trust, Series 2006-S2, | |
Class 2A2 | |
5.88% | | | 06/25/21 | | | | 867,524 | | | | 871,466 | |
JPMorgan Mortgage Trust, Series 2007-S1, | |
Class 1A2 | |
5.50% | | | 03/25/22 | | | | 636,392 | | | | 638,473 | |
Lehman ABS Manufactured Housing Contract | |
Trust, Series 2001-B, Class A6 | |
6.47% | | | 04/15/40 | 4 | | | 594,880 | | | | 655,922 | |
Lehman XS Trust, Series 2006-13, | |
Class 1A2 | |
0.32% | | | 09/25/36 | 4 | | | 1,133,490 | | | | 955,190 | |
Lehman XS Trust, Series 2006-19, | |
Class A2 | |
0.32% | | | 12/25/36 | 4 | | | 1,084,063 | | | | 893,063 | |
Lehman XS Trust, Series 2006-9, | |
Class A1B | |
0.32% | | | 05/25/46 | 4 | | | 1,134,889 | | | | 942,207 | |
MASTR Asset-Backed Securities Trust, | |
Series 2007-HE1, Class A4 | |
0.44% | | | 05/25/37 | 4 | | | 1,810,500 | | | | 1,198,044 | |
Merrill Lynch Alternative Note Asset, | |
Series 2007-A3, Class A2D | |
0.48% | | | 04/25/37 | 4 | | | 1,696,107 | | | | 336,232 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
Merrill Lynch Mortgage Investors, Inc., | |
Series 2004-HE2, Class A2C | |
1.32% | | | 08/25/35 | 4 | | $ | 709,726 | | | $ | 706,876 | |
Mid-State Trust, Series 11, Class B | |
8.22% | | | 07/15/38 | | | | 14,321 | | | | 15,312 | |
Mid-State Trust, Series 2004-1, Class B | |
8.90% | | | 08/15/37 | | | | 1,032,753 | | | | 1,241,238 | |
Mid-State Trust, Series 2004-1, Class M1 | |
6.50% | | | 08/15/37 | | | | 714,259 | | | | 779,445 | |
Mid-State Trust, Series 2005-1, Class A | |
5.74% | | | 01/15/40 | | | | 278,139 | | | | 302,145 | |
Mid-State Trust, Series 6, Class A3 | |
7.54% | | | 07/01/35 | | | | 412,385 | | | | 442,803 | |
Mid-State Trust, Series 6, Class A4 | |
7.79% | | | 07/01/35 | | | | 33,602 | | | | 36,113 | |
Morgan Stanley Mortgage Loan Trust, | |
Series 2004-7AR, Class 2A4 | |
2.02% | | | 09/25/34 | 4 | | | 903,773 | | | | 876,878 | |
Morgan Stanley Mortgage Loan Trust, | |
Series 2006-7, Class 5A2 | |
5.96% | | | 06/25/36 | 4 | | | 3,123,075 | | | | 1,824,947 | |
Oakwood Mortgage Investors, Inc., | |
Series 1998-A, Class M | |
6.82% | | | 05/15/28 | 4 | | | 733,466 | | | | 793,702 | |
Oakwood Mortgage Investors, Inc., | |
Series 1998-D, Class A | |
6.40% | | | 01/15/29 | | | | 360,206 | | | | 367,321 | |
Oakwood Mortgage Investors, Inc., | |
Series 1999-A, Class A2 | |
5.89% | | | 04/15/29 | | | | 79,416 | | | | 80,083 | |
Oakwood Mortgage Investors, Inc., | |
Series 1999-B, Class A4 | |
6.99% | | | 12/15/26 | | | | 812,124 | | | | 869,712 | |
Oakwood Mortgage Investors, Inc., | |
Series 2001-D, Class A3 | |
5.90% | | | 09/15/22 | 4 | | | 1,306,360 | | | | 1,144,046 | |
Oakwood Mortgage Investors, Inc., | |
Series 2002-A, Class A3 | |
6.03% | | | 05/15/24 | 4 | | | 743,972 | | | | 741,700 | |
Opteum Mortgage Acceptance Corp., | |
Series 2005-5, Class 2A1B | |
5.64% | | | 12/25/35 | 4 | | | 45,990 | | | | 46,186 | |
Origen Manufactured Housing, | |
Series 2005-A, Class M1 | |
5.46% | | | 06/15/36 | 4 | | | 699,463 | | | | 734,760 | |
Park Place Securities, Inc., | |
Series 2004-WWF1, Class M2 | |
1.18% | | | 12/25/34 | 4 | | | 378,101 | | | | 375,616 | |
Park Place Securities, Inc., | |
Series 2005-WCH1, Class M2 | |
0.68% | | | 01/25/36 | 4 | | | 555,528 | | | | 553,567 | |
See accompanying notes to Schedule of Portfolio Investments.
127 / Semi-Annual Report September 2014
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
Residential Accredit Loans, Inc., | |
Series 2005-QA3, Class NB1 | |
2.97% | | | 03/25/35 | 4 | | $ | 1,271,136 | | | $ | 937,628 | |
Residential Asset Securities Corp., | |
Series 2005-KS12, Class A3 | |
0.48% | | | 01/25/36 | 4 | | | 1,100,000 | | | | 1,090,196 | |
SG Mortgage Securities Trust, | |
Series 2007-NC1, Class A2 | |
0.40% | | | 12/25/36 | 2,4 | | | 2,169,491 | | | | 1,378,197 | |
Specialty Underwriting & Residential Finance, | |
Series 2006-AB3, Class A2B | |
0.30% | | | 09/25/37 | 4 | | | 803,867 | | | | 475,384 | |
Structured Adjustable Rate Mortgage Loan | |
Trust, Series 2004-12, Class 2A | |
2.41% | | | 09/25/34 | 4 | | | 1,091,692 | | | | 1,099,855 | |
Structured Asset Investment Loan Trust, | |
Series 2005-4, Class M2 | |
0.82% | | | 05/25/35 | 4 | | | 1,200,000 | | | | 1,165,188 | |
Terwin Mortgage Trust, Series 2004-7HE, | |
Class A1 | |
1.26% | | | 07/25/34 | 2,4 | | | 111,711 | | | | 107,165 | |
UCFC Home Equity Loan, Series 1998-D, | |
Class BF1 | |
8.96% | | | 04/15/30 | 4 | | | 585 | | | | 86 | |
UCFC Manufactured Housing Contract, | |
Series 1997-4, Class A4 | |
7.00% | | | 04/15/29 | 4 | | | 225,259 | | | | 223,502 | |
Vanderbilt Acquisition Loan Trust, | |
Series 2002-1, Class A4 | |
6.57% | | | 05/07/27 | 4 | | | 409,248 | | | | 427,269 | |
Vanderbilt Mortgage Finance, Series 2002-C, | |
Class A5 | |
7.60% | | | 12/07/32 | | | | 1,100,000 | | | | 1,158,586 | |
WaMu Alternative Mortgage Pass-Through | |
Certificates, Series 2007-OA2, Class 2A | |
0.82% | | | 01/25/47 | 4 | | | 1,715,374 | | | | 1,266,878 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2003-MS9, Class 1A | |
7.00% | | | 04/25/33 | | | | 949 | | | | 973 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2005-AR8, Class 2A1A | |
0.44% | | | 07/25/45 | 4 | | | 183,366 | | | | 176,164 | |
Wells Fargo Home Equity Trust, | |
Series 2007-1, Class A3 | |
0.48% | | | 03/25/37 | 4 | | | 1,500,000 | | | | 1,067,761 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 81,863,219 | |
| | | | | | | | | | | | |
U.S. Agency Mortgage-Backed — 6.76% | |
Fannie Mae Pool (TBA) | |
3.50% | | | 10/25/42 | | | | 430,000 | | | | 439,541 | |
Fannie Mae Pool 467225 | |
3.63% | | | 01/01/18 | | | | 910,000 | | | | 964,621 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
Fannie Mae Pool AD0660 | |
4.53% | | | 12/01/19 | | | $ | 905,946 | | | $ | 1,000,183 | |
Fannie Mae Pool FN0003 | |
4.30% | | | 01/01/21 | | | | 434,629 | | | | 477,387 | |
Fannie Mae REMICS, Series 2003-64, | |
Class KS | |
9.44% | | | 07/25/18 | 4 | | | 248,916 | | | | 275,054 | |
Fannie Mae, Series 1993-80, Class S | |
10.69% | | | 05/25/23 | 4 | | | 5,922 | | | | 6,645 | |
Fannie Mae, Series 2000-45, Class SA (IO) | |
7.80% | | | 12/18/30 | 4 | | | 976,561 | | | | 143,517 | |
Fannie Mae, Series 2001-42, Class SB | |
8.50% | | | 09/25/31 | 4 | | | 1,118 | | | | 1,239 | |
Fannie Mae, Series 2003-124, Class TS | |
9.80% | | | 01/25/34 | 4 | | | 13,389 | | | | 16,172 | |
Fannie Mae, Series 2005-92, Class US (IO) | |
5.95% | | | 10/25/25 | 4 | | | 3,455,774 | | | | 446,625 | |
Fannie Mae, Series 2006-125, Class SM (IO) | |
7.05% | | | 01/25/37 | 4 | | | 3,084,762 | | | | 533,675 | |
Fannie Mae, Series 2008-50, Class SA (IO) | |
5.90% | | | 11/25/36 | 4 | | | 3,331,936 | | | | 519,177 | |
Fannie Mae, Series 2010-43, Class KS (IO) | |
6.27% | | | 05/25/40 | 4 | | | 2,786,881 | | | | 480,872 | |
Federal Home Loan Bank (STEP) | |
0.75% | | | 05/26/28 | | | | 1,080,000 | | | | 1,077,994 | |
Freddie Mac REMICS, Series 2990, | |
Class ND | | | | | | | | | | | | |
16.50% | | | 12/15/34 | 4 | | | 308,758 | | | | 380,535 | |
Freddie Mac, Series 1602, Class SN | |
10.09% | | | 10/15/23 | 4 | | | 14,590 | | | | 19,105 | |
Freddie Mac, Series 1673, Class SD | |
14.20% | | | 02/15/24 | 4 | | | 278,542 | | | | 358,378 | |
Freddie Mac, Series 1760, Class ZD | |
1.91% | | | 02/15/24 | 4 | | | 598,658 | | | | 606,400 | |
Freddie Mac, Series 2642, Class BW (IO) | |
5.00% | | | 06/15/23 | | | | 18,589 | | | | 1,763 | |
Freddie Mac, Series 3242, Class SA (IO) | |
6.20% | | | 11/15/36 | 4 | | | 10,432,996 | | | | 1,697,231 | |
Freddie Mac, Series 3247, Class SI (IO) | |
0.15% | | | 08/15/36 | 4 | | | 37,224,193 | | | | 173,539 | |
Freddie Mac, Series 3260, Class AS (IO) | |
6.23% | | | 01/15/37 | 4 | | | 8,023,008 | | | | 1,128,592 | |
Freddie Mac, Series 3289, Class SD (IO) | |
5.97% | | | 03/15/37 | 4 | | | 1,829,541 | | | | 208,286 | |
Freddie Mac, Series KP01, Class X | |
3.27% | | | 01/25/19 | | | | 6,201,466 | | | | 661,861 | |
Ginnie Mae II Pool (TBA) | |
3.00% | | | 10/20/42 | | | | 1,665,000 | | | | 1,676,057 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2014 / 128
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
Ginnie Mae, Series 2001-31, Class SJ | |
27.46% | | | 02/20/31 | 4 | | $ | 35,113 | | | $ | 62,055 | |
Ginnie Mae, Series 2004-8, Class SE | |
13.99% | | | 11/26/23 | 4 | | | 154,520 | | | | 198,933 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 13,555,437 | |
| | | | | | | | | | | | |
Total Mortgage-Backed | |
(Cost $93,594,880) | | | | 101,446,198 | |
| | | | | | | | | | | | |
|
MUTUAL FUNDS — 0.01% | |
Blackrock Build America Bond Fund | |
0.01%10 | | | | | | | 1,084 | | | | 22,786 | |
| | | | | | | | | | | | |
Total Mutual Funds | |
(Cost $19,774) | |
|
U.S. AGENCY SECURITIES — 0.56% | |
U.S. Agency Securities — 0.56% | |
Federal Farm Credit Bank | |
0.18% | | | 04/26/17 | 4 | | | 1,120,000 | | | | 1,121,208 | |
| | | | | | | | | | | | |
Total U.S. Agency Securities | |
(Cost $1,119,928) | |
U.S. TREASURY SECURITIES — 0.20% | |
U.S. Treasury Notes — 0.20% | |
U.S. Treasury Notes - Treasury Inflation | |
Indexed Notes | |
0.50% | | | 04/15/15 | 11 | | | 355,000 | | | | 390,805 | |
| | | | | | | | | | | | |
Total U.S. Treasury Securities | |
(Cost $393,783) | |
|
Total Bonds – 81.92% | |
(Cost $153,521,163) | | | | | | | | | | | 164,160,809 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | | | | Shares | | | Value | |
| | | | | | | | | | |
COMMON STOCK — 0.36% | |
Electric — 0.04% | |
Dynegy, Inc.6 | | | | | 2,920 | | | | 84,271 | |
| | | | | | | | | | |
Energy — 0.32% | |
Mach Gen, LLC Common | |
Units2,7 | | | | | 11,293 | | | | 636,169 | |
| | | | | | | | | | |
Total Common Stock | |
(Cost $1,257,575) | | | | | | | | | 720,440 | |
| | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount/
Shares | | | Value | |
SHORT-TERM INVESTMENTS — 15.45% | |
Commercial Paper — 2.07% | |
Macquarie Bank Ltd. (Australia) | |
0.23%12 | | | 11/24/14 | 2,3 | | $ | 2,080,000 | | | $ | 2,079,458 | |
RBS Holdings USA, Inc. | |
0.19%12 | | | 10/27/14 | | | | 2,080,000 | | | | 2,079,739 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 4,159,197 | |
| | | | | | | | | | | | |
Money Market Funds — 2.00% | |
Dreyfus Cash Advantage Fund | |
0.01%10 | | | | | | | 2,005,000 | | | | 2,005,000 | |
Morgan Stanley Institutional Fund | |
0.04%10 | | | | | | | 2,005,000 | | | | 2,005,000 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 4,010,000 | |
| | | | | | | | | | | | |
U.S. Agency Discount Notes — 11.37% | |
Fannie Mae | |
0.07%12 | | | 11/12/14 | | | | 3,680,000 | | | | 3,679,928 | |
Federal Home Loan Bank | |
0.06%12 | | | 11/14/14 | | | | 5,245,000 | | | | 5,244,892 | |
0.08%12 | | | 11/12/14 | | | | 1,245,000 | | | | 1,244,976 | |
0.08%12 | | | 03/06/15 | | | | 3,400,000 | | | | 3,399,704 | |
Freddie Mac | | | | | | | | | | | | |
0.06%12 | | | 03/23/15 | | | | 2,495,000 | | | | 2,494,760 | |
0.06%12 | | | 11/24/14 | | | | 6,720,000 | | | | 6,719,970 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 22,784,230 | |
| | | | | | | | | | | | |
U.S. Treasury Bills — 0.01% | |
U.S. Treasury Bills | |
0.02%12 | | | 10/16/14 | 13 | | | 10,000 | | | | 10,000 | |
0.02%12 | | | 10/30/14 | 13 | | | 3,000 | | | | 3,000 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 13,000 | |
| | | | | | | | | | | | |
Total Short-Term Investments | |
(Cost $30,963,670) | | | | 30,966,427 | |
| | | | | | | | | | | | |
Total Investments – 97.73% | |
(Cost $185,742,408)1 | | | | 195,847,676 | |
| | | | | | | | | | | | |
Cash and Other Assets, Less | |
Liabilities – 2.27% | | | | 4,549,586 | |
| | | | | | | | | | | | |
| |
Net Assets – 100.00% | | | $ | 200,397,262 | |
| | | | | | | | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
129 / Semi-Annual Report September 2014
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | |
| Contracts | | Unrealized
Appreciation |
| | | | | | |
FUTURES CONTRACTS: SHORT POSITIONS | | | | |
3 | | U.S. Treasury Five Year Note | | | | |
| | Expiration December 2014 | | | $1,150 | |
6 | | U.S. Treasury Ten Year Note | | | | |
| | Expiration December 2014 | | | 6,192 | |
| | | | | | |
| | |
| | Net unrealized appreciation | | | $7,342 | |
| | | | | | |
Notes:
| 1 | Cost for federal income tax purposes is $185,747,169 and net unrealized appreciation/(depreciation) consists of: |
| | | | |
Gross unrealized appreciation | | $ | 10,421,770 | |
Gross unrealized (depreciation) | | | (321,263 | ) |
| | | | |
Net unrealized appreciation | | $ | 10,100,507 | |
| | | | |
| 2 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| 3 | U.S. dollar-denominated security issued by foreign-domiciled entity. |
| 4 | Floating rate security. The rate disclosed was in effect at September 30, 2014. |
| 5 | Private placements under procedures approved by the Fund’s Board of Trustees. |
| 6 | Non-income producing security. |
| 7 | Illiquid security as determined under procedures approved by the Funds’ Board of Trustees. The aggregate value of illiquid securities is $636,569, which is 0.32% of total net assets. |
| 8 | Worthless due to company bankruptcy filing. |
| 9 | Security is currently in default with regard to scheduled interest or principal payments. |
| 10 | Represents the current yield as of September 30, 2014. |
| 11 | Inflation protected security. Principal amount reflects original security face amount. |
| 12 | Represents annualized yield at date of purchase. |
| 13 | Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $13,000. |
| † | Fair valued security. The aggregate value of fair valued securities is $2,669,123, which is 1.33% of total net assets, which have not been valued utilizing an independent quote and were valued pursuant to guidelines established by the Board of Trustees. This figure represents securities that are priced using a benchmark pricing system and securities that have been deemed permanently stale, see Notes to Financial Statements. |
| * | Securities with a call or reset feature will have an effective maturity date sooner than the stated maturity. |
| ** | Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date sooner than the stated maturity date. |
Note: For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for more meaningful presentation for investors.
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2014 / 130
AlphaTrak 500 Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
BONDS – 68.63% | |
ASSET-BACKED SECURITIES — 12.79%** | |
Access Group, Inc., Series 2005-2, Class A3 | |
0.42% | | 11/22/242 | | $ | 33,232 | | | $ | 33,066 | |
Ally Auto Receivables Trust, Series 2012-5, | |
Class A3 | |
0.62% | | 03/15/17 | | | 16,498 | | | | 16,520 | |
Bank of America Credit Card Trust, | |
Series 2007-A1, Class A1 | |
5.17% | | 06/15/19 | | | 20,000 | | | | 21,812 | |
Bayview Commercial Asset Trust, | |
Series 2004-3, Class A1 | |
0.52% | | 01/25/352,3 | | | 34,277 | | | | 31,878 | |
Brazos Higher Education Authority, Inc., | |
Series 2004-I, Class A2 | |
0.43% | | 06/27/222 | | | 898 | | | | 898 | |
Brazos Higher Education Authority, Inc., | |
Series 2005-2, Class A10 | |
0.35% | | 12/26/192 | | | 17,886 | | | | 17,840 | |
Brazos Higher Education Authority, Inc., | |
Series 2010-1, Class A2 | |
1.44% | | 02/25/352 | | | 15,000 | | | | 15,465 | |
Brazos Higher Education Authority, Inc., | |
Series 2011-2, Class A3 | |
1.23% | | 10/27/362 | | | 15,000 | | | | 15,241 | |
College Loan Corp. Trust, Series 2007-1, | |
Class A3 | |
0.33% | | 04/25/292 | | | 20,000 | | | | 19,575 | |
Collegiate Funding Services Education Loan | |
Trust, Series 2004-A, Class A3 | |
0.44% | | 09/28/262 | | | 11,108 | | | | 11,081 | |
Educational Funding of the South, Inc., | |
Series 2011-1, Class A2 | |
0.88% | | 04/25/352 | | | 10,000 | | | | 10,034 | |
Educational Funding of the South, Inc., | |
Series 2012-1, Class A | |
1.20% | | 03/25/362 | | | 12,787 | | | | 12,993 | |
GCO Education Loan Funding Trust, | |
Series 2007-1A, Class A5L | |
0.30% | | 05/25/232,3 | | | 18,785 | | | | 18,650 | |
Goal Capital Funding Trust, Series 2006-1, | |
Class A3 | |
0.36% | | 11/25/262 | | | 16,608 | | | | 16,470 | |
Iowa Student Loan Liquidity Corp., | |
Series 2011-1, Class A | |
1.48% | | 06/25/422 | | | 15,668 | | | | 16,125 | |
Nelnet Student Loan Trust, Series 2007-1, | |
Class A1 | |
0.24% | | 11/27/182 | | | 3,010 | | | | 3,009 | |
Nelnet Student Loan Trust, Series 2008-4, | |
Class A4 | |
1.71% | | 04/25/242 | | | 10,000 | | | | 10,267 | |
Nelnet Student Loan Trust, Series 2012-5A, | |
Class A | |
0.76% | | 10/27/362,3 | | | 23,955 | | | | 23,897 | |
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | |
North Carolina State Education Authority, | |
Series 2011-1, Class A3 | |
1.14% | | 10/25/412 | | $ | 15,000 | | | $ | 15,242 | |
Northstar Education Finance, Inc. | |
0.98% | | 01/29/462 | | | 10,000 | | | | 9,978 | |
Scholar Funding Trust, Series 2011-A, | |
Class A | |
1.14% | | 10/28/432,3 | | | 8,897 | | | | 8,947 | |
SLC Student Loan Trust, Series 2006-2, | |
Class A5 | |
0.33% | | 09/15/262 | | | 15,000 | | | | 14,759 | |
SLM Student Loan Trust, Series 2003-12, | |
Class A5 | |
0.51% | | 09/15/222,3 | | | 13,789 | | | | 13,793 | |
SLM Student Loan Trust, Series 2004-5A, | |
Class A5 | |
0.76% | | 10/25/232,3 | | | 15,000 | | | | 15,083 | |
SLM Student Loan Trust, Series 2004-7, | |
Class A5 | |
0.40% | | 01/27/202 | | | 13,482 | | | | 13,459 | |
SLM Student Loan Trust, Series 2005-10, | |
Class A4 | |
0.34% | | 10/25/192 | | | 10,025 | | | | 10,013 | |
SLM Student Loan Trust, Series 2005-2, | |
Class A5 | |
0.32% | | 04/27/202 | | | 12,007 | | | | 11,965 | |
SLM Student Loan Trust, Series 2006-2, | |
Class A4 | |
0.32% | | 10/25/222 | | | 11,831 | | | | 11,825 | |
SLM Student Loan Trust, Series 2007-7, | |
Class A3 | |
0.47% | | 04/25/172 | | | 15,000 | | | | 14,993 | |
SLM Student Loan Trust, Series 2008-5, | |
Class A4 | |
1.93% | | 07/25/232 | | | 15,000 | | | | 15,669 | |
SLM Student Loan Trust, Series 2008-6, | |
Class A3 | |
0.98% | | 01/25/192 | | | 15,000 | | | | 15,131 | |
SLM Student Loan Trust, Series 2008-8, | |
Class A4 | |
1.73% | | 04/25/232 | | | 15,000 | | | | 15,659 | |
SLM Student Loan Trust, Series 2008-9, | |
Class A | |
1.73% | | 04/25/232 | | | 15,674 | | | | 16,260 | |
SLM Student Loan Trust, Series 2010-1, | |
Class A | |
0.56% | | 03/25/252 | | | 16,578 | | | | 16,604 | |
SLM Student Loan Trust, Series 2012-1, | |
Class A2 | |
0.60% | | 11/25/202 | | | 16,232 | | | | 16,257 | |
SLM Student Loan Trust, Series 2012-2, | |
Class A | |
0.86% | | 01/25/292 | | | 32,226 | | | | 32,486 | |
See accompanying notes to Schedule of Portfolio Investments.
131 / Semi-Annual Report September 2014
AlphaTrak 500 Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | |
SLM Student Loan Trust, Series 2013-2, | |
Class A | |
0.60% | | 09/25/262 | | $ | 25,685 | | | $ | 25,680 | |
SLM Student Loan Trust, Series 2013-3, | |
Class A2 | |
0.46% | | 05/26/202 | | | 20,000 | | | | 19,998 | |
SLM Student Loan Trust, Series 2013-4, | |
Class A | |
0.70% | | 06/25/272 | | | 17,598 | | | | 17,638 | |
SLM Student Loan Trust, Series 2013-6, | |
Class A2 | |
0.66% | | 02/25/212 | | | 15,000 | | | | 15,047 | |
SLM Student Loan Trust, Series 2014-1, | |
Class A3 | |
0.76% | | 02/26/292 | | | 20,000 | | | | 20,046 | |
South Carolina Student Loan Corp., Series A2 | |
0.35% | | 12/01/202 | | | 4,961 | | | | 4,936 | |
| | | | | | | | | | |
|
Total Asset-Backed Securities | |
(Cost $659,493) | | | | 666,289 | |
| | | | | | | | | | |
|
CORPORATES — 15.63%* | |
Banking — 0.48% | |
Credit Suisse/New York (YCD) (Switzerland) | |
0.56% | | 08/24/152,4 | | | 25,000 | | | | 24,994 | |
| | | | | | | | | | |
Communications — 1.95% | |
AT&T, Inc. | |
2.50% | | 08/15/15 | | | 20,000 | | | | 20,344 | |
Qwest Corp. | | | | | | | | | | |
7.50% | | 10/01/14 | | | 30,000 | | | | 30,037 | |
Verizon Communications, Inc. | |
1.76% | | 09/15/162 | | | 50,000 | | | | 51,315 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 101,696 | |
| | | | | | | | | | |
Electric — 1.46% | |
NextEra Energy Capital Holdings, Inc. | |
1.34% | | 09/01/15 | | | 35,000 | | | | 35,228 | |
Oncor Electric Delivery Co. LLC | |
6.80% | | 09/01/18 | | | 15,000 | | | | 17,600 | |
W3A Funding Corp. | |
8.09% | | 01/02/17 | | | 23,230 | | | | 23,240 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 76,068 | |
| | | | | | | | | | |
Energy — 1.18% | |
Florida Gas Transmission Co. LLC | |
4.00% | | 07/15/153 | | | 60,000 | | | | 61,483 | |
| | | | | | | | | | |
Finance — 4.35% | |
Chase Capital II, Series B | |
0.74% | | 02/01/272 | | | 100,000 | | | | 88,250 | |
General Electric Capital Corp. (MTN) | |
0.62% | | 05/05/262 | | | 30,000 | | | | 28,717 | |
0.71% | | 08/15/362 | | | 75,000 | | | | 65,026 | |
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Finance (continued) | |
Woodbourne Capital Trust I | |
2.66% | | 04/29/492,3,5 | | $ | 80,000 | | | $ | 44,800 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 226,793 | |
| | | | | | | | | | |
Health Care — 0.48% | |
Providence Health & Services | |
Obligated Group | |
1.18% | | 10/01/172 | | | 25,000 | | | | 25,128 | |
| | | | | | | | | | |
Industrials — 0.68% | |
Heathrow Funding Ltd. (United Kingdom) | |
2.50% | | 06/25/153,4 | | | 35,000 | | | | 35,405 | |
| | | | | | | | | | |
Real Estate Investment Trust (REIT) — 3.33% | |
Brandywine Operating Partnership LP | |
7.50% | | 05/15/15 | | | 30,000 | | | | 31,192 | |
HCP, Inc. | |
6.00% | | 01/30/17 | | | 30,000 | | | | 33,153 | |
Mack-Cali Realty LP | |
2.50% | | 12/15/17 | | | 25,000 | | | | 25,351 | |
Nationwide Health Properties, Inc. | |
6.00% | | 05/20/15 | | | 30,000 | | | | 30,975 | |
Realty Income Corp. | |
5.50% | | 11/15/15 | | | 25,000 | | | | 26,274 | |
UDR, Inc. (MTN) | |
5.25% | | 01/15/16 | | | 25,000 | | | | 26,347 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 173,292 | |
| | | | | | | | | | |
|
Transportation — 1.72% | |
Continental Airlines Pass-Through Trust, | |
Series 1997, Class 4A | |
6.90% | | 01/02/18 | | | 83,886 | | | | 89,444 | |
| | | | | | | | | | |
|
Total Corporates | |
(Cost $809,696) | | | | 814,303 | |
| | | | | | | | | | |
|
MORTGAGE-BACKED — 37.62%** | |
Commercial Mortgage-Backed — 7.89% | |
Banc of America Merrill Lynch Commercial | |
Mortgage, Inc., Series 2006-5, Class A2 | |
5.32% | | 09/10/47 | | | 18,481 | | | | 18,518 | |
Bear Stearns Commercial Mortgage | |
Securities Trust, Series 2004-PWR4, | |
Class A3 | | | | | | | | | | |
5.47% | | 06/11/412 | | | 1,120 | | | | 1,120 | |
Credit Suisse First Boston Commercial | |
Mortgage Trust, Series 2005-C1, Class A4 | |
5.01% | | 02/15/382 | | | 20,812 | | | | 20,966 | |
JPMorgan Chase Commercial Mortgage | |
Securities Corp., Series 2005-LDP2, | |
Class A3A | |
4.68% | | 07/15/42 | | | 9,823 | | | | 9,831 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2014 / 132
AlphaTrak 500 Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Commercial Mortgage-Backed (continued) | |
JPMorgan Chase Commercial Mortgage | |
Securities Corp., Series 2005-LDP5, | |
Class A4 | |
5.40% | | 12/15/442 | | $ | 30,000 | | | $ | 30,942 | |
JPMorgan Chase Commercial Mortgage | |
Securities Corp., Series 2005-LPD4, | |
Class A4 | |
4.92% | | 10/15/422 | | | 23,244 | | | | 23,823 | |
JPMorgan Chase Commercial Mortgage | |
Securities Corp., Series 2007-LD11, | |
Class ASB | |
5.98% | | 06/15/492 | | | 38,222 | | | | 40,210 | |
JPMorgan Chase Commercial Mortgage | |
Securities Corp., Series 2007-LD12, | |
Class ASB | |
5.83% | | 02/15/512 | | | 18,099 | | | | 19,075 | |
JPMorgan Chase Commercial Mortgage | |
Securities Trust, Series 2012-C6, Class A1 | |
1.03% | | 05/15/45 | | | 26,877 | | | | 26,935 | |
LB-UBS Commercial Mortgage Trust, Series | |
2004-C1, Class B | |
4.81% | | 01/15/362 | | | 25,000 | | | | 26,275 | |
LB-UBS Commercial Mortgage Trust, Series | |
2006-C7, Class A2 | |
5.30% | | 11/15/38 | | | 28,158 | | | | 28,950 | |
ML-CFC Commercial Mortgage Trust, Series | |
2006-4, Class A1A | |
5.17% | | 12/12/49 | | | 22,226 | | | | 23,751 | |
Morgan Stanley Capital I Trust, | |
Series 2007-IQ14, Class A2FX | |
5.61% | | 04/15/49 | | | 20,559 | | | | 20,661 | |
Wachovia Bank Commercial Mortgage Trust, | |
Series 2005-C18, Class A4 | |
4.94% | | 04/15/42 | | | 60,000 | | | | 60,386 | |
Wachovia Bank Commercial Mortgage Trust, | |
Series 2005-C21, Class A4 | |
5.41% | | 10/15/442 | | | 33,096 | | | | 34,112 | |
Wachovia Bank Commercial Mortgage Trust, | |
Series 2007-C32, Class APB | |
5.93% | | 06/15/492 | | | 25,258 | | | | 25,347 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 410,902 | |
| | | | | | | | | | |
Non-Agency Mortgage-Backed — 17.94% | |
Argent Securities, Inc., Series 2005-W2, | |
Class A2B1 | |
0.36% | | 10/25/352 | | | 8,319 | | | | 8,287 | |
Asset-Backed Securities Corp. Home Equity, | |
Series 2005-HE6, Class M2 | |
0.66% | | 07/25/352 | | | 23,675 | | | | 23,502 | |
Banc of America Alternative Loan Trust, | |
Series 2003-4, Class 1A5 | |
5.50% | | 06/25/33 | | | 37,250 | | | | 38,572 | |
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
Banc of America Alternative Loan Trust, | |
Series 2003-9, Class 1CB5 | |
5.50% | | 11/25/33 | | $ | 36,408 | | | $ | 37,444 | |
Banc of America Mortgage Securities, Inc., | |
Series 2003-A, Class 2A2 | |
3.03% | | 02/25/332 | | | 5,155 | | | | 5,142 | |
BCAP LLC Trust, Series 2011-RR3, | |
Class 1A5 | |
2.71% | | 05/27/372,3 | | | 35,374 | | | | 35,301 | |
Centex Home Equity Loan Trust, | |
Series 2002-C, Class AF4 (STEP) | |
4.98% | | 06/25/31 | | | 29,468 | | | | 29,692 | |
Commercial Mortgage Trust, | |
Series 2005-GG5, Class AAB | |
5.19% | | 04/10/372 | | | 8,473 | | | | 8,486 | |
Conseco Finance Securitizations Corp., | |
Series 2000-E, Class M1 | |
8.13% | | 08/15/312 | | | 3,229 | | | | 3,244 | |
Conseco Financial Corp., Series 1997-4, | |
Class A5 | |
6.88% | | 02/15/29 | | | 15,384 | | | | 15,919 | |
Countrywide Alternative Loan Trust, | |
Series 2005-27, Class 3A2 | |
1.22% | | 08/25/352 | | | 52,140 | | | | 36,003 | |
Countrywide Home Loan Mortgage | |
Pass-Through Trust, Series 2005-9, | |
Class 1A1 | |
0.46% | | 05/25/352 | | | 40,226 | | | | 35,872 | |
Credit Suisse First Boston Mortgage | |
Securities Corp., Series 1997-2, | |
Class A | |
7.50% | | 06/25/203 | | | 3,419 | | | | 3,442 | |
Credit-Based Asset Servicing and | |
Securitization LLC, Series 2003-CB5, | |
Class M1 | |
1.18% | | 11/25/332 | | | 28,603 | | | | 24,972 | |
Downey Savings & Loan Association | |
Mortgage Loan Trust, Series 2004-AR1, | |
Class A2A | |
0.97% | | 09/19/442 | | | 34,797 | | | | 32,598 | |
Downey Savings & Loan Association | |
Mortgage Loan Trust, Series 2004-AR3, | |
Class 2A2A | |
0.52% | | 07/19/442 | | | 9,969 | | | | 9,748 | |
Downey Savings & Loan Association | |
Mortgage Loan Trust, Series 2006-AR2, | |
Class 2A1A | |
0.35% | | 10/19/362 | | | 41,234 | | | | 34,251 | |
Green Tree Home Improvement Loan Trust, | |
Series 1995-F, Class B2 | |
7.10% | | 01/15/21 | | | 10,581 | | | | 10,588 | |
GSAMP Trust, Series 2005-HE4, Class M1 | |
0.60% | | 07/25/452 | | | 22,120 | | | | 22,242 | |
See accompanying notes to Schedule of Portfolio Investments.
