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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: March 31, 2021
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.
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Item 1. Reports to Stockholders.
The Report to Shareholders is attached herewith.
(a) Include a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Act (17 CFR 270.30e-1)
The Report to Shareholders is attached herewith.
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Paper copies of the Fund’s annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Fund’s website (www.tcw.com), and you will be notified by mail each time a report is posted and provided with a website link to access the report.
You may elect to receive all future reports in paper free of charge. You can call 1-800-241-4671, if you invest directly with the Fund, or contact your financial intermediary, if you invest though a financial intermediary, to inform the Fund or the financial intermediary that you wish to continue receiving paper copies of your shareholder reports. Your election to receive reports in paper will apply to all funds held directly with TCW or through your financial intermediary.
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Dear Fellow Shareholder,
Thank you for your continued investment in the Metropolitan West Funds. We are pleased to provide the following Annual Report for the Funds for the period ended March 31, 2021. During the reporting period, overall assets across the complex increased to approximately $95 billion, which we are gratified to see - particularly against a backdrop of rising rates and COVID-19 uncertainty.
The March 31, 2021 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 Flexible Income Fund | M-Class (MWFSX), I-Class (MWFEX) | |
Metropolitan West Floating Rate Income Fund | M-Class (MWFRX), I-Class (MWFLX), | |
Plan-Class (MWFPX) | ||
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), | |
I-2-Class (MWTTX), | ||
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), | |
Plan-Class (MWCPX) |
Economic Review and Market Environment
Before turning the calendar over from 2020, investors had to marvel on reflection at the year that had been: a tragic and economy-crushing pandemic led to a sharp market downturn through March, after which a cascade of Federal Reserve liquidity and Congressional commitments sent markets soaring. Even with the ongoing uncertainty, higher prices nearly everywhere betrayed few worries, notwithstanding widespread cash flow disruptions and some rethinking of basic business premises in certain industries. Cut to 2021 and, at least in the U.S. Treasury market (and those priced therefrom), an apparent fear of overstimulation materialized, leading to a sustained rise in rates and a steepened yield curve over the first quarter. Among the drivers were a recasting of inflationary expectations and a steady emergence from lockdowns, the latter precipitated by an ever-expanding rollout and administration of COVID-19 vaccines. The former, unsurprisingly, gained momentum on Fed representations to maintain a “lower for longer” accommodation on the funds rate, while signaling no premature curb to its asset purchases - the “mistake” that spurred 2013’s Taper Tantrum that punished equities and bonds alike. In the here and now, however, worries over rising prices are still just that - worries - as economic data remains mixed. In particular, labor markets are challenged, despite the dip in aggregate unemployment to 6.5%. The economy is still over eight million jobs below its pre-pandemic level, the labor force participation rate has not risen for months and, intuitively, it’s not especially hard to envision things not coming back as they were in some places. Simultaneously, it’s impossible to imagine an overall pace of growth that doesn’t exceed last year, and the ISM manufacturing index corroborated that in February with its highest print in three years.
Turning toward the return profile for risk assets, just a year after the S&P 500 Index sold off 34% over a five-week period, equities subsequently rallied back over 70% from March 2020 troughs. Even with increased volatility in the first quarter of 2021, the S&P 500 was up over 56% on a year-over-year basis. Meanwhile, fixed income total returns were mixed, as the Treasury yield curve experienced pronounced steepening, with yields for maturities less than two years remaining anchored near zero (and even declining) while 10- and 30-Year yields both increased nearly 110 bps. Against this backdrop, the Bloomberg Barclays U.S. Aggregate Index returned approximately 0.7% during the trailing one-year period, weighed down in particular by a 3.4% loss in the opening three months of 2021 (its fourth worst quarterly return in some 45 years of tracking). Notably, fixed income spread sectors generally experienced a significant decline in yield premiums from last March and outpaced Treasuries on a duration-adjusted basis as spread sectors were buoyed by optimism around vaccine deployment and economic reopening. Investment grade corporates did particularly well during the period, with an 8.7% total return led by industrial sectors such as energy, basic industry and transportation. Despite massive issuance levels, investor demand remained persistent as reflected by inflows into the asset class, leading to over 180 bps of spread compression. High yield credit delivered even more impressive returns, up 23.7% on a year-over-year basis with spreads tightening by nearly 570 bps. Notably, lower-rated CCC credits handily outpaced BB- and B-rated issues on both a total and excess return basis during the period, with fewer and fewer instances of bonds trading below par.
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Meanwhile, agency mortgage-backed securities (MBS) was a lagging fixed income sector, with marginally negative total returns for the trailing one-year period as rate volatility weighed on mortgage performance (particularly for low coupon issues carrying longer duration). Elsewhere in securitized, commercial mortgage-backed securities (CMBS) fared better with a 4.4% gain led by non-agency backed issues. Similarly, asset-backed securities (ABS) were up approximately 4.6%, as substantial policy support has kept the consumer afloat, which has translated to improving delinquencies and loss rates in many parts of the consumer ABS market. Finally, non-agency residential MBS remained attractive from a collateral perspective, with the added benefit of having largely floating rate coupons, delivering consistently positive returns for the past year after weakness in early 2020.
The Economy and Market Ahead
The accelerating pace of COVID-19 vaccinations is stoking optimism with respect to the economic reopening process and permitting a relaxation of most U.S. jurisdictions’ restrictions, leading to upward revisions to GDP expectations for 2021. That rosier outlook aside, the pandemic has fundamentally challenged the economy, markets, policy, and our day-to-day lives. Unprecedented levels of policy stimulus and monetary accommodation have overwhelmed the economy and markets with liquidity, allowing households and businesses to stay afloat through deep uncertainty. While the path to a post-pandemic “new normal” is not entirely clear, it seems unavoidable that there will be permanent impairment in certain industries. Furthermore, the fact that current valuations are dependent on policy support is indisputable, making the market susceptible to potential headwinds such as an eventual pullback by the Fed. Investors should not overlook the fundamental challenges that remain, particularly for an economy increasingly dependent on an environment of low interest rates, given the amount of debt servicing costs from the uptick in leverage.
Data sources for the discussion above include Barclays, Bloomberg, JPMorgan and Merrill Lynch.
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)
For the one year period ending March 31, 2021, the MetWest AlphaTrak 500 Fund (“Fund”) gained 60.83% (net of fees), outperforming the S&P 500 Index (“Index”) by nearly 448 bps. The strategy implementation of the MetWest AlphaTrak 500 Fund utilizes S&P 500 futures and/or total return swaps to effectively replicate the performance profile of the underlying index, i.e., beta. The collateral – portfolio value less initial margin – is then managed in a short-term fixed income portfolio for which the goal is to outperform the financing rate of the futures or swaps implemented to gain the portfolio’s beta exposure. Amid better inoculation logistics and an improved economic outlook, supported by fiscal and monetary stimulus, corporate credit continued to recover from last year’s COVID-related volatility. Outperformance was due in part to the Fund’s allocation to the sector, with the biggest contributions coming from banking, finance companies, automotive, non-cyclicals like pharma and healthcare, midstream and independent energy, healthcare real estate investment trusts (REITs), and gaming. Additional gains can be attributed to opportunistic credit additions made during the March 2020 volatility at very attractive entry points and subsequent trimming amid spread remediation, as well as the small allocation to high yield corporates as the sector outperformed investment grade fixed income. Positioning among securitized products was also beneficial to returns, particularly floating rate holdings like non-agency MBS, collateralized loan obligations (CLOs), and FFELP student loan ABS, with non-agency MBS supported by the continued attractiveness of strong housing fundamentals, declining forbearance rates, and reduced supply, while ABS generally benefitted from policy support that has helped to keep the consumer afloat. Further contributions came from CMBS holdings, including IOs (interest only) which benefit in a rising rate environment as aggregate cash flows improve, while agency MBS holdings focused on lower coupon TBAs (to be announced) detracted as these typically longer duration issues saw prices fall due to the interest rate volatility. Finally, the duration position of the Fund was maintained at a relatively low level, but extended in a disciplined fashion as rates marched higher throughout the period, weighing on performance.
Given historically low yield spreads and outstanding risks, the strategy has returned to a more defensive position, with ample levels of liquidity to respond to potential volatility. While the improving economic outlook is positive for corporate creditworthiness and companies’ ability to repay debts, credit valuations are, in management’s view, generally expensive, as much of the good news is already priced in with little margin for error. As such, the Fund’s exposure has been modestly trimmed on strength, though some areas with elevated spread have been preserved to maintain carry on the limited risk posture while the team continues to emphasize selective idiosyncratic opportunities. Within securitized, the strategy added current coupon agency MBS TBAs given attractive financing rates; the sector continues to benefit from the significant tailwind of Fed sponsorship, with the central bank signaling its commitment to sizable purchases for the foreseeable future. Legacy non-agency MBS remains attractive from a
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collateral perspective, with the added benefit of having largely floating rate coupons if rates continue to rise, and the strategy will seek to add new exposure at favorable valuations. In CMBS, while the Fund’s exposure is focused on higher quality agency backed issues as well as seasoned private label CMBS at the top of the capital structure and single asset single borrower (SASB) deals, opportunities are beginning to present in AA- and A-rated collateral with good loan-to-value (LTV) ratios, i.e., protection, and good spread compensation. A similar strategy applies to CLO debt tranches, with possible additions on well-collateralized AA-rated issues offering good yields. Finally, the Fund maintains a sizable allocation to government and cash bonds, despite low rates, as a buffer given the potential for equity volatility.
Performance Through March 31, 2021 | ||||||||||||
6 Months (Cumulative) | 1 Year (Annualized) | 3 Year (Annualized) | 5 Year (Annualized) | 10 Year (Annualized) | Since Inception (Annualized) | |||||||
MWATX (Inception: June 29, 1998) | 19.51% | 60.83% | 17.02% | 17.91% | 14.79% | 7.97% | ||||||
S&P 500 Index | 19.07% | 56.35% | 16.76% | 16.28% | 13.90% | 7.66% |
Metropolitan West Corporate Bond Fund
M-Class (MWCSX), I-Class (MWCBX)
For the one year period ending March 31, 2021, the MetWest Corporate Bond Fund – I Class (“Fund”) gained 7.81% (net of fees), trailing the Bloomberg Barclays U.S. Corporate Index by approximately 92 bps. The underweight to corporate credit was the largest drag on performance as spreads tightened in amid better inoculation logistics and an improved economic outlook. In particular, relative returns were weighed down by the underweight to top performing industrials such as basic industry and energy. However, this drag was offset by strong issue selection within the sector, led by communications, gaming, healthcare, tobacco, midstream energy, and finance company names as these were among the better performing areas in the Index. Meanwhile, the off-Index position in securitized products also was a large driver of outperformance, led by favorable issue selection among senior CMBS. Further contributions came from residential MBS and ABS holdings, with the latter benefiting from government support that helped keep the consumer afloat during the pandemic. Finally, as rates marched higher throughout the period, the duration position of the Fund was extended in disciplined fashion, but remained somewhat short of the Index, contributing to relative performance.
Given historically tight spreads and abundant risks, the strategy has returned to a more defensive position, with ample levels of liquidity to respond to potential volatility. While the improving economic outlook is positive for corporate creditworthiness and companies’ ability to repay debts, credit valuations are, in management’s view, generally expensive, as much of the good news is already priced in with little margin for error. As such, exposure has been modestly trimmed on strength, though some areas with elevated spread have been preserved to maintain carry on the limited risk posture. The focus among credit continues to be on defensive sectors (non-cyclicals and communications) that offer more stability through volatility while the team also emphasizes selective idiosyncratic opportunities. The largest underweight remains in the industrials space, which continues to avoid more risk sensitive sectors like basic industries and technology, as well as consumer cyclical sectors, in favor of communications and healthcare within consumer non-cyclicals. Among financials, the emphasis is on finance companies, REITS and segments of the insurance sector, while banking is an underweight. High yield credit exposure is minimal, though the team anticipates further opportunities to add more substantially to high yield exposures if volatility materializes. Finally, among non-corporate credit, the Fund emphasizes high quality taxable municipal bonds, while the securitized products exposure is minimal, and focused on high quality, more defensive holdings generally at the top of the capital structure across MBS and CMBS, with some potential to move down the capital structure as opportunities arise.
Performance Through March 31, 2021 | ||||||||||||||||||||
6 Months (Cumulative) | 1 Year (Annualized) | 3 Year (Annualized) | 5 Year (Annualized) | 10 Year (Annualized) | Since Inception (Annualized) | |||||||||||||||
MWCSX (Inception: June 29, 2018) | -1.36% | 7.55% | — | — | — | 8.92% | ||||||||||||||
Bloomberg Barclays U.S. Corporate Index | -1.74% | 8.73% | — | — | — | 7.15% | ||||||||||||||
MWCBX (Inception: June 29, 2018) | -1.24% | 7.81% | — | — | — | 9.19% | ||||||||||||||
Bloomberg Barclays U.S. Corporate Index | -1.74% | 8.73% | — | — | — | 7.15% |
Metropolitan West Flexible Income Fund
M-Class (MWFSX), I-Class (MWFEX)
For the one year period ending March 31, 2021, the MetWest Flexible Income Fund – I Class (“Fund”) gained 10.83% (net of fees), outperforming the Bloomberg Barclays U.S. Aggregate Index (“Index”) by over 1,012 bps. Amid better inoculation logistics and an improved economic outlook, supported by fiscal and monetary stimulus, corporate credit continued to recover from last year’s COVID-related volatility. The Fund started the period overweight the sector but the position was subsequently trimmed
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to underweight as yield premiums declined, resulting in a drag on performance. This drag, however, was more than offset by favorable issue selection among corporate credit, particularly the preference for communications, gaming, healthcare, tobacco, midstream energy, and finance companies as these were among the better performing areas in the Index. Additional gains came from opportunistic credit additions made during the March 2020 volatility at very attractive entry points and subsequent trimming amid spread remediation. An out-of-Index allocation to high yield corporates was a slight tailwind as the sector outperformed investment grade fixed income, while the overweight (albeit reduced to an underweight in early 2021) to municipal debt contributed as municipals saw yield premiums contract amid ongoing recovery from March 2020 levels. In securitized, a strong housing backdrop rewarded residential sectors, with non-agency MBS bolstering returns, especially bonds backed by subprime collateral, while the emphasis on production coupon agency MBS TBAs provided an additional boost given the significant sponsorship by the Fed and outperformance of TBAs versus pools, notwithstanding a drag toward the latter part of the period given rate volatility. Commercial MBS contributed to relative performance as yield premiums declined, particularly among agency CMBS which were trimmed to fund the aforementioned credit purchases as yield spreads reached historically low levels. Additionally, an overweight to ABS was beneficial as many of the consumer segments performed well amid government support that helped keep the consumer afloat during the pandemic. Finally, as rates marched higher throughout the period, the duration position of the Fund was extended in disciplined fashion, but remained somewhat short of the Index, contributing to relative performance.
Given historically rich pricing and evident risks the strategy has returned to a more defensive position, with ample levels of liquidity to respond to potential volatility. While the improving economic outlook is positive for corporate creditworthiness and companies’ ability to repay debts, credit valuations are, in management’s view, generally expensive, as much of the good news is already priced in with little margin for error. As such, exposure has been modestly trimmed on strength, though some areas with elevated spread have been preserved to maintain carry on the limited risk posture while the team continues to emphasize selective idiosyncratic opportunities. Within securitized, the strategy continues to prefer current coupon agency MBS TBAs which remain attractive given relatively high carry of TBAs versus specified pools; the sector continues to benefit from the significant tailwind of Fed sponsorship, with the central bank signaling its commitment to sizable purchases for the foreseeable future. Legacy non-agency MBS remains attractive from a collateral perspective, with the added benefit of having largely floating rate coupons if rates continue to rise, and the strategy will seek to add new exposure at favorable valuations. In CMBS, holdings are focused on non-agency collateral, particularly high quality seasoned conduit deals and single asset single borrower (SASB) issues, while opportunities are beginning to present in AA- and A-rated collateral with good loan-to-value (LTV) ratios, i.e., protection, and good spread compensation. A similar strategy applies to CLO debt tranches, with possible additions on well-collateralized AA-rated issues offering good yields. Lastly,though currently a small position, emerging market debt issues are add candidates on cheaper entry points.
Performance Through March 31, 2021 | ||||||||||||||||||||||||
6 Months (Cumulative) | 1 Year (Annualized) | 3 Year (Annualized) | 5 Year (Annualized) | 10 Year (Annualized) | Since Inception (Annualized) | |||||||||||||||||||
MWFSX (Inception: November 30, 2018) | 2.74% | 10.89% | — | — | — | 13.47% | ||||||||||||||||||
Bloomberg Barclays U.S. Aggregate Bond Index | -2.73% | 0.71% | — | — | — | 6.17% | ||||||||||||||||||
MWFEX (Inception: November 30, 2018) | 2.85% | 10.83% | — | — | — | 13.58% | ||||||||||||||||||
Bloomberg Barclays U.S. Aggregate Bond Index | -2.73% | 0.71% | — | — | — | 6.17% |
Metropolitan West Floating Rate Income Fund
M-Class (MWFRX), I-Class (MWFLX), Plan-Class (MWFPX)
For the one year period ending March 31, 2021, the MetWest Floating Rate Income Fund – I Class (“Fund”) gained 14.52% (net of fees), but lagged the S&P/LSTA Leveraged Loan Index (“Index”) by 619 bps. Although the Fund benefited from a defensive orientation during the earlier part of the period as those with more market risk underperformed amid the health crisis, this stance weighed on relative return for the overall period as cyclicals, metals/minerals, and energy led loans on vaccine progress, higher inflation expectations, and a better economic outlook toward the latter part of the period. Illustratively, energy surged by around 50%, while the more defensive utility sector returned 13%. Also detracting was an overweight to more conservative sectors like certain non-cyclicals and packaging as these industries lagged the Index. Slightly benefiting returns, however, was an overweight to gaming, which modestly outpaced the overall loan market, while issue selection within banking provided additional gains amid a steeper curve that benefits net interest margins for the industry. Finally, an up-in-quality emphasis held back performance due to the outperformance by lower-rated loans.
Given weak discount margins for ongoing risks, the strategy has returned to a more defensive position, with ample levels of liquidity to respond to potential volatility. While the improving economic outlook is positive for corporate creditworthiness and companies’ ability to repay debts, credit valuations are, in management’s view, generally expensive, as much of the good news is already priced in with little margin for error. As such, allocations continue to emphasize high conviction names and defensive
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industries such as communications, non-cyclicals (especially healthcare), senior secured gaming, and select packaging, while remaining cautious of those with more market risk like cyclicals, energy, basic industry, transportation, and technology. Financials remain an underweight overall; within financials, however, the exposure to banking and finance companies is an overweight. Banking remains compelling given strong balance sheets, with the sector benefiting from a steeper yield curve that boosts net interest margins, while finance companies should gain from a resumption of economic activity as COVID-19 restrictions ease. In utilities, the small allocation consists of an overweight to utility servicers and an underweight to electric. Finally, on a quality basis, current valuation in lower-rated loans is frothy with overly optimistic assumptions, informing an emphasis on higher quality, though the strategy remains opportunistic and will look to take advantage of bouts of volatility and increase the exposure to lower-rated cohorts should attractive entry points present themselves.
