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, 2018
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.
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| Metropolitan West Funds | | September 30, 2018 |
| Table of Contents | | |
METROPOLITAN WEST FUNDS
Dear Fellow Shareholder,
We are pleased to provide the following Semi-Annual Report for the Funds for the period ended September 30, 2018. Against a rising rate backdrop, strong sponsorship and new products allowed the assets of the Funds to stay steady at roughly $80 billion, a measure that we view with great appreciation for the confidence it conveys and the responsibility of meeting client expectations.
The September 30, 2018 Semi-Annual Report covers the following Metropolitan West Funds:
| | |
| Metropolitan West AlphaTrak 500 Fund | | M-Class (MWATX) |
| Metropolitan West Corporate Bond Fund | | M-Class (MWCSX), I Class (MWCBX) |
| Metropolitan West Floating Rate Income Fund | | M-Class (MWFRX), I Class (MWFLX) |
| Metropolitan West High Yield Bond Fund | | M-Class (MWHYX), I-Class (MWHIX) |
| Metropolitan West Intermediate Bond Fund | | M-Class (MWIMX), I-Class (MWIIX) |
| Metropolitan West Investment Grade Credit Fund | | M-Class (MWISX), I Class (MWIGX) |
| Metropolitan West Low Duration Bond Fund | | M-Class (MWLDX), I-Class (MWLIX), |
| | Administrative-Class (MWLNX) |
| Metropolitan West Strategic Income Fund | | M-Class (MWSTX), I Class (MWSIX) |
| Metropolitan West Total Return Bond Fund | | M-Class (MWTRX), I-Class (MWTIX), |
| | Administrative-Class (MWTNX), |
| | Plan-Class (MWTSX) |
| Metropolitan West Ultra Short Bond Fund | | M-Class (MWUSX), I-Class (MWUIX) |
| Metropolitan West Unconstrained Bond Fund | | M-Class (MWCRX), I Class (MWCIX) |
Economic Review and Market Environment
Encouraging signs continued to appear across the macroeconomic spectrum during the six-month reporting period, as GDP growth came in at a 4.2% annualized rate, underpinned by strong consumer and business spending as well as a surge in exports, and the labor market remained strong with jobless claims dropping to their lowest level in 49 years. Investors were also encouraged by constructive steps between the U.S. and Mexico on NAFTA re-negotiations, though details of the agreement remained less than certain as September came to a close. While much of the macroeconomic data had a positive tilt, these backward-looking statistics do not necessarily signal a sustainable story going forward as a spate of coincident or leading indicators skew toward tighter financial conditions ready to choke off faster growth. Thematically, there is less accommodative Fed policy (at eight hikes and counting since December 2015, along with balance sheet reduction), resulting in higher short-term rates and a recession-hinting flatness to the US Treasury curve. The beginning signs of weakness have started to show in the housing sector – the segment of the economy that has thus far been an engine for growth – as new home sales, housing starts, and building permits have disappointed. This is a particularly interest rate sensitive part of the economy and affordability is much lower than it has been in the past, particularly for the new homebuyer segment, as mortgage rates have climbed significantly over the past twelve months. Next up thematically is increased volatility, the incidence of which has picked up considerably in 2018, following a near-absence of it last year, especially late. This, too, is likely to weigh on confidence and to reset risk premiums higher, a circumstance already affecting investment grade yield spreads to a degree. Ironically, higher quality debt has incurred more generalized widening than the speculative grade market, owing to voluminous issuance, increased leverage and limited covenant protection. Further, in typical late-cycle fashion, the rating agencies seem most lenient to even the most outrageous debt incurrence, with susceptibility, particularly in M&A and LBO activity, to claims for post-transaction deleveraging to forestall downgrades. The array of factors lined up continues to suggest that optimistic pricing prevails, with markets prone to downward adjustment.
As the Fed continued on its path of policy normalization, rates increased across the curve during the six-month period, led by the front end, which was higher by roughly 50 basis points (bps). Fixed income sectors were challenged by the rising rate environment, reflected in a modest 0.1% loss for the Bloomberg Barclays Aggregate Index. After a weak second quarter, corporate credit rebounded and ultimately finished the six-month period with flat total return, though the excess return relative to duration-matched Treasuries was nearly 70 bps. Notably, high yield corporates continued to benefit from a supportive technical backdrop of lighter issuance to gain an impressive 3.5% and post nearly 350 bps of excess return. Securitized products outpaced the overall market with a return of 0.2%, led by asset-backed securities (ABS) and non-agency mortgage-backed securities (MBS), which continued to post consistent, positive returns, particularly from issues backed by subprime and alt-A collateral. The sector benefits from a floating rate profile, helping to overcome a backdrop of rising rates, even as price appreciation was muted. Commercial MBS (CMBS) also bested corporates, though non-agency backed CMBS securities outpaced their agency CMBS counterparts. Agency MBS performance, meanwhile, was mixed within the coupon stack, though the overall sector continued to recover from early year weakness and outpaced comparable maturity US Treasury issues by over 30 bps.
1 / Semi-Annual Report September 2018
The Economy and Market Ahead
At over nine years, this span of recovery and expansion is the second longest in history, extending well beyond the typical timeframe. Notwithstanding its considerable length, this cycle shares many characteristics (namely high debt levels and limited excess capacity) with those of the past, suggesting that we are much closer to the end than the beginning. While the specific catalyst that will bring on the end of the cycle is always difficult to predict, as noted above, there is no shortage of candidates that alone or, more likely, in combination that will be the culprit. History suggests, however, that the usual prologue to a turn is tighter monetary policy, leading to the observation that “cycles don’t die of old age; it’s the Fed that kills them!” When markets are flooded with liquidity, as has been the case for the past ten years given unprecedented central bank support, investors have gotten away with overlooking the growing weakness in underlying fundamentals. In a new, liquidity-constrained environment with brewing risks under the surface, we believe that prevailing asset prices reflect a degree of misplaced optimism, with markets prone to downward adjustment. As a result, investors should be cautious overall as markets get closer to a deleveraging.
Data sources for the discussion above include Barclays, Bloomberg, JPMorgan and Merrill Lynch. Effective November 27, 2017, BofAML Indices were rebranded to ICE BofAML.
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 Funds’ website at TCW.com. Investment returns and principal value will fluctuate with market conditions. The value of an investment in a Fund, when redeemed, may be worth more or less than its original purchase cost.
Metropolitan West AlphaTrak 500 Fund
(MWATX)
The MetWest AlphaTrak 500 Fund (“Fund”) gained 10.90% (net of fees) for the six-month period ending September 30, 2018, versus the S&P 500 Index which rose 11.41%. With U.S. Treasury rates rising over the period, the duration of the Fund, though short at approximately 0.7 years, weighed on performance, while an additional drag came from yield curve positioning with a slight preference for the front end of the curve, namely 2-Year maturities, where rates rose the most. Meanwhile, returns benefitted from the allocation to short corporate credit, which led Treasuries by 70 bps on a duration-adjusted basis, and from issue selection among corporate credit, namely the emphasis on short financials, which outpaced industrials and utilities. Commodity-related sectors also performed well over the period on rising commodity prices, resulting in an additional boost to returns given the Fund’s small allocation. Outside of the corporate space, non-agency residential MBS added modestly to returns. CMBS and ABS had little impact, with the sector overweight generally benefitting as spreads tightened, while issue selection was muted given the higher quality emphasis.
Given the above dynamics, overall positioning remains defensive with respect to credit and emphasizes high quality, non-cyclical sectors that would be resilient in the face of a deleveraging event. Within this conservative context, however, we continue to actively manage the Fund with an eye toward attractive relative value opportunities. Securitized products favor higher quality, more senior issues including a small allocation to legacy non-agency MBS, while the minimal allocation to agency MBS is focused on floating rate CMOs given relatively stable duration profiles. Opportunities for reasonably safe yields can still be found in the higher quality segments of ABS and CMBS, though investors must remain vigilant as underwriting standards continue to deteriorate. Among CMBS, exposure is skewed towards agency-backed as well as seasoned non-agency issues at the top of the capital structure to avoid the underwriting challenges faced by current vintage non-agency CMBS. Consistent with this defensive posture, the Fund’s ABS allocation favors more robust structures such as federally guaranteed student loans and AAA-rated CLOs that offer value.
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| | | Performance Through September 30, 2018 |
| | | 6 Months
(Cumulative) | | 1 Year
(Annualized) | | 3 Year
(Annualized) | | 5 Year
(Annualized) | | 10 Year
(Annualized) | | Since Inception
(Annualized) |
MWATX (Inception: June 29, 1998) | | 10.90% | | 16.47% | | 19.37% | | 15.06% | | 13.67% | | 7.03% |
Standard & Poor’s 500 Index | | 11.41% | | 17.91% | | 17.29% | | 13.94% | | 11.96% | | 6.75% |
Metropolitan West Corporate Bond Fund
M-Class (MWCSX), I-Class (MWCBX)
Since its inception on June 29, 2018, the MetWest Corporate Bond Fund – I Class (“Fund”) gained 1.7%, outpacing the return of the Bloomberg Barclays U.S. Corporate Index by 79 bps. Given that U.S. Treasury yields have moved higher toward near what we believe to be fair value, the duration position of the portfolio was maintained at roughly three-tenths of a year long relative to the Index, weighing on relative returns during the period. However, this was more than offset by positive contributions coming from the
Semi-Annual Report September 2018 / 2
off-Index positions in securitized products. In particular, the exposure to well-sponsored CMBS and agency MBS issues benefitted returns. Among corporate credit, the relative underweight to energy credits was a drag, though the emphasis on top performing midstream energy within the sector was a positive. Finally, issue selection among corporates contributed to returns given the focus on strong performing communications credits and REITs.
Given the above dynamics, the overall positioning of the Fund was constructed to be defensive with respect to credit and emphasizes high quality, non-cyclical sectors that would be resilient in the face of a deleveraging event. Within this conservative context, however, we will actively manage the Fund with an eye toward attractive relative value opportunities. In the corporate sector, tight valuations and historically high leverage influence our preference for shorter duration, more defensive regulated sectors like U.S. electric utilities with limited re-leveraging risk and reasonable yield premiums, and high quality, low beta industrials. Securitized products are an additional focus, with a bias towards higher quality, more senior issues such as agency MBS. Opportunities for reasonably safe yields can still be found in the higher quality segments of CMBS, though investors must remain vigilant as underwriting standards continue to deteriorate, and the non-agency CMBS holdings of the Fund are focused at the top of the capital structure and single asset single borrower deals.
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| | | Performance Through September 30, 2018 |
| | | 1 Year
(Annualized) | | 3 Year
(Annualized) | | 5 Year
(Annualized) | | 10 Year
(Annualized) | | Since Inception1 |
MWCSX (Inception: June 29, 2018) | | — | | — | | — | | — | | 1.70% |
U.S. Corporate Index | | — | | — | | — | | — | | 0.97% |
MWCBX (Inception: June 29, 2018) | | — | | — | | — | | — | | 1.76% |
U.S. Corporate Index | | — | | — | | — | | — | | 0.97% |
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1Non-annualized. Cumulative return for the Fund during the period of June 29, 2018 through September 30, 2018.
Metropolitan West Floating Rate Income Fund
M-Class (MWFRX), I-Class (MWFLX)
For the six-month period ending September 30, 2018, the MetWest Floating Rate Bond Fund – I Class (“Fund”) gained 2.16% (net of fees), trailing the S&P/LSTA Leveraged Loan Index (“Index”) by nearly 39 bps. As higher beta names outperformed, the Fund’s underweight to energy, metals/minerals, and retail weighed on relative performance. Commodity-related sectors were buoyed by a rally in oil prices amid supply disruptions and tension between Iran and the U.S. Retail, meanwhile, found firmer footing given a consumer bolstered by a solid job market that allowed for largely good quarterly results and the outperformance and compression of higher beta stressed borrowers. Partially offsetting the drag was the Fund’s overweight to healthcare which outpaced the Index and the underweight to consumer durables, which continued to be under pressure due to the way consumers buy products (i.e. the Amazon effect). Meanwhile, the Fund’s higher quality emphasis was an additional drag as lower quality outperformed over the period.
With leverage near record highs, issuance ever more aggressive, and yield compensation skinny, the signs that we are nearing the end of this credit cycle continue to grow. When markets are flooded with liquidity, as has been the case for the past ten years given unprecedented central bank support, investors have gotten away with overlooking the growing weakness in underlying fundamentals. Moreover, fiscal stimulus has bolstered headline figures of macroeconomic data and corporate earnings, which has provided justification for continued bullish sentiment even in the face of growing headwinds. In a new, liquidity-constrained environment with brewing risks under the surface, we believe that prevailing asset prices reflect a degree of misplaced optimism, with markets prone to downward adjustment. Similarly in loans, prices and spreads have compressed and the three-year discount margin ended the quarter at the tightest level since October 2007 while the sector sits on the precipitous of another repricing. While loan collateral prices tighten, CLO AAA liabilities are still widening. The arbitrage is stressed and will experience further pressure with incremental flows from retail funds and SMAs coming in each time rates go higher. The result will either be tightening liabilities or a more balanced supply/demand dynamic with sufficient outflows to warrant new CLO issuance. However, with CLO currently representing 60% of loan demand, it is hard to craft a scenario where SMAs and retail funds can replace that demand for a prolonged period of time.
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| | | Performance Through September 30, 2018 |
| | | 6 Months
(Cumulative) | | 1 Year
(Annualized) | | 3 Year
(Annualized) | | 5 Year
(Annualized) | | 10 Year
(Annualized) | | Since Inception
(Annualized) |
MWFRX (Inception: June 28, 2013) | | 1.96% | | 4.04% | | 3.92% | | 3.53% | | — | | 3.71% |
S&P/LSTA Leveraged Loan Index | | 2.55% | | 5.17% | | 5.29% | | 4.11% | | — | | 4.14% |
MWFLX (Inception: June 28, 2013) | | 2.16% | | 4.25% | | 4.13% | | 3.74% | | — | | 3.91% |
S&P/LSTA Leveraged Loan Index | | 2.55% | | 5.17% | | 5.29% | | 4.11% | | — | | 4.14% |
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3 / Semi-Annual Report September 2018
Metropolitan West High Yield Bond Fund
M-Class (MWHYX), I-Class (MWHIX)
The MetWest High Yield Bond Fund – I Class (“Fund”) gained 2.02% over the six-month reporting period, trailing the return of the Bloomberg Barclays High Yield 2% Issuer Capped Index by 144 bps given the Fund’s defensive positioning. Within the Fund’s sector allocation, an overweight to communications was additive, particularly the emphasis on top performing wireless and cable credits, though this was offset by the underweight to commodity-related energy sectors, which also outpaced the high yield market on the rebound in oil prices given supply disruptions and tensions between Iran and the U.S. An up-in-quality emphasis further weighed on returns, as the lower quality cohort outperformed, with CCC-rated credits returning 5.7% relative to a 2.1% gain for the BB-rated cohort. Finally, the Fund’s duration profile, which extended over the period to three-tenths of a year short relative to the Index, benefitted performance amid the rise in rates.
With leverage near record highs, issuance ever more aggressive, and yield compensation skinny, the signs that we are nearing the end of this credit cycle continue to grow. When markets are flooded with liquidity, as has been the case for the past ten years given unprecedented central bank support, investors have gotten away with overlooking the growing weakness in underlying fundamentals. Moreover, fiscal stimulus has bolstered headline figures of macroeconomic data and corporate earnings, which has provided justification for continued bullish sentiment even in the face of growing headwinds. In a new, liquidity-constrained environment with brewing risks under the surface, we believe that prevailing asset prices reflect a degree of misplaced optimism, with markets prone to downward adjustment. This risk is particularly notable in the high yield space, where spreads have thus far remained insulated from macroeconomic volatility and year-to-date outflows. Notwithstanding the supportive technical backdrop, high yield investors should be cautious overall as markets get closer to a deleveraging. A credit-intensive, bottoms-up investment approach remains the key to value uncovering opportunities and, most importantly, avoiding credit accidents. This disciplined approach to portfolio construction is reflected in the Fund’s focus on higher quality, better-collateralized areas of the market, while the introduction of risk into the portfolio is done in an extremely measured and selective way. Industrials continue to represent a relative underweight, with an emphasis on non-cyclical sectors that have less economically sensitive business drivers, focusing on select companies with solid asset coverage and stable cash flows within lower beta packaging, transportation, communication, food & beverage, and midstream energy sectors. Finally, the cash position remains elevated to preserve ample capacity to deploy capital as opportunities emerge.
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| | | Performance Through September 30, 2018 |
| | | 6 Months
(Cumulative) | | 1 Year
(Annualized) | | 3 Year
(Annualized) | | 5 Year
(Annualized) | | 10 Year
(Annualized) | | Since Inception
(Annualized) |
MWHYX (Inception: September 30, 2002) | | 1.90% | | 1.53% | | 4.90% | | 3.20% | | 7.58% | | 8.10% |
Bloomberg Barclays U.S. Corporate High Yield Index - 2% Issuer Cap | | 3.46% | | 3.05% | | 8.14% | | 5.54% | | 9.45% | | 8.97% |
MWHIX (Inception: March 31, 2003) | | 2.02% | | 1.79% | | 5.16% | | 3.46% | | 7.85% | | 7.44% |
Bloomberg Barclays U.S. Corporate High Yield Index - 2% Issuer Cap | | 3.46% | | 3.05% | | 8.14% | | 5.54% | | 9.45% | | 8.33% |
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Metropolitan West Intermediate Bond Fund
M-Class (MWIMX), I-Class (MWIIX)
The MetWest Intermediate Bond Fund – I Class (“Fund”) gained 0.1% (net of fees) for the six-month period ending September 30, 2018, but trailed the Bloomberg Barclays Intermediate Government/Credit Index (“Index”) by 12 bps. As U.S. Treasury yields marched higher and neared what we believe to be fair value, the duration position of the portfolio moved from roughly neutral relative to the Index to approximately 0.4 years long, and weighed on performance. Meanwhile, favorable positioning among corporates benefitted performance, particularly the overweight to financials, and the emphasis on healthcare, midstream energy, communications, and U.S. banks, which were all top performing sectors during the period. Away from credit, the overweight to ABS and CMBS benefitted relative performance as both sectors saw spreads tighten by more than the Index, though issue selection somewhat offset the gains with the higher quality emphasis in CMBS weighing on returns, while performance among floating rate student loans, an emphasis in the Fund, was muted. Finally, the allocation to non-agency MBS and the position in Japanese Government issued T-bills, with the Yen exposure fully hedged out using a Dollar-Yen cross currency swap, contributed on the margin.
Given the above dynamics, overall positioning remains defensive with respect to credit and emphasizes high quality, non-cyclical sectors that would be resilient in the face of a deleveraging event. Within this conservative context, however, we continue to actively manage the Fund with an eye toward attractive relative value opportunities. Securitized products remain a focus and favors higher quality, more senior issues. Legacy non-agency MBS remains attractive, though allocations will likely edge lower as prices rise, consistent with our dedicated dollar cost averaging approach to positioning. Agency MBS provides better liquidity characteristics and is high quality, but uncertainty remains as the Fed begins to shrink its position. Opportunities for reasonably safe yields can still
Semi-Annual Report September 2018 / 4
be found in the higher quality segments of ABS and CMBS, though investors must remain vigilant as underwriting standards continue to deteriorate. Among CMBS, exposure is skewed towards agency-backed as well as seasoned non-agency issues at the top of the capital structure and single asset single borrower deals to avoid the underwriting challenges faced by current vintage non-agency CMBS. Consistent with this defensive posture, the Fund’s ABS allocation favors more robust structures such as federally guaranteed student loans and AAA-rated CLOs that offer value. Finally, the Fund continues to hold fully currency-hedged Japanese T-bills as a higher yielding cash substitute, though the position has drifted lower as the relative value proposition has declined.
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| | | Performance Through September 30, 2018 |
| | | 6 Months
(Cumulative) | | 1 Year
(Annualized) | | 3 Year
(Annualized) | | 5 Year
(Annualized) | | 10 Year
(Annualized) | | Since Inception
(Annualized) |
MWIMX (Inception: June 30, 2003) | | -0.01% | | -1.20% | | 0.56% | | 1.16% | | 4.47% | | 4.01% |
Bloomberg Barclays Intermediate U.S. Government/Credit Index | | 0.22% | | -0.96% | | 0.91% | | 1.52% | | 3.22% | | 3.17% |
MWIIX (Inception: June 28, 2002) | | 0.10% | | -0.88% | | 0.84% | | 1.41% | | 4.72% | | 4.92% |
Bloomberg Barclays Intermediate U.S. Government/Credit Index | | 0.22% | | -0.96% | | 0.91% | | 1.52% | | 3.22% | | 3.63% |
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Metropolitan West Investment Grade Credit Fund
M-Class (MWISX), I-Class (MWIGX)
Since its inception on June 29, 2018, the MetWest Investment Grade Credit Fund – I Class (“Fund”) gained 3.7%, outpacing the return of the Bloomberg Barclays U.S. Intermediate Credit Index by 288 bps. Given that U.S. Treasury yields have moved higher toward near what we believe to be fair value, the duration position of the portfolio was maintained at roughly three-tenths of a year long relative to the Index, weighing on relative returns during the period. However, this was more than offset by positive contributions coming from the off-Index positions in securitized products. In particular, the exposure to well-sponsored CMBS and non-agency MBS issues benefitted returns, while the focus on floating rate government guaranteed student loan ABS receivables was also additive. Among corporate credit, the relative underweight to energy credits was a drag, though the emphasis on top performing midstream energy within the sector was a positive. Finally, issue selection among corporates contributed to returns given the focus on strong performing communications credits and REITs.
Given the above dynamics, the overall positioning of the Fund was constructed to be defensive with respect to credit and emphasizes high quality, non-cyclical sectors that would be resilient in the face of a deleveraging event. Within this conservative context, however, we will actively manage the Fund with an eye toward attractive relative value opportunities. Securitized products remain a focus and favors higher quality, more senior issues. Legacy non-agency MBS remains attractive, though allocations will likely edge lower as prices rise, consistent with our dedicated dollar cost averaging approach to positioning. Agency MBS provides better liquidity characteristics and is high quality, but uncertainty remains as the Fed begins to shrink its position. Opportunities for reasonably safe yields can still be found in the higher quality segments of ABS and CMBS, though investors must remain vigilant as underwriting standards continue to deteriorate. Among CMBS, exposure is skewed towards agency-backed as well as seasoned non-agency issues at the top of the capital structure and single asset single borrower deals to avoid the underwriting challenges faced by current vintage non-agency CMBS. Consistent with this defensive posture, the Fund’s ABS allocation favors more robust structures such as federally guaranteed student loans.
| | | | | | | | | | |
| | | Performance Through September 30, 2018 |
| | | 1 Year
(Annualized) | | 3 Year
(Annualized) | | 5 Year
(Annualized) | | 10 Year
(Annualized) | | Since Inception1 |
MWISX (Inception: June 29, 2018) | | — | | — | | — | | — | | 3.61% |
U.S. Intermediate Credit Index | | — | | — | | — | | — | | 0.73% |
MWIGX (Inception: June 29, 2018) | | — | | — | | — | | — | | 3.67% |
U.S. Intermediate Credit Index | | — | | — | | — | | — | | 0.73% |
| | | | | | | | | | |
1Non-annualized. Cumulative return for the Fund during the period of June 29, 2018 through September 30, 2018.
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 0.47% (net of fees) for the six-month period ending September 30, 2018, outpacing the Merrill Lynch 1-3 Year U.S. Treasury Index by 5 bps. The allocation to investment grade credit contributed as short corporate bonds outperformed Treasuries by 70 bps. Financials, an emphasis in the Fund, was the best performing short corporate sector, with banking names particularly additive. Securitized products also benefitted returns, including the allocation to floating rate agency CMOs and non-agency MBS, which held up well against rising rates, while agency CMBS and ABS contributed
5 / Semi-Annual Report September 2018
further to performance, particularly floating rate government guaranteed student loans. Finally, the Fund continued to see small contributions from the position in Japanese Government issued T-bills, with the Yen exposure fully hedged out using a Dollar-Yen cross currency swap. Meanwhile, the Fund’s longer duration profile relative to the Index contributed to performance amid rising rates.
Given the above dynamics, overall positioning remains defensive with respect to credit and emphasizes high quality, non-cyclical sectors that would be resilient in the face of a deleveraging event. Within this conservative context, however, we continue to actively manage the Fund with an eye toward attractive relative value opportunities. Securitized products remain a focus and favors higher quality, more senior issues. Legacy non-agency MBS remains attractive, though allocations will likely edge lower as prices rise, consistent with our dedicated dollar cost averaging approach to positioning. Agency MBS provides better liquidity characteristics and is high quality, and the position favors well-structured CMOs given relatively stable duration profiles as well as new production specified pools with attractive carry. Opportunities for reasonably safe yields can still be found in the higher quality segments of ABS and CMBS, though investors must remain vigilant as underwriting standards continue to deteriorate. Consistent with this defensive posture, the Fund favors agency backed CMBS and more robust structures in ABS such as federally guaranteed student loans and AAA-rated CLOs that offer value. Finally, the Fund continues to hold fully currency-hedged Japanese T-bills as a higher yielding cash substitute.
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| | | Performance Through September 30, 2018 |
| | | 6 Months
(Cumulative) | | 1 Year
(Annualized) | | 3 Year
(Annualized) | | 5 Year
(Annualized) | | 10 Year
(Annualized) | | Since Inception
(Annualized) |
MWLDX (Inception: March 31, 1997) | | 0.36% | | 0.06% | | 0.77% | | 0.92% | | 3.03% | | 3.58% |
ICE BofAML 1-3 Year U.S. Treasury Index | | 0.42% | | 0.03% | | 0.38% | | 0.56% | | 1.09% | | 3.15% |
MWLIX (Inception: March 31, 2000) | | 0.47% | | 0.39% | | 1.03% | | 1.16% | | 3.25% | | 3.22% |
ICE BofAML 1-3 Year U.S. Treasury Index | | 0.42% | | 0.03% | | 0.38% | | 0.56% | | 1.09% | | 2.74% |
MWLNX (Inception: September 22, 2009) | | 0.29% | | 0.02% | | 0.70% | | 0.81% | | — | | 3.10% |
ICE BofAML 1-3 Year U.S. Treasury Index | | 0.42% | | 0.03% | | 0.38% | | 0.56% | | — | | 0.84% |
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Metropolitan West Strategic Income Fund
M-Class (MWSTX), I-Class (MWSIX)
The MetWest Strategic Income Bond Fund – I Class (“Fund”) returned 0.89% (net of fees) for the six-month period ending September 30, 2018, lagging the Merrill Lynch 3-Month TBill +200 bps by 106 bps. Non-agency MBS boosted returns, particularly subprime collateral, as the sector continued to benefit from favorable supply/demand technicals and still solid housing fundamentals. The Fund’s allocation to ABS and CMBS further contributed to performance, particularly floating rate government guaranteed student loan ABS. Favorable issue selection among credit also benefited returns, with the largest gains coming from banking and healthcare. In addition, the Fund benefitted from the position in Japanese Government issued T-bills, with the Yen exposure fully hedged out using a Dollar-Yen cross currency swap, though the position has been trimmed as the yield advantage over U.S. T-bills has diminished. Meanwhile, the Fund’s duration position of approximately 2.5 years weighed on returns as rates rose.
As rates are near what we believe to be fair value, the duration position has been extended modestly, while cautious sector positioning is informed by concerns about the aging credit cycle and weakening fundamentals. Looking forward, the bias is to expand the risk profile and add opportunistically in undervalued sectors should spreads widen. In the corporate sector, tight valuations and historically high leverage influence our preference for shorter duration, more defensive regulated sectors like U.S. financials with limited re-leveraging risk and reasonable yield premiums, and high quality, low beta industrials. Although positioning reflects caution, we continue to look for attractive relative value opportunities as we actively manage the strategy. A modest allocation to select high yield corporate and emerging market bonds is also maintained. Securitized products, which continue to provide protection from excesses in credit markets and offer opportunities for attractive risk-adjusted returns, represent a sizable position. CMBS exposure favors agency issues as well as seasoned non-agency bonds at the top of the capital structure, single asset single borrower deals, and select IO issues where there is attractive upside potential, while ABS issuers are focused on high quality non-traditional collateral such as government guaranteed student loan receivables. Finally, non-agency MBS holdings emphasize securities with better relative quality and near term cash flows.
| | | | | | | | | | | | |
| | | Performance Through September 30, 2018 |
| | | 6 Months
(Cumulative) | | 1 Year
(Annualized) | | 3 Year
(Annualized) | | 5 Year
(Annualized) | | 10 Year
(Annualized) | | Since Inception
(Annualized) |
MWSTX (Inception: June 30, 2003) | | 0.75% | | 1.48% | | 2.39% | | 2.27% | | 5.44% | | 4.11% |
Semi-Annual Report September 2018 / 6
| | | | | | | | | | | | |
| | | Performance Through September 30, 2018 |
| | | 6 Months
(Cumulative) | | 1 Year
(Annualized) | | 3 Year
(Annualized) | | 5 Year
(Annualized) | | 10 Year
(Annualized) | | Since Inception
(Annualized) |
ICE BofAML 3-Month U.S. Treasury Bill Index | | 1.95% | | 3.62% | | 2.83% | | 2.51% | | 2.34% | | 3.33% |
(formerly known as BofA Merrill Lynch 3-Month U.S. Treasury Bill Index + 2%) | | | | | | | | | | | | |
MWSIX (Inception: March 31, 2004) | | 0.89% | | 1.62% | | 2.62% | | 2.54% | | 5.70% | | 3.50% |
ICE BofAML 3-Month U.S. Treasury Bill Index | | 1.95% | | 3.62% | | 2.83% | | 2.51% | | 2.34% | | 3.34% |
(formerly known as BofA Merrill Lynch 3-Month U.S. Treasury Bill Index + 2%) | | | | | | | | | | | | |
| | | | | | | | | | | | |
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”) fell by 0.05% (net of fees) for the six-month period ending September 30, 2018, though outperformance relative to the Bloomberg Barclays Aggregate Index (“Index”) came to 9 bps. As U.S. Treasury yields marched higher and neared what we believe to be fair value, the duration position of the portfolio moved from roughly neutral relative to the Index to approximately 0.1 years long, and weighed on performance modestly. Meanwhile, outperformance was largely driven by favorable positioning among corporates, particularly the overweight to financials, and the emphasis on healthcare, midstream energy, communications, and U.S. banks, which were all top performing sectors during the period. Away from credit, the overweight to ABS and CMBS benefitted relative performance as both sectors saw spreads tighten by more than the Index over the period, though issue selection somewhat offset the gains with the higher quality emphasis in CMBS weighing on returns, while performance among floating rate student loans, an emphasis in the Fund, was muted. Finally, the allocation to non-agency MBS and the position in Japanese Government issued T-bills, with the Yen exposure fully hedged out using a Dollar-Yen cross currency swap, contributed on the margin.
Given the above dynamics, overall positioning remains defensive with respect to credit and emphasizes high quality, non-cyclical sectors that would be resilient in the face of a deleveraging event. Within this conservative context, however, we continue to actively manage the Fund with an eye toward attractive relative value opportunities. Securitized products remain a focus and favors higher quality, more senior issues. Legacy non-agency MBS remains attractive, though allocations will likely edge lower as prices rise, consistent with our dedicated dollar cost averaging approach to positioning. Agency MBS provides better liquidity characteristics and is high quality, but uncertainty remains as the Fed begins to shrink its position. Opportunities for reasonably safe yields can still be found in the higher quality segments of ABS and CMBS, though investors must remain vigilant as underwriting standards continue to deteriorate. Among CMBS, exposure is skewed towards agency-backed as well as seasoned non-agency issues at the top of the capital structure and single asset single borrower deals to avoid the underwriting challenges faced by current vintage non-agency CMBS. Consistent with this defensive posture, the Fund’s ABS allocation favors more robust structures such as federally guaranteed student loans and AAA-rated CLOs that offer value. Finally, the Fund continues to hold fully currency-hedged Japanese T-bills as a higher yielding cash substitute, though the position has drifted lower as the relative value proposition has declined.
| | | | | | | | | | | | |
| | | Performance Through September 30, 2018 |
| | | 6 Months
(Cumulative) | | 1 Year
(Annualized) | | 3 Year
(Annualized) | | 5 Year
(Annualized) | | 10 Year
(Annualized) | | Since Inception
(Annualized) |
MWTRX (Inception: March 31, 1997) | | -0.07% | | -1.10% | | 1.13% | | 2.03% | | 5.49% | | 5.97% |
Bloomberg Barclays U.S. Aggregate Bond Index (formerly known as the Barclays Capital U.S. Aggregate Bond Index) | | -0.14% | | -1.22% | | 1.31% | | 2.16% | | 3.77% | | 5.03% |
MWTIX (Inception: March 31, 2000) | | -0.05% | | -0.97% | | 1.36% | | 2.25% | | 5.71% | | 5.77% |
Bloomberg Barclays U.S. Aggregate Bond Index (formerly known as the Barclays Capital U.S. Aggregate Bond Index) | | -0.14% | | -1.22% | | 1.31% | | 2.16% | | 3.77% | | 4.76% |
MWTNX (Inception: December 18, 2009) | | -0.21% | | -1.29% | | 1.02% | | 1.91% | | — | | 3.99% |
Bloomberg Barclays U.S. Aggregate Bond Index (formerly known as the Barclays Capital U.S. Aggregate Bond Index) | | -0.14% | | -1.22% | | 1.31% | | 2.16% | | — | | 2.98% |
MWTSX (Inception: August 1, 2011) | | 0.11% | | -0.81% | | 1.45% | | 2.34% | | — | | 3.32% |
Bloomberg Barclays U.S. Aggregate Bond Index (formerly known as the Barclays Capital U.S. Aggregate Bond Index) | | -0.14% | | -1.22% | | 1.31% | | 2.16% | | — | | 2.28% |
| | | | | | | | | | | | |
7 / Semi-Annual Report September 2018
Metropolitan West Ultra Short Bond Fund
M-Class (MWUSX), I-Class (MWUIX)
The MetWest Ultra Short Bond Fund – I Class (“Fund”) gained 0.77% (net of fees) for the six-month period ending September 30, 2018, trailing the ICE BofAML 1-Year U.S. Treasury Index by a modest 4 bps. Returns for the six-month period benefitted on the margin from the defensive duration position as short U.S. Treasury yields moved higher, though yield curve positioning maintained a slight preference for the front end of the curve, namely 2-Year maturities, where rates rose the most. Meanwhile, the allocation to investment grade credit contributed as short corporate bonds outperformed Treasuries by 70 bps. Financials, an emphasis in the Fund, was the best performing short corporate sector, led by finance companies, REITs, and life insurance. Securitized products also benefitted returns, including the allocation to floating rate agency CMOs and non-agency MBS, which held up well against rising rates, while ABS and CMBS outperformed Treasuries, adding to performance on the margin. Finally, the Fund continued to see small contributions from the position in Japanese Government issued T-bills, with the Yen exposure fully hedged out using a Dollar-Yen cross currency swap.
Given the above dynamics, overall positioning remains defensive with respect to credit and emphasizes high quality, non-cyclical sectors that would be resilient in the face of a deleveraging event. Within this conservative context, however, we continue to actively manage the Fund with an eye toward attractive relative value opportunities. Securitized products favors higher quality, more senior issues including a small allocation to legacy non-agency MBS. Agency MBS provides better liquidity characteristics and is high quality, but uncertainty remains as the Fed begins to shrink its position. Opportunities for reasonably safe yields can still be found in the higher quality segments of ABS and CMBS, though investors must remain vigilant as underwriting standards continue to deteriorate. Among CMBS, exposure is skewed towards agency-backed as well as seasoned non-agency issues at the top of the capital structure to avoid the underwriting challenges faced by current vintage non-agency CMBS. Consistent with this defensive posture, the Fund’s ABS allocation favors more robust structures such as federally guaranteed student loans that offer value. Finally, the Fund continues to hold fully currency-hedged Japanese T-bills as a higher yielding cash substitute, though the position has drifted lower as the relative value proposition has declined.
| | | | | | | | | | | | |
| | | Performance Through September 30, 2018 |
| | | 6 Months
(Cumulative) | | 1 Year
(Annualized) | | 3 Year
(Annualized) | | 5 Year
(Annualized) | | 10 Year
(Annualized) | | Since Inception
(Annualized) |
MWUSX (Inception: June 30, 2003) | | 0.69% | | 0.84% | | 0.79% | | 0.74% | | 2.00% | | 1.82% |
ICE BofAML 1-Year U.S. Treasury Note Index | | 0.81% | | 1.08% | | 0.74% | | 0.55% | | 0.71% | | 1.57% |
(formerly known as BofA Merrill Lynch 1-Year U.S. Treasury Index) | | | | | | | | | | | | |
MWUIX (Inception: July 31, 2004) | | 0.77% | | 1.00% | | 1.03% | | 0.95% | | 2.19% | | 1.63% |
ICE BofAML 1-Year U.S. Treasury Note Index | | 0.81% | | 1.08% | | 0.74% | | 0.55% | | 0.71% | | 1.62% |
(formerly known as BofA Merrill Lynch 1-Year U.S. Treasury Index) | | | | | | | | | | | | |
| | | | | | | | | | | | |
Metropolitan West Unconstrained Bond Fund
M-Class (MWCRX), I-Class (MWCIX)
The MetWest Unconstrained Bond Fund – I Class (“Fund”) gained 1.25% (net of fees) for the six-month period ending September 30, 2018, outpacing the Merrill Lynch U.S. LIBOR 3-Month Average Index by approximately 9 bps. Non-agency MBS backed by subprime, option ARM, and alt-A collateral boosted returns, as the sector continued to benefit from good supply/demand technicals and still solid housing fundamentals. The Fund’s allocation to ABS and CMBS further contributed to performance, particularly floating government guaranteed student loan ABS. Favorable issue selection among credit also benefited returns, with the largest gains coming from banking, midstream energy, cable, and healthcare. Finally, the Fund’s duration position of approximately 2.1 years detracted from returns as rates rose.
As rates are near what we believe to be fair value, the duration position has been extended modestly, while cautious sector positioning is informed by concerns about the aging credit cycle and weakening fundamentals. Looking forward, the bias is to expand the risk profile and add opportunistically in undervalued sectors should spreads widen. In the corporate sector, tight valuations and historically high leverage influence our preference for shorter duration, more defensive regulated sectors like U.S. financials with limited re-leveraging risk and reasonable yield premiums, and high quality, low beta industrials. Although positioning reflects caution, we continue to look for attractive relative value opportunities as we actively manage the strategy. A modest allocation to select high yield corporate and emerging market bonds is also maintained. Securitized products, which continue to provide protection from excesses in credit markets and offer opportunities for attractive risk-adjusted returns, represent a sizable position. CMBS exposure favors agency issues as well as seasoned non-agency bonds at the top of the capital structure, single asset single borrower deals, and select IO issues where there is attractive upside potential, while ABS issuers are focused on high quality non-traditional collateral such as
Semi-Annual Report September 2018 / 8
government guaranteed student loan receivables. Finally, non-agency MBS holdings emphasize securities with better relative quality and near term cash flows.
| | | | | | | | | | | | |
| | | Performance Through September 30, 2018 |
| | | 6 Months
(Cumulative) | | 1 Year
(Annualized) | | 3 Year
(Annualized) | | 5 Year
(Annualized) | | 10 Year
(Annualized) | | Since Inception
(Annualized) |
MWCRX (Inception: October 1, 2011) | | 1.10% | | 1.33% | | 2.66% | | 2.57% | | — | | 5.37% |
ICE BofAML U.S. Dollar 3-Month Deposit Offered Rate Average Index (formerly known as BofA Merrill Lynch U.S. LIBOR 3-Month Average Index) | | 1.16% | | 1.95% | | 1.20% | | 0.82% | | — | | 0.70% |
MWCIX (Inception: October 1, 2011) | | 1.25% | | 1.64% | | 2.94% | | 2.89% | | — | | 5.64% |
ICE BofAML U.S. Dollar 3-Month Deposit Offered Rate Average Index (formerly known as BofA Merrill Lynch U.S. LIBOR 3-Month Average Index) | | 1.16% | | 1.95% | | 1.20% | | 0.82% | | — | | 0.70% |
| | | | | | | | | | | | |
A Disciplined Value Philosophy
While it should never be surprising when volatility comes back to the markets, the early part of 2018 will be yet another example of when some aggressive risk-seeking investors were caught off-guard and experienced sizable losses. Though the numbers were few and the affected strategies esoteric – leveraged bets on volatility indexes – the behavior is merely an extension of what we see as investor complacency more generally. Our approach remains unchanged, steeped in fundamental analysis and abundantly aware of the asymmetric risks faced by bond investors. That recognition drives a full-cycle approach that values not only the return driver of income generation, but a principal protection focus that preserves capital. Most importantly, the discipline to vary the risk budgets in accordance with market conditions and valuations, we believe, has delivered and will continue to deliver to our investors.
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 risk that the value of a Fund’s investments in foreign securities may decline based on changes to currency values, or 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 underlying loans to pay off 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 2018, 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.
This report must be preceded or accompanied by a prospectus.
9 / Semi-Annual Report September 2018
Metropolitan West Funds
Disclosure of Fund Expenses (Unaudited)
For the Six Months Ended September 30, 2018
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
04/01/18 | | Ending
Account Value
09/30/18 | | Expense
Ratio1 | | Expenses
Paid During
Period2 |
| | | | |
ALPHATRAK 500 FUND | | | | | | | | |
Actual Fund Return | | $1,000.00 | | $1,109.00 | | 0.90% | | $4.76 |
Hypothetical 5% Return | | $1,000.00 | | $1,020.56 | | 0.90% | | $4.56 |
| 1 | Annualized, based on the Fund’s most recent fiscal half-year expenses. |
| 2 | Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 183 days then divided by 365 (to reflect the one-half year period shown). |
| | | | | | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
06/29/18* | | Ending
Account Value
09/30/18 | | Expense
Ratio1 | | Expenses
Paid During
Period2 |
| | | | |
CORPORATE BOND FUND | | | | | | | | |
Actual Fund Return | | | | | | | | |
Class M | | $1,000.00 | | $1,017.00 | | 0.75% | | $1.89 |
Class I | | $1,000.00 | | $1,017.60 | | 0.50% | | $1.26 |
Hypothetical 5% Return | | | | | | | | |
Class M | | $1,000.00 | | $1,010.60 | | 0.75% | | $1.88 |
Class I | | $1,000.00 | | $1,011.22 | | 0.50% | | $1.25 |
| 1 | Annualized, based on the Fund’s expenses for the period between June 29, 2018 (the commencement date of the Fund) and September 30, 2018. |
| 2 | Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 91 days of expenses, then divided by 365 (to reflect the period shown between June 29, 2018 and September 30, 2018). |
* Commencement date of the Fund.
Semi-Annual Report September 2018 / 10
| | | | | | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
04/01/18 | | Ending
Account Value
09/30/18 | | Expense
Ratio1 | | Expenses
Paid During
Period2 |
| | | | |
| FLOATING RATE INCOME FUND | | | | | | | | |
| | | | |
Actual Fund Return | | | | | | | | | | | | | | | | | | | | |
Class M | | | $ | 1,000.00 | | | | $ | 1,019.60 | | | | | 0.90 | % | | | $ | 4.56 | |
Class I | | | $ | 1,000.00 | | | | $ | 1,021.60 | | | | | 0.70 | % | | | $ | 3.55 | |
Hypothetical 5% Return | | | | | | | | | | | | | | | | | | | | |
Class M | | | $ | 1,000.00 | | | | $ | 1,020.56 | | | | | 0.90 | % | | | $ | 4.56 | |
Class I | | | $ | 1,000.00 | | | | $ | 1,021.56 | | | | | 0.70 | % | | | $ | 3.55 | |
HIGH YIELD BOND FUND | | | | | | | | |
| | | | |
Actual Fund Return | | | | | | | | | | | | | | | | | | | | |
Class M | | | $ | 1,000.00 | | | | $ | 1,019.00 | | | | | 0.85 | % | | | $ | 4.30 | |
Class I | | | $ | 1,000.00 | | | | $ | 1,020.20 | | | | | 0.60 | % | | | $ | 3.04 | |
Hypothetical 5% Return | | | | | | | | | | | | | | | | | | | | |
Class M | | | $ | 1,000.00 | | | | $ | 1,020.81 | | | | | 0.85 | % | | | $ | 4.31 | |
Class I | | | $ | 1,000.00 | | | | $ | 1,022.06 | | | | | 0.60 | % | | | $ | 3.04 | |
INTERMEDIATE BOND FUND | | | | | | | | |
| | | | |
Actual Fund Return | | | | | | | | | | | | | | | | | | | | |
Class M | | | $ | 1,000.00 | | | | $ | 999.90 | | | | | 0.70 | % | | | $ | 3.51 | |
Class I | | | $ | 1,000.00 | | | | $ | 1,001.00 | | | | | 0.49 | % | | | $ | 2.46 | |
Hypothetical 5% Return | | | | | | | | | | | | | | | | | | | | |
Class M | | | $ | 1,000.00 | | | | $ | 1,021.56 | | | | | 0.70 | % | | | $ | 3.55 | |
Class I | | | $ | 1,000.00 | | | | $ | 1,022.61 | | | | | 0.49 | % | | | $ | 2.48 | |
| 1 | Annualized, based on the Fund’s most recent fiscal half-year expenses. |
| 2 | Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 183 days then divided by 365 (to reflect the one-half year period shown). |
| | | | | | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
06/29/18* | | Ending
Account Value
09/30/18 | | Expense
Ratio1 | | Expenses
Paid During
Period2 |
| | | | |
| INVESTMENT GRADE CREDIT FUND | | | | | | | | |
| | | | |
Actual Fund Return | | | | | | | | | | | | | | | | | | | | |
Class M | | | $ | 1,000.00 | | | | $ | 1,036.10 | | | | | 0.70 | % | | | $ | 1.78 | |
Class I | | | $ | 1,000.00 | | | | $ | 1,036.70 | | | | | 0.49 | % | | | $ | 1.24 | |
Hypothetical 5% Return | | | | | | | | | | | | | | | | | | | | |
Class M | | | $ | 1,000.00 | | | | $ | 1,010.72 | | | | | 0.70 | % | | | $ | 1.75 | |
Class I | | | $ | 1,000.00 | | | | $ | 1,011.24 | | | | | 0.49 | % | | | $ | 1.23 | |
| 1 | Annualized, based on the Fund’s expenses for the period between June 29, 2018 (the commencement date of the Fund) and September 30, 2018. |
| 2 | Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 91 days of expenses, then divided by 365 (to reflect the period shown between June 29, 2018 and September 30, 2018). |
| 3 | Annualized, based on the Fund’s most recent fiscal half-year expenses. |
* Commencement date of the Fund.
11 / Semi-Annual Report September 2018
| | | | | | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
04/01/18 | | Ending
Account Value
09/30/18 | | Expense
Ratio1 | | Expenses
Paid During
Period2 |
| | | | |
| LOW DURATION BOND FUND | | | | | | | | |
| | | | |
Actual Fund Return | | | | | | | | | | | | | | | | | | | | |
Class M | | | $ | 1,000.00 | | | | $ | 1,003.60 | | | | | 0.63 | % | | | $ | 3.16 | |
Class I | | | $ | 1,000.00 | | | | $ | 1,004.70 | | | | | 0.42 | % | | | $ | 2.11 | |
Administrative Class | | | $ | 1,000.00 | | | | $ | 1,002.90 | | | | | 0.72 | % | | | $ | 3.62 | |
Hypothetical 5% Return | | | | | | | | | | | | | | | | | | | | |
Class M | | | $ | 1,000.00 | | | | $ | 1,021.91 | | | | | 0.63 | % | | | $ | 3.19 | |
Class I | | | $ | 1,000.00 | | | | $ | 1,022.96 | | | | | 0.42 | % | | | $ | 2.13 | |
Administrative Class | | | $ | 1,000.00 | | | | $ | 1,021.46 | | | | | 0.72 | % | | | $ | 3.65 | |
STRATEGIC INCOME FUND | | | | | | | | |
| | | | |
Actual Fund Return | | | | | | | | | | | | | | | | | | | | |
Class M | | | $ | 1,000.00 | | | | $ | 1,007.50 | | | | | 2.08 | % | | | $ | 10.47 | |
Class I | | | $ | 1,000.00 | | | | $ | 1,008.90 | | | | | 1.77 | % | | | $ | 8.91 | |
Hypothetical 5% Return | | | | | | | | | | | | | | | | | | | | |
Class M | | | $ | 1,000.00 | | | | $ | 1,014.64 | | | | | 2.08 | % | | | $ | 10.50 | |
Class I | | | $ | 1,000.00 | | | | $ | 1,016.19 | | | | | 1.77 | % | | | $ | 8.95 | |
TOTAL RETURN BOND FUND | | | | | | | | |
| | | | |
Actual Fund Return | | | | | | | | | | | | | | | | | | | | |
Class M | | | $ | 1,000.00 | | | | $ | 999.30 | | | | | 0.68 | % | | | $ | 3.41 | |
Class I | | | $ | 1,000.00 | | | | $ | 999.50 | | | | | 0.46 | % | | | $ | 2.31 | |
Administrative Class | | | $ | 1,000.00 | | | | $ | 997.90 | | | | | 0.78 | % | | | $ | 3.91 | |
Plan Class | | | $ | 1,000.00 | | | | $ | 1,001.10 | | | | | 0.37 | % | | | $ | 1.86 | |
Hypothetical 5% Return | | | | | | | | | | | | | | | | | | | | |
Class M | | | $ | 1,000.00 | | | | $ | 1,021.66 | | | | | 0.68 | % | | | $ | 3.45 | |
Class I | | | $ | 1,000.00 | | | | $ | 1,022.76 | | | | | 0.46 | % | | | $ | 2.33 | |
Administrative Class | | | $ | 1,000.00 | | | | $ | 1,021.16 | | | | | 0.78 | % | | | $ | 3.95 | |
Plan Class | | | $ | 1,000.00 | | | | $ | 1,023.21 | | | | | 0.37 | % | | | $ | 1.88 | |
| 1 | Annualized, based on the Fund’s most recent fiscal half-year expenses. |
| 2 | Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 183 days then divided by 365 (to reflect the one-half year period shown). |
Semi-Annual Report September 2018 / 12
| | | | | | | | | | | | | | | | | | | | |
| | | Beginning
Account Value
04/01/18 | | Ending
Account Value
09/30/18 | | Expense
Ratio1 | | Expenses
Paid During
Period2 |
| | | | |
| ULTRA SHORT BOND FUND | | | | | | | | |
| | | | |
Actual Fund Return | | | | | | | | | | | | | | | | | | | | |
Class M | | | $ | 1,000.00 | | | | $ | 1,006.90 | | | | | 0.50 | % | | | $ | 2.52 | |
Class I | | | $ | 1,000.00 | | | | $ | 1,007.70 | | | | | 0.34 | % | | | $ | 1.71 | |
Hypothetical 5% Return | | | | | | | | | | | | | | | | | | | | |
Class M | | | $ | 1,000.00 | | | | $ | 1,022.56 | | | | | 0.50 | % | | | $ | 2.54 | |
Class I | | | $ | 1,000.00 | | | | $ | 1,023.36 | | | | | 0.34 | % | | | $ | 1.72 | |
UNCONSTRAINED BOND FUND | | | | | | | | |
| | | | |
Actual Fund Return | | | | | | | | | | | | | | | | | | | | |
Class M | | | $ | 1,000.00 | | | | $ | 1,011.00 | | | | | 1.04 | % | | | $ | 5.24 | |
Class I | | | $ | 1,000.00 | | | | $ | 1,012.50 | | | | | 0.75 | % | | | $ | 3.78 | |
Hypothetical 5% Return | | | | | | | | | | | | | | | | | | | | |
Class M | | | $ | 1,000.00 | | | | $ | 1,019.85 | | | | | 1.04 | % | | | $ | 5.27 | |
Class I | | | $ | 1,000.00 | | | | $ | 1,021.31 | | | | | 0.75 | % | | | $ | 3.80 | |
| 1 | Annualized, based on the Fund’s most recent fiscal half-year expenses. |
| 2 | Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 183 days then divided by 365 (to reflect the one-half year period shown). |
13 / Semi-Annual Report September 2018
Metropolitan West Funds
Summary of Portfolio Holdings
September 30, 2018 (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.
| | | | |
| ALPHATRAK 500 FUND | |
| Sector Diversification | |
Corporate Bonds | | | 39.70% | |
U.S. Treasury Bills | | | 11.56% | |
U.S. Agency Commercial Mortgage-Backed | | | 11.44% | |
Non-Agency Commercial Mortgage-Backed | | | 8.39% | |
Asset-Backed Securities | | | 7.94% | |
Non-Agency Mortgage-Backed | | | 6.78% | |
U.S. Agency Mortgage-Backed | | | 6.03% | |
U.S. Treasury Notes | | | 3.96% | |
Mutual Funds | | | 2.70% | |
Money Market Funds | | | 1.20% | |
Bank Loans | | | 0.13% | |
Other * | | | 0.17% | |
Total | | | 100.00% | |
| | | | |
| CORPORATE BOND FUND | |
| Sector Diversification | |
Corporate Bonds | | | 78.32% | |
Non-Agency Mortgage-Backed | | | 9.56% | |
U.S. Treasury Bills | | | 6.38% | |
U.S. Agency Mortgage-Backed | | | 3.43% | |
Municipal Bonds | | | 0.80% | |
U.S. Treasury Securities | | | 0.73% | |
Money Market Funds | | | 0.69% | |
Other* | | | 0.09% | |
Total | | | 100.00% | |
| | | | |
| FLOATING RATE INCOME FUND | |
| Sector Diversification | |
Bank Loans | | | 87.93% | |
U.S. Treasury Bills | | | 6.70% | |
Corporate Bonds | | | 4.73% | |
Foreign Government Obligations | | | 2.68% | |
Money Market Funds | | | 1.43% | |
Municipal Bonds | | | 0.15% | |
Other * | | | (3.62)% | |
Total | | | 100.00% | |
| | | | |
| HIGH YIELD BOND FUND | |
| Sector Diversification | |
Corporate Bonds | | | 73.24% | |
Bank Loans | | | 15.49% | |
U.S. Treasury Bills | | | 7.07% | |
Money Market Funds | | | 4.36% | |
Common Stock | | | 0.94% | |
U.S. Agency Discount Notes | | | 0.83% | |
Non-Agency Mortgage-Backed | | | 0.05% | |
Warrants | | | 0.02% | |
Other * | | | (2.00)% | |
Total | | | 100.00% | |
| | | | |
| INTERMEDIATE BOND FUND | |
| Sector Diversification | |
Corporate Bonds | | | 39.66% | |
U.S. Treasury Securities | | | 30.08% | |
U.S. Agency Mortgage-Backed | | | 8.50% | |
Asset-Backed Securities | | | 7.79% | |
Money Market Funds | | | 6.09% | |
Non-Agency Mortgage-Backed | | | 5.32% | |
Non-Agency Commercial Mortgage-Backed | | | 2.12% | |
Municipal Bonds | | | 1.96% | |
U.S. Agency Discount Notes | | | 1.52% | |
Foreign Government Obligations | | | 1.20% | |
U.S. Treasury Bills | | | 0.93% | |
Bank Loans | | | 0.64% | |
U.S. Agency Commercial Mortgage-Backed | | | 0.28% | |
Common Stock | | | 0.01% | |
Other * | | | (6.10)% | |
Total | | | 100.00% | |
Semi-Annual Report September 2018 / 14
| | | | |
| INVESTMENT GRADE CREDIT FUND | |
| Sector Diversification | |
Corporate Bonds | | | 44.96% | |
U.S. Agency Mortgage-Backed | | | 16.04% | |
Non-Agency Commercial Mortgage-Backed | | | 16.04% | |
Asset-Backed Securities | | | 7.75% | |
U.S. Agency Commercial Mortgage-Backed | | | 7.46% | |
Non-Agency Mortgage-Backed | | | 5.68% | |
Money Market Funds | | | 4.39% | |
U.S. Treasury Bills | | | 0.48% | |
Municipal Bonds | | | 0.18% | |
U.S. Treasury Securities | | | 0.09% | |
Other * | | | (3.07)% | |
Total | | | 100.00% | |
| | | | |
| LOW DURATION BOND FUND | |
| Sector Diversification | |
Corporate Bonds | | | 35.75% | |
U.S. Treasury Securities | | | 22.88% | |
U.S. Agency Commercial Mortgage-Backed | | | 10.00% | |
Non-Agency Mortgage-Backed | | | 9.64% | |
U.S. Agency Mortgage-Backed | | | 8.31% | |
Asset-Backed Securities | | | 5.93% | |
Money Market Funds | | | 3.32% | |
Foreign Government Obligations | | | 2.77% | |
U.S. Treasury Bills | | | 1.75% | |
Bank Loans | | | 0.59% | |
Non-Agency Commercial Mortgage-Backed | | | 0.55% | |
Common Stock | | | 0.04% | |
Municipal Bonds | | | 0.03% | |
Purchased Swaptions | | | 0.00% | |
Written Swaptions | | | 0.00% | |
Other * | | | (1.56)% | |
Total | | | 100.00% | |
| | | | |
| STRATEGIC INCOME FUND | |
| Sector Diversification | |
Corporate Bonds | | | 35.28% | |
Non-Agency Mortgage-Backed | | | 28.12% | |
Asset-Backed Securities | | | 12.89% | |
Non-Agency Commercial Mortgage-Backed | | | 7.09% | |
U.S. Agency Commercial Mortgage-Backed | | | 7.07% | |
U.S. Agency Mortgage-Backed | | | 5.89% | |
U.S. Treasury Bills | | | 1.84% | |
Money Market Funds | | | 0.97% | |
Municipal Bonds | | | 0.96% | |
Other * | | | (0.11)% | |
Total | | | 100.00% | |
| | | | |
| TOTAL RETURN BOND FUND | |
| Sector Diversification | |
Corporate Bonds | | | 33.50% | |
U.S. Agency Mortgage-Backed | | | 29.85% | |
U.S. Treasury Securities | | | 19.03% | |
Non-Agency Mortgage-Backed | | | 6.92% | |
Asset-Backed Securities | | | 5.60% | |
Money Market Funds | | | 4.54% | |
U.S. Agency Commercial Mortgage-Backed | | | 2.07% | |
Non-Agency Commercial Mortgage-Backed | | | 1.68% | |
Foreign Government Obligations | | | 1.60% | |
U.S. Treasury Bills | | | 1.40% | |
Bank Loans | | | 0.86% | |
U.S. Agency Discount Notes | | | 0.83% | |
Municipal Bonds | | | 0.68% | |
Common Stock | | | 0.02% | |
Purchased Options | | | 0.01% | |
Written Options | | | 0.00% | |
Other * | | | (8.59)% | |
Total | | | 100.00% | |
15 / Semi-Annual Report September 2018
| | | | |
| ULTRA SHORT BOND FUND | |
| Sector Diversification | |
Corporate Bonds | | | 25.40% | |
U.S. Agency Mortgage-Backed | | | 23.77% | |
U.S. Treasury Securities | | | 23.46% | |
U.S. Agency Commercial Mortgage-Backed | | | 10.04% | |
U.S. Treasury Bills | | | 9.20% | |
Money Market Funds | | | 4.26% | |
Non-Agency Mortgage-Backed | | | 2.59% | |
Asset-Backed Securities | | | 2.32% | |
U.S. Agency Discount Notes | | | 1.03% | |
Non-Agency Commercial Mortgage-Backed | | | 0.51% | |
Other * | | | (2.58)% | |
Total | | | 100.00% | |
| | | | |
| UNCONSTRAINED BOND FUND | |
| Sector Diversification | |
Corporate Bonds | | | 34.93% | |
Non-Agency Mortgage-Backed | | | 25.21% | |
Asset-Backed Securities | | | 14.40% | |
Non-Agency Commercial Mortgage-Backed | | | 7.45% | |
U.S. Agency Commercial Mortgage-Backed | | | 6.95% | |
U.S. Agency Mortgage-Backed | | | 5.37% | |
U.S. Agency Discount Notes | | | 1.76% | |
Foreign Government Obligations | | | 1.64% | |
Money Market Funds | | | 0.98% | |
Bank Loans | | | 0.75% | |
Municipal Bonds | | | 0.63% | |
U.S. Treasury Bills | | | 0.07% | |
Common Stock | | | 0.03% | |
Other * | | | (0.17)% | |
Total | | | 100.00% | |
* Includes cash and equivalents, futures, foreign currency exchange contracts, 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, 2018. The Funds’ Form N-Q is available on the SEC’s website at www.sec.gov.
Semi-Annual Report September 2018 / 16
AlphaTrak 500 Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| BONDS – 84.37% | | | | | |
| ASSET-BACKED SECURITIES — 7.94%** | |
| Access Group, Inc., Series 2015-1, Class A | | | | | |
| (LIBOR USD 1-Month plus 0.70%) | | | | | |
2.92% | | | 07/25/56 | 1,2 | | $ | 20,790 | | | $ | 20,759 | |
| BA Credit Card Trust, Series 2014-A1, Class A | | | | | |
| (LIBOR USD 1-Month plus 0.38%) | | | | | |
2.54% | | | 06/15/21 | 1 | | | 140,000 | | | | 140,145 | |
| Bayview Commercial Asset Trust, Series 2004-3, Class A1 | | | | | |
| (LIBOR USD 1-Month plus 0.56%) | | | | | |
2.77% | | | 01/25/35 | 1,2 | | | 16,810 | | | | 16,630 | |
| BlueMountain CLO Ltd., Series 2013-2A, Class A1R (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 1.18%) | | | | | |
3.53% | | | 10/22/30 | 1,2,3 | | | 50,000 | | | | 50,084 | |
| Brazos Higher Education Authority, Inc., | | | | | |
| Series 2010-1, Class A2 | | | | | |
| (LIBOR USD 3-Month plus 1.20%) | | | | | |
3.51% | | | 02/25/35 | 1 | | | 15,000 | | | | 15,415 | |
| Brazos Higher Education Authority, Inc., | | | | | |
| Series 2011-2, Class A3 | | | | | |
| (LIBOR USD 3-Month plus 1.00%) | | | | | |
3.34% | | | 10/27/36 | 1 | | | 15,000 | | | | 15,257 | |
| Chase Issuance Trust, Series 2015-A4, Class A4 | | | | | |
| 0.00% | | | | | |
1.84% | | | 04/15/22 | | | | 140,000 | | | | 137,582 | |
| Citibank Credit Card Issuance Trust, Series | | | | | |
| 2014-A6, Class A6 | | | | | |
| 0.00% | | | | | |
2.15% | | | 07/15/21 | | | | 140,000 | | | | 139,333 | |
| Dryden XXVI Senior Loan Fund, Series 2013-26A, Class AR (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 0.90%) | | | | | |
3.25% | | | 04/15/29 | 1,2,3 | | | 50,000 | | | | 49,859 | |
| Educational Funding of the South, Inc., | | | | | |
| Series 2011-1, Class A2 | | | | | |
| (LIBOR USD 3-Month plus 0.65%) | | | | | |
2.99% | | | 04/25/35 | 1 | | | 4,416 | | | | 4,424 | |
| Educational Funding of the South, Inc., | | | | | |
| Series 2012-1, Class A | | | | | |
| (LIBOR USD 1-Month plus 1.05%) | | | | | |
3.27% | | | 03/25/36 | 1 | | | 43,767 | | | | 44,173 | |
| Magnetite IX Ltd., Series 2014-9A, Class A1R (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 1.00%) | | | | | |
3.34% | | | 07/25/26 | 1,2,3 | | | 40,000 | | | | 40,010 | |
| Navient Student Loan Trust, Series 2017-4A, Class A2 | | | | | |
| (LIBOR USD 1-Month plus 0.50%) | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| ASSET-BACKED SECURITIES (continued) | |
2.72% | | | 09/27/66 | 1,2 | | $ | 100,000 | | | $ | 100,492 | |
| Nelnet Student Loan Trust, Series 2014-3A, Class A | | | | | |
| (LIBOR USD 1-Month plus 0.58%) | | | | | |
2.80% | | | 06/25/41 | 1,2 | | | 21,784 | | | | 21,792 | |
| North Carolina State Education Authority, | | | | | |
| Series 2011-1, Class A3 | | | | | |
| (LIBOR USD 3-Month plus 0.90%) | | | | | |
3.24% | | | 10/25/41 | 1 | | | 14,009 | | | | 14,143 | |
| Northstar Education Finance, Inc., | | | | | |
| Series 2007-1, Class A2 | | | | | |
| (1.00 X LIBOR USD 3-Month plus 0.75%) | | | | | |
3.09% | | | 01/29/46 | 1 | | | 10,000 | | | | 9,869 | |
| Scholar Funding Trust, Series 2011-A, Class A | | | | | |
| (LIBOR USD 3-Month plus 0.90%) | | | | | |
3.24% | | | 10/28/43 | 1,2 | | | 4,402 | | | | 4,415 | |
| SLM Student Loan Trust, Series 2003-10A, Class A3 | | | | | |
| (LIBOR USD 3-Month plus 0.47%) | | | | | |
2.80% | | | 12/15/27 | 1,2 | | | 87,014 | | | | 87,395 | |
| SLM Student Loan Trust, Series 2003-11, Class A6 | | | | | |
| (LIBOR USD 3-Month plus 0.55%) | | | | | |
2.88% | | | 12/15/25 | 1,2 | | | 80,056 | | | | 80,473 | |
| SLM Student Loan Trust, Series 2004-1, Class A4 | | | | | |
| (LIBOR USD 3-Month plus 0.26%) | | | | | |
2.60% | | | 10/27/25 | 1 | | | 100,000 | | | | 100,071 | |
| SLM Student Loan Trust, Series 2005-8, Class A4 | | | | | |
| (LIBOR USD 3-Month plus 0.55%) | | | | | |
2.89% | | | 01/25/28 | 1 | | | 70,918 | | | | 71,202 | |
| SLM Student Loan Trust, Series 2007-6, Class A4 | | | | | |
| (LIBOR USD 3-Month plus 0.38%) | | | | | |
2.72% | | | 10/25/24 | 1 | | | 62,657 | | | | 62,815 | |
| SLM Student Loan Trust, Series 2008-9, Class A | | | | | |
| (LIBOR USD 3-Month plus 1.50%) | | | | | |
3.84% | | | 04/25/23 | 1 | | | 107,518 | | | | 109,878 | |
| SLM Student Loan Trust, Series 2011-1, Class A1 | | | | | |
| (LIBOR USD 1-Month plus 0.52%) | | | | | |
2.74% | | | 03/25/26 | 1 | | | 60,182 | | | | 60,336 | |
| SLM Student Loan Trust, Series 2011-2, Class A1 | | | | | |
| (LIBOR USD 1-Month plus 0.60%) | | | | | |
2.82% | | | 11/25/27 | 1 | | | 10,836 | | | | 10,886 | |
| SLM Student Loan Trust, Series 2013-4, Class A | | | | | |
| (LIBOR USD 1-Month plus 0.55%) | | | | | |
2.77% | | | 06/25/43 | 1 | | | 8,740 | | | | 8,795 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| 17 / Semi-Annual Report September 2018 |
AlphaTrak 500 Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | |
| Voya CLO Ltd., Series 2014-3A, Class A1R (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 0.72%) | | | | | |
3.06% | | | 07/25/26 | 1,2,3 | | $ | 50,000 | | | $ | 50,014 | |
| | | | | |
| |
| Total Asset-Backed Securities | | | | | |
| (Cost $1,460,715) | | | | 1,466,247 | |
| | | | | |
| BANK LOANS — 0.13%* | | | | | |
| Industrials — 0.04% | | | | | |
| Tyco International Holdings SARL, Term Loan | | | | | |
| (LIBOR plus 1.25%) | | | | | |
3.62% | | | 03/02/20 | 1,4,5 | | | 6,825 | | | | 6,819 | |
| | | | | |
| Information Technology — 0.09% | | | | | |
| Dell International LLC, Term Loan A3, 1st Lien | | | | | |
| (LIBOR plus 1.50%) | | | | | |
3.75% | | | 12/31/18 | 1 | | | 17,024 | | | | 17,054 | |
| | | | | |
| |
| Total Bank Loans | | | | | |
| (Cost $23,857) | | | | 23,873 | |
| | | | | |
| CORPORATES — 39.70%* | | | | | |
| Automotive — 0.27% | | | | | |
| General Motors Co. | | | | | |
3.50% | | | 10/02/18 | | | | 50,000 | | | | 50,000 | |
| | | | | |
| Banking — 9.56% | | | | | |
| Bank of America Corp. | | | | | |
2.74% | | | 01/23/22 | 6 | | | 100,000 | | | | 98,376 | |
3.00% | | | 12/20/23 | 6 | | | 91,000 | | | | 88,361 | |
| Bank of America Corp. (GMTN) | | | | | |
2.37% | | | 07/21/21 | 6 | | | 200,000 | | | | 196,517 | |
| Bank of New York Mellon Corp., (The) Series G | | | | | |
2.20% | | | 05/15/19 | | | | 100,000 | | | | 99,761 | |
| JPMorgan Chase & Co. | | | | | |
| (LIBOR USD 3-Month plus 0.68%) | | | | | |
3.00% | | | 06/01/21 | 1 | | | 75,000 | | | | 75,464 | |
| JPMorgan Chase Bank N.A. (BKNT) | | | | | |
| (LIBOR USD 3-Month plus 0.29%) | | | | | |
2.63% | | | 02/01/21 | 1 | | | 250,000 | | | | 250,219 | |
| Macquarie Bank Ltd. (Australia) | | | | | |
2.60% | | | 06/24/19 | 2,3 | | | 50,000 | | | | 49,881 | |
| PNC Bank N.A. (BKNT) | | | | | |
1.95% | | | 03/04/19 | | | | 250,000 | | | | 249,382 | |
| Santander UK PLC (United Kingdom) | | | | | |
2.50% | | | 03/14/19 | 3 | | | 60,000 | | | | 59,972 | |
| US Bank N.A. (BKNT) | | | | | |
3.05% | | | 07/24/20 | | | | 250,000 | | | | 249,778 | |
| Wells Fargo & Co., Series N (MTN) | | | | | |
2.15% | | | 01/30/20 | | | | 100,000 | | | | 98,836 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| CORPORATES (continued) | | | | | |
| Banking (continued) | | | | | |
| Wells Fargo Bank N.A. (BKNT) | | | | | |
2.40% | | | 01/15/20 | | | $ | 250,000 | | | $ | 248,085 | |
| | | | | |
| |
| | | | 1,764,632 | |
| | | | | |
Communications — 0.41% | | | | | |
| CCO Holdings LLC/CCO Holdings Capital Corp. | | | | | |
5.00% | | | 02/01/28 | 2 | | | 10,000 | | | | 9,437 | |
| Clear Channel International BV (Netherlands) | | | | | |
8.75% | | | 12/15/20 | 2,3 | | | 3,000 | | | | 3,105 | |
| Discovery Communications LLC | | | | | |
2.75% | | | 11/15/19 | 2 | | | 35,000 | | | | 34,836 | |
| Intelsat Jackson Holdings SA (Luxembourg) | | | | | |
5.50% | | | 08/01/23 | 3 | | | 10,000 | | | | 9,237 | |
9.75% | | | 07/15/25 | 2,3 | | | 2,000 | | | | 2,123 | |
| Sprint Communications, Inc. | | | | | |
7.00% | | | 03/01/20 | 2 | | | 16,000 | | | | 16,640 | |
| | | | | |
| |
| | | | 75,378 | |
| | | | | |
Consumer Discretionary — 1.43% | | | | | |
| Altria Group, Inc. | | | | | |
9.70% | | | 11/10/18 | | | | 70,000 | | | | 70,515 | |
| Anheuser-Busch InBev Worldwide, Inc. | | | | | |
6.88% | | | 11/15/19 | | | | 75,000 | | | | 78,086 | |
| Central Garden & Pet Co. | | | | | |
5.13% | | | 02/01/28 | | | | 6,000 | | | | 5,730 | |
| Constellation Brands, Inc. | | | | | |
2.00% | | | 11/07/19 | | | | 50,000 | | | | 49,442 | |
| KFC Holding Co./Pizza Hut Holdings LLC/ Taco Bell of America LLC | | | | | |
5.25% | | | 06/01/26 | 2 | | | 6,000 | | | | 5,993 | |
| Molson Coors Brewing Co. | | | | | |
1.45% | | | 07/15/19 | | | | 55,000 | | | | 54,372 | |
| | | | | |
| |
| | | | 264,138 | |
| | | | | |
| Consumer Products — 0.22% | | | | | |
| Newell Brands, Inc. | | | | | |
2.60% | | | 03/29/19 | | | | 40,000 | | | | 39,906 | |
| | | | | |
| Electric — 3.43% | | | | | |
| DTE Energy Co. | | | | | |
2.40% | | | 12/01/19 | | | | 50,000 | | | | 49,467 | |
| Jersey Central Power & Light Co. | | | | | |
7.35% | | | 02/01/19 | | | | 100,000 | | | | 101,554 | |
| NextEra Energy Capital Holdings, Inc. | | | | | |
| (LIBOR USD 3-Month plus 0.48%) | | | | | |
2.82% | | | 05/04/21 | 1 | | | 55,000 | | | | 55,173 | |
| (LIBOR USD 3-Month plus 0.55%) | | | | | |
2.86% | | | 08/28/21 | 1 | | | 40,000 | | | | 40,006 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| Semi-Annual Report September 2018 / 18 |
AlphaTrak 500 Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Electric (continued) | | | | | |
| NextEra Energy Operating Partners LP | | | | | |
4.50% | | | 09/15/27 | 2 | | $ | 4,000 | | | $ | 3,850 | |
| PNM Resources, Inc. | | | | | |
3.25% | | | 03/09/21 | | | | 100,000 | | | | 99,033 | |
| Progress Energy, Inc. | | | | | |
7.05% | | | 03/15/19 | | | | 70,000 | | | | 71,351 | |
| Southwestern Electric Power Co. | | | | | |
6.45% | | | 01/15/19 | | | | 50,000 | | | | 50,406 | |
| Union Electric Co. | | | | | |
6.70% | | | 02/01/19 | | | | 111,000 | | | | 112,351 | |
| Wisconsin Public Service Corp. | | | | | |
1.65% | | | 12/04/18 | | | | 50,000 | | | | 49,935 | |
| | | | | |
| |
| | | | 633,126 | |
| | | | | |
Energy — 0.98% | | | | | |
| Energy Transfer Equity LP | | | | | |
5.50% | | | 06/01/27 | | | | 10,000 | | | | 10,403 | |
| ONE Gas, Inc. | | | | | |
2.07% | | | 02/01/19 | | | | 60,000 | | | | 59,788 | |
| Phillips 66 | | | | | |
| (LIBOR USD 3-Month plus 0.65%) | | | | | |
2.99% | | | 04/15/19 | 1,2 | | | 80,000 | | | | 80,032 | |
| Rockies Express Pipeline LLC | | | | | |
5.63% | | | 04/15/20 | 2 | | | 20,000 | | | | 20,650 | |
| Transocean Guardian Ltd. (Cayman Islands) | | | | | |
5.88% | | | 01/15/24 | 2,3 | | | 3,000 | | | | 3,037 | |
| Transocean Pontus Ltd. (Cayman Islands) | | | | | |
6.13% | | | 08/01/25 | 2,3 | | | 4,000 | | | | 4,075 | |
| Transocean Proteus Ltd. (Cayman Islands) | | | | | |
6.25% | | | 12/01/24 | 2,3 | | | 3,400 | | | | 3,472 | |
| | | | | |
| |
| | | | 181,457 | |
| | | | | |
Finance — 6.13% | | | | | |
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland) | | | | | |
3.75% | | | 05/15/19 | 3 | | | 100,000 | | | | 100,409 | |
| Air Lease Corp. | | | | | |
3.50% | | | 01/15/22 | | | | 65,000 | | | | 64,578 | |
| Citibank N.A. (BKNT) | | | | | |
3.40% | | | 07/23/21 | | | | 100,000 | | | | 100,022 | |
| Citigroup, Inc. | | | | | |
2.05% | | | 12/07/18 | | | | 50,000 | | | | 49,962 | |
2.40% | | | 02/18/20 | | | | 40,000 | | | | 39,615 | |
8.50% | | | 05/22/19 | | | | 50,000 | | | | 51,760 | |
| Daimler Finance North America LLC | | | | | |
1.75% | | | 10/30/19 | 2 | | | 50,000 | | | | 49,282 | |
Ford Motor Credit Co. LLC | | | | | |
2.46% | | | 03/27/20 | | | | 50,000 | | | | 49,178 | |
3.20% | | | 01/15/21 | | | | 60,000 | | | | 59,084 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Finance (continued) | | | | | |
| (LIBOR USD 3-Month plus 0.79%) | | | | | |
3.12% | | | 06/12/20 | 1 | | $ | 15,000 | | | $ | 15,001 | |
| General Motors Financial Co., Inc. | | | | | |
2.35% | | | 10/04/19 | | | | 50,000 | | | | 49,689 | |
| Goldman Sachs Group, Inc. (The) | | | | | |
2.55% | | | 10/23/19 | | | | 175,000 | | | | 174,301 | |
| Goldman Sachs Group, Inc. (The) (MTN) | | | | | |
| (LIBOR USD 3-Month plus 1.10%) | | | | | |
3.41% | | | 11/15/18 | 1 | | | 25,000 | | | | 25,031 | |
| Morgan Stanley (GMTN) | | | | | |
| 5.50% | | | 07/24/20 | | | | 100,000 | | | | 103,798 | |
| (LIBOR USD 3-Month plus 0.55%) | | | | | |
2.89% | | | 02/10/21 | 1 | | | 50,000 | | | | 50,170 | |
Morgan Stanley, Series 3NC2 | | | | | |
| (LIBOR USD 3-Month plus 0.80%) | | | | | |
3.12% | | | 02/14/20 | 1 | | | 150,000 | | | | 150,362 | |
| | | | | |
| |
| | | | 1,132,242 | |
| | | | | |
Food — 1.81% | | | | | |
| Campbell Soup Co. | | | | | |
| (LIBOR USD 3-Month plus 0.50%) | | | | | |
2.83% | | | 03/16/20 | 1 | | | 50,000 | | | | 49,951 | |
| Conagra Brands, Inc. | | | | | |
| (LIBOR USD 3-Month plus 0.50%) | | | | | |
2.91% | | | 10/09/20 | 1 | | | 60,000 | | | | 59,883 | |
| Danone SA (France) | | | | | |
1.69% | | | 10/30/19 | 2,3 | | | 50,000 | | | | 49,277 | |
| Kraft Heinz Foods Co. | | | | | |
(LIBOR USD 3-Month plus 0.42%) | | | | | |
2.76% | | | 08/09/19 | 1 | | | 75,000 | | | | 75,107 | |
| Mondelez International Holdings Netherlands BV (Netherlands) | | | | | |
1.63% | | | 10/28/19 | 2,3 | | | 50,000 | | | | 49,286 | |
| Tyson Foods, Inc. | | | | | |
| (LIBOR USD 3-Month plus 0.45%) | | | | | |
2.76% | | | 08/21/20 | 1 | | | 50,000 | | | | 49,961 | |
| | | | | |
| |
| | | | 333,465 | |
| | | | | |
Gaming — 0.41% | | | | | |
| GLP Capital LP/GLP Financing II, Inc. | | | | | |
4.38% | | | 04/15/21 | | | | 45,000 | | | | 45,450 | |
4.88% | | | 11/01/20 | | | | 30,000 | | | | 30,642 | |
| | | | | |
| |
| | | | 76,092 | |
| | | | | |
Health Care — 4.86% | | | | | |
| Anthem, Inc. | | | | | |
2.25% | | | 08/15/19 | | | | 75,000 | | | | 74,608 | |
| Bausch Health Cos., Inc. | | | | | |
9.25% | | | 04/01/26 | 2 | | | 8,000 | | | | 8,670 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| 19 / Semi-Annual Report September 2018 |
AlphaTrak 500 Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Health Care (continued) | | | | | |
| Bausch Health Cos., Inc. (Canada) | | | | | |
5.88% | | | 05/15/23 | 2,3 | | $ | 5,000 | | | $ | 4,881 | |
| Bayer U.S. Finance II LLC | | | | | |
2.13% | | | 07/15/19 | 2 | | | 35,000 | | | | 34,743 | |
| Bayer U.S. Finance LLC | | | | | |
2.38% | | | 10/08/19 | 2 | | | 35,000 | | | | 34,631 | |
| Becton Dickinson and Co. | | | | | |
2.68% | | | 12/15/19 | | | | 50,000 | | | | 49,656 | |
| Boston Scientific Corp. | | | | | |
6.00% | | | 01/15/20 | | | | 45,000 | | | | 46,585 | |
| Centene Corp. | | | | | |
4.75% | | | 05/15/22 | | | | 11,000 | | | | 11,179 | |
| CHS/Community Health Systems, Inc. | | | | | |
8.63% | | | 01/15/24 | 2 | | | 3,000 | | | | 3,127 | |
| CVS Health Corp. | | | | | |
2.25% | | | 12/05/18 | | | | 125,000 | | | | 124,877 | |
| Fresenius Medical Care U.S. Finance II, Inc. | | | | | |
5.63% | | | 07/31/19 | 2 | | | 75,000 | | | | 76,498 | |
| Halfmoon Parent, Inc. | | | | | |
| (LIBOR USD 3-Month plus 0.65%) | | | | | |
2.98% | | | 09/17/21 | 1,2 | | | 100,000 | | | | 100,161 | |
| HCA, Inc. | | | | | |
5.00% | | | 03/15/24 | | | | 12,000 | | | | 12,330 | |
| Hologic, Inc. | | | | | |
4.63% | | | 02/01/28 | 2 | | | 2,000 | | | | 1,883 | |
| Humana, Inc. | | | | | |
2.63% | | | 10/01/19 | | | | 50,000 | | | | 49,811 | |
| Roche Holdings, Inc. | | | | | |
2.25% | | | 09/30/19 | 2 | | | 75,000 | | | | 74,592 | |
| Shire Acquisitions Investments Ireland DAC | | | | | |
| (Ireland) | | | | | |
1.90% | | | 09/23/19 | 3 | | | 100,000 | | | | 98,954 | |
| Tenet Healthcare Corp. | | | | | |
4.63% | | | 07/15/24 | | | | 10,000 | | | | 9,750 | |
| Universal Health Services, Inc. | | | | | |
3.75% | | | 08/01/19 | 2 | | | 40,000 | | | | 40,025 | |
| Zimmer Biomet Holdings, Inc. | | | | | |
| (LIBOR USD 3-Month plus 0.75%) | | | | | |
3.09% | | | 03/19/21 | 1 | | | 40,000 | | | | 40,040 | |
| | | | | |
| |
| | | | 897,001 | |
| | | | | |
Industrials — 2.24% | | | | | |
| BAE Systems Holdings, Inc. | | | | | |
6.38% | | | 06/01/19 | 2 | | | 90,000 | | | | 91,924 | |
| Bemis Co., Inc. | | | | | |
6.80% | | | 08/01/19 | | | | 50,000 | | | | 51,516 | |
| Berry Global, Inc. | | | | | |
5.13% | | | 07/15/23 | | | | 6,000 | | | | 6,067 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Industrials (continued) | | | | | |
| Clean Harbors, Inc. | | | | | |
5.13% | | | 06/01/21 | | | $ | 6,000 | | | $ | 6,030 | |
| General Electric Co. (MTN) | | | | | |
| (LIBOR USD 3-Month plus 0.38%) | | | | | |
2.72% | | | 05/05/26 | 1 | | | 30,000 | | | | 28,637 | |
| (LIBOR USD 3-Month plus 0.48%) | | | | | |
2.79% | | | 08/15/36 | 1 | | | 75,000 | | | | 62,518 | |
| Itron, Inc. | | | | | |
5.00% | | | 01/15/26 | 2 | | | 6,000 | | | | 5,775 | |
| United Technologies Corp. | | | | | |
| (LIBOR USD 3-Month plus 0.65%) | | | | | |
2.97% | | | 08/16/21 | 1 | | | 75,000 | | | | 75,209 | |
| WestRock RKT Co. | | | | | |
4.45% | | | 03/01/19 | | | | 85,000 | | | | 85,542 | |
| | | | | |
| |
| | | | 413,218 | |
| | | | | |
Information Technology — 0.67% | | | | | |
| Analog Devices, Inc. | | | | | |
2.85% | | | 03/12/20 | | | | 40,000 | | | | 39,763 | |
| Broadcom Corp./Broadcom Cayman Finance Ltd. | | | | | |
2.38% | | | 01/15/20 | | | | 55,000 | | | | 54,371 | |
| Dell International LLC/EMC Corp. | | | | | |
3.48% | | | 06/01/19 | 2 | | | 25,000 | | | | 25,067 | |
| Zayo Group LLC/Zayo Capital, Inc. | | | | | |
5.75% | | | 01/15/27 | 2 | | | 4,000 | | | | 4,010 | |
| | | | | |
| |
| | | | 123,211 | |
| | | | | |
Insurance — 0.43% | | | | | |
| Allstate Corp. (The) | | | | | |
| (LIBOR USD 3-Month plus 0.43%) | | | | | |
2.82% | | | 03/29/21 | 1 | | | 30,000 | | | | 30,047 | |
| Pricoa Global Funding I | | | | | |
1.45% | | | 09/13/19 | 2 | | | 50,000 | | | | 49,138 | |
| | | | | |
| |
| | | | 79,185 | |
| | | | | |
Materials — 0.55% | | | | | |
| Dow Chemical Co. (The) | | | | | |
8.55% | | | 05/15/19 | | | | 50,000 | | | | 51,714 | |
| Georgia-Pacific LLC | | | | | |
2.54% | | | 11/15/19 | 2 | | | 50,000 | | | | 49,667 | |
| | | | | |
| |
| | | | 101,381 | |
| | | | | |
Real Estate Investment Trust (REIT) — 5.18% | | | | | |
| Alexandria Real Estate Equities, Inc. | | | | | |
2.75% | | | 01/15/20 | | | | 65,000 | | | | 64,429 | |
| American Campus Communities Operating Partnership LP | | | | | |
3.35% | | | 10/01/20 | | | | 90,000 | | | | 89,574 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| Semi-Annual Report September 2018 / 20 |
AlphaTrak 500 Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| CORPORATES (continued) | | | | | |
| Real Estate Investment Trust (REIT) (continued) | |
| American Tower Corp. | | | | | |
3.40% | | | 02/15/19 | | | $ | 75,000 | | | $ | 75,152 | |
| Boston Properties LP | | | | | |
5.63% | | | 11/15/20 | | | | 15,000 | | | | 15,605 | |
5.88% | | | 10/15/19 | | | | 75,000 | | | | 76,777 | |
| HCP, Inc. | | | | | |
2.63% | | | 02/01/20 | | | | 100,000 | | | | 99,141 | |
3.75% | | | 02/01/19 | | | | 50,000 | | | | 50,103 | |
| Healthcare Trust of America Holdings LP | | | | | |
3.38% | | | 07/15/21 | | | | 50,000 | | | | 49,641 | |
| MGM Growth Properties Operating Partnership LP/MGP Finance Co.-Issuer, Inc. | | | | | |
4.50% | | | 01/15/28 | | | | 6,000 | | | | 5,521 | |
| SBA Communications Corp. | | | | | |
4.00% | | | 10/01/22 | | | | 10,000 | | | | 9,813 | |
| SL Green Operating Partnership LP | | | | | |
| (LIBOR USD 3-Month plus 0.98%) | | | | | |
3.35% | | | 08/16/21 | 1 | | | 100,000 | | | | 100,133 | |
| Ventas Realty LP/Ventas Capital Corp. | | | | | |
2.70% | | | 04/01/20 | | | | 50,000 | | | | 49,581 | |
| VEREIT Operating Partnership LP | | | | | |
3.00% | | | 02/06/19 | | | | 55,000 | | | | 54,981 | |
| WEA Finance LLC/Westfield UK & Europe Finance PLC | | | | | |
2.70% | | | 09/17/19 | 2 | | | 115,000 | | | | 114,693 | |
| Welltower, Inc. | | | | | |
4.13% | | | 04/01/19 | | | | 75,000 | | | | 75,243 | |
6.13% | | | 04/15/20 | | | | 25,000 | | | | 25,990 | |
| | | | | |
| |
| | | | 956,377 | |
| | | | | |
| Retail — 0.81% | | | | | |
| Alimentation Couche-Tard, Inc. (Canada) | | | | | |
2.35% | | | 12/13/19 | 2,3 | | | 50,000 | | | | 49,531 | |
| Dollar Tree, Inc. | | | | | |
| (LIBOR USD 3-Month plus 0.70%) | | | | | |
3.04% | | | 04/17/20 | 1 | | | 55,000 | | | | 55,088 | |
| Walgreens Boots Alliance, Inc. | | | | | |
2.70% | | | 11/18/19 | | | | 45,000 | | | | 44,833 | |
| | | | | |
| |
| | | | 149,452 | |
| | | | | |
| Transportation — 0.31% | | | | | |
| Continental Airlines Pass-Through Trust, | | | | | |
| Series 2000-2, Class A1 | | | | | |
7.71% | | | 04/02/21 | | | | 23,806 | | | | 25,070 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| CORPORATES (continued) | | | | | |
| Transportation (continued) | | | | | |
| U.S. Airways Pass-Through Trust, | | | | | |
| Series 2001-1, Class G | | | | | |
7.08% | | | 03/20/21 | | | $ | 31,546 | | | $ | 33,198 | |
| | | | | |
| |
| | | | 58,268 | |
| | | | | |
| Total Corporates | | | | | |
| (Cost $7,341,574) | | | | 7,328,529 | |
| | | | | |
| MORTGAGE-BACKED — 32.64%** | | | | | |
| Non-Agency Commercial Mortgage-Backed — 8.39% | | | | | |
| Commercial Mortgage Pass Through Certificates, Series 2016-CR28, Class A1 | | | | | |
1.77% | | | 02/10/49 | | | | 108,891 | | | | 107,579 | |
| Commercial Mortgage Trust, Series 2006-GG7, Class AM | | | | | |
5.93% | | | 07/10/38 | 6 | | | 13,825 | | | | 13,975 | |
| Commercial Mortgage Trust, Series 2012-CR4, Class XA (IO) | | | | | |
1.94% | | | 10/15/45 | 4,6 | | | 376,422 | | | | 22,365 | |
| Commercial Mortgage Trust, Series 2013-CR11, Class A1 (IO) | | | | | |
1.47% | | | 08/10/50 | | | | 59,676 | | | | 59,544 | |
| Commercial Mortgage Trust, Series 2013-CR7, Class XA | | | | | |
1.34% | | | 03/10/46 | 6 | | | 620,217 | | | | 25,568 | |
| DBUBS Mortgage Trust, Series 2011-LC1A, Class A2 | | | | | |
4.53% | | | 11/10/46 | 2 | | | 9,860 | | | | 9,913 | |
| GRACE Mortgage Trust, Series 2014-GRCE, Class A | | | | | |
3.37% | | | 06/10/28 | 2 | | | 40,000 | | | | 40,038 | |
| GS Mortgage Securities Trust, Series 2010-C1, Class X (IO) | | | | | |
1.50% | | | 08/10/43 | 2,6 | | | 548,335 | | | | 10,530 | |
| GS Mortgage Securities Trust, Series 2010-C2, Class A1 | | | | | |
3.85% | | | 12/10/43 | 2 | | | 13,629 | | | | 13,742 | |
| GS Mortgage Securities Trust, Series 2013-GC12, Class XA (IO) | | | | | |
1.58% | | | 06/10/46 | 6 | | | 986,410 | | | | 49,109 | |
| Irvine Core Office Trust, Series 2013-IRV, Class A1 | | | | | |
2.07% | | | 05/15/48 | 2 | | | 5,029 | | | | 4,886 | |
| JPMBB Commercial Mortgage Securities Trust, Series 2013-C14, Class A2 | | | | | |
3.02% | | | 08/15/46 | | | | 20,043 | | | | 20,046 | |
| JPMBB Commercial Mortgage Securities Trust, Series 2014-C19, Class XB (IO) | | | | | |
0.42% | | | 04/15/47 | 4,5,6 | | | 1,000,000 | | | | 17,431 | |
| JPMBB Commercial Mortgage Securities Trust, Series 2015-C30, Class A2 | | | | | |
3.09% | | | 07/15/48 | | | | 120,000 | | | | 119,835 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| 21 / Semi-Annual Report September 2018 |
AlphaTrak 500 Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Commercial
Mortgage-Backed (continued) | | | | | |
| JPMorgan Chase Commercial Mortgage Securities Trust Series 2005-CIBC11, Class C | | | | | |
5.74% | | | 08/12/37 | 6 | | $ | 100,000 | | | $ | 100,219 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2011-C4, Class ASB | | | | | |
3.73% | | | 07/15/46 | 2 | | | 31,612 | | | | 31,820 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C13, Class ASB | | | | | |
3.41% | | | 01/15/46 | | | | 46,891 | | | | 47,103 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2015-JP1, Class A2 | | | | | |
3.14% | | | 01/15/49 | | | | 100,000 | | | | 99,765 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2015-JP1, Class XA (IO) | | | | | |
1.28% | | | 01/15/49 | 4,5,6 | | | 979,216 | | | | 44,855 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2012-CIBX, Class A3 | | | | | |
3.14% | | | 06/15/45 | | | | 78,979 | | | | 78,962 | |
LB-UBS Commercial Mortgage Trust,
Series 2006-C6, Class XCL (IO) | | | | | |
0.77% | | | 09/15/39 | 2,4,6 | | | 567,428 | | | | 8,587 | |
| Morgan Stanley Capital I Trust, Series 2011-C1, Class A4 | | | | | |
5.03% | | | 09/15/47 | 2,6 | | | 98,298 | | | | 101,191 | |
| Morgan Stanley Capital I Trust, Series 2011-C3, Class A3 | | | | | |
4.05% | | | 07/15/49 | | | | 108,275 | | | | 108,979 | |
| OBP Depositor LLC Trust, Series 2010-OBP, Class A | | | | | |
4.65% | | | 07/15/45 | 2 | | | 131,000 | | | | 133,600 | |
UBS Commercial Mortgage Trust,
Series 2018-C12, Class A1 | | | | | |
3.29% | | | 08/15/51 | | | | 89,007 | | | | 89,037 | |
| UBS-Barclays Commercial Mortgage Trust, | | | | | |
| Series 2012-C3, Class XB (IO) | | | | | |
0.32% | | | 08/10/49 | 2,4,5,6 | | | 3,000,000 | | | | 26,985 | |
Wells Fargo Commercial Mortgage Trust,
Series 2015-P2, Class XA (IO) | | | | | |
1.15% | | | 12/15/48 | 4,5,6 | | | 984,642 | | | | 49,196 | |
Wells Fargo Commercial Mortgage Trust,
Series 2015-SG1, Class XA (IO) | | | | | |
0.91% | | | 09/15/48 | 4,5,6 | | | 1,374,361 | | | | 53,292 | |
WF-RBS Commercial Mortgage Trust,
Series 2011-C2, Class XA (IO) | | | | | |
0.97% | | | 02/15/44 | 2,6 | | | 1,775,441 | | | | 28,117 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Commercial
Mortgage-Backed (continued) | | | | | |
| WF-RBS Commercial Mortgage Trust, | | | | | |
| Series 2011-C3, Class A3 | | | | | |
4.00% | | | 03/15/44 | 2 | | $ | 32,855 | | | $ | 33,093 | |
| | | | | |
| |
| | | | 1,549,362 | |
| | | | | |
| Non-Agency Mortgage-Backed — 6.78% | | | | | |
| Ameriquest Mortgage Securities, Inc., | | | | | |
Asset-Backed Pass-Through Certificates,
Series 2005-R3, Class M2 | | | | | |
| (LIBOR USD 1-Month plus 0.71%) | | | | | |
2.92% | | | 05/25/35 | 1 | | | 23,450 | | | | 23,468 | |
Asset-Backed Funding Certificates, Series 2006-OPT1, Class A2 | | | | | |
| (LIBOR USD 1-Month plus 0.14%) | | | | | |
2.36% | | | 09/25/36 | 1 | | | 35,836 | | | | 35,508 | |
| Banc of America Funding Trust, Series 2006-G, Class 2A4 | | | | | |
| (LIBOR USD 1-Month plus 0.29%) | | | | | |
2.46% | | | 07/20/36 | 1 | | | 76,803 | | | | 76,867 | |
| BCAP LLC Trust, Series 2012-RR11, Class 2A3 | | | | | |
2.18% | | | 08/26/36 | 2,6 | | | 25,486 | | | | 25,536 | |
| BCAP LLC Trust, Series 2014-RR1, Class 3A3 | | | | | |
| (LIBOR USD 1-Month plus 0.16%) | | | | | |
2.22% | | | 03/26/37 | 1,2 | | | 55,399 | | | | 55,139 | |
| Bear Stearns ALT-A Trust, Series 2004-11, Class 1A1 | | | | | |
| (LIBOR USD 1-Month plus 0.68%) | | | | | |
2.90% | | | 11/25/34 | 1 | | | 4,880 | | | | 4,879 | |
| Centex Home Equity Loan Trust, Series 2002-C, Class AF4 | | | | | |
| (STEP-reset date 11/25/18) | | | | | |
4.98% | | | 06/25/31 | | | | 883 | | | | 882 | |
| Citigroup Mortgage Loan Trust, Series 2006-HE1, Class M2 | | | | | |
| (LIBOR USD 1-Month plus 0.51%) | | | | | |
2.73% | | | 01/25/36 | 1 | | | 13,863 | | | | 13,903 | |
Countrywide Alternative Loan Trust,
Series 2005-27, Class 3A2 | | | | | |
| (Federal Reserve US 12-Month Cumulative | | | | | |
| Average plus 1.10%) | | | | | |
2.94% | | | 08/25/35 | 1 | | | 22,436 | | | | 15,748 | |
Countrywide Asset-Backed Certificates,
Series 2007-13, Class 2A1 | | | | | |
| (LIBOR USD 1-Month plus 0.90%) | | | | | |
3.12% | | | 10/25/47 | 1 | | | 113,124 | | | | 112,336 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-9, Class 1A1 | | | | | |
| (LIBOR USD 1-Month plus 0.60%) | | | | | |
2.82% | | | 05/25/35 | 1 | | | 80,299 | | | | 75,717 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| Semi-Annual Report September 2018 / 22 |
AlphaTrak 500 Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
| Credit Suisse First Boston Mortgage | | | | | |
| Securities Corp., Series 1997-2, Class A | | | | | |
7.50% | | | 06/25/20 | 2 | | $ | 88 | | | $ | 89 | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2003-CB1, Class AF (STEP-reset date 11/25/18) | | | | | |
3.95% | | | 01/25/33 | | | | 13,314 | | | | 13,421 | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2003-CB5, Class M1 | | | | | |
| (LIBOR USD 1-Month plus 1.02%) | | | | | |
3.24% | | | 11/25/33 | 1 | | | 16,717 | | | | 16,384 | |
| DSLA Mortgage Loan Trust, Series 2004-AR3, Class 2A2A | | | | | |
| (LIBOR USD 1-Month plus 0.74%) | | | | | |
2.91% | | | 07/19/44 | 1 | | | 5,010 | | | | 5,050 | |
First Franklin Mortgage Loan Trust,
Series 2006-FF4, Class A3 | | | | | |
| (LIBOR USD 1-Month plus 0.28%) | | | | | |
2.62% | | | 03/25/36 | 1 | | | 120,000 | | | | 118,346 | |
| GMACM Mortgage Corp. Loan Trust, | | | | | |
| Series 2006-AR1, Class 1A1 | | | | | |
3.80% | | | 04/19/36 | 6 | | | 90,537 | | | | 84,908 | |
| HarborView Mortgage Loan Trust, Series 2005-4, Class 2A | | | | | |
4.65% | | | 07/19/35 | 6 | | | 4,664 | | | | 4,522 | |
| HarborView Mortgage Loan Trust, Series 2005-9, Class 2A1A | | | | | |
| (LIBOR USD 1-Month plus 0.34%) | | | | | |
2.51% | | | 06/20/35 | 1 | | | 23,738 | | | | 23,589 | |
| HSI Asset Securitization Corp. Trust, 2006-OPT1, Class 2A4 | | | | | |
| (LIBOR USD 1-Month plus 0.30%) | | | | | |
2.52% | | | 12/25/35 | 1 | | | 83,231 | | | | 83,005 | |
IndyMac Index Mortgage Loan Trust,
Series 2004-AR5, Class 2A1A | | | | | |
| (LIBOR USD 1-Month plus 0.86%) | | | | | |
3.08% | | | 08/25/34 | 1 | | | 8,822 | | | | 8,180 | |
JPMorgan Mortgage Acquisition Trust,
Series 2007-CH5, Class A4 | | | | | |
| (LIBOR USD 1-Month plus 0.16%) | | | | | |
2.38% | | | 06/25/36 | 1 | | | 39,756 | | | | 39,623 | |
| Long Beach Mortgage Loan Trust, Series 2004-4, Class 1A1 | | | | | |
| (LIBOR USD 1-Month plus 0.56%) | | | | | |
2.78% | | | 10/25/34 | 1 | | | 100,360 | | | | 100,676 | |
Residential Asset Mortgage Products Trust,
Series 2004-SL1, Class A2 | | | | | |
8.50% | | | 11/25/31 | | | | 4,097 | | | | 706 | |
Residential Asset Mortgage Products Trust,
Series 2005-RZ3, Class M3 | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
| (LIBOR USD 1-Month plus 0.55%) | | | | | |
2.77% | | | 09/25/35 | 1 | | $ | 100,000 | | | $ | 99,697 | |
| Soundview Home Loan Trust, Series 2006-2, Class M1 | | | | | |
| (LIBOR USD 1-Month plus 0.33%) | | | | | |
2.55% | | | 03/25/36 | 1 | | | 65,063 | | | | 65,362 | |
| Terwin NIMs Trust, Series 2004-13AL, Class 2PX (IO) | | | | | |
0.34% | | | 08/25/34 | 2,4,5 | | | 3,093,523 | | | | 36,814 | |
| WaMu Mortgage Pass-Through Certificates, Series 2002-AR6, Class A | | | | | |
| (Federal Reserve US 12-Month Cumulative Average plus 1.40%) | | | | | |
3.24% | | | 06/25/42 | 1 | | | 3,735 | | | | 3,649 | |
| Wells Fargo Alternative Loan Trust, Series 2005-2, Class M1 | | | | | |
| (LIBOR USD 1-Month plus 0.45%) | | | | | |
2.67% | | | 10/25/35 | 1 | | | 75,808 | | | | 75,730 | |
| Wells Fargo Mortgage-Backed Securities Trust, Series 2003-I, Class A1 | | | | | |
4.46% | | | 09/25/33 | 6 | | | 24,971 | | | | 25,109 | |
| Wells Fargo Mortgage-Backed Securities Trust, Series 2004-I, Class 1A1 | | | | | |
4.12% | | | 07/25/34 | 6 | | | 6,527 | | | | 6,599 | |
| | | | | |
| |
| | | | 1,251,442 | |
| | | | | |
U.S. Agency Commercial | | | | | |
Mortgage-Backed — 11.44% | | | | | |
| Fannie Mae-Aces, Series 2012-M2, Class X (IO) | | | | | |
0.78% | | | 02/25/22 | 6 | | | 105,956 | | | | 1,900 | |
| Fannie Mae-Aces, Series 2012-M3, Class 1A1 | | | | | |
2.10% | | | 01/25/22 | | | | 65,179 | | | | 64,955 | |
| Fannie Mae-Aces, Series 2014-M2, Class ASV2 | | | | | |
2.78% | | | 06/25/21 | 6 | | | 15,626 | | | | 15,484 | |
| Fannie Mae-Aces, Series 2015-M10, Class FA | | | | | |
| (LIBOR USD 1-Month plus 0.25%) | | | | | |
2.32% | | | 03/25/19 | 1 | | | 98,766 | | | | 98,627 | |
| Fannie Mae-Aces, Series 2016-M9, Class FA | | | | | |
| (LIBOR USD 1-Month plus 0.59%) | | | | | |
2.66% | | | 09/25/23 | 1 | | | 24,092 | | | | 24,161 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF34, Class A | | | | | |
| (LIBOR USD 1-Month plus 0.36%) | | | | | |
2.47% | | | 08/25/24 | 1 | | | 41,644 | | | | 41,665 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| 23 / Semi-Annual Report September 2018 |
AlphaTrak 500 Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Commercial
Mortgage-Backed (continued) | | | | | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series J15F, Class A1 | | | | | |
2.36% | | | 07/25/20 | | | $ | 46,162 | | | $ | 45,972 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series K003, Class A4 | | | | | |
5.05% | | | 01/25/19 | | | | 86,838 | | | | 86,895 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series K003, Class A5 | | | | | |
5.09% | | | 03/25/19 | | | | 275,000 | | | | 276,370 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series K004, Class A2 | | | | | |
4.19% | | | 08/25/19 | | | | 180,000 | | | | 181,553 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series K005, Class A2 | | | | | |
4.32% | | | 11/25/19 | | | | 145,000 | | | | 146,484 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series K017, Class A1 | | | | | |
1.89% | | | 12/25/20 | | | | 5,254 | | | | 5,243 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series K706, Class A2 | | | | | |
2.32% | | | 10/25/18 | | | | 22,714 | | | | 22,676 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series K717, Class A1 | | | | | |
2.34% | | | 02/25/21 | | | | 145,392 | | | | 144,927 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KAIV, Class X2 (IO) | | | | | |
3.61% | | | 06/25/41 | 6 | | | 250,000 | | | | 21,986 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KC01, Class A1 | | | | | |
1.98% | | | 10/25/22 | | | | 89,636 | | | | 87,826 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF04, Class A | | | | | |
| (LIBOR USD 1-Month plus 0.31%) | | | | | |
2.42% | | | 06/25/21 | 1 | | | 20,994 | | | | 21,006 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF05, Class A | | | | | |
| (LIBOR USD 1-Month plus 0.35%) | | | | | |
2.46% | | | 09/25/21 | 1 | | | 4,723 | | | | 4,727 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF08, Class A | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Commercial
Mortgage-Backed (continued) | | | | | |
| (LIBOR USD 1-Month plus 0.30%) | | | | | |
2.41% | | | 01/25/22 | 1 | | $ | 42,389 | | | $ | 42,559 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF09, Class A | | | | | |
| (LIBOR USD 1-Month plus 0.38%) | | | | | |
2.49% | | | 05/25/22 | 1 | | | 36,412 | | | | 36,463 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF10, Class A | | | | | |
| (LIBOR USD 1-Month plus 0.38%) | | | | | |
2.49% | | | 07/25/22 | 1 | | | 44,939 | | | | 45,066 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF29, Class A | | | | | |
| (LIBOR USD 1-Month plus 0.36%) | | | | | |
2.47% | | | 02/25/24 | 1 | | | 112,347 | | | | 112,666 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF35, Class A | | | | | |
| (LIBOR USD 1-Month plus 0.35%) | | | | | |
2.46% | | | 08/25/24 | 1 | | | 97,129 | | | | 97,360 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KJ02, Class A2 | | | | | |
2.60% | | | 09/25/20 | | | | 48,393 | | | | 48,060 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KJ10, Class A1 | | | | | |
2.12% | | | 12/25/22 | | | | 74,240 | | | | 73,307 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KP03, Class A2 | | | | | |
1.78% | | | 07/25/19 | | | | 101,182 | | | | 100,589 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KP04, Class AG1 | | | | | |
| (LIBOR USD 1-Month plus 0.22%) | | | | | |
2.33% | | | 07/25/20 | 1 | | | 100,000 | | | | 100,135 | |
| Ginnie Mae, Series 2010-141, Class B | | | | | |
2.72% | | | 02/16/44 | | | | 104,997 | | | | 102,752 | |
| Ginnie Mae, Series 2011-142, Class A | | | | | |
2.34% | | | 10/16/40 | | | | 2,502 | | | | 2,485 | |
| Ginnie Mae, Series 2012-86, Class AF | | | | | |
3.89% | | | 04/16/40 | | | | 58,516 | | | | 58,445 | |
| | | | | |
| |
| | | | 2,112,344 | |
| | | | | |
U.S. Agency Mortgage-Backed — 6.03% | | | | | |
| Fannie Mae Pool 464321 | | | | | |
4.36% | | | 01/01/20 | | | | 105,096 | | | | 106,308 | |
| Fannie Mae Pool 469632 | | | | | |
2.56% | | | 12/01/18 | | | | 184,202 | | | | 183,890 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| Semi-Annual Report September 2018 / 24 |
AlphaTrak 500 Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed (continued) | | | | | |
| Fannie Mae Pool 471278 | | | | | |
2.46% | | | 05/01/19 | | | $ | 94,108 | | | $ | 93,937 | |
| Fannie Mae Pool 802665 | | | | | |
| (LIBOR USD 6-Month plus 1.74%) | | | | | |
4.24% | | | 12/01/34 | 1 | | | 2,791 | | | | 2,837 | |
| Fannie Mae Pool 995916 | | | | | |
5.01% | | | 06/01/19 | | | | 176,925 | | | | 178,393 | |
| Fannie Mae Pool AD0166 | | | | | |
4.78% | | | 08/01/19 | | | | 101,230 | | | | 102,203 | |
| Fannie Mae Pool AD0791 | | | | | |
4.73% | | | 02/01/20 | | | | 43,564 | | | | 44,049 | |
| Fannie Mae Pool AL0851 | | | | | |
6.00% | | | 10/01/40 | | | | 4,570 | | | | 4,993 | |
| Fannie Mae Pool AM6161 | | | | | |
2.28% | | | 08/01/19 | | | | 142,134 | | | | 141,579 | |
| Fannie Mae Pool AM7028 | | | | | |
| (LIBOR USD 1-Month plus 0.24%) | | | | | |
2.35% | | | 10/01/19 | 1 | | | 195,000 | | | | 194,873 | |
| Fannie Mae REMICS, Series 1997-91, | | | | | |
| Class SL (IO) | | | | | |
| LIBOR USD 1-Month | | | | | |
7.50% | | | 11/25/23 | 1 | | | 34,788 | | | | 4,200 | |
| Fannie Mae REMICS, Series 2003-11, Class FA | | | | | |
| (LIBOR USD 1-Month plus 1.00%) | | | | | |
3.22% | | | 09/25/32 | 1 | | | 8,865 | | | | 9,040 | |
| Fannie Mae REMICS, Series 2008-47, Class PF | | | | | |
| (LIBOR USD 1-Month plus 0.50%) | | | | | |
2.72% | | | 06/25/38 | 1 | | | 679 | | | | 679 | |
| Fannie Mae REMICS, Series 2010-109, Class PF | | | | | |
| (LIBOR USD 1-Month plus 0.40%) | | | | | |
2.62% | | | 10/25/40 | 1 | | | 7,880 | | | | 7,934 | |
| Fannie Mae REMICS, Series G-36, Class ZB | | | | | |
7.00% | | | 11/25/21 | | | | 268 | | | | 274 | |
| Freddie Mac REMICS, Series 2684, Class F | | | | | |
| (LIBOR USD 1-Month plus 0.90%) | | | | | |
3.06% | | | 01/15/33 | 1 | | | 8,726 | | | | 8,892 | |
| Freddie Mac Strips, Series 263, Class F5 | | | | | |
| (LIBOR USD 1-Month plus 0.50%) | | | | | |
2.66% | | | 06/15/421 | | | | 27,907 | | | | 28,211 | |
| | | | | |
| |
| | | | 1,112,292 | |
| | | | | |
| | |
Total Mortgage-Backed
(Cost $6,069,823) | | | | | | | | 6,025,440 | |
| | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
U.S. TREASURY SECURITIES — 3.96% | | | | | |
U.S. Treasury Notes — 3.96% | | | | | |
| U.S. Treasury Notes | | | | | |
2.63% | | | 07/31/20 | | | $ | 180,000 | | | $ | 179,423 | |
2.63% | | | 07/15/21 | | | | 555,000 | | | | 551,217 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 730,640 | |
| | | | | | | | | | | | |
| |
Total U.S. Treasury Securities (Cost $734,111) | | | $ | 730,640 | |
| | | | | | | | | | | | |
| |
Total Bonds – 84.37% (Cost $15,630,080) | | | | 15,574,729 | |
| | | | | | | | | | | | |
| | | | | |
| Issues | | | | | Shares | | | Value | |
MUTUAL FUNDS — 2.70% | | | | | | | | | |
Mutual Funds — 2.70% | | | | | | | | | |
| SPDR S&P500 ETF Trust7 | | | | 1,717 | | | | 499,166 | |
| | | | | | | | | | | | |
| |
Total Mutual Funds
(Cost $490,721) | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount/
Shares | | | Value | |
SHORT-TERM INVESTMENTS — 12.76% | | | | | |
Money Market Funds — 1.20% | | | | | |
| Morgan Stanley Institutional Liquidity Funds-Government Portfolio | | | | | |
2.04%8 | | | | 221,000 | | | | 221,000 | |
| | | | | | | | | | | | |
U.S. Treasury Bills — 11.56% | | | | | | | | | |
| U.S. Treasury Bills | | | | | | | | | |
2.05%9,10 | | | 12/13/18 | | | $ | 820,000 | | | | 816,473 | |
2.20%10 | | | 01/31/19 | | | | 1,328,000 | | | | 1,318,015 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 2,134,488 | |
| | | | | | | | | | | | |
| |
Total Short-Term Investments
(Cost $2,355,485) | | | | 2,355,488 | |
| | | | | | | | | | | | |
| |
Total Investments – 99.83%
(Cost $18,476,286) | | | | 18,429,383 | |
| | | | | | | | | | | | |
| |
Cash and Other Assets, Less Liabilities – 0.17% | | | | 31,911 | |
| | | | | | | | | | | | |
| |
| Net Assets – 100.00% | | | $ | 18,461,294 | |
| | | | | | | | | | | | |
| 1 | Floating rate security. The rate disclosed was in effect at September 30, 2018. |
| 2 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| 3 | U.S. dollar-denominated security issued by foreign-domiciled entity. |
| 4 | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| 25 / Semi-Annual Report September 2018 |
AlphaTrak 500 Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| 5 | Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $235,392, which is 1.28% of total net assets. |
| 6 | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. |
| 7 | SPDR S & P 500 ETF Trust (the “S & P 500 ETF”) is a unit investment trust created under the laws of the State of New York and registered under the Investment Company Act of 1940. The S & P 500 ETF was created to provide investors with the opportunity to purchase a security representing a proportionate undivided interest in a portfolio of securities consisting of substantially all of the component common stocks, in substantially the same weighting, which comprise the Standard & Poor’s 500 Index (the “S & P 500 Index”). Each unit of fractional undivided interest in the S & P 500 ETF is referred to as a “Unit”. The S & P 500 ETF seeks to provide investment results that, before expenses, correspond generally to the price and yield performance of the S & P 500 Index. You can access the financial statements of this ETF by going to the fund's homepage at (https:// us.spdrs.com/en/etf/spdr-sp-500-etf-SPY). |
| 8 | Represents the current yield as of September 30, 2018. |
| 9 | Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $816,449. |
| 10 | Represents annualized yield at date of purchase. |
| * | 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
(LIBOR): London InterBank Offer Rate
(MTN): Medium-term note
(S&P): Standard and Poor's
(SPDR): Standard and Poor's Depositary Receipts
(STEP): Step coupon bond
(USD): U.S. dollar
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Number
of Contracts | | Expiration Date | | Notional Amount | | Value | | Unrealized
Appreciation |
FUTURES CONTRACTS: LONG POSITIONS | | | | | | | | | | | | | | | | |
| S&P500 Emini Fut Dec18 | | | | 122 | | | | | 12/21/18 | | | | $ | 17,805,900 | | | | $ | 233,101 | | | | $ | 233,101 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2018 / 26 |
Corporate Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BONDS – 92.84% | | | | | |
CORPORATES — 78.32%* | | | | | |
Banking — 6.99% | | | | | |
Bank of America Corp. (MTN) | | | | | |
3.97% | | | 03/05/29 | 1 | | $ | 20,000 | | | $ | 19,522 | |
4.27% | | | 07/23/29 | 1 | | | 15,000 | | | | 14,976 | |
Discover Bank | | | | | |
4.20% | | | 08/08/23 | | | | 10,000 | | | | 10,047 | |
JPMorgan Chase & Co. | | | | | |
4.01% | | | 04/23/29 | 1 | | | 20,000 | | | | 19,617 | |
4.20% | | | 07/23/29 | 1 | | | 15,000 | | | | 14,973 | |
Lloyds Banking Group PLC (United Kingdom) | | | | | |
2.91% | | | 11/07/23 | 1,2 | | | 10,000 | | | | 9,545 | |
PNC Bank N.A. (BKNT) | | | | | |
2.00% | | | 05/19/20 | | | | 10,000 | | | | 9,821 | |
Santander UK Group Holdings PLC (United Kingdom) | | | | | |
3.13% | | | 01/08/21 | 2 | | | 10,000 | | | | 9,865 | |
Wells Fargo & Co. | | | | | |
3.07% | | | 01/24/23 | | | | 5,000 | | | | 4,883 | |
Wells Fargo & Co. (MTN) | | | | | |
3.55% | | | 09/29/25 | | | | 10,000 | | | | 9,757 | |
3.58% | | | 05/22/28 | 1 | | | 20,000 | | | | 19,155 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 142,161 | |
| | | | | | | | | | | | |
Communications — 6.61% | | | | | |
21st Century Fox America, Inc. | | | | | |
6.20% | | | 12/15/34 | | | | 8,000 | | | | 9,883 | |
AT&T, Inc. | | | | | |
4.35% | | | 06/15/45 | | | | 35,000 | | | | 30,253 | |
| Charter Communications Operating LLC/Charter Communications Operating Capital | | | | | |
5.38% | | | 05/01/47 | | | | 15,000 | | | | 14,310 | |
Comcast Corp. | | | | | |
4.00% | | | 11/01/49 | | | | 15,000 | | | | 13,383 | |
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II
LLC/ Sprint Spectrum Co. III LLC | | | | | |
5.15% | | | 03/20/28 | 3 | | | 10,000 | | | | 10,074 | |
Verizon Communications, Inc. | | | | | |
3.85% | | | 11/01/42 | | | | 35,000 | | | | 30,540 | |
Viacom, Inc. | | | | | |
3.45% | | | 10/04/26 | | | | 6,000 | | | | 5,615 | |
Vodafone Group PLC (United Kingdom) | | | | | |
4.38% | | | 05/30/28 | 2 | | | 10,000 | | | | 9,871 | |
Warner Media LLC | | | | | |
3.88% | | | 01/15/26 | | | | 11,000 | | | | 10,690 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 134,619 | |
| | | | | | | | | | | | |
Consumer Discretionary — 1.84% | | | | | |
Anheuser-Busch InBev Worldwide, Inc. | | | | | |
4.60% | | | 04/15/48 | | | | 20,000 | | | | 19,443 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Consumer Discretionary (continued) | | | | | |
Bacardi Ltd. (Bermuda) | | | | | |
4.70% | | | 05/15/28 | 2,3 | | $ | 8,000 | | | $ | 7,957 | |
BAT Capital Corp. | | | | | |
2.76% | | | 08/15/22 | 3 | | | 5,000 | | | | 4,822 | |
Pernod Ricard SA (France) | | | | | |
4.45% | | | 01/15/22 | 2,3 | | | 5,000 | | | | 5,114 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 37,336 | |
| | | | | | | | | | | | |
Consumer Products — 0.24% | | | | | | | | | |
Newell Brands, Inc. | | | | | | | | | |
3.85% | | | 04/01/23 | | | | 5,000 | | | | 4,878 | |
| | | | | | | | | | | | |
Electric — 10.03% | | | | | |
Appalachian Power Co. | | | | | |
4.45% | | | 06/01/45 | | | | 10,000 | | | | 10,030 | |
Consolidated Edison Co. of New York, Inc. | | | | | |
3.88% | | | 06/15/47 | | | | 10,000 | | | | 9,365 | |
Duke Energy Carolinas LLC | | | | | |
3.75% | | | 06/01/45 | | | | 40,000 | | | | 37,034 | |
Duquesne Light Holdings, Inc. | | | | | |
5.90% | | | 12/01/21 | 3 | | | 2,000 | | | | 2,101 | |
6.40% | | | 09/15/20 | 3 | | | 8,000 | | | | 8,380 | |
Florida Power & Light Co. | | | | | |
4.13% | | | 02/01/42 | | | | 15,000 | | | | 15,043 | |
ITC Holdings Corp. | | | | | |
4.05% | | | 07/01/23 | | | | 10,000 | | | | 10,003 | |
Kansas City Power & Light Co. | | | | | |
3.15% | | | 03/15/23 | | | | 5,000 | | | | 4,887 | |
MidAmerican Energy Co. | | | | | |
4.25% | | | 05/01/46 | | | | 10,000 | | | | 10,083 | |
Northern States Power Co./MN | | | | | |
4.13% | | | 05/15/44 | | | | 10,000 | | | | 9,967 | |
PacifiCorp. | | | | | |
4.13% | | | 01/15/49 | | | | 30,000 | | | | 29,535 | |
PNM Resources, Inc. | | | | | |
3.25% | | | 03/09/21 | | | | 10,000 | | | | 9,903 | |
Public Service Co. of New Mexico | | | | | |
3.85% | | | 08/01/25 | | | | 5,000 | | | | 4,961 | |
South Carolina Electric & Gas Co. | | | | | |
4.25% | | | 08/15/28 | | | | 5,000 | | | | 4,990 | |
Southern Co. Gas Capital Corp. | | | | | |
2.45% | | | 10/01/23 | | | | 10,000 | | | | 9,380 | |
Tucson Electric Power Co. | | | | | |
3.85% | | | 03/15/23 | | | | 10,000 | | | | 9,974 | |
Virginia Electric & Power Co. | | | | | |
3.80% | | | 09/15/47 | | | | 20,000 | | | | 18,524 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 204,160 | |
| | | | | | | | | | | | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| 27 / Semi-Annual Report September 2018 |
Corporate Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Energy — 9.40% | | | | | |
Enbridge Energy Partners LP | | | | | |
5.50% | | | 09/15/40 | | | | $10,000 | | | $ | 10,800 | |
Energy Transfer Partners LP | | | | | |
4.95% | | | 06/15/28 | | | | 15,000 | | | | 15,300 | |
EQT Corp. | | | | | |
3.90% | | | 10/01/27 | | | | 5,000 | | | | 4,694 | |
EQT Midstream Partners LP | | | | | |
6.50% | | | 07/15/48 | | | | 8,000 | | | | 8,550 | |
Hess Corp. | | | | | |
4.30% | | | 04/01/27 | | | | 18,000 | | | | 17,485 | |
KeySpan Gas East Corp. | | | | | |
5.82% | | | 04/01/41 | 3 | | | 15,000 | | | | 17,899 | |
Kinder Morgan Energy Partners LP | | | | | |
6.95% | | | 01/15/38 | | | | 15,000 | | | | 18,181 | |
Plains All American Pipeline LP/PAA | | | | | |
Finance Corp. | | | | | |
4.65% | | | 10/15/25 | | | | 10,000 | | | | 10,143 | |
Rockies Express Pipeline LLC | | | | | |
5.63% | | | 04/15/20 | 3 | | | 6,000 | | | | 6,195 | |
Ruby Pipeline LLC | | | | | |
6.00% | | | 04/01/22 | 3 | | | 8,939 | | | | 9,184 | |
Sabine Pass Liquefaction LLC | | | | | |
4.20% | | | 03/15/28 | | | | 3,000 | | | | 2,921 | |
5.75% | | | 05/15/24 | | | | 10,000 | | | | 10,736 | |
TC PipeLines LP | | | | | |
3.90% | | | 05/25/27 | | | | 15,000 | | | | 14,236 | |
Texas Eastern Transmission LP | | | | | |
2.80% | | | 10/15/22 | 3 | | | 10,000 | | | | 9,606 | |
TransCanada PipeLines Ltd. (Canada) | | | | | |
5.00% | | | 10/16/43 | 2 | | | 15,000 | | | | 15,345 | |
Williams Cos., Inc. (The) | | | | | |
3.70% | | | 01/15/23 | | | | 12,000 | | | | 11,891 | |
4.55% | | | 06/24/24 | | | | 8,000 | | | | 8,150 | |
| | | | | | | | | | | | |
| |
| | | | 191,316 | |
| | | | | | | | | | | | |
Finance — 9.25% | | | | | |
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland) | | | | | |
3.88% | | | 01/23/28 | 2 | | | 14,000 | | | | 12,985 | |
Air Lease Corp. | | | | | |
3.63% | | | 12/01/27 | | | | 14,000 | | | | 12,887 | |
Citigroup, Inc. | | | | | |
2.88% | | | 07/24/23 | 1 | | | 5,000 | | | | 4,838 | |
3.14% | | | 01/24/23 | 1 | | | 10,000 | | | | 9,815 | |
3.67% | | | 07/24/28 | 1 | | | 20,000 | | | | 19,060 | |
Ford Motor Credit Co. LLC | | | | | |
5.88% | | | 08/02/21 | | | | 20,000 | | | | 20,930 | |
GE Capital International Funding Co. (Ireland) | | | | | |
4.42% | | | 11/15/35 | 2 | | | 14,000 | | | | 13,199 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Finance (continued) | | | | | |
General Motors Financial Co., Inc. | | | | | |
3.55% | | | 04/09/21 | | | | $20,000 | | | $ | 19,998 | |
Goldman Sachs Group, Inc. (The) | | | | | |
2.88% | | | 10/31/22 | 1 | | | 10,000 | | | | 9,750 | |
4.22% | | | 05/01/29 | 1 | | | 20,000 | | | | 19,697 | |
Morgan Stanley (GMTN) | | | | | |
3.70% | | | 10/23/24 | | | | 5,000 | | | | 4,932 | |
3.77% | | | 01/24/29 | 1 | | | 20,000 | | | | 19,220 | |
Morgan Stanley, Series F | | | | | |
3.88% | | | 04/29/24 | | | | 10,000 | | | | 9,962 | |
Pipeline Funding Co. LLC | | | | | |
7.50% | | | 01/15/30 | 3 | | | 9,488 | | | | 11,078 | |
| | | | | | | | | | | | |
| |
| | | | 188,351 | |
| | | | | | | | | | | | |
Food — 0.68% | | | | | |
Kraft Heinz Foods Co. | | | | | |
4.38% | | | 06/01/46 | | | | 10,000 | | | | 8,819 | |
Tyson Foods, Inc. | | | | | |
3.90% | | | 09/28/23 | | | | 5,000 | | | | 5,025 | |
| | | | | | | | | | | | |
| |
| | | | 13,844 | |
| | | | | | | | | | | | |
Gaming — 0.25% | | | | | |
GLP Capital LP/GLP Financing II, Inc. | | | | | |
4.38% | | | 04/15/21 | | | | 5,000 | | | | 5,050 | |
| | | | | | | | | | | | |
Health Care — 11.34% | | | | | |
AbbVie, Inc. | | | | | |
4.40% | | | 11/06/42 | | | | 20,000 | | | | 18,559 | |
Allergan Funding SCS (Luxembourg) | | | | | |
4.55% | | | 03/15/35 | 2 | | | 10,000 | | | | 9,755 | |
Amgen, Inc. | | | | | |
4.40% | | | 05/01/45 | | | | 15,000 | | | | 14,576 | |
Anthem, Inc. | | | | | |
4.38% | | | 12/01/47 | | | | 10,000 | | | | 9,522 | |
AstraZeneca PLC (United Kingdom) | | | | | |
3.38% | | | 11/16/25 | 2 | | | 10,000 | | | | 9,664 | |
Barnabas Health, Inc. | | | | | |
4.00% | | | 07/01/28 | | | | 5,000 | | | | 4,944 | |
Bayer U.S. Finance II LLC | | | | | |
4.38% | | | 12/15/28 | 3 | | | 10,000 | | | | 9,814 | |
Becton Dickinson and Co. | | | | | |
2.89% | | | 06/06/22 | | | | 10,000 | | | | 9,688 | |
Celgene Corp. | | | | | |
3.90% | | | 02/20/28 | | | | 10,000 | | | | 9,644 | |
CVS Health Corp. | | | | | |
4.00% | | | 12/05/23 | | | | 22,000 | | | | 22,068 | |
5.05% | | | 03/25/48 | | | | 5,000 | | | | 5,134 | |
Elanco Animal Health, Inc. | | | | | |
4.90% | | | 08/28/28 | 3 | | | 10,000 | | | | 10,172 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| Semi-Annual Report September 2018 / 28 |
Corporate Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Health Care (continued) | | | | | |
Fresenius Medical Care U.S. Finance II, Inc. | | | | | |
5.63% | | | 07/31/19 | 3 | | $ | 5,000 | | | $ | 5,100 | |
Fresenius US Finance II, Inc. | | | | | |
4.25% | | | 02/01/21 | 3 | | | 5,000 | | | | 5,040 | |
Gilead Sciences, Inc. | | | | | |
3.70% | | | 04/01/24 | | | | 10,000 | | | | 10,048 | |
Halfmoon Parent, Inc. | | | | | |
4.90% | | | 12/15/48 | 3 | | | 15,000 | | | | 14,950 | |
Humana, Inc. | | | | | |
2.63% | | | 10/01/19 | | | | 5,000 | | | | 4,981 | |
Kaiser Foundation Hospitals | | | | | |
3.15% | | | 05/01/27 | | | | 10,000 | | | | 9,601 | |
| Pfizer, Inc. | | | | | |
4.10% | | | 09/15/38 | | | | 10,000 | | | | 9,978 | |
| Providence St. Joseph Health Obligated Group, Series H | | | | | |
2.75% | | | 10/01/26 | | | | 10,000 | | | | 9,166 | |
| Shire Acquisitions Investments Ireland DAC (Ireland) | | | | | |
3.20% | | | 09/23/26 | 2 | | | 10,000 | | | | 9,248 | |
UnitedHealth Group, Inc. | | | | | |
4.25% | | | 04/15/47 | | | | 15,000 | | | | 15,089 | |
WellCare Health Plans, Inc. | | | | | |
5.38% | | | 08/15/26 | 3 | | | 4,000 | | | | 4,090 | |
| | | | | | | | | | | | |
| |
| | | | 230,831 | |
| | | | | | | | | | | | |
Industrials — 2.04% | | | | | |
Amcor Finance USA, Inc. | | | | | |
3.63% | | | 04/28/26 | 3 | | | 10,000 | | | | 9,443 | |
BAE Systems Holdings, Inc. | | | | | |
6.38% | | | 06/01/19 | 3 | | | 5,000 | | | | 5,107 | |
| Ingersoll-Rand Luxembourg Finance SA (Luxembourg) | | | | | |
3.55% | | | 11/01/24 | 2 | | | 5,000 | | | | 4,891 | |
L3 Technologies, Inc. | | | | | |
3.85% | | | 06/15/23 | | | | 10,000 | | | | 10,031 | |
United Technologies Corp. | | | | | |
4.13% | | | 11/16/28 | | | | 12,000 | | | | 11,942 | |
| | | | | | | | | | | | |
| |
| | | | 41,414 | |
| | | | | | | | | | | | |
Information Technology — 0.49% | | | | | |
Dell International LLC/EMC Corp. | | | | | |
3.48% | | | 06/01/19 | 3 | | | 10,000 | | | | 10,027 | |
| | | | | | | | | | | | |
Insurance — 4.77% | | | | | |
Berkshire Hathaway Finance Corp. | | | | | |
4.20% | | | 08/15/48 | | | | 30,000 | | | | 29,869 | |
Farmers Insurance Exchange | | | | | |
4.75% | | | 11/01/57 | 1,3 | | | 20,000 | | | | 18,098 | |
Nationwide Mutual Insurance Co. | | | | | |
4.62% | | | 12/15/24 | 1,3 | | | 10,000 | | | | 10,038 | |
New York Life Global Funding | | | | | |
3.00% | | | 01/10/28 | 3 | | | 10,000 | | | | 9,410 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Insurance (continued) | | | | | |
Teachers Insurance & Annuity Association of America | | | | | |
4.38% | | | 09/15/54 | 1,3 | | $ | 20,000 | | | $ | 20,135 | |
Travelers Cos., Inc. (The) | | | | | |
4.05% | | | 03/07/48 | | | | 10,000 | | | | 9,613 | |
| | | | | | | | | | | | |
| |
| | | | 97,163 | |
| | | | | | | | | | | | |
Materials — 0.25% | | | | | |
International Flavors & Fragrances, Inc. | | | | | |
4.45% | | | 09/26/28 | | | | 5,000 | | | | 5,054 | |
| | | | | | | | | | | | |
Real Estate Investment Trust (REIT) — 10.07% | | | | | |
Alexandria Real Estate Equities, Inc. | | | | | |
4.50% | | | 07/30/29 | | | | 6,000 | | | | 5,989 | |
| American Campus Communities Operating Partnership LP | | | | | |
3.35% | | | 10/01/20 | | | | 5,000 | | | | 4,976 | |
3.63% | | | 11/15/27 | | | | 5,000 | | | | 4,723 | |
AvalonBay Communities, Inc. (GMTN) | | | | | |
3.95% | | | 01/15/21 | | | | 10,000 | | | | 10,078 | |
Boston Properties LP | | | | | |
5.63% | | | 11/15/20 | | | | 10,000 | | | | 10,403 | |
| CC Holdings GS V LLC/Crown Castle GS III Corp. | | | | | |
3.85% | | | 04/15/23 | | | | 10,000 | | | | 9,944 | |
Greystar Student Housing Growth & Income OP LP | | | | | |
4.60% | | | 12/01/24 | | | | 40,000 | | | | 41,210 | |
HCP, Inc. | | | | | |
3.88% | | | 08/15/24 | | | | 10,000 | | | | 9,784 | |
Healthcare Realty Trust, Inc. | | | | | |
3.75% | | | 04/15/23 | | | | 5,000 | | | | 4,896 | |
Healthcare Trust of America Holdings LP | | | | | |
3.70% | | | 04/15/23 | | | | 5,000 | | | | 4,907 | |
Highwoods Realty LP | | | | | |
3.20% | | | 06/15/21 | | | | 5,000 | | | | 4,916 | |
Host Hotels & Resorts LP | | | | | |
5.25% | | | 03/15/22 | | | | 5,000 | | | | 5,171 | |
6.00% | | | 10/01/21 | | | | 5,000 | | | | 5,271 | |
Kilroy Realty LP | | | | | |
3.45% | | | 12/15/24 | | | | 10,000 | | | | 9,565 | |
Liberty Property LP | | | | | |
3.38% | | | 06/15/23 | | | | 10,000 | | | | 9,773 | |
National Retail Properties, Inc. | | | | | |
3.80% | | | 10/15/22 | | | | 5,000 | | | | 4,997 | |
Realty Income Corp. | | | | | |
3.25% | | | 10/15/22 | | | | 10,000 | | | | 9,881 | |
SL Green Realty Corp. | | | | | |
4.50% | | | 12/01/22 | | | | 8,000 | | | | 8,096 | |
UDR, Inc. | | | | | |
4.63% | | | 01/10/22 | | | | 5,000 | | | | 5,114 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| 29 / Semi-Annual Report September 2018 |
Corporate Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Real Estate Investment Trust (REIT) (continued) | | | | | |
Ventas Realty LP | | | | | |
4.13% | | | 01/15/26 | | | $ | 10,000 | | | $ | 9,859 | |
VEREIT Operating Partnership LP | | | | | |
4.13% | | | 06/01/21 | | | | 5,000 | | | | 5,049 | |
| WEA Finance LLC/Westfield UK & Europe Finance PLC | | | | | |
3.25% | | | 10/05/20 | 3 | | | 10,000 | | | | 9,941 | |
Welltower, Inc. | | | | | |
5.25% | | | 01/15/22 | | | | 10,000 | | | | 10,435 | |
| | | | | |
| |
| | | | 204,978 | |
| | | | | |
Retail — 0.97% | | | | | |
Family Dollar Stores, Inc. | | | | | |
5.00% | | | 02/01/21 | | | | 5,000 | | | | 5,147 | |
Starbucks Corp. | | | | | |
3.80% | | | 08/15/25 | | | | 5,000 | | | | 4,974 | |
Walgreens Boots Alliance, Inc. | | | | | |
4.80% | | | 11/18/44 | | | | 10,000 | | | | 9,705 | |
| | | | | |
| |
| | | | 19,826 | |
| | | | | |
Services — 0.50% | | | | | |
IHS Markit Ltd. (Bermuda) | | | | | |
4.75% | | | 08/01/28 | 2 | | | 5,000 | | | | 5,023 | |
5.00% | | | 11/01/22 | 2,3 | | | 5,000 | | | | 5,173 | |
| | | | | |
| |
| | | | 10,196 | |
| | | | | |
Transportation — 2.60% | | | | | |
Burlington Northern Santa Fe LLC | | | | | |
4.40% | | | 03/15/42 | | | | 8,000 | | | | 8,190 | |
| U.S. Airways Pass-Through Trust, Series 2011-1, Class A | | | | | |
7.13% | | | 10/22/23 | | | | 32,472 | | | | 35,575 | |
| United Airlines Pass-Through Trust, Series 2016-2, Class AA | | | | | |
2.88% | | | 10/07/28 | | | | 9,736 | | | | 9,053 | |
| | | | | |
| |
| | | | 52,818 | |
| | | | | |
Total Corporates | | | | | |
(Cost $1,592,967) | | | | 1,594,022 | |
| | | | | |
MORTGAGE-BACKED — 12.99%** | | | | | |
Non-Agency Commercial | | | | | |
Mortgage-Backed — 9.56% | | | | | |
| Commercial Mortgage Pass-Through Certificates, Series 2014-CR14, Class XA (IO) | | | | | |
0.87% | | | 02/10/47 | 1 | | | 1,913,520 | | | | 43,979 | |
| Commercial Mortgage Trust, Series 2012-CR5, Class XA (IO) | | | | | |
1.69% | | | 12/10/45 | 1 | | | 431,935 | | | | 22,931 | |
| Commercial Mortgage Trust, Series 2013-CR9, Class XA (IO) | | | | | |
0.17% | | | 07/10/45 | 1,4,5 | | | 3,924,404 | | | | 17,705 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Commercial
Mortgage-Backed (continued) | | | | | |
| Commercial Mortgage Trust, Series 2014-UBS5, Class XA (IO) | | | | | |
1.17% | | | 09/10/47 | 1,4,5 | | $ | 808,502 | | | $ | 28,309 | |
| Commercial Mortgage Trust, Series 2014-UBS6, Class XA (IO) | | | | | |
1.11% | | | 12/10/47 | 1 | | | 538,237 | | | | 22,521 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2011-C3, Class XA (IO) | | | | | |
1.15% | | | 02/15/46 | 1,3 | | | 254,878 | | | | 4,826 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C13, Class XA (IO) | | | | | |
0.31% | | | 01/15/46 | 1 | | | 2,421,464 | | | | 12,975 | |
| Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C5, Class XA (IO) | | | | | |
1.63% | | | 08/15/45 | 1,3 | | | 263,804 | | | | 11,455 | |
| Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C6, Class XA (IO) | | | | | |
1.78% | | | 11/15/45 | 1,3,4,5 | | | 193,178 | | | | 10,084 | |
| UBS-Barclays Commercial Mortgage Trust, Series 2012-C3, Class XB (IO) | | | | | |
0.32% | | | 08/10/49 | 1,3,4,5 | | | 2,200,000 | | | | 19,789 | |
| | | | | | | | | | | | |
| |
| | | | 194,574 | |
| | | | | | | | | | | | |
U.S. Agency Mortgage-Backed — 3.43% | | | | | |
| Freddie Mac REMICS, Series 4638, Class UF | | | | | |
(LIBOR USD 1-Month plus 1.00%) | | | | | |
3.26% | | | 09/15/44 | 6 | | | 69,287 | | | | 69,742 | |
| | | | | | | | | | | | |
Total Mortgage-Backed | | | | | |
| (Cost $259,423) | | | | 264,316 | |
| | | | | | | | | | | | |
MUNICIPAL BONDS — 0.80%* | | | | | |
California — 0.56% | | | | | |
| Los Angeles Department of Water & Power, Build America Bonds, Series SY | | | | | |
6.01% | | | 07/01/39 | | | | 5,000 | | | | 6,049 | |
| University of California, Taxable Revenue Bonds, Series AJ | | | | | |
4.60% | | | 05/15/31 | | | | 5,000 | | | | 5,310 | |
| | | | | | | | | | | | |
| |
| | | | 11,359 | |
| | | | | | | | | | | | |
New York — 0.24% | | | | | |
| New York City Transitional Finance Authority Future Tax Secured Revenue | | | | | |
3.73% | | | 08/01/29 | | | | 5,000 | | | | 4,943 | |
| | | | | | | | | | | | |
| |
Total Municipal Bonds | | | | | |
(Cost $16,402) | | | | 16,302 | |
| | | | | | | | | | | | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| Semi-Annual Report September 2018 / 30 |
Corporate Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
U.S. TREASURY SECURITIES — 0.73% | | | | | |
U.S. Treasury Notes — 0.73% | | | | | |
U.S. Treasury Notes | | | | | |
2.88% | | | 09/30/23 | | | $ | 15,000 | | | $ | 14,950 | |
| | | | | |
| |
Total U.S. Treasury Securities | | | | | |
| (Cost $14,952) | | | | 14,950 | |
| | | | | |
| |
Total Bonds – 92.84% | | | | | |
| (Cost $1,883,744) | | | | 1,889,590 | |
| | | | | |
| | | | | |
| Issues | | Maturity Date | | | Principal Amount/ Shares | | | Value | |
SHORT-TERM INVESTMENTS — 7.07% | | | | | |
| |
Money Market Funds — 0.69% | | | | | |
Morgan Stanley Institutional Liquidity | | | | | |
Funds-Government Portfolio | | | | | |
2.04%7 | | | | 14,000 | | | | 14,000 | |
| | | | | |
| |
U.S. Treasury Bills — 6.38% | | | | | |
U.S. Treasury Bills | | | | | |
1.77%8 | | | 10/25/18 | | | $ | 120,000 | | | | 119,834 | |
2.05%8 | | | 12/13/18 | 9 | | | 10,000 | | | | 9,957 | |
| | | | | |
| |
| | | | 129,791 | |
| | | | | |
| |
Total Short-Term Investments | | | | | |
(Cost $143,800) | | | | 143,791 | |
| | | | | |
| |
Total Investments – 99.91% | | | | | |
(Cost $2,027,544) | | | | 2,033,381 | |
| | | | | |
| |
Cash and Other Assets, Less | | | | | |
Liabilities – 0.09% | | | | 1,923 | |
| | | | | |
| |
Net Assets – 100.00% | | | $ | 2,035,304 | |
| | | | | | | | | | | | |
| 1 | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. |
| 2 | U.S. dollar-denominated security issued by foreign-domiciled entity. |
| 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 | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
| 5 | Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $75,887, which is 3.72% of total net assets. |
| 6 | Floating rate security. The rate disclosed was in effect at September 30, 2018. |
| 7 | Represents the current yield as of September 30, 2018. |
| 8 | Represents annualized yield at date of purchase. |
| 9 | Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $9,957. |
| * | 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
(LIBOR): London InterBank Offer Rate
(MTN): Medium-term Note
(USD): U.S. dollar
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| 31 / Semi-Annual Report September 2018 |
Corporate Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Number
of Contracts | | Expiration Date | | Notional Amount | | Value | | Unrealized
(Depreciation) |
FUTURES CONTRACTS: LONG POSITIONS | | | | | | | | | | | | | | | | | | | | | |
U.S. Treasury Five Year Note | | | | 2 | | | | | 12/31/18 | | | | $ | 224,953 | | | | $ | (1,801 | ) | | | $ | (1,801 | ) |
U.S. Treasury Two Year Note | | | | 1 | | | | | 12/31/18 | | | | | 210,734 | | | | | (637 | ) | | | | (637 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | 435,687 | | | | | (2,438 | ) | | | | (2,438 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
TOTAL FUTURES CONTRACTS | | | | | | | | | | | | | $ | 435,687 | | | | $ | (2,438 | ) | | | $ | (2,438 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2018 / 32 |
Floating Rate Income Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BONDS – 92.81% | | | | | |
BANK LOANS — 87.93%* | | | | | |
Automotive — 0.13% | | | | | |
Tenneco, Inc., Term Loan B, 1st Lien | | | | | |
(LIBOR plus 2.75%) | | | | | |
5.01% | | | 06/18/25 | 1 | | $ | 350,000 | | | $ | 350,877 | |
| | | | | | | | | | | | |
| |
Communications — 13.38% | | | | | |
Altice Financing SA, Term Loan B, 1st Lien | | | | | |
(LIBOR plus 2.75%) | | | | | |
4.91% | | | 01/31/26 | 1 | | | 992,500 | | | | 972,154 | |
Altice France SA, Term Loan B13, 1st Lien | | | | | |
(France) | | | | | |
(LIBOR plus 4.00%) | | | | | |
6.16% | | | 08/14/26 | 1,2 | | | 250,000 | | | | 248,571 | |
Beasley Mezzanine Holdings LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 4.00%) | | | | | |
6.17% | | | 11/01/23 | 1 | | | 484,444 | | | | 489,139 | |
CenturyLink, Inc., Term Loan B, 1st Lien | | | | | |
(LIBOR plus 2.75%) | | | | | |
4.99% | | | 01/31/25 | 1 | | | 992,500 | | | | 986,793 | |
Charter Communications Operating LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 2.00%) | | | | | |
4.25% | | | 04/30/25 | 1 | | | 1,985,000 | | | | 1,990,191 | |
CSC Holdings LLC, Term Loan B, 1st Lien | | | | | |
(LIBOR plus 2.25%) | | | | | |
4.41% | | | 07/17/25 | 1 | | | 618,706 | | | | 619,736 | |
Entercom/CBS Radio, Inc., Term Loan B1, | | | | | |
1st Lien | | | | | |
(LIBOR plus 2.75%) | | | | | |
4.96% | | | 11/18/24 | 1 | | | 744,375 | | | | 739,522 | |
GoWireless, Inc., Term Loan B, 1st Lien | | | | | |
(LIBOR plus 6.50%) | | | | | |
8.74% | | | 12/22/24 | 1 | | | 721,875 | | | | 707,437 | |
GTT Communications, Inc., Term Loan B, 1st Lien | | | | | |
(LIBOR plus 2.75%) | | | | | |
4.99% | | | 05/31/25 | 1 | | | 997,500 | | | | 990,782 | |
Intelsat Jackson Holdings SA, Term Loan B4, 1st Lien (Luxembourg) | | | | | |
(LIBOR plus 4.50%) | | | | | |
6.73% | | | 01/02/24 | 1,2 | | | 500,000 | | | | 526,877 | |
Intelsat Jackson Holdings SA, Term Loan B5, 1st Lien (Luxembourg) | | | | | |
6.63% | | | 01/02/24 | 2 | | | 500,000 | | | | 522,375 | |
Lamar Media Corp., Term Loan B, 1st Lien | | | | | |
(LIBOR plus 1.75%) | | | | | |
3.94% | | | 03/14/25 | 1 | | | 1,442,750 | | | | 1,451,168 | |
LSF9 Atlantis Holdings LLC, Term Loan B, 1st Lien | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity Date | | | Principal Amount | | | Value | |
BANK LOANS (continued) | | | | | |
Communications (continued) | | | | | |
(LIBOR plus 6.00%) | | | | | |
8.12% | | | 05/01/23 | 1 | | $ | 726,563 | | | $ | 703,857 | |
MacDonald Dettwiler & Associates Ltd., | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 2.75%) | | | | | |
5.15% | | | 10/04/24 | 1 | | | 987,513 | | | | 973,520 | |
Mediarena Acquisition BV, Term Loan, | | | | | |
1st Lien | | | | | |
(LIBOR plus 5.75%) | | | | | |
8.09% | | | 08/13/21 | 1 | | | 313,374 | | | | 314,353 | |
Merrill Communications LLC, Term Loan, | | | | | |
1st Lien | | | | | |
(LIBOR plus 5.25%) | | | | | |
7.59% | | | 06/01/22 | 1 | | | 219,469 | | | | 221,801 | |
Mission Broadcasting, Inc., Term Loan, 1st Lien | | | | | |
(LIBOR plus 2.50%) | | | | | |
4.60% | | | 01/17/24 | 1 | | | 41,635 | | | | 41,869 | |
NEP Broadcasting LLC, Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.25%) | | | | | |
5.49% | | | 07/21/22 | 1 | | | 1,496,212 | | | | 1,499,638 | |
New Insight Holdings, Inc., Term Loan, 1st Lien | | | | | |
(LIBOR plus 5.50%) | | | | | |
7.74% | | | 12/20/24 | 1 | | | 496,250 | | | | 499,352 | |
Nexstar Broadcasting Group, Inc., Term Loan B, 1st Lien | | | | | |
(LIBOR plus 2.50%) | | | | | |
4.60% | | | 01/17/24 | 1 | | | 296,865 | | | | 298,535 | |
Radiate Holdco LLC, Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.00%) | | | | | |
5.24% | | | 02/01/24 | 1 | | | 992,443 | | | | 992,185 | |
Sable International Finance Ltd., Term Loan B4, 1st Lien | | | | | |
(LIBOR plus 3.25%) | | | | | |
5.49% | | | 02/02/26 | 1 | | | 500,000 | | | | 502,707 | |
SBA Communications, Term Loan B, 1st Lien | | | | | |
(LIBOR plus 2.00%) | | | | | |
4.25% | | | 04/04/25 | 1 | | | 2,019,938 | | | | 2,024,422 | |
Sinclair Broadcast Group, Inc., Term Loan B2, 1st Lien | | | | | |
(LIBOR plus 2.25%) | | | | | |
4.50% | | | 01/03/24 | 1 | | | 1,955,206 | | | | 1,964,170 | |
Springer Science & Business Media GMBH, | | | | | |
Term Loan B13, 1st Lien | | | | | |
(LIBOR plus 3.50%) | | | | | |
5.89% | | | 08/15/22 | 1 | | | 932,062 | | | | 937,221 | |
Sprint Communications, Inc., Term Loan B, | | | | | |
1st Lien | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 33 / Semi-Annual Report September 2018 |
Floating Rate Income Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BANK LOANS (continued) | | | | | |
Communications (continued) | | | | | |
(LIBOR plus 2.50%) | | | | | |
4.75% | | | 02/02/24 | 1 | | $ | 1,989,899 | | | $ | 1,997,361 | |
TDC A/S, Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.50%) | | | | | |
5.84% | | | 06/11/25 | 1 | | | 1,496,250 | | | | 1,513,457 | |
Tribune Media Co., Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.00%) | | | | | |
5.24% | | | 12/27/20 | 1 | | | 41,215 | | | | 41,434 | |
Tribune Media Co., Term Loan C, 1st Lien | | | | | |
(LIBOR plus 3.00%) | | | | | |
5.24% | | | 01/27/24 | 1 | | | 513,695 | | | | 515,943 | |
Unitymedia Finance LLC, Term Loan D, 1st Lien | | | | | |
(LIBOR plus 2.25%) | | | | | |
4.41% | | | 01/15/26 | 1 | | | 2,500,000 | | | | 2,504,850 | |
Univision Communications, Inc., Term Loan C5, 1st Lien | | | | | |
(LIBOR plus 2.75%) | | | | | |
4.99% | | | 03/15/24 | 1 | | | 2,562,208 | | | | 2,496,552 | |
UPC Financing Partnership, Term Loan AR, 1st Lien | | | | | |
(LIBOR plus 2.50%) | | | | | |
4.66% | | | 01/15/26 | 1 | | | 1,249,367 | | | | 1,249,917 | |
Virgin Media Bristol LLC, Term Loan K, 1st Lien | | | | | |
(LIBOR plus 2.50%) | | | | | |
4.66% | | | 01/15/26 | 1 | | | 1,000,000 | | | | 1,002,785 | |
WideOpenWest Finance LLC, Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.25%) | | | | | |
5.41% | | | 08/18/23 | 1 | | | 1,936,283 | | | | 1,903,608 | |
Windstream Services LLC, Term Loan B6, 1st Lien | | | | | |
(LIBOR plus 4.00%) | | | | | |
6.16% | | | 03/29/21 | 1 | | | 1,316,358 | | | | 1,262,059 | |
Windstream Services LLC, Term Loan, 1st Lien | | | | | |
(LIBOR plus 3.25%) | | | | | |
5.41% | | | 02/17/24 | 1 | | | 589,474 | | | | 526,843 | |
Ziggo Secured Finance, Term Loan E, 1st Lien | | | | | |
(LIBOR plus 2.50%) | | | | | |
4.66% | | | 04/15/25 | 1 | | | 945,114 | | | | 929,165 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 37,162,349 | |
| | | | | | | | | | | | |
Consumer Discretionary — 8.21% | | | | | |
AI Aqua Merger Sub, Inc., Term Loan B1, 1st Lien | |
(LIBOR plus 3.25%) | | | | | |
5.49% | | | 12/13/23 | 1 | | | 500,000 | | | | 501,250 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BANK LOANS (continued) | | | | | |
Consumer Discretionary (continued) | | | | | |
AI Aqua Zip Bidco Pty Ltd., Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.25%) | | | | | |
5.49% | | | 12/13/23 | 1 | | $ | 1,488,750 | | | $ | 1,492,472 | |
Alphabet Holding Co., Inc., Term Loan, 1st Lien | | | | | |
(LIBOR plus 3.50%) | | | | | |
5.74% | | | 09/26/24 | 1 | | | 495,000 | | | | 478,541 | |
Arterra Wines Canada, Inc., Term Loan B1, | | | | | |
1st Lien (Canada) | | | | | |
(LIBOR plus 2.75%) | | | | | |
5.09% | | | 12/15/23 | 1,2 | | | 1,965,000 | | | | 1,974,825 | |
Boing US Holdco, Inc., Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.25%) | | | | | |
5.59% | | | 10/03/24 | 1 | | | 992,513 | | | | 998,716 | |
Burlington Coat Factory Warehouse Corp., | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 2.50%) | | | | | |
4.72% | | | 11/17/24 | 1 | | | 645,534 | | | | 650,982 | |
Cineworld Finance U.S., Inc., Term Loan B, 1st Lien | | | | | |
(LIBOR plus 2.50%) | | | | | |
4.74% | | | 02/28/25 | 1 | | | 995,000 | | | | 995,000 | |
Citycenter Holdings LLC, Term Loan B, 1st Lien | |
(LIBOR plus 2.25%) | | | | | |
4.49% | | | 04/18/24 | 1 | | | 1,728,125 | | | | 1,732,307 | |
Four Seasons Hotels, Ltd., Term Loan B | | | | | |
(LIBOR plus 2.00%) | | | | | |
4.24% | | | 11/30/23 | 1 | | | 982,500 | | | | 984,499 | |
Hilton Worldwide Finance LLC, Term Loan B, 1st Lien | |
(LIBOR plus 1.75%) | | | | | |
3.97% | | | 10/25/23 | 1 | | | 591,902 | | | | 595,231 | |
KUEHG Corp., Term Loan, 1st Lien | | | | | |
(LIBOR plus 3.75%) | | | | | |
6.14% | | | 02/21/25 | 1 | | | 748,125 | | | | 753,268 | |
National Cinemedia LLC, Term Loan B, 1st Lien | |
(LIBOR plus 3.00%) | | | | | |
5.19% | | | 06/20/25 | 1 | | | 497,581 | | | | 500,152 | |
Nielsen Finance LLC, Term Loan, B4, 1st Lien | |
(LIBOR plus 2.00%) | | | | | |
4.13% | | | 10/04/23 | 1 | | | 1,228,203 | | | | 1,228,492 | |
PlayCore, Inc., Term Loan, 1st Lien | | | | | |
(LIBOR plus 3.75%) | | | | | |
6.14% | | | 09/30/24 | 1 | | | 494,702 | | | | 499,496 | |
Prometric Holdings, Inc., Term Loan B, 1st Lien | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2018 / 34 |
Floating Rate Income Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BANK LOANS (continued) | | | | | |
Consumer Discretionary (continued) | | | | | |
(LIBOR plus 3.00%) | | | | | |
5.25% | | | 01/29/25 | 1 | | $ | 997,494 | | | $ | 999,783 | |
Refresco, Term Loan B3, 1st Lien | | | | | |
(LIBOR plus 3.25%) | | | | | |
5.56% | | | 03/28/25 | 1 | | | 2,000,000 | | | | 2,000,000 | |
Restaurant Technologies, Inc., Term Loan | | | | | |
(LIBOR plus 3.25%) | | | | | |
5.65% | | | 09/24/25 | 1 | | | 500,000 | | | | 504,375 | |
Reynolds Group Holdings, Inc., Term Loan B, 1st Lien | |
(LIBOR plus 2.75%) | | | | | |
4.99% | | | 02/05/23 | 1 | | | 941,876 | | | | 947,174 | |
SMG U.S. Midco 2, Inc., Term Loan, 1st Lien | | | | | |
(LIBOR plus 3.00%) | | | | | |
5.24% | | | 01/23/25 | 1 | | | 497,500 | | | | 500,766 | |
Spin Holdco, Inc., Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.25%) | | | | | |
5.59% | | | 11/14/22 | 1 | | | 1,481,250 | | | | 1,487,316 | |
Stars Group Holdings BV, Term Loan B, 1st Lien | |
(LIBOR plus 3.50%) | | | | | |
5.89% | | | 07/10/25 | 1 | | | 997,500 | | | | 1,008,039 | |
Wyndham Hotels & Resorts, Inc. Term Loan B, 1st Lien | | | | | |
(LIBOR plus 1.75%) | | | | | |
3.99% | | | 05/30/25 | 1 | | | 500,000 | | | | 501,980 | |
Yum! Brands, Term Loan B, 1st Lien | | | | | |
(LIBOR plus 1.75%) | | | | | |
3.92% | | | 04/03/25 | 1 | | | 1,470,187 | | | | 1,473,870 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 22,808,534 | |
| | | | | | | | | | | | |
Consumer Products — 1.22% | | | | | |
BJ's Wholesale Club, Inc., Term Loan B, 1st Lien | |
(LIBOR plus 3.00%) | | | | | |
5.15% | | | 02/05/24 | 1 | | | 1,404,828 | | | | 1,415,266 | |
Hoffmaster Group, Inc., Term Loan, 1st Lien (LIBOR plus 4.00%) | |
6.24% | | | 11/21/23 | 1 | | | 982,500 | | | | 991,711 | |
Shearer's Foods LLC, Term Loan, 1st Lien | | | | | |
(LIBOR plus 4.25%) | | | | | |
6.49% | | | 06/30/21 | 1 | | | 994,819 | | | | 989,845 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 3,396,822 | |
| | | | | | | | | | | | |
Electric — 0.77% | | | | | | | | | | | | |
Calpine Construction Finance Co. LP, | | | | | |
Term Loan, 1st Lien | | | | | |
(LIBOR plus 2.50%) | |
4.74% | | | 01/15/25 | 1 | | | 521,352 | | | | 522,236 | |
Calpine Corp., Term Loan B8, 1st Lien | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BANK LOANS (continued) | |
Electric (continued) | |
(LIBOR plus 1.75%) | |
4.00% | | | 12/31/19 | 1 | | $ | 246,250 | | | $ | 246,635 | |
Chief Power Finance LLC, Term Loan B, 1st Lien | |
(LIBOR plus 4.75%) | |
7.00% | | | 12/31/20 | 1,3,4 | | | 934,010 | | | | 890,112 | |
EIF Channelview Cogeneration LLC, Term Loan B, 1st Lien | |
(LIBOR plus 4.25%) | |
6.50% | | | 05/03/25 | 1 | | | 471,574 | | | | 476,481 | |
| | | | | | | | | | | | |
| |
| | | | 2,135,464 | |
| | | | | | | | | | | | |
Energy — 2.98% | |
Centurion Pipeline Co. LLC, Term Loan B | |
(LIBOR plus 3.25%) | |
5.64% | | | 09/26/25 | 1 | | | 1,000,000 | | | | 1,007,500 | |
Contura Energy, Inc., Term Loan, 1st Lien | |
(LIBOR plus 5.00%) | |
7.30% | | | 03/18/24 | 1 | | | 475,846 | | | | 477,036 | |
EG Group LLC, Term Loan B, 1st Lien | |
(LIBOR plus 4.00%) | |
6.39% | | | 02/07/25 | 1 | | | 1,243,750 | | | | 1,247,836 | |
EMG Utica LLC, Term Loan B, 1st Lien | |
(LIBOR plus 3.75%) | |
6.25% | | | 03/27/20 | 1,3,4 | | | 560,486 | | | | 564,222 | |
Energizer Holdings, Inc., Term Loan B, 1st Lien | |
(LIBOR plus 2.25%) | |
2.25% | | | 06/20/25 | 1 | | | 1,000,000 | | | | 1,005,630 | |
Glass Mountain Pipeline Holdings LLC, | |
Term Loan B, 1st Lien | |
(LIBOR plus 4.50%) | |
6.72% | | | 12/23/24 | 1 | | | 497,500 | | | | 500,455 | |
HFOTCO LLC, Term Loan B, 1st Lien | |
(LIBOR plus 2.75%) | |
5.00% | | | 06/26/25 | 1 | | | 748,125 | | | | 750,930 | |
Seadrill Operating LP, Term Loan B, 1st Lien | |
(United Kingdom) | |
(LIBOR plus 6.00%) | |
8.39% | | | 02/21/21 | 1,2 | | | 497,402 | | | | 473,029 | |
Traverse Midstream Partners LLC, Term Loan B, 1st Lien | | | | | |
(LIBOR plus 4.00%) | |
6.60% | | | 09/27/24 | 1 | | | 1,000,000 | | | | 1,008,855 | |
Vistra Operations Co., LLC, Term Loan B3, 1st Lien | |
(LIBOR plus 2.00%) | |
4.16% | | | 12/31/25 | 1 | | | 914,634 | | | | 916,752 | |
4.24% | | | 12/31/25 | 1 | | | 332,241 | | | | 333,010 | |
| | | | | | | | | | | | |
| |
| | | | 8,285,255 | |
| | | | | | | | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 35 / Semi-Annual Report September 2018 |
Floating Rate Income Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BANK LOANS (continued) | | | | | |
Finance — 7.64% | | | | | |
Angus Chemical, Inc., Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.25%) | | | | | |
5.49% | | | 02/02/22 | 1 | | $ | 403,127 | | | $ | 404,261 | |
Aspen Dental, Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.25%) | | | | | |
5.49% | | | 04/30/25 | 1 | | | 997,500 | | | | 1,003,734 | |
Auris Luxembourg III SARL, Term Loan B, | | | | | |
1st Lien (Luxembourg) | | | | | |
(LIBOR plus 3.00%) | | | | | |
5.39% | | | 01/17/22 | 1,2 | | | 1,437,781 | | | | 1,452,159 | |
(LIBOR plus 3.75%) | | | | | |
3.75% | | | 07/24/25 | 1,2 | | | 1,250,000 | | | | 1,267,194 | |
Avolon TLB Borrower 1 LLC, Term Loan B3, | | | | | |
1st Lien | | | | | |
(LIBOR plus 2.00%) | | | | | |
4.17% | | | 01/15/25 | 1 | | | 1,496,250 | | | | 1,502,654 | |
Canyon Valor Cos., Inc., Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.25%) | | | | | |
5.64% | | | 06/16/23 | 1 | | | 565,015 | | | | 568,746 | |
CBAC Borrower LLC, Term Loan B, 1st Lien | | | | | |
(LIBOR plus 4.00%) | | | | | |
6.24% | | | 07/07/24 | 1 | | | 1,287,000 | | | | 1,294,400 | |
Clarivate Analytics, Term Loan, 1st Lien | | | | | |
(LIBOR plus 3.25%) | | | | | |
5.49% | | | 10/03/23 | 1,3,4 | | | 1,460,954 | | | | 1,464,000 | |
Cushman & Wakefield PLC, Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.25%) | | | | | |
5.49% | | | 08/21/25 | 1 | | | 650,000 | | | | 653,656 | |
Deerfield Holdings Corp., Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.25%) | | | | | |
5.49% | | | 02/13/25 | 1 | | | 746,250 | | | | 747,716 | |
Delos Finance SARL, Term Loan B, 1st Lien | | | | | |
(LIBOR plus 1.75%) | | | | | |
4.14% | | | 10/06/23 | 1 | | | 2,500,000 | | | | 2,512,500 | |
First Eagle Holdings, Inc., Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.00%) | | | | | |
5.39% | | | 12/01/22 | 1 | | | 1,735,055 | | | | 1,749,430 | |
Helix Gen Funding LLC, Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.75%) | | | | | |
5.99% | | | 06/03/24 | 1 | | | 528,060 | | | | 497,174 | |
Midas Intermediate Holdco II LLC, Term Loan B, 1st Lien | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BANK LOANS (continued) | | | | | |
Finance (continued) | | | | | |
(LIBOR plus 2.75%) | | | | | |
5.14% | | | 08/18/21 | 1 | | $ | 715,085 | | | $ | 685,141 | |
RPI Finance Trust, Term Loan B6, 1st Lien | | | | | |
(LIBOR plus 2.00%) | | | | | |
4.39% | | | 03/27/23 | 1 | | | 991,703 | | | | 996,399 | |
Telenet Financing USD LLC, Term Loan AN, | | | | | |
1st Lien | | | | | |
(LIBOR plus 2.25%) | | | | | |
4.41% | | | 08/15/26 | 1 | | | 1,500,000 | | | | 1,495,665 | |
Trident LS Merger Sub Corp., Term Loan, 1st Lien | | | | | |
(LIBOR plus 3.25%) | | | | | |
5.49% | | | 05/01/25 | 1 | | | 463,750 | | | | 467,084 | |
UFC Holdings LLC, Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.25%) | | | | | |
5.50% | | | 08/18/23 | 1 | | | 1,473,750 | | | | 1,484,228 | |
WP Deluxe Merger Sub, Inc., Term Loan, 1st Lien | | | | | |
(LIBOR plus 3.25%) | | | | | |
5.64% | | | 07/19/24 | 1 | | | 992,500 | | | | 982,163 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 21,228,304 | |
| | | | | | | | | | | | |
Food — 2.69% | | | | | |
8th Avenue Food & Provisions, Term Loan | | | | | |
(LIBOR plus 3.75%) | | | | | |
6.01% | | | 10/01/25 | 1 | | | 250,000 | | | | 252,579 | |
American Seafoods Group LLC, Term Loan B, 1st Lien | | | | | |
(LIBOR plus 2.75%) | | | | | |
5.00% | | | 08/21/23 | 1 | | | 1,300,938 | | | | 1,296,605 | |
Chobani LLC, Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.50%) | | | | | |
5.74% | | | 10/10/23 | 1 | | | 982,541 | | | | 962,276 | |
Del Monte Foods, Inc., Term Loan, 1st Lien | | | | | |
(PRIME plus 2.25%) | | | | | |
7.50% | | | 02/18/21 | 1 | | | 1,250 | | | | 1,155 | |
(LIBOR plus 3.25%) | | | | | |
5.56% | | | 02/18/21 | 1 | | | 476,250 | | | | 440,086 | |
Hearthside Group Holdings LLC, Term Loan, | | | | | |
1st Lien | | | | | |
(LIBOR plus 3.00%) | | | | | |
5.24% | | | 05/23/25 | 1 | | | 997,500 | | | | 995,540 | |
Hostess Brands LLC, Term Loan, 1st Lien | | | | | |
(LIBOR plus 2.25%) | | | | | |
4.49% | | | 08/03/22 | 1 | | | 977,668 | | | | 979,653 | |
Houston Foods, Inc., Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.75%) | | | | | |
5.99% | | | 07/20/25 | 1 | | | 1,296,750 | | | | 1,300,802 | |
Utz Quality Foods LLC, Term Loan, 1st Lien | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2018 / 36 |
Floating Rate Income Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BANK LOANS (continued) | | | | | |
Food (continued) | | | | | |
(LIBOR plus 3.50%) | | | | | |
5.74% | | | 11/13/24 | 1 | | $ | 1,240,625 | | | $ | 1,246,053 | |
| | | | | |
| |
| | | | 7,474,749 | |
| | | | | |
Gaming — 7.60% | | | | | |
Affinity Gaming, Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.25%) | | | | | |
5.49% | | | 07/03/23 | 1 | | | 470,137 | | | | 469,197 | |
Caesars Entertainment LLC, Term Loan B, | | | | | |
1st Lien | | | | | |
(LIBOR plus 2.00%) | | | | | |
4.24% | | | 10/06/24 | 1 | | | 993,744 | | | | 994,524 | |
Caesars Resort Collection LLC, Term Loan, | | | | | |
1st Lien | | | | | |
(LIBOR plus 2.75%) | | | | | |
4.99% | | | 12/23/24 | 1 | | | 1,488,750 | | | | 1,498,576 | |
Churchill Downs, Inc., Term Loan B, 1st Lien | | | | | |
(LIBOR plus 2.00%) | | | | | |
4.25% | | | 12/27/24 | 1 | | | 1,553,263 | | | | 1,558,606 | |
Gateway Casinos & Entertainment Ltd., | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.00%) | | | | | |
5.39% | | | 12/01/23 | 1 | | | 997,500 | | | | 1,004,203 | |
Golden Entertainment, Inc., Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.00%) | | | | | |
5.25% | | | 10/21/24 | 1 | | | 1,488,750 | | | | 1,496,194 | |
Golden Entertainment, Inc., Term Loan, 2nd Lien | | | | | |
(LIBOR plus 7.00%) | | | | | |
9.25% | | | 10/20/25 | 1 | | | 500,000 | | | | 507,813 | |
Golden Nugget, Inc., Term Loan B, 1st Lien | | | | | |
(LIBOR plus 2.75%) | | | | | |
4.90% | | | 10/04/23 | 1 | | | 626,895 | | | | 630,029 | |
4.99% | | | 10/04/23 | 1 | | | 836,142 | | | | 840,322 | |
Greektown Holdings LLC, Term Loan B, 1st Lien | | | | | |
(LIBOR plus 2.75%) | | | | | |
4.99% | | | 04/25/24 | 1 | | | 2,478,725 | | | | 2,483,893 | |
GVC Holdings PLC, Term Loan B2, 1st Lien | | | | | |
(LIBOR plus 2.50%) | | | | | |
4.74% | | | 03/29/24 | 1 | | | 1,492,500 | | | | 1,500,582 | |
Las Vegas Sands LLC, Term Loan B, 1st Lien | | | | | |
(LIBOR plus 1.75%) | | | | | |
3.99% | | | 03/27/25 | 1 | | | 2,438,049 | | | | 2,438,682 | |
Penn National Gaming, Inc., Term Loan B, | | | | | |
1st Lien | | | | | |
(LIBOR plus 2.25%) | | | | | |
2.25% | | | 08/14/25 | 1 | | | 1,405,000 | | | | 1,414,308 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BANK LOANS (continued) | | | | | |
Gaming (continued) | | | | | |
(LIBOR plus 2.50%) | | | | | |
4.74% | | | 01/19/24 | 1 | | $ | 1,170,000 | | | $ | 1,177,500 | |
Station Casinos LLC, Term Loan B, 1st Lien | | | | | |
(LIBOR plus 2.50%) | | | | | |
4.75% | | | 06/08/23 | 1 | | | 1,427,636 | | | | 1,435,181 | |
Tropicana Entertainment, Inc., Term Loan, | | | | | |
1st Lien | | | | | |
(PRIME plus 2.00%) | | | | | |
7.25% | | | 11/27/20 | 1 | | | 210,000 | | | | 211,050 | |
Yonkers Racing Corp., Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.25%) | | | | | |
5.50% | | | 05/31/24 | 1 | | | 1,428,756 | | | | 1,435,900 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 21,096,560 | |
| | | | | | | | | | | | |
Health Care — 11.39% | | | | | |
Acadia Healthcare Co., Inc., Term Loan B3, 1st Lien | | | | | |
(LIBOR plus 2.50%) | | | | | |
4.74% | | | 02/11/22 | 1 | | | 939,627 | | | | 947,337 | |
Acadia Healthcare Co., Inc., Term Loan B4, 1st Lien | | | | | |
(LIBOR plus 2.50%) | | | | | |
4.74% | | | 02/16/23 | 1 | | | 284,794 | | | | 287,131 | |
BCPE Eagle Buyer LLC, Term Loan, 1st Lien | | | | | |
(LIBOR plus 4.25%) | | | | | |
6.49% | | | 03/13/24 | 1 | | | 1,379,742 | | | | 1,367,670 | |
Carestream Dental Equipment, Inc., Term Loan, 1st Lien | | | | | |
(LIBOR plus 3.25%) | | | | | |
5.64% | | | 09/01/24 | 1 | | | 990,000 | | | | 990,312 | |
CCS-CMGC Holdings, Inc., Term Loan | | | | | |
(LIBOR plus 5.50%) | | | | | |
7.76% | | | 09/25/25 | 1 | | | 500,000 | | | | 501,095 | |
Community Health Systems, Inc., Term Loan H, 1st Lien | | | | | |
(LIBOR plus 3.25%) | | | | | |
5.56% | | | 01/27/21 | 1 | | | 463,585 | | | | 458,571 | |
Endo Luxembourg Finance I Co. SARL, | | | | | |
Term Loan B, 1st Lien (Luxembourg) | | | | | |
(LIBOR plus 4.25%) | | | | | |
6.50% | | | 04/29/24 | 1,2 | | | 488,153 | | | | 492,171 | |
Envision Healthcare Corp., Term Loan (LIBOR plus 3.75%) | | | | | |
3.75% | | | 09/28/25 | 1 | | | 2,000,000 | | | | 1,995,000 | |
Greatbatch Ltd. Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.00%) | | | | | |
5.14% | | | 10/27/22 | 1 | | | 905,137 | | | | 912,247 | |
Heartland Dental LLC, Term Loan, 1st Lien | | | | | |
(LIBOR plus 3.75%) | | | | | |
5.99% | | | 04/30/25 | 1,5 | | | 1,734,783 | | | | 1,737,671 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 37 / Semi-Annual Report September 2018 |
Floating Rate Income Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BANK LOANS (continued) | | | | | |
Health Care (continued) | | | | | |
Inovalon Holdings, Inc., Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.50%) | | | | | |
5.63% | | | 04/02/25 | 1 | | $ | 1,000,000 | | | $ | 1,003,125 | |
Iqvia, Inc., Term Loan B3, 1st Lien | | | | | |
(LIBOR plus 1.75%) | | | | | |
4.14% | | | 06/11/25 | 1 | | | 498,750 | | | | 499,167 | |
Kindred At Home, Term Loan, 1st Lien | | | | | |
(LIBOR plus 3.75%) | | | | | |
6.00% | | | 07/02/25 | 1 | | | 1,466,063 | | | | 1,485,305 | |
Kindred At Home, Term Loan, 2nd Lien | | | | | |
(LIBOR plus 7.00%) | | | | | |
9.34% | | | 07/02/26 | 1 | | | 250,000 | | | | 257,500 | |
Lantheus Medical Imaging, Inc., Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.75%) | | | | | |
5.99% | | | 06/30/22 | 1 | | | 985,000 | | | | 985,000 | |
Medical Solutions Holdings, Inc., Term Loan, 1st Lien | | | | | |
(LIBOR plus 3.75%) | | | | | |
5.99% | | | 06/14/24 | 1 | | | 990,025 | | | | 993,738 | |
MedPlast Holdings, Inc., Term Loan, 1st Lien | | | | | |
(LIBOR plus 3.75%) | | | | | |
6.09% | | | 07/02/25 | 1 | | | 1,000,000 | | | | 1,013,130 | |
MPH Acquisition Holdings LLC, Term Loan B, 1st Lien | | | | | |
(LIBOR plus 2.75%) | | | | | |
5.14% | | | 06/07/23 | 1 | | | 1,214,697 | | | | 1,218,633 | |
Navicure, Inc., Term Loan, 1st Lien | | | | | |
(LIBOR plus 3.75%) | | | | | |
5.99% | | | 11/01/24 | 1 | | | 1,091,750 | | | | 1,097,209 | |
NMSC Holdings, Inc., Term Loan B, 1st Lien | | | | | |
(LIBOR plus 5.00%) | | | | | |
7.59% | | | 04/19/23 | 1 | | | 677,338 | | | | 682,418 | |
Ortho-Clinical Diagnostics SA, Term Loan B, | | | | | |
1st Lien | | | | | |
(LIBOR plus 3.25%) | | | | | |
5.49% | | | 06/30/25 | 1 | | | 495,000 | | | | 497,351 | |
Pharmerica Corp., Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.50%) | | | | | |
5.65% | | | 12/06/24 | 1 | | | 995,000 | | | | 1,002,930 | |
Premise Health Holding Corp., Term Loan, | | | | | |
1st Lien | | | | | |
(LIBOR plus 3.75%) | | | | | |
6.14% | | | 07/10/25 | 1,6 | | | 698,374 | | | | 702,086 | |
Prospect Medical Holdings, Inc., Term Loan B, 1st Lien | | | | | |
(LIBOR plus 5.50%) | | | | | |
7.63% | | | 02/22/24 | 1 | | | 982,538 | | | | 998,504 | |
Romulus Merger Sub LLC, Delayed-Draw Term Loan, 1st Lien | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BANK LOANS (continued) | | | | | |
Health Care (continued) | | | | | |
(LIBOR plus 2.75%) | | | | | |
4.92% | | | 02/14/25 | 1,7 | | $ | 125,201 | | | $ | 126,206 | |
Romulus Merger Sub LLC, Term Loan, 1st Lien | | | | | |
(LIBOR plus 2.75%) | | | | | |
4.92% | | | 02/14/25 | 1 | | | 1,537,727 | | | | 1,523,795 | |
Surgery Center Holdings, Inc., Term Loan, 1st Lien | | | | | |
(LIBOR plus 3.25%) | | | | | |
5.57% | | | 09/02/24 | 1 | | | 742,500 | | | | 743,658 | |
Tecomet, Inc., Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.50%) | | | | | |
5.62% | | | 05/01/24 | 1 | | | 706,672 | | | | 710,205 | |
UIC Merger Sub, Inc., Term Loan, 1st Lien | | | | | |
(LIBOR plus 3.25%) | | | | | |
5.49% | | | 08/30/24 | 1 | | | 1,736,858 | | | | 1,741,851 | |
Valeant Pharmaceuticals International, Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.00%) | | | | | |
5.10% | | | 06/02/25 | 1 | | | 2,141,391 | | | | 2,154,678 | |
Wink Holdco, Inc., Term Loan, 1st Lien | | | | | |
(LIBOR plus 3.00%) | | | | | |
5.24% | | | 12/01/24 | 1 | | | 1,243,112 | | | | 1,240,782 | |
Wink Holdco, Inc., Term Loan, 2nd Lien | | | | | |
(LIBOR plus 6.75%) | | | | | |
9.00% | | | 12/01/25 | 1 | | | 250,000 | | | | 250,314 | |
WW Medical & Healthcare Holdings Corp., | | | | | |
Term Loan, 1st Lien | | | | | |
(LIBOR plus 3.75%) | | | | | |
5.99% | | | 01/23/25 | 1 | | | 995,000 | | | | 1,003,084 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 31,619,874 | |
| | | | | | | | | | | | |
Industrials — 10.93% | | | | | |
Agro Merchants Intermediate Holdings LLC, | | | | | |
Term Loan, 1st Lien | | | | | |
(LIBOR plus 3.75%) | | | | | |
6.14% | | | 12/06/24 | 1 | | | 1,533,734 | | | | 1,545,237 | |
ATS Consolidated, Inc., Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.75%) | | | | | |
5.99% | | | 02/28/25 | 1 | | | 497,500 | | | | 500,609 | |
Berry Global, Inc., Term Loan Q, 1st Lien | | | | | |
(LIBOR plus 2.00%) | | | | | |
4.19% | | | 10/01/22 | 1 | | | 469,600 | | | | 471,133 | |
Berry Global, Inc., Term Loan R, 1st Lien | | | | | |
(LIBOR plus 2.00%) | | | | | |
4.19% | | | 01/19/24 | 1 | | | 492,500 | | | | 493,628 | |
CH Guenther Parent LLC, Term Loan B, 1st Lien | | | | | |
(LIBOR plus 2.75%) | | | | | |
4.99% | | | 03/31/25 | 1 | | | 997,500 | | | | 999,994 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2018 / 38 |
Floating Rate Income Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BANK LOANS (continued) | | | | | |
Industrials (continued) | | | | | |
Clean Harbors, Inc., Term Loan B, 1st Lien | | | | | |
(LIBOR plus 1.75%) | | | | | |
3.99% | | | 06/30/24 | 1 | | $ | 1,836,850 | | | $ | 1,843,738 | |
Conserve Merger Sub, Inc., Term Loan, 1st Lien | | | | | |
(LIBOR plus 3.50%) | | | | | |
5.62% | | | 08/08/25 | 1 | | | 1,500,000 | | | | 1,506,570 | |
CPI Holdco LLC, Term Loan, 1st Lien | | | | | |
(LIBOR plus 3.50%) | | | | | |
5.89% | | | 03/21/24 | 1 | | | 1,970,007 | | | | 1,976,784 | |
Crown Americas LLC, Term Loan B, 1st Lien | | | | | |
(LIBOR plus 2.00%) | | | | | |
4.16% | | | 04/03/25 | 1 | | | 1,995,000 | | | | 2,007,289 | |
Flora Food Group, Term Loan B | | | | | |
(LIBOR plus 3.00%) | | | | | |
5.32% | | | 07/02/25 | 1 | | | 1,000,000 | | | | 1,002,230 | |
GoodPack, Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.75%) | | | | | |
6.09% | | | 09/11/23 | 1 | | | 1,990,000 | | | | 2,006,169 | |
Infiltrator Water Technologies LLC, Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.00%) | | | | | |
5.39% | | | 05/27/22 | 1 | | | 1,457,701 | | | | 1,466,812 | |
Jade Germany GMBH, Term Loan, 1st Lien | | | | | |
(Germany) | | | | | |
(LIBOR plus 5.50%) | | | | | |
8.09% | | | 05/31/23 | 1,2 | | | 987,500 | | | | 983,491 | |
Macdermid, Inc., Term Loan B6, 1st Lien | | | | | |
(LIBOR plus 3.00%) | | | | | |
5.24% | | | 06/07/23 | 1 | | | 771,621 | | | | 777,531 | |
Multi-Color Corp., Term Loan B, 1st Lien | | | | | |
(LIBOR plus 2.25%) | | | | | |
4.49% | | | 10/31/24 | 1 | | | 496,250 | | | | 499,456 | |
OSG Bulk Ships, Inc., Term Loan B-Exit, 1st Lien | | | | | |
(LIBOR plus 4.25%) | | | | | |
6.77% | | | 08/05/19 | 1 | | | 662,902 | | | | 657,934 | |
Pelican Products, Inc., Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.50%) | | | | | |
5.60% | | | 05/01/25 | 1 | | | 498,750 | | | | 500,102 | |
Penn Engineering & Manufacturing Corp., | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 2.75%) | | | | | |
4.99% | | | 06/27/24 | 1 | | | 740,625 | | | | 747,568 | |
PGT Innovations, Inc., Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.50%) | | | | | |
5.66% | | | 02/16/22 | 1 | | | 14,815 | | | | 14,880 | |
5.74% | | | 02/16/22 | 1 | | | 37,037 | | | | 37,199 | |
5.79% | | | 02/16/22 | 1 | | | 81,435 | | | | 81,791 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BANK LOANS (continued) | | | | | |
Industrials (continued) | | | | | |
PLZ Aeroscience Corp., Term Loan, 1st Lien | | | | | |
(LIBOR plus 3.50%) | | | | | |
5.83% | | | 07/31/22 | 1 | | $ | 383,598 | | | $ | 386,237 | |
5.84% | | | 07/31/22 | 1 | | | 104,277 | | | | 104,995 | |
5.89% | | | 07/31/22 | 1 | | | 1,205,712 | | | | 1,214,007 | |
ProAmpac PG Borrower LLC, Term Loan, 1st Lien | | | | | |
(LIBOR plus 3.50%) | | | | | |
5.68% | | | 11/20/23 | 1 | | | 534,496 | | | | 537,302 | |
5.81% | | | 11/20/23 | 1 | | | 331,253 | | | | 332,992 | |
5.84% | | | 11/20/23 | 1 | | | 266,179 | | | | 267,577 | |
5.84% | | | 11/20/23 | 1 | | | 240,523 | | | | 241,786 | |
5.84% | | | 11/20/23 | 1 | | | 101,299 | | | | 101,830 | |
Spectrum Holdings III Corp., Term Loan, 1st Lien | | | | | |
(LIBOR plus 3.25%) | | | | | |
5.49% | | | 01/31/25 | 1 | | | 452,725 | | | | 450,271 | |
Synagro Infrastructure, Term Loan, 1st Lien | | | | | |
(LIBOR plus 5.50%) | | | | | |
7.74% | | | 08/21/20 | 1,3,4 | | | 923,372 | | | | 807,951 | |
Technimark LLC, Term Loan, 1st Lien | | | | | |
(LIBOR plus 3.75%) | | | | | |
5.88% | | | 08/08/25 | 1 | | | 1,000,000 | | | | 1,003,330 | |
Titan Acquisition, Ltd. Term Loan, 1st Lien | | | | | |
(LIBOR plus 3.00%) | | | | | |
5.24% | | | 03/28/25 | 1 | | | 498,747 | | | | 485,577 | |
Transcendia Holdings, Inc., Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.50%) | | | | | |
5.74% | | | 05/30/24 | 1 | | | 1,485,028 | | | | 1,478,219 | |
Transdigm, Inc., Term Loan F, 1st Lien | | | | | |
(LIBOR plus 2.50%) | | | | | |
4.74% | | | 06/09/23 | 1 | | | 483,912 | | | | 486,232 | |
TricorBraun, Inc., Term Loan, 1st Lien | | | | | |
(LIBOR plus 3.75%) | | | | | |
6.14% | | | 11/30/23 | 1 | | | 1,339,773 | | | | 1,348,146 | |
TricorBraun, Inc., Delayed-Draw Term Loan, 1st Lien | | | | | |
(PRIME plus 3.75%) | | | | | |
6.10% | | | 11/30/23 | 1 | | | 135,000 | | | | 135,844 | |
Tyco International Holdings SARL, Term Loan | | | | | |
(LIBOR plus 1.25%) | | | | | |
3.62% | | | 03/02/20 | 1,3,4 | | | 136,500 | | | | 136,372 | |
Zep, Inc., Term Loan B, 1st Lien | | | | | |
(LIBOR plus 4.00%) | | | | | |
6.39% | | | 08/12/24 | 1 | | | 742,500 | | | | 708,623 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 30,347,436 | |
| | | | | | | | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 39 / Semi-Annual Report September 2018 |
Floating Rate Income Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BANK LOANS (continued) | | | | | |
Information Technology — 7.56% | | | | | |
Ascend Learning LLC, Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.00%) | | | | | |
5.24% | | | 07/12/24 | 1 | | $ | 990,000 | | | $ | 992,163 | |
| Change Healthcare Holdings LLC, Term Loan B, 1st Lien | | | | | |
(LIBOR plus 2.75%) | | | | | |
4.99% | | | 03/01/24 | 1 | | | 982,537 | | | | 986,915 | |
Ciena Corp., Term Loan B | | | | | |
(LIBOR plus 2.00%) | | | | | |
4.24% | | | 09/19/25 | 1 | | | 500,000 | | | | 502,813 | |
Dell International LLC, Term Loan A3, 1st Lien | | | | | |
(LIBOR plus 1.50%) | | | | | |
3.75% | | | 12/31/18 | 1 | | | 170,243 | | | | 170,536 | |
Dell International LLC, Term Loan B, 1st Lien | | | | | |
(LIBOR plus 2.00%) | | | | | |
4.25% | | | 09/07/23 | 1 | | | 1,353,101 | | | | 1,357,444 | |
Digicert Holdings, Inc., Term Loan, 1st Lien | | | | | |
(LIBOR plus 4.00%) | | | | | |
6.24% | | | 10/31/24 | 1 | | | 997,500 | | | | 1,001,555 | |
EagleView Technology Corp., Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.50%) | | | | | |
5.63% | | | 08/14/25 | 1 | | | 500,000 | | | | 501,145 | |
First Data Corp., Term Loan, 1st Lien | | | | | |
(LIBOR plus 2.00%) | | | | | |
4.21% | | | 07/08/22 | 1 | | | 240,848 | | | | 241,491 | |
4.21% | | | 04/26/24 | 1 | | | 1,528,184 | | | | 1,531,179 | |
GlobalLogic Holdings, Inc., Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.25%) | | | | | |
5.49% | | | 08/01/25 | 1,8 | | | 437,500 | | | | 441,739 | |
Microchip Technology, Inc., Term Loan, 1st Lien | | | | | |
(LIBOR plus 2.00%) | | | | | |
4.25% | | | 05/29/25 | 1 | | | 455,500 | | | | 456,306 | |
Oberthur Technologies Group SAS, Term Loan B1, 1st Lien | | | | | |
(LIBOR plus 3.75%) | | | | | |
5.99% | | | 01/10/24 | 1 | | | 1,477,500 | | | | 1,487,843 | |
Ocean Bidco, Inc., Term Loan B, 1st Lien | | | | | |
(LIBOR plus 5.00%) | | | | | |
7.39% | | | 03/21/25 | 1 | | | 738,750 | | | | 742,137 | |
Peak 10 Holding Corp., Term Loan, 1st Lien | | | | | |
(LIBOR plus 3.50%) | | | | | |
5.89% | | | 08/01/24 | 1 | | | 247,500 | | | | 245,592 | |
Perspecta, Inc., Term Loan B, 1st Lien | | | | | |
(LIBOR plus 2.25%) | | | | | |
4.49% | | | 05/30/25 | 1 | | | 498,750 | | | | 500,309 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BANK LOANS (continued) | | | | | |
Information Technology (continued) | | | | | |
Project Alpha Intermediate Holdings Inc., | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.50%) | | | | | |
5.99% | | | 04/26/24 | 1 | | $ | 987,500 | | | $ | 988,942 | |
Quintiles IMS, Inc., Term Loan B2, 1st Lien | | | | | |
(LIBOR plus 2.00%) | | | | | |
4.39% | | | 01/17/25 | 1 | | | 990,000 | | | | 994,955 | |
Scientific Games International, Inc., Term Loan B5, 1st Lien | | | | | |
(LIBOR plus 2.75%) | | | | | |
4.99% | | | 08/14/24 | 1 | | | 287,455 | | | | 287,343 | |
5.04% | | | 08/14/24 | 1 | | | 1,205,045 | | | | 1,204,575 | |
Sophia LP, Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.25%) | | | | | |
5.64% | | | 09/30/22 | 1 | | | 1,194,113 | | | | 1,200,710 | |
SS&C Technologies, Inc., Term Loan B3, 1st Lien | | | | | |
(LIBOR plus 2.25%) | | | | | |
4.49% | | | 04/16/25 | 1 | | | 1,337,366 | | | | 1,340,295 | |
SS&C Technology Holdings Europe SARL, | | | | | |
Term Loan B4, 1st Lien | | | | | |
(LIBOR plus 2.25%) | | | | | |
4.49% | | | 04/16/25 | 1 | | | 519,120 | | | | 520,257 | |
TierPoint LLC, Term Loan, 1st Lien | | | | | |
(LIBOR plus 3.75%) | | | | | |
5.99% | | | 05/06/24 | 1 | | | 468,319 | | | | 464,001 | |
Vantiv LLC, Term Loan B4, 1st Lien | | | | | |
(LIBOR plus 1.75%) | | | | | |
3.88% | | | 08/09/24 | 1 | | | 995,000 | | | | 997,876 | |
VT Topco, Inc., Term Loan, 1st Lien | | | | | |
(LIBOR plus 3.75%) | | | | | |
6.09% | | | 08/01/25 | 1 | | | 800,000 | | | | 806,000 | |
6.14% | | | 08/01/25 | 1,9 | | | 37,240 | | | | 37,519 | |
Zotec Partners LLC, Term Loan, 1st Lien | | | | | |
(LIBOR plus 5.00%) | | | | | |
7.17% | | | 02/14/24 | 1 | | | 987,500 | | | | 989,969 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 20,991,609 | |
| | | | | | | | | | | | |
Insurance — 0.76% | | | | | |
Alliant Insurance, Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.00%) | | | | | |
5.15% | | | 05/09/25 | 1 | | | 1,129,795 | | | | 1,134,653 | |
Assuredpartners, Inc., Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.25%) | | | | | |
5.49% | | | 10/22/24 | 1 | | | 487,842 | | | | 489,672 | |
Hyperion Insurance Group Ltd., Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.50%) | | | | | |
5.75% | | | 12/20/24 | 1 | | | 496,250 | | | | 500,076 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 2,124,401 | |
| | | | | | | | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2018 / 40 |
Floating Rate Income Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BANK LOANS (continued) | | | | | |
Materials — 2.88% | | | | | |
Akzo Nobel NV, Term Loan B, 1st Lien | | | | | |
(Netherlands) | | | | | |
(LIBOR plus 3.25%) | | | | | |
5.51% | | | 10/01/25 | 1,2 | | $ | 1,000,000 | | | $ | 1,005,415 | |
Archroma Finance SARL, Term Loan B2, | | | | | |
1st Lien (Switzerland) | | | | | |
(LIBOR plus 4.25%) | | | | | |
6.58% | | | 08/12/24 | 1,2 | | | 742,500 | | | | 744,356 | |
Cyanco Intermediate Corp., Term Loan, 1st Lien | | | | | |
(LIBOR plus 3.25%) | | | | | |
5.49% | | | 03/16/25 | 1 | | | 497,500 | | | | 501,622 | |
Dubois Chemicals, Inc., Term Loan, 1st Lien | | | | | |
(LIBOR plus 3.25%) | | | | | |
5.49% | | | 03/15/24 | 1 | | | 1,725,558 | | | | 1,727,715 | |
Flex Acquisition Co., Inc., Term Loan, 1st Lien | | | | | |
(LIBOR plus 3.25%) | | | | | |
5.75% | | | 06/29/25 | 1 | | | 1,500,000 | | | | 1,505,438 | |
Israel Chemicals Ltd., Term Loan, 1st Lien | | | | | |
(LIBOR plus 3.00%) | | | | | |
5.20% | | | 03/28/25 | 1 | | | 497,500 | | | | 501,234 | |
WR Grace & Co., Term Loan B1 | | | | | |
(LIBOR plus 1.75%) | | | | | |
4.14% | | | 04/03/25 | 1 | | | 736,842 | | | | 740,758 | |
WR Grace & Co., Term Loan B2 | | | | | |
(LIBOR plus 1.75%) | | | | | |
4.14% | | | 04/03/25 | 1 | | | 1,263,158 | | | | 1,269,872 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 7,996,410 | |
| | | | | | | | | | | | |
Real Estate Investment Trust (REIT) — 1.57% | | | | | |
Lightstone Holdco LLC, Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.75%) | | | | | |
5.99% | | | 01/30/24 | 1 | | | 457,150 | | | | 454,651 | |
Lightstone Holdco LLC, Term Loan C, 1st Lien | | | | | |
(LIBOR plus 3.75%) | | | | | |
5.99% | | | 01/30/24 | 1 | | | 24,553 | | | | 24,419 | |
MGM Growth Properties Operating Partnership LP, Term Loan B, 1st Lien | |
(LIBOR plus 2.00%) | | | | | |
4.24% | | | 04/25/23 | 1 | | | 1,953,675 | | | | 1,958,403 | |
VICI Properties 1 LLC, Term Loan, 1st Lien | | | | | |
(LIBOR plus 2.00%) | | | | | |
4.21% | | | 12/20/24 | 1 | | | 1,909,091 | | | | 1,914,312 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 4,351,785 | |
| | | | | | | | | | | | |
Retail — 0.89% | | | | | | | | | | | | |
BC ULC/New Red Finance, Inc., Term Loan B, 1st Lien (Canada) | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BANK LOANS (continued) | | | | | |
Retail (continued) | | | | | |
(LIBOR plus 2.25%) | | | | | |
4.49% | | | 02/16/24 | 1,2 | | $ | 1,974,897 | | | $ | 1,978,353 | |
IRB Holding Corp., Term Loan, 1st Lien | | | | | |
(LIBOR plus 3.25%) | | | | | |
5.46% | | | 02/05/25 | 1 | | | 497,500 | | | | 498,746 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 2,477,099 | |
| | | | | | | | | | | | |
Services — 5.42% | | | | | |
Aramark Services, Inc., Term Loan, 1st Lien | | | | | |
(LIBOR plus 1.75%) | | | | | |
4.08% | | | 03/11/25 | 1 | | | 1,865,325 | | | | 1,873,486 | |
Carlisle Foodservice Products, Inc. Term Loan, 1st Lien | | | | | |
(LIBOR plus 3.00%) | | | | | |
5.21% | | | 03/20/25 | 1,10 | | | 405,936 | | | | 404,541 | |
CIBT Global, Inc. Term Loan, 1st Lien | | | | | |
(LIBOR plus 3.75%) | | | | | |
6.14% | | | 06/03/24 | 1 | | | 741,244 | | | | 744,950 | |
EHS Hospitality, Inc., Term Loan B, 1st Lien | | | | | |
(LIBOR plus 2.00%) | | | | | |
4.24% | | | 08/30/23 | 1 | | | 1,401,512 | | | | 1,403,768 | |
Epic Y-Grade Services LP, Term Loan B, 1st Lien | | | | | |
(LIBOR plus 5.50%) | | | | | |
7.74% | | | 06/07/25 | 1 | | | 250,000 | | | | 244,063 | |
GFL Environmental, Inc., Term Loan B, 1st Lien | | | | | |
(LIBOR plus 2.75%) | | | | | |
5.14% | | | 05/30/25 | 1,11 | | | 1,330,919 | | | | 1,334,246 | |
Mister Car Wash Holdings, Inc., Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.25%) | | | | | |
5.54% | | | 08/20/21 | 1 | | | 972,548 | | | | 978,777 | |
PODS LLC, Term Loan, 1st Lien | | | | | |
(LIBOR plus 2.75%) | | | | | |
4.88% | | | 12/06/24 | 1 | | | 1,492,465 | | | | 1,497,830 | |
Powerteam Services LLC, Term Loan, 1st Lien | | | | | |
(LIBOR plus 3.25%) | | | | | |
5.64% | | | 03/06/25 | 1 | | | 1,459,653 | | | | 1,460,566 | |
Powerteam Services LLC, Term Loan, 2nd Lien | | | | | |
(LIBOR plus 7.25%) | | | | | |
9.64% | | | 03/06/26 | 1 | | | 750,000 | | | | 752,816 | |
Prime Security Services Borrower LLC, | | | | | |
Term Loan, 1st Lien | | | | | |
(LIBOR plus 2.75%) | | | | | |
4.99% | | | 05/02/22 | 1 | | | 1,125,041 | | | | 1,131,544 | |
TKC Holdings, Inc., Term Loan, 1st Lien | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 41 / Semi-Annual Report September 2018 |
Floating Rate Income Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BANK LOANS (continued) | | | | | |
Services (continued) | | | | | |
(LIBOR plus 3.75%) | | | | | |
6.00% | | | 02/01/23 | 1 | | $ | 1,433,391 | | | $ | 1,437,276 | |
University Support Services LLC, Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.50%) | | | | | |
5.75% | | | 06/20/25 | 1,12 | | | 762,712 | | | | 772,246 | |
WorldStrides, Inc., Term Loan B, 1st Lien | | | | | |
(LIBOR plus 4.00%) | | | | | |
6.33% | | | 12/16/24 | 1 | | | 995,000 | | | | 1,004,955 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 15,041,064 | |
| | | | | | | | | | | | |
Transportation — 1.91% | | | | | |
Air Canada, Term Loan B, 1st Lien | | | | | |
(LIBOR plus 2.00%) | | | | | |
4.24% | | | 10/06/23 | 1 | | | 990,000 | | | | 994,643 | |
American Airlines, Inc., Term Loan B, 1st Lien | | | | | |
(LIBOR plus 1.75%) | | | | | |
3.98% | | | 06/27/25 | 1 | | | 1,293,406 | | | | 1,270,887 | |
Arctic LNG Carriers Ltd., Term Loan B, 1st Lien | | | | | |
(LIBOR plus 4.50%) | | | | | |
6.74% | | | 05/18/23 | 1 | | | 493,750 | | | | 496,374 | |
Commercial Barge Line Co., Term Loan B, 1st Lien | | | | | |
(LIBOR plus 8.75%) | | | | | |
10.99% | | | 11/12/20 | 1 | | | 184,211 | | | | 143,167 | |
International Seaways, Inc., Term Loan, 1st Lien | | | | | |
(LIBOR plus 6.00%) | | | | | |
8.08% | | | 06/22/22 | 1 | | | 1,462,478 | | | | 1,471,619 | |
Navios Maritime Partners LP, Term Loan B, | | | | | |
1st Lien (Greece) | | | | | |
(LIBOR plus 5.00%) | | | | | |
7.34% | | | 09/14/20 | 1,2 | | | 927,928 | | | | 930,638 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 5,307,328 | |
| | | | | | | | | | | | |
Total Bank Loans | | | | | | | | | |
(Cost $243,316,922) | | | | | | | | 244,195,920 | |
| | | | | | | | | | | | |
| |
CORPORATES — 4.73%* | | | | | |
Communications — 0.96% | | | | | |
Altice U.S. Finance I Corp. | | | | | |
5.50% | | | 05/15/26 | 13 | | | 500,000 | | | | 500,625 | |
CSC Holdings LLC | | | | | |
5.38% | | | 02/01/28 | 13 | | | 1,000,000 | | | | 955,000 | |
6.75% | | | 11/15/21 | | | | 1,000,000 | | | | 1,056,250 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Communications (continued) | | | | | |
Sprint Communications, Inc. | | | | | |
9.00% | | | 11/15/18 | 13 | | $ | 148,000 | | | $ | 149,295 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 2,661,170 | |
| | | | | | | | | | | | |
Finance — 0.90% | | | | | |
Citigroup, Inc. | | | | | |
(LIBOR USD 3-Month plus 0.55%) | | | | | |
2.86% | | | 08/25/36 | 1 | | | 1,800,000 | | | | 1,515,042 | |
Goldman Sachs Group, Inc. (The) (MTN) | | | | | |
3.85% | | | 07/08/24 | | | | 980,000 | | | | 975,763 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 2,490,805 | |
| | | | | | | | | | | | |
Health Care — 1.59% | | | | | |
Bausch Health Cos., Inc. (Canada) | | | | | |
6.13% | | | 04/15/25 | 2,13 | | | 500,000 | | | | 477,500 | |
CHS/Community Health Systems, Inc. | | | | | |
5.13% | | | 08/01/21 | | | | 250,000 | | | | 244,375 | |
CVS Health Corp. | | | | | |
(LIBOR USD 3-Month plus 0.72%) | | | | | |
3.05% | | | 03/09/21 | 1 | | | 1,000,000 | | | | 1,008,206 | |
Halfmoon Parent, Inc. | | | | | |
(LIBOR USD 3-Month plus 0.89%) | | | | | |
3.22% | | | 07/15/23 | 1,13 | | | 2,700,000 | | | | 2,701,912 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 4,431,993 | |
| | | | | | | | | | | | |
Industrials — 0.81% | | | | | |
General Electric Co. (MTN) | | | | | |
(LIBOR USD 3-Month plus 0.48%) | | | | | |
2.79% | | | 08/15/36 | 1 | | | 850,000 | | | | 708,535 | |
Sealed Air Corp. | | | | | |
5.25% | | | 04/01/23 | 13 | | | 1,500,000 | | | | 1,533,750 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 2,242,285 | |
| | | | | | | | | | | | |
Retail — 0.24% | | | | | |
Cumberland Farms, Inc. | | | | | |
6.75% | | | 05/01/25 | 13 | | | 650,000 | | | | 669,094 | |
| | | | | |
| |
Transportation — 0.23% | | | | | |
American Airlines Pass-Through Trust, | | | | | |
Series 2013-2, Class B | | | | | |
5.60% | | | 07/15/20 | 13 | | | 631,554 | | | | 645,321 | |
| | | | | |
| |
Total Corporates | | | | | |
(Cost $13,072,984) | | | | 13,140,668 | |
| | | | | | | | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2018 / 42 |
Floating Rate Income Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MUNICIPAL BONDS — 0.15%* | | | | | |
California — 0.15% | | | | | |
State of California, Build America Bonds | | | | | |
7.95% | | | 03/01/36 | | | | $400,000 | | | $ | 426,476 | |
| | | | | |
| |
Total Municipal Bonds | | | | | |
(Cost $430,826) | | | | | |
| |
Total Bonds – 92.81% | | | | | |
(Cost $256,820,732) | | | | 257,763,064 | |
| | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal Amount/ Shares | | | Value | |
SHORT-TERM INVESTMENTS — 10.81% | | | | | |
Foreign Government Obligations — 2.68% | | | | | |
Japan Treasury Discount Bill, Series 770 | | | | | |
(Japan) | | | | | |
0.00%2 | | | 10/15/18 | | | | 300,000,000 | | | | 2,641,326 | |
Japan Treasury Discount Bill, Series 774 | | | | | |
(Japan) | | | | | |
0.00%2,14 | | | 11/05/18 | | | | 545,000,000 | | | | 4,798,759 | |
| | | | | |
| |
| | | | 7,440,085 | |
| | | | | |
Money Market Funds — 1.43% | | | | | |
Morgan Stanley Institutional Liquidity | | | | | |
Funds-Government Portfolio | | | | | |
2.04%15 | | | | 3,979,000 | | | | 3,979,000 | |
| | | | | |
| |
U.S. Treasury Bills — 6.70% | | | | | |
U.S. Treasury Bills | | | | | |
1.76%14 | | | 10/25/18 | | | | 1,500,000 | | | | 1,497,924 | |
2.02%14 | | | 01/03/19 | | | | 15,200,000 | | | | 15,113,876 | |
2.12%14 | | | 01/31/19 | | | | 2,000,000 | | | | 1,984,962 | |
| | | | | |
| |
| | | | 18,596,762 | |
| | | | | |
| |
Total Short-Term Investments | | | | | |
(Cost $30,160,663) | | | | 30,015,847 | |
| | | | | |
| |
Total Investments – 103.62% | | | | | |
(Cost $286,981,395) | | | | 287,778,911 | |
| | | | | |
| |
| Net unrealized appreciation on unfunded commitments (0.00)% | | | | 2,971 | |
| |
Liabilities in Excess of Other | | | | | |
Assets – (3.62)% | | | | (10,056,944 | ) |
| | | | | |
| |
Net Assets – 100.00% | | | $ | 277,724,938 | |
| | | | | |
| 1 | Floating rate security. The rate disclosed was in effect at September 30, 2018. |
| 2 | U.S. dollar-denominated security issued by foreign-domiciled entity. |
| 3 | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
| 4 | Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $3,862,657, which is 1.39% of total net assets. |
| 5 | Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $261,304, at an interest rate of 3.75% and a maturity of April 30, 2025. The investment is not accruing an unused commitment fee. |
| 6 | Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $55,271, at an interest rate of 1.00% and a maturity of July 10, 2025. The investment is accruing an unused commitment fee of 0.25% per annum. |
| 7 | Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $323,910, at an interest rate of 1.00% and a maturity of February 14, 2025. The investment is not accruing an unused commitment fee. |
| 8 | Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $63,106, at an interest rate of 1.00% and a maturity of August 01, 2025. The investment is accruing an unused commitment fee of 0.50% per annum. |
| 9 | Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $163,981, at an interest rate of 1.88% and a maturity of August 01, 2025. The investment is not accruing an unused commitment fee. |
| 10 | Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $91,708, at an interest rate of 1.00% and a maturity of March 20, 2025. The investment is not accruing an unused commitment fee. |
| 11 | Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $166,160, at an interest rate of 2.75% and a maturity of May 30, 2025. The investment is not accruing an unused commitment fee. |
| 12 | Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $240,254, at an interest rate of 3.50% and a maturity of July 17, 2025. The investment is not accruing an unused commitment fee. |
| 13 | 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. |
| 14 | Represents annualized yield at date of purchase. |
| 15 | Represents the current yield as of September 30, 2018. |
| * | 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.