133 / Semi-Annual Report September 2014
AlphaTrak 500 Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
Harborview Mortgage Loan Trust, | |
Series 2005-4, Class 2A | |
2.72% | | 07/19/352 | | $ | 33,035 | | | $ | 30,898 | |
Home Equity Loan Trust, Series 2006-1, | |
Class A1 | |
0.31% | | 01/20/362 | | | 10,652 | | | | 10,613 | |
Home Equity Loan Trust, Series 2007-3, | |
Class APT | |
1.35% | | 11/20/362 | | | 21,509 | | | | 21,549 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2004-AR5, Class 2A1A | |
1.02% | | 08/25/342 | | | 18,496 | | | | 16,639 | |
IndyMac Index Mortgage Loan Trust, | |
Series 2007-FLX1, Class A2 | |
0.34% | | 02/25/372 | | | 34,419 | | | | 32,526 | |
JPMorgan Mortgage Acquisition Corp., | |
Series 2005-OPT1, Class M1 | |
0.60% | | 06/25/352 | | | 25,955 | | | | 25,805 | |
Lehman XS Trust, Series 2005-5N, | |
Class 3A1A | |
0.46% | | 11/25/352 | | | 40,876 | | | | 36,777 | |
MASTR Asset-Backed Securities Trust, | |
Series 2005-HE1, Class M2 | |
0.83% | | 05/25/352 | | | 15,135 | | | | 15,155 | |
Morgan Stanley Capital I Trust, | |
Series 2005-NC2, Class M2 | |
0.78% | | 03/25/352 | | | 31,024 | | | | 30,741 | |
Morgan Stanley Capital, Inc., | |
Series 2005-HE6, Class A2C | |
0.48% | | 11/25/352 | | | 23,109 | | | | 22,630 | |
New Century Home Equity Loan Trust, | |
Series 2005-3, Class M2 | |
0.64% | | 07/25/352 | | | 40,000 | | | | 38,411 | |
Park Place Securities, Inc., | | | | | | | | | | |
Series 2004-MCW1, Class M1 | |
1.09% | | 10/25/342 | | | 21,475 | | | | 21,413 | |
Park Place Securities, Inc., | |
Series 2005-WHQ2, Class A1B | |
0.42% | | 05/25/352 | | | 18,304 | | | | 18,277 | |
Residential Asset Mortgage Products, Inc., | |
Series 2003-RZ3, Class A6 (STEP) | |
3.90% | | 03/25/33 | | | 18,968 | | | | 19,103 | |
Residential Asset Mortgage Products, Inc., | |
Series 2004-SL1, Class A2 | |
8.50% | | 11/25/31† | | | 7,996 | | | | 3,198 | |
Residential Asset Securities Corp., | |
Series 2005-KS12, Class A2 | |
0.40% | | 01/25/362 | | | 265 | | | | 265 | |
Residential Funding Mortgage Securities | |
Trust, Series 1999-HI1, Class A6 (STEP) | |
7.58% | | 09/25/29 | | | 20,747 | | | | 20,753 | |
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
Structured Asset Securities Corp., | |
Series 2005-WF4, Class A4 | |
0.52% | | 11/25/352 | | $ | 12,561 | | | $ | 12,562 | |
Terwin Mortgage Trust, Series 2004-13AL, | |
Class 2PX (IO) | |
0.34% | | 08/25/343,5 | | | 6,866,630 | | | | 99,758 | |
WaMu Mortgage Pass-Through Certificates, | |
Series 2002-AR6, Class A | |
1.52% | | 06/25/422 | | | 9,498 | | | | 9,257 | |
Wells Fargo Mortgage-Backed Securities | |
Trust, Series 2006-AR14, Class 2A1 | |
2.63% | | 10/25/362 | | | 35,228 | | | | 32,705 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 934,340 | |
| | | | | | | | | | |
U.S. Agency Mortgage-Backed — 11.79% | |
Fannie Mae Pool (TBA) | |
4.50% | | 07/01/19 | | | 26,147 | | | | 28,533 | |
Fannie Mae Pool 646884 | |
1.79% | | 05/01/322 | | | 65,507 | | | | 65,770 | |
Fannie Mae Pool 802665 | |
2.11% | | 12/01/342 | | | 3,831 | | | | 3,849 | |
Fannie Mae Pool AL0851 | |
6.00% | | 10/01/40 | | | 14,114 | | | | 16,002 | |
Fannie Mae REMICS, Series 2003-11, | |
Class FA | |
1.16% | | 09/25/322 | | | 21,029 | | | | 21,689 | |
Fannie Mae Whole Loan, Series 2003-W6, | |
Class F | |
0.50% | | 09/25/422 | | | 82,524 | | | | 82,202 | |
Fannie Mae, Series 1997-91, Class SL (IO) | |
7.50% | | 11/25/232 | | | 112,250 | | | | 20,270 | |
Fannie Mae, Series 2004-33, Class MW | |
4.50% | | 01/25/30 | | | 13,369 | | | | 13,529 | |
Fannie Mae, Series 2008-47, Class PF | |
0.66% | | 06/25/382 | | | 17,205 | | | | 17,302 | |
Fannie Mae, Series 2010-109, Class PF | |
0.56% | | 10/25/402 | | | 21,233 | | | | 21,369 | |
Fannie Mae, Series 2012-M2, Class A1 | |
1.82% | | 02/25/22 | | | 28,377 | | | | 28,241 | |
Fannie Mae, Series G-36, Class ZB | |
7.00% | | 11/25/21 | | | 1,461 | | | | 1,646 | |
Freddie Mac REMICS, Series 2581, | |
Class F | |
0.60% | | 12/15/322 | | | 5,764 | | | | 5,767 | |
Freddie Mac REMICS, Series 2591, | |
Class EF | |
0.65% | | 03/15/322 | | | 30,538 | | | | 30,675 | |
Freddie Mac REMICS, Series 2684, | |
Class F | |
1.05% | | 01/15/332 | | | 22,929 | | | | 23,476 | |
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2014 / 134
AlphaTrak 500 Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
| U.S. Agency Mortgage-Backed (continued) | |
| Freddie Mac REMICS, Series 2835, | |
| Class LE | |
0.50% | | 11/15/302 | | $ | 27,184 | | | $ | 27,243 | |
| Freddie Mac REMICS, Series 3831, | |
| Class PV | |
5.00% | | 05/15/25 | | | 57,762 | | | | 62,922 | |
| Freddie Mac Strips, Series 263, Class F5 | |
0.65% | | 06/15/422 | | | 48,805 | | | | 48,955 | |
| Freddie Mac, Series 3501, Class JA | |
4.00% | | 04/15/37 | | | 32,455 | | | | 33,725 | |
| Freddie Mac, Series KF02, Class A3 | |
0.78% | | 07/25/20 | | | 25,382 | | | | 25,473 | |
| Freddie Mac-Ginnie Mae, Series 2, Class L | |
8.00% | | 11/25/22 | | | 4,961 | | | | 5,288 | |
| NCUA Guaranteed Notes, Series 2011-R5, | |
| Class 1A | |
0.54% | | 04/06/202 | | | 30,485 | | | | 30,541 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 614,467 | |
| | | | | | | | | | |
|
Total Mortgage-Backed | |
(Cost $1,950,096) | | | | 1,959,709 | |
| | | | | | | | | | |
|
MUNICIPAL BONDS — 0.96%* | |
California — 0.96% | |
| State of California, Taxable, Various Purpose | |
4.85% | | 10/01/14 | | | 50,000 | | | | 50,000 | |
| | | | | | | | | | |
|
Total Municipal Bonds | |
| (Cost $50,000) | |
U.S. AGENCY SECURITIES — 1.63% | |
| Federal Farm Credit Bank | |
0.17% | | 09/14/162 | | | 25,000 | | | | 25,006 | |
0.18% | | 04/26/172 | | | 25,000 | | | | 25,027 | |
0.20% | | 04/17/172 | | | 35,000 | | | | 35,056 | |
| | | |
| | | | | | | | | | |
Total U.S. Agency Securities | |
(Cost $84,994) | | | | | | | | | 85,089 | |
| | | | | | | | | | |
|
Total Bonds – 68.63% | |
(Cost $3,554,279) | | | | 3,575,390 | |
| | | | | | | | | | |
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount/
Shares | | | Value | |
SHORT-TERM INVESTMENTS — 30.93% | |
Money Market Funds — 2.00% | |
| Dreyfus Cash Advantage Fund | |
0.01%6 | | | | $ | 52,000 | | | $ | 52,000 | |
| Morgan Stanley Institutional Fund | |
0.04%6 | | | | | 52,000 | | | | 52,000 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 104,000 | |
| | | | | | | | | | |
U.S. Agency Discount Notes — 27.36% | |
| Fannie Mae | |
0.06%7 | | 11/03/14 | | | 50,000 | | | | 49,999 | |
0.06%7 | | 12/15/14 | | | 140,000 | | | | 139,999 | |
0.07%7 | | 11/05/14 | | | 45,000 | | | | 44,998 | |
0.08%7 | | 10/06/14 | | | 45,000 | | | | 45,000 | |
0.08%7 | | 10/15/14 | | | 100,000 | | | | 99,999 | |
0.08%7 | | 10/14/14 | | | 35,000 | | | | 35,000 | |
| Federal Home Loan Bank | |
0.06%7 | | 11/21/14 | | | 315,000 | | | | 314,999 | |
Freddie Mac | | | | | | | | | | |
0.06%7 | | 10/14/14 | | | 60,000 | | | | 59,999 | |
0.06%7 | | 11/24/14 | | | 195,000 | | | | 194,999 | |
0.08%7 | | 10/22/14 | | | 105,000 | | | | 104,998 | |
0.08%7 | | 10/06/14 | | | 45,000 | | | | 45,000 | |
0.09%7 | | 01/20/15 | | | 90,000 | | | | 89,996 | |
| Freddie Mac, Series RB | |
0.08%7 | | 10/16/14 | | | 80,000 | | | | 79,999 | |
0.10%7 | | 11/12/14 | | | 120,000 | | | | 119,998 | |
| | | | | | | | | | |
| | | |
| | | | | | | | | 1,424,983 | |
| | | | | | | | | | |
U.S. Treasury Bills — 1.57% | |
| U.S. Treasury Bills | |
0.03%7 | | 11/06/148 | | | 82,000 | | | | 81,998 | |
| | | | | | | | | | |
|
Total Short-Term Investments | |
(Cost $1,610,871) | | | | | | | | | 1,610,981 | |
| | | | | | | | | | |
|
| Total Investments – 99.56% | |
(Cost $5,165,150)1 | | | | | | | | | 5,186,371 | |
| | | | | | | | | | |
|
Cash and Other Assets, Less | |
Liabilities – 0.44% | | | | 23,032 | |
| | | | | | | | | | |
| |
Net Assets – 100.00% | | | $ | 5,209,403 | |
| | | | | | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
135 / Semi-Annual Report September 2014
AlphaTrak 500 Fund
Schedule of Portfolio Investments
September 30, 2014 (Unaudited)
| | | | |
| Contracts | | | | Unrealized
(Depreciation) |
FUTURES CONTRACTS: LONG POSITIONS |
| | | | |
16 | | S&P 500 E Mini Index, | | |
| | Expiration December 2014 | | $(19,014) |
| | Net unrealized (depreciation) | | $(19,014) |
| | | | | | | | |
| | Expiration
Date | | Notional
Amount
(000’s) | | (Depreciation) | | Value |
SWAPS: TOTAL RETURN |
The Fund pays a floating rate based on 1-month USD LIBOR plus 34 basis points and the Fund receives from the counterparty the price return on the Standard & Poor’s 500 Total Return Index. Counterparty: Barclays, Inc. |
| | 10/03/14 | | $3,643 | | $(51,082) | | $(51,082) |
| | | | |
| | | | $3,643 | | $(51,082) | | $(51,082) |
Notes:
| 1 | Cost for federal income tax purposes is $5,165,906 and net unrealized appreciation/ (depreciation) consists of: |
| | | | |
Gross unrealized appreciation | | $ | 80,318 | |
Gross unrealized (depreciation) | | | (59,853 | ) |
| | | | |
Net unrealized appreciation | | $ | 20,465 | |
| | | | |
| 2 | Floating rate security. The rate disclosed was in effect at September 30, 2014. |
| 3 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| 4 | U.S. dollar-denominated security issued by foreign-domiciled entity. |
| 5 | Illiquid security as determined under procedures approved by the Funds’ Board of Trustees. The aggregate value of illiquid securities is $144,558, which is 2.77% of total net assets. |
| 6 | Represents the current yield as of September 30, 2014. |
| 7 | Represents annualized yield at date of purchase. |
| 8 | Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $81,998. |
| † | Fair valued security. The aggregate value of fair valued securities is $3,198, which is 0.06% of total net assets, which have not been valued utilizing an independent quote and were valued pursuant to guidelines established by the Board of Trustees. This figure represents securities that are priced using a benchmark pricing system and securities that have been deemed permanently stale, see Notes to Financial Statements. |
| * | Securities with a call or reset feature will have an effective maturity date sooner than the stated maturity. |
| ** | Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date sooner than the stated maturity date. |
Note: For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for more meaningful presentation for investors.
(IO): Interest only
(LIBOR): London InterBank Offer Rate
(MTN): Medium-term note
(STEP): Step coupon bond
(TBA): To be announced
(USD): U.S. dollar
(YCD): Yankee Certificate of Deposit
See accompanying notes to Schedule of Portfolio Investments.
Semi-Annual Report September 2014 / 136
Metropolitan West Funds
Statements of Assets and Liabilities
September 30, 2014 (Unaudited)
| | | | | | | | | | | | |
| ASSETS: | | ULTRA SHORT
BOND FUND | | LOW DURATION
BOND FUND | | |
| | | |
Investments, at value (Cost $187,430,963, $3,478,072,594, $648,127,385, $37,267,856,419, $1,735,823,078, $962,984,970, $130,546,578, $185,742,408, and $5,165,150, respectively) (Note 2) | | | $ | 188,319,406 | | | |
$ |
3,512,449,843 |
| | |
Cash and cash equivalents (Note 2) | | | | 1,093,020 | | | | | 87,638,012 | | | |
Cash on deposit with brokers for collateral on swaps (Note 3) | | | | – | | | | | – | | | |
Foreign currency, at value (Cost $0, $398,646, $0, $6,821,165, $0, $0,$0, $0, and $0, respectively) (Note 2) | | | | – | | | | | – | | | |
Premiums paid for swap contracts | | | | – | | | | | – | | | |
Unrealized appreciation on swap contracts | | | | – | | | | | 110,174 | | | |
Dividends and interest receivable | | | | 377,017 | | | | | 9,848,829 | | | |
Due from Adviser (Note 6) | | | | 19,254 | | | | | – | | | |
Receivable for securities sold | | | | 96 | | | | | – | | | |
Receivables from Lehman Brothers, at value (Cost $0, $0, $0, $0, $52,809, $0, $0, $100,336, and $0, respectively) (Note 3) | | | | – | | | | | – | | | |
Receivable for capital stock sold | | | | 442,898 | | | | | 40,219,771 | | | |
Receivable for daily variation margin on futures contracts (Note 3) | | | | – | | | | | 31,750 | | | |
Receivable for daily variation margin on interest rate swaps (Note 3) | | | | – | | | | | – | | | |
Other assets | | | | 28,421 | | | | | 61,196 | | | |
| | | | | | | | | | | | |
Total assets | | | | 190,280,112 | | | | | 3,650,359,575 | | | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | |
Unrealized depreciation on swap contracts | | | | – | | | | | – | | | |
Premiums received for swap contracts | | | | – | | | | | 115,920 | | | |
Options written, at value (Premiums received $0, $540,000, $0, $25,061,029, $0, $0, $0, $0, and $0, respectively) (Note 3) | | | | – | | | | | 232,341 | | | |
Payable for securities purchased | | | | – | | | | | 34,191,994 | | | |
Payable for capital stock redeemed | | | | 461,335 | | | | | 10,484,751 | | | |
Payable for daily variation margin on futures contracts (Note 3) | | | | – | | | | | 8,000 | | | |
Line of credit commitment fee payable | | | | 149 | | | | | 2,661 | | | |
Distributions payable | | | | 17,124 | | | | | 346,932 | | | |
Administrative fees payable | | | | 24,273 | | | | | 97,106 | | | |
Advisory fees payable (Note 6) | | | | 40,562 | | | | | 898,447 | | | |
Audit fees payable | | | | 18,696 | | | | | 26,276 | | | |
Transfer agent fees payable | | | | 63,757 | | | | | 1,331,771 | | | |
Accrued trustees fees and expenses | | | | 172 | | | | | 3,205 | | | |
Accrued distribution (12b-1) and service fees payable | | | | 13,501 | | | | | 308,404 | | | |
Accrued other expenses | | | | 11,131 | | | | | 151,866 | | | |
| | | | | | | | | | | | |
Total liabilities | | | | 650,700 | | | | | 48,199,674 | | | |
| | | | | | | | | | | | |
Net assets | | | $ | 189,629,412 | | | | $ | 3,602,159,901 | | | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Class M Shares: | | | | | | | | | | | | |
Net assets (Applicable to 22,160,977, 227,205,736, 14,939,326, 1,092,104,803, 92,199,070, 28,156,650, 651,590, 9,461,965, and 761,114, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value) | | | $ | 95,200,257 | | | | $ | 2,002,893,514 | | | |
| | | | | | | | | | | | |
Net asset value, offering and redemption price per Class M share | | | $ | 4.30 | | | | $ | 8.82 | | | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Class I Shares: | | | | | | | | | | | | |
Net assets (Applicable to 21,950,339, 180,849,412, 48,085,401, 1,967,552,670, 83,879,525, 53,354,539, 12,662,289, 14,542,258, and 0, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value) | | | $ | 94,429,155 | | | | $ | 1,594,726,918 | | | |
| | | | | | | | | | | | |
Net asset value, offering and redemption price per Class I share | | | $ | 4.30 | | | | $ | 8.82 | | | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Administrative Class: | | | | | | | | | | | | |
Net assets (Applicable to 0, 398,646, 0, 6,821,165, 0, 0, 0, 0, and 0, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value) | | | | N/A | | | | $ | 4,539,469 | | | |
| | | | | | | | | | | | |
Net asset value, offering and redemption price per Administrative Class share | | | | N/A | | | | $ | 11.39 | | | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Plan Class: | | | | | | | | | | | | |
Net assets (Applicable to 0, 0, 0, 94,223,869, 0, 0, 0, 0, and 0, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value) | | | | N/A | | | | | N/A | | | |
| | | | | | | | | | | | |
Net asset value, offering and redemption price per Plan Class share | | | | N/A | | | | | N/A | | | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Net Assets Consist of: | | | | | | | | | | | | |
Capital paid-in (Note 8) | | | $ | 237,472,448 | | | | $ | 3,780,788,499 | | | |
Undistributed (distributions in excess of) net investment income | | | | (25,712 | ) | | | | 54,840 | | | |
Accumulated undistributed net realized gain/(loss) on investments, futures contracts, foreign currency exchange contracts, options written and swap contracts | | | | (48,705,770 | ) | | | | (213,637,801 | ) | | |
Net unrealized appreciation/(depreciation) on investments | | | | 888,446 | | | | | 34,684,905 | | | |
Net unrealized appreciation/(depreciation) on futures contracts, foreign currency exchange contracts, options written and swap contracts | | | | – | | | | | 269,458 | | | |
| | | | | | | | | | | | |
Net assets | | | $ | 189,629,412 | | | | $ | 3,602,159,901 | | | |
| | | | | | | | | | | | |
See accompanying notes to financial statements.
137 / Semi-Annual Report September 2014
Metropolitan West Funds
Statements of Assets and Liabilities
September 30, 2014 (Unaudited)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | INTERMEDIATE BOND FUND | | TOTAL RETURN
BOND FUND | | HIGH YIELD
BOND FUND | | UNCONSTRAINED
BOND FUND | | FLOATING RATE
INCOME FUND | | STRATEGIC
INCOME FUND | | ALPHATRAK
500 FUND | | |
| | | | | | | | |
| | | | | | |
|
$659,581,841 |
| | | $ | 38,326,866,076 | | | | $ | 1,699,394,914 | | | | $ | 978,831,488 | | | | $ | 130,812,445 | | | | $ | 195,847,676 | | | | $ | 5,186,371 | | | | | | |
| | | | | | | | 31,875,637 | | | | | 611,577 | | | | | 37,569,831 | | | | | 3,001,691 | | | | | 5,256,203 | | | | | 6,245,774 | | | | | 102,475 | | | | | | |
| | | | | | | | – | | | | | 6,947,590 | | | | | – | | | | | – | | | | | – | | | | | – | | | | | – | | | | | | |
| | | | | | |
|
– |
| | | | – | | | | | – | | | | | 613 | | | | | – | | | | | – | | | | | – | | | | | | |
| | | | | | | | – | | | | | 990,183 | | | | | 1,521,150 | | | | | – | | | | | – | | | | | – | | | | | – | | | | | | |
| | | | | | | | 46,598 | | | | | 27,039,907 | | | | | – | | | | | – | | | | | – | | | | | – | | | | | – | | | | | | |
| | | | | | | | 1,942,133 | | | | | 130,503,716 | | | | | 29,265,596 | | | | | 4,103,044 | | | | | 305,387 | | | | | 648,409 | | | | | 13,963 | | | | | | |
| | | | | | | | – | | | | | – | | | | | 62,748 | | | | | – | | | | | – | | | | | 2,479 | | | | | 8,834 | | | | | | |
| | | | | | | | 3,384,379 | | | | | 345,676,792 | | | | | 48,017,948 | | | | | – | | | | | 4,789,790 | | | | | – | | | | | – | | | | | | |
| | | | | | |
|
– |
| | | | – | | | | | – | | | | | – | | | | | – | | | | | – | | | | | – | | | | | | |
| | | | | | | | 20,221,411 | | | | | 838,298,257 | | | | | 1,555,491 | | | | | 6,988,807 | | | | | 36,000 | | | | | 469,578 | | | | | 831 | | | | | | |
| | | | | | | | 5,563 | | | | | 1,760,181 | | | | | – | | | | | 40,203 | | | | | – | | | | | 891 | | | | | 800 | | | | | | |
| | | | | | | | – | | | | | 12,206,493 | | | | | – | | | | | – | | | | | – | | | | | – | | | | | – | | | | | | |
| | | | | | | | 38,488 | | | | | 108,775 | | | | | 34,969 | | | | | 63,384 | | | | | 33,609 | | | | | 24,663 | | | | | 12,389 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | 717,096,050 | | | | | 39,691,009,547 | | | | | 1,817,422,647 | | | | | 993,029,230 | | | | | 141,233,434 | | | | | 203,239,470 | | | | | 5,325,663 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | – | | | | | 22,371,567 | | | | | 751,460 | | | | | – | | | | | – | | | | | – | | | | | 51,082 | | | | | | |
| | | | | | | | 13,685 | | | | | 735,540 | | | | | – | | | | | – | | | | | – | | | | | – | | | | | – | | | | | | |
| | | | | | |
|
– |
| | | | 13,829,765 | | | | | – | | | | | – | | | | | – | | | | | – | | | | | – | | | | | | |
| | | | | | | | 50,073,000 | | | | | 5,435,947,391 | | | | | 27,781,875 | | | | | 13,835,076 | | | | | 4,972,525 | | | | | 2,105,637 | | | | | 25,477 | | | | | | |
| | | | | | | | 529,731 | | | | | 62,849,749 | | | | | 6,303,306 | | | | | 3,523,305 | | | | | 9,759 | | | | | 204,587 | | | | | 12 | | | | | | |
| | | | | | | | 1,500 | | | | | 2,130,978 | | | | | – | | | | | – | | | | | – | | | | | – | | | | | 4,200 | | | | | | |
| | | | | | | | 470 | | | | | 24,475 | | | | | 1,384 | | | | | 730 | | | | | 102 | | | | | 166 | | | | | – | | | | | | |
| | | | | | | | 14,242 | | | | | 6,506,565 | | | | | 653,529 | | | | | 81,299 | | | | | 1,416 | | | | | 66,978 | | | | | 41 | | | | | | |
| | | | | | | | 34,927 | | | | | 524,872 | | | | | 58,621 | | | | | 51,988 | | | | | 57,094 | | | | | 28,748 | | | | | 13,247 | | | | | | |
| | | | | | | | 194,471 | | | | | 9,565,664 | | | | | 751,513 | | | | | 544,519 | | | | | 64,340 | | | | | 343,640 | | | | | 36 | | | | | | |
| | | | | | | | 21,482 | | | | | 76,624 | | | | | 19,811 | | | | | – | | | | | – | | | | | 19,113 | | | | | 17,457 | | | | | | |
| | | | | | | | 100,194 | | | | | 9,314,979 | | | | | 825,803 | | | | | 166,759 | | | | | 5,322 | | | | | 45,639 | | | | | 1,653 | | | | | | |
| | | | | | | | 337 | | | | | 21,940 | | | | | 2,581 | | | | | 318 | | | | | – | | | | | 231 | | | | | 5 | | | | | | |
| | | | | | | | 26,755 | | | | | 1,997,224 | | | | | 200,160 | | | | | 67,835 | | | | | 1,191 | | | | | 16,096 | | | | | – | | | | | | |
| | | | | | | | 16,903 | | | | | 1,401,921 | | | | | 151,413 | | | | | 15,038 | | | | | 4,782 | | | | | 11,373 | | | | | 3,050 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | 51,027,697 | | | | | 5,567,299,254 | | | | | 37,501,456 | | | | | 18,286,867 | | | | | 5,116,531 | | | | | 2,842,208 | | | | | 116,260 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | $666,068,353 | | | | $ | 34,123,710,293 | | | | $ | 1,779,921,191 | | | | $ | 974,742,363 | | | | $ | 136,116,903 | | | | $ | 200,397,262 | | | | $ | 5,209,403 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
|
$157,923,834 |
| | | $ | 11,812,560,051 | | | | $ | 932,121,614 | | | | $ | 336,891,322 | | | | $ | 6,662,587 | | | | $ | 79,024,302 | | | | $ | 5,209,403 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | $ 10.57 | | | | $ | 10.82 | | | | $ | 10.11 | | | | $ | 11.96 | | | | $ | 10.23 | | | | $ | 8.35 | | | | $ | 6.84 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
|
$508,144,519 |
| | | $ | 21,276,615,253 | | | | $ | 847,799,577 | | | | $ | 637,851,041 | | | | $ | 129,454,316 | | | | $ | 121,372,960 | | | | | N/A | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | $ 10.57 | | | | $ | 10.81 | | | | $ | 10.11 | | | | $ | 11.95 | | | | $ | 10.22 | | | | $ | 8.35 | | | | | N/A | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
|
N/A |
| | | $ | 73,815,933 | | | | | N/A | | | | | N/A | | | | | N/A | | | | | N/A | | | | | N/A | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | N/A | | | | $ | 10.82 | | | | | N/A | | | | | N/A | | | | | N/A | | | | | N/A | | | | | N/A | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
|
N/A |
| | | $ | 960,719,056 | | | | | N/A | | | | | N/A | | | | | N/A | | | | | N/A | | | | | N/A | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | N/A | | | | $ | 10.20 | | | | | N/A | | | | | N/A | | | | | N/A | | | | | N/A | | | | | N/A | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | $651,844,765 | | | | $ | 33,000,759,517 | | | | $ | 1,788,284,372 | | | | $ | 958,415,100 | | | | $ | 134,679,587 | | | | $ | 308,017,795 | | | | $ | 97,435,654 | | | | | | |
| | | | | | | | 103,568 | | | | | 6,319,211 | | | | | 3,252,086 | | | | | 415,687 | | | | | 2,038 | | | | | 11,931 | | | | | 2,771 | | | | | | |
| | | | | | |
|
2,606,962 |
| | | | 42,480,618 | | | | | 25,617,165 | | | | | (205,018 | ) | | | | 1,169,414 | | | | | (117,644,737 | ) | | | | (92,180,147 | ) | | | | | |
| | | | | | | | 11,439,563 | | | | | 1,070,240,922 | | | | | (36,480,973 | ) | | | | 15,846,516 | | | | | 265,864 | | | | | 10,004,931 | | | | | 21,221 | | | | | | |
| | | | | | |
|
73,495 |
| | | | 3,910,025 | | | | | (751,459 | ) | | | | 270,078 | | | | | – | | | | | 7,342 | | | | | (70,096 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | $666,068,353 | | | | $ | 34,123,710,293 | | | | $ | 1,779,921,191 | | | | $ | 974,742,363 | | | | $ | 136,116,903 | | | | $ | 200,397,262 | | | | $ | 5,209,403 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying notes to financial statements.
Semi-Annual Report September 2014 / 138
Metropolitan West Funds
Statements of Operations
For the Six Months Ended September 30, 2014 (Unaudited)
| | | | | | | | | | | | | | | |
| | | ULTRA SHORT
BOND FUND | | LOW DURATION
BOND FUND | | |
Investment Income: | | | | | | | | | | | | | | | |
Interest | | | $ | 1,214,303 | | | | $ | 35,137,157 | | | | | | |
Dividends | | | | 1,046 | | | | | 16,316 | | | | | | |
| | | | | | | | | | | | | | | |
| | | |
Total investment income | | | | 1,215,349 | | | | | 35,153,473 | | | | | | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Expenses: | |
Investment advisory fees (Note 6) | | | | 253,659 | | | | | 5,296,088 | | | | | | |
Administration fees | | | | 60,646 | | | | | 258,731 | | | | | | |
Commitment fee | | | | 958 | | | | | 16,669 | | | | | | |
Custodian fees | | | | 13,629 | | | | | 67,769 | | | | | | |
Distribution (12b-1) and service fees - class specific (Note 7): | | | | | | | | | | | | | | | |
Class M | | | | 77,113 | | | | | 1,865,437 | | | | | | |
Administrative Class | | | | – | | | | | 7,935 | | | | | | |
Insurance expense | | | | 1,747 | | | | | 30,279 | | | | | | |
Miscellaneous expenses | | | | 1,924 | | | | | 12,315 | | | | | | |
Professional fees | | | | 17,524 | | | | | 33,853 | | | | | | |
Registration and filing fees | | | | 21,910 | | | | | 74,685 | | | | | | |
Reports to shareholders | | | | 6,318 | | | | | 97,495 | | | | | | |
Transfer agent fees | | | | 80,434 | | | | | 1,379,450 | | | | | | |
Trustees’ fees and expenses | | | | 1,016 | | | | | 17,883 | | | | | | |
| | | | | | | | | | | | | | | |
Total operating expenses | | | | 536,878 | | | | | 9,158,589 | | | | | | |
Expenses waived and reimbursed (Note 6) | | | | (114,788 | ) | | | | (162,567 | ) | | | | | |
| | | | | | | | | | | | | | | |
| | | |
Net expenses | | | | 422,090 | | | | | 8,996,022 | | | | | | |
| | | | | | | | | | | | | | | |
| | | |
Net investment income | | | | 793,259 | | | | | 26,157,451 | | | | | | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Realized and Change in Unrealized Gain/(Loss) on Investments, Futures Contracts, Foreign Currency Exchange Contracts, Options Written and Swap Contracts: | |
Net realized gain/(loss) on: | | | | | | | | | | | | | | | |
Investments | | | | (142,211 | ) | | | | 2,318,828 | | | | | | |
Futures contracts | | | | – | | | | | 52,134 | | | | | | |
Options written | | | | – | | | | | – | | | | | | |
Swap contracts | | | | – | | | | | – | | | | | | |
Net change in unrealized appreciation/(depreciation) on: | | | | | | | | | | | | | | | |
Investments | | | | (96,355 | ) | | | | (925,788 | ) | | | | | |
Futures contracts | | | | – | | | | | 159,283 | | | | | | |
Foreign currency exchange contracts | | | | – | | | | | – | | | | | | |
Options written | | | | – | | | | | 272,570 | | | | | | |
Swap contracts | | | | – | | | | | 3,326 | | | | | | |
| | | | | | | | | | | | | | | |
Net change in realized and unrealized gain/(loss) on investments, futures contracts, foreign currency exchange contracts, options written and swap contracts | | | | (238,566 | ) | | | | 1,880,353 | | | | | | |
| | | | | | | | | | | | | | | |
| | | |
Net Increase/(Decrease) in Net Assets from Operations | | | $ | 554,693 | | | | $ | 28,037,804 | | | | | | |
| | | | | | | | | | | | | | | |
See accompanying notes to financial statements.
139 / Semi-Annual Report September 2014
Metropolitan West Funds
Statements of Operations
For the Six Months Ended September 30, 2014 (Unaudited)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | INTERMEDIATE
BOND FUND | | TOTAL RETURN
BOND FUND | | HIGH YIELD
BOND FUND | | UNCONSTRAINED
BOND FUND | | FLOATING RATE
INCOME FUND | | STRATEGIC
INCOME FUND | | ALPHATRAK
500 FUND | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $6,538,758 | | | | $ | 447,047,474 | | | | $ | 55,496,023 | | | | $ | 11,947,234 | | | | $ | 2,557,498 | | | | $ | 4,341,162 | | | | $ | 48,357 | | | | | | |
| | | | 2,979 | | | | | 134,615 | | | | | 9,580 | | | | | 26,066 | | | | | 771 | | | | | 10,993 | | | | | 22 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | 6,541,737 | | | | | 447,182,089 | | | | | 55,505,603 | | | | | 11,973,300 | | | | | 2,558,269 | | | | | 4,352,155 | | | | | 48,379 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | 999,503 | | | | | 52,820,593 | | | | | 5,265,965 | | | | | 2,711,712 | | | | | 357,607 | | | | | 1,927,730 | | | | | 7,384 | | | | | | |
| | | | 85,821 | | | | | 1,490,287 | | | | | 164,448 | | | | | 127,984 | | | | | 89,763 | | | | | 72,071 | | | | | 32,507 | | | | | | |
| | | | 2,688 | | | | | 142,128 | | | | | 9,970 | | | | | 3,920 | | | | | 613 | | | | | 970 | | | | | – | | | | | | |
| | | | 20,097 | | | | | 432,668 | | | | | 40,204 | | | | | 29,068 | | | | | 8,335 | | | | | 11,587 | | | | | 6,623 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | 160,723 | | | | | 11,665,183 | | | | | 1,501,665 | | | | | 401,371 | | | | | 8,082 | | | | | 95,810 | | | | | – | | | | | | |
| | | | – | | | | | 113,915 | | | | | – | | | | | – | | | | | – | | | | | – | | | | | – | | | | | | |
| | | | 4,405 | | | | | 248,518 | | | | | 19,596 | | | | | 5,726 | | | | | 987 | | | | | 1,948 | | | | | 49 | | | | | | |
| | | | 2,607 | | | | | 88,965 | | | | | 9,220 | | | | | 3,135 | | | | | 2,230 | | | | | 2,062 | | | | | 1,126 | | | | | | |
| | | | 20,921 | | | | | 143,882 | | | | | 34,327 | | | | | 24,053 | | | | | 19,924 | | | | | 18,407 | | | | | 15,825 | | | | | | |
| | | | 33,992 | | | | | 515,320 | | | | | 42,062 | | | | | 49,609 | | | | | 21,856 | | | | | 22,004 | | | | | 10,437 | | | | | | |
| | | | 17,258 | | | | | 1,122,840 | | | | | 127,190 | | | | | 24,954 | | | | | 2,055 | | | | | 7,956 | | | | | 691 | | | | | | |
| | | | 125,589 | | | | | 10,108,891 | | | | | 885,812 | | | | | 212,436 | | | | | 20,885 | | | | | 67,346 | | | | | 9,324 | | | | | | |
| | | | 2,693 | | | | | 143,943 | | | | | 11,150 | | | | | 3,819 | | | | | 482 | | | | | 1,043 | | | | | 25 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | 1,476,297 | | | | | 79,037,133 | | | | | 8,111,609 | | | | | 3,597,787 | | | | | 532,819 | | | | | 2,228,934 | | | | | 83,991 | | | | | | |
| | | | (5,381) | | | | | (444,258 | ) | | | | (652,445 | ) | | | | (1,075 | ) | | | | (91,895 | ) | | | | (4,617 | ) | | | | (61,064 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | 1,470,916 | | | | | 78,592,875 | | | | | 7,459,164 | | | | | 3,596,712 | | | | | 440,924 | | | | | 2,224,317 | | | | | 22,927 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | 5,070,821 | | | | | 368,589,214 | | | | | 48,046,439 | | | | | 8,376,588 | | | | | 2,117,345 | | | | | 2,127,838 | | | | | 25,452 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | |
|
|
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | 2,385,965 | | | | | 194,878,836 | | | | | 27,144,573 | | | | | 1,863,631 | | | | | 291,407 | | | | | 555,861 | | | | | 31,787 | | | | | | |
| | | | 7,624 | | | | | 7,852,011 | | | | | – | | | | | (1,076,857 | ) | | | | – | | | | | (9,361 | ) | | | | 68,573 | | | | | | |
| | | | – | | | | | 472,572 | | | | | – | | | | | – | | | | | – | | | | | – | | | | | – | | | | | | |
| | | | 1 | | | | | (4,250,677 | ) | | | | (425,133 | ) | | | | 84,931 | | | | | – | | | | | – | | | | | 304,201 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | (130,083) | | | | | 159,893,997 | | | | | (76,272,714 | ) | | | | 4,789,181 | | | | | (1,074,853 | ) | | | | 658,845 | | | | | (40,377 | ) | | | | | |
| | | | 26,898 | | | | | (1,494,588 | ) | | | | – | | | | | 30,561 | | | | | – | | | | | 7,342 | | | | | (15,137 | ) | | | | | |
| | | | – | | | | | – | | | | | – | | | | | (18 | ) | | | | – | | | | | – | | | | | – | | | | | | |
| | | | – | | | | | 7,847,713 | | | | | – | | | | | – | | | | | – | | | | | – | | | | | – | | | | | | |
| | | | (86,332) | | | | | (23,234,047 | ) | | | | (338,297 | ) | | | | (80,815 | ) | | | | – | | | | | – | | | | | (82,889 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | |
|
2,204,073 |
| | | | 341,965,817 | | | | | (49,891,571 | ) | | | | 5,610,614 | | | | | (783,446 | ) | | | | 1,212,687 | | | | | 266,158 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | $7,274,894 | | | | $ | 710,555,031 | | | | $ | (1,845,132 | ) | | | $ | 13,987,202 | | | | $ | 1,333,899 | | | | $ | 3,340,525 | | | | $ | 291,610 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying notes to financial statements.
Semi-Annual Report September 2014 / 140
Metropolitan West Funds
Statements of Changes in Net Assets
| | | | | | | | | | | | | | | |
| | | ULTRA SHORT BOND FUND | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2014
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2014 | | |
Operations: | | | | | | | | | | | | |
Net investment income | | | $ | 793,259 | | | | $ | 1,727,867 | | | |
Net realized gain/(loss) on investments | | | | (142,211 | ) | | | | (1,542,991 | ) | | |
Net realized gain/(loss) on futures contracts, foreign currency exchange contracts, options written and swap contracts | | | | – | | | | | – | | | |
Net change in unrealized appreciation/(depreciation) on investments | | | | (96,355 | ) | | | | 1,374,575 | | | |
Net change in unrealized appreciation/(depreciation) on futures contracts, foreign currency exchange contracts, options written and swap contracts | | | | – | | | | | – | | | |
| | | | | | | | | | | | | |
Net increase in net assets resulting from operations | | | | 554,693 | | | | | 1,559,451 | | | |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | |
Distributions to Shareholders from: | | | | | | | | | | | | |
Net investment income: | | | | | | | | | | | | |
Class M | | | | (347,036 | ) | | | | (824,845 | ) | | |
Class I | | | | (470,289 | ) | | | | (903,797 | ) | | |
Administrative Class | | | | – | | | | | – | | | |
Plan Class | | | | – | | | | | – | | | |
Net realized gains: | | | | | | | | | | | | |
Class M | | | | – | | | | | – | | | |
Class I | | | | – | | | | | – | | | |
Administrative Class | | | | – | | | | | – | | | |
Plan Class | | | | – | | | | | – | | | |
| | | | | | | | | | | | | |
Net decrease in net assets resulting from distributions | | | | (817,325 | ) | | | | (1,728,642 | ) | | |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | |
| | | | | | | | | | | | | |
Capital Share Transactions: | | | | | | | | | | | | |
Class M: | | | | | | | | | | | | |
Proceeds from sale of shares | | | | 37,152,652 | | | | | 120,075,527 | | | |
Shares issued in reinvestment of distributions | | | | 320,287 | | | | | 790,716 | | | |
Cost of shares redeemed | | | | (39,234,404 | ) | | | | (80,726,799 | ) | | |
| | | | | | | | | | | | | |
Total Class M capital share transactions | | | | (1,761,465 | ) | | | | 40,139,444 | | | |
| | | | | | | | | | | | | |
| | | |
Class I: | | | | | | | | | | | | |
Proceeds from sale of shares | | | | 40,851,192 | | | | | 66,499,419 | | | |
Shares issued in reinvestment of distributions | | | | 400,057 | | | | | 834,149 | | | |
Cost of shares redeemed | | | | (47,309,299 | ) | | | | (34,516,152 | ) | | |
| | | | | | | | | | | | | |
Total Class I capital share transactions | | | | (6,058,050 | ) | | | | 32,817,416 | | | |
| | | | | | | | | | | | | |
| | | |
Administrative Class: | | | | | | | | | | | | |
Proceeds from sale of shares | | | | – | | | | | – | | | |
Shares issued in reinvestment of distributions | | | | – | | | | | – | | | |
Cost of shares redeemed | | | | – | | | | | – | | | |
| | | | | | | | | | | | | |
Total Administrative Class capital share transactions | | | | – | | | | | – | | | |
| | | | | | | | | | | | | |
| | | |
Plan Class: | | | | | | | | | | | | |
Proceeds from sale of shares | | | | – | | | | | – | | | |
Shares issued in reinvestment of distributions | | | | – | | | | | – | | | |
Cost of shares redeemed | | | | – | | | | | – | | | |
| | | | | | | | | | | | | |
Total Plan Class capital share transactions | | | | – | | | | | – | | | |
| | | | | | | | | | | | | |
Net increase/(decrease) in net assets resulting from capital share transactions | | | | (7,819,515 | ) | | | | 72,956,860 | | | |
| | | | | | | | | | | | | |
Net increase/(decrease) in net assets | | | | (8,082,147 | ) | | | | 72,787,669 | | | |
Net assets at beginning of period | | | | 197,711,559 | | | | | 124,923,890 | | | |
| | | | | | | | | | | | | |
Net assets at end of period (including undistributed (distributions in excess of) net investment income of $(25,712), $(1,646), $54,840, $18,804, $103,568, $36,477, $6,319,211 and $(3,607,672), respectively) | | | $ | 189,629,412 | | | | $ | 197,711,559 | | | |
| | | | | | | | | | | | | |
See accompanying notes to financial statements.