Performance Through March 31, 2021 | ||||||||||||||||||||||||
6 Months (Cumulative) | 1 Year (Annualized) | 3 Year (Annualized) | 5 Year (Annualized) | 10 Year (Annualized) | Since Inception (Annualized) | |||||||||||||||||||
MWFRX (Inception: June 28, 2013) | 3.79% | 14.30% | 3.57% | 4.08% | — | 3.64 | % | |||||||||||||||||
S&P/LSTA Leveraged Loan Index | 5.66% | 20.71% | 4.12% | 5.26% | — | 4.07 | % | |||||||||||||||||
MWFLX (Inception: June 28, 2013) | 3.89% | 14.52% | 3.81% | 4.29% | — | 3.85 | % | |||||||||||||||||
S&P/LSTA Leveraged Loan Index | 5.66% | 20.71% | 4.12% | 5.26% | — | 4.07 | % | |||||||||||||||||
MWFPX (Inception: January 29, 2021) | — | — | — | — | — | 0.31 | % 1 | |||||||||||||||||
S&P/LSTA Leveraged Loan Index | — | — | — | — | — | 0.59 | % |
1 Non-annualized. Cumulative return for the Plan Class during the period of January 29, 2021 through March 31, 2021. |
Metropolitan West High Yield Bond Fund
M-Class (MWHYX), I-Class (MWHIX)
The MetWest High Yield Bond Fund – I Class (“Fund”) returned 18.56% (net of fees) for the one-year period ended March 31, 2021, trailing the return of the Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index by approximately 509 bps, largely due to an underweight to lower quality credits. As spread products recovered from the depths of the pandemic weakness, investors moved out the risk spectrum to capture yield, leading to strong sponsorship of lower quality issues during the period. CCC-rated issues were up over 33%, handily outpacing the 21.6% and 22.4% gains posted by B- and BB-rated cohorts, respectively, which weighed on the Fund’s underweight. A further drag came from an underweight to top performing industrials such as energy and consumer cyclicals such as retail and lodging, which benefitted from stimulus measures and an easing of economic restrictions. Instead, the Fund continued to focus on more defensive sectors such as communications and consumer non-cyclicals, which trailed the broader Index during the period. From an issue selection perspective, Fund holdings within the communications and consumer non-cyclical space generally trailed those held in the Index, while the underweight exposure to various top performing energy credits also weighed on returns. Outside of corporates, the off-Index exposure (albeit shrinking) to floating rate holdings within the non-agency MBS space contributed to returns, as the sector was supported by the continued fundamental attractiveness of strong housing fundamentals, declining forbearance rates, and reduced supply. Finally, as rates moved off their historic lows hit last March (the 10-Year was 107 bps higher year-over-year), the relatively short duration position rewarded performance.
Given insufficient yield compensation for ongoing risks, the strategy has returned to a more defensive position, with ample levels of liquidity to respond to potential volatility. While the improving economic outlook is positive for corporate creditworthiness and companies’ ability to repay debts, credit valuations are, in management’s view, generally expensive, as much of the good news is already priced in with little margin for error. Along those lines, we believe prospective returns for the lowest quality bonds (i.e., the CCC and below rated cohort) are particularly vulnerable to an adverse shock as discount has largely evaporated from the marketplace. Only fifteen individual CUSIPs were trading below $70 as of end-March 2021, implying that the broader market is pricing in little to no downside risk, and thus informing the Fund’s significant underweight to CCCs. In terms of sector positioning, the Fund continues to conduct relative value trades with an overall emphasis on what are viewed as more resilient, defensive areas of the market such as non-cyclical, recession-resistant sectors (such as communications and consumer non-cyclicals) while financial, retail and select leisure credits represent a relative underweight. Given expectations for episodic market volatility, prospective performance gains are likely to be less attributable to market beta and more the result of credit-specific alpha, informing the continued focus on security selection and fundamental credit underwriting to minimize principal loss. Finally, the Fund’s duration positioning ended the quarter at approximately 0.5 years shorter than the benchmark as Treasury rates remain near historic lows.
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Performance Through March 31, 2021 | ||||||||||||||||
6 Months (Cumulative) | 1 Year (Annualized) | 3 Year (Annualized) | 5 Year (Annualized) | 10 Year (Annualized) | Since Inception (Annualized) | |||||||||||
MWHYX (Inception: September 30, 2002) | 4.84% | 18.14% | 7.62% | 7.02% | 5.00% | 8.14% | ||||||||||
Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index | 7.35% | 23.65% | 6.82% | 8.04% | 6.47% | 8.67% | ||||||||||
MWHIX (Inception: March 31, 2003) | 4.97% | 18.56% | 7.89% | 7.29% | 5.27% | 7.61% | ||||||||||
Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index | 7.35% | 23.65% | 6.82% | 8.04% | 6.47% | 8.11% |
Metropolitan West Intermediate Bond Fund
M-Class (MWIMX), I-Class (MWIIX)
For the one year period ending March 31, 2021, the MetWest Intermediate Bond Fund – I Class (“Fund”) gained 4.76% (net of fees), outperforming the Bloomberg Barclays Intermediate U.S. Government/Credit Index (“Index”) by 275 bps. Amid better inoculation logistics and an improved economic outlook, supported by fiscal and monetary stimulus, corporate credit continued to recover from last year’s COVID-related volatility. An overweight to the sector early in the period benefitted returns, and the position was subsequently trimmed as yield premiums declined. Issue selection among corporate credit was also significant to the Fund’s outperformance, particularly the preference for communications, gaming, healthcare, tobacco, midstream energy, and finance companies as these were among the better performing areas in the Index. Additional gains came from opportunistic credit additions made during the March 2020 volatility at very attractive entry points and subsequent trimming amid spread remediation. An out-of-Index allocation to high yield corporates was a slight tailwind as the sector outperformed investment grade fixed income, while the overweight (albeit shrinking) to municipal debt contributed as municipals saw yield premiums contract amid ongoing recovery from March 2020 levels. In securitized, a strong housing backdrop rewarded residential sectors, with non-agency MBS bolstering returns, especially bonds backed by subprime collateral, while the emphasis on production coupon agency MBS TBAs provided an additional boost given the significant sponsorship by the Fed and outperformance of TBAs versus pools, notwithstanding a drag toward the latter part of the period given rate volatility. Commercial MBS contributed to relative performance as yield premiums declined, particularly among agency CMBS which were trimmed to fund the aforementioned credit purchases as yield spreads reached historically low levels. Additionally, an overweight to ABS was beneficial as many of the consumer segments performed well amid government support that helped keep the consumer afloat during the pandemic. Another boost to returns came from treasury inflation-protected securities (TIPS), attributable to higher inflation expectations toward the latter half of the period, though the position was trimmed in the fourth quarter of 2020. Finally, as rates marched higher throughout the period, the duration position of the Fund was extended in disciplined fashion, but remained somewhat short of the Index, contributing to relative performance.
Given historically low yield spreads and ongoing risks, the strategy has returned to a more defensive position, with ample levels of liquidity to respond to potential volatility. While the improving economic outlook is positive for corporate creditworthiness and companies’ ability to repay debts, credit valuations are, in management’s view, generally expensive, as much of the good news is already priced in with little margin for error. As such, exposure has been modestly trimmed on strength, though some areas with elevated spread have been preserved to maintain carry on the limited risk posture while the team continues to emphasize selective idiosyncratic opportunities. Within securitized, the strategy continues to prefer current coupon agency MBS TBAs which remain attractive given relatively high carry of TBAs versus specified pools; the sector continues to benefit from the significant tailwind of Fed sponsorship, with the central bank signaling its commitment to sizable purchases for the foreseeable future. Legacy non-agency MBS remains attractive from a collateral perspective, with the added benefit of having largely floating rate coupons if rates continue to rise, and the strategy will seek to add new exposure at favorable valuations. In CMBS, though current holdings continue to focus on top-of the-capital structure exposures in single asset single borrower (SASB) AAA-rated issues, opportunities are beginning to present in AA- and A-rated collateral with good loan-to-value (LTV) ratios, i.e., protection, and good spread compensation. A similar strategy applies to CLO debt tranches, with possible additions on well-collateralized AA-rated issues offering good yields.
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Performance Through March 31, 2021 | ||||||||||||||||||||||||
6 Months (Cumulative) | 1 Year (Annualized) | 3 Year (Annualized) | 5 Year (Annualized) | 10 Year (Annualized) | Since Inception (Annualized) | |||||||||||||||||||
MWIMX (Inception: June 30, 2003) | -0.42% | 4.63% | 4.68% | 2.91% | 3.19% | 4.24% | ||||||||||||||||||
Bloomberg Barclays Intermediate U.S. Government/ Credit Index | -1.39% | 2.01% | 4.35% | 2.75% | 2.88% | 3.45% | ||||||||||||||||||
MWIIX (Inception: June 28, 2002) | -0.41% | 4.76% | 4.88% | 3.13% | 3.43% | 5.05% | ||||||||||||||||||
Bloomberg Barclays Intermediate U.S. Government/ Credit Index | -1.39% | 2.01% | 4.35% | 2.75% | 2.88% | 3.83% |
Metropolitan West Investment Grade Credit Fund
M-Class (MWISX), I-Class (MWIGX)
For the one year period ending March 31, 2021, the MetWest Investment Grade Credit Fund – I Class (“Fund”) gained 8.20% (net of fees), outpacing the Bloomberg Barclays U.S. Intermediate Credit Index by approximately 81 bps. The underweight to corporate credit was the largest drag on performance as spreads tightened in amid better inoculation logistics and an improved economic outlook. In particular, relative returns were weighed down by the underweight to top performing industrials such as basic industry and energy. However, this drag was offset by strong issue selection within the sector, led by communications, gaming, healthcare, tobacco, midstream energy, and finance company names as these were among the better performing areas in the Index. A modest out-of-Index allocation to high yield corporates was a slight tailwind as the sector outperformed investment grade fixed income with a nearly 24% total return profile, while the exposure (albeit shrinking) to municipal debt contributed as municipals saw yield premiums contract amid ongoing recovery from March 2020 wides. An off-Index position in securitized products also benefitted the Fund, led by favorable issue selection among senior CMBS. Finally, as rates marched higher throughout the period, the duration position of the Fund was extended in disciplined fashion, but remained somewhat short of the Index, contributing to relative performance.
Given historically tight spreads and abundant risks, the strategy has returned to a more defensive position, with ample levels of liquidity to respond to potential volatility. While the improving economic outlook is positive for corporate creditworthiness and companies’ ability to repay debts, credit valuations are, in management’s view, generally expensive, as much of the good news is already priced in with little margin for error. As such, exposure has been modestly trimmed on strength, though some areas with elevated spread have been preserved to maintain carry on the limited risk posture. The focus among credit continues to be on defensive sectors (non-cyclicals and communications) that offer more stability through volatility while the team also emphasizes selective idiosyncratic opportunities. Within securitized, the focus remains on high quality, more defensive holdings generally at the top of the capital structure across ABS and CMBS, with some potential to move down the capital structure as opportunities arise. Finally, among residential MBS, the strategy continues to hold well-structured agency MBS as well as legacy non-agency MBS, which remains attractive from a collateral perspective.
Performance Through March 31, 2021 | ||||||||||||||||||||||||
6 Months (Cumulative) | 1 Year (Annualized) | 3 Year (Annualized) | 5 Year (Annualized) | 10 Year (Annualized) | Since Inception | |||||||||||||||||||
MWISX (Inception: June 29, 2018) | 0.52% | 7.97% | — | — | — | 7.92% | ||||||||||||||||||
Bloomberg Barclays U.S. Intermediate Credit Index | -0.56% | 7.39% | — | — | — | 5.71% | ||||||||||||||||||
MWIGX (Inception: June 29, 2018) | 0.63% | 8.20% | — | — | — | 8.15% | ||||||||||||||||||
Bloomberg Barclays U.S. Intermediate Credit Index | -0.56% | 7.39% | — | — | — | 5.71% |
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 4.12% (net of fees) for the one year period ending March 31, 2021, outpacing the ICE BofA 1-3 Year U.S. Treasury Index (“Index”) by 388 bps. Bolstering performance was the corporate credit allocation as the sector rebounded from COVID volatility, attributable to legislative support and vaccine developments. In particular, performance benefited from the opportunistic additions made at very attractive entry points then subsequent trimming as corporate spreads remediated over the remainder of the year. Notable contributors were issues selected within banking, finance companies, food & beverage, healthcare, midstream, automotive, and pharmaceuticals. Away from corporates, the emphasis on low coupon agency MBS was a detractor overall, mainly from the latter part of the period when higher rates weighed on the sector, though a bias for TBAs offset some of this drag given their higher running yield versus pools (due to the Fed’s sizable sponsorship). Additional gains derived from the allocation to agency MBS collateralized mortgage obligations (CMOs) with
7 / Annual Report March 2021
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relatively stable duration profiles. Providing a boost to returns, meanwhile, was non-agency MBS, especially those backed by subprime, as the sector recovered from the volatility last March, sustained by strong housing fundamentals (i.e., robust home price appreciation) and limited supply. CMBS and ABS, finding some support from government stimulus programs, added to performance, with floating rate segments like government-guaranteed student loans particularly beneficial amid the backup in rates. Finally, a short duration profile reined in returns as rates hit historic lows, with the exposure extended in a disciplined manner during first quarter of 2021 on mounting inflation expectations, while exposures further out the curve further held back performance as the yield curve steepened.
Given historically low yield spreads and outstanding risks, the strategy has returned to a more defensive position, with ample levels of liquidity to respond to potential volatility. While the improving economic outlook is positive for corporate creditworthiness and companies’ ability to repay debts, credit valuations are, in management’s view, generally expensive, as much of the good news is already priced in with little margin for error. As such, credit exposure continues to emphasize high conviction names and defensive sectors such as communications and non-cyclicals, particularly healthcare and pharmaceuticals, as well as regulated banking given strong balance sheets, while remaining cautious of cyclical industries and non-corporate credit (though a small allocation to municipals is maintained, and emerging market debts are add candidates on cheaper entry points). Within securitized, the strategy continues to prefer current coupon agency MBS TBAs, which remain attractive given the relatively high carry of TBAs versus specified pools; the sector continues to benefit from the significant tailwind of Fed sponsorship, with the central bank signaling its commitment to sizable purchases for the foreseeable future. Legacy non-agency MBS remains compelling from a collateral perspective, with the added benefit of having largely floating rate coupons if rates continue to rise, and the strategy will seek to add new exposure at favorable valuations. In CMBS, though current holdings continue to focus on top-of the-capital structure exposures and single asset single borrower (SASB) AAA-rated issues, opportunities are beginning to present in AA- and A-rated collateral with good loan-to-value (LTV) ratios, i.e., protection, and good spread compensation. A similar strategy applies to CLOs, with possible additions in well-collateralized AA-rated issues offering good yields.
Performance Through March 31, 2021 | ||||||||||||||||||||||||
6 Months (Cumulative) | 1 Year (Annualized) | 3 Year (Annualized) | 5 Year (Annualized) | 10 Year (Annualized) | Since Inception (Annualized) | |||||||||||||||||||
MWLDX (Inception: March 31, 1997) | 0.43% | 3.91% | 2.92% | 2.09% | 2.14% | 3.56% | ||||||||||||||||||
ICE BofA 1-3 Year U.S. Treasury Index | — | 0.24% | 2.77% | 1.71% | 1.29% | 3.15% | ||||||||||||||||||
MWLIX (Inception: March 31, 2000) | 0.53% | 4.12% | 3.09% | 2.31% | 2.34% | 3.26% | ||||||||||||||||||
ICE BofA 1-3 Year U.S. Treasury Index | — | 0.24% | 2.77% | 1.71% | 1.29% | 2.79% | ||||||||||||||||||
MWLNX (Inception: September 22, 2009) | 0.49% | 3.83% | 2.80% | 2.00% | 2.01% | 3.13% | ||||||||||||||||||
ICE BofA 1-3 Year U.S. Treasury Index | — | 0.24% | 2.77% | 1.71% | 1.29% | 1.34% |
Metropolitan West Strategic Income Fund
M-Class (MWSTX), I-Class (MWSIX)
Despite a headwind of rising interest rates, the MetWest Strategic Income Fund – I Class (“Fund”) gained 14.19% (net of fees), over 1,207 bps ahead of the ICE BofA U.S. 3-Month Treasury Bill Index Plus 200 bps. Outperformance was largely driven by the allocation to corporate credit, particularly leading industrials within the investment grade space such as energy and transportation which benefitted from a rebound in economic activity. Favorable issue selection also came from finance companies, insurance, and REITs. Given the considerable rally for high yield credit (the sector was up an impressive 23.7% for the year), the portfolio’s exposure there was also beneficial. Further contributions came from the small position in emerging markets debt as the sector benefitted from optimism regarding accommodative global policies. Within the securitized space, exposure to legacy non-agency MBS rewarded returns as the sector continued to remediate from losses in the first quarter of 2020, supported by strong housing fundamentals, declining forbearance rates, and reduced supply. CMBS holdings and government-guaranteed student loan holdings within ABS also contributed, with the latter generally benefitting from policy support that has helped keep the consumer afloat. Finally, the duration position was extended over the course of the year, from 1.7 years to 2.4 years, weighing on performance as Treasury rates rose, with the 10-Year yield increasing by approximately 107 bps year-over-year.
Given historically low yield spreads and abundant risks, the strategy has returned to a more defensive position, with ample levels of liquidity to respond to potential volatility. While the improving economic outlook is positive for corporate creditworthiness and companies’ ability to repay debts, credit valuations are, in management’s view, generally expensive, as much of the good news is already priced in with little margin for error. As such, exposure has been modestly trimmed on strength, though some areas with elevated spread have been preserved to maintain carry on the limited risk posture while the team continues to emphasize selective idiosyncratic opportunities. Within securitized, the strategy continues to prefer legacy non-agency MBS, which remains attractive from a collateral perspective while having the added benefit of having largely floating rate coupons if rates continue to rise. In CMBS, though current holdings continue to focus on top-of the-capital structure exposures in single asset single borrower
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(SASB) AAA-rated issues, opportunities are beginning to present in AA- and A-rated collateral with good loan-to-value (LTV) ratios, i.e., protection, and good spread compensation. A similar strategy applies to CLO debt tranches, with possible additions on well-collateralized AA-rated issues offering good yields. Lastly,though currently a small position, emerging market debt issues are add candidates on cheaper entry points.