(JPY): Japanese Yen
(LIBOR): London InterBank Offer Rate
(MTN): Medium-term note
(USD): U.S. dollar
See accompanying notes to Schedule of Portfolio Investments.
|
| 43 / Semi-Annual Report September 2018 |
Floating Rate Income Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | | | |
Currency to be Purchased | | Currency to be Sold | | Counterparty | | Settlement Date | | Unrealized Appreciation |
FOREIGN CURRENCY EXCHANGE CONTRACT | | | | | | | | | | |
USD 4,953,069 | | | | JPY 545,000,000 | | | Goldman Sachs International | | 11/05/18 | | | $ | 141,376 | |
USD 2,677,436 | | | | JPY 300,000,000 | | | Goldman Sachs International | | 10/15/18 | | | | 32,895 | |
| | | | |
| | | | | | | | | | | | | | |
| | | | |
NET UNREALIZED APPRECIATION | | | | | | | | | | | | $ | 174,271 | |
| | | | | | | | | | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2018 / 44 |
High Yield Bond Fund
Consolidated Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
Issues | | Maturity Date | | | Principal Amount | | | Value | |
BONDS – 88.78% | |
BANK LOANS — 15.49%* | |
Communications — 6.28% | |
| CenturyLink, Inc., Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 2.75%) | | | | | | | | | |
4.99% | | | 01/31/25 | 1 | | $ | 1,994,975 | | | $ | 1,983,504 | |
| Colorado Buyer, Inc., Term Loan, 1st Lien | | | | | |
| (LIBOR plus 3.00%) | | | | | | | | | | | | |
5.11% | | | 05/01/24 | 1 | | | 918,375 | | | | 920,960 | |
| Colorado Buyer, Inc., Term Loan, 2nd Lien | | | | | |
| (LIBOR plus 7.25%) | | | | | | | | | | | | |
9.36% | | | 05/01/25 | 1 | | | 480,000 | | | | 481,402 | |
| CSC Holdings LLC, Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 2.25%) | | | | | | | | | | | | |
4.41% | | | 07/17/25 | 1 | | | 5,000,000 | | | | 5,008,325 | |
Intelsat Jackson Holdings SA, Term Loan B5, 1st Lien (Luxembourg) | | | | | |
6.63% | | | 01/02/24 | 2 | | | 2,215,000 | | | | 2,314,121 | |
| NEP/NCP Holdco, Term Loan, 2nd Lien | | | | | |
| (LIBOR plus 7.00%) | | | | | | | | | | | | |
9.15% | | | 01/23/23 | 1 | | | 522,598 | | | | 524,558 | |
| SBA Communications, Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 2.00%) | | | | | | | | | | | | |
4.25% | | | 04/04/25 | 1 | | | 4,189,500 | | | | 4,198,801 | |
Sprint Communications, Inc., Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 2.50%) | | | | | | | | | | | | |
4.75% | | | 02/02/24 | 1 | | | 6,284,051 | | | | 6,307,616 | |
| Unitymedia Finance LLC, Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 2.00%) | | | | | | | | | | | | |
4.16% | | | 06/01/23 | 1 | | | 1,500,000 | | | | 1,502,910 | |
UPC Financing Partnership, Term Loan AR, 1st Lien | | | | | |
| (LIBOR plus 2.50%) | | | | | | | | | | | | |
4.66% | | | 01/15/26 | 1 | | | 2,525,000 | | | | 2,526,111 | |
| | | | | | | | | | | | |
| Virgin Media Bristol LLC, Term Loan K, 1st Lien | | | | | |
| (LIBOR plus 2.50%) | | | | | | | | | | | | |
4.66% | | | 01/15/26 | 1 | | | 5,000,000 | | | | 5,013,925 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 30,782,233 | |
| | | | | | | | | | | | |
Consumer Discretionary — 0.56% | | | | | |
| Alphabet Holding Co., Inc., Term Loan, 1st Lien | | | | | |
| (LIBOR plus 3.50%) | | | | | | | | | | | | |
5.74% | | | 09/26/24 | 1 | | | 1,176,675 | | | | 1,137,550 | |
| Citycenter Holdings LLC, Term Loan B, 1st Lien | | | | | |
| | | | | | | | | | | | |
Issues | | Maturity Date | | | Principal Amount | | | Value | |
BANK LOANS (continued) | |
Consumer Discretionary (continued) | |
| (LIBOR plus 2.25%) | | | | | | | | | | | | |
4.49% | | | 04/18/24 | 1 | | $ | 1,600,470 | | | $ | 1,604,343 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 2,741,893 | |
| | | | | | | | | | | | |
Energy — 1.05% | | | | | | | | | | | | |
Vistra Operations Co., LLC, Term Loan B1, 1st Lien | | | | | |
| (LIBOR plus 2.00%) | | | | | | | | | | | | |
4.24% | | | 08/04/23 | 1 | | | 1,751,262 | | | | 1,755,640 | |
Vistra Operations Co., LLC, Term Loan B3, 1st Lien | | | | | |
| (LIBOR plus 2.00%) | | | | | | | | | | | | |
4.16% | | | 12/31/25 | 1 | | | 2,465,854 | | | | 2,471,562 | |
4.24% | | | 12/31/25 | 1 | | | 895,721 | | | | 897,795 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 5,124,997 | |
| | | | | | | | | | | | |
Finance — 0.31% | | | | | | | | | | | | |
Auris Luxembourg III SARL, Term Loan B, 1st Lien (Luxembourg) | | | | | |
| (LIBOR plus 3.75%) | | | | | | | | | | | | |
3.75% | | | 07/24/25 | 1 | | | 525,000 | | | | 532,221 | |
| UFC Holdings LLC, Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 3.25%) | | | | | | | | | | | | |
5.50% | | | 08/18/23 | 1 | | | 982,500 | | | | 989,486 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 1,521,707 | |
| | | | | | | | | | | | |
Food — 0.11% | | | | | | | | | | | | |
| Houston Foods, Inc., Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 3.75%) | | | | | | | | | | | | |
5.99% | | | 07/20/25 | 1 | | | 548,625 | | | | 550,339 | |
| | | | | | | | | | | | |
| | | |
Gaming — 0.69% | | | | | | | | | | | | |
| Churchill Downs, Inc., Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 2.00%) | | | | | | | | | | | | |
4.25% | | | 12/27/24 | 1 | | | 3,374,500 | | | | 3,386,108 | |
| | | | | | | | | | | | |
| | | |
Health Care — 1.18% | | | | | | | | | | | | |
| BCPE Eagle Buyer LLC, Term Loan, 1st Lien | | | | | |
| (LIBOR plus 4.25%) | | | | | | | | | | | | |
6.49% | | | 03/13/24 | 1 | | | 458,025 | | | | 454,017 | |
| BCPE Eagle Buyer LLC, Term Loan, 2nd Lien | | | | | |
| (LIBOR plus 8.00%) | | | | | | | | | | | | |
10.24% | | | 03/13/25 | 1 | | | 465,000 | | | | 463,837 | |
Catalent Pharma Solutions, Inc., Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 2.25%) | | | | | | | | | | | | |
4.49% | | | 05/20/24 | 1 | | | 850,952 | | | | 857,534 | |
| Kindred At Home, Term Loan, 1st Lien | | | | | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| 45 / Semi-Annual Report September 2018 |
High Yield Bond Fund
Consolidated Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BANK LOANS (continued) | | | | | |
Health Care (continued) | | | | | |
| (LIBOR plus 3.75%) | | | | | |
6.00% | | | 07/02/25 | 1 | | $ | 1,099,547 | | | $ | 1,113,979 | |
| Kindred At Home, Term Loan, 2nd Lien | | | | | |
| (LIBOR plus 7.00%) | | | | | |
9.34% | | | 07/02/26 | 1 | | | 550,000 | | | | 566,500 | |
| Pharmerica Corp., Term Loan B, 1st Lien | |
| (LIBOR plus 3.50%) | | | | | | | | | |
5.65% | | | 12/06/24 | 1 | | | 920,375 | | | | 927,710 | |
| Pharmerica Corp., Term Loan B, 2nd Lien | | | | | |
| (LIBOR plus 7.75%) | | | | | |
9.90% | | | 12/05/25 | 1 | | | 925,000 | | | | 924,422 | |
| Wink Holdco, Inc., Term Loan, 2nd Lien | | | | | |
| (LIBOR plus 6.75%) | | | | | | | | | |
9.00% | | | 12/01/25 | 1 | | | 500,000 | | | | 500,627 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 5,808,626 | |
| | | | | | | | | | | | |
Industrials — 0.09% | | | | | |
| Synagro Infrastructure, Term Loan, 1st Lien | | | | | |
| (LIBOR plus 5.50%) | | | | | | | | | |
7.74% | | | 08/21/20 | 1,3,4 | | | 507,591 | | | | 444,142 | |
| | | | | | | | | | | | |
| |
Information Technology — 3.37% | | | | | |
| First Data Corp., Term Loan, 1st Lien | | | | | |
| (LIBOR plus 2.00%) | | | | | |
4.21% | | | 07/08/22 | 1 | | | 2,628,792 | | | | 2,635,811 | |
4.21% | | | 04/26/24 | 1 | | | 6,689,948 | | | | 6,703,060 | |
| Scientific Games International, Inc., Term | | | | | |
| Loan B5, 1st Lien | | | | | |
| (LIBOR plus 2.75%) | | | | | | | | | |
4.99% | | | 08/14/24 | 1 | | | 350,246 | | | | 350,109 | |
5.04% | | | 08/14/24 | 1 | | | 1,468,272 | | | | 1,467,700 | |
SS&C Technologies, Inc., Term Loan B3, 1st Lien | | | | | |
| (LIBOR plus 2.25%) | | | | | | | | | |
4.49% | | | 04/16/25 | 1 | | | 2,942,189 | | | | 2,948,633 | |
| SS&C Technology Holdings Europe SARL, | | | | | |
| Term Loan B4, 1st Lien | | | | | |
| (LIBOR plus 2.25%) | | | | | | | | | |
4.49% | | | 04/16/25 | 1 | | | 1,142,059 | | | | 1,144,560 | |
| TierPoint LLC, Term Loan, 1st Lien | | | | | |
| (LIBOR plus 3.75%) | | | | | |
5.99% | | | 05/06/24 | 1 | | | 1,274,700 | | | | 1,262,947 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 16,512,820 | |
| | | | | | | | | | | | |
Real Estate Investment Trust (REIT) — 0.26% | |
| VICI Properties 1 LLC, Term Loan, 1st Lien | | | | | |
| (LIBOR plus 2.00%) | | | | | | | | | |
4.21% | | | 12/20/24 | 1 | | | 1,288,636 | | | | 1,292,161 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BANK LOANS (continued) | | | | | |
Retail — 1.01% | | | | | |
| BC ULC/New Red Finance, Inc., Term Loan B, 1st Lien (Canada) | | | | | |
| (LIBOR plus 2.25%) | | | | | | | | | |
4.49% | | | 02/16/24 | 1,2 | | $ | 4,924,844 | | | $ | 4,933,462 | |
| | | | | | | | | | | | |
| |
Services — 0.58% | | | | | |
Mister Car Wash Holdings, Inc., Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 3.25%) | | | | | | | | | |
5.54% | | | 08/20/21 | 1 | | | 1,817,841 | | | | 1,829,484 | |
| Powerteam Services LLC, Term Loan, 2nd Lien | | | | | |
| (LIBOR plus 7.25%) | | | | | | | | | |
9.64% | | | 03/06/26 | 1 | | | 1,015,000 | | | | 1,018,811 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 2,848,295 | |
| | | | | | | | | | | | |
Total Bank Loans | | | | | |
| (Cost $75,680,731) | | | | | | | | 75,946,783 | |
| | | | | | | | | | | | |
| |
CORPORATES — 73.24%* | | | | | |
Banking — 0.78% | | | | | |
| Ally Financial, Inc. | | | | | |
3.25% | | | 11/05/18 | | | | 3,845,000 | | | | 3,845,000 | |
| | | | | | | | | | | | |
| |
Communications — 19.69% | | | | | |
| Altice Financing SA (Luxembourg) | | | | | |
7.50% | | | 05/15/26 | 2,5 | | | 1,300,000 | | | | 1,270,750 | |
| Altice France SA (France) | | | | | |
7.38% | | | 05/01/26 | 2,5 | | | 3,185,000 | | | | 3,196,944 | |
| Altice U.S. Finance I Corp. | | | | | |
5.50% | | | 05/15/26 | 5 | | | 684,000 | | | | 684,855 | |
| AMC Networks, Inc. | | | | | |
4.75% | | | 08/01/25 | | | | 1,268,000 | | | | 1,222,035 | |
| Cable One, Inc. | | | | | |
5.75% | | | 06/15/22 | 5 | | | 4,080,000 | | | | 4,166,700 | |
| CCO Holdings LLC/CCO Holdings Capital Corp. | | | | | |
5.00% | | | 02/01/28 | 5 | | | 3,204,000 | | | | 3,023,775 | |
5.13% | | | 05/01/27 | 5 | | | 6,775,000 | | | | 6,427,730 | |
Cequel Communications Holdings I LLC/Cequel Capital Corp. | | | | | |
5.13% | | | 12/15/21 | 3,4,5 | | | 847,000 | | | | 856,529 | |
5.13% | | | 12/15/21 | 5 | | | 575,000 | | | | 578,001 | |
| Clear Channel International BV | | | | | |
| (Netherlands) | | | | | |
8.75% | | | 12/15/20 | 2,5 | | | 2,474,000 | | | | 2,560,590 | |
| CSC Holdings LLC | | | | | |
5.38% | | | 02/01/28 | 5 | | | 5,250,000 | | | | 5,013,750 | |
| DISH DBS Corp. | | | | | |
5.88% | | | 11/15/24 | | | | 489,000 | | | | 439,513 | |
7.75% | | | 07/01/26 | | | | 449,000 | | | | 424,934 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| Semi-Annual Report September 2018 / 46 |
High Yield Bond Fund
Consolidated Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
Issues | | Maturity Date | | | Principal Amount | | | Value | |
CORPORATES (continued) | | | | | |
Communications (continued) | | | | | |
| DISH Network Corp. | | | | | |
3.38% | | | 08/15/26 | | | $ | 1,398,000 | | | $ | 1,336,860 | |
| EW Scripps Co. (The) | | | | | |
5.13% | | | 05/15/25 | 5 | | | 1,304,000 | | | | 1,258,425 | |
| Frontier Communications Corp. | | | | | |
7.13% | | | 01/15/23 | | | | 4,161,000 | | | | 2,980,316 | |
8.50% | | | 04/01/26 | 5 | | | 918,000 | | | | 870,953 | |
| Intelsat Jackson Holdings SA (Luxembourg) | | | | | |
5.50% | | | 08/01/23 | 2 | | | 6,642,000 | | | | 6,135,547 | |
| Intelsat Luxembourg SA (Luxembourg) | | | | | |
8.13% | | | 06/01/23 | 2 | | | 1,600,000 | | | | 1,416,000 | |
| Lamar Media Corp. | | | | | |
5.75% | | | 02/01/26 | | | | 560,000 | | | | 579,600 | |
| Level 3 Financing, Inc. | | | | | |
6.13% | | | 01/15/21 | | | | 1,850,000 | | | | 1,866,187 | |
Midcontinent Communications/Midcontinent Finance Corp. | | | | | |
6.88% | | | 08/15/23 | 5 | | | 1,255,000 | | | | 1,321,672 | |
| Qwest Corp. | | | | | |
6.75% | | | 12/01/21 | | | | 4,210,000 | | | | 4,521,519 | |
| Radiate Holdco LLC/Radiate Finance, Inc. | |
6.88% | | | 02/15/23 | 5 | | | 1,539,000 | | | | 1,488,983 | |
| Sinclair Television Group, Inc. | | | | | |
5.38% | | | 04/01/21 | | | | 3,350,000 | | | | 3,375,125 | |
| Sirius XM Radio, Inc. | | | | | |
3.88% | | | 08/01/22 | 5 | | | 7,742,000 | | | | 7,630,128 | |
| Sprint Capital Corp. | | | | | |
8.75% | | | 03/15/32 | | | | 7,342,000 | | | | 8,278,105 | |
| Sprint Spectrum Co. LLC/Sprint Spectrum | |
| Co. II LLC/Sprint Spectrum Co. III LLC | | | | | |
3.36% | | | 09/20/21 | 5 | | | 3,012,000 | | | | 3,012,000 | |
5.15% | | | 03/20/28 | 5 | | | 3,500,000 | | | | 3,525,900 | |
| TEGNA, Inc. | | | | | |
5.13% | | | 10/15/19 | | | | 2,980,000 | | | | 2,985,587 | |
| T-Mobile USA, Inc. | | | | | |
4.75% | | | 02/01/28 | | | | 4,636,000 | | | | 4,358,072 | |
6.50% | | | 01/15/24 | | | | 7,522,000 | | | | 7,851,087 | |
| Univision Communications, Inc. | | | | | |
5.13% | | | 02/15/25 | 5 | | | 1,383,000 | | | | 1,296,563 | |
| Windstream Services LLC/Windstream | |
| Finance Corp. | | | | | |
9.00% | | | 06/30/25 | 5 | | | 726,000 | | | | 564,465 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 96,519,200 | |
| | | | | | | | | | | | |
Consumer Discretionary — 3.72% | | | | | |
| Central Garden & Pet Co. | | | | | |
5.13% | | | 02/01/28 | | | | 1,680,000 | | | | 1,604,400 | |
| First Quality Finance Co., Inc. | | | | | |
4.63% | | | 05/15/21 | 5 | | | 15,000 | | | | 15,019 | |
| | | | | | | | | | | | |
Issues | | Maturity Date | | | Principal Amount | | | Value | |
CORPORATES (continued) | | | | | |
Consumer Discretionary (continued) | | | | | |
| High Ridge Brands Co. | | | | | |
8.88% | | | 03/15/25 | 3,4,5 | | $ | 400,000 | | | $ | 195,500 | |
| KFC Holding Co./Pizza Hut Holdings LLC/ | | | | | |
| Taco Bell of America LLC | | | | | |
4.75% | | | 06/01/27 | 5 | | | 761,000 | | | | 733,414 | |
5.00% | | | 06/01/24 | 5 | | | 80,000 | | | | 79,550 | |
5.25% | | | 06/01/26 | 5 | | | 3,925,000 | | | | 3,920,094 | |
| Reynolds Group Issuer, Inc./Reynolds Group | | | | | |
| Issuer LLC/Reynolds Group Issuer | |
| Luxembourg S.A. | | | | | |
| (LIBOR USD 3-Month plus 3.50%) | |
5.84% | | | 07/15/21 | 1,5 | | | 8,000,000 | | | | 8,130,000 | |
| Spectrum Brands, Inc. | | | | | |
6.13% | | | 12/15/24 | | | | 1,550,000 | | | | 1,588,750 | |
6.63% | | | 11/15/22 | | | | 155,000 | | | | 159,263 | |
| WMG Acquisition Corp. | | | | | |
5.50% | | | 04/15/26 | 5 | | | 1,838,000 | | | | 1,826,513 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 18,252,503 | |
| | | | | | | | | | | | |
Electric — 0.35% | | | | | |
| Energizer Gamma Acquisition, Inc. | |
6.38% | | | 07/15/26 | 5 | | | 1,375,000 | | | | 1,424,844 | |
| Indiantown Cogeneration LP, Series A-10 | |
9.77% | | | 12/15/20 | 3,4 | | | 258,375 | | | | 276,138 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 1,700,982 | |
| | | | | | | | | | | | |
Energy — 12.42% | | | | | |
| Centennial Resource Production LLC | | | | | |
5.38% | | | 01/15/26 | 5 | | | 776,000 | | | | 772,120 | |
| Cheniere Corpus Christi Holdings LLC | | | | | |
5.13% | | | 06/30/27 | | | | 265,000 | | | | 266,656 | |
| Cheniere Energy Partners LP | | | | | |
5.63% | | | 10/01/26 | 5 | | | 1,906,000 | | | | 1,922,106 | |
| Chesapeake Energy Corp. | | | | | |
5.75% | | | 03/15/23 | | | | 1,000,000 | | | | 978,750 | |
| CrownRock LP/CrownRock Finance, Inc. | | | | | |
5.63% | | | 10/15/25 | 5 | | | 570,000 | | | | 555,779 | |
| Diamondback Energy, Inc. | | | | | |
5.38% | | | 05/31/25 | | | | 500,000 | | | | 513,125 | |
| Endeavor Energy Resources LP/EER | | | | | |
| Finance, Inc. | | | | | |
5.75% | | | 01/30/28 | 5 | | | 1,285,000 | | | | 1,289,819 | |
| Energy Transfer Equity LP | | | | | |
5.50% | | | 06/01/27 | | | | 2,240,000 | | | | 2,330,272 | |
5.88% | | | 01/15/24 | | | | 650,000 | | | | 688,187 | |
| Ensco PLC (United Kingdom) | | | | | |
7.75% | | | 02/01/26 | 2 | | | 1,398,000 | | | | 1,392,757 | |
| EQT Corp. | | | | | |
3.90% | | | 10/01/27 | | | | 2,280,000 | | | | 2,140,367 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| 47 / Semi-Annual Report September 2018 |
High Yield Bond Fund
Consolidated Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
Issues | | Maturity Date | | | Principal Amount | | | Value | |
CORPORATES (continued) | | | | | |
Energy (continued) | | | | | |
| Gulfport Energy Corp. | | | | | |
6.38% | | | 05/15/25 | | | $ | 300,000 | | | $ | 295,125 | |
| Kinder Morgan Energy Partners LP | | | | | |
2.65% | | | 02/01/19 | | | | 4,640,000 | | | | 4,636,978 | |
| Matador Resources Co. | | | | | |
5.88% | | | 09/15/26 | 5 | | | 1,025,000 | | | | 1,040,375 | |
| MEG Energy Corp. (Canada) | | | | | |
7.00% | | | 03/31/24 | 2,5 | | | 750,000 | | | | 688,125 | |
| Newfield Exploration Co. | | | | | |
5.75% | | | 01/30/22 | | | | 3,552,000 | | | | 3,734,040 | |
| NGPL Pipe Co. LLC | | | | | |
4.38% | | | 08/15/22 | 5 | | | 3,405,000 | | | | 3,447,563 | |
| Parsley Energy LLC/Parsley Finance Corp. | |
5.25% | | | 08/15/25 | 5 | | | 1,993,000 | | | | 1,993,000 | |
| Range Resources Corp. | | | | | |
4.88% | | | 05/15/25 | | | | 1,214,000 | | | | 1,154,817 | |
5.00% | | | 03/15/23 | | | | 300,000 | | | | 295,500 | |
| Rockies Express Pipeline LLC | | | | | |
5.63% | | | 04/15/20 | 5 | | | 4,553,000 | | | | 4,700,973 | |
6.00% | | | 01/15/19 | 5 | | | 2,765,000 | | | | 2,786,429 | |
6.88% | | | 04/15/40 | 5 | | | 968,000 | | | | 1,108,360 | |
| Seven Generations Energy Ltd. (Canada) | |
5.38% | | | 09/30/25 | 2,5 | | | 1,220,000 | | | | 1,184,925 | |
| SunCoke Energy Partners LP/SunCoke | | | | | |
| Energy Partners Finance Corp. | | | | | |
7.50% | | | 06/15/25 | 5 | | | 740,000 | | | | 762,200 | |
| Sunoco LP/Sunoco Finance Corp. | | | | | |
4.88% | | | 01/15/23 | 5 | | | 1,874,000 | | | | 1,856,431 | |
5.88% | | | 03/15/28 | 5 | | | 2,100,000 | | | | 2,029,125 | |
| Targa Resources Partners LP/Targa | | | | | |
| Resources Partners Finance Corp. | | | | | |
5.88% | | | 04/15/26 | 5 | | | 951,000 | | | | 981,955 | |
| TransMontaigne Partners LP/TLP Finance Corp. | | | | | |
6.13% | | | 02/15/26 | | | | 2,170,000 | | | | 2,056,075 | |
| Transocean Pontus Ltd. (Cayman Islands) | | | | | |
6.13% | | | 08/01/25 | 2,5 | | | 2,740,000 | | | | 2,791,348 | |
| Transocean Proteus Ltd. (Cayman Islands) | | | | | |
6.25% | | | 12/01/24 | 2,5 | | | 4,186,250 | | | | 4,275,208 | |
| USA Compression Partners LP/USA | | | | | |
| Compression Finance Corp. | | | | | |
6.88% | | | 04/01/26 | 5 | | | 1,339,000 | | | | 1,387,539 | |
| Williams Cos., Inc. (The) | | | | | |
3.70% | | | 01/15/23 | | | | 1,695,000 | | | | 1,679,661 | |
4.55% | | | 06/24/24 | | | | 1,650,000 | | | | 1,680,885 | |
| WPX Energy, Inc. | | | | | |
5.25% | | | 09/15/24 | | | | 814,000 | | | | 819,596 | |
5.75% | | | 06/01/26 | | | | 600,000 | | | | 609,750 | |
6.00% | | | 01/15/22 | | | | 31,000 | | | | 32,124 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Issues | | Maturity Date | | | Principal Amount | | | Value | |
CORPORATES (continued) | | | | | |
Energy (continued) | | | | | |
| | | | | | $ | | | | $ | 60,878,045 | |
| | | | | | | | | | | | |
Finance — 1.10% | | | | | | | | | | | | |
| International Lease Finance Corp. | | | | | |
6.25% | | | 05/15/19 | | | | 4,000,000 | | | | 4,078,422 | |
| Trident Merger Sub, Inc. | | | | | |
6.63% | | | 11/01/25 | 5 | | | 1,383,000 | | | | 1,313,850 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 5,392,272 | |
| | | | | | | | | | | | |
Food — 2.23% | | | | | |
| B&G Foods, Inc. | | | | | |
4.63% | | | 06/01/21 | | | | 1,360,000 | | | | 1,363,400 | |
| Chobani LLC/Chobani Finance Corp., Inc. | | | | | |
7.50% | | | 04/15/25 | 5 | | | 1,483,000 | | | | 1,353,237 | |
| Kraft Heinz Foods Co. | | | | | |
4.88% | | | 02/15/25 | 5 | | | 579,000 | | | | 589,052 | |
| Pilgrim's Pride Corp. | | | | | |
5.75% | | | 03/15/25 | 5 | | | 278,000 | | | | 268,965 | |
5.88% | | | 09/30/27 | 5 | | | 1,980,000 | | | | 1,881,000 | |
| Post Holdings, Inc. | | | | | |
5.63% | | | 01/15/28 | 5 | | | 4,296,000 | | | | 4,145,640 | |
| Sigma Holdco BV (Netherlands) | | | | | |
7.88% | | | 05/15/26 | 2,5 | | | 1,400,000 | | | | 1,319,500 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 10,920,794 | |
| | | | | | | | | | | | |
Gaming — 2.19% | | | | | |
| Boyd Gaming Corp. | | | | | |
6.00% | | | 08/15/26 | | | | 1,602,000 | | | | 1,622,025 | |
| Caesars Resort Collection LLC/CRC Finco, Inc. | | | | | |
5.25% | | | 10/15/25 | 5 | | | 1,390,000 | | | | 1,327,450 | |
| Delta Merger Sub, Inc. | | | | | |
6.00% | | | 09/15/26 | 5 | | | 1,450,000 | | | | 1,469,937 | |
| GLP Capital LP/GLP Financing II, Inc. | | | | | |
5.75% | | | 06/01/28 | | | | 1,500,000 | | | | 1,550,625 | |
| Rivers Pittsburgh Borrower LP/Rivers | | | | | |
| Pittsburgh Finance Corp. | | | | | |
6.13% | | | 08/15/21 | 5 | | | 1,731,000 | | | | 1,731,000 | |
| Sugarhouse HSP Gaming Prop Mezz LP/ | | | | | |
| Sugarhouse HSP Gaming Finance Corp. | | | | | |
5.88% | | | 05/15/25 | 5 | | | 1,287,000 | | | | 1,219,046 | |
| Wynn Las Vegas LLC/Wynn Las Vegas | | | | | |
| Capital Corp. | | | | | |
5.25% | | | 05/15/27 | 5 | | | 1,000,000 | | | | 930,000 | |
5.50% | | | 03/01/25 | 5 | | | 910,000 | | | | 881,563 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 10,731,646 | |
| | | | | | | | | | | | |
Health Care — 11.14% | | | | | |
| Acadia Healthcare Co., Inc. | | | | | |
6.50% | | | 03/01/24 | | | | 1,453,000 | | | | 1,509,304 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| Semi-Annual Report September 2018 / 48 |
High Yield Bond Fund
Consolidated Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Health Care (continued) | | | | | |
| Bausch Health Cos., Inc. | | | | | |
9.25% | | | 04/01/26 | 5 | | $ | 1,200,000 | | | $ | 1,300,500 | |
| Bausch Health Cos., Inc. (Canada) | | | | | |
5.50% | | | 03/01/23 | 2,5 | | | 1,784,000 | | | | 1,723,790 | |
5.50% | | | 11/01/25 | 2,5 | | | 3,371,000 | | | | 3,383,641 | |
5.88% | | | 05/15/23 | 2,5 | | | 1,774,000 | | | | 1,731,867 | |
6.13% | | | 04/15/25 | 2,5 | | | 1,777,000 | | | | 1,697,035 | |
6.50% | | | 03/15/22 | 2,5 | | | 865,000 | | | | 901,763 | |
| Centene Corp. | | | | | |
4.75% | | | 05/15/22 | | | | 2,178,000 | | | | 2,213,393 | |
5.63% | | | 02/15/21 | | | | 1,875,000 | | | | 1,912,500 | |
| CHS/Community Health Systems, Inc. | | | | | |
5.13% | | | 08/01/21 | | | | 1,018,000 | | | | 995,095 | |
6.25% | | | 03/31/23 | | | | 614,000 | | | | 584,651 | |
6.88% | | | 02/01/22 | | | | 520,000 | | | | 293,150 | |
| Elanco Animal Health, Inc. | | | | | |
3.91% | | | 08/27/21 | 5 | | | 1,500,000 | | | | 1,502,434 | |
4.90% | | | 08/28/28 | 5 | | | 1,500,000 | | | | 1,525,864 | |
| Endo DAC/Endo Finance LLC/Endo Finco, Inc. (Ireland) | | | | | |
6.00% | | | 02/01/25 | 2,5 | | | 1,375,000 | | | | 1,190,406 | |
| HCA, Inc. | | | | | |
5.00% | | | 03/15/24 | | | | 2,379,000 | | | | 2,444,423 | |
5.25% | | | 04/15/25 | | | | 3,500,000 | | | | 3,618,125 | |
5.25% | | | 06/15/26 | | | | 3,300,000 | | | | 3,399,000 | |
6.50% | | | 02/15/20 | | | | 5,234,000 | | | | 5,459,062 | |
| Hill-Rom Holdings, Inc. | | | | | |
5.75% | | | 09/01/23 | 5 | | | 946,000 | | | | 975,610 | |
| Hologic, Inc. | | | | | |
4.63% | | | 02/01/28 | 5 | | | 2,010,000 | | | | 1,891,913 | |
| Polaris Intermediate Corp. (PIK) | | | | | |
8.50% | | | 12/01/22 | 5,6 | | | 895,000 | | | | 929,681 | |
| Teleflex, Inc. | | | | | |
4.88% | | | 06/01/26 | | | | 229,000 | | | | 227,569 | |
| Tenet Healthcare Corp. | | | | | |
4.50% | | | 04/01/21 | | | | 2,973,000 | | | | 2,976,716 | |
4.63% | | | 07/15/24 | | | | 1,400,000 | | | | 1,365,000 | |
4.75% | | | 06/01/20 | | | | 7,154,000 | | | | 7,234,483 | |
6.00% | | | 10/01/20 | | | | 569,000 | | | | 589,626 | |
| WellCare Health Plans, Inc. | | | | | |
5.38% | | | 08/15/26 | 5 | | | 1,000,000 | | | | 1,022,500 | |
| | | | | |
| |
| | | | 54,599,101 | |
| | | | | |
Industrials — 7.14% | | | | | |
| Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (Ireland) | | | | | |
4.25% | | | 09/15/22 | 2,5 | | | 3,551,000 | | | | 3,506,613 | |
7.25% | | | 05/15/24 | 2,5 | | | 2,600,000 | | | | 2,730,000 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Industrials (continued) | | | | | |
| Ball Corp. | | | | | |
4.00% | | | 11/15/23 | | | $ | 2,700,000 | | | $ | 2,646,000 | |
4.38% | | | 12/15/20 | | | | 1,000,000 | | | | 1,013,750 | |
| Berry Global, Inc. | | | | | |
4.50% | | | 02/15/26 | 5 | | | 2,875,000 | | | | 2,738,437 | |
| Bombardier, Inc. (Canada) | | | | | |
6.13% | | | 01/15/23 | 2,5 | | | 1,147,000 | | | | 1,154,914 | |
| Clean Harbors, Inc. | | | | | |
5.13% | | | 06/01/21 | | | | 4,923,000 | | | | 4,947,615 | |
| Covanta Holding Corp. | | | | | |
5.88% | | | 07/01/25 | | | | 607,000 | | | | 614,587 | |
| Crown Americas LLC/Crown Americas Capital Corp. V | | | | | |
4.25% | | | 09/30/26 | | | | 1,532,000 | | | | 1,405,610 | |
| Graphic Packaging International LLC | | | | | |
4.88% | | | 11/15/22 | | | | 2,080,000 | | | | 2,095,600 | |
| Itron, Inc. | | | | | |
5.00% | | | 01/15/26 | 5 | | | 1,519,000 | | | | 1,462,037 | |
| KLX, Inc. | | | | | |
5.88% | | | 12/01/22 | 5 | | | 2,811,000 | | | | 2,910,791 | |
| Multi-Color Corp. | | | | | |
4.88% | | | 11/01/25 | 5 | | | 1,995,000 | | | | 1,870,313 | |
| OI European Group BV (Netherlands) | | | | | |
4.00% | | | 03/15/23 | 2,5 | | | 675,000 | | | | 642,937 | |
| Sealed Air Corp. | | | | | |
5.25% | | | 04/01/23 | 5 | | | 1,055,000 | | | | 1,078,737 | |
5.50% | | | 09/15/25 | 5 | | | 700,000 | | | | 712,250 | |
| Silgan Holdings, Inc. | | | | | |
4.75% | | | 03/15/25 | | | | 2,000,000 | | | | 1,927,500 | |
| Titan Acquisition Ltd./Titan Co-Borrower LLC (Canada) | | | | | |
7.75% | | | 04/15/26 | 2,5 | | | 1,775,000 | | | | 1,550,906 | |
| | | | | |
| |
| | | | 35,008,597 | |
| | | | | |
Information Technology — 2.66% | | | | | |
| CDK Global, Inc. | | | | | |
3.80% | | | 10/15/19 | | | | 2,823,000 | | | | 2,831,469 | |
| Change Healthcare Holdings LLC/Change Healthcare Finance, Inc. | | | | | |
5.75% | | | 03/01/25 | 5 | | | 1,352,000 | | | | 1,345,240 | |
| IQVIA, Inc. | | | | | |
5.00% | | | 10/15/26 | 5 | | | 1,891,000 | | | | 1,860,082 | |
| MSCI, Inc. | | | | | |
4.75% | | | 08/01/26 | 5 | | | 75,000 | | | | 74,625 | |
| NXP BV/NXP Funding LLC (Netherlands) | | | | | |
3.88% | | | 09/01/22 | 2,5 | | | 1,800,000 | | | | 1,778,112 | |
4.13% | | | 06/01/21 | 2,5 | | | 1,475,000 | | | | 1,477,095 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 49 / Semi-Annual Report September 2018 |
High Yield Bond Fund
Consolidated Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Information Technology (continued) | | | | | |
| Zayo Group LLC/Zayo Capital, Inc. | | | | | |
5.75% | | | 01/15/27 | 5 | | $ | 3,678,000 | | | $ | 3,687,195 | |
| | | | | | | | | | | | |
| |
| | | | 13,053,818 | |
| | | | | | | | | | | | |
Materials — 1.35% | | | | | |
| Axalta Coating Systems LLC | | | | | |
4.88% | | | 08/15/24 | 5 | | | 3,600,000 | | | | 3,546,000 | |
| Big River Steel LLC/BRS Finance Corp. | | | | | |
7.25% | | | 09/01/25 | 5 | | | 700,000 | | | | 741,125 | |
| Kissner Holdings LP/Kissner Milling Co. | | | | | |
| Ltd./BSC Holding, Inc./Kissner USA | | | | | |
| (Canada) | | | | | |
8.38% | | | 12/01/22 | 2,5 | | | 735,000 | | | | 757,050 | |
| Valvoline, Inc. | | | | | |
4.38% | | | 08/15/25 | | | | 1,690,000 | | | | 1,573,813 | |
| | | | | | | | | | | | |
| |
| | | | 6,617,988 | |
| | | | | | | | | | | | |
Real Estate Investment Trust (REIT) — 0.25% | |
| MGM Growth Properties Operating | | | | | |
| Partnership LP/MGP Finance Co.-Issuer, Inc. | | | | | |
4.50% | | | 01/15/28 | | | | 1,000,000 | | | | 920,100 | |
5.63% | | | 05/01/24 | | | | 300,000 | | | | 308,625 | |
| | | | | | | | | | | | |
| |
| | | | 1,228,725 | |
| | | | | | | | | | | | |
Retail — 1.55% | | | | | |
| Cumberland Farms, Inc. | | | | | |
6.75% | | | 05/01/25 | 5 | | | 1,280,000 | | | | 1,317,600 | |
| IRB Holding Corp. | | | | | |
6.75% | | | 02/15/26 | 5 | | | 975,000 | | | | 957,937 | |
| Nathan's Famous, Inc. | | | | | |
6.63% | | | 11/01/25 | 5 | | | 696,000 | | | | 698,610 | |
| Party City Holdings, Inc. | | | | | |
6.63% | | | 08/01/26 | 5 | | | 912,000 | | | | 925,680 | |
| Rite Aid Corp. | | | | | |
6.13% | | | 04/01/23 | 5 | | | 4,108,000 | | | | 3,702,335 | |
| | | | | | | | | | | | |
| |
| | | | 7,602,162 | |
| | | | | | | | | | | | |
Services — 2.80% | | | | | |
| Gartner, Inc. | | | | | |
5.13% | | | 04/01/25 | 5 | | | 160,000 | | | | 161,506 | |
| GFL Environmental, Inc. (Canada) | | | | | |
5.38% | | | 03/01/23 | 2,5 | | | 1,700,000 | | | | 1,602,250 | |
| IHS Markit Ltd. (Bermuda) | | | | | |
4.00% | | | 03/01/26 | 2,5 | | | 3,559,000 | | | | 3,414,416 | |
4.75% | | | 02/15/25 | 2,5 | | | 455,000 | | | | 462,749 | |
| Matthews International Corp. | | | | | |
5.25% | | | 12/01/25 | 5 | | | 1,972,000 | | | | 1,922,700 | |
| Service Corp. International/U.S. | | | | | |
4.50% | | | 11/15/20 | | | | 2,480,000 | | | | 2,489,300 | |
4.63% | | | 12/15/27 | | | | 1,825,000 | | | | 1,756,216 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Services (continued) | | | | | | | | | |
| Waste Pro USA, Inc. | | | | | |
5.50% | | | 02/15/26 | 5 | | $ | 1,945,000 | | | $ | 1,906,100 | |
| | | | | | | | | | | | |
| |
| | | | 13,715,237 | |
| | | | | | | | | | | | |
Transportation — 3.87% | | | | | |
| American Airlines Pass-Through Trust, | | | | | |
| Series 2013-1, Class B | | | | | |
5.63% | | | 01/15/21 | 5 | | | 4,205,370 | | | | 4,264,365 | |
| Avolon Holdings Funding Ltd. (Cayman Islands) | | | | | |
5.13% | | | 10/01/23 | 2,5 | | | 1,450,000 | | | | 1,469,256 | |
Continental Airlines Pass-Through Trust, Series 2007-1, Class B | | | | | |
6.90% | | | 04/19/22 | | | | 1,340,844 | | | | 1,379,460 | |
Delta Air Lines Pass-Through Trust, Series 2002-1, Class G1 | | | | | |
6.72% | | | 01/02/23 | | | | 7,595,764 | | | | 8,060,062 | |
U.S. Airways Pass-Through Trust, Series 2010-1, Class A | | | | | |
6.25% | | | 04/22/23 | | | | 1,370,216 | | | | 1,465,743 | |
U.S. Airways Pass-Through Trust, Series 2012-1, Class A | | | | | |
5.90% | | | 10/01/24 | | | | 2,212,266 | | | | 2,359,897 | |
| | | | | | | | | | | | |
| |
| | | | 18,998,783 | |
| | | | | | | | | | | | |
Total Corporates (Cost $358,960,113) | | | | 359,064,853 | |
| | | | | | | | | | | | |
| |
MORTGAGE-BACKED — 0.05%** | | | | | |
Non-Agency Mortgage-Backed — 0.05% | | | | | |
Countrywide Asset-Backed Certificates, Series 2007-13, Class 2A1 | | | | | |
| (LIBOR USD 1-Month plus 0.90%) | | | | | |
3.12% | | | 10/25/47 | 1 | | | 254,928 | | | | 253,151 | |
| | | | | | | | | | | | |
| |
Total Mortgage-Backed (Cost $191,547) | | | | | |
Total Bonds – 88.78% (Cost $434,832,391) | | | | 435,264,787 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | | |
| Issues | | | | | Shares | | | Value | |
COMMON STOCK — 0.94% | | | | | |
Electric — 0.87% | | | | | |
| Homer City Holdings LLC3,4,5,7 | | | | 502,908 | | | | 4,274,718 | |
| | | | | | | | | | | | |
| |
Energy — 0.04% | | | | | |
| Sabine Oil & Gas Holdings, Inc.3,4,5,7 | | | | 3,520 | | | | 179,520 | |
| | | | | | | | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2018 / 50 |
High Yield Bond Fund
Consolidated Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | | | | Shares | | | Value | |
COMMON STOCK (continued) | | | | | |
Secured Assets — 0.03% | | | | | |
Entegra TC LLC3,4,7,8 | | | | 28,545 | | | $ | 171,270 | |
| | | | | | | | | | | | |
| |
Total Common Stock (Cost $30,886,763) | | | | 4,625,508 | |
| | | | | | | | | | | | |
| |
WARRANT — 0.02% | | | | | |
Energy — 0.02% | | | | | |
Sabine Oil & Gas Holdings, Inc. Warrant Tranche 13,4,5,7 | | | | 11,165 | | | | 72,573 | |
Sabine Oil & Gas Holdings, Inc. Warrant Tranche 23,4,7 | | | | 1,988 | | | | 10,934 | |
| | | | | | | | | | | | |
| |
| | | | 83,507 | |
| | | | | | | | | | | | |
Total Warrant (Cost $2,595,507) | | | | | |
| |
| | | | | |
| Issues | | Maturity
Date | | | Principal
Amount/
Shares | | | Value | |
SHORT-TERM INVESTMENTS — 12.26% | | | | | |
Money Market Funds — 4.36% | | | | | |
Morgan Stanley Institutional Liquidity | | | | | |
Funds-Government Portfolio | | | | | |
2.04%9 | | | | 21,372,000 | | | | 21,372,000 | |
| | | | | | | | | | | | |
| |
U.S. Agency Discount Notes — 0.83% | | | | | |
Federal Home Loan Bank | | | | | |
0.79%10 | | | 10/03/18 | | | $ | 4,100,000 | | | | 4,099,523 | |
| | | | | | | | | | | | |
| |
U.S. Treasury Bills — 7.07% | | | | | |
| U.S. Treasury Bills | | | | | |
2.04%10 | | | 01/03/19 | | | | 14,500,000 | | | | 14,417,842 | |
2.05%10,11 | | | 12/13/18 | | | | 680,000 | | | | 677,075 | |
2.16%10 | | | 01/24/19 | | | | 5,000,000 | | | | 4,964,861 | |
2.19%10 | | | 01/31/19 | | | | 14,700,000 | | | | 14,589,469 | |
| | | | | | | | | | | | |
| |
| | | | 34,649,247 | |
| | | | | | | | | | | | |
Total Short-Term Investments (Cost $60,124,895) | | | | 60,120,770 | |
| | | | | | | | | | | | |
| |
Total Investments – 102.00% | | | | | |
(Cost $528,439,556) | | | | 500,094,572 | |
| | | | | | | | | | | | |
| |
Liabilities in Excess of Other
Assets – (2.00)% | | | | (9,822,976 | ) |
| | | | | | | | | | | | |
| |
Net Assets – 100.00% | | | $ | 490,271,596 | |
| | | | | | | | | | | | |
| 1 | Floating rate security. The rate disclosed was in effect at September 30, 2018. |
| 2 | U.S. dollar-denominated security issued by foreign-domiciled entity. |
| 3 | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
| 4 | Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $6,481,324, which is 1.32% of total net assets. |
| 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 | Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer. 8.50% cash or 9.25% payment-in-kind interest. |
| 7 | Non-income producing security. |
| 8 | All or a portion of this security is owned by Metropolitan West HY Sub I LLC, a consolidated subsidiary. |
| 9 | Represents the current yield as of September 30, 2018. |
| 10 | Represents annualized yield at date of purchase. |
| 11 | Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $677,056. |
| * | 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.
(LIBOR): London InterBank Offer Rate
(PIK): Payment In Kind
(USD): U.S. dollar
See accompanying notes to Schedule of Portfolio Investments.
|
| 51 / Semi-Annual Report September 2018 |
High Yield Bond Fund
Consolidated Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | | | | | | | | |
| Description | | Number of Contracts | | Expiration Date | | Notional Amount | | Value | | Unrealized Appreciation
(Depreciation) |
FUTURES CONTRACTS: LONG POSITIONS | | | | | | | | | | | | | | | | | | | |
U.S. Treasury Five Year Note | | 705 | | 12/31/18 | | | $ | 79,295,977 | | | | $ | (364,802 | ) | | | $ | (364,802 | ) |
U.S. Treasury Two Year Note | | 175 | | 12/31/18 | | | | 36,878,516 | | | | | (121,595 | ) | | | | (121,595 | ) |
| | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | $ | 116,174,493 | | | | $ | (486,397 | ) | | | $ | (486,397 | ) |
| | | | | | | | | | | | | | | | | | | |
FUTURES CONTRACTS: SHORT POSITIONS | | | | | | | | | | | | | | | | | | | |
U.S. Treasury Ten Year Ultra Bond | | 49 | | 12/19/18 | | | | 6,174,000 | | | | | 70,123 | | | | | 70,123 | |
| | | | | | | | | | | | | | | | | | | |
| | | | | |
TOTAL FUTURES CONTRACTS | | | | | | | $ | 122,348,493 | | | | $ | (416,274 | ) | | | $ | (416,274 | ) |
| | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Reference Obligation/Index | | Financing Rate
Paid by the Fund | | Payment
Frequency | | Counterparty | | Expiration
Date | | Notional
Amounta | | Value | | Premiums
Paid | | Unrealized
(Depreciation) |
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES OTC | | | | | | | | | | | |
Arconic, Inc., 5.72%, due 02/23/19 | | 1.00% | | 3 Months | | |
| Goldman Sachs
International |
| | 03/20/19 | | | $ | 9,750,000 | | | | $ | (37,801 | ) | | | $ | 30,483 | | | | $ | (68,284 | ) |
Arconic, Inc., 5.72%, due 02/23/19 | | 1.00% | | 3 Months | | |
| Morgan Stanley
Capital Services LLC |
| | 03/20/19 | | | | 5,000,000 | | | | | (19,385 | ) | | | | 19,097 | | | | | (38,482 | ) |
Teck Resources Ltd., 3.75%, due 02/01/23 | | 1.00% | | 3 Months | | |
| Morgan Stanley
Capital Services LLC |
| | 03/20/19 | | | | 5,000,000 | | | | | (23,002 | ) | | | | 16,865 | | | | | (39,867 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
TOTAL | | | | | | | | | | | | | | | | | | | $ | (80,188 | ) | | | $ | 66,445 | | | | $ | (146,633 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| a | The maximum potential payment the Fund could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of the swap agreement. |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2018 / 52 |
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity Date | | | Principal Amount | | | Value | |
BONDS – 96.35% | |
ASSET-BACKED SECURITIES — 7.79%** | |
Academic Loan Funding Trust, Series 2012-1A, Class A2 | | | | | |
| (LIBOR USD 1-Month plus 1.10%) | | | | | |
3.32% | | | 12/27/44 | 1,2 | | $ | 869,705 | | | $ | 877,186 | |
Barings CLO Ltd., Series 2013-IA, Class AR (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 0.80%) | | | | | |
3.15% | | | 01/20/28 | 1,2,3 | | | 1,315,000 | | | | 1,310,224 | |
Bayview Commercial Asset Trust, Series 2004-3, Class A1 | | | | | |
| (LIBOR USD 1-Month plus 0.56%) | | | | | |
2.77% | | | 01/25/35 | 1,2 | | | 504,302 | | | | 498,886 | |
Brazos Higher Education Authority, Inc., Series 2005-3, Class A16 | | | | | |
| (LIBOR USD 3-Month plus 0.20%) | | | | | |
2.57% | | | 06/25/26 | 1 | | | 180,952 | | | | 179,143 | |
Brazos Higher Education Authority, Inc., Series 2010-1, Class A2 | | | | | |
| (LIBOR USD 3-Month plus 1.20%) | | | | | |
3.51% | | | 02/25/35 | 1 | | | 650,000 | | | | 667,983 | |
Brazos Higher Education Authority, Inc., Series 2011-2, Class A3 | | | | | |
| (LIBOR USD 3-Month plus 1.00%) | | | | | |
3.34% | | | 10/27/36 | 1 | | | 930,000 | | | | 945,964 | |
CIT Education Loan Trust, Series 2007-1, Class A | | | | | |
| (LIBOR USD 3-Month plus 0.09%) | | | | | |
2.46% | | | 03/25/42 | 1,2 | | | 301,831 | | | | 294,183 | |
Educational Funding of the South, Inc., Series 2011-1, Class A2 | | | | | |
| (LIBOR USD 3-Month plus 0.65%) | | | | | |
2.99% | | | 04/25/35 | 1 | | | 344,466 | | | | 345,040 | |
GCO Education Loan Funding Trust, Series 2006-2AR, Class A1RN | | | | | |
| (LIBOR USD 1-Month plus 0.65%) | | | | | |
2.87% | | | 08/27/46 | 1,2 | | | 810,462 | | | | 799,572 | |
| Global SC Finance II SRL, Series 2014-1A, | | | | | |
| Class A2 (Barbados) | | | | | |
3.09% | | | 07/17/29 | 2,3 | | | 977,083 | | | | 947,077 | |
| Higher Education Funding I, Series 2014-1, Class A | |
| (LIBOR USD 3-Month plus 1.05%) | | | | | |
3.36% | | | 05/25/34 | 1,2 | | | 1,190,952 | | | | 1,199,176 | |
J.G. Wentworth XXX LLC, Series 2013-3A, Class A | | | | | |
4.08% | | | 01/17/73 | 2 | | | 486,611 | | | | 490,036 | |
J.G. Wentworth XXXII LLC, Series 2014-2A, Class A | | | | | |
3.61% | | | 01/17/73 | 2 | | | 895,274 | | | | 858,207 | |
| LCM XX LP, Series 20A, Class AR (Cayman Islands) | |
| (LIBOR USD 3-Month plus 1.04%) | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity Date | | | Principal Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | |
3.38% | | | 10/20/27 | 1,2,3,† | | $ | 1,700,000 | | | $ | 1,700,001 | |
Magnetite XI Ltd., Series 2014-11A, Class A1R (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 1.12%) | | | | | |
3.45% | | | 01/18/27 | 1,2,3 | | | 2,400,000 | | | | 2,400,260 | |
| Navient Student Loan Trust, Series 2014-1, Class A3 | | | | | |
| (LIBOR USD 1-Month plus 0.51%) | | | | | |
2.73% | | | 06/25/31 | 1 | | | 2,549,134 | | | | 2,555,932 | |
| Navient Student Loan Trust, Series 2014-3, Class A | | | | | |
| (LIBOR USD 1-Month plus 0.62%) | | | | | |
2.84% | | | 03/25/83 | 1 | | | 1,999,643 | | | | 1,993,094 | |
| Navient Student Loan Trust, Series 2014-4, Class A | | | | | |
| (LIBOR USD 1-Month plus 0.62%) | | | | | |
2.84% | | | 03/25/83 | 1 | | | 1,849,179 | | | | 1,842,382 | |
| Navient Student Loan Trust, Series 2014-8, Class A3 | | | | | |
| (LIBOR USD 1-Month plus 0.60%) | | | | | |
2.82% | | | 05/27/49 | 1 | | | 4,710,000 | | | | 4,734,310 | |
| Navient Student Loan Trust, Series 2016-2A, Class A3 | | | | | |
| (LIBOR USD 1-Month plus 1.50%) | | | | | |
3.72% | | | 06/25/65 | 1,2 | | | 1,640,000 | | | | 1,712,075 | |
| Nelnet Student Loan Trust, Series 2011-1A, Class A | | | | | |
| (LIBOR USD 1-Month plus 0.85%) | | | | | |
3.07% | | | 02/25/48 | 1,2 | | | 1,172,893 | | | | 1,184,030 | |
| Nelnet Student Loan Trust, Series 2014-4A, Class A2 | | | | | |
| (LIBOR USD 1-Month plus 0.95%) | | | | | |
3.17% | | | 11/25/48 | 1,2 | | | 1,370,000 | | | | 1,380,527 | |
| Nelnet Student Loan Trust, Series 2015-2A, Class A2 | | | | | |
| (LIBOR USD 1-Month plus 0.60%) | | | | | |
2.82% | | | 09/25/47 | 1,2 | | | 3,313,635 | | | | 3,311,742 | |
| SLC Student Loan Trust, Series 2004-1, Class B | | | | | |
| (LIBOR USD 3-Month plus 0.29%) | | | | | |
2.60% | | | 08/15/31 | 1 | | | 178,474 | | | | 169,023 | |
| SLC Student Loan Trust, Series 2008-1, Class A4A | | | | | |
| (LIBOR USD 3-Month plus 1.60%) | | | | | |
3.93% | | | 12/15/32 | 1 | | | 409,005 | | | | 425,252 | |
| SLM Student Loan Trust, Series 2003-10A, Class A3 | | | | | |
| (LIBOR USD 3-Month plus 0.47%) | | | | | |
2.80% | | | 12/15/27 | 1,2 | | | 1,763,491 | | | | 1,771,210 | |
| SLM Student Loan Trust, Series 2004-2, Class B | | | | | |
| (LIBOR USD 3-Month plus 0.47%) | | | | | |
2.81% | | | 07/25/39 | 1 | | | 212,001 | | | | 203,075 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| 53 / Semi-Annual Report September 2018 |
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity Date | | | Principal Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | |
| SLM Student Loan Trust, Series 2006-8, Class A6 | | | | | |
| (LIBOR USD 3-Month plus 0.16%) | | | | | |
2.50% | | | 01/25/41 | 1 | | $ | 925,000 | | | $ | 898,896 | |
| SLM Student Loan Trust, Series 2008-2, Class B | | | | | |
| (LIBOR USD 3-Month plus 1.20%) | | | | | |
3.54% | | | 01/25/83 | 1 | | | 160,000 | | | | 154,412 | |
| SLM Student Loan Trust, Series 2008-3, Class B | | | | | |
| (LIBOR USD 3-Month plus 1.20%) | | | | | |
3.54% | | | 04/26/83 | 1 | | | 160,000 | | | | 156,935 | |
| SLM Student Loan Trust, Series 2008-4, Class B | | | | | |
| (LIBOR USD 3-Month plus 1.85%) | | | | | |
4.19% | | | 04/25/73 | 1 | | | 160,000 | | | | 164,951 | |
| SLM Student Loan Trust, Series 2008-5, Class B | | | | | |
| (LIBOR USD 3-Month plus 1.85%) | | | | | |
4.19% | | | 07/25/73 | 1 | | | 2,210,000 | | | | 2,268,811 | |
| SLM Student Loan Trust, Series 2008-6, Class A4 | | | | | |
| (LIBOR USD 3-Month plus 1.10%) | | | | | |
3.44% | | | 07/25/23 | 1 | | | 2,518,797 | | | | 2,533,213 | |
| SLM Student Loan Trust, Series 2008-6, Class B | | | | | |
| (LIBOR USD 3-Month plus 1.85%) | | | | | |
4.19% | | | 07/26/83 | 1 | | | 160,000 | | | | 163,934 | |
| SLM Student Loan Trust, Series 2008-7, Class B | | | | | |
| (LIBOR USD 3-Month plus 1.85%) | | | | | |
4.19% | | | 07/26/83 | 1 | | | 160,000 | | | | 163,277 | |
| SLM Student Loan Trust, Series 2008-8, Class B | | | | | |
| (LIBOR USD 3-Month plus 2.25%) | | | | | |
4.59% | | | 10/25/75 | 1 | | | 160,000 | | | | 168,098 | |
| SLM Student Loan Trust, Series 2008-9, Class A | | | | | |
| (LIBOR USD 3-Month plus 1.50%) | | | | | |
3.84% | | | 04/25/23 | 1 | | | 1,666,523 | | | | 1,703,113 | |
| SLM Student Loan Trust, Series 2008-9, Class B | | | | | |
| (LIBOR USD 3-Month plus 2.25%) | | | | | |
4.59% | | | 10/25/83 | 1 | | | 1,860,000 | | | | 1,938,287 | |
| SLM Student Loan Trust, Series 2009-3, Class A | | | | | |
| (LIBOR USD 1-Month plus 0.75%) | | | | | |
2.97% | | | 01/25/45 | 1,2 | | | 3,927,952 | | | | 3,962,259 | |
| SLM Student Loan Trust, Series 2011-2, Class A2 | | | | | |
| (LIBOR USD 1-Month plus 1.20%) | | | | | |
3.42% | | | 10/25/34 | 1 | | | 500,000 | | | | 515,191 | |
| | | | | | | | | | | | |
| Issues | | Maturity Date | | | Principal Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | |
| SLM Student Loan Trust, Series 2012-3, Class A | | | | | |
| (LIBOR USD 1-Month plus 0.65%) | | | | | |
2.87% | | | 12/27/38 | 1 | | $ | 1,391,333 | | | $ | 1,400,088 | |
| SLM Student Loan Trust, Series 2012-7, Class A3 | | | | | |
| (LIBOR USD 1-Month plus 0.65%) | | | | | |
2.87% | | | 05/26/26 | 1 | | | 729,388 | | | | 722,818 | |
Structured Receivables Finance LLC, Series 2010-A, Class B | | | | | |
7.61% | | | 01/16/46 | 2,† | | | 572,094 | | | | 637,865 | |
Student Loan Consolidation Center Student Loan Trust I, Series 2002-2, Class B2 | | | | | |
| (28 Day Auction Rate plus 0.00%)0 | | | | | |
1.61% | | | 07/01/42 | 1,2 | | | 650,000 | | | | 518,334 | |
| | | | | | | | | | | | |
| |
Total Asset-Backed Securities | | | | | |
| (Cost $52,403,314) | | | | | | | | 52,866,072 | |
| | | | | | | | | | | | |
|
BANK LOANS — 0.64%* | |
Communications — 0.07% | |
Intelsat Jackson Holdings SA, Term Loan B5, 1st Lien (Luxembourg) | | | | | |
6.63% | | | 01/02/24 | 3 | | | 225,000 | | | | 235,069 | |
| Lamar Media Corp., Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 1.75%) | | | | | |
3.94% | | | 03/14/25 | 1 | | | 199,000 | | | | 200,161 | |
| Sprint Communications, Inc., Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 2.50%) | | | | | |
4.75% | | | 02/02/24 | 1 | | | 54,861 | | | | 55,066 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 490,296 | |
| | | | | | | | | | | | |
Consumer Discretionary — 0.07% | |
| Reynolds Group Holdings, Inc., Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 2.75%) | | | | | |
4.99% | | | 02/05/23 | 1 | | | 441,020 | | | | 443,500 | |
| | | | | | | | | | | | |
|
Energy — 0.02% | |
| Vistra Operations Co., LLC, Term Loan B1, 1st Lien | | | | | |
| (LIBOR plus 2.00%) | | | | | |
4.24% | | | 08/04/23 | 1 | | | 120,731 | | | | 121,033 | |
| | | | | | | | | | | | |
|
Finance — 0.29% | |
| Delos Finance SARL, Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 1.75%) | | | | | |
4.14% | | | 10/06/23 | 1 | | | 1,980,136 | | | | 1,990,037 | |
| | | | | | | | | | | | |
|
Gaming — 0.01% | |
| Churchill Downs, Inc., Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 2.00%) | | | | | |
4.25% | | | 12/27/24 | 1 | | | 54,862 | | | | 55,051 | |
| | | | | | | | | | | | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| Semi-Annual Report September 2018 / 54 |
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity Date | | | Principal Amount | | | Value | |
BANK LOANS (continued) | |
Health Care — 0.00% | |
| Kindred At Home, Term Loan, 1st Lien | | | | | |
| (LIBOR plus 3.75%) | | | | | |
6.00% | | | 07/02/25 | 1 | | $ | 30,000 | | | $ | 30,394 | |
| | | | | | | | | | | | |
|
Industrials — 0.04% | |
| Tyco International Holdings SARL, Term Loan | | | | | |
| (LIBOR plus 1.25%) | | | | | |
3.62% | | | 03/02/20 | 1,4,5 | | | 291,200 | | | | 290,928 | |
| | | | | | | | | | | | |
|
Information Technology — 0.14% | |
| Dell International LLC, Term Loan A3, 1st Lien | | | | | |
| (LIBOR plus 1.50%) | | | | | |
3.75% | | | 12/31/18 | 1 | | | 611,173 | | | | 612,224 | |
| SS&C Technologies, Inc., Term Loan B3, 1st Lien | | | | | |
| (LIBOR plus 2.25%) | | | | | |
4.49% | | | 04/16/25 | 1 | | | 220,577 | | | | 221,060 | |
SS&C Technology Holdings Europe SARL, Term Loan B4, 1st Lien | | | | | |
| (LIBOR plus 2.25%) | | | | | |
4.49% | | | 04/16/25 | 1 | | | 85,621 | | | | 85,808 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 919,092 | |
| | | | | | | | | | | | |
| |
Total Bank Loans | | | | | |
| (Cost $4,313,911) | | | | | | | | 4,340,331 | |
| | | | | | | | | | | | |
|
CORPORATES — 39.66%* | |
Automotive — 0.16% | |
| General Motors Co. | | | | | |
4.88% | | | 10/02/23 | | | | 1,035,000 | | | | 1,060,841 | |
| | | | | | | | | | | | |
| | | |
Banking — 7.42% | | | | | | | | | | | | |
Bank of America Corp. | | | | | |
2.74% | | | 01/23/22 | 6 | | | 2,130,000 | | | | 2,095,400 | |
3.00% | | | 12/20/23 | 6 | | | 671,000 | | | | 651,544 | |
3.71% | | | 04/24/28 | 6 | | | 740,000 | | | | 711,778 | |
Bank of America Corp. (GMTN) | | | | | |
2.37% | | | 07/21/21 | 6 | | | 1,960,000 | | | | 1,925,870 | |
3.59% | | | 07/21/28 | 6 | | | 535,000 | | | | 510,123 | |
Bank of America Corp. (MTN) | | | | | |
3.09% | | | 10/01/25 | 6 | | | 2,195,000 | | | | 2,092,693 | |
4.13% | | | 01/22/24 | | | | 1,170,000 | | | | 1,189,529 | |
4.27% | | | 07/23/29 | 6 | | | 1,000,000 | | | | 998,393 | |
Bank of America Corp., Series L | | | | | |
2.60% | | | 01/15/19 | | | | 115,000 | | | | 114,987 | |
Bank of New York Mellon Corp. (The) (MTN) | | | | | |
2.50% | | | 04/15/21 | | | | 1,284,000 | | | | 1,261,810 | |
2.60% | | | 02/07/22 | | | | 775,000 | | | | 756,121 | |
Capital One Bank USA N.A. (BKNT) | | | | | |
2.15% | | | 11/21/18 | | | | 1,950,000 | | | | 1,949,323 | |
| | | | | | | | | | | | |
| Issues | | Maturity Date | | | Principal Amount | | | Value | |
CORPORATES (continued) | |
Banking (continued) | |
| JPMorgan Chase & Co. | | | | | |
2.55% | | | 10/29/20 | | | $ | 4,440,000 | | | $ | 4,377,625 | |
3.22% | | | 03/01/25 | 6 | | | 2,395,000 | | | | 2,317,609 | |
| JPMorgan Chase Bank N.A. | | | | | |
2.60% | | | 02/01/21 | 6 | | | 3,245,000 | | | | 3,221,358 | |
| JPMorgan Chase Bank N.A. (BKNT) | | | | | |
| (LIBOR USD 3-Month plus 0.25%) | | | | | |
2.59% | | | 02/13/20 | 1 | | | 3,055,000 | | | | 3,056,819 | |
| Lloyds Banking Group PLC | | | | | |
| (United Kingdom) | | | | | |
2.91% | | | 11/07/23 | 3,6 | | | 875,000 | | | | 835,197 | |
| PNC Bank N.A. (BKNT) | | | | | |
1.70% | | | 12/07/18 | | | | 2,385,000 | | | | 2,381,964 | |
| Santander UK Group Holdings PLC | | | | | |
| (United Kingdom) | | | | | |
2.88% | | | 10/16/20 | 3 | | | 1,015,000 | | | | 1,003,047 | |
| Santander UK PLC (United Kingdom) | | | | | |
2.50% | | | 03/14/19 | 3 | | | 780,000 | | | | 779,632 | |
3.40% | | | 06/01/21 | 3 | | | 2,015,000 | | | | 2,007,863 | |
| UBS AG/London (Switzerland) | | | | | |
| (LIBOR USD 3-Month plus 0.32%) | | | | | |
2.63% | | | 05/28/19 | 1,2,3 | | | 2,340,000 | | | | 2,344,868 | |
| US Bank N.A. (BKNT) | | | | | |
3.40% | | | 07/24/23 | | | | 1,845,000 | | | | 1,837,348 | |
| Wells Fargo & Co. | | | | | |
3.00% | | | 04/22/26 | | | | 780,000 | | | | 724,213 | |
3.00% | | | 10/23/26 | | | | 2,145,000 | | | | 1,992,553 | |
| Wells Fargo & Co. (MTN) | | | | | |
3.30% | | | 09/09/24 | | | | 3,635,000 | | | | 3,528,577 | |
| Wells Fargo Bank N.A. (BKNT) | | | | | |
2.40% | | | 01/15/20 | | | | 3,900,000 | | | | 3,870,124 | |
3.33% | | | 07/23/21 | 6 | | | 1,855,000 | | | | 1,853,317 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 50,389,685 | |
| | | | | | | | | | | | |
Communications — 2.59% | |
| AT&T, Inc. | | | | | |
3.40% | | | 05/15/25 | | | | 1,950,000 | | | | 1,858,362 | |
3.80% | | | 03/15/22 | | | | 1,170,000 | | | | 1,175,082 | |
| CCO Holdings LLC/CCO Holdings Capital Corp. | | | | | |
5.00% | | | 02/01/28 | 2 | | | 500,000 | | | | 471,875 | |
| Charter Communications Operating | | | | | |
| LLC/Charter Communications Operating Capital | | | | | |
3.75% | | | 02/15/28 | | | | 550,000 | | | | 507,445 | |
4.50% | | | 02/01/24 | | | | 2,180,000 | | | | 2,195,755 | |
| Clear Channel International BV | | | | | |
| (Netherlands) | | | | | |
8.75% | | | 12/15/20 | 2,3 | | | 142,000 | | | | 146,970 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| 55 / Semi-Annual Report September 2018 |
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity Date | | | Principal Amount | | | Value | |
CORPORATES (continued) | |
Communications (continued) | |
| CSC Holdings LLC | | | | | |
5.38% | | | 02/01/28 | 2 | | $ | 500,000 | | | $ | 477,500 | |
| Intelsat Jackson Holdings SA (Luxembourg) | | | | | |
8.50% | | | 10/15/24 | 2,3 | | | 49,000 | | | | 49,398 | |
9.75% | | | 07/15/25 | 2,3 | | | 350,000 | | | | 371,437 | |
| Sprint Communications, Inc. | | | | | |
9.00% | | | 11/15/18 | 2 | | | 97,000 | | | | 97,849 | |
| Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC | | | | | |
3.36% | | | 09/20/21 | 2 | | | 2,015,250 | | | | 2,015,250 | |
4.74% | | | 03/20/25 | 2 | | | 780,000 | | | | 781,599 | |
| T-Mobile USA, Inc. | | | | | |
4.50% | | | 02/01/26 | | | | 172,000 | | | | 163,615 | |
| Verizon Communications, Inc. | | | | | |
2.95% | | | 03/15/22 | | | | 1,105,000 | | | | 1,088,340 | |
3.38% | | | 02/15/25 | | | | 485,000 | | | | 471,446 | |
3.50% | | | 11/01/24 | | | | 1,808,000 | | | | 1,776,531 | |
4.33% | | | 09/21/28 | 2 | | | 468,000 | | | | 470,869 | |
| Vodafone Group PLC (United Kingdom) | | | | | |
4.38% | | | 05/30/28 | 3 | | | 750,000 | | | | 740,361 | |
| Warner Media LLC | | | | | |
3.55% | | | 06/01/24 | | | | 975,000 | | | | 946,225 | |
3.88% | | | 01/15/26 | | | | 1,835,000 | | | | 1,783,360 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 17,589,269 | |
| | | | | | | | | | | | |
Consumer Discretionary — 1.02% | |
| Anheuser-Busch InBev Finance, Inc. | | | | | |
3.65% | | | 02/01/26 | | | | 1,910,000 | | | | 1,858,265 | |
| BAT Capital Corp. | | | | | |
2.76% | | | 08/15/22 | 2 | | | 875,000 | | | | 843,862 | |
| Central Garden & Pet Co. | | | | | |
5.13% | | | 02/01/28 | | | | 278,000 | | | | 265,490 | |
| Constellation Brands, Inc. | | | | | |
2.00% | | | 11/07/19 | | | | 1,950,000 | | | | 1,928,230 | |
| First Quality Finance Co., Inc. | | | | | |
5.00% | | | 07/01/25 | 2 | | | 171,000 | | | | 160,313 | |
| Reckitt Benckiser Treasury Services PLC | | | | | |
| (United Kingdom) | | | | | |
2.75% | | | 06/26/24 | 2,3 | | | 1,950,000 | | | | 1,849,888 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 6,906,048 | |
| | | | | | | | | | | | |
Electric — 3.22% | |
| AEP Texas, Inc. | | | | | |
3.85% | | | 10/01/25 | 2 | | | 1,405,000 | | | | 1,397,281 | |
| Black Hills Corp. | | | | | |
2.50% | | | 01/11/19 | | | | 1,960,000 | | | | 1,957,877 | |
| Duquesne Light Holdings, Inc. | | | | | |
5.90% | | | 12/01/21 | 2 | | | 485,000 | | | | 509,393 | |
6.40% | | | 09/15/20 | 2 | | | 1,843,000 | | | | 1,930,651 | |
| | | | | | | | | | | | |
| Issues | | Maturity Date | | | Principal Amount | | | Value | |
CORPORATES (continued) | |
Electric (continued) | |
| Entergy Corp. | | | | | |
4.00% | | | 07/15/22 | | | $ | 1,170,000 | | | $ | 1,184,535 | |
| Entergy Mississippi, Inc. | | | | | |
3.10% | | | 07/01/23 | | | | 1,755,000 | | | | 1,705,417 | |
| Kansas City Power & Light Co. | | | | | |
3.65% | | | 08/15/25 | | | | 780,000 | | | | 764,149 | |
| KCP&L Greater Missouri Operations Co. | | | | | |
8.27% | | | 11/15/21 | | | | 1,775,000 | | | | 1,980,841 | |
| Metropolitan Edison Co. | | | | | |
4.00% | | | 04/15/25 | 2 | | | 770,000 | | | | 764,215 | |
7.70% | | | 01/15/19 | | | | 390,000 | | | | 395,210 | |
| Nevada Power Co. | | | | | |
7.13% | | | 03/15/19 | | | | 1,560,000 | | | | 1,592,075 | |
| NextEra Energy Capital Holdings, Inc. | | | | | |
| (LIBOR USD 3-Month plus 0.55%) | | | | | |
2.86% | | | 08/28/21 | 1 | | | 2,000,000 | | | | 2,000,315 | |
| NextEra Energy Operating Partners LP | | | | | |
4.50% | | | 09/15/27 | 2 | | | 271,000 | | | | 260,837 | |
| Public Service Co. of New Mexico | | | | | |
3.85% | | | 08/01/25 | | | | 1,405,000 | | | | 1,394,062 | |
| Southwestern Electric Power Co. | | | | | |
3.55% | | | 02/15/22 | | | | 1,170,000 | | | | 1,173,633 | |
6.45% | | | 01/15/19 | | | | 864,000 | | | | 871,018 | |
| Texas-New Mexico Power Co. | | | | | |
9.50% | | | 04/01/19 | 2 | | | 1,405,000 | | | | 1,447,623 | |
| Tucson Electric Power Co. | | | | | |
3.85% | | | 03/15/23 | | | | 545,000 | | | | 543,568 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 21,872,700 | |
| | | | | | | | | | | | |
Energy — 2.18% | |
| Brooklyn Union Gas Co. (The) | | | | | |
3.41% | | | 03/10/26 | 2 | | | 3,120,000 | | | | 3,015,461 | |
| Canadian Natural Resources Ltd. (Canada) | | | | | |
3.85% | | | 06/01/27 | 3 | | | 345,000 | | | | 336,596 | |
| Enbridge Energy Partners LP | | | | | |
5.88% | | | 10/15/25 | | | | 975,000 | | | | 1,071,674 | |
| Energy Transfer Partners LP/Regency Energy Finance Corp. | | | | | |
5.00% | | | 10/01/22 | | | | 235,000 | | | | 243,548 | |
| Florida Gas Transmission Co. LLC | | | | | |
7.90% | | | 05/15/19 | 2 | | | 1,170,000 | | | | 1,204,218 | |
| NiSource, Inc. | | | | | |
2.65% | | | 11/17/22 | | | | 1,185,000 | | | | 1,129,132 | |
| Petroleos Mexicanos (Mexico) | | | | | |
2.00% | | | 12/20/22 | 3 | | | 1,350,000 | | | | 1,318,222 | |
| Plains All American Pipeline LP/PAA Finance Corp. | | | | | |
3.85% | | | 10/15/23 | | | | 235,000 | | | | 232,250 | |
4.65% | | | 10/15/25 | | | | 780,000 | | | | 791,138 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| Semi-Annual Report September 2018 / 56 |
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity Date | | | Principal Amount | | | Value | |
CORPORATES (continued) | |
Energy (continued) | |
| Ruby Pipeline LLC | | | | | |
6.00% | | | 04/01/22 | 2 | | $ | 871,591 | | | $ | 895,397 | |
| TC PipeLines LP | | | | | |
4.65% | | | 06/15/21 | | | | 2,010,000 | | | | 2,044,699 | |
| Texas Eastern Transmission LP | | | | | |
2.80% | | | 10/15/22 | 2 | | | 823,000 | | | | 790,542 | |
| Williams Cos., Inc. (The) | | | | | |
3.35% | | | 08/15/22 | | | | 585,000 | | | | 573,054 | |
3.60% | | | 03/15/22 | | | | 1,157,000 | | | | 1,150,396 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 14,796,327 | |
| | | | | | | | | | | | |
Finance — 6.92% | |
| Air Lease Corp. | | | | | |
2.13% | | | 01/15/20 | | | | 1,170,000 | | | | 1,151,937 | |
3.38% | | | 01/15/19 | | | | 780,000 | | | | 780,819 | |
| American Express Credit Corp. (MTN) | | | | | |
2.20% | | | 03/03/20 | | | | 3,800,000 | | | | 3,758,221 | |
| Citibank N.A. (BKNT) | | | | | |
3.40% | | | 07/23/21 | | | | 1,855,000 | | | | 1,855,416 | |
| Citigroup, Inc. | | | | | |
2.05% | | | 12/07/18 | | | | 2,730,000 | | | | 2,727,911 | |
| Durrah MSN 35603 (Cayman Islands) | | | | | |
1.68% | | | 01/22/25 | 3 | | | 3,620,226 | | | | 3,453,783 | |
| Ford Motor Credit Co. LLC | | | | | |
2.02% | | | 05/03/19 | | | | 1,560,000 | | | | 1,550,907 | |
2.43% | | | 06/12/20 | | | | 835,000 | | | | 818,412 | |
| General Motors Financial Co., Inc. | | | | | |
2.40% | | | 05/09/19 | | | | 1,560,000 | | | | 1,556,143 | |
| Goldman Sachs Group, Inc. (The) | | | | | |
2.55% | | | 10/23/19 | | | | 2,730,000 | | | | 2,719,099 | |
2.75% | | | 09/15/20 | | | | 1,275,000 | | | | 1,262,543 | |
3.27% | | | 09/29/25 | 6 | | | 1,320,000 | | | | 1,261,527 | |
3.69% | | | 06/05/28 | 6 | | | 950,000 | | | | 904,330 | |
| Goldman Sachs Group, Inc. (The) (MTN) | | | | | |
3.85% | | | 07/08/24 | | | | 2,165,000 | | | | 2,155,641 | |
| Morgan Stanley | | | | | |
| (LIBOR USD 3-Month plus 0.93%) | | | | | |
3.28% | | | 07/22/22 | 1 | | | 1,440,000 | | | | 1,452,960 | |
| Morgan Stanley, Series 3NC2 | | | | | |
| (LIBOR USD 3-Month plus 0.80%) | | | | | |
3.12% | | | 02/14/20 | 1 | | | 5,460,000 | | | | 5,473,183 | |
| Protective Life Global Funding | | | | | |
1.72% | | | 04/15/19 | 2 | | | 1,405,000 | | | | 1,397,542 | |
2.70% | | | 11/25/20 | 2 | | | 2,430,000 | | | | 2,393,870 | |
| Raymond James Financial, Inc. | | | | | |
5.63% | | | 04/01/24 | | | | 1,950,000 | | | | 2,106,546 | |
| Safina Ltd. (Cayman Islands) | | | | | |
2.00% | | | 12/30/23 | 3 | | | 6,404,687 | | | | 6,196,214 | |
| | | | | | | | | | | | |
| Issues | | Maturity Date | | | Principal Amount | | | Value | |
CORPORATES (continued) | |
Finance (continued) | |
| Sandalwood 2013 LLC | | | | | |
2.90% | | | 07/10/25 | | | $ | 2,071,063 | | | $ | 2,045,071 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 47,022,075 | |
| | | | | | | | | | | | |
Food — 0.87% | |
| General Mills, Inc. | | | | | |
4.20% | | | 04/17/28 | | | | 745,000 | | | | 735,029 | |
| Kraft Heinz Foods Co. | | | | | |
3.00% | | | 06/01/26 | | | | 780,000 | | | | 713,184 | |
3.95% | | | 07/15/25 | | | | 1,520,000 | | | | 1,500,057 | |
Mondelez International Holdings Netherlands BV (Netherlands) | | | | | |
1.63% | | | 10/28/19 | 2,3 | | | 3,005,000 | | | | 2,962,077 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 5,910,347 | |
| | | | | | | | | | | | |
Gaming — 0.21% | |
| GLP Capital LP/GLP Financing II, Inc. | | | | | |
5.25% | | | 06/01/25 | | | | 505,000 | | | | 514,469 | |
5.38% | | | 04/15/26 | | | | 873,000 | | | | 888,723 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 1,403,192 | |
| | | | | | | | | | | | |
Health Care — 4.78% | |
| AbbVie, Inc. | | | | | |
3.60% | | | 05/14/25 | | | | 1,747,000 | | | | 1,693,327 | |
| Allergan Finance LLC | | | | | |
3.25% | | | 10/01/22 | | | | 1,170,000 | | | | 1,148,703 | |
| Anthem, Inc. | | | | | |
3.13% | | | 05/15/22 | | | | 1,950,000 | | | | 1,920,912 | |
| Bausch Health Cos., Inc. (Canada) | | | | | |
5.88% | | | 05/15/23 | 2,3 | | | 771,000 | | | | 752,689 | |
| Baxalta, Inc. | | | | | |
2.88% | | | 06/23/20 | | | | 325,000 | | | | 322,440 | |
| Bayer U.S. Finance II LLC | | | | | |
4.38% | | | 12/15/28 | 2 | | | 1,500,000 | | | | 1,472,035 | |
| Bayer U.S. Finance LLC | | | | | |
2.38% | | | 10/08/19 | 2 | | | 780,000 | | | | 771,783 | |
| Baylor Scott & White Holdings | | | | | |
2.65% | | | 11/15/26 | | | | 1,805,000 | | | | 1,636,016 | |
| Becton Dickinson and Co. | | | | | |
2.89% | | | 06/06/22 | | | | 1,000,000 | | | | 968,650 | |
| Celgene Corp. | | | | | |
3.88% | | | 08/15/25 | | | | 1,950,000 | | | | 1,923,881 | |
| CHS/Community Health Systems, Inc. | | | | | |
8.63% | | | 01/15/24 | 2 | | | 90,000 | | | | 93,825 | |
| Cigna Corp. | | | | | |
3.05% | | | 10/15/27 | | | | 1,285,000 | | | | 1,161,213 | |
| CVS Health Corp. | | | | | |
4.00% | | | 12/05/23 | | | | 2,030,000 | | | | 2,036,305 | |
5.05% | | | 03/25/48 | | | | 1,090,000 | | | | 1,119,174 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| 57 / Semi-Annual Report September 2018 |
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity Date | | | Principal Amount | | | Value | |
CORPORATES (continued) | |
Health Care (continued) | |
| Elanco Animal Health, Inc. | | | | | |
3.91% | | | 08/27/21 | 2 | | $ | 1,000,000 | | | $ | 1,001,623 | |
| Eli Lilly & Co. | | | | | |
2.75% | | | 06/01/25 | | | | 430,000 | | | | 411,722 | |
| Fresenius Medical Care U.S. Finance II, Inc. | | | | | |
5.63% | | | 07/31/19 | 2 | | | 1,091,000 | | | | 1,112,796 | |
| Gilead Sciences, Inc. | | | | | |
3.50% | | | 02/01/25 | | | | 1,745,000 | | | | 1,715,840 | |
| Halfmoon Parent, Inc. | | | | | |
4.13% | | | 11/15/25 | 2 | | | 1,285,000 | | | | 1,283,299 | |
| HCA, Inc. | | | | | |
5.00% | | | 03/15/24 | | | | 714,000 | | | | 733,635 | |
5.25% | | | 04/15/25 | | | | 296,000 | | | | 305,990 | |
6.50% | | | 02/15/20 | | | | 695,000 | | | | 724,885 | |
| Hologic, Inc. | | | | | |
4.63% | | | 02/01/28 | 2 | | | 200,000 | | | | 188,250 | |
| Humana, Inc. | | | | | |
3.95% | | | 03/15/27 | | | | 1,035,000 | | | | 1,019,112 | |
| Kaiser Foundation Hospitals | | | | | |
3.15% | | | 05/01/27 | | | | 1,156,000 | | | | 1,109,850 | |
| RWJ Barnabas Health, Inc. | | | | | |
2.95% | | | 07/01/26 | | | | 3,420,000 | | | | 3,211,658 | |
| Shire Acquisitions Investments Ireland DAC | | | | | |
| (Ireland) | | | | | |
1.90% | | | 09/23/19 | 3 | | | 390,000 | | | | 385,922 | |
| Tenet Healthcare Corp. | | | | | |
4.38% | | | 10/01/21 | | | | 75,000 | | | | 74,625 | |
4.50% | | | 04/01/21 | | | | 514,000 | | | | 514,643 | |
| UnitedHealth Group, Inc. | | | | | |
3.75% | | | 07/15/25 | | | | 1,615,000 | | | | 1,624,128 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 32,438,931 | |
| | | | | | | | | | | | |
Industrials — 2.13% | |
| Amcor Finance USA, Inc. | | | | | |
3.63% | | | 04/28/26 | 2 | | | 1,950,000 | | | | 1,841,413 | |
| BAE Systems Holdings, Inc. | | | | | |
6.38% | | | 06/01/19 | 2 | | | 1,500,000 | | | | 1,532,074 | |
| Clean Harbors, Inc. | | | | | |
5.13% | | | 06/01/21 | | | | 380,000 | | | | 381,900 | |
| Crane Co. | | | | | |
4.45% | | | 12/15/23 | | | | 1,100,000 | | | | 1,126,910 | |
| Itron, Inc. | | | | | |
5.00% | | | 01/15/26 | 2 | | | 100,000 | | | | 96,250 | |
| L3 Technologies, Inc. | | | | | |
3.85% | | | 06/15/23 | | | | 1,530,000 | | | | 1,534,706 | |
| Northrop Grumman Corp. | | | | | |
2.93% | | | 01/15/25 | | | | 2,980,000 | | | | 2,834,888 | |
3.20% | | | 02/01/27 | | | | 1,205,000 | | | | 1,138,408 | |
| | | | | | | | | | | | |
| Issues | | Maturity Date | | | Principal Amount | | | Value | |
CORPORATES (continued) | |
Industrials (continued) | |
| Packaging Corp. of America | | | | | |
2.45% | | | 12/15/20 | | | $ | 1,410,000 | | | $ | 1,383,696 | |
| Siemens Financieringsmaatschappij NV | | | | | |
| (Netherlands) | | | | | |
2.00% | | | 09/15/23 | 2,3 | | | 1,560,000 | | | | 1,452,974 | |
| Sydney Airport Finance Co. Pty Ltd. | | | | | |
| (Australia) | | | | | |
3.38% | | | 04/30/25 | 2,3 | | | 410,000 | | | | 392,647 | |
| United Technologies Corp. | | | | | |
3.35% | | | 08/16/21 | | | | 740,000 | | | | 739,820 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 14,455,686 | |
| | | | | | | | | | | | |
Information Technology — 0.91% | |
| Broadcom Corp./Broadcom Cayman Finance Ltd. | | | | | |
2.38% | | | 01/15/20 | | | | 1,755,000 | | | | 1,734,944 | |
| Change Healthcare Holdings LLC/Change Healthcare Finance, Inc. | | | | | |
5.75% | | | 03/01/25 | 2 | | | 257,000 | | | | 255,715 | |
| IQVIA, Inc. | | | | | |
5.00% | | | 10/15/26 | 2 | | | 300,000 | | | | 295,095 | |
| Microsoft Corp. | | | | | |
2.88% | | | 02/06/24 | | | | 1,795,000 | | | | 1,755,316 | |
| Oracle Corp. | | | | | |
2.40% | | | 09/15/23 | | | | 2,000,000 | | | | 1,907,218 | |
| Zayo Group LLC/Zayo Capital, Inc. | | | | | |
5.75% | | | 01/15/27 | 2 | | | 250,000 | | | | 250,625 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 6,198,913 | |
| | | | | | | | | | | | |
Insurance — 1.82% | |
| Jackson National Life Global Funding | | | | | |
1.88% | | | 10/15/18 | 2 | | | 1,560,000 | | | | 1,559,357 | |
| Metropolitan Life Global Funding I | | | | | |
1.55% | | | 09/13/19 | 2 | | | 2,340,000 | | | | 2,312,120 | |
| Nationwide Mutual Insurance Co. | | | | | |
4.62% | | | 12/15/24 | 2,6 | | | 1,212,000 | | | | 1,216,545 | |
| New York Life Global Funding | | | | | |
1.55% | | | 11/02/18 | 2 | | | 1,560,000 | | | | 1,558,790 | |
2.00% | | | 04/13/21 | 2 | | | 1,560,000 | | | | 1,513,737 | |
| Pricoa Global Funding I | | | | | |
2.55% | | | 11/24/20 | 2 | | | 1,945,000 | | | | 1,911,320 | |
| Principal Life Global Funding II | | | | | |
2.63% | | | 11/19/20 | 2 | | | 2,340,000 | | | | 2,307,098 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 12,378,967 | |
| | | | | | | | | | | | |
Materials — 0.25% | |
| Axalta Coating Systems LLC | | | | | |
4.88% | | | 08/15/24 | 2 | | | 250,000 | | | | 246,250 | |
| Dow Chemical Co. (The) | | | | | |
8.55% | | | 05/15/19 | | | | 1,170,000 | | | | 1,210,096 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| Semi-Annual Report September 2018 / 58 |
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity Date | | | Principal Amount | | | Value | |
CORPORATES (continued) | |
Materials (continued) | |
| Valvoline, Inc. | | | | | |
5.50% | | | 07/15/24 | | | $ | 250,000 | | | $ | 251,575 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 1,707,921 | |
| | | | | | | | | | | | |
Real Estate Investment Trust (REIT) — 3.16% | |
| Alexandria Real Estate Equities, Inc. | | | | | |
2.75% | | | 01/15/20 | | | | 1,170,000 | | | | 1,159,730 | |
3.90% | | | 06/15/23 | | | | 115,000 | | | | 115,499 | |
4.60% | | | 04/01/22 | | | | 1,560,000 | | | | 1,601,777 | |
| American Campus Communities Operating Partnership LP | | | | | |
3.35% | | | 10/01/20 | | | | 2,340,000 | | | | 2,328,915 | |
| American Tower Corp. | | | | | |
2.80% | | | 06/01/20 | | | | 820,000 | | | | 811,706 | |
3.00% | | | 06/15/23 | | | | 435,000 | | | | 419,241 | |
| CC Holdings GS V LLC/Crown Castle GS III Corp. | | | | | |
3.85% | | | 04/15/23 | | | | 235,000 | | | | 233,688 | |
HCP, Inc. | | | | | | | | | | | | |
4.00% | | | 12/01/22 | | | | 1,755,000 | | | | 1,758,690 | |
4.25% | | | 11/15/23 | | | | 1,480,000 | | | | 1,485,047 | |
| Healthcare Trust of America Holdings LP | | | | | |
3.70% | | | 04/15/23 | | | | 1,125,000 | | | | 1,104,161 | |
| MGM Growth Properties Operating Partnership LP/MGP Finance Co.-Issuer, Inc. | | | | | |
4.50% | | | 01/15/28 | | | | 300,000 | | | | 276,030 | |
| Piedmont Operating Partnership LP | | | | | |
3.40% | | | 06/01/23 | | | | 1,480,000 | | | | 1,421,593 | |
| Public Storage | | | | | |
2.37% | | | 09/15/22 | | | | 285,000 | | | | 273,510 | |
| Reckson Operating Partnership LP | | | | | |
7.75% | | | 03/15/20 | | | | 505,000 | | | | 533,671 | |
| SL Green Operating Partnership LP | | | | | |
3.25% | | | 10/15/22 | | | | 1,320,000 | | | | 1,281,771 | |
| (LIBOR USD 3-Month plus 0.98%) | | | | | |
3.35% | | | 08/16/21 | 1 | | | 1,000,000 | | | | 1,001,334 | |
| Ventas Realty LP | | | | | |
3.25% | | | 10/15/26 | | | | 1,410,000 | | | | 1,304,783 | |
| Ventas Realty LP/Ventas Capital Corp. | | | | | |
2.70% | | | 04/01/20 | | | | 800,000 | | | | 793,293 | |
| WEA Finance LLC/Westfield UK & Europe Finance PLC | | | | | |
2.70% | | | 09/17/19 | 2 | | | 1,750,000 | | | | 1,745,332 | |
| | | | | | | | | | | | |
| Issues | | Maturity Date | | | Principal Amount | | | Value | |
CORPORATES (continued) | |
Real Estate Investment Trust (REIT) (continued) | |
| Welltower, Inc. | | | | | |
3.75% | | | 03/15/23 | | | $ | 780,000 | | | $ | 775,277 | |
5.25% | | | 01/15/22 | | | | 1,000,000 | | | | 1,043,540 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 21,468,588 | |
| | | | | | | | | | | | |
Retail — 0.51% | |
| Alimentation Couche-Tard, Inc. (Canada) | | | | | |
3.55% | | | 07/26/27 | 2,3 | | | 780,000 | | | | 732,403 | |
| BC ULC/New Red Finance, Inc. (Canada) | | | | | |
4.25% | | | 05/15/24 | 2,3 | | | 785,000 | | | | 745,750 | |
| Rite Aid Corp. | | | | | |
6.13% | | | 04/01/23 | 2 | | | 350,000 | | | | 315,437 | |
| Walmart, Inc. | | | | | |
3.55% | | | 06/26/25 | | | | 1,645,000 | | | | 1,654,632 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 3,448,222 | |
| | | | | | | | | | | | |
Services — 0.22% | |
| IHS Markit Ltd. (Bermuda) | | | | | |
4.13% | | | 08/01/23 | 3 | | | 1,475,000 | | | | 1,474,012 | |
| | | | | | | | | | | | |
|
Transportation — 1.29% | |
American Airlines Pass-Through Trust, Series 2013-2, Class A | | | | | |
4.95% | | | 01/15/23 | | | | 519,791 | | | | 531,664 | |
Continental Airlines Pass-Through Trust, Series 1999-1, Class A | | | | | |
6.55% | | | 02/02/19 | | | | 144,442 | | | | 146,162 | |
Continental Airlines Pass-Through Trust, Series 1999-2, Class A | | | | | |
7.26% | | | 03/15/20 | | | | 66,930 | | | | 68,810 | |
Continental Airlines Pass-Through Trust, Series 2007-1, Class A | | | | | |
5.98% | | | 04/19/22 | | | | 1,846,667 | | | | 1,953,737 | |
Continental Airlines Pass-Through Trust, Series 2009, Class A | | | | | |
7.25% | | | 11/10/19 | | | | 1,805,431 | | | | 1,870,878 | |
Delta Air Lines Pass-Through Trust, Series 2002-1, Class G1 | | | | | |
6.72% | | | 01/02/23 | | | | 647,267 | | | | 686,832 | |
Northwest Airlines Pass-Through Trust, Series 2001-1, Class A1 | | | | | |
7.04% | | | 04/01/22 | | | | 952,432 | | | | 1,032,817 | |
U.S. Airways Pass-Through Trust, Series 2001-1, Class G | | | | | |
7.08% | | | 03/20/21 | | | | 140,607 | | | | 147,970 | |
U.S. Airways Pass-Through Trust, Series 2011-1, Class A | | | | | |
7.13% | | | 10/22/23 | | | | 643,527 | | | | 705,025 | |
U.S. Airways Pass-Through Trust, Series 2012-1, Class A | | | | | |
5.90% | | | 10/01/24 | | | | 432,083 | | | | 460,917 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| 59 / Semi-Annual Report September 2018 |
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity Date | | | Principal Amount | | | Value | |
CORPORATES (continued) | |
Transportation (continued) | |
U.S. Airways Pass-Through Trust, Series 2012-2, Class A | | | | | |
4.63% | | | 06/03/25 | | | $ | 366,821 | | | $ | 372,078 | |
| Union Pacific Corp. | | | | | |
3.95% | | | 09/10/28 | | | | 755,000 | | | | 760,215 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 8,737,105 | |
| | | | | | | | | | | | |
| | |
Total Corporates | | | | | | | | | |
(Cost $273,338,845) | | | | | | | | 269,258,829 | |
| | | | | | | | | | | | |
|
MORTGAGE-BACKED — 16.22%** | |
Non-Agency Commercial Mortgage-Backed — 2.12% | |
225 Liberty Street Trust, Series 2016-225L, Class A | | | | | | | | | |
3.60% | | | 02/10/36 | 2 | | | 1,225,000 | | | | 1,212,519 | |
Banc of America Merrill Lynch Commercial Mortgage Trust, Series 2012-PARK, Class A | | | | | |
2.96% | | | 12/10/30 | 2 | | | 3,417,000 | | | | 3,376,243 | |
Banc of America Merrill Lynch Commercial Mortgage Trust, Series 2018-PARK, Class A | | | | | |
4.09% | | | 08/10/38 | 2,6 | | | 1,095,000 | | | | 1,118,586 | |
Citigroup Commercial Mortgage Trust, Series 2012-GC8, Class XA (IO) | | | | | |
1.97% | | | 09/10/45 | 2,6 | | | 6,413,945 | | | | 345,164 | |
CityLine Commercial Mortgage Trust, Series 2016-CLNE, Class A | | | | | |
2.87% | | | 11/10/31 | 2,6 | | | 1,085,000 | | | | 1,046,998 | |
Commercial Mortgage Trust, Series 2013-300P, Class A1 | | | | | |
4.35% | | | 08/10/30 | 2 | | | 1,160,000 | | | | 1,203,301 | |
Commercial Mortgage Trust, Series 2014-277P, Class A | | | | | |
3.73% | | | 08/10/49 | 2,6 | | | 1,265,000 | | | | 1,266,018 | |
Commercial Mortgage Trust, Series 2016-787S, Class A | | | | | |
3.55% | | | 02/10/36 | 2 | | | 1,225,000 | | | | 1,206,450 | |
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2010-CNTR, Class A2 | | | | | |
4.31% | | | 08/05/32 | 2 | | | 775,096 | | | | 790,734 | |
Morgan Stanley Capital I Trust, Series 2014-CPT, Class A | | | | | |
3.35% | | | 07/13/29 | 2 | | | 950,000 | | | | 950,078 | |
RBS Commercial Funding, Inc., Trust, Series 2013-GSP, Class A | | | | | |
3.96% | | | 01/13/32 | 2,6 | | | 1,170,000 | | | | 1,182,963 | |
Wells Fargo Commercial Mortgage Trust, Series 2010-C1, Class A1 | | | | | |
3.35% | | | 11/15/43 | 2 | | | 700,827 | | | | 703,270 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 14,402,324 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity Date | | | Principal Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed — 5.32% | |
ACE Securities Corp. Home Equity Loan Trust, Series 2006-NC1, Class A1 | | | | | |
| (LIBOR USD 1-Month) | | | | | |
2.66% | | | 12/25/35 | 1 | | $ | 1,807,631 | | | $ | 1,808,703 | |
| Ameriquest Mortgage Securities, Inc., | | | | | |
| Asset-Backed Pass-Through Certificates, | | | | | |
| Series 2004-R8, Class M1 | | | | | |
| (LIBOR USD 1-Month) | | | | | |
3.18% | | | 09/25/34 | 1 | | | 789,713 | | | | 791,863 | |
| Ameriquest Mortgage Securities, Inc., | | | | | |
| Asset-Backed Pass-Through Certificates, | | | | | |
| Series 2005-R4, Class M1 | | | | | |
| (LIBOR USD 1-Month) | | | | | |
2.86% | | | 07/25/35 | 1 | | | 203,487 | | | | 204,087 | |
| Asset-Backed Securities Corp. Home Equity | | | | | |
| Loan Trust, Series 2004-HE9, Class M1 | | | | | |
| (LIBOR USD 1-Month) | | | | | |
3.19% | | | 12/25/34 | 1 | | | 543,340 | | | | 534,188 | |
| Banc of America Funding Trust, | | | | | |
| Series 2003-2, Class 1A1 | | | | | |
6.50% | | | 06/25/32 | | | | 2,214 | | | | 2,343 | |
| Banc of America Funding Trust, | | | | | |
| Series 2015-R2, Class 9A1 | | | | | |
| (LIBOR USD 1-Month) | | | | | |
2.43% | | | 03/27/36 | 1,2 | | | 1,242,672 | | | | 1,225,468 | |
| Chevy Chase Mortgage Funding LLC, | | | | | |
| Mortgage-Backed Certificates, | | | | | |
| Series 2005-2A, Class A1 | | | | | |
| (LIBOR USD 1-Month) | | | | | |
2.40% | | | 05/25/36 | 1,2 | | | 95,605 | | | | 94,698 | |
| Citigroup Mortgage Loan Trust, Inc., | | | | | |
| Series 2004-HYB1, Class A41 | | | | | |
3.34% | | | 02/25/34 | 6 | | | 9,112 | | | | 9,042 | |
| Conseco Finance Corp., Series 1996-7, Class M1 | | | | | |
7.70% | | | 09/15/26 | 6 | | | 273,773 | | | | 294,476 | |
| Conseco Finance Corp., Series 1998-4, Class A5 | | | | | |
6.18% | | | 04/01/30 | | | | 158,776 | | | | 163,550 | |
| Conseco Finance Corp., Series 1998-6, Class A8 | | | | | |
6.66% | | | 06/01/30 | 6 | | | 272,536 | | | | 286,156 | |
| Conseco Finance Home Equity Loan Trust, | | | | | |
| Series 2002-C, Class BF2 | | | | | |
8.00% | | | 06/15/32 | 2,6 | | | 135,359 | | | | 140,924 | |
| Conseco Finance Securitizations Corp., | | | | | |
| Series 2001-4, Class A4 | | | | | |
7.36% | | | 08/01/32 | 6 | | | 76,535 | | | | 78,533 | |
| CountryPlace Manufactured Housing | | | | | |
| Contract Trust, Series 2007-1, Class A4 | | | | | |
5.85% | | | 07/15/37 | 2,6 | | | 555,976 | | | | 564,966 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| Semi-Annual Report September 2018 / 60 |
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity Date | | | Principal Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
| Countrywide Home Loan Mortgage | | | | | |
| Pass-Through Trust, Series 2004-14, Class 4A1 | | | | | |
3.89% | | | 08/25/34 | 6 | | $ | 63,904 | | | $ | 62,496 | |
| Credit Suisse Mortgage Capital, Series 2014-4R, Class 16A1 | | | | | |
| (LIBOR USD 1-Month) | | | | | |
2.26% | | | 02/27/36 | 1,2 | | | 288,519 | | | | 288,301 | |
| Credit-Based Asset Servicing and | | | | | |
| Securitization LLC, Series 2003-CB3, | | | | | |
| Class AF1 (STEP-reset date 11/25/18) | | | | | |
3.38% | | | 12/25/32 | | | | 858,071 | | | | 852,125 | |
| Credit-Based Asset Servicing and | | | | | |
| Securitization LLC, Series 2006-CB2, | | | | | |
| Class AF4 (STEP-reset date 11/25/18) | | | | | |
3.47% | | | 12/25/36 | | | | 497,709 | | | | 455,910 | |
| Credit-Based Asset Servicing and | | | | | |
| Securitization LLC, Series 2007-CB5, Class A1 | | | | | |
| (LIBOR USD 1-Month) | | | | | |
2.28% | | | 04/25/37 | 1 | | | 150,875 | | | | 108,050 | |
| Credit-Based Asset Servicing and | | | | | |
| Securitization LLC, Series 2007-CB5, Class A3 | | | | | |
| (LIBOR USD 1-Month) | | | | | |
2.47% | | | 04/25/37 | 1 | | | 1,792,785 | | | | 1,310,112 | |
| First Horizon Alternative Mortgage Securities | | | | | |
| Trust, Series 2004-AA3, Class A1 | | | | | |
4.17% | | | 09/25/34 | 6 | | | 204,109 | | | | 202,914 | |
| GSAA Home Equity Trust, Series 2005-9, Class 1A1 | | | | | |
| (LIBOR USD 1-Month) | | | | | |
2.50% | | | 08/25/35 | 1 | | | 189,124 | | | | 189,219 | |
| Home Loan Trust, Series 2001-HI3, Class AI7 (STEP-reset date 11/25/18) | | | | | |
7.56% | | | 07/25/26 | | | | 879 | | | | 884 | |
HSI Asset Securitization Corp. Trust, Series 2006-OPT1, Class 1A | | | | | |
| (LIBOR USD 1-Month) | | | | | |
2.44% | | | 12/25/35 | 1 | | | 1,235,007 | | | | 1,228,517 | |
IndyMac Index Mortgage Loan Trust, Series 2004-AR8, Class 2A2A | | | | | |
| (LIBOR USD 1-Month) | | | | | |
3.02% | | | 11/25/34 | 1 | | | 23,716 | | | | 22,765 | |
IndyMac Index Mortgage Loan Trust, Series 2007-AR11, Class 1A1 | | | | | |
3.33% | | | 06/25/37 | 6 | | | 946,271 | | | | 806,537 | |
| IndyMac Manufactured Housing Contract | | | | | |
| Pass-Through Certificates, Series 1997-1, Class A3 | | | | | |
6.61% | | | 02/25/28 | | | | 156,104 | | | | 157,639 | |
| | | | | | | | | | | | |
| Issues | | Maturity Date | | | Principal Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
| IndyMac Manufactured Housing Contract | | | | | |
| Pass-Through Certificates, Series 1997-1, Class A4 | | | | | |
6.75% | | | 02/25/28 | | | $ | 41,556 | | | $ | 42,048 | |
| IndyMac Manufactured Housing Contract | | | | | |
| Pass-Through Certificates, Series 1998-1, Class A4 | | | | | |
6.49% | | | 09/25/28 | | | | 124,700 | | | | 132,708 | |
| JPMorgan Mortgage Trust, Series 2007-A3, Class 3A2 | | | | | |
3.78% | | | 05/25/37 | 6 | | | 252,060 | | | | 246,166 | |
| Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A4 | | | | | |
5.27% | | | 04/15/40 | | | | 23,214 | | | | 23,409 | |
| Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A5 | | | | | |
5.87% | | | 04/15/40 | | | | 13,338 | | | | 13,419 | |
| Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A6 | | | | | |
6.47% | | | 04/15/40 | 6 | | | 42,035 | | | | 42,500 | |
MASTR Adjustable Rate Mortgages Trust, Series 2003-6, Class 4A2 | | | | | |
3.72% | | | 01/25/34 | 6 | | | 83,478 | | | | 83,041 | |
MASTR Adjustable Rate Mortgages Trust, Series 2004-1, Class 2A1 | | | | | |
4.87% | | | 01/25/34 | 6 | | | 600 | | | | 628 | |
MASTR Seasoned Securitization Trust, Series 2004-1, Class 4A1 | | | | | |
4.23% | | | 10/25/32 | 6 | | | 1,117 | | | | 1,138 | |
MASTR Seasoned Securitization Trust, Series 2005-1, Class 4A1 | | | | | |
4.52% | | | 10/25/32 | 6 | | | 12,720 | | | | 12,892 | |
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-3, Class A2C | | | | | |
| (LIBOR USD 1-Month) | | | | | |
2.40% | | | 06/25/37 | 1 | | | 505,384 | | | | 381,338 | |
Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-3, Class A2D | | | | | |
| (LIBOR USD 1-Month) | | | | | |
2.47% | | | 06/25/37 | 1 | | | 933,937 | | | | 734,148 | |
| Mid-State Capital Corp., Series 2004-1, Class A | | | | | |
6.01% | | | 08/15/37 | | | | 354,925 | | | | 384,954 | |
| Mid-State Capital Corp., Series 2004-1, Class B | | | | | |
8.90% | | | 08/15/37 | | | | 487,151 | | | | 551,984 | |
| Mid-State Capital Corp., Series 2004-1, Class M1 | | | | | |
6.50% | | | 08/15/37 | | | | 347,965 | | | | 369,662 | |
| Mid-State Capital Corp., Series 2005-1, Class M2 | | | | | |
7.08% | | | 01/15/40 | | | | 559,407 | | | | 629,429 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| 61 / Semi-Annual Report September 2018 |
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity Date | | | Principal Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
| Mid-State Trust XI, Series 2011, Class A1 | | | | | |
4.86% | | | 07/15/38 | | | $ | 742,945 | | | $ | 772,785 | |
Morgan Stanley ABS Capital I Trust, Series 2004-NC7, Class M2 | | | | | |
| (LIBOR USD 1-Month) | | | | | |
3.15% | | | 07/25/34 | 1 | | | 495,134 | | | | 500,550 | |
Morgan Stanley ABS Capital I Trust, Series 2005-HE3, Class M3 | | | | | |
| (LIBOR USD 1-Month) | | | | | |
3.01% | | | 07/25/35 | 1 | | | 79,148 | | | | 79,383 | |
Morgan Stanley ABS Capital I Trust, Series 2006-NC1, Class A4 | | | | | |
| (LIBOR USD 1-Month) | | | | | |
2.52% | | | 12/25/35 | 1 | | | 1,583,145 | | | | 1,584,268 | |
New Century Home Equity Loan Trust, Series 2005-D, Class A1 | | | | | |
| (LIBOR USD 1-Month) | | | | | |
2.44% | | | 02/25/36 | 1 | | | 4,301,398 | | | | 4,274,879 | |
| New York Mortgage Trust, Series 2005-3, Class A1 | | | | | |
| (LIBOR USD 1-Month) | | | | | |
2.70% | | | 02/25/36 | 1 | | | 1,491,709 | | | | 1,481,026 | |
Park Place Securities, Inc., Series 2005-WCW1, Class M1 | | | | | |
| (LIBOR USD 1-Month) | | | | | |
2.67% | | | 09/25/35 | 1 | | | 383,151 | | | | 384,430 | |
RBSSP Resecuritization Trust, Series 2009-6, Class 11A4 | | | | | |
| (LIBOR USD 1-Month) | | | | | |
2.48% | | | 08/26/36 | 1,2 | | | 172,440 | | | | 172,804 | |
Residential Asset Mortgage Product Trust, Series 2003-SL1, Class A41 | | | | | |
8.00% | | | 04/25/31 | | | | 19,816 | | | | 21,814 | |
Residential Asset Mortgage Products Trust, Series 2006-NC1, Class A3 | | | | | |
| (LIBOR USD 1-Month) | | | | | |
2.52% | | | 01/25/36 | 1 | | | 3,509,979 | | | | 3,490,070 | |
Residential Asset Securitization Trust, Series 2004-IP2, Class 2A1 | | | | | |
4.18% | | | 12/25/34 | 6 | | | 25,626 | | | | 25,806 | |
| STRU TCW-1149 Coll | | | | | |
3.82% | | | 11/01/30 | | | | 1,700,000 | | | | 1,714,441 | |
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-15, Class A | | | | | |
4.16% | | | 10/25/34 | 6 | | | 1,447,075 | | | | 1,413,530 | |
Structured Asset Mortgage Investments II Trust, Series 2005-AR1, Class A1 | | | | | |
| (LIBOR USD 1-Month) | | | | | |
2.65% | | | 04/19/35 | 1 | | | 940,259 | | | | 925,096 | |
| | | | | | | | | | | | |
| Issues | | Maturity Date | | | Principal Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
Structured Asset Mortgage Investments II Trust, Series 2005-AR8, Class A2 | | | | | |
| (Federal Reserve US 12-Month Cumulative Average) | | | | | |
2.61% | | | 02/25/36 | 1 | | $ | 649,735 | | | $ | 634,794 | |
| Structured Asset Mortgage Investments II Trust, Series 2006-AR3, Class 22A1 | | | | | |
3.70% | | | 05/25/36 | 6 | | | 2,604,828 | | | | 1,827,898 | |
| UCFC Home Equity Loan, Series 1998-D, Class MF1 | | | | | |
6.91% | | | 04/15/30 | | | | 18,934 | | | | 19,262 | |
| WaMu Mortgage Pass-Through Certificates, | | | | | |
| Series 2002-AR18, Class A | | | | | |
3.64% | | | 01/25/33 | 6 | | | 5,832 | | | | 5,988 | |
WaMu Mortgage Pass-Through Certificates, Series 2005-AR13, Class A1A3 | | | | | |
| (LIBOR USD 1-Month) | | | | | |
3.00% | | | 10/25/45 | 1 | | | 1,206,272 | | | | 1,285,211 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 36,147,965 | |
| | | | | | | | | | | | |
| U.S. Agency Commercial | |
| Mortgage-Backed — 0.28% | |
| Freddie Mac Multifamily Structured | | | | | |
| Pass-Through Certificates, Series KF34, Class A | | | | | |
| (LIBOR USD 1-Month) | | | | | |
2.47% | | | 08/25/24 | 1 | | | 1,878,165 | | | | 1,879,078 | |
| | | | | | | | | | | | |
|
U.S. Agency Mortgage-Backed — 8.50% | |
| Fannie Mae Pool (TBA) | | | | | |
3.00% | | | 10/01/32 | | | | 1,815,000 | | | | 1,792,596 | |
| Fannie Mae Pool 253974 | | | | | |
7.00% | | | 08/01/31 | | | | 2,119 | | | | 2,259 | |
| Fannie Mae Pool 254232 | | | | | |
6.50% | | | 03/01/22 | | | | 3,154 | | | | 3,280 | |
| Fannie Mae Pool 467144 | | | | | |
4.25% | | | 01/01/21 | | | | 3,120,792 | | | | 3,181,588 | |
| Fannie Mae Pool 468159 | | | | | |
4.26% | | | 07/01/21 | | | | 1,066,360 | | | | 1,097,759 | |
| Fannie Mae Pool 468491 | | | | | |
3.95% | | | 07/01/21 | | | | 2,081,488 | | | | 2,128,661 | |
| Fannie Mae Pool 468552 | | | | | |
3.89% | | | 07/01/21 | | | | 1,758,544 | | | | 1,784,060 | |
| Fannie Mae Pool 527247 | | | | | |
7.00% | | | 09/01/26 | | | | 28 | | | | 29 | |
| Fannie Mae Pool 545191 | | | | | |
7.00% | | | 09/01/31 | | | | 1,170 | | | | 1,259 | |
| Fannie Mae Pool 545646 | | | | | |
7.00% | | | 09/01/26 | | | | 22 | | | | 23 | |
| Fannie Mae Pool 549740 | | | | | |
6.50% | | | 10/01/27 | | | | 8,636 | | | | 9,473 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| Semi-Annual Report September 2018 / 62 |
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity Date | | | Principal Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
| Fannie Mae Pool 606108 | | | | | |
7.00% | | | 03/01/31 | | | $ | 429 | | | $ | 431 | |
| Fannie Mae Pool 630599 | | | | | |
7.00% | | | 05/01/32 | | | | 5,466 | | | | 6,127 | |
| Fannie Mae Pool 655928 | | | | | |
7.00% | | | 08/01/32 | | | | 3,164 | | | | 3,591 | |
| Fannie Mae Pool 735207 | | | | | |
7.00% | | | 04/01/34 | | | | 1,365 | | | | 1,517 | |
| Fannie Mae Pool 735646 | | | | | |
4.50% | | | 07/01/20 | | | | 524 | | | | 531 | |
| Fannie Mae Pool 735686 | | | | | |
6.50% | | | 12/01/22 | | | | 3,417 | | | | 3,479 | |
| Fannie Mae Pool 735861 | | | | | |
6.50% | | | 09/01/33 | | | | 94,496 | | | | 102,469 | |
| Fannie Mae Pool 764388 | | | | | |
| (LIBOR USD 6-Month) | | | | | |
3.90% | | | 03/01/34 | 1 | | | 28,072 | | | | 29,503 | |
| Fannie Mae Pool 776708 | | | | | |
5.00% | | | 05/01/34 | | | | 138,309 | | | | 147,478 | |
| Fannie Mae Pool 817611 | | | | | |
| (LIBOR USD 6-Month) | | | | | |
3.83% | | | 11/01/35 | 1 | | | 6,792 | | | | 7,170 | |
| Fannie Mae Pool 844773 | | | | | |
| (LIBOR USD 12-Month) | | | | | |
3.39% | | | 12/01/35 | 1 | | | 860 | | | | 898 | |
| Fannie Mae Pool 889125 | | | | | |
5.00% | | | 12/01/21 | | | | 24,135 | | | | 24,361 | |
| Fannie Mae Pool 889184 | | | | | |
5.50% | | | 09/01/36 | | | | 115,509 | | | | 124,806 | |
| Fannie Mae Pool 890221 | | | | | |
5.50% | | | 12/01/33 | | | | 180,125 | | | | 194,649 | |
| Fannie Mae Pool 918445 | | | | | |
| (LIBOR USD 12-Month) | | | | | |
3.69% | | | 05/01/37 | 1 | | | 541 | | | | 562 | |
| Fannie Mae Pool 939419 | | | | | |
| (LIBOR USD 12-Month) | | | | | |
3.64% | | | 05/01/37 | 1 | | | 50,936 | | | | 53,494 | |
| Fannie Mae Pool AL0151 | | | | | |
4.38% | | | 04/01/21 | | | | 3,259,721 | | | | 3,333,182 | |
| Fannie Mae Pool AL0209 | | | | | |
4.50% | | | 05/01/41 | | | | 447,993 | | | | 470,196 | |
| Fannie Mae Pool AL2293 | | | | | |
4.38% | | | 06/01/21 | | | | 3,574,233 | | | | 3,668,559 | |
| Fannie Mae Pool AM6501 | | | | | |
3.32% | | | 08/01/26 | | | | 2,000,000 | | | | 1,976,845 | |
| Fannie Mae Pool AM7009 | | | | | |
2.95% | | | 11/01/24 | | | | 2,494,624 | | | | 2,438,612 | |
| | | | | | | | | | | | |
| Issues | | Maturity Date | | | Principal Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
| Fannie Mae Pool AM7150 | | | | | |
3.05% | | | 11/01/24 | | | $ | 1,730,266 | | | $ | 1,701,537 | |
| Fannie Mae Pool AM7357 | | | | | |
3.38% | | | 12/01/29 | | | | 2,347,512 | | | | 2,288,432 | |
| Fannie Mae Pool AN0556 | | | | | |
3.46% | | | 12/01/30 | | | | 2,407,330 | | | | 2,346,578 | |
| Fannie Mae Pool CA1711 | | | | | |
4.50% | | | 05/01/48 | | | | 3,402,228 | | | | 3,512,933 | |
| Fannie Mae Pool FN0001 | | | | | |
3.77% | | | 12/01/20 | | | | 2,180,278 | | | | 2,206,684 | |
| Fannie Mae Pool FN0007 | | | | | |
3.46% | | | 11/01/20 | | | | 1,390,000 | | | | 1,398,394 | |
| Fannie Mae Pool MA1561 | | | | | |
3.00% | | | 09/01/33 | | | | 1,900,687 | | | | 1,865,346 | |
| Fannie Mae Pool MA1608 | | | | | |
3.50% | | | 10/01/33 | | | | 1,762,504 | | | | 1,758,650 | |
| Fannie Mae REMICS, Series 1989-25, Class G | | | | | |
6.00% | | | 06/25/19 | | | | 72 | | | | 72 | |
| Fannie Mae REMICS, Series 1992-116, Class B | | | | | |
6.50% | | | 06/25/22 | | | | 6 | | | | 7 | |
| Fannie Mae REMICS, Series 1993-80, Class S | | | | | |
| (-1.22 X LIBOR USD 1-Month plus 10.87%, 10.87% Cap) | | | | | |
8.17% | | | 05/25/23 | 1 | | | 3,128 | | | | 3,387 | |
| Fannie Mae REMICS, Series 2001-52, Class YZ | | | | | |
6.50% | | | 10/25/31 | | | | 111,830 | | | | 123,324 | |
| Fannie Mae REMICS, Series 2007-64, Class FA | | | | | |
| (LIBOR USD 1-Month) | | | | | |
2.69% | | | 07/25/37 | 1 | | | 68,874 | | | | 69,474 | |
| Fannie Mae REMICS, Series 2008-50, Class SA (IO) | | | | | |
| (-1.00 X LIBOR USD 1-Month plus 6.05%, 6.05% Cap) | | | | | |
3.83% | | | 11/25/36 | 1 | | | 1,379,924 | | | | 178,523 | |
| Fannie Mae REMICS, Series 2018-55, Class PA | | | | | |
3.50% | | | 01/25/47 | | | | 241,077 | | | | 240,613 | |
| Fannie Mae Trust, Series 2003-W6, Class 5T (IO) | | | | | |
| (LIBOR USD 1-Month) | | | | | |
0.55% | | | 09/25/42 | 1 | | | 13,659,159 | | | | 204,460 | |
| Freddie Mac Gold Pool A25162 | | | | | |
5.50% | | | 05/01/34 | | | | 161,336 | | | | 174,714 | |
| Freddie Mac Gold Pool A33262 | | | | | |
5.50% | | | 02/01/35 | | | | 47,163 | | | | 52,098 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| 63 / Semi-Annual Report September 2018 |
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity Date | | | Principal Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
| Freddie Mac Gold Pool A68781 | | | | | |
5.50% | | | 10/01/37 | | | $ | 9,727 | | | $ | 10,627 | |
| Freddie Mac Gold Pool C03813 | | | | | |
3.50% | | | 04/01/42 | | | | 1,132,084 | | | | 1,124,744 | |
| Freddie Mac Gold Pool C90504 | | | | | |
6.50% | | | 12/01/21 | | | | 363 | | | | 383 | |
| Freddie Mac Gold Pool G01548 | | | | | |
7.50% | | | 07/01/32 | | | | 289,364 | | | | 332,312 | |
| Freddie Mac Gold Pool G01644 | | | | | |
5.50% | | | 02/01/34 | | | | 92,352 | | | | 100,128 | |
| Freddie Mac Gold Pool G02366 | | | | | |
6.50% | | | 10/01/36 | | | | 64,086 | | | | 71,345 | |
| Freddie Mac Gold Pool G11707 | | | | | |
6.00% | | | 03/01/20 | | | | 126 | | | | 127 | |
| Freddie Mac Gold Pool G12393 | | | | | |
5.50% | | | 10/01/21 | | | | 45,744 | | | | 46,742 | |
| Freddie Mac Gold Pool G12909 | | | | | |
6.00% | | | 11/01/22 | | | | 88,588 | | | | 92,012 | |
| Freddie Mac Gold Pool G13032 | | | | | |
6.00% | | | 09/01/22 | | | | 43,308 | | | | 44,605 | |
| Freddie Mac Gold Pool G16085 | | | | | |
2.50% | | | 02/01/32 | | | | 2,815,724 | | | | 2,718,466 | |
| Freddie Mac Gold Pool J06246 | | | | | |
5.50% | | | 10/01/21 | | | | 14,885 | | | | 15,145 | |
| Freddie Mac REMICS, Series 1602, Class SN | | | | | |
| (-4.25 X PRIME plus 46.22%, 10.09% Cap) | | | | | |
10.09% | | | 10/15/23 | 1 | | | 14,590 | | | | 15,672 | |
| Freddie Mac REMICS, Series 2174, Class PN | | | | | |
6.00% | | | 07/15/29 | | | | 38,465 | | | | 40,844 | |
| Freddie Mac REMICS, Series 3460, Class SA (IO) | | | | | |
| (LIBOR USD 1-Month) | | | | | |
4.04% | | | 06/15/38 | 1 | | | 1,311,567 | | | | 165,669 | |
| Freddie Mac REMICS, Series 4030, Class HS (IO) | | | | | |
| (LIBOR USD 1-Month) | | | | | |
4.45% | | | 04/15/42 | 1 | | | 1,205,930 | | | | 189,728 | |
| Ginnie Mae I Pool 782810 | | | | | |
4.50% | | | 11/15/39 | | | | 941,186 | | | | 994,790 | |
| Ginnie Mae II Pool (TBA) | | | | | |
4.00% | | | 10/20/47 | | | | 1,870,000 | | | | 1,901,922 | |
4.50% | | | 10/20/47 | | | | 2,660,000 | | | | 2,749,271 | |
| Ginnie Mae II Pool 80968 | | | | | |
| (US Treasury Yield Curve Rate T Note | | | | | |
| Constant Maturity 1 Year) | | | | | |
2.75% | | | 07/20/34 | 1 | | | 25,962 | | | | 26,672 | |
| | | | | | | | | | | | |
| Issues | | Maturity Date | | | Principal Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
| Ginnie Mae II Pool MA4588 | | | | | |
4.50% | | | 07/20/47 | | | $ | 695,415 | | | $ | 720,759 | |
| Ginnie Mae II Pool MA4589 | | | | | |
5.00% | | | 07/20/47 | | | | 3,557,448 | | | | 3,718,664 | |
| Ginnie Mae II Pool MA4838 | | | | | |
4.00% | | | 11/20/47 | | | | 1,815,177 | | | | 1,847,416 | |
| Ginnie Mae, Series 2004-8, Class SE | | | | | |
| (-2.00 X LIBOR USD 1-Month plus 14.30%, 14.30% Cap) | | | | | |
9.86% | | | 11/26/23 | 1 | | | 27,007 | | | | 28,966 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 57,671,682 | |
| | | | | | | | | | | | |
| Total Mortgage-Backed | | | | | | | | | |
| (Cost $109,554,813) | | | | | | | | 110,101,049 | |
| | | | | | | | | | | | |
|
| MUNICIPAL BONDS — 1.96%* | |
| California — 0.76% | | | | | |
| State of California, Build America Bonds | | | | | |
7.95% | | | 03/01/36 | | | | 2,750,000 | | | | 2,932,023 | |
| University of California, Taxable Revenue Bonds, Series AJ | | | | | |
4.60% | | | 05/15/31 | | | | 2,110,000 | | | | 2,240,799 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 5,172,822 | |
| | | | | | | | | | | | |
Massachusetts — 0.39% | |
| Commonwealth of Massachusetts, Build America Bonds, Series D | | | | | |
4.50% | | | 08/01/31 | | | | 2,450,000 | | | | 2,606,800 | |
| | | | | | | | | | | | |
|
New York — 0.81% | |
| City of New York, Build America Bonds | | | | | |
5.05% | | | 10/01/24 | | | | 1,000,000 | | | | 1,072,120 | |
New York City Transitional Finance Authority Revenue, Future Tax Secured Revenue, Qualified School Construction Bonds | | | | | |
5.01% | | | 08/01/27 | | | | 2,000,000 | | | | 2,186,560 | |
New York City Transitional Finance Authority Revenue, Future Tax Secured Revenue, Qualified School Construction Bonds, Series G-3 | | | | | |
5.27% | | | 05/01/27 | | | | 1,400,000 | | | | 1,548,722 | |
New York State Urban Development Corp., Personal Income Tax, Series SE | | | | | |
3.20% | | | 03/15/22 | | | | 700,000 | | | | 699,643 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 5,507,045 | |
| | | | | | | | | | | | |
| Total Municipal Bonds | | | | | | | | | |
| (Cost $13,734,612) | | | | | | | | 13,286,667 | |
| | | | | | | | | | | | |
|
U.S. TREASURY SECURITIES — 30.08% | |
U.S. Treasury Notes — 30.08% | |
| U.S. Treasury Notes | | | | | |
2.63% | | | 07/31/20 | | | | 8,155,000 | | | | 8,128,879 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| Semi-Annual Report September 2018 / 64 |
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity Date | | | Principal Amount | | | Value | |
| U.S. TREASURY SECURITIES (continued) | |
| U.S. Treasury Notes (continued) | | | | | |
2.75% | | | 07/31/23 | | | $ | 135,585,000 | | | $ | 134,398,631 | |
2.88% | | | 09/30/23 | | | | 28,025,000 | | | | 27,931,891 | |
| U.S. Treasury Notes (WI) | | | | | |
2.88% | | | 08/15/28 | | | | 34,315,000 | | | | 33,796,754 | |
| | | | | | | | | | | | |
| |
| Total U.S. Treasury Securities | | | | | |
| (Cost $205,058,158) | | | | | | | | 204,256,155 | |
| | | | | | | | | | | | |
| |
| Total Bonds – 96.35% | | | | | |
| (Cost $658,403,653) | | | | | | | | 654,109,103 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | | | | Shares | | | Value | |
COMMON STOCK — 0.01% | |
Electric — 0.01% | |
| | |
| Homer City Holdings LLC2,4,5 | | | | 8,014 | | | | 68,119 | |
| | | | | | | | | | | | |
| | |
| Total Common Stock | | | | | | | | | |
(Cost $457,400) | | | | | | | | | |
| Issues | | Maturity Date | | | Principal Amount/ Shares | | | Value | |
SHORT-TERM INVESTMENTS — 9.74% | |
Foreign Government Obligations — 1.20% | |
| Japan Treasury Discount Bill, Series 774 (Japan) | | | | | |
0.00%3,7 | | | 11/05/18 | | | $ | 540,000,000 | | | | 4,754,734 | |
| Japan Treasury Discount Bill, Series 786 (Japan) | | | | | |
0.00%3,7 | | | 01/09/19 | | | | 385,000,000 | | | | 3,392,200 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 8,146,934 | |
| | | | | | | | | | | | |
Money Market Funds — 6.09% | |
| Dreyfus Government Cash Management Fund | | | | | |
2.01%8 | | | | | | | 7,300,000 | | | | 7,300,000 | |
| Fidelity Investments Money Market Funds - Government Portfolio | | | | | |
1.99%8,9 | | | | | | | 18 | | | | 18 | |
| Morgan Stanley Institutional Liquidity Funds-Government Portfolio | | | | | |
2.04%8 | | | | | | | 34,074,000 | | | | 34,074,000 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 41,374,018 | |
| | | | | | | | | | | | |
U.S. Agency Discount Notes — 1.52% | |
| Federal Home Loan Bank | | | | | |
0.79%7 | | | 10/03/18 | | | | 10,300,000 | | | | 10,298,803 | |
| | | | | | | | | | | | |
| |
| U.S. Treasury Bills — 0.93% | | | | | |
| U.S. Treasury Bills | | | | | |
2.05%7,10 | | | 12/13/18 | | | | 1,159,000 | | | | 1,154,015 | |
2.16%7 | | | 01/24/19 | | | | 3,198,000 | | | | 3,175,525 | |
| | | | | | | | | | | | |
Issues | | Maturity Date | | | Principal Amount/ Shares | | | Value | |
SHORT-TERM INVESTMENTS (continued) | |
U.S. Treasury Bills (continued) | |
2.18%7 | | | 01/31/19 | | | $ | 2,000,000 | | | $ | 1,984,962 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 6,314,502 | |
| | | | | | | | | | | | |
Total Short-Term Investments | | | | | |
| (Cost $66,256,399) | | | | 66,134,257 | |
| | | | | | | | | | | | |
| |
Total Investments – 106.10% | | | | | |
| (Cost $725,117,452) | | | | 720,311,479 | |
| | | | | | | | | | | | |
| |
Liabilities in Excess of Other Assets – (6.10)% | | | | (41,413,269 | ) |
| | | | | | | | | | | | |
| |
| Net Assets – 100.00% | | | $ | 678,898,210 | |
| | | | | | | | | | | | |
| 1 | Floating rate security. The rate disclosed was in effect at September 30, 2018. |
| 2 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| 3 | U.S. dollar-denominated security issued by foreign-domiciled entity. |
| 4 | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
| 5 | Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $359,047, which is 0.05% of total net assets. |
| 6 | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. |
| 7 | Represents annualized yield at date of purchase. |
| 8 | Represents the current yield as of September 30, 2018. |
| 9 | Securities, or a portion thereof, pledged as collateral for swaps and foreign currency exchange contracts. The total market value of collateral pledged for swaps is $18. The total market value of collateral pledged for foreign currency exchange contracts is $242. |
| 10 | Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $1,153,982. |
| † | Fair valued security. The aggregate value of fair valued securities is $2,337,866, which is 0.34% of total net assets. These securities were not valued utilizing an independent quote but were valued pursuant to guidelines established by the Board of Trustees. This figure represents securities that are priced using a benchmark pricing system and securities that have been deemed permanently stale, see Notes to Financial Statements. |
| * | Securities with a call or reset feature will have an effective maturity date sooner than the stated maturity. |
| ** | Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date sooner than the stated maturity date. |
Note: For Fund compliance purposes, the Fund's industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for more meaningful presentation for investors.
