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, 2016
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, 450 Fifth Street, NW, Washington, DC 20549-0609. 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.
| | |
| Metropolitan West Funds | | September 30, 2016 |
| Table of Contents | | |
METROPOLITAN WEST FUNDS
Dear Fellow Shareholder,
Thank you for your continuing investment with the Metropolitan West Funds. We are pleased to provide the following Semi-Annual Report of the Metropolitan West Funds for the period ended September 30, 2016. Over the reporting period, the Funds experienced steady growth in the way of flows, with total assets across the Funds reaching $89 billion, allowing for ongoing stability and enhanced resource commitments as we look to meet, and hopefully exceed, our client expectations.
The September 30, 2016 Semi-Annual Report covers the following Metropolitan West Funds:
| | | | | | |
| | 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 (MWFRX), I Class (MWFLX) | | |
| | Metropolitan West Strategic Income Fund | | M-Class (MWSTX), I Class (MWSIX) | | |
| | Metropolitan West AlphaTrak 500 Fund | | M-Class (MWATX) | | |
Economic Review and Market Environment
Persistent demand for yield, a familiar theme since volatility abated early in the year, intensified through the middle of the year as global central bank policy remained stimulative. Appreciative of the ongoing “gift” of monetary accommodation, markets responded accordingly as corporate issuance sustained a record-breaking pace to meet robust demand - much of it overseas - for higher yielding U.S. assets. As a result, lower quality cohorts and those sectors most disaffected by January’s vigorous sell-off, such as energy and other commodity-related industries, continued to rally from early year lows, significantly outperforming the broader market. High Yield corporate bonds paced the markets with a 5.6% return in Q3, taking year-to-date returns to an impressive gain of over 15%. More speculative CCC-rated bonds have returned over 25% since the start of the year, and yields of high yield energy bonds touched a multi-year low of 7.5%. Further down the capital structure, equity markets also continued their climb as the S&P 500 Index returned more than 6% since March month-end and almost 8% year-to-date. Meanwhile, in what is now an unsurprising contrast, U.S. economic growth continued to reflect a slow recovery and low inflation still below the Federal Reserve’s (Fed) 2% target. Further, inflated asset prices are not even translating into stronger corporate balance sheets as profit margins peaked and have declined for the last five consecutive quarters. This all too apparent misalignment of economic outcomes and financial market prices has many questioning whether monetary policy measures have reached their limit. Moreover, the Fed’s muddled communication efforts, increasingly characterized by modest dissent from the Chair’s apparent dovish view, do little to inspire confidence in their monetary experiments. With its credibility on the line, will the Fed make good on what appears to be intent to hike by end-2016? Markets seem to think so, for now.
Impressive returns have not been confined to lower quality areas of the market, with broad-based gains realized across the credit markets. Investment grade corporates returned 5% over the reporting period, led by industrials which benefitted from stabilizing oil prices and resultant demand for commodity-related sectors. Among securitized products, non-agency mortgage-backed securities (MBS) continued to profit from steady sponsorship and strengthening fundamentals as home prices edged higher and borrower profiles of the underlying collateral improved. Commercial MBS (CMBS) gained just under 3% and saw excess returns over Treasuries of 130 basis points, led by non-agency issues as private label issuance remained well below year-ago levels, while significantly higher year-over-year issuance in the agency CMBS space resulted in the sector’s relative underperformance. Agency MBS remained well-sponsored by foreign investors given negative yields abroad and continued reinvestment in the asset class by the Fed, also delivering a positive return of 1.7% over the period. Consumer asset-backed securities (ABS) were up a modest 1.4%, however, student loan ABS outperformed as uncertainty dissipated once rating actions by Moody’s and Fitch began to materialize and proved less negative than the market expected. Finally, as risk appetite remained strong and expectations rose for a possible Fed hike in September, Treasury yields moved higher across the curve and partially unwound the post-Brexit rally. Short and intermediate yields led, with the 2-Year up 18 basis points to 0.76%, the 5-Year 15 basis points higher to 1.15%, and the 10-Year up 12 basis points to 1.59%, while the 30-Year rose just 3 basis points to end at 2.32%. By the end of September, lower risk premiums and higher Treasury yields from mid-year translated into a modest quarterly gain of 0.5% for the Bloomberg Barclays U.S. Aggregate Index, but a 2.7% reporting period return.
1 / Semi-Annual Report September 2016
The Economy and Market Ahead
Despite several years of Fed accommodation, economic outcomes continue to fall short of expectations, with three quarterly GDP readings prior to the third quarter coming in at annualized growth rates of less than 1.5%, two of them sub-1%. While failing to deliver anticipated growth, these policies have nonetheless suppressed market volatility and delayed re-pricing based on the fundamentals. Dampened returns and muted risks have also encouraged investors to reach for performance, overlooking some of the downside perils. The growing misalignment between outcomes and valuations is unsustainable, with it unlikely that sufficient growth can take place, absent a highly improbable surge in productivity, to justify current price levels in many markets.
So, with valuations pushing higher across credit markets and the most vulnerable sectors of the market defying fundamentals, investors may be overestimating the ability of strong technical factors, such as foreign demand and massive yield-seeking investor behavior, to continue supporting markets. Further, mounting evidence that markets are late in the credit cycle warrants an elevated degree of caution and a strict focus on fundamentals. Consequently, the Funds remain defensively positioned and prepared for better risk-adjusted return opportunities as the credit cycle extends. Duration profiles remain shorter than their respective benchmark indices, while the allocation among non-government fixed income sectors is conservative. Corporate credit remains a relative underweight and favors financials over industrials. In the multi-sector Funds, small allocations to high yield focus on higher quality holdings that will likely have the credit resilience to withstand late cycle volatility. Securitized products continue to offer opportunities for attractive risk-adjusted returns, and positioning favors high quality, more senior positions. Non-agency MBS remains attractive as fundamentals continue to improve, however, security selection is increasingly important as prices rise and more favorable assumptions are built into pricing. Agency MBS positioning for the MetWest Total Return Bond Fund is largely in line with the Bloomberg Barclays U.S. Aggregate Bond Index and represents a good liquid alternative to Treasuries and defensive coverage. CMBS holdings favor agency issues given relatively good risk-adjusted returns and muted credit risk. Finally, the ABS overweight is focused on student loan receivables backed by the Federal Family Educational Loan Program (FFELP), which provide government guaranteed credit at a significant yield premium versus comparable Treasuries.
Data sources for the discussion above include Bloomberg Barclays, JPMorgan and Merrill Lynch. Effective August 24, 2016, Barclays Indices were rebranded to Bloomberg Barclays.
Fund Results
Fund Performance Commentary
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.
Metropolitan West Ultra Short Bond Fund
M-Class (MWUSX), I-Class (MWUIX)
The MetWest Ultra Short Bond Fund – I Class (“Fund”) gained 0.52% (net of fees) for the six-month period ended September 30, 2016, outpacing the Merrill Lynch 1-Year U.S. Treasury Index by approximately 18 basis points. The allocation to corporate credit contributed to returns as short investment grade credit outperformed the broader market while the small exposure to high yield also benefitted performance given the over 11% return for this lower quality cohort during the period. Another driver of performance was the Fund’s exposure to high quality, senior non-agency residential MBS, which benefitted from a solid technical backdrop of negative net issuance and steady sponsorship, combined with strengthening fundamentals as home prices edged higher and borrower profiles of the underlying collateral improved. Additionally, returns for the six month period benefitted on the margin from the defensive duration position as short U.S. Treasury yields moved higher.
| | | | | | | | | | | | |
| | | Performance Through September 30, 2016 |
| | | 6 Months (Cumulative) | | 1 Year (Annualized) | | 3 Year (Annualized) | | 5 Year (Annualized) | | 10 Year
(Annualized) | | Since Inception (Annualized) |
MWUSX (Inception: June 30, 2003) | | 0.68% | | 0.54% | | 0.63% | | 1.67% | | 1.10% | | 1.96% |
BofA Merrill Lynch 1-Year U.S. Treasury Index | | 0.35% | | 0.54% | | 0.35% | | 0.32% | | 1.53% | | 1.68% |
MWUIX (Inception: July 31, 2004) | | 0.52% | | 0.71% | | 0.79% | | 1.83% | | 1.24% | | 1.70% |
BofA Merrill Lynch 1-Year U.S. Treasury Index | | 0.35% | | 0.54% | | 0.35% | | 0.32% | | 1.53% | | 1.75% |
For MWUSX, the total expense ratio is 0.70% and the net expense ratio is 0.50%. For MWUIX, the total expense ratio is 0.50% and the net expense ratio is 0.34%.*
Semi-Annual Report September 2016 / 2
Metropolitan West Low Duration Bond Fund
M-Class (MWLDX), I-Class (MWLIX), Administrative-Class (MWLNX)
The MetWest Low Duration Bond Fund – I Class (“Fund”) gained 1.07% (net of fees) for the six-month period ended September 30, 2016, outpacing the Merrill Lynch 1-3 Year U.S.Treasury Index by 65 basis points. The allocation to corporate credit contributed to returns as short investment grade credit outperformed the broader market while the small exposure to high yield also benefitted performance given the over 11% return for this lower quality cohort during the period. Another driver of performance was the Fund’s exposure to high quality, senior non-agency residential MBS, which benefitted from a solid technical backdrop of negative net issuance and steady sponsorship, combined with strengthening fundamentals as home prices edged higher and borrower profiles of the underlying collateral improved. Additionally, returns for the six month period benefitted on the margin from the defensive duration position as short U.S. Treasury yields moved higher.
| | | | | | | | | | | | |
| | | Performance Through September 30, 2016 |
| | | 6 Months (Cumulative) | | 1 Year (Annualized) | | 3 Year (Annualized) | | 5 Year (Annualized) | | 10 Year (Annualized) | | Since Inception (Annualized) |
MWLDX (Inception: March 31, 1997) | | 0.83% | | 1.07% | | 1.11% | | 2.55% | | 2.60% | | 3.89% |
BofA Merrill Lynch 1-3 Year U.S. Treasury Index | | 0.42% | | 0.88% | | 0.85% | | 0.69% | | 2.25% | | 3.46% |
MWLIX (Inception: March 31, 2000) | | 1.07% | | 1.41% | | 1.37% | | 2.79% | | 2.81% | | 3.51% |
BofA Merrill Lynch 1-3 Year U.S. Treasury Index | | 0.42% | | 0.88% | | 0.85% | | 0.69% | | 2.25% | | 3.06% |
MWLNX (Inception: September 22, 2009) | | 0.91% | | 1.06% | | 1.01% | | 2.42% | | — | | 3.85% |
BofA Merrill Lynch 1-3 Year U.S. Treasury Index | | 0.42% | | 0.88% | | 0.85% | | 0.69% | | — | | 1.05% |
| | | | | | | | | | | | | |
For MWLDX, the total expense ratio is 0.61% and the net expense ratio is 0.61%. For MWLIX, the total expense ratio is 0.38% and the net expense ratio is 0.38%. For MWLNX, the total expense ratio is 0.72% and the net expense ratio is 0.72%.
Metropolitan West Intermediate Bond Fund
M-Class (MWIMX), I-Class (MWIIX)
The MetWest Intermediate Bond Fund – I Class (“Fund”) gained 1.83% (net of fees) for the six-month period ended September 30, 2016, outpacing the Bloomberg Barclays Intermediate U.S. Government/Credit Index (formerly known as the Barclays Capital Intermediate U.S. Government/Credit Index) by 8 basis points. The relative underweight to investment grade credit overall weighed on performance, particularly the smaller than Index allocation to commodity-related sectors which continued to experience a significant rally after hitting lows earlier in the year, with intermediate metals & mining credits posting over 660 basis points of excess return over U.S. Treasuries during the period. An additional modest drag came from the Fund’s continued short duration profile amidst a backdrop of lower intermediate Treasury rates. However, more than offsetting these factors was favorable issue selection among corporates, with a specific focus on strong U.S. banking credits, as well as the overweight to structured products. In particular, returns benefitted from the allocation to higher quality, floating rate, senior non-agency residential MBS given higher yields and relatively steady prices. Negative net issuance and steady sponsorship, combined with strengthening fundamentals as home prices edged higher and borrower profiles of the underlying collateral improved, continued to support the legacy non-agency MBS market. Meanwhile, exposure to government guaranteed student loan ABS also benefitted returns as downgrade uncertainty dissipated over the summer once rating actions by Moody’s and Fitch began to materialize and were less negative than anticipated.
| | | | | | | | | | | | |
| | | Performance Through September 30, 2016 |
| | | 6 Months (Cumulative) | | 1 Year (Annualized) | | 3 Year (Annualized) | | 5 Year (Annualized) | | 10 Year (Annualized) | | Since Inception (Annualized) |
MWIMX (Inception: June 30, 2003) | | 1.69% | | 2.80% | | 2.31% | | 3.39% | | 5.01% | | 4.71% |
Bloomberg Barclays Intermediate U.S. Government/Credit Index (formerly known as the Barclays Capital Intermediate U.S. Government/Credit Index) | | 1.75% | | 3.52% | | 2.79% | | 2.44% | | 4.16% | | 3.72% |
MWIIX (Inception: June 28, 2002) | | 1.83% | | 3.16% | | 2.58% | | 3.62% | | 5.25% | | 5.68% |
Bloomberg Barclays Intermediate U.S. Government/Credit Index (formerly known as the Barclays Capital Intermediate U.S. Government/Credit Index) | | 1.75% | | 3.52% | | 2.79% | | 2.44% | | 4.16% | | 4.20% |
| | | | | | | | | | | | | |
For MWIMX, the total expense ratio is 0.70% and the net expense ratio is 0.70%. For MWIIX, the total expense ratio is 0.44% and the net expense ratio is 0.44%.*
3 / Semi-Annual Report September 2016
Metropolitan West Total Return Bond Fund
M-Class (MWTRX), I-Class (MWTIX), Administrative-Class (MWTNX), Plan-Class (MWTSX)
The MetWest Total Return Bond Fund – I Class (“Fund”) gained 2.74% (net of fees) for the six-month period ended September 30, 2016, outpacing the Bloomberg Barclays U.S. Aggregate Bond Index (formerly known as the Barclays Capital U.S. Aggregate Bond Index) by 6 basis points. The relative underweight to investment grade credit overall weighed on performance, particularly the smaller than Index allocation to commodity-related sectors which continued to experience a significant rally after hitting lows earlier in the year, with intermediate metals & mining credits posting over 660 basis points of excess return over U.S. Treasuries during the period. An additional drag came from the Fund’s short duration profile amidst a backdrop of lower intermediate and long Treasury rates. However, more than offsetting these factors was favorable issue selection among corporates, with a specific focus on strong U.S. banking credits, as well as the overweight to structured products. In particular, returns benefitted from the allocation to up in quality, floating rate, senior non-agency residential MBS given higher yields and relatively steady prices. Negative net issuance and steady sponsorship, combined with strengthening fundamentals as home prices edged higher and borrower profiles of the underlying collateral improved continued to support the legacy non-agency MBS market. Meanwhile, exposure to government guaranteed student loan ABS also benefitted returns as downgrade uncertainty dissipated over the summer once rating actions by Moody’s and Fitch began to materialize and were less negative than anticipated.
| | | | | | | | | | | | |
| | | Performance Through September 30, 2016 |
| | | 6 Months (Cumulative) | | 1 Year (Annualized) | | 3 Year (Annualized) | | 5 Year (Annualized) | | 10 Year (Annualized) | | Since Inception (Annualized) |
MWTRX (Inception: March 31, 1997) | | 2.62% | | 4.48% | | 3.76% | | 4.60% | | 6.25% | | 6.65% |
Bloomberg Barclays U.S. Aggregate Bond Index (formerly known as the Barclays Capital U.S. Aggregate Bond Index) | | 2.68% | | 5.19% | | 4.02% | | 3.08% | | 4.79% | | 5.62% |
MWTIX (Inception: March 31, 2000) | | 2.74% | | 4.82% | | 4.01% | | 4.83% | | 6.48% | | 6.54% |
Bloomberg Barclays U.S. Aggregate Bond Index (formerly known as the Barclays Capital U.S. Aggregate Bond Index) | | 2.68% | | 5.19% | | 4.02% | | 3.08% | | 4.79% | | 5.42% |
MWTNX (Inception: December 18, 2009) | | 2.56% | | 4.46% | | 3.66% | | 4.45% | | — | | 5.39% |
Bloomberg Barclays U.S. Aggregate Bond Index (formerly known as the Barclays Capital U.S. Aggregate Bond Index) | | 2.68% | | 5.19% | | 4.02% | | 3.08% | | — | | 4.06% |
MWTSX (Inception: August 1, 2011) | | 2.78% | | 4.87% | | 4.07% | | 4.79% | | — | | 4.72% |
Bloomberg Barclays U.S. Aggregate Bond Index (formerly known as the Barclays Capital U.S. Aggregate Bond Index) | | 2.68% | | 5.19% | | 4.02% | | 3.08% | | — | | 3.41% |
| | | | | | | | | | | | | |
For MWTRX, the total expense ratio is 0.66% and the net expense ratio is 0.66%. For MWTIX, the total expense ratio is 0.42% and the net expense ratio is 0.42%. For MWTNX, the total expense ratio is 0.79% and the net expense ratio is 0.79%. For MWTSX, the total expense ratio is 0.37% and the net expense ratio is 0.37%.*
Metropolitan West High Yield Bond Fund
M-Class (MWHYX), I-Class (MWHIX)
The near constant run-up in valuations in the high yield market since the abatement of volatility earlier this year delivered a substantial 5.82% gain to the MetWest HighYield Bond Fund – I Class (“Fund”) over the six month reporting period. However, after benefitting on a relative basis from a highly defensive orientation as late 2015’s tumult spilled into early 2016, the vigorous rally left the Fund trailing the 11.38% return of the Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index (formerly known as the Barclays Capital U.S. Corporate High Yield Index - 2% Issuer Cap). Accounting for the shortfall to the Index was an elevated cash exposure along with an underweight to exceptional returns in commodity-oriented sectors, particularly energy and metals & mining, both of which were up more than 25% on the reporting period. From an issuer perspective, former GE affiliate Homer City proceeded with its restructuring, with prices easing and detracting from performance over the six months.
With yield spreads tightening across credit markets and the most vulnerable sectors defying fundamentals, investors may be overestimating the ability of strong technical factors, such as foreign demand and massive yield-seeking investor behavior, to continue supporting markets. Mounting evidence that we are late in the credit cycle warrants an elevated degree of caution and a strict focus on fundamentals. Consequently, the Fund remains defensively positioned and prepared for better risk-adjusted return opportunities as the credit cycle extends. The Fund’s duration profile remains shorter than that of the Index, while sector allocation is conservative favoring higher quality, asset heavy, and lower beta holdings that will likely have the credit resilience to withstand late cycle volatility.
Semi-Annual Report September 2016 / 4
| | | | | | | | | | | | |
| | | Performance Through September 30, 2016 |
| | | 6 Months (Cumulative) | | 1 Year (Annualized) | | 3 Year (Annualized) | | 5 Year (Annualized) | | 10 Year (Annualized) | | Since Inception (Annualized) |
MWHYX (Inception: September 30, 2002) | | 5.69% | | 6.29% | | 2.54% | | 6.12% | | 6.50% | | 8.66% |
Bloomberg Barclays U.S. Corporate High Yield Index - 2% Issuer Cap (formerly known as the Barclays Capital U.S. Corporate High Yield Index - 2% Issuer Cap) | | 11.38% | | 12.74% | | 5.29% | | 8.33% | | 7.79% | | 9.42% |
MWHIX (Inception: March 31, 2003) | | 5.82% | | 6.55% | | 2.79% | | 6.39% | | 6.77% | | 7.88% |
Bloomberg Barclays U.S. Corporate High Yield Index - 2% Issuer Cap (formerly known as the Barclays Capital U.S. Corporate High Yield Index - 2% Issuer Cap) | | 11.38% | | 12.74% | | 5.29% | | 8.33% | | 7.79% | | 8.69% |
| | | | | | | | | | | | | |
For MWHYX, the total expense ratio is 0.89% and the net expense ratio is 0.85%. For MWHIX, the total expense ratio is 0.61% and the net expense ratio is 0.60%.*
Metropolitan West Unconstrained Bond Fund
M-Class (MWCRX), I-Class (MWCIX)
The MetWest Unconstrained Bond Fund – I Class (“Fund”) gained 2.96% (net of fees) for the six-month period ended September 30, 2016, outpacing the Merrill Lynch U.S. LIBOR 3-Month Average Index by over 260 basis points. Outperformance was largely due to the Fund’s exposure to investment grade and high yield corporate credit exposure, which outpaced Treasuries by nearly 280 and 1020 basis points, respectively, during the period, driven by the rally in commodity-related sectors from early year losses. Within industrials, a focus on strong performing consumer non-cyclicals, communications, and midstream energy credits benefitted returns. Outside of the corporate space, non-agency MBS (particularly alt-A and subprime issues) was the next largest contributor to performance, with the sector continuing to profit from steady sponsorship and strengthening fundamentals as home prices continued to rise and borrower profiles of the underlying collateral improved. Finally, Fund duration of approximately 1.4 years boosted returns as UST rates beyond 3 years fell, with the 10-Year down by approximately 17 basis points from March month-end to end of September at 1.60%.
| | | | | | | | | | | | |
| | | Performance Through September 30, 2016 |
| | | 6 Months (Cumulative) | | 1 Year (Annualized) | | 3 Year (Annualized) | | 5 Year (Annualized) | | 10 Year (Annualized) | | Since Inception (Annualized) |
MWCRX (Inception: October 1, 2011) | | 2.79% | | 3.39% | | 2.76% | | 6.63% | | — | | 6.63% |
BofA Merrill Lynch U.S. LIBOR 3-Month Average Index | | 0.34% | | 0.57% | | 0.36% | | 0.37% | | — | | 0.37% |
MWCIX (Inception: October 1, 2011) | | 2.95% | | 3.62% | | 3.08% | | 6.89% | | — | | 6.89% |
BofA Merrill Lynch U.S. LIBOR 3-Month Average Index | | 0.34% | | 0.57% | | 0.36% | | 0.37% | | — | | 0.37% |
For MWCRX, the total expense ratio is 1.04% and the net expense ratio is 1.04%. For MWCIX, the total expense ratio is 0.72% and the net expense ratio is 0.72%.
Metropolitan West Floating Rate Income Fund
M-Class (MWFRX), I-Class (MWFLX)
For the six month period ended September 30, 2016, the MetWest Floating Rate Income Fund – I Class (“Fund”) gained 3.96% (net of fees), but trailed the S&P/LSTA Leveraged Loan Index (“Index”) by 208 basis points. Relative underperformance was due to an overweight to higher quality and defensive names, which lagged lower quality and higher beta sectors that significantly outpaced the Index such as metals/minerals (+37.2%) and energy (+33.6%). In addition, fund holdings in the consumer cyclical and communication sectors detracted from performance, though contributions from selections among utilities, banking and capital goods helped to offset the drag.
5 / Semi-Annual Report September 2016
Looking ahead, expectations are for limited upside in loans, given that over 50% of the performing loans in the Index are trading at or above par, the highest since April 2015 and a significant increase over the level of 9.1% in the second quarter. Furthermore, over 73% of the Index was bid at 99 or higher, up from 54% at the end of June following the Brexit referendum. This higher percentage of loans trading above par has allowed issuers to refinance, reprice, and aggressively pursue opportunistic transactions. Technical conditions of the market have driven returns for most of the year as increasing LIBOR and the fear of the Fed hiking rates are pushing investors into loans with demand outstripping supply. Despite less attractive valuations, the outlook for the near term remains the same. There is not enough new paper from true mergers & acquisition activity to offset demand. Without a fundamental macroeconomic event or broad-based weakness spilling in from high yield or other capital markets, the technical dynamics for loans will likely keep the asset class well bid in the near term. However, with spreads tightening across credits and the most vulnerable sectors of the market defying fundamentals, investors may be overestimating the ability of strong technical factors to continue supporting the marketplace. Mounting evidence that we are late in the credit cycle warrants an elevated degree of caution and a strict focus on fundamentals. Consequently, the Fund remains defensively positioned and prepared for better risk-adjusted return opportunities with a bias for higher quality and senior secured positions in defensive industries as the credit cycle extends.
| | | | | | | | | | | | |
| | | Performance Through September 30, 2016 |
| | | 6 Months (Cumulative) | | 1 Year (Annualized) | | 3 Year (Annualized) | | 5 Year (Annualized) | | 10 Year (Annualized) | | Since Inception (Annualized) |
MWFRX (Inception: June 28, 2013) | | 3.96% | | 4.12% | | 3.34% | | — | | — | | 3.64% |
S&P/LSTA Leveraged Loan Index | | 6.04% | | 5.38% | | 3.33% | | — | | — | | 3.44% |
MWFLX (Inception: June 28, 2013) | | 3.96% | | 4.22% | | 3.51% | | — | | — | | 3.81% |
S&P/LSTA Leveraged Loan Index | | 6.04% | | 5.38% | | 3.33% | | — | | — | | 3.44% |
| | | | | | | | | | | | | |
For MWFRX, the total expense ratio is 1.06% and the net expense ratio is 0.90%. For MWFLX, the total expense ratio is 0.73% and the net expense ratio is 0.70%.*
Metropolitan West Strategic Income Fund
M-Class (MWSTX), I-Class (MWSIX)
The MetWest Strategic Income Fund – I Class (“Fund”) returned 3.03% (net of fees) for the six-month period ended September 30, 2016, outpacing the BofA Merrill Lynch 3-Month TBill (+200 basis points) Index by 187 basis points. Outperformance was largely due to the Fund’s allocation to non-agency MBS (particularly alt-A and subprime issues), with the sector continuing to profit from steady sponsorship and strengthening fundamentals as home prices continued to rise and borrower profiles of the underlying collateral improved. The next largest contributor to performance was the Fund’s exposure to investment grade and high yield corporate credit exposure, which outpaced Treasuries by nearly 280 and 1020 basis points respectively during the period, driven by the rally in commodity-related sectors from early year losses. Within corporates, a focus on strong performing U.S. banking, communications, and midstream energy credits benefitted returns. Finally, an allocation to government guaranteed student loans also benefitted returns as downgrade uncertainty dissipated over the summer once rating actions by Moody’s and Fitch began to materialize and were less negative than anticipated.
| | | | | | | | | | | | |
| | | Performance Through September 30, 2016 |
| | | 6 Months (Cumulative) | | 1 Year (Annualized) | | 3 Year (Annualized) | | 5 Year (Annualized) | | 10 Year (Annualized) | | Since Inception (Annualized) |
MWSTX (Inception: June 30, 2003) | | 2.90% | | 2.66% | | 2.27% | | 4.43% | | 3.20% | | 4.39% |
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index + 2% | | 1.16% | | 2.28% | | 2.11% | | 2.10% | | 2.94% | | 3.36% |
MWSIX (Inception: March 31, 2004) | | 3.03% | | 2.80% | | 2.55% | | 4.71% | | 3.45% | | 3.66% |
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index + 2% | | 1.16% | | 2.28% | | 2.11% | | 2.10% | | 2.94% | | 3.38% |
For MWSTX, the total expense ratio is 1.84% and the net expense ratio is 1.84%. For MWSIX, the total expense ratio is 1.57% and the net expense ratio is 1.57%.*
Metropolitan West AlphaTrak 500 Fund
(MWATX)
The MetWest AlphaTrak 500 Fund – I Class (“Fund”) climbed 10.36% (net of fees) for the six-month period ended September 30, 2016, delivering sizable premium to the S&P 500 Equity Index return of 6.40%. The source of outperformance owed to the Fund’s continuing allocation to non-agency MBS, as the sector benefitted from a firm investor base and a steadily improving borrower
Semi-Annual Report September 2016 / 6
profile that has loan-to-value ratios at the lowest level in nearly a decade. Additionally, the Fund was the beneficiary of a settlement of crisis-era claims regarding the quality of underwriting that contributed to the gain over the Index. Corporate credit exposure was additive as well over the reporting period as the rally that began in February persisted through September. ABS collateralized by student loan receivables, which had weighed on returns in 2015, firmed and improved in pricing as uncertainty subsided over the status of rating agency actions regarding the impact of income-based repayment programs on maturity profiles.
| | | | | | | | | | | | |
| | | Performance Through September 30, 2016 |
| | | 6 Months
(Cumulative) | | 1 Year (Annualized) | | 3 Year (Annualized) | | 5 Year (Annualized) | | 10 Year (Annualized) | | Since Inception (Annualized) |
MWATX (Inception: June 29, 1998) | | 10.36% | | 19.02% | | 12.16% | | 17.98% | | 7.01% | | 5.74% |
Standard & Poor’s 500 Index | | 6.40% | | 15.43% | | 11.15% | | 16.35% | | 7.23% | | 5.56% |
For MWATX, the total expense ratio is 6.58% and the net expense ratio is 0.90%.*
*The Adviser has contractually agreed to reduce certain fees and/or reimburse expenses until July 31, 2017. Furthermore, the Adviser may recoup reduced fees and expenses within three years at the time of recoupment.
A Disciplined Value Philosophy
One of the age-old axioms of investing underscores the benefit of diversification, from the importance of “not putting all one’s eggs in the same basket” to the promise of a “free lunch” of reduced risk without sacrificed return when thoughtfully implemented. While we certainly subscribe to the virtues of diversification, the touchstone to successful long-term investment results is predicated on a sound value-oriented philosophy, most critically, practiced with discipline. It is that discipline and a focus on preserving client capital that are the basis of achieving client objectives over the long run.
Thank you again for your investment in the Metropolitan West Funds. We look forward to continuing to assist you in the fulfillment of your financial goals.
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 investment 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 a Fund’s investments in foreign securities on changing currency values, political and economic environments in the countries where the Fund invests. Asset-backed securities investment risk refers to the risk that the impairment of the value of the collateral underlying the security in which a Fund invests, such as the non-payment of loans, will result in a reduction in the value of the security. 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 a 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 a Fund to borrow from broker-dealers or other institutions to leverage 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 views and forecasts expressed here are as of October 2016, 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.
7 / Semi-Annual Report September 2016
Metropolitan West Funds
Disclosure of Fund Expenses
For the Six Months Ended September 30, 2016 (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
04/01/16 | | Ending
Account Value
09/30/16 | | Expense
Ratio1 | | Expenses
Paid During
Period2 |
| | | | |
ULTRA SHORT BOND FUND | | | | | | | | |
Actual Fund Return | | | | | | | | | | | | | | | | | | | | |
Class M | | | $ | 1,000.00 | | | | $ | 1,006.80 | | | | | 0.50 | % | | | $ | 2.54 | |
Class I | | | $ | 1,000.00 | | | | $ | 1,005.20 | | | | | 0.34 | % | | | $ | 1.73 | |
Hypothetical 5% Return | | | | | | | | | | | | | | | | | | | | |
Class M | | | $ | 1,000.00 | | | | $ | 1,022.81 | | | | | 0.50 | % | | | $ | 2.56 | |
Class I | | | $ | 1,000.00 | | | | $ | 1,023.62 | | | | | 0.34 | % | | | $ | 1.74 | |
LOW DURATION BOND FUND | | | | | | | | |
Actual Fund Return | | | | | | | | | | | | | | | | | | | | |
Class M | | | $ | 1,000.00 | | | | $ | 1,008.30 | | | | | 0.61 | % | | | $ | 3.10 | |
Class I | | | $ | 1,000.00 | | | | $ | 1,010.70 | | | | | 0.38 | % | | | $ | 1.94 | |
Administrative Class | | | $ | 1,000.00 | | | | $ | 1,009.10 | | | | | 0.72 | % | | | $ | 3.67 | |
Hypothetical 5% Return | | | | | | | | | | | | | | | | | | | | |
Class M | | | $ | 1,000.00 | | | | $ | 1,022.25 | | | | | 0.61 | % | | | $ | 3.13 | |
Class I | | | $ | 1,000.00 | | | | $ | 1,023.42 | | | | | 0.38 | % | | | $ | 1.95 | |
Administrative Class | | | $ | 1,000.00 | | | | $ | 1,021.69 | | | | | 0.72 | % | | | $ | 3.69 | |
| 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 185 days then divided by 365 (to reflect the one-half year period shown). |
Semi-Annual Report September 2016 / 8
| | | | | | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
04/01/16 | | Ending
Account Value
09/30/16 | | Expense
Ratio1 | | Expenses
Paid During
Period2 |
| | | | |
INTERMEDIATE BOND FUND | | | | | | | | |
Actual Fund Return | | | | | | | | | | | | | | | | | | | | |
Class M | | | $ | 1,000.00 | | | | $ | 1,016.90 | | | | | 0.70 | % | | | $ | 3.58 | |
Class I | | | $ | 1,000.00 | | | | $ | 1,018.30 | | | | | 0.44 | % | | | $ | 2.25 | |
Hypothetical 5% Return | | | | | | | | | | | | | | | | | | | | |
Class M | | | $ | 1,000.00 | | | | $ | 1,021.79 | | | | | 0.70 | % | | | $ | 3.59 | |
Class I | | | $ | 1,000.00 | | | | $ | 1,023.11 | | | | | 0.44 | % | | | $ | 2.26 | |
TOTAL RETURN BOND FUND | | | | | | | | |
Actual Fund Return | | | | | | | | | | | | | | | | | | | | |
Class M | | | $ | 1,000.00 | | | | $ | 1,026.20 | | | | | 0.66 | % | | | $ | 3.39 | |
Class I | | | $ | 1,000.00 | | | | $ | 1,027.40 | | | | | 0.42 | % | | | $ | 2.16 | |
Administrative Class | | | $ | 1,000.00 | | | | $ | 1,025.60 | | | | | 0.79 | % | | | $ | 4.06 | |
Plan Class | | | $ | 1,000.00 | | | | $ | 1,027.80 | | | | | 0.37 | % | | | $ | 1.90 | |
Hypothetical 5% Return | | | | | | | | | | | | | | | | | | | | |
Class M | | | $ | 1,000.00 | | | | $ | 1,022.00 | | | | | 0.66 | % | | | $ | 3.38 | |
Class I | | | $ | 1,000.00 | | | | $ | 1,023.21 | | | | | 0.42 | % | | | $ | 2.15 | |
Administrative Class | | | $ | 1,000.00 | | | | $ | 1,021.34 | | | | | 0.79 | % | | | $ | 4.05 | |
Plan Class | | | $ | 1,000.00 | | | | $ | 1,023.47 | | | | | 0.37 | % | | | $ | 1.90 | |
HIGH YIELD BOND FUND | | | | | | | | |
Actual Fund Return | | | | | | | | | | | | | | | | | | | | |
Class M | | | $ | 1,000.00 | | | | $ | 1,056.90 | | | | | 0.85 | % | | | $ | 4.43 | |
Class I | | | $ | 1,000.00 | | | | $ | 1,058.20 | | | | | 0.60 | % | | | $ | 3.13 | |
Hypothetical 5% Return | | | | | | | | | | | | | | | | | | | | |
Class M | | | $ | 1,000.00 | | | | $ | 1,021.03 | | | | | 0.85 | % | | | $ | 4.35 | |
Class I | | | $ | 1,000.00 | | | | $ | 1,022.30 | | | | | 0.60 | % | | | $ | 3.08 | |
UNCONSTRAINED BOND FUND | | | | | | | | |
Actual Fund Return | | | | | | | | | | | | | | | | | | | | |
Class M | | | $ | 1,000.00 | | | | $ | 1,027.90 | | | | | 1.04 | % | | | $ | 5.34 | |
Class I | | | $ | 1,000.00 | | | | $ | 1,029.50 | | | | | 0.72 | % | | | $ | 3.70 | |
Hypothetical 5% Return | | | | | | | | | | | | | | | | | | | | |
Class M | | | $ | 1,000.00 | | | | $ | 1,020.07 | | | | | 1.04 | % | | | $ | 5.32 | |
Class I | | | $ | 1,000.00 | | | | $ | 1,021.69 | | | | | 0.72 | % | | | $ | 3.69 | |
| 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 185 days then divided by 365 (to reflect the one-half year period shown). |
9 / Semi-Annual Report September 2016
| | | | | | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
04/01/16 | | Ending
Account Value
09/30/16 | | Expense
Ratio1 | | Expenses
Paid During
Period2 |
| | | | |
FLOATING RATE INCOME FUND | | | | | | | | |
| | | | |
Actual Fund Return | | | | | | | | | | | | | | | | | | | | |
Class M | | | $ | 1,000.00 | | | | $ | 1,039.60 | | | | | 0.90 | % | | | $ | 4.65 | |
Class I | | | $ | 1,000.00 | | | | $ | 1,039.60 | | | | | 0.70 | % | | | $ | 3.62 | |
Hypothetical 5% Return | | | | | | | | | | | | | | | | | | | | |
Class M | | | $ | 1,000.00 | | | | $ | 1,020.78 | | | | | 0.90 | % | | | $ | 4.61 | |
Class I | | | $ | 1,000.00 | | | | $ | 1,021.79 | | | | | 0.70 | % | | | $ | 3.59 | |
STRATEGIC INCOME FUND | | | | | | | | |
| | | | |
Actual Fund Return | | | | | | | | | | | | | | | | | | | | |
Class M | | | $ | 1,000.00 | | | | $ | 1,029.00 | | | | | 1.84 | % | | | $ | 9.46 | |
Class I | | | $ | 1,000.00 | | | | $ | 1,030.30 | | | | | 1.57 | % | | | $ | 8.08 | |
Hypothetical 5% Return | | | | | | | | | | | | | | | | | | | | |
Class M | | | $ | 1,000.00 | | | | $ | 1,016.02 | | | | | 1.84 | % | | | $ | 9.40 | |
Class I | | | $ | 1,000.00 | | | | $ | 1,017.38 | | | | | 1.57 | % | | | $ | 8.03 | |
ALPHATRAK 500 FUND | | | | | | | | |
Actual Fund Return | | | $ | 1,000.00 | | | | $ | 1,103.60 | | | | | 0.90 | % | | | $ | 4.80 | |
Hypothetical 5% Return | | | $ | 1,000.00 | | | | $ | 1,020.78 | | | | | 0.90 | % | | | $ | 4.61 | |
| 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 185 days then divided by 365 (to reflect the one-half year period shown). |
Semi-Annual Report September 2016 / 10
Metropolitan West Funds
Summary of Portfolio Holdings
September 30, 2016 (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. We hope that this information enhances your understanding of the different kinds of investments in the Funds.
| | | | |
| ULTRA SHORT BOND FUND | |
Sector Diversification | |
U.S. Agency Mortgage-Backed | | | 34.13% | |
U.S. Treasury Securities | | | 24.00% | |
Corporate Bonds | | | 19.46% | |
Commercial Mortgage-Backed | | | 7.48% | |
Non-Agency Mortgage-Backed | | | 5.94% | |
Foreign Government Obligations | | | 4.20% | |
Asset-Backed Securities | | | 2.14% | |
U.S. Treasury Bills | | | 1.84% | |
Commercial Paper | | | 0.33% | |
U.S. Agency Discount Notes | | | 0.28% | |
Money Market RIC | | | 0.04% | |
Other * | | | 0.16% | |
Total | | | 100.00% | |
| | | | |
| LOW DURATION BOND FUND | |
Sector Diversification | |
U.S. Treasury Securities | | | 35.32% | |
Corporate Bonds | | | 18.43% | |
Non-Agency Mortgage-Backed | | | 16.11% | |
U.S. Agency Mortgage-Backed | | | 15.28% | |
Asset-Backed Securities | | | 7.38% | |
Foreign Government Obligations | | | 4.03% | |
Commercial Mortgage-Backed | | | 1.84% | |
Municipal Bonds | | | 0.33% | |
Bank Loans | | | 0.30% | |
U.S. Treasury Bills | | | 0.21% | |
Commercial Paper | | | 0.16% | |
Money Market RIC | | | 0.08% | |
Purchased Swaptions | | | 0.00% | |
Other * | | | 0.53% | |
Total | | | 100.00% | |
11 / Semi-Annual Report September 2016
| | | | |
| INTERMEDIATE BOND FUND | |
Sector Diversification | |
U.S. Treasury Securities | | | 40.57% | |
Corporate Bonds | | | 27.79% | |
U.S. Agency Mortgage-Backed | | | 10.59% | |
Non-Agency Mortgage-Backed | | | 7.24% | |
Asset-Backed Securities | | | 6.54% | |
Foreign Government Obligations | | | 4.07% | |
U.S. Treasury Bills | | | 3.76% | |
Commercial Mortgage-Backed | | | 1.34% | |
U.S. Agency Discount Notes | | | 0.70% | |
Bank Loans | | | 0.29% | |
Money Market RIC | | | 0.19% | |
Municipal Bonds | | | 0.15% | |
Commercial Paper | | | 0.13% | |
Other * | | | (3.36)% | |
Total | | | 100.00% | |
| | | | |
| TOTAL RETURN BOND FUND | |
Sector Diversification | |
U.S. Agency Mortgage-Backed | | | 30.07% | |
U.S. Treasury Securities | | | 26.89% | |
Corporate Bonds | | | 21.52% | |
Non-Agency Mortgage-Backed | | | 6.54% | |
Asset-Backed Securities | | | 6.04% | |
U.S. Treasury Bills | | | 4.87% | |
Foreign Government Obligations | | | 3.89% | |
U.S. Agency Discount Notes | | | 3.12% | |
Commercial Mortgage-Backed | | | 2.53% | |
U.S. Agency Securities | | | 1.46% | |
Municipal Bonds | | | 0.75% | |
Commercial Paper | | | 0.62% | |
Repurchase Agreements | | | 0.43% | |
Bank Loans | | | 0.21% | |
Money Market RIC | | | 0.16% | |
Call Options Purchased | | | 0.01% | |
Put Options Purchased | | | 0.01% | |
Other * | | | (9.12)% | |
Total | | | 100.00% | |
Semi-Annual Report September 2016 / 12
| | | | |
| HIGH YIELD BOND FUND | |
Sector Diversification | |
Corporate Bonds | | | 77.78% | |
Bank Loans | | | 9.49% | |
U.S. Treasury Bills | | | 7.28% | |
U.S. Agency Discount Notes | | | 1.51% | |
Non-Agency Mortgage-Backed | | | 0.76% | |
Common Stock | | | 0.17% | |
Money Market RIC | | | 0.09% | |
Warrant | | | 0.01% | |
Other * | | | 2.91% | |
Total | | | 100.00% | |
| | | | |
| UNCONSTRAINED BOND FUND | |
Sector Diversification | |
Corporate Bonds | | | 25.38% | |
Non-Agency Mortgage-Backed | | | 23.39% | |
Asset-Backed Securities | | | 12.63% | |
U.S. Agency Mortgage-Backed | | | 10.59% | |
Commercial Mortgage-Backed | | | 8.68% | |
U.S. Treasury Bills | | | 5.98% | |
Foreign Government Obligations | | | 5.51% | |
U.S. Treasury Securities | | | 4.44% | |
U.S. Agency Securities | | | 1.68% | |
U.S. Agency Discount Notes | | | 0.65% | |
Bank Loans | | | 0.54% | |
Commercial Paper | | | 0.49% | |
Common Stock | | | 0.36% | |
Municipal Bonds | | | 0.23% | |
Money Market RIC | | | 0.06% | |
Other * | | | (0.61)% | |
Total | | | 100.00% | |
| | | | |
| FLOATING RATE INCOME FUND | |
Sector Diversification | |
Bank Loans | | | 78.21% | |
Corporate Bonds | | | 8.90% | |
U.S. Treasury Bills | | | 7.83% | |
U.S. Agency Discount Notes | | | 3.81% | |
Foreign Government Obligations | | | 2.96% | |
Money Market RIC | | | 1.80% | |
Other * | | | (3.51)% | |
Total | | | 100.00% | |
13 / Semi-Annual Report September 2016
| | | | |
| STRATEGIC INCOME FUND | |
Sector Diversification | |
Non-Agency Mortgage-Backed | | | 33.87% | |
U.S. Treasury Bills | | | 22.59% | |
Corporate Bonds | | | 17.14% | |
Asset-Backed Securities | | | 13.05% | |
U.S. Agency Mortgage-Backed | | | 5.29% | |
Foreign Government Obligations | | | 3.80% | |
Commercial Mortgage-Backed | | | 2.08% | |
U.S. Agency Securities | | | 0.80% | |
Common Stock | | | 0.56% | |
U.S. Agency Discount Notes | | | 0.43% | |
Bank Loans | | | 0.16% | |
Money Market RIC | | | 0.08% | |
Other * | | | 0.15% | |
Total | | | 100.00% | |
| | | | |
| ALPHATRAK 500 FUND | |
Sector Diversification | |
U.S. Treasury Bills | | | 27.06% | |
Corporate Bonds | | | 24.68% | |
U.S. Agency Mortgage-Backed | | | 12.56% | |
Non-Agency Mortgage-Backed | | | 11.23% | |
Asset-Backed Securities | | | 9.72% | |
Commercial Mortgage-Backed | | | 5.10% | |
U.S. Treasury Securities | | | 4.19% | |
Mutual Funds | | | 1.48% | |
Money Market RIC | | | 0.90% | |
Other * | | | 3.08% | |
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, 2016. 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 2016 / 14
Ultra Short Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BONDS – 93.15% | |
ASSET-BACKED SECURITIES — 2.14%** | |
| Navient Student Loan Trust, Series 2016-2, Class A1 | | | | | | | | | |
1.28% | | | 06/25/65 | 2,3 | | $ | 329,776 | | | $ | 330,832 | |
| Nelnet Student Loan Trust, Series 2012-5A, Class A | | | | | | | | | |
1.13% | | | 10/27/36 | 2,3 | | | 169,929 | | | | 163,356 | |
| SLM Student Loan Trust, Series 2003-12, Class A5 | | | | | | | | | |
1.13% | | | 09/15/22 | 2,3 | | | 134,148 | | | | 133,814 | |
| SLM Student Loan Trust, Series 2004-10, Class A6A | | | | | | | | | |
1.26% | | | 04/27/26 | 2,3 | | | 770,000 | | | | 764,953 | |
| SLM Student Loan Trust, Series 2004-3, Class A5 | | | | | | | | | |
0.88% | | | 07/25/23 | 2 | | | 535,196 | | | | 531,368 | |
| SLM Student Loan Trust, Series 2005-8, Class A3 | | | | | | | | | |
0.82% | | | 10/25/24 | 2 | | | 4,491 | | | | 4,490 | |
| SLM Student Loan Trust, Series 2006-4, Class A5 | | | | | | | | | |
0.81% | | | 10/27/25 | 2 | | | 257,043 | | | | 256,607 | |
| SLM Student Loan Trust, Series 2012-6, Class A2 | | | | | | | | | |
0.81% | | | 09/25/19 | 2 | | | 118,358 | | | | 118,311 | |
| SLM Student Loan Trust, Series 2013-4, Class A | | | | | | | | | |
1.08% | | | 06/25/27 | 2 | | | 238,217 | | | | 230,166 | |
| SLM Student Loan Trust, Series 2014-1, Class A2 | | | | | | | | | |
0.91% | | | 07/26/21 | 2 | | | 537,118 | | | | 535,539 | |
| | | | | | | | | | | | |
| | |
Total Asset-Backed Securities (Cost $3,092,889) | | | | | | | | 3,069,436 | |
| | | | | | | | | | | | |
CORPORATES — 19.46%* | | | | | | | | | |
Banking — 2.19% | | | | | | | | | |
| Bank of America Corp. (MTN) | | | | | | | | | |
6.88% | | | 04/25/18 | | | | 450,000 | | | | 485,536 | |
| Bank of America N.A. (BKNT) | | | | | | | | | |
1.15% | | | 06/15/17 | 2 | | | 750,000 | | | | 749,733 | |
5.30% | | | 03/15/17 | | | | 250,000 | | | | 254,399 | |
| National City Bank (BKNT) | | | | | | | | | |
1.20% | | | 06/07/17 | 2 | | | 700,000 | | | | 699,949 | |
| Santander UK PLC (United Kingdom) | | | | | | | | | |
1.38% | | | 03/13/17 | 4 | | | 400,000 | | | | 399,807 | |
| UBS AG/Stamford CT (Switzerland) | | | | | | | | | |
1.40% | | | 06/01/17 | 2,4 | | | 550,000 | | | | 550,473 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 3,139,897 | |
| | | | | | | | | | | | |
Communications — 0.06% | | | | | | | | | |
| T-Mobile USA, Inc. | | | | | | | | | |
6.63% | | | 11/15/20 | | | | 80,000 | | | | 82,700 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| CORPORATES (continued) | |
| Consumer Discretionary — 0.76% | |
| Anheuser-Busch InBev Finance, Inc. | | | | | | | | | |
1.90% | | | 02/01/19 | | | $ | 580,000 | | | $ | 585,537 | |
| Pernod Ricard SA (France) | | | | | | | | | |
2.95% | | | 01/15/17 | 3,4 | | | 500,000 | | | | 502,119 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 1,087,656 | |
| | | | | | | | | | | | |
Electric — 0.84% | | | | | | | | | |
| Entergy Corp. | | | | | | | | | | | | |
4.70% | | | 01/15/17 | | | | 400,000 | | | | 402,530 | |
| Southern Co. (The) | | | | | | | | | |
1.30% | | | 08/15/17 | | | | 800,000 | | | | 800,728 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 1,203,258 | |
| | | | | | | | | | | | |
Finance — 3.91% | | | | | | | | | |
| Bear Stearns Cos. LLC (The) | | | | | | | | | |
7.25% | | | 02/01/18 | | | | 1,400,000 | | | | 1,503,748 | |
| Citigroup, Inc. | | | | | | | | | | | | |
1.55% | | | 08/14/17 | | | | 700,000 | | | | 700,990 | |
| Ford Motor Credit Co. LLC | | | | | | | | | |
1.72% | | | 12/06/17 | | | | 400,000 | | | | 400,624 | |
| General Motors Financial Co., Inc. | | | | | | | | | |
3.00% | | | 09/25/17 | | | | 650,000 | | | | 658,493 | |
| Goldman Sachs Group, Inc. (The) | | | | | | | | | |
6.15% | | | 04/01/18 | | | | 650,000 | | | | 692,570 | |
| Morgan Stanley | | | | | | | | | | | | |
1.60% | | | 01/05/18 | 2 | | | 400,000 | | | | 400,731 | |
| Morgan Stanley (GMTN) | | | | | | | | | |
5.45% | | | 01/09/17 | | | | 250,000 | | | | 252,778 | |
| Morgan Stanley (MTN) | | | | | | | | | |
1.13% | | | 10/18/16 | 2 | | | 260,000 | | | | 260,002 | |
| Protective Life Global Funding | | | | | | | | | |
1.39% | | | 06/08/18 | 2,3 | | | 750,000 | | | | 751,861 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 5,621,797 | |
| | | | | | | | | | | | |
Health Care — 2.24% | | | | | | | | | |
| AbbVie, Inc. | | | | | | | | | | | | |
1.75% | | | 05/06/16 | | | | 650,000 | | | | 652,139 | |
| Actavis Funding SCS (Luxembourg) | | | | | | | | | |
2.35% | | | 03/12/18 | 4 | | | 600,000 | | | | 606,400 | |
| Anthem, Inc. | | | | | | | | | | | | |
1.88% | | | 01/15/18 | | | | 700,000 | | | | 703,759 | |
| Express Scripts Holding Co. | | | | | | | | | |
1.25% | | | 06/02/17 | | | | 500,000 | | | | 500,249 | |
| UnitedHealth Group, Inc. | | | | | | | | | |
1.13% | | | 01/17/17 | 2 | | | 750,000 | | | | 750,765 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 3,213,312 | |
| | | | | | | | | | | | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| 15 / Semi-Annual Report September 2016 |
Ultra Short Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | | | | | |
Industrials — 0.40% | | | | | | | | | |
| Metropolitan Life Global Funding I | | | | | | | | | |
1.35% | | | 09/14/18 | 3 | | $ | 575,000 | | | $ | 574,654 | |
| | | | | | | | | | | | |
Information Technology — 0.31% | | | | | | | | | |
| Apple, Inc. | | | | | | | | | | | | |
1.70% | | | 02/22/19 | | | | 435,000 | | | | 440,139 | |
| | | | | | | | | | | | |
Insurance — 0.35% | | | | | | | | | |
| New York Life Global Funding | | | | | | | | | |
1.55% | | | 11/02/18 | 3 | | | 500,000 | | | | 502,389 | |
| | | | | | | | | | | | |
Real Estate Investment Trust (REIT) — 7.42% | |
| AvalonBay Communities, Inc. (GMTN) | | | | | | | | | |
5.70% | | | 03/15/17 | | | | 300,000 | | | | 306,041 | |
| Camden Property Trust | | | | | | | | | |
5.70% | | | 05/15/17 | | | | 700,000 | | | | 717,394 | |
| DDR Corp. (MTN) | | | | | | | | | | | | |
7.50% | | | 07/15/18 | | | | 400,000 | | | | 438,348 | |
| Duke Realty LP | | | | | | | | | | | | |
6.50% | | | 01/15/18 | | | | 800,000 | | | | 851,118 | |
| Essex Portfolio LP | | | | | | | | | |
5.50% | | | 03/15/17 | | | | 650,000 | | | | 661,308 | |
| HCP, Inc. | | | | | | | | | | | | |
6.00% | | | 01/30/17 | | | | 1,100,000 | | | | 1,115,822 | |
| Highwoods Realty LP | | | | | | | | | |
5.85% | | | 03/15/17 | | | | 750,000 | | | | 763,563 | |
| Kimco Realty Corp. (MTN) | | | | | | | | | | | | |
4.30% | | | 02/01/18 | | | | 750,000 | | | | 772,747 | |
| Liberty Property LP | | | | | | | | | |
6.63% | | | 10/01/17 | | | | 712,000 | | | | 745,354 | |
| Prologis LP | | | | | | | | | | | | |
4.00% | | | 01/15/18 | | | | 600,000 | | | | 615,395 | |
| Realty Income Corp. | | | | | | | | | |
2.00% | | | 01/31/18 | | | | 650,000 | | | | 654,383 | |
| Ventas Realty LP/Ventas Capital Corp. | | | | | | | | | |
2.00% | | | 02/15/18 | | | | 865,000 | | | | 870,470 | |
| WEA Finance LLC/Westfield UK & Europe Finance PLC | | | | | | | | | |
1.75% | | | 09/15/17 | 3 | | | 1,250,000 | | | | 1,252,621 | |
| Welltower, Inc. | | | | | | | | | | | | |
2.25% | | | 03/15/18 | | | | 750,000 | | | | 756,789 | |
4.70% | | | 09/15/17 | | | | 130,000 | | | | 133,909 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 10,655,262 | |
| | | | | | | | | | | | |
Transportation — 0.98% | | | | | | | | | |
| Continental Airlines Pass-Through Trust, Series 2000-1, Class A-1 | | | | | | | | | |
8.05% | | | 11/01/20 | | | | 283,442 | | | | 318,164 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | | | | | |
Transportation (continued) | | | | | | | | | |
| JetBlue Airways Pass-Through Trust, Series 2004-2, Class G2 | | | | | | | | | |
1.27% | | | 11/15/16 | 2 | | $ | 1,100,000 | | | $ | 1,096,040 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 1,414,204 | |
| | | | | | | | | | | | |
Total Corporates | | | | | | | | | |
| (Cost $27,877,198) | | | | | | | | | | | 27,935,268 | |
| | | | | | | | | | | | |
MORTGAGE-BACKED — 47.55%** | |
Commercial Mortgage-Backed — 7.48% | |
| CD Mortgage Trust, Series 2006-CD3, Class A5 | | | | | | | | | |
5.62% | | | 10/15/48 | | | | 67,234 | | | | 67,186 | |
| Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2006-CD3, Class A1S | | | | | | | | | |
5.61% | | | 10/15/48 | | | | 207,760 | | | | 208,075 | |
| DBRR Trust, Series 2013-EZ3, Class A | | | | | | | | | |
1.64% | | | 12/18/49 | 2,3 | | | 60,975 | | | | 60,993 | |
| DBUBS Mortgage Trust, Series 2011-LC1A, Class A1 | | | | | | | | | |
3.74% | | | 11/10/46 | 3 | | | 62,114 | | | | 62,606 | |
| DBUBS Mortgage Trust, Series 2011-LC2A, Class A1 | | | | | | | | | |
3.53% | | | 07/10/44 | 3 | | | 597,377 | | | | 620,845 | |
| JPMBB Commercial Mortgage Securities Trust, Series 2013-C12, Class A1 | | | | | | | | | |
1.08% | | | 07/15/45 | | | | 125,853 | | | | 125,546 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2006-CB17, Class A4 | | | | | | | | | |
5.43% | | | 12/12/43 | | | | 2,138 | | | | 2,140 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2006-LDP9, Class A3 | | | | | | | | | |
5.34% | | | 05/15/47 | | | | 63,174 | | | | 63,187 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2006-LDP9, Class A3S | | | | | | | | | |
5.24% | | | 05/15/47 | 3 | | | 86,516 | | | | 86,439 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-CB19, Class A4 | | | | | | | | | |
5.88% | | | 02/12/49 | 2 | | | 225,319 | | | | 228,241 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-CB20, Class ASB | | | | | | | | | |
5.69% | | | 02/12/51 | | | | 25,359 | | | | 25,478 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LD11, Class A4 | | | | | | | | | |
5.94% | | | 06/15/49 | 2 | | | 752,317 | | | | 762,774 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| Semi-Annual Report September 2016 / 16 |
Ultra Short Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Commercial Mortgage-Backed
(continued) | | | | | |
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LD11, Class ASB | | | | | | | | | |
5.94% | | | 06/15/49 | 2 | | $ | 35,060 | | | $ | 35,044 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2011-C3, Class A2 | | | | | | | | | |
3.67% | | | 02/15/46 | 3 | | | 1,358 | | | | 1,357 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2011-C3, Class A3 | | | | | | | | | |
4.39% | | | 02/15/46 | 3 | | | 1,100,000 | | | | 1,139,751 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2011-C4, | | | | | | | | | |
| Class A3 | | | | | | | | | | | | |
4.11% | | | 07/15/46 | 3 | | | 967,352 | | | | 1,005,756 | |
| LB-UBS Commercial Mortgage Trust, Series 2007-C6, Class A4 | | | | | | | | | |
5.86% | | | 07/15/40 | 2 | | | 750,409 | | | | 761,376 | |
| Merrill Lynch Mortgage Trust, Series 2007-C1, Class A1A | | | | | | | | | |
6.01% | | | 06/12/50 | 2 | | | 559,157 | | | | 567,628 | |
| ML-CFC Commercial Mortgage Trust, Series 2007-6, Class A4 | | | | | | | | | |
5.49% | | | 03/12/51 | 2 | | | 700,000 | | | | 707,114 | |
| Wachovia Bank Commercial Mortgage Trust, Series 2007-C31, Class A4 | | | | | | | | | |
5.51% | | | 04/15/47 | | | | 1,336,448 | | | | 1,348,701 | |
| Wachovia Bank Commercial Mortgage Trust, Series 2007-C32, Class A3 | | | | | | | | | |
5.89% | | | 06/15/49 | 2 | | | 1,390,000 | | | | 1,413,087 | |
| Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class A1A | | | | | | | | | |
5.61% | | | 05/15/46 | 2 | | | 754,013 | | | | 767,626 | |
| Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class A3 | | | | | | | | | |
5.68% | | | 05/15/46 | | | | 661,767 | | | | 673,566 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 10,734,516 | |
| | | | | | | | | | | | |
Non-Agency Mortgage-Backed — 5.94% | |
| Aames Mortgage Investment Trust, Series 2002-1, Class A3 (STEP) | | | | | | | | | |
7.40% | | | 06/25/32 | | | | 29,727 | | | | 28,523 | |
| Adjustable Rate Mortgage Trust, Series 2005-1, Class 1A1 | | | | | | | | | |
3.24% | | | 05/25/35 | 2 | | | 381,274 | | | | 355,223 | |
| Banc of America Funding Trust, Series 2003-2, Class 1A1 | | | | | | | | | |
6.50% | | | 06/25/32 | | | | 7,286 | | | | 7,691 | |
| Banc of America Mortgage Securities, Inc., Series 2003-A, Class 2A2 | | | | | | | | | |
3.26% | | | 02/25/33 | 2 | | | 2,121 | | | | 2,091 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed
(continued) | | | | | |
| BCAP LLC Trust, Series 2007-AA1, Class 1A2 | | | | | | | | | |
0.69% | | | 02/25/47 | 2 | | $ | 153,378 | | | $ | 148,100 | |
| Centex Home Equity Loan Trust, Series 2005-D, Class M1 | | | | | | | | | |
0.96% | | | 10/25/35 | 2 | | | 129,912 | | | | 130,155 | |
| Citigroup Mortgage Loan Trust, Inc., Series 2004-HYB1, Class A41 | | | | | | | | | |
3.26% | | | 02/25/34 | 2 | | | 90,938 | | | | 90,378 | |
| Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH2, Class A3 | | | | | | | | | |
0.71% | | | 03/25/37 | 2 | | | 1,025,918 | | | | 1,020,371 | |
| Countrywide Alternative Loan Trust, Series 2004-J6, Class 2A1 | | | | | | | | | |
6.50% | | | 11/25/31 | | | | 105,962 | | | | 111,066 | |
| Credit Suisse First Boston Mortgage Securities Corp., Series 2002-AR31, Class 4A2 | | | | | | | | | |
2.90% | | | 11/25/32 | 2 | | | 152,087 | | | | 142,244 | |
| Credit Suisse Mortgage Trust, Series 2007-C5, Class AAB | | | | | | | | | |
5.62% | | | 09/15/40 | 2 | | | 45,855 | | | | 45,896 | |
| DSLA Mortgage Loan Trust, Series 2004-AR3, Class 2A2A | | | | | | | | | |
0.90% | | | 07/19/44 | 2 | | | 253,476 | | | | 246,161 | |
| Fremont Home Loan Trust, Series 2005-C, Class M1 | | | | | | | | | |
1.01% | | | 07/25/35 | 2 | | | 191,168 | | | | 191,830 | |
| GE Mortgage Services LLC, Series 1998-HE1, Class A7 | | | | | | | | | |
6.47% | | | 06/25/28 | | | | 22 | | | | 21 | |
| GMAC Mortgage Corp. Loan Trust, Series 2003-GH1, Class A5 (STEP) | | | | | | | | | |
5.31% | | | 07/25/34 | | | | 13,669 | | | | 14,162 | |
| HSBC Home Equity Loan Trust, Series 2007-3, Class APT | | | | | | | | | |
1.73% | | | 11/20/36 | 2 | | | 307,456 | | | | 307,520 | |
| IndyMac Index Mortgage Loan Trust, Series 2004-AR12, Class A1 | | | | | | | | | |
1.31% | | | 12/25/34 | 2 | | | 582,685 | | | | 491,534 | |
| IndyMac Index Mortgage Loan Trust, Series 2004-AR6, Class 6A1 | | | | | | | | | |
3.24% | | | 10/25/34 | 2 | | | 338,527 | | | | 325,345 | |
| IndyMac Manufactured Housing Contract, Series 1998-2, Class A4 | | | | | | | | | |
6.64% | | | 08/25/29 | 2 | | | 24,478 | | | | 24,391 | |
| JPMorgan Mortgage Acquisition Corp., Series 2005-FLD1, Class M3 | | | | | | | | | |
1.31% | | | 07/25/35 | 2 | | | 583,952 | | | | 580,710 | |
| JPMorgan Mortgage Trust, Series 2005-A2, Class 9A1 | | | | | | | | | |
2.75% | | | 04/25/35 | 2 | | | 328,273 | | | | 327,933 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| 17 / Semi-Annual Report September 2016 |
Ultra Short Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed
(continued) | | | | | |
| MASTR Adjustable Rate Mortgages Trust, Series 2004-1, Class 2A1 | | | | | | | | | |
3.25% | | | 01/25/34 | 2 | | $ | 13,070 | | | $ | 12,843 | |
| MASTR Adjustable Rate Mortgages Trust, Series 2004-12, Class 5A1 | | | | | | | | | |
3.10% | | | 10/25/34 | 2 | | | 500,292 | | | | 464,999 | |
| MASTR Adjustable Rate Mortgages Trust, Series 2004-5, Class 3A1 | | | | | | | | | |
1.63% | | | 06/25/34 | 2 | | | 6,144 | | | | 5,892 | |
| MASTR Adjustable Rate Mortgages Trust, Series 2007-2, Class A2 | | | | | | | | | |
0.64% | | | 03/25/47 | 2 | | | 155,807 | | | | 154,599 | |
| MASTR Seasoned Securities Trust, Series 2004-1, Class 4A1 | | | | | | | | | |
2.92% | | | 10/25/32 | 2 | | | 62,695 | | | | 62,964 | |
| Merrill Lynch First Franklin Mortgage Loan Trust, Series 2006-FF10, Class A4 | | | | | | | | | |
0.68% | | | 07/25/36 | 2 | | | 586,722 | | | | 574,119 | |
| Merrill Lynch Mortgage Investors, Inc., Series 2003-A1, Class 2A | | | | | | | | | |
3.18% | | | 12/25/32 | 2 | | | 200,967 | | | | 198,955 | |
| Mid-State Trust VI, Series 2006, Class A4 | | | | | | | | | |
7.79% | | | 07/01/35 | | | | 20,872 | | | | 22,128 | |
| Morgan Stanley Capital I Trust, Series 2006-NC1, Class A4 | | | | | | | | | |
0.83% | | | 12/25/35 | 2 | | | 583,515 | | | | 575,887 | |
| Residential Asset Mortgage Products Trust, Series 2003-RZ3, Class A6 (STEP) | | | | | | | | | |
3.90% | | | 03/25/33 | | | | 55,391 | | | | 55,676 | |
| Residential Asset Mortgage Products Trust, Series 2004-SL1, Class A2 | | | | | | | | | |
8.50% | | | 11/25/31 | | | | 34,570 | | | | 11,581 | |
| Residential Asset Mortgage Products Trust, Series 2004-SL1, Class A8 | | | | | | | | | |
6.50% | | | 11/25/31 | | | | 73,460 | | | | 74,636 | |
| Residential Asset Securities Trust, Series 2004-IP2, Class 2A1 | | | | | | | | | |
3.02% | | | 12/25/34 | 2 | | | 198,079 | | | | 197,969 | |
| Residential Asset Securities Trust, Series 2005-KS12, Class A3 | | | | | | | | | |
0.85% | | | 01/25/36 | 2 | | | 207,310 | | | | 206,474 | |
| Soundview Home Loan Trust, Series 2006-WF2, Class A2C | | | | | | | | | |
0.67% | | | 12/25/36 | 2 | | | 108,991 | | | | 108,853 | |
| Springleaf Mortgage Loan Trust, Series 2013-1A, Class A | | | | | | | | | |
1.27% | | | 06/25/58 | 2,3 | | | 703,696 | | | | 704,344 | |
| Structured Asset Securities Corp., Series 2001-15A, Class 4A1 | | | | | | | | | |
2.68% | | | 10/25/31 | 2 | | | 31,813 | | | | 31,775 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed
(continued) | | | | | |
| Terwin Mortgage Trust, Series 2004-13AL, Class 2PX (IO) | | | | | | | | | |
0.34% | | | 08/25/34 | 3,5 | | $ | 3,171,849 | | | $ | 44,439 | |
| UCFC Home Equity Loan, Series 1998-D, Class BF1 | | | | | | | | | |
8.97% | | | 04/15/30 | 2,5 | | | 1,243 | | | | 121 | |
| WaMu Mortgage Pass-Through Certificates, Series 2002-AR6, Class A | | | | | | | | | |
1.91% | | | 06/25/42 | 2 | | | 56,049 | | | | 54,157 | |
| WaMu Mortgage Pass-Through Certificates, Series 2003-AR6, Class A1 | | | | | | | | | |
2.90% | | | 06/25/33 | 2 | | | 154,380 | | | | 153,948 | |
| WaMu Mortgage Pass-Through Certificates, Series 2005-4, Class CB13 | | | | | | | | | |
1.03% | | | 06/25/35 | 2 | | | 283,669 | | | | 226,903 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 8,534,607 | |
| | | | | | | | | | | | |
U.S. Agency Mortgage-Backed — 34.13% | |
| Fannie Mae Multifamily REMIC Trust, Series 2015-M12, Class FA | | | | | | | | | |
0.85% | | | 04/25/20 | 2 | | | 699,428 | | | | 698,034 | |
| Fannie Mae Pool 111643 | | | | | | | | | |
2.69% | | | 09/01/20 | 2 | | | 4,489 | | | | 4,528 | |
| Fannie Mae Pool 254548 | | | | | | | | | |
5.50% | | | 12/01/32 | | | | 212,913 | | | | 242,122 | |
| Fannie Mae Pool 467572 | | | | | | | | | |
3.80% | | | 04/01/18 | | | | 1,098,304 | | | | 1,128,644 | |
| Fannie Mae Pool 523829 | | | | | | | | | |
8.00% | | | 11/01/19 | | | | 40,611 | | | | 42,943 | |
| Fannie Mae Pool 555098 | | | | | | | | | |
2.74% | | | 11/01/32 | 2 | | | 43,092 | | | | 45,742 | |
| Fannie Mae Pool 555424 | | | | | | | | | |
5.50% | | | 05/01/33 | | | | 140,957 | | | | 160,079 | |
| Fannie Mae Pool 567002 | | | | | | | | | |
8.00% | | | 05/01/23 | | | | 36,334 | | | | 40,565 | |
| Fannie Mae Pool 646884 | | | | | | | | | |
2.29% | | | 05/01/32 | 2 | | | 4,444 | | | | 4,557 | |
| Fannie Mae Pool 648860 | | | | | | | | | |
6.50% | | | 05/01/17 | | | | 19,219 | | | | 19,413 | |
| Fannie Mae Pool 655133 | | | | | | | | | |
7.00% | | | 08/01/32 | | | | 24,132 | | | | 27,663 | |
| Fannie Mae Pool 655151 | | | | | | | | | |
7.00% | | | 08/01/32 | | | | 16,451 | | | | 17,650 | |
| Fannie Mae Pool 762525 | | | | | | | | | |
6.50% | | | 11/01/33 | | | | 29,617 | | | | 33,329 | |
| Fannie Mae Pool 770900 | | | | | | | | | |
2.69% | | | 04/01/34 | 2 | | | 253,973 | | | | 260,876 | |
| Fannie Mae Pool 893489 | | | | | | | | | |
2.87% | | | 09/01/36 | 2 | | | 32,714 | | | | 34,272 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| Semi-Annual Report September 2016 / 18 |
Ultra Short Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed
(continued) | | | | | |
| Fannie Mae Pool AD0538 | | | | | | | | | |
6.00% | | | 05/01/24 | | | $ | 118,166 | | | $ | 130,321 | |
| Fannie Mae Pool AE0443 | | | | | | | | | |
6.50% | | | 10/01/39 | | | | 173,246 | | | | 199,926 | |
| Fannie Mae Pool AL0851 | | | | | | | | | |
6.00% | | | 10/01/40 | | | | 150,404 | | | | 172,674 | |
| Fannie Mae REMICS, Series 1988-12, Class A | | | | | | | | | |
4.31% | | | 02/25/18 | 2 | | | 2,873 | | | | 2,906 | |
| Fannie Mae REMICS, Series 1993-80, Class S | | | | | | | | | |
10.24% | | | 05/25/23 | 2 | | | 1,926 | | | | 2,223 | |
| Fannie Mae REMICS, Series 2001-42, Class SB | | | | | | | | | |
8.50% | | | 09/25/31 | 2 | | | 2,231 | | | | 2,854 | |
| Fannie Mae REMICS, Series 2001-60, Class OF | | | | | | | | | |
1.48% | | | 10/25/31 | 2 | | | 187,833 | | | | 190,728 | |
| Fannie Mae REMICS, Series 2002-30, Class FB | | | | | | | | | |
1.53% | | | 08/25/31 | 2 | | | 252,659 | | | | 257,142 | |
| Fannie Mae REMICS, Series 2003-117, Class XF | | | | | | | | | |
0.88% | | | 08/25/33 | 2 | | | 160,834 | | | | 159,488 | |
| Fannie Mae REMICS, Series 2003-124, Class TS | | | | | | | | | |
9.80% | | | 01/25/34 | 2 | | | 27,781 | | | | 35,913 | |
| Fannie Mae REMICS, Series 2003-134, Class FC | | | | | | | | | |
1.13% | | | 12/25/32 | 2 | | | 792,371 | | | | 796,648 | |
| Fannie Mae REMICS, Series 2003-29, Class F | | | | | | | | | |
1.03% | | | 12/25/32 | 2 | | | 418,976 | | | | 420,184 | |
| Fannie Mae REMICS, Series 2003-64, Class KS | | | | | | | | | |
8.96% | | | 07/25/18 | 2 | | | 42,634 | | | | 44,170 | |
| Fannie Mae REMICS, Series 2004-38, Class FT | | | | | | | | | |
0.96% | | | 10/25/33 | 2 | | | 431,420 | | | | 432,824 | |
| Fannie Mae REMICS, Series 2004-60, Class FW | | | | | | | | | |
0.98% | | | 04/25/34 | 2 | | | 750,310 | | | | 754,330 | |
| Fannie Mae REMICS, Series 2004-79, Class F | | | | | | | | | |
0.83% | | | 08/25/32 | 2 | | | 193,290 | | | | 193,358 | |
| Fannie Mae REMICS, Series 2004-96, Class MT | | | | | | | | | |
7.00% | | | 12/25/34 | 2 | | | 10,049 | | | | 10,757 | |
| Fannie Mae REMICS, Series 2005-57, Class EG | | | | | | | | | |
0.83% | | | 03/25/35 | 2 | | | 532,915 | | | | 533,234 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed
(continued) | | | | | |
| Fannie Mae REMICS, Series 2006-56, Class FD | | | | | | | | | |
0.78% | | | 07/25/36 | 2 | | $ | 529,404 | | | $ | 528,553 | |
| Fannie Mae REMICS, Series 2006-84, Class WF | | | | | | | | | |
0.83% | | | 02/25/36 | 2 | | | 233,231 | | | | 233,655 | |
| Fannie Mae REMICS, Series 2007-68, Class SC (IO) | | | | | | | | | |
6.17% | | | 07/25/37 | 2 | | | 245,640 | | | | 43,995 | |
| Fannie Mae REMICS, Series 2008-47, Class PF | | | | | | | | | |
1.03% | | | 06/25/38 | 2 | | | 106,941 | | | | 107,360 | |
| Fannie Mae REMICS, Series 2009-111, Class DA | | | | | | | | | |
5.00% | | | 12/25/39 | | | | 96,645 | | | | 103,267 | |
| Fannie Mae REMICS, Series 2009-33, Class FB | | | | | | | | | |
1.35% | | | 03/25/37 | 2 | | | 248,396 | | | | 251,849 | |
| Fannie Mae REMICS, Series 2010-109, Class PF | | | | | | | | | |
0.93% | | | 10/25/40 | 2 | | | 146,876 | | | | 147,220 | |
| Fannie Mae REMICS, Series 2010-119, Class FK | | | | | | | | | |
1.03% | | | 04/25/40 | 2 | | | 184,086 | | | | 184,361 | |
| Fannie Mae REMICS, Series 2010-26, Class S (IO) | | | | | | | | | |
5.70% | | | 11/25/36 | 2 | | | 776,671 | | | | 141,088 | |
| Fannie Mae REMICS, Series 2010-35, Class FL | | | | | | | | | |
0.98% | | | 07/25/38 | 2 | | | 539,026 | | | | 540,039 | |
| Fannie Mae REMICS, Series 2011-124, Class DF | | | | | | | | | |
0.98% | | | 08/25/40 | 2 | | | 1,027,057 | | | | 1,030,122 | |
| Fannie Mae REMICS, Series 2011-71, Class FB | | | | | | | | | |
1.03% | | | 05/25/37 | 2 | | | 347,485 | | | | 349,817 | |
| Fannie Mae REMICS, Series 2011-8, Class PF | | | | | | | | | |
1.03% | | | 01/25/40 | 2 | | | 288,743 | | | | 289,892 | |
| Fannie Mae REMICS, Series 2012-19, Class FP | | | | | | | | | |
1.03% | | | 12/25/39 | 2 | | | 1,121,650 | | | | 1,135,131 | |
| Fannie Mae REMICS, Series 2012-33, Class F | | | | | | | | | |
1.05% | | | 04/25/42 | 2 | | | 1,075,661 | | | | 1,084,152 | |
| Fannie Mae REMICS, Series 2013-75, Class FC | | | | | | | | | |
0.78% | | | 07/25/42 | 2 | | | 1,027,526 | | | | 1,018,306 | |
| Fannie Mae REMICS. Series 2004-92, Class FD | | | | | | | | | |
0.88% | | | 05/25/34 | 2 | | | 998,238 | | | | 1,000,541 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| 19 / Semi-Annual Report September 2016 |
Ultra Short Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed
(continued) | | | | | |
| Fannie Mae-Aces, Series 2013-M4, Class ASQ2 | | | | | | | | | |
1.45% | | | 02/25/18 | | | $ | 638,701 | | | $ | 640,351 | |
| Fannie Mae-Aces, Series 2014-M12, Class FA | | | | | | | | | |
0.81% | | | 10/25/21 | 2 | | | 311,572 | | | | 310,452 | |
| Freddie Mac Gold Pool C90237 | | | | | | | | | |
6.50% | | | 11/01/18 | | | | 13,258 | | | | 14,517 | |
| Freddie Mac Gold Pool C90474 | | | | | | | | | |
7.00% | | | 08/01/21 | | | | 30,583 | | | | 32,878 | |
| Freddie Mac Gold Pool D93410 | | | | | | | | | |
6.50% | | | 04/01/19 | | | | 12,012 | | | | 13,306 | |
| Freddie Mac Gold Pool G13107 | | | | | | | | | |
5.50% | | | 07/01/20 | | | | 103,955 | | | | 106,383 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series K006, Class A1 | | | | | | | | | |
3.40% | | | 07/25/19 | | | | 690,324 | | | | 708,221 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series K010, Class A1 | | | | | | | | | |
3.32% | | | 07/25/20 | | | | 490,687 | | | | 499,115 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF05, Class A | | | | | | | | | |
0.87% | | | 09/25/21 | 2 | | | 883,989 | | | | 883,335 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KS02, Class A | | | | | | | | | |
0.88% | | | 08/25/23 | 2 | | | 965,723 | | | | 967,281 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KS03, Class A4 | | | | | | | | | |
4.19% | | | 08/25/19 | | | | 855,000 | | | | 917,506 | |
| Freddie Mac Non Gold Pool 775554 | | | | | | | | | |
2.27% | | | 10/01/18 | 2 | | | 593 | | | | 596 | |
| Freddie Mac Non Gold Pool 865369 | | | | | | | | | |
2.78% | | | 06/01/22 | 2 | | | 89 | | | | 89 | |
| Freddie Mac REMICS, Series 1526, Class L | | | | | | | | | |
6.50% | | | 06/15/23 | | | | 4,541 | | | | 5,017 | |
| Freddie Mac REMICS, Series 2368, Class AF | | | | | | | | | |
1.47% | | | 10/15/31 | 2 | | | 102,645 | | | | 104,205 | |
| Freddie Mac REMICS, Series 2642, Class BW (IO) | | | | | | | | | |
5.00% | | | 06/15/23 | | | | 3,327 | | | | 173 | |
| Freddie Mac REMICS, Series 2733, Class FB | | | | | | | | | |
1.12% | | | 10/15/33 | 2 | | | 1,060,000 | | | | 1,065,815 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed
(continued) | | | | | |
| Freddie Mac REMICS, Series 2763, Class FC | | | | | | | | | |
0.87% | | | 04/15/32 | 2 | | $ | 704,825 | | | $ | 705,262 | |
| Freddie Mac REMICS, Series 2945, Class LD | | | | | | | | | |
4.00% | | | 02/15/35 | | | | 28,620 | | | | 29,310 | |
| Freddie Mac REMICS, Series 2990, Class DE | | | | | | | | | |
0.90% | | | 11/15/34 | 2 | | | 891,961 | | | | 895,748 | |
| Freddie Mac REMICS, Series 2990, Class LE | | | | | | | | | |
0.84% | | | 10/15/34 | 2 | | | 713,647 | | | | 715,793 | |
| Freddie Mac REMICS, Series 3001, Class HS | | | | | | | | | |
15.44% | | | 02/15/35 | 2 | | | 11,893 | | | | 12,523 | |
| Freddie Mac REMICS, Series 3066, Class PF | | | | | | | | | |
0.82% | | | 04/15/35 | 2 | | | 1,390,110 | | | | 1,389,114 | |
| Freddie Mac REMICS, Series 3085, Class FW | | | | | | | | | |
1.22% | | | 08/15/35 | 2 | | | 929,714 | | | | 944,474 | |
| Freddie Mac REMICS, Series 3196, Class FA | | | | | | | | | |
0.87% | | | 04/15/32 | 2 | | | 931,345 | | | | 933,174 | |
| Freddie Mac REMICS, Series 3300, Class FA | | | | | | | | | |
0.82% | | | 08/15/35 | 2 | | | 865,251 | | | | 863,364 | |
| Freddie Mac REMICS, Series 3325, Class NF | | | | | | | | | |
0.82% | | | 08/15/35 | 2 | | | 173,817 | | | | 173,437 | |
| Freddie Mac REMICS, Series 3346, Class FA | | | | | | | | | |
0.75% | | | 02/15/19 | 2 | | | 263,853 | | | | 264,031 | |
| Freddie Mac REMICS, Series 3652, Class PF | | | | | | | | | |
1.27% | | | 07/15/32 | 2 | | | 86,799 | | | | 87,353 | |
| Freddie Mac REMICS, Series 3767, Class JF | | | | | | | | | |
0.82% | | | 02/15/39 | 2 | | | 952,304 | | | | 951,471 | |
| Freddie Mac REMICS, Series 3792, Class DF | | | | | | | | | |
0.92% | | | 11/15/40 | 2 | | | 1,004,611 | | | | 1,006,178 | |
| Freddie Mac REMICS, Series 3806, Class DF | | | | | | | | | |
0.92% | | | 08/15/25 | 2 | | | 395,797 | | | | 396,797 | |
| Freddie Mac REMICS, Series 3828, Class TF | | | | | | | | | |
0.92% | | | 04/15/29 | 2 | | | 290,813 | | | | 291,541 | |
| Freddie Mac REMICS, Series 3831, Class PV | | | | | | | | | |
5.00% | | | 05/15/25 | | | | 853,930 | | | | 876,160 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| Semi-Annual Report September 2016 / 20 |
Ultra Short Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed
(continued) | | | | | |
| Freddie Mac REMICS, Series 3845, Class FQ | | | | | | | | | |
0.77% | | | 02/15/26 | 2 | | $ | 675,362 | | | $ | 671,400 | |
| Freddie Mac REMICS, Series 3895, Class BF | | | | | | | | | |
1.02% | | | 07/15/41 | 2 | | | 464,911 | | | | 466,738 | |
| Freddie Mac REMICS, Series 3946, Class FG | | | | | | | | | |
0.87% | | | 10/15/39 | 2 | | | 715,678 | | | | 716,648 | |
| Freddie Mac REMICS, Series 4109, Class KF | | | | | | | | | |
0.92% | | | 05/15/32 | 2 | | | 714,127 | | | | 714,192 | |
| Freddie Mac Strips, Series 263, Class F5 | | | | | | | | | |
1.02% | | | 06/15/42 | 2 | | | 730,198 | | | | 728,772 | |
| Ginnie Mae II Pool 80546 | | | | | | | | | |
2.00% | | | 10/20/31 | 2 | | | 17,059 | | | | 17,680 | |
| Ginnie Mae II Pool 80610 | | | | | | | | | |
2.13% | | | 06/20/32 | 2 | | | 199,627 | | | | 207,307 | |
| Ginnie Mae II Pool 80614 | | | | | | | | | |
1.88% | | | 07/20/32 | 2 | | | 26,108 | | | | 27,194 | |
| Ginnie Mae II Pool 80687 | | | | | | | | | |
2.13% | | | 04/20/33 | 2 | | | 153,093 | | | | 159,091 | |
| Ginnie Mae II Pool 8339 | | | | | | | | | |
2.00% | | | 12/20/23 | 2 | | | 28,431 | | | | 29,192 | |
| Ginnie Mae II Pool 8684 | | | | | | | | | |
1.88% | | | 08/20/25 | 2 | | | 40,866 | | | | 42,261 | |
| Ginnie Mae II Pool MA0331 | | | | | | | | | |
2.50% | | | 08/20/42 | 2 | | | 363,186 | | | | 371,981 | |
| Ginnie Mae, Series 2001-22, Class FK | | | | | | | | | |
0.88% | | | 05/16/31 | 2 | | | 1,127,030 | | | | 1,129,220 | |
| Ginnie Mae, Series 2001-51, Class FA | | | | | | | | | |
1.03% | | | 10/16/31 | 2 | | | 1,093,686 | | | | 1,099,805 | |
| Ginnie Mae, Series 2002-16, Class FV | | | | | | | | | |
0.93% | | | 02/16/32 | 2 | | | 1,222,778 | | | | 1,226,691 | |
| Ginnie Mae, Series 2002-20, Class FC | | | | | | | | | |
0.83% | | | 03/16/32 | 2 | | | 417,664 | | | | 417,431 | |
| Ginnie Mae, Series 2002-72, Class FB | | | | | | | | | |
0.93% | | | 10/20/32 | 2 | | | 276,493 | | | | 277,651 | |
| Ginnie Mae, Series 2002-72, Class FC | | | | | | | | | |
0.93% | | | 10/20/32 | 2 | | | 263,704 | | | | 264,809 | |
| Ginnie Mae, Series 2003-42, Class FA | | | | | | | | | |
0.93% | | | 07/16/31 | 2 | | | 1,221,673 | | | | 1,227,631 | |
| Ginnie Mae, Series 2004-2, Class FW | | | | | | | | | |
1.92% | | | 01/16/34 | 2 | | | 488,814 | | | | 510,694 | |
| Ginnie Mae, Series 2009-66, Class UF | | | | | | | | | |
1.53% | | | 08/16/39 | 2 | | | 279,211 | | | | 282,859 | |
| Ginnie Mae, Series 2009-92, Class FC | | | | | | | | | |
1.33% | | | 10/16/39 | 2 | | | 273,044 | | | | 275,567 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed
(continued) | | | | | |
| Ginnie Mae, Series 2010-108, Class PF | | | | | | | | | |
0.93% | | | 02/20/38 | 2 | | $ | 411,676 | | | $ | 412,392 | |
| Ginnie Mae, Series 2010-2, Class FA | | | | | | | | | |
1.03% | | | 05/20/37 | 2 | | | 151,986 | | | | 152,079 | |
| Ginnie Mae, Series 2011-70, Class IL (IO) | | | | | | | | | |
0.60% | | | 06/16/37 | 2 | | | 3,750,784 | | | | 69,082 | |
| Ginnie Mae, Series 2011-80, Class BF | | | | | | | | | |
0.86% | | | 06/20/36 | 2 | | | 217,865 | | | | 217,959 | |
| Ginnie Mae, Series 2012-10, Class FP | | | | | | | | | |
0.83% | | | 01/20/41 | 2 | | | 380,295 | | | | 380,495 | |
| Ginnie Mae, Series 2012-13, Class KF | | | | | | | | | |
0.83% | | | 07/20/38 | 2 | | | 822,326 | | | | 822,577 | |
| NCUA Guaranteed Notes, Series 2010-R1, Class A1 | | | | | | | | | |
0.97% | | | 10/07/20 | 2 | | | 925,477 | | | | 927,486 | |
| NCUA Guaranteed Notes, Series 2010-R2, Class 1A | | | | | | | | | |
0.90% | | | 11/06/17 | 2 | | | 1,032,007 | | | | 1,032,295 | |
| NCUA Guaranteed Notes, Series 2010-R3, Class 1A | | | | | | | | | |
0.76% | | | 12/08/20 | 2 | | | 828,674 | | | | 830,450 | |
| NCUA Guaranteed Notes, Series 2011-C1, Class 2A | | | | | | | | | |
1.05% | | | 03/09/21 | 2 | | | 637,022 | | | | 636,739 | |
| NCUA Guaranteed Notes, Series 2011-R3, Class 1A | | | | | | | | | |
0.60% | | | 03/11/20 | 2 | | | 418,479 | | | | 418,360 | |
| NCUA Guaranteed Notes, Series 2011-R4, Class 1A | | | | | | | | | |
0.58% | | | 03/06/20 | 2 | | | 141,911 | | | | 141,974 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 49,001,117 | |
| | | | | | | | | | | | |
| | |
Total Mortgage-Backed | | | | | | | | | |
| (Cost $68,173,768) | | | | | | | | 68,270,240 | |
| | | | | | | | | | | | |
|
U.S. TREASURY SECURITIES — 24.00% | |
U.S. Treasury Notes — 24.00% | |
| U.S. Treasury Notes | | | | | | | | | |
0.48% | | | 10/31/17 | 2 | | | 2,900,000 | | | | 2,903,260 | |
0.50% | | | 01/31/17 | | | | 5,790,000 | | | | 5,792,808 | |
0.58% | | | 01/31/18 | 2 | | | 2,900,000 | | | | 2,907,091 | |
0.63% | | | 08/31/17 | | | | 7,510,000 | | | | 7,507,993 | |
0.75% | | | 02/28/18 | | | | 4,370,000 | | | | 4,372,207 | |
0.88% | | | 07/15/17 | | | | 10,946,000 | | | | 10,968,658 | |
| | | | | | | | | | | | |
| |
Total U.S. Treasury Securities | | | | | |
| (Cost $34,406,453) | | | | | | | | 34,452,017 | |
| | | | | | | | | | | | |
| | |
Total Bonds – 93.15% | | | | | | | | | |
| (Cost $133,550,308) | | | | | | | | 133,726,961 | |
| | | | | | | | | | | | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| 21 / Semi-Annual Report September 2016 |
Ultra Short Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount/ Share | | | Value | |
SHORT-TERM INVESTMENTS — 6.69% | | | | | |
Commercial Paper — 0.33% | | | | | |
| Kraft Heinz Foods Co. | | | | | | | | | |
1.60%6 | | | 06/30/17 | | | $ | 480,000 | | | $ | 481,283 | |
| | | | | | | | | | | | |
Foreign Government Obligations — 4.20% | |
| Japan Treasury Discount Bill, Series 626 (Japan) | | | | | | | | | |
0.00%6 | | | 11/14/16 | 4 | | | 170,000,000 | | | | 1,679,198 | |
| Japan Treasury Discount Bill, Series 632 (Japan) | | | | | | | | | |
0.00%6 | | | 12/12/16 | 4 | | | 340,000,000 | | | | 3,359,539 | |
| Japan Treasury Discount Bill, Series 636 (Japan) | | | | | | | | | |
0.00%6 | | | 01/10/17 | 4 | | | 100,000,000 | | | | 988,564 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 6,027,301 | |
| | | | | | | | | | | | |
Money Market Funds — 0.04% | | | | | |
| JPMorgan U.S. Government Money Market Fund | | | | | | | | | |
0.33%7 | | | | | | | 63,000 | | | | 63,000 | |
| | | | | | | | | | | | |
U.S. Agency Discount Notes — 0.28% | |
| Fannie Mae | | | | | | | | | | | | |
0.36%6 | | | 10/17/16 | | | | 400,000 | | | | 399,972 | |
| | | | | | | | | | | | |
U.S. Treasury Bills — 1.84% | | | | | |
| U.S. Treasury Bills | | | | | | | | | |
0.26%6 | | | 10/20/16 | | | | 200,000 | | | | 199,988 | |
0.28%6 | | | 10/27/16 | | | | 300,000 | | | | 299,962 | |
0.36%6 | | | 01/19/17 | | | | 1,500,000 | | | | 1,498,785 | |
0.45%6 | | | 02/23/17 | | | | 640,000 | | | | 639,138 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 2,637,873 | |
| | | | | | | | | | | | |
| |
Total Short-Term Investments | | | | | |
| (Cost $9,590,854) | | | | | | | | 9,609,429 | |
| | | | | | | | | | | | |
| | |
Total Investments – 99.84% | | | | | | | | | |
| (Cost $143,141,162)1 | | | | | | | | 143,336,390 | |
| | | | | | | | | | | | |
| |
Cash and Other Assets, Less | | | | | |
| Liabilities – 0.16% | | | | | | | | 234,234 | |
| | | | | | | | | | | | |
| | |
| Net Assets – 100.00% | | | | | | | $ | 143,570,624 | |
| | | | | | | | | | | | |
| | | | | | | | | | |
| | | Currency
Purchased | | Currency Sold | | | Unrealized
Appreciation/
(Depreciation) | |
FOREIGN CURRENCY EXCHANGE CONTRACT | |
| Forward currency contract to sell Japanese Yen on 10/03/16 at 101.25 Counterparty: Citigroup Global Markets, Inc. | | | | | |
| | USD $1,685,212 | | | JPY 170,000,000 | | | | $ 5,679 | |
| Forward currency contract to sell Japanese Yen on 12/12/16 at 100.94 Counterparty: JPMorgan Securities LLC | | | | | |
| | USD $3,354,314 | | | JPY 340,000,000 | | | | (13,914 | ) |
| Forward currency contract to sell Japanese Yen on 01/10/17 at 100.78 Counterparty: Bank of America | | | | | |
| | USD $989,516 | | | JPY 100,000,000 | | | | (2,704 | ) |
| Net unrealized (depreciation) | | | | $ (10,939 | ) |
Notes:
| 1 | Cost for federal income tax purposes is $143,144,569 and net unrealized appreciation/(depreciation) consists of: |
| | | | |
Gross unrealized appreciation | | $ | 741,402 | |
Gross unrealized (depreciation) | | | (549,581 | ) |
| | | | |
Net unrealized appreciation | | $ | 191,821 | |
| | | | |
| 2 | Floating rate security. The rate disclosed was in effect at September 30, 2016. |
| 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 $44,560, which is 0.03% of total net assets. |
| 6 | Represents annualized yield at date of purchase. |
| 7 | Represents the current yield as of September 30, 2016. |
| * | 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.
(GMTN): Global medium-term note
(IO): Interest only
(JPY): Japanese Yen
(MTN): Medium-term note
(STEP): Step coupon bond
(USD): U.S. dollar
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| Semi-Annual Report September 2016 / 22 |
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BONDS – 94.99% | |
ASSET-BACKED SECURITIES — 7.38%** | |
| Access Group, Inc., Series 2015-1, Class A | | | | | | | | | |
1.23% | | | 07/25/56 | 2,3 | | $ | 3,303,674 | | | $ | 3,234,967 | |
| Bayview Commercial Asset Trust, Series 2005-1A, Class A1 | | | | | | | | | |
0.83% | | | 04/25/35 | 2,3 | | | 376,978 | | | | 347,952 | |
| Bayview Commercial Asset Trust, Series 2007-1, Class A1 | | | | | | | | | |
0.75% | | | 03/25/37 | 2,3 | | | 340,535 | | | | 296,726 | |
| Bayview Commercial Asset Trust, Series 2007-3, Class A1 | | | | | | | | | |
0.77% | | | 07/25/37 | 2,3 | | | 3,056,439 | | | | 2,552,969 | |
| Brazos Higher Education Authority, Inc., Series 2003 I, Class A3 | | | | | | | | | |
0.97% | | | 09/26/22 | 2 | | | 398,025 | | | | 397,434 | |
| Brazos Higher Education Authority, Inc., Series 2010-1, Class A2 | | | | | | | | | |
2.03% | | | 02/25/35 | 2 | | | 3,070,000 | | | | 2,999,036 | |
| Brazos Higher Education Authority, Inc., Series 2011-1, Class A2 | | | | | | | | | |
1.63% | | | 02/25/30 | 2 | | | 200,306 | | | | 198,814 | |
| Brazos Higher Education Authority, Inc., Series 2011-2, Class A3 | | | | | | | | | |
1.71% | | | 10/27/36 | 2 | | | 5,075,000 | | | | 4,791,179 | |
| Citibank Credit Card Issuance Trust, Series 2008-A2, Class A2 | | | | | | | | | |
1.70% | | | 01/23/20 | 2 | | | 7,560,000 | | | | 7,665,918 | |
| Dryden 37 Senior Loan Fund, Series 2015-37A, Class A (Cayman Islands) | | | | | | | | | |
2.18% | | | 04/15/27 | 2,3,4 | | | 9,280,000 | | | | 9,304,471 | |
| Education Loan Asset-Backed Trust, Series 2013-1, Class A2 | | | | | | | | | |
1.33% | | | 04/26/32 | 2,3 | | | 8,375,000 | | | | 8,013,080 | |
| GCO Education Loan Funding Trust, Series 2006-2AR, Class A1RN | | | | | | | | | |
1.18% | | | 08/27/46 | 2,3 | | | 8,047,359 | | | | 7,277,030 | |
| GCO Education Loan Funding Trust, Series 2007-1A, Class A5L | | | | | | | | | |
0.90% | | | 05/25/23 | 2,3 | | | 338,696 | | | | 336,823 | |
| GE Business Loan Trust, Series 2005-1A, Class A3 | | | | | | | | | |
0.77% | | | 06/15/33 | 2,3 | | | 882,402 | | | | 822,890 | |
| Goal Capital Funding Trust, Series 2006-1, Class B | | | | | | | | | |
1.28% | | | 08/25/42 | 2 | | | 3,389,030 | | | | 2,957,096 | |
| J.G. Wentworth XXX LLC, Series 2013-3A, Class A | | | | | | | | | |
4.08% | | | 01/17/73 | 3 | | | 4,754,916 | | | | 5,078,934 | |
| Limerock CLO II Ltd., Series 2014-2A, Class A (Cayman Islands) | | | | | | | | | |
2.18% | | | 04/18/26 | 2,3,4 | | | 6,895,000 | | | | 6,902,085 | |
| Magnetite XII CLO Ltd., Series 2015-12A, Class A (Cayman Islands) | | | | | | | | | |
2.18% | | | 04/15/27 | 2,3,4 | | | 9,280,000 | | | | 9,282,218 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | | | | | |
| National Collegiate Student Loan Trust, Series 2006-3, Class A3 | | | | | | | | | |
0.68% | | | 10/25/27 | 2 | | $ | 162,277 | | | $ | 162,051 | |
| National Collegiate Student Loan Trust, Series 2007-2, Class A2 | | | | | | | | | |
0.66% | | | 06/26/28 | 2 | | | 2,224,665 | | | | 2,191,101 | |
| Navient Student Loan Trust, Series 2014-8, Class A2 | | | | | | | | | |
0.97% | | | 04/25/23 | 2 | | | 17,800,000 | | | | 17,773,506 | |
| Nelnet Student Loan Trust, Series 2013-1A, Class A | | | | | | | | | |
1.13% | | | 06/25/41 | 2,3 | | | 4,234,403 | | | | 4,164,879 | |
| Nelnet Student Loan Trust, Series 2014-5A, Class A | | | | | | | | | |
1.08% | | | 07/25/41 | 2,3 | | | 13,522,603 | | | | 13,079,085 | |
| Northstar Education Finance, Inc., Series 2007-1, Class A1 | | | | | | | | | |
0.84% | | | 04/28/30 | 2 | | | 5,605,000 | | | | 5,418,578 | |
| SLC Student Loan Trust I, Series 2002-2, Class B2 | | | | | | | | | |
0.33% | | | 07/01/42 | 2,3 | | | 4,100,000 | | | | 3,173,154 | |
| SLC Student Loan Trust, Series 2004-1, Class B | | | | | | | | | |
1.11% | | | 08/15/31 | 2 | | | 1,644,864 | | | | 1,414,005 | |
| SLC Student Loan Trust, Series 2006-1, Class A4 | | | | | | | | | |
0.93% | | | 12/15/21 | 2 | | | 26,341 | | | | 26,291 | |
| SLC Student Loan Trust, Series 2007-1, Class A4 | | | | | | | | | |
0.88% | | | 05/15/29 | 2 | | | 7,316,434 | | | | 6,959,159 | |
| SLM Student Loan Trust, Series 2003-11, Class A5 | | | | | | | | | |
0.90% | | | 12/15/22 | 2,3 | | | 2,808,261 | | | | 2,795,108 | |
| SLM Student Loan Trust, Series 2003-12, Class A5 | | | | | | | | | |
1.13% | | | 09/15/22 | 2,3 | | | 2,923,198 | | | | 2,915,937 | |
| SLM Student Loan Trust, Series 2004-1, Class A3 | | | | | | | | | |
0.92% | | | 04/25/23 | 2 | | | 68,132 | | | | 67,907 | |
| SLM Student Loan Trust, Series 2004-10, Class A6B | | | | | | | | | |
1.26% | | | 04/27/26 | 2,3 | | | 17,630,000 | | | | 17,514,450 | |
| SLM Student Loan Trust, Series 2004-2, Class B | | | | | | | | | |
1.18% | | | 07/25/39 | 2 | | | 1,971,045 | | | | 1,705,151 | |
| SLM Student Loan Trust, Series 2004-5A, Class A5 | | | | | | | | | |
1.31% | | | 10/25/23 | 2,3 | | | 3,462,220 | | | | 3,449,755 | |
| SLM Student Loan Trust, Series 2004-7, Class A5 | | | | | | | | | |
0.88% | | | 01/27/20 | 2 | | | 242,714 | | | | 242,592 | |
| SLM Student Loan Trust, Series 2004-8, Class B | | | | | | | | | |
1.17% | | | 01/25/40 | 2 | | | 727,208 | | | | 632,619 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| 23 / Semi-Annual Report September 2016 |
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | | | | | |
SLM Student Loan Trust,
Series 2005-10, Class A4 | | | | | | | | | |
0.82% | | | 10/25/19 | 2 | | $ | 2,000,316 | | | $ | 1,996,772 | |
SLM Student Loan Trust,
Series 2005-4, Class B | | | | | | | | | |
0.89% | | | 07/25/40 | 2 | | | 2,457,497 | | | | 2,083,597 | |
SLM Student Loan Trust,
Series 2005-5, Class A3 | | | | | | | | | |
0.81% | | | 04/25/25 | 2 | | | 306,267 | | | | 304,380 | |
SLM Student Loan Trust,
Series 2005-8, Class A3 | | | | | | | | | |
0.82% | | | 10/25/24 | 2 | | | 16,942 | | | | 16,938 | |
SLM Student Loan Trust,
Series 2006-2, Class A6 | | | | | | | | | |
0.88% | | | 01/25/41 | 2 | | | 6,000,000 | | | | 5,455,575 | |
SLM Student Loan Trust,
Series 2006-4, Class A5 | | | | | | | | | |
0.81% | | | 10/27/25 | 2 | | | 2,208,467 | | | | 2,204,723 | |
SLM Student Loan Trust,
Series 2006-8, Class A6 | | | | | | | | | |
0.87% | | | 01/25/41 | 2 | | | 6,000,000 | | | | 5,334,805 | |
SLM Student Loan Trust,
Series 2007-6, Class B | | | | | | | | | |
1.56% | | | 04/27/43 | 2 | | | 869,667 | | | | 762,332 | |
SLM Student Loan Trust,
Series 2008-2, Class B | | | | | | | | | |
1.91% | | | 01/25/29 | 2 | | | 1,095,000 | | | | 955,650 | |
SLM Student Loan Trust,
Series 2008-3, Class B | | | | | | | | | |
1.91% | | | 04/25/29 | 2 | | | 1,095,000 | | | | 927,566 | |
SLM Student Loan Trust,
Series 2008-4, Class B | | | | | | | | | |
2.56% | | | 04/25/29 | 2 | | | 1,095,000 | | | | 1,015,839 | |
SLM Student Loan Trust,
Series 2008-5, Class B | | | | | | | | | |
2.56% | | | 07/25/29 | 2 | | | 1,095,000 | | | | 1,020,480 | |
SLM Student Loan Trust,
Series 2008-6, Class B | | | | | | | | | |
2.56% | | | 07/25/29 | 2 | | | 1,095,000 | | | | 1,022,591 | |
SLM Student Loan Trust,
Series 2008-7, Class B | | | | | | | | | |
2.56% | | | 07/25/29 | 2 | | | 1,095,000 | | | | 1,013,354 | |
SLM Student Loan Trust,
Series 2008-8, Class B | | | | | | | | | |
2.96% | | | 10/25/29 | 2 | | | 1,095,000 | | | | 1,051,057 | |
SLM Student Loan Trust,
Series 2008-9, Class A | | | | | | | | | |
2.21% | | | 04/25/23 | 2 | | | 12,309,798 | | | | 12,348,815 | |
SLM Student Loan Trust,
Series 2008-9, Class B | | | | | | | | | |
2.96% | | | 10/25/29 | 2 | | | 1,095,000 | | | | 1,061,339 | |
SLM Student Loan Trust,
Series 2011-1, Class A1 | | | | | | | | | |
1.05% | | | 03/25/26 | 2 | | | 346,223 | | | | 344,824 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | | | | | |
| SLM Student Loan Trust, Series 2012-1, Class A2 | | | | | | | | | |
0.98% | | | 11/25/20 | 2 | | $ | 779,648 | | | $ | 779,227 | |
| SLM Student Loan Trust, Series 2012-5, Class A2 | | | | | | | | | |
0.83% | | | 06/25/19 | 2 | | | 802,581 | | | | 797,424 | |
| SLM Student Loan Trust, Series 2012-6, Class A2 | | | | | | | | | |
0.81% | | | 09/25/19 | 2 | | | 296,741 | | | | 296,622 | |
| SLM Student Loan Trust, Series 2012-7, Class A2 | | | | | | | | | |
0.81% | | | 09/25/19 | 2 | | | 7,531,120 | | | | 7,502,745 | |
| SLM Student Loan Trust, Series 2012-7, Class A3 | | | | | | | | | |
1.18% | | | 05/26/26 | 2 | | | 4,410,000 | | | | 4,276,982 | |
| SLM Student Loan Trust, Series 2013-1, Class A2 | | | | | | | | | |
0.78% | | | 09/25/19 | 2 | | | 514,370 | | | | 512,562 | |
| SLM Student Loan Trust, Series 2013-3, Class A2 | | | | | | | | | |
0.83% | | | 05/26/20 | 2 | | | 4,045,985 | | | | 4,040,659 | |
| SLM Student Loan Trust, Series 2013-4, Class A | | | | | | | | | |
1.08% | | | 06/25/27 | 2 | | | 5,422,560 | | | | 5,239,303 | |
| SLM Student Loan Trust, Series 2013-5, Class A2 | | | | | | | | | |
0.93% | | | 10/26/20 | 2 | | | 3,820,630 | | | | 3,807,341 | |
| SLM Student Loan Trust, Series 2013-6, Class A2 | | | | | | | | | |
1.03% | | | 02/25/21 | 2 | | | 4,813,687 | | | | 4,808,174 | |
| SLM Student Loan Trust, Series 2014-1, Class A3 | | | | | | | | | |
1.13% | | | 02/26/29 | 2 | | | 6,865,000 | | | | 6,557,552 | |
| SLM Student Loan Trust, Series 2014-2, Class A2 | | | | | | | | | |
0.88% | | | 10/25/21 | 2 | | | 3,537,104 | | | | 3,521,455 | |
| Spirit Master Funding LLC, Series 2014-1A, Class A1 | | | | | | | | | |
5.05% | | | 07/20/40 | 3 | | | 2,439,708 | | | | 2,505,126 | |
| | | | | | | | | | | | |
| |
| Total Asset-Backed Securities | | | | | |
| (Cost $241,623,625) | | | | | | | | 239,710,759 | |
| | | | | | | | | | | | |
| | |
BANK LOANS — 0.30%* | | | | | | | | | |
Communications — 0.06% | | | | | | | | | |
| Level 3 Financing, Inc., Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 2.75% | | | 05/31/22 | 2 | | | 2,000,000 | | | | 2,013,930 | |
| | | | | | | | | | | | |
| | |
Electric — 0.06% | | | | | | | | | |
| Chief Power Finance LLC, Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 4.75% | | | 12/31/20 | 2,5 | | | 2,456,250 | | | | 2,022,304 | |
| | | | | | | | | | | | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| Semi-Annual Report September 2016 / 24 |
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BANK LOANS (continued) | |
Finance — 0.15% | |
| Delos Finance SARL, Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 2.75% | | | 02/27/21 | 2 | | $ | 4,896,507 | | | $ | 4,937,319 | |
| | | | | | | | | | | | |
Services — 0.03% | | | | | |
| AABS Ltd., Term Loan, Series 2013-1, Class A (STEP) (Bermuda) | | | | | | | | | |
4.72% | | | 01/15/38 | 2,4,† | | | 955,458 | | | | 936,352 | |
| | | | | | | | | | | | |
| Total Bank Loans | | | | | | | | | | | | |
| (Cost $10,271,653) | | | | | | | | 9,909,905 | |
| | | | | | | | | | | | |
|
CORPORATES — 18.43%* | |
Banking — 3.61% | |
| Bank of America Corp. | | | | | | | | | |
5.75% | | | 12/01/17 | | | | 10,000,000 | | | | 10,480,380 | |
7.63% | | | 06/01/19 | | | | 4,370,000 | | | | 5,018,123 | |
| Bank of America Corp. (MTN) | | | | | | | | | |
5.65% | | | 05/01/18 | | | | 300,000 | | | | 318,751 | |
6.88% | | | 04/25/18 | | | | 9,885,000 | | | | 10,665,599 | |
8.68% | | | 05/02/17 | 2 | | | 30,000 | | | | 28,239 | |
8.95% | | | 05/18/17 | 2 | | | 30,000 | | | | 28,239 | |
9.57% | | | 06/06/17 | 2 | | | 5,184,000 | | | | 4,911,840 | |
| Bank of America N.A. (BKNT) | | | | | | | | | |
1.15% | | | 06/15/17 | 2 | | | 2,500,000 | | | | 2,499,110 | |
5.30% | | | 03/15/17 | | | | 3,850,000 | | | | 3,917,737 | |
6.10% | | | 06/15/17 | | | | 7,100,000 | | | | 7,332,004 | |
| Capital One Bank USA N.A. (BKNT) | | | | | | | | | |
2.15% | | | 11/21/18 | | | | 4,295,000 | | | | 4,347,432 | |
| Capital One N.A. | | | | | | | | | |
2.35% | | | 08/17/18 | | | | 550,000 | | | | 557,163 | |
| Discover Bank (BKNT) | | | | | | | | | |
3.10% | | | 06/04/20 | | | | 4,000,000 | | | | 4,121,052 | |
| HBOS PLC (GMTN) (United Kingdom) | | | | | | | | | |
6.75% | | | 05/21/18 | 3,4 | | | 6,220,000 | | | | 6,650,122 | |
| JPMorgan Chase Bank N.A. (BKNT) | | | | | | | | | |
6.00% | | | 10/01/17 | | | | 17,700,000 | | | | 18,462,357 | |
| Royal Bank of Scotland PLC (United Kingdom) | | | | | | | | | |
6.40% | | | 10/21/19 | 4 | | | 3,000,000 | | | | 3,317,943 | |
| Santander UK Group Holdings PLC (United Kingdom) | | | | | | | | | |
2.88% | | | 08/05/21 | 4 | | | 13,000,000 | | | | 13,034,249 | |
| UBS AG/Stamford CT (GMTN) (Switzerland) | | | | | | | | | |
1.56% | | | 03/26/18 | 2,4 | | | 8,000,000 | | | | 8,018,292 | |
| UBS AG/Stamford CT (Switzerland) | | | | | | | | | |
1.40% | | | 06/01/17 | 2,4 | | | 5,000,000 | | | | 5,004,300 | |
| Wells Fargo Bank N.A. (BKNT) | | | | | | | | | |
1.65% | | | 01/22/18 | | | | 8,420,000 | | | | 8,446,565 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 117,159,497 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Communications — 1.02% | | | | | | | | | |
| AT&T, Inc. | | | | | | | | | | | | |
1.77% | | | 06/30/20 | 2 | | $ | 11,000,000 | | | $ | 11,101,112 | |
3.60% | | | 02/17/23 | | | | 3,700,000 | | | | 3,902,051 | |
| Charter Communications Operating LLC/Charter Communications Operating Capital | | | | | | | | | |
4.46% | | | 07/23/22 | 3 | | | 3,415,000 | | | | 3,680,873 | |
| DISH DBS Corp. | | | | | | | | | |
4.25% | | | 04/01/18 | | | | 800,000 | | | | 824,000 | |
| Verizon Communications, Inc. | | | | | | | | | |
1.23% | | | 06/09/17 | 2 | | | 4,585,000 | | | | 4,592,125 | |
| 1.63% | | | 06/17/19 | 2 | | | 5,750,000 | | | | 5,808,708 | |
2.61% | | | 09/14/18 | 2 | | | 2,950,000 | | | | 3,028,795 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 32,937,664 | |
| | | | | | | | | | | | |
Consumer Discretionary — 0.34% | |
| Anheuser-Busch InBev Finance, Inc. | | | | | | | | | |
1.90% | | | 02/01/19 | | | | 10,945,000 | | | | 11,049,481 | |
| | | | | | | | | | | | |
Electric — 1.39% | | | | | |
| FirstEnergy Corp., Series A | | | | | | | | | |
2.75% | | | 03/15/18 | | | | 6,000,000 | | | | 6,071,157 | |
| FPL Energy National Wind Portfolio LLC | | | | | | | | | |
6.13% | | | 03/25/19 | 3 | | | 4,449 | | | | 4,471 | |
| Homer City Generation LP (PIK) | | | | | | | | | |
8.14% | | | 10/01/19 | 5,6 | | | 6,078,660 | | | | 2,279,497 | |
| IPALCO Enterprises, Inc. | | | | | | | | | |
5.00% | | | 05/01/18 | | | | 3,426,000 | | | | 3,593,016 | |
| Jersey Central Power & Light Co. | | | | | | | | | |
4.80% | | | 06/15/18 | | | | 1,500,000 | | | | 1,563,062 | |
7.35% | | | 02/01/19 | | | | 505,000 | | | | 563,404 | |
| NextEra Energy Capital Holdings, Inc., Series F | | | | | | | | | |
2.06% | | | 09/01/17 | | | | 6,285,000 | | | | 6,320,190 | |
| Oncor Electric Delivery Co. LLC | | | | | | | | | |
6.80% | | | 09/01/18 | | | | 14,109,000 | | | | 15,521,473 | |
| Public Service Co. of New Mexico | | | | | | | | | |
7.95% | | | 05/15/18 | | | | 4,352,000 | | | | 4,801,475 | |
| Southern Co. (The) | | | | | | | | | |
1.30% | | | 08/15/17 | | | | 2,410,000 | | | | 2,412,193 | |
| W3A Funding Corp. | | | | | | | | | |
8.09% | | | 01/02/17 | | | | 2,055,748 | | | | 2,055,852 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 45,185,790 | |
| | | | | | | | | | | | |
Energy — 0.89% | | | | | |
| Boardwalk Pipelines LP | | | | | | | | | |
5.50% | | | 02/01/17 | | | | 3,300,000 | | | | 3,329,485 | |
5.88% | | | 11/15/16 | | | | 4,000,000 | | | | 4,018,656 | |
| Columbia Pipeline Group, Inc. | | | | | | | | | |
2.45% | | | 06/01/18 | | | | 1,936,000 | | | | 1,948,313 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| 25 / Semi-Annual Report September 2016 |
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Energy (continued) | |
| Energy Transfer Partners LP | | | | | | | | | |
2.50% | | | 06/15/18 | | | $ | 6,000,000 | | | $ | 6,041,754 | |
3.77% | | | 11/01/66 | 2 | | | 3,746,000 | | | | 2,547,280 | |
| Florida Gas Transmission Co. LLC | | | | | | | | | |
7.90% | | | 05/15/19 | 3 | | | 3,320,000 | | | | 3,768,505 | |
| Panhandle Eastern Pipeline Co. LP | | | | | | | | | |
8.13% | | | 06/01/19 | | | | 1,000,000 | | | | 1,121,737 | |
| Rockies Express Pipeline LLC | | | | | | | | | |
6.00% | | | 01/15/19 | 3 | | | 1,500,000 | | | | 1,582,500 | |
| Sabine Pass LNG LP | | | | | | | | | |
7.50% | | | 11/30/16 | 3 | | | 2,875,000 | | | | 2,891,172 | |
7.50% | | | 11/30/16 | | | | 1,500,000 | | | | 1,508,438 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 28,757,840 | |
| | | | | | | | | | | | |
Finance — 4.13% | | | | | | | | | |
| American Express Co. | | | | | | | | | |
7.00% | | | 03/19/18 | | | | 5,450,000 | | | | 5,883,370 | |
| Chase Capital II, Series B | | | | | | | | | |
1.26% | | | 02/01/27 | 2 | | | 2,398,000 | | | | 2,134,220 | |
| Chase Capital VI | | | | | | | | | |
1.38% | | | 08/01/28 | 2 | | | 1,000,000 | | | | 882,500 | |
| CIT Group, Inc. | | | | | | | | | |
5.00% | | | 05/15/17 | | | | 3,150,000 | | | | 3,220,875 | |
| Citigroup, Inc. | | | | | | | | | |
2.50% | | | 09/26/18 | | | | 10,000,000 | | | | 10,159,945 | |
6.13% | | | 11/21/17 | | | | 3,000,000 | | | | 3,155,164 | |
| Ford Motor Credit Co. LLC | | | | | | | | | |
1.36% | | | 09/08/17 | 2 | | | 1,440,000 | | | | 1,440,672 | |
1.81% | | | 01/09/18 | 2 | | | 8,000,000 | | | | 8,021,920 | |
8.00% | | | 12/15/16 | | | | 1,325,000 | | | | 1,343,536 | |
| General Electric Corp. (MTN) | | | | | | | | | |
1.16% | | | 05/05/26 | 2 | | | 5,680,000 | | | | 5,617,890 | |
| General Motors Financial Co., Inc. | | | | | | | | | |
3.00% | | | 09/25/17 | | | | 11,000,000 | | | | 11,143,731 | |
| Goldman Sachs Group, Inc. (GMTN) (The) | | | | | | | | | |
2.38% | | | 01/22/18 | | | | 1,000,000 | | | | 1,011,083 | |
7.50% | | | 02/15/19 | | | | 1,195,000 | | | | 1,351,409 | |
| Goldman Sachs Group, Inc. (The) | | | | | | | | | |
1.48% | | | 05/22/17 | 2 | | | 3,000,000 | | | | 3,005,490 | |
1.73% | | | 10/23/19 | 2 | | | 5,000,000 | | | | 5,019,043 | |
2.88% | | | 02/25/21 | | | | 5,000,000 | | | | 5,134,135 | |
5.95% | | | 01/18/18 | | | | 4,625,000 | | | | 4,881,063 | |
6.15% | | | 04/01/18 | | | | 3,500,000 | | | | 3,729,225 | |
| International Lease Finance Corp. | | | | | | | | | |
7.13% | | | 09/01/18 | 3 | | | 3,816,000 | | | | 4,171,365 | |
| JPMorgan Chase Capital XIII, Series M | | | | | | | | | |
1.79% | | | 09/30/34 | 2 | | | 2,465,000 | | | | 2,034,224 | |
| JPMorgan Chase Capital XXI, Series U | | | | | | | | | |
1.71% | | | 02/02/37 | 2 | | | 3,850,000 | | | | 3,102,149 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Finance (continued) | |
| JPMorgan Chase Capital XXIII | | | | | | | | | |
1.82% | | | 05/15/47 | 2 | | $ | 7,950,000 | | | $ | 6,101,625 | |
| Morgan Stanley | | | | | | | | | |
1.60% | | | 01/05/18 | 2 | | | 6,000,000 | | | | 6,010,968 | |
| Morgan Stanley (GMTN) | | | | | | | | | |
5.50% | | | 01/26/20 | | | | 2,805,000 | | | | 3,111,927 | |
5.50% | | | 07/24/20 | | | | 4,550,000 | | | | 5,103,303 | |
6.63% | | | 04/01/18 | | | | 8,000,000 | | | | 8,574,904 | |
| Morgan Stanley (MTN) | | | | | | | | | |
5.63% | | | 09/23/19 | | | | 2,000,000 | | | | 2,217,262 | |
| Protective Life Global Funding | | | | | | | | | |
1.72% | | | 04/15/19 | 3 | | | 8,245,000 | | | | 8,273,874 | |
| SL Green Realty Corp. | | | | | | | | | |
5.00% | | | 08/15/18 | | | | 8,000,000 | | | | 8,357,792 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 134,194,664 | |
| | | | | | | | | | | | |
Health Care — 2.66% | | | | | | | | | |
| AbbVie, Inc. | | | | | | | | | |
1.75% | | | 05/06/16 | | | | 4,674,000 | | | | 4,689,377 | |
1.80% | | | 05/14/18 | | | | 2,230,000 | | | | 2,239,995 | |
2.30% | | | 05/14/21 | | | | 8,530,000 | | | | 8,613,287 | |
| Actavis Funding SCS (Luxembourg) | | | | | | | | | |
2.35% | | | 03/12/18 | 4 | | | 5,875,000 | | | | 5,937,669 | |
3.00% | | | 03/12/20 | 4 | | | 4,825,000 | | | | 4,986,145 | |
3.45% | | | 03/15/22 | 4 | | | 4,000,000 | | | | 4,204,420 | |
| Aetna, Inc. | | | | | | | | | |
1.50% | | | 11/15/17 | | | | 4,195,000 | | | | 4,196,485 | |
| Amgen, Inc. | | | | | | | | | |
3.63% | | | 05/15/22 | | | | 3,400,000 | | | | 3,654,447 | |
| Baxalta, Inc. | | | | | | | | | |
2.00% | | | 06/22/18 | | | | 3,425,000 | | | | 3,439,750 | |
| Catholic Health Initiatives | | | | | | | | | |
2.60% | | | 08/01/18 | | | | 13,000,000 | | | | 13,222,235 | |
| Celgene Corp. | | | | | | | | | |
2.88% | | | 08/15/20 | | | | 5,000,000 | | | | 5,177,140 | |
| Express Scripts Holding Co. | | | | | | | | | |
1.25% | | | 06/02/17 | | | | 3,820,000 | | | | 3,821,904 | |
| HCA, Inc. | | | | | | | | | |
3.75% | | | 03/15/19 | | | | 1,000,000 | | | | 1,037,550 | |
| Providence Health & Services Obligated Group | | | | | | | | | |
1.45% | | | 10/01/16 | 2 | | | 2,750,000 | | | | 2,749,995 | |
1.80% | | | 10/01/17 | 2 | | | 11,940,000 | | | | 11,968,290 | |
| Shire Acquisitions Investments Ireland DAC (Ireland) | | | | | | | | | |
1.90% | | | 09/23/19 | 4 | | | 4,865,000 | | | | 4,865,992 | |
| Tenet Healthcare Corp. | | | | | | | | | |
4.35% | | | 06/15/20 | 2 | | | 1,600,000 | | | | 1,616,160 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 86,420,841 | |
| | | | | | | | | | | | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| Semi-Annual Report September 2016 / 26 |
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Industrials — 0.31% | |
| Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (Ireland) | | | | | | | | | |
3.85% | | | 12/15/19 | 2,3,4 | | $ | 2,150,000 | | | $ | 2,185,045 | |
| Metropolitan Life Global Funding I | | | | | | | | | |
1.35% | | | 09/14/18 | 3 | | | 8,000,000 | | | | 7,995,182 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 10,180,227 | |
| | | | | | | | | | | | |
Information Technology — 0.10% | |
| Apple, Inc. | | | | | | | | | | | | |
1.70% | | | 02/22/19 | | | | 3,255,000 | | | | 3,293,456 | |
| | | | | | | | | | | | |
Insurance — 0.56% | | | | | |
| Metropolitan Life Global Funding I | | | | | | | | | |
1.88% | | | 06/22/18 | 3 | | | 7,500,000 | | | | 7,567,151 | |
| Nationwide Mutual Insurance Co. | | | | | | | | | |
3.14% | | | 12/15/24 | 2,3 | | | 3,550,000 | | | | 3,479,000 | |
| New York Life Global Funding | | | | | | | | | |
1.13% | | | 03/01/17 | 3 | | | 7,000,000 | | | | 7,004,137 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 18,050,288 | |
| | | | | | | | | | | | |
Real Estate Investment Trust (REIT) — 2.04% | |
| Alexandria Real Estate Equities, Inc. | | | | | | | | | |
2.75% | | | 01/15/20 | | | | 8,800,000 | | | | 8,939,911 | |
| Boston Properties LP | | | | | | | | | |
5.63% | | | 11/15/20 | | | | 2,260,000 | | | | 2,571,228 | |
| Essex Portfolio LP | | | | | | | | | |
5.50% | | | 03/15/17 | | | | 6,820,000 | | | | 6,938,648 | |
| HCP, Inc. | | | | | | | | | |
6.00% | | | 01/30/17 | | | | 15,731,000 | | | | 15,957,275 | |
| Highwoods Realty LP | | | | | | | | | |
5.85% | | | 03/15/17 | | | | 830,000 | | | | 845,010 | |
| Ventas Realty LP/Ventas Capital Corp. | | | | | | | | | |
2.00% | | | 02/15/18 | | | | 4,935,000 | | | | 4,966,209 | |
| WEA Finance LLC/Westfield UK & Europe Finance PLC | | | | | | | | | |
1.75% | | | 09/15/17 | 3 | | | 16,500,000 | | | | 16,534,604 | |
| Welltower, Inc. | | | | | | | | | |
2.25% | | | 03/15/18 | | | | 3,000,000 | | | | 3,027,156 | |
4.70% | | | 09/15/17 | | | | 6,291,000 | | | | 6,480,164 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 66,260,205 | |
| | | | | | | | | | | | |
Retail — 0.53% | |
| Walgreens Boots Alliance, Inc. | | | | | | | | | |
1.75% | | | 05/30/18 | | | | 17,060,000 | | | | 17,154,864 | |
| | | | | | | | | | | | |
Transportation — 0.85% | |
| American Airlines Pass-Through Trust, Series 2011-1, Class A | | | | | | | | | |
5.25% | | | 01/31/21 | | | | 1,185,925 | | | | 1,292,065 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Transportation (continued) | |
| American Airlines Pass-Through Trust, Series 2013-2, Class A | | | | | | | | | |
4.95% | | | 01/15/23 | | | $ | 9,809,124 | | | $ | 10,704,207 | |
| Continental Airlines Pass-Through Trust, Series 1997, Class 4A | | | | | | | | | |
6.90% | | | 01/02/18 | | | | 29,122 | | | | 29,614 | |
| Continental Airlines Pass-Through Trust, Series 1999-1, Class A | | | | | | | | | |
6.55% | | | 08/02/20 | | | | 2,881,377 | | | | 3,059,590 | |
| Continental Airlines Pass-Through Trust, Series 2000-2, Class A1 | | | | | | | | | |
7.71% | | | 10/02/22 | | | | 1,759,209 | | | | 1,916,988 | |
| JetBlue Airways Pass-Through Trust, Series 2004-2, Class G2 | | | | | | | | | |
1.27% | | | 11/15/16 | 2 | | | 7,725,000 | | | | 7,697,190 | |
| UAL Pass-Through Trust, Series 2009-1, Class 1 | | | | | | | | | |
10.40% | | | 11/01/16 | | | | 1,642,325 | | | | 1,654,642 | |
| UAL Pass-Through Trust, Series 2009-2A, Class 2 | | | | | | | | | |
9.75% | | | 01/15/17 | | | | 1,340,929 | | | | 1,376,061 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 27,730,357 | |
| | | | | | | | | | | | |
| Total Corporates | | | | | | | | | |
| (Cost $594,819,887) | | | | | | | | 598,375,174 | |
| | | | | | | | | | | | |
MORTGAGE-BACKED — 33.23%** | |
Commercial Mortgage-Backed — 1.84% | |
| Banc of America Merrill Lynch Commercial Mortgage Trust, Series 2006-6, Class A4 | | | | | | | | | |
5.36% | | | 10/10/45 | | | | 1,101,488 | | | | 1,100,645 | |
| Banc of America Re-REMIC Trust, Series 2010-UB5, Class A4A | | | | | | | | | |
5.68% | | | 02/17/51 | 2,3 | | | 280,602 | | | | 282,738 | |
| Citigroup Commercial Mortgage Trust, Series 2012-GC8, Class XA (IO) | | | | | | | | | |
2.31% | | | 09/10/45 | 2,3,5 | | | 24,395,365 | | | | 1,681,068 | |
| Commercial Mortgage Trust, Series 2012-CR4, Class A2 | | | | | | | | | |
1.80% | | | 10/15/45 | | | | 8,580,000 | | | | 8,604,933 | |
| DBUBS Mortgage Trust, Series 2011-LC1A, Class A1 | | | | | | | | | |
3.74% | | | 11/10/46 | 3 | | | 234,323 | | | | 236,178 | |
| GE Business Loan Trust, Series 2006-2A, Class A | | | | | | | | | |
0.51% | | | 11/15/34 | 2,3 | | | 3,741,238 | | | | 3,472,473 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2006-LDP9, Class A3S | | | | | | | | | |
5.24% | | | 05/15/47 | 3 | | | 1,332,989 | | | | 1,331,802 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2006-LDP9, Class A3SF | | | | | | | | | |
0.68% | | | 05/15/47 | 2 | | | 7,211,073 | | | | 7,188,855 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| 27 / Semi-Annual Report September 2016 |
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Commercial Mortgage-Backed (continued) | |
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-CB20, Class ASB | | | | | | | | | |
5.69% | | | 02/12/51 | | | $ | 301,022 | | | $ | 302,432 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2011-C3, Class A2 | | | | | | | | | |
3.67% | | | 02/15/46 | 3 | | | 34,758 | | | | 34,745 | |
| Morgan Stanley Capital I Trust, Series 2007-IQ14, Class A4 | | | | | | | | | |
5.69% | | | 04/15/49 | 2 | | | 6,000,000 | | | | 6,054,600 | |
| Wachovia Bank Commercial Mortgage Trust, Series 2007-C31, Class A4 | | | | | | | | | |
5.51% | | | 04/15/47 | | | | 10,841,425 | | | | 10,940,825 | |
| Wachovia Bank Commercial Mortgage Trust, Series 2007-C32, Class A3 | | | | | | | | | |
5.89% | | | 06/15/49 | 2 | | | 18,000,000 | | | | 18,298,964 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 59,530,258 | |
| | | | | | | | | | | | |
Non-Agency Mortgage-Backed — 16.11% | |
| Accredited Mortgage Loan Trust, Series 2007-1, Class A4 | | | | | | | | | |
0.75% | | | 02/25/37 | 2 | | | 12,000,000 | | | | 10,180,832 | |
| ACE Securities Corp. Home Equity Loan Trust, Series 2006-NC1, Class A1 | | | | | | | | | |
0.75% | | | 12/25/35 | 2 | | | 8,302,893 | | | | 8,245,013 | |
| ACE Securities Corp., Series 2005-HE6, Class A1 | | | | | | | | | |
0.79% | | | 10/25/35 | 2 | | | 1,769,291 | | | | 1,769,288 | |
| Aegis Asset-Backed Securities Trust, Series 2005-5, Class 2A | | | | | | | | | |
0.78% | | | 12/25/35 | 2 | | | 10,034,714 | | | | 9,892,624 | |
| Ameriquest Mortgage Securities, Inc., Series 2005-R5, Class M1 | | | | | | | | | |
0.96% | | | 07/25/35 | 2 | | | 405,442 | | | | 406,457 | |
| Ameriquest Mortgage Securities, Inc., Series 2006-R2, Class A1 | | | | | | | | | |
0.70% | | | 04/25/36 | 2 | | | 12,167,883 | | | | 12,127,226 | |
| Amresco Residential Securities Mortgage Loan Trust, Series 1998-1, Class A5 (STEP) | | | | | | | | | |
7.48% | | | 10/25/27 | | | | 17,887 | | | | 18,786 | |
| Argent Securities, Inc., Series 2005-W2, Class A1 | | | | | | | | | |
0.79% | | | 10/25/35 | 2 | | | 11,898,134 | | | | 11,758,925 | |
| Banc of America Alternative Loan Trust, Series 2003-8, Class 1CB1 | | | | | | | | | |
5.50% | | | 10/25/33 | | | | 13,498,867 | | | | 13,951,146 | |
| Banc of America Funding Trust, Series 2015-R2, Class 9A1 | | | | | | | | | |
0.74% | | | 03/25/37 | 2,3 | | | 10,582,589 | | | | 10,278,324 | |
| Banc of America Funding Trust, Series 2015-R3, Class 8A1 | | | | | | | | | |
0.68% | | | 06/28/36 | 2,3 | | | 7,604,305 | | | | 7,328,859 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | |
| Banc of America Funding Trust, Series 2015-R4, Class 3A1 | | | | | | | | | |
0.67% | | | 07/25/36 | 2,3 | | $ | 10,724,402 | | | $ | 10,044,809 | |
| BCAP LLC Trust, Series 2007-AA1, Class 1A2 | | | | | | | | | |
0.69% | | | 02/25/47 | 2 | | | 2,359,669 | | | | 2,278,459 | |
| BCAP LLC Trust, Series 2008-IND2, Class A1 | | | | | | | | | |
2.18% | | | 04/25/38 | 2 | | | 13,467,637 | | | | 13,310,292 | |
| BCAP LLC Trust, Series 2012-R11, Class 11A1 | | | | | | | | | |
3.00% | | | 09/26/36 | 2,3 | | | 3,896,630 | | | | 3,877,146 | |
| BCAP LLC Trust, Series 2012-RR11, Class 1A1 | | | | | | | | | |
0.69% | | | 01/26/37 | 2,3 | | | 6,704,417 | | | | 6,657,901 | |
| BCAP LLC Trust, Series 2013-RR2, Class 5A1 | | | | | | | | | |
3.03% | | | 03/26/36 | 2,3 | | | 3,067,770 | | | | 3,081,165 | |
| BCAP LLC Trust, Series 2013-RR5, Class 2A1 | | | | | | | | | |
2.46% | | | 03/26/37 | 2,3 | | | 10,147,117 | | | | 10,142,611 | |
| Bear Stearns ARM Trust, Series 2004-3, Class 4A | | | | | | | | | |
3.28% | | | 07/25/34 | 2 | | | 4,499,300 | | | | 4,459,844 | |
| Bear Stearns ARM Trust, Series 2005-2, Class A1 | | | | | | | | | |
2.92% | | | 03/25/35 | 2 | | | 3,990,884 | | | | 4,015,950 | |
| Bear Stearns Asset-Backed Securities Trust, Series 2004-BO1, Class M3 | | | | | | | | | |
1.58% | | | 10/25/34 | 2 | | | 7,492,000 | | | | 7,485,643 | |
| Bear Stearns Asset-Backed Securities Trust, Series 2005-SD1, Class 1A3 | | | | | | | | | |
0.93% | | | 08/25/43 | 2 | | | 407,030 | | | | 403,719 | |
| Chase Funding Trust, Series 2002-2, Class 2M1 | | | | | | | | | |
1.43% | | | 02/25/32 | 2 | | | 257,026 | | | | 249,897 | |
| Chase Funding Trust, Series 2007-A1, Class 8A1 | | | | | | | | | |
3.02% | | | 02/25/37 | 2 | | | 15,215,725 | | | | 15,401,427 | |
| Chase Funding Trust, Series 2007-A2, Class 2A3 | | | | | | | | | |
2.97% | | | 07/25/37 | 2 | | | 2,976,356 | | | | 3,006,788 | |
| Chevy Chase Mortgage Funding Corp., Series 2005-2A, Class A1 | | | | | | | | | |
0.70% | | | 05/25/36 | 2,3 | | | 1,439,725 | | | | 1,299,224 | |
| CIM Trust, Series 2015-3AG, Class A1 | | | | | | | | | |
2.27% | | | 10/25/57 | 2,3 | | | 11,319,709 | | | | 11,143,797 | |
| CIM Trust, Series 2015-4AG, Class A1 | | | | | | | | | |
2.52% | | | 10/25/57 | 2,3 | | | 14,360,272 | | | | 14,051,171 | |
| Citigroup Mortgage Loan Trust, Inc., Series 2004-HYB1, Class A41 | | | | | | | | | |
3.26% | | | 02/25/34 | 2 | | | 193,749 | | | | 192,555 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| Semi-Annual Report September 2016 / 28 |
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed
(continued) | |
| Citigroup Mortgage Loan Trust, Inc., Series 2005-HE3, Class M1 | | | | | | | | | |
1.22% | | | 09/25/35 | 2 | | $ | 2,780,388 | | | $ | 2,781,849 | |
| Citigroup Mortgage Loan Trust, Inc., Series 2006-WFH4, Class A3 | | | | | | | | | |
0.68% | | | 11/25/36 | 2 | | | 590,844 | | | | 592,024 | |
| Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH2, Class A3 | | | | | | | | | |
0.71% | | | 03/25/37 | 2 | | | 677,106 | | | | 673,445 | |
| Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH4, Class A2C | | | | | | | | | |
1.83% | | | 07/25/37 | 2 | | | 90,000 | | | | 76,769 | |
| Conseco Finance Securitizations Corp., Series 2001-4, Class A4 | | | | | | | | | |
7.36% | | | 09/01/33 | | | | 2,682,694 | | | | 2,873,870 | |
Conseco Financial Corp.,
Series 1997-2, Class A7 | | | | | | | | | |
7.62% | | | 06/15/28 | 2 | | | 428,021 | | | | 427,967 | |
| Conseco Financial Corp., Series 1997-3, Class A7 | | | | | | | | | |
7.64% | | | 03/15/28 | 2 | | | 477,534 | | | | 497,596 | |
| Conseco Financial Corp., Series 1997-7, Class A9 | | | | | | | | | |
7.37% | | | 07/15/29 | 2 | | | 1,317,861 | | | | 1,344,582 | |
| Conseco Financial Corp., Series 1998-2, Class A5 | | | | | | | | | |
6.24% | | | 12/01/28 | 2 | | | 9,357 | | | | 9,793 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-14, Class 4A1 | | | | | | | | | |
2.98% | | | 08/25/34 | 2 | | | 20,486 | | | | 19,880 | |
| Credit Suisse First Boston Mortgage Securities Corp., Series 2004-AR1, Class 5A1 | | | | | | | | | |
2.75% | | | 02/25/34 | 2 | | | 3,512,891 | | | | 3,508,667 | |
| Credit Suisse Mortgage Trust, Series 2013-7R, Class 5A1 | | | | | | | | | |
0.77% | | | 07/26/36 | 2,3 | | | 2,985,384 | | | | 2,766,076 | |
| Credit Suisse Mortgage Trust, Series 2014-9R, Class 8A1 | | | | | | | | | |
0.68% | | | 10/27/36 | 2,3 | | | 2,700,176 | | | | 2,604,071 | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2005-CB7, Class AF3 (STEP) | | | | | | | | | |
4.03% | | | 11/25/35 | | | | 1,186,553 | | | | 1,217,984 | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB1, Class AF2 (STEP) | | | | | | | | | |
3.39% | | | 01/25/36 | | | | 2,494,889 | | | | 1,854,825 | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB5, Class A1 | | | | | | | | | |
0.58% | | | 04/25/37 | 2 | | | 3,609,352 | | | | 2,565,104 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed
(continued) | |
| DSLA Mortgage Loan Trust, Series 2005-AR2, Class 2A1A | | | | | | | | | |
0.74% | | | 03/19/45 | 2 | | $ | 1,657,852 | | | $ | 1,459,763 | |
| Encore Credit Receivables Trust, Series 2005-2, Class M2 | | | | | | | | | |
1.22% | | | 11/25/35 | 2 | | | 7,592,154 | | | | 7,599,150 | |
| FBR Securitization Trust, Series 2005-02, Class M1 | | | | | | | | | |
1.24% | | | 09/25/35 | 2 | | | 10,934,892 | | | | 10,876,538 | |
| First Horizon Alternative Mortgage Securities Trust, Series 2004-AA3, Class A1 | | | | | | | | | |
2.78% | | | 09/25/34 | 2 | | | 14,688 | | | | 14,332 | |
| First Horizon Mortgage Pass-Through Trust, Series 2004-AR7, Class 2A2 | | | | | | | | | |
2.71% | | | 02/25/35 | 2 | | | 1,750,499 | | | | 1,746,452 | |
| GE Business Loan Trust, Series 2007-1A, Class A | | | | | | | | | |
0.69% | | | 04/16/35 | 2,3 | | | 2,242,560 | | | | 2,082,960 | |
| GMACM Home Equity Loan Trust, Series 2000-HE2, Class A1 | | | | | | | | | |
0.97% | | | 06/25/30 | 2 | | | 305,642 | | | | 299,346 | |
| GSAA Home Equity Trust, Series 2005-9, Class 1A1 | | | | | | | | | |
0.81% | | | 08/25/35 | 2 | | | 3,252,051 | | | | 3,133,327 | |
| GSAMP Trust, Series 2005-HE4, Class M1 | | | | | | | | | |
0.98% | | | 07/25/45 | 2 | | | 566,349 | | | | 567,125 | |
| GSR Mortgage Loan Trust, Series 2005-AR7, Class 2A1 | | | | | | | | | |
3.07% | | | 11/25/35 | 2 | | | 1,205,873 | | | | 1,166,226 | |
| GSR Mortgage Loan Trust, Series 2006-OA1, Class 2A1 | | | | | | | | | |
0.72% | | | 08/25/46 | 2 | | | 2,520,315 | | | | 2,479,712 | |
| Home Equity Asset Trust, Series 2006-4, Class 2A3 | | | | | | | | | |
0.70% | | | 08/25/36 | 2 | | | 4,015,328 | | | | 4,007,484 | |
| HSBC Home Equity Loan Trust, Series 2007-1, Class AS | | | | | | | | | |
0.73% | | | 03/20/36 | 2 | | | 2,997,349 | | | | 2,996,027 | |
| Impac CMB Trust, Series 2005-5, Class A1 | | | | | | | | | |
1.17% | | | 08/25/35 | 2 | | | 2,737,673 | | | | 2,420,018 | |
| IndyMac Index Mortgage Loan Trust, Series 2004-AR12, Class A1 | | | | | | | | | |
1.31% | | | 12/25/34 | 2 | | | 374,701 | | | | 316,085 | |
| IndyMac Index Mortgage Loan Trust, Series 2004-AR8, Class 2A2A | | | | | | | | | |
1.33% | | | 11/25/34 | 2 | | | 1,239,027 | | | | 1,051,795 | |
| IndyMac Manufactured Housing Contract, Series 1998-1, Class A4 | | | | | | | | | |
6.49% | | | 09/25/28 | | | | 679,507 | | | | 704,136 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| 29 / Semi-Annual Report September 2016 |
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed
(continued) | | | | | |
| JPMorgan Mortgage Acquisition Corp., Series 2005-FRE1, Class A2F3 (STEP) | | | | | | | | | |
3.30% | | | 10/25/35 | | | $ | 2,313,764 | | | $ | 2,235,861 | |
| JPMorgan Mortgage Acquisition Trust, Series 2007-HE1, Class AV4 | | | | | | | | | |
0.81% | | | 03/25/47 | 2 | | | 50,000 | | | | 29,661 | |
| JPMorgan Mortgage Trust, Series 2007-A1, Class 1A1 | | | | | | | | | |
3.22% | | | 07/25/35 | 2 | | | 2,415,650 | | | | 2,419,681 | |
| JPMorgan Mortgage Trust, Series 2007-A1, Class 5A2 | | | | | | | | | |
2.95% | | | 07/25/35 | 2 | | | 557,332 | | | | 565,647 | |
| Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A3 | | | | | | | | | |
4.35% | | | 04/15/40 | | | | 1,573,521 | | | | 1,608,563 | |
| Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A4 | | | | | | | | | |
5.27% | | | 04/15/40 | | | | 1,304,595 | | | | 1,348,509 | |
| Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class AIOC (IO) | | | | | | | | | |
0.55% | | | 04/15/40 | 2,5 | | | 164,133,820 | | | | 3,391,973 | |
| MASTR Adjustable Rate Mortgages Trust, Series 2003-6, Class 4A2 | | | | | | | | | |
2.93% | | | 01/25/34 | 2 | | | 21,432 | | | | 20,922 | |
| MASTR Adjustable Rate Mortgages Trust, Series 2004-1, Class 2A1 | | | | | | | | | |
3.25% | | | 01/25/34 | 2 | | | 51,474 | | | | 50,579 | |
| MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A1 | | | | | | | | | |
3.04% | | | 11/21/34 | 2 | | | 2,132,579 | | | | 2,182,158 | |
| MASTR Adjustable Rate Mortgages Trust, Series 2004-3, Class 3A3 | | | | | | | | | |
2.61% | | | 04/25/34 | 2 | | | 280,738 | | | | 270,421 | |
| MASTR Adjustable Rate Mortgages Trust, Series 2004-5, Class 3A1 | | | | | | | | | |
1.63% | | | 06/25/34 | 2 | | | 32,476 | | | | 31,145 | |
| MASTR Alternative Loan Trust, Series 2003-1, Class 1A1 | | | | | | | | | |
6.25% | | | 12/25/32 | | | | 4,078,558 | | | | 4,234,275 | |
| MASTR Alternative Loan Trust, Series 2003-5, Class 4A1 | | | | | | | | | |
5.50% | | | 07/25/33 | | | | 7,011,623 | | | | 7,669,898 | |
| MASTR Alternative Loan Trust, Series 2003-9, Class 4A1 | | | | | | | | | |
5.25% | | | 11/25/33 | | | | 8,062,808 | | | | 8,264,159 | |
| MASTR Alternative Loan Trust, Series 2004-7, Class 1A1 | | | | | | | | | |
5.50% | | | 07/25/34 | | | | 7,412,639 | | | | 7,661,517 | |
| MASTR Asset-Backed Securities Trust, Series 2006-AB1, Class A2 | | | | | | | | | |
0.76% | | | 02/25/36 | 2 | | | 2,777,277 | | | | 2,776,331 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed
(continued) | |
| MASTR Seasoned Securities Trust, Series 2004-1, Class 4A1 | | | | | | | | | |
2.92% | | | 10/25/32 | 2 | | $ | 322,879 | | | $ | 324,264 | |
| Merrill Lynch First Franklin Mortgage Loan Trust, Series 2004-FF5, Class A3C | | | | | | | | | |
1.53% | | | 08/25/34 | 2 | | | 1,421,120 | | | | 1,353,275 | |
| Merrill Lynch First Franklin Mortgage Loan Trust, Series 2005-FF6, Class M1 | | | | | | | | | |
1.16% | | | 05/25/36 | 2 | | | 972,117 | | | | 969,861 | |
| Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-3, Class A2C | | | | | | | | | |
0.71% | | | 06/25/37 | 2 | | | 14,524,048 | | | | 9,956,632 | |
| Merrill Lynch Mortgage Investors Trust, Series 2004-A4, Class A1 | | | | | | | | | |
2.86% | | | 08/25/34 | 2 | | | 2,353,378 | | | | 2,387,056 | |
| Merrill Lynch Mortgage Investors Trust, Series 2006-F1, Class 1A2 | | | | | | | | | |
6.00% | | | 04/25/36 | | | | 2,854,639 | | | | 2,562,615 | |
| Mid-State Trust, Series 2004-1, Class B | | | | | | | | | |
8.90% | | | 08/15/37 | | | | 1,450,557 | | | | 1,663,316 | |
| Mid-State Trust, Series 2006-1, Class A | | | | | | | | | |
5.79% | | | 10/15/40 | 3 | | | 6,300,969 | | | | 6,781,398 | |
| Morgan Stanley Capital I Trust, Series 2004-NC7, Class M2 | | | | | | | | | |
1.46% | | | 07/25/34 | 2 | | | 7,126,168 | | | | 7,007,509 | |
| Morgan Stanley Capital I Trust, Series 2005-NC2, Class M2 | | | | | | | | | |
1.16% | | | 03/25/35 | 2 | | | 3,871,072 | | | | 3,868,038 | |
| Morgan Stanley Mortgage Loan Trust, Series 2004-6AR, Class 1A | | | | | | | | | |
1.43% | | | 07/25/34 | 2 | | | 750,710 | | | | 726,412 | |
| Morgan Stanley Resecuritization Trust, Series 2014-R3, Class 3A | | | | | | | | | |
1.77% | | | 03/26/37 | 2,3 | | | 5,630,424 | | | | 5,606,160 | |
| MortgageIT Trust, Series 2005-3, Class A1 | | | | | | | | | |
0.83% | | | 08/25/35 | 2 | | | 635,389 | | | | 602,668 | |
| MortgageIT Trust, Series 2005-4, Class A1 | | | | | | | | | |
0.81% | | | 10/25/35 | 2 | | | 10,374,112 | | | | 9,423,119 | |
| New Century Home Equity Loan Trust, Series 2005-3, Class M2 | | | | | | | | | |
1.02% | | | 07/25/35 | 2 | | | 15,000,000 | | | | 14,814,287 | |
| New Century Home Equity Loan Trust, Series 2005-D, Class A1 | | | | | | | | | |
0.75% | | | 02/25/36 | 2 | | | 16,913,332 | | | | 16,292,242 | |
| Nomura Resecuritization Trust, Series 2013-1R, Class 3A1 | | | | | | | | | |
0.68% | | | 10/26/36 | 2,3 | | | 2,618,537 | | | | 2,593,846 | |
| Nomura Resecuritization Trust, Series 2014-1R, Class 1A1 | | | | | | | | | |
0.68% | | | 10/25/36 | 2,3 | | | 4,358,109 | | | | 4,252,052 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| Semi-Annual Report September 2016 / 30 |
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed
(continued) | |
| Nomura Resecuritization Trust, Series 2014-1R, Class 3A1 | | | | | | | | | |
0.67% | | | 07/26/36 | 2,3 | | $ | 3,037,080 | | | $ | 3,021,860 | |
| Nomura Resecuritization Trust, Series 2014-1R, Class 4A1 | | | | | | | | | |
1.28% | | | 01/25/37 | 2,3 | | | 3,391,678 | | | | 3,331,638 | |
| Nomura Resecuritization Trust, Series 2015-4R, Class 3A1 | | | | | | | | | |
2.95% | | | 01/26/36 | 2,3 | | | 7,815,874 | | | | 7,974,464 | |
| Option One Mortgage Loan Trust, Series 2005-1, Class A4 | | | | | | | | | |
1.33% | | | 02/25/35 | 2 | | | 2,298,829 | | | | 2,291,537 | |
| Park Place Securities, Inc., Series 2004-WCW2, Class M2 | | | | | | | | | |
1.50% | | | 10/25/34 | 2 | | | 13,172,484 | | | | 13,144,556 | |
| Park Place Securities, Inc., Series 2004-WHQ2, Class M2 | | | | | | | | | |
1.47% | | | 02/25/35 | 2 | | | 1,875,733 | | | | 1,874,659 | |
| Park Place Securities, Inc., Series 2005-WCW1, Class M1 | | | | | | | | | |
0.98% | | | 09/25/35 | 2 | | | 10,552,675 | | | | 10,504,527 | |
| Park Place Securities, Inc., Series 2005-WCW2, Class M1 | | | | | | | | | |
1.03% | | | 07/25/35 | 2 | | | 16,325,261 | | | | 16,216,571 | |
| Park Place Securities, Inc., Series 2005-WCW3, Class A1B | | | | | | | | | |
0.83% | | | 08/25/35 | 2 | | | 1,929,381 | | | | 1,932,076 | |
| Park Place Securities, Inc., Series 2005-WHG4, Class A2D | | | | | | | | | |
0.90% | | | 09/25/35 | 2 | | | 6,398,038 | | | | 6,364,122 | |
| Park Place Securities, Inc., Series 2005-WHQ1, Class M2 | | | | | | | | | |
1.28% | | | 03/25/35 | 2 | | | 859,289 | | | | 860,225 | |
| Residential Accredit Loans Trust, Series 2005-QA3, Class NB1 | | | | | | | | | |
3.40% | | | 03/25/35 | 2 | | | 7,118,399 | | | | 4,997,652 | |
| Residential Asset Mortgage Products Trust, Series 2004-SL4, Class A3 | | | | | | | | | |
6.50% | | | 07/25/32 | | | | 761,962 | | | | 774,380 | |
| Residential Asset Mortgage Products Trust, Series 2005-SL1, Class A5 | | | | | | | | | |
6.50% | | | 05/25/32 | | | | 1,695,752 | | | | 1,647,469 | |
| Residential Asset Securities Trust, Series 2005-KS11, Class AI4 | | | | | | | | | |
0.84% | | | 12/25/35 | 2 | | | 3,760,161 | | | | 3,754,649 | |
| Soundview Home Loan Trust, Series 2006-WF2, Class A2C | | | | | | | | | |
0.67% | | | 12/25/36 | 2 | | | 960,705 | | | | 959,495 | |
| Structured Adjustable Rate Mortgage Loan Trust, Series 2004-16, Class 6A | | | | | | | | | |
2.95% | | | 11/25/34 | 2 | | | 7,442,818 | | | | 7,325,642 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed
(continued) | |
| Structured Asset Investment Loan Trust, Series 2005-8, Class A4 | | | | | | | | | |
0.89% | | | 10/25/35 | 2 | | $ | 7,601,840 | | | $ | 7,505,336 | |
| Structured Asset Securities Corp., Series 2003-26A, Class 3A5 | | | | | | | | | |
2.96% | | | 09/25/33 | 2 | | | 1,453,687 | | | | 1,427,983 | |
| Terwin Mortgage Trust, Series 2004-7HE, Class A1 | | | | | | | | | |
1.08% | | | 07/25/34 | 2,3 | | | 115,413 | | | | 111,762 | |
| WaMu Mortgage Pass-Through Certificates, Series 2002-AR18, Class A | | | | | | | | | |
2.78% | | | 01/25/33 | 2 | | | 152,072 | | | | 145,269 | |
| WaMu Mortgage Pass-Through Certificates, Series 2004-AR14, Class A1 | | | | | | | | | |
2.60% | | | 01/25/35 | 2 | | | 1,294,750 | | | | 1,296,748 | |
| WaMu Mortgage Pass-Through Certificates, Series 2004-CB2, Class 2A | | | | | | | | | |
5.50% | | | 07/25/34 | | | | 8,249,807 | | | | 8,989,452 | |
| WaMu Mortgage Pass-Through Certificates, Series 2005-AR13, Class A1A1 | | | | | | | | | |
0.82% | | | 10/25/45 | 2 | | | 4,187,212 | | | | 4,004,324 | |
| WaMu Mortgage Pass-Through Certificates, Series 2005-AR2, Class 2A21 | | | | | | | | | |
0.86% | | | 01/25/45 | 2 | | | 655,226 | | | | 614,221 | |
| Wells Fargo Mortgage-Backed Securities Trust, Series 2004-Q, Class 1A1 | | | | | | | | | |
3.01% | | | 09/25/34 | 2 | | | 2,361,030 | | | | 2,421,307 | |
| Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR10, Class 2A14 | | | | | | | | | |
2.96% | | | 06/25/35 | 2 | | | 7,623,113 | | | | 7,718,637 | |
| Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR9, Class 1A1 | | | | | | | | | |
3.04% | | | 05/25/35 | 2 | | | 204,598 | | | | 209,376 | |
| Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR2, Class 2A5 | | | | | | | | | |
2.89% | | | 03/25/36 | 2 | | | 2,038,925 | | | | 1,915,382 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 523,076,225 | |
| | | | | | | | | | | | |
U.S. Agency Mortgage-Backed — 15.28% | |
| Fannie Mae Pool 467572 | | | | | | | | | |
3.80% | | | 04/01/18 | | | | 24,711,843 | | | | 25,394,483 | |
| Fannie Mae Pool 555284 | | | | | | | | | |
7.50% | | | 10/01/17 | | | | 382 | | | | 388 | |
| Fannie Mae Pool 567002 | | | | | | | | | |
8.00% | | | 05/01/23 | | | | 38,065 | | | | 42,497 | |
| Fannie Mae Pool 735861 | | | | | | | | | |
6.50% | | | 09/01/33 | | | | 20,867 | | | | 23,988 | |
| Fannie Mae Pool 770900 | | | | | | | | | |
2.69% | | | 04/01/34 | 2 | | | 378,590 | | | | 388,881 | |
| Fannie Mae Pool 995182 | | | | | | | | | |
5.50% | | | 06/01/20 | | | | 1,498,238 | | | | 1,547,409 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| 31 / Semi-Annual Report September 2016 |
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed
(continued) | | | | | |
| Fannie Mae Pool AD0538 | | | | | | | | | |
6.00% | | | 05/01/24 | | | $ | 866,552 | | | $ | 955,689 | |
| Fannie Mae Pool AE0083 | | | | | | | | | |
6.00% | | | 01/01/40 | | | | 1,879,241 | | | | 2,168,685 | |
| Fannie Mae Pool AL0851 | | | | | | | | | |
6.00% | | | 10/01/40 | | | | 2,421,045 | | | | 2,779,513 | |
| Fannie Mae Pool FN0002 | | | | | | | | | |
3.19% | | | 12/01/17 | | | | 2,841,457 | | | | 2,871,849 | |
Fannie Mae REMICS, Series 1997-76, Class FS | | | | | | | | | |
0.98% | | | 09/17/27 | 2 | | | 24,367 | | | | 23,745 | |
Fannie Mae REMICS, Series 2001-60, Class OF | | | | | | | | | |
1.48% | | | 10/25/31 | 2 | | | 1,290,178 | | | | 1,310,064 | |
Fannie Mae REMICS, Series 2003-130, Class HF | | | | | | | | | |
0.98% | | | 12/25/33 | 2 | | | 2,006,074 | | | | 2,012,630 | |
Fannie Mae REMICS, Series 2003-134, Class FC | | | | | | | | | |
1.13% | | | 12/25/32 | 2 | | | 8,243,297 | | | | 8,287,794 | |
| Fannie Mae REMICS, Series 2005-57, Class EG | | | | | | | | | |
0.83% | | | 03/25/35 | 2 | | | 5,073,461 | | | | 5,076,495 | |
| Fannie Mae REMICS, Series 2005-59, Class NF | | | | | | | | | |
0.78% | | | 05/25/35 | 2 | | | 4,533,944 | | | | 4,515,307 | |
| Fannie Mae REMICS, Series 2007-61, Class A | | | | | | | | | |
0.81% | | | 03/25/37 | 2 | | | 2,906,331 | | | | 2,912,361 | |
| Fannie Mae REMICS, Series 2007-64, Class FA | | | | | | | | | |
1.00% | | | 07/25/37 | 2 | | | 845,329 | | | | 853,376 | |
| Fannie Mae REMICS, Series 2009-111, Class DA | | | | | | | | | |
5.00% | | | 12/25/39 | | | | 1,559,205 | | | | 1,666,048 | |
| Fannie Mae REMICS, Series 2009-33, Class FB | | | | | | | | | |
1.35% | | | 03/25/37 | 2 | | | 3,992,039 | | | | 4,047,523 | |
| Fannie Mae REMICS, Series 2009-85, Class LF | | | | | | | | | |
1.73% | | | 10/25/49 | 2 | | | 4,615,103 | | | | 4,702,479 | |
| Fannie Mae REMICS, Series 2009-96, Class FA | | | | | | | | | |
1.43% | | | 11/25/49 | 2 | | | 3,900,775 | | | | 3,971,381 | |
| Fannie Mae REMICS, Series 2010-109, Class PF | | | | | | | | | |
0.93% | | | 10/25/40 | 2 | | | 2,416,445 | | | | 2,422,108 | |
| Fannie Mae REMICS, Series 2010-26, Class S (IO) | | | | | | | | | |
5.70% | | | 11/25/36 | 2 | | | 14,030,622 | | | | 2,548,769 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed
(continued) | | | | | |
| Fannie Mae REMICS, Series 2010-39, Class FE | | | | | | | | | |
1.30% | | | 06/25/37 | 2 | | $ | 7,583,441 | | | $ | 7,670,639 | |
| Fannie Mae REMICS, Series 2010-43, Class DP | | | | | | | | | |
5.00% | | | 05/25/40 | | | | 2,030,617 | | | | 2,228,707 | |
| Fannie Mae REMICS, Series 2010-6, Class BF | | | | | | | | | |
1.29% | | | 02/25/40 | 2 | | | 3,009,437 | | | | 3,046,757 | |
| Fannie Mae REMICS, Series 2010-95, Class S (IO) | | | | | | | | | |
6.07% | | | 09/25/40 | 2 | | | 9,577,752 | | | | 2,043,595 | |
| Fannie Mae REMICS, Series 2011-118, Class FB | | | | | | | | | |
0.98% | | | 11/25/41 | 2 | | | 13,711,789 | | | | 13,741,828 | |
| Fannie Mae REMICS, Series 2011-71, Class FB | | | | | | | | | |
1.03% | | | 05/25/37 | 2 | | | 5,889,960 | | | | 5,929,488 | |
| Fannie Mae REMICS, Series 2012-33, Class F | | | | | | | | | |
1.05% | | | 04/25/42 | 2 | | | 10,445,030 | | | | 10,527,481 | |
| Fannie Mae REMICS, Series 2013-54, Class HF | | | | | | | | | |
0.73% | | | 10/25/41 | 2 | | | 11,521,069 | | | | 11,424,918 | |
| Fannie Mae REMICS, Series 2013-75, Class FC | | | | | | | | | |
0.78% | | | 07/25/42 | 2 | | | 9,294,307 | | | | 9,210,910 | |
| Fannie Mae REMICS, Series G92-10, Class Z | | | | | | | | | |
7.75% | | | 01/25/22 | | | | 1,174 | | | | 1,264 | |
Fannie Mae-Aces, Series 2012-M8, Class ASQ2 | | | | | |
1.52% | | | 12/25/19 | | | | 6,006,315 | | | | 6,019,042 | |
Fannie Mae-Aces, Series 2013-M11, Class A | | | | | |
1.50% | | | 01/25/18 | | | | 2,157,194 | | | | 2,155,455 | |
Fannie Mae-Aces, Series 2013-M4,
Class ASQ2 | | | | | |
1.45% | | | 02/25/18 | | | | 14,697,561 | | | | 14,735,511 | |
Fannie Mae-Aces, Series 2014-M6, Class FA | | | | | |
0.80% | | | 12/25/17 | 2 | | | 7,001,390 | | | | 7,005,536 | |
Fannie Mae-Aces, Series 2015-M10, Class FA | | | | | |
0.77% | | | 03/25/19 | 2 | | | 17,078,378 | | | | 17,096,862 | |
| Freddie Mac Gold Pool A45796 | | | | | | | | | |
7.00% | | | 01/01/33 | | | | 9,152 | | | | 10,773 | |
| Freddie Mac Gold Pool C46104 | | | | | | | | | |
6.50% | | | 09/01/29 | | | | 13,105 | | | | 15,027 | |
| Freddie Mac Gold Pool G13032 | | | | | | | | | |
6.00% | | | 09/01/22 | | | | 1,341,769 | | | | 1,448,170 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2016 / 32 |
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed (continued) | | | | | | | | | |
| Freddie Mac Gold Pool G13475 | | | | | | | | | |
6.00% | | | 01/01/24 | | | $ | 168,003 | | | $ | 181,740 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series K006, Class A1 | | | | | | | | | |
3.40% | | | 07/25/19 | | | | 5,263,034 | | | | 5,399,476 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series K007, Class A2 | | | | | | | | | |
4.22% | | | 03/25/20 | | | | 14,430,000 | | | | 15,694,968 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series K033, Class A1 | | | | | | | | | |
2.87% | | | 02/25/23 | | | | 14,201,541 | | | | 14,841,874 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF09, Class A | | | | | | | | | |
0.91% | | | 05/25/22 | 2 | | | 13,880,627 | | | | 13,887,341 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KS02, Class A | | | | | | | | | |
0.88% | | | 08/25/23 | 2 | | | 19,155,110 | | | | 19,186,009 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KS03, Class A4 | | | | | | | | | |
4.19% | | | 08/25/19 | | | | 17,405,000 | | | | 18,677,424 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KSCT, Class A1 | | | | | | | | | |
3.19% | | | 12/25/19 | | | | 4,973,674 | | | | 5,104,296 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KIR1, Class A1 | | | | | | | | | |
2.45% | | | 03/25/26 | | | | 24,306,597 | | | | 25,145,436 | |
| Freddie Mac REMICS, Series 2174, Class PN | | | | | | | | | |
6.00% | | | 07/15/29 | | | | 776,589 | | | | 875,405 | |
| Freddie Mac REMICS, Series 2454, Class FQ | | | | | | | | | |
1.52% | | | 06/15/31 | 2 | | | 11,918 | | | | 12,254 | |
| Freddie Mac REMICS, Series 2733, Class FB | | | | | | | | | |
1.12% | | | 10/15/33 | 2 | | | 5,335,000 | | | | 5,364,265 | |
| Freddie Mac REMICS, Series 3084, Class FN | | | | | | | | | |
1.02% | | | 12/15/34 | 2 | | | 5,202,388 | | | | 5,226,444 | |
| Freddie Mac REMICS, Series 3294, Class CB | | | | | | | | | |
5.50% | | | 03/15/37 | | | | 503,704 | | | | 547,894 | |
| Freddie Mac REMICS, Series 3300, Class FA | | | | | | | | | |
0.82% | | | 08/15/35 | 2 | | | 1,514,272 | | | | 1,510,968 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed (continued) | | | | | | | | | |
| Freddie Mac REMICS, Series 3325, Class NF | | | | | | | | | |
0.82% | | | 08/15/35 | 2 | | $ | 3,905,076 | | | $ | 3,896,556 | |
| Freddie Mac REMICS, Series 3346, Class FA | | | | | | | | | |
0.75% | | | 02/15/19 | 2 | | | 3,581,478 | | | | 3,583,900 | |
| Freddie Mac REMICS, Series 3524, Class FC | | | | | | | | | |
1.46% | | | 06/15/38 | 2 | | | 1,936,504 | | | | 1,981,684 | |
| Freddie Mac REMICS, Series 3531, Class FM | | | | | | | | | |
1.42% | | | 05/15/39 | 2 | | | 2,321,914 | | | | 2,347,763 | |
| Freddie Mac REMICS, Series 3672, Class A | | | | | | | | | |
6.00% | | | 05/15/40 | | | | 304,093 | | | | 323,908 | |
| Freddie Mac REMICS, Series 3792, Class DF | | | | | | | | | |
0.92% | | | 11/15/40 | 2 | | | 3,322,714 | | | | 3,327,895 | |
| Freddie Mac REMICS, Series 3824, Class FA | | | | | | | | | |
0.67% | | | 03/15/26 | 2 | | | 2,848,158 | | | | 2,846,346 | |
| Freddie Mac REMICS, Series 3828, Class TF | | | | | | | | | |
0.92% | | | 04/15/29 | 2 | | | 1,000,439 | | | | 1,002,942 | |
| Freddie Mac REMICS, Series 4060, Class FJ | | | | | | | | | |
0.87% | | | 02/15/41 | 2 | | | 11,268,883 | | | | 11,241,615 | |
| Freddie Mac REMICS, Series 4109, Class KF | | | | | | | | | |
0.92% | | | 05/15/32 | 2 | | | 11,882,673 | | | | 11,883,754 | |
| Freddie Mac REMICS, Series 4235, Class FA | | | | | | | | | |
0.87% | | | 01/15/34 | 2 | | | 8,348,478 | | | | 8,355,149 | |
| Freddie Mac Strips, Series 240, Class F30 | | | | | | | | | |
0.82% | | | 07/15/36 | 2 | | | 4,457,131 | | | | 4,437,307 | |
| Freddie Mac Strips, Series 263, Class F5 | | | | | | | | | |
1.02% | | | 06/15/42 | 2 | | | 5,431,625 | | | | 5,421,021 | |
| Freddie Mac Strips, Series 319, Class F2 | | | | | | | | | |
1.02% | | | 11/15/43 | 2 | | | 24,481,462 | | | | 24,448,897 | |
| Ginnie Mae I Pool 422972 | | | | | | | | | |
6.50% | | | 07/15/29 | | | | 23,453 | | | | 27,059 | |
| Ginnie Mae II Pool 1849 | | | | | | | | | |
8.50% | | | 08/20/24 | | | | 465 | | | | 486 | |
| Ginnie Mae II Pool 2020 | | | | | | | | | |
8.50% | | | 06/20/25 | | | | 1,383 | | | | 1,563 | |
| Ginnie Mae II Pool 2286 | | | | | | | | | |
8.50% | | | 09/20/26 | | | | 1,520 | | | | 1,744 | |
| Ginnie Mae II Pool 2487 | | | | | | | | | |
8.50% | | | 09/20/27 | | | | 12,892 | | | | 14,798 | |
| Ginnie Mae II Pool 80059 | | | | | | | | | |
2.13% | | | 04/20/27 | 2 | | | 25,062 | | | | 25,913 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 33 / Semi-Annual Report September 2016 |
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed
(continued) | | | | | |
| Ginnie Mae II Pool 80589 | | | | | | | | | |
2.00% | | | 03/20/32 | 2 | | $ | 41,050 | | | $ | 41,159 | |
| Ginnie Mae II Pool 80610 | | | | | | | | | |
2.13% | | | 06/20/32 | 2 | | | 16,804 | | | | 17,450 | |
| Ginnie Mae II Pool 80968 | | | | | | | | | |
1.88% | | | 07/20/34 | 2 | | | 504,880 | | | | 521,434 | |
| Ginnie Mae II Pool 81201 | | | | | | | | | |
2.50% | | | 01/20/35 | 2 | | | 13,582 | | | | 14,146 | |
| Ginnie Mae II Pool 8599 | | | | | | | | | |
3.00% | | | 02/20/25 | 2 | | | 21,139 | | | | 22,039 | |
| Ginnie Mae, Series 12, Class C | | | | | | | | | |
5.28% | | | 04/16/41 | 2 | | | 2,327,009 | | | | 2,363,439 | |
| Ginnie Mae, Series 2003-11, Class FK | | | | | | | | | |
0.83% | | | 02/16/33 | 2 | | | 1,843,445 | | | | 1,845,471 | |
| Ginnie Mae, Series 2004-5, Class PF | | | | | | | | | |
1.08% | | | 02/20/33 | 2 | | | 1,516,965 | | | | 1,520,069 | |
| Ginnie Mae, Series 2006-3, Class C | | | | | | | | | |
5.24% | | | 04/16/39 | 2 | | | 3,629,538 | | | | 3,675,122 | |
| Ginnie Mae, Series 2009-106, Class XI (IO) | | | | | | | | | |
6.27% | | | 05/20/37 | 2 | | | 8,332,420 | | | | 1,558,426 | |
| Ginnie Mae, Series 2011-78, Class AB | | | | | | | | | |
2.45% | | | 02/16/39 | | | | 539,229 | | | | 539,517 | |
| Ginnie Mae, Series 2012-13, Class KF | | | | | | | | | |
0.83% | | | 07/20/38 | 2 | | | 2,690,380 | | | | 2,691,203 | |
| Ginnie Mae, Series 2013-53, Class AD | | | | | | | | | |
1.50% | | | 12/20/26 | | | | 5,235,340 | | | | 5,199,164 | |
| NCUA Guaranteed Notes, Series 2010-R1, Class A1 | | | | | | | | | |
0.97% | | | 10/07/20 | 2 | | | 8,370,123 | | | | 8,388,294 | |
| NCUA Guaranteed Notes, Series 2010-R2, Class 1A | | | | | | | | | |
0.90% | | | 11/06/17 | 2 | | | 8,588,566 | | | | 8,590,963 | |
| NCUA Guaranteed Notes, Series 2010-R3, Class 1A | | | | | | | | | |
0.76% | | | 12/08/20 | 2 | | | 10,960,140 | | | | 10,983,625 | |
| NCUA Guaranteed Notes, Series 2010-R3, Class 2A | | | | | | | | | |
1.08% | | | 12/08/20 | 2 | | | 5,002,207 | | | | 5,014,686 | |
| NCUA Guaranteed Notes, Series 2011-C1, Class 2A | | | | | | | | | |
1.05% | | | 03/09/21 | 2 | | | 14,397,603 | | | | 14,391,221 | |
| NCUA Guaranteed Notes, Series 2011-R1, Class 1A | | | | | | | | | |
0.97% | | | 01/08/20 | 2 | | | 6,079,141 | | | | 6,092,298 | |
| NCUA Guaranteed Notes, Series 2011-R2, Class 1A | | | | | | | | | |
0.92% | | | 02/06/20 | 2 | | | 6,135,029 | | | | 6,140,660 | |
| NCUA Guaranteed Notes, Series 2011-R3, Class 1A | | | | | | | | | |
0.60% | | | 03/11/20 | 2 | | | 3,271,108 | | | | 3,270,178 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed
(continued) | | | | | |
| NCUA Guaranteed Notes, Series 2011-R4, Class 1A | | | | | | | | | |
0.58% | | | 03/06/20 | 2 | | $ | 1,683,259 | | | $ | 1,684,000 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 496,226,083 | |
| | | | | | | | | | | | |
| |
Total Mortgage-Backed (Cost $1,070,035,806) | | | | 1,078,832,566 | |
| | | | | | | | | | | | |
| |
MUNICIPAL BONDS — 0.33%* | | | | | |
California — 0.33% | | | | | | | | | |
| State of California, Taxable, Various Purpose | | | | | | | | | |
6.20% | | | 03/01/19 | | | | 600,000 | | | | 668,220 | |
| University of California, Floating Rate Notes, Series Y, Class 1 | | | | | | | | | |
1.03% | | | 07/01/41 | 2 | | | 10,000,000 | | | | 10,001,500 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 10,669,720 | |
| | | | | | | | | | | | |
| |
Total Municipal Bonds (Cost $10,654,326) | | | | 10,669,720 | |
| | | | | | | | | | | | |
U.S. TREASURY SECURITIES — 35.32% | |
U.S. Treasury Notes — 35.32% | | | | | |
| U.S. Treasury Notes | | | | | | | | | |
0.58% | | | 01/31/18 | 2 | | | 53,000,000 | | | | 53,129,590 | |
0.63% | | | 08/31/17 | | | | 495,000 | | | | 494,868 | |
0.75% | | | 10/31/17 | | | | 388,335,000 | | | | 388,638,387 | |
0.75% | | | 02/28/18 | | | | 177,265,000 | | | | 177,354,510 | |
0.75% | | | 07/31/18 | | | | 16,345,000 | | | | 16,343,925 | |
0.75% | | | 08/31/18 | | | | 241,040,000 | | | | 241,002,398 | |
0.75% | | | 08/15/19 | | | | 224,590,000 | | | | 223,831,110 | |
1.00% | | | 12/31/17 | | | | 42,860,000 | | | | 43,009,983 | |
1.13% | | | 07/31/21 | | | | 3,055,000 | | | | 3,051,062 | |
| | | | | | | | | | | | |
| |
Total U.S. Treasury Securities (Cost $1,145,439,624) | | | | 1,146,855,833 | |
| | | | | | | | | | | | |
| |
Total Bonds – 94.99% (Cost $3,072,844,921) | | | | 3,084,353,957 | |
| | | | | | | | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2016 / 34 |
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | |
| Issues | | | | Notional
Amount (000’s) | | | Value | |
PURCHASED SWAPTIONS — 0.00% | |
| 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 | | | | $41,877 | |
Total Purchased Swaptions (Cost $939,000) | | | | | |
| | | | | |
| Issues | | Maturity Date | | | Principal Amount/ Share | | | Value | |
SHORT-TERM INVESTMENTS — 4.48% | |
Commercial Paper — 0.16% | |
| Kraft Heinz Foods Co. | | | | | | | | | |
1.60%7 | | | 06/30/17 | | | | 5,274,000 | | | | 5,288,097 | |
| | | | | | | | | | | | |
Foreign Government Obligations — 4.03% | |
| Japan Treasury Discount Bill, Series 620 (Japan) | | | | | | | | | |
0.00%7 | | | 10/17/16 | 4 | | | 4,720,000,000 | | | | 46,613,688 | |
| Japan Treasury Discount Bill, Series 626 (Japan) | | | | | | | | | |
0.00%7 | | | 11/14/16 | 4 | | | 4,520,000,000 | | | | 44,646,923 | |
| Japan Treasury Discount Bill, Series 636 (Japan) | | | | | | | | | |
0.00%7 | | | 01/10/17 | 4 | | | 4,000,000,000 | | | | 39,542,547 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 130,803,158 | |
| | | | | | | | | | | | |
Money Market Funds — 0.08% | | | | | |
| Fidelity Institutional Government Portfolio | | | | | | | | | |
0.27%8,9 | | | | | | | 2,330,864 | | | | 2,330,864 | |
| JPMorgan U.S. Government Money Market Fund | | | | | | | | | |
0.33%8 | | | | | | | 275,000 | | | | 275,000 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,605,864 | |
| | | | | | | | | | | | |
U.S. Treasury Bills — 0.21% | | | | | |
| U.S. Treasury Bills | | | | | | | | | |
0.31%7 | | | 12/08/16 | 10 | | | 880,000 | | | | 879,718 | |
0.45%7 | | | 02/23/17 | | | | 5,800,000 | | | | 5,792,187 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 6,671,905 | |
| | | | | | | | | | | | |
Total Short-Term Investments (Cost $143,400,231) | | | | 145,369,024 | |
| | | | | | | | | | | | |
| | | | |
| | | Value | |
Total Investments – 99.47% (Cost $3,217,184,152)1 | | $ | 3,229,764,858 | |
| | | | |
| Cash and Other Assets, Less Liabilities – 0.53% | | | 17,066,755 | |
| | | | |
Net Assets – 100.00% | | $ | 3,246,831,613 | |
| | | | |
| | | | | | | | |
Currency
Purchased | | Currency Sold | | | Unrealized
Appreciation/
(Depreciation) | |
| FOREIGN CURRENCY EXCHANGE CONTRACT | |
| Forward currency contract to sell Japanese Yen on 10/17/16 at 101.19 Counterparty: Bank of America | | | | | |
USD $44,806,440 | | | JPY 4,720,000,000 | | | $ | (1,836,649) | |
| Forward currency contract to sell Japanese Yen on 11/14/16 at 101.22 Counterparty: JPMorgan Securities LLC | | | | | |
USD $44,806,820 | | | JPY 4,520,000,000 | | | | 151,011 | |
| Forward currency contract to sell Japanese Yen on 01/10/17 at 100.78 Counterparty: Bank of America | | | | | |
USD $39,580,643 | | | JPY 4,000,000,000 | | | | (108,148 | ) |
| | | | | | | | |
| Net unrealized (depreciation) | | | $ | (1,793,786) | |
| | | | | | | | |
| | | | | | |
| Contracts | | | | Unrealized
Appreciation | |
FUTURES CONTRACTS: LONG POSITIONS | |
| 1,321 | | U.S. Treasury Two Year Note, Expiration December 2016 | | $ | 36,302 | |
| | | | | | |
| | Net unrealized appreciation | | $ | 36,302 | |
| | | | | | |
| | | | | | | | | | | | |
| 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 | ) | | $ | (20,829 | ) |
| | | | | | | | | | | | |
Total Written Swaptions | | | $ | (540,000 | ) | | $ | (20,829 | ) |
| | | | | | | | | | | | |
Notes:
| 1 | Cost for federal income tax purposes is $3,217,720,627 and net unrealized appreciation/(depreciation) consists of: |
| | | | |
Gross unrealized appreciation | | $ | 31,155,512 | |
Gross unrealized (depreciation) | | | (19,111,281 | ) |
| | | | |
| |
Net unrealized appreciation | | $ | 12,044,231 | |
| | | | |
| 2 | Floating rate security. The rate disclosed was in effect at September 30, 2016. |
| 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 $9,374,842, which is 0.29% of total net assets. |
See accompanying notes to Schedule of Portfolio Investments.