Performance Through March 31, 2021 | ||||||||||||||||||||||
6 Months (Cumulative) | 1 Year (Annualized) | 3 Year (Annualized) | 5 Year (Annualized) | 10 Year (Annualized) | Since Inception | |||||||||||||||||
MWSTX (Inception: June 30, 2003) | 4.00% | 14.14% | 4.17% | 3.84% | 3.59% | 4.19% | ||||||||||||||||
ICE BofA U.S. 3-Month Treasury Bill Index Plus 200 bps | 1.05% | 2.12% | 3.52% | 3.20% | 2.64% | 3.34% | ||||||||||||||||
MWSIX (Inception: March 31, 2004) | 4.13% | 14.19% | 4.41% | 4.09% | 3.84% | 3.71% | ||||||||||||||||
ICE BofA U.S. 3-Month Treasury Bill Index Plus 200 bps | 1.05% | 2.12% | 3.52% | 3.20% | 2.64% | 3.36% |
Metropolitan West Total Return Bond Fund
M-Class (MWTRX), I-Class (MWTIX), I-2-Class (MWTTX), Administrative-Class (MWTNX), Plan-Class (MWTSX)
For the one year period ending March 31, 2021, the MetWest Total Return Bond Fund – I Class (“Fund”) gained 3.54% (net of fees), outperforming the Bloomberg Barclays U.S. Aggregate Bond Index (“Index”) by over 283 bps. Amid better inoculation logistics and an improved economic outlook, supported by fiscal and monetary stimulus, corporate credit continued to recover from last year’s COVID-related volatility. An overweight to the sector early in the period benefitted returns, and the position was subsequently trimmed as yield premiums declined. Issue selection among corporate credit was also significant to the Fund’s outperformance, particularly the preference for communications, gaming, healthcare, tobacco, midstream energy, and finance companies as these were among the better performing areas in the Index. Additional gains came from opportunistic credit additions made during the March 2020 volatility at very attractive entry points and subsequent trimming amid spread remediation. An out-of-Index allocation to high yield corporates was a slight tailwind as the sector outperformed investment grade fixed income, while the overweight (albeit shrinking) to municipal debt contributed as municipals saw yield premiums contract amid continuing recovery from March 2020. In securitized, a strong housing backdrop rewarded residential sectors, with non-agency MBS bolstering returns, especially bonds backed by subprime collateral, while the emphasis on production coupon agency MBS TBAs provided an additional boost given the significant sponsorship by the Fed and outperformance of TBAs versus pools, notwithstanding a drag toward the latter part of the period given rate volatility. Commercial MBS had minimal impact on performance and was trimmed to fund the aforementioned credit purchases, while an overweight to ABS was beneficial as many of the consumer segments performed well amid government support that helped keep the consumer afloat during the pandemic. Another boost to returns came from TIPS, attributable to higher inflation expectations toward the latter half of the period, though the position was trimmed in the fourth quarter of 2020. Finally, as rates marched higher throughout the period, the duration position of the Fund was extended in disciplined fashion, but remained somewhat short of the Index, contributing to relative performance.
Given historically rich pricing and evident risks, the strategy has dollar-cost averaged into a more defensive position, with ample levels of liquidity to respond to potential volatility. While the improving economic outlook is positive for corporate creditworthiness and companies’ ability to repay debts, credit valuations are, in management’s view, generally expensive, as much of the good news is already priced in with little margin for error. As such, exposure has been modestly trimmed on strength, though some areas with elevated spread have been preserved to maintain carry on the limited risk posture while the team continues to emphasize selective idiosyncratic opportunities. Within securitized, the strategy continues to prefer current coupon agency MBS TBAs which remain attractive given relatively high carry of TBAs versus specified pools; the sector continues to benefit from the significant tailwind of Fed sponsorship, with the central bank signaling its commitment to sizable purchases for the foreseeable future. Legacy non-agency MBS remains attractive from a collateral perspective, with the added benefit of having largely floating rate coupons if rates continue to rise, and the strategy will seek to add new exposure at favorable valuations. In CMBS, though current holdings continue to focus on top-of the-capital structure exposures in single asset single borrower (SASB) AAA-rated issues, opportunities are beginning to present in AA- and A-rated collateral with good loan-to-value (LTV) ratios, i.e., protection, and good spread compensation. A similar strategy applies to CLO debt tranches, with possible additions on well-collateralized AA-rated issues offering good yields. Lastly, though currently a small position, emerging market debt issues are add candidates on cheaper entry points.
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Performance Through March 31, 2021 | ||||||||||||||||||||||
6 Months (Cumulative) | 1 Year (Annualized) | 3 Year (Annualized) | 5 Year (Annualized) | 10 Year (Annualized) | Since Inception | |||||||||||||||||
MWTRX (Inception: March 31, 1997) | -1.86% | 3.31% | 5.22% | 3.44% | 4.04% | 6.01% | ||||||||||||||||
Bloomberg Barclays U.S. Aggregate Bond Index | -2.73% | 0.71% | 4.65% | 3.10% | 3.44% | 5.09% | ||||||||||||||||
MWTIX (Inception: March 31, 2000) | -1.75% | 3.54% | 5.46% | 3.67% | 4.27% | 5.87% | ||||||||||||||||
Bloomberg Barclays U.S. Aggregate Bond Index | -2.73% | 0.71% | 4.65% | 3.10% | 3.44% | 4.86% | ||||||||||||||||
MWTTX (Inception: March 6, 2020) | -1.80% | 3.65% | — | — | — | 0.58% | ||||||||||||||||
Bloomberg Barclays U.S. Aggregate Bond Index | -2.73% | 0.71% | — | — | — | 0.11% | ||||||||||||||||
MWTNX (Inception: December 18, 2009) | -1.91% | 3.19% | 5.10% | 3.32% | 3.89% | 4.48% | ||||||||||||||||
Bloomberg Barclays U.S. Aggregate Bond Index | -2.73% | 0.71% | 4.65% | 3.10% | 3.44% | 3.57% | ||||||||||||||||
MWTSX (Inception: August 1, 2011) | -1.67% | 3.65% | 5.56% | 3.76% | — | 4.17% | ||||||||||||||||
Bloomberg Barclays U.S. Aggregate Bond Index | -2.73% | 0.71% | 4.65% | 3.10% | — | 3.15% |
Metropolitan West Ultra Short Bond Fund
M-Class (MWUSX), I-Class (MWUIX)
The MetWest Ultra Short Bond Fund – I Class (“Fund”) gained 1.43% (net of fees) for the one year period ending March 31, 2021, outpacing the ICE BofA 1-Year U.S. Treasury Index (“Index”) by 126 bps. Bolstering performance was the corporate credit allocation as the sector rebounded from COVID volatility, attributable to legislative support and vaccine developments. In particular, performance benefited from the opportunistic additions made at very attractive entry points then subsequent trimming as corporate bond prices appreciated over the remainder of the year. Notable contributors were issues selected within banking, finance companies, automotive, and pharmaceuticals. Away from corporates, the emphasis on low coupon agency MBS was a detractor overall, mainly from the latter part of the period when higher rates weighed on the sector, though a bias for TBAs offset some of this drag given their higher running yield versus pools (due to the Fed’s sizable sponsorship). Additional gains derived from the allocation to agency MBS CMOs with relatively stable duration profiles. Providing a boost to returns, meanwhile, was non-agency MBS, especially those backed by subprime, as the sector recovered from the volatility last March, sustained by strong housing fundamentals (i.e., robust demand for homes, particularly suburban) and limited supply. CMBS and ABS, finding some support from government stimulus programs, modestly added to performance, with floating rate segments like government-guaranteed student loans particularly beneficial amid the backup in rates. Finally, a short duration profile reined in returns as rates hit historic lows, with the exposure extended in a disciplined manner during first quarter of 2021 on mounting inflation expectations, while exposures further out the curve further held back performance as the yield curve steepened.
Given historically low yield spreads and outstanding risks, the strategy has returned to a more defensive position, with ample levels of liquidity to respond to potential volatility. While the improving economic outlook is positive for corporate creditworthiness and companies’ ability to repay debts, credit valuations are, in management’s view, generally expensive, as much of the good news is already priced in with little margin for error. As such, credit exposure continues to emphasize high conviction names and defensive sectors such as utilities and non-cyclicals, particularly healthcare and pharmaceuticals, as well as regulated banking given strong balance sheets, while remaining cautious of cyclical industries and non-corporate credit (though a small allocation to municipals is maintained, and emerging market debts are add candidates on cheaper entry points). Within securitized, the strategy continues to prefer current coupon agency MBS TBAs, which remain attractive given the relatively high carry of TBAs versus specified pools; the sector continues to benefit from the significant tailwind of Fed sponsorship, with the central bank signaling its commitment to sizable purchases for the foreseeable future. Meanwhile, an allocation to well-structured CMOs is maintained given relatively stable duration profiles. Legacy non-agency MBS remains compelling from a collateral perspective, with the added benefit of having largely floating rate coupons if rates continue to rise, and the strategy will seek to add new exposure at favorable valuations. In CMBS, though current holdings continue to focus on top-of the-capital structure exposures and single asset single borrower (SASB) AAA-rated issues, opportunities are beginning to present in AA- and A-rated collateral with good loan-to-value (LTV) ratios, i.e., protection, and good spread compensation. A similar strategy applies to CLO debt tranches, with possible additions in well-collateralized AA-rated issues offering good yields.
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Performance Through March 31, 2021 | ||||||||||||||||||||||
6 Months (Cumulative) | 1 Year (Annualized) | 3 Year (Annualized) | 5 Year (Annualized) | 10 Year (Annualized) | Since Inception | |||||||||||||||||
MWUSX (Inception: June 30, 2003) | -0.04% | 1.03% | 1.75% | 1.41% | 1.36% | 1.82% | ||||||||||||||||
ICE BofA 1-Year U.S. Treasury Index | 0.12% | 0.17% | 2.14% | 1.52% | 0.92% | 1.66% | ||||||||||||||||
MWUIX (Inception: July 31, 2004) | 0.04% | 1.43% | 1.91% | 1.58% | 1.52% | 1.68% | ||||||||||||||||
ICE BofA 1-Year U.S. Treasury Index | 0.12% | 0.17% | 2.14% | 1.52% | 0.92% | 1.71% |
Metropolitan West Unconstrained Bond Fund
M-Class (MWCRX), I-Class (MWCIX), Plan-Class (MWCPX)
Despite a headwind of rising interest rates, the MetWest Unconstrained Bond Fund – I Class (“Fund”) gained 11.35% (net of fees) over the one-year-period ending March 31, 2021, outpacing the ICE BofA U.S. Dollar 3-Month Deposit Offered Rate Average Index (“Index”) by 1,088 bps. Outperformance was largely driven by the allocation to corporate credit, particularly leading industrials within the investment grade space such as energy and transportation which benefitted from a rebound in economic activity. Favorable issue selection also came from finance companies, insurance, and REITs. Given the considerable rally for high yield credit (the sector was up an impressive 23.7% for the year), the portfolio’s exposure there was also beneficial. Further contributions came from the small position in emerging markets debt as the sector benefitted from optimism regarding accommodative global policies. Within the securitized space, exposure to legacy non-agency MBS rewarded returns as the sector continued to remediate from losses in the first quarter of 2020, supported by strong housing fundamentals, declining forbearance rates, and reduced supply. CMBS holdings and government-guaranteed student loan receivables within ABS also contributed, with the latter generally benefitting from policy support that has helped keep the consumer afloat. Finally, the duration position was extended over the course of the year, from 1.7 years to 2.4 years, weighing on performance as Treasury rates rose, with the 10-Year yield increasing by approximately 107 bps year-over-year.
Given historically low yield spreads and abundant risks, the strategy has returned to a more defensive position, with ample levels of liquidity to respond to potential volatility. While the improving economic outlook is positive for corporate creditworthiness and companies’ ability to repay debts, credit valuations are, in management’s view, generally expensive, as much of the good news is already priced in with little margin for error. As such, exposure has been modestly trimmed on strength, though some areas with elevated spread have been preserved to maintain carry on the limited risk posture while the team continues to emphasize selective idiosyncratic opportunities. Within securitized, the strategy continues to prefer current coupon agency MBS TBAs which remain attractive given relatively high carry of TBAs versus specified pools; the sector continues to benefit from the significant tailwind of Fed sponsorship, with the central bank signaling its commitment to sizable purchases for the foreseeable future. Legacy non-agency MBS remains attractive from a collateral perspective, with the added benefit of having largely floating rate coupons if rates continue to rise, and the strategy will seek to add new exposure at favorable valuations. In CMBS, though current holdings continue to focus on top-of the-capital structure exposures in single asset single borrower (SASB) AAA-rated issues, opportunities are beginning to present in AA- and A-rated collateral with good loan-to-value (LTV) ratios, i.e., protection, and good spread compensation. A similar strategy applies to CLO debt tranches, with possible additions on well-collateralized AA-rated issues offering good yields. Lastly, though currently a small position, emerging market debt issues are add candidates on cheaper entry points.
Performance Through March 31, 2021 | ||||||||||||||||||||||
6 Months (Cumulative) | 1 Year (Annualized) | 3 Year (Annualized) | 5 Year (Annualized) | 10 Year (Annualized) | Since Inception (Annualized) | |||||||||||||||||
MWCRX (Inception: October 1, 2011) | 2.46% | 11.14% | 3.84% | 3.56% | — | 5.05% | ||||||||||||||||
ICE BofA U.S. Dollar 3-Month Deposit Offered Rate Average Index | 0.11% | 0.47% | 1.73% | 1.48% | — | 0.94% | ||||||||||||||||
MWCIX (Inception: October 1, 2011) | 2.60% | 11.35% | 4.13% | 3.86% | — | 5.33% | ||||||||||||||||
ICE BofA U.S. Dollar 3-Month Deposit Offered Rate Average Index | 0.11% | 0.47% | 1.73% | 1.48% | — | 0.94% | ||||||||||||||||
MWCPX (Inception: March 6, 2020) | 2.63% | 11.44% | — | — | — | 3.55% | ||||||||||||||||
ICE BofA U.S. Dollar 3-Month Deposit Offered Rate Average Index | 0.11% | 0.47% | — | — | — | 0.57% |
11 / Annual Report March 2021
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A Disciplined Value Philosophy
Reflecting on a turbulent and eventful 2020, along with a return of pure rate volatility to start this year, once again the importance of investment discipline is highlighted. While it’s cliché that the market doesn’t ring a bell at tops and bottoms, it is observable from a practical and historical perspective where relative values stand in overseeing the Funds. The hallmark of the MetWest teams has been and remains a steadfast pragmatism in allocating risk through the cycle, meaning a tendency to having liquidity when needed most and underwriting risk when compensated at its utmost. The benefit of such is not only a return pattern that delivers on expectations, but in a risk-adjusted fashion that stands out most favorably.
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 rate, issue, and credit risks as those risks 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 HighYield 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 May 2021, 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.
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Illustration of an Assumed Investment of $10,000
The graphs below illustrate the assumed investment of $10,000 for each of the Metropolitan West Funds. The performance data quoted represents past performance and does not guarantee future results. Current performance may be lower or higher than the performance data quoted. Performance data current to the most recent month-end may be obtained at www.tcw.com. Returns are due in part to market conditions which may not be repeated in the future. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.
The performance tables and graphs do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. Unlike an index, the Fund’s total returns are reduced by transaction costs, taxes, management fees and other expenses.
Metropolitan West AlphaTrak 500 Fund
Total Return Performance
The graph below compares the increase in value of a $10,000 investment in the Metropolitan West AlphaTrak 500 Fund with the performance of the S&P 500 Index. The one year and average annual 10 year total returns for the Metropolitan West AlphaTrak 500 Fund were 60.83% and 14.79%, respectively. The graph assumes that distributions were reinvested.
Metropolitan West Corporate Bond Fund – Class M
Total Return Performance
The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Corporate Bond Fund Class M with the performance of the Bloomberg Barclays U.S. Corporate Index. The one year and average annual since inception total returns for the Metropolitan West Corporate Bond Fund Class M were 7.55% and 8.92%, respectively. The inception date for Class M was June 29, 2018. The graph assumes that distributions were reinvested.
The inception date for the Metropolitan West Corporate Bond Fund Class I was June 29, 2018. The one year and average annual since inception total returns for the Metropolitan West Corporate Bond Fund Class I were 7.81% and 9.19%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Corporate Bond Fund Class I shares would have been valued at $12,739.
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Metropolitan West Flexible Income Fund – Class M
Total Return Performance
The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Flexible Income Fund Class M with the performance of the Bloomberg Barclays U.S. Aggregate Bond Index. The one year and average annual since inception total returns for the Metropolitan West Flexible Income Fund Class M were 10.89% and 13.47%, respectively. The inception date for Class M was November 20, 2018. The graph assumes that distributions were reinvested.
The inception date for the Metropolitan West Flexible Income Fund Class I was November 30, 2018. The one year and average annual since inception total returns for the Metropolitan West Flexible Income Fund Class I were 10.83% and 13.58%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Flexible Income Fund Class I shares would have been valued at $13,457.
Metropolitan West Floating Rate Income Fund – Class M
Total Return Performance
The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Floating Rate Income Fund Class M with the performance of the S&P/LSTA Leveraged Loan Index. The one year and average annual since inception total returns for the Metropolitan West Floating Rate Income Fund Class M were 14.30% and 3.64%, respectively. The inception date for Class M was June 28, 2013. The graph assumes that distributions were reinvested.
The inception date for the Metropolitan West Floating Rate Income Fund Class I was June 28, 2013. The one year and average annual since inception total returns for the Metropolitan West Floating Rate Income Fund Class I were 14.52% and 3.85%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Floating Rate Income Fund Class I shares would have been valued at $13,400.
The inception date for the Metropolitan West Floating Rate Income Fund Plan Class was January 29, 2021. The since inception total return for the Metropolitan West Floating Rate Income Fund Plan Class was 0.31%. At the end of the same period, a $10,000 investment in the Metropolitan West Floating Rate Income Fund Plan Class shares would have been valued at $10,031.
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Metropolitan West High Yield Bond Fund – Class M
Total Return Performance
The graph below compares the increase in value of a $10,000 investment in the Metropolitan West High Yield Bond Fund Class M with the performance of the Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index. The one year and average annual 10 year total returns for the Metropolitan West High Yield Bond Fund Class M were 18.14% and 5.00%, respectively. The graph assumes that distributions were reinvested.
For the Metropolitan West High Yield Bond Fund Class I, the one year and average annual 10 year total returns were 18.56% and 5.27%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West High Yield Bond Fund Class I shares would have been valued at $16,705.
Metropolitan West Intermediate Bond Fund – Class M
Total Return Performance
The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Intermediate Bond Fund Class M with the performance of the Bloomberg Barclays Intermediate U.S. Government/Credit Index. The one year and average annual 10 year total returns for the Metropolitan West Intermediate Bond Fund Class M were 4.63% and 3.19%, respectively. The graph assumes that distributions were reinvested.