141 / Semi-Annual Report September 2014
Metropolitan West Funds
Statements of Changes in Net Assets
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | LOW DURATION BOND FUND | | | | INTERMEDIATE BOND FUND | | | | TOTAL RETURN BOND FUND | | |
| | | SIX MONTHS ENDED SEPTEMBER 30, 2014 (UNAUDITED) | | YEAR ENDED MARCH 31,
2014 | | | | SIX MONTHS
ENDED
SEPTEMBER 30,
2014
(UNAUDITED) | | YEAR ENDED
MARCH 31,
2014 | | | | SIX MONTHS ENDED SEPTEMBER 30, 2014 (UNAUDITED) | | YEAR ENDED MARCH 31, 2014 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $26,157,451 | | | | $ | 47,965,532 | | | | | | $ | 5,070,821 | | | | $ | 9,195,627 | | | | | | $ | 368,589,214 | | | | $ | 714,922,539 | | | | | | |
| | | | 2,318,828 | | | | | (1,951,189 | ) | | | | | | 2,385,965 | | | | | 295,042 | | | | | | | 194,878,836 | | | | | (147,544,051 | ) | | | | | |
| | |
|
52,134 |
| | | | (166,138 | ) | | | | | | 7,625 | | | | | (67,821 | ) | | | | | | 4,073,906 | | | | | (152,907 | ) | | | | | |
| | | | (925,788 | ) | | | | 1,734,177 | | | | | | | (130,083 | ) | | | | (4,515,539 | ) | | | | | | 159,893,997 | | | | | (309,562,568 | ) | | | | | |
| | | | | | | | | |
| | | | 435,179 | | | | | 417,508 | | | | | | | (59,434 | ) | | | | 252,643 | | | | | | | (16,880,922 | ) | | | | 20,847,331 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | 28,037,804 | | | | | 47,999,890 | | | | | | | 7,274,894 | | | | | 5,159,952 | | | | | | | 710,555,031 | | | | | 278,510,344 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | (13,655,347 | ) | | | | (25,316,538 | ) | | | | | | (1,228,719 | ) | | | | (2,558,690 | ) | | | | | | (124,154,061 | ) | | | | (283,204,996 | ) | | | | | |
| | | | (12,441,912 | ) | | | | (22,506,608 | ) | | | | | | (3,775,011 | ) | | | | (6,687,815 | ) | | | | | | (224,022,825 | ) | | | | (414,352,138 | ) | | | | | |
| | | | (24,156 | ) | | | | (18,700 | ) | | | | | | – | | | | | – | | | | | | | (570,587 | ) | | | | (584,194 | ) | | | | | |
| | | | – | | | | | – | | | | | | | – | | | | | – | | | | | | | (9,914,858 | ) | | | | (12,755,576 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | – | | | | | – | | | | | | | – | | | | | (131,283 | ) | | | | | | – | | | | | (61,248,817 | ) | | | | | |
| | | | – | | | | | – | | | | | | | – | | | | | (366,869 | ) | | | | | | – | | | | | (88,914,421 | ) | | | | | |
| | | | – | | | | | – | | | | | | | – | | | | | – | | | | | | | – | | | | | (131,110 | ) | | | | | |
| | | | – | | | | | – | | | | | | | – | | | | | – | | | | | | | – | | | | | (3,121,602 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | (26,121,415 | ) | | | | (47,841,846 | ) | | | | | | (5,003,730 | ) | | | | (9,744,657 | ) | | | | | | (358,662,331 | ) | | | | (864,312,854 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | 370,906,118 | | | | | 1,646,701,458 | | | | | | | 38,004,242 | | | | | 99,439,667 | | | | | | | 2,096,095,113 | | | | | 3,409,254,052 | | | | | | |
| | | | 13,120,134 | | | | | 24,660,137 | | | | | | | 1,180,397 | | | | | 2,439,103 | | | | | | | 119,643,657 | | | | | 330,256,185 | | | | | | |
| | | | (300,538,074 | ) | | | | (893,464,320 | ) | | | | | | (26,595,886 | ) | | | | (71,396,174 | ) | | | | | | (1,126,162,024 | ) | | | | (3,703,154,922 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | 83,488,178 | | | | | 777,897,275 | | | | | | | 12,588,753 | | | | | 30,482,596 | | | | | | | 1,089,576,746 | | | | | 36,355,315 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | 473,645,901 | | | | | 1,574,715,222 | | | | | | | 179,711,090 | | | | | 246,123,151 | | | | | | | 6,522,451,771 | | | | | 7,955,958,968 | | | | | | |
| | | | 10,259,015 | | | | | 19,564,759 | | | | | | | 3,721,900 | | | | | 6,847,703 | | | | | | | 187,569,101 | | | | | 421,587,192 | | | | | | |
| | | | (585,321,780 | ) | | | | (641,062,942 | ) | | | | | | (32,988,720 | ) | | | | (91,399,335 | ) | | | | | | (1,665,369,943 | ) | | | | (5,725,661,389 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | (101,416,864 | ) | | | | 953,217,039 | | | | | | | 150,444,270 | | | | | 161,571,519 | | | | | | | 5,044,650,929 | | | | | 2,651,884,771 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | 1,158,106 | | | | | 3,749,400 | | | | | | | – | | | | | – | | | | | | | 41,531,809 | | | | | 42,207,862 | | | | | | |
| | | | 24,048 | | | | | 18,086 | | | | | | | – | | | | | – | | | | | | | 567,320 | | | | | 690,475 | | | | | | |
| | | | (266,700 | ) | | | | (260,677 | ) | | | | | | – | | | | | – | | | | | | | (8,177,576 | ) | | | | (18,870,570 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | 915,454 | | | | | 3,506,809 | | | | | | | – | | | | | – | | | | | | | 33,921,553 | | | | | 24,027,767 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | – | | | | | – | | | | | | | – | | | | | – | | | | | | | 460,250,093 | | | | | 318,087,806 | | | | | | |
| | | | – | | | | | – | | | | | | | – | | | | | – | | | | | | | 9,783,240 | | | | | 15,552,343 | | | | | | |
| | | | – | | | | | – | | | | | | | – | | | | | – | | | | | | | (51,509,743 | ) | | | | (139,266,577 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | – | | | | | – | | | | | | | – | | | | | – | | | | | | | 418,523,590 | | | | | 194,373,572 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | (17,013,232 | ) | | | | 1,734,621,123 | | | | | | | 163,033,023 | | | | | 192,054,115 | | | | | | | 6,586,672,818 | | | | | 2,906,641,425 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | (15,096,843 | ) | | | | 1,734,779,167 | | | | | | | 165,304,187 | | | | | 187,469,410 | | | | | | | 6,938,565,518 | | | | | 2,320,838,915 | | | | | | |
| | | | 3,617,256,744 | | | | | 1,882,477,577 | | | | | | | 500,764,166 | | | | | 313,294,756 | | | | | | | 27,185,144,775 | | | | | 24,864,305,860 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | |
|
$3,602,159,901 |
| | | $ | 3,617,256,744 | | | | | | $ | 666,068,353 | | | | $ | 500,764,166 | | | | | | $ | 34,123,710,293 | | | | $ | 27,185,144,775 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying notes to financial statements.
Semi-Annual Report September 2014 / 142
Metropolitan West Funds
Statements of Changes in Net Assets
| | | | | | | | |
| | | HIGH YIELD
BOND FUND | |
| | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2014
(UNAUDITED) | | | YEAR ENDED MARCH 31,
2014 | |
Operations: | | | | | | | | |
Net investment income | | $ | 48,046,439 | | | $ | 118,236,526 | |
Net realized gain/(loss) on investments | | | 27,144,573 | | | | 45,433,949 | |
Net realized gain/(loss) on futures contracts, foreign currency exchange contracts, options written and swap contracts | | | (425,133 | ) | | | 108,210 | |
Net change in unrealized appreciation/(depreciation) on investments | | | (76,272,714 | ) | | | (32,450,239 | ) |
Net change in unrealized appreciation/(depreciation) on futures contracts, foreign currency exchange contracts, options written and swap contracts | | | (338,297 | ) | | | (125,598 | ) |
| | | | | | | | |
Net increase/(decrease) in net assets resulting from operations | | | (1,845,132 | ) | | | 131,202,848 | |
| | | | | | | | |
| | | | | | | | |
Distributions to Shareholders from: | | | | | | | | |
Net investment income: | | | | | | | | |
Class M | | | (26,617,056 | ) | | | (67,546,331 | ) |
Class I | | | (21,221,234 | ) | | | (48,737,776 | ) |
Net realized gains: | | | | | | | | |
Class M | | | – | | | | (36,715,212 | ) |
Class I | | | – | | | | (25,198,557 | ) |
| | | | | | | | |
Net decrease in net assets resulting from distributions | | | (47,838,290 | ) | | | (178,197,876 | ) |
| | | | | | | | |
| | | | | | | | |
| | |
Capital Share Transactions: | | | | | | | | |
Class M: | | | | | | | | |
Proceeds from sale of shares | | | 129,269,855 | | | | 645,480,763 | |
Shares issued in reinvestment of distributions | | | 25,146,603 | | | | 98,746,102 | |
Cost of shares redeemed | | | (518,652,813 | ) | | | (728,468,955 | ) |
| | | | | | | | |
Total Class M capital share transactions | | | (364,236,355 | ) | | | 15,757,910 | |
| | | | | | | | |
Class I: | | | | | | | | |
Proceeds from sale of shares | | | 171,467,512 | | | | 520,550,696 | |
Shares issued in reinvestment of distributions | | | 18,336,921 | | | | 63,860,627 | |
Cost of shares redeemed | | | (229,529,461 | ) | | | (652,599,365 | ) |
| | | | | | | | |
Total Class I capital share transactions | | | (39,725,028 | ) | | | (68,188,042 | ) |
| | | | | | | | |
Net increase/(decrease) in net assets resulting from capital share transactions | | | (403,961,383 | ) | | | (52,430,132 | ) |
| | | | | | | | |
Net increase/(decrease) in net assets | | | (453,644,805 | ) | | | (99,425,160 | ) |
Net assets at beginning of period | | | 2,233,565,996 | | | | 2,332,991,156 | |
| | | | | | | | |
Net assets at end of period (including undistributed (distributions in excess of) net investment income of $3,252,086, $3,043,937, $415,687, $202,847, $2,038, $2,038, $11,931, $(153,908), $2,771 and $14,038, respectively) | | $ | 1,779,921,191 | | | $ | 2,233,565,996 | |
| | | | | | | | |
See accompanying notes to financial statements.
143 / Semi-Annual Report September 2014
Metropolitan West Funds
Statements of Changes in Net Assets
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
UNCONSTRAINED
BOND FUND | | FLOATING RATE
INCOME FUND* | | STRATEGIC
INCOME FUND | | ALPHATRAK
500 FUND |
| | | | | | | |
SIX MONTHS
ENDED
SEPTEMBER 30,
2014
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2014 | | SIX MONTHS
ENDED
SEPTEMBER 30,
2014
(UNAUDITED) | | PERIOD
ENDED
MARCH 31,
2014 | | SIX MONTHS
ENDED
SEPTEMBER 30,
2014
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2014 | | SIX MONTHS
ENDED
SEPTEMBER 30,
2014
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2014 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 8,376,588 | | | | $ | 12,555,912 | | | | $ | 2,117,345 | | | | $ | 2,523,061 | | | | $ | 2,127,838 | | | | $ | 6,915,333 | | | | $ | 25,452 | | | | $ | 89,065 | |
| | | 1,863,631 | | | | | (3,392,633 | ) | | | | 291,407 | | | | | 1,051,032 | | | | | 555,861 | | | | | 2,993,863 | | | | | 31,787 | | | | | 1,328 | |
| |
|
(991,926 |
) | | | | 1,903,872 | | | | | – | | | | | – | | | | | (9,361 | ) | | | | 1,267 | | | | | 372,774 | | | | | 1,254,945 | |
| | | 4,789,181 | | | | | 7,457,188 | | | | | (1,074,853 | ) | | | | 1,340,717 | | | | | 658,845 | | | | | (3,717,297 | ) | | | | (40,377 | ) | | | | 8,829 | |
| |
|
(50,272 |
) | | | | 442,277 | | | | | – | | | | | – | | | | | 7,342 | | | | | (259 | ) | | | | (98,026 | ) | | | | (148,041 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 13,987,202 | | | | | 18,966,616 | | | | | 1,333,899 | | | | | 4,914,810 | | | | | 3,340,525 | | | | | 6,192,907 | | | | | 291,610 | | | | | 1,206,126 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | (2,923,747 | ) | | | | (4,977,622 | ) | | | | (101,527 | ) | | | | (62,760 | ) | | | | (668,124 | ) | | | | (1,304,424 | ) | | | | (36,719 | ) | | | | (78,817 | ) |
| | | (5,240,001 | ) | | | | (7,195,987 | ) | | | | (2,015,818 | ) | | | | (2,458,520 | ) | | | | (1,293,875 | ) | | | | (5,475,280 | ) | | | | – | | | | | – | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | – | | | | | (209,000 | ) | | | | – | | | | | (4,311 | ) | | | | – | | | | | – | | | | | – | | | | | – | |
| | | – | | | | | (303,223 | ) | | | | – | | | | | (168,714 | ) | | | | – | | | | | – | | | | | – | | | | | – | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | (8,163,748 | ) | | | | (12,685,832 | ) | | | | (2,117,345 | ) | | | | (2,694,305 | ) | | | | (1,961,999 | ) | | | | (6,779,704 | ) | | | | (36,719 | ) | | | | (78,817 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 97,362,652 | | | | | 300,272,058 | | | | | 10,972,458 | | | | | 6,376,328 | | | | | 18,555,187 | | | | | 64,144,763 | | | | | 1,447,328 | | | | | 2,543,542 | |
| | | 2,635,799 | | | | | 4,798,867 | | | | | 86,015 | | | | | 53,142 | | | | | 637,785 | | | | | 1,259,286 | | | | | 36,424 | | | | | 73,222 | |
| | | (71,574,207 | ) | | | | (101,740,469 | ) | | | | (9,673,719 | ) | | | | (1,155,393 | ) | | | | (13,869,402 | ) | | | | (29,123,412 | ) | | | | (1,852,973 | ) | | | | (4,576,504 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 28,424,244 | | | | | 203,330,456 | | | | | 1,384,754 | | | | | 5,274,077 | | | | | 5,323,570 | | | | | 36,280,637 | | | | | (369,221 | ) | | | | (1,959,740 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 265,606,405 | | | | | 372,678,874 | | | | | 13,294,386 | | | | | 136,778,678 | | | | | 38,806,740 | | | | | 47,546,750 | | | | | – | | | | | – | |
| | | 5,099,570 | | | | | 7,167,625 | | | | | 2,013,174 | | | | | 2,623,018 | | | | | 743,008 | | | | | 1,454,188 | | | | | – | | | | | – | |
| | | (48,839,687 | ) | | | | (58,809,431 | ) | | | | (551,792 | ) | | | | (26,136,451 | ) | | | | (65,520,014 | ) | | | | (80,602,658 | ) | | | | – | | | | | – | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 221,866,288 | | | | | 321,037,068 | | | | | 14,755,768 | | | | | 113,265,245 | | | | | (25,970,266 | ) | | | | (31,601,720 | ) | | | | – | | | | | – | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 250,290,532 | | | | | 524,367,524 | | | | | 16,140,522 | | | | | 118,539,322 | | | | | (20,646,696 | ) | | | | 4,678,917 | | | | | (369,221 | ) | | | | (1,959,740 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 256,113,986 | | | | | 530,648,308 | | | | | 15,357,076 | | | | | 120,759,827 | | | | | (19,268,170 | ) | | | | 4,092,120 | | | | | (114,330 | ) | | | | (832,431 | ) |
| | | 718,628,377 | | | | | 187,980,069 | | | | | 120,759,827 | | | | | – | | | | | 219,665,432 | | | | | 215,573,312 | | | | | 5,323,733 | | | | | 6,156,164 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
$ |
974,742,363 |
| | | $ | 718,628,377 | | | | $ | 136,116,903 | | | | $ | 120,759,827 | | | | $ | 200,397,262 | | | | $ | 219,665,432 | | | | $ | 5,209,403 | | | | $ | 5,323,733 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| * | The Floating Rate Income Fund Class M and Class I commenced operations on June 28, 2013. |
See accompanying notes to financial statements.
Semi-Annual Report September 2014 / 144
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | ULTRA SHORT
BOND FUND CLASS M | | |
| | | | | | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2014
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2014 | | YEAR
ENDED
MARCH 31,
2013 | | YEAR
ENDED
MARCH 31,
2012 | | YEAR
ENDED
MARCH 31,
2011 | | YEAR
ENDED
MARCH 31,
2010 | | |
Net Asset Value, Beginning of Period | | | $ | 4.30 | | | | $ | 4.31 | | | | $ | 4.20 | | | | $ | 4.24 | | | | $ | 4.04 | | | | $ | 3.53 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | 0.02 | | | | | 0.04 | | | | | 0.06 | | | | | 0.08 | | | | | 0.11 | | | | | 0.20 | | | |
Net realized and unrealized gain/(loss) | | | | – | | | | | (0.01 | ) | | | | 0.12 | | | | | (0.04 | ) | | | | 0.21 | | | | | 0.51 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Income from Investment Operations | | | | 0.02 | | | | | 0.03 | | | | | 0.18 | | | | | 0.04 | | | | | 0.32 | | | | | 0.71 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.02 | ) | | | | (0.04 | ) | | | | (0.07 | ) | | | | (0.08 | ) | | | | (0.12 | ) | | | | (0.20 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Total Distributions | | | | (0.02 | ) | | | | (0.04 | ) | | | | (0.07 | ) | | | | (0.08 | ) | | | | (0.12 | ) | | | | (0.20 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Net Asset Value, End of Period | | | $ | 4.30 | | | | $ | 4.30 | | | | $ | 4.31 | | | | $ | 4.20 | | | | $ | 4.24 | | | | $ | 4.04 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Total Return | | | | 0.36 | % | | | | 0.74 | % | | | | 4.26 | % | | | | 1.00 | % | | | | 8.01 | % | | | | 20.74 | % | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 95,200 | | | | $ | 97,090 | | | | $ | 56,977 | | | | $ | 37,261 | | | | $ | 42,174 | | | | $ | 22,020 | | | |
Ratio of Expenses to Average Net Assets2 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 0.63 | %3 | | | | 0.60 | % | | | | 0.64 | % | | | | 0.68 | % | | | | 0.65 | % | | | | 0.95 | % | | |
After expense waivers and reimbursements | | | | 0.50 | %3 | | | | 0.50 | % | | | | 0.50 | % | | | | 0.51 | % | | | | 0.50 | % | | | | 0.73 | % | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 0.70 | %3 | | | | 0.92 | % | | | | 1.50 | % | | | | 1.90 | % | | | | 2.57 | % | | | | 5.24 | % | | |
Portfolio Turnover Rate | | | | 12 | %4 | | | | 31 | % | | | | 43 | % | | | | 29 | % | | | | 42 | % | | | | 43 | % | | |
| 1 | Per share numbers have been calculated using the average share method. |
| 2 | The Fund did not incur any interest expense for the six months ended September 30, 2014, the fiscal years ended March 31, 2014, March 31, 2013, March 31, 2012 and March 31, 2011. The Fund incurred interest expense for the fiscal year ended March 31, 2010. If interest expense had not been incurred, the ratio of annualized operating expenses to average net assets for the fiscal year ended March 31, 2010 would have been 0.50%. |
See accompanying notes to financial statements.
145 / Semi-Annual Report September 2014
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | ULTRA SHORT
BOND FUND CLASS I | | |
| | | | | | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2014
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2014 | | YEAR
ENDED
MARCH 31,
2013 | | YEAR
ENDED
MARCH 31,
2012 | | YEAR
ENDED
MARCH 31,
2011 | | YEAR
ENDED
MARCH 31,
2010 | | |
Net Asset Value, Beginning of Period | | | $ | 4.31 | | | | $ | 4.32 | | | | $ | 4.21 | | | | $ | 4.25 | | | | $ | 4.04 | | | | $ | 3.53 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | 0.02 | | | | | 0.05 | | | | | 0.07 | | | | | 0.09 | | | | | 0.12 | | | | | 0.19 | | | |
Net realized and unrealized gain/(loss) | | | | (0.02 | ) | | | | (0.01 | ) | | | | 0.11 | | | | | (0.04 | ) | | | | 0.22 | | | | | 0.53 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Income from Investment Operations | | | | – | | | | | 0.04 | | | | | 0.18 | | | | | 0.05 | | | | | 0.34 | | | | | 0.72 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.01 | ) | | | | (0.05 | ) | | | | (0.07 | ) | | | | (0.09 | ) | | | | (0.13 | ) | | | | (0.21 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Total Distributions | | | | (0.01 | ) | | | | (0.05 | ) | | | | (0.07 | ) | | | | (0.09 | ) | | | | (0.13 | ) | | | | (0.21 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Net Asset Value, End of Period | | | $ | 4.30 | | | | $ | 4.31 | | | | $ | 4.32 | | | | $ | 4.21 | | | | $ | 4.25 | | | | $ | 4.04 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Total Return | | | | 0.21 | % | | | | 0.90 | % | | | | 4.42 | % | | | | 1.17 | % | | | | 8.43 | % | | | | 20.93 | % | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 94,429 | | | | $ | 100,622 | | | | $ | 67,947 | | | | $ | 75,106 | | | | $ | 71,173 | | | | $ | 79,830 | | | |
Ratio of Expenses to Average Net Assets2 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 0.44 | %3 | | | | 0.43 | % | | | | 0.48 | % | | | | 0.52 | % | | | | 0.49 | % | | | | 0.79 | % | | |
After expense waivers and reimbursements | | | | 0.34 | %3 | | | | 0.34 | % | | | | 0.34 | % | | | | 0.35 | % | | | | 0.34 | % | | | | 0.57 | % | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 0.86 | %3 | | | | 1.09 | % | | | | 1.70 | % | | | | 2.03 | % | | | | 2.83 | % | | | | 4.93 | % | | |
Portfolio Turnover Rate | | | | 12 | %4 | | | | 31 | % | | | | 43 | % | | | | 29 | % | | | | 42 | % | | | | 43 | % | | |
| 1 | Per share numbers have been calculated using the average share method. |
| 2 | The Fund did not incur any interest expense for the six months ended September 30, 2014, the fiscal years ended March 31, 2014, March 31, 2013, March 31, 2012 and March 31, 2011. The Fund incurred interest expense for the fiscal year ended March 31, 2010. If interest expense had not been incurred, the ratio of annualized operating expenses to average net assets for the fiscal year ended March 31, 2010 would have been 0.34%. |
See accompanying notes to financial statements.
Semi-Annual Report September 2014 / 146
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | LOW DURATION
BOND FUND CLASS M | | |
| | | | | | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2014
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2014 | | YEAR
ENDED
MARCH 31,
2013 | | YEAR
ENDED
MARCH 31,
2012 | | YEAR
ENDED
MARCH 31,
2011 | | YEAR
ENDED
MARCH 31,
2010 | | |
Net Asset Value, Beginning of Period | | | $ | 8.81 | | | | $ | 8.83 | | | | $ | 8.60 | | | | $ | 8.65 | | | | $ | 8.21 | | | | $ | 7.08 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | 0.06 | | | | | 0.14 | | | | | 0.25 | | | | | 0.26 | | | | | 0.26 | | | | | 0.33 | | | |
Net realized and unrealized gain/(loss) | | | | – | | | | | (0.01 | ) | | | | 0.23 | | | | | (0.05 | ) | | | | 0.44 | | | | | 1.15 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Income from Investment Operations | | | | 0.06 | | | | | 0.13 | | | | | 0.48 | | | | | 0.21 | | | | | 0.70 | | | | | 1.48 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.05 | ) | | | | (0.15 | ) | | | | (0.25 | ) | | | | (0.26 | ) | | | | (0.26 | ) | | | | (0.35 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Total Distributions | | | | (0.05 | ) | | | | (0.15 | ) | | | | (0.25 | ) | | | | (0.26 | ) | | | | (0.26 | ) | | | | (0.35 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Net Asset Value, End of Period | | | $ | 8.82 | | | | $ | 8.81 | | | | $ | 8.83 | | | | $ | 8.60 | | | | $ | 8.65 | | | | $ | 8.21 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Total Return | | | | 0.81 | % | | | | 1.45 | % | | | | 5.64 | % | | | | 2.53 | % | | | | 8.63 | % | | | | 21.45 | % | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 2,002,894 | | | | $ | 1,918,474 | | | | $ | 1,140,625 | | | | $ | 1,214,668 | | | | $ | 1,356,201 | | | | $ | 1,032,666 | | | |
Ratio of Expenses to Average Net Assets2 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 0.61 | %3 | | | | 0.57 | % | | | | 0.57 | % | | | | 0.59 | % | | | | 0.58 | % | | | | 0.71 | % | | |
After expense waivers and reimbursements | | | | 0.60 | %3 | | | | 0.57 | % | | | | 0.57 | % | | | | 0.59 | % | | | | 0.58 | % | | | | 0.69 | % | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 1.39 | %3 | | | | 1.60 | % | | | | 2.83 | % | | | | 3.06 | % | | | | 3.01 | % | | | | 4.32 | % | | |
Portfolio Turnover Rate | | | | 21 | %4 | | | | 31 | % | | | | 60 | % | | | | 60 | % | | | | 87 | % | | | | 36 | % | | |
| 1 | Per share numbers have been calculated using the average share method. |
| 2 | The Fund did not incur any interest expense for the six months ended September 30, 2014, the fiscal years ended March 31, 2014, March 31, 2013, March 31, 2012 and March 31, 2011. The Fund incurred interest expense for the fiscal year ended March 31, 2010. If interest expense had not been incurred, the ratio of annualized operating expenses to average net assets for the fiscal year ended March 31, 2010 would have been 0.58%. |
See accompanying notes to financial statements.
147 / Semi-Annual Report September 2014
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | LOW DURATION
BOND FUND CLASS I | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2014
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2014 | | YEAR
ENDED
MARCH 31,
2013 | | YEAR
ENDED
MARCH 31,
2012 | | YEAR
ENDED
MARCH 31,
2011 | | YEAR
ENDED
MARCH 31,
2010 | | |
Net Asset Value, Beginning of Period | | | $ | 8.81 | | | | $ | 8.83 | | | | $ | 8.60 | | | | $ | 8.66 | | | | $ | 8.22 | | | | $ | 7.08 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | 0.07 | | | | | 0.16 | | | | | 0.26 | | | | | 0.28 | | | | | 0.27 | | | | | 0.35 | | | |
Net realized and unrealized gain/(loss) | | | | – | | | | | (0.02 | ) | | | | 0.24 | | | | | (0.06 | ) | | | | 0.45 | | | | | 1.16 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Income from Investment Operations | | | | 0.07 | | | | | 0.14 | | | | | 0.50 | | | | | 0.22 | | | | | 0.72 | | | | | 1.51 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.06 | ) | | | | (0.16 | ) | | | | (0.27 | ) | | | | (0.28 | ) | | | | (0.28 | ) | | | | (0.37 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | | (0.06 | ) | | | | (0.16 | ) | | | | (0.27 | ) | | | | (0.28 | ) | | | | (0.28 | ) | | | | (0.37 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 8.82 | | | | $ | 8.81 | | | | $ | 8.83 | | | | $ | 8.60 | | | | $ | 8.66 | | | | $ | 8.22 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | 0.91 | % | | | | 1.64 | % | | | | 5.84 | % | | | | 2.61 | % | | | | 8.82 | % | | | | 21.83 | % | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 1,594,727 | | | | $ | 1,695,160 | | | | $ | 741,747 | | | | $ | 504,182 | | | | $ | 573,395 | | | | $ | 476,233 | | | |
Ratio of Expenses to Average Net Assets2 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 0.40 | %3 | | | | 0.37 | % | | | | 0.38 | % | | | | 0.40 | % | | | | 0.39 | % | | | | 0.52 | % | | |
After expense waivers and reimbursements | | | | 0.40 | %3 | | | | 0.37 | % | | | | 0.38 | % | | | | 0.40 | % | | | | 0.39 | % | | | | 0.50 | % | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 1.59 | %3 | | | | 1.78 | % | | | | 3.00 | % | | | | 3.24 | % | | | | 3.20 | % | | | | 4.52 | % | | |
Portfolio Turnover Rate | | | | 21 | %4 | | | | 31 | % | | | | 60 | % | | | | 60 | % | | | | 87 | % | | | | 36 | % | | |
| 1 | Per share numbers have been calculated using the average share method. |
| 2 | The Fund did not incur any interest expense for the six months ended September 30, 2014, the fiscal years ended March 31, 2014, March 31, 2013, March 31, 2012 and March 31, 2011. The Fund incurred interest expense for the fiscal year ended March 31, 2010. If interest expense had not been incurred, the ratio of annualized operating expenses to average net assets for the fiscal year ended March 31, 2010 would have been 0.39%. |
See accompanying notes to financial statements.
Semi-Annual Report September 2014 / 148
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | LOW DURATION
BOND FUND
ADMINISTRATIVE CLASS* | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2014
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2014 | | YEAR
ENDED
MARCH 31,
2013 | | YEAR
ENDED
MARCH 31,
2012 | | YEAR
ENDED
MARCH 31,
2011 | | PERIOD
ENDED
MARCH 31,
2010 | | |
Net Asset Value, Beginning of Period | | | $ | 11.38 | | | | $ | 11.41 | | | | $ | 11.11 | | | | $ | 11.18 | | | | $ | 10.61 | | | | $ | 10.00 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | 0.07 | | | | | 0.14 | | | | | 0.32 | | | | | 0.31 | | | | | 0.31 | | | | | 0.15 | | | |
Net realized and unrealized gain/(loss) | | | | – | | | | | – | | | | | 0.28 | | | | | (0.06 | ) | | | | 0.57 | | | | | 0.64 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Income from Investment Operations | | | | 0.07 | | | | | 0.14 | | | | | 0.60 | | | | | 0.25 | | | | | 0.88 | | | | | 0.79 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.06 | ) | | | | (0.17 | ) | | | | (0.30 | ) | | | | (0.32 | ) | | | | (0.31 | ) | | | | (0.18 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | | (0.06 | ) | | | | (0.17 | ) | | | | (0.30 | ) | | | | (0.32 | ) | | | | (0.31 | ) | | | | (0.18 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 11.39 | | | | $ | 11.38 | | | | $ | 11.41 | | | | $ | 11.11 | | | | $ | 11.18 | | | | $ | 10.61 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | 0.69 | % | | | | 1.21 | % | | | | 5.46 | % | | | | 2.28 | % | | | | 8.41 | % | | | | 7.91 | %2 | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 4,539 | | | | $ | 3,623 | | | | $ | 105 | | | | $ | 1,594 | | | | $ | 2,133 | | | | $ | 1,029 | | | |
Ratio of Expenses to Average Net Assets3 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 0.80 | %4 | | | | 0.78 | % | | | | 0.77 | % | | | | 0.79 | % | | | | 0.78 | % | | | | 0.91 | %4 | | |
After expense waivers and reimbursements | | | | 0.80 | %4 | | | | 0.78 | % | | | | 0.77 | % | | | | 0.79 | % | | | | 0.78 | % | | | | 0.89 | %4 | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 1.19 | %4 | | | | 1.24 | % | | | | 2.85 | % | | | | 2.82 | % | | | | 2.78 | % | | | | 2.72 | %4 | | |
Portfolio Turnover Rate | | | | 21 | %2 | | | | 31 | % | | | | 60 | % | | | | 60 | % | | | | 87 | % | | | | 36 | %2 | | |
| 1 | Per share numbers have been calculated using the average share method. |
| 3 | The Fund did not incur any interest expense for the six months ended September 30, 2014, the fiscal years ended March 31, 2014, March 31, 2013, March 31, 2012 and March 31, 2011. The Fund incurred interest expense for the fiscal year ended March 31, 2010. If interest expense had not been incurred, the ratio of annualized operating expenses to average net assets for the fiscal year ended March 31, 2010 would have been 0.78%. |
| * | The Low Duration Bond Fund Administrative Class Shares commenced operations on September 23, 2009. |
See accompanying notes to financial statements.
149 / Semi-Annual Report September 2014
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | INTERMEDIATE
BOND FUND CLASS M | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2014
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2014 | | YEAR
ENDED
MARCH 31,
2013 | | YEAR
ENDED
MARCH 31,
2012 | | YEAR
ENDED
MARCH 31,
2011 | | YEAR
ENDED
MARCH 31,
2010 | | |
Net Asset Value, Beginning of Period | | | $ | 10.52 | | | | $ | 10.69 | | | | $ | 10.47 | | | | $ | 10.31 | | | | $ | 10.17 | | | | $ | 9.09 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | 0.09 | | | | | 0.24 | | | | | 0.35 | | | | | 0.40 | | | | | 0.44 | | | | | 0.49 | | | |
Net realized and unrealized gain/(loss) | | | | 0.03 | | | | | (0.16 | ) | | | | 0.40 | | | | | 0.16 | | | | | 0.50 | | | | | 1.14 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Income from Investment Operations | | | | 0.12 | | | | | 0.08 | | | | | 0.75 | | | | | 0.56 | | | | | 0.94 | | | | | 1.63 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.07 | ) | | | | (0.24 | ) | | | | (0.35 | ) | | | | (0.40 | ) | | | | (0.44 | ) | | | | (0.49 | ) | | |
From net capital gains | | | | – | | | | | (0.01 | ) | | | | (0.18 | ) | | | | – | | | | | (0.36 | ) | | | | (0.01 | ) | | |
From return of capital | | | | – | | | | | – | | | | | – | | | | | – | | | | | – | | | | | (0.05 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | | (0.07 | ) | | | | (0.25 | ) | | | | (0.53 | ) | | | | (0.40 | ) | | | | (0.80 | ) | | | | (0.55 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 10.57 | | | | $ | 10.52 | | | | $ | 10.69 | | | | $ | 10.47 | | | | $ | 10.31 | | | | $ | 10.17 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | 1.29 | % | | | | 0.80 | % | | | | 7.28 | % | | | | 5.56 | % | | | | 9.50 | % | | | | 18.32 | % | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 157,924 | | | | $ | 144,635 | | | | $ | 115,576 | | | | $ | 89,990 | | | | $ | 56,748 | | | | $ | 44,805 | | | |
Ratio of Expenses to Average Net Assets2 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 0.70 | %3 | | | | 0.69 | % | | | | 0.69 | % | | | | 0.72 | % | | | | 0.72 | % | | | | 0.81 | % | | |
After expense waivers and reimbursements | | | | 0.67 | %3 | | | | 0.65 | % | | | | 0.65 | % | | | | 0.66 | % | | | | 0.65 | % | | | | 0.70 | % | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 1.63 | %3 | | | | 2.25 | % | | | | 3.24 | % | | | | 3.89 | % | | | | 4.24 | % | | | | 5.00 | % | | |
Portfolio Turnover Rate | | | | 92 | %4 | | | | 208 | % | | | | 119 | % | | | | 145 | % | | | | 192 | % | | | | 95 | % | | |
| 1 | Per share numbers have been calculated using the average share method. |
| 2 | The Fund did not incur any interest expense for the six months ended September 30, 2014, the fiscal years ended March 31, 2014, March 31, 2013, March 31, 2012 and March 31, 2011. The Fund incurred interest expense for the fiscal year ended March 31, 2010. If interest expense had not been incurred, the ratio of annualized operating expenses to average net assets for the fiscal year ended March 31, 2010 would have been 0.65%. |
See accompanying notes to financial statements.
Semi-Annual Report September 2014 / 150
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | INTERMEDIATE
BOND FUND CLASS I | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2014
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2014 | | YEAR
ENDED
MARCH 31,
2013 | | YEAR
ENDED
MARCH 31,
2012 | | YEAR
ENDED
MARCH 31,
2011 | | YEAR
ENDED
MARCH 31,
2010 | | |
Net Asset Value, Beginning of Period | | | $ | 10.52 | | | | $ | 10.69 | | | | $ | 10.47 | | | | $ | 10.30 | | | | $ | 10.17 | | | | $ | 9.09 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | 0.10 | | | | | 0.25 | | | | | 0.37 | | | | | 0.43 | | | �� | | 0.46 | | | | | 0.51 | | | |
Net realized and unrealized gain/(loss) | | | | 0.03 | | | | | (0.15 | ) | | | | 0.40 | | | | | 0.16 | | | | | 0.50 | | | | | 1.14 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Income from Investment Operations | | | | 0.13 | | | | | 0.10 | | | | | 0.77 | | | | | 0.59 | | | | | 0.96 | | | | | 1.65 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.08 | ) | | | | (0.26 | ) | | | | (0.37 | ) | | | | (0.42 | ) | | | | (0.47 | ) | | | | (0.51 | ) | | |
From net capital gains | | | | – | | | | | (0.01 | ) | | | | (0.18 | ) | | | | – | | | | | (0.36 | ) | | | | (0.01 | ) | | |
From return of capital | | | | – | | | | | – | | | | | – | | | | | – | | | | | – | | | | | (0.05 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | | (0.08 | ) | | | | (0.27 | ) | | | | (0.55 | ) | | | | (0.42 | ) | | | | (0.83 | ) | | | | (0.57 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 10.57 | | | | $ | 10.52 | | | | $ | 10.69 | | | | $ | 10.47 | | | | $ | 10.30 | | | | $ | 10.17 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | 1.39 | % | | | | 1.02 | % | | | | 7.50 | % | | | | 5.89 | % | | | | 9.62 | % | | | | 18.57 | % | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 508,145 | | | | $ | 356,129 | | | | $ | 197,719 | | | | $ | 193,480 | | | | $ | 144,364 | | | | $ | 162,363 | | | |
Ratio of Expenses to Average Net Assets2 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 0.46 | %3 | | | | 0.46 | % | | | | 0.48 | % | | | | 0.51 | % | | | | 0.51 | % | | | | 0.60 | % | | |
After expense waivers and reimbursements | | | | 0.46 | %3 | | | | 0.44 | % | | | | 0.44 | % | | | | 0.45 | % | | | | 0.44 | % | | | | 0.49 | % | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 1.83 | %3 | | | | 2.39 | % | | | | 3.46 | % | | | | 4.11 | % | | | | 4.45 | % | | | | 5.25 | % | | |
Portfolio Turnover Rate | | | | 92 | %4 | | | | 208 | % | | | | 119 | % | | | | 145 | % | | | | 192 | % | | | | 95 | % | | |
| 1 | Per share numbers have been calculated using the average share method. |
| 2 | The Fund did not incur any interest expense for the six months ended September 30, 2014, the fiscal years ended March 31, 2014, March 31, 2013, March 31, 2012 and March 31, 2011. The Fund incurred interest expense for the fiscal year ended March 31, 2010. If interest expense had not been incurred, the ratio of annualized operating expenses to average net assets for the fiscal year ended March 31, 2010 would have been 0.44%. |
See accompanying notes to financial statements.
151 / Semi-Annual Report September 2014
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | TOTAL RETURN
BOND FUND CLASS M | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2014
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2014 | | YEAR
ENDED
MARCH 31,
2013 | | YEAR
ENDED
MARCH 31,
2012 | | YEAR
ENDED
MARCH 31,
2011 | | YEAR
ENDED
MARCH 31,
2010 | | |
Net Asset Value, Beginning of Period | | | $ | 10.68 | | | | $ | 10.92 | | | | $ | 10.54 | | | | $ | 10.41 | | | | $ | 10.16 | | | | $ | 8.89 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | 0.12 | | | | | 0.29 | | | | | 0.36 | | | | | 0.45 | | | | | 0.47 | | | | | 0.57 | | | |
Net realized and unrealized gain/(loss) | | | | 0.12 | | | | | (0.18 | ) | | | | 0.62 | | | | | 0.21 | | | | | 0.42 | | | | | 1.26 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Income from Investment Operations | | | | 0.24 | | | | | 0.11 | | | | | 0.98 | | | | | 0.66 | | | | | 0.89 | | | | | 1.83 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.10 | ) | | | | (0.29 | ) | | | | (0.38 | ) | | | | (0.45 | ) | | | | (0.47 | ) | | | | (0.56 | ) | | |
From net capital gains | | | | – | | | | | (0.06 | ) | | | | (0.22 | ) | | | | (0.08 | ) | | | | (0.17 | ) | | | | – | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | | (0.10 | ) | | | | (0.35 | ) | | | | (0.60 | ) | | | | (0.53 | ) | | | | (0.64 | ) | | | | (0.56 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 10.82 | | | | $ | 10.68 | | | | $ | 10.92 | | | | $ | 10.54 | | | | $ | 10.41 | | | | $ | 10.16 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | 2.45 | % | | | | 1.07 | % | | | | 9.46 | % | | | | 6.55 | % | | | | 8.86 | % | | | | 21.16 | % | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 11,812,560 | | | | $ | 10,587,362 | | | | $ | 10,806,099 | | | | $ | 8,154,998 | | | | $ | 6,999,143 | | | | $ | 4,645,082 | | | |
Ratio of Expenses to Average Net Assets2 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 0.68 | %3 | | | | 0.62 | % | | | | 0.61 | % | | | | 0.63 | % | | | | 0.63 | % | | | | 0.72 | % | | |
After expense waivers and reimbursements | | | | 0.67 | %3 | | | | 0.62 | % | | | | 0.61 | % | | | | 0.63 | % | | | | 0.63 | % | | | | 0.72 | % | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 2.30 | %3 | | | | 2.70 | % | | | | 3.30 | % | | | | 4.33 | % | | | | 4.47 | % | | | | 5.88 | % | | |
Portfolio Turnover Rate | | | | 120 | %4 | | | | 255 | % | | | | 160 | % | | | | 156 | % | | | | 228 | % | | | | 141 | % | | |
| 1 | Per share numbers have been calculated using the average share method. |
| 2 | The Fund did not incur any interest expense for the six months ended September 30, 2014, the fiscal years ended March 31, 2014, March 31, 2013, March 31, 2012 and March 31, 2011. The Fund incurred interest expense for the fiscal year ended March 31, 2010. If interest expense had not been incurred, the ratio of annualized operating expenses to average net assets for the fiscal year ended March 31, 2010 would have been 0.65%. |
See accompanying notes to financial statements.
Semi-Annual Report September 2014 / 152
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | TOTAL RETURN
BOND FUND CLASS I | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2014
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2014 | | YEAR
ENDED
MARCH 31,
2013 | | YEAR
ENDED
MARCH 31,
2012 | | YEAR
ENDED
MARCH 31,
2011 | | YEAR
ENDED
MARCH 31,
2010 | | |
Net Asset Value, Beginning of Period | | | $ | 10.68 | | | | $ | 10.92 | | | | $ | 10.54 | | | | $ | 10.41 | | | | $ | 10.16 | | | | $ | 8.89 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | 0.14 | | | | | 0.31 | | | | | 0.38 | | | | | 0.47 | | | | | 0.49 | | | | | 0.58 | | | |
Net realized and unrealized gain/(loss) | | | | 0.10 | | | | | (0.18 | ) | | | | 0.62 | | | | | 0.21 | | | | | 0.42 | | | | | 1.27 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Income from Investment Operations | | | | 0.24 | | | | | 0.13 | | | | | 1.00 | | | | | 0.68 | | | | | 0.91 | | | | | 1.85 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.11 | ) | | | | (0.31 | ) | | | | (0.40 | ) | | | | (0.47 | ) | | | | (0.49 | ) | | | | (0.58 | ) | | |
From net capital gains | | | | – | | | | | (0.06 | ) | | | | (0.22 | ) | | | | (0.08 | ) | | | | (0.17 | ) | | | | – | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | | (0.11 | ) | | | | (0.37 | ) | | | | (0.62 | ) | | | | (0.55 | ) | | | | (0.66 | ) | | | | (0.58 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 10.81 | | | | $ | 10.68 | | | | $ | 10.92 | | | | $ | 10.54 | | | | $ | 10.41 | | | | $ | 10.16 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | 2.48 | % | | | | 1.29 | % | | | | 9.69 | % | | | | 6.78 | % | | | | 9.08 | % | | | | 21.42 | % | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 21,276,615 | | | | $ | 16,023,118 | | | | $ | 13,693,971 | | | | $ | 11,275,951 | | | | $ | 5,972,132 | | | | $ | 3,784,988 | | | |
Ratio of Expenses to Average Net Assets2 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 0.44 | %3 | | | | 0.40 | % | | | | 0.40 | % | | | | 0.42 | % | | | | 0.42 | % | | | | 0.51 | % | | |
After expense waivers and reimbursements | | | | 0.44 | %3 | | | | 0.40 | % | | | | 0.40 | % | | | | 0.42 | % | | | | 0.42 | % | | | | 0.51 | % | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 2.53 | %3 | | | | 2.90 | % | | | | 3.52 | % | | | | 4.53 | % | | | | 4.67 | % | | | | 6.03 | % | | |
Portfolio Turnover Rate | | | | 120 | %4 | | | | 255 | % | | | | 160 | % | | | | 156 | % | | | | 228 | % | | | | 141 | % | | |
| 1 | Per share numbers have been calculated using the average share method. |
| 2 | The Fund did not incur any interest expense for the six months ended September 30, 2014, the fiscal years ended March 31, 2014, March 31, 2013, March 31, 2012 and March 31, 2011. The Fund incurred interest expense for the fiscal year ended March 31, 2010. If interest expense had not been incurred, the ratio of annualized operating expenses to average net assets for the fiscal year ended March 31, 2010 would have been 0.44%. |
See accompanying notes to financial statements.