|
| 35 / Semi-Annual Report September 2016 |
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| 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 | Represents annualized yield at date of purchase. |
| 8 | Represents the current yield as of September 30, 2016. |
| 9 | Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $2,920,864. |
| 10 | Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $879,710. |
| † | Fair valued security. The aggregate value of fair valued securities is $936,352, which is 0.03% 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.
(CLO): Collateralized Loan Obligation
(GMTN): Global medium-term note
(IO): Interest only
(JPY): Japanese Yen
(LIBOR): London InterBank Offer Rate
(MTN): Medium-term note
(PIK): Payment in kind
(STEP): Step coupon bond
(USD): U.S. dollar
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2016 / 36 |
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BONDS – 94.51% | | | | | | | | | |
ASSET-BACKED SECURITIES — 6.54%** | | | | | |
| Academic Loan Funding Trust, Series 2012-1A, Class A2 | | | | | | | | | |
1.63% | | | 12/27/44 | 2,3 | | $ | 950,000 | | | $ | 914,830 | |
| Bayview Commercial Asset Trust, Series 2004-3, Class A1 | | | | | | | | | |
0.90% | | | 01/25/35 | 2,3 | | | 739,612 | | | | 683,852 | |
| Brazos Higher Education Authority, Inc., Series 2005-3, Class A16 | | | | | | | | | |
1.06% | | | 06/25/26 | 2 | | | 350,000 | | | | 339,981 | |
| Brazos Higher Education Authority, Inc., Series 2010-1, Class A2 | | | | | | | | | |
2.03% | | | 02/25/35 | 2 | | | 650,000 | | | | 634,975 | |
| Brazos Higher Education Authority, Inc., Series 2011-2, Class A3 | | | | | | | | | |
1.71% | | | 10/27/36 | 2 | | | 930,000 | | | | 877,989 | |
| CIT Education Loan Trust, Series 2007-1, Class A | | | | | | | | | |
0.95% | | | 03/25/42 | 2,3 | | | 381,081 | | | | 354,485 | |
| Citibank Credit Card Issuance Trust, Series 2006-A8, Class A8 | | | | | | | | | |
0.72% | | | 12/17/18 | 2 | | | 2,490,000 | | | | 2,489,908 | |
| Dryden 37 Senior Loan Fund, Series 2015-37A, Class A (Cayman Islands) | | | | | | | | | |
2.18% | | | 04/15/27 | 2,3,4 | | | 1,315,000 | | | | 1,318,468 | |
| Educational Funding of the South, Inc., Series 2011-1, Class A2 | | | | | | | | | |
1.36% | | | 04/25/35 | 2 | | | 546,287 | | | | 538,929 | |
| GCO Education Loan Funding Trust, Series 2006-2AR, Class A1RN | | | | | | | | | |
1.18% | | | 08/27/46 | 2,3 | | | 893,280 | | | | 807,772 | |
| GE Business Loan Trust, Series 2005-1A, Class A3 | | | | | | | | | |
0.77% | | | 06/15/33 | 2,3 | | | 294,921 | | | | 275,030 | |
| Global SC Finance II SRL, Series 2014-1A, Class A2 (Barbados) | | | | | | | | | |
3.09% | | | 07/17/29 | 3,4 | | | 1,312,083 | | | | 1,270,176 | |
| Higher Education Funding, Series 2014-1, Class A | | | | | | | | | |
1.88% | | | 05/25/34 | 2,3 | | | 1,190,952 | | | | 1,147,125 | |
| J.G. Wentworth XXX LLC, Series 2013-3A, Class A | | | | | | | | | |
4.08% | | | 01/17/73 | 3 | | | 561,373 | | | | 599,627 | |
| J.G. Wentworth XXXII LLC, Series 2014-2A, Class A | | | | | | | | | |
3.61% | | | 01/17/73 | 3 | | | 1,045,771 | | | | 1,078,119 | |
| Magnetite XI CLO Ltd., Series 2014-11A, Class A1 (Cayman Islands) | | | | | | | | | |
2.13% | | | 01/18/27 | 2,3,4 | | | 2,400,000 | | | | 2,400,038 | |
| Magnetite XII CLO Ltd., Series 2015-12A, Class A (Cayman Islands) | | | | | | | | | |
2.18% | | | 04/15/27 | 2,3,4 | | | 2,390,000 | | | | 2,390,571 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | | | | | |
| Navient Student Loan Trust, Series 2014-1, Class A3 | | | | | | | | | |
1.04% | | | 06/25/31 | 2 | | $ | 2,765,000 | | | $ | 2,673,524 | |
| Navient Student Loan Trust, Series 2014-2, Class A | | | | | | | | | |
1.17% | | | 03/25/83 | 2 | | | 2,387,692 | | | | 2,312,697 | |
| Navient Student Loan Trust, Series 2014-3, Class A | | | | | | | | | |
1.15% | | | 03/25/83 | 2 | | | 2,406,221 | | | | 2,329,841 | |
| Navient Student Loan Trust, Series 2014-4, Class A | | | | | | | | | |
1.15% | | | 03/25/83 | 2 | | | 2,249,708 | | | | 2,154,388 | |
| Navient Student Loan Trust, Series 2014-8, Class A3 | | | | | | | | | |
1.13% | | | 05/27/31 | 2 | | | 4,710,000 | | | | 4,536,293 | |
| Navient Student Loan Trust, Series 2016-2, Class A3 | | | | | | | | | |
2.03% | | | 06/25/65 | 2,3 | | | 1,640,000 | | | | 1,691,204 | |
| Nelnet Student Loan Trust, Series 2007-2A, Class A3L | | | | | | | | | |
1.21% | | | 03/25/26 | 2,3 | | | 2,614,168 | | | | 2,532,532 | |
| Nelnet Student Loan Trust, Series 2011-1A, Class A | | | | | | | | | |
1.38% | | | 02/25/43 | 2,3 | | | 1,750,031 | | | | 1,751,015 | |
| Nelnet Student Loan Trust, Series 2014-4A, Class A2 | | | | | | | | | |
1.48% | | | 11/25/43 | 2,3 | | | 1,370,000 | | | | 1,270,170 | |
| Nelnet Student Loan Trust, Series 2015-2A, Class A2 | | | | | | | | | |
1.13% | | | 09/25/42 | 2,3 | | | 5,027,450 | | | | 4,922,534 | |
| SLC Student Loan Trust I, Series 2002-2, Class B2 | | | | | | | | | |
0.33% | | | 07/01/42 | 2,3 | | | 650,000 | | | | 503,061 | |
| SLC Student Loan Trust, Series 2004-1, Class B | | | | | | | | | |
1.11% | | | 08/15/31 | 2 | | | 227,610 | | | | 195,665 | |
| SLC Student Loan Trust, Series 2005-3, Class B | | | | | | | | | |
1.10% | | | 06/15/40 | 2 | | | 900,582 | | | | 754,649 | |
| SLC Student Loan Trust, Series 2008-1, Class A4A | | | | | | | | | |
2.45% | | | 12/15/32 | 2 | | | 559,822 | | | | 569,079 | |
| SLM Student Loan Trust, Series 2004-2, Class B | | | | | | | | | |
1.18% | | | 07/25/39 | 2 | | | 265,139 | | | | 229,372 | |
| SLM Student Loan Trust, Series 2004-8, Class B | | | | | | | | | |
1.17% | | | 01/25/40 | 2 | | | 263,398 | | | | 229,137 | |
| SLM Student Loan Trust, Series 2004-8A, Class A5 | | | | | | | | | |
1.21% | | | 04/25/24 | 2,3 | | | 1,532,888 | | | | 1,532,031 | |
| SLM Student Loan Trust, Series 2005-4, Class A3 | | | | | | | | | |
0.83% | | | 01/25/27 | 2 | | | 2,486,420 | | | | 2,441,339 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| 37 / Semi-Annual Report September 2016 |
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | |
| SLM Student Loan Trust, Series 2005-4, Class B | | | | | | | | | |
0.89% | | | 07/25/40 | 2 | | $ | 307,187 | | | $ | 260,450 | |
| SLM Student Loan Trust, Series 2006-2, Class A6 | | | | | | | | | |
0.88% | | | 01/25/41 | 2 | | | 925,000 | | | | 841,068 | |
| SLM Student Loan Trust, Series 2006-8, Class A6 | | | | | | | | | |
0.87% | | | 01/25/41 | 2 | | | 925,000 | | | | 822,449 | |
| SLM Student Loan Trust, Series 2007-6, Class A4 | | | | | | | | | |
1.09% | | | 10/25/24 | 2 | | | 4,636,814 | | | | 4,559,207 | |
| SLM Student Loan Trust, Series 2007-6, Class B | | | | | | | | | |
1.56% | | | 04/27/43 | 2 | | | 127,075 | | | | 111,391 | |
| SLM Student Loan Trust, Series 2008-2, Class B | | | | | | | | | |
1.91% | | | 01/25/29 | 2 | | | 160,000 | | | | 139,638 | |
| SLM Student Loan Trust, Series 2008-3, Class B | | | | | | | | | |
1.91% | | | 04/25/29 | 2 | | | 160,000 | | | | 135,535 | |
| SLM Student Loan Trust, Series 2008-4, Class B | | | | | | | | | |
2.56% | | | 04/25/29 | 2 | | | 160,000 | | | | 148,433 | |
| SLM Student Loan Trust, Series 2008-5, Class B | | | | | | | | | |
2.56% | | | 07/25/29 | 2 | | | 2,210,000 | | | | 2,059,599 | |
| SLM Student Loan Trust, Series 2008-6, Class A3 | | | | | | | | | |
1.46% | | | 01/25/19 | 2 | | | 3,242,728 | | | | 3,246,446 | |
| SLM Student Loan Trust, Series 2008-6, Class B | | | | | | | | | |
2.56% | | | 07/25/29 | 2 | | | 160,000 | | | | 149,420 | |
| SLM Student Loan Trust, Series 2008-7, Class B | | | | | | | | | |
2.56% | | | 07/25/29 | 2 | | | 160,000 | | | | 148,070 | |
| SLM Student Loan Trust, Series 2008-8, Class B | | | | | | | | | |
2.96% | | | 10/25/29 | 2 | | | 160,000 | | | | 153,579 | |
| SLM Student Loan Trust, Series 2008-9, Class A | | | | | | | | | |
2.21% | | | 04/25/23 | 2 | | | 3,658,381 | | | | 3,669,976 | |
| SLM Student Loan Trust, Series 2008-9, Class B | | | | | | | | | |
2.96% | | | 10/25/29 | 2 | | | 2,160,000 | | | | 2,093,600 | |
| SLM Student Loan Trust, Series 2009-3, Class A | | | | | | | | | |
1.28% | | | 01/25/45 | 2,3 | | | 4,926,252 | | | | 4,726,031 | |
| SLM Student Loan Trust, Series 2011-2, Class A1 | | | | | | | | | |
1.13% | | | 11/25/27 | 2 | | | 901,592 | | | | 901,026 | |
| SLM Student Loan Trust, Series 2011-2, Class A2 | | | | | | | | | |
1.73% | | | 10/25/34 | 2 | | | 500,000 | | | | 496,025 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | |
| SLM Student Loan Trust, Series 2012-3, Class A | | | | | | | | | |
1.18% | | | 12/26/25 | 2 | | $ | 1,921,664 | | | $ | 1,853,862 | |
| SLM Student Loan Trust, Series 2012-6, Class A2 | | | | | | | | | |
0.81% | | | 09/25/19 | 2 | | | 872,470 | | | | 872,119 | |
| SLM Student Loan Trust, Series 2012-7, Class A3 | | | | | | | | | |
1.18% | | | 05/26/26 | 2 | | | 800,000 | | | | 775,870 | |
| SLM Student Loan Trust, Series 2013-4, Class A | | | | | | | | | |
1.08% | | | 06/25/27 | 2 | | | 510,912 | | | | 493,645 | |
| Spirit Master Funding LLC, Series 2014-1A, Class A1 | | | | | | | | | |
5.05% | | | 07/20/40 | 3 | | | 395,531 | | | | 406,137 | |
| Structured Receivables Finance 2 LLC, Series 2000, Class A | | | | | | | | | |
4.71% | | | 04/15/48 | 3 | | | 114,312 | | | | 115,389 | |
| Structured Receivables Finance LLC, Series 2010-A, Class B | | | | | | | | | |
7.61% | | | 01/16/46 | 3,† | | | 658,013 | | | | 757,312 | |
| Toyota Auto Receivables Owner Trust, Series 2014-A, Class A3 | | | | | | | | | |
0.67% | | | 12/15/17 | | | | 190,776 | | | | 190,679 | |
| Voya CLO Ltd., Series 2014-4A, Class A1 (Cayman Islands) | | | | | | | | | |
2.17% | | | 10/14/26 | 2,3,4 | | | 2,150,000 | | | | 2,150,826 | |
| Voya CLO, Series 2014-1A, Class A1 (Cayman Islands) | | | | | | | | | |
2.18% | | | 04/18/26 | 2,3,4 | | | 1,210,000 | | | | 1,210,019 | |
| | | | | | | | | | | | |
| |
Total Asset-Backed Securities (Cost $85,937,163) | | | | 84,238,207 | |
| | | | | | | | | | | | |
| |
BANK LOANS — 0.29%* | | | | | |
Consumer Discretionary — 0.04% | | | | | |
| Reynolds Group Holdings, Inc., Term Loan, 1st Lien | | | | | | | | | |
LIBOR plus 3.25% | | | 02/05/23 | 2 | | | 450,000 | | | | 452,039 | |
| | | | | | | | | | | | |
| |
Electric — 0.02% | | | | | |
| Texas Competitive Electric Holdings Co. LLC, Term Loan B, 1st Lien (DIP) | | | | | | | | | |
LIBOR plus 4.00% | | | 10/31/17 | 2 | | | 223,929 | | | | 225,908 | |
| Texas Competitive Electric Holdings Co. LLC, Term Loan C, 1st Lien (DIP) | | | | | | | | | |
LIBOR plus 4.00% | | | 10/31/17 | 2 | | | 51,071 | | | | 51,523 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 277,431 | |
| | | | | | | | | | | | |
Finance — 0.22% | | | | | |
| Delos Finance SARL, Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 2.75% | | | 02/27/21 | 2 | | | 2,795,136 | | | | 2,818,433 | |
| | | | | | | | | | | | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| Semi-Annual Report September 2016 / 38 |
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BANK LOANS (continued) | |
Services — 0.01% | |
| AABS Ltd., Term Loan, Series 2013-1, Class A (STEP) (Bermuda) | | | | | | | | | |
4.72% | | | 01/15/38 | 2,4,† | | $ | 168,610 | | | $ | 165,239 | |
| | | | | | | | | | | | |
| |
Total Bank Loans (Cost $3,675,890) | | | | 3,713,142 | |
| | | | | | | | | | | | |
| |
CORPORATES — 27.79%* | | | | | |
Automotive — 0.12% | | | | | |
| General Motors Co. | | | | | | | | | |
4.88% | | | 10/02/23 | | | | 955,000 | | | | 1,036,209 | |
| General Motors Financial Co., Inc. | | | | | | | | | |
3.20% | | | 07/06/21 | | | | 500,000 | | | | 507,400 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 1,543,609 | |
| | | | | | | | | | | | |
Banking — 4.41% | | | | | |
| Bank of America Corp. | | | | | | | | | |
6.00% | | | 09/01/17 | | | | 1,440,000 | | | | 1,497,733 | |
| Bank of America Corp. (GMTN) | | | | | | | | | |
3.30% | | | 01/11/23 | | | | 1,500,000 | | | | 1,554,948 | |
3.50% | | | 04/19/26 | | | | 1,000,000 | | | | 1,043,436 | |
6.40% | | | 08/28/17 | | | | 2,000,000 | | | | 2,087,219 | |
| Bank of America Corp. (MTN) | | | | | | | | | |
1.72% | | | 04/01/19 | 2 | | | 1,000,000 | | | | 1,004,888 | |
2.63% | | | 10/19/20 | | | | 1,880,000 | | | | 1,920,358 | |
4.13% | | | 01/22/24 | | | | 1,500,000 | | | | 1,629,321 | |
5.65% | | | 05/01/18 | | | | 500,000 | | | | 531,252 | |
8.68% | | | 05/02/17 | 2 | | | 510,000 | | | | 480,063 | |
8.95% | | | 05/18/17 | 2 | | | 410,000 | | | | 385,933 | |
9.57% | | | 06/06/17 | 2 | | | 319,000 | | | | 302,253 | |
| Bank of America N.A. (BKNT) | | | | | | | | | |
1.15% | | | 06/15/17 | 2 | | | 1,350,000 | | | | 1,349,519 | |
5.30% | | | 03/15/17 | | | | 2,431,000 | | | | 2,473,771 | |
6.10% | | | 06/15/17 | | | | 1,340,000 | | | | 1,383,787 | |
| Bank of New York Mellon Corp. (MTN) (The) | | | | | | | | | |
2.50% | | | 04/15/21 | | | | 1,649,000 | | | | 1,695,699 | |
| Capital One Bank USA N.A. (BKNT) | | | | | | | | | |
2.15% | | | 11/21/18 | | | | 2,500,000 | | | | 2,530,519 | |
| Capital One N.A. | | | | | | | | | |
2.40% | | | 09/05/19 | | | | 1,250,000 | | | | 1,270,319 | |
| Discover Bank | | | | | | | | | |
2.00% | | | 02/21/18 | | | | 2,410,000 | | | | 2,419,891 | |
| Discover Bank (BKNT) | | | | | | | | | |
3.10% | | | 06/04/20 | | | | 1,475,000 | | | | 1,519,638 | |
| HBOS PLC (GMTN) (United Kingdom) | | | | | | | | | |
6.75% | | | 05/21/18 | 3,4 | | | 2,915,000 | | | | 3,116,577 | |
| JPMorgan Chase & Co. | | | | | | | | | |
2.55% | | | 10/29/20 | | | | 5,690,000 | | | | 5,796,039 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Banking (continued) | |
| JPMorgan Chase Bank N.A. (BKNT) | | | | | | | | | |
6.00% | | | 07/05/17 | | | $ | 600,000 | | | $ | 621,101 | |
6.00% | | | 10/01/17 | | | | 500,000 | | | | 521,535 | |
| Royal Bank of Scotland PLC (United Kingdom) | | | | | | | | | |
6.40% | | | 10/21/19 | 4 | | | 1,800,000 | | | | 1,990,766 | |
| Santander UK Group Holdings PLC (United Kingdom) | | | | | | | | | |
2.88% | | | 10/16/20 | 4 | | | 1,300,000 | | | | 1,312,802 | |
| Santander UK PLC (United Kingdom) | | | | | | | | | |
1.38% | | | 03/13/17 | 4 | | | 1,555,000 | | | | 1,554,250 | |
| UBS AG/Stamford CT (GMTN) (Switzerland) | | | | | | | | | |
1.56% | | | 03/26/18 | 2,4 | | | 3,000,000 | | | | 3,006,860 | |
| UBS AG/Stamford CT (Switzerland) | | | | | | | | | |
1.40% | | | 06/01/17 | 2,4 | | | 1,500,000 | | | | 1,501,290 | |
| Wells Fargo & Co. | | | | | | | | | |
2.10% | | | 07/26/21 | | | | 2,000,000 | | | | 1,995,462 | |
2.50% | | | 03/04/21 | | | | 4,080,000 | | | | 4,148,381 | |
3.00% | | | 04/22/26 | | | | 1,000,000 | | | | 1,009,823 | |
| Wells Fargo Bank N.A. (BKNT) | | | | | | | | | |
1.65% | | | 01/22/18 | | | | 3,135,000 | | | | 3,144,891 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 56,800,324 | |
| | | | | | | | | | | | |
Commercial Services — 0.05% | | | | | |
| IHS Markit, Ltd. (Bermuda) | | | | | | | | | |
5.00% | | | 11/01/22 | 3,4 | | | 600,000 | | | | 637,860 | |
| | | | | | | | | | | | |
| |
Communications — 1.86% | | | | | |
| AT&T, Inc. | | | | | | | | | |
1.77% | | | 06/30/20 | 2 | | | 4,000,000 | | | | 4,036,768 | |
3.80% | | | 03/15/22 | | | | 1,500,000 | | | | 1,604,220 | |
3.90% | | | 03/11/24 | | | | 1,250,000 | | | | 1,340,231 | |
CBS Corp. | | | | | | | | | | | | |
2.90% | | | 01/15/27 | | | | 2,000,000 | | | | 1,954,274 | |
| Charter Communications Operating LLC/Charter Communications Operating Capital | | | | | | | | | |
4.46% | | | 07/23/22 | 3 | | | 2,795,000 | | | | 3,012,604 | |
4.91% | | | 07/23/25 | 3 | | | 1,000,000 | | | | 1,104,450 | |
| Comcast Corp. | | | | | | | | | |
2.75% | | | 03/01/23 | | | | 3,155,000 | | | | 3,277,998 | |
| CSC Holdings LLC | | | | | | | | | |
5.50% | | | 04/15/27 | 3 | | | 1,077,000 | | | | 1,106,617 | |
| Neptune Finco Corp. | | | | | | | | | |
6.63% | | | 10/15/25 | 3 | | | 200,000 | | | | 217,500 | |
| Sprint Communications, Inc. | | | | | | | | | |
9.00% | | | 11/15/18 | 3 | | | 1,250,000 | | | | 1,382,875 | |
| T-Mobile USA, Inc. | | | | | | | | | |
6.63% | | | 11/15/20 | | | | 800,000 | | | | 827,000 | |
6.73% | | | 04/28/22 | | | | 500,000 | | | | 527,500 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| 39 / Semi-Annual Report September 2016 |
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Communications (continued) | |
Verizon Communications, Inc. | | | | | |
5.15% | | | 09/15/23 | | | $ | 3,050,000 | | | $ | 3,555,634 | |
| | | | | | | | | | | | |
| | |
| | | | | | | | 23,947,671 | |
| | | | | | | | | | | | |
Consumer Discretionary — 0.54% | |
| Anheuser-Busch InBev Finance, Inc. | | | | | | | | | |
3.30% | | | 02/01/23 | | | | 2,560,000 | | | | 2,704,364 | |
3.65% | | | 02/01/26 | | | | 2,450,000 | | | | 2,627,774 | |
| Molson Coors Brewing Co. | | | | | | | | | |
3.00% | | | 07/15/26 | | | | 1,565,000 | | | | 1,579,090 | |
| | | | | | | | | | | | |
| | |
| | | | | | | | 6,911,228 | |
| | | | | | | | | | | | |
Electric — 3.35% | |
| AEP Texas Central Co. | | | | | | | | | |
3.85% | | | 10/01/25 | 3 | | | 1,800,000 | | | | 1,947,567 | |
| Black Hills Corp. | | | | | | | | | |
2.50% | | | 01/11/19 | | | | 2,510,000 | | | | 2,548,933 | |
| Duke Energy Corp. | | | | | | | | | |
2.65% | | | 09/01/26 | | | | 2,250,000 | | | | 2,211,054 | |
| Duquesne Light Holdings, Inc. | | | | | | | | | |
5.90% | | | 12/01/21 | 3 | | | 625,000 | | | | 728,203 | |
6.40% | | | 09/15/20 | 3 | | | 2,363,000 | | | | 2,737,965 | |
| Entergy Corp. | | | | | | | | | |
4.00% | | | 07/15/22 | | | | 3,000,000 | | | | 3,255,936 | |
| Entergy Mississippi, Inc. | | | | | | | | | |
3.10% | | | 07/01/23 | | | | 2,250,000 | | | | 2,325,914 | |
| Exelon Corp. | | | | | | | | | |
1.55% | | | 06/09/17 | | | | 3,030,000 | | | | 3,032,949 | |
| FirstEnergy Corp., Series A | | | | | | | | | |
2.75% | | | 03/15/18 | | | | 1,140,000 | | | | 1,153,520 | |
| Homer City Generation LP (PIK) | | | | | | | | | |
8.73% | | | 10/01/26 | 5,6 | | | 457,400 | | | | 166,951 | |
| IPALCO Enterprises, Inc. | | | | | | | | | |
5.00% | | | 05/01/18 | | | | 1,615,000 | | | | 1,693,731 | |
| Jersey Central Power & Light Co. | | | | | | | | | |
4.80% | | | 06/15/18 | | | | 2,025,000 | | | | 2,110,133 | |
| Kansas City Power & Light Co. | | | | | | | | | |
3.65% | | | 08/15/25 | | | | 1,000,000 | | | | 1,062,919 | |
| KCP&L Greater Missouri Operations Co. | | | | | | | | | |
8.27% | | | 11/15/21 | | | | 2,275,000 | | | | 2,758,582 | |
| Metropolitan Edison Co. | | | | | | | | | |
7.70% | | | 01/15/19 | | | | 500,000 | | | | 562,353 | |
| Mirant Mid Atlantic Pass-Through Trust, Series C | | | | | | | | | |
10.06% | | | 12/30/28 | 6 | | | 682,006 | | | | 535,375 | |
| NextEra Energy Capital Holdings, Inc., Series F | | | | | | | | | |
2.06% | | | 09/01/17 | | | | 3,600,000 | | | | 3,620,156 | |
| Oncor Electric Delivery Co. LLC | | | | | | | | | |
4.10% | | | 06/01/22 | | | | 1,500,000 | | | | 1,660,033 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| CORPORATES (continued) | |
| Electric (continued) | |
6.80% | | | 09/01/18 | | | $ | 900,000 | | | $ | 990,100 | |
| Public Service Co. of New Mexico | | | | | | | | | |
3.85% | | | 08/01/25 | | | | 1,800,000 | | | | 1,874,033 | |
7.95% | | | 05/15/18 | | | | 475,000 | | | | 524,058 | |
| Southwestern Electric Power Co. | | | | | | | | | |
3.55% | | | 02/15/22 | | | | 1,500,000 | | | | 1,603,435 | |
6.45% | | | 01/15/19 | | | | 1,109,000 | | | | 1,221,025 | |
| Texas-New Mexico Power Co. | | | | | | | | | |
9.50% | | | 04/01/19 | 3 | | | 1,800,000 | | | | 2,072,487 | |
| Tucson Electric Power Co. | | | | | | | | | |
3.85% | | | 03/15/23 | | | | 700,000 | | | | 717,614 | |
| | | | | | | | | | | | |
| | |
| | | | | | | | 43,115,026 | |
| | | | | | | | | | | | |
Energy — 2.79% | | | | | | | | | |
| Boardwalk Pipelines LP | | | | | | | | | |
5.20% | | | 06/01/18 | | | | 1,000,000 | | | | 1,011,352 | |
| BP Capital Markets PLC (United Kingdom) | | | | | | | | | |
3.06% | | | 03/17/22 | 4 | | | 1,700,000 | | | | 1,782,929 | |
| Brooklyn Union Gas Co. (The) | | | | | | | | | |
3.41% | | | 03/10/26 | 3 | | | 4,000,000 | | | | 4,254,088 | |
| Canadian Natural Resources Ltd. (Canada) | | | | | | | | | |
3.90% | | | 02/01/25 | 4 | | | 1,000,000 | | | | 1,005,783 | |
| Columbia Pipeline Group, Inc. | | | | | | | | | |
2.45% | | | 06/01/18 | | | | 3,135,000 | | | | 3,154,939 | |
| Enbridge Energy Partners LP | | | | | | | | | |
5.88% | | | 10/15/25 | | | | 1,250,000 | | | | 1,437,211 | |
| Energy Transfer Partners LP | | | | | | | | | |
2.50% | | | 06/15/18 | | | | 2,000,000 | | | | 2,013,918 | |
3.77% | | | 11/01/66 | 2 | | | 1,300,000 | | | | 884,000 | |
| Florida Gas Transmission Co. LLC | | | | | | | | | |
3.88% | | | 07/15/22 | 3 | | | 1,000,000 | | | | 1,041,943 | |
7.90% | | | 05/15/19 | 3 | | | 1,500,000 | | | | 1,702,638 | |
| Noble Energy, Inc. | | | | | | | | | |
3.90% | | | 11/15/24 | | | | 600,000 | | | | 613,579 | |
| Petroleos Mexicanos (Mexico) | | | | | | | | | |
2.00% | | | 12/20/22 | 4 | | | 1,950,000 | | | | 1,969,321 | |
| Regency Energy Partners LP/Regency Energy Finance Corp. | | | | | | | | | |
5.00% | | | 10/01/22 | | | | 300,000 | | | | 317,156 | |
| Ruby Pipeline LLC | | | | | | | | | |
6.00% | | | 04/01/22 | 3 | | | 1,250,000 | | | | 1,334,093 | |
| Shell International Finance BV (Netherlands) | | | | | | | | | |
3.25% | | | 05/11/25 | 4 | | | 2,450,000 | | | | 2,586,210 | |
| Spectra Energy Partners LP | | | | | | | | | |
2.95% | | | 09/25/18 | | | | 1,275,000 | | | | 1,298,970 | |
| TC PipeLines LP | | | | | | | | | |
4.65% | | | 06/15/21 | | | | 2,575,000 | | | | 2,704,371 | |
| Texas Eastern Transmission LP | | | | | | | | | |
2.80% | | | 10/15/22 | 3 | | | 3,080,000 | | | | 3,076,655 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| Semi-Annual Report September 2016 / 40 |
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Energy (continued) | |
| Williams Partners LP | | | | | | | | | |
3.35% | | | 08/15/22 | | | $ | 750,000 | | | $ | 747,963 | |
3.60% | | | 03/15/22 | | | | 2,967,000 | | | | 3,022,148 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 35,959,267 | |
| | | | | | | | | | | | |
Finance — 4.88% | |
| Bear Stearns Cos. LLC (The) | | | | | | | | | |
6.40% | | | 10/02/17 | | | | 2,000,000 | | | | 2,095,144 | |
7.25% | | | 02/01/18 | | | | 2,140,000 | | | | 2,298,587 | |
| Chase Capital III, Series C | | | | | | | | | |
1.39% | | | 03/01/27 | 2 | | | 500,000 | | | | 444,375 | |
| CIT Group, Inc. | | | | | | | | | |
4.25% | | | 08/15/17 | | | | 1,049,000 | | | | 1,069,980 | |
| Citigroup, Inc. | | | | | | | | | |
1.31% | | | 08/14/17 | 2 | | | 750,000 | | | | 750,424 | |
1.38% | | | 08/25/36 | 2 | | | 205,000 | | | | 151,876 | |
2.52% | | | 05/15/18 | 2 | | | 583,000 | | | | 592,302 | |
| Durrah MSN 35603 (Cayman Islands) | | | | | | | | | |
1.68% | | | 01/22/25 | 4 | | | 4,665,097 | | | | 4,643,059 | |
| Ford Motor Credit Co. LLC | | | | | | | | | |
1.81% | | | 01/09/18 | 2 | | | 4,000,000 | | | | 4,010,960 | |
| General Electric Corp. (GMTN) | | | | | | | | | |
3.10% | | | 01/09/23 | | | | 230,000 | | | | 244,554 | |
5.63% | | | 05/01/18 | | | | 730,000 | | | | 781,682 | |
| General Electric Corp. (MTN) | | | | | | | | | |
1.16% | | | 05/05/26 | 2 | | | 1,610,000 | | | | 1,592,395 | |
| General Motors Financial Co., Inc. | | | | | | | | | |
3.00% | | | 09/25/17 | | | | 2,000,000 | | | | 2,026,133 | |
| Goldman Sachs Group, Inc. (GMTN) (The) | | | | | | | | | |
7.50% | | | 02/15/19 | | | | 550,000 | | | | 621,987 | |
| Goldman Sachs Group, Inc. (MTN) (The) | | | | | | | | | |
1.65% | | | 12/15/17 | 2 | | | 1,000,000 | | | | 1,003,234 | |
3.85% | | | 07/08/24 | | | | 2,775,000 | | | | 2,952,624 | |
| Goldman Sachs Group, Inc. (The) | | | | | | | | | |
1.48% | | | 05/22/17 | 2 | | | 1,000,000 | | | | 1,001,830 | |
2.75% | | | 09/15/20 | | | | 1,635,000 | | | | 1,676,303 | |
5.95% | | | 01/18/18 | | | | 350,000 | | | | 369,378 | |
6.15% | | | 04/01/18 | | | | 1,100,000 | | | | 1,172,042 | |
| International Lease Finance Corp. | | | | | | | | | |
7.13% | | | 09/01/18 | 3 | | | 1,850,000 | | | | 2,022,281 | |
| JPMorgan Chase Capital XIII, Series M | | | | | | | | | |
1.79% | | | 09/30/34 | 2 | | | 1,070,000 | | | | 883,010 | |
| JPMorgan Chase Capital XXI, Series U | | | | | | | | | |
1.71% | | | 02/02/37 | 2 | | | 1,650,000 | | | | 1,329,492 | |
| Morgan Stanley | | | | | | | | | |
1.60% | | | 01/05/18 | 2 | | | 3,000,000 | | | | 3,005,484 | |
| Morgan Stanley (GMTN) | | | | | | | | | |
2.38% | | | 07/23/19 | | | | 1,000,000 | | | | 1,018,794 | |
5.45% | | | 01/09/17 | | | | 2,250,000 | | | | 2,275,000 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Finance (continued) | |
6.63% | | | 04/01/18 | | | $ | 1,000,000 | | | $ | 1,071,863 | |
| Morgan Stanley (MTN) | | | | | | | | | |
5.55% | | | 04/27/17 | | | | 1,000,000 | | | | 1,023,225 | |
6.25% | | | 08/28/17 | | | | 800,000 | | | | 833,592 | |
| Protective Life Global Funding | | | | | | | | | |
1.72% | | | 04/15/19 | 3 | | | 1,800,000 | | | | 1,806,304 | |
2.70% | | | 11/25/20 | 3 | | | 3,115,000 | | | | 3,209,358 | |
| Safina Ltd. (Cayman Islands) | | | | | | | | | |
2.00% | | | 12/30/23 | 4 | | | 8,669,616 | | | | 8,777,552 | |
| Sandalwood 2013 LLC | | | | | | | | | |
2.90% | | | 07/10/25 | | | | 2,590,735 | | | | 2,723,511 | |
| SL Green Realty Corp. | | | | | | | | | |
5.00% | | | 08/15/18 | | | | 1,200,000 | | | | 1,253,669 | |
| Visa, Inc. | | | | | | | | | |
3.15% | | | 12/14/25 | | | | 2,040,000 | | | | 2,158,315 | |
| | | | | | | | | | | | |
| | |
| | | | | | | | 62,890,319 | |
| | | | | | | | | | | | |
Food — 0.24% | | | | | |
| Kraft Heinz Foods Co. | | | | | | | | | |
3.00% | | | 06/01/26 | | | | 2,000,000 | | | | 2,020,070 | |
3.95% | | | 07/15/25 | | | | 1,000,000 | | | | 1,083,909 | |
| | | | | | | | | | | | |
| | |
| | | | | | | | 3,103,979 | |
| | | | | | | | | | | | |
Health Care — 3.46% | | | | | |
| AbbVie, Inc. | | | | | | | | | |
3.60% | | | 05/14/25 | | | | 4,380,000 | | | | 4,586,517 | |
| Actavis Funding SCS (Luxembourg) | | | | | | | | | |
3.45% | | | 03/15/22 | 4 | | | 4,000,000 | | | | 4,204,420 | |
3.80% | | | 03/15/25 | 4 | | | 1,250,000 | | | | 1,325,276 | |
| Aetna, Inc. | | | | | | | | | |
1.70% | | | 06/07/18 | | | | 3,185,000 | | | | 3,196,251 | |
| Amgen, Inc. | | | | | | | | | |
3.63% | | | 05/15/22 | | | | 3,000,000 | | | | 3,224,513 | |
| AstraZeneca PLC (United Kingdom) | | | | | | | | | |
3.38% | | | 11/16/25 | 4 | | | 3,200,000 | | | | 3,421,099 | |
| Baxalta, Inc. | | | | | | | | | |
2.00% | | | 06/22/18 | | | | 1,405,000 | | | | 1,411,051 | |
2.88% | | | 06/23/20 | | | | 1,400,000 | | | | 1,436,926 | |
| Biogen, Inc. | | | | | | | | | |
3.63% | | | 09/15/22 | | | | 1,825,000 | | | | 1,954,459 | |
| Catholic Health Initiatives | | | | | | | | | |
2.60% | | | 08/01/18 | | | | 1,000,000 | | | | 1,017,095 | |
2.95% | | | 11/01/22 | | | | 500,000 | | | | 506,681 | |
| Celgene Corp. | | | | | | | | | |
2.13% | | | 08/15/18 | | | | 2,950,000 | | | | 2,985,606 | |
| Express Scripts Holding Co. | | | | | | | | | |
3.40% | | | 03/01/27 | | | | 1,440,000 | | | | 1,451,271 | |
| Gilead Sciences, Inc. | | | | | | | | | |
2.95% | | | 03/01/27 | | | | 3,240,000 | | | | 3,278,375 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| 41 / Semi-Annual Report September 2016 |
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| CORPORATES (continued) | |
| Health Care (continued) | |
| Grifols Worldwide Operations, Ltd. (Ireland) | | | | | | | | | |
5.25% | | | 04/01/22 | 4 | | $ | 200,000 | | | $ | 208,000 | |
| HCA, Inc. | | | | | | | | | |
6.50% | | | 02/15/20 | | | | 955,000 | | | | 1,063,154 | |
| Johnson & Johnson | | | | | | | | | |
2.45% | | | 03/01/26 | | | | 2,525,000 | | | | 2,600,268 | |
| Mylan NV (Netherlands) | | | | | | | | | |
3.00% | | | 12/15/18 | 3,4 | | | 3,000,000 | | | | 3,070,447 | |
| Providence Health & Services Obligated Group | | | | | | | | | |
1.80% | | | 10/01/17 | 2 | | | 1,975,000 | | | | 1,979,679 | |
| Valeant Pharmaceuticals International, Inc. (Canada) | | | | | | | | | |
5.88% | | | 05/15/23 | 3,4 | | | 1,765,000 | | | | 1,533,344 | |
6.13% | | | 04/15/25 | 3,4 | | | 150,000 | | | | 130,125 | |
| | | | | | | | | | | | |
| | |
| | | | | | | | 44,584,557 | |
| | | | | | | | | | | | |
Industrials — 0.31% | | | | | |
| Clean Harbors, Inc. | | | | | | | | | |
5.13% | | | 06/01/21 | | | | 600,000 | | | | 618,000 | |
| SBA Communications Corp. | | | | | | | | | |
4.88% | | | 09/01/24 | 3 | | | 905,000 | | | | 916,313 | |
| Siemens Financieringsmaatschappij NV (Netherlands) | | | | | | | | | |
2.00% | | | 09/15/23 | 3,4 | | | 2,000,000 | | | | 1,978,896 | |
| Sydney Airport Finance Co. Pty Ltd. (Australia) | | | | | | | | | |
3.38% | | | 04/30/25 | 3,4 | | | 525,000 | | | | 538,668 | |
| | | | | | | | | | | | |
| | |
| | | | | | | | 4,051,877 | |
| | | | | | | | | | | | |
Information Technology — 0.23% | | | | | |
| Oracle Corp. | | | | | | | | | |
2.40% | | | 09/15/23 | | | | 2,565,000 | | | | 2,581,367 | |
| SS&C Technologies Holdings, Inc. | | | | | | | | | |
5.88% | | | 07/15/23 | | | | 350,000 | | | | 370,125 | |
| | | | | | | | | | | | |
| | |
| | | | | | | | 2,951,492 | |
| | | | | | | | | | | | |
Insurance — 1.81% | | | | | |
| Berkshire Hathaway, Inc. | | | | | | | | | |
3.13% | | | 03/15/26 | | | | 3,800,000 | | | | 4,001,449 | |
| Jackson National Life Global Funding | | | | | | | | | |
1.88% | | | 10/15/18 | 3 | | | 2,000,000 | | | | 2,021,003 | |
3.05% | | | 04/29/26 | 3 | | | 813,000 | | | | 825,396 | |
| Metropolitan Life Global Funding I | | | | | | | | | |
1.55% | | | 09/13/19 | 3 | | | 3,000,000 | | | | 2,993,438 | |
3.88% | | | 04/11/22 | 3 | | | 1,000,000 | | | | 1,086,852 | |
| Nationwide Mutual Insurance Co. | | | | | | | | | |
3.14% | | | 12/15/24 | 2,3 | | | 1,552,000 | | | | 1,520,960 | |
| New York Life Global Funding | | | | | | | | | |
1.13% | | | 03/01/17 | 3 | | | 1,200,000 | | | | 1,200,709 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| CORPORATES (continued) | |
| Insurance (continued) | |
1.55% | | | 11/02/18 | 3 | | $ | 2,000,000 | | | $ | 2,009,554 | |
2.00% | | | 04/13/21 | 3 | | | 2,000,000 | | | | 2,018,351 | |
| Pricoa Global Funding I | | | | | | | | | |
2.55% | | | 11/24/20 | 3 | | | 2,495,000 | | | | 2,572,296 | |
| Principal Life Global Funding II | | | | | | | | | |
2.63% | | | 11/19/20 | 3 | | | 3,000,000 | | | | 3,079,248 | |
| | | | | | | | | | | | |
| | |
| | | | | | | | 23,329,256 | |
| | | | | | | | | | | | |
Real Estate Investment Trust (REIT) — 1.89% | |
| Alexandria Real Estate Equities, Inc. | | | | | | | | | |
3.90% | | | 06/15/23 | | | | 150,000 | | | | 156,985 | |
4.60% | | | 04/01/22 | | | | 2,000,000 | | | | 2,184,194 | |
| American Campus Communities Operating Partnership LP | | | | | | | | | |
3.35% | | | 10/01/20 | | | | 3,000,000 | | | | 3,133,439 | |
| Boston Properties LP | | | | | | | | | |
3.70% | | | 11/15/18 | | | | 2,000,000 | | | | 2,087,108 | |
| HCP, Inc. | | | | | | | | | |
4.00% | | | 12/01/22 | | | | 2,250,000 | | | | 2,380,346 | |
4.25% | | | 11/15/23 | | | | 1,895,000 | | | | 1,987,200 | |
| Piedmont Operating Partnership LP | | | | | | | | | |
3.40% | | | 06/01/23 | | | | 1,900,000 | | | | 1,874,086 | |
| SL Green Realty Corp. | | | | | | | | | |
7.75% | | | 03/15/20 | | | | 650,000 | | | | 753,086 | |
| Ventas Realty LP/Ventas Capital Corp. | | | | | | | | | |
2.70% | | | 04/01/20 | | | | 1,025,000 | | | | 1,051,190 | |
| WEA Finance LLC/Westfield UK & Europe Finance PLC | | | | | | | | | |
1.75% | | | 09/15/17 | 3 | | | 2,000,000 | | | | 2,004,194 | |
2.70% | | | 09/17/19 | 3 | | | 2,245,000 | | | | 2,302,721 | |
| Welltower, Inc. | | | | | | | | | |
3.75% | | | 03/15/23 | | | | 1,000,000 | | | | 1,051,598 | |
4.25% | | | 04/01/26 | | | | 1,250,000 | | | | 1,354,391 | |
4.70% | | | 09/15/17 | | | | 1,000,000 | | | | 1,030,069 | |
5.25% | | | 01/15/22 | | | | 930,000 | | | | 1,054,716 | |
| | | | | | | | | | | | |
| | |
| | | | | | | | 24,405,323 | |
| | | | | | | | | | | | |
Retail — 0.47% | | | | | |
| CVS Health Corp. | | | | | | | | | |
2.88% | | | 06/01/26 | | | | 2,100,000 | | | | 2,135,492 | |
| Walgreens Boots Alliance, Inc. | | | | | | | | | |
3.10% | | | 06/01/23 | | | | 3,840,000 | | | | 3,966,566 | |
| | | | | | | | | | | | |
| | |
| | | | | | | | 6,102,058 | |
| | | | | | | | | | | | |
Transportation — 1.38% | | | | | |
| American Airlines Pass-Through Trust, Series 2013-2, Class A | | | | | | | | | |
4.95% | | | 01/15/23 | | | | 1,574,255 | | | | 1,717,905 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| Semi-Annual Report September 2016 / 42 |
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | | | | | |
Transportation (continued) | | | | | | | | | |
| Continental Airlines Pass-Through Trust, Series 1997, Class 4A | | | | | | | | | |
6.90% | | | 01/02/18 | | | $ | 12,741 | | | $ | 12,956 | |
| Continental Airlines Pass-Through Trust, Series 1999-1, Class A | | | | | | | | | |
6.55% | | | 08/02/20 | | | | 494,893 | | | | 525,502 | |
| Continental Airlines Pass-Through Trust, Series 1999-2, Class A1 | | | | | | | | | |
7.26% | | | 03/15/20 | | | | 199,684 | | | | 215,539 | |
| Continental Airlines Pass-Through Trust, Series 2007, Class 1A | | | | | | | | | |
5.98% | | | 04/19/22 | | | | 2,605,177 | | | | 2,940,593 | |
| Continental Airlines Pass-Through Trust, Series 2009, Class A2 | | | | | | | | | |
7.25% | | | 11/10/19 | | | | 2,629,644 | | | | 3,002,725 | |
| Delta Air Lines Pass-Through Trust, Series 2002-1, Class G1 | | | | | | | | | |
6.72% | | | 01/02/23 | | | | 926,212 | | | | 1,069,775 | |
| JetBlue Airways Pass-Through Trust, Series 2004-2, Class G2 | | | | | | | | | |
1.27% | | | 11/15/16 | 2 | | | 3,892,000 | | | | 3,877,989 | |
| Northwest Airlines Pass-Through Trust, Series 2001-1, Class A1 | | | | | | | | | |
7.04% | | | 04/01/22 | | | | 1,332,401 | | | | 1,533,127 | |
| U.S. Airways Pass-Through Trust, Series 2011-1, Class A | | | | | | | | | |
7.13% | | | 10/22/23 | | | | 1,014,886 | | | | 1,208,348 | |
| U.S. Airways Pass-Through Trust, Series 2011-1, Class G | | | | | | | | | |
7.08% | | | 03/20/21 | | | | 399,209 | | | | 432,893 | |
| U.S. Airways Pass-Through Trust, Series 2012, Class A | | | | | | | | | |
4.63% | | | 06/03/25 | | | | 398,132 | | | | 435,456 | |
| U.S. Airways Pass-Through Trust, Series 2012-1, Class A | | | | | | | | | |
5.90% | | | 10/01/24 | | | | 639,556 | | | | 737,887 | |
| UAL Pass-Through Trust, Series 2009-2A, Class 2 | | | | | | | | | |
9.75% | | | 01/15/17 | | | | 93,542 | | | | 95,993 | |
| | | | | | | | | | | | |
| | |
| | | | | | | | 17,806,688 | |
| | | | | | | | | | | | |
Total Corporates (Cost $350,314,861) | | | | | | | | 358,140,534 | |
| | | | | | | | | | | | |
|
MORTGAGE-BACKED — 19.17%** | |
Commercial Mortgage-Backed — 1.34% | |
| 225 Liberty Street Trust, Series 2016-225L, Class A | | | | | | | | | |
3.60% | | | 02/10/36 | 3 | | | 1,225,000 | | | | 1,326,098 | |
| Banc of America Merrill Lynch Commercial Mortgage Trust, Series 2012-PARK, Class A | | | | | | | | | |
2.96% | | | 12/10/30 | 3 | | | 3,417,000 | | | | 3,573,013 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Commercial Mortgage-Backed (continued) | | | | | | | | | |
| Citigroup Commercial Mortgage Trust, Series 2012-GC8, Class XA (IO) | | | | | | | | | |
2.31% | | | 09/10/45 | 2,3,6 | | $ | 8,819,863 | | | $ | 607,771 | |
| Commercial Mortgage Trust, Series 2013-300P, Class A1 | | | | | | | | | |
4.35% | | | 08/10/30 | 3 | | | 1,160,000 | | | | 1,307,523 | |
| Commercial Mortgage Trust, Series 2014-277P, Class A | | | | | | | | | |
3.73% | | | 08/10/49 | 2,3 | | | 1,265,000 | | | | 1,374,682 | |
| Commercial Mortgage Trust, Series 2016-787S, Class A | | | | | | | | | |
3.55% | | | 02/01/36 | 2,3 | | | 1,225,000 | | | | 1,321,291 | |
| DBRR Trust, Series 2011-LC2, Class A4A | | | | | | | | | |
4.54% | | | 04/12/21 | 2,3 | | | 516,997 | | | | 564,628 | |
| DBRR Trust, Series 2012-EZ1, Class C | | | | | | | | | |
2.06% | | | 09/25/45 | 3 | | | 643,978 | | | | 644,023 | |
| DBUBS Mortgage Trust, Series 2011-LC1A, Class A1 | | | | | | | | | |
3.74% | | | 11/10/46 | 3 | | | 61,648 | | | | 62,136 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2006-CB17, Class A4 | | | | | | | | | |
5.43% | | | 12/12/43 | | | | 1,043 | | | | 1,045 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LD12, | | | | | | | | | |
| Class ASB | | | | | | | | | |
5.83% | | | 02/15/51 | 2 | | | 40,002 | | | | 39,971 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2010-CNTR, | | | | | | | | | |
| Class A2 | | | | | | | | | |
4.31% | | | 08/05/32 | 3 | | | 1,090,000 | | | | 1,173,389 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2011-C3, | | | | | | | | | |
| Class A2 | | | | | | | | | |
3.67% | | | 02/15/46 | 3 | | | 9,233 | | | | 9,229 | |
| Morgan Stanley Capital I Trust, Series 2014-CPT, Class A | | | | | | | | | |
3.35% | | | 07/13/29 | 3 | | | 950,000 | | | | 1,009,393 | |
| RBS Commercial Funding Trust, Series 2013-GSP, Class A | | | | | | | | | |
3.96% | | | 01/13/32 | 2,3 | | | 1,170,000 | | | | 1,284,218 | |
| SFAVE Commercial Mortgage Securities Trust, Series 2015-5AVE, Class A1 | | | | | | | | | |
3.87% | | | 01/05/35 | 2,3 | | | 1,285,000 | | | | 1,339,734 | |
| Wells Fargo Commercial Mortgage Trust, Series 2010-C1, Class A1 | | | | | | | | | |
3.35% | | | 11/15/43 | 3 | | | 1,614,785 | | | | 1,669,154 | |
| | | | | | | | | | | | |
| | |
| | | | | | | | 17,307,298 | |
| | | | | | | | | | | | |
Non-Agency Mortgage-Backed — 7.24% | | | | | |
| ACE Securities Corp. Home Equity Loan Trust, Series 2006-NC1, Class A1 | | | | | | | | | |
0.75% | | | 12/25/35 | 2 | | | 6,313,312 | | | | 6,269,302 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| 43 / Semi-Annual Report September 2016 |
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | | | | | |
| Ameriquest Mortgage Securities, Inc., Series 2004-R8, Class M1 | | | | | | | | | |
1.49% | | | 09/25/34 | 2 | | $ | 2,129,990 | | | $ | 2,125,485 | |
| Ameriquest Mortgage Securities, Inc., Series 2005-R3, Class M1 | | | | | | | | | |
0.97% | | | 05/25/35 | 2 | | | 1,894,862 | | | | 1,888,727 | |
| Ameriquest Mortgage Securities, Inc., Series 2005-R4, Class M1 | | | | | | | | | |
0.96% | | | 07/25/35 | 2 | | | 1,910,000 | | | | 1,889,329 | |
| Ameriquest Mortgage Securities, Inc., Series 2005-R5, Class M1 | | | | | | | | | |
0.96% | | | 07/25/35 | 2 | | | 870,631 | | | | 872,811 | |
| Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2004-HE9, Class M1 | | | | | | | | | |
1.50% | | | 12/25/34 | 2 | | | 665,229 | | | | 618,046 | |
| Banc of America Funding Trust, Series 2003-2, Class 1A1 | | | | | | | | | |
6.50% | | | 06/25/32 | | | | 3,363 | | | | 3,550 | |
| Banc of America Funding Trust, Series 2015-R2, Class 9A1 | �� | | | | | | | | |
0.74% | | | 03/25/37 | 2,3 | | | 2,442,925 | | | | 2,372,688 | |
| Bear Stearns Asset-Backed Securities Trust, Series 2005-HE9, Class M1 | | | | | | | | | |
1.04% | | | 10/25/35 | 2 | | | 20,677 | | | | 20,728 | |
| Centex Home Equity Loan Trust, Series 2005-D, Class M1 | | | | | | | | | |
0.96% | | | 10/25/35 | 2 | | | 1,039,298 | | | | 1,041,243 | |
| Chevy Chase Mortgage Funding Corp., Series 2005-2A, Class A1 | | | | | | | | | |
0.70% | | | 05/25/36 | 2,3 | | | 145,291 | | | | 131,112 | |
| Citigroup Mortgage Loan Trust, Inc., Series 2004-HYB1, Class A41 | | | | | | | | | |
3.26% | | | 02/25/34 | 2 | | | 15,156 | | | | 15,063 | |
| Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH2, Class A3 | | | | | | | | | |
0.71% | | | 03/25/37 | 2 | | | 901,371 | | | | 896,498 | |
| Conseco Finance Securitizations Corp., Series 2001-4, Class A4 | | | | | | | | | |
7.36% | | | 09/01/33 | | | | 241,535 | | | | 258,747 | |
| Conseco Finance, Series 2002-C, Class BF2 | | | | | | | | | |
8.00% | | | 06/15/32 | 2,3 | | | 204,164 | | | | 219,237 | |
| Conseco Financial Corp., Series 1996-7, Class M1 | | | | | | | | | |
7.70% | | | 10/15/27 | 2 | | | 481,732 | | | | 527,228 | |
Conseco Financial Corp., Series 1997-3, Class A7 | | | | | | | | | |
7.64% | | | 03/15/28 | 2 | | | 90,500 | | | | 94,302 | |
| Conseco Financial Corp., Series 1998-4, Class A5 | | | | | | | | | |
6.18% | | | 04/01/30 | | | | 278,675 | | | | 287,657 | |
| | | | | | | | | | | | |
| 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 | | | $ | 515,922 | | | $ | 554,085 | |
| Countryplace Manufactured Housing Contract Trust, Series 2007-1, Class A4 | | | | | | | | | |
5.85% | | | 07/15/37 | 2,3 | | | 700,000 | | | | 704,069 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-14, Class 4A1 | | | | | | | | | |
2.98% | | | 08/25/34 | 2 | | | 94,300 | | | | 91,512 | |
| Credit Suisse Mortgage Trust, Series 2014-4R, Class 16A1 | | | | | | | | | |
0.72% | | | 02/27/36 | 2,3 | | | 1,351,025 | | | | 1,320,624 | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2003-CB3, Class AF1 (STEP) | | | | | | | | | |
3.38% | | | 12/25/32 | | | | 1,190,443 | | | | 1,173,831 | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB2, Class AF4 (STEP) | | | | | | | | | |
3.49% | | | 12/25/36 | | | | 677,487 | | | | 510,566 | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB5, Class A1 | | | | | | | | | |
0.58% | | | 04/25/37 | 2 | | | 179,994 | | | | 127,919 | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB5, Class A3 | | | | | | | | | |
0.77% | | | 04/25/37 | 2 | | | 2,138,799 | | | | 1,556,346 | |
| First Horizon Alternative Mortgage Securities Trust, Series 2004-AA3, Class A1 | | | | | | | | | |
2.78% | | | 09/25/34 | 2 | | | 398,052 | | | | 388,390 | |
| Green Tree, Series 2008-MH1, Class A2 | | | | | | | | | |
8.97% | | | 04/25/38 | 2,3 | | | 27,337 | | | | 27,448 | |
| Green Tree, Series 2008-MH1, Class A3 | | | | | | | | | |
8.97% | | | 04/25/38 | 2,3 | | | 39,663 | | | | 39,824 | |
| GSAA Home Equity Trust, Series 2005-9, Class 1A1 | | | | | | | | | |
0.81% | | | 08/25/35 | 2 | | | 1,130,465 | | | | 1,089,195 | |
| Home Loan Trust, Series 2001-HI3, Class AI7 (STEP) | | | | | | | | | |
7.56% | | | 07/25/26 | | | | 74,706 | | | | 75,633 | |
| HSBC Home Equity Loan Trust, Series 2007-3, Class APT | | | | | | | | | |
1.73% | | | 11/20/36 | 2 | | | 652,356 | | | | 652,491 | |
| HSI Asset Securitization Corp. Trust, Series 2006-OPT1, Class 1A | | | | | | | | | |
0.75% | | | 12/25/35 | 2 | | | 3,993,685 | | | | 3,977,498 | |
| IndyMac Index Mortgage Loan Trust, Series 2004-AR8, Class 2A2A | | | | | | | | | |
1.33% | | | 11/25/34 | 2 | | | 31,332 | | | | 26,598 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| Semi-Annual Report September 2016 / 44 |
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | | | | | |
| IndyMac Index Mortgage Loan Trust, Series 2007-AR11, Class 1A1 | | | | | | | | | |
2.84% | | | 06/25/37 | 2 | | $ | 1,283,592 | | | $ | 969,167 | |
| IndyMac Manufactured Housing Contract, Series 1997-1, Class A3 | | | | | | | | | |
6.61% | | | 02/25/28 | | | | 242,752 | | | | 246,320 | |
| IndyMac Manufactured Housing Contract, Series 1997-1, Class A4 | | | | | | | | | |
6.75% | | | 02/25/28 | | | | 64,623 | | | | 65,779 | |
| IndyMac Manufactured Housing Contract, Series 1998-1, Class A4 | | | | | | | | | |
6.49% | | | 09/25/28 | | | | 149,162 | | | | 154,568 | |
| JPMorgan Mortgage Trust, Series 2007-A3, Class 3A2 | | | | | | | | | |
4.31% | | | 05/25/37 | 2 | | | 400,477 | | | | 373,472 | |
| Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A4 | | | | | | | | | |
5.27% | | | 04/15/40 | | | | 128,238 | | | | 132,555 | |
| Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A5 | | | | | | | | | |
5.87% | | | 04/15/40 | | | | 73,685 | | | | 76,043 | |
| Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A6 | | | | | | | | | |
6.47% | | | 04/15/40 | 2 | | | 232,216 | | | | 243,474 | |
| MASTR Adjustable Rate Mortgages Trust, Series 2003-6, Class 4A2 | | | | | | | | | |
2.93% | | | 01/25/34 | 2 | | | 184,627 | | | | 180,235 | |
| MASTR Adjustable Rate Mortgages Trust, Series 2004-1, Class 2A1 | | | | | | | | | |
3.25% | | | 01/25/34 | 2 | | | 654 | | | | 642 | |
| MASTR Asset Securitization Trust, Series 2002-8, Class 1A1 | | | | | | | | | |
5.50% | | | 12/25/17 | | | | 475 | | | | 477 | |
| MASTR Asset-Backed Securities Trust, Series 2005-WF1, Class M1 | | | | | | | | | |
0.94% | | | 06/25/35 | 2 | | | 1,148,766 | | | | 1,151,544 | |
| MASTR Asset-Backed Securities Trust, Series 2006-AB1, Class A2 | | | | | | | | | |
0.76% | | | 02/25/36 | 2 | | | 457,165 | | | | 457,009 | |
| MASTR Seasoned Securities Trust, Series 2004-1, Class 4A1 | | | | | | | | | |
2.92% | | | 10/25/32 | 2 | | | 1,630 | | | | 1,637 | |
| MASTR Seasoned Securities Trust, Series 2005-1, Class 4A1 | | | | | | | | | |
2.86% | | | 10/25/32 | 2 | | | 18,147 | | | | 18,176 | |
| Merrill Lynch First Franklin Mortgage Loan Trust, Series 2005-FF4, Class M1 | | | | | | | | | |
1.17% | | | 05/25/35 | 2 | | | 128,663 | | | | 128,909 | |
| Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-3, Class A2C | | | | | | | | | |
0.71% | | | 06/25/37 | 2 | | | 618,620 | | | | 424,081 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | | | | | |
| Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-3, Class A2D | | | | | | | | | |
0.78% | | | 06/25/37 | 2 | | $ | 1,143,194 | | | $ | 834,532 | |
| Mid-State Trust XI, Series 2011, Class A1 | | | | | | | | | |
4.86% | | | 07/15/38 | | | | 915,036 | | | | 981,245 | |
| Mid-State Trust, Series 2004-1, Class A | | | | | | | | | |
6.01% | | | 08/15/37 | | | | 467,232 | | | | 510,839 | |
| Mid-State Trust, Series 2004-1, Class B | | | | | | | | | |
8.90% | | | 08/15/37 | | | | 641,299 | | | | 735,361 | |
| Mid-State Trust, Series 2004-1, Class M1 | | | | | | | | | |
6.50% | | | 08/15/37 | | | | 458,071 | | | | 489,248 | |
| Mid-State Trust, Series 2005-1, Class M2 | | | | | | | | | |
7.08% | | | 01/15/40 | | | | 719,905 | | | | 796,196 | |
| Morgan Stanley Capital I Trust, Series 2004-NC7, Class M2 | | | | | | | | | |
1.46% | | | 07/25/34 | 2 | | | 1,096,334 | | | | 1,078,078 | |
| Morgan Stanley Capital I Trust, Series 2005-HE3, Class M3 | | | | | | | | | |
1.32% | | | 07/25/35 | 2 | | | 1,742,334 | | | | 1,716,321 | |
| Morgan Stanley Capital I Trust, Series 2006-NC1, Class A4 | | | | | | | | | |
0.83% | | | 12/25/35 | 2 | | | 4,668,120 | | | | 4,607,098 | |
| New Century Home Equity Loan Trust, Series 2005-3, Class M1 | | | | | | | | | |
1.01% | | | 07/25/35 | 2 | | | 169,676 | | | | 170,017 | |
| New Century Home Equity Loan Trust, Series 2005-D, Class A1 | | | | | | | | | |
0.75% | | | 02/25/36 | 2 | | | 6,685,552 | | | | 6,440,046 | |
| New York Mortgage Trust, Series 2005-3, Class A1 | | | | | | | | | |
1.01% | | | 02/25/36 | 2 | | | 2,843,454 | | | | 2,666,215 | |
| Park Place Securities, Inc., Series 2004-WCW1, Class M2 | | | | | | | | | |
1.55% | | | 09/25/34 | 2 | | | 423,047 | | | | 429,904 | |
| Park Place Securities, Inc., Series 2005-WCW1, Class M1 | | | | | | | | | |
0.98% | | | 09/25/35 | 2 | | | 2,535,784 | | | | 2,524,214 | |
| Park Place Securities, Inc., Series 2005-WHG4, Class A2D | | | | | | | | | |
0.90% | | | 09/25/35 | 2 | | | 1,506,354 | | | | 1,498,369 | |
| Park Place Securities, Inc., Series 2005-WHQ2, Class M1 | | | | | | | | | |
1.16% | | | 05/25/35 | 2 | | | 1,433,791 | | | | 1,431,220 | |
| RBSSP Resecuritization Trust, Series 2009-6, Class 11A4 | | | | | | | | | |
0.94% | | | 08/26/36 | 2,3 | | | 1,187,169 | | | | 1,123,529 | |
| Residential Asset Mortgage Product Trust, Series 2003-SL1, Class A41 | | | | | | | | | |
8.00% | | | 04/25/31 | | | | 28,820 | | | | 31,314 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| 45 / Semi-Annual Report September 2016 |
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | | | | | |
| Residential Asset Mortgage Products Trust, Series 2002-RS4, Class AI5 (STEP) | | | | | | | | | |
6.16% | | | 08/25/32 | | | $ | 2,220 | | | $ | 2,151 | |
| Residential Asset Mortgage Products Trust, Series 2003-RS1, Class AI5 (STEP) | | | | | | | | | |
6.19% | | | 03/25/33 | | | | 15,836 | | | | 16,167 | |
| Residential Asset Mortgage Products Trust, Series 2006-NC1, Class A3 | | | | | | | | | |
0.83% | | | 01/25/36 | 2 | | | 6,022,432 | | | | 5,814,007 | |
| Residential Asset Securities Trust, Series 2004-IP2, Class 2A1 | | | | | | | | | |
3.02% | | | 12/25/34 | 2 | | | 42,317 | | | | 42,293 | |
| Residential Asset Securities Trust, Series 2005-KS11, Class AI4 | | | | | | | | | |
0.84% | | | 12/25/35 | 2 | | | 885,460 | | | | 884,162 | |
| Soundview Home Loan Trust, Series 2005-OPT4, Class 2A3 | | | | | | | | | |
0.79% | | | 12/25/35 | 2 | | | 1,463,181 | | | | 1,448,544 | |
| Soundview Home Loan Trust, Series 2006-WF2, Class A2C | | | | | | | | | |
0.67% | | | 12/25/36 | 2 | | | 134,491 | | | | 134,322 | |
| STRU TCW-1063 Coll | | | | | | | | | |
2.61% | | | 11/01/28 | | | | 2,545,000 | | | | 2,590,333 | |
| Structured Adjustable Rate Mortgage Loan Trust, Series 2004-15, Class A | | | | | | | | | |
2.97% | | | 10/25/34 | 2 | | | 1,986,015 | | | | 1,942,017 | |
| Structured Asset Mortgage Investments II Trust, Series 2005-AR1, Class A1 | | | | | | | | | |
1.01% | | | 04/19/35 | 2 | | | 1,504,978 | | | | 1,438,886 | |
| Structured Asset Mortgage Investments II Trust, Series 2005-AR8, Class A2 | | | | | | | | | |
1.77% | | | 02/25/36 | 2 | | | 858,039 | | | | 813,996 | |
| Structured Asset Mortgage Investments II Trust, Series 2006-AR3, Class 22A1 | | | | | | | | | |
2.50% | | | 05/25/36 | 2 | | | 3,354,389 | | | | 2,108,155 | |
| Structured Asset Securities Corp. Mortgage Loan Trust, Series 2005-WF2, Class A3 | | | | | | | | | |
1.13% | | | 05/25/35 | 2 | | | 2,069,095 | | | | 2,074,294 | |
| UCFC Home Equity Loan, Series 1998-D, Class BF1 | | | | | | | | | |
8.97% | | | 04/15/30 | 2,6 | | | 3,657 | | | | 357 | |
| UCFC Home Equity Loan, Series 1998-D, Class MF1 | | | | | | | | | |
6.91% | | | 04/15/30 | | | | 39,372 | | | | 39,704 | |
| WaMu Mortgage Pass-Through Certificates, Series 2002-AR18, Class A | | | | | | | | | |
2.78% | | | 01/25/33 | 2 | | | 8,384 | | | | 8,009 | |
| WaMu Mortgage Pass-Through Certificates, Series 2005-AR13, Class A1A3 | | | | | | | | | |
1.31% | | | 10/25/45 | 2 | | | 1,802,477 | | | | 1,706,630 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed
(continued) | | | | | |
| Wells Fargo Home Equity Trust, Series 2005-1, Class M2 | | | | | | | | | |
1.17% | | | 04/25/35 | 2 | | $ | 5,206,280 | | | $ | 5,167,781 | |
| Wells Fargo Home Equity Trust, Series 2006-1, Class A4 | | | | | | | | | |
0.76% | | | 05/25/36 | 2 | | | 2,555,498 | | | | 2,549,122 | |
| | | | | | | | | | | | |
| | |
| | | | | | | | 93,316,546 | |
| | | | | | | | | | | | |
U.S. Agency Mortgage-Backed — 10.59% | | | | | |
| Fannie Mae Pool (TBA) | | | | | | | | | |
2.50% | | | 10/25/27 | | | | 28,085,000 | | | | 29,091,359 | |
3.00% | | | 10/25/26 | | | | 1,815,000 | | | | 1,905,608 | |
4.00% | | | 10/25/41 | | | | 2,875,000 | | | | 3,087,930 | |
4.50% | | | 10/25/39 | | | | 3,370,000 | | | | 3,691,203 | |
| Fannie Mae Pool 253974 | | | | | | | | | |
7.00% | | | 08/01/31 | | | | 4,135 | | | | 4,520 | |
| Fannie Mae Pool 254232 | | | | | | | | | |
6.50% | | | 03/01/22 | | | | 6,872 | | | | 7,919 | |
| Fannie Mae Pool 468552 | | | | | | | | | |
3.89% | | | 07/01/21 | | | | 1,830,313 | | | | 2,003,317 | |
| Fannie Mae Pool 527247 | | | | | | | | | |
7.00% | | | 09/01/26 | | | | 43 | | | | 48 | |
| Fannie Mae Pool 545191 | | | | | | | | | |
7.00% | | | 09/01/31 | | | | 1,955 | | | | 2,098 | |
| Fannie Mae Pool 545646 | | | | | | | | | |
7.00% | | | 09/01/26 | | | | 38 | | | | 43 | |
| Fannie Mae Pool 549740 | | | | | | | | | |
6.50% | | | 10/01/27 | | | | 11,075 | | | | 12,765 | |
| Fannie Mae Pool 555284 | | | | | | | | | |
7.50% | | | 10/01/17 | | | | 181 | | | | 184 | |
| Fannie Mae Pool 606108 | | | | | | | | | |
7.00% | | | 03/01/31 | | | | 730 | | | | 759 | |
| Fannie Mae Pool 630599 | | | | | | | | | |
7.00% | | | 05/01/32 | | | | 8,252 | | | | 10,057 | |
| Fannie Mae Pool 655928 | | | | | | | | | |
7.00% | | | 08/01/32 | | | | 4,077 | | | | 4,982 | |
| Fannie Mae Pool 735207 | | | | | | | | | |
7.00% | | | 04/01/34 | | | | 2,136 | | | | 2,441 | |
| Fannie Mae Pool 735646 | | | | | | | | | |
4.50% | | | 07/01/20 | | | | 2,386 | | | | 2,466 | |
| Fannie Mae Pool 735686 | | | | | | | | | |
6.50% | | | 12/01/22 | | | | 22,385 | | | | 25,792 | |
| Fannie Mae Pool 735861 | | | | | | | | | |
6.50% | | | 09/01/33 | | | | 120,966 | | | | 139,060 | |
| Fannie Mae Pool 764388 | | | | | | | | | |
2.28% | | | 03/01/34 | 2 | | | 34,196 | | | | 36,170 | |
| Fannie Mae Pool 776708 | | | | | | | | | |
5.00% | | | 05/01/34 | | | | 187,256 | | | | 211,798 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| Semi-Annual Report September 2016 / 46 |
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed (continued) | | | | | | | | | |
| Fannie Mae Pool 817611 | | | | | | | | | |
2.43% | | | 11/01/35 | 2 | | $ | 16,263 | | | $ | 17,345 | |
| Fannie Mae Pool 844773 | | | | | | | | | |
2.48% | | | 12/01/35 | 2 | | | 1,107 | | | | 1,162 | |
| Fannie Mae Pool 889125 | | | | | | | | | |
5.00% | | | 12/01/21 | | | | 119,940 | | | | 125,453 | |
| Fannie Mae Pool 889184 | | | | | | | | | |
5.50% | | | 09/01/36 | | | | 181,531 | | | | 206,629 | |
| Fannie Mae Pool 890221 | | | | | | | | | |
5.50% | | | 12/01/33 | | | | 275,118 | | | | 312,047 | |
| Fannie Mae Pool 918445 | | | | | | | | | |
5.46% | | | 05/01/37 | 2 | | | 1,953 | | | | 2,049 | |
| Fannie Mae Pool 939419 | | | | | | | | | |
2.34% | | | 05/01/37 | 2 | | | 76,094 | | | | 80,635 | |
| Fannie Mae Pool AB3685 | | | | | | | | | |
4.00% | | | 10/01/41 | | | | 1,538,768 | | | | 1,684,399 | |
| Fannie Mae Pool AL0151 | | | | | | | | | |
4.38% | | | 04/01/21 | | | | 5,372,628 | | | | 5,927,174 | |
| Fannie Mae Pool AL0209 | | | | | | | | | |
4.50% | | | 05/01/41 | | | | 597,047 | | | | 671,351 | |
| Fannie Mae Pool AL2293 | | | | | | | | | |
4.38% | | | 06/01/21 | | | | 4,409,950 | | | | 4,904,345 | |
| Fannie Mae Pool AL6829 | | | | | | | | | |
2.96% | | | 05/01/27 | | | | 4,001,689 | | | | 4,248,901 | |
| Fannie Mae Pool AM4125 | | | | | | | | | |
3.74% | | | 08/01/23 | | | | 2,430,000 | | | | 2,699,946 | |
| Fannie Mae Pool AM7009 | | | | | | | | | |
2.95% | | | 11/01/24 | | | | 2,584,878 | | | | 2,758,214 | |
| Fannie Mae Pool AM7150 | | | | | | | | | |
3.05% | | | 11/01/24 | | | | 1,795,362 | | | | 1,927,996 | |
| Fannie Mae Pool AM7357 | | | | | | | | | |
3.38% | | | 12/01/29 | | | | 2,375,000 | | | | 2,591,352 | |
| Fannie Mae Pool AM9517 | | | | | | | | | |
3.61% | | | 08/01/30 | | | | 2,380,000 | | | | 2,619,626 | |
| Fannie Mae Pool AN0326 | | | | | | | | | |
3.34% | | | 11/01/30 | | | | 2,001,434 | | | | 2,183,071 | |
| Fannie Mae Pool AN0335 | | | | | | | | | |
3.39% | | | 01/01/31 | | | | 2,440,000 | | | | 2,673,056 | |
| Fannie Mae Pool AN0556 | | | | | | | | | |
3.46% | | | 12/01/30 | | | | 2,490,922 | | | | 2,739,173 | |
| Fannie Mae Pool AN0854 | | | | | | | | | |
3.28% | | | 02/01/28 | | | | 2,465,000 | | | | 2,699,461 | |
| Fannie Mae Pool AN2840 | | | | | | | | | |
2.49% | | | 09/01/28 | | | | 2,545,000 | | | | 2,588,271 | |
| Fannie Mae Pool BC1158 | | | | | | | | | |
3.50% | | | 02/01/46 | | | | 1,551,710 | | | | 1,637,397 | |
| Fannie Mae Pool FN0001 | | | | | | | | | |
3.76% | | | 12/01/20 | | | | 2,781,669 | | | | 3,003,896 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed (continued) | | | | | | | | | |
| Fannie Mae Pool FN0007 | | | | | | | | | |
3.46% | | | 11/01/20 | | | $ | 1,390,000 | | | $ | 1,491,914 | |
| Fannie Mae Pool MA1561 | | | | | | | | | |
3.00% | | | 09/01/33 | | | | 2,585,352 | | | | 2,718,659 | |
| Fannie Mae Pool MA1582 | | | | | | | | | |
3.50% | | | 09/01/43 | | | | 2,049,350 | | | | 2,186,234 | |
| Fannie Mae Pool MA1608 | | | | | | | | | |
3.50% | | | 10/01/33 | | | | 2,500,215 | | | | 2,665,952 | |
| Fannie Mae REMICS, Series 1989-25, Class G | | | | | | | | | |
6.00% | | | 06/25/19 | | | | 549 | | | | 571 | |
| Fannie Mae REMICS, Series 1992-116, Class B | | | | | | | | | |
6.50% | | | 06/25/22 | | | | 40 | | | | 42 | |
| Fannie Mae REMICS, Series 1993-80, Class S | | | | | | | | | |
10.24% | | | 05/25/23 | 2 | | | 6,018 | | | | 6,946 | |
| Fannie Mae REMICS, Series 2001-52, Class YZ | | | | | | | | | |
6.50% | | | 10/25/31 | | | | 152,798 | | | | 178,905 | |
| Fannie Mae REMICS, Series 2007-64, Class FA | | | | | | | | | |
1.00% | | | 07/25/37 | 2 | | | 136,392 | | | | 137,691 | |
| Fannie Mae REMICS, Series 2008-50, Class SA (IO) | | | | | | | | | |
5.52% | | | 11/25/36 | 2 | | | 2,023,404 | | | | 365,398 | |
| Fannie Mae Trust, Series 2003-W6, Class 5T (IO) | | | | | | | | | |
0.55% | | | 09/25/42 | 2 | | | 17,605,847 | | | | 260,383 | |
| Freddie Mac Gold Pool (TBA) | | | | | | | | | |
3.00% | | | 09/15/46 | | | | 1,775,000 | | | | 1,845,029 | |
| Freddie Mac Gold Pool A25162 | | | | | | | | | |
5.50% | | | 05/01/34 | | | | 227,521 | | | | 258,534 | |
| Freddie Mac Gold Pool A33262 | | | | | | | | | |
5.50% | | | 02/01/35 | | | | 69,492 | | | | 80,747 | |
| Freddie Mac Gold Pool A68781 | | | | | | | | | |
5.50% | | | 10/01/37 | | | | 13,248 | | | | 15,485 | |
| Freddie Mac Gold Pool C03813 | | | | | | | | | |
3.50% | | | 04/01/42 | | | | 1,469,452 | | | | 1,576,848 | |
| Freddie Mac Gold Pool C90504 | | | | | | | | | |
6.50% | | | 12/01/21 | | | | 872 | | | | 976 | |
| Freddie Mac Gold Pool E01279 | | | | | | | | | |
5.50% | | | 01/01/18 | | | | 383 | | | | 391 | |
| Freddie Mac Gold Pool E90474 | | | | | | | | | |
6.00% | | | 07/01/17 | | | | 475 | | | | 480 | |
| Freddie Mac Gold Pool G01548 | | | | | | | | | |
7.50% | | | 07/01/32 | | | | 433,011 | | | | 542,960 | |
| Freddie Mac Gold Pool G01644 | | | | | | | | | |
5.50% | | | 02/01/34 | | | | 147,528 | | | | 168,323 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| 47 / Semi-Annual Report September 2016 |
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed (continued) | | | | | | | | | |
| Freddie Mac Gold Pool G02366 | | | | | | | | | |
6.50% | | | 10/01/36 | | | $ | 106,014 | | | $ | 123,687 | |
| Freddie Mac Gold Pool G07849 | | | | | | | | | |
3.50% | | | 05/01/44 | | | | 2,232,127 | | | | 2,386,769 | |
| Freddie Mac Gold Pool G08699 | | | | | | | | | |
4.00% | | | 03/01/46 | | | | 1,457,650 | | | | 1,566,063 | |
| Freddie Mac Gold Pool G08706 | | | | | | | | | |
3.50% | | | 05/01/46 | | | | 1,323,410 | | | | 1,396,570 | |
| Freddie Mac Gold Pool G08715 | | | | | | | | | |
3.00% | | | 08/01/46 | | | | 2,054,685 | | | | 2,136,708 | |
| Freddie Mac Gold Pool G08721 | | | | | | | | | |
3.00% | | | 08/01/46 | | | | 822,636 | | | | 855,478 | |
| Freddie Mac Gold Pool G08726 | | | | | | | | | |
3.00% | | | 09/01/46 | | | | 2,225,000 | | | | 2,314,174 | |
| Freddie Mac Gold Pool G11707 | | | | | | | | | |
6.00% | | | 03/01/20 | | | | 902 | | | | 935 | |
| Freddie Mac Gold Pool G12393 | | | | | | | | | |
5.50% | | | 10/01/21 | | | | 124,173 | | | | 132,461 | |
| Freddie Mac Gold Pool G12909 | | | | | | | | | |
6.00% | | | 11/01/22 | | | | 193,607 | | | | 211,722 | |
| Freddie Mac Gold Pool G13032 | | | | | | | | | |
6.00% | | | 09/01/22 | | | | 107,412 | | | | 115,930 | |
| Freddie Mac Gold Pool G60238 | | | | | | | | | |
3.50% | | | 10/01/45 | | | | 6,394,953 | | | | 6,830,211 | |
| Freddie Mac Gold Pool G60344 | | | | | | | | | |
4.00% | | | 12/01/45 | | | | 1,091,596 | | | | 1,192,952 | |
| Freddie Mac Gold Pool J06246 | | | | | | | | | |
5.50% | | | 10/01/21 | | | | 41,435 | | | | 43,822 | |
| Freddie Mac Gold Pool Q05261 | | | | | | | | | |
3.50% | | | 12/01/41 | | | | 916,441 | | | | 983,849 | |
| Freddie Mac Gold Pool Q20178 | | | | | | | | | |
3.50% | | | 07/01/43 | | | | 1,304,050 | | | | 1,410,066 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF02, Class A3 | | | | | | | | | |
1.15% | | | 07/25/20 | 2 | | | 839,232 | | | | 842,703 | |
| Freddie Mac REMICS, Series 1602, Class SN | | | | | | | | | |
10.09% | | | 10/15/23 | 2 | | | 14,590 | | | | 17,564 | |
| Freddie Mac REMICS, Series 2174, Class PN | �� | | | | | | | | |
6.00% | | | 07/15/29 | | | | 55,961 | | | | 63,082 | |
| Freddie Mac REMICS, Series 3460, Class SA (IO) | | | | | | | | | |
5.68% | | | 06/15/38 | 2 | | | 2,060,229 | | | | 373,544 | |
| Freddie Mac REMICS, Series 4030, Class HS (IO) | | | | | | | | | |
6.09% | | | 04/15/42 | 2 | | | 1,876,294 | | | | 360,697 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed
(continued) | | | | | |
| Ginnie Mae I Pool 782810 | | | | | | | | | |
4.50% | | | 11/15/39 | | | $ | 1,361,548 | | | $ | 1,538,337 | |
| Ginnie Mae II Pool (TBA) | | | | | | | | | |
3.00% | | | 10/20/42 | | | | 1,680,000 | | | | 1,760,456 | |
| Ginnie Mae II Pool 80968 | | | | | | | | | |
1.88% | | | 07/20/34 | 2 | | | 36,022 | | | | 37,203 | |
| Ginnie Mae II Pool MA3597 | | | | | | | | | |
3.50% | | | 04/20/46 | | | | 3,122,602 | | | | 3,320,082 | |
| Ginnie Mae II Pool MA3873 | | | | | | | | | |
3.00% | | | 08/20/46 | | | | 623,471 | | | | 654,196 | |
| Ginnie Mae, Series 2004-8, Class SE | | | | | | | | | |
13.25% | | | 11/26/23 | 2 | | | 46,599 | | | | 56,690 | |
| Ginnie Mae, Series 2011-152, Class A | | | | | | | | | |
1.62% | | | 07/16/33 | | | | 943,194 | | | | 941,473 | |
| NCUA Guaranteed Notes, Series 2010-R2, Class 1A | | | | | | | | | |
0.90% | | | 11/06/17 | 2 | | | 588,663 | | | | 588,827 | |
| NCUA Guaranteed Notes, Series 2011-C1, Class 2A | | | | | | | | | |
1.05% | | | 03/09/21 | 2 | | | 459,142 | | | | 458,939 | |
| NCUA Guaranteed Notes, Series 2011-R2, Class 1A | | | | | | | | | |
0.92% | | | 02/06/20 | 2 | | | 622,394 | | | | 622,966 | |
| | | | | | | | | | | | |
| | |
| | | | | | | | 136,384,092 | |
| | | | | | | | | | | | |
| | |
Total Mortgage-Backed (Cost $239,935,466) | | | | | | | | 247,007,936 | |
| | | | | | | | | | | | |
|
MUNICIPAL BONDS — 0.15%* | |
New York — 0.15% | |
| City of New York, Build America Bonds | | | | | | | | | |
5.05% | | | 10/01/24 | | | | 1,000,000 | | | | 1,175,010 | |
| New York State Urban Development Corp. | | | | | | | | | |
3.20% | | | 03/15/22 | | | | 700,000 | | | | 749,105 | |
| | | | | | | | | | | | |
| | |
| | | | | | | | 1,924,115 | |
| | | | | | | | | | | | |
| | |
Total Municipal Bonds (Cost $1,818,112) | | | | | | | | 1,924,115 | |
| | | | | | | | | | | | |
|
U.S. TREASURY SECURITIES — 40.57% | |
U.S. Treasury Bonds — 1.40% | |
| U.S. Treasury Bonds - Treasury Inflation Indexed Bonds | | | | | | | | | |
0.38% | | | 07/15/25 | 7 | | | 17,480,447 | | | | 18,049,733 | |
| | | | | | | | | | | | |
|
U.S. Treasury Notes — 39.17% | |
| U.S. Treasury Notes | | | | | | | | | |
0.75% | | | 10/31/17 | | | | 127,460,000 | | | | 127,559,578 | |
0.75% | | | 07/31/18 | | | | 66,545,000 | | | | 66,540,625 | |
0.75% | | | 08/31/18 | | | | 2,955,000 | | | | 2,954,539 | |
1.00% | | | 12/31/17 | | | | 24,920,000 | | | | 25,007,204 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| Semi-Annual Report September 2016 / 48 |
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
U.S. TREASURY SECURITIES (continued) | |
U.S. Treasury Notes (continued) | | | | | |
1.13% | | | 06/30/21 | | | | $ 26,380,000 | | | | $ 26,353,208 | |
1.13% | | | 07/31/21 | | | | 40,975,000 | | | | 40,922,179 | |
1.13% | | | 08/31/21 | | | | 70,375,000 | | | | 70,314,523 | |
1.50% | | | 08/15/26 | | | | 23,240,000 | | | | 23,014,874 | |
| U.S. Treasury Notes (WI) | | | | | | | | | |
1.13% | | | 09/30/21 | | | | 122,155,000 | | | | 122,017,071 | |
| |
Total U.S. Treasury Securities (Cost $522,000,973) | | | | 522,733,534 | |
| | |
Total Bonds – 94.51% (Cost $1,203,682,465) | | | | | | | | 1,217,757,468 | |
| | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount/
Shares | | | Value | |
SHORT-TERM INVESTMENTS — 8.85% | |
|
Commercial Paper — 0.13% | |
| Kraft Heinz Foods Co. | | | | | | | | | |
1.60%8 | | | 06/30/17 | | | | 1,680,000 | | | | 1,684,491 | |
|
Foreign Government Obligations — 4.07% | |
| Japan Treasury Discount Bill, Series 620 (Japan) | | | | | | | | | |
0.00%8 | | | 10/17/16 | 4 | | | 1,810,000,000 | | | | 17,875,164 | |
| Japan Treasury Discount Bill, Series 626 (Japan) | | | | | | | | | |
0.00%8 | | | 11/14/16 | 4 | | | 1,800,000,000 | | | | 17,779,748 | |
| Japan Treasury Discount Bill, Series 636 (Japan) | | | | | | | | | |
0.00%8 | | | 01/10/17 | 4 | | | 1,700,000,000 | | | | 16,805,582 | |
| | |
| | | | | | | | 52,460,494 | |
|
Money Market Funds — 0.19% | |
| Fidelity Institutional Government Portfolio | | | | | | | | | |
0.27%9,10 | | | | 1,140,163 | | | | 1,140,163 | |
| JPMorgan U.S. Government Money Market Fund | | | | | | | | | |
0.33%9 | | | | 1,335,000 | | | | 1,335,000 | |
| | |
| | | | | | | | 2,475,163 | |
|
U.S. Agency Discount Notes — 0.70% | |
| Freddie Mac | | | | | | | | | |
0.36%8 | | | 11/07/16 | | | | 9,000,000 | | | | 8,998,164 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount/
Shares | | | Value | |
SHORT-TERM INVESTMENTS (continued) | | | | | |
U.S. Treasury Bills — 3.76% | | | | | |
| U.S. Treasury Bills | | | | | | | | | |
0.19%8 | | | 01/05/17 | | | $ | 5,000,000 | | | | $ 4,996,540 | |
0.31%8 | | | 12/08/16 | 11 | | | 680,000 | | | | 679,782 | |
0.33%8 | | | 01/12/17 | | | | 22,800,000 | | | | 22,785,508 | |
0.36%8 | | | 01/19/17 | | | | 2,000,000 | | | | 1,998,379 | |
0.42%8 | | | 02/16/17 | | | | 4,000,000 | | | | 3,995,016 | |
0.45%8 | | | 02/23/17 | | | | 14,000,000 | | | | 13,981,142 | |
| | | |
| | | | | | | | | | | 48,436,367 | |
Total Short-Term Investments (Cost $113,342,377) | | | | 114,054,679 | |
| |
Total Investments – 103.36%
(Cost $1,317,024,842)1 | | | | 1,331,812,147 | |
| |
Liabilities in Excess of Other Assets – (3.36)% | | | | (43,326,535 | ) |
| | |
Net Assets – 100.00% | | | | | | | | $1,288,485,612 | |
| | | | | | | | |
Currency Purchased | | Currency Sold | | | Unrealized Appreciation/ (Depreciation) | |
FOREIGN CURRENCY EXCHANGE CONTRACT | |
| Forward currency contract to sell Japanese Yen on 10/17/16 at 101.19 Counterparty: Bank of America | | | | | |
USD $17,182,131 | | | JPY 1,810,000,000 | | | | $(704,308 | ) |
| Forward currency contract to sell Japanese Yen on 11/14/16 at 101.08 Counterparty: JPMorgan Securities LLC | | | | | |
USD $17,844,928 | | | JPY 1,800,000,000 | | | | 37,080 | |
| Forward currency contract to sell Japanese Yen on 01/10/17 at 100.78 Counterparty: Bank of America | | | | | |
USD $16,821,773 | | | JPY 1,700,000,000 | | | | (45,963 | ) |
| |
| Net unrealized (depreciation) | | | | $(713,191 | ) |
| | | | | | |
| Contracts | | | | Unrealized
(Depreciation) | |
FUTURES CONTRACTS: LONG POSITIONS | |
307 | | U.S. Treasury Two Year Note, | | | | |
| | Expiration December 2016 | | | $ (5,028) | |
570 | | U.S. Treasury Five Year Note, | | | | |
| | Expiration December 2016 | | | (63,204) | |
| | |
| | Net unrealized (depreciation) | | | $(68,232) | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| 49 / Semi-Annual Report September 2016 |
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
Notes:
| 1 | Cost for federal income tax purposes is $1,317,115,347 and net unrealized appreciation/(depreciation) consists of: |
| | | | |
Gross unrealized appreciation | | $ | 18,574,805 | |
Gross unrealized (depreciation) | | | (3,878,005 | ) |
| | | | |
Net unrealized appreciation | | $ | 14,696,800 | |
| | | | |
| 2 | Floating rate security. The rate disclosed was in effect at September 30, 2016. |
| 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 | 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 | Illiquid security as determined under procedures approved by the Funds’ Board of Trustees. The aggregate value of illiquid securities is $1,310,454, which is 0.10% of total net assets. |
| 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, 2016. |
| 10 | Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $1,140,163. |
| 11 | Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $679,776. |
| † | Fair valued security. The aggregate value of fair valued securities is $922,551, which is 0.07% 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.