For the Metropolitan West Intermediate Bond Fund Class I, the one year and average annual 10 year total returns were 4.76% and 3.43%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Intermediate Bond Fund Class I shares would have been valued at $14,004.
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Metropolitan West Investment Grade Credit Fund – Class M
Total Return Performance
The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Investment Grade Credit Fund Class M with the performance of the Bloomberg Barclays U.S. Intermediate Credit Index. The one year and average annual since inception total returns for the Metropolitan West Investment Grade Credit Fund Class M were 7.97% and 7.92%, respectively. The inception date for Class M was June 29, 2018. The graph assumes that distributions were reinvested
The inception date for the Metropolitan West Investment Grade Credit Fund Class I was June 29, 2018. The one year and average annual since inception total returns for the Metropolitan West Investment Grade Credit Fund Class I were 8.20% and 8.15%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Investment Grade Credit Fund Class I shares would have been valued at $12,407.
Metropolitan West Low Duration Bond Fund – Class M
Total Return Performance
The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Low Duration Bond Fund Class M with the performance of the ICE BofA 1-3 Year U.S. Treasury Index. The one year and average annual 10 year total returns for the Metropolitan West Low Duration Bond Fund Class M were 3.91% and 2.14%, respectively. The graph assumes that distributions were reinvested.
For the Metropolitan West Low Duration Bond Fund Class I, the one year and average annual 10 year total returns were 4.12% and 2.34%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Low Duration Bond Fund Class I shares would have been valued at $12,607.
For the Metropolitan West Low Duration Bond Fund Administrative Class, the one year and average annual 10 year total returns were 3.83% and 2.01%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Low Duration Bond Fund Administrative Class shares would have been valued at $12,196.
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Metropolitan West Strategic Income Fund – Class M
Total Return Performance
The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Strategic Income Fund Class M with the performance of the ICE BofA U.S. 3-Month Treasury Bill Index Plus 200 bps. The one year and average annual 10 year total returns for the Metropolitan West Strategic Income Fund Class M were 14.14% and 3.59%, respectively. The graph assumes that distributions were reinvested.
For the Metropolitan West Strategic Income Fund Class I, the one year and average annual 10 year total returns were 14.19% and 3.84%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Strategic Income Fund Class I shares would have been valued at $14,570.
Metropolitan West Total Return Bond Fund – Class M
Total Return Performance
The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Total Return Bond Fund Class M with the performance of the Bloomberg Barclays U.S. Aggregate Bond Index. The one year and average annual 10 year total returns for the Metropolitan West Total Return Bond Fund Class M were 3.31% and 4.04%, respectively. The graph assumes that distributions were reinvested.
For the Metropolitan West Total Return Bond Fund Class I,the one year and average annual 10 year total returns were 3.54% and 4.27%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Total Return Bond Fund Class I shares would have been valued at $15,190.
The inception date for the Metropolitan West Total Return Bond Fund Class I-2 was March 6, 2020. The one year and average annual since inception total returns for the Metropolitan West Total Return Bond Fund Class I-2 were 3.65% and 0.58%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Total Return Bond Fund Class I-2 shares would have been valued at $10,062.
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For the Metropolitan West Total Return Bond Fund Administrative Class, the one year and average annual 10 year total returns were 3.19% and 3.89%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Total Return Bond Fund Administrative Class shares would have been valued at $14,649.
The inception date for the Metropolitan West Total Return Bond Fund Plan Class was August 1, 2011. The one year and average annual since inception total returns for the Metropolitan West Total Return Bond Fund Plan Class were 3.65% and 4.17%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Total Return Bond Fund Plan Class shares would have been valued at $14,848.
Metropolitan West Ultra Short Bond Fund – Class M
Total Return Performance
The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Ultra Short Bond Fund Class M with the performance of the ICE BofA 1-Year U.S. Treasury Index. The one year and average annual 10 year total returns for the Metropolitan West Ultra Short Bond Fund Class M were 1.03% and 1.36%, respectively. The graph assumes that distributions were reinvested.
For the Metropolitan West Ultra Short Bond Fund Class I, the one year and average annual 10 year total returns were 1.43% and 1.52%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Ultra Short Bond Fund Class I shares would have been valued at $11,631.
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Metropolitan West Unconstrained Bond Fund – Class M
Total Return Performance
The graph below compares the increase in value of a $10,000 investment in the Metropolitan West Unconstrained Bond Fund Class M with the performance of the ICE BofA U.S.Dollar 3-Month Deposit Offered Rate Average Index. The one year and average annual since inception total returns for the Metropolitan West Unconstrained Bond Fund Class M were 11.14% and 5.05%, respectively. The inception date for Class M was October 1, 2011. The graph assumes that distributions were reinvested.
The inception date for the Metropolitan West Unconstrained Bond Fund Class I was October 1, 2011. The one year and average annual since inception total returns for the Metropolitan West Unconstrained Bond Fund Class I were 11.35% and 5.33%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Unconstrained Bond Fund Class I shares would have been valued at $16,380.
The inception date for the Metropolitan West Unconstrained Bond Fund Plan Class was March 6, 2020. The one year and average annual since inception total return for the Metropolitan West Unconstrained Bond Fund Plan Class were 11.44% and 3.55%, respectively. At the end of the same period, a $10,000 investment in the Metropolitan West Unconstrained Bond Fund Plan Class shares would have been valued at $10,378.
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Metropolitan West Funds
Disclosure of Fund Expenses (Unaudited)
For the Six Months Ended March 31, 2021
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 10/01/20 | Ending Account Value 03/31/21 | Expense Ratio1 | Expenses Paid During Period2 | |||||||||
ALPHATRAK 500 FUND | ||||||||||||
Actual Fund Return | $1,000.00 | $1,195.10 | 0.90% | $4.93 | ||||||||
Hypothetical 5% Return | $1,000.00 | $1,020.44 | 0.90% | $4.53 | ||||||||
CORPORATE BOND FUND | ||||||||||||
Actual Fund Return | ||||||||||||
Class M | $1,000.00 | $ 986.40 | 0.75% | $3.71 | ||||||||
Class I | $1,000.00 | $ 987.60 | 0.50% | $2.48 | ||||||||
Hypothetical 5% Return | ||||||||||||
Class M | $1,000.00 | $1,021.19 | 0.75% | $3.78 | ||||||||
Class I | $1,000.00 | $1,022.44 | 0.50% | $2.52 | ||||||||
FLEXIBLE INCOME FUND | ||||||||||||
Actual Fund Return | ||||||||||||
Class M | $1,000.00 | $1,027.40 | 0.80% | $4.04 | ||||||||
Class I | $1,000.00 | $1,028.50 | 0.55% | $2.78 | ||||||||
Hypothetical 5% Return | ||||||||||||
Class M | $1,000.00 | $1,020.94 | 0.80% | $4.03 | ||||||||
Class I | $1,000.00 | $1,022.19 | 0.55% | $2.77 |
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 182 days then divided by 365 (to reflect the one-half year period shown). |
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Beginning Account Value 10/01/20 | Ending Account Value 03/31/21 | Expense Ratio1 | Expenses Paid During Period2 | |||||||||
FLOATING RATE INCOME FUND | ||||||||||||
Actual Fund Return | ||||||||||||
Class M | $1,000.00 | $1,037.90 | 0.90% | $4.57 | ||||||||
Class I | $1,000.00 | $1,038.90 | 0.70% | $3.56 | ||||||||
Plan Class | $1,000.00 | 3 | $1,003.10 | 0.56%4 | $0.915 | |||||||
Hypothetical 5% Return | ||||||||||||
Class M | $1,000.00 | $1,020.44 | 0.90% | $4.53 | ||||||||
Class I | $1,000.00 | $1,021.44 | 0.70% | $3.53 | ||||||||
Plan Class | $1,000.00 | 3 | $1,007.18 | 0.56%4 | $0.915 | |||||||
HIGH YIELD BOND FUND | ||||||||||||
Actual Fund Return | ||||||||||||
Class M | $1,000.00 | $1,048.40 | 0.85% | $4.34 | ||||||||
Class I | $1,000.00 | $1,049.70 | 0.60% | $3.07 | ||||||||
Hypothetical 5% Return | ||||||||||||
Class M | $1,000.00 | $1,020.69 | 0.85% | $4.28 | ||||||||
Class I | $1,000.00 | $1,021.94 | 0.60% | $3.02 | ||||||||
INTERMEDIATE BOND FUND | ||||||||||||
Actual Fund Return | ||||||||||||
Class M | $1,000.00 | $ 995.80 | 0.70% | $3.48 | ||||||||
Class I | $1,000.00 | $ 995.90 | 0.48% | $2.39 | ||||||||
Hypothetical 5% Return | ||||||||||||
Class M | $1,000.00 | $1,021.44 | 0.70% | $3.53 | ||||||||
Class I | $1,000.00 | $1,022.54 | 0.48% | $2.42 | ||||||||
INVESTMENT GRADE CREDIT FUND | ||||||||||||
Actual Fund Return | ||||||||||||
Class M | $1,000.00 | $1,005.20 | 0.70% | $3.50 | ||||||||
Class I | $1,000.00 | $1,006.30 | 0.49% | $2.45 | ||||||||
Hypothetical 5% Return | ||||||||||||
Class M | $1,000.00 | $1,021.44 | 0.70% | $3.53 | ||||||||
Class I | $1,000.00 | $1,022.49 | 0.49% | $2.47 | ||||||||
LOW DURATION BOND FUND | ||||||||||||
Actual Fund Return | ||||||||||||
Class M | $1,000.00 | $1,004.30 | 0.62% | $3.10 | ||||||||
Class I | $1,000.00 | $1,005.30 | 0.42% | $2.10 | ||||||||
Administrative Class | $1,000.00 | $1,004.90 | 0.73% | $3.65 | ||||||||
Hypothetical 5% Return | ||||||||||||
Class M | $1,000.00 | $1,021.84 | 0.62% | $3.13 | ||||||||
Class I | $1,000.00 | $1,022.84 | 0.42% | $2.12 | ||||||||
Administrative Class | $1,000.00 | $1,021.29 | 0.73% | $3.68 |
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 182 days then divided by 365 (to reflect the one-half year period shown). |
3 | The Floating Rate Income Fund Plan Class Shares commenced operations on January 29, 2021. |
4 | Annualized, based on the Fund’s expenses for the period between January 29, 2021 (the commencement date of the Plan Class) and March 31, 2021. |
5 | Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by 61 days of expenses, then divided by 365 (to reflect the period shown between January 29, 2021 and March 31, 2021). |
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Beginning Account Value 10/01/20 | Ending Account Value 03/31/21 | Expense Ratio1 | Expenses Paid During Period2 | |||||||||||
STRATEGIC INCOME FUND | ||||||||||||||
Actual Fund Return | ||||||||||||||
Class M | $1,000.00 | $1,040.00 | 2.22% | $11.29 | ||||||||||
Class I | $1,000.00 | $1,041.30 | 2.28% | $11.60 | ||||||||||
Hypothetical 5% Return | ||||||||||||||
Class M | $1,000.00 | $1,013.86 | 2.22% | $11.15 | ||||||||||
Class I | $1,000.00 | $1,013.56 | 2.28% | $11.45 | ||||||||||
TOTAL RETURN BOND FUND | ||||||||||||||
Actual Fund Return | ||||||||||||||
Class M | $1,000.00 | $ 981.40 | 0.68% | $ 3.36 | ||||||||||
Class I | $1,000.00 | $ 982.50 | 0.46% | $ 2.27 | ||||||||||
Class I-2 | $1,000.00 | $ 982.00 | 0.57% | $ 2.82 | ||||||||||
Administrative Class | $1,000.00 | $ 980.90 | 0.79% | $ 3.90 | ||||||||||
Plan Class | $1,000.00 | $ 983.30 | 0.38% | $ 1.88 | ||||||||||
Hypothetical 5% Return | ||||||||||||||
Class M | $1,000.00 | $1,021.54 | 0.68% | $3.43 | ||||||||||
Class I | $1,000.00 | $1,022.64 | 0.46% | $2.32 | ||||||||||
Class I-2 | $1,000.00 | $1,022.09 | 0.57% | $2.87 | ||||||||||
Administrative Class | $1,000.00 | $1,020.99 | 0.79% | $3.98 | ||||||||||
Plan Class | $1,000.00 | $1,023.04 | 0.38% | $1.92 | ||||||||||
ULTRA SHORT BOND FUND | ||||||||||||||
Actual Fund Return | ||||||||||||||
Class M | $1,000.00 | $ 999.60 | 0.50% | $2.49 | ||||||||||
Class I | $1,000.00 | $1,000.40 | 0.34% | $1.70 | ||||||||||
Hypothetical 5% Return | ||||||||||||||
Class M | $1,000.00 | $1,022.44 | 0.50% | $2.52 | ||||||||||
Class I | $1,000.00 | $1,023.24 | 0.34% | $1.72 | ||||||||||
UNCONSTRAINED BOND FUND | ||||||||||||||
Actual Fund Return | ||||||||||||||
Class M | $1,000.00 | $1,024.60 | 1.02% | $5.15 | ||||||||||
Class I | $1,000.00 | $1,026.00 | 0.75% | $3.79 | ||||||||||
Plan Class | $1,000.00 | $1,026.30 | 0.69% | $3.49 | ||||||||||
Hypothetical 5% Return | ||||||||||||||
Class M | $1,000.00 | $1,019.85 | 1.02% | $5.14 | ||||||||||
Class I | $1,000.00 | $1,021.19 | 0.75% | $3.78 | ||||||||||
Plan Class | $1,000.00 | $1,021.49 | 0.69% | $3.48 |
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 182 days then divided by 365 (to reflect the one-half year period shown). |
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Metropolitan West Funds
March 31, 2021
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 | 25.97% | |||
U.S. Treasury Bills | 12.78% | |||
Asset-Backed Securities | 11.37% | |||
Mutual Funds | 10.02% | |||
Non-Agency Mortgage-Backed | 6.84% | |||
Money Market Funds | 6.70% | |||
Non-Agency Commercial Mortgage-Backed | 4.87% | |||
U.S. Agency Mortgage-Backed | 4.68% | |||
U.S. Agency Commercial Mortgage-Backed | 4.22% | |||
U.S. Treasury Securities | 0.91% | |||
Foreign Government Obligations | 0.87% | |||
Municipal Bonds | 0.62% | |||
Other* | 10.15% | |||
Total | 100.00% | |||
| ||||
CORPORATE BOND FUND | ||||
Sector Diversification | ||||
Corporate Bonds | 80.62% | |||
U.S. Treasury Securities | 12.41% | |||
Municipal Bonds | 2.23% | |||
Money Market Funds | 2.06% | |||
Non-Agency Commercial Mortgage-Backed | 0.65% | |||
U.S. Agency Mortgage-Backed | 0.38% | |||
U.S. Agency Commercial Mortgage-Backed | 0.35% | |||
Asset-Backed Securities | 0.34% | |||
Other* | 0.96% | |||
Total | 100.00% | |||
| ||||
FLEXIBLE INCOME FUND | ||||
Sector Diversification | ||||
Corporate Bonds | 26.34% | |||
Non-Agency Mortgage-Backed | 18.89% | |||
U.S. Agency Mortgage-Backed | 15.56% | |||
Asset-Backed Securities | 14.09% | |||
U.S. Treasury Bills | 13.28% | |||
Non-Agency Commercial Mortgage-Backed | 11.27% | |||
Bank Loans | 7.68% | |||
U.S. Agency Commercial Mortgage-Backed | 6.48% | |||
Money Market Funds | 3.35% | |||
Foreign Government Obligations | 2.42% | |||
Municipal Bonds | 0.63% | |||
Common Stock | 0.24% | |||
Warrant | 0.07% | |||
Other* | (20.30)% | |||
Total | 100.00% |
FLOATING RATE INCOME FUND | ||||
Sector Diversification | ||||
Bank Loans | 83.74% | |||
U.S. Treasury Bills | 10.19% | |||
Corporate Bonds | 7.50% | |||
Money Market Funds | 2.53% | |||
Foreign Government Obligations | 1.48% | |||
Warrant | 0.05% | |||
Other* | (5.49)% | |||
Total | 100.00% | |||
| ||||
HIGH YIELD BOND FUND | ||||
Sector Diversification | ||||
Corporate Bonds | 73.22% | |||
Bank Loans | 18.01% | |||
U.S. Treasury Bills | 3.89% | |||
Non-Agency Mortgage-Backed | 2.38% | |||
Money Market Funds | 0.91% | |||
Non-Agency Commercial Mortgage-Backed | 0.23% | |||
Warrant | 0.03% | |||
Common Stock | 0.02% | |||
Other* | 1.31% | |||
Total | 100.00% | |||
| ||||
INTERMEDIATE BOND FUND | ||||
Sector Diversification | ||||
U.S. Treasury Securities | 50.58% | |||
Corporate Bonds | 25.45% | |||
U.S. Agency Mortgage-Backed | 12.68% | |||
Asset-Backed Securities | 6.79% | |||
Non-Agency Mortgage-Backed | 5.31% | |||
Non-Agency Commercial Mortgage-Backed | 2.14% | |||
Bank Loans | 1.46% | |||
U.S. Treasury Bills | 1.25% | |||
Municipal Bonds | 0.82% | |||
U.S. Agency Commercial Mortgage-Backed | 0.03% | |||
Common Stock | 0.00% | |||
Money Market Funds | 0.00% | |||
Other* | (6.51)% | |||
Total | 100.00% |
23 / Annual Report March 2021
Table of Contents
INVESTMENT GRADE CREDIT FUND | ||||
Sector Diversification | ||||
Corporate Bonds | 56.09% | |||
U.S. Treasury Securities | 17.06% | |||
Non-Agency Commercial Mortgage-Backed | 6.97% | |||
Asset-Backed Securities | 5.15% | |||
U.S. Agency Mortgage-Backed | 3.91% | |||
Non-Agency Mortgage-Backed | 3.65% | |||
Municipal Bonds | 2.70% | |||
U.S. Agency Commercial Mortgage-Backed | 2.27% | |||
Money Market Funds | 0.17% | |||
Other* | 2.03% | |||
Total | 100.00% | |||
| ||||
LOW DURATION BOND FUND | ||||
Sector Diversification | ||||
Corporate Bonds | 26.67% | |||
U.S. Agency Mortgage-Backed | 16.76% | |||
U.S. Treasury Securities | 14.35% | |||
Asset-Backed Securities | 13.42% | |||
Money Market Funds | 10.87% | |||
U.S. Agency Commercial Mortgage-Backed | 8.07% | |||
Non-Agency Mortgage-Backed | 6.68% | |||
Non-Agency Commercial Mortgage-Backed | 6.45% | |||
U.S. Treasury Bills | 3.43% | |||
Bank Loans | 1.69% | |||
Foreign Government Obligations | 0.88% | |||
Municipal Bonds | 0.59% | |||
Common Stock | 0.00% | |||
Purchased Swaptions | 0.00% | |||
Written Swaptions | 0.00% | |||
Other* | (9.86)% | |||
Total | 100.00% | |||
| ||||
STRATEGIC INCOME FUND | ||||
Sector Diversification | ||||
Non-Agency Mortgage-Backed | 29.53% | |||
Corporate Bonds | 27.17% | |||
Asset-Backed Securities | 15.09% | |||
U.S. Agency Commercial Mortgage-Backed | 6.21% | |||
Non-Agency Commercial Mortgage-Backed | 5.40% | |||
U.S. Treasury Bills | 5.14% | |||
U.S. Agency Mortgage-Backed | 3.07% | |||
Money Market Funds | 2.07% | |||
Municipal Bonds | 0.71% | |||
Common Stock | 0.30% | |||
Other* | 5.31% | |||
Total | 100.00% |
TOTAL RETURN BOND FUND | ||||
Sector Diversification | ||||
U.S. Treasury Securities | 40.17% | |||
U.S. Agency Mortgage-Backed | 35.57% | |||
Corporate Bonds | 21.28% | |||
Non-Agency Mortgage-Backed | 6.09% | |||
Money Market Funds | 4.16% | |||
Asset-Backed Securities | 3.71% | |||
U.S. Treasury Bills | 2.68% | |||
U.S. Agency Discount Notes | 1.89% | |||
Foreign Government Obligations | 1.62% | |||
Bank Loans | 1.48% | |||
Non-Agency Commercial Mortgage-Backed | 1.33% | |||
Municipal Bonds | 0.94% | |||
Repurchase Agreements | 0.58% | |||
U.S. Agency Commercial Mortgage-Backed | 0.21% | |||
Purchased Swaptions | 0.03% | |||
Purchased Options | 0.02% | |||
Common Stock | 0.00% | |||
Written Options | (0.03)% | |||
Other* | (21.73)% | |||
Total | 100.00% | |||
| ||||
ULTRA SHORT BOND FUND | ||||
Sector Diversification | ||||
Corporate Bonds | 23.40% | |||
U.S. Treasury Bills | 19.74% | |||
U.S. Agency Mortgage-Backed | 19.00% | |||
U.S. Treasury Securities | 14.73% | |||
Money Market Funds | 11.87% | |||
Asset-Backed Securities | 9.45% | |||
Non-Agency Mortgage-Backed | 5.76% | |||
U.S. Agency Commercial Mortgage-Backed | 5.75% | |||
Non-Agency Commercial Mortgage-Backed | 3.33% | |||
Foreign Government Obligations | 1.67% | |||
Municipal Bonds | 0.72% | |||
Bank Loans | 0.51% | |||
Other* | (15.93)% | |||
Total | 100.00% | |||
| ||||
UNCONSTRAINED BOND FUND | ||||
Sector Diversification | ||||
Corporate Bonds | 24.65% | |||
Non-Agency Mortgage-Backed | 23.92% | |||
U.S. Agency Mortgage-Backed | 14.04% | |||
Asset-Backed Securities | 12.77% | |||
U.S. Treasury Bills | 10.58% | |||
Non-Agency Commercial Mortgage-Backed | 6.13% | |||
U.S. Agency Commercial Mortgage-Backed | 5.14% | |||
Bank Loans | 4.50% | |||
Money Market Funds | 3.87% | |||
Foreign Government Obligations | 3.61% | |||
U.S. Treasury Securities | 0.96% | |||
Municipal Bonds | 0.64% | |||
Common Stock | 0.27% | |||
Other* | (11.08)% | |||
Total | 100.00% |
Annual Report March 2021 / 24
Table of Contents
* | 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 the 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 NPORT-P. Such filings occur no later than 60 days after the end of the Funds’ first and third quarters and are available on the SEC’s website at www.sec.gov.