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| 65 / Semi-Annual Report September 2018 |
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
(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
(STEP): Step coupon bond
(TBA): To be announced
(USD): U.S. dollar
(WI): When issued
| | | | | | | | | | | | | | | | | | | | |
Currency to be Purchased | | Currency to be Sold | | Counterparty | | Settlement Date | | Unrealized Appreciation |
FOREIGN CURRENCY EXCHANGE CONTRACT | | | | | | | | | | |
USD 4,907,628 | | JPY 540,000,000 | | Goldman Sachs International | | | | 11/05/18 | | | | $ | 140,079 | |
USD 3,420,960 | | JPY 385,000,000 | | Goldman Sachs International | | | | 01/09/19 | | | | | 1,363 | |
| | | | | | | | | | | | | | |
| | | | |
NET UNREALIZED APPRECIATION | | | | | | | | | | | | $ | 141,442 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| Description | | Number of Contracts | | Expiration Date | | Notional Amount | | Value | | Unrealized Appreciation/ (Depreciation) |
FUTURES CONTRACTS: LONG POSITIONS | | | | | | | | | | | | | | | |
U.S. Treasury Five Year Note | | | | 649 | | | 12/31/18 | | | $ | 72,997,287 | | | | $ | (437,025 | ) | | | $ | (437,025 | ) |
U.S. Treasury Two Year Note | | | | 635 | | | 12/31/18 | | | | 133,816,331 | | | | | (440,918 | ) | | | | (440,918 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | 206,813,618 | | | | | (877,943 | ) | | | | (877,943 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
FUTURES CONTRACTS: SHORT POSITIONS | | | | | | | | | | | | | | | |
Euro-Bobl Five Year German Bond | | | | 123 | | | 12/06/18 | | | | 18,672,296 | | | | | 102,700 | | | | | 102,700 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
TOTAL FUTURES CONTRACTS | | | | | | | | | | $ | 225,485,914 | | | | $ | (775,243 | ) | | | $ | (775,243 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2018 / 66 |
Investment Grade Credit Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BONDS – 98.20% | | | | | |
ASSET-BACKED SECURITIES — 7.75%** | | | | | |
CarMax Auto Owner Trust, Series 2016-2, Class B | | | | | |
2.16% | | | 12/15/21 | | | $ | 30,000 | | | $ | 29,379 | |
J.G. Wentworth XXX LLC, | | | | | |
Series 2013-3A, Class A | | | | | |
4.08% | | | 01/17/73 | 1 | | | 43,577 | | | | 43,884 | |
Navient Student Loan Trust, Series 2014-2, Class A | | | | | |
(LIBOR USD 1-Month plus 0.64%) | | | | | |
2.86% | | | 03/25/83 | 2 | | | 93,610 | | | | 93,188 | |
SLM Student Loan Trust, Series 2008-5, Class B | | | | | |
(LIBOR USD 3-Month plus 1.85%) | | | | | |
4.19% | | | 07/25/73 | 2 | | | 15,000 | | | | 15,399 | |
SLM Student Loan Trust, Series 2008-6, Class A4 | | | | | |
(LIBOR USD 3-Month plus 1.10%) | | | | | |
3.44% | | | 07/25/23 | 2 | | | 44,979 | | | | 45,236 | |
SLM Student Loan Trust, Series 2008-8, Class A4 | | | | | |
(LIBOR USD 3-Month plus 1.50%) | | | | | |
3.84% | | | 04/25/23 | 2 | | | 50,000 | | | | 51,020 | |
SLM Student Loan Trust, Series 2008-9, Class A | | | | | |
(LIBOR USD 3-Month plus 1.50%) | | | | | |
3.84% | | | 04/25/23 | 2 | | | 40,319 | | | | 41,204 | |
SLM Student Loan Trust, Series 2008-9, Class B | | | | | |
(LIBOR USD 3-Month plus 2.25%) | | | | | |
4.59% | | | 10/25/83 | 2 | | | 15,000 | | | | 15,631 | |
Structured Receivables Finance LLC, | | | | | |
Series 2010-B, Class A | | | | | |
3.73% | | | 08/15/36 | 1 | | | 101,225 | | | | 98,077 | |
| | | | | |
| |
Total Asset-Backed Securities | | | | | |
(Cost $426,126) | | | | 433,018 | |
| | | | | |
| |
CORPORATES — 44.96%* | | | | | |
Banking — 7.65% | | | | | |
Bank of America Corp. (MTN) | | | | | |
3.50% | | | 05/17/22 | 3 | | | 40,000 | | | | 40,036 | |
3.97% | | | 03/05/29 | 3 | | | 60,000 | | | | 58,567 | |
Bank of New York Mellon Corp. (The) (MTN) | | | | | |
2.66% | | | 05/16/23 | 3 | | | 30,000 | | | | 29,047 | |
JPMorgan Chase & Co. | | | | | |
3.90% | | | 07/15/25 | | | | 70,000 | | | | 69,953 | |
4.01% | | | 04/23/29 | 3 | | | 20,000 | | | | 19,617 | |
4.20% | | | 07/23/29 | 3 | | | 15,000 | | | | 14,973 | |
Lloyds Bank PLC (United Kingdom) (MTN) | | | | | |
5.80% | | | 01/13/20 | 1,4 | | | 20,000 | | | | 20,626 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Banking (continued) | | | | | |
Lloyds Banking Group PLC (United Kingdom) | | | | | |
2.91% | | | 11/07/23 | 3,4 | | $ | 30,000 | | | $ | 28,635 | |
Santander UK Group Holdings PLC (United Kingdom) | | | | | |
3.37% | | | 01/05/24 | 3,4 | | | 15,000 | | | | 14,418 | |
US Bank N.A. (BKNT) | | | | | |
3.40% | | | 07/24/23 | | | | 30,000 | | | | 29,876 | |
Wells Fargo & Co. (MTN) | | | | | |
2.63% | | | 07/22/22 | | | | 85,000 | | | | 82,094 | |
3.58% | | | 05/22/28 | 3 | | | 20,000 | | | | 19,155 | |
| | | | | |
| |
| | | | 426,997 | |
| | | | | |
Communications — 3.58% | | | | | |
21st Century Fox America, Inc. | | | | | |
6.20% | | | 12/15/34 | | | | 4,000 | | | | 4,941 | |
AT&T, Inc. | | | | | |
4.30% | | | 02/15/30 | 1 | | | 45,000 | | | | 43,495 | |
Charter Communications Operating LLC/Charter Communications Operating Capital | | | | | |
3.75% | | | 02/15/28 | | | | 27,000 | | | | 24,911 | |
Comcast Corp. | | | | | |
2.35% | | | 01/15/27 | | | | 30,000 | | | | 26,419 | |
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC | | | | | |
5.15% | | | 03/20/28 | 1 | | | 20,000 | | | | 20,148 | |
Verizon Communications, Inc. | | | | | |
4.33% | | | 09/21/28 | 1 | | | 40,000 | | | | 40,245 | |
Viacom, Inc. | | | | | |
3.45% | | | 10/04/26 | | | | 16,000 | | | | 14,973 | |
Vodafone Group PLC (United Kingdom) | | | | | |
4.38% | | | 05/30/28 | 4 | | | 15,000 | | | | 14,807 | |
Warner Media LLC | | | | | |
3.88% | | | 01/15/26 | | | | 10,000 | | | | 9,719 | |
| | | | | |
| |
| | | | 199,658 | |
| | | | | |
Consumer Discretionary — 2.25% | | | | | |
Anheuser-Busch InBev Worldwide, Inc. | | | | | |
4.00% | | | 04/13/28 | | | | 52,000 | | | | 51,356 | |
Bacardi Ltd. (Bermuda) | | | | | |
4.70% | | | 05/15/28 | 1,4 | | | 15,000 | | | | 14,920 | |
BAT Capital Corp. | | | | | |
2.76% | | | 08/15/22 | 1 | | | 30,000 | | | | 28,932 | |
Constellation Brands, Inc. | | | | | |
4.25% | | | 05/01/23 | | | | 15,000 | | | | 15,218 | |
Pernod Ricard SA (France) | | | | | |
4.45% | | | 01/15/22 | 1,4 | | | 15,000 | | | | 15,342 | |
| | | | | |
| |
| | | | 125,768 | |
| | | | | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 67 / Semi-Annual Report September 2018 |
Investment Grade Credit Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Consumer Products — 0.26% | | | | | |
Newell Brands, Inc. | | | | | |
3.85% | | | 04/01/23 | | | $ | 15,000 | | | $ | 14,634 | |
| | | | | |
Electric — 2.55% | | | | | |
Appalachian Power Co. | | | | | |
4.45% | | | 06/01/45 | | | | 5,000 | | | | 5,015 | |
Duquesne Light Holdings, Inc. | | | | | |
5.90% | | | 12/01/21 | 1 | | | 23,000 | | | | 24,157 | |
6.40% | | | 09/15/20 | 1 | | | 7,000 | | | | 7,333 | |
ITC Holdings Corp. | | | | | |
4.05% | | | 07/01/23 | | | | 10,000 | | | | 10,003 | |
Metropolitan Edison Co. | | | | | |
4.00% | | | 04/15/25 | 1 | | | 25,000 | | | | 24,812 | |
PNM Resources, Inc. | | | | | |
3.25% | | | 03/09/21 | | | | 10,000 | | | | 9,903 | |
Public Service Co. of New Mexico | | | | | |
3.85% | | | 08/01/25 | | | | 10,000 | | | | 9,922 | |
Southwestern Electric Power Co. | | | | | |
4.10% | | | 09/15/28 | | | | 20,000 | | | | 20,031 | |
Tucson Electric Power Co. | | | | | |
5.15% | | | 11/15/21 | | | | 30,000 | | | | 30,988 | |
| | | | | |
| |
| | | | 142,164 | |
| | | | | |
Energy — 3.48% | | | | | |
Enbridge Energy Partners LP | | | | | |
5.50% | | | 09/15/40 | | | | 5,000 | | | | 5,400 | |
Energy Transfer Partners LP | | | | | |
4.95% | | | 06/15/28 | | | | 5,000 | | | | 5,100 | |
EQT Corp. | | | | | |
3.90% | | | 10/01/27 | | | | 15,000 | | | | 14,081 | |
EQT Midstream Partners LP | | | | | |
5.50% | | | 07/15/28 | | | | 8,000 | | | | 8,218 | |
Hess Corp. | | | | | |
4.30% | | | 04/01/27 | | | | 12,000 | | | | 11,657 | |
Kinder Morgan, Inc. | | | | | |
5.63% | | | 11/15/23 | 1 | | | 25,000 | | | | 26,715 | |
Plains All American Pipeline LP/PAA Finance Corp. | | | | | |
4.65% | | | 10/15/25 | | | | 15,000 | | | | 15,214 | |
Ruby Pipeline LLC | | | | | |
6.00% | | | 04/01/22 | 1 | | | 22,348 | | | | 22,959 | |
Sabine Pass Liquefaction LLC | | | | | |
4.20% | | | 03/15/28 | | | | 12,000 | | | | 11,685 | |
TC PipeLines LP | | | | | |
3.90% | | | 05/25/27 | | | | 30,000 | | | | 28,472 | |
Texas Eastern Transmission LP | | | | | |
2.80% | | | 10/15/22 | 1 | | | 10,000 | | | | 9,606 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Energy (continued) | | | | | |
Williams Cos., Inc. (The) | | | | | |
3.70% | | | 01/15/23 | | | $ | 10,000 | | | $ | 9,909 | |
4.55% | | | 06/24/24 | | | | 25,000 | | | | 25,468 | |
| | | | | |
| |
| | | | 194,484 | |
| | | | | |
Finance — 7.67% | | | | | |
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland) | | | | | |
3.88% | | | 01/23/28 | 4 | | | 11,000 | | | | 10,203 | |
3.95% | | | 02/01/22 | 4 | | | 20,000 | | | | 19,960 | |
Air Lease Corp. | | | | | |
3.00% | | | 09/15/23 | | | | 15,000 | | | | 14,215 | |
3.63% | | | 12/01/27 | | | | 11,000 | | | | 10,125 | |
Citigroup, Inc. | | | | | |
2.90% | | | 12/08/21 | | | | 70,000 | | | | 68,618 | |
3.67% | | | 07/24/28 | 3 | | | 20,000 | | | | 19,060 | |
Ford Motor Credit Co. LLC | | | | | |
(LIBOR USD 3-Month plus 1.08%) | | | | | |
3.43% | | | 08/03/22 | 2 | | | 25,000 | | | | 24,766 | |
GE Capital International Funding Co. (Ireland) | | | | | |
2.34% | | | 11/15/20 | 4 | | | 10,000 | | | | 9,754 | |
4.42% | | | 11/15/35 | 4 | | | 21,000 | | | | 19,799 | |
Goldman Sachs Group, Inc. (The) | | | | | |
2.88% | | | 10/31/22 | 3 | | | 75,000 | | | | 73,128 | |
4.22% | | | 05/01/29 | 3 | | | 20,000 | | | | 19,697 | |
Morgan Stanley (GMTN) | | | | | |
3.70% | | | 10/23/24 | | | | 70,000 | | | | 69,051 | |
3.77% | | | 01/24/29 | 3 | | | 20,000 | | | | 19,220 | |
Pipeline Funding Co. LLC | | | | | |
7.50% | | | 01/15/30 | 1 | | | 18,976 | | | | 22,157 | |
Raymond James Financial, Inc. | | | | | |
3.63% | | | 09/15/26 | | | | 30,000 | | | | 28,735 | |
| | | | | |
| |
| | | | 428,488 | |
| | | | | |
Food — 1.00% | | | | | |
General Mills, Inc. | | | | | |
3.70% | | | 10/17/23 | | | | 15,000 | | | | 14,925 | |
Kraft Heinz Foods Co. | | | | | |
3.00% | | | 06/01/26 | | | | 23,000 | | | | 21,030 | |
Tyson Foods, Inc. | | | | | |
3.90% | | | 09/28/23 | | | | 20,000 | | | | 20,101 | |
| | | | | |
| |
| | | | 56,056 | |
| | | | | |
Gaming — 0.27% | | | | | |
GLP Capital LP/GLP Financing II, Inc. | | | | | |
5.30% | | | 01/15/29 | | | | 15,000 | | | | 15,119 | |
| | | | | |
Health Care — 6.72% | | | | | |
AbbVie, Inc. | | | | | |
3.60% | | | 05/14/25 | | | | 25,000 | | | | 24,232 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2018 / 68 |
Investment Grade Credit Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Health Care (continued) | | | | | |
4.25% | | | 11/14/28 | | | $ | 10,000 | | | $ | 9,899 | |
Allergan Sales LLC | | | | | |
5.00% | | | 12/15/21 | 1 | | | 25,000 | | | | 25,920 | |
Anthem, Inc. | | | | | |
3.65% | | | 12/01/27 | | | | 25,000 | | | | 23,833 | |
Barnabas Health, Inc. | | | | | |
4.00% | | | 07/01/28 | | | | 15,000 | | | | 14,831 | |
Baxalta, Inc. | | | | | |
3.60% | | | 06/23/22 | | | | 25,000 | | | | 24,843 | |
Bayer U.S. Finance II LLC | | | | | |
4.38% | | | 12/15/28 | 1 | | | 25,000 | | | | 24,534 | |
Becton Dickinson and Co. | | | | | |
2.89% | | | 06/06/22 | | | | 15,000 | | | | 14,530 | |
Celgene Corp. | | | | | |
3.90% | | | 02/20/28 | | | | 25,000 | | | | 24,111 | |
CVS Health Corp. | | | | | |
4.00% | | | 12/05/23 | | | | 60,000 | | | | 60,186 | |
Elanco Animal Health, Inc. | | | | | |
4.90% | | | 08/28/28 | 1 | | | 15,000 | | | | 15,259 | |
Fresenius Medical Care U.S. Finance II, Inc. | | | | | |
5.63% | | | 07/31/19 | 1 | | | 20,000 | | | | 20,400 | |
Fresenius US Finance II, Inc. | | | | | |
4.25% | | | 02/01/21 | 1 | | | 15,000 | | �� | | 15,121 | |
Halfmoon Parent, Inc. | | | | | |
4.38% | | | 10/15/28 | 1 | | | 30,000 | | | | 29,973 | |
Humana, Inc. | | | | | |
2.90% | | | 12/15/22 | | | | 15,000 | | | | 14,548 | |
Providence St. Joseph Health Obligated Group, Series H | | | | | |
2.75% | | | 10/01/26 | | | | 20,000 | | | | 18,331 | |
Shire Acquisitions Investments Ireland DAC (Ireland) | | | | | |
3.20% | | | 09/23/26 | 4 | | | 5,000 | | | | 4,624 | |
UnitedHealth Group, Inc. | | | | | |
3.85% | | | 06/15/28 | | | | 10,000 | | | | 10,047 | |
| | | | | |
| |
| | | | 375,222 | |
| | | | | |
Industrials — 1.42% | | | | | |
Amcor Finance USA, Inc. | | | | | |
3.63% | | | 04/28/26 | 1 | | | 5,000 | | | | 4,722 | |
4.50% | | | 05/15/28 | 1 | | | 15,000 | | | | 14,912 | |
BAE Systems Holdings, Inc. | | | | | |
6.38% | | | 06/01/19 | 1 | | | 20,000 | | | | 20,428 | |
L3 Technologies, Inc. | | | | | |
3.85% | | | 06/15/23 | | | | 15,000 | | | | 15,046 | |
Northrop Grumman Corp. | | | | | |
2.93% | | | 01/15/25 | | | | 15,000 | | | | 14,270 | |
United Technologies Corp. | | | | | |
4.13% | | | 11/16/28 | | | | 10,000 | | | | 9,952 | |
| | | | | |
| |
| | | | 79,330 | |
| | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Information Technology — 0.53% | | | | | |
Broadcom Corp./Broadcom Cayman Finance Ltd. | | | | | |
2.38% | | | 01/15/20 | | | $ | 30,000 | | | $ | 29,657 | |
| | | | | |
Insurance — 1.49% | | | | | |
Farmers Insurance Exchange | | | | | |
4.75% | | | 11/01/57 | 1,3 | | | 25,000 | | | | 22,622 | |
Metropolitan Life Global Funding I | | | | | |
3.88% | | | 04/11/22 | 1 | | | 15,000 | | | | 15,167 | |
Nationwide Mutual Insurance Co. | | | | | |
4.62% | | | 12/15/24 | 1,3 | | | 20,000 | | | | 20,075 | |
Teachers Insurance & Annuity Association of America | | | | | |
4.38% | | | 09/15/54 | 1,3 | | | 25,000 | | | | 25,169 | |
| | | | | |
| |
| | | | 83,033 | |
| | | | | |
Materials — 0.27% | | | | | |
International Flavors & Fragrances, Inc. | | | | | |
4.45% | | | 09/26/28 | | | | 15,000 | | | | 15,163 | |
| | | | | |
Real Estate Investment Trust (REIT) — 4.14% | | | | | |
Alexandria Real Estate Equities, Inc. | | | | | |
4.50% | | | 07/30/29 | | | | 8,000 | | | | 7,986 | |
American Campus Communities Operating Partnership LP | | | | | |
3.35% | | | 10/01/20 | | | | 15,000 | | | | 14,929 | |
3.63% | | | 11/15/27 | | | | 5,000 | | | | 4,723 | |
American Tower Corp. | | | | | |
3.55% | | | 07/15/27 | | | | 15,000 | | | | 14,043 | |
Boston Properties LP | | | | | |
2.75% | | | 10/01/26 | | | | 10,000 | | | | 9,067 | |
CC Holdings GS V LLC/Crown Castle GS III Corp. | | | | | |
3.85% | | | 04/15/23 | | | | 15,000 | | | | 14,916 | |
Greystar Student Housing Growth & Income OP LP | | | | | |
4.60% | | | 12/01/24 | | | | 40,000 | | | | 41,210 | |
HCP, Inc. | | | | | |
3.88% | | | 08/15/24 | | | | 10,000 | | | | 9,784 | |
4.25% | | | 11/15/23 | | | | 20,000 | | | | 20,068 | |
Healthcare Realty Trust, Inc. | | | | | |
3.75% | | | 04/15/23 | | | | 15,000 | | | | 14,687 | |
Healthcare Trust of America Holdings LP | | | | | |
2.95% | | | 07/01/22 | | | | 15,000 | | | | 14,506 | |
Highwoods Realty LP | | | | | |
3.20% | | | 06/15/21 | | | | 5,000 | | | | 4,916 | |
Host Hotels & Resorts LP | | | | | |
6.00% | | | 10/01/21 | | | | 5,000 | | | | 5,271 | |
National Retail Properties, Inc. | | | | | |
3.80% | | | 10/15/22 | | | | 15,000 | | | | 14,992 | |
SL Green Operating Partnership LP | | | | | |
3.25% | | | 10/15/22 | | | | 15,000 | | | | 14,566 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 69 / Semi-Annual Report September 2018 |
Investment Grade Credit Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Real Estate Investment Trust (REIT) (continued) | |
UDR, Inc. | | | | | |
4.63% | | | 01/10/22 | | | $ | 15,000 | | | $ | 15,342 | |
Ventas Realty LP | | | | | |
4.13% | | | 01/15/26 | | | | 10,000 | | | | 9,859 | |
| | | | | | | | | | | | |
| |
| | | | 230,865 | |
| | | | | | | | | | | | |
Retail — 0.28% | | | | | |
Family Dollar Stores, Inc. | | | | | |
5.00% | | | 02/01/21 | | | | 15,000 | | | | 15,441 | |
| | | | | | | | | | | | |
Services — 0.43% | | | | | |
IHS Markit Ltd. (Bermuda) | | | | | |
4.75% | | | 08/01/28 | 4 | | | 5,000 | | | | 5,023 | |
5.00% | | | 11/01/22 | 1,4 | | | 5,000 | | | | 5,173 | |
Republic Services, Inc. | | | | | |
2.90% | | | 07/01/26 | | | | 15,000 | | | | 13,978 | |
| | | | | | | | | | | | |
| |
| | | | 24,174 | |
| | | | | | | | | | | | |
Transportation — 0.97% | | | | | |
Burlington Northern Santa Fe LLC | | | | | |
4.40% | | | 03/15/42 | | | | 4,000 | | | | 4,095 | |
U.S. Airways Pass-Through Trust, Series 2010-1, Class A | | | | | |
6.25% | | | 04/22/23 | | | | 5,481 | | | | 5,863 | |
U.S. Airways Pass-Through Trust, Series 2011-1, Class A | | | | | |
7.13% | | | 10/22/23 | | | | 26,568 | | | | 29,106 | |
Union Pacific Corp. | | | | | |
3.95% | | | 09/10/28 | | | | 15,000 | | | | 15,104 | |
| | | | | | | | | | | | |
| |
| | | | 54,168 | |
| | | | | | | | | | | | |
Total Corporates | | | | | |
(Cost $2,509,167) | | | | 2,510,421 | |
| | | | | | | | | | | | |
MORTGAGE-BACKED — 45.22%** | | | | | |
Non-Agency Commercial | | | | | |
Mortgage-Backed — 16.04% | | | | | |
225 Liberty Street Trust, Series 2016-225L, Class A | | | | | |
3.60% | | | 02/10/36 | 1 | | | 25,000 | | | | 24,745 | |
Banc of America Merrill Lynch Commercial Mortgage Trust, Series 2018-PARK, Class A | | | | | |
4.09% | | | 08/10/38 | 1,3 | | | 5,000 | | | | 5,108 | |
BANK, Series 2017-BNK8, Class A3 | | | | | |
3.23% | | | 11/15/50 | | | | 57,210 | | | | 54,746 | |
CFCRE Commercial Mortgage Trust, Series 2017-C8, Class A4 | | | | | |
3.57% | | | 06/15/50 | | | | 57,210 | | | | 56,147 | |
Citigroup Commercial Mortgage Trust, Series 2013-GC11, Class XA (IO) | | | | | |
1.55% | | | 04/10/46 | 3 | | | 840,632 | | | | 42,881 | |
Commercial Mortgage Trust, Series 2013-CR10, Class XA (IO) | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Commercial | | | | | |
Mortgage-Backed (continued) | | | | | |
0.87% | | | 08/10/46 | 3 | | $ | 960,271 | | | $ | 28,688 | |
Commercial Mortgage Trust, Series 2014-277P, Class A | | | | | |
3.73% | | | 08/10/49 | 1,3 | | | 25,000 | | | | 25,020 | |
Commercial Mortgage Trust, Series 2016-787S, Class A | | | | | |
3.55% | | | 02/10/36 | 1 | | | 25,000 | | | | 24,621 | |
Commercial Mortgage Trust, Series 2018-HOME, Class A | | | | | |
3.82% | | | 04/10/33 | 1,3 | | | 60,000 | | | | 59,567 | |
DBUBS Mortgage Trust, Series 2011-LC2A, Class XA | | | | | |
1.25% | | | 07/10/44 | 1,3 | | | 826,732 | | | | 18,557 | |
Government National Mortgage Association, Series 2013-33, Class AC | | | | | |
1.74% | | | 05/16/46 | | | | 77,488 | | | | 71,722 | |
| GS Mortgage Securities Corp. II, Series 2005-ROCK, Class A | | | | | |
5.37% | | | 05/03/32 | 1 | | | 110,202 | | | | 119,609 | |
GS Mortgage Securities Trust, Series 2011-GC5, Class XA (IO) | | | | | |
1.51% | | | 08/10/44 | 1,3 | | | 1,666,993 | | | | 51,668 | |
| JPMBB Commercial Mortgage Securities Trust, Series 2015-C28, Class A1 | | | | | |
1.45% | | | 10/15/48 | | | | 73,251 | | | | 73,075 | |
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2010-C2, Class XB (IO) | | | | | |
0.81% | | | 11/15/43 | 1,3 | | | 1,397,175 | | | | 18,263 | |
JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class XA (IO) | | | | | |
1.41% | | | 04/15/46 | 3 | | | 503,009 | | | | 23,218 | |
| SFAVE Commercial Mortgage Securities Trust, Series 2015-5AVE, Class A1 | | | | | |
3.87% | | | 01/05/43 | 1,3 | | | 100,000 | | | | 95,365 | |
UBS-Barclays Commercial Mortgage Trust, Series 2012-C3, Class XB (IO) | | | | | |
0.32% | | | 08/10/49 | 1,3,5,6 | | | 3,700,000 | | | | 33,281 | |
Wells Fargo Commercial Mortgage Trust, Series 2013-120B, Class A | | | | | |
2.80% | | | 03/18/28 | 1,3 | | | 25,000 | | | | 24,731 | |
Wells Fargo Commercial Mortgage Trust, Series 2015-SG1, Class XA (IO) | | | | | |
0.91% | | | 09/15/48 | 3,5,6 | | | 1,154,925 | | | | 44,783 | |
| | | | | | | | | | | | |
| |
| | | | 895,795 | |
| | | | | | | | | | | | |
Non-Agency Mortgage-Backed — 5.68% | | | | | |
Ameriquest Mortgage Securities, Inc., Series 2005-R2, Class M2 | | | | | |
(LIBOR USD 1-Month plus 0.72%) | | | | | |
2.94% | | | 04/25/35 | 2 | | | 16,668 | | | | 16,721 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2018 / 70 |
Investment Grade Credit Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
Bear Stearns ALT-A Trust, Series 2004-3, Class A1 | | | | | |
(LIBOR USD 1-Month plus 0.64%) | | | | | |
2.86% | | | 04/25/34 | 2 | | $ | 49,703 | | | $ | 49,346 | |
Bear Stearns ARM Trust, Series 2004-1, Class 12A5 | | | | | |
3.93% | | | 04/25/34 | 3 | | | 15,466 | | | | 15,598 | |
Bear Stearns Asset-Backed Securities Trust, Series 2006-SD2, Class A1 | | | | | |
(LIBOR USD 1-Month plus 0.38%) | | | | | |
2.60% | | | 06/25/36 | 2 | | | 10,730 | | | | 10,693 | |
Bombardier Capital Mortgage Securitization Corp., Series 2000-A, Class A2 | | | | | |
7.58% | | | 06/15/30 | 3 | | | 19,426 | | | | 7,078 | |
CIT Mortgage Loan Trust, Series 2007-1, Class 1A | | | | | |
(LIBOR USD 1-Month plus 1.35%) | | | | | |
3.57% | | | 10/25/37 | 1,2 | | | 15,336 | | | | 15,514 | |
Citigroup Mortgage Loan Trust, Inc., Series 2005-OPT1, Class M1 | | | | | |
(LIBOR USD 1-Month plus 0.63%) | | | | | |
2.85% | | | 02/25/35 | 2 | | | 22,429 | | | | 22,426 | |
IndyMac Index Mortgage Loan Trust, Series 2007-FLX3, Class A1 | | | | | |
(LIBOR USD 1-Month plus 0.24%) | | | | | |
2.46% | | | 06/25/37 | 2 | | | 19,754 | | | | 19,638 | |
JPMorgan Mortgage Acquisition Trust, Series 2007-CH2, Class AV1 | | | | | |
(LIBOR USD 1-Month plus 0.16%) | | | | | |
2.38% | | | 01/25/37 | 2 | | | 19,521 | | | | 19,553 | |
JPMorgan Mortgage Trust, Series 2005-A3, Class 2A1 | | | | | |
3.81% | | | 06/25/35 | 3 | | | 19,488 | | | | 19,398 | |
Long Beach Mortgage Loan Trust, Series 2006-1, Class 1A | | | | | |
(LIBOR USD 1-Month plus 0.22%) | | | | | |
2.44% | | | 02/25/36 | 2 | | | 10,187 | | | | 9,926 | |
Morgan Stanley Mortgage Loan Trust, Series 2004-5AR, Class 3A1 | | | | | |
3.99% | | | 07/25/34 | 3 | | | 27,163 | | | | 27,205 | |
Saxon Asset Securities Trust, Series 2007-2, Class A2A | | | | | |
(LIBOR USD 1-Month plus 0.10%) | | | | | |
2.32% | | | 05/25/47 | 2,5,6 | | | 99,390 | | | | 79,897 | |
Structured Asset Mortgage Investments II, Series 2004-AR1, Class 1A2 | | | | | |
(LIBOR USD 1-Month plus 0.70%) | | | | | |
2.87% | | | 03/19/34 | 2 | | | 3,856 | | | | 3,805 | |
| | | | | | | | | | | | |
| |
| | | | 316,798 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Commercial | | | | | |
Mortgage-Backed — 7.46% | | | | | |
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K011, Class X3 (IO) | | | | | |
2.66% | | | 12/25/43 | 3 | | $ | 1,067,620 | | | $ | 57,177 | |
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K013, Class X3 (IO) | | | | | |
2.91% | | | 01/25/43 | 3 | | | 860,000 | | | | 53,918 | |
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K717, Class X3 (IO) | | | | | |
1.68% | | | 11/25/42 | 3 | | | 900,000 | | | | 41,215 | |
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KAIV, Class X2 (IO) | | | | | |
3.61% | | | 06/25/41 | 3 | | | 200,000 | | | | 17,589 | |
FRESB Mortgage Trust, Series 2015-SB3, Class A3 | | | | | |
(LIBOR USD 1-Month plus 0.55%) | | | | | |
2.66% | | | 01/25/43 | 2 | | | 66,045 | | | | 65,928 | |
Ginnie Mae, Series 2013-1, Class IO (IO) | | | | | |
0.61% | | | 02/16/54 | 3 | | | 2,049,134 | | | | 80,468 | |
Ginnie Mae, Series 2013-125, Class IO (IO) | | | | | |
0.76% | | | 10/16/54 | 3 | | | 1,761,929 | | | | 64,418 | |
Ginnie Mae, Series 2013-46, Class AB | | | | | |
1.72% | | | 08/16/42 | | | | 38,475 | | | | 35,690 | |
| | | | | | | | | | | | |
| |
| | | | 416,403 | |
| | | | | | | | | | | | |
U.S. Agency Mortgage-Backed — 16.04% | | | | | |
Fannie Mae Pool AM1691 | | | | | |
3.46% | | | 01/01/43 | | | | 36,151 | | | | 34,055 | |
Fannie Mae Pool AM6492 | | | | | |
3.76% | | | 08/01/34 | | | | 48,367 | | | | 48,125 | |
Fannie Mae Pool AM6761 | | | | | |
3.57% | | | 10/01/29 | | | | 46,756 | | | | 46,172 | |
Fannie Mae Pool AN0335 | | | | | |
3.39% | | | 01/01/31 | | | | 49,521 | | | | 48,241 | |
Fannie Mae Pool AN0854 | | | | | |
3.28% | | | 02/01/28 | | | | 55,000 | | | | 53,165 | |
Fannie Mae Pool AN6046 | | | | | |
3.22% | | | 07/01/32 | | | | 107,756 | | | | 101,734 | |
Fannie Mae Pool AN6146 | | | | | |
3.13% | | | 07/01/32 | | | | 50,000 | | | | 46,008 | |
Fannie Mae Pool AN6241 | | | | | |
3.46% | | | 09/01/37 | | | | 95,000 | | | | 89,652 | |
Fannie Mae Pool AN6553 | | | | | |
3.17% | | | 05/01/31 | | | | 90,000 | | | | 85,587 | |
Fannie Mae Pool AN7631 | | | | | |
3.16% | | | 12/01/32 | | | | 50,000 | | | | 45,893 | |
Fannie Mae Pool AN9420 | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 71 / Semi-Annual Report September 2018 |
Investment Grade Credit Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed (continued) | | | | | |
3.77% | | | 07/01/43 | | | $ | 49,823 | | | $ | 49,537 | |
Fannie Mae REMICS, Series 2013-5, Class GF | | | | | |
(LIBOR USD 1-Month plus 1.10%) | | | | | |
3.32% | | | 10/25/42 | 2 | | | 76,169 | | | | 76,346 | |
Freddie Mac REMICS | | | | | |
3.50% | | | 06/15/42 | | | | 103,000 | | | | 101,578 | |
Freddie Mac REMICS, Series 4638, Class UF | | | | | |
(LIBOR USD 1-Month plus 1.00%) | | | | | |
3.26% | | | 09/15/44 | 2 | | | 69,287 | | | | 69,742 | |
| | | | | | | | | | | | |
| |
| | | | 895,835 | |
| | | | | | | | | | | | |
Total Mortgage-Backed | | | | | |
| (Cost $2,500,380) | | | | 2,524,831 | |
| | | | | | | | | | | | |
MUNICIPAL BONDS — 0.18%* | | | | | |
California — 0.09% | | | | | |
| University of California, Taxable Revenue Bonds, Series AJ | | | | | |
4.60% | | | 05/15/31 | | | | 5,000 | | | | 5,310 | |
| | | | | | | | | | | | |
New York — 0.09% | | | | | |
| New York City Transitional Finance Authority Future Tax Secured Revenue | | | | | |
3.73% | | | 08/01/29 | | | | 5,000 | | | | 4,943 | |
| | | | | | | | | | | | |
Total Municipal Bonds | | | | | |
| (Cost $10,294) | | | | 10,253 | |
| | | | | | | | | | | | |
U.S. TREASURY SECURITIES — 0.09% | | | | | |
U.S. Treasury Notes — 0.09% | | | | | |
U.S. Treasury Notes | | | | | |
2.88% | | | 09/30/23 | | | | 5,000 | | | | 4,983 | |
| | | | | | | | | | | | |
| |
Total U.S. Treasury Securities | | | | | |
| (Cost $4,984) | | | | 4,983 | |
| | | | | | | | | | | | |
| |
Total Bonds – 98.20% | | | | | |
| (Cost $5,450,951) | | | | 5,483,506 | |
| | | | | | | | | | | | |
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount/
Shares | | | Value | |
SHORT-TERM INVESTMENTS — 4.87% | | | | | |
| |
Money Market Funds — 4.39% | | | | | |
| Morgan Stanley Institutional Liquidity Funds-Government Portfolio | | | | | |
2.04%7 | | | 245,000 | | | | 245,000 | |
| | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | |
| Maturity
Date |
| |
| Principal
Amount/
Shares |
| | | Value | |
SHORT-TERM INVESTMENTS (continued) | | | | | |
Money Market Funds (continued) | | | | | |
| |
U.S. Treasury Bills — 0.48% | | | | | |
U.S. Treasury Bills | | | | | |
2.05%8,9 | | | 12/13/18 | | | $ | 27,000 | | | $ | 26,884 | |
| | | | | | | | | | | | |
| |
Total Short-Term Investments | | | | | |
| (Cost $271,885) | | | | 271,884 | |
| | | | | | | | | | | | |
| |
Total Investments – 103.07% | | | | | |
| (Cost $5,722,836) | | | $ | 5,755,390 | |
| | | | | | | | | | | | |
| |
Liabilities in Excess of Other | | | | | |
Assets – (3.07)% | | | | (171,469 | ) |
| | | | | | | | | | | | |
| |
Net Assets – 100.00% | | | $ | 5,583,921 | |
| | | | | | | | | | | | |
| 1 | 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. |
| 2 | Floating rate security. The rate disclosed was in effect at September 30, 2018. |
| 3 | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. |
| 4 | U.S. dollar-denominated security issued by foreign-domiciled entity. |
| 5 | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
| 6 | Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $157,961, which is 2.83% of total net assets. |
| 7 | Represents the current yield as of September 30, 2018. |
| 8 | Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $26,883. |
| 9 | Represents annualized yield at date of purchase. |
| * | 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
(LIBOR): London InterBank Offer Rate
(MTN): Medium-term Note
(USD): U.S. dollar
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2018 / 72 |
Investment Grade Credit Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Number of Contracts | | Expiration Date | | Notional Amount | | Value | | Unrealized
Appreciation/
(Depreciation) |
FUTURES CONTRACTS: LONG POSITIONS | | | | | | | | | | | | | | | | | | | | | | | | | |
U.S. Treasury Five Year Note | | | | 7 | | | | | 12/31/18 | | | | $ | 787,336 | | | | $ | (4,522 | ) | | | $ | (4,522 | ) |
U.S. Treasury Two Year Note | | | | 5 | | | | | 12/31/18 | | | | | 1,053,672 | | | | | (1,239 | ) | | | | (1,239 | ) |
U.S. Treasury Ten Year Note | | | | 3 | | | | | 12/19/18 | | | | | 356,344 | | | | | (2,584 | ) | | | | (2,584 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | 2,197,352 | | | | | (8,345 | ) | | | | (8,345 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
FUTURES CONTRACTS: SHORT POSITIONS | | | | | | | | | | | | | | | | | | | | | | | | | |
U.S. Treasury Ten Year Ultra Bond | | | | 8 | | | | | 12/19/18 | | | | | (1,008,000 | ) | | | | 1,139 | | | | | 1,139 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
TOTAL FUTURES CONTRACTS | | | | | | | | | | | | | $ | 1,189,352 | | | | $ | (7,206 | ) | | | $ | (7,206 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 73 / Semi-Annual Report September 2018 |
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
BONDS – 93.68% | | | | | |
ASSET-BACKED SECURITIES — 5.93%** | | | | | |
| Access Group, Inc., Series 2015-1, Class A | | | | | |
| (LIBOR USD 1-Month plus 0.70%) | | | | | |
2.92% | | 07/25/561,2 | | $ | 2,167,380 | | | $ | 2,164,158 | |
| Barings CLO Ltd., Series 2013-IA, Class AR (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 0.80%) | | | | | |
3.15% | | 01/20/281,2,3 | | | 6,700,000 | | | | 6,675,666 | |
Bayview Commercial Asset Trust,
Series 2005-1A, Class A1 | | | | | |
| (LIBOR USD 1-Month plus 0.30%) | | | | | |
2.52% | | 04/25/351,2 | | | 278,279 | | | | 271,506 | |
Brazos Higher Education Authority, Inc.,
Series 2011-1, Class A2 | | | | | |
| (LIBOR USD 3-Month plus 0.80%) | | | | | |
3.11% | | 02/25/301 | | | 120,771 | | | | 121,597 | |
Brazos Higher Education Authority, Inc.,
Series 2011-2, Class A3 | | | | | |
| (LIBOR USD 3-Month plus 1.00%) | | | | | |
3.34% | | 10/27/361 | | | 5,075,000 | | | | 5,162,113 | |
Education Loan Asset-Backed Trust I,
Series 2013-1, Class A2 | | | | | |
| (LIBOR USD 1-Month plus 0.80%) | | | | | |
3.02% | | 04/26/321,2 | | | 8,375,000 | | | | 8,421,197 | |
GCO Education Loan Funding Trust,
Series 2006-2AR, Class A1RN | | | | | |
| (LIBOR USD 1-Month plus 0.65%) | | | | | |
2.87% | | 08/27/461,2 | | | 7,301,266 | | | | 7,203,166 | |
Goal Capital Funding Trust,
Series 2006-1, Class B | | | | | |
| (LIBOR USD 3-Month plus 0.45%) | | | | | |
2.76% | | 08/25/421 | | | 2,665,656 | | | | 2,515,474 | |
J.G. Wentworth XXX LLC,
Series 2013-3A, Class A | | | | | |
4.08% | | 01/17/732 | | | 4,121,671 | | | | 4,150,680 | |
Magnetite VII CLO Ltd.,
Series 2012-7A, Class A1R2 (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 0.80%) | | | | | |
3.14% | | 01/15/281,2,3 | | | 5,880,000 | | | | 5,849,906 | |
| Navient Student Loan Trust, Series 2015-2, Class A3 | | | | | |
| (LIBOR USD 1-Month plus 0.57%) | | | | | |
2.79% | | 11/26/401 | | | 5,300,000 | | | | 5,305,501 | |
| Nelnet Student Loan Trust, Series 2013-1A, Class A | | | | | |
| (LIBOR USD 1-Month plus 0.60%) | | | | | |
2.82% | | 06/25/411,2 | | | 3,103,052 | | | | 3,119,960 | |
| Nelnet Student Loan Trust, Series 2014-5A, Class A | | | | | |
| (LIBOR USD 1-Month plus 0.55%) | | | | | |
2.77% | | 07/25/461,2 | | | 10,275,523 | | | | 10,290,439 | |
| Northstar Education Finance, Inc., Series 2007-1, Class A1 | | | | | |
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | | | | | |
| (1.00 X LIBOR USD 3-Month plus 0.10%) | | | | | |
2.44% | | 04/28/301 | | $ | 3,572,098 | | | $ | 3,559,038 | |
SLC Student Loan Trust, Series 2007-1, Class A4 | |
| (LIBOR USD 3-Month plus 0.06%) | | | | | |
2.37% | | 05/15/291 | | | 5,119,625 | | | | 5,067,042 | |
SLM Student Loan Trust, Series 2003-10A, Class A3 | |
| (LIBOR USD 3-Month plus 0.47%) | | | | | |
2.80% | | 12/15/271,2 | | | 10,522,936 | | | | 10,568,994 | |
SLM Student Loan Trust, Series 2003-11, Class A6 | |
| (LIBOR USD 3-Month plus 0.55%) | | | | | |
2.88% | | 12/15/251,2 | | | 5,083,540 | | | | 5,110,058 | |
SLM Student Loan Trust, Series 2006-9, Class A5 | |
| (LIBOR USD 3-Month plus 0.10%) | | | | | |
2.44% | | 01/26/261 | | | 2,413,198 | | | | 2,409,369 | |
SLM Student Loan Trust, Series 2007-3, Class A3 | |
| (LIBOR USD 3-Month plus 0.04%) | | | | | |
2.38% | | 04/25/191 | | | 3,986,342 | | | | 3,978,636 | |
SLM Student Loan Trust, Series 2007-6, Class A4 | |
| (LIBOR USD 3-Month plus 0.38%) | | | | | |
2.72% | | 10/25/241 | | | 5,795,730 | | | | 5,810,359 | |
SLM Student Loan Trust, Series 2008-1, Class A4 | |
| (LIBOR USD 3-Month plus 0.65%) | | | | | |
2.99% | | 01/25/221 | | | 6,451,167 | | | | 6,408,214 | |
SLM Student Loan Trust, Series 2008-6, Class A4 | |
| (LIBOR USD 3-Month plus 1.10%) | | | | | |
3.44% | | 07/25/231 | | | 3,751,208 | | | | 3,772,677 | |
SLM Student Loan Trust, Series 2008-8, Class B | |
| (LIBOR USD 3-Month plus 2.25%) | | | | | |
4.59% | | 10/25/751 | | | 1,095,000 | | | | 1,150,419 | |
SLM Student Loan Trust, Series 2011-1, Class A1 | |
| (LIBOR USD 1-Month plus 0.52%) | | | | | |
2.74% | | 03/25/261 | | | 141,427 | | | | 141,790 | |
SLM Student Loan Trust, Series 2012-2, Class A | |
| (LIBOR USD 1-Month plus 0.70%) | | | | | |
2.92% | | 01/25/291 | | | 3,007,651 | | | | 2,994,521 | |
SLM Student Loan Trust, Series 2012-7, Class A3 | |
| (LIBOR USD 1-Month plus 0.65%) | | | | | |
2.87% | | 05/26/261 | | | 11,980,199 | | | | 11,872,278 | |
SLM Student Loan Trust, Series 2013-4, Class A | |
| (LIBOR USD 1-Month plus 0.55%) | | | | | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| Semi-Annual Report September 2018 / 74 |
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | | | | | |
2.77% | | | 06/25/431 | | | $ | 3,780,250 | | | $ | 3,803,885 | |
SLM Student Loan Trust, Series 2014-1, Class A3 | | | | | |
| (LIBOR USD 1-Month plus 0.60%) | | | | | |
2.82% | | | 02/26/291 | | | | 6,098,460 | | | | 6,022,334 | |
| Student Loan Consolidation Center Student | | | | | |
| Loan Trust I, Series 2002-2, Class B2 | | | | | |
| (28 Day Auction Rate plus 0.00%)0 | | | | | |
1.61% | | | 07/01/421,2 | | | | 3,900,000 | | | | 3,110,004 | |
| Voya CLO Ltd., Series 2015-2A, Class AR (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 0.97%) | | | | | |
3.32% | | | 07/23/271,2,3 | | | | 3,505,000 | | | | 3,506,349 | |
| | | | | | | | | | | | |
| |
Total Asset-Backed Securities | | | | | |
| (Cost $139,319,248) | | | | 140,537,330 | |
| | | | | | | | | | | | |
BANK LOANS — 0.59%* | | | | | |
Communications — 0.13% | | | | | |
| Intelsat Jackson Holdings SA, | | | | | |
| Term Loan B5, 1st Lien (Luxembourg) | | | | | |
6.63% | | | 01/02/243 | | | | 500,000 | | | | 522,375 | |
| Lamar Media Corp., Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 1.75%) | | | | | |
3.94% | | | 03/14/251 | | | | 497,500 | | | | 500,403 | |
Sprint Communications, Inc., Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 2.50%) | | | | | |
4.75% | | | 02/02/241 | | | | 795,960 | | | | 798,944 | |
Unitymedia Finance LLC, Term Loan B,
1st Lien | | | | | |
| (LIBOR plus 2.00%) | | | | | |
4.16% | | | 06/01/231 | | | | 1,250,000 | | | | 1,252,425 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 3,074,147 | |
| | | | | | | | | | | | |
Electric — 0.04% | | | | | |
Chief Power Finance LLC, Term Loan B,
1st Lien | | | | | |
| (LIBOR plus 4.75%) | | | | | |
7.00% | | | 12/31/201,4,5 | | | | 986,098 | | | | 939,752 | |
| | | | | | | | | | | | |
Finance — 0.14% | | | | | |
| Delos Finance SARL, Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 1.75%) | | | | | |
4.14% | | | 10/06/231 | | | | 3,429,507 | | | | 3,446,654 | |
| | | | | | | | | | | | |
Health Care — 0.10% | | | | | |
| Catalent Pharma Solutions, Inc., Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 2.25%) | | | | | |
4.49% | | | 05/20/241 | | | | 989,462 | | | | 997,116 | |
| Iqvia, Inc., Term Loan B3, 1st Lien | | | | | |
| (LIBOR plus 1.75%) | | | | | |
4.14% | | | 06/11/251 | | | | 498,750 | | | | 499,166 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BANK LOANS (continued) | | | | | |
Health Care (continued) | | | | | |
| Valeant Pharmaceuticals International, Inc., Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 3.00%) | | | | | |
5.10% | | | 06/02/251 | | | $ | 780,000 | | | $ | 784,840 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 2,281,122 | |
| | | | | | | | | | | | |
Industrials — 0.06% | | | | | |
| Tyco International Holdings SARL, Term Loan | | | | | |
| (LIBOR plus 1.25%) | | | | | |
3.62% | | | 03/02/201,4,5 | | | | 1,368,640 | | | | 1,367,360 | |
| | | | | | | | | | | | |
Information Technology — 0.12% | | | | | |
| Dell International LLC, Term Loan A3, 1st Lien | | | | | |
| (LIBOR plus 1.50%) | | | | | |
3.75% | | | 12/31/181 | | | | 1,583,260 | | | | 1,585,984 | |
| Quintiles IMS, Inc., Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 2.00%) | | | | | |
4.39% | | | 03/07/241 | | | | 450,337 | | | | 452,363 | |
SS&C Technologies, Inc., Term Loan B3,
1st Lien | | | | | |
| (LIBOR plus 2.25%) | | | | | |
4.49% | | | 04/16/251 | | | | 624,779 | | | | 626,147 | |
SS&C Technology Holdings Europe SARL,
Term Loan B4, 1st Lien | | | | | |
| (LIBOR plus 2.25%) | | | | | |
4.49% | | | 04/16/251 | | | | 242,518 | | | | 243,049 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 2,907,543 | |
| | | | | | | | | | | | |
Total Bank Loans | | | | | |
| (Cost $13,998,754) | | | | 14,016,578 | |
| | | | | | | | | | | | |
CORPORATES — 35.75%* | | | | | |
Automotive — 0.25% | | | | | |
| General Motors Co. | | | | | |
3.50% | | | 10/02/18 | | | | 6,000,000 | | | | 6,000,000 | |
| | | | | | | | | | | | |
Banking — 8.98% | | | | | |
| Bank of America Corp. | | | | | |
2.74% | | | 01/23/226 | | | | 9,705,000 | | | | 9,547,350 | |
3.00% | | | 12/20/236 | | | | 2,159,000 | | | | 2,096,400 | |
6.88% | | | 11/15/18 | | | | 1,000,000 | | | | 1,005,377 | |
7.63% | | | 06/01/19 | | | | 5,000,000 | | | | 5,158,301 | |
| Bank of America Corp. (GMTN) | | | | | |
2.37% | | | 07/21/216 | | | | 18,025,000 | | | | 17,711,131 | |
| Bank of New York Mellon Corp. (The) (MTN) | | | | | |
2.30% | | | 09/11/19 | | | | 4,753,000 | | | | 4,728,933 | |
| Bank of New York Mellon Corp., (The) Series G | | | | | |
2.20% | | | 05/15/19 | | | | 629,000 | | | | 627,494 | |
| Capital One Bank USA N.A. (BKNT) | | | | | |
2.15% | | | 11/21/18 | | | | 4,295,000 | | | | 4,293,508 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| 75 / Semi-Annual Report September 2018 |
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Banking (continued) | | | | | |
| Discover Bank | | | | | | | | | | | | |
2.60% | | | 11/13/18 | | | $ | 5,975,000 | | | $ | 5,974,808 | |
| JPMorgan Chase & Co. | | | | | |
2.25% | | | 01/23/20 | | | | 10,000,000 | | | | 9,901,745 | |
6.30% | | | 04/23/19 | | | | 22,375,000 | | | | 22,824,201 | |
| JPMorgan Chase Bank N.A. | | | | | |
2.60% | | | 02/01/216 | | | | 13,950,000 | | | | 13,848,364 | |
| JPMorgan Chase Bank N.A. (BKNT) | | | | | |
| (LIBOR USD 3-Month plus 0.25%) | | | | | |
2.59% | | | 02/13/201 | | | | 7,695,000 | | | | 7,699,581 | |
| Lloyds Bank PLC (United Kingdom) | | | | | |
3.30% | | | 05/07/213 | | | | 6,475,000 | | | | 6,449,685 | |
| Macquarie Bank Ltd. (Australia) | | | | | |
2.60% | | | 06/24/192,3 | | | | 5,000,000 | | | | 4,988,071 | |
| PNC Bank N.A. (BKNT) | | | | | |
1.70% | | | 12/07/18 | | | | 7,680,000 | | | | 7,670,224 | |
1.95% | | | 03/04/19 | | | | 10,000,000 | | | | 9,975,295 | |
2.25% | | | 07/02/19 | | | | 1,795,000 | | | | 1,788,236 | |
| Santander UK Group Holdings PLC (United Kingdom) | | | | | |
2.88% | | | 08/05/213 | | | | 13,000,000 | | | | 12,662,201 | |
| Santander UK PLC (United Kingdom) | | | | | |
2.50% | | | 01/05/213 | | | | 2,250,000 | | | | 2,202,655 | |
| UBS AG/London (Switzerland) | | | | | |
| (LIBOR USD 3-Month plus 0.32%) | | | | | |
2.63% | | | 05/28/191,2,3 | | | | 8,000,000 | | | | 8,016,644 | |
| US Bank N.A. (BKNT) | | | | | |
3.05% | | | 07/24/20 | | | | 12,075,000 | | | | 12,064,278 | |
| Wells Fargo & Co., Series N (MTN) | | | | | |
2.15% | | | 01/30/20 | | | | 9,535,000 | | | | 9,423,966 | |
| Wells Fargo Bank N.A. (BKNT) | | | | | |
2.15% | | | 12/06/19 | | | | 7,715,000 | | | | 7,642,111 | |
2.40% | | | 01/15/20 | | | | 20,000,000 | | | | 19,846,790 | |
3.33% | | | 07/23/216 | | | | 4,620,000 | | | | 4,615,810 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 212,763,159 | |
| | | | | | | | | | | | |
Communications — 1.30% | | | | | |
| AT&T, Inc. | | | | | | | | | | | | |
2.38% | | | 11/27/18 | | | | 5,000,000 | | | | 4,998,459 | |
3.00% | | | 06/30/22 | | | | 7,440,000 | | | | 7,258,058 | |
3.40% | | | 05/15/25 | | | | 2,655,000 | | | | 2,530,231 | |
3.90% | | | 03/11/24 | | | | 1,700,000 | | | | 1,690,539 | |
| Charter Communications Operating LLC/Charter Communications Operating Capital | | | | | |
4.50% | | | 02/01/24 | | | | 3,415,000 | | | | 3,439,680 | |
| Discovery Communications LLC | | | | | |
2.75% | | | 11/15/192 | | | | 2,000,000 | | | | 1,990,622 | |
2.80% | | | 06/15/202 | | | | 715,000 | | | | 708,028 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Communications (continued) | |
| Sprint Communications, Inc. | | | | | |
7.00% | | | 03/01/202 | | | $ | 1,264,000 | | | $ | 1,314,560 | |
9.00% | | | 11/15/182 | | | | 2,200,000 | | | | 2,219,250 | |
| Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint | | | | | |
| Spectrum Co. III LLC | | | | | | | | | | | | |
3.36% | | | 09/20/212 | | | | 3,187,500 | | | | 3,187,500 | |
| Warner Media LLC | | | | | | | | | | | | |
3.88% | | | 01/15/26 | | | | 1,400,000 | | | | 1,360,602 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 30,697,529 | |
| | | | | | | | | | | | |
Consumer Discretionary — 0.81% | | | | | |
| Altria Group, Inc. | | | | | | | | | | | | |
9.70% | | | 11/10/18 | | | | 7,340,000 | | | | 7,393,953 | |
| Constellation Brands, Inc. | | | | | |
2.00% | | | 11/07/19 | | | | 7,000,000 | | | | 6,921,852 | |
| Molson Coors Brewing Co. | | | | | |
2.25% | | | 03/15/20 | | | | 5,000,000 | | | | 4,928,716 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 19,244,521 | |
| | | | | | | | | | | | |
Consumer Products — 0.24% | | | | | |
| Newell Brands, Inc. | | | | | | | | | | | | |
2.60% | | | 03/29/19 | | | | 2,540,000 | | | | 2,534,016 | |
2.88% | | | 12/01/19 | | | | 3,230,000 | | | | 3,225,142 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 5,759,158 | |
| | | | | | | | | | | | |
Electric — 2.44% | | | | | | | | | | | | |
| Black Hills Corp. | | | | | | | | | | | | |
4.25% | | | 11/30/23 | | | | 4,050,000 | | | | 4,106,598 | |
| Duke Energy Florida LLC | | | | | |
2.10% | | | 12/15/19 | | | | 2,800,000 | | | | 2,783,421 | |
| ITC Holdings Corp. | | | | | | | | | | | | |
5.50% | | | 01/15/202 | | | | 1,780,000 | | | | 1,820,498 | |
| Jersey Central Power & Light Co. | | | | | |
7.35% | | | 02/01/19 | | | | 505,000 | | | | 512,847 | |
| LG&E & KU Energy LLC | | | | | |
3.75% | | | 11/15/20 | | | | 3,400,000 | | | | 3,413,809 | |
| Metropolitan Edison Co. | | | | | |
7.70% | | | 01/15/19 | | | | 4,250,000 | | | | 4,306,776 | |
| Mississippi Power Co. | | | | | | | | | | | | |
| (LIBOR USD 3-Month plus 0.65%) | | | | | |
3.06% | | | 03/27/201 | | | | 5,000,000 | | | | 5,000,654 | |
| Nevada Power Co. | | | | | | | | | | | | |
7.13% | | | 03/15/19 | | | | 4,125,000 | | | | 4,209,814 | |
| NextEra Energy Capital Holdings, Inc. | | | | | |
| (LIBOR USD 3-Month plus 0.48%) | | | | | |
2.82% | | | 05/04/211 | | | | 7,700,000 | | | | 7,724,255 | |
| (LIBOR USD 3-Month plus 0.55%) | | | | | |
2.86% | | | 08/28/211 | | | | 3,952,000 | | | | 3,952,622 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| Semi-Annual Report September 2018 / 76 |
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Electric (continued) | | | | | |
| Pennsylvania Electric Co. | | | | | |
5.20% | | | 04/01/20 | | | $ | 1,262,000 | | | $ | 1,289,180 | |
| PNM Resources, Inc. | | | | | | | | | |
3.25% | | | 03/09/21 | | | | 7,115,000 | | | | 7,046,177 | |
| Progress Energy, Inc. | | | | | | | | | |
7.05% | | | 03/15/19 | | | | 4,200,000 | | | | 4,281,045 | |
| Southwestern Electric Power Co. | | | | | |
6.45% | | | 01/15/19 | | | | 7,395,000 | | | | 7,455,071 | |
| | | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 57,902,767 | |
| | | | | | | | | | | | |
Energy — 0.95% | | | | | |
| Energy Transfer Partners LP | | | | | |
4.90% | | | 02/01/24 | | | | 4,292,000 | | | | 4,435,872 | |
| Florida Gas Transmission Co. LLC | | | | | |
7.90% | | | 05/15/192 | | | | 3,320,000 | | | | 3,417,098 | |
| Panhandle Eastern Pipeline Co. LP | | | | | |
8.13% | | | 06/01/19 | | | | 1,000,000 | | | | 1,031,716 | |
| Phillips 66 | | | | | | | | | | | | |
| (LIBOR USD 3-Month plus 0.65%) | | | | | |
2.99% | | | 04/15/191,2 | | | | 1,145,000 | | | | 1,145,459 | |
| Plains All American Pipeline LP/PAA Finance Corp. | | | | | |
3.85% | | | 10/15/23 | | | | 5,422,000 | | | | 5,358,552 | |
| Rockies Express Pipeline LLC | | | | | |
5.63% | | | 04/15/202 | | | | 2,036,000 | | | | 2,102,170 | |
6.00% | | | 01/15/192 | | | | 1,500,000 | | | | 1,511,625 | |
| Ruby Pipeline LLC | | | | | |
6.00% | | | 04/01/222 | | | | 3,499,773 | | | | 3,595,362 | |
| | | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 22,597,854 | |
| | | | | | | | | | | | |
Finance — 5.25% | | | | | |
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland) | | | | | |
3.75% | | | 05/15/193 | | | | 500,000 | | | | 502,046 | |
| Air Lease Corp. | | | | | | | | | | | | |
2.13% | | | 01/15/20 | | | | 5,000,000 | | | | 4,922,807 | |
3.50% | | | 01/15/22 | | | | 3,420,000 | | | | 3,397,772 | |
| American Express Credit Corp. (GMTN) | | | | | |
2.25% | | | 08/15/19 | | | | 2,840,000 | | | | 2,826,787 | |
| American Express Credit Corp. (MTN) | | | | | |
2.20% | | | 03/03/20 | | | | 4,000,000 | | | | 3,956,022 | |
| Associates Corp. of North America | | | | | |
6.95% | | | 11/01/18 | | | | 11,000,000 | | | | 11,030,069 | |
| Citibank N.A. (BKNT) | | | | | | | | | |
3.05% | | | 05/01/20 | | | | 11,605,000 | | | | 11,601,427 | |
| Citigroup, Inc. | | | | | | | | | | | | |
2.05% | | | 12/07/18 | | | | 2,000,000 | | | | 1,998,470 | |
2.50% | | | 07/29/19 | | | | 2,500,000 | | | | 2,495,005 | |
8.50% | | | 05/22/19 | | | | 3,000,000 | | | | 3,105,591 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Finance (continued) | | | | | |
| Daimler Finance North America LLC | | | | | |
1.50% | | | 07/05/192 | | | $ | 4,407,000 | | | $ | 4,364,254 | |
1.75% | | | 10/30/192 | | | | 2,000,000 | | | | 1,971,298 | |
| Ford Motor Credit Co. LLC | | | | | |
2.38% | | | 03/12/19 | | | | 1,290,000 | | | | 1,286,901 | |
2.46% | | | 03/27/20 | | | | 1,000,000 | | | | 983,557 | |
2.60% | | | 11/04/19 | | | | 2,550,000 | | | | 2,530,672 | |
3.20% | | | 01/15/21 | | | | 3,000,000 | | | | 2,954,195 | |
5.75% | | | 02/01/21 | | | | 2,000,000 | | | | 2,082,249 | |
| (LIBOR USD 3-Month plus 0.79%) | | | | | |
3.12% | | | 06/12/201 | | | | 2,080,000 | | | | 2,080,119 | |
| Ford Motor Credit Co. LLC (MTN) | | | | | |
2.94% | | | 01/08/19 | | | | 1,000,000 | | | | 1,000,200 | |
| GE Capital International Funding Co. (Ireland) | | | | | |
2.34% | | | 11/15/203 | | | | 2,000,000 | | | | 1,950,739 | |
| General Motors Financial Co., Inc. | | | | | |
2.40% | | | 05/09/19 | | | | 2,600,000 | | | | 2,593,572 | |
| Goldman Sachs Group, Inc. (The) | | | | | |
2.55% | | | 10/23/19 | | | | 6,049,000 | | | | 6,024,846 | |
2.63% | | | 04/25/21 | | | | 1,880,000 | | | | 1,842,461 | |
| (LIBOR USD 3-Month plus 1.02%) | | | | | |
3.37% | | | 10/23/191 | | | | 5,000,000 | | | | 5,045,123 | |
| International Lease Finance Corp. | | | | | |
6.25% | | | 05/15/19 | | | | 3,000,000 | | | | 3,058,816 | |
| Morgan Stanley (GMTN) | | | | | |
5.50% | | | 01/26/20 | | | | 2,805,000 | | | | 2,891,480 | |
5.50% | | | 07/24/20 | | | | 3,450,000 | | | | 3,581,020 | |
7.30% | | | 05/13/19 | | | | 8,000,000 | | | | 8,214,240 | |
| (LIBOR USD 3-Month plus 0.55%) | | | | | |
2.89% | | | 02/10/211 | | | | 10,000,000 | | | | 10,033,986 | |
| Morgan Stanley (MTN) | | | | | |
5.63% | | | 09/23/19 | | | | 2,000,000 | | | | 2,051,088 | |
| Morgan Stanley, Series 3NC2 | | | | | |
| (LIBOR USD 3-Month plus 0.80%) | | | | | |
3.12% | | | 02/14/201 | | | | 3,795,000 | | | | 3,804,163 | |
| Protective Life Global Funding | | | | | |
1.72% | | | 04/15/192 | | | | 8,245,000 | | | | 8,201,232 | |
| | | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 124,382,207 | |
| | | | | | | | | | | | |
Food — 1.48% | | | | | |
| Campbell Soup Co. | | | | | |
3.30% | | | 03/15/21 | | | | 4,025,000 | | | | 3,998,898 | |
| Conagra Brands, Inc. | | | | | |
| (LIBOR USD 3-Month plus 0.50%) | | | | | |
2.91% | | | 10/09/201 | | | | 7,250,000 | | | | 7,235,925 | |
| Danone SA (France) | | | | | |
1.69% | | | 10/30/192,3 | | | | 3,325,000 | | | | 3,276,899 | |
| General Mills, Inc. | | | | | |
3.20% | | | 04/16/21 | | | | 7,000,000 | | | | 6,958,831 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| 77 / Semi-Annual Report September 2018 |
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Food (continued) | | | | | |
| Kraft Heinz Foods Co. | | | | | |
| (LIBOR USD 3-Month plus 0.42%) | | | | | |
2.76% | | | 08/09/191 | | | $ | 4,000,000 | | | $ | 4,005,684 | |
| Mondelez International Holdings | | | | | |
| Netherlands BV (Netherlands) | | | | | |
1.63% | | | 10/28/192,3 | | | | 9,670,000 | | | | 9,531,874 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 35,008,111 | |
| | | | | | | | | | | | |
Gaming — 0.32% | | | | | |
| GLP Capital LP/GLP Financing II, Inc. | | | | | |
4.38% | | | 04/15/21 | | | | 3,240,000 | | | | 3,272,400 | |
4.88% | | | 11/01/20 | | | | 4,210,000 | | | | 4,300,094 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 7,572,494 | |
| | | | | | | | | | | | |
Health Care — 4.50% | | | | | |
| AbbVie, Inc. | | | | | |
2.90% | | | 11/06/22 | | | | 5,000,000 | | | | 4,862,169 | |
| Allergan Funding SCS (Luxembourg) | | | | | |
3.45% | | | 03/15/223 | | | | 3,000,000 | | | | 2,982,297 | |
| Anthem, Inc. | | | | | |
2.50% | | | 11/21/20 | | | | 10,270,000 | | | | 10,112,258 | |
| AstraZeneca PLC (United Kingdom) | | | | | |
2.38% | | | 11/16/203 | | | | 2,835,000 | | | | 2,793,075 | |
| Bayer U.S. Finance II LLC | | | | | |
2.13% | | | 07/15/192 | | | | 4,275,000 | | | | 4,243,652 | |
3.50% | | | 06/25/212 | | | | 1,825,000 | | | | 1,820,946 | |
| Bayer U.S. Finance LLC | | | | | |
2.38% | | | 10/08/192 | | | | 6,425,000 | | | | 6,357,319 | |
| Becton Dickinson and Co. | | | | | |
2.40% | | | 06/05/20 | | | | 2,260,000 | | | | 2,226,598 | |
2.68% | | | 12/15/19 | | | | 3,661,000 | | | | 3,635,831 | |
| Boston Scientific Corp. | | | | | |
6.00% | | | 01/15/20 | | | | 4,605,000 | | | | 4,767,243 | |
| Celgene Corp. | | | | | |
2.75% | | | 02/15/23 | | | | 585,000 | | | | 561,363 | |
2.88% | | | 08/15/20 | | | | 5,000,000 | | | | 4,969,413 | |
3.25% | | | 08/15/22 | | | | 2,278,000 | | | | 2,242,758 | |
| Cigna Corp. | | | | | |
4.50% | | | 03/15/21 | | | | 5,335,000 | | | | 5,446,723 | |
5.13% | | | 06/15/20 | | | | 1,725,000 | | | | 1,778,661 | |
| CVS Health Corp. | | | | | | | | | | | | |
2.25% | | | 12/05/18 | | | | 16,681,000 | | | | 16,664,598 | |
| Elanco Animal Health, Inc. | | | | | |
3.91% | | | 08/27/212 | | | | 2,500,000 | | | | 2,504,057 | |
| Halfmoon Parent, Inc. | | | | | |
3.20% | | | 09/17/202 | | | | 6,000,000 | | | | 5,978,754 | |
| HCA, Inc. | | | | | |
6.50% | | | 02/15/20 | | | | 1,960,000 | | | | 2,044,280 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Health Care (continued) | | | | | |
| Humana, Inc. | | | | | |
2.50% | | | 12/15/20 | | | $ | 5,675,000 | | | $ | 5,565,057 | |
| Roche Holdings, Inc. | | | | | |
2.25% | | | 09/30/192 | | | | 3,710,000 | | | | 3,689,807 | |
| Shire Acquisitions Investments Ireland DAC (Ireland) | | | | | |
1.90% | | | 09/23/193 | | | | 5,865,000 | | | | 5,803,680 | |
2.40% | | | 09/23/213 | | | | 1,500,000 | | | | 1,449,860 | |
| Sutter Health, Series 13-C | | | | | |
2.29% | | | 08/15/53 | | | | 1,525,000 | | | | 1,517,375 | |
| Zimmer Biomet Holdings, Inc. | | | | | |
| (LIBOR USD 3-Month plus 0.75%) | | | | | |
3.09% | | | 03/19/211 | | | | 2,685,000 | | | | 2,687,673 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 106,705,447 | |
| | | | | | | | | | | | |
Industrials — 1.67% | | | | | |
| BAE Systems Holdings, Inc. | | | | | |
6.38% | | | 06/01/192 | | | | 5,660,000 | | | | 5,781,025 | |
| Bemis Co., Inc. | | | | | |
6.80% | | | 08/01/19 | | | | 4,180,000 | | | | 4,306,722 | |
| Clean Harbors, Inc. | | | | | |
5.13% | | | 06/01/21 | | | | 243,000 | | | | 244,215 | |
| General Electric Co. (GMTN) | | | | | |
2.20% | | | 01/09/20 | | | | 2,000,000 | | | | 1,979,193 | |
| General Electric Co. (MTN) | | | | | |
| (LIBOR USD 3-Month plus 0.38%) | | | | | |
2.72% | | | 05/05/261 | | | | 5,180,000 | | | | 4,944,660 | |
| L3 Technologies, Inc. | | | | | |
4.95% | | | 02/15/21 | | | | 1,525,000 | | | | 1,567,522 | |
| Siemens Financieringsmaatschappij NV (Netherlands) | | | | | |
1.30% | | | 09/13/192,3 | | | | 6,500,000 | | | | 6,405,994 | |
| United Technologies Corp. | | | | | |
| (LIBOR USD 3-Month plus 0.65%) | | | | | |
2.97% | | | 08/16/211 | | | | 7,250,000 | | | | 7,270,194 | |
| WestRock MWV LLC | | | | | |
7.38% | | | 09/01/19 | | | | 5,850,000 | | | | 6,060,245 | |
| WestRock RKT Co. | | | | | |
3.50% | | | 03/01/20 | | | | 1,000,000 | | | | 1,000,374 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 39,560,144 | |
| | | | | | | | | | | | |
Information Technology — 0.76% | | | | | |
| Analog Devices, Inc. | | | | | |
2.85% | | | 03/12/20 | | | | 4,030,000 | | | | 4,006,089 | |
| Apple, Inc. | | | | | |
1.70% | | | 02/22/19 | | | | 3,255,000 | | | | 3,244,376 | |
| Broadcom Corp./Broadcom Cayman Finance Ltd. | | | | | |
2.38% | | | 01/15/20 | | | | 6,750,000 | | | | 6,672,861 | |
| Dell International LLC/EMC Corp. | | | | | |
3.48% | | | 06/01/192 | | | | 4,000,000 | | | | 4,010,762 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 17,934,088 | |
| | | | | | | | | | | | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| Semi-Annual Report September 2018 / 78 |
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Insurance — 0.49% | | | | | |
| Allstate Corp. (The) | | | | | |
| (LIBOR USD 3-Month plus 0.43%) | | | | | |
2.82% | | 03/29/211 | | $ | 4,000,000 | | | $ | 4,006,216 | |
| Nationwide Mutual Insurance Co. | | | | | |
4.62% | | 12/15/242,6 | | | 3,550,000 | | | | 3,563,313 | |
| Pricoa Global Funding I | | | | | |
1.45% | | 09/13/192 | | | 4,000,000 | | | | 3,931,050 | |
| | | | | |
| |
| | | | 11,500,579 | |
| | | | | |
Materials — 0.60% | | | | | |
| Dow Chemical Co. (The) | | | | | |
8.55% | | 05/15/19 | | | 6,159,000 | | | | 6,370,072 | |
| Georgia-Pacific LLC | | | | | |
2.54% | | 11/15/192 | | | 8,000,000 | | | | 7,946,684 | |
| | | | | |
| |
| | | | 14,316,756 | |
| | | | | |
Real Estate Investment Trust (REIT) — 4.61% | | | | | |
| Alexandria Real Estate Equities, Inc. | | | | | |
2.75% | | 01/15/20 | | | 8,800,000 | | | | 8,722,755 | |
| American Campus Communities Operating Partnership LP | | | | | |
3.35% | | 10/01/20 | | | 6,040,000 | | | | 6,011,388 | |
| American Tower Corp. | | | | | |
3.40% | | 02/15/19 | | | 7,395,000 | | | | 7,409,978 | |
| Boston Properties LP | | | | | |
5.63% | | 11/15/20 | | | 2,260,000 | | | | 2,351,177 | |
5.88% | | 10/15/19 | | | 9,615,000 | | | | 9,842,772 | |
| Digital Realty Trust LP | | | | | |
5.88% | | 02/01/20 | | | 3,000,000 | | | | 3,077,588 | |
| Duke Realty LP | | | | | |
3.88% | | 02/15/21 | | | 6,385,000 | | | | 6,441,229 | |
| HCP, Inc. | | | | | |
2.63% | | 02/01/20 | | | 6,870,000 | | | | 6,811,021 | |
3.75% | | 02/01/19 | | | 5,000,000 | | | | 5,010,347 | |
| Healthcare Trust of America Holdings LP | | | | | |
3.38% | | 07/15/21 | | | 425,000 | | | | 421,952 | |
| Host Hotels & Resorts LP | | | | | |
6.00% | | 10/01/21 | | | 3,500,000 | | | | 3,689,752 | |
| National Retail Properties, Inc. | | | | | |
3.80% | | 10/15/22 | | | 900,000 | | | | 899,507 | |
| Realty Income Corp. | | | | | |
3.25% | | 10/15/22 | | | 3,000,000 | | | | 2,964,331 | |
| Reckson Operating Partnership LP | | | | | |
7.75% | | 03/15/20 | | | 1,650,000 | | | | 1,743,679 | |
| SL Green Operating Partnership LP | | | | | |
| (LIBOR USD 3-Month plus 0.98%) | | | | | |
3.35% | | 08/16/211 | | | 5,000,000 | | | | 5,006,671 | |
| UDR, Inc. | | | | | |
3.70% | | 10/01/20 | | | 3,000,000 | | | | 3,006,460 | |
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Real Estate Investment Trust (REIT) (continued) | | | | | |
4.63% | | 01/10/22 | | $ | 3,874,000 | | | $ | 3,962,343 | |
| Ventas Realty LP/Ventas Capital Corp. | | | | | |
2.70% | | 04/01/20 | | | 3,949,000 | | | | 3,915,892 | |
| VEREIT Operating Partnership LP | | | | | |
3.00% | | 02/06/19 | | | 3,890,000 | | | | 3,888,644 | |
4.13% | | 06/01/21 | | | 2,325,000 | | | | 2,347,599 | |
| WEA Finance LLC/Westfield UK & Europe Finance PLC | | | | | |
2.70% | | 09/17/192 | | | 5,500,000 | | | | 5,485,330 | |
3.25% | | 10/05/202 | | | 4,000,000 | | | | 3,976,314 | |
| Welltower, Inc. | | | | | |
4.13% | | 04/01/19 | | | 12,135,000 | | | | 12,174,372 | |
| | | | | |
| |
| | | | 109,161,101 | |
| | | | | |
Retail — 0.80% | | | | | |
| Alimentation Couche-Tard, Inc. (Canada) | | | | | |
2.35% | | 12/13/192,3 | | | 7,000,000 | | | | 6,934,306 | |
| Dollar Tree, Inc. | | | | | |
| (LIBOR USD 3-Month plus 0.70%) | | | | | |
3.04% | | 04/17/201 | | | 7,000,000 | | | | 7,011,218 | |
| Walgreens Boots Alliance, Inc. | | | | | |
2.70% | | 11/18/19 | | | 5,000,000 | | | | 4,981,418 | |
| | | | | |
| |
| | | | 18,926,942 | |
| | | | | |
Services — 0.13% | | | | | |
| IHS Markit Ltd. (Bermuda) | | | | | |
5.00% | | 11/01/222,3 | | | 2,011,000 | | | | 2,080,581 | |
| Republic Services, Inc. | | | | | |
5.50% | | 09/15/19 | | | 850,000 | | | | 870,058 | |
| | | | | |
| |
| | | | 2,950,639 | |
| | | | | |
Transportation — 0.17% | | | | | |
| America West Airlines Pass-Through Trust, | | | | | |
| Series 2001-1, Class G | | | | | |
7.10% | | 04/02/21 | | | 92,724 | | | | 97,415 | |
| American Airlines Pass-Through Trust, | | | | | |
| Series 2011-1, Class A | | | | | |
5.25% | | 01/31/21 | | | 865,077 | | | | 894,317 | |
| American Airlines Pass-Through Trust, | | | | | |
| Series 2013-2, Class A | | | | | |
4.95% | | 01/15/23 | | | 1,332,797 | | | | 1,363,242 | |
| Continental Airlines Pass-Through Trust, | | | | | |
| Series 1999-1, Class A | | | | | |
6.55% | | 02/02/19 | | | 1,077,401 | | | | 1,090,232 | |
| Continental Airlines Pass-Through Trust, | | | | | |
| Series 2000-2, Class A1 | | | | | |
7.71% | | 04/02/21 | | | 626,472 | | | | 659,725 | |
| | | | | |
| |
| | | | 4,104,931 | |
| | | | | |
| Total Corporates | | | | | |
| (Cost $850,099,451) | | | | 847,088,427 | |
| | | | | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| 79 / Semi-Annual Report September 2018 |
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
MORTGAGE-BACKED — 28.50%** | | | | | |
Non-Agency Commercial | | | | | |
Mortgage-Backed — 0.55% | | | | | |
| Citigroup Commercial Mortgage Trust, | | | | | |
| Series 2012-GC8, Class XA (IO) | | | | | |
1.97% | | 09/10/452,6 | | $ | 17,740,698 | | | $ | 954,710 | |
| GE Business Loan Trust, Series 2006-2A, Class A | | | | | |
0.51% | | 11/15/342 | | | 1,991,332 | | | | 1,957,368 | |
| GE Business Loan Trust, Series 2007-1A, Class A | | | | | |
| (LIBOR USD 1-Month plus 0.17%) | | | | | |
2.33% | | 04/15/351,2 | | | 1,028,710 | | | | 1,009,605 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2006-LDP9, Class A3S | | | | | |
5.24% | | 05/15/472 | | | 982,662 | | | | 979,317 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2006-LDP9, Class A3SF | | | | | |
| (LIBOR USD 1-Month plus 0.16%) | | | | | |
2.31% | | 05/15/471 | | | 5,315,908 | | | | 5,309,375 | |
| Wells Fargo Commercial Mortgage Trust, Series 2013-120B, Class A | | | | | |
2.80% | | 03/18/282,6 | | | 2,855,000 | | | | 2,824,246 | |
| | | | | | | | | | |
| |
| | | | 13,034,621 | |
| | | | | |
Non-Agency Mortgage-Backed — 9.64% | | | | | |
| Accredited Mortgage Loan Trust, Series 2007-1, Class A4 | | | | | |
| (LIBOR USD 1-Month plus 0.22%) | | | | | |
2.44% | | 02/25/371 | | | 12,000,000 | | | | 11,738,626 | |
| ACE Securities Corp. Home Equity Loan Trust, Series 2006-NC1, Class A1 | | | | | |
| (LIBOR USD 1-Month plus 0.44%) | | | | | |
2.66% | | 12/25/351 | | | 2,377,290 | | | | 2,378,699 | |
| Aegis Asset-Backed Securities Trust, Series 2005-5, Class 2A | | | | | |
| (LIBOR USD 1-Month plus 0.25%) | | | | | |
2.47% | | 12/25/351 | | | 5,290,024 | | | | 5,291,126 | |
| Ameriquest Mortgage Securities Trust, Series 2006-R2, Class A1 | | | | | |
| (LIBOR USD 1-Month plus 0.18%) | | | | | |
2.39% | | 04/25/361 | | | 3,667,923 | | | | 3,665,263 | |
| Amresco Residential Securities Corp. | | | | | |
| Mortgage Loan Trust, Series 1998-1, Class A5 (STEP-reset date 11/25/18) | | | | | |
7.32% | | 10/25/27 | | | 11,651 | | | | 12,012 | |
| Argent Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2005-W2, Class A1 | | | | | |
| (LIBOR USD 1-Month plus 0.26%) | | | | | |
2.48% | | 10/25/351 | | | 4,487,875 | | | | 4,486,698 | |
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
| Banc of America Alternative Loan Trust, Series 2003-8, Class 1CB1 | | | | | |
5.50% | | 10/25/33 | | $ | 9,231,784 | | | $ | 9,505,466 | |
| Banc of America Funding Trust, Series 2015-R2, Class 9A1 | | | | | |
| (LIBOR USD 1-Month plus 0.22%) | | | | | |
2.43% | | 03/27/361,2 | | | 5,383,172 | | | | 5,308,647 | |
| Banc of America Funding Trust, Series 2015-R4, Class 3A1 | | | | | |
| (LIBOR USD 1-Month plus 0.14%) | | | | | |
2.20% | | 07/27/361,2 | | | 5,646,763 | | | | 5,556,300 | |
| BCAP LLC Trust, Series 2008-IND2, Class A1 | | | | | |
| (LIBOR USD 1-Month plus 1.65%) | | | | | |
3.87% | | 04/25/381 | | | 5,628,961 | | | | 5,673,597 | |
| BCAP LLC Trust, Series 2013-RR5, Class 2A1 | | | | | |
3.29% | | 03/26/372,6 | | | 4,943,058 | | | | 4,987,103 | |
| Bear Stearns ARM Trust, Series 2004-3, Class 4A | | | | | |
4.42% | | 07/25/346 | | | 2,195,239 | | | | 2,227,428 | |
| Chase Funding Trust, Series 2002-2, Class 2M1 | | | | | |
| (LIBOR USD 1-Month plus 0.90%) | | | | | |
3.12% | | 02/25/321 | | | 84,743 | | | | 84,850 | |
| Chase Mortgage Finance Trust, Series 2007-A1, Class 8A1 | | | | | |
4.14% | | 02/25/376 | | | 8,201,350 | | | | 8,434,157 | |
| Chase Mortgage Finance Trust, Series 2007-A2, Class 2A3 | | | | | |
4.12% | | 07/25/376 | | | 1,801,392 | | | | 1,842,844 | |
| Chevy Chase Mortgage Funding LLC, | | | | | |
| Mortgage-Backed Certificates, Series 2005-2A, Class A1 | | | | | |
| (LIBOR USD 1-Month plus 0.18%) | | | | | |
2.40% | | 05/25/361,2 | | | 947,376 | | | | 938,392 | |
| CIM Trust, Series 2015-4AG, Class A1 | | | | | |
| (LIBOR USD 1-Month plus 2.00%) | | | | | |
4.10% | | 10/25/571,2 | | | 8,755,280 | | | | 8,900,118 | |
| Citigroup Mortgage Loan Trust, Inc., Series 2004-HYB1, Class A41 | | | | | |
3.34% | | 02/25/346 | | | 116,486 | | | | 115,587 | |
| Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH4, Class A2C | | | | | |
| (LIBOR USD 1-Month plus 1.30%) | | | | | |
3.52% | | 07/25/371 | | | 90,000 | | | | 85,700 | |
| Conseco Finance Corp., Series 1998-2, Class A5 | | | | | |
6.24% | | 12/01/28 | | | 3,526 | | | | 3,604 | |
| Conseco Finance Securitizations Corp., Series 2001-4, Class A4 | | | | | |
7.36% | | 08/01/326 | | | 850,068 | | | | 872,257 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| Semi-Annual Report September 2018 / 80 |
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
| Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-14, Class 4A1 | | | | | |
3.89% | | 08/25/346 | | $ | 13,883 | | | $ | 13,577 | |
| Credit Suisse First Boston Mortgage Securities Corp., Series 2004-AR1, Class 5A1 | | | | | |
4.00% | | 02/25/346 | | | 2,062,163 | | | | 2,092,311 | |
| Credit Suisse Mortgage Capital, Series 2014-9R, Class 8A1 | | | | | |
| (LIBOR USD 1-Month plus 0.16%) | | | | | |
2.22% | | 10/27/361,2 | | | 1,094,582 | | | | 1,086,379 | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2005-CB7, Class AF3 (STEP-reset date 11/25/18) | | | | | |
3.79% | | 11/25/35 | | | 163,485 | | | | 163,897 | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB5, Class A1 | | | | | |
| (LIBOR USD 1-Month plus 0.06%) | | | | | |
2.28% | | 04/25/371 | | | 3,025,432 | | | | 2,166,681 | |
| DSLA Mortgage Loan Trust, Series 2005-AR2, Class 2A1A | | | | | |
| (LIBOR USD 1-Month plus 0.21%) | | | | | |
2.38% | | 03/19/451 | | | 988,827 | | | | 992,431 | |
| Encore Credit Receivables Trust, Series 2005-2, Class M2 | | | | | |
| (LIBOR USD 1-Month plus 0.69%) | | | | | |
2.91% | | 11/25/351 | | | 3,848,668 | | | | 3,915,988 | |
| FBR Securitization Trust, Series 2005-02, Class M1 | | | | | |
| (LIBOR USD 1-Month plus 0.72%) | | | | | |
2.94% | | 09/25/351 | | | 1,194,901 | | | | 1,198,768 | |
| First Horizon Alternative Mortgage Securities Trust, Series 2004-AA3, Class A1 | | | | | |
4.17% | | 09/25/346 | | | 7,532 | | | | 7,488 | |
| First Horizon Mortgage Pass-Through Trust, Series 2004-AR7, Class 2A2 | | | | | |
3.72% | | 02/25/356 | | | 872,235 | | | | 884,495 | |
GMACM Home Equity Loan Trust,
Series 2000-HE2, Class A1 | | | | | |
| (LIBOR USD 1-Month plus 0.44%) | | | | | |
2.66% | | 06/25/301 | | | 187,471 | | | | 158,599 | |
| GSAA Home Equity Trust, Series 2005-9, Class 1A1 | | | | | |
| (LIBOR USD 1-Month plus 0.28%) | | | | | |
2.50% | | 08/25/351 | | | 544,059 | | | | 544,332 | |
| GSAMP Trust, Series 2006-NC1, Class A3 | | | | | |
| (LIBOR USD 1-Month plus 0.29%) | | | | | |
2.51% | | 02/25/361 | | | 9,501,499 | | | | 9,489,307 | |
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
| GSR Mortgage Loan Trust, Series 2005-AR7, Class 2A1 | | | | | |
4.05% | | 11/25/356 | | $ | 623,969 | | | $ | 628,266 | |
| Impac CMB Trust, Series 2005-5, Class A1 | | | | | |
| (LIBOR USD 1-Month plus 0.64%) | | | | | |
2.86% | | 08/25/351 | | | 1,908,067 | | | | 1,875,417 | |
IndyMac Index Mortgage Loan Trust,
Series 2004-AR12, Class A1 | | | | | |
| (LIBOR USD 1-Month plus 0.78%) | | | | | |
3.00% | | 12/25/341 | | | 309,391 | | | | 283,520 | |
IndyMac Index Mortgage Loan Trust,
Series 2004-AR8, Class 2A2A | | | | | |
| (LIBOR USD 1-Month plus 0.80%) | | | | | |
3.02% | | 11/25/341 | | | 937,850 | | | | 900,232 | |
| IndyMac Manufactured Housing Contract Pass-Through Certificates, Series 1998-1, Class A4 | | | | | |
6.49% | | 09/25/28 | | | 568,072 | | | | 604,552 | |
JPMorgan Mortgage Acquisition Trust,
Series 2007-HE1, Class AV4 | | | | | |
| (LIBOR USD 1-Month plus 0.28%) | | | | | |
2.50% | | 03/25/471 | | | 50,000 | | | | 43,886 | |
JPMorgan Mortgage Acquisition Trust.,
Series 2005-FRE1, Class A2F3 (STEP-reset date 11/25/18) | | | | | |
3.37% | | 10/25/35 | | | 1,607,380 | | | | 1,615,898 | |
JPMorgan Mortgage Trust, Series 2007-A1,
Class 1A1 | | | | | |
4.41% | | 07/25/356 | | | 1,191,691 | | | | 1,226,028 | |
JPMorgan Mortgage Trust, Series 2007-A1,
Class 5A2 | | | | | |
3.92% | | 07/25/356 | | | 316,175 | | | | 327,335 | |
| Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A3 | | | | | |
4.35% | | 04/15/40 | | | 284,837 | | | | 286,653 | |
| Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A4 | | | | | |
5.27% | | 04/15/40 | | | 236,156 | | | | 238,142 | |
| Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class AIOC (IO) | | | | | |
0.55% | | 04/15/404,5,6 | | | 122,133,580 | | | | 2,158,656 | |
MASTR Adjustable Rate Mortgages Trust,
Series 2003-6, Class 4A2 | | | | | |
3.72% | | 01/25/346 | | | 9,690 | | | | 9,640 | |
MASTR Adjustable Rate Mortgages Trust,
Series 2004-1, Class 2A1 | | | | | |
4.87% | | 01/25/346 | | | 47,242 | | | | 49,444 | |
MASTR Adjustable Rate Mortgages Trust,
Series 2004-13, Class 3A1 | | | | | |
4.42% | | 11/21/346 | | | 1,117,301 | | | | 1,153,295 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| 81 / Semi-Annual Report September 2018 |
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
MASTR Adjustable Rate Mortgages Trust,
Series 2004-3, Class 3A3 | | | | | |
3.81% | | 04/25/346 | | $ | 138,591 | | | $ | 139,243 | |
MASTR Adjustable Rate Mortgages Trust,
Series 2004-5, Class 3A1 | | | | | |
2.62% | | 06/25/346 | | | 31,325 | | | | 28,970 | |
| MASTR Alternative Loan Trust, Series 2003-1, Class 1A1 | | | | | |
6.25% | | 12/25/32 | | | 2,859,777 | | | | 2,979,496 | |
| MASTR Alternative Loan Trust, Series 2003-5, Class 4A1 | | | | | |
5.50% | | 07/25/33 | | | 4,545,625 | | | | 4,729,557 | |
| MASTR Alternative Loan Trust, Series 2003-9, Class 4A1 | | | | | |
5.25% | | 11/25/33 | | | 4,746,472 | | | | 4,926,543 | |
| MASTR Alternative Loan Trust, Series 2004-7, Class 1A1 | | | | | |
5.50% | | 07/25/34 | | | 4,757,534 | | | | 4,937,774 | |
MASTR Seasoned Securitization Trust,
Series 2004-1, Class 4A1 | | | | | |
4.23% | | 10/25/326 | | | 221,220 | | | | 225,461 | |
| Merrill Lynch First Franklin Mortgage Loan Trust, Series 2004-FF5, Class A3C | | | | | |
| (LIBOR USD 1-Month plus 1.00%) | | | | | |
3.22% | | 08/25/341 | | | 942,768 | | | | 922,052 | |
| Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-3, Class A2C | | | | | |
| (LIBOR USD 1-Month plus 0.18%) | | | | | |
2.40% | | 06/25/371 | | | 11,865,480 | | | | 8,953,093 | |
Merrill Lynch Mortgage Investors Trust,
Series 2004-A4, Class A1 | | | | | |
4.10% | | 08/25/346 | | | 1,561,896 | | | | 1,607,839 | |
Merrill Lynch Mortgage Investors Trust,
Series 2006-F1, Class 1A2 | | | | | |
6.00% | | 04/25/36 | | | 1,881,591 | | | | 1,644,149 | |
| Mid-State Capital Corp., Series 2004-1, Class B | | | | | |
8.90% | | 08/15/37 | | | 1,101,890 | | | | 1,248,535 | |
| Mid-State Capital Corp., Series 2006-1, Class A | | | | | |
5.79% | | 10/15/402 | | | 5,165,076 | | | | 5,689,124 | |
Morgan Stanley ABS Capital I Trust,
Series 2004-NC7, Class M2 | | | | | |
| (LIBOR USD 1-Month plus 0.93%) | | | | | |
3.15% | | 07/25/341 | | | 3,218,370 | | | | 3,253,576 | |
Morgan Stanley Mortgage Loan Trust,
Series 2004-6AR, Class 1A | | | | | |
| (LIBOR USD 1-Month plus 0.90%) | | | | | |
3.12% | | 07/25/341 | | | 274,366 | | | | 274,503 | |
Morgan Stanley Resecuritization Trust,
Series 2014-R3, Class 3A | | | | | |
| (LIBOR USD 1-Month plus 1.25%) | | | | | |
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
3.31% | | 03/26/371,2 | | $ | 858,316 | | | $ | 860,352 | |
| MortgageIT Trust, Series 2005-3, Class A1 | | | | | |
| (LIBOR USD 1-Month plus 0.60%) | | | | | |
2.82% | | 08/25/351 | | | 370,572 | | | | 363,493 | |
| MortgageIT Trust, Series 2005-4, Class A1 | | | | | |
| (LIBOR USD 1-Month plus 0.28%) | | | | | |
2.50% | | 10/25/351 | | | 5,740,066 | | | | 5,659,941 | |
New Century Home Equity Loan Trust,
Series 2005-3, Class M2 | | | | | |
| (LIBOR USD 1-Month plus 0.74%) | | | | | |
2.95% | | 07/25/351 | | | 2,976,138 | | | | 2,986,977 | |
New Century Home Equity Loan Trust,
Series 2005-D, Class A1 | | | | | |
| (LIBOR USD 1-Month plus 0.22%) | | | | | |
2.44% | | 02/25/361 | | | 10,881,820 | | | | 10,814,731 | |
| Nomura Resecuritization Trust, Series 2014-1R, Class 4A1 | | | | | |
0.00% | | 01/26/372,6 | | | 184,182 | | | | 185,161 | |
| Option One Mortgage Loan Trust, Series 2005-1, Class A4 | | | | | |
| (LIBOR USD 1-Month plus 0.80%) | | | | | |
3.02% | | 02/25/351 | | | 297,924 | | | | 298,553 | |
Park Place Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2004-WCW2,
Class M2 | | | | | |
| (LIBOR USD 1-Month plus 0.98%) | | | | | |
3.19% | | 10/25/341 | | | 6,785,061 | | | | 6,946,270 | |
Park Place Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2005-WCW2,
Class M1 | | | | | |
| (LIBOR USD 1-Month plus 0.75%) | | | | | |
2.97% | | 07/25/351 | | | 5,875,583 | | | | 5,903,417 | |
| Park Place Securities, Inc., Series 2005-WCW1, Class M1 | | | | | |
| (LIBOR USD 1-Month plus 0.45%) | | | | | |
2.67% | | 09/25/351 | | | 1,594,483 | | | | 1,599,808 | |
| Residential Accredit Loans Trust, Series 2005-QA3, Class NB1 | | | | | |
4.14% | | 03/25/356 | | | 3,427,584 | | | | 2,447,231 | |
Residential Asset Mortgage Products Trust,
Series 2004-SL4, Class A3 | | | | | |
6.50% | | 07/25/32 | | | 344,758 | | | | 345,332 | |
Residential Asset Mortgage Products Trust,
Series 2005-SL1, Class A5 | | | | | |
6.50% | | 05/25/32 | | | 941,273 | | | | 932,035 | |
| Securitized Asset-Backed Receivables LLC Trust, Series 2006-CB1, Class AF2 (STEP-reset date 11/25/18) | | | | | |
3.47% | | 01/25/36 | | | 2,156,668 | | | | 1,852,071 | |
| Structured Adjustable Rate Mortgage Loan Trust, Series 2004-16, Class 6A | | | | | |
4.11% | | 11/25/346 | | | 3,635,691 | | | | 3,696,705 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| Semi-Annual Report September 2018 / 82 |
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
Structured Asset Investment Loan Trust,
Series 2005-8, Class A4 | | | | | |
| (LIBOR USD 1-Month plus 0.72%) | | | | | |
2.94% | | 10/25/351 | | $ | 2,845,164 | | | $ | 2,848,244 | |
| Structured Asset Securities Corp. Mortgage Loan Trust, Series 2006-WF3, Class A5 | | | | | |
| (LIBOR USD 1-Month plus 0.14%) | | | | | |
2.36% | | 09/25/361 | | | 6,382,822 | | | | 6,373,317 | |
| Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2003-26A, Class 3A5 | | | | | |
4.35% | | 09/25/336 | | | 842,856 | | | | 851,827 | |
Terwin Mortgage Trust, Series 2004-7HE,
Class A1 | | | | | |
| (LIBOR USD 1-Month plus 0.55%) | | | | | |
2.77% | | 07/25/341,2 | | | 115,413 | | | | 112,265 | |
| WaMu Mortgage Pass-Through Certificates, Series 2002-AR18, Class A | | | | | |
3.64% | | 01/25/336 | | | 105,786 | | | | 108,616 | |
| WaMu Mortgage Pass-Through Certificates, Series 2004-AR14, Class A1 | | | | | |
3.50% | | 01/25/356 | | | 832,354 | | | | 855,620 | |
| WaMu Mortgage Pass-Through Certificates, Series 2004-CB2, Class 2A | | | | | |
5.50% | | 07/25/34 | | | 4,600,734 | | | | 4,649,970 | |
| WaMu Mortgage Pass-Through Certificates, Series 2005-AR13, Class A1A1 | | | | | |
| (LIBOR USD 1-Month plus 0.29%) | | | | | |
2.51% | | 10/25/451 | | | 2,802,210 | | | | 2,836,752 | |
| WaMu Mortgage Pass-Through Certificates, Series 2005-AR2, Class 2A21 | | | | | |
| (LIBOR USD 1-Month plus 0.33%) | | | | | |
2.55% | | 01/25/451 | | | 457,611 | | | | 457,257 | |
| Wells Fargo Mortgage-Backed Securities Trust, Series 2004-Q, Class 1A1 | | | | | |
4.72% | | 09/25/346 | | | 1,252,074 | | | | 1,337,693 | |
| Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR10, Class 2A14 | | | | | |
4.21% | | 06/25/356 | | | 4,171,065 | | | | 4,289,611 | |
| Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR9, Class 1A1 | | | | | |
4.39% | | 05/25/356 | | | 114,287 | | | | 118,326 | |
| Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR2, Class 2A5 | | | | | |
3.96% | | 03/25/366 | | | 1,044,029 | | | | 1,037,195 | |
| | | | | |
| | | | 228,552,376 | |
| | | | | |
U.S. Agency Commercial | | | | | |
Mortgage-Backed — 10.00% | | | | | |
| Fannie Mae-Aces, Series 2011-M4, Class A2 | | | | | |
3.73% | | 06/25/21 | | | 11,022,792 | | | | 11,173,188 | |
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Commercial
Mortgage-Backed (continued) | | | | | |
| Fannie Mae-Aces, Series 2015-M10, Class FA | | | | | |
| (LIBOR USD 1-Month plus 0.25%) | | | | | |
2.32% | | 03/25/191 | | $ | 4,129,217 | | | $ | 4,123,406 | |
| Fannie Mae-Aces, Series 2017-M11, Class FA | | | | | |
| (LIBOR USD 1-Month plus 0.47%) | | | | | |
2.54% | | 09/25/241 | | | 10,238,914 | | | | 10,271,142 | |
| Freddie Mac Multifamily Structured Pass | | | | | |
| Through Certificates, Series KC02, Class A1 | | | | | |
3.25% | | 02/25/25 | | | 10,000,000 | | | | 9,975,384 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF34, Class A | | | | | |
| (LIBOR USD 1-Month plus 0.36%) | | | | | |
2.47% | | 08/25/241 | | | 4,947,362 | | | | 4,949,765 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series J19F, Class A1 | | | | | |
2.91% | | 02/25/22 | | | 4,397,887 | | | | 4,367,121 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series K003, Class A5 | | | | | |
5.09% | | 03/25/19 | | | 13,850,000 | | | | 13,919,015 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series K004, Class A2 | | | | | |
4.19% | | 08/25/19 | | | 17,405,000 | | | | 17,555,127 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series K005, Class A2 | | | | | |
4.32% | | 11/25/19 | | | 17,500,000 | | | | 17,679,074 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series K006, Class A1 | | | | | |
3.40% | | 07/25/19 | | | 3,075,884 | | | | 3,082,637 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series K007, Class A2 | | | | | |
4.22% | | 03/25/20 | | | 17,435,040 | | | | 17,674,329 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series K033, Class A1 | | | | | |
2.87% | | 02/25/23 | | | 10,775,655 | | | | 10,709,477 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF08, Class A | | | | | |
| (LIBOR USD 1-Month plus 0.30%) | | | | | |
2.41% | | 01/25/221 | | | 6,923,520 | | | | 6,951,249 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF09, Class A | | | | | |
| (LIBOR USD 1-Month plus 0.38%) | | | | | |
2.49% | | 05/25/221 | | | 7,971,880 | | | | 7,982,884 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| 83 / Semi-Annual Report September 2018 |
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Commercial Mortgage-Backed (continued) | | | | | |
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF10, Class A | | | | | |
| (LIBOR USD 1-Month plus 0.38%) | | | | | |
2.49% | | | 07/25/22 | 1 | | $ | 6,163,019 | | | $ | 6,180,525 | |
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KGRP, Class A | | | | | |
| (LIBOR USD 1-Month plus 0.38%) | | | | | |
2.49% | | | 04/25/20 | 1 | | | 11,515,155 | | | | 11,532,991 | |
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KJ18, Class A1 | | | | | |
2.46% | | | 03/25/22 | | | | 5,963,639 | | | | 5,834,616 | |
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KP04, Class AG1 | | | | | |
| (LIBOR USD 1-Month plus 0.22%) | | | | | |
2.33% | | | 07/25/20 | 1 | | | 14,535,000 | | | | 14,554,563 | |
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KP04, Class AG2 | | | | | |
| (LIBOR USD 1-Month plus 0.20%) | | | | | |
2.31% | | | 10/25/19 | 1 | | | 17,330,000 | | | | 17,330,098 | |
Freddie Mac Multifamily Structured Pass-Through Certificates, Series KS02, Class A | | | | | |
| (LIBOR USD 1-Month plus 0.38%) | | | | | |
2.49% | | | 08/25/23 | 1 | | | 12,153,827 | | | | 12,164,868 | |
Freddie Mac Multifamily Structured Pass-Through Certificates, Series Q004, Class A2H | | | | | |
2.78% | | | 01/25/21 | 6 | | | 12,828,910 | | | | 12,822,522 | |
Freddie Mac Multifamily Structured Pass-Through Certificates, Series Q004, Class AFL | | | | | |
| (Federal Reserve US 12-Month Cumulative Average plus 0.74%) | | | | | |
2.58% | | | 10/25/21 | 1 | | | 4,998,074 | | | | 5,003,116 | |
| Ginnie Mae, Series 2006-3, Class C | | | | | |
5.24% | | | 04/16/39 | 6 | | | 952,007 | | | | 952,474 | |
| Ginnie Mae, Series 2007-12, Class C | | | | | |
5.28% | | | 04/16/41 | 6 | | | 1,514,933 | | | | 1,517,640 | |
| NCUA Guaranteed Notes Trust, Series 2011-C1, Class 2A | | | | | |
| (LIBOR USD 1-Month plus 0.53%) | | | | | |
2.65% | | | 03/09/21 | 1 | | | 8,683,500 | | | | 8,687,339 | |
| | | | | |
| |
| | | | 236,994,550 | |
| | | | | |
U.S. Agency Mortgage-Backed — 8.31% | | | | | |
Fannie Mae Pool 464321 | | | | | |
4.36% | | | 01/01/20 | | | | 14,411,253 | | | | 14,577,531 | |
| | | | | | | | | | | | |
Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed (continued) | | | | | |
| Fannie Mae Pool 466973 | | | | | |
3.85% | | | 01/01/21 | | | $ | 13,580,948 | | | $ | 13,831,574 | |
| Fannie Mae Pool 567002 | | | | | |
8.00% | | | 05/01/23 | | | | 27,523 | | | | 29,158 | |
| Fannie Mae Pool 735861 | | | | | |
6.50% | | | 09/01/33 | | | | 16,300 | | | | 17,676 | |
| Fannie Mae Pool 770900 | | | | | |
| (LIBOR USD 12-Month plus 1.55%) | | | | | |
3.92% | | | 04/01/34 | 1 | | | 256,907 | | | | 262,186 | |
| Fannie Mae Pool 995182 | | | | | |
5.50% | | | 06/01/20 | | | | 68,345 | | | | 68,645 | |
| Fannie Mae Pool AD0538 | | | | | |
6.00% | | | 05/01/24 | | | | 454,309 | | | | 474,536 | |
| Fannie Mae Pool AE0083 | | | | | |
6.00% | | | 01/01/40 | | | | 1,165,622 | | | | 1,284,751 | |
| Fannie Mae Pool AL0851 | | | | | |
6.00% | | | 10/01/40 | | | | 1,459,950 | | | | 1,594,931 | |
| Fannie Mae Pool AM7028 | | | | | |
| (LIBOR USD 1-Month plus 0.24%) | | | | | |
2.35% | | | 10/01/19 | 1 | | | 22,950,000 | | | | 22,935,064 | |
| Fannie Mae REMICS, Series 1997-76, Class FS | | | | | |
| LIBOR USD 1-Month | | | | | |
2.61% | | | 09/17/27 | 1 | | | 16,736 | | | | 16,430 | |
| Fannie Mae REMICS, Series 2001-60, Class OF | | | | | |
| (LIBOR USD 1-Month plus 0.95%) | | | | | |
3.17% | | | 10/25/31 | 1 | | | 856,114 | | | | 873,820 | |
| Fannie Mae REMICS, Series 2003-130, Class HF | | | | | |
| (LIBOR USD 1-Month plus 0.45%) | | | | | |
2.67% | | | 12/25/33 | 1 | | | 538,908 | | | | 539,697 | |
| Fannie Mae REMICS, Series 2003-134, Class FC | | | | | |
| (LIBOR USD 1-Month plus 0.60%) | | | | | |
2.82% | | | 12/25/32 | 1 | | | 5,304,599 | | | | 5,368,719 | |
| Fannie Mae REMICS, Series 2005-59, Class NF | | | | | |
| (LIBOR USD 1-Month plus 0.25%) | | | | | |
2.47% | | | 05/25/35 | 1 | | | 2,761,103 | | | | 2,757,505 | |
| Fannie Mae REMICS, Series 2007-61, Class AF | | | | | |
| (LIBOR USD 1-Month plus 0.28%) | | | | | |
2.50% | | | 03/25/37 | 1 | | | 1,356,663 | | | | 1,357,148 | |
| Fannie Mae REMICS, Series 2007-64, Class FA | | | | | |
| (LIBOR USD 1-Month plus 0.47%) | | | | | |
2.69% | | | 07/25/37 | 1 | | | 426,867 | | | | 430,583 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| Semi-Annual Report September 2018 / 84 |
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed (continued) | | | | | |
| Fannie Mae REMICS, Series 2009-111, Class DA | | | | | |
5.00% | | | 12/25/39 | | | $ | 326,882 | | | $ | 331,583 | |
| Fannie Mae REMICS, Series 2009-33, Class FB | | | | | |
| (LIBOR USD 1-Month plus 0.82%) | | | | | |
3.04% | | | 03/25/37 | 1 | | | 2,572,145 | | | | 2,630,267 | |
| Fannie Mae REMICS, Series 2009-85, Class LF | | | | | |
| (LIBOR USD 1-Month plus 1.20%) | | | | | |
3.42% | | | 10/25/49 | 1 | | | 3,186,162 | | | | 3,266,040 | |
| Fannie Mae REMICS, Series 2009-96, Class FA | | | | | |
| (LIBOR USD 1-Month plus 0.90%) | | | | | |
3.12% | | | 11/25/49 | 1 | | | 2,185,570 | | | | 2,236,243 | |
| Fannie Mae REMICS, Series 2010-109, Class PF | | | | | |
| (LIBOR USD 1-Month plus 0.40%) | | | | | |
2.62% | | | 10/25/40 | 1 | | | 1,517,542 | | | | 1,527,985 | |
| Fannie Mae REMICS, Series 2010-26, Class S (IO) | | | | | |
| (-1.00 X LIBOR USD 1-Month plus 6.23%, 6.23% Cap) | | | | | |
4.01% | | | 11/25/36 | 1 | | | 9,169,023 | | | | 1,194,275 | |
| Fannie Mae REMICS, Series 2010-39, Class FE | | | | | |
| (LIBOR USD 1-Month plus 0.77%) | | | | | |
2.99% | | | 06/25/37 | 1 | | | 4,895,309 | | | | 4,994,538 | |
| Fannie Mae REMICS, Series 2010-43, Class DP | | | | | |
5.00% | | | 05/25/40 | | | | 1,178,386 | | | | 1,228,806 | |
| Fannie Mae REMICS, Series 2010-6, Class BF | | | | | |
| (LIBOR USD 1-Month plus 0.76%) | | | | | |
2.98% | | | 02/25/40 | 1 | | | 1,803,857 | | | | 1,836,896 | |
| Fannie Mae REMICS, Series 2010-95, Class S (IO) | | | | | |
| (-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap) | | | | | |
4.38% | | | 09/25/40 | 1 | | | 6,493,689 | | | | 1,049,625 | |
| Fannie Mae REMICS, Series 2011-118, Class FB | | | | | |
| (LIBOR USD 1-Month plus 0.45%) | | | | | |
2.67% | | | 11/25/41 | 1 | | | 8,109,728 | | | | 8,170,616 | |
| Fannie Mae REMICS, Series 2011-71, Class FB | | | | | |
| (LIBOR USD 1-Month plus 0.50%) | | | | | |
2.72% | | | 05/25/37 | 1 | | | 3,348,449 | | | | 3,369,013 | |
| Fannie Mae REMICS, Series 2012-33, Class F | | | | | |
| (LIBOR USD 1-Month plus 0.52%) | | | | | |
2.74% | | | 04/25/42 | 1 | | | 6,562,409 | | | | 6,629,840 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed (continued) | | | | | |
| Fannie Mae REMICS, Series 2013-75, Class FC | | | | | |
| (LIBOR USD 1-Month plus 0.25%) | | | | | |
2.47% | | | 07/25/42 | 1 | | $ | 6,056,984 | | | $ | 6,053,931 | |
| Fannie Mae REMICS, Series G92-10, Class Z | | | | | |
7.75% | | | 01/25/22 | | | | 410 | | | | 427 | |
| Freddie Mac Gold Pool A45796 | | | | | |
7.00% | | | 01/01/33 | | | | 5,942 | | | | 6,422 | |
| Freddie Mac Gold Pool C46104 | | | | | |
6.50% | | | 09/01/29 | | | | 7,856 | | | | 8,697 | |
| Freddie Mac Gold Pool G13032 | | | | | |
6.00% | | | 09/01/22 | | | | 540,991 | | | | 557,192 | |
| Freddie Mac Gold Pool G13475 | | | | | |
6.00% | | | 01/01/24 | | | | 70,290 | | | | 72,509 | |
| Freddie Mac REMICS, Series 2174, Class PN | | | | | |
6.00% | | | 07/15/29 | | | | 533,792 | | | | 566,802 | |
| Freddie Mac REMICS, Series 2454, Class FQ | | | | | |
| (LIBOR USD 1-Month plus 1.00%) | | | | | |
3.16% | | | 06/15/31 | 1 | | | 8,253 | | | | 8,493 | |
| Freddie Mac REMICS, Series 2733, Class FB | | | | | |
| (LIBOR USD 1-Month plus 0.60%) | | | | | |
2.76% | | | 10/15/33 | 1 | | | 3,639,206 | | | | 3,685,486 | |
| Freddie Mac REMICS, Series 3071, Class TF | | | | | |
| (LIBOR USD 1-Month plus 0.30%) | | | | | |
2.46% | | | 04/15/35 | 1 | | | 3,596,646 | | | | 3,599,213 | |
| Freddie Mac REMICS, Series 3084, Class FN | | | | | |
| (LIBOR USD 1-Month plus 0.50%) | | | | | |
2.66% | | | 12/15/34 | 1 | | | 2,679,530 | | | | 2,687,199 | |
| Freddie Mac REMICS, Series 3294, Class CB | | | | | |
5.50% | | | 03/15/37 | | | | 227,679 | | | | 243,230 | |
| Freddie Mac REMICS, Series 3300, Class FA | | | | | |
| (LIBOR USD 1-Month plus 0.30%) | | | | | |
2.46% | | | 08/15/35 | 1 | | | 927,863 | | | | 929,319 | |
| Freddie Mac REMICS, Series 3325, Class NF | | | | | |
| (LIBOR USD 1-Month plus 0.30%) | | | | | |
2.46% | | | 08/15/35 | 1 | | | 2,392,816 | | | | 2,396,573 | |
| Freddie Mac REMICS, Series 3524, Class FC | | | | | |
| (LIBOR USD 1-Month plus 0.94%) | | | | | |
3.10% | | | 06/15/38 | 1 | | | 598,034 | | | | 605,108 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| 85 / Semi-Annual Report September 2018 |
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed (continued) | | | | | |
| Freddie Mac REMICS, Series 3531, Class FM | | | | | |
| (LIBOR USD 1-Month plus 0.90%) | | | | | |
3.06% | | | 05/15/39 | 1 | | $ | 600,170 | | | $ | 613,138 | |
| Freddie Mac REMICS, Series 3672, Class A | | | | | |
6.00% | | | 05/15/40 | | | | 149,225 | | | | 159,516 | |
| Freddie Mac REMICS, Series 3792, Class DF | | | | | |
| (LIBOR USD 1-Month plus 0.40%) | | | | | |
2.56% | | | 11/15/40 | 1 | | | 712,948 | | | | 711,125 | |
| Freddie Mac REMICS, Series 3828, Class TF | | | | | |
| (LIBOR USD 1-Month plus 0.40%) | | | | | |
2.56% | | | 04/15/29 | 1 | | | 192,230 | | | | 192,402 | |
| Freddie Mac REMICS, Series 4060, Class FJ | | | | | |
| (LIBOR USD 1-Month plus 0.35%) | | | | | |
2.51% | | | 02/15/41 | 1 | | | 6,780,083 | | | | 6,783,127 | |
| Freddie Mac REMICS, Series 4109, Class KF | | | | | |
| (LIBOR USD 1-Month plus 0.40%) | | | | | |
2.56% | | | 05/15/32 | 1 | | | 1,844,087 | | | | 1,848,934 | |
| Freddie Mac REMICS, Series 4235, Class FA | | | | | |
| (LIBOR USD 1-Month plus 0.35%) | | | | | |
2.51% | | | 01/15/34 | 1 | | | 2,615,112 | | | | 2,620,663 | |
| Freddie Mac Strips, Series 240, Class F30 | | | | | |
| (LIBOR USD 1-Month plus 0.30%) | | | | | |
2.46% | | | 07/15/36 | 1 | | | 2,704,807 | | | | 2,708,188 | |
| Freddie Mac Strips, Series 263, Class F5 | | | | | |
| (LIBOR USD 1-Month plus 0.50%) | | | | | |
2.66% | | | 06/15/42 | 1 | | | 3,925,330 | | | | 3,968,052 | |
| Freddie Mac Strips, Series 319, Class F2 | | | | | |
| (LIBOR USD 1-Month plus 0.50%) | | | | | |
2.66% | | | 11/15/43 | 1 | | | 17,567,683 | | | | 17,707,790 | |
| Ginnie Mae I Pool 422972 | | | | | |
6.50% | | | 07/15/29 | | | | 6,058 | | | | 6,648 | |
| Ginnie Mae II Pool 1849 | | | | | |
8.50% | | | 08/20/24 | | | | 326 | | | | 331 | |
| Ginnie Mae II Pool 2020 | | | | | |
8.50% | | | 06/20/25 | | | | 499 | | | | 533 | |
| Ginnie Mae II Pool 2286 | | | | | |
8.50% | | | 09/20/26 | | | | 1,249 | | | | 1,353 | |
| Ginnie Mae II Pool 2487 | | | | | |
8.50% | | | 09/20/27 | | | | 8,958 | | | | 9,672 | |
| Ginnie Mae II Pool 80059 | | | | | |
| (US Treasury Yield Curve Rate T Note | | | | | |
| Constant Maturity 1 Year plus 1.50%) | | | | | |
3.63% | | | 04/20/27 | 1 | | | 17,854 | | | | 18,365 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed (continued) | | | | | |
| Ginnie Mae II Pool 80589 | | | | | |
| (US Treasury Yield Curve Rate T Note | | | | | |
| Constant Maturity 1 Year plus 1.50%) | | | | | |
3.38% | | | 03/20/32 | 1 | | $ | 36,417 | | | $ | 36,324 | |
| Ginnie Mae II Pool 80610 | | | | | |
| (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%) | | | | | |
3.63% | | | 06/20/32 | 1 | | | 10,992 | | | | 11,374 | |
| Ginnie Mae II Pool 80968 | | | | | |
| (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%) | | | | | |
2.75% | | | 07/20/34 | 1 | | | 363,887 | | | | 373,832 | |
| Ginnie Mae II Pool 81201 | | | | | |
| (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.00%) | | | | | |
3.88% | | | 01/20/35 | 1 | | | 11,561 | | | | 11,663 | |
| Ginnie Mae II Pool 8599 | | | | | |
| (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%) | | | | | |
3.50% | | | 02/20/25 | 1 | | | 14,699 | | | | 14,953 | |
| Ginnie Mae, Series 2003-11, Class FK | | | | | |
| (LIBOR USD 1-Month plus 0.30%) | | | | | |
2.46% | | | 02/16/33 | 1 | | | 1,136,691 | | | | 1,139,012 | |
| Ginnie Mae, Series 2004-5, Class PF | | | | | |
| (LIBOR USD 1-Month plus 0.55%) | | | | | |
2.72% | | | 02/20/33 | 1 | | | 119,238 | | | | 119,578 | |
| Ginnie Mae, Series 2009-106, Class XI (IO) | | | | | |
| (-1.00 X LIBOR USD 1-Month plus 6.80%, 6.80% Cap) | | | | | |
4.63% | | | 05/20/37 | 1 | | | 5,533,880 | | | | 686,131 | |
| Ginnie Mae, Series 2012-13, Class KF | | | | | |
| (LIBOR USD 1-Month plus 0.30%) | | | | | |
2.47% | | | 07/20/38 | 1 | | | 985,202 | | | | 987,120 | |
| Ginnie Mae, Series 2013-53, Class AD | | | | | |
1.50% | | | 12/20/26 | | | | 2,962,815 | | | | 2,829,905 | |
| NCUA Guaranteed Notes Trust, Series 2010-R1, Class 1A | | | | | |
| (LIBOR USD 1-Month plus 0.45%) | | | | | |
2.57% | | | 10/07/20 | 1 | | | 10,723,135 | | | | 10,733,188 | |
| NCUA Guaranteed Notes Trust, Series 2010-R3, Class 1A | | | | | |
| (LIBOR USD 1-Month plus 0.56%) | | | | | |
2.68% | | | 12/08/20 | 1 | | | 7,863,941 | | | | 7,886,980 | |
| NCUA Guaranteed Notes Trust, Series 2010-R3, Class 2A | | | | | |
| (LIBOR USD 1-Month plus 0.56%) | | | | | |
2.68% | | | 12/08/20 | 1 | | | 3,630,960 | | | | 3,641,314 | |
| NCUA Guaranteed Notes Trust, Series 2011-R1, Class 1A | | | | | |
| (LIBOR USD 1-Month plus 0.45%) | | | | | |
2.73% | | | 01/08/20 | 1 | | | 3,009,635 | | | | 3,014,254 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| Semi-Annual Report September 2018 / 86 |
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
NCUA Guaranteed Notes Trust, Series 2011-R3, Class 1A | | | | | |
| (LIBOR USD 1-Month plus 0.40%) | | | | | |
2.54% | | | 03/11/20 | 1 | | $ | 1,657,197 | | | $ | 1,659,663 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 196,801,410 | |
| | | | | | | | | | | | |
Total Mortgage-Backed (Cost $670,672,941) | | | | | | | | 675,382,957 | |
| | | | | | | | | | | | |
| |
| MUNICIPAL BONDS — 0.03%* | | | | | |
| California — 0.03% | | | | | | | | | |
| State of California, Taxable, Various Purpose | | | | | |
6.20% | | | 03/01/19 | | | | 600,000 | | | | 608,640 | |
| | | | | | | | | | | | |
| |
Total Municipal Bonds
(Cost $609,606) | | | | | |
| U.S. TREASURY SECURITIES — 22.88% | | | | | |
| U.S. Treasury Notes — 22.88% | | | | | |
| U.S. Treasury Notes | | | | | | | | | | | | |
2.63% | | | 07/31/20 | | | | 337,777,000 | | | | 336,695,060 | |
2.63% | | | 07/15/21 | | | | 59,180,000 | | | | 58,776,605 | |
2.75% | | | 09/30/20 | | | | 53,085,000 | | | | 53,017,607 | |
2.75% | | | 09/15/21 | | | | 94,070,000 | | | | 93,720,912 | |
| | | | | | | | | | | | |
| |
Total U.S. Treasury Securities
(Cost $543,435,791) | | | | 542,210,184 | |
| | | | | | | | | | | | |
| | |
Total Bonds – 93.68%
(Cost $2,218,135,791) | | | | | | | | 2,219,844,116 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | | | | Shares | | | Value | |
| COMMON STOCK — 0.04% | |
| Electric — 0.04% | | | | | | | | | | | | |
| Homer City Holdings LLC2,4,5,7 | | | | 106,501 | | | $ | 905,259 | |
| | | | | | | | | | | | |
| | |
| Total Common Stock | | | | | | | | | |
| (Cost $6,078,660) | | | | | | | | | |
| | |
Purchased Swaptions – 0.00% | | | | | | | | | |
| (Cost $939,000) | | | | | | | | | | | 28,932 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount/
Shares | | | Value | |
| SHORT-TERM INVESTMENTS — 7.84% | |
| Foreign Government Obligations — 2.77% | |
| Japan Treasury Discount Bill, Series 774 (Japan) | | | | | |
0.00%3,8 | | | 11/05/18 | | | | $7,455,000,000 | | | | 65,641,739 | |
| | | | | | | | | | | | |
| | |
| Money Market Funds — 3.32% | | | | | | | | | |
| Fidelity Investments Money Market Funds - Government Portfolio | | | | | |
1.99%9,10 | | | | | | | 44 | | | | 44 | |
| Morgan Stanley Institutional Liquidity Funds-Government Portfolio | | | | | |
2.04%9 | | | | | | | 78,638,000 | | | | 78,638,000 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 78,638,044 | |
| | | | | | | | | | | | |
|
U.S. Treasury Bills — 1.75% | |
| U.S. Treasury Bills | | | | | | | | | | | | |
2.05%8,11 | | | 12/13/18 | | | | 4,693,000 | | | | 4,672,813 | |
2.09%8 | | | 01/10/19 | | | | 12,000,000 | | | | 11,927,028 | |
2.10%8 | | | 01/24/19 | | | | 25,000,000 | | | | 24,824,305 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 41,424,146 | |
| | | | | | | | | | | | |
| Total Short-Term Investments | | | | | | | | | |
| (Cost $187,392,233) | | | | | | | | | | | 185,703,929 | |
| | | | | | | | | | | | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| 87 / Semi-Annual Report September 2018 |
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | |
| Issues | | Value | |
Total Investments Before Written | | | | |
Swaptions – 101.56% | | | | |
| (Cost $2,412,545,684) | | $ | 2,406,482,236 | |
| | | | |
| |
| Written Swaptions – 0.00% | | | | |
| (Cost $(540,000)) | | | (11,109 | ) |
| | | | |
| |
| Liabilities in Excess of Other | | | | |
| Assets – (1.55)% | | | (36,842,684 | ) |
| | | | |
| |
| Net Assets – 100.00% | | $ | 2,369,628,443 | |
| | | | |
| 1 | Floating rate security. The rate disclosed was in effect at September 30, 2018. |
| 2 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| 3 | U.S. dollar-denominated security issued by foreign-domiciled entity. |
| 4 | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
| 5 | Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $5,371,027, which is 0.23% of total net assets. |
| 6 | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. |
| 7 | Non-income producing security. |
| 8 | Represents annualized yield at date of purchase. |
| 9 | Represents the current yield as of September 30, 2018. |
| 10 | Securities, or a portion thereof, pledged as collateral for swaps and foreign currency exchange contracts. The total market value of collateral pledged for swaps is $44. The total market value of collateral pledged for foreign currency exchange contracts is $1,542,554. |
| 11 | Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $4,672,679. |
| * | 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
(STEP): Step coupon bond
(USD): U.S. dollar
| | | | | | | | | | | | | | | | |
Currency to be Purchased | | Currency to be Sold | | | Counterparty | | | Settlement
Date | | | Unrealized
Appreciation | |
FOREIGN CURRENCY EXCHANGE CONTRACT | | | | | | | | | | | | | | | | |
USD 67,752,525 | | | JPY 7,455,000,000 | | | | Goldman Sachs International | | | | 11/05/18 | | | | $1,933,865 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| Semi-Annual Report September 2018 / 88 |
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Number
of Contracts | | Expiration Date | | Notional Amount | | Value | | Unrealized
Appreciation/
(Depreciation) |
FUTURES CONTRACTS: LONG POSITIONS | | | | | | | | | | | | | | | | |
U.S. Treasury Two Year Note | | | | 7,034 | | | | | 12/31/18 | | | | $ | 1,482,305,594 | | | | $ | (4,542,920 | ) | | | $ | (4,542,920 | ) |
U.S. Treasury Five Year Note | | | | 582 | | | | | 12/31/18 | | | | | 65,461,359 | | | | | (517,053 | ) | | | | (517,053 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | 1,547,766,953 | | | | | (5,059,973 | ) | | | | (5,059,973 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
FUTURES CONTRACTS: SHORT POSITIONS | | | | | | | | | | | | | | | | |
Euro-Bobl Five Year German Bond | | | | 423 | | | | | 12/06/18 | | | | | 64,214,482 | | | | | 353,046 | | | | | 353,046 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
TOTAL FUTURES CONTRACTS | | | | | | | | | | | | | $ | 1,611,981,435 | | | | $ | (4,706,927 | ) | | | $ | (4,706,927 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Received by the Fund | | Paid by the Fund | | | | | | | | |
| Descriptions | | Counterparty | | Maturity
Date | | Rate | | Frequency | | Rate | | Frequency | | Notional
Amount | | Value | | Premiums
Paid | | Unrealized
(Depreciation) |
PURCHASED SWAPTIONS | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Option to enter into a 30-year Interest Rate Swap | | Goldman
Sachs
International | | 12/24/23 | | | | 3 month USD LIBOR | | | | | Quarterly | | | | | 6.00% | | | | | Quarterly | | | | $ | 30,000,000 | | | | $ | 28,932 | | | | $ | 939,000 | | | | $ | (910,068 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | Received by the Fund | | Paid by the Fund | | | | | | | | |
| Descriptions | | Counterparty | | Maturity
Date | | Rate | | Frequency | | Rate | | Frequency | | Notional
Amount | | Value | | Premiums
(Received) | | Unrealized
Appreciation |
WRITTEN SWAPTIONS | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Option to enter into a 30-year Interest Rate Swap | | Goldman
Sachs
International | | 12/24/23 | | | | 7.50% | | | | | Quarterly | | | | | 3 month USD LIBOR | | | | | Quarterly | | | | $ | 30,000,000 | | | | $ | (11,109 | ) | | | $ | (540,000 | ) | | | $ | 528,891 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| 89 / Semi-Annual Report September 2018 |
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| BONDS – 97.30% | | | | |
| ASSET-BACKED SECURITIES — 12.89%** | | | | |
A Voce CLO Ltd., Series 2014-1A, Class A1R (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 1.16%) | | | | | |
3.50% | | | 07/15/26 | 1,2,3 | | $ | 250,000 | | | $ | 250,025 | |
| Atrium XII, Series 12A, Class AR (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 0.83%) | | | | | |
3.18% | | | 04/22/27 | 1,2,3 | | | 165,000 | | | | 164,383 | |
| Barings CLO Ltd., Series 2013-IA, Class AR (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 0.80%) | | | | | |
3.15% | | | 01/20/28 | 1,2,3 | | | 250,000 | | | | 249,092 | |
| Barings CLO Ltd., Series 2018-3A, Class A1 (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 0.95%) | | | | | |
3.02% | | | 07/20/29 | 1,2,3 | | | 250,000 | | | | 248,695 | |
| Bayview Commercial Asset Trust, Series 2004-3, Class A1 | | | | | |
| (LIBOR USD 1-Month plus 0.56%) | | | | | |
2.77% | | | 01/25/35 | 2,3 | | | 193,316 | | | | 191,240 | |
| BlueMountain CLO Ltd., Series 2014-2A, Class AR (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 0.93%) | | | | | |
3.28% | | | 07/20/26 | 1,2,3 | | | 250,000 | | | | 250,029 | |
| Cedar Funding II CLO Ltd., Series 2013-1A, Class A1R (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 1.23%) | | | | | |
3.56% | | | 06/09/30 | 1,2,3 | | | 250,000 | | | | 250,606 | |
| Crystal River CDO, Series 2005-1A, Class A (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 0.36%) | | | | | |
2.68% | | | 03/02/46 | 1,2,3,4,5 | | | 419,900 | | | | 34,747 | |
| Dryden 30 Senior Loan Fund, Series 2013-30A, Class AR (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 0.82%) | | | | | |
3.13% | | | 11/15/28 | 1,2,3 | | | 250,000 | | | | 248,889 | |
Education Loan Asset-Backed Trust I,
Series 2013-1, Class A2 | | | | | |
| (LIBOR USD 1-Month plus 0.80%) | | | | | |
3.02% | | | 04/26/32 | 2,3 | | | 645,000 | | | | 648,558 | |
Flagship CLO VIII, Ltd., Series 2014-8A,
Class ARR (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 0.85%) | | | | | |
3.19% | | | 01/16/26 | 1,2,3 | | | 110,000 | | | | 109,866 | |
Global SC Finance II SRL, Series 2014-1A,
Class A2 (Barbados) | | | | | |
3.09% | | | 07/17/29 | 1,3 | | | 177,917 | | | | 172,453 | |
| Higher Education Funding I, Series 2014-1, Class A | | | | | |
| (LIBOR USD 3-Month plus 1.05%) | | | | | |
3.36% | | | 05/25/34 | 2,3 | | | 454,562 | | | | 457,701 | |
| | | | | | | | | | | | |
| Issues | | Maturity Date | | | Principal
Amount | | | Value | |
| ASSET-BACKED SECURITIES (continued) | | | | |
| LCM XX LP, Series 20A, Class AR (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 1.04%) | | | | | |
3.38% | | | 10/20/27 | 1,2,3,† | | $ | 200,000 | | | $ | 200,000 | |
Magnetite VII CLO Ltd., Series 2012-7A,
Class A1R2 (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 0.80%) | | | | | |
3.14% | | | 01/15/28 | 1,2,3 | | | 250,000 | | | | 248,721 | |
Nelnet Student Loan Trust, Series 2014-4A,
Class A2 | | | | | |
| (LIBOR USD 1-Month plus 0.95%) | | | | | |
3.17% | | | 11/25/48 | 2,3 | | | 500,000 | | | | 503,842 | |
Neuberger Berman CLO XVI-S Ltd.,
Series 2017-16SA, Class A (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 0.85%) | | | | | |
3.19% | | | 01/15/28 | 1,2,3 | | | 250,000 | | | | 249,114 | |
Octagon Investment Partners 25 Ltd.,
Series 2015-1A, Class AR (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 0.80%) | | | | | |
3.15% | | | 10/20/26 | 1,2,3 | | | 240,000 | | | | 238,541 | |
| Panthera Aviation, Series 2013-1 | | | | | |
10.00% | | | 01/25/22 | 3,4,5,† | | | 338,214 | | | | 104,841 | |
| Scholar Funding Trust, Series 2012-B, Class A2 | | | | | |
| (LIBOR USD 1-Month plus 1.10%) | | | | | |
3.34% | | | 03/28/46 | 2,3 | | | 815,922 | | | | 823,018 | |
| SLC Student Loan Trust, Series 2004-1, Class B | | | | | |
| (LIBOR USD 3-Month plus 0.29%) | | | | | |
2.60% | | | 08/15/31 | 2 | | | 204,254 | | | | 193,438 | |
| SLM Student Loan Trust, Series 2004-2, Class B | | | | | |
| (LIBOR USD 3-Month plus 0.47%) | | | | | |
2.81% | | | 07/25/39 | 2 | | | 383,723 | | | | 367,565 | |
SLM Student Loan Trust, Series 2004-3A,
Class A6A | | | | | |
| (LIBOR USD 3-Month plus 0.55%) | | | | | |
2.89% | | | 10/25/64 | 2,3 | | | 270,000 | | | | 271,609 | |
| SLM Student Loan Trust, Series 2005-9, Class B | | | | | |
| (LIBOR USD 3-Month plus 0.30%) | | | | | |
2.64% | | | 01/25/41 | 2 | | | 293,387 | | | | 280,928 | |
| SLM Student Loan Trust, Series 2006-2, Class A6 | | | | | |
| (LIBOR USD 3-Month plus 0.17%) | | | | | |
2.51% | | | 01/25/41 | 2 | | | 895,768 | | | | 877,903 | |
| SLM Student Loan Trust, Series 2007-7, Class B | | | | | |
| (LIBOR USD 3-Month plus 0.75%) | | | | | |
3.09% | | | 10/27/70 | 2 | | | 215,000 | | | | 204,216 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| Semi-Annual Report September 2018 / 90 |
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | | | | | |
SLM Student Loan Trust, Series 2008-1,
Class A4 | | | | | |
| (LIBOR USD 3-Month plus 0.65%) | | | | | |
2.99% | | | 01/25/22 | 2 | | $ | 230,399 | | | $ | 228,865 | |
| SLM Student Loan Trust, Series 2008-2, Class B | | | | | |
| (LIBOR USD 3-Month plus 1.20%) | | | | | |
3.54% | | | 01/25/83 | 2 | | | 340,000 | | | | 328,125 | |
| SLM Student Loan Trust, Series 2008-3, Class B | | | | | |
| (LIBOR USD 3-Month plus 1.20%) | | | | | |
3.54% | | | 04/26/83 | 2 | | | 340,000 | | | | 333,487 | |
| SLM Student Loan Trust, Series 2008-4, Class B | | | | | |
| (LIBOR USD 3-Month plus 1.85%) | | | | | |
4.19% | | | 04/25/73 | 2 | | | 340,000 | | | | 350,520 | |
| SLM Student Loan Trust, Series 2008-5, Class B | | | | | |
| (LIBOR USD 3-Month plus 1.85%) | | | | | |
4.19% | | | 07/25/73 | 2 | | | 235,000 | | | | 241,254 | |
| SLM Student Loan Trust, Series 2008-6, Class B | | | | | |
| (LIBOR USD 3-Month plus 1.85%) | | | | | |
4.19% | | | 07/26/83 | 2 | | | 340,000 | | | | 348,360 | |
| SLM Student Loan Trust, Series 2008-7, Class B | | | | | |
| (LIBOR USD 3-Month plus 1.85%) | | | | | |
4.19% | | | 07/26/83 | 2 | | | 340,000 | | | | 346,964 | |
| SLM Student Loan Trust, Series 2008-8, Class B | | | | | |
| (LIBOR USD 3-Month plus 2.25%) | | | | | |
4.59% | | | 10/25/75 | 2 | | | 340,000 | | | | 357,208 | |
SLM Student Loan Trust, Series 2011-1,
Class A2 | | | | | |
| (LIBOR USD 1-Month plus 1.15%) | | | | | |
3.37% | | | 10/25/34 | 2 | | | 310,000 | | | | 317,528 | |
Structured Receivables Finance LLC,
Series 2010-A, Class B | | | | | |
7.61% | | | 01/16/46 | 3,† | | | 343,257 | | | | 382,719 | |
Structured Receivables Finance LLC,
Series 2010-B, Class B | | | | | |
7.97% | | | 08/15/36 | 3 | | | 349,442 | | | | 390,864 | |
| Wachovia Student Loan Trust, Series 2006-1, Class A6 | | | | | |
| (LIBOR USD 3-Month plus 0.17%) | | | | | |
2.51% | | | 04/25/40 | 2,3 | | | 300,000 | | | | 294,036 | |
| | | | | | | | | | | | |
| |
Total Asset-Backed Securities
(Cost $12,078,976) | | | | 11,759,950 | |
| | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES — 35.28%* | | | | | |
Automotive — 0.27% | | | | | |
| General Motors Co. | | | | | |
3.50% | | | 10/02/18 | | | $ | 250,000 | | | $ | 250,000 | |
| | | | | |
Banking — 6.28% | | | | | |
| Bank of America Corp. | | | | | |
2.74% | | | 01/23/22 | 6 | | | 485,000 | | | | 477,122 | |
3.00% | | | 12/20/23 | 6 | | | 431,000 | | | | 418,503 | |
3.71% | | | 04/24/28 | 6 | | | 525,000 | | | | 504,978 | |
| Bank of America Corp. (MTN) | | | | | |
4.27% | | | 07/23/29 | 6 | | | 80,000 | | | | 79,871 | |
| Bank of New York Mellon Corp. (The) (MTN) | | | | | |
2.66% | | | 05/16/23 | 6 | | | 250,000 | | | | 242,056 | |
| Discover Bank | | | | | |
2.60% | | | 11/13/18 | | | | 250,000 | | | | 249,992 | |
| Goldman Sachs Bank USA (BKNT) | | | | | |
3.20% | | | 06/05/20 | | | | 300,000 | | | | 301,079 | |
| JPMorgan Chase & Co. | | | | | |
3.22% | | | 03/01/25 | 6 | | | 420,000 | | | | 406,428 | |
3.90% | | | 07/15/25 | | | | 250,000 | | | | 249,832 | |
| (LIBOR USD 3-Month plus 0.68%) | | | | | |
3.00% | | | 06/01/21 | 2 | | | 200,000 | | | | 201,238 | |
| JPMorgan Chase Bank N.A. | | | | | |
2.60% | | | 02/01/21 | 6 | | | 485,000 | | | | 481,466 | |
| JPMorgan Chase Bank N.A. (BKNT) | | | | | |
| (LIBOR USD 3-Month plus 0.25%) | | | | | |
2.59% | | | 02/13/20 | 2 | | | 385,000 | | | | 385,229 | |
| Lloyds Banking Group PLC (United Kingdom) | | | | | |
2.91% | | | 11/07/23 | 1,6 | | | 200,000 | | | | 190,902 | |
| Santander UK Group Holdings PLC | | | | | |
| (United Kingdom) | | | | | |
2.88% | | | 08/05/21 | 1 | | | 165,000 | | | | 160,713 | |
3.37% | | | 01/05/24 | 1,6 | | | 200,000 | | | | 192,237 | |
| UBS AG (GMTN) (Switzerland) | | | | | |
2.38% | | | 08/14/19 | 1 | | | 250,000 | | | | 249,036 | |
| Wells Fargo & Co. | | | | | |
3.00% | | | 04/22/26 | | | | 145,000 | | | | 134,629 | |
| Wells Fargo & Co. (MTN) | | | | | |
3.58% | | | 05/22/28 | 6 | | | 575,000 | | | | 550,713 | |
| Wells Fargo Bank N.A. (BKNT) | | | | | |
3.33% | | | 07/23/21 | 6 | | | 250,000 | | | | 249,773 | |
| | | | | | | | | | | | |
| |
| | | | 5,725,797 | |
| | | | | |
Communications — 2.86% | | | | | |
| AT&T, Inc. | | | | | |
4.80% | | | 06/15/44 | | | | 350,000 | | | | 322,107 | |
5.25% | | | 03/01/37 | | | | 265,000 | | | | 264,858 | |
| CBS Corp. | | | | | |
3.38% | | | 02/15/28 | | | | 150,000 | | | | 137,721 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| 91 / Semi-Annual Report September 2018 |
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Communications (continued) | | | | | |
| CCO Holdings LLC/CCO Holdings Capital Corp. | | | | | |
5.00% | | | 02/01/28 | 3 | | $ | 54,000 | | | $ | 50,963 | |
5.13% | | | 05/01/27 | 3 | | | 46,000 | | | | 43,642 | |
Charter Communications Operating
LLC/Charter Communications Operating Capital | | | | | |
6.48% | | | 10/23/45 | | | | 200,000 | | | | 215,657 | |
| Clear Channel International BV (Netherlands) | | | | | |
8.75% | | | 12/15/20 | 1,3 | | | 19,000 | | | | 19,665 | |
| Comcast Corp. | | | | | |
2.35% | | | 01/15/27 | | | | 100,000 | | | | 88,063 | |
| Discovery Communications LLC | | | | | |
2.80% | | | 06/15/20 | 3 | | | 150,000 | | | | 148,537 | |
| Intelsat Jackson Holdings SA (Luxembourg) | | | | | |
5.50% | | | 08/01/23 | 1 | | | 16,000 | | | | 14,780 | |
8.50% | | | 10/15/24 | 1,3 | | | 31,000 | | | | 31,252 | |
9.75% | | | 07/15/25 | 1,3 | | | 40,000 | | | | 42,450 | |
| Level 3 Financing, Inc. | | | | | |
5.13% | | | 05/01/23 | | | | 20,000 | | | | 20,175 | |
| Sprint Capital Corp. | | | | | |
8.75% | | | 03/15/32 | | | | 27,000 | | | | 30,443 | |
| Sprint Communications, Inc. | | | | | |
7.00% | | | 03/01/20 | 3 | | | 30,000 | | | | 31,200 | |
9.00% | | | 11/15/18 | 3 | | | 50,000 | | | | 50,438 | |
| Sprint Spectrum Co. LLC/Sprint Spectrum | | | | | |
| Co. II LLC/Sprint Spectrum Co. III LLC | | | | | |
3.36% | | | 09/20/21 | 3 | | | 150,000 | | | | 150,000 | |
4.74% | | | 03/20/25 | 3 | | | 200,000 | | | | 200,410 | |
| T-Mobile USA, Inc. | | | | | |
4.50% | | | 02/01/26 | | | | 45,000 | | | | 42,806 | |
4.75% | | | 02/01/28 | | | | 45,000 | | | | 42,302 | |
| Verizon Communications, Inc. | | | | | |
4.13% | | | 08/15/46 | | | | 240,000 | | | | 215,475 | |
4.86% | | | 08/21/46 | | | | 150,000 | | | | 151,112 | |
| Vodafone Group PLC (United Kingdom) | | | | | |
4.38% | | | 05/30/28 | 1 | | | 100,000 | | | | 98,715 | |
| Warner Media LLC | | | | | |
3.88% | | | 01/15/26 | | | | 200,000 | | | | 194,372 | |
| | | | | |
| |
| | | | 2,607,143 | |
| | | | | |
Consumer Discretionary — 0.56% | | | | | |
| Anheuser-Busch InBev Finance, Inc. | | | | | |
3.65% | | | 02/01/26 | | | | 200,000 | | | | 194,583 | |
| Anheuser-Busch InBev Worldwide, Inc. | | | | | |
4.00% | | | 04/13/28 | | | | 145,000 | | | | 143,203 | |
| Bacardi Ltd. (Bermuda) | | | | | |
5.30% | | | 05/15/48 | 1,3 | | | 100,000 | | | | 98,414 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Consumer Discretionary (continued) | | | | | |
| Central Garden & Pet Co. | | | | | |
5.13% | | | 02/01/28 | | | $ | 31,000 | | | $ | 29,605 | |
6.13% | | | 11/15/23 | | | | 40,000 | | | | 41,450 | |
| | | | | |
| |
| | | | 507,255 | |
| | | | | |
Electric — 2.71% | | | | | |
| Duke Energy Carolinas LLC | | | | | |
3.75% | | | 06/01/45 | | | | 355,000 | | | | 328,679 | |
| Entergy Texas, Inc. | | | | | |
3.45% | | | 12/01/27 | | | | 250,000 | | | | 238,101 | |
| NextEra Energy Capital Holdings, Inc. | | | | | |
| (LIBOR USD 3-Month plus 0.48%) | | | | | |
2.82% | | | 05/04/21 | 2 | | | 485,000 | | | | 486,528 | |
| Pennsylvania Electric Co. | | | | | |
5.20% | | | 04/01/20 | | | | 400,000 | | | | 408,615 | |
| Puget Energy, Inc. | | | | | |
6.00% | | | 09/01/21 | | | | 250,000 | | | | 265,943 | |
| Southern Co. Gas Capital Corp. | | | | | |
3.25% | | | 06/15/26 | | | | 500,000 | | | | 468,662 | |
| Southwestern Electric Power Co., Series K | | | | | |
2.75% | | | 10/01/26 | | | | 300,000 | | | | 274,732 | |
| | | | | |
| |
| | | | 2,471,260 | |
| | | | | |
Energy — 2.36% | | | | | |
| CrownRock LP/CrownRock Finance, Inc. | | | | | |
5.63% | | | 10/15/25 | 3 | | | 10,000 | | | | 9,751 | |
| Diamondback Energy, Inc. | | | | | |
4.75% | | | 11/01/24 | | | | 15,000 | | | | 15,095 | |
| Energy Transfer Partners LP | | | | | |
6.00% | | | 06/15/48 | | | | 100,000 | | | | 106,999 | |
| EQT Midstream Partners LP | | | | | |
4.13% | | | 12/01/26 | | | | 350,000 | | | | 330,093 | |
| Florida Gas Transmission Co. LLC | | | | | |
7.90% | | | 05/15/19 | 3 | | | 200,000 | | | | 205,849 | |
| Gulfport Energy Corp. | | | | | |
6.38% | | | 05/15/25 | | | | 13,000 | | | | 12,789 | |
| Kinder Morgan, Inc. | | | | | |
4.30% | | | 03/01/28 | | | | 175,000 | | | | 173,389 | |
5.63% | | | 11/15/23 | 3 | | | 200,000 | | | | 213,719 | |
| Matador Resources Co. | | | | | |
5.88% | | | 09/15/26 | 3 | | | 15,000 | | | | 15,225 | |
| NiSource, Inc. | | | | | |
2.65% | | | 11/17/22 | | | | 150,000 | | | | 142,928 | |
| Parsley Energy LLC/Parsley Finance Corp. | | | | | |
5.25% | | | 08/15/25 | 3 | | | 10,000 | | | | 10,000 | |
5.38% | | | 01/15/25 | 3 | | | 35,000 | | | | 35,263 | |
| Plains All American Pipeline LP/PAA | | | | | |
| Finance Corp. | | | | | |
4.65% | | | 10/15/25 | | | | 125,000 | | | | 126,785 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| Semi-Annual Report September 2018 / 92 |
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Energy (continued) | | | | | |
| Rockies Express Pipeline LLC | | | | | |
5.63% | | | 04/15/20 | 3 | | $ | 142,000 | | | $ | 146,615 | |
| Ruby Pipeline LLC | | | | | |
6.00% | | | 04/01/22 | 3 | | | 178,788 | | | | 183,671 | |
| Sunoco Logistics Partners Operations LP | | | | | |
5.40% | | | 10/01/47 | | | | 100,000 | | | | 98,480 | |
| Texas Eastern Transmission LP | | | | | |
2.80% | | | 10/15/22 | 3 | | | 150,000 | | | | 144,084 | |
| Transocean Guardian Ltd. (Cayman Islands) | | | | | |
5.88% | | | 01/15/24 | 1,3 | | | 22,000 | | | | 22,275 | |
| Transocean Pontus Ltd. (Cayman Islands) | | | | | |
6.13% | | | 08/01/25 | 1,3 | | | 20,000 | | | | 20,375 | |
| Transocean Proteus Ltd. (Cayman Islands) | | | | | |
6.25% | | | 12/01/24 | 1,3 | | | 16,150 | | | | 16,493 | |
| Williams Cos., Inc. (The) | | | | | |
3.70% | | | 01/15/23 | | | | 110,000 | | | | 109,005 | |
| WPX Energy, Inc. | | | | | |
5.75% | | | 06/01/26 | | | | 10,000 | | | | 10,163 | |
| | | | | |
| |
| | | | 2,149,046 | |
| | | | | |
Finance — 4.13% | | | | | |
| Air Lease Corp. | | | | | |
3.38% | | | 01/15/19 | | | | 250,000 | | | | 250,263 | |
| Citibank N.A. (BKNT) | | | | | |
3.05% | | | 05/01/20 | | | | 565,000 | | | | 564,826 | |
3.40% | | | 07/23/21 | | | | 250,000 | | | | 250,056 | |
| Citigroup, Inc. | | | | | |
3.67% | | | 07/24/28 | 6 | | | 405,000 | | | | 385,970 | |
| Ford Motor Credit Co. LLC | | | | | |
3.16% | | | 08/04/20 | | | | 275,000 | | | | 272,369 | |
3.20% | | | 01/15/21 | | | | 175,000 | | | | 172,328 | |
8.13% | | | 01/15/20 | | | | 300,000 | | | | 317,081 | |
| (LIBOR USD 3-Month plus 1.27%) | | | | | |
3.66% | | | 03/28/22 | 2 | | | 115,000 | | | | 114,905 | |
| General Motors Financial Co., Inc. | | | | | |
3.55% | | | 04/09/21 | | | | 95,000 | | | | 94,991 | |
| Goldman Sachs Group, Inc. (The) | | | | | |
3.69% | | | 06/05/28 | 6 | | | 200,000 | | | | 190,385 | |
3.81% | | | 04/23/29 | 6 | | | 145,000 | | | | 138,481 | |
| Morgan Stanley | | | | | |
| (LIBOR USD 3-Month plus 0.93%) | | | | | |
3.28% | | | 07/22/22 | 2 | | | 500,000 | | | | 504,500 | |
| Morgan Stanley (GMTN) | | | | | |
7.30% | | | 05/13/19 | | | | 500,000 | | | | 513,390 | |
| | | | | | | | | | | | |
| |
| | | | 3,769,545 | |
| | | | | |
Food — 1.10% | | | | | |
Campbell Soup Co. (LIBOR USD 3-Month plus 0.50%) | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Food (continued) | | | | | |
2.83% | | | 03/16/20 | 2 | | $ | 140,000 | | | $ | 139,863 | |
| Chobani LLC/Chobani Finance Corp., Inc. | | | | | |
7.50% | | | 04/15/25 | 3 | | | 22,000 | | | | 20,075 | |
| General Mills, Inc. | | | | | |
4.20% | | | 04/17/28 | | | | 145,000 | | | | 143,059 | |
| Kraft Heinz Foods Co. | | | | | |
3.00% | | | 06/01/26 | | | | 200,000 | | | | 182,868 | |
4.63% | | | 01/30/29 | | | | 190,000 | | | | 190,070 | |
| Mondelez International Holdings Netherlands BV (Netherlands) | | | | | |
1.63% | | | 10/28/19 | 1,3 | | | 300,000 | | | | 295,715 | |
| Post Holdings, Inc. | | | | | |
5.75% | | | 03/01/27 | 3 | | | 30,000 | | | | 29,513 | |
| | | | | | | | | | | | |
| |
| | | | 1,001,163 | |
| | | | | |
Gaming — 0.30% | | | | | |
| GLP Capital LP/GLP Financing II, Inc. | | | | | |
5.30% | | | 01/15/29 | | | | 65,000 | | | | 65,513 | |
5.38% | | | 04/15/26 | | | | 205,000 | | | | 208,692 | |
| | | | | | | | | | | | |
| |
| | | | 274,205 | |
| | | | | | | | | | | | |
Health Care — 5.65% | | | | | |
| Abbott Laboratories | | | | | |
3.75% | | | 11/30/26 | | | | 205,000 | | | | 204,270 | |
| AbbVie, Inc. | | | | | |
3.60% | | | 05/14/25 | | | | 100,000 | | | | 96,928 | |
4.50% | | | 05/14/35 | | | | 50,000 | | | | 48,163 | |
| Allergan Funding SCS (Luxembourg) | | | | | |
3.80% | | | 03/15/25 | 1 | | | 150,000 | | | | 147,094 | |
| Amgen, Inc. | | | | | |
4.40% | | | 05/01/45 | | | | 200,000 | | | | 194,353 | |
| Anthem, Inc. | | | | | |
2.25% | | | 08/15/19 | | | | 200,000 | | | | 198,954 | |
3.65% | | | 12/01/27 | | | | 145,000 | | | | 138,229 | |
| Bausch Health Cos., Inc. | | | | | |
9.25% | | | 04/01/26 | 3 | | | 16,000 | | | | 17,340 | |
| Bausch Health Cos., Inc. (Canada) | | | | | |
5.50% | | | 11/01/25 | 1,3 | | | 49,000 | | | | 49,184 | |
6.13% | | | 04/15/25 | 1,3 | | | 57,000 | | | | 54,435 | |
| Bayer U.S. Finance II LLC | | | | | |
4.38% | | | 12/15/28 | 3 | | | 200,000 | | | | 196,271 | |
| Bayer U.S. Finance LLC | | | | | |
2.38% | | | 10/08/19 | 3 | | | 200,000 | | | | 197,893 | |
| Becton Dickinson and Co. | | | | | |
| (LIBOR USD 3-Month plus 0.88%) | | | | | |
3.26% | | | 12/29/20 | 2 | | | 250,000 | | | | 250,386 | |
| Boston Scientific Corp. | | | | | |
6.00% | | | 01/15/20 | | | | 200,000 | | | | 207,046 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| 93 / Semi-Annual Report September 2018 |
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Health Care (continued) | | | | | |
| Catalent Pharma Solutions, Inc. | | | | | |
4.88% | | | 01/15/26 | 3 | | $ | 30,000 | | | $ | 29,025 | |
| Celgene Corp. | | | | | |
5.00% | | | 08/15/45 | | | | 320,000 | | | | 317,498 | |
| Centene Corp. | | | | | |
4.75% | | | 05/15/22 | | | | 24,000 | | | | 24,390 | |
4.75% | | | 01/15/25 | | | | 13,000 | | | | 13,000 | |
| CHS/Community Health Systems, Inc. | | | | | |
8.63% | | | 01/15/24 | 3 | | | 14,000 | | | | 14,595 | |
| CVS Health Corp. | | | | | |
5.05% | | | 03/25/48 | | | | 240,000 | | | | 246,424 | |
| Fresenius Medical Care U.S. Finance II, Inc. | | | | | |
4.13% | | | 10/15/20 | 3 | | | 400,000 | | | | 404,653 | |
5.63% | | | 07/31/19 | 3 | | | 300,000 | | | | 305,993 | |
| Fresenius US Finance II, Inc. | | | | | |
4.25% | | | 02/01/21 | 3 | | | 150,000 | | | | 151,207 | |
| Gilead Sciences, Inc. | | | | | |
4.15% | | | 03/01/47 | | | | 205,000 | | | | 194,692 | |
| Halfmoon Parent, Inc. | | | | | |
4.13% | | | 11/15/25 | 3 | | | 375,000 | | | | 374,504 | |
| HCA, Inc. | | | | | |
4.75% | | | 05/01/23 | | | | 30,000 | | | | 30,600 | |
5.00% | | | 03/15/24 | | | | 80,000 | | | | 82,200 | |
5.25% | | | 04/15/25 | | | | 23,000 | | | | 23,776 | |
6.50% | | | 02/15/20 | | | | 54,000 | | | | 56,322 | |
| Humana, Inc. | | | | | |
2.90% | | | 12/15/22 | | | | 195,000 | | | | 189,127 | |
| Molina Healthcare, Inc. | | | | | |
5.38% | | | 11/15/22 | | | | 33,000 | | | | 33,743 | |
| Shire Acquisitions Investments Ireland DAC (Ireland) | | | | | |
1.90% | | | 09/23/19 | 1 | | | 300,000 | | | | 296,863 | |
| Teleflex, Inc. | | | | | |
4.63% | | | 11/15/27 | | | | 10,000 | | | | 9,525 | |
| Tenet Healthcare Corp. | | | | | |
4.63% | | | 07/15/24 | | | | 46,000 | | | | 44,850 | |
4.75% | | | 06/01/20 | | | | 10,000 | | | | 10,113 | |
| Teva Pharmaceutical Finance Netherlands III BV (Netherlands) | | | | | |
1.70% | | | 07/19/19 | 1 | | | 63,000 | | | | 62,055 | |
| Universal Health Services, Inc. | | | | | |
3.75% | | | 08/01/19 | 3 | | | 200,000 | | | | 200,125 | |
| WellCare Health Plans, Inc. | | | | | |
5.25% | | | 04/01/25 | | | | 42,000 | | | | 42,788 | |
| | | | | | | | | | | | |
| |
| | | | 5,158,614 | |
| | | | | |
Industrials — 1.49% | | | | | |
| Amcor Finance USA, Inc. | | | | | |
4.50% | | | 05/15/28 | 3 | | | 145,000 | | | | 144,149 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Industrials (continued) | | | | | |
| BAE Systems Holdings, Inc. | | | | | |
2.85% | | | 12/15/20 | 3 | | $ | 200,000 | | | $ | 197,439 | |
| Ball Corp. | | | | | |
4.00% | | | 11/15/23 | | | | 30,000 | | | | 29,400 | |
| Berry Global, Inc. | | | | | |
4.50% | | | 02/15/26 | 3 | | | 58,000 | | | | 55,245 | |
5.13% | | | 07/15/23 | | | | 6,000 | | | | 6,067 | |
| Crown Americas LLC/Crown Americas | | | | | |
| Capital Corp. V | | | | | |
4.25% | | | 09/30/26 | | | | 21,000 | | | | 19,267 | |
| General Electric Co. (MTN) | | | | | |
| (LIBOR USD 3-Month plus 0.48%) | | | | | |
2.79% | | | 08/15/36 | 2 | | | 500,000 | | | | 416,785 | |
| Graphic Packaging International LLC | | | | | |
4.88% | | | 11/15/22 | | | | 55,000 | | | | 55,413 | |
| Itron, Inc. | | | | | |
5.00% | | | 01/15/26 | 3 | | | 30,000 | | | | 28,875 | |
| L3 Technologies, Inc. | | | | | |
4.40% | | | 06/15/28 | | | | 145,000 | | | | 144,740 | |
| Multi-Color Corp. | | | | | |
4.88% | | | 11/01/25 | 3 | | | 50,000 | | | | 46,875 | |
| Northrop Grumman Corp. | | | | | |
3.20% | | | 02/01/27 | | | | 150,000 | | | | 141,710 | |
| OI European Group BV (Netherlands) | | | | | |
4.00% | | | 03/15/23 | 1,3 | | | 20,000 | | | | 19,050 | |
| Silgan Holdings, Inc. | | | | | |
4.75% | | | 03/15/25 | | | | 60,000 | | | | 57,825 | |
| | | | | | | | | | | | |
| |
| | | | 1,362,840 | |
| | | | | |
Information Technology — 0.55% | | | | | |
| Broadcom Corp./Broadcom Cayman Finance | | | | | |
| Ltd. | | | | | |
2.38% | | | 01/15/20 | | | | 200,000 | | | | 197,714 | |
| Change Healthcare Holdings LLC/Change | | | | | |
| Healthcare Finance, Inc. | | | | | |
5.75% | | | 03/01/25 | 3 | | | 28,000 | | | | 27,860 | |
| Dell International LLC/EMC Corp. | | | | | |
3.48% | | | 06/01/19 | 3 | | | 250,000 | | | | 250,673 | |
| MSCI, Inc. | | | | | |
4.75% | | | 08/01/26 | 3 | | | 22,000 | | | | 21,890 | |
| | | | | | | | | | | | |
| |
| | | | 498,137 | |
| | | | | | | | | | | | |
Insurance — 0.96% | | | | | |
| Farmers Exchange Capital II | | | | | |
6.15% | | | 11/01/53 | 3,6 | | | 450,000 | | | | 477,806 | |
| Nationwide Mutual Insurance Co. | | | | | |
4.62% | | | 12/15/24 | 3,6 | | | 400,000 | | | | 401,500 | |
| | | | | | | | | | | | |
| |
| | | | 879,306 | |
| | | | | | | | | | | | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| Semi-Annual Report September 2018 / 94 |
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Materials — 0.30% | | | | | |
| Dow Chemical Co. (The) | | | | | |
8.55% | | | 05/15/19 | | | $ | 225,000 | | | $ | 232,711 | |
| Valvoline, Inc. | | | | | |
5.50% | | | 07/15/24 | | | | 40,000 | | | | 40,252 | |
| | | | | | | | | | | | |
| |
| | | | 272,963 | |
| | | | | | | | | | | | |
Real Estate Investment Trust (REIT) — 3.12% | | | | | |
| Alexandria Real Estate Equities, Inc. | | | | | |
3.45% | | | 04/30/25 | | | | 200,000 | | | | 192,225 | |
| American Campus Communities Operating Partnership LP | | | | | |
3.35% | | | 10/01/20 | | | | 125,000 | | | | 124,408 | |
| American Tower Corp. | | | | | |
3.00% | | | 06/15/23 | | | | 150,000 | | | | 144,566 | |
| CC Holdings GS V LLC/Crown Castle | | | | | |
| GS III Corp. | | | | | |
3.85% | | | 04/15/23 | | | | 200,000 | | | | 198,883 | |
| Digital Realty Trust LP | | | | | |
5.88% | | | 02/01/20 | | | | 145,000 | | | | 148,750 | |
| Greystar Student Housing Growth & Income OP LP | | | | | |
4.60% | | | 12/01/24 | | | | 300,000 | | | | 309,075 | |
| HCP, Inc. | | | | | |
3.88% | | | 08/15/24 | | | | 325,000 | | | | 317,980 | |
| SBA Communications Corp. | | | | | |
4.00% | | | 10/01/22 | | | | 78,000 | | | | 76,537 | |
| SL Green Realty Corp. | | | | | |
4.50% | | | 12/01/22 | | | | 200,000 | | | | 202,405 | |
| Ventas Realty LP | | | | | |
4.40% | | | 01/15/29 | | | | 250,000 | | | | 249,129 | |
| VEREIT Operating Partnership LP | | | | | |
3.00% | | | 02/06/19 | | | | 240,000 | | | | 239,916 | |
| WEA Finance LLC/Westfield UK & Europe Finance PLC | | | | | |
2.70% | | | 09/17/19 | 3 | | | 250,000 | | | | 249,333 | |
| Welltower, Inc. | | | | | |
3.75% | | | 03/15/23 | | | | 400,000 | | | | 397,578 | |
| | | | | |
| |
| | | | 2,850,785 | |
| | | | | |
Retail — 1.04% | | | | | |
| BC ULC/New Red Finance, Inc. (Canada) | | | | | |
4.25% | | | 05/15/24 | 1,3 | | | 20,000 | | | | 19,000 | |
| Cumberland Farms, Inc. | | | | | |
6.75% | | | 05/01/25 | 3 | | | 25,000 | | | | 25,734 | |
| Dollar Tree, Inc. | | | | | |
| (LIBOR USD 3-Month plus 0.70%) | | | | | |
3.04% | | | 04/17/20 | 2 | | | 250,000 | | | | 250,401 | |
| Rite Aid Corp. | | | | | |
6.13% | | | 04/01/23 | 3 | | | 49,000 | | | | 44,161 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Retail (continued) | | | | | |
| Walgreens Boots Alliance, Inc. | | | | | |
3.80% | | | 11/18/24 | | | $ | 400,000 | | | $ | 395,367 | |
| Walmart, Inc. | | | | | |
3.55% | | | 06/26/25 | | | | 215,000 | | | | 216,259 | |
| | | | | | | | | | | | |
| |
| | | | 950,922 | |
| | | | | | | | | | | | |
Services — 0.24% | | | | | |
| IHS Markit Ltd. (Bermuda) | | | | | |
4.00% | | | 03/01/26 | 1,3 | | | 7,000 | | | | 6,716 | |
4.75% | | | 08/01/28 | 1 | | | 35,000 | | | | 35,160 | |
5.00% | | | 11/01/22 | 1,3 | | | 170,000 | | | | 175,882 | |
| | | | | | | | | | | | |
| |
| | | | 217,758 | |
| | | | | | | | | | | | |
Transportation — 1.36% | | | | | |
| Avolon Holdings Funding Ltd. (Cayman | | | | | |
| Islands) | | | | | |
5.13% | | | 10/01/23 | 1,3 | | | 56,000 | | | | 56,744 | |
| Continental Airlines Pass-Through Trust, | | | | | |
| Series 2007-1, Class B | | | | | |
6.90% | | | 04/19/22 | | | | 713,358 | | | | 733,903 | |
| Delta Air Lines Pass-Through Trust, | | | | | |
| Series 2002-1, Class G1 | | | | | |
6.72% | | | 01/02/23 | | | | 331,527 | | | | 351,792 | |
| Union Pacific Corp. | | | | | |
3.95% | | | 09/10/28 | | | | 100,000 | | | | 100,691 | |
| | | | | | | | | | | | |
| |
| | | | 1,243,130 | |
| | | | | | | | | | | | |
Total Corporates
(Cost $32,555,538) | | | | 32,189,869 | |
| | | | | |
MORTGAGE-BACKED — 48.17%** | | | | | |
Non-Agency Commercial | | | | | |
Mortgage-Backed — 7.09% | | | | | |
| Banc of America Commercial Mortgage | | | | | |
| Trust, Series 2007-5, Class AJ | | | | | |
6.23% | | | 02/10/51 | 6 | | | 179,499 | | | | 184,008 | |
| Banc of America Merrill Lynch Commercial | | | | | |
| Mortgage Trust, Series 2018-PARK, Class A | | | | | |
4.09% | | | 08/10/38 | 3,6 | | | 140,000 | | | | 143,016 | |
Banc of America Merrill Lynch Trust,
Series 2011-FSHN, Class A | | | | | |
4.42% | | | 07/11/33 | 3 | | | 100,000 | | | | 102,753 | |
| CGRBS Commercial Mortgage Trust, | | | | | |
| Series 2013-VN05, Class A | | | | | |
3.37% | | | 03/13/35 | 3 | | | 80,000 | | | | 79,440 | |
| Citigroup Commercial Mortgage Trust, | | | | | |
| Series 2012-GC8, Class XA (IO) | | | | | |
1.97% | | | 09/10/45 | 3,6 | | | 1,654,661 | | | | 89,045 | |
| COBALT CMBS Commercial Mortgage Trust, | | | | | |
| Series 2007-C2, Class X (IO) | | | | | |
0.29% | | | 04/15/47 | 3,6 | | | 10,122,916 | | | | 20,195 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| 95 / Semi-Annual Report September 2018 |
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Commercial
Mortgage-Backed (continued) | | | | | |
| Commercial Mortgage Trust, Series 2006-GG7, Class AM | | | | | |
5.93% | | | 07/10/38 | 6 | | $ | 266,822 | | | $ | 269,720 | |
| Commercial Mortgage Trust, Series 2013-CR12, Class XA (IO) | | | | | |
1.39% | | | 10/10/46 | 6 | | | 2,009,651 | | | | 91,233 | |
| Commercial Mortgage Trust, Series 2014-UBS5, Class XA (IO) | | | | | |
1.17% | | | 09/10/47 | 4,5,6 | | | 2,786,953 | | | | 97,581 | |
| Commercial Mortgage Trust, Series 2015-CR26, Class XA (IO) | | | | | |
1.17% | | | 10/10/48 | 4,5,6 | | | 3,517,430 | | | | 177,585 | |
| Commercial Mortgage Trust, Series 2018-HOME, Class A | | | | | |
3.82% | | | 04/10/33 | 3,6 | | | 190,000 | | | | 188,630 | |
| Credit Suisse Commercial Mortgage Trust, Series 2007-C2, Class AJ | | | | | |
5.75% | | | 01/15/49 | 6 | | | 209,622 | | | | 211,827 | |
| Four Times Square Trust Commercial Mortgage Pass-Through Certificates, Series 2006-4TS, Class A | | | | | |
5.40% | | | 12/13/28 | 3 | | | 91,056 | | | | 94,669 | |
| GS Mortgage Securities Trust, Series 2012-GC6, Class XB (IO) | | | | | |
0.26% | | | 01/10/45 | 3,6 | | | 5,749,132 | | | | 40,538 | |
| GS Mortgage Securities Trust, Series 2012-SHOP, Class A | | | | | |
2.93% | | | 06/05/31 | 3 | | | 110,000 | | | | 110,068 | |
| GS Mortgage Securities Trust, Series 2013-GC12, Class XA (IO) | | | | | |
1.58% | | | 06/10/46 | 6 | | | 7,720,556 | | | | 384,369 | |
| GS Mortgage Securities Trust, Series 2017-GPTX, Class XCP (IO) | | | | | |
0.91% | | | 05/10/34 | 3,6 | | | 5,000,000 | | | | 64,085 | |
| Irvine Core Office Trust, Series 2013-IRV, Class A1 | | | | | |
2.07% | | | 05/15/48 | 3 | | | 75,429 | | | | 73,294 | |
| JPMBB Commercial Mortgage Securities Trust, Series 2013-C15, Class XA (IO) | | | | | |
1.33% | | | 11/15/45 | 6 | | | 3,637,775 | | | | 139,624 | |
| JPMBB Commercial Mortgage Securities Trust, Series 2014-C21, Class ASB | | | | | |
3.43% | | | 08/15/47 | | | | 680,000 | | | | 682,652 | |
| JPMBB Commercial Mortgage Securities Trust, Series 2014-C24, Class XA (IO) | | | | | |
1.12% | | | 11/15/47 | 6 | | | 3,108,692 | | | | 116,306 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2005-CIBC12, Class AJ | | | | | |
4.99% | | | 09/12/37 | 6 | | | 227,710 | | | | 231,094 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Commercial
Mortgage-Backed (continued) | | | | | |
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2005-CIBC13, Class AJ | | | | | |
5.77% | | | 01/12/43 | 6 | | $ | 261,858 | | | $ | 266,056 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2010-CNTR, Class A2 | | | | | |
4.31% | | | 08/05/32 | 3 | | | 78,221 | | | | 79,799 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-C13, Class XA (IO) | | | | | |
0.31% | | | 01/15/46 | 6 | | | 9,102,327 | | | | 48,774 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-LC11, Class XA (IO) | | | | | |
1.41% | | | 04/15/46 | 6 | | | 1,616,813 | | | | 74,630 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2018-BCON, Class A | | | | | |
3.73% | | | 01/05/31 | 3 | | | 95,000 | | | | 95,839 | |
| Morgan Stanley Capital I Trust, Series 2011-C1, Class A4 | | | | | |
5.03% | | | 09/15/47 | 3,6 | | | 393,191 | | | | 404,763 | |
| Morgan Stanley Capital I Trust, Series 2011-C3, Class A3 | | | | | |
4.05% | | | 07/15/49 | | | | 439,819 | | | | 442,679 | |
| OBP Depositor LLC Trust, Series 2010-OBP, Class A | | | | | |
4.65% | | | 07/15/45 | 3 | | | 210,000 | | | | 214,167 | |
| SFAVE Commercial Mortgage Securities Trust, Series 2015-5AVE, Class A2A | | | | | |
3.66% | | | 01/05/43 | 3,6 | | | 120,000 | | | | 112,113 | |
| UBS Commercial Mortgage Trust, Series 2012-C1, Class XA (IO) | | | | | |
2.26% | | | 05/10/45 | 3,6 | | | 1,841,458 | | | | 110,432 | |
| UBS Commercial Mortgage Trust, Series 2018-C12, Class A1 | | | | | |
3.29% | | | 08/15/51 | | | | 484,592 | | | | 484,757 | |
| VNDO Mortgage Trust, Series 2013-PENN, Class A | | | | | |
3.81% | | | 12/13/29 | 3 | | | 102,500 | | | | 103,473 | |
| Wachovia Bank Commercial Mortgage Trust, Series 2007-C30, Class AJ | | | | | |
5.41% | | | 12/15/43 | 6 | | | 131,622 | | | | 132,647 | |
WF-RBS Commercial Mortgage Trust,
Series 2011-C5, Class XA (IO) | | | | | |
1.90% | | | 11/15/44 | 3,6 | | | 3,614,575 | | | | 150,240 | |
WF-RBS Commercial Mortgage Trust,
Series 2012-C9, Class XA (IO) | | | | | |
2.05% | | | 11/15/45 | 3,6 | | | 1,111,735 | | | | 69,811 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| Semi-Annual Report September 2018 / 96 |
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Commercial
Mortgage-Backed (continued) | | | | | |
WF-RBS Commercial Mortgage Trust,
Series 2013-C14, Class XA (IO) | | | | | |
0.87% | | | 06/15/46 | 6 | | $ | 3,147,268 | | | $ | 88,328 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 6,470,240 | |
| | | | | | | | | | | | |
Non-Agency Mortgage-Backed — 28.12% | | | | | |
| ACE Securities Corp. Home Equity Loan Trust, Series 2006-HE3, Class A2C | | | | | |
| (LIBOR USD 1-Month plus 0.15%) | | | | | |
2.37% | | | 06/25/36 | 2 | | | 1,498,198 | | | | 1,220,147 | |
Banc of America Alternative Loan Trust,
Series 2005-2, Class 4A1 | | | | | |
5.50% | | | 03/25/20 | | | | 74,072 | | | | 72,479 | |
| Banc of America Funding Trust, Series 2006-3, Class 5A3 | | | | | |
5.50% | | | 03/25/36 | | | | 384,430 | | | | 367,236 | |
| BCAP LLC Trust, Series 2011-RR3, Class 5A3 | | | | | |
3.92% | | | 11/27/37 | 3,6 | | | 415,452 | | | | 415,850 | |
Bear Stearns ALT-A Trust, Series 2005-1,
Class A1 | | | | | |
| (LIBOR USD 1-Month plus 0.56%) | | | | | |
2.78% | | | 01/25/35 | 2 | | | 169,245 | | | | 168,813 | |
| Chase Mortgage Finance Trust, Series 2007-A1, Class 8A1 | | | | | |
4.14% | | | 02/25/37 | 6 | | | 123,506 | | | | 127,011 | |
| Citigroup Mortgage Loan Trust, Series 2005-OPT3, Class M2 | | | | | |
| (LIBOR USD 1-Month plus 0.68%) | | | | | |
2.89% | | | 05/25/35 | 2 | | | 13,968 | | | | 13,984 | |
| Conseco Finance Corp., Series 1996-7, Class M1 | | | | | |
7.70% | | | 09/15/26 | 6 | | | 300,117 | | | | 322,812 | |
| Conseco Finance Corp., Series 1998-3, Class A6 | | | | | |
6.76% | | | 03/01/30 | 6 | | | 224,005 | | | | 235,409 | |
| Conseco Finance Corp., Series 1998-4, Class A6 | | | | | |
6.53% | | | 04/01/30 | 6 | | | 301,992 | | | | 318,603 | |
| Conseco Finance Corp., Series 1998-4, Class A7 | | | | | |
6.87% | | | 04/01/30 | 6 | | | 149,537 | | | | 158,673 | |
| Conseco Finance Corp., Series 1999-5, Class A5 | | | | | |
7.86% | | | 03/01/30 | 6 | | | 82,463 | | | | 60,928 | |
| Conseco Finance Home Equity Loan Trust, Series 2002-C, Class BF1 | | | | | |
8.00% | | | 06/15/32 | 6 | | | 454,412 | | | | 465,182 | |
| Conseco Finance Home Equity Loan Trust, Series 2002-C, Class BF2 | | | | | |
8.00% | | | 06/15/32 | 3,6 | | | 478,526 | | | | 498,200 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
Conseco Finance Securitizations Corp.,
Series 2001-4, Class A4 | | | | | |
7.36% | | | 08/01/32 | 6 | | $ | 105,236 | | | $ | 107,983 | |
| Credit Suisse Mortgage Capital, Series 2014-4R, Class 16A1 | | | | | |
| (LIBOR USD 1-Month plus 0.20%) | | | | | |
2.26% | | | 02/27/36 | 2,3 | | | 113,347 | | | | 113,261 | |
| Credit-Based Asset Servicing and Securitization LLC, Mortgage Loan Trust, Series 2007-CB2, Class A2B (STEP-reset date 11/25/18) | | | | | |
4.10% | | | 02/25/37 | | | | 1,122,944 | | | | 893,092 | |
| Credit-Based Asset Servicing and Securitization LLC, Mortgage Loan Trust, Series 2007-CB2, Class A2C (STEP-reset date 11/25/18) | | | | | |
4.10% | | | 02/25/37 | | | | 370,804 | | | | 294,873 | |
| Credit-Based Asset Servicing and Securitization LLC, Mortgage Loan Trust, Series 2007-CB3, Class A3 (STEP-reset date 11/25/18) | | | | | |
3.85% | | | 03/25/37 | | | | 1,084,609 | | | | 648,207 | |
First Franklin Mortgage Loan Trust,
Series 2006-FF18, Class A2B | | | | | |
| (LIBOR USD 1-Month plus 0.11%) | | | | | |
2.33% | | | 12/25/37 | 2 | | | 689,451 | | | | 601,961 | |
First Franklin Mortgage Loan Trust,
Series 2007-FF2, Class A2B | | | | | |
| (LIBOR USD 1-Month plus 0.10%) | | | | | |
2.32% | | | 03/25/37 | 2 | | | 848,898 | | | | 554,136 | |
GMACM Mortgage Corp. Loan Trust,
Series 2006-AR1, Class 1A1 | | | | | |
3.80% | | | 04/19/36 | 6 | | | 402,228 | | | | 377,218 | |
GreenPoint Mortgage Funding Trust,
Series 2006-AR8, Class 1A2A7 | | | | | |
0.00% | | | 4,8,† | | | | 2,140,000 | | | | — | |
| GSR Mortgage Loan Trust, Series 2007-AR2, Class 5A1A | | | | | |
3.96% | | | 05/25/37 | 6 | | | 566,551 | | | | 511,781 | |
| HSI Asset Loan Obligation Trust, Series 2007-2, Class 2A12 | | | | | |
6.00% | | | 09/25/37 | | | | 371,582 | | | | 337,635 | |
| Impac CMB Trust, Series 2004-4, Class 1A2 | | | | | |
| (LIBOR USD 1-Month plus 0.62%) | | | | | |
2.84% | | | 09/25/34 | 2 | | | 331,842 | | | | 331,948 | |
IndyMac Index Mortgage Loan Trust,
Series 2005-AR25, Class 2A1 | | | | | |
3.70% | | | 12/25/35 | 6 | | | 447,770 | | | | 430,449 | |
IndyMac Index Mortgage Loan Trust,
Series 2007-FLX2, Class A1C | | | | | |
| (LIBOR USD 1-Month plus 0.19%) | | | | | |
2.41% | | | 04/25/37 | 2 | | | 1,636,563 | | | | 1,545,484 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 97 / Semi-Annual Report September 2018 |
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | | | | | |
| IndyMac Manufactured Housing Contract Pass-Through Certificates, Series 1997-1, Class A3 | | | | | |
6.61% | | | 02/25/28 | | | $ | 207,996 | | | $ | 210,040 | |
| IndyMac Manufactured Housing Contract Pass-Through Certificates, Series 1997-1, Class A4 | | | | | |
6.75% | | | 02/25/28 | | | | 87,560 | | | | 88,596 | |
| IndyMac Manufactured Housing Contract Pass-Through Certificates, Series 1998-1, Class A4 | | | | | |
6.49% | | | 09/25/28 | | | | 97,004 | | | | 103,234 | |
| IndyMac Manufactured Housing Contract Pass-Through Certificates, Series 1998-1, Class A5 | | | | | |
6.96% | | | 09/25/28 | 6 | | | 233,813 | | | | 246,643 | |
JPMorgan Mortgage Acquisition Trust,
Series 2007-HE1, Class AF6 (STEP-reset date 11/25/18) | | | | | |
4.26% | | | 03/25/47 | | | | 884,155 | | | | 623,235 | |
| JPMorgan Mortgage Trust, Series 2006-S2, Class 2A2 | | | | | |
5.88% | | | 06/25/21 | | | | 180,703 | | | | 172,522 | |
| JPMorgan Mortgage Trust, Series 2007-S1, Class 1A2 | | | | | |
5.50% | | | 03/25/22 | | | | 93,334 | | | | 103,845 | |
| Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A6 | | | | | |
6.47% | | | 04/15/40 | 6 | | | 53,328 | | | | 53,918 | |
| Lehman XS Trust, Series 2006-13, Class 1A2 | | | | | |
| (LIBOR USD 1-Month plus 0.17%) | | | | | |
2.39% | | | 09/25/36 | 2 | | | 222,965 | | | | 218,961 | |
| Lehman XS Trust, Series 2006-9, Class A1B | | | | | |
| (LIBOR USD 1-Month plus 0.16%) | | | | | |
2.38% | | | 05/25/46 | 2 | | | 183,028 | | | | 238,543 | |
| MASTR Asset-Backed Securities Trust, Series 2007-HE1, Class A4 | | | | | |
| (LIBOR USD 1-Month plus 0.28%) | | | | | |
2.50% | | | 05/25/37 | 2 | | | 1,810,500 | | | | 1,322,013 | |
| Merrill Lynch Alternative Note Asset Trust, Series 2007-A3, Class A2D | | | | | |
| (LIBOR USD 1-Month plus 0.33%) | | | | | |
2.55% | | | 04/25/37 | 2,4,5 | | | 1,696,107 | | | | 177,297 | |
| Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-FF1, Class A2D | | | | | |
| (LIBOR USD 1-Month plus 0.22%) | | | | | |
2.44% | | | 01/25/38 | 2 | | | 2,312,108 | | | | 1,750,994 | |
| Merrill Lynch Mortgage Investors Trust, Series 2004-HE2, Class A2C | | | | | |
| (LIBOR USD 1-Month plus 1.16%) | | | | | |
3.38% | | | 08/25/35 | 2 | | | 709,726 | | | | 700,981 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | | | | | |
| Mid-State Capital Corp., Series 2004-1, Class B | | | | | |
8.90% | | | 08/15/37 | | | $ | 646,751 | | | $ | 732,825 | |
| Mid-State Capital Corp., Series 2004-1, Class M1 | | | | | |
6.50% | | | 08/15/37 | | | | 447,298 | | | | 475,188 | |
| Mid-State Capital Corp., Series 2005-1, Class A | | | | | |
5.75% | | | 01/15/40 | | | | 184,826 | | | | 200,392 | |
| Mid-State Trust XI, Series 2011, Class B | | | | | |
8.22% | | | 07/15/38 | | | | 9,978 | | | | 11,433 | |
Morgan Stanley Mortgage Loan Trust,
Series 2004-7AR, Class 2A4 | | | | | |
3.94% | | | 09/25/34 | 6 | | | 325,352 | | | | 330,718 | |
Morgan Stanley Mortgage Loan Trust,
Series 2006-7, Class 5A2 | | | | | |
5.96% | | | 06/25/36 | 6 | | | 2,514,764 | | | | 1,130,824 | |
| Oakwood Mortgage Investors, Inc., Series 1998-A, Class M | | | | | |
6.83% | | | 05/15/28 | 6 | | | 231,706 | | | | 241,164 | |
| Oakwood Mortgage Investors, Inc., Series 1999-B, Class A4 | | | | | |
6.99% | | | 12/15/26 | | | | 357,840 | | | | 372,586 | |
| Oakwood Mortgage Investors, Inc., Series 2001-D, Class A3 | | | | | |
5.90% | | | 09/15/22 | 6 | | | 882,067 | | | | 715,730 | |
| Oakwood Mortgage Investors, Inc., Series 2002-A, Class A3 | | | | | |
6.03% | | | 05/15/24 | 6 | | | 357,965 | | | | 372,136 | |
Residential Accredit Loans Trust,
Series 2005-QA3, Class NB1 | | | | | |
4.14% | | | 03/25/35 | 6 | | | 439,583 | | | | 313,854 | |
| SG Mortgage Securities Trust, Series 2007-NC1, Class A2 | | | | | |
| (LIBOR USD 1-Month plus 0.24%) | | | | | |
2.46% | | | 12/25/36 | 2,3 | | | 1,551,134 | | | | 1,086,659 | |
| Specialty Underwriting & Residential Finance Trust, Series 2006-AB3, Class A2B | | | | | |
| (LIBOR USD 1-Month plus 0.15%) | | | | | |
2.37% | | | 09/25/37 | 2 | | | 587,622 | | | | 363,598 | |
| STRU TCW-1149 Coll | | | | | |
3.82% | | | 11/01/30 | | | | 250,000 | | | | 252,124 | |
| Structured Adjustable Rate Mortgage Loan Trust, Series 2004-12, Class 2A | | | | | |
4.24% | | | 09/25/34 | 6 | | | 435,780 | | | | 432,033 | |
| Terwin Mortgage Trust, Series 2004-7HE, Class A1 | | | | | |
| (LIBOR USD 1-Month plus 0.55%) | | | | | |
2.77% | | | 07/25/34 | 2,3 | | | 98,925 | | | | 96,228 | |
| WaMu Mortgage Pass-Through Certificates, Series 2005-AR8, Class 2A1A | | | | | |
| (LIBOR USD 1-Month plus 0.58%) | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2018 / 98 |
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
2.80% | | | 07/25/45 | 2 | | $ | 90,851 | | | $ | 92,541 | |
| Wells Fargo Home Equity Asset-Backed Securities, Series 2007-1, Class A3 | | | | | |
| (LIBOR USD 1-Month plus 0.32%) | | | | | |
2.54% | | | 03/25/37 | 2 | | | 1,500,000 | | | | 1,232,776 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 25,656,986 | |
| | | | | | | | | | | | |
| U.S. Agency Commercial Mortgage-Backed — 7.07% | | | | | |
| Fannie Mae-Aces, Series 2011-M5, Class X (IO) | | | | | |
1.12% | | | 07/25/21 | 6 | | | 4,567,504 | | | | 120,519 | |
| Fannie Mae-Aces, Series 2012-M14, Class X2 (IO) | | | | | |
0.56% | | | 09/25/22 | 6 | | | 5,415,314 | | | | 76,938 | |
| Fannie Mae-Aces, Series 2012-M2, Class X (IO) | | | | | |
0.78% | | | 02/25/22 | 6 | | | 3,210,781 | | | | 57,564 | |
| Fannie Mae-Aces, Series 2016-M11, Class AL | | | | | |
2.94% | | | 07/25/39 | | | | 366,359 | | | | 350,391 | |
| Fannie Mae-Aces, Series 2016-M11, Class X2 (IO) | | | | | |
2.73% | | | 07/25/39 | 6 | | | 2,098,239 | | | | 102,228 | |
| Fannie Mae-Aces, Series 2016-M13, Class FA (IO) | | | | | |
| (LIBOR USD 1-Month plus 0.67%) | | | | | |
2.74% | | | 11/25/23 | 2 | | | 401,002 | | | | 404,155 | |
| Fannie Mae-Aces, Series 2016-M4, Class X2 (IO) | | | | | |
2.69% | | | 01/25/39 | 6 | | | 683,418 | | | | 56,966 | |
| Freddie Mac Multifamily Structured Pass Through Certificates, Series K157, Class A3 | | | | | |
3.99% | | | 08/25/33 | 6 | | | 250,000 | | | | 253,877 | |
| Freddie Mac Multifamily Structured Pass Through Certificates, Series KC02, Class A1 | | | | | |
3.25% | | | 02/25/25 | | | | 460,000 | | | | 458,868 | |
| Freddie Mac Multifamily Structured Pass Through Certificates, Series Q007, Class APT1 | | | | | |
3.00% | | | 10/25/47 | 6 | | | 350,000 | | | | 349,447 | |
| Freddie Mac Multifamily Structured Pass Through Certificates, Series Q007, Class APT2 | | | | | |
3.33% | | | 10/25/47 | 6 | | | 450,000 | | | | 450,438 | |
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K021,
Class X3 (IO) | | | | | |
2.04% | | | 07/25/40 | 6 | | | 850,000 | | | | 59,134 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Commercial
Mortgage-Backed (continued) | | | | | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series K022, Class X3 (IO) | | | | | |
1.87% | | | 08/25/40 | 6 | | $ | 850,000 | | | $ | 55,135 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series K712, Class X1 (IO) | | | | | |
1.44% | | | 11/25/19 | 6 | | | 5,601,468 | | | | 58,451 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series K714, Class X1 (IO) | | | | | |
0.89% | | | 10/25/20 | 6 | | | 10,807,398 | | | | 117,781 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KAIV, Class X2 (IO) | | | | | |
3.61% | | | 06/25/41 | 6 | | | 1,220,000 | | | | 107,293 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF15, Class A | | | | | |
| (LIBOR USD 1-Month plus 0.67%) | | | | | |
2.78% | | | 02/25/23 | 2 | | | 401,558 | | | | 403,055 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF17, Class A | | | | | |
| (LIBOR USD 1-Month plus 0.55%) | | | | | |
2.66% | | | 03/25/23 | 2 | | | 420,040 | | | | 421,689 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KJ02, Class A2 | | | | | |
2.60% | | | 09/25/20 | | | | 223,351 | | | | 221,814 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KJ03, Class A1 | | | | | |
1.67% | | | 01/25/21 | | | | 336,853 | | | | 327,746 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KP01, Class X (IO) | | | | | |
3.94% | | | 01/25/19 | 6 | | | 135,109 | | | | 41 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KS07, Class X (IO) | | | | | |
0.78% | | | 09/25/25 | 6 | | | 6,000,000 | | | | 250,802 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series Q004, Class A2H | | | | | |
2.78% | | | 01/25/21 | 6 | | | 562,319 | | | | 562,039 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series Q006, Class APT1 | | | | | |
2.53% | | | 07/25/26 | 6 | | | 524,099 | | | | 531,085 | |
| Ginnie Mae, Series 2008-92, Class E | | | | | |
5.56% | | | 03/16/44 | 6 | | | 199,640 | | | | 201,794 | |
| Ginnie Mae, Series 2009-114, Class IO (IO) | | | | | |
0.00% | | | 10/16/49 | 6 | | | 7,625,490 | | | | 24,912 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 99 / Semi-Annual Report September 2018 |
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Commercial
Mortgage-Backed (continued) | | | | | |
| Ginnie Mae, Series 2014-103, Class IO (IO) | | | | | |
0.62% | | | 05/16/55 | 6 | | $ | 2,606,046 | | | $ | 90,780 | |
| Ginnie Mae, Series 2014-125, Class IO (IO) | | | | | |
0.97% | | | 11/16/54 | 6 | | | 2,461,265 | | | | 157,884 | |
| Ginnie Mae, Series 2014-88, Class IE (IO) | | | | | |
0.33% | | | 03/16/55 | 6 | | | 3,741,021 | | | | 93,789 | |
| Ginnie Mae, Series 2015-47, Class IO (IO) | | | | | |
0.82% | | | 10/16/56 | 6 | | | 1,423,561 | | | | 78,827 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 6,445,442 | |
| | | | | | | | | | | | |
U.S. Agency Mortgage-Backed — 5.89% | | | | | |
| Fannie Mae Pool 463408 | | | | | |
5.25% | | | 08/01/24 | | | | 262,809 | | | | 284,852 | |
| Fannie Mae Pool 466411 | | | | | |
3.31% | | | 11/01/20 | | | | 340,000 | | | | 342,475 | |
| Fannie Mae Pool 874941 | | | | | |
6.32% | | | 11/01/37 | | | | 503,149 | | | | 546,293 | |
| Fannie Mae Pool AL2293 | | | | | |
4.38% | | | 06/01/21 | | | | 417,955 | | | | 428,985 | |
| Fannie Mae Pool AN6168 | | | | | |
3.13% | | | 07/01/32 | | | | 200,000 | | | | 185,997 | |
| Fannie Mae Pool AN9163 | | | | | |
3.49% | | | 05/01/30 | | | | 350,000 | | | | 343,766 | |
| Fannie Mae Pool AN9420 | | | | | |
3.77% | | | 07/01/43 | | | | 249,117 | | | | 247,687 | |
| Fannie Mae Pool AN9619 | | | | | |
3.77% | | | 06/01/33 | | | | 285,000 | | | | 283,435 | |
| Fannie Mae Pool FN0003 | | | | | |
4.28% | | | 01/01/21 | | | | 320,958 | | | | 328,480 | |
| Fannie Mae REMICS, Series 1993-80, Class S | | | | | |
| (-1.22 X LIBOR USD 1-Month plus 10.87%, 10.87% Cap) | | | | | |
8.17% | | | 05/25/23 | 2 | | | 1,814 | | | | 1,964 | |
| Fannie Mae REMICS, Series 2000-45, Class SA (IO) | | | | | |
| (-1.00 X LIBOR USD 1-Month plus 7.95%, 7.95% Cap) | | | | | |
5.79% | | | 12/18/30 | 2 | | | 261,329 | | | | 26,473 | |
| Fannie Mae REMICS, Series 2001-42, Class SB | | | | | |
| (-16.00 X LIBOR USD 1-Month plus 128.00%, 8.50% Cap) | | | | | |
8.50% | | | 09/25/31 | 2 | | | 617 | | | | 708 | |
| Fannie Mae REMICS, Series 2003-124, Class TS | | | | | |
| (-14.00 X LIBOR USD 1-Month plus 100.80%, 9.80% Cap) | | | | | |
9.80% | | | 01/25/34 | 2 | | | 6,609 | | | | 7,539 | |
| Fannie Mae REMICS, Series 2005-92, Class US (IO) | | | | | |
| (-1.00 X LIBOR USD 1-Month plus 6.10%, 6.10% Cap) | | | | | |
3.88% | | | 10/25/25 | 2 | | | 1,288,444 | | | | 91,240 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed (continued) | | | | | |
| Fannie Mae REMICS, Series 2006-125, Class SM (IO) | | | | | |
| (-1.00 X LIBOR USD 1-Month plus 7.20%, 7.20% Cap) | | | | | |
4.98% | | | 01/25/37 | 2 | | $ | 1,171,857 | | | $ | 195,524 | |
| Fannie Mae REMICS, Series 2008-50, Class SA (IO) | | | | | |
| (-1.00 X LIBOR USD 1-Month plus 6.05%, 6.05% Cap) | | | | | |
3.83% | | | 11/25/36 | 2 | | | 1,419,350 | | | | 183,624 | |
| Fannie Mae REMICS, Series 2010-43, Class KS (IO) | | | | | |
| (-1.00 X LIBOR USD 1-Month plus 6.42%, 6.42% Cap) | | | | | |
4.20% | | | 05/25/40 | 2 | | | 1,213,014 | | | | 171,516 | |
| Freddie Mac Gold Pool WA3303 | | | | | |
3.83% | | | 05/01/35 | | | | 450,000 | | | | 442,254 | |
| Freddie Mac REMICS, Series 1602, Class SN | | | | | |
| (-4.25 X PRIME plus 46.22%, 10.09% Cap) | | | | | |
10.09% | | | 10/15/23 | 2 | | | 14,590 | | | | 15,672 | |
| Freddie Mac REMICS, Series 1673, Class SD | | | | | |
| (-2.15 X US Treasury Yield Curve Rate T Note Constant Maturity 10 Year plus 19.39%, 18.31% Cap) | | | | | |
12.82% | | | 02/15/24 | 2 | | | 90,356 | | | | 104,157 | |
| Freddie Mac REMICS, Series 2642, Class BW (IO) | | | | | |
5.00% | | | 06/15/23 | | | | 2,150 | | | | 51 | |
| Freddie Mac REMICS, Series 2990, Class ND | | | | | |
| (-2.54 X LIBOR USD 1-Month plus 16.89%, 16.89% Cap) | | | | | |
11.41% | | | 12/15/34 | 2 | | | 33,404 | | | | 34,894 | |
| Freddie Mac REMICS, Series 3242, Class SA (IO) | | | | | |
| (-1.00 X LIBOR USD 1-Month plus 6.35%, 6.35% Cap) | | | | | |
4.19% | | | 11/15/36 | 2 | | | 3,909,340 | | | | 534,925 | |
| Freddie Mac REMICS, Series 3247, Class SI (IO) | | | | | |
| (-1.00 X LIBOR USD 1-Month plus 6.65%, 6.50% Cap) | | | | | |
0.15% | | | 08/15/36 | 2 | | | 16,564,284 | | | | 125,087 | |
| Freddie Mac REMICS, Series 3260, Class AS (IO) | | | | | |
| (-1.00 X LIBOR USD 1-Month plus 6.38%, 6.38% Cap) | | | | | |
4.22% | | | 01/15/37 | 2 | | | 2,474,621 | | | | 328,180 | |
| Freddie Mac REMICS, Series 3289, Class SD (IO) | | | | | |
| (-1.00 X LIBOR USD 1-Month plus 6.12%, 6.12% Cap) | | | | | |
3.96% | | | 03/15/37 | 2 | | | 883,607 | | | | 52,868 | |
| Ginnie Mae, Series 2004-8, Class SE | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2018 / 100 |
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | | | | | |
| (-2.00 X LIBOR USD 1-Month plus 14.30%, 14.30% Cap) | | | | | |
9.86% | | | 11/26/23 | 2 | | $ | 57,015 | | | $ | 61,150 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 5,369,796 | |
| | | | | | | | | | | | |
Total Mortgage-Backed (Cost $45,354,840) | | | | 43,942,464 | |
| | | | | | | | | | | | |
| |
MUNICIPAL BONDS — 0.96%* | | | | | |
California — 0.56% | | | | | |
| San Jose Redevelopment Agency Successor Agency, Series A-T | | | | | |
3.23% | | | 08/01/27 | | | | 225,000 | | | | 216,918 | |
| State of California, Taxable, Miscellaneous Revenue Bonds, Series B | | | | | |
2.19% | | | 04/01/47 | | | | 300,000 | | | | 295,968 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 512,886 | |
| | | | | | | | | | | | |
New York — 0.40% | |
| New York City Transitional Finance Authority Revenue, Future Tax Secured Revenue, Build America Bonds | | | | | |
5.81% | | | 08/01/30 | | | | 350,000 | | | | 365,792 | |
| | | | | | | | | | | | |
| |
Total Municipal Bonds | | | | | |
| (Cost $896,385) | | | | 878,678 | |
| | | | | | | | | | | | |
| |
Total Bonds – 97.30% | | | | | |
| (Cost $90,885,739) | | | | 88,770,961 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount/
Shares | | | Value | |
SHORT-TERM INVESTMENTS — 2.81% | | | | | |
Money Market Funds — 0.97% | | | | | |
| Morgan Stanley Institutional Liquidity Funds-Government Portfolio | | | | | |
2.04%9 | | | | | | $ | 884,000 | | | $ | 884,000 | |
| | | | | | | | | | | | |
U.S. Treasury Bills — 1.84% | | | | | |
| U.S. Treasury Bills | | | | | |
2.05%10 | | | 12/13/18 | 11 | | | 91,000 | | | | 90,609 | |
2.20%10 | | | 01/31/19 | | | | 1,600,000 | | | | 1,587,969 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 1,678,578 | |
| | | | | | | | | | | | |
Total Short-Term Investments | | | | | |
| (Cost $2,562,675) | | | | 2,562,578 | |
| | | | | | | | | | | | |
| |
Total Investments – 100.11% | | | | | |
| (Cost $93,448,414) | | | | 91,333,539 | |
| | | | | | | | | | | | |
| | |
| Liabilities in Excess of Other Assets – (0.11)% | | | | | | | | (102,466 | ) |
| | | | | | | | | | | | |
| | |
Net Assets – 100.00% | | | | | | | $ | 91,231,073 | |
| | | | | | | | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 101 / Semi-Annual Report September 2018 |
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| 1 | U.S. dollar-denominated security issued by foreign-domiciled entity. |
| 2 | Floating rate security. The rate disclosed was in effect at September 30, 2018. |
| 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 | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
| 5 | Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $592,051, which is 0.65% of total net assets. |
| 6 | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. |
| 7 | Non-income producing security. |
| 8 | Security is currently in default with regard to scheduled interest or principal payments. |
| 9 | Represents the current yield as of September 30, 2018. |
| 10 | Represents annualized yield at date of purchase. |
| 11 | Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $90,606. |
| † | Fair valued security. The aggregate value of fair valued securities is $687,560, which is 0.75% of total net assets. These securities were not valued utilizing an independent quote but 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.