(CLO): Collateralized Loan Obligation
(DIP): Defaulted interest payment
(GMTN): Global medium-term note
(IO): Interest only
(JPY): Japanese Yen
(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
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| Semi-Annual Report September 2016 / 50 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BONDS – 96.01% | | | | | | | | | |
ASSET-BACKED SECURITIES — 6.04%** | | | | | |
| A Voce CLO Ltd. (Cayman Islands) | | | | | | | | | |
2.14% | | | 07/15/26 | 2,3,4 | | $ | 12,000 | | | $ | 11,982 | |
Academic Loan Funding Trust, Series 2012-1A,
Class A2 | | | | | | | | | |
1.63% | | | 12/27/44 | 3,4 | | | 13,850,000 | | | | 13,337,261 | |
| Access Group, Inc., Series 2001, Class 2A1 | | | | | | | | | |
1.19% | | | 05/25/29 | 3 | | | 2,061,098 | | | | 1,978,485 | |
| American Money Management Corp., Series 2013-13A, Class A1L (Cayman Islands) | | | | | | | | | |
2.16% | | | 01/26/26 | 2,3,4 | | | 500,000 | | | | 501,116 | |
| American Money Management Corp., Series 2015-16A, Class A1 (Cayman Islands) | | | | | | | | | |
2.17% | | | 04/14/27 | 2,3,4 | | | 80,380,000 | | | | 80,592,284 | |
| ARES XXVI CLO Ltd., Series 2013-1A, Class A (Cayman Islands) | | | | | | | | | |
1.78% | | | 04/15/25 | 2,3,4 | | | 500,000 | | | | 498,774 | |
| Avery Point CLO Ltd., Series 2014-1A, Class A (Cayman Islands) | | | | | | | | | |
2.23% | | | 04/25/26 | 2,3,4 | | | 500,000 | | | | 500,048 | |
| Babcock & Brown Air Funding I Ltd., Series 2007-1A, Class G1 (Bermuda) | | | | | | | | | |
0.83% | | | 11/14/33 | 2,3,4 | | | 236,328 | | | | 219,785 | |
| Babson CLO Ltd., Series 2013-IA, Class A (Cayman Islands) | | | | | | | | | |
1.80% | | | 04/20/25 | 2,3,4 | | | 1,000,000 | | | | 996,431 | |
| Babson CLO Ltd., Series 2014-3A, Class A (Cayman Islands) | | | | | | | | | |
2.13% | | | 01/15/26 | 2,3,4 | | | 26,250,000 | | | | 26,254,018 | |
| Babson CLO Ltd., Series 2015-IA, Class A (Cayman Islands) | | | | | | | | | |
2.13% | | | 04/20/27 | 2,3,4 | | | 74,000,000 | | | | 74,027,158 | |
| Ballyrock CLO LLC, Series 2014-1, Class A1 (Cayman Islands) | | | | | | | | | |
2.18% | | | 10/20/26 | 2,3,4 | | | 50,675,000 | | | | 50,764,391 | |
Bayview Commercial Asset Trust, Series 2004-3,
Class A1 | | | | | | | | | |
0.90% | | | 01/25/35 | 3,4 | | | 2,768,697 | | | | 2,559,961 | |
Bayview Commercial Asset Trust, Series 2005-1A,
Class A1 | | | | | | | | | |
0.83% | | | 04/25/35 | 3,4 | | | 5,629,032 | | | | 5,195,616 | |
Bayview Commercial Asset Trust, Series 2006-4A,
Class A1 | | | | | | | | | |
0.76% | | | 12/25/36 | 3,4 | | | 188,714 | | | | 164,111 | |
Bayview Commercial Asset Trust, Series 2007-1,
Class A1 | | | | | | | | | |
0.75% | | | 03/25/37 | 3,4 | | | 6,454,078 | | | | 5,623,793 | |
Bayview Commercial Asset Trust, Series 2007-3,
Class A1 | | | | | | | | | |
0.77% | | | 07/25/37 | 3,4 | | | 1,677,328 | | | | 1,401,032 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | | | | | |
| Betony CLO Ltd., Series 2015-1A, Class A (Cayman Islands) | | | | | | | | | |
2.19% | | | 04/15/27 | 2,3,4 | | $ | 35,000,000 | | | $ | 35,004,342 | |
| BlueMountain CLO Ltd., Series 2012-2A, Class A1 (Cayman Islands) | | | | | | | | | |
2.23% | | | 11/20/24 | 2,3,4 | | | 500,000 | | | | 500,968 | |
| BlueMountain CLO Ltd., Series 2014-1A, Class A (Cayman Islands) | | | | | | | | | |
2.28% | | | 04/30/26 | 2,3,4 | | | 500,000 | | | | 500,059 | |
| Brazos Higher Education Authority, Inc., Series 2003 I, Class A3 | | | | | | | | | |
0.97% | | | 09/26/22 | 3 | | | 4,350 | | | | 4,344 | |
| Brazos Higher Education Authority, Inc., Series 2005-1, Class 1A4 | | | | | | | | | |
1.01% | | | 03/26/29 | 3 | | | 10,000,000 | | | | 9,689,500 | |
| Brazos Higher Education Authority, Inc., Series 2010-1, Class A2 | | | | | | | | | |
2.03% | | | 02/25/35 | 3 | | | 13,390,000 | | | | 13,080,488 | |
| Brazos Higher Education Authority, Inc., Series 2011-1, Class A3 | | | | | | | | | |
1.88% | | | 11/25/33 | 3 | | | 16,050,000 | | | | 15,810,735 | |
| Brazos Higher Education Authority, Inc., Series 2011-2, Class A2 | | | | | | | | | |
1.56% | | | 07/25/29 | 3 | | | 2,305,382 | | | | 2,303,328 | |
| Brazos Higher Education Authority, Inc., Series 2011-2, Class A3 | | | | | | | | | |
1.71% | | | 10/27/36 | 3 | | | 24,361,000 | | | | 22,998,603 | |
| Brazos Higher Education Authority, Inc., Series 2012-1, Class A1 | | | | | | | | | |
1.23% | | | 12/26/35 | 3 | | | 76,085 | | | | 74,650 | |
| Cent CLO 21 Ltd., Series 2104-21A, Class A1B (Cayman Islands) | | | | | | | | | |
2.12% | | | 07/27/26 | 2,3,4 | | | 500,000 | | | | 498,616 | |
| Chase Issuance Trust, Series 2012-A10, Class A10 | | | | | | | | | |
0.78% | | | 12/16/19 | 3 | | | 64,515,000 | | | | 64,622,140 | |
| CIFC Funding Ltd., Series 2012-2A, Class A1R (Cayman Islands) | | | | | | | | | |
2.19% | | | 12/05/24 | 2,3,4 | | | 500,000 | | | | 499,983 | |
| CIT Education Loan Trust, Series 2007-1, Class A | | | | | | | | | |
0.95% | | | 03/25/42 | 3,4 | | | 28,247,341 | | | | 26,275,985 | |
| CIT Education Loan Trust, Series 2007-1, Class B | | | | | | | | | |
1.16% | | | 06/25/42 | 3,4 | | | 19,789,469 | | | | 16,687,010 | |
| Citibank Credit Card Issuance Trust, Series 2008-A2, Class A2 | | | | | | | | | |
1.70% | | | 01/23/20 | 3 | | | 13,595,000 | | | | 13,785,469 | |
| Clear Creek CLO Ltd., Series 2015-1A, Class A (Cayman Islands) | | | | | | | | | |
2.15% | | | 04/20/27 | 2,3,4 | | | 26,550,000 | | | | 26,454,022 | |
| College Loan Corp. Trust, Series 2005-2, Class B | | | | | | | | | |
1.17% | | | 01/15/37 | 3 | | | 4,322,737 | | | | 3,634,337 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| 51 / Semi-Annual Report September 2016 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | |
| Dryden 33 Senior Loan Fund, Series 2014-33A, Class A (Cayman Islands) | | | | | | | | | |
2.16% | | | 07/15/26 | 2,3,4 | | $ | 4,000,000 | | | $ | 4,000,728 | |
| Dryden 37 Senior Loan Fund, Series 2015-37A, Class A (Cayman Islands) | | | | | | | | | |
2.18% | | | 04/15/27 | 2,3,4 | | | 43,810,000 | | | | 43,925,527 | |
| Dryden XXV Senior Loan Fund, Series 2012-25A, Class A (Cayman Islands) | | | | | | | | | |
2.06% | | | 01/15/25 | 2,3,4 | | | 24,100,000 | | | | 24,102,316 | |
| Eaton Vance CLO Ltd., Series 2014-1A, Class A (Cayman Islands) | | | | | | | | | |
2.13% | | | 07/15/26 | 2,3,4 | | | 41,055,000 | | | | 41,058,284 | |
| Education Loan Asset-Backed Trust, Series 2013-1, Class A1 | | | | | | | | | |
1.33% | | | 06/25/26 | 3,4 | | | 10,372,504 | | | | 10,196,350 | |
| Education Loan Asset-Backed Trust, Series 2013-1, Class A2 | | | | | | | | | |
1.33% | | | 04/26/32 | 3,4 | | | 12,740,000 | | | | 12,189,450 | |
| Educational Funding of the South, Inc., Series 2011-1, Class A2 | | | | | | | | | |
1.36% | | | 04/25/35 | 3 | | | 42,022 | | | | 41,456 | |
| Educational Funding of the South, Inc., Series 2012-1, Class A | | | | | | | | | |
1.57% | | | 03/25/36 | 3 | | | 24,102,539 | | | | 23,797,810 | |
| EFS Volunteer No. 2 LLC, Series 2012-1, Class A2 | | | | | | | | | |
1.88% | | | 03/25/36 | 3,4 | | | 16,085,000 | | | | 15,923,107 | |
| Flagship CLO VIII Ltd., Series 2014-8A, Class A (Cayman Islands) | | | | | | | | | |
2.24% | | | 01/16/26 | 2,3,4 | | | 34,760,000 | | | | 34,885,414 | |
| GCO Education Loan Funding Trust, Series 2006-1, Class A11L | | | | | | | | | |
1.06% | | | 05/25/36 | 3 | | | 25,000,000 | | | | 21,942,110 | |
| GE Business Loan Trust, Series 2005-1A, Class A3 | | | | | | | | | |
0.77% | | | 06/15/33 | 3,4 | | | 4,229,160 | | | | 3,943,931 | |
| GE Business Loan Trust, Series 2005-2A, Class A | | | | | | | | | |
0.76% | | | 11/15/33 | 3,4 | | | 9,295,150 | | | | 8,873,981 | |
| Global SC Finance II SRL, Series 2014-1A, Class A2 (Barbados) | | | | | | | | | |
3.09% | | | 07/17/29 | 2,4 | | | 69,751,917 | | | | 67,524,089 | |
| Goal Capital Funding Trust, Series 2005-2, Class A3 | | | | | | | | | |
1.00% | | | 05/28/30 | 3 | | | 17,333,314 | | | | 17,097,162 | |
| Goal Capital Funding Trust, Series 2005-2, Class B | | | | | | | | | |
1.36% | | | 11/25/44 | 3 | | | 12,543,847 | | | | 10,885,502 | |
| Goal Capital Funding Trust, Series 2006-1, Class B | | | | | | | | | |
1.28% | | | 08/25/42 | 3 | | | 3,544,490 | | | | 3,092,743 | |
| Goal Structured Solutions Trust, Series 2015-1, Class A | | | | | | | | | |
1.18% | | | 09/25/41 | 3,4 | | | 135,878,351 | | | | 128,030,214 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | |
| GoldenTree Loan Opportunities VII Ltd., Series 2013-7A, Class A (Cayman Islands) | | | | | | | | | |
1.86% | | | 04/25/25 | 2,3,4 | | $ | 6,560,000 | | | $ | 6,529,317 | |
| Honda Auto Receivables Owner Trust, Series 2014-1, Class A3 | | | | | | | | | |
0.67% | | | 11/21/17 | | | | 11,847,374 | | | | 11,830,749 | |
| Honda Auto Receivables Owner Trust, Series 2015-4, Class A2 | | | | | | | | | |
0.82% | | | 07/23/18 | | | | 96,927,892 | | | | 96,841,529 | |
| J.G. Wentworth XXX LLC, Series 2013-3A, Class A | | | | | | | | | |
4.08% | | | 01/17/73 | 4 | | | 955,173 | | | | 1,020,262 | |
| J.G. Wentworth XXXII LLC, Series 2014-2A, Class A | | | | | | | | | |
3.61% | | | 01/17/73 | 4 | | | 56,703,542 | | | | 58,457,490 | |
| Limerock CLO II Ltd., Series 2014-2A, Class A (Cayman Islands) | | | | | | | | | |
2.18% | | | 04/18/26 | 2,3,4 | | | 12,500 | | | | 12,513 | |
Limerock CLO III Ltd., Series 2014-3A,
Class A1 (Cayman Islands) | | | | | | | | | |
2.23% | | | 10/20/26 | 2,3,4 | | | 90,000,000 | | | | 90,003,087 | |
| Magnetite IX CLO Ltd., Series 2014-9A, Class A1 (Cayman Islands) | | | | | | | | | |
2.13% | | | 07/25/26 | 2,3,4 | | | 12,000 | | | | 12,015 | |
Magnetite XI CLO Ltd., Series 2014-11A,
Class A1 (Cayman Islands) | | | | | | | | | |
2.13% | | | 01/18/27 | 2,3,4 | | | 35,305,000 | | | | 35,305,563 | |
| Magnetite XII CLO Ltd., Series 2015-12A, Class A (Cayman Islands) | | | | | | | | | |
2.18% | | | 04/15/27 | 2,3,4 | | | 13,090,000 | | | | 13,093,129 | |
| National Collegiate Student Loan Trust, Series 2006-3, Class A3 | | | | | | | | | |
0.68% | | | 10/25/27 | 3 | | | 2,472,689 | | | | 2,469,249 | |
| National Collegiate Student Loan Trust, Series 2006-4, Class A2 | | | | | | | | | |
0.67% | | | 12/27/27 | 3 | | | 188,855 | | | | 188,655 | |
| Navient Student Loan Trust, Series 2014-1, Class A2 | | | | | | | | | |
0.84% | | | 03/27/23 | 3 | | | 2,750,000 | | | | 2,748,467 | |
| Navient Student Loan Trust, Series 2014-1, Class A3 | | | | | | | | | |
1.04% | | | 06/25/31 | 3 | | | 1,175,000 | | | | 1,136,127 | |
| Navient Student Loan Trust, Series 2014-2, Class A | | | | | | | | | |
1.17% | | | 03/25/83 | 3 | | | 91,903,834 | | | | 89,017,236 | |
| Navient Student Loan Trust, Series 2014-3, Class A | | | | | | | | | |
1.15% | | | 03/25/83 | 3 | | | 95,219,359 | | | | 92,196,839 | |
| Navient Student Loan Trust, Series 2014-4, Class A | | | | | | | | | |
1.15% | | | 03/25/83 | 3 | | | 147,230,432 | | | | 140,992,308 | |
| Navient Student Loan Trust, Series 2014-5, Class A | | | | | | | | | |
1.15% | | | 03/25/83 | 3 | | | 121,436,881 | | | | 116,350,072 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2016 / 52 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
Issues | | Maturity Date | | | Principal Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | | | | | |
| Navient Student Loan Trust, Series 2014-6, Class A | | | | | | | | | |
1.14% | | | 03/25/83 | 3 | | $ | 120,344,371 | | | $ | 115,118,441 | |
| Navient Student Loan Trust, Series 2014-7, Class A | | | | | | | | | |
1.14% | | | 03/25/83 | 3 | | | 123,249,081 | | | | 117,754,477 | |
| Navient Student Loan Trust, Series 2015-1, Class A2 | | | | | | | | | |
1.13% | | | 04/25/40 | 3 | | | 199,400,000 | | | | 190,877,136 | |
| Navient Student Loan Trust, Series 2015-2, Class A1 | | | | | | | | | |
0.81% | | | 11/25/24 | 3 | | | 15,520,432 | | | | 15,506,669 | |
| Navient Student Loan Trust, Series 2015-2, Class A3 | | | | | | | | | |
1.10% | | | 11/26/40 | 3 | | | 98,255,000 | | | | 96,922,819 | |
| Navient Student Loan Trust, Series 2016-1A, Class A | | | | | | | | | |
1.23% | | | 02/25/70 | 3,4 | | | 45,939,404 | | | | 44,762,275 | |
| Nelnet Education Loan Funding, Inc., Series 2004-1A, Class B1 | | | | | | | | | |
1.50% | | | 02/25/36 | 3,4 | | | 10,125,000 | | | | 8,909,841 | |
| Nelnet Student Loan Trust, Series 2006-1, Class A6 | | | | | | | | | |
1.27% | | | 08/23/36 | 3,4 | | | 12,500,000 | | | | 11,589,841 | |
| Nelnet Student Loan Trust, Series 2007-2A, Class A3L | | | | | | | | | |
1.21% | | | 03/25/26 | 3,4 | | | 57,771,752 | | | | 55,967,632 | |
| Nelnet Student Loan Trust, Series 2008-3, Class A4 | | | | | | | | | |
2.48% | | | 11/25/24 | 3 | | | 2,520,000 | | | | 2,511,438 | |
| Nelnet Student Loan Trust, Series 2014-2A, Class A1 | | | | | | | | | |
0.81% | | | 06/25/21 | 3,4 | | | 1,976,664 | | | | 1,973,244 | |
| Nelnet Student Loan Trust, Series 2014-3A, Class A | | | | | | | | | |
1.11% | | | 06/25/41 | 3,4 | | | 37,020,760 | | | | 35,205,728 | |
| Nelnet Student Loan Trust, Series 2014-5A, Class A | | | | | | | | | |
1.08% | | | 07/25/41 | 3,4 | | | 112,764,372 | | | | 109,065,892 | |
| Nelnet Student Loan Trust, Series 2015-1A, Class A | | | | | | | | | |
1.12% | | | 04/25/41 | 3,4 | | | 205,050,819 | | | | 197,567,592 | |
| Nelnet Student Loan Trust, Series 2015-2A, Class A2 | | | | | | | | | |
1.13% | | | 09/25/42 | 3,4 | | | 279,378,476 | | | | 273,548,225 | |
| Nelnet Student Loan Trust, Series 2015-3A, Class A2 | | | | | | | | | |
1.13% | | | 02/26/46 | 3,4 | | | 9,265,000 | | | | 9,031,411 | |
| Nelnet Student Loan Trust, Series 2015-3A, Class A3 | | | | | | | | | |
1.43% | | | 06/25/49 | 3,4 | | | 13,095,000 | | | | 12,202,529 | |
| Nissan Auto Receivables Owner Trust, Series 2015-C, Class A2A | | | | | | | | | |
0.87% | | | 11/15/18 | | | | 27,309,926 | | | | 27,288,369 | |
| | | | | | | | | | | | |
Issues | | Maturity Date | | | Principal Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | | | | | |
Nissan Auto Receivables Owner Trust, Series
2016-B, Class A2A | | | | | | | | | |
1.05% | | | 04/15/19 | | | $ | 98,355,000 | | | $ | 98,390,496 | |
| North Carolina State Education Authority, Series 2011-1, Class A3 | | | | | | | | | |
1.61% | | | 10/25/41 | 3 | | | 24,545,000 | | | | 24,067,686 | |
| North Carolina State Education Authority, Series 2011-2, Class A2 | | | | | | | | | |
1.51% | | | 07/25/25 | 3 | | | 7,740 | | | | 7,694 | |
Northstar Education Finance, Inc., Series
2007-1, Class A1 | | | | | | | | | |
0.84% | | | 04/28/30 | 3 | | | 10,000 | | | | 9,667 | |
Northstar Education Finance, Inc., Series
2007-1, Class A2 | | | | | | | | | |
1.49% | | | 01/29/46 | 3 | | | 42,780,000 | | | | 39,452,114 | |
| Northwoods Capital Corp., Series 2014-11A, Class A (Cayman Islands) | | | | | | | | | |
2.28% | | | 04/15/25 | 2,3,4 | | | 500,000 | | | | 500,235 | |
| Oak Hill Credit Partners, Series 2012-7A, Class A (Cayman Islands) | | | | | | | | | |
2.23% | | | 11/20/23 | 2,3,4 | | | 500,000 | | | | 500,019 | |
| Octagon Investment Partners XI Ltd., Series 2007-1X, Class A1B(Cayman Islands) | | | | | | | | | |
1.09% | | | 08/25/21 | 2,3 | | | 86,181 | | | | 85,693 | |
| Octagon Investment Partners XIX Ltd., Series 2014-1A, Class A (Cayman Islands) | | | | | | | | | |
2.20% | | | 04/15/26 | 2,3,4 | | | 500,000 | | | | 501,142 | |
| Panhandle-Plains Higher Education Authority, Inc., Series 2011-1, Class A3 | | | | | | | | | |
1.80% | | | 10/01/37 | 3 | | | 16,955,000 | | | | 16,275,335 | |
| Panthera Aviation, Series 2013-1 | | | | | | | | | |
10.00% | | | 01/25/22 | 3,5,† | | | 13,004,312 | | | | 11,053,751 | |
| Panthera Aviation, Series 2013-2 | | | | | | | | | |
10.00% | | | 03/20/24 | 3,5,† | | | 15,944,679 | | | | 13,234,190 | |
| PHEAA Student Loan Trust, Series 2015-1A, Class A | | | | | | | | | |
1.13% | | | 10/25/41 | 3,4 | | | 235,537,885 | | | | 226,476,436 | |
| Race Point VII CLO Ltd., Series 2012-7A, Class A (Cayman Islands) | | | | | | | | | |
2.21% | | | 11/08/24 | 2,3,4 | | | 500,000 | | | | 499,861 | |
| Scholar Funding Trust, Series 2012-B, Class A2 | | | | | | | | | |
1.62% | | | 03/28/46 | 3,4 | | | 38,825,000 | | | | 37,878,982 | |
| SLC Student Loan Trust I, Series 2002-2, Class B2 | | | | | | | | | |
0.33% | | | 07/01/42 | 3,4 | | | 24,150,000 | | | | 18,690,651 | |
| SLC Student Loan Trust, Series 2005-3, Class B | | | | | | | | | |
1.10% | | | 06/15/40 | 3 | | | 486,801 | | | | 407,919 | |
| SLC Student Loan Trust, Series 2006-1, Class A6 | | | | | | | | | |
1.01% | | | 12/15/38 | 3 | | | 9,495,000 | | | | 8,317,084 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 53 / Semi-Annual Report September 2016 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | | | | | |
| SLC Student Loan Trust, Series 2006-1, Class B | | | | | | | | | |
1.06% | | | 03/15/39 | 3 | | $ | 130,413 | | | $ | 109,103 | |
| SLC Student Loan Trust, Series 2006-2, Class A6 | | | | | | | | | |
1.01% | | | 09/15/39 | 3 | | | 16,000,000 | | | | 14,047,957 | |
| SLC Student Loan Trust, Series 2008-1, Class A4A | | | | | | | | | |
2.45% | | | 12/15/32 | 3 | | | 24,453,038 | | | | 24,857,352 | |
| SLM Student Loan Trust, Series 2003-11, Class A5 | | | | | | | | | |
0.90% | | | 12/15/22 | 3,4 | | | 26,156,195 | | | | 26,033,687 | |
| SLM Student Loan Trust, Series 2003-11, Class A6 | | | | | | | | | |
1.60% | | | 12/15/25 | 3,4 | | | 16,265,000 | | | | 16,004,230 | |
| SLM Student Loan Trust, Series 2003-4, Class A5E | | | | | | | | | |
1.60% | | | 03/15/33 | 3,4 | | | 8,091,637 | | | | 7,733,982 | |
| SLM Student Loan Trust, Series 2004-1, Class A4 | | | | | | | | | |
0.97% | | | 10/27/25 | 3 | | | 2,810,000 | | | | 2,699,674 | |
| SLM Student Loan Trust, Series 2004-10, Class A5A | | | | | | | | | |
1.11% | | | 04/25/23 | 3,4 | | | 1,812,129 | | | | 1,811,779 | |
| SLM Student Loan Trust, Series 2004-10, Class A5B | | | | | | | | | |
1.11% | | | 04/25/23 | 3,4 | | | 943,420 | | | | 943,394 | |
| SLM Student Loan Trust, Series 2004-5A, Class A5 | | | | | | | | | |
1.31% | | | 10/25/23 | 3,4 | | | 5,735,273 | | | | 5,714,624 | |
| SLM Student Loan Trust, Series 2004-8, Class B | | | | | | | | | |
1.17% | | | 01/25/40 | 3 | | | 1,640,513 | | | | 1,427,128 | |
| SLM Student Loan Trust, Series 2004-8A, Class A5 | | | | | | | | | |
1.21% | | | 04/25/24 | 3,4 | | | 82,078,892 | | | | 82,032,960 | |
| SLM Student Loan Trust, Series 2005-4, Class B | | | | | | | | | |
0.89% | | | 07/25/40 | 3 | | | 11,640,127 | | | | 9,869,122 | |
| SLM Student Loan Trust, Series 2005-5, Class A5 | | | | | | | | | |
1.46% | | | 10/25/40 | 3 | | | 60,000 | | | | 55,710 | |
| SLM Student Loan Trust, Series 2005-6, Class B | | | | | | | | | |
1.00% | | | 01/25/44 | 3 | | | 12,951,871 | | | | 10,967,148 | |
| SLM Student Loan Trust, Series 2005-8, Class A4 | | | | | | | | | |
1.46% | | | 01/25/28 | 3 | | | 5,160,000 | | | | 5,142,329 | |
| SLM Student Loan Trust, Series 2006-10, Class B | | | | | | | | | |
0.93% | | | 03/25/44 | 3 | | | 15,804,444 | | | | 13,071,952 | |
| SLM Student Loan Trust, Series 2006-2, Class A6 | | | | | | | | | |
0.88% | | | 01/25/41 | 3 | | | 42,655,000 | | | | 38,784,592 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | | | | | |
| SLM Student Loan Trust, Series 2006-5, Class A5 | | | | | | | | | |
0.82% | | | 01/25/27 | 3 | | $ | 104,325,446 | | | $ | 102,693,760 | |
| SLM Student Loan Trust, Series 2006-7, Class A5 | | | | | | | | | |
0.81% | | | 01/27/25 | 3 | | | 24,286,735 | | | | 24,089,391 | |
| SLM Student Loan Trust, Series 2006-8, Class A6 | | | | | | | | | |
0.87% | | | 01/25/41 | 3 | | | 32,855,000 | | | | 29,212,504 | |
| SLM Student Loan Trust, Series 2006-9, Class A5 | | | | | | | | | |
0.81% | | | 01/26/26 | 3 | | | 4,000,000 | | | | 3,925,978 | |
| SLM Student Loan Trust, Series 2007-1, Class A5 | | | | | | | | | |
0.80% | | | 01/26/26 | 3 | | | 21,924,257 | | | | 21,586,853 | |
| SLM Student Loan Trust, Series 2007-1, Class B | | | | | | | | | |
0.93% | | | 01/27/42 | 3 | | | 6,460,965 | | | | 5,409,612 | |
| SLM Student Loan Trust, Series 2007-3, Class A4 | | | | | | | | | |
0.77% | | | 01/25/22 | 3 | | | 3,160,000 | | | | 2,951,817 | |
| SLM Student Loan Trust, Series 2007-6, Class A4 | | | | | | | | | |
1.09% | | | 10/25/24 | 3 | | | 42,956,697 | | | | 42,237,725 | |
| SLM Student Loan Trust, Series 2007-6, Class B | | | | | | | | | |
1.56% | | | 04/27/43 | 3 | | | 6,026,513 | | | | 5,282,718 | |
| SLM Student Loan Trust, Series 2008-2, Class B | | | | | | | | | |
1.91% | | | 01/25/29 | 3 | | | 38,874,000 | | | | 33,926,887 | |
| SLM Student Loan Trust, Series 2008-3, Class A3 | | | | | | | | | |
1.71% | | | 10/25/21 | 3 | | | 33,146 | | | | 32,557 | |
| SLM Student Loan Trust, Series 2008-3, Class B | | | | | | | | | |
1.91% | | | 04/25/29 | 3 | | | 1,750,000 | | | | 1,482,411 | |
| SLM Student Loan Trust, Series 2008-4, Class A4 | | | | | | | | | |
2.36% | | | 07/25/22 | 3 | | | 4,176,428 | | | | 4,192,405 | |
| SLM Student Loan Trust, Series 2008-4, Class B | | | | | | | | | |
2.56% | | | 04/25/29 | 3 | | | 4,384,000 | | | | 4,067,066 | |
| SLM Student Loan Trust, Series 2008-5, Class A4 | | | | | | | | | |
2.41% | | | 07/25/23 | 3 | | | 29,461,564 | | | | 29,652,242 | |
| SLM Student Loan Trust, Series 2008-5, Class B | | | | | | | | | |
2.56% | | | 07/25/29 | 3 | | | 32,444,000 | | | | 30,236,027 | |
| SLM Student Loan Trust, Series 2008-6, Class B | | | | | | | | | |
2.56% | | | 07/25/29 | 3 | | | 31,644,000 | | | | 29,551,480 | |
| SLM Student Loan Trust, Series 2008-7, Class B | | | | | | | | | |
2.56% | | | 07/25/29 | 3 | | | 17,346,000 | | | | 16,052,639 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2016 / 54 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | |
| SLM Student Loan Trust, Series 2008-8, Class A4 | | | | | | | | | |
2.21% | | | 04/25/23 | 3 | | $ | 6,445,000 | | | $ | 6,469,642 | |
| SLM Student Loan Trust, Series 2008-8, Class B | | | | | | | | | |
2.96% | | | 10/25/29 | 3 | | | 545,000 | | | | 523,129 | |
| SLM Student Loan Trust, Series 2008-9, Class A | | | | | | | | | |
2.21% | | | 04/25/23 | 3 | | | 216,285,430 | | | | 216,970,969 | |
| SLM Student Loan Trust, Series 2008-9, Class B | | | | | | | | | |
2.96% | | | 10/25/29 | 3 | | | 31,675,000 | | | | 30,701,285 | |
| SLM Student Loan Trust, Series 2009-3, Class A | | | | | | | | | |
1.28% | | | 01/25/45 | 3,4 | | | 258,355,515 | | | | 247,854,978 | |
| SLM Student Loan Trust, Series 2012-1, Class A2 | | | | | | | | | |
0.98% | | | 11/25/20 | 3 | | | 9,764,343 | | | | 9,759,065 | |
| SLM Student Loan Trust, Series 2012-2, Class A | | | | | | | | | |
1.23% | | | 01/25/29 | 3 | | | 20,695,697 | | | | 19,979,034 | |
| SLM Student Loan Trust, Series 2012-3, Class A | | | | | | | | | |
1.18% | | | 12/26/25 | 3 | | | 46,304,247 | | | | 44,670,489 | |
| SLM Student Loan Trust, Series 2012-6, Class A2 | | | | | | | | | |
0.81% | | | 09/25/19 | 3 | | | 8,062,741 | | | | 8,059,499 | |
| SLM Student Loan Trust, Series 2012-7, Class A2 | | | | | | | | | |
0.81% | | | 09/25/19 | 3 | | | 3,519,980 | | | | 3,506,718 | |
| SLM Student Loan Trust, Series 2013-3, Class A2 | | | | | | | | | |
0.83% | | | 05/26/20 | 3 | | | 6,578,498 | | | | 6,569,838 | |
| SLM Student Loan Trust, Series 2013-6, Class A3 | | | | | | | | | |
1.18% | | | 06/26/28 | 3 | | | 30,335,000 | | | | 30,194,725 | |
| SLM Student Loan Trust, Series 2014-2, Class A2 | | | | | | | | | |
0.88% | | | 10/25/21 | 3 | | | 22,488,853 | | | | 22,389,360 | |
| South Carolina Student Loan Corp., Series 2006-1, Class A2 | | | | | | | | | |
0.96% | | | 12/01/22 | 3 | | | 9,004,178 | | | | 8,958,892 | |
| Spirit Master Funding LLC, Series 2014-1A, Class A1 | | | | | | | | | |
5.05% | | | 07/20/40 | 4 | | | 11,308,595 | | | | 11,611,821 | |
| Spirit Master Funding LLC, Series 2014-2A, Class A | | | | | | | | | |
5.76% | | | 03/20/42 | 4 | | | 7,919,587 | | | | 8,266,069 | |
| Vermont Student Assistance Corp., Series 2012-1, Class A | | | | | | | | | |
1.22% | | | 07/28/34 | 3 | | | 6,650,336 | | | | 6,480,327 | |
| Voya CLO Ltd., Series 2015-1A, Class A1 (Cayman Islands) | | | | | | | | | |
2.16% | | | 04/18/27 | 2,3,4 | | | 15,610,000 | | | | 15,610,468 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | |
| Wachovia Student Loan Trust, Series 2006-1, Class A6 | | | | | | | | | |
0.88% | | | 04/25/40 | 3,4 | | $ | 20,000 | | | $ | 17,571 | |
| | | | | | | | | | | | |
| |
Total Asset-Backed Securities
(Cost $5,023,273,976) | | | | 4,915,402,794 | |
| | | | | | | | | | | | |
BANK LOANS — 0.21%* | | | | | | | | | |
Communications — 0.02% | | | | | | | | | |
| Nexstar Broadcasting, Inc., Bridge Term Loan | | | | | | | | | |
8.50% | | | 01/27/17 | 3,5 | | | 12,384,068 | | | | 12,384,068 | |
| | | | | | | | | | | | |
| |
Consumer Discretionary — 0.03% | | | | | |
| Reynolds Group Holdings, Inc., Term Loan, 1st Lien | | | | | | | | | |
LIBOR plus 3.25% | | | 02/05/23 | 3 | | | 27,200,000 | | | | 27,323,216 | |
| | | | | | | | | | | | |
| | |
Electric — 0.05% | | | | | | | | | |
| Dynegy, Inc., Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 4.00% | | | 06/27/23 | 3 | | | 26,450,000 | | | | 26,696,382 | |
| Texas Competitive Electric Holdings Co. LLC, Term Loan B, 1st Lien (DIP) | | | | | | | | | |
LIBOR plus 4.00% | | | 10/31/17 | 3 | | | 13,692,214 | | | | 13,813,253 | |
| Texas Competitive Electric Holdings Co. LLC, Term Loan C, 1st Lien (DIP) | | | | | | | | | |
LIBOR plus 4.00% | | | 10/31/17 | 3 | | | 3,122,786 | | | | 3,150,391 | |
| | | | | | | | | | | | |
| | |
| | | | | | | | 43,660,026 | |
| | | | | | | | | | | | |
Energy — 0.00% | | | | | | | | | |
| Drillships Financing Holding, Term Loan B1, 1st Lien | | | | | | | | | |
LIBOR plus 5.00% | | | 03/31/21 | 3 | | | 2,433,028 | | | | 1,227,463 | |
| | | | | | | | | | | | |
| | |
Finance — 0.06% | | | | | | | | | |
| Delos Finance SARL, Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 2.75% | | | 02/27/21 | 3 | | | 49,009,581 | | | | 49,418,076 | |
| | | | | | | | | | | | |
| | |
Health Care — 0.01% | | | | | | | | | |
| CHS/Community Health Systems, Inc., Term Loan G, 1st Lien | | | | | | | | | |
LIBOR plus 2.75% | | | 12/31/19 | 3 | | | 8,852,588 | | | | 8,703,201 | |
| | | | | | | | | | | | |
Industrials — 0.03% | | | | | | | | | |
| TransDigm, Inc., Delayed Draw Term Loan F-DD, 1st Lien | | | | | | | | | |
LIBOR plus 3.00% | | | 06/09/23 | 3 | | | 7,285,950 | | | | 7,297,899 | |
| TransDigm, Inc., Term Loan E, 1st Lien | | | | | | | | | |
LIBOR plus 3.00% | | | 05/14/22 | 3 | | | 4,369,451 | | | | 4,380,375 | |
| TransDigm, Inc., Term Loan F, 1st Lien | | | | | | | | | |
LIBOR plus 3.00% | | | 06/09/23 | 3 | | | 8,095,500 | | | | 8,108,777 | |
| | | | | | | | | | | | |
| | |
| | | | | | | | 19,787,051 | |
| | | | | | | | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 55 / Semi-Annual Report September 2016 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BANK LOANS (continued) | | | | | | | | | |
Services — 0.01% | | | | | | | | | |
| AABS Ltd., Term Loan, Series 2013-1, Class A (STEP) (Bermuda) | | | | | | | | | |
4.72% | | | 01/15/38 | 2,3,† | | $ | 11,451,444 | | | $ | 11,222,456 | |
| | | | | | | | | | | | |
| | |
Total Bank Loans
(Cost $173,666,670) | | | | | | | | 173,725,557 | |
| | | | | | | | | | | | |
| | |
CORPORATES — 21.52%* | | | | | | | | | |
Automotive — 0.11% | | | | | | | | | |
| Ford Motor Credit Co. LLC | | | | | | | | | |
6.63% | | | 08/15/17 | | | | 5,070,000 | | | | 5,295,927 | |
| General Motors Co. | | | | | | | | | |
4.88% | | | 10/02/23 | | | | 25,149,000 | | | | 27,287,570 | |
5.00% | | | 04/01/35 | | | | 4,825,000 | | | | 5,008,808 | |
5.20% | | | 04/01/45 | | | | 4,775,000 | | | | 4,985,592 | |
6.60% | | | 04/01/36 | | | | 18,125,000 | | | | 21,880,500 | |
| General Motors Financial Co., Inc. | | | | | | | | | |
2.40% | | | 05/09/19 | | | | 18,960,000 | | | | 19,078,841 | |
3.20% | | | 07/06/21 | | | | 8,595,000 | | | | 8,722,206 | |
| | | | | | | | | | | | |
| | |
| | | | | | | | 92,259,444 | |
| | | | | | | | | | | | |
Banking — 3.80% | | | | | | | | | |
| Bank of America Corp. | | | | | | | | | |
2.00% | | | 01/11/18 | | | | 50,000 | | | | 50,246 | |
3.88% | | | 03/22/17 | | | | 1,250,000 | | | | 1,264,786 | |
5.63% | | | 10/14/16 | | | | 2,605,000 | | | | 2,608,262 | |
5.70% | | | 01/24/22 | | | | 17,780,000 | | | | 20,706,143 | |
5.75% | | | 12/01/17 | | | | 76,190,000 | | | | 79,850,015 | |
6.00% | | | 09/01/17 | | | | 26,905,000 | | | | 27,983,689 | |
7.63% | | | 06/01/19 | | | | 405,000 | | | | 465,066 | |
| Bank of America Corp. (GMTN) | | | | | | | | | |
3.30% | | | 01/11/23 | | | | 45,875,000 | | | | 47,555,493 | |
3.50% | | | 04/19/26 | | | | 25,896,000 | | | | 27,020,820 | |
6.40% | | | 08/28/17 | | | | 88,504,000 | | | | 92,363,624 | |
| Bank of America Corp. (MTN) | | | | | | | | | |
1.49% | | | 12/01/26 | 3 | | | 14,400,000 | | | | 12,437,467 | |
1.70% | | | 08/25/17 | | | | 2,500,000 | | | | 2,504,865 | |
2.63% | | | 10/19/20 | | | | 39,075,000 | | | | 39,913,823 | |
3.88% | | | 08/01/25 | | | | 72,205,000 | | | | 77,282,528 | |
4.00% | | | 04/01/24 | | | | 27,435,000 | | | | 29,612,324 | |
4.13% | | | 01/22/24 | | | | 74,917,000 | | | | 81,375,894 | |
5.00% | | | 05/13/21 | | | | 73,235,000 | | | | 81,953,700 | |
5.00% | | | 01/21/44 | | | | 11,770,000 | | | | 13,918,355 | |
5.65% | | | 05/01/18 | | | | 99,873,000 | | | | 106,115,532 | |
6.88% | | | 04/25/18 | | | | 60,059,000 | | | | 64,801,739 | |
8.68% | | | 05/02/17 | 3 | | | 5,800,000 | | | | 5,459,540 | |
8.95% | | | 05/18/17 | 3 | | | 5,990,000 | | | | 5,638,387 | |
9.57% | | | 06/06/17 | 3 | | | 12,113,000 | | | | 11,477,067 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | | | | | |
Banking (continued) | | | | | | | | | |
| Bank of America N.A. (BKNT) | | | | | | | | | |
1.15% | | | 06/15/17 | 3 | | $ | 51,120,000 | | | $ | 51,101,801 | |
5.30% | | | 03/15/17 | | | | 201,033,000 | | | | 204,569,975 | |
6.10% | | | 06/15/17 | | | | 97,869,000 | | | | 101,067,021 | |
| Bank of New York Mellon Corp. (MTN) (The) | | | | | | | | | |
1.35% | | | 03/06/18 | | | | 750,000 | | | | 752,229 | |
| Bank One Corp. | | | | | | | | | |
8.00% | | | 04/29/27 | | | | 2,500,000 | | | | 3,414,993 | |
| Bank One Corp. (STEP) | | | | | | | | | |
8.53% | | | 03/01/19 | | | | 1,810,000 | | | | 2,078,471 | |
| Barclays PLC (United Kingdom) | | | | | | | | | |
3.65% | | | 03/16/25 | 2 | | | 6,885,000 | | | | 6,810,136 | |
| Capital One Bank USA N.A. (BKNT) | | | | | | | | | |
1.15% | | | 11/21/16 | | | | 6,250,000 | | | | 6,249,813 | |
2.15% | | | 11/21/18 | | | | 11,602,000 | | | | 11,743,634 | |
| Capital One Financial Corp. | | | | | | | | | |
2.45% | | | 04/24/19 | | | | 300,000 | | | | 306,694 | |
3.20% | | | 02/05/25 | | | | 700,000 | | | | 716,139 | |
| Capital One N.A. | | | | | | | | | |
2.40% | | | 09/05/19 | | | | 7,050,000 | | | | 7,164,598 | |
| Citigroup, Inc. | | | | | | | | | |
1.80% | | | 02/05/18 | | | | 9,575,000 | | | | 9,602,289 | |
1.85% | | | 11/24/17 | | | | 44,000,000 | | | | 44,149,688 | |
| Credit Suisse/New York (GMTN) (Switzerland) | | | | | | | | | |
1.44% | | | 01/29/18 | 2,3 | | | 15,200,000 | | | | 15,219,859 | |
| Discover Bank | | | | | | | | | |
2.00% | | | 02/21/18 | | | | 14,255,000 | | | | 14,313,504 | |
2.60% | | | 11/13/18 | | | | 50,370,000 | | | | 51,210,862 | |
3.20% | | | 08/09/21 | | | | 6,970,000 | | | | 7,209,029 | |
3.45% | | | 07/27/26 | | | | 2,465,000 | | | | 2,474,825 | |
4.20% | | | 08/08/23 | | | | 10,900,000 | | | | 11,748,238 | |
7.00% | | | 04/15/20 | | | | 9,000,000 | | | | 10,279,287 | |
| Discover Bank (BKNT) | | | | | | | | | |
3.10% | | | 06/04/20 | | | | 60,207,000 | | | | 62,029,044 | |
8.70% | | | 11/18/19 | | | | 3,676,000 | | | | 4,273,350 | |
| First Chicago NBD Institutional Capital I | | | | | | | | | |
1.31% | | | 02/01/27 | 3 | | | 7,455,000 | | | | 6,611,489 | |
| HBOS PLC (GMTN) (United Kingdom) | | | | | | | | | |
6.75% | | | 05/21/18 | 2,4 | | | 115,294,000 | | | | 123,266,753 | |
| JPMorgan Chase & Co. | | | | | | | | | |
1.67% | | | 01/23/20 | 3 | | | 15,000,000 | | | | 15,151,065 | |
2.55% | | | 10/29/20 | | | | 106,895,000 | | | | 108,887,095 | |
2.70% | | | 05/18/23 | | | | 39,800,000 | | | | 40,263,829 | |
2.75% | | | 06/23/20 | | | | 33,300,000 | | | | 34,285,214 | |
2.95% | | | 10/01/26 | | | | 4,570,000 | | | | 4,565,485 | |
3.20% | | | 01/25/23 | | | | 18,750,000 | | | | 19,604,109 | |
3.63% | | | 05/13/24 | | | | 4,750,000 | | | | 5,056,674 | |
3.90% | | | 07/15/25 | | | | 30,430,000 | | | | 32,915,903 | |
4.25% | | | 10/15/20 | | | | 10,525,000 | | | | 11,426,535 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2016 / 56 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Banking (continued) | | | | | | | | | |
4.25% | | | 10/01/27 | | | $ | 12,780,000 | | | $ | 13,742,475 | |
4.50% | | | 01/24/22 | | | | 345,000 | | | | 382,202 | |
5.60% | | | 07/15/41 | | | | 4,942,000 | | | | 6,374,646 | |
6.00% | | | 01/15/18 | | | | 24,840,000 | | | | 26,248,726 | |
6.30% | | | 04/23/19 | | | | 170,000 | | | | 189,320 | |
| JPMorgan Chase Bank N.A. (BKNT) | | | | | | | | | |
6.00% | | | 07/05/17 | | | | 1,678,000 | | | | 1,737,014 | |
6.00% | | | 10/01/17 | | | | 170,656,000 | | | | 178,006,325 | |
| Lloyds Banking Group PLC (United Kingdom) | | | | | | | | | |
4.58% | | | 12/10/25 | 2,4 | | | 2,100,000 | | | | 2,155,405 | |
| Macquarie Bank Ltd. (Australia) | | | | | | | | | |
1.36% | | | 10/27/17 | 2,3,4 | | | 89,760,000 | | | | 89,769,335 | |
1.60% | | | 10/27/17 | 2,4 | | | 20,000,000 | | | | 20,033,600 | |
6.63% | | | 04/07/21 | 2,4 | | | 4,728,000 | | | | 5,450,018 | |
| Royal Bank of Scotland PLC (United Kingdom) | | | | | | | | | |
6.00% | | | 12/19/23 | 2 | | | 5,200,000 | | | | 5,427,443 | |
6.40% | | | 10/21/19 | 2 | | | 40,075,000 | | | | 44,322,189 | |
| Santander UK Group Holdings PLC | | | | | | | | | |
| (United Kingdom) | | | | | | | | | |
2.88% | | | 10/16/20 | 2 | | | 69,390,000 | | | | 70,073,353 | |
| UBS AG/Stamford CT (GMTN) (Switzerland) | | | | | | | | | |
1.56% | | | 03/26/18 | 2,3 | | | 80,250,000 | | | | 80,433,492 | |
1.80% | | | 03/26/18 | 2 | | | 62,275,000 | | | | 62,416,644 | |
| UBS AG/Stamford CT (Switzerland) | | | | | | | | | |
1.38% | | | 06/01/17 | 2 | | | 40,540,000 | | | | 40,534,993 | |
1.40% | | | 06/01/17 | 2,3 | | | 33,900,000 | | | | 33,929,154 | |
| Wells Fargo & Co. | | | | | | | | | |
2.10% | | | 07/26/21 | | | | 193,668,000 | | | | 193,228,567 | |
2.50% | | | 03/04/21 | | | | 154,120,000 | | | | 156,703,067 | |
3.00% | | | 04/22/26 | | | | 140,105,000 | | | | 141,481,181 | |
5.38% | | | 11/02/43 | | | | 16,807,000 | | | | 19,547,213 | |
| Wells Fargo & Co. (GMTN) | | | | | | | | | |
1.50% | | | 01/16/18 | | | | 220,000 | | | | 220,322 | |
4.90% | | | 11/17/45 | | | | 690,000 | | | | 761,534 | |
| Wells Fargo & Co. (MTN) | | | | | | | | | |
2.55% | | | 12/07/20 | | | | 10,000 | | | | 10,211 | |
3.30% | | | 09/09/24 | | | | 5,895,000 | | | | 6,201,777 | |
| Wells Fargo Bank N.A. (BKNT) | | | | | | | | | |
1.65% | | | 01/22/18 | | | | 29,910,000 | | | | 30,004,366 | |
| | | | | | | | | | | | |
| | |
| | | | | | | | 3,092,263,567 | |
| | | | | | | | | | | | |
Commercial Services — 0.02% | | | | | |
| IHS Markit, Ltd. (Bermuda) | | | | | | | | | |
5.00% | | | 11/01/22 | 2,4 | | | 14,323,000 | | | | 15,226,781 | |
| | | | | | | | | | | | |
|
Communications — 1.90% | |
| 21st Century Fox America, Inc. | | | | | | | | | |
4.75% | | | 09/15/44 | | | | 5,800,000 | | | | 6,401,765 | |
4.95% | | | 10/15/45 | | | | 18,155,000 | | | | 20,655,061 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Communications (continued) | | | | | |
5.40% | | | 10/01/43 | | | $ | 6,105,000 | | | $ | 7,297,764 | |
6.15% | | | 03/01/37 | | | | 6,730,000 | | | | 8,500,639 | |
6.15% | | | 02/15/41 | | | | 7,700,000 | | | | 9,801,684 | |
| Altice Financing SA (Luxembourg) | | | | | | | | | |
7.50% | | | 05/15/26 | 2,4 | | | 11,720,000 | | | | 12,232,750 | |
| Altice U.S. Finance I Corp. | | | | | | | | | |
5.38% | | | 07/15/23 | 4 | | | 49,771,000 | | | | 51,637,413 | |
| AT&T, Inc. | | | | | | | | | |
1.77% | | | 06/30/20 | 3 | | | 16,863,000 | | | | 17,018,005 | |
2.45% | | | 06/30/20 | | | | 34,000,000 | | | | 34,658,342 | |
3.40% | | | 05/15/25 | | | | 58,215,000 | | | | 59,828,982 | |
3.60% | | | 02/17/23 | | | | 14,000,000 | | | | 14,764,519 | |
3.80% | | | 03/15/22 | | | | 9,029,000 | | | | 9,656,335 | |
4.13% | | | 02/17/26 | | | | 70,690,000 | | | | 76,533,660 | |
4.35% | | | 06/15/45 | | | | 22,036,000 | | | | 21,814,779 | |
4.45% | | | 04/01/24 | | | | 22,195,000 | | | | 24,433,699 | |
4.50% | | | 05/15/35 | | | | 50,000,000 | | | | 52,776,750 | |
4.55% | | | 03/09/49 | 4 | | | 10,485,000 | | | | 10,600,567 | |
4.75% | | | 05/15/46 | | | | 42,590,000 | | | | 44,747,311 | |
4.80% | | | 06/15/44 | | | | 30,630,000 | | | | 32,325,078 | |
5.00% | | | 03/01/21 | | | | 2,000,000 | | | | 2,241,550 | |
| CBS Corp. | | | | | | | | | |
2.90% | | | 01/15/27 | | | | 12,745,000 | | | | 12,453,611 | |
4.00% | | | 01/15/26 | | | | 4,822,000 | | | | 5,112,868 | |
| CCO Holdings LLC/CCO Holdings Capital Corp. | | | | | | | | | |
5.75% | | | 02/15/26 | 4 | | | 1,438,000 | | | | 1,526,077 | |
5.88% | | | 04/01/24 | 4 | | | 4,283,000 | | | | 4,580,240 | |
| Cequel Communications Holdings I LLC/Cequel Capital Corp. | | | | | |
6.38% | | | 09/15/20 | 4 | | | 6,739,000 | | | | 6,974,865 | |
| Charter Communications Operating LLC/Charter Communications | | | | | |
| Operating Capital | | | | | | | | | |
4.46% | | | 07/23/22 | 4 | | | 2,630,000 | | | | 2,834,758 | |
4.91% | | | 07/23/25 | 4 | | | 1,460,000 | | | | 1,612,497 | |
6.38% | | | 10/23/35 | 4 | | | 43,738,000 | | | | 51,578,037 | |
6.48% | | | 10/23/45 | 4 | | | 107,505,000 | | | | 130,709,954 | |
| Comcast Corp. | | | | | | | | | |
2.75% | | | 03/01/23 | | | | 34,775,000 | | | | 36,130,703 | |
3.60% | | | 03/01/24 | | | | 600,000 | | | | 656,184 | |
4.40% | | | 08/15/35 | | | | 17,230,000 | | | | 19,553,414 | |
4.60% | | | 08/15/45 | | | | 7,800,000 | | | | 9,036,557 | |
| Cox Communications, Inc. | | | | | | | | | |
3.35% | | | 09/15/26 | 4 | | | 15,000,000 | | | | 15,130,703 | |
| CSC Holdings LLC | | | | | | | | | |
5.50% | | | 04/15/27 | 4 | | | 21,815,000 | | | | 22,414,913 | |
6.75% | | | 11/15/21 | | | | 4,216,000 | | | | 4,468,960 | |
8.63% | | | 02/15/19 | | | | 8,975,000 | | | | 10,040,781 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 57 / Semi-Annual Report September 2016 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Communications (continued) | | | | | |
| DISH DBS Corp. | | | | | | | | | |
5.88% | | | 07/15/22 | | | $ | 1,846,000 | | | $ | 1,904,057 | |
6.75% | | | 06/01/21 | | | | 11,275,000 | | | | 12,205,187 | |
| Intelsat Jackson Holdings SA (Luxembourg) | | | | | | | | | |
5.50% | | | 08/01/23 | 2 | | | 16,584,000 | | | | 11,567,340 | |
7.25% | | | 04/01/19 | 2 | | | 4,500,000 | | | | 3,631,050 | |
| Level 3 Financing, Inc. | | | | | | | | | |
5.25% | | | 03/15/26 | 4 | | | 17,346,000 | | | | 17,931,427 | |
5.63% | | | 02/01/23 | | | | 5,610,000 | | | | 5,848,425 | |
| LIN Television Corp. | | | | | | | | | |
5.88% | | | 11/15/22 | | | | 4,681,000 | | | | 4,926,753 | |
| Neptune Finco Corp. | | | | | | | | | |
6.63% | | | 10/15/25 | 4 | | | 33,144,000 | | | | 36,044,100 | |
10.88% | | | 10/15/25 | 4 | | | 3,500,000 | | | | 4,121,250 | |
| Nexstar Broadcasting, Inc. | | | | | | | | | |
6.13% | | | 02/15/22 | 4 | | | 65,000 | | | | 67,437 | |
| Nexstar Escrow Corp. | | | | | | | | | |
5.63% | | | 08/01/24 | 4 | | | 22,655,000 | | | | 22,881,550 | |
| Numericable-SFR SA (France) | | | | | | | | | |
7.38% | | | 05/01/26 | 2,4 | | | 5,130,000 | | | | 5,250,247 | |
| Sirius XM Radio, Inc. | | | | | | | | | |
4.25% | | | 05/15/20 | 4 | | | 1,470,000 | | | | 1,501,237 | |
5.75% | | | 08/01/21 | 4 | | | 8,000,000 | | | | 8,378,200 | |
| Softbank Group Corp. (Japan) | | | | | | | | | |
4.50% | | | 04/15/20 | 2,4 | | | 1,000,000 | | | | 1,038,750 | |
| Sprint Communications, Inc. | | | | | | | | | |
9.00% | | | 11/15/18 | 4 | | | 75,007,000 | | | | 82,980,244 | |
| TCI Communications, Inc. | | | | | | | | | |
7.13% | | | 02/15/28 | | | | 3,235,000 | | | | 4,568,438 | |
| Time Warner Cable, Inc. | | | | | | | | | |
4.50% | | | 09/15/42 | | | | 5,000,000 | | | | 4,770,655 | |
6.55% | | | 05/01/37 | | | | 5,170,000 | | | | 6,131,858 | |
| Time Warner Entertainment Co. LP | | | | | | | | | |
8.38% | | | 03/15/23 | | | | 1,400,000 | | | | 1,832,250 | |
| T-Mobile USA, Inc. | | | | | | | | | |
6.25% | | | 04/01/21 | | | | 6,800,000 | | | | 7,140,000 | |
6.63% | | | 04/28/21 | | | | 9,768,000 | | | | 10,317,450 | |
6.73% | | | 04/28/22 | | | | 86,999,000 | | | | 91,783,945 | |
| Univision Communications, Inc. | | | | | | | | | |
5.13% | | | 05/15/23 | 4 | | | 1,360,000 | | | | 1,383,800 | |
| Verizon Communications, Inc. | | | | | | | | | |
3.85% | | | 11/01/42 | | | | 15,905,000 | | | | 15,268,442 | |
4.40% | | | 11/01/34 | | | | 27,795,000 | | | | 29,501,835 | |
4.52% | | | 09/15/48 | | | | 28,562,000 | | | | 30,330,045 | |
4.60% | | | 04/01/21 | | | | 1,200,000 | | | | 1,338,797 | |
4.67% | | | 03/15/55 | | | | 2,681,000 | | | | 2,833,149 | |
4.86% | | | 08/21/46 | | | | 113,635,000 | | | | 125,928,262 | |
5.05% | | | 03/15/34 | | | | 8,260,000 | | | | 9,317,752 | |
5.15% | | | 09/15/23 | | | | 69,041,000 | | | | 80,486,721 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Communications (continued) | | | | | |
5.85% | | | 09/15/35 | | | $ | 14,080,000 | | | $ | 17,513,852 | |
6.25% | | | 04/01/37 | | | | 2,680,000 | | | | 3,403,553 | |
| Viacom, Inc. | | | | | | | | | |
3.45% | | | 10/04/26 | | | | 15,740,000 | | | | 15,764,554 | |
| Virgin Media Secured Finance PLC | | | | | | | | | |
| (United Kingdom) | | | | | | | | | |
5.25% | | | 01/15/26 | 2,4 | | | 4,089,000 | | | | 4,170,780 | |
5.50% | | | 01/15/25 | 2,4 | | | 2,050,000 | | | | 2,103,813 | |
5.50% | | | 08/15/26 | 2,4 | | | 3,886,000 | | | | 3,983,150 | |
| | | | | | | | | | | | |
| | |
| | | | | | | | 1,542,892,130 | |
| | | | | | | | | | | | |
Consumer Discretionary — 0.50% | | | | | |
| Anheuser-Busch InBev Finance, Inc. | | | | | | | | | |
3.30% | | | 02/01/23 | | | | 30,507,000 | | | | 32,227,351 | |
3.65% | | | 02/01/26 | | | | 172,553,000 | | | | 185,073,618 | |
3.70% | | | 02/01/24 | | | | 1,250,000 | | | | 1,353,993 | |
4.70% | | | 02/01/36 | | | | 59,735,000 | | | | 68,903,755 | |
4.90% | | | 02/01/46 | | | | 14,802,000 | | | | 17,632,142 | |
| Churchill Downs, Inc. | | | | | | | | | |
5.38% | | | 12/15/21 | 4 | | | 10,719,000 | | | | 11,147,760 | |
5.38% | | | 12/15/21 | | | | 940,000 | | | | 982,300 | |
| DS Services of America, Inc. | | | | | | | | | |
10.00% | | | 09/01/21 | 4 | | | 32,324,000 | | | | 36,202,880 | |
| Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp. | | | | | | | | | |
5.63% | | | 10/15/21 | | | | 16,907,000 | | | | 17,415,444 | |
| Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC | | | | | | | | | |
4.13% | | | 07/15/21 | 3,4 | | | 3,800,000 | | | | 3,866,500 | |
5.75% | | | 10/15/20 | | | | 25,142,000 | | | | 26,021,970 | |
| Spectrum Brands, Inc. | | | | | | | | | |
5.75% | | | 07/15/25 | | | | 4,717,000 | | | | 5,148,605 | |
| | | | | | | | | | | | |
| | |
| | | | | | | | 405,976,318 | |
| | | | | | | | | | | | |
Consumer Products — 0.01% | | | | | |
| Newell Brands, Inc. | | | | | | | | | |
3.85% | | | 04/01/23 | | | | 5,750,000 | | | | 6,163,250 | |
| | | | | | | | | | | | |
| |
Electric — 1.59% | | | | | |
| Alabama Power Capital Trust V | | | | | | | | | |
3.95% | | | 10/01/42 | 3 | | | 290,000 | | | | 279,058 | |
| American Transmission Systems, Inc. | | | | | | | | | |
5.00% | | | 09/01/44 | 4 | | | 10,915,000 | | | | 12,544,342 | |
| Appalachian Power Co. | | | | | | | | | |
4.45% | | | 06/01/45 | | | | 17,930,000 | | | | 19,849,030 | |
| Berkshire Hathaway Energy Co. | | | | | | | | | |
4.50% | | | 02/01/45 | | | | 24,040,000 | | | | 26,970,043 | |
| Cleco Corporate Holdings LLC | | | | | | | | | |
3.74% | | | 05/01/26 | 4 | | | 13,325,000 | | | | 13,818,627 | |
| Cleco Power LLC | | | | | | | | | |
6.65% | | | 06/15/18 | | | | 17,887,000 | | | | 19,174,363 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2016 / 58 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Electric (continued) | | | | | |
| Commonwealth Edison Co. | | | | | | | | | |
3.65% | | | 06/15/46 | | | $ | 22,845,000 | | | $ | 23,447,217 | |
| Dominion Resources, Inc. (STEP) | | | | | | | | | |
4.10% | | | 04/01/21 | | | | 2,310,000 | | | | 2,476,596 | |
| Duke Energy Carolinas LLC | | | | | | | | | |
3.75% | | | 06/01/45 | | | | 35,725,000 | | | | 37,289,951 | |
3.88% | | | 03/15/46 | | | | 3,000,000 | | | | 3,177,924 | |
4.00% | | | 09/30/42 | | | | 14,845,000 | | | | 15,929,873 | |
4.25% | | | 12/15/41 | | | | 28,843,000 | | | | 32,118,440 | |
| Duke Energy Corp. | | | | | | | | | |
1.63% | | | 08/15/17 | | | | 400,000 | | | | 401,268 | |
2.65% | | | 09/01/26 | | | | 13,665,000 | | | | 13,428,466 | |
| Duke Energy Indiana, Inc., Series UUU | | | | | | | | | |
4.20% | | | 03/15/42 | | | | 7,700,000 | | | | 8,434,465 | |
| Duke Energy Indiana, Inc., Series WWW | | | | | | | | | |
4.90% | | | 07/15/43 | | | | 7,000,000 | | | | 8,438,948 | |
| Duke Energy Progress LLC | | | | | | | | | |
3.70% | | | 10/15/46 | | | | 30,715,000 | | | | 31,697,174 | |
4.10% | | | 05/15/42 | | | | 8,915,000 | | | | 9,712,759 | |
4.15% | | | 12/01/44 | | | | 10,900,000 | | | | 11,983,155 | |
4.20% | | | 08/15/45 | | | | 16,475,000 | | | | 18,301,012 | |
| Duquesne Light Holdings, Inc. | | | | | | | | | |
5.90% | | | 12/01/21 | 4 | | | 2,000,000 | | | | 2,330,250 | |
6.25% | | | 08/15/35 | | | | 42,000 | | | | 47,233 | |
6.40% | | | 09/15/20 | 4 | | | 33,464,000 | | | | 38,774,133 | |
| Dynegy, Inc. | | | | | | | | | |
5.88% | | | 06/01/23 | | | | 6,060,000 | | | | 5,454,303 | |
7.38% | | | 11/01/22 | | | | 1,000,000 | | | | 992,500 | |
| Entergy Corp. | | | | | | | | | |
4.00% | | | 07/15/22 | | | | 17,822,000 | | | | 19,342,430 | |
5.13% | | | 09/15/20 | | | | 10,210,000 | | | | 11,339,716 | |
| Entergy Gulf States Louisiana LLC | | | | | | | | | |
6.00% | | | 05/01/18 | | | | 17,500,000 | | | | 18,650,100 | |
| Entergy Texas, Inc. | | | | | | | | | |
7.13% | | | 02/01/19 | | | | 35,000 | | | | 39,285 | |
| Eversource Energy, Series H | | | | | | | | | |
3.15% | | | 01/15/25 | | | | 9,500,000 | | | | 9,910,020 | |
| Exelon Corp. | | | | | | | | | |
1.55% | | | 06/09/17 | | | | 8,735,000 | | | | 8,743,503 | |
4.45% | | | 04/15/46 | | | | 16,360,000 | | | | 17,713,092 | |
| FirstEnergy Transmission LLC | | | | | | | | | |
4.35% | | | 01/15/25 | 4 | | | 25,530,000 | | | | 27,526,911 | |
5.45% | | | 07/15/44 | 4 | | | 63,750,000 | | | | 72,046,795 | |
| Florida Power & Light Co. | | | | | | | | | |
3.80% | | | 12/15/42 | | | | 5,300,000 | | | | 5,746,268 | |
| FPL Energy National Wind Portfolio LLC | | | | | | | | | |
6.13% | | | 03/25/19 | 4 | | | 14,617 | | | | 14,690 | |
| GenOn Americas Generation LLC | | | | | | | | | |
8.50% | | | 10/01/21 | 5 | | | 21,301,000 | | | | 18,105,850 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Electric (continued) | | | | | | | | | |
9.13% | | | 05/01/31 | | | $ | 10,514,000 | | | $ | 8,621,480 | |
| Homer City Generation LP (PIK) | | | | | | | | | |
8.14% | | | 10/01/19 | 5,6 | | | 13,274,266 | | | | 4,977,850 | |
8.73% | | | 10/01/26 | 5,7 | | | 54,115,382 | | | | 19,752,114 | |
| Indiana Michigan Power Co., Series K | | | | | | | | | |
4.55% | | | 03/15/46 | | | | 12,600,000 | | | | 14,238,605 | |
| Indianapolis Power & Light Co. | | | | | | | | | |
4.70% | | | 09/01/45 | 4 | | | 3,000,000 | | | | 3,437,679 | |
| IPALCO Enterprises, Inc. | | | | | | | | | |
5.00% | | | 05/01/18 | | | | 7,500,000 | | | | 7,865,622 | |
| ITC Holdings Corp. | | | | | | | | | |
3.65% | | | 06/15/24 | | | | 5,650,000 | | | | 5,957,293 | |
| Jersey Central Power & Light Co. | | | | | | | | | |
4.30% | | | 01/15/26 | 4 | | | 5,450,000 | | | | 5,814,551 | |
4.70% | | | 04/01/24 | 4 | | | 31,002,000 | | | | 33,998,498 | |
6.40% | | | 05/15/36 | | | | 8,900,000 | | | | 10,682,403 | |
| Kansas City Power & Light Co. | | | | | | | | | |
3.65% | | | 08/15/25 | | | | 15,195,000 | | | | 16,151,047 | |
6.38% | | | 03/01/18 | | | | 4,320,000 | | | | 4,614,369 | |
| KCP&L Greater Missouri Operations Co. | | | | | | | | | |
8.27% | | | 11/15/21 | | | | 75,000 | | | | 90,942 | |
| Metropolitan Edison Co. | | | | | | | | | |
3.50% | | | 03/15/23 | 4 | | | 11,725,000 | | | | 12,064,157 | |
4.00% | | | 04/15/25 | 4 | | | 18,769,000 | | | | 19,843,052 | |
7.70% | | | 01/15/19 | | | | 14,000 | | | | 15,746 | |
| MidAmerican Energy Co. | | | | | | | | | |
3.50% | | | 10/15/24 | | | | 13,474,000 | | | | 14,708,623 | |
4.25% | | | 05/01/46 | | | | 33,420,000 | | | | 38,219,981 | |
4.40% | | | 10/15/44 | | | | 8,875,000 | | | | 10,353,176 | |
4.80% | | | 09/15/43 | | | | 11,300,000 | | | | 13,812,436 | |
| Mirant Mid Atlantic Pass-Through Trust, Series C | | | | | |
10.06% | | | 12/30/28 | 5 | | | 8,836,850 | | | | 6,936,928 | |
| Nevada Power Co. | | | | | | | | | |
5.45% | | | 05/15/41 | | | | 600,000 | | | | 762,828 | |
| NextEra Energy Capital Holdings, Inc. | | | | | | | | | |
1.59% | | | 06/01/17 | | | | 12,940,000 | | | | 12,969,646 | |
1.65% | | | 09/01/18 | | | | 12,248,000 | | | | 12,299,754 | |
2.30% | | | 04/01/19 | | | | 7,190,000 | | | | 7,307,028 | |
| NextEra Energy Capital Holdings, Inc., Series F | | | | | | | | | |
2.06% | | | 09/01/17 | | | | 24,226,000 | | | | 24,361,641 | |
| Niagara Mohawk Power Corp. | | | | | | | | | |
3.51% | | | 10/01/24 | 4 | | | 6,000,000 | | | | 6,452,862 | |
| Oncor Electric Delivery Co. LLC | | | | | | | | | |
4.10% | | | 06/01/22 | | | | 16,683,000 | | | | 18,462,893 | |
5.25% | | | 09/30/40 | | | | 9,938,000 | | | | 12,738,350 | |
5.30% | | | 06/01/42 | | | | 24,358,000 | | | | 31,127,161 | |
7.00% | | | 09/01/22 | | | | 25,475,000 | | | | 32,325,278 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 59 / Semi-Annual Report September 2016 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
Issues | | Maturity Date | | | Principal Amount | | | Value | |
CORPORATES (continued) | | | | | |
Electric (continued) | | | | | |
| PacifiCorp | | | | | | | | | |
3.35% | | | 07/01/25 | | | $ | 7,200,000 | | | $ | 7,760,203 | |
| Pennsylvania Electric Co. | | | | | | | | | |
4.15% | | | 04/15/25 | 4 | | | 6,100,000 | | | | 6,309,920 | |
| Potomac Electric Power Co. | | | | | | | | | |
4.15% | | | 03/15/43 | | | | 50,000,000 | | | | 55,247,800 | |
| Public Service Co. of New Hampshire | | | | | | | | | |
6.00% | | | 05/01/18 | | | | 5,000,000 | | | | 5,368,945 | |
| Public Service Co. of New Mexico | | | | | | | | | |
3.85% | | | 08/01/25 | | | | 10,000,000 | | | | 10,411,297 | |
5.35% | | | 10/01/21 | | | | 5,320,000 | | | | 5,859,888 | |
7.95% | | | 05/15/18 | | | | 41,187,000 | | | | 45,440,793 | |
| Public Service Electric & Gas Co. (MTN) | | | | | | | | | |
2.25% | | | 09/15/26 | | | | 11,165,000 | | | | 11,138,723 | |
3.65% | | | 09/01/42 | | | | 7,215,000 | | | | 7,601,912 | |
4.15% | | | 11/01/45 | | | | 24,175,000 | | | | 27,572,820 | |
| Public Service Electric & Gas Co., Series K | | | | | | | | | |
4.05% | | | 05/01/45 | | | | 15,770,000 | | | | 17,723,524 | |
| Puget Energy, Inc. | | | | | | | | | |
6.00% | | | 09/01/21 | | | | 3,494,000 | | | | 4,042,722 | |
| Southern California Edison Co., Series C | | | | | | | | | |
3.60% | | | 02/01/45 | | | | 6,375,000 | | | | 6,669,331 | |
| Southern Co. Gas Capital Corp. | | | | | | | | | |
2.45% | | | 10/01/23 | | | | 11,015,000 | | | | 11,093,317 | |
| Southwestern Electric Power Co. | | | | | | | | | |
6.20% | | | 03/15/40 | | | | 5,710,000 | | | | 7,364,176 | |
6.45% | | | 01/15/19 | | | | 28,760,000 | | | | 31,665,178 | |
| Southwestern Electric Power Co., Series J | | | | | | | | | |
3.90% | | | 04/01/45 | | | | 33,886,000 | | | | 33,936,931 | |
| Southwestern Electric Power Co., Series K | | | | | | | | | |
2.75% | | | 10/01/26 | | | | 19,500,000 | | | | 19,514,381 | |
| Tucson Electric Power Co. | | | | | | | | | |
3.85% | | | 03/15/23 | | | | 85,000 | | | | 87,139 | |
| Virginia Electric & Power Co., Series A | | | | | | | | | |
3.15% | | | 01/15/26 | | | | 3,285,000 | | | | 3,471,511 | |
| | | | | | | | | | | | |
| | |
| | | | | | | | 1,295,494,294 | |
| | | | | | | | | | | | |
Energy — 1.41% | | | | | | | | | |
| Anadarko Petroleum Corp. | | | | | | | | | |
4.50% | | | 07/15/44 | | | | 27,421,000 | | | | 25,254,604 | |
| Arch Coal, Inc.8 | | | | | | | | | |
7.00% | | | 06/15/19 | 9 | | | 14,345,000 | | | | 690,353 | |
| Boardwalk Pipelines LP | | | | | | | | | |
4.95% | | | 12/15/24 | | | | 81,820,000 | | | | 85,734,842 | |
5.20% | | | 06/01/18 | | | | 10,819,000 | | | | 10,941,816 | |
5.75% | | | 09/15/19 | | | | 7,000,000 | | | | 7,507,620 | |
5.88% | | | 11/15/16 | | | | 2,430,000 | | | | 2,441,334 | |
5.95% | | | 06/01/26 | | | | 23,235,000 | | | | 25,764,361 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | | | | | |
Energy (continued) | | | | | | | | | |
| BP Capital Markets PLC (United Kingdom) | | | | | | | | | |
1.85% | | | 05/05/17 | 2 | | $ | 500,000 | | | $ | 502,123 | |
3.06% | | | 03/17/22 | 2 | | | 11,653,000 | | | | 12,221,457 | |
3.25% | | | 05/06/22 | 2 | | | 10,000,000 | | | | 10,540,270 | |
3.51% | | | 03/17/25 | 2 | | | 9,267,000 | | | | 9,841,211 | |
3.54% | | | 11/04/24 | 2 | | | 20,883,000 | | | | 22,154,294 | |
| Brooklyn Union Gas Co. (The) | | | | | | | | | |
3.41% | | | 03/10/26 | 4 | | | 23,400,000 | | | | 24,886,415 | |
4.50% | | | 03/10/46 | 4 | | | 24,650,000 | | | | 28,324,428 | |
| Canadian Natural Resources Ltd. (Canada) | | | | | | | | | |
3.90% | | | 02/01/25 | 2 | | | 10,630,000 | | | | 10,691,473 | |
| Devon Energy Corp. | | | | | | | | | |
4.75% | | | 05/15/42 | | | | 11,800,000 | | | | 11,054,169 | |
5.60% | | | 07/15/41 | | | | 3,590,000 | | | | 3,634,297 | |
5.85% | | | 12/15/25 | | | | 18,419,000 | | | | 20,765,010 | |
| El Paso LLC (GMTN) | | | | | | | | | |
7.80% | | | 08/01/31 | | | | 3,000,000 | | | | 3,664,605 | |
| Enbridge Energy Partners LP | | | | | | | | | |
5.88% | | | 10/15/25 | | | | 23,730,000 | | | | 27,284,006 | |
7.38% | | | 10/15/45 | | | | 44,430,000 | | | | 56,513,956 | |
| Energy Transfer Partners LP | | | | | | | | | |
3.60% | | | 02/01/23 | | | | 38,070,000 | | | | 37,519,127 | |
3.77% | | | 11/01/66 | 3 | | | 75,473,000 | | | | 51,321,640 | |
4.75% | | | 01/15/26 | | | | 6,500,000 | | | | 6,727,786 | |
4.90% | | | 03/15/35 | | | | 6,490,000 | | | | 6,084,284 | |
5.15% | | | 03/15/45 | | | | 44,825,000 | | | | 41,737,320 | |
5.50% | | | 06/01/27 | | | | 10,700,000 | | | | 10,700,000 | |
5.95% | | | 10/01/43 | | | | 52,360,000 | | | | 53,063,823 | |
6.13% | | | 12/15/45 | | | | 2,685,000 | | | | 2,794,669 | |
6.50% | | | 02/01/42 | | | | 2,000,000 | | | | 2,129,344 | |
| Exxon Mobil Corp. | | | | | | | | | |
2.73% | | | 03/01/23 | | | | 45,000,000 | | | | 46,645,133 | |
| Florida Gas Transmission Co. LLC | | | | | | | | | |
7.90% | | | 05/15/19 | 4 | | | 19,050,000 | | | | 21,623,503 | |
| KeySpan Gas East Corp. | | | | | | | | | |
2.74% | | | 08/15/26 | 4 | | | 30,307,000 | | | | 30,752,592 | |
| Kinder Morgan, Inc. | | | | | | | | | |
6.95% | | | 06/01/28 | | | | 7,000,000 | | | | 7,430,442 | |
| NGPL Pipe Co. LLC | | | | | | | | | |
7.12% | | | 12/15/17 | 4 | | | 17,310,000 | | | | 18,175,500 | |
| Noble Energy, Inc. | | | | | | | | | |
5.05% | | | 11/15/44 | | | | 27,413,000 | | | | 27,238,982 | |
| Panhandle Eastern Pipeline Co. LP | | | | | | | | | |
8.13% | | | 06/01/19 | | | | 2,407,000 | | | | 2,700,021 | |
| Pioneer Natural Resources Co. | | | | | | | | | |
3.95% | | | 07/15/22 | | | | 6,810,000 | | | | 7,255,776 | |
4.45% | | | 01/15/26 | | | | 1,749,000 | | | | 1,909,056 | |
| Regency Energy Partners LP/Regency Energy Finance Corp. | | | | | |
5.00% | | | 10/01/22 | | | | 9,972,000 | | | | 10,542,274 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2016 / 60 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
Issues | | Maturity Date | | | Principal Amount | | | Value | |
CORPORATES (continued) | | | | | |
Energy (continued) | | | | | | | | | |
5.88% | | | 03/01/22 | | | $ | 11,895,000 | | | $ | 13,117,713 | |
| Rockies Express Pipeline LLC | | | | | | | | | |
5.63% | | | 04/15/20 | 4 | | | 9,133,000 | | | | 9,658,147 | |
6.00% | | | 01/15/19 | 4 | | | 10,559,000 | | | | 11,139,745 | |
6.85% | | | 07/15/18 | 4 | | | 26,996,000 | | | | 28,615,760 | |
| Ruby Pipeline LLC | | | | | | | | | |
6.00% | | | 04/01/22 | 4 | | | 41,730,000 | | | | 44,537,361 | |
| Sabine Pass LNG LP | | | | | | | | | |
7.50% | | | 11/30/16 | 4 | | | 19,323,000 | | | | 19,431,692 | |
7.50% | | | 11/30/16 | | | | 12,052,000 | | | | 12,119,793 | |
| Shell International Finance BV (Netherlands) | | | | | | | | | |
3.25% | | | 05/11/25 | 2 | | | 10,035,000 | | | | 10,592,906 | |
4.38% | | | 05/11/45 | 2 | | | 21,509,000 | | | | 23,551,736 | |
4.55% | | | 08/12/43 | 2 | | | 4,075,000 | | | | 4,501,001 | |
| Spectra Energy Partners LP | | | | | | | | | |
4.50% | | | 03/15/45 | | | | 43,788,000 | | | | 44,050,728 | |
| TC PipeLines LP | | | | | | | | | |
4.38% | | | 03/13/25 | | | | 36,050,000 | | | | 36,872,884 | |
4.65% | | | 06/15/21 | | | | 6,108,000 | | | | 6,414,872 | |
| Tennessee Gas Pipeline Co. LLC | | | | | | | | | |
7.63% | | | 04/01/37 | | | | 40,000 | | | | 47,977 | |
8.38% | | | 06/15/32 | | | | 5,224,000 | | | | 6,527,759 | |
| Texas Eastern Transmission LP | | | | | | | | | |
2.80% | | | 10/15/22 | 4 | | | 35,272,000 | | | | 35,233,695 | |
| Trans-Canada Pipelines Ltd. (Canada) | | | | | | | | | |
6.35% | | | 05/15/67 | 2,3 | | | 85,000 | | | | 67,830 | |
| Williams Cos., Inc. (The) | | | | | | | | | |
7.88% | | | 09/01/21 | | | | 4,538,000 | | | | 5,275,425 | |
| Williams Partners LP | | | | | | | | | |
3.35% | | | 08/15/22 | | | | 6,820,000 | | | | 6,801,475 | |
3.60% | | | 03/15/22 | | | | 38,774,000 | | | | 39,494,692 | |
| Williams Partners LP/ACMP Finance Corp. | | | | | | | | | |
4.88% | | | 05/15/23 | | | | 2,175,000 | | | | 2,226,908 | |
| | | | | | | | | | | | |
| | |
| | | | | | | | 1,147,044,015 | |
| | | | | | | | | | | | |
Entertainment — 0.01% | | | | | | | | | |
| Carmike Cinemas, Inc. | | | | | | | | | |
6.00% | | | 06/15/23 | 4 | | | 5,410,000 | | | | 5,653,450 | |
| | | | | | | | | | | | |
| | |
Finance — 3.70% | | | | | | | | | |
| Alta Wind Holdings LLC | | | | | | | | | |
7.00% | | | 06/30/35 | 4,5 | | | 12,342,642 | | | | 12,825,635 | |
| American Express Bank FSB (BKNT) | | | | | | | | | |
6.00% | | | 09/13/17 | | | | 8,100,000 | | | | 8,451,248 | |
| American Express Co. | | | | | | | | | |
7.00% | | | 03/19/18 | | | | 38,073,000 | | | | 41,100,470 | |
| Bear Stearns Cos. LLC (The) | | | | | | | | | |
4.65% | | | 07/02/18 | | | | 4,330,000 | | | | 4,570,183 | |
6.40% | | | 10/02/17 | | | | 126,896,000 | | | | 132,932,696 | |
7.25% | | | 02/01/18 | | | | 110,511,000 | | | | 118,700,528 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Finance (continued) | | | | | | | | | |
| Chase Capital II, Series B | | | | | | | | | |
1.26% | | | 02/01/27 | 3 | | $ | 14,455,000 | | | $ | 12,864,950 | |
| Chase Capital III, Series C | | | | | | | | | |
1.39% | | | 03/01/27 | 3 | | | 10,900,000 | | | | 9,687,375 | |
| Chase Capital VI | | | | | | | | | |
1.38% | | | 08/01/28 | 3 | | | 19,340,000 | | | | 17,067,550 | |
| CIT Group, Inc. | | | | | | | | | |
4.25% | | | 08/15/17 | | | | 9,633,000 | | | | 9,825,660 | |
6.63% | | | 04/01/18 | 4 | | | 6,632,000 | | | | 7,054,790 | |
| Citigroup Capital III | | | | | | | | | |
7.63% | | | 12/01/36 | | | | 7,438,000 | | | | 9,469,474 | |
| Citigroup, Inc. | | | | | | | | | |
1.30% | | | 11/15/16 | | | | 15,030,000 | | | | 15,032,983 | |
1.31% | | | 08/14/17 | 3 | | | 5,355,000 | | | | 5,358,026 | |
1.35% | | | 03/10/17 | | | | 31,282,000 | | | | 31,306,290 | |
1.38% | | | 08/25/36 | 3 | | | 84,199,000 | | | | 62,379,739 | |
1.39% | | | 03/10/17 | 3 | | | 4,345,000 | | | | 4,349,619 | |
1.53% | | | 11/24/17 | 3 | | | 46,230,000 | | | | 46,367,303 | |
1.55% | | | 08/14/17 | | | | 36,333,000 | | | | 36,384,375 | |
1.70% | | | 04/27/18 | | | | 40,144,000 | | | | 40,202,972 | |
1.75% | | | 05/01/18 | | | | 17,650,000 | | | | 17,685,658 | |
2.15% | | | 07/30/18 | | | | 19,250,000 | | | | 19,417,071 | |
2.50% | | | 09/26/18 | | | | 8,500,000 | | | | 8,635,953 | |
4.50% | | | 01/14/22 | | | | 265,000 | | | | 293,092 | |
5.50% | | | 09/13/25 | | | | 10,000,000 | | | | 11,424,870 | |
6.13% | | | 11/21/17 | | | | 26,236,000 | | | | 27,592,960 | |
6.13% | | | 05/15/18 | | | | 18,522,000 | | | | 19,828,468 | |
| Countrywide Capital III, Series B | | | | | | | | | |
8.05% | | | 06/15/27 | | | | 3,000,000 | | | | 3,822,564 | |
| Discover Financial Services | | | | | | | | | |
3.85% | | | 11/21/22 | | | | 10,899,000 | | | | 11,321,805 | |
5.20% | | | 04/27/22 | | | | 4,515,000 | | | | 4,976,857 | |
| Ford Motor Credit Co. LLC | | | | | | | | | |
1.46% | | | 03/27/17 | | | | 19,898,000 | | | | 19,924,046 | |
1.72% | | | 12/06/17 | | | | 9,143,000 | | | | 9,157,263 | |
1.81% | | | 01/09/18 | 3 | | | 45,075,000 | | | | 45,198,505 | |
2.15% | | | 01/09/18 | | | | 3,000,000 | | | | 3,017,370 | |
2.24% | | | 06/15/18 | | | | 10,000,000 | | | | 10,089,897 | |
2.55% | | | 10/05/18 | | | | 4,370,000 | | | | 4,437,796 | |
3.00% | | | 06/12/17 | | | | 9,782,000 | | | | 9,883,796 | |
3.34% | | | 03/18/21 | | | | 12,900,000 | | | | 13,299,629 | |
8.00% | | | 12/15/16 | | | | 83,732,000 | | | | 84,903,381 | |
| GE Capital International Funding Co. (Ireland) | | | | | | | | | |
4.42% | | | 11/15/35 | 2 | | | 105,774,000 | | | | 118,953,229 | |
| General Electric Corp. (GMTN) | | | | | | | | | |
3.10% | | | 01/09/23 | | | | 18,369,000 | | | | 19,531,354 | |
5.63% | | | 05/01/18 | | | | 295,000 | | | | 315,885 | |
6.15% | | | 08/07/37 | | | | 4,121,000 | | | | 5,666,433 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 61 / Semi-Annual Report September 2016 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Finance (continued) | | | | | | | | | |
| General Electric Corp. (MTN) | | | | | | | | | |
1.16% | | | 05/05/26 | 3 | | $ | 52,485,000 | | | $ | 51,911,084 | |
1.30% | | | 08/15/36 | 3 | | | 13,220,000 | | | | 11,383,332 | |
4.38% | | | 09/16/20 | | | | 15,815,000 | | | | 17,512,970 | |
5.88% | | | 01/14/38 | | | | 13,571,000 | | | | 18,249,443 | |
| General Electric Corp., Series A (MTN) | | | | | | | | | |
6.75% | | | 03/15/32 | | | | 3,984,000 | | | | 5,607,835 | |
| General Motors Financial Co., Inc. | | | | | | | | | |
3.00% | | | 09/25/17 | | | | 52,050,000 | | | | 52,730,111 | |
3.10% | | | 01/15/19 | | | | 44,080,000 | | | | 45,155,552 | |
4.38% | | | 09/25/21 | | | | 10,000,000 | | | | 10,751,000 | |
4.75% | | | 08/15/17 | | | | 47,107,000 | | | | 48,394,717 | |
| Goldman Sachs Group, Inc. (GMTN) (The) | | | | | | | | | |
2.38% | | | 01/22/18 | | | | 38,810,000 | | | | 39,240,131 | |
5.38% | | | 03/15/20 | | | | 60,000 | | | | 66,493 | |
7.50% | | | 02/15/19 | | | | 21,655,000 | | | | 24,489,336 | |
| Goldman Sachs Group, Inc. (MTN) (The) | | | | | | | | | |
1.65% | | | 12/15/17 | 3 | | | 19,550,000 | | | | 19,613,225 | |
2.43% | | | 11/29/23 | 3 | | | 11,783,000 | | | | 11,898,479 | |
3.85% | | | 07/08/24 | | | | 123,639,000 | | | | 131,552,947 | |
| Goldman Sachs Group, Inc. (The) | | | | | | | | | |
1.48% | | | 05/22/17 | 3 | | | 19,100,000 | | | | 19,134,953 | |
1.87% | | | 04/23/20 | 3 | | | 26,625,000 | | | | 26,835,417 | |
2.63% | | | 04/25/21 | | | | 3,435,000 | | | | 3,496,349 | |
2.88% | | | 02/25/21 | | | | 28,750,000 | | | | 29,521,276 | |
3.75% | | | 02/25/26 | | | | 2,824,000 | | | | 2,969,769 | |
4.75% | | | 10/21/45 | | | | 39,641,000 | | | | 44,602,567 | |
5.15% | | | 05/22/45 | | | | 2,700,000 | | | | 2,968,746 | |
5.25% | | | 07/27/21 | | | | 38,000,000 | | | | 43,049,649 | |
5.75% | | | 10/01/16 | | | | 3,606,000 | | | | 3,606,463 | |
5.95% | | | 01/18/18 | | | | 68,865,000 | | | | 72,677,711 | |
6.15% | | | 04/01/18 | | | | 31,176,000 | | | | 33,217,810 | |
6.75% | | | 10/01/37 | | | | 9,500,000 | | | | 12,133,780 | |
Goldman Sachs Group, Inc.,
Series D (The) | | | | | | | | | |
6.00% | | | 06/15/20 | | | | 9,510,000 | | | | 10,830,701 | |
| International Lease Finance Corp. | | | | | | | | | |
7.13% | | | 09/01/18 | 4 | | | 114,768,000 | | | | 125,455,770 | |
| JPMorgan Chase Capital XIII, Series M | | | | | | | | | |
1.79% | | | 09/30/34 | 3 | | | 4,238,000 | | | | 3,497,380 | |
| JPMorgan Chase Capital XXI, Series U | | | | | | | | | |
1.71% | | | 02/02/37 | 3 | | | 134,720,000 | | | | 108,551,044 | |
| JPMorgan Chase Capital XXIII | | | | | | | | | |
1.82% | | | 05/15/47 | 3 | | | 93,909,000 | | | | 72,075,157 | |
| KKR Group Finance Co. III LLC | | | | | | | | | |
5.13% | | | 06/01/44 | 4 | | | 28,980,000 | | | | 29,556,383 | |
| Morgan Stanley | | | | | | | | | |
1.60% | | | 01/05/18 | 3 | | | 81,335,000 | | | | 81,483,680 | |
4.75% | | | 03/22/17 | | | | 15,372,000 | | | | 15,626,960 | |
| | | | | | | | | | | | |
Issues | | Maturity Date | | | Principal Amount | | | Value | |
CORPORATES (continued) | | | | | |
Finance (continued) | | | | | | | | | |
5.75% | | | 01/25/21 | | | $ | 5,418,000 | | | $ | 6,188,323 | |
| Morgan Stanley (GMTN) | | | | | | | | | |
2.38% | | | 07/23/19 | | | | 24,305,000 | | | | 24,761,799 | |
3.70% | | | 10/23/24 | | | | 28,819,000 | | | | 30,428,541 | |
3.88% | | | 01/27/26 | | | | 7,245,000 | | | | 7,710,159 | |
4.00% | | | 07/23/25 | | | | 47,700,000 | | | | 51,243,299 | |
5.45% | | | 01/09/17 | | | | 24,765,000 | | | | 25,040,164 | |
5.50% | | | 07/24/20 | | | | 56,988,000 | | | | 63,918,026 | |
6.63% | | | 04/01/18 | | | | 83,640,000 | | | | 89,650,621 | |
7.30% | | | 05/13/19 | | | | 27,604,000 | | | | 31,390,993 | |
| Morgan Stanley (MTN) | | | | | | | | | |
1.13% | | | 10/18/16 | 3 | | | 20,365,000 | | | | 20,365,128 | |
5.55% | | | 04/27/17 | | | | 19,290,000 | | | | 19,738,010 | |
5.63% | | | 09/23/19 | | | | 23,511,000 | | | | 26,065,026 | |
5.75% | | | 10/18/16 | | | | 19,210,000 | | | | 19,245,991 | |
5.95% | | | 12/28/17 | | | | 42,764,000 | | | | 45,041,611 | |
6.25% | | | 08/28/17 | | | | 33,780,000 | | | | 35,198,422 | |
| Morgan Stanley, Series F | | | | | | | | | |
3.88% | | | 04/29/24 | | | | 6,367,000 | | | | 6,820,642 | |
| Pipeline Funding Co. LLC | | | | | | | | | |
7.50% | | | 01/15/30 | 4 | | | 28,618,920 | | | | 33,919,430 | |
| Protective Life Global Funding | | | | | | | | | |
2.70% | | | 11/25/20 | 4 | | | 32,195,000 | | | | 33,170,235 | |
| Raymond James Financial, Inc. | | | | | | | | | |
4.95% | | | 07/15/46 | | | | 7,090,000 | | | | 7,154,452 | |
8.60% | | | 08/15/19 | | | | 8,453,000 | | | | 9,888,302 | |
| SL Green Realty Corp. | | | | | | | | | |
5.00% | | | 08/15/18 | | | | 32,299,000 | | | | 33,743,540 | |
| Visa, Inc. | | | | | | | | | |
3.15% | | | 12/14/25 | | | | 61,575,000 | | | | 65,146,196 | |
| | | | | | | | | | | | |
| | |
| | | | | | | | 3,010,986,878 | |
| | | | | | | | | | | | |
Food — 0.23% | | | | | | | | | |
| Kraft Heinz Foods Co. | | | | | | | | | |
3.00% | | | 06/01/26 | | | | 21,795,000 | | | | 22,013,713 | |
4.38% | | | 06/01/46 | | | | 111,228,000 | | | | 118,203,497 | |
5.20% | | | 07/15/45 | | | | 26,987,000 | | | | 31,916,621 | |
| TreeHouse Foods, Inc. | | | | | | | | | |
6.00% | | | 02/15/24 | 4 | | | 12,544,000 | | | | 13,563,200 | |
| | | | | | | | | | | | |
| | |
| | | | | | | | 185,697,031 | |
| | | | | | | | | | | | |
Health Care — 3.25% | | | | | | | | | |
| AbbVie, Inc. | | | | | | | | | |
1.75% | | | 05/06/16 | | | | 35,336,000 | | | | 35,452,256 | |
1.80% | | | 05/14/18 | | | | 114,283,000 | | | | 114,795,216 | |
2.30% | | | 05/14/21 | | | | 4,580,000 | | | | 4,624,719 | |
2.90% | | | 11/06/22 | | | | 14,000,000 | | | | 14,375,480 | |
3.20% | | | 05/14/26 | | | | 27,640,000 | | | | 28,196,577 | |
3.60% | | | 05/14/25 | | | | 5,650,000 | | | | 5,916,397 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2016 / 62 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Health Care (continued) | | | | | | | | | |
4.45% | | | 05/14/46 | | | $ | 59,748,000 | | | $ | 62,717,410 | |
4.50% | | | 05/14/35 | | | | 51,764,000 | | | | 55,338,770 | |
4.70% | | | 05/14/45 | | | | 31,397,000 | | | | 34,193,539 | |
| Actavis Funding SCS (Luxembourg) | | | | | | | | | |
3.45% | | | 03/15/22 | 2 | | | 14,725,000 | | | | 15,477,521 | |
3.80% | | | 03/15/25 | 2 | | | 187,760,000 | | | | 199,067,095 | |
4.55% | | | 03/15/35 | 2 | | | 61,749,000 | | | | 65,793,127 | |
4.75% | | | 03/15/45 | 2 | | | 68,556,000 | | | | 75,260,777 | |
| Actavis, Inc. | | | | | | | | | |
1.88% | | | 10/01/17 | | | | 5,654,000 | | | | 5,674,206 | |
| Aetna, Inc. | | | | | | | | | |
1.70% | | | 06/07/18 | | | | 50,400,000 | | | | 50,578,035 | |
1.90% | | | 06/07/19 | | | | 55,000,000 | | | | 55,494,477 | |
2.80% | | | 06/15/23 | | | | 52,720,000 | | | | 54,056,689 | |
3.20% | | | 06/15/26 | | | | 55,700,000 | | | | 56,745,124 | |
4.25% | | | 06/15/36 | | | | 36,295,000 | | | | 37,716,385 | |
4.38% | | | 06/15/46 | | | | 36,195,000 | | | | 37,712,953 | |
| Amgen, Inc. | | | | | | | | | |
3.63% | | | 05/15/22 | | | | 5,312,000 | | | | 5,709,537 | |
4.40% | | | 05/01/45 | | | | 22,573,000 | | | | 23,808,398 | |
4.56% | | | 06/15/48 | 4 | | | 11,532,000 | | | | 12,251,425 | |
4.66% | | | 06/15/51 | 4 | | | 25,279,000 | | | | 27,118,789 | |
| Anthem, Inc. | | | | | | | | | |
1.88% | | | 01/15/18 | | | | 29,325,000 | | | | 29,482,466 | |
| Ascension Health | | | | | | | | | |
3.95% | | | 11/15/46 | | | | 25,690,000 | | | | 28,205,475 | |
| AstraZeneca PLC (United Kingdom) | | | | | | | | | |
3.38% | | | 11/16/25 | 2 | | | 49,573,000 | | | | 52,998,172 | |
| Baxalta, Inc. | | | | | | | | | |
2.88% | | | 06/23/20 | | | | 28,810,000 | | | | 29,569,893 | |
4.00% | | | 06/23/25 | | | | 3,047,000 | | | | 3,256,998 | |
| Baylor Scott & White Holdings | | | | | | | | | |
4.19% | | | 11/15/45 | | | | 27,090,000 | | | | 30,936,764 | |
| Biogen, Inc. | | | | | | | | | |
5.20% | | | 09/15/45 | | | | 12,440,000 | | | | 14,672,650 | |
| Catholic Health Initiatives | | | | | | | | | |
2.95% | | | 11/01/22 | | | | 24,505,000 | | | | 24,832,460 | |
| Celgene Corp. | | | | | | | | | |
2.88% | | | 08/15/20 | | | | 10,750,000 | | | | 11,130,851 | |
4.63% | | | 05/15/44 | | | | 12,750,000 | | | | 13,492,394 | |
5.00% | | | 08/15/45 | | | | 159,876,000 | | | | 179,377,834 | |
| Centene Corp. | | | | | | | | | |
4.75% | | | 05/15/22 | | | | 6,051,000 | | | | 6,255,221 | |
5.63% | | | 02/15/21 | | | | 1,413,000 | | | | 1,501,313 | |
| DaVita HealthCare Partners, Inc. | | | | | | | | | |
5.00% | | | 05/01/25 | | | | 32,449,000 | | | | 32,734,551 | |
5.13% | | | 07/15/24 | | | | 10,642,000 | | | | 10,894,747 | |
5.75% | | | 08/15/22 | | | | 14,675,000 | | | | 15,427,094 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Health Care (continued) | | | | | | | | | |
| Express Scripts Holding Co. | | | | | | | | | |
3.40% | | | 03/01/27 | | | $ | 43,512,000 | | | $ | 43,852,568 | |
4.80% | | | 07/15/46 | | | | 18,265,000 | | | | 19,065,107 | |
| Forest Laboratories LLC | | | | | | | | | |
5.00% | | | 12/15/21 | 4 | | | 11,870,000 | | | | 13,346,331 | |
| Fresenius Medical Care U.S. Finance II, Inc. | | | | | | | | | |
4.13% | | | 10/15/20 | 4 | | | 11,188,000 | | | | 11,761,385 | |
4.75% | | | 10/15/24 | 4 | | | 7,690,000 | | | | 8,112,950 | |
5.75% | | | 02/15/21 | 4 | | | 3,107,000 | | | | 3,495,375 | |
| Gilead Sciences, Inc. | | | | | | | | | |
2.95% | | | 03/01/27 | | | | 47,675,000 | | | | 48,239,663 | |
3.25% | | | 09/01/22 | | | | 19,133,000 | | | | 20,410,028 | |
4.00% | | | 09/01/36 | | | | 25,000,000 | | | | 25,544,525 | |
4.15% | | | 03/01/47 | | | | 57,580,000 | | | | 59,004,011 | |
4.50% | | | 02/01/45 | | | | 4,620,000 | | | | 4,918,688 | |
4.75% | | | 03/01/46 | | | | 3,489,000 | | | | 3,908,741 | |
| Grifols Worldwide Operations, Ltd. (Ireland) | | | | | | | | | |
5.25% | | | 04/01/22 | 2 | | | 12,714,000 | | | | 13,222,560 | |
| HCA, Inc. | | | | | | | | | |
4.25% | | | 10/15/19 | | | | 9,790,000 | | | | 10,230,550 | |
4.75% | | | 05/01/23 | | | | 10,175,000 | | | | 10,655,133 | |
5.00% | | | 03/15/24 | | | | 27,739,000 | | | | 29,333,993 | |
5.25% | | | 04/15/25 | | | | 20,770,000 | | | | 22,197,937 | |
5.88% | | | 03/15/22 | | | | 6,237,000 | | | | 6,891,885 | |
6.50% | | | 02/15/20 | | | | 16,528,000 | | | | 18,399,796 | |
| Johnson & Johnson | | | | | | | | | |
2.45% | | | 03/01/26 | | | | 14,324,000 | | | | 14,750,984 | |
3.55% | | | 03/01/36 | | | | 37,415,000 | | | | 41,420,135 | |
| Medtronic, Inc. | | | | | | | | | |
4.63% | | | 03/15/45 | | | | 1,826,000 | | | | 2,149,572 | |
| Memorial Sloan-Kettering, Series 2015 | | | | | | | | | |
4.20% | | | 07/01/55 | | | | 1,233,000 | | | | 1,376,770 | |
| Merck & Co., Inc. | | | | | | | | | |
3.70% | | | 02/10/45 | | | | 215,000 | | | | 228,441 | |
| Mylan NV (Netherlands) | | | | | | | | | |
2.50% | | | 06/07/19 | 2,4 | | | 52,335,000 | | | | 52,861,935 | |
| New York and Presbyterian Hospital (The) | | | | | | | | | |
4.02% | | | 08/01/45 | | | | 26,320,000 | | | | 28,677,548 | |
| Northwell Healthcare, Inc. | | | | | | | | | |
3.98% | | | 11/01/46 | | | | 34,525,000 | | | | 35,005,761 | |
4.80% | | | 11/01/42 | | | | 40,000 | | | | 44,138 | |
6.15% | | | 11/01/43 | | | | 27,980,000 | | | | 38,150,940 | |
NYU Hospitals Center,
Series 13, Class A | | | | | | | | | |
5.75% | | | 07/01/43 | | | | 6,040,000 | | | | 7,894,685 | |
| Quintiles Transnational Corp. | | | | | | | | | |
4.88% | | | 05/15/23 | 4 | | | 7,804,000 | | | | 8,072,263 | |
| RegionalCare Hospital Partners Holdings, Inc. | | | | | | | | | |
8.25% | | | 05/01/23 | 4 | | | 940,000 | | | | 975,250 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 63 / Semi-Annual Report September 2016 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Health Care (continued) | | | | | |
| Shire Acquisitions Investments Ireland DAC (Ireland) | | | | | | | | | |
1.90% | | | 09/23/19 | 2 | | $ | 139,135,000 | | | $ | 139,163,384 | |
| Stryker Corp. | | | | | | | | | |
4.63% | | | 03/15/46 | | | | 25,000,000 | | | | 28,103,550 | |
| Tenet Healthcare Corp. | | | | | | | | | |
4.35% | | | 06/15/20 | 3 | | | 31,707,000 | | | | 32,027,241 | |
4.38% | | | 10/01/21 | | | | 2,000,000 | | | | 1,992,500 | |
4.50% | | | 04/01/21 | | | | 4,240,000 | | | | 4,266,500 | |
6.00% | | | 10/01/20 | | | | 18,745,000 | | | | 19,869,700 | |
| Teva Pharmaceutical Finance Netherlands III BV (Netherlands) | | | | | |
2.80% | | | 07/21/23 | 2 | | | 48,390,000 | | | | 48,591,302 | |
3.15% | | | 10/01/26 | 2 | | | 50,000,000 | | | | 50,330,925 | |
| Trinity Health Corp. | | | | | | | | | |
4.13% | | | 12/01/45 | | | | 17,833,000 | | | | 19,649,214 | |
| UnitedHealth Group, Inc. | | | | | | | | | |
3.75% | | | 07/15/25 | | | | 14,835,000 | | | | 16,335,338 | |
4.63% | | | 07/15/35 | | | | 15,765,000 | | | | 18,369,465 | |
| Valeant Pharmaceuticals International | | | | | |
6.75% | | | 08/15/21 | 4 | | | 9,000,000 | | | | 8,505,000 | |
7.25% | | | 07/15/22 | 4 | | | 2,550,000 | | | | 2,377,875 | |
| Valeant Pharmaceuticals International, Inc. (Canada) | | | | | |
5.50% | | | 03/01/23 | 2,4 | | | 4,912,000 | | | | 4,224,320 | |
5.63% | | | 12/01/21 | 2,4 | | | 14,083,000 | | | | 12,586,681 | |
5.88% | | | 05/15/23 | 2,4 | | | 49,518,000 | | | | 43,018,763 | |
6.13% | | | 04/15/25 | 2,4 | | | 33,526,000 | | | | 29,083,805 | |
| WellCare Health Plans, Inc. | | | | | | | | | |
5.75% | | | 11/15/20 | | | | 2,117,000 | | | | 2,187,126 | |
| | | | | | | | | | | | |
| | |
| | | | | | | | 2,647,726,122 | |
| | | | | | | | | | | | |
Industrials — 0.37% | | | | | | | | | |
| Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (Ireland) | | | | | |
3.85% | | | 12/15/19 | 2,3,4 | | | 27,055,000 | | | | 27,495,997 | |
4.07% | | | 05/15/21 | 2,3,4 | | | 7,451,000 | | | | 7,581,393 | |
| Ball Corp. | | | | | | | | | |
4.00% | | | 11/15/23 | | | | 405,000 | | | | 411,075 | |
| Clean Harbors, Inc. | | | | | | | | | |
5.13% | | | 06/01/21 | | | | 3,178,000 | | | | 3,273,340 | |
| General Electric Co. | | | | | | | | | |
4.50% | | | 03/11/44 | | | | 15,283,000 | | | | 17,653,989 | |
| Graphic Packaging International, Inc. | | | | | | | | | |
4.13% | | | 08/15/24 | | | | 3,246,000 | | | | 3,278,460 | |
| Metropolitan Life Global Funding I | | | | | | | | | |
1.35% | | | 09/14/18 | 4 | | | 14,400,000 | | | | 14,391,327 | |
| SBA Communications Corp. | | | | | | | | | |
4.88% | | | 09/01/24 | 4 | | | 58,041,000 | | | | 58,766,513 | |
| Siemens Financieringsmaatschappij NV (Netherlands) | | | | | |
2.00% | | | 09/15/23 | 2,4 | | | 8,250,000 | | | | 8,162,946 | |
2.35% | | | 10/15/26 | 2,4 | | | 158,010,000 | | | | 156,588,937 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Industrials (continued) | | | | | | | | | |
| Standard Industries, Inc. | | | | | | | | | |
5.13% | | | 02/15/21 | 4 | | $ | 1,000,000 | | | $ | 1,056,875 | |
| TransDigm, Inc. | | | | | | | | | |
6.38% | | | 06/15/26 | 4 | | | 3,720,000 | | | | 3,859,500 | |
| | | | | | | | | | | | |
| | |
| | | | | | | | 302,520,352 | |
| | | | | | | | | | | | |
Information Technology — 0.71% | | | | | |
| Apple, Inc. | | | | | | | | | |
3.25% | | | 02/23/26 | | | | 7,679,000 | | | | 8,228,041 | |
3.85% | | | 08/04/46 | | | | 17,355,000 | | | | 17,644,698 | |
4.38% | | | 05/13/45 | | | | 17,230,000 | | | | 19,024,367 | |
4.65% | | | 02/23/46 | | | | 52,190,000 | | | | 59,936,275 | |
| First Data Corp. | | | | | | | | | |
5.00% | | | 01/15/24 | 4 | | | 78,747,000 | | | | 80,223,506 | |
5.38% | | | 08/15/23 | 4 | | | 32,682,000 | | | | 33,827,504 | |
| IMS Health, Inc. | | | | | | | | | |
5.00% | | | 10/15/26 | 4 | | | 3,869,000 | | | | 4,043,105 | |
| Microsoft Corp. | | | | | | | | | |
2.40% | | | 08/08/26 | | | | 28,315,000 | | | | 28,391,224 | |
3.75% | | | 02/12/45 | | | | 86,215,000 | | | | 87,729,884 | |
4.45% | | | 11/03/45 | | | | 57,631,000 | | | | 65,497,516 | |
| MSCI, Inc. | | | | | | | | | |
4.75% | | | 08/01/26 | 4 | | | 19,360,000 | | | | 19,795,600 | |
| NXP BV/NXP Funding LLC (Netherlands) | | | | | | | | | |
3.88% | | | 09/01/22 | 2,4 | | | 8,800,000 | | | | 9,274,038 | |
4.13% | | | 06/01/21 | 2,4 | | | 14,690,000 | | | | 15,773,387 | |
| Oracle Corp. | | | | | | | | | |
2.40% | | | 09/15/23 | | | | 55,470,000 | | | | 55,823,948 | |
4.00% | | | 07/15/46 | | | | 60,215,000 | | | | 62,170,241 | |
4.13% | | | 05/15/45 | | | | 4,800,000 | | | | 5,040,178 | |
| SS&C Technologies Holdings, Inc. | | | | | | | | | |
5.88% | | | 07/15/23 | | | | 4,351,000 | | | | 4,601,183 | |
| | | | | | | | | | | | |
| | |
| | | | | | | | 577,024,695 | |
| | | | | | | | | | | | |
Insurance — 1.32% | | | | | | | | | |
| Berkshire Hathaway Finance Corp. | | | | | | | | | |
4.30% | | | 05/15/43 | | | | 7,200,000 | | | | 8,107,539 | |
4.40% | | | 05/15/42 | | | | 57,751,000 | | | | 65,913,238 | |
| Berkshire Hathaway, Inc. | | | | | | | | | |
2.75% | | | 03/15/23 | | | | 65,000,000 | | | | 67,605,395 | |
3.13% | | | 03/15/26 | | | | 62,239,000 | | | | 65,538,476 | |
4.50% | | | 02/11/43 | | | | 39,529,000 | | | | 46,224,086 | |
| Farmers Exchange Capital | | | | | | | | | |
7.05% | | | 07/15/28 | 4 | | | 10,634,000 | | | | 12,840,374 | |
7.20% | | | 07/15/48 | 4 | | | 18,265,000 | | | | 21,610,956 | |
| Farmers Exchange Capital II | | | | | | | | | |
6.15% | | | 11/01/53 | 3,4 | | | 69,710,000 | | | | 74,813,469 | |
| Farmers Exchange Capital III | | | | | | | | | |
5.45% | | | 10/15/54 | 3,4 | | | 69,560,000 | | | | 69,386,100 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2016 / 64 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Insurance (continued) | | | | | | | | | |
| Guardian Life Global Funding | | | | | | | | | |
2.00% | | | 04/26/21 | 4 | | $ | 6,850,000 | | | $ | 6,915,777 | |
| Jackson National Life Global Funding | | | | | | | | | |
1.88% | | | 10/15/18 | 4 | | | 55,605,000 | | | | 56,188,936 | |
3.05% | | | 04/29/26 | 4 | | | 65,627,000 | | | | 66,627,615 | |
| MassMutual Global Funding II | | | | | | | | | |
2.00% | | | 04/15/21 | 4 | | | 8,250,000 | | | | 8,297,986 | |
| Metropolitan Life Global Funding I | | | | | | | | | |
1.50% | | | 01/10/18 | 4 | | | 14,800,000 | | | | 14,840,937 | |
1.55% | | | 09/13/19 | 4 | | | 17,000,000 | | | | 16,962,813 | |
1.88% | | | 06/22/18 | 4 | | | 23,650,000 | | | | 23,861,750 | |
1.95% | | | 09/15/21 | 4 | | | 105,555,000 | | | | 105,556,267 | |
2.50% | | | 12/03/20 | 4 | | | 57,015,000 | | | | 58,600,872 | |
3.88% | | | 04/11/22 | 4 | | | 23,935,000 | | | | 26,013,803 | |
| Nationwide Mutual Insurance Co. | | | | | | | | | |
3.14% | | | 12/15/24 | 3,4 | | | 18,949,000 | | | | 18,570,020 | |
| New York Life Global Funding | | | | | | | | | |
1.55% | | | 11/02/18 | 4 | | | 32,050,000 | | | | 32,203,103 | |
2.00% | | | 04/13/21 | 4 | | | 24,750,000 | | | | 24,977,092 | |
2.35% | | | 07/14/26 | 4 | | | 14,175,000 | | | | 14,053,428 | |
| Pricoa Global Funding I | | | | | | | | | |
1.60% | | | 05/29/18 | 4 | | | 24,825,000 | | | | 24,942,733 | |
2.20% | | | 06/03/21 | 4 | | | 32,450,000 | | | | 32,911,504 | |
2.55% | | | 11/24/20 | 4 | | | 17,155,000 | | | | 17,686,470 | |
| Principal Life Global Funding II | | | | | | | | | |
3.00% | | | 04/18/26 | 4 | | | 61,245,000 | | | | 62,358,863 | |
| Teachers Insurance & Annuity Association of America | | | | | | | | | |
4.90% | | | 09/15/44 | 4 | | | 7,628,000 | | | | 8,599,815 | |
| Teachers Insurance & Annuity Association of America | | | | | | | | | |
4.38% | | | 09/15/54 | 3,4 | | | 19,650,000 | | | | 20,017,504 | |
| | | | | | | | | | | | |
| | |
| | | | | | | | 1,072,226,921 | |
| | | | | | | | | | | | |
Materials — 0.01% | | | | | | | | | |
| Valvoline, Inc. | | | | | | | | | |
5.50% | | | 07/15/24 | 4 | | | 9,270,000 | | | | 9,710,325 | |
| | | | | | | | | | | | |
|
Real Estate Investment Trust (REIT) — 1.51% | |
| Alexandria Real Estate Equities, Inc. | | | | | | | | | |
2.75% | | | 01/15/20 | | | | 5,205,000 | | | | 5,287,754 | |
3.90% | | | 06/15/23 | | | | 57,677,000 | | | | 60,362,729 | |
3.95% | | | 01/15/27 | | | | 17,500,000 | | | | 18,325,405 | |
4.30% | | | 01/15/26 | | | | 6,775,000 | | | | 7,319,906 | |
4.60% | | | 04/01/22 | | | | 43,748,000 | | | | 47,777,051 | |
| AvalonBay Communities, Inc. (GMTN) | | | | | | | | | |
3.95% | | | 01/15/21 | | | | 7,245,000 | | | | 7,833,787 | |
| Boston Properties LP | | | | | | | | | |
3.13% | | | 09/01/23 | | | | 5,000,000 | | | | 5,146,560 | |
3.65% | | | 02/01/26 | | | | 5,000,000 | | | | 5,299,430 | |
3.70% | | | 11/15/18 | | | | 26,115,000 | | | | 27,252,413 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Real Estate Investment Trust (REIT) (continued) | |
5.63% | | | 11/15/20 | | | $ | 8,659,000 | | | $ | 9,851,444 | |
| Camden Property Trust | | | | | | | | | |
4.63% | | | 06/15/21 | | | | 600,000 | | | | 658,582 | |
| Duke Realty LP | | | | | | | | | |
6.50% | | | 01/15/18 | | | | 15,590,000 | | | | 16,586,170 | |
| Education Realty Operating Partnership LP | | | | | | | | | |
4.60% | | | 12/01/24 | | | | 6,615,000 | | | | 6,897,236 | |
5.75% | | | 06/15/17 | | | | 45,000 | | | | 46,366 | |
| Essex Portfolio LP | | | | | | | | | |
5.50% | | | 03/15/17 | | | | 100,000 | | | | 101,740 | |
| First Industrial LP (MTN) | | | | | | | | | |
7.50% | | | 12/01/17 | | | | 80,000 | | | | 84,891 | |
| HCP, Inc. | | | | | | | | | |
3.15% | | | 08/01/22 | | | | 12,660,000 | | | | 12,862,370 | |
3.40% | | | 02/01/25 | | | | 26,725,000 | | | | 26,443,158 | |
3.75% | | | 02/01/19 | | | | 7,907,000 | | | | 8,230,290 | |
3.88% | | | 08/15/24 | | | | 24,650,000 | | | | 25,277,158 | |
4.00% | | | 12/01/22 | | | | 54,420,000 | | | | 57,572,643 | |
4.20% | | | 03/01/24 | | | | 24,904,000 | | | | 26,172,990 | |
4.25% | | | 11/15/23 | | | | 85,445,000 | | | | 89,602,284 | |
5.63% | | | 05/01/17 | | | | 11,950,000 | | | | 12,232,159 | |
| Healthcare Realty Trust, Inc. | | | | | | | | | |
5.75% | | | 01/15/21 | | | | 30,455,000 | | | | 34,631,720 | |
| Highwoods Realty LP | | | | | | | | | |
5.85% | | | 03/15/17 | | | | 23,850,000 | | | | 24,281,303 | |
7.50% | | | 04/15/18 | | | | 15,585,000 | | | | 16,832,112 | |
| Hospitality Properties Trust | | | | | | | | | |
6.70% | | | 01/15/18 | | | | 5,926,000 | | | | 6,157,102 | |
| Kimco Realty Corp. | | | | | | | | | |
6.88% | | | 10/01/19 | | | | 9,175,000 | | | | 10,515,000 | |
| Post Apartment Homes LP | | | | | | | | | |
4.75% | | | 10/15/17 | | | | 21,885,000 | | | | 22,585,298 | |
| Realty Income Corp. | | | | | | | | | |
6.75% | | | 08/15/19 | | | | 15,645,000 | | | | 17,785,361 | |
| SL Green Realty Corp. | | | | | | | | | |
4.50% | | | 12/01/22 | | | | 8,570,000 | | | | 8,934,731 | |
7.75% | | | 03/15/20 | | | | 26,913,000 | | | | 31,181,254 | |
| Ventas Realty LP | | | | | | | | | |
3.13% | | | 06/15/23 | | | | 1,235,000 | | | | 1,261,866 | |
3.25% | | | 10/15/26 | | | | 6,500,000 | | | | 6,576,875 | |
3.50% | | | 02/01/25 | | | | 27,105,000 | | | | 28,013,316 | |
3.75% | | | 05/01/24 | | | | 10,000,000 | | | | 10,538,150 | |
4.13% | | | 01/15/26 | | | | 25,010,000 | | | | 26,949,751 | |
4.38% | | | 02/01/45 | | | | 7,600,000 | | �� | | 7,715,672 | |
| Ventas Realty LP/Ventas Capital Corp. | | | | | | | | | |
2.00% | | | 02/15/18 | | | | 3,660,000 | | | | 3,683,146 | |
2.70% | | | 04/01/20 | | | | 31,673,000 | | | | 32,482,277 | |
3.25% | | | 08/15/22 | | | | 3,000,000 | | | | 3,132,055 | |
4.25% | | | 03/01/22 | | | | 10,000,000 | | | | 10,895,560 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 65 / Semi-Annual Report September 2016 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Real Estate Investment Trust (REIT) (continued) | |
| VEREIT Operating Partnership LP | | | | | | | | | |
3.00% | | | 02/06/19 | | | $ | 19,140,000 | | | $ | 19,522,800 | |
4.13% | | | 06/01/21 | | | | 19,825,000 | | | | 20,568,437 | |
4.88% | | | 06/01/26 | | | | 18,429,000 | | | | 19,557,776 | |
| WEA Finance LLC/Westfield UK & Europe Finance PLC | | | | | |
1.75% | | | 09/15/17 | 4 | | | 45,955,000 | | | | 46,051,377 | |
2.70% | | | 09/17/19 | 4 | | | 109,946,000 | | | | 112,772,833 | |
3.25% | | | 10/05/20 | 4 | | | 68,280,000 | | | | 71,145,063 | |
| Welltower, Inc. | | | | | | | | | |
2.25% | | | 03/15/18 | | | | 11,443,000 | | | | 11,546,582 | |
3.75% | | | 03/15/23 | | | | 11,170,000 | | | | 11,746,350 | |
4.00% | | | 06/01/25 | | | | 16,479,000 | | | | 17,505,180 | |
4.13% | | | 04/01/19 | | | | 17,505,000 | | | | 18,425,588 | |
4.25% | | | 04/01/26 | | | | 14,915,000 | | | | 16,160,589 | |
4.70% | | | 09/15/17 | | | | 28,088,000 | | | | 28,932,578 | |
4.95% | | | 01/15/21 | | | | 3,732,000 | | | | 4,108,650 | |
5.25% | | | 01/15/22 | | | | 28,770,000 | | | | 32,628,158 | |
6.50% | | | 03/15/41 | | | | 13,430,000 | | | | 17,313,184 | |
| | | | | | | | | | | | |
| | |
| | | | | | | | 1,229,362,210 | |
| | | | | | | | | | | | |
Retail — 0.43% | | | | | | | | | |
| CVS Health Corp. | | | | | | | | | |
1.20% | | | 12/05/16 | | | | 450,000 | | | | 450,186 | |
2.88% | | | 06/01/26 | | | | 2,605,000 | | | | 2,649,027 | |
4.88% | | | 07/20/35 | | | | 78,060,000 | | | | 91,665,234 | |
5.13% | | | 07/20/45 | | | | 49,205,000 | | | | 59,952,208 | |
| Walgreens Boots Alliance, Inc. | | | | | | | | | |
1.75% | | | 05/30/18 | | | | 13,925,000 | | | | 14,002,431 | |
3.10% | | | 06/01/23 | | | | 40,495,000 | | | | 41,829,715 | |
3.45% | | | 06/01/26 | | | | 61,590,000 | | | | 64,066,041 | |
4.80% | | | 11/18/44 | | | | 20,035,000 | | | | 22,214,758 | |
| Wal-Mart Stores, Inc. | | | | | | | | | |
4.00% | | | 04/11/43 | | | | 4,600,000 | | | | 5,143,016 | |
4.30% | | | 04/22/44 | | | | 9,683,000 | | | | 11,403,417 | |
4.75% | | | 10/02/43 | | | | 32,175,000 | | | | 39,897,804 | |
| | | | | | | | | | | | |
| | |
| | | | | | | | 353,273,837 | |
| | | | | | | | | | | | |
Services — 0.10% | | | | | | | | | |
| Aramark Services, Inc. | | | | | | | | | |
4.75% | | | 06/01/26 | 4 | | | 1,000,000 | | | | 1,007,500 | |
5.13% | | | 01/15/24 | 4 | | | 7,084,000 | | | | 7,385,070 | |
| University of Southern California | | | | | | | | | |
3.03% | | | 10/01/39 | | | | 70,000,000 | | | | 69,476,365 | |
| | | | | | | | | | | | |
| | |
| | | | | | | | 77,868,935 | |
| | | | | | | | | | | | |
Transportation — 0.54% | | | | | | | | | |
| America West Airlines Pass-Through Trust, Series 2001-1, Class G | | | | | |
7.10% | | | 04/02/21 | | | | 7,953,693 | | | | 8,739,518 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Transportation (continued) | | | | | |
| America West Airlines Pass-Through Trust, Series 1999-1, Class G | | | | | |
7.93% | | | 01/02/19 | | | $ | 4,348,226 | | | $ | 4,625,426 | |
American Airlines Pass-Through Trust, Series 2011-1, Class A | | | | | | | | | |
5.25% | | | 01/31/21 | | | | 2,920,340 | | | | 3,181,710 | |
American Airlines Pass-Through Trust, Series 2013-1, Class A | | | | | | | | | |
4.00% | | | 07/15/25 | | | | 20,241,630 | | | | 21,582,637 | |
American Airlines Pass-Through Trust, Series 2013-2, Class A | | | | | | | | | |
4.95% | | | 01/15/23 | | | | 112,361,022 | | | | 122,613,965 | |
| Continental Airlines Pass-Through Trust, Series 1997, Class 4A | | | | | | | | | |
6.90% | | | 01/02/18 | | | | 530,024 | | | | 538,968 | |
Continental Airlines Pass-Through Trust, Series 1999-1, Class A | | | | | | | | | |
6.55% | | | 08/02/20 | | | | 2,698,541 | | | | 2,865,446 | |
| Continental Airlines Pass-Through Trust, Series 1999-2 AMBC, Class C2 | | | | | | | | | |
6.24% | | | 03/15/20 | | | | 63,280 | | | | 66,722 | |
| Continental Airlines Pass-Through Trust, Series 1999-2, Class A1 | | | | | | | | | |
7.26% | | | 03/15/20 | | | | 5,297,523 | | | | 5,718,146 | |
Continental Airlines Pass-Through Trust, Series 2000-1, Class A-1 | | | | | | | | | |
8.05% | | | 11/01/20 | | | | 12,471 | | | | 13,999 | |
Continental Airlines Pass-Through Trust, Series 2000-2, Class A1 | | | | | | | | | |
7.71% | | | 10/02/22 | | | | 4,491,611 | | | | 4,894,453 | |
| Continental Airlines Pass-Through Trust, Series 2007, Class 1A | | | | | | | | | |
5.98% | | | 04/19/22 | | | | 34,490,590 | | | | 38,931,253 | |
| Continental Airlines Pass-Through Trust, Series 2007, Class 1B | | | | | | | | | |
6.90% | | | 04/19/22 | | | | 1,500,746 | | | | 1,592,667 | |
| Continental Airlines Pass-Through Trust, Series 2009, Class A2 | | | | | | | | | |
7.25% | | | 11/10/19 | | | | 32,766,693 | | | | 37,415,468 | |
| Delta Air Lines Pass-Through Trust, Series 2002-1, Class G1 | | | | | | | | | |
6.72% | | | 01/02/23 | | | | 41,698,902 | | | | 48,162,232 | |
JetBlue Airways Pass-Through Trust, Series 2004-2, Class G2 | | | | | | | | | |
1.27% | | | 11/15/16 | 3 | | | 13,605,000 | | | | 13,556,022 | |
| Northwest Airlines Pass-Through Trust, Series 2001-1, Class A1 | | | | | | | | | |
7.04% | | | 04/01/22 | | | | 3,588,089 | | | | 4,128,635 | |
| Spirit Airlines Pass-Through Trust, Series 2015-1, Class A | | | | | | | | | |
4.10% | | | 04/01/28 | | | | 20,624,000 | | | | 21,217,971 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2016 / 66 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Transportation (continued) | | | | | |
| U.S. Airways Pass-Through Trust, Series 2011-1, Class A | | | | | | | | | |
6.25% | | | 04/22/23 | | | $ | 22,120,909 | | | $ | 25,217,837 | |
7.13% | | | 10/22/23 | | | | 4,240,772 | | | | 5,049,169 | |
| U.S. Airways Pass-Through Trust, Series 2011-1, Class G | | | | | | | | | |
7.08% | | | 03/20/21 | | | | 1,397,232 | | | | 1,515,124 | |
| U.S. Airways Pass-Through Trust, Series 2012, Class A | | | | | | | | | |
4.63% | | | 06/03/25 | | | | 11,944 | | | | 13,064 | |
| U.S. Airways Pass-Through Trust, Series 2012-1, Class A | | | | | | | | | |
5.90% | | | 10/01/24 | | | | 49,882,951 | | | | 57,552,455 | |
| UAL Pass-Through Trust, Series 2009-1, Class 1 | | | | | | | | | |
10.40% | | | 11/01/16 | | | | 32,789 | | | | 33,035 | |
| UAL Pass-Through Trust, Series 2009-2A, Class 2 | | | | | | | | | |
9.75% | | | 01/15/17 | | | | 6,728,031 | | | | 6,904,306 | |
| | | | | | | | | | | | |
| | |
| | | | | | | | 436,130,228 | |
| | | | | | | | | | | | |
| | |
Total Corporates
(Cost $16,918,841,483) | | | | | | | | 17,505,500,783 | |
| | | | | | | | | | | | |
MORTGAGE-BACKED — 39.14%** | | | | | |
Commercial Mortgage-Backed — 2.53% | | | | | |
| 1211 Avenue of the Americas Trust, Series 2015-1211, Class A1A2 | | | | | | | | | |
3.90% | | | 08/10/35 | 4 | | | 36,885,000 | | | | 40,950,981 | |
| 225 Liberty Street Trust, Series 2016-225L, Class A | | | | | | | | | |
3.60% | | | 02/10/36 | 4 | | | 63,710,000 | | | | 68,967,935 | |
| Banc of America Merrill Lynch Commercial Mortgage Trust, Series 2012-PARK, Class A | | | | | | | | | |
2.96% | | | 12/10/30 | 4 | | | 10,335,000 | | | | 10,806,875 | |
| Banc of America Merrill Lynch Commercial Mortgage Trust, Series 2014-520M, Class A | | | | | | | | | |
4.33% | | | 08/15/46 | 3,4 | | | 8,188,103 | | | | 9,471,873 | |
Banc of America Re-REMIC Trust, Series 2009-UB2, Class A4AA | | | | | | | | | |
5.82% | | | 02/24/51 | 3,4 | | | 17,029,409 | | | | 17,157,481 | |
Banc of America Re-REMIC Trust, Series 2009-UB2, Class A4AB | | | | | | | | | |
5.88% | | | 12/24/49 | 3,4 | | | 13,597,718 | | | | 13,758,394 | |
Banc of America Re-REMIC Trust, Series 2010-UB5, Class A4B | | | | | | | | | |
5.68% | | | 02/17/51 | 3,4 | | | 25,000,000 | | | | 25,579,146 | |
| Bayview Commercial Asset Trust, Series 2004-1, Class A | | | | | | | | | |
0.89% | | | 04/25/34 | 3,4 | | | 50,716 | | | | 46,918 | |
| Bayview Commercial Asset Trust, Series 2004-2, Class A | | | | | | | | | |
0.96% | | | 08/25/34 | 3,4 | | | 480,551 | | | | 438,340 | |
| BBCMS Trust, Series 2015-SRCH, Class A2 | | | | | | | | | |
4.20% | | | 08/10/35 | 4 | | | 48,985,000 | | | | 55,631,637 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Commercial Mortgage-Backed
(continued) | | | | | |
Capmark Mortgage Securities, Inc., Series 1998-C2, Class X (IO) | | | | | | | | | |
1.24% | | | 05/15/35 | 3,5 | | $ | 6,621,403 | | | $ | 91,930 | |
| CFCRE Commercial Mortgage Trust, Series 2011-C2, Class A2 | | | | | | | | | |
3.06% | | | 12/15/47 | | | | 2,416,250 | | | | 2,419,726 | |
| CGRBS Commercial Mortgage Trust, Series 2013-VN05, Class A | | | | | | | | | |
3.37% | | | 03/13/35 | 4 | | | 13,300,000 | | | | 14,176,669 | |
| Citigroup Commercial Mortgage Trust, Series 2013-375P, Class A | | | | | | | | | |
3.25% | | | 05/10/35 | 4 | | | 5,000 | | | | 5,296 | |
| Commercial Mortgage Pass-Through Certificates, Series 2012-CR3, Class A2 | | | | | | | | | |
1.77% | | | 10/15/45 | | | | 49,191,742 | | | | 49,316,419 | |
| Commercial Mortgage Trust, Series 2012-9W57, Class A | | | | | | | | | |
2.36% | | | 02/10/29 | 4 | | | 152,174,993 | | | | 152,470,471 | |
| Commercial Mortgage Trust, Series 2013-300P, Class A1 | | | | | | | | | |
4.35% | | | 08/10/30 | 4 | | | 14,635,000 | | | | 16,496,206 | |
| Commercial Mortgage Trust, Series 2013-CR12, Class A4 | | | | | | | | | |
4.05% | | | 10/10/46 | | | | 440,000 | | | | 491,189 | |
| Commercial Mortgage Trust, Series 2013-CR6, Class A2 | | | | | | | | | |
2.12% | | | 03/10/46 | | | | 24,355,000 | | | | 24,548,062 | |
| Commercial Mortgage Trust, Series 2013-LC6, Class A2 | | | | | | | | | |
1.91% | | | 01/10/46 | | | | 13,815,000 | | | | 13,893,620 | |
| Commercial Mortgage Trust, Series 2013-SFS, Class A2 | | | | | | | | | |
3.09% | | | 04/12/35 | 3,4 | | | 7,205,000 | | | | 7,501,162 | |
| Commercial Mortgage Trust, Series 2014-277P, Class A | | | | | | | | | |
3.73% | | | 08/10/49 | 3,4 | | | 15,960,000 | | | | 17,343,812 | |
| Commercial Mortgage Trust, Series 2015-3BP, Class A | | | | | | | | | |
3.18% | | | 02/10/35 | 4 | | | 16,440,000 | | | | 17,287,229 | |
| Commercial Mortgage Trust, Series 2016-787S, Class A | | | | | | | | | |
3.55% | | | 02/01/36 | 3,4 | | | 74,550,000 | | | | 80,409,973 | |
| Commercial Mortgage Trust, Series 2016-CR28, Class A4 | | | | | | | | | |
3.76% | | | 02/10/49 | | | | 6,685,000 | | | | 7,345,454 | |
Credit Suisse Mortgage Trust, Series 2007-C1, Class A1A | | | | | | | | | |
5.36% | | | 02/15/40 | | | | 26,076,247 | | | | 26,188,245 | |
Credit Suisse Mortgage Trust, Series 2007-C2, Class A1A | | | | | | | | | |
5.53% | | | 01/15/49 | 3 | | | 154,494,817 | | | | 155,950,128 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 67 / Semi-Annual Report September 2016 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Commercial Mortgage-Backed
(continued) | | | | | |
| Credit Suisse Mortgage Trust, Series 2007-C3, Class A1A1 | | | | | | | | | |
5.88% | | | 06/15/39 | 3 | | $ | 108,236 | | | $ | 109,613 | |
| Credit Suisse Mortgage Trust, Series 2007-C5, Class A1A | | | | | | | | | |
5.57% | | | 09/15/40 | 3 | | | 43,293,317 | | | | 44,133,383 | |
| DBUBS Mortgage Trust, Series 2011-LC1A, Class A2 | | | | | | | | | |
4.53% | | | 11/10/46 | 4 | | | 33,404,000 | | | | 34,630,374 | |
| GRACE Mortgage Trust, Series 2014-GRCE, Class A | | | | | | | | | |
3.37% | | | 06/10/28 | 4 | | | 70,000,000 | | | | 74,547,396 | |
| GS Mortgage Securities Trust, Series 2010-C2, Class A1 | | | | | | | | | |
3.85% | | | 12/10/43 | 4 | | | 6,071,204 | | | | 6,335,972 | |
| GS Mortgage Securities Trust, Series 2011-GC5, Class A4 | | | | | | | | | |
3.71% | | | 08/10/44 | 3 | | | 87,335,000 | | | | 94,745,890 | |
| GS Mortgage Securities Trust, Series 2012-ALOHA, Class A | | | | | | | | | |
3.55% | | | 04/10/34 | 4 | | | 19,805,000 | | | | 21,426,235 | |
| GS Mortgage Securities Trust, Series 2012-GCJ7, Class A2 | | | | | | | | | |
2.32% | | | 05/10/45 | | | | 11,113,800 | | | | 11,143,723 | |
| GS Mortgage Securities Trust, Series 2012-GCJ9, Class A2 | | | | | | | | | |
1.76% | | | 11/10/45 | | | | 15,000,000 | | | | 15,045,169 | |
| GS Mortgage Securities Trust, Series 2013-GC16, Class A2 | | | | | | | | | |
3.03% | | | 11/10/46 | | | | 23,000,000 | | | | 23,640,438 | |
| GS Mortgage Securities Trust, Series 2014-3R, Class 2A | | | | | | | | | |
0.71% | | | 09/26/36 | 3,4 | | | 18,128,073 | | | | 17,529,778 | |
| GS Mortgage Securities Trust, Series 2015-1R, Class 2A | | | | | | | | | |
3.00% | | | 01/25/36 | 3,4 | | | 18,844,059 | | | | 18,878,323 | |
| GS Mortgage Securities Trust., Series 2009-1R, Class 2A1 | | | | | | | | | |
3.07% | | | 11/25/35 | 3,4 | | | 21,339 | | | | 21,300 | |
| Irvine Core Office Trust, Series 2013-IRV, Class A1 | | | | | | | | | |
2.07% | | | 05/15/48 | 4 | | | 9,595,070 | | | | 9,692,700 | |
JPMBB Commercial Mortgage Securities Trust, Series 2013-C12, Class A2 | | | | | | | | | |
2.42% | | | 07/15/45 | | | | 20,000,000 | | | | 20,233,801 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2006-CB17, Class A4 | | | | | | | | | |
5.43% | | | 12/12/43 | | | | 59,618 | | | | 59,686 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2006-LDP9, Class A1A | | | | | | | | | |
5.26% | | | 05/15/47 | | | | 10,357,356 | | | | 10,381,696 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Commercial Mortgage-Backed
(continued) | | | | | |
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2006-LDP9, Class A3S | | | | | | | | | |
5.24% | | | 05/15/47 | 4 | | $ | 1,760,762 | | | $ | 1,759,195 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2011-C4, Class A4 | | | | | | | | | |
4.39% | | | 07/15/46 | 4 | | | 23,275,000 | | | | 25,408,978 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-HSBC, Class A | | | | | | | | | |
3.09% | | | 07/05/32 | 4 | | | 25,660,000 | | | | 27,076,047 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-LC9, Class A2 | | | | | | | | | |
1.68% | | | 12/15/47 | | | | 19,565,294 | | | | 19,614,928 | |
LB Commercial Mortgage Trust, Series 2007-C3, Class A1A | | | | | | | | | |
6.07% | | | 07/15/44 | 3 | | | 25,976,246 | | | | 26,586,250 | |
LB-UBS Commercial Mortgage Trust, Series 2007-C1, Class A1A | | | | | | | | | |
5.39% | | | 02/15/40 | | | | 42,511,195 | | | | 42,802,519 | |
LB-UBS Commercial Mortgage Trust, Series 2007-C6, Class A4 | | | | | | | | | |
5.86% | | | 07/15/40 | 3 | | | 39,742,157 | | | | 40,322,979 | |
Lehman Brothers Small Balance Commercial Mortgage Trust, Series 2007-1A, Class 2A3 | | | | | | | | | |
5.62% | | | 03/25/37 | 3,4 | | | 6,023,473 | | | | 6,009,335 | |
| Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C5, Class A2 | | | | | | | | | |
1.97% | | | 08/15/45 | | | | 33,646,394 | | | | 33,773,551 | |
| Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C6, Class A2 | | | | | | | | | |
1.87% | | | 11/15/45 | | | | 70,222,007 | | | | 70,460,905 | |
| Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C6, Class A3 | | | | | | | | | |
2.51% | | | 11/15/45 | | | | 30,429,000 | | | | 31,227,457 | |
| Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C7, Class A2 | | | | | | | | | |
1.86% | | | 02/15/46 | | | | 17,290,762 | | | | 17,370,334 | |
| Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C9, Class A2 | | | | | | | | | |
1.97% | | | 05/15/46 | | | | 13,589,210 | | | | 13,686,348 | |
| Morgan Stanley Capital I Trust, Series 2007-HQ12, Class A1A | | | | | | | | | |
5.90% | | | 04/12/49 | 3 | | | 72,255,658 | | | | 72,485,070 | |
| Morgan Stanley Capital I Trust, Series 2012-C4, Class A2 | | | | | | | | | |
2.11% | | | 03/15/45 | | | | 5,562,178 | | | | 5,578,079 | |
| RBS Commercial Funding Trust, Series 2013-GSP, Class A | | | | | | | | | |
3.96% | | | 01/13/32 | 3,4 | | | 79,160,000 | | | | 86,887,781 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2016 / 68 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Commercial Mortgage-Backed (continued) | | | | | |
SFAVE Commercial Mortgage Securities Trust, Series 2015-5AVE, Class A1 | | | | | | | | | |
3.87% | | | 01/05/35 | 3,4 | | $ | 20,040,000 | | | $ | 20,893,592 | |
| UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class A2 | | | | | | | | | |
2.11% | | | 05/10/63 | | | | 111,654,135 | | | | 112,150,984 | |
| UBS-Barclays Commercial Mortgage Trust, Series 2012-C3, Class A2 | | | | | | | | | |
1.85% | | | 08/10/49 | | | | 24,250,000 | | | | 24,354,290 | |
| UBS-Barclays Commercial Mortgage Trust, Series 2012-C4, Class A2 | | | | | | | | | |
1.71% | | | 12/10/45 | | | | 17,992,000 | | | | 18,045,228 | |
| VNDO Mortgage Trust, Series 2012-6AVE, Class A | | | | | | | | | |
3.00% | | | 11/15/30 | 4 | | | 13,730,000 | | | | 14,392,308 | |
Wachovia Mortgage Loan Trust LLC, Series 2006-AMN1, Class A3 | | | | | | | | | |
0.77% | | | 08/25/36 | 3 | | | 27,342,088 | | | | 17,422,324 | |
| Wells Fargo Commercial Mortgage Trust, Series 2010-C1, Class A2 | | | | | | | | | |
4.39% | | | 11/15/43 | 4 | | | 900,000 | | | | 983,089 | |
| WF-RBS Commercial Mortgage Trust, Series 2010-C8, Class A3 | | | | | | | | | |
3.00% | | | 08/15/45 | | | | 52,205,000 | | | | 55,160,790 | |
| WF-RBS Commercial Mortgage Trust, Series 2011-C4, Class A3 | | | | | | | | | |
4.39% | | | 06/15/44 | 4 | | | 1,910,751 | | | | 2,000,907 | |
| WF-RBS Commercial Mortgage Trust, Series 2012-C7, Class A2 | | | | | | | | | |
3.43% | | | 06/15/45 | | | | 33,148,000 | | | | 35,580,288 | |
| | | | | | | | | | | | |
| | |
| | | | | | | | 2,053,334,204 | |
| | | | | | | | | | | | |
Non-Agency Mortgage-Backed — 6.54% | |
| Aames Mortgage Investment Trust, Series 2002-1, Class A3 (STEP) | | | | | | | | | |
7.40% | | | 06/25/32 | | | | 59,454 | | | | 57,045 | |
| Accredited Mortgage Loan Trust, Series 2006-2, Class A3 | | | | | | | | | |
0.68% | | | 09/25/36 | 3 | | | 12,433,572 | | | | 12,354,511 | |
| Accredited Mortgage Loan Trust, Series 2007-1, Class A4 | | | | | | | | | |
0.75% | | | 02/25/37 | 3 | | | 46,525,000 | | | | 39,471,936 | |
| ACE Securities Corp., Series 2004-IN1, Class A1 | | | | | | | | | |
1.17% | | | 05/25/34 | 3 | | | 4,653 | | | | 4,187 | |
| ACE Securities Corp., Series 2006-ASP1, Class A1 | | | | | | | | | |
1.01% | | | 12/25/35 | 3 | | | 1,810,400 | | | | 1,806,881 | |
| ACE Securities Corp., Series 2006-HE3, Class A2C | | | | | | | | | |
0.68% | | | 06/25/36 | 3 | | | 4,124,316 | | | | 2,714,019 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed
(continued) | | | | | |
| Adjustable Rate Mortgage Trust, Series 2005-10, Class 6A1 | | | | | | | | | |
1.07% | | | 01/25/36 | 3 | | $ | 505,195 | | | $ | 428,393 | |
| Adjustable Rate Mortgage Trust, Series 2005-5, Class 6A21 | | | | | | | | | |
0.76% | | | 09/25/35 | 3 | | | 3,029,912 | | | | 2,918,644 | |
| Adjustable Rate Mortgage Trust, Series 2006-3, Class 4A32 | | | | | | | | | |
0.73% | | | 08/25/36 | 3 | | | 29,243,607 | | | | 27,371,704 | |
| Aegis Asset-Backed Securities Trust, Series 2005-5, Class 1A3 | | | | | | | | | |
0.80% | | | 12/25/35 | 3 | | | 2,759,649 | | | | 2,750,698 | |
American Home Mortgage
Investment Trust, Series 2004-3,
Class 2A | | | | | |
2.59% | | | 10/25/34 | 3 | | | 8,859,034 | | | | 8,493,969 | |
Ameriquest Mortgage
Securities, Inc., Series 2004-R10,
Class A1 | | | | | |
1.19% | | | 11/25/34 | 3 | | | 56,952,960 | | | | 55,291,059 | |
| Amresco Residential Securities Mortgage Loan Trust, Series 1998-1, Class A5 (STEP) | | | | | | | | | |
7.48% | | | 10/25/27 | | | | 79,497 | | | | 83,492 | |
| Argent Securities, Inc., Series 2004-W6, Class AV2 | | | | | | | | | |
1.43% | | | 05/25/34 | 3 | | | 17,251,093 | | | | 16,612,649 | |
| Argent Securities, Inc., Series 2005-W2, Class A1 | | | | | | | | | |
0.79% | | | 10/25/35 | 3 | | | 46,632,029 | | | | 46,086,429 | |
| Argent Securities, Inc., Series 2005-W3, Class A1 | | | | | | | | | |
0.79% | | | 11/25/35 | 3 | | | 62,303,693 | | | | 60,144,568 | |
| Asset-Backed Funding Certificates, Series 2005-HE1, Class M1 | | | | | | | | | |
1.16% | | | 03/25/35 | 3 | | | 18,719,451 | | | | 18,410,195 | |
| Asset-Backed Funding Certificates, Series 2006-OPT3, Class A3B | | | | | | | | | |
0.69% | | | 11/25/36 | 3 | | | 27,684,102 | | | | 16,708,978 | |
| Asset-Backed Funding Certificates, Series 2007-WMC1, Class A2B | | | | | | | | | |
1.53% | | | 06/25/37 | 3 | | | 30,673,461 | | | | 22,406,598 | |
| Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2005-HE6, Class M2 | | | | | | | | | |
1.29% | | | 07/25/35 | 3 | | | 14,212 | | | | 14,258 | |
| Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2006-HE5, Class A1 | | | | | | | | | |
0.65% | | | 07/25/36 | 3 | | | 32,003,763 | | | | 31,125,434 | |
| Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2006-HE6, Class A5 | | | | | |
0.76% | | | 11/25/36 | 3 | | | 18,411,000 | | | | 13,472,750 | |
Banc of America Funding Trust, Series 2003-2, Class 1A1 | | | | | | | | | |
6.50% | | | 06/25/32 | | | | 30,547 | | | | 32,245 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 69 / Semi-Annual Report September 2016 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed
(continued) | | | | | |
Banc of America Funding Trust, Series 2006-D, Class 3A1 | | | | | | | | | |
3.25% | | | 05/20/36 | 3 | | $ | 10,375,555 | | | $ | 9,169,269 | |
Banc of America Funding Trust, Series 2006-E, Class 2A1 | | | | | | | | | |
3.30% | | | 06/20/36 | 3 | | | 152,108 | | | | 126,300 | |
Banc of America Funding Trust, Series 2006-G, Class 2A1 | | | | | | | | | |
0.75% | | | 07/20/36 | 3 | | | 15,940,228 | | | | 15,084,885 | |
Banc of America Funding Trust, Series 2006-H, Class 3A1 | | | | | | | | | |
3.16% | | | 09/20/46 | 3 | | | 2,527,738 | | | | 2,034,011 | |
Banc of America Funding Trust, Series 2014-R8, Class A1 | | | | | | | | | |
2.40% | | | 06/26/36 | 3,4 | | | 16,278,417 | | | | 15,777,309 | |
Banc of America Funding Trust, Series 2015-R2, Class 1A1 | | | | | | | | | |
0.66% | | | 08/25/36 | 3,4 | | | 54,810,965 | | | | 50,247,985 | |
Banc of America Funding Trust, Series 2015-R2, Class 3A1 | | | | | | | | | |
0.78% | | | 04/25/37 | 3,4 | | | 34,403,674 | | | | 33,639,585 | |
Banc of America Funding Trust, Series 2015-R2, Class 7A1 | | | | | | | | | |
0.81% | | | 09/25/36 | 3,4 | | | 30,672,538 | | | | 29,642,327 | |
Banc of America Funding Trust, Series 2015-R2, Class 9A1 | | | | | | | | | |
0.74% | | | 03/25/37 | 3,4 | | | 15,504,707 | | | | 15,058,924 | |
Banc of America Funding Trust, Series 2015-R5, Class 1A1 | | | | | | | | | |
0.65% | | | 10/26/36 | 3,4 | | | 125,328,065 | | | | 119,358,852 | |
Banc of America Funding Trust, Series 2016-R1, Class A1 | | | | | | | | | |
2.50% | | | 03/25/40 | 3,4 | | | 70,150,382 | | | | 70,041,277 | |
| Banc of America Mortgage Securities, Inc., Series 2003-1, Class 3A1 | | | | | | | | | |
3.30% | | | 10/25/33 | 3 | | | 1,425,314 | | | | 1,432,710 | |
| Banc of America Mortgage Securities, Inc., Series 2004-F, Class 1A1 | | | | | | | | | |
3.17% | | | 07/25/34 | 3 | | | 85,287 | | | | 86,892 | |
| Banc of America Mortgage Securities, Inc., Series 2005-C, Class 2A2 | | | | | | | | | |
3.14% | | | 04/25/35 | 3 | | | 784,363 | | | | 722,374 | |
| Banc of America Mortgage Securities, Inc., Series 2006-2, Class A2 | | | | | | | | | |
6.00% | | | 07/25/46 | 3 | | | 294,699 | | | | 276,096 | |
| Banc of America Mortgage Securities, Inc., Series 2007-1, Class 1A24 | | | | | | | | | |
6.00% | | | 03/25/37 | | | | 1,510,410 | | | | 1,378,029 | |
| Banc of America Mortgage Securities, Inc., Series 2007-3, Class 1A1 | | | | | | | | | |
6.00% | | | 09/25/37 | | | | 821,515 | | | | 748,575 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed
(continued) | | | | | |
BCAP LLC Trust, Series 2007-AA2, Class 2A5 | | | | | | | | | |
6.00% | | | 04/25/37 | | | $ | 437,076 | | | $ | 386,982 | |
BCAP LLC Trust, Series 2007-AA5, Class A1 | | | | | | | | | |
1.18% | | | 09/25/47 | 3 | | | 50,252,248 | | | | 43,187,174 | |
BCAP LLC Trust, Series 2009-RR10, Class 7A1 | | | | | | | | | |
2.89% | | | 10/26/35 | 3,4 | | | 5,933,599 | | | | 5,974,964 | |
BCAP LLC Trust, Series 2011-RR3, Class 1A5 | | | | | | | | | |
3.19% | | | 05/27/37 | 3,4 | | | 9,395,873 | | | | 9,370,620 | |
BCAP LLC Trust, Series 2011-RR3, Class 5A3 | | | | | | | | | |
3.17% | | | 11/27/37 | 3,4 | | | 9,234,241 | | | | 9,030,143 | |
| BCAP LLC Trust, Series 2011-RR5, Class 1A3 | | | | | | | | | |
2.68% | | | 03/26/37 | 3,4 | | | 712,438 | | | | 701,089 | |
BCAP LLC Trust, Series 2015-RR2, Class 26A1 | | | | | | | | | |
2.89% | | | 03/28/36 | 3,4 | | | 17,565,018 | | | | 17,822,007 | |
| Bear Stearns ALT-A Trust, Series 2005-4, Class 22A2 | | | | | | | | | |
3.24% | | | 05/25/35 | 3 | | | 32,865 | | | | 29,852 | |
| Bear Stearns ALT-A Trust, Series 2006-4, Class 32A1 | | | | | | | | | |
3.21% | | | 07/25/36 | 3 | | | 3,072,322 | | | | 2,431,943 | |
| Bear Stearns ARM Trust, Series 2004-1, Class 13A2 | | | | | | | | | |
3.27% | | | 04/25/34 | 3 | | | 13,478 | | | | 13,121 | |
| Bear Stearns ARM Trust, Series 2004-10, Class 14A1 | | | | | | | | | |
3.02% | | | 01/25/35 | 3 | | | 5,862,665 | | | | 5,756,312 | |
| Bear Stearns ARM Trust, Series 2006-4, Class 2A1 | | | | | | | | | |
2.93% | | | 10/25/36 | 3 | | | 1,204,036 | | | | 1,046,746 | |
| Bear Stearns Asset-Backed Securities Trust, Series 2003-AC7, Class A1 (STEP) | | | | | | | | | |
5.50% | | | 01/25/34 | | | | 1,058,731 | | | | 1,080,229 | |
Bear Stearns Asset-Backed Securities Trust, Series 2003-AC7, Class A2 (STEP) | | | | | | | | | |
5.75% | | | 01/25/34 | | | | 954,517 | | | | 984,386 | |
Bear Stearns Asset-Backed Securities Trust, Series 2005-AC5, Class 2A3 | | | | | | | | | |
0.78% | | | 08/25/20 | 3 | | | 2,388,419 | | | | 1,524,832 | |
Bear Stearns Asset-Backed Securities Trust, Series 2005-SD1, Class 1A3 | | | | | | | | | |
0.93% | | | 08/25/43 | 3 | | | 8,122 | | | | 8,056 | |
Bear Stearns Asset-Backed Securities Trust, Series 2006-AC2, Class 21A3 | | | | | | | | | |
6.00% | | | 03/25/36 | | | | 1,586,170 | | | | 1,503,186 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2016 / 70 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed
(continued) | | | | | |
Bear Stearns Mortgage Funding Trust, Series 2006-AR3, Class 1A1 | | | | | | | | | |
0.71% | | | 10/25/36 | 3 | | $ | 3,123,352 | | | $ | 2,535,501 | |
| Bombardier Capital Mortgage Securitization Corp., Series 2001-A, Class A | | | | | | | | | |
6.81% | | | 12/15/30 | 3 | | | 7,839,085 | | | | 8,013,130 | |
Carrington Mortgage Loan Trust, Series 2006-NC1, Class A4 | | | | | | | | | |
0.84% | | | 01/25/36 | 3 | | | 36,750,000 | | | | 33,743,222 | |
| Centex Home Equity Loan Trust, Series 2006-A, Class AV4 | | | | | | | | | |
0.78% | | | 06/25/36 | 3 | | | 25,450,393 | | | | 24,992,616 | |
| Chase Funding Trust, Series 2003-5, Class 2A2 | | | | | | | | | |
1.13% | | | 07/25/33 | 3 | | | 3,059 | | | | 2,674 | |
| Chase Funding Trust, Series 2004-2, Class 2A2 | | | | | | | | | |
1.03% | | | 02/26/35 | 3 | | | 5,668 | | | | 4,690 | |
| Chase Funding Trust, Series 2006-A1, Class 1A2 | | | | | | | | | |
3.10% | | | 09/25/36 | 3 | | | 1,573,167 | | | | 1,381,693 | |
| Chase Funding Trust, Series 2006-S3, Class 2A1 | | | | | | | | | |
5.50% | | | 11/25/21 | | | | 2,515,152 | | | | 2,059,107 | |
| Chase Funding Trust, Series 2007-A2, Class 2A3 | | | | | | | | | |
2.97% | | | 07/25/37 | 3 | | | 4,516,989 | | | | 4,563,174 | |
| Chaseflex Trust, Series 2005-2, Class 4A2 | | | | | | | | | |
5.50% | | | 05/25/20 | | | | 3,977,748 | | | | 3,813,153 | |
| Chaseflex Trust, Series 2006-2, Class A2B | | | | | | | | | |
0.72% | | | 09/25/36 | 3 | | | 8,600,622 | | | | 6,784,789 | |
| CIM Trust, Series 2015-1EC, Class A16 | | | | | | | | | |
2.24% | | | 04/25/55 | 3,4 | | | 166,493,706 | | | | 167,857,489 | |
| CIM Trust, Series 2015-3AG, Class A1 | | | | | | | | | |
2.27% | | | 10/25/57 | 3,4 | | | 219,189,657 | | | | 215,783,373 | |
| CIM Trust, Series 2015-4AG, Class A1 | | | | | | | | | |
2.52% | | | 10/25/57 | 3,4 | | | 76,979,508 | | | | 75,322,543 | |
| Citicorp Mortgage Securities, Inc., Series 2005-1, Class 1A12 | | | | | | | | | |
5.00% | | | 02/25/35 | | | | 429,236 | | | | 430,160 | |
| Citicorp Residential Mortgage Securities, Inc., Series 2006-2, Class A5 (STEP) | | | | | | | | | |
5.79% | | | 09/25/36 | | | | 525,000 | | | | 538,718 | |
| Citicorp Residential Mortgage Securities, Inc., Series 2007-1, Class A5 (STEP) | | | | | | | | | |
5.75% | | | 03/25/37 | | | | 650,000 | | | | 675,443 | |
| Citigroup Mortgage Loan Trust, Inc., Series 2004-HYB1, Class A41 | | | | | | | | | |
3.26% | | | 02/25/34 | 3 | | | 218,505 | | | | 217,158 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed
(continued) | | | | | |
Citigroup Mortgage Loan Trust, Inc., Series 2004-RR2, Class A2 | | | | | | | | | |
2.97% | | | 05/25/34 | 3,4 | | $ | 4,482,965 | | | $ | 4,531,921 | |
Citigroup Mortgage Loan Trust, Inc., Series 2005-5, Class 3A2A | | | | | | | | | |
3.03% | | | 10/25/35 | 3 | | | 1,104,847 | | | | 900,943 | |
| Citigroup Mortgage Loan Trust, Inc., Series 2005-9, Class 1A1 | | | | | | | | | |
0.79% | | | 11/25/35 | 3 | | | 285,095 | | | | 208,951 | |
Citigroup Mortgage Loan Trust, Inc., Series 2006-AR3, Class 1A2A | | | | | | | | | |
3.20% | | | 06/25/36 | 3 | | | 8,692,335 | | | | 8,335,801 | |
Citigroup Mortgage Loan Trust, Inc., Series 2006-WFH2, Class A2A | | | | | | | | | |
0.68% | | | 08/25/36 | 3 | | | 19,582,914 | | | | 19,241,907 | |
Citigroup Mortgage Loan Trust, Inc., Series 2007-6, Class 1A4A | | | | | | | | | |
2.48% | | | 03/25/37 | 3 | | | 954,386 | | | | 675,900 | |
| Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH1, Class A4 | | | | | | | | | |
0.73% | | | 01/25/37 | 3 | | | 203,000 | | | | 197,181 | |
Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH2, Class A3 | | | | | | | | | |
0.71% | | | 03/25/37 | 3 | | | 16,663,773 | | | | 16,573,678 | |
| Citigroup Mortgage Loan Trust, Inc., Series 2010-7, Class 2A1 | | | | | | | | | |
2.76% | | | 02/25/35 | 3,4 | | | 203,850 | | | | 205,882 | |
| Citigroup Mortgage Loan Trust, Inc., Series 2010-9, Class 2A1 | | | | | | | | | |
2.74% | | | 11/25/35 | 3,4 | | | 107,277 | | | | 106,924 | |
| Citigroup Mortgage Loan Trust, Inc., Series 2012-3, Class 4A1 | | | | | | | | | |
2.61% | | | 11/25/36 | 3,4 | | | 2,685,059 | | | | 2,682,227 | |
| Citigroup Mortgage Loan Trust, Inc., Series 2014-6, Class 3A2 | | | | | | | | | |
3.18% | | | 11/25/35 | 3,4 | | | 14,613,873 | | | | 14,658,664 | |
| Citigroup Mortgage Loan Trust, Inc., Series 2015-2, Class 1A1 | | | | | | | | | |
0.72% | | | 06/25/47 | 3,4 | | | 43,013,146 | | | | 37,392,963 | |
| Citigroup Mortgage Loan Trust, Inc., Series 2015-2, Class 4A1 | | | | | | | | | |
1.19% | | | 03/25/47 | 3,4 | | | 28,969,135 | | | | 27,659,649 | |
| Collateralized Mortgage Obligation Trust, Series 57, Class D | | | | | | | | | |
9.90% | | | 02/01/19 | | | | 584 | | | | 623 | |
| Conseco Finance Securitizations Corp., Series 2001-4, Class A4 | | | | | | | | | |
7.36% | | | 09/01/33 | | | | 3,623,622 | | | | 3,881,851 | |
Conseco Finance, Series 2002-C, Class BF2 | | | | | | | | | |
8.00% | | | 06/15/32 | 3,4 | | | 349,995 | | | | 375,835 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 71 / Semi-Annual Report September 2016 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed
(continued) | | | | | |
| Conseco Financial Corp., Series 1996-7, Class M1 | | | | | | | | | |
7.70% | | | 10/15/27 | 3 | | $ | 8,637,994 | | | $ | 9,453,798 | |
| Conseco Financial Corp., Series 1998-2, Class A5 | | | | | | | | | |
6.24% | | | 12/01/28 | 3 | | | 61,899 | | | | 64,788 | |
| Conseco Financial Corp., Series 1998-3, Class A6 | | | | | | | | | |
6.76% | | | 03/01/30 | 3 | | | 3,923,978 | | | | 4,204,664 | |
| Conseco Financial Corp., Series 1998-6, Class A8 | | | | | | | | | |
6.66% | | | 06/01/30 | | | | 5,175,799 | | | | 5,558,665 | |
| Countryplace Manufactured Housing Contract Trust, Series 2007-1, Class A4 | | | | | | | | | |
5.85% | | | 07/15/37 | 3,4 | | | 9,150,000 | | | | 9,203,191 | |
Countrywide Alternative Loan Trust, Series 2004-J6, Class 2A1 | | | | | | | | | |
6.50% | | | 11/25/31 | | | | 12,944 | | | | 13,567 | |
Countrywide Alternative Loan Trust, Series 2005-84, Class 1A1 | | | | | | | | | |
2.82% | | | 02/25/36 | 3 | | | 119,671 | | | | 83,253 | |
| Countrywide Alternative Loan Trust, Series 2006-24CB, Class A19 | | | | | | | | | |
1.03% | | | 06/25/36 | 3 | | | 1,548,820 | | | | 995,566 | |
| Countrywide Alternative Loan Trust, Series 2006-HY13, Class 4A1 | | | | | | | | | |
2.99% | | | 02/25/37 | 3 | | | 3,805,182 | | | | 3,296,380 | |
Countrywide Alternative Loan Trust, Series 2006-OC5, Class 2A2A | | | | | | | | | |
0.70% | | | 06/25/36 | 3 | | | 1,237,733 | | | | 1,115,855 | |
Countrywide Alternative Loan Trust, Series 2007-J1, Class 2A1 | | | | | | | | | |
0.73% | | | 03/25/37 | 3 | | | 865,233 | | | | 304,182 | |
| Countrywide Asset-Backed Certificates, Series 2005-11, Class AF4 | | | | | | | | | |
4.73% | | | 02/25/36 | 3 | | | 7,000,000 | | | | 6,991,221 | |
| Countrywide Asset-Backed Certificates, Series 2005-13, Class AF4 | | | | | | | | | |
4.81% | | | 04/25/36 | 3 | | | 261,007 | | | | 231,473 | |
| Countrywide Asset-Backed Certificates, Series 2005-16, Class 4AV4 | | | | | | | | | |
0.87% | | | 05/25/36 | 3 | | | 4,359,754 | | | | 4,339,546 | |
| Countrywide Asset-Backed Certificates, Series 2005-AB2, Class 1A1 | | | | | | | | | |
0.99% | | | 11/25/35 | 3 | | | 28,677,304 | | | | 27,627,740 | |
| Countrywide Asset-Backed Certificates, Series 2007-13, Class 2A2 | | | | | | | | | |
1.33% | | | 10/25/47 | 3 | | | 16,273,173 | | | | 14,820,135 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, Series 2001-HYB1, Class 1A1 | | | | | | | | | |
2.50% | | | 06/19/31 | 3 | | | 38,825 | | | | 39,367 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed
(continued) | | | | | |
| Countrywide Home Loan Mortgage Pass-Through Trust, Series 2003-J8, Class 1A4 | | | | | | | | | |
5.25% | | | 09/25/23 | | | $ | 161,514 | | | $ | 166,453 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-14, Class 4A1 | | | | | | | | | |
2.98% | | | 08/25/34 | 3 | | | 1,628,732 | | | | 1,580,577 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-25, Class 1A1 | | | | | | | | | |
1.19% | | | 02/25/35 | 3 | | | 183,593 | | | | 165,518 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-29, Class 3A1 | | | | | | | | | |
2.38% | | | 02/25/35 | 3 | | | 4,589,580 | | | | 3,524,560 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-HYB3, Class 1A | | | | | | | | | |
2.88% | | | 06/20/34 | 3 | | | 70,964 | | | | 70,440 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-HYB4, Class 2A1 | | | | | | | | | |
3.08% | | | 09/20/34 | 3 | | | 2,039,728 | | | | 1,970,148 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-HYB7, Class 3A | | | | | | | | | |