25 / Annual Report March 2021
Table of Contents
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
BONDS – 59.48% |
| |||||||||||
ASSET-BACKED SECURITIES — 11.37%** |
| |||||||||||
Access Group, Inc., | ||||||||||||
Series 2015-1, Class A |
| |||||||||||
(LIBOR USD 1-Month plus 0.70%) |
| |||||||||||
0.81% | 07/25/56 | 1,2 | $ | 13,994 | $ | 13,976 | ||||||
Aimco CLO 11 Ltd., | ||||||||||||
Series 2020-11A, Class A1 |
| |||||||||||
(Cayman Islands) | ||||||||||||
(LIBOR USD 3-Month plus 1.38%) |
| |||||||||||
1.60% | 10/15/31 | 1,2,3 | 100,000 | 100,175 | ||||||||
AMMC CLO 23 Ltd., | ||||||||||||
Series 2020-23A, Class A1L |
| |||||||||||
(Cayman Islands) | ||||||||||||
(LIBOR USD 3-Month plus 1.40%) |
| |||||||||||
1.64% | 10/17/31 | 1,2,3 | 85,000 | 85,177 | ||||||||
Barings CLO Ltd., | ||||||||||||
Series 2013-IA, Class AR |
| |||||||||||
(Cayman Islands) | ||||||||||||
(LIBOR USD 3-Month plus 0.80%) |
| |||||||||||
1.02% | 01/20/28 | 1,2,3 | 68,294 | 68,184 | ||||||||
Barings CLO Ltd., | ||||||||||||
Series 2018-3A, Class A1 |
| |||||||||||
(Cayman Islands) | ||||||||||||
(LIBOR USD 3-Month plus 0.95%) |
| |||||||||||
1.17% | 07/20/29 | 1,2,3 | 85,000 | 84,960 | ||||||||
Bayview Commercial Asset Trust, |
| |||||||||||
Series 2004-3, Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.56%) |
| |||||||||||
0.66% | 01/25/35 | 1,2 | 10,261 | 10,105 | ||||||||
Brazos Higher Education Authority, Inc., |
| |||||||||||
Series 2010-1, Class A2 |
| |||||||||||
(LIBOR USD 3-Month plus 1.20%) |
| |||||||||||
1.39% | 02/25/35 | 2 | 215,000 | 220,121 | ||||||||
Cedar Funding XII CLO Ltd., |
| |||||||||||
Series 2020-12A, Class A |
| |||||||||||
(Cayman Islands) | ||||||||||||
(LIBOR USD 3-Month plus 1.27%) |
| |||||||||||
1.51% | 10/25/32 | 1,2,3 | 80,000 | 80,114 | ||||||||
Citibank Credit Card Issuance Trust, |
| |||||||||||
Series 2018-A6, Class A6 |
| |||||||||||
3.21% | 12/07/24 | 235,000 | 246,913 | |||||||||
Dryden XXVI Senior Loan Fund, |
| |||||||||||
Series 2013-26A, Class AR |
| |||||||||||
(Cayman Islands) | ||||||||||||
(LIBOR USD 3-Month plus 0.90%) |
| |||||||||||
1.14% | 04/15/29 | 1,2,3 | 50,000 | 49,910 | ||||||||
Eaton Vance CLO Ltd., |
| |||||||||||
Series 2020-1A, Class A |
| |||||||||||
(Cayman Islands) | ||||||||||||
(LIBOR USD 3-Month plus 1.65%) |
| |||||||||||
1.89% | 10/15/30 | 1,2,3 | 85,000 | 85,290 | ||||||||
Educational Funding of the South, Inc., |
| |||||||||||
Series 2011-1, Class A2 |
| |||||||||||
(LIBOR USD 3-Month plus 0.65%) |
| |||||||||||
0.87% | 04/25/35 | 2 | 2,489 | 2,483 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||
Educational Funding of the South, Inc., |
| |||||||||||
Series 2012-1, Class A |
| |||||||||||
(LIBOR USD 1-Month plus 1.05%) |
| |||||||||||
1.16% | 03/25/36 | 2 | $ | 27,667 | $ | 27,837 | ||||||
Ford Credit Floorplan Master Owner Trust A, |
| |||||||||||
Series 2019-3, Class A1 |
| |||||||||||
2.23% | 09/15/24 | 250,000 | 256,725 | |||||||||
GoldenTree Loan Management U.S. CLO 8 Ltd., |
| |||||||||||
Series 2020-8A, Class A |
| |||||||||||
(Cayman Islands) | ||||||||||||
(LIBOR USD 3-Month plus 1.55%) |
| |||||||||||
1.77% | 07/20/31 | 1,2,3 | 140,000 | 140,574 | ||||||||
Grand Avenue CRE, | ||||||||||||
Series 2019-FL1, Class A |
| |||||||||||
(Cayman Islands) | ||||||||||||
(LIBOR USD 1-Month plus 1.12%) |
| |||||||||||
1.23% | 06/15/37 | 1,2,3 | 115,923 | 115,990 | ||||||||
Higher Education Funding I, |
| |||||||||||
Series 2014-1, Class A |
| |||||||||||
(LIBOR USD 3-Month plus 1.05%) |
| |||||||||||
1.24% | 05/25/34 | 1,2 | 124,071 | 124,774 | ||||||||
JPMorgan Mortgage Acquisition Trust, |
| |||||||||||
Series 2005-WMC1, Class M3 |
| |||||||||||
(LIBOR USD 1-Month plus 0.71%) |
| |||||||||||
0.81% | 09/25/35 | 2 | 100,000 | 98,361 | ||||||||
LCM XIII LP, | ||||||||||||
Series 13A, Class ARR |
| |||||||||||
(Cayman Islands) | ||||||||||||
(LIBOR USD 3-Month plus 1.14%) |
| |||||||||||
1.36% | 07/19/27 | 1,2,3 | 80,000 | 80,043 | ||||||||
Magnetite XXVII Ltd., | ||||||||||||
Series 2020-27A, Class A1 |
| |||||||||||
(Cayman Islands) | ||||||||||||
(LIBOR USD 3-Month plus 1.55%) |
| |||||||||||
1.77% | 07/20/33 | 1,2,3 | 130,000 | 130,276 | ||||||||
MF1 Ltd., | ||||||||||||
Series 2020-FL4, Class A |
| |||||||||||
(LIBOR USD 1-Month plus 1.70%) |
| |||||||||||
1.81% | 11/15/35 | 1,2 | 220,000 | 222,395 | ||||||||
Navient Student Loan Trust, |
| |||||||||||
Series 2014-1, Class A3 |
| |||||||||||
(LIBOR USD 1-Month plus 0.51%) |
| |||||||||||
0.62% | 06/25/31 | 2 | 96,686 | 95,360 | ||||||||
Navient Student Loan Trust, |
| |||||||||||
Series 2017-2A, Class A |
| |||||||||||
(LIBOR USD 1-Month plus 1.05%) |
| |||||||||||
1.16% | 12/27/66 | 1,2 | 69,294 | 70,242 | ||||||||
Navient Student Loan Trust, |
| |||||||||||
Series 2017-4A, Class A2 |
| |||||||||||
(LIBOR USD 1-Month plus 0.50%) |
| |||||||||||
0.61% | 09/27/66 | 1,2 | 65,704 | 65,777 | ||||||||
Nelnet Student Loan Trust, |
| |||||||||||
Series 2014-3A, Class A |
| |||||||||||
(LIBOR USD 1-Month plus 0.58%) |
| |||||||||||
0.69% | 06/25/41 | 1,2 | 15,511 | 15,398 |
See accompanying Notes to Financial Statements. |
Annual Report March 2021 / 26 |
Table of Contents
AlphaTrak 500 Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||
North Carolina State Education Authority, |
| |||||||||||
Series 2011-1, Class A3 |
| |||||||||||
(LIBOR USD 3-Month plus 0.90%) | ||||||||||||
1.12% | 10/25/41 | 2 | $ | 9,882 | $ | 9,990 | ||||||
OCP CLO Ltd., | ||||||||||||
Series 2017-14A, Class A1A |
| |||||||||||
(Cayman Islands) | ||||||||||||
(LIBOR USD 3-Month plus 1.15%) |
| |||||||||||
1.33% | 11/20/30 | 1,2,3 | 85,000 | 85,058 | ||||||||
OHA Credit Funding 7 Ltd., |
| |||||||||||
Series 2020-7A, Class A |
| |||||||||||
(Cayman Islands) | ||||||||||||
(LIBOR USD 3-Month plus 1.25%) |
| |||||||||||
1.47% | 10/19/32 | 1,2,3 | 80,000 | 80,099 | ||||||||
Palmer Square CLO Ltd., |
| |||||||||||
Series 2014-1A, Class A1R2 |
| |||||||||||
(Cayman Islands) | ||||||||||||
(LIBOR USD 3-Month plus 1.13%) |
| |||||||||||
1.35% | 01/17/31 | 1,2,3 | 85,000 | 85,048 | ||||||||
PHEAA Student Loan Trust, |
| |||||||||||
Series 2016-1A, Class A |
| |||||||||||
(LIBOR USD 1-Month plus 1.15%) |
| |||||||||||
1.26% | 09/25/65 | 1,2 | 65,936 | 66,483 | ||||||||
Rockford Tower CLO Ltd., |
| |||||||||||
Series 2017-3A, Class A |
| |||||||||||
(Cayman Islands) | ||||||||||||
(LIBOR USD 3-Month plus 1.19%) |
| |||||||||||
1.41% | 10/20/30 | 1,2,3 | 130,000 | 130,032 | ||||||||
SLM Student Loan Trust, |
| |||||||||||
Series 2003-10A, Class A3 |
| |||||||||||
(LIBOR USD 3-Month plus 0.47%) |
| |||||||||||
0.65% | 12/15/27 | 1,2 | 26,004 | 26,015 | ||||||||
SLM Student Loan Trust, |
| |||||||||||
Series 2003-11, Class A6 |
| |||||||||||
(LIBOR USD 3-Month plus 0.55%) |
| |||||||||||
0.73% | 12/15/25 | 1,2 | 33,786 | 33,793 | ||||||||
SLM Student Loan Trust, |
| |||||||||||
Series 2004-1, Class A4 |
| |||||||||||
(LIBOR USD 3-Month plus 0.26%) |
| |||||||||||
0.48% | 10/27/25 | 2 | 44,157 | 43,995 | ||||||||
SLM Student Loan Trust, |
| |||||||||||
Series 2005-4, Class A3 |
| |||||||||||
(LIBOR USD 3-Month plus 0.12%) |
| |||||||||||
0.34% | 01/25/27 | 2 | 63,294 | 63,166 | ||||||||
SLM Student Loan Trust, |
| |||||||||||
Series 2005-5, Class A4 |
| |||||||||||
(LIBOR USD 3-Month plus 0.14%) |
| |||||||||||
0.36% | 10/25/28 | 2 | 124,760 | 124,144 | ||||||||
SLM Student Loan Trust, |
| |||||||||||
Series 2005-8, Class A4 |
| |||||||||||
(LIBOR USD 3-Month plus 0.55%) |
| |||||||||||
0.77% | 01/25/28 | 2 | 12,758 | 12,762 | ||||||||
SLM Student Loan Trust, |
| |||||||||||
Series 2007-6, Class A4 |
| |||||||||||
(LIBOR USD 3-Month plus 0.38%) |
| |||||||||||
0.60% | 10/25/24 | 2 | 9,891 | 9,890 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||
SLM Student Loan Trust, |
| |||||||||||
Series 2008-5, Class A4 |
| |||||||||||
(LIBOR USD 3-Month plus 1.70%) |
| |||||||||||
1.92% | 07/25/23 | 2 | $ | 111,612 | $ | 112,435 | ||||||
SLM Student Loan Trust, |
| |||||||||||
Series 2008-6, Class A4 |
| |||||||||||
(LIBOR USD 3-Month plus 1.10%) |
| |||||||||||
1.32% | 07/25/23 | 2 | 155,473 | 155,169 | ||||||||
SLM Student Loan Trust, |
| |||||||||||
Series 2008-9, Class A |
| |||||||||||
(LIBOR USD 3-Month plus 1.50%) |
| |||||||||||
1.72% | 04/25/23 | 2 | 41,830 | 42,054 | ||||||||
SLM Student Loan Trust, |
| |||||||||||
Series 2011-2, Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.60%) |
| |||||||||||
0.71% | 11/25/27 | 2 | 2,156 | 2,158 | ||||||||
SLM Student Loan Trust, |
| |||||||||||
Series 2012-1, Class A3 |
| |||||||||||
(LIBOR USD 1-Month plus 0.95%) |
| |||||||||||
1.06% | 09/25/28 | 2 | 154,385 | 152,694 | ||||||||
SLM Student Loan Trust, |
| |||||||||||
Series 2012-2, Class A |
| |||||||||||
(LIBOR USD 1-Month plus 0.70%) |
| |||||||||||
0.81% | 01/25/29 | 2 | 89,128 | 86,556 | ||||||||
SLM Student Loan Trust, |
| |||||||||||
Series 2013-4, Class A |
| |||||||||||
(LIBOR USD 1-Month plus 0.55%) |
| |||||||||||
0.66% | 06/25/43 | 2 | 6,248 | 6,243 | ||||||||
Toyota Auto Receivables Owner Trust, |
| |||||||||||
Series 2018-B, Class A4 |
| |||||||||||
3.11% | 11/15/23 | 270,000 | 277,341 | |||||||||
Voya CLO Ltd., | ||||||||||||
Series 2014-3A, Class A1R |
| |||||||||||
(Cayman Islands) | ||||||||||||
(LIBOR USD 3-Month plus 0.72%) |
| |||||||||||
0.94% | 07/25/26 | 1,2,3 | 5,516 | 5,516 | ||||||||
Voya CLO Ltd., | ||||||||||||
Series 2020-2A, Class A1 |
| |||||||||||
(Cayman Islands) | ||||||||||||
(LIBOR USD 3-Month plus 1.60%) |
| |||||||||||
1.82% | 07/19/31 | 1,2,3 | 80,000 | 80,157 | ||||||||
|
| |||||||||||
Total Asset-Backed Securities |
| |||||||||||
(Cost $4,172,230) | 4,181,958 | |||||||||||
|
| |||||||||||
CORPORATES — 25.97%* |
| |||||||||||
Banking — 4.23% | ||||||||||||
Bank of America Corp. |
| |||||||||||
3.00% | 12/20/23 | 4 | 91,000 | 94,676 | ||||||||
Discover Bank | ||||||||||||
(BKNT) | ||||||||||||
4.20% | 08/08/23 | 125,000 | 135,065 | |||||||||
HSBC Holdings PLC | ||||||||||||
(United Kingdom) | ||||||||||||
(LIBOR USD 3-Month plus 1.00%) |
| |||||||||||
1.19% | 05/18/24 | 2,3 | 85,000 | 85,947 | ||||||||
JPMorgan Chase & Co. |
| |||||||||||
3.21% | 04/01/23 | 4 | 200,000 | 205,458 |
See accompanying Notes to Financial Statements. |
27 / Annual Report March 2021 |
Table of Contents
AlphaTrak 500 Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Banking (continued) |
| |||||||||||
Lloyds Banking Group PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
2.91% | 11/07/23 | 3,4 | $ | 200,000 | $ | 207,156 | ||||||
Macquarie Group Ltd. |
| |||||||||||
(Australia) |
| |||||||||||
1.34% | 01/12/27 | 1,3,4 | 70,000 | 68,733 | ||||||||
Santander UK Group Holdings PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
4.80% | 11/15/24 | 3,4 | 75,000 | 82,581 | ||||||||
Wells Fargo Bank N.A. |
| |||||||||||
(BKNT) |
| |||||||||||
2.08% | 09/09/22 | 4 | 670,000 | 675,131 | ||||||||
|
| |||||||||||
1,554,747 | ||||||||||||
|
| |||||||||||
Communications — 2.52% |
| |||||||||||
AT&T, Inc. | ||||||||||||
(LIBOR USD 3-Month plus 1.18%) |
| |||||||||||
1.36% | 06/12/24 | 2 | 175,000 | 178,815 | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. |
| |||||||||||
4.50% | 05/01/32 | 1 | 19,000 | 19,266 | ||||||||
Charter Communications Operating LLC/Charter |
| |||||||||||
Communications Operating Capital |
| |||||||||||
(LIBOR USD 3-Month plus 1.65%) |
| |||||||||||
1.86% | 02/01/24 | 2 | 125,000 | 128,474 | ||||||||
Intelsat Jackson Holdings SA |
| |||||||||||
(Luxembourg) |
| |||||||||||
8.50% | 10/15/24 | 1,3,5,6 | 20,000 | 12,713 | ||||||||
9.75% | 07/15/25 | 1,3,5,6 | 61,000 | 38,271 | ||||||||
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint |
| |||||||||||
Spectrum Co. III LLC |
| |||||||||||
3.36% | 09/20/21 | 1 | 100,000 | 101,000 | ||||||||
4.74% | 03/20/25 | 1 | 135,000 | 144,967 | ||||||||
5.15% | 03/20/28 | 1 | 50,000 | 57,125 | ||||||||
T-Mobile USA, Inc. | ||||||||||||
2.25% | 02/15/26 | 113,000 | 113,320 | |||||||||
2.63% | 04/15/26 | 124,000 | 125,945 | |||||||||
Virgin Media Secured Finance PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
5.50% | 05/15/29 | 1,3 | 5,000 | 5,314 | ||||||||
|
| |||||||||||
925,210 | ||||||||||||
|
| |||||||||||
Consumer Discretionary — 0.31% |
| |||||||||||
Imperial Brands Finance PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
3.75% | 07/21/22 | 1,3 | 110,000 | 113,713 | ||||||||
|
| |||||||||||
Electric — 2.07% | ||||||||||||
Alliant Energy Finance LLC |
| |||||||||||
3.75% | 06/15/23 | 1 | 140,000 | 149,245 | ||||||||
Dominion Energy, Inc., |
| |||||||||||
Series B |
| |||||||||||
2.75% | 09/15/22 | 150,000 | 153,912 | |||||||||
Duquesne Light Holdings, Inc. |
| |||||||||||
5.90% | 12/01/21 | 1 | 50,000 | 51,640 | ||||||||
El Paso Electric Co. |
| |||||||||||
3.30% | 12/15/22 | 50,000 | 50,960 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Electric (continued) | ||||||||||||
Evergy, Inc. | ||||||||||||
4.85% | 06/01/21 | $ | 100,000 | $ | 100,000 | |||||||
FirstEnergy Transmission LLC |
| |||||||||||
2.87% | 09/15/28 | 1 | 128,000 | 129,248 | ||||||||