(CDO): Collateralized Debt Obligations
(CLO): Collateralized Loan Obligation
(GMTN): Global medium-term note
(IO): Interest only
(LIBOR): London InterBank Offer Rate
(MTN): Medium-term note
(STEP): Step coupon bond
(USD): U.S. dollar
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Number
of Contracts | | Expiration Date | | Notional Amount | | Value | | Unrealized
Appreciation |
FUTURES CONTRACTS: SHORT POSITIONS | | | | | | | | | | | | | | | | |
U.S. Treasury Five Year Note | | | | 83 | | | | | 12/31/18 | | | | $ | (9,335,555 | ) | | | $ | 36,036 | | | | $ | 36,036 | |
U.S. Treasury Ten Year Ultra Bond | | | | 12 | | | | | 12/19/18 | | | | | (1,512,000 | ) | | | | 4,292 | | | | | 4,292 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
TOTAL FUTURES CONTRACTS | | | | | | | | | | | | | $ | (10,847,555 | ) | | | $ | 40,328 | | | | $ | 40,328 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2018 / 102 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
BONDS – 100.25% | | | | | |
ASSET-BACKED SECURITIES — 5.60%** | | | | | |
| A Voce CLO Ltd., Series 2014-1A, Class A1R (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 1.16%) | | | | | |
3.50% | | 07/15/261,2,3 | | $ | 25,475,000 | | | $ | 25,477,578 | |
| Academic Loan Funding Trust, Series 2012-1A, Class A2 | | | | | |
| (LIBOR USD 1-Month plus 1.10%) | | | | | |
3.32% | | 12/27/442,3 | | | 30,567,825 | | | | 30,830,772 | |
| AIMCO CLO, Series 2014-AA, Class AR (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 1.10%) | | | | | |
3.45% | | 07/20/261,2,3 | | | 17,910,000 | | | | 17,912,109 | |
| Atrium XII, Series 12A, Class AR (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 0.83%) | | | | | |
3.18% | | 04/22/271,2,3 | | | 22,000,000 | | | | 21,917,788 | |
| Babcock & Brown Air Funding I Ltd., Series 2007-1A, Class G1 (Bermuda) | | | | | |
| (LIBOR USD 1-Month plus 0.30%) | | | | | |
2.43% | | 11/14/331,2,3 | | | 153,917 | | | | 146,222 | |
| Barings CLO Ltd., Series 2013-IA, Class AR (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 0.80%) | | | | | |
3.15% | | 01/20/281,2,3 | | | 54,735,000 | | | | 54,536,202 | |
| Barings CLO Ltd., Series 2018-3A, Class A1 (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 0.95%) | | | | | |
3.02% | | 07/20/291,2,3 | | | 35,930,000 | | | | 35,742,445 | |
| Bayview Commercial Asset Trust, Series 2004-3, Class A1 | | | | | |
| (LIBOR USD 1-Month plus 0.56%) | | | | | |
2.77% | | 01/25/352,3 | | | 1,887,824 | | | | 1,867,551 | |
| Bayview Commercial Asset Trust, Series 2005-1A, Class A1 | | | | | |
| (LIBOR USD 1-Month plus 0.30%) | | | | | |
2.52% | | 04/25/352,3 | | | 4,155,251 | | | | 4,054,117 | |
| BlueMountain CLO Ltd., Series 2014-2A, Class AR (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 0.93%) | | | | | |
3.28% | | 07/20/261,2,3 | | | 23,000,000 | | | | 23,002,695 | |
| BlueMountain CLO Ltd., Series 2015-2A, Class A1R (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 0.93%) | | | | | |
3.26% | | 07/18/271,2,3 | | | 8,330,000 | | | | 8,289,683 | |
| Brazos Education Loan Authority, Inc., Series 2012-1, Class A1 | | | | | |
| (LIBOR USD 1-Month plus 0.70%) | | | | | |
2.92% | | 12/26/352 | | | 54,150 | | | | 54,099 | |
| Brazos Higher Education Authority, Inc., Series 2005-1, Class 1A4 | | | | | |
| (LIBOR USD 3-Month plus 0.15%) | | | | | |
2.52% | | 03/26/292 | | | 5,162,500 | | | | 5,134,898 | |
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | | | | | |
| Brazos Higher Education Authority, Inc., Series 2010-1, Class A2 | | | | | |
| (LIBOR USD 3-Month plus 1.20%) | | | | | |
3.51% | | 02/25/352 | | $ | 14,230,000 | | | $ | 14,623,684 | |
| Brazos Higher Education Authority, Inc., Series 2011-1, Class A3 | | | | | |
| (LIBOR USD 3-Month plus 1.05%) | | | | | |
3.36% | | 11/25/332 | | | 16,050,000 | | | | 16,355,122 | |
| Brazos Higher Education Authority, Inc., Series 2011-2, Class A3 | | | | | |
| (LIBOR USD 3-Month plus 1.00%) | | | | | |
3.34% | | 10/27/362 | | | 24,361,000 | | | | 24,779,161 | |
| CIT Education Loan Trust, Series 2007-1, Class A | | | | | |
| (LIBOR USD 3-Month plus 0.09%) | | | | | |
2.46% | | 03/25/422,3 | | | 22,372,991 | | | | 21,806,109 | |
| CIT Education Loan Trust, Series 2007-1, Class B | | | | | |
| (LIBOR USD 3-Month plus 0.30%) | | | | | |
2.67% | | 06/25/422,3 | | | 15,659,326 | | | | 14,272,735 | |
| Clear Creek CLO Ltd., Series 2015-1A, Class AR (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 1.20%) | | | | | |
3.55% | | 10/20/301,2,3 | | | 27,190,000 | | | | 27,249,410 | |
College Loan Corp. Trust I, Series 2005-2, Class B | | | | | |
| (LIBOR USD 3-Month plus 0.49%) | | | | | |
2.83% | | 01/15/372 | | | 3,242,404 | | | | 3,053,363 | |
| Dryden 30 Senior Loan Fund, Series 2013-30A, Class AR (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 0.82%) | | | | | |
3.13% | | 11/15/281,2,3 | | | 18,866,000 | | | | 18,782,144 | |
| Dryden 33 Senior Loan Fund, Series 2014-33A, Class AR (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 1.43%) | | | | | |
3.77% | | 10/15/281,2,3 | | | 4,000,000 | | | | 4,008,580 | |
| Dryden XXV Senior Loan Fund, Series 2012-25A, Class ARR (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 0.90%) | | | | | |
3.24% | | 10/15/271,2,3 | | | 19,550,000 | | | | 19,559,778 | |
| Dryden XXVI Senior Loan Fund, Series 2013-26A, Class AR (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 0.90%) | | | | | |
3.25% | | 04/15/291,2,3 | | | 10,510,000 | | | | 10,480,280 | |
| Education Loan Asset-Backed Trust I, Series 2013-1, Class A1 | | | | | |
| (LIBOR USD 1-Month plus 0.80%) | | | | | |
3.02% | | 06/25/262,3 | | | 4,837,811 | | | | 4,858,030 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 103 / Semi-Annual Report September 2018 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | |
| Education Loan Asset-Backed Trust I, Series 2013-1, Class A2 | | | | | |
| (LIBOR USD 1-Month plus 0.80%) | | | | | |
3.02% | | 04/26/322,3 | | $ | 12,740,000 | | | $ | 12,810,275 | |
| Educational Funding of the South, Inc., Series 2011-1, Class A2 | | | | | |
| (LIBOR USD 3-Month plus 0.65%) | | | | | |
2.99% | | 04/25/352 | | | 26,497 | | | | 26,542 | |
| Educational Funding of the South, Inc., Series 2012-1, Class A | | | | | |
| (LIBOR USD 1-Month plus 1.05%) | | | | | |
3.27% | | 03/25/362 | | | 15,697,158 | | | | 15,842,605 | |
EFS Volunteer No. 2 LLC, Series 2012-1, Class A2 | | | | | |
| (LIBOR USD 1-Month plus 1.35%) | | | | | |
3.57% | | 03/25/362,3 | | | 16,085,000 | | | | 16,378,948 | |
| GCO Education Loan Funding Trust, Series 2006-1, Class A11L | | | | | |
| (LIBOR USD 3-Month plus 0.23%) | | | | | |
2.54% | | 05/25/362 | | | 25,000,000 | | | | 24,412,965 | |
| Global SC Finance II SRL, Series 2014-1A, Class A2 (Barbados) | | | | | |
3.09% | | 07/17/291,3 | | | 51,942,917 | | | | 50,347,759 | |
| Goal Capital Funding Trust, Series 2005-2, Class A3 | | | | | |
| (LIBOR USD 3-Month plus 0.17%) | | | | | |
2.48% | | 05/28/302 | | | 4,694,160 | | | | 4,690,779 | |
| Goal Capital Funding Trust, Series 2005-2, Class B | | | | | |
| (LIBOR USD 3-Month plus 0.53%) | | | | | |
2.84% | | 11/25/442 | | | 9,822,430 | | | | 9,420,591 | |
| Goal Capital Funding Trust, Series 2006-1, Class B | | | | | |
| (LIBOR USD 3-Month plus 0.45%) | | | | | |
2.76% | | 08/25/422 | | | 2,787,934 | | | | 2,630,862 | |
| Goal Structured Solutions Trust, Series 2015-1, Class A | | | | | |
| (LIBOR USD 1-Month plus 0.65%) | | | | | |
2.87% | | 09/25/412,3 | | | 85,393,279 | | | | 85,042,381 | |
| GoldenTree Loan Opportunities IX, Ltd. (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 1.11%) | | | | | |
0.00% | | 10/29/291,2,3,† | | | 5,345,000 | | | | 5,345,003 | |
| J.G. Wentworth XXX LLC, Series 2013-3A, Class A | | | | | |
4.08% | | 01/17/733 | | | 827,966 | | | | 833,793 | |
| J.G. Wentworth XXXII LLC, Series 2014-2A, Class A | | | | | |
3.61% | | 01/17/733 | | | 48,543,335 | | | | 46,533,464 | |
| LCM XX LP, Series 20A, Class AR (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 1.04%) | | | | | |
3.38% | | 10/20/271,2,3,† | | | 8,350,000 | | | | 8,350,005 | |
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | |
| LCM XXI LP, Series 21A, Class AR (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 0.88%) | | | | | |
3.23% | | 04/20/281,2,3 | | $ | 32,465,000 | | | $ | 32,413,283 | |
| Limerock CLO III LLC, Series 2014-3A, Class A1R (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 1.20%) | | | | | |
3.55% | | 10/20/261,2,3 | | | 77,695,000 | | | | 77,705,780 | |
Madison Park Funding XXX, Ltd., Series 2018-30A, Class A (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 0.75%) | | | | | |
3.09% | | 04/15/291,2,3 | | | 19,392,500 | | | | 19,227,121 | |
| Magnetite IX Ltd., Series 2014-9A, Class A1R (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 1.00%) | | | | | |
3.34% | | 07/25/261,2,3 | | | 3,172,000 | | | | 3,172,818 | |
| Magnetite XI Ltd., Series 2014-11A, Class A1R (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 1.12%) | | | | | |
3.45% | | 01/18/271,2,3 | | | 55,905,000 | | | | 55,911,054 | |
| Navient Student Loan Trust, Series 2014-1, Class A3 | | | | | |
| (LIBOR USD 1-Month plus 0.51%) | | | | | |
2.73% | | 06/25/312 | | | 1,083,267 | | | | 1,086,155 | |
| Navient Student Loan Trust, Series 2014-2, Class A | | | | | |
| (LIBOR USD 1-Month plus 0.64%) | | | | | |
2.86% | | 03/25/832 | | | 76,161,637 | | | | 75,818,647 | |
| Navient Student Loan Trust, Series 2014-3, Class A | | | | | |
| (LIBOR USD 1-Month plus 0.62%) | | | | | |
2.84% | | 03/25/832 | | | 79,503,613 | | | | 79,243,263 | |
| Navient Student Loan Trust, Series 2014-4, Class A | | | | | |
| (LIBOR USD 1-Month plus 0.62%) | | | | | |
2.84% | | 03/25/832 | | | 121,018,153 | | | | 120,573,303 | |
| Navient Student Loan Trust, Series 2014-5, Class A | | | | | |
| (LIBOR USD 1-Month plus 0.62%) | | | | | |
2.84% | | 03/25/832 | | | 98,118,089 | | | | 97,889,837 | |
| Navient Student Loan Trust, Series 2014-6, Class A | | | | | |
| (LIBOR USD 1-Month plus 0.61%) | | | | | |
2.83% | | 03/25/832 | | | 99,777,504 | | | | 99,425,429 | |
| Navient Student Loan Trust, Series 2014-7, Class A | | | | | |
| (LIBOR USD 1-Month plus 0.61%) | | | | | |
2.83% | | 03/25/832 | | | 101,690,171 | | | | 101,288,891 | |
| Navient Student Loan Trust, Series 2014-8, Class A3 | | | | | |
| (LIBOR USD 1-Month plus 0.60%) | | | | | |
2.82% | | 05/27/492 | | | 800,000 | | | | 804,129 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2018 / 104 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | |
| Navient Student Loan Trust, Series 2015-1, Class A2 | | | | | |
| (LIBOR USD 1-Month plus 0.60%) | | | | | |
2.82% | | 04/25/402 | | $ | 191,597,521 | | | $ | 192,312,793 | |
| Navient Student Loan Trust, Series 2015-2, Class A3 | | | | | |
| (LIBOR USD 1-Month plus 0.57%) | | | | | |
2.79% | | 11/26/402 | | | 99,055,000 | | | | 99,157,819 | |
| Navient Student Loan Trust, Series 2016-1A, Class A | | | | | |
| (LIBOR USD 1-Month plus 0.70%) | | | | | |
2.92% | | 02/25/702,3 | | | 36,151,466 | | | | 36,386,143 | |
| Navient Student Loan Trust, Series 2018-3A, Class A3 | | | | | |
| (LIBOR USD 1-Month plus 0.80%) | | | | | |
3.02% | | 03/25/672,3 | | | 60,000,000 | | | | 60,674,142 | |
| Nelnet Student Loan Trust, Series 2006-1, Class A6 | | | | | |
| (LIBOR USD 3-Month plus 0.45%) | | | | | |
2.76% | | 08/23/362,3 | | | 12,500,000 | | | | 12,371,666 | |
| Nelnet Student Loan Trust, Series 2007-2A, Class A3L | | | | | |
| (LIBOR USD 3-Month plus 0.35%) | | | | | |
2.72% | | 03/25/262,3 | | | 36,901,963 | | | | 36,322,405 | |
| Nelnet Student Loan Trust, Series 2008-3, Class A4 | | | | | |
| (LIBOR USD 3-Month plus 1.65%) | | | | | |
3.96% | | 11/25/242 | | | 1,792,042 | | | | 1,814,168 | |
| Nelnet Student Loan Trust, Series 2014-3A, Class A | | | | | |
| (LIBOR USD 1-Month plus 0.58%) | | | | | |
2.80% | | 06/25/412,3 | | | 27,943,566 | | | | 27,953,547 | |
| Nelnet Student Loan Trust, Series 2014-4A, Class A2 | | | | | |
| (LIBOR USD 1-Month plus 0.95%) | | | | | |
3.17% | | 11/25/482,3 | | | 21,495,000 | | | | 21,660,168 | |
| Nelnet Student Loan Trust, Series 2014-5A, Class A | | | | | |
| (LIBOR USD 1-Month plus 0.55%) | | | | | |
2.77% | | 07/25/462,3 | | | 85,687,121 | | | | 85,811,504 | |
| Nelnet Student Loan Trust, Series 2015-1A, Class A | | | | | |
| (LIBOR USD 1-Month plus 0.59%) | | | | | |
2.81% | | 04/25/462,3 | | | 153,864,822 | | | | 154,003,470 | |
| Nelnet Student Loan Trust, Series 2015-2A, Class A2 | | | | | |
| (LIBOR USD 1-Month plus 0.60%) | | | | | |
2.82% | | 09/25/472,3 | | | 184,140,750 | | | | 184,035,523 | |
| Nelnet Student Loan Trust, Series 2015-3A, Class A2 | | | | | |
| (LIBOR USD 1-Month plus 0.60%) | | | | | |
2.82% | | 02/27/512,3 | | | 6,772,116 | | | | 6,767,346 | |
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | |
| Nelnet Student Loan Trust, Series 2015-3A, Class A3 | | | | | |
| (LIBOR USD 1-Month plus 0.90%) | | | | | |
3.12% | | 06/25/542,3 | | $ | 13,095,000 | | | $ | 13,103,598 | |
| Neuberger Berman CLO XVI-S Ltd., Series 2017-16SA, Class A (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 0.85%) | | | | | |
3.19% | | 01/15/281,2,3 | | | 1,690,000 | | | | 1,684,009 | |
| North Carolina State Education Authority, Series 2011-1, Class A3 | | | | | |
| (LIBOR USD 3-Month plus 0.90%) | | | | | |
3.24% | | 10/25/412 | | | 22,924,029 | | | | 23,142,927 | |
| North Carolina State Education Authority, Series 2011-2, Class A2 | | | | | |
| (LIBOR USD 3-Month plus 0.80%) | | | | | |
3.14% | | 07/25/252 | | | 3,874 | | | | 3,885 | |
| Northstar Education Finance, Inc., Series 2007-1, Class A1 | | | | | |
| (1.00 X LIBOR USD 3-Month plus 0.10%) | | | | | |
2.44% | | 04/28/302 | | | 6,373 | | | | 6,350 | |
| Northstar Education Finance, Inc., Series 2007-1, Class A2 | | | | | |
| (1.00 X LIBOR USD 3-Month plus 0.75%) | | | | | |
3.09% | | 01/29/462 | | | 42,780,000 | | | | 42,218,723 | |
| Octagon Investment Partners 25 Ltd., Series 2015-1A, Class AR (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 0.80%) | | | | | |
3.15% | | 10/20/261,2,3 | | | 17,910,000 | | | | 17,801,106 | |
| Octagon Investment Partners XXIII Ltd., Series 2015-1A, Class AR (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 0.85%) | | | | | |
3.19% | | 07/15/271,2,3 | | | 22,105,000 | | | | 22,112,992 | |
| Panhandle-Plains Higher Education Authority, Inc., Series 2011-1, Class A3 | | | | | |
| (LIBOR USD 3-Month plus 0.95%) | | | | | |
3.35% | | 10/01/372 | | | 16,955,000 | | | | 17,120,308 | |
| Panthera Aviation, Series 2013-1 | | | | | |
10.00% | | 01/25/223,4,5,† | | | 13,004,312 | | | | 4,031,146 | |
| Panthera Aviation, Series 2013-26 | | | | | |
10.00% | | 03/20/243,4,5,7,† | | | 15,944,679 | | | | 5,261,511 | |
| PHEAA Student Loan Trust, Series 2015-1A, Class A | | | | | |
| (LIBOR USD 1-Month plus 0.60%) | | | | | |
2.82% | | 10/25/412,3 | | | 170,389,462 | | | | 168,720,242 | |
| Scholar Funding Trust, Series 2012-B, Class A2 | | | | | |
| (LIBOR USD 1-Month plus 1.10%) | | | | | |
3.34% | | 03/28/462,3 | | | 31,678,165 | | | | 31,953,657 | |
| SLC Student Loan Trust, Series 2004-1, Class B | | | | | |
| (LIBOR USD 3-Month plus 0.29%) | | | | | |
2.60% | | 08/15/312 | | | 317,287 | | | | 300,486 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 105 / Semi-Annual Report September 2018 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | |
SLC Student Loan Trust, Series 2006-1, Class A6 | | | | | |
| (LIBOR USD 3-Month plus 0.16%) | | | | | |
2.49% | | 03/15/552 | | $ | 9,495,000 | | | $ | 9,217,366 | |
SLC Student Loan Trust, Series 2006-2, Class A6 | | | | | |
| (LIBOR USD 3-Month plus 0.16%) | | | | | |
2.49% | | 09/15/392 | | | 16,000,000 | | | | 15,600,357 | |
SLC Student Loan Trust, Series 2008-1, Class A4A | | | | | |
| (LIBOR USD 3-Month plus 1.60%) | | | | | |
3.93% | | 12/15/322 | | | 18,553,770 | | | | 19,290,815 | |
SLM Student Loan Trust, Series 2003-4, Class A5E | | | | | |
| (LIBOR USD 3-Month plus 0.75%) | | | | | |
3.08% | | 03/15/332,3 | | | 6,332,259 | | | | 6,336,483 | |
SLM Student Loan Trust, Series 2004-1, Class A4 | | | | | |
| (LIBOR USD 3-Month plus 0.26%) | | | | | |
2.60% | | 10/27/252 | | | 2,810,000 | | | | 2,811,996 | |
SLM Student Loan Trust, Series 2004-3A, Class A6A | | | | | |
| (LIBOR USD 3-Month plus 0.55%) | | | | | |
2.89% | | 10/25/642,3 | | | 82,990,000 | | | | 83,484,446 | |
SLM Student Loan Trust, Series 2005-4, Class A3 | | | | | |
| (LIBOR USD 3-Month plus 0.12%) | | | | | |
2.46% | | 01/25/272 | | | 184,514 | | | | 184,056 | |
SLM Student Loan Trust, Series 2005-5, Class A5 | | | | | |
| (LIBOR USD 3-Month plus 0.75%) | | | | | |
3.09% | | 10/25/402 | | | 7,134,000 | | | | 7,112,922 | |
SLM Student Loan Trust, Series 2005-9, Class A7A | | | | | |
| (LIBOR USD 3-Month plus 0.60%) | | | | | |
2.94% | | 01/25/412 | | | 72,550,000 | | | | 72,827,667 | |
SLM Student Loan Trust, Series 2006-2, Class A6 | | | | | |
| (LIBOR USD 3-Month plus 0.17%) | | | | | |
2.51% | | 01/25/412 | | | 42,454,446 | | | | 41,607,747 | |
SLM Student Loan Trust, Series 2006-8, Class A6 | | | | | |
| (LIBOR USD 3-Month plus 0.16%) | | | | | |
2.50% | | 01/25/412 | | | 32,855,000 | | | | 31,927,812 | |
SLM Student Loan Trust, Series 2007-1, Class B | | | | | |
| (LIBOR USD 3-Month plus 0.22%) | | | | | |
2.56% | | 01/27/422 | | | 5,224,892 | | | | 4,983,154 | |
SLM Student Loan Trust, Series 2007-3, Class A4 | | | | | |
| (LIBOR USD 3-Month plus 0.06%) | | | | | |
2.40% | | 01/25/222 | | | 3,160,000 | | | | 3,094,861 | |
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | |
SLM Student Loan Trust, Series 2007-6, Class A4 | | | | | |
| (LIBOR USD 3-Month plus 0.38%) | | | | | |
2.72% | | 10/25/242 | | $ | 22,880,081 | | | $ | 22,937,832 | |
SLM Student Loan Trust, Series 2007-6, Class B | | | | | |
| (LIBOR USD 3-Month plus 0.85%) | | | | | |
3.19% | | 04/27/432 | | | 5,261,103 | | | | 5,112,973 | |
SLM Student Loan Trust, Series 2008-1, Class A4 | | | | | |
| (LIBOR USD 3-Month plus 0.65%) | | | | | |
2.99% | | 01/25/222 | | | 50,088,700 | | | | 49,755,204 | |
SLM Student Loan Trust, Series 2008-2, Class A3 | | | | | |
| (LIBOR USD 3-Month plus 0.75%) | | | | | |
3.09% | | 04/25/232 | | | 114,969,449 | | | | 114,233,748 | |
SLM Student Loan Trust, Series 2008-2, Class B | | | | | |
| (LIBOR USD 3-Month plus 1.20%) | | | | | |
3.54% | | 01/25/832 | | | 38,874,000 | | | | 37,516,285 | |
SLM Student Loan Trust, Series 2008-3, Class A3 | | | | | |
| (LIBOR USD 3-Month plus 1.00%) | | | | | |
3.34% | | 10/25/212 | | | 23,822 | | | | 23,934 | |
SLM Student Loan Trust, Series 2008-3, Class B | | | | | |
| (LIBOR USD 3-Month plus 1.20%) | | | | | |
3.54% | | 04/26/832 | | | 2,170,000 | | | | 2,128,430 | |
SLM Student Loan Trust, Series 2008-4, Class A4 | | | | | |
| (LIBOR USD 3-Month plus 1.65%) | | | | | |
3.99% | | 07/25/222 | | | 2,907,280 | | | | 2,969,048 | |
SLM Student Loan Trust, Series 2008-4, Class B | | | | | |
| (LIBOR USD 3-Month plus 1.85%) | | | | | |
4.19% | | 04/25/732 | | | 8,759,000 | | | | 9,030,013 | |
SLM Student Loan Trust, Series 2008-5, Class A4 | | | | | |
| (LIBOR USD 3-Month plus 1.70%) | | | | | |
4.04% | | 07/25/232 | | | 78,181,980 | | | | 80,273,817 | |
SLM Student Loan Trust, Series 2008-5, Class B | | | | | |
| (LIBOR USD 3-Month plus 1.85%) | | | | | |
4.19% | | 07/25/732 | | | 37,199,000 | | | | 38,188,908 | |
SLM Student Loan Trust, Series 2008-6, Class A4 | | | | | |
| (LIBOR USD 3-Month plus 1.10%) | | | | | |
3.44% | | 07/25/232 | | | 17,289,739 | | | | 17,388,696 | |
SLM Student Loan Trust, Series 2008-6, Class B | | | | | |
| (LIBOR USD 3-Month plus 1.85%) | | | | | |
4.19% | | 07/26/832 | | | 31,644,000 | | | | 32,422,090 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2018 / 106 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | |
SLM Student Loan Trust, Series 2008-7, Class B | | | | | |
| (LIBOR USD 3-Month plus 1.85%) | | | | | |
4.19% | | 07/26/832 | | $ | 17,346,000 | | | $ | 17,701,279 | |
SLM Student Loan Trust, Series 2008-8, Class A4 | | | | | |
| (LIBOR USD 3-Month plus 1.50%) | | | | | |
3.84% | | 04/25/232 | | | 6,595,000 | | | | 6,729,534 | |
SLM Student Loan Trust, Series 2008-8, Class B | | | | | |
| (LIBOR USD 3-Month plus 2.25%) | | | | | |
4.59% | | 10/25/752 | | | 545,000 | | | | 572,583 | |
| SLM Student Loan Trust, Series 2008-9, Class A | | | | | |
| (LIBOR USD 3-Month plus 1.50%) | | | | | |
3.84% | | 04/25/232 | | | 156,788,639 | | | | 160,231,028 | |
SLM Student Loan Trust, Series 2008-9, Class B | | | | | |
| (LIBOR USD 3-Month plus 2.25%) | | | | | |
4.59% | | 10/25/832 | | | 45,100,000 | | | | 46,998,259 | |
| SLM Student Loan Trust, Series 2009-3, Class A | | | | | |
| (LIBOR USD 1-Month plus 0.75%) | | | | | |
2.97% | | 01/25/452,3 | | | 206,000,055 | | | | 207,799,228 | |
SLM Student Loan Trust, Series 2011-1, Class A2 | | | | | |
| (LIBOR USD 1-Month plus 1.15%) | | | | | |
3.37% | | 10/25/342 | | | 3,070,000 | | | | 3,144,552 | |
SLM Student Loan Trust, Series 2012-1, Class A3 | | | | | |
| (LIBOR USD 1-Month plus 0.95%) | | | | | |
3.17% | | 09/25/282 | | | 368,427 | | | | 369,619 | |
| SLM Student Loan Trust, Series 2012-2, Class A | | | | | |
| (LIBOR USD 1-Month plus 0.70%) | | | | | |
2.92% | | 01/25/292 | | | 16,637,529 | | | | 16,564,897 | |
| SLM Student Loan Trust, Series 2012-3, Class A | | | | | |
| (LIBOR USD 1-Month plus 0.65%) | | | | | |
2.87% | | 12/27/382 | | | 33,760,929 | | | | 33,973,360 | |
SLM Student Loan Trust, Series 2012-7, Class A3 | | | | | |
| (LIBOR USD 1-Month plus 0.65%) | | | | | |
2.87% | | 05/26/262 | | | 29,558,452 | | | | 29,292,182 | |
SLM Student Loan Trust, Series 2013-6, Class A3 | | | | | |
| (LIBOR USD 1-Month plus 0.65%) | | | | | |
2.87% | | 06/25/552 | | | 25,496,237 | | | | 25,668,385 | |
| Student Loan Consolidation Center Student Loan Trust I, Series 2002-2, Class B2 | | | | | |
| (28 Day Auction Rate plus 0.00%)0 | | | | | |
1.61% | | 07/01/422,3 | | | 23,450,000 | | | | 18,699,898 | |
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | |
| Vermont Student Assistance Corp., Series 2012-1, Class A | | | | | |
| (LIBOR USD 1-Month plus 0.70%) | | | | | |
2.94% | | 07/28/342 | | $ | 4,467,386 | | | $ | 4,481,414 | |
| Voya CLO Ltd., Series 2014-3A, Class A1R (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 0.72%) | | | | | |
3.06% | | 07/25/261,2,3 | | | 35,545,000 | | | | 35,554,827 | |
| Voya CLO Ltd., Series 2015-2A, Class AR (Cayman Islands) | | | | | |
| (LIBOR USD 3-Month plus 0.97%) | | | | | |
3.32% | | 07/23/271,2,3 | | | 8,805,000 | | | | 8,808,390 | |
| Wachovia Student Loan Trust, Series 2006-1, Class A6 | | | | | |
| (LIBOR USD 3-Month plus 0.17%) | | | | | |
2.51% | | 04/25/402,3 | | | 20,000 | | | | 19,602 | |
| | | | | | | | | | |
| |
Total Asset-Backed Securities
(Cost $4,038,761,624) | | | | 4,049,821,568 | |
| | | | | | | | | | |
| |
| BANK LOANS — 0.86%* | | | | | |
| Communications — 0.15% | | | | | |
| Intelsat Jackson Holdings SA, Term Loan B4, 1st Lien (Luxembourg) | | | | | |
| (LIBOR plus 4.50%) | | | | | |
6.73% | | 01/02/241,2 | | | 2,000,000 | | | | 2,107,510 | |
| Intelsat Jackson Holdings SA, Term Loan B5, 1st Lien (Luxembourg) | | | | | |
6.63% | | 01/02/241 | | | 10,225,000 | | | | 10,682,569 | |
| Lamar Media Corp., Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 1.75%) | | | | | |
3.94% | | 03/14/252 | | | 2,487,500 | | | | 2,502,015 | |
| Level 3 Financing, Inc., Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 2.25%) | | | | | |
4.43% | | 02/22/242 | | | 6,750,000 | | | | 6,776,730 | |
| SBA Communications, Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 2.00%) | | | | | |
4.25% | | 04/04/252 | | | 44,967,300 | | | | 45,067,127 | |
| Sprint Communications, Inc., Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 2.50%) | | | | | |
4.75% | | 02/02/242 | | | 17,610,606 | | | | 17,676,646 | |
| Unitymedia Finance LLC, Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 2.00%) | | | | | |
4.16% | | 06/01/232 | | | 25,920,000 | | | | 25,970,285 | |
| | | | | | | | | | |
| |
| | | | 110,782,882 | |
| | | | | | | | | | |
| |
| Consumer Discretionary — 0.04% | | | | | |
| Reynolds Group Holdings, Inc., Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 2.75%) | | | | | |
4.99% | | 02/05/232 | | | 26,657,190 | | | | 26,807,137 | |
| | | | | | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 107 / Semi-Annual Report September 2018 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BANK LOANS (continued) | | | | | |
| Electric — 0.03% | | | | | |
| Dayton Power & Light Co. (The), Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 2.00%) | | | | | |
4.25% | | | 08/24/22 | 2 | | $ | 12,871,517 | | | $ | 12,903,696 | |
| Homer City Generation LP, Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 11.00%) | | | | | |
13.25% | | | 04/05/23 | 2,4,5 | | | 8,083,179 | | | | 7,830,580 | |
| | | | | | | | | | | | |
| |
| | | | 20,734,276 | |
| | | | | |
| Energy — 0.02% | | | | | |
| Energizer Holdings, Inc., Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 2.25%) | | | | | |
2.25% | | | 06/20/25 | 2 | | | 4,000,000 | | | | 4,022,520 | |
| Vistra Operations Co., LLC, Term Loan B1, 1st Lien | | | | | |
| (LIBOR plus 2.00%) | | | | | |
4.24% | | | 08/04/23 | 2 | | | 11,753,454 | | | | 11,782,838 | |
| Vistra Operations Co., LLC, Term Loan B3, 1st Lien | | | | | |
| (LIBOR plus 2.00%) | | | | | |
4.16% | | | 12/31/25 | 2 | | | 548,780 | | | | 550,051 | |
4.24% | | | 12/31/25 | 2 | | | 199,345 | | | | 199,806 | |
| | | | | | | | | | | | |
| |
| | | | 16,555,215 | |
| | | | | |
| Finance — 0.09% | | | | | |
| Delos Finance SARL, Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 1.75%) | | | | | |
4.14% | | | 10/06/23 | 2 | | | 43,856,910 | | | | 44,076,195 | |
| Telenet Financing USD LLC, Term Loan AN, 1st Lien | | | | | |
| (LIBOR plus 2.25%) | | | | | |
4.41% | | | 08/15/26 | 2 | | | 24,510,000 | | | | 24,439,166 | |
| | | | | |
| |
| | | | 68,515,361 | |
| | | | | |
| Food — 0.01% | | | | | |
| Houston Foods, Inc., Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 3.75%) | | | | | |
5.99% | | | 07/20/25 | 2 | | | 6,832,875 | | | | 6,854,228 | |
| | | | | | | | | | | | |
| Gaming — 0.09% | | | | | |
| Caesars Entertainment LLC, Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 2.00%) | | | | | |
4.24% | | | 10/06/24 | 2 | | | 11,414,994 | | | | 11,423,955 | |
| Churchill Downs, Inc., Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 2.00%) | | | | | |
4.25% | | | 12/27/24 | 2 | | | 12,902,500 | | | | 12,946,885 | |
| Las Vegas Sands LLC, Term Loan B, 1st Lien | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BANK LOANS (continued) | | | | | |
Gaming (continued) | | | | | |
| (LIBOR plus 1.75%) | | | | | |
3.99% | | | 03/27/25 | 2 | | $ | 38,257,750 | | | $ | 38,267,697 | |
| | | | | |
| |
| | | | 62,638,537 | |
| | | | | |
| Health Care — 0.04% | | | | | |
| Catalent Pharma Solutions, Inc., Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 2.25%) | | | | | |
4.49% | | | 05/20/24 | 2 | | | 2,275,508 | | | | 2,293,109 | |
| Grifols Worldwide Operations U.S.A., Inc., Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 2.25%) | | | | | |
4.42% | | | 01/31/25 | 2 | | | 6,179,781 | | | | 6,219,115 | |
| Iqvia, Inc., Term Loan B3, 1st Lien | | | | | |
| (LIBOR plus 1.75%) | | | | | |
4.14% | | | 06/11/25 | 2 | | | 3,241,875 | | | | 3,244,582 | |
| Kindred At Home, Term Loan, 1st Lien | | | | | |
| (LIBOR plus 3.75%) | | | | | |
6.00% | | | 07/02/25 | 2 | | | 2,150,226 | | | | 2,178,448 | |
| Valeant Pharmaceuticals International, Inc., Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 3.00%) | | | | | |
5.10% | | | 06/02/25 | 2 | | | 17,745,000 | | | | 17,855,108 | |
| | | | | |
| |
| | | | 31,790,362 | |
| | | | | |
| Industrials — 0.01% | | | | | |
| Clean Harbors, Inc., Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 1.75%) | | | | | |
3.99% | | | 06/30/24 | 2 | | | 2,992,424 | | | | 3,003,646 | |
| Tyco International Holdings SARL, Term Loan | | | | | |
| (LIBOR plus 1.25%) | | | | | |
3.62% | | | 03/02/20 | 2,4,5 | | | 3,672,358 | | | | 3,668,925 | |
| | | | | | | | | | | | |
| |
| | | | 6,672,571 | |
| | | | | | | | | | | | |
| Information Technology — 0.25% | | | | | |
| Dell International LLC, Term Loan A2, 1st Lien | | | | | |
| (LIBOR plus 1.75%) | | | | | |
4.00% | | | 09/07/21 | 2 | | | 13,401,899 | | | | 13,422,270 | |
| Dell International LLC, Term Loan A3, 1st Lien | | | | | |
| (LIBOR plus 1.50%) | | | | | |
3.75% | | | 12/31/18 | 2 | | | 45,093,981 | | | | 45,171,542 | |
| First Data Corp., Term Loan, 1st Lien | | | | | |
| (LIBOR plus 2.00%) | | | | | |
4.21% | | | 07/08/22 | 2 | | | 8,631,200 | | | | 8,654,245 | |
4.21% | | | 04/26/24 | 2 | | | 72,048,232 | | | | 72,189,446 | |
| Quintiles IMS, Inc., Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 2.00%) | | | | | |
4.39% | | | 03/07/24 | 2 | | | 2,476,852 | | | | 2,487,998 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| Semi-Annual Report September 2018 / 108 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BANK LOANS (continued) | | | | | |
Information Technology (continued) | | | | | |
| Quintiles IMS, Inc., Term Loan B2, 1st Lien | | | | | |
| (LIBOR plus 2.00%) | | | | | |
4.39% | | | 01/17/25 | 2 | | $ | 9,114,086 | | | $ | 9,159,702 | |
| SS&C Technologies, Inc., Term Loan B3, 1st Lien | | | | | |
| (LIBOR plus 2.25%) | | | | | |
4.49% | | | 04/16/25 | 2 | | | 18,159,696 | | | | 18,199,466 | |
| SS&C Technologies, Term Loan B5, 1st Lien | | | | | |
| (LIBOR plus 2.25%) | | | | | |
4.51% | | | 04/16/25 | 2 | | | 3,500,000 | | | | 3,506,825 | |
| SS&C Technology Holdings Europe SARL, Term Loan B4, 1st Lien | | | | | |
| (LIBOR plus 2.25%) | | | | | |
4.49% | | | 04/16/25 | 2 | | | 7,048,982 | | | | 7,064,419 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 179,855,913 | |
| | | | | | | | | | | | |
| Real Estate Investment Trust (REIT) — 0.05% | |
| MGM Growth Properties Operating Partnership LP, Term Loan B, 1st Lien | | | | | |
| (LIBOR plus 2.00%) | | | | | |
4.24% | | | 04/25/23 | 2 | | | 25,108,357 | | | | 25,169,119 | |
| VICI Properties 1 LLC, Term Loan, 1st Lien | | | | | |
| (LIBOR plus 2.00%) | | | | | |
4.21% | | | 12/20/24 | 2 | | | 9,218,636 | | | | 9,243,849 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 34,412,968 | |
| | | | | | | | | | | | |
| Retail — 0.05% | | | | | |
| BC ULC/New Red Finance, Inc., Term Loan B, 1st Lien (Canada) | | | | | |
| (LIBOR plus 2.25%) | | | | | |
4.49% | | | 02/16/24 | 1,2 | | | 36,788,582 | | | | 36,852,962 | |
| | | | | | | | | | | | |
| Transportation — 0.03% | | | | | |
| United Airlines, Inc. | | | | | |
| (LIBOR plus 1.75%) | | | | | |
3.99% | | | 04/01/24 | 2 | | | 18,739,474 | | | | 18,751,187 | |
| | | | | | | | | | | | |
| |
Total Bank Loans
(Cost $619,127,678) | | | | 621,223,599 | |
| | | | | | | | | | | | |
| CORPORATES — 33.50%* | | | | | |
| Automotive — 0.07% | | | | | |
| General Motors Co. | | | | | |
3.50% | | | 10/02/18 | | | | 29,890,000 | | | | 29,890,000 | |
6.60% | | | 04/01/36 | | | | 13,730,000 | | | | 14,655,812 | |
| (LIBOR USD 3-Month plus 0.80%) | | | | | |
3.14% | | | 08/07/20 | 2 | | | 5,000,000 | | | | 5,018,136 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 49,563,948 | |
| | | | | | | | | | | | |
| Banking — 6.74% | | | | | |
| Bank of America Corp. | | | | | |
2.74% | | | 01/23/22 | 8 | | | 173,119,000 | | | | 170,306,817 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Banking (continued) | | | | | |
3.00% | | | 12/20/23 | 8 | | $ | 109,382,000 | | | $ | 106,210,491 | |
3.37% | | | 01/23/26 | 8 | | | 22,845,000 | | | | 21,988,397 | |
3.42% | | | 12/20/28 | 8 | | | 90,541,000 | | | | 85,080,005 | |
3.71% | | | 04/24/28 | 8 | | | 193,045,000 | | | | 185,682,746 | |
6.88% | | | 11/15/18 | | | | 53,286,000 | | | | 53,572,492 | |
7.63% | | | 06/01/19 | | | | 16,755,000 | | | | 17,285,466 | |
| Bank of America Corp. (GMTN) | | | | | |
2.37% | | | 07/21/21 | 8 | | | 73,736,000 | | | | 72,452,035 | |
3.59% | | | 07/21/28 | 8 | | | 31,700,000 | | | | 30,225,950 | |
| Bank of America Corp. (MTN) | | | | | |
3.09% | | | 10/01/25 | 8 | | | 120,520,000 | | | | 114,902,660 | |
3.82% | | | 01/20/28 | 8 | | | 18,232,000 | | | | 17,760,649 | |
3.97% | | | 03/05/29 | 8 | | | 9,520,000 | | | | 9,292,581 | |
4.00% | | | 04/01/24 | | | | 13,547,000 | | | | 13,692,509 | |
4.13% | | | 01/22/24 | | | | 79,202,000 | | | | 80,523,972 | |
4.27% | | | 07/23/29 | 8 | | | 9,790,000 | | | | 9,774,267 | |
| Bank of America Corp., Series L | | | | | |
2.60% | | | 01/15/19 | | | | 5,239,000 | | | | 5,238,389 | |
| Bank of New York Mellon Corp. (The) (MTN) | | | | | |
2.30% | | | 09/11/19 | | | | 15,100,000 | | | | 15,023,541 | |
2.66% | | | 05/16/23 | 8 | | | 15,000,000 | | | | 14,523,341 | |
| Bank One Corp. (STEP-reset date 03/01/19) | | | | | |
8.53% | | | 03/01/19 | | | | 1,810,000 | | | | 1,852,938 | |
| Capital One Bank USA N.A. (BKNT) | | | | | |
2.15% | | | 11/21/18 | | | | 11,602,000 | | | | 11,597,970 | |
| Capital One Financial Corp. | | | | | |
2.45% | | | 04/24/19 | | | | 300,000 | | | | 299,361 | |
| Cooperatieve Rabobank UA (Netherlands) | | | | | |
3.13% | | | 04/26/21 | 1 | | | 50,975,000 | | | | 50,672,802 | |
| Discover Bank | | | | | |
2.60% | | | 11/13/18 | | | | 121,150,000 | | | | 121,146,111 | |
4.20% | | | 08/08/23 | | | | 9,960,000 | | | | 10,006,343 | |
7.00% | | | 04/15/20 | | | | 9,000,000 | | | | 9,429,745 | |
| Discover Bank (BKNT) | | | | | |
3.10% | | | 06/04/20 | | | | 6,023,000 | | | | 5,985,950 | |
3.20% | | | 08/09/21 | | | | 6,635,000 | | | | 6,544,651 | |
8.70% | | | 11/18/19 | | | | 3,676,000 | | | | 3,912,643 | |
| Goldman Sachs Bank USA (BKNT) | | | | | |
3.20% | | | 06/05/20 | | | | 650,000 | | | | 652,338 | |
| JPMorgan Chase & Co. | | | | | |
2.25% | | | 01/23/20 | | | | 23,575,000 | | | | 23,343,365 | |
2.55% | | | 10/29/20 | | | | 47,905,000 | | | | 47,232,007 | |
2.70% | | | 05/18/23 | | | | 24,035,000 | | | | 23,106,360 | |
2.75% | | | 06/23/20 | | | | 127,075,000 | | | | 126,152,904 | |
3.20% | | | 01/25/23 | | | | 8,910,000 | | | | 8,770,701 | |
3.20% | | | 06/15/26 | | | | 69,766,000 | | | | 66,413,395 | |
3.22% | | | 03/01/25 | 8 | | | 153,101,000 | | | | 148,153,771 | |
3.51% | | | 01/23/29 | 8 | | | 18,275,000 | | | | 17,330,286 | |
3.54% | | | 05/01/28 | 8 | | | 56,640,000 | | | | 54,045,038 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| 109 / Semi-Annual Report September 2018 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Banking (continued) | | | | | |
3.78% | | | 02/01/28 | 8 | | $ | 26,075,000 | | | $ | 25,384,873 | |
3.90% | | | 07/15/25 | | | | 60,789,000 | | | | 60,748,180 | |
4.25% | | | 10/15/20 | | | | 9,620,000 | | | | 9,808,908 | |
4.95% | | | 03/25/20 | | | | 20,000,000 | | | | 20,525,420 | |
6.30% | | | 04/23/19 | | | | 6,108,000 | | | | 6,230,624 | |
| (LIBOR USD 3-Month plus 0.68%) | | | | | |
3.00% | | | 06/01/21 | 2 | | | 25,310,000 | | | | 25,466,682 | |
| (LIBOR USD 3-Month plus 0.96%) | | | | | |
3.30% | | | 01/23/20 | 2 | | | 15,000,000 | | | | 15,163,511 | |
| JPMorgan Chase Bank N.A. (BKNT) | | | | | |
3.09% | | | 04/26/21 | 8 | | | 183,215,000 | | | | 182,754,764 | |
| (LIBOR USD 3-Month plus 0.25%) | | | | | |
2.59% | | | 02/13/20 | 2 | | | 317,960,000 | | | | 318,149,297 | |
| (LIBOR USD 3-Month plus 0.29%) | | | | | |
2.63% | | | 02/01/21 | 2 | | | 227,100,000 | | | | 227,298,599 | |
| Lloyds Bank PLC (United Kingdom) | | | | | |
2.40% | | | 03/17/20 | 1 | | | 2,450,000 | | | | 2,418,205 | |
3.30% | | | 05/07/21 | 1 | | | 34,135,000 | | | | 34,001,542 | |
| Lloyds Bank PLC (United Kingdom) (MTN) | |
5.80% | | | 01/13/20 | 1,3 | | | 5,525,000 | | | | 5,697,938 | |
| Lloyds Banking Group PLC (United Kingdom) | |
2.91% | | | 11/07/23 | 1,8 | | | 66,720,000 | | | | 63,684,974 | |
3.57% | | | 11/07/28 | 1,8 | | | 15,845,000 | | | | 14,502,350 | |
| Macquarie Bank Ltd. (Australia) | | | | | |
2.35% | | | 01/15/19 | 1,3 | | | 12,785,000 | | | | 12,773,572 | |
2.60% | | | 06/24/19 | 1,3 | | | 10,870,000 | | | | 10,844,066 | |
| PNC Bank N.A. | | | | | |
2.50% | | | 01/22/21 | | | | 104,610,000 | | | | 102,781,413 | |
| PNC Bank N.A. (BKNT) | | | | | |
1.80% | | | 11/05/18 | | | | 26,460,000 | | | | 26,444,706 | |
1.95% | | | 03/04/19 | | | | 55,739,000 | | | | 55,601,297 | |
2.00% | | | 05/19/20 | | | | 27,000,000 | | | | 26,517,698 | |
2.45% | | | 11/05/20 | | | | 52,730,000 | | | | 51,871,338 | |
| PNC Financial Services Group, Inc. (The) | | | | | |
5.13% | | | 02/08/20 | | | | 5,593,000 | | | | 5,741,388 | |
| Santander UK Group Holdings PLC (United Kingdom) | |
2.88% | | | 10/16/20 | 1 | | | 48,375,000 | | | | 47,805,312 | |
2.88% | | | 08/05/21 | 1 | | | 58,564,000 | | | | 57,042,244 | |
3.13% | | | 01/08/21 | 1 | | | 26,863,000 | | | | 26,501,585 | |
3.37% | | | 01/05/24 | 1,8 | | | 65,990,000 | | | | 63,428,565 | |
| Santander UK PLC (United Kingdom) | | | | | |
2.35% | | | 09/10/19 | 1 | | | 38,080,000 | | | | 37,840,705 | |
2.50% | | | 03/14/19 | 1 | | | 62,359,000 | | | | 62,329,567 | |
3.40% | | | 06/01/21 | 1 | | | 49,965,000 | | | | 49,788,030 | |
| UBS AG (GMTN) (Switzerland) | | | | | |
2.38% | | | 08/14/19 | 1 | | | 4,431,000 | | | | 4,413,919 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Banking (continued) | | | | | |
| UBS AG/London (Switzerland) | | | | | |
| (LIBOR USD 3-Month plus 0.32%) | | | | | |
2.63% | | | 05/28/19 | 1,2,3 | | $ | 108,045,000 | | | $ | 108,269,788 | |
| US Bank N.A. (BKNT) | | | | | |
3.05% | | | 07/24/20 | | | | 5,830,000 | | | | 5,824,823 | |
3.40% | | | 07/24/23 | | | | 10,965,000 | | | | 10,919,523 | |
| Wells Fargo & Co. | | | | | |
2.15% | | | 01/15/19 | | | | 15,135,000 | | | | 15,117,032 | |
3.00% | | | 04/22/26 | | | | 89,555,000 | | | | 83,149,892 | |
3.00% | | | 10/23/26 | | | | 72,741,000 | | | | 67,571,231 | |
| (LIBOR USD 3-Month plus 1.23%) | | | | | |
3.57% | | | 10/31/23 | 2 | | | 14,962,000 | | | | 15,369,923 | |
| Wells Fargo & Co. (GMTN) | | | | | |
2.60% | | | 07/22/20 | | | | 20,646,000 | | | | 20,426,190 | |
| Wells Fargo & Co. (MTN) | | | | | |
2.63% | | | 07/22/22 | | | | 316,869,000 | | | | 306,034,140 | |
3.55% | | | 09/29/25 | | | | 45,743,000 | | | | 44,633,044 | |
3.58% | | | 05/22/28 | 8 | | | 147,575,000 | | | | 141,341,653 | |
| Wells Fargo & Co., Series N (MTN) | | | | | |
2.15% | | | 01/30/20 | | | | 6,040,000 | | | | 5,969,665 | |
| Wells Fargo Bank N.A. | | | | | |
1.75% | | | 05/24/19 | | | | 60,000,000 | | | | 59,652,720 | |
| Wells Fargo Bank N.A. (BKNT) | | | | | |
2.15% | | | 12/06/19 | | | | 170,315,000 | | | | 168,705,915 | |
2.40% | | | 01/15/20 | | | | 84,095,000 | | | | 83,450,790 | |
2.60% | | | 01/15/21 | | | | 316,350,000 | | | | 310,913,525 | |
| (SOFR Rate plus 0.48%) | | | | | |
2.66% | | | 03/25/20 | 2 | | | 16,800,000 | | | | 16,808,736 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 4,877,904,849 | |
| | | | | | | | | | | | |
| Communications — 2.78% | | | | | |
| 21st Century Fox America, Inc. | | | | | |
4.95% | | | 10/15/45 | | | | 1,155,000 | | | | 1,288,713 | |
5.40% | | | 10/01/43 | | | | 5,860,000 | | | | 6,882,576 | |
6.15% | | | 03/01/37 | | | | 3,931,000 | | | | 4,893,467 | |
6.90% | | | 03/01/19 | | | | 31,324,000 | | | | 31,851,242 | |
| Altice U.S. Finance I Corp. | | | | | |
5.38% | | | 07/15/23 | 3 | | | 11,509,000 | | | | 11,667,249 | |
5.50% | | | 05/15/26 | 3 | | | 19,225,000 | | | | 19,249,031 | |
| AT&T, Inc. | | | | | |
3.40% | | | 05/15/25 | | | | 115,476,000 | | | | 110,049,321 | |
3.95% | | | 01/15/25 | | | | 14,235,000 | | | | 14,035,002 | |
4.30% | | | 02/15/30 | 3 | | | 33,600,000 | | | | 32,476,653 | |
4.35% | | | 06/15/45 | | | | 43,878,000 | | | | 37,927,226 | |
4.50% | | | 05/15/35 | | | | 31,270,000 | | | | 29,272,144 | |
4.75% | | | 05/15/46 | | | | 33,217,000 | | | | 30,460,092 | |
4.80% | | | 06/15/44 | | | | 109,028,000 | | | | 100,339,030 | |
5.15% | | | 11/15/46 | 3 | | | 18,140,000 | | | | 17,429,943 | |
5.25% | | | 03/01/37 | | | | 161,485,000 | | | | 161,398,250 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| Semi-Annual Report September 2018 / 110 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Communications (continued) | | | | | |
| CBS Corp. | | | | | |
3.70% | | | 06/01/28 | 3 | | $ | 51,505,000 | | | $ | 48,146,204 | |
| CCO Holdings LLC/CCO Holdings Capital Corp. | |
5.00% | | | 02/01/28 | 3 | | | 57,983,000 | | | | 54,721,456 | |
5.13% | | | 05/01/27 | 3 | | | 15,817,000 | | | | 15,006,260 | |
| Cequel Communications Holdings I LLC/Cequel Capital Corp. | |
7.50% | | | 04/01/28 | 3 | | | 6,000,000 | | | | 6,322,500 | |
| Charter Communications Operating LLC/Charter Communications Operating Capital | |
3.75% | | | 02/15/28 | | | | 10,735,000 | | | | 9,904,404 | |
5.75% | | | 04/01/48 | | | | 9,600,000 | | | | 9,633,600 | |
6.48% | | | 10/23/45 | | | | 52,103,000 | | | | 56,181,873 | |
| Clear Channel International BV (Netherlands) | |
8.75% | | | 12/15/20 | 1,3 | | | 15,286,000 | | | | 15,821,010 | |
| Comcast Corp. | | | | | | | | | | | | |
2.35% | | | 01/15/27 | | | | 13,285,000 | | | | 11,699,150 | |
3.38% | | | 02/15/25 | | | | 2,000,000 | | | | 1,937,643 | |
3.60% | | | 03/01/24 | | | | 600,000 | | | | 595,193 | |
3.90% | | | 03/01/38 | | | | 5,165,000 | | | | 4,744,368 | |
4.05% | | | 11/01/52 | | | | 1,975,000 | | | | 1,755,963 | |
4.40% | | | 08/15/35 | | | | 14,265,000 | | | | 14,038,316 | |
4.65% | | | 07/15/42 | | | | 4,905,000 | | | | 4,876,368 | |
| Cox Communications, Inc. | | | | | |
3.15% | | | 08/15/24 | 3 | | | 16,975,000 | | | | 16,077,430 | |
| CSC Holdings LLC | | | | | |
5.38% | | | 02/01/28 | 3 | | | 35,625,000 | | | | 34,021,875 | |
5.50% | | | 04/15/27 | 3 | | | 14,749,000 | | | | 14,417,147 | |
6.75% | | | 11/15/21 | | | | 4,216,000 | | | | 4,453,150 | |
8.63% | | | 02/15/19 | | | | 8,975,000 | | | | 9,132,063 | |
| Deutsche Telekom International Finance BV (Netherlands) | |
4.38% | | | 06/21/28 | 1,3 | | | 4,865,000 | | | | 4,859,559 | |
| Discovery Communications LLC | | | | | |
2.75% | | | 11/15/19 | 3 | | | 8,235,000 | | | | 8,196,385 | |
| DISH DBS Corp. | | | | | | | | | | | | |
5.88% | | | 07/15/22 | | | | 1,846,000 | | | | 1,806,496 | |
| Intelsat Jackson Holdings SA (Luxembourg) | |
5.50% | | | 08/01/23 | 1 | | | 31,828,000 | | | | 29,401,115 | |
8.50% | | | 10/15/24 | 1,3 | | | 20,544,000 | | | | 20,710,920 | |
9.75% | | | 07/15/25 | 1,3 | | | 14,027,000 | | | | 14,886,154 | |
| Level 3 Financing, Inc. | | | | | |
5.13% | | | 05/01/23 | | | | 3,110,000 | | | | 3,137,213 | |
5.25% | | | 03/15/26 | | | | 2,162,000 | | | | 2,132,381 | |
5.38% | | | 01/15/24 | | | | 14,457,000 | | | | 14,493,143 | |
5.38% | | | 05/01/25 | | | | 3,774,000 | | | | 3,773,962 | |
5.63% | | | 02/01/23 | | | | 2,936,000 | | | | 2,976,664 | |
| Sirius XM Radio, Inc. | | | | | |
3.88% | | | 08/01/22 | 3 | | | 1,525,000 | | | | 1,502,964 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Communications (continued) | | | | | |
| Sprint Capital Corp. | | | | | |
6.88% | | | 11/15/28 | | | $ | 5,930,000 | | | $ | 5,974,475 | |
8.75% | | | 03/15/32 | | | | 5,441,000 | | | | 6,134,727 | |
| Sprint Communications, Inc. | | | | | |
7.00% | | | 03/01/20 | 3 | | | 1,395,000 | | | | 1,450,800 | |
9.00% | | | 11/15/18 | 3 | | | 55,529,000 | | | | 56,014,879 | |
| Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC | |
3.36% | | | 09/20/21 | 3 | | | 32,421,000 | | | | 32,421,000 | |
4.74% | | | 03/20/25 | 3 | | | 17,675,000 | | | | 17,711,234 | |
5.15% | | | 03/20/28 | 3 | | | 210,925,000 | | | | 212,485,845 | |
| Time Warner Cable LLC | | | | | |
4.50% | | | 09/15/42 | | | | 25,612,000 | | | | 21,660,248 | |
5.50% | | | 09/01/41 | | | | 22,031,000 | | | | 21,287,394 | |
5.88% | | | 11/15/40 | | | | 40,068,000 | | | | 40,281,963 | |
8.25% | | | 04/01/19 | | | | 8,442,000 | | | | 8,659,192 | |
8.75% | | | 02/14/19 | | | | 23,735,000 | | | | 24,228,035 | |
| T-Mobile USA, Inc. | | | | | |
4.50% | | | 02/01/26 | | | | 25,198,000 | | | | 23,969,597 | |
4.75% | | | 02/01/28 | | | | 21,938,000 | | | | 20,622,817 | |
6.50% | | | 01/15/24 | | | | 12,118,000 | | | | 12,648,163 | |
| Verizon Communications, Inc. | | | | | |
3.85% | | | 11/01/42 | | | | 32,548,000 | | | | 28,400,441 | |
4.13% | | | 08/15/46 | | | | 6,933,000 | | | | 6,224,546 | |
4.40% | | | 11/01/34 | | | | 26,685,000 | | | | 26,096,844 | |
4.81% | | | 03/15/39 | | | | 16,983,000 | | | | 17,176,216 | |
4.86% | | | 08/21/46 | | | | 66,050,000 | | | | 66,539,563 | |
5.01% | | | 04/15/49 | | | | 31,885,000 | | | | 32,690,679 | |
5.25% | | | 03/16/37 | | | | 111,664,000 | | | | 119,139,737 | |
| Viacom, Inc. | | | | | |
3.45% | | | 10/04/26 | | | | 45,390,000 | | | | 42,475,826 | |
| Virgin Media Secured Finance PLC (United Kingdom) | |
5.25% | | | 01/15/26 | 1,3 | | | 2,575,000 | | | | 2,527,465 | |
5.50% | | | 08/15/26 | 1,3 | | | 16,302,000 | | | | 16,159,357 | |
| Vodafone Group PLC (United Kingdom) | | | | | |
3.75% | | | 01/16/24 | 1 | | | 2,915,000 | | | | 2,881,037 | |
4.38% | | | 05/30/28 | 1 | | | 63,890,000 | | | | 63,068,895 | |
5.25% | | | 05/30/48 | 1 | | | 5,045,000 | | | | 5,084,173 | |
| Warner Media LLC | | | | | |
3.80% | | | 02/15/27 | | | | 26,720,000 | | | | 25,587,446 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 2,010,185,462 | |
| | | | | | | | | | | | |
| Consumer Discretionary — 1.02% | | | | | |
| Altria Group, Inc. | | | | | |
9.70% | | | 11/10/18 | | | | 47,493,000 | | | | 47,842,097 | |
| Anheuser-Busch InBev Finance, Inc. | | | | | |
4.70% | | | 02/01/36 | | | | 54,590,000 | | | | 54,759,638 | |
4.90% | | | 02/01/46 | | | | 76,462,000 | | | | 77,344,677 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| 111 / Semi-Annual Report September 2018 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Consumer Discretionary (continued) | | | | | |
| Anheuser-Busch InBev Worldwide, Inc. | | | | | |
3.50% | | | 01/12/24 | | | $ | 42,645,000 | | | $ | 42,251,507 | |
4.00% | | | 04/13/28 | | | | 22,835,000 | | | | 22,552,023 | |
4.60% | | | 04/15/48 | | | | 39,165,000 | | | | 38,073,471 | |
6.88% | | | 11/15/19 | | | | 31,350,000 | | | | 32,639,883 | |
| Bacardi Ltd. (Bermuda) | | | | | |
4.70% | | | 05/15/28 | 1,3 | | | 10,000,000 | | | | 9,946,624 | |
5.15% | | | 05/15/38 | 1,3 | | | 12,881,000 | | | | 12,655,361 | |
5.30% | | | 05/15/48 | 1,3 | | | 25,923,000 | | | | 25,511,765 | |
| BAT Capital Corp. | | | | | |
2.30% | | | 08/14/20 | 3 | | | 68,745,000 | | | | 67,398,252 | |
2.76% | | | 08/15/22 | 3 | | | 39,465,000 | | | | 38,060,597 | |
| BAT International Finance PLC (EMTN) (United Kingdom) | |
1.63% | | | 09/09/19 | 1 | | | 22,385,000 | | | | 22,088,543 | |
| Central Garden & Pet Co. | | | | | |
5.13% | | | 02/01/28 | | | | 9,311,000 | | | | 8,892,005 | |
6.13% | | | 11/15/23 | | | | 14,925,000 | | | | 15,466,031 | |
| Constellation Brands, Inc. | | | | | |
2.00% | | | 11/07/19 | | | | 69,620,000 | | | | 68,842,766 | |
3.88% | | | 11/15/19 | | | | 22,650,000 | | | | 22,843,010 | |
| First Quality Finance Co., Inc. | | | | | |
4.63% | | | 05/15/21 | 3 | | | 4,423,000 | | | | 4,428,529 | |
5.00% | | | 07/01/25 | 3 | | | 15,921,000 | | | | 14,925,937 | |
KFC Holding Co./Pizza Hut Holdings LLC/ Taco
Bell of America LLC | |
4.75% | | | 06/01/27 | 3 | | | 6,067,000 | | | | 5,847,071 | |
5.00% | | | 06/01/24 | 3 | | | 10,750,000 | | | | 10,689,585 | |
5.25% | | | 06/01/26 | 3 | | | 6,241,000 | | | | 6,233,199 | |
| Molson Coors Brewing Co. | | | | | |
1.45% | | | 07/15/19 | | | | 21,664,000 | | | | 21,416,684 | |
2.25% | | | 03/15/20 | | | | 13,040,000 | | | | 12,854,091 | |
| Reynolds American, Inc. | | | | | |
4.00% | | | 06/12/22 | | | | 6,732,000 | | | | 6,767,725 | |
6.88% | | | 05/01/20 | | | | 5,845,000 | | | | 6,163,170 | |
| Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Luxembourg S.A. | |
5.75% | | | 10/15/20 | | | | 35,676,731 | | | | 35,721,327 | |
| (LIBOR USD 3-Month plus 3.50%) | | | | | |
5.84% | | | 07/15/21 | 2,3 | | | 3,800,000 | | | | 3,861,750 | |
| Spectrum Brands, Inc. | | | | | |
5.75% | | | 07/15/25 | | | | 2,056,000 | | | | 2,087,046 | |
6.13% | | | 12/15/24 | | | | 1,961,000 | | | | 2,010,025 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 740,174,389 | |
| | | | | | | | | | | | |
| Consumer Products — 0.07% | | | | | |
| Newell Brands, Inc. | | | | | |
2.60% | | | 03/29/19 | | | | 10,962,000 | | | | 10,936,174 | |
3.85% | | | 04/01/23 | | | | 39,740,000 | | | | 38,770,722 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 49,706,896 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Electric — 2.14% | | | | | |
| Alliant Energy Finance LLC | | | | | |
3.75% | | | 06/15/23 | 3 | | $ | 26,375,000 | | | $ | 26,287,168 | |
| Appalachian Power Co. | | | | | |
4.45% | | | 06/01/45 | | | | 23,066,000 | | | | 23,135,394 | |
| Appalachian Power Co., Series X | | | | | |
3.30% | | | 06/01/27 | | | | 13,250,000 | | | | 12,692,471 | |
| Consolidated Edison, Inc. | | | | | |
2.00% | | | 03/15/20 | | | | 400,000 | | | | 393,081 | |
| Dominion Energy, Inc. | | | | | |
1.88% | | | 12/15/18 | 3 | | | 27,940,000 | | | | 27,898,653 | |
| (LIBOR USD 3-Month plus 0.40%) | | | | | |
2.72% | | | 12/01/20 | 2,3 | | | 45,075,000 | | | | 45,062,830 | |
| (LIBOR USD 3-Month plus 0.55%) | | | | | |
2.87% | | | 06/01/19 | 2,3 | | | 70,520,000 | | | | 70,707,827 | |
| DTE Energy Co. | | | | | |
2.40% | | | 12/01/19 | | | | 350,000 | | | | 346,270 | |
| Duke Energy Carolinas LLC | | | | | |
3.75% | | | 06/01/45 | | | | 32,875,000 | | | | 30,437,565 | |
4.00% | | | 09/30/42 | | | | 16,040,000 | | | | 15,521,635 | |
4.25% | | | 12/15/41 | | | | 26,358,000 | | | | 26,457,170 | |
| Duke Energy Indiana LLC, Series WWW | | | | | |
4.90% | | | 07/15/43 | | | | 6,395,000 | | | | 6,986,445 | |
| Duke Energy Progress LLC | | | | | |
3.70% | | | 10/15/46 | | | | 12,165,000 | | | | 11,158,121 | |
4.10% | | | 05/15/42 | | | | 8,150,000 | | | | 7,980,717 | |
4.15% | | | 12/01/44 | | | | 9,960,000 | | | | 9,810,306 | |
4.20% | | | 08/15/45 | | | | 22,820,000 | | | | 22,492,512 | |
| Duquesne Light Holdings, Inc. | | | | | |
6.40% | | | 09/15/20 | 3 | | | 19,829,000 | | | | 20,772,049 | |
| Entergy Corp. | | | | | |
4.00% | | | 07/15/22 | | | | 12,632,000 | | | | 12,788,934 | |
5.13% | | | 09/15/20 | | | | 9,800,000 | | | | 10,061,472 | |
| Entergy Texas, Inc. | | | | | |
7.13% | | | 02/01/19 | | | | 20,982,000 | | | | 21,265,047 | |
| Eversource Energy, Series H | | | | | |
3.15% | | | 01/15/25 | | | | 6,120,000 | | | | 5,892,124 | |
| FirstEnergy Transmission LLC | | | | | |
4.35% | | | 01/15/25 | 3 | | | 23,330,000 | | | | 23,598,385 | |
5.45% | | | 07/15/44 | 3 | | | 24,625,000 | | | | 27,018,008 | |
| Florida Power & Light Co. | | | | | |
3.95% | | | 03/01/48 | | | | 6,910,000 | | | | 6,783,810 | |
| Indiana Michigan Power Co., Series J | | | | | |
3.20% | | | 03/15/23 | | | | 30,672,000 | | | | 30,190,281 | |
| Indiana Michigan Power Co., Series K | | | | | |
4.55% | | | 03/15/46 | | | | 11,515,000 | | | | 11,862,408 | |
| ITC Holdings Corp. | | | | | |
3.35% | | | 11/15/27 | | | | 6,225,000 | | | | 5,869,876 | |
3.65% | | | 06/15/24 | | | | 5,165,000 | | | | 5,071,447 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| Semi-Annual Report September 2018 / 112 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Electric (continued) | | | | | |
| Jersey Central Power & Light Co. | | | | | |
4.30% | | | 01/15/26 | 3 | | $ | 4,980,000 | | | $ | 4,999,727 | |
4.70% | | | 04/01/24 | 3 | | | 37,747,000 | | | | 39,185,072 | |
6.40% | | | 05/15/36 | | | | 12,630,000 | | | | 15,108,003 | |
| Kansas City Power & Light Co. | | | | | |
3.15% | | | 03/15/23 | | | | 23,665,000 | | | | 23,130,990 | |
3.65% | | | 08/15/25 | | | | 13,885,000 | | | | 13,602,829 | |
| KCP&L Greater Missouri Operations Co. | | | | | |
8.27% | | | 11/15/21 | | | | 75,000 | | | | 83,698 | |
| LG&E & KU Energy LLC | | | | | |
4.38% | | | 10/01/21 | | | | 14,595,000 | | | | 14,856,294 | |
| Metropolitan Edison Co. | | | | | |
3.50% | | | 03/15/23 | 3 | | | 10,715,000 | | | | 10,572,727 | |
4.00% | | | 04/15/25 | 3 | | | 35,719,000 | | | | 35,450,652 | |
7.70% | | | 01/15/19 | | | | 8,451,000 | | | | 8,563,897 | |
| MidAmerican Energy Co. | | | | | |
4.25% | | | 05/01/46 | | | | 30,700,000 | | | | 30,953,621 | |
4.40% | | | 10/15/44 | | | | 8,110,000 | | | | 8,332,202 | |
4.80% | | | 09/15/43 | | | | 13,715,000 | | | | 14,812,008 | |
| Minejesa Capital BV (Netherlands) | | | | | |
5.63% | | | 08/10/37 | 1,3 | | | 4,200,000 | | | | 3,874,500 | |
| Mississippi Power Co. | | | | | |
| (LIBOR USD 3-Month plus 0.65%) | | | | | |
3.06% | | | 03/27/20 | 2 | | | 6,300,000 | | | | 6,300,824 | |
| NextEra Energy Capital Holdings, Inc. | | | | | |
2.30% | | | 04/01/19 | | | | 7,190,000 | | | | 7,175,257 | |
| (LIBOR USD 3-Month plus 0.48%) | | | | | |
2.82% | | | 05/04/21 | 2 | | | 268,945,000 | | | | 269,792,174 | |
| (LIBOR USD 3-Month plus 0.55%) | | | | | |
2.86% | | | 08/28/21 | 2 | | | 158,500,000 | | | | 158,524,957 | |
| NextEra Energy Operating Partners LP | | | | | |
4.25% | | | 09/15/24 | 3 | | | 1,798,000 | | | | 1,771,030 | |
4.50% | | | 09/15/27 | 3 | | | 25,798,000 | | | | 24,830,575 | |
| Oncor Electric Delivery Co. LLC | | | | | |
7.00% | | | 09/01/22 | | | | 23,645,000 | | | | 26,734,775 | |
| PacifiCorp | | | | | |
3.35% | | | 07/01/25 | | | | 6,580,000 | | | | 6,458,433 | |
| Pennsylvania Electric Co. | | | | | |
4.15% | | | 04/15/25 | 3 | | | 23,140,000 | | | | 23,066,239 | |
5.20% | | | 04/01/20 | | | | 25,200,000 | | | | 25,742,732 | |
| PNM Resources, Inc. | | | | | |
3.25% | | | 03/09/21 | | | | 34,295,000 | | | | 33,963,264 | |
| Potomac Electric Power Co. | | | | | |
3.60% | | | 03/15/24 | | | | 6,783,000 | | | | 6,781,423 | |
| Progress Energy, Inc. | | | | | |
4.88% | | | 12/01/19 | | | | 4,761,000 | | | | 4,856,609 | |
7.05% | | | 03/15/19 | | | | 7,050,000 | | | | 7,186,040 | |
| Public Service Co. of New Mexico | | | | | |
3.85% | | | 08/01/25 | | | | 9,140,000 | | | | 9,068,845 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Electric (continued) | | | | | |
5.35% | | | 10/01/21 | | | $ | 5,065,000 | | | $ | 5,275,664 | |
| Rochester Gas & Electric Corp. | | | | | |
3.10% | | | 06/01/27 | 3 | | | 5,605,000 | | | | 5,305,315 | |
| South Carolina Electric & Gas Co. | | | | | |
3.50% | | | 08/15/21 | | | | 23,230,000 | | | | 23,174,109 | |
4.25% | | | 08/15/28 | | | | 8,930,000 | | | | 8,911,809 | |
| Southern Co. Gas Capital Corp. | | | | | |
2.45% | | | 10/01/23 | | | | 10,065,000 | | | | 9,441,121 | |
| Southwestern Electric Power Co. | | | | | |
3.55% | | | 02/15/22 | | | | 15,882,000 | | | | 15,931,314 | |
6.45% | | | 01/15/19 | | | | 66,720,000 | | | | 67,261,983 | |
| Southwestern Electric Power Co., Series K | | | | | |
2.75% | | | 10/01/26 | | | | 36,488,000 | | | | 33,414,689 | |
| Union Electric Co. | | | | | |
6.70% | | | 02/01/19 | | | | 12,983,000 | | | | 13,141,055 | |
| WEC Energy Group, Inc. | | | | | |
3.38% | | | 06/15/21 | | | | 11,130,000 | | | | 11,139,640 | |
| Wisconsin Public Service Corp. | | | | | |
1.65% | | | 12/04/18 | | | | 550,000 | | | | 549,281 | |
| | | | | |
| |
| | | | 1,547,867,383 | |
| | | | | |
| Energy — 1.96% | | | | | |
| Anadarko Petroleum Corp. | | | | | |
4.50% | | | 07/15/44 | | | | 20,146,000 | | | | 18,520,067 | |
| Antero Resources Corp. | | | | | |
5.13% | | | 12/01/22 | | | | 4,576,000 | | | | 4,664,088 | |
| BP Capital Markets PLC (United Kingdom) | | | | | |
3.51% | | | 03/17/25 | 1 | | | 8,472,000 | | | | 8,363,588 | |
3.54% | | | 11/04/24 | 1 | | | 19,083,000 | | | | 18,932,235 | |
| Brooklyn Union Gas Co. (The) | | | | | |
3.41% | | | 03/10/26 | 3 | | | 12,245,000 | | | | 11,834,719 | |
| Canadian Natural Resources Ltd. (Canada) | | | | | |
3.85% | | | 06/01/27 | 1 | | | 6,172,000 | | | | 6,021,663 | |
| Centennial Resource Production LLC | | | | | |
5.38% | | | 01/15/26 | 3 | | | 7,349,000 | | | | 7,312,255 | |
| CrownRock LP/CrownRock Finance, Inc. | | | | | |
5.63% | | | 10/15/25 | 3 | | | 3,017,000 | | | | 2,941,726 | |
| Diamondback Energy, Inc. | | | | | |
4.75% | | | 11/01/24 | | | | 5,869,000 | | | | 5,905,975 | |
5.38% | | | 05/31/25 | | | | 12,688,000 | | | | 13,021,060 | |
| Ecopetrol SA (Colombia) | | | | | |
5.88% | | | 05/28/45 | 1 | | | 3,600,000 | | | | 3,555,000 | |
| Enbridge Energy Partners LP | | | | | |
7.38% | | | 10/15/45 | | | | 12,955,000 | | | | 17,156,788 | |
| Endeavor Energy Resources LP/EER Finance, Inc. | | | | | |
5.50% | | | 01/30/26 | 3 | | | 2,394,000 | | | | 2,405,970 | |
5.75% | | | 01/30/28 | 3 | | | 2,109,000 | | | | 2,116,909 | |
| Energy Transfer Equity LP | | | | | |
4.25% | | | 03/15/23 | | | | 1,750,000 | | | | 1,743,437 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 113 / Semi-Annual Report September 2018 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Energy (continued) | | | | | |
5.50% | | | 06/01/27 | | | $ | 10,057,000 | | | $ | 10,462,297 | |
5.88% | | | 01/15/24 | | | | 25,073,000 | | | | 26,546,039 | |
| Energy Transfer Partners LP | | | | | |
4.90% | | | 03/15/35 | | | | 6,490,000 | | | | 6,133,913 | |
4.95% | | | 06/15/28 | | | | 3,744,000 | | | | 3,818,935 | |
5.15% | | | 03/15/45 | | | | 83,802,000 | | | | 79,535,473 | |
| EQT Corp. | | | | | |
3.90% | | | 10/01/27 | | | | 44,055,000 | | | | 41,356,961 | |
| EQT Midstream Partners LP | | | | | |
5.50% | | | 07/15/28 | | | | 134,505,000 | | | | 138,169,185 | |
6.50% | | | 07/15/48 | | | | 5,145,000 | | | | 5,498,696 | |
| Florida Gas Transmission Co. LLC | | | | | |
7.90% | | | 05/15/19 | 3 | | | 21,200,000 | | | | 21,820,026 | |
| Gulfport Energy Corp. | | | | | |
6.38% | | | 05/15/25 | | | | 5,618,000 | | | | 5,526,707 | |
| Halliburton Co. | | | | | |
5.00% | | | 11/15/45 | | | | 10,689,000 | | | | 11,419,180 | |
| Hess Corp. | | | | | |
5.60% | | | 02/15/41 | | | | 9,600,000 | | | | 9,778,756 | |
| HollyFrontier Corp. | | | | | |
5.88% | | | 04/01/26 | | | | 18,275,000 | | | | 19,499,105 | |
| KazMunayGas National Co. JSC (Kazakhstan) | | | | | |
5.38% | | | 04/24/30 | 1 | | | 6,900,000 | | | | 7,062,150 | |
| Kinder Morgan Energy Partners LP | | | | | |
5.00% | | | 08/15/42 | | | | 7,265,000 | | | | 7,146,742 | |
5.80% | | | 03/15/35 | | | | 8,465,000 | | | | 9,270,084 | |
| Kinder Morgan, Inc. | | | | | |
5.30% | | | 12/01/34 | | | | 9,600,000 | | | | 9,957,621 | |
5.55% | | | 06/01/45 | | | | 11,525,000 | | | | 12,205,298 | |
5.63% | | | 11/15/23 | 3 | | | 7,257,000 | | | | 7,754,810 | |
6.95% | | | 06/01/28 | | | | 6,665,000 | | | | 7,623,718 | |
| Matador Resources Co. | | | | | |
5.88% | | | 09/15/26 | 3 | | | 2,270,000 | | | | 2,304,050 | |
| Newfield Exploration Co. | | | | | |
5.63% | | | 07/01/24 | | | | 747,000 | | | | 789,019 | |
5.75% | | | 01/30/22 | | | | 3,071,000 | | | | 3,228,389 | |
| NGPL Pipe Co. LLC | | | | | |
4.38% | | | 08/15/22 | 3 | | | 2,154,000 | | | | 2,180,925 | |
| Noble Energy, Inc. | | | | | |
5.05% | | | 11/15/44 | | | | 9,088,000 | | | | 8,794,085 | |
| Panhandle Eastern Pipeline Co. LP | | | | | |
8.13% | | | 06/01/19 | | | | 2,407,000 | | | | 2,483,341 | |
| Parsley Energy LLC/Parsley Finance Corp. | | | | | |
5.25% | | | 08/15/25 | 3 | | | 6,035,000 | | | | 6,035,000 | |
5.38% | | | 01/15/25 | 3 | | | 7,313,000 | | | | 7,367,847 | |
5.63% | | | 10/15/27 | 3 | | | 7,205,000 | | | | 7,245,528 | |
| Peru LNG Srl (Peru) | | | | | |
5.38% | | | 03/22/30 | 1 | | | 7,800,000 | | | | 7,814,203 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Energy (continued) | | | | | |
| Petrobras Global Finance BV (Netherlands) | | | | | |
5.75% | | | 02/01/29 | 1 | | $ | 5,500,000 | | | $ | 4,922,500 | |
| Petroleos del Peru SA, Series REGS (Peru) | | | | | |
4.75% | | | 06/19/32 | 1 | | | 6,400,000 | | | | 6,206,720 | |
| Petroleos Mexicanos (Mexico) | | | | | |
5.35% | | | 02/12/28 | 1,3 | | | 7,800,000 | | | | 7,378,800 | |
6.75% | | | 09/21/47 | 1 | | | 4,200,000 | | | | 4,032,000 | |
| Plains All American Pipeline LP/PAA | | | | | |
| Finance Corp. | | | | | |
3.60% | | | 11/01/24 | | | | 17,425,000 | | | | 16,879,597 | |
4.65% | | | 10/15/25 | | | | 103,903,000 | | | | 105,386,688 | |
| Range Resources Corp. | | | | | |
4.88% | | | 05/15/25 | | | | 1,463,000 | | | | 1,391,679 | |
5.00% | | | 03/15/23 | | | | 2,630,000 | | | | 2,590,550 | |
| Rockies Express Pipeline LLC | | | | | |
5.63% | | | 04/15/20 | 3 | | | 36,054,000 | | | | 37,225,755 | |
6.00% | | | 01/15/19 | 3 | | | 48,932,000 | | | | 49,311,223 | |
| Ruby Pipeline LLC | | | | | |
6.00% | | | 04/01/22 | 3 | | | 84,724,000 | | | | 87,038,058 | |
| Sabine Pass Liquefaction LLC | | | | | |
4.20% | | | 03/15/28 | | | | 9,750,000 | | | | 9,494,063 | |
5.63% | | | 03/01/25 | | | | 33,017,000 | | | | 35,276,601 | |
5.75% | | | 05/15/24 | | | | 14,400,000 | | | | 15,459,475 | |
| Shell International Finance BV (Netherlands) | | | | | |
4.38% | | | 05/11/45 | 1 | | | 19,964,000 | | | | 20,683,144 | |
| Spectra Energy Partners LP | | | | | |
4.60% | | | 06/15/21 | | | | 6,720,000 | | | | 6,869,484 | |
| Sunoco Logistics Partners Operations LP | | | | | |
4.00% | | | 10/01/27 | | | | 12,107,000 | | | | 11,516,076 | |
5.40% | | | 10/01/47 | | | | 84,568,000 | | | | 83,282,659 | |
| TC PipeLines LP | | | | | |
3.90% | | | 05/25/27 | | | | 61,814,000 | | | | 58,665,411 | |
4.38% | | | 03/13/25 | | | | 36,050,000 | | | | 35,987,131 | |
4.65% | | �� | 06/15/21 | | | | 6,108,000 | | | | 6,213,442 | |
| Tennessee Gas Pipeline Co. LLC | | | | | |
8.38% | | | 06/15/32 | | | | 4,974,000 | | | | 6,366,890 | |
| Transcontinental Gas Pipe Line Co. LLC | | | | | |
4.60% | | | 03/15/48 | | | | 11,280,000 | | | | 11,022,357 | |
| TransMontaigne Partners LP/ TLP Finance Corp. | | | | | |
6.13% | | | 02/15/26 | | | | 2,548,000 | | | | 2,414,230 | |
| Transocean Guardian Ltd. (Cayman Islands) | | | | | |
5.88% | | | 01/15/24 | 1,3 | | | 11,760,000 | | | | 11,907,000 | |
| Transocean Pontus Ltd. (Cayman Islands) | | | | | |
6.13% | | | 08/01/25 | 1,3 | | | 16,376,000 | | | | 16,682,886 | |
| Transocean Proteus Ltd. (Cayman Islands) | | | | | |
6.25% | | | 12/01/24 | 1,3 | | | 15,240,500 | | | | 15,564,361 | |
| Williams Cos., Inc. (The) | | | | | |
3.35% | | | 08/15/22 | | | | 9,200,000 | | | | 9,012,130 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2018 / 114 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Energy (continued) | | | | | |
3.60% | | | 03/15/22 | | | $ | 5,990,000 | | | $ | 5,955,809 | |
3.70% | | | 01/15/23 | | | | 16,008,000 | | | | 15,863,134 | |
3.90% | | | 01/15/25 | | | | 7,257,000 | | | | 7,059,011 | |
4.50% | | | 11/15/23 | | | | 6,395,000 | | | | 6,520,876 | |
4.55% | | | 06/24/24 | | | | 30,550,000 | | | | 31,121,844 | |
6.30% | | | 04/15/40 | | | | 41,570,000 | | | | 47,246,500 | |
7.88% | | | 09/01/21 | | | | 4,318,000 | | | | 4,801,959 | |
| WPX Energy, Inc. | | | | | |
5.75% | | | 06/01/26 | | | | 9,721,000 | | | | 9,878,966 | |
| | | | | |
| |
| | | | 1,420,552,572 | |
| | | | | |
| Finance — 5.68% | | | | | |
| AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland) | | | | | |
3.50% | | | 05/26/22 | 1 | | | 20,425,000 | | | | 20,052,187 | |
3.88% | | | 01/23/28 | 1 | | | 6,245,000 | | | | 5,792,237 | |
3.95% | | | 02/01/22 | 1 | | | 85,265,000 | | | | 85,094,366 | |
4.50% | | | 05/15/21 | 1 | | | 16,345,000 | | | | 16,651,469 | |
4.63% | | | 10/30/20 | 1 | | | 3,200,000 | | | | 3,256,039 | |
5.00% | | | 10/01/21 | 1 | | | 52,862,000 | | | | 54,461,075 | |
| Air Lease Corp. | | | | | |
2.13% | | | 01/15/20 | | | | 5,150,000 | | | | 5,070,491 | |
2.50% | | | 03/01/21 | | | | 28,960,000 | | | | 28,211,036 | |
3.00% | | | 09/15/23 | | | | 10,870,000 | | | | 10,300,955 | |
3.25% | | | 03/01/25 | | | | 15,100,000 | | | | 14,073,645 | |
3.38% | | | 01/15/19 | | | | 61,666,000 | | | | 61,730,768 | |
3.88% | | | 07/03/23 | | | | 3,285,000 | | | | 3,258,847 | |
4.75% | | | 03/01/20 | | | | 15,890,000 | | | | 16,163,290 | |
| Alta Wind Holdings LLC | | | | | |
7.00% | | | 06/30/35 | 3,4,5 | | | 19,538,171 | | | | 20,913,988 | |
| American Express Credit Corp. | | | | | |
2.13% | | | 03/18/19 | | | | 24,197,000 | | | | 24,145,835 | |
| American Express Credit Corp. (GMTN) | | | | | |
2.25% | | | 08/15/19 | | | | 300,000 | | | | 298,604 | |
| American Express Credit Corp. (MTN) | | | | | |
1.88% | | | 05/03/19 | | | | 5,461,000 | | | | 5,434,050 | |
2.20% | | | 03/03/20 | | | | 20,090,000 | | | | 19,869,119 | |
| Associates Corp. of North America | | | | | |
6.95% | | | 11/01/18 | | | | 25,559,000 | | | | 25,628,866 | |
| BMW U.S. Capital LLC | | | | | |
3.10% | | | 04/12/21 | 3 | | | 27,650,000 | | | | 27,478,932 | |
| Citibank N.A. (BKNT) | | | | | |
3.05% | | | 05/01/20 | | | | 223,200,000 | | | | 223,131,272 | |
3.40% | | | 07/23/21 | | | | 25,065,000 | | | | 25,070,616 | |
| Citigroup, Inc. | | | | | |
2.05% | | | 12/07/18 | | | | 352,946,000 | | | | 352,675,961 | |
2.05% | | | 06/07/19 | | | | 48,475,000 | | | | 48,244,307 | |
2.45% | | | 01/10/20 | | | | 8,190,000 | | | | 8,121,025 | |
2.50% | | | 07/29/19 | | | | 34,523,000 | | | | 34,454,027 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Finance (continued) | | | | | |
2.55% | | | 04/08/19 | | | $ | 105,290,000 | | | $ | 105,224,510 | |
3.14% | | | 01/24/23 | 8 | | | 32,045,000 | | | | 31,452,818 | |
3.67% | | | 07/24/28 | 8 | | | 112,640,000 | | | | 107,347,396 | |
3.88% | | | 10/25/23 | | | | 14,165,000 | | | | 14,227,142 | |
3.89% | | | 01/10/28 | 8 | | | 9,548,000 | | | | 9,262,128 | |
8.50% | | | 05/22/19 | | | | 47,207,000 | | | | 48,868,545 | |
| Daimler Finance North America LLC | | | | | |
1.50% | | | 07/05/19 | 3 | | | 11,600,000 | | | | 11,487,485 | |
1.75% | | | 10/30/19 | 3 | | | 18,115,000 | | | | 17,855,035 | |
2.20% | | | 05/05/20 | 3 | | | 5,950,000 | | | | 5,850,933 | |
2.30% | | | 01/06/20 | 3 | | | 11,400,000 | | | | 11,275,515 | |
| Discover Financial Services | | | | | |
3.85% | | | 11/21/22 | | | | 9,959,000 | | | | 9,856,033 | |
| Ford Motor Credit Co. LLC | | | | | |
1.90% | | | 08/12/19 | | | | 14,465,000 | | | | 14,314,412 | |
2.02% | | | 05/03/19 | | | | 17,727,000 | | | | 17,623,669 | |
2.34% | | | 11/02/20 | | | | 31,147,000 | | | | 30,237,268 | |
2.43% | | | 06/12/20 | | | | 40,044,000 | | | | 39,248,470 | |
2.46% | | | 03/27/20 | | | | 4,410,000 | | | | 4,337,487 | |
2.55% | | | 10/05/18 | | | | 4,555,000 | | | | 4,554,954 | |
2.60% | | | 11/04/19 | | | | 350,000 | | | | 347,347 | |
2.68% | | | 01/09/20 | | | | 2,420,000 | | | | 2,395,470 | |
2.88% | | | 10/01/18 | | | | 26,346,000 | | | | 26,346,000 | |
3.16% | | | 08/04/20 | | | | 2,000,000 | | | | 1,980,865 | |
3.20% | | | 01/15/21 | | | | 10,360,000 | | | | 10,201,821 | |
3.22% | | | 01/09/22 | | | | 15,240,000 | | | | 14,750,549 | |
3.34% | | | 03/18/21 | | | | 24,035,000 | | | | 23,721,596 | |
3.34% | | | 03/28/22 | | | | 10,132,000 | | | | 9,799,341 | |
3.81% | | | 10/12/21 | | | | 22,199,000 | | | | 22,056,536 | |
5.75% | | | 02/01/21 | | | | 6,000,000 | | | | 6,246,748 | |
5.88% | | | 08/02/21 | | | | 11,055,000 | | | | 11,569,214 | |
8.13% | | | 01/15/20 | | | | 4,470,000 | | | | 4,724,506 | |
| (LIBOR USD 3-Month plus 0.83%) | | | | | |
3.16% | | | 03/12/19 | 2 | | | 15,000,000 | | | | 15,016,111 | |
| (LIBOR USD 3-Month plus 0.88%) | | | | | |
3.08% | | | 10/12/21 | 2 | | | 26,580,000 | | | | 26,345,261 | |
| (LIBOR USD 3-Month plus 1.27%) | | | | | |
3.66% | | | 03/28/22 | 2 | | | 30,153,000 | | | | 30,127,977 | |
| Ford Motor Credit Co. LLC (MTN) | | | | | |
2.94% | | | 01/08/19 | | | | 63,346,000 | | | | 63,358,669 | |
| GE Capital International Funding Co. (Ireland) | | | | | |
2.34% | | | 11/15/20 | 1 | | | 74,285,000 | | | | 72,455,323 | |
3.37% | | | 11/15/25 | 1 | | | 8,495,000 | | | | 8,095,449 | |
4.42% | | | 11/15/35 | 1 | | | 115,439,000 | | | | 108,837,234 | |
| General Motors Financial Co., Inc. | | | | | |
2.35% | | | 10/04/19 | | | | 19,090,000 | | | | 18,971,338 | |
2.40% | | | 05/09/19 | | | | 37,332,000 | | | | 37,239,707 | |
3.10% | | | 01/15/19 | | | | 161,350,000 | | | | 161,466,938 | |
3.20% | | | 07/13/20 | | | | 8,150,000 | | | | 8,129,955 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 115 / Semi-Annual Report September 2018 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Finance (continued) | | | | | |
3.55% | | | 04/09/21 | | | $ | 56,289,000 | | | $ | 56,283,757 | |
| Goldman Sachs Group, Inc. (The) | | | | | |
2.55% | | | 10/23/19 | | | | 87,083,000 | | | | 86,735,278 | |
3.27% | | | 09/29/25 | 8 | | | 128,010,000 | | | | 122,339,407 | |
3.69% | | | 06/05/28 | 8 | | | 77,655,000 | | | | 73,921,856 | |
3.81% | | | 04/23/29 | 8 | | | 63,900,000 | | | | 61,026,986 | |
3.85% | | | 01/26/27 | | | | 15,230,000 | | | | 14,791,576 | |
4.02% | | | 10/31/38 | 8 | | | 6,115,000 | | | | 5,679,004 | |
5.25% | | | 07/27/21 | | | | 45,370,000 | | | | 47,498,806 | |
5.75% | | | 01/24/22 | | | | 11,425,000 | | | | 12,155,202 | |
| Goldman Sachs Group, Inc. (The) (GMTN) | | | | | |
5.38% | | | 03/15/20 | | | | 60,000 | | | | 61,860 | |
| Goldman Sachs Group, Inc. (The) (MTN) | | | | | |
3.85% | | | 07/08/24 | | | | 112,989,000 | | | | 112,500,549 | |
| Goldman Sachs Group, Inc., Series D (The) (MTN) | | | | | |
6.00% | | | 06/15/20 | | | | 9,510,000 | | | | 9,936,062 | |
| Morgan Stanley | | | | | |
2.50% | | | 01/24/19 | | | | 63,094,000 | | | | 63,065,324 | |
| (LIBOR USD 3-Month plus 0.93%) | | | | | |
3.28% | | | 07/22/22 | 2 | | | 166,435,000 | | | | 167,932,915 | |
| Morgan Stanley (GMTN) | | | | | |
2.38% | | | 07/23/19 | | | | 27,425,000 | | | | 27,325,447 | |
2.45% | | | 02/01/19 | | | | 31,284,000 | | | | 31,262,883 | |
4.00% | | | 07/23/25 | | | | 19,191,000 | | | | 19,065,155 | |
5.50% | | | 01/26/20 | | | | 4,000,000 | | | | 4,123,322 | |
5.50% | | | 07/24/20 | | | | 41,588,000 | | | | 43,167,385 | |
7.30% | | | 05/13/19 | | | | 177,103,000 | | | | 181,845,824 | |
| (LIBOR USD 3-Month plus 0.55%) | | | | | |
2.89% | | | 02/10/21 | 2 | | | 229,580,000 | | | | 230,360,244 | |
| (LIBOR USD 3-Month plus 1.38%) | | | | | |
3.72% | | | 02/01/19 | 2 | | | 14,595,000 | | | | 14,658,255 | |
| Morgan Stanley (MTN) | | | | | |
5.63% | | | 09/23/19 | | | | 102,468,000 | | | | 105,085,427 | |
| Morgan Stanley, Series 3NC2 | | | | | |
| (LIBOR USD 3-Month plus 0.80%) | | | | | |
3.12% | | | 02/14/20 | 2 | | | 185,790,000 | | | | 186,238,575 | |
| Pipeline Funding Co. LLC | | | | | |
7.50% | | | 01/15/30 | 3 | | | 26,063,536 | | | | 30,432,079 | |
| Protective Life Global Funding | | | | | |
2.70% | | | 11/25/20 | 3 | | | 29,420,000 | | | | 28,982,569 | |
| Raymond James Financial, Inc. | | | | | |
4.95% | | | 07/15/46 | | | | 61,516,000 | | | | 63,446,126 | |
| | | | | |
| |
| | | | 4,106,712,635 | |
| | | | | |
| Food — 0.89% | | | | | |
| Campbell Soup Co. | | | | | |
3.30% | | | 03/15/21 | | | | 13,855,000 | | | | 13,765,150 | |
| (LIBOR USD 3-Month plus 0.50%) | | | | | |
2.83% | | | 03/16/20 | 2 | | | 78,590,000 | | | | 78,513,360 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Food (continued) | | | | | |
| Chobani LLC/Chobani Finance Corp., Inc. | | | | | |
7.50% | | | 04/15/25 | 3 | | $ | 14,944,000 | | | $ | 13,636,400 | |
| General Mills, Inc. | | | | | |
3.20% | | | 04/16/21 | | | | 9,140,000 | | | | 9,086,245 | |
3.70% | | | 10/17/23 | | | | 9,015,000 | | | | 8,970,013 | |
4.20% | | | 04/17/28 | | | | 65,555,000 | | | | 64,677,652 | |
| Kraft Heinz Foods Co. | | | | | |
3.95% | | | 07/15/25 | | | | 29,054,000 | | | | 28,672,800 | |
4.38% | | | 06/01/46 | | | | 99,773,000 | | | | 87,987,863 | |
4.63% | | | 01/30/29 | | | | 20,885,000 | | | | 20,892,710 | |
5.20% | | | 07/15/45 | | | | 25,907,000 | | | | 25,416,127 | |
5.38% | | | 02/10/20 | | | | 3,505,000 | | | | 3,603,408 | |
| (LIBOR USD 3-Month plus 0.42%) | | | | | |
2.76% | | | 08/09/19 | 2 | | | 11,505,000 | | | | 11,521,349 | |
| Lamb Weston Holdings, Inc. | | | | | |
4.63% | | | 11/01/24 | 3 | | | 6,386,000 | | | | 6,266,263 | |
| Mondelez International Holdings | | | | | |
| Netherlands BV (Netherlands) | | | | | |
1.63% | | | 10/28/19 | 1,3 | | | 121,532,000 | | | | 119,796,037 | |
2.00% | | | 10/28/21 | 1,3 | | | 37,987,000 | | | | 36,274,094 | |
| Mondelez International, Inc. | | | | | |
| (LIBOR USD 3-Month plus 0.52%) | | | | | |
2.86% | | | 02/01/19 | 2 | | | 11,740,000 | | | | 11,756,339 | |
| Pilgrim’s Pride Corp. | | | | | |
5.88% | | | 09/30/27 | 3 | | | 20,569,000 | | | | 19,540,550 | |
| Post Holdings, Inc. | | | | | |
5.00% | | | 08/15/26 | 3 | | | 6,794,000 | | | | 6,445,807 | |
5.63% | | | 01/15/28 | 3 | | | 15,852,000 | | | | 15,297,180 | |
5.75% | | | 03/01/27 | 3 | | | 10,574,000 | | | | 10,402,173 | |
| Tyson Foods, Inc. | | | | | |
2.65% | | | 08/15/19 | | | | 50,879,000 | | | | 50,779,226 | |
| | | | | |
| |
| | | | 643,300,746 | |
| | | | | |
| Gaming — 0.24% | | | | | |
| GLP Capital LP/GLP Financing II, Inc. | | | | | |
4.38% | | | 04/15/21 | | | | 13,411,000 | | | | 13,545,110 | |
4.88% | | | 11/01/20 | | | | 14,594,000 | | | | 14,906,312 | |
5.25% | | | 06/01/25 | | | | 44,980,000 | | | | 45,823,375 | |
5.30% | | | 01/15/29 | | | | 18,660,000 | | | | 18,807,414 | |
5.38% | | | 11/01/23 | | | | 13,490,000 | | | | 14,008,691 | |
5.38% | | | 04/15/26 | | | | 47,881,000 | | | | 48,743,337 | |
5.75% | | | 06/01/28 | | | | 19,477,000 | | | | 20,134,349 | |
| | | | | |
| |
| | | | 175,968,588 | |
| | | | | |
| Health Care — 5.67% | | | | | |
| Abbott Laboratories | | | | | |
2.95% | | | 03/15/25 | | | | 10,040,000 | | | | 9,599,178 | |
3.75% | | | 11/30/26 | | | | 60,703,000 | | | | 60,486,958 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2018 / 116 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Health Care (continued) | | | | | |
| AbbVie, Inc. | | | | | |
2.00% | | | 11/06/18 | | | $ | 5,900,000 | | | $ | 5,897,133 | |
3.60% | | | 05/14/25 | | | | 49,022,000 | | | | 47,515,901 | |
4.25% | | | 11/14/28 | | | | 29,460,000 | | | | 29,162,457 | |
4.40% | | | 11/06/42 | | | | 17,333,000 | | | | 16,084,209 | |
4.50% | | | 05/14/35 | | | | 6,425,000 | | | | 6,188,990 | |
4.88% | | | 11/14/48 | | | | 45,815,000 | | | | 45,125,319 | |
| Aetna, Inc. | | | | | |
4.13% | | | 06/01/21 | | | | 14,470,000 | | | | 14,723,677 | |
4.13% | | | 11/15/42 | | | | 7,005,000 | | | | 6,414,776 | |
| Allergan Finance LLC | | | | | |
3.25% | | | 10/01/22 | | | | 11,837,000 | | | | 11,621,532 | |
| Allergan Funding SCS (Luxembourg) | | | | | |
2.45% | | | 06/15/19 | 1 | | | 13,082,000 | | | | 13,041,022 | |
3.45% | | | 03/15/22 | 1 | | | 3,565,000 | | | | 3,543,963 | |
3.85% | | | 06/15/24 | 1 | | | 64,733,000 | | | | 64,108,367 | |
| Allergan Sales LLC | | | | | |
5.00% | | | 12/15/21 | 3 | | | 24,925,000 | | | | 25,841,978 | |
| Amgen, Inc. | | | | | |
4.40% | | | 05/01/45 | | | | 44,592,000 | | | | 43,333,004 | |
4.56% | | | 06/15/48 | | | | 21,700,000 | | | | 21,295,487 | |
4.66% | | | 06/15/51 | | | | 35,793,000 | | | | 35,568,476 | |
5.70% | | | 02/01/19 | | | | 63,260,000 | | | | 63,931,314 | |
| Anthem, Inc. | | | | | |
2.25% | | | 08/15/19 | | | | 120,320,000 | | | | 119,690,838 | |
3.30% | | | 01/15/23 | | | | 25,705,000 | | | | 25,305,493 | |
3.35% | | | 12/01/24 | | | | 65,800,000 | | | | 63,894,841 | |
3.50% | | | 08/15/24 | | | | 11,095,000 | | | | 10,826,499 | |
3.65% | | | 12/01/27 | | | | 61,885,000 | | | | 58,995,094 | |
4.38% | | | 12/01/47 | | | | 6,894,000 | | | | 6,564,269 | |
4.65% | | | 01/15/43 | | | | 13,390,000 | | | | 13,229,334 | |
| AstraZeneca PLC (United Kingdom) | | | | | |
1.75% | | | 11/16/18 | 1 | | | 8,315,000 | | | | 8,306,848 | |
3.13% | | | 06/12/27 | 1 | | | 89,510,000 | | | | 83,423,410 | |
3.38% | | | 11/16/25 | 1 | | | 9,114,000 | | | | 8,807,318 | |
| Bausch Health Cos., Inc. | | | | | |
9.25% | | | 04/01/26 | 3 | | | 3,695,000 | | | | 4,004,456 | |
| Bausch Health Cos., Inc. (Canada) | | | | | |
5.50% | | | 03/01/23 | 1,3 | | | 700,000 | | | | 676,375 | |
5.50% | | | 11/01/25 | 1,3 | | | 34,636,000 | | | | 34,765,885 | |
5.88% | | | 05/15/23 | 1,3 | | | 16,808,000 | | | | 16,408,810 | |
6.13% | | | 04/15/25 | 1,3 | | | 12,513,000 | | | | 11,949,915 | |
| Baxalta, Inc. | | | | | |
2.88% | | | 06/23/20 | | | | 11,998,000 | | | | 11,903,500 | |
4.00% | | | 06/23/25 | | | | 5,160,000 | | | | 5,117,538 | |
| Bayer U.S. Finance II LLC | | | | | |
2.13% | | | 07/15/19 | 3 | | | 10,504,000 | | | | 10,426,975 | |
4.25% | | | 12/15/25 | 3 | | | 12,551,000 | | | | 12,485,366 | |
4.38% | | | 12/15/28 | 3 | | | 163,855,000 | | | | 160,800,169 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Health Care (continued) | | | | | |
| Bayer U.S. Finance LLC | | | | | |
2.38% | | | 10/08/19 | 3 | | $ | 159,742,000 | | | $ | 158,059,278 | |
| Becton Dickinson and Co. | | | | | |
2.68% | | | 12/15/19 | | | | 5,114,000 | | | | 5,078,841 | |
2.89% | | | 06/06/22 | | | | 13,340,000 | | | | 12,921,791 | |
3.25% | | | 11/12/20 | | | | 42,315,000 | | | | 42,170,494 | |
| (LIBOR USD 3-Month plus 0.88%) | | | | | |
3.26% | | | 12/29/20 | 2 | | | 119,397,000 | | | | 119,581,332 | |
| Boston Scientific Corp. | | | | | |
6.00% | | | 01/15/20 | | | | 9,300,000 | | | | 9,627,658 | |
| Catalent Pharma Solutions, Inc. | | | | | |
4.88% | | | 01/15/26 | 3 | | | 7,723,000 | | | | 7,472,003 | |
| Celgene Corp. | | | | | |
2.75% | | | 02/15/23 | | | | 65,075,000 | | | | 62,445,607 | |
2.88% | | | 08/15/20 | | | | 4,350,000 | | | | 4,323,390 | |
2.88% | | | 02/19/21 | | | | 21,625,000 | | | | 21,389,422 | |
3.45% | | | 11/15/27 | | | | 20,612,000 | | | | 19,279,057 | |
3.88% | | | 08/15/25 | | | | 20,105,000 | | | | 19,835,705 | |
3.90% | | | 02/20/28 | | | | 54,125,000 | | | | 52,199,725 | |
5.00% | | | 08/15/45 | | | | 127,831,000 | | | | 126,831,362 | |
| Centene Corp. | | | | | |
4.75% | | | 05/15/22 | | | | 5,876,000 | | | | 5,971,485 | |
5.63% | | | 02/15/21 | | | | 3,755,000 | | | | 3,830,100 | |
| CHS/Community Health Systems, Inc. | | | | | |
5.13% | | | 08/01/21 | | | | 1,841,000 | | | | 1,799,577 | |
8.63% | | | 01/15/24 | 3 | | | 5,038,000 | | | | 5,252,115 | |
| Cigna Corp. | | | | | |
3.05% | | | 10/15/27 | | | | 79,241,000 | | | | 71,607,556 | |
| CVS Health Corp. | | | | | |
2.13% | | | 06/01/21 | | | | 15,110,000 | | | | 14,593,889 | |
2.25% | | | 12/05/18 | | | | 76,805,000 | | | | 76,729,478 | |
2.25% | | | 08/12/19 | | | | 12,000,000 | | | | 11,935,873 | |
2.75% | | | 12/01/22 | | | | 19,200,000 | | | | 18,541,536 | |
2.80% | | | 07/20/20 | | | | 74,671,000 | | | | 73,947,177 | |
3.13% | | | 03/09/20 | | | | 165,200,000 | | | | 165,280,902 | |
3.35% | | | 03/09/21 | | | | 20,127,000 | | | | 20,097,291 | |
3.88% | | | 07/20/25 | | | | 17,090,000 | | | | 16,874,032 | |
4.00% | | | 12/05/23 | | | | 24,268,000 | | | | 24,343,370 | |
4.13% | | | 05/15/21 | | | | 16,035,000 | | | | 16,284,287 | |
4.30% | | | 03/25/28 | | | | 50,320,000 | | | | 50,021,750 | |
4.78% | | | 03/25/38 | | | | 9,531,000 | | | | 9,515,199 | |
4.88% | | | 07/20/35 | | | | 34,160,000 | | | | 34,448,396 | |
5.05% | | | 03/25/48 | | | | 85,670,000 | | | | 87,963,007 | |
| Elanco Animal Health, Inc. | | | | | |
3.91% | | | 08/27/21 | 3 | | | 19,750,000 | | | | 19,782,050 | |
4.27% | | | 08/28/23 | 3 | | | 6,000,000 | | | | 6,030,811 | |
4.90% | | | 08/28/28 | 3 | | | 11,850,000 | | | | 12,054,329 | |
| Fresenius Medical Care U.S. Finance II, Inc. | | | | | |
4.13% | | | 10/15/20 | 3 | | | 3,850,000 | | | | 3,894,789 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 117 / Semi-Annual Report September 2018 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Health Care (continued) | | | | | |
5.63% | | | 07/31/19 | 3 | | $ | 143,484,000 | | | $ | 146,350,518 | |
| Gilead Sciences, Inc. | | | | | |
4.00% | | | 09/01/36 | | | | 18,275,000 | | | | 17,638,981 | |
4.50% | | | 02/01/45 | | | | 11,570,000 | | | | 11,546,131 | |
| Halfmoon Parent, Inc. | | | | | |
3.20% | | | 09/17/20 | 3 | | | 68,750,000 | | | | 68,506,556 | |
3.75% | | | 07/15/23 | 3 | | | 96,000,000 | | | | 95,534,928 | |
4.38% | | | 10/15/28 | 3 | | | 115,030,000 | | | | 114,926,028 | |
4.80% | | | 08/15/38 | 3 | | | 69,938,000 | | | | 70,354,261 | |
4.90% | | | 12/15/48 | 3 | | | 45,030,000 | | | | 44,879,987 | |
| (LIBOR USD 3-Month plus 0.35%) | | | | | |
2.68% | | | 03/17/20 | 2,3 | | | 25,000,000 | | | | 25,041,637 | |
| (LIBOR USD 3-Month plus 0.65%) | | | | | |
2.98% | | | 09/17/21 | 2,3 | | | 89,450,000 | | | | 89,594,360 | |
| (LIBOR USD 3-Month plus 0.89%) | | | | | |
3.22% | | | 07/15/23 | 2,3 | | | 75,000,000 | | | | 75,053,102 | |
| HCA, Inc. | | | | | |
4.25% | | | 10/15/19 | | | | 9,790,000 | | | | 9,887,900 | |
4.75% | | | 05/01/23 | | | | 7,267,000 | | | | 7,412,340 | |
5.00% | | | 03/15/24 | | | | 48,736,000 | | | | 50,076,240 | |
5.25% | | | 04/15/25 | | | | 32,849,000 | | | | 33,957,654 | |
5.25% | | | 06/15/26 | | | | 5,387,000 | | | | 5,548,610 | |
6.50% | | | 02/15/20 | | | | 42,247,000 | | | | 44,063,621 | |
| Hologic, Inc. | | | | | |
4.38% | | | 10/15/25 | 3 | | | 8,394,000 | | | | 8,037,255 | |
4.63% | | | 02/01/28 | 3 | | | 13,796,000 | | | | 12,985,485 | |
| Humana, Inc. | | | | | |
2.63% | | | 10/01/19 | | | | 16,200,000 | | | | 16,138,756 | |
| Johnson & Johnson | | | | | |
2.90% | | | 01/15/28 | | | | 18,650,000 | | | | 17,711,909 | |
3.40% | | | 01/15/38 | | | | 7,005,000 | | | | 6,556,278 | |
| Kaiser Foundation Hospitals | | | | | |
4.15% | | | 05/01/47 | | | | 65,020,000 | | | | 65,100,716 | |
| Molina Healthcare, Inc. | | | | | |
5.38% | | | 11/15/22 | | | | 18,703,000 | | | | 19,123,817 | |
| Novartis Securities Investment Ltd. (Bermuda) | | | | | |
5.13% | | | 02/10/19 | 1 | | | 33,393,000 | | | | 33,642,062 | |
| Providence St. Joseph Health Obligated Group, Series H | | | | | |
2.75% | | | 10/01/26 | | | | 7,520,000 | | | | 6,892,536 | |
| Shire Acquisitions Investments Ireland DAC (Ireland) | | | | | |
1.90% | | | 09/23/19 | 1 | | | 68,138,000 | | | | 67,425,596 | |
2.40% | | | 09/23/21 | 1 | | | 94,301,000 | | | | 91,148,821 | |
3.20% | | | 09/23/26 | 1 | | | 8,400,000 | | | | 7,768,315 | |
| Stryker Corp. | | | | | |
2.00% | | | 03/08/19 | | | | 29,913,000 | | | | 29,826,970 | |
| Teleflex, Inc. | | | | | |
4.63% | | | 11/15/27 | | | | 4,186,000 | | | | 3,987,165 | |
| Tenet Healthcare Corp. | | | | | |
4.38% | | | 10/01/21 | | | | 5,885,000 | | | | 5,855,575 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Health Care (continued) | | | | | |
4.50% | | | 04/01/21 | | | $ | 23,904,000 | | | $ | 23,933,880 | |
4.63% | | | 07/15/24 | | | | 10,163,000 | | | | 9,908,925 | |
4.75% | | | 06/01/20 | | | | 1,290,000 | | | | 1,304,513 | |
| Teva Pharmaceutical Finance IV LLC | | | | | |
2.25% | | | 03/18/20 | | | | 18,465,000 | | | | 17,969,141 | |
| Teva Pharmaceutical Finance | | | | | |
| Netherlands III BV (Netherlands) | | | | | |
1.70% | | | 07/19/19 | 1 | | | 16,750,000 | | | | 16,498,750 | |
| UnitedHealth Group, Inc. | | | | | |
3.95% | | | 10/15/42 | | | | 5,992,000 | | | | 5,727,079 | |
4.25% | | | 03/15/43 | | | | 12,365,000 | | | | 12,372,335 | |
4.75% | | | 07/15/45 | | | | 51,353,000 | | | | 55,195,861 | |
| WellCare Health Plans, Inc. | | | | | |
5.25% | | | 04/01/25 | | | | 34,445,000 | | | | 35,090,844 | |
5.38% | | | 08/15/26 | 3 | | | 1,901,000 | | | | 1,943,773 | |
| Zimmer Biomet Holdings, Inc. | | | | | |
2.70% | | | 04/01/20 | | | | 250,000 | | | | 247,654 | |
| (LIBOR USD 3-Month plus 0.75%) | | | | | |
3.09% | | | 03/19/21 | 2 | | | 18,515,000 | | | | 18,533,434 | |
| | | | | |
| |
| | | | 4,104,381,637 | |
| | | | | |
| Industrials — 0.89% | | | | | |
| Amcor Finance USA, Inc. | | | | | |
3.63% | | | 04/28/26 | 3 | | | 11,781,000 | | | | 11,124,969 | |
4.50% | | | 05/15/28 | 3 | | | 4,210,000 | | | | 4,185,297 | |
| Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. (Ireland) | | | | | |
4.25% | | | 09/15/22 | 1,3 | | | 11,101,000 | | | | 10,962,237 | |
4.63% | | | 05/15/23 | 1,3 | | | 15,515,000 | | | | 15,456,819 | |
6.00% | | | 02/15/25 | 1,3 | | | 20,400,000 | | | | 20,017,500 | |
7.25% | | | 05/15/24 | 1,3 | | | 14,860,000 | | | | 15,603,000 | |
| BAE Systems Holdings, Inc. | | | | | |
6.38% | | | 06/01/19 | 3 | | | 45,190,000 | | | | 46,156,275 | |
| Ball Corp. | | | | | |
4.00% | | | 11/15/23 | | | | 9,502,000 | | | | 9,311,960 | |
| Bemis Co., Inc. | | | | | |
6.80% | | | 08/01/19 | | | | 7,415,000 | | | | 7,639,795 | |
| Berry Global, Inc. | | | | | |
4.50% | | | 02/15/26 | 3 | | | 19,065,000 | | | | 18,159,413 | |
5.13% | | | 07/15/23 | | | | 3,836,000 | | | | 3,879,155 | |
| Clean Harbors, Inc. | | | | | |
5.13% | | | 06/01/21 | | | | 24,390,000 | | | | 24,511,950 | |
| Crown Americas LLC/Crown Americas Capital Corp. V | | | | | |
4.25% | | | 09/30/26 | | | | 3,847,000 | | | | 3,529,623 | |
| General Electric Co. (GMTN) | | | | | |
2.20% | | | 01/09/20 | | | | 450,000 | | | | 445,318 | |
| General Electric Co. (MTN) | | | | | |
4.38% | | | 09/16/20 | | | | 5,815,000 | | | | 5,924,857 | |
5.55% | | | 05/04/20 | | | | 5,825,000 | | | | 6,013,468 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2018 / 118 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Industrials (continued) | |
5.88% | | | 01/14/38 | | | $ | 16,465,000 | | | $ | 18,431,534 | |
| (LIBOR USD 3-Month plus 0.48%) | | | | | |
2.79% | | | 08/15/36 | 2 | | | 12,690,000 | | | | 10,578,016 | |
| General Electric Co., Series NOTZ (MTN) | | | | | |
| (LIBOR USD 3-Month plus 0.80%) | | | | | |
3.14% | | | 04/15/20 | 2 | | | 5,250,000 | | | | 5,281,343 | |
| Graphic Packaging International LLC | | | | | |
4.13% | | | 08/15/24 | | | | 3,250,000 | | | | 3,176,875 | |
4.88% | | | 11/15/22 | | | | 7,563,000 | | | | 7,619,723 | |
| Itron, Inc. | | | | | |
5.00% | | | 01/15/26 | 3 | | | 19,844,000 | | | | 19,099,850 | |
| L3 Technologies, Inc. | | | | | |
3.85% | | | 06/15/23 | | | | 106,275,000 | | | | 106,601,907 | |
4.40% | | | 06/15/28 | | | | 61,080,000 | | | | 60,970,453 | |
| Multi-Color Corp. | | | | | |
4.88% | | | 11/01/25 | 3 | | | 9,220,000 | | | | 8,643,750 | |
| Northrop Grumman Corp. | | | | | |
3.20% | | | 02/01/27 | | | | 13,760,000 | | | | 12,999,575 | |
3.25% | | | 01/15/28 | | | | 44,655,000 | | | | 42,072,962 | |
| OI European Group BV (Netherlands) | | | | | |
4.00% | | | 03/15/23 | 1,3 | | | 7,036,000 | | | | 6,701,790 | |
| Sealed Air Corp. | | | | | |
4.88% | | | 12/01/22 | 3 | | | 6,050,000 | | | | 6,133,187 | |
5.13% | | | 12/01/24 | 3 | | | 3,255,000 | | | | 3,287,550 | |
5.25% | | | 04/01/23 | 3 | | | 610,000 | | | | 623,725 | |
5.50% | | | 09/15/25 | 3 | | | 10,174,000 | | | | 10,352,045 | |
| Siemens Financieringsmaatschappij NV (Netherlands) | |
1.30% | | | 09/13/19 | 1,3 | | | 37,225,000 | | | | 36,686,633 | |
| Silgan Holdings, Inc. | | | | | |
4.75% | | | 03/15/25 | | | | 3,730,000 | | | | 3,594,787 | |
| United Technologies Corp. | | | | | |
4.50% | | | 06/01/42 | | | | 4,062,000 | | | | 4,030,259 | |
4.63% | | | 11/16/48 | | | | 2,885,000 | | | | 2,920,097 | |
8.75% | | | 03/01/21 | | | | 8,045,000 | | | | 9,019,147 | |
| (LIBOR USD 3-Month plus 0.65%) | | | | | |
2.97% | | | 08/16/21 | 2 | | | 36,840,000 | | | | 36,942,615 | |
| Waste Management, Inc. | | | | | |
3.15% | | | 11/15/27 | | | | 7,500,000 | | | | 7,149,030 | |
| WestRock MWV LLC | | | | | |
7.38% | | | 09/01/19 | | | | 11,000,000 | | | | 11,395,333 | |
| WestRock RKT Co. | | | | | |
3.50% | | | 03/01/20 | | | | 5,395,000 | | | | 5,397,017 | |
4.45% | | | 03/01/19 | | | | 450,000 | | | | 452,871 | |
| | | | | | | | | | | | |
| |
| | | | 643,083,710 | |
| | | | | |
Information Technology — 0.49% | | | | | |
| Analog Devices, Inc. | | | | | |
2.85% | | | 03/12/20 | | | | 240,000 | | | | 238,576 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Information Technology (continued) | |
| Apple, Inc. | |
3.00% | | | 11/13/27 | | | $ | 7,770,000 | | | $ | 7,384,105 | |
| Broadcom Corp./Broadcom Cayman Finance Ltd. | |
2.38% | | | 01/15/20 | | | | 205,809,000 | | | | 203,457,015 | |
| Change Healthcare Holdings LLC/Change | |
| Healthcare Finance, Inc. | |
5.75% | | | 03/01/25 | 3 | | | 25,880,000 | | | | 25,750,600 | |
| Dell International LLC/EMC Corp. | |
3.48% | | | 06/01/19 | 3 | | | 41,913,000 | | | | 42,025,763 | |
| IQVIA, Inc. | |
5.00% | | | 10/15/26 | 3 | | | 5,800,000 | | | | 5,705,170 | |
| MSCI, Inc. | |
4.75% | | | 08/01/26 | 3 | | | 3,158,000 | | | | 3,142,210 | |
| NXP BV/NXP Funding LLC (Netherlands) | |
3.88% | | | 09/01/22 | 1,3 | | | 4,600,000 | | | | 4,544,064 | |
4.13% | | | 06/01/21 | 1,3 | | | 14,690,000 | | | | 14,710,860 | |
| Oracle Corp. | |
3.25% | | | 11/15/27 | | | | 23,940,000 | | | | 23,029,909 | |
| Zayo Group LLC/Zayo Capital, Inc. | |
5.75% | | | 01/15/27 | 3 | | | 27,608,000 | | | | 27,677,020 | |
| | | | | | | | | | | | |
| |
| | | | 357,665,292 | |
| | | | | | | | | | | | |
Insurance — 0.74% | |
| Allstate Corp. (The) | |
| (LIBOR USD 3-Month plus 0.43%) | |
2.82% | | | 03/29/21 | 2 | | | 9,605,000 | | | | 9,619,927 | |
| Berkshire Hathaway Finance Corp. | |
4.20% | | | 08/15/48 | | | | 56,331,000 | | | | 56,084,834 | |
4.30% | | | 05/15/43 | | | | 6,910,000 | | | | 6,972,150 | |
4.40% | | | 05/15/42 | | | | 5,472,000 | | | | 5,558,055 | |
| Farmers Exchange Capital | |
7.05% | | | 07/15/28 | 3 | | | 13,283,000 | | | | 15,454,146 | |
7.20% | | | 07/15/48 | 3 | | | 18,265,000 | | | | 21,538,517 | |
| Farmers Exchange Capital II | |
6.15% | | | 11/01/53 | 3,8 | | | 64,140,000 | | | | 68,103,275 | |
| Farmers Exchange Capital III | |
5.45% | | | 10/15/54 | 3,8 | | | 72,575,000 | | | | 71,849,250 | |
| Farmers Insurance Exchange | |
4.75% | | | 11/01/57 | 3,8 | | | 19,580,000 | | | | 17,717,896 | |
| Jackson National Life Global Funding | |
1.88% | | | 10/15/18 | 3 | | | 55,605,000 | | | | 55,582,091 | |
| MassMutual Global Funding II | |
2.00% | | | 04/15/21 | 3 | | | 6,335,000 | | | | 6,137,750 | |
| Metropolitan Life Global Funding I | |
1.55% | | | 09/13/19 | 3 | | | 17,000,000 | | | | 16,797,454 | |
1.75% | | | 12/19/18 | 3 | | | 46,175,000 | | | | 46,107,654 | |
2.50% | | | 12/03/20 | 3 | | | 43,790,000 | | | | 43,124,820 | |
| Nationwide Mutual Insurance Co. | |
4.62% | | | 12/15/24 | 3,8 | | | 18,189,000 | | | | 18,257,209 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| 119 / Semi-Annual Report September 2018 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Insurance (continued) | |
| New York Life Global Funding | | | | | |
1.55% | | | 11/02/18 | 3 | | $ | 32,050,000 | | | $ | 32,025,145 | |
2.00% | | | 04/13/21 | 3 | | | 19,010,000 | | | | 18,446,243 | |
| Pricoa Global Funding I | | | | | |
1.45% | | | 09/13/19 | 3 | | | 8,500,000 | | | | 8,353,481 | |
| Teachers Insurance & Annuity | | | | | |
| Association of America | | | | | |
4.38% | | | 09/15/54 | 3,8 | | | 19,825,000 | | | | 19,958,670 | |
| | | | | | | | | | | | |
| |
| | | | 537,688,567 | |
| | | | | | | | | | | | |
Materials — 0.32% | | | | | |
| Axalta Coating Systems LLC | | | | | |
4.88% | | | 08/15/24 | 3 | | | 49,795,000 | | | | 49,048,075 | |
| Dow Chemical Co. (The) | | | | | |
8.55% | | | 05/15/19 | | | | 90,780,000 | | | | 93,891,076 | |
| Georgia-Pacific LLC | | | | | |
2.54% | | | 11/15/19 | 3 | | | 65,075,000 | | | | 64,641,308 | |
| LyondellBasell Industries NV (Netherlands) | | | | | |
5.00% | | | 04/15/19 | 1 | | | 4,194,000 | | | | 4,215,309 | |
| Valvoline, Inc. | | | | | |
4.38% | | | 08/15/25 | | | | 16,105,000 | | | | 14,997,781 | |
5.50% | | | 07/15/24 | | | | 6,995,000 | | | | 7,039,069 | |
| | | | | | | | | | | | |
| |
| | | | 233,832,618 | |
| | | | | | | | | | | | |
Real Estate Investment Trust (REIT) — 2.38% | |
| Alexandria Real Estate Equities, Inc. | | | | | |
2.75% | | | 01/15/20 | | | | 26,671,000 | | | | 26,436,885 | |
3.90% | | | 06/15/23 | | | | 50,429,000 | | | | 50,647,610 | |
4.60% | | | 04/01/22 | | | | 35,665,000 | | | | 36,620,110 | |
| American Campus Communities | | | | | |
| Operating Partnership LP | | | | | |
3.35% | | | 10/01/20 | | | | 14,995,000 | | | | 14,923,969 | |
3.63% | | | 11/15/27 | | | | 7,795,000 | | | | 7,362,597 | |
3.75% | | | 04/15/23 | | | | 43,679,000 | | | | 43,168,087 | |
| American Tower Corp. | | | | | |
2.80% | | | 06/01/20 | | | | 15,030,000 | | | | 14,877,986 | |
3.00% | | | 06/15/23 | | | | 54,140,000 | | | | 52,178,686 | |
3.40% | | | 02/15/19 | | | | 22,278,000 | | | | 22,323,123 | |
3.60% | | | 01/15/28 | | | | 8,180,000 | | | | 7,658,165 | |
| AvalonBay Communities, Inc. (GMTN) | | | | | |
3.95% | | | 01/15/21 | | | | 6,620,000 | | | | 6,671,868 | |
| AvalonBay Communities, Inc. (MTN) | | | | | |
| (LIBOR USD 3-Month plus 0.43%) | | | | | |
2.77% | | | 01/15/21 | 2 | | | 66,515,000 | | | | 66,495,031 | |
| Boston Properties LP | | | | | |
2.75% | | | 10/01/26 | | | | 45,114,000 | | | | 40,907,152 | |
3.20% | | | 01/15/25 | | | | 71,105,000 | | | | 67,851,449 | |
5.63% | | | 11/15/20 | | | | 7,914,000 | | | | 8,233,282 | |
5.88% | | | 10/15/19 | | | | 31,891,000 | | | | 32,646,473 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Real Estate Investment Trust (REIT) (continued) | |
| CC Holdings GS V LLC/Crown Castle | | | | | |
| GS III Corp. | | | | | |
3.85% | | | 04/15/23 | | | $ | 14,119,000 | | | $ | 14,040,174 | |
| Crown Castle International Corp. | | | | | |
3.15% | | | 07/15/23 | | | | 60,915,000 | | | | 58,766,619 | |
3.20% | | | 09/01/24 | | | | 29,440,000 | | | | 27,958,345 | |
4.75% | | | 05/15/47 | | | | 5,440,000 | | | | 5,175,836 | |
| Digital Realty Trust LP | | | | | |
5.88% | | | 02/01/20 | | | | 18,197,000 | | | | 18,667,621 | |
| Greystar Student Housing Growth & Income OP LP | | | | | |
4.60% | | | 12/01/24 | | | | 25,148,000 | | | | 25,908,727 | |
| HCP, Inc. | | | | | |
2.63% | | | 02/01/20 | | | | 32,873,000 | | | | 32,590,785 | |
3.15% | | | 08/01/22 | | | | 11,570,000 | | | | 11,273,866 | |
3.75% | | | 02/01/19 | | | | 85,707,000 | | | | 85,884,371 | |
3.88% | | | 08/15/24 | | | | 26,674,000 | | | | 26,097,868 | |
4.00% | | | 12/01/22 | | | | 49,735,000 | | | | 49,839,570 | |
4.20% | | | 03/01/24 | | | | 22,759,000 | | | | 22,718,455 | |
4.25% | | | 11/15/23 | | | | 78,085,000 | | | | 78,351,270 | |
| Healthcare Realty Trust, Inc. | | | | | |
3.75% | | | 04/15/23 | | | | 14,015,000 | | | | 13,722,313 | |
| Healthcare Trust of America Holdings LP | | | | | |
3.75% | | | 07/01/27 | | | | 20,820,000 | | | | 19,641,986 | |
| Host Hotels & Resorts LP | | | | | |
5.25% | | | 03/15/22 | | | | 23,035,000 | | | | 23,822,456 | |
| Kilroy Realty LP | | | | | |
3.45% | | | 12/15/24 | | | | 27,770,000 | | | | 26,562,047 | |
| Liberty Property LP | | | | | |
3.38% | | | 06/15/23 | | | | 9,128,000 | | | | 8,920,703 | |
| Life Storage LP | | | | | |
3.88% | | | 12/15/27 | | | | 6,960,000 | | | | 6,574,186 | |
| MGM Growth Properties Operating Partnership LP/MGP | | | | | |
| Finance Co.-Issuer, Inc. | | | | | |
4.50% | | | 01/15/28 | | | | 5,612,000 | | | | 5,163,601 | |
| Mid-America Apartments LP | | | | | |
4.30% | | | 10/15/23 | | | | 9,636,000 | | | | 9,757,062 | |
| Reckson Operating Partnership LP | | | | | |
7.75% | | | 03/15/20 | | | | 26,913,000 | | | | 28,440,986 | |
| SBA Communications Corp. | | | | | |
4.88% | | | 09/01/24 | | | | 2,494,000 | | | | 2,469,060 | |
| SL Green Operating Partnership LP | | | | | |
3.25% | | | 10/15/22 | | | | 16,935,000 | | | | 16,444,545 | |
| (LIBOR USD 3-Month plus 0.98%) | | | | | |
3.35% | | | 08/16/21 | 2 | | | 19,510,000 | | | | 19,536,028 | |
| SL Green Realty Corp. | | | | | |
4.50% | | | 12/01/22 | | | | 14,495,000 | | | | 14,669,327 | |
| Ventas Realty LP | | | | | |
3.25% | | | 10/15/26 | | | | 11,135,000 | | | | 10,304,084 | |
3.50% | | | 02/01/25 | | | | 24,770,000 | | | | 23,682,640 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| Semi-Annual Report September 2018 / 120 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Real Estate Investment Trust (REIT) (continued) | |
3.75% | | | 05/01/24 | | | $ | 15,995,000 | | | $ | 15,667,486 | |
4.13% | | | 01/15/26 | | | | 22,855,000 | | | | 22,533,288 | |
| Ventas Realty LP/Ventas Capital Corp. | | | | | |
2.70% | | | 04/01/20 | | | | 55,838,000 | | | | 55,369,866 | |
3.25% | | | 08/15/22 | | | | 8,087,000 | | | | 7,934,647 | |
| VEREIT Operating Partnership LP | | | | | |
3.00% | | | 02/06/19 | | | | 42,463,000 | | | | 42,448,202 | |
| WEA Finance LLC/Westfield UK & Europe Finance PLC | | | | | |
2.70% | | | 09/17/19 | 3 | | | 177,642,000 | | | | 177,168,167 | |
3.25% | | | 10/05/20 | 3 | | | 100,965,000 | | | | 100,367,136 | |
| Welltower, Inc. | | | | | |
4.00% | | | 06/01/25 | | | | 29,799,000 | | | | 29,441,572 | |
4.13% | | | 04/01/19 | | | | 74,948,000 | | | | 75,191,169 | |
4.95% | | | 09/01/48 | | | | 13,500,000 | | | | 13,396,798 | |
| | | | | | | | | | | | |
| |
| | | | 1,725,505,335 | |
| | | | | | | | | | | | |
Retail — 0.65% | | | | | |
| Alimentation Couche-Tard, Inc. (Canada) | | | | | |
2.35% | | | 12/13/19 | 1,3 | | | 55,703,000 | | | | 55,180,236 | |
3.55% | | | 07/26/27 | 1,3 | | | 11,115,000 | | | | 10,436,738 | |
| BC ULC/New Red Finance, Inc. (Canada) | | | | | |
4.25% | | | 05/15/24 | 1,3 | | | 12,794,000 | | | | 12,154,300 | |
| Cumberland Farms, Inc. | | | | | |
6.75% | | | 05/01/25 | 3 | | | 4,404,000 | | | | 4,533,367 | |
| Dollar Tree, Inc. | | | | | |
| (LIBOR USD 3-Month plus 0.70%) | | | | | |
3.04% | | | 04/17/20 | 2 | | | 40,895,000 | | | | 40,960,535 | |
| Family Dollar Stores, Inc. | | | | | |
5.00% | | | 02/01/21 | | | | 20,090,000 | | | | 20,680,780 | |
| Rite Aid Corp. | | | | | |
6.13% | | | 04/01/23 | 3 | | | 39,110,000 | | | | 35,247,887 | |
| Walgreens Boots Alliance, Inc. | | | | | |
2.70% | | | 11/18/19 | | | | 76,310,000 | | | | 76,026,405 | |
3.45% | | | 06/01/26 | | | | 45,960,000 | | | | 43,686,117 | |
3.80% | | | 11/18/24 | | | | 12,300,000 | | | | 12,157,523 | |
4.80% | | | 11/18/44 | | | | 15,564,000 | | | | 15,105,018 | |
| Walmart, Inc. | | | | | |
3.55% | | | 06/26/25 | | | | 54,830,000 | | | | 55,151,041 | |
3.70% | | | 06/26/28 | | | | 77,680,000 | | | | 77,704,508 | |
4.05% | | | 06/29/48 | | | | 9,140,000 | | | | 9,237,455 | |
| | | | | | | | | | | | |
| |
| | | | 468,261,910 | |
| | | | | | | | | | | | |
Services — 0.21% | | | | | |
| DP World Crescent, Ltd. (Cayman Islands) | | | | | |
4.85% | | | 09/26/28 | 1,3 | | | 2,524,000 | | | | 2,505,070 | |
| Gartner, Inc. | | | | | |
5.13% | | | 04/01/25 | 3 | | | 1,488,000 | | | | 1,502,002 | |
| IHS Markit Ltd. (Bermuda) | | | | | |
4.00% | | | 03/01/26 | 1,3 | | | 23,253,000 | | | | 22,308,347 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Services (continued) | | | | | |
4.13% | | | 08/01/23 | 1 | | $ | 29,665,000 | | | $ | 29,645,124 | |
4.75% | | | 02/15/25 | 1,3 | | | 20,397,000 | | | | 20,744,361 | |
4.75% | | | 08/01/28 | 1 | | | 5,000,000 | | | | 5,022,900 | |
5.00% | | | 11/01/22 | 1,3 | | | 34,227,000 | | | | 35,411,254 | |
| Matthews International Corp. | | | | | |
5.25% | | | 12/01/25 | 3 | | | 2,279,000 | | | | 2,222,025 | |
| Moody’s Corp. | | | | | |
3.25% | | | 06/07/21 | | | | 6,700,000 | | | | 6,684,801 | |
| Northwestern University | | | | | |
3.69% | | | 12/01/38 | | | | 20,570,000 | | | | 19,891,479 | |
| Service Corp. International/U.S. | | | | | |
4.63% | | | 12/15/27 | | | | 2,428,000 | | | | 2,336,489 | |
| | | | | | | | | | | | |
| |
| | | | 148,273,852 | |
| | | | | | | | | | | | |
Transportation — 0.56% | | | | | |
| America West Airlines Pass-Through Trust, | | | | | |
| Series 1999-1, Class G | | | | | |
7.93% | | | 01/02/19 | | | | 1,120,189 | | | | 1,138,392 | |
| America West Airlines Pass-Through Trust, | | | | | |
| Series 2001-1, Class G | | | | | |
7.10% | | | 04/02/21 | | | | 5,762,107 | | | | 6,053,669 | |
| American Airlines Pass-Through Trust, | | | | | |
| Series 2011-1, Class A | | | | | |
5.25% | | | 01/31/21 | | | | 2,130,253 | | | | 2,202,255 | |
| American Airlines Pass-Through Trust, | | | | | |
| Series 2013-1, Class A | | | | | |
4.00% | | | 07/15/25 | | | | 17,844,649 | | | | 17,679,104 | |
| American Airlines Pass-Through Trust, | | | | | |
| Series 2013-2, Class A | | | | | |
4.95% | | | 01/15/23 | | | | 68,573,754 | | | | 70,140,150 | |
| American Airlines Pass-Through Trust, | | | | | |
| Series 2017-2, Class AA | | | | | |
3.35% | | | 10/15/29 | | | | 19,945,000 | | | | 19,109,305 | |
| Continental Airlines Pass-Through Trust, | | | | | |
| Series 1999-1, Class A | | | | | |
6.55% | | | 02/02/19 | | | | 1,009,035 | | | | 1,021,052 | |
| Continental Airlines Pass-Through Trust, | | | | | |
| Series 1999-2 AMBC, Class C2 | | | | | |
6.24% | | | 03/15/20 | | | | 27,134 | | | | 27,541 | |
| Continental Airlines Pass-Through Trust, | | | | | |
| Series 1999-2, Class A | | | | | |
7.26% | | | 03/15/20 | | | | 2,271,504 | | | | 2,335,333 | |
| Continental Airlines Pass-Through Trust, | | | | | |
| Series 2000-1, Class A1 | | | | | |
8.05% | | | 11/01/20 | | | | 7,910 | | | | 8,257 | |
| Continental Airlines Pass-Through Trust, | | | | | |
| Series 2000-2, Class A1 | | | | | |
7.71% | | | 04/02/21 | | | | 1,599,508 | | | | 1,684,410 | |
| Continental Airlines Pass-Through Trust, | | | | | |
| Series 2007-1, Class A | | | | | |
5.98% | | | 04/19/22 | | | | 31,319,697 | | | | 33,135,613 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| 121 / Semi-Annual Report September 2018 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Transportation (continued) | |
| Continental Airlines Pass-Through Trust, | | | | | |
| Series 2007-1, Class B | | | | | |
6.90% | | | 04/19/22 | | | $ | 672,979 | | | $ | 692,361 | |
| Continental Airlines Pass-Through Trust, | | | | | |
| Series 2009, Class A | | | | | |
7.25% | | | 11/10/19 | | | | 28,836,328 | | | | 29,881,645 | |
| Delta Air Lines Pass-Through Trust, | | | | | |
| Series 2002-1, Class G1 | | | | | |
6.72% | | | 01/02/23 | | | | 37,385,226 | | | | 39,670,436 | |
| Northwest Airlines Pass-Through Trust, | | | | | |
| Series 2001-1, Class A1 | | | | | |
7.04% | | | 04/01/22 | | | | 3,288,876 | | | | 3,566,457 | |
| SMBC Aviation Capital Finance DAC (Ireland) | | | | | |
3.00% | | | 07/15/22 | 1,3 | | | 22,325,000 | | | | 21,461,819 | |
| U.S. Airways Pass-Through Trust, | | | | | |
| Series 2001-1, Class G | | | | | |
7.08% | | | 03/20/21 | | | | 630,930 | | | | 663,970 | |
| U.S. Airways Pass-Through Trust, | | | | | |
| Series 2010-1, Class A | | | | | |
6.25% | | | 04/22/23 | | | | 18,588,349 | | | | 19,884,273 | |
| U.S. Airways Pass-Through Trust, | | | | | |
| Series 2011-1, Class A | | | | | |
7.13% | | | 10/22/23 | | | | 3,453,789 | | | | 3,783,849 | |
| U.S. Airways Pass-Through Trust, | | | | | |
| Series 2012-1, Class A | | | | | |
5.90% | | | 10/01/24 | | | | 43,137,114 | | | | 46,015,783 | |
| U.S. Airways Pass-Through Trust, | | | | | |
| Series 2012-2, Class A | | | | | |
4.63% | | | 06/03/25 | | | | 10,285 | | | | 10,432 | |
| Union Pacific Corp. | | | | | |
3.95% | | | 09/10/28 | | | | 48,890,000 | | | | 49,227,681 | |
| United Airlines Pass-Through Trust, | | | | | |
| Series 2018-1, Class AA | | | | | |
3.50% | | | 03/01/30 | | | | 34,925,000 | | | | 33,768,983 | |
| | | | | | | | | | | | |
| |
| | | | 403,162,770 | |
| | | | | | | | | | | | |
| |
Total Corporates | | | | | |
| (Cost $24,545,743,921) | | | | 24,243,793,159 | |
| | | | | | | | | | | | |
FOREIGN GOVERNMENT OBLIGATIONS — 0.06% | | | | | |
Foreign Government Obligations — 0.06% | | | | | |
| Argentine Republic Government International Bond (Argentina) | | | | | |
6.88% | | | 04/22/21 | 1 | | | 3,650,000 | | | | 3,522,250 | |
| Bahrain Government International Bond, | | | | | |
| Series REGS (Bahrain) | | | | | |
7.00% | | | 10/12/28 | 1 | | | 1,612,000 | | | | 1,612,000 | |
| Colombia Government International Bond (Colombia) | | | | | |
4.00% | | | 02/26/24 | 1 | | | 4,500,000 | | | | 4,503,375 | |
| Egypt Government International Bond (Egypt) | | | | | |
5.58% | | | 02/21/23 | 1,3 | | | 2,294,000 | | | | 2,230,915 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
FOREIGN GOVERNMENT OBLIGATIONS (continued) | |
Foreign Government Obligations
(continued) | |
| Oman Government International Bond | | | | | |
| (Oman) | | | | | |
5.63% | | | 01/17/28 | 1,3 | | $ | 9,150,000 | | | $ | 9,013,592 | |
| Perusahaan Penerbit SBSN Indonesia III | | | | | |
| (Indonesia) | | | | | |
4.15% | | | 03/29/27 | 1 | | | 9,100,000 | | | | 8,861,125 | |
| Qatar Government International Bond | | | | | |
| (Qatar) | | | | | |
4.50% | | | 04/23/28 | 1 | | | 2,800,000 | | | | 2,891,000 | |
| Saudi Government International Bond (Saudi | | | | | |
| Arabia) | | | | | |
4.00% | | | 04/17/25 | 1,3 | | | 6,800,000 | | | | 6,827,200 | |
| Uruguay Government International Bond | | | | | |
| (Uruguay) | | | | | |
4.38% | | | 10/27/27 | 1 | | | 6,400,000 | | | | 6,519,680 | |
| | | | | | | | | | | | |
| |
Total Foreign Government Obligations | | | | | |
| (Cost $45,993,653) | | | | 45,981,137 | |
| | | | | | | | | | | | |
MORTGAGE-BACKED — 40.52%** | | | | | |
Non-Agency Commercial | | | | | |
Mortgage-Backed — 1.68% | | | | | |
| 225 Liberty Street Trust, | | | | | |
| Series 2016-225L, Class A | | | | | |
3.60% | | | 02/10/36 | 3 | | | 63,710,000 | | | | 63,060,872 | |
| Banc of America Merrill Lynch Commercial | | | | | |
| Mortgage Trust, Series 2012-PARK, Class A | | | | | |
2.96% | | | 12/10/30 | 3 | | | 19,773,000 | | | | 19,537,154 | |
| Banc of America Merrill Lynch Commercial | | | | | |
| Mortgage Trust, Series 2018-PARK, Class A | | | | | |
4.09% | | | 08/10/38 | 3,8 | | | 99,295,000 | | | | 101,433,789 | |
| Banc of America Merrill Lynch Trust, Series | | | | | |
| 2011-FSHN, Class A | | | | | |
4.42% | | | 07/11/33 | 3 | | | 7,740,000 | | | | 7,953,113 | |
| Bayview Commercial Asset Trust, | | | | | |
| Series 2004-1, Class A | | | | | |
| (LIBOR USD 1-Month plus 0.54%) | | | | | |
2.76% | | | 04/25/34 | 2,3 | | | 31,233 | | | | 30,987 | |
| Bayview Commercial Asset Trust, | | | | | |
| Series 2004-2, Class A | | | | | |
| (LIBOR USD 1-Month plus 0.43%) | | | | | |
2.65% | | | 08/25/34 | 2,3 | | | 305,206 | | | | 300,128 | |
| BB-UBS Trust, Series 2013-SHOW, Class A | | | | | |
3.43% | | | 11/05/36 | 3 | | | 8,640,000 | | | | 8,457,826 | |
| BENCHMARK Mortgage Trust, | | | | | |
| Series 2018-B1, Class A2 | | | | | |
3.57% | | | 01/15/51 | | | | 580,000 | | | | 583,640 | |
| Capmark Mortgage Securities, Inc., Series | | | | | |
| 1998-C2, Class X (IO) | | | | | |
1.31% | | | 05/15/35 | 8 | | | 3,077,644 | | | | 4,455 | |
| CGRBS Commercial Mortgage Trust, | | | | | |
| Series 2013-VN05, Class A | | | | | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| Semi-Annual Report September 2018 / 122 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Commercial
Mortgage-Backed (continued) | |
3.37% | | | 03/13/35 | 3 | | $ | 42,582,744 | | | $ | 42,284,776 | |
| Citigroup Commercial Mortgage Trust, | | | | | |
| Series 2013-375P, Class A | | | | | |
3.25% | | | 05/10/35 | 3 | | | 5,000 | | | | 4,953 | |
| Commercial Mortgage Trust, | | | | | |
| Series 2013-300P, Class A1 | | | | | |
4.35% | | | 08/10/30 | 3 | | | 14,635,000 | | | | 15,181,298 | |
| Commercial Mortgage Trust, | | | | | |
| Series 2013-CR12, Class A4 | | | | | |
4.05% | | | 10/10/46 | | | | 440,000 | | | | 451,902 | |
| Commercial Mortgage Trust, | | | | | |
| Series 2013-SFS, Class A2 | | | | | |
3.09% | | | 04/12/35 | 3,8 | | | 7,205,000 | | | | 7,034,133 | |
| Commercial Mortgage Trust, | | | | | |
| Series 2014-277P, Class A | | | | | |
3.73% | | | 08/10/49 | 3,8 | | | 15,960,000 | | | | 15,972,848 | |
| Commercial Mortgage Trust, | | | | | |
| Series 2015-3BP, Class A | | | | | |
3.18% | | | 02/10/35 | 3 | | | 16,440,000 | | | | 16,014,658 | |
| Commercial Mortgage Trust, | | | | | |
| Series 2016-787S, Class A | | | | | |
3.55% | | | 02/10/36 | 3 | | | 74,550,000 | | | | 73,421,074 | |
| Core Industrial Trust, Series 2015-CALW, | | | | | |
| Class A | | | | | |
3.04% | | | 02/10/34 | 3 | | | 45,744,931 | | | | 45,328,424 | |
| Core Industrial Trust, Series 2015-TEXW, | | | | | |
| Class A | | | | | |
3.08% | | | 02/10/34 | 3 | | | 3,051,927 | | | | 3,025,705 | |
| DBUBS Mortgage Trust, Series 2011-LC1A, | | | | | |
| Class A2 | | | | | |
4.53% | | | 11/10/46 | 3 | | | 2,863,998 | | | | 2,879,321 | |
| Eleven Madison Mortgage Trust, | | | | | |
| Series 2015-11MD, Class A | | | | | |
3.67% | | | 09/10/35 | 3,8 | | | 1,362,500 | | | | 1,354,346 | |
| GE Business Loan Trust, Series 2007-1A, | | | | | |
| Class A | | | | | |
| (LIBOR USD 1-Month plus 0.17%) | | | | | |
2.33% | | | 04/15/35 | 2,3 | | | 7,979,466 | | | | 7,831,267 | |
| GRACE Mortgage Trust, | | | | | |
| Series 2014-GRCE, Class A | | | | | |
3.37% | | | 06/10/28 | 3 | | | 73,520,000 | | | | 73,589,403 | |
| GS Mortgage Securities Corp. II, | | | | | |
| Series 2013-KING, Class A | | | | | |
2.71% | | | 12/10/27 | 3 | | | 7,416,070 | | | | 7,395,119 | |
| GS Mortgage Securities Trust, | | | | | |
| Series 2010-C2, Class A1 | | | | | |
3.85% | | | 12/10/43 | 3 | | | 3,257,365 | | | | 3,284,365 | |
| GS Mortgage Securities Trust, | | | | | |
| Series 2011-GC5, Class A4 | | | | | |
3.71% | | | 08/10/44 | | | | 87,335,000 | | | | 88,256,114 | |
| GS Mortgage Securities Trust, | | | | | |
| Series 2012-ALOH, Class A | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Commercial
Mortgage-Backed (continued) | |
3.55% | | | 04/10/34 | 3 | | $ | 59,497,000 | | | $ | 59,734,399 | |
| GS Mortgage Securities Trust, | | | | | |
| Series 2012-SHOP, Class A | | | | | |
2.93% | | | 06/05/31 | 3 | | | 60,259,000 | | | | 60,296,517 | |
| Irvine Core Office Trust, Series 2013-IRV, | | | | | |
| Class A1 | | | | | |
2.07% | | | 05/15/48 | 3 | | | 6,895,685 | | | | 6,700,571 | |
| JPMorgan Chase Commercial Mortgage | | | | | |
| Securities Trust, Series 2006-LDP9, | | | | | |
| Class A3S | | | | | |
5.24% | | | 05/15/47 | 3 | | | 1,298,011 | | | | 1,293,593 | |
| JPMorgan Chase Commercial Mortgage | | | | | |
| Securities Trust, Series 2011-C5, | | | | | |
| Class A3 | | | | | |
4.17% | | | 08/15/46 | | | | 38,652,854 | | | | 39,485,570 | |
| JPMorgan Chase Commercial Mortgage | | | | | |
| Securities Trust, Series 2012-HSBC, | | | | | |
| Class A | | | | | |
3.09% | | | 07/05/32 | 3 | | | 41,223,225 | | | | 40,885,953 | |
| Lehman Brothers Small Balance Commercial | | | | | |
| Mortgage Trust, Series 2007-1A, Class 2A3 | | | | | |
5.62% | | | 03/25/37 | 3,8 | | | 2,501,115 | | | | 2,515,845 | |
| Morgan Stanley Bank of America Merrill | | | | | |
| Lynch Trust, Series 2012-C6, Class A3 | | | | | |
2.51% | | | 11/15/45 | | | | 13,876,401 | | | | 13,778,062 | |
| Morgan Stanley Bank of America Merrill | | | | | |
| Lynch Trust, Series 2014-C17, Class A3 | | | | | |
3.53% | | | 08/15/47 | | | | 47,530,000 | | | | 47,661,896 | |
| Morgan Stanley Capital I Trust, | | | | | |
| Series 2013-WLSR, Class A | | | | | |
2.70% | | | 01/11/32 | 3 | | | 3,720,000 | | | | 3,688,095 | |
| Morgan Stanley Capital I Trust, | | | | | |
| Series 2014-CPT, Class A | | | | | |
3.35% | | | 07/13/29 | 3 | | | 975,000 | | | | 975,080 | |
| Morgan Stanley Capital I Trust, | | | | | |
| Series 2014-MP, Class A | | | | | |
3.47% | | | 08/11/33 | 3 | | | 94,742,500 | | | | 95,347,488 | |
| Morgan Stanley Capital I Trust, | | | | | |
| Series 2015-420, Class A | | | | | |
3.73% | | | 10/12/50 | 3 | | | 1,065,000 | | | | 1,056,105 | |
| Queens Center Mortgage Trust, Series | | | | | |
| 2013-QCA, Class A | | | | | |
3.28% | | | 01/11/37 | 3 | | | 15,810,000 | | | | 15,346,857 | |
| RBS Commercial Funding, Inc., Trust, | | | | | |
| Series 2013-GSP, Class A | | | | | |
3.96% | | | 01/13/32 | 3,8 | | | 103,085,000 | | | | 104,227,120 | |
| SFAVE Commercial Mortgage Securities | | | | | |
| Trust, Series 2015-5AVE, Class A1 | | | | | |
3.87% | | | 01/05/43 | 3,8 | | | 20,040,000 | | | | 19,111,120 | |
| VNDO Mortgage Trust, Series 2012-6AVE, | | | | | |
| Class A | | | | | | | | | | | | |
3.00% | | | 11/15/30 | 3 | | | 19,925,000 | | | | 19,627,829 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| 123 / Semi-Annual Report September 2018 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Commercial
Mortgage-Backed (continued) | |
| Wells Fargo Commercial Mortgage Trust, | | | | | |
| Series 2010-C1, Class A2 | | | | | |
4.39% | | | 11/15/43 | 3 | | $ | 900,000 | | | $ | 916,764 | |
| Wells Fargo Commercial Mortgage Trust, | | | | | |
| Series 2013-120B, Class A | | | | | |
2.80% | | | 03/18/28 | 3,8 | | | 30,580,000 | | | | 30,250,592 | |
| WF-RBS Commercial Mortgage Trust, | | | | | |
| Series 2010-C8, Class A3 | | | | | |
3.00% | | | 08/15/45 | | | | 47,205,000 | | | | 46,529,681 | |
| WF-RBS Commercial Mortgage Trust, | | | | | |
| Series 2011-C4, Class A3 | | | | | |
4.39% | | | 06/15/44 | 3 | | | 231,415 | | | | 232,552 | |
| | | | | |
| |
| | | | 1,214,333,359 | |
| | | | | |
Non-Agency Mortgage-Backed — 6.92% | | | | | |
| Aames Mortgage Trust, | | | | | |
| Series 2002-1, Class A3 | | | | | |
| (STEP-reset date 11/25/18) | | | | | |
7.40% | | | 06/25/32 | | | | 48,458 | | | | 48,614 | |
| Accredited Mortgage Loan Trust, | | | | | |
| Series 2007-1, Class A4 | | | | | |
| (LIBOR USD 1-Month plus 0.22%) | | | | | |
2.44% | | | 02/25/37 | 2 | | | 46,525,000 | | | | 45,511,630 | |
| ACE Securities Corp. Home Equity Loan | | | | | |
| Trust, Series 2004-IN1, Class A1 | | | | | |
| (LIBOR USD 1-Month plus 0.64%) | | | | | |
2.86% | | | 05/25/34 | 2 | | | 4,201 | | | | 3,983 | |
| ACE Securities Corp. Home Equity Loan | | | | | |
| Trust, Series 2006-HE3, Class A2C | | | | | |
| (LIBOR USD 1-Month plus 0.15%) | | | | | |
2.37% | | | 06/25/36 | 2 | | | 3,598,471 | | | | 2,930,629 | |
| ACE Securities Corp. Home Equity Loan | | | | | |
| Trust, Series 2007-ASAP2, Class A1 | | | | | |
| (LIBOR USD 1-Month plus 0.19%) | | | | | |
2.41% | | | 06/25/37 | 2 | | | 49,537,452 | | | | 41,558,033 | |
| Adjustable Rate Mortgage Trust, | | | | | |
| Series 2005-10, Class 6A1 | | | | | |
| (LIBOR USD 1-Month plus 0.54%) | | | | | |
2.76% | | | 01/25/36 | 2 | | | 354,190 | | | | 338,605 | |
| Adjustable Rate Mortgage Trust, | | | | | |
| Series 2005-5, Class 6A21 | | | | | |
| (LIBOR USD 1-Month plus 0.23%) | | | | | |
2.45% | | | 09/25/35 | 2 | | | 705,428 | | | | 706,206 | |
| Adjustable Rate Mortgage Trust, | | | | | |
| Series 2006-3, Class 4A32 | | | | | |
| (LIBOR USD 1-Month plus 0.20%) | | | | | |
2.42% | | | 08/25/36 | 2 | | | 13,693,200 | | | | 13,540,012 | |
| American Home Mortgage Assets Trust, | | | | | |
| Series 2006-3, Class 2A12 | | | | | |
| (Federal Reserve US 12-Month Cumulative Average plus 1.15%) | | | | | |
2.99% | | | 10/25/46 | 2 | | | 52,615,908 | | | | 48,829,667 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed
(continued) | | | | | |
| American Home Mortgage Assets Trust, | | | | | |
| Series 2007-2, Class A1 | | | | | |
| (LIBOR USD 1-Month plus 0.13%) | | | | | |
2.34% | | | 03/25/47 | 2 | | $ | 17,407,069 | | | $ | 16,295,396 | |
| American Home Mortgage Investment Trust, | | | | | |
| Series 2004-3, Class 2A | | | | | |
| (LIBOR USD 6-Month plus 1.50%) | | | | | |
4.03% | | | 10/25/34 | 2 | | | 7,178,352 | | | | 7,101,394 | |
| Ameriquest Mortgage Securities Trust, | | | | | |
| Series 2006-R1, Class M1 | | | | | |
| (LIBOR USD 1-Month plus 0.39%) | | | | | |
2.61% | | | 03/25/36 | 2 | | | 20,041,967 | | | | 20,504,946 | |
| Ameriquest Mortgage Securities, Inc., | | | | | |
| Asset-Backed Pass-Through Certificates, | | | | | |
| Series 2004-R10, Class A1 | | | | | |
| (LIBOR USD 1-Month plus 0.66%) | | | | | |
2.88% | | | 11/25/34 | 2 | | | 32,421,708 | | | | 32,364,252 | |
| Ameriquest Mortgage Securities, Inc., | | | | | |
| Asset-Backed Pass-Through Certificates, | | | | | |
| Series 2005-R11, Class M1 | | | | | |
| (LIBOR USD 1-Month plus 0.45%) | | | | | |
2.67% | | | 01/25/36 | 2 | | | 19,225,000 | | | | 19,296,967 | |
| Amresco Residential Securities Corp. | | | | | |
| Mortgage Loan Trust, Series 1998-1, | | | | | |
Class A5 (STEP-reset date 11/25/18) | | | | | |
7.32% | | | 10/25/27 | | | | 51,781 | | | | 53,387 | |
| Argent Securities, Inc., Asset-Backed | | | | | |
| Pass-Through Certificates Series 2005-W3, | | | | | |
| Class M1 | | | | | |
| (LIBOR USD 1-Month plus 0.44%) | | | | | |
2.66% | | | 11/25/35 | 2 | | | 19,840,000 | | | | 19,508,144 | |
| Argent Securities, Inc., Asset-Backed | | | | | |
| Pass-Through Certificates, Series 2004-W6, | | | | | |
| Class AV2 | | | | | |
| (LIBOR USD 1-Month plus 0.90%) | | | | | |
3.12% | | | 05/25/34 | 2 | | | 13,828,146 | | | | 13,822,958 | |
| Argent Securities, Inc., Asset-Backed | | | | | |
| Pass-Through Certificates, Series 2005-W2, | | | | | |
| Class A1 | | | | | |
| (LIBOR USD 1-Month plus 0.26%) | | | | | |
2.48% | | | 10/25/35 | 2 | | | 17,589,203 | | | | 17,584,591 | |
| Argent Securities, Inc., Asset-Backed | | | | | |
| Pass-Through Certificates, Series 2005-W3, | | | | | |
| Class A1 | | | | | |
| (LIBOR USD 1-Month plus 0.26%) | | | | | |
2.48% | | | 11/25/35 | 2 | | | 36,958,483 | | | | 37,035,953 | |
| Asset-Backed Funding Certificates, | | | | | |
| Series 2005-HE1, Class M1 | | | | | |
| (LIBOR USD 1-Month plus 0.63%) | | | | | |
2.85% | | | 03/25/35 | 2 | | | 9,964,163 | | | | 9,986,310 | |
| Asset-Backed Funding Certificates, | | | | | |
| Series 2006-OPT3, Class A3B | | | | | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| Semi-Annual Report September 2018 / 124 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
| (LIBOR USD 1-Month plus 0.16%) | | | | | |
2.38% | | | 11/25/36 | 2 | | $ | 23,754,616 | | | $ | 14,751,467 | |
| Asset-Backed Funding Certificates, Series 2007-WMC1, Class A2B | | | | | |
| (LIBOR USD 1-Month plus 1.00%) | | | | | |
3.22% | | | 06/25/37 | 2 | | | 25,038,857 | | | | 21,652,970 | |
| Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2006-HE5, Class A1 | | | | | |
| (LIBOR USD 1-Month plus 0.13%) | | | | | |
2.34% | | | 07/25/36 | 2 | | | 18,925,422 | | | | 18,833,622 | |
| Asset-Backed Securities Corp. Home Equity Loan Trust, Series 2006-HE6, Class A5 | | | | | |
| (LIBOR USD 1-Month plus 0.23%) | | | | | |
2.45% | | | 11/25/36 | 2 | | | 18,411,000 | | | | 17,494,418 | |
| Banc of America Funding Trust, Series 2003-2, Class 1A1 | | | | | |
6.50% | | | 06/25/32 | | | | 20,109 | | | | 21,281 | |
| Banc of America Funding Trust, Series 2006-D, Class 3A1 | | | | | |
3.91% | | | 05/20/36 | 8 | | | 6,476,819 | | | | 6,264,826 | |
| Banc of America Funding Trust, Series 2006-E, Class 2A1 | | | | | |
4.26% | | | 06/20/36 | 8 | | | 91,638 | | | | 89,947 | |
| Banc of America Funding Trust, Series 2006-G, Class 2A1 | | | | | |
| (LIBOR USD 1-Month plus 0.22%) | | | | | |
2.39% | | | 07/20/36 | 2 | | | 7,794,904 | | | | 7,779,898 | |
| Banc of America Funding Trust, Series 2006-H, Class 3A1 | | | | | |
4.25% | | | 09/20/46 | 8 | | | 1,711,381 | | | | 1,599,350 | |
| Banc of America Funding Trust, Series 2014-R8, Class A1 | | | | | |
| (LIBOR USD 1-Month plus 0.24%) | | | | | |
2.46% | | | 06/26/36 | 2,3 | | | 8,215,492 | | | | 8,183,797 | |
| Banc of America Funding Trust, Series 2015-R2, Class 1A1 | | | | | |
| (LIBOR USD 1-Month plus 0.14%) | | | | | |
2.36% | | | 08/27/36 | 2,3 | | | 33,086,438 | | | | 32,489,664 | |
| Banc of America Funding Trust, Series 2015-R2, Class 3A1 | | | | | |
| (LIBOR USD 1-Month plus 0.26%) | | | | | |
2.48% | | | 04/29/37 | 2,3 | | | 17,447,045 | | | | 17,291,278 | |
| Banc of America Funding Trust, Series 2015-R2, Class 7A1 | | | | | |
| (LIBOR USD 1-Month plus 0.28%) | | | | | |
2.50% | | | 09/29/36 | 2,3 | | | 13,690,001 | | | | 13,657,180 | |
| Banc of America Funding Trust, Series 2015-R2, Class 9A1 | | | | | |
| (LIBOR USD 1-Month plus 0.22%) | | | | | |
2.43% | | | 03/27/36 | 2,3 | | | 7,886,965 | | | | 7,777,777 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
| Banc of America Funding Trust, Series 2015-R5, Class 1A1 | | | | | |
| (LIBOR USD 1-Month plus 0.13%) | | | | | |
2.35% | | | 10/26/36 | 2,3 | | $ | 46,649,937 | | | $ | 46,016,034 | |
| Banc of America Funding Trust, Series 2015-R5, Class 1A2 | | | | | |
| (LIBOR USD 1-Month plus 0.13%) | | | | | |
2.35% | | | 10/26/36 | 2,3 | | | 42,536,000 | | | | 40,729,441 | |
| Banc of America Funding Trust, Series 2016-R1, Class A1 | | | | | |
2.50% | | | 03/25/40 | 3,8 | | | 38,084,361 | | | | 37,069,900 | |
Banc of America Mortgage Securities, Inc.,
Series 2004-F, Class 1A1 | | | | | |
4.49% | | | 07/25/34 | 8 | | | 52,170 | | | | 53,503 | |
| Banc of America Mortgage Securities, Inc., Series 2005-C, Class 2A2 | | | | | |
4.03% | | | 04/25/35 | 8 | | | 510,201 | | | | 491,048 | |
Banc of America Mortgage Securities, Inc.,
Series 2006-2, Class A2 | | | | | |
| 0.00 X LIBOR USD 1-Month plus 6.00%, 6.00% Cap) | | | | | |
6.00% | | | 07/25/46 | 2 | | | 203,627 | | | | 193,950 | |
Banc of America Mortgage Securities, Inc.,
Series 2007-1, Class 1A24 | | | | | |
6.00% | | | 03/25/37 | | | | 892,922 | | | | 845,859 | |
| Banc of America Mortgage Securities, Inc., Series 2007-3, Class 1A1 | | | | | |
6.00% | | | 09/25/37 | | | | 515,203 | | | | 499,619 | |
| BCAP LLC Trust, Series 2007-AA2, Class 2A5 | | | | | |
6.00% | | | 04/25/37 | | | | 321,839 | | | | 267,603 | |
| BCAP LLC Trust, Series 2007-AA5, Class A1 | | | | | |
| (LIBOR USD 1-Month plus 0.65%) | | | | | |
2.87% | | | 09/25/47 | 2 | | | 29,703,427 | | | | 28,124,001 | |
| BCAP LLC Trust, Series 2009-RR10, Class 7A1 | | | | | |
| (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.30%) | | | | | |
4.77% | | | 10/26/35 | 2,3 | | | 496,627 | | | | 497,644 | |
| BCAP LLC Trust, Series 2011-RR3, Class 5A3 | | | | | |
3.92% | | | 11/27/37 | 3,8 | | | 2,629,953 | | | | 2,632,475 | |
| BCAP LLC Trust, Series 2015-RR2, Class 26A1 | | | | | |
3.96% | | | 03/28/36 | 3,8 | | | 5,877,423 | | | | 5,933,959 | |
Bear Stearns ALT-A Trust, Series 2005-4,
Class 22A2 | | | | | |
4.01% | | | 05/25/35 | 8 | | | 22,759 | | | | 21,447 | |
Bear Stearns ALT-A Trust, Series 2005-7,
Class 11A1 | | | | | |
| (LIBOR USD 1-Month plus 0.54%) | | | | | |
2.76% | | | 08/25/35 | 2 | | | 458,179 | | | | 459,022 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| 125 / Semi-Annual Report September 2018 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
| Bear Stearns ALT-A Trust, Series 2006-4, Class 32A1 | | | | | |
3.98% | | | 07/25/36 | 8 | | $ | 2,273,947 | | | $ | 1,979,866 | |
Bear Stearns ARM Trust, Series 2004-1,
Class 13A2 | | | | | |
3.89% | | | 04/25/34 | 8 | | | 8,974 | | | | 9,038 | |
Bear Stearns ARM Trust, Series 2004-10,
Class 14A1 | | | | | |
3.64% | | | 01/25/35 | 8 | | | 3,460,453 | | | | 3,439,959 | |
Bear Stearns ARM Trust, Series 2006-4,
Class 2A1 | | | | | |
3.87% | | | 10/25/36 | 8 | | | 744,676 | | | | 711,860 | |
| Bear Stearns Asset-Backed Securities I Trust, Series 2005-AC5, Class 2A3 | | | | | |
| (LIBOR USD 1-Month plus 0.25%) | | | | | |
2.47% | | | 08/25/20 | 2 | | | 1,698,497 | | | | 1,170,561 | |
| Bear Stearns Asset-Backed Securities I Trust, Series 2006-AC2, Class 21A3 | | | | | |
6.00% | | | 03/25/36 | | | | 953,092 | | | | 1,062,602 | |
| Bear Stearns Asset-Backed Securities I Trust, Series 2006-HE9, Class 3A | | | | | |
| (LIBOR USD 1-Month plus 0.14%) | | | | | |
2.36% | | | 11/25/36 | 2 | | | 10,010,741 | | | | 9,208,593 | |
| Bear Stearns Asset-Backed Securities Trust, Series 2003-AC7, Class A1 (STEP-reset date 11/25/18) | | | | | |
5.50% | | | 01/25/34 | | | | 757,570 | | | | 762,957 | |
| Bear Stearns Asset-Backed Securities Trust, Series 2003-AC7, Class A2 (STEP-reset date 11/25/18) | | | | | |
5.75% | | | 01/25/34 | | | | 683,000 | | | | 688,893 | |
Bear Stearns Mortgage Funding Trust,
Series 2006-AR3, Class 1A1 | | | | | |
| (LIBOR USD 1-Month plus 0.18%) | | | | | |
2.40% | | | 10/25/36 | 2 | | | 2,580,195 | | | | 2,419,850 | |
Bear Stearns Mortgage Funding Trust,
Series 2007-AR5, Class 1A1A | | | | | |
| (LIBOR USD 1-Month plus 0.17%) | | | | | |
2.39% | | | 06/25/47 | 2 | | | 647,328 | | | | 612,327 | |
| Bombardier Capital Mortgage Securitization Corp., Series 2001-A, Class A | | | | | |
6.81% | | | 12/15/30 | 8 | | | 1,132,729 | | | | 1,137,467 | |
| Carrington Mortgage Loan Trust, Series 2005-NC5, Class M1 | | | | | |
| (LIBOR USD 1-Month plus 0.48%) | | | | | |
2.70% | | | 10/25/35 | 2 | | | 724,824 | | | | 727,112 | |
| Carrington Mortgage Loan Trust, Series 2006-NC1, Class A4 | | | | | |
| (LIBOR USD 1-Month plus 0.31%) | | | | | |
2.53% | | | 01/25/36 | 2 | | | 75,435,000 | | | | 74,899,223 | |
Centex Home Equity Loan Trust,
Series 2006-A, Class AV4 | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
| (LIBOR USD 1-Month plus 0.25%) | | | | | |
2.47% | | | 06/25/36 | 2 | | $ | 11,869,808 | | | $ | 11,903,697 | |
Chase Funding Trust,
Series 2003-5, Class 2A2 | | | | | |
| (LIBOR USD 1-Month plus 0.60%) | | | | | |
2.82% | | | 07/25/33 | 2 | | | 3,059 | | | | 2,945 | |
Chase Funding Trust,
Series 2004-2, Class 2A2 | | | | | |
| (LIBOR USD 1-Month plus 0.50%) | | | | | |
2.72% | | | 02/26/35 | 2 | | | 5,668 | | | | 5,078 | |
Chase Mortgage Finance Trust,
Series 2006-A1, Class 1A2 | | | | | |
4.11% | | | 09/25/36 | 8 | | | 1,013,288 | | | | 952,149 | |
| Chase Mortgage Finance Trust, Series 2006-S3, Class 2A1 | | | | | |
5.50% | | | 11/25/21 | | | | 1,908,896 | | | | 1,415,999 | |
| Chase Mortgage Finance Trust, Series 2007-A2, Class 2A3 | | | | | |
4.12% | | | 07/25/37 | 8 | | | 2,733,836 | | | | 2,796,745 | |
| Chaseflex Trust, Series 2005-2, Class 4A2 | | | | | |
5.50% | | | 05/25/20 | | | | 1,236,752 | | | | 1,112,759 | |
| Chaseflex Trust, Series 2006-2, Class A2B | | | | | |
| (LIBOR USD 1-Month plus 0.20%) | | | | | |
2.42% | | | 09/25/36 | 2 | | | 9,185,352 | | | | 8,424,704 | |
| CIM Trust, Series 2015-4AG, Class A1 | | | | | |
| (LIBOR USD 1-Month plus 2.00%) | | | | | |
4.10% | | | 10/25/57 | 2,3 | | | 47,021,004 | | | | 47,798,867 | |
| CIM Trust, Series 2016-4, Class A1 | | | | | |
| (LIBOR USD 1-Month plus 2.00%) | | | | | |
4.10% | | | 10/25/57 | 2,3 | | | 284,070,286 | | | | 294,778,713 | |
| CIM Trust, Series 2017-5, Class A1 | | | | | |
2.30% | | | 05/25/57 | 3,8 | | | 14,671,141 | | | | 14,504,860 | |
| CIM Trust, Series 2017-8, Class A1 | | | | | |
3.00% | | | 12/25/65 | 3,8 | | | 141,485,109 | | | | 139,277,361 | |
| CIM Trust, Series 2018-R1, Class A1 | | | | | |
3.65% | | | 05/01/55 | 3 | | | 122,898,656 | | | | 123,260,089 | |
| CIM Trust, Series 2018-R2, Class A1 | | | | | |
3.69% | | | 08/25/57 | 3,8 | | | 83,749,206 | | | | 83,972,314 | |
| CIM Trust, Series 2018-R4, Class A1 | | | | | |
4.07% | | | 12/26/57 | 3,8 | | | 66,263,870 | | | | 66,217,697 | |
| CIM Trust, Series 2018-R5, Class A1 | | | | | |
3.75% | | | 07/25/58 | 3,8 | | | 171,444,299 | | | | 170,230,730 | |
CIT Mortgage Loan Trust, Series 2007-1,
Class 1A | | | | | |
| (LIBOR USD 1-Month plus 1.35%) | | | | | |
3.57% | | | 10/25/37 | 2,3 | | | 69,318,539 | | | | 70,122,315 | |
Citicorp Mortgage Securities, Inc.,
Series 2005-1, Class 1A12 | | | | | |
5.00% | | | 02/25/35 | | | | 273,169 | | | | 278,559 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| Semi-Annual Report September 2018 / 126 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
Citicorp Residential Mortgage Trust,
Series 2006-2, Class A5 | | | | | |
| (STEP-reset date 11/25/18) | | | | | |
5.45% | | | 09/25/36 | | | $ | 494,588 | | | $ | 508,118 | |
| Citicorp Residential Mortgage Trust, Series 2007-1, Class A5 | | | | | |
| (STEP-reset date 11/25/18) | | | | | |
5.39% | | | 03/25/37 | | | | 650,000 | | | | 680,181 | |
Citigroup Mortgage Loan Trust, Inc.,
Series 2004-HYB1, Class A41 | | | | | |
3.34% | | | 02/25/34 | 8 | | | 131,370 | | | | 130,355 | |
Citigroup Mortgage Loan Trust, Inc.,
Series 2004-RR2, Class A2 | | | | | |
4.16% | | | 05/25/34 | 3,8 | | | 2,420,305 | | | | 2,480,580 | |
Citigroup Mortgage Loan Trust, Inc.,
Series 2005-5, Class 3A2A | | | | | |
4.00% | | | 10/25/35 | 8 | | | 800,825 | | | | 619,639 | |
Citigroup Mortgage Loan Trust, Inc.,
Series 2005-9, Class 1A1 | | | | | |
| (LIBOR USD 1-Month plus 0.26%) | | | | | |
2.48% | | | 11/25/35 | 2 | | | 201,156 | | | | 163,574 | |
Citigroup Mortgage Loan Trust, Inc.,
Series 2006-WFH2, Class A2A | | | | | |
| (LIBOR USD 1-Month plus 0.15%) | | | | | |
2.37% | | | 08/25/36 | 2 | | | 1,018,320 | | | | 1,020,507 | |
Citigroup Mortgage Loan Trust, Inc.,
Series 2007-WFH1, Class A4 | | | | | |
| (LIBOR USD 1-Month plus 0.20%) | | | | | |
2.42% | | | 01/25/37 | 2 | | | 64,990 | | | | 65,195 | |
Citigroup Mortgage Loan Trust, Inc.,
Series 2007-WFH3, Class A3 | | | | | |
| (LIBOR USD 1-Month plus 0.25%) | | | | | |
2.47% | | | 06/25/37 | 2 | | | 783,510 | | | | 781,200 | |
| Citigroup Mortgage Loan Trust, Series 2006-HE1, Class M2 | | | | | |
| (LIBOR USD 1-Month plus 0.51%) | | | | | |
2.73% | | | 01/25/36 | 2 | | | 3,851,941 | | | | 3,863,087 | |
| Citigroup Mortgage Loan Trust, Series 2006-AR2, Class 1A1 | | | | | |
3.92% | | | 03/25/36 | 8 | | | 17,592,176 | | | | 17,084,901 | |