153 / Semi-Annual Report September 2014
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | TOTAL RETURN
BOND FUND
ADMINISTRATIVE CLASS* | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2014
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2014 | | YEAR
ENDED
MARCH 31,
2013 | | YEAR
ENDED
MARCH 31,
2012 | | YEAR
ENDED
MARCH 31,
2011 | | PERIOD
ENDED
MARCH 31,
2010 | | |
Net Asset Value, Beginning of Period | | | $ | 10.68 | | | | $ | 10.93 | | | | $ | 10.55 | | | | $ | 10.42 | | | | $ | 10.17 | | | | $ | 10.00 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | 0.11 | | | | | 0.26 | | | | | 0.33 | | | | | 0.43 | | | | | 0.44 | | | | | 0.13 | | | |
Net realized and unrealized gain/(loss) | | | | 0.13 | | | | | (0.18 | ) | | | | 0.63 | | | | | 0.21 | | | | | 0.42 | | | | | 0.17 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Income from Investment Operations | | | | 0.24 | | | | | 0.08 | | | | | 0.96 | | | | | 0.64 | | | | | 0.86 | | | | | 0.30 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.10 | ) | | | | (0.27 | ) | | | | (0.36 | ) | | | | (0.43 | ) | | | | (0.44 | ) | | | | (0.13 | ) | | |
From net capital gains | | | | – | | | | | (0.06 | ) | | | | (0.22 | ) | | | | (0.08 | ) | | | | (0.17 | ) | | | | – | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | | (0.10 | ) | | | | (0.33 | ) | | | | (0.58 | ) | | | | (0.51 | ) | | | | (0.61 | ) | | | | (0.13 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 10.82 | | | | $ | 10.68 | | | | $ | 10.93 | | | | $ | 10.55 | | | | $ | 10.42 | | | | $ | 10.17 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | 2.37 | % | | | | 0.79 | % | | | | 9.24 | % | | | | 6.34 | % | | | | 8.63 | % | | | | 3.05 | %2 | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 73,816 | | | | $ | 39,430 | | | | $ | 15,783 | | | | $ | 7,061 | | | | $ | 6,681 | | | | $ | 1,194 | | | |
Ratio of Expenses to Average Net Assets3 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 0.83 | %4 | | | | 0.81 | % | | | | 0.81 | % | | | | 0.83 | % | | | | 0.83 | % | | | | 0.92 | % | | |
After expense waivers and reimbursements | | | | 0.83 | %4 | | | | 0.81 | % | | | | 0.81 | % | | | | 0.83 | % | | | | 0.83 | % | | | | 0.92 | % | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 2.11 | %4 | | | | 2.47 | % | | | | 3.04 | % | | | | 4.14 | % | | | | 4.16 | % | | | | 4.66 | % | | |
Portfolio Turnover Rate | | | | 120 | %2 | | | | 255 | % | | | | 160 | % | | | | 156 | % | | | | 228 | % | | | | 141 | %2 | | |
| 1 | Per share numbers have been calculated using the average share method. |
| 3 | The Fund did not incur any interest expense for the six months ended September 30, 2014, the fiscal years ended March 31, 2014, March 31, 2013, March 31, 2012 and March 31, 2011. The Fund incurred interest expense for the fiscal year ended March 31, 2010. If interest expense had not been incurred, the ratio of annualized operating expenses to average net assets for the fiscal year ended March 31, 2010 would have been 0.85%. |
| * | The Total Return Bond Fund Administrative Class Shares commenced operations on December 18, 2009. |
See accompanying notes to financial statements.
Semi-Annual Report September 2014 / 154
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | TOTAL RETURN
BOND FUND
PLAN CLASS* |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2014
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2014 | | YEAR
ENDED
MARCH 31,
2013 | | PERIOD
ENDED
MARCH 31,
2012 | | |
Net Asset Value, Beginning of Period | | | $ | 10.07 | | | | $ | 10.30 | | | | $ | 9.95 | | | | $ | 10.00 | | | |
| | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | 0.13 | | | | | 0.29 | | | | | 0.35 | | | | | 0.30 | | | |
Net realized and unrealized gain/(loss) | | | | 0.11 | | | | | (0.17 | ) | | | | 0.60 | | | | | 0.07 | | | |
| | | | | | | | | | | | | | | | | | | | | | | |
Total Income from Investment Operations | | | | 0.24 | | | | | 0.12 | | | | | 0.95 | | | | | 0.37 | | | |
| | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.11 | ) | | | | (0.29 | ) | | | | (0.38 | ) | | | | (0.34 | ) | | |
From net capital gains | | | | – | | | | | (0.06 | ) | | | | (0.22 | ) | | | | (0.08 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | | (0.11 | ) | | | | (0.35 | ) | | | | (0.60 | ) | | | | (0.42 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 10.20 | | | | $ | 10.07 | | | | $ | 10.30 | | | | $ | 9.95 | | | |
| | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | 2.57 | % | | | | 1.30 | % | | | | 9.73 | % | | | | 3.81 | %2 | | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 960,719 | | | | $ | 535,236 | | | | $ | 348,453 | | | | $ | 119,860 | | | |
Ratio of Expenses to Average Net Assets3 | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 0.39 | %4 | | | | 0.39 | % | | | | 0.40 | % | | | | 0.41 | %4 | | |
After expense waivers and reimbursements | | | | 0.39 | %4 | | | | 0.39 | % | | | | 0.39 | % | | | | 0.40 | %4 | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 1.28 | %4 | | | | 2.88 | % | | | | 3.42 | % | | | | 4.43 | %4 | | |
Portfolio Turnover Rate | | | | 120 | %2 | | | | 255 | % | | | | 160 | % | | | | 156 | %2 | | |
| 1 | Per share numbers have been calculated using the average share method. |
| 3 | The Fund did not incur any interest expense for the six months ended September 30, 2014, the fiscal years ended March 31, 2014, March 31, 2013 and March 31, 2012. |
| * | The Total Return Bond Fund Plan Class Shares commenced operations on August 1, 2011. |
See accompanying notes to financial statements.
155 / Semi-Annual Report September 2014
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | HIGH YIELD
BOND FUND CLASS M | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2014
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2014 | | YEAR
ENDED
MARCH 31,
2013 | | YEAR
ENDED
MARCH 31,
2012 | | YEAR
ENDED
MARCH 31,
2011 | | YEAR
ENDED
MARCH 31,
2010 | | |
Net Asset Value, Beginning of Period | | | $ | 10.37 | | | | $ | 10.59 | | | | $ | 10.11 | | | | $ | 10.94 | | | | $ | 10.40 | | | | $ | 7.65 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | 0.23 | | | | | 0.54 | | | | | 0.64 | | | | | 0.73 | | | | | 0.82 | | | | | 0.92 | | | |
Net realized and unrealized gain/(loss) | | | | (0.29 | ) | | | | 0.05 | | | | | 0.57 | | | | | (0.68 | ) | | | | 0.59 | | | | | 2.78 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Income/(Loss) from Investment Operations | | | | (0.06 | ) | | | | 0.59 | | | | | 1.21 | | | | | 0.05 | | | | | 1.41 | | | | | 3.70 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.20 | ) | | | | (0.53 | ) | | | | (0.68 | ) | | | | (0.76 | ) | | | | (0.82 | ) | | | | (0.91 | ) | | |
From net capital gains | | | | – | | | | | (0.28 | ) | | | | (0.05 | ) | | | | (0.12 | ) | | | | (0.05 | ) | | | | (0.04 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | | (0.20 | ) | | | | (0.81 | ) | | | | (0.73 | ) | | | | (0.88 | ) | | | | (0.87 | ) | | | | (0.95 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Redemption fees added to paid-in capital (Note 8) | | | | – | | | | | – | | | | | – | | | | | – | | | | | 0.00 | 2 | | | | 0.00 | 2 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 10.11 | | | | $ | 10.37 | | | | $ | 10.59 | | | | $ | 10.11 | | | | $ | 10.94 | | | | $ | 10.40 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | (0.31 | )% | | | | 5.89 | % | | | | 12.40 | % | | | | 0.68 | % | | | | 14.19 | % | | | | 49.85 | % | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 932,122 | | | | $ | 1,323,298 | | | | $ | 1,335,683 | | | | $ | 1,227,806 | | | | $ | 1,351,022 | | | | $ | 523,717 | | | |
Ratio of Expenses to Average Net Assets3 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 0.90 | %4 | | | | 0.82 | % | | | | 0.81 | % | | | | 0.85 | % | | | | 0.85 | % | | | | 0.88 | % | | |
After expense waivers and reimbursements | | | | 0.81 | %4 | | | | 0.80 | % | | | | 0.79 | % | | | | 0.82 | % | | | | 0.80 | % | | | | 0.81 | % | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 4.45 | %4 | | | | 5.20 | % | | | | 6.20 | % | | | | 7.14 | % | | | | 7.73 | % | | | | 9.29 | % | | |
Portfolio Turnover Rate | | | | 28 | %5 | | | | 66 | % | | | | 74 | % | | | | 54 | % | | | | 34 | % | | | | 40 | % | | |
| 1 | Per share numbers have been calculated using the average share method. |
| 2 | Amount is less than $0.01. |
| 3 | The Fund did not incur any interest expense for the six months ended September 30, 2014, the fiscal years ended March 31, 2014, March 31, 2013, March 31, 2012 and March 31, 2011. The Fund incurred interest expense for the fiscal year ended March 31, 2010. If interest expense had not been incurred, the ratio of annualized operating expenses to average net assets for the fiscal year ended March 31, 2010 would have been 0.80%. |
See accompanying notes to financial statements.
Semi-Annual Report September 2014 / 156
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | HIGH YIELD
BOND FUND CLASS I | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2014
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2014 | | YEAR
ENDED
MARCH 31,
2013 | | YEAR
ENDED
MARCH 31,
2012 | | YEAR
ENDED
MARCH 31,
2011 | | YEAR
ENDED
MARCH 31,
2010 | | |
Net Asset Value, Beginning of Period | | | $ | 10.37 | | | | $ | 10.59 | | | | $ | 10.11 | | | | $ | 10.94 | | | | $ | 10.40 | | | | $ | 7.65 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | 0.24 | | | | | 0.57 | | | | | 0.66 | | | | | 0.75 | | | | | 0.85 | | | | | 0.95 | | | |
Net realized and unrealized gain/(loss) | | | | (0.29 | ) | | | | 0.05 | | | | | 0.57 | | | | | (0.68 | ) | | | | 0.59 | | | | | 2.77 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Income/(Loss) from Investment Operations | | | | (0.05 | ) | | | | 0.62 | | | | | 1.23 | | | | | 0.07 | | | | | 1.44 | | | | | 3.72 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.21 | ) | | | | (0.56 | ) | | | | (0.70 | ) | | | | (0.78 | ) | | | | (0.85 | ) | | | | (0.93 | ) | | |
From net capital gains | | | | — | | | | | (0.28 | ) | | | | (0.05 | ) | | | | (0.12 | ) | | | | (0.05 | ) | | | | (0.04 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | | (0.21 | ) | | | | (0.84 | ) | | | | (0.75 | ) | | | | (0.90 | ) | | | | (0.90 | ) | | | | (0.97 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Redemption fees added to paid-in capital (Note 8) | | | | — | | | | | — | | | | | — | | | | | — | | | | | 0.00 | 2 | | | | 0.00 | 2 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 10.11 | | | | $ | 10.37 | | | | $ | 10.59 | | | | $ | 10.11 | | | | $ | 10.94 | | | | $ | 10.40 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | (0.19 | )% | | | | 6.16 | % | | | | 12.67 | % | | | | 0.93 | % | | | | 14.48 | % | | | | 50.22 | % | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 847,800 | | | | $ | 910,268 | | | | $ | 997,308 | | | | $ | 1,062,563 | | | | $ | 765,086 | | | | $ | 252,022 | | | |
Ratio of Expenses to Average Net Assets3 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 0.60 | %4 | | | | 0.56 | % | | | | 0.57 | % | | | | 0.60 | % | | | | 0.60 | % | | | | 0.63 | % | | |
After expense waivers and reimbursements | | | | 0.57 | %4 | | | | 0.55 | % | | | | 0.54 | % | | | | 0.57 | % | | | | 0.55 | % | | | | 0.56 | % | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 4.71 | %4 | | | | 5.45 | % | | | | 6.46 | % | | | | 7.35 | % | | | | 7.99 | % | | | | 9.82 | % | | |
Portfolio Turnover Rate | | | | 28 | %5 | | | | 66 | % | | | | 74 | % | | | | 54 | % | | | | 34 | % | | | | 40 | % | | |
| 1 | Per share numbers have been calculated using the average share method. |
| 2 | Amount is less than $0.01. |
| 3 | The Fund did not incur any interest expense for the six months ended September 30, 2014, the fiscal years ended March 31, 2014, March 31, 2013, March 31, 2012 and March 31, 2011. The Fund incurred interest expense for the fiscal year ended March 31, 2010. If interest expense had not been incurred, the ratio of annualized operating expenses to average net assets for the fiscal year ended March 31, 2010 would have been 0.55%. |
See accompanying notes to financial statements.
157 / Semi-Annual Report September 2014
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | UNCONSTRAINED
BOND FUND
CLASS M* |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2014
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2014 | | YEAR
ENDED
MARCH 31,
2013 | | PERIOD
ENDED
MARCH 31,
2012 | | |
Net Asset Value, Beginning of Period | | | $ | 11.87 | | | | $ | 11.81 | | | | $ | 11.23 | | | | $ | 10.00 | | | |
| | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | 0.11 | | | | | 0.29 | | | | | 0.36 | | | | | 0.32 | | | |
Net realized and unrealized gain | | | | 0.07 | | | | | 0.07 | | | | | 0.61 | | | | | 1.24 | | | |
| | | | | | | | | | | | | | | | | | | | | | | |
Total Income from Investment Operations | | | | 0.18 | | | | | 0.36 | | | | | 0.97 | | | | | 1.56 | | | |
| | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.09 | ) | | | | (0.29 | ) | | | | (0.39 | ) | | | | (0.31 | ) | | |
From net capital gains | | | | – | | | | | (0.01 | ) | | | | – | | | | | (0.02 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | | (0.09 | ) | | | | (0.30 | ) | | | | (0.39 | ) | | | | (0.33 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 11.96 | | | | $ | 11.87 | | | | $ | 11.81 | | | | $ | 11.23 | | | |
| | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | 1.68 | % | | | | 3.09 | % | | | | 9.72 | % | | | | 15.72 | %2 | | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 336,891 | | | | $ | 305,872 | | | | $ | 100,087 | | | | $ | 9,894 | | | |
Ratio of Expenses to Average Net Assets3 | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 1.04 | %4 | | | | 1.04 | % | | | | 1.35 | % | | | | 2.86 | %4 | | |
After expense waivers and reimbursements | | | | 1.01 | %4 | | | | 0.99 | % | | | | 0.99 | % | | | | 0.99 | %4 | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 1.87 | %4 | | | | 2.46 | % | | | | 3.07 | % | | | | 6.11 | %4 | | |
Portfolio Turnover Rate | | | | 11 | %2 | | | | 38 | % | | | | 43 | % | | | | 29 | %2 | | |
| 1 | Per share numbers have been calculated using the average share method. |
| 3 | The Fund did not incur any interest expense for the six months ended September 30, 2014, the fiscal years ended March 31, 2014, March 31, 2013 and March 31, 2012. |
| * | The Unconstrained Bond Fund Class M Shares commenced operations on October 1, 2011. |
See accompanying notes to financial statements.
Semi-Annual Report September 2014 / 158
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | UNCONSTRAINED
BOND FUND
CLASS I* |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2014
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2014 | | YEAR
ENDED
MARCH 31,
2013 | | PERIOD
ENDED
MARCH 31,
2012 | | |
Net Asset Value, Beginning of Period | | | $ | 11.86 | | | | $ | 11.80 | | | | $ | 11.22 | | | | $ | 10.00 | | | |
| | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | 0.13 | | | | | 0.32 | | | | | 0.38 | | | | | 0.33 | | | |
Net realized and unrealized gain | | | | 0.06 | | | | | 0.07 | | | | | 0.62 | | | | | 1.23 | | | |
| | | | | | | | | | | | | | | | | | | | | | | |
Total Income from Investment Operations | | | | 0.19 | | | | | 0.39 | | | | | 1.00 | | | | | 1.56 | | | |
| | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.10 | ) | | | | (0.32 | ) | | | | (0.42 | ) | | | | (0.32 | ) | | |
From net capital gains | | | | – | | | | | (0.01 | ) | | | | – | | | | | (0.02 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | | (0.10 | ) | | | | (0.33 | ) | | | | (0.42 | ) | | | | (0.34 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 11.95 | | | | $ | 11.86 | | | | $ | 11.80 | | | | $ | 11.22 | | | |
| | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | 1.80 | % | | | | 3.34 | % | | | | 9.98 | % | | | | 15.85 | %2 | | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 637,851 | | | | $ | 412,757 | | | | $ | 87,893 | | | | $ | 7,776 | | | |
Ratio of Expenses to Average Net Assets3 | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 0.77 | %4 | | | | 0.78 | % | | | | 1.10 | % | | | | 2.60 | %4 | | |
After expense waivers and reimbursements | | | | 0.77 | %4 | | | | 0.75 | % | | | | 0.75 | % | | | | 0.75 | %4 | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 2.09 | %4 | | | | 2.70 | % | | | | 3.21 | % | | | | 6.23 | %4 | | |
Portfolio Turnover Rate | | | | 11 | %2 | | | | 38 | % | | | | 43 | % | | | | 29 | %2 | | |
| 1 | Per share numbers have been calculated using the average share method. |
| 3 | The Fund did not incur any interest expense for the six months ended September 30, 2014, the fiscal years ended March 31, 2014, March 31, 2013 and March 31, 2012. |
| * | The Unconstrained Bond Fund Class I Shares commenced operations on October 1, 2011. |
See accompanying notes to financial statements.
159 / Semi-Annual Report September 2014
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | |
| | | FLOATING RATE
INCOME FUND
CLASS M* |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2014 (UNAUDITED) | | PERIOD
ENDED
MARCH 31,
2014 | | |
Net Asset Value, Beginning of Period | | | $ | 10.28 | | | | $ | 10.00 | | | |
| | | | | | | | | | | | | |
| | | |
| | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | |
Net investment income1 | | | | 0.16 | | | | | 0.26 | | | |
Net realized and unrealized gain/(loss) | | | | (0.08 | ) | | | | 0.25 | | | |
| | | | | | | | | | | | | |
Total Income from Investment Operations | | | | 0.08 | | | | | 0.51 | | | |
| | | | | | | | | | | | | |
| | | |
| | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | |
From net investment income | | | | (0.13 | ) | | | | (0.22 | ) | | |
From net capital gains | | | | – | | | | | (0.01 | ) | | |
| | | | | | | | | | | | | |
Total Distributions | | | | (0.13 | ) | | | | (0.23 | ) | | |
| | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 10.23 | | | | $ | 10.28 | | | |
| | | | | | | | | | | | | |
Total Return | | | | 1.06 | % | | | | 5.15 | %2 | | |
| | | |
| | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 6,663 | | | | $ | 5,311 | | | |
Ratio of Expenses to Average Net Assets3 | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 1.14 | %4 | | | | 1.11 | %4 | | |
After expense waivers and reimbursements | | | | 0.87 | %4 | | | | 0.85 | %4 | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 3.13 | %4 | | | | 3.41 | %4 | | |
Portfolio Turnover Rate | | | | 23 | %2 | | | | 67 | %2 | | |
| 1 | Per share numbers have been calculated using the average share method. |
| 3 | The Fund did not incur any interest expense for the six months ended September 30, 2014 and for the fiscal year ended March 31, 2014. |
| * | The Floating Rate Income Fund Class M Shares commenced operations on June 28, 2013. |
See accompanying notes to financial statements.
Semi-Annual Report September 2014 / 160
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | |
| | | FLOATING RATE
INCOME FUND
CLASS I* |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2014
(UNAUDITED) | | PERIOD
ENDED
MARCH 31,
2014 | | |
Net Asset Value, Beginning of Period | | | $ | 10.28 | | | | $ | 10.00 | | | |
| | | | | | | | | | | | | |
| | | |
| | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | |
Net investment income1 | | | | 0.17 | | | | | 0.26 | | | |
Net realized and unrealized gain/(loss) | | | | (0.09 | ) | | | | 0.26 | | | |
| | | | | | | | | | | | | |
Total Income from Investment Operations | | | | 0.08 | | | | | 0.52 | | | |
| | | | | | | | | | | | | |
| | | |
| | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | |
From net investment income | | | | (0.14 | ) | | | | (0.23 | ) | | |
From net capital gains | | | | – | | | | | (0.01 | ) | | |
| | | | | | | | | | | | | |
Total Distributions | | | | (0.14 | ) | | | | (0.24 | ) | | |
| | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 10.22 | | | | $ | 10.28 | | | |
| | | | | | | | | | | | | |
Total Return | | | | 1.06 | % | | | | 5.29 | %2 | | |
| | | |
| | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 129,454 | | | | $ | 115,448 | | | |
Ratio of Expenses to Average Net Assets3 | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 0.80 | %4 | | | | 0.81 | %4 | | |
After expense waivers and reimbursements | | | | 0.67 | %4 | | | | 0.65 | %4 | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 3.26 | %4 | | | | 3.34 | %4 | | |
Portfolio Turnover Rate | | | | 23 | %2 | | | | 67 | %2 | | |
| 1 | Per share numbers have been calculated using the average share method. |
| 3 | The Fund did not incur any interest expense for the six months ended September 30, 2014 and for the fiscal year ended March 31, 2014. |
| * | The Floating Rate Income Fund Class I Shares commenced operations on June 28, 2013. |
See accompanying notes to financial statements.
161 / Semi-Annual Report September 2014
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | STRATEGIC
INCOME FUND CLASS M | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2014
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2014 | | YEAR
ENDED
MARCH 31,
2013 | | YEAR
ENDED
MARCH 31,
2012 | | YEAR
ENDED
MARCH 31,
2011 | | YEAR
ENDED
MARCH 31,
2010 | | |
Net Asset Value, Beginning of Period | | | $ | 8.29 | | | | $ | 8.32 | | | | $ | 7.82 | | | | $ | 8.21 | | | | $ | 7.45 | | | | $ | 5.69 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | 0.08 | | | | | 0.22 | | | | | 0.39 | | | | | 0.44 | | | | | 0.40 | | | | | 0.58 | | | |
Net realized and unrealized gain/(loss) | | | | 0.04 | | | | | (0.02 | ) | | | | 0.51 | | | | | (0.36 | ) | | | | 0.78 | | | | | 1.91 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Income from Investment Operations | | | | 0.12 | | | | | 0.20 | | | | | 0.90 | | | | | 0.08 | | | | | 1.18 | | | | | 2.49 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.06 | ) | | | | (0.23 | ) | | | | (0.40 | ) | | | | (0.47 | ) | | | | (0.42 | ) | | | | (0.73 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | | (0.06 | ) | | | | (0.23 | ) | | | | (0.40 | ) | | | | (0.47 | ) | | | | (0.42 | ) | | | | (0.73 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 8.35 | | | | $ | 8.29 | | | | $ | 8.32 | | | | $ | 7.82 | | | | $ | 8.21 | | | | $ | 7.45 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | 1.61 | % | | | | 2.42 | % | | | | 11.80 | % | | | | 1.11 | % | | | | 16.21 | % | | | | 46.49 | % | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 79,024 | | | | $ | 73,180 | | | | $ | 36,823 | | | | $ | 20,882 | | | | $ | 88,162 | | | | $ | 47,906 | | | |
Ratio of Expenses to Average Net Assets2 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 2.36 | %3 | | | | 2.26 | % | | | | 2.16 | % | | | | 2.14 | % | | | | 2.22 | % | | | | 2.01 | % | | |
After expense waivers and reimbursements | | | | 2.35 | %3 | | | | 2.26 | % | | | | 2.16 | % | | | | 2.14 | % | | | | 2.22 | % | | | | 2.01 | % | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 1.91 | %3 | | | | 2.62 | % | | | | 4.85 | % | | | | 5.52 | % | | | | 5.10 | % | | | | 8.41 | % | | |
Portfolio Turnover Rate | | | | 16 | %4 | | | | 51 | % | | | | 50 | % | | | | 70 | % | | | | 93 | % | | | | 208 | % | | |
| 1 | Per share numbers have been calculated using the average share method. |
| 2 | The Fund did not incur any interest expense for the six months ended September 30, 2014, the fiscal years ended March 31, 2014, March 31, 2013, March 31, 2012 and March 31, 2011. The Fund incurred interest expense for the fiscal year ended March 31, 2010. If interest expense had not been incurred, the ratio of annualized operating expenses to average net assets for the fiscal year ended March 31, 2010 would have been 1.63%. |
See accompanying notes to financial statements.
Semi-Annual Report September 2014 / 162
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | STRATEGIC
INCOME FUND CLASS I | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2014
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2014 | | YEAR
ENDED
MARCH 31,
2013 | | YEAR
ENDED
MARCH 31,
2012 | | YEAR
ENDED
MARCH 31,
2011 | | YEAR
ENDED
MARCH 31,
2010 | | |
Net Asset Value, Beginning of Period | | | $ | 8.29 | | | | $ | 8.32 | | | | $ | 7.82 | | | | $ | 8.21 | | | | $ | 7.44 | | | | $ | 5.69 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | 0.09 | | | | | 0.25 | | | | | 0.42 | | | | | 0.49 | | | | | 0.43 | | | | | 0.71 | | | |
Net realized and unrealized gain/(loss) | | | | 0.04 | | | | | (0.03 | ) | | | | 0.50 | | | | | (0.39 | ) | | | | 0.78 | | | | | 1.79 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Income from Investment Operations | | | | 0.13 | | | | | 0.22 | | | | | 0.92 | | | | | 0.10 | | | | | 1.21 | | | | | 2.50 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.07 | ) | | | | (0.25 | ) | | | | (0.42 | ) | | | | (0.49 | ) | | | | (0.44 | ) | | | | (0.75 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | | (0.07 | ) | | | | (0.25 | ) | | | | (0.42 | ) | | | | (0.49 | ) | | | | (0.44 | ) | | | | (0.75 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 8.35 | | | | $ | 8.29 | | | | $ | 8.32 | | | | $ | 7.82 | | | | $ | 8.21 | | | | $ | 7.44 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | 1.75 | % | | | | 2.69 | % | | | | 12.08 | % | | | | 1.36 | % | | | | 16.66 | % | | | | 46.65 | % | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 121,373 | | | | $ | 146,485 | | | | $ | 178,751 | | | | $ | 162,947 | | | | $ | 180,409 | | | | $ | 167,570 | | | |
Ratio of Expenses to Average Net Assets2 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 2.05 | %3 | | | | 1.99 | % | | | | 1.91 | % | | | | 1.89 | % | | | | 1.97 | % | | | | 1.76 | % | | |
After expense waivers and reimbursements | | | | 2.05 | %3 | | | | 1.99 | % | | | | 1.91 | % | | | | 1.89 | % | | | | 1.97 | % | | | | 1.76 | % | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 2.17 | %3 | | | | 3.07 | % | | | | 5.18 | % | | | | 6.19 | % | | | | 5.41 | % | | | | 10.56 | % | | |
Portfolio Turnover Rate | | | | 16 | %4 | | | | 51 | % | | | | 50 | % | | | | 70 | % | | | | 93 | % | | | | 208 | % | | |
| 1 | Per share numbers have been calculated using the average share method. |
| 2 | The Fund did not incur any interest expense for the six months ended September 30, 2014, the fiscal years ended March 31, 2014, March 31, 2013, March 31, 2012 and March 31, 2011. The Fund incurred interest expense for the fiscal year ended March 31, 2010. If interest expense had not been incurred, the ratio of annualized operating expenses to average net assets for the fiscal year ended March 31, 2010 would have been 1.38%. |
See accompanying notes to financial statements.
163 / Semi-Annual Report September 2014
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | ALPHATRAK
500 FUND CLASS M | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2014
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2014 | | YEAR
ENDED
MARCH 31,
2013 | | YEAR
ENDED
MARCH 31,
2012 | | YEAR
ENDED
MARCH 31,
2011 | | YEAR
ENDED
MARCH 31,
2010 | | |
Net Asset Value, Beginning of Period | | | $ | 6.48 | | | | $ | 5.35 | | | | $ | 4.63 | | | | $ | 4.48 | | | | $ | 3.79 | | | | $ | 2.96 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | 0.03 | | | | | 0.08 | | | | | 0.07 | | | | | 0.11 | | | | | 0.12 | | | | | 0.15 | | | |
Net realized and unrealized gain | | | | 0.37 | | | | | 1.13 | | | | | 0.71 | | | | | 0.21 | | | | | 0.84 | | | | | 2.45 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Income from Investment Operations | | | | 0.40 | | | | | 1.21 | | | | | 0.78 | | | | | 0.32 | | | | | 0.96 | | | | | 2.60 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.04 | ) | | | | (0.08 | ) | | | | (0.06 | ) | | | | (0.09 | ) | | | | (0.17 | ) | | | | (0.18 | ) | | |
From net capital gains | | | | – | | | | | – | | | | | – | | | | | – | | | | | – | | | | | (0.22 | ) | | |
From return of capital | | | | – | | | | | – | | | | | – | | | | | (0.08 | ) | | | | (0.10 | ) | | | | (1.37 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | | (0.04 | ) | | | | (0.08 | ) | | | | (0.06 | ) | | | | (0.17 | ) | | | | (0.27 | ) | | | | (1.77 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 6.84 | | | | $ | 6.48 | | | | $ | 5.35 | | | | $ | 4.63 | | | | $ | 4.48 | | | | $ | 3.79 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | 6.33 | % | | | | 22.75 | % | | | | 16.88 | % | | | | 7.35 | % | | | | 26.31 | % | | | | 96.57 | % | | |
| | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 5,209 | | | | $ | 5,324 | | | | $ | 6,156 | | | | $ | 5,140 | | | | $ | 9,780 | | | | $ | 11,039 | | | |
Ratio of Expenses to Average Net Assets2 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 3.30 | %3 | | | | 2.98 | % | | | | 2.94 | % | | | | 2.09 | % | | | | 1.88 | % | | | | 1.30 | % | | |
After expense waivers and reimbursements | | | | 0.90 | %3 | | | | 0.90 | % | | | | 0.91 | %4 | | | | 0.97 | % | | | | 0.90 | % | | | | 1.21 | % | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 1.00 | %3 | | | | 1.43 | % | | | | 1.45 | % | | | | 2.75 | % | | | | 3.14 | % | | | | 3.84 | % | | |
Portfolio Turnover Rate | | | | 14 | %5 | | | | 50 | % | | | | 41 | % | | | | 31 | % | | | | 71 | % | | | | 24 | % | | |
| 1 | Per share numbers have been calculated using the average share method. |
| 2 | The Fund did not incur any interest expense for the six months ended September 30, 2014, the fiscal years ended March 31, 2014, March 31, 2013, March 31, 2012 and March 31, 2011. The Fund incurred interest expense for the fiscal year ended March 31, 2010. If interest expense had not been incurred, the ratio of annualized operating expenses to average net assets for the fiscal year ended March 31, 2010 would have been 0.90%. |
| 4 | The 0.91% represents the current expense waivers and reimbursements which is 0.01% over the expense cap. The after expense waivers and reimbursements would of been 0.90%. |
See accompanying notes to financial statements.
Semi-Annual Report September 2014 / 164
Notes to Financial Statements
September 30, 2014 (Unaudited)
| 1. | SUMMARY OF ORGANIZATION |
The Metropolitan West Funds (the “Trust”) is an open-end management investment company organized as a Delaware statutory trust on December 9, 1996 and registered under the Investment Company Act of 1940, as amended (the “1940 Act”). Metropolitan West Asset Management, LLC (the “Adviser”), a federally registered investment adviser, provides the Funds (as defined below) with investment management services.TheTrust currently consists of nine separate portfolios (each a “Fund” and collectively, the “Funds”): Metropolitan West Ultra Short Bond Fund (the “Ultra Short Bond Fund”), Metropolitan West Low Duration Bond Fund (the “Low Duration Bond Fund”), Metropolitan West Intermediate Bond Fund (the “Intermediate Bond Fund”), Metropolitan West Total Return Bond Fund (the “Total Return Bond Fund”), Metropolitan West High Yield Bond Fund (the “High Yield Bond Fund”), Metropolitan West Unconstrained Bond Fund (the “Unconstrained Bond Fund”), Metropolitan West Floating Rate Income Fund (the “Floating Rate Income Fund”), Metropolitan West Strategic Income Fund (the “Strategic Income Fund”) and Metropolitan West Alpha Trak 500 Fund (the “Alpha Trak 500 Fund”). The Ultra Short Bond Fund commenced investment operations on June 30, 2003 with the Class M shares. Class I was added on July 31, 2004. The Low Duration Bond Fund commenced investment operations on March 31, 1997 with the Class M shares. Class I was added on March 31, 2000, and the Administration Class was added on September 22, 2009. The Intermediate Bond Fund commenced investment operations on June 28, 2002 with the Class I shares. Class M was added on June 30, 2004. The Total Return Bond Fund commenced investment operations on March 31, 1997 with the Class M shares. Class I was added on March 31, 2000; Administrative Class was added on December 18, 2009; and the Plan Class added on August 1, 2011. The HighYield Bond Fund commenced investment operations on September 30, 2002 with Class M shares. Class I was added on March 31, 2003. The Unconstrained Bond Fund commenced investment operations on October 1, 2011 with Class M and Class I shares. The Floating Rate Income Fund commenced investment operation on June 28, 2013 with Class M and Class I shares. The Strategic Income Fund commenced investment operations on June 30, 2003 with Class M shares. Class I was added on March 31, 2004. The Alpha Trak 500 Fund commenced investment operations on June 29, 1998 with Class M shares. Each Fund is an investment company following the accounting and reporting guidance in FinancialAccounting Standards Board (the “FASB”)Accounting Standards Codification ( the “ASC”) No. 946, Financial Services – Investment Companies.
The Ultra Short Bond Fund seeks to maximize current income, consistent with preservation of capital. This Fund invests in a diversified portfolio of fixed-income securities of varying maturities with a portfolio duration of up to one year. The Fund’s dollar-weighted average portfolio maturity will normally exceed one year.
The Low Duration Bond Fund seeks to maximize current income, consistent with preservation of capital. This Fund invests in a diversified portfolio of fixed-income securities of varying maturities with a portfolio duration of up to three years. The Fund’s dollar-weighted average maturity is expected to range from one to five years.
The Intermediate Bond Fund seeks to maximize current income, consistent with preservation of capital. This Fund invests in a diversified portfolio of fixed-income securities of varying maturities with a portfolio duration of one to six years. The Fund’s dollar-weighted average maturity is expected to range from three to seven years.
The Total Return Bond Fund seeks to maximize long-term total return. This Fund invests in a diversified portfolio of fixed-income securities of varying maturities with a portfolio duration of two to eight years. The Fund’s dollar-weighted average maturity is expected to range from two to fifteen years.
The High Yield Bond Fund seeks to maximize long-term total return consistent with preservation of capital. This Fund invests in a diversified portfolio of high-yield, fixed-income securities of varying maturities with a portfolio duration of two to eight years. The Fund’s dollar-weighted average maturity is expected to range from two to fifteen years.
The Unconstrained Bond Fund seeks to provide investors with positive long-term returns irrespective of general securities market conditions. The Fund intends to pursue its objective by utilizing a flexible investment approach that allocates investments across a range of global investment opportunities related to credit, currencies and interest rates.
The Floating Rate Income Fund seeks primarily to maximize current income with a secondary objective of long term capital appreciation.
The Strategic Income Fund seeks to maximize long-term total return without tracking any particular markets or indices. This Fund uses techniques intended to provide absolute (positive) returns in all markets by employing a strategy intended to produce high income while exploiting disparities or inefficiencies in markets. The Fund will focus on inefficiencies related to secured or asset-backed debt compared with unsecured and subordinated debt or equity of companies and issuers. Additionally, the Fund will focus on longer-term cyclical anomalies in the fixed income markets to both enhance yield and realize potential price appreciation. These anomalies include shifts in the portfolio’s duration, yield curve anomalies, and sector- and issue-specific dislocations.
165 / Semi-Annual Report September 2014
Notes to Financial Statements (Continued)
The AlphaTrak 500 Fund seeks to achieve a total return that exceeds the total return of the Standard & Poor’s 500 Index (the “S&P 500 Index”). The Fund combines non-leveraged investments in S&P 500 Index futures contracts and swaps with a diversified portfolio of fixed-income securities of varying maturities with a portfolio duration of up to three years. The Fund’s dollar-weighted average maturity is expected to range from one to five years.
A more complete description of the objectives and strategies of each of the Funds can be found in the Prospectuses and the Statement of Additional Information, which can be obtained at www.mwamllc.com or by calling (800) 241-4671.
| 2. | SIGNIFICANT ACCOUNTING POLICIES |
The following is a summary of significant accounting policies consistently followed by the Funds:
Net Asset Value:
The Net Asset Value of each Fund’s shares is determined by dividing the net assets attributable to each class of shares of the Fund by the number of issued and outstanding shares of the Class/Fund on each business day as of 4 p.m. ET.
Security Valuation:
Fixed-income securities for which market quotations are readily available are valued at prices as provided by independent pricing vendors or broker quotes. The Funds receive pricing information from independent pricing vendors approved by the Board of Trustees (the “Board”). Securities with a demand feature exercisable within one to seven days are valued at par. The Funds also use a benchmark pricing system to the extent vendors’ prices for their securities are either inaccurate (such as when the reported prices are different from recent known market transactions) or are not available from another pricing source. For a security priced using this system, the Adviser initially selects a proxy composed of a relevant security (i.e., U.S. Treasury Note) or benchmark (e.g., LIBOR) and a multiplier, divisor or margin that the Adviser believes would together best reflect changes in the market value of the security. The value of the security changes daily based on changes to the market price of the assigned benchmark. The benchmark pricing system is continuously reviewed by the Adviser and implemented according to the pricing policy reviewed by the Board. Debt securities which mature in less than 60 days are valued at amortized cost if their original maturity was 60 days or less. If their original term to maturity exceeded 60 days, they are valued by amortizing the value as of the 61st day prior to maturity (unless the Board determines that this method does not represent fair value). S&P 500 Index futures contracts are valued at the first sale price after 4 p.m. ET on the Chicago Mercantile Exchange. All other futures contracts are valued at the official settlement price of the exchange where it is traded. Equity securities, including depository receipts, are valued at the last reported sale price or the market’s closing price on the exchange or market on which such securities are traded, as of the close of business on the day the securities are being valued or, lacking any sales, at the average of the bid and asked prices. In cases where equity securities are traded on more than one exchange, the securities are valued on the exchange or market determined by the Adviser to be the broadest and most representative market, which may be either a securities exchange or the over-the-counter market. Securities and other assets that cannot be valued as described above will be valued at their fair value as determined by the Adviser under guidelines established by and under the general supervision and responsibility of the Board.
Investments in registered open-ended investment companies, including those classified as money market funds, are valued based upon the reported net asset value of such investments.