NextEra Energy Capital Holdings, Inc. |
| |||||||||||
2.40% | 09/01/21 | 30,000 | 30,260 | |||||||||
(LIBOR USD 3-Month plus 0.48%) |
| |||||||||||
0.67% | 05/04/21 | 2 | 55,000 | 55,016 | ||||||||
(LIBOR USD 3-Month plus 0.55%) |
| |||||||||||
0.74% | 08/28/21 | 2 | 40,000 | 40,012 | ||||||||
|
| |||||||||||
760,293 | ||||||||||||
|
| |||||||||||
Energy — 1.42% | ||||||||||||
Antero Resources Corp. | ||||||||||||
8.38% | 07/15/26 | 1 | 15,000 | 16,575 | ||||||||
Energy Transfer Operating LP |
| |||||||||||
5.50% | 06/01/27 | 12,000 | 13,856 | |||||||||
NGPL Pipe Co. LLC | ||||||||||||
4.38% | 08/15/22 | 1 | 150,000 | 155,743 | ||||||||
Plains All American Pipeline LP/PAA Finance Corp. |
| |||||||||||
4.65% | 10/15/25 | 125,000 | 137,723 | |||||||||
Sunoco Logistics Partners Operations LP |
| |||||||||||
4.25% | 04/01/24 | 150,000 | 162,569 | |||||||||
Transocean Phoenix 2 Ltd. |
| |||||||||||
(Cayman Islands) |
| |||||||||||
7.75% | 10/15/24 | 1,3 | 12,600 | 12,254 | ||||||||
Transocean Pontus Ltd. | ||||||||||||
(Cayman Islands) | ||||||||||||
6.13% | 08/01/25 | 1,3 | 4,350 | 4,119 | ||||||||
Transocean Poseidon Ltd. |
| |||||||||||
(Cayman Islands) |
| |||||||||||
6.88% | 02/01/27 | 1,3 | 18,000 | 16,671 | ||||||||
Transocean Proteus Ltd. |
| |||||||||||
(Cayman Islands) |
| |||||||||||
6.25% | 12/01/24 | 1,3 | 2,400 | 2,286 | ||||||||
|
| |||||||||||
521,796 | ||||||||||||
|
| |||||||||||
Entertainment — 0.03% |
| |||||||||||
Live Nation Entertainment, Inc. |
| |||||||||||
4.75% | 10/15/27 | 1 | 11,000 | 11,100 | ||||||||
|
| |||||||||||
Finance — 6.25% | ||||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust |
| |||||||||||
(Ireland) |
| |||||||||||
4.45% | 12/16/21 | 3 | 150,000 | 153,474 | ||||||||
Air Lease Corp. | ||||||||||||
2.25% | 01/15/23 | 75,000 | 77,016 | |||||||||
3.50% | 01/15/22 | 65,000 | 66,476 | |||||||||
Avolon Holdings Funding Ltd. |
| |||||||||||
(Cayman Islands) |
| |||||||||||
5.13% | 10/01/23 | 1,3 | 5,000 | 5,334 | ||||||||
Citigroup, Inc. | ||||||||||||
2.88% | 07/24/23 | 4 | 225,000 | 231,957 | ||||||||
(LIBOR USD 3-Month plus 0.95%) |
| |||||||||||
1.17% | 07/24/23 | 2 | 30,000 | 30,249 |
See accompanying Notes to Financial Statements. |
Annual Report March 2021 / 28 |
Table of Contents
AlphaTrak 500 Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Finance (continued) | ||||||||||||
Daimler Finance North America LLC |
| |||||||||||
(LIBOR USD 3-Month plus 0.90%) |
| |||||||||||
1.09% | 02/15/22 | 1,2 | $ | 150,000 | $ | 151,024 | ||||||
Ford Motor Credit Co. LLC |
| |||||||||||
3.81% | 10/12/21 | 35,000 | 35,437 | |||||||||
(LIBOR USD 3-Month plus 0.81%) |
| |||||||||||
1.05% | 04/05/21 | 2 | 45,000 | 45,000 | ||||||||
General Motors Financial Co., Inc. |
| |||||||||||
4.20% | 11/06/21 | 60,000 | 61,310 | |||||||||
4.38% | 09/25/21 | 135,000 | 137,513 | |||||||||
Goldman Sachs Group, Inc. (The) |
| |||||||||||
2.88% | 10/31/22 | 4 | 170,000 | 172,264 | ||||||||
Goldman Sachs Group, Inc. (The) (MTN) |
| |||||||||||
(LIBOR USD 3-Month plus 1.60%) |
| |||||||||||
1.79% | 11/29/23 | 2 | 75,000 | 77,123 | ||||||||
Goldman Sachs Group, Inc. (The), Series FXD |
| |||||||||||
0.48% | 01/27/23 | 275,000 | 274,720 | |||||||||
Intercontinental Exchange, Inc. |
| |||||||||||
(LIBOR USD 3-Month plus 0.65%) |
| |||||||||||
0.83% | 06/15/23 | 2 | 140,000 | 140,254 | ||||||||
Morgan Stanley | ||||||||||||
(LIBOR USD 3-Month plus 0.93%) |
| |||||||||||
1.15% | 07/22/22 | 2 | 200,000 | 200,460 | ||||||||
Morgan Stanley (MTN) | ||||||||||||
0.53% | 01/25/24 | 4 | 150,000 | 149,774 | ||||||||
Nationwide Building Society (United Kingdom) |
| �� | ||||||||||
3.62% | 04/26/23 | 1,3,4 | 90,000 | 92,862 | ||||||||
4.36% | 08/01/24 | 1,3,4 | 75,000 | 81,019 | ||||||||
Park Aerospace Holdings Ltd. (Cayman Islands) |
| |||||||||||
4.50% | 03/15/23 | 1,3 | 110,000 | 114,933 | ||||||||
|
| |||||||||||
2,298,199 | ||||||||||||
|
| |||||||||||
Food — 0.53% | ||||||||||||
Kraft Heinz Foods Co. |
| |||||||||||
4.00% | 06/15/23 | 75,000 | 80,268 | |||||||||
Smithfield Foods, Inc. |
| |||||||||||
3.35% | 02/01/22 | 1 | 115,000 | 116,478 | ||||||||
|
| |||||||||||
196,746 | ||||||||||||
|
| |||||||||||
Health Care — 3.06% |
| |||||||||||
AbbVie, Inc. |
| |||||||||||
3.45% | 03/15/22 | 50,000 | 51,160 | |||||||||
3.75% | 11/14/23 | 125,000 | 134,699 | |||||||||
5.00% | 12/15/21 | 40,000 | 40,802 | |||||||||
Bayer U.S. Finance II LLC |
| |||||||||||
2.20% | 07/15/22 | 1 | 150,000 | 152,376 | ||||||||
2.75% | 07/15/21 | 1 | 90,000 | 90,515 | ||||||||
Centene Corp. | ||||||||||||
5.38% | 08/15/26 | 1 | 10,000 | 10,574 | ||||||||
Dignity Health |
| |||||||||||
3.13% | 11/01/22 | 50,000 | 51,776 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Health Care (continued) |
| |||||||||||
Fresenius Medical Care U.S. Finance II, Inc. |
| |||||||||||
5.88% | 01/31/22 | 1 | $ | 100,000 | $ | 104,076 | ||||||
Fresenius U.S. Finance II, Inc. |
| |||||||||||
4.50% | 01/15/23 | 1 | 75,000 | 78,655 | ||||||||
HCA, Inc. |
| |||||||||||
5.00% | 03/15/24 | 75,000 | 83,582 | |||||||||
Humana, Inc. |
| |||||||||||
3.85% | 10/01/24 | 130,000 | 142,099 | |||||||||
Royalty Pharma PLC (United Kingdom) |
| |||||||||||
0.75% | 09/02/23 | 1,3 | 85,000 | 84,921 | ||||||||
Viatris, Inc. | ||||||||||||
1.13% | 06/22/22 | 1 | 100,000 | 100,599 | ||||||||
|
| |||||||||||
1,125,834 | ||||||||||||
|
| |||||||||||
Industrials — 1.17% | �� | |||||||||||
Amcor Flexibles North America, Inc. |
| |||||||||||
4.50% | 10/15/21 | 160,000 | 161,771 | |||||||||
Berry Global, Inc. | ||||||||||||
0.95% | 02/15/24 | 1 | 110,000 | 109,547 | ||||||||
General Electric Co. (MTN) |
| |||||||||||
(LIBOR USD 3-Month plus 0.38%) |
| |||||||||||
0.58% | 05/05/26 | 2 | 30,000 | 29,230 | ||||||||
(LIBOR USD 3-Month plus 0.48%) |
| |||||||||||
0.67% | 08/15/36 | 2 | 75,000 | 60,770 | ||||||||
General Electric Co., |
| |||||||||||
Series NOTZ (MTN) |
| |||||||||||
(LIBOR USD 3-Month plus 1.00%) |
| |||||||||||
1.24% | 04/15/23 | 2 | 50,000 | 50,429 | ||||||||
Mauser Packaging Solutions Holding Co. |
| |||||||||||
5.50% | 04/15/24 | 1 | 5,000 | 5,075 | ||||||||
PowerTeam Services LLC |
| |||||||||||
9.03% | 12/04/25 | 1 | 9,000 | 9,934 | ||||||||
Sealed Air Corp. |
| |||||||||||
4.00% | 12/01/27 | 1 | 5,000 | 5,137 | ||||||||
|
| |||||||||||
431,893 | ||||||||||||
|
| |||||||||||
Information Technology — 0.03% |
| |||||||||||
NXP BV/NXP Funding LLC (Netherlands) |
| |||||||||||
4.63% | 06/01/23 | 1,3 | 10,000 | 10,833 | ||||||||
|
| |||||||||||
Insurance — 0.16% |
| |||||||||||
Nationwide Mutual Insurance Co. |
| |||||||||||
2.47% | 12/15/24 | 1,4 | 60,000 | 59,967 | ||||||||
|
| |||||||||||
Real Estate Investment Trust (REIT) — 2.61% |
| |||||||||||
American Campus Communities Operating Partnership LP |
| |||||||||||
3.75% | 04/15/23 | 115,000 | 121,643 | |||||||||
Camden Property Trust |
| |||||||||||
2.95% | 12/15/22 | 55,000 | 57,013 | |||||||||
CyrusOne LP/CyrusOne Finance Corp. |
| |||||||||||
2.90% | 11/15/24 | 140,000 | 148,175 | |||||||||
GLP Capital LP/GLP Financing II, Inc. |
| |||||||||||
3.35% | 09/01/24 | 25,000 | 26,537 | |||||||||
5.38% | 11/01/23 | 85,000 | 93,048 |
See accompanying Notes to Financial Statements. |
29 / Annual Report March 2021 |
Table of Contents
AlphaTrak 500 Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Real Estate Investment Trust (REIT) (continued) |
| |||||||||||
Kimco Realty Corp. |
| |||||||||||
3.40% | 11/01/22 | $ | 100,000 | $ | 104,202 | |||||||
MGM Growth Properties Operating Partnership LP/MGP |
| |||||||||||
Finance Co.-Issuer, Inc. |
| |||||||||||
4.50% | 01/15/28 | 6,000 | 6,223 | |||||||||
Post Apartment Homes LP |
| |||||||||||
3.38% | 12/01/22 | 75,000 | 77,929 | |||||||||
SL Green Operating Partnership LP |
| |||||||||||
3.25% | 10/15/22 | 50,000 | 51,840 | |||||||||
(LIBOR USD 3-Month plus 0.98%) |
| |||||||||||
1.17% | 08/16/21 | 2 | 115,000 | 115,004 | ||||||||
WEA Finance LLC |
| |||||||||||
3.15% | 04/05/22 | 1 | 50,000 | 51,003 | ||||||||
Welltower, Inc. |
| |||||||||||
3.75% | 03/15/23 | 100,000 | 105,638 | |||||||||
|
| |||||||||||
958,255 | ||||||||||||
|
| |||||||||||
Retail — 0.33% |
| |||||||||||
7-Eleven, Inc. |
| |||||||||||
(LIBOR USD 3-Month plus 0.45%) |
| |||||||||||
0.65% | 08/10/22 | 1,2 | 90,000 | 90,097 | ||||||||
Alimentation Couche-Tard, Inc. |
| |||||||||||
(Canada) |
| |||||||||||
2.70% | 07/26/22 | 1,3 | 30,000 | 30,805 | ||||||||
|
| |||||||||||
120,902 | ||||||||||||
|
| |||||||||||
Services — 0.33% |
| |||||||||||
IHS Markit Ltd. |
| |||||||||||
(Bermuda) |
| |||||||||||
5.00% | 11/01/22 | 1,3 | 115,000 | 121,316 | ||||||||
|
| |||||||||||
Transportation — 0.92% |
| |||||||||||
Aviation Capital Group LLC |
| |||||||||||
(LIBOR USD 3-Month plus 0.95%) |
| |||||||||||
1.14% | 06/01/21 | 1,2 | 100,000 | 100,008 | ||||||||
Continental Airlines Pass-Through Trust, |
| |||||||||||
Series 2000-2, Class A1 |
| |||||||||||
7.71% | 04/02/21 | 6,868 | 6,868 | |||||||||
Continental Airlines Pass-Through Trust, |
| |||||||||||
Series 2007-1, Class A |
| |||||||||||
5.98% | 04/19/22 | 103,755 | 105,936 | |||||||||
Northwest Airlines Pass-Through Trust, |
| |||||||||||
Series 2001-1, Class A1 |
| |||||||||||
7.04% | 04/01/22 | 80,561 | 83,122 | |||||||||
U.S. Airways Pass-Through Trust, |
| |||||||||||
Series 2012-1, Class A |
| |||||||||||
5.90% | 10/01/24 | 39,925 | 41,322 | |||||||||
|
| |||||||||||
337,256 | ||||||||||||
|
| |||||||||||
Total Corporates |
| |||||||||||
(Cost $9,444,466) |
| 9,548,060 | ||||||||||
|
| |||||||||||
MORTGAGE-BACKED — 20.61%** |
| |||||||||||
Non-Agency Commercial Mortgage-Backed — 4.87% |
| |||||||||||
1345 Avenue of the Americas & Park Avenue Plaza Trust, |
| |||||||||||
Series 2005-1, Class A3 |
| |||||||||||
5.28% | 08/10/35 | 1 | 48,402 | 50,748 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Commercial Mortgage-Backed (continued) |
| |||||||||||
BFLD Trust, |
| |||||||||||
Series 2020-EYP, Class A |
| |||||||||||
(LIBOR USD 1-Month plus 1.15%) |
| |||||||||||
1.26% | 10/15/35 | 1,2 | $ | 125,000 | $ | 126,074 | ||||||
BXMT Ltd., |
| |||||||||||
Series 2020-FL3, Class A |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 1-Month plus 1.40%) |
| |||||||||||
1.51% | 03/15/37 | 1,2,3 | 410,000 | 411,739 | ||||||||
Citigroup Commercial Mortgage Trust, |
| |||||||||||
Series 2012-GC8, Class AAB |
| |||||||||||
2.61% | 09/10/45 | 36,536 | 36,988 | |||||||||
Citigroup Commercial Mortgage Trust, |
| |||||||||||
Series 2013-GC11, Class AAB |
| |||||||||||
2.69% | 04/10/46 | 47,865 | 48,739 | |||||||||
Citigroup Commercial Mortgage Trust, |
| |||||||||||
Series 2015-GC29, Class AAB |
| |||||||||||
2.98% | 04/10/48 | 71,940 | 74,969 | |||||||||
Citigroup Commercial Mortgage Trust, |
| |||||||||||
Series 2015-P1, Class AAB |
| |||||||||||
3.47% | 09/15/48 | 48,350 | 51,172 | |||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2012-CR3, Class ASB |
| |||||||||||
2.37% | 10/15/45 | 17,065 | 17,271 | |||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2012-CR4, Class XA (IO) |
| |||||||||||
1.67% | 10/15/45 | 4 | 323,627 | 6,408 | ||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2013-CR11, Class ASB |
| |||||||||||
3.66% | 08/10/50 | 11,215 | 11,635 | |||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2013-CR7, Class XA (IO) |
| |||||||||||
1.21% | 03/10/46 | 4 | 1,245,638 | 23,920 | ||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2013-LC6, Class XB (IO) |
| |||||||||||
0.38% | 01/10/46 | 1,4 | 1,750,000 | 11,938 | ||||||||
CSAIL Commercial Mortgage Trust, |
| |||||||||||
Series 2017-CX9, Class A2 |
| |||||||||||
3.05% | 09/15/50 | 150,000 | 154,156 | |||||||||
GS Mortgage Securities Trust, |
| |||||||||||
Series 2010-C1, Class X (IO) |
| |||||||||||
0.74% | 08/10/43 | 1,4 | 3,074,310 | 37,233 | ||||||||
GS Mortgage Securities Trust, |
| |||||||||||
Series 2011-GC3, Class X (IO) |
| |||||||||||
0.17% | 03/10/44 | 1,4 | 2,797,443 | 1,127 | ||||||||
GS Mortgage Securities Trust, |
| |||||||||||
Series 2012-GCJ7, Class A4 |
| |||||||||||
3.38% | 05/10/45 | 54,159 | 54,504 | |||||||||
JPMBB Commercial Mortgage Securities Trust, |
| |||||||||||
Series 2013-C17, Class XA (IO) |
| |||||||||||
0.74% | 01/15/47 | 4 | 1,653,669 | 28,230 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, |
| |||||||||||
Series 2012-C6, Class ASB |
| |||||||||||
3.14% | 05/15/45 | 59,082 | 59,922 |
See accompanying Notes to Financial Statements. |
Annual Report March 2021 / 30 |
Table of Contents
AlphaTrak 500 Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Commercial Mortgage-Backed (continued) |
| |||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, |
| |||||||||||
Series 2013-C13, Class XA (IO) |
| |||||||||||
0.11% | 01/15/46 | 4 | $ | 8,589,776 | $ | 20,973 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, |
| |||||||||||
Series 2013-LC11, Class XA (IO) |
| |||||||||||
1.25% | 04/15/46 | 4 | 3,258,726 | 66,749 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, |
| |||||||||||
Series 2015-JP1, Class XA (IO) |
| |||||||||||
0.92% | 01/15/49 | 4,7,8 | 736,356 | 25,906 | ||||||||
LB-UBS Commercial Mortgage Trust, |