| Citigroup Mortgage Loan Trust, Series 2006-AR3, Class 1A2A | | | | | |
4.05% | | | 06/25/36 | 8 | | | 5,205,008 | | | | 5,016,616 | |
| Citigroup Mortgage Loan Trust, Series 2006-HE2, Class M1 | | | | | |
| (LIBOR USD 1-Month plus 0.29%) | | | | | |
2.51% | | | 08/25/36 | 2 | | | 305,000 | | | | 307,692 | |
| Citigroup Mortgage Loan Trust, Series 2006-WF2, Class A1 | | | | | |
| (STEP-reset date 11/25/18) | | | | | |
6.75% | | | 05/25/36 | | | | 48,196,272 | | | | 36,807,372 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
| Citigroup Mortgage Loan Trust, Series 2007-6, Class 1A4A | | | | | |
2.97% | | | 03/25/37 | 8 | | $ | 547,673 | | | $ | 464,495 | |
| Citigroup Mortgage Loan Trust, Series 2010-7, Class 2A1 | | | | | |
3.84% | | | 02/25/35 | 3,8 | | | 67,260 | | | | 67,987 | |
| Citigroup Mortgage Loan Trust, Series 2012-3, Class 4A1 | | | | | |
3.88% | | | 11/25/36 | 3,8 | | | 628,075 | | | | 629,606 | |
| Citigroup Mortgage Loan Trust, Series 2014-5, Class 2A2 | | | | | |
| (LIBOR USD 1-Month plus 1.75%) | | | | | |
3.70% | | | 02/20/36 | 2,3 | | | 17,178,777 | | | | 16,198,670 | |
| Citigroup Mortgage Loan Trust, Series 2014-6, Class 3A2 | | | | | |
4.23% | | | 11/25/35 | 3,8 | | | 2,645,275 | | | | 2,655,882 | |
| Citigroup Mortgage Loan Trust, Series 2015-2, Class 1A1 | | | | | |
| (LIBOR USD 1-Month plus 0.20%) | | | | | |
2.26% | | | 06/25/47 | 2,3 | | | 18,140,508 | | | | 18,172,553 | |
| Citigroup Mortgage Loan Trust, Series 2015-2, Class 4A1 | | | | | |
| (LIBOR USD 1-Month plus 0.70%) | | | | | |
2.45% | | | 03/25/47 | 2,3 | | | 19,239,497 | | | | 18,612,563 | |
| Citigroup Mortgage Loan Trust, Series 2015-3, Class 1A1 | | | | | |
| (LIBOR USD 1-Month plus 0.27%) | | | | | |
2.60% | | | 03/25/36 | 2,3 | | | 8,204,484 | | | | 8,126,762 | |
| Collateralized Mortgage Obligation Trust, Series 57, Class D | | | | | |
9.90% | | | 02/01/19 | | | | 10 | | | | 10 | |
Conseco Finance Corp., Series 1996-7,
Class M1 | | | | | |
7.70% | | | 09/15/26 | 8 | | | 4,909,064 | | | | 5,280,286 | |
| Conseco Finance Corp., Series 1998-2, Class A5 | | | | | |
6.24% | | | 12/01/28 | | | | 23,328 | | | | 23,842 | |
| Conseco Finance Corp., Series 1998-3, Class A6 | | | | | |
6.76% | | | 03/01/30 | 8 | | | 2,101,004 | | | | 2,207,958 | |
| Conseco Finance Corp., Series 1998-6, Class A8 | | | | | |
6.66% | | | 06/01/30 | 8 | | | 2,734,117 | | | | 2,870,756 | |
| Conseco Finance Home Equity Loan Trust, Series 2002-C, Class BF2 | | | | | |
8.00% | | | 06/15/32 | 3,8 | | | 232,044 | | | | 241,584 | |
Conseco Finance Securitizations Corp.,
Series 2001-4, Class A4 | | | | | |
7.36% | | | 08/01/32 | 8 | | | 1,148,220 | | | | 1,178,193 | |
| CountryPlace Manufactured Housing Contract Trust, Series 2007-1, Class A4 | | | | | |
5.85% | | | 07/15/37 | 3,8 | | | 7,267,403 | | | | 7,384,917 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| 127 / Semi-Annual Report September 2018 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
Countrywide Alternative Loan Trust,
Series 2004-J6, Class 2A1 | | | | | |
6.50% | | | 11/25/31 | | | $ | 11,070 | | | $ | 11,592 | |
Countrywide Alternative Loan Trust,
Series 2005-38, Class A1 | | | | | |
| (Federal Reserve US 12-Month Cumulative Average plus 1.50%) | | | | | |
3.34% | | | 09/25/35 | 2 | | | 660,477 | | | | 673,358 | |
Countrywide Alternative Loan Trust,
Series 2005-76, Class 2A1 | | | | | |
| (Federal Reserve US 12-Month Cumulative Average plus 1.00%) | | | | | |
2.84% | | | 02/25/36 | 2 | | | 56,772,718 | | | | 54,639,550 | |
Countrywide Alternative Loan Trust,
Series 2005-84, Class 1A1 | | | | | |
3.40% | | | 02/25/36 | 8 | | | 75,723 | | | | 61,830 | |
Countrywide Alternative Loan Trust,
Series 2006-24CB, Class A19 | | | | | |
| (LIBOR USD 1-Month plus 0.50%) | | | | | |
2.72% | | | 08/01/36 | 2 | | | 1,123,268 | | | | 820,703 | |
Countrywide Alternative Loan Trust,
Series 2006-HY13, Class 4A1 | | | | | |
3.72% | | | 02/25/37 | 8 | | | 2,071,438 | | | | 2,021,926 | |
Countrywide Alternative Loan Trust,
Series 2006-OC5, Class 2A2A | | | | | |
| (LIBOR USD 1-Month plus 0.17%) | | | | | |
2.39% | | | 06/25/46 | 2 | | | 599,965 | | | | 612,166 | |
Countrywide Alternative Loan Trust,
Series 2007-J1, Class 2A1 | | | | | |
| (LIBOR USD 1-Month plus 0.20%) | | | | | |
2.42% | | | 03/25/37 | 2 | | | 687,544 | | | | 285,681 | |
Countrywide Asset-Backed Certificates,
Series 2005-11, Class AF4 | | | | | |
4.44% | | | 03/25/34 | 8 | | | 6,595,622 | | | | 6,649,768 | |
Countrywide Asset-Backed Certificates,
Series 2005-13, Class AF4 | | | | | |
4.59% | | | 04/25/36 | 8 | | | 261,007 | | | | 237,714 | |
Countrywide Asset-Backed Certificates,
Series 2005-AB2, Class 1A1 | | | | | |
| (LIBOR USD 1-Month plus 0.46%) | | | | | |
2.68% | | | 11/25/35 | 2 | | | 20,073,599 | | | | 19,827,559 | |
Countrywide Asset-Backed Certificates,
Series 2007-13, Class 2A2 | | | | | |
| (LIBOR USD 1-Month plus 0.80%) | | | | | |
3.02% | | | 10/25/47 | 2 | | | 12,879,289 | | | | 12,779,581 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, Series 2001-HYB1, Class 1A1 | | | | | |
3.81% | | | 06/19/31 | 8 | | | 10,739 | | | | 11,132 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, Series 2003-J8, Class 1A4 | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
5.25% | | | 09/25/23 | | | $ | 77,006 | | | $ | 78,026 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-14, Class 4A1 | | | | | |
3.89% | | | 08/25/34 | 8 | | | 1,122,248 | | | | 1,097,516 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-25, Class 1A1 | | | | | |
| (LIBOR USD 1-Month plus 0.66%) | | | | | |
2.88% | | | 02/25/35 | 2 | | | 134,315 | | | | 138,652 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-HYB3, Class 1A | | | | | |
4.13% | | | 06/20/34 | 8 | | | 28,819 | | | | 29,320 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-HYB4, Class 2A1 | | | | | |
4.18% | | | 09/20/34 | 8 | | | 1,260,119 | | | | 1,233,030 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-HYB7, Class 3A | | | | | |
4.47% | | | 11/20/34 | 8 | | | 315,218 | | | | 321,155 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-11, Class 1A2 | | | | | |
4.06% | | | 04/25/35 | 8 | | | 985,173 | | | | 954,975 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-31, Class 2A3 | | | | | |
3.32% | | | 01/25/36 | 8 | | | 261,043 | | | | 256,603 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-9, Class 1A1 | | | | | |
| (LIBOR USD 1-Month plus 0.60%) | | | | | |
2.82% | | | 05/25/35 | 2 | | | 4,556,204 | | | | 4,296,178 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, Series 2007-HY5, Class 1A1 | | | | | |
4.51% | | | 09/25/47 | 8 | | | 1,219,618 | | | | 1,190,670 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, Series 2007-HYB1, Class 1A1 | | | | | |
3.45% | | | 03/25/37 | 8 | | | 1,505,801 | | | | 1,270,753 | |
| Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR20, Class 2A4 | | | | | |
4.20% | | | 08/25/33 | 8 | | | 20,525 | | | | 20,849 | |
| Credit Suisse First Boston Mortgage Securities Corp., Series 2005-6, Class 8A1 | | | | | |
4.50% | | | 07/25/20 | | | | 7,337 | | | | 7,280 | |
Credit Suisse First Boston Mortgage-Backed Pass-Through Certificates, Series 2004-1,
Class 2A1 | | | | | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| Semi-Annual Report September 2018 / 128 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
6.50% | | | 02/25/34 | | | $ | 35,492 | | | $ | 37,107 | |
| Credit Suisse First Boston Mortgage-Backed Pass-Through Certificates, Series 2004-AR5, Class 6A1 | | | | | |
4.11% | | | 06/25/34 | 8 | | | 188,182 | | | | 192,654 | |
| Credit Suisse Mortgage Capital, Mortgage-Backed Trust, Series 2006-2, Class 5A1 | | | | | |
| (LIBOR USD 1-Month plus 0.70%) | | | | | |
2.92% | | | 03/25/36 | 2 | | | 4,151,578 | | | | 2,296,159 | |
| Credit Suisse Mortgage Capital, Mortgage-Backed Trust, Series 2007-2, Class 3A4 | | | | | |
5.50% | | | 03/25/37 | | | | 2,182,196 | | | | 1,876,690 | |
| Credit Suisse Mortgage Capital, Series 2009-14R, Class 2A1 | | | | | |
5.00% | | | 06/26/37 | 3 | | | 674,547 | | | | 677,534 | |
| Credit Suisse Mortgage Capital, Series 2010-17R, Class 1A1 | | | | | |
4.15% | | | 06/26/36 | 3,8 | | | 305,771 | | | | 307,809 | |
| Credit Suisse Mortgage Capital, Series 2011-16R, Class 5A1 | | | | | |
2.72% | | | 09/27/35 | 3,8 | | | 52,460 | | | | 52,352 | |
| Credit Suisse Mortgage Capital, Series 2014-10R, Class 3A1 | | | | | |
| (LIBOR USD 1-Month plus 2.75%) | | | | | |
4.97% | | | 04/27/36 | 2,3 | | | 2,628,952 | | | | 2,679,675 | |
| Credit Suisse Mortgage Capital, Series 2014-11R, Class 10A1 | | | | | |
| (LIBOR USD 1-Month plus 0.22%) | | | | | |
2.28% | | | 05/27/37 | 2,3 | | | 3,477,998 | | | | 3,475,295 | |
| Credit Suisse Mortgage Capital, Series 2014-12R, Class 1A1 | | | | | |
| (LIBOR USD 1-Month plus 1.75%) | | | | | |
3.85% | | | 08/27/36 | 2,3 | | | 11,402,807 | | | | 11,538,419 | |
| Credit Suisse Mortgage Capital, Series 2014-7R, Class 7A1 | | | | | |
2.21% | | | 08/27/36 | 3,8 | | | 1,978,318 | | | | 1,984,865 | |
| Credit Suisse Mortgage Capital, Series 2015-1R, Class 5A1 | | | | | |
4.29% | | | 09/27/35 | 3,8 | | | 6,694,399 | | | | 6,730,259 | |
| Credit Suisse Mortgage Capital, Series 2015-2R, Class 4A1 | | | | | |
2.26% | | | 06/27/47 | 3,8 | | | 22,512,122 | | | | 22,326,604 | |
| Credit Suisse Mortgage Capital, Series 2015-6R, Class 2A1 | | | | | |
| (LIBOR USD 1-Month plus 0.20%) | | | | | |
2.26% | | | 11/27/46 | 2,3 | | | 11,587,156 | | | | 11,222,167 | |
| Credit-Based Asset Servicing and Securitization LLC, Mortgage Loan Trust, Series 2007-CB2, | | | | | |
| Class A2C (STEP-reset date 11/25/18) | | | | | |
4.10% | | | 02/25/37 | | | | 38,436,970 | | | | 30,566,016 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
| Credit-Based Asset Servicing and Securitization LLC, Mortgage Loan Trust, Series 2007-CB2, | | | | | |
| Class A2D (STEP-reset date 11/25/18) | | | | | |
4.10% | | | 02/25/37 | | | $ | 28,141,585 | | | $ | 22,373,410 | |
| Credit-Based Asset Servicing and Securitization LLC, Mortgage Loan Trust, Series 2007-CB2, | | | | | |
| Class A2E (STEP-reset date 11/25/18) | | | | | |
4.10% | | | 02/25/37 | | | | 5,117,503 | | | | 4,069,333 | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2003-CB1, | | | | | |
| Class AF (STEP-reset date 11/25/18) | | | | | |
3.95% | | | 01/25/33 | | | | 15,548 | | | | 15,672 | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2003-CB4, Class M1 | | | | | |
| (LIBOR USD 1-Month plus 1.04%) | | | | | |
3.25% | | | 03/25/33 | 2 | | | 3,634,124 | | | | 3,633,696 | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2003-CB5, Class M1 | | | | | |
| (LIBOR USD 1-Month plus 1.02%) | | | | | |
3.24% | | | 11/25/33 | 2 | | | 87,763 | | | | 86,016 | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB8, Class A1 | | | | | |
| (LIBOR USD 1-Month plus 0.14%) | | | | | |
2.36% | | | 10/25/36 | 2 | | | 18,245,525 | | | | 16,394,146 | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB9, Class A3 | | | | | |
| (LIBOR USD 1-Month plus 0.15%) | | | | | |
2.37% | | | 11/25/36 | 2 | | | 32,481,887 | | | | 21,405,317 | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB1, | | | | | |
| Class AF4 (STEP-reset date 11/25/18) | | | | | |
3.63% | | | 01/25/37 | | | | 7,738,391 | | | | 3,769,241 | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB1, | | | | | |
| Class AF5 (STEP-reset date 11/25/18) | | | | | |
3.63% | | | 01/25/37 | | | | 14,542,280 | | | | 7,283,152 | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB5, Class A2 | | | | | |
| (LIBOR USD 1-Month plus 0.17%) | | | | | |
2.39% | | | 04/25/37 | 2 | | | 31,464,595 | | | | 24,057,615 | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB7, Class A1 | | | | | |
| (LIBOR USD 1-Month plus 0.14%) | | | | | |
2.36% | | | 10/25/36 | 2 | | | 61,996,572 | | | | 48,581,798 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| 129 / Semi-Annual Report September 2018 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity Date | | | Principal Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
| CSAB Mortgage-Backed Trust, Series 2006-4, Class A6B | | | | | |
| (STEP-reset date 11/25/18) | | | | | |
5.78% | | | 12/25/36 | | | $ | 5,268,016 | | | $ | 733,249 | |
| Deutsche ALT-A Securities Mortgage Loan Trust, Series 2006-AR3, Class A1 | | | | | |
| (LIBOR USD 1-Month plus 0.19%) | | | | | |
2.41% | | | 08/25/36 | 2 | | | 4,502,469 | | | | 4,256,806 | |
| Deutsche ALT-A Securities Mortgage Loan Trust, Series 2006-AR4, Class A1 | | | | | |
| (LIBOR USD 1-Month plus 0.13%) | | | | | |
2.35% | | | 12/25/36 | 2 | | | 2,251,933 | | | | 1,332,180 | |
| Deutsche ALT-A Securities Mortgage Loan Trust, Series 2006-AR6, Class AR6 | | | | | |
| (LIBOR USD 1-Month plus 0.19%) | | | | | |
2.41% | | | 02/25/37 | 2 | | | 902,692 | | | | 821,574 | |
| Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, Series 2005-6, Class 1A7 | | | | | |
5.50% | | | 12/25/35 | | | | 508,235 | | | | 429,395 | |
| Deutsche ALT-A Securities, Inc. Mortgage Loan Trust, Series 2006-AR1, Class 2A1 | | | | | |
4.01% | | | 02/25/36 | 8 | | | 1,268,603 | | | | 1,070,562 | |
| DSLA Mortgage Loan Trust, Series 2004-AR4, Class 2A1A | | | | | |
| (LIBOR USD 1-Month plus 0.36%) | | | | | |
2.53% | | | 01/19/45 | 2 | | | 2,759,666 | | | | 2,637,642 | |
| DSLA Mortgage Loan Trust, Series 2005-AR1, Class 2A1A | | | | | |
| (LIBOR USD 1-Month plus 0.25%) | | | | | |
2.42% | | | 02/19/45 | 2 | | | 446,242 | | | | 444,381 | |
| DSLA Mortgage Loan Trust, Series 2005-AR3, Class 2A1A | | | | | |
| (LIBOR USD 1-Month plus 0.24%) | | | | | |
2.41% | | | 07/19/45 | 2 | | | 224,242 | | | | 219,015 | |
| DSLA Mortgage Loan Trust, Series 2006-AR2, Class 2A1A | | | | | |
| (LIBOR USD 1-Month plus 0.20%) | | | | | |
2.37% | | | 10/19/36 | 2 | | | 20,588,545 | | | | 18,694,280 | |
| DSLA Mortgage Loan Trust, Series 2007-AR1, Class 2A1A | | | | | |
| (LIBOR USD 1-Month plus 0.14%) | | | | | |
2.31% | | | 04/19/47 | 2 | | | 11,693,553 | | | | 11,524,374 | |
| Equity One Mortgage Pass-Through Trust, Series 2002-4, Class M1 | | | | | |
5.22% | | | 02/25/33 | 8 | | | 11,640 | | | | 11,646 | |
| Equity One Mortgage Pass-Through Trust, Series 2002-5, Class M1 | | | | | |
| (STEP-reset date 11/25/18) | | | | | |
5.80% | | | 11/25/32 | | | | 36,213 | | | | 37,990 | |
| First Franklin Mortgage Loan Trust, Series 2006-FF13, Class A2C | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity Date | | | Principal Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
| (LIBOR USD 1-Month plus 0.16%) | | | | | |
2.38% | | | 10/25/36 | 2 | | $ | 16,527,432 | | | $ | 12,351,730 | |
| First Franklin Mortgage Loan Trust, Series 2006-FF13, Class A2D | | | | | |
| (LIBOR USD 1-Month plus 0.24%) | | | | | |
2.46% | | | 10/25/36 | 2 | | | 1,042,180 | | | | 787,389 | |
| First Franklin Mortgage Loan Trust, Series 2006-FF18, Class A2B | | | | | |
| (LIBOR USD 1-Month plus 0.11%) | | | | | |
2.33% | | | 12/25/37 | 2 | | | 12,031,788 | | | | 10,504,968 | |
| First Franklin Mortgage Loan Trust, Series 2006-FF18, Class A2C | | | | | |
| (LIBOR USD 1-Month plus 0.16%) | | | | | |
2.38% | | | 12/25/37 | 2 | | | 33,088,497 | | | | 29,038,363 | |
| First Franklin Mortgage Loan Trust, Series 2006-FF18, Class A2D | | | | | |
| (LIBOR USD 1-Month plus 0.21%) | | | | | |
2.43% | | | 12/25/37 | 2 | | | 23,981,466 | | | | 21,153,871 | |
| First Franklin Mortgage Loan Trust, Series 2006-FF5, Class 1A | | | | | |
| (LIBOR USD 1-Month plus 0.15%) | | | | | |
2.37% | | | 04/25/36 | 2 | | | 31,195,987 | | | | 30,764,701 | |
| First Franklin Mortgage Loan Trust, Series 2006-FF8, Class IIA4 | | | | | |
| (LIBOR USD 1-Month plus 0.23%) | | | | | |
2.45% | | | 07/25/36 | 2 | | | 31,440,000 | | | | 29,397,796 | |
| First Franklin Mortgage Loan Trust, Series 2007-FF1, Class A2C | | | | | |
| (LIBOR USD 1-Month plus 0.14%) | | | | | |
2.36% | | | 01/25/38 | 2 | | | 91,624,685 | | | | 68,657,317 | |
| First Franklin Mortgage Loan Trust, Series 2007-FF2, Class A2B | | | | | |
| (LIBOR USD 1-Month plus 0.10%) | | | | | |
2.32% | | | 03/25/37 | 2 | | | 32,742,003 | | | | 21,373,020 | |
| First Franklin Mortgage Loan Trust, Series 2007-FF2, Class A2C | | | | | |
| (LIBOR USD 1-Month plus 0.15%) | | | | | |
2.37% | | | 03/25/37 | 2 | | | 16,926,026 | | | | 11,126,107 | |
| First Franklin Mortgage Loan Trust, Series 2007-FF2, Class A2D | | | | | |
| (LIBOR USD 1-Month plus 0.22%) | | | | | |
2.44% | | | 03/25/37 | 2 | | | 31,515,812 | | | | 20,917,993 | |
| First Horizon Alternative Mortgage Securities Trust, Series 2004-AA2, Class 1A1 | | | | | |
4.06% | | | 08/25/34 | 8 | | | 10,049,569 | | | | 10,477,923 | |
| First Horizon Alternative Mortgage Securities Trust, Series 2004-AA3, Class A1 | | | | | |
4.17% | | | 09/25/34 | 8 | | | 47,952 | | | | 47,671 | |
| First Horizon Alternative Mortgage Securities Trust, Series 2004-AA4, Class A1 | | | | | |
4.03% | | | 10/25/34 | 8 | | | 1,805,175 | | | | 1,799,550 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2018 / 130 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
| First Horizon Alternative Mortgage Securities Trust, Series 2005-AA10, Class 1A1 | | | | | |
3.87% | | | 12/25/35 | 8 | | $ | 19,571,556 | | | $ | 18,092,900 | |
| First Horizon Alternative Mortgage Securities Trust, Series 2005-AA12, Class 2A1 | | | | | |
4.04% | | | 02/25/36 | 8 | | | 22,618,186 | | | | 19,912,665 | |
| First Horizon Alternative Mortgage Securities Trust, Series 2005-AA4, Class 2A1 | | | | | |
3.73% | | | 06/25/35 | 8 | | | 20,083,421 | | | | 18,852,602 | |
| First Horizon Alternative Mortgage Securities Trust, Series 2005-AA7, Class 2A1 | | | | | |
4.11% | | | 09/25/35 | 8 | | | 19,178,826 | | | | 18,577,399 | |
| First Horizon Alternative Mortgage Securities Trust, Series 2005-AA8, Class 2A1 | | | | | |
4.13% | | | 10/25/35 | 8 | | | 25,027,689 | | | | 21,486,216 | |
| First Horizon Alternative Mortgage Securities Trust, Series 2005-AA9, Class 2A1 | | | | | |
3.77% | | | 11/25/35 | 8 | | | 21,861,506 | | | | 21,399,197 | |
| First Horizon Alternative Mortgage Securities Trust, Series 2006-AA1, Class 1A1 | | | | | |
4.14% | | | 03/25/36 | 8 | | | 25,281,386 | | | | 22,582,396 | |
| First Horizon Alternative Mortgage Securities Trust, Series 2006-FA8, Class 1A7 | | | | | |
6.00% | | | 02/25/37 | | | | 13,321 | | | | 10,488 | |
| First Horizon Mortgage Pass-Through Trust, Series 2004-AR6, Class 2A1 | | | | | |
3.93% | | | 12/25/34 | 8 | | | 376,602 | | | | 388,293 | |
| First Horizon Mortgage Pass-Through Trust, Series 2006-AR4, Class 1A2 | | | | | |
3.71% | | | 01/25/37 | 8 | | | 142,532 | | | | 130,135 | |
| First Horizon Mortgage Pass-Through Trust, Series 2007-AR3, Class 1A1 | | | | | |
4.17% | | | 11/25/37 | 8 | | | 335,388 | | | | 311,201 | |
| FNBA Mortgage Loan Trust, Series 2004-AR1, Class A2 | | | | | |
| (LIBOR USD 1-Month plus 0.40%) | | | | | |
2.57% | | | 08/19/34 | 2 | | | 8,053 | | | | 8,034 | |
| Fremont Home Loan Trust, Series 2005-C, Class M1 | | | | | |
| (LIBOR USD 1-Month plus 0.72%) | | | | | |
2.94% | | | 07/25/35 | 2 | | | 908,456 | | | | 911,694 | |
| GMACM Home Equity Loan Trust, Series 2000-HE2, Class A1 | | | | | |
| (LIBOR USD 1-Month plus 0.44%) | | | | | |
2.66% | | | 06/25/30 | 2 | | | 28,336 | | | | 23,972 | |
| GMACM Mortgage Corp. Loan Trust, Series 2003-AR2, Class 3A5 | | | | | |
4.15% | | | 12/19/33 | 8 | | | 2,214,118 | | | | 2,238,786 | |
| GMACM Mortgage Corp. Loan Trust, Series 2004-AR1, Class 22A | | | | | |
4.21% | | | 06/25/34 | 8 | | | 5,310 | | | | 5,255 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
| GMACM Mortgage Corp. Loan Trust, Series 2005-AR6, Class 3A1 | | | | | |
3.94% | | | 11/19/35 | 8 | | $ | 842,350 | | | $ | 805,891 | |
| GMACM Mortgage Corp. Loan Trust, Series 2006-AR2, Class 1A1 | | | | | |
3.94% | | | 05/19/36 | 8 | | | 1,565,873 | | | | 1,010,836 | |
| GreenPoint Mortgage Funding Trust, Series 2005-AR3, Class 1A1 | | | | | |
| (LIBOR USD 1-Month plus 0.24%) | | | | | |
2.46% | | | 08/25/45 | 2 | | | 1,886,411 | | | | 1,775,718 | |
| GreenPoint Mortgage Funding Trust, Series 2005-AR4, Class G41B | | | | | |
| (LIBOR USD 1-Month plus 0.20%) | | | | | |
2.42% | | | 10/25/45 | 2 | | | 17,939,519 | | | | 16,599,349 | |
| GreenPoint Mortgage Funding Trust, Series 2005-HY1, Class 1A1A | | | | | |
| (LIBOR USD 1-Month plus 0.27%) | | | | | |
2.49% | | | 07/25/35 | 2 | | | 4,197,885 | | | | 4,197,384 | |
| GreenPoint Mortgage Funding Trust, Series 2006-AR8, Class 1A2A6 | | | | | |
0.00% | | | 4,7,† | | | | 37,800,000 | | | | — | |
| GreenPoint Mortgage Funding Trust, Series 2007-AR1, Class 3A2 | | | | | |
| (LIBOR USD 1-Month plus 0.16%) | | | | | |
2.38% | | | 02/25/37 | 2 | | | 2,564,936 | | | | 2,553,408 | |
| GS Mortgage Securities Resecuritization Trust, Series 2014-3R, Class 2A | | | | | |
| (LIBOR USD 1-Month plus 0.18%) | | | | | |
2.24% | | | 09/26/36 | 2,3 | | | 8,947,403 | | | | 8,903,558 | |
| GS Mortgage Securities Resecuritization Trust, Series 2015-1R, Class 2A | | | | | |
3.99% | | | 01/26/36 | 3,8 | | | 4,288,764 | | | | 4,293,185 | |
| GSAA Home Equity Trust, Series 2005-11, Class 1A1 | | | | | |
| (LIBOR USD 1-Month plus 0.28%) | | | | | |
2.50% | | | 10/25/35 | 2 | | | 6,691,909 | | | | 6,683,317 | |
| GSAA Home Equity Trust, Series 2005-9, Class 2A3 | | | | | |
| (LIBOR USD 1-Month plus 0.37%) | | | | | |
2.59% | | | 08/25/35 | 2 | | | 1,289,132 | | | | 1,284,439 | |
| GSAMP Trust, Series 2005-AHL2, Class A2D | | | | | |
| (LIBOR USD 1-Month plus 0.35%) | | | | | |
2.57% | | | 12/25/35 | 2 | | | 25,693,000 | | | | 24,651,347 | |
| GSR Mortgage Loan Trust, Series 2004-9, Class 3A1 | | | | | |
4.31% | | | 08/25/34 | 8 | | | 4,680 | | | | 4,862 | |
| GSR Mortgage Loan Trust, Series 2004-9, Class 5A7 | | | | | |
4.03% | | | 08/25/34 | 8 | | | 391,091 | | | | 392,061 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 131 / Semi-Annual Report September 2018 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
| GSR Mortgage Loan Trust, Series 2005-AR5, Class 2A3 | | | | | |
4.19% | | | 10/25/35 | 8 | | $ | 3,778,194 | | | $ | 3,190,551 | |
| GSR Mortgage Loan Trust, Series 2005-AR6, Class 4A5 | | | | | |
4.45% | | | 09/25/35 | 8 | | | 184,697 | | | | 189,193 | |
| GSR Mortgage Loan Trust, Series 2007-AR2, Class 2A1 | | | | | |
3.87% | | | 05/25/37 | 8 | | | 2,960,411 | | | | 2,686,506 | |
| HarborView Mortgage Loan Trust, Series 2004-1, Class 2A | | | | | |
4.12% | | | 04/19/34 | 8 | | | 7,711 | | | | 7,908 | |
| HarborView Mortgage Loan Trust, Series 2004-11, Class 3A2A | | | | | |
| (LIBOR USD 1-Month plus 0.68%) | | | | | |
2.85% | | | 01/19/35 | 2 | | | 446,511 | | | | 391,038 | |
| HarborView Mortgage Loan Trust, Series 2004-5, Class 2A6 | | | | | |
3.86% | | | 06/19/34 | 8 | | | 4,231 | | | | 4,269 | |
| HarborView Mortgage Loan Trust, Series 2005-3, Class 2A1A | | | | | |
| (LIBOR USD 1-Month plus 0.48%) | | | | | |
2.65% | | | 06/19/35 | 2 | | | 505,138 | | | | 503,030 | |
| HarborView Mortgage Loan Trust, Series 2005-4, Class 2A | | | | | |
4.65% | | | 07/19/35 | 8 | | | 157,653 | | | | 152,855 | |
| HarborView Mortgage Loan Trust, Series 2006-10, Class 1A1A | | | | | |
| (LIBOR USD 1-Month plus 0.20%) | | | | | |
2.37% | | | 11/19/36 | 2 | | | 85,970,271 | | | | 76,016,694 | |
| HarborView Mortgage Loan Trust, Series 2006-7, Class 1A | | | | | |
| (LIBOR USD 1-Month plus 0.21%) | | | | | |
2.38% | | | 09/19/46 | 2 | | | 104,840,713 | | | | 97,884,871 | |
| HarborView Mortgage Loan Trust, Series 2007-7, Class 1A1 | | | | | |
| (LIBOR USD 1-Month plus 1.00%) | | | | | |
3.22% | | | 10/25/37 | 2 | | | 35,385,521 | | | | 32,161,425 | |
| HarborView Mortgage Loan Trust, Series 2007-7, Class 2A1A | | | | | |
| (LIBOR USD 1-Month plus 1.00%) | | | | | |
3.22% | | | 10/25/37 | 2 | | | 10,954,790 | | | | 11,034,817 | |
| Impac CMB Trust, Series 2005-1, Class 1A1 | | | | | |
| (LIBOR USD 1-Month plus 0.52%) | | | | | |
2.74% | | | 04/25/35 | 2 | | | 5,397,293 | | | | 5,211,899 | |
| Impac CMB Trust, Series 2005-4, Class 1A1B | | | | | |
| (LIBOR USD 1-Month plus 0.25%) | | | | | |
2.47% | | | 05/25/35 | 2 | | | 7,008,736 | | | | 6,898,967 | |
| Impac Secured Assets Corp., Series 2004-3, Class 1A4 | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
| (LIBOR USD 1-Month plus 0.80%) | | | | | |
3.02% | | | 11/25/34 | 2 | | $ | 58,293 | | | $ | 58,389 | |
| Impac Secured Assets Corp., Series 2004-3, Class M1 | | | | | |
| (LIBOR USD 1-Month plus 0.90%) | | | | | |
3.12% | | | 11/25/34 | 2 | | | 800,000 | | | | 796,354 | |
| Impac Secured Assets Corp., Series 2004-4, Class M3 | | | | | |
| (LIBOR USD 1-Month plus 0.90%) | | | | | |
3.12% | | | 02/25/35 | 2 | | | 670,000 | | | | 662,269 | |
| Impac Secured Assets Trust, Series 2007-2, Class 1A1A | | | | | |
| (LIBOR USD 1-Month plus 0.11%) | | | | | |
2.33% | | | 05/25/37 | 2 | | | 10,037,291 | | | | 8,579,789 | |
| Impac Secured Assets Trust, Series 2007-2, Class 1A1B | | | | | |
| (LIBOR USD 1-Month plus 0.25%) | | | | | |
2.47% | | | 05/25/37 | 2 | | | 75,798,471 | | | | 66,554,059 | |
| IndyMac Index Mortgage Loan Trust, Series 2004-AR4, Class 1A | | | | | |
3.94% | | | 08/25/34 | 8 | | | 1,367,069 | | | | 1,362,114 | |
| IndyMac Index Mortgage Loan Trust, Series 2004-AR5, Class 2A1B | | | | | |
| (LIBOR USD 1-Month plus 0.80%) | | | | | |
3.02% | | | 08/25/34 | 2 | | | 18,798 | | | | 17,361 | |
| IndyMac Index Mortgage Loan Trust, Series 2004-AR7, Class A2 | | | | | |
| (LIBOR USD 1-Month plus 0.86%) | | | | | |
3.08% | | | 09/25/34 | 2 | | | 73,256 | | | | 70,102 | |
| IndyMac Index Mortgage Loan Trust, Series 2005-AR1, Class 4A1 | | | | | |
3.88% | | | 03/25/35 | 8 | | | 816,783 | | | | 823,922 | |
| IndyMac Index Mortgage Loan Trust, Series 2005-AR17, Class 3A1 | | | | | |
3.88% | | | 09/25/35 | 8 | | | 5,188,997 | | | | 4,745,513 | |
| IndyMac Index Mortgage Loan Trust, Series 2005-AR19, Class A1 | | | | | |
3.78% | | | 10/25/35 | 8 | | | 31,611,253 | | | | 27,158,387 | |
| IndyMac Index Mortgage Loan Trust, Series 2005-AR31, Class 3A1 | | | | | |
3.56% | | | 01/25/36 | 8 | | | 1,489,568 | | | | 1,419,718 | |
| IndyMac Index Mortgage Loan Trust, Series 2005-AR6, Class 2A1 | | | | | |
| (LIBOR USD 1-Month plus 0.48%) | | | | | |
2.70% | | | 04/25/35 | 2 | | | 695,049 | | | | 672,947 | |
| IndyMac Index Mortgage Loan Trust, Series 2006-AR19, Class 1A2 | | | | | |
3.91% | | | 08/25/36 | 8 | | | 17,609,725 | | | | 14,421,667 | |
| IndyMac Index Mortgage Loan Trust, Series 2006-AR21, Class A1 | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2018 / 132 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
| (LIBOR USD 1-Month plus 0.12%) | | | | | |
2.34% | | | 08/25/36 | 2 | | $ | 198,525 | | | $ | 186,439 | |
| IndyMac Index Mortgage Loan Trust, Series 2006-AR27, Class 2A2 | | | | | |
| (LIBOR USD 1-Month plus 0.20%) | | | | | |
2.42% | | | 10/25/36 | 2 | | | 28,678,450 | | | | 26,956,111 | |
| IndyMac Index Mortgage Loan Trust, Series 2006-AR7, Class 1A1 | | | | | |
3.54% | | | 05/25/36 | 8 | | | 4,592,289 | | | | 4,339,711 | |
| IndyMac Index Mortgage Loan Trust, Series 2006-AR7, Class 2A1 | | | | | |
3.77% | | | 05/25/36 | 8 | | | 32,352,671 | | | | 28,571,077 | |
| IndyMac Index Mortgage Loan Trust, Series 2007-AR1, Class 1A2 | | | | | |
3.74% | | | 03/25/37 | 8 | | | 820,340 | | | | 799,509 | |
| IndyMac Index Mortgage Loan Trust, Series 2007-AR11, Class 1A1 | | | | | |
3.33% | | | 06/25/37 | 8 | | | 4,658,884 | | | | 3,970,917 | |
| IndyMac Index Mortgage Loan Trust, Series 2007-AR7, Class 1A1 | | | | | |
3.83% | | | 11/25/37 | 8 | | | 3,808,292 | | | | 3,824,842 | |
| IndyMac Manufactured Housing Contract Pass-Through Certificates, Series 1997-1, Class A3 | | | | | |
6.61% | | | 02/25/28 | | | | 128,809 | | | | 130,075 | |
| JPMorgan Alternative Loan Trust, Series 2006-A2, Class 2A1 | | | | | |
3.99% | | | 05/25/36 | 8 | | | 906,429 | | | | 775,032 | |
| JPMorgan Alternative Loan Trust, Series 2006-A2, Class 5A1 | | | | | |
3.76% | | | 05/25/36 | 8 | | | 8,746,309 | | | | 7,512,223 | |
| JPMorgan Mortgage Acquisition Trust, Series 2005-WMC1, Class M2 | | | | | |
| (LIBOR USD 1-Month plus 0.66%) | | | | | |
2.88% | | | 09/25/35 | 2 | | | 10,703,134 | | | | 10,703,356 | |
| JPMorgan Mortgage Acquisition Trust, Series 2006-NC2, Class A4 | | | | | |
| (LIBOR USD 1-Month plus 0.15%) | | | | | |
2.37% | | | 07/25/36 | 2 | | | 4,368,475 | | | | 4,393,016 | |
| JPMorgan Mortgage Acquisition Trust, Series 2006-WF1, Class A3A | | | | | |
| (STEP-reset date 11/25/18) | | | | | |
5.83% | | | 07/25/36 | | | | 38,544,778 | | | | 20,774,995 | |
| JPMorgan Mortgage Acquisition Trust, Series 2006-WF1, Class A6 | | | | | |
| (STEP-reset date 11/25/18) | | | | | |
6.00% | | | 07/25/36 | | | | 5,374,976 | | | | 2,813,024 | |
| JPMorgan Mortgage Acquisition Trust, Series 2007-CH1, Class AV5 | | | | | |
| (LIBOR USD 1-Month plus 0.24%) | | | | | |
2.46% | | | 11/25/36 | 2 | | | 831,647 | | | | 831,709 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
| JPMorgan Mortgage Acquisition Trust, Series 2007-CH1, Class MV1 | | | | | |
| (LIBOR USD 1-Month plus 0.23%) | | | | | |
2.45% | | | 11/25/36 | 2 | | $ | 810,000 | | | $ | 810,770 | |
| JPMorgan Mortgage Acquisition Trust, Series 2007-CH3, Class A4 | | | | | |
| (LIBOR USD 1-Month plus 0.21%) | | | | | |
2.43% | | | 03/25/37 | 2 | | | 1,572,274 | | | | 1,570,786 | |
| JPMorgan Mortgage Acquisition Trust, Series 2007-CH4, Class A1 | | | | | |
| (LIBOR USD 1-Month plus 0.15%) | | | | | |
2.37% | | | 05/25/37 | 2 | | | 67,193,254 | | | | 64,722,971 | |
| JPMorgan Mortgage Acquisition Trust, Series 2007-HE1, Class AF1 | | | | | |
| (LIBOR USD 1-Month plus 0.10%) | | | | | |
2.32% | | | 03/25/47 | 2 | | | 149,711 | | | | 98,922 | |
| JPMorgan Mortgage Acquisition Trust, Series 2007-HE1, Class AF2 | | | | | |
| (STEP-reset date 11/25/18) | | | | | |
4.26% | | | 03/25/47 | | | | 9,793,799 | | | | 6,903,698 | |
| JPMorgan Mortgage Acquisition Trust, Series 2007-HE1, Class AF3 | | | | | |
| (STEP-reset date 11/25/18) | | | | | |
4.26% | | | 05/25/35 | | | | 7,868,010 | | | | 5,546,169 | |
| JPMorgan Mortgage Acquisition Trust, Series 2007-HE1, Class AF4 | | | | | |
| (STEP-reset date 11/25/18) | | | | | |
4.26% | | | 03/25/47 | | | | 3,746,671 | | | | 2,641,002 | |
| JPMorgan Mortgage Acquisition Trust, Series 2007-HE1, Class AV4 | | | | | |
| (LIBOR USD 1-Month plus 0.28%) | | | | | |
2.50% | | | 03/25/47 | 2 | | | 240,000 | | | | 210,651 | |
| JPMorgan Mortgage Trust, Series 2003-A2, Class 2A3 | | | | | |
3.56% | | | 11/25/33 | 8 | | | 187,788 | | | | 189,284 | |
| JPMorgan Mortgage Trust, Series 2004-A4, Class 1A3 | | | | | |
4.64% | | | 09/25/34 | 8 | | | 677,839 | | | | 698,978 | |
| JPMorgan Mortgage Trust, Series 2005-A5, Class TA1 | | | | | |
4.34% | | | 08/25/35 | 8 | | | 148,730 | | | | 150,063 | |
| JPMorgan Mortgage Trust, Series 2005-S2, Class 4A3 | | | | | |
5.50% | | | 09/25/20 | | | | 2,933,708 | | | | 2,789,203 | |
| JPMorgan Mortgage Trust, Series 2006-A2, Class 5A3 | | | | | |
3.98% | | | 11/25/33 | 8 | | | 7,407 | | | | 7,662 | |
| JPMorgan Mortgage Trust, Series 2006-A3, Class 2A1 | | | | | |
3.78% | | | 05/25/36 | 8 | | | 1,465,133 | | | | 1,405,992 | |
| JPMorgan Mortgage Trust, Series 2006-A3, Class 3A3 | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 133 / Semi-Annual Report September 2018 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
3.59% | | | 05/25/36 | 8 | | $ | 958,751 | | | $ | 931,412 | |
| JPMorgan Mortgage Trust, Series 2006-A4, Class 1A1 | | | | | |
4.11% | | | 06/25/36 | 8 | | | 750,096 | | | | 722,443 | |
| JPMorgan Mortgage Trust, Series 2006-A4, Class 1A4 | | | | | |
4.11% | | | 06/25/36 | 8 | | | 2,418,071 | | | | 2,328,875 | |
| JPMorgan Mortgage Trust, Series 2006-A5, Class 2A4 | | | | | |
4.24% | | | 08/25/36 | 8 | | | 519,789 | | | | 485,213 | |
| JPMorgan Mortgage Trust, Series 2007-A1, Class 5A2 | | | | | |
3.92% | | | 07/25/35 | 8 | | | 2,435,270 | | | | 2,521,226 | |
| JPMorgan Mortgage Trust, Series 2007-A3, Class 2A3 | | | | | |
3.90% | | | 05/25/37 | 8 | | | 3,388,507 | | | | 3,073,011 | |
| JPMorgan Mortgage Trust, Series 2007-A3, Class 3A2 | | | | | |
3.78% | | | 05/25/37 | 8 | | | 541,929 | | | | 529,257 | |
| JPMorgan Mortgage Trust, Series 2007-A4, Class 1A1 | | | | | |
3.84% | | | 06/25/37 | 8 | | | 5,044,999 | | | | 4,983,062 | |
| JPMorgan Mortgage Trust, Series 2007-A4, Class 2A3 | | | | | |
4.05% | | | 06/25/37 | 8 | | | 783,856 | | | | 742,720 | |
| JPMorgan Resecuritization Trust, Series 2015-1, Class 3A1 | | | | | |
| (LIBOR USD 1-Month plus 0.19%) | | | | | |
2.25% | | | 12/27/46 | 2,3 | | | 14,919,351 | | | | 14,627,075 | |
| Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A4 | | | | | |
5.27% | | | 04/15/40 | | | | 2,510 | | | | 2,531 | |
| Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A6 | | | | | |
6.47% | | | 04/15/40 | 8 | | | 726,929 | | | | 734,964 | |
| Lehman XS Trust, Series 2005-5N, Class 3A1A | | | | | |
| (LIBOR USD 1-Month plus 0.30%) | | | | | |
2.52% | | | 11/25/35 | 2 | | | 13,411,164 | | | | 13,321,665 | |
| Lehman XS Trust, Series 2005-7N, Class 1A1A | | | | | |
| (LIBOR USD 1-Month plus 0.54%) | | | | | |
2.76% | | | 12/25/35 | 2 | | | 544,909 | | | | 549,997 | |
| Lehman XS Trust, Series 2006-12N, Class A31A | | | | | |
| (LIBOR USD 1-Month plus 0.20%) | | | | | |
2.42% | | | 08/25/46 | 2 | | | 21,335,646 | | | | 19,917,387 | |
| Lehman XS Trust, Series 2006-13, Class 1A2 | | | | | |
| (LIBOR USD 1-Month plus 0.17%) | | | | | |
2.39% | | | 09/25/36 | 2 | | | 8,070,665 | | | | 7,925,735 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
| Lehman XS Trust, Series 2006-14N, Class 3A2 | | | | | |
| (LIBOR USD 1-Month plus 0.24%) | | | | | |
2.46% | | | 08/25/36 | 2 | | $ | 82,434 | | | $ | 78,773 | |
| Lehman XS Trust, Series 2006-8, Class 1A1A | | | | | |
| (LIBOR USD 1-Month plus 0.16%) | | | | | |
2.38% | | | 06/25/36 | 2 | | | 44,419,870 | | | | 40,297,751 | |
| Lehman XS Trust, Series 2006-9, Class A1B | | | | | |
| (LIBOR USD 1-Month plus 0.16%) | | | | | |
2.38% | | | 05/25/46 | 2 | | | 8,273,227 | | | | 10,782,601 | |
| Lehman XS Trust, Series 2007-4N, Class 1A3 | | | | | |
| (LIBOR USD 1-Month plus 0.24%) | | | | | |
2.46% | | | 03/25/47 | 2 | | | 27,102,655 | | | | 23,791,416 | |
| Long Beach Mortgage Loan Trust, Series 2004-4, Class M1 | | | | | |
| (LIBOR USD 1-Month plus 0.90%) | | | | | |
3.12% | | | 10/25/34 | 2 | | | 51,320 | | | | 51,498 | |
| MASTR Adjustable Rate Mortgages Trust, Series 2003-6, Class 4A2 | | | | | |
3.72% | | | 01/25/34 | 8 | | | 51,371 | | | | 51,102 | |
| MASTR Adjustable Rate Mortgages Trust, Series 2003-7, Class 3A1 | | | | | |
3.32% | | | 11/25/33 | 8 | | | 1,373,903 | | | | 1,459,140 | |
| MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A1 | | | | | |
4.42% | | | 11/21/34 | 8 | | | 5,834,266 | | | | 6,022,221 | |
| MASTR Adjustable Rate Mortgages Trust, Series 2004-15, Class 9A1 | | | | | |
4.47% | | | 10/25/34 | 8 | | | 733,054 | | | | 731,789 | |
| MASTR Adjustable Rate Mortgages Trust, Series 2004-5, Class 3A1 | | | | | |
2.62% | | | 06/25/34 | 8 | | | 254 | | | | 235 | |
| MASTR Adjustable Rate Mortgages Trust, Series 2004-8, Class 2A1 | | | | | |
4.36% | | | 09/25/34 | 8 | | | 3,991,255 | | | | 4,046,368 | |
| MASTR Adjustable Rate Mortgages Trust, Series 2006-2, Class 5A1 | | | | | |
3.98% | | | 05/25/36 | 8 | | | 8,038,384 | | | | 6,399,552 | |
| MASTR Alternative Loan Trust, Series 2004-6, Class 3A1 | | | | | |
4.75% | | | 07/25/19 | | | | 146,012 | | | | 146,150 | |
| MASTR Asset Securitization Trust, Series 2004-3, Class 3A2 | | | | | |
4.50% | | | 03/25/19 | | | | 26,904 | | | | 26,988 | |
| MASTR Asset-Backed Securities Trust, Series 2006-HE4, Class A3 | | | | | |
| (LIBOR USD 1-Month plus 0.15%) | | | | | |
2.37% | | | 11/25/36 | 2 | | | 16,091,151 | | | | 7,438,825 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2018 / 134 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
| MASTR Asset-Backed Securities Trust, Series 2006-HE4, Class A4 | | | | | |
| (LIBOR USD 1-Month plus 0.21%) | | | | | |
2.43% | | | 11/25/36 | 2 | | $ | 4,469,764 | | | $ | 2,084,734 | |
| MASTR Asset-Backed Securities Trust, Series 2007-HE1, Class A3 | | | | | |
| (LIBOR USD 1-Month plus 0.21%) | | | | | |
2.43% | | | 05/25/37 | 2 | | | 40,571,323 | | | | 38,768,735 | |
| MASTR Seasoned Securitization Trust, Series 2004-1, Class 4A1 | | | | | |
4.23% | | | 10/25/32 | 8 | | | 19,399 | | | | 19,771 | |
| Mellon Residential Funding Corp. Mortgage Pass-Through Certificates, Series 2001-TBC1, Class A1 | | | | | |
| (LIBOR USD 1-Month plus 0.70%) | | | | | |
2.86% | | | 11/15/31 | 2 | | | 1,624,018 | | | | 1,627,975 | |
| Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-1, Class A2B | | | | | |
| (LIBOR USD 1-Month plus 0.17%) | | | | | |
2.39% | | | 04/25/37 | 2 | | | 37,502,275 | | | | 22,743,337 | |
| Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-1, Class A2C | | | | | |
| (LIBOR USD 1-Month plus 0.25%) | | | | | |
2.47% | | | 04/25/37 | 2 | | | 81,387,531 | | | | 49,847,641 | |
| Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-2, Class A2C | | | | | |
| (LIBOR USD 1-Month plus 0.24%) | | | | | |
2.46% | | | 05/25/37 | 2 | | | 38,695,471 | | | | 27,125,150 | |
| Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-2, Class A2D | | | | | |
| (LIBOR USD 1-Month plus 0.32%) | | | | | |
2.54% | | | 05/25/37 | 2 | | | 19,109,504 | | | | 13,541,510 | |
| Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-3, Class A2C | | | | | |
| (LIBOR USD 1-Month plus 0.18%) | | | | | |
2.40% | | | 06/25/37 | 2 | | | 16,191,164 | | | | 12,217,036 | |
| Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-3, Class A2D | | | | | |
| (LIBOR USD 1-Month plus 0.25%) | | | | | |
2.47% | | | 06/25/37 | 2 | | | 21,624,995 | | | | 16,998,961 | |
| Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-4, Class 2A2 | | | | | |
| (LIBOR USD 1-Month plus 0.12%) | | | | | |
2.34% | | | 07/25/37 | 2 | | | 34,688,825 | | | | 24,791,937 | |
| Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-4, Class 2A3 | | | | | |
| (LIBOR USD 1-Month plus 0.16%) | | | | | |
2.38% | | | 07/25/37 | 2 | | | 25,427,771 | | | | 18,278,056 | |
| Merrill Lynch Mortgage Investors Trust, Series 2003-A6, Class 2A | | | | | |
4.28% | | | 10/25/33 | 8 | | | 487,482 | | | | 493,716 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
| Merrill Lynch Mortgage Investors Trust, Series 2004-A4, Class A1 | | | | | |
4.10% | | | 08/25/34 | 8 | | $ | 2,269,825 | | | $ | 2,336,592 | |
| Merrill Lynch Mortgage Investors Trust, Series 2005-A10, Class A | | | | | |
| (LIBOR USD 1-Month plus 0.21%) | | | | | |
2.43% | | | 02/25/36 | 2 | | | 14,147 | | | | 13,694 | |
| Merrill Lynch Mortgage Investors Trust, Series 2005-A6, Class 2A4 | | | | | |
| (LIBOR USD 1-Month plus 0.34%) | | | | | |
2.56% | | | 08/25/35 | 2 | | | 589,997 | | | | 589,871 | |
| Merrill Lynch Mortgage Investors Trust, Series 2006-WMC2, Class A2B | | | | | |
| (STEP-reset date 11/25/18) | | | | | |
5.61% | | | 03/25/37 | | | | 32,755,027 | | | | 10,718,269 | |
| Merrill Lynch Mortgage Investors Trust, Series 2006-WMC2, Class A2D | | | | | |
| (STEP-reset date 11/25/18) | | | | | |
5.90% | | | 03/25/37 | | | | 25,636,233 | | | | 8,390,567 | |
| Merrill Lynch Mortgage-Backed Securities Trust, Series 2007-2, Class 1A1 | | | | | |
| (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.40%) | | | | | |
4.87% | | | 08/25/36 | 2 | | | 5,701,630 | | | | 5,586,858 | |
| Mid-State Capital Corp., Series 2004-1, Class A | | | | | |
6.01% | | | 08/15/37 | | | | 350,285 | | | | 379,922 | |
| Mid-State Capital Corp., Series 2005-1, Class A | | | | | |
5.75% | | | 01/15/40 | | | | 16,770,870 | | | | 18,183,246 | |
| Mid-State Capital Corp., Series 2006-1, Class A | | | | | |
5.79% | | | 10/15/40 | 3 | | | 12,082,921 | | | | 13,308,852 | |
| Mid-State Trust XI, Series 2011, Class A1 | | | | | |
4.86% | | | 07/15/38 | | | | 268,323 | | | | 279,100 | |
| Morgan Stanley ABS Capital I Trust, Series 2006-NC1, Class A4 | | | | | |
| (LIBOR USD 1-Month plus 0.30%) | | | | | |
2.52% | | | 12/25/35 | 2 | | | 5,277,150 | | | | 5,280,892 | |
| Morgan Stanley Mortgage Loan Trust, Series 2004-11AR, Class 1A1 | | | | | |
| (LIBOR USD 1-Month plus 0.32%) | | | | | |
2.54% | | | 01/25/35 | 2 | | | 181,641 | | | | 179,076 | |
| Morgan Stanley Mortgage Loan Trust, Series 2004-7AR, Class 2A4 | | | | | |
3.94% | | | 09/25/34 | 8 | | | 1,098,064 | | | | 1,116,172 | |
| Morgan Stanley Mortgage Loan Trust, Series 2005-2AR, Class A | | | | | |
| (LIBOR USD 1-Month plus 0.26%) | | | | | |
2.48% | | | 04/25/35 | 2 | | | 4,519,729 | | | | 4,485,340 | |
| Morgan Stanley Mortgage Loan Trust, Series 2006-7, Class 5A2 | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 135 / Semi-Annual Report September 2018 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
5.96% | | 06/25/368 | | $ | 850,502 | | | $ | 382,449 | |
Morgan Stanley Mortgage Loan Trust, Series 2007-6XS, Class 1A2S | | | | | |
| (STEP-reset date 11/25/18) | | | | | |
5.50% | | 02/25/47 | | | 217,013 | | | | 218,862 | |
Morgan Stanley Mortgage Loan Trust, Series 2007-7AX, Class 2A1 | | | | | |
| (LIBOR USD 1-Month plus 0.12%) | | | | | |
2.34% | | 04/25/372 | | | 5,828,489 | | | | 2,909,533 | |
Morgan Stanley Resecuritization Trust, Series 2013-R9, Class 3A | | | | | |
3.53% | | 06/26/463,8 | | | 2,966,071 | | | | 2,960,832 | |
Morgan Stanley Resecuritization Trust, Series 2014-R2, Class 1A | | | | | |
| (Federal Reserve US 12-Month Cumulative Average plus 0.82%) | | | | | |
2.57% | | 12/26/462,3 | | | 15,067,073 | | | | 14,922,936 | |
Morgan Stanley Resecuritization Trust, Series 2014-R3, Class 4A | | | | | |
| (Federal Reserve US 12-Month Cumulative Average plus 0.98%) | | | | | |
2.73% | | 07/26/462,3 | | | 5,690,400 | | | | 5,688,897 | |
Morgan Stanley Resecuritization Trust, Series 2014-R4, Class 2A | | | | | |
4.17% | | 08/26/343,8 | | | 2,805,196 | | | | 2,834,679 | |
Morgan Stanley Resecuritization Trust, Series 2014-R8, Class 3A | | | | | |
| (Federal Reserve US 12-Month Cumulative Average plus 0.75%) | | | | | |
2.46% | | 06/26/472,3 | | | 29,207,788 | | | | 28,362,567 | |
Morgan Stanley Resecuritization Trust, Series 2014-R8, Class 4A | | | | | |
| (Federal Reserve US 12-Month Cumulative Average plus 0.96%) | | | | | |
2.71% | | 06/26/472,3 | | | 10,339,241 | | | | 10,280,106 | |
Morgan Stanley Resecuritization Trust, Series 2015-R4, Class 2A | | | | | |
| (LIBOR USD 1-Month plus 0.40%) | | | | | |
2.86% | | 08/26/472,3 | | | 15,666,736 | | | | 15,513,909 | |
| MortgageIT Trust, Series 2005-1, Class 1A1 | | | | | |
| (LIBOR USD 1-Month plus 0.64%) | | | | | |
2.86% | | 02/25/352 | | | 8,414,222 | | | | 8,439,721 | |
| MortgageIT Trust, Series 2005-4, Class A1 | | | | | |
| (LIBOR USD 1-Month plus 0.28%) | | | | | |
2.50% | | 10/25/352 | | | 9,897,103 | | | | 9,758,949 | |
| MortgageIT Trust, Series 2005-5, Class A1 | | | | | |
| (LIBOR USD 1-Month plus 0.26%) | | | | | |
2.48% | | 12/25/352 | | | 1,530,885 | | | | 1,520,829 | |
Nationstar Home Equity Loan Trust, Series 2006-B, Class AV4 | | | | | |
| (LIBOR USD 1-Month plus 0.28%) | | | | | |
2.50% | | 09/25/362 | | | 14,342,628 | | | | 14,257,591 | |
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
Nationstar Home Equity Loan Trust, Series 2007-C, Class 2AV4 | | | | | |
| (LIBOR USD 1-Month plus 0.25%) | | | | | |
2.47% | | 06/25/372 | | $ | 8,265,000 | | | $ | 7,742,233 | |
New Century Home Equity Loan Trust, Series 2003-6, Class M1 | | | | | |
| (LIBOR USD 1-Month plus 1.08%) | | | | | |
3.30% | | 01/25/342 | | | 28,428 | | | | 28,814 | |
New Century Home Equity Loan Trust, Series 2005-1, Class M1 | | | | | |
| (LIBOR USD 1-Month plus 0.68%) | | | | | |
2.89% | | 03/25/352 | | | 778,833 | | | | 779,986 | |
New Century Home Equity Loan Trust, Series 2005-B, Class A1 | | | | | |
| (LIBOR USD 1-Month plus 0.25%) | | | | | |
2.47% | | 10/25/352 | | | 6,404,164 | | | | 6,416,097 | |
New Century Home Equity Loan Trust, Series 2005-D, Class A1 | | | | | |
| (LIBOR USD 1-Month plus 0.22%) | | | | | |
2.44% | | 02/25/362 | | | 370,000 | | | | 367,719 | |
Nomura Home Equity Loan, Inc., Series 2006-HE2, Class A4 | | | | | |
| (LIBOR USD 1-Month plus 0.27%) | | | | | |
2.49% | | 03/25/362 | | | 24,732,000 | | | | 24,458,476 | |
Nomura Home Equity Loan, Inc., Series 2006-WF1, Class A4 | | | | | |
| (LIBOR USD 1-Month plus 0.24%) | | | | | |
2.46% | | 03/25/362 | | | 210,584 | | | | 210,651 | |
| Nomura Resecuritization Trust, Series 2014-6R, Class 2A1 | | | | | |
| (LIBOR USD 1-Month plus 0.16%) | | | | | |
1.48% | | 03/26/372,3 | | | 9,738,431 | | | | 9,270,921 | |
| Nomura Resecuritization Trust, Series 2011-4RA, Class 2A1 | | | | | |
3.56% | | 06/26/373,8 | | | 2,982,360 | | | | 3,016,000 | |
| Nomura Resecuritization Trust, Series 2013-1R, Class 2A1 | | | | | |
| (LIBOR USD 1-Month plus 0.14%) | | | | | |
2.16% | | 11/26/362,3 | | | 6,068,413 | | | | 5,999,504 | |
| Nomura Resecuritization Trust, Series 2014-4R, Class 1A1 | | | | | |
3.96% | | 01/26/363,8 | | | 4,771,565 | | | | 4,812,479 | |
| Nomura Resecuritization Trust, Series 2014-4R, Class 3A1 | | | | | |
| (LIBOR USD 1-Month plus 0.15%) | | | | | |
2.21% | | 09/26/362,3 | | | 4,227,468 | | | | 4,143,938 | |
| Nomura Resecuritization Trust, Series 2014-7R, Class 4A1 | | | | | |
| (LIBOR USD 1-Month plus 0.13%) | | | | | |
2.19% | | 01/26/372,3 | | | 15,583,787 | | | | 15,396,044 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| Semi-Annual Report September 2018 / 136 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
| Nomura Resecuritization Trust, Series 2015-4R, Class 1A1 | | | | | |
| (LIBOR USD 1-Month plus 0.19%) | | | | | |
2.42% | | 03/26/472,3 | | $ | 2,330,127 | | | $ | 2,337,235 | |
Oakwood Mortgage Investors, Inc., Series 2000-A, Class A5 | | | | | |
8.16% | | 09/15/298 | | | 21,803,809 | | | | 12,759,159 | |
Option One Mortgage Loan Trust, Series 2006-1, Class 1A1 | | | | | |
| (LIBOR USD 1-Month plus 0.22%) | | | | | |
2.44% | | 01/25/362 | | | 24,007,618 | | | | 23,909,523 | |
| Ownit Mortgage Loan Trust, Series 2006-4, Class A1 | | | | | |
| (LIBOR USD 1-Month plus 0.14%) | | | | | |
2.36% | | 05/25/372 | | | 26,368,786 | | | | 25,713,672 | |
| Ownit Mortgage Loan Trust, Series 2006-4, Class A2D | | | | | |
| (LIBOR USD 1-Month plus 0.24%) | | | | | |
2.46% | | 05/25/372 | | | 24,178,998 | | | | 20,331,677 | |
| Popular ABS Mortgage Pass-Through Trust, Series 2005-6, Class A5 | | | | | |
| (STEP-reset date 11/25/18) | | | | | |
3.85% | | 01/25/36 | | | 22,910,000 | | | | 20,890,511 | |
| Popular ABS Mortgage Pass-Through Trust, Series 2006-D, Class A3 | | | | | |
| (LIBOR USD 1-Month plus 0.26%) | | | | | |
2.48% | | 11/25/362 | | | 85,000 | | | | 83,491 | |
| Popular ABS Mortgage Pass-Through Trust, Series 2007-A, Class A3 | | | | | |
| (LIBOR USD 1-Month plus 0.31%) | | | | | |
2.53% | | 06/25/472 | | | 23,015,500 | | | | 18,702,598 | |
| Popular ABS, Inc., Series 1998-1, Class A2 (STEP-reset date 11/25/18) | | | | | |
7.48% | | 11/25/29 | | | 73,604 | | | | 71,911 | |
Provident Funding Mortgage Loan Trust, Series 2003-1, Class A | | | | | |
4.33% | | 08/25/338 | | | 599,140 | | | | 606,705 | |
Residential Accredit Loans Trust, Series 2003-QS3, Class A4 | | | | | |
5.50% | | 02/25/18 | | | 1,221 | | | | 1,261 | |
Residential Accredit Loans Trust, Series 2005-QA10, Class A31 | | | | | |
4.65% | | 09/25/358 | | | 545,979 | | | | 496,242 | |
Residential Accredit Loans Trust, Series 2005-QA12, Class CB1 | | | | | |
4.41% | | 12/25/358 | | | 4,899,289 | | | | 3,436,819 | |
| Residential Accredit Loans Trust, Series 2005-QA4, Class A41 | | | | | |
4.24% | | 04/25/358 | | | 1,895,404 | | | | 1,800,459 | |
Residential Accredit Loans Trust, Series 2005-QA7, Class A1 | | | | | |
4.20% | | 07/25/358 | | | 4,419,229 | | | | 3,706,579 | |
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
Residential Accredit Loans Trust, Series 2005-QO5, Class A1 | | | | | |
| (Federal Reserve US 12-Month Cumulative Average plus 1.00%) | | | | | |
2.84% | | 01/25/462 | | $ | 7,313,071 | | | $ | 6,740,152 | |
Residential Accredit Loans Trust, Series 2006-QA1, Class A11 | | | | | |
4.18% | | 01/25/368 | | | 174,958 | | | | 147,551 | |
Residential Accredit Loans Trust, Series 2006-QA1, Class A21 | | | | | |
4.70% | | 01/25/368 | | | 18,265,766 | | | | 16,138,685 | |
Residential Accredit Loans Trust, Series 2006-QA7, Class 2A1 | | | | | |
| (LIBOR USD 1-Month plus 0.19%) | | | | | |
2.40% | | 08/25/362 | | | 31,634,065 | | | | 29,160,440 | |
Residential Accredit Loans Trust, Series 2006-QS10, Class AV (IO) | | | | | |
0.57% | | 08/25/364,5,8 | | | 32,705,631 | | | | 763,990 | |
Residential Accredit Loans Trust, Series 2006-QS12, Class 2A9 | | | | | |
| (LIBOR USD 1-Month plus 0.38%) | | | | | |
2.60% | | 09/25/362 | | | 290,927 | | | | 239,995 | |
Residential Accredit Loans Trust, Series 2006-QS2, Class 1AV (IO) | | | | | |
0.47% | | 02/25/364,5,8 | | | 108,621,964 | | | | 1,748,607 | |
Residential Accredit Loans Trust, Series 2006-QS7, Class AV (IO) | | | | | |
0.70% | | 06/25/364,5,8 | | | 56,700,353 | | | | 1,444,308 | |
Residential Accredit Loans Trust, Series 2006-QS8, Class AV (IO) | | | | | |
0.79% | | 08/25/364,5,8 | | | 126,372,503 | | | | 4,054,750 | |
Residential Accredit Loans Trust, Series 2007-QS10, Class AV (IO) | | | | | |
0.47% | | 09/25/374,5,8 | | | 88,845,362 | | | | 1,535,301 | |
Residential Accredit Loans Trust, Series 2007-QS4, Class 3AV (IO) | | | | | |
0.37% | | 03/25/374,5,8 | | | 55,578,544 | | | | 800,520 | |
Residential Accredit Loans Trust, Series 2007-QS5, Class AV (IO) | | | | | |
0.26% | | 03/25/374,5,8 | | | 66,403,646 | | | | 602,042 | |
Residential Accredit Loans Trust, Series 2007-QS6, Class AV (IO) | | | | | |
0.32% | | 04/25/374,5,8 | | | 140,072,102 | | | | 1,912,348 | |
Residential Accredit Loans Trust, Series 2007-QS7, Class 2AV (IO) | | | | | |
0.38% | | 06/25/374,5,8 | | | 44,442,061 | | | | 632,575 | |
Residential Accredit Loans Trust, Series 2007-QS8, Class AV (IO) | | | | | |
0.41% | | 06/25/374,5,8 | | | 116,276,382 | | | | 1,946,067 | |
| Residential Asset Mortgage Products Trust, Series 2004-SL3, Class A2 | | | | | |
6.50% | | 12/25/31 | | | 7,083 | | | | 6,999 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| 137 / Semi-Annual Report September 2018 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
| Residential Asset Mortgage Products Trust, Series 2004-SL1, Class A8 | | | | | |
6.50% | | 11/25/31 | | $ | 39,214 | | | $ | 41,079 | |
| Residential Asset Mortgage Products Trust, Series 2004-SL3, Class A4 | | | | | |
8.50% | | 12/25/31 | | | 33,203 | | | | 24,089 | |
| Residential Asset Mortgage Products Trust, Series 2005-RS8, Class A3 | | | | | |
| (LIBOR USD 1-Month plus 0.37%) | | | | | |
2.59% | | 09/25/352 | | | 10,413,883 | | | | 10,461,626 | |
| Residential Asset Mortgage Products Trust, Series 2005-RZ3, Class M3 | | | | | |
| (LIBOR USD 1-Month plus 0.55%) | | | | | |
2.77% | | 09/25/352 | | | 750,000 | | | | 747,727 | |
Residential Asset Securities Trust, Series 2006-KS3, Class M1 | | | | | |
| (LIBOR USD 1-Month plus 0.33%) | | | | | |
2.55% | | 04/25/362 | | | 815,000 | | | | 811,295 | |
Residential Asset Securitization Trust, Series 2004-IP2, Class 1A1 | | | | | |
3.89% | | 12/25/348 | | | 264,992 | | | | 270,094 | |
Residential Asset Securitization Trust, Series 2004-IP2, Class 2A1 | | | | | |
4.18% | | 12/25/348 | | | 24,173 | | | | 24,342 | |
Residential Asset Securitization Trust, Series 2004-IP2, Class 3A1 | | | | | |
4.31% | | 12/25/348 | | | 565,159 | | | | 571,234 | |
Residential Asset Securitization Trust, Series 2006-A7CB, Class 1A3 | | | | | |
6.25% | | 07/25/36 | | | 2,719,186 | | | | 2,678,985 | |
| Residential Funding Mortgage Securities Trust, Series 2005-SA5, Class 1A | | | | | |
3.89% | | 11/25/358 | | | 6,446,023 | | | | 5,321,386 | |
| Residential Funding Mortgage Securities Trust, Series 2006-SA3, Class 3A1 | | | | | |
4.93% | | 09/25/368 | | | 1,024,539 | | | | 983,640 | |
| Residential Funding Mortgage Securities Trust, Series 2006-SA3, Class 4A1 | | | | | |
5.45% | | 09/25/368 | | | 372,758 | | | | 312,283 | |
| Residential Funding Mortgage Securities Trust, Series 2006-SA4, Class 2A1 | | | | | |
5.03% | | 11/25/368 | | | 119,219 | | | | 114,255 | |
| Residential Funding Mortgage Securities Trust, Series 2007-SA2, Class 2A2 | | | | | |
4.24% | | 04/25/378 | | | 2,328,221 | | | | 2,237,089 | |
| Saxon Asset Securities Trust, Series 2001-2, Class AF6 (STEP-reset date 11/25/18) | | | | | |
6.81% | | 06/25/16 | | | 7,826 | | | | 7,826 | |
| Saxon Asset Securities Trust, Series 2007-1, Class A2C | | | | | |
| (LIBOR USD 1-Month plus 0.15%) | | | | | |
2.37% | | 01/25/472 | | | 7,798,109 | | | | 7,727,712 | |
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
| Saxon Asset Securities Trust, Series 2007-3, Class 2A3 | | | | | |
| (LIBOR USD 1-Month plus 0.40%) | | | | | |
2.62% | | 09/25/472 | | $ | 32,174,000 | | | $ | 29,085,689 | |
| Securitized Asset-Backed Receivables LLC Trust, Series 2006-CB1, Class AF2 (STEP-reset date 11/25/18) | | | | | |
3.47% | | 01/25/36 | | | 8,502,900 | | | | 7,301,991 | |
| Securitized Asset-Backed Receivables LLC Trust, Series 2007-BR1, Class A2A | | | | | |
| (LIBOR USD 1-Month plus 0.11%) | | | | | |
2.33% | | 02/25/372 | | | 6,958,079 | | | | 4,238,637 | |
| Securitized Asset-Backed Receivables LLC Trust, Series 2007-BR1, Class A2B | | | | | |
| (LIBOR USD 1-Month plus 0.27%) | | | | | |
2.49% | | 02/25/372 | | | 34,444,666 | | | | 21,576,943 | |
| Securitized Asset-Backed Receivables LLC Trust, Series 2007-BR2, Class A2 | | | | | |
| (LIBOR USD 1-Month plus 0.23%) | | | | | |
2.45% | | 02/25/372 | | | 55,564,116 | | | | 31,770,784 | |
| Securitized Asset-Backed Receivables LLC Trust, Series 2007-BR5, Class A2A | | | | | |
| (LIBOR USD 1-Month plus 0.13%) | | | | | |
2.35% | | 05/25/372 | | | 20,372,664 | | | | 15,671,731 | |
| Securitized Asset-Backed Receivables LLC Trust, Series 2007-BR5, Class A2C | | | | | |
| (LIBOR USD 1-Month plus 0.35%) | | | | | |
2.57% | | 05/25/372 | | | 15,364,887 | | | | 12,012,172 | |
| Securitized Asset-Backed Receivables LLC Trust, Series 2007-NC1, Class A2B | | | | | |
| (LIBOR USD 1-Month plus 0.15%) | | | | | |
2.37% | | 12/25/362 | | | 37,525,592 | | | | 22,715,565 | |
| Securitized Asset-Backed Receivables LLC Trust, Series 2007-NC2, Class A2B | | | | | |
| (LIBOR USD 1-Month plus 0.14%) | | | | | |
2.36% | | 01/25/372 | | | 20,546,808 | | | | 15,577,250 | |
Sequoia Mortgage Trust, Series 2003-2, Class A1 | | | | | |
| (LIBOR USD 1-Month plus 0.66%) | | | | | |
2.83% | | 06/20/332 | | | 968 | | | | 963 | |
Sequoia Mortgage Trust, Series 2003-8, Class A1 | | | | | |
| (LIBOR USD 1-Month plus 0.64%) | | | | | |
2.81% | | 01/20/342 | | | 2,172 | | | | 2,153 | |
| Sequoia Mortgage Trust, Series 2004-3, Class A | | | | | |
| (LIBOR USD 6-Month plus 0.50%) | | | | | |
2.86% | | 05/20/342 | | | 506,451 | | | | 492,404 | |
| SG Mortgage Securities Trust, Series 2007-NC1, Class A2 | | | | | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| Semi-Annual Report September 2018 / 138 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
| (LIBOR USD 1-Month plus 0.24%) | | | | | |
2.46% | | 12/25/362,3 | | $ | 16,709,831 | | | $ | 11,706,197 | |
Soundview Home Loan Trust, Series 2005-OPT1, Class M2 | | | | | |
| (LIBOR USD 1-Month plus 0.68%) | | | | | |
2.89% | | 06/25/352 | | | 28,255,661 | | | | 28,226,504 | |
| Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 3A3 | | | | | |
4.14% | | 02/25/348 | | | 23,839 | | | | 24,140 | |
| Structured Adjustable Rate Mortgage Loan Trust, Series 2004-12, Class 2A | | | | | |
4.24% | | 09/25/348 | | | 9,885,138 | | | | 9,800,160 | |
| Structured Adjustable Rate Mortgage Loan Trust, Series 2004-14, Class 1A | | | | | |
3.99% | | 10/25/348 | | | 254,753 | | | | 258,400 | |
| Structured Adjustable Rate Mortgage Loan Trust, Series 2004-14, Class 2A | | | | | |
4.13% | | 10/25/348 | | | 10,361,056 | | | | 10,562,906 | |
| Structured Adjustable Rate Mortgage Loan Trust, Series 2004-15, Class A | | | | | |
4.16% | | 10/25/348 | | | 3,230,190 | | | | 3,155,310 | |
| Structured Adjustable Rate Mortgage Loan Trust, Series 2004-16, Class 3A1 | | | | | |
4.06% | | 11/25/348 | | | 6,708,674 | | | | 6,845,111 | |
| Structured Adjustable Rate Mortgage Loan Trust, Series 2004-17, Class A1 | | | | | |
2.74% | | 11/25/348 | | | 50,627 | | | | 45,877 | |
| Structured Adjustable Rate Mortgage Loan Trust, Series 2004-20, Class 1A2 | | | | | |
4.08% | | 01/25/358 | | | 876,688 | | | | 873,813 | |
| Structured Adjustable Rate Mortgage Loan Trust, Series 2005-12, Class 3A1 | | | | | |
4.22% | | 06/25/358 | | | 2,697,292 | | | | 2,630,281 | |
| Structured Adjustable Rate Mortgage Loan Trust, Series 2005-18, Class 7A3 | | | | | |
4.08% | | 09/25/358 | | | 20,590,573 | | | | 17,691,171 | |
| Structured Adjustable Rate Mortgage Loan Trust, Series 2006-12, Class 1A1 | | | | | |
| (LIBOR USD 1-Month plus 0.16%) | | | | | |
2.38% | | 01/25/372 | | | 37,215,858 | | | | 34,841,509 | |
| Structured Adjustable Rate Mortgage Loan Trust, Series 2007-9, Class 2A1 | | | | | |
4.05% | | 10/25/478 | | | 922,589 | | | | 822,598 | |
| Structured Asset Mortgage Investments II, Series 2005-AR8, Class A1A | | | | | |
| (LIBOR USD 1-Month plus 0.28%) | | | | | |
2.50% | | 02/25/362 | | | 723,224 | | | | 689,742 | |
| Structured Asset Securities Corp. Mortgage Loan Trust, Series 2006-WF2, Class A4 | | | | | |
| (LIBOR USD 1-Month plus 0.31%) | | | | | |
2.53% | | 07/25/362 | | | 11,287,798 | | | | 11,317,931 | |
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
| Structured Asset Securities Corp. Mortgage Loan Trust, Series 2006-WF3, Class A1 | | | | | |
| (LIBOR USD 1-Month plus 0.14%) | | | | | |
2.36% | | 09/25/362 | | $ | 5,661,944 | | | $ | 5,653,512 | |
| Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2004-23XS, Class 2A1 | | | | | |
| (LIBOR USD 1-Month plus 0.30%) | | | | | |
2.52% | | 01/25/352 | | | 2,105,815 | | | | 2,071,706 | |
Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 1997-2, Class 2A4 | | | | | |
7.25% | | 03/28/30 | | | 1,378 | | | | 1,368 | |
| Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2003-26A, Class 3A5 | | | | | |
4.35% | | 09/25/338 | | | 199,664 | | | | 201,789 | |
| Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2003-34A, Class 5A4 | | | | | |
4.10% | | 11/25/338 | | | 1,529,197 | | | | 1,560,283 | |
Structured Asset Securities Corp. Trust, Series 2005-17, Class 4A4 | | | | | |
5.50% | | 10/25/35 | | | 3,360,562 | | | | 3,460,686 | |
Structured Asset Securities Corp. Trust, Series 2005-5, Class 2A4 | | | | | |
5.50% | | 04/25/35 | | | 2,952,927 | | | | 2,894,637 | |
| Suntrust Adjustable Rate Mortgage Loan Trust, Series 2007-3, Class 1A1 | | | | | |
4.22% | | 06/25/378 | | | 3,970,798 | | | | 3,720,415 | |
Thornburg Mortgage Securities Trust, Series 2004-4, Class 2A | | | | | |
3.22% | | 12/25/448 | | | 150,289 | | | | 148,360 | |
Wachovia Mortgage Loan Trust LLC, Series 2006-ALT1, Class A3 | | | | | |
| (LIBOR USD 1-Month plus 0.23%) | | | | | |
2.45% | | 01/25/372 | | | 18,609,042 | | | | 11,925,692 | |
Wachovia Mortgage Loan Trust LLC, Series 2006-AMN1, Class A3 | | | | | |
| (LIBOR USD 1-Month plus 0.24%) | | | | | |
2.46% | | 08/25/362 | | | 21,071,505 | | | | 12,781,157 | |
WaMu Asset-Backed Certificates, Series 2007-HE1, Class 2A2 | | | | | |
| (LIBOR USD 1-Month plus 0.11%) | | | | | |
2.33% | | 01/25/372 | | | 4,202,061 | | | | 2,634,604 | |
WaMu Asset-Backed Certificates, Series 2007-HE1, Class 2A3 | | | | | |
| (LIBOR USD 1-Month plus 0.15%) | | | | | |
2.37% | | 01/25/372 | | | 38,789,745 | | | | 24,375,821 | |
WaMu Asset-Backed Certificates, Series 2007-HE1, Class 2A4 | | | | | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| 139 / Semi-Annual Report September 2018 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
| (LIBOR USD 1-Month plus 0.23%) | | | | | |
2.45% | | 01/25/372 | | $ | 13,021,062 | | | $ | 8,251,150 | |
| WaMu Mortgage Pass-Through Certificates, Series 2003-AR6, Class A1 | | | | | |
4.23% | | 06/25/338 | | | 4,567,144 | | | | 4,632,103 | |
| WaMu Mortgage Pass-Through Certificates, Series 2004-AR3, Class A2 | | | | | |
3.95% | | 06/25/348 | | | 50,207 | | | | 51,404 | |
| WaMu Mortgage Pass-Through Certificates, Series 2004-AR6, Class A | | | | | |
| (LIBOR USD 1-Month plus 0.42%) | | | | | |
2.64% | | 05/25/442 | | | 1,807,321 | | | | 1,841,929 | |
| WaMu Mortgage Pass-Through Certificates, Series 2005-3, Class 2A3 | | | | | |
| (LIBOR USD 1-Month plus 0.55%) | | | | | |
2.77% | | 05/25/352 | | | 3,617,709 | | | | 2,994,160 | |
| WaMu Mortgage Pass-Through Certificates, Series 2005-4, Class CB13 | | | | | |
| (LIBOR USD 1-Month plus 0.50%) | | | | | |
2.72% | | 06/25/352 | | | 6,518,070 | | | | 5,816,457 | |
| WaMu Mortgage Pass-Through Certificates, Series 2005-AR1, Class A1A | | | | | |
| (LIBOR USD 1-Month plus 0.64%) | | | | | |
2.86% | | 01/25/452 | | | 892,509 | | | | 922,048 | |
| WaMu Mortgage Pass-Through Certificates, Series 2005-AR11, Class A1A | | | | | |
| (LIBOR USD 1-Month plus 0.32%) | | | | | |
2.54% | | 08/25/452 | | | 47,266,003 | | | | 48,037,020 | |
| WaMu Mortgage Pass-Through Certificates, Series 2005-AR12, Class 1A6 | | | | | |
4.02% | | 10/25/358 | | | 1,570,101 | | | | 1,574,025 | |
| WaMu Mortgage Pass-Through Certificates, Series 2005-AR13, Class A1A1 | | | | | |
| (LIBOR USD 1-Month plus 0.29%) | | | | | |
2.51% | | 10/25/452 | | | 6,964,076 | | | | 7,049,922 | |
| WaMu Mortgage Pass-Through Certificates, Series 2005-AR14, Class 2A1 | | | | | |
3.71% | | 12/25/358 | | | 4,878,213 | | | | 4,753,073 | |
| WaMu Mortgage Pass-Through Certificates, Series 2005-AR15, Class A1A1 | | | | | |
| (LIBOR USD 1-Month plus 0.26%) | | | | | |
2.48% | | 11/25/452 | | | 35,584,758 | | | | 35,649,148 | |
| WaMu Mortgage Pass-Through Certificates, Series 2005-AR17, Class A1A1 | | | | | |
| (LIBOR USD 1-Month plus 0.27%) | | | | | |
2.49% | | 12/25/452 | | | 16,424,487 | | | | 16,441,447 | |
| WaMu Mortgage Pass-Through Certificates, Series 2005-AR19, Class A1A2 | | | | | |
| (LIBOR USD 1-Month plus 0.29%) | | | | | |
2.51% | | 12/25/452 | | | 19,421,147 | | | | 19,374,286 | |
| | | | | | | | | | |
| Issues | | Maturity
Date | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
| WaMu Mortgage Pass-Through Certificates, Series 2005-AR2, Class 1A1A | | | | | |
| (LIBOR USD 1-Month plus 0.33%) | | | | | |
2.55% | | 01/25/452 | | $ | 16,557,180 | | | $ | 16,663,569 | |
| WaMu Mortgage Pass-Through Certificates, Series 2005-AR2, Class 2A1A | | | | | |
| (LIBOR USD 1-Month plus 0.31%) | | | | | |
2.53% | | 01/25/452 | | | 1,518,540 | | | | 1,526,831 | |
| WaMu Mortgage Pass-Through Certificates, Series 2005-AR2, Class 2A23 | | | | | |
| (LIBOR USD 1-Month plus 0.38%) | | | | | |
2.60% | | 01/25/452 | | | 5,392,327 | | | | 5,413,447 | |
| WaMu Mortgage Pass-Through Certificates, Series 2005-AR6, Class 2A1A | | | | | |
| (LIBOR USD 1-Month plus 0.46%) | | | | | |
2.68% | | 04/25/452 | | | 197,181 | | | | 198,882 | |
| WaMu Mortgage Pass-Through Certificates, Series 2006-AR1, Class 2A1A | | | | | |
| (Federal Reserve US 12-Month Cumulative Average plus 1.07%) | | | | | |
2.91% | | 01/25/462 | | | 38,300,902 | | | | 40,012,397 | |
| WaMu Mortgage Pass-Through Certificates, Series 2006-AR10, Class 1A4 | | | | | |
3.86% | | 09/25/368 | | | 15,798,498 | | | | 15,110,936 | |
| WaMu Mortgage Pass-Through Certificates, Series 2006-AR16, Class 3A1 | | | | | |
3.27% | | 12/25/368 | | | 894,221 | | | | 872,648 | |
| WaMu Mortgage Pass-Through Certificates, Series 2006-AR3, Class A1A | | | | | |
| (Federal Reserve US 12-Month Cumulative Average plus 1.00%) | | | | | |
2.84% | | 02/25/462 | | | 19,708,980 | | | | 19,748,236 | |
| WaMu Mortgage Pass-Through Certificates, Series 2006-AR4, Class 1A1A | | | | | |
| (Federal Reserve US 12-Month Cumulative Average plus 0.94%) | | | | | |
2.69% | | 05/25/462 | | | 6,717,497 | | | | 6,775,830 | |
| WaMu Mortgage Pass-Through Certificates, Series 2006-AR7, Class 2A | | | | | |
| (Federal Reserve US 12-Month Cumulative Average plus 0.98%) | | | | | |
2.82% | | 07/25/462 | | | 14,455,116 | | | | 13,974,623 | |
| WaMu Mortgage Pass-Through Certificates, Series 2007-1, Class 2A1 | | | | | |
6.00% | | 01/25/22 | | | 284,747 | | | | 271,180 | |
| WaMu Mortgage Pass-Through Certificates, Series 2007-HY7, Class 4A2 | | | | | |
3.88% | | 07/25/378 | | | 326,863 | | | | 304,287 | |
| WaMu Mortgage Pass-Through Certificates, Series 2007-OA1, Class A1A | | | | | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| Semi-Annual Report September 2018 / 140 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
(Federal Reserve US 12-Month Cumulative Average plus 0.70%) | | | | | |
2.54% | | | 02/25/47 | 2 | | $ | 16,667,625 | | | $ | 15,787,111 | |
WaMu MSC Mortgage Pass-Through Certificates, Series 2002-AR1, Class 1A1 | | | | | |
3.60% | | | 11/25/30 | 8 | | | 356,668 | | | | 361,918 | |
Wells Fargo Alternative Loan Trust, Series 2007-PA5, Class 1A1 | | | | | |
6.25% | | | 11/25/37 | | | | 223,214 | | | | 218,548 | |
Wells Fargo Mortgage-Backed Securities Trust, Series 2003-M, Class A1 | | | | | |
3.79% | | | 12/25/33 | 8 | | | 954,672 | | | | 983,871 | |
Wells Fargo Mortgage-Backed Securities Trust, Series 2004-L, Class A8 | | | | | |
4.55% | | | 07/25/34 | 8 | | | 187,386 | | | | 191,592 | |
Wells Fargo Mortgage-Backed Securities Trust, Series 2004-S, Class A1 | | | | | |
4.43% | | | 09/25/34 | 8 | | | 1,839,796 | | | | 1,894,048 | |
Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR10, Class 2A14 | | | | | |
4.21% | | | 06/25/35 | 8 | | | 887,915 | | | | 913,151 | |
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-10, Class A4 | | | | | |
6.00% | | | 08/25/36 | | | | 1,977,864 | | | | 1,993,423 | |
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-2, Class 2A3 | | | | | |
5.50% | | | 03/25/36 | | | | 224,081 | | | | 220,538 | |
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR1, Class 1A1 | | | | | |
4.04% | | | 03/25/36 | 8 | | | 3,675,270 | | | | 3,547,945 | |
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR10, Class 5A1 | | | | | |
4.23% | | | 07/25/36 | 8 | | | 184,603 | | | | 187,785 | |
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR10, Class 5A2 | | | | | |
4.23% | | | 07/25/36 | 8 | | | 62,606 | | | | 63,686 | |
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR10, Class 5A3 | | | | | |
4.23% | | | 07/25/36 | 8 | | | 133,894 | | | | 136,202 | |
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR10, Class 5A6 | | | | | |
4.23% | | | 07/25/36 | 8 | | | 782,675 | | | | 796,168 | |
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR8, Class 1A3 | | | | | |
4.37% | | | 04/25/36 | 8 | | | 3,994 | | | | 4,011 | |
| | | | | | | | | | | | |
| |
| | | | 5,008,927,622 | |
| | | | | | | | | | | | |
U.S. Agency Commercial | | | | | |
Mortgage-Backed — 2.07% | | | | | |
Fannie Mae-Aces, Series 2011-M2, Class A3 | | | | | |
3.76% | | | 04/25/21 | | | | 674,720 | | | | 685,235 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Commercial
Mortgage-Backed (continued) | | | | | |
Fannie Mae-Aces, Series 2011-M5, Class X (IO) | | | | | |
1.12% | | | 07/25/21 | 8 | | $ | 128,705,066 | | | $ | 3,396,031 | |
Fannie Mae-Aces, Series 2014-M12, Class FA | | | | | |
(LIBOR USD 1-Month plus 0.30%) | | | | | |
2.37% | | | 10/25/21 | 2 | | | 14,971,073 | | | | 14,983,873 | |
Fannie Mae-Aces, Series 2014-M8, Class A1 | | | | | |
2.35% | | | 06/25/24 | | | | 5,291,807 | | | | 5,167,003 | |
Fannie Mae-Aces, Series 2015-M10, Class A2 | | | | | |
3.09% | | | 04/25/27 | 8 | | | 122,515,000 | | | | 118,183,850 | |
Fannie Mae-Aces, Series 2015-M10, Class FA | | | | | |
(LIBOR USD 1-Month plus 0.25%) | | | | | |
2.32% | | | 03/25/19 | 2 | | | 4,017,617 | | | | 4,011,963 | |
Fannie Mae-Aces, Series 2016-M13, Class FA (IO) | | | | | |
(LIBOR USD 1-Month plus 0.67%) | | | | | |
2.74% | | | 11/25/23 | 2 | | | 45,358,697 | | | | 45,715,332 | |
Fannie Mae-Aces, Series 2017-M13, Class A2 | | | | | |
3.04% | | | 09/25/27 | 8 | | | 186,605,000 | | | | 177,640,962 | |
Fannie Mae-Aces, Series 2018-M1, Class A2 | | | | | |
3.09% | | | 12/25/27 | 8 | | | 810,000 | | | | 773,924 | |
Freddie Mac Multifamily Structured Pass- Through Certificates, Series KF34, Class A | | | | | |
(LIBOR USD 1-Month plus 0.36%) | | | | | |
2.47% | | | 08/25/24 | 2 | | | 132,225,330 | | | | 132,289,559 | |
Freddie Mac Multifamily Structured Pass- Through Certificates, Series K053, Class A2 | | | | | |
3.00% | | | 12/25/25 | | | | 205,000,000 | | | | 200,071,759 | |
Freddie Mac Multifamily Structured Pass- Through Certificates, Series K154, Class A2 | | | | | |
3.42% | | | 04/25/32 | | | | 750,000 | | | | 729,890 | |
Freddie Mac Multifamily Structured Pass- Through Certificates, Series K154, Class A3 | | | | | |
3.46% | | | 11/25/32 | | | | 72,550,000 | | | | 69,940,986 | |
Freddie Mac Multifamily Structured Pass- Through Certificates, Series KF03, Class A | | | | | |
(LIBOR USD 1-Month plus 0.34%) | | | | | |
2.45% | | | 01/25/21 | 2 | | | 421,084 | | | | 421,924 | |
Freddie Mac Multifamily Structured Pass- Through Certificates, Series KF09, Class A | | | | | |
(LIBOR USD 1-Month plus 0.38%) | | | | | |
2.49% | | | 05/25/22 | 2 | | | 38,111,607 | | | | 38,164,216 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 141 / Semi-Annual Report September 2018 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Commercial
Mortgage-Backed (continued) | | | | | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF10, Class A | | | | | |
| (LIBOR USD 1-Month plus 0.38%) | | | | | |
2.49% | | | 07/25/22 | 2 | | $ | 110,939,993 | | | $ | 111,255,107 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF15, Class A | | | | | |
| (LIBOR USD 1-Month plus 0.67%) | | | | | |
2.78% | | | 02/25/23 | 2 | | | 80,995,625 | | | | 81,297,463 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF17, Class A | | | | | |
| (LIBOR USD 1-Month plus 0.55%) | | | | | |
2.66% | | | 03/25/23 | 2 | | | 40,709,292 | | | | 40,869,076 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF29, Class A | | | | | |
| (LIBOR USD 1-Month plus 0.36%) | | | | | |
2.47% | | | 02/25/24 | 2 | | | 141,625,786 | | | | 142,028,712 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF39, Class A | | | | | |
| (LIBOR USD 1-Month plus 0.32%) | | | | | |
2.43% | | | 11/25/24 | 2 | | | 744,384 | | | | 745,780 | |
Freddie Mac Multifamily Structured Pass- Through Certificates, Series KP04, Class AG1 | | | | | |
| (LIBOR USD 1-Month plus 0.22%) | | | | | |
2.33% | | | 07/25/20 | 2 | | | 96,600,000 | | | | 96,730,014 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KS07, Class A2 | | | | | |
2.74% | | | 09/25/25 | | | | 65,000,000 | | | | 62,165,369 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KSW1, Class A | | | | | |
| (LIBOR USD 1-Month plus 0.58%) | | | | | |
2.69% | | | 02/25/26 | 2 | | | 10,299,428 | | | | 10,327,890 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KW02, Class A1 | | | | | |
2.90% | | | 04/25/26 | | | | 109,790,619 | | | | 107,994,812 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KX01, Class A | | | | | |
2.36% | | | 02/25/23 | | | | 34,872,446 | | | | 33,357,479 | |
NCUA Guaranteed Notes Trust, Series 2011-C1, Class 2A | | | | | |
| (LIBOR USD 1-Month plus 0.53%) | | | | | |
2.65% | | | 03/09/21 | 2 | | | 1,678,015 | | | | 1,678,757 | |
| | | | | | | | | | | | |
| |
| | | | 1,500,626,966 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed — 29.85% | | | | | |
| Fannie Mae Pool (TBA) | | | | | |
3.00% | | | 10/01/32 | | | $ | 478,215,000 | | | $ | 472,312,034 | |
3.50% | | | 10/25/25 | | | | 185,920,000 | | | | 186,893,170 | |
3.50% | | | 10/01/47 | | | | 386,770,000 | | | | 380,666,286 | |
4.00% | | | 10/25/41 | | | | 299,070,000 | | | | 302,013,970 | |
4.50% | | | 10/25/39 | | | | 39,225,000 | | | | 40,466,103 | |
| Fannie Mae Pool 190375 | | | | | |
5.50% | | | 11/01/36 | | | | 964,062 | | | | 1,040,610 | |
| Fannie Mae Pool 190396 | | | | | |
4.50% | | | 06/01/39 | | | | 14,463 | | | | 15,070 | |
| Fannie Mae Pool 254232 | | | | | |
6.50% | | | 03/01/22 | | | | 12,548 | | | | 13,049 | |
| Fannie Mae Pool 313182 | | | | | |
7.50% | | | 10/01/26 | | | | 1,677 | | | | 1,784 | |
| Fannie Mae Pool 394854 | | | | | |
6.50% | | | 05/01/27 | | | | 1,171 | | | | 1,285 | |
| Fannie Mae Pool 465721 | | | | | |
4.04% | | | 10/01/20 | | | | 850,000 | | | | 864,607 | |
| Fannie Mae Pool 466766 | | | | | |
3.88% | | | 12/01/20 | | | | 17,254,380 | | | | 17,573,001 | |
| Fannie Mae Pool 467243 | | | | | |
4.55% | | | 01/01/21 | | | | 2,455,193 | | | | 2,521,688 | |
| Fannie Mae Pool 468128 | | | | | |
4.33% | | | 07/01/21 | | | | 1,911,519 | | | | 1,971,325 | |
| Fannie Mae Pool 468491 | | | | | |
3.95% | | | 07/01/21 | | | | 774,507 | | | | 792,060 | |
| Fannie Mae Pool 468551 | | | | | |
3.98% | | | 07/01/21 | | | | 10,252,500 | | | | 10,432,735 | |
| Fannie Mae Pool 468587 | | | | | |
3.84% | | | 08/01/21 | | | | 649,472 | | | | 660,397 | |
| Fannie Mae Pool 468764 | | | | | |
4.16% | | | 07/01/21 | | | | 28,200,000 | | | | 28,935,323 | |
| Fannie Mae Pool 545191 | | | | | |
7.00% | | | 09/01/31 | | | | 3,951 | | | | 4,252 | |
| Fannie Mae Pool 545756 | | | | | |
7.00% | | | 06/01/32 | | | | 923 | | | | 1,036 | |
| Fannie Mae Pool 606108 | | | | | |
7.00% | | | 03/01/31 | | | | 2,770 | | | | 2,782 | |
| Fannie Mae Pool 613142 | | | | | |
7.00% | | | 11/01/31 | | | | 9,717 | | | | 10,953 | |
| Fannie Mae Pool 625666 | | | | | |
7.00% | | | 01/01/32 | | | | 9,406 | | | | 10,235 | |
| Fannie Mae Pool 633698 | | | | | |
7.50% | | | 02/01/31 | | | | 41,507 | | | | 46,866 | |
| Fannie Mae Pool 655928 | | | | | |
7.00% | | | 08/01/32 | | | | 152,251 | | | | 172,821 | |
| Fannie Mae Pool 725257 | | | | | |
5.50% | | | 02/01/34 | | | | 1,080,203 | | | | 1,166,696 | |
| Fannie Mae Pool 734830 | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2018 / 142 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed (continued) | | | | | |
4.50% | | | 08/01/33 | | | $ | 14,517 | | | $ | 15,023 | |
| Fannie Mae Pool 734922 | | | | | |
4.50% | | | 09/01/33 | | | | 2,357,686 | | | | 2,451,352 | |
| Fannie Mae Pool 735207 | | | | | |
7.00% | | | 04/01/34 | | | | 22,522 | | | | 25,038 | |
| Fannie Mae Pool 735224 | | | | | |
5.50% | | | 02/01/35 | | | | 4,448,914 | | | | 4,807,607 | |
| Fannie Mae Pool 735646 | | | | | |
4.50% | | | 07/01/20 | | | | 286,382 | | | | 290,175 | |
| Fannie Mae Pool 735651 | | | | | |
4.50% | | | 06/01/35 | | | | 5,026,158 | | | | 5,240,521 | |
| Fannie Mae Pool 735686 | | | | | |
6.50% | | | 12/01/22 | | | | 5,758 | | | | 5,862 | |
| Fannie Mae Pool 740297 | | | | | |
5.50% | | | 10/01/33 | | | | 2,095 | | | | 2,263 | |
| Fannie Mae Pool 745147 | | | | | |
4.50% | | | 12/01/35 | | | | 32,106 | | | | 33,316 | |
| Fannie Mae Pool 745592 | | | | | |
5.00% | | | 01/01/21 | | | | 580 | | | | 598 | |
| Fannie Mae Pool 753168 | | | | | |
4.50% | | | 12/01/33 | | | | 8,194 | | | | 8,499 | |
| Fannie Mae Pool 815422 | | | | | |
4.50% | | | 02/01/35 | | | | 39,798 | | | | 41,194 | |
| Fannie Mae Pool 817611 | | | | | |
| (LIBOR USD 6-Month plus 1.58%) | | | | | |
3.83% | | | 11/01/35 | 2 | | | 189,977 | | | | 200,556 | |
| Fannie Mae Pool 839109 | | | | | |
| (LIBOR USD 12-Month plus 1.91%) | | | | | |
3.66% | | | 11/01/35 | 2 | | | 7,639 | | | | 7,975 | |
| Fannie Mae Pool 841031 | | | | | |
| (LIBOR USD 12-Month plus 1.84%) | | | | | |
3.59% | | | 11/01/35 | 2 | | | 2,716 | | | | 2,849 | |
| Fannie Mae Pool 844773 | | | | | |
| (LIBOR USD 12-Month plus 1.59%) | | | | | |
3.39% | | | 12/01/35 | 2 | | | 5,286 | | | | 5,515 | |
| Fannie Mae Pool 888412 | | | | | |
7.00% | | | 04/01/37 | | | | 253,093 | | | | 273,867 | |
| Fannie Mae Pool 889125 | | | | | |
5.00% | | | 12/01/21 | | | | 850,338 | | | | 858,305 | |
| Fannie Mae Pool 889184 | | | | | |
5.50% | | | 09/01/36 | | | | 4,105,672 | | | | 4,436,111 | |
| Fannie Mae Pool 918445 | | | | | |
| (LIBOR USD 12-Month plus 1.57%) | | | | | |
3.69% | | | 05/01/37 | 2 | | | 7,115 | | | | 7,397 | |
| Fannie Mae Pool 933033 | | | | | |
6.50% | | | 10/01/37 | | | | 494,671 | | | | 530,079 | |
| Fannie Mae Pool AB1613 | | | | | |
4.00% | | | 10/01/40 | | | | 38,899,038 | | | | 39,670,940 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed (continued) | | | | | |
| Fannie Mae Pool AB1803 | | | | | |
4.00% | | | 11/01/40 | | | $ | 44,208,432 | | | $ | 45,085,693 | |
| Fannie Mae Pool AB2127 | | | | | |
3.50% | | | 01/01/26 | | | | 22,004,141 | | | | 22,161,169 | |
| Fannie Mae Pool AB3679 | | | | | |
3.50% | | | 10/01/41 | | | | 15,023,506 | | | | 14,839,746 | |
| Fannie Mae Pool AB3864 | | | | | |
3.50% | | | 11/01/41 | | | | 12,868,640 | | | | 12,790,724 | |
| Fannie Mae Pool AB4045 | | | | | |
3.50% | | | 12/01/41 | | | | 13,594,349 | | | | 13,492,973 | |
| Fannie Mae Pool AB4262 | | | | | |
3.50% | | | 01/01/32 | | | | 9,441,422 | | | | 9,472,098 | |
| Fannie Mae Pool AB9703 | | | | | |
3.50% | | | 06/01/43 | | | | 34,553,972 | | | | 34,109,263 | |
| Fannie Mae Pool AC8279 | | | | | |
4.50% | | | 08/01/39 | | | | 21,904 | | | | 22,731 | |
| Fannie Mae Pool AD0849 | | | | | |
4.25% | | | 02/01/20 | | | | 16,974,288 | | | | 17,214,074 | |
| Fannie Mae Pool AD0850 | | | | | |
4.31% | | | 02/01/20 | | | | 28,704,057 | | | | 29,043,817 | |
| Fannie Mae Pool AD0895 | | | | | |
4.50% | | | 07/01/19 | | | | 15,197,165 | | | | 15,332,347 | |
| Fannie Mae Pool AE0482 | | | | | |
5.50% | | | 01/01/38 | | | | 10,423,191 | | | | 11,263,632 | |
| Fannie Mae Pool AE0600 | | | | | |
3.85% | | | 11/01/20 | | | | 15,414,810 | | | | 15,647,065 | |
| Fannie Mae Pool AE0605 | | | | | |
4.65% | | | 07/01/20 | | | | 14,453,863 | | | | 14,645,236 | |
| Fannie Mae Pool AE0913 | | | | | |
4.15% | | | 09/01/20 | | | | 79,849,207 | | | | 81,436,904 | |
| Fannie Mae Pool AE0918 | | | | | |
3.67% | | | 10/01/20 | | | | 3,105,012 | | | | 3,135,251 | |
| Fannie Mae Pool AH3780 | | | | | |
4.00% | | | 02/01/41 | | | | 17,315,373 | | | | 17,695,733 | |
| Fannie Mae Pool AJ1404 | | | | | |
4.00% | | | 09/01/41 | | | | 26,415,780 | | | | 26,924,219 | |
| Fannie Mae Pool AL0024 | | | | | |
3.69% | | | 01/01/21 | | | | 183,140,881 | | | | 185,834,938 | |
| Fannie Mae Pool AL0209 | | | | | |
4.50% | | | 05/01/41 | | | | 26,894,006 | | | | 28,226,914 | |
| Fannie Mae Pool AL0290 | | | | | |
4.45% | | | 04/01/21 | | | | 23,265,443 | | | | 23,882,354 | |
| Fannie Mae Pool AL0834 | | | | | |
4.07% | | | 10/01/21 | | | | 24,211,852 | | | | 24,681,288 | |
| Fannie Mae Pool AL0851 | | | | | |
6.00% | | | 10/01/40 | | | | 17,638,218 | | | | 19,268,984 | |
| Fannie Mae Pool AL1445 | | | | | |
4.36% | | | 11/01/21 | | | | 66,576,482 | | | | 68,074,434 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 143 / Semi-Annual Report September 2018 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed (continued) | | | | | |
| Fannie Mae Pool AL2669 | | | | | |
4.46% | | | 09/01/21 | | | $ | 18,133,704 | | | $ | 18,546,763 | |
| Fannie Mae Pool AL4597 | | | | | |
4.00% | | | 01/01/44 | | | | 66,574,608 | | | | 67,867,091 | |
| Fannie Mae Pool AL6162 | | | | | |
3.30% | | | 02/01/23 | | | | 18,599,013 | | | | 18,534,670 | |
| Fannie Mae Pool AL6829 | | | | | |
2.96% | | | 05/01/27 | | | | 2,756,874 | | | | 2,667,364 | |
| Fannie Mae Pool AL8037 | | | | | |
4.50% | | | 07/01/34 | | | | 303,967 | | | | 314,922 | |
| Fannie Mae Pool AL8356 | | | | | |
4.50% | | | 07/01/34 | | | | 807,391 | | | | 836,427 | |
| Fannie Mae Pool AL8960 | | | | | |
4.50% | | | 05/01/46 | | | | 69,737,818 | | | | 72,385,031 | |
| Fannie Mae Pool AL9106 | | | | | |
4.50% | | | 02/01/46 | | | | 91,403,633 | | | | 94,770,571 | |
| Fannie Mae Pool AL9472 | | | | | |
4.00% | | | 10/01/43 | | | | 12,646,982 | | | | 12,882,991 | |
| Fannie Mae Pool AL9722 | | | | | |
4.50% | | | 08/01/46 | | | | 308,455,059 | | | | 319,817,290 | |
| Fannie Mae Pool AL9846 | | | | | |
4.50% | | | 02/01/47 | | | | 308,723,819 | | | | 320,095,950 | |
| Fannie Mae Pool AM0414 | | | | | |
2.87% | | | 09/01/27 | | | | 39,760,000 | | | | 37,690,678 | |
| Fannie Mae Pool AM2897 | | | | | |
3.18% | | | 03/01/28 | | | | 546,925 | | | | 531,242 | |
| Fannie Mae Pool AM4236 | | | | | |
3.94% | | | 08/01/25 | | | | 9,275 | | | | 9,503 | |
| Fannie Mae Pool AM4687 | | | | | |
3.70% | | | 12/01/25 | | | | 5,173,311 | | | | 5,245,614 | |
| Fannie Mae Pool AM4869 | | | | | |
4.07% | | | 12/01/25 | | | | 1,839,685 | | | | 1,900,777 | |
| Fannie Mae Pool AM6057 | | | | | |
3.44% | | | 08/01/26 | | | | 6,750,000 | | | | 6,741,641 | |
| Fannie Mae Pool AM6155 | | | | | |
3.23% | | | 07/01/26 | | | | 2,893,619 | | | | 2,861,351 | |
| Fannie Mae Pool AM6667 | | | | | |
3.39% | | | 09/01/26 | | | | 3,461,000 | | | | 3,435,748 | |
| Fannie Mae Pool AM7016 | | | | | |
3.47% | | | 10/01/29 | | | | 4,993,015 | | | | 4,906,557 | |
| Fannie Mae Pool AM8036 | | | | | |
2.66% | | | 03/01/27 | | | | 1,965,000 | | | | 1,850,905 | |
| Fannie Mae Pool AM8709 | | | | | |
2.82% | | | 04/01/27 | | | | 6,344,101 | | | | 6,096,264 | |
| Fannie Mae Pool AM8765 | | | | | |
2.83% | | | 06/01/27 | | | | 4,000,000 | | | | 3,801,483 | |
| Fannie Mae Pool AM8958 | | | | | |
2.97% | | | 06/01/30 | | | | 5,500,000 | | | | 5,089,625 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed (continued) | | | | | |
| Fannie Mae Pool AM8969 | | | | | |
3.27% | | | 07/01/30 | | | $ | 12,691,000 | | | $ | 12,143,033 | |
| Fannie Mae Pool AM9004 | | | | | |
2.80% | | | 06/01/25 | | | | 99,602,397 | | | | 96,664,515 | |
| Fannie Mae Pool AM9440 | | | | | |
3.05% | | | 07/01/27 | | | | 47,705,000 | | | | 46,156,341 | |
| Fannie Mae Pool AM9602 | | | | | |
3.57% | | | 08/01/27 | | | | 1,749,168 | | | | 1,749,456 | |
| Fannie Mae Pool AM9623 | | | | | |
3.34% | | | 07/01/30 | | | | 1,420,000 | | | | 1,366,384 | |
| Fannie Mae Pool AM9749 | | | | | |
3.48% | | | 11/01/30 | | | | 5,435,591 | | | | 5,340,336 | |
| Fannie Mae Pool AM9954 | | | | | |
3.22% | | | 11/01/27 | | | | 3,205,120 | | | | 3,128,896 | |
| Fannie Mae Pool AN0153 | | | | | |
3.36% | | | 11/01/30 | | | | 10,657,026 | | | | 10,288,524 | |
| Fannie Mae Pool AN0154 | | | | | |
3.36% | | | 11/01/30 | | | | 15,109,619 | | | | 14,587,154 | |
| Fannie Mae Pool AN0648 | | | | | |
3.28% | | | 01/01/28 | | | | 14,003,615 | | | | 13,730,000 | |
| Fannie Mae Pool AN0959 | | | | | |
2.92% | | | 05/01/31 | | | | 35,459,000 | | | | 32,603,118 | |
| Fannie Mae Pool AN1161 | | | | | |
3.05% | | | 04/01/28 | | | | 435,000 | | | | 415,614 | |
| Fannie Mae Pool AN1210 | | | | | |
2.85% | | | 05/01/31 | | | | 5,977,500 | | | | 5,498,851 | |
| Fannie Mae Pool AN1427 | | | | | |
2.96% | | | 04/01/28 | | | | 4,135,456 | | | | 3,973,157 | |
| Fannie Mae Pool AN1482 | | | | | |
3.03% | | | 05/01/31 | | | | 5,419,743 | | | | 5,071,633 | |
| Fannie Mae Pool AN1686 | | | | | |
2.32% | | | 07/01/26 | | | | 30,531,824 | | | | 28,517,633 | |
| Fannie Mae Pool AN1688 | | | | | |
2.32% | | | 07/01/26 | | | | 25,923,247 | | | | 24,213,084 | |
| Fannie Mae Pool AN1954 | | | | | |
2.26% | | | 07/01/26 | | | | 28,477,792 | | | | 26,468,874 | |
| Fannie Mae Pool AN2118 | | | | | |
2.32% | | | 08/01/26 | | | | 14,407,772 | | | | 13,451,425 | |
| Fannie Mae Pool AN2228 | | | | | |
2.52% | | | 08/01/26 | | | | 15,985,000 | | | | 15,037,108 | |
| Fannie Mae Pool AN2248 | | | | | |
2.48% | | | 08/01/26 | | | | 51,160,000 | | | | 47,987,913 | |
| Fannie Mae Pool AN2270 | | | | | |
2.51% | | | 08/01/26 | | | | 2,630,826 | | | | 2,484,708 | |
| Fannie Mae Pool AN2271 | | | | | |
2.33% | | | 08/01/26 | | | | 2,152,000 | | | | 1,983,582 | |
| Fannie Mae Pool AN2309 | | | | | |
2.21% | | | 07/01/26 | | | | 45,206,409 | | | | 41,902,936 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2018 / 144 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed (continued) | | | | | |
| Fannie Mae Pool AN2338 | | | | | |
2.36% | | | 09/01/26 | | | $ | 41,229,112 | | | $ | 38,559,857 | |
| Fannie Mae Pool AN2367 | | | | | |
2.46% | | | 08/01/26 | | | | 12,485,305 | | | | 11,735,653 | |
| Fannie Mae Pool AN2371 | | | | | |
2.18% | | | 09/01/26 | | | | 36,097,414 | | | | 33,320,482 | |
| Fannie Mae Pool AN3097 | | | | | |
2.54% | | | 11/01/28 | | | | 35,120,000 | | | | 32,215,625 | |
| Fannie Mae Pool AN3574 | | | | | |
2.34% | | | 11/01/26 | | | | 28,210,000 | | | | 25,956,929 | |
| Fannie Mae Pool AN3597 | | | | | |
| (LIBOR USD 1-Month plus 0.64%) | | | | | |
2.75% | | | 11/01/26 | 2 | | | 23,520,000 | | | | 23,495,787 | |
| Fannie Mae Pool AN3631 | | | | | |
2.99% | | | 02/01/29 | | | | 37,752,000 | | | | 35,701,304 | |
| Fannie Mae Pool AN4429 | | | | | |
3.22% | | | 01/01/27 | | | | 23,130,000 | | | | 22,657,128 | |
| Fannie Mae Pool AN4431 | | | | | |
3.22% | | | 01/01/27 | | | | 49,395,000 | | | | 48,385,164 | |
| Fannie Mae Pool AN4435 | | | | | |
3.22% | | | 01/01/27 | | | | 29,420,000 | | | | 28,818,535 | |
| Fannie Mae Pool AN5718 | | | | | |
3.24% | | | 06/01/29 | | | | 3,805,000 | | | | 3,646,002 | |
| Fannie Mae Pool AN5719 | | | | | |
3.24% | | | 06/01/29 | | | | 3,405,000 | | | | 3,262,717 | |
| Fannie Mae Pool AN6459 | | | | | |
3.21% | | | 08/01/29 | | | | 786,730 | | | | 761,736 | |
| Fannie Mae Pool AN6479 | | | | | |
2.80% | | | 12/01/22 | | | | 600,000 | | | | 586,156 | |
| Fannie Mae Pool AN9814 | | | | | |
3.63% | | | 08/01/28 | | | | 136,394,100 | | | | 136,785,983 | |
| Fannie Mae Pool AN9827 | | | | | |
3.62% | | | 08/01/28 | | | | 37,930,000 | | | | 38,060,324 | |
| Fannie Mae Pool AS8605 | | | | | |
3.00% | | | 01/01/32 | | | | 340,877 | | | | 337,127 | |
| Fannie Mae Pool AS8663 | | | | | |
4.50% | | | 01/01/47 | | | | 54,268,014 | | | | 56,101,682 | |
| Fannie Mae Pool AS9830 | | | | | |
4.00% | | | 06/01/47 | | | | 221,739,080 | | | | 224,151,133 | |
| Fannie Mae Pool AS9972 | | | | | |
4.00% | | | 07/01/47 | | | | 191,352,288 | | | | 193,433,797 | |
| Fannie Mae Pool AU3739 | | | | | |
3.50% | | | 08/01/43 | | | | 46,163,569 | | | | 45,855,143 | |
| Fannie Mae Pool BD2450 | | | | | |
3.50% | | | 01/01/47 | | | | 194,571 | | | | 191,646 | |
| Fannie Mae Pool BM2007 | | | | | |
4.00% | | | 09/01/48 | | | | 200,896,422 | | | | 203,011,627 | |
| Fannie Mae Pool CA1187 | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed (continued) | | | | | |
3.50% | | | 02/01/48 | | | $ | 214,339,972 | | | $ | 211,086,668 | |
| Fannie Mae Pool CA1711 | | | | | |
4.50% | | | 05/01/48 | | | | 49,351,031 | | | | 50,956,867 | |
| Fannie Mae Pool CA2208 | | | | | |
4.50% | | | 08/01/48 | | | | 118,924,402 | | | | 122,778,829 | |
| Fannie Mae Pool FN0000 | | | | | |
3.59% | | | 09/01/20 | | | | 6,142,882 | | | | 6,194,658 | |
| Fannie Mae Pool FN0001 | | | | | |
3.77% | | | 12/01/20 | | | | 37,341,481 | | | | 37,793,739 | |
| Fannie Mae Pool FN0003 | | | | | |
4.28% | | | 01/01/21 | | | | 6,147,838 | | | | 6,291,910 | |
| Fannie Mae Pool FN0005 | | | | | |
3.37% | | | 11/01/20 | | | | 33,590,730 | | | | 33,710,398 | |
| Fannie Mae Pool MA1177 | | | | | |
3.50% | | | 09/01/42 | | | | 79,047,691 | | | | 78,277,325 | |
| Fannie Mae Pool MA1404 | | | | | |
3.50% | | | 04/01/43 | | | | 6,069 | | | | 5,991 | |
| Fannie Mae Pool MA1527 | | | | | |
3.00% | | | 08/01/33 | | | | 73,641,917 | | | | 72,402,531 | |
| Fannie Mae Pool MA1561 | | | | | |
3.00% | | | 09/01/33 | | | | 45,873,187 | | | | 45,020,234 | |
| Fannie Mae Pool MA1582 | | | | | |
3.50% | | | 09/01/43 | | | | 23,334,057 | | | | 23,034,417 | |
| Fannie Mae Pool MA1584 | | | | | |
3.50% | | | 09/01/33 | | | | 74,954,372 | | | | 74,790,432 | |
| Fannie Mae Pool MA1608 | | | | | |
3.50% | | | 10/01/33 | | | | 51,623,359 | | | | 51,510,464 | |
| Fannie Mae Pool MA2960 | | | | | |
4.00% | | | 04/01/47 | | | | 125,642,776 | | | | 126,959,771 | |
| Fannie Mae Pool MA3027 | | | | | |
4.00% | | | 06/01/47 | | | | 220,577,385 | | | | 222,892,188 | |
| Fannie Mae Pool MA3029 | | | | | |
3.00% | | | 06/01/32 | | | | 73,386,599 | | | | 72,513,682 | |
| Fannie Mae Pool MA3058 | | | | | |
4.00% | | | 07/01/47 | | | | 86,258,085 | | | | 87,163,035 | |
| Fannie Mae Pool MA3182 | | | | | |
3.50% | | | 11/01/47 | | | | 131,035,158 | | | | 129,042,095 | |
| Fannie Mae Pool MA3210 | | | | | |
3.50% | | | 12/01/47 | | | | 285,083,462 | | | | 280,747,302 | |
| Fannie Mae Pool MA3237 | | | | | |
3.00% | | | 01/01/48 | | | | 953,544 | | | | 913,009 | |
| Fannie Mae Pool MA3238 | | | | | |
3.50% | | | 01/01/48 | | | | 189,155,917 | | | | 186,278,829 | |
| Fannie Mae Pool MA3239 | | | | | |
4.00% | | | 01/01/48 | | | | 1,475,436 | | | | 1,491,039 | |
| Fannie Mae Pool MA3275 | | | | | |
3.00% | | | 02/01/48 | | | | 1,595,074 | | | | 1,527,069 | |
| Fannie Mae Pool MA3276 | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 145 / Semi-Annual Report September 2018 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed (continued) | | | | | |
3.50% | | | 02/01/48 | | | $ | 80,583,191 | | | $ | 79,357,509 | |
| Fannie Mae Pool MA3305 | | | | | |
3.50% | | | 03/01/48 | | | | 234,670,700 | | | | 231,083,890 | |
| Fannie Mae Pool MA3306 | | | | | |
4.00% | | | 03/01/48 | | | | 387,189 | | | | 391,267 | |
| Fannie Mae Pool MA3332 | | | | | |
3.50% | | | 04/01/48 | | | | 441,235,081 | | | | 434,491,050 | |
| Fannie Mae Pool MA3383 | | | | | |
3.50% | | | 06/01/48 | | | | 272,805,930 | | | | 268,690,762 | |
| Fannie Mae Pool MA3444 | | | | | |
4.50% | | | 08/01/48 | | | | 145,413,472 | | | | 150,167,811 | |
| Fannie Mae Pool MA3468 | | | | | |
4.50% | | | 09/01/48 | | | | 46,205,000 | | | | 47,715,687 | |
| Fannie Mae Pool MA3496 | | | | | |
4.50% | | | 10/01/48 | | | | 23,829,721 | | | | 24,603,256 | |
| Fannie Mae REMICS, Series 1989-27, Class Y | | | | | |
6.90% | | | 06/25/19 | | | | 20 | | | | 21 | |
| Fannie Mae REMICS, Series 1991-65, Class Z | | | | | |
6.50% | | | 06/25/21 | | | | 1,449 | | | | 1,490 | |
| Fannie Mae REMICS, Series 1992-123, Class Z | | | | | |
7.50% | | | 07/25/22 | | | | 654 | | | | 688 | |
Fannie Mae REMICS, Series 1993-132, Class D (PO) | | | | | |
0.00% | | | 10/25/22 | 9 | | | 26,985 | | | | 25,698 | |
| Fannie Mae REMICS, Series 1993-29, Class PK | | | | | |
7.00% | | | 03/25/23 | | | | 2,905 | | | | 3,011 | |
| Fannie Mae REMICS, Series 1994-55, Class H | | | | | |
7.00% | | | 03/25/24 | | | | 11,925 | | | | 12,846 | |
| Fannie Mae REMICS, Series 1997-34, Class SA | | | | | |
(Cost of Funds 11th District of San Francisco * 5.542, 37.68% Cap) | | | | | |
5.62% | | | 10/25/23 | 2 | | | 3,176 | | | | 3,880 | |
| Fannie Mae REMICS, Series 1998-37, Class VZ | | | | | |
6.00% | | | 06/17/28 | | | | 7,862 | | | | 8,230 | |
| Fannie Mae REMICS, Series 1999-11, Class Z | | | | | |
5.50% | | | 03/25/29 | | | | 36,540 | | | | 37,621 | |
| Fannie Mae REMICS, Series 2001-52, Class YZ | | | | | |
6.50% | | | 10/25/31 | | | | 134,439 | | | | 148,256 | |
Fannie Mae REMICS, Series 2005-104, Class NI (IO) | | | | | |
(-1.00 X LIBOR USD 1-Month plus 6.70%, 6.70% Cap) | | | | | |
4.48% | | | 03/25/35 | 2 | | | 9,100,358 | | | | 356,930 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed (continued) | | | | | |
| Fannie Mae REMICS, Series 2005-117, Class LC | | | | | |
5.50% | | | 11/25/35 | | | $ | 7,352,796 | | | $ | 7,626,313 | |
Fannie Mae REMICS, Series 2005-122, Class SG (IO) | | | | | |
(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap) | | | | | |
4.38% | | | 11/25/35 | 2 | | | 87,383 | | | | 8,760 | |
Fannie Mae REMICS, Series 2005-92, Class US (IO) | | | | | |
(-1.00 X LIBOR USD 1-Month plus 6.10%, 6.10% Cap) | | | | | |
3.88% | | | 10/25/25 | 2 | | | 6,133,913 | | | | 434,369 | |
| Fannie Mae REMICS, Series 2006-4, Class WE | | | | | |
4.50% | | | 02/25/36 | | | | 86,288 | | | | 88,810 | |
| Fannie Mae REMICS, Series 2006-49, Class SE | | | | | |
(-4.00 X LIBOR USD 1-Month plus 29.00%, 29.00% Cap) | | | | | |
20.14% | | | 04/25/36 | 2 | | | 2,431,434 | | | | 3,443,589 | |
| Fannie Mae REMICS, Series 2007-17, Class SI (IO) | | | | | |
(-1.00 X LIBOR USD 1-Month plus 6.40%, 6.40% Cap) | | | | | |
4.18% | | | 03/25/37 | 2 | | | 1,902,084 | | | | 201,804 | |
Fannie Mae REMICS, Series 2007-34, Class SB (IO) | | | | | |
(-1.00 X LIBOR USD 1-Month plus 6.11%, 6.11% Cap) | | | | | |
3.89% | | | 04/25/37 | 2 | | | 4,372,078 | | | | 562,129 | |
| Fannie Mae REMICS, Series 2007-64, Class FA | | | | | |
| (LIBOR USD 1-Month plus 0.47%) | | | | | |
2.69% | | | 07/25/37 | 2 | | | 5,663 | | | | 5,712 | |
| Fannie Mae REMICS, Series 2008-24, Class NA | | | | | |
6.75% | | | 06/25/37 | | | | 616,014 | | | | 671,409 | |
Fannie Mae REMICS, Series 2010-116, Class SE (IO) | | | | | |
(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap) | | | | | |
4.38% | | | 10/25/40 | 2 | | | 5,461,346 | | | | 735,125 | |
| Fannie Mae REMICS, Series 2010-135, Class EA | | | | | |
3.00% | | | 01/25/40 | | | | 13,499 | | | | 13,380 | |
Fannie Mae REMICS, Series 2010-17, Class SB (IO) | | | | | |
(-1.00 X LIBOR USD 1-Month plus 6.35%, 6.35% Cap) | | | | | |
4.13% | | | 03/25/40 | 2 | | | 9,611,956 | | | | 1,525,394 | |
Fannie Mae REMICS, Series 2010-43, Class KS (IO) | | | | | |
(-1.00 X LIBOR USD 1-Month plus 6.42%, 6.42% Cap) | | | | | |
4.20% | | | 05/25/40 | 2 | | | 17,097,251 | | | | 2,417,495 | |
| Fannie Mae REMICS, Series 2011-101, Class HE | | | | | |
4.00% | | | 10/25/41 | | | | 10,100,000 | | | | 10,002,689 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| Semi-Annual Report September 2018 / 146 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| 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 | | | $ | 25,428,977 | |
| Fannie Mae REMICS, Series 2011-2, Class PD | | | | | |
4.00% | | | 12/25/39 | | | | 36,844 | | | | 36,024 | |
Fannie Mae REMICS, Series 2013-101, Class BO (PO) | | | | | |
0.00% | | | 10/25/43 | 9 | | | 24,078,070 | | | | 18,541,591 | |
Fannie Mae REMICS, Series 2013-101, Class CO (PO) | | | | | |
0.00% | | | 10/25/43 | 9 | | | 14,923,880 | | | | 11,716,710 | |
Fannie Mae REMICS, Series 2018-29, Class AP | | | | | |
3.50% | | | 11/25/46 | | | | 289,543,497 | | | | 288,878,806 | |
Fannie Mae REMICS, Series 2018-55, Class PA | | | | | |
3.50% | | | 01/25/47 | | | | 82,645,198 | | | | 82,485,964 | |
| Fannie Mae REMICS, Series G92-12, Class B | | | | | |
7.70% | | | 02/25/22 | | | | 10 | | | | 10 | |
| Fannie Mae REMICS, Series G92-36, Class Z | | | | | |
7.00% | | | 07/25/22 | | | | 42 | | | | 44 | |
| Fannie Mae REMICS, Series G93-21, Class Z | | | | | |
7.20% | | | 05/25/23 | | | | 2,553 | | | | 2,699 | |
| Fannie Mae Trust, Series 2003-W2, Class 2A9 | | | | | |
5.90% | | | 07/25/42 | | | | 32,042 | | | | 34,460 | |
| Freddie Mac Gold Pool (TBA) | | | | | |
4.00% | | | 10/01/47 | | | | 109,325,000 | | | | 110,405,068 | |
4.50% | | | 10/01/47 | | | | 394,500,000 | | | | 407,213,374 | |
| Freddie Mac Gold Pool A24156 | | | | | |
6.50% | | | 10/01/31 | | | | 254,940 | | | | 282,244 | |
| Freddie Mac Gold Pool A25162 | | | | | |
5.50% | | | 05/01/34 | | | | 2,462,331 | | | | 2,666,500 | |
| Freddie Mac Gold Pool A39012 | | | | | |
5.50% | | | 06/01/35 | | | | 46,921 | | | | 50,947 | |
| Freddie Mac Gold Pool A54856 | | | | | |
5.00% | | | 01/01/34 | | | | 4,479,574 | | | | 4,752,729 | |
| Freddie Mac Gold Pool A61164 | | | | | |
5.00% | | | 04/01/36 | | | | 13,862 | | | | 14,702 | |
| Freddie Mac Gold Pool A97038 | | | | | |
4.00% | | | 02/01/41 | | | | 14,310,074 | | | | 14,538,796 | |
| Freddie Mac Gold Pool C01492 | | | | | |
5.00% | | | 02/01/33 | | | | 713,490 | | | | 755,723 | |
| Freddie Mac Gold Pool C04546 | | | | | |
3.00% | | | 02/01/43 | | | | 22,480,588 | | | | 21,714,247 | |
| Freddie Mac Gold Pool C04573 | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed (continued) | | | | | |
3.00% | | | 03/01/43 | | | $ | 28,141,304 | | | $ | 27,030,398 | |
| Freddie Mac Gold Pool C46104 | | | | | |
6.50% | | | 09/01/29 | | | | 17,006 | | | | 18,826 | |
| Freddie Mac Gold Pool C55789 | | | | | |
7.50% | | | 10/01/27 | | | | 8,830 | | | | 9,412 | |
| Freddie Mac Gold Pool C90573 | | | | | |
6.50% | | | 08/01/22 | | | | 44,214 | | | | 46,681 | |
| Freddie Mac Gold Pool E02402 | | | | | |
6.00% | | | 10/01/22 | | | | 11,755 | | | | 12,098 | |
| Freddie Mac Gold Pool G00992 | | | | | |
7.00% | | | 11/01/28 | | | | 878 | | | | 953 | |
| Freddie Mac Gold Pool G01515 | | | | | |
5.00% | | | 02/01/33 | | | | 801,442 | | | | 848,167 | |
| Freddie Mac Gold Pool G02579 | | | | | |
5.00% | | | 12/01/34 | | | | 1,044,717 | | | | 1,109,248 | |
| Freddie Mac Gold Pool G02884 | | | | | |
6.00% | | | 04/01/37 | | | | 2,718,060 | | | | 2,964,110 | |
| Freddie Mac Gold Pool G02955 | | | | | |
5.50% | | | 03/01/37 | | | | 3,959,493 | | | | 4,324,294 | |
| Freddie Mac Gold Pool G03357 | | | | | |
5.50% | | | 08/01/37 | | | | 1,549,715 | | | | 1,690,461 | |
| Freddie Mac Gold Pool G03676 | | | | | |
5.50% | | | 12/01/37 | | | | 2,721,903 | | | | 2,972,065 | |
| Freddie Mac Gold Pool G03783 | | | | | |
5.50% | | | 01/01/38 | | | | 2,077,056 | | | | 2,268,916 | |
| Freddie Mac Gold Pool G03985 | | | | | |
6.00% | | | 03/01/38 | | | | 24,918 | | | | 27,452 | |
| Freddie Mac Gold Pool G04438 | | | | | |
5.50% | | | 05/01/38 | | | | 5,589,317 | | | | 6,064,878 | |
| Freddie Mac Gold Pool G04703 | | | | | |
5.50% | | | 08/01/38 | | | | 4,985,663 | | | | 5,320,645 | |
| Freddie Mac Gold Pool G04706 | | | | | |
5.50% | | | 09/01/38 | | | | 207,790 | | | | 226,988 | |
| Freddie Mac Gold Pool G05866 | | | | | |
4.50% | | | 02/01/40 | | | | 20,416,899 | | | | 21,431,020 | |
| Freddie Mac Gold Pool G06361 | | | | | |
4.00% | | | 03/01/41 | | | | 26,759 | | | | 27,271 | |
| Freddie Mac Gold Pool G06498 | | | | | |
4.00% | | | 04/01/41 | | | | 27,144,642 | | | | 27,683,294 | |
| Freddie Mac Gold Pool G06499 | | | | | |
4.00% | | | 03/01/41 | | | | 13,177,895 | | | | 13,439,394 | |
| Freddie Mac Gold Pool G07408 | | | | | |
3.50% | | | 06/01/43 | | | | 25,285,038 | | | | 25,121,080 | |
| Freddie Mac Gold Pool G07786 | | | | | |
4.00% | | | 08/01/44 | | | | 245,736,284 | | | | 250,295,844 | |
| Freddie Mac Gold Pool G07848 | | | | | |
3.50% | | | 04/01/44 | | | | 125,586,325 | | | | 124,654,236 | |
| Freddie Mac Gold Pool G07849 | | | | | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| 147 / Semi-Annual Report September 2018 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed (continued) | | | | | |
3.50% | | | 05/01/44 | | | $ | 18,054,630 | | | $ | 17,903,704 | |
| Freddie Mac Gold Pool G07924 | | | | | |
3.50% | | | 01/01/45 | | | | 26,347,839 | | | | 26,100,269 | |
| Freddie Mac Gold Pool G07925 | | | | | |
4.00% | | | 02/01/45 | | | | 15,986,684 | | | | 16,283,138 | |
| Freddie Mac Gold Pool G08676 | | | | | |
3.50% | | | 11/01/45 | | | | 96,125,346 | | | | 94,871,208 | |
| Freddie Mac Gold Pool G08681 | | | | | |
3.50% | | | 12/01/45 | | | | 63,532,060 | | | | 62,703,163 | |
| Freddie Mac Gold Pool G08710 | | | | | |
3.00% | | | 06/01/46 | | | | 309,527,791 | | | | 296,593,101 | |
| Freddie Mac Gold Pool G08711 | | | | | |
3.50% | | | 06/01/46 | | | | 28,261,215 | | | | 27,876,804 | |
| Freddie Mac Gold Pool G08715 | | | | | |
3.00% | | | 08/01/46 | | | | 441,731,309 | | | | 423,272,038 | |
| Freddie Mac Gold Pool G08721 | | | | | |
3.00% | | | 09/01/46 | | | | 29,687,854 | | | | 28,447,244 | |
| Freddie Mac Gold Pool G08722 | | | | | |
3.50% | | | 09/01/46 | | | | 123,595,502 | | | | 121,882,711 | |
| Freddie Mac Gold Pool G08726 | | | | | |
3.00% | | | 10/01/46 | | | | 482,608,331 | | | | 462,440,872 | |
| Freddie Mac Gold Pool G08727 | | | | | |
3.50% | | | 10/01/46 | | | | 100,647,573 | | | | 99,239,662 | |
| Freddie Mac Gold Pool G08732 | | | | | |
3.00% | | | 11/01/46 | | | | 285,771,912 | | | | 273,829,944 | |
| Freddie Mac Gold Pool G08737 | | | | | |
3.00% | | | 12/01/46 | | | | 166,646,435 | | | | 159,682,537 | |
| Freddie Mac Gold Pool G08741 | | | | | |
3.00% | | | 01/01/47 | | | | 164,924,751 | | | | 158,032,800 | |
| Freddie Mac Gold Pool G08742 | | | | | |
3.50% | | | 01/01/47 | | | | 153,551,770 | | | | 151,351,566 | |
| Freddie Mac Gold Pool G08747 | | | | | |
3.00% | | | 02/01/47 | | | | 53,322,967 | | | | 51,094,683 | |
| Freddie Mac Gold Pool G08757 | | | | | |
3.50% | | | 04/01/47 | | | | 76,411,214 | | | | 75,263,567 | |
| Freddie Mac Gold Pool G08762 | | | | | |
4.00% | | | 05/01/47 | | | | 63,380,367 | | | | 64,131,312 | |
| Freddie Mac Gold Pool G08791 | | | | | |
3.00% | | | 12/01/47 | | | | 307,034,135 | | | | 293,973,685 | |
| Freddie Mac Gold Pool G08795 | | | | | |
3.00% | | | 01/01/48 | | | | 50,906,835 | | | | 48,749,261 | |
| Freddie Mac Gold Pool G08826 | | | | | |
5.00% | | | 06/01/48 | | | | 55,405,112 | | | | 58,219,451 | |
| Freddie Mac Gold Pool G08833 | | | | | |
5.00% | | | 07/01/48 | | | | 31,252,191 | | | | 32,834,160 | |
| Freddie Mac Gold Pool G08838 | | | | | |
5.00% | | | 09/01/48 | | | | 16,934,991 | | | | 17,804,232 | |
| Freddie Mac Gold Pool G08840 | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed (continued) | | | | | |
5.00% | | | 08/01/48 | | | $ | 6,291,780 | | | $ | 6,614,725 | |
| Freddie Mac Gold Pool G08843 | | | | | |
4.50% | | | 10/01/48 | | | | 44,534,671 | | | | 46,014,924 | |
| Freddie Mac Gold Pool G11707 | | | | | |
6.00% | | | 03/01/20 | | | | 42,417 | | | | 42,676 | |
| Freddie Mac Gold Pool G12393 | | | | | |
5.50% | | | 10/01/21 | | | | 1,515,611 | | | | 1,548,648 | |
| Freddie Mac Gold Pool G12399 | | | | | |
6.00% | | | 09/01/21 | | | | 910 | | | | 933 | |
| Freddie Mac Gold Pool G12824 | | | | | |
6.00% | | | 08/01/22 | | | | 1,055,847 | | | | 1,095,208 | |
| Freddie Mac Gold Pool G12909 | | | | | |
6.00% | | | 11/01/22 | | | | 2,691,524 | | | | 2,795,549 | |
| Freddie Mac Gold Pool G13032 | | | | | |
6.00% | | | 09/01/22 | | | | 422,462 | | | | 435,114 | |
| Freddie Mac Gold Pool G13058 | | | | | |
4.50% | | | 10/01/20 | | | | 187,669 | | | | 190,093 | |
| Freddie Mac Gold Pool G16085 | | | | | |
2.50% | | | 02/01/32 | | | | 6,348,101 | | | | 6,128,830 | |
| Freddie Mac Gold Pool G18596 | | | | | |
3.00% | | | 04/01/31 | | | | 75,837,028 | | | | 74,911,729 | |
| Freddie Mac Gold Pool G60023 | | | | | |
3.50% | | | 04/01/45 | | | | 22,190,610 | | | | 22,018,979 | |
| Freddie Mac Gold Pool G60080 | | | | | |
3.50% | | | 06/01/45 | | | | 267,496,389 | | | | 265,009,502 | |
| Freddie Mac Gold Pool G60138 | | | | | |
3.50% | | | 08/01/45 | | | | 186,910,417 | | | | 185,464,777 | |
| Freddie Mac Gold Pool G60238 | | | | | |
3.50% | | | 10/01/45 | | | | 82,135,275 | | | | 81,238,394 | |
| Freddie Mac Gold Pool G67700 | | | | | |
3.50% | | | 08/01/46 | | | | 60,470,703 | | | | 59,832,925 | |
| Freddie Mac Gold Pool G67703 | | | | | |
3.50% | | | 04/01/47 | | | | 602,582,810 | | | | 596,039,123 | |
| Freddie Mac Gold Pool G67706 | | | | | |
3.50% | | | 12/01/47 | | | | 315,178,126 | | | | 311,320,289 | |
| Freddie Mac Gold Pool G67707 | | | | | |
3.50% | | | 01/01/48 | | | | 687,047,691 | | | | 679,504,319 | |
| Freddie Mac Gold Pool G67708 | | | | | |
3.50% | | | 03/01/48 | | | | 782,220,392 | | | | 772,050,205 | |
| Freddie Mac Gold Pool G67709 | | | | | |
3.50% | | | 03/01/48 | | | | 506,738,863 | | | | 500,760,915 | |
| Freddie Mac Gold Pool G67710 | | | | | |
3.50% | | | 03/01/48 | | | | 536,231,441 | | | | 528,846,194 | |
| Freddie Mac Gold Pool G67711 | | | | | |
4.00% | | | 03/01/48 | | | | 144,033,491 | | | | 146,452,807 | |
| Freddie Mac Gold Pool G67713 | | | | | |
4.00% | | | 06/01/48 | | | | 213,554,013 | | | | 216,645,018 | |
| Freddie Mac Gold Pool H00790 | | | | | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| Semi-Annual Report September 2018 / 148 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | | | | | |
5.50% | | | 05/01/37 | | | $ | 16,977 | | | $ | 17,888 | |
| Freddie Mac Gold Pool H03161 | | | | | |
6.50% | | | 08/01/37 | | | | 1,143 | | | | 1,226 | |
| Freddie Mac Gold Pool H05069 | | | | | |
5.50% | | | 05/01/37 | | | | 588,455 | | | | 620,015 | |
| Freddie Mac Gold Pool Q05804 | | | | | |
4.00% | | | 01/01/42 | | | | 44,797,930 | | | | 45,660,640 | |
| Freddie Mac Gold Pool Q56089 | | | | | |
5.00% | | | 05/01/48 | | | | 27,190,195 | | | | 28,615,743 | |
| Freddie Mac Gold Pool U99097 | | | | | |
3.50% | | | 07/01/43 | | | | 76,723,248 | | | | 75,966,071 | |
| Freddie Mac Gold Pool V80356 | | | | | |
3.50% | | | 08/01/43 | | | | 47,290,374 | | | | 46,939,389 | |
| Freddie Mac REMICS, Series 1004, Class H | | | | | |
7.95% | | | 10/15/20 | | | | 35 | | | | 36 | |
| Freddie Mac REMICS, Series 1073, Class G | | | | | |
7.00% | | | 05/15/21 | | | | 153 | | | | 158 | |
| Freddie Mac REMICS, Series 1107, Class ZC | | | | | |
6.50% | | | 07/15/21 | | | | 1,878 | | | | 1,938 | |
| Freddie Mac REMICS, Series 165, Class K | | | | | |
6.50% | | | 09/15/21 | | | | 14 | | | | 14 | |
| Freddie Mac REMICS, Series 1980, Class Z | | | | | |
7.00% | | | 07/15/27 | | | | 96,212 | | | | 105,131 | |
| Freddie Mac REMICS, Series 1983, Class Z | | | | | |
6.50% | | | 12/15/23 | | | | 35,465 | | | | 37,144 | |
| Freddie Mac REMICS, Series 2098, Class TZ | | | | | |
6.00% | | | 01/15/28 | | | | 401,181 | | | | 425,055 | |
| Freddie Mac REMICS, Series 2174, Class PN | | | | | |
6.00% | | | 07/15/29 | | | | 21,946 | | | | 23,304 | |
| Freddie Mac REMICS, Series 2313, Class LA | | | | | |
6.50% | | | 05/15/31 | | | | 11,748 | | | | 13,128 | |
Freddie Mac REMICS, Series 2433, Class SA (-2.60 X LIBOR USD 1-Month plus 20.93%, 20.93% Cap) | | | | | |
15.32% | | | 02/15/32 | 2 | | | 11,048 | | | | 14,286 | |
| Freddie Mac REMICS, Series 2481, Class AW | | | | | |
6.50% | | | 08/15/32 | | | | 44,568 | | | | 47,654 | |
Freddie Mac REMICS, Series 2642, Class BW (IO) | | | | | |
5.00% | | | 06/15/23 | | | | 6,600 | | | | 158 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | | | | | |
| Freddie Mac REMICS, Series 2649, Class PC | | | | | |
5.50% | | | 07/15/33 | | | $ | 2,981 | | | $ | 3,009 | |
Freddie Mac REMICS, Series 3019, Class SW (IO) | | | | | |
(-1.00 X LIBOR USD 1-Month plus 7.20%, 7.20% Cap) | | | | | |
5.04% | | | 08/15/35 | 2 | | | 1,728,038 | | | | 311,063 | |
| Freddie Mac REMICS, Series 3063, Class YG | | | | | |
5.50% | | | 11/15/35 | | | | 4,687,818 | | | | 5,033,667 | |
Freddie Mac REMICS, Series 3300, Class SA (IO) | | | | | |
| (-1.00 X LIBOR USD 1-Month plus 7.20%, 7.20% Cap) | | | | | |
5.04% | | | 08/15/35 | 2 | | | 764,004 | | | | 128,777 | |
Freddie Mac REMICS, Series 3707, Class EI (IO) | | | | | |
5.00% | | | 12/15/38 | | | | 13,705,908 | | | | 1,350,010 | |
| Freddie Mac REMICS, Series 3730, Class JG | | | | | |
3.00% | | | 09/15/39 | | | | 15,600 | | | | 15,383 | |
| Freddie Mac REMICS, Series 3752, Class XL | | | | | |
4.50% | | | 11/15/40 | | | | 66,277,000 | | | | 68,157,239 | |
Freddie Mac REMICS, Series 3891, Class HS (IO) | | | | | |
(-1.00 X LIBOR USD 1-Month plus 5.95%, 5.95% Cap) | | | | | |
3.79% | | | 07/15/41 | 2 | | | 8,053,142 | | | | 549,354 | |
| Freddie Mac REMICS, Series 3904, Class JB | | | | | |
4.50% | | | 08/15/41 | | | | 18,155,000 | | | | 18,750,738 | |
| Freddie Mac REMICS, Series 3925, Class LB | | | | | |
4.50% | | | 09/15/41 | | | | 9,215,000 | | | | 9,741,726 | |
| Freddie Mac REMICS, Series 3928, Class JD | | | | | |
4.00% | | | 09/15/41 | | | | 32,095,702 | | | | 32,713,818 | |
| Freddie Mac REMICS, Series 4102, Class TC | | | | | |
2.50% | | | 09/15/41 | | | | 19,816,243 | | | | 19,285,557 | |
| Freddie Mac REMICS, Series 4161, Class BA | | | | | |
2.50% | | | 12/15/41 | | | | 30,182,452 | | | | 29,349,524 | |
| Freddie Mac Strips, Series 309, Class PO (PO) | | | | | |
0.00% | | | 08/15/43 | 9 | | | 36,270,284 | | | | 28,355,371 | |
| Freddie Mac Strips, Series 319, Class F2 (LIBOR USD 1-Month plus 0.50%) | | | | | |
2.66% | | | 11/15/43 | 2 | | | 6,940,435 | | | | 6,995,787 | |
| Ginnie Mae I Pool 782817 | | | | | |
4.50% | | | 11/15/39 | | | | 21,299,200 | | | | 22,244,192 | |
| Ginnie Mae II Pool (TBA) | | | | | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| 149 / Semi-Annual Report September 2018 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed (continued) | | | | | |
3.50% | | | 10/20/47 | | | $ | 354,630,000 | | | $ | 352,607,503 | |
4.00% | | | 10/20/47 | | | | 189,375,000 | | | | 192,607,694 | |
4.50% | | | 10/20/47 | | | | 22,400,000 | | | | 23,151,759 | |
5.00% | | | 10/20/47 | | | | 56,000,000 | | | | 58,471,876 | |
| Ginnie Mae II Pool 2631 | | | | | |
7.00% | | | 08/20/28 | | | | 2,279 | | | | 2,523 | |
| Ginnie Mae II Pool 3388 | | | | | |
4.50% | | | 05/20/33 | | | | 6,657 | | | | 6,935 | |
| Ginnie Mae II Pool 3427 | | | | | |
4.50% | | | 08/20/33 | | | | 2,146 | | | | 2,239 | |
| Ginnie Mae II Pool 3554 | | | | | |
4.50% | | | 05/20/34 | | | | 2,187 | | | | 2,281 | |
| Ginnie Mae II Pool 4058 | | | | | |
5.00% | | | 12/20/37 | | | | 1,291 | | | | 1,361 | |
| Ginnie Mae II Pool 4342 | | | | | |
5.00% | | | 01/20/39 | | | | 1,863 | | | | 1,981 | |
| Ginnie Mae II Pool 4520 | | | | | |
5.00% | | | 08/20/39 | | | | 36,631 | | | | 39,011 | |
| Ginnie Mae II Pool 5175 | | | | | |
4.50% | | | 09/20/41 | | | | 11,775 | | | | 12,346 | |
| Ginnie Mae II Pool 5281 | | | | | |
4.50% | | | 01/20/42 | | | | 23,296 | | | | 24,431 | |
| Ginnie Mae II Pool 783591 | | | | | |
4.50% | | | 07/20/41 | | | | 30,824 | | | | 32,318 | |
| Ginnie Mae II Pool 80968 | | | | | |
| (US Treasury Yield Curve Rate T Note | | | | | |
| Constant Maturity 1 Year plus 1.50%) | | | | | |
2.75% | | | 07/20/34 | 2 | | | 17,654 | | | | 18,137 | |
| Ginnie Mae II Pool 81267 | | | | | |
| (US Treasury Yield Curve Rate T Note | | | | | |
| Constant Maturity 1 Year plus 1.50%) | | | | | |
3.38% | | | 03/20/35 | 2 | | | 30,876 | | | | 31,977 | |
| Ginnie Mae II Pool 81432 | | | | | |
| (US Treasury Yield Curve Rate T Note | | | | | |
| Constant Maturity 1 Year plus 1.50%) | | | | | |
2.75% | | | 08/20/35 | 2 | | | 31,910 | | | | 33,068 | |
| Ginnie Mae II Pool 81497 | | | | | |
| (US Treasury Yield Curve Rate T Note | | | | | |
| Constant Maturity 1 Year plus 1.50%) | | | | | |
3.13% | | | 10/20/35 | 2 | | | 28,230 | | | | 29,310 | |
| Ginnie Mae II Pool 8631 | | | | | |
| (US Treasury Yield Curve Rate T Note | | | | | |
| Constant Maturity 1 Year plus 1.50%) | | | | | |
3.63% | | | 05/20/25 | 2 | | | 5,333 | | | | 5,463 | |
| Ginnie Mae II Pool 8644 | | | | | |
| (US Treasury Yield Curve Rate T Note | | | | | |
| Constant Maturity 1 Year plus 1.50%) | | | | | |
3.63% | | | 06/20/25 | 2 | | | 7,367 | | | | 7,549 | |
| Ginnie Mae II Pool MA0627 | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed (continued) | | | | | |
4.50% | | | 12/20/42 | | | $ | 91,473 | | | $ | 95,914 | |
| Ginnie Mae II Pool MA0701 | | | | | |
4.50% | | | 01/20/43 | | | | 116,837 | | | | 121,965 | |
| Ginnie Mae II Pool MA1997 | | | | | |
4.50% | | | 06/20/44 | | | | 26,162 | | | | 27,478 | |
| Ginnie Mae II Pool MA2374 | | | | | |
5.00% | | | 11/20/44 | | | | 668,214 | | | | 698,284 | |
| Ginnie Mae II Pool MA2756 | | | | | |
4.50% | | | 04/20/45 | | | | 58,595 | | | | 61,408 | |
| Ginnie Mae II Pool MA2828 | | | | | |
4.50% | | | 05/20/45 | | | | 2,518,694 | | | | 2,615,876 | |
| Ginnie Mae II Pool MA2894 | | | | | |
4.50% | | | 06/20/45 | | | | 960,395 | | | | 1,006,353 | |
| Ginnie Mae II Pool MA3036 | | | | | |
4.50% | | | 08/20/45 | | | | 105,862 | | | | 110,946 | |
| Ginnie Mae II Pool MA3456 | | | | | |
4.50% | | | 02/20/46 | | | | 687,111 | | | | 716,669 | |
| Ginnie Mae II Pool MA3521 | | | | | |
3.50% | | | 03/20/46 | | | | 92,788,946 | | | | 92,507,600 | |
| Ginnie Mae II Pool MA3524 | | | | | |
5.00% | | | 03/20/46 | | | | 27,677 | | | | 29,339 | |
| Ginnie Mae II Pool MA3597 | | | | | |
3.50% | | | 04/20/46 | | | | 233,568,443 | | | | 232,788,224 | |
| Ginnie Mae II Pool MA3600 | | | | | |
5.00% | | | 04/20/46 | | | | 18,017,063 | | | | 19,098,728 | |
| Ginnie Mae II Pool MA3663 | | | | | |
3.50% | | | 05/20/46 | | | | 68,349,986 | | | | 68,111,131 | |
| Ginnie Mae II Pool MA3665 | | | | | |
4.50% | | | 05/20/46 | | | | 289,069 | | | | 300,778 | |
| Ginnie Mae II Pool MA3666 | | | | | |
5.00% | | | 05/20/46 | | | | 9,954,397 | | | | 10,600,489 | |
| Ginnie Mae II Pool MA3738 | | | | | |
4.50% | | | 06/20/46 | | | | 1,258,352 | | | | 1,309,325 | |
| Ginnie Mae II Pool MA3739 | | | | | |
5.00% | | | 06/20/46 | | | | 5,851,107 | | | | 6,203,632 | |
| Ginnie Mae II Pool MA3805 | | | | | |
4.50% | | | 07/20/46 | | | | 10,085,296 | | | | 10,490,678 | |
| Ginnie Mae II Pool MA3806 | | | | | |
5.00% | | | 07/20/46 | | | | 437,508 | | | | 463,775 | |
| Ginnie Mae II Pool MA3876 | | | | | |
4.50% | | | 08/20/46 | | | | 10,485,694 | | | | 10,926,830 | |
| Ginnie Mae II Pool MA3877 | | | | | |
5.00% | | | 08/20/46 | | | | 2,088,581 | | | | 2,222,231 | |
| Ginnie Mae II Pool MA3937 | | | | | |
3.50% | | | 09/20/46 | | | | 53,805,545 | | | | 53,584,336 | |
| Ginnie Mae II Pool MA3939 | | | | | |
4.50% | | | 09/20/46 | | | | 5,675,093 | | | | 5,898,206 | |
| Ginnie Mae II Pool MA4003 | | | | | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| Semi-Annual Report September 2018 / 150 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed (continued) | | | | | |
3.00% | | | 10/20/46 | | | $ | 27,846,165 | | | $ | 27,044,759 | |
| Ginnie Mae II Pool MA4006 | | | | | |
4.50% | | | 10/20/46 | | | | 6,351,887 | | | | 6,627,052 | |
| Ginnie Mae II Pool MA4007 | | | | | |
5.00% | | | 10/20/46 | | | | 12,818,953 | | | | 13,395,806 | |
| Ginnie Mae II Pool MA4069 | | | | | |
3.50% | | | 11/20/46 | | | | 168,304,843 | | | | 167,693,576 | |
| Ginnie Mae II Pool MA4071 | | �� | | | |
4.50% | | | 11/20/46 | | | | 18,756,189 | | | | 19,723,454 | |
| Ginnie Mae II Pool MA4072 | | | | | |
5.00% | | | 11/20/46 | | | | 3,171,659 | | | | 3,371,666 | |
| Ginnie Mae II Pool MA4126 | | | | | |
3.00% | | | 12/20/46 | | | | 461,326,205 | | | | 447,774,840 | |
| Ginnie Mae II Pool MA4127 | | | | | |
3.50% | | | 12/20/46 | | | | 174,461,404 | | | | 173,663,456 | |
| Ginnie Mae II Pool MA4129 | | | | | |
4.50% | | | 12/20/46 | | | | 54,791,523 | | | | 57,171,577 | |
| Ginnie Mae II Pool MA4198 | | | | | |
4.50% | | | 01/20/47 | | | | 498,648 | | | | 517,476 | |
| Ginnie Mae II Pool MA4199 | | | | | |
5.00% | | | 01/20/47 | | | | 10,324,191 | | | | 10,943,931 | |
| Ginnie Mae II Pool MA4264 | | | | | |
4.50% | | | 02/20/47 | | | | 161,820,808 | | | | 168,080,594 | |
| Ginnie Mae II Pool MA4265 | | | | | |
5.00% | | | 02/20/47 | | | | 2,886,518 | | | | 3,017,395 | |
| Ginnie Mae II Pool MA4324 | | | | | |
5.00% | | | 03/20/47 | | | | 15,856,214 | | | | 16,893,654 | |
| Ginnie Mae II Pool MA4382 | | | | | |
3.50% | | | 04/20/47 | | | | 125,268,046 | | | | 124,651,136 | |
| Ginnie Mae II Pool MA4384 | | | | | |
4.50% | | | 04/20/47 | | | | 8,171,887 | | | | 8,487,909 | |
| Ginnie Mae II Pool MA4385 | | | | | |
5.00% | | | 04/20/47 | | | | 27,326,899 | | | | 28,628,836 | |
| Ginnie Mae II Pool MA4453 | | | | | |
4.50% | | | 05/20/47 | | | | 438,152,702 | | | | 455,101,956 | |
| Ginnie Mae II Pool MA4454 | | | | | |
5.00% | | | 05/20/47 | | | | 61,785,484 | | | | 64,700,986 | |
| Ginnie Mae II Pool MA4511 | | | | | |
4.00% | | | 06/20/47 | | | | 351,090 | | | | 357,326 | |
| Ginnie Mae II Pool MA4512 | | | | | |
4.50% | | | 06/20/47 | | | | 1,527,083 | | | | 1,580,434 | |
| Ginnie Mae II Pool MA4513 | | | | | |
5.00% | | | 06/20/47 | | | | 1,243,004 | | | | 1,302,672 | |
| Ginnie Mae II Pool MA4589 | | | | | |
5.00% | | | 07/20/47 | | | | 62,796,654 | | | | 65,642,463 | |
| Ginnie Mae II Pool MA4652 | | | | | |
3.50% | | | 08/20/47 | | | | 1,470,806 | | | | 1,463,866 | |
| Ginnie Mae II Pool MA4655 | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed (continued) | | | | | |
5.00% | | | 08/20/47 | | | $ | 75,484,022 | | | $ | 78,904,795 | |
| Ginnie Mae II Pool MA4719 | | | | | |
3.50% | | | 09/20/47 | | | | 150,111,151 | | | | 149,371,896 | |
| Ginnie Mae II Pool MA4722 | | | | | |
5.00% | | | 09/20/47 | | | | 1,466,366 | | | | 1,530,120 | |
| Ginnie Mae II Pool MA4781 | | | | | |
5.00% | | | 10/20/47 | | | | 19,381,267 | | | | 20,396,131 | |
| Ginnie Mae II Pool MA4836 | | | | | |
3.00% | | | 11/20/47 | | | | 417,488,676 | | | | 404,769,145 | |
| Ginnie Mae II Pool MA4838 | | | | | |
4.00% | | | 11/20/47 | | | | 187,397,902 | | | | 190,726,237 | |
| Ginnie Mae II Pool MA4840 | | | | | |
5.00% | | | 11/20/47 | | | | 5,362,430 | | | | 5,599,352 | |
| Ginnie Mae II Pool MA4961 | | | | | |
3.00% | | | 01/20/48 | | | | 1,158,639 | | | | 1,123,245 | |
| Ginnie Mae, Series 2000-22, Class SG (IO) | | | | | |
| (-1.00 X LIBOR USD 1-Month plus 10.80%, 10.80% Cap) | | | | | |
8.64% | | | 05/16/30 | 2 | | | 7,281 | | | | 203 | |
| Ginnie Mae, Series 2003-86, Class ZK | | | | | |
5.00% | | | 10/20/33 | | | | 9,088,948 | | | | 9,573,479 | |
| Ginnie Mae, Series 2004-93, Class PC | | | | | |
5.00% | | | 04/16/34 | | | | 2,830 | | | | 2,829 | |
| Ginnie Mae, Series 2007-35, Class PY (IO) | | | | | |
| (-1.00 X LIBOR USD 1-Month plus 6.75%, 6.75% Cap) | | | | | |
4.59% | | | 06/16/37 | 2 | | | 16,954,561 | | | | 2,673,784 | |
| Ginnie Mae, Series 2009-106, Class SD (IO) | | | | | |
| (-1.00 X LIBOR USD 1-Month plus 6.25%, 6.25% Cap) | | | | | |
4.08% | | | 03/20/36 | 2 | | | 13,987,518 | | | | 1,274,292 | |
| Ginnie Mae, Series 2009-106, Class XI (IO) | | | | | |
| (-1.00 X LIBOR USD 1-Month plus 6.80%, 6.80% Cap) | | | | | |
4.63% | | | 05/20/37 | 2 | | | 35,168,053 | | | | 4,360,392 | |
| Ginnie Mae, Series 2009-124, Class SC (IO) | | | | | |
| (-1.00 X LIBOR USD 1-Month plus 6.48%, 6.48% Cap) | | | | | |
4.31% | | | 12/20/39 | 2 | | | 5,765,950 | | | | 894,449 | |
| Ginnie Mae, Series 2009-17, Class P | | | | | |
4.00% | | | 08/16/38 | | | | 12,378 | | | | 12,464 | |
| Ginnie Mae, Series 2009-66, Class XS (IO) | | | | | |
| (-1.00 X LIBOR USD 1-Month plus 6.80%, 6.80% Cap) | | | | | |
4.64% | | | 07/16/39 | 2 | | | 63,260 | | | | 6,358 | |
| Ginnie Mae, Series 2009-8, Class PS (IO) | | | | | |
| (-1.00 X LIBOR USD 1-Month plus 6.30%, 6.30% Cap) | | | | | |
4.14% | | | 08/16/38 | 2 | | | 104,204 | | | | 8,155 | |
| Ginnie Mae, Series 2010-4, Class SL (IO) | | | | | |
| (-1.00 X LIBOR USD 1-Month plus 6.40%, 6.40% Cap) | | | | | |
4.24% | | | 01/16/40 | 2 | | | 72,358 | | | | 9,882 | |
| Ginnie Mae, Series 2010-4, Class SM (IO) | | | | | |
| (-1.00 X LIBOR USD 1-Month plus 5.80%, 5.80% Cap) | | | | | |
3.64% | | | 01/16/40 | 2 | | | 13,155,989 | | | | 1,487,098 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 151 / Semi-Annual Report September 2018 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | | | | | |
| Ginnie Mae, Series 2010-6, Class BS (IO) | | | | | |
| (-1.00 X LIBOR USD 1-Month plus 6.50%, 6.50% Cap) | | | | | |
4.34% | | | 09/16/39 | 2 | | $ | 3,910,864 | | | $ | 278,768 | |
| Ginnie Mae, Series 2011-146, Class EI (IO) | | | | | |
5.00% | | | 11/16/41 | | | | 167,398 | | | | 34,938 | |
| Ginnie Mae, Series 2013-113, Class LY | | | | | |
3.00% | | | 05/20/43 | | | | 51,184,000 | | | | 47,842,652 | |
| Ginnie Mae, Series 2018-124, Class NW | | | | | |
3.50% | | | 09/20/48 | | | | 2,205,000 | | | | 2,184,339 | |
| NCUA Guaranteed Notes Trust, Series 2010-R1, Class 1A | | | | | |
| (LIBOR USD 1-Month plus 0.45%) | | | | | |
2.57% | | | 10/07/20 | 2 | | | 11,062,100 | | | | 11,072,471 | |
| NCUA Guaranteed Notes Trust, Series 2010-R3, Class 1A | | | | | |
| (LIBOR USD 1-Month plus 0.56%) | | | | | |
2.68% | | | 12/08/20 | 2 | | | 7,744,647 | | | | 7,767,337 | |
| NCUA Guaranteed Notes Trust, Series 2010-R3, Class 2A | | | | | |
| (LIBOR USD 1-Month plus 0.56%) | | | | | |
2.68% | | | 12/08/20 | 2 | | | 20,942,858 | | | | 21,002,577 | |
| | | | | |
| |
| | | | 21,594,631,092 | |
| | | | | |
Total Mortgage-Backed (Cost $29,682,396,239) | | | | 29,318,519,039 | |
| | | | | |
| |
MUNICIPAL BONDS — 0.68%* | | | | | |
California — 0.25% | | | | | |
| Los Angeles Department of Water & Power, Build America Bonds, Series SY | | | | | |
6.01% | | | 07/01/39 | | | | 350,000 | | | | 423,433 | |
| Los Angeles Department of Water & Power, Electric Light and Power Improvements, Series C | | | | | |
5.52% | | | 07/01/27 | | | | 12,625,000 | | | | 14,349,070 | |
| San Jose Redevelopment Agency Successor Agency, Series A-T | | | | | |
3.08% | | | 08/01/25 | | | | 3,250,000 | | | | 3,166,670 | |
3.18% | | | 08/01/26 | | | | 450,000 | | | | 437,553 | |
3.23% | | | 08/01/27 | | | | 11,865,000 | | | | 11,438,809 | |
| State of California, Build America Bonds | | | | | |
6.65% | | | 03/01/22 | | | | 4,245,000 | | | | 4,633,842 | |
7.95% | | | 03/01/36 | | | | 77,500,000 | | | | 82,629,725 | |
| State of California, Build America Bonds, Various Purpose | | | | | |
7.50% | | | 04/01/34 | | | | 3,885,000 | | | | 5,382,823 | |
| State of California, Taxable, Miscellaneous Revenue Bonds, Series B | | | | | |
2.19% | | | 04/01/47 | | | | 17,800,000 | | | | 17,560,768 | |
| State of California, Taxable, Various Purpose | | | | | |
6.20% | | | 03/01/19 | | | | 10,680,000 | | | | 10,833,792 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| MUNICIPAL BONDS (continued) | | | | |
| California (continued) | | | | | |
| University of California, Taxable Revenue Bonds, Series AP | | | | | |
3.93% | | | 05/15/45 | | | $ | 30,040,000 | | | $ | 29,112,365 | |
| | | | | |
| |
| | | | 179,968,850 | |
| | | | | |
New Jersey — 0.00% | | | | | |
| Jersey City Municipal Utilities Authority | | | | | |
5.47% | | | 05/15/27 | | | | 400,000 | | | | 434,092 | |
| New Jersey Turnpike Authority | | | | | |
3.73% | | | 01/01/36 | | | | 300,000 | | | | 282,636 | |
| | | | | |
| |
| | | | 716,728 | |
| | | | | |
New York — 0.42% | | | | | |
| City of New York, Build America Bonds | | | | | |
4.77% | | | 10/01/23 | | | | 4,420,000 | | | | 4,718,217 | |
5.05% | | | 10/01/24 | | | | 13,820,000 | | | | 14,816,698 | |
5.21% | | | 10/01/31 | | | | 6,420,000 | | | | 7,134,546 | |
5.52% | | | 10/01/37 | | | | 6,075,000 | | | | 7,163,093 | |
5.82% | | | 10/01/31 | | | | 220,000 | | | | 230,208 | |
5.99% | | | 12/01/36 | | | | 14,055,000 | | | | 16,911,398 | |
City of New York, Build America Bonds, Series F1 | | | | | |
6.65% | | | 12/01/31 | | | | 46,470,000 | | | | 49,492,873 | |
| Fiscal Year 2005 Securitization Corp., Special Obligation, Series B | | | | | |
4.93% | | | 04/01/20 | | | | 20,000 | | | | 20,195 | |
| New York City Municipal Water Finance Authority, Build America Bonds, Series SE | | | | | |
6.49% | | | 06/15/42 | | | | 3,555,000 | | | | 3,737,976 | |
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Subseries F-2 | | | | | |
2.90% | | | 05/01/26 | | | | 7,235,000 | | | | 6,874,118 | |
New York City Transitional Finance Authority Revenue, Future Tax Secured Revenue, Build America Bonds | | | | | |
5.51% | | | 08/01/37 | | | | 25,000,000 | | | | 29,409,500 | |
| New York City Transitional Finance Authority Revenue, Future Tax Secured Revenue, Qualified School Construction Bonds | | | | | |
5.01% | | | 08/01/27 | | | | 5,225,000 | | | | 5,712,388 | |
New York City Transitional Finance Authority Revenue, Future Tax Secured Revenue, Qualified School Construction Bonds, Series G-3 | | | | | |
5.27% | | | 05/01/27 | | | | 13,135,000 | | | | 14,530,331 | |
| New York City Water and Sewer Authority, Build America, Taxable Bonds | | | | | |
5.88% | | | 06/15/44 | | | | 5,505,000 | | | | 7,003,681 | |
New York City Water and Sewer Authority, Build America, Taxable Bonds, Series SE | | | | | |
6.01% | | | 06/15/42 | | | | 3,945,000 | | | | 5,065,183 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2018 / 152 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
| MUNICIPAL BONDS (continued) | | | | |
| New York (continued) | | | | | |
| New York State Dormitory Authority, Taxable, Build America Bonds | | | | | |
5.43% | | | 03/15/39 | | | $ | 21,400,000 | | | $ | 24,597,374 | |
| New York State Dormitory Authority, | | | | | |
| Build America Bonds | | | | | |
5.29% | | | 03/15/33 | | | | 44,990,000 | | | | 50,847,248 | |
5.50% | | | 03/15/30 | | | | 21,430,000 | | | | 24,044,674 | |
| New York State Urban Development Corp., Economic Improvements, Revenue Bonds, Series D-2 | | | | | |
3.32% | | | 03/15/29 | | | | 18,330,000 | | | | 17,657,289 | |
| New York State Urban Development Corp., Personal Income Tax, Series SE | | | | | |
3.20% | | | 03/15/22 | | | | 15,870,000 | | | | 15,861,906 | |
| | | | | |
| |
| | | | 305,828,896 | |
| | | | | |
Texas — 0.01% | | | | | |
| Texas Transportation Commission State Highway Fund, Taxable, Fuel Sales Revenue Bonds, Series B | | | | | |
5.18% | | | 04/01/30 | | | | 3,075,000 | | | | 3,464,879 | |
| | | | | |
| |
| Total Municipal Bonds | | | | | |
(Cost $499,418,832) | | | | 489,979,353 | |
| | | | | |
| |
U.S. TREASURY SECURITIES — 19.03% | | | | | |
U.S. Treasury Bonds — 7.39% | | | | | |
| U.S. Treasury Bonds | | | | | |
2.50% | | | 02/15/46 | | | | 432,510,000 | | | | 377,500,113 | |
3.00% | | | 11/15/44 | | | | 727,155,000 | | | | 701,861,146 | |
3.00% | | | 02/15/48 | | | | 375,300,000 | | | | 361,262,902 | |
3.13% | | | 05/15/48 | | | | 1,385,198,000 | | | | 1,367,071,382 | |
| U.S. Treasury Bonds - Treasury Inflation Indexed Bonds | | | | | |
1.00% | | | 02/15/48 | 10 | | | 221,047,666 | | | | 218,422,895 | |
| U.S. Treasury Bonds (WI) | | | | | |
3.00% | | | 08/15/48 | | | | 2,411,366,000 | | | | 2,321,128,151 | |
| | | | | |
| |
| | | | 5,347,246,589 | |
| | | | | |
U.S. Treasury Notes — 11.64% | | | | | |
| U.S. Treasury Notes | | | | | |
2.63% | | | 06/30/23 | | | | 1,002,394,000 | | | | 988,303,057 | |
2.75% | | | 07/31/23 | | | | 2,404,835,000 | | | | 2,383,792,694 | |
2.88% | | | 09/30/23 | | | | 2,018,620,000 | | | | 2,011,913,458 | |
| U.S. Treasury Notes (WI) | | | | | |
2.88% | | | 08/15/28 | | | | 3,083,825,000 | | | | 3,037,251,194 | |
| | | | | |
| |
| | | | 8,421,260,403 | |
| | | | | |
Total U.S. Treasury Securities (Cost $13,930,617,177) | | | | 13,768,506,992 | |
| | | | | |
| | | | | | | | | | | | |
| | | | Value | |
Total Bonds – 100.25% (Cost $73,362,059,124) | | | $ | 72,537,824,847 | |
| | | | | | | | | | | | |
| | | | | |
| Issues | | | Shares | | | Value | |
COMMON STOCK — 0.02% | | | | | |
Electric — 0.02% | | | | | |
| Homer City Holdings | | | | | |
LLC3,4,5,6 | | | | 1,180,703 | | | | 10,035,975 | |
| | | | | |
| |
Energy — 0.00% | | | | | |
| Ocean Rig UDW, Inc. | | | | | |
(Cayman Islands)1,6 | | | | 54,501 | | | | 1,886,825 | |
| | | | | |
| |
Total Common Stock (Cost $66,956,791) | | | | 11,922,800 | |
| | | | | |
| |
Purchased Options - 0.01% | | | | | |
(Cost $6,057,200) | | | | 9,250,000 | |
| | | | | |
| | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount/
Shares | | | Value | |
SHORT-TERM INVESTMENTS — 8.31% | | | | | |
| |
Foreign Government Obligations — 1.54% | | | | | |
| Japan Treasury Discount Bill, Series 770 (Japan) | | | | | |
0.00%1,11 | | | 10/15/18 | | | $ | 84,510,000,000 | | | | 744,061,500 | |
| Japan Treasury Discount Bill, Series 786 (Japan) | | | | | |
0.00%1,11 | | | 01/09/19 | | | | 42,250,000,000 | | | | 372,260,868 | |
| | | | | |
| |
| | | | 1,116,322,368 | |
| | | | | |
| |
Money Market Funds — 4.54% | | | | | |
| Dreyfus Government Cash Management Fund | | | | | |
2.01%12 | | | | 2,587,171,000 | | | | 2,587,171,000 | |
| Fidelity Investments Money Market Funds - Government Portfolio | | | | | |
1.99%12,13 | | | | 24 | | | | 24 | |
| Morgan Stanley Institutional Liquidity | | | | | |
| Funds-Government Portfolio | | | | | |
2.04%12 | | | | 695,297,000 | | | | 695,297,000 | |
| | | | | |
| |
| | | | 3,282,468,024 | |
| | | | | |
| |
U.S. Agency Discount Notes — 0.83% | | | | | |
| Federal Home Loan Bank | | | | | |
0.79%11 | | | 10/03/18 | | | | 150,904,000 | | | | 150,886,457 | |
1.92%11 | | | 10/26/18 | | | | 300,000,000 | | | | 299,562,600 | |
2.04%11 | | | 11/20/18 | | | | 150,000,000 | | | | 149,553,847 | |
| | | | | |
| |
| | | | 600,002,904 | |
| | | | | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 153 / Semi-Annual Report September 2018 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount/
Shares | | | Value | |
SHORT-TERM INVESTMENTS (continued) | |
U.S. Treasury Bills — 1.40% | | | | | |
| U.S. Treasury Bills | | | | | | | | | |
2.02%11 | | | 01/03/19 | | | $ | 307,334,000 | | | $ | 305,592,630 | |
2.05%11,14 | | | 12/13/18 | | | | 100,015,000 | | | | 99,584,793 | |
2.11%11 | | | 01/24/19 | | | | 300,000,000 | | | | 297,891,666 | |
2.12%11 | | | 01/31/19 | | | | 312,891,000 | | | | 310,538,341 | |
| | | | | |
| | | |
| | | | | | | | | | | 1,013,607,430 | |
| | | | | |
| Total Short-Term Investments | | | | | |
| (Cost $6,017,573,972) | | | | 6,012,400,726 | |
| | | | | |
| |
Total Investments Before Written Options – 108.59% | | | | | |
| (Cost $79,452,647,087) | | | | 78,571,398,373 | |
| | | | | |
| |
| Written Options - 0.00% | | | | | |
| (Cost $(1,633,400)) | | | | (1,250,000 | ) |
| | | | | |
| |