Fair value methods used by the Board include, but are not limited to, obtaining market quotations from secondary pricing services, broker-dealers, or widely used quotation systems. General factors considered in determining the fair value of securities include fundamental analytical data, the nature and duration of any restrictions on disposition of the securities, and an evaluation of the forces that influenced the market in which the investments are purchased and sold. These securities are either categorized as Level 2 or 3 depending on the relevant inputs used. In the event that the security or asset cannot be valued pursuant to one of the valuation methods established by the Board, the value of the security or asset will be determined in good faith by the Pricing Committee of the Board, generally based upon recommendation provided by MetropolitanWest (“MetWest”). When the Funds use these fair valuation methods applied by MetWest that use significant unobservable inputs to determine its NAV, securities will be priced by a method that the Board or persons acting at their direction believe accurately reflect fair value and are categorized as Level 3 of the fair value hierarchy. These methods may require subjective determinations about the value of a security. While the Funds’ policy is intended to result in a calculation of the Fund’s NAV that fairly reflects security values as of the time of pricing, the Funds cannot guarantee that values determined by the Board or persons acting at their direction would accurately reflect the price that the Funds could obtain for a security if it were to dispose of that security as of the time of pricing (for instance, in a forced or distressed sale). The prices used by the Funds may differ from the value that would be realized if the securities were sold.
Semi-Annual Report September 2014 / 166
Notes to Financial Statements (Continued)
Foreign Currency Translation:
The books and records of each Fund are maintained in U.S. dollars as follows: (1) the foreign currency market value of investment securities, and other assets and liabilities stated in foreign currencies, are translated using the daily spot rate; and (2) purchases, sales, income and expenses are translated at the rate of exchange prevailing on the respective dates of such transactions. The resultant exchange gains and losses are included in net realized or net unrealized gain (loss) in the statements of operations. Pursuant to U.S. federal income tax regulations, certain foreign exchange gains and losses included in realized and unrealized gains and losses are reclassified to ordinary income for federal income tax purposes.
Foreign Taxes:
The Funds may be subject to withholding taxes on income and capital gains imposed by certain countries in which they invest. The withholding tax on income is netted against the income accrued or received. Any reclaimable taxes are recorded as income. The withholding tax on realized or unrealized gain is recorded as a liability.
Securities and Derivatives Transactions and Investment Income:
Securities transactions are accounted for no later than the first net asset value calculation on the first business day following the trade date. However, for financial reporting purposes, portfolio securities transactions are reported on trade date. Cost is determined and gains and losses are based on the first-in, first-out method for both financial statement and federal income tax purposes. Dividend income is recorded on the ex-dividend date. Interest income is accrued daily. Discounts, including original issue discount, and premiums on securities are amortized using the interest method.
Distributions to Shareholders:
Distributions to shareholders are recorded on the ex-dividend date. The Funds (except the AlphaTrak 500 Fund) expect to declare distributions daily and pay them monthly to shareholders.TheAlphaTrak 500 Fund expects to declare and pay distributions to shareholders quarterly. Distributions of net capital gains, if any, will be made at least annually. The Board may determine to declare and make distributions more or less frequently.
Federal Income Taxation:
It is each Fund’s policy to continue to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its net taxable income, including any net realized gain on investments, to its shareholders. Therefore, no federal income tax provision is required.
Income and long-term capital gain distributions are determined in accordance with federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America (“GAAP”). Distributions determined in accordance with tax regulations may differ in amount or character from net investment income and realized gains for financial reporting purposes. Financial reporting records are adjusted for permanent book/tax differences to reflect tax character. Financial records are not adjusted for temporary differences.
Management has analyzed the Funds’ tax positions taken on federal income tax returns for all open tax years (current and prior three tax years), and has concluded that no provision for federal income tax is required in the Funds’ financial statements. The Funds are subject to examination by U.S. federal and state tax authorities for returns files for the prior three and four fiscal years, respectively.
As of and during the six months ended September 30, 2014, the Funds did not have a liability for any unrecognized tax benefits. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the statement of operations. During the period, the Funds did not incur any interest or penalties.
Recent Accounting Pronouncements:
In June 2014, the FASB issued guidance to improve the financial reporting of reverse repurchase agreements and other similar transactions. The guidance includes expanded disclosure requirements for entities that enter into reverse repurchase agreements and similar transactions accounted for as secured borrowings.The guidance is effective for financial statements with fiscal years beginning on or after December 15, 2014 and interim periods within those fiscal years. Management is evaluating the impact, if any, of this guidance on the Funds’ financial statement disclosures.
Cash and cash equivalents:
The Trust has defined cash and cash equivalents as cash which can be in interest-bearing accounts. The Funds also maintain cash in bank account deposits that, at times, may exceed federally insured limits. The Funds have not experienced any losses in any such accounts.
167 / Semi-Annual Report September 2014
Notes to Financial Statements (Continued)
Use of estimates:
The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Fair Value Measurements:
Various inputs are used in determining the fair value of investments, which are as follows:
| | | | |
| | * Level 1 - | | unadjusted quoted prices in active markets for identical securities |
| | |
| | * Level 2 - | | other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) |
| | |
| | * Level 3 - | | significant unobservable inputs that are not corroborated by observable market data |
The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
In periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to liquidity of investments, could cause a security to be reclassified between Level 1, Level 2, or Level 3.
In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
Money market funds. Money market funds are open-ended mutual funds that invest in short-term debt securities To the extent that these funds are valued based upon the reported net asset value, they are categorized in Level 1 of the fair value hierarchy.
Short-term investments. Short-term investments (commercial paper and repurchase agreements) having a maturity of 60 days or less generally are valued at amortized cost which approximates fair market value. These investments are categorized as Level 2 of the fair value hierarchy.
Equity securities. Securities are generally valued based on quoted prices from the applicable exchange. To the extent these securities are actively traded, valuation adjustments are not applied and they are categorized in Level 1 of the fair value hierarchy. Restricted securities issued by publicly held companies are valued at a discount to similar publicly traded securities and may be categorized as Level 2 of the fair value hierarchy to the extent that the discount is considered to be insignificant to the fair value measurement in its entirety, otherwise they may be categorized as Level 3. Restricted securities held in non-public entities are included in Level 3 of the fair value hierarchy because they trade infrequently, and, therefore, the inputs are unobservable.
Corporate bonds. The fair value of corporate bonds is estimated using recently executed transactions, market price quotations (where observable), bond spreads, or credit default swap spreads adjusted for any basis difference between cash and derivative instruments. Corporate bonds are generally categorized in Level 2 of the fair value hierarchy; in instances where prices, spreads, or any of the other aforementioned key inputs are unobservable, they are categorized in Level 3 of the hierarchy.
Asset-backed securities and mortgage-backed securities. The fair value of asset-backed securities and mortgage-backed securities is estimated based on models that consider the estimated cash flows of each debt tranche of the issuer, establish a benchmark yield, and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche including, but not limited to, the prepayment speed assumptions and attributes of the collateral. To the extent the inputs are observable and timely, the values would be categorized in Level 2 of the fair value hierarchy, otherwise they would be categorized as Level 3.
Bank loans. The fair value of bank loans is estimated using recently executed transactions, market price quotations, credit/market events, and cross-asset pricing. Inputs are generally observable market inputs obtained from independent sources. Bank Loans are generally categorized in Level 2 of the fair value hierarchy, unless key inputs are unobservable which would then be in Level 3.
Municipal bonds. Municipal bonds are fair valued based on pricing models that take into account, among other factors, information received from market makers and broker-dealers, current trades, bid-want lists, offerings, market movements, the callability of the
Semi-Annual Report September 2014 / 168
Notes to Financial Statements (Continued)
bond, state of issuance, benchmark yield curves, and bond insurance. To the extent that these inputs are observable and timely, the fair values of municipal bonds would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.
U.S. and Foreign government and agency securities. U.S. and Foreign government and agency securities are normally valued using a model that incorporates market observable data such as reported sales of similar securities, broker quotes, yields, bids, offers, quoted market prices, and reference data. Some government securities are actively traded and transparent in the market place. As such, they can be level 1. Other government and agencies securities are quoted based in similar securities and yields and therefore, would be in level 2.
Restricted securities. Restricted securities that are deemed to be both Rule 144A securities and illiquid, as well as restricted securities held in non-public entities, are included in Level 3 of the fair value hierarchy because they trade infrequently, and, therefore, the inputs are unobservable. Any other restricted securities are valued at a discount to similar publicly traded securities and may be categorized as Level 2 of the fair value hierarchy to the extent that the discount is considered to be insignificant to the fair value measurement in its entirety, otherwise they may be categorized as Level 3.
Foreign currency contracts. The fair value of foreign currency contracts are derived from indices, reference rates, and other inputs or a combination of these factors. These contracts are normally valued on the basis of broker dealer quotations or by pricing service providers. Depending on the product and the terms of the transaction, the value of financial derivatives can be estimated by a pricing service provider using a series of techniques, including simulation pricing models. The pricing models use inputs that are observed from actively quoted markets such as indices and exchange rates. Foreign currency contracts are categorized as Level 2 of the fair value hierarchy.
Futures contracts. Futures contracts and options on futures contracts are traded on commodity exchanges and are fair valued based on quoted prices from the applicable exchange, and to the extent valuation adjustments are not applied to futures contracts, they are categorized as Level 1. To the extent that valuation adjustments are observable and timely, the fair values of futures contracts would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.
Options and Swaptions contracts. Exchange listed options contracts are traded on securities exchanges and are fair valued based on quoted prices from the applicable exchange, and to the extent valuation adjustments are not applied or mean variation to exchange listed options contracts, they are categorized as Level 1. If valuation adjustments are applied and such adjustments are observable and timely, the fair values of exchange listed options contracts would be categorized as Level 2; otherwise the fair values would be categorized as Level 3. Options and swaptions contracts traded over the counter (“OTC”) are fair valued based on pricing models and incorporate various inputs such as interest rates, credit spreads, currency exchange rates and volatility measurements for in-the-money, at-the-money, and out-of-the-money contracts based on a given strike price. To the extent that these inputs are observable and timely, the fair values of OTC options and swaptions contracts would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.
Interest rate swaps. Interest rate swaps are fair valued using pricing models that are based on real-time intraday snap shots of relevant interest rate curves that are built using the most actively traded securities for a given maturity. The pricing models also incorporate cash and money market rates. In addition, market data pertaining to interest rate swaps are monitored regularly to ensure that interest rates are properly depicting the current market rate. To the extent that these inputs are observable and timely, the fair values of interest rate swaps would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.
Credit default swaps. Credit default swaps are fair valued using pricing models that take into account, among other factors, information received from market makers and broker-dealers, default probabilities from index specific credit spread curves, recovery rates, and cash flows. To the extent that these inputs are observable and timely, the fair values of credit default swaps would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.
Total return swaps. Total return swaps are fair valued using pricing models that take into account among other factors, index spread curves, nominal values, modified duration values and cash flows. To the extent that these inputs are observable and timely, the fair values of total return swaps would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.
As of September 30, 2014, Level 3 securities consist of certain asset-backed securities, bank loans, collateralized mortgage obligations, common stocks, corporate bonds and warrants.
169 / Semi-Annual Report September 2014
Notes to Financial Statements (Continued)
The summary of inputs used to value each Fund’s investments and other financial instruments carried at fair value September 30, 2014 is as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| ULTRA SHORT BOND FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTAL | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments in Securities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Commercial Paper | | | | | | | | $ | – | | | | | | | | | $ | 2,079,739 | | | | | | | | | $ | – | | | | | | | | | $ | 2,079,739 | |
Money Market Funds | | | | | | | | | 3,810,000 | | | | | | | | | | – | | | | | | | | | | – | | | | | | | | | | 3,810,000 | |
U.S. Agency Discount Notes | | | | | | | | | – | | | | | | | | | | 17,768,999 | | | | | | | | | | – | | | | | | | | | | 17,768,999 | |
Long-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | | | | | | | | – | | | | | | | | | | 7,805,378 | | | | | | | | | | – | | | | | | | | | | 7,805,378 | |
Bank Loans | | | | | | | | | – | | | | | | | | | | 627,629 | | | | | | | | | | – | | | | | | | | | | 627,629 | |
Corporates | | | | | | | | | – | | | | | | | | | | 27,004,105 | | | | | | | | | | – | | | | | | | | | | 27,004,105 | |
Mortgage-Backed | | | | | | | | | – | | | | | | | | | | 122,316,974 | | | | | | | | | | 69,183 | | | | | | | | | | 122,386,157 | |
Municipal Bonds | | | | | | | | | – | | | | | | | | | | 1,296,810 | | | | | | | | | | – | | | | | | | | | | 1,296,810 | |
U.S. Agency Securities | | | | | | | | | – | | | | | | | | | | 5,210,331 | | | | | | | | | | – | | | | | | | | | | 5,210,331 | |
U.S. Treasury Securities | | | | | | | | | 330,258 | | | | | | | | | | – | | | | | | | | | | – | | | | | | | | | | 330,258 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | | | | | | $ | 4,140,258 | | | | | | | | | $ | 184,109,965 | | | | | | | | | $ | 69,183 | | | | | | | | | $ | 188,319,406 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| LOW DURATION BOND FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTAL | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments in Securities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Commercial Paper | | | | | | | | $ | – | | | | | | | | | $ | 25,996,736 | | | | | | | | | $ | – | | | | | | | | | $ | 25,996,736 | |
Money Market Funds | | | | | | | | | 71,524,000 | | | | | | | | | | – | | | | | | | | | | – | | | | | | | | | | 71,524,000 | |
U.S. Agency Discount Notes | | | | | | | | | – | | | | | | | | | | 458,910,911 | | | | | | | | | | – | | | | | | | | | | 458,910,911 | |
U.S. Treasury Bills | | | | | | | | | 204,998 | | | | | | | | | | – | | | | | | | | | | – | | | | | | | | | | 204,998 | |
Long-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | | | | | | | | – | | | | | | | | | | 527,954,014 | | | | | | | | | | – | | | | | | | | | | 527,954,014 | |
Bank Loans | | | | | | | | | – | | | | | | | | | | 23,618,191 | | | | | | | | | | – | | | | | | | | | | 23,618,191 | |
Corporates | | | | | | | | | – | | | | | | | | | | 633,066,420 | | | | | | | | | | 893,200 | | | | | | | | | | 633,959,620 | |
Mortgage-Backed | | | | | | | | | – | | | | | | | | | | 1,560,003,467 | | | | | | | | | | 4,677,098 | | | | | | | | | | 1,564,680,565 | |
Municipal Bonds | | | | | | | | | – | | | | | | | | | | 38,676,417 | | | | | | | | | | – | | | | | | | | | | 38,676,417 | |
Purchased Swaptions | | | | | | | | | – | | | | | | | | | | 416,925 | | | | | | | | | | – | | | | | | | | | | 416,925 | |
U.S. Agency Securities | | | | | | | | | – | | | | | | | | | | 144,820,890 | | | | | | | | | | – | | | | | | | | | | 144,820,890 | |
U.S. Treasury Securities | | | | | | | | | 21,686,576 | | | | | | | | | | | | | | | | | | | | – | | | | | | | | | | 21,686,576 | |
Other Financial Instruments * | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Interest rate contracts | | | | | | | | | 174,054 | | | | | | | | | | – | | | | | | | | | | – | | | | | | | | | | 174,054 | |
Liabilities: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Interest rate contracts | | | | | | | | | (18,410 | ) | | | | | | | | | (281,956 | ) | | | | | | | | | – | | | | | | | | | | (300,366 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | | | | | | $ | 93,571,218 | | | | | | | | | $ | 3,413,182,015 | | | | | | | | | $ | 5,570,298 | | | | | | | | | $ | 3,512,323,531 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
*Other financial instruments include futures, written swaptions and swaptions. Interest rate contracts include futures, written swaptions and swaptions.
Semi-Annual Report September 2014 / 170
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| INTERMEDIATE BOND FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTAL | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments in Securities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Commercial Paper | | | | | | | | $ | – | | | | | | | | | $ | 5,273,625 | | | | | | | | | $ | – | | | | | | | | | $ | 5,273,625 | |
Money Market Funds | | | | | | | | | 12,938,000 | | | | | | | | | | – | | | | | | | | | | – | | | | | | | | | | 12,938,000 | |
U.S. Agency Discount Notes | | | | | | | | | – | | | | | | | | | | 22,079,589 | | | | | | | | | | – | | | | | | | | | | 22,079,589 | |
U.S. Treasury Bills | | | | | | | | | 41,000 | | | | | | | | | | – | | | | | | | | | | – | | | | | | | | | | 41,000 | |
Long-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | | | | | | | | – | | | | | | | | | | 61,742,496 | | | | | | | | | | – | | | | | | | | | | 61,742,496 | |
Bank Loans | | | | | | | | | – | | | | | | | | | | 724,037 | | | | | | | | | | – | | | | | | | | | | 724,037 | |
Corporates | | | | | | | | | – | | | | | | | | | | 100,961,053 | | | | | | | | | | – | | | | | | | | | | 100,961,053 | |
Mortgage-Backed | | | | | | | | | – | | | | | | | | | | 207,979,074 | | | | | | | | | | – | | | | | | | | | | 207,979,074 | |
Municipal Bonds | | | | | | | | | – | | | | | | | | | | 7,899,904 | | | | | | | | | | – | | | | | | | | | | 7,899,904 | |
U.S. Agency Securities | | | | | | | | | – | | | | | | | | | | 9,345,712 | | | | | | | | | | – | | | | | | | | | | 9,345,712 | |
U.S. Treasury Securities | | | | | | | | | 230,597,351 | | | | | | | | | | – | | | | | | | | | | – | | | | | | | | | | 230,597,351 | |
Other Financial Instruments * | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Interest rate contracts | | | | | | | | | 30,350 | | | | | | | | | | 33,591 | | | | | | | | | | – | | | | | | | | | | 63,941 | |
Liabilities: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Interest rate contracts | | | | | | | | | (3,452 | ) | | | | | | | | | (678 | ) | | | | | | | | | – | | | | | | | | | | (4,130 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | | | | | | $ | 243,603,249 | | | | | | | | | $ | 416,038,403 | | | | | | | | | $ | – | | | | | | | | | $ | 659,641,652 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
*Other financial instruments include futures, swap contracts and swaptions. Interest rate contracts include futures, interest rate swaps and swaptions.
171 / Semi-Annual Report September 2014
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| TOTAL RETURN BOND FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTAL | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments in Securities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Commercial Paper | | | | | | $ | – | | | | | | | $ | 532,919,881 | | | | | | | $ | – | | | | | | | $ | 532,919,881 | |
Money Market Funds | | | | | | | 667,501,000 | | | | | | | | – | | | | | | | | – | | | | | | | | 667,501,000 | |
Repurchase Agreements | | | | | | | – | | | | | | | | 288,000,000 | | | | | | | | – | | | | | | | | 288,000,000 | |
U.S. Agency Discount Notes | | | | | | | – | | | | | | | | 2,627,193,372 | | | | | | | | – | | | | | | | | 2,627,193,372 | |
U.S. Treasury Bills | | | | | | | 13,268,743 | | | | | | | | – | | | | | | | | – | | | | | | | | 13,268,743 | |
Long-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | | | | | | – | | | | | | | | 3,039,640,159 | | | | | | | | 64,832,420 | | | | | | | | 3,104,472,579 | |
Bank Loans | | | | | | | – | | | | | | | | 80,787,280 | | | | | | | | – | | | | | | | | 80,787,280 | |
Call Options Purchased | | | | | | | 733,125 | | | | | | | | – | | | | | | | | – | | | | | | | | 733,125 | |
Common Stock | | | | | | | 12,670,891 | | | | | | | | – | | | | | | | | – | | | | | | | | 12,670,891 | |
Corporates | | | | | | | – | | | | | | | | 4,625,580,565 | | | | | | | | 1,876,000 | | | | | | | | 4,627,456,565 | |
Foreign Government Obligations | | | | | | | – | | | | | | | | 80,520,603 | | | | | | | | – | | | | | | | | 80,520,603 | |
Mortgage-Backed | | | | | | | – | | | | | | | | 14,671,427,515 | | | | | | | | 32,626,334 | | | | | | | | 14,704,053,849 | |
Municipal Bonds | | | | | | | – | | | | | | | | 546,145,163 | | | | | | | | – | | | | | | | | 546,145,163 | |
Purchased Swaptions | | | | | | | – | | | | | | | | 27,453,651 | | | | | | | | – | | | | | | | | 27,453,651 | |
Put Options Purchased | | | | | | | 11,659,688 | | | | | | | | – | | | | | | | | – | | | | | | | | 11,659,688 | |
U.S. Agency Securities | | | | | | | – | | | | | | | | 275,543,990 | | | | | | | | – | | | | | | | | 275,543,990 | |
U.S. Treasury Securities | | | | | | | 10,726,485,696 | | | | | | | | – | | | | | | | | – | | | | | | | | 10,726,485,696 | |
Other Financial Instruments * | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Interest rate contracts | | | | | | | 5,219,946 | | | | | | | | 26,340,824 | | | | | | | | – | | | | | | | | 31,560,770 | |
Liabilities: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Credit contracts | | | | | | | – | | | | | | | | (392,958 | ) | | | | | | | – | | | | | | | | (392,958 | ) |
Interest rate contracts | | | | | | | (13,575,761 | ) | | | | | | | (27,257,148 | ) | | | | | | | – | | | | | | | | (40,832,909 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | | | | $ | 11,423,963,328 | | | | | | | $ | 26,793,902,897 | | | | | | | $ | 99,334,754 | | | | | | | $ | 38,317,200,979 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
*Other financial instruments include futures, swap contracts, written call and put options, written swaptions and swaptions. Credit contracts include credit default swaps. Interest rate contracts include futures, interest rate swaps, written call and put options, written swaptions and swaptions.
Semi-Annual Report September 2014 / 172
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| HIGH YIELD BOND FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTAL | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments in Securities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market Funds | | | | | | $ | 36,043,000 | | | | | | | $ | – | | | | | | | $ | – | | | | | | | $ | 36,043,000 | |
U.S. Agency Discount Notes | | | | | | | – | | | | | | | | 9,999,952 | | | | | | | | – | | | | | | | | 9,999,952 | |
Long-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | | | | | | – | | | | | | | | 18,262,996 | | | | | | | | – | | | | | | | | 18,262,996 | |
Bank Loans | | | | | | | – | | | | | | | | 168,072,723 | | | | | | | | 5,287,956 | * | | | | | | | 173,360,679 | |
Common Stock | | | | | | | 4,471,241 | | | | | | | | – | | | | | | | | 19,574,929 | | | | | | | | 24,046,170 | |
Corporates | | | | | | | – | | | | | | | | 1,437,274,163 | | | | | | | | – | | | | | | | | 1,437,274,163 | |
Mortgage-Backed | | | | | | | – | | | | | | | | 407,953 | | | | | | | | 1 | | | | | | | | 407,954 | |
Warrant | | | | | | | – | | | | | | | | – | | | | | | | | – | ** | | | | | | | – | |
Other Financial Instruments *** | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Credit contracts | | | | | | | – | | | | | | | | 769,690 | | | | | | | | – | | | | | | | | 769,690 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | | | | $ | 40,514,241 | | | | | | | $ | 1,634,787,477 | | | | | | | $ | 24,862,886 | | | | | | | $ | 1,700,164,604 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
*As of September 30, 2014, Boston Generating LLC, Term Loan 1st Lien had a $0 market value.
**As of September 30, 2014, PR Wireless, Inc., Open Mobile Warrant, Term Loan B, 1st Lien had a $0 market value.
***Other financial instruments include swap contracts. Credit contracts include credit default swaps.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| UNCONSTRAINED BOND FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTAL | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments in Securities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Commercial Paper | | | | | | $ | – | | | | | | | $ | 5,659,289 | | | | | | | $ | – | | | | | | | $ | 5,659,289 | |
Money Market Funds | | | | | | | 19,440,000 | | | | | | | | – | | | | | | | | – | | | | | | | | 19,440,000 | |
U.S. Agency Discount Notes | | | | | | | – | | | | | | | | 105,792,470 | | | | | | | | – | | | | | | | | 105,792,470 | |
U.S. Treasury Bills | | | | | | | 469,991 | | | | | | | | – | | | | | | | | – | | | | | | | | 469,991 | |
Long-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | | | | | | – | | | | | | | | 186,579,145 | | | | | | | | – | | | | | | | | 186,579,145 | |
Bank Loans | | | | | | | – | | | | | | | | 6,327,014 | | | | | | | | – | | | | | | | | 6,327,014 | |
Corporates | | | | | | | – | | | | | | | | 192,778,584 | | | | | | | | – | | | | | | | | 192,778,584 | |
Foreign Government Obligations | | | | | | | – | | | | | | | | 5,139,975 | | | | | | | | – | | | | | | | | 5,139,975 | |
Mortgage-Backed | | | | | | | – | | | | | | | | 426,336,087 | | | | | | | | 60,251 | | | | | | | | 426,396,338 | |
Municipal Bonds | | | | | | | – | | | | | | | | 15,141,981 | | | | | | | | – | | | | | | | | 15,141,981 | |
Mutual Funds | | | | | | | 51,037 | | | | | | | | – | | | | | | | | – | | | | | | | | 51,037 | |
U.S. Agency Securities | | | | | | | – | | | | | | | | 14,549,268 | | | | | | | | – | | | | | | | | 14,549,268 | |
U.S. Treasury Securities | | | | | | | 506,396 | | | | | | | | – | | | | | | | | – | | | | | | | | 506,396 | |
Other Financial Instruments * | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Interest rate contracts | | | | | | | 270,321 | | | | | | | | – | | | | | | | | – | | | | | | | | 270,321 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | | | | $ | 20,737,745 | | | | | | | $ | 958,303,813 | | | | | | | $ | 60,251 | | | | | | | $ | 979,101,809 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
*Other financial instruments include futures. Interest rate contracts include futures.
173 / Semi-Annual Report September 2014
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FLOATING RATE INCOME FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTAL | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments in Securities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market Funds | | | | | | $ | 2,734,000 | | | | | | | $ | – | | | | | | | $ | – | | | | | | | $ | 2,734,000 | |
U.S. Agency Discount Notes | | | | | | | – | | | | | | | | 12,720,881 | | | | | | | | – | | | | | | | | 12,720,881 | |
Long-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Bank Loans | | | | | | | – | | | | | | | | 98,270,532 | | | | | | | | 1,057,591 | | | | | | | | 99,328,123 | |
Corporates | | | | | | | – | | | | | | | | 13,435,286 | | | | | | | | – | | | | | | | | 13,435,286 | |
Municipal Bonds | | | | | | | – | | | | | | | | 672,300 | | | | | | | | – | | | | | | | | 672,300 | |
U.S. Agency Securities | | | | | | | – | | | | | | | | 1,921,855 | | | | | | | | – | | | | | | | | 1,921,855 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | | | | $ | 2,734,000 | | | | | | | $ | 127,020,854 | | | | | | | $ | 1,057,591 | | | | | | | $ | 130,812,445 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| STRATEGIC INCOME FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTAL | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments in Securities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Commercial Paper | | | | | | $ | – | | | | | | | $ | 4,159,197 | | | | | | | $ | – | | | | | | | $ | 4,159,197 | |
Money Market Funds | | | | | | | 4,010,000 | | | | | | | | – | | | | | | | | – | | | | | | | | 4,010,000 | |
U.S. Agency Discount Notes | | | | | | | – | | | | | | | | 22,784,230 | | | | | | | | – | | | | | | | | 22,784,230 | |
U.S. Treasury Bills | | | | | | | 13,000 | | | | | | | | – | | | | | | | | – | | | | | | | | 13,000 | |
Long-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | | | | | | – | | | | | | | | 39,282,264 | | | | | | | | 1,167,162 | | | | | | | | 40,449,426 | |
Bank Loans | | | | | | | – | | | | | | | | 961,892 | | | | | | | | – | * | | | | | | | 961,892 | |
Common Stock | | | | | | | 84,271 | | | | | | | | – | | | | | | | | 636,169 | | | | | | | | 720,440 | |
Corporates | | | | | | | – | | | | | | | | 19,768,494 | | | | | | | | – | | | | | | | | 19,768,494 | |
Mortgage-Backed | | | | | | | – | | | | | | | | 101,445,798 | | | | | | | | 400 | | | | | | | | 101,446,198 | |
Mutual Funds | | | | | | | 22,786 | | | | | | | | – | | | | | | | | – | | | | | | | | 22,786 | |
U.S. Agency Securities | | | | | | | – | | | | | | | | 1,121,208 | | | | | | | | – | | | | | | | | 1,121,208 | |
U.S. Treasury Securities | | | | | | | 390,805 | | | | | | | | – | | | | | | | | – | | | | | | | | 390,805 | |
Other Financial Instruments ** | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Interest rate contracts | | | | | | | 7,342 | | | | | | | | – | | | | | | | | – | | | | | | | | 7,342 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | | | | $ | 4,528,204 | | | | | | | $ | 189,523,083 | | | | | | | $ | 1,803,731 | | | | | | | $ | 195,855,018 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
*As of September 30, 2014, Boston Generating LLC, Term Loan 1st Lien had a $0 market value.
**Other financial instruments include futures. Interest rate contracts include futures.
Semi-Annual Report September 2014 / 174
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| ALPHATRAK 500 FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTAL | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments in Securities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market Funds | | | | | | $ | 104,000 | | | | | | | $ | – | | | | | | | $ | – | | | | | | | $ | 104,000 | |
U.S. Agency Discount Notes | | | | | | | – | | | | | | | | 1,424,983 | | | | | | | | – | | | | | | | | 1,424,983 | |
U.S. Treasury Bills | | | | | | | 81,998 | | | | | | | | – | | | | | | | | – | | | | | | | | 81,998 | |
Long-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | | | | | | – | | | | | | | | 666,289 | | | | | | | | – | | | | | | | | 666,289 | |
Corporates | | | | | | | – | | | | | | | | 769,503 | | | | | | | | 44,800 | | | | | | | | 814,303 | |
Mortgage-Backed | | | | | | | – | | | | | | | | 1,859,951 | | | | | | | | 99,758 | | | | | | | | 1,959,709 | |
Municipal Bonds | | | | | | | – | | | | | | | | 50,000 | | | | | | | | – | | | | | | | | 50,000 | |
U.S. Agency Securities | | | | | | | – | | | | | | | | 85,089 | | | | | | | | – | | | | | | | | 85,089 | |
Other Financial Instruments * | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Equity contracts | | | | | | | (19,014 | ) | | | | | | | (51,082 | ) | | | | | | | – | | | | | | | | (70,096 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | | | | $ | 166,984 | | | | | | | $ | 4,804,733 | | | | | | | $ | 144,558 | | | | | | | $ | 5,116,275 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
*Other financial instruments include total return swap contracts and futures. Equity contracts include total return swaps and futures.
Certain of the Funds’ investments are categorized as Level 3 investments with values derived utilizing prices from prior transactions or third party pricing information without adjustment for which such inputs are unobservable. A significant change in the unobservable inputs could result in a significantly lower or higher value in such Level 3 investments.
There were no financial assets and/or liabilities transferred between levels 1 and 2 for the six months ended September 30, 2014.
For the six months ended September 30, 2014, a reconciliation of level 3 investments is presented when the Fund had a significant amount of 1evel 3 investments at the beginning and/or end of the period in relation to net assets. The following tables are a reconciliation of level 3 investments for which significant unobservable inputs were used in determining fair value:
| | | | | | | | | |
ULTRA SHORT BOND FUND | | MORTGAGE-BACKED
SECURITIES | | | | |
| | | |
Balance as of | | | | | | | | | |
April 1, 2014 | | | $ | 75,655 | | | | | |
Realized (loss) | | | | (5,671 | ) | | | | |
Change in unrealized (depreciation)* | | | | (801 | ) | | | | |
Purchases | | | | – | | | | | |
Sales | | | | – | | | | | |
Transfers into Level 3** | | | | – | | | | | |
Transfers out of Level 3** | | | | – | | | | | |
| | | | | | | | | |
Balance as of September 30, 2014 | | | $ | 69,183 | | | | | |
| | | | | | | | | |
* The change in unrealized appreciation/(depreciation) on securities still held at September 30, 2014 was $801 and is included in the related realized gains/(losses) and net change in appreciation/(depreciation) in the statements of operations.
** There were no transfers between level 2 and 3 for the six months ended September 30, 2014.
175 / Semi-Annual Report September 2014
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | |
LOW DURATION BOND FUND | | CORPORATES | | MORTGAGE-BACKED
SECURITIES | | | | |
| | | | |
Balance as of | | | | | | | | | | | | | | |
April 1, 2014 | | | $ | 877,250 | | | | $ | 5,060,781 | | | | | |
Accrued discounts/premiums | | | | 46 | | | | | – | | | | | |
Realized (loss) | | | | – | | | | | (113,003 | ) | | | | |
Change in unrealized
appreciation/(depreciation)* | | | | 15,904 | | | | | (270,680 | ) | | | | |
Purchases | | | | – | | | | | – | | | | | |
Sales | | | | – | | | | | – | | | | | |
Transfers into Level 3** | | | | – | | | | | – | | | | | |
Transfers out of Level 3** | | | | – | | | | | – | | | | | |
| | | | | | | | | | | | | | |
Balance as of | | | | | | | | | | | | | | |
September 30, 2014 | | | $ | 893,200 | | | | $ | 4,677,098 | | | | | |
| | | | | | | | | | | | | | |
* The change in unrealized appreciation/(depreciation) on securities still held at September 30, 2014 was $(254,776) and is included in the related realized gains/(losses) and net change in appreciation/(depreciation) in the statements of operations.
** There were no transfers between level 2 and 3 for the six months ended September 30, 2014.
| | | | | | | | | | | | | | | | | | | | | | | | |
TOTAL RETURN BOND FUND | | ASSET-BACKED
SECURITIES | | | | CORPORATES | | MORTGAGE-BACKED
SECURITIES | | | | |
| | | | | | |
Balance as of | | | | | | | | | | | | | | | | | | | | | | | | |
April 1, 2014 | | | $ | 66,695,628 | | | | | | | | | $ | 1,842,500 | | | | $ | 34,813,444 | | | | | |
Accrued discounts/premiums | | | | – | | | | | | | | | | 3,433 | | | | | – | | | | | |
Realized (loss) | | | | (2,105,451 | ) | | | | | | | | | – | | | | | (3,007,624 | ) | | | | |
Change in unrealized appreciation* | | | | 242,243 | | | | | | | | | | 30,067 | | | | | 820,514 | | | | | |
Purchases | | | | – | | | | | | | | | | – | | | | | – | | | | | |
Sales | | | | – | | | | | | | | | | – | | | | | – | | | | | |
Transfers into Level 3** | | | | – | | | | | | | | | | – | | | | | – | | | | | |
Transfers out of Level 3** | | | | – | | | | | | | | | | – | | | | | – | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Balance as of | | | | | | | | | | | | | | | | | | | | | | | | |
September 30, 2014 | | | $ | 64,832,420 | | | | | | | | | $ | 1,876,000 | | | | $ | 32,626,334 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
* The change in unrealized appreciation/(depreciation) on securities still held at September 30, 2014 was $848,743 and is included in the related realized gains/(losses) and net change in appreciation/(depreciation) in the statements of operations.
** There were no transfers between level 2 and 3 for the six months ended September 30, 2014.
Semi-Annual Report September 2014 / 176
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | | |
HIGH YIELD BOND FUND | | BANK
LOANS | | COMMON
STOCK | | MORTGAGE-BACKED
SECURITIES | | WARRANT | | |
| | | | | |
Balance as of | | | | | | | | | | | | | | | | | | | | | | |
April 1, 2014 | | | $ | 4,975,000 | *** | | | $ | – | | | | $ | 1 | | | | | $– | | | |
Accrued discounts/premiums | | | | 16,697 | | | | | – | | | | | – | | | | | – | | | |
Realized gain/(loss) | | | | – | | | | | – | | | | | – | | | | | – | | | |
Change in unrealized appreciation/ (depreciation)* | | | | 34,589 | | | | | (16,633,356 | ) | | | | – | | | | | – | | | |
Purchases | | | | 261,670 | | | | | – | | | | | – | | | | | – | | | |
Sales | | | | – | | | | | – | | | | | – | | | | | – | | | |
Transfers into Level 3** | | | | – | | | | | 36,208,285 | | | | | – | | | | | – | | | |
Transfers out of Level 3** | | | | – | | | | | – | | | | | – | | | | | – | | | |
| | | | | | | | | | | | | | | | | | | | | | | |
Balance as of | | | | | | | | | | | | | | | | | | | | | | |
September 30, 2014 | | | $ | 5,287,956 | *** | | | $ | 19,574,929 | | | | $ | 1 | | | | | – | **** | | |
| | | | | | | | | | | | | | | | | | | | | | | |
* The change in unrealized appreciation/(depreciation) on securities still held at September 30, 2014 was $34,589 and is included in the related realized gains/(losses) and net change in appreciation/(depreciation) in the statements of operations.
** Transfers into and transfers out of level 3 represent the values as of the end of the reporting period. As of September 30, 2014, the Fund used unobservable inputs in determining the value of certain investments. As of September 30, 2014, the Fund used significant observable inputs in determining the value of the same investments. As a result, investments with a end of period value of $36,208,285 transferred from level 2 to level 3 in the disclosure hierarchy.
*** As of September 30, 2014 and March 31, 2014, Boston Generating LLC, Term Loan 1st Lien had a $0 market value.
**** As of September 30, 2014, PR Wireless, Inc., Open Mobile Warrant, Term Loan B, 1st Lien had a $0 market value.
| | | | | | | | | | | | |
UNCONSTRAINED BOND FUND | | MORTGAGE-BACKED
SECURITIES | | | | |
| | | |
Balance as of | | | | | | | | | |
April 1, 2014 | | | $ | 65,416 | | | | | |
Realized (loss) | | | | (7,627 | ) | | | | |
Change in unrealized appreciation* | | | | 2,462 | | | | | |
Purchases | | | | – | | | | | |
Sales | | | | – | | | | | |
Transfers into Level 3** | | | | – | | | | | |
Transfers out of Level 3** | | | | – | | | | | |
| | | | | | | | | | |
Balance as of | | | | | | | | | |
September 30, 2014 | | | $ | 60,251 | | | | | |
| | | | | | | | | | |
* The change in unrealized appreciation/(depreciation) on securities still held at September 30, 2014 was $2,462 and is included in the related realized gains/(losses) and net change in appreciation/(depreciation) in the statements of operations.
** There were no transfers between level 2 and 3 for the six months ended September 30, 2014.
177 / Semi-Annual Report September 2014
Notes to Financial Statements (Continued)
| | | | | | | | | | | | |
FLOATING RATE INCOME FUND | | BANK
LOANS | | | | |
| | | |
Balance as of | | | | | | | | | |
April 1, 2014 | | | $ | 995,000 | | | | | |
Accrued discounts/premiums | | | | 3,288 | | | | | |
Realized gain/(loss) | | | | – | | | | | |
Change in unrealized appreciation* | | | | 6,969 | | | | | |
Purchases | | | | 52,334 | | | | | |
Sales | | | | – | | | | | |
Transfers into Level 3** | | | | – | | | | | |
Transfers out of Level 3** | | | | – | | | | | |
| | | | | | | | | | | | |
Balance as of | | | | | | | | | |
September 30, 2014 | | | $ | 1,057,591 | | | | | |
| | | | | | | | | | |
* The change in unrealized appreciation/(depreciation) on securities still held at September 30, 2014 was $6,969 and is included in the related realized gains/(losses) and net change in appreciation/(depreciation) in the statements of operations.
** There were no transfers between level 2 and 3 for the six months ended September 30, 2014.
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
STRATEGIC INCOME FUND | | ASSET-BACKED
SECURITIES | | BANK
LOANS | | COMMON
STOCK | | MORTGAGE-BACKED
SECURITIES | | | | |
| | | | | | |
Balance as of
April 1, 2014 | | | $ | 1,910,625 | | | | $ | – | *** | | | $ | – | | | | $ | 400 | | | | | |
Realized (loss) | | | | (246,913 | ) | | | | – | | | | | – | | | | | – | | | | | |
Change in unrealized appreciation/ (depreciation)* | | | | 116,291 | | | | | – | | | | | (565,255 | ) | | | | – | | | | | |
Purchases | | | | (612,841 | ) | | | | – | | | | | – | | | | | – | | | | | |
Sales | | | | – | | | | | – | | | | | – | | | | | – | | | | | |
Transfers into Level 3** | | | | – | | | | | – | | | | | 1,201,423 | | | | | – | | | | | |
Transfers out of Level 3** | | | | – | | | | | – | | | | | – | | | | | – | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Balance as of
September 30, 2014 | | | $ | 1,167,162 | | | | $ | – | *** | | | $ | 636,168 | | | | $ | 400 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
* The change in unrealized appreciation/(depreciation) on securities still held at September 30, 2014 was $1 and is included in the related realized gains/(losses) and net change in appreciation/(depreciation) in the statements of operations.