| |||||||||||
Series 2006-C6, Class XCL (IO) |
| |||||||||||
0.69% | 09/15/39 | 1,4 | 514,016 | 1,134 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, |
| |||||||||||
Series 2013-C13, Class ASB |
| |||||||||||
3.56% | 11/15/46 | 11,875 | 12,286 | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, |
| |||||||||||
Series 2014-C14, Class XA (IO) |
| |||||||||||
1.00% | 02/15/47 | 4 | 1,312,967 | 29,510 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, |
| |||||||||||
Series 2015-C26, Class ASB |
| |||||||||||
3.32% | 10/15/48 | 73,092 | 77,172 | |||||||||
TMSQ Mortgage Trust, |
| |||||||||||
Series 2014-1500, Class XA (IO) |
| |||||||||||
0.15% | 10/10/36 | 1,4 | 14,000,000 | 85,989 | ||||||||
UBS-Barclays Commercial Mortgage Trust, |
| |||||||||||
Series 2012-C3, Class XB (IO) |
| |||||||||||
0.20% | 08/10/49 | 1,4,7,8 | 3,000,000 | 9,744 | ||||||||
Wells Fargo Commercial Mortgage Trust, |
| |||||||||||
Series 2014-LC16, Class A4 |
| |||||||||||
3.55% | 08/15/50 | 168,100 | 175,612 | |||||||||
WF-RBS Commercial Mortgage Trust, |
| |||||||||||
Series 2011-C5, Class XA (IO) |
| |||||||||||
1.67% | 11/15/44 | 1,4 | 5,255,405 | 9,878 | ||||||||
WF-RBS Commercial Mortgage Trust, |
| |||||||||||
Series 2014-C21, Class ASB |
| |||||||||||
3.39% | 08/15/47 | 38,335 | 39,798 | |||||||||
WF-RBS Commercial Mortgage Trust, |
| |||||||||||
Series 2014-LC14, Class ASB |
| |||||||||||
3.52% | 03/15/47 | 28,693 | 29,690 | |||||||||
|
| |||||||||||
1,791,214 | ||||||||||||
|
| |||||||||||
Non-Agency Mortgage-Backed — 6.84% |
| |||||||||||
Alternative Loan Trust, |
| |||||||||||
Series 2005-J4, Class M2 |
| |||||||||||
(LIBOR USD 1-Month plus 0.96%) |
| |||||||||||
1.07% | 07/25/35 | 2 | 107,112 | 107,190 | ||||||||
Alternative Loan Trust, |
| |||||||||||
Series 2007-22, Class 2A16 |
| |||||||||||
6.50% | 09/25/37 | 215,660 | 130,570 | |||||||||
Asset-Backed Funding Certificates, |
| |||||||||||
Series 2006-OPT1, Class A2 |
| |||||||||||
(LIBOR USD 1-Month plus 0.28%) |
| |||||||||||
0.39% | 09/25/36 | 2 | 13,659 | 13,568 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Mortgage-Backed (continued) |
| |||||||||||
Banc of America Funding Trust, |
| |||||||||||
Series 2006-G, Class 2A4 |
| |||||||||||
(LIBOR USD 1-Month plus 0.58%) |
| |||||||||||
0.69% | 07/20/36 | 2 | $ | 15,395 | $ | 15,423 | ||||||
Banc of America Funding Trust, |
| |||||||||||
Series 2014-R7, Class 1A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.15%) |
| |||||||||||
0.26% | 05/26/36 | 1,2 | 61,595 | 59,825 | ||||||||
Banc of America Funding Trust, |
| |||||||||||
Series 2015-R7, Class 1A1 |
| |||||||||||
(Federal Reserve US 12-Month Cumulative Average plus 0.92%) |
| |||||||||||
1.30% | 09/26/46 | 1,2 | 87,115 | 87,258 | ||||||||
Centex Home Equity Loan Trust, |
| |||||||||||
Series 2005-B, Class M2 |
| |||||||||||
(LIBOR USD 1-Month plus 0.65%) |
| |||||||||||
0.75% | 03/25/35 | 2 | 181,946 | 180,396 | ||||||||
Centex Home Equity Loan Trust, |
| |||||||||||
Series 2005-D, Class M4 |
| |||||||||||
(LIBOR USD 1-Month plus 0.92%) |
| |||||||||||
1.02% | 10/25/35 | 2 | 182,000 | 182,787 | ||||||||
CIM Trust, |
| |||||||||||
Series 2019-R1, Class A |
| |||||||||||
3.25% | 10/25/58 | 1,4 | 131,132 | 122,046 | ||||||||
Countrywide Asset-Backed Certificates Trust, |
| |||||||||||
Series 2007-13, Class 2A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.90%) |
| |||||||||||
1.01% | 10/25/47 | 2 | 86,201 | 85,817 | ||||||||
Countrywide Home Loan Mortgage Pass-Through Trust, |
| |||||||||||
Series 2005-9, Class 1A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.60%) |
| |||||||||||
0.71% | 05/25/35 | 2 | 53,913 | 46,603 | ||||||||
Credit-Based Asset Servicing and Securitization LLC, |
| |||||||||||
Series 2003-CB1, Class AF (STEP-reset date 05/25/21) |
| |||||||||||
3.95% | 01/25/33 | 9,645 | 9,852 | |||||||||
Credit-Based Asset Servicing and Securitization LLC, |
| |||||||||||
Series 2003-CB5, Class M1 |
| |||||||||||
(LIBOR USD 1-Month plus 1.02%) |
| |||||||||||
1.13% | 11/25/33 | 2 | 12,693 | 12,583 | ||||||||
DSLA Mortgage Loan Trust, |
| |||||||||||
Series 2004-AR3, Class 2A2A |
| |||||||||||
(LIBOR USD 1-Month plus 0.74%) |
| |||||||||||
0.85% | 07/19/44 | 2 | 3,127 | 3,020 | ||||||||
Encore Credit Receivables Trust, |
| |||||||||||
Series 2005-4, Class M2 |
| |||||||||||
(LIBOR USD 1-Month plus 0.66%) |
| |||||||||||
0.77% | 01/25/36 | 2 | 54,106 | 54,150 | ||||||||
First Franklin Mortgage Loan Trust, |
| |||||||||||
Series 2006-FF4, Class A3 |
| |||||||||||
(LIBOR USD 1-Month plus 0.56%) |
| |||||||||||
0.67% | 03/25/36 | 2 | 79,434 | 77,239 | ||||||||
GMACM Mortgage Corp. Loan Trust, |
| |||||||||||
Series 2006-AR1, Class 1A1 |
| |||||||||||
3.13% | 04/19/36 | 4 | 78,739 | 69,721 |
See accompanying Notes to Financial Statements. |
31 / Annual Report March 2021 |
Table of Contents
AlphaTrak 500 Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Mortgage-Backed (continued) |
| |||||||||||
HarborView Mortgage Loan Trust, |
| |||||||||||
Series 2005-4, Class 2A |
| |||||||||||
2.72% | 07/19/35 | 4 | $ | 1,145 | $ | 1,041 | ||||||
HarborView Mortgage Loan Trust, |
| |||||||||||
Series 2005-9, Class 2A1A |
| |||||||||||
(LIBOR USD 1-Month plus 0.68%) |
| |||||||||||
0.79% | 06/20/35 | 2 | 144,220 | 141,540 | ||||||||
HSI Asset Securitization Corp. Trust, |
| |||||||||||
Series 2007-WF1, Class 1A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.16%) |
| |||||||||||
0.27% | 05/25/37 | 2 | 98,899 | 96,247 | ||||||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||||
Series 2004-AR5, Class 2A1A |
| |||||||||||
(LIBOR USD 1-Month plus 0.86%) |
| |||||||||||
0.97% | 08/25/34 | 2 | 7,753 | 7,411 | ||||||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||||
Series 2006-AR4, Class A1A |
| |||||||||||
(LIBOR USD 1-Month plus 0.42%) |
| |||||||||||
0.53% | 05/25/46 | 2 | 102,229 | 98,751 | ||||||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||||
Series 2007-AR1, Class 2A1 |
| |||||||||||
3.03% | 06/25/37 | 4 | 73,122 | 60,171 | ||||||||
Legacy Mortgage Asset Trust, |
| |||||||||||
Series 2019-GS1, Class A1 (STEP-reset date 04/25/21) |
| |||||||||||
4.00% | 01/25/59 | 1 | 108,949 | 111,566 | ||||||||
Long Beach Mortgage Loan Trust, |
| |||||||||||
Series 2004-4, Class 1A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.56%) |
| |||||||||||
0.67% | 10/25/34 | 2 | 100,360 | 96,222 | ||||||||
Option One Mortgage Loan Trust, |
| |||||||||||
Series 2006-1, Class 1A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.44%) |
| |||||||||||
0.55% | 01/25/36 | 2 | 96,988 | 92,845 | ||||||||
Park Place Securities, Inc., Asset-Backed Pass-Through Certificates, |
| |||||||||||
Series 2005-WCW3, Class M1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.72%) |
| |||||||||||
0.83% | 08/25/35 | 2 | 87,142 | 87,536 | ||||||||
Residential Asset Mortgage Products Trust, |
| |||||||||||
Series 2004-SL1, Class A2 |
| |||||||||||
8.50% | 11/25/31 | 4,097 | 1 | |||||||||
Residential Asset Mortgage Products Trust, |
| |||||||||||
Series 2005-RZ3, Class M3 |
| |||||||||||
(LIBOR USD 1-Month plus 0.55%) |
| |||||||||||
0.93% | 09/25/35 | 2 | 55,781 | 55,770 | ||||||||
Residential Asset Securities Corp., |
| |||||||||||
Series 2005-AHL2, Class M1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.63%) |
| |||||||||||
0.74% | 10/25/35 | 2 | 162,730 | 162,261 | ||||||||
Structured Asset Mortgage Investments II Trust, |
| |||||||||||
Series 2006-AR1, Class 3A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.46%) |
| |||||||||||
0.57% | 02/25/36 | 2 | 77,155 | 73,822 | ||||||||
Terwin NIMs Trust, |
| |||||||||||
Series 2004-13AL, Class 2PX (IO) |
| |||||||||||
0.34% | 08/25/34 | 1,7,8 | 2,065,693 | 26,738 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Mortgage-Backed (continued) |
| |||||||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||||
Series 2002-AR6, Class A |
| |||||||||||
(Federal Reserve US 12-Month Cumulative Average plus 1.40%) |
| |||||||||||
1.66% | 06/25/42 | 2 | $ | 2,045 | $ | 2,027 | ||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||||
Series 2005-AR8, Class 2AB2 |
| |||||||||||
(LIBOR USD 1-Month plus 0.42%) |
| |||||||||||
0.95% | 07/25/45 | 2 | 123,576 | 123,954 | ||||||||
Wells Fargo Alternative Loan Trust, |
| |||||||||||
Series 2005-2, Class M1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.68%) |
| |||||||||||
0.78% | 10/25/35 | 2 | 7,558 | 7,574 | ||||||||
Wells Fargo Mortgage-Backed Securities Trust, |
| |||||||||||
Series 2003-I, Class A1 |
| |||||||||||
2.83% | 09/25/33 | 4 | 10,960 | 11,022 | ||||||||
|
| |||||||||||
2,514,547 | ||||||||||||
|
| |||||||||||
U.S. Agency Commercial Mortgage-Backed — 4.22% |
| |||||||||||
Fannie Mae-Aces, |
| |||||||||||
Series 2014-M2, Class ASV2 |
| |||||||||||
2.78% | 06/25/21 | 4 | 441 | 442 | ||||||||
Fannie Mae-Aces, |
| |||||||||||
Series 2015-M4, Class X2 (IO) |
| |||||||||||
0.44% | 07/25/22 | 4 | 9,447,803 | 18,046 | ||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, |
| |||||||||||
Series K031, Class X1 (IO) |
| |||||||||||
0.20% | 04/25/23 | 4 | 7,767,568 | 31,139 | ||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, |
| |||||||||||
Series K033, Class X1 (IO) |
| |||||||||||
0.29% | 07/25/23 | 4 | 4,090,251 | 25,308 | ||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, |
| |||||||||||
Series K036, Class X1 (IO) |
| |||||||||||
0.72% | 10/25/23 | 4 | 5,282,494 | 85,113 | ||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, |
| |||||||||||
Series K044, Class X1 (IO) |
| |||||||||||
0.73% | 01/25/25 | 4 | 1,422,542 | 32,148 | ||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, |
| |||||||||||
Series K732, Class X3 (IO) |
| |||||||||||
2.17% | 05/25/46 | 4 | 250,000 | 21,184 | ||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, |
| |||||||||||
Series KAIV, Class X2 (IO) |
| |||||||||||
3.59% | 06/25/41 | 4 | 250,000 | 1,467 | ||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, |
| |||||||||||
Series KC01, Class X1 (IO) |
| |||||||||||
0.47% | 12/25/22 | 4 | �� 4,309,954 | 26,444 |
See accompanying Notes to Financial Statements. |
Annual Report March 2021 / 32 |
Table of Contents
AlphaTrak 500 Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
U.S. Agency Commercial Mortgage-Backed (continued) |
| |||||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, |
| |||||||||||
Series KC05, Class X1 (IO) |
| |||||||||||
1.20% | 06/25/27 | 4 | $ | 997,447 | $ | 53,773 | ||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, |
| |||||||||||
Series KF28, Class A |
| |||||||||||
(LIBOR USD 1-Month plus 0.36%) |
| |||||||||||
0.48% | 01/25/24 | 2 | 315,094 | 315,549 | ||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, |
| |||||||||||
Series KIR1, Class A1 |
| |||||||||||
2.45% | 03/25/26 | 224,711 | 233,966 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, |
| |||||||||||
Series KIR1, Class X (IO) |
| |||||||||||
1.06% | 03/25/26 | 4 | 914,672 | 40,406 | ||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, |
| |||||||||||
Series KIR2, Class A1 |
| |||||||||||
2.75% | 03/25/27 | 246,051 | 259,118 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, |
| |||||||||||
Series KJ30, Class A1 |
| |||||||||||
0.53% | 01/25/25 | 249,759 | 248,906 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, |
| |||||||||||
Series KS07, Class X (IO) |
| |||||||||||
0.65% | 09/25/25 | 4 | 2,975,344 | 82,253 | ||||||||
Ginnie Mae, |
| |||||||||||
Series 2010-140,Class IO (IO) |
| |||||||||||
0.04% | 10/16/43 | 4 | 996,742 | 181 | ||||||||
Ginnie Mae, |
| |||||||||||
Series 2011-38, Class D |
| |||||||||||
3.72% | 01/16/51 | 4 | 72,917 | 74,660 | ||||||||
|
| |||||||||||
1,550,103 | ||||||||||||
|
| |||||||||||
U.S. Agency Mortgage-Backed — 4.68% |
| |||||||||||
Fannie Mae Pool 802665 |
| |||||||||||
(LIBOR USD 6-Month plus 1.74%) |
| |||||||||||
1.99% | 12/01/34 | 2 | 647 | 650 | ||||||||
Fannie Mae Pool AL0851 |
| |||||||||||
6.00% | 10/01/40 | 2,764 | 3,214 | |||||||||
Fannie Mae REMICS, |
| |||||||||||
Series 1997-91, Class SL (IO) |
| |||||||||||
(-2.00 X LIBOR USD 1-Month plus 16.00%, 7.50% Cap) |
| |||||||||||
7.50% | 11/25/23 | 2 | 11,569 | 700 | ||||||||
Fannie Mae REMICS, |
| |||||||||||
Series 2002-21, Class FB |
| |||||||||||
(LIBOR USD 1-Month plus 0.90%) |
| |||||||||||
1.01% | 04/25/32 | 2 | 40,423 | 40,583 | ||||||||
Fannie Mae REMICS, |
| |||||||||||
Series 2002-53, Class FY |
| |||||||||||
(LIBOR USD 1-Month plus 0.50%) |
| |||||||||||
0.61% | 08/25/32 | 2 | 100,337 | 101,387 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
U.S. Agency Mortgage-Backed (continued) |
| |||||||||||
Fannie Mae REMICS, |
| |||||||||||
Series 2003-11, Class FA |
| |||||||||||
(LIBOR USD 1-Month plus 1.00%) |
| |||||||||||
1.11% | 09/25/32 | 2 | $ | 5,231 | $ | 5,355 | ||||||
Fannie Mae REMICS, |
| |||||||||||
Series 2003-81, Class FE |
| |||||||||||
(LIBOR USD 1-Month plus 0.50%) |
| |||||||||||
0.61% | 09/25/33 | 2 | 39,525 | 39,937 | ||||||||
Fannie Mae REMICS, |
| |||||||||||
Series 2006-48, Class FL |
| |||||||||||
(LIBOR USD 1-Month plus 0.40%) |