Liabilities in Excess of Other Assets – (8.59)% | | | | (6,215,233,558 | ) |
| | | | | |
| |
| Net Assets – 100.00% | | | $ | 72,354,914,815 | |
| | | | | | | | | | | | |
| 1 | U.S. dollar-denominated security issued by foreign-domiciled entity. |
| 2 | Floating rate security. The rate disclosed was in effect at September 30, 2018. |
| 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 | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
| 5 | Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $67,182,633 , which is 0.09% of total net assets. |
| 6 | Non-income producing security. |
| 7 | Security is currently in default with regard to scheduled interest or principal payments. |
| 8 | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. |
| 9 | Zero coupon bond. The rate shown is the effective yield as of September 30, 2018. |
| 10 | Inflation protected security. Principal amount reflects original security face amount. |
| 11 | Represents annualized yield at date of purchase. |
| 12 | Represents the current yield as of September 30, 2018. |
| 13 | Securities, or a portion thereof, pledged as collateral for swaps and foreign currency exchange contracts. The total market value of collateral pledged for swaps is $24. The total market value of collateral pledged for foreign currency exchange contracts is $7,244,558. |
| 14 | Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $99,581,935. |
| † | Fair valued security. The aggregate value of fair valued securities is $22,987,665, which is 0.03% of total net assets. These securities were not valued utilizing an independent quote but 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
(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
(PO): Principal only
(SOFR): Secured Overnight Financing Rate
(STEP): Step coupon bond
(TBA): To be announced
(USD): U.S. dollar
(WI): When issued
| | | | | | | | | | | | | | | | | | | | |
Currency to be Purchased | | Currency to be Sold | | Counterparty | | Settlement
Date | | Unrealized
Appreciation/
(Depreciation) |
FOREIGN CURRENCY EXCHANGE CONTRACT | | | | | | | | | | | | | | | |
USD 754,233,699 | | JPY 84,510,000,000 | | | | Goldman Sachs International | | | | | 10/15/18 | | | | $ | 9,266,503 | |
USD 297,223,691 | | JPY 33,450,000,000 | | | | Goldman Sachs International | | | | | 01/09/19 | | | | | 118,429 | |
| | | | | | | | | | | | | | | | | |
| | | | |
| | | | | | | | | | | | | | | | 9,384,932 | |
| | | | | | | | | | | | | | | | | |
| | | | |
USD 78,155,668 | | JPY 8,800,000,000 | | | | Bank of America N.A. | | | | | 01/09/19 | | | | | (6,554 | ) |
| | | | | | | | | | | | | | | | | |
| | | | |
NET UNREALIZED APPRECIATION | | | | | | | | | | | | | | | $ | 9,378,378 | |
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2018 / 154 |
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Number
of Contracts | | Expiration Date | | Notional Amount | | Value | | Unrealized
Appreciation/
(Depreciation) |
FUTURES CONTRACTS: LONG POSITIONS | | | | | | | | | | | | | | | | | | | | |
U.S. Treasury Five Year Note | | 95,217 | | | | 12/31/18 | | | | $ | 10,709,680,852 | | | | $ | (68,230,681 | ) | | | $ | (68,230,681 | ) |
U.S. Treasury Two Year Note | | 34,798 | | | | 12/31/18 | | | | | 7,333,134,781 | | | | | (22,470,744 | ) | | | | (22,470,744 | ) |
U.S. Treasury Ten Year Ultra Bond | | 1,677 | | | | 12/19/18 | | | | | 211,302,000 | | | | | 864,644 | | | | | 864,644 | |
U.S. Treasury Ultra Bond | | 1 | | | | 12/19/18 | | | | | 154,281 | | | | | (2,315 | ) | | | | (2,315 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | 18,254,271,914 | | | | | (89,839,096 | ) | | | | (89,839,096 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
FUTURES CONTRACTS: SHORT POSITIONS | | | | | | | | | | | | | | | | | | | | |
Euro-Bobl Five Year German Bond | | 12,703 | | | | 12/06/18 | | | | | 1,928,407,940 | | | | | 11,293,492 | | | | | 11,293,492 | |
U.S. Treasury Ten Year Note | | 4,900 | | | | 12/19/18 | | | | | 582,028,125 | | | | | 5,655,237 | | | | | 5,655,237 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | 2,510,436,065 | | | | | 16,948,729 | | | | | 16,948,729 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
TOTAL FUTURES CONTRACTS | | | | | | | | | | $ | 20,764,707,979 | | | | $ | (72,890,367 | ) | | | $ | (72,890,367 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Number
of contracts | | Exercise
Price | | Expiration
Date | | Notional Amount | | Value |
PURCHASED PUT OPTIONS EXCHANGE TRADED — (0.1)% | | | | | | | | | | | | | | | | |
IMM Eurodollar 1 Year MIDCV Future Options | | | | 20,000 | | | | $ | 97.00 | | | | | 12/14/18 | | | | $ | 3,466,547,820 | | | | $ | 9,250,000 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Number
of contracts | | Exercise
Price | | Expiration
Date | | Notional Amount | | Value |
WRITTEN PUT OPTIONS EXCHANGE TRADED — 0.0% | | | | | | | | | | | | | | | | |
IMM Eurodollar 1 Year MIDCV Future Options | | | | 40,000 | | | | $ | 96.63 | | | | | 12/14/18 | | | | $ | 1,557,476,640 | | | | $ | (1,250,000 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 155 / Semi-Annual Report September 2018 |
Ultra Short Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BONDS – 88.09% | |
ASSET-BACKED SECURITIES — 2.32%** | |
| Nelnet Student Loan Trust, Series 2012-5A, Class A | | | | | | | | | |
| (LIBOR USD 1-Month plus 0.60%) | | | | | |
2.82% | | | 10/27/36 | 1,2 | | $ | 124,807 | | | $ | 124,752 | |
| SLM Student Loan Trust, Series 2003-10A, Class A3 | | | | | | | | | |
| (LIBOR USD 3-Month plus 0.47%) | | | | | |
2.80% | | | 12/15/27 | 1,2 | | | 429,271 | | | | 431,150 | |
| SLM Student Loan Trust, Series 2003-14, Class A6 | | | | | | | | | |
| (LIBOR USD 3-Month plus 0.30%) | | | | | |
2.64% | | | 07/25/25 | 1 | | | 380,000 | | | | 379,363 | |
| SLM Student Loan Trust, Series 2005-8, Class A4 | | | | | | | | | |
| (LIBOR USD 3-Month plus 0.55%) | | | | | |
2.89% | | | 01/25/28 | 1 | | | 452,786 | | | | 454,595 | |
| SLM Student Loan Trust, Series 2007-6, Class A4 | | | | | | | | | |
| (LIBOR USD 3-Month plus 0.38%) | | | | | |
| 2.72% | | | 10/25/24 | 1 | | | 417,710 | | | | 418,765 | |
| SLM Student Loan Trust, Series 2007-8, Class A4 | | | | | | | | | |
| (LIBOR USD 3-Month plus 0.47%) | | | | | |
2.81% | | | 01/26/26 | 1 | | | 283,612 | | | | 284,347 | |
| SLM Student Loan Trust, Series 2011-1, Class A1 | | | | | | | | | |
| (LIBOR USD 1-Month plus 0.52%) | | | | | |
2.74% | | | 03/25/26 | 1 | | | 324,982 | | | | 325,816 | |
| SLM Student Loan Trust, Series 2013-4, Class A | | | | | | | | | |
| (LIBOR USD 1-Month plus 0.55%) | | | | | |
2.77% | | | 06/25/43 | 1 | | | 166,069 | | | | 167,107 | |
| | | | | | | | | | | | |
Total Asset-Backed Securities | | | | | |
(Cost $2,581,800) | | | | | | | | 2,585,895 | |
| | | | | | | | | | | | |
CORPORATES — 25.40%* | |
Banking — 5.64% | | | | | |
| Bank of America Corp. | | | | | | | | | |
7.63% | | | 06/01/19 | | | | 500,000 | | | | 515,830 | |
| Bank of America Corp. (GMTN) | | | | | | | | | |
2.37% | | | 07/21/21 | 3 | | | 250,000 | | | | 245,647 | |
| Bank of New York Mellon Corp., | | | | | | | | | |
| (The) Series G | | | | | | | | | |
2.20% | | | 05/15/19 | | | | 500,000 | | | | 498,803 | |
| Discover Bank | | | | | | | | | | | | |
2.60% | | | 11/13/18 | | | | 250,000 | | | | 249,992 | |
| JPMorgan Chase & Co. | | | | | | | | | |
| (LIBOR USD 3-Month plus 0.68%) | | | | | |
3.00% | | | 06/01/21 | 1 | | | 400,000 | | | | 402,476 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Banking (continued) | | | | | |
| JPMorgan Chase Bank N.A. (BKNT) | | | | | | | | | |
3.09% | | | 04/26/21 | 3 | | $ | 250,000 | | | $ | 249,372 | |
| (LIBOR USD 3-Month plus 0.25%) | | | | | | | | | |
2.59% | | | 02/13/20 | 1 | | | 515,000 | | | | 515,307 | |
| (LIBOR USD 3-Month plus 0.29%) | | | | | | | | | |
2.63% | | | 02/01/21 | 1 | | | 500,000 | | | | 500,437 | |
| Lloyds Bank PLC (United Kingdom) | | | | | | | | | |
2.40% | | | 03/17/20 | 4 | | | 350,000 | | | | 345,458 | |
| Santander UK PLC (United Kingdom) | | | | | |
2.50% | | | 03/14/19 | 4 | | | 450,000 | | | | 449,788 | |
| US Bank N.A. (BKNT) | | | | | | | | | | | | |
3.05% | | | 07/24/20 | | | | 550,000 | | | | 549,512 | |
| Wells Fargo Bank N.A. (BKNT) | | | | | | | | | |
2.40% | | | 01/15/20 | | | | 1,000,000 | | | | 992,340 | |
3.33% | | | 07/23/21 | 3 | | | 275,000 | | | | 274,751 | |
| (SOFR Rate plus 0.48%) | | | | | | | | | |
2.66% | | | 03/25/20 | 1 | | | 500,000 | | | | 500,260 | |
| | | | | | | | | | | | |
| | | | | | | | 6,289,973 | |
| | | | | | | | | | | | |
Communications — 0.41% | |
| 21st Century Fox America, Inc. | | | | | | | | | |
6.90% | | | 03/01/19 | | | | 250,000 | | | | 254,208 | |
| Discovery Communications LLC | | | | | | | | | |
2.75% | | | 11/15/19 | 2 | | | 200,000 | | | | 199,062 | |
| | | | | | | | | | | | |
| | | | | | | | 453,270 | |
| | | | | | | | | | | | |
Consumer Discretionary — 0.74% | |
| Altria Group, Inc. | | | | | | | | | | | | |
9.70% | | | 11/10/18 | | | | 325,000 | | | | 327,389 | |
| Constellation Brands, Inc. | | | | | | | | | |
2.00% | | | 11/07/19 | | | | 200,000 | | | | 197,767 | |
| Molson Coors Brewing Co. | | | | | | | | | |
1.45% | | | 07/15/19 | | | | 300,000 | | | | 296,575 | |
| | | | | | | | | | | | |
| | | | | | | | 821,731 | |
| | | | | | | | | | | | |
Consumer Products — 0.22% | |
| Newell Brands, Inc. | | | | | | | | | | | | |
2.60% | | | 03/29/19 | | | | 250,000 | | | | 249,411 | |
| | | | | | | | | | | | |
Electric — 1.34% | |
| Nevada Power Co. | | | | | | | | | | | | |
7.13% | | | 03/15/19 | | | | 200,000 | | | | 204,112 | |
| NextEra Energy Capital Holdings, Inc. | | | | | |
| (LIBOR USD 3-Month plus 0.55%) | | | | | | | | | |
2.86% | | | 08/28/21 | 1 | | | 250,000 | | | | 250,039 | |
| Progress Energy, Inc. | | | | | | | | | | | | |
7.05% | | | 03/15/19 | | | | 425,000 | | | | 433,201 | |
| Union Electric Co. | | | | | | | | | | | | |
6.70% | | | 02/01/19 | | | | 250,000 | | | | 253,043 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| Semi-Annual Report September 2018 / 156 |
Ultra Short Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Electric (continued) | |
| Wisconsin Public Service Corp. | | | | | |
1.65% | | | 12/04/18 | | | $ | 350,000 | | | $ | 349,543 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,489,938 | |
| | | | | | | | | | | | |
Energy — 0.72% | |
| ONE Gas, Inc. | | | | | | | | | | | | |
2.07% | | | 02/01/19 | | | | 400,000 | | | | 398,586 | |
| Phillips 66 | | | | | | | | | | | | |
| (LIBOR USD 3-Month plus 0.65%) | | | | | |
2.99% | | | 04/15/19 | 1,2 | | | 400,000 | | | | 400,160 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 798,746 | |
| | | | | | | | | | | | |
Finance — 4.28% | |
| American Express Credit Corp. (GMTN) | | | | | | | | | |
2.25% | | | 08/15/19 | | | | 300,000 | | | | 298,604 | |
| Citigroup, Inc. | | | | | | | | | | | | |
2.05% | | | 12/07/18 | | | | 800,000 | | | | 799,388 | |
8.50% | | | 05/22/19 | | | | 1,050,000 | | | | 1,086,957 | |
| Daimler Finance North America LLC | | | | | |
1.75% | | | 10/30/19 | 2 | | | 200,000 | | | | 197,130 | |
| Ford Motor Credit Co. LLC | | | | | |
2.38% | | | 03/12/19 | | | | 200,000 | | | | 199,519 | |
2.55% | | | 10/05/18 | | | | 150,000 | | | | 149,999 | |
| (LIBOR USD 3-Month plus 0.79%) | | | | | |
3.12% | | | 06/12/20 | 1 | | | 250,000 | | | | 250,014 | |
| General Motors Financial Co., Inc. | | | | | |
3.10% | | | 01/15/19 | | | | 400,000 | | | | 400,290 | |
| Morgan Stanley (GMTN) | | | | | | | | | |
5.50% | | | 07/24/20 | | | | 500,000 | | | | 518,988 | |
7.30% | | | 05/13/19 | | | | 350,000 | | | | 359,373 | |
| Morgan Stanley (MTN) | | | | | | | | | |
5.63% | | | 09/23/19 | | | | 500,000 | | | | 512,772 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 4,773,034 | |
| | | | | | | | | | | | |
Food — 1.37% | |
| Campbell Soup Co. | | | | | | | | | | | | |
| (LIBOR USD 3-Month plus 0.50%) | | | | | |
2.83% | | | 03/16/20 | 1 | | | 240,000 | | | | 239,766 | |
| Conagra Brands, Inc. | | | | | | | | | |
| (LIBOR USD 3-Month plus 0.50%) | | | | | |
2.91% | | | 10/09/20 | 1 | | | 325,000 | | | | 324,369 | |
| Danone SA (France) | | | | | | | | | |
1.69% | | | 10/30/19 | 2,4 | | | 250,000 | | | | 246,383 | |
| Kraft Heinz Foods Co. | | | | | | | | | |
| (LIBOR USD 3-Month plus 0.42%) | | | | | |
2.76% | | | 08/09/19 | 1 | | | 350,000 | | | | 350,497 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Food (continued) | |
| Mondelez International Holdings | | | | | | | | | |
| Netherlands BV (Netherlands) | | | | | | | | | |
1.63% | | | 10/28/19 | 2,4 | | $ | 375,000 | | | $ | 369,643 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,530,658 | |
| | | | | | | | | | | | |
Gaming — 0.25% | |
| GLP Capital LP/GLP Financing II, Inc. | | | | | |
4.88% | | | 11/01/20 | | | | 275,000 | | | | 280,885 | |
| | | | | | | | | | | | |
Health Care — 2.46% | |
| Bayer U.S. Finance LLC | | | | | | | | | |
2.38% | | | 10/08/19 | 2 | | | 300,000 | | | | 296,840 | |
| Becton Dickinson and Co. | | | | | | | | | |
| (LIBOR USD 3-Month plus 0.88%) | | | | | | | | | |
3.26% | | | 12/29/20 | 1 | | | 325,000 | | | | 325,502 | |
| Boston Scientific Corp. | | | | | | | | | |
6.00% | | | 01/15/20 | | | | 200,000 | | | | 207,046 | |
| CVS Health Corp. | | | | | | | | | | | | |
2.25% | | | 12/05/18 | | | | 250,000 | | | | 249,754 | |
2.25% | | | 08/12/19 | | | | 325,000 | | | | 323,263 | |
| Fresenius Medical Care U.S. Finance II, Inc. | | | | | | | | | |
5.63% | | | 07/31/19 | 2 | | | 250,000 | | | | 254,994 | |
| Humana, Inc. | | | | | | | | | | | | |
2.63% | | | 10/01/19 | | | | 300,000 | | | | 298,866 | |
| Novartis Securities Investment Ltd. | | | | | | | | | |
| (Bermuda) | | | | | | | | | | | | |
5.13% | | | 02/10/19 | 4 | | | 250,000 | | | | 251,865 | |
| Stryker Corp. | | | | | | | | | | | | |
2.00% | | | 03/08/19 | | | | 300,000 | | | | 299,137 | |
| Zimmer Biomet Holdings, Inc. | | | | | | | | | |
| (LIBOR USD 3-Month plus 0.75%) | | | | | | | | | |
3.09% | | | 03/19/21 | 1 | | | 240,000 | | | | 240,239 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,747,506 | |
| | | | | | | | | | | | |
Industrials — 1.45% | |
| BAE Systems Holdings, Inc. | | | | | | | | | |
6.38% | | | 06/01/19 | 2 | | | 325,000 | | | | 331,949 | |
| Bemis Co., Inc. | | | | | | | | | | | | |
6.80% | | | 08/01/19 | | | | 300,000 | | | | 309,095 | |
| General Electric Co. (GMTN) | | | | | | | | | |
2.20% | | | 01/09/20 | | | | 250,000 | | | | 247,399 | |
| United Technologies Corp. | | | | | | | | | |
| (LIBOR USD 3-Month plus 0.65%) | | | | | | | | | |
2.97% | | | 08/16/21 | 1 | | | 250,000 | | | | 250,696 | |
| WestRock RKT Co. | | | | | | | | | | | | |
4.45% | | | 03/01/19 | | | | 475,000 | | | | 478,031 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,617,170 | |
| | | | | | | | | | | | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| 157 / Semi-Annual Report September 2018 |
Ultra Short Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Information Technology — 0.94% | |
| Analog Devices, Inc. | | | | | | | | | |
2.85% | | | 03/12/20 | | | $ | 120,000 | | | $ | 119,288 | |
| Apple, Inc. | | | | | | | | | |
1.70% | | | 02/22/19 | | | | 435,000 | | | | 433,580 | |
| Broadcom Corp./Broadcom Cayman Finance Ltd. | | | | | | | | | |
2.38% | | | 01/15/20 | | | | 250,000 | | | | 247,143 | |
| Dell International LLC/EMC Corp. | | | | | | | | | |
3.48% | | | 06/01/19 | 2 | | | 250,000 | | | | 250,673 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,050,684 | |
| | | | | | | | | | | | |
Insurance — 0.76% | | | | | |
| New York Life Global Funding | | | | | | | | | |
1.55% | | | 11/02/18 | 2 | | | 500,000 | | | | 499,612 | |
| Pricoa Global Funding I | | | | | | | | | |
1.45% | | | 09/13/19 | 2 | | | 350,000 | | | | 343,967 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 843,579 | |
| | | | | | | | | | | | |
Materials — 0.68% | | | | | | | | | | | | |
| Dow Chemical Co. (The) | | | | | | | | | |
8.55% | | | 05/15/19 | | | | 300,000 | | | | 310,281 | |
| Georgia-Pacific LLC | | | | | | | | | |
2.54% | | | 11/15/19 | 2 | | | 250,000 | | | | 248,334 | |
| LyondellBasell Industries NV (Netherlands) | | | | | | | | | |
5.00% | | | 04/15/19 | 4 | | | 200,000 | | | | 201,016 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 759,631 | |
| | | | | | | | | | | | |
Real Estate Investment Trust (REIT) — 3.21% | |
| Alexandria Real Estate Equities, Inc. | | | | | |
2.75% | | | 01/15/20 | | | | 300,000 | | | | 297,367 | |
| American Campus Communities Operating Partnership LP | | | | | | | | | |
3.35% | | | 10/01/20 | | | | 400,000 | | | | 398,105 | |
| American Tower Corp. | | | | | | | | | |
3.40% | | | 02/15/19 | | | | 350,000 | | | | 350,709 | |
| Boston Properties LP | | | | | | | | | |
5.88% | | | 10/15/19 | | | | 500,000 | | | | 511,845 | |
| HCP, Inc. | | | | | | | | | |
3.75% | | | 02/01/19 | | | | 700,000 | | | | 701,449 | |
| Reckson Operating Partnership LP | | | | | | | | | |
7.75% | | | 03/15/20 | | | | 250,000 | | | | 264,194 | |
| VEREIT Operating Partnership LP | | | | | | | | | |
3.00% | | | 02/06/19 | | | | 250,000 | | | | 249,913 | |
| WEA Finance LLC/Westfield UK & Europe Finance PLC | | | | | | | | | |
2.70% | | | 09/17/19 | 2 | | | 300,000 | | | | 299,200 | |
| Welltower, Inc. | | | | | | | | | | | | |
4.13% | | | 04/01/19 | | | | 500,000 | | | | 501,622 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 3,574,404 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Retail — 0.76% | |
| Alimentation Couche-Tard, Inc. (Canada) | | | | | | | | | |
2.35% | | | 12/13/19 | 2,4 | | $ | 300,000 | | | $ | 297,185 | |
| Dollar Tree, Inc. | | | | | | | | | | | | |
| (LIBOR USD 3-Month plus 0.70%) | | | | | |
3.04% | | | 04/17/20 | 1 | | | 300,000 | | | | 300,481 | |
| Walgreens Boots Alliance, Inc. | | | | | | | | | |
2.70% | | | 11/18/19 | | | | 250,000 | | | | 249,071 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 846,737 | |
| | | | | | | | | | | | |
Transportation — 0.17% | |
| Continental Airlines Pass-Through Trust, Series 2000-1, Class A1 | | | | | | | | | |
8.05% | | | 11/01/20 | | | | 179,779 | | | | 187,653 | |
| | | | | | | | | | | | |
Total Corporates | | | | | | | | | |
| (Cost $28,373,247) | | | | | | | | | | | 28,315,010 | |
| | | | | | | | | | | | |
MORTGAGE-BACKED — 36.91%** | |
|
Non-Agency Commercial Mortgage-Backed — 0.51% | |
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2006-LDP9, Class A3S | | | | | | | | | |
5.24% | | | 05/15/47 | 2 | | | 63,779 | | | | 63,561 | |
| Morgan Stanley Capital I Trust, Series 2011-C1, Class A4 | | | | | | | | | |
5.03% | | | 09/15/47 | 2,3 | | | 491,488 | | | | 505,954 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 569,515 | |
| | | | | | | | | | | | |
Non-Agency Mortgage-Backed — 2.59% | |
| Aames Mortgage Trust, Series 2002-1, Class A3 | | | | | | | | | |
| (STEP-reset date 11/25/18) | | | | | | | | | |
7.40% | | | 06/25/32 | | | | 24,229 | | | | 24,307 | |
| Adjustable Rate Mortgage Trust, Series 2005-1, Class 1A1 | | | | | | | | | |
4.10% | | | 05/25/35 | 3 | | | 222,746 | | | | 218,220 | |
| Banc of America Funding Trust, Series 2003-2, Class 1A1 | | | | | | | | | |
6.50% | | | 06/25/32 | | | | 4,797 | | | | 5,076 | |
| Citigroup Mortgage Loan Trust, Inc., Series 2004-HYB1, Class A41 | | | | | | | | | |
3.34% | | | 02/25/34 | 3 | | | 54,674 | | | | 54,252 | |
| Countrywide Alternative Loan Trust, Series 2004-J6, Class 2A1 | | | | | | | | | |
6.50% | | | 11/25/31 | | | | 90,626 | | | | 94,895 | |
| Credit Suisse First Boston Mortgage Securities Corp., Series 2002-AR31, Class 4A2 | | | | | | | | | |
3.89% | | | 11/25/32 | 3 | | | 52,849 | | | | 53,195 | |
| DSLA Mortgage Loan Trust, Series 2004-AR3, Class 2A2A | | | | | | | | | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| Semi-Annual Report September 2018 / 158 |
Ultra Short Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
| (LIBOR USD 1-Month plus 0.74%) | | | | | |
2.91% | | | 07/19/44 | 1 | | $ | 177,857 | | | $ | 179,266 | |
| Fremont Home Loan Trust, Series 2005-C, Class M1 | | | | | | | | | |
| (LIBOR USD 1-Month plus 0.72%) | | | | | |
2.94% | | | 07/25/35 | 1 | | | 35,211 | | | | 35,337 | |
| GE Mortgage Services LLC, Series 1998-HE1, Class A7 | | | | | | | | | |
6.47% | | | 06/25/28 | | | | 10 | | | | 10 | |
| IndyMac Index Mortgage Loan Trust, Series 2004-AR12, Class A1 | | | | | | | | | |
| (LIBOR USD 1-Month plus 0.78%) | | | | | |
3.00% | | | 12/25/34 | 1 | | | 481,124 | | | | 440,893 | |
| IndyMac Index Mortgage Loan Trust, Series 2004-AR6, Class 6A1 | | | | | | | | | |
4.47% | | | 10/25/34 | 3 | | | 142,509 | | | | 139,352 | |
| JPMorgan Mortgage Trust, Series 2005-A2, Class 9A1 | | | | | | | | | |
3.63% | | | 04/25/35 | 3 | | | 187,509 | | | | 192,056 | |
| MASTR Adjustable Rate Mortgages Trust, Series 2004-1, Class 2A1 | | | | | | | | | |
4.87% | | | 01/25/34 | 3 | | | 11,995 | | | | 12,555 | |
| MASTR Adjustable Rate Mortgages Trust, Series 2004-12, Class 5A1 | | | | | | | | | |
4.33% | | | 10/25/34 | 3 | | | 292,050 | | | | 300,239 | |
| MASTR Adjustable Rate Mortgages Trust, Series 2004-5, Class 3A1 | | | | | | | | | |
2.62% | | | 06/25/34 | 3 | | | 5,926 | | | | 5,481 | |
| MASTR Adjustable Rate Mortgages Trust, Series 2007-2, Class A25 | | | | | | | | | |
0.00% | | | 03/25/47 | 6,7,8,† | | | 4,000,000 | | | | — | |
| MASTR Seasoned Securitization Trust, Series 2004-1, Class 4A1 | | | | | | | | | |
4.23% | | | 10/25/32 | 3 | | | 42,955 | | | | 43,779 | |
| Merrill Lynch First Franklin Mortgage Loan Trust, Series 2006-FF10, Class A4 | | | | | | | | | |
| (LIBOR USD 1-Month plus 0.15%) | | | | | |
2.37% | | | 07/25/36 | 1 | | | 228,028 | | | | 228,150 | |
| Merrill Lynch Mortgage Investors Trust, Series 2003-A1, Class 2A | | | | | | | | | |
| (LIBOR USD 12-Month plus 1.63%) | | | | | |
4.47% | | | 12/25/32 | 1 | | | 171,497 | | | | 172,474 | |
| Morgan Stanley ABS Capital I Trust, Series 2006-NC1, Class A4 | | | | | | | | | |
| (LIBOR USD 1-Month plus 0.30%) | | | | | |
2.52% | | | 12/25/35 | 1 | | | 197,893 | | | | 198,033 | |
| Residential Asset Mortgage Products Trust, Series 2004-SL1, Class A2 | | | | | | | | | |
8.50% | | | 11/25/31 | | | | 34,570 | | | | 5,961 | |
| Residential Asset Mortgage Products Trust, Series 2004-SL1, Class A8 | | | | | | | | | |
6.50% | | | 11/25/31 | | | | 50,179 | | | | 52,566 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
Non-Agency Mortgage-Backed (continued) | |
| Residential Asset Securitization Trust, Series 2004-IP2, Class 2A1 | | | | | | | | | |
4.18% | | | 12/25/34 | 3 | | $ | 119,954 | | | $ | 120,796 | |
| Terwin NIMs Trust, Series 2004-13AL, Class 2PX (IO) | | | | | | | | | |
0.34% | | | 08/25/34 | 2,6,7 | | | 2,145,396 | | | | 25,531 | |
| WaMu Mortgage Pass-Through Certificates, Series 2002-AR6, Class A | | | | | | | | | |
| (Federal Reserve US 12-Month Cumulative Average plus 1.40%) | | | | | |
3.24% | | | 06/25/42 | 1 | | | 30,822 | | | | 30,108 | |
| WaMu Mortgage Pass-Through Certificates, Series 2003-AR6, Class A1 | | | | | | | | | |
4.23% | | | 06/25/33 | 3 | | | 81,136 | | | | 82,290 | |
| WaMu Mortgage Pass-Through Certificates, Series 2005-4, Class CB13 | | | | | | | | | |
| (LIBOR USD 1-Month plus 0.50%) | | | | | |
2.72% | | | 06/25/35 | 1 | | | 197,245 | | | | 176,013 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 2,890,835 | |
| | | | | | | | | | | | |
|
U.S. Agency Commercial Mortgage-Backed — 10.04% | |
| Fannie Mae-Aces, Series 2014-M12, Class FA | | | | | | | | | |
| (LIBOR USD 1-Month plus 0.30%) | | | | | |
2.37% | | | 10/25/21 | 1 | | | 77,715 | | | | 77,781 | |
| Fannie Mae-Aces, Series 2016-M6, Class ASQ2 | | | | | | | | | |
1.79% | | | 06/25/19 | | | | 10,398 | | | | 10,326 | |
| Fannie Mae-Aces, Series 2017-M11, Class FA | | | | | | | | | |
| (LIBOR USD 1-Month plus 0.47%) | | | | | |
2.54% | | | 09/25/24 | 1 | | | 491,484 | | | | 493,031 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF34, Class A | | | | | | | | | |
| (LIBOR USD 1-Month plus 0.36%) | | | | | |
2.47% | | | 08/25/24 | 1 | | | 220,716 | | | | 220,823 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series J15F, Class A1 | | | | | | | | | |
2.36% | | | 07/25/20 | | | | 300,051 | | | | 298,817 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series K003, Class A5 | | | | | | | | | |
5.09% | | | 03/25/19 | | | | 550,000 | | | | 552,741 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series K004, Class A2 | | | | | | | | | |
4.19% | | | 08/25/19 | | | | 855,000 | | | | 862,375 | |
| | | | | | | | | | | | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| 159 / Semi-Annual Report September 2018 |
Ultra Short Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
| U.S. Agency Commercial Mortgage-Backed (continued) | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series K005, Class A2 | | | | | | | | | |
4.32% | | | 11/25/19 | | | $ | 795,000 | | | $ | 803,135 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series K006, Class A1 | | | | | | | | | |
3.40% | | | 07/25/19 | | | | 216,684 | | | | 217,160 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series K007, Class A2 | | | | | | | | | |
4.22% | | | 03/25/20 | | | | 886,527 | | | | 898,695 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series K010, Class A1 | | | | | | | | | |
3.32% | | | 07/25/20 | | | | 49,726 | | | | 49,765 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series K707, Class A2 | | | | | | | | | |
2.22% | | | 12/25/18 | | | | 517,723 | | | | 516,812 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series K717, Class A1 | | | | | | | | | |
2.34% | | | 02/25/21 | | | | 218,088 | | | | 217,391 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KC01, Class A1 | | | | | | | | | |
1.98% | | | 10/25/22 | | | | 551,969 | | | | 540,823 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF05, Class A | | | | | | | | | |
| (LIBOR USD 1-Month plus 0.35%) | | | | | | | | | |
2.46% | | | 09/25/21 | 1 | | | 157,195 | | | | 157,347 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF08, Class A | | | | | | | | | |
| (LIBOR USD 1-Month plus 0.30%) | | | | | | | | | |
2.41% | | | 01/25/22 | 1 | | | 310,852 | | | | 312,097 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF09, Class A | | | | | | | | | |
| (LIBOR USD 1-Month plus 0.38%) | | | | | | | | | |
2.49% | | | 05/25/22 | 1 | | | 303,436 | | | | 303,855 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF10, Class A | | | | | | | | | |
| (LIBOR USD 1-Month plus 0.38%) | | | | | | | | | |
2.49% | | | 07/25/22 | 1 | | | 273,484 | | | | 274,261 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KGRP, Class A | | | | | | | | | |
| (LIBOR USD 1-Month plus 0.38%) | | | | | | | | | |
2.49% | | | 04/25/20 | 1 | | | 359,849 | | | | 360,406 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
| U.S. Agency Commercial Mortgage-Backed (continued) | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KJ02, Class A2 | | | | | | | | | |
2.60% | | | 09/25/20 | | | $ | 411,338 | | | $ | 408,508 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KP02, Class A2 | | | | | | | | | |
2.36% | | | 04/25/21 | 3 | | | 815,122 | | | | 811,662 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KP04, Class AG1 | | | | | | | | | |
| (LIBOR USD 1-Month plus 0.22%) | | | | | | | | | |
2.33% | | | 07/25/20 | 1 | | | 705,000 | | | | 705,949 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KP04, Class AG2 | | | | | | | | | |
| (LIBOR USD 1-Month plus 0.20%) | | | | | | | | | |
2.31% | | | 10/25/19 | 1 | | | 625,000 | | | | 625,004 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KS02, Class A | | | | | | | | | |
| (LIBOR USD 1-Month plus 0.38%) | | | | | | | | | |
2.49% | | | 08/25/23 | 1 | | | 612,747 | | | | 613,303 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series Q004, Class AFL | | | | | | | | | |
| (Federal Reserve US 12-Month Cumulative Average plus 0.74%) | | | | | | | | | |
2.58% | | | 10/25/21 | 1 | | | 479,815 | | | | 480,299 | |
| NCUA Guaranteed Notes Trust, Series 2011-C1, Class 2A | | | | | | | | | |
| (LIBOR USD 1-Month plus 0.53%) | | | | | | | | | |
2.65% | | | 03/09/21 | 1 | | | 384,201 | | | | 384,371 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 11,196,737 | |
| | | | | | | | | | | | |
|
U.S. Agency Mortgage-Backed — 23.77% | |
| Fannie Mae Pool 111643 | | | | | | | | | |
| (US Treasury Yield Curve Rate T Note Constant Maturity 3 Year plus 1.57%) | | | | | |
2.63% | | | 09/01/20 | 1 | | | 756 | | | | 754 | |
| Fannie Mae Pool 254548 | | | | | | | | | |
5.50% | | | 12/01/32 | | | | 135,198 | | | | 145,816 | |
| Fannie Mae Pool 464321 | | | | | | | | | |
4.36% | | | 01/01/20 | | | | 656,848 | | | | 664,427 | |
| Fannie Mae Pool 469632 | | | | | | | | | |
2.56% | | | 12/01/18 | | | | 600,945 | | | | 599,927 | |
| Fannie Mae Pool 523829 | | | | | | | | | |
8.00% | | | 11/01/19 | | | | 11,032 | | | | 11,098 | |
| Fannie Mae Pool 555098 | | | | | | | | | |
| (LIBOR USD 12-Month plus 1.54%) | | | | | | | | | |
3.58% | | | 11/01/32 | 1 | | | 18,127 | | | | 18,435 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| Semi-Annual Report September 2018 / 160 |
Ultra Short Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
| Fannie Mae Pool 555424 | | | | | |
5.50% | | | 05/01/33 | | | $ | 88,660 | | | $ | 95,945 | |
| Fannie Mae Pool 567002 | | | | | |
8.00% | | | 05/01/23 | | | | 26,272 | | | | 27,833 | |
| Fannie Mae Pool 655133 | | | | | |
7.00% | | | 08/01/32 | | | | 7,676 | | | | 7,903 | |
| Fannie Mae Pool 655151 | | | | | |
7.00% | | | 08/01/32 | | | | 14,610 | | | | 15,157 | |
| Fannie Mae Pool 762525 | | | | | |
6.50% | | | 11/01/33 | | | | 27,232 | | | | 29,020 | |
| Fannie Mae Pool 770900 | | | | | |
| (LIBOR USD 12-Month plus 1.55%) | | | | | |
3.92% | | | 04/01/34 | 1 | | | 172,343 | | | | 175,884 | |
| Fannie Mae Pool 893489 | | | | | |
| (LIBOR USD 12-Month plus 1.62%) | | | | | |
4.37% | | | 09/01/36 | 1 | | | 30,251 | | | | 31,562 | |
| Fannie Mae Pool AD0538 | | | | | |
6.00% | | | 05/01/24 | | | | 61,951 | | | | 64,709 | |
| Fannie Mae Pool AE0443 | | | | | |
6.50% | | | 10/01/39 | | | | 99,300 | | | | 108,934 | |
| Fannie Mae Pool AL0851 | | | | | |
6.00% | | | 10/01/40 | | | | 90,698 | | | | 99,083 | |
| Fannie Mae Pool AM7028 | | | | | |
| (LIBOR USD 1-Month plus 0.24%) | | | | | |
2.35% | | | 10/01/19 | 1 | | | 1,040,000 | | | | 1,039,323 | |
| Fannie Mae REMICS, Series 1993-80, | | | | | |
| Class S | | | | | |
| (-1.22 X LIBOR USD 1-Month plus 10.87%, 10.87% Cap) | | | | | |
8.17% | | | 05/25/23 | 1 | | | 1,001 | | | | 1,084 | |
| Fannie Mae REMICS, Series 2001-42, | | | | | |
| Class SB | | | | | |
| (-16.00 X LIBOR USD 1-Month plus 128.00%, 8.50% Cap) | | | | | |
8.50% | | | 09/25/31 | 1 | | | 1,676 | | | | 1,923 | |
| Fannie Mae REMICS, Series 2001-60, | | | | | |
| Class OF | | | | | |
| (LIBOR USD 1-Month plus 0.95%) | | | | | |
3.17% | | | 10/25/31 | 1 | | | 124,639 | | | | 127,217 | |
| Fannie Mae REMICS, Series 2002-30, | | | | | |
| Class FB | | | | | |
| (LIBOR USD 1-Month plus 1.00%) | | | | | |
3.22% | | | 08/25/31 | 1 | | | 158,246 | | | | 161,368 | |
| Fannie Mae REMICS, Series 2003-124, | | | | | |
| Class TS | | | | | |
| (-14.00 X LIBOR USD 1-Month plus 100.80%, 9.80% Cap) | | | | | |
9.80% | | | 01/25/34 | 1 | | | 19,307 | | | | 22,024 | |
| Fannie Mae REMICS, Series 2003-134, | | | | | |
| Class FC | | | | | |
| (LIBOR USD 1-Month plus 0.60%) | | | | | |
2.82% | | | 12/25/32 | 1 | | | 509,894 | | | | 516,058 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
| Fannie Mae REMICS, Series 2004-38, | | | | | |
| Class FT | | | | | |
| (LIBOR USD 1-Month plus 0.43%) | | | | | |
2.65% | | | 10/25/33 | 1 | | $ | 25,653 | | | $ | 25,653 | |
| Fannie Mae REMICS, Series 2004-60, | | | | | |
| Class FW | | | | | |
| (LIBOR USD 1-Month plus 0.45%) | | | | | |
2.67% | | | 04/25/34 | 1 | | | 479,017 | | | | 481,387 | |
| Fannie Mae REMICS, Series 2004-79, | | | | | |
| Class F | | | | | |
| (LIBOR USD 1-Month plus 0.30%) | | | | | |
2.52% | | | 08/25/32 | 1 | | | 39,601 | | | | 39,607 | |
| Fannie Mae REMICS, Series 2004-96, | | | | | |
| Class MT | | | | | |
| LIBOR USD 1-Month | | | | | |
7.00% | | | 12/25/34 | 1 | | | 10,049 | | | | 10,335 | |
| Fannie Mae REMICS, Series 2005-114, | | | | | |
| Class PF | | | | | |
| (LIBOR USD 1-Month plus 0.38%) | | | | | |
2.59% | | | 08/25/35 | 1 | | | 637,009 | | | | 637,791 | |
| Fannie Mae REMICS, Series 2006-84, | | | | | |
| Class WF | | | | | |
| (LIBOR USD 1-Month plus 0.30%) | | | | | |
2.52% | | | 02/25/36 | 1 | | | 80,440 | | | | 80,470 | |
| Fannie Mae REMICS, Series 2007-68, | | | | | |
| Class SC (IO) | | | | | |
| LIBOR USD 1-Month | | | | | |
4.48% | | | 07/25/37 | 1 | | | 126,577 | | | | 19,352 | |
| Fannie Mae REMICS, Series 2008-47, | | | | | |
| Class PF | | | | | |
| (LIBOR USD 1-Month plus 0.50%) | | | | | |
2.72% | | | 06/25/38 | 1 | | | 13,609 | | | | 13,618 | |
| Fannie Mae REMICS, Series 2009-111, | | | | | |
| Class DA | | | | | |
5.00% | | | 12/25/39 | | | | 20,261 | | | | 20,553 | |
| Fannie Mae REMICS, Series 2009-33, | | | | | |
| Class FB | | | | | |
| (LIBOR USD 1-Month plus 0.82%) | | | | | |
3.04% | | | 03/25/37 | 1 | | | 160,046 | | | | 163,663 | |
| Fannie Mae REMICS, Series 2010-109, | | | | | |
| Class PF | | | | | |
| (LIBOR USD 1-Month plus 0.40%) | | | | | |
2.62% | | | 10/25/40 | 1 | | | 92,239 | | | | 92,874 | |
| Fannie Mae REMICS, Series 2010-26, | | | | | |
| Class S (IO) | | | | | |
| (-1.00 X LIBOR USD 1-Month plus 6.23%, 6.23% Cap) | | | | | |
4.01% | | | 11/25/36 | 1 | | | 507,555 | | | | 66,110 | |
| Fannie Mae REMICS, Series 2010-35, | | | | | |
| Class FL | | | | | |
| (LIBOR USD 1-Month plus 0.45%) | | | | | |
2.67% | | | 07/25/38 | 1 | | | 40,466 | | | | 40,476 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| 161 / Semi-Annual Report September 2018 |
Ultra Short Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed (continued) | | | | | |
| Fannie Mae REMICS, Series 2011-124, Class DF | | | | | | | | | |
| (LIBOR USD 1-Month plus 0.45%) | | | | | | | | | |
2.67% | | | 08/25/40 | 1 | | $ | 452,730 | | | $ | 454,668 | |
| Fannie Mae REMICS, Series 2011-71, Class FB | | | | | | | | | |
| (LIBOR USD 1-Month plus 0.50%) | | | | | | | | | |
2.72% | | | 05/25/37 | 1 | | | 197,546 | | | | 198,759 | |
| Fannie Mae REMICS, Series 2011-8, Class PF | | | | | | | | | |
| (LIBOR USD 1-Month plus 0.50%) | | | | | | | | | |
2.72% | | | 01/25/40 | 1 | | | 114,670 | | | | 115,345 | |
| Fannie Mae REMICS, Series 2012-19, Class FP | | | | | | | | | |
| (LIBOR USD 1-Month plus 0.50%) | | | | | | | | | |
2.72% | | | 12/25/39 | 1 | | | 670,468 | | | | 674,070 | |
| Fannie Mae REMICS, Series 2012-33, Class F | | | | | | | | | |
| (LIBOR USD 1-Month plus 0.52%) | | | | | | | | | |
2.74% | | | 04/25/42 | 1 | | | 675,817 | | | | 682,761 | |
| Fannie Mae REMICS, Series 2013-75, Class FC | | | | | | | | | |
| (LIBOR USD 1-Month plus 0.25%) | | | | | | | | | |
2.47% | | | 07/25/42 | 1 | | | 669,626 | | | | 669,288 | |
| Fannie Mae REMICS, Series 2014-19, Class FA | | | | | | | | | |
| (LIBOR USD 1-Month plus 0.40%) | | | | | | | | | |
2.62% | | | 11/25/39 | 1 | | | 293,618 | | | | 294,235 | |
| Fannie Mae REMICS. Series 2004-92, Class FD | | | | | | | | | |
| (LIBOR USD 1-Month plus 0.35%) | | | | | | | | | |
2.57% | | | 05/25/34 | 1 | | | 629,626 | | | | 631,020 | |
| Freddie Mac Gold Pool C90237 | | | | | | | | | |
6.50% | | | 11/01/18 | | | | 639 | | | | 640 | |
| Freddie Mac Gold Pool C90474 | | | | | | | | | |
7.00% | | | 08/01/21 | | | | 13,926 | | | | 14,280 | |
| Freddie Mac Gold Pool D93410 | | | | | | | | | |
6.50% | | | 04/01/19 | | | | 2,293 | | | | 2,301 | |
| Freddie Mac Gold Pool G13107 | | | | | | | | | |
5.50% | | | 07/01/20 | | | | 13,469 | | | | 13,641 | |
| Freddie Mac Multifamily Structured Pass Through Certificates | | | | | | | | | |
2.57% | | | 09/25/20 | 3 | | | 1,196,809 | | | | 1,191,406 | |
| Freddie Mac REMICS, Series 1526, Class L | | | | | | | | | |
6.50% | | | 06/15/23 | | | | 2,385 | | | | 2,503 | |
| Freddie Mac REMICS, Series 2368, Class AF | | | | | | | | | |
| (LIBOR USD 1-Month plus 0.95%) | | | | | | | | | |
3.11% | | | 10/15/31 | 1 | | | 74,733 | | | | 75,877 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed (continued) | | | | | |
| Freddie Mac REMICS, Series 2642, Class BW (IO) | | | | | | | | | |
5.00% | | | 06/15/23 | | | $ | 896 | | | $ | 21 | |
| Freddie Mac REMICS, Series 2733, Class FB | | | | | | | | | |
| (LIBOR USD 1-Month plus 0.60%) | | | | | | | | | |
2.76% | | | 10/15/33 | 1 | | | 927,708 | | | | 939,505 | |
| Freddie Mac REMICS, Series 2763, Class FC | | | | | | | | | |
| (LIBOR USD 1-Month plus 0.35%) | | | | | | | | | |
2.51% | | | 04/15/32 | 1 | | | 272,902 | | | | 273,134 | |
| Freddie Mac REMICS, Series 2945, Class LD | | | | | | | | | |
4.00% | | | 02/15/35 | | | | 2,490 | | | | 2,491 | |
| Freddie Mac REMICS, Series 2990, Class DE | | | | | | | | | |
| (LIBOR USD 1-Month plus 0.38%) | | | | | | | | | |
2.54% | | | 11/15/34 | 1 | | | 341,408 | | | | 342,355 | |
| Freddie Mac REMICS, Series 2990, Class LE | | | | | | | | | |
| (LIBOR USD 1-Month plus 0.32%) | | | | | | | | | |
2.48% | | | 10/15/34 | 1 | | | 379,417 | | | | 380,007 | |
| Freddie Mac REMICS, Series 3066, Class PF | | | | | | | | | |
| (LIBOR USD 1-Month plus 0.30%) | | | | | | | | | |
2.46% | | | 04/15/35 | 1 | | | 650,175 | | | | 650,874 | |
| Freddie Mac REMICS, Series 3085, Class FW | | | | | | | | | |
| (LIBOR USD 1-Month plus 0.70%) | | | | | | | | | |
2.86% | | | 08/15/35 | 1 | | | 569,678 | | | | 580,001 | |
| Freddie Mac REMICS, Series 3139, Class FL | | | | | | | | | |
| (LIBOR USD 1-Month plus 0.30%) | | | | | | | | | |
2.46% | | | 01/15/36 | 1 | | | 491,964 | | | | 492,170 | |
| Freddie Mac REMICS, Series 3172, Class FK | | | | | | | | | |
| (LIBOR USD 1-Month plus 0.45%) | | | | | | | | | |
2.61% | | | 08/15/33 | 1 | | | 157,830 | | | | 157,976 | |
| Freddie Mac REMICS, Series 3196, Class FA | | | | | | | | | |
| (LIBOR USD 1-Month plus 0.35%) | | | | | | | | | |
2.51% | | | 04/15/32 | 1 | | | 729,183 | | | | 729,845 | |
| Freddie Mac REMICS, Series 3300, Class FA | | | | | | | | | |
| (LIBOR USD 1-Month plus 0.30%) | | | | | | | | | |
2.46% | | | 08/15/35 | 1 | | | 530,178 | | | | 531,011 | |
| Freddie Mac REMICS, Series 3325, Class NF | | | | | | | | | |
| (LIBOR USD 1-Month plus 0.30%) | | | | | | | | | |
2.46% | | | 08/15/35 | 1 | | | 106,505 | | | | 106,673 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| Semi-Annual Report September 2018 / 162 |
Ultra Short Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
| Freddie Mac REMICS, Series 3652, Class PF | | | | | | | | | |
| (LIBOR USD 1-Month plus 0.75%) | | | | | | | | | |
2.91% | | | 07/15/32 | 1 | | $ | 40,196 | | | $ | 40,471 | |
| Freddie Mac REMICS, Series 3767, Class JF | | | | | | | | | |
| (LIBOR USD 1-Month plus 0.30%) | | | | | | | | | |
2.46% | | | 02/15/39 | 1 | | | 434,452 | | | | 435,836 | |
| Freddie Mac REMICS, Series 3792, Class DF | | | | | | | | | |
| (LIBOR USD 1-Month plus 0.40%) | | | | | | | | | |
2.56% | | | 11/15/40 | 1 | | | 215,557 | | | | 215,006 | |
| Freddie Mac REMICS, Series 3806, Class DF | | | | | | | | | |
| (LIBOR USD 1-Month plus 0.40%) | | | | | | | | | |
2.56% | | | 08/15/25 | 1 | | | 186,467 | | | | 186,904 | |
| Freddie Mac REMICS, Series 3828, Class TF | | | | | | | | | |
| (LIBOR USD 1-Month plus 0.40%) | | | | | | | | | |
2.56% | | | 04/15/29 | 1 | | | 55,879 | | | | 55,929 | |
| Freddie Mac REMICS, Series 3845, Class FQ | | | | | | | | | |
| (LIBOR USD 1-Month plus 0.25%) | | | | | | | | | |
2.41% | | | 02/15/26 | 1 | | | 326,745 | | | | 327,142 | |
| Freddie Mac REMICS, Series 3895, Class BF | | | | | | | | | |
| (LIBOR USD 1-Month plus 0.50%) | | | | | | | | | |
2.66% | | | 07/15/41 | 1 | | | 346,816 | | | | 350,329 | |
| Freddie Mac REMICS, Series 3940, Class PF | | | | | | | | | |
| (LIBOR USD 1-Month plus 0.35%) | | | | | | | | | |
2.51% | | | 05/15/40 | 1 | | | 852,220 | | | | 853,579 | |
| Freddie Mac REMICS, Series 3946, Class FG | | | | | | | | | |
| (LIBOR USD 1-Month plus 0.35%) | | | | | | | | | |
2.51% | | | 10/15/39 | 1 | | | 429,412 | | | | 430,242 | |
| Freddie Mac REMICS, Series 4109, Class KF | | | | | | | | | |
| (LIBOR USD 1-Month plus 0.40%) | | | | | | | | | |
2.56% | | | 05/15/32 | 1 | | | 110,826 | | | | 111,118 | |
| Freddie Mac Strips, Series 263, Class F5 | | | | | | | | | |
| (LIBOR USD 1-Month plus 0.50%) | | | | | | | | | |
2.66% | | | 06/15/42 | 1 | | | 527,700 | | | | 533,443 | |
| Ginnie Mae II Pool 80546 | | | | | | | | | |
| (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%) | | | | | | | | | |
3.13% | | | 10/20/31 | 1 | | | 11,275 | | | | 11,681 | |
| Ginnie Mae II Pool 80610 | | | | | | | | | |
| (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%) | | | | | | | | | |
3.63% | | | 06/20/32 | 1 | | | 130,586 | | | | 135,121 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | | | | | |
U.S. Agency Mortgage-Backed (continued) | |
| Ginnie Mae II Pool 80614 | | | | | | | | | | | | |
| (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%) | | | | | | | | | |
2.75% | | | 07/20/32 | 1 | | $ | 17,611 | | | $ | 18,245 | |
| Ginnie Mae II Pool 80687 | | | | | | | | | | | | |
| (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%) | | | | | | | | | |
3.63% | | | 04/20/33 | 1 | | | 115,550 | | | | 119,657 | |
| Ginnie Mae II Pool 8339 | | | | | | | | | | | | |
| (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%) | | | | | | | | | |
3.13% | | | 12/20/23 | 1 | | | 16,373 | | | | 16,706 | |
| Ginnie Mae II Pool 8684 | | | | | | | | | | | | |
| (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%) | | | | | | | | | |
2.75% | | | 08/20/25 | 1 | | | 28,610 | | | | 29,345 | |
| Ginnie Mae II Pool MA0331 | | | | | | | | | | | | |
| (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%) | | | | | | | | | |
2.75% | | | 08/20/42 | 1 | | | 175,835 | | | | 182,277 | |
| Ginnie Mae, Series 2001-22, Class FK | | | | | | | | | |
| (LIBOR USD 1-Month plus 0.35%) | | | | | | | | | |
2.51% | | | 05/16/31 | 1 | | | 782,380 | | | | 786,002 | |
| Ginnie Mae, Series 2001-51, Class FA | | | | | | | | | |
| (LIBOR USD 1-Month plus 0.50%) | | | | | | | | | |
2.66% | | | 10/16/31 | 1 | | | 612,245 | | | | 615,150 | |
| Ginnie Mae, Series 2002-16, Class FV | | | | | | | | | |
| (LIBOR USD 1-Month plus 0.40%) | | | | | | | | | |
2.56% | | | 02/16/32 | 1 | | | 853,764 | | | | 859,165 | |
| Ginnie Mae, Series 2002-72, Class FB | | | | | | | | | |
| (LIBOR USD 1-Month plus 0.40%) | | | | | | | | | |
2.57% | | | 10/20/32 | 1 | | | 177,369 | | | | 178,133 | |
| Ginnie Mae, Series 2002-72, Class FC | | | | | | | | | |
| (LIBOR USD 1-Month plus 0.40%) | | | | | | | | | |
2.57% | | | 10/20/32 | 1 | | | 169,165 | | | | 169,894 | |
| Ginnie Mae, Series 2003-42, Class FA | | | | | | | | | |
| (LIBOR USD 1-Month plus 0.40%) | | | | | | | | | |
2.56% | | | 07/16/31 | 1 | | | 832,279 | | | | 836,522 | |
| Ginnie Mae, Series 2004-2, Class FW | | | | | | | | | |
| (LIBOR USD 1-Month plus 1.40%) | | | | | | | | | |
3.50% | | | 01/16/34 | 1 | | | 488,349 | | | | 505,608 | |
| Ginnie Mae, Series 2009-66, Class UF | | | | | | | | | |
| (LIBOR USD 1-Month plus 1.00%) | | | | | | | | | |
3.16% | | | 08/16/39 | 1 | | | 169,180 | | | | 173,401 | |
| Ginnie Mae, Series 2009-92, Class FC | | | | | | | | | |
| (LIBOR USD 1-Month plus 0.80%) | | | | | | | | | |
2.96% | | | 10/16/39 | 1 | | | 176,544 | | | | 179,692 | |
| Ginnie Mae, Series 2011-70, Class IL (IO) | | | | | | | | | |
| (LIBOR USD 1-Month plus 7.10%) | | | | | | | | | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| 163 / Semi-Annual Report September 2018 |
Ultra Short Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | |
U.S. Agency Mortgage-Backed (continued) | |
0.60% | | | 06/16/37 | 1 | | $ | 2,392,967 | | | $ | 46,032 | |
| Ginnie Mae, Series 2012-10, Class FP | | | | | | | | | |
| (LIBOR USD 1-Month plus 0.30%) | | | | | | | | | |
2.47% | | | 01/20/41 | 1 | | | 129,789 | | | | 129,727 | |
| Ginnie Mae, Series 2012-13, Class KF | | | | | | | | | |
| (LIBOR USD 1-Month plus 0.30%) | | | | | | | | | |
2.47% | | | 07/20/38 | 1 | | | 301,131 | | | | 301,717 | |
| NCUA Guaranteed Notes Trust, Series 2010-R1, Class 1A | | | | | | | | | |
| (LIBOR USD 1-Month plus 0.45%) | | | | | | | | | |
2.57% | | | 10/07/20 | 1 | | | 986,406 | | | | 987,331 | |
| NCUA Guaranteed Notes Trust, Series 2010-R3, Class 1A | | | | | | | | | |
| (LIBOR USD 1-Month plus 0.56%) | | | | | | | | | |
2.68% | | | 12/08/20 | 1 | | | 594,577 | | | | 596,319 | |
| NCUA Guaranteed Notes Trust, Series 2011-R3, Class 1A | | | | | | | | | |
| (LIBOR USD 1-Month plus 0.40%) | | | | | | | | | |
2.54% | | | 03/11/20 | 1 | | | 212,008 | | | | 212,324 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 26,494,278 | |
| | | | | | | | | | | | |
Total Mortgage-Backed | | | | | |
(Cost $41,133,959) | | | | | | | | 41,151,365 | |
| | | | | | | | | | | | |
| |
U.S. TREASURY SECURITIES — 23.46% | | | | | |
U.S. Treasury Notes — 23.46% | | | | | |
| U.S. Treasury Notes | | | | | | | | | |
2.63% | | | 07/31/20 | | | | 18,480,000 | | | | 18,420,806 | |
2.63% | | | 07/15/21 | | | | 4,600,000 | | | | 4,568,644 | |
2.75% | | | 09/30/20 | | | | 2,915,000 | | | | 2,911,299 | |
2.75% | | | 09/15/21 | | | | 250,000 | | | | 249,072 | |
| | | | | | | | | | | | |
Total U.S. Treasury Securities | | | | | |
(Cost $26,222,524) | | | | | | | | 26,149,821 | |
| | | | | | | | | | | | |
| | |
Total Bonds – 88.09% | | | | | | | | | |
(Cost $98,311,530) | | | | | | | | 98,202,091 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount/
Share | | | Value | |
SHORT-TERM INVESTMENTS — 14.49% | |
Money Market Funds — 4.26% | |
| Morgan Stanley Institutional Liquidity | | | | | | | | | |
| Funds-Government Portfolio | | | | | | | | | |
2.04%9 | | | | | | | 4,743,000 | | | $ | 4,743,000 | |
| | | | | | | | | | | | |
U.S. Agency Discount Notes — 1.03% | |
| Federal Home Loan Bank | | | | | | | | | |
2.02%10 | | | 11/16/18 | | | $ | 1,149,000 | | | | 1,145,881 | |
| | | | | | | | | | | | |
U.S. Treasury Bills — 9.20% | |
| U.S. Treasury Bills | | | | | | | | | | | | |
2.04%10 | | | 01/03/19 | | | | 3,400,000 | | | | 3,380,735 | |
2.05%10,11 | | | 12/13/18 | | | | 26,000 | | | | 25,888 | |
2.09%10 | | | 01/10/19 | | | | 2,900,000 | | | | 2,882,365 | |
2.18%10 | | | 01/31/19 | | | | 4,000,000 | | | | 3,969,924 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 10,258,912 | |
| | | | | | | | | | | | |
Total Short-Term Investments | |
(Cost $16,149,294) | | | | | | | | 16,147,793 | |
| | | | | | | | | | | | |
| |
Total Investments – 102.58% | | | | | |
(Cost $114,460,824) | | | | | | | | 114,349,884 | |
| | | | | | | | | | | | |
Liabilities in Excess of Other | | | | | |
Assets – (2.58)% | | | | | | | | (2,871,298 | ) |
| | | | | | | | | | | | |
Net Assets – 100.00% | | | | | | | $ | 111,478,586 | |
| | | | | | | | | | | | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| Semi-Annual Report September 2018 / 164 |
Ultra Short Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| 1 | Floating rate security. The rate disclosed was in effect at September 30, 2018. |
| 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 | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. |
| 4 | U.S. dollar-denominated security issued by foreign-domiciled entity. |
| 5 | Non-income producing security. |
| 6 | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
| 7 | Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $25,531, which is 0.02% of total net assets. |
| 8 | Security is currently in default with regard to scheduled interest or principal payments. |
| 9 | Represents the current yield as of September 30, 2018. |
| 10 | Represents annualized yield at date of purchase. |
| 11 | Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $25,887. |
| † | Fair valued security. The aggregate value of fair valued securities is $0, which is 0.00% of total net assets. These securities were not |
| | valued utilizing an independent quote but 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.
(GMTN): Global medium-term note
(IO): Interest only
(LIBOR): London InterBank Offer Rate
(MTN): Medium-term note
(STEP): Step coupon bond
(SOFR): Secured Overnight Financing Rate
(USD): U.S. dollar
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Number
of Contracts | | Expiration Date | | Notional Amount | | Value | | Unrealized
(Depreciation) |
FUTURES CONTRACTS: LONG POSITIONS | | | | | | |
U.S. Treasury Two Year Note | | | | 38 | | | | | 12/31/18 | | | | | $8,007,906 | | | | | $(26,401 | ) | | | | $(26,401 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 165 / Semi-Annual Report September 2018 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BONDS – 97.33% | | | | | |
ASSET-BACKED SECURITIES — 14.40%** | |
321 Henderson Receivables VI LLC | |
Series 2010-1A, Class B | | | | | |
9.31% | | | 07/15/61 | 1 | | $ | 405,286 | | | $ | 471,029 | |
Access Group, Inc., Series 2015-1, Class A | |
(LIBOR USD 1-Month plus 0.70%) | | | | | |
2.92% | | | 07/25/56 | 1,2 | | | 4,602,434 | | | | 4,595,593 | |
AIMCO CLO, Series 2014-AA, Class AR | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.10%) | | | | | |
3.45% | | | 07/20/26 | 1,2,3 | | | 2,900,000 | | | | 2,900,341 | |
ARES XXIX CLO Ltd., Series 2014-1A, | |
Class A1R (Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.19%) | | | | | |
3.53% | | | 04/17/26 | 1,2,3 | | | 5,950,763 | | | | 5,951,531 | |
Babson CLO Ltd., Series 2044-1A, | | | | | |
Class A1R (Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.15%) | | | | | |
3.50% | | | 07/20/25 | 1,2,3 | | | 7,005,000 | | | | 7,008,579 | |
Barings CLO Ltd., Series 2018-3A, | | | | | |
Class A1 (Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 0.95%) | | | | | |
3.02% | | | 07/20/29 | 1,2,3 | | | 8,400,000 | | | | 8,356,152 | |
Bayview Commercial Asset Trust, | | | | | |
Series 2004-3, Class A1 | | | | | |
(LIBOR USD 1-Month plus 0.56%) | | | | | |
2.77% | | | 01/25/35 | 1,2 | | | 736,035 | | | | 728,131 | |
Bayview Commercial Asset Trust, | | | | | |
Series 2005-1A, Class A1 | | | | | |
(LIBOR USD 1-Month plus 0.30%) | | | | | |
2.52% | | | 04/25/35 | 1,2 | | | 1,340,859 | | | | 1,308,224 | |
BlueMountain CLO Ltd., Series 2014-2A, | | | | | |
Class AR (Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 0.93%) | | | | | |
3.28% | | | 07/20/26 | 1,2,3 | | | 2,100,000 | | | | 2,100,246 | |
BlueMountain CLO Ltd., Series 2015-1A, | | | | | |
Class A1R (Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.33%) | | | | | |
3.67% | | | 04/13/27 | 1,2,3 | | | 6,090,000 | | | | 6,105,174 | |
Brazos Higher Education Authority, Inc., | | | | | |
Series 2005-3, Class A16 | | | | | |
(LIBOR USD 3-Month plus 0.20%) | | | | | |
2.57% | | | 06/25/26 | 2 | | | 77,551 | | | | 76,776 | |
Brazos Higher Education Authority, Inc., | | | | | |
Series 2011-1, Class A2 | | | | | |
(LIBOR USD 3-Month plus 0.80%) | | | | | |
3.11% | | | 02/25/30 | 2 | | | 64,411 | | | | 64,852 | |
CIT Education Loan Trust, Series 2007-1, | | | | | |
Class A | | | | | |
(LIBOR USD 3-Month plus 0.09%) | | | | | |
2.46% | | | 03/25/42 | 1,2 | | | 3,057,463 | | | | 2,979,993 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | |
CIT Education Loan Trust, Series 2007-1, | | | | | |
Class B | | | | | | | | | | | | |
(LIBOR USD 3-Month plus 0.30%) | | | | | |
2.67% | | | 06/25/42 | 1,2 | | $ | 2,732,867 | | | $ | 2,490,879 | |
Dryden 30 Senior Loan Fund, | | | | | |
Series 2013-30A, Class AR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 0.82%) | | | | | |
3.13% | | | 11/15/28 | 1,2,3 | | | 7,500,000 | | | | 7,466,664 | |
Dryden XXV Senior Loan Fund, | | | | | |
Series 2012-25A, Class ARR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 0.90%) | | | | | |
3.24% | | | 10/15/27 | 1,2,3 | | | 9,500,000 | | | | 9,504,752 | |
Edsouth Indenture No. 3 LLC, Series 2012-2, | | | | | |
Class A | | | | | |
(LIBOR USD 1-Month plus 0.73%) | | | | | |
2.95% | | | 04/25/39 | 1,2 | | | 173,262 | | | | 173,848 | |
Education Loan Asset-Backed Trust I, | | | | | |
Series 2013-1, Class A2 | | | | | |
(LIBOR USD 1-Month plus 0.80%) | | | | | |
3.02% | | | 04/26/32 | 1,2 | | | 3,465,000 | | | | 3,484,113 | |
Educational Funding of the South, Inc., | | | | | |
Series 2012-1, Class A | | | | | |
(LIBOR USD 1-Month plus 1.05%) | | | | | |
3.27% | | | 03/25/36 | 2 | | | 95,146 | | | | 96,027 | |
EFS Volunteer No. 2 LLC, Series 2012-1, | | | | | |
Class A2 | | | | | |
(LIBOR USD 1-Month plus 1.35%) | | | | | |
3.57% | | | 03/25/36 | 1,2 | | | 6,400,000 | | | | 6,516,958 | |
Flagship CLO VIII, Ltd., Series 2014-8A, | | | | | |
Class ARR (Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 0.85%) | | | | | |
3.19% | | | 01/16/26 | 1,2,3 | | | 8,000,000 | | | | 7,990,261 | |
Galaxy XXIX CLO Ltd. (Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 0.79%) | | | | | |
3.10% | | | 11/15/26 | 1,2,3 | | | 3,500,000 | | | | 3,490,018 | |
GCO Education Loan Funding Trust, | | | | | |
Series 2006-2AR, Class A1RN | | | | | |
(LIBOR USD 1-Month plus 0.65%) | | | | | |
2.87% | | | 08/27/46 | 1,2 | | | 2,665,993 | | | | 2,630,173 | |
Global SC Finance II SRL, Series 2014-1A, | | | | | |
Class A2 (Barbados) | | | | | |
3.09% | | | 07/17/29 | 1,3 | | | 1,481,667 | | | | 1,436,165 | |
Goal Capital Funding Trust, Series 2006-1, | | | | | |
Class B | | | | | |
(LIBOR USD 3-Month plus 0.45%) | | | | | |
2.76% | | | 08/25/42 | 2 | | | 489,111 | | | | 461,555 | |
Higher Education Funding I, Series 2014-1, | | | | | |
Class A | | | | | |
(LIBOR USD 3-Month plus 1.05%) | | | | | |
3.36% | | | 05/25/34 | 1,2 | | | 1,686,424 | | | | 1,698,069 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| Semi-Annual Report September 2018 / 166 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | |
J.G. Wentworth XXXVIII LLC, | | | | | |
Series 2017-1A, Class A | | | | | |
3.99% | | | 08/16/60 | 1 | | $ | 3,871,801 | | | $ | 3,817,165 | |
LCM XXI LP, Series 21A, | | | | | |
Class AR (Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 0.88%) | | | | | |
3.23% | | | 04/20/28 | 1,2,3 | | | 3,575,000 | | | | 3,569,305 | |
Limerock CLO III LLC, Series 2014-3A, | | | | | |
Class A1R (Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.20%) | | | | | |
3.55% | | | 10/20/26 | 1,2,3 | | | 8,000,000 | | | | 8,001,110 | |
Mill Creek II CLO Ltd., Series 2016-1A, | | | | | |
Class A (Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 1.75%) | | | | | |
4.10% | | | 04/20/28 | 1,2,3 | | | 5,590,000 | | | | 5,643,325 | |
Navient Student Loan Trust, Series 2014-1, | | | | | |
Class A4 | | | | | |
(LIBOR USD 1-Month plus 0.75%) | | | | | |
2.97% | | | 02/25/39 | 2 | | | 3,840,000 | | | | 3,804,285 | |
Navient Student Loan Trust, Series 2014-8, | | | | | |
Class A3 | | | | | |
(LIBOR USD 1-Month plus 0.60%) | | | | | |
2.82% | | | 05/27/49 | 2 | | | 6,120,000 | | | | 6,151,588 | |
Navient Student Loan Trust, Series 2015-1, | | | | | |
Class A2 | | | | | |
(LIBOR USD 1-Month plus 0.60%) | | | | | |
2.82% | | | 04/25/40 | 2 | | | 9,003,354 | | | | 9,036,965 | |
Navient Student Loan Trust, Series 2016-2A, | | | | | |
Class A3 | | | | | |
(LIBOR USD 1-Month plus 1.50%) | | | | | |
3.72% | | | 06/25/65 | 1,2 | | | 11,200,000 | | | | 11,692,219 | |
Navient Student Loan Trust, Series 2017-1A, | |
Class A3 | | | | | |
(LIBOR USD 1-Month plus 1.15%) | | | | | |
3.37% | | | 07/26/66 | 1,2 | | | 16,200,000 | | | | 16,637,287 | |
Navient Student Loan Trust, Series 2017-3A, | |
Class A3 | | | | | | | | | | | | |
(LIBOR USD 1-Month plus 1.05%) | | | | | |
3.27% | | | 07/26/66 | 1,2 | | | 18,400,000 | | | | 18,843,201 | |
Navient Student Loan Trust, Series 2018-3A, | |
Class A3 | | | | | | | | | | | | |
(LIBOR USD 1-Month plus 0.80%) | | | | | |
3.02% | | | 03/25/67 | 1,2 | | | 3,500,000 | | | | 3,539,325 | |
Nelnet Student Loan Trust, Series 2006-2, | | | | | |
Class B | | | | | |
(LIBOR USD 3-Month plus 0.20%) | | | | | |
2.54% | | | 01/25/38 | 2 | | | 4,262,956 | | | | 4,049,514 | |
Nelnet Student Loan Trust, Series 2007-1, | | | | | |
Class A3 | | | | | |
(LIBOR USD 3-Month plus 0.07%) | | | | | |
2.38% | | | 05/27/25 | 2 | | | 2,233,045 | | | | 2,223,901 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | |
Nelnet Student Loan Trust, Series 2012-5A, | |
Class A | | | | | | | | | | | | |
(LIBOR USD 1-Month plus 0.60%) | | | | | |
2.82% | | | 10/27/36 | 1,2 | | $ | 139,870 | | | $ | 139,808 | |
Nelnet Student Loan Trust, Series 2014-4A, | | | | | |
Class A2 | | | | | |
(LIBOR USD 1-Month plus 0.95%) | | | | | |
3.17% | | | 11/25/48 | 1,2 | | | 1,865,000 | | | | 1,879,331 | |
Nelnet Student Loan Trust, Series 2015-1A, | | | | | |
Class A | | | | | |
(LIBOR USD 1-Month plus 0.59%) | | | | | |
2.81% | | | 04/25/46 | 1,2 | | | 2,687,275 | | | | 2,689,697 | |
Nelnet Student Loan Trust, Series 2015-3A, | | | | | |
Class A3 | | | | | |
(LIBOR USD 1-Month plus 0.90%) | | | | | |
3.12% | | | 06/25/54 | 1,2 | | | 11,000,000 | | | | 11,007,223 | |
Northstar Education Finance, Inc., | | | | | |
Series 2007-1, Class A2 | | | | | |
(1.00 X LIBOR USD 3-Month plus 0.75%) | | | | | |
3.09% | | | 01/29/46 | 2 | | | 135,000 | | | | 133,229 | |
Octagon Investment Partners 25 Ltd., | | | | | |
Series 2015-1A, Class AR (Cayman Islands) | |
(LIBOR USD 3-Month plus 0.80%) | | | | | |
3.15% | | | 10/20/26 | 1,2,3 | | | 4,910,000 | | | | 4,880,147 | |
PHEAA Student Loan Trust, Series 2013-3A, | | | | | |
Class A | | | | | | | | | | | | |
(LIBOR USD 1-Month plus 0.75%) | | | | | |
2.97% | | | 11/25/42 | 1,2 | | | 4,231,282 | | | | 4,251,476 | |
Scholar Funding Trust, Series 2011-A, | | | | | |
Class A | | | | | | | | | | | | |
(LIBOR USD 3-Month plus 0.90%) | | | | | |
3.24% | | | 10/28/43 | 1,2 | | | 116,645 | | | | 117,000 | |
Scholar Funding Trust, Series 2012-B, | | | | | |
Class A2 | | | | | | | | | | | | |
(LIBOR USD 1-Month plus 1.10%) | | | | | |
3.34% | | | 03/28/46 | 1,2 | | | 122,388 | | | | 123,453 | |
SLC Student Loan Trust, Series 2004-1, | | | | | |
Class B | | | | | | | | | | | | |
(LIBOR USD 3-Month plus 0.29%) | | | | | |
2.60% | | | 08/15/31 | 2 | | | 634,574 | | | | 600,972 | |
SLC Student Loan Trust, Series 2005-2, | | | | | |
Class A4 | | | | | | | | | | | | |
(LIBOR USD 3-Month plus 0.16%) | | | | | |
2.49% | | | 12/15/39 | 2 | | | 12,000,000 | | | | 11,660,087 | |
SLC Student Loan Trust, Series 2005-3, | | | | | |
Class A4 | | | | | | | | | | | | |
(LIBOR USD 3-Month plus 0.15%) | | | | | |
2.48% | | | 12/15/39 | 2 | | | 13,800,000 | | | | 13,275,995 | |
SLC Student Loan Trust, Series 2006-1, | | | | | |
Class A6 | | | | | | | | | | | | |
(LIBOR USD 3-Month plus 0.16%) | | | | | |
2.49% | | | 03/15/55 | 2 | | | 13,120,000 | | | | 12,736,371 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| 167 / Semi-Annual Report September 2018 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | |
SLC Student Loan Trust, Series 2008-1, | | | | | |
Class A4A | | | | | | | | | | | | |
(LIBOR USD 3-Month plus 1.60%) | | | | | |
3.93% | | | 12/15/32 | 2 | | $ | 3,892,418 | | | $ | 4,047,043 | |
SLM Student Loan Trust, Series 2003-12, | | | | | |
Class B | | | | | | | | | | | | |
(LIBOR USD 3-Month plus 0.59%) | | | | | |
2.92% | | | 03/15/38 | 2 | | | 5,576,801 | | | | 5,291,564 | |
SLM Student Loan Trust, Series 2003-4, | | | | | |
Class A5D | | | | | | | | | | | | |
(LIBOR USD 3-Month plus 0.75%) | | | | | |
3.08% | | | 03/15/33 | 1,2 | | | 2,698,329 | | | | 2,689,412 | |
SLM Student Loan Trust, Series 2003-7, | | | | | |
Class B | | | | | | | | | | | | |
(LIBOR USD 3-Month plus 0.57%) | | | | | |
2.90% | | | 09/15/39 | 2 | | | 3,918,813 | | | | 3,779,596 | |
SLM Student Loan Trust, Series 2004-10, | | | | | |
Class B | | | | | | | | | | | | |
(LIBOR USD 3-Month plus 0.37%) | | | | | |
2.71% | | | 01/25/40 | 2 | | | 11,190,306 | | | | 10,694,528 | |
SLM Student Loan Trust, Series 2004-2, | | | | | |
Class B | | | | | | | | | | | | |
(LIBOR USD 3-Month plus 0.47%) | | | | | |
2.81% | | | 07/25/39 | 2 | | | 678,404 | | | | 649,839 | |
SLM Student Loan Trust, Series 2006-2, | | | | | |
Class A6 | | | | | | | | | | | | |
(LIBOR USD 3-Month plus 0.17%) | | | | | |
2.51% | | | 01/25/41 | 2 | | | 13,735,116 | | | | 13,461,186 | |
SLM Student Loan Trust, Series 2006-8, | | | | | |
Class A6 | | | | | | | | | | | | |
(LIBOR USD 3-Month plus 0.16%) | | | | | |
2.50% | | | 01/25/41 | 2 | | | 1,800,000 | | | | 1,749,203 | |
SLM Student Loan Trust, Series 2007-2, | | | | | |
Class B | | | | | | | | | | | | |
(LIBOR USD 3-Month plus 0.17%) | | | | | |
2.51% | | | 07/25/25 | 2 | | | 12,800,000 | | | | 11,741,591 | |
SLM Student Loan Trust, Series 2007-3, | | | | | |
Class A4 | | | | | | | | | | | | |
(LIBOR USD 3-Month plus 0.06%) | | | | | |
2.40% | | | 01/25/22 | 2 | | | 215,000 | | | | 210,568 | |
SLM Student Loan Trust, Series 2007-3, | | | | | |
Class B | | | | | | | | | | | | |
(LIBOR USD 3-Month plus 0.15%) | | | | | |
2.49% | | | 01/25/28 | 2 | | | 12,800,000 | | | | 11,734,125 | |
SLM Student Loan Trust, Series 2007-7, | | | | | |
Class B | | | | | | | | | | | | |
(LIBOR USD 3-Month plus 0.75%) | | | | | |
3.09% | | | 10/27/70 | 2 | | | 2,195,000 | | | | 2,084,901 | |
SLM Student Loan Trust, Series 2008-2, | | | | | |
Class A3 | | | | | | | | | | | | |
(LIBOR USD 3-Month plus 0.75%) | | | | | |
3.09% | | | 04/25/23 | 2 | | | 17,091,615 | | | | 16,982,244 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | |
SLM Student Loan Trust, Series 2008-2, | | | | | |
Class B | | | | | | | | | | | | |
(LIBOR USD 3-Month plus 1.20%) | | | | | |
3.54% | | | 01/25/83 | 2 | | $ | 1,000,000 | | | $ | 965,074 | |
SLM Student Loan Trust, Series 2008-3, | | | | | |
Class B | | | | | | | | | | | | |
(LIBOR USD 3-Month plus 1.20%) | | | | | |
3.54% | | | 04/26/83 | 2 | | | 710,000 | | | | 696,399 | |
SLM Student Loan Trust, Series 2008-4, | | | | | |
Class A4 | | | | | | | | | | | | |
(LIBOR USD 3-Month plus 1.65%) | | | | | |
3.99% | | | 07/25/22 | 2 | | | 1,521,774 | | | | 1,554,106 | |
SLM Student Loan Trust, Series 2008-4, | | | | | |
Class B | | | | | | | | | | | | |
(LIBOR USD 3-Month plus 1.85%) | | | | | |
4.19% | | | 04/25/73 | 2 | | | 710,000 | | | | 731,968 | |
SLM Student Loan Trust, Series 2008-5, | | | | | |
Class A4 | | | | | | | | | | | | |
(LIBOR USD 3-Month plus 1.70%) | | | | | |
4.04% | | | 07/25/23 | 2 | | | 13,635,220 | | | | 14,000,044 | |
SLM Student Loan Trust, Series 2008-5, | | | | | |
Class B | | | | | | | | | | | | |
(LIBOR USD 3-Month plus 1.85%) | | | | | |
4.19% | | | 07/25/73 | 2 | | | 7,315,000 | | | | 7,509,661 | |
SLM Student Loan Trust, Series 2008-6, | | | | | |
Class A4 | | | | | | | | | | | | |
(LIBOR USD 3-Month plus 1.10%) | | | | | |
3.44% | | | 07/25/23 | 2 | | | 11,451,529 | | | | 11,517,070 | |
SLM Student Loan Trust, Series 2008-6, | | | | | |
Class B | | | | | | | | | | | | |
(LIBOR USD 3-Month plus 1.85%) | | | | | |
4.19% | | | 07/26/83 | 2 | | | 710,000 | | | | 727,458 | |
SLM Student Loan Trust, Series 2008-7, | | | | | |
Class B | | | | | | | | | | | | |
(LIBOR USD 3-Month plus 1.85%) | | | | | |
4.19% | | | 07/26/83 | 2 | | | 820,000 | | | | 836,795 | |
SLM Student Loan Trust, Series 2008-8, | | | | | |
Class A4 | | | | | | | | | | | | |
(LIBOR USD 3-Month plus 1.50%) | | | | | |
3.84% | | | 04/25/23 | 2 | | | 3,210,000 | | | | 3,275,482 | |
SLM Student Loan Trust, Series 2008-8, | | | | | |
Class B | | | | | | | | | | | | |
(LIBOR USD 3-Month plus 2.25%) | | | | | |
4.59% | | | 10/25/75 | 2 | | | 735,000 | | | | 772,199 | |
SLM Student Loan Trust, Series 2008-9, | | | | | |
Class A | | | | | | | | | | | | |
(LIBOR USD 3-Month plus 1.50%) | | | | | |
3.84% | | | 04/25/23 | 2 | | | 4,738,839 | | | | 4,842,883 | |
SLM Student Loan Trust, Series 2008-9, | | | | | |
Class B | | | | | | | | | | | | |
(LIBOR USD 3-Month plus 2.25%) | | | | | |
4.59% | | | 10/25/83 | 2 | | | 7,235,000 | | | | 7,539,521 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| Semi-Annual Report September 2018 / 168 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | |
SLM Student Loan Trust, Series 2009-3, | | | | | |
Class A | | | | | | | | | | | | |
(LIBOR USD 1-Month plus 0.75%) | | | | | |
2.97% | | | 01/25/45 | 1,2 | | $ | 9,586,240 | | | $ | 9,669,964 | |
SLM Student Loan Trust, Series 2011-1, | | | | | |
Class A2 | | | | | | | | | | | | |
(LIBOR USD 1-Month plus 1.15%) | | | | | |
3.37% | | | 10/25/34 | 2 | | | 2,680,000 | | | | 2,745,082 | |
SLM Student Loan Trust, Series 2011-2, | | | | | |
Class A2 | | | | | | | | | | | | |
(LIBOR USD 1-Month plus 1.20%) | | | | | |
3.42% | | | 10/25/34 | 2 | | | 4,035,000 | | | | 4,157,589 | |
SLM Student Loan Trust, Series 2012-1, | | | | | |
Class A3 | | | | | | | | | | | | |
(LIBOR USD 1-Month plus 0.95%) | | | | | |
3.17% | | | 09/25/28 | 2 | | | 1,064,343 | | | | 1,067,787 | |
SLM Student Loan Trust, Series 2012-2, | | | | | |
Class A | | | | | | | | | | | | |
(LIBOR USD 1-Month plus 0.70%) | | | | | |
2.92% | | | 01/25/29 | 2 | | | 1,550,576 | | | | 1,543,807 | |
SLM Student Loan Trust, Series 2012-7, | | | | | |
Class A3 | | | | | | | | | | | | |
(LIBOR USD 1-Month plus 0.65%) | | | | | |
2.87% | | | 05/26/26 | 2 | | | 4,011,634 | | | | 3,975,497 | |
SLM Student Loan Trust, Series 2012-7, | | | | | |
Class B | | | | | | | | | | | | |
(LIBOR USD 1-Month plus 1.80%) | | | | | |
4.02% | | | 09/25/43 | 2 | | | 2,200,000 | | | | 2,218,299 | |
SLM Student Loan Trust, Series 2013-4, | | | | | |
Class A | | | | | | | | | | | | |
(LIBOR USD 1-Month plus 0.55%) | | | | | |
2.77% | | | 06/25/43 | 2 | | | 1,485,879 | | | | 1,495,169 | |
SLM Student Loan Trust, Series 2014-1, | | | | | |
Class A3 | | | | | | | | | | | | |
(LIBOR USD 1-Month plus 0.60%) | | | | | |
2.82% | | | 02/26/29 | 2 | | | 1,483,529 | | | | 1,465,011 | |
SLM Student Loan Trust, Series 2014-2, | | | | | |
Class A3 | | | | | | | | | | | | |
(LIBOR USD 1-Month plus 0.59%) | | | | | |
2.81% | | | 03/25/55 | 2 | | | 13,670,689 | | | | 13,762,127 | |
Structured Receivables Finance LLC, | | | | | |
Series 2010-A, Class B | | | | | |
7.61% | | | 01/16/46 | 1,† | | | 1,877,185 | | | | 2,092,996 | |
Structured Receivables Finance LLC, | | | | | |
Series 2010-B, Class B | | | | | |
7.97% | | | 08/15/36 | 1 | | | 1,257,993 | | | | 1,407,109 | |
Student Loan Consolidation Center Student | | | | | |
Loan Trust I, Series 2002-2, Class B2 | | | | | |
(28 Day Auction Rate plus 0.00%)0 | | | | | |
1.61% | | | 07/01/42 | 1,2 | | | 200,000 | | | | 159,487 | |
Voya CLO Ltd., Series 2014-3A, Class A1R | | | | | |
(Cayman Islands) | | | | | | | | | |
(LIBOR USD 3-Month plus 0.72%) | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
ASSET-BACKED SECURITIES (continued) | | | | | |
3.06% | | | 07/25/26 | 1,2,3 | | $ | 3,560,000 | | | $ | 3,560,984 | |
Voya CLO Ltd., Series 2015-2A, Class AR | | | | | |
(Cayman Islands) | | | | | |
(LIBOR USD 3-Month plus 0.97%) | | | | | |
3.32% | | | 07/23/27 | 1,2,3 | | | 8,445,000 | | | | 8,448,251 | |
| | | | | | | | | | | | |
| |
Total Asset-Backed Securities | | | | | |
(Cost $439,205,552) | | | | 448,443,701 | |
| | | | | | | | | | | | |
BANK LOANS — 0.75%* | | | | | |
Communications — 0.14% | | | | | |
SBA Communications, Term Loan B, 1st Lien | | | | | |
(LIBOR plus 2.00%) | | | | | |
4.25% | | | 04/04/25 | 2 | | | 2,279,288 | | | | 2,284,348 | |
Sprint Communications, Inc., Term Loan B, 1st Lien | |
(LIBOR plus 2.50%) | | | | | |
4.75% | | | 02/02/24 | 2 | | | 497,475 | | | | 499,340 | |
Unitymedia Finance LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 2.00%) | | | | | |
4.16% | | | 06/01/23 | 2 | | | 1,600,000 | | | | 1,603,104 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 4,386,792 | |
| | | | | | | | | | | | |
Consumer Discretionary — 0.03% | | | | | |
Reynolds Group Holdings, Inc., Term Loan B, 1st Lien | |
(LIBOR plus 2.75%) | | | | | |
4.99% | | | 02/05/23 | 2 | | | 808,536 | | | | 813,084 | |
| | | | | | | | | | | | |
Electric — 0.06% | | | | | |
Chief Power Finance LLC, Term Loan B, 1st Lien | |
(LIBOR plus 4.75%) | | | | | |
7.00% | | | 12/31/20 | 2,4,5 | | | 1,412,220 | | | | 1,345,846 | |
Homer City Generation LP, | | | | | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 11.00%) | | | | | |
13.25% | | | 04/05/23 | 2,4,5 | | | 715,045 | | | | 692,700 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 2,038,546 | |
| | | | | | | | | | | | |
Energy — 0.00% | | | | | |
Vistra Operations Co., LLC, Term Loan B1, 1st Lien | |
(LIBOR plus 2.00%) | | | | | |
4.24% | | | 08/04/23 | 2 | | | 115,276 | | | | 115,564 | |
| | | | | | | | | | | | |
Finance — 0.09% | | | | | |
Delos Finance SARL, Term Loan B, 1st Lien | |
(LIBOR plus 1.75%) | | | | | |
4.14% | | | 10/06/23 | 2 | | | 2,652,629 | | | | 2,665,892 | |
| | | | | | | | | | | | |
Gaming — 0.05% | | | | | |
Las Vegas Sands LLC, | | | | | |
Term Loan B, 1st Lien | | | | | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| 169 / Semi-Annual Report September 2018 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
BANK LOANS (continued) | | | | | |
Gaming (continued) | | | | | |
(LIBOR plus 1.75%) | | | | | |
3.99% | | | 03/27/25 | 2 | | $ | 1,592,000 | | | $ | 1,592,414 | |
| | | | | | | | | | | | |
Health Care — 0.10% | | | | | |
Iqvia, Inc., Term Loan B3, 1st Lien | |
(LIBOR plus 1.75%) | | | | | |
4.14% | | | 06/11/25 | 2 | | | 748,125 | | | | 748,750 | |
Kindred At Home, Term Loan, 1st Lien | | | | | |
(LIBOR plus 3.75%) | | | | | |
6.00% | | | 07/02/25 | 2 | | | 1,466,063 | | | | 1,485,305 | |
Valeant Pharmaceuticals International, Inc., | |
Term Loan B, 1st Lien | | | | | |
(LIBOR plus 3.00%) | | | | | |
5.10% | | | 06/02/25 | 2 | | | 975,000 | | | | 981,050 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 3,215,105 | |
| | | | | | | | | | | | |
Industrials — 0.02% | | | | | |
Tyco International Holdings SARL, | | | | | |
Term Loan | | | | | | | | | | | | |
(LIBOR plus 1.25%) | | | | | |
3.62% | | | 03/02/20 | 2,4,5 | | | 566,475 | | | | 565,945 | |
| | | | | | | | | | | | |
Information Technology — 0.24% | | | | | |
Dell International LLC, | | | | | |
Term Loan A3, 1st Lien | | | | | |
(LIBOR plus 1.50%) | | | | | |
3.75% | | | 12/31/18 | 2 | | | 2,046,322 | | | | 2,049,841 | |
First Data Corp., Term Loan, 1st Lien | | | | | |
(LIBOR plus 2.00%) | | | | | |
4.21% | | | 04/26/24 | 2 | | | 3,075,353 | | | | 3,081,381 | |
Quintiles IMS, Inc., Term Loan B, 1st Lien | | | | | |
(LIBOR plus 2.00%) | | | | | |
4.39% | | | 03/07/24 | 2 | | | 675,505 | | | | 678,545 | |
SS&C Technologies, Inc., | | | | | |
Term Loan B3, 1st Lien | | | | | |
(LIBOR plus 2.25%) | | | | | |
4.49% | | | 04/16/25 | 2 | | | 1,128,097 | | | | 1,130,567 | |
SS&C Technology Holdings Europe SARL, | |
Term Loan B4, 1st Lien | | | | | |
(LIBOR plus 2.25%) | | | | | |
4.49% | | | 04/16/25 | 2 | | | 437,889 | | | | 438,848 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 7,379,182 | |
| | | | | | | | | | | | |
Retail — 0.02% | | | | | |
BC ULC/New Red Finance, Inc., | | | | | |
Term Loan B, 1st Lien (Canada) | | | | | |
(LIBOR plus 2.25%) | | | | | |
4.49% | | | 02/16/24 | 2,3 | | | 492,484 | | | | 493,346 | |
| | | | | | | | | | | | |
Total Bank Loans | |
(Cost $23,230,521) | | | | 23,265,870 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES — 34.93%* | | | | | |
Automotive — 0.20% | | | | | |
General Motors Co. | | | | | |
3.50% | | | 10/02/18 | | | $ | 5,710,000 | | | $ | 5,710,000 | |
Metalsa SA de CV, Series REGS (Mexico) | |
4.90% | | | 04/24/23 | 3 | | | 500,000 | | | | 486,250 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 6,196,250 | |
| | | | | | | | | | | | |
Banking — 6.45% | | | | | |
Banco Continental Sa Via Continental Senior | |
Trustees, Series REGS (Cayman Islands) | |
5.50% | | | 11/18/20 | 3 | | | 950,000 | | | | 988,000 | |
Banco Internacional del Peru SAA Interbank, | |
Series REGS (Peru) | |
6.63% | | | 03/19/29 | 3,6 | | | 250,000 | | | | 271,378 | |
Banco Nacional de Comercio Exterior | |
SNC/Cayman Islands (Mexico) | |
3.80% | | | 08/11/26 | 1,3,6 | | | 2,000,000 | | | | 1,957,520 | |
Bank of America Corp. | |
2.74% | | | 01/23/22 | 6 | | | 10,270,000 | | | | 10,103,172 | |
3.42% | | | 12/20/28 | 6 | | | 583,000 | | | | 547,836 | |
3.71% | | | 04/24/28 | 6 | | | 10,760,000 | | | | 10,349,641 | |
Bank of America Corp. (GMTN) | |
2.37% | | | 07/21/21 | 6 | | | 6,175,000 | | | | 6,067,475 | |
3.59% | | | 07/21/28 | 6 | | | 9,295,000 | | | | 8,862,783 | |
Bank of America Corp. (MTN) | |
3.09% | | | 10/01/25 | 6 | | | 5,605,000 | | | | 5,343,755 | |
4.00% | | | 04/01/24 | | | | 649,000 | | | | 655,971 | |
4.27% | | | 07/23/29 | 6 | | | 3,135,000 | | | | 3,129,962 | |
Discover Bank | |
2.60% | | | 11/13/18 | | | | 10,870,000 | | | | 10,869,651 | |
Global Bank Corp. (Panama) | |
4.50% | | | 10/20/21 | 1,3 | | | 1,198,000 | | | | 1,190,213 | |
Grupo Aval Ltd., Series REGS | |
(Cayman Islands) | |
4.75% | | | 09/26/22 | 3 | | | 500,000 | | | | 496,200 | |
JPMorgan Chase & Co. | |
2.55% | | | 10/29/20 | | | | 657,000 | | | | 647,770 | |
3.22% | | | 03/01/25 | 6 | | | 13,070,000 | | | | 12,647,663 | |
3.54% | | | 05/01/28 | 6 | | | 7,499,000 | | | | 7,155,433 | |
3.90% | | | 07/15/25 | | | | 3,864,000 | | | | 3,861,405 | |
6.30% | | | 04/23/19 | | | | 4,925,000 | | | | 5,023,874 | |
JPMorgan Chase Bank N.A. | |
2.60% | | | 02/01/21 | 6 | | | 10,835,000 | | | | 10,756,059 | |
JPMorgan Chase Bank N.A. (BKNT) | |
(LIBOR USD 3-Month plus 0.29%) | |
2.63% | | | 02/01/21 | 2 | | | 9,000,000 | | | | 9,007,871 | |
Lloyds Banking Group PLC | |
(United Kingdom) | |
2.91% | | | 11/07/23 | 3,6 | | | 5,780,000 | | | | 5,517,074 | |
PNC Bank N.A. (BKNT) | |
1.45% | | | 07/29/19 | | | | 4,000,000 | | | | 3,954,130 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| Semi-Annual Report September 2018 / 170 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity Date | | | Principal Amount | | | Value | |
CORPORATES (continued) | | | | | |
Banking (continued) | | | | | |
Santander UK Group Holdings PLC | | | | | |
(United Kingdom) | | | | | |
2.88% | | | 08/05/21 | 3 | | $ | 4,300,000 | | | $ | 4,188,267 | |
3.37% | | | 01/05/24 | 3,6 | | | 3,000,000 | | | | 2,883,553 | |
Santander UK PLC (United Kingdom) | | | | | |
2.50% | | | 03/14/19 | 3 | | | 3,000,000 | | | | 2,998,584 | |
5.00% | | | 11/07/23 | 1,3 | | | 3,100,000 | | | | 3,124,188 | |
UBS AG (GMTN) (Switzerland) | | | | | |
2.38% | | | 08/14/19 | 3 | | | 5,000,000 | | | | 4,980,725 | |
UBS AG/London (Switzerland) | | | | | |
(LIBOR USD 3-Month plus 0.32%) | | | | | |
2.63% | | | 05/28/19 | 1,2,3 | | | 3,000,000 | | | | 3,006,242 | |
Wells Fargo & Co. | | | | | |
3.00% | | | 04/22/26 | | | | 16,985,000 | | | | 15,770,207 | |
3.00% | | | 10/23/26 | | | | 6,435,000 | | | | 5,977,659 | |
Wells Fargo & Co. (MTN) | | | | | |
3.58% | | | 05/22/28 | 6 | | | 10,490,000 | | | | 10,046,918 | |
Wells Fargo Bank N.A. (BKNT) | | | | | |
2.15% | | | 12/06/19 | | | | 10,000,000 | | | | 9,905,523 | |
2.40% | | | 01/15/20 | | | | 15,000,000 | | | | 14,885,093 | |
3.33% | | | 07/23/21 | 6 | | | 3,630,000 | | | | 3,626,707 | |
| | | | | |
| |
| | | | 200,798,502 | |
| | | | | |
Communications — 3.46% | | | | | |
Altice U.S. Finance I Corp. | | | | | |
5.38% | | | 07/15/23 | 1 | | | 3,824,000 | | | | 3,876,580 | |
5.50% | | | 05/15/26 | 1 | | | 832,000 | | | | 833,040 | |
AMC Networks, Inc. | | | | | |
4.75% | | | 08/01/25 | | | | 1,580,000 | | | | 1,522,725 | |
AT&T, Inc. | | | | | |
3.40% | | | 05/15/25 | | | | 4,000,000 | | | | 3,812,024 | |
4.30% | | | 02/15/30 | 1 | | | 4,700,000 | | | | 4,542,865 | |
4.35% | | | 06/15/45 | | | | 4,300,000 | | | | 3,716,830 | |
4.80% | | | 06/15/44 | | | | 5,322,000 | | | | 4,897,864 | |
5.15% | | | 11/15/46 | 1 | | | 3,900,000 | | | | 3,747,342 | |
5.25% | | | 03/01/37 | | | | 3,620,000 | | | | 3,618,055 | |
CBS Corp. | | | | | |
3.38% | | | 02/15/28 | | | | 3,000,000 | | | | 2,754,411 | |
CCO Holdings LLC/CCO Holdings | | | | | |
Capital Corp. | | | | | |
5.00% | | | 02/01/28 | 1 | | | 2,381,000 | | | | 2,247,069 | |
5.13% | | | 05/01/27 | 1 | | | 2,000,000 | | | | 1,897,485 | |
Cequel Communications Holdings I | | | | | |
LLC/Cequel Capital Corp. | | | | | |
5.13% | | | 12/15/21 | 1 | | | 225,000 | | | | 226,175 | |
Charter Communications Operating | | | | | |
LLC/Charter Communications Operating | | | | | |
Capital | | | | | |
3.58% | | | 07/23/20 | | | | 1,250,000 | | | | 1,251,225 | |
6.48% | | | 10/23/45 | | | | 1,700,000 | | | | 1,833,084 | |
| | | | | | | | | | | | |
| Issues | | Maturity Date | | | Principal Amount | | | Value | |
CORPORATES (continued) | | | | | |
Communications (continued) | | | | | |
Clear Channel International BV | | | | | |
(Netherlands) | | | | | |
8.75% | | | 12/15/20 | 1,3 | | $ | 1,069,000 | | | $ | 1,106,415 | |
CSC Holdings LLC | | | | | |
5.38% | | | 02/01/28 | 1 | | | 4,250,000 | | | | 4,058,750 | |
8.63% | | | 02/15/19 | | | | 700,000 | | | | 712,250 | |
Intelsat Jackson Holdings SA (Luxembourg) | | | | | |
5.50% | | | 08/01/23 | 3 | | | 1,907,000 | | | | 1,761,591 | |
8.50% | | | 10/15/24 | 1,3 | | | 1,936,000 | | | | 1,951,730 | |
9.75% | | | 07/15/25 | 1,3 | | | 800,000 | | | | 849,000 | |
Level 3 Financing, Inc. | | | | | |
5.13% | | | 05/01/23 | | | | 1,178,000 | | | | 1,188,307 | |
5.38% | | | 01/15/24 | | | | 37,000 | | | | 37,093 | |
5.63% | | | 02/01/23 | | | | 1,190,000 | | | | 1,206,481 | |
Qwest Corp. | | | | | |
6.75% | | | 12/01/21 | | | | 2,235,000 | | | | 2,400,379 | |
Sirius XM Radio, Inc. | | | | | |
3.88% | | | 08/01/22 | 1 | | | 1,379,000 | | | | 1,359,073 | |
Sprint Capital Corp. | | | | | |
6.88% | | | 11/15/28 | | | | 1,141,000 | | | | 1,149,557 | |
Sprint Communications, Inc. | | | | | |
7.00% | | | 03/01/20 | 1 | | | 1,400,000 | | | | 1,456,000 | |
9.00% | | | 11/15/18 | 1 | | | 2,940,000 | | | | 2,965,725 | |
Sprint Spectrum Co. LLC/Sprint Spectrum | | | | | |
Co. II LLC/Sprint Spectrum Co. III LLC | | | | | |
3.36% | | | 09/20/21 | 1 | | | 7,132,500 | | | | 7,132,500 | |
4.74% | | | 03/20/25 | 1 | | | 6,625,000 | | | | 6,638,581 | |
Time Warner Cable LLC | | | | | |
5.50% | | | 09/01/41 | | | | 3,392,000 | | | | 3,277,511 | |
5.88% | | | 11/15/40 | | | | 1,100,000 | | | | 1,105,874 | |
T-Mobile USA, Inc. | | | | | |
4.50% | | | 02/01/26 | | | | 577,000 | | | | 548,871 | |
4.75% | | | 02/01/28 | | | | 1,481,000 | | | | 1,392,214 | |
6.50% | | | 01/15/24 | | | | 1,200,000 | | | | 1,252,500 | |
Verizon Communications, Inc. | | | | | |
4.50% | | | 08/10/33 | | | | 5,430,000 | | | | 5,371,413 | |
4.86% | | | 08/21/46 | | | | 4,270,000 | | | | 4,301,649 | |
5.01% | | | 04/15/49 | | | | 2,810,000 | | | | 2,881,004 | |
Viacom, Inc. | | | | | |
3.45% | | | 10/04/26 | | | | 2,500,000 | | | | 2,339,493 | |
Virgin Media Secured Finance PLC | | | | | |
(United Kingdom) | | | | | |
5.25% | | | 01/15/26 | 1,3 | | | 840,000 | | | | 824,494 | |
5.50% | | | 08/15/26 | 1,3 | | | 2,260,000 | | | | 2,240,225 | |
Vodafone Group PLC (United Kingdom) | | | | | |
4.38% | | | 05/30/28 | 3 | | | 3,000,000 | | | | 2,961,444 | |
Warner Media LLC | | | | | |
3.80% | | | 02/15/27 | | | | 2,520,000 | | | | 2,413,187 | |
| | | | | |
| |
| | | | 107,660,085 | |
| | | | | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| 171 / Semi-Annual Report September 2018 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity Date | | | Principal Amount | | | Value | |
CORPORATES (continued) | | | | | |
Consumer Discretionary — 1.17% | | | | | |
Altria Group, Inc. | | | | | |
9.70% | | | 11/10/18 | | | $ | 2,197,000 | | | $ | 2,213,149 | |
Anheuser-Busch InBev Finance, Inc. | | | | | |
3.65% | | | 02/01/26 | | | | 2,000,000 | | | | 1,945,827 | |
4.90% | | | 02/01/46 | | | | 3,370,000 | | | | 3,408,903 | |
Bacardi Ltd. (Bermuda) | | | | | |
5.15% | | | 05/15/38 | 1,3 | | | 1,500,000 | | | | 1,473,724 | |
BAT Capital Corp. | | | | | |
2.30% | | | 08/14/20 | 1 | | | 6,000,000 | | | | 5,882,457 | |
Central Garden & Pet Co. | | | | | |
5.13% | | | 02/01/28 | | | | 815,000 | | | | 778,325 | |
Constellation Brands, Inc. | | | | | |
2.00% | | | 11/07/19 | | | | 10,000,000 | | | | 9,888,361 | |
First Quality Finance Co., Inc. | | | | | |
5.00% | | | 07/01/25 | 1 | | | 634,000 | | | | 594,375 | |
High Ridge Brands Co. | | | | | |
8.88% | | | 03/15/25 | 1,4,5 | | | 2,175,000 | | | | 1,063,031 | |
Molson Coors Brewing Co. | | | | | |
1.45% | | | 07/15/19 | | | | 3,196,000 | | | | 3,159,514 | |
Reynolds Group Issuer, Inc./Reynolds Group | | | | | |
Issuer LLC/Reynolds Group Issuer | | | | | |
Luxembourg S.A. | | | | | |
5.75% | | | 10/15/20 | | | | 3,202,901 | | | | 3,206,905 | |
Suntory Holdings Ltd. (Japan) | | | | | |
2.55% | | | 09/29/19 | 1,3 | | | 3,015,000 | | | | 2,995,496 | |
| | | | | |
| |
| | | | 36,610,067 | |
| | | | | |
Consumer Products — 0.09% | | | | | |
Newell Brands, Inc. | | | | | |
3.85% | | | 04/01/23 | | | | 3,000,000 | | | | 2,926,829 | |
| | | | | | | | | | | | |
Electric — 2.62% | | | | | |
AES Panama SRL, Series REGS (Panama) | | | | | |
6.00% | | | 06/25/22 | 3 | | | 250,000 | | | | 259,375 | |
Alabama Power Capital Trust V | | | | | |
5.50% | | | 10/01/42 | 6 | | | 1,300,000 | | | | 1,304,118 | |
Cleco Power LLC | | | | | |
6.00% | | | 12/01/40 | | | | 1,575,000 | | | | 1,795,858 | |
Dominion Energy, Inc. | | | | | |
1.88% | | | 01/15/19 | | | | 4,400,000 | | | | 4,390,251 | |
5.75% | | | 10/01/54 | 6 | | | 2,875,000 | | | | 3,006,246 | |
Duke Energy Carolinas LLC | | | | | |
3.70% | | | 12/01/47 | | | | 2,070,000 | | | | 1,888,611 | |
Duke Energy Progress LLC | | | | | |
3.25% | | | 08/15/25 | | | | 3,000,000 | | | | 2,918,523 | |
Duquesne Light Holdings, Inc. | | | | | |
6.40% | | | 09/15/20 | 1 | | | 4,641,000 | | | | 4,861,722 | |
Entergy Corp. | | | | | |
4.00% | | | 07/15/22 | | | | 2,000,000 | | | | 2,024,847 | |
| | | | | | | | | | | | |
Issues | | Maturity Date | | | Principal Amount | | | Value | |
CORPORATES (continued) | | | | | |
Electric (continued) | | | | | |
Eskom Holdings SOC Ltd., Series REGS | | | | | |
(South Africa) | | | | | |
7.13% | | | 02/11/25 | 3 | | $ | 1,000,000 | | | $ | 963,920 | |
ITC Holdings Corp. | | | | | |
3.65% | | | 06/15/24 | | | | 1,426,000 | | | | 1,400,171 | |
Kansas City Power & Light Co. | | | | | |
3.15% | | | 03/15/23 | | | | 6,250,000 | | | | 6,108,966 | |
Metropolitan Edison Co. | | | | | |
4.00% | | | 04/15/25 | 1 | | | 3,000,000 | | | | 2,977,462 | |
7.70% | | | 01/15/19 | | | | 7,230,000 | | | | 7,326,586 | |
MidAmerican Energy Co. | | | | | |
4.25% | | | 05/01/46 | | | | 3,310,000 | | | | 3,337,345 | |
NextEra Energy Capital Holdings, Inc. | | | | | |
(LIBOR USD 3-Month plus 0.55%) | | | | | |
2.86% | | | 08/28/21 | 2 | | | 8,000,000 | | | | 8,001,260 | |
NextEra Energy Operating Partners LP | | | | | |
4.50% | | | 09/15/27 | 1 | | | 2,412,000 | | | | 2,321,550 | |
Perusahaan Gas Negara Persero TBK PT | | | | | |
(Indonesia) | | | | | |
5.13% | | | 05/16/24 | 1,3 | | | 1,650,000 | | | | 1,668,893 | |
Public Service Co. of New Mexico | | | | | |
3.85% | | | 08/01/25 | | | | 3,500,000 | | | | 3,472,753 | |
5.35% | | | 10/01/21 | | | | 50,000 | | | | 52,080 | |
Public Service Electric & Gas Co., Series CC | | | | | |
9.25% | | | 06/01/21 | | | | 7,920,000 | | | | 9,017,510 | |
Southern Co. Gas Capital Corp. | | | | | |
3.25% | | | 06/15/26 | | | | 3,350,000 | | | | 3,140,037 | |
Southwestern Electric Power Co. | | | | | |
3.55% | | | 02/15/22 | | | | 3,000,000 | | | | 3,009,315 | |
4.10% | | | 09/15/28 | | | | 2,500,000 | | | | 2,503,885 | |
6.45% | | | 01/15/19 | | | | 3,885,000 | | | | 3,916,559 | |
| | | | | |
| |
| | | | 81,667,843 | |
| | | | | |
Energy — 2.79% | | | | | | | | | | | | |
Antero Resources Corp. | | | | | |
5.13% | | | 12/01/22 | | | | 400,000 | | | | 407,700 | |
Centennial Resource Production LLC | | | | | |
5.38% | | | 01/15/26 | 1 | | | 400,000 | | | | 398,000 | |
CrownRock LP/CrownRock Finance, Inc. | | | | | |
5.63% | | | 10/15/25 | 1 | | | 490,000 | | | | 477,775 | |
Diamondback Energy, Inc. | | | | | |
5.38% | | | 05/31/25 | | | | 750,000 | | | | 769,687 | |
Enbridge Energy Partners LP | | | | | |
5.88% | | | 10/15/25 | | | | 2,500,000 | | | | 2,747,883 | |
Energy Transfer Equity LP | | | | | |
5.50% | | | 06/01/27 | | | | 1,424,000 | | | | 1,481,387 | |
5.88% | | | 01/15/24 | | | | 1,745,000 | | | | 1,847,519 | |
Energy Transfer Partners LP | | | | | |
5.15% | | | 03/15/45 | | | | 3,556,000 | | | | 3,374,957 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| Semi-Annual Report September 2018 / 172 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Energy (continued) | | | | | |
EQT Midstream Partners LP | | | | | |
5.50% | | | 07/15/28 | | | $ | 4,800,000 | | | $ | 4,930,762 | |
Florida Gas Transmission Co. LLC | | | | | |
7.90% | | | 05/15/19 | 1 | | | 1,375,000 | | | | 1,415,214 | |
Gulfport Energy Corp. | | | | | |
6.38% | | | 05/15/25 | | | | 315,000 | | | | 309,881 | |
Hess Corp. | | | | | | | | | | | | |
7.88% | | | 10/01/29 | | | | 1,855,000 | | | | 2,245,071 | |
Kinder Morgan Energy Partners LP | | | | | |
5.80% | | | 03/15/35 | | | | 240,000 | | | | 262,826 | |
Kinder Morgan, Inc. | | | | | |
5.30% | | | 12/01/34 | | | | 1,000,000 | | | | 1,037,252 | |
5.63% | | | 11/15/23 | 1 | | | 3,572,000 | | | | 3,817,029 | |
Matador Resources Co. | | | | | |
5.88% | | | 09/15/26 | 1 | | | 643,000 | | | | 652,645 | |
Newfield Exploration Co. | | | | | |
5.75% | | | 01/30/22 | | | | 2,416,000 | | | | 2,539,820 | |
Petrobras Global Finance BV (Netherlands) | | | | | |
4.38% | | | 05/20/23 | 3 | | | 360,000 | | | | 342,900 | |
Petroleos del Peru SA, Series REGS (Peru) | | | | | |
4.75% | | | 06/19/32 | 3 | | | 500,000 | | | | 484,900 | |
Petroleos Mexicanos (Mexico) | | | | | |
1.70% | | | 12/20/22 | 3 | | | 67,500 | | | | 65,391 | |
5.38% | | | 03/13/22 | 3 | | | 4,250,000 | | | | 4,366,875 | |
Plains All American Pipeline LP/PAA | | | | | |
Finance Corp. | | | | | |
4.65% | | | 10/15/25 | | | | 6,250,000 | | | | 6,339,247 | |
Rockies Express Pipeline LLC | | | | | |
5.63% | | | 04/15/20 | 1 | | | 6,234,000 | | | | 6,436,605 | |
6.00% | | | 01/15/19 | 1 | | | 1,500,000 | | | | 1,511,625 | |
Ruby Pipeline LLC | | | | | |
6.00% | | | 04/01/22 | 1 | | | 6,123,485 | | | | 6,290,735 | |
Sabine Pass Liquefaction LLC | | | | | |
5.63% | | | 03/01/25 | | | | 3,000,000 | | | | 3,205,313 | |
Spectra Energy Partners LP | | | | | |
4.60% | | | 06/15/21 | | | | 3,810,000 | | | | 3,894,752 | |
Sunoco Logistics Partners Operations LP | | | | | |
5.40% | | | 10/01/47 | | | | 5,000,000 | | | | 4,924,005 | |
Sunoco LP/Sunoco Finance Corp. | | | | | |
5.88% | | | 03/15/28 | 1 | | | 993,000 | | | | 959,486 | |
Targa Resources Partners LP/Targa | | | | | |
Resources Partners Finance Corp. | | | | | |
5.88% | | | 04/15/26 | 1 | | | 604,000 | | | | 623,660 | |
TC PipeLines LP | | | | | |
4.38% | | | 03/13/25 | | | | 3,000,000 | | | | 2,994,768 | |
4.65% | | | 06/15/21 | | | | 2,300,000 | | | | 2,339,705 | |
TransMontaigne Partners LP/ | | | | | |
TLP Finance Corp. | | | | | |
6.13% | | | 02/15/26 | | | | 2,050,000 | | | | 1,942,375 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Energy (continued) | | | | | |
Transocean Pontus Ltd. (Cayman Islands) | |
6.13% | | | 08/01/25 | 1,3 | | $ | 955,000 | | | $ | 972,897 | |
Transocean Proteus Ltd. (Cayman Islands) | |
6.25% | | | 12/01/24 | 1,3 | | | 1,598,850 | | | | 1,632,826 | |
USA Compression Partners LP/USA | | | | | |
Compression Finance Corp. | | | | | |
6.88% | | | 04/01/26 | 1 | | | 1,709,000 | | | | 1,770,951 | |
Williams Cos., Inc. (The) | | | | | |
3.60% | | | 03/15/22 | | | | 1,354,000 | | | | 1,346,271 | |
4.55% | | | 06/24/24 | | | | 3,000,000 | | | | 3,056,155 | |
6.30% | | | 04/15/40 | | | | 2,000,000 | | | | 2,273,106 | |
WPX Energy, Inc. | | | | | |
5.75% | | | 06/01/26 | | | | 495,000 | | | | 503,044 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 86,993,000 | |
| | | | | | | | | | | | |
Finance — 4.96% | | | | | |
AerCap Ireland Capital DAC/AerCap Global | |
Aviation Trust (Ireland) | | | | | |
3.95% | | | 02/01/22 | 3 | | | 1,500,000 | | | | 1,496,998 | |
Air Lease Corp. | | | | | |
2.50% | | | 03/01/21 | | | | 3,450,000 | | | | 3,360,776 | |
3.88% | | | 07/03/23 | | | | 2,862,000 | | | | 2,839,215 | |
Alta Wind Holdings LLC | | | | | |
7.00% | | | 06/30/35 | 1,4,5 | | | 1,784,154 | | | | 1,909,789 | |
American Express Credit Corp. (MTN) | | | | | |
2.20% | | | 03/03/20 | | | | 5,000,000 | | | | 4,945,027 | |
Citibank N.A. (BKNT) | | | | | |
3.40% | | | 07/23/21 | | | | 6,965,000 | | | | 6,966,561 | |
Citigroup, Inc. | | | | | |
2.05% | | | 12/07/18 | | | | 5,000,000 | | | | 4,996,175 | |
2.55% | | | 04/08/19 | | | | 3,150,000 | | | | 3,148,041 | |
3.14% | | | 01/24/23 | 6 | | | 5,000,000 | | | | 4,907,601 | |
3.67% | | | 07/24/28 | 6 | | | 3,500,000 | | | | 3,335,546 | |
8.50% | | | 05/22/19 | | | | 3,050,000 | | | | 3,157,351 | |
Fondo MIVIVIENDA SA, Series REGS (Peru) | | | | | |
3.50% | | | 01/31/23 | 3 | | | 1,000,000 | | | | 970,000 | |
Ford Motor Credit Co. LLC | | | | | |
2.02% | | | 05/03/19 | | | | 515,000 | | | | 511,998 | |
2.34% | | | 11/02/20 | | | | 3,295,000 | | | | 3,198,761 | |
2.98% | | | 08/03/22 | | | | 3,015,000 | | | | 2,861,143 | |
3.20% | | | 01/15/21 | | | | 5,970,000 | | | | 5,878,849 | |
3.22% | | | 01/09/22 | | | | 630,000 | | | | 609,767 | |
3.34% | | | 03/28/22 | | | | 4,735,000 | | | | 4,579,538 | |
8.13% | | | 01/15/20 | | | | 7,780,000 | | | | 8,222,966 | |
Ford Motor Credit Co. LLC (MTN) | | | | | |
2.94% | | | 01/08/19 | | | | 5,000,000 | | | | 5,001,000 | |
GE Capital International Funding Co. | | | | | |
(Ireland) | | | | | |
4.42% | | | 11/15/35 | 3 | | | 4,462,000 | | | | 4,206,826 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| 173 / Semi-Annual Report September 2018 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Finance (continued) | |
General Motors Financial Co., Inc. | |
2.40% | | | 05/09/19 | | | $ | 2,500,000 | | | $ | 2,493,819 | |
3.10% | | | 01/15/19 | | | | 4,000,000 | | | | 4,002,899 | |
Goldman Sachs Group, Inc. (The) | |
2.55% | | | 10/23/19 | | | | 10,000,000 | | | | 9,960,070 | |
3.27% | | | 09/29/25 | 6 | | | 5,650,000 | | | | 5,399,716 | |
3.81% | | | 04/23/29 | 6 | | | 6,160,000 | | | | 5,883,040 | |
Goldman Sachs Group, Inc. (The) (MTN) | |
3.85% | | | 07/08/24 | | | | 9,710,000 | | | | 9,668,024 | |
Guanay Finance Ltd. (Cayman Islands) | | | | | |
6.00% | | | 12/15/20 | 1,3 | | | 122,297 | | | | 124,131 | |
International Lease Finance Corp. | | | | | |
6.25% | | | 05/15/19 | | | | 3,000,000 | | | | 3,058,816 | |
Morgan Stanley | | | | | |
3.63% | | | 01/20/27 | | | | 2,725,000 | | | | 2,619,520 | |
(LIBOR USD 3-Month plus 0.93%) | | | | | |
3.28% | | | 07/22/22 | 2 | | | 10,000,000 | | | | 10,090,000 | |
Morgan Stanley (GMTN) | |
5.50% | | | 07/24/20 | | | | 3,000,000 | | | | 3,113,931 | |
7.30% | | | 05/13/19 | | | | 2,740,000 | | | | 2,813,377 | |
(LIBOR USD 3-Month plus 0.55%) | |
2.89% | | | 02/10/21 | 2 | | | 10,000,000 | | | | 10,033,986 | |
(LIBOR USD 3-Month plus 1.38%) | | | | | |
3.72% | | | 02/01/19 | 2 | | | 4,000,000 | | | | 4,017,336 | |
Morgan Stanley (MTN) | | | | | |
5.63% | | | 09/23/19 | | | | 2,000,000 | | | | 2,051,088 | |
Morgan Stanley, Series 3NC2 | |
(LIBOR USD 3-Month plus 0.80%) | | | | | |
3.12% | | | 02/14/20 | 2 | | | 2,025,000 | | | | 2,029,889 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 154,463,570 | |
| | | | | | | | | | | | |
Food — 0.94% | | | | | |
Chobani LLC/Chobani Finance Corp., Inc. | |
7.50% | | | 04/15/25 | 1 | | | 1,549,000 | | | | 1,413,463 | |
Kraft Heinz Foods Co. | | | | | |
3.00% | | | 06/01/26 | | | | 3,478,000 | | | | 3,180,068 | |
5.20% | | | 07/15/45 | | | | 5,500,000 | | | | 5,395,789 | |
Mondelez International Holdings | |
Netherlands BV (Netherlands) | | | | | |
1.63% | | | 10/28/19 | 1,3 | | | 6,700,000 | | | | 6,604,297 | |
Pilgrim’s Pride Corp. | | | | | |
5.88% | | | 09/30/27 | 1 | | | 1,800,000 | | | | 1,710,000 | |
Post Holdings, Inc. | | | | | |
5.00% | | | 08/15/26 | 1 | | | 3,206,000 | | | | 3,041,693 | |
5.63% | | | 01/15/28 | 1 | | | 655,000 | | | | 632,075 | |
Tyson Foods, Inc. | | | | | |
2.65% | | | 08/15/19 | | | | 5,000,000 | | | | 4,990,195 | |
(LIBOR USD 3-Month plus 0.45%) | | | | | |
2.76% | | | 08/21/20 | 2 | | | 2,185,000 | | | | 2,183,286 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Food (continued) | |
| | | | | | $ | | | | $ | 29,150,866 | |
| | | | | | | | | | | | |
Gaming — 0.36% | | | | | |
GLP Capital LP/GLP Financing II, Inc. | |
4.88% | | | 11/01/20 | | | | 1,650,000 | | | | 1,685,310 | |
5.30% | | | 01/15/29 | | | | 2,280,000 | | | | 2,298,012 | |
5.38% | | | 04/15/26 | | | | 1,000,000 | | | | 1,018,010 | |
5.75% | | | 06/01/28 | | | | 1,600,000 | | | | 1,654,000 | |
Rivers Pittsburgh Borrower LP/Rivers | | | | | |
Pittsburgh Finance Corp. | | | | | |
6.13% | | | 08/15/21 | 1 | | | 1,735,000 | | | | 1,735,000 | |
Sugarhouse HSP Gaming Prop Mezz LP/ | |
Sugarhouse HSP Gaming Finance Corp. | |
5.88% | | | 05/15/25 | 1 | | | 1,651,000 | | | | 1,563,827 | |
Wynn Las Vegas LLC/Wynn Las Vegas | |
Capital Corp. | | | | | | | | | | | | |
5.25% | | | 05/15/27 | 1 | | | 1,260,000 | | | | 1,171,800 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 11,125,959 | |
| | | | | | | | | | | | |
Health Care — 4.95% | | | | | |
AbbVie, Inc. | | | | | | | | | | | | |
3.20% | | | 05/14/26 | | | | 800,000 | | | | 746,390 | |
4.30% | | | 05/14/36 | | | | 1,000,000 | | | | 940,911 | |
4.88% | | | 11/14/48 | | | | 700,000 | | | | 689,462 | |
Aetna, Inc. | | | | | | | | | | | | |
2.80% | | | 06/15/23 | | | | 1,577,000 | | | | 1,512,612 | |
4.13% | | | 06/01/21 | | | | 5,000,000 | | | | 5,087,656 | |
Allergan Funding SCS (Luxembourg) | |
4.55% | | | 03/15/35 | 3 | | | 2,216,000 | | | | 2,161,682 | |
Amgen, Inc. | | | | | | | | | | | | |
4.40% | | | 05/01/45 | | | | 4,080,000 | | | | 3,964,807 | |
Anthem, Inc. | | | | | | | | | | | | |
2.50% | | | 11/21/20 | | | | 4,605,000 | | | | 4,534,269 | |
3.50% | | | 08/15/24 | | | | 8,171,000 | | | | 7,973,261 | |
3.65% | | | 12/01/27 | | | | 3,865,000 | | | | 3,684,512 | |
AstraZeneca PLC (United Kingdom) | |
3.13% | | | 06/12/27 | 3 | | | 736,000 | | | | 685,953 | |
3.38% | | | 11/16/25 | 3 | | | 3,640,000 | | | | 3,517,516 | |
Bausch Health Cos., Inc. (Canada) | | | | | |
5.50% | | | 11/01/25 | 1,3 | | | 599,000 | | | | 601,246 | |
6.13% | | | 04/15/25 | 1,3 | | | 3,248,000 | | | | 3,101,840 | |
Bayer U.S. Finance II LLC | | | | | |
4.38% | | | 12/15/28 | 1 | | | 6,400,000 | | | | 6,280,682 | |
Bayer U.S. Finance LLC | | | | | |
2.38% | | | 10/08/19 | 1 | | | 6,700,000 | | | | 6,629,422 | |
Becton Dickinson and Co. | | | | | |
2.13% | | | 06/06/19 | | | | 2,920,000 | | | | 2,903,157 | |
2.89% | | | 06/06/22 | | | | 2,000,000 | | | | 1,937,300 | |
(LIBOR USD 3-Month plus 0.88%) | |
3.26% | | | 12/29/20 | 2 | | | 2,000,000 | | | | 2,003,088 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| Semi-Annual Report September 2018 / 174 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Health Care (continued) | |
Biogen, Inc. | | | | | |
5.20% | | | 09/15/45 | | | $ | 3,423,000 | | | $ | 3,643,198 | |
Catalent Pharma Solutions, Inc. | | | | | |
4.88% | | | 01/15/26 | 1 | | | 880,000 | | | | 851,400 | |
Celgene Corp. | | | | | |
2.75% | | | 02/15/23 | | | | 5,780,000 | | | | 5,546,456 | |
2.88% | | | 08/15/20 | | | | 4,300,000 | | | | 4,273,695 | |
5.00% | | | 08/15/45 | | | | 3,250,000 | | | | 3,224,585 | |
Centene Corp. | | | | | |
4.75% | | | 05/15/22 | | | | 387,000 | | | | 393,289 | |
5.63% | | | 02/15/21 | | | | 838,000 | | | | 854,760 | |
CHS/Community Health Systems, Inc. | | | | | |
6.25% | | | 03/31/23 | | | | 136,000 | | | | 129,499 | |
Cigna Corp. | | | | | |
3.05% | | | 10/15/27 | | | | 5,570,000 | | | | 5,033,431 | |
CVS Health Corp. | | | | | |
2.25% | | | 12/05/18 | | | | 5,000,000 | | | | 4,995,083 | |
2.25% | | | 08/12/19 | | | | 5,000,000 | | | | 4,973,281 | |
4.30% | | | 03/25/28 | | | | 5,000,000 | | | | 4,970,365 | |
5.05% | | | 03/25/48 | | | | 2,500,000 | | | | 2,566,914 | |
Elanco Animal Health, Inc. | | | | | |
4.27% | | | 08/28/23 | 1 | | | 6,355,000 | | | | 6,387,634 | |
Fresenius Medical Care U.S. Finance II, Inc. | | | | | |
4.13% | | | 10/15/20 | 1 | | | 1,015,000 | | | | 1,026,808 | |
5.63% | | | 07/31/19 | 1 | | | 6,446,000 | | | | 6,574,778 | |
Gilead Sciences, Inc. | | | | | |
4.15% | | | 03/01/47 | | | | 2,000,000 | | | | 1,899,431 | |
Halfmoon Parent, Inc. | | | | | |
4.13% | | | 11/15/25 | 1 | | | 5,000,000 | | | | 4,993,381 | |
4.38% | | | 10/15/28 | 1 | | | 2,000,000 | | | | 1,998,192 | |
Hartford HealthCare Corp. | | | | | |
5.75% | | | 04/01/44 | | | | 1,525,000 | | | | 1,759,290 | |
HCA, Inc. | | | | | |
5.00% | | | 03/15/24 | | | | 2,250,000 | | | | 2,311,875 | |
5.25% | | | 04/15/25 | | | | 2,227,000 | | | | 2,302,161 | |
6.50% | | | 02/15/20 | | | | 1,698,000 | | | | 1,771,014 | |
Hologic, Inc. | | | | | |
4.63% | | | 02/01/28 | 1 | | | 1,000,000 | | | | 941,250 | |
Humana, Inc. | | | | | |
2.90% | | | 12/15/22 | | | | 5,475,000 | | | | 5,310,101 | |
Molina Healthcare, Inc. | | | | | |
5.38% | | | 11/15/22 | | | | 653,000 | | | | 667,693 | |
Shire Acquisitions Investments Ireland DAC | | | | | |
(Ireland) | | | | | | | | | | | | |
1.90% | | | 09/23/19 | 3 | | | 5,686,000 | | | | 5,626,551 | |
2.40% | | | 09/23/21 | 3 | | | 6,225,000 | | | | 6,016,918 | |
Tenet Healthcare Corp. | | | | | |
4.50% | | | 04/01/21 | | | | 2,250,000 | | | | 2,252,813 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Health Care (continued) | |
Teva Pharmaceutical Finance | | | | | |
Netherlands III BV (Netherlands) | | | | | |
1.70% | | | 07/19/19 | 3 | | $ | 1,015,000 | | | $ | 999,775 | |
WellCare Health Plans, Inc. | | | | | |
5.25% | | | 04/01/25 | | | | 918,000 | | | | 935,213 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 154,186,600 | |
| | | | | | | | | | | | |
Industrials — 0.86% | |
Amcor Finance USA, Inc. | | | | | |
3.63% | | | 04/28/26 | 1 | | | 2,125,000 | | | | 2,006,668 | |
Ardagh Packaging Finance PLC/Ardagh | | | | | |
Holdings USA, Inc. (Ireland) | | | | | |
4.25% | | | 09/15/22 | 1,3 | | | 1,000,000 | | | | 987,500 | |
4.63% | | | 05/15/23 | 1,3 | | | 650,000 | | | | 647,563 | |
6.00% | | | 02/15/25 | 1,3 | | | 1,000,000 | | | | 981,250 | |
7.25% | | | 05/15/24 | 1,3 | | | 600,000 | | | | 630,000 | |
Ball Corp. | | | | | |
4.00% | | | 11/15/23 | | | | 1,000,000 | | | | 980,000 | |
Berry Global, Inc. | | | | | |
4.50% | | | 02/15/26 | 1 | | | 1,500,000 | | | | 1,428,750 | |
Clean Harbors, Inc. | | | | | |
5.13% | | | 06/01/21 | | | | 3,000,000 | | | | 3,015,000 | |
Crown Americas LLC/Crown Americas | | | | | |
Capital Corp. V | | | | | |
4.25% | | | 09/30/26 | | | | 1,000,000 | | | | 917,500 | |
General Electric Co. (GMTN) | | | | | |
2.20% | | | 01/09/20 | | | | 2,030,000 | | | | 2,008,880 | |
General Electric Co. (MTN) | | | | | |
4.65% | | | 10/17/21 | | | | 70,000 | | | | 72,593 | |
(LIBOR USD 3-Month plus 0.48%) | | | | | |
2.79% | | | 08/15/36 | 2 | | | 4,085,000 | | | | 3,405,138 | |
Graphic Packaging International LLC | | | | | |
4.88% | | | 11/15/22 | | | | 500,000 | | | | 503,750 | |
Heathrow Funding Ltd. (United Kingdom) | | | | | |
4.88% | | | 07/15/21 | 1,3 | | | 700,000 | | | | 727,013 | |
Itron, Inc. | | | | | |
5.00% | | | 01/15/26 | 1 | | | 1,648,000 | | | | 1,586,200 | |
L3 Technologies, Inc. | | | | | |
4.40% | | | 06/15/28 | | | | 4,810,000 | | | | 4,801,373 | |
Northrop Grumman Corp. | | | | | |
2.93% | | | 01/15/25 | | | | 940,000 | | | | 894,226 | |
Titan Acquisition Ltd./Titan Co-Borrower LLC | | | | | |
(Canada) | | | | | | | | | | | | |
7.75% | | | 04/15/26 | 1,3 | | | 1,450,000 | | | | 1,266,937 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 26,860,341 | |
| | | | | | | | | | | | |
Information Technology — 0.48% | |
Broadcom Corp./Broadcom Cayman Finance | | | | | |
Ltd. | | | | | |
2.38% | | | 01/15/20 | | | | 8,297,000 | | | | 8,202,182 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| 175 / Semi-Annual Report September 2018 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
Issues | | Maturity Date | | | Principal Amount | | | Value | |
CORPORATES (continued) | | | | | |
Information Technology (continued) | |
Change Healthcare Holdings LLC/Change | | | | | |
Healthcare Finance, Inc. | | | | | |
5.75% | | | 03/01/25 | 1 | | $ | 1,082,000 | | | $ | 1,076,590 | |
Dell International LLC/EMC Corp. | | | | | |
3.48% | | | 06/01/19 | 1 | | | 1,203,000 | | | | 1,206,237 | |
IQVIA, Inc. | | | | | |
5.00% | | | 10/15/26 | 1 | | | 1,200,000 | | | | 1,180,380 | |
NXP BV/NXP Funding LLC (Netherlands) | | | | | |
3.88% | | | 09/01/22 | 1,3 | | | 300,000 | | | | 296,352 | |
4.13% | | | 06/01/21 | 1,3 | | | 800,000 | | | | 801,136 | |
Zayo Group LLC/Zayo Capital, Inc. | | | | | |
5.75% | | | 01/15/27 | 1 | | | 2,050,000 | | | | 2,055,125 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 14,818,002 | |
| | | | | | | | | | | | |
Insurance — 0.47% | | | | | |
Farmers Exchange Capital | | | | | |
7.20% | | | 07/15/48 | 1 | | | 150,000 | | | | 176,884 | |
Farmers Exchange Capital II | | | | | |
6.15% | | | 11/01/53 | 1,6 | | | 2,500,000 | | | | 2,654,477 | |
Farmers Insurance Exchange | | | | | |
4.75% | | | 11/01/57 | 1,6 | | | 3,800,000 | | | | 3,438,611 | |
8.63% | | | 05/01/24 | 1 | | | 942,000 | | | | 1,125,304 | |
Nationwide Mutual Insurance Co. | | | | | |
4.62% | | | 12/15/24 | 1,6 | | | 3,825,000 | | | | 3,839,344 | |
Teachers Insurance & Annuity | | | | | |
Association of America | | | | | |
4.38% | | | 09/15/54 | 1,6 | | | 3,425,000 | | | | 3,448,093 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 14,682,713 | |
| | | | | | | | | | | | |
Materials — 0.68% | | | | | |
Axalta Coating Systems LLC | | | | | |
4.88% | | | 08/15/24 | 1 | | | 3,150,000 | | | | 3,102,750 | |
Dow Chemical Co. (The) | | | | | |
8.55% | | | 05/15/19 | | | | 5,000,000 | | | | 5,171,353 | |
Fresnillo PLC, Series REGS | | | | | |
(United Kingdom) | | | | | |
5.50% | | | 11/13/23 | 3 | | | 500,000 | | | | 515,300 | |
Georgia-Pacific LLC | | | | | |
2.54% | | | 11/15/19 | 1 | | | 10,000,000 | | | | 9,933,355 | |
Gerdau Holdings, Inc., Series REGS | | | | | |
7.00% | | | 01/20/20 | | | | 457,000 | | | | 478,136 | |
Gold Fields Orogen Holdings BVI Ltd., Series | | | | | |
REGS (British Virgin Islands) | | | | | |
4.88% | | | 10/07/20 | 3 | | | 250,000 | | | | 250,400 | |
SASOL Financing USA LLC | | | | | |
5.88% | | | 03/27/24 | | | | 1,200,000 | | | | 1,224,109 | |
Vale Overseas Ltd. (Cayman Islands) | | | | | |
4.38% | | | 01/11/22 | 3 | | | 167,000 | | | | 168,637 | |
| | | | | | | | | | | | |
Issues | | Maturity Date | | | Principal Amount | | | Value | |
CORPORATES (continued) | | | | | |
Materials (continued) | |
Volcan Cia Minera SAA, Series REGS (Peru) | | | | | |
5.38% | | | 02/02/22 | 3 | | $ | 300,000 | | | $ | 304,170 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 21,148,210 | |
| | | | | | | | | | | | |
Real Estate Investment Trust (REIT) — 2.99% | | | | | |
Alexandria Real Estate Equities, Inc. | | | | | |
2.75% | | | 01/15/20 | | | | 5,000,000 | | | | 4,956,111 | |
3.45% | | | 04/30/25 | | | | 3,040,000 | | | | 2,921,817 | |
3.90% | | | 06/15/23 | | | | 2,500,000 | | | | 2,510,837 | |
4.60% | | | 04/01/22 | | | | 1,000,000 | | | | 1,026,780 | |
American Campus Communities | | | | | |
Operating Partnership LP | | | | | |
3.35% | | | 10/01/20 | | | | 1,735,000 | | | | 1,726,781 | |
3.63% | | | 11/15/27 | | | | 2,566,000 | | | | 2,423,659 | |
American Tower Corp. | | | | | |
3.00% | | | 06/15/23 | | | | 3,130,000 | | | | 3,016,610 | |
3.40% | | | 02/15/19 | | | | 10,000,000 | | | | 10,020,255 | |
AvalonBay Communities, Inc. (GMTN) | | | | | |
3.63% | | | 10/01/20 | | | | 1,500,000 | | | | 1,506,235 | |
Boston Properties LP | | | | | |
5.63% | | | 11/15/20 | | | | 1,750,000 | | | | 1,820,602 | |
5.88% | | | 10/15/19 | | | | 200,000 | | | | 204,738 | |
CC Holdings GS V LLC/Crown Castle | | | | | |
GS III Corp. | | | | | |
3.85% | | | 04/15/23 | | | | 3,000,000 | | | | 2,983,251 | |
Crown Castle International Corp. | | | | | |
3.20% | | | 09/01/24 | | | | 5,360,000 | | | | 5,090,242 | |
Greystar Student Housing Growth & Income | | | | | |
OP LP | | | | | |
4.60% | | | 12/01/24 | | | | 3,240,000 | | | | 3,338,010 | |
HCP, Inc. | | | | | |
3.75% | | | 02/01/19 | | | | 13,255,000 | | | | 13,282,431 | |
3.88% | | | 08/15/24 | | | | 3,100,000 | | | | 3,033,043 | |
4.25% | | | 11/15/23 | | | | 945,000 | | | | 948,222 | |
Healthcare Realty Trust, Inc. | | | | | |
3.88% | | | 05/01/25 | | | | 2,500,000 | | | | 2,425,167 | |
MGM Growth Properties Operating | | | | | |
Partnership LP/MGP Finance Co.-Issuer, Inc. | | | | | |
5.63% | | | 05/01/24 | | | | 2,000,000 | | | | 2,057,500 | |
Piedmont Operating Partnership LP | | | | | |
3.40% | | | 06/01/23 | | | | 5,160,000 | | | | 4,956,366 | |
Post Apartment Homes LP | | | | | |
3.38% | | | 12/01/22 | | | | 100,000 | | | | 98,433 | |
Reckson Operating Partnership LP | | | | | |
7.75% | | | 03/15/20 | | | | 2,375,000 | | | | 2,509,841 | |
SL Green Realty Corp. | | | | | |
4.50% | | | 12/01/22 | | | | 3,000,000 | | | | 3,036,080 | |
Ventas Realty LP | | | | | |
3.25% | | | 10/15/26 | | | | 5,000,000 | | | | 4,626,890 | |
3.75% | | | 05/01/24 | | | | 1,000,000 | | | | 979,524 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| Semi-Annual Report September 2018 / 176 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | |
Real Estate Investment Trust (REIT) (continued) | |
| VEREIT Operating Partnership LP | | | | | |
3.00% | | | 02/06/19 | | | $ | 1,200,000 | | | $ | 1,199,582 | |
| WEA Finance LLC/Westfield UK & Europe Finance PLC | | | | | |
2.70% | | | 09/17/19 | 1 | | | 1,500,000 | | | | 1,495,999 | |
3.25% | | | 10/05/20 | 1 | | | 7,000,000 | | | | 6,958,550 | |
| Welltower, Inc. | | | | | |
4.95% | | | 01/15/21 | | | | 1,020,000 | | | | 1,045,891 | |
6.13% | | | 04/15/20 | | | | 995,000 | | | | 1,034,390 | |
| | | | | |
| |
| | | | 93,233,837 | |
| | | | | |
Retail — 0.77% | | | | | |
| Alimentation Couche-Tard, Inc. (Canada) | | | | | |
3.55% | | | 07/26/27 | 1,3 | | | 2,210,000 | | | | 2,075,141 | |
| BC ULC/New Red Finance, Inc. (Canada) | | | | | |
4.25% | | | 05/15/24 | 1,3 | | | 2,355,000 | | | | 2,237,250 | |
| Party City Holdings, Inc. | | | | | |
6.63% | | | 08/01/26 | 1 | | | 1,318,000 | | | | 1,337,770 | |
| Rite Aid Corp. | | | | | |
6.13% | | | 04/01/23 | 1 | | | 3,988,000 | | | | 3,594,185 | |
| Walgreens Boots Alliance, Inc. | | | | | |
2.70% | | | 11/18/19 | | | | 2,000,000 | | | | 1,992,567 | |
3.80% | | | 11/18/24 | | | | 5,824,000 | | | | 5,756,538 | |
| Walmart, Inc. | | | | | |
3.55% | | | 06/26/25 | | | | 7,015,000 | | | | 7,056,074 | |
| | | | | | | | | | | | |
| |
| | | | 24,049,525 | |
| | | | | | | | | | | | |
Services — 0.22% | | | | | |
| DP World Crescent, Ltd. (Cayman Islands) | | | | | |
4.85% | | | 09/26/28 | 1,3 | | | 868,000 | | | | 861,490 | |
| Gartner, Inc. | | | | | |
5.13% | | | 04/01/25 | 1 | | | 500,000 | | | | 504,705 | |
| GFL Environmental, Inc. (Canada) | | | | | |
5.38% | | | 03/01/23 | 1,3 | | | 1,779,000 | | | | 1,676,707 | |
| IHS Markit Ltd. (Bermuda) | | | | | |
4.00% | | | 03/01/26 | 1,3 | | | 1,731,000 | | | | 1,660,678 | |
4.75% | | | 08/01/28 | 3 | | | 2,000,000 | | | | 2,009,160 | |
| | | | | | | | | | | | |
| |
| | | | 6,712,740 | |
| | | | | | | | | | | | |
Transportation — 0.47% | | | | | |
America West Airlines Pass-Through Trust, Series 2001-1, Class G | | | | | |
7.10% | | | 04/02/21 | | | | 1,033,205 | | | | 1,085,486 | |
American Airlines Pass-Through Trust, Series 2011-1, Class A | | | | | |
5.25% | | | 01/31/21 | | | | 32,440 | | | | 33,537 | |
American Airlines Pass-Through Trust, Series 2013-2, Class A | | | | | |
4.95% | | | 01/15/23 | | | | 1,616,017 | | | | 1,652,931 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
CORPORATES (continued) | | | | | |
Transportation (continued) | | | | | |
American Airlines Pass-Through Trust, Series 2015-2, Class AA | | | | | |
3.60% | | | 09/22/27 | | | $ | 2,500,241 | | | $ | 2,444,048 | |
| Avolon Holdings Funding Ltd. (Cayman Islands) | | | | | |
5.13% | | | 10/01/23 | 1,3 | | | 2,163,000 | | | | 2,191,725 | |
| Continental Airlines Pass-Through Trust, Series 1999-1, Class A | | | | | |
6.55% | | | 02/02/19 | | | | 913,015 | | | | 923,889 | |
| Continental Airlines Pass-Through Trust, Series 1999-2, Class A | | | | | |
7.26% | | | 03/15/20 | | | | 753,711 | | | | 774,890 | |
| Continental Airlines Pass-Through Trust, Series 2000-1, Class A1 | | | | | |
8.05% | | | 11/01/20 | | | | 269,668 | | | | 281,480 | |
| Continental Airlines Pass-Through Trust, Series 2000-2, Class A1 | | | | | |
7.71% | | | 04/02/21 | | | | 273,518 | | | | 288,036 | |
| Continental Airlines Pass-Through Trust, Series 2001-1, Class A1 | | | | | |
6.70% | | | 06/15/21 | | | | 23,368 | | | | 24,742 | |
| Continental Airlines Pass-Through Trust, Series 2007-1, Class A | | | | | |
5.98% | | | 04/19/22 | | | | 2,279,403 | | | | 2,411,563 | |
| Continental Airlines Pass-Through Trust, Series 2012-1, Class B | | | | | |
6.25% | | | 04/11/20 | | | | 36,993 | | | | 37,756 | |
| Delta Air Lines Pass-Through Trust, Series 2002-1, Class G1 | | | | | |
6.72% | | | 01/02/23 | | | | 959,850 | | | | 1,018,522 | |
| U.S. Airways Pass-Through Trust, Series 2001-1, Class G | | | | | |
7.08% | | | 03/20/21 | | | | 494,829 | | | | 520,742 | |
| U.S. Airways Pass-Through Trust, Series 2010-1, Class A | | | | | |
6.25% | | | 04/22/23 | | | | 931,747 | | | | 996,705 | |
| U.S. Airways Pass-Through Trust, Series 2012-1, Class A | | | | | |
5.90% | | | 10/01/24 | | | | 86,417 | | | | 92,183 | |
| | | | | | | | | | | | |
| |
| | | | 14,778,235 | |
| | | | | | | | | | | | |
Total Corporates
(Cost $1,105,498,363) | | | | 1,088,063,174 | |
| | | | | | | | | | | | |
FOREIGN GOVERNMENT OBLIGATIONS — 1.64% | | | | | |
Foreign Government Obligations — 1.64% | | | | | |
| Argentine Republic Government International Bond (Argentina) | | | | | |
6.88% | | | 04/22/21 | 3 | | | 1,014,000 | | | | 978,510 | |
| Bahrain Government International Bond, Series REGS (Bahrain) | | | | | |
7.00% | | | 10/12/28 | 3 | | | 501,000 | | | | 501,000 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| 177 / Semi-Annual Report September 2018 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
FOREIGN GOVERNMENT OBLIGATIONS (continued) | | �� | | | |
Foreign Government Obligations (continued) | | | | | |
| Brazilian Government International Bond (Brazil) | | | | | |
6.00% | | | 04/07/26 | 3 | | $ | 3,100,000 | | | $ | 3,188,381 | |
| Chile Government International Bond (Chile) | | | | | |
2.25% | | | 10/30/22 | 3 | | | 5,200,000 | | | | 4,997,408 | |
| Colombia Government International Bond (Colombia) | | | | | |
4.50% | | | 01/28/26 | 3 | | | 5,100,000 | | | | 5,205,825 | |
| Corp. Financiera de Desarrollo SA, Series REGS (Peru) | | | | | |
4.75% | | | 07/15/25 | 3 | | | 2,000,000 | | | | 2,018,800 | |
| Croatia Government International Bond, Series REGS (Croatia) | | | | | |
6.63% | | | 07/14/20 | 3 | | | 2,300,000 | | | | 2,419,025 | |
| Dominican Republic International Bond, Series REGS (Dominican Republic) | | | | | |
6.60% | | | 01/28/24 | 3 | | | 3,750,000 | | | | 3,977,813 | |
| Egypt Government International Bond (Egypt) | | | | | |
5.58% | | | 02/21/23 | 1,3 | | | 815,000 | | | | 792,587 | |
| Hazine Mustesarligi Varlik Kiralama AS, Series REGS (Turkey) | | | | | |
4.49% | | | 11/25/24 | 3 | | | 270,000 | | | | 239,625 | |
| Kazakhstan Government International Bond, Series REGS (EMTN) (Kazakhstan) | | | | | |
5.13% | | | 07/21/25 | 3 | | | 4,650,000 | | | | 5,014,123 | |
| Oman Government International Bond (Oman) | | | | | |
5.63% | | | 01/17/28 | 1,3 | | | 3,120,000 | | | | 3,073,487 | |
| Paraguay Government International Bond, Series REGS (Paraguay) | | | | | |
4.63% | | | 01/25/23 | 3 | | | 950,000 | | | | 960,688 | |
| Perusahaan Penerbit SBSN, Indonesia III (Indonesia) | | | | | |
| 4.35% | | | 09/10/24 | 1,3 | | | 4,000,000 | | | | 4,006,400 | |
| Qatar Government International Bond (Qatar) | | | | | |
4.50% | | | 04/23/28 | 3 | | | 900,000 | | | | 929,250 | |
| Republic of Azerbaijan International Bond, Series REGS (Azerbaijan) | | | | | |
4.75% | | | 03/18/24 | 3 | | | 1,200,000 | | | | 1,220,250 | |
| Russian Foreign Bond - Eurobond, Series REGS (Russia) | | | | | |
4.88% | | | 09/16/23 | 3 | | | 4,200,000 | | | | 4,344,900 | |
| Saudi Government International Bond (Saudi Arabia) | | | | | |
4.00% | | | 04/17/25 | 1,3 | | | 2,200,000 | | | | 2,208,800 | |
| South Africa Government International Bond (South Africa) | | | | | |
4.67% | | | 01/17/24 | 3 | | | 900,000 | | | | 881,010 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
FOREIGN GOVERNMENT OBLIGATIONS (continued) | | | | | |
Foreign Government Obligations (continued) | | | | | |
| Turkey Government International Bond (Turkey) | | | | | |
5.13% | | | 03/25/22 | 3 | | $ | 2,700,000 | | | $ | 2,571,037 | |
| Uruguay Government International Bond (Uruguay) | | | | | |
4.38% | | | 10/27/27 | 3 | | | 1,357,835 | | | | 1,383,226 | |
| | | | | | | | | | | | |
Total Foreign Government Obligations (Cost $52,067,332) | | | | 50,912,145 | |
| | | | | | | | | | | | |
| |
MORTGAGE-BACKED — 44.98%** | | | | | |
Non-Agency Commercial | | | | | |
Mortgage-Backed — 7.45% | | | | | |
| Banc of America Commercial Mortgage Trust, Series 2007-5, Class AJ | | | | | |
6.23% | | | 02/10/51 | 6 | | | 6,192,699 | | | | 6,348,260 | |
| Banc of America Merrill Lynch Commercial Mortgage Trust, Series 2018-PARK, Class A | | | | | |
4.09% | | | 08/10/38 | 1,6 | | | 4,705,000 | | | | 4,806,345 | |
| Banc of America Merrill Lynch Trust, Series 2011-FSHN, Class A | | | | | |
4.42% | | | 07/11/33 | 1 | | | 4,970,000 | | | | 5,106,844 | |
| Bayview Commercial Asset Trust, | | | | | |
| Series 2004-2, Class A (LIBOR USD 1-Month plus 0.43%) | | | | | |
2.65% | | | 08/25/34 | 1,2 | | | 1,121,442 | | | | 1,102,788 | |
| BBCMS Trust, Series 2013-TYSN, Class A2 | | | | | |
3.76% | | | 09/05/32 | 1 | | | 4,675,000 | | | | 4,715,088 | |
| Bear Stearns Commercial Mortgage Securities, Series Trust 2004-PWR5, Class F | | | | | |
5.48% | | | 07/11/42 | 1,6 | | | 369,584 | | | | 370,981 | |
| Citigroup Commercial Mortgage Trust, Series 2012-GC8, Class XA (IO) | | | | | |
1.97% | | | 09/10/45 | 1,6 | | | 43,434,005 | | | | 2,337,388 | |
| CityLine Commercial Mortgage Trust, Series 2016-CLNE, Class A | | | | | |
2.87% | | | 11/10/31 | 1,6 | | | 4,900,000 | | | | 4,728,378 | |
| Commercial Mortgage Trust, Series 2006-C8, Class AJ | | | | | |
5.38% | | | 12/10/46 | | | | 302,564 | | | | 304,781 | |
| Commercial Mortgage Trust, Series 2012-CR4, Class XA (IO) | | | | | |
1.94% | | | 10/15/45 | 6 | | | 49,145,102 | | | | 2,919,956 | |
| Commercial Mortgage Trust, Series 2012-CR5, Class XA (IO) | | | | | |
1.69% | | | 12/10/45 | 6 | | | 76,834,886 | | | | 4,079,026 | |
| Commercial Mortgage Trust, Series 2013-300P, Class A1 | | | | | |
4.35% | | | 08/10/30 | 1 | | | 2,840,000 | | | | 2,946,012 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| Semi-Annual Report September 2018 / 178 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Commercial | | | | | |
Mortgage-Backed (continued) | | | | | |
Commercial Mortgage Trust, Series 2013-LC6, Class XA (IO) | | | | | |
1.51% | | | 01/10/46 | 6 | | $ | 37,484,431 | | | $ | 1,769,651 | |
Commercial Mortgage Trust, Series 2014-277P, Class A | | | | | |
3.73% | | | 08/10/49 | 1,6 | | | 6,275,000 | | | | 6,280,051 | |
GE Business Loan Trust, Series 2006-2A, Class A | | | | | |
0.51% | | | 11/15/34 | 1 | | | 9,049,072 | | | | 8,894,727 | |
GE Business Loan Trust, Series 2007-1A, Class A (LIBOR USD 1-Month plus 0.17%) | | | | | |
2.33% | | | 04/15/35 | 1,2 | | | 4,033,299 | | | | 3,958,391 | |
GRACE Mortgage Trust, Series 2014-GRCE, Class A | | | | | |
3.37% | | | 06/10/28 | 1 | | | 1,875,000 | | | | 1,876,770 | |
GS Mortgage Securities Corp. II, Series 2013-KING, Class A | | | | | |
2.71% | | | 12/10/27 | 1 | | | 2,521,662 | | | | 2,514,539 | |
GS Mortgage Securities Trust, Series 2010-C1, Class X (IO) | | | | | |
1.50% | | | 08/10/43 | 1,6 | | | 41,790,570 | | | | 802,521 | |
| GS Mortgage Securities Trust, Series 2012-ALOH, Class A | | | | | |
3.55% | | | 04/10/34 | 1 | | | 6,500,000 | | | | 6,525,936 | |
GS Mortgage Securities Trust, Series 2012-GC6, Class XA (IO) | | | | | |
2.14% | | | 01/10/45 | 1,6 | | | 52,666,069 | | | | 2,681,609 | |
| JPMBB Commercial Mortgage Securities Trust, Series 2013-C14, Class A2 | | | | | |
3.02% | | | 08/15/46 | | | | 3,407,339 | | | | 3,407,773 | |
| JPMBB Commercial Mortgage Securities Trust, Series 2013-C14, Class XA (IO) | | | | | |
0.73% | | | 08/15/46 | 6 | | | 91,206,154 | | | | 1,957,580 | |
| JPMBB Commercial Mortgage Securities Trust, Series 2013-C15, Class XA (IO) | | | | | |
1.33% | | | 11/15/45 | 6 | | | 22,723,966 | | | | 872,184 | |
| JPMBB Commercial Mortgage Securities Trust, Series 2014-C19, Class A2 | | | | | |
3.05% | | | 04/15/47 | | | | 15,292,963 | | | | 15,297,774 | |
| JPMorgan Chase Commercial Mortgage | | | | | |
Securities Trust, Series 2009-IWST, Class XA (IO) | | | | | |
1.85% | | | 12/05/27 | 1,6 | | | 49,809,152 | | | | 1,044,070 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2010-C1, Class A2 | | | | | |
4.61% | | | 06/15/43 | 1 | | | 11,666,650 | | | | 11,839,041 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2010-CNTR, Class A2 | | | | | |
4.31% | | | 08/05/32 | 1 | | | 5,681,664 | | | | 5,796,295 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Commercial | | | | | |
Mortgage-Backed (continued) | | | | | |
| JPMorgan Chase Commercial Mortgage | | | | | |
| Securities Trust, Series 2011-C3, Class XA (IO) | | | | | |
1.15% | | | 02/15/46 | 1,6 | | $ | 19,570,823 | | | $ | 370,551 | |
| JPMorgan Chase Commercial Mortgage | | | | | |
Securities Trust, Series 2013-LC11, Class XA (IO) | | | | | |
1.41% | | | 04/15/46 | 6 | | | 13,021,391 | | | | 601,048 | |
| JPMorgan Chase Commercial Mortgage | | | | | |
| Securities Trust, Series 2014-C20, Class A3A2 | | | | | |
3.47% | | | 07/15/47 | 1 | | | 13,490,000 | | | | 13,572,354 | |
| JPMorgan Chase Commercial Mortgage Securities Trust, Series 2018-BCON, Class A | | | | | |
3.73% | | | 01/05/31 | 1 | | | 4,240,000 | | | | 4,277,456 | |
| JPMorgan Chase Commercial Mortgage | | | | | |
| Securities Trust, Series 2012-CIBX, Class A3 | | | | | |
3.14% | | | 06/15/45 | | | | 447,080 | | | | 446,981 | |
| Lehman Brothers Small Balance Commercial | | | | | |
| Mortgage Trust, Series 2005-2A, Class 1A (LIBOR USD 1-Month plus | | | | | |
0.25%) 2.47% | | | 09/25/30 | 1,2 | | | 177,479 | | | | 177,318 | |
| Lehman Brothers Small Balance Commercial | | | | | |
| Mortgage Trust, Series 2007-2A, Class 1A4 (LIBOR USD 1-Month plus 0.25%) | | | | | |
2.47% | | | 06/25/37 | 1,2 | | | 2,800,087 | | | | 2,771,661 | |
| Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C6, Class A3 | | | | | |
2.51% | | | 11/15/45 | | | | 431,856 | | | | 428,796 | |
| Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C6, Class A4 | | | | | |
2.86% | | | 11/15/45 | | | | 1,360,000 | | | | 1,336,132 | |
| Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C12, Class XA (IO) | | | | | |
0.81% | | | 10/15/46 | 6 | | | 37,429,824 | | | | 892,316 | |
| Morgan Stanley Bank of America Merrill Lynch Trust, Series 2013-C7, Class XA (IO) | | | | | |
1.50% | | | 02/15/46 | 6 | | | 11,242,126 | | | | 533,179 | |
| Morgan Stanley Capital I Trust, Series 2011-C3, Class A3 | | | | | |
4.05% | | | 07/15/49 | | | | 5,227,052 | | | | 5,261,038 | |
| Morgan Stanley Capital I Trust, Series 2014-CPT, Class A | | | | | |
3.35% | | | 07/13/29 | 1 | | | 6,715,000 | | | | 6,715,552 | |
| Morgan Stanley Capital I Trust, Series 2015-420, Class A | | | | | |
3.73% | | | 10/12/50 | 1 | | | 7,000,000 | | | | 6,941,533 | |
| RBS Commercial Funding, Inc., Trust, Series 2013-GSP, Class A | | | | | |
3.96% | | | 01/13/32 | 1,6 | | | 3,460,000 | | | | 3,498,335 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| 179 / Semi-Annual Report September 2018 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Commercial | | | | | |
Mortgage-Backed (continued) | | | | | |
| SFAVE Commercial Mortgage Securities Trust, Series 2015-5AVE, Class XA (IO) | | | | | |
0.45% | | | 01/05/43 | 1,6 | | $ | 28,685,000 | | | $ | 1,686,385 | |
| TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class AJ | | | | | |
5.48% | | | 08/15/39 | 6 | | | 447,082 | | | | 448,298 | |
| VNDO Mortgage Trust, Series 2012-6AVE, Class A | | | | | |
3.00% | | | 11/15/30 | 1 | | | 4,370,000 | | | | 4,304,824 | |
| VNDO Mortgage Trust, Series 2013-PENN, Class A | | | | | |
3.81% | | | 12/13/29 | 1 | | | 3,314,000 | | | | 3,345,443 | |
| Wells Fargo Commercial Mortgage Trust 2014-LC16 (IO) | | | | | |
1.50% | | | 08/15/50 | 6 | | | 62,453,137 | | | | 2,783,849 | |
| Wells Fargo Commercial Mortgage Trust, Series 2010-C1, Class A2 | | | | | |
4.39% | | | 11/15/43 | 1 | | | 21,025,000 | | | | 21,416,626 | |
| Wells Fargo Commercial Mortgage Trust, Series 2013-120B, Class A | | | | | |
2.80% | | | 03/18/28 | 1,6 | | | 3,845,000 | | | | 3,803,582 | |
| WFRBS Commercial Mortgage Trust, Series 2012-C10, Class ASB | | | | | |
2.45% | | | 12/15/45 | | | | 9,503,743 | | | | 9,378,540 | |
| WF-RBS Commercial Mortgage Trust, Series 2011-C4, Class A3 | | | | | |
4.39% | | | 06/15/44 | 1 | | | 453,755 | | | | 455,984 | |
| WF-RBS Commercial Mortgage Trust, Series 2011-C5, Class A3 | | | | | |
3.53% | | | 11/15/44 | | | | 8,510,668 | | | | 8,550,466 | |
| WF-RBS Commercial Mortgage Trust, Series 2011-C5, Class XA (IO) | | | | | |
1.90% | | | 11/15/44 | 1,6 | | | 22,103,125 | | | | 918,716 | |
| WF-RBS Commercial Mortgage Trust, Series 2012-C10, Class XA (IO) | | | | | |
1.72% | | | 12/15/45 | 1,6 | | | 31,815,758 | | | | 1,683,556 | |
| WF-RBS Commercial Mortgage Trust, Series 2012-C8, Class XA (IO) | | | | | |
2.00% | | | 08/15/45 | 1,6 | | | 47,593,513 | | | | 2,676,224 | |
| WF-RBS Commercial Mortgage Trust, Series 2012-C9, Class XA (IO) | | | | | |
2.05% | | | 11/15/45 | 1,6 | | | 43,024,129 | | | | 2,701,700 | |
| WF-RBS Commercial Mortgage Trust, Series 2013-C14, Class XA (IO) | | | | | |
0.87% | | | 06/15/46 | 6 | | | 78,335,921 | | | | 2,198,498 | |
| WF-RBS Commercial Mortgage Trust, Series 2014-C23, Class XA (IO) | | | | | |
0.78% | | | 10/15/57 | 6 | | | 95,045,913 | | | | 2,640,480 | |
| | | | | | | | | | | | |
| |
| | | | 232,102,180 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed — 25.21% | | | | | |
| Aames Mortgage Investment Trust, | | | | | |
Series 2006-1, Class A4 (LIBOR USD 1-Month plus 0.56%) | | | | | |
2.78% | | | 04/25/36 | 2 | | $ | 2,082,000 | | | $ | 2,087,950 | |
| Accredited Mortgage Loan Trust, | | | | | |
Series 2006-1, Class A4 (LIBOR USD 1-Month plus 0.28%) | | | | | |
2.50% | | | 04/25/36 | 2 | | | 5,239,597 | | | | 5,113,008 | |
| ACE Securities Corp. Home Equity Loan | | | | | |
Trust, Series 2006-OP2, Class A2C (LIBOR USD 1-Month plus 0.15%) | | | | | |
2.37% | | | 08/25/36 | 2 | | | 570,567 | | | | 561,167 | |
| ACE Securities Corp. Home Equity Loan | | | | | |
Trust, Series 2007-ASP1, Class A2D (LIBOR USD 1-Month plus 0.38%) | | | | | |
2.60% | | | 03/25/37 | 2 | | | 3,093,865 | | | | 1,943,441 | |
Adjustable Rate Mortgage Trust, Series 2005-4, Class 5A1 | | | | | |
3.83% | | | 08/25/35 | 6 | | | 3,180,735 | | | | 2,916,954 | |
| Adjustable Rate Mortgage Trust, | | | | | |
Series 2005-5, Class 6A21 (LIBOR USD 1-Month plus 0.23%) | | | | | |
2.45% | | | 09/25/35 | 2 | | | 121,379 | | | | 121,513 | |
Adjustable Rate Mortgage Trust, Series 2007-1, Class 1A1 | | | | | |
4.09% | | | 03/25/37 | 6 | | | 3,598,347 | | | | 3,389,740 | |
| Asset-Backed Funding Certificates, | | | | | |
Series 2007-NC1, Class A2 (LIBOR USD 1-Month plus 0.30%) | | | | | |
2.52% | | | 05/25/37 | 1,2 | | | 6,001,073 | | | | 5,871,342 | |
| Asset-Backed Funding Certificates, | | | | | |
Series 2007-WMC1, Class A2B (LIBOR USD 1-Month plus 1.00%) | | | | | |
3.22% | | | 06/25/37 | 2 | | | 4,886,695 | | | | 4,225,890 | |
| Asset-Backed Securities Corp. Home Equity | | | | | |
Loan Trust, Series 2004-HE9, Class M1 (LIBOR USD 1-Month plus 0.98%) | | | | | |
3.19% | | | 12/25/34 | 2 | | | 1,932,352 | | | | 1,899,801 | |
| Asset-Backed Securities Corp. Home Equity | | | | | |
Loan Trust, Series 2006-HE1, Class A4 (LIBOR USD 1-Month plus 0.30%) | | | | | |
2.52% | | | 01/25/36 | 2 | | | 5,000,000 | | | | 4,799,471 | |
| Asset-Backed Securities Corp. Home Equity | | | | | |
Loan Trust, Series 2006-HE5, Class A5 (LIBOR USD 1-Month plus 0.24%) | | | | | |
2.46% | | | 07/25/36 | 2 | | | 9,754,000 | | | | 9,086,012 | |
| Banc of America Alternative Loan Trust, Series 2003-8, Class 1CB1 | | | | | |
5.50% | | | 10/25/33 | | | | 1,195,874 | | | | 1,231,326 | |
Banc of America Alternative Loan Trust, Series 2005-2, Class 4A1 | | | | | |
5.50% | | | 03/25/20 | | | | 37,036 | | | | 36,239 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| Semi-Annual Report September 2018 / 180 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
Banc of America Funding Trust, Series 2004-B, Class 5A1 | | | | | |
4.35% | | | 11/20/34 | 6 | | $ | 460,817 | | | $ | 452,626 | |
Banc of America Funding Trust, Series 2006-D, Class 3A1 | | | | | |
3.91% | | | 05/20/36 | 6 | | | 1,555,580 | | | | 1,504,664 | |
| Banc of America Funding Trust, | | | | | |
Series 2006-G, Class 2A1 (LIBOR USD 1-Month plus 0.22%) | | | | | |
2.39% | | | 07/20/36 | 2 | | | 1,681,866 | | | | 1,678,628 | |
| Banc of America Funding Trust, | | | | | |
Series 2006-G, Class 2A4 (LIBOR USD 1-Month plus 0.29%) | | | | | |
2.46% | | | 07/20/36 | 2 | | | 6,716,917 | | | | 6,722,562 | |
Banc of America Funding Trust, Series 2015-R3, Class 6A2 | | | | | |
2.23% | | | 05/27/36 | 1,6 | | | 17,125,272 | | | | 15,820,092 | |
Banc of America Funding Trust, Series 2016-R1, Class A1 | | | | | |
2.50% | | | 03/25/40 | 1,6 | | | 5,451,604 | | | | 5,306,389 | |
| Banc of America Mortgage Securities, Inc., Series 2005-K, Class 2A1 | | | | | |
3.70% | | | 12/25/35 | 6 | | | 2,139,865 | | | | 2,107,650 | |
BCAP LLC Trust, Series 2007-AA1, Class 2A1 (LIBOR USD 1-Month plus 0.18%) | | | | | |
2.40% | | | 03/25/37 | 2 | | | 5,344,234 | | | | 5,264,951 | |
| BCAP LLC Trust, Series 2014-RR2, Class 6A1 | | | | | |
| (LIBOR USD 1-Month plus 0.24%) | | | | | |
2.30% | | | 10/26/36 | 1,2 | | | 12,080,887 | | | | 11,980,659 | |
| Bear Stearns ALT-A Trust, Series 2005-1, Class M1 | | | | | |
| (LIBOR USD 1-Month plus 0.75%) | | | | | |
2.97% | | | 01/25/35 | 2 | | | 14,935,000 | | | | 15,027,178 | |
| Bear Stearns ALT-A Trust, Series 2005-2, Class 2A4 | | | | | |
3.89% | | | 04/25/35 | 6 | | | 2,406,480 | | | | 2,405,724 | |
Bear Stearns ALT-A Trust, Series 2005-8, Class 11A1 | | | | | |
| (LIBOR USD 1-Month plus 0.54%) | | | | | |
2.76% | | | 10/25/35 | 2 | | | 11,869,617 | | | | 11,665,167 | |
Bear Stearns ARM Trust, Series 2005-9, Class A1 | | | | | |
| (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.30%) | | | | | |
4.73% | | | 10/25/35 | 2 | | | 3,720,449 | | | | 3,773,033 | |
| Bear Stearns Asset-Backed Securities I Trust, Series 2005-AC6, Class 1A3 | | | | | |
5.50% | | | 09/25/35 | 6 | | | 589,437 | | | | 590,947 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
| Bear Stearns Asset-Backed Securities I Trust, Series 2006-AC2, Class 21A3 | | | | | |
6.00% | | | 03/25/36 | | | $ | 111,817 | | | $ | 124,665 | |
| Bear Stearns Mortgage Funding Trust, | | | | | |
Series 2007-AR4, Class 1A1 | | | | | |
| (LIBOR USD 1-Month plus 0.20%) | | | | | |
2.42% | | | 09/25/47 | 2 | | | 11,731,976 | | | | 11,505,921 | |
| Carrington Mortgage Loan Trust, | | | | | |
Series 2006-OPT1, Class M1 (LIBOR USD 1-Month plus 0.35%) | | | | | |
2.57% | | | 02/25/362 | | | | 3,620,000 | | | | 3,604,426 | |
| Centex Home Equity Loan Trust, | | | | | |
Series 2006-A, Class AV4 (LIBOR USD 1-Month plus 0.25%) | | | | | |
2.47% | | | 06/25/36 | 2 | | | 3,643,823 | | | | 3,654,227 | |
Chase Mortgage Finance Trust, Series 2007-A1, Class 8A1 | | | | | |
4.14% | | | 02/25/37 | 6 | | | 1,324,877 | | | | 1,362,486 | |
CIM Trust, Series 2016-4, Class A1 (LIBOR USD 1-Month plus 2.00%) | | | | | |
4.10% | | | 10/25/57 | 1,2 | | | 8,664,483 | | | | 8,991,103 | |
| CIM Trust, Series 2017-5, Class A1 | | | | | |
2.30% | | | 05/25/57 | 1,6 | | | 6,041,858 | | | | 5,973,380 | |
| CIM Trust, Series 2017-8, Class A1 | | | | | |
3.00% | | | 12/25/65 | 1,6 | | | 15,779,163 | | | | 15,532,943 | |
| CIM Trust, Series 2018-R4, Class A1 | | | | | |
4.07% | | | 12/26/57 | 1,6 | | | 14,373,318 | | | | 14,363,303 | |
| CIM Trust, Series 2018-R5, Class A1 | | | | | |
3.75% | | | 07/25/58 | 1,6 | | | 14,985,038 | | | | 14,878,966 | |
| Citigroup Mortgage Loan Trust, Inc., | | | | | |