** Transfers into and transfers out of level 3 represent the values as of the end of the reporting period. As of September 30, 2014, the Fund used unobservable inputs in determining the value of certain investments. As of September 30, 2014, the Fund used significant observable inputs in determining the value of the same investments. As a result, investments with a end of period value of $1,201,423 transferred from level 2 to level 3 in the disclosure hierarchy.
*** As of September 30, 2014 and March 31, 2014, Boston Generating LLC, Term Loan 1st Lien had a $0 market value.
Semi-Annual Report September 2014 / 178
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | |
| | | | |
ALPHATRAK 500 FUND | | CORPORATES | | MORTGAGE-BACKED
SECURITIES | | | | |
| | | | |
Balance as of
April 1, 2014 | | | $ | 44,000 | | | | $ | 109,090 | | | | | |
Realized (loss) | | | | – | | | | | (8,247 | ) | | | | |
Change in unrealized appreciation/ (depreciation)* | | | | 800 | | | | | (1,085 | ) | | | | |
Purchases | | | | – | | | | | – | | | | | |
Sales | | | | – | | | | | – | | | | | |
Transfers into Level 3** | | | | – | | | | | – | | | | | |
Transfers out of Level 3** | | | | – | | | | | – | | | | | |
| | | | | | | | | | | | | | |
Balance as of September 30, 2014 | | | $ | 44,800 | | | | $ | 99,758 | | | | | |
| | | | | | | | | | | | | | |
* The change in unrealized appreciation/(depreciation) on securities still held at September 30, 2014 was $(285) and is included in the related realized gains/(losses) and net change in appreciation/(depreciation) in the statements of operations.
** There were no transfers between level 2 and 3 for the six months ended September 30, 2014.
Significant unobservable valuations inputs for Level 3 investments as of September 30, 2014, are as follows:
| | | | | | | | | | |
| ULTRA SHORT BOND FUND | | FAIR VALUE
AT 9/30/14 | | VALUATION TECHNIQUE* | | UNOBSERVABLE
INPUT | | RANGE | | WEIGHTED
AVERAGE |
| | | | | |
Mortgage-Backed Securities-Non- | | | | | | | | | | |
Agency | | $69,183 | | Methods of Comparables/Consensus Pricing | | Offered Quote | | 1.45 | | 1.45 |
| LOW DURATION BOND FUND | | FAIR VALUE
AT 9/30/14 | | VALUATION TECHNIQUE* | | UNOBSERVABLE
INPUT | | RANGE | | WEIGHTED
AVERAGE |
| | | | | |
Corporate Securities | | $893,200 | | Methods of Comparables/Consensus Pricing | | Offered Quote | | 56.00 | | 56.00 |
Mortgage-Backed Securities-Non- | | | | | | | | | | |
Agency | | $4,677,098 | | Methods of Comparables/Consensus Pricing | | Offered Quote | | 0.03 - 8.00 | | 2.20 |
| TOTAL RETURN BOND FUND | | FAIR VALUE
AT 9/30/14 | | VALUATION TECHNIQUE* | | UNOBSERVABLE
INPUT | | RANGE | | WEIGHTED
AVERAGE |
| | | | | |
Asset-Backed Securities | | $64,832,420 | | Methods of Comparables/Consensus Pricing | | Offered Quote | | 99.99 - 100.00 | | 100.00 |
Corporate Securities | | $1,876,000 | | Methods of Comparables/Consensus Pricing | | Offered Quote | | 0.00 - 56.00 | | 56.00 |
Mortgage-Backed Securities-Non- | | | | | | | | | | |
Agency | | $32,626,334 | | Methods of Comparables/Consensus Pricing | | Offered Quote | | 0.03 - 8.00 | | 2.26 |
| HIGH YIELD BOND FUND | | FAIR VALUE
AT 9/30/14 | | VALUATION TECHNIQUE* | | UNOBSERVABLE
INPUT | | RANGE | | WEIGHTED
AVERAGE |
| | | | | |
Bank Loans | | $5,287,956 | | Methods of Comparables/Consensus Pricing | | Offered Quote | | 0.00 - 100.50 | | 100.50 |
Common Stock | | $19,574,929 | | Methods of Comparables/Consensus Pricing | | Offered Quote | | 0.01 - 56.33 | | 56.33 |
Mortgage-Backed Securities-Non- | | | | | | | | | | |
Agency | | $1 | | Methods of Comparables/Consensus Pricing | | Offered Quote | | 0.03 | | 0.03 |
179 / Semi-Annual Report September 2014
Notes to Financial Statements (Continued)
| | | | | | | | | | |
| UNCONSTRAINED BOND FUND | | FAIR VALUE
AT 9/30/14 | | VALUATION TECHNIQUE* | | UNOBSERVABLE
INPUT | | RANGE | | WEIGHTED
AVERAGE |
| | | | | |
Mortgage-Backed Securities-Non-Agency | | $60,251 | | Methods of Comparables/Consensus Pricing | | Offered Quote | | 0.79 - 8.77 | | 2.00 |
| FLOATING RATE INCOME FUND | | FAIR VALUE
AT 9/30/14 | | VALUATION TECHNIQUE* | | UNOBSERVABLE
INPUT | | RANGE | | WEIGHTED
AVERAGE |
| | | | | |
Bank Loans | | $1,057,591 | | Methods of Comparables/Consensus Pricing | | Offered Quote | | 100.50 | | 100.50 |
| STRATEGIC INCOME FUND | | FAIR VALUE
AT 9/30/14 | | VALUATION TECHNIQUE* | | UNOBSERVABLE
INPUT | | RANGE | | WEIGHTED
AVERAGE |
| | | | | |
Asset-Backed Securities | | $1,167,162 | | Methods of Comparables/Consensus Pricing | | Offered Quote | | 100.00 | | 100.00 |
Common Stock | | $636,169 | | Methods of Comparables/Consensus Pricing | | Offered Quote | | 56.33 | | 56.33 |
Mortgage-Backed Securities-Non-Agency | | $400 | | Methods of Comparables/Consensus Pricing | | Offered Quote | | 0.03 - 8.00 | | 8.00 |
| ALPHATRAK 500 FUND | | FAIR VALUE
AT 9/30/14 | | VALUATION TECHNIQUE* | | UNOBSERVABLE
INPUT | | RANGE | | WEIGHTED
AVERAGE |
| | | | | |
Corporate Securities | | $44,800 | | Methods of Comparables/Consensus Pricing | | Offered Quote | | 56.00 | | 56.00 |
Mortgage-Backed Securities-Non | | | | | | | | | | |
Agency | | $99,758 | | Methods of Comparables/Consensus Pricing | | Offered Quote | | 1.45 | | 1.45 |
* The Methods of Comparables/Consensus Pricing valuation technique for Level 3 securities involves gathering observable and unobservable data related to securities that exhibit characteristics that are comparable to that of the Level 3 security, and using such information as an input into the valuation of the Level 3 security. Such observable and unobservable data may include offered quotes (prices offered to the Fund by potential buyers in the market), broker quotes, and vendor prices for the comparable securities.
Level 3 Valuation Process:
Investments classified within Level 3 of the fair value hierarchy may be fair valued by the Advisor with consent by the Advisor’s Pricing Working Group in accordance with procedures approved by the Board of Trustees, and under the general oversight of the Board of Trustees. TheAdvisor’s Pricing Working Group employs various methods to determine fair valuations including a regular review of key inputs and assumptions and review of any related market activity. TheAdvisor’s Pricing Working Group reports to the Board of Trustees at their regularly scheduled meetings. It is possible that fair value prices will be used by the Funds to a significant extent. The value determined for an investment using the Funds’ fair value procedures may differ from recent market prices for the investment and may be significantly different from the value realized upon the sale of such investment. The Advisor, as part of the daily process, conducts back-testing of prices based on daily trade activities.
The Advisor’s Pricing Working Group consists of the Advisor’s General Counsel, Chief Compliance Officer, Internal Regulatory Legal Counsel, members of theAdvisor’s Mutual Fund Administration Department, and a representative from the portfolio management team. The Advisor’s Pricing Working Group reviews and makes recommendations concerning the fair valuation of portfolio securities and the Funds’ pricing procedures in general.
Semi-Annual Report September 2014 / 180
Notes to Financial Statements (Continued)
Derivative Instruments Categorized by Risk Exposure:
The following is a summary of the location of derivative instruments on the Funds’ statements of assets and liabilities as of September 30, 2014:
| | | | |
| | | LOCATION ON THE STATEMENTS OF ASSETS AND LIABILITIES |
| | |
| DERIVATIVE TYPE | | ASSET DERIVATIVES | | LIABILITY DERIVATIVES |
| | |
Interest rate contracts | | Unrealized appreciation on swap contracts Premiums paid for swap contracts | | Unrealized depreciation on swap contracts Premiums received on swap contracts |
| | Receivable for daily variation margin | | Payable for daily variation margin Options written |
| | |
Credit contracts | | Unrealized appreciation on swap contracts Premiums paid for swap contracts | | Unrealized depreciation on swap contracts Premiums received for swap contracts |
| | |
Equity contracts | | Unrealized appreciation on swap contracts Premiums paid for swap contracts | | Unrealized depreciation on swap contracts Premiums received for swap contracts |
| | Receivable for daily variation margin | | Payable for daily variation margin Options written |
| | |
Foreign currency exchange contracts | | Unrealized appreciation on foreign currency exchange contracts | | Unrealized depreciation on foreign currency exchange contracts Options written |
The following is a summary of the Funds’ derivative instrument holdings categorized by primary risk exposure as of September 30, 2014:
| | | | | | | | | | | | | | | | | | | | |
| | | | | ASSET DERIVATIVE INVESTMENTS | | |
| | | | |
| | | ULTRA SHORT
BOND FUND | | LOW DURATION
BOND FUND | | INTERMEDIATE
BOND FUND | | TOTAL RETURN
BOND FUND |
Interest contracts: | | | | | | | | | | | | | | | | | | | | |
Futures1 | | | $ | – | | | | $ | 177,693 | | | | $ | 30,350 | | | | $ | 5,219,946 | |
Swaps | | | | – | | | | | – | | | | | 33,591 | | | | | 26,340,824 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | | $ | – | | | | $ | 177,693 | | | | $ | 63,941 | | | | $ | 31,560,770 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | ASSET DERIVATIVE INVESTMENTS | | |
| | | | | |
| | | HIGH YIELD
BOND FUND | | UNCONSTRAINED
BOND FUND | | FLOATING RATE
INCOME FUND | | STRATEGIC
INCOME FUND | | ALPHATRAK
500 FUND |
Credit contracts: | | | | | | | | | | | | | | | | | | | | | | | | | |
Swaps | | | $ | 769,690 | | | | $ | – | | | | $ | – | | | | $ | – | | | | $ | – | |
Interest contracts: | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures1 | | | | – | | | | | 270,321 | | | | | – | | | | | 7,342 | | | | | – | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | 769,690 | | | | $ | 270,321 | | | | $ | – | | | | $ | 7,342 | | | | $ | – | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
1 Includes cumulative appreciation/(depreciation) of financial futures contracts as reported in the Schedule of Portfolio Investments. Only current day’s margin variation is reported within the statements of assets and liabilities.
181 / Semi-Annual Report September 2014
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | | | |
| | | | | LIABILITY DERIVATIVE INVESTMENTS | | |
| | | | |
| | | ULTRA SHORT
BOND FUND | | LOW DURATION
BOND FUND | | INTERMEDIATE
BOND FUND | | TOTAL RETURN
BOND FUND |
Credit contracts: | | | | | | | | | | | | | | | | | | | | |
Swaps | | | $ | – | | | | $ | – | | | | $ | – | | | | $ | (392,958 | ) |
Interest contracts: | | | | | | | | | | | | | | | | | | | | |
Futures1 | | | | – | | | | | (18,410 | ) | | | | (3,452 | ) | | | | (5,978,261 | ) |
Options written | | | | – | | | | | – | | | | | – | | | | | (7,597,500 | ) |
Swaps | | | | – | | | | | – | | | | | – | | | | | (20,988,426 | ) |
Swaptions | | | | – | | | | | (238,087 | ) | | | | (678 | ) | | | | (6,268,722 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total | | | $ | – | | | | $ | (256,497 | ) | | | $ | (4,130 | ) | | | $ | (41,225,867 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | LIABILITY DERIVATIVE INVESTMENTS |
| | | | | |
| | | HIGH YIELD
BOND FUND | | UNCONSTRAINED
BOND FUND | | FLOATING RATE
INCOME FUND | | STRATEGIC
INCOME FUND | | ALPHATRAK
500 FUND |
Equity contracts: | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures1 | | | $ | – | | | | $ | – | | | | $ | – | | | | $ | – | | | | $ | (19,014 | ) |
Swaps | | | | – | | | | | – | | | | | – | | | | | – | | | | | (51,082 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | – | | | | $ | – | | | | $ | – | | | | $ | – | | | | $ | (70,096 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
1 Includes cumulative appreciation/(depreciation) of financial futures contracts as reported in the Schedule of Portfolio Investments. Only current day’s margin variation is reported within the statements of assets and liabilities.
The following is a summary of the Funds’ realized gain/(loss) and change in unrealized appreciation/(depreciation) on derivative investments recognized in the statements of operations categorized by primary risk exposure for the six months ended September 30, 2014:
| | | | | | | | | | | | | | | | | | | | |
| | | REALIZED GAIN/(LOSS) ON DERIVATIVES RECOGNIZED IN THE STATEMENTS OF OPERATIONS |
| | | | |
| | | ULTRA SHORT
BOND FUND | | LOW DURATION
BOND FUND | | INTERMEDIATE
BOND FUND | | TOTAL RETURN
BOND FUND |
Credit contracts: | | | | | | | | | | | | | | | | | | | | |
Swaps | | | $ | – | | | | $ | – | | | | $ | – | | | | $ | (425,521 | ) |
Interest contracts: | | | | | | | | | | | | | | | | | | | | |
Futures | | | | – | | | | | 52,134 | | | | | 7,624 | | | | | 7,852,011 | |
Swaps | | | | – | | | | | – | | | | | 1 | | | | | (3,825,156 | ) |
Written options | | | | – | | | | | – | | | | | – | | | | | 472,572 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | | $ | – | | | | $ | 52,134 | | | | $ | 7,625 | | | | $ | 4,073,906 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | REALIZED GAIN/(LOSS) ON DERIVATIVES RECOGNIZED IN THE STATEMENTS OF
OPERATIONS | | |
| | | HIGH YIELD
BOND FUND | | UNCONSTRAINED
BOND FUND | | FLOATING RATE
INCOME FUND | | STRATEGIC
INCOME FUND | | ALPHATRAK
500 FUND | | |
Credit contracts: | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Swaps | | | $ | (425,133 | ) | | | $ | 84,931 | | | | $ | – | | | | $ | – | | | | $ | – | | | |
Equity contracts: | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures | | | | – | | | | | – | | | | | – | | | | | – | | | | | 68,573 | | | |
Swaps | | | | – | | | | | – | | | | | – | | | | | – | | | | | 304,201 | | | |
Interest contracts: | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures | | | | – | | | | | (1,076,857 | ) | | | | – | | | | | (9,361 | ) | | | | – | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | (425,133 | ) | | | $ | (991,926 | ) | | | $ | – | | | | $ | (9,361 | ) | | | $ | 372,774 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
Semi-Annual Report September 2014 / 182
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | | | | | |
| | | CHANGE IN UNREALIZED APPRECIATION/(DEPRECIATION) ON DERIVATIVES RECOGNIZED
IN THE STATEMENTS OF OPERATIONS | | |
| | | ULTRA SHORT
BOND FUND | | LOW DURATION
BOND FUND | | INTERMEDIATE
BOND FUND | | TOTAL RETURN
BOND FUND | | |
Credit contracts: | | | | | | | | | | | | | | | | | | | | | | |
Swaps | | | $ | – | | | | $ | – | | | | $ | – | | | | $ | 251,591 | | | |
Interest contracts: | | | | | | | | | | | | | | | | | | | | | | |
Futures1 | | | | – | | | | | 159,283 | | | | | 26,898 | | | | | (1,494,588 | ) | | |
Swaps | | | | – | | | | | 3,326 | | | | | (86,332 | ) | | | | (23,485,638 | ) | | |
Options written | | | | – | | | | | 272,570 | | | | | – | | | | | 7,847,713 | | | |
| | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | – | | | | $ | 435,179 | | | | $ | (59,434 | ) | | | $ | (16,880,922 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | |
1 Includes cumulative appreciation/(depreciation) of financial futures contracts as reported in the Schedule of Investments.
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | CHANGE IN UNREALIZED APPRECIATION/(DEPRECIATION) ON DERIVATIVES RECOGNIZED
IN THE STATEMENTS OF OPERATIONS | | |
| | | HIGH YIELD
BOND FUND | | UNCONSTRAINED
BOND FUND | | FLOATING RATE
INCOME FUND | | STRATEGIC
INCOME FUND | | ALPHATRAK
500 FUND | | |
Credit contracts: | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Swaps | | | $ | (338,297 | ) | | | $ | (80,815 | ) | | | $ | – | | | | $ | – | | | | $ | – | | | |
Equity contracts: | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures1 | | | | – | | | | | – | | | | | – | | | | | – | | | | | (15,137 | ) | | |
Swaps | | | | – | | | | | – | | | | | – | | | | | – | | | | | (82,889 | ) | | |
Interest contracts: | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures1 | | | | – | | | | | 30,561 | | | | | – | | | | | 7,342 | | | | | – | | | |
Foreign currency exchange contracts: | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forwards | | | | – | | | | | (18 | ) | | | | – | | | | | – | | | | | – | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | (338,297 | ) | | | $ | (50,272 | ) | | | $ | – | | | | $ | 7,342 | | | | $ | (98,026 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
1 Includes cumulative appreciation/(depreciation) of financial futures contracts as reported in the Schedule of Investments.
183 / Semi-Annual Report September 2014
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | | | | | |
| | | AVERAGE QUARTERLY BALANCE OF OUTSTANDING DERIVATIVE
FINANCIAL INSTRUMENTS | | |
| | | ULTRA SHORT BOND FUND | | LOW DURATION
BOND FUND | | INTERMEDIATE BOND FUND | | TOTAL RETURN
BOND FUND | | |
Financial futures contracts: | | | | | | | | | | | | | | | | | | | | | | |
Average number of contracts purchased | | | | – | | | | | 135 | | | | | 24 | | | | | 16,591 | | | |
Average number of contracts sold | | | | – | | | | | 135 | | | | | 31 | | | | | 11,516 | | | |
Average value of contracts purchased | | | $ | – | | | | $ | 4,592 | | | | $ | 736 | | | | $ | 5,103,323 | | | |
Average value of contracts sold | | | $ | – | | | | $ | 35,229 | | | | $ | 24,761 | | | | $ | 4,153,217 | | | |
Credit default swaps: | | | | | | | | | | | | | | | | | | | | | | |
Average number of contracts - buy protection | | | | – | | | | | – | | | | | – | | | | | 2 | | | |
Average notional value - buy protection | | | $ | – | | | | $ | – | | | | $ | – | | | | $ | 34,200,000 | | | |
Interest rate swaps: | | | | | | | | | | | | | | | | | | | | | | |
Average number of contracts - pays fixed rate | | | | – | | | | | – | | | | | 2 | | | | | 16 | | | |
Average notional value - pays fixed rate | | | $ | – | | | | $ | – | | | | $ | 1,445,000 | | | | $ | 1,292,276,250 | | | |
Options purchased: | | | | | | | | | | | | | | | | | | | | | | |
Average number of contracts | | | | – | | | | | – | | | | | – | | | | | 2 | | | |
Average notional value | | | $ | – | | | | $ | – | | | | $ | – | | | | $ | 3,423,294 | | | |
Options written: | | | | | | | | | | | | | | | | | | | | | | |
Average number of contracts | | | | – | | | | | – | | | | | – | | | | | 2 | | | |
Average notional value | | | $ | – | | | | $ | – | | | | $ | – | | | | $ | 2,785,125 | | | |
Rate floor inflation swaptions: | | | | | | | | | | | | | | | | | | | | | | |
Average number of contracts | | | | – | | | | | 1 | | | | | 1 | | | | | 1 | | | |
Average notional value | | | $ | – | | | | $ | 10,080,000 | | | | $ | 1,190,000 | | | | $ | 63,960,000 | | | |
Swaptions purchased: | | | | | | | | | | | | | | | | | | | | | | |
Average number of contracts | | | | – | | | | | 1 | | | | | – | | | | | 8 | | | |
Average notional value | | | $ | – | | | | $ | 939,000 | | | | $ | – | | | | $ | 48,358,034 | | | |
Swaptions written: | | | | | | | | | | | | | | | | | | | | | | |
Average number of contracts | | | | – | | | | | 1 | | | | | – | | | | | 2 | | | |
Average notional value | | | $ | – | | | | $ | 540,000 | | | | $ | – | | | | $ | 10,741,606 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | AVERAGE QUARTERLY BALANCE OF OUTSTANDING DERIVATIVE
FINANCIAL INSTRUMENTS | | |
| | | HIGH YIELD
BOND FUND | | UNCONSTRAINED
BOND FUND | | FLOATING RATE
INCOME FUND | | STRATEGIC
INCOME FUND | | ALPHATRAK 500 FUND | | |
Financial futures contracts: | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Average number of contracts purchased | | | | – | | | | | – | | | | | – | | | | | – | | | | | 13 | | | |
Average number of contracts sold | | | | – | | | | | 454 | | | | | – | | | | | 2 | | | | | – | | | |
Average value of contracts purchased | | | $ | – | | | | $ | – | | | | $ | – | | | | $ | – | | | | $ | 29,715 | | | |
Average value of contracts sold | | | $ | – | | | | $ | 478,834 | | | | $ | – | | | | $ | 1,836 | | | | $ | – | | | |
Credit default swaps: | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Average number of contracts - buy protection | | | | 5 | | | | | 1 | | | | | – | | | | | – | | | | | – | | | |
Average notional value - buy protection | | | $ | 36,937,500 | | | | $ | 444,000 | | | | $ | – | | | | $ | – | | | | $ | – | | | |
Total return swaps: | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Average number of contracts | | | | – | | | | | – | | | | | – | | | | | – | | | | | 2 | | | |
Average notional value | | | $ | – | | | | $ | – | | | | $ | – | | | | $ | – | | | | $ | 3,161 | | | |
Counterparty Credit Risk:
A derivative contract may suffer a mark to market loss if the value of the contract decreases due to an unfavorable change in the market rates or values of the underlying instrument. Losses can also occur if the counterparty does not perform under the contract.
A Fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by such Fund. For OTC options purchased, each Fund bears the risk of loss of the amount of the premiums
Semi-Annual Report September 2014 / 184
Notes to Financial Statements (Continued)
paid plus the positive change in market values net of any collateral held by such Fund should the counterparty fail to perform under the contracts. Options written by the Funds do not typically give rise to counterparty credit risk, as options written generally obligate the Funds, and not the counterparty to perform.
With exchange traded purchased options and futures and centrally cleared swaps, there is less counterparty credit risk to the Funds since the exchange or clearinghouse, as counterparty to such instruments, guarantees against a possible default. The clearinghouse stands between the buyer and the seller of the contract; therefore, the credit risk is limited to failure of the clearinghouse. While offset rights may exist under applicable law, a Fund does not have a contractual right of offset against a clearing broker or clearinghouse in the event of a default (including the bankruptcy or insolvency) of the clearing broker or clearinghouse. Additionally, credit risk exists in exchange traded futures and centrally cleared swaps with respect to initial and variation margin that is held in a clearing broker’s customer accounts. While clearing brokers are required to segregate customer margin from their own assets, in the event that a clearing broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the clearing broker for all its clients, typically the shortfall would be allocated on a pro rata basis across all the clearing broker’s customers, potentially resulting in losses to the Funds.
In order to better define its contractual rights and to secure rights that will help the Funds mitigate their counterparty risk, a Fund may enter into an International Swaps and DerivativesAssociation, Inc. MasterAgreement (“ISDA MasterAgreement”) or similar agreement with its derivative contract counterparties. An ISDA MasterAgreement is a bilateral agreement between each Fund and a counterparty that governs OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, each Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default 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. In addition, certain ISDA Master Agreements allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event a Fund’s net assets decline by a stated percentage or the Fund fails to meet the terms of its ISDA Master Agreements, which would cause the Fund to accelerate payment of any net liability owed to the counterparty.
Collateral requirements:
For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by a Fund and the counterparty.
Cash collateral that has been pledged to cover obligations of a Fund, if any, is reported separately on the Statements of Assets and Liabilities as cash pledged as collateral. Non-cash collateral pledged by a Fund, if any, is noted in the Schedules of Investments. Generally, the amount of collateral due from or to a party has to exceed a minimum transfer amount threshold typically $250,000 or $500,000, before a transfer is required, which is determined at the close of business of the Fund and additional required collateral is delivered to/pledged by the Fund on the next business day. Typically, the Funds and counterparties are not permitted to sell, repledge or use the collateral they receive.To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty non-performance. Each Fund attempts to mitigate counterparty risk by entering into agreements only with counterparties that it believes have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties.
For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities.
The Funds have implemented the disclosure requirements pursuant to FASB Accounting Standards update No. 2011-11, Disclosures about Offsetting Assets and Liabilities, that requires disclosures to make financial statements that are prepared under U.S. GAAP more comparable to those prepared under International Financial Reporting Standards. Under this guidance the Funds disclose in the statements of assets and liabilities both gross and net information about instruments and transactions eligible for offset such as instruments and transactions subject to an agreement similar to a master netting arrangement. In addition, the Funds disclose collateral received and posted in connection with master netting agreements or similar arrangements.
185 / Semi-Annual Report September 2014
Notes to Financial Statements (Continued)
The following table presents the Fund’s OTC derivative assets by counterparty net of amounts available for offset under an ISDA Master agreement or similar agreements and net of the related collateral received or pledged by the Funds as of September 30, 2014, are as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | LOW DURATION BOND FUND |
| | | | |
| COUNTERPARTY | | GROSS ASSETS IN THE
STATEMENT OF ASSETS
AND LIABILITIES | | COLLATERAL
RECEIVED | | ASSETS/(LIABILITIES)
AVAILABLE FOR OFFSET | | NET AMOUNT
OF ASSETS1 |
Goldman Sachs Group, Inc. | | | | | | | | | | | | | | | | | | | | |
Swaptions | | | $ | 416,925 | | | | $ | – | | | | $ | (232,341 | ) | | | $ | 184,584 | |
| | | | | | | | | | | | | | | | | | | | |
Total Goldman Sachs Group, Inc. | | | | 416,925 | | | | | – | | | | | (232,341 | ) | | | | 184,584 | |
| | | | |
Total | | | $ | 416,925 | | | | $ | – | | | | $ | (232,341 | ) | | | $ | 184,584 | |
| | | | | | | | | | | | | | | | | | | | |
1Represents the net amount receivable from the counterparty in the event of default.
The following table presents the Fund’s OTC derivative liabilities by counterparty net of amounts available for offset under an ISDA Master Agreement or similar agreements and net of the related collateral received or pledged by the Fund as of September 30, 2014, are as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | LOW DURATION BOND FUND |
| | | | |
| COUNTERPARTY | | GROSS LIABILITIES IN THE
STATEMENT OF ASSETS
AND LIABILITIES | | COLLATERAL
PLEDGED | | (ASSETS)/LIABILITIES
AVAILABLE FOR OFFSET | | NET AMOUNT
OF
LIABILITIES2 |
Barclays, Inc. | | | | | | | | | | | | | | | | | | | | |
Swaptions | | | $ | 232,341 | | | | $ | – | | | | $ | (232,341 | ) | | | $ | – | |
| | | | | | | | | | | | | | | | | | | | |
Total Barclays, Inc. | | | | 232,341 | | | | | – | | | | | (232,341 | ) | | | | – | |
| | | | |
Citigroup, Inc. | | | | | | | | | | | | | | | | | | | | |
Swaptions | | | | 5,746 | | | | | (5,746 | ) | | | | – | | | | | – | |
| | | | | | | | | | | | | | | | | | | | |
Total Citigroup, Inc. | | | | 5,746 | | | | | (5,746 | ) | | | | – | | | | | – | |
| | | | |
Total | | | $ | 238,087 | | | | $ | (5,746 | ) | | | $ | (232,341 | ) | | | $ | – | |
| | | | | | | | | | | | | | | | | | | | |
2Represents the net amount payable to the counterparty in the event of default.
Semi-Annual Report September 2014 / 186
Notes to Financial Statements (Continued)
The following table presents the Fund’s OTC derivative assets by counterparty net of amounts available for offset under an ISDA Master agreement or similar agreements and net of the related collateral received or pledged by the Fund as of September 30, 2014, are as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | INTERMEDIATE BOND FUND |
| | | | |
| COUNTERPARTY | | GROSS ASSETS IN THE
STATEMENT OF ASSETS
AND LIABILITIES | | COLLATERAL
RECEIVED | | ASSETS/(LIABILITIES)
AVAILABLE FOR OFFSET | | NET AMOUNT
OF ASSETS1 |
Barclays, Inc. | | | | | | | | | | | | | | | | | | | | |
Swap agreements | | | $ | 33,591 | | | | $ | – | | | | $ | – | | | | $ | 33,591 | |
| | | | | | | | | | | | | | | | | | | | |
Total Barclays, Inc. | | | | 33,591 | | | | | – | | | | | – | | | | | 33,591 | |
| | | | |
Total | | | $ | 33,591 | | | | $ | – | | | | $ | – | | | | $ | 33,591 | |
| | | | | | | | | | | | | | | | | | | | |
1Represents the net amount receivable from the counterparty in the event of default.
The following table presents the Fund’s OTC derivative liabilities by counterparty net of amounts available for offset under an ISDA Master Agreement or similar agreements and net of the related collateral received or pledged by the Fund as of September 30, 2014, are as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | INTERMEDIATE BOND FUND |
| | | | |
| COUNTERPARTY | | GROSS LIABILITIES IN THE
STATEMENT OF ASSETS
AND LIABILITIES | | COLLATERAL
PLEDGED | | (ASSETS)/LIABILITIES
AVAILABLE FOR OFFSET | | NET AMOUNT
OF
LIABILITIES2 |
Citigroup, Inc. | | | | | | | | | | | | | | | | | | | | |
Swaptions | | | $ | 678 | | | | $ | – | | | | $ | – | | | | $ | 678 | |
| | | | | | | | | | | | | | | | | | | | |
Total Citigroup, Inc. | | | | 678 | | | | | – | | | | | – | | | | | 678 | |
| | | | |
Total | | | $ | 678 | | | | $ | – | | | | $ | – | | | | $ | 678 | |
| | | | | | | | | | | | | | | | | | | | |
2Represents the net amount payable to the counterparty in the event of default.
187 / Semi-Annual Report September 2014
Notes to Financial Statements (Continued)
The following table presents the Fund’s OTC derivative assets and master repurchase agreements by counterparty net of amounts available for offset under an ISDA Master agreement or similar agreements and net of the related collateral received or pledged by the Fund as of September 30, 2014, are as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | TOTAL RETURN BOND FUND |
| | | | |
| COUNTERPARTY | | GROSS ASSETS IN THE
STATEMENT OF ASSETS
AND LIABILITIES | | COLLATERAL
RECEIVED | | ASSETS/(LIABILITIES)
AVAILABLE FOR OFFSET | | NET AMOUNT
OF ASSETS1 |
Barclays, Inc. | | | | | | | | | | | | | | | | | | | | |
Swap agreements | | | $ | 15,276,475 | | | | $ | (5,104,000 | ) | | | $ | (9,316,953 | ) | | | $ | 855,522 | |
Swaptions | | | | 1,591,393 | | | | | – | | | | | (1,591,393 | ) | | | | – | |
| | | | | | | | | | | | | | | | | | | | |
Total Barclays, Inc. | | | | 16,867,868 | | | | | (5,104,000 | ) | | | | (10,908,346 | ) | | | | 855,522 | |
| | | | |
Citigroup, Inc. | | | | | | | | | | | | | | | | | | | | |
Swap agreements | | | | 4,667,692 | | | | | (700,000 | ) | | | | (3,806,134 | ) | | | | 161,558 | |
| | | | | | | | | | | | | | | | | | | | |
Total Citigroup, Inc. | | | | 4,667,692 | | | | | (700,000 | ) | | | | (3,806,134 | ) | | | | 161,558 | |
| | | | |
Deutsche Bank AG | | | | | | | | | | | | | | | | | | | | |
Swap agreements | | | | 54,366 | | | | | – | | | | | (54,366 | ) | | | | – | |
| | | | | | | | | | | | | | | | | | | | |
Total Deutsche Bank AG | | | | 54,366 | | | | | – | | | | | (54,366 | ) | | | | – | |
| | | | |
Goldman Sachs Group, Inc. | | | | | | | | | | | | | | | | | | | | |
Swap agreements | | | | 2,506,766 | | | | | – | | | | | (2,506,766 | ) | | | | – | |
| | | | | | | | | | | | | | | | | | | | |
Total Goldman Sachs Group, Inc. | | | | 2,506,766 | | | | | – | | | | | (2,506,766 | ) | | | | – | |
| | | | |
Morgan Stanley Capital Services, Inc. | | | | | | | | | | | | | | | | | | | | |
Swap agreements | | | | 3,751,041 | | | | | (2,500,000 | ) | | | | (1,251,041 | ) | | | | – | |
Swaptions | | | | 2,506,131 | | | | | – | | | | | (2,506,131 | ) | | | | – | |
| | | | | | | | | | | | | | | | | | | | |
Total Morgan Stanley Capital Services, Inc. | | | | 6,257,172 | | | | | (2,500,000 | ) | | | | (3,757,172 | ) | | | | – | |
| | | | |
RBS Securities, Inc.
Repurchase Agreement | | | | 288,000,000 | | | | | (288,000,000 | ) | | | | – | | | | | – | |
| | | | | | | | | | | | | | | | | | | | |
Total RBS Securities, Inc. | | | | 288,000,000 | | | | | (288,000,000 | ) | | | | – | | | | | – | |
| | | | |
Total | | | $ | 318,353,864 | | | | $ | (296,304,000 | ) | | | $ | (21,032,784 | ) | | | $ | 1,017,080 | |
| | | | | | | | | | | | | | | | | | | | |
1Represents the net amount receivable from the counterparty in the event of default.
Semi-Annual Report September 2014 / 188
Notes to Financial Statements (Continued)
The following table presents the Fund’s OTC derivative liabilities by counterparty net of amounts available for offset under an ISDA Master Agreement or similar agreements and net of the related collateral received or pledged by the Fund as of September 30, 2014, are as follows:
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | TOTAL RETURN BOND FUND | | | | |
| COUNTERPARTY | | GROSS
LIABILITIES IN THE
STATEMENT OF ASSETS
AND LIABILITIES | | COLLATERAL
PLEDGED | | (ASSETS)/LIABILITIES
AVAILABLE FOR OFFSET | | NET AMOUNT
OF
LIABILITIES2 | | |
Barclays, Inc. | | | | | | | | | | | | | | | | | | | | | | |
Swap agreements | | | | $6,619,332 | | | | $ | – | | | | $ | (6,619,332 | ) | | | $ | – | | | |
Swaptions | | | | 4,289,014 | | | | | – | | | | | (4,289,014 | ) | | | | – | | | |
| | | | | | | | | | | | | | | | | | | | | | |
Total Barclays, Inc. | | | | 10,908,346 | | | | | – | | | | | (10,908,346 | ) | | | | – | | | |
| | | | | |
Citigroup, Inc. | | | | | | | | | | | | | | | | | | | | | | |
Swaptions | | | | 3,806,134 | | | | | – | | | | | (3,806,134 | ) | | | | – | | | |
| | | | | | | | | | | | | | | | | | | | | | |
Total Citigroup, Inc. | | | | 3,806,134 | | | | | – | | | | | (3,806,134 | ) | | | | – | | | |
| | | | | |
Deutsche Bank AG | | | | | | | | | | | | | | | | | | | | | | |
Swap agreements | | | | 1,263,295 | | | | | (1,133,296 | ) | | | | (54,366 | ) | | | | 75,633 | | | |
Swaptions | | | | 8,366,704 | | | | | (8,366,704 | ) | | | | – | | | | | – | | | |
| | | | | | | | | | | | | | | | | | | | | | |
Total Deutsche Bank AG | | | | 9,629,999 | | | | | (9,500,000 | ) | | | | (54,366 | ) | | | | 75,633 | | | |
| | | | | |
Goldman Sachs Group, Inc. | | | | | | | | | | | | | | | | | | | | | | |
Swap agreements | | | | 3,070,704 | | | | | (483,222 | ) | | | | (2,506,766 | ) | | | | 80,716 | | | |
Swaptions | | | | 3,616,778 | | | | | (3,616,778 | ) | | | | – | | | | | – | | | |
| | | | | | | | | | | | | | | | | | | | | | |
Total Goldman Sachs Group, Inc. | | | | 6,687,482 | | | | | (4,100,000 | ) | | | | (2,506,766 | ) | | | | 80,716 | | | |
| | | | | |
JPMorgan Chase & Co. | | | | | | | | | | | | | | | | | | | | | | |
Swap agreements | | | | 280,356 | | | | | (280,356 | ) | | | | – | | | | | – | | | |
| | | | | | | | | | | | | | | | | | | | | | |
Total JPMorgan Chase & Co. | | | | 280,356 | | | | | (280,356 | ) | | | | – | | | | | – | | | |
| | | | | |
Morgan Stanley Capital Services, Inc. | | | | | | | | | | | | | | | | | | | | | | |
Swaptions | | | | 3,810,686 | | | | | – | | | | | (3,757,172 | ) | | | | 53,514 | | | |
| | | | | | | | | | | | | | | | | | | | | | |
Total Morgan Stanley Capital Services, Inc. | | | | 3,810,686 | | | | | – | | | | | (3,757,172 | ) | | | | 53,514 | | | |
| | | | | |
Total | | | $ | 35,123,003 | | | | $ | (13,880,356 | ) | | | $ | (21,032,784 | ) | | | $ | 209,863 | | | |
| | | | | | | | | | | | | | | | | | | | | | |
2Represents the net amount payable to the counterparty in the event of default.
189 / Semi-Annual Report September 2014
Notes to Financial Statements (Continued)
The following table presents the Fund’s OTC derivative assets by counterparty net of amounts available for offset under an ISDA Master agreement or similar agreements and net of the related collateral received or pledged by the Fund as of September 30, 2014, are as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | HIGH YIELD BOND FUND | | | | |
| COUNTERPARTY | | GROSS
ASSETS IN THE
STATEMENT OF ASSETS
AND LIABILITIES | | COLLATERAL
RECEIVED | | ASSETS/(LIABILITIES)
AVAILABLE FOR OFFSET | | NET AMOUNT
OF
ASSETS1 | | |
Credit Suisse | | | | | | | | | | | | | | | | | | | | | | |
Swap agreements | | | $ | 91,829 | | | | $ | – | | | | $ | – | | | | $ | 91,829 | | | |
| | | | | | | | | | | | | | | | | | | | | | | |
Total Credit Suisse | | | | 91,829 | | | | | – | | | | | – | | | | | 91,829 | | | |
| | | | | |
Goldman Sachs Group, Inc. | | | | | | | | | | | | | | | | | | | | | | |
Swap agreements | | | | 271,604 | | | | | (100,000 | ) | | | | – | | | | | 171,604 | | | |
| | | | | | | | | | | | | | | | | | | | | | | |
Total Goldman Sachs Group, Inc. | | | | 271,604 | | | | | (100,000 | ) | | | | – | | | | | 171,604 | | | |
| | | | | |
Morgan Stanley Capital Services Inc. | | | | | | | | | | | | | | | | | | | | | | |
Swap agreements | | | | 406,258 | | | | | (406,258 | ) | | | | – | | | | | – | | | |
| | | | | | | | | | | | | | | | | | | | | | | |
Total Morgan Stanley Capital Services Inc. | | | | 406,258 | | | | | (406,258 | ) | | | | – | | | | | – | | | |
| | | | | |
Total | | | $ | 769,691 | | | | $ | (506,258 | ) | | | $ | – | | | | $ | 263,433 | | | |
| | | | | | | | | | | | | | | | | | | | | | | |
1Represents the net amount receivable from the counterparty in the event of default.