3.09% | | | 11/20/34 | 3 | | | 351,254 | | | | 343,031 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-11, Class 1A2 | | | | | | | | | |
3.31% | | | 04/25/35 | 3 | | | 1,410,495 | | | | 1,333,110 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-31, Class 2A3 | | | | | | | | | |
2.61% | | | 01/25/36 | 3 | | | 391,255 | | | | 361,042 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-4, Class 4A1 | | | | | | | | | |
1.11% | | | 02/25/35 | 3 | | | 93,338 | | | | 79,447 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-9, Class 1A1 | | | | | | | | | |
0.83% | | | 05/25/35 | 3 | | | 6,225,048 | | | | 5,002,373 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, Series 2007-HY5, Class 1A1 | | | | | | | | | |
3.29% | | | 09/25/47 | 3 | | | 2,318,108 | | | | 2,041,412 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, Series 2007-HYB1, Class 1A1 | | | | | | | | | |
2.88% | | | 03/25/37 | 3 | | | 2,012,456 | | | | 1,556,791 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2016 / 72 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | | | | | |
| Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR20, Class 2A4 | | | | | | | | | |
2.97% | | | 08/25/33 | 3 | | $ | 38,914 | | | $ | 38,299 | |
| Credit Suisse First Boston Mortgage Securities Corp., Series 2004-1, Class 2A1 | | | | | | | | | |
6.50% | | | 02/25/34 | | | | 53,643 | | | | 57,932 | |
| Credit Suisse First Boston Mortgage Securities Corp., Series 2004-AR5, Class 6A1 | | | | | | | | | |
2.94% | | | 06/25/34 | 3 | | | 329,572 | | | | 331,397 | |
| Credit Suisse First Boston Mortgage Securities Corp., Series 2005-6, Class 8A1 | | | | | | | | | |
4.50% | | | 07/25/20 | | | | 22,551 | | | | 22,248 | |
| Credit Suisse First Boston Mortgage Securities Corp., Series 2006-2, Class 2A1 | | | | | | | | | |
1.23% | | | 03/25/36 | 3 | | | 5,181,647 | | | | 2,748,867 | |
| Credit Suisse Mortgage Trust, Series 2007-2, Class 3A4 | | | | | | | | | |
5.50% | | | 03/25/37 | | | | 3,517,550 | | | | 3,212,261 | |
| Credit Suisse Mortgage Trust, Series 2009-14R, Class 2A1 | | | | | | | | | |
5.00% | | | 06/26/37 | 4 | | | 13,842,640 | | | | 14,051,727 | |
| Credit Suisse Mortgage Trust, Series 2010-17R, Class 1A1 | | | | | | | | | |
2.84% | | | 06/26/36 | 3,4 | | | 1,083,425 | | | | 1,094,152 | |
| Credit Suisse Mortgage Trust, Series 2011-12R, Class 1A1 | | | | | | | | | |
1.48% | | | 10/27/37 | 3,4 | | | 3,263,609 | | | | 3,247,653 | |
| Credit Suisse Mortgage Trust, Series 2011-16R, Class 5A1 | | | | | | | | | |
2.72% | | | 09/27/35 | 3,4 | | | 3,692,510 | | | | 3,601,944 | |
| Credit Suisse Mortgage Trust, Series 2014-10R, Class 3A1 | | | | | | | | | |
2.28% | | | 04/25/36 | 3,4 | | | 6,430,377 | | | | 6,467,185 | |
| Credit Suisse Mortgage Trust, Series 2014-11R, Class 10A1 | | | | | | | | | |
0.74% | | | 05/27/37 | 3,4 | | | 15,121,963 | | | | 14,440,982 | |
| Credit Suisse Mortgage Trust, Series 2014-12R, Class 1A1 | | | | | | | | | |
2.27% | | | 08/27/36 | 3,4 | | | 24,713,213 | | | | 24,721,213 | |
| Credit Suisse Mortgage Trust, Series 2014-7R, Class 7A1 | | | | | | | | | |
0.67% | | | 08/27/36 | 3,4 | | | 14,218,048 | | | | 13,884,970 | |
| Credit Suisse Mortgage Trust, Series 2014-CIM1, Class A1 | | | | | | | | | |
2.24% | | | 01/25/58 | 3,4 | | | 63,786,379 | | | | 63,993,978 | |
| Credit Suisse Mortgage Trust, Series 2015-1R, Class 5A1 | | | | | | | | | |
3.01% | | | 09/27/35 | 3,4 | | | 15,373,262 | | | | 15,426,004 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | | | | | |
| Credit Suisse Mortgage Trust, Series 2015-2R, Class 4A1 | | | | | | | | | |
0.72% | | | 06/27/47 | 3,4 | | $ | 52,437,592 | | | $ | 48,983,895 | |
| Credit Suisse Mortgage Trust, Series 2015-6R, Class 2A1 | | | | | | | | | |
0.72% | | | 11/27/46 | 3,4 | | | 17,869,328 | | | | 16,301,489 | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2003-CB1, Class AF (STEP) | | | | | | | | | |
3.95% | | | 01/25/33 | | | | 20,590 | | | | 20,803 | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2003-CB4, Class M1 | | | | | | | | | |
1.56% | | | 03/25/33 | 3 | | | 4,913,800 | | | | 4,730,287 | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2003-CB5, Class M1 | | | | | | | | | |
1.54% | | | 11/25/33 | 3 | | | 109,499 | | | | 105,265 | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB1, Class AF2 (STEP) | | | | | | | | | |
3.39% | | | 01/25/36 | | | | 9,836,371 | | | | 7,312,851 | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB8, Class A1 | | | | | | | | | |
0.67% | | | 10/25/36 | 3 | | | 23,985,947 | | | | 18,796,959 | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB8, Class A2B | | | | | | | | | |
0.64% | | | 10/25/36 | 3 | | | 5,465,065 | | | | 5,364,100 | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB9, Class A3 | | | | | | | | | |
0.68% | | | 11/25/36 | 3 | | | 37,273,397 | | | | 22,240,178 | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB1, Class AF4 (STEP) | | | | | | | | | |
3.88% | | | 01/25/37 | | | | 8,581,750 | | | | 4,423,001 | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB1, Class AF5 (STEP) | | | | | | | | | |
3.88% | | | 01/25/37 | | | | 16,127,151 | | | | 8,253,697 | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB2, Class A2C (STEP) | | | | | | | | | |
4.44% | | | 02/25/37 | | | | 47,741,258 | | | | 35,581,498 | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB2, Class A2D (STEP) | | | | | | | | | |
4.44% | | | 02/25/37 | | | | 34,953,709 | | | | 26,043,663 | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB2, Class A2E (STEP) | | | | | | | | | |
4.44% | | | 02/25/37 | | | | 6,356,278 | | | | 4,737,018 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 73 / Semi-Annual Report September 2016 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed
(continued) | | | | | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB5, Class A2 | | | | | | | | | |
0.69% | | | 04/25/37 | 3 | | $ | 37,537,376 | | | $ | 27,810,676 | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB7, Class A1 | | | | | | | | | |
0.67% | | | 10/25/36 | 3 | | | 74,931,321 | | | | 53,119,128 | |
| CSAB Mortgage-Backed Trust, Series 2006-4, Class A6B (STEP) | | | | | | | | | |
5.78% | | | 12/25/36 | | | | 5,268,016 | | | | 1,323,337 | |
| Deutsche ALT-A Securities Mortgage Loan Trust, Series 2006-AR3, Class A1 | | | | | | | | | |
0.72% | | | 08/25/36 | 3 | | | 6,895,325 | | | | 5,599,603 | |
| Deutsche ALT-A Securities Mortgage Loan Trust, Series 2006-AR4, Class A1 | | | | | | | | | |
0.66% | | | 12/25/36 | 3 | | | 2,872,859 | | | | 1,803,862 | |
| Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2005-3, Class 4A5 | | | | | | | | | |
5.25% | | | 06/25/35 | | | | 321,388 | | | | 325,067 | |
| Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2005-6, Class 1A7 | | | | | | | | | |
5.50% | | | 12/25/35 | | | | 689,398 | | | | 559,125 | |
| Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2006-AR6, Class AR6 | | | | | | | | | |
0.72% | | | 02/25/37 | 3 | | | 1,386,343 | | | | 1,119,891 | |
| Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, Series 2006-AR1, Class 2A1 | | | | | | | | | |
3.28% | | | 02/25/36 | 3 | | | 1,822,187 | | | | 1,439,184 | |
| DSLA Mortgage Loan Trust, Series 2004-AR4, Class 2A1A | | | | | | | | | |
0.89% | | | 01/19/45 | 3 | | | 3,716,019 | | | | 3,182,810 | |
| DSLA Mortgage Loan Trust, Series 2005-AR1, Class 2A1A | | | | | | | | | |
0.78% | | | 03/19/45 | 3 | | | 663,268 | | | | 593,372 | |
| DSLA Mortgage Loan Trust, Series 2005-AR3, Class 2A1A | | | | | | | | | |
0.77% | | | 07/19/45 | 3 | | | 349,314 | | | | 315,324 | |
| DSLA Mortgage Loan Trust, Series 2006-AR2, Class 2A1A | | | | | | | | | |
0.73% | | | 10/19/36 | 3 | | | 26,023,866 | | | | 22,056,673 | |
| DSLA Mortgage Loan Trust, Series 2007-AR1, Class 2A1A | | | | | | | | | |
0.67% | | | 04/19/48 | 3 | | | 14,985,149 | | | | 12,082,532 | |
| Equity One ABS, Inc., Series 1998-1, Class A2 (STEP) | | | | | | | | | |
7.48% | | | 11/25/29 | | | | 83,747 | | | | 81,648 | |
| Equity One Mortgage Pass-Through Trust, Series 2002-4, Class M1 | | | | | | | | | |
5.22% | | | 02/25/33 | 3 | | | 11,938 | | | | 11,458 | |
| Equity One Mortgage Pass-Through Trust, Series 2002-5, Class M1 (STEP) | | | | | | | | | |
5.80% | | | 11/25/32 | | | | 79,968 | | | | 81,036 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed
(continued) | | | | | |
| First Horizon Alternative Mortgage Securities Trust, Series 2004-AA2, Class 1A1 | | | | | | | | | |
2.64% | | | 08/25/34 | 3 | | $ | 16,073,073 | | | $ | 15,957,043 | |
| First Horizon Alternative Mortgage Securities Trust, Series 2004-AA3, Class A1 | | | | | | | | | |
2.78% | | | 09/25/34 | 3 | | | 93,515 | | | | 91,245 | |
| First Horizon Alternative Mortgage Securities Trust, Series 2004-AA4, Class A1 | | | | | | | | | |
2.73% | | | 10/25/34 | 3 | | | 3,594,247 | | | | 3,533,916 | |
| First Horizon Alternative Mortgage Securities Trust, Series 2005-AA10, Class 1A1 | | | | | | | | | |
2.73% | | | 12/25/35 | 3 | | | 32,754,733 | | | | 27,053,343 | |
| First Horizon Alternative Mortgage Securities Trust, Series 2005-AA12, Class 2A1 | | | | | | | | | |
2.70% | | | 02/25/36 | 3 | | | 40,243,584 | | | | 34,839,057 | |
| First Horizon Alternative Mortgage Securities Trust, Series 2005-AA7, Class 2A1 | | | | | | | | | |
2.82% | | | 09/25/35 | 3 | | | 35,878,650 | | | | 32,577,384 | |
| First Horizon Alternative Mortgage Securities Trust, Series 2005-AA8, Class 2A1 | | | | | | | | | |
2.77% | | | 10/25/35 | 3 | | | 45,202,870 | | | | 38,802,243 | |
| First Horizon Alternative Mortgage Securities Trust, Series 2005-AA9, Class 2A1 | | | | | | | | | |
2.71% | | | 11/25/35 | 3 | | | 38,111,956 | | | | 33,629,037 | |
| First Horizon Alternative Mortgage Securities Trust, Series 2006-AA1, Class 1A1 | | | | | | | | | |
2.79% | | | 03/25/36 | 3 | | | 39,459,675 | | | | 33,111,060 | |
| First Horizon Alternative Mortgage Securities Trust, Series 2006-FA8, Class 1A7 | | | | | | | | | |
6.00% | | | 02/25/37 | | | | 18,191 | | | | 14,078 | |
First Horizon Mortgage Pass-Through Trust, Series 2004-AR1, Class 2A1 | | | | | | | | | |
2.70% | | | 02/25/34 | 3 | | | 1,068,061 | | | | 1,063,519 | |
First Horizon Mortgage Pass-Through Trust, Series 2004-AR5, Class 2A1 | | | | | | | | | |
3.03% | | | 10/25/34 | 3 | | | 1,474,890 | | | | 1,437,099 | |
First Horizon Mortgage Pass-Through Trust, Series 2004-AR6, Class 2A1 | | | | | | | | | |
2.86% | | | 12/25/34 | 3 | | | 748,332 | | | | 748,339 | |
First Horizon Mortgage Pass-Through Trust, Series 2006-AR4, Class 1A2 | | | | | | | | | |
2.76% | | | 01/25/37 | 3 | | | 266,474 | | | | 235,053 | |
First Horizon Mortgage Pass-Through Trust, Series 2007-AR3, Class 1A1 | | | | | | | | | |
2.74% | | | 11/25/37 | 3 | | | 617,806 | | | | 539,070 | |
| FNBA Mortgage Loan Trust, Series 2004-AR1, Class A2 | | | | | | | | | |
0.93% | | | 08/19/34 | 3 | | | 22,465 | | | | 21,934 | |
| Fremont Home Loan Trust, Series 2005-C, Class M1 | | | | | | | | | |
1.01% | | | 07/25/35 | 3 | | | 4,932,131 | | | | 4,949,202 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2016 / 74 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed
(continued) | | | | | |
GE Business Loan Trust, Series 2007-1A, Class A | | | | | | | | | |
0.69% | | | 04/16/35 | 3,4 | | $ | 17,395,009 | | | $ | 16,157,033 | |
GMAC Mortgage Corp. Loan Trust, Series 2003-AR2, Class 3A5 | | | | | | | | | |
3.23% | | | 12/19/33 | 3 | | | 5,961,134 | | | | 5,954,715 | |
GMAC Mortgage Corp. Loan Trust, Series 2004-AR1, Class 22A | | | | | | | | | |
3.49% | | | 06/25/34 | 3 | | | 9,118 | | | | 8,935 | |
GMAC Mortgage Corp. Loan Trust, Series 2005-AR6, Class 3A1 | | | | | | | | | |
3.16% | | | 11/19/35 | 3 | | | 1,508,434 | | | | 1,407,338 | |
GMAC Mortgage Corp. Loan Trust, Series 2006-AR2, Class 1A1 | | | | | | | | | |
2.85% | | | 05/19/36 | 3 | | | 1,936,836 | | | | 1,318,151 | |
GMACM Home Equity Loan Trust, Series 2000-HE2, Class A1 | | | | | | | | | |
0.97% | | | 06/25/30 | 3 | | | 46,197 | | | | 45,245 | |
| Green Tree, Series 2008-MH1, Class A2 | | | | | | | | | |
8.97% | | | 04/25/38 | 3,4 | | | 1,442,771 | | | | 1,448,653 | |
GreenPoint Mortgage Funding Trust, Series 2005-AR3, Class 1A1 | | | | | | | | | |
0.77% | | | 08/25/45 | 3 | | | 2,438,585 | | | | 2,026,602 | |
GreenPoint Mortgage Funding Trust, Series 2005-HY1, Class 1A1A | | | | | | | | | |
0.80% | | | 07/25/35 | 3 | | | 17,656,459 | | | | 17,202,646 | |
GreenPoint Mortgage Funding Trust, Series 2006-AR8, Class 1A2A | | | | | | | | | |
0.71% | | | 01/25/47 | 3 | | | 7,408,253 | | | | 7,264,814 | |
GreenPoint Mortgage Funding Trust, Series 2007-AR1, Class 3A2 | | | | | | | | | |
0.69% | | | 02/25/37 | 3 | | | 5,387,861 | | | | 4,852,259 | |
| GSAA Home Equity Trust, Series 2005-11, Class 1A1 | | | | | | | | | |
0.81% | | | 10/25/35 | 3 | | | 16,870,707 | | | | 15,665,425 | |
| GSAA Home Equity Trust, Series 2005-9, Class 2A3 | | | | | | | | | |
0.90% | | | 08/25/35 | 3 | | | 4,460,038 | | | | 4,376,413 | |
| GSAMP Trust, Series 2005-AHL2, Class A2D | | | | | | | | | |
0.88% | | | 12/25/35 | 3 | | | 25,693,000 | | | | 18,520,290 | |
| GSAMP Trust, Series 2005-HE5, Class M1 | | | | | | | | | |
0.95% | | | 11/25/35 | 3 | | | 10,424,599 | | | | 10,216,364 | |
| GSR Mortgage Loan Trust, Series 2004-9, Class 3A1 | | | | | | | | | |
3.14% | | | 08/25/34 | 3 | | | 6,969 | | | | 7,018 | |
| GSR Mortgage Loan Trust, Series 2004-9, Class 5A7 | | | | | | | | | |
3.07% | | | 08/25/34 | 3 | | | 681,319 | | | | 669,707 | |
| GSR Mortgage Loan Trust, Series 2005-AR5, Class 2A3 | | | | | | | | | |
3.22% | | | 10/25/35 | 3 | | | 6,717,815 | | | | 5,687,794 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed
(continued) | | | | | |
| GSR Mortgage Loan Trust, Series 2005-AR6, Class 4A5 | | | | | | | | | |
3.07% | | | 09/25/35 | 3 | | $ | 417,184 | | | $ | 429,366 | |
| GSR Mortgage Loan Trust, Series 2006-OA1, Class 2A1 | | | | | | | | | |
0.72% | | | 08/25/46 | 3 | | | 2,876,445 | | | | 2,830,104 | |
| GSR Mortgage Loan Trust, Series 2007-AR2, Class 2A1 | | | | | | | | | |
3.01% | | | 05/25/47 | 3 | | | 4,149,602 | | | | 3,732,693 | |
Harborview Mortgage Loan Trust, Series 2004-1, Class 2A | | | | | | | | | |
2.77% | | | 04/19/34 | 3 | | | 12,906 | | | | 12,772 | |
| Harborview Mortgage Loan Trust, Series 2004-11, Class 3A2A | | | | | | | | | |
1.21% | | | 01/19/35 | 3 | | | 626,510 | | | | 509,668 | |
| Harborview Mortgage Loan Trust, Series 2004-5, Class 2A6 | | | | | | | | | |
2.79% | | | 06/19/34 | 3 | | | 8,790 | | | | 8,757 | |
| Harborview Mortgage Loan Trust, Series 2005-4, Class 2A | | | | | | | | | |
3.23% | | | 07/19/35 | 3 | | | 611,519 | | | | 532,891 | |
Harborview Mortgage Loan Trust, Series 2006-8, Class 2A1A | | | | | | | | | |
0.73% | | | 07/21/36 | 3 | | | 252,822 | | | | 205,745 | |
| Harborview Mortgage Loan Trust, Series 2007-7, Class 2A1A | | | | | | | | | |
1.53% | | | 11/25/47 | 3 | | | 1,116,050 | | | | 1,050,615 | |
| Home Equity Mortgage Loan Trust, Series 2005-C, Class AI1 | | | | | | | | | |
0.79% | | | 10/25/35 | 3 | | | 8,542,446 | | | | 8,500,021 | |
Homestar Mortgage Acceptance Corp., Series 2004-5, Class A4 | | | | | | | | | |
1.10% | | | 10/25/34 | 3 | | | 2,138,847 | | | | 2,125,210 | |
| HSBC Home Equity Loan Trust, Series 2007-1, Class AM | | | | | | | | | |
0.77% | | | 03/20/36 | 3 | | | 612,240 | | | | 612,199 | |
| HSBC Home Equity Loan Trust, Series 2007-3, Class A4 | | | | | | | | | |
2.03% | | | 11/20/36 | 3 | | | 8,518,981 | | | | 8,548,093 | |
| HSBC Home Equity Loan Trust, Series 2007-3, Class APT | | | | | | | | | |
1.73% | | | 11/20/36 | 3 | | | 19,368,102 | | | | 19,372,084 | |
| HSI Asset Securitization Corp. Trust, Series 2006-OPT1, Class 2A3 | | | | | | | | | |
0.72% | | | 12/25/35 | 3 | | | 5,476,943 | | | | 5,442,008 | |
Impac CMB Trust, Series 2005-1, Class 1A1 | | | | | | | | | |
1.05% | | | 04/25/35 | 3 | | | 7,408,901 | | | | 6,725,364 | |
Impac CMB Trust, Series 2005-4, Class 1A1B | | | | | | | | | |
0.78% | | | 05/25/35 | 3 | | | 10,377,744 | | | | 9,023,331 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 75 / Semi-Annual Report September 2016 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed
(continued) | | | | | |
| Impac Secured Assets Trust, Series 2004-3, Class 1 | | | | | | | | | |
1.33% | | | 11/25/34 | 3 | | $ | 683,912 | | | $ | 673,860 | |
| Impac Secured Assets Trust, Series 2007-2, Class 1A1A | | | | | | | | | |
0.64% | | | 05/25/37 | 3 | | | 23,341,847 | | | | 16,512,816 | |
Impac Secured Assets Trust, Series 2007-2, Class 1A1B | | | | | | | | | |
0.78% | | | 05/25/37 | 3 | | | 33,409,075 | | | | 22,257,557 | |
IndyMac Index Mortgage Loan Trust, Series 2004-AR4, Class 1A | | | | | | | | | |
2.79% | | | 08/25/34 | 3 | | | 1,918,530 | | | | 1,711,897 | |
IndyMac Index Mortgage Loan Trust, Series 2004-AR5, Class 2A1B | | | | | | | | | |
1.33% | | | 08/25/34 | 3 | | | 25,400 | | | | 21,552 | |
IndyMac Index Mortgage Loan Trust, Series 2004-AR7, Class A2 | | | | | | | | | |
1.39% | | | 09/25/34 | 3 | | | 94,795 | | | | 84,645 | |
IndyMac Index Mortgage Loan
Trust, Series 2005-AR1, Class 4A1 | | | | | |
2.90% | | | 03/25/35 | 3 | | | 1,444,179 | | | | 1,428,541 | |
| IndyMac Index Mortgage Loan Trust, Series 2005-AR13, Class 4A1 | | | | | | | | | |
2.88% | | | 08/25/35 | 3 | | | 153,463 | | | | 135,680 | |
IndyMac Index Mortgage Loan Trust, Series 2005-AR15, Class A1 | | | | | | | | | |
3.03% | | | 09/25/35 | 3 | | | 688,935 | | | | 589,069 | |
IndyMac Index Mortgage Loan Trust, Series 2005-AR17, Class 3A1 | | | | | | | | | |
2.89% | | | 09/25/35 | 3 | | | 7,729,185 | | | | 6,515,263 | |
IndyMac Index Mortgage Loan Trust, Series 2005-AR19, Class A1 | | | | | | | | | |
3.02% | | | 10/25/35 | 3 | | | 46,139,385 | | | | 39,136,022 | |
| IndyMac Index Mortgage Loan Trust, Series 2005-AR31, Class 3A1 | | | | | | | | | |
2.81% | | | 01/25/36 | 3 | | | 2,786,034 | | | | 2,472,483 | |
IndyMac Index Mortgage Loan Trust, Series 2005-AR6, Class 2A1 | | | | | | | | | |
0.77% | | | 04/25/35 | 3 | | | 1,020,831 | | | | 892,559 | |
IndyMac Index Mortgage Loan Trust, Series 2006-AR19, Class 1A2 | | | | | | | | | |
3.25% | | | 08/25/36 | 3 | | | 24,608,795 | | | | 17,467,008 | |
IndyMac Index Mortgage Loan Trust, Series 2006-AR21, Class A1 | | | | | | | | | |
0.65% | | | 08/25/36 | 3 | | | 289,228 | | | | 232,007 | |
IndyMac Index Mortgage Loan Trust, Series 2006-AR27, Class 2A | | | | | | | | | |
0.73% | | | 10/25/36 | 3 | | | 40,552,281 | | | | 34,755,085 | |
IndyMac Index Mortgage Loan Trust, Series 2006-AR7,
Class 1A1 | | | | | | | | | |
3.19% | | | 05/25/36 | 3 | | | 6,329,167 | | | | 4,734,694 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed
(continued) | | | | | |
IndyMac Index Mortgage Loan Trust, Series 2006-AR7, Class 2A1 | | | | | | | | | |
3.19% | | | 05/25/36 | 3 | | $ | 43,030,397 | | | $ | 34,149,584 | |
IndyMac Index Mortgage Loan Trust, Series 2007-AR1, Class 1A2 | | | | | | | | | |
3.16% | | | 03/25/37 | 3 | | | 1,597,357 | | | | 1,541,669 | |
IndyMac Index Mortgage Loan Trust, Series 2007-AR11, Class 1A1 | | | | | | | | | |
2.84% | | | 06/25/37 | 3 | | | 6,319,655 | | | | 4,771,609 | |
IndyMac Index Mortgage Loan Trust, Series 2007-AR7, Class 1A1 | | | | | | | | | |
3.10% | | | 11/25/37 | 3 | | | 5,600,222 | | | | 5,245,946 | |
IndyMac Manufactured Housing Contract, Series 1997-1, Class A3 | | | | | | | | | |
6.61% | | | 02/25/28 | | | | 200,307 | | | | 203,250 | |
| JPMorgan Alternative Loan Trust, Series 2006-A2, Class 1A3 | | | | | | | | | |
0.70% | | | 05/25/36 | 3 | | | 867,724 | | | | 935,767 | |
JPMorgan Alternative Loan Trust, Series 2006-A2, Class 2A1 | | | | | | | | | |
3.06% | | | 05/25/36 | 3 | | | 1,309,425 | | | | 1,015,405 | |
| JPMorgan Alternative Loan Trust, Series 2006-A2, Class 5A1 | | | | | | | | | |
2.95% | | | 05/25/36 | 3 | | | 12,854,268 | | | | 8,897,787 | |
JPMorgan Mortgage Acquisition Trust, Series 2005-OPT2, Class A4 | | | | | | | | | |
0.85% | | | 12/25/35 | 3 | | | 10,208,600 | | | | 10,210,502 | |
JPMorgan Mortgage Acquisition Trust, Series 2006-WF1, Class A3A (STEP) | | | | | | | | | |
5.83% | | | 07/25/36 | | | | 30,404,312 | | | | 17,126,950 | |
JPMorgan Mortgage Acquisition Trust, Series 2006-WF1, Class A6 (STEP) | | | | | | | | | |
6.00% | | | 07/25/36 | | | | 6,223,172 | | | | 3,532,985 | |
JPMorgan Mortgage Acquisition Trust, Series 2007-CH1, Class AV5 | | | | | | | | | |
0.76% | | | 11/25/36 | 3 | | | 17,260,234 | | | | 17,126,021 | |
JPMorgan Mortgage Acquisition Trust, Series 2007-CH3, Class A4 | | | | | | | | | |
0.74% | | | 03/25/37 | 3 | | | 3,566,818 | | | | 3,335,376 | |
JPMorgan Mortgage Acquisition Trust, Series 2007-HE1, Class AF1 | | | | | | | | | |
0.62% | | | 03/25/47 | 3 | | | 184,431 | | | | 102,057 | |
JPMorgan Mortgage Acquisition Trust, Series 2007-HE1, Class AF2 (STEP) | | | | | | | | | |
4.59% | | | 03/25/47 | | | | 11,142,011 | | | | 7,858,194 | |
JPMorgan Mortgage Acquisition Trust, Series 2007-HE1, Class AF3 (STEP) | | | | | | | | | |
4.59% | | | 03/25/47 | | | | 9,692,719 | | | | 7,105,594 | |
JPMorgan Mortgage Acquisition Trust, Series 2007-HE1, Class AF4 (STEP) | | | | | | | | | |
4.59% | | | 03/25/47 | | | | 4,615,581 | | | | 3,253,638 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2016 / 76 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed
(continued) | | | | | |
| JPMorgan Mortgage Acquisition Trust, Series 2007-HE1, Class AV4 | | | | | | | | | |
0.81% | | | 03/25/47 | 3 | | $ | 240,000 | | | $ | 142,371 | |
| JPMorgan Mortgage Trust, Series 2003-A2, Class 2A3 | | | | | | | | | |
2.41% | | | 11/25/33 | 3 | | | 303,618 | | | | 294,349 | |
| JPMorgan Mortgage Trust, Series 2004-A4, Class 1A3 | | | | | | | | | |
3.29% | | | 09/25/34 | 3 | | | 1,263,711 | | | | 1,294,783 | |
| JPMorgan Mortgage Trust, Series 2005-A5, Class TA1 | | | | | | | | | |
3.06% | | | 08/25/35 | 3 | | | 223,168 | | | | 221,381 | |
| JPMorgan Mortgage Trust, Series 2005-S2, Class 4A3 | | | | | | | | | |
5.50% | | | 09/25/20 | | | | 5,014,274 | | | | 4,917,084 | |
| JPMorgan Mortgage Trust, Series 2006-A2, Class 5A3 | | | | | | | | | |
2.87% | | | 11/25/33 | 3 | | | 15,033 | | | | 15,106 | |
| JPMorgan Mortgage Trust, Series 2006-A3, Class 2A1 | | | | | | | | | |
2.99% | | | 05/25/36 | 3 | | | 2,263,842 | | | | 1,905,615 | |
| JPMorgan Mortgage Trust, Series 2006-A3, Class 3A3 | | | | | | | | | |
2.96% | | | 05/25/36 | 3 | | | 1,572,203 | | | | 1,408,244 | |
| JPMorgan Mortgage Trust, Series 2006-A4, Class 1A1 | | | | | | | | | |
3.16% | | | 06/25/36 | 3 | | | 1,148,688 | | | | 994,314 | |
| JPMorgan Mortgage Trust, Series 2006-A4, Class 1A4 | | | | | | | | | |
3.16% | | | 06/25/36 | 3 | | | 3,703,003 | | | | 3,320,446 | |
| JPMorgan Mortgage Trust, Series 2006-A5, Class 2A4 | | | | | | | | | |
3.10% | | | 08/25/36 | 3 | | | 853,242 | | | | 785,407 | |
| JPMorgan Mortgage Trust, Series 2007-A1, Class 5A2 | | | | | | | | | |
2.95% | | | 07/25/35 | 3 | | | 4,292,731 | | | | 4,356,778 | |
| JPMorgan Mortgage Trust, Series 2007-A3, Class 2A3 | | | | | | | | | |
2.93% | | | 05/25/37 | 3 | | | 5,585,821 | | | | 4,890,380 | |
| JPMorgan Mortgage Trust, Series 2007-A3, Class 3A2 | | | | | | | | | |
4.31% | | | 05/25/37 | 3 | | | 861,026 | | | | 802,964 | |
| JPMorgan Mortgage Trust, Series 2007-A4, Class 1A1 | | | | | | | | | |
2.96% | | | 06/25/37 | 3 | | | 7,593,403 | | | | 6,686,103 | |
| JPMorgan Mortgage Trust, Series 2007-A4, Class 2A3 | | | | | | | | | |
3.13% | | | 06/25/37 | 3 | | | 1,189,391 | | | | 1,101,624 | |
| JPMorgan Resecuritization Trust, Series 2015-1, Class 3A1 | | | | | | | | | |
0.71% | | | 12/27/46 | 3,4 | | | 27,810,091 | | | | 26,274,164 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed
(continued) | | | | | |
| Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A4 | | | | | | | | | |
5.27% | | | 04/15/40 | | | $ | 13,864 | | | $ | 14,330 | |
| Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A6 | | | | | | | | | |
6.47% | | | 04/15/40 | 3 | | | 4,015,767 | | | | 4,210,458 | |
| Lehman XS Trust, Series 2005-5N, Class 3A1A | | | | | | | | | |
0.83% | | | 11/25/35 | 3 | | | 19,023,772 | | | | 16,924,162 | |
| Lehman XS Trust, Series 2006-12N, Class A31A | | | | | | | | | |
0.73% | | | 08/25/46 | 3 | | | 30,682,490 | | | | 23,820,477 | |
| Lehman XS Trust, Series 2006-13, Class 1A2 | | | | | | | | | |
0.70% | | | 09/25/36 | 3 | | | 25,248,379 | | | | 22,916,095 | |
| Lehman XS Trust, Series 2006-14N, Class 3A2 | | | | | | | | | |
0.65% | | | 08/25/36 | 3 | | | 139,759 | | | | 107,337 | |
| Lehman XS Trust, Series 2006-9, Class A1B | | | | | | | | | |
0.69% | | | 05/25/46 | 3 | | | 29,692,895 | | | | 25,782,079 | |
| Long Beach Mortgage Loan Trust, Series 2004-4, Class M1 | | | | | | | | | |
1.43% | | | 10/25/34 | 3 | | | 71,431 | | | | 65,956 | |
| MASTR Adjustable Rate Mortgages Trust, Series 2003-6, Class 4A2 | | | | | | | | | |
2.93% | | | 01/25/34 | 3 | | | 113,616 | | | | 110,914 | |
| MASTR Adjustable Rate Mortgages Trust, Series 2003-7, Class 3A1 | | | | | | | | | |
2.30% | | | 11/25/33 | 3 | | | 1,904,770 | | | | 1,950,760 | |
| MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A1 | | | | | | | | | |
3.04% | | | 11/21/34 | 3 | | | 11,135,795 | | | | 11,394,681 | |
| MASTR Adjustable Rate Mortgages Trust, Series 2004-15, Class 9A1 | | | | | | | | | |
3.24% | | | 10/25/34 | 3 | | | 1,247,373 | | | | 1,195,739 | |
| MASTR Adjustable Rate Mortgages Trust, Series 2004-5, Class 3A1 | | | | | | | | | |
1.63% | | | 06/25/34 | 3 | | | 263 | | | | 253 | |
| MASTR Adjustable Rate Mortgages Trust, Series 2004-8, Class 2A1 | | | | | | | | | |
3.12% | | | 09/25/34 | 3 | | | 5,722,062 | | | | 5,609,676 | |
| MASTR Adjustable Rate Mortgages Trust, Series 2006-2, Class 5A1 | | | | | | | | | |
3.22% | | | 05/25/36 | 3 | | | 14,415,971 | | | | 11,970,603 | |
| MASTR Alternative Loan Trust, Series 2004-6, Class 3A1 | | | | | | | | | |
4.75% | | | 07/25/19 | | | | 1,560,269 | | | | 1,587,061 | |
| MASTR Asset Securitization Trust, Series 2002-8, Class 1A1 | | | | | | | | | |
5.50% | | | 12/25/17 | | | | 7,638 | | | | 7,662 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 77 / Semi-Annual Report September 2016 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity Date | | | Principal Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed
(continued) | | | | | |
| MASTR Asset Securitization Trust, Series 2003-8, Class 3A12 | | | | | | | | | |
5.25% | | | 09/25/33 | | | $ | 1,266,153 | | | $ | 1,363,265 | |
| MASTR Asset Securitization Trust, Series 2004-3, Class 3A2 | | | | | | | | | |
4.50% | | | 03/25/19 | | | | 656,753 | | | | 669,867 | |
| MASTR Asset-Backed Securities Trust, Series 2006-HE4, Class A3 | | | | | | | | | |
0.68% | | | 11/25/36 | 3 | | | 18,192,361 | | | | 8,177,862 | |
| MASTR Asset-Backed Securities Trust, Series 2006-HE4, Class A4 | | | | | | | | | |
0.74% | | | 11/25/36 | 3 | | | 5,053,434 | | | | 2,302,915 | |
| MASTR Asset-Backed Securities Trust, Series 2007-HE1, Class A3 | | | | | | | | | |
0.74% | | | 05/25/37 | 3 | | | 51,903,000 | | | | 40,802,215 | |
| MASTR Seasoned Securities Trust, Series 2004-1, Class 4A1 | | | | | | | | | |
2.92% | | | 10/25/32 | 3 | | | 28,313 | | | | 28,434 | |
| Mellon Residential Funding Corp., Series 2001-TBC1, Class A1 | | | | | | | | | |
1.22% | | | 11/15/31 | 3 | | | 2,765,399 | | | | 2,590,743 | |
| Merrill Lynch First Franklin Mortgage Loan Trust, Series 2005-FF4, Class M1 | | | | | | | | | |
1.17% | | | 05/25/35 | 3 | | | 258,879 | | | | 259,375 | |
| Merrill Lynch First Franklin Mortgage Loan Trust, Series 2006-5, Class 1A | | | | | | | | | |
0.68% | | | 04/25/36 | 3 | | | 44,014,590 | | | | 41,970,418 | |
| Merrill Lynch First Franklin Mortgage Loan Trust, Series 2006-FF13, Class A2C | | | | | | | | | |
0.69% | | | 10/25/36 | 3 | | | 5,577,209 | | | | 4,066,493 | |
| Merrill Lynch First Franklin Mortgage Loan Trust, Series 2006-FF18, Class A2B | | | | | | | | | |
0.64% | | | 12/25/37 | 3 | | | 16,778,833 | | | | 10,466,037 | |
| Merrill Lynch First Franklin Mortgage Loan Trust, Series 2006-FF18, Class A2C | | | | | | | | | |
0.69% | | | 12/25/37 | 3 | | | 46,143,421 | | | | 29,057,703 | |
| Merrill Lynch First Franklin Mortgage Loan Trust, Series 2006-FF18, Class A2D | | | | | | | | | |
0.74% | | | 12/25/37 | 3 | | | 33,443,449 | | | | 21,259,573 | |
| Merrill Lynch First Franklin Mortgage Loan Trust, Series 2006-FFS, Class IIA4 | | | | | | | | | |
0.76% | | | 07/25/36 | 3 | | | 31,440,000 | | | | 25,273,912 | |
| Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-1, Class A2B | | | | | | | | | |
0.70% | | | 04/25/37 | 3 | | | 17,840,146 | | | | 10,410,091 | |
| Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-1, Class A2C | | | | | | | | | |
0.78% | | | 04/25/37 | 3 | | | 74,731,683 | | | | 44,290,210 | |
| Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-2, Class A2C | | | | | | | | | |
0.77% | | | 05/25/37 | 3 | | | 45,688,338 | | | | 23,314,286 | |
| | | | | | | | | | | | |
| Issues | | Maturity Date | | | Principal Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed
(continued) | | | | | |
| Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-2, Class A2D | | | | | | | | | |
0.85% | | | 05/25/37 | 3 | | $ | 22,562,885 | | | $ | 13,827,129 | |
| Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-3, Class A2C | | | | | | | | | |
0.71% | | | 06/25/37 | 3 | | | 17,812,864 | | | | 12,211,205 | |
| Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-3, Class A2D | | | | | | | | | |
0.78% | | | 06/25/37 | 3 | | | 26,470,270 | | | | 19,323,300 | |
| Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-4, Class 2A2 | | | | | | | | | |
0.65% | | | 07/25/37 | 3 | | | 40,961,989 | | | | 26,291,612 | |
| Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-4, Class 2A3 | | | | | | | | | |
0.69% | | | 07/25/37 | 3 | | | 30,026,155 | | | | 19,384,499 | |
| Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-FF1, Class A2C | | | | | | | | | |
0.66% | | | 01/25/38 | 3 | | | 107,262,803 | | | | 66,755,263 | |
| Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-FF2, Class A2B | | | | | | | | | |
0.62% | | | 03/25/37 | 3 | | | 37,849,400 | | | | 22,258,415 | |
| Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-FF2, Class A2C | | | | | | | | | |
0.67% | | | 03/25/37 | 3 | | | 19,566,303 | | | | 11,608,257 | |
| Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-FF2, Class A2D | | | | | | | | | |
0.74% | | | 03/25/37 | 3 | | | 36,431,937 | | | | 21,879,476 | |
| Merrill Lynch Mortgage Backed Securities Trust, Series 2007-2, Class 1A1 | | | | | | | | | |
3.01% | | | 08/25/36 | 3 | | | 9,899,440 | | | | 9,156,535 | |
| Merrill Lynch Mortgage Investors Trust, Series 2003-A6, Class 2A | | | | | | | | | |
3.05% | | | 10/25/33 | 3 | | | 838,967 | | | | 827,394 | |
| Merrill Lynch Mortgage Investors Trust, Series 2004-A4, Class A1 | | | | | | | | | |
2.86% | | | 08/25/34 | 3 | | | 3,420,046 | | | | 3,468,989 | |
| Merrill Lynch Mortgage Investors Trust, Series 2005-A10, Class A | | | | | | | | | |
0.74% | | | 02/25/36 | 3 | | | 20,953 | | | | 19,623 | |
| Merrill Lynch Mortgage Investors, Inc., Series 2006-WMC2, Class A2B (STEP) | | | | | | | | | |
4.19% | | | 03/25/37 | | | | 35,566,056 | | | | 12,261,908 | |
| Merrill Lynch Mortgage Investors, Inc., Series 2006-WMC2, Class A2D (STEP) | | | | | | | | | |
4.19% | | | 03/25/37 | | | | 27,836,328 | | | | 9,590,023 | |
| Mid-State Trust VI, Series 2006, Class A1 | | | | | | | | | |
7.34% | | | 07/01/35 | | | | 87,881 | | | | 93,744 | |
| Mid-State Trust VI, Series 2006, Class A2 | | | | | | | | | |
7.40% | | | 07/01/35 | | | | 5,493 | | | | 5,821 | |
| Mid-State Trust XI, Series 2011, Class A1 | | | | | | | | | |
4.86% | | | 07/15/38 | | | | 330,476 | | | | 354,388 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2016 / 78 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity Date | | | Principal Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed
(continued) | | | | | |
| Mid-State Trust, Series 2004-1, Class A | | | | | | | | | |
6.01% | | | 08/15/37 | | | $ | 461,124 | | | $ | 504,162 | |
| Mid-State Trust, Series 2005-1, Class A | | | | | | | | | |
5.75% | | | 01/15/40 | | | | 21,582,550 | | | | 23,292,110 | |
| Mid-State Trust, Series 2006-1, Class A | | | | | | | | | |
5.79% | | | 10/15/40 | 4 | | | 14,740,173 | | | | 15,864,065 | |
| Morgan Stanley Capital I Trust, Series 2006-NC1, Class A4 | | | | | | | | | |
0.83% | | | 12/25/35 | 3 | | | 15,560,399 | | | | 15,356,994 | |
| Morgan Stanley Home Equity Loan Trust, Series 2005-04, Class A1 | | | | | | | | | |
1.01% | | | 09/25/35 | 3 | | | 2,431,831 | | | | 2,435,058 | |
| Morgan Stanley Mortgage Loan Trust, Series 2004-11AR, Class 1A1 | | | | | | | | | |
0.85% | | | 01/25/35 | 3 | | | 310,059 | | | | 288,083 | |
| Morgan Stanley Mortgage Loan Trust, Series 2004-3, Class 2A2 | | | | | | | | | |
5.50% | | | 04/25/34 | | | | 308,050 | | | | 312,856 | |
| Morgan Stanley Mortgage Loan Trust, Series 2004-7AR, Class 2A4 | | | | | | | | | |
2.56% | | | 09/25/34 | 3 | | | 1,973,997 | | | | 1,921,247 | |
| Morgan Stanley Mortgage Loan Trust, Series 2004-8AR, Class 4A1 | | | | | | | | | |
2.96% | | | 10/25/34 | 3 | | | 168,708 | | | | 168,440 | |
| Morgan Stanley Mortgage Loan Trust, Series 2005-2AR, Class A | | | | | | | | | |
0.79% | | | 04/25/35 | 3 | | | 7,671,135 | | | | 7,212,292 | |
| Morgan Stanley Mortgage Loan Trust, Series 2006-7, Class 5A2 | | | | | | | | | |
5.96% | | | 06/25/36 | 3 | | | 219,170 | | | | 109,098 | |
| Morgan Stanley Mortgage Loan Trust, Series 2007-6XS, Class 1A2S (STEP) | | | | | | | | | |
5.50% | | | 02/25/47 | | | | 509,609 | | | | 533,618 | |
| Morgan Stanley Mortgage Loan Trust, Series 2007-7AX, Class 2A1 | | | | | | | | | |
0.65% | | | 04/25/37 | 3 | | | 6,562,214 | | | | 3,204,130 | |
| Morgan Stanley Resecuritization Trust, Series 2010-R4, Class 1B | | | | | | | | | |
0.85% | | | 01/26/36 | 3,4 | | | 760,521 | | | | 761,805 | |
| Morgan Stanley Resecuritization Trust, Series 2013-R9, Class 3A | | | | | | | | | |
2.60% | | | 06/26/46 | 3,4 | | | 11,179,403 | | | | 11,181,497 | |
| Morgan Stanley Resecuritization Trust, Series 2014-R2, Class 1A | | | | | | | | | |
1.31% | | | 12/26/46 | 3,4 | | | 26,944,887 | | | | 26,145,322 | |
| Morgan Stanley Resecuritization Trust, Series 2014-R3, Class 4A | | | | | | | | | |
1.47% | | | 07/26/46 | 3,4 | | | 13,226,956 | | | | 12,933,934 | |
| Morgan Stanley Resecuritization Trust, Series 2014-R4, Class 2A | | | | | | | | | |
3.12% | | | 11/26/35 | 3,4 | | | 6,362,946 | | | | 6,434,304 | |
| | | | | | | | | | | | |
| Issues | | Maturity Date | | | Principal Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed
(continued) | | | | | |
| Morgan Stanley Resecuritization Trust, Series 2014-R8, Class 3A | | | | | | | | | |
1.24% | | | 06/26/47 | 3,4 | | $ | 48,934,999 | | | $ | 47,261,921 | |
| Morgan Stanley Resecuritization Trust, Series 2014-R8, Class 4A | | | | | | | | | |
1.45% | | | 06/26/47 | 3,4 | | | 21,160,381 | | | | 20,682,794 | |
| Morgan Stanley Resecuritization Trust, Series 2015-R4, Class 2A | | | | | | | | | |
0.92% | | | 08/26/47 | 3,4 | | | 26,969,181 | | | | 25,823,746 | |
| MortgageIT Trust, Series 2005-1, Class 1A1 | | | | | | | | | |
1.17% | | | 02/25/35 | 3 | | | 14,840,290 | | | | 14,154,397 | |
| MortgageIT Trust, Series 2005-4, Class A1 | | | | | | | | | |
0.81% | | | 10/25/35 | 3 | | | 17,887,190 | | | | 16,247,475 | |
| MortgageIT Trust, Series 2005-5, Class A1 | | | | | | | | | |
0.79% | | | 12/25/35 | 3 | | | 2,526,784 | | | | 2,270,488 | |
| Nationstar Home Equity Loan Trust, Series 2006-B, Class AV4 | | | | | | | | | |
0.81% | | | 09/25/36 | 3 | | | 25,679,185 | | | | 23,966,842 | |
| Nationstar Home Equity Loan Trust, Series 2007-C, Class 2AV4 | | | | | | | | | |
0.78% | | | 06/25/37 | 3 | | | 8,265,000 | | | | 6,224,133 | |
| New Century Home Equity Loan Trust, Series 2003-6, Class M1 | | | | | | | | | |
1.61% | | | 01/25/34 | 3 | | | 36,634 | | | | 33,541 | |
| New Century Home Equity Loan Trust, Series 2005-2, Class M1 | | | | | | | | | |
1.17% | | | 06/25/35 | 3 | | | 18,180 | | | | 18,277 | |
| New Century Home Equity Loan Trust, Series 2005-4, Class M1 | | | | | | | | | |
1.01% | | | 09/25/35 | 3 | | | 22,105,477 | | | | 21,934,432 | |
| New Century Home Equity Loan Trust, Series 2005-B, Class A1 | | | | | | | | | |
0.78% | | | 10/25/35 | 3 | | | 30,139,378 | | | | 30,088,342 | |
| Newcastle Mortgage Securities Trust, Series 2006-1, Class A4 | | | | | | | | | |
0.81% | | | 03/25/36 | 3 | | | 37,040,275 | | | | 37,059,534 | |
| Nomura Home Equity Loan, Inc., Series 2006-HE2, Class A4 | | | | | | | | | |
0.80% | | | 03/25/36 | 3 | | | 24,732,000 | | | | 21,849,676 | |
| Nomura Home Equity Loan, Inc., Series 2006-WF1, Class A4 | | | | | | | | | |
0.77% | | | 03/25/36 | 3 | | | 20,680,931 | | | | 20,649,627 | |
| Nomura Resecuritization Trust, Series 2011-4RA, Class 1A1 | | | | | | | | | |
2.60% | | | 12/26/36 | 3,4 | | | 18,536,232 | | | | 18,591,400 | |
| Nomura Resecuritization Trust, Series 2011-4RA, Class 2A1 | | | | | | | | | |
2.54% | | | 06/26/37 | 3,4 | | | 8,082,388 | | | | 8,081,294 | |
| Nomura Resecuritization Trust, Series 2013-1R, Class 2A1 | | | | | | | | | |
0.71% | | | 11/26/36 | 3,4 | | | 10,796,706 | | | | 10,410,998 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 79 / Semi-Annual Report September 2016 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed
(continued) | | | | | |
| Nomura Resecuritization Trust, Series 2013-1R, Class 3A1 | | | | | | | | | |
0.68% | | | 10/26/36 | 3,4 | | $ | 2,739,733 | | | $ | 2,713,899 | |
| Nomura Resecuritization Trust, Series 2014-4R, Class 1A1 | | | | | | | | | |
2.69% | | | 01/25/36 | 3,4 | | | 16,830,253 | | | | 16,996,778 | |
| Nomura Resecuritization Trust, Series 2014-4R, Class 3A1 | | | | | | | | | |
0.67% | | | 09/25/36 | 3,4 | | | 8,802,189 | | | | 8,488,373 | |
| Nomura Resecuritization Trust, Series 2014-7R, Class 2A1 | | | | | | | | | |
0.72% | | | 12/26/35 | 3,4 | | | 2,496,818 | | | | 2,493,166 | |
| Nomura Resecuritization Trust, Series 2014-7R, Class 4A1 | | | | | | | | | |
0.65% | | | 01/26/37 | 3,4 | | | 36,314,875 | | | | 34,581,257 | |
| Nomura Resecuritization Trust, Series 2015-4R, Class 1A1 | | | | | | | | | |
0.64% | | | 03/26/47 | 3,4 | | | 20,683,453 | | | | 20,328,831 | |
| Oakwood Mortgage Investors, Inc., Series 2000-A, Class A5 | | | | | | | | | |
8.16% | | | 09/15/29 | 3 | | | 23,941,149 | | | | 16,774,005 | |
| Option One Mortgage Loan Trust, Series 2005-4, Class A3 | | | | | | | | | |
0.79% | | | 11/25/35 | 3 | | | 11,663 | | | | 11,655 | |
| Option One Mortgage Loan Trust, Series 2005-5, Class A3 | | | | | | | | | |
0.74% | | | 12/25/35 | 3 | | | 19,588 | | | | 19,518 | |
| Ownit Mortgage Loan Asset-Backed Certificates, Series 2006-4, Class A2D | | | | | | | | | |
0.77% | | | 05/25/37 | 3 | | | 29,142,293 | | | | 21,608,614 | |
| Park Place Securities, Inc., Series 2005-WHQ4, Class A1A | | | | | | | | | |
0.79% | | | 09/25/35 | 3 | | | 18,054,003 | | | | 18,074,546 | |
| Popular ABS Mortgage Pass-Through Trust, Series 2005-6, Class A5 (STEP) | | | | | | | | | |
4.19% | | | 01/25/36 | | | | 22,910,000 | | | | 19,658,203 | |
| Popular ABS Mortgage Pass-Through Trust, Series 2006-D, Class A3 | | | | | | | | | |
0.79% | | | 11/25/46 | 3 | | | 85,000 | | | | 76,581 | |
| Popular ABS Mortgage Pass-Through Trust, Series 2007-A, Class A3 | | | | | | | | | |
0.84% | | | 06/25/47 | 3 | | | 23,015,500 | | | | 16,476,861 | |
| Provident Funding Mortgage Loan Trust, Series 2003-1, Class A | | | | | | | | | |
2.91% | | | 08/25/33 | 3 | | | 1,019,501 | | | | 1,020,571 | |
| Residential Accredit Loans Trust, Series 2003-QS3, Class A4 | | | | | | | | | |
5.50% | | | 02/25/18 | | | | 43,931 | | | | 44,000 | |
| Residential Accredit Loans Trust, Series 2005-QA10, Class A31 | | | | | | | | | |
3.95% | | | 09/25/35 | 3 | | | 810,958 | | | | 673,766 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed
(continued) | | | | | |
| Residential Accredit Loans Trust, Series 2005-QA12, Class CB1 | | | | | | | | | |
3.80% | | | 12/25/35 | 3 | | $ | 6,468,943 | | | $ | 4,507,631 | |
| Residential Accredit Loans Trust, Series 2005-QA4, Class A41 | | | | | | | | | |
3.33% | | | 04/25/35 | 3 | | | 5,179,797 | | | | 5,027,195 | |
| Residential Accredit Loans Trust, Series 2005-QA7, Class A1 | | | | | | | | | |
3.54% | | | 07/25/35 | 3 | | | 5,957,479 | | | | 4,681,558 | |
| Residential Accredit Loans Trust, Series 2005-QO5, Class A1 | | | | | | | | | |
1.51% | | | 01/25/46 | 3 | | | 10,906,528 | | | | 8,160,155 | |
| Residential Accredit Loans Trust, Series 2006-QA1, Class A11 | | | | | | | | | |
3.54% | | | 01/25/36 | 3 | | | 166,440 | | | | 127,730 | |
| Residential Accredit Loans Trust, Series 2006-QA1, Class A21 | | | | | | | | | |
4.07% | | | 01/25/36 | 3 | | | 26,084,192 | | | | 21,290,022 | |
| Residential Accredit Loans Trust, Series 2006-QA7, Class 2A1 | | | | | | | | | |
0.71% | | | 08/25/36 | 3 | | | 40,244,762 | | | | 30,788,877 | |
| Residential Accredit Loans Trust, Series 2006-QS10, Class AV (IO) | | | | | | | | | |
0.57% | | | 08/25/36 | 3,5 | | | 45,319,664 | | | | 1,114,832 | |
| Residential Accredit Loans Trust, Series 2006-QS12, Class 2A9 | | | | | | | | | |
0.91% | | | 09/25/36 | 3 | | | 402,108 | | | | 279,541 | |
| Residential Accredit Loans Trust, Series 2006-QS2, Class 1AV (IO) | | | | | | | | | |
0.49% | | | 02/25/36 | 3,5 | | | 158,190,515 | | | | 3,146,077 | |
| Residential Accredit Loans Trust, Series 2006-QS7, Class AV (IO) | | | | | | | | | |
0.66% | | | 06/25/36 | 3,5 | | | 81,561,049 | | | | 1,997,622 | |
| Residential Accredit Loans Trust, Series 2006-QS8, Class AV (IO) | | | | | | | | | |
0.78% | | | 08/25/36 | 3,5 | | | 192,676,241 | | | | 6,048,338 | |
| Residential Accredit Loans Trust, Series 2007-QS10, Class AV (IO) | | | | | | | | | |
0.46% | | | 09/25/37 | 3,5 | | | 120,907,614 | | | | 2,199,672 | |
| Residential Accredit Loans Trust, Series 2007-QS4, Class 3AV (IO) | | | | | | | | | |
0.38% | | | 03/25/37 | 3,5 | | | 77,765,138 | | | | 1,078,408 | |
| Residential Accredit Loans Trust, Series 2007-QS5, Class AV (IO) | | | | | | | | | |
0.25% | | | 03/25/37 | 3,5 | | | 94,722,990 | | | | 1,197,355 | |
| Residential Accredit Loans Trust, Series 2007-QS6, Class AV (IO) | | | | | | | | | |
0.33% | | | 04/25/37 | 3,5 | | | 206,321,483 | | | | 3,098,495 | |
| Residential Accredit Loans Trust, Series 2007-QS7, Class 2AV (IO) | | | | | | | | | |
0.37% | | | 06/25/37 | 3,5 | | | 60,037,927 | | | | 925,479 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2016 / 80 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed
(continued) | | | | | |
| Residential Accredit Loans Trust, Series 2007-QS8, Class AV (IO) | | | | | | | | | |
0.39% | | | 06/25/37 | 3,5 | | $ | 162,142,791 | | | $ | 2,382,445 | |
| Residential Asset Mortgage Products Trust, Series 2004-SL3, Class A2 | | | | | | | | | |
6.50% | | | 12/25/31 | | | | 43,080 | | | | 43,846 | |
| Residential Asset Mortgage Products Trust, Series 2003-RS10, Class AI6 (STEP) | | | | | | | | | |
5.78% | | | 11/25/33 | | | | 398,027 | | | | 406,912 | |
| Residential Asset Mortgage Products Trust, Series 2003-RS11, Class AI6A (STEP) | | | | | | | | | |
5.89% | | | 12/25/33 | | | | 240,304 | | | | 253,707 | |
| Residential Asset Mortgage Products Trust, Series 2003-RS9, Class AI6A (STEP) | | | | | | | | | |
5.84% | | | 10/25/33 | | | | 21,539 | | | | 22,764 | |
| Residential Asset Mortgage Products Trust, Series 2004-RS12, Class AI6 | | | | | | | | | |
4.55% | | | 12/25/34 | | | | 2,758 | | | | 2,783 | |
| Residential Asset Mortgage Products Trust, Series 2004-SL1, Class A8 | | | | | | | | | |
6.50% | | | 11/25/31 | | | | 57,407 | | | | 58,327 | |
| Residential Asset Mortgage Products Trust, Series 2004-SL3, Class A4 | | | | | | | | | |
8.50% | | | 12/25/31 | | | | 37,282 | | | | 30,221 | |
| Residential Asset Mortgage Products Trust, Series 2005-RS8, Class A3 | | | | | | | | | |
0.90% | | | 09/25/35 | 3 | | | 37,490,882 | | | | 37,506,825 | |
| Residential Asset Securities Trust, Series 2004-IP2, Class 1A1 | | | | | | | | | |
2.92% | | | 12/25/34 | 3 | | | 388,548 | | | | 393,872 | |
| Residential Asset Securities Trust, Series 2004-IP2, Class 2A1 | | | | | | | | | |
3.02% | | | 12/25/34 | 3 | | | 39,916 | | | | 39,894 | |
| Residential Asset Securities Trust, Series 2004-IP2, Class 3A1 | | | | | | | | | |
2.92% | | | 12/25/34 | 3 | | | 865,991 | | | | 860,027 | |
| Residential Asset Securities Trust, Series 2006-A7CB, Class 1A3 | | | | | | | | | |
6.25% | | | 07/25/36 | | | | 3,740,161 | | | | 3,579,546 | |
| Residential Funding Mortgage Securities Trust, Series 2004-S6, Class 1A6 | | | | | | | | | |
5.50% | | | 06/25/34 | | | | 567,441 | | | | 577,120 | |
| Residential Funding Mortgage Securities Trust, Series 2005-SA5, Class 1A | | | | | | | | | |
3.19% | | | 11/25/35 | 3 | | | 9,760,943 | | | | 8,110,204 | |
| Residential Funding Mortgage Securities Trust, Series 2006-SA3, Class 3A1 | | | | | | | | | |
3.97% | | | 09/25/36 | 3 | | | 1,660,222 | | | | 1,415,570 | |
| Residential Funding Mortgage Securities Trust, Series 2006-SA3, Class 4A1 | | | | | | | | | |
4.60% | | | 09/25/36 | 3 | | | 603,526 | | | | 498,921 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed
(continued) | | | | | |
| Residential Funding Mortgage Securities Trust, Series 2006-SA4, Class 2A1 | | | | | | | | | |
4.12% | | | 11/25/36 | 3 | | $ | 183,572 | | | $ | 162,156 | |
| Residential Funding Mortgage Securities Trust, Series 2007-SA2, Class 2A2 | | | | | | | | | |
3.47% | | | 04/25/37 | 3 | | | 3,617,751 | | | | 3,100,299 | |
| Saxon Asset Securities Trust, Series 2001-2, Class AF6 (STEP)8 | | | | | | | | | |
6.81% | | | 06/25/16 | 9 | | | 10,857 | | | | 10,873 | |
| Saxon Asset Securities Trust, Series 2005-2, Class M1 | | | | | | | | | |
1.16% | | | 10/25/35 | 3 | | | 7,762,796 | | | | 7,721,110 | |
| Saxon Asset Securities Trust, Series 2007-1, Class A2C | | | | | | | | | |
0.68% | | | 01/25/47 | 3 | | | 12,266,000 | | | | 10,504,639 | |
| Saxon Asset Securities Trust, Series 2007-3, Class 2A3 | | | | | | | | | |
0.93% | | | 09/25/47 | 3 | | | 32,174,000 | | | | 23,365,566 | |
| Securitized Asset Backed Receivables LLC Trust, Series 2007-BR1, Class A2A | | | | | | | | | |
0.64% | | | 02/25/37 | 3 | | | 7,611,846 | | | | 4,130,720 | |
| Securitized Asset Backed Receivables LLC Trust, Series 2007-BR1, Class A2B | | | | | | | | | |
0.80% | | | 02/25/37 | 3 | | | 37,681,018 | | | | 22,092,412 | |
| Securitized Asset Backed Receivables LLC Trust, Series 2007-BR2, Class A2 | | | | | | | | | |
0.76% | | | 02/25/37 | 3 | | | 62,358,176 | | | | 34,154,081 | |
| Securitized Asset Backed Receivables LLC Trust, Series 2007-BR5, Class A2A | | | | | | | | | |
0.66% | | | 05/25/37 | 3 | | | 23,791,248 | | | | 18,624,560 | |
| Securitized Asset Backed Receivables LLC Trust, Series 2007-BR5, Class A2C | | | | | | | | | |
0.88% | | | 05/25/37 | 3 | | | 17,943,153 | | | | 14,496,726 | |
| Securitized Asset Backed Receivables LLC Trust, Series 2007-NC1, Class A2B | | | | | | | | | |
0.68% | | | 12/25/36 | 3 | | | 42,598,611 | | | | 23,943,678 | |
| Securitized Asset Backed Receivables LLC Trust, Series 2007-NC2, Class A2B | | | | | | | | | |
0.67% | | | 01/25/37 | 3 | | | 24,016,449 | | | | 16,197,388 | |
| Sequoia Mortgage Trust, Series 2003-2, Class A1 | | | | | | | | | |
1.19% | | | 06/20/33 | 3 | | | 2,068 | | | | 1,908 | |
| Sequoia Mortgage Trust, Series 2003-8, Class A1 | | | | | | | | | |
1.17% | | | 01/20/34 | 3 | | | 3,266 | | | | 2,972 | |
| Sequoia Mortgage Trust, Series 2004-3, Class A | | | | | | | | | |
1.40% | | | 05/20/34 | 3 | | | 893,360 | | | | 856,348 | |
| SG Mortgage Securities Trust, Series 2007-NC1, Class A2 | | | | | | | | | |
0.77% | | | 12/25/36 | 3,4 | | | 19,762,164 | | | | 12,332,561 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 81 / Semi-Annual Report September 2016 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed
(continued) | | | | | |
| Soundview Home Loan Trust, Series 2006-1, Class A3 | | | | | | | | | |
0.72% | | | 02/25/36 | 3 | | $ | 1,786,341 | | | $ | 1,784,815 | |
| Soundview Home Loan Trust, Series 2006-EQ1, Class A4 | | | | | | | | | |
0.78% | | | 10/25/36 | 3 | | | 14,062,000 | | | | 10,409,245 | |
| Soundview Home Loan Trust, Series 2006-WF2, Class A2C | | | | | | | | | |
0.67% | | | 12/25/36 | 3 | | | 5,715,873 | | | | 5,708,672 | |
| STRU TCW-1064 Coll | | | | | | | | | |
2.54% | | | 11/01/28 | | | | 35,120,000 | | | | 35,509,613 | |
| STRU TCW-1065 Coll | | | | | | | | | |
2.34% | | | 11/28/26 | | | | 28,210,000 | | | | 28,359,795 | |
| Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 3A3 | | | | | | | | | |
2.94% | | | 02/25/34 | 3 | | | 31,436 | | | | 31,550 | |
| Structured Adjustable Rate Mortgage Loan Trust, Series 2004-12, Class 2A | | | | | | | | | |
2.98% | | | 09/25/34 | 3 | | | 16,729,611 | | | | 16,515,114 | |
| Structured Adjustable Rate Mortgage Loan Trust, Series 2004-14, Class 1A | | | | | | | | | |
2.90% | | | 10/25/34 | 3 | | | 359,145 | | | | 343,463 | |
| Structured Adjustable Rate Mortgage Loan Trust, Series 2004-14, Class 2A | | | | | | | | | |
2.94% | | | 10/25/34 | 3 | | | 17,642,552 | | | | 17,994,323 | |
| Structured Adjustable Rate Mortgage Loan Trust, Series 2004-15, Class A | | | | | | | | | |
2.97% | | | 10/25/34 | 3 | | | 4,433,222 | | | | 4,335,008 | |
| Structured Adjustable Rate Mortgage Loan Trust, Series 2004-16, Class 3A1 | | | | | | | | | |
3.00% | | | 11/25/34 | 3 | | | 14,362,725 | | | | 14,205,285 | |
| Structured Adjustable Rate Mortgage Loan Trust, Series 2004-17, Class A1 | | | | | | | | | |
1.53% | | | 11/25/34 | 3 | | | 77,415 | | | | 69,551 | |
| Structured Adjustable Rate Mortgage Loan Trust, Series 2004-20, Class 1A2 | | | | | | | | | |
2.93% | | | 01/25/35 | 3 | | | 1,225,733 | | | | 1,172,414 | |
| Structured Adjustable Rate Mortgage Loan Trust, Series 2005-12, Class 3A1 | | | | | | | | | |
2.93% | | | 06/25/35 | 3 | | | 4,048,712 | | | | 3,749,933 | |
| Structured Adjustable Rate Mortgage Loan Trust, Series 2006-12, Class 1A1 | | | | | | | | | |
0.69% | | | 01/25/37 | 3 | | | 60,427,960 | | | | 47,978,018 | |
| Structured Adjustable Rate Mortgage Loan Trust, Series 2007-9, Class 2A1 | | | | | | | | | |
3.19% | | | 10/25/47 | 3 | | | 1,406,355 | | | | 1,142,745 | |
| Structured Asset Investment Loan Trust, Series 2005-HE3, Class A5 | | | | | | | | | |
1.25% | | | 09/25/35 | 3 | | | 12,118,464 | | | | 12,158,471 | |
| Structured Asset Investment Loan Trust, Series 2006-1, Class A3 | | | | | | | | | |
0.73% | | | 01/25/36 | 3 | | | 10,821,882 | | | | 10,689,014 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed
(continued) | | | | | |
| Structured Asset Mortgage Investments II Trust, Series 2006-AR3, Class 24A1 | | | | | | | | | |
2.74% | | | 05/25/36 | 3 | | $ | 661,936 | | | $ | 368,957 | |
| Structured Asset Securities Corp. Mortgage Loan Trust, Series 2004-23XS, Class 2A1 | | | | | | | | | |
0.83% | | | 01/25/35 | 3 | | | 3,309,516 | | | | 2,965,416 | |
| Structured Asset Securities Corp. Mortgage Loan Trust, Series 2006-WF2, Class A4 | | | | | | | | | |
0.84% | | | 07/25/36 | 3 | | | 35,375,555 | | | | 34,158,248 | |
| Structured Asset Securities Corp. Mortgage Loan Trust, Series 2006-WF3, Class A1 | | | | | | | | | |
0.67% | | | 09/25/36 | 3 | | | 16,436,474 | | | | 16,173,306 | |
| Structured Asset Securities Corp. Mortgage Loan Trust, Series 2006-WF3, Class A3 | | | | | | | | | |
0.68% | | | 09/25/36 | 3 | | | 1,232,410 | | | | 1,230,071 | |
| Structured Asset Securities Corp. Mortgage Loan Trust, Series 2007-BC4, Class A3 | | | | | | | | | |
0.78% | | | 11/25/37 | 3 | | | 400,925 | | | | 400,804 | |
| Structured Asset Securities Corp., Series 1997-2, Class 2A4 | | | | | | | | | |
7.25% | | | 03/28/30 | | | | 2,088 | | | | 2,109 | |
| Structured Asset Securities Corp., Series 2001-15A, Class 4A1 | | | | | | | | | |
2.68% | | | 10/25/31 | 3 | | | 9,897 | | | | 9,886 | |
| Structured Asset Securities Corp., Series 2003-26A, Class 3A5 | | | | | | | | | |
2.96% | | | 09/25/33 | 3 | | | 344,363 | | | | 338,275 | |
| Structured Asset Securities Corp., Series 2003-34A, Class 5A4 | | | | | | | | | |
2.96% | | | 11/25/33 | 3 | | | 2,691,147 | | | | 2,714,951 | |
| Structured Asset Securities Corp., Series 2004-2AC, Class A1 | | | | | | | | | |
2.92% | | | 02/25/34 | 3 | | | 24,005 | | | | 24,024 | |
| Structured Asset Securities Corp., Series 2005-17, Class 4A4 | | | | | | | | | |
5.50% | | | 10/25/35 | | | | 4,976,234 | | | | 5,125,411 | |
| Structured Asset Securities Corp., Series 2005-5, Class 2A4 | | | | | | | | | |
5.50% | | | 04/25/35 | | | | 4,789,013 | | | | 4,664,903 | |
| Structured Asset Securities Corp., Series 2006-WF1, Class A5 | | | | | | | | | |
0.83% | | | 02/25/36 | 3 | | | 2,131,986 | | | | 2,134,619 | |
| Suntrust Adjustable Rate Mortgage Loan Trust, Series 2007-3, Class 1A1 | | | | | | | | | |
3.14% | | | 06/25/37 | 3 | | | 9,763,145 | | | | 8,711,469 | |
| Thornburg Mortgage Securities Trust, Series 2004-4, Class 2A | | | | | | | | | |
2.27% | | | 12/25/44 | 3 | | | 221,744 | | | | 215,643 | |
| Vanderbilt Acquisition Loan Trust, Series 2002-1, Class A4 | | | | | | | | | |
6.57% | | | 05/07/27 | 3 | | | 712,364 | | | | 725,628 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2016 / 82 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed
(continued) | | | | | |
| Wachovia Mortgage Loan Trust LLC, Series 2006-ALT1, Class A3 | | | | | | | | | |
0.76% | | | 01/25/37 | 3 | | $ | 26,175,177 | | | $ | 16,678,032 | |
| WaMu Asset-Backed Certificates, Series 2007-HE1, Class 2A2 | | | | | | | | | |
0.64% | | | 01/25/37 | 3 | | | 5,152,103 | | | | 2,978,918 | |
| WaMu Asset-Backed Certificates, Series 2007-HE1, Class 2A3 | | | | | | | | | |
0.68% | | | 01/25/37 | 3 | | | 47,559,708 | | | | 27,700,767 | |
| WaMu Asset-Backed Certificates, Series 2007-HE1, Class 2A4 | | | | | | | | | |
0.76% | | | 01/25/37 | 3 | | | 15,964,991 | | | | 9,433,740 | |
| WaMu Mortgage Pass-Through Certificates, Series 2002-AR1, Class 1A1 | | | | | | | | | |
2.55% | | | 11/25/30 | 3 | | | 437,704 | | | | 437,649 | |
| WaMu Mortgage Pass-Through Certificates, Series 2003-AR6, Class A1 | | | | | | | | | |
2.90% | | | 06/25/33 | 3 | | | 8,690,034 | | | | 8,665,682 | |
| WaMu Mortgage Pass-Through Certificates, Series 2004-AR3, Class A2 | | | | | | | | | |
2.78% | | | 06/25/34 | 3 | | | 77,008 | | | | 77,718 | |
| WaMu Mortgage Pass-Through Certificates, Series 2004-AR6, Class A | | | | | | | | | |
0.95% | | | 05/25/44 | 3 | | | 3,207,560 | | | | 3,039,608 | |
| WaMu Mortgage Pass-Through Certificates, Series 2005-3, Class 2A3 | | | | | | | | | |
1.08% | | | 05/25/35 | 3 | | | 5,394,297 | | | | 3,792,656 | |
| WaMu Mortgage Pass-Through Certificates, Series 2005-4, Class CB13 | | | | | | | | | |
1.03% | | | 06/25/35 | 3 | | | 9,374,019 | | | | 7,498,133 | |
| WaMu Mortgage Pass-Through Certificates, Series 2005-AR1, Class A1A | | | | | | | | | |
1.17% | | | 01/25/45 | 3 | | | 1,293,236 | | | | 1,234,315 | |
| WaMu Mortgage Pass-Through Certificates, Series 2005-AR11, Class A1A | | | | | | | | | |
0.84% | | | 08/25/45 | 3 | | | 67,046,425 | | | | 65,208,294 | |
| WaMu Mortgage Pass-Through Certificates, Series 2005-AR12, Class 1A6 | | | | | | | | | |
2.72% | | | 10/25/35 | 3 | | | 2,667,499 | | | | 2,568,510 | |
| WaMu Mortgage Pass-Through Certificates, Series 2005-AR13, Class A1A1 | | | | | | | | | |
0.82% | | | 10/25/45 | 3 | | | 10,406,097 | | | | 9,951,581 | |
| WaMu Mortgage Pass-Through Certificates, Series 2005-AR14, Class 2A1 | | | | | | | | | |
2.71% | | | 12/25/35 | 3 | | | 8,595,793 | | | | 7,886,574 | |
| WaMu Mortgage Pass-Through Certificates, Series 2005-AR15, Class A1A1 | | | | | | | | | |
0.79% | | | 11/25/45 | 3 | | | 46,617,026 | | | | 43,817,958 | |
| WaMu Mortgage Pass-Through Certificates, Series 2005-AR17, Class A1A1 | | | | | | | | | |
0.80% | | | 12/25/45 | 3 | | | 21,832,135 | | | | 20,647,849 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed
(continued) | | | | | |
| WaMu Mortgage Pass-Through Certificates, Series 2005-AR19, Class A1A2 | | | | | | | | | |
0.82% | | | 12/25/45 | 3 | | $ | 30,037,604 | | | $ | 28,071,859 | |
| WaMu Mortgage Pass-Through Certificates, Series 2005-AR2, Class 1A1A | | | | | | | | | |
0.86% | | | 01/25/45 | 3 | | | 22,151,940 | | | | 20,392,035 | |
| WaMu Mortgage Pass-Through Certificates, Series 2005-AR2, Class 2A1A | | | | | | | | | |
0.84% | | | 01/25/45 | 3 | | | 2,174,305 | | | | 2,048,351 | |
| WaMu Mortgage Pass-Through Certificates, Series 2005-AR2, Class 2A23 | | | | | | | | | |
0.91% | | | 01/25/45 | 3 | | | 7,720,943 | | | | 7,325,731 | |
| WaMu Mortgage Pass-Through Certificates, Series 2005-AR6, Class 2A1A | | | | | | | | | |
0.76% | | | 04/25/45 | 3 | | | 298,118 | | | | 281,889 | |
| WaMu Mortgage Pass-Through Certificates, Series 2006-AR1, Class 2A1A | | | | | | | | | |
1.58% | | | 01/25/46 | 3 | | | 55,302,808 | | | | 54,080,395 | |
| WaMu Mortgage Pass-Through Certificates, Series 2006-AR10, Class 1A4 | | | | | | | | | |
2.79% | | | 09/25/36 | 3 | | | 25,449,501 | | | | 23,748,597 | |
| WaMu Mortgage Pass-Through Certificates, Series 2006-AR16, Class 3A1 | | | | | | | | | |
3.70% | | | 12/25/36 | 3 | | | 1,209,137 | | | | 1,112,389 | |
| WaMu Mortgage Pass-Through Certificates, Series 2006-AR3, Class A1A | | | | | | | | | |
1.51% | | | 02/25/46 | 3 | | | 1,418,611 | | | | 1,309,202 | |
| WaMu Mortgage Pass-Through Certificates, Series 2006-AR4, Class 1A1A | | | | | | | | | |
1.43% | | | 05/25/46 | 3 | | | 9,670,001 | | | | 8,909,843 | |
| WaMu Mortgage Pass-Through Certificates, Series 2006-AR7, Class 2A | | | | | | | | | |
1.49% | | | 07/25/46 | 3 | | | 21,073,137 | | | | 17,801,834 | |
| WaMu Mortgage Pass-Through Certificates, Series 2007-1, Class 2A1 | | | | | | | | | |
6.00% | | | 01/25/22 | | | | 448,214 | | | | 431,110 | |
| WaMu Mortgage Pass-Through Certificates, Series 2007-HY7, Class 4A2 | | | | | | | | | |
4.34% | | | 07/25/37 | 3 | | | 496,127 | | | | 450,377 | |
| WaMu Mortgage Pass-Through Certificates, Series 2007-OA1, Class A1A | | | | | | | | | |
1.21% | | | 02/25/47 | 3 | | | 23,033,211 | | | | 18,314,948 | |
| Wells Fargo Alternative Loan Trust, Series 2007-PA5, Class 1A1 | | | | | | | | | |
6.25% | | | 11/25/37 | | | | 397,189 | | | | 382,804 | |
| Wells Fargo Mortgage-Backed Securities Trust, Series 2003-M, Class A1 | | | | | | | | | |
2.81% | | | 12/25/33 | 3 | | | 1,547,447 | | | | 1,553,585 | |
| Wells Fargo Mortgage-Backed Securities Trust, Series 2004-L, Class A8 | | | | | | | | | |
3.06% | | | 07/25/34 | 3 | | | 376,522 | | | | 379,375 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 83 / Semi-Annual Report September 2016 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed
(continued) | | | | | |
| Wells Fargo Mortgage-Backed Securities Trust, Series 2004-S, Class A1 | | | | | | | | | |
3.02% | | | 09/25/34 | 3 | | $ | 3,788,712 | | | $ | 3,864,552 | |
| Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR10, Class 2A14 | | | | | | | | | |
2.96% | | | 06/25/35 | 3 | | | 1,622,770 | | | | 1,643,105 | |
| Wells Fargo Mortgage-Backed Securities Trust, Series 2006-10, Class A4 | | | | | | | | | |
6.00% | | | 08/25/36 | | | | 3,720,363 | | | | 3,747,234 | |
| Wells Fargo Mortgage-Backed Securities Trust, Series 2006-2, Class 2A3 | | | | | | | | | |
5.50% | | | 03/25/36 | | | | 401,671 | | | | 399,360 | |
| Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR1, Class 1A1 | | | | | | | | | |
3.00% | | | 03/25/36 | 3 | | | 5,797,456 | | | | 5,474,868 | |
| Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR10, Class 5A1 | | | | | | | | | |
3.08% | | | 07/25/36 | 3 | | | 369,104 | | | | 363,538 | |
| Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR10, Class 5A2 | | | | | | | | | |
3.08% | | | 07/25/36 | 3 | | | 125,178 | | | | 123,291 | |
| Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR10, Class 5A3 | | | | | | | | | |
3.08% | | | 07/25/36 | 3 | | | 267,714 | | | | 264,715 | |
| Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR10, Class 5A6 | | | | | | | | | |
3.08% | | | 07/25/36 | 3 | | | 1,564,919 | | | | 1,547,389 | |
| Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR8, Class 1A3 | | | | | | | | | |
3.02% | | | 04/25/36 | 3 | | | 15,136 | | | | 14,993 | |
| WF-RBS Commercial Mortgage Trust, Series 2011-C3, Class A3FL | | | | | | | | | |
1.48% | | | 03/15/44 | 3,4 | | | 88,273,513 | | | | 88,553,958 | |
| | | | | | | | | | | | |
| | |
| | | | | | | | 5,322,820,689 | |
| | | | | | | | | | | | |
U.S. Agency Mortgage-Backed — 30.07% | | | | | |
| Fannie Mae Pool (TBA) | | | | | |
2.50% | | | 10/25/27 | | | | 1,670,150,000 | | | | 1,729,995,850 | |
3.00% | | | 10/25/26 | | | | 239,130,000 | | | | 251,067,829 | |
3.00% | | | 10/25/42 | | | | 2,307,325,000 | | | | 2,398,265,977 | |
3.50% | | | 10/25/42 | | | | 204,430,000 | | | | 215,769,477 | |
4.00% | | | 10/25/41 | | | | 648,190,000 | | | | 696,196,591 | |
4.50% | | | 10/25/39 | | | | 955,240,000 | | | | 1,046,286,313 | |
| Fannie Mae Pool 190375 | | | | | | | | | |
5.50% | | | 11/01/36 | | | | 1,610,039 | | | | 1,820,634 | |
| Fannie Mae Pool 190396 | | | | | | | | | |
4.50% | | | 06/01/39 | | | | 22,023 | | | | 24,135 | |
| Fannie Mae Pool 254232 | | | | | | | | | |
6.50% | | | 03/01/22 | | | | 27,341 | | | | 31,509 | |
| Fannie Mae Pool 313182 | | | | | | | | | |
7.50% | | | 10/01/26 | | | | 3,331 | | | | 3,702 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed
(continued) | | | | | |
| Fannie Mae Pool 394854 | | | | | | | | | |
6.50% | | | 05/01/27 | | | $ | 1,655 | | | $ | 1,908 | |
| Fannie Mae Pool 464367 | | | | | | | | | |
4.54% | | | 01/01/20 | | | | 4,980,904 | | | | 5,397,558 | |
| Fannie Mae Pool 466766 | | | | | | | | | |
3.88% | | | 12/01/20 | | | | 17,993,772 | | | | 19,515,880 | |
| Fannie Mae Pool 467243 | | | | | | | | | |
4.55% | | | 01/01/21 | | | | 2,548,696 | | | | 2,829,908 | |
| Fannie Mae Pool 467572 | | | | | | | | | |
3.80% | | | 04/01/18 | | | | 5,496,097 | | | | 5,647,921 | |
| Fannie Mae Pool 468128 | | | | | | | | | |
4.33% | | | 07/01/21 | | | | 1,966,046 | | | | 2,182,286 | |
| Fannie Mae Pool 468551 | | | | | | | | | |
3.98% | | | 07/01/21 | | | | 10,252,500 | | | | 11,256,025 | |
| Fannie Mae Pool 468587 | | | | | | | | | |
3.84% | | | 08/01/21 | | | | 716,599 | | | | 781,229 | |
| Fannie Mae Pool 468764 | | | | | | | | | |
4.16% | | | 07/01/21 | | | | 28,200,000 | | | | 31,146,703 | |
| Fannie Mae Pool 545191 | | | | | | | | | |
7.00% | | | 09/01/31 | | | | 6,603 | | | | 7,085 | |
| Fannie Mae Pool 545756 | | | | | | | | | |
7.00% | | | 06/01/32 | | | | 1,404 | | | | 1,685 | |
| Fannie Mae Pool 545831 | | | | | | | | | |
6.50% | | | 08/01/17 | | | | 2,856 | | | | 2,892 | |
| Fannie Mae Pool 555284 | | | | | | | | | |
7.50% | | | 10/01/17 | | | | 1,860 | | | | 1,891 | |
| Fannie Mae Pool 606108 | | | | | | | | | |
7.00% | | | 03/01/31 | | | | 4,714 | | | | 4,899 | |
| Fannie Mae Pool 613142 | | | | | | | | | |
7.00% | | | 11/01/31 | | | | 10,695 | | | | 12,855 | |
| Fannie Mae Pool 625666 | | | | | | | | | |
7.00% | | | 01/01/32 | | | | 10,513 | | | | 12,049 | |
| Fannie Mae Pool 633698 | | | | | | | | | |
7.50% | | | 02/01/31 | | | | 62,663 | | | | 72,592 | |
| Fannie Mae Pool 646884 | | | | | | | | | |
2.29% | | | 05/01/32 | 3 | | | 5,333 | | | | 5,468 | |
| Fannie Mae Pool 655928 | | | | | | | | | |
7.00% | | | 08/01/32 | | | | 196,186 | | | | 239,777 | |
| Fannie Mae Pool 725257 | | | | | | | | | |
5.50% | | | 02/01/34 | | | | 1,812,489 | | | | 2,057,471 | |
| Fannie Mae Pool 734830 | | | | | | | | | |
4.50% | | | 08/01/33 | | | | 26,002 | | | | 28,580 | |
| Fannie Mae Pool 734922 | | | | | | | | | |
4.50% | | | 09/01/33 | | | | 3,234,566 | | | | 3,598,102 | |
| Fannie Mae Pool 735207 | | | | | | | | | |
7.00% | | | 04/01/34 | | | | 35,247 | | | | 40,272 | |
| Fannie Mae Pool 735224 | | | | | | | | | |
5.50% | | | 02/01/35 | | | | 7,035,924 | | | | 8,008,474 | |
| | | |
| | | | | | | | | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2016 / 84 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed
(continued) | | | | | |
| Fannie Mae Pool 735646 | | | | | | | | | |
4.50% | | | 07/01/20 | | | $ | 1,304,926 | | | $ | 1,348,843 | |
| Fannie Mae Pool 735651 | | | | | | | | | |
4.50% | | | 06/01/35 | | | | 7,661,071 | | | | 8,405,732 | |
| Fannie Mae Pool 735686 | | | | | | | | | |
6.50% | | | 12/01/22 | | | | 37,714 | | | | 43,454 | |
| Fannie Mae Pool 740297 | | | | | | | | | |
5.50% | | | 10/01/33 | | | | 3,223 | | | | 3,668 | |
| Fannie Mae Pool 745147 | | | | | | | | | |
4.50% | | | 12/01/35 | | | | 53,342 | | | | 58,492 | |
| Fannie Mae Pool 745592 | | | | | | | | | |
5.00% | | | 01/01/21 | | | | 6,229 | | | | 6,447 | |
| Fannie Mae Pool 753168 | | | | | | | | | |
4.50% | | | 12/01/33 | | | | 14,509 | | | | 15,943 | |
| Fannie Mae Pool 815422 | | | | | | | | | |
4.50% | | | 02/01/35 | | | | 81,876 | | | | 90,088 | |
| Fannie Mae Pool 817611 | | | | | | | | | |
2.43% | | | 11/01/35 | 3 | | | 454,926 | | | | 485,173 | |
| Fannie Mae Pool 839109 | | | | | | | | | |
2.79% | | | 11/01/35 | 3 | | | 8,239 | | | | 8,666 | |
| Fannie Mae Pool 841031 | | | | | | | | | |
2.71% | | | 11/01/35 | 3 | | | 2,932 | | | | 3,081 | |
| Fannie Mae Pool 844773 | | | | | | | | | |
2.48% | | | 12/01/35 | 3 | | | 6,800 | | | | 7,138 | |
| Fannie Mae Pool 888412 | | | | | | | | | |
7.00% | | | 04/01/37 | | | | 842,504 | | | | 961,570 | |
| Fannie Mae Pool 889125 | | | | | | | | | |
5.00% | | | 12/01/21 | | | | 4,225,798 | | | | 4,420,028 | |
| Fannie Mae Pool 889184 | | | | | | | | | |
5.50% | | | 09/01/36 | | | | 6,452,371 | | | | 7,344,444 | |
| Fannie Mae Pool 918445 | | | | | | | | | |
5.46% | | | 05/01/37 | 3 | | | 25,692 | | | | 26,964 | |
| Fannie Mae Pool 933033 | | | | | | | | | |
6.50% | | | 10/01/37 | | | | 715,004 | | | | 799,907 | |
| Fannie Mae Pool AB0090 | | | | | | | | | |
4.50% | | | 03/01/29 | | | | 3,607,946 | | | | 3,953,881 | |
| Fannie Mae Pool AB1613 | | | | | | | | | |
4.00% | | | 10/01/40 | | | | 53,757,674 | | | | 58,998,406 | |
| Fannie Mae Pool AB1803 | | | | | | | | | |
4.00% | | | 11/01/40 | | | | 60,266,626 | | | | 66,415,705 | |
| Fannie Mae Pool AB2127 | | | | | | | | | |
3.50% | | | 01/01/26 | | | | 35,172,969 | | | | 37,393,765 | |
| Fannie Mae Pool AB3679 | | | | | | | | | |
3.50% | | | 10/01/41 | | | | 19,117,359 | | | | 20,446,763 | |
| Fannie Mae Pool AB3864 | | | | | | | | | |
3.50% | | | 11/01/41 | | | | 16,627,425 | | | | 17,872,814 | |
| Fannie Mae Pool AB4045 | | | | | | | | | |
3.50% | | | 12/01/41 | | | | 17,852,985 | | | | 19,249,137 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed
(continued) | | | | | |
| Fannie Mae Pool AB4262 | | | | | | | | | |
3.50% | | | 01/01/32 | | | $ | 13,660,439 | | | $ | 14,575,433 | |
| Fannie Mae Pool AB5058 | | | | | | | | | |
4.50% | | | 12/01/41 | | | | 68,055 | | | | 74,581 | |
| Fannie Mae Pool AB9703 | | | | | | | | | |
3.50% | | | 06/01/43 | | | | 44,927,993 | | | | 47,968,282 | |
| Fannie Mae Pool AC8279 | | | | | | | | | |
4.50% | | | 08/01/39 | | | | 30,999 | | | | 34,054 | |
| Fannie Mae Pool AD0849 | | | | | | | | | |
4.25% | | | 02/01/20 | | | | 27,320,252 | | | | 29,560,769 | |
| Fannie Mae Pool AD0850 | | | | | | | | | |
4.31% | | | 02/01/20 | | | | 46,861,997 | | | | 50,710,223 | |
| Fannie Mae Pool AD0895 | | | | | | | | | |
4.50% | | | 07/01/19 | | | | 42,263,008 | | | | 45,159,425 | |
| Fannie Mae Pool AE0482 | | | | | | | | | |
5.50% | | | 01/01/38 | | | | 15,484,252 | | | | 17,562,683 | |
| Fannie Mae Pool AE0600 | | | | | | | | | |
3.92% | | | 11/01/20 | | | | 32,268,004 | | | | 34,922,806 | |
| Fannie Mae Pool AE0605 | | | | | | | | | |
4.64% | | | 07/01/20 | | | | 23,029,405 | | | | 25,005,199 | |
| Fannie Mae Pool AE0918 | | | | | | | | | |
3.67% | | | 10/01/20 | | | | 5,290,370 | | | | 5,695,444 | |
| Fannie Mae Pool AH3780 | | | | | | | | | |
4.00% | | | 02/01/41 | | | | 24,205,029 | | | | 26,674,699 | |
| Fannie Mae Pool AJ1404 | | | | | | | | | |
4.00% | | | 09/01/41 | | | | 36,537,637 | | | | 39,843,151 | |
| Fannie Mae Pool AL0209 | | | | | | | | | |
4.50% | | | 05/01/41 | | | | 35,842,061 | | | | 40,302,718 | |
| Fannie Mae Pool AL0290 | | | | | | | | | |
4.45% | | | 04/01/21 | | | | 31,544,754 | | | | 35,074,875 | |
| Fannie Mae Pool AL0600 | | | | | | | | | |
4.30% | | | 07/01/21 | | | | 4,533,834 | | | | 5,023,430 | |
| Fannie Mae Pool AL0834 | | | | | | | | | |
4.06% | | | 10/01/21 | | | | 33,463,234 | | | | 36,845,107 | |
| Fannie Mae Pool AL0851 | | | | | | | | | |
6.00% | | | 10/01/40 | | | | 29,249,586 | | | | 33,580,370 | |
| Fannie Mae Pool AL1445 | | | | | | | | | |
4.36% | | | 11/01/21 | | | | 75,132,045 | | | | 82,698,203 | |
| Fannie Mae Pool AL2669 | | | | | | | | | |
4.46% | | | 09/01/21 | | | | 23,893,270 | | | | 26,154,272 | |
| Fannie Mae Pool AL4597 | | | | | | | | | |
4.00% | | | 01/01/44 | | | | 89,728,042 | | | | 98,939,186 | |
| Fannie Mae Pool AL6162 | | | | | | | | | |
3.35% | | | 02/01/23 | | | | 25,509,120 | | | | 27,288,047 | |
| Fannie Mae Pool AL6466 | | | | | | | | | |
2.90% | | | 11/01/26 | | | | 100,419,702 | | | | 106,488,568 | |
| Fannie Mae Pool AL6829 | | | | | | | | | |
2.96% | | | 05/01/27 | | | | 6,780,001 | | | | 7,198,848 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 85 / Semi-Annual Report September 2016 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed
(continued) | | | | | |
| Fannie Mae Pool AL7091 | | | | | | | | | |
3.00% | | | 06/01/45 | | | $ | 38,175,296 | | | $ | 39,926,825 | |
| Fannie Mae Pool AL8037 | | | | | | | | | |
4.50% | | | 07/01/34 | | | | 438,699 | | | | 484,861 | |
| Fannie Mae Pool AL8356 | | | | | | | | | |
4.50% | | | 07/01/34 | | | | 1,298,673 | | | | 1,424,694 | |
| Fannie Mae Pool AL9105 | | | | | | | | | |
4.50% | | | 09/01/46 | | | | 220,681,883 | | | | 242,255,717 | |
| Fannie Mae Pool AL9106 | | | | | | | | | |
4.50% | | | 02/01/46 | | | | 155,394,657 | | | | 170,505,420 | |
| Fannie Mae Pool AL9107 | | | | | | | | | |
4.50% | | | 03/01/46 | | | | 167,506,563 | | | | 183,600,121 | |
| Fannie Mae Pool AL9108 | | | | | | | | | |
4.50% | | | 12/01/34 | | | | 29,239,818 | | | | 32,271,164 | |
| Fannie Mae Pool AL9109 | | | | | | | | | |
4.50% | | | 01/01/34 | | | | 31,311,650 | | | | 34,313,853 | |
| Fannie Mae Pool AL9110 | | | | | | | | | |
4.50% | | | 04/01/46 | | | | 207,436,109 | | | | 227,325,363 | |
| Fannie Mae Pool AL9111 | | | | | | | | | |
4.50% | | | 08/01/46 | | | | 343,758,424 | | | | 376,718,446 | |
| Fannie Mae Pool AL9151 | | | | | | | | | |
4.50% | | | 09/15/46 | | | | 24,313,408 | | | | 26,644,610 | |
| Fannie Mae Pool AL9152 | | | | | | | | | |
4.50% | | | 09/15/46 | | | | 14,029,946 | | | | 15,388,001 | |
| Fannie Mae Pool AM0414 | | | | | | | | | |
2.87% | | | 09/01/27 | | | | 39,760,000 | | | | 41,472,119 | |
| Fannie Mae Pool AM4108 | | | | | | | | | |
3.85% | | | 08/01/25 | | | | 4,777 | | | | 5,380 | |
| Fannie Mae Pool AM4109 | | | | | | | | | |
3.85% | | | 08/01/25 | | | | 4,777 | | | | 5,380 | |
| Fannie Mae Pool AM4236 | | | | | | | | | |
3.94% | | | 08/01/25 | | | | 9,586 | | | | 10,850 | |
| Fannie Mae Pool AM4687 | | | | | | | | | |
3.70% | | | 12/01/25 | | | | 5,363,547 | | | | 5,977,807 | |
| Fannie Mae Pool AM4869 | | | | | | | | | |
4.07% | | | 12/01/25 | | | | 1,903,196 | | | | 2,176,812 | |
| Fannie Mae Pool AM5327 | | | | | | | | | |
3.71% | | | 03/01/26 | | | | 2,938,951 | | | | 3,248,021 | |
| Fannie Mae Pool AM6057 | | | | | | | | | |
3.44% | | | 08/01/26 | | | | 6,750,000 | | | | 7,481,647 | |
| Fannie Mae Pool AM6155 | | | | | | | | | |
3.23% | | | 07/01/26 | | | | 2,992,560 | | | | 3,251,416 | |
| Fannie Mae Pool AM6667 | | | | | | | | | |
3.39% | | | 09/01/26 | | | | 3,461,000 | | | | 3,818,186 | |
| Fannie Mae Pool AM7016 | | | | | | | | | |
3.47% | | | 10/01/29 | | | | 5,065,000 | | | | 5,597,057 | |
| Fannie Mae Pool AM8036 | | | | | | | | | |
2.66% | | | 03/01/27 | | | | 1,965,000 | | | | 2,051,376 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed
(continued) | | | | | |
Fannie Mae Pool AM8709 | | | | | | | | | |
2.82% | | | 04/01/27 | | | $ | 6,500,000 | | | $ | 6,875,208 | |
Fannie Mae Pool AM8765 | | | | | | | | | |
2.83% | | | 06/01/27 | | | | 4,000,000 | | | | 4,210,068 | |
Fannie Mae Pool AM8958 | | | | | | | | | |
2.97% | | | 06/01/30 | | | | 5,500,000 | | | | 5,807,785 | |
Fannie Mae Pool AM8969 | | | | | | | | | |
3.27% | | | 07/01/30 | | | | 12,691,000 | | | | 13,779,429 | |
Fannie Mae Pool AM9004 | | | | | | | | | |
2.80% | | | 06/01/25 | | | | 100,000,000 | | | | 105,491,253 | |
Fannie Mae Pool AM9282 | | | | | | | | | |
3.76% | | | 12/01/30 | | | | 10,000,000 | | | | 11,085,276 | |
Fannie Mae Pool AM9440 | | | | | | | | | |
3.05% | | | 07/01/27 | | | | 47,705,000 | | | | 51,037,304 | |
Fannie Mae Pool AM9601 | | | | | | | | | |
3.39% | | | 08/01/27 | | | | 3,862,886 | | | | 4,259,967 | |
Fannie Mae Pool AM9602 | | | | | | | | | |
3.57% | | | 08/01/27 | | | | 1,803,337 | | | | 2,017,305 | |
Fannie Mae Pool AM9623 | | | | | | | | | |
3.34% | | | 07/01/30 | | | | 1,420,000 | | | | 1,553,793 | |
Fannie Mae Pool AM9749 | | | | | | | | | |
3.48% | | | 11/01/30 | | | | 5,626,089 | | | | 6,196,964 | |
Fannie Mae Pool AM9954 | | | | | | | | | |
3.22% | | | 11/01/27 | | | | 3,295,000 | | | | 3,593,929 | |
Fannie Mae Pool AN0153 | | | | | | | | | |
3.36% | | | 11/01/30 | | | | 10,950,000 | | | | 11,972,943 | |
Fannie Mae Pool AN0154 | | | | | | | | | |
3.36% | | | 11/01/30 | | | | 15,525,000 | | | | 16,975,336 | |
Fannie Mae Pool AN0543 | | | | | | | | | |
3.53% | | | 01/01/31 | | | | 7,125,000 | | | | 7,923,506 | |
Fannie Mae Pool AN0648 | | | | | | | | | |
3.28% | | | 01/01/28 | | | | 14,451,780 | | | | 15,843,313 | |
Fannie Mae Pool AN0768 | | | | | | | | | |
3.19% | | | 01/01/26 | | | | 13,176,971 | | | | 14,269,182 | |
Fannie Mae Pool AN0854 | | | | | | | | | |
3.28% | | | 02/01/28 | | | | 8,815,000 | | | | 9,653,448 | |
Fannie Mae Pool AN0959 | | | | | | | | | |
2.92% | | | 05/01/31 | | | | 35,459,000 | | | | 37,229,060 | |
Fannie Mae Pool AN0962 | | | | | | | | | |
3.43% | | | 02/01/31 | | | | 15,423,000 | | | | 16,998,086 | |
Fannie Mae Pool AN1210 | | | | | | | | | |
2.85% | | | 05/01/31 | | | | 5,977,500 | | | | 6,235,039 | |
Fannie Mae Pool AN1427 | | | | | | | | | |
2.96% | | | 04/01/28 | | | | 4,277,449 | | | | 4,538,371 | |
Fannie Mae Pool AN1468 | | | | | | | | | |
2.97% | | | 05/01/31 | | | | 26,320,000 | | | | 27,624,991 | |
Fannie Mae Pool AN1482 | | | | | | | | | |
3.03% | | | 05/01/31 | | | | 5,597,842 | | | | 5,940,477 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2016 / 86 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed
(continued) | | | | | |
| Fannie Mae Pool AN1682 | | | | | | | | | |
3.13% | | | 05/01/31 | | | $ | 22,369,927 | | | $ | 23,926,371 | |
| Fannie Mae Pool AN1686 | | | | | | | | | |
2.32% | | | 07/01/26 | | | | 31,709,565 | | | | 32,301,900 | |
| Fannie Mae Pool AN1688 | | | | | | | | | |
2.32% | | | 07/01/26 | | | | 26,923,216 | | | | 27,426,141 | |
| Fannie Mae Pool AN1835 | | | | | | | | | |
2.54% | | | 07/01/28 | | | | 16,550,000 | | | | 17,011,998 | |
| Fannie Mae Pool AN1954 | | | | | | | | | |
2.26% | | | 07/01/26 | | | | 29,073,000 | | | | 29,484,685 | |
| Fannie Mae Pool AN2063 | | | | | | | | | |
2.58% | | | 07/01/26 | | | | 284,677,800 | | | | 295,461,293 | |
| Fannie Mae Pool AN2118 | | | | | | | | | |
2.32% | | | 08/01/26 | | | | 14,981,800 | | | | 15,260,584 | |
| Fannie Mae Pool AN2228 | | | | | | | | | |
2.52% | | | 08/01/26 | | | | 15,985,000 | | | | 16,507,875 | |
| Fannie Mae Pool AN2248 | | | | | | | | | |
2.48% | | | 08/01/26 | | | | 51,160,000 | | | | 52,654,220 | |
| Fannie Mae Pool AN2270 | | | | | | | | | |
2.51% | | | 08/01/26 | | | | 2,719,659 | | | | 2,807,361 | |
| Fannie Mae Pool AN2271 | | | | | | | | | |
2.33% | | | 08/01/26 | | | | 2,152,000 | | | | 2,189,070 | |
| Fannie Mae Pool AN2309 | | | | | | | | | |
2.21% | | | 07/01/26 | | | | 46,895,946 | | | | 47,391,179 | |
| Fannie Mae Pool AN2338 | | | | | | | | | |
2.36% | | | 09/01/26 | | | | 42,750,000 | | | | 43,751,346 | |
| Fannie Mae Pool AN2367 | | | | | | | | | |
2.46% | | | 08/01/26 | | | | 12,502,000 | | | | 12,850,829 | |
| Fannie Mae Pool AN2371 | | | | | | | | | |
2.18% | | | 09/01/26 | | | | 37,429,000 | | | | 37,709,205 | |
| Fannie Mae Pool AN2840 | | | | | | | | | |
2.49% | | | 09/01/28 | | | | 21,955,000 | | | | 22,328,284 | |
| Fannie Mae Pool AU3739 | | | | | | | | | |
3.50% | | | 08/01/43 | | | | 60,596,847 | | | | 65,203,051 | |
| Fannie Mae Pool BC1158 | | | | | | | | | |
3.50% | | | 02/01/46 | | | | 421,999,988 | | | | 445,303,262 | |
| Fannie Mae Pool FN0000 | | | | | | | | | |
3.59% | | | 09/01/20 | | | | 10,041,367 | | | | 10,773,619 | |
| Fannie Mae Pool FN0001 | | | | | | | | | |
3.76% | | | 12/01/20 | | | | 24,152,290 | | | | 26,081,813 | |
| Fannie Mae Pool FN0003 | | | | | | | | | |
4.28% | | | 01/01/21 | | | | 7,013,887 | | | | 7,702,462 | |
| Fannie Mae Pool FN0005 | | | | | | | | | |
3.38% | | | 11/01/20 | | | | 39,164,021 | | | | 41,806,217 | |
| Fannie Mae Pool FN0007 | | | | | | | | | |
3.46% | | | 11/01/20 | | | | 100,000 | | | | 107,332 | |
| Fannie Mae Pool FN0010 | | | | | | | | | |
3.84% | | | 09/01/20 | | | | 327,991 | | | | 354,546 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed
(continued) | | | | | |
| Fannie Mae Pool MA0232 | | | | | | | | | |
4.50% | | | 11/01/29 | | | $ | 909,320 | | | $ | 996,507 | |
| Fannie Mae Pool MA1177 | | | | | | | | | |
3.50% | | | 09/01/42 | | | | 107,503,082 | | | | 114,673,088 | |
| Fannie Mae Pool MA1404 | | | | | | | | | |
3.50% | | | 04/01/43 | | | | 7,919 | | | | 8,453 | |
| Fannie Mae Pool MA1527 | | | | | | | | | |
3.00% | | | 07/01/33 | | | | 100,762,310 | | | | 105,957,871 | |
| Fannie Mae Pool MA1561 | | | | | | | | | |
3.00% | | | 09/01/33 | | | | 62,397,600 | | | | 65,614,979 | |
| Fannie Mae Pool MA1582 | | | | | | | | | |
3.50% | | | 09/01/43 | | | | 29,722,761 | | | | 31,708,061 | |
| Fannie Mae Pool MA1584 | | | | | | | | | |
3.50% | | | 09/01/33 | | | | 107,930,301 | | | | 115,084,898 | |
| Fannie Mae Pool MA1608 | | | | | | | | | |
3.50% | | | 10/01/33 | | | | 73,230,750 | | | | 78,085,147 | |
| Fannie Mae REMICS, Series 1988-28, Class H | | | | | | | | | |
9.05% | | | 12/25/18 | | | | 196 | | | | 199 | |
| Fannie Mae REMICS, Series 1989-27, Class Y | | | | | | | | | |
6.90% | | | 06/25/19 | | | | 163 | | | | 170 | |
| Fannie Mae REMICS, Series 1991-65, Class Z | | | | | | | | | |
6.50% | | | 06/25/21 | | | | 3,516 | | | | 3,752 | |
| Fannie Mae REMICS, Series 1992-123, Class Z | | | | | | | | | |
7.50% | | | 07/25/22 | | | | 1,107 | | | | 1,222 | |
| Fannie Mae REMICS, Series 1993-132, Class D (PO) | | | | | | | | | |
0.00% | | | 10/25/22 | 10 | | | 55,934 | | | | 53,578 | |
| Fannie Mae REMICS, Series 1993-199, Class SD (IO) | | | | | | | | | |
0.88% | | | 10/25/23 | 3 | | | 8,648 | | | | 8 | |
| Fannie Mae REMICS, Series 1993-29, Class PK | | | | | | | | | |
7.00% | | | 03/25/23 | | | | 8,082 | | | | 8,760 | |
| Fannie Mae REMICS, Series 1994-55, Class H | | | | | | | | | |
7.00% | | | 03/25/24 | | | | 22,735 | | | | 24,991 | |
| Fannie Mae REMICS, Series 1997-34, Class SA | | | | | | | | | |
3.90% | | | 10/25/23 | 3 | | | 5,770 | | | | 6,981 | |
| Fannie Mae REMICS, Series 1998-37, Class VZ | | | | | | | | | |
6.00% | | | 06/17/28 | | | | 14,910 | | | | 17,088 | |
| Fannie Mae REMICS, Series 1999-11, Class Z | | | | | | | | | |
5.50% | | | 03/25/29 | | | | 45,431 | | | | 50,447 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 87 / Semi-Annual Report September 2016 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed
(continued) | | | | | |
| Fannie Mae REMICS, Series 2001-52, Class YZ | | | | | | | | | |
6.50% | | | 10/25/31 | | | $ | 183,688 | | | $ | 215,074 | |
| Fannie Mae REMICS, Series 2005-104, Class NI (IO) | | | | | | | | | |
6.17% | | | 03/25/35 | 3 | | | 22,797,713 | | | | 2,195,014 | |
| Fannie Mae REMICS, Series 2005-117, Class LC | | | | | | | | | |
5.50% | | | 11/25/35 | | | | 13,604,074 | | | | 14,632,745 | |
| Fannie Mae REMICS, Series 2005-122, Class SG (IO) | | | | | | | | | |
6.07% | | | 11/25/35 | 3 | | | 148,795 | | | | 23,360 | |
| Fannie Mae REMICS, Series 2005-92, Class US (IO) | | | | | | | | | |
5.57% | | | 10/25/25 | 3 | | | 10,304,422 | | | | 1,331,652 | |
| Fannie Mae REMICS, Series 2006-18, Class PD | | | | | | | | | |
5.50% | | | 08/25/34 | | | | 7,106 | | | | 7,109 | |
| Fannie Mae REMICS, Series 2006-4, Class WE | | | | | | | | | |
4.50% | | | 02/25/36 | | | | 135,045 | | | | 146,852 | |
| Fannie Mae REMICS, Series 2006-49, Class SE | | | | | | | | | |
26.90% | | | 04/25/36 | 3 | | | 4,258,046 | | | | 7,148,275 | |
| Fannie Mae REMICS, Series 2007-17, Class SI (IO) | | | | | | | | | |
5.87% | | | 03/25/37 | 3 | | | 4,147,782 | | | | 517,551 | |
| Fannie Mae REMICS, Series 2007-34, Class SB (IO) | | | | | | | | | |
5.58% | | | 04/25/37 | 3 | | | 7,346,146 | | | | 1,288,217 | |
| Fannie Mae REMICS, Series 2007-64, Class FA | | | | | | | | | |
1.00% | | | 07/25/37 | 3 | | | 11,214 | | | | 11,321 | |
| Fannie Mae REMICS, Series 2008-24, Class NA | | | | | | | | | |
6.75% | | | 06/25/37 | | | | 1,846,379 | | | | 1,989,394 | |
| Fannie Mae REMICS, Series 2010-116, Class SE (IO) | | | | | | | | | |
6.07% | | | 10/25/40 | 3 | | | 8,560,875 | | | | 1,536,795 | |
| Fannie Mae REMICS, Series 2010-135, Class EA | | | | | | | | | |
3.00% | | | 01/25/40 | | | | 26,514 | | | | 27,320 | |
| Fannie Mae REMICS, Series 2010-17, Class SB (IO) | | | | | | | | | |
5.82% | | | 03/25/40 | 3 | | | 14,336,613 | | | | 2,848,110 | |
| Fannie Mae REMICS, Series 2010-43, Class KS (IO) | | | | | | | | | |
5.89% | | | 05/25/40 | 3 | | | 25,845,554 | | | | 4,878,687 | |
| Fannie Mae REMICS, Series 2011-101, Class HE | | | | | | | | | |
4.00% | | | 10/25/41 | | | | 10,100,000 | | | | 11,597,286 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed
(continued) | | | | | |
| Fannie Mae REMICS, Series 2011-111, Class DB | | | | | | | | | |
4.00% | | | 11/25/41 | | | $ | 24,977,334 | | | $ | 27,675,920 | |
| Fannie Mae REMICS, Series 2011-2, Class PD | | | | | | | | | |
4.00% | | | 12/25/39 | | | | 100,816 | | | | 104,957 | |
| Fannie Mae REMICS, Series 2013-101, Class BO (PO) | | | | | | | | | |
0.00% | | | 10/25/43 | 10 | | | 30,673,401 | | | | 25,548,922 | |
| Fannie Mae REMICS, Series 2013-101, Class CO (PO) | | | | | | | | | |
0.00% | | | 10/25/43 | 10 | | | 19,003,760 | | | | 15,831,888 | |
| Fannie Mae REMICS, Series G92-12, Class B | | | | | | | | | |
7.70% | | | 02/25/22 | | | | 177 | | | | 184 | |
| Fannie Mae REMICS, Series G92-36, Class Z | | | | | | | | | |
7.00% | | | 07/25/22 | | | | 108 | | | | 115 | |
| Fannie Mae REMICS, Series G93-21, Class Z | | | | | | | | | |
7.20% | | | 05/25/23 | | | | 4,509 | | | | 4,983 | |
| Fannie Mae Trust, Series 2003-W2, Class 2A9 | | | | | | | | | |
5.90% | | | 07/25/42 | | | | 40,168 | | | | 46,260 | |
| Fannie Mae, Series 2015-M4, Class FA | | | | | | | | | |
0.72% | | | 09/25/18 | 3 | | | 113,301,572 | | | | 113,346,700 | |
| Fannie Mae-Aces, Series 2011-M5, Class X | | | | | | | | | |
1.36% | | | 07/25/21 | 3 | | | 156,609,197 | | | | 7,499,905 | |
| Fannie Mae-Aces, Series 2013-M4, Class ASQ2 | | | | | | | | | |
1.45% | | | 02/25/18 | | | | 15,785,581 | | | | 15,826,341 | |
| Fannie Mae-Aces, Series 2014-M12, Class FA | | | | | | | | | |
0.81% | | | 10/25/21 | 3 | | | 60,021,503 | | | | 59,805,726 | |
| Fannie Mae-Aces, Series 2014-M6, Class FA | | | | | | | | | |
0.80% | | | 12/25/17 | 3 | | | 33,274,107 | | | | 33,293,812 | |
| Fannie Mae-Aces, Series 2014-M8, Class A1 | | | | | | | | | |
2.35% | | | 06/25/24 | | | | 6,896,808 | | | | 7,145,341 | |
| Fannie Mae-Aces, Series 2014-M8, Class FA | | | | | | | | | |
0.76% | | | 05/25/18 | 3 | | | 98,731,904 | | | | 98,548,845 | |
| Fannie Mae-Aces, Series 2015-M10, Class A2 | | | | | | | | | |
3.09% | | | 04/25/27 | 3 | | | 122,515,000 | | | | 131,558,776 | |
| Fannie Mae-Aces, Series 2015-M10, Class FA | | | | | | | | | |
0.77% | | | 03/25/19 | 3 | | | 61,482,162 | | | | 61,548,704 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2016 / 88 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed
(continued) | | | | | |
| Fannie Mae-Aces, Series 2015-M2, Class A3 | | | | | | | | | |
3.15% | | | 12/25/24 | 3 | | $ | 29,007 | | | $ | 31,190 | |
| Fannie Mae-Aces, Series 2015-M8, Class FA | | | | | | | | | |
0.68% | | | 11/25/18 | 3 | | | 78,431,999 | | | | 78,359,975 | |
| Freddie Mac Gold Pool (TBA) | | | | | | | | | |
3.00% | | | 09/15/46 | | | | 369,575,000 | | | | 384,155,898 | |
| Freddie Mac Gold Pool A24156 | | | | | | | | | |
6.50% | | | 10/01/31 | | | | 384,761 | | | | 441,142 | |
| Freddie Mac Gold Pool A25162 | | | | | | | | | |
5.50% | | | 05/01/34 | | | | 3,472,440 | | | | 3,945,765 | |
| Freddie Mac Gold Pool A39012 | | | | | | | | | |
5.50% | | | 06/01/35 | | | | 73,066 | | | | 85,320 | |
| Freddie Mac Gold Pool A54856 | | | | | | | | | |
5.00% | | | 01/01/34 | | | | 6,367,300 | | | | 7,135,764 | |
| Freddie Mac Gold Pool A61164 | | | | | | | | | |
5.00% | | | 04/01/36 | | | | 20,469 | | | | 22,954 | |
| Freddie Mac Gold Pool A97038 | | | | | | | | | |
4.00% | | | 02/01/41 | | | | 20,023,426 | | | | 21,883,774 | |
| Freddie Mac Gold Pool C01492 | | | | | | | | | |
5.00% | | | 02/01/33 | | | | 1,187,514 | | | | 1,327,916 | |
| Freddie Mac Gold Pool C04546 | | | | | | | | | |
3.00% | | | 02/01/43 | | | | 28,206,238 | | | | 29,597,645 | |
| Freddie Mac Gold Pool C04573 | | | | | | | | | |
3.00% | | | 03/01/43 | | | | 34,947,393 | | | | 36,606,055 | |
| Freddie Mac Gold Pool C46104 | | | | | | | | | |
6.50% | | | 09/01/29 | | | | 28,368 | | | | 32,526 | |
| Freddie Mac Gold Pool C55789 | | | | | | | | | |
7.50% | | | 10/01/27 | | | | 12,988 | | | | 14,451 | |
| Freddie Mac Gold Pool C90573 | | | | | | | | | |
6.50% | | | 08/01/22 | | | | 80,926 | | | | 90,746 | |
| Freddie Mac Gold Pool E02402 | | | | | | | | | |
6.00% | | | 10/01/22 | | | | 24,112 | | | | 26,424 | |
| Freddie Mac Gold Pool G00992 | | | | | | | | | |
7.00% | | | 11/01/28 | | | | 1,478 | | | | 1,641 | |
| Freddie Mac Gold Pool G01515 | | | | | | | | | |
5.00% | | | 02/01/33 | | | | 1,224,325 | | | | 1,367,857 | |
| Freddie Mac Gold Pool G02579 | | | | | | | | | |
5.00% | | | 12/01/34 | | | | 1,507,316 | | | | 1,690,008 | |
| Freddie Mac Gold Pool G02884 | | | | | | | | | |
6.00% | | | 04/01/37 | | | | 4,838,621 | | | | 5,567,702 | |
| Freddie Mac Gold Pool G02955 | | | | | | | | | |
5.50% | | | 03/01/37 | | | | 5,828,817 | | | | 6,678,788 | |
| Freddie Mac Gold Pool G03357 | | | | | | | | | |
5.50% | | | 08/01/37 | | | | 2,283,211 | | | | 2,670,910 | |
| Freddie Mac Gold Pool G03676 | | | | | | | | | |
5.50% | | | 12/01/37 | | | | 4,302,501 | | | | 4,998,424 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed
(continued) | | | | | |
| Freddie Mac Gold Pool G03783 | | | | | | | | | |
5.50% | | | 01/01/38 | | | $ | 2,989,204 | | | $ | 3,491,180 | |
| Freddie Mac Gold Pool G03985 | | | | | | | | | |
6.00% | | | 03/01/38 | | | | 41,799 | | | | 48,450 | |
| Freddie Mac Gold Pool G04438 | | | | | | | | | |
5.50% | | | 05/01/38 | | | | 8,529,903 | | | | 9,746,313 | |
| Freddie Mac Gold Pool G04703 | | | | | | | | | |
5.50% | | | 08/01/38 | | | | 8,197,044 | | | | 9,231,263 | |
| Freddie Mac Gold Pool G04706 | | | | | | | | | |
5.50% | | | 09/01/38 | | | | 287,610 | | | | 329,563 | |
| Freddie Mac Gold Pool G05866 | | | | | | | | | |
4.50% | | | 02/01/40 | | | | 28,210,423 | | | | 31,687,441 | |
| Freddie Mac Gold Pool G06361 | | | | | | | | | |
4.00% | | | 03/01/41 | | | | 36,028 | | | | 39,786 | |
| Freddie Mac Gold Pool G06498 | | | | | | | | | |
4.00% | | | 04/01/41 | | | | 38,121,391 | | | | 41,933,728 | |
| Freddie Mac Gold Pool G06499 | | | | | | | | | |
4.00% | | | 03/01/41 | | | | 17,636,766 | | | | 19,259,899 | |
| Freddie Mac Gold Pool G06620 | | | | | | | | | |
4.50% | | | 07/01/41 | | | | 38,924,814 | | | | 42,981,509 | |
| Freddie Mac Gold Pool G07408 | | | | | | | | | |
3.50% | | | 06/01/43 | | | | 34,324,926 | | | | 36,967,676 | |
| Freddie Mac Gold Pool G07786 | | | | | | | | | |
4.00% | | | 08/01/44 | | | | 335,369,386 | | | | 368,882,530 | |
| Freddie Mac Gold Pool G07848 | | | | | | | | | |
3.50% | | | 04/01/44 | | | | 164,436,903 | | | | 176,483,256 | |
| Freddie Mac Gold Pool G07849 | | | | | | | | | |
3.50% | | | 05/01/44 | | | | 23,814,711 | | | | 25,464,593 | |
| Freddie Mac Gold Pool G07924 | | | | | | | | | |
3.50% | | | 01/01/45 | | | | 35,488,873 | | | | 37,949,007 | |
| Freddie Mac Gold Pool G07925 | | | | | | | | | |
4.00% | | | 02/01/45 | | | | 21,833,089 | | | | 24,016,124 | |
| Freddie Mac Gold Pool G08676 | | | | | | | | | |
3.50% | | | 11/01/45 | | | | 131,557,639 | | | | 138,815,614 | |
| Freddie Mac Gold Pool G08677 | | | | | | | | | |
4.00% | | | 11/01/45 | | | | 264,019,976 | | | | 283,302,619 | |
| Freddie Mac Gold Pool G08681 | | | | | | | | | |
3.50% | | | 12/01/45 | | | | 86,688,612 | | | | 91,471,183 | |
| Freddie Mac Gold Pool G08687 | | | | | | | | | |
3.50% | | | 01/01/46 | | | | 618,886,619 | | | | 653,030,309 | |
| Freddie Mac Gold Pool G08688 | | | | | | | | | |
4.00% | | | 01/01/46 | | | | 424,432,916 | | | | 455,431,285 | |
| Freddie Mac Gold Pool G08698 | | | | | | | | | |
3.50% | | | 03/01/46 | | | | 432,068,949 | | | | 455,905,994 | |
| Freddie Mac Gold Pool G08699 | | | | | | | | | |
4.00% | | | 03/01/46 | | | | 24,742,552 | | | | 26,582,780 | |
| Freddie Mac Gold Pool G08702 | | | | | | | | | |
3.50% | | | 04/01/46 | | | | 602,033,530 | | | | 635,279,809 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 89 / Semi-Annual Report September 2016 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed
(continued) | | | | | |
| Freddie Mac Gold Pool G08706 | | | | | | | | | |
3.50% | | | 05/01/46 | | | $ | 14,650 | | | $ | 15,460 | |
| Freddie Mac Gold Pool G08710 | | | | | | | | | |
3.00% | | | 06/01/46 | | | | 371,957,223 | | | | 386,833,664 | |
| Freddie Mac Gold Pool G08711 | | | | | | | | | |
3.50% | | | 06/01/46 | | | | 425,957,525 | | | | 449,603,070 | |
| Freddie Mac Gold Pool G08715 | | | | | | | | | |
3.00% | | | 08/01/46 | | | | 522,733,612 | | | | 543,601,316 | |
| Freddie Mac Gold Pool G08716 | | | | | | | | | |
3.50% | | | 08/01/46 | | | | 127,380,376 | | | | 134,818,772 | |
| Freddie Mac Gold Pool G08721 | | | | | | | | | |
3.00% | | | 08/01/46 | | | | 35,009,406 | | | | 36,407,080 | |
| Freddie Mac Gold Pool G08726 | | | | | | | | | |
3.00% | | | 09/01/46 | | | | 565,975,000 | | | | 588,658,231 | |
| Freddie Mac Gold Pool G11707 | | | | | | | | | |
6.00% | | | 03/01/20 | | | | 303,964 | | | | 315,036 | |
| Freddie Mac Gold Pool G12393 | | | | | | | | | |
5.50% | | | 10/01/21 | | | | 4,114,132 | | | | 4,388,731 | |
| Freddie Mac Gold Pool G12399 | | | | | | | | | |
6.00% | | | 09/01/21 | | | | 2,253 | | | | 2,428 | |
| Freddie Mac Gold Pool G12824 | | | | | | | | | |
6.00% | | | 08/01/22 | | | | 2,175,356 | | | | 2,374,027 | |
| Freddie Mac Gold Pool G12909 | | | | | | | | | |
6.00% | | | 11/01/22 | | | | 5,882,247 | | | | 6,432,604 | |
| Freddie Mac Gold Pool G13032 | | | | | | | | | |
6.00% | | | 09/01/22 | | | | 1,047,794 | | | | 1,130,883 | |
| Freddie Mac Gold Pool G13058 | | | | | | | | | |
4.50% | | | 10/01/20 | | | | 1,986,136 | | | | 2,035,873 | |
| Freddie Mac Gold Pool G18596 | | | | | | | | | |
3.00% | | | 04/01/31 | | | | 107,481,277 | | | | 113,277,513 | |
| Freddie Mac Gold Pool G60023 | | | | | | | | | |
3.50% | | | 04/01/45 | | | | 29,745,836 | | | | 31,925,110 | |
| Freddie Mac Gold Pool G60080 | | | | | | | | | |
3.50% | | | 06/01/45 | | | | 451,257,331 | | | | 481,970,216 | |
| Freddie Mac Gold Pool G60138 | | | | | | | | | |
3.50% | | | 08/01/45 | | | | 412,055,481 | | | | 442,234,919 | |
| Freddie Mac Gold Pool G60238 | | | | | | | | | |
3.50% | | | 10/01/45 | | | | 473,749,013 | | | | 505,993,621 | |
| Freddie Mac Gold Pool G60440 | | | | | | | | | |
3.50% | | | 03/01/46 | | | | 345,679,689 | | | | 369,145,744 | |
| Freddie Mac Gold Pool H00790 | | | | | | | | | |
5.50% | | | 05/01/37 | | | | 45,929 | | | | 51,210 | |
| Freddie Mac Gold Pool H03161 | | | | | | | | | |
6.50% | | | 08/01/37 | | | | 1,172 | | | | 1,219 | |
| Freddie Mac Gold Pool H05069 | | | | | | | | | |
5.50% | | | 05/01/37 | | | | 2,271,427 | | | | 2,518,001 | |
| Freddie Mac Gold Pool H09082 | | | | | | | | | |
6.50% | | | 09/01/37 | | | | 3,008 | | | | 3,367 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed
(continued) | | | | | |
| Freddie Mac Gold Pool Q05804 | | | | | | | | | |
4.00% | | | 01/01/42 | | | $ | 60,154,898 | | | $ | 66,512,416 | |
| Freddie Mac Gold Pool U99097 | | | | | | | | | |
3.50% | | | 07/01/43 | | | | 102,429,036 | | | | 109,320,744 | |
| Freddie Mac Gold Pool V80356 | | | | | | | | | |
3.50% | | | 08/01/43 | | | | 62,839,682 | | | | 67,501,108 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series K040, Class A2 | | | | | | | | | |
3.24% | | | 09/25/24 | | | | 2,840,000 | | | | 3,109,617 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series K053, Class A2 | | | | | | | | | |
3.00% | | | 12/25/25 | | | | 205,000,000 | | | | 220,196,547 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series K151, Class A3 | | | | | | | | | |
3.51% | | | 04/25/30 | | | | 3,705,000 | | | | 4,130,636 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series K152, Class A2 | | | | | | | | | |
3.08% | | | 01/25/31 | | | | 120,000,000 | | | | 129,350,202 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF02, Class A3 | | | | | | | | | |
1.15% | | | 07/25/20 | 3 | | | 1,404,610 | | | | 1,410,418 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KS03, Class A4 | | | | | | | | | |
3.16% | | | 05/25/25 | 3 | | | 46,605,000 | | | | 50,241,542 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KSCT, Class A1 | | | | | | | | | |
3.19% | | | 12/25/19 | | | | 49,694,161 | | | | 50,999,264 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KSCT, Class A2 | | | | | | | | | |
4.28% | | | 01/25/20 | | | | 70,890,000 | | | | 77,129,270 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KX01, Class A | | | | | | | | | |
2.36% | | | 02/25/23 | | | | 70,837,191 | | | | 72,829,211 | |
| Freddie Mac REMICS, Series 1004, Class H | | | | | | | | | |
7.95% | | | 10/15/20 | | | | 168 | | | | 177 | |
| Freddie Mac REMICS, Series 1073, Class G | | | | | | | | | |
7.00% | | | 05/15/21 | | | | 405 | | | | 434 | |
| Freddie Mac REMICS, Series 1107, Class ZC | | | | | | | | | |
6.50% | | | 07/15/21 | | | | 3,741 | | | | 3,986 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2016 / 90 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed
(continued) | | | | | |
| Freddie Mac REMICS, Series 165, Class K | | | | | | | | | |
6.50% | | | 09/15/21 | | | $ | 70 | | | $ | 74 | |
| Freddie Mac REMICS, Series 1980, Class Z | | | | | | | | | |
7.00% | | | 07/15/27 | | | | 134,338 | | | | 152,713 | |
| Freddie Mac REMICS, Series 1983, Class Z | | | | | | | | | |
6.50% | | | 12/15/23 | | | | 66,471 | | | | 72,364 | |
| Freddie Mac REMICS, Series 2098, Class TZ | | | | | | | | | |
6.00% | | | 01/15/28 | | | | 580,711 | | | | 640,837 | |
| Freddie Mac REMICS, Series 2174, Class PN | | | | | | | | | |
6.00% | | | 07/15/29 | | | | 31,929 | | | | 35,991 | |
| Freddie Mac REMICS, Series 2313, Class LA | | | | | | | | | |
6.50% | | | 05/15/31 | | | | 20,464 | | | | 24,001 | |
| Freddie Mac REMICS, Series 2433, Class SA | | | | | | | | | |
19.57% | | | 02/15/32 | 3 | | | 17,794 | | | | 27,726 | |
| Freddie Mac REMICS, Series 2481, Class AW | | | | | | | | | |
6.50% | | | 08/15/32 | | | | 69,505 | | | | 77,446 | |
| Freddie Mac REMICS, Series 2642, Class BW (IO) | | | | | | | | | |
5.00% | | | 06/15/23 | | | | 24,507 | | | | 1,274 | |
| Freddie Mac REMICS, Series 2649, Class PC | | | | | | | | | |
5.50% | | | 07/15/33 | | | | 16,474 | | | | 17,163 | |
| Freddie Mac REMICS, Series 3019, Class SW (IO) | | | | | | | | | |
6.68% | | | 08/15/35 | 3 | | | 2,820,158 | | | | 597,609 | |
| Freddie Mac REMICS, Series 3063, Class YG | | | | | | | | | |
5.50% | | | 11/15/35 | | | | 7,394,286 | | | | 8,352,100 | |
| Freddie Mac REMICS, Series 3300, Class SA (IO) | | | | | | | | | |
6.68% | | | 08/15/35 | 3 | | | 1,246,854 | | | | 204,358 | |
| Freddie Mac REMICS, Series 3707, Class EI (IO) | | | | | | | | | |
5.00% | | | 12/15/38 | | | | 27,971,470 | | | | 2,762,451 | |
| Freddie Mac REMICS, Series 3730, Class JG | | | | | | | | | |
3.00% | | | 09/15/39 | | | | 31,518 | | | | 32,424 | |
| Freddie Mac REMICS, Series 3752, Class XL | | | | | | | | | |
4.50% | | | 11/15/40 | | | | 66,277,000 | | | | 75,302,602 | |
| Freddie Mac REMICS, Series 3891, Class HS (IO) | | | | | | | | | |
5.43% | | | 07/15/41 | 3 | | | 13,103,532 | | | | 1,527,701 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed
(continued) | | | | | |
| Freddie Mac REMICS, Series 3904, Class JB | | | | | | | | | |
4.50% | | | 08/15/41 | | | $ | 18,155,000 | | | $ | 20,656,683 | |
| Freddie Mac REMICS, Series 3925, Class LB | | | | | | | | | |
4.50% | | | 09/15/41 | | | | 9,215,000 | | | | 11,119,470 | |
| Freddie Mac REMICS, Series 3928, Class JD | | | | | | | | | |
4.00% | | | 09/15/41 | | | | 32,095,702 | | | | 35,792,976 | |
| Freddie Mac REMICS, Series 4102, Class TC | | | | | | | | | |
2.50% | | | 09/15/41 | | | | 28,287,196 | | | | 29,066,123 | |
| Freddie Mac REMICS, Series 4161, Class BA | | | | | | | | | |
2.50% | | | 12/15/41 | | | | 41,992,788 | | | | 43,271,474 | |
| Freddie Mac Strips, Series 309, Class PO (PO) | | | | | | | | | |
0.00% | | | 08/15/43 | 10 | | | 48,685,781 | | | | 41,761,360 | |
| Freddie Mac Strips, Series 319, Class F2 | | | | | | | | | |
1.02% | | | 11/15/43 | 3 | | | 9,671,850 | | | | 9,658,985 | |
| Ginnie Mae I Pool 782817 | | | | | | | | | |
4.50% | | | 11/15/39 | | | | 31,531,320 | | | | 35,005,086 | |
| Ginnie Mae II Pool (TBA) | | | | | | | | | |
3.00% | | | 10/20/42 | | | | 754,650,000 | | | | 790,790,679 | |
3.50% | | | 10/20/42 | | | | 83,335,000 | | | | 88,504,374 | |
| Ginnie Mae II Pool 2631 | | | | | | | | | |
7.00% | | | 08/20/28 | | | | 3,195 | | | | 3,780 | |
| Ginnie Mae II Pool 80968 | | | | | | | | | |
1.88% | | | 07/20/34 | 3 | | | 24,495 | | | | 25,298 | |
| Ginnie Mae II Pool 81267 | | | | | | | | | |
2.00% | | | 03/20/35 | 3 | | | 47,887 | | | | 49,817 | |
| Ginnie Mae II Pool 81432 | | | | | | | | | |
1.88% | | | 08/20/35 | 3 | | | 44,627 | | | | 46,456 | |
| Ginnie Mae II Pool 81497 | | | | | | | | | |
2.00% | | | 10/20/35 | 3 | | | 40,700 | | | | 42,239 | |
| Ginnie Mae II Pool 8631 | | | | | | | | | |
2.13% | | | 05/20/25 | 3 | | | 7,695 | | | | 7,939 | |
| Ginnie Mae II Pool 8644 | | | | | | | | | |
2.50% | | | 06/20/25 | 3 | | | 13,001 | | | | 13,538 | |
| Ginnie Mae II Pool MA3521 | | | | | | | | | |
3.50% | | | 03/20/46 | | | | 141,604,219 | | | | 150,504,263 | |
| Ginnie Mae II Pool MA3597 | | | | | | | | | |
3.50% | | | 04/20/46 | | | | 343,692,164 | | | | 365,427,996 | |
| Ginnie Mae II Pool MA3663 | | | | | | | | | |
3.50% | | | 05/20/46 | | | | 322,639,505 | | | | 343,231,723 | |
| Ginnie Mae II Pool MA3736 | | | | | | | | | |
3.50% | | | 06/20/46 | | | | 225,035,779 | | | | 239,460,593 | |
| Ginnie Mae II Pool MA3802 | | | | | | | | | |
3.00% | | | 07/20/46 | | | | 36,162,991 | | | | 37,911,809 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 91 / Semi-Annual Report September 2016 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed
(continued) | | | | | |
| Ginnie Mae II Pool MA3873 | | | | | | | | | |
3.00% | | | 08/20/46 | | | $ | 569,388,506 | | | $ | 597,448,831 | |
| Ginnie Mae II Pool MA3936 | | | | | | | | | |
3.00% | | | 09/20/46 | | | | 471,045,000 | | | | 493,824,430 | |
| Ginnie Mae, Series 2000-22, Class SG (IO) | | | | | | | | | |
10.27% | | | 05/16/30 | 3 | | | 95,454 | | | | 9,451 | |
| Ginnie Mae, Series 2003-86, Class ZK | | | | | | | | | |
5.00% | | | 10/20/33 | | | | 13,838,130 | | | | 15,302,083 | |
| Ginnie Mae, Series 2004-93, Class PC | | | | | | | | | |
5.00% | | | 04/16/34 | | | | 81,024 | | | | 83,633 | |
| Ginnie Mae, Series 2007-35, Class PY (IO) | | | | | | | | | |
6.22% | | | 06/16/37 | 3 | | | 23,759,740 | | | | 5,071,635 | |
| Ginnie Mae, Series 2009-106, Class SD (IO) | | | | | | | | | |
5.72% | | | 03/20/36 | 3 | | | 21,010,884 | | | | 3,302,308 | |
| Ginnie Mae, Series 2009-106, Class XI (IO) | | | | | | | | | |
6.27% | | | 05/20/37 | 3 | | | 52,952,902 | | | | 9,903,866 | |
| Ginnie Mae, Series 2009-124, Class SC (IO) | | | | | | | | | |
5.95% | | | 12/20/39 | 3 | | | 9,029,129 | | | | 1,619,892 | |
| Ginnie Mae, Series 2009-17, Class P | | | | | | | | | |
4.00% | | | 08/16/38 | | | | 25,041 | | | | 26,034 | |
| Ginnie Mae, Series 2009-66, Class XS (IO) | | | | | | | | | |
6.27% | | | 07/16/39 | 3 | | | 106,981 | | | | 14,823 | |
| Ginnie Mae, Series 2009-8, Class PS (IO) | | | | | | | | | |
5.77% | | | 08/16/38 | 3 | | | 174,913 | | | | 22,081 | |
| Ginnie Mae, Series 2010-4, Class SL (IO) | | | | | | | | | |
5.87% | | | 01/16/40 | 3 | | | 110,354 | | | | 21,148 | |
| Ginnie Mae, Series 2010-4, Class SM (IO) | | | | | | | | | |
5.27% | | | 01/16/40 | 3 | | | 20,064,334 | | | | 3,229,768 | |
| Ginnie Mae, Series 2010-6, Class BS (IO) | | | | | | | | | |
5.97% | | | 09/16/39 | 3 | | | 7,150,352 | | | | 727,269 | |
| Ginnie Mae, Series 2011-146, Class EI (IO) | | | | | | | | | |
5.00% | | | 11/16/41 | | | | 238,873 | | | | 51,438 | |
| Ginnie Mae, Series 2013-113, Class LY | | | | | | | | | |
3.00% | | | 05/20/43 | | | | 51,184,000 | | | | 53,351,351 | |
| NCUA Guaranteed Notes, Series 2010-R1, Class A1 | | | | | | | | | |
0.97% | | | 10/07/20 | 3 | | | 20,986,551 | | | | 21,032,113 | |
| NCUA Guaranteed Notes, Series 2010-R3, Class 1A | | | | | | | | | |
0.76% | | | 12/08/20 | 3 | | | 10,793,878 | | | | 10,817,006 | |
| NCUA Guaranteed Notes, Series 2010-R3, Class 2A | | | | | | | | | |
1.08% | | | 12/08/20 | 3 | | | 28,852,015 | | | | 28,923,992 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed (continued) | | | | | |
| NCUA Guaranteed Notes, Series 2011-C1, Class 2A | | | | | | | | | |
1.05% | | | 03/09/21 | 3 | | $ | 2,782,219 | | | $ | 2,780,986 | |
| | | | | | | | | |
| | |
| | | | | | | | 24,463,280,238 | |
| | | | | | | | | |
| | |
Total Mortgage-Backed (Cost $31,268,637,811) | | | | | | | | 31,839,435,131 | |
| | | | | | | | | |
|
MUNICIPAL BONDS — 0.75%* | |
California — 0.17% | | | | | |
| Bay Area Toll Authority, Build America Bonds | | | | | | | | | |
6.26% | | | 04/01/49 | | | | 2,275,000 | | | | 3,482,479 | |
| Los Angeles Department of Water & Power, Build America Bonds, Series SY | | | | | | | | | |
6.01% | | | 07/01/39 | | | | 350,000 | | | | 468,997 | |
| San Diego County Water Authority, Build America Bonds | | | | | | | | | |
6.14% | | | 05/01/49 | | | | 7,900,000 | | | | 11,253,155 | |
| State of California, Build America Bonds | | | | | | | | | |
6.65% | | | 03/01/22 | | | | 4,245,000 | | | | 5,217,784 | |
7.30% | | | 10/01/39 | | | | 5,540,000 | | | | 8,419,581 | |
7.95% | | | 03/01/36 | | | | 7,350,000 | | | | 8,811,621 | |
| State of California, Build America Bonds, Various Purpose | | | | | | | | | |
7.50% | | | 04/01/34 | | | | 3,885,000 | | | | 5,890,554 | |
| State of California, Taxable, Various Purpose | | | | | | | | | |
6.20% | | | 03/01/19 | | | | 10,680,000 | | | | 11,894,316 | |
| University of California, Floating Rate Notes, Series Y, Class 1 | | | | | | | | | |
1.03% | | | 07/01/41 | 3 | | | 12,485,000 | | | | 12,486,873 | |
| University of California, Floating Rate Notes, Series Y, Class 2 | | | | | | | | | |
1.03% | | | 07/01/41 | 3 | | | 15,000,000 | | | | 15,001,950 | |
| University of California, Revenue Bonds | | | | | | | | | |
3.93% | | | 05/15/45 | | | | 57,230,000 | | | | 60,039,993 | |
| | | | | | | | | |
| | |
| | | | | | | | 142,967,303 | |
| | | | | | | | | |
| | |
Illinois — 0.00% | | | | | | | | | |
| State of Illinois, Build America Bonds | | | | | | | | | |
6.63% | | | 02/01/35 | | | | 4,120,000 | | | | 4,439,465 | |
| State of Illinois, Taxable Pension Bonds | | | | | | | | | |
5.10% | | | 06/01/33 | | | | 591,000 | | | | 570,315 | |
| | | | | | | | | |
| | |
| | | | | | | | 5,009,780 | |
| | | | | | | | | |
| | |
New Jersey — 0.02% | | | | | | | | | |
| New Jersey State Turnpike Authority, Build America Bonds, Series A | | | | | | | | | |
7.10% | | | 01/01/41 | | | | 8,895,000 | | | | 13,548,686 | |
| | | | | | | | | |
| | |
New York — 0.56% | | | | | | | | | |
| City of New York, Build America Bonds | | | | | | | | | |
4.77% | | | 10/01/23 | | | | 4,420,000 | | | | 5,087,243 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2016 / 92 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MUNICIPAL BONDS (continued) | | | | | |
New York (continued) | | | | | |
5.05% | | | 10/01/24 | | | $ | 13,820,000 | | | $ | 16,238,638 | |
5.21% | | | 10/01/31 | | | | 6,420,000 | | | | 7,741,878 | |
5.52% | | | 10/01/37 | | | | 6,075,000 | | | | 7,952,236 | |
5.82% | | | 10/01/31 | | | | 220,000 | | | | 253,062 | |
5.99% | | | 12/01/36 | | | | 14,055,000 | | | | 18,839,041 | |
| City of New York, Build America Bonds, Series F1 | | | | | | | | | |
6.27% | | | 12/01/37 | | | | 9,655,000 | | | | 13,616,833 | |
6.65% | | | 12/01/31 | | | | 46,470,000 | | | | 55,211,472 | |
| Fiscal Year 2005 Securitization Corp., Special Obligation, Series B | | | | | | | | | |
4.93% | | | 04/01/20 | | | | 50,000 | | | | 53,217 | |
| New York City Municipal Water Finance Authority, Build America Bonds, Series SE | | | | | | | | | |
6.49% | | | 06/15/42 | | | | 3,555,000 | | | | 4,134,643 | |
| New York City Transitional Finance Authority Revenue, Future Tax Secured Revenue, Build America Bonds | | | | | | | | | |
5.27% | | | 05/01/27 | | | | 8,050,000 | | | | 9,982,885 | |
5.51% | | | 08/01/37 | | | | 25,000,000 | | | | 32,998,750 | |
5.57% | | | 11/01/38 | | | | 41,825,000 | | | | 55,165,920 | |
| New York City Water and Sewer Authority, Build America, Taxable Bonds | | | | | | | | | |
5.44% | | | 06/15/43 | | | | 49,625,000 | | | | 68,102,373 | |
5.88% | | | 06/15/44 | | | | 29,220,000 | | | | 41,989,432 | |
6.01% | | | 06/15/42 | | | | 3,945,000 | | | | 5,705,141 | |
| New York State Dormitory Authority, Taxable, Build American Bonds | | | | | | | | | |
5.43% | | | 03/15/39 | | | | 28,100,000 | | | | 36,700,286 | |
| New York State Dormitory Authority, Build American Bonds | | | | | | | | | |
5.29% | | | 03/15/33 | | | | 44,990,000 | | | | 56,465,149 | |
| New York State Urban Development Corp. | | | | | | | | | |
3.20% | | | 03/15/22 | | | | 15,870,000 | | | | 16,983,281 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 453,221,480 | |
| | | | | | | | | | | | |
| | |
Total Municipal Bonds | | | | | | | | | |
| (Cost $575,079,068) | | | | | | | | 614,747,249 | |
| | | | | | | | | | | | |
| |
U.S. AGENCY SECURITIES — 1.46% | | | | | |
U.S. Agency Securities — 1.46% | | | | | |
| Fannie Mae, Series 2 | | | | | | | | | |
0.55% | | | 07/20/17 | 3 | | | 63,140,000 | | | | 63,173,022 | |
| Federal Farm Credit Bank | | | | | | | | | |
0.55% | | | 05/08/17 | 3 | | | 290,370,000 | | | | 290,599,973 | |
0.56% | | | 04/26/17 | 3 | | | 152,825,000 | | | | 152,943,745 | |
0.57% | | | 05/24/17 | 3 | | | 70,685,000 | | | | 70,748,829 | |
0.58% | | | 02/27/17 | 3 | | | 133,065,000 | | | | 133,167,859 | |
0.58% | | | 04/17/17 | 3 | | | 27,465,000 | | | | 27,492,410 | |
| Federal Home Loan Bank (STEP) | | | | | | | | | |
1.25% | | | 06/28/30 | | | | 344,995,000 | | | | 345,359,832 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
U.S. AGENCY SECURITIES (continued) | | | | | |
U.S. Agency Securities (continued) | | | | | |
| Freddie Mac | | | | | | | | | | | | |
0.54% | | | 04/20/17 | 3 | | $ | 102,675,000 | | | $ | 102,663,726 | |
| | | | | | | | | | | | |
| |
Total U.S. Agency Securities | | | | | |
| (Cost $1,184,629,382) | | | | | | | | 1,186,149,396 | |
| | | | | | | | | | | | |
|
U.S. TREASURY SECURITIES — 26.89% | |
U.S. Treasury Bonds — 6.76% | |
| U.S. Treasury Bonds | | | | | | | | | |
2.25% | | | 08/15/46 | | | | 2,558,065,000 | | | | 2,511,799,836 | |
2.75% | | | 08/15/42 | | | | 59,290,000 | | | | 64,631,910 | |
3.00% | | | 11/15/44 | | | | 150,325,000 | | | | 171,459,488 | |
3.13% | | | 02/15/42 | | | | 155,870,000 | | | | 181,594,629 | |
3.75% | | | 11/15/43 | | | | 101,380,000 | | | | 131,982,060 | |
| U.S. Treasury Bonds - Treasury Inflation Indexed Bonds | | | | | | | | | |
0.25% | | | 01/15/25 | 11 | | | 265,917,813 | | | | 271,013,331 | |
0.38% | | | 07/15/25 | 11 | | | 883,205,534 | | | | 911,968,933 | |
0.63% | | | 02/15/43 | 11 | | | 204,116,250 | | | | 204,433,434 | |
0.75% | | | 02/15/45 | 11 | | | 845,747,825 | | | | 871,398,849 | |
1.38% | | | 02/15/44 | 11 | | | 147,392,048 | | | | 175,724,920 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 5,496,007,390 | |
| | | | | | | | | | | | |
| |
U.S. Treasury Notes — 20.13% | | | | | |
| U.S. Treasury Notes | | | | | |
0.39% | | | 07/31/17 | 3 | | | 400,000,000 | | | | 400,187,600 | |
0.58% | | | 01/31/18 | 3 | | | 440,000,000 | | | | 441,075,844 | |
0.63% | | | 08/31/17 | | | | 300,000,000 | | | | 299,919,819 | |
0.75% | | | 10/31/17 | | | | 1,482,330,000 | | | | 1,483,488,070 | |
0.75% | | | 07/31/18 | | | | 3,079,425,000 | | | | 3,079,222,559 | |
0.75% | | | 08/31/18 | | | | 805,140,000 | | | | 805,014,398 | |
1.00% | | | 12/31/17 | | | | 158,445,000 | | | | 158,999,458 | |
1.13% | | | 06/30/21 | | | | 1,664,403,000 | | | | 1,662,712,632 | |
1.13% | | | 07/31/21 | | | | 4,588,410,000 | | | | 4,582,495,081 | |
1.13% | | | 08/31/21 | | | | 728,540,000 | | | | 727,913,929 | |
1.50% | | | 08/15/26 | | | | 1,439,390,000 | | | | 1,425,446,629 | |
| U.S. Treasury Notes (WI) | | | | | | | | | |
1.13% | | | 09/30/21 | | | | 1,314,400,000 | | | | 1,312,915,872 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 16,379,391,891 | |
| | | | | | | | | | | | |
| |
Total U.S. Treasury Securities | | | | | |
| (Cost $21,679,097,381) | | | | | | | | 21,875,399,281 | |
| | | | | | | | | | | | |
| |
Total Bonds – 96.01% | | | | | |
| (Cost $76,823,225,771) | | | | | | | | 78,110,360,191 | |
| | | | | | | | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 93 / Semi-Annual Report September 2016 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | | Contracts | | | Value | |
CALL OPTIONS PURCHASED — 0.01% | |
Call Options Purchased — 0.01% | |
| IMM Eurodollar Future Options, Call, Strike $98.88, Expires 12/19/16 | | | | 15,000 | | | | $7,968,750 | |
| Total Call Options Purchased | | | | | | | | | |
| (Cost $7,821,750) | | | | | | | | 7,968,750 | |
| | | | | | | | | | |
| Issues | | | Contracts | | | Value | |
PUT OPTIONS PURCHASED — 0.01% | |
Put Options Purchased — 0.01% | |
| IMM Eurodollar Future Options, Put, Strike $99.13, Expires 12/19/16 | | | | 15,000 | | | | 3,375,000 | |
| U.S. Treasury 10 Year Future Options, Put, Strike $130, Expires 10/21/16 | | | | 4,000 | | | | 625,000 | |
| |
| Total Put Options Purchased | | | | | |
| (Cost $5,192,430) | | | | | | | | 4,000,000 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount/ Shares | | | Value | |
SHORT-TERM INVESTMENTS — 13.09% | |
|
Commercial Paper — 0.62% | |
Anheuser-Busch InBev SA
(Netherlands) | | | | | |
1.26%12 | | | 07/10/17 | 2,4 | | $ | 50,000,000 | | | | 49,469,475 | |
| Kraft Heinz Foods Co. | | | | | | | | | |
1.60%12 | | | 06/30/17 | | | | 58,692,000 | | | | 58,848,884 | |
| Macquarie Bank Ltd. (Australia) | | | | | | | | | |
0.79% | | | 11/13/16 | 2,4 | | | 200,000,000 | | | | 199,888,178 | |
0.80%12 | | | 11/04/16 | 2,4 | | | 198,610,000 | | | | 198,495,495 | |
| | | | | | | | | | | | |
| | |
| | | | | | | | 506,702,032 | |
| | | | | | | | | | | | |
|
Foreign Government Obligations — 3.89% | |
| Japan Treasury Discount Bill, Series 620 (Japan) | | | | | | | | | |
0.00%12 | | | 10/17/16 | 2 | | | 115,920,000,000 | | | | 1,144,800,576 | |
| Japan Treasury Discount Bill, Series 626 (Japan) | | | | | | | | | |
0.00%12 | | | 11/14/16 | 2 | | | 55,520,000,000 | | | | 548,406,455 | |
| Japan Treasury Discount Bill, Series 632 (Japan) | | | | | | | | | |
0.00%12 | | | 12/12/16 | 2 | | | 114,750,000,000 | | | | 1,133,844,223 | |
| Japan Treasury Discount Bill, Series 636 (Japan) | | | | | | | | | |
0.00%12 | | | 01/10/17 | 2 | | | 33,890,000,000 | | | | 335,024,228 | |
| | | | | | | | | | | | |
| | |
| | | | | | | | 3,162,075,482 | |
| | | | | | | | | | | | |
|
Money Market Funds — 0.16% | |
| Fidelity Institutional Government Portfolio | | | | | | | | | |
0.27%13,14 | | | | 77,436,094 | | | | 77,436,094 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount/ Shares | | | Value | |
SHORT-TERM INVESTMENTS (continued) | |
Money Market Funds (continued) | |
| JPMorgan U.S. Government | | | | | | | | | |
| Money Market Fund | | | | | | | | | |
0.33%13 | | | $ | 49,853,000 | | | $ | 49,853,000 | |
| | | | | | | | | | | | |
| | |
| | | | | | | | 127,289,094 | |
| | | | | | | | | | | | |
|
Repurchase Agreements — 0.43% | |
| RBS (Dated 09/30/16, total to be received $350,011,667, (collateralized by U.S. government treasury obligations, 0.625% to 2.125%, due from 04/30/18 to 08/15/21, par and fair value of $350,003,006 and $357,003,057, respectively)) | | | | | | | | | |
0.40% | | | 10/03/16 | | | | 350,000,000 | | | | 350,000,000 | |
| | | | | | | | | | | | |
|
U.S. Agency Discount Notes — 3.12% | |
| Fannie Mae | | | | | | | | | |
0.36%12 | | | 10/17/16 | | | | 11,000,000 | | | | 10,999,230 | |
| Federal Home Loan Bank | | | | | | | | | |
0.27%12 | | | 10/27/16 | | | | 150,000,000 | | | | 149,982,000 | |
0.36%12 | | | 01/25/17 | | | | 400,000,000 | | | | 399,670,800 | |
0.37%12 | | | 11/29/16 | | | | 300,000,000 | | | | 299,900,100 | |
| Freddie Mac | | | | | | | | | |
0.36%12 | | | 11/07/16 | | | | 270,000,000 | | | | 269,944,920 | |
0.51%12 | | | 05/02/17 | | | | 400,000,000 | | | | 398,944,800 | |
| Freddie Mac, Series RB | | | | | | | | | |
0.35%12 | | | 10/20/16 | | | | 306,905,000 | | | | 306,878,913 | |
0.39%12 | | | 11/03/16 | | | | 300,000,000 | | | | 299,945,700 | |
0.43%12 | | | 02/02/17 | | | | 400,000,000 | | | | 399,566,400 | |
| | | | | | | | | | | | |
| | |
| | | | | | | | 2,535,832,863 | |
| | | | | | | | | | | | |
| |
U.S. Treasury Bills — 4.87% | | | | | |
| U.S. Treasury Bills | | | | | | | | | |
0.19%12 | | | 01/05/17 | | | | 899,000,000 | | | | 898,377,892 | |
0.25%12 | | | 12/15/16 | | | | 2,900,000 | | | | 2,899,008 | |
0.28%12 | | | 11/17/16 | | | | 2,000,000 | | | | 1,999,604 | |
0.31%12 | | | 12/08/16 | 15 | | | 54,500,000 | | | | 54,482,506 | |
0.33%12 | | | 01/12/17 | | | | 300,000,000 | | | | 299,809,320 | |
0.36%12 | | | 01/19/17 | | | | 651,075,000 | | | | 650,547,479 | |
0.38%12 | | | 02/09/17 | | | | 500,000,000 | | | | 499,406,500 | |
0.42%12 | | | 02/16/17 | | | | 750,000,000 | | | | 749,065,500 | |
0.45%12 | | | 02/23/17 | | | | 810,970,000 | | | | 809,877,623 | |
| | | | | | | | | | | | |
| | |
| | | | | | | | 3,966,465,432 | |
| | | | | | | | | | | | |
| |
Total Short-Term Investments | | | | | |
| (Cost $10,596,274,578) | | | | 10,648,364,903 | |
| | | | | | | | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2016 / 94 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| | | | | | | | | Value | |
Total Investments – 109.12% | | | | | |
| (Cost $87,432,514,529)1 | | | $ | 88,770,693,844 | |
| | | | | | | | | | | | |
| |
Liabilities in Excess of Other | | | | | |
| Assets – (9.12)% | | | | (7,416,089,790 | ) |
| | | | | | | | | | | | |
| |
Net Assets – 100.00% | | | $ | 81,354,604,054 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | Currency Purchased | | | Currency Sold | | | Unrealized Appreciation/ (Depreciation) | |
FOREIGN CURRENCY EXCHANGE CONTRACT | |
Forward currency contract to sell Japanese Yen on 10/17/16 at 101.19 Counterparty: Bank of America | |
| USD | | $ | 1,100,415,789 | | | | JPY 7,999,822,530 | | | | $(45,106,856 | ) |
Forward currency contract to sell Japanese Yen on 11/14/16 at 101.22 Counterparty: JPMorgan Securities LLC | |
| USD | | $ | 550,370,499 | | | | JPY 7,999,822,530 | | | | 1,854,893 | |
Forward currency contract to sell Japanese Yen on 12/12/16 at 100.94 Counterparty: JPMorgan Securities LLC | |
| USD | | $ | 1,132,081,056 | | | | JPY – | | | | (4,696,019 | ) |
Forward currency contract to sell Japanese Yen on 01/10/17 at 100.78 Counterparty: Bank of America | |
| USD | | $ | 335,346,999 | | | | JPY 7,999,822,530 | | | | (916,286 | ) |
| Net unrealized (depreciation) | | | | $(48,864,268 | ) |
| | | | | | | | | | | | | | |
| Contracts | | | | | | | | | | Unrealized
Appreciation/
(Depreciation) | |
| FUTURES CONTRACTS: LONG POSITIONS | | | | | |
| 4,000 | | Euro Dollar Ninety Day, | | | | | |
| | Expiration December 2016 | | | | $ (960,440 | ) |
| 11,774 | | U.S. Treasury Two Year Note, | | | | | |
| | Expiration December 2016 | | | | (194,124 | ) |
| 48,352 | | U.S. Treasury Five Year Note, | | | | | |
| | Expiration December 2016 | | | | 2,976,661 | |
| | Net unrealized appreciation | | | | $1,822,097 | |
| | | | | | | | | | | | | | |
| Contracts | | | | | | | | | | Unrealized
Appreciation | |
FUTURES CONTRACTS: SHORT POSITIONS | | | | | |
| 4,000 | | Euro Dollar Ninety Day, | | | | | |
| | Expiration December 2017 | | | | $2,327,060 | |
| | Net unrealized appreciation | | | | $2,327,060 | |
| | | | | | | | | | | | | | |
| Issues | | Contracts | | | Premiums
(Received) | | | Value | |
CALL OPTIONS WRITTEN | | | | | | | | | |
| IMM Eurodollar Future | | | | | | | | | |
| Options, Call, Strike $99.00, | | | | | | | | | |
| Expires 12/19/16 | | | (30,000 | ) | | | $(7,669,000 | ) | | | $(8,250,000 | ) |
| Total Call Options Written | | | | $(7,669,000 | ) | | | $(8,250,000 | ) |
| | | | | | | | | | | | |
| Issues | | Contracts | | | Premiums
(Received) | | | Value | |
PUT OPTIONS WRITTEN | | | | | | | | | |
| IMM Eurodollar Future | | | | | | | | | | | | |
| Options, Put, Strike $99.00, Expires 12/19/16 | | | (15,000 | ) | | $ | (1,272,000 | ) | | $ | (1,125,000 | ) |
| | | | | | | | | | | | |
| Total Put Options Written | | | | | | $ | (1,272,000 | ) | | $ | (1,125,000 | ) |
| | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
Expiration
Date | | Premiums Paid/ (Received) | | | Notional Amount (000’s) | | | Unrealized
(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 2.75% quarterly. Clearinghouse: Chicago Mercantile Exchange16 | |
| 02/17/42 | | | $– | | | $ | 54,815 | | | $ | (11,104,656) | | | $ | (11,104,656) | |
| 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. Clearinghouse: Chicago Mercantile Exchange16 | |
| 02/17/42 | | | – | | | | 45,000 | | | | (8,874,667) | | | | (8,874,667) | |
| 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 | | | | (8,992,235) | | | | (8,992,235) | |
| 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 | | | | (10,810,429) | | | | (10,810,429) | |
| 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. Clearinghouse: Chicago Mercantile Exchange16 | |
| 11/15/43 | | | – | | | | 50,000 | | | | (20,654,572) | | | | (20,654,572) | |
| 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. Clearinghouse: Chicago Mercantile Exchange16 | |
| 11/15/43 | | | – | | | | 43,685 | | | | (18,039,237) | | | | (18,039,237) | |
| | | $– | | | | $292,485 | | | | $(78,475,796) | | | | $(78,475,796) | |
Notes:
| 1 | Cost for federal income tax purposes is $87,447,800,790 and net unrealized appreciation/(depreciation) consists of: |
| | | | |
Gross unrealized appreciation | | $ | 1,663,288,260 | |
Gross unrealized (depreciation) | | | (340,395,206 | ) |
| | | | |
| |
Net unrealized appreciation | | $ | 1,322,893,054 | |
| | | | |
| 2 | U.S. dollar-denominated security issued by foreign-domiciled entity. |
| 3 | Floating rate security. The rate disclosed was in effect at September 30, 2016. |
| 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 | Illiquid security as determined under procedures approved by the Funds’ Board of Trustees. The aggregate value of illiquid securities is $122,551,039, which is 0.15% of total net assets. |
| 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 | 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. |
See accompanying notes to Schedule of Portfolio Investments.