Series 2005-9, Class 1A1 (LIBOR USD 1-Month plus 0.26%) | | | | | |
2.48% | | | 11/25/35 | 2 | | | 82,525 | | | | 67,107 | |
| Citigroup Mortgage Loan Trust, Inc., | | | | | |
Series 2006-WFH2, Class A2A (LIBOR USD 1-Month plus 0.15%) | | | | | |
2.37% | | | 08/25/36 | 2 | | | 9,916 | | | | 9,938 | |
| Citigroup Mortgage Loan Trust, Inc., | | | | | |
Series 2006-WFH2, Class M1 (LIBOR USD 1-Month plus 0.27%) | | | | | |
2.49% | | | 08/25/36 | 2 | | | 8,972,899 | | | | 9,206,749 | |
| Citigroup Mortgage Loan Trust, Inc., | | | | | |
Series 2006-WFH3, Class M1 (LIBOR USD 1-Month plus 0.29%) | | | | | |
2.51% | | | 10/25/36 | 2 | | | 10,569,259 | | | | 10,708,757 | |
| Citigroup Mortgage Loan Trust, Inc., | | | | | |
Series 2007-WFH1, Class A4 (LIBOR USD 1-Month plus 0.20%) | | | | | |
2.42% | | | 01/25/37 | 2 | | | 2,895,403 | | | | 2,904,543 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| 181 / Semi-Annual Report September 2018 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
| Citigroup Mortgage Loan Trust, Series 2006-AR3, Class 1A2A | | | | | |
4.05% | | | 06/25/36 | 6 | | $ | 371,203 | | | $ | 357,768 | |
| Citigroup Mortgage Loan Trust, Series 2006-HE2, Class A2D | | | | | |
| (LIBOR USD 1-Month plus 0.24%) | | | | | |
2.46% | | | 08/25/36 | 2 | | | 1,804,119 | | | | 1,788,041 | |
| Citigroup Mortgage Loan Trust, Series 2006-NC1, Class A2C | | | | | |
| (LIBOR USD 1-Month plus 0.14%) | | | | | |
2.36% | | | 08/25/36 | 2 | | | 231,296 | | | | 229,363 | |
| Citigroup Mortgage Loan Trust, Series 2007-WFHE2, Class A4 | | | | | |
| (LIBOR USD 1-Month plus 0.35%) | | | | | |
2.57% | | | 03/25/37 | 2 | | | 4,887,161 | | | | 4,893,053 | |
| Conseco Finance Corp., Series 1998-6, Class A8 | | | | | |
6.66% | | | 06/01/30 | 6 | | | 26,864 | | | | 28,207 | |
| Countrywide Alternative Loan Trust, Series 2005-76, Class 1A1 | | | | | |
| (Federal Reserve US 12-Month Cumulative Average plus 1.48%) | | | | | |
3.32% | | | 01/25/36 | 2 | | | 5,554,987 | | | | 5,731,713 | |
| Countrywide Alternative Loan Trust, Series 2006-HY12, Class A5 | | | | | |
3.85% | | | 08/25/36 | 6 | | | 5,839,478 | | | | 6,008,836 | |
| Countrywide Asset-Backed Certificates, Series 2004-15, Class MV4 | | | | | |
| (LIBOR USD 1-Month plus 1.28%) | | | | | |
3.49% | | | 04/25/35 | 2 | | | 4,428,758 | | | | 4,485,675 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, Series 2004-HYB7, Class 3A | | | | | |
4.47% | | | 11/20/34 | 6 | | | 16,923 | | | | 17,242 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-3, Class 1A2 | | | | | |
| (LIBOR USD 1-Month plus 0.58%) | | | | | |
2.80% | | | 04/25/35 | 2 | | | 5,739,871 | | | | 5,673,243 | |
| Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-9, Class 1A1 | | | | | |
| (LIBOR USD 1-Month plus 0.60%) | | | | | |
2.82% | | | 05/25/35 | 2 | | | 125,002 | | | | 117,868 | |
| Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR26, Class 3A1 | | | | | |
3.76% | | | 11/25/33 | 6 | | | 1,011,473 | | | | 1,010,363 | |
| Credit Suisse First Boston Mortgage Securities Corp., Series 2005-11, Class 1A1 | | | | | |
6.50% | | | 12/25/35 | | | | 826,743 | | | | 692,963 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
| Credit Suisse First Boston Mortgage-Backed Pass-Through Certificates, Series 2004-AR5, Class 9A1 | | | | | |
3.19% | | | 06/25/34 | 6 | | $ | 110,692 | | | $ | 108,973 | |
| Credit Suisse Mortgage Capital, Mortgage-Backed Trust, Series 2006-8, Class 3A1 | | | | | |
6.00% | | | 10/25/21 | | | | 97,340 | | | | 89,510 | |
| Credit-Based Asset Servicing and Securitization LLC, Mortgage Loan Trust, Series 2007-CB2, Class A2B (STEP-reset date 11/25/18) | | | | | |
4.10% | | | 02/25/37 | | | | 6,700,585 | | | | 5,329,062 | |
| Credit-Based Asset Servicing and Securitization LLC, Mortgage Loan Trust, Series 2007-CB2, Class A2C (STEP-reset date 11/25/18) | | | | | |
4.10% | | | 02/25/37 | | | | 1,603,729 | | | | 1,275,325 | |
| Credit-Based Asset Servicing and Securitization LLC, Mortgage Loan Trust, Series 2007-CB3, Class A3 (STEP-reset date 11/25/18) | | | | | |
3.85% | | | 03/25/37 | | | | 3,651,518 | | | | 2,182,298 | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB2, Class AF3 (STEP-reset date 08/25/18) | | | | | |
3.47% | | | 12/25/36 | | | | 947,779 | | | | 826,565 | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB9, Class A2 | | | | | |
| (LIBOR USD 1-Month plus 0.11%) | | | | | |
2.33% | | | 11/25/36 | 2 | | | 10,069,195 | | | | 6,600,826 | |
| Credit-Based Asset Servicing and | | | | | |
| Securitization LLC, Series 2007-CB1, Class AF2 (STEP-reset date 08/25/18) | | | | | |
3.63% | | | 01/25/37 | | | | 1,112,854 | | | | 563,978 | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB4, Class A1A | | | | | |
| (LIBOR USD 1-Month plus 0.09%) | | | | | |
2.31% | | | 04/25/37 | 2 | | | 3,751,684 | | | | 3,532,540 | |
| Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB5, Class A1 | | | | | |
| (LIBOR USD 1-Month plus 0.06%) | | | | | |
2.28% | | | 04/25/37 | 2 | | | 1,998,813 | | | | 1,431,461 | |
| DSLA Mortgage Loan Trust, Series 2004-AR4, Class 2A1A | | | | | |
| (LIBOR USD 1-Month plus 0.36%) | | | | | |
2.53% | | | 01/19/45 | 2 | | | 1,095,921 | | | | 1,047,463 | |
| DSLA Mortgage Loan Trust, Series 2005-AR6, Class 2A1A | | | | | |
| (LIBOR USD 1-Month plus 0.29%) | | | | | |
2.46% | | | 10/19/45 | 2 | | | 6,015,817 | | | | 6,054,484 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| Semi-Annual Report September 2018 / 182 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
| DSLA Mortgage Loan Trust, Series 2006-AR2, Class 2A1A | | | | | |
| (LIBOR USD 1-Month plus 0.20%) | | | | | |
2.37% | | | 10/19/36 | 2 | | $ | 6,794,220 | | | $ | 6,169,112 | |
| DSLA Mortgage Loan Trust, Series 2007-AR1, Class 2A1A | | | | | |
| (LIBOR USD 1-Month plus 0.14%) | | | | | |
2.31% | | | 04/19/47 | 2 | | | 2,547,865 | | | | 2,511,004 | |
| First Franklin Mortgage Loan Trust, Series 2006-FF13, Class A2C | | | | | |
| (LIBOR USD 1-Month plus 0.16%) | | | | | |
2.38% | | | 10/25/36 | 2 | | | 1,095,344 | | | | 818,603 | |
| First Franklin Mortgage Loan Trust, Series 2006-FF18, Class A2D | | | | | |
| (LIBOR USD 1-Month plus 0.21%) | | | | | |
2.43% | | | 12/25/37 | 2 | | | 1,747,679 | | | | 1,541,615 | |
| First Franklin Mortgage Loan Trust, Series 2007-FF2, Class A2B | | | | | |
| (LIBOR USD 1-Month plus 0.10%) | | | | | |
2.32% | | | 03/25/37 | 2 | | | 848,898 | | | | 554,136 | |
First Franklin Mortgage Loan Trust, Series 2006-FF4, Class A3 (LIBOR USD 1-Month plus 0.28%) | | | | | |
2.62% | | | 03/25/36 | 2 | | | 15,096,000 | | | | 14,887,920 | |
| First Horizon Alternative Mortgage Securities Trust, Series 2004-AA3, Class A1 | | | | | |
4.17% | | | 09/25/34 | 6 | | | 749,406 | | | | 745,015 | |
| First Horizon Alternative Mortgage Securities Trust, Series 2004-AA3, Class A3 | | | | | |
4.17% | | | 09/25/34 | 6 | | | 1,152,352 | | | | 1,145,601 | |
| First Horizon Alternative Mortgage Securities Trust, Series 2005-AA10, Class 1A1 | | | | | |
3.87% | | | 12/25/35 | 6 | | | 2,030,532 | | | | 1,877,122 | |
| First Horizon Alternative Mortgage Securities Trust, Series 2005-AA12, Class 2A1 | | | | | |
4.04% | | | 02/25/36 | 6 | | | 3,030,992 | | | | 2,668,434 | |
| First Horizon Alternative Mortgage Securities Trust, Series 2005-AA2, Class 2A1 | | | | | |
4.06% | | | 04/25/35 | 6 | | | 3,480,873 | | | | 3,492,500 | |
| First Horizon Alternative Mortgage Securities Trust, Series 2005-AA3, Class 3A1 | | | | | |
3.80% | | | 05/25/35 | 6 | | | 3,548,745 | | | | 3,621,121 | |
| First Horizon Alternative Mortgage Securities Trust, Series 2005-AA7, Class 2A1 | | | | | |
4.11% | | | 09/25/35 | 6 | | | 4,408,923 | | | | 4,270,664 | |
| First Horizon Alternative Mortgage Securities Trust, Series 2005-AA8, Class 2A1 | | | | | |
4.13% | | | 10/25/35 | 6 | | | 4,975,150 | | | | 4,271,155 | |
| First Horizon Alternative Mortgage Securities Trust, Series 2005-AA9, Class 2A1 | | | | | |
3.77% | | | 11/25/35 | 6 | | | 2,742,507 | | | | 2,684,511 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
| First Horizon Alternative Mortgage Securities Trust, Series 2006-AA1, Class 1A1 | | | | | |
4.14% | | | 03/25/36 | 6 | | $ | 3,425,291 | | | $ | 3,059,614 | |
| First Horizon Alternative Mortgage Securities Trust, Series 2006-AA7, Class A1 | | | | | |
3.90% | | | 01/25/37 | 6 | | | 4,834,318 | | | | 4,413,592 | |
First Horizon Mortgage Pass-Through Trust, Series 2005-AR4, Class 1A1 | | | | | |
4.43% | | | 09/25/35 | 6 | | | 4,336,318 | | | | 3,997,611 | |
First Horizon Mortgage Pass-Through Trust,
Series 2005-AR4, Class 2A1 | | | | | |
4.04% | | | 10/25/35 | 6 | | | 191,768 | | | | 186,216 | |
First Horizon Mortgage Pass-Through Trust, Series 2005-AR5, Class 2A1 | | | | | |
3.69% | | | 11/25/35 | 6 | | | 2,252,284 | | | | 2,212,863 | |
First Horizon Mortgage Pass-Through Trust, Series 2007-AR2, Class 1A2 | | | | | |
4.33% | | | 08/25/37 | 6 | | | 175,857 | | | | 146,540 | |
GMACM Mortgage Corp. Loan Trust,
Series 2005-AR5, Class 2A1 | | | | | |
4.64% | | | 09/19/35 | 6 | | | 2,089,861 | | | | 1,876,834 | |
GMACM Mortgage Corp. Loan Trust,
Series 2005-AR5, Class 3A1 | | | | | |
4.29% | | | 09/19/35 | 6 | | | 2,589,392 | | | | 2,484,292 | |
GMACM Mortgage Corp. Loan Trust,
Series 2006-AR1, Class 1A1 | | | | | |
3.80% | | | 04/19/36 | 6 | | | 3,375,839 | | | | 3,165,940 | |
GreenPoint Mortgage Funding Trust,
Series 2005-HY1, Class 2A | | | | | |
| (LIBOR USD 1-Month plus 0.29%) | | | | | |
2.51% | | | 07/25/35 | 2 | | | 2,086,189 | | | | 2,071,605 | |
GreenPoint Mortgage Funding Trust,
Series 2006-AR8, Class 1A2A7 | | | | | |
0.00% | | | 4,8,† | | | | 1,060,000 | | | | — | |
GreenPoint Mortgage Funding Trust,
Series 2007-AR1, Class 2A1A | | | | | |
| (LIBOR USD 1-Month plus 0.20%) | | | | | |
2.42% | | | 03/25/47 | 2 | | | 8,458,937 | | | | 8,165,418 | |
| GSAMP Trust, Series 2005-HE5, Class M2 | | | | | |
| (LIBOR USD 1-Month plus 0.43%) | | | | | |
2.65% | | | 11/25/35 | 2 | | | 8,184,918 | | | | 8,219,296 | |
| GSR Mortgage Loan Trust, Series 2005-7F, Class 3A3 (IO) LIBOR USD 1-Month | | | | | |
3.28% | | | 09/25/35 | 2,4,5 | | | 31,152 | | | | 613 | |
| GSR Mortgage Loan Trust, Series 2005-AR4, Class 5A1 | | | | | |
4.29% | | | 07/25/35 | 6 | | | 1,405,120 | | | | 1,318,693 | |
| GSR Mortgage Loan Trust, Series 2006-AR2, Class 2A1 | | | | | |
3.60% | | | 04/25/36 | 6 | | | 320,067 | | | | 291,301 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| 183 / Semi-Annual Report September 2018 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
| GSR Mortgage Loan Trust, Series 2007-AR2, Class 5A1A | | | | | |
3.96% | | | 05/25/37 | 6 | | $ | 1,465,218 | | | $ | 1,323,571 | |
| HarborView Mortgage Loan Trust, Series 2006-7, Class 1A | | | | | |
| (LIBOR USD 1-Month plus 0.21%) | | | | | |
2.38% | | | 09/19/46 | 2 | | | 16,979,536 | | | | 15,852,999 | |
HarborView Mortgage Loan Trust,
Series 2007-6, Class 1A1A | | | | | |
| (LIBOR USD 1-Month plus 0.20%) | | | | | |
2.37% | | | 08/19/37 | 2 | | | 17,641,293 | | | | 16,734,954 | |
| Home Equity Mortgage Loan Asset-Backed Trust, Series 2005-D, Class AII4 | | | | | |
| (LIBOR USD 1-Month plus 0.35%) | | | | | |
2.57% | | | 03/25/36 | 2 | | | 8,957,362 | | | | 8,879,519 | |
| Impac CMB Trust, Series 2005-2, Class 1A1 | | | | | |
| (LIBOR USD 1-Month plus 0.52%) | | | | | |
2.74% | | | 04/25/35 | 2 | | | 5,705,452 | | | | 5,686,810 | |
IndyMac Index Mortgage Loan Trust,
Series 2005-AR19, Class A1 | | | | | |
3.78% | | | 10/25/35 | 6 | | | 3,165,339 | | | | 2,719,459 | |
IndyMac Index Mortgage Loan Trust,
Series 2006-AR27, Class 1A3 | | | | | |
| (LIBOR USD 1-Month plus 0.27%) | | | | | |
2.49% | | | 10/25/36 | 2 | | | 8,420,768 | | | | 5,719,289 | |
IndyMac Index Mortgage Loan Trust,
Series 2006-AR7, Class 3A1 | | | | | |
3.83% | | | 05/25/36 | 6 | | | 620,389 | | | | 553,643 | |
IndyMac Index Mortgage Loan Trust,
Series 2006-AR9, Class 3A3 | | | | | |
3.62% | | | 06/25/36 | 6 | | | 5,332,191 | | | | 5,087,613 | |
| IndyMac Manufactured Housing Contract Pass-Through Certificates, Series 1998-1, Class A4 | | | | | |
6.49% | | | 09/25/28 | | | | 62,350 | | | | 66,354 | |
JPMorgan Mortgage Acquisition Trust,
Series 2006-ACC1, Class M1 | | | | | |
| (LIBOR USD 1-Month plus 0.27%) | | | | | |
2.49% | | | 05/25/36 | 2 | | | 8,497,000 | | | | 8,597,478 | |
JPMorgan Mortgage Acquisition Trust,
Series 2006-CH1, Class M2 | | | | | |
| (LIBOR USD 1-Month plus 0.29%) | | | | | |
2.51% | | | 07/25/36 | 2 | | | 12,135,000 | | | | 11,917,569 | |
JPMorgan Mortgage Acquisition Trust,
Series 2007-CH1, Class MV1 | | | | | |
| (LIBOR USD 1-Month plus 0.23%) | | | | | |
2.45% | | | 11/25/36 | 2 | | | 8,500,000 | | | | 8,508,083 | |
JPMorgan Mortgage Acquisition Trust,
Series 2007-CH1, Class MV3 | | | | | |
| (LIBOR USD 1-Month plus 0.32%) | | | | | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
2.54% | | | 11/25/36 | 2 | | $ | 14,417,000 | | | $ | 14,541,272 | |
JPMorgan Mortgage Acquisition Trust,
Series 2007-CH5, Class A4 | | | | | |
| (LIBOR USD 1-Month plus 0.16%) | | | | | |
2.38% | | | 06/25/36 | 2 | | | 4,723,291 | | | | 4,707,537 | |
JPMorgan Mortgage Trust, Series 2005-A6,
Class 7A1 | | | | | |
4.38% | | | 08/25/35 | 6 | | | 63,450 | | | | 62,240 | |
JPMorgan Mortgage Trust, Series 2006-A3,
Class 2A1 | | | | | |
3.78% | | | 05/25/36 | 6 | | | 52,168 | | | | 50,062 | |
JPMorgan Mortgage Trust, Series 2006-S2,
Class 2A2 | | | | | |
5.88% | | | 06/25/21 | | | | 225,878 | | | | 215,652 | |
JPMorgan Mortgage Trust, Series 2007-S1,
Class 1A2 | | | | | |
5.50% | | | 03/25/22 | | | | 128,335 | | | | 142,786 | |
| Legacy Mortgage Asset Trust, Series 2017-RPL1, Class A | | | | | |
| (LIBOR USD 1-Month plus 1.75%) | | | | | |
3.99% | | | 01/28/70 | 1,2 | | | 17,562,585 | | | | 17,934,727 | |
| Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class A3 | | | | | |
4.35% | | | 04/15/40 | | | | 2,823 | | | | 2,841 | |
| Lehman XS Trust, Series 2005-4, Class 1A3 | | | | | |
| (LIBOR USD 1-Month plus 0.80%) | | | | | |
3.02% | | | 10/25/35 | 2 | | | 112,980 | | | | 112,130 | |
| Lehman XS Trust, Series 2005-5N, Class 3A1A | | | | | |
| (LIBOR USD 1-Month plus 0.30%) | | | | | |
2.52% | | | 11/25/35 | 2 | | | 6,147,808 | | | | 6,106,781 | |
| Lehman XS Trust, Series 2006-GP2, Class 1A5A | | | | | |
| (LIBOR USD 1-Month plus 0.21%) | | | | | |
2.43% | | | 06/25/46 | 2 | | | 9,083,747 | | | | 8,955,874 | |
| Lehman XS Trust, Series 2007-18N, Class 1A1 | | | | | |
| (LIBOR USD 1-Month plus 0.85%) | | | | | |
3.07% | | | 10/25/37 | 2 | | | 8,963,134 | | | | 8,950,231 | |
MASTR Adjustable Rate Mortgages Trust,
Series 2003-7, Class 3A1 | | | | | |
3.32% | | | 11/25/33 | 6 | | | 396,738 | | | | 421,352 | |
MASTR Adjustable Rate Mortgages Trust,
Series 2004-15, Class 8A1 | | | | | |
5.29% | | | 10/25/34 | 6 | | | 584,503 | | | | 597,608 | |
MASTR Adjustable Rate Mortgages Trust,
Series 2004-3, Class 3A3 | | | | | |
3.81% | | | 04/25/34 | 6 | | | 86,041 | | | | 86,445 | |
MASTR Adjustable Rate Mortgages Trust,
Series 2006-2, Class 4A1 | | | | | |
4.22% | | | 02/25/36 | 6 | | | 86,653 | | | | 84,350 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| Semi-Annual Report September 2018 / 184 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
MASTR Adjustable Rate Mortgages Trust, Series 2007-2, Class A27 | | | | | |
0.00% | | | 03/25/47 | 4,5,8,† | | $ | 20,725,600 | | | $ | — | |
MASTR Asset-Backed Securities Trust, Series 2007-HE1, Class A4 | | | | | |
| (LIBOR USD 1-Month plus 0.28%) | | | | | |
2.50% | | | 05/25/37 | 2 | | | 3,150,000 | | | | 2,300,105 | |
Merrill Lynch Alternative Note Asset Trust, Series 2007-A3, Class A2D | | | | | |
| (LIBOR USD 1-Month plus 0.33%) | | | | | |
2.55% | | | 04/25/37 | 2,4,5 | | | 883,581 | | | | 92,362 | |
| Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-4, Class 2A4 | | | | | |
| (LIBOR USD 1-Month plus 0.25%) | | | | | |
2.47% | | | 07/25/37 | 2 | | | 1,333,614 | | | | 894,083 | |
| Merrill Lynch First Franklin Mortgage Loan Trust, Series 2007-FF1, Class A2D | | | | | |
| (LIBOR USD 1-Month plus 0.22%) | | | | | |
2.44% | | | 01/25/38 | 2 | | | 5,928,482 | | | | 4,489,728 | |
Merrill Lynch Mortgage Investors Trust, Series 2003-A6, Class 2A | | | | | |
4.28% | | | 10/25/33 | 6 | | | 233,369 | | | | 236,353 | |
| Merrill Lynch Mortgage-Backed Securities Trust, Series 2007-2, Class 1A1 | | | | | |
| (US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.40%) | | | | | |
4.87% | | | 08/25/36 | 2 | | | 2,139,384 | | | | 2,096,319 | |
| Mid-State Capital Corp., Series 2004-1, Class B | | | | | |
8.90% | | | 08/15/37 | | | | 69,593 | | | | 78,855 | |
Morgan Stanley Capital I, Inc., Trust, Series 2006-NC2, Class A2D | | | | | |
| (LIBOR USD 1-Month plus 0.29%) | | | | | |
2.51% | | | 02/25/36 | 2 | | | 3,373,525 | | | | 3,363,880 | |
Morgan Stanley Home Equity Loan Trust, Series 2006-2, Class A4 | | | | | |
| (LIBOR USD 1-Month plus 0.28%) | | | | | |
2.50% | | | 02/25/36 | 2 | | | 3,793,423 | | | | 3,790,275 | |
Morgan Stanley Mortgage Loan Trust, Series 2004-7AR, Class 2A4 | | | | | |
3.94% | | | 09/25/34 | 6 | | | 569,366 | | | | 578,756 | |
Morgan Stanley Mortgage Loan Trust, Series 2005-6AR, Class 1A1 | | | | | |
| (LIBOR USD 1-Month plus 0.28%) | | | | | |
2.50% | | | 11/25/35 | 2 | | | 52,022 | | | | 52,353 | |
Morgan Stanley Mortgage Loan Trust, Series 2006-2, Class 1A | | | | | |
5.25% | | | 02/25/21 | | | | 194,484 | | | | 192,137 | |
Morgan Stanley Resecuritization Trust, Series 2013-R3, Class 12A | | | | | |
3.59% | | | 01/26/47 | 1,6 | | | 26,968 | | | | 27,057 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
Morgan Stanley Resecuritization Trust, Series 2014-R9, Class 3A | | | | | |
| (Federal Reserve US 12-Month Cumulative Average plus 0.84%) | | | | | |
2.59% | | | 11/26/46 | 1,2 | | $ | 3,378,046 | | | $ | 3,315,993 | |
| MortgageIT Trust, Series 2005-2, Class 2A | | | | | |
| (LIBOR USD 1-Month plus 1.65%) | | | | | |
3.75% | | | 05/25/35 | 2 | | | 1,937,013 | | | | 1,935,486 | |
| MortgageIT Trust, Series 2005-4, Class A1 | | | | | |
| (LIBOR USD 1-Month plus 0.28%) | | | | | |
2.50% | | | 10/25/35 | 2 | | | 3,726,467 | | | | 3,674,449 | |
| MortgageIT Trust, Series 2005-5, Class A1 | | | | | |
| (LIBOR USD 1-Month plus 0.26%) | | | | | |
2.48% | | | 12/25/35 | 2 | | | 649,192 | | | | 644,928 | |
New Century Home Equity Loan Trust, Series 2005-D, Class A2D | | | | | |
| (LIBOR USD 1-Month plus 0.33%) | | | | | |
2.55% | | | 02/25/36 | 2 | | | 3,463,573 | | | | 3,438,509 | |
New York Mortgage Trust, Series 2005-3, Class A1 | | | | | |
| (LIBOR USD 1-Month plus 0.48%) | | | | | |
2.70% | | | 02/25/36 | 2 | | | 895,025 | | | | 888,616 | |
Nomura Asset Acceptance Corp., Series 2005-AR4, Class 4A1 | | | | | |
4.65% | | | 08/25/35 | 6 | | | 4,749,343 | | | | 4,767,194 | |
| Nomura Resecuritization Trust, Series 2016-2R, Class 1A1 | | | | | |
2.21% | | | 09/26/36 | 1,6 | | | 5,605,963 | | | | 5,502,020 | |
| Nomura Resecuritization Trust, Series 2011-2RA, Class 1A2 | | | | | |
3.81% | | | 12/26/46 | 1,6 | | | 6,846,020 | | | | 6,792,476 | |
| Oakwood Mortgage Investors, Inc., Series 2000-A, Class A5 | | | | | |
8.16% | | | 09/15/29 | 6 | | | 11,029,014 | | | | 6,453,962 | |
Opteum Mortgage Acceptance Corp. Asset-Backed Pass-Through Certificates, Series 2005-3, Class M2 | | | | | |
| (LIBOR USD 1-Month plus 0.48%) | | | | | |
2.70% | | | 07/25/35 | 2 | | | 11,301,000 | | | | 10,583,494 | |
Ownit Mortgage Loan Trust, Series 2006-2, Class A1 | | | | | |
| (LIBOR USD 1-Month plus 0.21%) | | | | | |
2.43% | | | 01/25/37 | 2 | | | 12,683,185 | | | | 12,112,170 | |
| Popular ABS Mortgage Pass-Through Trust, Series 2007-A, Class A3 | | | | | |
| (LIBOR USD 1-Month plus 0.31%) | | | | | |
2.53% | | | 06/25/47 | 2 | | | 5,152,000 | | | | 4,186,561 | |
| RAAC Trust, Series 2005-SP1, Class 4A1 | | | | | |
7.00% | | | 09/25/34 | | | | 117,093 | | | | 117,831 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| 185 / Semi-Annual Report September 2018 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
| Residential Accredit Loans Trust, Series 2005-QA13, Class 2A1 | | | | | |
4.62% | | | 12/25/35 | 6 | | $ | 2,916,847 | | | $ | 2,666,726 | |
| Residential Accredit Loans Trust, Series 2005-QA4, Class A41 | | | | | |
4.24% | | | 04/25/35 | 6 | | | 154,552 | | | | 146,810 | |
| Residential Accredit Loans Trust, Series 2005-QA7, Class A21 | | | | | |
4.38% | | | 07/25/35 | 6 | | | 1,424,518 | | | | 1,351,062 | |
| Residential Accredit Loans Trust, Series 2005-QA8, Class CB21 | | | | | |
4.63% | | | 07/25/35 | 6 | | | 1,150,882 | | | | 922,765 | |
| Residential Accredit Loans Trust, Series 2006-QS13, Class 2A1 | | | | | |
5.75% | | | 09/25/21 | | | | 135,622 | | | | 128,778 | |
| Residential Accredit Loans Trust, Series 2006-QS16, Class A6 | | | | | |
6.00% | | | 11/25/36 | | | | 828,208 | | | | 741,747 | |
| Residential Accredit Loans Trust, Series 2007-QS1, Class 2AV (IO) | | | | | |
0.18% | | | 01/25/37 | 4,5,6 | | | 3,288,427 | | | | 25,538 | |
| Residential Asset Securities Trust, Series 2004-KS9, Class AII4 | | | | | |
| (LIBOR USD 1-Month plus 0.60%) | | | | | |
2.82% | | | 10/25/34 | 2 | | | 15,715 | | | | 14,518 | |
| Residential Asset Securities Trust, Series 2005-KS9, Class M4 | | | | | |
| (LIBOR USD 1-Month plus 0.60%) | | | | | |
2.82% | | | 10/25/35 | 2 | | | 5,465,000 | | | | 5,462,761 | |
| Residential Asset Securitization Trust, Series 2006-A9CB, Class A9 | | | | | |
6.00% | | | 09/25/36 | | | | 5,760,640 | | | | 3,580,644 | |
| Residential Funding Mortgage Securities Trust, Series 2007-SA2, Class 1A | | | | | |
3.97% | | | 04/25/37 | 6 | | | 325,348 | | | | 219,652 | |
| Saxon Asset Securities Trust, Series 2005-4, Class M1 | | | | | |
| (LIBOR USD 1-Month plus 0.44%) | | | | | |
2.66% | | | 11/25/37 | 2 | | | 8,400,000 | | | | 8,426,807 | |
| Securitized Asset-Backed Receivables LLC Trust, Series 2006-CB1, Class AF4 (STEP-reset date 08/25/18) | | | | | |
3.47% | | | 01/25/36 | | | | 5,455,100 | | | | 4,684,943 | |
| Securitized Asset-Backed Receivables LLC Trust, Series 2007-BR2, Class A2 | | | | | |
| (LIBOR USD 1-Month plus 0.23%) | | | | | |
2.45% | | | 02/25/37 | 2 | | | 1,611,884 | | | | 921,652 | |
| Securitized Asset-Backed Receivables LLC Trust, Series 2007-BR4, Class A2B | | | | | |
| (LIBOR USD 1-Month plus 0.20%) | | | | | |
2.42% | | | 05/25/37 | 2 | | | 2,774,557 | | | | 1,856,673 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
| Securitized Asset-Backed Receivables LLC Trust, Series 2007-NC1, Class A2B | | | | | |
| (LIBOR USD 1-Month plus 0.15%) | | | | | |
2.37% | | | 12/25/36 | 2 | | $ | 8,011,788 | | | $ | 4,849,818 | |
| Soundview Home Loan Trust, Series 2006-WF2, Class M1 | | | | | |
| (LIBOR USD 1-Month plus 0.22%) | | | | | |
2.44% | | | 12/25/36 | 2 | | | 12,750,000 | | | | 12,767,762 | |
| Soundview Home Loan Trust, Series 2007-WMC1, Class 3A3 | | | | | |
| (LIBOR USD 1-Month plus 0.26%) | | | | | |
2.48% | | | 02/25/37 | 2 | | | 1,154,537 | | | | 493,389 | |
| STRU TCW-1149 Coll | | | | | |
3.82% | | | 11/01/30 | | | | 15,550,000 | | | | 15,682,097 | |
| Structured Adjustable Rate Mortgage Loan Trust, Series 2004-12, Class 2A | | | | | |
4.24% | | | 09/25/34 | 6 | | | 871,559 | | | | 864,067 | |
| Structured Adjustable Rate Mortgage Loan Trust, Series 2004-2, Class 4A2 | | | | | |
4.14% | | | 03/25/34 | 6 | | | 1,406,224 | | | | 1,428,551 | |
| Structured Adjustable Rate Mortgage Loan Trust, Series 2005-12, Class 3A1 | | | | | |
4.22% | | | 06/25/35 | 6 | | | 1,787,369 | | | | 1,742,964 | |
| Structured Adjustable Rate Mortgage Loan Trust, Series 2005-21, Class 2A | | | | | |
4.18% | | | 11/25/35 | 6 | | | 1,641,572 | | | | 1,560,396 | |
| Structured Adjustable Rate Mortgage Loan Trust, Series 2005-7, Class 1A3 | | | | | |
3.93% | | | 04/25/35 | 6 | | | 4,273,304 | | | | 4,248,164 | |
| Structured Adjustable Rate Mortgage Loan Trust, Series 2006-11, Class 1A1 | | | | | |
| (LIBOR USD 1-Month plus 0.16%) | | | | | |
2.38% | | | 12/25/36 | 2 | | | 176,696 | | | | 166,587 | |
| Structured Asset Investment Loan Trust, Series 2004-6, Class A3 | | | | | |
| (LIBOR USD 1-Month plus 0.80%) | | | | | |
3.02% | | | 07/25/34 | 2 | | | 17,210,208 | | | | 17,101,805 | |
| Structured Asset Mortgage Investments II Trust, Series 2006-AR3, Class 22A1 | | | | | |
3.70% | | | 05/25/36 | 6 | | | 647,951 | | | | 454,690 | |
| Structured Asset Mortgage Investments II Trust, Series 2006-AR5, Class 1A1 | | | | | |
| (LIBOR USD 1-Month plus 0.21%) | | | | | |
2.43% | | | 05/25/36 | 2 | | | 521,733 | | | | 482,363 | |
| Structured Asset Mortgage Investments, Inc., Series 2007-AR6, Class A1 | | | | | |
| (Federal Reserve US 12-Month Cumulative | | | | | |
| Average plus 1.50%) | | | | | |
3.34% | | | 08/25/47 | 2 | | | 12,527,152 | | | | 11,972,673 | |
| Structured Asset Securities Corp. Mortgage Loan Trust, Series 2005-2XS, Class 2A2 | | | | | |
| (LIBOR USD 1-Month plus 1.50%) | | | | | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| Semi-Annual Report September 2018 / 186 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
3.60% | | | 02/25/35 | 2 | | $ | 170,878 | | | $ | 168,762 | |
| Structured Asset Securities Corp. Mortgage Loan Trust, Series 2005-4XS, Class 2A1A | | | | | |
| (LIBOR USD 1-Month plus 1.75%) | | | | | |
3.85% | | | 03/25/35 | 2 | | | 2,289,437 | | | | 2,220,491 | |
| Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2003-34A, Class 3A3 | | | | | |
4.13% | | | 11/25/33 | 6 | | | 89,310 | | | | 89,977 | |
| Suntrust Adjustable Rate Mortgage Loan Trust, Series 2007-04, Class 3A1 | | | | | |
4.28% | | | 10/25/37 | 6 | | | 2,744,701 | | | | 2,654,332 | |
| Suntrust Adjustable Rate Mortgage Loan Trust, Series 2007-S1, Class 2A1 | | | | | |
4.21% | | | 01/25/37 | 6 | | | 1,024,111 | | | | 1,020,752 | |
| Suntrust Adjustable Rate Mortgage Loan Trust, Series 2007-S1, Class 5A1 | | | | | |
4.18% | | | 01/25/37 | 6 | | | 622,716 | | | | 628,405 | |
| WaMu Asset-Backed Certificates, Series 2007-HE1, Class 2A2 | | | | | |
| (LIBOR USD 1-Month plus 0.11%) | | | | | |
2.33% | | | 01/25/37 | 2 | | | 3,907,552 | | | | 2,449,953 | |
| WaMu Mortgage Pass-Through Certificates, Series 2004-AR13, Class A1A | | | | | |
| (LIBOR USD 1-Month plus 0.72%) | | | | | |
2.94% | | | 11/25/34 | 2 | | | 258,529 | | | | 260,681 | |
| WaMu Mortgage Pass-Through Certificates, Series 2004-AR14, Class A1 | | | | | |
3.50% | | | 01/25/35 | 6 | | | 964,530 | | | | 991,491 | |
| WaMu Mortgage Pass-Through Certificates, Series 2004-AR6, Class A | | | | | |
| (LIBOR USD 1-Month plus 0.42%) | | | | | |
2.64% | | | 05/25/44 | 2 | | | 153,417 | | | | 156,355 | |
| WaMu Mortgage Pass-Through Certificates, Series 2005-AR1, Class A1A | | | | | |
| (LIBOR USD 1-Month plus 0.64%) | | | | | |
2.86% | | | 01/25/45 | 2 | | | 273,012 | | | | 282,048 | |
| WaMu Mortgage Pass-Through Certificates, Series 2005-AR11, Class A1A | | | | | |
| (LIBOR USD 1-Month plus 0.32%) | | | | | |
2.54% | | | 08/25/45 | 2 | | | 689,393 | | | | 700,639 | |
| WaMu Mortgage Pass-Through Certificates, Series 2005-AR12, Class 1A6 | | | | | |
4.02% | | | 10/25/35 | 6 | | | 2,144,370 | | | | 2,149,730 | |
| WaMu Mortgage Pass-Through Certificates, Series 2005-AR13, Class A1A1 | | | | | |
| (LIBOR USD 1-Month plus 0.29%) | | | | | |
2.51% | | | 10/25/45 | 2 | | | 1,590,129 | | | | 1,609,730 | |
| WaMu Mortgage Pass-Through Certificates, Series 2005-AR14, Class 2A1 | | | | | |
3.71% | | | 12/25/35 | 6 | | | 40,869 | | | | 39,821 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
WaMu Mortgage Pass-Through Certificates, Series 2005-AR16, Class 1A3 | | | | | |
3.44% | | | 12/25/35 | 6 | | $ | 2,392,107 | | | $ | 2,404,387 | |
WaMu Mortgage Pass-Through Certificates, Series 2005-AR2, Class 2A21 | | | | | |
| (LIBOR USD 1-Month plus 0.33%) | | | | | |
2.55% | | | 01/25/45 | 2 | | | 1,278,336 | | | | 1,277,347 | |
WaMu Mortgage Pass-Through Certificates, Series 2005-AR6, Class 2A1A | | | | | |
| (LIBOR USD 1-Month plus 0.46%) | | | | | |
2.68% | | | 04/25/45 | 2 | | | 1,373,729 | | | | 1,385,574 | |
WaMu Mortgage Pass-Through Certificates, Series 2005-AR9, Class A1A | | | | | |
| (LIBOR USD 1-Month plus 0.64%) | | | | | |
2.86% | | | 07/25/45 | 2 | | | 1,194,981 | | | | 1,205,281 | |
WaMu Mortgage Pass-Through Certificates, Series 2006-AR3, Class A1A | | | | | |
| (Federal Reserve US 12-Month Cumulative Average plus 1.00%) | | | | | |
2.84% | | | 02/25/46 | 2 | | | 7,593,627 | | | | 7,608,752 | |
WaMu Mortgage Pass-Through Certificates, Series 2006-AR4, Class 1A1A | | | | | |
| (Federal Reserve US 12-Month Cumulative | | | | | |
| Average plus 0.94%) | | | | | |
2.69% | | | 05/25/46 | 2 | | | 3,163,551 | | | | 3,191,022 | |
WaMu Mortgage Pass-Through Certificates, Series 2006-AR7, Class 2A | | | | | |
| (Federal Reserve US 12-Month Cumulative Average plus 0.98%) | | | | | |
2.82% | | | 07/25/46 | 2 | | | 6,373,760 | | | | 6,161,893 | |
WaMu Mortgage Pass-Through Certificates, Series 2007-HY3, Class 1A1 | | | | | |
3.14% | | | 03/25/37 | 6 | | | 3,058,322 | | | | 2,793,983 | |
WaMu Mortgage Pass-Through Certificates, Series 2007-OA5, Class 1A | | | | | |
| (Federal Reserve US 12-Month Cumulative Average plus 0.75%) | | | | | |
2.59% | | | 06/25/47 | 2 | | | 2,383,732 | | | | 2,288,730 | |
| Wells Fargo Alternative Loan Trust, Series 2007-PA5, Class 1A1 | | | | | |
6.25% | | | 11/25/37 | | | | 3,774,480 | | | | 3,695,574 | |
| Wells Fargo Home Equity Asset-Backed Securities, Series 2006-2, Class A4 | | | | | |
| (LIBOR USD 1-Month plus 0.25%) | | | | | |
2.47% | | | 07/25/36 | 2 | | | 1,726,107 | | | | 1,721,103 | |
| Wells Fargo Home Equity Asset-Backed Securities, Series 2007-1, Class A3 | | | | | |
| (LIBOR USD 1-Month plus 0.32%) | | | | | |
2.54% | | | 03/25/37 | 2 | | | 4,690,000 | | | | 3,854,479 | |
|
| See accompanying notes to Schedule of Portfolio Investments. |
|
| 187 / Semi-Annual Report September 2018 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | |
| Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR4, Class 1A1 | | | | | |
4.22% | | | 04/25/36 | 6 | | $ | 231,107 | | | $ | 221,229 | |
| Wells Fargo Mortgage-Backed Securities Trust, Series 2005-AR16, Class 7A1 | | | | | |
4.56% | | | 10/25/35 | 6 | | | 1,326,829 | | | | 1,309,066 | |
| Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR10, Class 5A2 | | | | | |
4.23% | | | 07/25/36 | 6 | | | 215,209 | | | | 218,919 | |
| Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR14, Class 2A1 | | | | | |
4.60% | | | 10/25/36 | 6 | | | 1,028,479 | | | | 1,026,626 | |
| Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR2, Class 2A1 | | | | | |
3.96% | | | 03/25/36 | 6 | | | 1,879,191 | | | | 1,916,568 | |
| Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR8, Class 3A2 | | | | | |
3.78% | | | 04/25/36 | 6 | | | 1,980,359 | | | | 1,979,907 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 785,293,589 | |
| | | | | | | | | | | | |
| U.S. Agency Commercial | | | | | |
| Mortgage-Backed — 6.95% | | | | | |
| Fannie Mae-Aces, Series 2003-M2, Class D | | | | | |
4.68% | | | 01/25/33 | 6 | | | 529,336 | | | | 535,168 | |
Fannie Mae-Aces, Series 2009-M2, Class X (IO) | | | | | |
1.58% | | | 01/25/19 | 6 | | | 16,118,374 | | | | 29,189 | |
Fannie Mae-Aces, Series 2010-M5, Class X (IO) | | | | | |
1.03% | | | 07/25/20 | 6 | | | 17,627,386 | | | | 265,344 | |
Fannie Mae-Aces, Series 2011-M5, Class X (IO) | | | | | |
1.12% | | | 07/25/21 | 6 | | | 64,377,376 | | | | 1,698,671 | |
Fannie Mae-Aces, Series 2012-M17, Class X2 (IO) | | | | | |
0.44% | | | 11/25/22 | 6 | | | 122,255,655 | | | | 1,483,572 | |
Fannie Mae-Aces, Series 2012-M2, Class X (IO) | | | | | |
0.78% | | | 02/25/22 | 6 | | | 70,178,035 | | | | 1,258,187 | |
Fannie Mae-Aces, Series 2012-M4, Class X1 (IO) | | | | | |
0.68% | | | 04/25/22 | 6 | | | 72,063,113 | | | | 1,046,522 | |
Fannie Mae-Aces, Series 2016-M11, Class X2 (IO) | | | | | |
2.73% | | | 07/25/39 | 6 | | | 85,261,769 | | | | 4,154,030 | |
Fannie Mae-Aces, Series 2016-M13, Class FA (IO) | | | | | |
| (LIBOR USD 1-Month plus 0.67%) | | | | | |
2.74% | | | 11/25/23 | 2 | | | 7,152,619 | | | | 7,208,857 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Commercial Mortgage-Backed (continued) | | | | | |
| Fannie Mae-Aces, Series 2016-M2, Class X3 (IO) | | | | | |
1.99% | | | 04/25/36 | 6 | | $ | 26,360,776 | | | $ | 1,240,854 | |
| Fannie Mae-Aces, Series 2016-M4, Class X2 (IO) | | | | | |
2.69% | | | 01/25/39 | 6 | | | 34,376,334 | | | | 2,865,439 | |
| Freddie Mac Multifamily Structured Pass Through Certificates, Series K157, Class A3 | | | | | |
3.99% | | | 08/25/33 | 6 | | | 9,550,000 | | | | 9,698,116 | |
| Freddie Mac Multifamily Structured Pass Through Certificates, Series KC02, Class A1 | | | | | |
3.25% | | | 02/25/25 | | | | 15,606,000 | | | | 15,567,584 | |
| Freddie Mac Multifamily Structured Pass Through Certificates, Series Q007, Class APT1 | | | | | |
3.00% | | | 10/25/47 | 6 | | | 12,900,000 | | | | 12,879,625 | |
| Freddie Mac Multifamily Structured Pass Through Certificates, Series Q007, Class APT2 | | | | | |
3.33% | | | 10/25/47 | 6 | | | 14,850,000 | | | | 14,864,456 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series K004, Class A2 | | | | | |
4.19% | | | 08/25/19 | | | | 3,055,000 | | | | 3,081,351 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series K004, Class AX1 (IO) | | | | | |
1.43% | | | 08/25/19 | 6 | | | 81,726,607 | | | | 749,784 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series K007, Class X1 (IO) | | | | | |
1.20% | | | 04/25/20 | 6 | | | 49,650,275 | | | | 619,079 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series K008, Class X3 (IO) | | | | | |
5.44% | | | 08/25/20 | 6 | | | 11,970,000 | | | | 1,027,862 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series K009, Class X2 (IO) | | | | | |
5.37% | | | 09/25/40 | 6 | | | 10,498,652 | | | | 963,545 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series K015, Class X3 (IO) | | | | | |
2.90% | | | 08/25/39 | 6 | | | 32,027,257 | | | | 2,409,764 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series K021, Class X3 (IO) | | | | | |
2.04% | | | 07/25/40 | 6 | | | 19,350,000 | | | | 1,346,176 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series K022, Class X3 (IO) | | | | | |
1.87% | | | 08/25/40 | 6 | | | 37,280,187 | | | | 2,418,179 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2018 / 188 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Commercial Mortgage-Backed (continued) | | | | | |
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K712, Class X3 (IO) | | | | | |
1.49% | | | 05/25/40 | 6 | | $ | 79,541,384 | | | $ | 1,329,705 | |
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K719, Class X1 (IO) | | | | | |
0.57% | | | 06/25/22 | 6 | | | 92,254,475 | | | | 952,527 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF09, Class A | | | | | |
| (LIBOR USD 1-Month plus 0.38%) | | | | | |
2.49% | | | 05/25/22 | 2 | | | 8,690,417 | | | | 8,702,414 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KF10, Class A | | | | | |
| (LIBOR USD 1-Month plus 0.38%) | | | | | |
2.49% | | | 07/25/22 | 2 | | | 8,385,558 | | | | 8,409,376 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KGRP, Class A | | | | | |
| (LIBOR USD 1-Month plus 0.38%) | | | | | |
2.49% | | | 04/25/20 | 2 | | | 11,515,155 | | | | 11,532,991 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KJ04, Class A1 | | | | | |
1.38% | | | 10/25/20 | | | | 2,381,810 | | | | 2,371,678 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KJ05, Class A1 | | | | | |
1.42% | | | 05/25/21 | | | | 10,966,735 | | | | 10,800,805 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KJ18, Class A1 | | | | | |
2.46% | | | 03/25/22 | | | | 7,816,847 | | | | 7,647,729 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KJ20, Class A1 | | | | | |
3.21% | | | 10/25/24 | | | | 4,527,539 | | | | 4,519,826 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KP01, Class X (IO) | | | | | |
3.94% | | | 01/25/19 | 6 | | | 579,037 | | | | 176 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KS07, Class X (IO) | | | | | |
0.78% | | | 09/25/25 | 6 | | | 104,500,000 | | | | 4,368,131 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series Q004, Class A2H | | | | | |
2.78% | | | 01/25/21 | 6 | | | 18,914,006 | | | | 18,904,588 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Commercial Mortgage-Backed (continued) | | | | | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series Q006, Class APT2 | | | | | |
2.49% | | | 09/25/26 | 6 | | $ | 15,395,366 | | | $ | 15,563,843 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series X3FX, Class A1FX | | | | | |
3.00% | | | 03/25/25 | | | | 3,999,205 | | | | 3,925,119 | |
Freddie Mac Multifamily Structured Pass-Through Certificates, Series X3FX, Class XFX (IO) | | | | | |
0.22% | | | 06/25/27 | 6 | | | 276,397,618 | | | | 2,510,312 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KC01, Class X1 (IO) | | | | | |
0.84% | | | 12/25/22 | 6 | | | 97,669,327 | | | | 1,745,654 | |
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series KS01, Class X1 (IO) | | | | | |
1.45% | | | 01/25/23 | 6 | | | 30,574,198 | | | | 1,164,868 | |
| Ginnie Mae, Series 2006-3, Class C | | | | | |
5.24% | | | 04/16/39 | 6 | | | 369,712 | | | | 369,893 | |
| Ginnie Mae, Series 2011-152, Class IO | | | | | |
0.36% | | | 08/16/51 | 6 | | | 15,698,789 | | | | 200,709 | |
| Ginnie Mae, Series 2011-86, Class B | | | | | |
3.00% | | | 02/16/41 | | | | 2,053,688 | | | | 2,050,683 | |
| Ginnie Mae, Series 2012-112, Class IO | | | | | |
0.28% | | | 02/16/53 | 6 | | | 64,718,751 | | | | 1,305,507 | |
| Ginnie Mae, Series 2012-78, Class IO | | | | | |
0.49% | | | 06/16/52 | 6 | | | 92,940,922 | | | | 2,012,775 | |
| Ginnie Mae, Series 2014-103, Class IO (IO) | | | | | |
0.62% | | | 05/16/55 | 6 | | | 42,894,029 | | | | 1,494,192 | |
| Ginnie Mae, Series 2014-125, Class IO (IO) | | | | | |
0.97% | | | 11/16/54 | 6 | | | 41,566,659 | | | | 2,666,393 | |
| Ginnie Mae, Series 2016-22, Class IX | | | | | |
1.29% | | | 06/16/38 | 6 | | | 5,508,090 | | | | 1,170,724 | |
| Ginnie Mae, Series 2017-105, Class IO | | | | | |
0.74% | | | 05/16/59 | 6 | | | 24,717,487 | | | | 1,850,257 | |
| Ginnie Mae, Series 2017-142, Class IO | | | | | |
0.82% | | | 11/16/59 | 6 | | | 56,158,316 | | | | 4,256,435 | |
| Ginnie Mae, Series 2017-148, Class IO | | | | | |
0.66% | | | 07/16/59 | 6 | | | 37,167,347 | | | | 2,258,106 | |
| Ginnie Mae, Series 2017-44, Class IO | | | | | |
0.70% | | | 04/17/51 | 6 | | | 26,452,903 | | | | 1,623,401 | |
| Ginnie Mae, Series 2018-56, Class IO | | | | | |
0.63% | | | 11/16/59 | 6 | | | 55,411,812 | | | | 3,198,226 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 216,318,397 | |
| | | | | | | | | | | | |
| U.S. Agency Mortgage-Backed — 5.37% | | | | | |
| Fannie Mae Pool 464814 | | | | | |
4.43% | | | 04/01/20 | | | | 2,795,255 | | | | 2,849,215 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| 189 / Semi-Annual Report September 2018 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed (continued) | | | | | |
| Fannie Mae Pool 469853 | | | | | |
3.32% | | | 12/01/21 | | | $ | 17,518,864 | | | $ | 17,666,385 | |
| Fannie Mae Pool 471474 | | | | | |
2.61% | | | 05/01/19 | | | | 3,190,000 | | | | 3,180,958 | |
| Fannie Mae Pool AD0852 | | | | | |
4.28% | | | 01/01/20 | | | | 8,847,628 | | | | 8,950,994 | |
| Fannie Mae Pool AE0134 | | | | | |
4.40% | | | 02/01/20 | | | | 98,167 | | | | 99,589 | |
| Fannie Mae Pool AL5584 | | | | | |
4.42% | | | 12/01/20 | | | | 2,497,972 | | | | 2,554,511 | |
| Fannie Mae Pool AN0026 | | | | | |
3.48% | | | 11/01/35 | | | | 3,659,779 | | | | 3,522,171 | |
| Fannie Mae Pool AN0564 | | | | | |
3.20% | | | 03/01/31 | | | | 7,500,000 | | | | 7,183,264 | |
| Fannie Mae Pool AN0971 | | | | | |
3.11% | | | 02/01/28 | | | | 7,535,000 | | | | 7,302,092 | |
| Fannie Mae Pool AN0976 | | | | | |
3.26% | | | 02/01/28 | | | | 2,970,000 | | | | 2,912,619 | |
| Fannie Mae Pool AN1151 | | | | | |
3.20% | | | 03/01/31 | | | | 3,659,967 | | | | 3,483,210 | |
| Fannie Mae Pool AN2799 | | | | | |
2.21% | | | 09/01/26 | | | | 12,655,000 | | | | 11,477,142 | |
| Fannie Mae Pool AN3516 | | | | | |
| (LIBOR USD 1-Month plus 0.65%) | | | | | |
2.76% | | | 11/01/26 | 2 | | | 17,245,000 | | | | 17,300,435 | |
| Fannie Mae Pool AN3597 | | | | | |
| (LIBOR USD 1-Month plus 0.64%) | | | | | |
2.75% | | | 11/01/26 | 2 | | | 15,000,000 | | | | 14,984,558 | |
| Fannie Mae Pool AN6168 | | | | | |
3.13% | | | 07/01/32 | | | | 5,800,000 | | | | 5,393,913 | |
| Fannie Mae Pool AN9163 | | | | | |
3.49% | | | 05/01/30 | | | | 11,124,000 | | | | 10,925,858 | |
| Fannie Mae Pool AN9572 | | | | | |
3.77% | | | 07/01/30 | | | | 6,384,000 | | | | 6,439,993 | |
| Fannie Mae Pool AN9612 | | | | | |
3.72% | | | 07/01/33 | | | | 4,059,000 | | | | 4,009,938 | |
| Fannie Mae REMICS, Series 2006-11, Class PS | | | | | |
| LIBOR USD 1-Month | | | | | |
16.44% | | | 03/25/36 | 2 | | | 24,521 | | | | 34,265 | |
Fannie Mae REMICS, Series 2006-8, Class HJ (IO) | | | | | |
4.38% | | | 03/25/36 | 2 | | | 1,334,285 | | | | 191,133 | |
Fannie Mae REMICS, Series 2007-52, Class LS (IO) | | | | | |
3.83% | | | 06/25/37 | 2 | | | 53,551 | | | | 4,969 | |
Fannie Mae REMICS, Series 2007-77, Class SK (IO) | | | | | |
3.65% | | | 08/25/37 | 2 | | | 97,134 | | | | 11,075 | |
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed (continued) | | | | | |
Fannie Mae REMICS, Series 2007-88, Class JI (IO) | | | | | |
4.23% | | | 04/25/37 | 2 | | $ | 1,328,374 | | | $ | 212,070 | |
Fannie Mae REMICS, Series 2008-18, Class SM (IO) | | | | | |
4.78% | | | 03/25/38 | 2 | | | 66,332 | | | | 7,065 | |
Fannie Mae REMICS, Series 2008-62, Class SN (IO) | | | | | |
3.98% | | | 07/25/38 | 2 | | | 259,620 | | | | 34,809 | |
Fannie Mae REMICS, Series 2010-116, Class SE (IO) | | | | | |
4.38% | | | 10/25/40 | 2 | | | 77,566 | | | | 10,441 | |
Fannie Mae REMICS, Series 2014-49, Class CF (IO) | | | | | |
| (LIBOR USD 1-Month plus 1.00%) | | | | | |
3.26% | | | 07/25/43 | 2 | | | 14,521,503 | | | | 14,878,503 | |
| Federal Home Loan Bank | | | | | |
4.05%9 | | | 09/21/33 | | | | 15,655,000 | | | | 15,632,222 | |
| Freddie Mac REMICS, Series 2711, Class FA | | | | | |
| (LIBOR USD 1-Month plus 1.00%) | | | | | |
3.16% | | | 11/15/33 | 2 | | | 89,147 | | | | 91,371 | |
| Freddie Mac REMICS, Series 2733, Class FB | | | | | |
| (LIBOR USD 1-Month plus 0.60%) | | | | | |
2.76% | | | 10/15/33 | 2 | | | 371,765 | | | | 376,493 | |
| Freddie Mac REMICS, Series 3339, Class JS | | | | | |
| LIBOR USD 1-Month | | | | | |
28.81% | | | 07/15/37 | 2 | | | 18,170 | | | | 31,146 | |
Freddie Mac REMICS, Series 3404, Class AS (IO) | | | | | |
3.74% | | | 01/15/38 | 2 | | | 80,157 | | | | 10,045 | |
Freddie Mac REMICS, Series 3439, Class SC (IO) | | | | | |
3.74% | | | 04/15/38 | 2 | | | 58,965 | | | | 7,169 | |
| Freddie Mac REMICS, Series 3828, Class TF | | | | | |
| (LIBOR USD 1-Month plus 0.40%) | | | | | |
2.56% | | | 04/15/29 | 2 | | | 28,604 | | | | 28,630 | |
| Freddie Mac REMICS, Series 3885, Class PO (PO) | | | | | |
0.00% | | | 11/15/33 | 10 | | | 27,810 | | | | 24,133 | |
Freddie Mac REMICS, Series 4030, Class HS (IO) | | | | | |
| LIBOR USD 1-Month | | | | | |
4.45% | | | 04/15/42 | 2 | | | 185,121 | | | | 29,125 | |
| Freddie Mac REMICS, Series 4638, Class UF | | | | | |
| (LIBOR USD 1-Month plus 1.00%) | | | | | |
3.26% | | | 09/15/44 | 2 | | | 4,734,503 | | | | 4,765,602 | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2018 / 190 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
MORTGAGE-BACKED (continued) | | | | | |
U.S. Agency Mortgage-Backed (continued) | | | | | |
| Ginnie Mae, Series 2011-146, Class EI (IO) | | | | | |
5.00% | | | 11/16/41 | | | $ | 144,964 | | | $ | 30,256 | |
| Ginnie Mae, Series 2011-69, Class GI (IO) | | | | | |
5.00% | | | 05/16/40 | | | | 209,384 | | | | 16,214 | |
| Ginnie Mae, Series 2011-70, Class IL (IO) | | | | | |
| (LIBOR USD 1-Month plus 7.10%) | | | | | |
0.60% | | | 06/16/37 | 2 | | | 875,655 | | | | 16,844 | |
| Ginnie Mae, Series 2011-81, Class IC (IO) | | | | | |
0.62% | | | 07/20/35 | 2 | | | 1,166,439 | | | | 23,507 | |
| Ginnie Mae, Series 2012-7, Class PI (IO) | | | | | |
3.50% | | | 01/20/38 | | | | 48,159 | | | | 1,465 | |
Ginnie Mae, Series 2013-135,
Class CS (IO) | | | | | |
4.04% | | | 09/16/43 | 2 | | | 3,537,737 | | | | 455,606 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 167,161,003 | |
| | | | | | | | | | | | |
| |
Total Mortgage-Backed
(Cost $1,414,246,138) | | | | 1,400,875,169 | |
| | | | | | | | | | | | |
| MUNICIPAL BONDS — 0.63%* | | | | | |
| California — 0.30% | | | | | |
| Los Angeles Department of Water & Power, Build America Bonds, Series SY | | | | | |
6.01% | | | 07/01/39 | | | | 1,950,000 | | | | 2,359,129 | |
| State of California, Build America Bonds | | | | | |
7.95% | | | 03/01/36 | | | | 6,650,000 | | | | 7,090,163 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 9,449,292 | |
| | | | | | | | | | | | |
| New York — 0.33% | | | | | |
| City of New York, Build America Bonds, Series F1 | | | | | |
6.65% | | | 12/01/31 | | | | 3,000,000 | | | | 3,195,150 | |
| City of New York, General Purpose, Public Improvements, Series B-3 | | | | | |
3.05% | | | 10/01/29 | | | | 2,000,000 | | | | 1,852,380 | |
| New York City Municipal Water Finance Authority, Build America Bonds, Series SE | | | | | |
6.49% | | | 06/15/42 | | | | 1,650,000 | | | | 1,734,925 | |
| New York State Dormitory Authority, Build America Bonds | | | | | |
5.29% | | | 03/15/33 | | | | 3,100,000 | | | | 3,503,589 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 10,286,044 | |
| | | | | | | | | | | | |
| |
Total Municipal Bonds
(Cost $20,119,582) | | | | 19,735,336 | |
| | | | | | | | | | | | |
| |
Total Bonds – 97.33%
(Cost $3,054,367,488) | | | | 3,031,295,395 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Issues | | | | | Shares | | | Value | |
COMMON STOCK — 0.03% | | | | | |
Electric — 0.03% | | | | | |
| Homer City Holdings LLC1,4,5,7 | | | | 112,222 | | | | 953,887 | |
| | | | | | | | | | | | |
| |
Total Common Stock
(Cost $5,519,754) | | | | 953,887 | |
| | | | | | | | | | | | |
| | | | | | | | | | |
| Issues | | Maturity
Date | | | Principal
Amount/
Shares | | | Value | |
| SHORT-TERM INVESTMENTS — 2.81% | | | | | |
| Money Market Funds — 0.98% | | | | | |
| Fidelity Investments Money Market Funds - Government Portfolio | | | | | |
1.99%11,12 | | | | | | | 1 | | | | 1 | |
| Morgan Stanley Institutional Liquidity Funds-Government Portfolio | | | | | |
2.04%11 | | | | | | | 30,549,000 | | | | 30,549,000 | |
| | | | | | | | | | | | |
| | | |
| | | | | | | | | | | 30,549,001 | |
| | | | | | | | | | | | |
| U.S. Agency Discount Notes — 1.76% | | | | | |
| Federal Home Loan Bank | | | | | |
1.85%9 | | | 10/29/18 | | | $ | 55,000,000 | | | | 54,910,185 | |
| | | | | | | | | | | | |
| |
| U.S. Treasury Bills — 0.07% | | | | | |
| U.S. Treasury Bills | | | | | |
2.05%9 | | | 12/13/18 | 13 | | | 2,066,000 | | | | 2,057,113 | |
| | | | | | | | | | | | |
| |
Total Short-Term Investments
(Cost $87,519,996) | | | | 87,516,299 | |
| | | | | | | | | | | | |
| |
Total Investments – 100.17%
(Cost $3,147,407,238) | | | | 3,119,765,581 | |
| | | | | | | | | | | | |
| |
Liabilities in Excess of Other
Assets – (0.17)% | | | | (5,150,716 | ) |
| | | | | | | | | | | | |
| |
| Net Assets – 100.00% | | | $ | 3,114,614,865 | |
| | | | | | | | | | | | |
| 1 | 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. |
| 2 | Floating rate security. The rate disclosed was in effect at September 30, 2018. |
| 3 | U.S. dollar-denominated security issued by foreign-domiciled entity. |
| 4 | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
| 5 | Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $6,649,711, which is 0.21% of total net assets. |
| 6 | Variable rate security. Interest rate disclosed is as of the most recent information available. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. |
| 7 | Non-income producing security. |
| 8 | Security is currently in default with regard to scheduled interest or principal payments. |
| 9 | Represents annualized yield at date of purchase. |
| 10 | Zero coupon bond. The rate shown is the effective yield as of September 30, 2018. |
| 11 | Represents the current yield as of September 30, 2018. |
See accompanying notes to Schedule of Portfolio Investments.
|
| 191 / Semi-Annual Report September 2018 |
Unconstrained Bond Fund
Schedule of Portfolio Investments
September 30, 2018 (Unaudited)
| 12 | Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $1. |
| 13 | Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $2,057,054. |
| † | Fair valued security. The aggregate value of fair valued securities is $2,092,996, which is 0.10% of total net assets. These securities were not valued utilizing an independent quote but 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
(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
(PO): Principal only
(STEP): Step coupon bond
(USD): U.S. dollar
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Number
of Contracts | | Expiration Date | | Notional Amount | | Value | | Unrealized
Appreciation/
(Depreciation) |
FUTURES CONTRACTS: LONG POSITIONS | | | | | | | | | | | | | | | | | | | | | | | | | |
U.S. Treasury Five Year Note | | | | 2,034 | | | | | 12/31/18 | | | | $ | 228,777,328 | | | | $ | (1,610,506 | ) | | | $ | (1,610,506 | ) |
FUTURES CONTRACTS: SHORT POSITIONS | | | | | | | | | | | | | | | | | | | | | | | | | |
U.S. Treasury Ten Year Ultra Bond | | | | 698 | | | | | 12/19/18 | | | | | (87,948,000 | ) | | | | 798,161 | | | | | 798,161 | |
U.S. Treasury Ultra Bond | | | | 354 | | | | | 12/19/18 | | | | | (54,615,563 | ) | | | | 2,003,050 | | | | | 2,003,050 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | (142,563,563 | ) | | | | 2,801,211 | | | | | 2,801,211 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
TOTAL FUTURES CONTRACTS | | | | | | | | | | | | | $ | 86,213,765 | | | | $ | 1,190,705 | | | | $ | 1,190,705 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying notes to Schedule of Portfolio Investments.
|
| Semi-Annual Report September 2018 / 192 |
Metropolitan West Funds
Statements of Assets and Liabilities
September 30, 2018 (Unaudited)
| | | | | | | | | | |
ASSETS: | | ALPHATRAK
500 FUND | | CORPORATE BOND
FUND |
| | |
Investments, at value - Unaffiliated (Cost $18,476,286, $2,027,544, $286,981,395, $528,439,556, and $725,117,452, respectively) (Note 2) | | | $ | 18,429,383 | | | | $ | 2,033,381 | |
Cash and cash equivalents (Note 2) | | | | 83,838 | | | | | 20,459 | |
Premiums paid for swap contracts | | | | — | | | | | — | |
Unrealized appreciation on foreign currency exchange contracts | | | | — | | | | | — | |
Dividends and interest receivable | | | | 91,689 | | | | | 26,381 | |
Due from Adviser (Note 6) | | | | 1,252 | | | | | 19,279 | |
Net unrealized appreciation on unfunded commitments (Note 8) | | | | — | | | | | — | |
Receivable for securities sold | | | | — | | | | | — | |
Receivable for capital stock sold | | | | 13,107 | | | | | — | |
Receivable for daily variation margin on futures contracts (Note 3) | | | | — | | | | | 156 | |
Other assets | | | | 8,971 | | | | | — | |
| | | | | | | | | | |
Total assets | | | | 18,628,240 | | | | | 2,099,656 | |
| | | | | | | | | | |
| | | | | | | | | | |
Liabilities: | | | | | | | | | | |
Unrealized depreciation on foreign currency transactions | | | | — | | | | | — | |
Unrealized depreciation on swap contracts | | | | — | | | | | — | |
Payable for securities purchased | | | | 36,990 | | | | | 21,281 | |
Payable for terminated swaps (Note 3) | | | | — | | | | | — | |
Payable for capital stock redeemed | | | | 76,737 | | | | | — | |
Payable for daily variation margin on futures contracts (Note 3) | | | | 5,490 | | | | | — | |
Line of credit commitment fee payable | | | | — | | | | | 2 | |
Distributions payable | | | | 399 | | | | | — | |
Administrative fees payable | | | | 15,278 | | | | | 15,024 | |
Advisory fees payable (Note 6) | | | | 107 | | | | | 667 | |
Audit fees payable | | | | 21,318 | | | | | 5,310 | |
Transfer agent fees payable | | | | 2,165 | | | | | 3,186 | |
Legal fees payable | | | | 14 | | | | | 8,332 | |
Custodian fees payable | | | | 4,300 | | | | | 4,500 | |
Accrued trustees fees and expenses | | | | 68 | | | | | 7 | |
Accrued distribution (12b-1) and service fees payable | | | | — | | | | | 155 | |
Accrued other expenses | | | | 4,080 | | | | | 5,888 | |
| | | | | | | | | | |
Total liabilities | | | | 166,946 | | | | | 64,352 | |
| | | | | | | | | | |
Net assets | | | $ | 18,461,294 | | | | $ | 2,035,304 | |
| | | | | | | | | | |
| | | | | | | | | | |
Class M Shares: | | | | | | | | | | |
Net assets (Applicable to 1,684,665, 75,389, 2,055,734, 19,119,187, and 4,208,250, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value) | | | $ | 18,461,294 | | | | $ | 757,856 | |
| | | | | | | | | | |
Net asset value, offering and redemption price per Class M share | | | $ | 10.96 | | | | $ | 10.05 | |
| | | | | | | | | | |
| | | | | | | | | | |
Class I Shares: | | | | | | | | | | |
Net assets (Applicable to 0, 127,077, 25,577,228, 32,333,203, and 63,077,273, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value) | | | | N/A | | | | $ | 1,277,448 | |
| | | | | | | | | | |
Net asset value, offering and redemption price per Class I share | | | | N/A | | | | $ | 10.05 | |
| | | | | | | | | | |
| | | | | | | | | | |
Net Assets Consist of: | | | | | | | | | | |
Capital paid-in (Note 8) | | | $ | 29,468,711 | | | | $ | 2,024,860 | |
Undistributed (distributions in excess of) net investment income | | | | 28,840 | | | | | (52 | ) |
Accumulated undistributed net realized gain/(loss) on investments, futures contracts, foreign currency exchange contracts, foreign currency transactions, options written and swap contracts | | | | (11,222,455 | ) | | | | 7,097 | |
Net unrealized appreciation/(depreciation) on investments | | | | (46,903 | ) | | | | 5,837 | |
Net unrealized appreciation/(depreciation) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options written and swap contracts | | | | 233,101 | | | | | (2,438 | ) |
| | | | | | | | | | |
Net assets | | | $ | 18,461,294 | | | | $ | 2,035,304 | |
| | | | | | | | | | |
| 1 | Consolidated Statement of Assets and Liabilities. |
|
| See accompanying notes to financial statements. |
|
| 193 / Semi-Annual Report September 2018 |
Metropolitan West Funds
Statements of Assets and Liabilities
September 30, 2018 (Unaudited)
| | | | | | | | | | | | | | | | | | |
| | | FLOATING RATE
INCOME FUND | | HIGH YIELD
BOND FUND1 | | INTERMEDIATE
BOND FUND |
| | | | | | | $ | 287,778,911 | | | | $ | 500,094,572 | | | | $ | 720,311,479 | |
| | | | | | | | 1,954,248 | | | | | 703,653 | | | | | 330,879 | |
| | | | | | | | – | | | | | 66,445 | | | | | — | |
| | | | | | | | 174,271 | | | | | — | | | | | 141,442 | |
| | | | | | | | 548,603 | | | | | 5,197,296 | | | | | 3,933,584 | |
| | | | | | | | 2,223 | | | | | 22,176 | | | | | — | |
| | | | | | | | 2,971 | | | | | — | | | | | — | |
| | | | | | | | 2,213,750 | | | | | 10,824,985 | | | | | 4,199,568 | |
| | | | | | | | 153,436 | | | | | 79,129 | | | | | 639,161 | |
| | | | | | | | – | | | | | 41,889 | | | | | 58,352 | |
| | | | | | | | 25,721 | | | | | 23,493 | | | | | 31,706 | |
| | | | | | | | | | | | | | | | | | | |
| | | | | | | | 292,854,134 | | | | | 517,053,638 | | | | | 729,646,171 | |
| | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | |
| | | | | | | | – | | | | | — | | | | | 2,936 | |
| | | | | | | | – | | | | | 146,633 | | | | | — | |
| | | | | | | | 14,812,531 | | | | | 24,862,793 | | | | | 49,707,033 | |
| | | | | | | | – | | | | | — | | | | | — | |
| | | | | | | | 102,844 | | | | | 1,216,194 | | | | | 382,627 | |
| | | | | | | | – | | | | | 1,123 | | | | | 47,145 | |
| | | | | | | | 390 | | | | | 941 | | | | | 1,441 | |
| | | | | | | | 14,833 | | | | | 75,024 | | | | | 28,625 | |
| | | | | | | | 29,432 | | | | | 26,403 | | | | | 40,586 | |
| | | | | | | | 124,232 | | | | | 203,406 | | | | | 210,665 | |
| | | | | | | | – | | | | | 22,836 | | | | | 25,822 | |
| | | | | | | | 27,456 | | | | | 131,318 | | | | | 247,383 | |
| | | | | | | | 158 | | | | | — | | | | | 794 | |
| | | | | | | | 7,108 | | | | | 9,242 | | | | | 15,889 | |
| | | | | | | | 963 | | | | | 2,172 | | | | | 2,918 | |
| | | | | | | | 4,205 | | | | | 37,796 | | | | | 7,990 | |
| | | | | | | | 5,044 | | | | | 46,161 | | | | | 26,107 | |
| | | | | | | | | | | | | | | | | | | |
| | | | | | | | 15,129,196 | | | | | 26,782,042 | | | | | 50,747,961 | |
| | | | | | | | | | | | | | | | | | | |
| | | | | | | $ | 277,724,938 | | | | $ | 490,271,596 | | | | $ | 678,898,210 | |
| | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | |
| | | | | | | $ | 20,667,643 | | | | $ | 182,217,433 | | | | $ | 42,471,972 | |
| | | | | | | | | | | | | | | | | | | |
| | | | | | | $ | 10.05 | | | | $ | 9.53 | | | | $ | 10.09 | |
| | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | |
| | | | | | | $ | 257,057,295 | | | | $ | 308,054,163 | | | | $ | 636,426,238 | |
| | | | | | | | | | | | | | | | | | | |
| | | | | | | $ | 10.05 | | | | $ | 9.53 | | | | $ | 10.09 | |
| | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | |
| | | | | | | $ | 278,374,362 | | | | $ | 598,417,539 | | | | $ | 715,484,958 | |
| | | | | | | | 126,075 | | | | | 2,187,406 | | | | | 133,029 | |
| | | | | | | | (1,750,257 | ) | | | | (81,425,458 | ) | | | | (31,277,067 | ) |
| | | | | | | | 800,487 | | | | | (28,344,984 | ) | | | | (4,805,973 | ) |
| | | | | | | | 174,271 | | | | | (562,907 | ) | | | | (636,737 | ) |
| | | | | | | | | | | | | | | | | | | |
| | | | | | | $ | 277,724,938 | | | | $ | 490,271,596 | | | | $ | 678,898,210 | |
| | | | | | | | | | | | | | | | | | | |
See accompanying notes to financial statements.
|
| Semi-Annual Report September 2018 / 194 |
Metropolitan West Funds
Statements of Assets and Liabilities
September 30, 2018 (Unaudited)
| | | | | | | | | | |
ASSETS: | | INVESTMENT GRADE
CREDIT FUND | | LOW DURATION
BOND FUND |
Investments, at value - Unaffiliated (Cost $5,722,836, $2,412,545,684, $93,448,414, $79,452,647,087, $114,460,824, and $3,147,407,238, respectively) (Note 2) | | | $ | 5,755,390 | | | | $ | 2,406,482,236 | |
Cash and cash equivalents (Note 2) | | | | 20,245 | | | | | 181,380 | |
Cash on deposit with brokers for collateral on swaps (Note 2) | | | | — | | | | | — | |
Unrealized appreciation on foreign currency exchange contracts | | | | — | | | | | 1,933,865 | |
Dividends and interest receivable | | | | 50,761 | | | | | 11,769,695 | |
Due from Adviser (Note 6) | | | | 18,964 | | | | | 1,388 | |
Receivable for securities sold | | | | 50,942 | | | | | 2,263,021 | |
Receivable for capital stock sold | | | | — | | | | | 9,322,708 | |
Receivable for daily variation margin on futures contracts (Note 3) | | | | 676 | | | | | 343,784 | |
Other receivables | | | | — | | | | | — | |
Other assets | | | | — | | | | | 27,490 | |
| | | | | | | | | | |
Total assets | | | | 5,896,978 | | | | | 2,432,325,567 | |
| | | | | | | | | | |
| | | | | | | | | | |
Liabilities: | | | | | | | | | | |
Unrealized depreciation on foreign currency exchange contracts | | | | — | | | | | — | |
Unrealized depreciation on foreign currency transactions | | | | — | | | | | 2,779 | |
Options written, at value (Premiums received $0, $540,000, $0, $1,633,400, $0, and $0, respectively) (Note 3) | | | | — | | | | | 11,109 | |
Payable for securities purchased | | | | 269,386 | | | | | 54,979,490 | |
Payable for capital stock redeemed | | | | — | | | | | 5,852,128 | |
Payable for daily variation margin on futures contracts (Note 3) | | | | — | | | | | 162,133 | |
Line of credit commitment fee payable | | | | 2 | | | | | 4,014 | |
Distributions payable | | | | — | | | | | 133,496 | |
Administrative fees payable | | | | 15,024 | | | | | 56,968 | |
Advisory fees payable (Note 6) | | | | 1,266 | | | | | 586,360 | |
Audit fees payable | | | | 5,310 | | | | | 26,547 | |
Transfer agent fees payable | | | | 3,185 | | | | | 656,655 | |
Legal fees payable | | | | 8,332 | | | | | 2,032 | |
Custodian fees payable | | | | 4,500 | | | | | 28,680 | |
Accrued trustees fees and expenses | | | | 8 | | | | | 9,616 | |
Accrued distribution (12b-1) and service fees payable | | | | 155 | | | | | 119,037 | |
Accrued other expenses | | | | 5,889 | | | | | 66,080 | |
| | | | | | | | | | |
Total liabilities | | | | 313,057 | | | | | 62,697,124 | |
| | | | | | | | | | |
Net assets | | | $ | 5,583,921 | | | | $ | 2,369,628,443 | |
| | | | | | | | | | |
| | | | | | | | | | |
Class M Shares: | | | | | | | | | | |
Net assets (Applicable to 74,627, 88,425,177, 2,568,713, 993,993,270, 9,169,587, and 44,092,190, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value) | | | $ | 759,284 | | | | $ | 758,142,071 | |
| | | | | | | | | | |
Net asset value, offering and redemption price per Class M share | | | $ | 10.17 | | | | $ | 8.57 | |
| | | | | | | | | | |
| | | | | | | | | | |
Class I Shares: | | | | | | | | | | |
Net assets (Applicable to 474,194, 187,852,242, 8,986,385, 4,006,084,313, 17,069,657, and 221,027,176, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value) | | | $ | 4,824,637 | | | | $ | 1,611,118,753 | |
| | | | | | | | | | |
Net asset value, offering and redemption price per Class I share | | | $ | 10.17 | | | | $ | 8.58 | |
| | | | | | | | | | |
| | | | | | | | | | |
Administrative Class: | | | | | | | | | | |
Net assets (Applicable to 0, 33,181, 0, 89,728,385, 0, and 0, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value) | | | | N/A | | | | $ | 367,619 | |
| | | | | | | | | | |
Net asset value, offering and redemption price per Administrative Class share | | | | N/A | | | | $ | 11.08 | |
| | | | | | | | | | |
| | | | | | | | | | |
Plan Class: | | | | | | | | | | |
Net assets (Applicable to 0, 0, 0, 2,046,315,048, 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) | | | $ | 5,552,469 | | | | $ | 2,510,077,007 | |
Undistributed (distributions in excess of) net investment income | | | | 1,281 | | | | | (2,259,698 | ) |
Accumulated undistributed net realized gain/(loss) on investments, futures contracts, foreign currency exchange contracts, foreign currency transactions, options written and swap contracts | | | | 4,823 | | | | | (129,878,470 | ) |
Net unrealized appreciation/(depreciation) on investments | | | | 32,554 | | | | | (6,063,448 | ) |
Net unrealized appreciation/(depreciation) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options written and swap contracts | | | | (7,206 | ) | | | | (2,246,948 | ) |
| | | | | | | | | | |
Net assets | | | $ | 5,583,921 | | | | $ | 2,369,628,443 | |
| | | | | | | | | | |
|
| See accompanying notes to financial statements. |
|
| 195 / Semi-Annual Report September 2018 |
Metropolitan West Funds
Statements of Assets and Liabilities
September 30, 2018 (Unaudited)
| | | | | | | | | | | | | | | | | | | | | | | |
| | | STRATEGIC
INCOME FUND | | TOTAL RETURN
BOND FUND | | ULTRA SHORT
BOND FUND | | UNCONSTRAINED
BOND FUND |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | $ | 91,333,539 | | | | $ | 78,571,398,373 | | | | $ | 114,349,884 | | | | $ | 3,119,765,581 | |
| | | | | | | | 356,599 | | | | | 6,219,443 | | | | | 26,551 | | | | | 213,842 | |
| | | | | | | | — | | | | | 3,434,000 | | | | | — | | | | | — | |
| | | | | | | | — | | | | | 9,384,932 | | | | | — | | | | | — | |
| | | | | | | | 656,377 | | | | | 396,546,502 | | | | | 437,553 | | | | | 19,253,233 | |
| | | | | | | | — | | | | | — | | | | | 19,386 | | | | | — | |
| | | | | | | | 9,108 | | | | | 949,722,889 | | | | | — | | | | | 16,137,820 | |
| | | | | | | | 10,869 | | | | | 121,068,598 | | | | | 41,101 | | | | | 4,659,704 | |
| | | | | | | | — | | | | | 6,837,796 | | | | | 1,781 | | | | | 225,138 | |
| | | | | | | | — | | | | | — | | | | | — | | | | | — | |
| | | | | | | | 17,380 | | | | | 62,705 | | | | | 24,728 | | | | | 13,780 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | 92,383,872 | | | | | 80,064,675,238 | | | | | 114,900,984 | | | | | 3,160,269,098 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | — | | | | | 6,554 | | | | | — | | | | | — | |
| | | | | | | | — | | | | | 286,474 | | | | | — | | | | | — | |
| | | | |
| | | | | | | | — | | | | | 1,250,000 | | | | | — | | | | | — | |
| | | | | | | | 779,036 | | | | | 6,793,756,314 | | | | | 3,160,042 | | | | | 27,528,139 | |
| | | | | | | | 209,676 | | | | | 857,382,630 | | | | | 145,054 | | | | | 13,382,191 | |
| | | | | | | | 4,538 | | | | | 5,022,441 | | | | | — | | | | | 562 | |
| | | | | | | | 155 | | | | | 113,855 | | | | | 182 | | | | | 5,232 | |
| | | | | | | | 1,232 | | | | | 12,506,141 | | | | | 2,692 | | | | | 1,691,669 | |
| | | | | | | | 25,071 | | | | | 796,450 | | | | | 22,296 | | | | | 90,065 | |
| | | | | | | | 66,272 | | | | | 21,118,716 | | | | | 22,960 | | | | | 1,714,514 | |
| | | | | | | | 23,230 | | | | | 96,317 | | | | | 21,859 | | | | | — | |
| | | | | | | | 24,645 | | | | | 12,458,075 | | | | | 27,646 | | | | | 991,827 | |
| | | | | | | | 76 | | | | | 53,192 | | | | | 93 | | | | | 2,366 | |
| | | | | | | | 5,676 | | | | | 678,720 | | | | | 6,314 | | | | | 51,017 | |
| | | | | | | | 366 | | | | | 288,970 | | | | | 429 | | | | | 12,064 | |
| | | | | | | | 4,241 | | | | | 2,096,159 | | | | | 5,238 | | | | | 107,020 | |
| | | | | | | | 8,585 | | | | | 1,849,415 | | | | | 7,593 | | | | | 77,567 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | 1,152,799 | | | | | 7,709,760,423 | | | | | 3,422,398 | | | | | 45,654,233 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | $ | 91,231,073 | | | | $ | 72,354,914,815 | | | | $ | 111,478,586 | | | | $ | 3,114,614,865 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | |
| | | | | | | $ | 20,288,513 | | | | $ | 10,253,524,730 | | | | $ | 38,915,268 | | | | $ | 518,365,658 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | $ | 7.90 | | | | $ | 10.32 | | | | $ | 4.24 | | | | $ | 11.76 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | |
| | | | | | | $ | 70,942,560 | | | | $ | 41,314,078,857 | | | | $ | 72,563,318 | | | | $ | 2,596,249,207 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | $ | 7.89 | | | | $ | 10.31 | | | | $ | 4.25 | | | | $ | 11.75 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | |
| | | | | | | | N/A | | | | $ | 926,080,947 | | | | | N/A | | | | | N/A | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | N/A | | | | $ | 10.32 | | | | | N/A | | | | | N/A | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | |
| | | | | | | | N/A | | | | $ | 19,861,230,281 | | | | | N/A | | | | | N/A | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | N/A | | | | $ | 9.71 | | | | | N/A | | | | | N/A | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | $ | 134,166,930 | | | | $ | 75,390,990,068 | | | | $ | 127,295,323 | | | | $ | 3,146,677,789 | |
| | | | | | | | 541,167 | | | | | (11,050,800 | ) | | | | (102,950 | ) | | | | (2,292,413 | ) |
| | | | |
| | | | | | | | (41,402,477 | ) | | | | (2,080,360,676 | ) | | | | (15,576,446 | ) | | | | (3,319,559 | ) |
| | | | | | | | (2,114,875 | ) | | | | (881,248,714 | ) | | | | (110,940 | ) | | | | (27,641,657 | ) |
| | | | |
| | | | | | | | 40,328 | | | | | (63,415,063 | ) | | | | (26,401 | ) | | | | 1,190,705 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | $ | 91,231,073 | | | | $ | 72,354,914,815 | | | | $ | 111,478,586 | | | | $ | 3,114,614,865 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying notes to financial statements.
|
| Semi-Annual Report September 2018 / 196 |
Metropolitan West Funds
Statements of Operations
For the Six Months Ended September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| | | ALPHATRAK
500 FUND | | CORPORATE BOND FUND1 | | |
Investment Income: | | | | | | | | | | | | |
Interest | | | $ | 238,138 | | | | $ | 27,459 | | | |
Dividends | | | | 5,624 | | | | | 329 | | | |
| | | | | | | | | | | | |
Total investment income | | | | 243,762 | | | | | 27,788 | | | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Expenses: | | | | | | | | | | | | |
Investment advisory fees (Note 6) | | | | 262 | | | | | 2,010 | | | |
Administration fees | | | | 28,765 | | | | | 18,882 | | | |
Commitment fee | | | | — | | | | | 2 | | | |
Custodian fees | | | | 9,932 | | | | | 4,500 | | | |
Distribution (12b-1) and service fees - class specific (Note 7): | | | | | | | | | | | | |
Class M | | | | — | | | | | 468 | | | |
Miscellaneous expenses | | | | 3,654 | | | | | 2,380 | | | |
Professional fees | | | | 19,457 | | | | | 13,644 | | | |
Registration and filing fees | | | | 14,827 | | | | | 9,439 | | | |
Transfer agent fees | | | | 12,866 | | | | | 9,201 | | | |
Trustees’ fees and expenses | | | | 125 | | | | | 7 | | | |
| | | | | | | | | | | | |
Total operating expenses | | | | 89,888 | | | | | 60,533 | | | |
Expenses waived and reimbursed (Note 6) | | | | (8,023 | ) | | | | (57,553 | ) | | |
| | | | | | | | | | | | |
Net expenses | | | | 81,865 | | | | | 2,980 | | | |
| | | | | | | | | | | | |
Net investment income (loss) | | | | 161,897 | | | | | 24,808 | | | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Realized and Change in Unrealized Gain/(Loss) on Investments, Futures Contracts, Foreign Currency Exchange Contracts, Foreign Currency Transactions, Options and Swaptions Written and Swap Contracts: |
Net realized gain/(loss) on: | | | | | | | | | | | | |
Investments - Unaffiliated | | | | (24,496 | ) | | | | 6,805 | | | |
Futures contracts | | | | 449,373 | | | | | 292 | | | |
Foreign currency exchange contracts | | | | (15,903 | ) | | | | — | | | |
Foreign currency transactions | | | | — | | | | | — | | | |
Swap contracts | | | | — | | | | | — | | | |
| | | |
Net change in unrealized appreciation/(depreciation) on: | | | | | | | | | | | | |
Investments - Unaffiliated | | | | 38,286 | | | | | 5,837 | | | |
Futures contracts | | | | 1,227,635 | | | | | (2,438 | ) | | |
Foreign currency exchange contracts | | | | 15,903 | | | | | — | | | |
Foreign currency transactions | | | | — | | | | | — | | | |
Swap contracts | | | | — | | | | | — | | | |
| | | | | | | | | | | | |
| | | |
Net change in realized and unrealized gain/(loss) on investments, futures contracts, foreign currency exchange contracts, options and swaptions written and swap contracts | | | | 1,690,798 | | | | | 10,496 | | | |
| | | | | | | | | | | | |
Net Increase/(Decrease) in Net Assets from Operations | | | $ | 1,852,695 | | | | $ | 35,304 | | | |
| | | | | | | | | | | | |
| 1 | Commencement of operations was June 29, 2018. |
| 2 | Consolidated Statement of Operations. |
|
| See accompanying notes to financial statements. |
|
| 197 / Semi-Annual Report September 2018 |
Metropolitan West Funds
Statements of Operations
For the Six Months Ended September 30, 2018 (Unaudited)
| | | | | | | | | | | | | | | | | | | | | | | |
| | | FLOATING RATE
INCOME FUND | | HIGH YIELD
BOND FUND2 | | INTERMEDIATE
BOND FUND | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | $ | 6,437,778 | | | | $ | 13,754,996 | | | | $ | 11,216,417 | | | | | | |
| | | | | | | | 45,587 | | | | | 95,843 | | | | | 174,567 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | 6,483,365 | | | | | 13,850,839 | | | | | 11,390,984 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | 718,787 | | | | | 1,370,982 | | | | | 1,311,113 | | | | | | |
| | | | | | | | 67,018 | | | | | 59,921 | | | | | 68,579 | | | | | | |
| | | | | | | | 831 | | | | | 1,763 | | | | | 2,572 | | | | | | |
| | | | | | | | 12,576 | | | | | 16,477 | | | | | 28,091 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | 22,419 | | | | | 247,467 | | | | | 51,052 | | | | | | |
| | | | | | | | 7,436 | | | | | 45,877 | | | | | 32,434 | | | | | | |
| | | | | | | | 20,295 | | | | | 22,927 | | | | | 25,728 | | | | | | |
| | | | | | | | 31,977 | | | | | 34,248 | | | | | 34,185 | | | | | | |
| | | | | | | | 69,638 | | | | | 258,057 | | | | | 356,942 | | | | | | |
| | | | | | | | 1,756 | | | | | 4,050 | | | | | 5,402 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | 952,733 | | | | | 2,061,769 | | | | | 1,916,098 | | | | | | |
| | | | | | | | (19,980 | ) | | | | (150,049 | ) | | | | (29,488 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | 932,753 | | | | | 1,911,720 | | | | | 1,886,610 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | 5,550,612 | | | | | 11,939,119 | | | | | 9,504,374 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | (1,027,198 | ) | | | | (1,425,650 | ) | | | | (4,665,743 | ) | | | | | |
| | | | | | | | – | | | | | (340,734 | ) | | | | (1,037,911 | ) | | | | | |
| | | | | | | | 329,126 | | | | | — | | | | | 291,498 | | | | | | |
| | | | | | | | (24,566 | ) | | | | — | | | | | (1,751 | ) | | | | | |
| | | | | | | | – | | | | | (171,921 | ) | | | | — | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | 533,734 | | | | | 579,556 | | | | | (2,974,689 | ) | | | | | |
| | | | | | | | – | | | | | (459,936 | ) | | | | (959,811 | ) | | | | | |
| | | | | | | | 174,271 | | | | | — | | | | | 334,266 | | | | | | |
| | | | | | | | – | | | | | — | | | | | (3,540 | ) | | | | | |
| | | | | | | | – | | | | | 161,894 | | | | | — | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | (14,633 | ) | | | | (1,656,791 | ) | | | | (9,017,681 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | $ | 5,535,979 | | | | $ | 10,282,328 | | | | $ | 486,693 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying notes to financial statements.
|
| Semi-Annual Report September 2018 / 198 |
Metropolitan West Funds
Statements of Operations
For the Six Months Ended September 30, 2018 (Unaudited)
| | | | | | | | | | | | |
| | | INVESTMENT GRADE
CREDIT FUND1 | | LOW DURATION
BOND FUND | | |
Investment Income: | | | | | | | | | | | | |
Interest | | | $ | 57,208 | | | | $ | 33,569,595 | | | |
Dividends | | | | 364 | | | | | 454,547 | | | |
| | | | | | | | | | | | |
Total investment income | | | | 57,572 | | | | | 34,024,142 | | | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Expenses: | | | | | | | | | | | | |
Investment advisory fees (Note 6) | | | | 2,451 | | | | | 3,718,604 | | | |
Administration fees | | | | 18,882 | | | | | 120,543 | | | |
Commitment fee | | | | 2 | | | | | 8,008 | | | |
Custodian fees | | | | 4,500 | | | | | 49,920 | | | |
Distribution (12b-1) and service fees - class specific (Note 7): | | | | | | | | | | | | |
Class M | | | | 465 | | | | | 796,812 | | | |
Administrative Class | | | | — | | | | | 4,425 | | | |
Interest expense (Note 3) | | | | — | | | | | — | | | |
Miscellaneous expenses | | | | 2,381 | | | | | 90,599 | | | |
Professional fees | | | | 13,644 | | | | | 29,960 | | | |
Registration and filing fees | | | | 9,439 | | | | | 56,301 | | | |
Transfer agent fees | | | | 9,201 | | | | | 1,219,225 | | | |
Trustees’ fees and expenses | | | | 7 | | | | | 17,763 | | | |
Repayment of reimbursed expenses - Class I (Note 6) | | | | — | | | | | — | | | |
| | | | | | | | | | | | |
Total operating expenses | | | | 60,972 | | | | | 6,112,160 | | | |
Expenses waived and reimbursed (Note 6) | | | | (57,150 | ) | | | | (56,700 | ) | | |
| | | | | | | | | | | | |
Net expenses | | | | 3,822 | | | | | 6,055,460 | | | |
| | | | | | | | | | | | |
Net investment income | | | | 53,750 | | | | | 27,968,682 | | | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
Realized and Change in Unrealized Gain/(Loss) on Investments, Futures Contracts, Foreign Currency Exchange Contracts, Foreign Currency Transactions and Options and Swaptions Written: | | | | | | | | |
Net realized gain/(loss) on: | | | | | | | | | | | | |
Investments - Unaffiliated | | | | 8,125 | | | | | (5,380,622 | ) | | |
Futures contracts | | | | (3,302 | ) | | | | (3,468,369 | ) | | |
Foreign currency exchange contracts | | | | — | | | | | — | | | |
Foreign currency transactions | | | | — | | | | | (49,783 | ) | | |
Options and swaptions written | | | | — | | | | | — | | | |
| | | |
Net change in unrealized appreciation/(depreciation) on: | | | | | | | | | | | | |
Investments - Unaffiliated | | | | 32,554 | | | | | (5,390,624 | ) | | |
Futures contracts | | | | (7,206 | ) | | | | (5,177,711 | ) | | |
Foreign currency exchange contracts | | | | — | | | | | 1,933,865 | | | |
Foreign currency transactions | | | | — | | | | | (4,349 | ) | | |
Options and swaptions written | | | | — | | | | | 4,110 | | | |
| | | | | | | | | | | | |
| | | |
Net change in realized and unrealized gain/(loss) on investments, futures contracts, foreign currency exchange contracts and options and swaptions written | | | | 30,171 | | | | | (17,533,483 | ) | | |
| | | | | | | | | | | | |
Net Increase/(Decrease) in Net Assets from Operations | | | $ | 83,921 | | | | $ | 10,435,199 | | | |
| | | | | | | | | | | | |
| 1 | Commencement of operations was June 29, 2018. |
|
| See accompanying notes to financial statements. |
|
| 199 / Semi-Annual Report September 2018 |
Metropolitan West Funds
Statements of Operations
For the Six Months Ended September 30, 2018 (Unaudited)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | STRATEGIC
INCOME FUND | | TOTAL RETURN
BOND FUND | | ULTRA SHORT
BOND FUND | | UNCONSTRAINED
BOND FUND | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | $ | 2,805,014 | | | | $ | 1,218,790,288 | | | | $ | 1,288,270 | | | | $ | 69,371,785 | | | | | | |
| | | | | | | | 8,090 | | | | | 7,849,099 | | | | | 22,832 | | | | | 363,596 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | 2,813,104 | | | | | 1,226,639,387 | | | | | 1,311,102 | | | | | 69,735,381 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | 559,231 | | | | | 132,402,454 | | | | | 140,139 | | | | | 10,341,576 | | | | | | |
| | | | | | | | 42,504 | | | | | 2,095,379 | | | | | 39,536 | | | | | 152,532 | | | | | | |
| | | | | | | | 302 | | | | | 242,830 | | | | | 357 | | | | | 10,643 | | | | | | |
| | | | | | | | 11,286 | | | | | 1,114,858 | | | | | 13,674 | | | | | 74,534 | | | | | | |
| | | | | |
| | | | | | | | 31,643 | | | | | 11,428,164 | | | | | 34,654 | | | | | 721,962 | | | | | | |
| | | | | | | | — | | | | | 1,915,238 | | | | | — | | | | | — | | | | | | |
| | | | | | | | — | | | | | 232,565 | | | | | — | | | | | 61 | | | | | | |
| | | | | | | | 9,043 | | | | | 2,838,298 | | | | | 7,722 | | | | | 118,150 | | | | | | |
| | | | | | | | 21,536 | | | | | 247,099 | | | | | 20,200 | | | | | 38,419 | | | | | | |
| | | | | | | | 26,829 | | | | | 516,056 | | | | | 26,971 | | | | | 115,185 | | | | | | |
| | | | | | | | 72,598 | | | | | 25,550,173 | | | | | 67,916 | | | | | 1,532,704 | | | | | | |
| | | | | | | | 671 | | | | | 532,472 | | | | | 788 | | | | | 22,201 | | | | | | |
| | | | | | | | 117,930 | | | | | — | | | | | — | | | | | — | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | 893,573 | | | | | 179,115,586 | | | | | 351,957 | | | | | 13,127,967 | | | | | | |
| | | | | | | | — | | | | | — | | | | | (126,714 | ) | | | | (304,966 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | 893,573 | | | | | 179,115,586 | | | | | 225,243 | | | | | 12,823,001 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | 1,919,531 | | | | | 1,047,523,801 | | | | | 1,085,859 | | | | | 56,912,380 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | (186,340 | ) | | | | (185,037,469 | ) | | | | (443,554 | ) | | | | (2,677,944 | ) | | | | | |
| | | | | | | | 14,130 | | | | | (63,679,588 | ) | | | | (15,413 | ) | | | | (2,276,764 | ) | | | | | |
| | | | | | | | 96,350 | | | | | 31,005,527 | | | | | 357,348 | | | | | 458,759 | | | | | | |
| | | | | | | | (168 | ) | | | | (728,495 | ) | | | | (239 | ) | | | | — | | | | | | |
| | | | | | | | — | | | | | (730,650 | ) | | | | — | | | | | — | | | | | | |
| | | | | |
| | | | | | | | (1,122,513 | ) | | | | (801,677,094 | ) | | | | (41,929 | ) | | | | (17,523,190 | ) | | | | | |
| | | | | | | | 59,122 | | | | | (93,456,954 | ) | | | | (31,670 | ) | | | | 2,288,658 | | | | | | |
| | | | | | | | 62,621 | | | | | 30,490,988 | | | | | (53,541 | ) | | | | (458,760 | ) | | | | | |
| | | | | | | | — | | | | | (331,583 | ) | | | | — | | | | | — | | | | | | |
| | | | | | | | — | | | | | 383,400 | | | | | — | | | | | — | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | | | | | | (1,076,798 | ) | | | | (1,083,761,918 | ) | | | | (228,998 | ) | | | | (20,189,241 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | $ | 842,733 | | | | $ | (36,238,117 | ) | | | $ | 856,861 | | | | $ | 36,723,139 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying notes to financial statements.
|
| Semi-Annual Report September 2018 / 200 |
Metropolitan West Funds
Statements of Changes in Net Assets
| | | | | | | | | | | | | | | | | | | | |
| | | ALPHATRAK
500 FUND | | |
| | SIX MONTHS
ENDED
SEPTEMBER 30,
2018
(UNAUDITED) | | | | YEAR
ENDED
MARCH 31,
2018 | | |
Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | $ | 161,897 | | | | | | | | | $ | 192,222 | | | | | | |
Net realized gain/(loss) on investments | | | | (24,496 | ) | | | | | | | | | 140,374 | | | | | | |
Net realized gain/(loss) on futures contracts, foreign currency exchange contracts, foreign currency transactions and swap contracts | | | | 433,470 | | | | | | | | | | 3,191,693 | | | | | | |
Net change in unrealized appreciation/(depreciation) on investments | | | | 38,286 | | | | | | | | | | (64,166 | ) | | | | | |
Net change in unrealized appreciation/(depreciation) on futures contracts, foreign currency exchange contracts, foreign currency transactions and swap contracts | | | | 1,243,538 | | | | | | | | | | (903,955 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Net increase/(decrease) in net assets resulting from operations | | | | 1,852,695 | | | | | | | | | | 2,556,168 | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Distributions to Shareholders from: | | | | | | | | | | | | | | | | | | | | |
Net investment income: | | | | | | | | | | | | | | | | | | | | |
Class M | | | | (175,351 | ) | | | | | | | | | (172,484 | ) | | | | | |
Class I | | | | — | | | | | | | | | | — | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Net decrease in net assets resulting from distributions | | | | (175,351 | ) | | | | | | | | | (172,484 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Capital Share Transactions: | | | | | | | | | | | | | | | | | | | | |
Class M: | | | | | | | | | | | | | | | | | | | | |
Proceeds from sale of shares | | | | 3,007,827 | | | | | | | | | | 14,818,508 | | | | | | |
Shares issued in reinvestment of distributions | | | | 175,238 | | | | | | | | | | 171,610 | | | | | | |
Cost of shares redeemed | | | | (4,547,762 | ) | | | | | | | | | (19,939,388 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Total Class M capital share transactions | | | | (1,364,697 | ) | | | | | | | | | (4,949,270 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Class I: | | | | | | | | | | | | | | | | | | | | |
Proceeds from sale of shares | | | | — | | | | | | | | | | — | | | | | | |
Shares issued in reinvestment of distributions | | | | — | | | | | | | | | | — | | | | | | |
Cost of shares redeemed | | | | — | | | | | | | | | | — | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Total Class I capital share transactions | | | | — | | | | | | | | | | — | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Net increase/(decrease) in net assets resulting from capital share transactions | | | | (1,364,697 | ) | | | | | | | | | (4,949,270 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Net increase/(decrease) in net assets | | | | 312,647 | | | | | | | | | | (2,565,586 | ) | | | | | |
Net assets at beginning of period | | | | 18,148,647 | | | | | | | | | | 20,714,233 | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
Net assets at end of period (including undistributed (distributions in excess of) net investment income of $28,840, $42,294, $(52), $126,075 and $139,260, respectively) | | | $ | 18,461,294 | | | | | | | | | $ | 18,148,647 | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
1Commencement of operations was June 29, 2018.
|
| See accompanying notes to financial statements. |
|
| 201 / Semi-Annual Report September 2018 |
Metropolitan West Funds
Statements of Changes in Net Assets
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | CORPORATE BOND
FUND1 | | FLOATING RATE
INCOME FUND | | | | |
| | | PERIOD ENDED SEPTEMBER 30, 2018 (UNAUDITED) | | SIX MONTHS ENDED SEPTEMBER 30, 2018 (UNAUDITED) | | | | YEAR ENDED MARCH 31, 2018 | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | $ | 24,808 | | | | $ | 5,550,612 | | | | | | | | | $ | 9,100,436 | | | | | | | | | | | |
| | | | | | | | 6,805 | | | | | (1,027,198 | ) | | | | | | | | | 141,176 | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | 292 | | | | | 304,560 | | | | | | | | | | (176,133 | ) | | | | | | | | | | |
| | | | | | | | 5,837 | | | | | 533,734 | | | | | | | | | | (328,106 | ) | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | (2,438 | ) | | | | 174,271 | | | | | | | | | | 249,599 | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | 35,304 | | | | | 5,535,979 | | | | | | | | | | 8,986,972 | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | (8,965 | ) | | | | (364,834 | ) | | | | | | | | | (697,310 | ) | | | | | | | | | | |
| | | | | | | | (15,895 | ) | | | | (5,198,963 | ) | | | | | | | | | (8,403,151 | ) | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | (24,860 | ) | | | | (5,563,797 | ) | | | | | | | | | (9,100,461 | ) | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | 745,000 | | | | | 9,322,028 | | | | | | | | | | 12,941,144 | | | | | | | | | | | |
| | | | | | | | 8,965 | | | | | 360,709 | | | | | | | | | | 689,781 | | | | | | | | | | | |
| | | | | | | | — | | | | | (4,831,802 | ) | | | | | | | | | (22,886,374 | ) | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | 753,965 | | | | | 4,850,935 | | | | | | | | | | (9,255,449 | ) | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | | | | | | 1,255,000 | | | | | 37,864,018 | | | | | | | | | | 48,177,026 | | | | | | | | | | | |
| | | | | | | | 15,895 | | | | | 5,097,292 | | | | | | | | | | 8,226,466 | | | | | | | | | | | |
| | | | | | | | — | | | | | (23,619,817 | ) | | | | | | | | | (24,822,189 | ) | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | 1,270,895 | | | | | 19,341,493 | | | | | | | | | | 31,581,303 | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | 2,024,860 | | | | | 24,192,428 | | | | | | | | | | 22,325,854 | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | 2,035,304 | | | | | 24,164,610 | | | | | | | | | | 22,212,365 | | | | | | | | | | | |
| | | | | | | | — | | | | | 253,560,328 | | | | | | | | | | 231,347,963 | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | | | | | $ | 2,035,304 | | | | $ | 277,724,938 | | | | | | | | | $ | 253,560,328 | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying notes to financial statements.
|
| Semi-Annual Report September 2018 / 202 |
Metropolitan West Funds
Statements of Changes in Net Assets
| | | | | | | | | | | | | | | | | |
| | | HIGH YIELD
BOND FUND1 | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2018
(UNAUDITED) | | | | YEAR ENDED
MARCH 31,
2018 | | |
Operations: | | | | | | | | | | | | | | | | | |
Net investment income | | | $ | 11,939,119 | | | | | | $ | 26,689,351 | | | | | | |
Net realized gain/(loss) on investments | | | | (1,425,650 | ) | | | | | | 5,004,368 | | | | | | |
Net realized (loss) on futures contracts, foreign currency exchange contracts, foreign currency transactions, and swap contracts | | | | (512,655 | ) | | | | | | (141,304 | ) | | | | | |
Net change in unrealized appreciation/(depreciation) on investments | | | | 579,556 | | | | | | | (5,744,616 | ) | | | | | |
Net change in unrealized appreciation/(depreciation) on futures contracts, foreign currency exchange contracts, foreign currency transactions and swap contracts | | | | (298,042 | ) | | | | | | 118,950 | | | | | | |
| | | | | | | | | | | | | | | | | |
Net increase in net assets resulting from operations | | | | 10,282,328 | | | | | | | 25,926,749 | | | | | | |
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
Distributions to Shareholders from: | | | | | | | | | | | | | | | | | |
Net investment income: | | | | | | | | | | | | | | | | | |
Class M | | | | (4,122,799 | ) | | | | | | (9,837,443 | ) | | | | | |
Class I | | | | (7,718,006 | ) | | | | | | (16,814,156 | ) | | | | | |
Administrative Class | | | | — | | | | | | | — | | | | | | |
| | | | | | | | | | | | | | | | | |
Net decrease in net assets resulting from distributions | | | | (11,840,805 | ) | | | | | | (26,651,599 | ) | | | | | |
| | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | |
Capital Share Transactions: | | | | | | | | | | | | | | | | | |
Class M: | | | | | | | | | | | | | | | | | |
Proceeds from sale of shares | | | | 12,047,606 | | | | | | | 33,490,369 | | | | | | |
Shares issued in reinvestment of distributions | | | | 4,006,848 | | | | | | | 9,422,300 | | | | | | |
Cost of shares redeemed | | | | (44,382,865 | ) | | | | | | (176,667,817 | ) | | | | | |
| | | | | | | | | | | | | | | | | |
Total Class M capital share transactions | | | | (28,328,411 | ) | | | | | | (133,755,148 | ) | | | | | |
| | | | | | | | | | | | | | | | | |
Class I: | | | | | | | | | | | | | | | | | |
Proceeds from sale of shares | | | | 51,955,893 | | | | | | | 126,992,323 | | | | | | |
Shares issued in reinvestment of distributions | | | | 7,300,794 | | | | | | | 15,875,887 | | | | | | |
Cost of shares redeemed | | | | (143,486,749 | ) | | | | | | (280,398,449 | ) | | | | | |
| | | | | | | | | | | | | | | | | |
Total Class I capital share transactions | | | | (84,230,062 | ) | | | | | | (137,530,239 | ) | | | | | |
| | | | | | | | | | | | | | | | | |
Administrative Class: | | | | | | | | | | | | | | | | | |
Proceeds from sale of shares | | | | — | | | | | | | — | | | | | | |
Shares issued in reinvestment of distributions | | | | — | | | | | | | — | | | | | | |
Cost of shares redeemed | | | | — | | | | | | | — | | | | | | |
| | | | | | | | | | | | | | | | | |
Total Administrative Class capital share transactions | | | | — | | | | | | | — | | | | | | |
| | | | | | | | | | | | | | | | | |
Net increase/(decrease) in net assets resulting from capital share transactions | | | | (112,558,473 | ) | | | | | | (271,285,387 | ) | | | | | |
| | | | | | | | | | | | | | | | | |
Net increase/(decrease) in net assets | | | | (114,116,950 | ) | | | | | | (272,010,237 | ) | | | | | |
Net assets at beginning of period | | | | 604,388,546 | | | | | | | 876,398,783 | | | | | | |
| | | | | | | | | | | | | | | | | |
Net assets at end of period (including undistributed (distributions in excess of) net investment income of $2,187,406, $2,089,092, $133,029, $144,698, $1,281, $(2,259,698) and $(2,314,439), respectively) | | | $ | 490,271,596 | | | | | | $ | 604,388,546 | | | | | | |
| | | | | | | | | | | | | | | | | |
1Consolidated Statement of Changes in Net Assets.
2Commencement of operations was June 29, 2018.
|
| See accompanying notes to financial statements. |
|
| 203 / Semi-Annual Report September 2018 |
Metropolitan West Funds
Statements of Changes in Net Assets
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | INTERMEDIATE
BOND FUND | | INVESTMENT
GRADE
CREDIT FUND2 | | LOW DURATION
BOND FUND | | | | | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2018
(UNAUDITED) | | YEAR ENDED
MARCH 31,
2018 | | PERIOD ENDED
SEPTEMBER 30,
2018
(UNAUDITED) | | SIX MONTHS
ENDED
SEPTEMBER 30,
2018
(UNAUDITED) | | YEAR ENDED
MARCH 31,
2018 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | $ | 9,504,374 | | | | $ | 21,291,507 | | | | $ | 53,750 | | | | $ | 27,968,682 | | | | $ | 46,311,407 | | | | | | | | | | | | | | | | |
| | | | | | | | (4,665,743 | ) | | | | (9,045,000 | ) | | | | 8,125 | | | | | (5,380,622 | ) | | | | (11,993,670 | ) | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | (748,164 | ) | | | | (1,971,891 | ) | | | | (3,302 | ) | | | | (3,518,152 | ) | | | | (8,486,088 | ) | | | | | | | | | | | | | | | |
| | | | | | | | (2,974,689 | ) | | | | (5,963,919 | ) | | | | 32,554 | | | | | (5,390,624 | ) | | | | (9,892,436 | ) | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | (629,085 | ) | | | | 781,889 | | | | | (7,206 | ) | | | | (3,244,085 | ) | | | | 3,450,566 | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | 486,693 | | | | | 5,092,586 | | | | | 83,921 | | | | | 10,435,199 | | | | | 19,389,779 | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | (569,172 | ) | | | | (1,240,600 | ) | | | | (14,023 | ) | | | | (8,824,082 | ) | | | | (17,150,706 | ) | | | | | | | | | | | | | | | |
| | | | | | | | (8,946,871 | ) | | | | (20,051,776 | ) | | | | (38,446 | ) | | | | (19,067,800 | ) | | | | (30,304,414 | ) | | | | | | | | | | | | | | | |
| | | | | | | | — | | | | | — | | | | | — | | | | | (22,059 | ) | | | | (91,114 | ) | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | (9,516,043 | ) | | | | (21,292,376 | ) | | | | (52,469 | ) | | | | (27,913,941 | ) | | | | (47,546,234 | ) | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | 4,666,683 | | | | | 10,523,143 | | | | | 732,500 | | | | | 17,672,823 | | | | | 93,186,833 | | | | | | | | | | | | | | | | |
| | | | | | | | 559,446 | | | | | 1,200,819 | | | | | 14,023 | | | | | 8,737,717 | | | | | 16,843,760 | | | | | | | | | | | | | | | | |
| | | | | | | | (15,090,829 | ) | | | | (50,649,695 | ) | | | | — | | | | | (237,658,293 | ) | | | | (408,872,573 | ) | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | (9,864,700 | ) | | | | (38,925,733 | ) | | | | 746,523 | | | | | (211,247,753 | ) | | | | (298,841,980 | ) | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | 37,046,983 | | | | | 180,052,361 | | | | | 4,767,500 | | | | | 243,165,349 | | | | | 514,519,630 | | | | | | | | | | | | | | | | |
| | | | | | | | 8,621,806 | | | | | 19,116,311 | | | | | 38,446 | | | | | 18,309,522 | | | | | 28,588,695 | | | | | | | | | | | | | | | | |
| | | | | | | | (169,072,513 | ) | | | | (480,040,328 | ) | | | | — | | | | | (324,308,060 | ) | | | | (656,688,777 | ) | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | (123,403,724 | ) | | | | (280,871,656 | ) | | | | 4,805,946 | | | | | (62,833,189 | ) | | | | (113,580,452 | ) | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | — | | | | | — | | | | | — | | | | | 352,052 | | | | | 1,383,825 | | | | | | | | | | | | | | | | |
| | | | | | | | — | | | | | — | | | | | — | | | | | 1,495 | | | | | 19,578 | | | | | | | | | | | | | | | | |
| | | | | | | | — | | | | | — | | | | | — | | | | | (5,341,971 | ) | | | | (3,182,586 | ) | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | — | | | | | — | | | | | — | | | | | (4,988,424 | ) | | | | (1,779,183 | ) | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | (133,268,424 | ) | | | | (319,797,389 | ) | | | | 5,552,469 | | | | | (279,069,366 | ) | | | | (414,201,615 | ) | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | (142,297,774 | ) | | | | (335,997,179 | ) | | | | 5,583,921 | | | | | (296,548,108 | ) | | | | (442,358,070 | ) | | | | | | | | | | | | | | | |
| | | | | | | | 821,195,984 | | | | | 1,157,193,163 | | | | | — | | | | | 2,666,176,551 | | | | | 3,108,534,621 | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | | | | | $ | 678,898,210 | | | | $ | 821,195,984 | | | | $ | 5,583,921 | | | | $ | 2,369,628,443 | | | | $ | 2,666,176,551 | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying notes to financial statements.
|
| Semi-Annual Report September 2018 / 204 |
Metropolitan West Funds
Statements of Changes in Net Assets
| | | | | | | | | | | | | | | |
| | | STRATEGIC
INCOME FUND | | |
| | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2018
(UNAUDITED) | | YEAR ENDED
MARCH 31,
2018 | | |
Operations: | | | | | | | | | | | | | | | |
Net investment income/(loss) | | | $ | 1,919,531 | | | | $ | 3,490,316 | | | | | | |
Net realized gain/(loss) on investments | | | | (186,340 | ) | | | | 1,073,578 | | | | | | |
Net realized gain/(loss) on futures contracts, foreign currency exchange contracts, foreign currency transactions and swap contracts | | | | 110,312 | | | | | 205,473 | | | | | | |
Net change in unrealized appreciation/(depreciation) on investments | | | | (1,122,513 | ) | | | | (1,767,819 | ) | | | | | |
Net change in unrealized appreciation/(depreciation) on futures contracts, foreign currency exchange contracts, foreign currency transactions and swap contracts | | | | 121,743 | | | | | 34,551 | | | | | | |
| | | | | | | | | | | | | | | |
Net increase/(decrease) in net assets resulting from operations | | | | 842,733 | | | | | 3,036,099 | | | | | | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Distributions to Shareholders from: | | | | | | | | | | | | | | | |
Net investment income: | | | | | | | | | | | | | | | |
Class M | | | | (465,011 | ) | | | | (1,280,849 | ) | | | | | |
Class I | | | | (1,436,235 | ) | | | | (2,592,698 | ) | | | | | |
Administrative Class | | | | — | | | | | — | | | | | | |
Plan Class | | | | — | | | | | — | | | | | | |
Net realized gains: | | | | | | | | | | | | | | | |
Class M | | | | — | | | | | — | | | | | | |
Class I | | | | — | | | | | — | | | | | | |
| | | | | | | | | | | | | | | |
Net decrease in net assets resulting from distributions | | | | (1,901,246 | ) | | | | (3,873,547 | ) | | | | | |
| | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
Capital Share Transactions: | | | | | | | | | | | | | | | |
Class M: | | | | | | | | | | | | | | | |
Proceeds from sale of shares | | | | 2,365,301 | | | | | 8,682,030 | | | | | | |
Shares issued in reinvestment of distributions | | | | 460,289 | | | | | 1,180,927 | | | | | | |
Cost of shares redeemed | | | | (8,677,364 | ) | | | | (27,639,462 | ) | | | | | |
| | | | | | | | | | | | | | | |
Total Class M capital share transactions | | | | (5,851,774 | ) | | | | (17,776,505 | ) | | | | | |
| | | | | | | | | | | | | | | |
Class I: | | | | | | | | | | | | | | | |
Proceeds from sale of shares | | | | 7,591,017 | | | | | 13,810,788 | | | | | | |
Shares issued in reinvestment of distributions | | | | 1,436,234 | | | | | 2,591,575 | | | | | | |
Cost of shares redeemed | | | | (7,096,877 | ) | | | | (16,563,343 | ) | | | | | |
| | | | | | | | | | | | | | | |
Total Class I capital share transactions | | | | 1,930,374 | | | | | (160,980 | ) | | | | | |
| | | | | | | | | | | | | | | |
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 | | | | (3,921,400 | ) | | | | (17,937,485 | ) | | | | | |
| | | | | | | | | | | | | | | |
Net (decrease) in net assets | | | | (4,979,913 | ) | | | | (18,774,933 | ) | | | | | |
Net assets at beginning of period | | | | 96,210,986 | | | | | 114,985,919 | | | | | | |
| | | | | | | | | | | | | | | |
Net assets at end of period (including undistributed (distributions in excess of) net investment income of $541,167, $522,882, $(11,050,800), $(10,456,097), $(102,950), $(100,899), $(2,292,413) and $(1,747,972), respectively) | | | $ | 91,231,073 | | | | $ | 96,210,986 | | | | | | |
| | | | | | | | | | | | | | | |
|
| See accompanying notes to financial statements. |
|
| 205 / Semi-Annual Report September 2018 |
Metropolitan West Funds
Statements of Changes in Net Assets
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | TOTAL RETURN
BOND FUND | | ULTRA SHORT
BOND FUND | | UNCONSTRAINED
BOND FUND | | |
| | | | | | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2018
(UNAUDITED) | | YEAR ENDED MARCH 31, 2018 | | SIX MONTHS
ENDED
SEPTEMBER 30,
2018
(UNAUDITED) | | YEAR ENDED
MARCH 31,
2018 | | SIX MONTHS
ENDED
SEPTEMBER 30,
2018
(UNAUDITED) | | YEAR ENDED
MARCH 31, 2018 | | |
| | | | | | | $ | 1,047,523,801 | | | | $ | 1,729,777,007 | | | | $ | 1,085,859 | | | | $ | 1,574,913 | | | | $ | 56,912,380 | | | | $ | 96,725,079 | | | | | | |
| | | | | | | | (185,037,469 | ) | | | | (408,458,047 | ) | | | | (443,554 | ) | | | | (423,953 | ) | | | | (2,677,944 | ) | | | | 4,241,998 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | (34,133,206 | ) | | | | (131,613,152 | ) | | | | 341,696 | | | | | (14,498 | ) | | | | (1,818,005 | ) | | | | 1,147,114 | | | | | | |
| | | | | | | | (801,677,094 | ) | | | | (321,481,208 | ) | | | | (41,929 | ) | | | | (65,892 | ) | | | | (17,523,190 | ) | | | | (16,600,295 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | (62,914,149 | ) | | | | 34,120,058 | | | | | (85,211 | ) | | | | 106,416 | | | | | 1,829,898 | | | | | 1,923,577 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | (36,238,117 | ) | | | | 902,344,658 | | | | | 856,861 | | | | | 1,176,986 | | | | | 36,723,139 | | | | | 87,437,473 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | (139,117,872 | ) | | | | (265,786,055 | ) | | | | (397,574 | ) | | | | (684,925 | ) | | | | (9,738,755 | ) | | | | (34,139,078 | ) | | | | | |
| | | | | | | | (630,590,307 | ) | | | | (1,070,701,261 | ) | | | | (690,336 | ) | | | | (889,848 | ) | | | | (47,718,066 | ) | | | | (67,290,044 | ) | | | | | |
| | | | | | | | (11,498,728 | ) | | | | (17,022,659 | ) | | | | — | | | | | — | | | | | — | | | | | — | | | | | | |
| | | | | | | | (266,911,597 | ) | | | | (389,468,587 | ) | | | | — | | | | | — | | | | | — | | | | | — | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | (2,650,045 | ) | | | | | |
| | | | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | (4,617,611 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | (1,048,118,504 | ) | | | | (1,742,978,562 | ) | | | | (1,087,910 | ) | | | | (1,574,773 | ) | | | | (57,456,821 | ) | | | | (108,696,778 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | 723,585,205 | | | | | 2,126,082,296 | | | | | 3,327,263 | | | | | 17,336,598 | | | | | 50,623,358 | | | | | 499,552,793 | | | | | | |
| | | | | | | | 137,996,249 | | | | | 261,630,926 | | | | | 379,153 | | | | | 607,170 | | | | | 9,350,477 | | | | | 32,139,335 | | | | | | |
| | | | | | | | (2,067,792,239 | ) | | | | (5,892,904,636 | ) | | | | (15,480,298 | ) | | | | (33,228,320 | ) | | | | (180,723,236 | ) | | | | (1,346,138,872 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | (1,206,210,785 | ) | | | | (3,505,191,414 | ) | | | | (11,773,882 | ) | | | | (15,284,552 | ) | | | | (120,749,401 | ) | | | | (814,446,744 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | 5,468,628,017 | | | | | 14,656,574,863 | | | | | 10,738,905 | | | | | 37,487,086 | | | | | 406,641,784 | | | | | 1,184,471,297 | | | | | | |
| | | | | | | | 563,142,661 | | | | | 945,922,333 | | | | | 689,261 | | | | | 762,162 | | | | | 38,720,601 | | | | | 53,530,492 | | | | | | |
| | | | | | | | (11,409,768,827 | ) | | | | (16,791,591,140 | ) | | | | (7,419,906 | ) | | | | (40,073,066 | ) | | | | (459,557,599 | ) | | | | (589,436,719 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | (5,377,998,149 | ) | | | | (1,189,093,944 | ) | | | | 4,008,260 | | | | | (1,823,818 | ) | | | | (14,195,214 | ) | | | | 648,565,070 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | 145,173,199 | | | | | 392,932,270 | | | | | — | | | | | — | | | | | — | | | | | — | | | | | | |
| | | | | | | | 11,358,992 | | | | | 16,813,716 | | | | | — | | | | | — | | | | | — | | | | | — | | | | | | |
| | | | | | | | (192,779,958 | ) | | | | (189,843,444 | ) | | | | — | | | | | — | | | | | — | | | | | — | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | (36,247,767 | ) | | | | 219,902,542 | | | | | — | | | | | — | | | | | — | | | | | — | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | 3,922,266,687 | | | | | 8,302,903,199 | | | | | — | | | | | — | | | | | — | | | | | — | | | | | | |
| | | | | | | | 260,658,651 | | | | | 354,804,133 | | | | | — | | | | | — | | | | | — | | | | | — | | | | | | |
| | | | | | | | (2,407,246,888 | ) | | | | (3,751,717,579 | ) | | | | — | | | | | — | | | | | — | | | | | — | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | 1,775,678,450 | | | | | 4,905,989,753 | | | | | — | | | | | — | | | | | — | | | | | — | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | (4,844,778,251 | ) | | | | 431,606,937 | | | | | (7,765,622 | ) | | | | (17,108,370 | ) | | | | (134,944,615 | ) | | | | (165,881,674 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | (5,929,134,872 | ) | | | | (409,026,967 | ) | | | | (7,996,671 | ) | | | | (17,506,157 | ) | | | | (155,678,297 | ) | | | | (187,140,979 | ) | | | | | |
| | | | | | | | 78,284,049,687 | | | | | 78,693,076,654 | | | | | 119,475,257 | | | | | 136,981,414 | | | | | 3,270,293,162 | | | | | 3,457,434,141 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | $ | 72,354,914,815 | | | | $ | 78,284,049,687 | | | | $ | 111,478,586 | | | | $ | 119,475,257 | | | | $ | 3,114,614,865 | | | | $ | 3,270,293,162 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
See accompanying notes to financial statements.
|
| Semi-Annual Report September 2018 / 206 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | ALPHATRAK 500 FUND CLASS M | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2018
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2018 | | YEAR
ENDED
MARCH 31,
2017 | | YEAR
ENDED
MARCH 31,
2016 | | YEAR
ENDED
MARCH 31,
2015 | | YEAR
ENDED
MARCH 31,
2014 | | |
Net Asset Value, Beginning of Period | | | $ | 9.98 | | | | $ | 8.95 | | | | $ | 7.22 | | | | $ | 7.22 | | | | $ | 6.48 | | | | $ | 5.35 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | 0.09 | | | | | 0.09 | | | | | 0.12 | | | | | 0.02 | | | | | 0.04 | | | | | 0.08 | | | | | | |
Net realized and unrealized gain | | | | 1.00 | | | | | 1.03 | | | | | 1.77 | | | | | 0.02 | | | | | 0.76 | | | | | 1.13 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Total Income from Investment Operations | | | | 1.09 | | | | | 1.12 | | | | | 1.89 | | | | | 0.04 | | | | | 0.80 | | | | | 1.21 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.11 | ) | | | | (0.09 | ) | | | | (0.16 | ) | | | | (0.04 | ) | | | | (0.06 | ) | | | | (0.08 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Total Distributions | | | | (0.11 | ) | | | | (0.09 | ) | | | | (0.16 | ) | | | | (0.04 | ) | | | | (0.06 | ) | | | | (0.08 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Net Asset Value, End of Period | | | $ | 10.96 | | | | $ | 9.98 | | | | $ | 8.95 | | | | $ | 7.22 | | | | $ | 7.22 | | | | $ | 6.48 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Total Return | | | | 10.90 | %2 | | | | 12.52 | % | | | | 26.38 | % | | | | 0.53 | % | | | | 12.37 | % | | | | 22.75 | % | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 18,461 | | | | $ | 18,149 | | | | $ | 20,714 | | | | $ | 2,406 | | | | $ | 9,735 | | | | $ | 5,324 | | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 0.99 | %3 | | | | 0.90 | %4 | | | | 3.37 | % | | | | 2.64 | % | | | | 2.65 | % | | | | 2.98 | % | | | | | |
After expense waivers and reimbursements | | | | 0.90 | %3 | | | | 0.90 | % | | | | 0.90 | % | | | | 0.90 | % | | | | 0.90 | % | | | | 0.90 | % | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 1.78 | %3 | | | | 0.90 | % | | | | 1.49 | % | | | | 0.31 | % | | | | 0.54 | % | | | | 1.43 | % | | | | | |
Portfolio Turnover Rate | | | | 72 | %2 | | | | 115 | % | | | | 505 | % | | | | 59 | % | | | | 30 | % | | | | 50 | % | | | | | |
| 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 0.88% |
|
| See accompanying notes to financial statements. |
|
| 207 / Semi-Annual Report September 2018 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | |
| | | CORPORATE
BOND FUND CLASS M* | | |
| | | PERIOD ENDED
SEPTEMBER 30, 2018 (UNAUDITED) | | |
Net Asset Value, Beginning of Period | | | $ | 10.00 | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | |
Net investment income1 | | | | 0.12 | | | | | | |
Net realized and unrealized gain/(loss) | | | | 0.05 | | | | | | |
| | | | | | | | | | |
Total Income from Investment Operations | | | | 0.17 | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
Less Distributions: | | | | | | | | | | |
From net investment income | | | | (0.12 | ) | | | | | |
| | | | | | | | | | |
Total Distributions | | | | (0.12 | ) | | | | | |
| | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 10.05 | | | | | | |
| | | | | | | | | | |
Total Return | | | | 1.70 | %2 | | | | | |
| | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 758 | | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 12.20 | %3 | | | | | |
After expense waivers and reimbursements | | | | 0.75 | %3 | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | |
After expense waivers and reimbursements | | | | 4.78 | %3 | | | | | |
Portfolio Turnover Rate | | | | 144 | %2 | | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
| * | The Corporate Bond Fund Class M Shares commenced operations on June 29, 2018. |
See accompanying notes to financial statements.
|
| Semi-Annual Report September 2018 / 208 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | |
| | | CORPORATE
BOND FUND CLASS I* | | |
| | | PERIOD ENDED
SEPTEMBER 30, 2018 (UNAUDITED) | | |
Net Asset Value, Beginning of Period | | | $ | 10.00 | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | |
Net investment income1 | | | | 0.13 | | | | | | |
Net realized and unrealized gain/(loss) | | | | 0.05 | | | | | | |
| | | | | | | | | | |
Total Income from Investment Operations | | | | 0.18 | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
Less Distributions: | | | | | | | | | | |
From net investment income | | | | (0.13 | ) | | | | | |
| | | | | | | | | | |
Total Distributions | | | | (0.13 | ) | | | | | |
| | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 10.05 | | | | | | |
| | | | | | | | | | |
Total Return | | | | 1.76 | %2 | | | | | |
| | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 1,277 | | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 11.95 | %3 | | | | | |
After expense waivers and reimbursements | | | | 0.50 | %3 | | | | | |
After expense waivers and reimbursements | | | | 5.03 | %3 | | | | | |
Portfolio Turnover Rate | | | | 144 | %2 | | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
| * | The Corporate Bond Fund Class I Shares commenced operations on June 29, 2018. |
See accompanying notes to financial statements.
|
| 209 / Semi-Annual Report September 2018 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | FLOATING RATE INCOME FUND
CLASS M* | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2018
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2018 | | YEAR
ENDED
MARCH 31,
2017 | | YEAR
ENDED
MARCH 31,
2016 | | YEAR
ENDED
MARCH 31,
2015 | | PERIOD
ENDED
MARCH 31,
2014 | | |
Net Asset Value, Beginning of Period | | | $ | 10.06 | | | | $ | 10.06 | | | | $ | 9.80 | | | | $ | 10.13 | | | | $ | 10.28 | | | | $ | 10.00 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | 0.20 | | | | | 0.36 | | | | | 0.33 | | | | | 0.34 | | | | | 0.32 | | | | | 0.26 | | | | | | |
Net realized and unrealized gain/(loss) | | | | (0.01 | ) | | | | — | | | | | 0.26 | | | | | (0.32 | ) | | | | (0.06 | ) | | | | 0.25 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Income from Investment Operations | | | | 0.19 | | | | | 0.36 | | | | | 0.59 | | | | | 0.02 | | | | | 0.26 | | | | | 0.51 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.20 | ) | | | | (0.36 | ) | | | | (0.33 | ) | | | | (0.34 | ) | | | | (0.32 | ) | | | | (0.22 | ) | | | | | |
From net capital gains | | | | — | | | | | — | | | | | — | | | | | (0.01 | ) | | | | (0.09 | ) | | | | (0.01 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | | (0.20 | ) | | | | (0.36 | ) | | | | (0.33 | ) | | | | (0.35 | ) | | | | (0.41 | ) | | | | (0.23 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 10.05 | | | | $ | 10.06 | | | | $ | 10.06 | | | | $ | 9.80 | | | | $ | 10.13 | | | | $ | 10.28 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | 1.96 | %2 | | | | 3.61 | % | | | | 6.08 | % | | | | 0.23 | % | | | | 2.53 | % | | | | 5.15 | %2 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 20,668 | | | | $ | 15,802 | | | | $ | 25,072 | | | | $ | 8,206 | | | | $ | 6,126 | | | | $ | 5,311 | | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 1.00 | %3 | | | | 1.04 | % | | | | 1.05 | % | | | | 1.07 | % | | | | 1.10 | % | | | | 1.11 | %3 | | | | | |
After expense waivers and reimbursements | | | | 0.90 | %3 | | | | 0.90 | % | | | | 0.90 | % | | | | 0.90 | % | | | | 0.88 | % | | | | 0.85 | %3 | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 4.06 | %3 | | | | 3.53 | % | | | | 3.28 | % | | | | 3.42 | % | | | | 3.15 | % | | | | 3.41 | %3 | | | | | |
Portfolio Turnover Rate | | | | 22 | %2 | | | | 71 | % | | | | 40 | % | | | | 66 | % | | | | 49 | % | | | | 67 | %2 | | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
| * | The Floating Rate Income Fund Class M Shares commenced operations on June 28, 2013. |
See accompanying notes to financial statements.
|
| Semi-Annual Report September 2018 / 210 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | FLOATING RATE INCOME FUND
CLASS I* | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2018
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2018 | | YEAR
ENDED
MARCH 31,
2017 | | YEAR
ENDED
MARCH 31,
2016 | | YEAR
ENDED
MARCH 31,
2015 | | PERIOD
ENDED
MARCH 31,
2014 | | |
Net Asset Value, Beginning of Period | | | $ | 10.05 | | | | $ | 10.06 | | | | $ | 9.80 | | | | $ | 10.12 | | | | $ | 10.28 | | | | $ | 10.00 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | 0.21 | | | | | 0.38 | | | | | 0.35 | | | | | 0.36 | | | | | 0.34 | | | | | 0.26 | | | | | | |
Net realized and unrealized gain/(loss) | | | | (0.00 | )2 | | | | (0.01 | ) | | | | 0.26 | | | | | (0.31 | ) | | | | (0.07 | ) | | | | 0.26 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Income from Investment Operations | | | | 0.21 | | | | | 0.37 | | | | | 0.61 | | | | | 0.05 | | | | | 0.27 | | | | | 0.52 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.21 | ) | | | | (0.38 | ) | | | | (0.35 | ) | | | | (0.36 | ) | | | | (0.34 | ) | | | | (0.23 | ) | | | | | |
From net capital gains | | | | — | | | | | — | | | | | — | | | | | (0.01 | ) | | | | (0.09 | ) | | | | (0.01 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | | (0.21 | ) | | | | (0.38 | ) | | | | (0.35 | ) | | | | (0.37 | ) | | | | (0.43 | ) | | | | (0.24 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 10.05 | | | | $ | 10.05 | | | | $ | 10.06 | | | | $ | 9.80 | | | | $ | 10.12 | | | | $ | 10.28 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | 2.16 | %3 | | | | 3.72 | % | | | | 6.29 | % | | | | 0.53 | % | | | | 2.63 | % | | | | 5.29 | %3 | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 257,057 | | | | $ | 237,759 | | | | $ | 206,276 | | | | $ | 139,472 | | | | $ | 138,190 | | | | $ | 115,448 | | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 0.71 | %4 | | | | 0.72 | % | | | | 0.75 | % | | | | 0.73 | % | | | | 0.74 | % | | | | 0.81 | %4 | | | | | |
After expense waivers and reimbursements | | | | 0.70 | %4 | | | | 0.70 | % | | | | 0.70 | % | | | | 0.70 | % | | | | 0.68 | % | | | | 0.65 | %4 | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 4.26 | %4 | | | | 3.77 | % | | | | 3.48 | % | | | | 3.61 | % | | | | 3.33 | % | | | | 3.34 | %4 | | | | | |
Portfolio Turnover Rate | | | | 22 | %3 | | | | 71 | % | | | | 40 | % | | | | 66 | % | | | | 49 | % | | | | 67 | %3 | | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
| 2 | Amount is greater than $(0.005) per share. |
| * | The Floating Rate Income Fund Class I Shares commenced operations on June 28, 2013. |
See accompanying notes to financial statements.
|
| 211 / Semi-Annual Report September 2018 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | HIGH YIELD BOND FUND CLASS M | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2018
(UNAUDITED)1 | | YEAR
ENDED
MARCH 31,
20181 | | YEAR
ENDED
MARCH 31,
20171 | | YEAR
ENDED
MARCH 31,
20161 | | YEAR
ENDED
MARCH 31,
20151 | | YEAR
ENDED
MARCH 31,
2014 | | |
Net Asset Value, Beginning of Period | | | $ | 9.55 | | | | $ | 9.60 | | | | $ | 9.09 | | | | $ | 9.72 | | | | $ | 10.37 | | | | $ | 10.59 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income2 | | | | 0.20 | | | | | 0.34 | | | | | 0.34 | | | | | 0.39 | | | | | 0.45 | | | | | 0.54 | | | | | | |
Net realized and unrealized gain/(loss) | | | | (0.02 | ) | | | | (0.05 | ) | | | | 0.50 | | | | | (0.63 | ) | | | | (0.51 | ) | | | | 0.05 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Income/(Loss) from Investment Operations | | | | 0.18 | | | | | 0.29 | | | | | 0.84 | | | | | (0.24 | ) | | | | (0.06 | ) | | | | 0.59 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.20 | ) | | | | (0.34 | ) | | | | (0.33 | ) | | | | (0.39 | ) | | | | (0.45 | ) | | | | (0.53 | ) | | | | | |
From net capital gains | | | | — | | | | | — | | | | | — | | | | | — | | | | | (0.14 | ) | | | | (0.28 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | | (0.20 | ) | | | | (0.34 | ) | | | | (0.33 | ) | | | | (0.39 | ) | | | | (0.59 | ) | | | | (0.81 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 9.53 | | | | $ | 9.55 | | | | $ | 9.60 | | | | $ | 9.09 | | | | $ | 9.72 | | | | $ | 10.37 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | 1.90 | %3 | | | | 3.01 | % | | | | 9.35 | % | | | | (2.52 | )% | | | | (0.65 | )% | | | | 5.89 | % | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 182,217 | | | | $ | 211,021 | | | | $ | 344,328 | | | | $ | 498,128 | | | | $ | 764,684 | | | | $ | 1,323,298 | | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 0.94 | %4 | | | | 0.91 | % | | | | 0.89 | % | | | | 0.87 | % | | | | 0.89 | % | | | | 0.82 | % | | | | | |
After expense waivers and reimbursements | | | | 0.86 | %4 | | | | 0.85 | % | | | | 0.85 | % | | | | 0.85 | % | | | | 0.83 | % | | | | 0.80 | % | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 4.20 | %4 | | | | 3.47 | % | | | | 3.55 | % | | | | 4.19 | % | | | | 4.41 | % | | | | 5.20 | % | | | | | |
Portfolio Turnover Rate | | | | 45 | %3 | | | | 167 | % | | | | 185 | % | | | | 139 | % | | | | 61 | % | | | | 66 | % | | | | | |
| 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 2018 / 212 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | HIGH YIELD BOND FUND CLASS I | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2018
(UNAUDITED)1 | | YEAR
ENDED
MARCH 31,
20181 | | YEAR
ENDED
MARCH 31,
20171 | | YEAR
ENDED
MARCH 31,
20161 | | YEAR
ENDED
MARCH 31,
20151 | | YEAR
ENDED
MARCH 31,
2014 | | |
Net Asset Value, Beginning of Period | | | $ | 9.55 | | | | $ | 9.60 | | | | $ | 9.09 | | | | $ | 9.72 | | | | $ | 10.37 | | | | $ | 10.59 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income2 | | | | 0.21 | | | | | 0.36 | | | | | 0.36 | | | | | 0.42 | | | | | 0.47 | | | | | 0.57 | | | | | | |
Net realized and unrealized gain/(loss) | | | | (0.02 | ) | | | | (0.05 | ) | | | | 0.50 | | | | | (0.64 | ) | | | | (0.51 | ) | | | | 0.05 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Income/(Loss) from Investment Operations | | | | 0.19 | | | | | 0.31 | | | | | 0.86 | | | | | (0.22 | ) | | | | (0.04 | ) | | | | 0.62 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.21 | ) | | | | (0.36 | ) | | | | (0.35 | ) | | | | (0.41 | ) | | | | (0.47 | ) | | | | (0.56 | ) | | | | | |
From net capital gains | | | | — | | | | | — | | | | | — | | | | | — | | | | | (0.14 | ) | | | | (0.28 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | | (0.21 | ) | | | | (0.36 | ) | | | | (0.35 | ) | | | | (0.41 | ) | | | | (0.61 | ) | | | | (0.84 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 9.53 | | | | $ | 9.55 | | | | $ | 9.60 | | | | $ | 9.09 | | | | $ | 9.72 | | | | $ | 10.37 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | 2.02 | %3 | | | | 3.27 | % | | | | 9.62 | % | | | | (2.28 | )% | | | | (0.40 | )% | | | | 6.16 | % | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 308,054 | | | | $ | 393,368 | | | | $ | 532,071 | | | | $ | 572,436 | | | | $ | 755,786 | | | | $ | 910,268 | | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 0.65 | %4 | | | | 0.63 | % | | | | 0.62 | % | | | | 0.61 | % | | | | 0.60 | % | | | | 0.56 | % | | | | | |
After expense waivers and reimbursements | | | | 0.61 | %4 | | | | 0.60 | % | | | | 0.60 | % | | | | 0.60 | % | | | | 0.58 | % | | | | 0.55 | % | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 4.44 | %4 | | | | 3.74 | % | | | | 3.78 | % | | | | 4.44 | % | | | | 4.65 | % | | | | 5.45 | % | | | | | |
Portfolio Turnover Rate | | | | 45 | %3 | | | | 167 | % | | | | 185 | % | | | | 139 | % | | | | 61 | % | | | | 66 | % | | | | | |
| 1 | Consolidated Financial Highlights. |
| 2 | Per share numbers have been calculated using the average share method. |
See accompanying notes to financial statements.
|
| 213 / Semi-Annual Report September 2018 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | INTERMEDIATE BOND FUND CLASS M | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2018
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2018 | | YEAR
ENDED
MARCH 31,
2017 | | YEAR
ENDED
MARCH 31,
2016 | | YEAR
ENDED
MARCH 31,
2015 | | YEAR
ENDED
MARCH 31,
2014 | | |
Net Asset Value, Beginning of Period | | | $ | 10.21 | | | | $ | 10.37 | | | | $ | 10.58 | | | | $ | 10.65 | | | | $ | 10.52 | | | | $ | 10.69 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | 0.12 | | | | | 0.18 | | | | | 0.14 | | | | | 0.13 | | | | | 0.14 | | | | | 0.24 | | | | | | |
Net realized and unrealized gain/(loss) | | | | (0.12 | ) | | | | (0.16 | ) | | | | (0.09 | ) | | | | (0.03 | ) | | | | 0.16 | | | | | (0.16 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Income from Investment Operations | | | | — | | | | | 0.02 | | | | | 0.05 | | | | | 0.10 | | | | | 0.30 | | | | | 0.08 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.12 | ) | | | | (0.18 | ) | | | | (0.15 | ) | | | | (0.12 | ) | | | | (0.14 | ) | | | | (0.24 | ) | | | | | |
From net capital gains | | | | — | | | | | — | | | | | (0.11 | ) | | | | (0.05 | ) | | | | (0.03 | ) | | | | (0.01 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | | (0.12 | ) | | | | (0.18 | ) | | | | (0.26 | ) | | | | (0.17 | ) | | | | (0.17 | ) | | | | (0.25 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 10.09 | | | | $ | 10.21 | | | | $ | 10.37 | | | | $ | 10.58 | | | | $ | 10.65 | | | | $ | 10.52 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | (0.01 | )%2 | | | | 0.19 | % | | | | 0.43 | % | | | | 1.03 | % | | | | 2.87 | % | | | | 0.80 | % | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 42,472 | | | | $ | 52,942 | | | | $ | 92,642 | | | | $ | 199,031 | | | | $ | 163,048 | | | | $ | 144,635 | | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 0.72 | %3 | | | | 0.70 | %4 | | | | 0.70 | %5 | | | | 0.70 | % | | | | 0.72 | % | | | | 0.69 | % | | | | | |
After expense waivers and reimbursements | | | | 0.70 | %3 | | | | 0.70 | % | | | | 0.70 | % | | | | 0.70 | % | | | | 0.68 | % | | | | 0.65 | % | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 2.34 | %3 | | | | 1.71 | % | | | | 1.35 | % | | | | 1.20 | % | | | | 1.30 | % | | | | 2.25 | % | | | | | |
Portfolio Turnover Rate | | | | 114 | %2 | | | | 251 | % | | | | 252 | % | | | | 309 | % | | | | 253 | % | | | | 208 | % | | | | | |
| 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 0.67% |
| 5 | Includes recoupment of past waived fees. Excluding the recoupment of past waived fees, the ratio would have been 0.68%. |
See accompanying notes to financial statements.
|
| Semi-Annual Report September 2018 / 214 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | INTERMEDIATE BOND FUND CLASS I | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2018
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2018 | | YEAR
ENDED
MARCH 31,
2017 | | YEAR
ENDED
MARCH 31,
2016 | | YEAR
ENDED
MARCH 31,
2015 | | YEAR
ENDED
MARCH 31,
2014 | | |
Net Asset Value, Beginning of Period | | | $ | 10.21 | | | | $ | 10.37 | | | | $ | 10.58 | | | | $ | 10.65 | | | | $ | 10.52 | | | | $ | 10.69 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | 0.13 | | | | | 0.20 | | | | | 0.17 | | | | | 0.15 | | | | | 0.15 | | | | | 0.25 | | | | | | |
Net realized and unrealized gain/(loss) | | | | (0.12 | ) | | | | (0.15 | ) | | | | (0.10 | ) | | | | (0.02 | ) | | | | 0.17 | | | | | (0.15 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Income from Investment Operations | | | | 0.01 | | | | | 0.05 | | | | | 0.07 | | | | | 0.13 | | | | | 0.32 | | | | | 0.10 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.13 | ) | | | | (0.21 | ) | | | | (0.17 | ) | | | | (0.15 | ) | | | | (0.16 | ) | | | | (0.26 | ) | | | | | |
From net capital gains | | | | — | | | | | — | | | | | (0.11 | ) | | | | (0.05 | ) | | | | (0.03 | ) | | | | (0.01 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | | (0.13 | ) | | | | (0.21 | ) | | | | (0.28 | ) | | | | (0.20 | ) | | | | (0.19 | ) | | | | (0.27 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 10.09 | | | | $ | 10.21 | | | | $ | 10.37 | | | | $ | 10.58 | | | | $ | 10.65 | | | | $ | 10.52 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | 0.10 | %2 | | | | 0.43 | % | | | | 0.68 | % | | | | 1.28 | % | | | | 3.09 | % | | | | 1.02 | % | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 636,426 | | | | $ | 768,254 | | | | $ | 1,064,551 | | | | $ | 1,094,444 | | | | $ | 1,051,372 | | | | $ | 356,129 | | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 0.50 | %3 | | | | 0.46 | % | | | | 0.45 | % | | | | 0.46 | % | | | | 0.48 | %4 | | | | 0.46 | % | | | | | |
After expense waivers and reimbursements | | | | 0.49 | %3 | | | | 0.46 | % | | | | 0.45 | % | | | | 0.46 | % | | | | 0.48 | % | | | | 0.44 | % | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 2.55 | %3 | | | | 1.97 | % | | | | 1.63 | % | | | | 1.44 | % | | | | 1.38 | % | | | | 2.39 | % | | | | | |
Portfolio Turnover Rate | | | | 114 | %2 | | | | 251 | % | | | | 252 | % | | | | 309 | % | | | | 253 | % | | | | 208 | % | | | | | |
1 Per share numbers have been calculated using the average share method.
2 Non-Annualized.
3 Annualized.
4 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.
|
| 215 / Semi-Annual Report September 2018 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | |
| | | INVESTMENT GRADE
CREDIT FUND CLASS M* | | |
| | | PERIOD ENDED SEPTEMBER 30, 2018 (UNAUDITED) | | |
Net Asset Value, Beginning of Period | | | | $10.00 | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | |
Net investment income1 | | | | 0.19 | | | | | | |
Net realized and unrealized gain | | | | 0.17 | | | | | | |
| | | | | | | | | | |
| | |
Total Income from Investment Operations | | | | 0.36 | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
Less Distributions: | | | | | | | | | | |
From net investment income | | | | (0.19 | ) | | | | | |
| | | | | | | | | | |
| | |
Total Distributions | | | | (0.19 | ) | | | | | |
| | | | | | | | | | |
| | |
Net Asset Value, End of Period | | | | $10.17 | | | | | | |
| | | | | | | | | | |
Total Return | | | | 3.61 | %2 | | | | | |
| | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | | $ 759 | | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 10.26 | %3 | | | | | |
After expense waivers and reimbursements | | |
| 0.70
| %3
| | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | |
After expense waivers and reimbursements | | | | 7.64 | %3 | | | | | |
Portfolio Turnover Rate | | | | 184 | %2 | | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
| * | The Investment Grade Credit Fund Class M Shares commenced operations on June 29, 2018. |
See accompanying notes to financial statements.
|
| Semi-Annual Report September 2018 / 216 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | |
| | | INVESTMENT GRADE
CREDIT FUND CLASS I* | | |
| | | PERIOD ENDED
SEPTEMBER 30, 2018 (UNAUDITED) | | |
Net Asset Value, Beginning of Period | | | | $10.00 | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | |
Net investment income1 | | | | 0.19 | | | | | | |
Net realized and unrealized gain | | | | 0.18 | | | | | | |
| | | | | | | | | | |
| | |
Total Income from Investment Operations | | | | 0.37 | | | | | | |
| | | | | | | | | | |
| | | | | | | | | | |
Less Distributions: | | | | | | | | | | |
From net investment income | | | | (0.20 | ) | | | | | |
| | | | | | | | | | |
| | |
Total Distributions | | | | (0.20 | ) | | | | | |
| | | | | | | | | | |
| | |
Net Asset Value, End of Period | | | | $10.17 | | | | | | |
| | | | | | | | | | |
Total Return | | | | 3.67 | %2 | | | | | |
| | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | | $4,825 | | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 8.14 | %3 | | | | | |
After expense waivers and reimbursements | | | | 0.49 | %3 | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | |
After expense waivers and reimbursements | | | | 7.69 | %3 | | | | | |
Portfolio Turnover Rate | | | | 184 | %2 | | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
| * | The Investment Grade Credit Fund Class I Shares commenced operations on June 29, 2018. |
See accompanying notes to financial statements.