The following table presents the Fund’s OTC derivative assets by counterparty net of amounts available for offset under an ISDA Master agreement or similar agreements and net of the related collateral received or pledged by the Fund as of September 30, 2014, are as follows:
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | ALPHATRAK 500 FUND | | | | |
| COUNTERPARTY | | GROSS LIABILITIES IN THE
STATEMENT OF ASSETS
AND LIABILITIES | | COLLATERAL
PLEDGED | | (ASSETS)/LIABILITIES
AVAILABLE FOR OFFSET | | NET AMOUNT OF LIABILITIES1 | | |
Barclays, Inc. | | | | | | | | | | | | | | | | | | | | | | |
Swap agreements | | | $ | 52,450 | | | | $ | – | | | | $ | – | | | | $ | 52,450 | | | |
| | | | | | | | | | | | | | | | | | | | | | |
Total Barclays, Inc. | | | | 52,450 | | | | | – | | | | | – | | | | | 52,450 | | | |
| | | | | |
Total | | | $ | 52,450 | | | | $ | – | | | | $ | – | | | | $ | 52,450 | | | |
| | | | | | | | | | | | | | | | | | | | | | |
1Represents the net amount payable to the counterparty in the event of default.
The Funds may invest in mortgage pass-through securities which represent interests in pools of mortgages in which payments of both principal and interest on the securities are generally made monthly, in effect “passing through” monthly payments made by borrowers on the residential or commercial mortgage loans which underlie the securities (net of any fees paid to the issuer or guarantor of the securities). Mortgage pass-through securities differ from other forms of debt securities, which normally provide for periodic payment of interest in fixed amounts with principal payments at maturity or specified call dates.
Semi-Annual Report September 2014 / 190
Notes to Financial Statements (Continued)
The Funds may invest in securities issued by Federal National Mortgage Association (“FNMA”) and Federal Home Loan Mortgage Corp. (“FHLMC”). These are fixed-income securities that derive their value from or represent interests in a pool of mortgages or mortgage securities. An unexpectedly high rate of defaults on the mortgages held by a mortgage pool may adversely affect the value of a mortgage-backed security and could result in losses to the Funds. The risk of such defaults is generally higher in the case of mortgage pools that include sub-prime mortgages. Sub-prime mortgages refer to loans made to borrowers with weakened credit histories or with a lower capacity to make timely payments on their mortgages.
Additionally, securities issued by FNMA and FHLMC are not backed by or entitled to the full faith and credit of the United States and are supported by the right to the issuer to borrow from the Treasury.
On September 7, 2008, the Federal Housing Finance Agency was appointed as conservator of FNMA and FHLMC. In addition, the U.S. Department of the Treasury has agreed to provide capital as needed to ensure FNMA and FHLMC continue to provide liquidity to the housing and mortgage markets.
The Funds may also invest in Collateralized Mortgage Obligations (“CMOs”). CMOs are debt obligations collateralized by residential or commercial mortgage loans or residential or commercial mortgage pass-through securities. Interest and principal are generally paid monthly. CMOs may be collateralized by whole mortgage loans or private mortgage pass-through securities but are more typically collateralized by portfolios of mortgage pass-through securities guaranteed by Government National MortgageAssociation (“GNMA”), FHLMC, or FNMA. The issuer of a series of CMOs may elect to be treated for tax purposes as a Real Estate Mortgage Investment Conduit. CMOs are structured into multiple classes, each bearing a different stated maturity. Monthly payment of principal received from the pool of underlying mortgages, including prepayments, is first returned to investors holding the shortest maturity class. Investors holding the longer maturity classes usually receive principal only after shorter classes have been retired. An investor may be partially protected against a sooner than desired return of principal because of the sequential payments.
The Funds may enter into to be announced (“TBA”) commitments to purchase or sell securities for a fixed price at a future date. TBA commitments are considered securities in themselves, and involve a risk of loss if the value of the security to be purchased or sold declines or increases prior to settlement date, which is in addition to the risk of decline in the value of the Funds’ other assets. Unsettled TBA commitments are valued at the current market value of the underlying securities, according to the procedures described in Note 2 under “Security Valuation”.
The Funds may invest in Collateralized Bond Obligations (“CBOs”), Collateralized Loan Obligations (“CLOs”) and other Collateralized Debt Obligations (“CDOs”), which are debt instruments backed solely by a pool of other debt securities. The risks of an investment in a CBO, CLO or other CDO depend largely on the type of the collateral securities and the class of the CBO, CLO or other CDO in which a Fund invests. Some CBOs, CLOs and other CDOs have credit ratings, but are typically issued in various classes with various priorities. Normally, CBOs, CLOs and other CDOs are privately offered and sold (that is, not registered under the securities laws) and may be characterized by the Funds as illiquid securities, but an active dealer market may exist for CBOs, CLOs and other CDOs that qualify for Rule 144A transactions. In addition to the normal interest rate, default and other risks of fixed income securities, CBOs, CLOs and other CDOs carry additional risks, including the possibility that distributions from collateral securities will not be adequate to make interest or other payments, the quality of the collateral may decline in value or default, the Funds may invest in CBOs, CLOs and other CDOs that are subordinate to other classes, volatility in value, and the complex structure of the security may not be fully understood at the time of investment and produce disputes with the issuer or unexpected investment results.
The Funds may invest in stripped mortgage-backed securities issued by the U.S. government, its agencies and instrumentalities. Stripped mortgage-backed securities are usually structured with two classes that receive different proportions of the interest and principal distributions on a pool of mortgage assets. In certain cases, one class will receive all of the interest (the interest-only or “IO” class), while the other class will receive all of the principal (the principal-only or “PO” class). During the six months ended September 30, 2014, certain interest only securities were held as part of the overall mortgage portfolio holdings. The yield to maturity on IOs is sensitive to the rate of principal repayments (including prepayments) on the related underlying mortgage assets, and principal payments may have a material effect on yield to maturity. If the underlying mortgage assets experience greater than anticipated prepayments of principal, a Fund may not fully recoup its initial investment in IOs. Such securities will be considered liquid only if so determined in accordance with guidelines established by the Board. The Funds also may invest in stripped mortgage- backed securities that are privately issued. These securities will be considered illiquid for purposes of each Fund’s limit on illiquid securities.
The Funds may purchase participations in commercial loans, or may purchase assignments of such loans. Such indebtedness may be secured or unsecured. Loan participations typically represent direct participation in a loan to a corporate borrower, and generally are offered by banks or other financial institutions or lending syndicates. The Funds may participate in such syndications, or can buy part of a loan, becoming a part lender. When purchasing loan participations, a Fund assumes the credit risk associated with the corporate borrower and may assume the credit risk associated with an interposed bank or other financial intermediary. The participation interests in which a Fund intends to invest may not be rated by any nationally recognized rating service. Participations and assignments also
191 / Semi-Annual Report September 2014
Notes to Financial Statements (Continued)
involve special types of risk, including interest rate risk, liquidity risk, and the risk of being a lender. If a Fund purchases a participation, it may only be able to enforce its rights through the lender, and may assume the credit risk of the lender in addition to the borrower.
The Funds may also sell a debt or equity security short that is, without owning it and borrow the same security from a broker or other institution to complete the sale. The Adviser may use short sales when it believes a security is overvalued or as a partial hedge against a position in a related security of the same issuer held by a Fund. The Ultra Short Bond Fund, Low Duration Bond Fund, Intermediate Bond Fund, and Total Return Bond Fund will not make total short sales exceeding 25% of the value of each respective Fund’s assets. The High Yield Bond Fund and Strategic Income Fund will not make total short sales exceeding 33 1/3% of each respective Fund’s assets. If the value of the security sold short increases, a Fund would lose money because it would need to replace the borrowed security by purchasing it at a higher price. The potential loss is unlimited. (If the short sale was intended as a hedge against another investment, the loss on the short sale may be fully or partially offset by gains in that other investment.) At September 30, 2014, the Funds did not hold any short debt or equity.
A lender may request that the borrowed securities be returned on short notice; if that occurs at a time when other short sellers of the subject security are receiving similar requests, a “short squeeze” can occur. This means that the Funds might be compelled, at the most disadvantageous time, to replace borrowed securities previously sold short, with purchases on the open market at prices significantly greater than those at which the securities were sold short. Short selling also may produce higher than normal portfolio turnover and result in increased transaction costs to the Funds. The Funds also may make short sales “against-the-box”, in which the Funds sell short securities they own. The Funds will incur transaction costs, including interest expenses, in connection with opening, maintaining and closing short sales against-the-box, which result in a “constructive sale”, requiring the Fund to recognize any taxable gain from the transaction.
The Funds may invest in payment-in-kind securities (“PIKs”). PIKs give the issuer the option at each interest payment date of making interest payments in either cash or additional debt securities. Those additional debt securities usually have the same terms, including maturity dates and interest rates, and associated risks as the original bonds. The daily market quotations of the original bonds may include the accrued interest (referred to as a dirty price) and require a pro-rata adjustment from the unrealized appreciation or depreciation on investments to interest receivable on the Statement of Assets and Liabilities.
For the six months ended September 30, 2014, the Funds’ did not receive in-kind payments with respect to PIK securities.
The Funds may invest in repurchase agreements. In a repurchase agreement, the Funds purchase a security from a counterparty who agrees to repurchase the same security at a mutually agreed upon date and price. On a daily basis, the counterparty is required to maintain collateral subject to the agreement and in value no less than the agreed repurchase amount. The agreements are conditioned upon the collateral being deposited under the Federal Reserve book entry system or held in a segregated account by the Funds’ custodian or designated sub-custodians under tri-party repurchase agreements. In the event the counterparty defaults and the fair value of the collateral declines, the Funds could experience losses, delays and costs in liquidating the collateral.
Master RepurchaseAgreements (MRA) permit each Fund, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from each Fund. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of a MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, each Fund receives securities as collateral with a market value in excess of the repurchase price to be received by each Fund upon the maturity of the repurchase transaction. Upon a bankruptcy or insolvency of the MRA counterparty, each Fund recognizes a liability with respect to such excess collateral to reflect each Fund’s obligation under bankruptcy law to return the excess to the counterparty. As of September 30, 2014, the Total Return Bond Fund held a repurchase agreement.
The Funds may enter into reverse repurchase agreements, whereby a Fund sells securities concurrently with entering into an agreement to repurchase those securities at a later date at a fixed price. During the reverse repurchase agreement period, the Fund continues to receive principal and interest payments on those securities. Reverse repurchase agreements are speculative techniques involving leverage and are considered borrowings by the Fund for purposes of the percentage limitations applicable to borrowings.
Reverse repurchase transactions and treasury roll transactions are entered into by a Fund under Master Repurchase Agreements (MRA), which permit a Fund, under certain circumstances, including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from a Fund. With reverse repurchase transactions and treasury roll transactions, typically the Funds and the counterparties are permitted to sell, re-pledge, or use the collateral associated with the transaction. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of a MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, a Fund receives or posts securities as collateral with a market value in excess of the repurchase price to be paid or received by a Fund upon the maturity of the transaction. Upon a bankruptcy or insolvency
Semi-Annual Report September 2014 / 192
Notes to Financial Statements (Continued)
of the MRA counterparty, a Fund is considered an unsecured creditor with respect to excess collateral and, as such, the return of excess collateral may be delayed. There were no reverse repurchase agreements for the six months ended September 30, 2014.
Each Fund may enter into when-issued, delayed-delivery, or forward commitment transactions in order to lock in the purchase price of the underlying security, or in order to adjust the interest rate exposure of the Fund’s existing portfolio. In when-issued, delayed-delivery, or forward commitment transactions, a Fund commits to purchase or sell particular securities, with payment and delivery to take place at a future date. Although a Fund does not pay for the securities or start earning interest on them until they are delivered, it immediately assumes the risks of ownership, including the risk of price fluctuation. If a Fund’s counterparty fails to deliver a security purchased on a when-issued, delayed-delivery, or forward commitment basis, there may be a loss, and that Fund may have missed an opportunity to make an alternative investment.
Prior to settlement of these transactions, the value of the subject securities will fluctuate, reflecting interest rate changes. In addition, because a Fund is not required to pay for when-issued, delayed-delivery, or forward commitment securities until the delivery date, they must result in a form of leverage to the extent a Fund does not maintain liquid assets equal to the face amount of the contract. The Funds segregate assets (cash and/or securities) to cover the amounts outstanding related to these transactions.
Derivatives:
The Funds engaged in various portfolio investment strategies both to increase the return of the Funds and to economically hedge, or protect, their exposure to interest rate movements and movements in the securities markets. Losses may arise if the value of the contract decreases due to an unfavorable change in the price of the underlying security or if the counterparty does not perform under the contract. The Funds are subject to credit risk, equity price risk and interest rate risk in the normal course of pursuing its investment objectives by investing in various derivative financial instruments, as described below:
Over the reporting period, the Funds engaged in interest rate futures contracts, foreign currency exchange contracts, swap agreements and swaptions as a means of managing interest rate risk and yield curve positioning consistent with the advisor’s current market perspectives. Additionally, credit default swaps were held for the purposes of (1) hedging valuation risks specific to identified market segments, industries and credits and (2) efficiently gaining income-bearing exposures to selected market segments, industries and credits. The market value of these instruments, realized and changes in unrealized gains and losses, the types of contracts are included in the Schedule of Portfolio Investments and the Notes to Financial Statements.
Options - The Funds may purchase and write, call and put options on securities, securities indices and on foreign currencies. A Fund may purchase put options on securities to seek to protect holdings in an underlying or related security against a substantial decline in market value. A Fund may purchase call options on securities to seek to protect against substantial increases in prices of securities the Fund intends to purchase pending its ability to invest in such securities in an orderly manner. A Fund may write a call or put option only if the option is covered by the Fund holding a position in the underlying securities or by other means which would permit immediate satisfaction of the Fund’s obligation as writer of the option. The purchase and writing of options involves certain risks. During the option period, the covered call writer has, in return for the premium on the option, given up the opportunity to profit from a price increase in the underlying securities above the sum of the premium and exercise price, but, as long as its obligation as a writer continues, has retained the risk of loss should the price of the underlying securities decline. The writer of an option has no control over the time when it maybe required to fulfill its obligation as a writer of the option. Once an option writer has received an exercise notice, it cannot effect a closing purchase transaction in order to terminate its obligation under the option and must deliver the underlying securities at the exercise price. If a put or call option purchased by the Fund is not sold when it has remaining value, and if the market price of the underlying security, in the case of a put, remains equal to or greater than the exercise price or, in the case of a call, remains less than or equal to the exercise price, the Fund will lose its entire investment in the option. There can be no assurance that a liquid market will exist when a Fund seeks to close out an option position. Furthermore, if trading restrictions or suspensions are imposed on the options markets, a Fund may be unable to close out a position.
The Funds may execute transactions in both listed and over-the-counter options. Listed options involve minimal counterparty risk since listed options are guaranteed against default by the exchange on which they trade. Transactions in certain over-the-counter options may expose the Funds to the risk of default by the counterparty to the transaction. In the event of default by the counterparty to the over-the-counter option transaction, a Fund’s maximum amount of loss is the premium paid (as purchaser) or the unrealized loss of the contract (as writer). As of September 30, 2014, the The Low Duration Bond Fund and the Total Return Bond Fund held written swaptions.
Futures - The Funds purchased or sold exchange-traded futures contracts, which are contracts that obligate the Funds to make or take delivery of a financial instrument or the cash value of a security index at a specified future date at a specified price. The Funds may use futures contracts to manage exposure to the stock and bond markets or changes in interest rates and currency values, or for gaining exposure to markets. Risks of entering into futures contracts include the possibility that there may be an illiquid market at the
193 / Semi-Annual Report September 2014
Notes to Financial Statements (Continued)
time the Adviser to the Fund may be attempting to sell some or all the Fund holdings or that a change in the value of the contract may not correlate with changes in the value of the underlying securities. Upon entering into a futures contract, the Fund is required to deposit either cash or securities (initial margin). Subsequent payments (variation margin) are made or received by the Fund, generally on a daily basis. The variation margin payments are equal to the daily changes in the contract value and are recorded as unrealized gains or losses. The Funds recognize a realized gain or loss when the contract is closed or expires.
Futures transactions involve minimal counterparty risk since futures contracts are guaranteed against default by the exchange on which they trade.
Foreign Currency - The Funds may hold foreign currency as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to foreign currencies (foreign currency exchange rate risk).
Foreign Currency Exchange Contracts - The Funds entered into foreign currency exchange contracts as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to foreign currencies (foreign currency exchange rate risk). A foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a future date. Foreign currency exchange contracts, when used by a Fund, help to manage the overall exposure to the currencies in which some of the investments held by a Fund are denominated. The contract is marked-to-market daily and the change in market value is recorded by a Fund as an unrealized gain or loss. When the contract is closed, a Fund records a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The use of foreign currency exchange contracts involves the risk that the value of a foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies and the risk that a counterparty to the contract does not perform its obligations under the agreement.
Swaps - The Funds invested in swap agreements. Swap agreements are two-party contracts entered into primarily by institutional investors for periods ranging from a few weeks to more than a year. In a standard swap transaction, two parties agree to exchange the returns earned on specific assets, such as the return on, or increase in value of, a particular dollar amount invested at a particular interest rate, in a particular foreign currency, or in a basket of securities representing a particular index. A swap contract may not be assigned without the consent of the counterparty (and in certain circumstances may not be assignable), and may result in losses in the event of a default or bankruptcy of the counterparty.
The Funds entered into credit default swap agreements. The buyer in a credit default contract is obligated to pay the seller a periodic, stream of payments over the term of the contract provided no event of default has occurred. In the event of default, the seller must pay the buyer the par value (full notional value) of the reference obligation in exchange for the reference obligation. The Funds may be either the buyer or seller in such transactions. If the Fund is a buyer and no event of default occurs, the Fund loses its investment and recovers nothing. However, if an event of default occurs, the buyer receives full notional value for a reference obligation that may have little or no value. As a seller of a credit default swap, the Fund receives a fixed rate of income throughout the term of the contract, provided there is no default event. If an event of default occurs, the seller may pay the notional value of the reference obligation. The value of the reference obligation received by the seller, coupled with the periodic payments previously received may be less than the full notional value it pays to the buyer, resulting in a loss of value to the Fund. Credit default swaps involve greater risks than if the Fund had invested in the reference obligation directly. In addition to general market risks, credit default swaps are subject to illiquidity risk, counterparty risk and credit risk.
The aggregate fair value of credit default swaps in a net liability position is reflected as unrealized depreciation and is disclosed in the Notes to Schedules of Investments. The collateral posted, net of assets received as collateral, for swap contracts is also disclosed in the Notes to Schedules of Investments. The maximum potential amount of future payments (undiscounted) that a portfolio as a seller of protection could be required to make under a credit default swap agreement is an amount equal to the notional amount of the agreement. Notional amounts of all credit default swap agreements outstanding as of September 30, 2014, for which a portfolio is the seller of protection are disclosed in the Notes to Schedules of Investments. These potential amounts are partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreement, or net amounts received from the settlement of buy protection credit default swap agreements entered into by a portfolio for the same referenced entity or entities.
The Funds entered into interest rate swap agreements. Interest rate swaps are agreements in which one party pays a floating rate of interest on a notional principal amount and receives a fixed rate of interest on the same notional principal amount for a specified period of time. Alternatively, a party may pay a fixed rate and receive a floating rate. In more complex swaps, the notional principal amount may decline (or amortize) over time. The Funds’ maximum risk of loss due to counterparty default is the discounted net asset value of the cash flows paid to/received from the counterparty over the interest rate swap’s remaining life. The Funds enter into interest rate swaps to manage duration, the yield curve or interest rate risk by economically hedging the value of the fixed-rate bonds which may decrease when interest rates rise (interest rate risk).
Semi-Annual Report September 2014 / 194
Notes to Financial Statements (Continued)
The Funds may write (sell) and purchase put and call swaptions. Swaption contracts written by the Funds represent an option that gives the purchaser the right, but not the obligation, to enter into a new swap agreement, or to shorten, extend, cancel or modify an existing swap agreement, on a future date on specified terms. Depending on the terms of the particular option agreement, a Fund will generally incur a greater degree of risk when it writes a swaption than it will incur when it purchases a swaption. When a Fund purchases a swaption, it risks losing only the amount of the premium it has paid should it decide to let the option expire unexercised. However, when a Fund writes a swaption, upon exercise of the option the Fund will become obligated according to the terms of the underlying agreement. At September 30, 2014, the Low Duration Bond Fund and the Total Return Bond Fund held written swaptions.
In addition to the securities listed above, the AlphaTrak 500 Fund invested in the following equity derivative instruments with a notional or contractual value up to its total assets: S&P 500 Index futures contracts, Mini S&P 500 Index futures contracts, options on the S&P 500 Index and S&P futures, and swap agreements involving the S&P 500 Index. When the above listed S&P Index derivatives appear to be overvalued relative to the S&P 500 Index, the Fund may invest up to 100% in the common stocks that comprise the S&P 500 Index. The Fund may also invest up to 25% of its total assets in these stocks indirectly by purchasing interests in one or more mutual funds, asset pools, or trusts that invest in such stocks.
The Funds may enter into total return swap agreements. Total return swap is the generic name for any non-traditional swap where one party agrees to pay the other the “total return” of a defined underlying asset, usually in return for receiving a stream of LIBOR based cash flows. The total return swap may be applied to any underlying asset but is most commonly used with equity indices, single stocks, bonds and defined portfolios of loans and mortgages. The total return swap is a mechanism for the user to accept the economic benefits of asset ownership without utilizing the balance sheet. The other leg of the swap, usually LIBOR, is spread to reflect the non-balance sheet nature of the product. Total return swaps can be designed with any underlying asset agreed between two parties.
As a result, unrealized gains are reported as an asset and unrealized losses are reported as a liability in the statements of assets and liabilities. The change in the value of the swaps, including periodic amounts of interest paid or received on swaps is reported as unrealized gains or losses in both the statements of assets and liabilities and the statements of operations. A realized gain or loss is recorded upon payment or termination of swap agreements. Swap agreements are stated at fair value. Notional principal amounts are used upon payment or receipt of a periodic payment or termination of swap agreements to express the extent of involvement in these transactions, but the amounts subject to credit risk are much smaller. At September 30, 2014, the Funds had outstanding swap agreements as listed in the Funds’ Schedules of Portfolio Investments. Swap transactions present risk of loss in excess of the related amounts in the statements of assets and liabilities.
Market Risk: Because the values of the Funds’ investments will fluctuate with market conditions, so will the value of your investment in the Funds. You could lose money on your investment in the Funds or the Funds could underperform other investments.
Liquidity Risk: The Funds’ investments in illiquid securities may reduce the returns of the Funds because they may not be able to sell the illiquid securities at an advantageous time or price. Investments in high-yield securities, foreign securities, derivatives or other securities with substantial market and/or credit risk tend to have the greatest exposure to liquidity risk. Certain investments in private placements and Rule 144A securities may be considered illiquid investments. The Funds may invest in private placements and Rule 144A securities.
Interest Rate Risk: The values of the Funds’ investments fluctuate in response to movements in interest rates. If rates rise, the values of debt securities generally fall. The longer the average duration of the Funds’ investment portfolio, the greater the change in value.
Mortgage-Backed and Other Asset-Backed Securities Risk: Each Fund may invest in mortgage-backed or other asset-backed securities. The values of some mortgaged-backed or other asset-backed securities may expose a Fund to a lower rate of return upon reinvestment of principal. When interest rates rise, the value of mortgage-related securities generally will decline; however, when interest rates are declining, the value of mortgage related-securities with prepayment features may not increase as much as other fixed-income securities. The rate of prepayments on underlying mortgages will affect the price and volatility of a mortgage-related security, and may shorten or extend the effective maturity of the security beyond what was anticipated at the time of purchase. If unanticipated rate of prepayment on underlying mortgages increases the effective maturity of a mortgage-related security, the volatility of the security can be expected to increase. The value of these securities may fluctuate in response to the market’s perception of the creditworthiness of the issuers. Additionally, although mortgages and mortgage-related securities are generally supported by some form of government or private guarantee and/or insurance, there is no assurance that private guarantors or insurers will meet their obligations.
Derivatives Risk: Use of derivatives, which at times is an important part of the Funds’ investment strategy, involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Investments
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Notes to Financial Statements (Continued)
in derivatives could cause the Funds to lose more than the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances and there can be no assurance that the Funds will engage in these transactions to reduce exposure to other risks when that would be beneficial.
Credit Risk: The values of any of the Funds’ investments may also decline in response to events affecting the issuer or its credit rating. The lower rated debt securities in which the Fund may invest are considered speculative and are subject to greater volatility and risk of loss than investment-grade securities, particularly in deteriorating economic conditions. The value of some mortgage-related securities in which the Funds invest also may fall because of unanticipated levels of principal prepayments that can occur when interest rates decline.
Certain of the Funds invest a material portion of their assets in securities of issuers that hold mortgage- and asset-backed securities and direct investments in securities backed by commercial and residential mortgage loans and other financial assets. The value and related income of these securities are sensitive to changes in economic conditions, including delinquencies and/or defaults. Continuing shifts in the market’s perception of credit quality on securities backed by commercial and residential mortgage loans and other financial assets may result in increased volatility of market price and periods of illiquidity that can negatively impact the valuation of certain issuers held by the Funds.
Mortgage-backed securities (“MBS”) and Asset-backed securities (“ABS”) are characterized and classified in a variety of different ways. These classifications include a view of the securities’ cash flow structure (pass-through, sequential pay, prepayment-protected, interest-only, principal-only, etc.), the security of the claim on the underlying assets, (senior, mezzanine and subordinated), as well as types of underlying collateral (prime conforming loans, prime non-conforming loans, Alt-A loans, subprime loans, commercial loans, etc.) In many cases, the classification incorporates a degree of subjectivity: a particular loan might be categorized as “prime” by the underwriting standards of one mortgage issuer while another might classify the loan as “subprime.” In addition to other functions, the risk associated with an investment in a mortgage loan must take into account the nature of the collateral, the form and the level of credit enhancement, the vintage of the loan, the geography of the loan, the purpose of the loan (refinance versus purchase versus equity take-out), the borrower’s credit quality (e.g. FICO score), and whether the loan is a first trust deed or a second lien.
The mortgage industry lacks a single bright-line as to what separates a subprime loan from an Alt-A loan. Often it is a combination of loan characteristics involving both borrower criteria as well as collateral criteria that determine which category a loan is placed in. However, in order to be both conservative and objective as possible, the Adviser applied the following criteria to the Funds’ residential mortgage and asset-backed holdings in coming up with its categorizations:
Sub Prime - Any asset-backed bond whose collateral was residential mortgages were considered to be subprime, provided that the loans did not belong to the classification of manufactured housing loans.
Alt-A - Any mortgage-backed security whose average borrower FICO score was less than 730 and/or was listed as an Alt-A pool by Bloomberg were considered to be Alt-A bonds.
Counterparty Risk: The Funds may be exposed to counterparty risk, or the risk that an entity with which the Funds have unsettled or open transactions may default. Financial assets, which potentially expose the Funds to credit and counterparty risks, consist principally of investments and cash due from counterparties. The extent of the Funds’ exposure to credit and counterparty risks with respect to these financial assets is approximated by their fair value recorded in the Funds’ statements of assets and liabilities.
| 5. | SECURITIES TRANSACTIONS |
Investment transactions for the six months ended September 30, 2014 excluding U.S. government and short-term investments, were as follows:
| | | | | | | | |
PORTFOLIO | | PURCHASES | | | SALES | |
Ultra Short Bond Fund | | $ | 41,720,273 | | | $ | 19,029,291 | |
Low Duration Bond Fund | | | 785,165,738 | | | | 610,656,539 | |
Intermediate Bond Fund | | | 265,962,305 | | | | 211,321,127 | |
Total Return Bond Fund | | | 29,528,802,673 | | | | 25,507,733,584 | |
High Yield Bond Fund | | | 546,803,997 | | | | 869,633,529 | |
Unconstrained Bond Fund | | | 314,315,964 | | | | 80,675,320 | |
Floating Rate Income Fund | | | 40,931,140 | | | | 25,543,919 | |
Strategic Income Fund | | | 26,591,777 | | | | 28,047,522 | |
AlphaTrak 500 Fund | | | 514,863 | | | | 626,802 | |
Semi-Annual Report September 2014 / 196
Notes to Financial Statements (Continued)
Investment transactions in U.S. government securities for the six months ended September 30, 2014 were as follows:
| | | | | | | | |
PORTFOLIO | | PURCHASES | | | SALES | |
Ultra Short Bond Fund | | | - | | | $ | 777,042 | |
Low Duration Bond Fund | | | 8,136,529 | | | | 13,870,193 | |
Intermediate Bond Fund | | | 401,415,431 | | | | 259,913,413 | |
Total Return Bond Fund | | | 13,759,901,919 | | | | 9,831,229,909 | |
High Yield Bond Fund | | | - | | | | - | |
Unconstrained Bond Fund | | | - | | | | 1,198,864 | |
Floating Rate Income Fund | | | - | | | | - | |
Strategic Income Fund | | | - | | | | 921,349 | |
AlphaTrak 500 Fund | | | - | | | | - | |
Transactions in option and swaption contracts written for the six months ended September 30, 2014, were as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | TOTAL RETURN
BOND FUND | | TOTAL RETURN
BOND FUND |
| | | | |
| | | CALL CONTRACTS | | CALL PREMIUMS | | PUT CONTRACTS | | PUT PREMIUMS |
Outstanding at April 1, 2014 | | | | – | | | | $ | – | | | | | – | | | | $ | – | |
Options written during period | | | | 6,100 | | | | | 998,059 | | | | | 115,400 | | | | | 13,064,240 | |
Options closed during period | | | | (1,500 | ) | | | | (318,455 | ) | | | | (19,700 | ) | | | | (3,004,956 | ) |
Options expired during period | | | | – | | | | | – | | | | | – | | | | | – | |
Options exercised during period | | | | – | | | | | – | | | | | – | | | | | – | |
| | | | | | | | | | | | | | | | | | | | |
Outstanding at September 30, 2014 | | | | 4,600 | | | | $ | 679,604 | | | | | 95,700 | | | | $ | 10,059,284 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | LOW DURATION
BOND FUND | | TOTAL RETURN
BOND FUND |
| | | | |
| | | CONTRACTS | | PREMIUMS | | CONTRACTS | | PREMIUMS |
Outstanding at April 1, 2014 | | | | 3,000 | | | | $ | (540,000 | ) | | | | 5,560,600 | | | | $ | 14,322,141 | |
Swaptions written during period | | | | – | | | | | – | | | | | – | | | | | – | |
Swaptions closed during period | | | | – | | | | | – | | | | | – | | | | | – | |
Swaptions expired during period | | | | – | | | | | – | | | | | – | | | | | – | |
Swaptions exercised during period | | | | – | | | | | – | | | | | – | | | | | – | |
| | | | | | | | | | | | | | | | | | | | |
Outstanding at September 30, 2014 | | | | 3,000 | | | | $ | (540,000 | ) | | | | 5,560,600 | | | | $ | 14,322,141 | |
| | | | | | | | | | | | | | | | | | | | |
| 6. | INVESTMENT ADVISORY SERVICES AND OTHER TRANSACTIONS |
As compensation for advisory services, theAdviser charges the Ultra Short Bond Fund, the Low Duration Bond Fund, the Intermediate Bond Fund, the Total Return Bond Fund, the High Yield Bond Fund, the Unconstrained Bond Fund and the Floating Rate Income Fund a fee, computed daily and payable monthly, at an annual rate of 0.25%, 0.30%, 0.35%, 0.35%, 0.50%, 0.65% and 0.55%, respectively, of each Fund’s average daily net assets. The Adviser charges the Strategic Income Fund a basic fee of 1.20% of the Fund’s average daily net assets. The basic fee may be adjusted upward or downward (by up to 0.70% of the Fund’s average daily net assets for the relevant 12-month performance period), depending on whether, and to what extent, the investment performance of the Strategic Income Fund, for the relevant performance period, exceeds or is exceeded by, the performance of the Merrill Lynch Three Month U.S. Treasury Bill Index, plus 2.00% over the same period. Under this agreement, the basic fee was increased by 0.67% resulting in $1,927,730 of total management fees for the six months ended September 30, 2014. The Adviser charges the AlphaTrak 500 Fund a basic fee of 0.35% of the Fund’s average daily net assets. The basic fee may be adjusted upward or downward (by up to 0.35% of the Fund’s average daily net assets for the relevant three-month performance period), depending on whether, and to what extent, the investment performance of the AlphaTrak 500 Fund before management fees, for the relevant performance period, exceeds or is exceeded by, the performance of the S&P 500 Index, plus an annualized margin of 1.00% over the same period. Under this agreement, the basic fee was decreased by 0.06% resulting in $7,384 total management fees for the six months ended September 30, 2014.
The Adviser has agreed in an operating expenses agreement with the Trust to limit each Fund’s expenses as described in the table below. The operating expenses agreement has a one-year term, renewable at the end of each fiscal year. Each Fund has agreed to
197 / Semi-Annual Report September 2014
Notes to Financial Statements (Continued)
reimburse the Adviser, for a period of up to three years, for any such payments to the extent that the Fund’s operating expenses are otherwise below its expense cap. The Adviser’s obligation will not be recorded as a liability on the books of the applicable Fund to the extent that the total operating expenses of the Fund are at or above the expense cap. However, if the total operating expenses of a Fund fall below the expense cap, the reimbursement to the Adviser (up to the cap) will be accrued by the Fund as a liability if the Adviser seeks to recoup those amounts and the independent trustees have approved that reimbursement. The Adviser may not request or receive reimbursement from a Fund for prior reductions or reimbursements before the payment of a Fund’s operating expenses for the year.
Investment advisory fees and related contractual expense limitations for the six months ended September 30, 2014, were as follows:
| | | | | | | | | | | | | | | | |
PORTFOLIO | | INVESTMENT ADVISORY FEE
RATE | | CONTRACTUAL EXPENSE
LIMITATION1 |
| | CLASS M | | CLASS I | | ADMINSTRATIVE CLASS | | PLAN CLASS | | CLASS M | | CLASS I | | ADMINSTRATIVE CLASS | | PLAN CLASS |
Ultra Short Bond Fund | | 0.25% | | 0.25% | | N/A | | N/A | | 0.50% | | 0.34% | | N/A | | N/A |
Low Duration Bond Fund | | 0.30 | | 0.30 | | 0.30% | | N/A | | 0.63 | | 0.44 | | 0.83% | | N/A |
Intermediate Bond Fund | | 0.35 | | 0.35 | | N/A | | N/A | | 0.70 | | 0.49 | | N/A | | N/A |
Total Return Bond Fund | | 0.35 | | 0.35 | | 0.35 | | 0.35% | | 0.70 | | 0.49 | | 0.90 | | 0.39% |
High Yield Bond Fund | | 0.50 | | 0.50 | | N/A | | N/A | | 0.85 | | 0.60 | | N/A | | N/A |
Unconstrained Bond Fund | | 0.65 | | 0.65 | | N/A | | N/A | | 1.04 | | 0.80 | | N/A | | N/A |
Floating Rate Income Fund* | | 0.55 | | 0.55 | | N/A | | N/A | | 0.90 | | 0.70 | | N/A | | N/A |
Strategic Income Fund | | 0.50 - 1.90 | | 0.50 - 1.90 | | N/A | | N/A | | 2.35 | | 2.10 | | N/A | | N/A |
AlphaTrak 500 Fund | | 0.00 - 0.70 | | N/A | | N/A | | N/A | | 0.90 | | N/A | | N/A | | N/A |
1The Adviser has agreed not to reduce or discontinue this contractual expense limitation until July 31,2015, unless approved by the Board.
*The Floating Rate Income Fund Class M and Class I commenced operations on June 28, 2013.
At September 30, 2014, the balance of recoupable expenses with expiration dates for the Funds were as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
| PORTFOLIO | | 2015 | | | 2016 | | | 2017 | | | 2018 | | | TOTAL | |
Ultra Short Bond Fund | | $ | 183,240 | | | $ | 158,547 | | | $ | 163,689 | | | $ | 114,788 | | | $ | 620,264 | |
Low Duration Bond Fund | | | – | | | | – | | | | – | | | | 162,567 | | | | 162,567 | |
Intermediate Bond Fund | | | 141,613 | | | | 117,147 | | | | 103,858 | | | | 28,057 | | | | 390,675 | |
Total Return Bond Fund | | | – | | | | – | | | | – | | | | 457,342 | | | | 457,342 | |
High Yield Bond Fund | | | 628,464 | | | | 681,824 | | | | 358,500 | | | | 652,445 | | | | 2,321,233 | |
Unconstrained Bond Fund | | | 74,785 | | | | 261,222 | | | | 189,032 | | | | 53,158 | | | | 578,197 | |
Floating Rate Income Fund* | | | – | | | | – | | | | 123,362 | | | | 91,895 | | | | 215,257 | |
Strategic Income Fund | | | – | | | | – | | | | – | | | | 4,617 | | | | 4,617 | |
AlphaTrak 500 Fund | | | 91,760 | | | | 120,886 | | | | 129,255 | | | | 61,064 | | | | 402,965 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | $ | 1,119,862 | | | $ | 1,339,626 | | | $ | 1,067,696 | | | $ | 1,625,933 | | | $ | 5,153,117 | |
| | | | | | | | | | | | | | | | | | | | |
*The Floating Rate Income Fund commenced operations on June 28, 2013.
Certain officers and trustees of the Funds are also officers and directors of the Adviser. Such officers and trustees serve without direct compensation from the Funds. Each of the independent trustees receives an annual retainer of $20,000 and $6,250 for each meeting of the Board attended. The chairman of the Board receives an annual retainer of $35,000. The respective chairman of the Audit Committee and the Nominating Committee each receive additional annual retainer of $5,000. The Trust has an unfunded, nonqualified deferred compensation plan (the “Plan”) for certain eligible Trustees. The Plan allows Trustees to defer some or all of their annual trustees’ fees otherwise payable by the Trust for a minimum of three years. The fees deferred are posted to a bookkeeping account maintained by the Trust. The various series of the Trust will use the returns on those Funds selected by the Trustee to determine the income, gains and losses to allocate to the account. At the time for commencing distributions from a Trustee’s deferral account, which is no later than when the Trustee ceases to be a member of the Board, deferred fees will be paid out in a single sum in cash or a maximum of 10 annual installments. The expenses related to the annual retainer, meeting fees, and/or any fluctuation in the selected Funds under the Plan are recorded in Trustees’ fees and expenses in the statements of operations.
Semi-Annual Report September 2014 / 198
Notes to Financial Statements (Continued)
| 7. | SHARE MARKETING (12b-1) PLAN AND SHAREHOLDER SERVICING PLAN |
The Trust has a Share Marketing Plan (or the “Plan”) pursuant to Rule 12b-1 of the 1940 Act with respect to Class M shares of the Ultra Short Bond Fund, the Low Duration Bond Fund, the Intermediate Bond Fund, the Total Return Bond Fund, the HighYield Bond Fund, the Unconstrained Bond Fund, the Floating Rate Income Fund, the Strategic Income Fund, the AlphaTrak 500 Fund and the Administrative Class shares of the Low Duration Bond Fund and Total Return Bond Fund. Under the Plan, the Trust pays Foreside Funds Distributor LLC, as the Trust’s distribution coordinator, an annual fee up to 0.25% of the particular Fund’s average daily net assets attributable to Class M shares and Administrative Class shares to reimburse expenses in connection with the promotion and distribution of shares of the respective Fund. The Adviser has undertaken to limit the Rule 12b-1 expenses to 0.16% for the Ultra Short Bond Fund, 0.19% for the Low Duration Bond Fund, and 0.21% for the Intermediate Bond Fund and the Total Return Bond Fund, for the six months ended September 30, 2014. The AlphaTrak 500 Fund is currently not incurring Rule 12b-1 fees.