|
| 95 / Semi-Annual Report September 2016 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| 8 | Non-income producing security. |
| 9 | Security is currently in default with regard to scheduled interest or principal payments. |
| 10 | Zero coupon bond. The rate shown is the effective yield as of September 30, 2016. |
| 11 | Inflation protected security. Principal amount reflects original security face amount. |
| 12 | Represents annualized yield at date of purchase. |
| 13 | Represents the current yield as of September 30, 2016. |
| 14 | Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $77,436,094. |
| 15 | Securities, or a portion thereof, pledged as collateral for futures, call options written and put options written. The total market value of collateral pledged is $52,482,675. |
| † | Fair valued security. The aggregate value of fair valued securities is $35,510,397, 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.
(BKNT): Banker’s Note, Inc.
(CLO): Collateralized Loan Obligation
(DIP): Defaulted interest payment
(GMTN): Global medium-term note
(IO): Interest only
(JPY): Japanese Yen
(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
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2016 / 96 |
High Yield Bond Fund
Consolidated Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BONDS – 88.03% | |
BANK LOANS — 9.49%* | |
Communications — 2.09% | |
| Charter Communications Operating LLC, | | | | | | | | | |
| Term Loan E, 1st Lien | | | | | | | | | |
LIBOR plus 2.25% | | | 07/01/20 | 2 | | $ | 10,213,608 | | | $ | 10,257,680 | |
| Level 3 Financing, Inc., Term Loan B-III, 1st lien | | | | | | | | | |
LIBOR plus 3.00% | | | 08/01/19 | 2 | | | 2,250,000 | | | | 2,263,781 | |
| NEP/NCP Holdco, Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 8.75% | | | 07/22/20 | 2,3 | | | 3,056,250 | | | | 3,079,171 | |
| Nexstar Broadcasting, Inc., Bridge Term Loan | | | | | | | | | |
8.50% | | | 01/27/17 | 2,3 | | | 3,844,068 | | | | 3,844,068 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 19,444,700 | |
| | | | | | | | | | | | |
Consumer Discretionary — 1.18% | |
| CityCenter Holdings LLC, Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 3.25% | | | 10/16/20 | 2 | | | 2,984,377 | | | | 3,008,625 | |
| Hilton Worldwide Finance LLC, | | | | | | | | | |
| Term Loan B2, 1st Lien | | | | | | | | | |
LIBOR plus 2.50% | | | 09/23/20 | 2 | | | 3,613,487 | | | | 3,639,233 | |
| Reynolds Group Holdings, Inc., Term Loan, 1st Lien | | | | | | | | | |
LIBOR plus 3.25% | | | 02/05/23 | 2 | | | 2,300,000 | | | | 2,310,419 | |
| Yum! Brands, Inc., Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 2.75% | | | 06/16/23 | 2 | | | 1,995,000 | | | | 2,014,332 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 10,972,609 | |
| | | | | | | | | | | | |
Electric — 1.16% | |
| Dynegy, Inc., Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 4.00% | | | 06/27/23 | 2 | | | 2,670,000 | | | | 2,694,871 | |
| Texas Competitive Electric Holdings Co. LLC, Term Loan B, 1st Lien (DIP) | | | | | | | | | |
LIBOR plus 4.00% | | | 10/31/17 | 2 | | | 2,190,429 | | | | 2,209,792 | |
| Texas Competitive Electric Holdings Co. LLC, Term Loan C, 1st Lien (DIP) | | | | | | | | | |
LIBOR plus 4.00% | | | 10/31/17 | 2 | | | 499,571 | | | | 503,988 | |
| Viva Alamo LLC, Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 4.25% | | | 02/20/21 | 2,3 | | | 6,514,888 | | | | 5,325,921 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 10,734,572 | |
| | | | | | | | | | | | |
Energy — 0.90% | | | | | | | | | | | | |
| Drillships Financing Holding, Term Loan B1, 1st Lien | | | | | | | | | |
LIBOR plus 5.00% | | | 03/31/21 | 2 | | | 1,819,305 | | | | 917,839 | |
| Harvey Gulf International Marine LLC, Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 4.50% | | | 06/18/20 | 2,3 | | | 3,733,775 | | | | 2,361,613 | |
| Pacific Drilling SA, Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 3.50% | | | 06/03/18 | 2 | | | 969,925 | | | | 273,761 | |
| Power Buyer LLC, Term Loan, 1st Lien | | | | | | | | | |
LIBOR plus 3.25% | | | 05/06/20 | 2 | | | 453,376 | | | | 452,809 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BANK LOANS (continued) | |
Energy (continued) | |
| Power Buyer LLC, Term Loan, 2nd Lien | | | | | | | | | |
LIBOR plus 7.25% | | | 11/06/20 | 2,3 | | $ | 4,150,000 | | | $ | 4,139,625 | |
| Sabine Oil & Gas/NFR Energy, Term Loan, 2nd Lien4 | | | | | | | | | |
8.50% | | | 12/31/18 | 2,3,5 | | | 6,350,000 | | | | 230,188 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 8,375,835 | |
| | | | | | | | | | | | |
Finance — 0.30% | |
| Delos Finance SARL, Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 2.75% | | | 02/27/21 | 2 | | | 2,750,000 | | | | 2,772,921 | |
| | | | | | | | | | | | |
Health Care — 1.03% | |
| CHS/Community Health Systems, Inc., | | | | | | | | | |
| Term Loan G, 1st Lien | | | | | | | | | |
LIBOR plus 2.75% | | | 12/31/19 | 2 | | | 7,851,286 | | | | 7,718,795 | |
| NBTY, Inc. Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 4.00% | | | 05/05/23 | 2 | | | 1,865,325 | | | | 1,876,638 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 9,595,433 | |
| | | | | | | | | | | | |
Industrials — 1.07% | |
| Peacock Engineering Co. LLC, Term Loan, 1st Lien | | | | | | | | | |
PRIME plus 3.25% | | | 06/30/22 | 2 | | | 14,022 | | | | 14,066 | |
LIBOR plus 4.25% | | | 06/30/22 | 2 | | | 3,426,228 | | | | 3,436,935 | |
| Synagro Infrastructure, Term Loan, 1st Lien | | | | | | | | | |
LIBOR plus 5.25% | | | 08/22/20 | 2,3 | | | 4,713,605 | | | | 3,971,212 | |
| TransDigm, Inc., Term Loan E, 1st Lien | | | | | | | | | |
LIBOR plus 3.00% | | | 05/14/22 | 2 | | | 2,503,955 | | | | 2,510,215 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 9,932,428 | |
| | | | | | | | | | | | |
Information Technology — 0.64% | |
| First Data Corp., 2021 Extended Term Loan | | | | | | | | | |
LIBOR plus 4.00% | | | 03/24/21 | 2 | | | 2,292,780 | | | | 2,312,360 | |
| Linxens France SA, Term Loan, 1st Lien (France) | | | | | | | | | |
LIBOR plus 4.00% | | | 07/11/22 | 2,6 | | | 3,614,979 | | | | 3,637,572 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 5,949,932 | |
| | | | | | | | | | | | |
Retail — 0.75% | |
| Family Tree Escrow LLC, | | | | | | | | | |
| Term Loan B2, 1st Lien | | | | | | | | | |
4.25% | | | 07/06/22 | 2 | | | 6,900,000 | | | | 6,992,012 | |
| | | | | | | | | | | | |
Services — 0.37% | |
| CHI Overhead Doors, Term Loan, 2nd Lien | | | | | | | | | |
LIBOR plus 7.75% | | | 07/31/23 | 2,3 | | | 500,000 | | | | 492,813 | |
| NEP/NCP Holdco, Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 3.25% | | | 01/22/20 | 2 | | | 1,915,102 | | | | 1,911,913 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 97 / Semi-Annual Report September 2016 |
High Yield Bond Fund
Consolidated Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BANK LOANS (continued) | |
Services (continued) | |
| VGD Merger Sub LLC, Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 4.00% | | | 08/18/23 | 2 | | $ | 1,000,000 | | | $ | 1,010,315 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 3,415,041 | |
| | | | | | | | | | | | |
| | |
Total Bank Loans (Cost $98,442,860) | | | | | | | | 88,185,483 | |
| | | | | | | | | | | | |
|
CORPORATES — 77.78%* | |
Automotive — 1.23% | | | | | |
| Goodyear Tire & Rubber Co. (The) | | | | | | | | | |
7.00% | | | 05/15/22 | | | | 7,889,000 | | | | 8,431,369 | |
| Tenneco, Inc. | | | | | | | | | |
5.00% | | | 07/15/26 | | | | 1,355,000 | | | | 1,375,325 | |
5.38% | | | 12/15/24 | | | | 1,500,000 | | | | 1,582,500 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 11,389,194 | |
| | | | | | | | | | | | |
Banking — 0.92% | |
| Ally Financial, Inc. | | | | | | | | | |
3.25% | | | 11/05/18 | | | | 3,845,000 | | | | 3,877,683 | |
4.75% | | | 09/10/18 | | | | 4,530,000 | | | | 4,705,537 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 8,583,220 | |
| | | | | | | | | | | | |
Commercial Services — 0.52% | |
| IHS Markit, Ltd. (Bermuda) | | | | | | | | | |
5.00% | | | 11/01/22 | 6,7 | | | 4,530,000 | | | | 4,815,843 | |
| | | | | | | | | | | | |
Communications — 19.82% | |
| Altice Financing SA (Luxembourg) | | | | | | | | | |
7.50% | | | 05/15/26 | 6,7 | | | 2,850,000 | | | | 2,974,687 | |
| Altice U.S. Finance I Corp. | | | | | | | | | |
5.38% | | | 07/15/23 | 7 | | | 4,700,000 | | | | 4,876,250 | |
| Cable One, Inc. | | | | | | | | | | | | |
5.75% | | | 06/15/22 | 7 | | | 3,986,000 | | | | 4,175,335 | |
| CCO Holdings LLC/CCO Holdings Capital Corp. | | | | | | | | | |
6.63% | | | 01/31/22 | | | | 10,371,000 | | | | 10,889,550 | |
| Cequel Communications Holdings I LLC/Cequel Capital Corp. | | | | | | | | | |
5.13% | | | 12/15/21 | 3,7 | | | 500,000 | | | �� | 502,500 | |
5.13% | | | 12/15/21 | 7 | | | 325,000 | | | | 325,816 | |
6.38% | | | 09/15/20 | 7 | | | 1,675,000 | | | | 1,733,625 | |
| Clear Channel Worldwide Holdings, Inc., Series B | | | | | | | | | |
6.50% | | | 11/15/22 | | | | 1,108,000 | | | | 1,155,090 | |
| CSC Holdings LLC | | | | | | | | | |
6.75% | | | 11/15/21 | | | | 35,000 | | | | 37,100 | |
8.63% | | | 02/15/19 | | | | 7,855,000 | | | | 8,787,781 | |
| DISH DBS Corp. | | | | | | | | | |
4.63% | | | 07/15/17 | | | | 2,823,000 | | | | 2,886,517 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Communications (continued) | |
5.13% | | | 05/01/20 | | | $ | 497,000 | | | $ | 518,123 | |
7.88% | | | 09/01/19 | | | | 7,525,000 | | | | 8,465,625 | |
| Frontier Communications Corp. | | | | | | | | | |
8.88% | | | 09/15/20 | | | | 4,263,000 | | | | 4,609,369 | |
| Intelsat Jackson Holdings SA (Luxembourg) | | | | | | | | | |
5.50% | | | 08/01/23 | 6 | | | 6,195,000 | | | | 4,321,013 | |
7.25% | | | 04/01/19 | 6 | | | 2,800,000 | | | | 2,259,320 | |
| Lamar Media Corp. | | | | | | | | | |
5.75% | | | 02/01/26 | | | | 1,700,000 | | | | 1,845,563 | |
| Level 3 Financing, Inc. | | | | | | | | | |
5.25% | | | 03/15/26 | 7 | | | 1,000,000 | | | | 1,033,750 | |
6.13% | | | 01/15/21 | | | | 1,800,000 | | | | 1,869,750 | |
| LIN Television Corp. | | | | | | | | | |
5.88% | | | 11/15/22 | | | | 8,802,000 | | | | 9,264,105 | |
| Midcontinent Communications & Midcontinent Finance Corp. | | | | | | | | | |
6.88% | | | 08/15/23 | 7 | | | 2,500,000 | | | | 2,673,437 | |
| Neptune Finco Corp. | | | | | | | | | |
10.88% | | | 10/15/25 | 7 | | | 3,930,000 | | | | 4,627,575 | |
| Nexstar Escrow Corp. | | | | | | | | | |
5.63% | | | 08/01/24 | 7 | | | 2,785,000 | | | | 2,812,850 | |
| Numericable-SFR SA (France) | | | | | | | | | |
7.38% | | | 05/01/26 | 6,7 | | | 4,080,000 | | | | 4,175,635 | |
| Outfront Media Capital LLC/Outfront Media | | | | | | | | | |
| Capital Corp. | | | | | | | | | | | | |
5.25% | | | 02/15/22 | | | | 1,650,000 | | | | 1,722,187 | |
| Qwest Corp. | | | | | | | | | |
6.75% | | | 12/01/21 | | | | 505,000 | | | | 565,600 | |
7.25% | | | 09/15/25 | | | | 5,234,000 | | | | 5,737,249 | |
| Sinclair Television Group, Inc. | | | | | | | | | |
5.38% | | | 04/01/21 | | | | 5,350,000 | | | | 5,574,031 | |
| Sirius XM Radio, Inc. | | | | | | | | | |
4.25% | | | 05/15/20 | 7 | | | 100,000 | | | | 102,125 | |
5.75% | | | 08/01/21 | 7 | | | 12,809,000 | | | | 13,414,546 | |
5.88% | | | 10/01/20 | 7 | | | 2,675,000 | | | | 2,751,906 | |
| Softbank Group Corp. (Japan) | | | | | | | | | |
4.50% | | | 04/15/20 | 6,7 | | | 4,455,000 | | | | 4,627,631 | |
| Sprint Communications, Inc. | | | | | | | | | |
9.00% | | | 11/15/18 | 7 | | | 10,057,000 | | | | 11,126,059 | |
9.25% | | | 04/15/22 | | | | 7,849,000 | | | | 8,398,430 | |
| TEGNA, Inc. | | | | | | | | | |
5.13% | | | 10/15/19 | | | | 930,000 | | | | 962,550 | |
| T-Mobile USA, Inc. | | | | | | | | | |
6.54% | | | 04/28/20 | | | | 2,850,000 | | | | 2,949,750 | |
6.63% | | | 11/15/20 | | | | 18,348,000 | | | | 18,967,245 | |
6.73% | | | 04/28/22 | | | | 3,500,000 | | | | 3,692,500 | |
| Univision Communications, Inc. | | | | | | | | | |
5.13% | | | 05/15/23 | 7 | | | 5,025,000 | | | | 5,112,937 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2016 / 98 |
High Yield Bond Fund
Consolidated Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Communications (continued) | | | | | |
| Virgin Media Secured Finance PLC (United Kingdom) | | | | | | | | | |
5.38% | | | 04/15/21 | 6,7 | | $ | 5,504,400 | | | $ | 5,758,979 | |
5.50% | | | 08/15/26 | 6,7 | | | 1,754,000 | | | | 1,797,850 | |
| Windstream Services LLC | | | | | | | | | |
6.38% | | | 08/01/23 | | | | 995,000 | | | | 907,938 | |
| Ziggo Secured Finance BV (Netherlands) | | | | | | | | | |
5.50% | | | 01/15/27 | 6,7 | | | 3,050,000 | | | | 3,053,813 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 184,043,692 | |
| | | | | | | | | | | | |
Consumer Discretionary — 8.76% | |
| Churchill Downs, Inc. | | | | | | | | | |
5.38% | | | 12/15/21 | 7 | | | 8,238,000 | | | | 8,567,520 | |
5.38% | | | 12/15/21 | | | | 720,000 | | | | 752,400 | |
| Constellation Brands, Inc. | | | | | | | | | |
4.75% | | | 12/01/25 | | | | 4,030,000 | | | | 4,372,550 | |
6.00% | | | 05/01/22 | | | | 1,418,000 | | | | 1,636,017 | |
| Cott Beverages, Inc. | | | | | | | | | |
6.75% | | | 01/01/20 | | | | 7,890,000 | | | | 8,245,050 | |
| DS Services of America, Inc. | | | | | | | | | |
10.00% | | | 09/01/21 | 7 | | | 5,979,000 | | | | 6,696,480 | |
| Hilton Worldwide Finance LLC/Hilton Worldwide Finance Corp. | | | | | | | | | |
5.63% | | | 10/15/21 | | | | 5,095,000 | | | | 5,248,222 | |
| Isle of Capri Casinos, Inc. | | | | | | | | | |
5.88% | | | 03/15/21 | | | | 2,850,000 | | | | 2,992,500 | |
| KFC Holding Co/Pizza Hut Holdings LLC/Taco Bell of America LLC | | | | | | | | | |
5.00% | | | 06/01/24 | 7 | | | 3,740,000 | | | | 3,917,650 | |
| MGM Resorts International | | | | | | | | | |
8.63% | | | 02/01/19 | | | | 2,240,000 | | | | 2,536,800 | |
| NCL Corp. Ltd. (Bermuda) | | | | | | | | | |
5.25% | | | 11/15/19 | 6,7 | | | 5,715,000 | | | | 5,800,725 | |
| Nielsen Co., Luxembourg SARL (The) (Luxembourg) | | | | | | | | | |
5.50% | | | 10/01/21 | 6,7 | | | 5,020,000 | | | | 5,271,000 | |
| Nielsen Finance LLC/Nielsen Finance Co. | | | | | | | | | |
5.00% | | | 04/15/22 | 7 | | | 785,000 | | | | 811,494 | |
| Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp. | | | | | | | | | |
5.88% | | | 01/15/24 | 7 | | | 75,000 | | | | 80,437 | |
| Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC | | | | | | | | | |
4.13% | | | 07/15/21 | 2,7 | | | 12,500,000 | | | | 12,718,750 | |
5.75% | | | 10/15/20 | | | | 8,281,000 | | | | 8,570,835 | |
| RSI Home Products, Inc. | | | | | | | | | |
6.50% | | | 03/15/23 | 7 | | | 2,285,000 | | | | 2,422,100 | |
| Spectrum Brands, Inc. | | | | | | | | | |
5.75% | | | 07/15/25 | | | | 84,000 | | | | 91,686 | |
6.63% | | | 11/15/22 | | | | 605,000 | | | | 656,425 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Consumer Discretionary
(continued) | | | | | |
| | | |
| | | | | | | | | | $ | 81,388,641 | |
| | | | | | | | | | | | |
Consumer Products — 0.18% | | | | | |
| Central Garden & Pet Co. | | | | | | | | | |
6.13% | | | 11/15/23 | | | $ | 1,580,000 | | | | 1,698,500 | |
| | | | | | | | | | | | |
Electric — 2.19% | |
| Dynegy, Inc. | | | | | | | | | |
5.88% | | | 06/01/23 | | | | 2,000,000 | | | | 1,800,100 | |
| FPL Energy National Wind Portfolio LLC | | | | | | | | | |
6.13% | | | 03/25/19 | 7 | | | 200,437 | | | | 201,439 | |
| GenOn Americas Generation LLC | | | | | | | | | |
8.50% | | | 10/01/21 | 3 | | | 4,700,000 | | | | 3,995,000 | |
| Homer City Generation LP (PIK) | | | | | | | | | |
8.14% | | | 10/01/19 | 3,8 | | | 8,063,387 | | | | 3,023,770 | |
8.73% | | | 10/01/26 | 3,9 | | | 20,640,512 | | | | 7,533,787 | |
| Indiantown Cogeneration LP, Series A-10 | | | | | | | | | |
9.77% | | | 12/15/20 | 3 | | | 450,272 | | | | 487,983 | |
| Mirant Mid Atlantic Pass-Through Trust, Series C | | | | | | | | | |
10.06% | | | 12/30/28 | 3 | | | 2,372,407 | | | | 1,862,339 | |
| Red Oak Power LLC, Series A | | | | | | | | | |
8.54% | | | 11/30/19 | | | | 1,391,647 | | | | 1,400,345 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 20,304,763 | |
| | | | | | | | | | | | |
Energy — 6.44% | |
| Arch Coal, Inc.4 | | | | | | | | | |
7.00% | | | 06/15/19 | 5 | | | 8,415,000 | | | | 404,972 | |
8.00% | | | 01/15/19 | 5,7 | | | 5,990,000 | | | | 306,987 | |
| Chesapeake Energy Corp. | | | | | | | | | |
5.75% | | | 03/15/23 | | | | 1,000,000 | | | | 855,000 | |
6.63% | | | 08/15/20 | | | | 500,000 | | | | 473,125 | |
| Concho Resources, Inc. | | | | | | | | | |
5.50% | | | 04/01/23 | | | | 1,806,000 | | | | 1,871,467 | |
| Endeavor Energy Resources LP/EER Finance, Inc. | | | | | | | | | |
7.00% | | | 08/15/21 | 7 | | | 960,000 | | | | 991,200 | |
| Energy Transfer Partners LP | | | | | | | | | |
3.77% | | | 11/01/66 | 2 | | | 12,500,000 | | | | 8,500,000 | |
| EP Energy LLC/EP Energy Finance, Inc. | | | | | | | | | |
9.38% | | | 05/01/20 | | | | 1,766,000 | | | | 1,258,275 | |
| Gulfport Energy Corp. | | | | | | | | | |
6.63% | | | 05/01/23 | | | | 1,100,000 | | | | 1,133,000 | |
| MEG Energy Corp. (Canada) | | | | | | | | | |
6.50% | | | 03/15/21 | 6,7 | | | 430,000 | | | | 353,159 | |
7.00% | | | 03/31/24 | 6,7 | | | 2,000,000 | | | | 1,590,000 | |
| Newfield Exploration Co. | | | | | | | | | |
5.38% | | | 01/01/26 | | | | 2,540,000 | | | | 2,565,400 | |
| NGPL Pipe Co. LLC | | | | | | | | | |
7.12% | | | 12/15/17 | 7 | | | 7,052,000 | | | | 7,404,600 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 99 / Semi-Annual Report September 2016 |
High Yield Bond Fund
Consolidated Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Energy (continued) | |
| Parsley Energy LLC/Parsley Finance Corp. | | | | | | | | | |
6.25% | | | 06/01/24 | 7 | | $ | 4,205,000 | | | $ | 4,362,687 | |
| PDC Energy, Inc. | | | | | | | | | |
6.13% | | | 09/15/24 | 7 | | | 2,805,000 | | | | 2,910,187 | |
| Peabody Energy Corp.4 | | | | | | | | | |
4.75% | | | 12/15/41 | 5 | | | 16,800,000 | | | | 504,000 | |
6.00% | | | 11/15/18 | 5 | | | 5,080,000 | | | | 1,244,600 | |
| QEP Resources, Inc. | | | | | | | | | |
5.25% | | | 05/01/23 | | | | 813,000 | | | | 804,870 | |
| Range Resources Corp. | | | | | | | | | |
4.88% | | | 05/15/25 | | | | 1,604,000 | | | | 1,547,860 | |
| Rockies Express Pipeline LLC | | | | | | | | | |
5.63% | | | 04/15/20 | 7 | | | 1,135,000 | | | | 1,200,263 | |
6.00% | | | 01/15/19 | 7 | | | 805,000 | | | | 849,275 | |
| Sabine Pass LNG LP | | | | | | | | | |
7.50% | | | 11/30/16 | | | | 9,610,000 | | | | 9,664,056 | |
| Seventy Seven Energy, Inc. | | | | | | | | | |
6.50% | | | 01/01/49 | 3,† | | | 1,291,000 | | | | — | |
| Summit Midstream Holdings LLC/Summit | | | | | | | | | |
| Midstream Finance Corp. | | | | | | | | | |
7.50% | | | 07/01/21 | | | | 2,640,000 | | | | 2,745,600 | |
| Sunoco LP/Sunoco Finance Corp. | | | | | | | | | |
5.50% | | | 08/01/20 | 7 | | | 3,145,000 | | | | 3,196,106 | |
| Walter Energy, Inc.4 | | | | | | | | | |
8.50% | | | 04/15/21 | 5 | | | 8,905,000 | | | | 2,004 | |
11.00% | | | 04/01/20 | 5,7 | | | 15,537,550 | | | | 3,496 | |
| Whiting Petroleum Corp. | | | | | | | | | |
5.00% | | | 03/15/19 | | | | 1,099,000 | | | | 1,068,778 | |
| WPX Energy, Inc. | | | | | | | | | |
5.25% | | | 09/15/24 | | | | 2,130,000 | | | | 1,991,550 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 59,802,517 | |
| | | | | | | | | | | | |
Entertainment — 0.73% | |
| Carmike Cinemas, Inc. | | | | | | | | | |
6.00% | | | 06/15/23 | 7 | | | 6,495,000 | | | | 6,787,275 | |
| | | | | | | | | | | | |
Finance — 5.09% | |
| Alta Wind Holdings LLC | | | | | | | | | |
7.00% | | | 06/30/35 | 3,7 | | | 1,572,196 | | | | 1,633,719 | |
| Chase Capital II, Series B | | | | | | | | | |
1.26% | | | 02/01/27 | 2 | | | 1,790,000 | | | | 1,593,100 | |
| Chase Capital VI | | | | | | | | | |
1.38% | | | 08/01/28 | 2 | | | 4,000,000 | | | | 3,530,000 | |
| CIT Group, Inc. | | | | | | | | | |
4.25% | | | 08/15/17 | | | | 1,000,000 | | | | 1,020,000 | |
5.25% | | | 03/15/18 | | | | 2,900,000 | | | | 3,023,250 | |
5.50% | | | 02/15/19 | 7 | | | 1,850,000 | | | | 1,963,313 | |
6.63% | | | 04/01/18 | 7 | | | 7,846,000 | | | | 8,346,182 | |
| Citigroup, Inc. | | | | | | | | | |
1.38% | | | 08/25/36 | 2 | | | 9,460,000 | | | | 7,008,543 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Finance (continued) | |
| Double Eagle Acquisition Sub, Inc. | | | | | | | | | |
7.50% | | | 10/01/24 | 7 | | $ | 6,590,000 | | | $ | 6,672,375 | |
| International Lease Finance Corp. | | | | | | | | | |
6.25% | | | 05/15/19 | | | | 4,000,000 | | | | 4,345,000 | |
7.13% | | | 09/01/18 | 7 | | | 2,892,000 | | | | 3,161,317 | |
| JPMorgan Chase Capital XXI, Series U | | | | | | | | | |
1.71% | | | 02/02/37 | 2 | | | 2,750,000 | | | | 2,215,821 | |
| JPMorgan Chase Capital XXIII | | | | | | | | | |
1.82% | | | 05/15/47 | 2 | | | 2,320,000 | | | | 1,780,600 | |
| Midas Intermediate Holdco II LLC/ Midas Intermediate Holdco II Finance, Inc. | | | | | | | | | |
7.88% | | | 10/01/22 | 7 | | | 936,000 | | | | 957,060 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 47,250,280 | |
| | | | | | | | | | | | |
Food — 0.14% | |
| B&G Foods, Inc. | | | | | | | | | |
4.63% | | | 06/01/21 | | | | 455,000 | | | | 470,925 | |
| TreeHouse Foods, Inc. | | | | | | | | | |
6.00% | | | 02/15/24 | 7 | | | 800,000 | | | | 865,000 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 1,335,925 | |
| | | | | | | | | | | | |
Gaming — 0.64% | |
| Boyd Gaming Corp. | | | | | | | | | |
6.88% | | | 05/15/23 | | | | 2,905,000 | | | | 3,159,187 | |
| Rivers Pittsburgh Borrower LP/Rivers | | | | | | | | | |
| Pittsburgh Finance Corp. | | | | | | | | | |
6.13% | | | 08/15/21 | 7 | | | 2,720,000 | | | | 2,815,200 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 5,974,387 | |
| | | | | | | | | | | | |
Health Care — 12.88% | |
| Acadia Healthcare Co., Inc. | | | | | | | | | |
6.50% | | | 03/01/24 | | | | 1,453,000 | | | | 1,525,650 | |
| Centene Corp. | | | | | | | | | |
5.63% | | | 02/15/21 | | | | 500,000 | | | | 531,250 | |
| DaVita HealthCare Partners, Inc. | | | | | | | | | |
5.00% | | | 05/01/25 | | | | 4,460,000 | | | | 4,499,248 | |
5.13% | | | 07/15/24 | | | | 1,130,000 | | | | 1,156,837 | |
5.75% | | | 08/15/22 | | | | 4,760,000 | | | | 5,003,950 | |
| Endo Ltd./Endo Finance LLC/ Endo Finco, Inc. (Ireland) | | | | | | | | | |
6.00% | | | 07/15/23 | 6,7 | | | 1,278,000 | | | | 1,169,370 | |
6.50% | | | 02/01/25 | 6,7 | | | 1,685,000 | | | | 1,491,225 | |
| Fresenius Medical Care U.S. Finance II, Inc. | | | | | | | | | |
4.13% | | | 10/15/20 | 7 | | | 5,925,000 | | | | 6,228,656 | |
4.75% | | | 10/15/24 | 7 | | | 2,750,000 | | | | 2,901,250 | |
| Grifols Worldwide Operations, Ltd. (Ireland) | | | | | | | | | |
5.25% | | | 04/01/22 | 6 | | | 4,975,000 | | | | 5,174,000 | |
| HCA, Inc. | | | | | | | | | |
4.75% | | | 05/01/23 | | | | 5,795,000 | | | | 6,068,451 | |
5.00% | | | 03/15/24 | | | | 3,275,000 | | | | 3,463,313 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2016 / 100 |
High Yield Bond Fund
Consolidated Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Health Care (continued) | |
6.50% | | | 02/15/20 | | | $ | 13,286,000 | | | $ | 14,790,639 | |
| HealthSouth Corp. | | | | | | | | | |
5.75% | | | 11/01/24 | | | | 3,240,000 | | | | 3,371,609 | |
| Hill-Rom Holdings, Inc. | | | | | | | | | |
5.75% | | | 09/01/23 | 7 | | | 1,087,000 | | | | 1,164,231 | |
| Hologic, Inc. | | | | | | | | | |
5.25% | | | 07/15/22 | 7 | | | 1,000,000 | | | | 1,065,000 | |
| LifePoint Health, Inc. | | | | | | | | | |
5.50% | | | 12/01/21 | | | | 1,255,000 | | | | 1,313,044 | |
| Molina Healthcare, Inc. | | | | | | | | | |
5.38% | | | 11/15/22 | | | | 4,553,000 | | | | 4,723,737 | |
| MPH Acquisition Holdings LLC | | | | | | | | | |
7.13% | | | 06/01/24 | 7 | | | 920,000 | | | | 993,600 | |
| NBTY, Inc. | | | | | | | | | |
7.63% | | | 05/15/21 | 7 | | | 4,052,000 | | | | 4,147,425 | |
| Quintiles Transnational Corp. | | | | | | | | | |
4.88% | | | 05/15/23 | 7 | | | 2,877,000 | | | | 2,975,897 | |
| RegionalCare Hospital Partners Holdings, Inc. | | | | | | | | | |
8.25% | | | 05/01/23 | 7 | | | 1,483,000 | | | | 1,538,613 | |
| Teleflex, Inc. | | | | | | | | | |
4.88% | | | 06/01/26 | | | | 844,000 | | | | 873,013 | |
| Tenet Healthcare Corp. | | | | | | | | | |
4.35% | | | 06/15/20 | 2 | | | 750,000 | | | | 757,575 | |
4.50% | | | 04/01/21 | | | | 1,033,000 | | | | 1,039,456 | |
6.00% | | | 10/01/20 | | | | 15,344,000 | | | | 16,264,640 | |
| Valeant Pharmaceuticals International, Inc. (Canada) | | | | | | | | | |
5.63% | | | 12/01/21 | 6,7 | | | 1,500,000 | | | | 1,340,625 | |
5.88% | | | 05/15/23 | 6,7 | | | 8,678,000 | | | | 7,539,013 | |
6.13% | | | 04/15/25 | 6,7 | | | 11,195,000 | | | | 9,711,663 | |
| WellCare Health Plans, Inc. | | | | | | | | | |
5.75% | | | 11/15/20 | | | | 6,580,000 | | | | 6,797,963 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 119,620,943 | |
| | | | | | | | | | | | |
Home Builders — 0.23% | |
| Shea Homes LP/Shea Homes Funding Corp. | | | | | | | | | |
6.13% | | | 04/01/25 | 7 | | | 2,080,000 | | | | 2,083,900 | |
| | | | | | | | | | | | |
Industrials — 6.13% | |
| Ardagh Packaging Finance PLC/Ardagh | | | | | | | | | |
| Holdings USA, Inc. (Ireland) | | | | | | | | | |
3.85% | | | 12/15/19 | 2,6,7 | | | 3,100,000 | | | | 3,150,530 | |
4.07% | | | 05/15/21 | 2,6,7 | | | 10,050,000 | | | | 10,225,875 | |
| Ball Corp. | | | | | | | | | |
4.00% | | | 11/15/23 | | | | 3,400,000 | | | | 3,451,000 | |
4.38% | | | 12/15/20 | | | | 1,000,000 | | | | 1,072,500 | |
| Berry Plastics Corp. | | | | | | | | | |
5.13% | | | 07/15/23 | | | | 1,057,000 | | | | 1,079,461 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | | | | | |
Industrials (continued) | | | | | | | | | |
| Clean Harbors, Inc. | | | | | | | | | |
5.13% | | | 06/01/21 | | | $ | 7,453,000 | | | $ | 7,676,590 | |
| Coveris Holdings SA (Luxembourg) | | | | | | | | | |
7.88% | | | 11/01/19 | 6,7 | | | 2,400,000 | | | | 2,466,000 | |
| Graphic Packaging International, Inc. | | | | | | | | | |
4.13% | | | 08/15/24 | | | | 4,635,000 | | | | 4,681,350 | |
| KLX, Inc. | | | | | | | | | |
5.88% | | | 12/01/22 | 7 | | | 1,449,000 | | | | 1,503,337 | |
| Orbital ATK, Inc. | | | | | | | | | |
5.50% | | | 10/01/23 | | | | 4,685,000 | | | | 4,930,963 | |
| SBA Communications Corp. | | | | | | | | | |
4.88% | | | 09/01/24 | 7 | | | 9,800,000 | | | | 9,922,500 | |
5.63% | | | 10/01/19 | | | | 2,500,000 | | | | 2,579,625 | |
| Sealed Air Corp. | | | | | | | | | |
5.13% | | | 12/01/24 | 7 | | | 1,540,000 | | | | 1,634,325 | |
| Standard Industries, Inc. | | | | | | | | | |
5.13% | | | 02/15/21 | 7 | | | 395,000 | | | | 417,466 | |
| TransDigm, Inc. | | | | | | | | | |
5.50% | | | 10/15/20 | | | | 2,090,000 | | | | 2,154,006 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 56,945,528 | |
| | | | | | | | | | | | |
Information Technology — 4.57% | |
| First Data Corp. | | | | | | | | | |
5.00% | | | 01/15/24 | 7 | | | 1,500,000 | | | | 1,528,125 | |
5.38% | | | 08/15/23 | 7 | | | 5,716,000 | | | | 5,916,346 | |
6.75% | | | 11/01/20 | 7 | | | 11,880,000 | | | | 12,370,050 | |
| IMS Health, Inc. | | | | | | | | | |
5.00% | | | 10/15/26 | 7 | | | 5,000,000 | | | | 5,225,000 | |
| MSCI, Inc. | | | | | | | | | |
4.75% | | | 08/01/26 | 7 | | | 4,297,000 | | | | 4,393,683 | |
| NXP BV/NXP Funding LLC (Netherlands) | | | | | | | | | |
3.88% | | | 09/01/22 | 6,7 | | | 2,500,000 | | | | 2,634,670 | |
4.13% | | | 06/01/21 | 6,7 | | | 4,475,000 | | | | 4,805,031 | |
| Open Text Corp. (Canada) | | | | | | | | | |
5.88% | | | 06/01/26 | 6,7 | | | 2,360,000 | | | | 2,475,050 | |
| PTC, Inc. | | | | | | | | | |
6.00% | | | 05/15/24 | | | | 1,525,000 | | | | 1,635,563 | |
| SS&C Technologies Holdings, Inc. | | | | | | | | | |
5.88% | | | 07/15/23 | | | | 1,400,000 | | | | 1,480,500 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 42,464,018 | |
| | | | | | | | | | | | |
Materials — 1.42% | |
| Axalta Coating Systems LLC | | | | | | | | | |
4.88% | | | 08/15/24 | 7 | | | 2,700,000 | | | | 2,781,000 | |
| Momentive Performance Materials, Inc.4 | | | | | | | | | |
8.88% | | | 10/15/20 | 3,5,† | | | 4,625,000 | | | | — | |
| Valvoline, Inc. | | | | | | | | | |
5.50% | | | 07/15/24 | 7 | | | 9,945,000 | | | | 10,417,388 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 13,198,388 | |
| | | | | | | | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 101 / Semi-Annual Report September 2016 |
High Yield Bond Fund
Consolidated Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Real Estate Investment Trust (REIT) — 1.88% | |
| DuPont Fabros Technology LP | | | | | | | | | |
5.88% | | | 09/15/21 | | | $ | 4,675,000 | | | $ | 4,914,594 | |
| Equinix, Inc. | | | | | | | | | |
5.88% | | | 01/15/26 | | | | 1,020,000 | | | | 1,101,600 | |
| VEREIT Operating Partnership LP | | | | | | | | | |
3.00% | | | 02/06/19 | | | | 8,300,000 | | | | 8,466,000 | |
4.13% | | | 06/01/21 | | | | 2,833,000 | | | | 2,939,238 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 17,421,432 | |
| | | | | | | | | | | | |
Retail — 0.11% | |
| Dollar Tree, Inc. | | | | | | | | | |
5.25% | | | 03/01/20 | | | | 475,000 | | | | 495,781 | |
5.75% | | | 03/01/23 | | | | 510,000 | | | | 551,437 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 1,047,218 | |
| | | | | | | | | | | | |
Services — 1.34% | |
| Aramark Services, Inc. | | | | | | | | | |
5.13% | | | 01/15/24 | 7 | | | 5,165,000 | | | | 5,384,513 | |
5.13% | | | 01/15/24 | | | | 256,000 | | | | 266,240 | |
5.75% | | | 03/15/20 | | | | 2,876,000 | | | | 2,973,065 | |
| United Rentals North America, Inc. | | | | | | | | | |
4.63% | | | 07/15/23 | | | | 3,720,000 | | | | 3,826,950 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 12,450,768 | |
| | | | | | | | | | | | |
Transportation — 2.56% | |
| American Airlines Pass-Through Trust, Series 2013-1, Class B | | | | | | | | | |
5.63% | | | 01/15/21 | 7 | | | 4,779,256 | | | | 4,997,309 | |
| Continental Airlines Pass-Through Trust, | | | | | | | | | |
| Series 2007, Class 1B | | | | | | | | | |
6.90% | | | 04/19/22 | | | | 2,990,086 | | | | 3,173,229 | |
| Delta Air Lines Pass-Through Trust, | | | | | | | | | |
| Series 2002-1, Class G1 | | | | | | | | | |
6.72% | | | 01/02/23 | | | | 8,472,197 | | | | 9,785,387 | |
| Delta Air Lines Pass-Through Trust, Series 2009-1, Class B | | | | | | | | | |
9.75% | | | 12/17/16 | | | | 926,873 | | | | 945,966 | |
| U.S. Airways Pass-Through Trust, Series 2011-1, Class A | | | | | | | | | |
6.25% | | | 04/22/23 | | | | 1,693,013 | | | | 1,930,035 | |
| U.S. Airways Pass-Through Trust, Series 2012-1, Class A | | | | | | | | | |
5.90% | | | 10/01/24 | | | | 2,558,223 | | | | 2,951,550 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 23,783,476 | |
| | | | | | | | | | | | |
| | |
Total Corporates (Cost $768,466,275) | | | | | | | | 722,389,908 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED — 0.76%** | |
Non-Agency Mortgage-Backed — 0.76% | |
| Countrywide Asset-Backed Certificates, Series 2007-13, Class 2A1 | | | | | | | | | |
1.43% | | | 10/25/47 | 2 | | $ | 322,106 | | | | $ 295,376 | |
| Soundview Home Loan Trust, | | | | | | | | | |
| Series 2006-EQ1, Class A4 | | | | | | | | | |
0.78% | | | 10/25/36 | 2 | | | 9,100,000 | | | | 6,736,178 | |
| | | | | | | | | |
| | |
Total Mortgage-Backed (Cost $6,845,996) | | | | | | | | 7,031,554 | |
| | | | | | | | | |
| | |
Total Bonds – 88.03% (Cost $873,755,131) | | | | | | | | 817,606,945 | |
| | | | | | | | | |
| | | | | | | | | |
| Issues | | | Shares | | | Value | |
COMMON STOCK — 0.17% | |
Energy — 0.10% | |
| Mach Gen LLC, Escrow | | | | | | | | | |
| Holding3,4 | | | | 347,486 | | | | 912,151 | |
Seventy Seven Energy, Inc.3 | | | | 2,051 | | | | 38,666 | |
| | |
| | | | | | | | 950,817 | |
Secured Assets — 0.07% | | | | | | | | | |
Entegra TC LLC3,10 | | | | 28,545 | | | | 670,807 | |
| | |
Total Common Stock (Cost $3,920,920) | | | | | | | | 1,621,624 | |
| | | | | | | | | |
| Issues | | | Shares | | | Value | |
WARRANT — 0.01% | |
Energy — 0.01% | |
Seventy Seven Energy, Inc.3 | | | | 11,138 | | | | 59,405 | |
| | |
Total Warrant (Cost $50,121) | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount/
Shares | | | Value | |
SHORT-TERM INVESTMENTS — 8.88% | |
Money Market Funds — 0.09% | |
| JPMorgan U.S. Government | | | | | | | | | |
| Money Market Fund | | | | | | | | | |
0.33%11 | | | $ | 792,000 | | | | 792,000 | |
U.S. Agency Discount Notes — 1.51% | |
| Federal Home Loan Bank | | | | | | | | | |
0.40%12 | | | 10/19/16 | | | | 14,000,000 | | | | 13,998,635 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2016 / 102 |
High Yield Bond Fund
Consolidated Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount/
Shares | | | Value | |
SHORT-TERM INVESTMENTS (continued) | |
U.S. Treasury Bills — 7.28% | |
| U.S. Treasury Bills | | | | | | | | | |
0.19%12 | | | 01/05/17 | | | $ | 24,700,000 | | | $ | 24,682,908 | |
0.25%12 | | | 12/15/16 | | | | 1,000,000 | | | | 999,658 | |
0.33%12 | | | 01/12/17 | | | | 21,000,000 | | | | 20,986,652 | |
0.45%12 | | | 02/23/17 | | | | 21,000,000 | | | | 20,971,713 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 67,640,931 | |
| | | | | | | | | | | | |
Total Short-Term Investments (Cost $82,417,534) | | | | 82,431,566 | |
| | | | | | | | | | | | |
| |
Total Investments – 97.09% (Cost $960,143,706)1 | | | | 901,719,540 | |
| | | | | | | | | | | | |
| |
Cash and Other Assets, Less Liabilities – 2.91% | | | | 27,034,367 | |
| | | | | | | | | | | | |
| |
Net Assets – 100.00% | | | $ | 928,753,907 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
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 Alcoa, Inc., 5.72%, due 02/23/19 Counterparty: Goldman Sachs, Inc. Credit contract | |
| 03/20/19 | | | $161,020 | | | | $ 9,750 | | | | $(199,368) | | | | $(38,348) | |
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 Credit contract | |
| 03/20/19 | | | 89,085 | | | | 5,000 | | | | (40,061) | | | | 49,024 | |
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 Credit contract | |
| 03/20/19 | | | 100,877 | | | | 5,000 | | | | (120,543) | | | | (19,666) | |
| | | | |
| | | $350,982 | | | | $19,750 | | | | $(359,972) | | | | $ (8,990) | |
| a | The maximum potential payment the Fund could 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 $964,738,267 and net unrealized appreciation/(depreciation) consists of: |
| | | | |
Gross unrealized appreciation | | $ | 22,511,711 | |
Gross unrealized (depreciation) | | | (85,530,438 | ) |
| | | | |
| |
Net unrealized (depreciation) | | $ | (63,018,727 | ) |
| | | | |
| 2 | Floating rate security. The rate disclosed was in effect at September 30, 2016. |
| 3 | Illiquid security as determined under procedures approved by the Funds’ Board of Trustees. The aggregate value of illiquid securities is $44,164,739, which is 4.76% of total net assets. |
| 4 | Non-income producing security. |
| 5 | Security is currently in default with regard to scheduled interest or principal payments. |
| 6 | U.S. dollar-denominated security issued by foreign-domiciled entity. |
| 7 | 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. |
| 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 | All or a portion of this security is owned by Metropolitan West HY Sub I LLC, a consolidated subsidiary. |
| 11 | Represents the current yield as of September 30, 2016. |
| 12 | Represents annualized yield at date of purchase. |
| † | Fair valued security. The aggregate value of fair valued securities is $0, which is 0.00% 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.
(DIP): Defaulted interest payment
(LIBOR): London InterBank Offer Rate
(PIK): Payment in kind
See accompanying notes to Schedule of Portfolio Investments.
|
| 103 / Semi-Annual Report September 2016 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BONDS – 89.04% | |
ASSET-BACKED SECURITIES — 12.63%** | |
| 321 Henderson Receivables VI LLC | | | | | |
| Series 2010-1A, Class B | | | | | | | | | |
9.31% | | | 07/15/61 | 2 | | $ | 525,116 | | | $ | 642,229 | |
Access Group, Inc.,
Series 2001, Class 2A1 | | | | | | | | | |
1.19% | | | 05/25/29 | 3 | | | 2,145,034 | | | | 2,059,056 | |
Access Group, Inc.,
Series 2015-1, Class A | | | | | | | | | |
1.23% | | | 07/25/56 | 2,3 | | | 7,015,356 | | | | 6,869,457 | |
| Bank of America Credit Card Trust, Series 2014-A2, Class A | | | | | | | | | |
0.79% | | | 09/16/19 | 3 | | | 5,710,000 | | | | 5,716,135 | |
Brazos Higher Education Authority, Inc., Series 2005-3, Class A16 | | | | | |
1.06% | | | 06/25/26 | 3 | | | 150,000 | | | | 145,706 | |
Brazos Higher Education Authority, Inc., Series 2006-2, Class A9 | | | | | |
0.87% | | | 12/26/24 | 3 | | | 34,379 | | | | 33,735 | |
Brazos Higher Education Authority, Inc., Series 2011-1, Class A2 | | | | | |
1.63% | | | 02/25/30 | 3 | | | 106,830 | | | | 106,034 | |
Chase Issuance Trust, Series 2012-A10, Class A10 | | | | | | | | | |
0.78% | | | 12/16/19 | 3 | | | 6,010,000 | | | | 6,019,981 | |
Chase Issuance Trust, Series 2015-A1, Class A1 | | | | | | | | | |
0.84% | | | 02/18/20 | 3 | | | 2,000,000 | | | | 2,004,929 | |
CIT Education Loan Trust, Series 2007-1, Class A | | | | | | | | | |
0.95% | | | 03/25/42 | 2,3 | | | 3,860,243 | | | | 3,590,840 | |
CIT Education Loan Trust, Series 2007-1, Class B | | | | | | | | | |
1.16% | | | 06/25/42 | 2,3 | | | 3,453,659 | | | | 2,912,218 | |
| Citibank Credit Card Issuance Trust, | | | | | |
| Series 2008-A2, Class A2 | | | | | | | | | |
1.70% | | | 01/23/20 | 3 | | | 5,980,000 | | | | 6,063,781 | |
Edsouth Indenture No. 3 LLC, Series 2012-2, Class A | | | | | |
1.26% | | | 04/25/39 | 2,3 | | | 270,114 | | | | 259,852 | |
| Education Loan Asset-Backed Trust, | | | | | |
| Series 2013-1, Class A2 | | | | | | | | | |
1.33% | | | 04/26/32 | 2,3 | | | 3,465,000 | | | | 3,315,262 | |
Educational Funding of the South, Inc., Series 2012-1, Class A | | | | | |
1.57% | | | 03/25/36 | 3 | | | 146,094 | | | | 144,247 | |
EFS Volunteer No. 2 LLC, Series 2012-1, Class A2 | | | | | |
1.88% | | | 03/25/36 | 2,3 | | | 6,400,000 | | | | 6,335,585 | |
GCO Education Loan Funding Trust, Series 2006-2AR, Class A1RN | | | | | |
1.18% | | | 08/27/46 | 2,3 | | | 2,938,422 | | | | 2,657,143 | |
GCO Education Loan Funding Trust, Series 2007-1A, Class A5L | | | | | |
0.90% | | | 05/25/23 | 2,3 | | | 48,163 | | | | 47,897 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | |
GE Business Loan Trust, Series 2005-1A, Class A3 | | | | | | | | | |
0.77% | | | 06/15/33 | 2,3 | | $ | 2,139,943 | | | $ | 1,995,618 | |
GE Business Loan Trust, Series 2005-2A, Class A | | | | | | | | | |
0.76% | | | 11/15/33 | 2,3 | | | 7,055,148 | | | | 6,735,475 | |
Global SC Finance II SRL, Series 2014-1A, Class A2 (Barbados) | | | | | | | | | |
3.09% | | | 07/17/29 | 2,4 | | | 1,989,667 | | | | 1,926,118 | |
Goal Capital Funding Trust, Series 2006-1, Class B | | | | | | | | | |
1.28% | | | 08/25/42 | 3 | | | 621,840 | | | | 542,586 | |
Higher Education Funding, Series 2014-1, Class A | | | | | | | | | |
1.88% | | | 05/25/34 | 2,3 | | | 1,686,424 | | | | 1,624,364 | |
| Honda Auto Receivables Owner Trust, Series 2015-2, Class A2 | | | | | | | | | |
0.69% | | | 08/21/17 | | | | 766,982 | | | | 766,971 | |
| National Collegiate Student Loan Trust, Series 2004-2, Class A4 | | | | | | | | | |
0.84% | | | 11/27/28 | 3 | | | 1,280,086 | | | | 1,268,903 | |
| National Collegiate Student Loan Trust, Series 2006-3, Class A3 | | | | | | | | | |
0.68% | | | 10/25/27 | 3 | | | 37,961 | | | | 37,908 | |
| National Collegiate Student Loan Trust, Series 2006-4, Class A2 | | | | | | | | | |
0.67% | | | 12/27/27 | 3 | | | 555,266 | | | | 554,680 | |
| National Collegiate Student Loan Trust, Series 2007-2, Class A2 | | | | | | | | | |
0.66% | | | 06/26/28 | 3 | | | 3,117,019 | | | | 3,069,992 | |
| Navient Student Loan Trust, Series 2014-1, Class A4 | | | | | | | | | |
1.28% | | | 02/25/39 | 3 | | | 3,840,000 | | | | 3,588,094 | |
| Navient Student Loan Trust, Series 2014-8, Class A3 | | | | | | | | | |
1.13% | | | 05/27/31 | 3 | | | 6,120,000 | | | | 5,894,291 | |
| Navient Student Loan Trust, Series 2015-1, Class A2 | | | | | | | | | |
1.13% | | | 04/25/40 | 3 | | | 9,370,000 | | | | 8,969,502 | |
| Navient Student Loan Trust, Series 2015-1, Class B | | | | | | | | | |
2.03% | | | 07/25/52 | 3 | | | 5,000,000 | | | | 4,021,443 | |
| Navient Student Loan Trust, Series 2015-2, Class A1 | | | | | | | | | |
0.81% | | | 11/25/24 | 3 | | | 4,189,788 | | | | 4,186,073 | |
| Navient Student Loan Trust, Series 2016-2, Class A3 | | | | | | | | | |
2.03% | | | 06/25/65 | 2,3 | | | 11,200,000 | | | | 11,549,689 | |
| Nelnet Education Loan Funding, Inc., Series 2004-1A, Class B1 | | | | | | | | | |
1.50% | | | 02/25/36 | 2,3 | | | 150,000 | | | | 131,998 | |
| Nelnet Education Loan Funding, Inc., Series 2004-1A, Class B2 | | | | | | | | | |
1.53% | | | 02/25/36 | 2,3 | | | 825,000 | | | | 726,018 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2016 / 104 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | |
| Nelnet Student Loan Trust, Series 2006-2, Class B | | | | | | | | | |
0.91% | | | 01/25/38 | 3 | | $ | 5,069,607 | | | $ | 4,072,950 | |
| Nelnet Student Loan Trust, Series 2007-1, Class A3 | | | | | | | | | |
0.90% | | | 05/27/25 | 3 | | | 2,700,000 | | | | 2,579,055 | |
| Nelnet Student Loan Trust, Series 2012-5A, Class A | | | | | | | | | |
1.13% | | | 10/27/36 | 2,3 | | | 190,438 | | | | 183,072 | |
| Nelnet Student Loan Trust, Series 2014-4A, Class A2 | | | | | | | | | |
1.48% | | | 11/25/43 | 2,3 | | | 1,865,000 | | | | 1,729,100 | |
| Nelnet Student Loan Trust, Series 2015-1A, Class A | | | | | | | | | |
1.12% | | | 04/25/41 | 2,3 | | | 7,650,846 | | | | 7,371,632 | |
| Nelnet Student Loan Trust, Series 2015-3A, Class A3 | | | | | | | | | |
1.43% | | | 06/25/49 | 2,3 | | | 11,000,000 | | | | 10,250,310 | |
| Nissan Auto Receivables Owner Trust, Series 2015-A, Class A2 | | | | | | | | | |
0.67% | | | 09/15/17 | | | | 220,622 | | | | 220,614 | |
| Nissan Auto Receivables Owner Trust, Series 2015-C, Class A2A | | | | | | | | | |
0.87% | | | 11/15/18 | | | | 4,268,232 | | | | 4,264,863 | |
| Nissan Auto Receivables Owner Trust, Series 2016-C, Class A2A | | | | | | | | | |
1.07% | | | 05/15/19 | | | | 6,055,000 | | | | 6,054,238 | |
| Northstar Education Finance, Inc., Series 2007-1, Class A2 | | | | | | | | | |
1.49% | | | 01/29/46 | 3 | | | 135,000 | | | | 124,498 | |
| PHEAA Student Loan Trust, Series 2013-3A, Class A | | | | | | | | | |
1.28% | | | 11/25/42 | 2,3 | | | 5,828,429 | | | | 5,682,116 | |
| Scholar Funding Trust, Series 2011-A, Class A | | | | | | | | | |
1.64% | | | 10/28/43 | 2,3 | | | 162,887 | | | | 157,318 | |
| Scholar Funding Trust, Series 2012-B, Class A2 | | | | | | | | | |
1.62% | | | 03/28/46 | 2,3 | | | 150,000 | | | | 146,345 | |
| SLC Student Loan Trust I, Series 2002-2, Class B2 | | | | | | | | | |
0.33% | | | 07/01/42 | 2,3 | | | 200,000 | | | | 154,788 | |
| SLC Student Loan Trust, Series 2004-1, Class B | | | | | | | | | |
1.11% | | | 08/15/31 | 3 | | | 809,281 | | | | 695,697 | |
| SLC Student Loan Trust, Series 2005-2, Class B | | | | | | | | | |
1.13% | | | 03/15/40 | 3 | | | 679,603 | | | | 575,052 | |
| SLC Student Loan Trust, Series 2005-3, Class B | | | | | | | | | |
1.10% | | | 06/15/40 | 3 | | | 3,422,819 | | | | 2,868,178 | |
| SLC Student Loan Trust, Series 2006-1, Class A6 | | | | | | | | | |
1.01% | | | 12/15/38 | 3 | | | 13,120,000 | | | | 11,492,380 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | |
| SLC Student Loan Trust, Series 2006-1, Class B | | | | | | | | | |
1.06% | | | 03/15/39 | 3 | | $ | 3,116,196 | | | $ | 2,606,997 | |
| SLC Student Loan Trust, Series 2006-2, Class A5 | | | | | | | | | |
0.95% | | | 09/15/26 | 3 | | | 187,178 | | | | 182,985 | |
| SLC Student Loan Trust, Series 2006-2, Class B | | | | | | | | | |
1.08% | | | 12/15/39 | 3 | | | 911,115 | | | | 763,130 | |
| SLC Student Loan Trust, Series 2008-1, Class A4A | | | | | | | | | |
2.45% | | | 12/15/32 | 3 | | | 5,327,717 | | | | 5,415,807 | |
| SLM Student Loan Trust, Series 2003-11, Class A6 | | | | | | | | | |
1.60% | | | 12/15/25 | 2,3 | | | 250,000 | | | | 245,992 | |
| SLM Student Loan Trust, Series 2003-4, Class A5D | | | | | | | | | |
1.60% | | | 03/15/33 | 2,3 | | | 3,448,042 | | | | 3,295,637 | |
| SLM Student Loan Trust, Series 2003-7, Class B | | | | | | | | | |
1.42% | | | 09/15/39 | 3 | | | 5,041,854 | | | | 4,405,685 | |
| SLM Student Loan Trust, Series 2004-10, Class A6A | | | | | | | | | |
1.26% | | | 04/27/26 | 2,3 | | | 10,700,000 | | | | 10,629,871 | |
| SLM Student Loan Trust, Series 2004-10, Class B | | | | | | | | | |
1.08% | | | 01/25/40 | 3 | | | 5,394,847 | | | | 4,488,873 | |
| SLM Student Loan Trust, Series 2004-2, Class B | | | | | | | | | |
1.18% | | | 07/25/39 | 3 | | | 848,445 | | | | 733,990 | |
| SLM Student Loan Trust, Series 2004-5A, Class A5 | | | | | | | | | |
1.31% | | | 10/25/23 | 2,3 | | | 823,085 | | | | 820,121 | |
| SLM Student Loan Trust, Series 2004-8A, Class A5 | | | | | | | | | |
1.21% | | | 04/25/24 | 2,3 | | | 907,121 | | | | 906,613 | |
| SLM Student Loan Trust, Series 2005-10, Class A4 | | | | | | | | | |
0.82% | | | 10/25/19 | 3 | | | 410,026 | | | | 409,300 | |
| SLM Student Loan Trust, Series 2005-4, Class B | | | | | | | | | |
0.89% | | | 07/25/40 | 3 | | | 873,058 | | | | 740,225 | |
| SLM Student Loan Trust, Series 2005-6, Class B | | | | | | | | | |
1.00% | | | 01/25/44 | 3 | | | 4,467,271 | | | | 3,782,714 | |
| SLM Student Loan Trust, Series 2005-8, Class A3 | | | | | | | | | |
0.82% | | | 10/25/24 | 3 | | | 8,020 | | | | 8,018 | |
| SLM Student Loan Trust, Series 2005-9, Class B | | | | | | | | | |
1.01% | | | 01/25/41 | 3 | | | 1,620,407 | | | | 1,382,336 | |
| SLM Student Loan Trust, Series 2006-10, Class B | | | | | | | | | |
0.93% | | | 03/25/44 | 3 | | | 4,551,326 | | | | 3,764,430 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 105 / Semi-Annual Report September 2016 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | | | | | |
SLM Student Loan Trust, Series 2006-2, Class A6 | | | | | | | | | |
0.88% | | | 01/25/41 | 3 | | $ | 1,800,000 | | | $ | 1,636,673 | |
SLM Student Loan Trust, Series 2006-4, Class A5 | | | | | | | | | |
0.81% | | | 10/27/25 | 3 | | | 862,928 | | | | 861,465 | |
SLM Student Loan Trust, Series 2006-8, Class A6 | | | | | | | | | |
0.87% | | | 01/25/41 | 3 | | | 1,800,000 | | | | 1,600,442 | |
SLM Student Loan Trust, Series 2006-9, Class A5 | | | | | | | | | |
0.81% | | | 01/26/26 | 3 | | | 200,000 | | | | 196,299 | |
SLM Student Loan Trust, Series 2007-1, Class B | | | | | | | | | |
0.93% | | | 01/27/42 | 3 | | | 4,279,537 | | | | 3,583,155 | |
SLM Student Loan Trust, Series 2007-3, Class A4 | | | | | | | | | |
0.77% | | | 01/25/22 | 3 | | | 215,000 | | | | 200,836 | |
SLM Student Loan Trust, Series 2007-6, Class A4 | | | | | | | | | |
1.09% | | | 10/25/24 | 3 | | | 8,352,147 | | | | 8,212,355 | |
SLM Student Loan Trust, Series 2007-6, Class B | | | | | | | | | |
1.56% | | | 04/27/43 | 3 | | | 563,894 | | | | 494,298 | |
SLM Student Loan Trust, Series 2007-7, Class B | | | | | | | | | |
1.46% | | | 10/25/28 | 3 | | | 2,195,000 | | | | 1,770,107 | |
SLM Student Loan Trust, Series 2007-8, Class B | | | | | | | | | |
1.71% | | | 04/27/43 | 3 | | | 2,758,003 | | | | 2,391,742 | |
SLM Student Loan Trust, Series 2008-2, Class B | | | | | | | | | |
1.91% | | | 01/25/29 | 3 | | | 1,000,000 | | | | 872,740 | |
SLM Student Loan Trust, Series 2008-3, Class B | | | | | | | | | |
1.91% | | | 04/25/29 | 3 | | | 710,000 | | | | 601,435 | |
SLM Student Loan Trust, Series 2008-4, Class A4 | | | | | | | | | |
2.36% | | | 07/25/22 | 3 | | | 2,186,091 | | | | 2,194,454 | |
SLM Student Loan Trust, Series 2008-4, Class B | | | | | | | | | |
2.56% | | | 04/25/29 | 3 | | | 710,000 | | | | 658,672 | |
SLM Student Loan Trust, Series 2008-5, Class A4 | | | | | | | | | |
2.41% | | | 07/25/23 | 3 | | | 2,680,070 | | | | 2,697,416 | |
SLM Student Loan Trust, Series 2008-5, Class B | | | | | | | | | |
2.56% | | | 07/25/29 | 3 | | | 7,315,000 | | | | 6,817,178 | |
SLM Student Loan Trust, Series 2008-6, Class B | | | | | | | | | |
2.56% | | | 07/25/29 | 3 | | | 710,000 | | | | 663,050 | |
SLM Student Loan Trust, Series 2008-7, Class B | | | | | | | | | |
2.56% | | | 07/25/29 | 3 | | | 820,000 | | | | 758,859 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | | | | | |
| SLM Student Loan Trust, Series 2008-8, Class A4 | | | | | | | | | |
2.21% | | | 04/25/23 | 3 | | $ | 3,210,000 | | | $ | 3,222,273 | |
| SLM Student Loan Trust, Series 2008-8, Class B | | | | | | | | | |
2.96% | | | 10/25/29 | 3 | | | 735,000 | | | | 705,504 | |
| SLM Student Loan Trust, Series 2008-9, Class A | | | | | | | | | |
2.21% | | | 04/25/23 | 3 | | | 6,673,280 | | | | 6,694,432 | |
| SLM Student Loan Trust, Series 2008-9, Class B | | | | | | | | | |
2.96% | | | 10/25/29 | 3 | | | 7,235,000 | | | | 7,012,590 | |
| SLM Student Loan Trust, Series 2009-3, Class A | | | | | | | | | |
1.28% | | | 01/25/45 | 2,3 | | | 12,022,608 | | | | 11,533,964 | |
| SLM Student Loan Trust, Series 2011-1, Class A2 | | | | | | | | | |
1.68% | | | 10/25/34 | 3 | | | 2,680,000 | | | | 2,684,863 | |
| SLM Student Loan Trust, Series 2011-2, Class A1 | | | | | | | | | |
1.13% | | | 11/25/27 | 3 | | | 698,818 | | | | 698,379 | |
| SLM Student Loan Trust, Series 2011-2, Class A2 | | | | | | | | | |
1.73% | | | 10/25/34 | 3 | | | 4,035,000 | | | | 4,002,922 | |
| SLM Student Loan Trust, Series 2012-1, Class A2 | | | | | | | | | |
0.98% | | | 11/25/20 | 3 | | | 1,504,946 | | | | 1,504,132 | |
| SLM Student Loan Trust, Series 2012-1, Class A3 | | | | | | | | | |
1.48% | | | 09/25/28 | 3 | | | 1,300,000 | | | | 1,276,274 | |
| SLM Student Loan Trust, Series 2012-2, Class A | | | | | | | | | |
1.23% | | | 01/25/29 | 3 | | | 2,112,022 | | | | 2,038,886 | |
| SLM Student Loan Trust, Series 2012-6, Class A2 | | | | | | | | | |
0.81% | | | 09/25/19 | 3 | | | 1,093,969 | | | | 1,093,530 | |
| SLM Student Loan Trust, Series 2012-7, Class A3 | | | | | | | | | |
1.18% | | | 05/26/26 | 3 | | | 200,000 | | | | 193,967 | |
| SLM Student Loan Trust, Series 2012-7, Class B | | | | | | | | | |
2.33% | | | 09/25/43 | 3 | | | 2,200,000 | | | | 1,970,643 | |
| SLM Student Loan Trust, Series 2013-3, Class A2 | | | | | | | | | |
0.83% | | | 05/26/20 | 3 | | | 1,559,898 | | | | 1,557,845 | |
| SLM Student Loan Trust, Series 2013-4, Class A | | | | | | | | | |
1.08% | | | 06/25/27 | 3 | | | 2,131,411 | | | | 2,059,379 | |
| SLM Student Loan Trust, Series 2013-6, Class A2 | | | | | | | | | |
1.03% | | | 02/25/21 | 3 | | | 959,466 | | | | 958,368 | |
| SLM Student Loan Trust, Series 2014-1, Class A2 | | | | | | | | | |
0.91% | | | 07/26/21 | 3 | | | 1,597,402 | | | | 1,592,708 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2016 / 106 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | |
| SLM Student Loan Trust, Series 2014-1, Class A3 | | | | | | | | | |
1.13% | | | 02/26/29 | 3 | | $ | 1,670,000 | | | $ | 1,595,209 | |
| Spirit Master Funding LLC, Series 2014-1A, Class A1 | | | | | | | | | |
5.05% | | | 07/20/40 | 2 | | | 118,659 | | | | 121,841 | |
| Spirit Master Funding VII LLC, Series 2013-2A, Class A | | | | | | | | | |
5.27% | | | 12/20/43 | 2 | | | 1,458,442 | | | | 1,480,613 | |
| Structured Receivables Finance LLC, Series 2010-A, Class B | | | | | | | | | |
7.61% | | | 01/16/46 | 2,† | | | 2,159,105 | | | | 2,484,929 | |
| Structured Receivables Finance LLC, Series 2010-B, Class B | | | | | | | | | |
7.97% | | | 08/15/36 | 2 | | | 1,433,213 | | | | 1,783,897 | |
| Toyota Auto Receivables, Series 2016-C, Class A2A | | | | | | | | | |
1.00% | | | 01/15/19 | | | | 6,030,000 | | | | 6,023,745 | |
| USAA Auto Owner Trust, Series 2016-1, Class A2 | | | | | | | | | |
1.07% | | | 03/15/19 | | | | 1,830,000 | | | | 1,830,533 | |
| | | | | | | | | | | | |
| |
Total Asset-Backed Securities (Cost $319,200,774) | | | | 312,051,342 | |
| | | | | | | | | | | | |
|
BANK LOANS — 0.54%* | |
Communications — 0.04% | |
| Nexstar Broadcasting, Inc., Bridge Term Loan | | | | | | | | | |
8.50% | | | 01/27/17 | 3,5 | | | 1,051,186 | | | | 1,051,186 | |
| | | | | | | | | | | | |
|
Consumer Discretionary — 0.03% | |
| Reynolds Group Holdings, Inc., Term Loan, 1st Lien | | | | | | | | | |
LIBOR plus 3.25% | | | 02/05/23 | 3 | | | 825,000 | | | | 828,737 | |
| | | | | | | | | | | | |
|
Electric — 0.22% | |
| Chief Power Finance LLC, Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 4.75% | | | 12/31/20 | 3,5 | | | 4,421,250 | | | | 3,640,148 | |
| Dynegy, Inc., Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 4.00% | | | 06/27/23 | 3 | | | 1,200,000 | | | | 1,211,178 | |
| Texas Competitive Electric Holdings Co. LLC, Term Loan B, 1st Lien (DIP) | | | | | | | | | |
LIBOR plus 4.00% | | | 10/31/17 | 3 | | | 419,357 | | | | 423,064 | |
| Texas Competitive Electric Holdings Co. LLC, Term Loan C, 1st Lien (DIP) | | | | | | | | | |
LIBOR plus 4.00% | | | 10/31/17 | 3 | | | 95,643 | | | | 96,488 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 5,370,878 | |
| | | | | | | | | | | | |
|
Finance — 0.16% | |
| Delos Finance SARL, Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 2.75% | | | 02/27/21 | 3 | | | 3,855,629 | | | | 3,887,765 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BANK LOANS (continued) | |
Services — 0.09% | |
| AABS Ltd., Term Loan, Series 2013-1, Class A (STEP) (Bermuda) | | | | | | | | | |
4.72% | | | 01/15/38 | 3,4,† | | $ | 2,264,997 | | | $ | 2,219,705 | |
| | | | | | | | | | | | |
| |
Total Bank Loans (Cost $14,147,062) | | | | 13,358,271 | |
| | | | | | | | | | | | |
|
CORPORATES — 25.38%* | |
Automotive — 0.12% | |
| General Motors Co. | | | | | | | | | |
3.50% | | | 10/02/18 | | | | 1,710,000 | | | | 1,763,603 | |
| Nemak SAB de CV (Mexico) | | | | | | | | | |
5.50% | | | 02/28/23 | 2,4 | | | 1,200,000 | | | | 1,228,800 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 2,992,403 | |
| | | | | | | | | | | | |
|
Banking — 3.69% | |
| Banco Continental Sa Via Continental Senior | | | | | | | | | |
| Trustees, Series REGS (Cayman Islands) | | | | | | | | | |
5.50% | | | 11/18/20 | 4 | | | 950,000 | | | | 1,054,500 | |
| Banco Internacional del Peru SAA Interbank, Series REGS (Peru) | | | | | | | | | |
6.63% | | | 03/19/29 | 3,4 | | | 1,000,000 | | | | 1,105,000 | |
| Bank of America Corp. | | | | | | | | | |
5.70% | | | 01/24/22 | | | | 2,500,000 | | | | 2,911,437 | |
6.00% | | | 09/01/17 | | | | 3,000,000 | | | | 3,120,277 | |
| Bank of America Corp. (GMTN) | | | | | | | | | |
3.50% | | | 04/19/26 | | | | 2,000,000 | | | | 2,086,872 | |
6.40% | | | 08/28/17 | | | | 7,000,000 | | | | 7,305,267 | |
| Bank of America Corp. (MTN) | | | | | | | | | |
1.49% | | | 12/01/26 | 3 | | | 1,600,000 | | | | 1,381,941 | |
| Bank of America N.A. (BKNT) | | | | | | | | | |
1.15% | | | 06/15/17 | 3 | | | 3,300,000 | | | | 3,298,825 | |
5.30% | | | 03/15/17 | | | | 2,575,000 | | | | 2,620,305 | |
6.10% | | | 06/15/17 | | | | 6,012,000 | | | | 6,208,451 | |
| Barclays PLC (United Kingdom) | | | | | | | | | |
3.65% | | | 03/16/25 | 4 | | | 2,000,000 | | | | 1,978,253 | |
| Capital One Bank USA N.A. (BKNT) | | | | | | | | | |
1.15% | | | 11/21/16 | | | | 3,845,000 | | | | 3,844,885 | |
| Capital One N.A. | | | | | | | | | |
2.40% | | | 09/05/19 | | | | 3,263,000 | | | | 3,316,040 | |
| Discover Bank | | | | | | | | | |
2.60% | | | 11/13/18 | | | | 4,515,000 | | | | 4,590,372 | |
| Discover Bank (BKNT) | | | | | | | | | |
3.10% | | | 06/04/20 | | | | 5,000,000 | | | | 5,151,315 | |
| HBOS PLC (GMTN) (United Kingdom) | | | | | | | | | |
6.75% | | | 05/21/18 | 2,4 | | | 3,425,000 | | | | 3,661,844 | |
| ICICI Bank Ltd., Series REGS (India) | | | | | | | | | |
6.38% | | | 04/30/22 | 3,4 | | | 1,200,000 | | | | 1,225,230 | |
| JPMorgan Chase & Co. | | | | | | | | | |
3.88% | | | 09/10/24 | | | | 2,000,000 | | | | 2,106,946 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 107 / Semi-Annual Report September 2016 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
|
Banking (continued) | |
4.25% | | | 10/15/20 | | | $ | 530,000 | | | $ | 575,398 | |
4.25% | | | 10/01/27 | | | | 3,425,000 | | | | 3,682,940 | |
| Macquarie Bank Ltd. (Australia) | | | | | | | | | |
5.00% | | | 02/22/17 | 2,4 | | | 170,000 | | | | 172,331 | |
6.63% | | | 04/07/21 | 2,4 | | | 2,824,000 | | | | 3,255,256 | |
| Royal Bank of Scotland PLC (United Kingdom) | | | | | | | | | |
6.40% | | | 10/21/19 | 4 | | | 2,000,000 | | | | 2,211,962 | |
Santander UK PLC (United Kingdom) | | | | | | | | | |
1.65% | | | 09/29/17 | 4 | | | 2,500,000 | | | | 2,502,171 | |
3.05% | | | 08/23/18 | 4 | | | 425,000 | | | | 435,477 | |
5.00% | | | 11/07/23 | 2,4 | | | 3,100,000 | | | | 3,227,140 | |
| UBS AG/Stamford CT (GMTN) (Switzerland) | | | | | | | | | |
1.56% | | | 03/26/18 | 3,4 | | | 3,000,000 | | | | 3,006,859 | |
| UBS AG/Stamford CT (Switzerland) | | | | | | | | | |
1.40% | | | 06/01/17 | 3,4 | | | 3,000,000 | | | | 3,002,580 | |
| Wells Fargo & Co. | | | | | | | | | |
3.00% | | | 04/22/26 | | | | 11,985,000 | | | | 12,102,723 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 91,142,597 | |
| | | | | | | | | | | | |
|
Commercial Services — 0.10% | |
| IHS Markit, Ltd. (Bermuda) | | | | | | | | | |
5.00% | | | 11/01/22 | 2,4 | | | 2,400,000 | | | | 2,551,440 | |
| | | | | | | | | | | | |
|
Communications — 2.03% | |
| Altice Financing SA (Luxembourg) | | | | | | | | | |
7.50% | | | 05/15/26 | 2,4 | | | 800,000 | | | | 835,000 | |
| Altice U.S. Finance I Corp. | | | | | | | | | |
5.38% | | | 07/15/23 | 2 | | | 2,350,000 | | | | 2,438,125 | |
| AT&T, Inc. | | | | | | | | | |
1.77% | | | 06/30/20 | 3 | | | 4,800,000 | | | | 4,844,122 | |
3.40% | | | 05/15/25 | | | | 1,000,000 | | | | 1,027,725 | |
4.13% | | | 02/17/26 | | | | 3,000,000 | | | | 3,247,998 | |
4.35% | | | 06/15/45 | | | | 1,500,000 | | | | 1,484,941 | |
| Cequel Communications Holdings I LLC/Cequel Capital Corp. | | | | | | | | | |
6.38% | | | 09/15/20 | 2 | | | 1,150,000 | | | | 1,190,250 | |
| Charter Communications Operating LLC/Charter Communications Operating Capital | | | | | | | | | |
6.48% | | | 10/23/45 | 2 | | | 5,640,000 | | | | 6,857,394 | |
| CSC Holdings LLC | | | | | | | | | |
6.75% | | | 11/15/21 | | | | 500,000 | | | | 530,000 | |
8.63% | | | 02/15/19 | | | | 700,000 | | | | 783,125 | |
| Frontier Communications Corp. | | | | | | | | | |
8.88% | | | 09/15/20 | | | | 150,000 | | | | 162,187 | |
| Intelsat Jackson Holdings SA (Luxembourg) | | | | | | | | | |
5.50% | | | 08/01/23 | 4 | | | 4,415,000 | | | | 3,079,463 | |
| Level 3 Financing, Inc. | | | | | | | | | |
5.25% | | | 03/15/26 | 2 | | | 1,200,000 | | | | 1,240,500 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | | | | | |
|
Communications (continued) | |
| Neptune Finco Corp. | | | | | | | | | |
10.88% | | | 10/15/25 | 2 | | $ | 500,000 | | | $ | 588,750 | |
| Nexstar Escrow Corp. | | | | | | | | | |
5.63% | | | 08/01/24 | 2 | | | 725,000 | | | | 732,250 | |
| Qwest Corp. | | | | | | | | | |
7.25% | | | 09/15/25 | | | | 300,000 | | | | 328,845 | |
| Sprint Communications, Inc. | | | | | | | | | |
9.00% | | | 11/15/18 | 2 | | | 2,302,000 | | | | 2,546,703 | |
Tencent Holdings Ltd. (Cayman Islands) | | | | | | | | | |
2.88% | | | 02/11/20 | 2,4 | | | 590,000 | | | | 606,992 | |
| T-Mobile USA, Inc. | | | | | | | | | |
6.63% | | | 11/15/20 | | | | 1,100,000 | | | | 1,137,125 | |
6.63% | | | 04/28/21 | | | | 2,450,000 | | | | 2,587,813 | |
6.73% | | | 04/28/22 | | | | 1,150,000 | | | | 1,213,250 | |
| Univision Communications, Inc. | | | | | | | | | |
5.13% | | | 05/15/23 | 2 | | | 944,000 | | | | 960,520 | |
| Verizon Communications, Inc. | | | | | | | | | |
4.52% | | | 09/15/48 | | | | 6,500,000 | | | | 6,902,363 | |
5.15% | | | 09/15/23 | | | | 1,000,000 | | | | 1,165,782 | |
| Virgin Media Secured Finance PLC | | | | | | | | | |
| (United Kingdom) | | | | | | | | | |
5.25% | | | 01/15/26 | 2,4 | | | 840,000 | | | | 856,800 | |
5.38% | | | 04/15/21 | 2,4 | | | 351,000 | | | | 367,234 | |
5.50% | | | 08/15/26 | 2,4 | | | 2,260,000 | | | | 2,316,500 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 50,031,757 | |
| | | | | | | | | | | | |
|
Consumer Discretionary — 0.64% | |
| Anheuser-Busch InBev Finance, Inc. | | | | | | | | | |
3.65% | | | 02/01/26 | | | | 3,408,000 | | | | 3,655,288 | |
4.90% | | | 02/01/46 | | | | 2,592,000 | | | | 3,087,590 | |
| Churchill Downs, Inc. | | | | | | | | | |
5.38% | | | 12/15/21 | 2 | | | 2,150,000 | | | | 2,236,000 | |
| Constellation Brands, Inc. | | | | | | | | | |
6.00% | | | 05/01/22 | | | | 1,195,000 | | | | 1,378,731 | |
| DS Services of America, Inc. | | | | | | | | | |
10.00% | | | 09/01/21 | 2 | | | 2,000,000 | | | | 2,240,000 | |
| Molson Coors Brewing Co. | | | | | | | | | |
3.00% | | | 07/15/26 | | | | 1,312,000 | | | | 1,323,812 | |
| Reynolds Group Issuer, Inc./Reynolds Group | | | | | | | | | |
| Issuer LLC | | | | | | | | | |
5.75% | | | 10/15/20 | | | | 1,750,000 | | | | 1,811,250 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 15,732,671 | |
| | | | | | | | | | | | |
|
Electric — 2.91% | |
| AEP Texas Central Co. | | | | | | | | | |
3.85% | | | 10/01/25 | 2 | | | 6,455,000 | | | | 6,984,191 | |
| AES Gener SA (Chile) | | | | | | | | | |
5.00% | | | 07/14/25 | 2,4 | | | 500,000 | | | | 518,300 | |
| Alabama Power Capital Trust V | | | | | | | | | |
3.95% | | | 10/01/42 | 3 | | | 1,300,000 | | | | 1,250,948 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2016 / 108 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Electric (continued) | |
| Black Hills Corp. | | | | | | | | | |
3.15% | | | 01/15/27 | | | $ | 3,000,000 | | | $ | 3,036,489 | |
| Cleco Corporate Holdings LLC | | | | | | | | | |
3.74% | | | 05/01/26 | 2 | | | 4,000,000 | | | | 4,148,181 | |
| Dominion Resources, Inc. | | | | | | | | | |
5.75% | | | 10/01/54 | 3 | | | 2,875,000 | | | | 2,982,237 | |
| Dominion Resources, Inc. (STEP) | | | | | | | | | |
4.10% | | | 04/01/21 | | | | 3,050,000 | | | | 3,269,964 | |
| Duquesne Light Holdings, Inc. | | | | | | | | | |
6.40% | | | 09/15/20 | 2 | | | 4,641,000 | | | | 5,377,443 | |
| Dynegy, Inc. | | | | | | | | | |
5.88% | | | 06/01/23 | | | | 750,000 | | | | 675,037 | |
| Entergy Corp. | | | | | | | | | |
4.00% | | | 07/15/22 | | | | 4,000,000 | | | | 4,341,248 | |
4.70% | | | 01/15/17 | | | | 3,000,000 | | | | 3,018,978 | |
| FirstEnergy Transmission LLC | | | | | | | | | |
4.35% | | | 01/15/25 | 2 | | | 2,131,000 | | | | 2,297,683 | |
| GenOn Americas Generation LLC | | | | | | | | | |
8.50% | | | 10/01/21 | 5 | | | 2,800,000 | | | | 2,380,000 | |
| Homer City Generation LP (PIK) | | | | | | | | | |
8.14% | | | 10/01/19 | 5,6 | | | 1,556,730 | | | | 583,774 | |
8.73% | | | 10/01/26 | 5,7 | | | 4,848,440 | | | | 1,769,681 | |
| IPALCO Enterprises, Inc. | | | | | | | | | |
5.00% | | | 05/01/18 | | | | 1,700,000 | | | | 1,782,874 | |
| ITC Holdings Corp. | | | | | | | | | |
3.25% | | | 06/30/26 | | | | 3,000,000 | | | | 3,042,165 | |
3.65% | | | 06/15/24 | | | | 1,426,000 | | | | 1,503,557 | |
| Metropolitan Edison Co. | | | | | | | | | |
4.00% | | | 04/15/25 | 2 | | | 3,000,000 | | | | 3,171,674 | |
7.70% | | | 01/15/19 | | | | 2,230,000 | | | | 2,508,093 | |
NextEra Energy Capital
Holdings, Inc., Series F | | | | | | | | | |
2.06% | | | 09/01/17 | | | | 6,000,000 | | | | 6,033,594 | |
| Oncor Electric Delivery Co. LLC | | | | | | | | | |
6.80% | | | 09/01/18 | | | | 1,000,000 | | | | 1,100,111 | |
| Perusahaan Gas Negara Persero TBK PT (Indonesia) | | | | | | | | | |
5.13% | | | 05/16/24 | 2,4 | | | 750,000 | | | | 813,817 | |
| Public Service Co. of New Mexico | | | | | | | | | |
3.85% | | | 08/01/25 | | | | 3,500,000 | | | | 3,643,954 | |
5.35% | | | 10/01/21 | | | | 50,000 | | | | 55,074 | |
| Southern Co. Gas Capital Corp. | | | | | | | | | |
3.25% | | | 06/15/26 | | | | 3,350,000 | | | | 3,468,005 | |
| Southwestern Electric Power Co. | | | | | | | | | |
6.45% | | | 01/15/19 | | | | 1,885,000 | | | | 2,075,412 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 71,832,484 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Energy — 2.14% | |
| Boardwalk Pipelines LP | | | | | | | | | |
5.88% | | | 11/15/16 | | | $ | 5,538,000 | | | $ | 5,563,829 | |
BP Capital Markets PLC (United Kingdom) | | | | | | | | | |
3.06% | | | 03/17/22 | 4 | | | 2,395,000 | | | | 2,511,833 | |
| Devon Energy Corp. | | | | | | | | | |
5.85% | | | 12/15/25 | | | | 1,300,000 | | | | 1,465,580 | |
| El Paso LLC (GMTN) | | | | | | | | | |
7.80% | | | 08/01/31 | | | | 1,175,000 | | | | 1,435,304 | |
| Enbridge Energy Partners LP | | | | | | | | | |
5.88% | | | 12/15/16 | | | | 975,000 | | | | 984,058 | |
5.88% | | | 10/15/25 | | | | 2,500,000 | | | | 2,874,421 | |
| Energy Transfer Partners LP | | | | | | | | | |
3.77% | | | 11/01/66 | 3 | | | 3,661,000 | | | | 2,489,480 | |
5.15% | | | 03/15/45 | | | | 6,500,000 | | | | 6,052,261 | |
| Florida Gas Transmission Co. LLC | | | | | | | | | |
7.90% | | | 05/15/19 | 2 | | | 1,375,000 | | | | 1,560,751 | |
| NGPL Pipe Co. LLC | | | | | | | | | |
7.12% | | | 12/15/17 | 2 | | | 4,000,000 | | | | 4,200,000 | |
| Noble Energy, Inc. | | | | | | | | | |
3.90% | | | 11/15/24 | | | | 934,000 | | | | 955,137 | |
| Peabody Energy Corp.8 | | | | | | | | | |
6.00% | | | 11/15/18 | 9 | | | 435,000 | | | | 106,575 | |
| Pertamina Persero PT, Series REGS (EMTN) (Indonesia) | | | | | | | | | |
4.30% | | | 05/20/23 | 4 | | | 1,000,000 | | | | 1,050,500 | |
| Petroleos Mexicanos (Mexico) | | | | | | | | | |
1.70% | | | 12/20/22 | 4 | | | 97,500 | | | | 97,739 | |
| Regency Energy Partners LP/Regency Energy Finance Corp. | | | | | | | | | |
5.88% | | | 03/01/22 | | | | 1,554,000 | | | | 1,713,739 | |
| Reliance Holding USA, Inc., Series REGS | | | | | | | | | |
4.50% | | | 10/19/20 | | | | 1,475,000 | | | | 1,602,245 | |
| Rockies Express Pipeline LLC | | | | | | | | | |
5.63% | | | 04/15/20 | 2 | | | 500,000 | | | | 528,750 | |
6.85% | | | 07/15/18 | 2 | | | 700,000 | | | | 742,000 | |
| Ruby Pipeline LLC | | | | | | | | | |
6.00% | | | 04/01/22 | 2 | | | 1,850,000 | | | | 1,974,458 | |
| Sabine Pass LNG LP | | | | | | | | | |
7.50% | | | 11/30/16 | | | | 2,165,000 | | | | 2,177,178 | |
7.50% | | | 11/30/16 | 2 | | | 500,000 | | | | 502,813 | |
| TC PipeLines LP | | | | | | | | | |
4.38% | | | 03/13/25 | | | | 3,000,000 | | | | 3,068,479 | |
4.65% | | | 06/15/21 | | | | 2,300,000 | | | | 2,415,554 | |
| Texas Eastern Transmission LP | | | | | | | | | |
2.80% | | | 10/15/22 | 2 | | | 3,000,000 | | | | 2,996,742 | |
| Williams Partners LP | | | | | | | | | |
3.60% | | | 03/15/22 | | | | 1,300,000 | | | | 1,324,163 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 109 / Semi-Annual Report September 2016 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Energy (continued) | |
| Williams Partners LP/ACMP Finance Corp. | | | | | | | | | |
4.88% | | | 05/15/23 | | | $ | 2,500,000 | | | $ | 2,559,665 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 52,953,254 | |
| | | | | | | | | | | | |
|
Finance — 3.68% | |
| Bear Stearns Cos. LLC (The) | | | | | | | | | |
7.25% | | | 02/01/18 | | | | 9,250,000 | | | | 9,935,481 | |
| Chase Capital VI | | | | | | | | | |
1.38% | | | 08/01/28 | 3 | | | 1,500,000 | | | | 1,323,750 | |
| CIT Group, Inc. | | | | | | | | | |
6.63% | | | 04/01/18 | 2 | | | 1,000,000 | | | | 1,063,750 | |
| Citigroup, Inc. | | | | | | | | | |
1.30% | | | 11/15/16 | | | | 1,000,000 | | | | 1,000,199 | |
1.38% | | | 08/25/36 | 3 | | | 10,300,000 | | | | 7,630,866 | |
1.53% | | | 11/24/17 | 3 | | | 1,000,000 | | | | 1,002,970 | |
| Ford Motor Credit Co. LLC | | | | | | | | | |
1.81% | | | 01/09/18 | 3 | | | 400,000 | | | | 401,096 | |
2.15% | | | 01/09/18 | | | | 2,500,000 | | | | 2,514,475 | |
5.00% | | | 05/15/18 | | | | 1,000,000 | | | | 1,050,683 | |
8.00% | | | 12/15/16 | | | | 3,400,000 | | | | 3,447,565 | |
| General Electric Corp. (MTN) | | | | | | | | | |
1.30% | | | 08/15/36 | 3 | | | 4,085,000 | | | | 3,517,467 | |
4.65% | | | 10/17/21 | | | | 70,000 | | | | 79,850 | |
| General Motors Financial Co., Inc. | | | | | | | | | |
2.63% | | | 07/10/17 | | | | 2,500,000 | | | | 2,520,310 | |
3.00% | | | 09/25/17 | | | | 1,000,000 | | | | 1,013,067 | |
3.10% | | | 01/15/19 | | | | 2,000,000 | | | | 2,048,800 | |
| Goldman Sachs Group, Inc. (GMTN) (The) | | | | | | | | | |
7.50% | | | 02/15/19 | | | | 2,475,000 | | | | 2,798,943 | |
| Goldman Sachs Group, Inc. (MTN) (The) | | | | | | | | | |
3.85% | | | 07/08/24 | | | | 9,710,000 | | | | 10,331,523 | |
| Goldman Sachs Group, Inc. (The) | | | | | | | | | |
2.90% | | | 07/19/18 | | | | 1,000,000 | | | | 1,023,300 | |
5.95% | | | 01/18/18 | | | | 4,075,000 | | | | 4,300,612 | |
Guanay Finance Ltd. (Cayman Islands) | | | | | | | | | |
6.00% | | | 12/15/20 | 2,4 | | | 870,529 | | | | 894,469 | |
| Huarong Finance II Co. Ltd. (EMTN) (Vietnam) | | | | | | | | | |
4.50% | | | 01/16/20 | 4 | | | 1,200,000 | | | | 1,273,320 | |
| International Lease Finance Corp. | | | | | | | | | |
7.13% | | | 09/01/18 | 2 | | | 3,000,000 | | | | 3,279,375 | |
| JPMorgan Chase Capital XIII, Series M | | | | | | | | | |
1.79% | | | 09/30/34 | 3 | | | 225,000 | | | | 185,680 | |
| JPMorgan Chase Capital XXI, Series U | | | | | | | | | |
1.71% | | | 02/02/37 | 3 | | | 7,810,000 | | | | 6,292,931 | |
| JPMorgan Chase Capital XXIII | | | | | | | | | |
1.82% | | | 05/15/47 | 3 | | | 7,750,000 | | | | 5,948,125 | |
| Morgan Stanley | | | | | | | | | |
1.60% | | | 01/05/18 | 3 | | | 2,000,000 | | | | 2,003,656 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Finance (continued) | |
| Morgan Stanley (GMTN) | | | | | | | | | |
2.38% | | | 07/23/19 | | | $ | 1,600,000 | | | $ | 1,630,071 | |
5.45% | | | 01/09/17 | | | | 2,000,000 | | | | 2,022,222 | |
5.50% | | | 07/24/20 | | | | 3,000,000 | | | | 3,364,815 | |
7.30% | | | 05/13/19 | | | | 2,740,000 | | | | 3,115,901 | |
| Morgan Stanley (MTN) | | | | | | | | | |
5.63% | | | 09/23/19 | | | | 2,000,000 | | | | 2,217,262 | |
| Raymond James Financial, Inc. | | | | | | | | | |
8.60% | | | 08/15/19 | | | | 530,000 | | | | 619,993 | |
| SL Green Realty Corp. | | | | | | | | | |
5.00% | | | 08/15/18 | | | | 895,000 | | | | 935,028 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 90,787,555 | |
| | | | | | | | | | | | |
|
Food — 0.44% | |
| Kraft Heinz Foods Co. | | | | | | | | | |
3.00% | | | 06/01/26 | | | | 3,478,000 | | | | 3,512,902 | |
5.20% | | | 07/15/45 | | | | 5,500,000 | | | | 6,504,666 | |
| TreeHouse Foods, Inc. | | | | | | | | | |
6.00% | | | 02/15/24 | 2 | | | 900,000 | | | | 973,125 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 10,990,693 | |
| | | | | | | | | | | | |
|
Health Care — 3.75% AbbVie, Inc. | |
1.80% | | | 05/14/18 | | | | 1,500,000 | | | | 1,506,723 | |
3.20% | | | 05/14/26 | | | | 2,246,000 | | | | 2,291,227 | |
4.30% | | | 05/14/36 | | | | 1,000,000 | | | | 1,041,160 | |
4.70% | | | 05/14/45 | | | | 3,400,000 | | | | 3,702,839 | |
| Actavis Funding SCS (Luxembourg) | | | | | | | | | |
3.45% | | | 03/15/22 | 4 | | | 2,000,000 | | | | 2,102,210 | |
3.80% | | | 03/15/25 | 4 | | | 4,306,000 | | | | 4,565,312 | |
4.55% | | | 03/15/35 | 4 | | | 1,500,000 | | | | 1,598,239 | |
| Aetna, Inc. | | | | | | | | | |
2.80% | | | 06/15/23 | | | | 4,000,000 | | | | 4,101,418 | |
| Amgen, Inc. | | | | | | | | | |
4.40% | | | 05/01/45 | | | | 1,880,000 | | | | 1,982,891 | |
4.66% | | | 06/15/51 | 2 | | | 2,000,000 | | | | 2,145,559 | |
| Anthem, Inc. | | | | | | | | | |
1.88% | | | 01/15/18 | | | | 6,795,000 | | | | 6,831,487 | |
| AstraZeneca PLC (United Kingdom) | | | | | | | | | |
3.38% | | | 11/16/25 | 4 | | | 4,500,000 | | | | 4,810,921 | |
| Biogen, Inc. | | | | | | | | | |
5.20% | | | 09/15/45 | | | | 3,423,000 | | | | 4,037,338 | |
| Celgene Corp. | | | | | | | | | |
5.00% | | | 08/15/45 | | | | 3,250,000 | | | | 3,646,438 | |
| DaVita HealthCare Partners, Inc. | | | | | | | | | |
5.00% | | | 05/01/25 | | | | 445,000 | | | | 448,916 | |
5.75% | | | 08/15/22 | | | | 2,525,000 | | | | 2,654,406 | |
| Express Scripts Holding Co. | | | | | | | | | |
3.40% | | | 03/01/27 | | | | 3,500,000 | | | | 3,527,395 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2016 / 110 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Health Care (continued) | |
| Gilead Sciences, Inc. | | | | | | | | | |
4.15% | | | 03/01/47 | | | $ | 6,155,000 | | | $ | 6,307,219 | |
| Grifols Worldwide Operations, Ltd. (Ireland) | | | | | | | | | |
5.25% | | | 04/01/22 | 4 | | | 1,025,000 | | | | 1,066,000 | |
| Hartford HealthCare Corp. | | | | | | | | | |
5.75% | | | 04/01/44 | | | | 1,525,000 | | | | 1,936,384 | |
| HCA, Inc. | | | | | | | | | |
6.50% | | | 02/15/20 | | | | 4,175,000 | | | | 4,647,819 | |
| Hill-Rom Holdings, Inc. | | | | | | | | | |
5.75% | | | 09/01/23 | 2 | | | 488,000 | | | | 522,672 | |
| Molina Healthcare, Inc. | | | | | | | | | |
5.38% | | | 11/15/22 | | | | 379,000 | | | | 393,213 | |
| Mylan NV (Netherlands) | | | | | | | | | |
2.50% | | | 06/07/19 | 2,4 | | | 4,000,000 | | | | 4,040,274 | |
3.00% | | | 12/15/18 | 2,4 | | | 2,482,000 | | | | 2,540,283 | |
| NBTY, Inc. | | | | | | | | | |
7.63% | | | 05/15/21 | 2 | | | 563,000 | | | | 576,259 | |
| Northwell Healthcare, Inc. | | | | | | | | | |
4.80% | | | 11/01/42 | | | | 650,000 | | | | 717,238 | |
6.15% | | | 11/01/43 | | | | 2,250,000 | | | | 3,067,892 | |
| Providence Health & Services | | | | | | | | | |
| Obligated Group | | | | | | | | | |
1.80% | | | 10/01/17 | 3 | | | 3,200,000 | | | | 3,207,582 | |
| RegionalCare Hospital Partners | | | | | | | | | |
| Holdings, Inc. | | | | | | | | | |
8.25% | | | 05/01/23 | 2 | | | 2,250,000 | | | | 2,334,375 | |
| Tenet Healthcare Corp. | | | | | | | | | |
4.35% | | | 06/15/20 | 3 | | | 1,500,000 | | | | 1,515,150 | |
4.50% | | | 04/01/21 | | | | 1,000,000 | | | | 1,006,250 | |
6.00% | | | 10/01/20 | | | | 1,000,000 | | | | 1,060,000 | |
| Valeant Pharmaceuticals International | | | | | | | | | |
7.25% | | | 07/15/22 | 2 | | | 90,000 | | | | 83,925 | |
| Valeant Pharmaceuticals International, Inc. | | | | | | | | | |
| (Canada) | | | | | | | | | |
5.88% | | | 05/15/23 | 2,4 | | | 2,100,000 | | | | 1,824,375 | |
6.13% | | | 04/15/25 | 2,4 | | | 4,150,000 | | | | 3,600,125 | |
| WellCare Health Plans, Inc. | | | | | | | | | |
5.75% | | | 11/15/20 | | | | 1,150,000 | | | | 1,188,094 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 92,629,608 | |
| | | | | | | | | | | | |
|
Industrials — 0.49% | |
| Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (Ireland) | | | | | | | | | |
3.85% | | | 12/15/19 | 2,3,4 | | | 2,950,000 | | | | 2,998,085 | |
| Cemex Finance LLC | | | | | | | | | |
6.00% | | | 04/01/24 | 2 | | | 600,000 | | | | 613,020 | |
| Clean Harbors, Inc. | | | | | | | | | |
5.13% | | | 06/01/21 | | | | 892,000 | | | | 918,760 | |
Heathrow Funding Ltd. (United Kingdom) | | | | | | | | | |
4.88% | | | 07/15/21 | 2,4 | | | 700,000 | | | | 765,640 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Industrials (continued) | |
| SBA Communications Corp. | | | | | | | | | |
4.88% | | | 09/01/24 | 2 | | $ | 2,408,000 | | | $ | 2,438,100 | |
| Siemens Financieringsmaatschappij NV | | | | | | | | | |
| (Netherlands) | | | | | | | | | |
2.00% | | | 09/15/23 | 2,4 | | | 3,670,000 | | | | 3,631,274 | |
| TransDigm, Inc. | | | | | | | | | |
6.38% | | | 06/15/26 | 2 | | | 735,000 | | | | 762,563 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 12,127,442 | |
| | | | | | | | | | | | |
|
Information Technology — 0.90% | |
| Apple, Inc. | | | | | | | | | |
4.65% | | | 02/23/46 | | | | 1,500,000 | | | | 1,722,637 | |
| Baidu, Inc. (Cayman Islands) | | | | | | | | | |
4.13% | | | 06/30/25 | 4 | | | 1,100,000 | | | | 1,185,672 | |
| First Data Corp. | | | | | | | | | |
5.00% | | | 01/15/24 | 2 | | | 3,575,000 | | | | 3,642,031 | |
5.38% | | | 08/15/23 | 2 | | | 1,200,000 | | | | 1,242,060 | |
| IMS Health, Inc. | | | | | | | | | |
5.00% | | | 10/15/26 | 2 | | | 3,500,000 | | | | 3,657,500 | |
| Microsoft Corp. | | | | | | | | | |
4.45% | | | 11/03/45 | | | | 2,500,000 | | | | 2,841,245 | |
| MSCI, Inc. | | | | | | | | | |
4.75% | | | 08/01/26 | 2 | | | 1,100,000 | | | | 1,124,750 | |
| NXP BV/NXP Funding LLC (Netherlands) | | | | | | | | | |
3.88% | | | 09/01/22 | 2,4 | | | 400,000 | | | | 421,547 | |
4.13% | | | 06/01/21 | 2,4 | | | 800,000 | | | | 859,000 | |
| Oracle Corp. | | | | | | | | | |
2.40% | | | 09/15/23 | | | | 4,790,000 | | | | 4,820,564 | |
| SS&C Technologies Holdings, Inc. | | | | | | | | | |
5.88% | | | 07/15/23 | | | | 750,000 | | | | 793,125 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 22,310,131 | |
| | | | | | | | | | | | |
|
Insurance — 0.63% | |
| Farmers Exchange Capital | | | | | | | | | |
7.20% | | | 07/15/48 | 2 | | | 150,000 | | | | 177,478 | |
| Farmers Exchange Capital II | | | | | | | | | |
6.15% | | | 11/01/53 | 2,3 | | | 2,500,000 | | | | 2,683,025 | |
| MetLife, Inc. | | | | | | | | | |
6.40% | | | 12/15/36 | 3 | | | 4,914,000 | | | | 5,479,110 | |
| Nationwide Mutual Insurance Co. | | | | | | | | | |
3.14% | | | 12/15/24 | 2,3 | | | 3,825,000 | | | | 3,748,500 | |
| Teachers Insurance & Annuity | | | | | | | | | |
| Association of America | | | | | | | | | |
4.38% | | | 09/15/54 | 2,3 | | | 3,425,000 | | | | 3,489,056 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 15,577,169 | |
| | | | | | | | | | | | |
|
Materials — 0.10% | |
| Valvoline, Inc. | | | | | | | | | |
5.50% | | | 07/15/24 | 2 | | | 2,305,000 | | | | 2,414,488 | |
| | | | | | | | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 111 / Semi-Annual Report September 2016 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Real Estate Investment Trust (REIT) — 2.41% | |
| Alexandria Real Estate Equities, Inc. | | | | | |
3.90% | | | 06/15/23 | | | $ | 1,650,000 | | | $ | 1,726,832 | |
4.60% | | | 04/01/22 | | | | 1,000,000 | | | | 1,092,097 | |
| American Campus Communities | | | | | | | | | |
| Operating Partnership LP | | | | | | | | | |
3.35% | | | 10/01/20 | | | | 1,735,000 | | | | 1,812,172 | |
AvalonBay Communities, Inc. (GMTN) | | | | | | | | | |
2.95% | | | 09/15/22 | | | | 250,000 | | | | 256,860 | |
3.63% | | | 10/01/20 | | | | 1,500,000 | | | | 1,594,211 | |
| Boston Properties LP | | | | | | | | | |
5.63% | | | 11/15/20 | | | | 1,750,000 | | | | 1,990,995 | |
5.88% | | | 10/15/19 | | | | 200,000 | | | | 222,213 | |
| Duke Realty LP | | | | | | | | | |
6.50% | | | 01/15/18 | | | | 4,000,000 | | | | 4,255,592 | |
| Education Realty Operating Partnership LP | | | | | | | | | |
4.60% | | | 12/01/24 | | | | 3,240,000 | | | | 3,378,238 | |
5.75% | | | 06/15/17 | | | | 1,805,000 | | | | 1,859,776 | |
| Essex Portfolio LP | | | | | | | | | |
5.50% | | | 03/15/17 | | | | 2,197,000 | | | | 2,235,221 | |
| HCP, Inc. | | | | | | | | | |
3.88% | | | 08/15/24 | | | | 3,100,000 | | | | 3,178,872 | |
4.25% | | | 11/15/23 | | | | 945,000 | | | | 990,979 | |
5.63% | | | 05/01/17 | | | | 100,000 | | | | 102,361 | |
| Healthcare Realty Trust, Inc. | | | | | | | | | |
5.75% | | | 01/15/21 | | | | 1,250,000 | | | | 1,421,430 | |
| Highwoods Realty LP | | | | | | | | | |
5.85% | | | 03/15/17 | | | | 4,042,000 | | | | 4,115,096 | |
7.50% | | | 04/15/18 | | | | 800,000 | | | | 864,016 | |
| Kimco Realty Corp. (MTN) | | | | | | | | | |
4.30% | | | 02/01/18 | | | | 3,525,000 | | | | 3,631,910 | |
| Liberty Property LP (MTN) | | | | | | | | | |
7.50% | | | 01/15/18 | | | | 900,000 | | | | 965,922 | |
| Post Apartment Homes LP | | | | | | | | | |
3.38% | | | 12/01/22 | | | | 100,000 | | | | 101,811 | |
4.75% | | | 10/15/17 | | | | 270,000 | | | | 278,640 | |
| Realty Income Corp. | | | | | | | | | |
2.00% | | | 01/31/18 | | | | 6,460,000 | | | | 6,503,556 | |
| SL Green Realty Corp. | | | | | | | | | |
7.75% | | | 03/15/20 | | | | 2,375,000 | | | | 2,751,662 | |
| Ventas Realty LP | | | | | | | | | |
3.25% | | | 10/15/26 | | | | 5,000,000 | | | | 5,059,135 | |
| WEA Finance LLC/Westfield UK & Europe Finance PLC | | | | | | | | | |
1.75% | | | 09/15/17 | 2 | | | 6,405,000 | | | | 6,418,433 | |
2.70% | | | 09/17/19 | 2 | | | 1,500,000 | | | | 1,538,567 | |
| Welltower, Inc. | | | | | | | | | |
4.95% | | | 01/15/21 | | | | 1,020,000 | | | | 1,122,943 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 59,469,540 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Retail — 0.43% | |
| CVS Health Corp. | | | | | | | | | |
4.88% | | | 07/20/35 | | | $ | 4,385,000 | | | $ | 5,149,270 | |
| Walgreens Boots Alliance, Inc. | | | | | | | | | |
3.10% | | | 06/01/23 | | | | 2,000,000 | | | | 2,065,920 | |
3.45% | | | 06/01/26 | | | | 3,335,000 | | | | 3,469,074 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 10,684,264 | |
| | | | | | | | | | | | |
|
Services — 0.08% | |
| Aramark Services, Inc. | | | | | | | | | |
4.75% | | | 06/01/26 | 2 | | | 395,000 | | | | 397,963 | |
5.13% | | | 01/15/24 | 2 | | | 1,411,000 | | | | 1,470,967 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 1,868,930 | |
| | | | | | | | | | | | |
|
Transportation — 0.84% | |
| America West Airlines Pass-Through Trust, Series 2001-1, Class G | | | | | | | | | |
7.10% | | | 04/02/21 | | | | 1,426,179 | | | | 1,567,086 | |
| American Airlines Pass-Through Trust, Series 2011-1, Class A | | | | | | | | | |
5.25% | | | 01/31/21 | | | | 44,472 | | | | 48,452 | |
| American Airlines Pass-Through Trust, Series 2013-2, Class A | | | | | | | | | |
4.95% | | | 01/15/23 | | | | 3,955,614 | | | | 4,316,564 | |
| Continental Airlines Pass-Through Trust, Series 1997, Class 4A | | | | | | | | | |
6.90% | | | 01/02/18 | | | | 24,572 | | | | 24,987 | |
| Continental Airlines Pass-Through Trust, Series 1999-1, Class A | | | | | | | | | |
6.55% | | | 08/02/20 | | | | 2,441,747 | | | | 2,592,769 | |
| Continental Airlines Pass-Through Trust, Series 1999-2, Class A1 | | | | | | | | | |
7.26% | | | 03/15/20 | | | | 1,757,779 | | | | 1,897,346 | |
| Continental Airlines Pass-Through Trust, Series 2000-1, Class A-1 | | | | | | | | | |
8.05% | | | 11/01/20 | | | | 425,163 | | | | 477,246 | |
| Continental Airlines Pass-Through Trust, Series 2000-2, Class A1 | | | | | | | | | |
7.71% | | | 10/02/22 | | | | 768,070 | | | | 836,957 | |
| Continental Airlines Pass-Through Trust, Series 2001-1, Class A1 | | | | | | | | | |
6.70% | | | 06/15/21 | | | | 62,064 | | | | 66,719 | |
| Continental Airlines Pass-Through Trust, Series 2007, Class 1A | | | | | | | | | |
5.98% | | | 04/19/22 | | | | 2,510,176 | | | | 2,833,361 | |
| Continental Airlines Pass-Through Trust, Series 2012-1, Class B | | | | | | | | | |
6.25% | | | 04/11/20 | | | | 52,196 | | | | 55,556 | |
| Delta Air Lines Pass-Through Trust, Series 2002-1, Class G1 | | | | | | | | | |
6.72% | | | 01/02/23 | | | | 1,070,602 | | | | 1,236,546 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2016 / 112 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Transportation (continued) | |
| JetBlue Airways Pass-Through Trust, Series 2004-2, Class G2 | | | | | | | | | |
1.27% | | | 11/15/16 | 3 | | $ | 1,200,000 | | | $ | 1,195,680 | |
| U.S. Airways Pass-Through Trust, Series 2011-1, Class A | | | | | | | | | |
6.25% | | | 04/22/23 | | | | 1,151,249 | | | | 1,312,424 | |
| U.S. Airways Pass-Through Trust, Series 2011-1, Class G | | | | | | | | | |
7.08% | | | 03/20/21 | | | | 1,095,829 | | | | 1,188,290 | |
| U.S. Airways Pass-Through Trust, Series 2012-1, Class A | | | | | | | | | |
5.90% | | | 10/01/24 | | | | 99,931 | | | | 115,295 | |
| UAL Pass-Through Trust, Series 2009-2A, Class 2 | | | | | | | | | |
9.75% | | | 01/15/17 | | | | 935,423 | | | | 959,931 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 20,725,209 | |
| | | | | | | | | | | | |
| |
Total Corporates (Cost $611,251,186) | | | | 626,821,635 | |
| | | | | | | | | | | | |
|
FOREIGN GOVERNMENT OBLIGATIONS — 1.48% | |
Foreign Government Obligations — 1.48% | |
| Brazilian Government International Bond (Brazil) | | | | | | | | | |
2.63% | | | 01/05/23 | 4 | | | 3,000,000 | | | | 2,789,100 | |
4.88% | | | 01/22/21 | 4 | | | 1,000,000 | | | | 1,068,600 | |
| Colombia Government International Bond (Colombia) | | | | | | | | | |
4.50% | | | 01/28/26 | 4 | | | 2,500,000 | | | | 2,768,000 | |
| Croatia Government International Bond, Series REGS (Croatia) | | | | | | | | | |
6.63% | | | 07/14/20 | 4 | | | 1,700,000 | | | | 1,906,763 | |
| Export Credit Bank of Turkey (Turkey) | | | | | | | | | |
5.00% | | | 09/23/21 | 2,4 | | | 1,200,000 | | | | 1,214,088 | |
| Hazine Mustesarligi Varlik Kiralama AS (Turkey) | | | | | | | | | |
4.56% | | | 10/10/18 | 2,4 | | | 1,200,000 | | | | 1,234,560 | |
| Hungary Government International Bond (Hungary) | | | | | | | | | |
5.75% | | | 11/22/23 | 4 | | | 1,600,000 | | | | 1,887,419 | |
| Kazakhstan Government International Bond, Series REGS (EMTN) (Kazakhstan) | | | | | | | | | |
5.13% | | | 07/21/25 | 4 | | | 2,000,000 | | | | 2,256,250 | |
| Lithuania Government International Bond, Series REGS (Lithuania) | | | | | | | | | |
7.38% | | | 02/11/20 | 4 | | | 1,200,000 | | | | 1,426,650 | |
| Magyar Export-Import Bank Zrt (Hungary) | | | | | | | | | |
4.00% | | | 01/30/20 | 2,4 | | | 900,000 | | | | 938,250 | |
| Mexico Government International Bond (GMTN) (Mexico) | | | | | | | | | |
3.50% | | | 01/21/21 | 4 | | | 2,500,000 | | | | 2,663,750 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
FOREIGN GOVERNMENT OBLIGATIONS (continued) | |
Foreign Government Obligations (continued) | |
| Perusahaan Penerbit SBSN, Indonesia III (Indonesia) | | | | | | | | | |
4.35% | | | 09/10/24 | 2,4 | | $ | 1,500,000 | | | $ | 1,616,400 | |
| Philippine Government International Bond (Philippines) | | | | | | | | | |
4.20% | | | 01/21/24 | 4 | | | 2,000,000 | | | | 2,279,400 | |
| Republic of Serbia, Series REGS (Serbia) | | | | | | | | | |
4.88% | | | 02/25/20 | 4 | | | 2,000,000 | | | | 2,096,000 | |
| Romanian Government International Bond, Series REGS (EMTN) (Romania) | | | | | | | | | |
4.88% | | | 01/22/24 | 4 | | | 2,000,000 | | | | 2,290,564 | |
| Russian Foreign Bond - Eurobond, Series REGS (Russia) | | | | | | | | | |
4.88% | | | 09/16/23 | 4 | | | 3,000,000 | | | | 3,303,750 | |
South Africa Government International Bond (South Africa) | | | | | | | | | |
4.67% | | | 01/17/24 | 4 | | | 1,100,000 | | | | 1,164,697 | |
| Sri Lanka Government International Bond, Series REGS (Sri Lanka) | | | | | | | | | |
6.25% | | | 07/27/21 | 4 | | | 1,500,000 | | | | 1,571,393 | |
| Uruguay Government International Bond (Uruguay) | | | | | | | | | |
4.38% | | | 10/27/27 | | | | 1,200,000 | | | | 1,297,500 | |
| Venezuela Government International Bond (Venezuela) | | | | | | | | | |
9.25% | | | 09/15/27 | 4 | | | 1,400,000 | | | | 771,750 | |
| | | | | | | | | | | | |
| |
Total Foreign Government Obligations (Cost $35,230,534) | | | | 36,544,884 | |
| | | | | | | | | | | | |
|
MORTGAGE-BACKED — 42.66%** | |
|
Commercial Mortgage-Backed — 8.68% | |
| Banc of America Merrill Lynch Commercial Mortgage Trust, Series 2006-3, Class A4 | | | | | | | | | |
5.89% | | | 07/10/44 | 3 | | | 84,421 | | | | 84,625 | |
| Banc of America Merrill Lynch Commercial Mortgage Trust, Series 2007-5, Class A4 | | | | | | | | | |
5.49% | | | 02/10/51 | | | | 15,285,029 | | | | 15,641,532 | |
| Bayview Commercial Asset Trust, Series 2004-2, Class A | | | | | | | | | |
0.96% | | | 08/25/34 | 2,3 | | | 1,765,728 | | | | 1,610,631 | |
| Bear Stearns Commercial Mortgage Securities, Series Trust 2004-PWR5, Class F | | | | | | | | | |
5.48% | | | 07/11/42 | 2,3 | | | 1,932,671 | | | | 1,990,077 | |
| Citigroup Commercial Mortgage Trust, Series 2012-GC8, Class XA (IO) | | | | | | | | | |
2.31% | | | 09/10/45 | 2,3,5 | | | 70,849,769 | | | | 4,882,208 | |
Citigroup Commercial Mortgage Trust,
Series 2013-375P, Class A | | | | | | | | | |
3.25% | | | 05/10/35 | 2 | | | 2,580,000 | | | | 2,733,000 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 113 / Semi-Annual Report September 2016 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Commercial Mortgage-Backed (continued) | |
| Commercial Mortgage Trust, Series 2012-CR4, Class XA | | | | | | | | | |
2.06% | | | 10/15/45 | 3,5 | | $ | 56,009,018 | | | $ | 4,219,204 | |
| Commercial Mortgage Trust, Series 2012-CR5, Class XA | | | | | | | | | |
1.90% | | | 12/10/45 | 3,5 | | | 49,943,052 | | | | 3,547,680 | |
| Commercial Mortgage Trust, Series 2012-LC-4, Class A2 | | | | | | | | | |
2.26% | | | 12/10/44 | | | | 1,628,883 | | | | 1,631,134 | |
| Commercial Mortgage Trust, Series 2013-CR6, Class A1 | | | | | | | | | |
0.72% | | | 03/10/46 | | | | 1,047,539 | | | | 1,043,015 | |
| Commercial Mortgage Trust, Series 2013-WWP, Class A2 | | | | | | | | | |
3.42% | | | 03/10/31 | 2 | | | 3,070,000 | | | | 3,286,972 | |
| Commercial Mortgage Trust, Series 2014-277P, Class A | | | | | | | | | |
3.73% | | | 08/10/49 | 2,3 | | | 6,275,000 | | | | 6,819,074 | |
| Commercial Mortgage Trust, Series 2016-787S, Class A | | | | | | | | | |
3.55% | | | 02/01/36 | 2,3 | | | 3,340,000 | | | | 3,602,539 | |
| Credit Suisse Mortgage Trust, Series 2007-C2, Class A1A | | | | | | | | | |
5.53% | | | 01/15/49 | 3 | | | 1,760,603 | | | | 1,777,187 | |
| DBRR Trust, Series 2012-EZ1, Class C | | | | | | | | | |
2.06% | | | 09/25/45 | 2 | | | 804,972 | | | | 805,028 | |
| DBRR Trust, Series 2013-EZ3, Class A | | | | | | | | | |
1.64% | | | 12/18/49 | 2,3 | | | 216,460 | | | | 216,525 | |
| DBUBS Mortgage Trust, Series 2011-LC1A, Class A1 | | | | | | | | | |
3.74% | | | 11/10/46 | 2 | | | 315,241 | | | | 317,737 | |
| DBUBS Mortgage Trust, Series 2011-LC2A, Class A1 | | | | | | | | | |
3.53% | | | 07/10/44 | 2 | | | 5,227,053 | | | | 5,432,398 | |
| GE Business Loan Trust, Series 2006-2A, Class A | | | | | | | | | |
0.51% | | | 11/15/34 | 2,3 | | | 5,733,315 | | | | 5,321,442 | |
| GE Commercial Mortgage Corp., Series 2007-C1, Class A4 | | | | | | | | | |
5.54% | | | 12/10/49 | | | | 3,097,842 | | | | 3,122,866 | |
| GS Mortgage Securities Trust, Series 2010-C1, Class A1 | | | | | | | | | |
3.68% | | | 08/10/43 | 2 | | | 2,856,410 | | | | 2,958,280 | |
| GS Mortgage Securities Trust, Series 2010-C1, Class X | | | | | | | | | |
1.57% | | | 08/10/43 | 2,3,5 | | | 44,519,191 | | | | 1,999,869 | |
| GS Mortgage Securities Trust, Series 2012-GC6, Class A2 | | | | | | | | | |
2.54% | | | 01/10/45 | | | | 521,555 | | | | 521,911 | |
| GS Mortgage Securities Trust, Series 2012-GC6, Class XA | | | | | | | | | |
2.18% | | | 01/10/45 | 2,3,5 | | | 55,382,995 | | | | 4,619,534 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Commercial Mortgage-Backed (continued) | |
| JPMBB Commercial Mortgage Securities Trust, Series 2013-C14, Class XA | | | | | | | | | |
1.09% | | | 08/15/46 | 3,5 | | $ | 46,892,091 | | | $ | 1,351,721 | |
| JPMBB Commercial Mortgage Securities Trust, Series 2013-C15, Class XA | | | | | | | | | |
1.52% | | | 11/15/45 | 3,5 | | | 31,301,365 | | | | 1,650,909 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2004-LN2, Class A2 | | | | | | | | | |
5.12% | | | 07/15/41 | | | | 993,168 | | | | 993,082 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2006-CB17, Class A4 | | | | | | | | | |
5.43% | | | 12/12/43 | | | | 35,633 | | | | 35,674 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2006-LDP9, Class A1A | | | | | | | | | |
5.26% | | | 05/15/47 | | | | 6,330,448 | | | | 6,345,325 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2006-LDP9, Class A3 | | | | | | | | | |
5.34% | | | 05/15/47 | | | | 1,388,705 | | | | 1,388,985 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-C1, Class ASB | | | | | | | | | |
5.86% | | | 02/15/51 | | | | 61,708 | | | | 62,080 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-CB19, Class ASB | | | | | | | | | |
5.86% | | | 02/12/49 | 3 | | | 7,961 | | | | 7,964 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2009-RR1, Class A4B | | | | | | | | | |
5.72% | | | 03/18/51 | 2,3 | | | 2,500,000 | | | | 2,561,187 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2010-CNTR, Class A1 | | | | | | | | | |
3.30% | | | 08/05/32 | 2 | | | 2,028,501 | | | | 2,085,188 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2010-CNTR, Class A2 | | | | | | | | | |
4.31% | | | 08/05/32 | 2 | | | 7,990,000 | | | | 8,601,268 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2011-C3, Class A2 | | | | | | | | | |
3.67% | | | 02/15/46 | 2 | | | 107,724 | | | | 107,681 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2011-C3, Class XA | | | | | | | | | |