|
| 217 / Semi-Annual Report September 2018 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | LOW DURATION BOND FUND CLASS M | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2018
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2018 | | YEAR
ENDED
MARCH 31,
2017 | | YEAR
ENDED
MARCH 31,
2016 | | YEAR
ENDED
MARCH 31,
2015 | | YEAR
ENDED
MARCH 31,
2014 | | |
Net Asset Value, Beginning of Period | | | $ | 8.63 | | | | $ | 8.72 | | | | $ | 8.73 | | | | $ | 8.81 | | | | $ | 8.81 | | | | $ | 8.83 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | 0.09 | | | | | 0.13 | | | | | 0.10 | | | | | 0.10 | | | | | 0.11 | | | | | 0.14 | | | | | | |
Net realized and unrealized gain/(loss) | | | | (0.06 | ) | | | | (0.09 | ) | | | | (0.00 | )2 | | | | (0.08 | ) | | | | (0.00 | )2 | | | | (0.01 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Income from Investment Operations | | | | 0.03 | | | | | 0.04 | | | | | 0.10 | | | | | 0.02 | | | | | 0.11 | | | | | 0.13 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.09 | ) | | | | (0.13 | ) | | | | (0.10 | ) | | | | (0.10 | ) | | | | (0.11 | ) | | | | (0.15 | ) | | | | | |
From net capital gains | | | | — | | | | | — | | | | | (0.01 | ) | | | | — | | | | | — | | | | | — | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | | (0.09 | ) | | | | (0.13 | ) | | | | (0.11 | ) | | | | (0.10 | ) | | | | (0.11 | ) | | | | (0.15 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 8.57 | | | | $ | 8.63 | | | | $ | 8.72 | | | | $ | 8.73 | | | | $ | 8.81 | | | | $ | 8.81 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | 0.36 | %3 | | | | 0.48 | % | | | | 1.25 | % | | | | 0.22 | % | | | | 1.24 | % | | | | 1.45 | % | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 758,142 | | | | $ | 975,388 | | | | $ | 1,284,692 | | | | $ | 1,492,411 | | | | $ | 1,749,130 | | | | $ | 1,918,474 | | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 0.64 | %4 | | | | 0.62 | % | | | | 0.61 | % | | | | 0.62 | % | | | | 0.62 | % | | | | 0.57 | % | | | | | |
After expense waivers and reimbursements | | | | 0.63 | %4 | | | | 0.62 | % | | | | 0.61 | % | | | | 0.62 | % | | | | 0.61 | % | | | | 0.57 | % | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 2.11 | %4 | | | | 1.45 | % | | | | 1.19 | % | | | | 1.16 | % | | | | 1.21 | % | | | | 1.60 | % | | | | | |
Portfolio Turnover Rate | | | | 71 | %3 | | | | 200 | % | | | | 95 | % | | | | 119 | % | | | | 30 | % | | | | 31 | % | | | | | |
| 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 2018 / 218 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | LOW DURATION BOND FUND CLASS I | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2018
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2018 | | YEAR
ENDED
MARCH 31,
2017 | | YEAR
ENDED
MARCH 31,
2016 | | YEAR
ENDED
MARCH 31,
2015 | | YEAR
ENDED
MARCH 31,
2014 | | |
Net Asset Value, Beginning of Period | | | $ | 8.64 | | | | $ | 8.72 | | | | $ | 8.73 | | | | $ | 8.81 | | | | $ | 8.81 | | | | $ | 8.83 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | 0.10 | | | | | 0.15 | | | | | 0.12 | | | | | 0.12 | | | | | 0.13 | | | | | 0.16 | | | | | | |
Net realized and unrealized gain/(loss) | | | | (0.06 | ) | | | | (0.08 | ) | | | | (0.00 | )2 | | | | (0.08 | ) | | | | (0.00 | )2 | | | | (0.02 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Income from Investment Operations | | | | 0.04 | | | | | 0.07 | | | | | 0.12 | | | | | 0.04 | | | | | 0.13 | | | | | 0.14 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.10 | ) | | | | (0.15 | ) | | | | (0.12 | ) | | | | (0.12 | ) | | | | (0.13 | ) | | | | (0.16 | ) | | | | | |
From net capital gains | | | | — | | | | | — | | | | | (0.01 | ) | | | | — | | | | | — | | | | | — | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | | (0.10 | ) | | | | (0.15 | ) | | | | (0.13 | ) | | | | (0.12 | ) | | | | (0.13 | ) | | | | (0.16 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 8.58 | | | | $ | 8.64 | | | | $ | 8.72 | | | | $ | 8.73 | | | | $ | 8.81 | | | | $ | 8.81 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | 0.47 | %3 | | | | 0.81 | % | | | | 1.46 | % | | | | 0.44 | % | | | | 1.46 | % | | | | 1.64 | % | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 1,611,119 | | | | $ | 1,685,415 | | | | $ | 1,816,633 | | | | $ | 1,915,270 | | | | $ | 1,915,434 | | | | $ | 1,695,160 | | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 0.42 | %4 | | | | 0.40 | % | | | | 0.40 | % | | | | 0.39 | % | | | | 0.39 | % | | | | 0.37 | % | | | | | |
After expense waivers and reimbursements | | | | 0.42 | %4 | | | | 0.40 | % | | | | 0.40 | % | | | | 0.39 | % | | | | 0.39 | % | | | | 0.37 | % | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 2.33 | %4 | | | | 1.68 | % | | | | 1.40 | % | | | | 1.39 | % | | | | 1.42 | % | | | | 1.78 | % | | | | | |
Portfolio Turnover Rate | | | | 71 | %3 | | | | 200 | % | | | | 95 | % | | | | 119 | % | | | | 30 | % | | | | 31 | % | | | | | |
| 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.
|
| 219 / Semi-Annual Report September 2018 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | LOW DURATION BOND FUND
ADMINISTRATIVE CLASS | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2018
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2018 | | YEAR
ENDED
MARCH 31,
2017 | | YEAR
ENDED
MARCH 31,
2016 | | YEAR
ENDED
MARCH 31,
2015 | | YEAR
ENDED
MARCH 31,
2014 | | |
Net Asset Value, Beginning of Period | | | $ | 11.16 | | | | $ | 11.27 | | | | $ | 11.27 | | | | $ | 11.37 | | | | $ | 11.38 | | | | $ | 11.41 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | 0.11 | | | | | 0.15 | | | | | 0.12 | | | | | 0.12 | | | | | 0.12 | | | | | 0.14 | | | | | | |
Net realized and unrealized gain/(loss) | | | | (0.08 | ) | | | | (0.10 | ) | | | | (0.01 | ) | | |
| (0.11
| )2
| | | | — | | | | | — | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Income from Investment Operations | | | | 0.03 | | | | | 0.05 | | | | | 0.13 | | | | | 0.01 | | | | | 0.12 | | | | | 0.14 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.11 | ) | | | | (0.16 | ) | | | | (0.12 | ) | | | | (0.11 | ) | | | | (0.13 | ) | | | | (0.17 | ) | | | | | |
From net capital gains | | | | — | | | | | — | | | | | (0.01 | ) | | | | — | | | | | — | | | | | — | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | | (0.11 | ) | | | | (0.16 | ) | | | | (0.13 | ) | | | | (0.11 | ) | | | | (0.13 | ) | | | | (0.17 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 11.08 | | | | $ | 11.16 | | | | $ | 11.27 | | | | $ | 11.27 | | | | $ | 11.37 | | | | $ | 11.38 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | 0.29 | %3 | | | | 0.43 | % | | | | 1.22 | % | | | | 0.13 | % | | | | 1.04 | % | | | | 1.21 | % | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 368 | | | | $ | 5,374 | | | | $ | 7,210 | | | | $ | 7,359 | | | | $ | 4,599 | | | | $ | 3,623 | | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 0.72 | %4 | | | | 0.72 | % | | | | 0.72 | % | | | | 0.72 | % | | | | 0.72 | % | | | | 0.78 | % | | | | | |
After expense waivers and reimbursements | | | | 0.72 | %4 | | | | 0.72 | % | | | | 0.72 | % | | | | 0.72 | % | | | | 0.72 | % | | | | 0.78 | % | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 1.95 | %4 | | | | 1.35 | % | | | | 1.08 | % | | | | 1.07 | % | | | | 1.09 | % | | | | 1.24 | % | | | | | |
Portfolio Turnover Rate | | | | 71 | %3 | | | | 200 | % | | | | 95 | % | | | | 119 | % | | | | 30 | % | | | | 31 | % | | | | | |
| 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 2018 / 220 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | STRATEGIC INCOME FUND CLASS M | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2018
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2018 | | YEAR
ENDED
MARCH 31,
2017 | | YEAR
ENDED
MARCH 31,
2016 | | YEAR
ENDED
MARCH 31,
2015 | | YEAR
ENDED
MARCH 31,
2014 | | |
Net Asset Value, Beginning of Period | | | $ | 7.99 | | | | $ | 8.05 | | | | $ | 7.99 | | | | $ | 8.32 | | | | $ | 8.29 | | | | $ | 8.32 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | 0.15 | | | | | 0.25 | | | | | 0.27 | | | | | 0.28 | | | | | 0.18 | | | | | 0.22 | | | | | | |
Net realized and unrealized gain/(loss) | | | | (0.09 | ) | | | | (0.03 | ) | | | | 0.04 | | | | | (0.33 | ) | | | | 0.02 | | | | | (0.02 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Income/(Loss) from Investment Operations | | | | 0.06 | | | | | 0.22 | | | | | 0.31 | | | | | (0.05 | ) | | | | 0.20 | | | | | 0.20 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.15 | ) | | | | (0.28 | ) | | | | (0.25 | ) | | | | (0.28 | ) | | | | (0.17 | ) | | | | (0.23 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | | (0.15 | ) | | | | (0.28 | ) | | | | (0.25 | ) | | | | (0.28 | ) | | | | (0.17 | ) | | | | (0.23 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 7.90 | | | | $ | 7.99 | | | | $ | 8.05 | | | | $ | 7.99 | | | | $ | 8.32 | | | | $ | 8.29 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | 0.75 | %2 | | | | 2.78 | % | | | | 3.91 | % | | | | (0.57 | )% | | | | 2.37 | % | | | | 2.42 | % | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 20,289 | | | | $ | 26,420 | | | | $ | 44,430 | | | | $ | 59,072 | | | | $ | 73,453 | | | | $ | 73,180 | | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 2.08 | %3,4 | | | | 2.45 | % | | | | 2.09 | % | | | | 1.87 | % | | | | 2.41 | % | | | | 2.26 | % | | | | | |
After expense waivers and reimbursements | | | | 2.08 | %3 | | | | 2.35 | % | | | | 2.09 | % | | | | 1.87 | % | | | | 2.35 | % | | | | 2.26 | % | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 3.72 | %3 | | | | 3.15 | % | | | | 3.36 | % | | | | 3.46 | % | | | | 2.20 | % | | | | 2.62 | % | | | | | |
Portfolio Turnover Rate | | | | 19 | %2 | | | | 32 | % | | | | 42 | % | | | | 20 | % | | | | 32 | % | | | | 51 | % | | | | | |
| 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 1.79%. |
See accompanying notes to financial statements.
|
| 221 / Semi-Annual Report September 2018 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | STRATEGIC INCOME FUND CLASS I | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2018
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2018 | | YEAR
ENDED
MARCH 31,
2017 | | YEAR
ENDED
MARCH 31,
2016 | | YEAR
ENDED
MARCH 31,
2015 | | YEAR
ENDED
MARCH 31,
2014 | | |
Net Asset Value, Beginning of Period | | | $ | 7.98 | | | | $ | 8.05 | | | | $ | 7.98 | | | | $ | 8.31 | | | | $ | 8.29 | | | | $ | 8.32 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | 0.16 | | | | | 0.27 | | | | | 0.29 | | | | | 0.31 | | | | | 0.20 | | | | | 0.25 | | | | | | |
Net realized and unrealized gain/(loss) | | | | (0.09 | ) | | | | (0.04 | ) | | | | 0.05 | | | | | (0.33 | ) | | | | — | | | | | (0.03 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Income/(Loss) from Investment Operations | | | | 0.07 | | | | | 0.23 | | | | | 0.34 | | | | | (0.02 | ) | | | | 0.20 | | | | | 0.22 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.16 | ) | | | | (0.30 | ) | | | | (0.27 | ) | | | | (0.31 | ) | | | | (0.18 | ) | | | | (0.25 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | | (0.16 | ) | | | | (0.30 | ) | | | | (0.27 | ) | | | | (0.31 | ) | | | | (0.18 | ) | | | | (0.25 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 7.89 | | | | $ | 7.98 | | | | $ | 8.05 | | | | $ | 7.98 | | | | $ | 8.31 | | | | $ | 8.29 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | 0.89 | %2 | | | | 2.90 | % | | | | 4.32 | % | | | | (0.25 | )% | | | | 2.49 | % | | | | 2.69 | % | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 70,943 | | | | $ | 69,791 | | | | $ | 70,556 | | | | $ | 61,018 | | | | $ | 90,718 | | | | $ | 146,485 | | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | |
| 1.77
| %3,4
| | | | 2.22 | % | | | | 1.84 | % | | | | 1.54 | % | | | | 2.10 | % | | | | 1.99 | % | | | | | |
After expense waivers and reimbursements | | | | 1.77 | %3 | | | | 2.10 | % | | | | 1.84 | % | | | | 1.54 | % | | | | 2.10 | % | | | | 1.99 | % | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 4.05 | %3 | | | | 3.40 | % | | | | 3.64 | % | | | | 3.78 | % | | | | 2.37 | % | | | | 3.07 | % | | | | | |
Portfolio Turnover Rate | | | | 19 | %2 | | | | 32 | % | | | | 42 | % | | | | 20 | % | | | | 32 | % | | | | 51 | % | | | | | |
| 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 1.54%. |
See accompanying notes to financial statements.
|
| Semi-Annual Report September 2018 / 222 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | TOTAL RETURN BOND FUND CLASS M | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2018
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2018 | | YEAR
ENDED
MARCH 31,
2017 | | YEAR
ENDED
MARCH 31,
2016 | | YEAR
ENDED
MARCH 31,
2015 | | YEAR
ENDED
MARCH 31,
2014 | | |
Net Asset Value, Beginning of Period | | | $ | 10.46 | | | | $ | 10.57 | | | | $ | 10.83 | | | | $ | 11.02 | | | | $ | 10.68 | | | | $ | 10.92 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | 0.13 | | | | | 0.21 | | | | | 0.18 | | | | | 0.18 | | | | | 0.19 | | | | | 0.29 | | | | | | |
Net realized and unrealized gain/(loss) | | | | (0.14 | ) | | | | (0.11 | ) | | | | (0.11 | ) | | | | (0.07 | ) | | | | 0.38 | | | | | (0.18 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Total Income from Investment Operations | | | | (0.01 | ) | | | | 0.10 | | | | | 0.07 | | | | | 0.11 | | | | | 0.57 | | | | | 0.11 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.13 | ) | | | | (0.21 | ) | | | | (0.18 | ) | | | | (0.18 | ) | | | | (0.20 | ) | | | | (0.29 | ) | | | | | |
From net capital gains | | | | — | | | | | — | | | | | (0.15 | ) | | | | (0.12 | ) | | | | (0.03 | ) | | | | (0.06 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Total Distributions | | | | (0.13 | ) | | | | (0.21 | ) | | | | (0.33 | ) | | | | (0.30 | ) | | | | (0.23 | ) | | | | (0.35 | ) | | | | | |
| | �� | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Net Asset Value, End of Period | | | $ | 10.32 | | | | $ | 10.46 | | | | $ | 10.57 | | | | $ | 10.83 | | | | $ | 11.02 | | | | $ | 10.68 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Total Return | | | | (0.07 | )%2 | | | | 0.94 | % | | | | 0.70 | % | | | | 0.99 | % | | | | 5.38 | % | | | | 1.07 | % | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 10,253,525 | | | | $ | 11,617,735 | | | | $ | 15,223,666 | | | | $ | 16,488,095 | | | | $ | 16,558,422 | | | | $ | 10,587,362 | | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 0.68 | %3 | | | | 0.67 | % | | | | 0.67 | % | | | | 0.66 | % | | | | 0.68 | % | | | | 0.62 | % | | | | | |
After expense waivers and reimbursements | | | | 0.68 | %3 | | | | 0.67 | % | | | | 0.67 | % | | | | 0.66 | % | | | | 0.68 | % | | | | 0.62 | % | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 2.56 | %3 | | | | 1.96 | % | | | | 1.71 | % | | | | 1.64 | % | | | | 1.79 | % | | | | 2.70 | % | | | | | |
Portfolio Turnover Rate | | | | 99 | %2 | | | | 291 | % | | | | 313 | % | | | | 303 | % | | | | 246 | % | | | | 255 | % | | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
See accompanying notes to financial statements.
|
| 223 / Semi-Annual Report September 2018 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | TOTAL RETURN BOND FUND CLASS I | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2018
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2018 | | YEAR
ENDED
MARCH 31,
2017 | | YEAR
ENDED
MARCH 31,
2016 | | YEAR
ENDED
MARCH 31,
2015 | | YEAR
ENDED
MARCH 31,
2014 | | |
Net Asset Value, Beginning of Period | | | $ | 10.46 | | | | $ | 10.57 | | | | $ | 10.83 | | | | $ | 11.01 | | | | $ | 10.68 | | | | $ | 10.92 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | 0.14 | | | | | 0.23 | | | | | 0.21 | | | | | 0.20 | | | | | 0.21 | | | | | 0.31 | | | | | | |
Net realized and unrealized gain/(loss) | | | | (0.15 | ) | | | | (0.11 | ) | | | | (0.11 | ) | | | | (0.06 | ) | | | | 0.38 | | | | | (0.18 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Total Income from Investment Operations | | | | (0.01 | ) | | | | 0.12 | | | | | 0.10 | | | | | 0.14 | | | | | 0.59 | | | | | 0.13 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.14 | ) | | | | (0.23 | ) | | | | (0.21 | ) | | | | (0.20 | ) | | | | (0.23 | ) | | | | (0.31 | ) | | | | | |
From net capital gains | | | | — | | | | | — | | | | | (0.15 | ) | | | | (0.12 | ) | | | | (0.03 | ) | | | | (0.06 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Total Distributions | | | | (0.14 | ) | | | | (0.23 | ) | | | | (0.36 | ) | | | | (0.32 | ) | | | | (0.26 | ) | | | | (0.37 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Net Asset Value, End of Period | | | $ | 10.31 | | | | $ | 10.46 | | | | $ | 10.57 | | | | $ | 10.83 | | | | $ | 11.01 | | | | $ | 10.68 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Total Return | | | | (0.05 | )%2 | | | | 1.17 | % | | | | 0.93 | % | | | | 1.31 | % | | | | 5.54 | % | | | | 1.29 | % | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 41,314,079 | | | | $ | 47,327,297 | | | | $ | 49,013,553 | | | | $ | 46,277,563 | | | | $ | 40,277,552 | | | | $ | 16,023,118 | | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 0.46 | %3 | | | | 0.44 | % | | | | 0.44 | % | | | | 0.43 | % | | | | 0.44 | % | | | | 0.40 | % | | | | | |
After expense waivers and reimbursements | | | | 0.46 | %3 | | | | 0.44 | % | | | | 0.44 | % | | | | 0.43 | % | | | | 0.44 | % | | | | 0.40 | % | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 2.78 | %3 | | | | 2.19 | % | | | | 1.94 | % | | | | 1.87 | % | | | | 1.94 | % | | | | 2.90 | % | | | | | |
Portfolio Turnover Rate | | | | 99 | %2 | | | | 291 | % | | | | 313 | % | | | | 303 | % | | | | 246 | % | | | | 255 | % | | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
See accompanying notes to financial statements.
|
| Semi-Annual Report September 2018 / 224 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | TOTAL RETURN BOND FUND
ADMINISTRATIVE CLASS | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2018
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2018 | | YEAR
ENDED
MARCH 31,
2017 | | YEAR
ENDED
MARCH 31,
2016 | | YEAR
ENDED
MARCH 31,
2015 | | YEAR
ENDED
MARCH 31,
2014 | | |
Net Asset Value, Beginning of Period | | | $ | 10.47 | | | | $ | 10.58 | | | | $ | 10.84 | | | | $ | 11.02 | | | | $ | 10.68 | | | | $ | 10.93 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | 0.13 | | | | | 0.20 | | | | | 0.17 | | | | | 0.16 | | | | | 0.16 | | | | | 0.26 | | | | | | |
Net realized and unrealized gain/(loss) | | | | (0.15 | ) | | | | (0.11 | ) | | | | (0.11 | ) | | | | (0.06 | ) | | | | 0.40 | | | | | (0.18 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Total Income from Investment Operations | | | | (0.02 | ) | | | | 0.09 | | | | | 0.06 | | | | | 0.10 | | | | | 0.56 | | | | | 0.08 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.13 | ) | | | | (0.20 | ) | | | | (0.17 | ) | | | | (0.16 | ) | | | | (0.19 | ) | | | | (0.27 | ) | | | | | |
From net capital gains | | | | — | | | | | — | | | | | (0.15 | ) | | | | (0.12 | ) | | | | (0.03 | ) | | | | (0.06 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Total Distributions | | | | (0.13 | ) | | | | (0.20 | ) | | | | (0.32 | ) | | | | (0.28 | ) | | | | (0.22 | ) | | | | (0.33 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Net Asset Value, End of Period | | | $ | 10.32 | | | | $ | 10.47 | | | | $ | 10.58 | | | | $ | 10.84 | | | | $ | 11.02 | | | | $ | 10.68 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Total Return | | | | (0.21 | )%2 | | | | 0.83 | % | | | | 0.59 | % | | | | 0.96 | % | | | | 5.25 | % | | | | 0.79 | % | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 926,081 | | | | $ | 975,897 | | | | $ | 768,125 | | | | $ | 291,168 | | | | $ | 281,479 | | | | $ | 39,430 | | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 0.78 | %3 | | | | 0.78 | % | | | | 0.78 | % | | | | 0.78 | % | | | | 0.80 | % | | | | 0.81 | % | | | | | |
After expense waivers and reimbursements | | | | 0.78 | %3 | | | | 0.78 | % | | | | 0.78 | % | | | | 0.78 | % | | | | 0.80 | % | | | | 0.81 | % | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 2.46 | %3 | | | | 1.87 | % | | | | 1.62 | % | | | | 1.51 | % | | | | 1.45 | % | | | | 2.47 | % | | | | | |
Portfolio Turnover Rate | | | | 99 | %2 | | | | 291 | % | | | | 313 | % | | | | 303 | % | | | | 246 | % | | | | 255 | % | | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
See accompanying notes to financial statements.
|
| 225 / Semi-Annual Report September 2018 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | TOTAL RETURN BOND FUND
PLAN CLASS | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2018
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2018 | | YEAR
ENDED
MARCH 31,
2017 | | YEAR
ENDED
MARCH 31,
2016 | | YEAR
ENDED
MARCH 31,
2015 | | YEAR
ENDED
MARCH 31,
2014 | | |
Net Asset Value, Beginning of Period | | | $ | 9.84 | | | | $ | 9.95 | | | | $ | 10.20 | | | | $ | 10.38 | | | | $ | 10.07 | | | | $ | 10.30 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | 0.14 | | | | | 0.23 | | | | | 0.20 | | | | | 0.20 | | | | | 0.18 | | | | | 0.29 | | | | | | |
Net realized and unrealized gain/(loss) | | | | (0.13 | ) | | | | (0.11 | ) | | | | (0.10 | ) | | | | (0.07 | ) | | | | 0.38 | | | | | (0.17 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Income from Investment Operations | | | | 0.01 | | | | | 0.12 | | | | | 0.10 | | | | | 0.13 | | | | | 0.56 | | | | | 0.12 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.14 | ) | | | | (0.23 | ) | | | | (0.20 | ) | | | | (0.19 | ) | | | | (0.22 | ) | | | | (0.29 | ) | | | | | |
From net capital gains | | | | — | | | | | — | | | | | (0.15 | ) | | | | (0.12 | ) | | | | (0.03 | ) | | | | (0.06 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | | (0.14 | ) | | | | (0.23 | ) | | | | (0.35 | ) | | | | (0.31 | ) | | | | (0.25 | ) | | | | (0.35 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | | $ | 9.71 | | | | $ | 9.84 | | | | $ | 9.95 | | | | $ | 10.20 | | | | $ | 10.38 | | | | $ | 10.07 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | | 0.11 | %2 | | | | 1.18 | % | | | | 1.03 | % | | | | 1.33 | % | | | | 5.60 | % | | | | 1.30 | % | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 19,861,230 | | | | $ | 18,363,121 | | | | $ | 13,687,733 | | | | $ | 10,702,029 | | | | $ | 7,179,308 | | | | $ | 535,236 | | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 0.37 | %3 | | | | 0.37 | % | | | | 0.37 | % | | | | 0.38 | % | | | | 0.40 | % | | | | 0.39 | % | | | | | |
After expense waivers and reimbursements | | | | 0.37 | %3 | | | | 0.37 | % | | | | 0.37 | % | | | | 0.38 | % | | | | 0.39 | % | | | | 0.39 | % | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 2.88 | %3 | | | | 2.28 | % | | | | 2.01 | % | | | | 1.93 | % | | | | 1.77 | % | | | | 2.88 | % | | | | | |
Portfolio Turnover Rate | | | | 99 | %2 | | | | 291 | % | | | | 313 | % | | | | 303 | % | | | | 246 | % | | | | 255 | % | | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
See accompanying notes to financial statements.
|
| Semi-Annual Report September 2018 / 226 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | ULTRA SHORT BOND FUND CLASS M | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2018
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2018 | | YEAR
ENDED
MARCH 31,
2017 | | YEAR
ENDED
MARCH 31,
2016 | | YEAR
ENDED
MARCH 31,
2015 | | YEAR
ENDED
MARCH 31,
2014 | | |
Net Asset Value, Beginning of Period | | | $ | 4.25 | | | | $ | 4.27 | | | | $ | 4.27 | | | | $ | 4.29 | | | | $ | 4.30 | | | | $ | 4.31 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | 0.04 | | | | | 0.05 | | | | | 0.04 | | | | | 0.03 | | | | | 0.03 | | | | | 0.04 | | | | | | |
Net realized and unrealized gain/(loss) | | | | (0.01 | ) | | | | (0.02 | ) | | | | 0.01 | | | | | (0.02 | ) | | | | (0.01 | ) | | | | (0.01 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Total Income from Investment Operations | | | | 0.03 | | | | | 0.03 | | | | | 0.05 | | | | | 0.01 | | | | | 0.02 | | | | | 0.03 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.04 | ) | | | | (0.05 | ) | | | | (0.04 | ) | | | | (0.03 | ) | | | | (0.03 | ) | | | | (0.04 | ) | | | | | |
From net capital gains | | | | — | | | | | — | | | | | (0.01 | ) | | | | — | | | | | — | | | | | — | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Total Distributions | | | | (0.04 | ) | | | | (0.05 | ) | | | | (0.05 | ) | | | | (0.03 | ) | | | | (0.03 | ) | | | | (0.04 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Net Asset Value, End of Period | | | $ | 4.24 | | | | $ | 4.25 | | | | $ | 4.27 | | | | $ | 4.27 | | | | $ | 4.29 | | | | $ | 4.30 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Total Return | | | | 0.69 | %2 | | | | 0.68 | % | | | | 1.14 | % | | | | 0.18 | % | | | | 0.42 | % | | | | 0.74 | % | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 38,915 | | | | $ | 50,777 | | | | $ | 66,238 | | | | $ | 78,212 | | | | $ | 69,868 | | | | $ | 97,090 | | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 0.74 | %3 | | | | 0.69 | % | | | | 0.67 | % | | | | 0.68 | % | | | | 0.65 | % | | | | 0.60 | % | | | | | |
After expense waivers and reimbursements | | | | 0.50 | %3 | | | | 0.50 | % | | | | 0.50 | % | | | | 0.50 | % | | | | 0.50 | % | | | | 0.50 | % | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 1.83 | %3 | | | | 1.14 | % | | | | 0.97 | % | | | | 0.66 | % | | | | 0.63 | % | | | | 0.92 | % | | | | | |
Portfolio Turnover Rate | | | | 80 | %2 | | | | 183 | % | | | | 63 | % | | | | 37 | % | | | | 16 | % | | | | 31 | % | | | | | |
| 1 | Per share numbers have been calculated using the average share method. |
See accompanying notes to financial statements.
|
| 227 / Semi-Annual Report September 2018 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | ULTRA SHORT BOND FUND CLASS I | | |
| | | SIX MONTHS ENDED
SEPTEMBER 30,
2018
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2018 | | YEAR
ENDED
MARCH 31,
2017 | | YEAR
ENDED
MARCH 31,
2016 | | YEAR
ENDED
MARCH 31,
2015 | | YEAR
ENDED
MARCH 31,
2014 | | |
Net Asset Value, Beginning of Period | | | $ | 4.26 | | | | $ | 4.27 | | | | $ | 4.28 | | | | $ | 4.30 | | | | $ | 4.31 | | | | $ | 4.32 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | 0.04 | | | | | 0.06 | | | | | 0.05 | | | | | 0.04 | | | | | 0.03 | | | | | 0.05 | | | | | | |
Net realized and unrealized gain/(loss) | | | | (0.01 | ) | | | | (0.01 | ) | | | | (0.00 | )2 | | | | (0.03 | ) | | | | (0.00 | )2 | | | | (0.01 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Total Income from Investment Operations | | | | 0.03 | | | | | 0.05 | | | | | 0.05 | | | | | 0.01 | | | | | 0.03 | | | | | 0.04 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.04 | ) | | | | (0.06 | ) | | | | (0.05 | ) | | | | (0.03 | ) | | | | (0.04 | ) | | | | (0.05 | ) | | | | | |
From net capital gains | | | | — | | | | | — | | | | | (0.01 | ) | | | | — | | | | | — | | | | | — | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Total Distributions | | | | (0.04 | ) | | | | (0.06 | ) | | | | (0.06 | ) | | | | (0.03 | ) | | | | (0.04 | ) | | | | (0.05 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Net Asset Value, End of Period | | | $ | 4.25 | | | | $ | 4.26 | | | | $ | 4.27 | | | | $ | 4.28 | | | | $ | 4.30 | | | | $ | 4.31 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Total Return | | | | 0.77 | %3 | | | | 1.08 | % | | | | 1.06 | % | | | | 0.34 | % | | | | 0.59 | % | | | | 0.90 | % | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 72,563 | | | | $ | 68,698 | | | | $ | 70,744 | | | | $ | 74,751 | | | | $ | 80,530 | | | | $ | 100,622 | | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 0.56 | %4 | | | | 0.52 | % | | | | 0.49 | % | | | | 0.50 | % | | | | 0.46 | % | | | | 0.43 | % | | | | | |
After expense waivers and reimbursements | | | | 0.34 | %4 | | | | 0.34 | % | | | | 0.34 | % | | | | 0.34 | % | | | | 0.34 | % | | | | 0.34 | % | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 2.00 | %4 | | | | 1.30 | % | | | | 1.13 | % | | | | 0.83 | % | | | | 0.79 | % | | | | 1.09 | % | | | | | |
Portfolio Turnover Rate | | | | 80 | %3 | | | | 183 | % | | | | 63 | % | | | | 37 | % | | | | 16 | % | | | | 31 | % | | | | | |
| 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 2018 / 228 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | UNCONSTRAINED BOND FUND
CLASS M | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2018
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2018 | | YEAR
ENDED
MARCH 31,
2017 | | YEAR
ENDED
MARCH 31,
2016 | | YEAR
ENDED
MARCH 31,
2015 | | YEAR
ENDED
MARCH 31,
2014 | | |
Net Asset Value, Beginning of Period | | | $ | 11.83 | | | | $ | 11.90 | | | | $ | 11.72 | | | | $ | 11.95 | | | | $ | 11.87 | | | | $ | 11.81 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | 0.20 | | | | | 0.29 | | | | | 0.25 | | | | | 0.23 | | | | | 0.21 | | | | | 0.29 | | | | | | |
Net realized and unrealized gain/(loss) | | | | (0.07 | ) | | | | (0.03 | ) | | | | 0.22 | | | | | (0.23 | ) | | | | 0.08 | | | | | 0.07 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Total Income/(Loss) from Investment Operations | | | | 0.13 | | | | | 0.26 | | | | | 0.47 | | | | | — | | | | | 0.29 | | | | | 0.36 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.20 | ) | | | | (0.31 | ) | | | | (0.25 | ) | | | | (0.23 | ) | | | | (0.21 | ) | | | | (0.29 | ) | | | | | |
From net capital gains | | | | — | | | | | (0.02 | ) | | | | (0.04 | ) | | | | — | | | | | — | | | | | (0.01 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Total Distributions | | | | (0.20 | ) | | | | (0.33 | ) | | | | (0.29 | ) | | | | (0.23 | ) | | | | (0.21 | ) | | | | (0.30 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Net Asset Value, End of Period | | | $ | 11.76 | | | | $ | 11.83 | | | | $ | 11.90 | | | | $ | 11.72 | | | | $ | 11.95 | | | | $ | 11.87 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Total Return | | | | 1.10 | %2 | | | | 2.18 | % | | | | 4.11 | % | | | | (0.02 | )% | | | | 2.47 | % | | | | 3.09 | % | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 518,366 | | | | $ | 642,999 | | | | $ | 1,460,884 | | | | $ | 827,053 | | | | $ | 738,090 | | | | $ | 305,872 | | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 1.15 | %3 | | | | 1.05 | % | | | | 1.04 | %4 | | | | 1.04 | % | | | | 1.04 | % | | | | 1.04 | % | | | | | |
After expense waivers and reimbursements | | | | 1.04 | %3 | | | | 1.04 | % | | | | 1.04 | % | | | | 1.04 | % | | | | 1.03 | % | | | | 0.99 | % | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 3.33 | %3 | | | | 2.39 | % | | | | 2.13 | % | | | | 1.95 | % | | | | 1.76 | % | | | | 2.46 | % | | | | | |
Portfolio Turnover Rate | | | | 19 | %2 | | | | 62 | % | | | | 33 | % | | | | 23 | % | | | | 18 | % | | | | 38 | % | | | | | |
| 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 1.02%. |
See accompanying notes to financial statements.
|
| 229 / Semi-Annual Report September 2018 |
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | UNCONSTRAINED BOND FUND
CLASS I | | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2018
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2018 | | YEAR
ENDED
MARCH 31,
2017 | | YEAR
ENDED
MARCH 31,
2016 | | YEAR
ENDED
MARCH 31,
2015 | | YEAR
ENDED
MARCH 31,
2014 | | |
Net Asset Value, Beginning of Period | | | $ | 11.82 | | | | $ | 11.89 | | | | $ | 11.71 | | | | $ | 11.94 | | | | $ | 11.86 | | | | $ | 11.80 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income1 | | | | 0.21 | | | | | 0.33 | | | | | 0.29 | | | | | 0.27 | | | | | 0.24 | | | | | 0.32 | | | | | | |
Net realized and unrealized gain/(loss) | | | | (0.06 | ) | | | | (0.04 | ) | | | | 0.22 | | | | | (0.24 | ) | | | | 0.08 | | | | | 0.07 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Total Income from Investment Operations | | | | 0.15 | | | | | 0.29 | | | | | 0.51 | | | | | 0.03 | | | | | 0.32 | | | | | 0.39 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | | (0.22 | ) | | | | (0.34 | ) | | | | (0.29 | ) | | | | (0.26 | ) | | | | (0.24 | ) | | | | (0.32 | ) | | | | | |
From net capital gains | | | | — | | | | | (0.02 | ) | | | | (0.04 | ) | | | | — | | | | | — | | | | | (0.01 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Total Distributions | | | | (0.22 | ) | | | | (0.36 | ) | | | | (0.33 | ) | | | | (0.26 | ) | | | | (0.24 | ) | | | | (0.33 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Net Asset Value, End of Period | | | $ | 11.75 | | | | $ | 11.82 | | | | $ | 11.89 | | | | $ | 11.71 | | | | $ | 11.94 | | | | $ | 11.86 | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
Total Return | | | | 1.25 | %2 | | | | 2.49 | % | | | | 4.43 | % | | | | 0.29 | % | | | | 2.72 | % | | | | 3.34 | % | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | | $ | 2,596,249 | | | | $ | 2,627,294 | | | | $ | 1,996,550 | | | | $ | 1,395,583 | | | | $ | 1,299,022 | | | | $ | 412,757 | | | | | | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | | 0.75 | %3 | | | | 0.73 | % | | | | 0.73 | % | | | | 0.73 | % | | | | 0.79 | %4 | | | | 0.78 | % | | | | | |
After expense waivers and reimbursements | | | | 0.75 | %3 | | | | 0.73 | % | | | | 0.73 | % | | | | 0.73 | % | | | | 0.79 | % | | | | 0.75 | % | | | | | |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | | 3.63 | %3 | | | | 2.77 | % | | | | 2.46 | % | | | | 2.25 | % | | | | 2.00 | % | | | | 2.70 | % | | | | | |
Portfolio Turnover Rate | | | | 19 | %2 | | | | 62 | % | | | | 33 | % | | | | 23 | % | | | | 18 | % | | | | 38 | % | | | | | |
| 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.
|
| Semi-Annual Report September 2018 / 230 |
Notes to Financial Statements
September 30, 2018 (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 eleven separate portfolios (each a “Fund” and collectively, the “Funds”): MetropolitanWestAlphaTrak 500 Fund (the “AlphaTrak 500 Fund”), MetropolitanWest Corporate Bond Fund (the “Corporate Bond Fund”), Metropolitan West Floating Rate Income Fund (the “Floating Rate Income Fund”), Metropolitan West High Yield Bond Fund (the “High Yield Bond Fund”), Metropolitan West Intermediate Bond Fund (the “Intermediate Bond Fund”), Metropolitan West Investment Grade Credit Fund (the “Investment Grade Credit Fund”), Metropolitan West Low Duration Bond Fund (the “Low Duration Bond Fund”), Metropolitan West Strategic Income Fund (the “Strategic Income Fund”), Metropolitan West Total Return Bond Fund (the “Total Return Bond Fund”), Metropolitan West Ultra Short Bond Fund (the “Ultra Short Bond Fund”) and Metropolitan West Unconstrained Bond Fund (the “Unconstrained Bond Fund”). The AlphaTrak 500 Fund commenced investment operations on June 29, 1998 with Class M shares. The Corporate Bond Fund commenced investment operation on June 29, 2018 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 High Yield Bond Fund commenced investment operations on September 30, 2002 with Class M shares. Class I was added on March 31, 2003. 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 Investment Grade Credit Fund commenced investment operation on June 29, 2018 with Class M and Class I shares. 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 Administrative Class was added on September 22, 2009. The Strategic Income Fund commenced investment operations on June 30, 2003 with Class M shares. Class I was added on March 31, 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 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 Unconstrained Bond Fund commenced investment operations on September 30, 2011 with Class M and Class I 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 AlphaTrak 500 Fund seeks to achieve a total return that exceeds the total return of the Standard & Poor’s 500 Index (the “S&P 500 Index”). The Fund combines non-leveraged investments in S&P 500 Index futures contracts and/or 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 up to five years.
The Corporate Bond Fund seeks to maximize long-term total return, by investing, under normal circumstances, at least 80% of its assets, which includes borrowings for investment purposes, in a diversified portfolio of corporate debt instruments of varying maturities issued by U.S. and foreign corporations domiciled in developed market and emerging market countries. There is no limit on the weighted average maturity of the Fund’s portfolio, and the Fund’s average portfolio duration is expected, but not required, to vary from three to nine years.
The Floating Rate Income Fund seeks primarily to maximize current income with a secondary objective of long term capital appreciation, by investing normally at least 80% of its net assets, which includes borrowings for investment purposes, in floating rate investments and in investments that are the economic equivalent of floating rate investments. The Fund’s portfolio securities may have any duration or maturity.
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 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 Investment Grade Credit Fund seeks to maximize long-term total return. This Fund invests in a diversified portfolio of investment grade fixed-income securities of varying maturities. There is no limit on the weighted average maturity of the Fund’s portfolio, and the Fund’s average portfolio duration is expected, but not required, to vary from two to eight years.
231 / Semi-Annual Report September 2018
Notes to Financial Statements (Continued)
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 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 focuses on inefficiencies related to secured or asset-backed debt compared with unsecured and subordinated debt or equity of companies and issuers. Additionally, the Fund focuses 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.
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 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 normally exceeds one year.
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. There is no limit on the weighted average maturity of the Fund’s portfolio, and the average portfolio duration of the fixed-income portion of the Fund’s portfolio is expected to vary from negative three (-3) years to positive eight (8) 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.tcw.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 class of a Fund 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 of the 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” or the “Board of Trustees”). 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
Semi-Annual Report September 2018 / 232
Notes to Financial Statements (Continued)
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 approved by the Board of Trustees 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 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 effective interest method.
Distributions to Shareholders:
Distributions to shareholders are recorded on the ex-dividend date. The Funds (except the AlphaTrak 500 Fund) expect to declare dividends daily and pay them monthly to shareholders. The AlphaTrak 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.
233 / Semi-Annual Report September 2018
Notes to Financial Statements (Continued)
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, 2018, 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 Statements 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.
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 as Level 2 of the fair value hierarchy.
Semi-Annual Report September 2018 / 234
Notes to Financial Statements (Continued)
Equity securities. Securities such as common stocks and warrants 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 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.
235 / Semi-Annual Report September 2018
Notes to Financial Statements (Continued)
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, 2018, Level 3 securities consist of certain asset-backed and mortgage-backed securities, bank loans, common stocks, corporate bonds and warrants.
The summary of inputs used to value each Fund’s investments and other financial instruments carried at fair value September 30, 2018 is as follows:
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | ALPHATRAK 500 FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTAL | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | Investments in Securities | | | | | | | | | | | | | | | | |
| | | | | |
| | Assets | | | | | | | | | | | | | | | | |
| | Short-Term Investments: | | | | | | | | | | | | | | | | |
| | Money Market Funds | | | $ 221,000 | | | | $ — | | | | $ — | | | | $ 221,000 | |
| | U.S. Treasury Bills | | | 2,134,488 | | | | — | | | | — | | | | 2,134,488 | |
| | Long-Term Investments: | | | | | | | | | | | | | | | | |
| | Asset-Backed Securities | | | — | | | | 1,466,247 | | | | — | | | | 1,466,247 | |
| | Bank Loans | | | — | | | | 17,054 | | | | 6,819 | | | | 23,873 | |
| | Corporates | | | — | | | | 7,328,529 | | | | — | | | | 7,328,529 | |
| | Mortgage-Backed | | | — | | | | 5,796,867 | | | | 228,573 | | | | 6,025,440 | |
| | Mutual Funds | | | 499,166 | | | | — | | | | — | | | | 499,166 | |
| | U.S. Treasury Securities | | | 730,640 | | | | — | | | | — | | | | 730,640 | |
| | | | | |
| | Other Financial Instruments * | | | | | | | | | | | | | | | | |
| | | | | |
| | Assets: | | | | | | | | | | | | | | | | |
| | Equity contracts | | | 233,101 | | | | — | | | | — | | | | 233,101 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | Total | | $ | 3,818,395 | | | $ | 14,608,697 | | | $ | 235,392 | | | $ | 18,662,484 | |
| | | | | | | | | | | | | | | | | | |
*Other financial instruments include futures. Equity contracts include futures. | | | | | |
Semi-Annual Report September 2018 / 236
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | CORPORATE BOND FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTAL | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | Investments in Securities | | | | | | | | | | | | | | | | |
| | | | | |
| | Assets | | | | | | | | | | | | | | | | |
| | Short-Term Investments: | | | | | | | | | | | | | | | | |
| | Money Market Funds | | $ | 14,000 | | | $ | — | | | $ | — | | | $ | 14,000 | |
| | U.S. Treasury Bills | | | 129,791 | | | | — | | | | — | | | | 129,791 | |
| | Long-Term Investments: | | | | | | | | | | | | | | | | |
| | Corporates | | | — | | | | 1,594,022 | | | | — | | | | 1,594,022 | |
| | Mortgage-Backed | | | — | | | | 188,429 | | | | 75,887 | | | | 264,316 | |
| | Municipal Bonds | | | — | | | | 16,302 | | | | — | | | | 16,302 | |
| | U.S. Treasury Securities | | | 14,950 | | | | — | | | | — | | | | 14,950 | |
| | | | | |
| | Other Financial Instruments * | | | | | | | | | | | | | | | | |
| | | | | |
| | Liabilities: | | | | | | | | | | | | | | | | |
| | Interest rate contracts | | | (2,438) | | | | — | | | | — | | | | (2,438) | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | Total | | $ | 156,303 | | | $ | 1,798,753 | | | $ | 75,887 | | | $ | 2,030,943 | |
| | | | | | | | | | | | | | | | | | |
*Other financial instruments include futures. Interest rate contracts include futures. | | | | | |
| | | | | |
| | | FLOATING RATE INCOME FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTAL | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | Investments in Securities | | | | | | | | | | | | | | | | |
| | | | | |
| | Assets | | | | | | | | | | | | | | | | |
| | Short-Term Investments: | | | | | | | | | | | | | | | | |
| | Foreign Government Obligations | | $ | — | | | $ | 7,440,085 | | | $ | — | | | $ | 7,440,085 | |
| | Money Market Funds | | | 3,979,000 | | | | — | | | | — | | | | 3,979,000 | |
| | U.S. Treasury Bills | | | 18,596,762 | | | | — | | | | — | | | | 18,596,762 | |
| | Long-Term Investments: | | | | | | | | | | | | | | | | |
| | Bank Loans | | | — | | | | 240,333,263 | | | | 3,862,657 | | | | 244,195,920 | |
| | Corporates | | | — | | | | 13,140,668 | | | | — | | | | 13,140,668 | |
| | Municipal Bonds | | | — | | | | 426,476 | | | | — | | | | 426,476 | |
| | | | | |
| | Other Financial Instruments * | | | | | | | | | | | | | | | | |
| | | | | |
| | Assets: | | | | | | | | | | | | | | | | |
| | Foreign currency exchange contracts | | | — | | | | 174,271 | | | | — | | | | 174,271 | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | Total | | $ | 22,575,762 | | | $ | 261,514,763 | | | $ | 3,862,657 | | | $ | 287,953,182 | |
| | | | | | | | | | | | | | | | | | |
*Other financial instruments include foreign currency exchange contracts.
237 / Semi-Annual Report September 2018
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 | | | $21,372,000 | | | | $ — | | | | $ — | | | | $ 21,372,000 | |
| | U.S. Agency Discount Notes | | | — | | | | 4,099,523 | | | | — | | | | 4,099,523 | |
| | U.S. Treasury Bills | | | 34,649,247 | | | | — | | | | — | | | | 34,649,247 | |
| | Long-Term Investments: | | | | | | | | | | | | | | | | |
| | Bank Loans | | | — | | | | 75,502,641 | | | | 444,142 | | | | 75,946,783 | |
| | Common Stock | | | — | | | | — | | | | 4,625,508 | | | | 4,625,508 | |
| | Corporates | | | — | | | | 357,736,686 | | | | 1,328,167 | | | | 359,064,853 | |
| | Mortgage-Backed | | | — | | | | 253,151 | | | | — | | | | 253,151 | |
| | Warrant | | | — | | | | — | | | | 83,507 | | | | 83,507 | |
| | | | | |
| | Other Financial Instruments * | | | | | | | | | | | | | | | | |
| | Assets: | | | | | | | | | | | | | | | | |
| | Interest rate contracts | | | 70,123 | | | | — | | | | — | | | | 70,123 | |
| | Liabilities: | | | | | | | | | | | | | | | | |
| | Credit contracts | | | — | | | | (80,188) | | | | — | | | | (80,188) | |
| | Interest rate contracts | | | (486,397) | | | | — | | | | — | | | | (486,397) | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | Total | | | $ 55,604,973 | | | | $ 437,511,813 | | | | $ 6,481,324 | | | | $ 499,598,110 | |
| | | | | | | | | | | | | | | | | | |
*Other financial instruments include swap contracts and futures. Credit contracts include credit default swaps. Interest rate contracts include futures.
Semi-Annual Report September 2018 / 238
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | | INTERMEDIATE BOND FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTAL | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | Investments in Securities | | | | | | | | | | | | | | | | |
| | | | | |
| | Assets | | | | | | | | | | | | | | | | |
| | Short-Term Investments: | | | | | | | | | | | | | | | | |
| | Foreign Government Obligations | | | $ — | | | | $ 8,146,934 | | | | $ — | | | | $ 8,146,934 | |
| | Money Market Funds | | | 41,374,018 | | | | — | | | | — | | | | 41,374,018 | |
| | U.S. Agency Discount Notes | | | — | | | | 10,298,803 | | | | — | | | | 10,298,803 | |
| | U.S. Treasury Bills | | | 6,314,502 | | | | — | | | | — | | | | 6,314,502 | |
| | Long-Term Investments: | | | | | | | | | | | | | | | | |
| | Asset-Backed Securities | | | — | | | | 52,866,072 | | | | — | | | | 52,866,072 | |
| | Bank Loans | | | — | | | | 4,049,403 | | | | 290,928 | | | | 4,340,331 | |
| | Common Stock | | | — | | | | — | | | | 68,119 | | | | 68,119 | |
| | Corporates | | | —�� | | | | 269,258,829 | | | | — | | | | 269,258,829 | |
| | Mortgage-Backed | | | — | | | | 110,101,049 | | | | — | | | | 110,101,049 | |
| | Municipal Bonds | | | — | | | | 13,286,667 | | | | — | | | | 13,286,667 | |
| | U.S. Treasury Securities | | | 204,256,155 | | | | — | | | | — | | | | 204,256,155 | |
| | | | | |
| | Other Financial Instruments * | | | | | | | | | | | | | | | | |
| | | | | |
| | Assets: | | | | | | | | | | | | | | | | |
| | Foreign currency exchange contracts | | | — | | | | 141,442 | | | | — | | | | 141,442 | |
| | Interest rate contracts | | | 102,700 | | | | — | | | | — | | | | 102,700 | |
| | Liabilities: | | | | | | | | | | | | | | | | |
| | Interest rate contracts | | | (877,943) | | | | — | | | | — | | | | (877,943) | |
| | | | | | | | | | | | | | | | | | |
| | | | | |
| | Total | | $ | 251,169,432 | | | $ | 468,149,199 | | | $ | 359,047 | | | $ | 719,677,678 | |
| | | | | | | | | | | | | | | | | | |
*Other financial instruments include foreign currency exchange contracts and futures. Interest rate contracts include futures.
239 / Semi-Annual Report September 2018
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
INVESTMENT GRADE CREDIT FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTAL | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments in Securities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market Funds | | | | | $245,000 | | | | | | | | $ — | | | | | | | | $ — | | | | | | | | $ 245,000 | |
U.S. Treasury Bills | | | | | 26,884 | | | | | | | | — | | | | | | | | — | | | | | | | | 26,884 | |
Long-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | | | | — | | | | | | | | 433,018 | | | | | | | | — | | | | | | | | 433,018 | |
Corporates | | | | | — | | | | | | | | 2,510,421 | | | | | | | | — | | | | | | | | 2,510,421 | |
Mortgage-Backed | | | | | — | | | | | | | | 2,366,870 | | | | | | | | 157,961 | | | | | | | | 2,524,831 | |
Municipal Bonds | | | | | — | | | | | | | | 10,253 | | | | | | | | — | | | | | | | | 10,253 | |
U.S. Treasury Securities | | | | | 4,983 | | | | | | | | — | | | | | | | | — | | | | | | | | 4,983 | |
| | | | | | | | |
Other Financial Instruments * | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Interest rate contracts | | | | | 1,139 | | | | | | | | — | | | | | | | | — | | | | | | | | 1,139 | |
Liabilities: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Interest rate contracts | | | | | (8,345) | | | | | | | | — | | | | | | | | — | | | | | | | | (8,345) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
Total | | | | | $269,661 | | | | | | | | $5,320,562 | | | | | | | | $157,961 | | | | | | | | $5,748,184 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
*Other financial instruments include futures. Interest rate contracts include futures.
Semi-Annual Report September 2018 / 240
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
LOW DURATION BOND FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTAL | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments in Securities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Foreign Government Obligations | | | | | | | $ — | | | | | | | | $ 65,641,739 | | | | | | | | $ — | | | | | | | | $ 65,641,739 | |
Money Market Funds | | | | | | | 78,638,044 | | | | | | | | — | | | | | | | | — | | | | | | | | 78,638,044 | |
U.S. Treasury Bills | | | | | | | 41,424,146 | | | | | | | | — | | | | | | | | — | | | | | | | | 41,424,146 | |
Long-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | | | | | | — | | | | | | | | 140,537,330 | | | | | | | | — | | | | | | | | 140,537,330 | |
Bank Loans | | | | | | | — | | | | | | | | 11,709,466 | | | | | | | | 2,307,112 | | | | | | | | 14,016,578 | |
Common Stock | | | | | | | — | | | | | | | | — | | | | | | | | 905,259 | | | | | | | | 905,259 | |
Corporates | | | | | | | — | | | | | | | | 847,088,427 | | | | | | | | — | | | | | | | | 847,088,427 | |
Mortgage-Backed | | | | | | | — | | | | | | | | 673,224,301 | | | | | | | | 2,158,656 | | | | | | | | 675,382,957 | |
Municipal Bonds | | | | | | | — | | | | | | | | 608,640 | | | | | | | | — | | | | | | | | 608,640 | |
Purchased Swaptions | | | | | | | — | | | | | | | | 28,932 | | | | | | | | — | | | | | | | | 28,932 | |
U.S. Treasury Securities | | | | | | | 542,210,184 | | | | | | | | — | | | | | | | | — | | | | | | | | 542,210,184 | |
| | | | | | | | |
Other Financial Instruments * | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Foreign currency exchange contracts | | | | | | | — | | | | | | | | 1,933,865 | | | | | | | | — | | | | | | | | 1,933,865 | |
Interest rate contracts | | | | | | | 353,046 | | | | | | | | — | | | | | | | | — | | | | | | | | 353,046 | |
Liabilities: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Interest rate contracts | | | | | | | (5,059,973) | | | | | | | | (11,109) | | | | | | | | — | | | | | | | | (5,071,082) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
Total | | | | | | $ | 657,565,447 | | | | | | | $ | 1,740,761,591 | | | | | | | $ | 5,371,027 | | | | | | | $ | 2,403,698,065 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
*Other financial instruments include foreign currency exchange contracts, futures and written swaptions. Interest rate contracts include futures and written swaptions.
241 / Semi-Annual Report September 2018
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
STRATEGIC INCOME FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTAL | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments in Securities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market Funds | | | | | | $ | 884,000 | | | | | | | $ | — | | | | | | | $ | — | | | | | | | $ | 884,000 | |
U.S. Treasury Bills | | | | | | | 1,678,578 | | | | | | | | — | | | | | | | | — | | | | | | | | 1,678,578 | |
Long-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | | | | | | — | | | | | | | | 11,620,362 | | | | | | | | 139,588 | | | | | | | | 11,759,950 | |
Corporates | | | | | | | — | | | | | | | | 32,189,869 | | | | | | | | — | | | | | | | | 32,189,869 | |
Mortgage-Backed | | | | | | | — | | | | | | | | 43,490,001 | | | | | | | | 452,463 | | | | | | | | 43,942,464 | |
Municipal Bonds | | | | | | | — | | | | | | | | 878,678 | | | | | | | | — | | | | | | | | 878,678 | |
| | | | | | | | |
Other Financial Instruments * | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Interest rate contracts | | | | | | | 40,328 | | | | | | | | — | | | | | | | | — | | | | | | | | 40,328 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
Total | | | | | | $ | 2,602,906 | | | | | | | $ | 88,178,910 | | | | | | | $ | 592,051 | | | | | | | $ | 91,373,867 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
*Other financial instruments include futures. Interest rate contracts include futures.
Semi-Annual Report September 2018 / 242
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
TOTAL RETURN BOND FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTAL | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments in Securities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Foreign Government Obligations | | | | | | $ | — | | | | | | | $ | 1,116,322,368 | | | | | | | $ | — | | | | | | | $ | 1,116,322,368 | |
Money Market Funds | | | | | | | 3,282,468,024 | | | | | | | | — | | | | | | | | — | | | | | | | | 3,282,468,024 | |
U.S. Agency Discount Notes | | | | | | | — | | | | | | | | 600,002,904 | | | | | | | | — | | | | | | | | 600,002,904 | |
U.S. Treasury Bills | | | | | | | 1,013,607,430 | | | | | | | | — | | | | | | | | — | | | | | | | | 1,013,607,430 | |
Long-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | | | | | | — | | | | | | | | 4,040,528,911 | | | | | | | | 9,292,657 | | | | | | | | 4,049,821,568 | |
Bank Loans | | | | | | | — | | | | | | | | 609,724,094 | | | | | | | | 11,499,505 | | | | | | | | 621,223,599 | |
Common Stock | | | | | | | 1,886,825 | | | | | | | | — | | | | | | | | 10,035,975 | | | | | | | | 11,922,800 | |
Corporates | | | | | | | — | | | | | | | | 24,222,879,171 | | | | | | | | 20,913,988 | | | | | | | | 24,243,793,159 | |
Foreign Government Obligations | | | | | | | — | | | | | | | | 45,981,137 | | | | | | | | — | | | | | | | | 45,981,137 | |
Mortgage-Backed | | | | | | | — | | | | | | | | 29,303,078,531 | | | | | | | | 15,440,508 | | | | | | | | 29,318,519,039 | |
Municipal Bonds | | | | | | | — | | | | | | | | 489,979,353 | | | | | | | | — | | | | | | | | 489,979,353 | |
Purchased Options - Exchange Traded | | | | | | | 9,250,000 | | | | | | | | — | | | | | | | | — | | | | | | | | 9,250,000 | |
U.S. Treasury Securities | | | | | | | 13,550,084,097 | | | | | | | | 218,422,895 | | | | | | | | — | | | | | | | | 13,768,506,992 | |
| | | | | | | | |
Other Financial Instruments * | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Foreign currency exchange contracts | | | | | | | — | | | | | | | | 9,384,932 | | | | | | | | — | | | | | | | | 9,384,932 | |
Interest rate contracts | | | | | | | 17,813,373 | | | | | | | | — | | | | | | | | — | | | | | | | | 17,813,373 | |
Liabilities: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Foreign currency exchange contracts | | | | | | | — | | | | | | | | (6,554) | | | | | | | | — | | | | | | | | (6,554) | |
Interest rate contracts | | | | | | | (91,953,740) | | | | | | | | — | | | | | | | | — | | | | | | | | (91,953,740) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
Total | | | | | | $ | 17,783,156,009 | | | | | | | $ | 60,656,297,742 | | | | | | | $ | 67,182,633 | | | | | | | $ | 78,506,636,384 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
*Other financial instruments include foreign currency exchange contracts, futures and written options. Interest rate contracts include futures and written options.
243 / Semi-Annual Report September 2018
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
ULTRA SHORT BOND FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTAL | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments in Securities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market Funds | | | | | | $ | 4,743,000 | | | | | | | $ | — | | | | | | | $ | — | | | | | | | $ | 4,743,000 | |
U.S. Agency Discount Notes | | | | | | | — | | | | | | | | 1,145,881 | | | | | | | | — | | | | | | | | 1,145,881 | |
U.S. Treasury Bills | | | | | | | 10,258,912 | | | | | | | | — | | | | | | | | — | | | | | | | | 10,258,912 | |
Long-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | | | | | | — | | | | | | | | 2,585,895 | | | | | | | | — | | | | | | | | 2,585,895 | |
Corporates | | | | | | | — | | | | | | | | 28,315,010 | | | | | | | | — | | | | | | | | 28,315,010 | |
Mortgage-Backed | | | | | | | — | | | | | | | | 41,125,834 | | | | | | | | 25,531 | | | | | | | | 41,151,365 | |
U.S. Treasury Securities | | | | | | | 26,149,821 | | | | | | | | — | | | | | | | | — | | | | | | | | 26,149,821 | |
| | | | | | | | |
Other Financial Instruments * | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Liabilities: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Interest rate contracts | | | | | | | (26,401) | | | | | | | | — | | | | | | | | — | | | | | | | | (26,401) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
Total | | | | | | $ | 41,125,332 | | | | | | | $ | 73,172,620 | | | | | | | $ | 25,531 | | | | | | | $ | 114,323,483 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
*Other financial instruments include futures. Interest contracts include futures.
Semi-Annual Report September 2018 / 244
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
UNCONSTRAINED BOND FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTAL | |
| | | | |
Investments in Securities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Short-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Money Market Funds | | | | | | | $30,549,001 | | | | | | | $ | — | | | | | | | | $ — | | | | | | | $ | 30,549,001 | |
U.S. Agency Discount Notes | | | | | | | — | | | | | | | | 54,910,185 | | | | | | | | — | | | | | | | | 54,910,185 | |
U.S. Treasury Bills | | | | | | | 2,057,113 | | | | | | | | — | | | | | | | | — | | | | | | | | 2,057,113 | |
Long-Term Investments: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Asset-Backed Securities | | | | | | | — | | | | | | | | 448,443,701 | | | | | | | | — | | | | | | | | 448,443,701 | |
Bank Loans | | | | | | | — | | | | | | | | 20,661,379 | | | | | | | | 2,604,491 | | | | | | | | 23,265,870 | |
Common Stock | | | | | | | — | | | | | | | | — | | | | | | | | 953,887 | | | | | | | | 953,887 | |
Corporates | | | | | | | — | | | | | | | | 1,085,090,354 | | | | | | | | 2,972,820 | | | | | | | | 1,088,063,174 | |
Foreign Government Obligations | | | | | | | — | | | | | | | | 50,912,145 | | | | | | | | — | | | | | | | | 50,912,145 | |
Mortgage-Backed | | | | | | | — | | | | | | | | 1,400,756,656 | | | | | | | | 118,513 | | | | | | | | 1,400,875,169 | |
Municipal Bonds | | | | | | | — | | | | | | | | 19,735,336 | | | | | | | | — | | | | | | | | 19,735,336 | |
| | | | | | | | |
Other Financial Instruments * | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Assets: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Interest rate contracts | | | | | | | 2,801,211 | | | | | | | | — | | | | | | | | — | | | | | | | | 2,801,211 | |
Liabilities: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Interest rate contracts | | | | | | | (1,610,506) | | | | | | | | — | | | | | | | | — | | | | | | | | (1,610,506) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
Total | | | | | | $ | 33,796,819 | | | | | | | $ | 3,080,509,756 | | | | | | | $ | 6,649,711 | | | | | | | $ | 3,120,956,286 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
*Other financial instruments include futures. Interest rate contracts include futures.
245 / Semi-Annual Report September 2018
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.
For the six months ended September 30, 2018, 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:
| | | | | | | | | | | | |
ALPHATRAK 500 FUND | | BANK LOANS | | MORTGAGE-BACKED SECURITIES | | |
| | | |
Balance as of April 1, 2018 | | | $ | 32,613 | | | | $ | 77,800 | | | |
Accrued discounts/premiums | | | | (11 | ) | | | | (5,022 | ) | | |
Realized (loss) | | | | (35 | ) | | | | — | | | |
Change in unrealized appreciation/ (depreciation)* | | | | 71 | | | | | (5,081 | ) | | |
Purchases | | | | — | | | | | 191,829 | | | |
Sales | | | | (25,819 | ) | | | | — | | | |
Transfers into Level 3** | | | | — | | | | | — | | | |
Transfers out of Level 3** | | | | — | | | | | (30,953 | ) | | |
| | | | | | | | | | | | |
| | | |
Balance as of September 30, 2018 | | | $ | 6,819 | | | | $ | 228,573 | | | |
| | | | | | | | | | | | |
* The change in unrealized appreciation/(depreciation) on securities still held at September 30, 2018 was $(4,406) 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, 2018, the Fund used unobservable inputs in determining the value of certain investments. As of September 30, 2018, the Fund used significant observable inputs in determining the value of the same investments. As a result, investments with an end of period value of $30,953 transferred from level 3 to level 2 in the disclosure hierarchy.
| | | | | | | |
CORPORATE BOND FUND | | MORTGAGE-
BACKED
SECURITIES | | |
| | |
Balance as of June 29, 2018*** | | | $ | — | | | |
Accrued discounts/premiums | | | | (221 | ) | | |
Realized (loss) | | | | — | | | |
Change in unrealized appreciation* | | | | 107 | | | |
Purchases | | | | 76,001 | | | |
Sales | | | | — | | | |
Transfers into Level 3** | | | | — | | | |
Transfers out of Level 3** | | | | — | | | |
| | | | | | | |
| | |
Balance as of September 30, 2018 | | | $ | 75,887 | | | |
| | | | | | | |
* The change in unrealized appreciation/(depreciation) on securities still held at September 30, 2018 was $107 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 period ended September 30, 2018.
*** Commencement of Operations.
Semi-Annual Report September 2018 / 246
Notes to Financial Statements (Continued)
| | | | | | | | |
FLOATING RATE INCOME FUND | | BANK
LOANS | | | | | |
| | | |
Balance as of April 1, 2018 | | $ | 5,584,745 | | | | | |
Accrued discounts/premiums | | | 3,219 | | | | | |
Realized (loss) | | | (4,958 | ) | | | | |
Change in unrealized appreciation* | | | 18,761 | | | | | |
Purchases | | | — | | | | | |
Sales | | | (1,739,110 | ) | | | | |
Transfers into Level 3** | | | — | | | | | |
Transfers out of Level 3** | | | — | | | | | |
| | | | | | | | |
| | | |
Balance as of September 30, 2018 | | $ | 3,862,657 | | | | | |
| | | | | | | | |
* The change in unrealized appreciation/(depreciation) on securities still held at September 30, 2018 was $13,779 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 period ended September 30, 2018.
| | | | | | | | | | | | | | | | | | | | | | |
HIGH YIELD BOND FUND | | BANK LOANS | | COMMON STOCK | | CORPORATES | | WARRANT | | |
| | | | | |
Balance as of April 1, 2018 | | | $ | 3,644,646 | | | | $ | 9,106,394 | | | | $ | 1,474,110 | | | | $ | 83,507 | | | |
Accrued discounts/premiums | | | | 5,880 | | | | | — | | | | | 2,701 | | | | | — | | | |
Realized gain/(loss) | | | | (352,825 | ) | | | | — | | | | | 140,415 | | | | | — | | | |
Change in unrealized appreciation/(depreciation)* | | | | 111,977 | | | | | (4,480,886 | ) | | | | (304,717 | ) | | | | — | | | |
Purchases | | | | — | | | | | — | | | | | 347,000 | | | | | — | | | |
Sales | | | | (2,965,536 | ) | | | | — | | | | | (687,342 | ) | | | | — | | | |
Transfers into Level 3** | | | | — | | | | | — | | | | | 356,000 | | | | | — | | | |
Transfers out of Level 3** | | | | — | | | | | — | | | | | — | | | | | — | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Balance as of September 30, 2018 | | | $ | 444,142 | | | | $ | 4,625,508 | | | | $ | 1,328,167 | | | | $ | 83,507 | | | |
| | | | | | | | | | | | | | | | | | | | | | |
* The change in unrealized appreciation/(depreciation) on securities still held at September 30, 2018 was $(4,411,328) 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, 2018, the Fund used significant observable inputs in determining the value of certain investments. As of September 30, 2018, the Fund used unobservable inputs in determining the value of the same investments. As a result, investments with an end of period value of $356,000 transferred from level 2 to level 3 in the disclosure hierarchy.
247 / Semi-Annual Report September 2018
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | |
INTERMEDIATE BOND FUND | | BANK LOANS | | COMMON STOCK | | MORTGAGE-BACKED
SECURITIES | | |
| | | | |
Balance as of April 1, 2018 | | | | $1,391,498 | | | | | $136,238 | | | | | $402,435 | | | |
Accrued discounts/ premiums | | | | 199 | | | | | — | | | | | (12,584 | ) | | |
Realized gain | | | | 574 | | | | | — | | | | | — | | | |
Change in unrealized appreciation/ (depreciation)* | | | | 257 | | | | | (68,119 | ) | | | | (44,686 | ) | | |
Purchases | | | | — | | | | | — | | | | | — | | | |
Sales | | | | (1,101,600 | ) | | | | — | | | | | — | | | |
Transfers into Level 3** | | | | — | | | | | — | | | | | — | | | |
Transfers out of Level 3** | | | | — | | | | | — | | | | | (345,165 | ) | | |
| | | | | | | | | | | | | | | | | |
| | | | |
Balance as of September 30, 2018 | | | $ | 290,928 | | | | $ | 68,119 | | | | $ | — | | | |
| | | | | | | | | | | | | | | | | |
* The change in unrealized appreciation/(depreciation) on securities still held at September 30, 2018 was $(67,862) 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, 2018, the Fund used unobservable inputs in determining the value of certain investments. As of September 30, 2018, the Fund used significant observable inputs in determining the value of the same investments. As a result, investments with an end of period value of $345,165 transferred from level 3 to level 2 in the disclosure hierarchy.
| | | | | | |
INVESTMENT GRADE CREDIT FUND | | MORTGAGE-
BACKED
SECURITIES | | |
|
| | |
Balance as of June 29, 2018*** | | | $ — | | | |
Accrued discounts/premiums | | | (128 | ) | | |
Realized gain | | | 43,812 | | | |
Change in unrealized appreciation* | | | 3,281 | | | |
Purchases | | | 111,334 | | | |
Sales | | | (338 | ) | | |
Transfers into Level 3** | | | — | | | |
Transfers out of Level 3** | | | — | | | |
| | |
Balance as of September 30, 2018 | | | $157,961 | | | |
* The change in unrealized appreciation/(depreciation) on securities still held at September 30, 2018 was $3,281 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 period ended September 30, 2018.
*** Commencement of Operations.
Semi-Annual Report September 2018 / 248
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | |
LOW DURATION BOND FUND | | BANK LOANS | | COMMON STOCK | | MORTGAGE-BACKED
SECURITIES | | |
| | | | |
Balance as of April 1, 2018 | | | $ | 7,723,606 | | | | $ | 1,810,517 | | | | $ | 3,501,547 | | | |
Accrued discounts/premiums | | | | (920 | ) | | | | — | | | | | (52,222 | ) | | |
Realized (loss) | | | | (36,651 | ) | | | | — | | | | | — | | | |
Change in unrealized appreciation/ (depreciation)* | | | | 151,242 | | | | | (905,258 | ) | | | | (335,959 | ) | | |
Purchases | | | | — | | | | | — | | | | | — | | | |
Sales | | | | (5,530,165 | ) | | | | — | | | | | — | | | |
Transfers into Level 3** | | | | — | | | | | — | | | | | — | | | |
Transfers out of Level 3** | | | | — | | | | | — | | | | | (954,710 | ) | | |
| | | | | | | | | | | | | | | | | |
| | | | |
Balance as of September 30, 2018 | | | $ | 2,307,112 | | | | $ | 905,259 | | | | $ | 2,158,656 | | | |
| | | | | | | | | | | | | | | | | |
* The change in unrealized appreciation/(depreciation) on securities still held at September 30, 2018 was $(966,311) 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, 2018, the Fund used unobservable inputs in determining the value of certain investments. As of September 30, 2018, the Fund used significant observable inputs in determining the value of the same investments. As a result, investments with an end of period value of $954,710 transferred from level 3 to level 2 in the disclosure hierarchy.
| | | | | | | | | | | | |
STRATEGIC INCOME FUND | | ASSET-BACKED SECURITIES | | MORTGAGE-
BACKED
SECURITIES | | |
| | | |
Balance as of April 1, 2018 | | | $ | 211,574 | | | | $ | 1,238,386 | | | |
Accrued discounts/premiums | | | | 151 | | | | | 6,668 | | | |
Realized gain | | | | 579 | | | | | — | | | |
Change in unrealized (depreciation)* | | | | (21,771 | ) | | | | (184,918 | ) | | |
Purchases | | | | — | | | | | 276,613 | | | |
Sales | | | | (50,945 | ) | | | | — | | | |
Corporate action | | | | — | | | | | — | | | |
Transfers into Level 3** | | | | — | | | | | — | | | |
Transfers out of Level 3** | | | | — | | | | | (884,286) | | | |
| | | | | | | | | | | | |
| | | |
Balance as of September 30, 2018 | | | $ | 139,588 | | | | $ | 452,463 | *** | | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
* The change in unrealized appreciation/(depreciation) on securities still held at September 30, 2018 was $(70,889) 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, 2018, the Fund used unobservable inputs in determining the value of certain investments. As of September 30, 2018, the Fund used significant observable inputs in determining the value of the same investments. As a result, investments with an end of period value of $884,286 transferred from level 3 to level 2 in the disclosure hierarchy.
*** As of September 30, 2018 GreenPoint Mortgage Funding Trust, Series 2006-AR8, Class 1A2A had a $0 market value.
249 / Semi-Annual Report September 2018
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | | |
TOTAL RETURN BOND FUND | | ASSET-BACKED
SECURITIES | | BANK
LOANS | | COMMON
STOCK | | CORPORATES | | MORTGAGE-
BACKED
SECURITIES |
| | | | | |
Balance as of April 1, 2018 | | | $ | 10,392,233 | | | | $ | 24,876,384 | | | | $ | 20,071,951 | | | | | $23,600,001 | | | | $ | 16,652,349 | |
Accrued discounts/premiums | | | | — | | | | | 33,615 | | | | | — | | | | | (26,903 | ) | | | | (505,317 | ) |
Realized (loss) | | | | — | | | | | (13,846 | ) | | | | — | | | | | — | | | | | — | |
Change in unrealized appreciation/ (depreciation)* | | | | (1,099,576 | ) | | | | 536,775 | | | | | (10,035,976 | ) | | | | (1,325,962 | ) | | | | (702,069 | ) |
Purchases | | | | — | | | | | (353,122 | ) | | | | — | | | | | — | | | | | — | |
Sales | | | | — | | | | | (13,580,301 | ) | | | | — | | | | | (1,333,148 | ) | | | | — | |
Transfers into Level 3** | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | |
Transfers out of Level 3** | | | | — | | | | | — | | | | | — | | | | | — | | | | | (4,455 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Balance as of September 30, 2018 | | | $ | 9,292,657 | | | | $ | 11,499,505 | | | | $ | 10,035,975 | | | | $ | 20,913,988 | | | | $ | 15,440,508 | *** |
| | | | | | | | | | | | | | | | | | | | | | | | | |
* The change in unrealized appreciation/(depreciation) on securities still held at September 30, 2018 was $(12,647,755) 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, 2018, the Fund used unobservable inputs in determining the value of certain investments. As of September 30, 2018, the Fund used significant observable inputs in determining the value of the same investments. As a result, investments with an end of period value of $4,455 transferred from level 3 to level 2 in the disclosure hierarchy.
*** As of September 30, 2018, GreenPoint Mortgage Funding Trust, Series 2006-AR8, Class 1A2A had a $0 market value.
| | | | | | | |
ULTRA SHORT BOND FUND | | MORTGAGE-BACKED
SECURITIES | | |
| | |
Balance as of April 1, 2018 | | | $ | 31,324 | | | |
Accrued discounts/premiums | | | | (2,658 | ) | | |
Realized (loss) | | | | — | | | |
Change in unrealized (depreciation)* | | | | (3,135 | ) | | |
Purchases | | | | — | | | |
Sales | | | | — | | | |
Transfers into Level 3** | | | | — | | | |
Transfers out of Level 3** | | | | — | | | |
| | | | | | | |
| | |
Balance as of September 30, 2018 | | | $ | 25,531 | *** | | |
| | | | | | | |
* The change in unrealized appreciation/(depreciation) on securities still held at September 30, 2018 was $(3,135) 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 period ended September 30, 2018.
*** As of March 31, 2018 and September 30, 2018, MASTR Adjustable Rate Mortgages Trust, Series 2007-2, Class A2 had a $0 market value.
Semi-Annual Report September 2018 / 250
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | MORTGAGE- | | |
UNCONSTRAINED | | BANK | | | | | | BACKED | | |
BOND FUND | | LOANS | | COMMON STOCK | | CORPORATES | | SECURITIES | | |
| | | | | | | | | | | | | | | | | | | | | | |
Balance as of April 1, 2018 | | | $ | 5,782,639 | | | | $ | 1,907,774 | | | | $ | 2,155,066 | | | | $ | 38,334,680 | | | |
Accrued discounts/premiums | | | | 5,988 | | | | | — | | | | | (4,276 | ) | | | | (852,867 | ) | | |
Realized (loss) | | | | (117,823 | ) | | | | — | | | | | (16,131 | ) | | | | — | | | |
Change in unrealized appreciation/ (depreciation)* | | | | 354,841 | | | | | (953,887 | ) | | | | (975,851 | ) | | | | (4,195,159 | ) | | |
Purchases | | | | — | | | | | — | | | | | — | | | | | — | | | |
Sales | | | | (3,421,154 | ) | | | | — | | | | | (121,738 | ) | | | | — | | | |
Transfers into Level 3** | | | | — | | | | | — | | | | | 1,935,750 | | | | | — | | | |
Transfers out of Level 3** | | | | — | | | | | — | | | | | — | | | | | (33,168,141 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Balance as of September 30, 2018 | | | $ | 2,604,491 | | | | $ | 953,887 | | | | $ | 2,972,820 | | | | $ | 118,513 | *** | | |
| | | | | | | | | | | | | | | | | | | | | | |
| |
* The change in unrealized appreciation/(depreciation) on securities still held at September 30, 2018 was $(728,933) 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, 2018, the Fund used significant observable inputs in determining the value of certain investments. As of September 30, 2018, the Fund used unobservable inputs in determining the value of the same investments. As a result, investments with an end of period value of $1,935,750 transferred from level 2 to level 3 in the disclosure hierarchy. As of March 31, 2018, the Fund used unobservable inputs in determining the value of certain other investments. As of September 30, 2018, the Fund used significant observable inputs in determining the value of the same investments. As a result, investments with an end of period value of $33,168,141 transferred from level 3 to level 2 in the disclosure hierarchy. *** As of March 31, 2018 and September 30, 2018, Master Adjustable Rate Mortgages Trust, Series 2007-2, Class A2 had a $0 market value. As of September 30, 2018, GreenPoint Mortgage Funding Trust, Series 2006-AR8, Class 1A2A had a $0 market value. Significant unobservable valuations inputs for Level 3 investments as of September 30, 2018, are as follows: | | | |
| | | | | | | | | | | | | | | | |
| | | FAIR VALUE | | | | VALUATION | | | | UNOBSERVABLE | | | | WEIGHTED | | |
ALPHATRAK 500 FUND | | AT 9/30/18 | | | | TECHNIQUE* | | | | INPUT | | RANGE | | AVERAGE | | |
| | | | | | | | |
Bank Loans | | $6,819 | | | | Third-party Vendor | | | | Vendor Prices | | $99.91 | | $99.91 | | |
Mortgage-Backed Securities - | | | | | | | | | | | | | | | | |
Commercial Mortgage-Backed | | $191,759 | | | | Third-party Vendor | | | | Vendor Prices | | 0.90 - 5.00 | | 3.72 | | |
Mortgage-Backed Securities-Non | | | | | | | | | | | | | | | | |
Agency | | $36,814 | | | | Third-party Vendor | | | | Vendor Prices | | 1.19 | | 1.19 | | |
| | | | | | | | | | | | | | | | |
| | | FAIR VALUE | | | | VALUATION | | | | UNOBSERVABLE | | | | WEIGHTED | | |
CORPORATE BOND FUND | | AT 9/30/18 | | | | TECHNIQUE* | | | | INPUT | | RANGE | | AVERAGE | | |
| | | | | | | | |
Mortgage-Backed Securities- | | | | | | | | | | | | | | | | |
Commercial Mortgage-Backed | | $75,887 | | | | Third-party Vendor | | | | Vendor Prices | | $0.45 - $5.22 | | $2.34 | | |
| | | | | | | | | | | | | | | | |
| | | FAIR VALUE | | | | VALUATION | | | | UNOBSERVABLE | | | | WEIGHTED | | |
FLOATING RATE INCOME FUND | | AT 9/30/18 | | | | TECHNIQUE* | | | | INPUT | | RANGE | | AVERAGE | | |
| | | | | | | | |
Bank Loans | | $3,862,657 | | | | Third-party Vendor | | | | Vendor Prices | | $87.50 - $100.67 | | $96.48 | | |
251 / Semi-Annual Report September 2018
Notes to Financial Statements (Continued)
| | | | | | | | | | |
| | | | | |
HIGH YIELD BOND FUND | | FAIR VALUE
AT 9/30/18 | | VALUATION
TECHNIQUE* | | UNOBSERVABLE
INPUT | | RANGE | | WEIGHTED
AVERAGE |
| | | | | |
Bank Loans | | $444,142 | | Third-party Vendor | | Vendor Prices | | $87.50 | | $87.50 |
Common Stock | | $4,625,508 | | Broker Quote | | Offered Quote | | 6.00 - 51.00 | | 10.06 |
Corporate Securities | | $1,328,167 | | Third-party Vendor | | Vendor Prices | | 48.88 - 106.88 | | 94.63 |
Warrant | | $83,507 | | Third-party Vendor | | Vendor Prices | | 5.50 - 6.50 | | 6.37 |
| | | | | | | | | | |
| | | | | |
INTERMEDIATE BOND FUND | | FAIR VALUE AT 9/30/18 | | VALUATION
TECHNIQUE* | | UNOBSERVABLE
INPUT | | RANGE | | WEIGHTED
AVERAGE |
| | | | | |
Bank Loans | | $290,928 | | Third-party Vendor | | Vendor Prices | | $99.91 | | $99.91 |
Common Stock | | $68,119 | | Third-party Vendor | | Vendor Prices | | 8.50 | | 8.50 |
| | | | | | | | | | |
INVESTMENT GRADE CREDIT FUND | | FAIR VALUE AT 9/30/18 | | VALUATION
TECHNIQUE* | | UNOBSERVABLE
INPUT | | RANGE | | WEIGHTED
AVERAGE |
| | | | | |
Mortgage-Backed Securities- | | | | | | | | | | |
Commercial Mortgage-Backed | | $78,064 | | Third-party Vendor | | Vendor Prices | | $0.90 - $3.88 | | $2.61 |
Mortgage-Backed Securities-Non-Agency | | $79,897 | | Third-party Vendor | | Vendor Prices | | 80.39 | | 80.39 |
| | | | | | | | | | |
LOW DURATION BOND FUND | | FAIR VALUE AT 9/30/18 | | VALUATION
TECHNIQUE* | | UNOBSERVABLE
INPUT | | RANGE | | WEIGHTED
AVERAGE |
| | | | | |
Bank Loans | | $2,307,112 | | Third-party Vendor | | Vendor Prices | | $95.30 - $99.91 | | $98.03 |
Common Stock | | $905,259 | | Broker Quote | | Offered Quote | | 8.50 | | 8.50 |
Mortgage-Backed Securities-Non-Agency | | $2,158,656 | | Third-party Vendor | | Vendor Prices | | 1.77 | | 1.77 |
| | | | | | | | | | |
STRATEGIC INCOME FUND | | FAIR VALUE AT 9/30/18 | | VALUATION
TECHNIQUE* | | UNOBSERVABLE
INPUT | | RANGE | | WEIGHTED
AVERAGE |
| | | | | |
Asset-Backed Securities | | $139,588 | | Benchmark Pricing | | Offered Quote | | $8.28 - $31.00 | | $25.34 |
Mortgage-Backed Securities- | | | | | | | | | | |
Commercial Mortgage Backed | | $275,166 | | Third-party Vendor | | Vendor Prices | | 3.50 - 5.05 | | 4.50 |
Mortgage-Backed Securities-Non-Agency | | $177,297 | | Third-party Vendor | | Vendor Prices | | 0.00 - 10.45 | | 10.45 |
| | | | | | | | | | |
TOTAL RETURN BOND FUND | | FAIR VALUE AT 9/30/18 | | VALUATION
TECHNIQUE* | | UNOBSERVABLE
INPUT | | RANGE | | WEIGHTED
AVERAGE |
| | | | | |
Asset-Backed Securities | | $9,292,657 | | Benchmark Pricing | | Offered Quote | | $31.00 - $33.00 | | $32.13 |
Bank Loans | | $11,499,505 | | Third-party Vendor | | Vendor Prices | | 96.88 - 99.91 | | 97.84 |
Common Stock | | $10,035,975 | | Broker Quote | | Offered Quote | | 8.50 | | 8.50 |
Corporate Securities | | $20,913,988 | | Third-party Vendor | | Vendor Prices | | 107.04 | | 107.04 |
Mortgage-Backed Securities-Non-Agency | | $15,440,508 | | Third-party Vendor | | Vendor Prices | | 0.00 - 3.21 | | 2.10 |
| | | | | | | | | | |
ULTRA SHORT BOND FUND | | FAIR VALUE AT 9/30/18 | | VALUATION
TECHNIQUE* | | UNOBSERVABLE
INPUT | | RANGE | | WEIGHTED
AVERAGE |
| | | | | |
Mortgage-Backed Securities - Non-Agency | | $25,531 | | Third-party Vendor | | Vendor Prices | | $0.00 - $1.19 | | $1.19 |
Semi-Annual Report September 2018 / 252
Notes to Financial Statements (Continued)
| | | | | | | | | | |
| | | FAIR VALUE | | VALUATION | | UNOBSERVABLE | | | | WEIGHTED |
UNCONSTRAINED BOND FUND | | AT 9/30/18 | | TECHNIQUE* | | INPUT | | RANGE | | AVERAGE |
| | | | | |
Bank Loans | | $2,604,491 | | Third-party Vendor | | Vendor Prices | | $95.30 - $99.91 | | $96.72 |
Common Stock | | $953,887 | | Broker Quote | | Offered Quote | | 8.50 | | 8.50 |
Corporate Securities | | $2,972,820 | | Third-party Vendor | | Vendor Prices | | 48.88 - 107.04 | | 86.24 |
Mortgage-Backed Securities-Non- Agency | | $118,513 | | Third-party Vendor | | Vendor Prices | | 0.00 - 10.45 | | 8.32 |
* 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.
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, 2018:
| | | | |
| | | LOCATION ON THE STATEMENTS OF ASSETS AND LIABILITIES |
| | | ASSET | | LIABILITY |
DERIVATIVE TYPE | | DERIVATIVES | | DERIVATIVES |
Interest rate contracts | | Unrealized appreciation on swap contracts Premiums paid for swap contracts Receivable for daily variation margin Investments, at value | | Unrealized depreciation on swap contracts Premiums received on swap contracts Payable for daily variation margin Options written |
Credit contracts | | Unrealized appreciation on swap contracts Premiums paid for swap contracts | | Unrealized depreciation on swap contracts Premiums received for swap contracts |
Equity contracts | | Unrealized appreciation on swap contracts Premiums paid for swap contracts Receivable for daily variation margin | | Unrealized depreciation on swap contracts Premiums received for swap contracts 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, 2018:
253 / Semi-Annual Report September 2018
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | ASSET DERIVATIVE INVESTMENTS | | |
| | | | | |
| | | ALPHATRAK 500 FUND | | CORPORATE BOND FUND | | FLOATING RATE INCOME FUND | | HIGH YIELD BOND FUND | | INTERMEDIATE
BOND FUND |
Equity contracts: | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures1 | | | $ | 233,101 | | | | $ | — | | | | $ | — | | | | $ | — | | | | $ | — | |
Interest contracts: | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures1 | | | | — | | | | | — | | | | | — | | | | | 70,123 | | | | | 102,700 | |
Credit contracts: | | | | | | | | | | | | | | | | | | | | | | | | | |
Swaps | | | | — | | | | | — | | | | | — | | | | | 66,445 | | | | | — | |
Foreign currency exchange contracts: | | | | | | | | | | | | | | | | | | | | | | | | | |
Forwards | | | | — | | | | | — | | | | | 174,271 | | | | | — | | | | | 141,442 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | 233,101 | | | | $ | — | | | | $ | 174,271 | | | | $ | 136,568 | | | | $ | 244,142 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | ASSET DERIVATIVE INVESTMENTS | | | | |
| | | INVESTMENT GRADE CREDIT FUND | | LOW DURATION BOND FUND | | STRATEGIC INCOME FUND | | TOTAL RETURN BOND FUND | | ULTRA SHORT BOND FUND | | UNCONSTRAINED BOND FUND |
Interest contracts: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures1 | | | $ | 1,139 | | | | $ | 353,046 | | | | $ | 40,328 | | | | $ | 17,813,373 | | | | $ | — | | | | $ | 2,801,211 | |
Options purchased | | | | — | | | | | — | | | | | — | | | | | 9,250,000 | | | | | — | | | | | — | |
Swaptions purchased | | | | — | | | | | 28,932 | | | | | — | | | | | — | | | | | — | | | | | — | |
Foreign currency exchange contracts: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forwards | | | | — | | | | | 1,933,865 | | | | | — | | | | | 9,384,932 | | | | | — | | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | 1,139 | | | | $ | 2,315,843 | | | | $ | 40,328 | | | | $ | 36,448,305 | | | | $ | — | | | | $ | 2,801,211 | |
| | | | | | | | | | | | | | | | | | �� | | | | | | | | | | | | |
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 | | |
| | | ALPHATRAK 500 FUND | | CORPORATE BOND FUND | | FLOATING RATE INCOME FUND | | HIGH YIELD
BOND FUND | | INTERMEDIATE BOND FUND |
Interest contracts: | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures1 | | | $ | — | | | | $ | (2,438) | | | | $ | — | | | | $ | (486,397) | | | | $ | (877,943) | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | — | | | | $ | (2,438) | | | | $ | — | | | | $ | (486,397) | | | | $ | (877,943) | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | LIABILITY DERIVATIVE INVESTMENTS | | | | |
| | | INVESTMENT GRADE CREDIT FUND | | LOW DURATION BOND FUND | | STRATEGIC INCOME FUND | | TOTAL RETURN
BOND FUND | | ULTRA SHORT BOND FUND | | UNCONSTRAINED BOND FUND |
Interest contracts: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures1 | | | $ | (8,345 | ) | | | $ | (5,059,973 | ) | | | $ | — | | | | $ | (90,703,740 | ) | | | $ | (26,401 | ) | | | $ | (1,610,506 | ) |
Options written | | | | — | | | | | — | | | | | — | | | | | (1,250,000 | ) | | | | — | | | | | — | |
Swaptions written | | | | — | | | | | (11,109 | ) | | | | — | | | | | — | | | | | — | | | | | — | |
Foreign currency exchange contracts: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Forwards | | | | — | | | | | — | | | | | — | | | | | (6,554 | ) | | | | — | | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | (8,345 | ) | | | $ | (5,071,082 | ) | | | $ | — | | | | $ | (91,960,294 | ) | | | $ | (26,401 | ) | | | $ | (1,610,506 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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.
Semi-Annual Report September 2018 / 254
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, 2018:
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | REALIZED GAIN/(LOSS) ON DERIVATIVES RECOGNIZED IN THE STATEMENTS OF OPERATIONS |
| | | | | |
| | | ALPHATRAK 500 FUND | | CORPORATE BOND FUND | | FLOATING RATE INCOME FUND | | HIGH YIELD BOND FUND | | INTERMEDIATE BOND FUND |
| | | | | |
Credit contracts: | | | | | | | | | | | | | | | | | | | | | | | | | |
Swaps | | | $ | — | | | | $ | — | | | | $ | — | | | | $ | (171,921 | ) | | | $ | — | |
Equity contracts: | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures | | | | 449,373 | | | | | — | | | | | — | | | | | — | | | | | — | |
Interest contracts: | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures | | | | — | | | | | 292 | | | | | — | | | | | (340,734 | ) | | | | (1,037,911 | ) |
Foreign currency exchange contracts | | | | (15,903 | ) | | | | — | | | | | 329,126 | | | | | — | | | | | 291,498 | |
Foreign currency transactions | | | | — | | | | | — | | | | | (24,566 | ) | | | | — | | | | | (1,751 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total | | | $ | 433,470 | | | | $ | 292 | | | | $ | 304,560 | | | | $ | (512,655 | ) | | | $ | (748,164 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | REALIZED GAIN/(LOSS) ON DERIVATIVES RECOGNIZED IN THE STATEMENTS OF OPERATIONS |
| | | | | | |
| | | INVESTMENT GRADE CREDIT FUND | | LOW DURATION BOND FUND | | STRATEGIC INCOME FUND | | TOTAL RETURN
BOND FUND | | ULTRA SHORT BOND FUND | | UNCONSTRAINED BOND FUND |
| | | | | | |
Interest contracts: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures | | | $ | (3,302 | ) | | | $ | (3,468,369 | ) | | | $ | 14,130 | | | | $ | (63,679,588 | ) | | | $ | (15,413 | ) | | | $ | (2,276,764 | ) |
Options and swaptions written | | | | — | | | | | — | | | | | — | | | | | (730,650 | ) | | | | — | | | | | — | |
Foreign currency exchange contracts | | | | — | | | | | — | | | | | 96,350 | | | | | 31,005,527 | | | | | 357,348 | | | | | 458,759 | |
Foreign currency transactions | | | | — | | | | | (49,783 | ) | | | | (168 | ) | | | | (728,495 | ) | | | | (239 | ) | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total | | | $ | (3,302 | ) | | | $ | (3,518,152 | ) | | | $ | 110,312 | | | | $ | (34,133,206 | ) | | | $ | 341,696 | | | | $ | (1,818,005 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | CHANGE IN UNREALIZED APPRECIATION/(DEPRECIATION) ON DERIVATIVES RECOGNIZED |
| | | | | IN THE STATEMENTS OF OPERATIONS | | |
| | | | | |
| | | ALPHATRAK 500 FUND | | CORPORATE BOND FUND | | FLOATING RATE INCOME FUND | | HIGH YIELD BOND FUND | | INTERMEDIATE BOND FUND |
| | | | | |
Credit contracts: | | | | | | | | | | | | | | | | | | | | | | | | | |
Swaps | | | $ | — | | | | $ | — | | | | $ | — | | | | $ | 161,894 | | | | $ | — | |
Equity contracts: | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures1 | | | | 1,227,635 | | | | | — | | | | | — | | | | | — | | | | | — | |
Interest contracts: | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures1 | | | | — | | | | | (2,438 | ) | | | | — | | | | | (459,936 | ) | | | | (959,811 | ) |
Foreign currency exchange contracts | | | | 15,903 | | | | | — | | | | | 174,271 | | | | | — | | | | | 334,266 | |
Foreign currency transactions | | | | — | | | | | — | | | | | — | | | | | — | | | | | (3,540 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total | | | $ | 1,243,538 | | | | $ | (2,438 | ) | | | $ | 174,271 | | | | $ | (298,042 | ) | | | $ | (629,085 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
1Includes cumulative appreciation/(depreciation) of financial futures contracts as reported in the Schedule of Portfolio Investments.
255 / Semi-Annual Report September 2018
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | CHANGE IN UNREALIZED APPRECIATION/(DEPRECIATION) ON DERIVATIVES RECOGNIZED IN THE STATEMENTS OF OPERATIONS |
| | | INVESTMENT
GRADE
CREDIT FUND | | LOW DURATION
BOND FUND | | STRATEGIC
INCOME FUND | | TOTAL RETURN
BOND FUND | | ULTRA SHORT
BOND FUND | | UNCONSTRAINED
BOND FUND |
Interest contracts: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Futures1 | | | $ | (7,206 | ) | | | $ | (5,177,711 | ) | | | $ | 59,122 | | | | $ | (93,456,954 | ) | | | $ | (31,670 | ) | | | $ | 2,288,658 | |
Options and swaptions written | | | | — | | | | | 4,110 | | | | | — | | | | | 383,400 | | | | | — | | | | | — | |
Swap contracts | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | (458,760 | ) |
Foreign currency exchange contracts | | | | — | | | | | 1,933,865 | | | | | 62,621 | | | | | 30,490,988 | | | | | (53,541 | ) | | | | — | |
Foreign currency transactions | | | | — | | | | | (4,349 | ) | | | | — | | | | | (331,583 | ) | | | | — | | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total | | | $ | (7,206 | ) | | | $ | (3,244,085 | ) | | | $ | 121,743 | | | | $ | (62,914,149 | ) | | | $ | (85,211 | ) | | | $ | 1,829,898 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
1Includes cumulative appreciation/(depreciation) of financial futures contracts as reported in the Schedule of Portfolio Investments.
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | AVERAGE PERIOD BALANCE OF OUTSTANDING DERIVATIVE FINANCIAL INSTRUMENTS1
|
| | | ALPHATRAK 500 FUND | | CORPORATE BOND FUND | | FLOATING RATE
INCOME FUND | | HIGH YIELD
BOND FUND | | INTERMEDIATE
BOND FUND |
Financial futures contracts: | | | | | | | | | | | | | | | | | | | | | | | | | |
Average number of contracts purchased | | | | 129 | | | | | 3 | | | | | — | | | | | 507 | | | | | 1,372 | |
Average number of contracts sold | | | | | | | | | — | | | | | — | | | | | 17 | | | | | 133 | |
Average value of contracts purchased | | | $ | 437,165 | | | | $ | 2,438 | | | | $ | — | | | | $ | 205,461 | | | | $ | 552,458 | |
Average value of contracts sold | | | $ | — | | | | $ | — | | | | $ | — | | | | $ | 22,307 | | | | $ | 106,965 | |
Credit default swaps: | | | | | | | | | | | | | | | | | | | | | | | | | |
Average number of contracts - buy protection | | | | — | | | | | — | | | | | — | | | | | 3 | | | | | — | |
Average notional value - buy protection | | | $ | — | | | | $ | — | | | | $ | — | | | | $ | 19,750,000 | | | | $ | — | |
Foreign currency exchange contracts: | | | | | | | | | | | | | | | | | | | | | | | | | |
Average number of contracts sold | | | | 1 | | | | | — | | | | | 1 | | | | | 1 | | | | | 2 | |
Average value of contracts sold | | | $ | 4,647 | | | | $ | — | | | | $ | 132,805 | | | | $ | 22,708 | | | | $ | 248,465 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | AVERAGE PERIOD BALANCE OF OUTSTANDING DERIVATIVE FINANCIAL INSTRUMENTS1 |
| | | INVESTMENT
GRADE
CREDIT FUND | | LOW DURATION
BOND FUND | | STRATEGIC
INCOME FUND | | TOTAL RETURN
BOND FUND | | ULTRA SHORT BOND FUND | | UNCONSTRAINED BOND FUND |
Financial futures contracts: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Average number of contracts purchased | | | | 15 | | | | | 6,408 | | | | | — | | | | | 115,970 | | | | | 31 | | | | | 1,621 | |
Average number of contracts sold | | | | 8 | | | | | 397 | | | | | 59 | | | | | 14,759 | | | | | — | | | | | 728 | |
Average value of contracts purchased | | | $ | 8,345 | | | | $ | 2,135,665 | | | | $ | — | | | | $ | 50,749,584 | | | | $ | 9,937 | | | | $ | 1,032,636 | |
Average value of contracts sold | | | $ | 1,139 | | | | $ | 320,526 | | | | $ | 25,907 | | | | $ | 11,953,626 | | | | $ | — | | | | $ | 1,335,342 | |
Written options: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Average number of contracts | | | | — | | | | | — | | | | | — | | | | | 1 | | | | | — | | | | | — | |
Average notional value | | | $ | — | | | | $ | — | | | | $ | — | | | | $ | 1,303,841 | | | | $ | — | | | | $ | — | |
Written swaptions: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Average number of contracts | | | | — | | | | | 1 | | | | | — | | | | | — | | | | | — | | | | | — | |
Average notional value | | | $ | — | | | | $ | 540,000 | | | | $ | — | | | | $ | — | | | | $ | — | | | | $ | — | |
Foreign currency exchange contracts: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Average number of contracts sold | | | | — | | | | | 1 | | | | | 2 | | | | | 4 | | | | | 2 | | | | | 2 | |
Average value of contracts sold | | | $ | — | | | | $ | 870,961 | | | | $ | 25,499 | | | | $ | 21,846,487 | | | | $ | 77,082 | | | | $ | 237,434 | |
Semi-Annual Report September 2018 / 256
Notes to Financial Statements (Continued)
| | | | | | | | | | | | |
| | | AVERAGE PERIOD BALANCE OF OUTSTANDING DERIVATIVE FINANCIAL INSTRUMENTS1 |
| | | INVESTMENT
GRADE
CREDIT FUND | | LOW DURATION BOND FUND | | STRATEGIC INCOME FUND | | TOTAL RETURN BOND FUND | | ULTRA SHORT BOND FUND | | UNCONSTRAINED
BOND FUND |
1Amounts disclosed represent the volume of derivative contracts for the period ended September 30, 2018.
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.
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 Portfolio 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 a 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.
257 / Semi-Annual Report September 2018
Notes to Financial Statements (Continued)
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 Floating Rate Income 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, 2018:
| | | | | | | | | | | | | | | | | | | | |
| | | | | FLOATING RATE INCOME FUND | | |
COUNTERPARTY | | GROSS DERIVATIVE ASSETS IN THE STATEMENT OF ASSETS AND LIABILITIES | | COLLATERAL RECEIVED1 | | DERIVATIVE (ASSETS)/LIABILITIES
AVAILABLE FOR OFFSET | | NET AMOUNT OF DERIVATIVE ASSETS2
|
Goldman Sachs International Forward Currency Contracts | | | | $174,271 | | | | | $— | | | | | $— | | | | | $174,271 | |
| | | | | | | | | | | | | | | | | | | | |
Total Goldman Sachs International | | | | 174,271 | | | | | — | | | | | — | | | | | 174,271 | |
| | | | |
Total | | | | $174,271 | | | | | $— | | | | | $— | | | | | $174,271 | |
| | | | | | | | | | | | | | | | | | | | |
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 High Yield Bond 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, 2018:
| | | | | | | | | | | | | | | | | | | | |
| | | | | HIGH YIELD BOND FUND | | |
COUNTERPARTY | | GROSS DERIVATIVE
ASSETS IN THE STATEMENT OF ASSETS AND LIABILITIES | | COLLATERAL
RECEIVED1 | | DERIVATIVE
(ASSETS)/LIABILITIES AVAILABLE FOR OFFSET | | NET AMOUNT OF
DERIVATIVE ASSETS2 |
Goldman Sachs International Swap agreements | | | $ | 30,483 | | | | $ | — | | | | $ | 30,483 | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Goldman Sachs International | | | | 30,483 | | | | | — | | | | | 30,483 | | | | | — | |
| | | | |
Morgan Stanley Capital Services LLC | | | | | | | | | | | | | | | | | | | | |
Swap agreements | | | $ | 35,962 | | | | $ | — | | | | $ | 35,962 | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
Total Morgan Stanley Capital Services LLC | | | | 35,962 | | | | | — | | | | | 35,962 | | | | | — | |
| | | | |
Total | | | $ | 66,445 | | | | $ | — | | | | $ | 66,445 | | | | $ | — | |
| | | | | | | | | | | | | | | | | | | | |
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 2018 / 258
Notes to Financial Statements (Continued)
The following table presents High Yield Bond 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, 2018:
| | | | | | | | | | | | | | | | | | | | |
| | | | | HIGH YIELD BOND FUND | | |
| | | | |
| | | GROSS DERIVATIVE | | | | | | |
| | | LIABILITIES IN THE STATEMENT OF ASSETS | | COLLATERAL | | DERIVATIVE (ASSETS)/LIABILITIES | | NET AMOUNT OF |
COUNTERPARTY | | AND LIABILITIES | | PLEDGED3 | | AVAILABLE FOR OFFSET | | DERIVATIVE LIABILITIES4 |
Goldman Sachs International | | | | | | | | | | | | | | | | | | | | |
Swap agreements | | | $ | 68,284 | | | | $ | — | | | | $ | (30,483 | ) | | | $ | 37,801 | |
| | | | | | | | | | | | | | | | | | | | |
Total Goldman Sachs International | | | | 68,284 | | | | | — | | | | | (30,483 | ) | | | | 37,801 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Morgan Stanley Capital Services LLC | | | | | | | | | | | | | | | | | | | | |
Swap agreements | | | | $ 78,349 | | | | | $— | | | | | $(35,962 | ) | | | | $42,387 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Total Morgan Stanley Capital Services LLC | | | | 78,349 | | | | | — | | | | | (35,962 | ) | | | | 42,387 | |
| | | | |
Total | | | | $146,633 | | | | | $— | | | | | $(66,445 | ) | | | | $80,188 | |
| | | | | | | | | | | | | | | | | | | | |
3Excess of collateral pledged for individual counterparty may not be shown for financial reporting purposes.
4Represents the net amount payable from the counterparty in the event of default.
The following table presents Intermediate Bond 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, 2018:
| | | | | | | | | | | | | | | | | | | | |
| | | | | INTERMEDIATE BOND FUND | | |
| | | | |
| | | GROSS DERIVATIVE | | | | | | |
| | | ASSETS IN THE STATEMENT OF ASSETS | | COLLATERAL | | DERIVATIVE (ASSETS)/LIABILITIES | | NET AMOUNT OF |
COUNTERPARTY | | AND LIABILITIES | | RECEIVED1 | | AVAILABLE FOR OFFSET | | DERIVATIVE ASSETS2 |
Goldman Sachs International | | | | | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | | | $141,442 | | | | | $— | | | | | $— | | | | | $141,442 | |
| | | | | | | | | | | | | | | | | | | | |
Total Goldman Sachs International | | | | 141,442 | | | | | — | | | | | — | | | | | 141,442 | |
| | | | |
Total | | | | $141,442 | | | | | $— | | | | | $— | | | | | $141,442 | |
| | | | | | | | | | | | | | | | | | | | |
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.
259 / Semi-Annual Report September 2018
Notes to Financial Statements (Continued)
The following table presents Low Duration Bond 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, 2018:
| | | | | | | | | | | | | | | | | | | | |
| | | | | LOW DURATION BOND FUND | | |
COUNTERPARTY | | GROSS DERIVATIVE
ASSETS IN THE
STATEMENT OF ASSETS
AND LIABILITIES | | COLLATERAL
RECEIVED1 | | DERIVATIVE
(ASSETS)/LIABILITIES
AVAILABLE FOR OFFSET | | NET AMOUNT OF DERIVATIVE ASSETS2 |
Goldman Sachs International | | | | | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | | | $1,933,865 | | | | | $(1,540,000 | ) | | | | $— | | | | | $393,865 | |
Swaptions | | | | 28,932 | | | | | — | | | | | — | | | | | 28,932 | |
| | | | | | | | | | | | | | | | | | | | |
Total Goldman Sachs International | | | | 1,962,797 | | | | | (1,540,000 | ) | | | | — | | | | | 422,797 | |
| | | | |
Total | | | | $1,962,797 | | | | | $(1,540,000 | ) | | | | $— | | | | | $422,797 | |
| | | | | | | | | | | | | | | | | | | | |
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 Low Duration Bond 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, 2018:
| | | | | | | | | | | | | | | | | | | | |
| | | | | LOW DURATION BOND FUND | | |
COUNTERPARTY | | GROSS DERIVATIVE
LIABILITIES IN THE
STATEMENT OF ASSETS
AND LIABILITIES | | COLLATERAL
PLEDGED3 | | DERIVATIVE (ASSETS)/LIABILITIES AVAILABLE FOR OFFSET | | NET AMOUNT OF DERIVATIVE LIABILITIES4 |
Goldman Sachs International Swaptions | | | | $11,109 | | | | | $— | | | | | $— | | | | | $11,109 | |
| | | | | | | | | | | | | | | | | | | | |
Total Goldman Sachs International | | | | 11,109 | | | | | — | | | | | — | | | | | 11,109 | |
| | | | |
Total | | | | $11,109 | | | | | $— | | | | | $— | | | | | $11,109 | |
| | | | | | | | | | | | | | | | | | | | |
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.
Semi-Annual Report September 2018 / 260
Notes to Financial Statements (Continued)
The following table presents Total Return Bond 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, 2018:
| | | | | | | | | | | | | | | | | | | | |
| | | | | TOTAL RETURN BOND FUND | | |
COUNTERPARTY | | GROSS DERIVATIVE
ASSETS IN THE
STATEMENT OF ASSETS
AND LIABILITIES | | COLLATERAL
RECEIVED1 | | DERIVATIVE
(ASSETS)/LIABILITIES
AVAILABLE FOR OFFSET | | NET AMOUNT OF
DERIVATIVE ASSETS2
|
Goldman Sachs International | | | | | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | | | $9,384,932 | | | | | $(7,210,000 | ) | | | | $— | | | | | $2,174,932 | |
| | | | | | | | | | | | | | | | | | | | |
Total Goldman Sachs International | | | | 9,384,932 | | | | | (7,210,000 | ) | | | | — | | | | | 2,174,932 | |
| | | | |
Total | | | | $9,384,932 | | | | | $(7,210,000 | ) | | | | $— | | | | | $2,174,932 | |
| | | | | | | | | | | | | | | | | | | | |
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 Total Return Bond 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, 2018:
| | | | | | | | | | | | | | | | | | | | |
| | | | | TOTAL RETURN BOND FUND | | |
COUNTERPARTY | | GROSS DERIVATIVE
LIABILITIES IN THE
STATEMENT OF ASSETS
AND LIABILITIES | | COLLATERAL
PLEDGED3 | | DERIVATIVE
(ASSETS)/LIABILITIES
AVAILABLE FOR OFFSET | | NET AMOUNT OF
LIABILITIES4 |
Bank of America, NA | | | | | | | | | | | | | | | | | | | | |
Foreign Currency Exchange Contracts | | | | $6,554 | | | | | $— | | | | | $— | | | | | $6,554 | |
| | | | | | | | | | | | | | | | | | | | |
Total Bank of America, NA | | | | 6,554 | | | | | — | | | | | — | | | | | 6,554 | |
| | | | |
Total | | | | $6,554 | | | | | $— | | | | | $— | | | | | $6,554 | |
| | | | | | | | | | | | | | | | | | | | |
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.
261 / Semi-Annual Report September 2018
Notes to Financial Statements (Continued)
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 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, 2018, 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.
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Notes to Financial Statements (Continued)
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.
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, 2018, 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 Statements of Assets and Liabilities.
For the six months ended September 30, 2018, the Funds did not receive 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, 2018, the Funds did not hold any 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 not 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
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Notes to Financial Statements (Continued)
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 held on September 30, 2018.
Each Fund may enter into when-issued, delayed-delivery, or forward commitment transactions in order to lock in the purchase price of the underlying security, or in order to adjust the interest rate exposure of the Fund’s existing portfolio. In when-issued, delayed-delivery, or forward commitment transactions, a Fund commits to purchase or sell particular securities, with payment and delivery to take place at a future date. Although a Fund does not pay for the securities or start earning interest on them until they are delivered, it immediately assumes the risks of ownership, including the risk of price fluctuation. If a Fund’s counterparty fails to deliver a security purchased on a when-issued, delayed-delivery, or forward commitment basis, there may be a loss, and that Fund may have missed an opportunity to make an alternative investment. Prior to settlement of these transactions, the value of the subject securities will fluctuate, reflecting interest rate changes. In addition, because a Fund is not required to pay for when-issued, delayed-delivery, or forward commitment securities until the delivery date, they must result in a form of leverage to the extent a Fund does not maintain liquid assets equal to the face amount of the contract. The Funds segregate assets (cash and/or securities) to cover the amounts outstanding related to these transactions.
Derivatives:
The Funds engaged in various portfolio investment strategies both to increase the return of the Funds and to economically hedge, or protect, their exposure to interest rate movements and movements in the securities markets. Losses may arise if the value of the contract decreases due to an unfavorable change in the price of the underlying security or if the counterparty does not perform under the contract. The Funds are subject to credit risk, equity price risk and interest rate risk in the normal course of pursuing its investment objectives by investing in various derivative financial instruments, as described below:
Over the reporting period, the Funds engaged in interest rate futures contracts, foreign currency exchange contracts, swap agreements and swaptions as a means of managing interest rate risk and yield curve positioning consistent with the 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. The Fund pays a premium which is included as an asset on the Statements of Assets and Liabilities and subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options which expire are treated as realized losses. 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. When the Fund writes a call or put, an amount equal to the premium received is recorded as a liability and subsequently marked to market to reflect the current value of the option written. These liabilities are included on the Statements of Assets and Liabilities. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against amounts paid on the underlying futures, swap, security or currency transaction to determine the realized gain (loss). 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
Semi-Annual Report September 2018 / 264
Notes to Financial Statements (Continued)
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, 2018, 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.
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 to provide a measure of protection against defaults of the issuers (i.e., to reduce risk where a Fund owns or has exposure to the referenced obligation) or to take an active long or short position with respect to the likelihood of a particular issuer’s default. 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 a 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 Portfolio 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, 2018, 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.
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Notes to Financial Statements (Continued)
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, 2018, the Low Duration Bond Fund held swaptions.
In addition to the securities listed above, the AlphaTrak 500 Fund invested in the following equity derivative instruments with a notional or contractual value up to its total assets: S&P 500 Index futures contracts, Mini S&P 500 Index futures contracts, options on the S&P 500 Index and S&P futures, and swap agreements involving the S&P 500 Index. When the above listed S&P Index derivatives appear to be overvalued relative to the S&P 500 Index, the Fund may invest up to 100% in the common stocks that comprise the S&P 500 Index. The Fund may also invest up to 25% of its total assets in these stocks indirectly by purchasing interests in one or more mutual funds, asset pools, or trusts that invest in such stocks.
The Funds may enter into total return swap agreements. Total return swap is the generic name for any non-traditional swap where one party agrees to pay the other the “total return” of a defined underlying asset, usually in return for receiving a stream of LIBOR based cash flows. The total return swap may be applied to any underlying asset but is most commonly used with equity indices, single stocks, bonds and defined portfolios of loans and mortgages. The total return swap is a mechanism for the user to accept the economic benefits of asset ownership without utilizing the balance sheet. The other leg of the swap, usually LIBOR, is spread to reflect the non-balance sheet nature of the product. Total return swaps can be designed with any underlying asset agreed between two parties.
As a result, unrealized gains are reported as an asset and unrealized losses are reported as a liability in the Statements of Assets and Liabilities. The change in the value of the swaps, including periodic amounts of interest paid or received on swaps is reported as unrealized gains or losses in both the Statements of Assets and Liabilities and the Statements of Operations. A realized gain or loss is recorded upon payment or termination of swap agreements. Swap agreements are stated at fair value. Notional principal amounts are used upon payment or receipt of a periodic payment or termination of swap agreements to express the extent of involvement in these transactions, but the amounts subject to credit risk are much smaller. At September 30, 2018, 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.
Foreign Investing Risk: The Funds may be exposed to the risk that the Funds’ share prices will fluctuate with market conditions, currency exchange rates and the economic and political climates in countries where the Funds invest.
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
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Notes to Financial Statements (Continued)
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 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.
267 / Semi-Annual Report September 2018
Notes to Financial Statements (Continued)
| 5. | SECURITIES TRANSACTIONS |
Investment transactions for the six months ended September 30, 2018, excluding U.S. government and short-term investments, were as follows:
| | | | | | | | |
PORTFOLIO | | PURCHASES | | | SALES | |
| | |
AlphaTrak 500 Fund | | $ | 5,990,205 | | | $ | 4,716,340 | |
| | |
Corporate Bond Fund* | | | 1,868,421 | | | | 98,548 | |
| | |
Floating Rate Income Fund | | | 78,637,834 | | | | 53,670,876 | |
| | |
High Yield Bond Fund | | | 197,894,999 | | | | 291,316,352 | |
| | |
Intermediate Bond Fund | | | 54,163,963 | | | | 189,979,176 | |
| | |
Investment Grade Credit Fund* | | | 4,553,753 | | | | 533,698 | |
| | |
Low Duration Bond Fund | | | 224,665,300 | | | | 436,620,860 | |
| | |
Strategic Income Fund | | | 12,973,256 | | | | 15,189,218 | |
| | |
Total Return Bond Fund | | | 7,767,646,369 | | | | 8,653,312,230 | |
| | |
Ultra Short Bond Fund | | | 7,830,961 | | | | 10,988,774 | |
| | |
Unconstrained Bond Fund | | | 440,061,646 | | | | 568,553,102 | |
* The Fund commenced operations on June 29, 2018.
Investment transactions in U.S. government securities for the six months ended September 30, 2018 were as follows:
| | | | | | | | |
PORTFOLIO | | PURCHASES | | | SALES | |
| | |
AlphaTrak 500 Fund | | $ | 4,910,317 | | | $ | 5,207,607 | |
| | |
Corporate Bond Fund* | | | 2,649,233 | | | | 2,562,014 | |
| | |
Floating Rate Income Fund | | | — | | | | — | |
| | |
High Yield Bond Fund | | | 19,284,880 | | | | 36,748,284 | |
| | |
Intermediate Bond Fund | | | 765,267,609 | | | | 779,637,674 | |
| | |
Investment Grade Credit Fund* | | | 6,629,564 | | | | 5,242,186 | |
| | |
Low Duration Bond Fund | | | 1,416,445,056 | | | | 1,602,949,364 | |
| | |
Strategic Income Fund | | | 6,713,148 | | | | 2,058,127 | |
| | |
Total Return Bond Fund | | | 66,777,936,889 | | | | 72,641,630,832 | |
| | |
Ultra Short Bond Fund | | | 68,405,291 | | | | 72,874,530 | |
| | |
Unconstrained Bond Fund | | | 122,327,124 | | | | 105,554,094 | |
* The Fund commenced operations on June 29, 2018.
During the six months ended September 30, 2018, the Total Return Bond Fund permitted an in-kind purchase of its shares, accepting payment for such shares in the form of securities that are permissible investments of the Fund and cash. The purchase in-kind occurred on June 27, 2018 and totaled $161,197,777, of which $7,400,000 was in cash.
| 6. | INVESTMENT ADVISORY SERVICES AND OTHER TRANSACTIONS |
As compensation for advisory services, the Adviser charges the Corporate Bond Fund, the Floating Rate Income Fund, the High Yield Bond Fund, the Intermediate Bond Fund, the Investment Grade Credit Fund, the Low Duration Bond Fund, the Total Return Bond Fund, the Ultra Short Bond Fund and the Unconstrained Bond Fund a fee, computed daily and payable monthly, at an annual rate of 0.40%, 0.55%, 0.50%, 0.35%, 0.35%, 0.30%, 0.35%, 0.25% and 0.65%, 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 ICE BofAML 3-Month U.S. Treasury Bill Index over the same period. Under this agreement, the basic fee was increased by 1.16% resulting in $559,231 of total management fees for the six months ended September 30, 2018. The Adviser charges the AlphaTrak 500 Fund a basic fee of 0.35% of the Fund’s average daily net assets. The basic fee may be adjusted upward or downward (by up to 0.35% of the Fund’s average daily net assets for the relevant three-month performance period), depending on whether, and to what extent, the investment performance of the AlphaTrak 500 Fund before management fees, for the relevant performance period, exceeds or is exceeded by, the performance of the S&P 500 Index, plus an annualized margin of 1.00% over the same period. Under this agreement, the basic fee stayed the same resulting in $262 total management fees for the six months ended September 30, 2018.
Semi-Annual Report September 2018 / 268
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 at both the time of the waiver and the recoupment. 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, 2018, were as follows:
| | | | | | | | | | | | | | | | |
| | | INVESTMENT ADVISORY FEE RATE | | CONTRACTUAL EXPENSE LIMITATION1 |
PORTFOLIO | | CLASS M | | CLASS I | | ADMINISTRATIVE CLASS | | PLAN CLASS | | CLASS M | | CLASS I | | ADMINISTRATIVE CLASS | | PLAN CLASS |
| | | | | | | | |
AlphaTrak 500 Fund | | 0.00%-0.70% | | N/A | | N/A | | N/A | | 0.90% | | N/A | | N/A | | N/A |
| | | | | | | | |
Corporate Bond Fund | | 0.40% | | 0.40% | | N/A | | N/A | | 0.75% | | 0.50% | | N/A | | N/A |
| | | | | | | | |
Floating Rate Income Fund | | 0.55% | | 0.55% | | N/A | | N/A | | 0.90% | | 0.70% | | N/A | | N/A |
| | | | | | | | |
High Yield Bond Fund | | 0.50% | | 0.50% | | N/A | | N/A | | 0.85% | | 0.60% | | N/A | | N/A |
| | | | | | | | |
Intermediate Bond Fund | | 0.35% | | 0.35% | | N/A | | N/A | | 0.70% | | 0.49% | | N/A | | N/A |
| | | | | | | | |
Investment Grade Credit Fund | | 0.35% | | 0.35% | | N/A | | N/A | | 0.70% | | 0.49% | | N/A | | N/A |
| | | | | | | | |
Low Duration Bond Fund | | 0.30% | | 0.30% | | 0.30% | | N/A | | 0.63% | | 0.44% | | 0.83% | | 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 |
| | | | | | | | |
Total Return Bond Fund | | 0.35% | | 0.35% | | 0.35% | | 0.35% | | 0.70% | | 0.49% | | 0.90% | | 0.39% |
| | | | | | | | |
Ultra Short Bond Fund | | 0.25% | | 0.25% | | N/A | | N/A | | 0.50% | | 0.34% | | N/A | | N/A |
| | | | | | | | |
Unconstrained Bond Fund | | 0.65% | | 0.65% | | N/A | | N/A | | 1.04% | | 0.80% | | N/A | | N/A |
1The Adviser has agreed not to reduce or discontinue this contractual expense limitation until July 31, 2019, unless approved by the Board.
At September 30, 2018, the balance of recoupable expenses with expiration dates for the Funds were as follows:
| | | | | | | | | | | | | | | | | | | | |
PORTFOLIO | | 2019 | | | 2020 | | | 2021 | | | 2022 | | | TOTAL | |
| | | | | | | | | | | | | | | | |
| | | | | |
AlphaTrak 500 Fund | | | $120,243 | | | | $131,176 | | | | $ — | | | | $ 8,023 | | | | $ 259,442 | |
| | | | | |
Corporate Bond Fund | | | — | | | | — | | | | — | | | | 57,553 | | | | 57,553 | |
| | | | | |
Floating Rate Income Fund | | | 60,249 | | | | 101,217 | | | | 69,036 | | | | 19,980 | | | | 250,482 | |
| | | | | |
High Yield Bond Fund | | | 173,972 | | | | 239,308 | | | | 252,493 | | | | 150,049 | | | | 815,822 | |
| | | | | |
Intermediate Bond Fund | | | — | | | | — | | | | — | | | | 29,489 | | | | 29,489 | |
| | | | | |
Investment Grade Credit Fund | | | — | | | | — | | | | — | | | | 57,150 | | | | 57,150 | |
| | | | | |
Low Duration Bond Fund | | | — | | | | — | | | | — | | | | 56,700 | | | | 56,700 | |
| | | | | |
Ultra Short Bond Fund | | | 256,571 | | | | 227,293 | | | | 233,733 | | | | 126,714 | | | | 844,311 | |
| | | | | |
Unconstrained Bond Fund | | | — | | | | — | | | | 194,740 | | | | 304,966 | | | | 499,706 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total | | | $611,035 | | | | $698,994 | | | | $750,002 | | | | $810,624 | | | | $2,870,655 | |
| | | | | | | | | | | | | | | | | | | | |
During the six months ended September 30, 2018, the Adviser recouped $117,930 from the Strategic Income 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 $120,000 and $10,000 for each meeting of the Board attended. The chairman of the Board receives an annual retainer of $170,000. The respective chairman of the Audit Committee and the Nominating Committee each receive additional annual retainer of $34,000 and $17,000, respectively. The Trust has an unfunded, nonqualified deferred compensation plan (the “Deferred Compensation Plan”) for certain eligible Trustees. The Deferred Compensation 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
269 / Semi-Annual Report September 2018
Notes to Financial Statements (Continued)
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 Deferred Compensation Plan are recorded in Trustees’ fees and expenses in the Statements of Operations.
| 7. | SHARE MARKETING (12b-1) PLAN AND SHAREHOLDER SERVICING PLAN |
The Trust has a Share Marketing Plan (or the “12b-1 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 High Yield Bond Fund, the Unconstrained Bond Fund, the Floating Rate Income Fund, the Strategic Income Fund, the Corporate Bond Fund, the Investment Grade Credit Fund, and the Administrative Class shares of the Low Duration Bond Fund and Total Return Bond Fund. Under the 12b-1 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, 2018. The AlphaTrak 500 Fund is currently not incurring Rule 12b-1 fees. The Adviser has contractually agreed, through July 31, 2019, to pay the distribution expenses of the AlphaTrak 500 Fund out of its own resources.
The 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 Shareholder Servicing 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. | COMMITMENTS AND CONTINGENCIES |
The Floating Rate Income Fund had the following unfunded commitments and unrealized gain/(loss) by investment as of September 30, 2018:
| | | | | | | | | | | | | | | | | | | | |
UNFUNDED COMMITMENTS | | MATURITY | | AMOUNT | | UNREALIZED GAIN |
| | | | |
Romulus Merger Sub LLC, | | | | | | | | | | | | | | | | | | | | |
| | | | |
Delayed-Draw Term Loan, 1st Lien | | | | February | | | | | 2025 | | | | $ | 323,910 | | | | $ | (2,961 | ) |
| | | | |
Carlisle Foodservice Products, Inc. | | | | | | | | | | | | | | | | | | | | |
| | | | |
Term Loan, 1st Lien | | | | March | | | | | 2025 | | | | | 91,708 | | | | | (316 | ) |
| | | | |
Heartland Dental LLC, Term Loan, 1st Lien | | | | April | | | | | 2025 | | | | | 261,304 | | | | | 434 | |
| | | | |
GFL Environmental, Inc., Term Loan B, 1st Lien | | | | May | | | | | 2025 | | | | | 166,160 | | | | | 414 | |
| | | | |
Premise Health Holding Corp., Term Loan, 1st Lien | | | | July | | | | | 2025 | | | | | 55,721 | | | | | 295 | |
| | | | |
University Support Services LLC, Term Loan B, 1st Lien | | | | July | | | | | 2025 | | | | | 240,254 | | | | | 2,966 | |
| | | | |
GlobalLogic Holdings, Inc., Term Loan B, 1st Lien | | | | August | | | | | 2025 | | | | | 63,106 | | | | | 918 | |
| | | | |
VT Topco, Inc., Term Loan, 1st Lien | | | | August | | | | | 2025 | | | | | 163,981 | | | | | 1,221 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Total Unfunded Commitments | | | | | | | | | | | | | $ | 1,366,144 | | | | $ | 2,971 | |
| | | | | | | | | | | | | | | | | | | | |
In the normal course of business, the Trust enters into contracts which provide a variety of representations and warranties, and that provide general indemnifications. Such contracts include those with certain service providers, brokers and trading counterparties. Any exposure to the Trust under these arrangements is unknown as it would involve future claims that may be made against the Trust; however, based on the Trust’s experience, the risk of loss is remote and no such claims are expected to occur. As such, the Trust has not accrued any liability in connection with such indemnifications.
Semi-Annual Report September 2018 / 270
Notes to Financial Statements (Continued)
| 9. | 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:
| | | | | | | | | | |
| | | ALPHATRAK FUND |
| | | CLASS M | | CLASS M |
| | | SIX MONTHS ENDED
SEPTEMBER 30,
2018 (UNAUDITED) | | YEAR ENDED
MARCH 31,
2018 |
Change in Fund shares: | | | | | | | | | | |
Shares outstanding at beginning of period | | | | 1,819,250 | | | | | 2,314,322 | |
| | | | | | | | | | |
| | |
Shares sold | | | | 285,780 | | | | | 1,580,421 | |
Shares issued through reinvestment of distributions | | | | 16,409 | | | | | 17,635 | |
Shares redeemed | | | | (436,774 | ) | | | | (2,093,128 | ) |
| | | | | | | | | | |
| | |
Net increase/(decrease) in fund shares | | | | (134,585 | ) | | | | (495,072 | ) |
| | | | | | | | | | |
| | |
Shares outstanding at end of period | | | | 1,684,665 | | | | | 1,819,250 | |
| | | | | | | | | | |
| | | | | | | | | | | | |
| | | CORPORATE BOND FUND |
| | | CLASS M | | CLASS I | | |
| | | PERIOD ENDED
SEPTEMBER 30, 2018 (UNAUDITED)* | | PERIOD ENDED
SEPTEMBER 30,
2018
(UNAUDITED)* | | |
Change in Fund shares: | | | | | | | | | | | | |
Shares outstanding at beginning of period | | | | — | | | | | — | | | |
| | | | | | | | | | | | |
| | | |
Shares sold | | | | 74,500 | | | | | 125,500 | | | |
Shares issued through reinvestment of distributions | | | | 889 | | | | | 1,577 | | | |
Shares redeemed | | | | — | | | | | — | | | |
| | | | | | | | | | | | |
| | | |
Net increase/(decrease) in fund shares | | | | 75,389 | | | | | 127,077 | | | |
| | | | | | | | | | | | |
| | | |
Shares outstanding at end of period | | | | 75,389 | | | | | 127,077 | | | |
| | | | | | | | | | | | |
| |
*The Fund commenced operations on June 29, 2018. | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | FLOATING RATE INCOME FUND |
| | | CLASS M | | CLASS M | | CLASS I | | CLASS I |
| | | SIX MONTHS ENDED
SEPTEMBER 30,
2018 (UNAUDITED) | | YEAR ENDED
MARCH 31,
2018 | | SIX MONTHS ENDED
SEPTEMBER 30,
2018 (UNAUDITED) | | YEAR ENDED
MARCH 31,
2018 |
Change in Fund shares: | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at beginning of period | | | | 1,570,979 | | | | | 2,491,449 | | | | | 23,648,073 | | | | | 20,507,647 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | | 930,088 | | | | | 1,285,551 | | | | | 3,775,297 | | | | | 4,790,545 | |
Shares issued through reinvestment of distributions | | | | 35,939 | | | | | 68,549 | | | | | 507,958 | | | | | 817,832 | |
Shares redeemed | | | | (481,272 | ) | | | | (2,274,570 | ) | | | | (2,354,100 | ) | | | | (2,467,951 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Net increase/(decrease) in fund shares | | | | 484,755 | | | | | (920,470 | ) | | | | 1,929,155 | | | | | 3,140,426 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Shares outstanding at end of period | | | | 2,055,734 | | | | | 1,570,979 | | | | | 25,577,228 | | | | | 23,648,073 | |
| | | | | | | | | | | | | | | | | | | | |
271 / Semi-Annual Report September 2018
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | | | |
| | | HIGH YIELD BOND FUND |
| | | CLASS M | | CLASS M | | CLASS I | | CLASS I |
| | | SIX MONTHS ENDED
SEPTEMBER 30,
2018
(UNAUDITED) | | YEAR ENDED
MARCH 31,
2018 | | SIX MONTHS ENDED
SEPTEMBER 30,
2018
(UNAUDITED) | | YEAR ENDED
MARCH 31,
2018 |
| | | | | | | | | |
Change in Fund shares: | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at beginning of period | | | | 22,090,985 | | | | | 35,874,114 | | | | | 41,195,325 | | | | | 55,451,183 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | | 1,262,101 | | | | | 3,456,370 | | | | | 5,431,619 | | | | | 13,075,188 | |
Shares issued through reinvestment of distributions | | | | 420,750 | | | | | 971,536 | | | | | 766,733 | | | | | 1,637,526 | |
Shares redeemed | | | | (4,654,649 | ) | | | | (18,211,035 | ) | | | | (15,060,474 | ) | | | | (28,968,572 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Net (decrease) in fund shares | | | | (2,971,798 | ) | | | | (13,783,129 | ) | | | | (8,862,122 | ) | | | | (14,255,858 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Shares outstanding at end of period | | | | 19,119,187 | | | | | 22,090,985 | | | | | 32,333,203 | | | | | 41,195,325 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | INTERMEDIATE BOND FUND |
| | | CLASS M | | CLASS M | | CLASS I | | CLASS I |
| | | SIX MONTHS ENDED
SEPTEMBER 30,
2018
(UNAUDITED) | | YEAR ENDED
MARCH 31,
2018 | | SIX MONTHS ENDED
SEPTEMBER 30,
2018
(UNAUDITED) | | YEAR ENDED
MARCH 31,
2018 |
| | | | | | | | | |
Change in Fund shares: | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at beginning of period | | | | 5,183,235 | | | | | 8,930,814 | | | | | 75,238,162 | | | | | 102,657,569 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | | 460,128 | | | | | 1,015,450 | | | | | 3,656,978 | | | | | 17,352,718 | |
Shares issued through reinvestment of distributions | | | | 55,167 | | | | | 115,749 | | | | | 850,239 | | | | | 1,844,006 | |
Shares redeemed | | | | (1,490,280 | ) | | | | (4,878,778 | ) | | | | (16,668,106 | ) | | | | (46,616,131 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Net (decrease) in fund shares | | | | (974,985 | ) | | | | (3,747,579 | ) | | | | (12,160,889 | ) | | | | (27,419,407 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Shares outstanding at end of period | | | | 4,208,250 | | | | | 5,183,235 | | | | | 63,077,273 | | | | | 75,238,162 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | |
| | | INVESTMENT GRADE CREDIT FUND |
| | | CLASS M | | CLASS I | | |
| | | PERIOD ENDED
SEPTEMBER 30,
2018
(UNAUDITED)* | | PERIOD ENDED
SEPTEMBER 30,
2018
(UNAUDITED)* | | |
| | | | | | | |
Change in Fund shares: | | | | | | | | | | | | | | | |
Shares outstanding at beginning of period | | | | — | | | | | — | | | | | | |
| | | | | | | | | | | | | | | |
| | | |
Shares sold | | | | 73,250 | | | | | 470,417 | | | | | | |
Shares issued through reinvestment of distributions | | | | 1,377 | | | | | 3,777 | | | | | | |
| | | | | | | | | | | | | | | |
Shares redeemed | | | | — | | | | | — | | | | | | |
| | | | | | | | | | | | | | | |
| | | |
Net increase in fund shares | | | | 74,627 | | | | | 474,194 | | | | | | |
| | | | | | | | | | | | | | | |
| | | |
Shares outstanding at end of period | | | | 74,627 | | | | | 474,194 | | | | | | |
| | | | | | | | | | | | | | | |
| | | |
* The Fund commenced operations on June 29, 2018. | | | | | | | | | | | | | | | |
Semi-Annual Report September 2018 / 272
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | | | |
| | | LOW DURATION BOND FUND |
| | | CLASS M | | CLASS M | | CLASS I | | CLASS I |
| | | SIX MONTHS ENDED
SEPTEMBER 30,
2018
(UNAUDITED) | | YEAR ENDED
MARCH 31,
2018 | | SIX MONTHS ENDED
SEPTEMBER 30,
2018
(UNAUDITED) | | YEAR ENDED
MARCH 31,
2018 |
| | | | | | | | | |
Change in Fund shares: | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at beginning of period | | | | 112,971,343 | | | | | 147,299,850 | | | | | 195,150,136 | | | | | 208,222,371 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | | 2,054,255 | | | | | 10,695,919 | | | | | 28,245,299 | | | | | 59,084,070 | |
Shares issued through reinvestment of distributions | | | | 1,015,710 | | | | | 1,935,913 | | | | | 2,128,256 | | | | | 3,285,628 | |
Shares redeemed | | | | (27,616,131 | ) | | | | (46,960,339 | ) | | | | (37,671,449 | ) | | | | (75,441,933 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Net (decrease) in fund shares | | | | (24,546,166 | ) | | | | (34,328,507 | ) | | | | (7,297,894 | ) | | | | (13,072,235 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Shares outstanding at end of period | | | | 88,425,177 | | | | | 112,971,343 | | | | | 187,852,242 | | | | | 195,150,136 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | |
| | | LOW DURATION BOND FUND |
| | | ADMINISTRATIVE
CLASS | | ADMINISTRATIVE
CLASS |
| | | SIX MONTHS ENDED
SEPTEMBER 30, 2018
(UNAUDITED) | | YEAR ENDED
MARCH 31,
2018 |
| | | | | |
Change in Fund shares: | | | | | | | | | | |
Shares outstanding at beginning of period | | | | 481,657 | | | | | 639,733 | |
| | | | | | | | | | |
| | |
Shares sold | | | | 31,667 | | | | | 122,944 | |
Shares issued through reinvestment of distributions | | | | 134 | | | | | 1,721 | |
Shares redeemed | | | | (480,277 | ) | | | | (282,741 | ) |
| | | | | | | | | | |
| | |
Net (decrease) in fund shares | | | | (448,476 | ) | | | | (158,076 | ) |
| | | | | | | | | | |
| | |
Shares outstanding at end of period | | | | 33,181 | | | | | 481,657 | |
| | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | STRATEGIC INCOME FUND |
| | | CLASS M | | CLASS M | | CLASS I | | CLASS I |
| | | SIX MONTHS ENDED
SEPTEMBER 30,
2018 (UNAUDITED) | | YEAR ENDED
MARCH 31,
2018 | | SIX MONTHS ENDED
SEPTEMBER 30,
2018
(UNAUDITED) | | YEAR ENDED
MARCH 31,
2018 |
| | | | | | | | | |
Change in Fund shares: | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at beginning of period | | | | 3,308,284 | | | | | 5,516,252 | | | | | 8,744,185 | | | | | 8,764,620 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | | 298,058 | | | | | 1,079,210 | | | | | 958,241 | | | | | 1,716,900 | |
Shares issued through reinvestment of distributions | | | | 58,221 | | | | | 146,807 | | | | | 181,547 | | | | | 322,338 | |
Shares redeemed | | | | (1,095,850 | ) | | | | (3,433,985 | ) | | | | (897,588 | ) | | | | (2,059,673 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Net increase/(decrease) in fund shares | | | | (739,571 | ) | | | | (2,207,968 | ) | | | | 242,200 | | | | | (20,435 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Shares outstanding at end of period | | | | 2,568,713 | | | | | 3,308,284 | | | | | 8,986,385 | | | | | 8,744,185 | |
| | | | | | | | | | | | | | | | | | | | |
273 / Semi-Annual Report September 2018
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | | | |
| | | TOTAL RETURN BOND FUND |
| | | CLASS M | | CLASS M | | CLASS I | | CLASS I |
| | | SIX MONTHS ENDED
SEPTEMBER 30,
2018 (UNAUDITED) | | YEAR ENDED
MARCH 31,
2018 | | SIX MONTHS ENDED SEPTEMBER 30, 2018 (UNAUDITED) | | YEAR ENDED
MARCH 31,
2018 |
Change in Fund shares: | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at beginning of period | | | | 1,110,357,245 | | | | | 1,440,045,438 | | | | | 4,524,412,707 | | | | | 4,637,417,821 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | | 69,721,059 | | | | | 200,011,154 | | | | | 527,216,219 | | | | | 1,379,650,099 | |
Shares issued through reinvestment of distributions | | | | 13,296,562 | | | | | 24,632,131 | | | | | 54,286,610 | | | | | 89,111,567 | |
Shares redeemed | | | | (199,381,596 | ) | | | | (554,331,478 | ) | | | | (1,099,831,223 | ) | | | | (1,581,766,780 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Net (decrease) in fund shares | | | | (116,363,975 | ) | | | | (329,688,193 | ) | | | | (518,328,394 | ) | | | | (113,005,114 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Shares outstanding at end of period | | | | 993,993,270 | | | | | 1,110,357,245 | | | | | 4,006,084,313 | | | | | 4,524,412,707 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | TOTAL RETURN BOND FUND |
| | | ADMINISTRATIVE
CLASS | | ADMINISTRATIVE
CLASS | | PLAN
CLASS | | PLAN
CLASS |
| | | SIX MONTHS ENDED
SEPTEMBER 30,
2018
(UNAUDITED) | | YEAR ENDED
MARCH 31, 2018 | | SIX MONTHS ENDED
SEPTEMBER 30,
2018
(UNAUDITED) | | YEAR ENDED MARCH 31, 2018 |
Change in Fund shares: | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at beginning of period | | | | 93,216,336 | | | | | 72,617,898 | | | | | 1,865,273,582 | | | | | 1,376,039,895 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | | 13,994,558 | | | | | 36,885,884 | | | | | 401,092,896 | | | | | 830,381,527 | |
Shares issued through reinvestment of distributions | | | | 1,093,999 | | | | | 1,583,326 | | | | | 26,695,721 | | | | | 35,548,697 | |
Shares redeemed | | | | (18,576,508 | ) | | | | (17,870,772 | ) | | | | (246,747,151 | ) | | | | (376,696,537 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Net increase/(decrease) in fund shares | | | | (3,487,951 | ) | | | | 20,598,438 | | | | | 181,041,466 | | | | | 489,233,687 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Shares outstanding at end of period | | | | 89,728,385 | | | | | 93,216,336 | | | | | 2,046,315,048 | | | | | 1,865,273,582 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| | | ULTRA SHORT BOND FUND |
| | | CLASS M | | CLASS M | | CLASS I | | CLASS I |
| | | SIX MONTHS ENDED
SEPTEMBER 30,
2018 (UNAUDITED) | | YEAR ENDED
MARCH 31,
2018 | | SIX MONTHS ENDED
SEPTEMBER 30,
2018 (UNAUDITED) | | YEAR ENDED
MARCH 31,
2018 |
Change in Fund shares: | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at beginning of period | | | | 11,940,212 | | | | | 15,523,122 | | | | | 16,126,155 | | | | | 16,555,337 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | | 782,971 | | | | | 4,065,009 | | | | | 2,524,101 | | | | | 8,775,321 | |
Shares issued through reinvestment of distributions | | | | 89,249 | | | | | 142,392 | | | | | 161,932 | | | | | 178,509 | |
Shares redeemed | | | | (3,642,845 | ) | | | | (7,790,311 | ) | | | | (1,742,531 | ) | | | | (9,383,012 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Net (decrease) in fund shares | | | | (2,770,625 | ) | | | | (3,582,910 | ) | | | | 943,502 | | | | | (429,182 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
Shares outstanding at end of period | | | | 9,169,587 | | | | | 11,940,212 | | | | | 17,069,657 | | | | | 16,126,155 | |
| | | | | | | | | | | | | | | | | | | | |
Semi-Annual Report September 2018 / 274
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | UNCONSTRAINED BOND FUND | | |
| | | CLASS M | | | | CLASS M | | | | CLASS I | | | | CLASS I | | |
| | | SIX MONTHS ENDED
SEPTEMBER 30, 2018 (UNAUDITED) | | | | YEAR ENDED
MARCH 31, 2018 | | | | SIX MONTHS ENDED
SEPTEMBER 30,
2018 (UNAUDITED) | | | | YEAR ENDED
MARCH 31, 2018 | | |
Change in Fund shares: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares outstanding at beginning of period | | | | 54,336,734 | | | | | | | | | | 122,812,923 | | | | | | | | | | 222,210,891 | | | | | | | | | | 167,977,081 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shares sold | | | | 4,298,192 | | | | | | | | | | 41,799,083 | | | | | | | | | | 34,544,217 | | | | | | | | | | 99,192,116 | | | |
Shares issued through reinvestment of distributions | | | | 793,949 | | | | | | | | | | 2,690,178 | | | | | | | | | | 3,291,225 | | | | | | | | | | 4,489,214 | | | |
| | | | | | | | |
Shares redeemed | | | | (15,336,685 | ) | | | | | | | | | (112,965,450 | ) | | | | | | | | | (39,019,157 | ) | | | | | | | | | (49,447,520 | ) | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
Net increase/(decrease) in fund shares | | | | (10,244,544 | ) | | | | | | | | | (68,476,189 | ) | | | | | | | | | (1,183,715 | ) | | | | | | | | | 54,233,810 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
Shares outstanding at end of period | | | | 44,092,190 | | | | | | | | | | 54,336,734 | | | | | | | | | | 221,027,176 | | | | | | | | | | 222,210,891 | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
From time to time, a Fund may become a party to certain legal proceedings incidental to the normal course of its business. The Metropolitan West High Yield Bond Fund (“Fund”) was served in May of 2015 with a complaint naming it as a defendant along with others in a lawsuit brought by a trust (the “Avoidance Trust”), created pursuant to the General Motors Corporation (“GM”) Chapter 11 reorganization in 2009. The action involves a secured term loan to GM (“Term Loan”) that was paid off after GM’s bankruptcy filing, and seeks recovery of the amount paid to each Term Loan lender because of a purportedly unperfected lien on the date of bankruptcy. The Avoidance Trust seeks to recover (i) cash paid to Term Loan lenders both immediately before and after the GM bankruptcy filing, and (ii) unspecified interest on the amounts recovered. The approximate amount the Fund received on account of the Term Loan after the GM’s bankruptcy filing is $3.5 million. The Fund has engaged counsel and with others and has filed an answer to the complaint and a crossclaim against J.P. Morgan Chase, the agent bank for the Term Loan. The parties are engaging in mediation as well as pursuing targeted discovery and motions before the trial court. The Fund intends to vigorously contest this litigation.
| 11. | FEDERAL TAX INFORMATION |
Capital Loss Carryforwards:
At September 30, 2018 , the following Funds had available for federal income tax purposes unused capital losses as follows:
| | | | | | | | | | | | | | |
FUND | | EXPIRING IN
2019 | | | EXPIRING IN
2020 | | SHORT TERM
NON-EXPIRING
AMOUNTS* | | | LONG TERM
NON-EXPIRING
AMOUNTS* | |
| | | | |
AlphaTrak 500 Fund | | | $12,617,196 | | | $— | | | $ — | | | | $ — | |
| | | | |
Floating Rate Income Fund | | | — | | | — | | | — | | | | 1,027,619 | |
| | | | |
High Yield Bond Fund | | | — | | | — | | | — | | | | 78,611,678 | |
| | | | |
Intermediate Bond Fund | | | — | | | — | | | 23,617,689 | | | | 1,676,650 | |
| | | | |
Low Duration Bond Fund | | | 42,081,240 | | | — | | | 15,297,621 | | | | 62,789,709 | |
| | | | |
Strategic Income Fund | | | 41,345,040 | | | — | | | — | | | | — | |
| | | | |
Total Return Bond Fund | | | — | | | — | | | 1,611,508,344 | | | | 98,450,214 | |
| | | | |
Ultra Short Bond Fund | | | 10,083,524 | | | — | | | 512,256 | | | | 4,871,467 | |
| | | | |
Unconstrained Bond Fund | | | — | | | — | | | — | | | | — | |
| | * | 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. |
275 / Semi-Annual Report September 2018
Notes to Financial Statements (Continued)
Tax Basis of Distributable Income:
As of September 30, 2018, the components of accumulated earnings/(accumulated losses) on a tax basis were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | ALPHATRAK 500 FUND | | FLOATING RATE
INCOME FUND | | HIGH YIELD
BOND FUND | | INTERMEDIATE
BOND FUND | | |
Undistributed ordinary income (inclusive of short-term gains) | | | $ | 26,902 | | | | $ | 157,006 | | | | $ | 2,224,675 | | | | $ | 256,367 | | | | | | |
| | | | | |
Other temporary differences | | | | (510 | ) | | | | (17,746 | ) | | | | (135,582 | ) | | | | (111,670 | ) | | | | | |
| | | | | |
Accumulated capital loss carryforwards and post-October losses | | | | (12,617,196 | ) | | | | (1,027,619 | ) | | | | (78,611,678 | ) | | | | (25,294,339 | ) | | | | | |
| | | | | |
Net unrealized appreciation/(depreciation) | | | | (93,956 | ) | | | | 266,753 | | | | | (30,064,880 | ) | | | | (2,407,755 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
Total accumulated earnings/(losses) | | | $ | (12,684,760 | ) | | | $ | (621,606 | ) | | | $ | (106,587,465 | ) | | | $ | (27,557,397 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | LOW DURATION
BOND FUND | | STRATEGIC
INCOME FUND | | TOTAL RETURN
BOND FUND | | ULTRA SHORT
BOND FUND | | UNCONSTRAINED
BOND FUND | | |
Undistributed ordinary income (inclusive of short-term capital gains) | | | $ | — | | | | $ | 529,641 | | | | $ | 3,185,114 | | | | $ | — | | | | $ | 784,813 | | | | | | |
| | | | | | |
Other temporary differences | | | | (2,314,438 | ) | | | | (6,759 | ) | | | | (13,639,656 | ) | | | | (47,358 | ) | | | | (1,738,763 | ) | | | | | |
| | | | | | |
Accumulated capital loss carryforwards and post-October losses | | | | (120,168,570 | ) | | | | (41,345,040 | ) | | | | (1,709,958,558 | ) | | | | (15,467,247 | ) | | | | — | | | | | | |
| | | | | | |
Net unrealized (depreciation) | | | | (486,812 | ) | | | | (1,055,185 | ) | | | | (231,305,531 | ) | | | | (71,083 | ) | | | | (10,375,295 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
Total accumulated earnings/(losses) | | | $ | (122,969,820 | ) | | | $ | (41,877,343 | ) | | | $ | (1,951,718,631 | ) | | | $ | (15,585,688 | ) | | | $ | (11,329,245 | ) | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Permanent differences incurred during the fiscal year ended March 31, 2018, 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) | | INCREASE/(DECREASE)
PAID-IN-CAPITAL | | |
| | | | |
AlphaTrak 500 Fund | | | | $ 17,474 | | | | | $ 13,449,137 | | | | | $ (13,466,611) | | | | | | |
| | | | |
Floating Rate Income Fund | | | | (176,133 | ) | | | | 176,133 | | | | | — | | | | | | |
| | | | |
High Yield Bond Fund | | | | (103,296 | ) | | | | (620,609 | ) | | | | 723,905 | | | | | | |
| | | | |
Intermediate Bond Fund | | | | 557,406 | | | | | (557,406 | ) | | | | — | | | | | | |
| | | | |
Low Duration Bond Fund | | | | 1,797,780 | | | | | 19,231,710 | | | | | (21,029,490 | ) | | | | | |
| | | | |
Strategic Income Fund | | | | 65,990 | | | | | 17,741,628 | | | | | (17,807,618 | ) | | | | | |
| | | | |
Total Return Bond Fund | | | | 53,340,645 | | | | | (53,340,645 | ) | | | | — | | | | | | |
| | | | |
Ultra Short Bond Fund | | | | 66,908 | | | | | 14,870,250 | | | | | (14,937,158 | ) | | | | | |
| | | | |
Unconstrained Bond Fund | | | | (154,341 | ) | | | | 154,341 | | | | | — | | | | | | |
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:
| | | | | | | | | | | | | | | | | | | | | | |
| | | ALPHATRAK 500
FUND | | FLOATING RATE
INCOME FUND | | |
| | | MARCH 31,
2018 | | MARCH 31,
2017 | | MARCH 31,
2018 | | MARCH 31,
2017 | | |
Distributions from: | | | | | | | | | | | | | | | | | | | | | | |
Ordinary income (inclusive of short-term capital gains) | | | $ | 172,470 | | | | $ | 84,991 | | | | $ | 9,097,841 | | | | $ | 6,476,329 | | | |
Net long-term capital gains | | | | — | | | | | — | | | | | — | | | | | — | | | |
| | | | | | | | | | | | | | | | | | | | | | |
Total taxable distributions | | | $ | 172,470 | | | | $ | 84,991 | | | | $ | 9,097,841 | | | | $ | 6,476,329 | | | |
| | | | | | | | | | | | | | | | | | | | | | |
Semi-Annual Report September 2018 / 276
Notes to Financial Statements (Continued)
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | HIGH YIELD BOND FUND | | | INTERMEDIATE
BOND FUND | |
| | | | | | | | | MARCH 31,
2018 | | | MARCH 31,
2017 | | | MARCH 31,
2018 | | | MARCH 31,
2017 | |
Distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
Ordinary income (inclusive of short-term capital gains) | | | $ | 26,729,019 | | | $ | 35,532,953 | | | $ | 21,257,599 | | | $ | 28,388,404 | |
Net long-term capital gains | | | | | | | | — | | | | — | | | | — | | | | 4,082,458 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total taxable distributions | | | | | | | $ | 26,729,019 | | | $ | 35,532,953 | | | $ | 21,257,599 | | | $ | 32,470,862 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | LOW DURATION BOND FUND | | | STRATEGIC INCOME
FUND | |
| | | | | | | | | MARCH 31,
2018 | | | MARCH 31,
2017 | | | MARCH 31,
2018 | | | MARCH 31,
2017 | |
Distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
Ordinary income (inclusive of short-term capital gains) | | | $ | 47,578,780 | | | $ | 47,400,208 | | | $ | 3,883,583 | | | $ | 4,080,266 | |
Net long-term capital gains | | | | | | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total taxable distributions | | | | | | | $ | 47,578,780 | | | $ | 47,400,208 | | | $ | 3,883,583 | | | $ | 4,080,266 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | TOTAL RETURN
BOND FUND | | | ULTRA SHORT BOND FUND | | | UNCONSTRAINED
BOND FUND | |
| | | MARCH 31, 2018 | | | MARCH 31, 2017 | | | MARCH 31,
2018 | | | MARCH 31,
2017 | | | MARCH 31,
2018 | | | MARCH 31,
2017 | |
Distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
Ordinary income (inclusive of short-term capital gains) | | $ | 1,745,362,589 | | | $ | 2,498,180,916 | | | $ | 1,586,800 | | | $ | 1,750,866 | | | $ | 105,370,055 | | | $ | 69,187,248 | |
Net long-term capital gains | | | — | | | | 117,591,899 | | | | — | | | | — | | | | 3,040,227 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total taxable distributions | | $ | 1,745,362,589 | | | $ | 2,615,772,815 | | | $ | 1,586,800 | | | $ | 1,750,866 | | | $ | 108,410,282 | | | $ | 69,187,248 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Tax Cost
As of September 30, 2018, gross unrealized appreciation/(depreciation) based on cost for federal income tax purposes were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | |
| | | ALPHATRAK 500 FUND | | CORPORATE
BOND FUND | | FLOATING RATE
INCOME FUND | | HIGH YIELD
BOND FUND | | INTERMEDIATE
BOND FUND |
Tax Cost | | | $ | 18,476,612 | | | | $ | 2,027,544 | | | | $ | 286,981,395 | | | | $ | 529,040,570 | | | | $ | 725,193,982 | |
| | | | | |
Gross unrealized appreciation | | | | 291,107 | | | | | 14,626 | | | | | 1,918,017 | | | | | 5,154,642 | | | | | 3,836,890 | |
Gross unrealized (depreciation) | | | | (105,235 | ) | | | | (11,227 | ) | | | | (946,230 | ) | | | | (34,663,547 | ) | | | | (9,353,194 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
Net unrealized appreciation/(depreciation) | | | $ | 185,872 | | | | $ | 3,399 | | | | $ | 971,787 | | | | $ | (29,508,905 | ) | | | $ | (5,516,304 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | INVESTMENT
GRADE
CREDIT FUND | | LOW DURATION BOND FUND | | STRATEGIC
INCOME FUND | | TOTAL RETURN
BOND FUND | | ULTRA SHORT
BOND FUND | | UNCONSTRAINED
BOND FUND |
Tax Cost | | | $ | 5,722,836 | | | | $ | 2,412,533,252 | | | | $ | 93,448,541 | | | | $ | 79,464,158,825 | | | | $ | 114,474,069 | | | | $ | 3,147,503,154 | |
| | | | | | |
Gross unrealized appreciation | | | | 55,247 | | | | | 17,242,755 | | | | | 2,899,314 | | | | | 482,404,477 | | | | | 242,059 | | | | | 56,068,433 | |
Gross unrealized (depreciation) | | | | (29,899 | ) | | | | (26,077,942 | ) | | | | (4,973,988 | ) | | | | (1,439,926,918 | ) | | | | (392,645 | ) | | | | (82,615,301 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net unrealized (depreciation) | | | $ | 25,348 | | | | $ | (8,835,187 | ) | | | $ | (2,074,674 | ) | | | $ | (957,522,441 | ) | | | $ | (150,586 | ) | | | $ | (26,546,868 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Domestic Blocker Income Tax
The Domestic Blocker in the High Yield Bond Fund recorded a provision for income tax expense (benefit) for the six months ended September 30, 2018. This provision for income tax expense (benefit) is comprised of the following current and deferred income tax expense (benefit):
277 / Semi-Annual Report September 2018
Notes to Financial Statements (Continued)
Current $ –
Deferred $ –
The Tax Cuts and Jobs Act (TCJA) was signed into law on December 22, 2017. The provisions applicable to the Domestic Blocker include changes to the corporate tax rate and modifications to net operating loss deductions. For tax years beginning after December 31, 2017, corporations will be taxed at a flat rate of 21%. The TCJA eliminated the net operating loss carryback ability and replaced the 20 year carryforward period with an indefinite carryforward period for any net operating losses arising in tax years ending after December 31, 2017. The TCJA also established a limitation for any net operating losses generated in tax years beginning after December 31, 2017 to the lesser of the aggregate of available net operating losses or 80% of taxable income before any net operating loss utilization.
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 March 31, 2018 are as follows:
| | | | |
Deferred Tax Assets: | | | | |
Net Operating Loss Carryforward | | $ | 1,346,099 | |
Capital Loss Carryforward | | | 105,865 | |
Charitable Contribution Carryforward | | | 371 | |
Less Deferred Tax Liabilities: | | | | |
Unrealized depreciation on investment in Entegra TC, LLC | | | 200,276 | |
| |
Total net deferred tax assets before valuation allowance | | | 1,252,059 | |
Less: Valuation Allowance | | | (1,252,059 | ) |
| | | | |
Net deferred tax asset | | $ | — | |
| | | | |
The capital loss carryforwards are available to offset future capital gains of the Domestic Blocker. For federal income tax purposes, capital losses of a corporation can be carried forward for 5 years. The Domestic Blocker has the following capital loss amounts:
| | | | | | |
| Fiscal Year Ended Capital Loss | | Amount | | | Expiration |
March 31, 2015 | | $ | 418,735 | | | March 31, 2020 |
Net operating loss carryforwards are available to offset future taxable income of the Domestic Blocker subject to expiration and limitation based on the fiscal year generated. For federal income tax purposes, the Domestic Blocker has net operating loss carryforwards as follows.
| | | | | | |
| Fiscal Net Operating Loss | | Amount | | | Expiration |
March 31, 2016 | | $ | 1,928,674 | | | March 31, 2036 |
March 31, 2018 | | $ | 3,395,662 | | | Indefinite |
Total income tax (current and deferred) is computed by applying the federal statutory income tax rate of 21% 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 year ended March 31, 2018 as follows:
| | | | |
Income tax expense at Federal statutory rate of 21% | | $ | 274,003 | |
State income tax expense, net of federal benefit | | | 55,871 | |
Effect of permanent difference | | | 3 | |
Effect of change in federal tax rate used | | | 876,000 | |
Effect of change in state tax rates used | | | (3,067 | ) |
Valuation allowance changes affecting the provision for income taxes | | | (1,202,810 | ) |
| | | | |
Total income tax expense | | $ | — | |
| | | | |
The Domestic Blocker 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
Semi-Annual Report September 2018 / 278
Notes to Financial Statements (Concluded)
tax returns filed since inception of the Blocker Corporation. Tax periods ended March 31, 2016 and 2017 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.
| 12. | COMMITTED LINE OF CREDIT |
The Funds have entered into a $350,000,000 committed revolving line of credit agreement with The Bank of New York Mellon (the “Bank”) for temporary borrowing purpose with an expiration date of September 13, 2019. 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, 2018. The Funds pay the Bank a commitment fee equal to 0.15% 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.
279 / Semi-Annual Report September 2018
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, as amended (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 then existing at a special meeting of shareholders held on November 28, 2012, which was adjourned until December 20, 2012 with respect to certain Funds. The Agreement was most recently amended on June 26, 2013 for the purpose of adding the Floating Rate Income Fund. Following the Agreement’s initial two-year term with respect to each Fund, the Agreement continues in effect from year-to-year provided that the continuance is specifically approved at least annually by the vote of the holders of at least a majority of the outstanding shares of the Funds, or by the Board of Trustees of the Trust (the “Board”), and, in either event, by a majority of the Trustees who are not “interested persons” of the Trust, as such term is defined in Section 2(a)(19) of the Investment Company Act of 1940, as amended, (the “Independent Trustees”) casting votes in person at a meeting called for that purpose.
On September 24, 2018, the Board approved the renewal of the Agreement for an additional one-year term from February 6, 2019 through February 5, 2020 with respect to each Fund except for the Corporate Bond Fund and the Investment Grade Credit Fund, for which the Agreement remains in the initial two-year term. 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 August 28, 2018, and in person on September 24, 2018, 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 the Independent Trustees’ recommendation and the Board’s subsequent approval are described below.
1. Information received
Materials reviewed - During the course of each year, the 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, compliance monitoring, 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 information furnished to the Independent Trustees in response to a detailed request sent to the Adviser on their behalf. The information in the Adviser’s responses included extensive materials regarding each Fund’s investment results, 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. The Trustees also considered information provided by an independent data provider, Broadridge, comparing the investment performance and the fee and expense levels of each Fund to peer groups of mutual funds selected by Broadridge. After reviewing this information, the Trustees requested additional financial, profitability and service information from the Adviser, which the Adviser provided and the Trustees considered.
Review process - The Trustees’ determinations were made on the basis of each Trustee’s business judgment after consideration of all the information presented. The Independent Trustees were advised by their independent legal counsel throughout the renewal process and received and reviewed advice from their independent legal counsel regarding legal and industry standards applicable to the renewal of the Agreement, including a legal memorandum from their independent legal counsel discussing their fiduciary duties related to their approval of the continuation of the Agreement. The Independent Trustees also 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 piece of information or particular factor 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 and Independent Trustees.
2. Nature, extent, and quality of services provided by the Adviser
The Board and the Independent Trustees 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 growth in assets over the past several years. The Board and the Independent Trustees considered the ability of the Adviser to attract and retain well-qualified investment professionals, noting in particular the Adviser’s recent hiring of professionals in various areas over the past several years, continued upgrading of resources in its middle office and back office operations and other areas, as well as a continuing and extensive program of infrastructure and systems enhancements. The Board and the Independent Trustees 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
Semi-Annual Report September 2018 / 280
Approval of Investment Management Agreement by Trustees (Unaudited) (Continued)
available by The TCW Group, Inc. (“TCW”), the parent company of the Adviser. The Board and the Independent Trustees examined and discussed a detailed description of the extensive additional services provided to the Funds to support their operations and compliance, as compared to the much narrower range of services provided to the Adviser’s institutional and sub-advised clients, as well as the Adviser’s oversight and coordination of numerous outside service providers to the Funds. They further noted the high level of regular communication between theAdviser 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, and the related costs.
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 and the Independent Trustees considered the investment results of each Fund in light of its investment objective(s) and principal investment strategies. They compared each Fund’s total returns with the total returns of other mutual funds in peer group reports prepared by Broadridge with respect to various longer and more recent periods all ended May 31, 2018. The Board and the Independent Trustees reviewed information as to peer group selections presented by Broadridge and discussed the methodology for those selections with the Adviser. In reviewing each Fund’s relative performance, the Board and the Independent Trustees took into account each Fund’s investment strategies, distinct characteristics, asset size and diversification.
The Board and the Independent Trustees noted that each Fund’s performance was satisfactory over the relevant periods and in some cases very favorable, particularly over longer periods, which the Board and the Independent Trustees believe are generally the most relevant. The Board and the Independent Trustees indicated their belief that the performance of each Fund for periods where the Fund lagged its respective peer group average remained satisfactory when assessed on a risk-adjusted basis because performance quintiles do not necessarily reflect the amount of risk employed by peer funds to achieve their returns. The Board and the Independent Trustees recognized theAdviser’s deliberate strategy to manage risk in light of its critical view of the fixed-income securities markets and overall investment market conditions at present and in the near term. For that reason, the Board and the Independent Trustees believed that relative performance also should be considered in light of future market conditions expected by the Adviser. The Board and the Independent Trustees noted the Adviser’s view that longer term performance can be more meaningful for active fixed income funds such as the Funds because market cycles in fixed income are generally longer than three years. The Board and the Independent Trustees also considered data showing that the Funds generally experienced less volatility for many periods compared to other funds in the applicable peer groups.
For the Metropolitan West Total Return Bond Fund, the Board and the Independent Trustees noted that the Fund’s performance was in the first quintile for the ten-year period, the third (Class I)/fourth (Class M) quintile for the five-year period, the fourth quintile for the three-year period and the third quintile for the one-year period.
For the Metropolitan West Unconstrained Bond Fund, the Board and the Independent Trustees noted that the Fund’s performance was in the second quintile for the five-year period and the third quintile for the three- and one-year periods. The Board and the Independent Trustees noted the substantially lower volatility for this Fund compared to the funds in the peer group. They also considered the limitations of using the alternative credit focus funds peer group for this Fund because of the significant differences in the strategies used by those funds.
For the Metropolitan West Low Duration Bond Fund, the Board and the Independent Trustees noted that the Fund’s performance was in the first quintile for the ten-year period, the second quintile for the five-year period, the third quintile for the three-year period and the second quintile for the one-year period.
For the Metropolitan West Intermediate Bond Fund, the Board and the Independent Trustees noted that the Fund’s performance was in the first quintile for the ten-year period, the second quintile for the five-year period, the third quintile for the three-year period and the fourth quintile for the one-year period.
For the Metropolitan West High Yield Bond Fund, the Board and the Independent Trustees noted that the Fund’s performance was in the second quintile for the ten-year period, the fifth quintile for the five-year period, the third quintile for the three-year period and the second quintile for the one-year period.
For the Metropolitan West Floating Rate Income Fund, the Board and the Independent Trustees noted that the Fund’s performance was in the third quintile for the three-year period and the second quintile for the one-year period. The Board and the Independent Trustees noted the substantially lower volatility for this Fund compared to the funds in the peer group.
For the Metropolitan West Ultra Short Bond Fund, the Board and the Independent Trustees noted that the Fund’s performance was in the fourth quintile for the ten- and five-year periods, the third quintile for the three-year period and the second quintile for the one-year period.
281 / Semi-Annual Report September 2018
Approval of Investment Management Agreement by Trustees (Unaudited) (Continued)
The Board and the Independent Trustees also considered that the peer group funds can have substantially longer dollar-weighted average maturities than would be permitted for this Fund, and those longer averages can result in higher performance under the prevailing market conditions over the applicable periods.
For the Metropolitan West Strategic Income Fund, the Board and the Independent Trustees noted that the Fund’s performance was in the first quintile for the ten-year period and the third quintile for the five-, three- and one-year periods. The Board and the Independent Trustees also considered the limitations of using the absolute return funds peer group for this Fund because of the significant differences in the strategies used by those funds.
For the Metropolitan West AlphaTrak 500 Fund, the Board and the Independent Trustees noted that the Fund was in the first quintile for the ten-, five- and three-year periods and the third quintile for the one-year period.
The Board and the Independent Trustees concluded that the Adviser was implementing each Fund’s investment objective(s) and that the Adviser’s record in managing the Funds indicated that its continued management should benefit each Fund and its shareholders over the long term.
4. Advisory fees and total expenses
The Board and the Independent Trustees compared the management fees (which Broadridge defines to include advisory fee and administrative fee) and total expenses of each Fund (each as a percentage of average net assets) with the median management fee and operating expense levels of the other mutual funds in the relevant Broadridge peer groups. These comparisons assisted the Board and the Independent Trustees by providing a reasonable statistical measure to assess each Fund’s fees relative to its relevant peers. The Board and the Independent Trustees observed that each Fund’s management fee was below or near the median of the peer group funds on a current basis, with the exception of the Strategic Income Fund and the Floating Rate Income Fund. The Board and the Independent Trustees 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 given the significant differences in the strategies used by the Fund as compared to those used by funds in the peer group. 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 and the Independent Trustees further noted that the AlphaTrak 500 Fund and the Strategic Income Fund each employ a fulcrum fee that adjusts upward from a basic fee only if the Fund has favorable performance against its specified benchmark (and adjusts downward in the case of unfavorable relative performance). The Board and the Independent Trustees noted that such a fee structure is designed so that the advisory fee payable to theAdviser by either Fund would be on the higher end of the fee range only if the Fund had favorable relative net performance. The Board and the Independent Trustees also noted the contractual expense limitations to which the Adviser has agreed with respect to each Fund and that the Adviser historically has absorbed any expenses in excess of these limits. They noted that although the Adviser may recoup, and has recouped in the past, certain fees and/or expenses previously waived or reimbursed for certain Funds, such recoupment is permitted only if it does not cause the applicable Fund’s annual expense ratio to exceed the lesser of (i) the expense limitation applicable at the time of that fee waiver and/or expense reimbursement or (ii) the expense limitation in effect at the time of recoupment. The Board and the Independent Trustees concluded that the competitive fees charged by the Adviser, and competitive expense ratios, should continue to benefit each Fund and its shareholders.
The Board and the Independent Trustees also reviewed information regarding the advisory fees charged by the Adviser to its institutional and sub-advisory clients with similar investment mandates. The Board and the Independent Trustees concluded that, although the fees paid by those clients generally were lower than advisory fees paid by the Funds, the differences appropriately reflected the more extensive services provided by the Adviser to the Funds and 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, daily pricing, valuation and liquidity 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 and the Independent Trustees reviewed information regarding the Adviser’s costs of providing services to the Funds, as well as the resulting level of profits to the Adviser. They reviewed the Adviser’s stated assumptions and methods of allocating certain costs, such as personnel costs, which constitute the Adviser’s largest operating cost. The 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 reviewed a comparison of the Adviser’s profitability with respect to the Funds to the profitability of certain unaffiliated
Semi-Annual Report September 2018 / 282
Approval of Investment Management Agreement by Trustees (Unaudited) (Concluded)
publicly traded asset managers, which the Adviser believed supported its view that the Adviser’s profitability was reasonable. 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 at or below the peer group median. The Board and the Independent Trustees recognized the benefits of the Adviser’s substantial past and on-going investment in the advisory business, such as successfully recruiting and retaining key professional talent, systems and technology upgrades, added resources dedicated to legal and compliance programs, and improvements to the overall firm infrastructure, as well as the financial pressures of competing against much larger firms and passive investment products. The Board and the Independent Trustees also noted the Adviser’s explanation of the increased resources required to manage the Funds as a result of both asset growth and increased competitive pressures. 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 in addition to 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 also considered other actual and potential financial benefits to the Adviser or its affiliates. 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 each Fund’s shareholders received reasonable value in return for the advisory fees and other amounts paid to the Adviser by each Fund, and that the renewal of the Agreement was in the best interests of each Fund and its shareholders.
283 / Semi-Annual Report September 2018
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Metropolitan West Funds
Privacy Policy
| | |
The TCW Group, Inc. and Subsidiaries TCW Investment Management Company LLC TCW Asset Management Company LLC Metropolitan West Asset Management, LLC |
| |
| TCW Funds, Inc. | | Sepulveda Management LLC |
| TCW Strategic Income Fund, Inc. | | TCW Direct Lending LLC |
| Metropolitan West Funds | | TCW Direct Lending VII LLC |
Effective May 2018
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.
We, The TCW Group, Inc. and its subsidiaries, the TCW Funds, Inc., TCW Strategic Income Fund, Inc., the Metropolitan West Funds, Sepulveda Management LLC, TCW Direct Lending LLC and TCW Direct Lending VII LLC (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.
|
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. |
285 / Semi-Annual Report September 2018
|
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. |
| • | | 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.
Should you have any questions about our Customer Privacy Policy, please contact us by email or by regular mail at the address at the end of this policy.
|
REMINDER ABOUT TCW’S FINANCIAL PRODUCTS |
Financial products offered by The TCW Group, Inc. and its subsidiaries, the TCW Funds, Inc., TCW Strategic Income Fund, Inc., the Metropolitan West Funds, Sepulveda Management LLC, TCW Direct Lending LLC and TCW Direct Lending VII LLC.
| • | | 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 STRATEGIC INCOME FUND, INC. |
| |
| TCW FUNDS, INC. | | METROPOLITAN WEST FUNDS |
| |
| SEPULVEDA MANAGEMENT LLC | | TCW DIRECT LENDING LLC |
| |
| TCW DIRECT LENDING VII LLC | | |
Attention: Privacy Officer | 865 South Figueroa St. Suite 1800 | Los Angeles, CA 90017 | email: privacy@tcw.com
Semi-Annual Report September 2018 / 286
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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
TCW Funds Distributors LLC
865 South Figueroa Street
Los Angeles, California 90017
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 and 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. 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 11/27/18
Item 2. Code of Ethics.
Not applicable.
Item 3. Audit Committee Financial Expert.
Not applicable.
Item 4. Principal Accountant Fees and Services.
Not applicable.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
| (a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. |
| | |
Item 7. | | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
| | |
Item 9. | | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which 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 last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
| | (a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
| | (b) | Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes- Oxley Act of 2002 are attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| | | | |
(Registrant) | | Metropolitan West Funds | | |
| | | | |
| | |
By (Signature and Title)* | | /s/ David B. Lippman | | |
| | David B. Lippman, President and Principal Executive Officer |
| | (principal executive officer) | | |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| | | | |
By (Signature and Title)* | | /s/ David B. Lippman | | |
| | David B. Lippman, President and Principal Executive Officer |
| | (principal executive officer) |
| | | | |
| | |
By (Signature and Title)* | | /s/ David S. DeVito | | |
| | David S. DeVito, Treasurer, Principal Financial Officer and Principal Accounting Officer |
| | (principal financial officer) | | |
* Print the name and title of each signing officer under his or her signature.