The Funds’ Board of Trustees has adopted a Shareholder Servicing Plan that allows each Fund to pay to broker-dealers and other financial intermediaries a fee for shareholder services provided to Fund shareholders who invest in the Administrative Class shares of a Fund through the intermediary. The fee is payable under the Plan at an annual rate not to exceed 0.25% of the particular Fund’s average daily net assets attributable to the Administrative Share class but the Adviser has undertaken to limit these expenses for the current fiscal year to 0.20% of the Fund’s average daily net assets invested through the intermediary.
| 8. | CAPITAL SHARE TRANSACTIONS |
Each Fund is authorized to issue an unlimited number of shares of beneficial interest with a par value of $0.01 per share. Transactions in shares of beneficial interest were as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | ULTRA SHORT BOND FUND |
| | CLASS M | | CLASS M | | CLASS I | | CLASS I |
| | PERIOD ENDED
SEPTEMBER 30,
2014
(UNAUDITED) | | YEAR ENDED
MARCH 31, 2014 | | PERIOD ENDED
SEPTEMBER 30,
2014
(UNAUDITED) | | YEAR ENDED
MARCH 31,
2014 |
Change in Fund shares: | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at beginning of period | | | | 22,570,620 | | | | | 13,217,475 | | | | | 23,363,249 | | | | | 15,745,736 | |
| | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | 8,640,152 | | | | | 27,953,048 | | | | | 9,487,736 | | | | | 15,456,648 | |
Shares issued through reinvestment of distributions | | | | 74,485 | | | | | 183,981 | | | | | 92,919 | | | | | 193,900 | |
Shares redeemed | | | | (9,124,280 | ) | | | | (18,783,884 | ) | | | | (10,993,565 | ) | | | | (8,033,035 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net increase/(decrease) in fund shares | | | | (409,643 | ) | | | | 9,353,145 | | | | | (1,412,910 | ) | | | | 7,617,513 | |
| | | | | | | | | | | | | | | | | | | | |
Shares outstanding at end of period | | | | 22,160,977 | | | | | 22,570,620 | | | | | 21,950,339 | | | | | 23,363,249 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | LOW DURATION BOND FUND |
| | CLASS M | | CLASS M | | CLASS I | | CLASS I | | ADMINISTRATIVE
CLASS | | ADMINISTRATIVE
CLASS |
| | PERIOD ENDED
SEPTEMBER 30,
2014
(UNAUDITED) | | YEAR ENDED
MARCH 31,
2014 | | PERIOD ENDED
SEPTEMBER 30,
2014
(UNAUDITED) | | YEAR ENDED
MARCH 31,
2014 | | PERIOD ENDED
SEPTEMBER 30,
2014
(UNAUDITED) | | YEAR ENDED
MARCH 31, 2014 |
Change in Fund shares: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at beginning of period | | | | 217,742,881 | | | | | 129,173,819 | | | | | 192,340,693 | | | | | 83,973,137 | | | | | 318,346 | | | | | 9,212 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | 42,024,110 | | | | | 187,311,933 | | | | | 53,644,674 | | | | | 178,970,115 | | | | | 101,587 | | | | | 330,484 | |
Shares issued through reinvestment of distributions | | | | 1,485,777 | | | | | 2,802,091 | | | | | 1,161,593 | | | | | 2,223,014 | | | | | 2,109 | | | | | 1,591 | |
Shares redeemed | | | | (34,047,032 | ) | | | | (101,544,962 | ) | | | | (66,297,548 | ) | | | | (72,825,573 | ) | | | | (23,396 | ) | | | | (22,941 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net increase/(decrease) in fund shares | | | | 9,462,855 | | | | | 88,569,062 | | | | | (11,491,281 | ) | | | | 108,367,556 | | | | | 80,300 | | | | | 309,134 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at end of period | | | | 227,205,736 | | | | | 217,742,881 | | | | | 180,849,412 | | | | | 192,340,693 | | | | | 398,646 | | | | | 318,346 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
199 / Semi-Annual Report September 2014
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | | | |
| | | INTERMEDIATE BOND FUND |
| | CLASS M | | CLASS M | | CLASS I | | CLASS I |
| | PERIOD ENDED
SEPTEMBER 30,
2014
(UNAUDITED) | | YEAR ENDED
MARCH 31,
2014 | | PERIOD ENDED
SEPTEMBER 30,
2014
(UNAUDITED) | | YEAR ENDED
MARCH 31,
2014 |
Change in Fund shares: | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at beginning of period | | | | 13,747,737 | | | | | 10,811,912 | | | | | 33,860,829 | | | | | 18,502,990 | |
| | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | 3,597,413 | | | | | 9,450,714 | | | | | 16,993,918 | | | | | 23,398,888 | |
Shares issued through reinvestment of distributions | | | | 111,496 | | | | | 231,580 | | | | | 351,710 | | | | | 650,659 | |
Shares redeemed | | | | (2,517,320 | ) | | | | (6,746,469 | ) | | | | (3,121,056 | ) | | | | (8,691,708 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net increase in fund shares | | | | 1,191,589 | | | | | 2,935,825 | | | | | 14,224,572 | | | | | 15,357,839 | |
| | | | | | | | | | | | | | | | | | | | |
Shares outstanding at end of period | | | | 14,939,326 | | | | | 13,747,737 | | | | | 48,085,401 | | | | | 33,860,829 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | TOTAL RETURN BOND FUND |
| | CLASS M | | CLASS M | | CLASS I | | CLASS I |
| | PERIOD ENDED
SEPTEMBER 30,
2014
(UNAUDITED) | | YEAR ENDED
MARCH 31, 2014 | | PERIOD ENDED
SEPTEMBER 30,
2014
(UNAUDITED) | | YEAR ENDED
MARCH 31,
2014 |
Change in Fund shares: | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at beginning of period | | | | 991,398,572 | | | | | 989,142,309 | | | | | 1,500,776,593 | | | | | 1,253,790,292 | |
| | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | 193,987,251 | | | | | 318,644,159 | | | | | 603,605,103 | | | | | 744,686,158 | |
Shares issued through reinvestment of distributions | | | | 11,054,375 | | | | | 30,935,985 | | | | | 17,330,443 | | | | | 39,507,301 | |
Shares redeemed | | | | (104,335,395 | ) | | | | (347,323,881 | ) | | | | (154,159,469 | ) | | | | (537,207,158 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net increase in fund shares | | | | 100,706,231 | | | | | 2,256,263 | | | | | 466,776,077 | | | | | 246,986,301 | |
| | | | | | | | | | | | | | | | | | | | |
Shares outstanding at end of period | | | | 1,092,104,803 | | | | | 991,398,572 | | | | | 1,967,552,670 | | | | | 1,500,776,593 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | TOTAL RETURN BOND FUND |
| | ADMINISTRATIVE
CLASS | | ADMINISTRATIVE
CLASS | | PLAN CLASS | | PLAN
CLASS |
| | PERIOD ENDED
SEPTEMBER 30,
2014
(UNAUDITED) | | YEAR ENDED
MARCH 31,
2014 | | PERIOD ENDED
SEPTEMBER 30,
2014
(UNAUDITED) | | YEAR ENDED
MARCH 31,
2014 |
Change in Fund shares: | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at beginning of period | | | | 3,690,553 | | | | | 1,444,027 | | | | | 53,170,708 | | | | | 33,826,317 | |
| | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | 3,835,069 | | | | | 3,954,425 | | | | | 45,155,370 | | | | | 31,667,721 | |
Shares issued through reinvestment of distributions | | | | 52,364 | | | | | 64,695 | | | | | 958,498 | | | | | 1,546,825 | |
Shares redeemed | | | | (756,821 | ) | | | | (1,772,594 | ) | | | | (5,060,707 | ) | | | | (13,870,155 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net increase in fund shares | | | | 3,130,612 | | | | | 2,246,526 | | | | | 41,053,161 | | | | | 19,344,391 | |
| | | | | | | | | | | | | | | | | | | | |
Shares outstanding at end of period | | | | 6,821,165 | | | | | 3,690,553 | | | | | 94,223,869 | | | | | 53,170,708 | |
| | | | | | | | | | | | | | | | | | | | |
Semi-Annual Report September 2014 / 200
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | | | |
| | | HIGH YIELD BOND FUND |
| | | | |
| | | CLASS M | | CLASS M | | CLASS I | | CLASS I |
| | | | |
| | | PERIOD ENDED
SEPTEMBER 30,
2014
(UNAUDITED) | | YEAR ENDED
MARCH 31,
2014 | | PERIOD ENDED
SEPTEMBER 30,
2014
(UNAUDITED) | | YEAR ENDED
MARCH 31,
2014 |
Change in Fund shares: | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at beginning of period | | | | 127,558,737 | | | | | 126,097,260 | | | | | 87,767,382 | | | | | 94,178,471 | |
| | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | 12,453,219 | | | | | 61,840,408 | | | | | 16,567,034 | | | | | 49,975,787 | |
Shares issued through reinvestment of distributions | | | | 2,430,929 | | | | | 9,519,989 | | | | | 1,773,746 | | | | | 6,158,115 | |
Shares redeemed | | | | (50,243,815 | ) | | | | (69,898,920 | ) | | | | (22,228,637 | ) | | | | (62,544,991 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net increase/(decrease) in fund shares | | | | (35,359,667 | ) | | | | 1,461,477 | | | | | (3,887,857 | ) | | | | (6,411,089 | ) |
| | | | | | | | | | | | | | | | | | | | |
Shares outstanding at end of period | | | | 92,199,070 | | | | | 127,558,737 | | | | | 83,879,525 | | | | | 87,767,382 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | UNCONSTRAINED BOND FUND |
| | | | |
| | | CLASS M | | CLASS M | | CLASS I | | CLASS I |
| | | | |
| | | PERIOD ENDED
SEPTEMBER 30,
2014
(UNAUDITED) | | YEAR ENDED
MARCH 31,
2014 | | PERIOD ENDED
SEPTEMBER 30,
2014
(UNAUDITED) | | YEAR ENDED
MARCH 31,
2014 |
Change in Fund shares: | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at beginning of period | | | | 25,774,571 | | | | | 8,473,001 | | | | | 34,812,893 | | | | | 7,448,148 | |
| | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | 8,141,807 | | | | | 25,553,932 | | | | | 22,205,853 | | | | | 31,769,695 | |
Shares issued through reinvestment of distributions | | | | 220,289 | | | | | 408,099 | | | | | 426,459 | | | | | 609,872 | |
Shares redeemed | | | | (5,980,017 | ) | | | | (8,660,461 | ) | | | | (4,090,666 | ) | | | | (5,014,822 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net increase in fund shares | | | | 2,382,079 | | | | | 17,301,570 | | | | | 18,541,646 | | | | | 27,364,745 | |
| | | | | | | | | | | | | | | | | | | | |
Shares outstanding at end of period | | | | 28,156,650 | | | | | 25,774,571 | | | | | 53,354,539 | | | | | 34,812,893 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | FLOATING RATE INCOME FUND* |
| | | | |
| | | CLASS M | | CLASS M* | | CLASS I | | CLASS I* |
| | | | |
| | | PERIOD ENDED
SEPTEMBER 30,
2014
(UNAUDITED) | | PERIOD ENDED
MARCH 31,
2014 | | PERIOD ENDED
SEPTEMBER 30,
2014
(UNAUDITED) | | PERIOD ENDED
MARCH 31,
2014 |
Change in Fund shares: | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at beginning of period | | | | 516,522 | | | | | – | | | | | 11,226,948 | | | | | – | |
| | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | 1,068,138 | | | | | 624,075 | | | | | 1,292,997 | | | | | 13,515,542 | |
Shares issued through reinvestment of distributions | | | | 8,370 | | | | | 5,179 | | | | | 196,000 | | | | | 256,144 | |
Shares redeemed | | | | (941,440 | ) | | | | (112,732 | ) | | | | (53,656 | ) | | | | (2,544,738 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net increase in fund shares | | | | 135,068 | | | | | 516,522 | | | | | 1,435,341 | | | | | 11,226,948 | |
| | | | | | | | | | | | | | | | | | | | |
Shares outstanding at end of period | | | | 651,590 | | | | | 516,522 | | | | | 12,662,289 | | | | | 11,226,948 | |
| | | | | | | | | | | | | | | | | | | | |
*The Floating Rate Income Fund Class M and Class I commenced operations on June 28, 2013.
201 / Semi-Annual Report September 2014
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | | | |
| | | STRATEGIC INCOME FUND |
| | CLASS M | | CLASS M | | CLASS I | | CLASS I |
| | PERIOD ENDED
SEPTEMBER 30,
2014
(UNAUDITED) | | YEAR ENDED
MARCH 31,
2014 | | PERIOD ENDED
SEPTEMBER 30,
2014
(UNAUDITED) | | YEAR ENDED
MARCH 31,
2014 |
Change in Fund shares: | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at beginning of period | | | | 8,822,680 | | | | | 4,423,767 | | | | | 17,673,869 | | | | | 21,493,915 | |
| | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | 2,225,233 | | | | | 7,763,355 | | | | | 4,645,561 | | | | | 5,759,239 | |
Shares issued through reinvestment of distributions | | | | 76,418 | | | | | 152,366 | | | | | 89,076 | | | | | 176,115 | |
Shares redeemed | | | | (1,662,366 | ) | | | | (3,516,808 | ) | | | | (7,866,248 | ) | | | | (9,755,400 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net increase/(decrease) in fund shares | | | | 639,285 | | | | | 4,398,913 | | | | | (3,131,611 | ) | | | | (3,820,046 | ) |
| | | | | | | | | | | | | | | | | | | | |
Shares outstanding at end of period | | | | 9,461,965 | | | | | 8,822,680 | | | | | 14,542,258 | | | | | 17,673,869 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
| | | ALPHATRAK FUND |
| | | CLASS M | | CLASS M |
| | | PERIOD ENDED
SEPTEMBER 30,
2014
(UNAUDITED) | | YEAR ENDED
MARCH 31,
2014 |
Change in Fund shares: | | | | | | | | | | |
Shares outstanding at beginning of period | | | | 821,625 | | | | | 1,150,859 | |
| | | | | | | | | | |
Shares sold | | | | 216,573 | | | | | 431,289 | |
Shares issued through reinvestment of distributions | | | | 5,363 | | | | | 12,521 | |
Shares redeemed | | | | (282,447 | ) | | | | (773,044 | ) |
| | | | | | | | | | |
Net (decrease) in fund shares | | | | (60,511 | ) | | | | (329,234 | ) |
| | | | | | | | | | |
Shares outstanding at end of period | | | | 761,114 | | | | | 821,625 | |
| | | | | | | | | | |
| 9. | FEDERAL TAX INFORMATION |
Capital Loss Carryforwards:
At March 31, 2014, the following Funds had available for federal income tax purposes unused capital losses as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
FUND | | EXPIRING IN
2015 | | | EXPIRING IN
2016 | | | EXPIRING IN
2017 | | | EXPIRING IN
2018 | | | EXPIRING IN
2019 | | | SHORTTERM NON-EXPIRING AMOUNTS* | | | LONG TERM NON-EXPIRING AMOUNTS* | |
Ultra Short Bond Fund | | $ | 171,312 | | | $ | 1,489,245 | | | $ | 17,068,161 | | | $ | 14,894,875 | | | $ | 10,083,524 | | | $ | 186,878 | | | $ | 4,662,406 | |
Low Duration Bond Fund | | | – | | | | – | | | | 99,373,584 | | | | 21,029,490 | | | | 42,081,240 | | | | 755,176 | | | | 52,093,396 | |
Total Return Bond Fund | | | – | | | | – | | | | – | | | | – | | | | – | | | | 153,433,812 | | | | – | |
Unconstrained Bond Fund | | | – | | | | – | | | | – | | | | – | | | | – | | | | 828,570 | | | | – | |
Strategic Income Fund | | | – | | | | 6,589,872 | | | | 47,852,416 | | | | 18,413,032 | | | | 41,345,040 | | | | – | | | | 3,985,704 | |
AlphaTrak 500 Fund | | | – | | | | – | | | | 64,047,338 | | | | 15,892,244 | | | | 12,617,196 | | | | – | | | | – | |
| | * | Under the Modernization Act of 2010, capital losses incurred by the Funds after March 31, 2011 will not be subject to expiration. In addition, these losses must be utilized prior to the losses incurred in the years preceding enactment. |
Semi-Annual Report September 2014 / 202
Notes to Financial Statements (Continued)
Tax Basis of Distributable Income:
As of March 31, 2014, the components of accumulated earnings/(accumulated losses) on a tax basis were as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | ULTRA SHORT
BOND FUND | | LOW DURATION
BOND FUND | | INTERMEDIATE
BOND FUND | | TOTAL RETURN
BOND FUND |
Undistributed ordinary income (inclusive of short-term gains) | | | $ | 19,845 | | | | $ | 422,946 | | | | $ | 66,974 | | | | $ | 5,148,439 | |
Undistributed long-term gains | | | | – | | | | | – | | | | | 170,592 | | | | | – | |
Other temporary differences | | | | (19,593 | ) | | | | (329,711 | ) | | | | (23,971 | ) | | | | (7,091,333 | ) |
Accumulated capital loss carryforwards and post-October losses | | | | (48,556,401 | ) | | | | (215,332,886 | ) | | | | – | | | | | (153,433,812 | ) |
Net unrealized appreciation | | | | 975,745 | | | | | 34,694,664 | | | | | 11,738,829 | | | | | 926,434,782 | |
| | | | | | | | | | | | | | | | | | | | |
Total accumulated earnings/(losses) | | | $ | (47,580,404 | ) | | | $ | (180,544,987 | ) | | | $ | 11,952,424 | | | | $ | 771,058,076 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | HIGH YIELD
BOND FUND | | UNCONSTRAINED
BOND FUND | | FLOATING RATE
INCOME FUND* | | STRATEGIC
INCOME FUND | | ALPHATRAK
500 FUND |
Undistributed ordinary income (inclusive of short-term capital gains) | | | $ | 4,088,112 | | | | $ | 290,569 | | | | $ | 885,055 | | | | $ | – | | | | $ | 15,120 | |
Other temporary differences | | | | (817,270 | ) | | | | (63,321 | ) | | | | (4,964 | ) | | | | (129,588 | ) | | | | (32,889 | ) |
Accumulated capital loss carryforwards and post-October losses | | | | – | | | | | (828,570 | ) | | | | – | | | | | (118,186,064 | ) | | | | (92,556,778 | ) |
Net unrealized appreciation | | | | 38,049,399 | | | | | 11,105,131 | | | | | 1,340,671 | | | | | 9,316,593 | | | | | 93,405 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total accumulated earnings/(losses) | | | $ | 41,320,241 | | | | $ | 10,503,809 | | | | $ | 2,220,762 | | | | $ | (108,999,059 | ) | | | $ | (92,481,142 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
* The Floating Rate Income Fund Class M and Class I commenced operations on June 28, 2013.
Permanent differences incurred during the fiscal year ended March 31, 2014, resulting from differences in book and tax accounting have been reclassified at year-end as follows:
| | | | | | | | | | | | | | | |
| FUND | | INCREASE/(DECREASE)
UNDISTRIBUTED NET INVESTMENT INCOME/(LOSS) | | INCREASE/(DECREASE)
ACCUMULATED NET
REALIZED GAIN/(LOSS) | | (DECREASE) PAID-IN-CAPITAL |
| | | |
Ultra Short Bond Fund | | | $ | (1,143 | ) | | | $ | 1,143 | | | | $ | – | |
Low Duration Bond Fund | | | | (349,059 | ) | | | | 9,038,060 | | | | | (8,689,001 | ) |
Intermediate Bond Fund | | | | 10,514 | | | | | 249,251 | | | | | (259,765 | ) |
Total Return Bond Fund | | | | (10,248,453 | ) | | | | 23,577,117 | | | | | (13,328,664 | ) |
High Yield Bond Fund | | | | 3,102,118 | | | | | (3,102,118 | ) | | | | – | |
Unconstrained Bond Fund | | | | (221,400 | ) | | | | 221,400 | | | | | – | |
Floating Rate Income Fund* | | | | 257 | | | | | – | | | | | (257 | ) |
Strategic Income Fund | | | | (231,547 | ) | | | | 1,332,527 | | | | | (1,100,980 | ) |
AlphaTrak 500 Fund | | | | 10 | | | | | (10 | ) | | | | – | |
* The Floating Rate Income Fund Class M and Class I commenced operations on June 28, 2013.
Tax Basis of Distributions to Shareholders:
| | | | | | | | | | | | | | | | |
| | | ULTRA SHORT
BOND FUND | | | LOW DURATION
BOND FUND | |
| | | | |
| | | MARCH 31, 2014 | | | MARCH 31, 2013 | | | MARCH
31, 2014 | | | MARCH 31,
2013 | |
Distributions from: | | | | | | | | | | | | | | | | |
Ordinary income (inclusive of short-term capital gains) | | $ | 1,716,333 | | | $ | 1,887,259 | | | $ | 47,808,885 | | | $ | 49,702,256 | |
| | | | | | | | | | | | | | | | |
Total taxable distributions | | $ | 1,716,333 | | | $ | 1,887,259 | | | $ | 47,808,885 | | | $ | 49,702,256 | |
| | | | | | | | | | | | | | | | |
203 / Semi-Annual Report September 2014
Notes to Financial Statements (Concluded)
| | | | | | | | | | | | | | | | | | | | |
| | | INTERMEDIATE
BOND FUND | | TOTAL RETURN
BOND FUND |
| | | | |
| | | MARCH 31,
2014 | | MARCH 31,
2013 | | MARCH 31,
2014 | | MARCH 31,
2013 |
Distributions from: | | | | | | | | | | | | | | | | | | | | |
Ordinary income (inclusive of short-term capital gains) | | | $ | 9,434,302 | | | | $ | 13,383,964 | | | | $ | 711,772,440 | | | | $ | 1,111,625,675 | |
Net long-term capital gains | | | | 368,271 | | | | | 2,349,615 | | | | | 153,402,861 | | | | | 169,182,910 | |
| | | | | | | | | | | | | | | | | | | | |
Total taxable distributions | | | $ | 9,802,573 | | | | $ | 15,733,579 | | | | $ | 865,175,301 | | | | $ | 1,280,808,585 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | HIGH YIELD
BOND FUND | | UNCONSTRAINED BOND
FUND |
| | | | |
| | | MARCH 31, 2014 | | MARCH 31,
2013 | | MARCH 31,
2014 | | MARCH 31,
2013 |
Distributions from: | | | | | | | | | | | | | | | | | | | | |
Ordinary income (inclusive of short-term capital gains) | | | $ | 158,013,280 | | | | $ | 168,817,535 | | | | $ | 12,518,123 | | | | $ | 3,032,545 | |
Net long-term capital gains | | | | 20,912,662 | | | | | 1,049,822 | | | | | 137,083 | | | | | – | |
| | | | | | | | | | | | | | | | | | | | |
Total taxable distributions | | | $ | 178,925,942 | | | | $ | 169,867,357 | | | | $ | 12,655,206 | | | | $ | 3,032,545 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | FLOATING RATE
INCOME
FUND* | | STRATEGIC INCOME
FUND | | ALPHATRAK 500
FUND |
| | | | | |
| | | MARCH 31, 2014 | | MARCH 31,
2014 | | MARCH 31,
2013 | | MARCH 31,
2014 | | MARCH 31,
2013 |
Distributions from: | | | | | | | | | | | | | | | | | | | | | | | | | |
Ordinary income (inclusive of short-term capital gains) | | | $ | 2,689,809 | | | | $ | 7,084,962 | | | | $ | 10,343,830 | | | | $ | 79,725 | | | | $ | 79,175 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total taxable distributions | | | $ | 2,689,809 | | | | $ | 7,084,962 | | | | $ | 10,343,830 | | | | $ | 79,725 | | | | $ | 79,175 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
* The Floating Rate Income Fund Class M and Class I commenced operations on June 28, 2013.
| 10. | COMMITTED LINE OF CREDIT |
The Funds have entered into a $350,000,000 committed revolving line of credit agreement with The Bank of New York Mellon (the “Bank”) for temporary borrowing purpose with an expiration date of September 19, 2014. The interest rate on borrowing is higher of the federal funds rate or the overnight LIBOR rate, plus 1.25%. There were no borrowings from the line of credit as of or during the six months ended September 30, 2014. The Funds pay the Bank a commitment fee equal to 0.10% per annum on the daily unused portion of the committed line amount up to a maximum of $350,000 annually. The commitment fees incurred by the Funds are presented in the statements of operations. The commitment fees are allocated to each applicable portfolio in proportion to its relative average daily net assets and the interest expenses are charged directly to the applicable portfolio.
Under the Funds’organizational documents, its officers and trustees are indemnified against certain liability arising out of the performance of their duties to the Funds. In addition, in the normal course of business, the Funds enter into contracts with their vendors and others that provide general indemnification. The Funds’ maximum exposure under these arrangements is unknown, as this would involve further claims that may be made against the Funds. However, based on experience, the Funds expect the risk of loss to be remote.
Semi-Annual Report September 2014 / 204
Approval of Investment Management Agreement by Trustees (Unaudited)
The Adviser provides investment advisory services to each Fund under an Investment Management Agreement dated February 6, 2013 (the “Agreement”) between the Trust, on behalf of each Fund, and the Adviser. The Agreement was approved for a two-year initial term by the shareholders of each Fund at a special meeting of shareholders held on November 28, 2012, which was adjourned until December 20, 2012 with respect to certain series of the Trust. The Agreement was amended on June 26, 2013 for the purpose of adding the Floating Rate Income Fund.
On September 8, 2014, the Board of Trustees of the Trust (the “Board”) approved the renewal of the Agreement for an additional one-year term from February 6, 2015 through February 5, 2016. The renewal of the Agreement was approved by the Board (including by a majority of the Independent Trustees) upon the recommendation of the Independent Trustees. The Independent Trustees met separately by telephone and in person on various occasions with their independent legal counsel to review and discuss the information that had been requested on their behalf by their independent legal counsel and presented by the Adviser for their consideration. The information, material facts, and conclusions that formed the basis for their recommendation and the Board’s subsequent approval are described below. The approval of the Agreement with respect to the Fund was approved by the Board (including a majority of the Independent Trustees) upon the recommendation of the Independent Trustees. The information, material facts, and conclusions that formed the basis for their recommendation and the Board’s subsequent approval are described below.
1. Information received
Materials reviewed - During the course of each year, the Independent Trustees receive a wide variety of materials relating to the services provided by the Adviser, including reports on the Adviser’s investment processes, as well as on each Fund’s investment results, portfolio composition, portfolio trading practices, shareholder services, and other information relating to the nature, extent, and quality of services provided by the Adviser to the Funds. In addition, the Board reviewed supplementary information furnished to the Independent Trustees in response to a detailed request sent to the Adviser on their behalf. That information response included extensive materials regarding each Fund’s investment results, independently prepared advisory fee and expense comparisons to other mutual funds, advisory fee comparisons to advisory fees charged by the Adviser to its institutional clients, financial and profitability information regarding the Adviser, descriptions of various functions such as compliance monitoring and portfolio trading practices, and information about the personnel providing investment management services to each Fund.
Review process - The Independent Trustees reviewed advice regarding legal and industry standards provided by their independent legal counsel, who assisted them in their review and consideration of the renewal of the Agreement. The Independent Trustees discussed the renewal of the Agreement with the Adviser’s representatives and in private sessions at which no representatives of the Adviser were present. In deciding to recommend the renewal of the Agreement with respect to each Fund, the Independent Trustees did not identify any single or particular piece of information that, in isolation, was the controlling factor. Each Independent Trustee may also have weighed factors differently. This summary describes the most important, but not all, of the factors considered by the Board.
2. Nature, extent, and quality of services
The Board considered the depth and quality of the Adviser’s investment management process, including its research and intellectual capabilities; the experience, capability, and integrity of its senior management and other personnel; the relatively low turnover rates of its key personnel; the overall resources available to the Adviser; and the ability of its organizational structure to address the growth in assets and products under its management. The Board also considered that the Adviser made available to its investment professionals a variety of resources and systems relating to investment management, compliance, trading, research, and portfolio accounting. They considered the Adviser’s commitment to investing in information technology supporting investment management and compliance. They noted the substantial additional resources made available by The TCW Group, Inc. (“TCW”), the parent company of the Adviser, and the integration and harmonization of operations between the Adviser and TCW. They further noted the high level of regular communication between the Adviser and the Board.
The Board and the Independent Trustees concluded that the nature, extent, and quality of the services provided by the Adviser are of a high quality and have benefited and should continue to benefit the Funds and their shareholders.
3. Investment results
The Board considered the investment results of each Fund in light of its investment objective. They compared each Fund’s total returns with the total returns of other mutual funds in peer group reports prepared by Lipper, an independent data provider, with respect to various longer and more recent periods. In reviewing each Fund’s relative performance, the Board took into account each Fund’s distinct characteristics and its asset size, diversification, and range of investments.
205 / Semi-Annual Report September 2014
Approval of Investment Management Agreement by Trustees (Unaudited) (Continued)
The Board noted that each Fund’s performance was satisfactory over the relevant periods and in some cases very favorable, particularly from a longer-term perspective, which the Board believes is the most relevant. Certain Funds had isolated periods of performance below peer group averages, but no Fund lagged peer group averages for all periods considered (1, 3, 5 and 10 years). The Board indicated its belief that the performance of the High Yield Bond Fund, which lagged its peer group for more periods than the other Funds, remained satisfactory given the more conservative portfolio that the Adviser had established for that Fund. The Board concluded that the Adviser was implementing each Fund’s investment objective and that the Adviser’s record in managing the Funds indicates that its continued management should benefit each Fund and its shareholders.
4. Advisory fees and total expenses
The Board compared the advisory fees and total expenses of each Fund (each as a percentage of average net assets) with the median advisory fee and operating expense levels of the other mutual funds in the relevant Lipper peer groups. These comparisons assisted the Board by providing a reasonable statistical measure to assess each Fund’s fees relative to its relevant peers. The Board observed that each Fund’s advisory fee was below or near the median of the peer group funds on a current basis, with the exception of the Strategic Income Fund and the Unconstrained Bond Fund. The Board noted the Adviser’s comment that some mutual funds in the relevant peer groups were passive index-like funds that generally have lower fees and lower expenses to the adviser than actively managed mutual funds, such as the Funds and, therefore, provided limited comparisons. The Board considered the Adviser’s view that the Lipper peer group did not provide a suitable comparison for the Strategic Income Fund and that the Fund should instead be compared to private absolute return funds, which the Adviser views as that Fund’s closest relevant comparison and to which it compares very favorably. The Board noted that although the advisory fee for the Unconstrained Bond Fund slightly exceeds the peer group average, that Fund’s total expenses fall below the peer group average. The Board further noted that the AlphaTrak 500 Fund and Strategic Income Fund both employ a fulcrum fee that adjusts upward from a basic fee only if the Fund enjoys favorable performance against its specified benchmark (and adjusts downward in the case of unfavorable relative performance). The Board noted that such a fee structure is designed so that the fee would be on the higher end of its range only if the shareholders were able to enjoy favorable net performance. The Board noted the relevant contractual expense limitations that the Adviser has agreed to with respect to each Fund and that the Adviser historically has absorbed any expenses in excess of these limits. The Board also noted that it had very recently approved certain increases in the operating expense limits for the Funds, but still believed that the total expense ratios for each Fund remained favorable within its peer group. The Board concluded that the competitive fees charged by the Adviser should benefit each Fund and its shareholders.
The Board also reviewed information regarding the advisory fees paid by institutional clients with similar investment mandates, with accounts managed by affiliates of TCW. The Board concluded that, although the fees paid by those clients generally were lower than advisory fees paid by the Funds, the differences appropriately reflected the Adviser’s significantly greater responsibilities and expenses with respect to the Funds, including the additional time spent by portfolio managers for reasons such as more active cash flows from purchases and redemptions by shareholders, the additional risks of managing a pool of assets for public investors, and the costs of additional infrastructure and operational resources and personnel and of complying with the more comprehensive regulatory regime applicable to mutual funds.
5. The Adviser’s costs, level of profits, and economies of scale
The Independent Trustees reviewed information regarding the Adviser’s costs of providing services to the Funds, as well as the resulting level of profits to the Adviser. They reviewed the Adviser’s stated assumptions and methods of allocating certain costs, such as personnel costs, which constitute the Adviser’s largest operating cost. The Independent Trustees recognized that the Adviser should be entitled to earn a reasonable level of profits for the services that it provides to each Fund. Based on their review, the Independent Trustees concluded that they were satisfied that the Adviser’s level of profitability from its relationship with each Fund was not unreasonable or excessive.
The Independent Trustees considered the extent to which potential economies of scale could be realized as the Funds grow and whether the advisory fees reflect those potential economies of scale. They recognized that the advisory fees for the Funds do not have breakpoints, which would otherwise result in lower advisory fee rates as the Funds grow larger. They also recognized the Adviser’s view that the advisory fees compare favorably to peer group fees and expenses, and remain competitive even at higher asset levels. For example, the largest Fund, the Total Return Bond Fund, is one of the largest in its peer group, but remains below the median for the advisory fee and total expenses. The Board recognized the benefits to the Funds of the Adviser’s substantial past and on-going investment in the Funds’ operations, such as obtaining key talent (including a high profile new credit analyst), systems and technology, infrastructure, and retaining key talent, as well as the financial pressures of competing against much larger firms. The Board further noted the Adviser’s past subsidies of the Funds’ operating expenses when they were newer and smaller and the Adviser’s commitment to maintain reasonable overall operating expenses for each Fund. The Board also recognized that the Funds benefit from receiving investment advice from an organization with other types of advisory clients rather than strictly mutual funds. The Board concluded that the Adviser was satisfactorily sharing potential economies of scale with the Funds through low fees and reinvesting in its capabilities for serving the Funds and their shareholders.
Semi-Annual Report September 2014 / 206
Approval of Investment Management Agreement by Trustees (Unaudited) (Concluded)
6. Ancillary benefits
The Board considered other actual and potential financial benefits to the Adviser in concluding that the contractual advisory fees are fair and reasonable for the Funds. In particular, they noted that the Adviser does not have any affiliates that materially benefit from the Adviser’s relationship to the Funds except through TCW’s ownership of the Adviser.
7. Conclusions
Based on their overall review, including their consideration of each of the factors referred to above (and others), the Board and the Independent Trustees concluded that the Agreement is fair and reasonable to each Fund and its shareholders, that the Fund’s shareholders received reasonable value in return for the advisory fees and other amounts paid to the Adviser by each Fund, and that the renewal of the Agreement was in the best interests of each Fund and its shareholders.
207 / Semi-Annual Report September 2014
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Metropolitan West Funds
Privacy Policy
Our Privacy Policy
We, The TCW Group, Inc. and its subsidiaries, the TCW Funds, Inc., TCW Strategic Income Fund, Inc. and the Metropolitan West Funds (collectively, “TCW”) are committed to protecting the nonpublic personal and financial information of our customers and consumers who obtain or seek to obtain financial products or services primarily for personal, family or household purposes. We fulfill our commitment by establishing and implementing policies and systems to protect the security and confidentiality of this information.
In our offices, we limit access to nonpublic personal and financial information about you to those TCW personnel who need to know the information in order to provide products or services to you. We maintain physical, electronic and procedural safeguards to protect your nonpublic personal and financial information.
What You Should Know
At TCW, we recognize the importance of keeping information about you secure and confidential. We do not sell or share your nonpublic personal and financial information with marketers or others outside our affiliated group of companies.
We carefully manage information among our affiliated group of companies to safeguard your privacy and to provide you with consistently excellent service.
We are providing this notice to you to comply with the requirements of Regulation S-P, “Privacy of Consumer Financial Information,” issued by the U.S. Securities and Exchange Commission.
Categories of Information We Collect
We may collect the following types of nonpublic personal and financial information about you from the following sources:
Ÿ Your name, address and identifying numbers, and other personal and financial information, from you and from identification cards and papers you submit to us, on applications, subscription agreements or other forms or communications.
Ÿ Information about your account balances and financial transactions with us, our affiliated entities, or nonaffiliated third parties, from our internal sources, from affiliated entities and from nonaffiliated third parties.
Ÿ Information about your account balances and financial transactions and other personal and financial information, from consumer credit reporting agencies or other nonaffiliated third parties, to verify information received from you or others.
Categories of Information We Disclose to Nonaffiliated Third Parties
Ÿ We may disclose your name, address and account and other identifying numbers, as well as information about your pending or past transactions and other personal financial information, to nonaffiliated third parties, for our everyday business purposes such as necessary to execute, process, service and confirm your securities transactions and mutual fund transactions, to administer and service your account and commingled investment vehicles in which you are invested, to market our products and services through joint marketing arrangements or to respond to court orders and legal investigations.
Ÿ We may disclose nonpublic personal and financial information concerning you to law enforcement agencies, federal regulatory agencies, self-regulatory organizations or other nonaffiliated third parties, if required or requested to do so by a court order, judicial subpoena or regulatory inquiry.
We do not otherwise disclose your nonpublic personal and financial information to nonaffiliated third parties, except where we believe in good faith that disclosure is required or permitted by law. Because we do not disclose your nonpublic personal and financial information to nonaffiliated third parties, our Customer Privacy Policy does not contain opt-out provisions.
Categories of Information We Disclose to Our Affiliated Entities
| | • | | We may disclose your name, address and account and other identifying numbers, account balances, information about your pending or past transactions and other personal financial information to our affiliated entities for any purpose. |
209 / Semi-Annual Report September 2014
Metropolitan West Funds
Privacy Policy (Concluded)
| • | | We regularly disclose your name, address and account and other identifying numbers, account balances and information about your pending or past transactions to our affiliates to execute, process and confirm securities transactions or mutual fund transactions for you, to administer and service your account and commingled investment vehicles in which you are invested, or to market our products and services to you. |
Information About Former Customers
We do not disclose nonpublic personal and financial information about former customers to nonaffiliated third parties unless required or requested to do so by a court order, judicial subpoena or regulatory inquiry, or otherwise where we believe in good faith that disclosure is required or permitted by law.
Questions
Should you have any questions about our Customer Privacy Policy, please contact us by email or by regular mail at the address at the end of this policy.
Reminder About TCW’s Financial Products
Financial products offered by The TCW Group, Inc. and its subsidiaries, the TCW Funds, Inc., TCW Strategic Income Fund, Inc. and the Metropolitan West Funds:
Ÿ Are not guaranteed by a bank;
Ÿ Are not obligations of The TCW Group, Inc. or of its subsidiaries;
Ÿ Are not insured by the Federal Deposit Insurance Corporation; and
Ÿ Are subject to investment risks, including possible loss of the principal amount committed or invested, and earnings thereon.
THE TCW GROUP, INC.
TCW FUNDS, INC.
TCW STRATEGIC INCOME FUND, INC.
METROPOLITAN WEST FUNDS
Attention: Privacy Officer | 865 South Figueroa St. Suite 1800 | Los Angeles, CA 90017 | email: privacy@tcw.com
Semi-Annual Report September 2014 / 210
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|
BOARD OF TRUSTEES |
Andrew Tarica |
Laird R. Landmann |
Peter McMillan |
Martin Luther King, III |
Daniel D. Villanueva |
Ronald J. Consiglio |
Robert G. Rooney |
Patrick C. Haden |
Patrick Moore |
|
OFFICERS |
David Lippman |
President and Principal Executive Officer |
|
David S. DeVito |
Treasurer, Chief Financial Officer and Principal |
Accounting Officer |
|
Vincent Bencivenga |
Chief Compliance Officer |
|
ADVISER |
Metropolitan West Asset Management, LLC |
865 South Figueroa Street, Floor 1800 |
Los Angeles, CA 90017 |
|
CUSTODIAN |
The Bank of New York Mellon |
One Wall Street |
New York, NY 10286 |
TRANSFER AGENT BNY Mellon Investment Servicing (U.S.) Inc. 760 Moore Road King of Prussia, PA 19406 |
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM Deloitte & Touche LLP 350 S. Grand Ave., Suite 200 Los Angeles, CA 90071 |
|
|
|
DISTRIBUTOR Foreside Funds Distributors LLC 899 Cassatt Road, 400 Berwyn Park Berwyn, PA 19312 LEGAL COUNSEL Paul Hastings LLP 55 Second Street, 24th Floor San Francisco, CA 94105-3441 |
|
|
For Additional Information about the Metropolitan West Funds call: (213) 244-0000 or (800) 241-4671 (toll-free)
www.mwamllc.com
A description of the Funds’ proxy voting policies, procedures, and how the Funds’ voted proxies relating to portfolio’s securities during the most recent 12 month period ending June 30 are available (i) without charge, upon request, by calling (800) 241-4671; (ii) on the Securities and Exchange Commission’s website at http://www/sec.gov.
To reduce expenses, we may mail only one copy of the Fund’s prospectus and each annual and semi-annual report to those addresses shared by two or more accounts. If you wish to receive individual copies of these documents, please call us at (800) 241-4671 (or contact your financial institution). We will begin sending you individual copies thirty days after receiving your request.
This report is submitted for general information to the shareholders of the Funds. It is not authorized for distribution to prospective investors in the Funds unless preceded or accompanied by an effective Prospectus, which includes details regarding the Funds’ objectives, policies, expenses and other information.
METSAR2014
Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
| (a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. |
| | |
Item 7. | | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
| | |
Item 9. | | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which the shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
Item 11. Controls and Procedures.
| | (a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
| | (b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Exhibits.
| | (a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
| | (b) | Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes- Oxley Act of 2002 are attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| | |
(Registrant) | | Metropolitan West Funds |
| | |
| |
By (Signature and Title)* | | /s/ David B. Lippman |
| | David B. Lippman, President and Principal Executive Officer |
| | (principal executive officer) |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| | |
By (Signature and Title)* | | /s/ David B. Lippman |
| | David B. Lippman, President and Principal Executive Officer |
| | (principal executive officer) |
| | |
| |
By (Signature and Title)* | | /s/ David S. DeVito |
| | David S. DeVito, Treasurer |
| | (principal financial officer) |
| * | Print the name and title of each signing officer under his or her signature. |