1.23% | | | 02/15/46 | 2,3,5 | | | 34,125,675 | | | | 996,596 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-C6, Class A2 | | | | | | | | | |
2.21% | | | 05/15/45 | | | | 3,451,084 | | | | 3,455,714 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2016 / 114 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Commercial Mortgage-Backed (continued) | |
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-CIBX, Class A3 | | | | | | | | | |
3.14% | | | 06/15/45 | | | $ | 1,450,574 | | | $ | 1,486,101 | |
| LB-UBS Commercial Mortgage Trust, Series 2007-C2, Class A3 | | | | | | | | | |
5.43% | | | 02/15/40 | | | | 7,843,736 | | | | 7,909,384 | |
| LB-UBS Commercial Mortgage Trust, Series 2007-C6, Class A4 | | | | | | | | | |
5.86% | | | 07/15/40 | 3 | | | 6,180,142 | | | | 6,270,463 | |
| Lehman Brothers Small Balance Commercial Mortgage Trust, Series 2005-2A, Class 1A | | | | | | | | | |
0.78% | | | 09/25/30 | 2,3 | | | 2,274,435 | | | | 2,130,432 | |
| Lehman Brothers Small Balance Commercial Mortgage Trust, Series 2006-2A, Class 1A | | | | | | | | | |
0.73% | | | 09/25/36 | 2,3 | | | 2,300,950 | | | | 2,194,846 | |
| Merrill Lynch Mortgage Trust, Series 2007-C1, Class A4 | | | | | | | | | |
6.01% | | | 06/12/50 | 3 | | | 7,157,390 | | | | 7,281,149 | |
| Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12, Class XA | | | | | | | | | |
1.10% | | | 10/15/46 | 3,5 | | | 48,871,126 | | | | 1,782,550 | |
| Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C6, Class A2 | | | | | | | | | |
1.87% | | | 11/15/45 | | | | 3,578,437 | | | | 3,590,611 | |
| Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C6, Class A3 | | | | | | | | | |
2.51% | | | 11/15/45 | | | | 947,000 | | | | 971,849 | |
| Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C6, Class A4 | | | | | | | | | |
2.86% | | | 11/15/45 | | | | 1,360,000 | | | | 1,427,826 | |
| Morgan Stanley Capital I Trust, Series 2012-C4, Class XA | | | | | | | | | |
2.73% | | | 03/15/45 | 2,3,5 | | | 30,433,901 | | | | 2,605,154 | |
| Morgan Stanley Capital I Trust, Series 2007-IQ14, Class A2 | | | | | | | | | |
5.61% | | | 04/15/49 | | | | 3,823,406 | | | | 3,821,099 | |
| Morgan Stanley Capital I Trust, Series 2007-IQ14, Class A4 | | | | | | | | | |
5.69% | | | 04/15/49 | 3 | | | 10,670,000 | | | | 10,767,097 | |
| OBP Depositor LLC Trust, Series 2010-OBP, Class A | | | | | | | | | |
4.65% | | | 07/15/45 | 2 | | | 3,780,000 | | | | 4,123,588 | |
| RBS Commercial Funding Trust, Series 2013-GSP, Class A | | | | | | | | | |
3.96% | | | 01/13/32 | 2,3 | | | 3,460,000 | | | | 3,797,773 | |
| TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class AJ | | | | | | | | | |
5.48% | | | 08/15/39 | 3 | | | 1,638,084 | | | | 1,649,175 | |
| Wachovia Bank Commercial Mortgage Trust, Series 2007-C30, Class A4 | | | | | | | | | |
5.31% | | | 12/15/43 | | | | 5,294,416 | | | | 5,293,297 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Commercial Mortgage-Backed (continued) | |
| Wachovia Bank Commercial Mortgage Trust, Series 2007-C32, Class A2 | | | | | | | | | |
5.88% | | | 06/15/49 | 3 | | $ | 11,070,587 | | | $ | 11,068,986 | |
| Wachovia Bank Commercial Mortgage Trust, Series 2007-C32, Class A3 | | | | | | | | | |
5.89% | | | 06/15/49 | 3 | | | 13,000,000 | | | | 13,215,918 | |
| WaMu Commercial Mortgage Securities Trust, Series 2007-SL3, Class AJ | | | | | | | | | |
5.96% | | | 03/23/45 | 2,3 | | | 2,395,673 | | | | 2,412,994 | |
| Wells Fargo Commercial Mortgage Trust, Series 2010-C1, Class A2 | | | | | | | | | |
4.39% | | | 11/15/43 | 2 | | | 4,555,000 | | | | 4,975,523 | |
| WF-RBS Commercial Mortgage Trust, Series 2011-C4, Class A3 | | | | | | | | | |
4.39% | | | 06/15/44 | 2 | | | 3,746,570 | | | | 3,923,347 | |
| WF-RBS Commercial Mortgage Trust, Series 2011-C5, Class A2 | | | | | | | | | |
2.68% | | | 11/15/44 | | | | 10,097 | | | | 10,098 | |
| WF-RBS Commercial Mortgage Trust, Series 2011-C5, Class XA | | | | | | | | | |
1.99% | | | 11/15/44 | 2,3,5 | | | 24,311,676 | | | | 1,751,226 | |
| WF-RBS Commercial Mortgage Trust, Series 2014-C23, Class XA | | | | | | | | | |
0.84% | | | 10/15/57 | 3,5 | | | 54,792,709 | | | | 2,037,960 | |
| | | | | | | | | | | | |
| | | | | | | | 214,326,288 | |
| | | | | | | | | | | | |
Non-Agency Mortgage-Backed — 23.39% | |
| Aames Mortgage Investment Trust, Series 2006-1, Class A4 | | | | | | | | | |
1.09% | | | 04/25/36 | 3 | | | 2,082,000 | | | | 1,872,227 | |
| Accredited Mortgage Loan Trust, Series 2006-1, Class A4 | | | | | | | | | |
0.80% | | | 04/25/36 | 3 | | | 7,000,000 | | | | 6,363,942 | |
ACE Securities Corp., Series 2006-OP2, Class A2C | | | | | | | | | |
0.68% | | | 08/25/36 | 3 | | | 823,381 | | | | 737,689 | |
ACE Securities Corp., Series 2007-ASP1, Class A2D | | | | | | | | | |
0.91% | | | 03/25/37 | 3 | | | 3,629,987 | | | | 2,285,642 | |
| Adjustable Rate Mortgage Trust, Series 2005-4, Class 5A1 | | | | | | | | | |
2.90% | | | 08/25/35 | 3 | | | 3,877,956 | | | | 3,531,364 | |
| Adjustable Rate Mortgage Trust, Series 2005-5, Class 6A21 | | | | | | | | | |
0.76% | | | 09/25/35 | 3 | | | 521,339 | | | | 502,193 | |
| Adjustable Rate Mortgage Trust, Series 2007-1, Class 1A1 | | | | | | | | | |
3.12% | | | 03/25/37 | 3 | | | 6,943,802 | | | | 5,975,816 | |
| Asset-Backed Funding Certificates, Series 2007-NC1, Class A2 | | | | | | | | | |
0.83% | | | 05/25/37 | 2,3 | | | 6,032,000 | | | | 4,707,076 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 115 / Semi-Annual Report September 2016 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
| Asset-Backed Funding Certificates, Series 2007-WMC1, Class A2B | | | | | | | | | |
1.53% | | | 06/25/37 | 3 | | $ | 5,986,369 | | | $ | 4,372,971 | |
| Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2004-HE9, Class M1 | | | | | | | | | |
1.50% | | | 12/25/34 | 3 | | | 2,365,842 | | | | 2,198,039 | |
| Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2006-HE1, Class A4 | | | | | | | | | |
0.83% | | | 01/25/36 | 3 | | | 5,000,000 | | | | 4,469,496 | |
| Banc of America Alternative Loan Trust, Series 2003-8, Class 1CB1 | | | | | | | | | |
5.50% | | | 10/25/33 | | | | 1,748,627 | | | | 1,807,214 | |
| Banc of America Alternative Loan Trust, Series 2005-2, Class 4A1 | | | | | | | | | |
5.50% | | | 03/25/20 | | | | 94,863 | | | | 95,805 | |
Banc of America Funding Corp., Series 2015-R3, Class 6A2 | | | | | | | | | |
0.69% | | | 05/28/36 | 2 | | | 16,624,498 | | | | 11,967,739 | |
Banc of America Funding Trust, Series 2004-B, Class 5A1 | | | | | | | | | |
3.28% | | | 11/20/34 | 3 | | | 677,448 | | | | 644,457 | |
Banc of America Funding Trust, Series 2006-D, Class 3A1 | | | | | | | | | |
3.25% | | | 05/20/36 | 3 | | | 2,491,964 | | | | 2,202,243 | |
Banc of America Funding Trust, Series 2006-G, Class 2A1 | | | | | | | | | |
0.75% | | | 07/20/36 | 3 | | | 3,439,339 | | | | 3,254,786 | |
Banc of America Funding Trust, Series 2006-G, Class 2A4 | | | | | | | | | |
0.82% | | | 07/20/36 | 3 | | | 3,492,845 | | | | 3,313,460 | |
| Banc of America Mortgage Securities, Inc., Series 2005-K, Class 2A1 | | | | | | | | | |
2.96% | | | 12/25/35 | 3 | | | 3,904,285 | | | | 3,555,731 | |
| BCAP LLC Trust, Series 2007-AA1, Class 2A1 | | | | | | | | | |
0.71% | | | 03/25/37 | 3 | | | 7,707,460 | | | | 6,694,937 | |
| BCAP LLC Trust, Series 2009-RR4, Class 1A1 | | | | | | | | | |
9.50% | | | 06/26/37 | 2 | | | 414,646 | | | | 425,199 | |
| BCAP LLC Trust, Series 2012-R11, Class 11A1 | | | | | | | | | |
3.00% | | | 09/26/36 | 2,3 | | | 678,553 | | | | 675,160 | |
| BCAP LLC Trust, Series 2013-RR2, Class 6A1 | | | | | | | | | |
3.00% | | | 06/26/37 | 2,3 | | | 355,867 | | | | 352,961 | |
| BCAP LLC Trust, Series 2015-RR2, Class 23A1 | | | | | | | | | |
0.73% | | | 03/28/37 | 2,3 | | | 3,695,117 | | | | 3,606,972 | |
| Bear Stearns ALT-A Trust, Series 2005-2, Class 2A4 | | | | | | | | | |
2.85% | | | 04/25/35 | 3 | | | 4,699,635 | | | | 4,523,303 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
| Bear Stearns ARM Trust, Series 2005-2, Class A1 | | | | | | | | | |
2.92% | | | 03/25/35 | 3 | | $ | 411,008 | | | $ | 413,589 | |
| Bear Stearns ARM Trust, Series 2005-9, Class A1 | | | | | | | | | |
2.83% | | | 10/25/35 | 3 | | | 6,759,758 | | | | 6,546,591 | |
| Bear Stearns Asset-Backed Securities Trust, Series 2005-AC6, Class 1A3 | | | | | | | | | |
5.50% | | | 09/25/35 | 3 | | | 888,044 | | | | 901,269 | |
| Bear Stearns Asset-Backed Securities Trust, Series 2006-AC2, Class 21A3 | | | | | | | | | |
6.00% | | | 03/25/36 | | | | 186,091 | | | | 176,355 | |
| Bear Stearns Asset-Backed Securities Trust, Series 2006-HE9, Class 1A2 | | | | | | | | | |
0.68% | | | 11/25/36 | 3 | | | 2,262,837 | | | | 1,957,213 | |
Centex Home Equity Loan Trust, Series 2005-D, Class M1 | | | | | | | | | |
0.96% | | | 10/25/35 | 3 | | | 79,077 | | | | 79,225 | |
| Centex Home Equity Loan Trust, Series 2006-A, Class AV4 | | | | | | | | | |
0.78% | | | 06/25/36 | 3 | | | 7,812,825 | | | | 7,672,295 | |
| Chase Funding Trust, Series 2007-A1, Class 8A1 | | | | | | | | | |
3.02% | | | 02/25/37 | 3 | | | 2,458,006 | | | | 2,488,005 | |
| CIM Trust, Series 2015-3AG, Class A1 | | | | | | | | | |
2.27% | | | 10/25/57 | 2,3 | | | 7,310,645 | | | | 7,197,035 | |
Citigroup Mortgage Loan Trust, Inc., Series 2005-9, Class 1A1 | | | | | | | | | |
0.79% | | | 11/25/35 | 3 | | | 116,962 | | | | 85,724 | |
Citigroup Mortgage Loan Trust, Inc., Series 2006-AR3, Class 1A2A | | | | | | | | | |
3.20% | | | 06/25/36 | 3 | | | 619,907 | | | | 594,480 | |
| Citigroup Mortgage Loan Trust, Inc., Series 2006-HE2, Class A2D | | | | | | | | | |
0.77% | | | 08/25/36 | 3 | | | 2,300,000 | | | | 2,035,826 | |
Citigroup Mortgage Loan Trust, Inc., Series 2006-NC1, Class A2C | | | | | | | | | |
0.67% | | | 08/25/36 | 3 | | | 2,772,740 | | | | 2,641,416 | |
Citigroup Mortgage Loan Trust, Inc., Series 2006-WFH2, Class A2A | | | | | | | | | |
0.68% | | | 08/25/36 | 3 | | | 190,696 | | | | 187,375 | |
Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH1, Class A4 | | | | | | | | | |
0.73% | | | 01/25/37 | 3 | | | 4,000,000 | | | | 3,885,348 | |
| Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH2, Class A3 | | | | | | | | | |
0.71% | | | 03/25/37 | 3 | | | 1,793,304 | | | | 1,783,608 | |
Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH2, Class A4 | | | | | | | | | |
0.88% | | | 03/25/37 | 3 | | | 10,233,000 | | | | 9,897,711 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2016 / 116 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| 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 | | | $ | 50,855 | | | $ | 54,617 | |
| Countrywide Alternative Loan Trust, Series 2005-76, Class 1A1 | | | | | | | | | |
1.99% | | | 01/25/36 | 3 | | | 8,487,199 | | | | 7,824,040 | |
| Countrywide Alternative Loan Trust, Series 2006-HY12, Class A5 | | | | | | | | | |
2.95% | | | 08/25/36 | 3 | | | 8,299,791 | | | | 7,906,846 | |
| Countrywide Asset-Backed Certificates, Series 2004-15, Class MV4 | | | | | | | | | |
1.80% | | | 04/25/35 | 3 | | | 7,035,000 | | | | 6,938,810 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-HYB7, Class 3A | | | | | | | | | |
3.09% | | | 11/20/34 | 3 | | | 18,858 | | | | 18,416 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-3, Class 1A2 | | | | | | | | | |
0.82% | | | 04/25/35 | 3 | | | 7,868,904 | | | | 6,810,462 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-4, Class 4A1 | | | | | | | | | |
1.11% | | | 02/25/35 | 3 | | | 40,022 | | | | 34,066 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-9, Class 1A1 | | | | | | | | | |
0.83% | | | 05/25/35 | 3 | | | 170,788 | | | | 137,243 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, Series 2007-J2, Class 2A1 | | | | | | | | | |
1.18% | | | 07/25/37 | 3 | | | 2,244,436 | | | | 1,162,743 | |
| Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR26, Class 3A1 | | | | | | | | | |
2.69% | | | 11/25/33 | 3 | | | 1,699,801 | | | | 1,688,673 | |
| Credit Suisse First Boston Mortgage Securities Corp., Series 2004-AR5, Class 9A1 | | | | | | | | | |
2.48% | | | 06/25/34 | 3 | | | 412,052 | | | | 401,742 | |
| Credit Suisse First Boston Mortgage Securities Corp., Series 2005-11, Class 1A1 | | | | | | | | | |
6.50% | | | 12/25/35 | | | | 1,042,193 | | | | 800,206 | |
| Credit Suisse Mortgage Trust, Series 2006-8, Class 3A1 | | | | | | | | | |
6.00% | | | 10/25/21 | | | | 257,058 | | | | 247,255 | |
| Credit Suisse Mortgage Trust, Series 2013-3R, Class 5A1 | | | | | | | | | |
2.93% | | | 10/27/36 | 2,3 | | | 863,861 | | | | 859,130 | |
| Credit Suisse Mortgage Trust, Series 2014-CIM1, Class A1 | | | | | | | | | |
2.24% | | | 01/25/58 | 2,3 | | | 10,103,762 | | | | 10,136,646 | |
| | | | | | | | | | | | |
| 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 AF4 (STEP) | | | | | | | | | |
3.39% | | | 01/25/36 | | | $ | 3,184,615 | | | $ | 2,367,530 | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB2, Class AF3 (STEP) | | | | | | | | | |
3.49% | | | 12/25/36 | | | | 1,000,000 | | | | 706,123 | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB3, Class AV4 | | | | | | | | | |
0.79% | | | 03/25/36 | 3 | | | 2,900,000 | | | | 2,453,481 | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB9, Class A2 | | | | | | | | | |
0.64% | | | 11/25/36 | 3 | | | 6,631,386 | | | | 4,176,964 | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB1, Class AF2 (STEP) | | | | | | | | | |
3.88% | | | 01/25/37 | | | | 1,234,137 | | | | 612,514 | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB2, Class A2B (STEP) | | | | | | | | | |
4.44% | | | 02/25/37 | | | | 8,322,570 | | | | 6,203,592 | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB2, Class A2C (STEP) | | | | | | | | | |
4.44% | | | 02/25/37 | | | | 1,991,938 | | | | 1,484,589 | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB3, Class A3 (STEP) | | | | | | | | | |
3.96% | | | 03/25/37 | | | | 4,161,470 | | | | 2,359,414 | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB4, Class A1A | | | | | | | | | |
0.61% | | | 04/25/37 | 3 | | | 5,645,603 | | | | 5,263,746 | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB5, Class A1 | | | | | | | | | |
0.58% | | | 04/25/37 | 3 | | | 2,384,591 | | | | 1,694,687 | |
| DSLA Mortgage Loan Trust, Series 2004-AR4, Class 2A1A | | | | | | | | | |
0.89% | | | 01/19/45 | 3 | | | 1,465,092 | | | | 1,254,867 | |
| DSLA Mortgage Loan Trust, Series 2005-AR6, Class 2A1A | | | | | | | | | |
0.82% | | | 10/19/45 | 3 | | | 8,625,836 | | | | 7,390,303 | |
| DSLA Mortgage Loan Trust, Series 2006-AR2, Class 2A1A | | | | | | | | | |
0.73% | | | 10/19/36 | 3 | | | 8,587,876 | | | | 7,278,702 | |
| DSLA Mortgage Loan Trust, Series 2007-AR1, Class 2A1A | | | | | | | | | |
0.67% | | | 04/19/48 | 3 | | | 3,265,059 | | | | 2,632,618 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 117 / Semi-Annual Report September 2016 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
| First Horizon Alternative Mortgage Securities Trust, Series 2004-AA3, Class A1 | | | | | | | | | |
2.78% | | | 09/25/34 | 3 | | $ | 1,461,481 | | | $ | 1,426,007 | |
| First Horizon Alternative Mortgage Securities Trust, Series 2004-AA3, Class A3 | | | | | | | | | |
2.78% | | | 09/25/34 | 3 | | | 2,247,302 | | | | 2,192,755 | |
| First Horizon Alternative Mortgage Securities Trust, Series 2005-AA10, Class 1A1 | | | | | | | | | |
2.73% | | | 12/25/35 | 3 | | | 3,398,275 | | | | 2,806,760 | |
| First Horizon Alternative Mortgage Securities Trust, Series 2005-AA12, Class 2A1 | | | | | | | | | |
2.70% | | | 02/25/36 | 3 | | | 5,392,916 | | | | 4,668,673 | |
| First Horizon Alternative Mortgage Securities Trust, Series 2005-AA2, Class 2A1 | | | | | | | | | |
2.76% | | | 04/25/35 | 3 | | | 6,164,386 | | | | 6,026,123 | |
| First Horizon Alternative Mortgage Securities Trust, Series 2005-AA7, Class 2A1 | | | | | | | | | |
2.82% | | | 09/25/35 | 3 | | | 8,247,960 | | | | 7,489,049 | |
| First Horizon Alternative Mortgage Securities Trust, Series 2005-AA8, Class 2A1 | | | | | | | | | |
2.77% | | | 10/25/35 | 3 | | | 8,985,690 | | | | 7,713,336 | |
| First Horizon Alternative Mortgage Securities Trust, Series 2005-AA9, Class 2A1 | | | | | | | | | |
2.71% | | | 11/25/35 | 3 | | | 4,781,113 | | | | 4,218,734 | |
| First Horizon Alternative Mortgage Securities Trust, Series 2006-AA1, Class 1A1 | | | | | | | | | |
2.79% | | | 03/25/36 | 3 | | | 5,346,260 | | | | 4,486,107 | |
| First Horizon Alternative Mortgage Securities Trust, Series 2006-AA7, Class A1 | | | | | | | | | |
2.69% | | | 01/25/37 | 3 | | | 8,286,398 | | | | 7,016,734 | |
| First Horizon Alternative Mortgage Securities, Series 2005-AA3, Class 3A1 | | | | | | | | | |
2.74% | | | 05/25/35 | 3 | | | 6,375,327 | | | | 6,048,616 | |
| First Horizon Mortgage Pass-Through Trust, Series 2004-AR5, Class 2A1 | | | | | | | | | |
3.03% | | | 10/25/34 | 3 | | | 91,502 | | | | 89,158 | |
| First Horizon Mortgage Pass-Through Trust, Series 2005-AR4, Class 1A1 | | | | | | | | | |
3.07% | | | 09/25/35 | 3 | | | 6,475,367 | | | | 5,838,195 | |
| First Horizon Mortgage Pass-Through Trust, Series 2005-AR4, Class 2A1 | | | | | | | | | |
2.89% | | | 10/25/35 | 3 | | | 278,791 | | | | 232,911 | |
| First Horizon Mortgage Pass-Through Trust, Series 2005-AR5, Class 2A1 | | | | | | | | | |
2.79% | | | 11/25/35 | 3 | | | 4,076,134 | | | | 3,764,742 | |
| First Horizon Mortgage Pass-Through Trust, Series 2007-AR2, Class 1A2 | | | | | | | | | |
2.97% | | | 08/25/37 | 3 | | | 322,336 | | | | 258,733 | |
| GE Business Loan Trust, Series 2007-1A, Class A | | | | | | | | | |
0.69% | | | 04/16/35 | 2,3 | | | 8,394,129 | | | | 7,796,731 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
GMAC Mortgage Corp. Loan Trust, Series 2005-AR5, Class 2A1 | | | | | | | | | |
3.54% | | | 09/19/35 | 3 | | $ | 3,187,822 | | | $ | 2,867,795 | |
GMAC Mortgage Corp. Loan Trust, Series 2005-AR5, Class 3A1 | | | | | | | | | |
3.48% | | | 09/19/35 | 3 | | | 4,834,096 | | | | 4,641,703 | |
GMAC Mortgage Corp. Loan Trust, Series 2006-AR1, Class 1A1 | | | | | | | | | |
3.40% | | | 04/19/36 | 3 | | | 5,524,472 | | | | 5,125,772 | |
Green Tree, Series 2008-MH1, Class A3 | | | | | | | | | |
8.97% | | | 04/25/38 | 2,3 | | | 1,889 | | | | 1,896 | |
GreenPoint Mortgage Funding Trust, Series 2005-HY1, Class 2A | | | | | | | | | |
0.82% | | | 07/25/35 | 3 | | | 5,378,366 | | | | 5,178,874 | |
GreenPoint Mortgage Funding Trust, Series 2006-AR8, Class 1A2A | | | | | | | | | |
0.71% | | | 01/25/47 | 3 | | | 207,745 | | | | 203,722 | |
| GSAA Home Equity Trust, Series 2006-4, Class 4A2 | | | | | | | | | |
0.76% | | | 03/25/36 | 3 | | | 172,246 | | | | 170,804 | |
| GSR Mortgage Loan Trust, Series 2005-4F, Class 4A3 | | | | | | | | | |
5.50% | | | 05/25/35 | | | | 33,612 | | | | 33,898 | |
| GSR Mortgage Loan Trust, Series 2005-7F, Class 3A3 (IO) | | | | | | | | | |
4.97% | | | 09/25/35 | 3,5 | | | 57,838 | | | | 3,324 | |
| GSR Mortgage Loan Trust, Series 2005-AR4, Class 5A1 | | | | | | | | | |
3.17% | | | 07/25/35 | 3 | | | 2,958,572 | | | | 2,725,044 | |
| GSR Mortgage Loan Trust, Series 2006-AR2, Class 2A1 | | | | | | | | | |
2.90% | | | 04/25/36 | 3 | | | 569,339 | | | | 503,250 | |
| GSR Mortgage Loan Trust, Series 2007-AR2, Class 5A1A | | | | | | | | | |
2.94% | | | 05/25/47 | 3 | | | 2,258,614 | | | | 1,995,342 | |
| Impac CMB Trust, Series 2005-2, Class 1A1 | | | | | | | | | |
1.05% | | | 04/25/35 | 3 | | | 7,969,709 | | | | 7,331,238 | |
IndyMac Index Mortgage Loan Trust, Series 2005-AR15, Class A1 | | | | | | | | | |
3.03% | | | 09/25/35 | 3 | | | 2,441,795 | | | | 2,087,838 | |
IndyMac Index Mortgage Loan Trust, Series 2005-AR19, Class A1 | | | | | | | | | |
3.02% | | | 10/25/35 | 3 | | | 4,620,089 | | | | 3,918,819 | |
IndyMac Index Mortgage Loan Trust, Series 2006-AR27, Class 1A3 | | | | | | | | | |
0.80% | | | 10/25/36 | 3 | | | 11,151,961 | | | | 7,376,334 | |
IndyMac Index Mortgage Loan Trust, Series 2006-AR7, Class 3A1 | | | | | | | | | |
3.05% | | | 05/25/36 | 3 | | | 978,678 | | | | 832,893 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2016 / 118 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
IndyMac Index Mortgage Loan Trust, Series 2006-AR9, Class 3A3 | | | | | | | | | |
2.93% | | | 06/25/36 | 3 | | $ | 8,270,019 | | | $ | 8,056,565 | |
| IndyMac Manufactured Housing Contract, Series 1998-1, Class A4 | | | | | | | | | |
6.49% | | | 09/25/28 | | | | 74,581 | | | | 77,284 | |
JPMorgan Mortgage Acquisition Trust, Series 2007-CH1, Class MV1 | | | | | | | | | |
0.75% | | | 11/25/36 | 3 | | | 8,500,000 | | | | 8,141,675 | |
| JPMorgan Mortgage Acquisition Trust, Series 2007-CH5, Class A4 | | | | | | | | | |
0.69% | | | 05/25/37 | 3 | | | 1,773,000 | | | | 1,696,587 | |
| JPMorgan Mortgage Trust, Series 2005-A6, Class 7A1 | | | | | | | | | |
3.16% | | | 08/25/35 | 3 | | | 107,488 | | | | 102,856 | |
| JPMorgan Mortgage Trust, Series 2006-A3, Class 2A1 | | | | | | | | | |
2.99% | | | 05/25/36 | 3 | | | 87,035 | | | | 73,263 | |
| JPMorgan Mortgage Trust, Series 2006-S2, Class 2A2 | | | | | | | | | |
5.88% | | | 06/25/21 | | | | 616,238 | | | | 598,760 | |
| JPMorgan Mortgage Trust, Series 2007-S1, Class 1A2 | | | | | | | | | |
5.50% | | | 03/25/22 | | | | 384,628 | | | | 389,948 | |
| Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A3 | | | | | | | | | |
4.35% | | | 04/15/40 | | | | 15,597 | | | | 15,944 | |
| Lehman Brothers Small Balance Commercial Mortgage Trust, Series 2007-2A, Class 1A4 | | | | | | | | | |
0.78% | | | 06/25/37 | 2,3 | | | 5,730,073 | | | | 5,165,919 | |
| Lehman XS Trust, Series 2005-4, Class 1A3 | | | | | | | | | |
1.33% | | | 10/25/35 | 3 | | | 233,589 | | | | 227,865 | |
| Lehman XS Trust, Series 2005-5N, Class 3A1A | | | | | | | | | |
0.83% | | | 11/25/35 | 3 | | | 8,720,683 | | | | 7,758,201 | |
| Lehman XS Trust, Series 2006-1, Class 1A1 | | | | | | | | | |
0.78% | | | 02/25/36 | 3 | | | 2,461,482 | | | | 2,381,061 | |
| Luminent Mortgage Trust, Series 2007-2, Class 1A3 | | | | | | | | | |
0.75% | | | 05/25/37 | 3 | | | 674,027 | | | | 646,390 | |
| MASTR Adjustable Rate Mortgages Trust, Series 2003-7, Class 3A1 | | | | | | | | | |
2.30% | | | 11/25/33 | 3 | | | 550,035 | | | | 563,315 | |
| MASTR Adjustable Rate Mortgages Trust, Series 2004-15, Class 8A1 | | | | | | | | | |
4.68% | | | 10/25/34 | 3 | | | 981,713 | | | | 976,820 | |
| MASTR Adjustable Rate Mortgages Trust, Series 2004-3, Class 3A3 | | | | | | | | | |
2.61% | | | 04/25/34 | 3 | | | 174,289 | | | | 167,884 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
| MASTR Adjustable Rate Mortgages Trust, Series 2006-2, Class 4A1 | | | | | | | | | |
2.92% | | | 02/25/36 | 3 | | $ | 175,953 | | | $ | 162,459 | |
| MASTR Adjustable Rate Mortgages Trust, | | | | | | | | | |
| Series 2007-2, Class A2 | | | | | | | | | |
0.64% | | | 03/25/47 | 3 | | | 807,299 | | | | 801,041 | |
| MASTR Asset-Backed Securities Trust, Series 2007-HE1, Class A4 | | | | | | | | | |
0.81% | | | 05/25/37 | 3 | | | 3,150,000 | | | | 1,979,986 | |
Merrill Lynch Alternative Note Asset, Series 2007-A3, Class A2D | | | | | | | | | |
0.86% | | | 04/25/37 | 3,5 | | | 883,581 | | | | 111,107 | |
| Merrill Lynch First Franklin Mortgage Loan Trust, Series 2006-FF13, Class A2C | | | | | | | | | |
0.69% | | | 10/25/36 | 3 | | | 1,315,752 | | | | 959,350 | |
| Merrill Lynch First Franklin Mortgage Loan Trust, Series 2006-FF18, Class A2D | | | | | | | | | |
0.74% | | | 12/25/37 | 3 | | | 2,437,102 | | | | 1,549,235 | |
| Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-4, Class 2A4 | | | | | | | | | |
0.78% | | | 07/25/37 | 3 | | | 1,574,786 | | | | 1,003,624 | |
| Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-FF1, Class A2D | | | | | | | | | |
0.74% | | | 01/25/38 | 3 | | | 6,940,330 | | | | 4,699,975 | |
| Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-FF2, Class A2B | | | | | | | | | |
0.62% | | | 03/25/37 | 3 | | | 981,317 | | | | 577,091 | |
| Merrill Lynch Mortgage Backed Securities Trust, Series 2007-2, Class 1A1 | | | | | | | | | |
3.01% | | | 08/25/36 | 3 | | | 3,714,500 | | | | 3,435,745 | |
| Merrill Lynch Mortgage Investors Trust, Series 2003-A6, Class 2A | | | | | | | | | |
3.05% | | | 10/25/33 | 3 | | | 401,633 | | | | 396,093 | |
| Mid-State Trust, Series 2004-1, Class B | | | | | | | | | |
8.90% | | | 08/15/37 | | | | 91,614 | | | | 105,052 | |
| Morgan Stanley Capital I Trust, Series 2006-NC2, Class A2D | | | | | | | | | |
0.82% | | | 02/25/36 | 3 | | | 4,615,212 | | | | 4,155,390 | |
Morgan Stanley Home Equity Loan Trust, Series 2006-2, Class A4 | | | | | | | | | |
0.81% | | | 02/25/36 | 3 | | | 5,525,455 | | | | 5,259,819 | |
Morgan Stanley Mortgage Loan Trust, Series 2004-7AR, Class 2A4 | | | | | | | | | |
2.56% | | | 09/25/34 | 3 | | | 1,023,554 | | | | 996,202 | |
Morgan Stanley Mortgage Loan Trust, Series 2005-6AR, Class 1A1 | | | | | | | | | |
0.81% | | | 11/25/35 | 3 | | | 179,072 | | | | 175,694 | |
| Morgan Stanley Mortgage Loan Trust, Series 2006-2, Class 1A | | | | | | | | | |
5.25% | | | 02/25/21 | | | | 330,359 | | | | 321,996 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 119 / Semi-Annual Report September 2016 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
Morgan Stanley Resecuritization Trust, Series 2013-R3, Class 12A | | | | | | | | | |
2.94% | | | 01/26/47 | 2,3 | | $ | 424,049 | | | $ | 421,064 | |
| Morgan Stanley Resecuritization Trust, Series 2014-R9, Class 3A | | | | | | | | | |
1.33% | | | 11/26/46 | 2,3 | | | 6,133,630 | | | | 5,926,306 | |
| MortgageIT Trust, Series 2005-2, Class 2A | | | | | | | | | |
2.17% | | | 05/25/35 | 3 | | | 3,851,180 | | | | 3,770,949 | |
| MortgageIT Trust, Series 2005-4, Class A1 | | | | | | | | | |
0.81% | | | 10/25/35 | 3 | | | 6,734,902 | | | | 6,117,515 | |
| MortgageIT Trust, Series 2005-5, Class A1 | | | | | | | | | |
0.79% | | | 12/25/35 | 3 | | | 1,071,516 | | | | 962,830 | |
| New Century Home Equity Loan Trust, Series 2005-2, Class M1 | | | | | | | | | |
1.17% | | | 06/25/35 | 3 | | | 766,377 | | | | 770,449 | |
| New Century Home Equity Loan Trust, Series 2005-D, Class A2D | | | | | | | | | |
0.86% | | | 02/25/36 | 3 | | | 5,841,656 | | | | 5,438,301 | |
| New York Mortgage Trust, Series 2005-3, Class A1 | | | | | | | | | |
1.01% | | | 02/25/36 | 3 | | | 1,706,072 | | | | 1,599,729 | |
Nomura Asset Acceptance Corp., Series 2005-AR4, Class 4A1 | | | | | | | | | |
3.54% | | | 08/25/35 | 3 | | | 7,747,966 | | | | 7,363,886 | |
| Oakwood Mortgage Investors, Inc., Series 2000-A, Class A5 | | | | | | | | | |
8.16% | | | 09/15/29 | 3 | | | 12,110,144 | | | | 8,484,790 | |
Popular ABS Mortgage Pass-Through Trust, Series 2007-A, Class A3 | | | | | | | | | |
0.84% | | | 06/25/47 | 3 | | | 5,152,000 | | | | 3,688,331 | |
Residential Accredit Loans Trust, Series 2005-QA13, Class 2A1 | | | | | | | | | |
3.89% | | | 12/25/35 | 3 | | | 4,285,800 | | | | 3,766,061 | |
Residential Accredit Loans Trust, Series 2005-QA4, Class A41 | | | | | | | | | |
3.33% | | | 04/25/35 | 3 | | | 422,363 | | | | 409,920 | |
Residential Accredit Loans Trust, Series 2005-QA7, Class A21 | | | | | | | | | |
3.42% | | | 07/25/35 | 3 | | | 2,481,104 | | | | 2,205,346 | |
Residential Accredit Loans Trust, Series 2005-QA8, Class CB21 | | | | | | | | | |
3.68% | | | 07/25/35 | 3 | | | 1,785,830 | | | | 1,467,066 | |
Residential Accredit Loans Trust, Series 2005-SP1, Class 4A1 | | | | | | | | | |
7.00% | | | 09/25/34 | | | | 211,292 | | | | 227,966 | |
Residential Accredit Loans Trust, Series 2006-QS13, Class 2A1 | | | | | | | | | |
5.75% | | | 09/25/21 | | | | 297,152 | | | | 287,609 | |
Residential Accredit Loans Trust, Series 2006-QS16, Class A6 | | | | | | | | | |
6.00% | | | 11/25/36 | | | | 1,131,327 | | | | 924,985 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
| Residential Accredit Loans Trust, Series 2007-QS1, Class 2AV (IO) | | | | | | | | | |
0.16% | | | 01/25/37 | 3,5 | | $ | 4,860,607 | | | $ | 35,337 | |
Residential Asset Securities Trust, Series 2004-KS9, Class AII4 | | | | | | | | | |
1.13% | | | 10/25/34 | 3 | | | 21,558 | | | | 17,468 | |
Residential Asset Securities Trust, Series 2005-KS12, Class A3 | | | | | | | | | |
0.85% | | | 01/25/36 | 3 | | | 683,113 | | | | 680,359 | |
| Residential Asset Securities Trust, Series 2006-A9CB, Class A9 | | | | | | | | | |
6.00% | | | 09/25/36 | | | | 6,987,712 | | | | 4,713,969 | |
| Residential Funding Mortgage Securities Trust, Series 2007-SA2, Class 1A | | | | | | | | | |
3.22% | | | 04/25/37 | 3 | | | 374,649 | | | | 251,528 | |
| Securitized Asset Backed Receivables LLC Trust, Series 2007-BR2, Class A2 | | | | | | | | | |
0.76% | | | 02/25/37 | 3 | | | 1,808,976 | | | | 990,791 | |
| Securitized Asset Backed Receivables LLC Trust, Series 2007-BR4, Class A2B | | | | | | | | | |
0.73% | | | 05/25/37 | 3 | | | 3,268,112 | | | | 2,068,660 | |
| Securitized Asset Backed Receivables LLC Trust, Series 2007-NC1, Class A2B | | | | | | | | | |
0.68% | | | 12/25/36 | 3 | | | 4,168,897 | | | | 2,343,239 | |
| Soundview Home Loan Trust, Series 2007-WMC1, Class 3A3 | | | | | | | | | |
0.79% | | | 02/25/37 | 3 | | | 1,222,140 | | | | 545,258 | |
| STRU TCW-1059 Coll | | | | | | | | | |
2.21% | | | 10/28/26 | | | | 12,655,000 | | | | 12,590,736 | |
| Structured Adjustable Rate Mortgage Loan Trust, Series 2004-12, Class 2A | | | | | | | | | |
2.98% | | | 09/25/34 | 3 | | | 1,475,027 | | | | 1,456,115 | |
| Structured Adjustable Rate Mortgage Loan Trust, Series 2004-2, Class 4A2 | | | | | | | | | |
2.97% | | | 03/25/34 | 3 | | | 2,316,610 | | | | 2,283,996 | |
| Structured Adjustable Rate Mortgage Loan Trust, Series 2005-12, Class 3A1 | | | | | | | | | |
2.93% | | | 06/25/35 | 3 | | | 2,682,892 | | | | 2,484,905 | |
| Structured Adjustable Rate Mortgage Loan Trust, Series 2005-21, Class 2A | | | | | | | | | |
2.98% | | | 11/25/35 | 3 | | | 2,763,185 | | | | 2,378,475 | |
| Structured Adjustable Rate Mortgage Loan Trust, Series 2005-7, Class 1A3 | | | | | | | | | |
2.95% | | | 04/25/35 | 3 | | | 7,126,311 | | | | 6,599,267 | |
| Structured Adjustable Rate Mortgage Loan Trust, Series 2006-11, Class 1A1 | | | | | | | | | |
0.69% | | | 12/25/36 | 3 | | | 301,459 | | | | 258,034 | |
| Structured Asset Mortgage Investments II Trust, Series 2006-AR3, Class 22A1 | | | | | | | | | |
2.50% | | | 05/25/36 | 3 | | | 834,404 | | | | 524,404 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2016 / 120 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | |
| Structured Asset Mortgage Investments II Trust, Series 2006-AR5, Class 1A1 | | | | | | | | | |
0.74% | | | 05/25/46 | 3 | | $ | 645,767 | | | $ | 502,173 | |
| Structured Asset Securities Corp. Mortgage Loan Trust, Series 2005-2XS, Class 2A2 | | | | | | | | | |
2.02% | | | 02/25/35 | 3 | | | 302,633 | | | | 290,471 | |
| Structured Asset Securities Corp. Mortgage Loan Trust, Series 2005-4XS, Class 2A1A | | | | | | | | | |
2.27% | | | 03/25/35 | 3 | | | 3,697,799 | | | | 3,526,404 | |
| Structured Asset Securities Corp., Series 2002-11A, Class 2A1 | | | | | | | | | |
3.16% | | | 06/25/32 | 3 | | | 128,232 | | | | 125,201 | |
| Structured Asset Securities Corp., Series 2003-34A, Class 3A3 | | | | | | | | | |
2.95% | | | 11/25/33 | 3 | | | 172,740 | | | | 170,236 | |
| Suntrust Adjustable Rate Mortgage Loan Trust, Series 2007-04, Class 3A1 | | | | | | | | | |
3.41% | | | 10/25/37 | 3 | | | 4,171,253 | | | | 3,695,548 | |
| Suntrust Adjustable Rate Mortgage Loan Trust, Series 2007-S1, Class 2A1 | | | | | | | | | |
3.07% | | | 01/25/37 | 3 | | | 1,863,244 | | | | 1,849,132 | |
| Suntrust Adjustable Rate Mortgage Loan Trust, Series 2007-S1, Class 5A1 | | | | | | | | | |
3.73% | | | 01/25/37 | 3 | | | 1,077,500 | | | | 1,068,814 | |
| WaMu Asset-Backed Certificates, Series 2007-HE1, Class 2A2 | | | | | | | | | |
0.64% | | | 01/25/37 | 3 | | | 4,791,010 | | | | 2,770,135 | |
| WaMu Mortgage Pass-Through Certificates, Series 2004-AR13, Class A1A | | | | | | | | | |
1.25% | | | 11/25/34 | 3 | | | 390,665 | | | | 373,643 | |
| WaMu Mortgage Pass-Through Certificates, Series 2004-AR14, Class A1 | | | | | | | | | |
2.60% | | | 01/25/35 | 3 | | | 1,500,355 | | | | 1,502,670 | |
| WaMu Mortgage Pass-Through Certificates, Series 2004-AR6, Class A | | | | | | | | | |
0.95% | | | 05/25/44 | 3 | | | 272,278 | | | | 258,021 | |
| WaMu Mortgage Pass-Through Certificates, Series 2005-AR1, Class A1A | | | | | | | | | |
1.17% | | | 01/25/45 | 3 | | | 395,592 | | | | 377,568 | |
| WaMu Mortgage Pass-Through Certificates, Series 2005-AR11, Class A1A | | | | | | | | | |
0.84% | | | 08/25/45 | 3 | | | 991,509 | | | | 964,326 | |
| WaMu Mortgage Pass-Through Certificates, Series 2005-AR12, Class 1A6 | | | | | | | | | |
2.72% | | | 10/25/35 | 3 | | | 3,643,146 | | | | 3,507,951 | |
| WaMu Mortgage Pass-Through Certificates, Series 2005-AR13, Class A1A1 | | | | | | | | | |
0.82% | | | 10/25/45 | 3 | | | 2,376,056 | | | | 2,272,275 | |
| WaMu Mortgage Pass-Through Certificates, Series 2005-AR14, Class 2A1 | | | | | | | | | |
2.71% | | | 12/25/35 | 3 | | | 73,687 | | | | 67,607 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | |
| WaMu Mortgage Pass-Through Certificates, Series 2005-AR16, Class 1A3 | | | | | | | | | |
2.60% | | | 12/25/35 | 3 | | $ | 3,851,636 | | | $ | 3,630,171 | |
| WaMu Mortgage Pass-Through Certificates, Series 2005-AR2, Class 2A21 | | | | | | | | | |
0.86% | | | 01/25/45 | 3 | | | 1,830,371 | | | | 1,715,825 | |
| WaMu Mortgage Pass-Through Certificates, Series 2005-AR6, Class 2A1A | | | | | | | | | |
0.76% | | | 04/25/45 | 3 | | | 2,076,938 | | | | 1,963,870 | |
| WaMu Mortgage Pass-Through Certificates, Series 2005-AR9, Class A1A | | | | | | | | | |
1.17% | | | 07/25/45 | 3 | | | 1,910,499 | | | | 1,824,773 | |
| WaMu Mortgage Pass-Through Certificates, Series 2006-AR3, Class A1A | | | | | | | | | |
1.51% | | | 02/25/46 | 3 | | | 4,780,102 | | | | 4,411,442 | |
| WaMu Mortgage Pass-Through Certificates, Series 2006-AR4, Class 1A1A | | | | | | | | | |
1.43% | | | 05/25/46 | 3 | | | 4,554,008 | | | | 4,196,018 | |
| WaMu Mortgage Pass-Through Certificates, Series 2006-AR7, Class 2A | | | | | | | | | |
1.49% | | | 07/25/46 | 3 | | | 9,291,873 | | | | 7,849,443 | |
| WaMu Mortgage Pass-Through Certificates, Series 2007-HY3, Class 1A1 | | | | | | | | | |
2.41% | | | 03/25/37 | 3 | | | 4,385,956 | | | | 3,776,493 | |
| WaMu Mortgage Pass-Through Certificates, Series 2007-OA2, Class 1A | | | | | | | | | |
1.21% | | | 03/25/47 | 3 | | | 9,538,253 | | | | 7,281,185 | |
| WaMu Mortgage Pass-Through Certificates, Series 2007-OA5, Class 1A | | | | | | | | | |
1.26% | | | 06/25/47 | 3 | | | 3,070,952 | | | | 2,616,631 | |
| Wells Fargo Alternative Loan Trust, Series 2007-PA5, Class 1A1 | | | | | | | | | |
6.25% | | | 11/25/37 | | | | 74,390 | | | | 71,696 | |
| Wells Fargo Home Equity Trust, Series 2006-1, Class A4 | | | | | | | | | |
0.78% | | | 07/25/36 | 3 | | | 4,921,639 | | | | 4,867,998 | |
| Wells Fargo Home Equity Trust, Series 2007-1, Class A3 | | | | | | | | | |
0.85% | | | 03/25/37 | 3 | | | 4,690,000 | | | | 3,536,369 | |
| Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR4, Class 1A1 | | | | | | | | | |
3.21% | | | 04/25/36 | 3 | | | 369,926 | | | | 345,064 | |
| Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR16, Class 7A1 | | | | | | | | | |
3.03% | | | 10/25/35 | 3 | | | 2,304,026 | | | | 2,232,483 | |
| Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR10, Class 5A2 | | | | | | | | | |
3.08% | | | 07/25/36 | 3 | | | 430,300 | | | | 423,811 | |
| Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR14, Class 2A1 | | | | | | | | | |
3.03% | | | 10/25/36 | 3 | | | 2,088,524 | | | | 2,008,094 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 121 / Semi-Annual Report September 2016 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
Issues | | Maturity Date | | | Principal Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
| Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR2, Class 2A1 | | | | | | | | | |
2.89% | | | 03/25/36 | 3 | | $ | 3,621,311 | | | $ | 3,622,034 | |
| Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR8, Class 3A2 | | | | | | | | | |
2.85% | | | 04/25/36 | 3 | | | 3,669,810 | | | | 3,586,087 | |
| | | | | | | | | | | | |
| | | | | | | | 577,718,924 | |
| | | | | | | | | | | | |
| |
U.S. Agency Mortgage-Backed — 10.59% | | | | | |
| Fannie Mae Multifamily REMIC Trust, Series 2015-M12, Class FA | | | | | | | | | |
0.85% | | | 04/25/20 | 3 | | | 11,470,623 | | | | 11,447,763 | |
| Fannie Mae Pool 463617 | | | | | | | | | |
4.91% | | | 10/01/19 | | | | 4,015,693 | | | | 4,363,323 | |
| Fannie Mae Pool 464452 | | | | | | | | | |
4.20% | | | 02/01/17 | | | | 16,723,390 | | | | 16,771,468 | |
| Fannie Mae Pool 467626 | | | | | | | | | |
3.74% | | | 05/01/18 | | | | 3,936,112 | | | | 4,050,042 | |
| Fannie Mae Pool 468048 | | | | | | | | | |
4.41% | | | 05/01/21 | | | | 1,696,718 | | | | 1,885,765 | |
| Fannie Mae Pool 468861 | | | | | | | | | |
3.84% | | | 08/01/21 | | | | 3,982,291 | | | | 4,358,978 | |
| Fannie Mae Pool 471474 | | | | | | | | | |
2.61% | | | 05/01/19 | | | | 3,190,000 | | | | 3,282,909 | |
| Fannie Mae Pool 957395 | | | | | | | | | |
5.40% | | | 06/01/18 | | | | 3,497,532 | | | | 3,655,012 | |
| Fannie Mae Pool 958777 | | | | | | | | | |
4.43% | | | 05/01/19 | | | | 5,177,573 | | | | 5,528,913 | |
| Fannie Mae Pool AD0791 | | | | | | | | | |
4.71% | | | 02/01/20 | | | | 7,658,094 | | | | 8,315,287 | |
| Fannie Mae Pool AE0134 | | | | | | | | | |
4.40% | | | 02/01/20 | | | | 890,000 | | | | 968,465 | |
| Fannie Mae Pool AE0918 | | | | | | | | | |
3.67% | | | 10/01/20 | | | | 313,170 | | | | 337,149 | |
| Fannie Mae Pool AL0151 | | | | | | | | | |
4.38% | | | 04/01/21 | | | | 435,031 | | | | 479,933 | |
| Fannie Mae Pool AL0600 | | | | | | | | | |
4.30% | | | 07/01/21 | | | | 132,447 | | | | 146,749 | |
| Fannie Mae Pool AL2293 | | | | | | | | | |
4.38% | | | 06/01/21 | | | | 4,749,177 | | | | 5,281,602 | |
| Fannie Mae Pool AL5584 | | | | | | | | | |
4.42% | | | 12/01/20 | | | | 4,562,282 | | | | 4,992,313 | |
| Fannie Mae Pool AL6829 | | | | | | | | | |
2.96% | | | 05/01/27 | | | | 1,328,956 | | | | 1,411,055 | |
| Fannie Mae Pool AM4029 | | | | | | | | | |
3.79% | | | 08/01/25 | | | | 1,795,456 | | | | 1,998,245 | |
| Fannie Mae Pool AM4040 | | | | | | | | | |
3.75% | | | 07/01/25 | | | | 4,250,660 | | | | 4,725,241 | |
| | | | | | | | | | | | |
Issues | | Maturity Date | | | Principal Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed (continued) | | | | | |
| Fannie Mae Pool AM4125 | | | | | | | | | |
3.74% | | | 08/01/23 | | | $ | 3,005,000 | | | $ | 3,338,823 | |
| Fannie Mae Pool AM7515 | | | | | | | | | |
3.34% | | | 02/01/27 | | | | 11,810,000 | | | | 12,933,767 | |
| Fannie Mae Pool AN0026 | | | | | | | | | |
3.48% | | | 11/01/35 | | | | 3,702,700 | | | | 4,111,803 | |
| Fannie Mae Pool AN0461 | | | | | | | | | |
3.35% | | | 01/01/28 | | | | 5,775,000 | | | | 6,349,267 | |
| Fannie Mae Pool AN0564 | | | | | | | | | |
3.20% | | | 03/01/31 | | | | 7,500,000 | | | | 8,005,152 | |
| Fannie Mae Pool AN0971 | | | | | | | | | |
3.11% | | | 02/01/28 | | | | 7,535,000 | | | | 8,045,811 | |
| Fannie Mae Pool AN0976 | | | | | | | | | |
3.26% | | | 02/01/28 | | | | 2,970,000 | | | | 3,199,720 | |
| Fannie Mae Pool AN1012 | | | | | | | | | |
3.15% | | | 02/01/28 | | | | 4,907,503 | | | | 5,323,196 | |
| Fannie Mae Pool AN1151 | | | | | | | | | |
3.20% | | | 03/01/31 | | | | 3,789,892 | | | | 4,078,277 | |
| Fannie Mae Pool FN0000 | | | | | | | | | |
3.59% | | | 09/01/20 | | | | 429,632 | | | | 460,963 | |
| Fannie Mae REMICS, Series 2003-64, Class KS | | | | | | | | | |
8.96% | | | 07/25/18 | 3 | | | 5,293 | | | | 5,483 | |
| Fannie Mae REMICS, Series 2006-11, Class PS | | | | | | | | | |
22.64% | | | 03/25/36 | 3 | | | 34,387 | | | | 53,632 | |
| Fannie Mae REMICS, Series 2006-8, Class HJ (IO) | | | | | | | | | |
6.07% | | | 03/25/36 | 3 | | | 2,130,156 | | | | 454,986 | |
| Fannie Mae REMICS, Series 2007-52, Class LS (IO) | | | | | | | | | |
5.52% | | | 06/25/37 | 3 | | | 88,310 | | | | 13,753 | |
| Fannie Mae REMICS, Series 2007-77, Class SK (IO) | | | | | | | | | |
5.34% | | | 08/25/37 | 3 | | | 159,350 | | | | 24,825 | |
| Fannie Mae REMICS, Series 2007-88, Class JI (IO) | | | | | | | | | |
5.92% | | | 04/25/37 | 3 | | | 1,899,690 | | | | 375,237 | |
| Fannie Mae REMICS, Series 2008-18, Class SM (IO) | | | | | | | | | |
6.47% | | | 03/25/38 | 3 | | | 109,400 | | | | 18,446 | |
| Fannie Mae REMICS, Series 2008-62, Class SN (IO) | | | | | | | | | |
5.67% | | | 07/25/38 | 3 | | | 387,755 | | | | 76,503 | |
| Fannie Mae REMICS, Series 2010-116, Class SE (IO) | | | | | | | | | |
6.07% | | | 10/25/40 | 3 | | | 121,588 | | | | 21,827 | |
| Fannie Mae-Aces, Series 2003-M2, Class D | | | | | | | | | |
4.68% | | | 01/25/33 | 3 | | | 2,013,229 | | | | 2,229,617 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2016 / 122 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed (continued) | | | | | |
| Fannie Mae-Aces, Series 2009-M2, Class X | | | | | | | | | |
1.64% | | | 01/25/19 | 3 | | $ | 61,379,840 | | | $ | 1,381,390 | |
| Fannie Mae-Aces, Series 2010-M5, Class X | | | | | | | | | |
1.02% | | | 07/25/20 | 3 | | | 30,371,312 | | | | 1,001,154 | |
| Fannie Mae-Aces, Series 2011-M5, Class X | | | | | | | | | |
1.36% | | | 07/25/21 | 3 | | | 78,334,829 | | | | 3,751,400 | |
| Fannie Mae-Aces, Series 2012-M17, Class X2 | | | | | | | | | |
0.54% | | | 11/25/22 | 3 | | | 154,840,430 | | | | 3,326,747 | |
| Fannie Mae-Aces, Series 2012-M2, Class X | | | | | | | | | |
0.88% | | | 02/25/22 | 3 | | | 89,515,101 | | | | 2,917,660 | |
| Fannie Mae-Aces, Series 2012-M9, Class ASQ2 | | | | | | | | | |
1.51% | | | 12/25/17 | | | | 6,563,251 | | | | 6,581,070 | |
| Fannie Mae-Aces, Series 2013-M14, Class FA | | | | | | | | | |
0.88% | | | 08/25/18 | 3 | | | 10,593,027 | | | | 10,603,996 | |
| Fannie Mae-Aces, Series 2013-M4, Class ASQ2 | | | | | | | | | |
1.45% | | | 02/25/18 | | | | 9,740,198 | | | | 9,765,348 | |
| Fannie Mae-Aces, Series 2014-M9, Class X1 | | | | | | | | | |
4.11% | | | 04/25/17 | 3 | | | 9,781,203 | | | | 2,188 | |
| Fannie Mae-Aces, Series 2015-M3, Class FA | | | | | | | | | |
0.73% | | | 06/25/18 | 3 | | | 7,471,672 | | | | 7,459,965 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series K004, Class AX1 | | | | | | | | | |
1.45% | | | 08/25/19 | 3 | | | 85,974,353 | | | | 2,883,141 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series K007, Class A2 | | | | | | | | | |
4.22% | | | 03/25/20 | | | | 1,525,000 | | | | 1,658,685 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series K007, Class X1 | | | | | | | | | |
1.31% | | | 04/25/20 | 3 | | | 59,964,220 | | | | 1,698,097 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series K702, Class X1 (IO) | | | | | | | | | |
1.62% | | | 02/25/18 | 3 | | | 58,541,031 | | | | 936,510 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series K703, Class A2 | | | | | | | | | |
2.70% | | | 05/25/18 | | | | 7,443,961 | | | | 7,602,923 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed (continued) | |
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K719, Class X1 | | | | | | | | | |
0.57% | | | 06/25/22 | 3 | | $ | 93,976,742 | | | $ | 1,600,715 | |
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF02, Class A2 | | | | | | | | | |
1.07% | | | 07/25/20 | 3 | | | 4,085,958 | | | | 4,098,890 | |
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KJ05, Class A1 | | | | | | | | | |
1.42% | | | 05/25/21 | | | | 17,844,536 | | | | 17,888,443 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KP01, Class X (IO) | | | | | | | | | |
3.26% | | | 01/25/19 | 3 | | | 26,060,733 | | | | 1,219,204 | |
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KS03, Class A4 | | | | | | | | | |
4.19% | | | 08/25/19 | | | | 3,055,000 | | | | 3,278,341 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KSCT, Class A1 | | | | | | | | | |
3.19% | | | 12/25/19 | | | | 4,824,702 | | | | 4,951,412 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KSCT, Class AX | | | | | | | | | |
1.24% | | | 01/25/20 | 3 | | | 32,664,565 | | | | 1,003,462 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KC01, Class X1 | | | | | | | | | |
0.85% | | | 12/25/22 | 3 | | | 98,577,751 | | | | 3,105,150 | |
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KS01, Class X1 | | | | | | | | | |
1.57% | | | 01/25/23 | 3 | | | 34,715,449 | | | | 2,054,071 | |
| Freddie Mac REMICS, Series 2711, Class FA | | | | | | | | | |
1.52% | | | 11/15/33 | 3 | | | 129,470 | | | | 131,319 | |
| Freddie Mac REMICS, Series 2733, Class FB | | | | | | | | | |
1.12% | | | 10/15/33 | 3 | | | 545,000 | | | | 547,990 | |
| Freddie Mac REMICS, Series 3001, Class HS | | | | | | | | | |
15.44% | | | 02/15/35 | 3 | | | 5,322 | | | | 5,604 | |
| Freddie Mac REMICS, Series 3262, Class KS (IO) | | | | | | | | | |
5.89% | | | 01/15/37 | 3 | | | 75,339 | | | | 12,343 | |
| Freddie Mac REMICS, Series 3327, Class LZ | | | | | | | | | |
6.00% | | | 06/15/37 | | | | 623,252 | | | | 703,117 | |
| Freddie Mac REMICS, Series 3339, Class JS | | | | | | | | | |
39.43% | | | 07/15/37 | 3 | | | 27,372 | | | | 57,123 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 123 / Semi-Annual Report September 2016 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
| Freddie Mac REMICS, Series 3404, Class AS (IO) | | | | | | | | | |
5.37% | | | 01/15/38 | 3 | | $ | 128,421 | | | $ | 22,088 | |
| Freddie Mac REMICS, Series 3439, Class SC (IO) | | | | | | | | | |
5.38% | | | 04/15/38 | 3 | | | 88,560 | | | | 15,017 | |
| Freddie Mac REMICS, Series 3828, Class TF | | | | | | | | | |
0.92% | | | 04/15/29 | 3 | | | 148,869 | | | | 149,241 | |
| Freddie Mac REMICS, Series 4030, Class HS (IO) | | | | | | | | | |
6.09% | | | 04/15/42 | 3 | | | 288,028 | | | | 55,370 | |
| Freddie Mac, Series 3885, Class PO (PO) | | | | | | | | | |
0.00% | | | 11/15/33 | 10 | | | 44,831 | | | | 39,973 | |
| Ginnie Mae, Series 2006-3, Class C | | | | | | | | | |
5.24% | | | 04/16/39 | 3 | | | 1,409,532 | | | | 1,427,234 | |
| Ginnie Mae, Series 20088-80, Class D | | | | | | | | | |
5.35% | | | 01/16/41 | | | | 3,325,573 | | | | 3,428,371 | |
| Ginnie Mae, Series 2011-109, Class AB | | | | | | | | | |
2.70% | | | 04/16/43 | | | | 671,680 | | | | 678,127 | |
| Ginnie Mae, Series 2011-146, Class EI (IO) | | | | | | | | | |
5.00% | | | 11/16/41 | | | | 206,859 | | | | 44,544 | |
| Ginnie Mae, Series 2011-152, Class IO (IO) | | | | | | | | | |
0.93% | | | 08/16/51 | 3 | | | 25,728,753 | | | | 839,658 | |
| Ginnie Mae, Series 2011-69, Class GI (IO) | | | | | | | | | |
5.00% | | | 05/16/40 | | | | 423,503 | | | | 37,282 | |
| Ginnie Mae, Series 2011-70, Class IL (IO) | | | | | | | | | |
0.60% | | | 06/16/37 | 3 | | | 1,372,519 | | | | 25,279 | |
| Ginnie Mae, Series 2011-81, Class IC (IO) | | | | | | | | | |
0.62% | | | 07/20/35 | 3 | | | 2,438,221 | | | | 42,921 | |
| Ginnie Mae, Series 2011-86, Class B | | | | | | | | | |
3.00% | | | 02/16/41 | | | | 5,040,588 | | | | 5,100,137 | |
| Ginnie Mae, Series 2012-7, Class PI (IO) | | | | | | | | | |
3.50% | | | 01/20/38 | | | | 162,619 | | | | 5,582 | |
| Ginnie Mae, Series 2013-135, Class CS (IO) | | | | | | | | | |
5.67% | | | 09/16/43 | 3 | | | 5,392,874 | | | | 748,225 | |
| Ginnie Mae, Series 2014-125, Class IO (IO) | | | | | | | | | |
1.01% | | | 11/16/54 | 3 | | | 45,836,255 | | | | 3,536,223 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 261,544,030 | |
| | | | | | | | | | | | |
Total Mortgage-Backed (Cost $1,053,411,381) | | | | | | | | 1,053,589,242 | |
| | | | | | | | | | | | |
|
MUNICIPAL BONDS — 0.23%* | |
California — 0.01% | |
| State of California, Build America Bonds | | | | | | | | | |
7.95% | | | 03/01/36 | | | | 150,000 | | | | 179,829 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MUNICIPAL BONDS (continued) | | | | | |
New York — 0.22% | | | | | | | | | |
| City of New York, Build America Bonds, Series F1 | | | | | | | | | |
6.65% | | | 12/01/31 | | | $ | 3,000,000 | | | $ | 3,564,330 | |
| New York City Municipal Water Finance Authority, Build America Bonds, Series SE | | | | | | | | | |
6.49% | | | 06/15/42 | | | | 1,650,000 | | | | 1,919,033 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 5,483,363 | |
| | | | | | | | | | | | |
Total Municipal Bonds (Cost $5,168,608) | | | | | | | | 5,663,192 | |
| | | | | | | | | | | | |
|
U.S. AGENCY SECURITIES — 1.68% | |
U.S. Agency Securities — 1.68% | |
| Federal Farm Credit Bank | | | | | |
0.55% | | | 05/08/17 | 3 | | | 13,250,000 | | | | 13,260,494 | |
0.56% | | | 04/26/17 | 3 | | | 4,850,000 | | | | 4,853,768 | |
0.57% | | | 05/03/18 | 3 | | | 3,250,000 | | | | 3,250,614 | |
0.58% | | | 04/17/17 | 3 | | | 3,630,000 | | | | 3,633,623 | |
0.59% | | | 11/06/17 | 3 | | | 16,550,000 | | | | 16,565,954 | |
| | | | | | | | | | | | |
Total U.S. Agency Securities (Cost $41,527,772) | | | | 41,564,453 | |
| | | | | | | | | | | | |
|
U.S. TREASURY SECURITIES — 4.44% | |
U.S. Treasury Notes — 4.44% | |
| U.S. Treasury Notes | | | | | | | | | |
0.58% | | | 01/31/18 | 3 | | | 45,000,000 | | | | 45,110,030 | |
0.63% | | | 08/31/17 | | | | 64,500,000 | | | | 64,482,761 | |
| | | | | | | | | | | | |
| |
Total U.S. Treasury Securities (Cost $109,438,189) | | | | 109,592,791 | |
| | | | | | | | | | | | |
| | |
Total Bonds – 89.04% (Cost $2,189,375,506) | | | | | | | | 2,199,185,810 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | | | | Shares | | | Value | |
COMMON STOCK — 0.36% | |
Real Estate Investment Trust (REIT) — 0.36% | |
| AGNC Investment Corp. | | | | | | | | | |
| | | | | | | 460,166 | | | | 8,991,644 | |
| | | | | | | | | | | | |
| | |
Total Common Stock (Cost $9,750,173) | | | | | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2016 / 124 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount/ Shares | | | Value | |
SHORT-TERM INVESTMENTS — 11.21% | |
Commercial Paper — 0.49% | |
| Macquarie Bank Ltd. (Australia) | | | | | | | | | |
0.80%11 | | | 11/04/16 | 2,4 | | $ | 12,100,000 | | | $ | 12,093,024 | |
| | | | | | | | | | | | |
|
Foreign Government Obligations — 4.03% | |
| Japan Treasury Discount Bill, Series 620 (Japan) | | | | | | | | | |
0.00%11 | | | 10/17/16 | 4 | | | 1,750,000,000 | | | | 17,282,617 | |
| Japan Treasury Discount Bill, Series 626 (Japan) | | | | | | | | | |
0.00%11 | | | 11/14/16 | 4 | | | 3,340,000,000 | | | | 32,991,311 | |
| Japan Treasury Discount Bill, Series 632 (Japan) | | | | | | | | | |
0.00%11 | | | 12/12/16 | 4 | | | 3,580,000,000 | | | | 35,373,964 | |
| Japan Treasury Discount Bill, Series 636 (Japan) | | | | | | | | | |
0.00%11 | | | 01/10/17 | 4 | | | 1,400,000,000 | | | | 13,839,891 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 99,487,783 | |
| | | | | | | | | | | | |
Money Market Funds — 0.06% | |
| Fidelity Institutional Government Portfolio | | | | | | | | | |
0.27%12,13 | | | | | | | 1,200,886 | | | | 1,200,886 | |
| JPMorgan U.S. Government Money Market Fund | | | | | | | | | |
0.33%12 | | | | | | | 259,000 | | | | 259,000 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 1,459,886 | |
| | | | | | | | | | | | |
|
U.S. Agency Discount Notes — 0.65% | |
| Federal Home Loan Bank | | | | | | | | | |
0.23%11 | | | 10/14/16 | | | | 3,000,000 | | | | 2,999,835 | |
0.40%11 | | | 10/19/16 | | | | 13,000,000 | | | | 12,998,733 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 15,998,568 | |
| | | | | | | | | | | | |
U.S. Treasury Bills — 5.98% | |
| U.S. Treasury Bills | | | | | |
0.16%11 | | | 10/06/16 | | | | 1,000,000 | | | | 999,992 | |
0.19%11 | | | 01/05/17 | | | | 6,000,000 | | | | 5,995,848 | |
0.24%11 | | | 10/13/16 | | | | 15,600,000 | | | | 15,599,285 | |
0.26%11 | | | 11/03/16 | | | | 56,000,000 | | | | 55,990,836 | |
0.26%11 | | | 10/20/16 | | | | 20,915,000 | | | | 20,913,715 | |
0.28%11 | | | 11/17/16 | | | | 2,000,000 | | | | 1,999,604 | |
0.28%11 | | | 10/27/16 | | | | 10,000,000 | | | | 9,998,733 | |
0.31%11 | | | 12/08/16 | 14 | | | 6,597,000 | | | | 6,594,883 | |
0.33%11 | | | 01/12/17 | | | | 13,000,000 | | | | 12,991,737 | |
0.36%11 | | | 01/19/17 | | | | 14,960,000 | | | | 14,947,879 | |
0.45%11 | | | 02/23/17 | | | | 1,700,000 | | | | 1,697,710 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 147,730,222 | |
| | | | | | | | | | | | |
Total Short-Term Investments (Cost $275,889,061) | | | | 276,769,483 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | | | | | | | Value | |
Total Investments – 100.61% (Cost $2,475,014,740)1 | | | $ | 2,484,946,937 | |
| | | | | | | | | | | | |
| |
Liabilities in Excess of Other Assets – (0.61)% | | | | (15,103,184 | ) |
| | | | | | | | | | | | |
Net Assets – 100.00% | | | $ | 2,469,843,753 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | Currency
Purchased | | | Currency Sold | | | Unrealized Appreciation/ (Depreciation) | |
FOREIGN CURRENCY EXCHANGE CONTRACT | |
| Forward currency contract to sell Japanese Yen on 10/17/16 at 101.19 Counterparty: Bank of America | |
USD | | $ | 16,612,557 | | | | JPY 1,750,000,000 | | | | $(680,961) | |
| Forward currency contract to sell Japanese Yen on 11/14/16 at 101.22 Counterparty: JPMorgan Securities LLC | |
USD | | $ | 33,109,464 | | | | JPY 3,340,000,000 | | | | 111,588 | |
| Forward currency contract to sell Japanese Yen on 12/12/16 at 100.94 Counterparty: JPMorgan Securities LLC | |
USD | | $ | 35,318,956 | | | | JPY 3,580,000,000 | | | | (146,508) | |
| Forward currency contract to sell Japanese Yen on 01/10/17 at 100.78 Counterparty: Bank of America | |
USD | | $ | 13,853,225 | | | | JPY 1,400,000,000 | | | | (37,852) | |
| Net unrealized (depreciation) | | | | $(753,733) | |
| | | | |
| Contracts | | | | Unrealized
(Depreciation) |
FUTURES CONTRACTS: LONG POSITIONS |
395 | | U.S. Treasury Five Year Note, Expiration December 2016 | | $(43,800) |
| | Net unrealized (depreciation) | | $(43,800) |
| | | | |
| Contracts | | | | Unrealized
Appreciation |
FUTURES CONTRACTS: SHORT POSITIONS |
1,026 | | U.S. Treasury Ten Year Note, Expiration December 2016 | | $112,632 |
303 | | U.S. Treasury Ultra Bond, Expiration December 2016 | | 873,932 |
| | Net unrealized appreciation | | $986,564 |
Notes:
| 1 | Cost for federal income tax purposes is $2,475,027,457 and net unrealized appreciation/(depreciation) consists of: |
| | | | |
Gross unrealized appreciation | | $ | 42,783,203 | |
Gross unrealized (depreciation) | | | (32,863,723 | ) |
| | | | |
Net unrealized appreciation | | $ | 9,919,480 | |
| | | | |
| 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, 2016. |
| 4 | U.S. dollar-denominated security issued by foreign-domiciled entity. |
See accompanying notes to Schedule of Portfolio Investments.
|
| 125 / Semi-Annual Report September 2016 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| 5 | Illiquid security as determined under procedures approved by the Funds’ Board of Trustees. The aggregate value of illiquid securities is $41,019,168, which is 1.66% of total net assets. |
| 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 | 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. |
| 8 | Non-income producing security. |
| 9 | Security is currently in default with regard to scheduled interest or principal payments. |
| 10 | Zero coupon bond. The rate shown is the effective yield as of September 30, 2016. |
| 11 | Represents annualized yield at date of purchase. |
| 12 | Represents the current yield as of September 30, 2016. |
| 13 | Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $1,710,886. |
| 14 | Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $2,632,130. |
| † | Fair valued security. The aggregate value of fair valued securities is $4,704,634, which is 0.19% 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.
(DIP): Defaulted interest payment
(EMTN): Euro medium-term note
(GMTN): Global medium-term note
(IO): Interest only
(JPY): Japanese Yen
(LIBOR): London InterBank Offer Rate
(MTN): Medium-term note
(PIK): Payment in kind
(PO): Principal only
(STEP): Step coupon bond
(USD): U.S. dollar
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2016 / 126 |
Floating Rate Income Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BONDS – 87.11% | |
BANK LOANS — 78.21%* | |
Automotive — 0.70% | |
| Allison Transmission, Inc., Term Loan B3, 1st Lien | | | | | | | | | |
LIBOR plus 2.50% | | | 08/23/19 | 2 | | $ | 419,963 | | | $ | 423,419 | |
| Chrysler Group LLC, Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 2.75% | | | 05/24/17 | 2 | | | 864,157 | | | | 866,862 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 1,290,281 | |
| | | | | | | | | | | | |
|
Commercial Services — 0.68% | |
| Press Ganey Holdings, Inc., Term Loan, 1st Lien | | | | | | | | | |
4.25% | | | 09/29/23 | 2 | | | 1,250,000 | | | | 1,243,750 | |
| | | | | | | | | | | | |
|
Communications — 6.62% | |
| Block Communications, Inc., Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 3.25% | | | 11/07/21 | 2 | | | 490,009 | | | | 493,684 | |
| Charter Communications Operating LLC, Term Loan E, 1st Lien | | | | | | | | | |
LIBOR plus 2.25% | | | 07/01/20 | 2 | | | 748,067 | | | | 751,295 | |
| Charter Communications Operating LLC, Term Loan I, 1st Lien | | | | | | | | | |
LIBOR plus 2.75% | | | 01/24/23 | 2 | | | 497,500 | | | | 501,333 | |
| Cincinnati Bell, Term Loan, 1st Lien | | | | | | | | | |
LIBOR plus 3.00% | | | 09/10/20 | 2 | | | 485,000 | | | | 487,728 | |
| CSC Holdings LLC, Term Loan B 1st Lien | | | | | | | | | |
LIBOR plus 4.00% | | | 10/09/22 | 2 | | | 997,500 | | | | 1,001,759 | |
| Integra Telecom Holdings, Inc., Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 4.25% | | | 08/08/20 | 2 | | | 985,000 | | | | 983,769 | |
| Level 3 Financing, Inc., Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 3.00% | | | 01/15/20 | 2 | | | 1,000,000 | | | | 1,006,500 | |
| Mediarena Acquisition BV, Term Loan, 1st Lien | | | | | | | | | |
LIBOR plus 5.75% | | | 08/13/21 | 2 | | | 1,082,183 | | | | 967,471 | |
| Merrill Communications LLC, Term Loan, 1st Lien | | | | | | | | | |
LIBOR plus 5.25% | | | 05/29/22 | 2 | | | 494,633 | | | | 464,955 | |
| MGOC, Inc., Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 3.00% | | | 07/31/20 | 2 | | | 630,398 | | | | 631,505 | |
| Mission Broadcasting, Inc., Term Loan B, 1st Lien | | | | | | | | | |
3.00% | | | 09/26/23 | 2 | | | 40,909 | | | | 41,156 | |
| Nexstar Broadcasting Group, Inc., Term Loan B, 1st Lien | | | | | | | | | |
3.00% | | | 09/26/23 | 2 | | | 459,091 | | | | 461,864 | |
| Numericable U.S. LLC, Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 4.25% | | | 01/15/24 | 2 | | | 748,125 | | | | 757,103 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BANK LOANS (continued) | |
Communications (continued) | |
| Sinclair Television Group, Inc., Term Loan B1, 1st Lien | | | | | | | | | |
LIBOR plus 2.75% | | | 07/30/21 | 2 | | $ | 491,275 | | | $ | 494,655 | |
| T-Mobile USA, Inc., Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 2.75% | | | 11/09/22 | 2 | | | 744,375 | | | | 751,510 | |
| Tribune Media Co., Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 3.00% | | | 12/27/20 | 2 | | | 675,282 | | | | 681,717 | |
| Univision Communications, Inc., 2013 Incremental Term Loan | | | | | | | | | |
LIBOR plus 3.00% | | | 03/01/20 | 2 | | | 911,653 | | | | 914,315 | |
| Univision Communications, Inc., Converted Extended Term Loan, 1st Lien | | | | | | | | | |
LIBOR plus 3.00% | | | 03/01/20 | 2 | | | 266,408 | | | | 267,221 | |
| Windstream Services LLC, Term Loan B6, 1st Lien | | | | | | | | | |
LIBOR plus 4.00% | | | 03/30/21 | 2 | | | 497,500 | | | | 499,614 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 12,159,154 | |
| | | | | | | | | | | | |
|
Consumer Discretionary — 6.74% | |
| American Casino & Entertainment Properties LLC, Term Loan, 1st Lien | | | | | | | | | |
LIBOR plus 3.75% | | | 07/07/22 | 2 | | | 868,856 | | | | 879,721 | |
| Aurlux, Term Loan B4, 1st Lien | | | | | | | | | |
LIBOR plus 3.25% | | | 01/17/22 | 2 | | | 467,503 | | | | 471,009 | |
| CityCenter Holdings LLC, Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 3.25% | | | 10/16/20 | 2 | | | 602,499 | | | | 607,394 | |
| Hanesbrands, Inc., Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 2.50% | | | 04/15/22 | 2 | | | 492,500 | | | | 496,809 | |
| Hilton Worldwide Finance LLC, Term Loan B2, 1st Lien | | | | | | | | | |
LIBOR plus 2.50% | | | 09/23/20 | 2 | | | 62,602 | | | | 63,048 | |
LIBOR plus 2.50% | | | 10/25/23 | 2 | | | 639,961 | | | | 644,662 | |
| Keurig Green Mountain, Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 4.50% | | | 03/03/23 | 2 | | | 472,150 | | | | 479,036 | |
| La Quinta Intermediate Holdings LLC, Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 2.75% | | | 02/24/21 | 2 | | | 910,530 | | | | 911,673 | |
| Nielsen Finance LLC, Term Loan, B3, 1st Lien | | | | | | | | | |
2.50% | | | 09/28/23 | 2 | | | 1,250,000 | | | | 1,257,131 | |
| Petco, Acquisition Merger Sub LLC, Term Loan B1, 1st Lien | | | | | | | | | |
LIBOR plus 4.00% | | | 01/26/23 | 2 | | | 995,000 | | | | 1,006,746 | |
| Reynolds Group Holdings, Inc., Term Loan, 1st Lien | | | | | | | | | |
LIBOR plus 3.25% | | | 02/05/23 | 2 | | | 1,500,000 | | | | 1,506,795 | |
| Spectrum Brands, Inc., Term Loan, 1st Lien | | | | | | | | | |
PRIME plus 1.75% | | | 06/23/22 | 2 | | | 1,726 | | | | 1,736 | |
LIBOR plus 2.75% | | | 06/23/22 | 2 | | | 1,038,466 | | | | 1,044,307 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 127 / Semi-Annual Report September 2016 |
Floating Rate Income Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BANK LOANS (continued) | |
Consumer Discretionary (continued) | |
| Station Casinos LLC, Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 3.00% | | | 06/08/23 | 2 | | $ | 1,496,250 | | | $ | 1,508,407 | |
| Yum! Brands, Inc., Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 2.75% | | | 06/16/23 | 2 | | | 1,496,250 | | | | 1,510,749 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 12,389,223 | |
| | | | | | | | | | | | |
|
Consumer Staples — 0.55% | |
| Candy Intermediate Holdings, Inc., Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 4.50% | | | 06/15/23 | 2 | | | 997,500 | | | | 1,006,019 | |
| | | | | | | | | | | | |
|
Electric — 4.65% | |
| Chief Power Finance LLC, Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 4.75% | | | 12/31/20 | 2,3 | | | 982,500 | | | | 808,922 | |
| Dynegy, Inc., Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 4.00% | | | 06/27/23 | 2 | | | 500,000 | | | | 504,658 | |
| EFS Cogen Holdings I LLC, Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 4.25% | | | 06/28/23 | 2 | | | 1,455,275 | | | | 1,472,738 | |
| ExGen Texas Power LLC, Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 4.75% | | | 09/18/21 | 2,3 | | | 974,635 | | | | 799,508 | |
| GIM Channelview Cogeneration LLC, Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 3.25% | | | 05/08/20 | 2 | | | 1,139,582 | | | | 1,108,244 | |
| Moxie Liberty (Panda), Term Loan, 1st Lien | | | | | | | | | |
LIBOR plus 6.50% | | | 08/21/20 | 2 | | | 596,369 | | | | 588,914 | |
| Panda Power Funds, Term Loan B1, 1st Lien | | | | | | | | | |
LIBOR plus 5.75% | | | 12/19/20 | 2,3 | | | 981,293 | | | | 964,121 | |
| Texas Competitive Electric Holdings Co. LLC, Term Loan B, 1st Lien (DIP) | | | | | | | | | |
LIBOR plus 4.00% | | | 10/31/17 | 2 | | | 1,221,429 | | | | 1,232,226 | |
| Texas Competitive Electric Holdings Co. LLC, Term Loan C, 1st Lien (DIP) | | | | | | | | | |
LIBOR plus 4.00% | | | 10/31/17 | 2 | | | 278,571 | | | | 281,034 | |
| Viva Alamo LLC, Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 4.25% | | | 02/20/21 | 2,3 | | | 959,233 | | | | 784,173 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 8,544,538 | |
| | | | | | | | | | | | |
|
Energy — 1.85% | |
| Azure Midstream Energy LLC, Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 6.50% | | | 11/15/18 | 2 | | | 273,818 | | | | 229,323 | |
| EMG Utica LLC, Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 3.75% | | | 03/27/20 | 2,3 | | | 766,077 | | | | 753,628 | |
| Harvey Gulf International Marine LLC, Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 4.50% | | | 06/18/20 | 2,3 | | | 739,741 | | | | 467,886 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BANK LOANS (continued) | |
Energy (continued) | |
| Pike Corp., Term Loan, 1st Lien | | | | | | | | | |
LIBOR plus 4.50% | | | 12/22/21 | 2 | | $ | 364,516 | | | $ | 366,226 | |
| Pike Corp., Term Loan, 2nd Lien | | | | | | | | | |
LIBOR plus 8.50% | | | 06/22/22 | 2,3 | | | 500,000 | | | | 497,800 | |
| Power Buyer LLC, Term Loan, 1st Lien | | | | | | | | | |
LIBOR plus 3.25% | | | 05/06/20 | 2 | | | 1,080,044 | | | | 1,078,693 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 3,393,556 | |
| | | | | | | | | | | | |
| | |
Entertainment — 0.81% | | | | | | | | | |
| AMC Entertainment, Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 3.25% | | | 12/15/22 | 2 | | | 485,056 | | | | 490,426 | |
| Regal Cinemas Corp., Term Loan, 1st Lien | | | | | | | | | |
LIBOR plus 2.75% | | | 04/01/22 | 2 | | | 997,500 | | | | 1,005,171 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 1,495,597 | |
| | | | | | | | | | | | |
| | | |
Finance — 6.79% | | | | | | | | | | | | |
| Arnhold and S Bleichroeder Holdings, Inc., Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 4.00% | | | 12/01/22 | 2 | | | 992,500 | | | | 995,805 | |
| Aruba Investments, Inc., Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 3.50% | | | 02/02/22 | 2 | | | 411,460 | | | | 411,203 | |
| Assured Partners, Inc., Term Loan, 1st Lien | | | | | | | | | |
LIBOR plus 4.75% | | | 10/21/22 | 2 | | | 496,256 | | | | 499,822 | |
| Black Knight InfoServ LLC, Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 3.00% | | | 05/07/22 | 2 | | | 987,500 | | | | 996,758 | |
| Camelot Finance LP, Term Loan B, 1st Lien | | | | | | | | | |
4.75% | | | 09/16/23 | 2 | | | 1,000,000 | | | | 1,002,750 | |
| CBAC Borrower LLC, Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 7.00% | | | 07/02/20 | 2 | | | 992,500 | | | | 978,853 | |
| Delos Finance SARL, Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 2.75% | | | 02/27/21 | 2 | | | 1,000,000 | | | | 1,008,335 | |
| Fly Funding II SARL, Term Loan, 1st Lien | | | | | | | | | |
LIBOR plus 2.75% | | | 08/09/19 | 2 | | | 920,000 | | | | 922,875 | |
| GTCR Valor Cos., Inc., Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 6.00% | | | 06/16/23 | 2 | | | 997,500 | | | | 954,174 | |
| Midas Intermediate Holdco II LLC, Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 3.50% | | | 08/18/21 | 2 | | | 743,052 | | | | 750,483 | |
| Royalty Pharma, Term Loan B4, 1st Lien | | | | | | | | | |
LIBOR plus 2.75% | | | 12/18/20 | 2 | | | 983,731 | | | | 989,525 | |
| Telenet International Finance SARL, Term Loan B, 1st Lien (Luxembourg) | | | | | | | | | |
LIBOR plus 3.50% | | | 06/30/24 | 2,4 | | | 1,000,000 | | | | 1,009,940 | |
| WideOpenWest Finance LLC, Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 3.50% | | | 08/12/23 | 2 | | | 1,970,621 | | | | 1,965,182 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 12,485,705 | |
| | | | | | | | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2016 / 128 |
Floating Rate Income Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BANK LOANS (continued) | |
Food — 3.05% | |
| B and G Foods, Inc., Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 3.00% | | | 11/02/22 | 2 | | $ | 426,740 | | | $ | 430,207 | |
| Chobani LLC, Term Loan B, 1st Lien | | | | | | | | | |
1.00% | | | 09/30/23 | 2 | | | 1,000,000 | | | | 997,500 | |
| Del Monte Foods, Inc., Term Loan, 1st Lien | | | | | | | | | |
LIBOR plus 3.25% | | | 11/26/20 | 2 | | | 487,500 | | | | 460,444 | |
| Dole Food Co., Inc., Term Loan B, 1st Lien | | | | | | | | | |
PRIME plus 2.50% | | | 11/01/18 | 2 | | | 612 | | | | 615 | |
LIBOR plus 3.50% | | | 11/01/18 | 2 | | | 736,367 | | | | 739,526 | |
| Hearthside Group Holdings LLC, Term Loan, 1st Lien | | | | | | | | | |
LIBOR plus 3.50% | | | 06/02/21 | 2 | | | 497,455 | | | | 499,943 | |
| Hostess Brands LLC, Term Loan, 1st Lien | | | | | | | | | |
LIBOR plus 3.50% | | | 08/03/22 | 2 | | | 990,000 | | | | 998,356 | |
| Pinnacle Foods LLC, Term Loan H, 1st Lien | | | | | | | | | |
LIBOR plus 2.50% | | | 04/29/20 | 2 | | | 1,469,772 | | | | 1,478,590 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 5,605,181 | |
| | | | | | | | | | | | |
| | | |
Gaming — 3.76% | | | | | | | | | | | | |
| Affinity Gaming, Term Loan, 1st Lien | | | | | | | | | |
LIBOR plus 4.00% | | | 07/01/23 | 2 | | | 498,750 | | | | 500,311 | |
| Boyd Gaming Corp., Term Loan B2, 1st Lien | | | | | | | | | |
LIBOR plus 3.00% | | | 09/15/23 | 2 | | | 1,500,000 | | | | 1,513,500 | |
| Caesers Entertainment Resort Properties LLC, Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 6.00% | | | 10/11/20 | 2 | | | 748,077 | | | | 747,845 | |
| Golden Nugget, Inc., Delayed-Draw Term Loan, 1st Lien | | | | | | | | | |
LIBOR plus 4.50% | | | 11/21/19 | 2 | | | 403,856 | | | | 407,389 | |
| Golden Nugget, Inc., Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 3.50% | | | 11/21/19 | 2 | | | 942,330 | | | | 950,575 | |
| Las Vegas Sands LLC, Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 2.50% | | | 12/19/20 | 2 | | | 972,500 | | | | 979,069 | |
| MotorCity Casino, Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 3.50% | | | 08/09/21 | 2 | | | 409,515 | | | | 410,668 | |
| Pinnacle Entertainment, Inc., Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 3.00% | | | 04/28/23 | 2 | | | 418,750 | | | | 421,891 | |
| Tropicana Entertainment, Inc., Term Loan, 1st Lien | | | | | | | | | |
LIBOR plus 3.00% | | | 11/27/20 | 2 | | | 970,000 | | | | 970,000 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 6,901,248 | |
| | | | | | | | | | | | |
| | | |
Health Care — 9.16% | | | | | | | | | | | | |
| Acadia Healthcare Co., Inc., Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 3.00% | | | 02/11/22 | 2 | | | 982,500 | | | | 987,825 | |
| Acadia Healthcare Co., Inc., Term Loan B2, 1st Lien | | | | | | | | | |
LIBOR plus 3.00% | | | 02/16/23 | 2 | | | 297,750 | | | | 300,263 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BANK LOANS (continued) | |
Health Care (continued) | |
| Air Medical Group Holdings, Inc., Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 3.25% | | | 04/16/22 | 2 | | $ | 986,263 | | | $ | 979,176 | |
| American Renal Holdings, Inc., Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 3.50% | | | 09/22/19 | 2 | | | 498,671 | | | | 499,297 | |
| CHS/Community Health Systems, Inc., Term Loan G, 1st Lien | | | | | | | | | |
LIBOR plus 2.75% | | | 12/31/19 | 2 | | | 343,368 | | | | 337,574 | |
| CHS/Community Health Systems, Inc., Term Loan H, 1st Lien | | | | | | | | | |
LIBOR plus 3.00% | | | 01/27/21 | 2 | | | 351,235 | | | | 345,550 | |
| DaVita Healthcare Partners, Inc., Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 2.75% | | | 06/19/21 | 2 | | | 977,500 | | | | 984,587 | |
| Endo Luxembourg Finance I Co. SARL, Term Loan B, 1st Lien (Luxembourg) | | | | | | | | | |
LIBOR plus 3.00% | | | 09/25/22 | 2,4 | | | 743,753 | | | | 743,028 | |
| Goldcup Merger Sub, Inc., Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 5.00% | | | 05/03/23 | 2 | | | 498,750 | | | | 503,114 | |
| Greatbatch Ltd., Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 4.25% | | | 10/27/22 | 2 | | | 595,500 | | | | 588,926 | |
| Grifols Worldwide Operations U.S.A., Inc., Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 3.00% | | | 02/27/21 | 2 | | | 494,924 | | | | 500,182 | |
| Halyard Health, Inc., Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 3.25% | | | 11/01/21 | 2 | | | 591,121 | | | | 592,876 | |
| HCA, Inc., Term Loan B6, 1st Lien | | | | | | | | | |
LIBOR plus 3.25% | | | 03/17/23 | 2 | | | 757,614 | | | | 767,262 | |
| Inventiv Health, Inc., Term Loan B, 1st Lien | | | | | | | | | |
4.75% | | | 09/29/23 | 2 | | | 1,500,000 | | | | 1,506,248 | |
| Millennium Health Holdco, Inc., Term Loan, 1st Lien | | | | | | | | | |
PRIME plus 5.50% | | | 12/21/20 | 2 | | | 22,934 | | | | 11,409 | |
LIBOR plus 6.50% | | | 12/21/20 | 2 | | | 695,859 | | | | 346,190 | |
| Multiplan Corp., Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 4.00% | | | 06/07/23 | 2 | | | 1,435,159 | | | | 1,455,114 | |
| NBTY, Inc. Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 4.00% | | | 05/05/23 | 2 | | | 1,496,250 | | | | 1,505,325 | |
| NMSC Holdings, Inc., Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 5.00% | | | 04/11/23 | 2 | | | 677,338 | | | | 685,805 | |
| Prospect Medical Holdings, Inc., Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 6.00% | | | 06/30/22 | 2,3 | | | 498,750 | | | | 494,698 | |
| Sterigenics-Nordion Holdings LLC, Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 3.25% | | | 04/27/22 | 2 | | | 1,488,741 | | | | 1,496,184 | |
| Surgery Center Holdings, Inc., Term Loan, 1st Lien | | | | | | | | | |
LIBOR plus 3.75% | | | 11/03/20 | 2 | | | 491,251 | | | | 492,172 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 129 / Semi-Annual Report September 2016 |
Floating Rate Income Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BANK LOANS (continued) | |
Health Care (continued) | |
| Valeant Pharmaceuticals International, Inc., Delayed Draw Term Loan A4DD, 1st Lien | | | | | | | | | |
LIBOR plus 3.75% | | | 04/01/20 | 2 | | $ | 204,104 | | | $ | 203,572 | |
| Valeant Pharmaceuticals International, Inc., Term Loan BF1, 1st Lien (Canada) | | | | | | | | | |
LIBOR plus 4.75% | | | 04/01/22 | 2,4 | | | 499,059 | | | | 501,190 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 16,827,567 | |
| | | | | | | | | | | | |
| | |
Industrials — 10.92% | | | | | | | | | |
| Abacus Innovations Corp., Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 2.75% | | | 08/16/23 | 2 | | | 750,000 | | | | 755,235 | |
| B/E Aerospace, Inc., Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 3.00% | | | 12/16/21 | 2 | | | 938,182 | | | | 950,350 | |
| BWAY Holding Co., Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 4.50% | | | 08/14/20 | 2 | | | 764,875 | | | | 770,325 | |
| Consolidated Container Co. LLC, Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 3.75% | | | 07/03/19 | 2,3 | | | 233,210 | | | | 232,579 | |
| Consolidated Container Co. LLC, Term Loan B, 2nd Lien | | | | | | | | | |
LIBOR plus 6.50% | | | 01/03/20 | 2,3 | | | 1,000,000 | | | | 961,665 | |
| Excelitas Technologies Corp., Term Loan, 1st Lien | | | | | | | | | |
LIBOR plus 5.00% | | | 10/30/20 | 2,3 | | | 280,370 | | | | 275,989 | |
| Filtration Group, Inc., Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 3.25% | | | 11/21/20 | 2,3 | | | 1,231,756 | | | | 1,238,992 | |
| Infiltrator Systems Integrated LLC, Term Loan, 1st Lien | | | | | | | | | |
LIBOR plus 3.50% | | | 05/27/22 | 2 | | | 987,500 | | | | 991,514 | |
| Jason, Inc., Term Loan, 1st Lien | | | | | | | | | |
LIBOR plus 4.50% | | | 06/30/21 | 2 | | | 248,731 | | | | 237,538 | |
| Jazz Acquisition, Inc., Term Loan, 2nd Lien | | | | | | | | | |
LIBOR plus 6.75% | | | 06/19/22 | 2,3 | | | 150,000 | | | | 126,000 | |
| LTI Flexible Products, Inc., Term Loan, 1st Lien | | | | | | | | | |
LIBOR plus 4.25% | | | 04/17/22 | 2,3 | | | 687,020 | | | | 666,410 | |
| Mauser Holding Gmbh, Term Loan, 1st Lien | | | | | | | | | |
LIBOR plus 3.50% | | | 07/31/21 | 2 | | | 1,275,477 | | | | 1,277,269 | |
| Multi Packaging Solutions, Inc. | | | | | | | | | |
LIBOR plus 3.25% | | | 09/30/20 | 2 | | | 386,491 | | | | 386,249 | |
| Multi Packaging Solutions, Inc., Term Loan, 1st Lien | | | | | | | | | |
LIBOR plus 3.25% | | | 09/30/20 | 2 | | | 771,055 | | | | 772,019 | |
| Munters Corp., Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 5.25% | | | 05/05/21 | 2 | | | 740,530 | | | | 736,828 | |
| OSG Bulk Ships, Inc., Term Loan B-Exit, 1st Lien | | | | | | | | | |
LIBOR plus 4.25% | | | 08/05/19 | 2 | | | 827,119 | | | | 827,462 | |
| Peacock Engineering Co. LLC, Term Loan, 1st Lien | | | | | | | | | |
PRIME plus 3.25% | | | 06/30/22 | 2 | | | 4,035 | | | | 4,048 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BANK LOANS (continued) | |
Industrials (continued) | |
LIBOR plus 4.25% | | | 06/30/22 | 2 | | $ | 985,965 | | | $ | 989,046 | |
| Penn Engineering & Manufacturing Corp., Term Loan, 1st Lien | | | | | | | | | |
LIBOR plus 3.00% | | | 08/29/21 | 2 | | | 490,000 | | | | 491,347 | |
| PGT, Inc., Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 5.75% | | | 02/16/22 | 2 | | | 488,843 | | | | 486,765 | |
| Plaze, Inc., Term Loan, 1st Lien | | | | | | | | | |
LIBOR plus 4.25% | | | 07/31/22 | 2 | | | 1,238,531 | | | | 1,241,627 | |
| Ply Gem Industries, Inc., Term Loan, 1st Lien | | | | | | | | | |
LIBOR plus 3.00% | | | 01/30/21 | 2,3 | | | 417,733 | | | | 420,866 | |
| PrimeLine Utility Services LLC, Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 5.50% | | | 11/12/22 | 2 | | | 1,496,203 | | | | 1,506,489 | |
| Printpack Holdings, Inc., Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 4.00% | | | 07/26/23 | 2 | | | 500,000 | | | | 502,500 | |
| SIG Combibloc U.S. Acquisition, Inc., Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 3.00% | | | 03/13/22 | 2 | | | 742,462 | | | | 744,270 | |
| Synagro Infrastructure, Term Loan, 1st Lien | | | | | | | | | |
LIBOR plus 5.25% | | | 08/22/20 | 2,3 | | | 673,372 | | | | 567,316 | |
| TransDigm, Inc., Delayed Draw Term Loan F-DD, 1st Lien | | | | | | | | | |
LIBOR plus 3.00% | | | 06/09/23 | 2 | | | 708,750 | | | | 709,912 | |
| TransDigm, Inc., Term Loan F, 1st Lien | | | | | | | | | |
LIBOR plus 3.00% | | | 06/09/23 | 2 | | | 787,500 | | | | 788,792 | |
| Zebra Technologies Corp., Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 3.25% | | | 10/27/21 | 2,3 | | | 409,091 | | | | 414,691 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 20,074,093 | |
| | | | | | | | | | | | |
|
Information Technology — 7.22% | |
| Aclara Technologies LLC, Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 5.75% | | | 08/17/23 | 2,3 | | | 1,500,000 | | | | 1,500,000 | |
| Avago Technologies Cayman Finance Ltd., Term Loan B3, 1st Lien | | | | | | | | | |
LIBOR plus 3.00% | | | 02/01/23 | 2 | | | 674,719 | | | | 683,480 | |
| Ciena Corp., Term Loan, 1st Lien | | | | | | | | | |
LIBOR plus 3.50% | | | 04/25/21 | 2 | | | 249,375 | | | | 250,622 | |
| Dell, Inc., Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 3.25% | | | 09/07/23 | 2 | | | 1,500,000 | | | | 1,510,650 | |
| Equinix, Inc., Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 3.25% | | | 01/09/23 | 2 | | | 497,500 | | | | 502,475 | |
| First Data Corp., 2021 Extended Term Loan | | | | | | | | | |
LIBOR plus 4.00% | | | 03/24/21 | 2 | | | 679,255 | | | | 685,056 | |
| First Data Corp., Term Loan B1, 1st Lien | | | | | | | | | |
LIBOR plus 3.75% | | | 07/10/22 | 2 | | | 300,000 | | | | 302,083 | |
| Linxens France SA, Term Loan, 1st Lien (France) | | | | | | | | | |
LIBOR plus 4.00% | | | 07/11/22 | 2,4 | | | 992,500 | | | | 998,703 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2016 / 130 |
Floating Rate Income Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BANK LOANS (continued) | |
Information Technology (continued) | |
| Mitel U.S. Holdings, Inc., Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 4.50% | | | 04/13/22 | 2 | | $ | 896,437 | | | $ | 903,304 | |
| NXP BV, Term Loan F, 1st Lien | | | | | | | | | |
LIBOR plus 2.50% | | | 12/07/20 | 2 | | | 293,260 | | | | 294,929 | |
| ON Semiconductor Corp., Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 3.25% | | | 03/31/23 | 2 | | | 1,500,000 | | | | 1,508,978 | |
| Sensus USA, Inc., Term Loan, 1st Lien | | | | | | | | | |
LIBOR plus 5.50% | | | 04/05/23 | 2 | | | 997,500 | | | | 1,002,487 | |
| Sophia LP, Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 3.75% | | | 09/30/22 | 2 | | | 491,474 | | | | 492,396 | |
| SS&C Technologies Holdings SARL, Term Loan B2, 1st Lien | | | | | | | | | |
LIBOR plus 3.25% | | | 07/08/22 | 2 | | | 127,433 | | | | 128,588 | |
| SS&C Technologies, Inc., Term Loan B1, 1st Lien | | | | | | | | | |
LIBOR plus 3.25% | | | 07/08/22 | 2 | | | 1,025,448 | | | | 1,034,744 | |
| TierPoint LLC, Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 4.25% | | | 12/02/21 | 2 | | | 992,500 | | | | 980,099 | |
LIBOR plus 4.25% | | | 12/02/21 | 2 | | | 498,731 | | | | 496,861 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 13,275,455 | |
| | | | | | | | | | | | |
| | | |
Insurance — 1.68% | | | | | | | | | | | | |
| Alliant Holdings I LLC, Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 3.50% | | | 08/14/22 | 2 | | | 642,370 | | | | 643,334 | |
| Confie Seguros Holding II Co., Term Loan, 1st Lien | | | | | | | | | |
PRIME plus 3.50% | | | 11/09/18 | 2 | | | 1,233,936 | | | | 1,236,250 | |
| Hyperion Insurance Group Ltd., Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 4.50% | | | 04/29/22 | 2 | | | 1,232,487 | | | | 1,208,608 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 3,088,192 | |
| | | | | | | | | | | | |
| | | |
Materials — 1.36% | | | | | | | | | | | | |
| Hilex Poly Co. LLC, Term Loan, 1st Lien | | | | | | | | | |
LIBOR plus 5.00% | | | 12/09/21 | 2 | | | 498,734 | | | | 503,412 | |
| Huntsman International LLC, Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 3.50% | | | 04/01/23 | 2 | | | 746,250 | | | | 752,433 | |
| Novelis, Inc., Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 3.25% | | | 05/28/22 | 2 | | | 740,625 | | | | 745,258 | |
| Prolampac Intermediate, Inc., Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 4.75% | | | 08/18/22 | 2 | | | 496,122 | | | | 500,153 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 2,501,256 | |
| | | | | | | | | | | | |
|
Real Estate Investment Trust (REIT) — 1.66% | |
| DTZ U.S. Borrower LLC, Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 3.25% | | | 11/04/21 | 2 | | | 1,241,219 | | | | 1,244,322 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BANK LOANS (continued) | |
Real Estate Investment Trust (REIT) (continued) | |
| MGM Growth Properties Operating Partnership, Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 3.25% | | | 04/25/23 | 2 | | $ | 1,243,750 | | | $ | 1,256,579 | |
| Realogy Group LLC, Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 3.00% | | | 07/20/22 | 2 | | | 543,984 | | | | 551,209 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 3,052,110 | |
| | | | | | | | | | | | |
|
Retail — 0.83% | |
| Dollar Tree, Inc., Term Loan B3, 1st Lien | | | | | | | | | |
LIBOR plus 2.50% | | | 07/06/22 | 2 | | | 284,810 | | | | 287,258 | |
| PetSmart, Inc., Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 3.25% | | | 03/10/22 | 2 | | | 1,235,616 | | | | 1,239,532 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 1,526,790 | |
| | | | | | | | | | | | |
| | | |
Services — 7.41% | | | | | | | | | | | | |
| Alix Partners LP, Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 3.50% | | | 07/28/22 | 2 | | | 990,000 | | | | 993,094 | |
| Apollo Security Services LLC, Term Loan, 1st Lien | | | | | | | | | |
LIBOR plus 3.75% | | | 07/01/21 | 2 | | | 394,013 | | | | 398,410 | |
| CHI Overhead Doors, Term Loan, 1st Lien | | | | | | | | | |
LIBOR plus 3.50% | | | 07/31/22 | 2 | | | 1,713,797 | | | | 1,717,011 | |
| ESH Hospitality, Inc., Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 3.00% | | | 08/30/23 | 2 | | | 1,000,000 | | | | 1,008,660 | |
| Global Payments, Inc., Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 3.50% | | | 04/22/23 | 2 | | | 498,750 | | | | 504,610 | |
| Laureate Education, Inc., Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 8.00% | | | 03/23/21 | 2 | | | 774,474 | | | | 771,860 | |
| NEP/NCP Holdco, Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 3.25% | | | 01/22/20 | 2 | | | 1,237,389 | | | | 1,235,329 | |
| PODS Enterprises LLC, Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 3.50% | | | 02/02/22 | 2 | | | 1,489,321 | | | | 1,499,248 | |
| Prime Security Services Borrower LLC, Term Loan, 1st Lien | | | | | | | | | |
LIBOR plus 3.75% | | | 05/02/22 | 2 | | | 748,125 | | | | 756,482 | |
| Research Now Group, Inc., Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 4.50% | | | 03/18/21 | 2,3 | | | 738,750 | | | | 723,975 | |
| SRS Distribution, Inc., Term Loan, 1st Lien | | | | | | | | | |
LIBOR plus 4.25% | | | 08/25/22 | 2 | | | 496,250 | | | | 501,833 | |
| St. George’s University LLC, Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 5.25% | | | 07/06/22 | 2 | | | 500,000 | | | | 503,440 | |
| VGD Merger Sub LLC, Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 4.00% | | | 08/18/23 | 2 | | | 1,500,000 | | | | 1,515,473 | |
| Wash Multifamily Laundry Systems LLC, Term Loan B, 1st Lien | | | | | | | | | |
LIBOR plus 3.25% | | | 05/14/22 | 2 | | | 1,260,497 | | | | 1,263,648 | |
LIBOR plus 3.25% | | | 05/14/22 | 2 | | | 220,750 | | | | 221,302 | |
| | | | | | | | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 131 / Semi-Annual Report September 2016 |
Floating Rate Income Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BANK LOANS (continued) | |
Services (continued) | |
| | | |
| | | | | | | | | | $ | 13,614,375 | |
| | | | | | | | | | | | |
|
Transportation — 1.77% | |
| Air Canada, Term Loan B, 1st Lien | | | | | | | | | |
0.75% | | | 09/23/23 | 2 | | $ | 1,000,000 | | | | 1,003,500 | |
| American Airlines, Inc., Term Loan B-Exit, 1st Lien | | | | | | | | | |
LIBOR plus 2.50% | | | 06/27/20 | 2 | | | 970,219 | | | | 973,498 | |
| Delta Air Lines, Inc., Term Loan B1, 1st Lien | | | | | | | | | |
LIBOR plus 2.50% | | | 10/18/18 | 2 | | | 494,859 | | | | 498,763 | |
| Navios Maritime Partners LP, Term Loan B, 1st Lien (Greece) | | | | | | | | | |
LIBOR plus 4.25% | | | 06/27/18 | 2,3,4 | | | 848,471 | | | | 772,813 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 3,248,574 | |
| | | | | | | | | | | | |
Total Bank Loans (Cost $144,052,202) | | | | | | | | 143,722,664 | |
| | | | | | | | | | | | |
|
CORPORATES — 8.90%* | |
Banking — 0.27% | |
| Bank of America N.A. (BKNT) | | | | | | | | | |
1.15% | | | 06/15/17 | 2 | | | 500,000 | | | | 499,822 | |
| | | | | | | | | | | | |
|
Communications — 1.94% | |
| CSC Holdings LLC | | | | | | | | | |
6.75% | | | 11/15/21 | | | | 1,000,000 | | | | 1,060,000 | |
| DISH DBS Corp. | | | | | | | | | |
4.25% | | | 04/01/18 | | | | 1,000,000 | | | | 1,030,000 | |
| Sprint Communications, Inc. | | | | | | | | | |
9.00% | | | 11/15/18 | 5 | | | 400,000 | | | | 442,520 | |
| Verizon Communications, Inc. | | | | | | | | | |
2.61% | | | 09/14/18 | 2 | | | 1,000,000 | | | | 1,026,710 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 3,559,230 | |
| | | | | | | | | | | | |
|
Consumer Discretionary — 0.56% | |
| Churchill Downs, Inc. | | | | | | | | | |
5.38% | | | 12/15/21 | 5 | | | 1,000,000 | | | | 1,040,000 | |
| | | | | | | | | | | | |
|
Energy — 0.54% | |
| Enbridge, Inc. (Canada) | | | | | | | | | |
1.30% | | | 10/01/16 | 2,4 | | | 1,000,000 | | | | 1,000,002 | |
| | | | | | | | | | | | |
|
Finance — 2.50% | |
| Chase Capital II, Series B | | | | | | | | | |
1.26% | | | 02/01/27 | 2 | | | 500,000 | | | | 445,000 | |
| Citigroup, Inc. | | | | | | | | | |
1.38% | | | 08/25/36 | 2 | | | 1,800,000 | | | | 1,333,549 | |
| General Electric Corp. (MTN) | | | | | | | | | |
1.30% | | | 08/15/36 | 2 | | | 850,000 | | | | 731,909 | |
| Goldman Sachs Group, Inc. (MTN) (The) | | | | | | | | | |
3.85% | | | 07/08/24 | | | | 980,000 | | | | 1,042,728 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Finance (continued) | |
| JPMorgan Chase Capital XXI, Series U | | | | | | | | | |
1.71% | | | 02/02/37 | 2 | | $ | 1,000,000 | | | $ | 805,753 | |
| JPMorgan Chase Capital XXIII | | | | | | | | | |
1.82% | | | 05/15/47 | 2 | | | 300,000 | | | | 230,250 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 4,589,189 | |
| | | | | | | | | | | | |
|
Health Care — 0.67% | |
| Actavis Funding SCS (Luxembourg) | | | | | | | | | |
1.93% | | | 03/12/18 | 2,4 | | | 700,000 | | | | 705,673 | |
| LifePoint Health, Inc. | | | | | | | | | |
5.50% | | | 12/01/21 | | | | 500,000 | | | | 523,125 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 1,228,798 | |
| | | | | | | | | | | | |
|
Industrials — 1.11% | |
| Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (Ireland) | | | | | | | | | |
3.85% | | | 12/15/19 | 2,4,5 | | | 1,000,000 | | | | 1,016,300 | |
4.07% | | | 05/15/21 | 2,4,5 | | | 1,000,000 | | | | 1,017,500 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 2,033,800 | |
| | | | | | | | | | | | |
|
Information Technology — 0.57% | |
| IMS Health, Inc. | | | | | | | | | |
5.00% | | | 10/15/26 | 5 | | | 1,000,000 | | | | 1,045,000 | |
| | | | | | | | | | | | |
|
Real Estate Investment Trust (REIT) — 0.29% | |
| DuPont Fabros Technology LP | | | | | | | | | |
5.88% | | | 09/15/21 | | | | 500,000 | | | | 525,625 | |
| | | | | | | | | | | | |
|
Transportation — 0.45% | |
| American Airlines Pass-Through Trust, Series 2013-2, Class B | | | | | | | | | |
5.60% | | | 07/15/20 | 5 | | | 788,588 | | | | 828,963 | |
| | | | | | | | | | | | |
| | |
Total Corporates (Cost $16,080,009) | | | | | | | | 16,350,429 | |
| | | | | | | | | | | | |
| | |
Total Bonds – 87.11% (Cost $160,132,211) | | | | | | | | 160,073,093 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount/
Shares | | | Value | |
|
SHORT-TERM INVESTMENTS — 16.40% | |
Foreign Government Obligations — 2.96% | |
| Japan Treasury Discount Bill, Series 636 | | | | | | | | | |
| (Japan) | | | | | | | | | | | | |
0.00%6 | | | 01/10/17 | 4 | | | 550,000,000 | | | | 5,437,100 | |
| | | | | | | | | | | | |
|
Money Market Funds — 1.80% | |
| JPMorgan U.S. Government Money Market Fund | | | | | | | | | |
0.33%7 | | | | | | | 3,319,000 | | | | 3,319,000 | |
| | | | | | | | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2016 / 132 |
Floating Rate Income Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount/
Shares | | | Value | |
SHORT-TERM INVESTMENTS (continued) | | | | | |
U.S. Agency Discount Notes — 3.81% | | | | | |
| Fannie Mae | | | | | | | | | |
0.36%6 | | | 10/17/16 | | | $ | 3,000,000 | | | $ | 2,999,790 | |
| Federal Home Loan Bank | | | | | | | | | |
0.23%6 | | | 10/14/16 | | | | 2,000,000 | | | | 1,999,890 | |
0.40%6 | | | 10/19/16 | | | | 2,000,000 | | | | 1,999,805 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 6,999,485 | |
| | | | | | | | | | | | |
|
U.S. Treasury Bills — 7.83% | |
| U.S. Treasury Bills | | | | | | | | | |
0.19%6 | | | 01/05/17 | | | | 7,700,000 | | | | 7,694,672 | |
0.26%6 | | | 10/20/16 | | | | 500,000 | | | | 499,969 | |
0.28%6 | | | 10/27/16 | | | | 2,000,000 | | | | 1,999,747 | |
0.36%6 | | | 01/19/17 | | | | 400,000 | | | | 399,676 | |
0.45%6 | | | 02/23/17 | | | | 3,800,000 | | | | 3,794,881 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 14,388,945 | |
| | | | | | | | | | | | |
Total Short-Term Investments (Cost $30,120,965) | | | | | | | | 30,144,530 | |
| | | | | | | | | | | | |
| | |
Total Investments – 103.51% (Cost $190,253,176)1 | | | | | | | | 190,217,623 | |
| | | | | | | | | | | | |
| | |
Liabilities in Excess of Other Assets – (3.51%) | | | | | | | | (6,458,750 | ) |
| | | | | | | | | | | | |
Net Assets – 100.00% | | | | | | | $ | 183,758,873 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | Currency
Purchased | | | Currency Sold | | | Unrealized
(Depreciation) | |
FOREIGN CURRENCY EXCHANGE CONTRACT | |
| Forward currency contract to sell Japanese Yen on 11/09/16 at 101.10 Counterparty: Citigroup Global Markets, Inc. | |
USD | | $ | 5,423,181 | | | | JPY 550,000,000 | | | | $(17,021 | ) |
| Net unrealized (depreciation) | | | | $(17,021 | ) |
Notes:
| 1 | Cost for federal income tax purposes is $190,253,220 and net unrealized appreciation/(depreciation) consists of: |
| | | | |
Gross unrealized appreciation | | $ | 1,724,312 | |
Gross unrealized (depreciation) | | | (1,759,909 | ) |
| | | | |
Net unrealized (depreciation) | | $ | (35,597 | ) |
| | | | |
| 2 | Floating rate security. The rate disclosed was in effect at September 30, 2016. |
| 3 | Illiquid security as determined under procedures approved by the Funds’ Board of Trustees. The aggregate value of illiquid securities is $13,472,031, which is 7.33% of total net assets. |
| 4 | U.S. dollar-denominated security issued by foreign-domiciled entity. |
| 5 | 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. |
| 6 | Represents annualized yield at date of purchase. |
| 7 | Represents the current yield as of September 30, 2016. |
| * | 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.
(DIP): Defaulted interest payment
(JPY): Japanese Yen
(LIBOR): London InterBank Offer Rate
(MTN): Medium-term note
(USD): U.S. dollar
See accompanying notes to Schedule of Portfolio Investments.
|
| 133 / Semi-Annual Report September 2016 |
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BONDS – 72.39% | | | | | | | | | | | | |
ASSET-BACKED SECURITIES — 13.05%** | | | | | |
| Bank of America Credit Card Trust, Series 2007-A11, Class A11 | | | | | | | | | |
0.59% | | | 12/15/19 | 2 | | $ | 380,000 | | | $ | 379,885 | |
| Bayview Commercial Asset Trust, Series 2004-3, Class A1 | | | | | | | | | |
0.90% | | | 01/25/35 | 2,3 | | | 283,518 | | | | 262,143 | |
| Bayview Commercial Asset Trust, Series 2006-4A, Class A1 | | | | | | | | | |
0.76% | | | 12/25/36 | 2,3 | | | 866,856 | | | | 753,842 | |
| Bayview Commercial Asset Trust, Series 2007-3, Class A1 | | | | | | | | | |
0.77% | | | 07/25/37 | 2,3 | | | 398,171 | | | | 332,583 | |
| Chase Issuance Trust, Series 2012-A2, Class A2 | | | | | | | | | |
0.79% | | | 05/15/19 | 2 | | | 380,000 | | | | 380,313 | |
| CIT Education Loan Trust, Series 2007-1, Class A | | | | | | | | | |
0.95% | | | 03/25/42 | 2,3 | | | 1,235,937 | | | | 1,149,682 | |
| Citibank Credit Card Issuance Trust, Series 2008-A2, Class A2 | | | | | | | | | |
1.70% | | | 01/23/20 | 2 | | | 310,000 | | | | 314,343 | |
| Crystal River, Series 2005-1A, Class A (Cayman Islands) | | | | | | | | | |
1.20% | | | 03/02/46 | 2,3,4,5 | | | 470,845 | | | | 84,752 | |
| Dryden 37 Senior Loan Fund, Series 2015-37A, Class A (Cayman Islands) | | | | | | | | | |
2.18% | | | 04/15/27 | 2,3,5 | | | 420,000 | | | | 421,108 | |
| Education Loan Asset-Backed Trust, Series 2013-1, Class A2 | | | | | | | | | |
1.33% | | | 04/26/32 | 2,3 | | | 645,000 | | | | 617,127 | |
| EFS Volunteer LLC, Series 2010-1, Class A2 | | | | | | | | | |
1.56% | | | 10/25/35 | 2,3 | | | 800,000 | | | | 776,852 | |
| GE Business Loan Trust, Series 2005-1A, Class A3 | | | | | | | | | |
0.77% | | | 06/15/33 | 2,3 | | | 353,905 | | | | 330,036 | |
| GE Business Loan Trust, Series 2005-2A, Class A | | | | | | | | | |
0.76% | | | 11/15/33 | 2,3 | | | 331,725 | | | | 316,695 | |
| Global SC Finance II SRL, Series 2014-1A, Class A2 (Barbados) | | | | | | | | | |
3.09% | | | 07/17/29 | 3,5 | | | 238,917 | | | | 231,286 | |
| Higher Education Funding, Series 2014-1, Class A | | | | | | | | | |
1.88% | | | 05/25/34 | 2,3 | | | 454,562 | | | | 437,834 | |
| Honda Auto Receivables Owner Trust, Series 2014-2, Class A3 | | | | | | | | | |
0.77% | | | 03/19/18 | | | | 158,269 | | | | 158,184 | |
| LEAF Receivables Funding 9 LLC, Series 2013-1, Class E2 | | | | | | | | | |
6.00% | | | 09/15/21 | 3 | | | 520,000 | | | | 521,456 | |
| Limerock CLO II Ltd., Series 2014-2A, Class A (Cayman Islands) | | | | | | | | | |
2.18% | | | 04/18/26 | 2,3,5 | | | 200,000 | | | | 200,205 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | |
| Magnetite XII CLO Ltd., Series 2015-12A, Class A (Cayman Islands) | | | | | | | | | |
2.18% | | | 04/15/27 | 2,3,5 | | $ | 420,000 | | | $ | 420,100 | |
| National Collegiate Student Loan Trust, Series 2007-2, Class A2 | | | | | | | | | |
0.66% | | | 06/26/28 | 2 | | | 232,949 | | | | 229,435 | |
| Navient Student Loan Trust, Series 2016-2, Class A3 | | | | | | | | | |
2.03% | | | 06/25/65 | 2,3 | | | 400,000 | | | | 412,489 | |
| Nelnet Student Loan Trust, Series 2014-4A, Class A2 | | | | | | | | | |
1.48% | | | 11/25/43 | 2,3 | | | 500,000 | | | | 463,566 | |
| Nissan Auto Receivables Owner Trust, Series 2013-C, Class A3 | | | | | | | | | |
0.67% | | | 08/15/18 | | | | 122,905 | | | | 122,603 | |
| Nissan Auto Receivables Owner Trust, Series 2016-C, Class A2A | | | | | | | | | |
1.07% | | | 05/15/19 | | | | 315,000 | | | | 314,960 | |
| Panthera Aviation, Series 2013-1 | | | | | |
10.00% | | | 01/25/22 | 2,4,† | | | 338,214 | | | | 287,484 | |
| Scholar Funding Trust, Series 2012-B, Class A2 | | | | | | | | | |
1.62% | | | 03/28/46 | 2,3 | | | 1,000,000 | | | | 975,634 | |
| SLC Student Loan Trust, Series 2004-1, Class B | | | | | | | | | |
1.11% | | | 08/15/31 | 2 | | | 260,487 | | | | 223,928 | |
| SLC Student Loan Trust, Series 2005-2, Class B | | | | | | | | | |
1.13% | | | 03/15/40 | 2 | | | 389,227 | | | | 329,348 | |
| SLC Student Loan Trust, Series 2005-3, Class B | | | | | | | | | |
1.10% | | | 06/15/40 | 2 | | | 209,933 | | | | 175,915 | |
| SLC Student Loan Trust, Series 2006-2, Class B | | | | | | | | | |
1.08% | | | 12/15/39 | 2 | | | 478,782 | | | | 401,017 | |
| SLM Student Loan Trust, Series 2004-2, Class B | | | | | | | | | |
1.18% | | | 07/25/39 | 2 | | | 479,902 | | | | 415,163 | |
| SLM Student Loan Trust, Series 2005-4, Class B | | | | | | | | | |
0.89% | | | 07/25/40 | 2 | | | 291,019 | | | | 246,742 | |
| SLM Student Loan Trust, Series 2005-9, Class B | | | | | | | | | |
1.01% | | | 01/25/41 | 2 | | | 352,681 | | | | 300,865 | |
| SLM Student Loan Trust, Series 2006-2, Class A6 | | | | | | | | | |
0.88% | | | 01/25/41 | 2 | | | 1,200,000 | | | | 1,091,115 | |
| SLM Student Loan Trust, Series 2007-6, Class B | | | | | | | | | |
1.56% | | | 04/27/43 | 2 | | | 270,034 | | | | 236,706 | |
| SLM Student Loan Trust, Series 2007-7, Class B | | | | | | | | | |
1.46% | | | 10/25/28 | 2 | | | 215,000 | | | | 173,382 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2016 / 134 |
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | | | | | |
| SLM Student Loan Trust, Series 2007-8, Class B | | | | | | | | | |
1.71% | | | 04/27/43 | 2 | | $ | 312,317 | | | $ | 270,842 | |
| SLM Student Loan Trust, Series 2008-2, Class B | | | | | | | | | |
1.91% | | | 01/25/29 | 2 | | | 340,000 | | | | 296,732 | |
| SLM Student Loan Trust, Series 2008-3, Class B | | | | | | | | | |
1.91% | | | 04/25/29 | 2 | | | 340,000 | | | | 288,011 | |
| SLM Student Loan Trust, Series 2008-4, Class B | | | | | | | | | |
2.56% | | | 04/25/29 | 2 | | | 340,000 | | | | 315,420 | |
| SLM Student Loan Trust, Series 2008-5, Class B | | | | | | | | | |
2.56% | | | 07/25/29 | 2 | | | 235,000 | | | | 219,007 | |
| SLM Student Loan Trust, Series 2008-6, Class B | | | | | | | | | |
2.56% | | | 07/25/29 | 2 | | | 340,000 | | | | 317,517 | |
| SLM Student Loan Trust, Series 2008-7, Class B | | | | | | | | | |
2.56% | | | 07/25/29 | 2 | | | 340,000 | | | | 314,649 | |
| SLM Student Loan Trust, Series 2008-8, Class B | | | | | | | | | |
2.96% | | | 10/25/29 | 2 | | | 340,000 | | | | 326,356 | |
| Structured Receivables Finance 2 LLC, Series 2000, Class A | | | | | | | | | |
4.71% | | | 04/15/48 | 3 | | | 127,013 | | | | 128,209 | |
| Structured Receivables Finance LLC, Series 2010-A, Class B | | | | | | | | | |
7.61% | | | 01/16/46 | 3,† | | | 394,808 | | | | 454,387 | |
| Structured Receivables Finance LLC, Series 2010-B, Class B | | | | | | | | | |
7.97% | | | 08/15/36 | 3 | | | 398,115 | | | | 495,527 | |
| Toyota Auto Receivables Owner Trust, Series 2014-A, Class A3 | | | | | | | | | |
0.67% | | | 12/15/17 | | | | 102,105 | | | | 102,053 | |
| Toyota Auto Receivables, Series 2016-C, Class A2A | | | | | | | | | |
1.00% | | | 01/15/19 | | | | 315,000 | | | | 314,673 | |
| | | | | | | | | | | | |
| | |
Total Asset-Backed Securities (Cost $18,903,744) | | | | | | | | 18,332,161 | |
| | | | | | | | | | | | |
| | |
BANK LOANS — 0.16%* | | | | | | | | | |
Services — 0.16% | | | | | | | | | | | | |
| AABS Ltd., Term Loan, Series 2013-1, Class A (STEP) (Bermuda) | | | | | | | | | |
4.72% | | | 01/15/38 | 2,5,† | | | 224,814 | | | | 220,318 | |
| | | | | | | | | | | | |
Total Bank Loans (Cost $226,751) | | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES — 17.14%* | |
Banking — 1.82% | |
| Bank of America Corp. (MTN) | | | | | | | | | |
5.00% | | | 05/13/21 | | | $ | 1,090,000 | | | $ | 1,219,766 | |
| Royal Bank of Scotland PLC (United Kingdom) | | | | | | | | | |
6.40% | | | 10/21/19 | 5 | | | 250,000 | | | | 276,495 | |
| Santander UK Group Holdings PLC (United Kingdom) | | | | | | | | | |
2.88% | | | 10/16/20 | 5 | | | 400,000 | | | | 403,939 | |
| Wells Fargo & Co. | | | | | | | | | | | | |
3.00% | | | 04/22/26 | | | | 645,000 | | | | 651,336 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 2,551,536 | |
| | | | | | | | | | | | |
|
Commercial Services — 0.05% | |
| IHS Markit, Ltd. (Bermuda) | | | | | | | | | |
5.00% | | | 11/01/22 | 3,5 | | | 60,000 | | | | 63,786 | |
| | | | | | | | | | | | |
|
Communications — 0.98% | |
| Altice U.S. Finance I Corp. | | | | | | | | | |
5.38% | | | 07/15/23 | 3 | | | 200,000 | | | | 207,500 | |
| AT&T, Inc. | | | | | | | | | | | | |
4.80% | | | 06/15/44 | | | | 350,000 | | | | 369,369 | |
| Charter Communications Operating LLC/Charter Communications Operating Capital | | | | | | | | | |
6.48% | | | 10/23/45 | 3 | | | 200,000 | | | | 243,170 | |
| T-Mobile USA, Inc. | | | | | | | | | |
6.73% | | | 04/28/22 | | | | 200,000 | | | | 211,000 | |
| Verizon Communications, Inc. | | | | | | | | | |
4.86% | | | 08/21/46 | | | | 150,000 | | | | 166,227 | |
5.15% | | | 09/15/23 | | | | 150,000 | | | | 174,867 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 1,372,133 | |
| | | | | | | | | | | | |
|
Consumer Discretionary — 0.10% | |
| Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC | | | | | | | | | |
5.75% | | | 10/15/20 | | | | 140,000 | | | | 144,900 | |
| | | | | | | | | | | | |
| | | |
Electric — 0.93% | | | | | | | | | | | | |
| Puget Energy, Inc. | | | | | | | | | |
6.00% | | | 09/01/21 | | | | 250,000 | | | | 289,262 | |
| Southern Co. Gas Capital Corp. | | | | | | | | | |
3.25% | | | 06/15/26 | | | | 500,000 | | | | 517,613 | |
| Southwestern Electric Power Co., Series K | | | | | | | | | |
2.75% | | | 10/01/26 | | | | 500,000 | | | | 500,369 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 1,307,244 | |
| | | | | | | | | | | | |
| | | |
Energy — 0.95% | | | | | | | | | | | | |
| Boardwalk Pipelines LP | | | | | | | | | |
5.75% | | | 09/15/19 | | | | 500,000 | | | | 536,259 | |
| Devon Energy Corp. | | | | | | | | | |
5.85% | | | 12/15/25 | | | | 87,000 | | | | 98,081 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 135 / Semi-Annual Report September 2016 |
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Energy (continued) | |
| Enbridge Energy Partners LP | |
5.88% | | | 12/15/16 | | | $ | 200,000 | | | $ | 201,858 | |
| Energy Transfer Partners LP | |
3.77% | | | 11/01/66 | 2 | | | 300,000 | | | | 204,000 | |
| Texas Eastern Transmission LP | |
2.80% | | | 10/15/22 | 3 | | | 300,000 | | | | 299,674 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 1,339,872 | |
| | | | | | | | | | | | |
| | | |
Finance — 5.62% | | | | | | | | | | | | |
| Chase Capital VI | |
1.38% | | | 08/01/28 | 2 | | | 500,000 | | | | 441,250 | |
| Citigroup, Inc. | |
1.38% | | | 08/25/36 | 2 | | | 3,350,000 | | | | 2,481,884 | |
| Ford Motor Credit Co. LLC | |
3.16% | | | 08/04/20 | | | | 275,000 | | | | 283,985 | |
| General Electric Corp. (MTN) | |
1.30% | | | 08/15/36 | 2 | | | 2,500,000 | | | | 2,152,673 | |
| General Motors Financial Co., Inc. | |
3.00% | | | 09/25/17 | | | | 1,000,000 | | | | 1,013,067 | |
| International Lease Finance Corp. | |
7.13% | | | 09/01/18 | 3 | | | 500,000 | | | | 546,563 | |
| JPMorgan Chase Capital XIII, Series M | |
1.79% | | | 09/30/34 | 2 | | | 300,000 | | | | 247,573 | |
| JPMorgan Chase Capital XXIII | |
1.82% | | | 05/15/47 | 2 | | | 200,000 | | | | 153,500 | |
| Morgan Stanley (GMTN) | |
7.30% | | | 05/13/19 | | | | 500,000 | | | | 568,595 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 7,889,090 | |
| | | | | | | | | | | | |
| | | |
Health Care — 1.66% | | | | | | | | | | | | |
| AbbVie, Inc. | |
3.20% | | | 05/14/26 | | | | 180,000 | | | | 183,625 | |
| Actavis Funding SCS (Luxembourg) | |
3.80% | | | 03/15/25 | 5 | | | 470,000 | | | | 498,304 | |
| AstraZeneca PLC (United Kingdom) | |
3.38% | | | 11/16/25 | 5 | | | 100,000 | | | | 106,909 | |
| Celgene Corp. | |
5.00% | | | 08/15/45 | | | | 320,000 | | | | 359,034 | |
| DaVita HealthCare Partners, Inc. | |
5.00% | | | 05/01/25 | | | | 125,000 | | | | 126,100 | |
5.13% | | | 07/15/24 | | | | 14,000 | | | | 14,333 | |
| Gilead Sciences, Inc. | |
4.15% | | | 03/01/47 | | | | 355,000 | | | | 363,779 | |
| HCA, Inc. | |
5.88% | | | 03/15/22 | | | | 275,000 | | | | 303,875 | |
| Tenet Healthcare Corp. | |
4.35% | | | 06/15/20 | 2 | | | 150,000 | | | | 151,515 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Health Care (continued) | |
| Valeant Pharmaceuticals International, Inc. (Canada) | |
6.13% | | | 04/15/25 | 3,5 | | $ | 265,000 | | | $ | 229,887 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 2,337,361 | |
| | | | | | | | | | | | |
|
Industrials — 0.11% | |
| SBA Communications Corp. | |
4.88% | | | 09/01/24 | 3 | | | 88,000 | | | | 89,100 | |
| TransDigm, Inc. | |
6.38% | | | 06/15/26 | 3 | | | 70,000 | | | | 72,625 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 161,725 | |
| | | | | | | | | | | | |
|
Information Technology — 0.59% | |
| Apple, Inc. | |
4.65% | | | 02/23/46 | | | | 300,000 | | | | 344,527 | |
| First Data Corp. | |
5.00% | | | 01/15/24 | 3 | | | 140,000 | | | | 142,625 | |
| MSCI, Inc. | |
4.75% | | | 08/01/26 | 3 | | | 65,000 | | | | 66,463 | |
| Oracle Corp. | |
2.40% | | | 09/15/23 | | | | 225,000 | | | | 226,436 | |
| SS&C Technologies Holdings, Inc. | |
5.88% | | | 07/15/23 | | | | 40,000 | | | | 42,300 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 822,351 | |
| | | | | | | | | | | | |
|
Insurance — 0.97% | |
| Farmers Exchange Capital II | |
6.15% | | | 11/01/53 | 2,3 | | | 900,000 | | | | 965,889 | |
| Nationwide Mutual Insurance Co. | |
3.14% | | | 12/15/24 | 2,3 | | | 400,000 | | | | 392,000 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 1,357,889 | |
| | | | | | | | | | | | |
|
Materials — 0.05% | |
| Valvoline, Inc. | |
5.50% | | | 07/15/24 | 3 | | | 70,000 | | | | 73,325 | |
| | | | | | | | | | | | |
|
Real Estate Investment Trust (REIT) — 1.14% | |
| Education Realty Operating Partnership LP | |
4.60% | | | 12/01/24 | | | | 300,000 | | | | 312,800 | |
| HCP, Inc. | |
3.88% | | | 08/15/24 | | | | 325,000 | | | | 333,269 | |
| Highwoods Realty LP | |
7.50% | | | 04/15/18 | | | | 500,000 | | | | 540,010 | |
| Welltower, Inc. | |
3.75% | | | 03/15/23 | | | | 400,000 | | | | 420,639 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 1,606,718 | |
| | | | | | | | | | | | |
|
Transportation — 2.17% | |
American Airlines Pass-Through Trust,
Series 2013-2, Class A | |
4.95% | | | 01/15/23 | | | | 399,557 | | | | 436,017 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2016 / 136 |
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Transportation (continued) | |
| Continental Airlines Pass-Through Trust, Series 2007, Class 1B | | | | | | | | | |
6.90% | | | 04/19/22 | | | $ | 1,590,791 | | | $ | 1,688,227 | |
| Delta Air Lines Pass-Through Trust, Series 2002-1, Class G1 | | | | | | | | | |
6.72% | | | 01/02/23 | | | | 369,780 | | | | 427,096 | |
| JetBlue Airways Pass-Through Trust, Series 2004-2, Class G2 | | | | | | | | | |
1.27% | | | 11/15/16 | 2 | | | 500,000 | | | | 498,200 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 3,049,540 | |
| | | | | | | | | | | | |
Total Corporates (Cost $22,780,796) | | | | | | | | 24,077,470 | |
| | | | | | | | | | | | |
MORTGAGE-BACKED — 41.24%** | |
Commercial Mortgage-Backed — 2.08% | |
| Banc of America Merrill Lynch Commercial Mortgage Trust, Series 2014-520M, Class A | | | | | | | | | |
4.33% | | | 08/15/46 | 2,3 | | | 110,000 | | | | 127,246 | |
| Citigroup Commercial Mortgage Trust, Series 2012-GC8, Class XA (IO) | | | | | | | | | |
2.31% | | | 09/10/45 | 2,3,4 | | | 5,934,642 | | | | 408,952 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2006-CB17, Class A4 | | | | | | | | | |
5.43% | | | 12/12/43 | | | | 1,176 | | | | 1,177 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2010-CNTR, Class A1 | | | | | | | | | |
3.30% | | | 08/05/32 | 3 | | | 167,469 | | | | 172,149 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2010-CNTR, Class A2 | | | | | | | | | |
4.31% | | | 08/05/32 | 3 | | | 110,000 | | | | 118,415 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2011-C3, Class A2 | | | | | | | | | |
3.67% | | | 02/15/46 | 3 | | | 3,259 | | | | 3,257 | |
| Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C6, Class A4 | | | | | | | | | |
2.86% | | | 11/15/45 | | | | 1,040,000 | | | | 1,091,867 | |
| Morgan Stanley Capital I Trust, Series 2007-IQ14, Class A2FX | | | | | | | | | |
5.61% | | | 04/15/49 | | | | 355,360 | | | | 355,102 | |
| OBP Depositor LLC Trust, Series 2010-OBP, Class A | | | | | | | | | |
4.65% | | | 07/15/45 | 3 | | | 100,000 | | | | 109,090 | |
| Wachovia Bank Commercial Mortgage Trust, Series 2007-C32, Class A2 | | | | | | | | | |
5.88% | | | 06/15/49 | 2 | | | 245,844 | | | | 245,809 | |
| WF-RBS Commercial Mortgage Trust, Series 2011-C5, Class XA | | | | | | | | | |
1.99% | | | 11/15/44 | 2,3,4 | | | 3,975,744 | | | | 286,382 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 2,919,446 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed — 33.87% | |
| ACE Securities Corp., Series 2006-HE3, Class A2C | | | | | | | | | |
0.68% | | | 06/25/36 | 2 | | $ | 1,717,130 | | | $ | 1,129,962 | |
| Adjustable Rate Mortgage Trust, Series 2005-5, Class 6A21 | | | | | | | | | |
0.76% | | | 09/25/35 | 2 | | | 431,453 | | | | 415,608 | |
| Ameriquest Mortgage Securities, Inc., Series 2005-R2, Class M2 | | | | | | | | | |
1.25% | | | 04/25/35 | 2 | | | 690,541 | | | | 685,985 | |
| Banc of America Alternative Loan Trust, Series 2005-2, Class 4A1 | | | | | | | | | |
5.50% | | | 03/25/20 | | | | 189,725 | | | | 191,610 | |
| Banc of America Funding Trust, Series 2006-3, Class 5A3 | | | | | | | | | |
5.50% | | | 03/25/36 | | | | 648,984 | | | | 609,855 | |
| BCAP LLC Trust, Series 2007-AA1, Class 1A2 | | | | | | | | | |
0.69% | | | 02/25/47 | 2 | | | 283,160 | | | | 273,415 | |
| BCAP LLC Trust, Series 2009-RR4, Class 1A1 | | | | | | | | | |
9.50% | | | 06/26/37 | 3 | | | 163,468 | | | | 167,628 | |
| BCAP LLC Trust, Series 2011-RR3, Class 1A5 | | | | | | | | | |
3.19% | | | 05/27/37 | 2,3 | | | 797,430 | | | | 795,287 | |
| BCAP LLC Trust, Series 2011-RR3, Class 5A3 | | | | | | | | | |
3.17% | | | 11/27/37 | 2,3 | | | 1,458,726 | | | | 1,426,485 | |
| Bear Stearns ALT-A Trust, Series 2005-1, Class A1 | | | | | | | | | |
1.09% | | | 01/25/35 | 2 | | | 529,765 | | | | 518,918 | |
| Bear Stearns ARM Trust, Series 2005-2, Class A1 | | | | | | | | | |
2.92% | | | 03/25/35 | 2 | | | 246,605 | | | | 248,153 | |
| Centex Home Equity Loan Trust, Series 2006-A, Class AV4 | | | | | | | | | |
0.78% | | | 06/25/36 | 2 | | | 1,987,879 | | | | 1,952,123 | |
| Chase Funding Trust, Series 2007-A1, Class 8A1 | | | | | | | | | |
3.02% | | | 02/25/37 | 2 | | | 229,136 | | | | 231,933 | |
| Citigroup Mortgage Loan Trust, Inc., Series 2005-OPT3, Class M2 | | | | | | | | | |
1.20% | | | 05/25/35 | 2 | | | 853,995 | | | | 859,165 | |
| Citigroup Mortgage Loan Trust, Inc., Series 2006-WFH4, Class A3 | | | | | | | | | |
0.68% | | | 11/25/36 | 2 | | | 22,095 | | | | 22,139 | |
| Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH2, Class A3 | | | | | | | | | |
0.71% | | | 03/25/37 | 2 | | | 1,025,918 | | | | 1,020,371 | |
| Conseco Finance Securitizations Corp., Series 2001-4, Class A4 | | | | | | | | | |
7.36% | | | 09/01/33 | | | | 332,110 | | | | 355,777 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 137 / Semi-Annual Report September 2016 |
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
| Conseco Finance, Series 2002-C, Class BF1 | | | | | | | | | |
8.00% | | | 06/15/32 | 2 | | $ | 1,281,015 | | | $ | 1,355,716 | |
| Conseco Finance, Series 2002-C, Class BF2 | | | | | | | | | |
8.00% | | | 06/15/32 | 2,3 | | | 721,768 | | | | 775,054 | |
| Conseco Financial Corp., Series 1996-7, Class M1 | | | | | | | | | |
7.70% | | | 10/15/27 | 2 | | | 528,087 | | | | 577,961 | |
| Conseco Financial Corp., Series 1997-3, Class A7 | | | | | | | | | |
7.64% | | | 03/15/28 | 2 | | | 111,681 | | | | 116,373 | |
| Conseco Financial Corp., Series 1998-3, Class A6 | | | | | | | | | |
6.76% | | | 03/01/30 | 2 | | | 418,368 | | | | 448,294 | |
| Conseco Financial Corp., Series 1998-4, Class A6 | | | | | | | | | |
6.53% | | | 04/01/30 | 2 | | | 530,038 | | | | 566,333 | |
| Conseco Financial Corp., Series 1998-4, Class A7 | | | | | | | | | |
6.87% | | | 04/01/30 | 2 | | | 262,459 | | | | 282,694 | |
| Conseco Financial Corp., Series 1999-5, Class A5 | | | | | | | | | |
7.86% | | | 03/01/30 | 2 | | | 94,529 | | | | 81,706 | |
| Credit Suisse Mortgage Trust, Series 2010-RR2, Class 1B | | | | | | | | | |
5.51% | | | 04/15/47 | 2,3 | | | 325,000 | | | | 327,509 | |
| Credit Suisse Mortgage Trust, Series 2014-4R, Class 16A1 | | | | | | | | | |
0.72% | | | 02/27/36 | 2,3 | | | 530,760 | | | | 518,816 | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB2, Class A2B (STEP) | | | | | | | | | |
4.44% | | | 02/25/37 | | | | 1,394,771 | | | | 1,039,653 | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB2, Class A2C (STEP) | | | | | | | | | |
4.44% | | | 02/25/37 | | | | 460,564 | | | | 343,257 | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB3, Class A3 (STEP) | | | | | | | | | |
3.96% | | | 03/25/37 | | | | 1,236,080 | | | | 700,816 | |
| GMAC Mortgage Corp. Loan Trust, Series 2006-AR1, Class 1A1 | | | | | | | | | |
3.40% | | | 04/19/36 | 2 | | | 658,235 | | | | 610,730 | |
| Green Tree Home Improvement Loan Trust, Series 1995-D, Class B2 | | | | | | | | | |
7.45% | | | 09/15/25 | | | | 1,493 | | | | 1,495 | |
| Green Tree, Series 2008-MH1, Class A2 | | | | | | | | | |
8.97% | | | 04/25/38 | 2,3 | | | 34,930 | | | | 35,073 | |
| Green Tree, Series 2008-MH1, Class A3 | | | | | | | | | |
8.97% | | | 04/25/38 | 2,3 | | | 51,373 | | | | 51,582 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
| GreenPoint Mortgage Funding Trust, Series 2006-AR8, Class 1A2A | | | | | | | | | |
0.71% | | | 01/25/47 | 2 | | $ | 419,409 | | | $ | 411,288 | |
| GSAMP Trust, Series 2005-HE5, Class M1 | | | | | | | | | |
0.95% | | | 11/25/35 | 2 | | | 787,977 | | | | 772,237 | |
| GSR Mortgage Loan Trust, Series 2007-AR2, Class 5A1A | | | | | | | | | |
2.94% | | | 05/25/47 | 2 | | | 873,331 | | | | 771,532 | |
| Harborview Mortgage Loan Trust, Series 2006-8, Class 2A1A | | | | | | | | | |
0.73% | | | 07/21/36 | 2 | | | 319,476 | | | | 259,987 | |
| HSBC Home Equity Loan Trust, Series 2007-3, Class A4 | | | | | | | | | |
2.03% | | | 11/20/36 | 2 | | | 675,285 | | | | 677,593 | |
| HSBC Home Equity Loan Trust, Series 2007-3, Class APT | | | | | | | | | |
1.73% | | | 11/20/36 | 2 | | | 302,735 | | | | 302,797 | |
| HSI Asset Loan Obligation Trust, Series 2007-2, Class 2A12 | | | | | | | | | |
6.00% | | | 09/25/37 | | | | 511,061 | | | | 470,237 | |
| Impac CMB Trust, Series 2004-4, Class 1A2 | | | | | | | | | |
1.14% | | | 09/25/34 | 2 | | | 663,501 | | | | 609,026 | |
| IndyMac Index Mortgage Loan Trust, Series 2005-AR25, Class 2A1 | | | | | | | | | |
2.98% | | | 12/25/35 | 2 | | | 612,908 | | | | 544,093 | |
| IndyMac Index Mortgage Loan Trust, Series 2007-FLX2, Class A1C | | | | | | | | | |
0.72% | | | 04/25/37 | 2 | | | 2,642,440 | | | | 1,848,673 | |
| IndyMac Manufactured Housing Contract, Series 1997-1, Class A3 | | | | | | | | | |
6.61% | | | 02/25/28 | | | | 323,447 | | | | 328,201 | |
| IndyMac Manufactured Housing Contract, Series 1997-1, Class A4 | | | | | | | | | |
6.75% | | | 02/25/28 | | | | 136,161 | | | | 138,597 | |
| IndyMac Manufactured Housing Contract, Series 1998-1, Class A4 | | | | | | | | | |
6.49% | | | 09/25/28 | | | | 116,033 | | | | 120,239 | |
| IndyMac Manufactured Housing Contract, Series 1998-1, Class A5 | | | | | | | | | |
6.96% | | | 09/25/28 | 2 | | | 279,678 | | | | 292,360 | |
| IndyMac Manufactured Housing Contract, Series 1998-2, Class A2 | | | | | | | | | |
6.17% | | | 08/25/29 | | | | 18,462 | | | | 18,482 | |
| IndyMac Manufactured Housing Contract, Series 1998-2, Class A4 | | | | | | | | | |
6.64% | | | 08/25/29 | 2 | | | 182,780 | | | | 182,135 | |
| JPMorgan Mortgage Acquisition Trust, Series 2007-HE1, Class AF6 (STEP) | | | | | | | | | |
4.59% | | | 03/25/47 | | | | 1,089,203 | | | | 776,061 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2016 / 138 |
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
| JPMorgan Mortgage Trust, Series 2006-S2, Class 2A2 | | | | | | | | | |
5.88% | | | 06/25/21 | | | $ | 492,990 | | | $ | 479,008 | |
| JPMorgan Mortgage Trust, Series 2007-S1, Class 1A2 | | | | | | | | | |
5.50% | | | 03/25/22 | | | | 279,730 | | | | 283,598 | |
| Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A6 | | | | | | | | | |
6.47% | | | 04/15/40 | 2 | | | 294,602 | | | | 308,885 | |
| Lehman XS Trust, Series 2006-13, Class 1A2 | | | | | | | | | |
0.70% | | | 09/25/36 | 2 | | | 697,527 | | | | 633,094 | |
| Lehman XS Trust, Series 2006-9, Class A1B | | | | | | | | | |
0.69% | | | 05/25/46 | 2 | | | 656,895 | | | | 570,376 | |
| MASTR Asset-Backed Securities Trust, Series 2007-HE1, Class A4 | | | | | | | | | |
0.81% | | | 05/25/37 | 2 | | | 1,810,500 | | | | 1,138,020 | |
| Merrill Lynch Alternative Note Asset, Series 2007-A3, Class A2D | | | | | | | | | |
0.86% | | | 04/25/37 | 2,4 | | | 1,696,107 | | | | 213,279 | |
| Merrill Lynch First Franklin Mortgage Loan Trust, Series 2006-FF18, Class A2B | | | | | | | | | |
0.64% | | | 12/25/37 | 2 | | | 961,807 | | | | 599,941 | |
| Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-FF1, Class A2D | | | | | | | | | |
0.74% | | | 01/25/38 | 2 | | | 2,706,729 | | | | 1,832,990 | |
| Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-FF2, Class A2B | | | | | | | | | |
0.62% | | | 03/25/37 | 2 | | | 981,317 | | | | 577,091 | |
| Merrill Lynch Mortgage Investors, Inc., Series 2004-HE2, Class A2C | | | | | | | | | |
1.69% | | | 08/25/35 | 2 | | | 709,726 | | | | 671,477 | |
| Mid-State Trust VI, Series 2006, Class A3 | | | | | | | | | |
7.54% | | | 07/01/35 | | | | 296,599 | | | | 314,185 | |
| Mid-State Trust VI, Series 2006, Class A4 | | | | | | | | | |
7.79% | | | 07/01/35 | | | | 24,167 | | | | 25,621 | |
| Mid-State Trust XI, Series 2011, Class B | | | | | | | | | |
8.22% | | | 07/15/38 | | | | 12,290 | | | | 13,269 | |
| Mid-State Trust, Series 2004-1, Class B | | | | | | | | | |
8.90% | | | 08/15/37 | | | | 851,401 | | | | 976,279 | |
| Mid-State Trust, Series 2004-1, Class M1 | | | | | | | | | |
6.50% | | | 08/15/37 | | | | 588,835 | | | | 628,912 | |
| Mid-State Trust, Series 2005-1, Class A | | | | | | | | | |
5.75% | | | 01/15/40 | | | | 237,854 | | | | 256,695 | |
| Morgan Stanley Mortgage Loan Trust, Series 2004-7AR, Class 2A4 | | | | | | | | | |
2.56% | | | 09/25/34 | 2 | | | 584,888 | | | | 569,258 | |
| Morgan Stanley Mortgage Loan Trust, Series 2006-7, Class 5A2 | | | | | | | | | |
5.96% | | | 06/25/36 | 2 | | | 2,700,171 | | | | 1,344,086 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
| Oakwood Mortgage Investors, Inc., Series 1998-A, Class M | | | | | | | | | |
6.83% | | | 05/15/28 | 2 | | $ | 438,580 | | | $ | 450,347 | |
| Oakwood Mortgage Investors, Inc., Series 1998-D, Class A | | | | | | | | | |
6.40% | | | 01/15/29 | | | | 168,319 | | | | 169,789 | |
| Oakwood Mortgage Investors, Inc., Series 1999-A, Class A2 | | | | | | | | | |
5.89% | | | 04/15/29 | | | | 35,901 | | | | 36,875 | |
| Oakwood Mortgage Investors, Inc., Series 1999-B, Class A4 | | | | | | | | | |
6.99% | | | 12/15/26 | | | | 580,329 | | | | 614,044 | |
| Oakwood Mortgage Investors, Inc., Series 2001-D, Class A3 | | | | | | | | | |
5.90% | | | 09/15/22 | 2 | | | 1,080,953 | | | | 915,667 | |
| Oakwood Mortgage Investors, Inc., Series 2002-A, Class A3 | | | | | | | | | |
6.03% | | | 05/15/24 | 2 | | | 539,768 | | | | 567,810 | |
| Origen Manufactured Housing, Series 2005-A, Class M1 | | | | | | | | | |
5.46% | | | 06/15/36 | 2 | | | 497,757 | | | | 524,527 | |
| Park Place Securities, Inc., Series 2005-WCH1, Class M2 | | | | | | | | | |
1.31% | | | 01/25/36 | 2 | | | 178,621 | | | | 178,266 | |
| Residential Accredit Loans Trust, Series 2005-QA3, Class NB1 | | | | | | | | | |
3.40% | | | 03/25/35 | 2 | | | 912,926 | | | | 640,943 | |
| Residential Asset Securities Trust, Series 2005-KS12, Class A3 | | | | | | | | | |
0.85% | | | 01/25/36 | 2 | | | 326,706 | | | | 325,389 | |
| SG Mortgage Securities Trust, Series 2007-NC1, Class A2 | | | | | | | | | |
0.77% | | | 12/25/36 | 2,3 | | | 1,876,058 | | | | 1,170,752 | |
| Specialty Underwriting & Residential Finance, Series 2006-AB3, Class A2B | | | | | | | | | |
0.68% | | | 09/25/37 | 2 | | | 689,782 | | | | 420,391 | |
| Structured Adjustable Rate Mortgage Loan Trust, Series 2004-12, Class 2A | | | | | | | | | |
2.98% | | | 09/25/34 | 2 | | | 737,514 | | | | 728,058 | |
| Structured Asset Investment Loan Trust, Series 2005-4, Class M2 | | | | | | | | | |
1.19% | | | 05/25/35 | 2 | | | 617,397 | | | | 617,705 | |
| Terwin Mortgage Trust, Series 2004-7HE, Class A1 | | | | | | | | | |
1.08% | | | 07/25/34 | 2,3 | | | 98,925 | | | | 95,796 | |
| UCFC Home Equity Loan, Series 1998-D, Class BF1 | | | | | | | | | |
8.97% | | | 04/15/30 | 2,4 | | | 585 | | | | 57 | |
| UCFC Manufactured Housing Contract, Series 1997-4, Class A4 | | | | | | | | | |
7.00% | | | 04/15/29 | 2 | | | 11,932 | | | | 11,893 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 139 / Semi-Annual Report September 2016 |
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
| Vanderbilt Acquisition Loan Trust, Series 2002-1, Class A4 | | | | | | | | | |
6.57% | | | 05/07/27 | 2 | | $ | 152,457 | | | $ | 155,295 | |
| WaMu Mortgage Pass-Through Certificates, Series 2005-AR8, Class 2A1A | | | | | | | | | |
0.82% | | | 07/25/45 | 2 | | | 137,188 | | | | 131,274 | |
| Wells Fargo Home Equity Trust, Series 2007-1, Class A3 | | | | | | | | | |
0.85% | | | 03/25/37 | 2 | | | 1,500,000 | | | | 1,131,035 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 47,582,991 | |
| | | | | | | | | | | | |
|
U.S. Agency Mortgage-Backed — 5.29% | |
| Fannie Mae Pool 467225 | | | | | | | | | |
3.63% | | | 01/01/18 | | | | 910,000 | | | | 928,286 | |
| Fannie Mae Pool FN0003 | | | | | | | | | |
4.28% | | | 01/01/21 | | | | 366,172 | | | | 402,120 | |
| Fannie Mae REMICS, Series 1993-80, Class S | | | | | | | | | |
10.24% | | | 05/25/23 | 2 | | | 3,491 | | | | 4,029 | |
| Fannie Mae REMICS, Series 2000-45, Class SA (IO) | | | | | | | | | |
7.42% | | | 12/18/30 | 2 | | | 549,385 | | | | 92,656 | |
| Fannie Mae REMICS, Series 2001-42, Class SB | | | | | | | | | |
8.50% | | | 09/25/31 | 2 | | | 822 | | | | 1,051 | |
| Fannie Mae REMICS, Series 2003-124, Class TS | | | | | | | | | |
9.80% | | | 01/25/34 | 2 | | | 9,509 | | | | 12,293 | |
| Fannie Mae REMICS, Series 2003-64, Class KS | | | | | | | | | |
8.96% | | | 07/25/18 | 2 | | | 72,331 | | | | 74,937 | |
| Fannie Mae REMICS, Series 2005-92, Class US (IO) | | | | | | | | | |
5.57% | | | 10/25/25 | 2 | | | 2,164,470 | | | | 279,717 | |
| Fannie Mae REMICS, Series 2006-125, Class SM (IO) | | | | | | | | | |
6.67% | | | 01/25/37 | 2 | | | 1,843,811 | | | | 369,116 | |
| Fannie Mae REMICS, Series 2008-50, Class SA (IO) | | | | | | | | | |
5.52% | | | 11/25/36 | 2 | | | 2,081,216 | | | | 375,838 | |
| Fannie Mae REMICS, Series 2010-43, Class KS (IO) | | | | | | | | | |
5.89% | | | 05/25/40 | 2 | | | 1,833,687 | | | | 346,133 | |
| Fannie Mae-Aces, Series 2011-M5, Class X | | | | | | | | | |
1.36% | | | 07/25/21 | 2 | | | 5,557,770 | | | | 266,158 | |
| Fannie Mae-Aces, Series 2013-M12, Class X1 (IO) | | | | | | | | | |
0.18% | | | 10/25/17 | 2 | | | 92,928,469 | | | | 13,786 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series K702, Class X1 (IO) | | | | | | | | | |
1.62% | | | 02/25/18 | 2 | | $ | 10,871,906 | | | $ | 173,923 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KP01, Class X (IO) | | | | | | | | | |
3.26% | | | 01/25/19 | 2 | | | 6,080,838 | | | | 284,481 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KSCT, Class A1 | | | | | | | | | |
3.19% | | | 12/25/19 | | | | 391,299 | | | | 401,576 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KSCT, Class AX | | | | | | | | | |
1.24% | | | 01/25/20 | 2 | | | 3,609,768 | | | | 110,893 | |
| Freddie Mac REMICS, Series 1602, Class SN | | | | | | | | | |
10.09% | | | 10/15/23 | 2 | | | 14,590 | | | | 17,564 | |
| Freddie Mac REMICS, Series 1673, Class SD | | | | | | | | | |
16.03% | | | 02/15/24 | 2 | | | 170,806 | | | | 217,953 | |
| Freddie Mac REMICS, Series 1760, Class ZD | | | | | | | | | |
1.06% | | | 02/15/24 | 2 | | | 367,105 | | | | 360,099 | |
| Freddie Mac REMICS, Series 2642, Class BW (IO) | | | | | | | | | |
5.00% | | | 06/15/23 | | | | 7,984 | | | | 415 | |
| Freddie Mac REMICS, Series 2990, Class ND | | | | | | | | | |
15.56% | | | 12/15/34 | 2 | | | 127,328 | | | | 148,015 | |
| Freddie Mac REMICS, Series 3242, Class SA (IO) | | | | | | | | | |
5.83% | | | 11/15/36 | 2 | | | 5,998,760 | | | | 1,098,837 | |
| Freddie Mac REMICS, Series 3247, Class SI (IO) | | | | | | | | | |
0.15% | | | 08/15/36 | 2 | | | 23,365,472 | | | | 146,534 | |
| Freddie Mac REMICS, Series 3260, Class AS (IO) | | | | | | | | | |
5.86% | | | 01/15/37 | 2 | | | 3,664,040 | | | | 610,331 | |
| Freddie Mac REMICS, Series 3289, Class SD (IO) | | | | | | | | | |
5.60% | | | 03/15/37 | 2 | | | 1,289,605 | | | | 173,847 | |
| Ginnie Mae, Series 2001-31, Class SJ | | | | | | | | | |
26.14% | | | 02/20/31 | 2 | | | 25,400 | | | | 43,743 | |
| Ginnie Mae, Series 2004-8, Class SE | | | | | | | | | |
13.25% | | | 11/26/23 | 2 | | | 98,375 | | | | 119,680 | |
| Ginnie Mae, Series 2009-114, Class IO (IO) | | | | | | | | | |
0.01% | | | 10/16/49 | 2 | | | 13,681,333 | | | | 147,544 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2016 / 140 |
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
| Ginnie Mae, Series 2014-125, Class IO (IO) | | | | | | | | | |
1.01% | | | 11/16/54 | 2 | | $ | 2,714,078 | | | $ | 209,389 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 7,430,944 | |
| | | | | | | | | | | | |
Total Mortgage-Backed (Cost $56,002,750) | | | | | | | | 57,933,381 | |
| | | | | | | | | | | | |
|
U.S. AGENCY SECURITIES — 0.80% | |
U.S. Agency Securities — 0.80% | |
| Federal Farm Credit Bank | | | | | | | | | |
0.56% | | | 04/26/17 | 2 | | | 1,120,000 | | | | 1,120,870 | |
| | | | | | | | | | | | |
Total U.S. Agency Securities (Cost $1,119,984) | | | | | |
| | |
Total Bonds – 72.39% (Cost $99,034,025) | | | | | | | | 101,684,200 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | | | | Shares | | | Value | |
COMMON STOCK — 0.56% | |
Energy — 0.02% | |
| Mach Gen LLC, Escrow Holding4,6 | | | | 11,293 | | | | 29,644 | |
| | | | | | | | | | | | |
|
Real Estate Investment Trust (REIT) — 0.54% | |
| AGNC Investment Corp. | | | | 38,899 | | | | 760,086 | |
| | | | | | | | | | | | |
| | |
Total Common Stock (Cost $930,689) | | | | | | | | 789,730 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount/
Shares | | | Value | |
SHORT-TERM INVESTMENTS — 26.90% | |
Foreign Government Obligations — 3.80% | |
| Japan Treasury Discount Bill, Series 626 (Japan) | | | | | | | | | |
0.00%7 | | | 11/14/16 | 5 | | $ | 260,000,000 | | | | 2,568,186 | |
| Japan Treasury Discount Bill, Series 632 (Japan) | | | | | | | | | |
0.00%7 | | | 12/12/16 | 5 | | | 180,000,000 | | | | 1,778,579 | |
| Japan Treasury Discount Bill, Series 636 (Japan) | | | | | | | | | |
0.00%7 | | | 01/10/17 | 5 | | | 100,000,000 | | | | 988,564 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 5,335,329 | |
| | | | | | | | | | | | |
|
Money Market Funds — 0.08% | |
| JPMorgan U.S. Government Money Market Fund | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal Amount/ Shares | | | Value | |
SHORT-TERM INVESTMENTS (continued) | |
Money Market Funds (continued) | |
0.33%8 | | | | | | $ | 114,000 | | | $ | 114,000 | |
| | | | | | | | | | | | |
|
U.S. Agency Discount Notes — 0.43% | |
| Federal Home Loan Bank | | | | | | | | | |
0.23%7 | | | 10/14/16 | | | | 600,000 | | | | 599,967 | |
| | | | | | | | | | | | |
|
U.S. Treasury Bills — 22.59% | |
| U.S. Treasury Bills | | | | | | | | | |
0.19%7 | | | 01/05/17 | | | | 1,000,000 | | | | 999,308 | |
0.26%7 | | | 10/20/16 | | | | 7,700,000 | | | | 7,699,527 | |
0.28%7 | | | 11/17/16 | | | | 17,000,000 | | | | 16,996,634 | |
0.28%7 | | | 10/27/16 | | | | 1,500,000 | | | | 1,499,810 | |
0.31%7 | | | 12/08/16 | 9 | | | 40,000 | | | | 39,987 | |
0.36%7 | | | 01/19/17 | | | | 1,400,000 | | | | 1,398,866 | |
0.45%7 | | | 02/23/17 | | | | 3,100,000 | | | | 3,095,824 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 31,729,956 | |
| | | | | | | | | | | | |
Total Short-Term Investments (Cost $37,763,450) | | | | 37,779,252 | |
| | | | | | | | | | | | |
Total Investments – 99.85% (Cost $137,728,164)1 | | | | | | | | 140,253,182 | |
| | | | | | | | | | | | |
| |
Cash and Other Assets, Less Liabilities – 0.15% | | | | 207,413 | |
| | | | | | | | | | | | |
Net Assets – 100.00% | | | $ | 140,460,595 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | Currency
Purchased | | | Currency Sold | | | Unrealized
Appreciation/
(Depreciation) | |
FOREIGN CURRENCY EXCHANGE CONTRACT | |
| Forward currency contract to sell Japanese Yen on 11/14/16 at 101.22 Counterparty: JPMorgan Securities LLC | |
USD | | $ | 2,577,383 | | | | JPY 260,000,000 | | | | $ 8,686 | |
| Forward currency contract to sell Japanese Yen on 12/12/16 at 100.94 Counterparty: JPMorgan Securities LLC | |
USD | | $ | 1,775,813 | | | | JPY 180,000,000 | | | | (7,366 | ) |
| Forward currency contract to sell Japanese Yen on 01/10/17 at 100.78 Counterparty: Bank of America | |
USD | | $ | 989,516 | | | | JPY 100,000,000 | | | | (2,704 | ) |
| Net unrealized (depreciation) | | | | $(1,384 | ) |
See accompanying notes to Schedule of Portfolio Investments.
|
| 141 / Semi-Annual Report September 2016 |
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | |
| Contracts | | | | Unrealized Appreciation/ (Depreciation) | |
FUTURES CONTRACTS: SHORT POSITIONS | |
3 | | U.S. Treasury Five Year Note Expiration December 2016 | | | $ 322 | |
11 | | U.S. Treasury Ten Year Note Expiration December 2016 | | | (101 | ) |
2 | | U.S. Treasury Ultra Bond Expiration December 2016 | | | (9,255 | ) |
| | Net unrealized (depreciation) | | | $(9,034 | ) |
Notes:
| 1 | Cost for federal income tax purposes is $137,728,633 and net unrealized appreciation/(depreciation) consists of: |
| | | | |
Gross unrealized appreciation | | $ | 6,290,034 | |
Gross unrealized (depreciation) | | | (3,765,485 | ) |
| | | | |
Net unrealized appreciation | | $ | 2,524,549 | |
| | | | |
| 2 | Floating rate security. The rate disclosed was in effect at September 30, 2016. |
| 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 | Illiquid security as determined under procedures approved by the Funds’ Board of Trustees. The aggregate value of illiquid securities is $1,310,550, which is 0.93% of total net assets. |
| 5 | U.S. dollar-denominated security issued by foreign-domiciled entity. |
| 6 | Non-income producing security. |
| 7 | Represents annualized yield at date of purchase. |
| 8 | Represents the current yield as of September 30, 2016. |
| 9 | Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $34,988. |
| † | Fair valued security. The aggregate value of fair valued securities is $962,189, which is 0.69% 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.
(CLO): Collateralized Loan Obligation
(GMTN): Global medium-term note
(IO): Interest only
(JPY): Japanese Yen
(MTN): Medium-term note
(STEP): Step coupon bond
(USD): U.S. dollar
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2016 / 142 |
AlphaTrak 500 Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BONDS – 67.48% | |
ASSET-BACKED SECURITIES — 9.72%** | |
| Access Group, Inc., Series 2005-2, Class A3 | | | | | | | | | |
0.99% | | | 11/22/24 | 2 | | $ | 16,770 | | | $ | 16,636 | |
| Access Group, Inc., Series 2015-1, Class A | | | | | | | | | |
1.23% | | | 07/25/56 | 2,3 | | | 31,690 | | | | 31,031 | |
| Bank of America Credit Card Trust, Series 2007-A1, Class A1 | | | | | | | | | |
5.17% | | | 06/15/19 | | | | 20,000 | | | | 20,248 | |
| Bayview Commercial Asset Trust, Series 2004-3, Class A1 | | | | | | | | | |
0.90% | | | 01/25/35 | 2,3 | | | 24,654 | | | | 22,795 | |
| Brazos Higher Education Authority, Inc., Series 2010-1, Class A2 | | | | | | | | | |
2.03% | | | 02/25/35 | 2 | | | 15,000 | | | | 14,653 | |
| Brazos Higher Education Authority, Inc., Series 2011-2, Class A3 | | | | | | | | | |
1.71% | | | 10/27/36 | 2 | | | 15,000 | | | | 14,161 | |
| College Loan Corp. Trust, Series 2007-1, Class A3 | | | | | | | | | |
0.81% | | | 04/25/29 | 2 | | | 17,004 | | | | 16,639 | |
| Collegiate Funding Services Education Loan Trust, Series 2004-A, Class A3 | | | | | | | | | |
1.06% | | | 09/28/26 | 2 | | | 2,670 | | | | 2,664 | |
| Educational Funding of the South, Inc., Series 2011-1, Class A2 | | | | | | | | | |
1.36% | | | 04/25/35 | 2 | | | 7,004 | | | | 6,909 | |
| Educational Funding of the South, Inc., Series 2012-1, Class A | | | | | | | | | |
1.57% | | | 03/25/36 | 2 | | | 8,766 | | | | 8,655 | |
| GCO Education Loan Funding Trust, Series 2007-1A, Class A5L | | | | | | | | | |
0.90% | | | 05/25/23 | 2,3 | | | 3,107 | | | | 3,090 | |
| Nelnet Student Loan Trust, Series 2014-3A, Class A | | | | | | | | | |
1.11% | | | 06/25/41 | 2,3 | | | 28,860 | | | | 27,445 | |
| North Carolina State Education Authority, Series 2011-1, Class A3 | | | | | | | | | |
1.61% | | | 10/25/41 | 2 | | | 15,000 | | | | 14,708 | |
| Northstar Education Finance, Inc., Series 2007-1, Class A2 | | | | | | | | | |
1.49% | | | 01/29/46 | 2 | | | 10,000 | | | | 9,222 | |
| Scholar Funding Trust, Series 2011-A, Class A | | | | | | | | | |
1.64% | | | 10/28/43 | 2,3 | | | 6,147 | | | | 5,936 | |
| SLM Student Loan Trust, Series 2003-11, Class A5 | | | | | | | | | |
0.90% | | | 12/15/22 | 2,3 | | | 12,351 | | | | 12,293 | |
| SLM Student Loan Trust, Series 2004-10, Class A5B | | | | | | | | | |
1.11% | | | 04/25/23 | 2,3 | | | 4,769 | | | | 4,769 | |
| SLM Student Loan Trust, Series 2004-5A, Class A5 | | | | | | | | | |
1.31% | | | 10/25/23 | 2,3 | | | 7,178 | | | | 7,152 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | | | | | |
| SLM Student Loan Trust, Series 2004-7, Class A5 | | | | | | | | | |
0.88% | | | 01/27/20 | 2 | | $ | 6,363 | | | $ | 6,360 | |
| SLM Student Loan Trust, Series 2005-10, Class A4 | | | | | | | | | |
0.82% | | | 10/25/19 | 2 | | | 2,874 | | | | 2,869 | |
| SLM Student Loan Trust, Series 2011-2, Class A1 | | | | | | | | | |
1.13% | | | 11/25/27 | 2 | | | 20,110 | | | | 20,097 | |
| SLM Student Loan Trust, Series 2012-1, Class A2 | | | | | | | | | |
0.98% | | | 11/25/20 | 2 | | | 3,748 | | | | 3,746 | |
| SLM Student Loan Trust, Series 2013-3, Class A2 | | | | | | | | | |
0.83% | | | 05/26/20 | 2 | | | 9,285 | | | | 9,273 | |
| SLM Student Loan Trust, Series 2013-4, Class A | | | | | | | | | |
1.08% | | | 06/25/27 | 2 | | | 12,538 | | | | 12,114 | |
| SLM Student Loan Trust, Series 2013-6, Class A2 | | | | | | | | | |
1.03% | | | 02/25/21 | 2 | | | 8,177 | | | | 8,168 | |
| | | | | | | | | | | | |
| | |
Total Asset-Backed Securities (Cost $303,372) | | | | | | | | 301,633 | |
| | | | | | | | | | | | |
|
CORPORATES — 24.68%* | |
Banking — 3.44% | |
| Bank of America N.A. (BKNT) | | | | | | | | | |
6.10% | | | 06/15/17 | | | | 35,000 | | | | 36,144 | |
| Capital One N.A. | | | | | | | | | |
2.40% | | | 09/05/19 | | | | 15,000 | | | | 15,244 | |
| Citigroup, Inc. | | | | | | | | | |
1.80% | | | 02/05/18 | | | | 10,000 | | | | 10,029 | |
| Discover Bank | | | | | | | | | |
2.00% | | | 02/21/18 | | | | 25,000 | | | | 25,103 | |
| HBOS PLC (GMTN) (United Kingdom) | | | | | | | | | |
6.75% | | | 05/21/18 | 3,4 | | | 5,000 | | | | 5,346 | |
| Santander UK PLC (United Kingdom) | | | | | | | | | |
1.65% | | | 09/29/17 | 4 | | | 15,000 | | | | 15,013 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 106,879 | |
| | | | | | | | | | | | |
|
Consumer Discretionary — 0.32% | |
| Pernod Ricard SA (France) | | | | | | | | | |
2.95% | | | 01/15/17 | 3,4 | | | 10,000 | | | | 10,042 | |
| | | | | | | | | | | | |
|
Electric — 2.40% | |
| Jersey Central Power & Light Co. | | | | | | | | | |
5.65% | | | 06/01/17 | | | | 25,000 | | | | 25,683 | |
| Oncor Electric Delivery Co. LLC | | | | | | | | | |
6.80% | | | 09/01/18 | | | | 15,000 | | | | 16,502 | |
| W3A Funding Corp. | | | | | | | | | |
8.09% | | | 01/02/17 | | | | 32,144 | | | | 32,146 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 74,331 | |
| | | | | | | | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 143 / Semi-Annual Report September 2016 |
AlphaTrak 500 Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Energy — 0.33% | |
| Energy Transfer Partners LP | | | | | | | | | |
6.13% | | | 02/15/17 | | | $ | 10,000 | | | $ | 10,156 | |
| | | | | | | | | | | | |
| | | |
Finance — 7.03% | | | | | | | | | | | | |
| Chase Capital II, Series B | | | | | | | | | |
1.26% | | | 02/01/27 | 2 | | | 80,000 | | | | 71,200 | |
| General Electric Corp. (MTN) | | | | | | | | | |
1.16% | | | 05/05/26 | 2 | | | 30,000 | | | | 29,672 | |
1.30% | | | 08/15/36 | 2 | | | 75,000 | | | | 64,580 | |
| General Motors Financial Co., Inc. | | | | | | | | | |
4.75% | | | 08/15/17 | | | | 10,000 | | | | 10,273 | |
| Goldman Sachs Group, Inc. (The) | | | | | | | | | |
6.15% | | | 04/01/18 | | | | 15,000 | | | | 15,982 | |
| Morgan Stanley (MTN) | | | | | | | | | |
5.95% | | | 12/28/17 | | | | 25,000 | | | | 26,331 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 218,038 | |
| | | | | | | | | | | | |
| | | |
Health Care — 2.73% | | | | | | | | | | | | |
| AbbVie, Inc. | | | | | | | | | |
1.75% | | | 05/06/16 | | | | 10,000 | | | | 10,033 | |
| Actavis Funding SCS (Luxembourg) | | | | | | | | | |
2.35% | | | 03/12/18 | 4 | | | 10,000 | | | | 10,107 | |
| Anthem, Inc. | | | | | | | | | |
1.88% | | | 01/15/18 | | | | 15,000 | | | | 15,081 | |
| Baxalta, Inc. | | | | | | | | | |
2.00% | | | 06/22/18 | | | | 10,000 | | | | 10,043 | |
| Express Scripts Holding Co. | | | | | | | | | |
1.25% | | | 06/02/17 | | | | 10,000 | | | | 10,005 | |
| Providence Health & Services Obligated Group | | | | | | | | | |
1.80% | | | 10/01/17 | 2 | | | 25,000 | | | | 25,059 | |
| Valeant Pharmaceuticals International, Inc. (Canada) | | | | | | | | | |
5.88% | | | 05/15/23 | 3,4 | | | 5,000 | | | | 4,344 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 84,672 | |
| | | | | | | | | | | | |
|
Real Estate Investment Trust (REIT) — 6.65% | |
| Boston Properties LP | | | | | | | | | |
5.63% | | | 11/15/20 | | | | 15,000 | | | | 17,066 | |
| Camden Property Trust | | | | | | | | | |
5.70% | | | 05/15/17 | | | | 10,000 | | | | 10,248 | |
| DDR Corp. | | | | | | | | | |
7.50% | | | 04/01/17 | | | | 15,000 | | | | 15,442 | |
| Duke Realty LP | | | | | | | | | |
6.50% | | | 01/15/18 | | | | 10,000 | | | | 10,639 | |
| HCP, Inc. | | | | | | | | | |
6.00% | | | 01/30/17 | | | | 30,000 | | | | 30,432 | |
| Highwoods Realty LP | | | | | | | | | |
5.85% | | | 03/15/17 | | | | 25,000 | | | | 25,452 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Real Estate Investment Trust (REIT) (continued) | |
| Kimco Realty Corp. (MTN) | | | | | | | | | |
4.30% | | | 02/01/18 | | | $ | 15,000 | | | $ | 15,455 | |
| Liberty Property LP | | | | | | | | | |
6.63% | | | 10/01/17 | | | | 10,000 | | | | 10,468 | |
| Post Apartment Homes LP | | | | | | | | | |
4.75% | | | 10/15/17 | | | | 15,000 | | | | 15,480 | |
| Realty Income Corp. | | | | | | | | | |
2.00% | | | 01/31/18 | | | | 10,000 | | | | 10,067 | |
| Ventas Realty LP/Ventas Capital Corp. | | | | | | | | | |
2.00% | | | 02/15/18 | | | | 15,000 | | | | 15,095 | |
| WEA Finance LLC/Westfield UK & Europe Finance PLC | | | | | | | | | |
2.70% | | | 09/17/19 | 3 | | | 15,000 | | | | 15,386 | |
| Welltower, Inc. | | | | | | | | | |
2.25% | | | 03/15/18 | | | | 15,000 | | | | 15,136 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 206,366 | |
| | | | | | | | | | | | |
| | | |
Retail — 0.49% | | | | | | | | | | | | |
| Walgreens Boots Alliance, Inc. | | | | | | | | | |
1.75% | | | 05/30/18 | | | | 15,000 | | | | 15,083 | |
| | | | | | | | | | | | |
| | | |
Transportation — 1.29% | | | | | | | | | | | | |
| Continental Airlines Pass-Through Trust, Series 1997, Class 4A | | | | | | | | | |
6.90% | | | 01/02/18 | | | | 22,752 | | | | 23,136 | |
| UAL Pass-Through Trust, Series 2009-1, Class 1 | | | | | | | | | |
10.40% | | | 11/01/16 | | | | 16,815 | | | | 16,941 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 40,077 | |
| | | | | | | | | | | | |
Total Corporates (Cost $740,401) | | | | | | | | 765,644 | |
| | | | | | | | | | | | |
|
MORTGAGE-BACKED — 28.89%** | |
Commercial Mortgage-Backed — 5.10% | |
| Banc of America Merrill Lynch Commercial Mortgage Trust, Series 2006-6, Class A4 | | | | | | | | | |
5.36% | | | 10/10/45 | | | | 4,420 | | | | 4,417 | |
| Banc of America Merrill Lynch Commercial Mortgage Trust, Series 2007-3, Class A5 | | | | | | | | | |
5.38% | | | 06/10/49 | | | | 10,000 | | | | 10,188 | |
| Commercial Mortgage Trust, Series 2010-C1, Class A2 | | | | | | | | | |
3.83% | | | 07/10/46 | 3 | | | 11,090 | | | | 11,350 | |
| DBUBS Mortgage Trust, Series 2011-LC1A, Class A1 | | | | | | | | | |
3.74% | | | 11/10/46 | 3 | | | 3,696 | | | | 3,725 | |
| Irvine Core Office Trust, Series 2013-IRV, Class A1 | | | | | | | | | |
2.07% | | | 05/15/48 | 3 | | | 6,997 | | | | 7,068 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2016 / 144 |
AlphaTrak 500 Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Commercial Mortgage-Backed (continued) | |
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2004-LN2, Class A2 | | | | | | | | | |
5.12% | | | 07/15/41 | | | $ | 9,933 | | | $ | 9,932 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2010-C2, Class A2 | | | | | | | | | |
3.62% | | | 11/15/43 | 3 | | | 11,875 | | | | 12,132 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2011-C3, Class A2 | | | | | | | | | |
3.67% | | | 02/15/46 | 3 | | | 2,037 | | | | 2,036 | |
| LB-UBS Commercial Mortgage Trust, Series 2006-C6, Class XCL | | | | | | | | | |
0.79% | | | 09/15/39 | 2,3,5 | | | 1,911,847 | | | | 1,439 | |
| LB-UBS Commercial Mortgage Trust, Series 2007-C2, Class A3 | | | | | | | | | |
5.43% | | | 02/15/40 | | | | 12,321 | | | | 12,424 | |
| Morgan Stanley Capital I Trust, Series 2007-IQ14, Class A2FX | | | | | | | | | |
5.61% | | | 04/15/49 | | | | 21,058 | | | | 21,043 | |
| Wachovia Bank Commercial Mortgage Trust, Series 2007-C30, Class A5 | | | | | | | | | |
5.34% | | | 12/15/43 | | | | 10,000 | | | | 10,065 | |
| Wachovia Bank Commercial Mortgage Trust, Series 2007-C31, Class A4 | | | | | | | | | |
5.51% | | | 04/15/47 | | | | 32,399 | | | | 32,696 | |
| Wachovia Bank Commercial Mortgage Trust, Series 2007-C32, Class A3 | | | | | | | | | |
5.89% | | | 06/15/49 | 2 | | | 15,000 | | | | 15,249 | |
| Wachovia Bank Commercial Mortgage Trust, Series 2007-C32, Class APB | | | | | | | | | |
5.89% | | | 06/15/49 | 2 | | | 4,453 | | | | 4,449 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 158,213 | |
| | | | | | | | | | | | |
|
Non-Agency Mortgage-Backed — 11.23% | |
| Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2005-HE6, Class M2 | | | | | | | | | |
1.29% | | | 07/25/35 | 2 | | | 7,106 | | | | 7,129 | |
| Banc of America Mortgage Securities, Inc., Series 2003-A, Class 2A2 | | | | | | | | | |
3.26% | | | 02/25/33 | 2 | | | 3,536 | | | | 3,484 | |
| BCAP LLC Trust, Series 2011-RR3, Class 1A5 | | | | | | | | | |
3.19% | | | 05/27/37 | 2,3 | | | 21,469 | | | | 21,412 | |
| Centex Home Equity Loan Trust, Series 2002-C, Class AF4 (STEP) | | | | | | | | | |
4.98% | | | 06/25/31 | | | | 14,666 | | | | 14,715 | |
| Countrywide Alternative Loan Trust, Series 2005-27, Class 3A2 | | | | | | | | | |
1.61% | | | 08/25/35 | 2 | | | 34,050 | | | | 21,726 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
| Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-9, Class 1A1 | | | | | | | | | |
0.83% | | | 05/25/35 | 2 | | $ | 30,538 | | | $ | 24,540 | |
| Credit Suisse First Boston Mortgage Securities Corp., Series 1997-2, Class A | | | | | | | | | |
7.50% | | | 06/25/20 | 3 | | | 1,233 | | | | 1,261 | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2003-CB1, Class AF (STEP) | | | | | | | | | |
3.95% | | | 01/25/33 | | | | 17,632 | | | | 17,814 | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2003-CB5, Class M1 | | | | | | | | | |
1.54% | | | 11/25/33 | 2 | | | 20,857 | | | | 20,050 | |
| DSLA Mortgage Loan Trust, Series 2004-AR3, Class 2A2A | | | | | | | | | |
0.90% | | | 07/19/44 | 2 | | | 7,140 | | | | 6,934 | |
| GSAMP Trust, Series 2005-HE4, Class M1 | | | | | | | | | |
0.98% | | | 07/25/45 | 2 | | | 2,265 | | | | 2,269 | |
| Harborview Mortgage Loan Trust, Series 2005-4, Class 2A | | | | | | | | | |
3.23% | | | 07/19/35 | 2 | | | 22,537 | | | | 19,639 | |
| IndyMac Index Mortgage Loan Trust, Series 2004-AR5, Class 2A1A | | | | | | | | | |
1.39% | | | 08/25/34 | 2 | | | 11,919 | | | | 10,234 | |
| IndyMac Index Mortgage Loan Trust, Series 2007-FLX1, Class A2 | | | | | | | | | |
0.71% | | | 02/25/37 | 2 | | | 20,195 | | | | 20,022 | |
| JPMorgan Mortgage Acquisition Corp., Series 2005-OPT1, Class M1 | | | | | | | | | |
0.98% | | | 06/25/35 | 2 | | | 12,958 | | | | 12,951 | |
| Morgan Stanley Capital I Trust, Series 2005-HE6, Class A2C | | | | | | | | | |
0.85% | | | 11/25/35 | 2 | | | 4,454 | | | | 4,463 | |
| Park Place Securities, Inc., Series 2005-WHQ1, Class M2 | | | | | | | | | |
1.28% | | | 03/25/35 | 2 | | | 2,443 | | | | 2,446 | |
| Residential Asset Mortgage Products Trust, Series 2003-RZ3, Class A6 (STEP) | | | | | | | | | |
3.90% | | | 03/25/33 | | | | 4,073 | | | | 4,094 | |
| Residential Asset Mortgage Products Trust, Series 2004-SL1, Class A2 | | | | | | | | | |
8.50% | | | 11/25/31 | | | | 4,097 | | | | 1,373 | |
| Terwin Mortgage Trust, Series 2004-13AL, Class 2PX (IO) | | | | | | | | | |
0.34% | | | 08/25/34 | 3,5 | | | 4,573,601 | | | | 64,078 | |
| WaMu Mortgage Pass-Through Certificates, Series 2002-AR6, Class A | | | | | | | | | |
1.91% | | | 06/25/42 | 2 | | | 6,792 | | | | 6,563 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 145 / Semi-Annual Report September 2016 |
AlphaTrak 500 Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
Wells Fargo Mortgage-Backed Securities Trust, Series 2003-I,
Class A1 | | | | | | | | | |
2.88% | | | 09/25/33 | 2 | | $ | 51,058 | | | $ | 51,378 | |
Wells Fargo Mortgage-Backed Securities Trust, Series 2004-I,
Class AI | | | | | | | | | |
2.93% | | | 07/25/34 | 2 | | | 9,787 | | | | 9,726 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 348,301 | |
| | | | | | | | | | | | |
|
U.S. Agency Mortgage-Backed — 12.56% | |
| Fannie Mae Multifamily REMIC Trust, Series 2015-M12, Class FA | | | | | | | | | |
0.85% | | | 04/25/20 | 2 | | | 4,663 | | | | 4,654 | |
| Fannie Mae Pool 467572 | | | | | | | | | |
3.80% | | | 04/01/18 | | | | 18,305 | | | | 18,811 | |
| Fannie Mae Pool 646884 | | | | | | | | | |
2.29% | | | 05/01/32 | 2 | | | 48,888 | | | | 50,124 | |
| Fannie Mae Pool 802665 | | | | | | | | | |
2.61% | | | 12/01/34 | 2 | | | 3,364 | | | | 3,443 | |
| Fannie Mae Pool AL0851 | | | | | | | | | |
6.00% | | | 10/01/40 | | | | 7,579 | | | | 8,701 | |
| Fannie Mae REMICS, Series 1997-91, Class SL (IO) | | | | | | | | | |
7.50% | | | 11/25/23 | 2 | | | 68,316 | | | | 10,531 | |
| Fannie Mae REMICS, Series 2003-11, Class FA | | | | | | | | | |
1.53% | | | 09/25/32 | 2 | | | 13,806 | | | | 14,117 | |
| Fannie Mae REMICS, Series 2008-47, Class PF | | | | | | | | | |
1.03% | | | 06/25/38 | 2 | | | 5,335 | | | | 5,356 | |
| Fannie Mae REMICS, Series 2010-109, Class PF | | | | | | | | | |
0.93% | | | 10/25/40 | 2 | | | 12,547 | | | | 12,577 | |
| Fannie Mae REMICS, Series G-36, Class ZB | | | | | | | | | |
7.00% | | | 11/25/21 | | | | 840 | | | | 917 | |
| Fannie Mae-Aces, Series 2006-M2, Class A2F | | | | | | | | | | | | |
| 5.26% | | | 05/25/20 | 2 | | | 9,207 | | | | 9,354 | |
| Fannie Mae-Aces, Series 2013-M14, Class FA | | | | | | | | | |
0.88% | | | 08/25/18 | 2 | | | 20,803 | | | | 20,825 | |
| Fannie Mae-Aces, Series 2014-M2, Class ASV2 | | | | | | | | | |
2.78% | | | 06/25/21 | 2 | | | 24,663 | | | | 25,881 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF02, Class A3 | | | | | | | | | |
1.15% | | | 07/25/20 | 2 | | | 6,626 | | | | 6,653 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF05, Class A | | | | | | | | | |
0.87% | | | 09/25/21 | 2 | | | 26,558 | | | | 26,538 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF10, Class A | | | | | | | | | |
0.91% | | | 07/25/22 | 2 | | $ | 22,368 | | | $ | 22,364 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KIR1, Class A1 | | | | | | | | | |
2.45% | | | 03/25/26 | | | | 19,469 | | | | 20,140 | |
| Freddie Mac REMICS, Series 2591, Class EF | | | | | | | | | |
1.02% | | | 03/15/32 | 2 | | | 5,218 | | | | 5,218 | |
| Freddie Mac REMICS, Series 2684, Class F | | | | | | | | | |
1.42% | | | 01/15/33 | 2 | | | 13,595 | | | | 13,872 | |
| Freddie Mac REMICS, Series 3501, Class JA | | | | | | | | | |
4.00% | | | 04/15/37 | | | | 8,198 | | | | 8,273 | |
| Freddie Mac REMICS, Series 3831, Class PV | | | | | | | | | |
5.00% | | | 05/15/25 | | | | 49,092 | | | | 50,370 | |
Freddie Mac Strips, Series 263, Class F5 1.02% | | | 06/15/42 | 2 | | | 38,616 | | | | 38,541 | |
| Freddie Mac-Ginnie Mae, Series 2, Class L | | | | | | | | | | | | |
8.00% | | | 11/25/22 | | | | 595 | | | | 603 | |
| Ginnie Mae, Series 2011-142, Class A | | | | | | | | | |
2.34% | | | 10/16/40 | | | | 11,669 | | | | 11,757 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 389,620 | |
| | | | | | | | | | | | |
Total Mortgage-Backed (Cost $938,273) | | | | | | | | 896,134 | |
| | | | | | | | | | | | |
|
U.S. TREASURY SECURITIES — 4.19% | |
U.S. Treasury Notes — 4.19% | |
| U.S. Treasury Notes | | | | | | | | | |
0.63% | | | 08/31/17 | | | | 130,000 | | | | 129,965 | |
| | | | | | | | | | | | |
| | |
Total U.S. Treasury Securities (Cost $129,833) | | | | | | | | | |
Total Bonds – 67.48% (Cost $2,111,879) | | | | | | | | 2,093,376 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | | | | Shares | | | Value | |
MUTUAL FUNDS — 1.48% | |
Mutual Funds — 1.48% | |
| SPDR S&P500 ETF Trust | | | | 213 | | | | 46,072 | |
| | | | | | | | | | | | |
| | |
Total Mutual Funds (Cost $45,956) | | | | | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2016 / 146 |
AlphaTrak 500 Fund
Schedule of Portfolio Investments
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal Amount/ Shares | | | Value | |
SHORT-TERM INVESTMENTS — 27.96% | |
Money Market Funds — 0.90% | |
| JPMorgan U.S. Government Money Market Fund | | | | | | | | | |
0.33%6 | | | | | | $ | 28,000 | | | $ | 28,000 | |
| | | | | | | | | | | | |
|
U.S. Treasury Bills — 27.06% | |
| U.S. Treasury Bills | | | | | | | | | | | | |
0.19%7 | | | 01/05/17 | | | | 20,000 | | | | 19,986 | |
0.25%7 | | | 12/15/16 | | | | 270,000 | | | | 269,908 | |
0.31%7 | | | 12/08/16 | 8 | | | 130,000 | | | | 129,958 | |
0.45%7 | | | 02/23/17 | | | | 420,000 | | | | 419,434 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 839,286 | |
| | | | | | | | | | | | |
| | |
Total Short-Term Investments (Cost $867,003) | | | | | | | | 867,286 | |
| | | | | | | | | | | | |
| | |
Total Investments – 96.92% (Cost $3,024,838)1 | | | | | | | | 3,006,734 | |
| | | | | | | | | | | | |
| | |
Cash and Other Assets, Less Liabilities – 3.08% | | | | | | | | 95,676 | |
| | | | | | | | | | | | |
Net Assets – 100.00% | | | $ | 3,102,410 | |
| | | | | | | | | | | | |
| | | | | | |
| Contracts | | | | Unrealized
(Depreciation) | |
FUTURES CONTRACTS: LONG POSITIONS | |
28 | | S&P 500 E Mini Index, | | | | |
| | Expiration December 2016 | | $ | (21,811 | ) |
| | | | | | |
| | Net unrealized (depreciation) | | $ | (21,811 | ) |
| | | | | | |
Notes:
| 1 | Cost for federal income tax purposes is $3,026,289 and net unrealized appreciation/(depreciation) consists of: |
| | | | |
Gross unrealized appreciation | | $ | 39,361 | |
Gross unrealized (depreciation) | | | (58,916 | ) |
| | | | |
Net unrealized (depreciation) | | $ | (19,555 | ) |
| | | | |
| 2 | Floating rate security. The rate disclosed was in effect at September 30, 2016. |
| 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 $65,517, which is 2.11% of total net assets. |
| 6 | Represents the current yield as of September 30, 2016. |
| 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 $129,957. |
| * | 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.
(GMTN): Global medium-term note
(IO): Interest only
(MTN): Medium-term note
(S&P): Standard and Poors
(STEP): Step coupon bond
See accompanying notes to Schedule of Portfolio Investments.
|
| 147 / Semi-Annual Report September 2016 |
[THIS PAGE INTENTIONALLY LEFT BLANK]
Metropolitan West Funds
Statements of Assets and Liabilities
September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| ASSETS: | | ULTRA SHORT
BOND FUND | | LOW DURATION
BOND FUND | | |
Investments, at value (Cost $143,141,162, $3,217,184,152, $1,317,024,842, $87,432,514,529, $960,143,706, $2,475,014,740, $190,253,176, $137,728,164, and $3,024,838, respectively) (Note 2) | | | $ | 143,336,390 | | | | $ | 3,229,764,858 | | | |
Cash and cash equivalents (Note 2) | | | | 67,119 | | | | | 1,418,203 | | | |
Cash on deposit with brokers for collateral on swaps (Note 2) | | | | — | | | | | — | | | |
Premiums paid for swap contracts | | | | — | | | | | — | | | |
Unrealized appreciation on foreign currency exchange contracts | | | | 5,679 | | | | | 151,011 | | | |
Dividends and interest receivable | | | | 301,668 | | | | | 8,116,340 | | | |
Due from Adviser (Note 6) | | | | 23,781 | | | | | — | | | |
Receivable for securities sold | | | | 987,693 | | | | | 43,772,779 | | | |
Receivables from Lehman Brothers, at value (Cost $0, $0, $0, $0, $44,967, $0, $0, $85,437, and $0, respectively) (Note 3) | | | | — | | | | | — | | | |
Receivable for capital stock sold | | | | 115,678 | | | | | 16,289,236 | | | |
Receivable for daily variation margin on futures contracts (Note 3) | | | | — | | | | | — | | | |
Other assets | | | | 22,788 | | | | | 67,058 | | | |
| | | | | | | | | | | | |
Total assets | | | | 144,860,796 | | | | | 3,299,579,485 | | | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | |
Unrealized depreciation on foreign currency exchange contracts | | | | 16,618 | | | | | 1,944,797 | | | |
Unrealized depreciation on swap contracts | | | | — | | | | | — | | | |
Options written, at value (Premiums received $0, $540,000, $0, $8,941,000, $0, $0, $0, $0, and $0, respectively) (Note 3) | | | | — | | | | | 20,829 | | | |
Payable for securities purchased | | | | 989,354 | | | | | 42,798,479 | | | |
Payable for capital stock redeemed | | | | 101,037 | | | | | 4,856,410 | | | |
Payable for daily variation margin on futures contracts (Note 3) | | | | — | | | | | 123,844 | | | |
Line of credit commitment fee payable | | | | 67 | | | | | 1,600 | | | |
Distributions payable | | | | 29,805 | | | | | 459,656 | | | |
Administrative fees payable | | | | 32,587 | | | | | 88,970 | | | |
Advisory fees payable (Note 6) | | | | 31,629 | | | | | 853,767 | | | |
Audit fees payable | | | | 19,747 | | | | | 28,244 | | | |
Transfer agent fees payable | | | | 50,923 | | | | | 1,246,794 | | | |
Accrued trustees fees and expenses | | | | 314 | | | | | 7,044 | | | |
Accrued distribution (12b-1) and service fees payable | | | | 9,770 | | | | | 236,251 | | | |
Accrued other expenses | | | | 8,321 | | | | | 81,187 | | | |
| | | | | | | | | | | | |
Total liabilities | | | | 1,290,172 | | | | | 52,747,872 | | | |
| | | | | | | | | | | | |
Net assets | | | $ | 143,570,624 | | | | $ | 3,246,831,613 | | | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Class M Shares: | | | | | | | | | | | | |
Net assets (Applicable to 16,186,114, 159,265,315, 14,572,508, 1,512,491,941, 41,370,614, 67,700,450, 992,256, 8,795,921, and 394,153, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value) | | | $ | 69,220,293 | | | | $ | 1,394,074,628 | | | |
| | | | | | | | | | | | |
Net asset value, offering and redemption price per Class M share | | | $ | 4.28 | | | | $ | 8.75 | | | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Class I Shares: | | | | | | | | | | | | |
Net assets (Applicable to 17,362,048, 210,680,116, 105,998,826, 4,671,799,362, 57,132,616, 139,616,841, 17,363,325, 8,593,446, and 0, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value) | | | $ | 74,350,331 | | | | $ | 1,844,757,167 | | | |
| | | | | | | | | | | | |
Net asset value, offering and redemption price per Class I share | | | $ | 4.28 | | | | $ | 8.76 | | | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Administrative Class: | | | | | | | | | | | | |
Net assets (Applicable to 0, 707,579, 0, 58,701,672, 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 | | | | $ | 7,999,818 | | | |
| | | | | | | | | | | | |
Net asset value, offering and redemption price per Administrative Class share | | | | N/A | | | | $ | 11.31 | | | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Plan Class: | | | | | | | | | | | | |
Net assets (Applicable to 0, 0, 0, 1,207,899,844, 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) | | | $ | 190,445,140 | | | | $ | 3,450,722,344 | | | |
Undistributed (distributions in excess of) net investment income | | | | (2,941 | ) | | | | 742,879 | | | |
Accumulated undistributed net realized gain/(loss) on investments, futures contracts, foreign currency exchange contracts, options written and swap contracts | | | | (47,054,479 | ) | | | | (215,920,591 | ) | | |
Net unrealized appreciation/(depreciation) on investments | | | | 195,228 | | | | | 11,145,321 | | | |
Net unrealized appreciation/(depreciation) on futures contracts, foreign currency exchange contracts, options written and swap contracts | | | | (12,324 | ) | | | | 141,660 | | | |
| | | | | | | | | | | | |
Net assets | | | $ | 143,570,624 | | | | $ | 3,246,831,613 | | | |
| | | | | | | | | | | | |
1 Consolidated Statement of Assets and Liabilities.
|
| See accompanying notes to financial statements. |
|
| 149 / Semi-Annual Report September 2016 |
Metropolitan West Funds
Statements of Assets and Liabilities
September 30, 2016 (Unaudited)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
INTERMEDIATE BOND FUND | | TOTAL RETURN
BOND FUND | | HIGH YIELD
BOND FUND1 | | UNCONSTRAINED
BOND FUND | | FLOATING RATE
INCOME FUND | | STRATEGIC
INCOME FUND | | ALPHATRAK
500 FUND |
| | | | | | |
| | $ | 1,331,812,147 | | | | $ | 88,770,693,844 | | | | $ | 901,719,540 | | | | $ | 2,484,946,937 | | | | $ | 190,217,623 | | | | $ | 140,253,182 | | | | $ | 3,006,734 | |
| | | 658,384 | | | | | 96,213,938 | | | | | 4,195,036 | | | | | 1,109,894 | | | | | 528,318 | | | | | 38,010 | | | | | 22,213 | |
| | | — | | | | | 19,121,756 | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | |
| | | — | | | | | — | | | | | 350,982 | | | | | — | | | | | — | | | | | — | | | | | — | |
| | | 37,080 | | | | | 1,854,893 | | | | | — | | | | | 111,588 | | | | | — | | | | | 8,686 | | | | | — | |
| | | 4,112,913 | | | | | 276,959,324 | | | | | 10,674,114 | | | | | 11,025,970 | | | | | 496,377 | | | | | 557,286 | | | | | 11,852 | |
| | | — | | | | | — | | | | | 20,760 | | | | | — | | | | | 4,062 | | | | | — | | | | | 13,932 | |
| | | 57,285,863 | | | | | 1,924,564,289 | | | | | 38,744,941 | | | | | 17,164,186 | | | | | 8,954,691 | | | | | 1,600,269 | | | | | 106,893 | |
| | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | |
| | | 1,634,026 | | | | | 484,914,652 | | | | | 309,979 | | | | | 6,402,728 | | | | | 109,658 | | | | | 135,153 | | | | | 1,712 | |
| | | — | | | | | 200,000 | | | | | — | | | | | 1,086,187 | | | | | — | | | | | 9,586 | | | | | 16,800 | |
| | | 38,004 | | | | | 436,841 | | | | | 62,892 | | | | | 85,676 | | | | | 47,852 | | | | | 25,038 | | | | | 12,386 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 1,395,578,417 | | | | | 91,574,959,537 | | | | | 956,078,244 | | | | | 2,521,933,166 | | | | | 200,358,581 | | | | | 142,627,210 | | | | | 3,192,522 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 750,271 | | | | | 50,719,161 | | | | | — | | | | | 865,321 | | | | | 17,021 | | | | | 10,070 | | | | | — | |
| | | — | | | | | 78,475,796 | | | | | 359,972 | | | | | — | | | | | — | | | | | — | | | | | — | |
| | | — | | | | | 9,375,000 | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | |
| | | 102,138,210 | | | | | 9,849,848,732 | | | | | 23,175,566 | | | | | 42,254,249 | | | | | 16,399,723 | | | | | 1,401,137 | | | | | 41,885 | |
| | | 2,998,925 | | | | | 148,175,066 | | | | | 2,312,692 | | | | | 4,807,124 | | | | | 18,707 | | | | | 406,031 | | | | | 2,847 | |
| | | 149,016 | | | | | 11,353,063 | | | | | — | | | | | 83,320 | | | | | — | | | | | — | | | | | — | |
| | | 482 | | | | | 16,321 | | | | | 528 | | | | | 870 | | | | | 27 | | | | | 79 | | | | | — | |
| | | 163,445 | | | | | 20,327,271 | | | | | 405,374 | | | | | 1,731,598 | | | | | 34,151 | | | | | 21,601 | | | | | 491 | |
| | | 60,893 | | | | | 827,102 | | | | | 34,694 | | | | | 92,627 | | | | | 25,657 | | | | | 37,667 | | | | | 17,961 | |
| | | 401,354 | | | | | 24,756,832 | | | | | 441,041 | | | | | 1,434,318 | | | | | 85,862 | | | | | 197,361 | | | | | 1,842 | |
| | | 24,049 | | | | | 89,340 | | | | | 17,657 | | | | | — | | | | | — | | | | | 19,764 | | | | | 18,976 | |
| | | 340,288 | | | | | 20,582,244 | | | | | 387,457 | | | | | 562,417 | | | | | 8,601 | | | | | 48,061 | | | | | 2,564 | |
| | | 2,683 | | | | | 157,876 | | | | | 2,235 | | | | | 4,780 | | | | | 323 | | | | | 245 | | | | | 6 | |
| | | 30,277 | | | | | 3,289,036 | | | | | 102,316 | | | | | 176,002 | | | | | 1,962 | | | | | 15,584 | | | | | — | |
| | | 32,912 | | | | | 2,362,643 | | | | | 84,805 | | | | | 76,787 | | | | | 7,674 | | | | | 9,015 | | | | | 3,540 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 107,092,805 | | | | | 10,220,355,483 | | | | | 27,324,337 | | | | | 52,089,413 | | | | | 16,599,708 | | | | | 2,166,615 | | | | | 90,112 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 1,288,485,612 | | | | $ | 81,354,604,054 | | | | $ | 928,753,907 | | | | $ | 2,469,843,753 | | | | $ | 183,758,873 | | | | $ | 140,460,595 | | | | $ | 3,102,410 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | $ | 155,772,882 | | | | $ | 16,674,379,475 | | | | $ | 390,137,864 | | | | $ | 806,971,848 | | | | $ | 9,938,429 | | | | $ | 71,073,961 | | | | $ | 3,102,410 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 10.69 | | | | $ | 11.02 | | | | $ | 9.43 | | | | $ | 11.92 | | | | $ | 10.02 | | | | $ | 8.08 | | | | $ | 7.87 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | $ | 1,132,712,730 | | | | $ | 51,491,737,881 | | | | $ | 538,616,043 | | | | $ | 1,662,871,905 | | | | $ | 173,820,444 | | | | $ | 69,386,634 | | | | | N/A | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 10.69 | | | | $ | 11.02 | | | | $ | 9.43 | | | | $ | 11.91 | | | | $ | 10.01 | | | | $ | 8.07 | | | | | N/A | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | N/A | | | | $ | 647,510,279 | | | | | N/A | | | | | N/A | | | | | N/A | | | | | N/A | | | | | N/A | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | N/A | | | | $ | 11.03 | | | | | N/A | | | | | N/A | | | | | N/A | | | | | N/A | | | | | N/A | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | N/A | | | | $ | 12,540,976,419 | | | | | N/A | | | | | N/A | | | | | N/A | | | | | N/A | | | | | N/A | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | N/A | | | | $ | 10.38 | | | | | N/A | | | | | N/A | | | | | N/A | | | | | N/A | | | | | N/A | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | $ | 1,262,440,335 | | | | $ | 79,086,610,265 | | | | $ | 1,049,099,924 | | | | $ | 2,458,889,594 | | | | $ | 185,194,639 | | | | $ | 246,677,397 | | | | $ | 94,869,372 | |
| | | 499,575 | | | | | 22,198,866 | | | | | 2,427,796 | | | | | 1,934,326 | | | | | 1,566 | | | | | 511,607 | | | | | 11,608 | |
| | | 11,563,370 | | | | | 1,031,723,669 | | | | | (63,944,708 | ) | | | | (1,082,001 | ) | | | | (1,383,213 | ) | | | | (109,156,188 | ) | | | | (91,738,654 | ) |
| | | 14,095,264 | | | | | 1,338,179,315 | | | | | (58,469,133 | ) | | | | 9,932,197 | | | | | (35,553 | ) | | | | 2,439,581 | | | | | (18,105 | ) |
| | | (112,932 | ) | | | | (124,108,061 | ) | | | | (359,972 | ) | | | | 169,637 | | | | | (18,566 | ) | | | | (11,802 | ) | | | | (21,811 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 1,288,485,612 | | | | $ | 81,354,604,054 | | | | $ | 928,753,907 | | | | $ | 2,469,843,753 | | | | $ | 183,758,873 | | | | $ | 140,460,595 | | | | $ | 3,102,410 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying notes to financial statements.
|
| Semi-Annual Report September 2016 / 150 |
Metropolitan West Funds
Statements of Operations
For the Six Months Ended September 30, 2016 (Unaudited)
| | | | | | | | | | | | |
| | | ULTRA SHORT
BOND FUND | | LOW DURATION
BOND FUND | | |
Investment Income: | | | | | | | | | | | | |
Interest | | | $ | 1,038,507 | | | | $ | 30,866,000 | | | |
Dividends | | | | 3,312 | | | | | 43,159 | | | |
| | | | | | | | | | | | |
Total investment income | | | | 1,041,819 | | | | | 30,909,159 | | | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Expenses: | | | | | | | | | | | | |
Investment advisory fees (Note 6) | | | | 186,866 | | | | | 5,077,219 | | | |
Administration fees | | | | 56,431 | | | | | 173,003 | | | |
Commitment fee | | | | 415 | | | | | 9,622 | | | |
Custodian fees | | | | 12,830 | | | | | 74,322 | | | |
Distribution (12b-1) and service fees - class specific (Note 7): | | | | | | | | | | | | |
Class M | | | | 58,828 | | | | | 1,393,361 | | | |
Administrative Class | | | | — | | | | | 15,391 | | | |
Insurance expense | | | | 959 | | | | | 22,201 | | | |
Miscellaneous expenses | | | | 2,580 | | | | | 12,401 | | | |
Professional fees | | | | 20,425 | | | | | 32,575 | | | |
Registration and filing fees | | | | 36,619 | | | | | 72,041 | | | |
Reports to shareholders | | | | 5,534 | | | | | 78,428 | | | |
Transfer agent fees | | | | 65,387 | | | | | 1,169,331 | | | |
Trustees’ fees and expenses | | | | 701 | | | | | 15,813 | | | |
Repayment of reimbursed expenses - Class I (Note 6) | | | | — | | | | | — | | | |
| | | | | | | | | | | | |
Total operating expenses | | | | 447,575 | | | | | 8,145,708 | | | |
Expenses waived and reimbursed (Note 6) | | | | (134,609 | ) | | | | — | | | |
| | | | | | | | | | | | |
Net expenses | | | | 312,966 | | | | | 8,145,708 | | | |
| | | | | | | | | | | | |
Net investment income | | | | 728,853 | | | | | 22,763,451 | | | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Realized and Change in Unrealized Gain/(Loss) on Investments, Futures Contracts, Foreign Currency Transactions, Options and Swaptions Written and Swap Contracts: | | | | | | | | |
Net realized gain/(loss) on: | | | | | | | | | | | | |
Investments | | | | 57,229 | | | | | 1,948,744 | | | |
Futures contracts | | | | — | | | | | (12,942 | ) | | |
Foreign currency transactions | | | | 19,807 | | | | | 647,928 | | | |
Options and swaptions written | | | | — | | | | | — | | | |
Swap contracts | | | | — | | | | | — | | | |
| | | |
Net change in unrealized appreciation/(depreciation) on: | | | | | | | | | | | | |
Investments | | | | 17,461 | | | | | 8,041,000 | | | |
Futures contracts | | | | — | | | | | 41,363 | | | |
Foreign currency transactions | | | | (12,324 | ) | | | | (222,353 | ) | | |
Options and swaptions written | | | | — | | | | | 33,149 | | | |
Swap contracts | | | | — | | | | | — | | | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Net change in realized and unrealized gain on investments, futures contracts, foreign currency exchange contracts, options and swaptions written and swap contracts | | | | 82,173 | | | | | 10,476,889 | | | |
| | | | | | | | | | | | |
Net Increase in Net Assets from Operations | | | $ | 811,026 | | | | $ | 33,240,340 | | | |
| | | | | | | | | | | | |
1 Consolidated Statement of Operations.
|
| See accompanying notes to financial statements. |
|
| 151 / Semi-Annual Report September 2016 |
Metropolitan West Funds
Statements of Operations
For the Six Months Ended September 30, 2016 (Unaudited)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
INTERMEDIATE BOND FUND | | TOTAL RETURN
BOND FUND | | HIGH YIELD
BOND FUND1 | | UNCONSTRAINED
BOND FUND | | FLOATING RATE
INCOME FUND | | STRATEGIC
INCOME FUND | | ALPHATRAK
500 FUND |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 12,976,401 | | | | $ | 938,492,142 | | | | $ | 24,390,333 | | | | $ | 38,299,407 | | | | $ | 3,529,920 | | | | $ | 3,417,687 | | | | $ | 49,991 | |
| | | 38,937 | | | | | 1,374,034 | | | | | 19,848 | | | | | 566,511 | | | | | 4,101 | | | | | 47,855 | | | | | 576 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 13,015,338 | | | | | 939,866,176 | | | | | 24,410,181 | | | | | 38,865,918 | | | | | 3,534,021 | | | | | 3,465,542 | | | | | 50,567 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 2,288,225 | | | | | 138,760,619 | | | | | 2,645,114 | | | | | 7,739,528 | | | | | 459,346 | | | | | 804,944 | | | | | 9,881 | |
| | | 107,729 | | | | | 2,093,199 | | | | | 79,232 | | | | | 159,990 | | | | | 55,854 | | | | | 60,475 | | | | | 29,860 | |
| | | 3,619 | | | | | 208,519 | | | | | 2,875 | | | | | 6,498 | | | | | 422 | | | | | 338 | | | | | — | |
| | | 37,808 | | | | | 1,313,759 | | | | | 23,951 | | | | | 64,231 | | | | | 8,560 | | | | | 10,783 | | | | | 7,427 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 188,018 | | | | | 17,984,413 | | | | | 614,547 | | | | | 1,029,548 | | | | | 10,294 | | | | | 80,396 | | | | | — | |
| | | — | | | | | 675,739 | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | |
| | | 7,747 | | | | | 422,090 | | | | | 8,917 | | | | | 13,713 | | | | | 1,073 | | | | | 1,001 | | | | | 60 | |
| | | 5,690 | | | | | 195,567 | | | | | 19,591 | | | | | 9,262 | | | | | 3,231 | | | | | 2,532 | | | | | 1,927 | |
| | | 25,902 | | | | | 169,450 | | | | | 30,155 | | | | | 29,905 | | | | | 19,694 | | | | | 20,488 | | | | | 21,289 | |
| | | 48,153 | | | | | 1,421,155 | | | | | 48,553 | | | | | 76,070 | | | | | 34,012 | | | | | 28,973 | | | | | 13,479 | |
| | | 25,217 | | | | | 1,952,241 | | | | | 81,534 | | | | | 76,072 | | | | | 2,234 | | | | | 7,007 | | | | | 704 | |
| | | 333,270 | | | | | 19,517,164 | | | | | 384,490 | | | | | 594,154 | | | | | 23,796 | | | | | 60,342 | | | | | 9,926 | |
| | | 6,037 | | | | | 355,514 | | | | | 4,957 | | | | | 10,555 | | | | | 730 | | | | | 556 | | | | | 13 | |
| | | 21,301 | | | | | — | | | | | — | | | | | 116,911 | | | | | — | | | | | — | | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 3,098,716 | | | | | 185,069,429 | | | | | 3,943,916 | | | | | 9,926,437 | | | | | 619,246 | | | | | 1,077,835 | | | | | 94,566 | |
| | | — | | | | | — | | | | | (134,967 | ) | | | | — | | | | | (26,388 | ) | | | | — | | | | | (81,635 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 3,098,716 | | | | | 185,069,429 | | | | | 3,808,949 | | | | | 9,926,437 | | | | | 592,858 | | | | | 1,077,835 | | | | | 12,931 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 9,916,622 | | | | | 754,796,747 | | | | | 20,601,232 | | | | | 28,939,481 | | | | | 2,941,163 | | | | | 2,387,707 | | | | | 37,636 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 7,540,507 | | | | | 716,584,182 | | | | | 5,374,684 | | | | | 8,433,047 | | | | | 34,992 | | | | | 200,959 | | | | | 84,529 | |
| | | 517,445 | | | | | 40,523,274 | | | | | — | | | | | (4,191,026 | ) | | | | — | | | | | (34,966 | ) | | | | 274,776 | |
| | | 286,983 | | | | | 17,635,631 | | | | | — | | | | | 455,243 | | | | | 20,120 | | | | | 10,081 | | | | | — | |
| | | — | | | | | 2,465,722 | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | |
| | | — | | | | | (3,281,582 | ) | | | | (166,119 | ) | | | | — | | | | | — | | | | | — | | | | | — | |
| | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 5,127,467 | | | | | 631,986,125 | | | | | 34,079,386 | | | | | 34,329,851 | | | | | 3,463,626 | | | | | 1,104,001 | | | | | (1,293 | ) |
| | | (245,440 | ) | | | | (8,629,129 | ) | | | | — | | | | | 561,659 | | | | | — | | | | | (12,101 | ) | | | | (109,385 | ) |
| | | (177,071 | ) | | | | (16,544,365 | ) | | | | — | | | | | (767,789 | ) | | | | (18,566 | ) | | | | (2,768 | ) | | | | — | |
| | | — | | | | | (612,657 | ) | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | |
| | | — | | | | | (22,363,451 | ) | | | | (1,605,286 | ) | | | | — | | | | | — | | | | | — | | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | 13,049,891 | | | | | 1,357,763,750 | | | | | 37,682,665 | | | | | 38,820,985 | | | | | 3,500,172 | | | | | 1,265,206 | | | | | 248,627 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 22,966,513 | | | | $ | 2,112,560,497 | | | | $ | 58,283,897 | | | | $ | 67,760,466 | | | | $ | 6,441,335 | | | | $ | 3,652,913 | | | | $ | 286,263 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying notes to financial statements.
|
| Semi-Annual Report September 2016 / 152 |
Metropolitan West Funds
Statements of Changes in Net Assets
| | | | | | | | | | | | | | | | | |
| | | ULTRA SHORT
BOND FUND | | |
| | SIX MONTHS
ENDED
SEPTEMBER 30,
2016
(UNAUDITED) | | | | YEAR ENDED
MARCH 31, 2016 | | |
Operations: | | | | | | | | | | | | | | | | | |
Net investment income | | | $ | 728,853 | | | | | | $ | 1,151,142 | | | | | | |
Net realized gain/(loss) on investments | | | | 57,229 | | | | | | | (58,152 | ) | | | | | |
Net realized gain on futures contracts, options written, swap contracts and swaptions written | | | | 19,807 | | | | | | | — | | | | | | |
Net change in unrealized appreciation/(depreciation) on investments | | | | 17,461 | | | | | | | (630,606 | ) | | | | | |
Net change in unrealized appreciation/(depreciation) on futures contracts, options written, swap contracts and swaptions written | | | | (12,324 | ) | | | | | | — | | | | | | |
| | | | | | | | | | | | | | | | | |
Net increase in net assets resulting from operations | | �� | | 811,026 | | | | | | | 462,384 | | | | | | |
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
Distributions to Shareholders from: | | | | | | | | | | | | | | | | | |
Net investment income: | | | | | | | | | | | | | | | | | |
Class M | | | | (325,074 | ) | | | | | | (485,613 | ) | | | | | |
Class I | | | | (397,131 | ) | | | | | | (629,584 | ) | | | | | |
Administrative Class | | | | — | | | | | | | — | | | | | | |
Plan Class | | | | — | | | | | | | — | | | | | | |
Net realized gains: | | | | | | | | | | | | | | | | | |
Class M | | | | — | | | | | | | — | | | | | | |
Class I | | | | — | | | | | | | — | | | | | | |
Administrative Class | | | | — | | | | | | | — | | | | | | |
Plan Class | | | | — | | | | | | | — | | | | | | |
| | | | | | | | | | | | | | | | | |
Net decrease in net assets resulting from distributions | | | | (722,205 | ) | | | | | | (1,115,197 | ) | | | | | |
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
Capital Share Transactions: | | | | | | | | | | | | | | | | | |
Class M: | | | | | | | | | | | | | | | | | |
Proceeds from sale of shares | | | | 8,076,018 | | | | | | | 44,670,332 | | | | | | |
Shares issued in reinvestment of distributions | | | | 295,268 | | | | | | | 455,136 | | | | | | |
Cost of shares redeemed | | | | (17,410,369 | ) | | | | | | (36,459,609 | ) | | | | | |
| | | | | | | | | | | | | | | | | |
Total Class M capital share transactions | | | | (9,039,083 | ) | | | | | | 8,665,859 | | | | | | |
| | | | | | | | | | | | | | | | | |
Class I: | | | | | | | | | | | | | | | | | |
Proceeds from sale of shares | | | | 8,409,415 | | | | | | | 46,002,893 | | | | | | |
Shares issued in reinvestment of distributions | | | | 312,878 | | | | | | | 469,237 | | | | | | |
Cost of shares redeemed | | | | (9,164,121 | ) | | | | | | (51,920,127 | ) | | | | | |
| | | | | | | | | | | | | | | | | |
Total Class I capital share transactions | | | | (441,828 | ) | | | | | | (5,447,997 | ) | | | | | |
| | | | | | | | | | | | | | | | | |
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 | | | | (9,480,911 | ) | | | | | | 3,217,862 | | | | | | |
| | | | | | | | | | | | | | | | | |
Net increase/(decrease) in net assets | | | | (9,392,090 | ) | | | | | | 2,565,049 | | | | | | |
Net assets at beginning of period | | | | 152,962,714 | | | | | | | 150,397,665 | | | | | | |
| | | | | | | | | | | | | | | | | |
Net assets at end of period (including undistributed (distributions in excess of) net investment income of $(2,941), $(9,589), $742,879, $570,209, $499,575, $491,490, $22,198,866 and $15,261,709, respectively) | | | $ | 143,570,624 | | | | | | $ | 152,962,714 | | | | | | |
| | | | | | | | | | | | | | | | | |
|
| See accompanying notes to financial statements. |
|
| 153 / Semi-Annual Report September 2016 |
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,
2016
(UNAUDITED) | | | YEAR ENDED MARCH 31, 2016 | | | SIX MONTHS ENDED SEPTEMBER 30, 2016 (UNAUDITED) | | | YEAR ENDED MARCH 31, 2016 | | | SIX MONTHS ENDED SEPTEMBER 30, 2016 (UNAUDITED) | | | YEAR ENDED MARCH 31, 2016 | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 22,763,451 | | | $ | 44,492,254 | | | $ | 9,916,622 | | | $ | 17,315,436 | | | $ | 754,796,747 | | | $ | 1,242,966,321 | | | | | |
| | | | | 1,948,744 | | | | (8,673,826 | ) | | | 7,540,507 | | | | 2,551,638 | | | | 716,584,182 | | | | 600,389,830 | | | | | |
| | | | | 634,986 | | | | 1,609,915 | | | | 804,428 | | | | 1,319,717 | | | | 57,343,045 | | | | 75,029,995 | | | | | |
| | | | | 8,041,000 | | | | (24,204,848 | ) | | | 5,127,467 | | | | (5,641,259 | ) | | | 631,986,125 | | | | (923,916,085 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | (147,841 | ) | | | (1,467,943 | ) | | | (422,511 | ) | | | (237,796 | ) | | | (48,149,602 | ) | | | (58,729,015 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 33,240,340 | | | | 11,755,552 | | | | 22,966,513 | | | | 15,307,736 | | | | 2,112,560,497 | | | | 935,741,046 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | (8,815,582 | ) | | | (18,221,036 | ) | | | (1,152,547 | ) | | | (2,078,019 | ) | | | (144,919,254 | ) | | | (263,951,635 | ) | | | | |
| | | | | (13,731,951 | ) | | | (24,870,489 | ) | | | (8,755,990 | ) | | | (15,116,839 | ) | | | (482,006,667 | ) | | | (793,343,467 | ) | | | | |
| | | | | (43,248 | ) | | | (50,287 | ) | | | — | | | | — | | | | (2,639,296 | ) | | | (4,694,025 | ) | | | | |
| | | | | — | | | | — | | | | — | | | | — | | | | (118,294,373 | ) | | | (168,176,118 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | — | | | | — | | | | — | | | | (921,629 | ) | | | — | | | | (176,445,051 | ) | | | | |
| | | | | — | | | | — | | | | — | | | | (5,349,075 | ) | | | — | | | | (474,264,225 | ) | | | | |
| | | | | — | | | | — | | | | — | | | | — | | | | — | | | | (3,857,271 | ) | | | | |
| | | | | — | | | | — | | | | — | | | | — | | | | — | | | | (112,018,189 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | (22,590,781 | ) | | | (43,141,812 | ) | | | (9,908,537 | ) | | | (23,465,562 | ) | | | (747,859,590 | ) | | | (1,996,749,981 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 96,380,967 | | | | 372,722,701 | | | | 25,588,651 | | | | 87,406,099 | | | | 2,226,532,713 | | | | 4,725,265,517 | | | | | |
| | | | | 8,502,928 | | | | 17,716,234 | | | | 1,099,154 | | | | 2,915,041 | | | | 139,673,765 | | | | 430,224,404 | | | | | |
| | | | | (207,831,799 | ) | | | (632,191,782 | ) | | | (71,595,141 | ) | | | (53,374,917 | ) | | | (2,475,445,728 | ) | | | (4,944,860,564 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | (102,947,904 | ) | | | (241,752,847 | ) | | | (44,907,336 | ) | | | 36,946,223 | | | | (109,239,250 | ) | | | 210,629,357 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 327,598,979 | | | | 859,389,523 | | | | 143,352,766 | | | | 254,895,544 | | | | 10,338,917,188 | | | | 17,361,334,166 | | | | | |
| | | | | 12,040,200 | | | | 21,685,089 | | | | 8,368,577 | | | | 19,858,382 | | | | 403,990,966 | | | | 1,082,189,276 | | | | | |
| | | | | (416,165,940 | ) | | | (864,858,286 | ) | | | (124,861,797 | ) | | | (224,487,447 | ) | | | (6,388,143,973 | ) | | | (11,784,729,104 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | (76,526,761 | ) | | | 16,216,326 | | | | 26,859,546 | | | | 50,266,479 | | | | 4,354,764,181 | | | | 6,658,794,338 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 1,514,557 | | | | 4,260,096 | | | | — | | | | — | | | | 392,744,442 | | | | 195,891,617 | | | | | |
| | | | | 15,644 | | | | 35,098 | | | | — | | | | — | | | | 2,449,829 | | | | 8,071,773 | | | | | |
| | | | | (913,716 | ) | | | (1,495,308 | ) | | | — | | | | — | | | | (43,955,152 | ) | | | (188,036,225 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 616,485 | | | | 2,799,886 | | | | — | | | | — | | | | 351,239,119 | | | | 15,927,165 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | — | | | | — | | | | — | | | | — | | | | 2,395,614,383 | | | | 4,908,695,313 | | | | | |
| | | | | — | | | | — | | | | — | | | | — | | | | 115,788,865 | | | | 277,896,783 | | | | | |
| | | | | — | | | | — | | | | — | | | | — | | | | (877,118,749 | ) | | | (1,548,839,793 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | — | | | | — | | | | — | | | | — | | | | 1,634,284,499 | | | | 3,637,752,303 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | (178,858,180 | ) | | | (222,736,635 | ) | | | (18,047,790 | ) | | | 87,212,702 | | | | 6,231,048,549 | | | | 10,523,103,163 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | (168,208,621 | ) | | | (254,122,895 | ) | | | (4,989,814 | ) | | | 79,054,876 | | | | 7,595,749,456 | | | | 9,462,094,228 | | | | | |
| | | | | 3,415,040,234 | | | | 3,669,163,129 | | | | 1,293,475,426 | | | | 1,214,420,550 | | | | 73,758,854,598 | | | | 64,296,760,370 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | | $ | 3,246,831,613 | | | $ | 3,415,040,234 | | | $ | 1,288,485,612 | | | $ | 1,293,475,426 | | | $ | 81,354,604,054 | | | $ | 73,758,854,598 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying notes to financial statements.
|
| Semi-Annual Report September 2016 / 154 |
Metropolitan West Funds
Statements of Changes in Net Assets
| | | | | | | | | | | | | | | |
| | | HIGH YIELD
BOND FUND1 | | |
| | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2016
(UNAUDITED) | | YEAR ENDED MARCH 31, 2016 | | |
Operations: | | | | | | | | | | | | | | | |
Net investment income | | | $ | 20,601,232 | | | | $ | 52,328,224 | | | | | | |
Net realized gain/(loss) on investments | | | | 5,374,684 | | | | | (61,584,667 | ) | | | | | |
Net realized gain/(loss) on futures contracts and swap contracts | | | | (166,119 | ) | | | | 2,962,709 | | | | | | |
Net change in unrealized appreciation/(depreciation) on investments | | | | 34,079,386 | | | | | (23,828,002 | ) | | | | | |
Net change in unrealized appreciation/(depreciation) on futures contracts, foreign currency transactions and swap contracts | | | | (1,605,286 | ) | | | | 1,600,553 | | | | | | |
| | | | | | | | | | | | | | | |
Net increase/(decrease) in net assets resulting from operations | | | | 58,283,897 | | | | | (28,521,183 | ) | | | | | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Distributions to Shareholders from: | | | | | | | | | | | | | | | |
Net investment income: | | | | | | | | | | | | | | | |
Class M | | | | (9,151,766 | ) | | | | (24,362,163 | ) | | | | | |
Class I | | | | (11,265,277 | ) | | | | (27,439,063 | ) | | | | | |
Net realized gains: | | | | | | | | | | | | | | | |
Class M | | | | — | | | | | — | | | | | | |
Class I | | | | — | | | | | — | | | | | | |
| | | | | | | | | | | | | | | |
Net decrease in net assets resulting from distributions | | | | (20,417,043 | ) | | | | (51,801,226 | ) | | | | | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Capital Share Transactions: | | | | | | | | | | | | | | | |
Class M: | | | | | | | | | | | | | | | |
Proceeds from sale of shares | | | | 44,930,357 | | | | | 134,398,577 | | | | | | |
Shares issued in reinvestment of distributions | | | | 8,516,923 | | | | | 22,808,910 | | | | | | |
Cost of shares redeemed | | | | (178,979,773 | ) | | | | (384,967,404 | ) | | | | | |
| | | | | | | | | | | | | | | |
Total Class M capital share transactions | | | | (125,532,493 | ) | | | | (227,759,917 | ) | | | | | |
| | | | | | | | | | | | | | | |
Class I: | | | | | | | | | | | | | | | |
Proceeds from sale of shares | | | | 82,380,913 | | | | | 276,834,102 | | | | | | |
Shares issued in reinvestment of distributions | | | | 10,429,849 | | | | | 24,935,658 | | | | | | |
Cost of shares redeemed | | | | (146,955,376 | ) | | | | (443,591,942 | ) | | | | | |
| | | | | | | | | | | | | | | |
Total Class I capital share transactions | | | | (54,144,614 | ) | | | | (141,822,182 | ) | | | | | |
| | | | | | | | | | | | | | | |
Net increase/(decrease) in net assets resulting from capital share transactions | | | | (179,677,107 | ) | | | | (369,582,099 | ) | | | | | |
| | | | | | | | | | | | | | | |
Net increase/(decrease) in net assets | | | | (141,810,253 | ) | | | | (449,904,508 | ) | | | | | |
Net assets at beginning of period | | | | 1,070,564,160 | | | | | 1,520,468,668 | | | | | | |
| | | | | | | | | | | | | | | |
Net assets at end of period (including undistributed (distributions in excess of) net investment income of $2,427,796, $2,243,607, $1,934,326, $772,542, $1,566, $4,875, $511,607, $348,990, $11,608 and $10,946,respectively) | | | $ | 928,753,907 | | | | $ | 1,070,564,160 | | | | | | |
| | | | | | | | | | | | | | | |
1 Consolidated Statement of Changes in Net Assets.
|
| See accompanying notes to financial statements. |
|
| 155 / Semi-Annual Report September 2016 |
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, 2016
(UNAUDITED) | | | YEAR ENDED MARCH 31, 2016 | | | SIX MONTHS
ENDED
SEPTEMBER 30, 2016
(UNAUDITED) | | | YEAR ENDED MARCH 31, 2016 | | | SIX MONTHS
ENDED
SEPTEMBER 30, 2016
(UNAUDITED) | | | YEAR ENDED MARCH 31, 2016 | | | SIX MONTHS ENDED SEPTEMBER 30, 2016 (UNAUDITED) | | | YEAR ENDED
MARCH 31, 2016 | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ | 28,939,481 | | | $ | 47,939,180 | | | $ | 2,941,163 | | | $ | 5,596,583 | | | $ | 2,387,707 | | | $ | 5,386,486 | | | $ | 37,636 | | | $ | 21,693 | | | | | |
| | | | | 8,433,047 | | | | (3,780,003 | ) | | | 34,992 | | | | (1,438,301 | ) | | | 200,959 | | | | 184,540 | | | | 84,529 | | | | (12,417 | ) | | | | |
| | | | | (3,735,783 | ) | | | (423,661 | ) | | | 20,120 | | | | — | | | | (24,885 | ) | | | (41,308 | ) | | | 274,776 | | | | (206,474 | ) | | | | |
| | | | | 34,329,851 | | | | (40,240,910 | ) | | | 3,463,626 | | | | (3,343,047 | ) | | | 1,104,001 | | | | (6,088,964 | ) | | | (1,293 | ) | | | (64,302 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | (206,130 | ) | | | (290,827 | ) | | | (18,566 | ) | | | — | | | | (14,869 | ) | | | 11,817 | | | | (109,385 | ) | | | 127,830 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 67,760,466 | | | | 3,203,779 | | | | 6,441,335 | | | | 815,235 | | | | 3,652,913 | | | | (547,429 | ) | | | 286,263 | | | | (133,670 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | (8,747,699 | ) | | | (16,019,547 | ) | | | (137,097 | ) | | | (241,961 | ) | | | (1,090,278 | ) | | | (2,227,389 | ) | | | (36,974 | ) | | | (13,479 | ) | | | | |
| | | | | (19,029,998 | ) | | | (31,501,583 | ) | | | (2,807,375 | ) | | | (5,354,641 | ) | | | (1,134,812 | ) | | | (3,063,016 | ) | | | — | | | | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | — | | | | — | | | | — | | | | (10,706 | ) | | | — | | | | — | | | | — | | | | — | | | | | |
| | | | | — | | | | — | | | | — | | | | (180,990 | ) | | | — | | | | — | | | | — | | | | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | (27,777,697 | ) | | | (47,521,130 | ) | | | (2,944,472 | ) | | | (5,788,298 | ) | | | (2,225,090 | ) | | | (5,290,405 | ) | | | (36,974 | ) | | | (13,479 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 146,066,359 | | | | 389,592,016 | | | | 3,258,513 | | | | 5,866,138 | | | | 24,327,778 | | | | 26,527,451 | | | | 1,414,574 | | | | 2,806,227 | | | | | |
| | | | | 7,909,056 | | | | 14,633,132 | | | | 134,413 | | | | 247,284 | | | | 1,011,135 | | | | 2,120,372 | | | | 36,126 | | | | 13,175 | | | | | |
| | | | | (188,058,968 | ) | | | (298,765,632 | ) | | | (1,833,771 | ) | | | (3,799,231 | ) | | | (14,073,855 | ) | | | (40,444,717 | ) | | | (1,003,345 | ) | | | (10,001,620 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | (34,083,553 | ) | | | 105,459,516 | | | | 1,559,155 | | | | 2,314,191 | | | | 11,265,058 | | | | (11,796,894 | ) | | | 447,355 | | | | (7,182,218 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 441,394,508 | | | | 552,139,801 | | | | 31,250,384 | | | | 57,870,758 | | | | 22,242,864 | | | | 22,336,619 | | | | — | | | | — | | | | | |
| | | | | 12,232,014 | | | | 23,364,013 | | | | 2,773,022 | | | | 5,530,053 | | | | 1,127,266 | | | | 3,060,624 | | | | — | | | | — | | | | | |
| | | | | (212,317,531 | ) | | | (451,122,731 | ) | | | (2,998,891 | ) | | | (57,379,873 | ) | | | (15,692,599 | ) | | | (51,843,538 | ) | | | — | | | | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 241,308,991 | | | | 124,381,083 | | | | 31,024,515 | | | | 6,020,938 | | | | 7,677,531 | | | | (26,446,295 | ) | | | — | | | | — | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 207,225,438 | | | | 229,840,599 | | | | 32,583,670 | | | | 8,335,129 | | | | 18,942,589 | | | | (38,243,189 | ) | | | 447,355 | | | | (7,182,218 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 247,208,207 | | | | 185,523,248 | | | | 36,080,533 | | | | 3,362,066 | | | | 20,370,412 | | | | (44,081,023 | ) | | | 696,644 | | | | (7,329,367 | ) | | | | |
| | | | | 2,222,635,546 | | | | 2,037,112,298 | | | | 147,678,340 | | | | 144,316,274 | | | | 120,090,183 | | | | 164,171,206 | | | | 2,405,766 | | | | 9,735,133 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | |
| | | | $ | 2,469,843,753 | | | $ | 2,222,635,546 | | | $ | 183,758,873 | | | $ | 147,678,340 | | | $ | 140,460,595 | | | $ | 120,090,183 | | | $ | 3,102,410 | | | $ | 2,405,766 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying notes to financial statements.
|
| Semi-Annual Report September 2016 / 156 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | ULTRA SHORT | | |
| | | BOND FUND CLASS M | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2016
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2016 | | YEAR
ENDED
MARCH 31,
2015 | | YEAR
ENDED
MARCH 31,
2014 | | YEAR
ENDED
MARCH 31,
2013 | | YEAR
ENDED
MARCH 31,
2012 | |
Net Asset Value, Beginning of Period | | | $ | 4.27 | | | | $ | 4.29 | | | | $ | 4.30 | | | | $ | 4.31 | | | | $ | 4.20 | | | | $ | 4.24 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | 0.02 | | | | | 0.03 | | | | | 0.03 | | | | | 0.04 | | | | | 0.06 | | | | | 0.08 | | | | | | |
Net realized and unrealized gain/(loss) | | | | 0.01 | | | | | (0.02 | ) | | | | (0.01 | ) | | | | (0.01 | ) | | | | 0.12 | | | | | (0.04 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Income from Investment Operations | | | | 0.03 | | | | | 0.01 | | | | | 0.02 | | | | | 0.03 | | | | | 0.18 | | | | | 0.04 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.02 | ) | | | | (0.03 | ) | | | | (0.03 | ) | | | | (0.04 | ) | | | | (0.07 | ) | | | | (0.08 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | | (0.02 | ) | | | | (0.03 | ) | | | | (0.03 | ) | | | | (0.04 | ) | | | | (0.07 | ) | | | | (0.08 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 4.28 | | | | $ | 4.27 | | | | $ | 4.29 | | | | $ | 4.30 | | | | $ | 4.31 | | | | $ | 4.20 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | 0.68 | % | | | | 0.18 | % | | | | 0.42 | % | | | | 0.74 | % | | | | 4.26 | % | | | | 1.00 | % | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 69,220 | | | | $ | 78,212 | | | | $ | 69,868 | | | | $ | 97,090 | | | | $ | 56,977 | | | | $ | 37,261 | | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 0.70 | %2 | | | | 0.68 | % | | | | 0.65 | % | | | | 0.60 | % | | | | 0.64 | % | | | | 0.68 | % | | | | | |
After expense waivers and reimbursements | | | | 0.50 | %2 | | | | 0.50 | % | | | | 0.50 | % | | | | 0.50 | % | | | | 0.50 | % | | | | 0.51 | % | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 0.89 | %2 | | | | 0.66 | % | | | | 0.63 | % | | | | 0.92 | % | | | | 1.50 | % | | | | 1.90 | % | | | | | |
Portfolio Turnover Rate | | | | 12 | %3 | | | | 37 | % | | | | 16 | % | | | | 31 | % | | | | 43 | % | | | | 29 | % | | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
|
| See accompanying notes to financial statements. |
|
| 157 / Semi-Annual Report September 2016 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | ULTRA SHORT | | |
| | | BOND FUND CLASS I | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2016
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2016 | | YEAR
ENDED
MARCH 31,
2015 | | YEAR
ENDED
MARCH 31,
2014 | | YEAR
ENDED
MARCH 31,
2013 | | YEAR
ENDED
MARCH 31,
2012 | |
Net Asset Value, Beginning of Period | | | $ | 4.28 | | | | $ | 4.30 | | | | $ | 4.31 | | | | $ | 4.32 | | | | $ | 4.21 | | | | $ | 4.25 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | 0.02 | | | | | 0.04 | | | | | 0.03 | | | | | 0.05 | | | | | 0.07 | | | | | 0.09 | | | | | | |
Net realized and unrealized gain/(loss) | | | | (0.00 | )2 | | | | (0.03 | ) | | | | (0.00 | )2 | | | | (0.01 | ) | | | | 0.11 | | | | | (0.04 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Income from Investment Operations | | | | 0.02 | | | | | 0.01 | | | | | 0.03 | | | | | 0.04 | | | | | 0.18 | | | | | 0.05 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.02 | ) | | | | (0.03 | ) | | | | (0.04 | ) | | | | (0.05 | ) | | | | (0.07 | ) | | | | (0.09 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | | (0.02 | ) | | | | (0.03 | ) | | | | (0.04 | ) | | | | (0.05 | ) | | | | (0.07 | ) | | | | (0.09 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 4.28 | | | | $ | 4.28 | | | | $ | 4.30 | | | | $ | 4.31 | | | | $ | 4.32 | | | | $ | 4.21 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | 0.52 | % | | | | 0.34 | % | | | | 0.59 | % | | | | 0.90 | % | | | | 4.42 | % | | | | 1.17 | % | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 74,350 | | | | $ | 74,751 | | | | $ | 80,530 | | | | $ | 100,622 | | | | $ | 67,947 | | | | $ | 75,106 | | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 0.50 | %3 | | | | 0.50 | % | | | | 0.46 | % | | | | 0.43 | % | | | | 0.48 | % | | | | 0.52 | % | | | | | |
After expense waivers and reimbursements | | | | 0.34 | %3 | | | | 0.34 | % | | | | 0.34 | % | | | | 0.34 | % | | | | 0.34 | % | | | | 0.35 | % | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 1.06 | %3 | | | | 0.83 | % | | | | 0.79 | % | | | | 1.09 | % | | | | 1.70 | % | | | | 2.03 | % | | | | | |
Portfolio Turnover Rate | | | | 12 | %4 | | | | 37 | % | | | | 16 | % | | | | 31 | % | | | | 43 | % | | | | 29 | % | | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
| 2 | Amount is greater than $(0.005) per share. |
See accompanying notes to financial statements.
|
| Semi-Annual Report September 2016 / 158 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | LOW DURATION | | |
| | | BOND FUND CLASS M | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2016
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2016 | | YEAR
ENDED
MARCH 31,
2015 | | YEAR
ENDED
MARCH 31,
2014 | | YEAR
ENDED
MARCH 31,
2013 | | YEAR
ENDED
MARCH 31,
2012 | |
Net Asset Value, Beginning of Period | | | $ | 8.73 | | | | $ | 8.81 | | | | $ | 8.81 | | | | $ | 8.83 | | | | $ | 8.60 | | | | $ | 8.65 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | 0.05 | | | | | 0.10 | | | | | 0.11 | | | | | 0.14 | | | | | 0.25 | | | | | 0.26 | | | | | | |
Net realized and unrealized gain/(loss) | | | | 0.02 | | | | | (0.08 | ) | | | | (0.00 | )2 | | | | (0.01 | ) | | | | 0.23 | | | | | (0.05 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Income from Investment Operations | | | | 0.07 | | | | | 0.02 | | | | | 0.11 | | | | | 0.13 | | | | | 0.48 | | | | | 0.21 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.05 | ) | | | | (0.10 | ) | | | | (0.11 | ) | | | | (0.15 | ) | | | | (0.25 | ) | | | | (0.26 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | | (0.05 | ) | | | | (0.10 | ) | | | | (0.11 | ) | | | | (0.15 | ) | | | | (0.25 | ) | | | | (0.26 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 8.75 | | | | $ | 8.73 | | | | $ | 8.81 | | | | $ | 8.81 | | | | $ | 8.83 | | | | $ | 8.60 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | 0.83 | % | | | | 0.22 | % | | | | 1.24 | % | | | | 1.45 | % | | | | 5.64 | % | | | | 2.53 | % | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 1,394,075 | | | | $ | 1,492,411 | | | | $ | 1,749,130 | | | | $ | 1,918,474 | | | | $ | 1,140,625 | | | | $ | 1,214,668 | | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 0.61 | %3 | | | | 0.62 | % | | | | 0.62 | % | | | | 0.57 | % | | | | 0.57 | % | | | | 0.59 | % | | | | | |
After expense waivers and reimbursements | | | | 0.61 | %3 | | | | 0.62 | % | | | | 0.61 | % | | | | 0.57 | % | | | | 0.57 | % | | | | 0.59 | % | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 1.21 | %3 | | | | 1.16 | % | | | | 1.21 | % | | | | 1.60 | % | | | | 2.83 | % | | | | 3.06 | % | | | | | |
Portfolio Turnover Rate | | | | 29 | %4 | | | | 119 | % | | | | 30 | % | | | | 31 | % | | | | 60 | % | | | | 60 | % | | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
| 2 | Amount is greater than $(0.005) per share. |
See accompanying notes to financial statements.
|
| 159 / Semi-Annual Report September 2016 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | LOW DURATION | | |
| | | BOND FUND CLASS I | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2016
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2016 | | YEAR
ENDED
MARCH 31,
2015 | | YEAR
ENDED
MARCH 31,
2014 | | YEAR
ENDED
MARCH 31,
2013 | | YEAR
ENDED
MARCH 31,
2012 | |
Net Asset Value, Beginning of Period | | | $ | 8.73 | | | | $ | 8.81 | | | | $ | 8.81 | | | | $ | 8.83 | | | | $ | 8.60 | | | | $ | 8.66 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | 0.06 | | | | | 0.12 | | | | | 0.13 | | | | | 0.16 | | | | | 0.26 | | | | | 0.28 | | | | | | |
Net realized and unrealized gain/(loss) | | | | 0.03 | | | | | (0.08 | ) | | | | (0.00 | )2 | | | | (0.02 | ) | | | | 0.24 | | | | | (0.06 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Income from Investment Operations | | | | 0.09 | | | | | 0.04 | | | | | 0.13 | | | | | 0.14 | | | | | 0.50 | | | | | 0.22 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.06 | ) | | | | (0.12 | ) | | | | (0.13 | ) | | | | (0.16 | ) | | | | (0.27 | ) | | | | (0.28 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | | (0.06 | ) | | | | (0.12 | ) | | | | (0.13 | ) | | | | (0.16 | ) | | | | (0.27 | ) | | | | (0.28 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 8.76 | | | | $ | 8.73 | | | | $ | 8.81 | | | | $ | 8.81 | | | | $ | 8.83 | | | | $ | 8.60 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | 1.07 | % | | | | 0.44 | % | | | | 1.46 | % | | | | 1.64 | % | | | | 5.84 | % | | | | 2.61 | % | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 1,844,757 | | | | $ | 1,915,270 | | | | $ | 1,915,434 | | | | $ | 1,695,160 | | | | $ | 741,747 | | | | $ | 504,182 | | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 0.38 | %3 | | | | 0.39 | % | | | | 0.39 | % | | | | 0.37 | % | | | | 0.38 | % | | | | 0.40 | % | | | | | |
After expense waivers and reimbursements | | | | 0.38 | %3 | | | | 0.39 | % | | | | 0.39 | % | | | | 0.37 | % | | | | 0.38 | % | | | | 0.40 | % | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 1.45 | %3 | | | | 1.39 | % | | | | 1.42 | % | | | | 1.78 | % | | | | 3.00 | % | | | | 3.24 | % | | | | | |
Portfolio Turnover Rate | | | | 29 | %4 | | | | 119 | % | | | | 30 | % | | | | 31 | % | | | | 60 | % | | | | 60 | % | | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
| 2 | Amount is greater than $(0.005) per share. |
See accompanying notes to financial statements.
|
| Semi-Annual Report September 2016 / 160 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | LOW DURATION | | |
| | | BOND FUND
ADMINISTRATIVE CLASS | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2016
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2016 | | YEAR
ENDED
MARCH 31,
2015 | | YEAR
ENDED
MARCH 31,
2014 | | YEAR
ENDED
MARCH 31,
2013 | | YEAR
ENDED
MARCH 31,
2012 | |
Net Asset Value, Beginning of Period | | | $ | 11.27 | | | | $ | 11.37 | | | | $ | 11.38 | | | | $ | 11.41 | | | | $ | 11.11 | | | | $ | 11.18 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | 0.06 | | | | | 0.12 | | | | | 0.12 | | | | | 0.14 | | | | | 0.32 | | | | | 0.31 | | | | | | |
Net realized and unrealized gain/(loss) | | | | 0.04 | | | | | (0.11 | ) | | | | (0.00 | )2 | | | | — | | | | | 0.28 | | | | | (0.06 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Income from Investment Operations | | | | 0.10 | | | | | 0.01 | | | | | 0.12 | | | | | 0.14 | | | | | 0.60 | | | | | 0.25 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.06 | ) | | | | (0.11 | ) | | | | (0.13 | ) | | | | (0.17 | ) | | | | (0.30 | ) | | | | (0.32 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | | (0.06 | ) | | | | (0.11 | ) | | | | (0.13 | ) | | | | (0.17 | ) | | | | (0.30 | ) | | | | (0.32 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 11.31 | | | | $ | 11.27 | | | | $ | 11.37 | | | | $ | 11.38 | | | | $ | 11.41 | | | | $ | 11.11 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | 0.91 | % | | | | 0.13 | % | | | | 1.04 | % | | | | 1.21 | % | | | | 5.46 | % | | | | 2.28 | % | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 8,000 | | | | $ | 7,359 | | | | $ | 4,599 | | | | $ | 3,623 | | | | $ | 105 | | | | $ | 1,594 | | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 0.72 | %3 | | | | 0.72 | % | | | | 0.72 | % | | | | 0.78 | % | | | | 0.77 | % | | | | 0.79 | % | | | | | |
After expense waivers and reimbursements | | | | 0.72 | %3 | | | | 0.72 | % | | | | 0.72 | % | | | | 0.78 | % | | | | 0.77 | % | | | | 0.79 | % | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 1.10 | %3 | | | | 1.07 | % | | | | 1.09 | % | | | | 1.24 | % | | | | 2.85 | % | | | | 2.82 | % | | | | | |
Portfolio Turnover Rate | | | | 29 | %4 | | | | 119 | % | | | | 30 | % | | �� | | 31 | % | | | | 60 | % | | | | 60 | % | | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
| 2 | Amount is greater than $(0.005) per share. |
See accompanying notes to financial statements.
|
| 161 / Semi-Annual Report September 2016 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | INTERMEDIATE | | |
| | | BOND FUND CLASS M | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2016
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2016 | | YEAR
ENDED
MARCH 31,
2015 | | YEAR
ENDED
MARCH 31,
2014 | | YEAR
ENDED
MARCH 31,
2013 | | YEAR
ENDED
MARCH 31,
2012 | |
Net Asset Value, Beginning of Period | | | $ | 10.58 | | | | $ | 10.65 | | | | $ | 10.52 | | | | $ | 10.69 | | | | $ | 10.47 | | | | $ | 10.31 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | 0.07 | | | | | 0.13 | | | | | 0.14 | | | | | 0.24 | | | | | 0.35 | | | | | 0.40 | | | | | | |
Net realized and unrealized gain/(loss) | | | | 0.11 | | | | | (0.03 | ) | | | | 0.16 | | | | | (0.16 | ) | | | | 0.40 | | | | | 0.16 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Income from Investment Operations | | | | 0.18 | | | | | 0.10 | | | | | 0.30 | | | | | 0.08 | | | | | 0.75 | | | | | 0.56 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.07 | ) | | | | (0.12 | ) | | | | (0.14 | ) | | | | (0.24 | ) | | | | (0.35 | ) | | | | (0.40 | ) | | | | | |
From net capital gains | | | | — | | | | | (0.05 | ) | | | | (0.03 | ) | | | | (0.01 | ) | | | | (0.18 | ) | | | | — | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | | (0.07 | ) | | | | (0.17 | ) | | | | (0.17 | ) | | | | (0.25 | ) | | | | (0.53 | ) | | | | (0.40 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 10.69 | | | | $ | 10.58 | | | | $ | 10.65 | | | | $ | 10.52 | | | | $ | 10.69 | | | | $ | 10.47 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | 1.69 | % | | | | 1.03 | % | | | | 2.87 | % | | | | 0.80 | % | | | | 7.28 | % | | | | 5.56 | % | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 155,773 | | | | $ | 199,031 | | | | $ | 163,048 | | | | $ | 144,635 | | | | $ | 115,576 | | | | $ | 89,990 | | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 0.70 | %2 | | | | 0.70 | % | | | | 0.72 | % | | | | 0.69 | % | | | | 0.69 | % | | | | 0.72 | % | | | | | |
After expense waivers and reimbursements | | | | 0.70 | %2 | | | | 0.70 | % | | | | 0.68 | % | | | | 0.65 | % | | | | 0.65 | % | | | | 0.66 | % | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 1.29 | %2 | | | | 1.20 | % | | | | 1.30 | % | | | | 2.25 | % | | | | 3.24 | % | | | | 3.89 | % | | | | | |
Portfolio Turnover Rate | | | | 104 | %3 | | | | 309 | % | | | | 253 | % | | | | 208 | % | | | | 119 | % | | | | 145 | % | | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
See accompanying notes to financial statements.
|
| Semi-Annual Report September 2016 / 162 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | INTERMEDIATE | | |
| | | BOND FUND CLASS I | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2016
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2016 | | YEAR
ENDED
MARCH 31,
2015 | | YEAR
ENDED
MARCH 31,
2014 | | YEAR
ENDED
MARCH 31,
2013 | | YEAR
ENDED
MARCH 31,
2012 | |
Net Asset Value, Beginning of Period | | | $ | 10.58 | | | | $ | 10.65 | | | | $ | 10.52 | | | | $ | 10.69 | | | | $ | 10.47 | | | | $ | 10.30 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | 0.08 | | | | | 0.15 | | | | | 0.15 | | | | | 0.25 | | | | | 0.37 | | | | | 0.43 | | | | | | |
Net realized and unrealized gain/(loss) | | | | 0.11 | | | | | (0.02 | ) | | | | 0.17 | | | | | (0.15 | ) | | | | 0.40 | | | | | 0.16 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Income from Investment Operations | | | | 0.19 | | | | | 0.13 | | | | | 0.32 | | | | | 0.10 | | | | | 0.77 | | | | | 0.59 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.08 | ) | | | | (0.15 | ) | | | | (0.16 | ) | | | | (0.26 | ) | | | | (0.37 | ) | | | | (0.42 | ) | | | | | |
From net capital gains | | | | — | | | | | (0.05 | ) | | | | (0.03 | ) | | | | (0.01 | ) | | | | (0.18 | ) | | | | — | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | | (0.08 | ) | | | | (0.20 | ) | | | | (0.19 | ) | | | | (0.27 | ) | | | | (0.55 | ) | | | | (0.42 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 10.69 | | | | $ | 10.58 | | | | $ | 10.65 | | | | $ | 10.52 | | | | $ | 10.69 | | | | $ | 10.47 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | 1.83 | % | | | | 1.28 | % | | | | 3.09 | % | | | | 1.02 | % | | | | 7.50 | % | | | | 5.89 | % | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 1,132,713 | | | | $ | 1,094,444 | | | | $ | 1,051,372 | | | | $ | 356,129 | | | | $ | 197,719 | | | | $ | 193,480 | | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 0.44 | %2 | | | | 0.46 | % | | | | 0.48 | %3 | | | | 0.46 | % | | | | 0.48 | % | | | | 0.51 | % | | | | | |
After expense waivers and reimbursements | | | | 0.44 | %2 | | | | 0.46 | % | | | | 0.48 | % | | | | 0.44 | % | | | | 0.44 | % | | | | 0.45 | % | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 1.55 | %2 | | | | 1.44 | % | | | | 1.38 | % | | | | 2.39 | % | | | | 3.46 | % | | | | 4.11 | % | | | | | |
Portfolio Turnover Rate | | | | 104 | %4 | | | | 309 | % | | | | 253 | % | | | | 208 | % | | | | 119 | % | | | | 145 | % | | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
| 3 | Includes recoupment of past waived fees. Excluding the recoupment of past waived fees, the ratio would have been 0.46%. |
See accompanying notes to financial statements.
|
| 163 / Semi-Annual Report September 2016 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | TOTAL RETURN | | |
| | | BOND FUND CLASS M | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2016
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2016 | | YEAR
ENDED
MARCH 31,
2015 | | YEAR
ENDED
MARCH 31,
2014 | | YEAR
ENDED
MARCH 31,
2013 | | YEAR
ENDED
MARCH 31,
2012 | |
Net Asset Value, Beginning of Period | | | $ | 10.83 | | | | $ | 11.02 | | | | $ | 10.68 | | | | $ | 10.92 | | | | $ | 10.54 | | | | $ | 10.41 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | 0.09 | | | | | 0.18 | | | | | 0.19 | | | | | 0.29 | | | | | 0.36 | | | | | 0.45 | | | | | | |
Net realized and unrealized gain/(loss) | | | | 0.19 | | | | | (0.07 | ) | | | | 0.38 | | | | | (0.18 | ) | | | | 0.62 | | | | | 0.21 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Income from Investment Operations | | | | 0.28 | | | | | 0.11 | | | | | 0.57 | | | | | 0.11 | | | | | 0.98 | | | | | 0.66 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.09 | ) | | | | (0.18 | ) | | | | (0.20 | ) | | | | (0.29 | ) | | | | (0.38 | ) | | | | (0.45 | ) | | | | | |
From net capital gains | | | | — | | | | | (0.12 | ) | | | | (0.03 | ) | | | | (0.06 | ) | | | | (0.22 | ) | | | | (0.08 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | | (0.09 | ) | | | | (0.30 | ) | | | | (0.23 | ) | | | | (0.35 | ) | | | | (0.60 | ) | | | | (0.53 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 11.02 | | | | $ | 10.83 | | | | $ | 11.02 | | | | $ | 10.68 | | | | $ | 10.92 | | | | $ | 10.54 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | 2.62 | % | | | | 0.99 | % | | | | 5.38 | % | | | | 1.07 | % | | | | 9.46 | % | | | | 6.55 | % | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period
(in thousands) | | | $ | 16,674,379 | | | | $ | 16,488,095 | | | | $ | 16,558,422 | | | | $ | 10,587,362 | | | | $ | 10,806,099 | | | | $ | 8,154,998 | | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 0.66 | %2 | | | | 0.66 | % | | | | 0.68 | % | | | | 0.62 | % | | | | 0.61 | % | | | | 0.63 | % | | | | | |
After expense waivers and reimbursements | | | | 0.66 | %2 | | | | 0.66 | % | | | | 0.68 | % | | | | 0.62 | % | | | | 0.61 | % | | | | 0.63 | % | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 1.71 | %2 | | | | 1.64 | % | | | | 1.79 | % | | | | 2.70 | % | | | | 3.30 | % | | | | 4.33 | % | | | | | |
Portfolio Turnover Rate | | | | 126 | %3 | | | | 303 | % | | | | 246 | % | | | | 255 | % | | | | 160 | % | | | | 156 | % | | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
See accompanying notes to financial statements.
|
| Semi-Annual Report September 2016 / 164 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | TOTAL RETURN | | |
| | | BOND FUND CLASS I | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2016
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2016 | | YEAR
ENDED
MARCH 31,
2015 | | YEAR
ENDED
MARCH 31,
2014 | | YEAR
ENDED
MARCH 31,
2013 | | YEAR
ENDED
MARCH 31,
2012 | |
Net Asset Value, Beginning of Period | | | $ | 10.83 | | | | $ | 11.01 | | | | $ | 10.68 | | | | $ | 10.92 | | | | $ | 10.54 | | | | $ | 10.41 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | 0.11 | | | | | 0.20 | | | | | 0.21 | | | | | 0.31 | | | | | 0.38 | | | | | 0.47 | | | | | | |
Net realized and unrealized gain/(loss) | | | | 0.19 | | | | | (0.06 | ) | | | | 0.38 | | | | | (0.18 | ) | | | | 0.62 | | | | | 0.21 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Income from Investment Operations | | | | 0.30 | | | | | 0.14 | | | | | 0.59 | | | | | 0.13 | | | | | 1.00 | | | | | 0.68 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.11 | ) | | | | (0.20 | ) | | | | (0.23 | ) | | | | (0.31 | ) | | | | (0.40 | ) | | | | (0.47 | ) | | | | | |
From net capital gains | | | | — | | | | | (0.12 | ) | | | | (0.03 | ) | | | | (0.06 | ) | | | | (0.22 | ) | | | | (0.08 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | | (0.11 | ) | | | | (0.32 | ) | | | | (0.26 | ) | | | | (0.37 | ) | | | | (0.62 | ) | | | | (0.55 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 11.02 | | | | $ | 10.83 | | | | $ | 11.01 | | | | $ | 10.68 | | | | $ | 10.92 | | | | $ | 10.54 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | 2.74 | % | | | | 1.31 | % | | | | 5.54 | % | | | | 1.29 | % | | | | 9.69 | % | | | | 6.78 | % | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 51,491,738 | | | | $ | 46,277,563 | | | | $ | 40,277,552 | | | | $ | 16,023,118 | | | | $ | 13,693,971 | | | | $ | 11,275,951 | | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 0.42 | %2 | | | | 0.43 | % | | | | 0.44 | % | | | | 0.40 | % | | | | 0.40 | % | | | | 0.42 | % | | | | | |
After expense waivers and reimbursements | | | | 0.42 | %2 | | | | 0.43 | % | | | | 0.44 | % | | | | 0.40 | % | | | | 0.40 | % | | | | 0.42 | % | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 1.95 | %2 | | | | 1.87 | % | | | | 1.94 | % | | | | 2.90 | % | | | | 3.52 | % | | | | 4.53 | % | | | | | |
Portfolio Turnover Rate | | | | 126 | %3 | | | | 303 | % | | | | 246 | % | | | | 255 | % | | | | 160 | % | | | | 156 | % | | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
See accompanying notes to financial statements.
|
| 165 / Semi-Annual Report September 2016 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | TOTAL RETURN | | |
| | | BOND FUND
ADMINISTRATIVE CLASS | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2016
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2016 | | YEAR
ENDED
MARCH 31,
2015 | | YEAR
ENDED
MARCH 31,
2014 | | YEAR
ENDED
MARCH 31,
2013 | | YEAR
ENDED
MARCH 31,
2012 | |
Net Asset Value, Beginning of Period | | | $ | 10.84 | | | | $ | 11.02 | | | | $ | 10.68 | | | | $ | 10.93 | | | | $ | 10.55 | | | | $ | 10.42 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | 0.09 | | | | | 0.16 | | | | | 0.16 | | | | | 0.26 | | | | | 0.33 | | | | | 0.43 | | | | | | |
Net realized and unrealized gain/(loss) | | | | 0.19 | | | | | (0.06 | ) | | | | 0.40 | | | | | (0.18 | ) | | | | 0.63 | | | | | 0.21 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Income from Investment Operations | | | | 0.28 | | | | | 0.10 | | | | | 0.56 | | | | | 0.08 | | | | | 0.96 | | | | | 0.64 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.09 | ) | | | | (0.16 | ) | | | | (0.19 | ) | | | | (0.27 | ) | | | | (0.36 | ) | | | | (0.43 | ) | | | | | |
From net capital gains | | | | — | | | | | (0.12 | ) | | | | (0.03 | ) | | | | (0.06 | ) | | | | (0.22 | ) | | | | (0.08 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | | (0.09 | ) | | | | (0.28 | ) | | | | (0.22 | ) | | | | (0.33 | ) | | | | (0.58 | ) | | | | (0.51 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 11.03 | | | | $ | 10.84 | | | | $ | 11.02 | | | | $ | 10.68 | | | | $ | 10.93 | | | | $ | 10.55 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | 2.56 | % | | | | 0.96 | % | | | | 5.25 | % | | | | 0.79 | % | | | | 9.24 | % | | | | 6.34 | % | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 647,510 | | | | $ | 291,168 | | | | $ | 281,479 | | | | $ | 39,430 | | | | $ | 15,783 | | | | $ | 7,061 | | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 0.79 | %2 | | | | 0.78 | % | | | | 0.80 | % | | | | 0.81 | % | | | | 0.81 | % | | | | 0.83 | % | | | | | |
After expense waivers and reimbursements | | | | 0.79 | %2 | | | | 0.78 | % | | | | 0.80 | % | | | | 0.81 | % | | | | 0.81 | % | | | | 0.83 | % | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 1.61 | %2 | | | | 1.51 | % | | | | 1.45 | % | | | | 2.47 | % | | | | 3.04 | % | | | | 4.14 | % | | | | | |
Portfolio Turnover Rate | | | | 126 | %3 | | | | 303 | % | | | | 246 | % | | | | 255 | % | | | | 160 | % | | | | 156 | % | | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
See accompanying notes to financial statements.
|
| Semi-Annual Report September 2016 / 166 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | TOTAL RETURN | | |
| | | BOND FUND
PLAN CLASS | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2016
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2016 | | YEAR
ENDED
MARCH 31,
2015 | | YEAR
ENDED
MARCH 31,
2014 | | YEAR
ENDED
MARCH 31,
2013 | | PERIOD ENDED
MARCH 31,
2012 | |
Net Asset Value, Beginning of Period | | | $ | 10.20 | | | | $ | 10.38 | | | | $ | 10.07 | | | | $ | 10.30 | | | | $ | 9.95 | | | | $ | 10.00 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | 0.10 | | | | | 0.20 | | | | | 0.18 | | | | | 0.29 | | | | | 0.35 | | | | | 0.30 | | | | | | |
Net realized and unrealized gain/(loss) | | | | 0.18 | | | | | (0.07 | ) | | | | 0.38 | | | | | (0.17 | ) | | | | 0.60 | | | | | 0.07 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Income from Investment Operations | | | | 0.28 | | | | | 0.13 | | | | | 0.56 | | | | | 0.12 | | | | | 0.95 | | | | | 0.37 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.10 | ) | | | | (0.19 | ) | | | | (0.22 | ) | | | | (0.29 | ) | | | | (0.38 | ) | | | | (0.34 | ) | | | | | |
From net capital gains | | | | — | | | | | (0.12 | ) | | | | (0.03 | ) | | | | (0.06 | ) | | | | (0.22 | ) | | | | (0.08 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | | (0.10 | ) | | | | (0.31 | ) | | | | (0.25 | ) | | | | (0.35 | ) | | | | (0.60 | ) | | | | (0.42 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 10.38 | | | | $ | 10.20 | | | | $ | 10.38 | | | | $ | 10.07 | | | | $ | 10.30 | | | | $ | 9.95 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | 2.78 | % | | | | 1.33 | % | | | | 5.60 | % | | | | 1.30 | % | | | | 9.73 | % | | | | 3.81 | %2 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 12,540,976 | | | | $ | 10,702,029 | | | | $ | 7,179,308 | | | | $ | 535,236 | | | | $ | 348,453 | | | | $ | 119,860 | | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 0.37 | %3 | | | | 0.38 | % | | | | 0.40 | % | | | | 0.39 | % | | | | 0.40 | % | | | | 0.41 | %3 | | | | | |
After expense waivers and reimbursements | | | | 0.37 | %3 | | | | 0.38 | % | | | | 0.39 | % | | | | 0.39 | % | | | | 0.39 | % | | | | 0.40 | %3 | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 2.00 | %3 | | | | 1.93 | % | | | | 1.77 | % | | | | 2.88 | % | | | | 3.42 | % | | | | 4.43 | %3 | | | | | |
Portfolio Turnover Rate | | | | 126 | %2 | | | | 303 | % | | | | 246 | % | | | | 255 | % | | | | 160 | % | | | | 156 | %2 | | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
See accompanying notes to financial statements.
|
| 167 / Semi-Annual Report September 2016 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | HIGH YIELD | | |
| | | BOND FUND CLASS M | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2016
(UNAUDITED)1 | | YEAR
ENDED
MARCH 31,
20161 | | YEAR
ENDED
MARCH 31,
20151 | | YEAR
ENDED
MARCH 31,
2014 | | YEAR
ENDED
MARCH 31,
2013 | | YEAR
ENDED
MARCH 31,
2012 | |
Net Asset Value, Beginning of Period | | | $ | 9.09 | | | | $ | 9.72 | | | | $ | 10.37 | | | | $ | 10.59 | | | | $ | 10.11 | | | | $ | 10.94 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income2 | | | | 0.17 | | | | | 0.39 | | | | | 0.45 | | | | | 0.54 | | | | | 0.64 | | | | | 0.73 | | | | | | |
Net realized and unrealized gain/(loss) | | | | 0.34 | | | | | (0.63 | ) | | | | (0.51 | ) | | | | 0.05 | | | | | 0.57 | | | | | (0.68 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Income/(Loss) from Investment Operations | | | | 0.51 | | | | | (0.24 | ) | | | | (0.06 | ) | | | | 0.59 | | | | | 1.21 | | | | | 0.05 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.17 | ) | | | | (0.39 | ) | | | | (0.45 | ) | | | | (0.53 | ) | | | | (0.68 | ) | | | | (0.76 | ) | | | | | |
From net capital gains | | | | — | | | | | — | | | | | (0.14 | ) | | | | (0.28 | ) | | | | (0.05 | ) | | | | (0.12 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | | (0.17 | ) | | | | (0.39 | ) | | | | (0.59 | ) | | | | (0.81 | ) | | | | (0.73 | ) | | | | (0.88 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 9.43 | | | | $ | 9.09 | | | | $ | 9.72 | | | | $ | 10.37 | | | | $ | 10.59 | | | | $ | 10.11 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | 5.69 | % | | | | (2.52 | )% | | | | (0.65 | )% | | | | 5.89 | % | | | | 12.40 | % | | | | 0.68 | % | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 390,138 | | | | $ | 498,128 | | | | $ | 764,684 | | | | $ | 1,323,298 | | | | $ | 1,335,683 | | | | $ | 1,227,806 | | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 0.89 | %3 | | | | 0.87 | % | | | | 0.89 | % | | | | 0.82 | % | | | | 0.81 | % | | | | 0.85 | % | | | | | |
After expense waivers and reimbursements | | | | 0.85 | %3 | | | | 0.85 | % | | | | 0.83 | % | | | | 0.80 | % | | | | 0.79 | % | | | | 0.82 | % | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 3.75 | %3 | | | | 4.19 | % | | | | 4.41 | % | | | | 5.20 | % | | | | 6.20 | % | | | | 7.14 | % | | | | | |
Portfolio Turnover Rate | | | | 81 | %4 | | | | 139 | % | | | | 61 | % | | | | 66 | % | | | | 74 | % | | | | 54 | % | | | | | |
| 1 | Consolidated Financial Highlights. |
| 2 | Per share numbers have been calculated using the average share method. |
See accompanying notes to financial statements.
|
| Semi-Annual Report September 2016 / 168 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | HIGH YIELD | | |
| | | BOND FUND CLASS I | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2016
(UNAUDITED)1 | | YEAR
ENDED
MARCH 31,
20161 | | YEAR
ENDED
MARCH 31,
20151 | | YEAR
ENDED
MARCH 31,
2014 | | YEAR
ENDED
MARCH 31,
2013 | | YEAR
ENDED
MARCH 31,
2012 | |
Net Asset Value, Beginning of Period | | | $ | 9.09 | | | | $ | 9.72 | | | | $ | 10.37 | | | | $ | 10.59 | | | | $ | 10.11 | | | | $ | 10.94 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income2 | | | | 0.19 | | | | | 0.42 | | | | | 0.47 | | | | | 0.57 | | | | | 0.66 | | | | | 0.75 | | | | | | |
Net realized and unrealized gain/(loss) | | | | 0.34 | | | | | (0.64 | ) | | | | (0.51 | ) | | | | 0.05 | | | | | 0.57 | | | | | (0.68 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Income/(Loss) from Investment Operations | | | | 0.53 | | | | | (0.22 | ) | | | | (0.04 | ) | | | | 0.62 | | | | | 1.23 | | | | | 0.07 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.19 | ) | | | | (0.41 | ) | | | | (0.47 | ) | | | | (0.56 | ) | | | | (0.70 | ) | | | | (0.78 | ) | | | | | |
From net capital gains | | | | — | | | | | — | | | | | (0.14 | ) | | | | (0.28 | ) | | | | (0.05 | ) | | | | (0.12 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | | (0.19 | ) | | | | (0.41 | ) | | | | (0.61 | ) | | | | (0.84 | ) | | | | (0.75 | ) | | | | (0.90 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 9.43 | | | | $ | 9.09 | | | | $ | 9.72 | | | | $ | 10.37 | | | | $ | 10.59 | | | | $ | 10.11 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | 5.82 | % | | | | (2.28 | )% | | | | (0.40 | )% | | | | 6.16 | % | | | | 12.67 | % | | | | 0.93 | % | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 538,616 | | | | $ | 572,436 | | | | $ | 755,786 | | | | $ | 910,268 | | | | $ | 997,308 | | | | $ | 1,062,563 | | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 0.61 | %3 | | | | 0.61 | % | | | | 0.60 | % | | | | 0.56 | % | | | | 0.57 | % | | | | 0.60 | % | | | | | |
After expense waivers and reimbursements | | | | 0.60 | %3 | | | | 0.60 | % | | | | 0.58 | % | | | | 0.55 | % | | | | 0.54 | % | | | | 0.57 | % | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 4.02 | %3 | | | | 4.44 | % | | | | 4.65 | % | | | | 5.45 | % | | | | 6.46 | % | | | | 7.35 | % | | | | | |
Portfolio Turnover Rate | | | | 81 | %4 | | | | 139 | % | | | | 61 | % | | | | 66 | % | | | | 74 | % | | | | 54 | % | | | | | |
| 1 | Consolidated Financial Highlights. |
| 2 | Per share numbers have been calculated using the average share method. |
See accompanying notes to financial statements.
|
| 169 / Semi-Annual Report September 2016 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | UNCONSTRAINED | | |
| | | BOND FUND
CLASS M | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2016
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2016 | | YEAR
ENDED
MARCH 31,
2015 | | YEAR
ENDED
MARCH 31,
2014 | | YEAR
ENDED
MARCH 31,
2013 | | PERIOD
ENDED
MARCH 31,
2012 | |
Net Asset Value, Beginning of Period | | | $ | 11.72 | | | | $ | 11.95 | | | | $ | 11.87 | | | | $ | 11.81 | | | | $ | 11.23 | | | | $ | 10.00 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | 0.13 | | | | | 0.23 | | | | | 0.21 | | | | | 0.29 | | | | | 0.36 | | | | | 0.32 | | | | | | |
Net realized and unrealized gain/(loss) | | | | 0.20 | | | | | (0.23 | ) | | | | 0.08 | | | | | 0.07 | | | | | 0.61 | | | | | 1.24 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Income/(Loss) from Investment Operations | | | | 0.33 | | | | | — | | | | | 0.29 | | | | | 0.36 | | | | | 0.97 | | | | | 1.56 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.13 | ) | | | | (0.23 | ) | | | | (0.21 | ) | | | | (0.29 | ) | | | | (0.39 | ) | | | | (0.31 | ) | | | | | |
From net capital gains | | | | — | | | | | — | | | | | — | | | | | (0.01 | ) | | | | — | | | | | (0.02 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | | (0.13 | ) | | | | (0.23 | ) | | | | (0.21 | ) | | | | (0.30 | ) | | | | (0.39 | ) | | | | (0.33 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 11.92 | | | | $ | 11.72 | | | | $ | 11.95 | | | | $ | 11.87 | | | | $ | 11.81 | | | | $ | 11.23 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | 2.79 | % | | | | (0.02 | )% | | | | 2.47 | % | | | | 3.09 | % | | | | 9.72 | % | | | | 15.72 | %2 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 806,972 | | | | $ | 827,053 | | | | $ | 738,090 | | | | $ | 305,872 | | | | $ | 100,087 | | | | $ | 9,894 | | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 1.04 | %3 | | | | 1.04 | % | | | | 1.04 | % | | | | 1.04 | % | | | | 1.35 | % | | | | 2.86 | %3 | | | | | |
After expense waivers and reimbursements | | | | 1.04 | %3 | | | | 1.04 | % | | | | 1.03 | % | | | | 0.99 | % | | | | 0.99 | % | | | | 0.99 | %3 | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 2.22 | %3 | | | | 1.95 | % | | | | 1.76 | % | | | | 2.46 | % | | | | 3.07 | % | | | | 6.11 | %3 | | | | | |
Portfolio Turnover Rate | | | | 16 | %2 | | | | 23 | % | | | | 18 | % | | | | 38 | % | | | | 43 | % | | | | 29 | %2 | | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
See accompanying notes to financial statements.
|
| Semi-Annual Report September 2016 / 170 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | UNCONSTRAINED | | |
| | | BOND FUND
CLASS I | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2016
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2016 | | YEAR
ENDED
MARCH 31,
2015 | | YEAR
ENDED
MARCH 31,
2014 | | YEAR
ENDED
MARCH 31,
2013 | | PERIOD
ENDED
MARCH 31,
2012 | |
Net Asset Value, Beginning of Period | | | $ | 11.71 | | | | $ | 11.94 | | | | $ | 11.86 | | | | $ | 11.80 | | | | $ | 11.22 | | | | $ | 10.00 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | 0.15 | | | | | 0.27 | | | | | 0.24 | | | | | 0.32 | | | | | 0.38 | | | | | 0.33 | | | | | | |
Net realized and unrealized gain/(loss) | | | | 0.19 | | | | | (0.24 | ) | | | | 0.08 | | | | | 0.07 | | | | | 0.62 | | | | | 1.23 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Income from Investment Operations | | | | 0.34 | | | | | 0.03 | | | | | 0.32 | | | | | 0.39 | | | | | 1.00 | | | | | 1.56 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.14 | ) | | | | (0.26 | ) | | | | (0.24 | ) | | | | (0.32 | ) | | | | (0.42 | ) | | | | (0.32 | ) | | | | | |
From net capital gains | | | | — | | | | | — | | | | | — | | | | | (0.01 | ) | | | | — | | | | | (0.02 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | | (0.14 | ) | | | | (0.26 | ) | | | | (0.24 | ) | | | | (0.33 | ) | | | | (0.42 | ) | | | | (0.34 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 11.91 | | | | $ | 11.71 | | | | $ | 11.94 | | | | $ | 11.86 | | | | $ | 11.80 | | | | $ | 11.22 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | 2.95 | % | | | | 0.29 | % | | | | 2.72 | % | | | | 3.34 | % | | | | 9.98 | % | | | | 15.85 | %2 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 1,662,872 | | | | $ | 1,395,583 | | | | $ | 1,299,022 | | | | $ | 412,757 | | | | $ | 87,893 | | | | $ | 7,776 | | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 0.72 | %3 | | | | 0.73 | % | | | | 0.79 | %4 | | | | 0.78 | % | | | | 1.10 | % | | | | 2.60 | %3 | | | | | |
After expense waivers and reimbursements | | | | 0.72 | %3 | | | | 0.73 | % | | | | 0.79 | % | | | | 0.75 | % | | | | 0.75 | % | | | | 0.75 | %3 | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 2.54 | %3 | | | | 2.25 | % | | | | 2.00 | % | | | | 2.70 | % | | | | 3.21 | % | | | | 6.23 | %3 | | | | | |
Portfolio Turnover Rate | | | | 16 | %2 | | | | 23 | % | | | | 18 | % | | | | 38 | % | | | | 43 | % | | | | 29 | %2 | | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
| 4 | Includes recoupment of past waived fees. Excluding the recoupment of past waived fees, the ratio would have been 0.76% |
See accompanying notes to financial statements.
|
| 171 / Semi-Annual Report September 2016 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | FLOATING RATE |
| | | INCOME FUND
CLASS M | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2016
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2016 | | YEAR
ENDED
MARCH 31,
2015 | | PERIOD
ENDED
MARCH 31,
2014 | |
Net Asset Value, Beginning of Period | | | $ | 9.80 | | | | $ | 10.13 | | | | $ | 10.28 | | | | $ | 10.00 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | 0.17 | | | | | 0.34 | | | | | 0.32 | | | | | 0.26 | | | | | | |
Net realized and unrealized gain/(loss) | | | | 0.22 | | | | | (0.32 | ) | | | | (0.06 | ) | | | | 0.25 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Income from Investment Operations | | | | 0.39 | | | | | 0.02 | | | | | 0.26 | | | | | 0.51 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.17 | ) | | | | (0.34 | ) | | | | (0.32 | ) | | | | (0.22 | ) | | | | | |
From net capital gains | | | | — | | | | | (0.01 | ) | | | | (0.09 | ) | | | | (0.01 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | | (0.17 | ) | | | | (0.35 | ) | | | | (0.41 | ) | | | | (0.23 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 10.02 | | | | $ | 9.80 | | | | $ | 10.13 | | | | $ | 10.28 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | 3.96 | % | | | | 0.23 | % | | | | 2.53 | % | | | | 5.15 | %2 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 9,938 | | | | $ | 8,206 | | | | $ | 6,126 | | | | $ | 5,311 | | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 1.06 | %3 | | | | 1.07 | % | | | | 1.10 | % | | | | 1.11 | %3 | | | | | |
After expense waivers and reimbursements | | | | 0.90 | %3 | | | | 0.90 | % | | | | 0.88 | % | | | | 0.85 | %3 | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 3.33 | %3 | | | | 3.42 | % | | | | 3.15 | % | | | | 3.41 | %3 | | | | | |
Portfolio Turnover Rate | | | | 20 | %2 | | | | 66 | % | | | | 49 | % | | | | 67 | %2 | | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
See accompanying notes to financial statements.
|
| Semi-Annual Report September 2016 / 172 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | FLOATING RATE |
| | | INCOME FUND
CLASS I | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2016
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2016 | | YEAR
ENDED
MARCH 31,
2015 | | PERIOD
ENDED
MARCH 31,
2014 | |
Net Asset Value, Beginning of Period | | | $ | 9.80 | | | | $ | 10.12 | | | | $ | 10.28 | | | | $ | 10.00 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | 0.18 | | | | | 0.36 | | | | | 0.34 | | | | | 0.26 | | | | | | |
Net realized and unrealized gain/(loss) | | | | 0.21 | | | | | (0.31 | ) | | | | (0.07 | ) | | | | 0.26 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Income from Investment Operations | | | | 0.39 | | | | | 0.05 | | | | | 0.27 | | | | | 0.52 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.18 | ) | | | | (0.36 | ) | | | | (0.34 | ) | | | | (0.23 | ) | | | | | |
From net capital gains | | | | — | | | | | (0.01 | ) | | | | (0.09 | ) | | | | (0.01 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | | (0.18 | ) | | | | (0.37 | ) | | | | (0.43 | ) | | | | (0.24 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 10.01 | | | | $ | 9.80 | | | | $ | 10.12 | | | | $ | 10.28 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | 3.96 | % | | | | 0.53 | % | | | | 2.63 | % | | | | 5.29 | %2 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 173,820 | | | | $ | 139,472 | | | | $ | 138,190 | | | | $ | 115,448 | | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 0.73 | %3 | | | | 0.73 | % | | | | 0.74 | % | | | | 0.81 | %3 | | | | | |
After expense waivers and reimbursements | | | | 0.70 | %3 | | | | 0.70 | % | | | | 0.68 | % | | | | 0.65 | %3 | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 3.53 | %3 | | | | 3.61 | % | | | | 3.33 | % | | | | 3.34 | %3 | | | | | |
Portfolio Turnover Rate | | | | 20 | %2 | | | | 66 | % | | | | 49 | % | | | | 67 | %2 | | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
See accompanying notes to financial statements.
|
| 173 / Semi-Annual Report September 2016 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | STRATEGIC | | |
| | | INCOME FUND CLASS M | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2016
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2016 | | YEAR
ENDED
MARCH 31,
2015 | | YEAR
ENDED
MARCH 31,
2014 | | YEAR
ENDED
MARCH 31,
2013 | | YEAR
ENDED
MARCH 31,
2012 | |
Net Asset Value, Beginning of Period | | | $ | 7.99 | | | | $ | 8.32 | | | | $ | 8.29 | | | | $ | 8.32 | | | | $ | 7.82 | | | | $ | 8.21 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | 0.15 | | | | | 0.28 | | | | | 0.18 | | | | | 0.22 | | | | | 0.39 | | | | | 0.44 | | | | | | |
Net realized and unrealized gain/(loss) | | | | 0.08 | | | | | (0.33 | ) | | | | 0.02 | | | | | (0.02 | ) | | | | 0.51 | | | | | (0.36 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Income/(Loss) from Investment Operations | | | | 0.23 | | | | | (0.05 | ) | | | | 0.20 | | | | | 0.20 | | | | | 0.90 | | | | | 0.08 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.14 | ) | | | | (0.28 | ) | | | | (0.17 | ) | | | | (0.23 | ) | | | | (0.40 | ) | | | | (0.47 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | | (0.14 | ) | | | | (0.28 | ) | | | | (0.17 | ) | | | | (0.23 | ) | | | | (0.40 | ) | | | | (0.47 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 8.08 | | | | $ | 7.99 | | | | $ | 8.32 | | | | $ | 8.29 | | | | $ | 8.32 | | | | $ | 7.82 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | 2.90 | % | | | | (0.57 | )% | | | | 2.37 | % | | | | 2.42 | % | | | | 11.80 | % | | | | 1.11 | % | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period
(in thousands) | | | $ | 71,074 | | | | $ | 59,072 | | | | $ | 73,453 | | | | $ | 73,180 | | | | $ | 36,823 | | | | $ | 20,882 | | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 1.84 | %2 | | | | 1.87 | % | | | | 2.41 | % | | | | 2.26 | % | | | | 2.16 | % | | | | 2.14 | % | | | | | |
After expense waivers and reimbursements | | | | 1.84 | %2 | | | | 1.87 | % | | | | 2.35 | % | | | | 2.26 | % | | | | 2.16 | % | | | | 2.14 | % | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 3.66 | %2 | | | | 3.46 | % | | | | 2.20 | % | | | | 2.62 | % | | | | 4.85 | % | | | | 5.52 | % | | | | | |
Portfolio Turnover Rate | | | | 11 | %3 | | | | 20 | % | | | | 32 | % | | | | 51 | % | | | | 50 | % | | | | 70 | % | | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
See accompanying notes to financial statements.
|
| Semi-Annual Report September 2016 / 174 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | STRATEGIC | | |
| | | INCOME FUND CLASS I | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2016
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2016 | | YEAR
ENDED
MARCH 31,
2015 | | YEAR
ENDED
MARCH 31,
2014 | | YEAR
ENDED
MARCH 31,
2013 | | YEAR
ENDED
MARCH 31,
2012 | |
Net Asset Value, Beginning of Period | | | $ | 7.98 | | | | $ | 8.31 | | | | $ | 8.29 | | | | $ | 8.32 | | | | $ | 7.82 | | | | $ | 8.21 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | 0.16 | | | | | 0.31 | | | | | 0.20 | | | | | 0.25 | | | | | 0.42 | | | | | 0.49 | | | | | | |
Net realized and unrealized gain/(loss) | | | | 0.08 | | | | | (0.33 | ) | | | | — | | | | | (0.03 | ) | | | | 0.50 | | | | | (0.39 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Income/(Loss) from Investment Operations | | | | 0.24 | | | | | (0.02 | ) | | | | 0.20 | | | | | 0.22 | | | | | 0.92 | | | | | 0.10 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.15 | ) | | | | (0.31 | ) | | | | (0.18 | ) | | | | (0.25 | ) | | | | (0.42 | ) | | | | (0.49 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | | (0.15 | ) | | | | (0.31 | ) | | | | (0.18 | ) | | | | (0.25 | ) | | | | (0.42 | ) | | | | (0.49 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 8.07 | | | | $ | 7.98 | | | | $ | 8.31 | | | | $ | 8.29 | | | | $ | 8.32 | | | | $ | 7.82 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | 3.03 | % | | | | (0.25 | )% | | | | 2.49 | % | | | | 2.69 | % | | | | 12.08 | % | | | | 1.36 | % | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 69,387 | | | | $ | 61,018 | | | | $ | 90,718 | | | | $ | 146,485 | | | | $ | 178,751 | | | | $ | 162,947 | | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 1.57 | %2 | | | | 1.54 | % | | | | 2.10 | % | | | | 1.99 | % | | | | 1.91 | % | | | | 1.89 | % | | | | | |
After expense waivers and reimbursements | | | | 1.57 | %2 | | | | 1.54 | % | | | | 2.10 | % | | | | 1.99 | % | | | | 1.91 | % | | | | 1.89 | % | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 3.92 | %2 | | | | 3.78 | % | | | | 2.37 | % | | | | 3.07 | % | | | | 5.18 | % | | | | 6.19 | % | | | | | |
Portfolio Turnover Rate | | | | 11 | %3 | | | | 20 | % | | | | 32 | % | | | | 51 | % | | | | 50 | % | | | | 70 | % | | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
See accompanying notes to financial statements.
|
| 175 / Semi-Annual Report September 2016 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | ALPHATRAK | | |
| | | 500 FUND CLASS M | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2016
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2016 | | YEAR
ENDED
MARCH 31,
2015 | | YEAR
ENDED
MARCH 31,
2014 | | YEAR
ENDED
MARCH 31,
2013 | | YEAR
ENDED
MARCH 31,
2012 | |
Net Asset Value, Beginning of Period | | | $ | 7.22 | | | | $ | 7.22 | | | | $ | 6.48 | | | | $ | 5.35 | | | | $ | 4.63 | | | | $ | 4.48 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | 0.10 | | | | | 0.02 | | | | | 0.04 | | | | | 0.08 | | | | | 0.07 | | | | | 0.11 | | | | | | |
Net realized and unrealized gain | | | | 0.65 | | | | | 0.02 | | | | | 0.76 | | | | | 1.13 | | | | | 0.71 | | | | | 0.21 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Income from Investment Operations | | | | 0.75 | | | | | 0.04 | | | | | 0.80 | | | | | 1.21 | | | | | 0.78 | | | | | 0.32 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.10 | ) | | | | (0.04 | ) | | | | (0.06 | ) | | | | (0.08 | ) | | | | (0.06 | ) | | | | (0.09 | ) | | | | | |
From return of capital | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | (0.08 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | | (0.10 | ) | | | | (0.04 | ) | | | | (0.06 | ) | | | | (0.08 | ) | | | | (0.06 | ) | | | | (0.17 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 7.87 | | | | $ | 7.22 | | | | $ | 7.22 | | | | $ | 6.48 | | | | $ | 5.35 | | | | $ | 4.63 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | 10.36 | % | | | | 0.53 | % | | | | 12.37 | % | | | | 22.75 | % | | | | 16.88 | % | | | | 7.35 | % | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period
(in thousands) | | | $ | 3,102 | | | | $ | 2,406 | | | | $ | 9,735 | | | | $ | 5,324 | | | | $ | 6,156 | | | | $ | 5,140 | | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 6.58 | %2 | | | | 2.64 | % | | | | 2.65 | % | | | | 2.98 | % | | | | 2.94 | % | | | | 2.09 | % | | | | | |
After expense waivers and reimbursements | | | | 0.90 | %2 | | | | 0.90 | % | | | | 0.90 | % | | | | 0.90 | % | | | | 0.91 | %3 | | | | 0.97 | % | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 2.62 | %2 | | | | 0.31 | % | | | | 0.54 | % | | | | 1.43 | % | | | | 1.45 | % | | | | 2.75 | % | | | | | |
Portfolio Turnover Rate | | | | 57 | %4 | | | | 59 | % | | | | 30 | % | | | | 50 | % | | | | 41 | % | | | | 31 | % | | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
| 3 | 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 have been 0.90%. |
See accompanying notes to financial statements.
|
| Semi-Annual Report September 2016 / 176 |
Notes to Financial Statements
September 30, 2016 (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. The Trust 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 July 31, 2011. The High Yield 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 September 30, 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 Financial Accounting 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.
177 / Semi-Annual Report September 2016
Notes to Financial Statements (Continued)
The Alpha Trak 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.
Basis of Consolidation:
The accompanying consolidated financial statements include the account of Metropolitan West HY Sub I, LLC (the “U.S. Subsidiary”), which is wholly owned taxable subsidiary of the High Yield Bond Fund. The U.S. Subsidiary enables the High Yield Bond Fund to hold investments in operating companies and satisfy regulated investment company tax requirements. Income earned and gains realized on the investments held by the U.S. Subsidiary are taxable to such subsidiary. A tax provision for income, if any, is shown as income tax in the Consolidated Statements of Operations for the High Yield Bond Fund. A tax provision for realized and unrealized gains, if any, is included as a reduction of realized and/or unrealized gain (loss) in the Consolidated Statements of Operations for the High Yield Bond Fund. The High Yield Bond Fund may invest up to 25% of its total assets in the U.S. Subsidiary. Intercompany accounts and transactions have been eliminated. The U.S. Subsidiary is subject to the same investment policies and restrictions that apply to the High Yield Bond Fund.
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 Trust:
Net Asset Value:
The Net Asset Value (“NAV”) 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. 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. Equity options are valued at the average of the bid and asked prices. 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 NAV 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 the Adviser. When the Funds use these fair valuation methods applied by the Adviser that use
Semi-Annual Report September 2016 / 178
Notes to Financial Statements (Continued)
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 Trust’s policy is intended to result in a calculation of a 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.
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 NAV calculation on the first business day following the trade date. However, for financial reporting purposes, portfolio securities transactions are reported on the 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 Alpha Trak 500 Fund) expect to declare dividends daily and pay them monthly to shareholders. The Alpha Trak 500 Fund expects to declare and pay dividends 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 filed for the prior three and four fiscal years, respectively.
As of and during the six months ended September 30, 2016, 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 year, the Funds did not incur any interest or penalties.
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.
179 / Semi-Annual Report September 2016
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 NAV, they are categorized in Level 1 of the fair value hierarchy.
Short-term investments. Short-term investments (commercial paper and repurchase agreements) are valued using market price quotations, and are reflected 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 2016 / 180
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, 2016, Level 3 securities consist of certain asset-backed and mortgage-backed securities, bank loans, common stocks and corporate bonds.
181 / Semi-Annual Report September 2016
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, 2016 is as follows:
| | | | | | | | | | | | | | | | | | | | | | | | |
ULTRA SHORT BOND FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTAL | |
Investments in Securities | | | | | | | | | | | | | | | | | | | | | | | | |
Assets | | | | | | | | | | | | | | | | | | | | | | | | |
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | |
Commercial Paper | | | | | $ — | | | | | | $ 481,283 | | | | | | $ — | | | | | | $ 481,283 | |
Foreign Government Obligations | | | | | — | | | | | | 6,027,301 | | | | | | — | | | | | | 6,027,301 | |
Money Market Funds | | | | | 63,000 | | | | | | — | | | | | | — | | | | | | 63,000 | |
U.S. Agency Discount Notes | | | | | — | | | | | | 399,972 | | | | | | — | | | | | | 399,972 | |
U.S. Treasury Bills | | | | | 2,637,873 | | | | | | — | | | | | | — | | | | | | 2,637,873 | |
Long-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | | | | — | | | | | | 3,069,436 | | | | | | — | | | | | | 3,069,436 | |
Corporates | | | | | — | | | | | | 27,935,268 | | | | | | — | | | | | | 27,935,268 | |
Mortgage-Backed | | | | | — | | | | | | 68,225,680 | | | | | | 44,560 | | | | | | 68,270,240 | |
U.S. Treasury Securities | | | | | 34,452,017 | | | | | | — | | | | | | — | | | | | | 34,452,017 | |
| | | | | | | | |
Other Financial Instruments * | | | | | | | | | | | | | | | | | | | | | | | | |
Assets: | | | | | | | | | | | | | | | | | | | | | | | | |
Foreign currency exchange contracts | | | | | — | | | | | | 5,679 | | | | | | — | | | | | | 5,679 | |
Liabilities: | | | | | | | | | | | | | | | | | | | | | | | | |
Foreign currency exchange contracts | | | | | — | | | | | | (16,618) | | | | | | — | | | | | | (16,618) | |
| | | | | | | | |
Total | | | | | $37,152,890 | | | | | | $106,128,001 | | | | | | $44,560 | | | | | | $143,325,451 | |
|
| *Other financial instruments include foreign currency exchange contracts. | |
Semi-Annual Report September 2016 / 182
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
LOW DURATION BOND FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTAL | |
Investments in Securities | | | | | | | | | | | | | | | | | | | | | | | | |
Assets | | | | | | | | | | | | | | | | | | | | | | | | |
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | |
Commercial Paper | | | | | $ — | | | | | | $ 5,288,097 | | | | | | $ — | | | | | | $ 5,288,097 | |
Foreign Government Obligations | | | | | — | | | | | | 130,803,158 | | | | | | — | | | | | | 130,803,158 | |
Money Market Funds | | | | | 2,605,864 | | | | | | — | | | | | | — | | | | | | 2,605,864 | |
U.S. Treasury Bills | | | | | 6,671,905 | | | | | | — | | | | | | — | | | | | | 6,671,905 | |
Long-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | | | | — | | | | | | 239,710,759 | | | | | | — | | | | | | 239,710,759 | |
Bank Loans | | | | | — | | | | | | 7,887,601 | | | | | | 2,022,304 | | | | | | 9,909,905 | |
Corporates | | | | | — | | | | | | 596,095,677 | | | | | | 2,279,497 | | | | | | 598,375,174 | |
Mortgage-Backed | | | | | — | | | | | | 1,073,759,525 | | | | | | 5,073,041 | | | | | | 1,078,832,566 | |
Municipal Bonds | | | | | — | | | | | | 10,669,720 | | | | | | — | | | | | | 10,669,720 | |
Purchased Swaptions | | | | | — | | | | | | 41,877 | | | | | | — | | | | | | 41,877 | |
U.S. Treasury Securities | | | | | 1,146,855,833 | | | | | | — | | | | | | — | | | | | | 1,146,855,833 | |
| | | | | | | | |
Other Financial Instruments * | | | | | | | | | | | | | | | | | | | | | | | | |
Assets: | | | | | | | | | | | | | | | | | | | | | | | | |
Foreign currency exchange contracts | | | | | — | | | | | | 151,011 | | | | | | — | | | | | | 151,011 | |
Interest rate contracts | | | | | 36,302 | | | | | | — | | | | | | — | | | | | | 36,302 | |
Liabilities: | | | | | | | | | | | | | | | | | | | | | | | | |
Foreign currency exchange contracts | | | | | — | | | | | | (1,944,797 | ) | | | | | — | | | | | | (1,944,797 | ) |
Interest rate contracts | | | | | — | | | | | | (20,829) | | | | | | — | | | | | | (20,829) | |
| | | | | | | | |
Total | | | | | $ 1,156,169,904 | | | | | | $ 2,062,441,799 | | | | | | $ 9,374,842 | | | | | | $ 3,227,986,545 | |
|
| *Other financial instruments include foreign currency exchange contracts, futures and written swaptions. Interest rate contracts include futures and written swaptions. | |
183 / Semi-Annual Report September 2016
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
INTERMEDIATE BOND FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTAL | |
Investments in Securities | | | | | | | | | | | | | | | | | | | | | | | | |
Assets | | | | | | | | | | | | | | | | | | | | | | | | |
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | |
Commercial Paper | | | | | $ — | | | | | | $ 1,684,491 | | | | | | $ — | | | | | | $ 1,684,491 | |
Foreign Government Obligations | | | | | — | | | | | | 52,460,494 | | | | | | — | | | | | | 52,460,494 | |
Money Market Funds | | | | | 2,475,163 | | | | | | — | | | | | | — | | | | | | 2,475,163 | |
U.S. Agency Discount Notes | | | | | — | | | | | | 8,998,164 | | | | | | — | | | | | | 8,998,164 | |
U.S. Treasury Bills | | | | | 48,436,367 | | | | | | — | | | | | | — | | | | | | 48,436,367 | |
Long-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | | | | — | | | | | | 84,238,207 | | | | | | — | | | | | | 84,238,207 | |
Bank Loans | | | | | — | | | | | | 3,713,142 | | | | | | — | | | | | | 3,713,142 | |
Corporates | | | | | — | | | | | | 357,973,583 | | | | | | 166,951 | | | | | | 358,140,534 | |
Mortgage-Backed | | | | | — | | | | | | 246,399,808 | | | | | | 608,128 | | | | | | 247,007,936 | |
Municipal Bonds | | | | | — | | | | | | 1,924,115 | | | | | | — | | | | | | 1,924,115 | |
U.S. Treasury Securities | | | | | 504,683,801 | | | | | | 18,049,733 | | | | | | — | | | | | | 522,733,534 | |
| | | | | | | | |
Other Financial Instruments * | | | | | | | | | | | | | | | | | | | | | | | | |
Assets: | | | | | | | | | | | | | | | | | | | | | | | | |
Foreign currency exchange contracts | | | | | — | | | | | | 37,080 | | | | | | — | | | | | | 37,080 | |
Liabilities: | | | | | | | | | | | | | | | | | | | | | | | | |
Foreign currency exchange contracts | | | | | — | | | | | | (750,271) | | | | | | — | | | | | | (750,271) | |
Interest rate contracts | | | | | (68,232) | | | | | | — | | | | | | — | | | | | | (68,232) | |
| | | | | | | | |
Total | | | | | $ 555,527,099 | | | | | | $ 774,728,546 | | | | | | $ 775,079 | | | | | | | |
*Other financial instruments include foreign currency exchange contracts and futures. Interest rate contracts include futures.
Semi-Annual Report September 2016 / 184
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 | | | | | $ — | | | | | | $ 506,702,032 | | | | | | $ — | | | | | | $ 506,702,032 | |
Foreign Government Obligations | | | | | — | | | | | | 3,162,075,482 | | | | | | — | | | | | | 3,162,075,482 | |
Money Market Funds | | | | | 127,289,094 | | | | | | — | | | | | | — | | | | | | 127,289,094 | |
Repurchase Agreements | | | | | — | | | | | | 350,000,000 | | | | | | — | | | | | | 350,000,000 | |
U.S. Agency Discount Notes | | | | | — | | | | | | 2,535,832,863 | | | | | | — | | | | | | 2,535,832,863 | |
U.S. Treasury Bills | | | | | 3,966,465,432 | | | | | | — | | | | | | — | | | | | | 3,966,465,432 | |
Long-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | | | | — | | | | | | 4,891,114,853 | | | | | | 24,287,941 | | | | | | 4,915,402,794 | |
Bank Loans | | | | | — | | | | | | 161,341,489 | | | | | | 12,384,068 | | | | | | 173,725,557 | |
Call Options Purchased | | | | | 7,968,750 | | | | | | — | | | | | | — | | | | | | 7,968,750 | |
Corporates | | | | | — | | | | | | 17,449,839,334 | | | | | | 55,661,449 | | | | | | 17,505,500,783 | |
Mortgage-Backed | | | | | — | | | | | | 31,816,154,478 | | | | | | 23,280,653 | | | | | | 31,839,435,131 | |
Municipal Bonds | | | | | — | | | | | | 614,747,249 | | | | | | — | | | | | | 614,747,249 | |
Put Options Purchased | | | | | 4,000,000 | | | | | | — | | | | | | — | | | | | | 4,000,000 | |
U.S. Agency Securities | | | | | — | | | | | | 1,186,149,396 | | | | | | — | | | | | | 1,186,149,396 | |
U.S. Treasury Securities | | | | | 19,440,859,814 | | | | | | 2,434,539,467 | | | | | | — | | | | | | 21,875,399,281 | |
| | | | | | | | |
Other Financial Instruments * | | | | | | | | | | | | | | | | | | | | | | | | |
Assets: | | | | | | | | | | | | | | | | | | | | | | | | |
Foreign currency exchange contracts | | | | | — | | | | | | 1,854,893 | | | | | | — | | | | | | 1,854,893 | |
Interest rate contracts | | | | | 5,303,721 | | | | | | — | | | | | | — | | | | | | 5,303,721 | |
Liabilities: | | | | | | | | | | | | | | | | | | | | | | | | |
Foreign currency exchange contracts | | | | | — | | | | | | (50,719,161) | | | | | | — | | | | | | (50,719,161) | |
Interest rate contracts | | | | | (10,529,564) | | | | | | (78,475,796) | | | | | | — | | | | | | (89,005,360) | |
| | | | | | | | |
Total | | | | | $23,541,357,247 | | | | | | $64,981,156,579 | | | | | | $115,614,111 | | | | | | $88,638,127,937 | |
*Other financial instruments include foreign currency exchange contracts, futures, swap contracts and written options. Interest rate contracts include futures, interest rate swaps and written options.
185 / Semi-Annual Report September 2016
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 | | | | | $ 792,000 | | | | | | $ — | | | | | | $ — | | | | | | $ 792,000 | |
U.S. Agency Discount Notes | | | | | — | | | | | | 13,998,635 | | | | | | — | | | | | | 13,998,635 | |
U.S. Treasury Bills | | | | | 67,640,931 | | | | | | — | | | | | | — | | | | | | 67,640,931 | |
Long-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | |
Bank Loans | | | | | — | | | | | | 64,740,872 | | | | | | 23,444,611 | | | | | | 88,185,483 | |
Common Stock | | | | | — | | | | | | — | | | | | | 1,621,624 | | | | | | 1,621,624 | |
Corporates* | | | | | — | | | | | | 705,213,149 | | | | | | 17,176,759 | | | | | | 722,389,908 | |
Mortgage-Backed | | | | | — | | | | | | 7,031,554 | | | | | | — | | | | | | 7,031,554 | |
Warrant | | | | | — | | | | | | — | | | | | | 59,405 | | | | | | 59,405 | |
| | | | | | | | |
Other Financial Instruments ** | | | | | | | | | | | | | | | | | | | | | | | | |
Assets: | | | | | | | | | | | | | | | | | | | | | | | | |
Credit contracts | | | | | — | | | | | | 49,024 | | | | | | — | | | | | | 49,024 | |
Liabilities: | | | | | | | | | | | | | | | | | | | | | | | | |
Credit contracts | | | | | — | | | | | | (58,014) | | | | | | — | | | | | | (58,014) | |
| | | | | | | | |
Total | | | | | $ 68,432,931 | | | | | | $ 790,975,220 | | | | | | $ 42,302,399 | | | | | | $ 901,710,550 | |
*As of September 30, 2016, Momentive Performance Materials, Inc. and Seventy Seven Energy, Inc. had a $0 market value. **Other financial instruments include swap contracts. Credit contracts include credit default swaps. | |
Semi-Annual Report September 2016 / 186
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
UNCONSTRAINED BOND FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTAL | |
Investments in Securities | | | | | | | | | | | | | | | | | | | | | | | | |
Assets | | | | | | | | | | | | | | | | | | | | | | | | |
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | |
Commercial Paper | | | | | $ — | | | | | | $ 12,093,024 | | | | | | $ — | | | | | | $ 12,093,024 | |
Foreign Government Obligations | | | | | — | | | | | | 99,487,783 | | | | | | — | | | | | | 99,487,783 | |
Money Market Funds | | | | | 1,459,886 | | | | | | — | | | | | | — | | | | | | 1,459,886 | |
U.S. Agency Discount Notes | | | | | — | | | | | | 15,998,568 | | | | | | — | | | | | | 15,998,568 | |
U.S. Treasury Bills | | | | | 147,730,222 | | | | | | — | | | | | | — | | | | | | 147,730,222 | |
Long-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | | | | — | | | | | | 312,051,342 | | | | | | — | | | | | | 312,051,342 | |
Bank Loans | | | | | — | | | | | | 8,666,937 | | | | | | 4,691,334 | | | | | | 13,358,271 | |
Common Stock | | | | | 8,991,644 | | | | | | — | | | | | | — | | | | | | 8,991,644 | |
Corporates | | | | | — | | | | | | 622,088,180 | | | | | | 4,733,455 | | | | | | 626,821,635 | |
Foreign Government Obligations | | | | | — | | | | | | 36,544,884 | | | | | | — | | | | | | 36,544,884 | |
Mortgage-Backed | | | | | — | | | | | | 1,021,994,863 | | | | | | 31,594,379 | | | | | | 1,053,589,242 | |
Municipal Bonds | | | | | — | | | | | | 5,663,192 | | | | | | — | | | | | | 5,663,192 | |
U.S. Agency Securities | | | | | — | | | | | | 41,564,453 | | | | | | — | | | | | | 41,564,453 | |
U.S. Treasury Securities | | | | | 109,592,791 | | | | | | — | | | | | | — | | | | | | 109,592,791 | |
| | | | | | | | |
Other Financial Instruments * | | | | | | | | | | | | | | | | | | | | | | | | |
Assets: | | | | | | | | | | | | | | | | | | | | | | | | |
Foreign currency exchange contracts | | | | | — | | | | | | 111,588 | | | | | | — | | | | | | 111,588 | |
Interest rate contracts | | | | | 986,564 | | | | | | — | | | | | | — | | | | | | 986,564 | |
Liabilities: | | | | | | | | | | | | | | | | | | |
Foreign currency exchange contracts | | | | | — | | | | | | (865,321) | | | | | | — | | | | | | (865,321) | |
Interest rate contracts | | | | | (43,800) | | | | | | — | | | | | | — | | | | | | (43,800) | |
| | | | | | | | |
Total | | | | | $ 268,717,307 | | | | | | $ 2,175,399,493 | | | | | | $ 41,019,168 | | | | | | $ 2,485,135,968 | |
|
*Other financial instruments include futures and foreign currency exchange contracts. Interest rate contracts include futures. | |
187 / Semi-Annual Report September 2016
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
FLOATING RATE INCOME FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTAL | |
Investments in Securities | | | | | | | | | | | | | | | | | | | | | | | | |
Assets | | | | | | | | | | | | | | | | | | | | | | | | |
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | |
Foreign Government Obligations | | | | | $ — | | | | | | $ 5,437,100 | | | | | | $ — | | | | | | $ 5,437,100 | |
Money Market Funds | | | | | 3,319,000 | | | | | | — | | | | | | — | | | | | | 3,319,000 | |
U.S. Agency Discount Notes | | | | | — | | | | | | 6,999,485 | | | | | | — | | | | | | 6,999,485 | |
U.S. Treasury Bills | | | | | 14,388,945 | | | | | | — | | | | | | — | | | | | | 14,388,945 | |
Long-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | |
Bank Loans | | | | | — | | | | | | 130,250,632 | | | | | | 13,472,032 | | | | | | 143,722,664 | |
Corporates | | | | | — | | | | | | 16,350,429 | | | | | | — | | | | | | 16,350,429 | |
| | | | | | | | |
Other Financial Instruments * | | | | | | | | | | | | | | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | | | | | | | | | | | | | |
Foreign currency exchange contracts | | | | | — | | | | | | (17,021) | | | | | | — | | | | | | (17,021) | |
| | | | | | | | |
Total | | | | | $17,707,945 | | | | | | $159,020,625 | | | | | | $13,472,032 | | | | | | $190,200,602 | |
|
*Other financial instruments include foreign currency exchange contracts. | |
Semi-Annual Report September 2016 / 188
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
STRATEGIC INCOME FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTAL | |
Investments in Securities | | | | | | | | | | | | | | | | | | | | | | | | |
Assets | | | | | | | | | | | | | | | | | | | | | | | | |
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | |
Foreign Government Obligations | | | | | $ — | | | | | | $ 5,335,329 | | | | | | $ — | | | | | | $ 5,335,329 | |
Money Market Funds | | | | | 114,000 | | | | | | — | | | | | | — | | | | | | 114,000 | |
U.S. Agency Discount Notes | | | | | — | | | | | | 599,967 | | | | | | — | | | | | | 599,967 | |
U.S. Treasury Bills | | | | | 31,729,956 | | | | | | — | | | | | | — | | | | | | 31,729,956 | |
Long-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | | | | — | | | | | | 17,959,925 | | | | | | 372,236 | | | | | | 18,332,161 | |
Bank Loans | | | | | — | | | | | | 220,318 | | | | | | — | | | | | | 220,318 | |
Common Stock | | | | | 760,086 | | | | | | — | | | | | | 29,644 | | | | | | 789,730 | |
Corporates | | | | | — | | | | | | 24,077,470 | | | | | | — | | | | | | 24,077,470 | |
Mortgage-Backed | | | | | — | | | | | | 57,024,711 | | | | | | 908,670 | | | | | | 57,933,381 | |
U.S. Agency Securities | | | | | — | | | | | | 1,120,870 | | | | | | — | | | | | | 1,120,870 | |
| | | | | | | | |
Other Financial Instruments * | | | | | | | | | | | | | | | | | | | | | | | | |
Assets: | | | | | | | | | | | | | | | | | | | | | | | | |
Foreign currency exchange contracts | | | | | — | | | | | | 8,686 | | | | | | — | | | | | | 8,686 | |
Interest rate contracts | | | | | 322 | | | | | | — | | | | | | — | | | | | | 322 | |
Liabilities: | | | | | | | | | | | | | | | | | | | | | | | | |
Foreign currency exchange contracts | | | | | — | | | | | | (10,070) | | | | | | — | | | | | | (10,070) | |
Interest rate contracts | | | | | (9,356) | | | | | | — | | | | | | — | | | | | | (9,356) | |
| | | | | | | | |
Total | | | | | $32,595,008 | | | | | | $106,337,206 | | | | | | $1,310,550 | | | | | | $140,242,764 | |
*Other financial instruments include futures. Interest rate contracts include futures. | |
ALPHATRAK 500 FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTAL | |
Investments in Securities | | | | | | | | | | | | | | | | | | | | | | | | |
Assets | | | | | | | | | | | | | | | | | | | | | | | | |
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market Funds | | | | | $ 28,000 | | | | | | $ — | | | | | | $ — | | | | | | $ 28,000 | |
U.S. Treasury Bills | | | | | 839,286 | | | | | | — | | | | | | — | | | | | | 839,286 | |
Long-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | | | | — | | | | | | 301,633 | | | | | | — | | | | | | 301,633 | |
Corporates | | | | | — | | | | | | 765,644 | | | | | | — | | | | | | 765,644 | |
Mortgage-Backed | | | | | — | | | | | | 830,617 | | | | | | 65,517 | | | | | | 896,134 | |
Mutual Funds | | | | | 46,072 | | | | | | — | | | | | | — | | | | | | 46,072 | |
U.S. Treasury Securities | | | | | 129,965 | | | | | | — | | | | | | — | | | | | | 129,965 | |
| | | | | | | | |
Other Financial Instruments * | | | | | | | | | | | | | | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | | | | | | | | | | | | | |
Equity contracts | | | | | (21,811) | | | | | | — | | | | | | — | | | | | | (21,811) | |
| | | | | | | | |
Total | | | | | $1,021,512 | | | | | | $1,897,894 | | | | | | $65,517 | | | | | | $2,984,923 | |
*Other financial instruments include futures. Equity contracts include futures.
189 / Semi-Annual Report September 2016
Notes to Financial Statements (Continued)
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 from level 1 to level 2 or from level 2 to level 1 for the six months ended September 30, 2016.
For the six months ended September 30, 2016, 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, 2016 | | | | $49,149 | | | | | |
Accrued discounts/premiums | | | | (2,118 | ) | | | | |
Realized (loss) | | | | — | | | | | |
Change in unrealized appreciation/(depreciation)* | | | | (2,471 | ) | | | | |
Purchases | | | | — | | | | | |
Sales | | | | — | | | | | |
Transfers into Level 3** | | | | — | | | | | |
Transfers out of Level 3** | | | | — | | | | | |
Balance as of
September 30, 2016 | | | | $44,560 | | | | | |
|
*The change in unrealized appreciation/(depreciation) on securities still held at September 30, 2016 was $(2,471) 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, 2016. |
| | | | | | | | | | | | | | | | |
LOW DURATION BOND FUND | | BANK LOANS | | | CORPORATES | | | MORTGAGE-BACKED SECURITIES | | | | |
| | | | |
Balance as of
April 1, 2016 | | | $ — | | | | $ 4,019,898 | | | | $5,862,125 | | | | | |
Accrued discounts/premiums | | | — | | | | — | | | | (41,812 | ) | | | | |
Realized (loss) | | | — | | | | — | | | | — | | | | | |
Change in unrealized appreciation/(depreciation)* | | | — | | | | (1,174,601 | ) | | | (747,272 | ) | | | | |
Purchases | | | — | | | | — | | | | — | | | | | |
Sales | | | — | | | | (565,800 | ) | | | — | | | | | |
Transfers into Level 3** | | | 2,022,304 | | | | — | | | | — | | | | | |
Transfers out of Level 3** | | | — | | | | — | | | | — | | | | | |
Balance as of
September 30, 2016 | | | $2,022,304 | | | | $2,279,497 | | | | $5,073,041 | | | | | |
|
* The change in unrealized appreciation/(depreciation) on securities still held at September 30, 2016 was $(1,921,872) 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 March 31, 2016, the Fund used significant observable inputs in determining the value of certain investments. As of September 30, 2016, the Fund used unobservable inputs in determining the value of the same investments. As a result, investments with an end of period value of $2,022,304 transferred from level 2 to level 3 in the disclosure hierarchy. | |
Semi-Annual Report September 2016 / 190
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | |
INTERMEDIATE BOND FUND | | CORPORATES | | MORTGAGE-BACKED SECURITIES | | | | |
| | | | |
Balance as of
April 1, 2016 | | | | $283,594 | | | | | $682,507 | | | | | |
Accrued discounts/premiums | | | | — | | | | | (9,521 | ) | | | | |
Realized (loss) | | | | — | | | | | — | | | | | |
Change in unrealized appreciation/ (depreciation)* | | | | (105,293 | ) | | | | (64,858 | ) | | | | |
Purchases | | | | — | | | | | — | | | | | |
Sales | | | | (11,350 | ) | | | | — | | | | | |
Transfers into Level 3** | | | | — | | | | | — | | | | | |
Transfers out of Level 3** | | | | — | | | | | — | | | | | |
Balance as of
September 30, 2016 | | | | $166,951 | | | | | $608,128 | | | | | |
|
* The change in unrealized appreciation/(depreciation) on securities still held at September 30, 2016 was $(170,151) 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, 2016. |
| | | | | | | | | | | | | | | | | | | | |
TOTAL RETURN BOND FUND | | ASSET-BACKED SECURITIES | | BANK
LOANS | | CORPORATES | | MORTGAGE-BACKED
SECURITIES |
| | | | |
Balance as of
April 1, 2016 | | | | $28,370,192 | | | | | $52,190,000 | | | | | $65,454,924 | | | | | $26,027,198 | |
Accrued discounts/premiums | | | | — | | | | | — | | | | | 260,275 | | | | | (411,329 | ) |
Realized (loss) | | | | — | | | | | — | | | | | — | | | | | — | |
Change in unrealized appreciation/ (depreciation)* | | | | (4,082,251 | ) | | | | — | | | | | (13,463,635 | ) | | | | (2,335,216 | ) |
Purchases | | | | — | | | | | — | | | | | 6,644,825 | | | | | — | |
Sales | | | | — | | | | | (39,805,932 | ) | | | | (3,234,940 | ) | | | | — | |
Transfers into Level 3** | | | | — | | | | | — | | | | | — | | | | | — | |
Transfers out of Level 3** | | | | — | | | | | — | | | | | — | | | | | — | |
| | | | |
Balance as of
September 30, 2016 | | | | $24,287,941 | | | | | $12,384,068 | | | | | $55,661,449 | | | | | $23,280,653 | |
* The change in unrealized appreciation/(depreciation) on securities still held at September 30, 2016 was $(19,881,101) 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, 2016.
191 / Semi-Annual Report September 2016
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | |
HIGH YIELD BOND FUND | | BANK LOANS | | COMMON
STOCK | | CORPORATES | | WARRANT |
| | | | |
Balance as of
April 1, 2016 | | | | $ 27,771,571 | *** | | | | $1,253,454 | | | | | $22,270,665 | **** | | $ — |
Accrued discounts/premiums | | | | 9,341 | | | | | — | | | | | 132,407 | | | — |
Realized (loss) | | | | (519,805 | ) | | | | — | | | | | (1,292,757 | ) | | — |
Change in unrealized
appreciation/
(depreciation)* | | | | 2,237,568 | | | | | 335,350 | | | | | (5,030,565 | ) | | 9,284 |
Purchases | | | | — | | | | | 32,821 | | | | | 3,223,308 | | | 50,121 |
Sales | | | | (13,597,260 | ) | | | | — | | | | | (2,126,299 | ) | | — |
Transfers into Level 3** | | | | 7,543,196 | | | | | — | | | | | — | | | — |
Transfers out of Level 3** | | | | — | | | | | — | | | | | — | | | — |
| | | | |
Balance as of
September 30, 2016 | | | | $ 23,444,611 | | | | | $1,621,625 | | | | | $17,176,759 | **** | | $59,405 |
* The change in unrealized appreciation/(depreciation) on securities still held at September 30, 2016 was $(3,032,274) 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 March 31, 2016, the Fund used significant observable inputs in determining the value of certain investments. As of September 30, 2016, the Fund used unobservable inputs in determining the value of the same investments. As a result, investments with an end of period value of $7,543,196 transferred from level 2 to level 3 in the disclosure hierarchy. *** As of March 31, 2016, Boston Generating LLC, Term Loan, 1st Lien had a $0 market value. **** As of March 31, 2016 Momentive Performance Materials, Inc. had a $0 market value and as of September 30, 2016 Momentive Performance Materials, Inc. and Seventy Seven Energy, Inc. had a $0 market value. |
UNCONSTRAINED BOND FUND | | BANK
LOANS | | CORPORATES | | MORTGAGE-BACKED
SECURITIES | | |
| | | | |
Balance as of
April 1, 2016 | | | | $ 4,430,000 | | | | | $4,035,580 | | | | | $19,434,734 | | | |
Accrued discounts/premiums | | | | — | | | | | 36,943 | | | | | (281,564 | ) | | |
Realized gain | | | | — | | | | | 22,536 | | | | | — | | | |
Change in unrealized
appreciation/
(depreciation)* | | | | — | | | | | (1,413,394 | ) | | | | (2,169,365 | ) | | |
Purchases | | | | — | | | | | 2,317,000 | | | | | 14,610,574 | | | |
Sales | | | | (3,378,814 | ) | | | | (265,210 | ) | | | | — | | | |
Transfers into Level 3** | | | | 3,640,148 | | | | | — | | | | | — | | | |
Transfers out of Level 3** | | | | — | | | | | — | | | | | — | | | |
| | | | |
Balance as of
September 30, 2016 | | | | $ 4,691,334 | | | | | $4,733,455 | | | | | $31,594,379 | | | |
* The change in unrealized appreciation/(depreciation) on securities still held at September 30, 2016 was $(3,582,759) 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 March 31, 2016, the Fund used significant observable inputs in determining the value of certain investments. As of September 30, 2016, the Fund used unobservable inputs in determining the value of the same investments. As a result, investments with an end of period value of $3,640,148 transferred from level 2 to level 3 in the disclosure hierarchy. |
Semi-Annual Report September 2016 / 192
Notes to Financial Statements (Continued)
| | | | | | | | | |
FLOATING RATE
INCOME FUND | | BANK LOANS | | | | |
| | | |
Balance as of
April 1, 2016 | | | $ | 5,559,446 | | | | | |
Accrued discounts/premiums | | | | 4,779 | | | | | |
Realized gain | | | | (277,809 | ) | | | | |
Change in unrealized
appreciation/
(depreciation)* | | | | 1,113,275 | | | | | |
Purchases | | | | 2,417,965 | | | | | |
Sales | | | | (1,568,140 | ) | | | | |
Transfers into Level 3** | | | | 6,451,839 | | | | | |
Transfers out of Level 3** | | | | (229,323 | ) | | | | |
| | | | | | | | | |
| | | |
Balance as of
September 30, 2016 | | | $ | 13,472,032 | | | | | |
| | | | | | | | | |
* The change in unrealized appreciation/(depreciation) on securities still held at September 30, 2016 was $963,337 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 March 31, 2016, the Fund used significant observable inputs in determining the value of certain investments. As of September 30, 2016, the Fund used unobservable inputs in determining the value of the same investments. As a result, investments with an end of period value of $6,451,839 transferred from level 2 to level 3 and investments with an end of period value of $229,323 transferred from level 3 to level 2 in the disclosure hierarchy. |
| | | | | | | | | | | | | | | | | | | | |
STRATEGIC INCOME FUND | | ASSET-BACKED
SECURITIES | | BANK
LOANS | | COMMON
STOCK | | MORTGAGE-BACKED SECURITIES |
Balance as of
April 1, 2016 | | | $ | 402,078 | | | | $ | — | *** | | | $ | 26,821 | | | | | $ 1,005,180 | |
Accrued discounts/premiums | | | | 184 | | | | | — | | | | | — | | | | | 21,080 | |
Realized (loss) | | | | — | | | | | (107,166 | ) | | | | — | | | | | — | |
Change in unrealized
appreciation/
(depreciation)* | | | | (30,026 | ) | | | | 107,166 | | | | | 2,823 | | | | | (117,590 | ) |
Purchases | | | | — | | | | | — | | | | | — | | | | | — | |
Sales | | | | — | | | | | — | | | | | — | | | | | — | |
Transfers into Level 3** | | | | — | | | | | — | | | | | — | | | | | — | |
Transfers out of Level 3** | | | | — | | | | | — | | | | | — | | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
Balance as of
September 30, 2016 | | | $ | 372,236 | | | | $ | — | | | | $ | 29,644 | | | | | $ 908,670 | |
| | | | | | | | | | | | | | | | | | | | |
| | |
* The change in unrealized appreciation/(depreciation) on securities still held at September 30, 2016 was $(144,792) 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, 2016. |
|
*** As of March 31, 2016, Boston Generating LLC, Term Loan, 1st Lien had a $0 market value. |
193 / Semi-Annual Report September 2016
Notes to Financial Statements (Continued)
| | | | | | | | | |
ALPHATRAK 500 FUND | | MORTGAGE-BACKED
SECURITIES | | | | |
Balance as of
April 1, 2016 | | | $ | 70,638 | | | | | |
Accrued discounts/premiums | | | | (3,154 | ) | | | | |
Realized (loss) | | | | — | | | | | |
Change in unrealized
appreciation/
(depreciation)* | | | | (14,272 | ) | | | | |
Purchases | | | | 12,305 | | | | | |
Sales | | | | — | | | | | |
Transfers into Level 3** | | | | — | | | | | |
Transfers out of Level 3** | | | | — | | | | | |
| | | | | | | | | |
Balance as of
September 30, 2016 | | | $ | 65,517 | | | | | |
| | | | | | | | | |
| | |
* The change in unrealized appreciation/(depreciation) on securities still held at September 30, 2016 was $(14,272) 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, 2016. |
Significant unobservable valuations inputs for Level 3 investments as of September 30, 2016, are as follows:
| | | | | | | | | | |
ULTRA SHORT BOND FUND | | FAIR VALUE
AT 9/30/16 | | VALUATION
TECHNIQUE* | | UNOBSERVABLE
INPUT | | RANGE | | WEIGHTED
AVERAGE |
Mortgage-Backed Securities-Non- Agency | | $44,560 | | Third-party Vendor | | Vendor Prices | | 1.40 - 9.75 | | 1.42 |
LOW DURATION BOND FUND | | FAIR VALUE
AT 9/30/16 | | VALUATION
TECHNIQUE* | | UNOBSERVABLE
INPUT | | RANGE | | WEIGHTED
AVERAGE |
Bank Loans | | $2,022,304 | | Third-party Vendor | | Vendor Prices | | 82.33 | | 82.33 |
Corporate Securities | | $2,279,497 | | Third-party Vendor | | Vendor Prices | | 37.50 | | 37.50 |
Mortgage-Backed Securities- Commercial Mortgage-Backed | | $1,681,068 | | Third-party Vendor | | Vendor Prices | | 6.89 | | 6.89 |
Mortgage-Backed Securities-Non- Agency | | $3,391,973 | | Third-party Vendor | | Vendor Prices | | 2.07 | | 2.07 |
INTERMEDIATE BOND FUND | | FAIR VALUE
AT 9/30/16 | | VALUATION
TECHNIQUE* | | UNOBSERVABLE
INPUT | | RANGE | | WEIGHTED
AVERAGE |
Corporate Securities | | $166,951 | | Third-party Vendor | | Vendor Prices | | 36.50 | | 36.50 |
Mortgage-Backed Securities- Commercial Mortgage-Backed | | $607,771 | | Third-party Vendor | | Vendor Prices | | 6.89 | | 6.89 |
Mortgage-Backed Securities-Non- Agency | | $357 | | Third-party Vendor | | Vendor Prices | | 9.75 | | 9.75 |
Semi-Annual Report September 2016 / 194
Notes to Financial Statements (Continued)
| | | | | | | | | | |
TOTAL RETURN BOND FUND | | FAIR VALUE
AT 9/30/16 | | VALUATION
TECHNIQUE* | | UNOBSERVABLE
INPUT | | RANGE | | WEIGHTED
AVERAGE |
Asset-Backed Securities | | $24,287,941 | | Benchmark Pricing | | Offered Quote | | 83.00 - 85.00 | | 83.91 |
Bank Loans | | $12,384,068 | | Third-party Vendor | | Vendor Prices | | 100.00 | | 100.00 |
Corporate Securities | | $55,661,449 | | Third-party Vendor | | Vendor Prices | | 36.50 - 103.91 | | 67.90 |
Mortgage-Backed Securities- Commercial Mortgage-Backed | | $91,930 | | Third-party Vendor | | Vendor Prices | | 1.39 | | 1.39 |
Mortgage-Backed Securities-Non- Agency | | $23,188,723 | | Third-party Vendor | | Vendor Prices | | 1.26 - 3.14 | | 2.13 |
HIGH YIELD BOND FUND | | FAIR VALUE
AT 9/30/16 | | VALUATION
TECHNIQUE* | | UNOBSERVABLE
INPUT | | RANGE | | WEIGHTED
AVERAGE |
Bank Loans | | $23,444,611 | | Third-party Vendor | | Vendor Prices | | 2.63 - 100.75 | | 85.34 |
Common Stock | | $1,621,625 | | Third-party Vendor | | Vendor Prices | | 5.33 - 23.50 | | 21.86 |
Corporate Securities | | $17,176,759 | | Third-party Vendor | | Vendor Prices | | 0.00 - 108.38 | | 58.28 |
Warrant | | $59,405 | | Third-party Vendor | | Vendor Prices | | 5.33 - 23.50 | | 21.86 |
UNCONSTRAINED BOND FUND | | FAIR VALUE
AT 9/30/16 | | VALUATION
TECHNIQUE* | | UNOBSERVABLE
INPUT | | RANGE | | WEIGHTED
AVERAGE |
Bank Loans | | $4,691,334 | | Third-party Vendor | | Vendor Prices | | 82.33 - 100.00 | | 86.29 |
Corporate Securities | | $4,733,455 | | Third-party Vendor | | Vendor Prices | | 36.50 - 85.00 | | 61.01 |
Mortgage-Backed Securities- Commercial Mortgage-Backed | | $31,444,611 | | Third-party Vendor | | Vendor Prices | | 2.88 - 8.56 | | 6.44 |
Mortgage-Backed Securities-Non- Agency | | $149,768 | | Third-party Vendor | | Vendor Prices | | 0.73 - 12.58 | | 9.63 |
FLOATING RATE INCOME FUND | | FAIR VALUE
AT 9/30/16 | | VALUATION
TECHNIQUE* | | UNOBSERVABLE
INPUT | | RANGE | | WEIGHTED
AVERAGE |
Bank Loans | | $13,472,032 | | Third-party Vendor | | Vendor Prices | | 82.33 - 100.00 | | 93.50 |
STRATEGIC INCOME FUND | | FAIR VALUE
AT 9/30/16 | | VALUATION
TECHNIQUE* | | UNOBSERVABLE
INPUT | | RANGE | | WEIGHTED
AVERAGE |
Asset-Backed Securities | | $372,236 | | Broker Quote and
Benchmark Pricing | | Offered Quote | | 18.00 - 85.00 | | 69.75 |
Bank Loans | | $29,644 | | Third-party Vendor | | Vendor Prices | | 2.63 | | 2.63 |
Mortgage-Backed Securities- Commercial Mortgage Backed | | $695,334 | | Third-party Vendor | | Vendor Prices | | 6.89 - 7.20 | | 7.02 |
Mortgage-Backed Securities-Non- Agency | | $213,336 | | Third-party Vendor | | Vendor Prices | | 9.75 - 12.58 | | 12.57 |
ALPHATRAK 500 FUND | | FAIR VALUE
AT 9/30/16 | | VALUATION
TECHNIQUE* | | UNOBSERVABLE
INPUT | | RANGE | | WEIGHTED
AVERAGE |
Mortgage-Backed Securities - Commercial Mortgage-Backed | | $1,439 | | Third-party Vendor | | Vendor Prices | | 0.08 | | 0.08 |
Mortgage-Backed Securities-Non Agency | | $64,078 | | Third-party Vendor | | Vendor Prices | | 1.40 | | 1.40 |
|
* The valuation technique employed on the Level 3 securities involves the use of vendor prices, broker quotes and benchmark pricing. The Adviser monitors the third-party brokers and vendors using the valuation process described below. |
195 / Semi-Annual Report September 2016
Notes to Financial Statements (Continued)
Level 3 Valuation Process:
Investments classified within Level 3 of the fair value hierarchy may be fair valued by the Adviser with consent by the Adviser’s Pricing Working Group in accordance with procedures approved by the Board of Trustees, and under the general oversight of the Board of Trustees. The Adviser’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. The Adviser’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 Trust’s 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 Adviser, as part of the daily process, conducts back-testing of prices based on daily trade activities.
The Adviser’s Pricing Working Group consists of the Adviser’s General Counsel, Chief Compliance Officer, internal regulatory legal counsel, members of the Adviser’s Mutual Fund Administration Department, and a representative from the portfolio management team. The Adviser’s Pricing Working Group reviews and makes recommendations concerning the fair valuation of portfolio securities and the Funds’ pricing procedures in general.
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, 2016:
| | | | |
| | | LOCATION ON THE STATEMENTS OF ASSETS AND LIABILITIES |
DERIVATIVE TYPE | | ASSET DERIVATIVES | | LIABILITY DERIVATIVES |
Interest rate contracts | | Unrealized appreciation on swap contracts | | Unrealized depreciation on swap contracts |
| | Premiums paid for swap contracts | | Premiums received on swap contracts |
| | Receivable for daily variation margin | | Payable for daily variation margin |
| | Investments, at value | | Options written |
Credit contracts | | Unrealized appreciation on swap contracts | | Unrealized depreciation on swap contracts |
| | Premiums paid for swap contracts | | Premiums received for swap contracts |
Equity contracts | | Unrealized appreciation on swap contracts | | Unrealized depreciation on swap contracts |
| | Premiums paid for 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, 2016:
| | | | | | | | | | | | | | | | | | | | |
| | | | | ASSET DERIVATIVE INVESTMENTS | | |
| | | ULTRA SHORT
BOND FUND | | LOW DURATION
BOND FUND | | INTERMEDIATE
BOND FUND | | TOTAL RETURN
BOND FUND |
Interest contracts: | | | | | | | | | | | | | | | | | | | | |
Futures1 | | | $ | — | | | | $ | 36,302 | | | | $ | — | | | | $ | 5,303,721 | |
Options Purchased | | | | — | | | | | — | | | | | — | | | | | 11,968,750 | |
Swaptions Purchased | | | | — | | | | | 41,877 | | | | | — | | | | | — | |
Foreign currency exchange contracts: | | | | | | | | | | | | | | | | | | | | |
Forwards | | | | 5,679 | | | | | 151,011 | | | | | 37,080 | | | | | 1,854,893 | |
| | | | | | | | | | | | | | | | | | | | |
Total | | | $ | 5,679 | | | | $ | 229,190 | | | | $ | 37,080 | | | | $ | 19,127,364 | |
| | | | | | | | | | | | | | | | | | | | |
Semi-Annual Report September 2016 / 196
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | ASSET DERIVATIVE INVESTMENTS | | |
| | | HIGH YIELD
BOND FUND | | UNCONSTRAINED
BOND FUND | | FLOATING RATE INCOME FUND | | | | STRATEGIC
INCOME FUND | | ALPHATRAK
500 FUND |
Credit contracts: | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Swaps | | | $ | 49,024 | | | | $ | — | | | | $ | — | | | | | | $ | — | | | | $ | — | |
Interest contracts: | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures1 | | | | — | | | | | 986,564 | | | | | — | | | | | | | 322 | | | | | — | |
Foreign currency exchange contracts: | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forwards | | | | — | | | | | 111,588 | | | | | — | | | | | | | 8,686 | | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | 49,024 | | | | $ | 1,098,152 | | | | $ | — | | | | | | $ | 9,008 | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | |
1Includes 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. | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | LIABILITY DERIVATIVE INVESTMENTS | | |
| | | ULTRA SHORT
BOND FUND | | LOW DURATION
BOND FUND | | INTERMEDIATE
BOND FUND | | TOTAL RETURN
BOND FUND |
Interest contracts: | | | | | | | | | | | | | | | | | | | | |
Futures1 | | | $ | — | | | | $ | — | | | | $ | (68,232 | ) | | | $ | (1,154,564 | ) |
Options written | | | | — | | | | | — | | | | | — | | | | | (9,375,000 | ) |
Swaps | | | | — | | | | | — | | | | | — | | | | | (78,475,796 | ) |
Swaptions | | | | — | | | | | (20,829 | ) | | | | — | | | | | — | |
Foreign currency exchange contracts: | | | | | | | | | | | | | | | | | | | | |
Forwards | | | | (16,618 | ) | | | | (1,944,797 | ) | | | | (750,271 | ) | | | | (50,719,161 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total | | | $ | (16,618 | ) | | | $ | (1,965,626 | ) | | | $ | (818,503 | ) | | | $ | (139,724,521 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | LIABILITY DERIVATIVE INVESTMENTS |
| | | HIGH YIELD
BOND FUND | | UNCONSTRAINED
BOND FUND | | FLOATING RATE
INCOME FUND | | STRATEGIC
INCOME FUND | | ALPHATRAK
500 FUND |
Credit contracts: | | | | | | | | | | | | | | | | | | | | | | | | | |
Swaps | | | $ | (58,014 | ) | | | $ | — | | | | $ | — | | | | $ | — | | | | $ | — | |
Equity contracts: | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures1 | | | | — | | | | | — | | | | | — | | | | | — | | | | | (21,811 | ) |
Interest contracts: | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures1 | | | | — | | | | | (43,800 | ) | | | | — | | | | | (9,356 | ) | | | | — | |
Foreign currency exchange contracts: | | | | | | | | | | | | | | | | | | | | | | | | | |
Forwards | | | | — | | | | | (865,321 | ) | | | | (17,021 | ) | | | | (10,070 | ) | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | (58,014 | ) | | | $ | (909,121 | ) | | | $ | (17,021 | ) | | | $ | (19,426 | ) | | | $ | (21,811 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
1Includes 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.
197 / Semi-Annual Report September 2016
Notes to Financial Statements (Continued)
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, 2016:
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 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 | | |
Interest contracts: | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures | | | | $ — | | | | | $ (12,942 | ) | | | | $517,445 | | | | | $40,523,274 | | | | | | |
Swaps | | | | — | | | | | — | | | | | — | | | | | (3,281,582 | ) | | | | | |
Written options and swaptions | | | | — | | | | | — | | | | | — | | | | | 2,465,722 | | | | | | |
Foreign currency exchange contracts: | | | | | | | | | | | | | | | | | | | | | | | | | |
Forwards | | | | 19,807 | | | | | 647,928 | | | | | 286,983 | | | | | 17,635,631 | | | | | | |
Total | | | | $19,807 | | | | | $634,986 | | | | | $804,428 | | | | | $57,343,045 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 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 | | | | $(166,119 | ) | | | | $ — | | | | | $ — | | | | | $ — | | | | | $ — | | | | | | | | | | | | | | | | |
Equity contracts: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures | | | | — | | | | | — | | | | | — | | | | | — | | | | | 274,776 | | | | | | | | | | | | | | | | |
Interest contracts: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures | | | | — | | | | | (4,191,026 | ) | | | | — | | | | | (34,966 | ) | | | | — | | | | | | | | | | | | | | | | |
Foreign currency exchange contracts: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forwards | | | | — | | | | | 455,243 | | | | | 20,120 | | | | | 10,081 | | | | | — | | | | | | | | | | | | | | | | |
Total | | | | $(166,119 | ) | | | | $(3,735,783 | ) | | | | $20,120 | | | | | $(24,885 | ) | | | | $274,776 | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | 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 |
Interest contracts: | | | | | | | | | | | | | | | | | | | | |
Futures1 | | | $ | — | | | | $ | 41,363 | | | | $ | (245,440 | ) | | | $ | (8,629,129 | ) |
Swaps | | | | — | | | | | — | | | | | — | | | | | (22,363,451 | ) |
Written options and swaptions | | | | — | | | | | 33,149 | | | | | — | | | | | (612,657 | ) |
Foreign currency exchange contracts: | | | | | | | | | | | | | | | | | | | | |
Forwards | | | | (12,324 | ) | | | | (222,353 | ) | | | | (177,071 | ) | | | | (16,544,365 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total | | | $ | (12,324 | ) | | | $ | (147,841 | ) | | | $ | (422,511 | ) | | | $ | (48,149,602 | ) |
| | | | | | | | | | | | | | | | | | | | |
|
1Includes cumulative appreciation/(depreciation) of financial futures contracts as reported in the Schedule of Investments. | |
Semi-Annual Report September 2016 / 198
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 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 | | | $ | (1,605,286 | ) | | | $ | — | | | | $ | — | | | | $ | — | | | | $ | — | | | | | | |
Equity contracts: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures1 | | | | — | | | | | — | | | | | — | | | | | — | | | | | (109,385 | ) | | | | | |
Interest contracts: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures1 | | | | — | | | | | 561,659 | | | | | — | | | | | (12,101 | ) | | | | — | | | | | | |
Foreign currency exchange contracts: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forwards | | | | — | | | | | (767,789 | ) | | | | (18,566 | ) | | | | (2,768 | ) | | | | — | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | (1,605,286 | ) | | | $ | (206,130 | ) | | | $ | (18,566 | ) | | | $ | (14,869 | ) | | | $ | (109,385 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| |
1Includes cumulative appreciation/(depreciation) of financial futures contracts as reported in the Schedule of Investments. | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | AVERAGE PERIOD BALANCE OF OUTSTANDING DERIVATIVE FINANCIAL INSTRUMENTS1 | | |
| | | ULTRA SHORT BOND FUND | | LOW DURATION BOND FUND | | INTERMEDIATE BOND FUND | | TOTAL RETURN BOND FUND | | |
Financial futures contracts: | | | | | | | | | | | | | | | | | | | | | | | | | |
Average number of contracts purchased | | | | — | | | | | 1,213 | | | | | 660 | | | | | 45,306 | | | | | | |
Average number of contracts sold | | | | — | | | | | — | | | | | — | | | | | 3,424 | | | | | | |
Average value of contracts purchased | | | $ | — | | | | $ | 535,953 | | | | $ | 397,204 | | | | $ | 28,429,917 | | | | | | |
Average value of contracts sold | | | $ | — | | | | $ | — | | | | $ | — | | | | $ | 1,339,826 | | | | | | |
Interest rate swaps: | | | | | | | | | | | | | | | | | | | | | | | | | |
Average number of contracts - pays fixed rate | | | | — | | | | | — | | | | | 1 | | | | | 7 | | | | | | |
Average notional value - pays fixed rate | | | $ | — | | | | $ | — | | | | $ | 361,250 | | | | $ | 317,455,000 | | | | | | |
Options written: | | | | | | | | | | | | | | | | | | | | | | | | | |
Average number of contracts | | | | — | | | | | — | | | | | — | | | | | 1 | | | | | | |
Average notional value | | | $ | — | | | | $ | — | | | | $ | — | | | | $ | 2,303,606 | | | | | | |
Foreign currency exchange contracts: | | | | | | | | | | | | | | | | | | | | | | | | | |
Average number of contracts sold | | | | 2 | | | | | 3 | | | | | 3 | | | | | 4 | | | | | | |
Average value of contracts sold | | | $ | 81,459 | | | | $ | 2,230,163 | | | | $ | 671,444 | | | | $ | 64,765,598 | | | | | | |
Swaptions written: | | | | | | | | | | | | | | | | | | | | | | | | | |
Average number of contracts | | | | — | | | | | 1 | | | | | — | | | | | 1 | | | | | | |
Average notional value | | | $ | — | | | | $ | 540,000 | | | | $ | — | | | | $ | 3,580,535 | | | | | | |
199 / Semi-Annual Report September 2016
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | AVERAGE PERIOD BALANCE OF OUTSTANDING DERIVATIVE FINANCIAL INSTRUMENTS1 |
| | | 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 | | | | — | | | | | 334 | | | | | — | | | | | — | | | | | 27 | |
Average number of contracts sold | | | | — | | | | | 928 | | | | | — | | | | | 14 | | | | | — | |
Average value of contracts purchased | | | $ | — | | | | $ | 187,700 | | | | $ | — | | | | $ | — | | | | $ | 30,608 | |
Average value of contracts sold | | | $ | — | | | | $ | 1,888,569 | | | | $ | — | | | | $ | 19,595 | | | | $ | — | |
Credit default swaps: | | | | | | | | | | | | | | | | | | | | | | | | | |
Average number of contracts - buy protection | | | | 3 | | | | | — | | | | | — | | | | | — | | | | | — | |
Average notional value - buy protection | | | $ | 20,981,250 | | | | $ | — | | | | $ | — | | | | $ | — | | | | $ | — | |
Foreign currency exchange contracts: | | | | | | | | | | | | | | | | | | | | | | | | | |
Average number of contracts sold | | | | — | | | | | 3 | | | | | 1 | | | | | 1 | | | | | — | |
Average value of contracts sold | | | $ | — | | | | $ | 1,734,753 | | | | $ | 25,285 | | | | $ | 36,947 | | | | $ | — | |
|
1Amounts disclosed represent the volume of derivative contracts for the period ended September 30, 2016. | |
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 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 Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement 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.
Semi-Annual Report September 2016 / 200
Notes to Financial Statements (Continued)
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.
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, 2016, are as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | ULTRA SHORT BOND FUND |
COUNTERPARTY | | GROSS ASSETS IN THE
STATEMENT OF ASSETS
AND LIABILITIES | | COLLATERAL
RECEIVED1 | | ASSETS/(LIABILITIES)
AVAILABLE FOR OFFSET | | NET AMOUNT
OF ASSETS2 |
JPMorgan Chase & Co. | | | | | | | | | | | | | | | | | | | | |
Forward Currency Exchange Contracts | | | $ | 5,679 | | | | $ | — | | | | $ | 5,679 | | | | | $— | |
Total JPMorgan Chase & Co. | | | | 5,679 | | | | $ | — | | | | | 5,679 | | | | | $— | |
| | | | |
Total | | | $ | 5,679 | | | | $ | — | | | | $ | 5,679 | | | | | $— | |
|
1Excess of collateral received for individual counterparty may not be shown for financial reporting purposes. 2Represents the net amount receivable from the counterparty in the event of default. | |
201 / Semi-Annual Report September 2016
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, 2016, are as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | ULTRA SHORT BOND FUND |
COUNTERPARTY | | GROSS LIABILITIES IN THE
STATEMENT OF ASSETS
AND LIABILITIES | | COLLATERAL
PLEDGED3 | | (ASSETS)/LIABILITIES
AVAILABLE FOR OFFSET | | NET AMOUNT
OF LIABILITIES4 |
Bank of America, NA | | | | | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | | | $ 2,704 | | | | | $— | | | | | $ — | | | | | $ 2,704 | |
Total Bank of America, NA | | | | 2,704 | | | | | — | | | | | — | | | | | 2,704 | |
JPMorgan Chase & Co. | | | | | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | | | $13,914 | | | | | $— | | | | | $(5,679 | ) | | | | $ 8,235 | |
Total JPMorgan Chase & Co. | | | | 13,914 | | | | | — | | | | | (5,679 | ) | | | | 8,235 | |
| | | | |
Total | | | | $16,618 | | | | | $— | | | | | $(5,679 | ) | | | | $10,939 | |
|
3Excess of collateral pledged for individual counterparty may not be shown for financial reporting purposes. 4Represents the net amount payable to the counterparty in the event of default. | |
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, 2016, are as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | LOW DURATION BOND FUND |
COUNTERPARTY | | GROSS ASSETS IN THE
STATEMENT OF ASSETS
AND LIABILITIES | | COLLATERAL
RECEIVED1 | | ASSETS/(LIABILITIES)
AVAILABLE FOR OFFSET | | NET AMOUNT
OF ASSETS2 |
Goldman Sachs Group, Inc. | | | | | | | | | | | | | | | | | | | | |
Swaptions | | | | $ 41,877 | | | | | $— | | | | | $(20,829 | ) | | | | $ 21,048 | |
Total Goldman Sachs Group, Inc. | | | | 41,877 | | | | | — | | | | | (20,829 | ) | | | | 21,048 | |
JPMorgan Chase & Co. | | | | | | | | | | | | | | | | | | | | |
Forward Currency Exchange Contracts | | | | $151,011 | | | | | $— | | | | | $ — | | | | | $151,011 | |
Total JPMorgan Chase & Co. | | | | 151,011 | | | | | — | | | | | — | | | | | 151,011 | |
| | | | |
Total | | | | $192,888 | | | | | $— | | | | | $(20,829 | ) | | | | $172,059 | |
|
1Excess of collateral received for individual counterparty may not be shown for financial reporting purposes. 2Represents the net amount receivable from the counterparty in the event of default. | |
Semi-Annual Report September 2016 / 202
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, 2016, are as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | | | LOW DURATION BOND FUND | | |
COUNTERPARTY | | GROSS
LIABILITIES IN THE
STATEMENT OF ASSETS
AND LIABILITIES | | COLLATERAL
PLEDGED3 | | (ASSETS)/LIABILITIES
AVAILABLE FOR OFFSET | | NET AMOUNT
OF
LIABILITIES4 |
Bank of America, NA | | | | | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | | | $1,944,797 | | | | | $(1,944,797 | ) | | | | $ — | | | | | $— | |
Total Bank of America, NA | | | | 1,944,797 | | | | | (1,944,797 | ) | | | | — | | | | | — | |
| | | | |
Goldman Sachs Group, Inc. | | | | | | | | | | | | | | | | | | | | |
Swaptions | | | | $ 20,829 | | | | | $ — | | | | | $(20,829 | ) | | | | $— | |
Total Goldman Sachs Group, Inc. | | | | 20,829 | | | | | — | | | | | (20,829 | ) | | | | — | |
Total | | | | $1,965,626 | | | | | $(1,944,797 | ) | | | | $(20,829 | ) | | | | $— | |
|
3Excess of collateral pledged for individual counterparty may not be shown for financial reporting purposes. 4Represents the net amount payable to the counterparty in the event of default. | |
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, 2016, are as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | INTERMEDIATE BOND FUND |
COUNTERPARTY | | GROSS ASSETS IN THE
STATEMENT OF ASSETS
AND LIABILITIES | | COLLATERAL
RECEIVED1 | | ASSETS/(LIABILITIES)
AVAILABLE FOR OFFSET | | NET AMOUNT OF ASSETS2 |
JPMorgan Chase & Co. | | | | | | | | | | | | | | | | | | | | |
Forward Currency Exchange Contracts | | | $ | 37,080 | | | | $ | — | | | | $ | — | | | | $ | 37,080 | |
| | | | | | | | | | | | | | | | | | | | |
Total JPMorgan Chase & Co. | | | | 37,080 | | | | | — | | | | | — | | | | | 37,080 | |
| | | | |
Total | | | $ | 37,080 | | | | $ | — | | | | $ | — | | | | $ | 37,080 | |
| | | | | | | | | | | | | | | | | | | | |
|
1Excess of collateral received for individual counterparty may not be shown for financial reporting purposes. 2Represents the net amount receivable from the counterparty in the event of default. | |
203 / Semi-Annual Report September 2016
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, 2016, are as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | INTERMEDIATE BOND FUND |
COUNTERPARTY | | GROSS LIABILITIES IN THE STATEMENT OF ASSETS AND LIABILITIES | | COLLATERAL
PLEDGED3 | | (ASSETS)/LIABILITIES
AVAILABLE FOR OFFSET | | NET AMOUNT OF LIABILITIES4 |
Bank of America, NA | | | | | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | | | $750,271 | | | | | $(750,271) | | | | | $— | | | | | $— | |
Total Bank of America, NA | | | | 750,271 | | | | | (750,271) | | | | | — | | | | | — | |
| | | | |
Total | | | | $750,271 | | | | | $(750,271) | | | | | $— | | | | | $— | |
|
3Excess of collateral pledged for individual counterparty may not be shown for financial reporting purposes. 4Represents the net amount payable to the counterparty in the event of default. | |
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, 2016, are as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | TOTAL RETURN BOND FUND |
COUNTERPARTY | | GROSS ASSETS IN THE STATEMENT OF ASSETS AND LIABILITIES | | COLLATERAL
RECEIVED1 | | ASSETS/(LIABILITIES)
AVAILABLE FOR OFFSET | | NET AMOUNT
OF ASSETS2 |
JPMorgan Chase & Co. | | | | | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | | | $ 1,854,893 | | | | | $ — | | | | | $ 1,854,893 | | | | | $— | |
Total JPMorgan Chase & Co. | | | | 1,854,893 | | | | | — | | | | | 1,854,893 | | | | | — | |
| | | | |
RBS Securities, Inc. | | | | | | | | | | | | | | | | | | | | |
Repurchase Agreement | | | | $350,011,667 | | | | | $(350,011,667) | | | | | $ — | | | | | $— | |
Total RBS Securities, Inc. | | | | 350,011,667 | | | | | (350,011,667) | | | | | — | | | | | — | |
| | | | |
Total | | | | $351,866,560 | | | | | $(350,011,667) | | | | | $(1,854,893) | | | | | $— | |
|
1Excess of collateral received for individual counterparty may not be shown for financial reporting purposes. 2Represents the net amount receivable from the counterparty in the event of default. | |
Semi-Annual Report September 2016 / 204
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, 2016, are as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | TOTAL RETURN BOND FUND |
COUNTERPARTY | | GROSS LIABILITIES IN THE STATEMENT OF ASSETS AND LIABILITIES | | COLLATERAL
PLEDGED3 | | (ASSETS)/LIABILITIES
AVAILABLE FOR OFFSET | | NET AMOUNT
OF LIABILITIES4 |
Bank of America, NA | | | | | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | | | $46,023,142 | | | | | $(46,023,142) | | | | | $ — | | | | | $— | |
Total Bank of America, NA | | | | 46,023,142 | | | | | (46,023,142) | | | | | — | | | | | — | |
| | | | |
Citigroup, Inc. | | | | | | | | | | | | | | | | | | | | |
Swap agreements | | | | $10,810,429 | | | | | $ (8,955,536) | | | | | $(1,854,893) | | | | | $— | |
Total Citigroup, Inc. | | | | 10,810,429 | | | | | (8,955,536) | | | | | (1,854,893) | | | | | — | |
| | | | |
JPMorgan Chase & Co. | | | | | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | | | $ 4,696,019 | | | | | $ (4,696,019) | | | | | $ — | | | | | $— | |
Total JPMorgan Chase & Co. | | | | 4,696,019 | | | | | (4,696,019) | | | | | — | | | | | — | |
Morgan Stanley Capital Services, Inc. | | | | | | | | | | | | | | | | | | | | |
Swap agreements | | | | $ 8,992,235 | | | | | $ (8,992,235) | | | | | $ — | | | | | $— | |
Total Morgan Stanley Capital Services, Inc. | | | | 8,992,235 | | | | | (8,992,235) | | | | | — | | | | | — | |
| | | | |
Total | | | | $70,521,825 | | | | | $(68,666,932) | | | | | $(1,854,893) | | | | | $— | |
|
3Excess of collateral pledged for individual counterparty may not be shown for financial reporting purposes. 4Represents the net amount payable to 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, 2016, are as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | HIGH YIELD BOND FUND |
COUNTERPARTY | | GROSS ASSETS IN THE
STATEMENT OF ASSETS
AND LIABILITIES | | COLLATERAL
RECEIVED1 | | ASSETS/(LIABILITIES)
AVAILABLE FOR OFFSET | | NET AMOUNT
OF ASSETS2 |
Morgan Stanley Capital Services Inc. | | | | | | | | | | | | | | | | | | | | |
Swap agreements | | | $ | 49,024 | | | | $ | — | | | | $ | (19,666 | ) | | | $ | 29,359 | |
| | | | | | | | | | | | | | | | | | | | |
Total Morgan Stanley Capital Services Inc. | | | | 49,024 | | | | | — | | | | | (19,666 | ) | | | | 29,359 | |
| | | | |
Total | | | $ | 49,024 | | | | $ | — | | | | $ | (19,666 | ) | | | $ | 29,359 | |
| | | | | | | | | | | | | | | | | | | | |
|
1Excess of collateral received for individual counterparty may not be shown for financial reporting purposes. 2Represents the net amount receivable from the counterparty in the event of default. | |
205 / Semi-Annual Report September 2016
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, 2016, are as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | HIGH YIELD BOND FUND |
COUNTERPARTY | | GROSS LIABILITIES IN THE STATEMENT OF ASSETS AND LIABILITIES | | COLLATERAL
PLEDGED3 | | (ASSETS)/LIABILITIES
AVAILABLE FOR OFFSET | | NET AMOUNT OF LIABILITIES4 |
Goldman Sachs Group, Inc. | | | | | | | | | | | | | | | | | | | | |
Swap agreements | | | | $38,348 | | | | | $— | | | | | $ — | | | | | $38,348 | |
Total Goldman Sachs Group, Inc. | | | | 38,348 | | | | | — | | | | | — | | | | | 38,348 | |
| | | | |
Morgan Stanley Capital Services Inc. | | | | | | | | | | | | | | | | | | | | |
Swap agreements | | | | $19,666 | | | | | $— | | | | | $ 19,666 | | | | | $ — | |
Total Morgan Stanley Capital Services Inc. | | | | 19,666 | | | | | — | | | | | 19,666 | | | | | — | |
| | | | |
Total | | | | $58,014 | | | | | $— | | | | | $(19,666) | | | | | $38,348 | |
|
3Excess of collateral received for individual counterparty may not be shown for financial reporting purposes. 4Represents 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, 2016, are as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | UNCONSTRAINED BOND FUND |
COUNTERPARTY | | GROSS ASSETS IN THE
STATEMENT OF ASSETS
AND LIABILITIES | | COLLATERAL
RECEIVED1 | | ASSETS/(LIABILITIES)
AVAILABLE FOR OFFSET | | NET AMOUNT
OF ASSETS2 |
JPMorgan Chase & Co. | | | | | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | | $ | 111,588 | | | | $ | — | | | | $ | 111,588 | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Total JPMorgan Chase & Co. | | | | 111,588 | | | | | — | | | | | 111,588 | | | | | — | |
| | | | |
Total | | | $ | 111,588 | | | | $ | — | | | | $ | 111,588 | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
|
1Excess of collateral received for individual counterparty may not be shown for financial reporting purposes. 2Represents the net amount receivable from the counterparty in the event of default. | |
Semi-Annual Report September 2016 / 206
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, 2016, are as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | UNCONSTRAINED BOND FUND |
COUNTERPARTY | | GROSS LIABILITIES IN THE
STATEMENT OF ASSETS
AND LIABILITIES | | COLLATERAL
PLEDGED3 | | (ASSETS)/LIABILITIES
AVAILABLE FOR OFFSET | | NET AMOUNT
OF
LIABILITIES4 |
| | | | |
Bank of America, NA | | | | | | | | | | | | | | | | | | | | |
| | | | |
Foreign Currency Exchange Contracts | | | $ | 718,813 | | | | $ | (718,813 | ) | | | $ | — | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Total Bank of America, NA | | | | 718,813 | | | | | (718,813 | ) | | | | — | | | | | — | |
| | | | |
JPMorgan Chase & Co. | | | | | | | | | | | | | | | | | | | | |
| | | | |
Foreign Currency Exchange Contracts | | | $ | 146,508 | | | | $ | (34,920 | ) | | | $ | (111,588 | ) | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Total JPMorgan Chase & Co. | | | | 146,508 | | | | | (34,920 | ) | | | | (111,588 | ) | | | | — | |
| | | | |
Total | | | $ | 865,321 | | | | $ | (753,733 | ) | | | $ | (111,588 | ) | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
|
3Excess of collateral received for individual counterparty may not be shown for financial reporting purposes. 4Represents 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, 2016, are as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | FLOATING RATE INCOME FUND |
COUNTERPARTY | | GROSS LIABILITIES IN THE
STATEMENT OF ASSETS
AND LIABILITIES | | COLLATERAL
PLEDGED1 | | (ASSETS)/LIABILITIES
AVAILABLE FOR OFFSET | | NET AMOUNT
OF LIABILITIES2 |
| | | | |
Citigroup, Inc. | | | | | | | | | | | | | | | | | | | | |
| | | | |
Forward Currency
Exchange Contracts | | | $ | 17,021 | | | | $ | — | | | | $ | — | | | | $ | 17,021 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Total Citigroup, Inc. | | | | 17,021 | | | | | — | | | | | — | | | | | 17,021 | |
| | | | |
Total | | | $ | 17,021 | | | | $ | — | | | | $ | — | | | | $ | 17,021 | |
| | | | | | | | | | | | | | | | | | | | |
|
1Excess of collateral pledged for individual counterparty may not be shown for financial reporting purposes. 2Represents the net amount payable to the counterparty in the event of default. | |
207 / Semi-Annual Report September 2016
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, 2016, are as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | STRATEGIC INCOME FUND |
COUNTERPARTY | | GROSS ASSETS IN THE
STATEMENT OF ASSETS
AND LIABILITIES | | COLLATERAL
RECEIVED1 | | ASSETS/(LIABILITIES)
AVAILABLE FOR OFFSET | | NET AMOUNT
OF
ASSETS2 |
| | | | |
JPMorgan Chase & Co. | | | | | | | | | | | | | | | | | | | | |
| | | | |
Forward Currency Exchange Contracts | | | $ | 8,686 | | | | $ | — | | | | $ | (7,366 | ) | | | $ | 1,320 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Total JPMorgan Chase & Co. | | | | 8,686 | | | | | — | | | | | (7,366 | ) | | | | 1,320 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Total | | | $ | 8,686 | | | | $ | — | | | | $ | (7,366 | ) | | | $ | 1,320 | |
| | | | | | | | | | | | | | | | | | | | |
|
1Excess of collateral received for individual counterparty may not be shown for financial reporting purposes. 2Represents 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, 2016, are as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | STRATEGIC INCOME FUND |
COUNTERPARTY | | GROSS LIABILITIES IN THE
STATEMENT OF ASSETS
AND LIABILITIES | | COLLATERAL
PLEDGED3 | | (ASSETS)/LIABILITIES
AVAILABLE FOR OFFSET | | NET AMOUNT
OF
LIABILITIES4 |
| | | | |
Bank of America, NA | | | | | | | | | | | | | | | | | | | | |
| | | | |
Forward Currency
Exchange Contracts | | | $ | 2,704 | | | | $ | — | | | | $ | — | | | | $ | 2,704 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Total Bank of America, NA | | | | 2,704 | | | | | — | | | | | — | | | | | 2,704 | |
| | | | |
JPMorgan Chase & Co. | | | | | | | | | | | | | | | | | | | | |
| | | | |
Forward Currency
Exchange Contracts | | | $ | 7,366 | | | | $ | — | | | | $ | 7,366 | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Total JPMorgan Chase & Co. | | | | 7,366 | | | | | — | | | | | 7,366 | | | | | — | |
| | | | |
Total | | | $ | 10,070 | | | | $ | — | | | | $ | 7,366 | | | | $ | 2,704 | |
| | | | | | | | | | | | | | | | | | | | |
|
3Excess of collateral received for individual counterparty may not be shown for financial reporting purposes. 4Represents the net amount receivable from 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.
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
Semi-Annual Report September 2016 / 208
Notes to Financial Statements (Continued)
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 Mortgage Association (“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, 2016, 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 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.
209 / Semi-Annual Report September 2016
Notes to Financial Statements (Continued)
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, Unconstrained Bond Fund, Floating Rate Income 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, 2016, 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, 2016, the Funds did not received any 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 Repurchase Agreements (“MRAs”) 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, 2016, the Total Return Bond Fund held repurchase agreements.
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 MRAs. 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. 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 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, 2016.
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
Semi-Annual Report September 2016 / 210
Notes to Financial Statements (Continued)
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 Adviser’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, and 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 may be 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, 2016, the Low Duration 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 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.
211 / Semi-Annual Report September 2016
Notes to Financial Statements (Continued)
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. 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, 2016, for which a portfolio is the seller of protection are also disclosed. 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 NAV 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).
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, 2016, the Low Duration Bond Fund held swaptions.
Semi-Annual Report September 2016 / 212
Notes to Financial Statements (Continued)
In addition to the securities listed above, the Alpha Trak 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, 2016, 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 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
213 / Semi-Annual Report September 2016
Notes to Financial Statements (Continued)
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, 2016, excluding U.S. government and short-term investments, were as follows:
| | | | | | | | |
PORTFOLIO | | PURCHASES | | | SALES | |
| | |
Ultra Short Bond Fund | | $ | 30,289,670 | | | $ | 14,781,931 | |
| | |
Low Duration Bond Fund | | | 338,882,503 | | | | 327,950,572 | |
| | |
Intermediate Bond Fund | | | 315,546,871 | | | | 324,472,869 | |
| | |
Total Return Bond Fund | | | 59,890,633,507 | | | | 52,430,954,574 | |
| | |
High Yield Bond Fund | | | 700,406,740 | | | | 737,406,317 | |
| | |
Unconstrained Bond Fund | | | 591,348,592 | | | | 338,202,225 | |
| | |
Floating Rate Income Fund | | | 71,065,496 | | | | 28,377,214 | |
| | |
Strategic Income Fund | | | 11,363,588 | | | | 12,793,343 | |
| | |
AlphaTrak 500 Fund | | | 1,482,623 | | | | 1,225,128 | |
Semi-Annual Report September 2016 / 214
Notes to Financial Statements (Continued)
Investment transactions in U.S. government securities for the six months ended September 30, 2016 were as follows:
| | | | | | | | |
PORTFOLIO | | PURCHASES | | | SALES | |
| | |
Ultra Short Bond Fund | | $ | 7,496,505 | | | $ | 884,255 | |
| | |
Low Duration Bond Fund | | | 785,966,665 | | | | 584,947,040 | |
| | |
Intermediate Bond Fund | | | 977,133,407 | | | | 935,906,248 | |
| | |
Total Return Bond Fund | | | 41,705,114,439 | | | | 41,296,658,975 | |
| | |
Unconstrained Bond Fund | | | 66,749,843 | | | | 2,372,222 | |
| | |
Strategic Income Fund | | | 105,906 | | | | 105,062 | |
| | |
AlphaTrak 500 Fund | | | 129,766 | | | | 50,082 | |
Transactions in swaption contracts written for the six months ended September 30, 2016, were as follows:
| | | | | | | | | | | | | | | | |
| | | LOW DURATION | | | | | | |
| | | BOND FUND | | | | | | |
| | | CONTRACTS | | PREMIUMS | | | | | | |
Outstanding at April 1, 2016 | | | | 30,000 | | | | | $540,000 | | | | | | | |
Swaptions written during period | | | | — | | | | | — | | | — | | — | | |
Swaptions closed during period | | | | — | | | | | — | | | | | | | |
Swaptions expired during period | | | | — | | | | | — | | | — | | — | | |
Swaptions exercised during period | | | | — | | | | | — | | | | | | | |
Outstanding at September 30, 2016 | | | | 30,000 | | | | | $540,000 | | | | | | | |
Transactions in option contracts written for the six months ended September 30, 2016, were as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | TOTAL RETURN BOND FUND | | TOTAL RETURN
BOND FUND |
| | | CALL
CONTRACTS | | CALL
PREMIUMS | | PUT
CONTRACTS | | PUT
PREMIUMS |
| | | | |
Outstanding at April 1, 2016 | | | | 413 | | | | $ | 50,423 | | | | | 10,000 | | | | $ | 223,000 | |
| | | | |
Options written during period | | | | 36,000 | | | | | 8,054,373 | | | | | 161,000 | | | | | 25,468,895 | |
| | | | |
Options closed during period | | | | (2,413 | ) | | | | (95,023 | ) | | | | (146,000 | ) | | | | (24,196,895 | ) |
| | | | |
Options expired during period | | | | (4,000 | ) | | | | (340,773 | ) | | | | (10,000 | ) | | | | (223,000 | ) |
| | | | |
Options exercised during period | | | | — | | | | | — | | | | | — | | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Outstanding at September 30, 2016 | | | | 30,000 | | | | $ | 7,669,000 | | | | | 15,000 | | | | $ | 1,272,000 | |
| | | | | | | | | | | | | | | | | | | | |
| | 6. | INVESTMENT ADVISORY SERVICES AND OTHER TRANSACTIONS |
As compensation for advisory services, the Adviser 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 0.08% resulting in $804,944 of total management fees for the six months ended September 30, 2016. The Adviser charges the Alpha Trak 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 increased by 0.34% resulting in $9,881 total management fees for the six months ended September 30, 2016.
215 / Semi-Annual Report September 2016
Notes to Financial Statements (Continued)
The Adviser has agreed in an operating expenses agreement with the Trust to limit each Fund’s expenses, (excluding interest, taxes, brokerage commissions, short sales dividend expense, acquired fund fees and expenses, and any expenses incurred in connection with any merger or reorganization or extraordinary expenses such as litigation) 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 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, 2016, were as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | INVESTMENT ADVISORY FEE | | | | CONTRACTUAL EXPENSE | | |
| | | RATE | | | | LIMITATION1 | | |
PORTFOLIO | | CLASS M | | CLASS I | | ADMINISTRATIVE
CLASS | | PLAN
CLASS | | | | CLASS M | | CLASS I | | ADMINISTRATIVE
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 31,2017, unless approved by the Board.
At September 30, 2016, the balance of recoupable expenses with expiration dates for the Funds were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | |
PORTFOLIO | | 2017 | | 2018 | | 2019 | | 2020 | | TOTAL |
| | | | | |
Ultra Short Bond Fund | | | $ | 163,689 | | | | $ | 255,028 | | | | $ | 256,571 | | | | $ | 134,609 | | | | $ | 809,897 | |
| | | | | |
Intermediate Bond Fund | | | | 15,475 | | | | | 53,881 | | | | | — | | | | | — | | | | | 69,356 | |
| | | | | |
High Yield Bond Fund | | | | 358,500 | | | | | 785,013 | | | | | 173,972 | | | | | 134,967 | | | | | 1,452,452 | |
| | | | | |
Unconstrained Bond Fund | | | | — | | | | | 50,371 | | | | | 5,307 | | | | | — | | | | | 55,678 | |
| | | | | |
Floating Rate Income Fund | | | | 123,362 | | | | | 83,121 | | | | | 60,249 | | | | | 26,388 | | | | | 293,120 | |
| | | | | |
AlphaTrak 500 Fund | | | | 129,255 | | | | | 112,318 | | | | | 120,243 | | | | | 81,635 | | | | | 443,451 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total | | | $ | 790,281 | | | | $ | 1,339,732 | | | | $ | 616,342 | | | | $ | 377,599 | | | | $ | 3,123,954 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
During the six months ended September 30, 2016, the Adviser recouped $21,301 from the Intermediate Bond Fund and $116,911 from the Unconstrained Bond Fund.
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 $52,500 and $3,750 for each meeting of the Board attended. The chairman of the Board receives an annual retainer of $75,000. The respective chairman of the Audit Committee and the Nominating Committee each receive additional annual retainer of $15,000 and $1,500, respectively. 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 2016 / 216
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, 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, 2016. The Alpha Trak 500 Fund is currently not incurring Rule 12b-1 fees. The Adviser has contractually agreed, through July 31, 2017, to pay the distribution expenses of the Alpha Trak 500 Fund out of its own resources.
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.
The Board of Trustees has approved a Supplemental Administration Agreement, dated and effective as of July 29, 2015, between the Adviser and the Trust. The Supplemental Administration Agreement provides for payment to the Adviser for a variety of supplemental administrative services either not provided by BNY Mellon Investment Servicing (US) Inc., the Funds’ administrator, or services related to additional support or review and supervision of the administrator’s services. The fee payable under this Agreement is an amount set from time to time by the Board of Trustees, which may not exceed $650,000 annually for all Funds. To date, no fees have been charged or paid under the Agreement.
| 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 | | |
| | | SIX MONTHS ENDED
SEPTEMBER 30,
2016 (UNAUDITED) | | YEAR ENDED
MARCH 31, 2016 | | SIX MONTHS ENDED SEPTEMBER 30, 2016 (UNAUDITED) | | YEAR ENDED MARCH 31, 2016 | | |
| | | | | |
Change in Fund shares: | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Shares outstanding at beginning of period | | | | 18,299,489 | | | | | 16,273,702 | | | | | 17,464,894 | | | | | 18,734,104 | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Shares sold | | | | 1,887,932 | | | | | 10,427,889 | | | | | 1,964,667 | | | | | 10,719,912 | | | |
| | | | | |
Shares issued through reinvestment of distributions | | | | 69,015 | | | | | 106,263 | | | | | 73,075 | | | | | 109,397 | | | |
| | | | | |
Shares redeemed | | | | (4,070,322 | ) | | | | (8,508,365 | ) | | | | (2,140,588 | ) | | | | (12,098,519 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net increase/(decrease) in fund shares | | | | (2,113,375 | ) | | | | 2,025,787 | | | | | (102,846 | ) | | | | (1,269,210 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Shares outstanding at end of period | | | | 16,186,114 | | | | | 18,299,489 | | | | | 17,362,048 | | | | | 17,464,894 | | | |
| | | | | | | | | | | | | | | | | | | | | | |
217 / Semi-Annual Report September 2016
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | | | | | |
| | | LOW DURATION BOND FUND | | |
| | | CLASS M | | CLASS M | | CLASS I | | CLASS I | | |
| | | SIX MONTHS ENDED SEPTEMBER 30, 2016 (UNAUDITED) | | YEAR ENDED MARCH 31, 2016 | | SIX MONTHS ENDED SEPTEMBER 30, 2016 (UNAUDITED) | | YEAR ENDED MARCH 31, 2016 | | |
| | | | | |
Change in Fund shares: | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Shares outstanding at beginning of period | | | | 171,038,365 | | | | | 198,650,634 | | | | | 219,424,752 | | | | | 217,471,268 | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Shares sold | | | | 11,021,371 | | | | | 42,544,828 | | | | | 37,453,043 | | | | | 98,130,036 | | | |
| | | | | |
Shares issued through reinvestment of distributions | | | | 972,188 | | | | | 2,023,370 | | | | | 1,375,802 | | | | | 2,476,074 | | | |
| | | | | |
Shares redeemed | | | | (23,766,609 | ) | | | | (72,180,467 | ) | | | | (47,573,481 | ) | | | | (98,652,626 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net increase/(decrease) in fund shares | | | | (11,773,050 | ) | | | | (27,612,269 | ) | | | | (8,744,636 | ) | | | | 1,953,484 | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Shares outstanding at end of period | | | | 159,265,315 | | | | | 171,038,365 | | | | | 210,680,116 | | | | | 219,424,752 | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | |
| | | LOW DURATION BOND FUND | | |
| | | ADMINISTRATIVE
CLASS | | | | ADMINISTRATIVE
CLASS |
| | SIX MONTHS ENDED SEPTEMBER 30, 2016 (UNAUDITED) | | | | YEAR ENDED MARCH 31,
2016 |
| | | |
Change in Fund shares: | | | | | | | | | | | |
| | | | |
Shares outstanding at beginning of period | | | | 652,992 | | | | | | | 404,363 | | | |
| | | | |
Shares sold | | | | 134,124 | | | | | | | 377,780 | | | |
| | | | |
Shares issued through reinvestment of distributions | | | | 1,385 | | | | | | | 3,101 | | | |
| | | | |
Shares redeemed | | | | (80,922) | | | | | | | (132,252) | | | |
| | | | |
Net increase in fund shares | | | | 54,587 | | | | | | | 248,629 | | | |
| | | | |
Shares outstanding at end of period | | | | 707,579 | | | | | | | 652,992 | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | INTERMEDIATE BOND FUND | | |
| | | CLASS M | | CLASS M | | CLASS I | | CLASS I | | |
| | | SIX MONTHS ENDED SEPTEMBER 30, 2016 (UNAUDITED) | | YEAR ENDED MARCH 31, 2016 | | SIX MONTHS ENDED SEPTEMBER 30, 2016 (UNAUDITED) | | YEAR ENDED MARCH 31,
2016 | | |
| | | | | |
Change in Fund shares: | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Shares outstanding at beginning of period | | | | 18,812,209 | | | | | 15,306,206 | | | | | 103,485,612 | | | | | 98,733,197 | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Shares sold | | | | 2,405,929 | | | | | 8,289,053 | | | | | 13,475,110 | | | | | 24,175,571 | | | |
| | | | | |
Shares issued through reinvestment of distributions | | | | 103,173 | | | | | 277,124 | | | | | 785,547 | | | | | 1,888,060 | | | |
| | | | | |
Shares redeemed | | | | (6,748,803 | ) | | | | (5,060,174 | ) | | | | (11,747,443 | ) | | | | (21,311,216 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Net increase/(decrease) in fund shares | | | | (4,239,701 | ) | | | | 3,506,003 | | | | | 2,513,214 | | | | | 4,752,415 | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Shares outstanding at end of period | | | | 14,572,508 | | | | | 18,812,209 | | | | | 105,998,826 | | | | | 103,485,612 | | | |
| | | | | | | | | | | | | | | | | | | | | | |
Semi-Annual Report September 2016 / 218
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | | | | | |
| | | TOTAL RETURN BOND FUND | | |
| | | CLASS M | | CLASS M | | CLASS I | | �� CLASS I | | |
| | | SIX MONTHS ENDED SEPTEMBER 30, 2016 (UNAUDITED) | | YEAR ENDED MARCH 31, 2016 | | SIX MONTHS ENDED SEPTEMBER 30, 2016 (UNAUDITED) | | YEAR ENDED MARCH 31, 2016 | | |
| | | | | |
Change in Fund shares: | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Shares outstanding at beginning of period | | | | 1,522,053,047 | | | | | 1,503,218,234 | | | | | 4,272,994,483 | | | | | 3,657,432,478 | | | |
| | | | | |
Shares sold | | | | 203,436,217 | | | | | 436,934,989 | | | | | 945,724,754 | | | | | 1,606,579,177 | | | |
| | | | | |
Shares issued through reinvestment of distributions | | | | 12,740,705 | | | | | 40,057,068 | | | | | 36,847,419 | | | | | 100,754,414 | | | |
| | | | | |
Shares redeemed | | | | (225,738,028 | ) | | | | (458,157,244 | ) | | | | (583,767,294 | ) | | | | (1,091,771,586 | ) | | |
| | | | | |
Net increase/(decrease) in fund shares | | | | (9,561,106 | ) | | | | 18,834,813 | | | | | 398,804,879 | | | | | 615,562,005 | | | |
| | | | | |
Shares outstanding at end of period | | | | 1,512,491,941 | | | | | 1,522,053,047 | | | | | 4,671,799,362 | | | | | 4,272,994,483 | | | |
| | | | | | | | | | | | | | | | | | | | | | | |
| | | TOTAL RETURN BOND FUND | | |
| | | | | |
| | | ADMINISTRATIVE
CLASS | | ADMINISTRATIVE
CLASS | | PLAN
CLASS | | PLAN
CLASS | | |
| | | | | |
| | | SIX MONTHS ENDED SEPTEMBER 30, 2016 (UNAUDITED) | | YEAR ENDED MARCH 31, 2016 | | SIX MONTHS ENDED SEPTEMBER 30, 2016 (UNAUDITED) | | YEAR ENDED MARCH 31, 2016 | | |
| | | | | |
Change in Fund shares: | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Shares outstanding at beginning of period | | | | 26,863,547 | | | | | 25,536,843 | | | | | 1,049,072,162 | | | | | 691,565,369 | | | |
| | | | | |
Shares sold | | | | 35,627,544 | | | | | 18,080,875 | | | | | 232,697,832 | | | | | 482,441,735 | | | |
| | | | | |
Shares issued through reinvestment of distributions | | | | 223,187 | | | | | 751,750 | | | | | 11,210,865 | | | | | 27,481,581 | | | |
| | | | | |
Shares redeemed | | | | (4,012,606 | ) | | | | (17,505,921 | ) | | | | (85,081,015 | ) | | | | (152,416,523 | ) | | |
| | | | | |
Net increase in fund shares | | | | 31,838,125 | | | | | 1,326,704 | | | | | 158,827,682 | | | | | 357,506,793 | | | |
| | | | | |
Shares outstanding at end of period | | | | 58,701,672 | | | | | 26,863,547 | | | | | 1,207,899,844 | | | | | 1,049,072,162 | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | HIGH YIELD BOND FUND | | |
| | | CLASS M | | CLASS M | | CLASS I | | CLASS I | | |
| | | SIX MONTHS ENDED SEPTEMBER 30,
2016 (UNAUDITED) | | YEAR ENDED MARCH 31, 2016 | | SIX MONTHS ENDED
SEPTEMBER 30, 2016 (UNAUDITED) | | YEAR ENDED MARCH 31, 2016 | | |
| | | | | |
Change in Fund shares: | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Shares outstanding at beginning of period | | | | 54,778,695 | | | | | 78,671,133 | | | | | 62,970,316 | | | | | 77,788,026 | | | |
| | | | | |
Shares sold | | | | 4,838,387 | | | | | 14,443,559 | | | | | 8,895,985 | | | | | 29,841,493 | | | |
| | | | | |
Shares issued through reinvestment of distributions | | | | 913,978 | | | | | 2,431,323 | | | | | 1,119,485 | | | | | 2,662,171 | | | |
| | | | | |
Shares redeemed | | | | (19,160,446 | ) | | | | (40,767,320 | ) | | | | (15,853,170 | ) | | | | (47,321,374 | ) | | |
| | | | | |
Net (decrease) in fund shares | | | | (13,408,081 | ) | | | | (23,892,438 | ) | | | | (5,837,700 | ) | | | | (14,817,710 | ) | | |
| | | | | |
Shares outstanding at end of period | | | | 41,370,614 | | | | | 54,778,695 | | | | | 57,132,616 | | | | | 62,970,316 | | | |
219 / Semi-Annual Report September 2016
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | | | | | |
| | | UNCONSTRAINED BOND FUND | | |
| | | CLASS M | | CLASS M | | CLASS I | | CLASS I | | |
| | | SIX MONTHS ENDED SEPTEMBER 30,
2016 (UNAUDITED) | | YEAR ENDED MARCH 31, 2016 | | SIX MONTHS ENDED
SEPTEMBER 30, 2016 (UNAUDITED) | | YEAR ENDED MARCH 31, 2016 | | |
| | | | | |
Change in Fund shares: | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Shares outstanding at beginning of period | | | | 70,589,674 | | | | | 61,782,339 | | | | | 119,202,854 | | | | | 108,814,137 | | | |
| | | | | |
Shares sold | | | | 12,344,744 | | | | | 32,946,154 | | | | | 37,343,378 | | | | | 46,786,850 | | | |
| | | | | |
Shares issued through reinvestment of distributions | | | | 667,208 | | | | | 1,241,255 | | | | | 1,032,650 | | | | | 1,982,569 | | | |
| | | | | |
Shares redeemed | | | | (15,901,176 | ) | | | | (25,380,074 | ) | | | | (17,962,041 | ) | | | | (38,380,702 | ) | | |
| | | | | |
Net increase/(decrease) in fund shares | | | | (2,889,224 | ) | | | | 8,807,335 | | | | | 20,413,987 | | | | | 10,388,717 | | | |
| | | | | |
Shares outstanding at end of period | | | | 67,700,450 | | | | | 70,589,674 | | | | | 139,616,841 | | | | | 119,202,854 | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | FLOATING RATE INCOME FUND | | |
| | | CLASS M | | CLASS M | | CLASS I | | CLASS I | | |
| | | SIX MONTHS ENDED SEPTEMBER 30,
2016 (UNAUDITED) | | YEAR ENDED MARCH 31, 2016 | | SIX MONTHS ENDED
SEPTEMBER 30, 2016 (UNAUDITED) | | YEAR ENDED MARCH 31, 2016 | | |
| | | | | |
Change in Fund shares: | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Shares outstanding at beginning of period | | | | 837,086 | | | | | 605,049 | | | | | 14,232,960 | | | | | 13,651,778 | | | |
| | | | | |
Shares sold | | | | 326,933 | | | | | 589,287 | | | | | 3,153,841 | | | | | 5,750,171 | | | |
| | | | | |
Shares issued through reinvestment of distributions | | | | 13,518 | | | | | 24,894 | | | | | 279,105 | | | | | 555,230 | | | |
| | | | | |
Shares redeemed | | | | (185,281 | ) | | | | (382,144 | ) | | | | (302,581 | ) | | | | (5,724,219 | ) | | |
| | | | | |
Net increase in fund shares | | | | 155,170 | | | | | 232,037 | | | | | 3,130,365 | | | | | 581,182 | | | |
| | | | | |
Shares outstanding at end of period | | | | 992,256 | | | | | 837,086 | | | | | 17,363,325 | | | | | 14,232,960 | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | STRATEGIC INCOME FUND | | |
| | | CLASS M | | CLASS M | | CLASS I | | CLASS I | | |
| | | SIX MONTHS ENDED SEPTEMBER 30,
2016 (UNAUDITED) | | YEAR ENDED MARCH 31, 2016 | | SIX MONTHS ENDED
SEPTEMBER 30, 2016 (UNAUDITED) | | YEAR ENDED MARCH 31, 2016 | | |
| | | | | |
Change in Fund shares: | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Shares outstanding at beginning of period | | | | 7,397,766 | | | | | 8,833,702 | | | | | 7,646,228 | | | | | 10,918,780 | | | |
| | | | | |
Shares sold | | | | 3,025,573 | | | | | 3,255,588 | | | | | 2,762,759 | | | | | 2,722,670 | | | |
| | | | | |
Shares issued through reinvestment of distributions | | | | 125,679 | | | | | 260,442 | | | | | 140,243 | | | | | 375,885 | | | |
| | | | | |
Shares redeemed | | | | (1,753,097 | ) | | | | (4,951,966 | ) | | | | (1,955,784 | ) | | | | (6,371,107 | ) | | |
| | | | | |
Net increase/(decrease) in fund shares | | | | 1,398,155 | | | | | (1,435,936 | ) | | | | 947,218 | | | | | (3,272,552 | ) | | |
| | | | | |
Shares outstanding at end of period | | | | 8,795,921 | | | | | 7,397,766 | | | | | 8,593,446 | | | | | 7,646,228 | | | |
Semi-Annual Report September 2016 / 220
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | |
| | | ALPHATRAK FUND | | | | |
| | | CLASS M | | CLASS M | | | | |
| | | | |
| | | SIX MONTHS ENDED SEPTEMBER 30, 2016 (UNAUDITED) | | YEAR ENDED MARCH 31, 2016 | | | | |
| | | | |
Change in Fund shares: | | | | | | | | | | | | | | |
| | | | |
Shares outstanding at beginning of period | | | | 333,047 | | | | | 1,349,042 | | | | | |
| | | | |
Shares sold | | | | 186,888 | | | | | 386,769 | | | | | |
| | | | |
Shares issued through reinvestment of distributions | | | | 4,706 | | | | | 1,828 | | | | | |
| | | | |
Shares redeemed | | | | (130,488 | ) | | | | (1,404,592 | ) | | | | |
| | | | |
Net increase/(decrease) in fund shares | | | | 61,106 | | | | | (1,015,995 | ) | | | | |
| | | | |
Shares outstanding at end of period | | | | 394,153 | | | | | 333,047 | | | | | |
| 9. | FEDERAL TAX INFORMATION |
Capital Loss Carryforwards:
At September 30, 2016, the following Funds had available for federal income tax purposes unused capital losses as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
FUND | | EXPIRING IN 2016 | | EXPIRING IN 2017 | | EXPIRING IN 2018 | | EXPIRING IN
2019 | | SHORT TERM
NON-EXPIRING
AMOUNTS* | | LONG TERM
NON-EXPIRING
AMOUNTS* |
| | | | | | |
Ultra Short Bond Fund | | | | $1,489,245 | | | | | $17,068,161 | | | | | $14,894,875 | | | | | $10,083,524 | | | | | $ 284,468 | | | | | $ 4,796,493 | |
| | | | | | |
Low Duration Bond Fund | | | | — | | | | | 99,373,584 | | | | | 21,029,490 | | | | | 42,081,240 | | | | | — | | | | | 55,434,071 | |
| | | | | | |
High Yield Bond Fund | | | | — | | | | | — | | | | | — | | | | | — | | | | | 3,275,608 | | | | | 59,903,820 | |
| | | | | | |
Unconstrained Bond Fund | | | | — | | | | | — | | | | | — | | | | | — | | | | | 2,222,418 | | | | | 3,156,552 | |
| | | | | | |
Floating Rate Income Fund* | | | | — | | | | | — | | | | | — | | | | | — | | | | | 202,840 | | | | | 1,210,847 | |
| | | | | | |
Strategic Income Fund | | | | 6,589,872 | | | | | 47,852,416 | | | | | 18,413,032 | | | | | 41,345,040 | | | | | 4,429 | | | | | 1,713,081 | |
| | | | | | |
AlphaTrak 500 Fund | | | | — | | | | | 63,409,884 | | | | | 15,892,244 | | | | | 12,617,196 | | | | | 35,176 | | | | | 55,884 | |
| | * | 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. |
Tax Basis of Distributable Income:
As of September 30, 2016, 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) | | | | $ 12,836 | | | | | $ — | | | | | $ 1,009,315 | | | | | $255,816,060 | |
| | | | |
Undistributed long-term gains | | | | — | | | | | — | | | | | 2,496,840 | | | | | 38,490,387 | |
| | | | |
Other temporary differences | | | | (17,492 | ) | | | | (1,056,637 | ) | | | | (58,170 | ) | | | | (13,274,509 | ) |
| | | | |
Accumulated capital loss carryforwards and post-October losses | | | | (47,127,521 | ) | | | | (217,918,385 | ) | | | | — | | | | | — | |
| | | | |
Net unrealized appreciation | | | | 168,840 | | | | | 4,434,732 | | | | | 9,539,316 | | | | | 622,260,944 | |
| | | | |
Total accumulated earnings/(losses) | | | | $(46,963,337 | ) | | | | $(214,540,290 | ) | | | | $12,987,301 | | | | | $903,292,882 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 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) | | | | $ 2,524,814 | | | | | $ 1,777,229 | | | | | $ 6,599 | | | | | $ 373,385 | | | | | $ 11,748 | |
| | | | | |
Other temporary differences | | | | (281,206 | ) | | | | (1,009,873 | ) | | | | (1,724 | ) | | | | (24,395 | ) | | | | (802 | ) |
| | | | | |
Accumulated capital loss carryforwards and post- October losses | | | | (63,179,428 | ) | | | | (5,378,970 | ) | | | | (1,413,687 | ) | | | | (109,327,998 | ) | | | | (92,010,384 | ) |
| | | | | |
Net unrealized appreciation/(depreciation) | | | | (97,277,051 | ) | | | | (24,416,996 | ) | | | | (3,523,817 | ) | | | | 1,334,383 | | | | | (16,813 | ) |
| | | | | |
Total accumulated earnings/(losses) | | | | $(158,212,871 | ) | | | | $(29,028,610 | ) | | | | $(4,932,629 | ) | | | | $(107,644,625 | ) | | | | $(92,016,251 | ) |
221 / Semi-Annual Report September 2016
Notes to Financial Statements (Continued)
Permanent differences incurred during the fiscal year ended March 31, 2016, 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 | | | $ | — | | | | $ | 1,489,245 | | | | $ | (1,489,245 | ) | | | | | |
| | | | |
Low Duration Bond Fund | | | | 4,214 | | | | | (4,214 | ) | | | | — | | | | | | |
| | | | |
Intermediate Bond Fund | | | | 745,670 | | | | | (745,670 | ) | | | | — | | | | | | |
| | | | |
Total Return Bond Fund | | | | 33,309,716 | | | | | (33,309,716 | ) | | | | — | | | | | | |
| | | | |
High Yield Bond Fund | | | | (544,672 | ) | | | | 1,199,093 | | | | | (654,421 | ) | | | | | |
| | | | |
Unconstrained Bond Fund | | | | (23,616 | ) | | | | 23,616 | | | | | — | | | | | | |
| | | | |
Floating Rate Income Fund | | | | (148 | ) | | | | 148 | | | | | — | | | | | | |
| | | | |
Strategic Income Fund | | | | — | | | | | 6,589,872 | | | | | (6,589,872 | ) | | | | | |
The permanent differences are due to investments in swaps, foreign currency, the U.S. subsidiary, expired capital loss carryforwards and redesignation of dividends paid.
Tax Basis of Distributions to Shareholders:
| | | | | | | | | | | | | | | | | | | | | | |
| | | ULTRA SHORT
BOND FUND | | LOW DURATION
BOND FUND | | |
| | | MARCH 31, 2016 | | MARCH 31,
2015 | | MARCH 31, 2016 | | MARCH 31,
2015 | | |
Distributions from: | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Ordinary income (inclusive of short-term capital gains) | | | $ | 1,125,116 | | | | $ | 1,383,172 | | | | $ | 43,127,013 | | | | $ | 48,311,692 | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total taxable distributions | | | $ | 1,125,116 | | | | $ | 1,383,172 | | | | $ | 43,127,013 | | | | $ | 48,311,692 | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | INTERMEDIATE
BOND FUND | | TOTAL RETURN
BOND FUND | | |
| | | MARCH 31, 2016 | | MARCH 31, 2015 | | MARCH 31, 2016 | | MARCH 31, 2015 | | |
Distributions from: | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Ordinary income (inclusive of short-term capital gains) | | | | $23,413,000 | | | | | $13,419,137 | | | | | $1,657,931,994 | | | | | $850,522,965 | | | |
| | | | | |
Net long-term capital gains | | | | 39,282 | | | | | 680,205 | | | | | 334,609,524 | | | | | 36,905,556 | | | |
| | | | | |
Total taxable distributions | | | | $23,452,282 | | | | | $14,099,342 | | | | | $1,992,541,518 | | | | | $887,428,521 | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | HIGH YIELD
BOND FUND | | UNCONSTRAINED
BOND FUND | | |
| | | MARCH 31,
2016 | | MARCH 31,
2015 | | MARCH 31,
2016 | | MARCH 31,
2015 | | |
Distributions from: | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Ordinary income (inclusive of short-term capital gains) | | | | $52,054,567 | | | | | $ 88,003,747 | | | | | $47,055,696 | | | | | $21,822,646 | | | |
| | | | | |
Net long-term capital gains | | | | — | | | | | 21,302,928 | | | | | — | | | | | — | | | |
| | | | | |
Total taxable distributions | | | | $52,054,567 | | | | | $109,306,675 | | | | | $47,055,696 | | | | | $21,822,646 | | | |
Semi-Annual Report September 2016 / 222
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | |
| | | FLOATING RATE
INCOME
FUND | | | STRATEGIC INCOME
FUND | | | ALPHATRAK 500
FUND | | | |
| | | MARCH 31,
2016 | | | MARCH 31,
2015 | | | MARCH 31,
2016 | | | MARCH 31,
2015 | | | MARCH 31,
2016 | | | MARCH 31,
2015 | | | |
Distributions from: | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ordinary income (inclusive of short-term capital gains) | | | $5,783,912 | | | | $5,673,067 | | | | $5,277,694 | | | | $4,124,788 | | | | $13,244 | | | | $46,107 | | | |
| | | | | | | |
Net long-term capital gains | | | 5,518 | | | | 17,195 | | | | — | | | | — | | | | — | | | | — | | | |
| | | | | | | |
Total taxable distributions | | | $5,789,430 | | | | $5,690,262 | | | | $5,277,694 | | | | $4,124,788 | | | | $13,244 | | | | $46,107 | | | |
Domestic Blocker Income Tax
The Domestic Blocker recorded a provision for income tax expense (benefit) for the period ended September 30, 2016.This provision for income tax expense (benefit) is comprised of the following current and deferred income tax expense (benefit):
Current $ –
Deferred $ –
Deferred income taxes reflect the net tax effect of temporary differences between the carrying amount of the assets and liabilities for financial reporting and tax purposes. Components of the Blocker Corporation’s deferred tax assets and liabilities as of September 30, 2016 are as follows:
| | |
Deferred Tax Assets: | | |
| |
Net Operating Loss Carryforward | | $ 1,239,396 |
| |
Capital Loss Carryforward | | 3,356,392 |
| |
Charitable Contribution Carryforward | | 2,053 |
| |
Less Deferred Tax Liabilities: | | |
Unrealized appreciation on investment in Entegra TC, LLC | | (1,500,839) |
| |
Total net deferred tax assets before valuation allowance | | 3,097,002 |
| |
Less: Valuation Allowance | | (3,097,002) |
| |
Net deferred tax asset | | $ — |
The capital loss carryforwards are available to offset future capital gains of the Blocker Corporation. For federal income tax purposes, capital losses of a corporation can be carried forward for 5 years. The Blocker Corporation has the following capital loss amounts:
| | | | | | | | | | |
| Fiscal Year Ended Capital Loss | | Amount | | Expiration |
| | |
March 31, 2015 | | | $ | 8,521,573 | | | | | March 31, 2020 | |
| | |
March 31, 2016 | | | $ | — | | | | | March 31, 2021 | |
| | |
March 31, 2017 | | | $ | — | | | | | March 31, 2022 | |
Net operating losses are available to offset future taxable income of the Blocker Corporation. For federal income tax purposes, net operating losses of a corporation may be carried forward for 20 years.
| | | | | | | | | | |
| Fiscal Net Operating Loss | | Amount | | Expiration |
| | |
March 31, 2015 | | | $ | 1,010,232 | | | | | March 31, 2035 | |
| | |
March 31, 2016 | | | $ | 2,116,216 | | | | | March 31, 2036 | |
| | |
March 31, 2017 | | | $ | 20,265 | | | | | March 31, 2037 | |
223 / Semi-Annual Report September 2016
Notes to Financial Statements (Concluded)
Total income tax (current and deferred) is computed by applying the federal statutory income tax rate of 35% and applicable state tax statutory rates (net of federal tax benefit) to net investment income and realized and unrealized gains/(losses) on investments before taxes for the period ended September 30, 2016 as follows:
| | | | | |
Income tax expense at Federal statutory rate of 35% | | | $ | 168,192 | |
| |
State income tax expense, net of federal benefit | | | | 21,083 | |
| |
Valuation allowance changes affecting the provision for income taxes | | | | (189,275 | ) |
| | | | | |
| |
Total income tax expense | | | $ | — | |
| | | | | |
The Blocker Corporation recognizes the tax benefits of uncertain tax positions only where the position is “more likely than not” to be sustained assuming examination by tax authorities. Management has analyzed the Blocker Corporation’s tax positions, and has concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken on U.S. tax returns and state tax returns filed since inception of the Blocker Corporation. Tax periods ended March 31, 2015 and 2016 remain subject to examination by tax authorities in the United States. Due to the nature of the Blocker Corporation’s investments, the Blocker Corporation may be required to file income tax returns in several states. The Blocker Corporation is not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next 12 months.
| 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 purposes with an expiration date of September 14, 2017. The interest rate on borrowing is the higher of the federal funds rate or the overnight LIBOR rate, plus 1.15%. There were no borrowings from the line of credit as of or during the six months ended September 30, 2016. The Funds pay the Bank a commitment fee equal to 0.13% per annum on the daily unused portion of the committed line amount. 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 2016 / 224
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 26, 2016, the Board of Trustees of the Trust (the “Board”) approved the renewal of the Agreement for an additional one-year term from February 6, 2017 through February 5, 2018. 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 on September 6, 2016, and in person 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.
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 peer groups of 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 services provided to the Funds and to other advisory and sub-advisory clients, descriptions of 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 strong analytical 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 recent growth in assets. The Independent Trustees considered the ability of the Adviser to attract and retain qualified business professionals and its compensation program, noting in particular the Adviser’s recent hiring of professionals in various areas over the past several years, including a new Chief Data Officer, upgrading resources in the middle office and back office operations and other areas, as well as a continuing and extensive program of infrastructure and systems enhancements. 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, operations, administration, research, and portfolio accounting. 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 Independent Trustees. The Adviser explained its responsibility to supervise the activities of the Funds’ various service providers, as well as supporting the Independent Trustees and their meetings, regulatory filings, and various operational personnel.
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 Broadridge (formerly Lipper Analytical Services, Inc.), an
225 / Semi-Annual Report September 2016
Approval of Investment Management Agreement by Trustees (Unaudited) (Continued)
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.
The Board noted that each Fund’s performance was satisfactory over the relevant periods and in some cases very favorable, particularly over longer-term periods, which the Board believes are the most relevant. Most Funds had one or more 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 each Fund with respect to periods where the Fund lagged its peer group average remained satisfactory given the more conservative portfolio that the Adviser had established and maintained for that Fund and the reasons for that more conservative strategy in light of the Adviser’s overall view of the fixed income markets. 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 over the long term.
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 Broadridge 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. The Board considered the Adviser’s view that the Broadridge peer group did not provide a suitable comparison for either the Unconstrained Bond Fund or the Strategic Income Fund. In particular, the Adviser’s view is that the Strategic Income Fund should instead be compared to private absolute return funds, which the Adviser views as that Fund’s closest relevant comparison and to which its fees and expenses compare very favorably. 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 noted further that the relatively high total expense ratio for the AlphaTrak 500 Fund related primarily to the small asset base for that Fund. The Board concluded that the competitive fees charged by the Adviser, and competitive expense ratios, should benefit each Fund and its shareholders.
The Board also reviewed information regarding the advisory fees paid by institutional and sub-advisory clients of the Adviser 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 managing the more active cash flows from purchases and redemptions by shareholders, the additional risks of managing a pool of assets for public investors, administrative burdens, pricing and valuation responsibilities, the supervision of vendors and service providers, and the costs of additional infrastructure and operational resources and personnel and of complying with and supporting the more comprehensive regulatory and governance regime applicable to mutual funds.
5. The Adviser’s costs, level of profits, and economies of scale
The Board 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 Board and 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. The Board and the Independent Trustees also considered the recent implementation of a supplemental administrative services agreement that reimburses the Adviser for a portion of its compliance and other administrative services in an amount reviewed and approved by the Board and the Independent Trustees. The Board noted that no fee had yet been paid to the Adviser under that supplemental agreement. Based on their review, the Board and 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 Board and 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 and that the relatively low advisory fees reflect the potential economies of scale. For example, the largest Fund, the Total Return Bond Fund, is one of the largest mutual funds in its peer group, but its contractual advisory fee and total expenses remain below the peer group median. The
Semi-Annual Report September 2016 / 226
Approval of Investment Management Agreement by Trustees (Unaudited) (Concluded)
Board and the Independent Trustees recognized the benefits to the Funds of the Adviser’s substantial past and on-going investment in the advisory business that benefits the Funds, such as obtaining and retaining key professional talent, systems and technology, administration, compliance, legal and infrastructure, as well as the financial pressures of competing against much larger firms and passive investment products. The Board and the Independent Trustees 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 and the Independent Trustees 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 and the Independent Trustees concluded that the Adviser was satisfactorily sharing potential economies of scale with the Funds through low fees and expenses, and through reinvesting in its capabilities for serving the Funds and their shareholders.
6. Ancillary benefits
The Board and the Independent Trustees 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 Funds’ 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.
227 / Semi-Annual Report September 2016
[THIS PAGE INTENTIONALLY LEFT BLANK]
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:
• 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.
• 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.
• 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
• 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.
• 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. |
229 / Semi-Annual Report September 2016
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 Alternative Funds, TCW Strategic Income Fund, Inc. and the Metropolitan West Funds:
| | |
| • | | Are not guaranteed by a bank; |
| |
| • | | Are not obligations of The TCW Group, Inc. or of its subsidiaries; |
| |
| • | | Are not insured by the Federal Deposit Insurance Corporation; and |
| |
| • | | 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 ALTERNATIVE FUNDS
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 2016 / 230
[THIS PAGE INTENTIONALLY LEFT BLANK]
[THIS PAGE INTENTIONALLY LEFT BLANK]
MetWest Funds
865 South Figueroa Street
Los Angeles, California 90017
800 241 4671
www.TCW.com
BOARD OF TRUSTEES
Andrew Tarica
Laird R. Landmann
Peter McMillan
Martin Luther King, III
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
Jeffrey A. Engelsman
Chief Compliance Officer
ADVISER
Metropolitan West Asset Management, LLC
865 South Figueroa Street, Floor 1800
Los Angeles, California 90017
CUSTODIAN
The Bank of New York Mellon
One Wall Street
New York, New York 10286
TRANSFER AGENT
BNY Mellon Investment Servicing (U.S.) Inc.
760 Moore Road
King of Prussia, Pennsylvania 19406
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Deloitte & Touche LLP
555 West 5th Street, Suite 2700
Los Angeles, California 90013
DISTRIBUTOR
Foreside Funds Distributors LLC
899 Cassatt Road, 400 Berwyn Park
Berwyn, Pennsylvania 19312
LEGAL COUNSEL
Paul Hastings LLP
55 Second Street, 24th Floor
San Francisco, California 94105-3441
For Additional Information about the Metropolitan West Funds call: (213) 244-0000 or (800) 241-4671 (toll-free)
www.TCW.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 www.sec.gov.
The Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at www.sec.gov and may also be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on how to access documents on the SEC’s website without charge may be obtained by calling (800) SEC-0330. The Funds’ Forms N-Q may also be obtained upon request and without charge by calling (800) 241-4671.
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.
FUNDmwSAR 11/3/16
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.
| (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. |
| | (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. |