| |||||||||||
0.51% | 06/25/36 | 2 | 48,342 | 48,643 | ||||||||
Fannie Mae REMICS, |
| |||||||||||
Series 2006-8, Class NF |
| |||||||||||
(LIBOR USD 1-Month plus 0.37%) |
| |||||||||||
0.48% | 03/25/36 | 2 | 45,662 | 46,010 | ||||||||
Fannie Mae REMICS, |
| |||||||||||
Series 2008-12, Class FA |
| |||||||||||
(LIBOR USD 1-Month plus 0.67%) |
| |||||||||||
0.78% | 03/25/38 | 2 | 133,435 | 135,916 | ||||||||
Fannie Mae REMICS, |
| |||||||||||
Series 2010-109, Class PF |
| |||||||||||
(LIBOR USD 1-Month plus 0.40%) |
| |||||||||||
0.51% | 10/25/40 | 2 | 4,679 | 4,711 | ||||||||
Fannie Mae REMICS, |
| |||||||||||
Series 2010-74, Class AF |
| |||||||||||
(LIBOR USD 1-Month plus 0.54%) | ||||||||||||
0.65% | 07/25/37 | 2 | 43,334 | 44,009 | ||||||||
Freddie Mac REMICS, |
| |||||||||||
Series 2684, Class F |
| |||||||||||
(LIBOR USD 1-Month plus 0.90%) |
| |||||||||||
1.01% | 01/15/33 | 2 | 4,890 | 5,009 | ||||||||
Freddie Mac REMICS, |
| |||||||||||
Series 3231, Class FB |
| |||||||||||
(LIBOR USD 1-Month plus 0.35%) |
| |||||||||||
0.46% | 10/15/36 | 2 | 87,799 | 88,441 | ||||||||
Freddie Mac Strips, |
| |||||||||||
Series 263, Class F5 |
| |||||||||||
(LIBOR USD 1-Month plus 0.50%) | ||||||||||||
0.61% | 06/15/42 | 2 | 13,960 | 14,069 | ||||||||
Ginnie Mae, |
| |||||||||||
Series 2003-42, Class FA |
| |||||||||||
(LIBOR USD 1-Month plus 0.40%) |
| |||||||||||
0.51% | 07/16/31 | 2 | 96,391 | 96,402 | ||||||||
UMBS (TBA) |
| |||||||||||
2.00% | 05/01/51 | 1,050,000 | 1,046,186 | |||||||||
|
| |||||||||||
1,721,222 | ||||||||||||
|
| |||||||||||
Total Mortgage-Backed |
| |||||||||||
(Cost $8,150,234) |
| 7,577,086 | ||||||||||
|
| |||||||||||
MUNICIPAL BONDS — 0.62%* |
| |||||||||||
Colorado — 0.37% |
| |||||||||||
City & County of Denver Airport System Revenue Bonds, |
| |||||||||||
Series C | ||||||||||||
0.88% | 11/15/23 | 135,000 | 135,347 | |||||||||
|
|
See accompanying Notes to Financial Statements. |
33 / Annual Report March 2021 |
Table of Contents
AlphaTrak 500 Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
MUNICIPAL BONDS (continued) |
| |||||||||||
Florida — 0.25% |
| |||||||||||
County of Miami-Dade Aviation Revenue Bonds, Airport and Marina Improvements, Series D |
| |||||||||||
2.32% | 10/01/22 | $ | 90,000 | $ | 92,593 | |||||||
|
| |||||||||||
Total Municipal Bonds |
| |||||||||||
(Cost $227,216) |
| 227,940 | ||||||||||
|
| |||||||||||
U.S. TREASURY SECURITIES — 0.91% |
| |||||||||||
U.S. Treasury Notes — 0.91% |
| |||||||||||
U.S. Treasury Notes |
| |||||||||||
0.13% | 01/31/23 | 215,000 | 214,899 | |||||||||
0.13% | 02/28/23 | 120,000 | 119,930 | |||||||||
|
| |||||||||||
Total U.S. Treasury Securities |
| |||||||||||
(Cost $335,019) |
| 334,829 | ||||||||||
|
| |||||||||||
Total Bonds — 59.48% |
| |||||||||||
(Cost $22,329,165) |
| 21,869,873 | ||||||||||
|
| |||||||||||
| ||||||||||||
Issues | Shares | Value | ||||||||||
MUTUAL FUNDS — 10.02% |
| |||||||||||
Mutual Funds — 10.02% |
| |||||||||||
iShares Core S&P 500 ETF |
| 3,845 | 1,529,618 | |||||||||
SPDR S&P 500 ETF Trust9 |
| 5,439 | 2,155,639 | |||||||||
|
| |||||||||||
Total Mutual Funds |
| |||||||||||
(Cost $2,790,415) |
| 3,685,257 | ||||||||||
|
| |||||||||||
| ||||||||||||
Issues | Maturity Date | Principal Amount/Shares | Value | |||||||||
SHORT-TERM INVESTMENTS — 20.35% |
| |||||||||||
Foreign Government Obligations — 0.87% |
| |||||||||||
Japan Treasury Discount Bill, Series 962 |
| |||||||||||
(Japan) |
| |||||||||||
0.00%10 | 04/05/21 | 3 | 35,000,000 | 316,809 | ||||||||
|
| |||||||||||
Money Market Funds — 6.70% |
| |||||||||||
Dreyfus Government Cash Management Fund |
| |||||||||||
0.03%11 | 505,000 | 505,000 | ||||||||||
Fidelity Investments Money Market Funds - Government Portfolio |
| |||||||||||
0.01%11 | 20,201 | 20,201 | ||||||||||
JPMorgan U.S. Government Money Market Fund |
| |||||||||||
0.03%11 | 1,044,000 | 1,044,000 | ||||||||||
Morgan Stanley Institutional Liquidity Funds - Government Portfolio |
| |||||||||||
0.03%11 | 896,000 | 896,000 | ||||||||||
|
| |||||||||||
2,465,201 | ||||||||||||
|
| |||||||||||
U.S. Treasury Bills — 12.78% |
| |||||||||||
U.S. Treasury Bills |
| |||||||||||
0.10%10 | 04/01/21 | 700,000 | 700,000 | |||||||||
0.05%10 | 08/12/21 | 2,500,000 | 2,499,862 |
Issues | Maturity Date | Principal Amount/Shares | Value | |||||||||
SHORT-TERM INVESTMENTS (continued) |
| |||||||||||
U.S. Treasury Bills (continued) |
| |||||||||||
0.05%10 | 08/19/21 | $ | 1,500,000 | $ | 1,499,883 | |||||||
|
| |||||||||||
4,699,745 | ||||||||||||
|
| |||||||||||
Total Short-Term Investments |
| |||||||||||
(Cost $7,501,231) |
| 7,481,755 | ||||||||||
|
| |||||||||||
Total Investments - 89.85% |
| |||||||||||
(Cost $32,620,811) |
| 33,036,885 | ||||||||||
|
| |||||||||||
Cash and Other Assets, Less Liabilities - 10.15% |
| 3,732,910 | ||||||||||
|
| |||||||||||
Net Assets - 100.00% |
| $ | 36,769,795 | |||||||||
|
|
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 March 31, 2021. |
3 | Foreign denominated security issued by foreign domiciled entity. |
4 | 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. |
5 | Non-income producing security. |
6 | Security is currently in default with regard to scheduled interest or principal payments. |
7 | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
8 | Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $62,388, which is 0.17% of total net assets. |
9 | 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, as amended. 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 its homepage at (https://us.spdrs.com/en/etf/spdr-sp-500-etf-SPY). |
10 | Represents annualized yield at date of purchase. |
11 | Represents the current yield as of March 31, 2021. |
* | 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. |
See accompanying Notes to Financial Statements. |
Annual Report March 2021 / 34 |
Table of Contents
AlphaTrak 500 Fund
Schedule of Portfolio Investments
March 31, 2021
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): Bank Note
(CLO): Collateralized Loan Obligation
(ETF): Exchange-Traded Fund
(IO): Interest Only
(JPY): Japanese Yen
(LIBOR): London InterBank Offer Rate
(MTN): Medium-Term Note
(S&P): Standard & Poor’s
(SPDR): Standard & Poor’s Depositary Receipts
(STEP): Step Coupon Bond
(TBA): To-Be-Announced
(USD): U.S. Dollar
Currency to be Purchased | Currency to be Sold | Counterparty | Settlement Date | Unrealized Appreciation | ||||||||||||||||
FOREIGN CURRENCY EXCHANGE CONTRACT |
| |||||||||||||||||||
USD 337,327 | JPY 35,000,000 | Goldman Sachs International | 04/05/21 | $ | 20,568 | |||||||||||||||
|
| |||||||||||||||||||
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation | |||||||||||||||
FUTURES CONTRACTS: LONG POSITIONS |
| |||||||||||||||||||
S&P 500 E-mini Index | 166 | 06/18/21 | $ | 32,938,550 | $ | 133,232 | $ | 133,232 | ||||||||||||
|
|
|
|
|
|
See accompanying Notes to Financial Statements. |
35 / Annual Report March 2021 |
Table of Contents
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
BONDS – 96.98% |
| |||||||||||
ASSET-BACKED SECURITIES — 0.34%** |
| |||||||||||
Skyline Aircraft Finance LLC, |
| |||||||||||
Series 2021-1, Class A | ||||||||||||
3.23% | 05/10/37 | 1,2 | $ | 44,797 | $ | 44,118 | ||||||
|
| |||||||||||
Total Asset-Backed Securities |
| |||||||||||
(Cost $44,797) |
| |||||||||||
CORPORATES — 80.62%* |
| |||||||||||
Banking — 7.61% |
| |||||||||||
Bank of America Corp. |
| |||||||||||
2.59% | 04/29/31 | 3 | 110,000 | 109,866 | ||||||||
3.00% | 12/20/23 | 3 | 35,000 | 36,414 | ||||||||
Bank of America Corp. |
| |||||||||||
(MTN) |
| |||||||||||
3.97% | 03/05/29 | 3 | 20,000 | 22,150 | ||||||||
4.08% | 03/20/51 | 3 | 20,000 | 22,379 | ||||||||
4.27% | 07/23/29 | 3 | 10,000 | 11,280 | ||||||||
Bank of New York Mellon Corp. (The) |
| |||||||||||
(MTN) |
| |||||||||||
1.60% | 04/24/25 | 15,000 | 15,295 | |||||||||
3.25% | 09/11/24 | 5,000 | 5,428 | |||||||||
Discover Bank |
| |||||||||||
(BKNT) |
| |||||||||||
4.20% | 08/08/23 | 10,000 | 10,805 | |||||||||
Fifth Third Bancorp | ||||||||||||
2.55% | 05/05/27 | 40,000 | 41,660 | |||||||||
HSBC Holdings PLC |
| |||||||||||
(United Kingdom) | ||||||||||||
2.01% | 09/22/28 | 3,4 | 110,000 | 108,160 | ||||||||
JPMorgan Chase & Co. |
| |||||||||||
2.52% | 04/22/31 | 3 | 5,000 | 4,993 | ||||||||
3.11% | 04/22/51 | 3 | 75,000 | 73,591 | ||||||||
4.01% | 04/23/29 | 3 | 20,000 | 22,371 | ||||||||
4.02% | 12/05/24 | 3 | 55,000 | 59,694 | ||||||||
4.20% | 07/23/29 | 3 | 15,000 | 16,985 | ||||||||
4.49% | 03/24/31 | 3 | 35,000 | 40,408 | ||||||||
Lloyds Banking Group PLC |
| |||||||||||
(United Kingdom) | ||||||||||||
3.87% | 07/09/25 | 3,4 | 60,000 | 65,346 | ||||||||
Macquarie Group Ltd. |
| |||||||||||
(Australia) | ||||||||||||
1.34% | 01/12/27 | 3,4,5 | 20,000 | 19,638 | ||||||||
Santander UK Group Holdings PLC |
| |||||||||||
(United Kingdom) | ||||||||||||
3.57% | 01/10/23 | 4 | 15,000 | 15,335 | ||||||||
4.80% | 11/15/24 | 3,4 | 55,000 | 60,559 | ||||||||
State Street Corp. |
| |||||||||||
3.78% | 12/03/24 | 3 | 5,000 | 5,417 | ||||||||
Wells Fargo & Co. |
| |||||||||||
(MTN) |
| |||||||||||
2.16% | 02/11/26 | 3 | 20,000 | 20,644 | ||||||||
2.39% | 06/02/28 | 3 | 145,000 | 148,695 | ||||||||
3.58% | 05/22/28 | 3 | 25,000 | 27,279 | ||||||||
5.01% | 04/04/51 | 3 | 15,000 | 19,269 | ||||||||
|
| |||||||||||
983,661 | ||||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Communications — 11.17% |
| |||||||||||
AT&T, Inc. | ||||||||||||
2.55% | 12/01/33 | 5 | $ | 35,000 | $ | 33,248 | ||||||
3.80% | 12/01/57 | 5 | 235,000 | 223,874 | ||||||||
Charter Communications Operating LLC/Charter |
| |||||||||||
Communications Operating Capital |
| |||||||||||
3.75% | 02/15/28 | 45,000 | 48,801 | |||||||||
4.91% | 07/23/25 | 30,000 | 34,068 | |||||||||
5.38% | 05/01/47 | 30,000 | 34,885 | |||||||||
Comcast Corp. | ||||||||||||
1.50% | 02/15/31 | 85,000 | 78,912 | |||||||||
3.97% | 11/01/47 | 10,000 | 11,104 | |||||||||
4.00% | 11/01/49 | 15,000 | 16,757 | |||||||||
Cox Communications, Inc. |
| |||||||||||
3.15% | 08/15/24 | 5 | 50,000 | 53,416 | ||||||||
Discovery Communications LLC |
| |||||||||||
3.63% | 05/15/30 | 30,000 | 32,120 | |||||||||
Fox Corp. | ||||||||||||
3.50% | 04/08/30 | 25,000 | 26,618 | |||||||||
4.71% | 01/25/29 | 3,000 | 3,456 | |||||||||
Level 3 Financing, Inc. |
| |||||||||||
3.88% | 11/15/29 | 5 | 14,000 | 14,785 | ||||||||
Qwest Corp. |
| |||||||||||
7.25% | 09/15/25 | 20,000 | 23,475 | |||||||||
SES GLOBAL Americas Holdings GP |
| |||||||||||
5.30% | 03/25/44 | 5 | 35,000 | 39,465 | ||||||||
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint |
| |||||||||||
Spectrum Co. III LLC |
| |||||||||||
3.36% | 09/20/21 | 5 | 1,125 | 1,136 | ||||||||
4.74% | 03/20/25 | 5 | 155,000 | 166,443 | ||||||||
5.15% | 03/20/28 | 5 | 25,000 | 28,563 | ||||||||
Time Warner Cable LLC |
| |||||||||||
5.50% | 09/01/41 | 33,000 | 39,182 | |||||||||
5.88% | 11/15/40 | 25,000 | 31,168 | |||||||||
T-Mobile USA, Inc. |
| |||||||||||
2.55% | 02/15/31 | 5 | 35,000 | 34,333 | ||||||||
3.50% | 04/15/25 | 5 | 15,000 | 16,239 | ||||||||
4.50% | 04/15/50 | 5 | 22,000 | 24,731 | ||||||||
Verizon Communications, Inc. |
| |||||||||||
2.55% | 03/21/31 | 50,000 | 49,961 | |||||||||
4.02% | 12/03/29 | 45,000 | 50,357 | |||||||||
4.50% | 08/10/33 | 85,000 | 98,825 | |||||||||
ViacomCBS, Inc. |
| |||||||||||
4.60% | 01/15/45 | 39,000 | 43,750 | |||||||||
5.85% | 09/01/43 | 8,000 | 10,252 | |||||||||
Vodafone Group PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
4.13% | 05/30/25 | 4 | 21,000 | 23,410 | ||||||||
4.25% | 09/17/50 | 4 | 41,000 | 45,119 | ||||||||
4.88% | 06/19/49 | 4 | 6,000 | 7,141 | ||||||||
5.25% | 05/30/48 | 4 | 3,000 | 3,754 | ||||||||
Walt Disney Co. (The) |
| |||||||||||
2.65% | 01/13/31 | 70,000 | 71,542 | |||||||||
3.60% | 01/13/51 | 11,000 | 11,737 | |||||||||
6.20% | 12/15/34 | 8,000 | 11,099 | |||||||||
|
| |||||||||||
1,443,726 | ||||||||||||
|
|
See accompanying Notes to Financial Statements. |
Annual Report March 2021 / 36 |
Table of Contents
Corporate Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Consumer Discretionary — 3.40% |
| |||||||||||
Altria Group, Inc. |
| |||||||||||
5.38% | 01/31/44 | $ | 5,000 | $ | 5,874 | |||||||
5.95% | 02/14/49 | 15,000 | 18,762 | |||||||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. |
| |||||||||||
4.70% | 02/01/36 | 30,000 | 35,240 | |||||||||
Anheuser-Busch InBev Worldwide, Inc. |
| |||||||||||
4.60% | 04/15/48 | 77,000 | 88,382 | |||||||||
4.75% | 01/23/29 | 30,000 | 35,079 | |||||||||
Bacardi Ltd. |
| |||||||||||
(Bermuda) | ||||||||||||
4.70% | 05/15/28 | 4,5 | 70,000 | 80,151 | ||||||||
BAT Capital Corp. |
| |||||||||||
4.39% | 08/15/37 | 45,000 | 47,233 | |||||||||
4.54% | 08/15/47 | 10,000 | 10,084 | |||||||||
Constellation Brands, Inc. |
| |||||||||||
3.75% | 05/01/50 | 45,000 | 47,155 | |||||||||
Imperial Brands Finance PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
4.25%91 | 07/21/25 | 4,5 | 30,000 | 33,024 | ||||||||
NIKE, Inc. |
| |||||||||||
3.38% | 03/27/50 | 5,000 | 5,276 | |||||||||
Reynolds American,Inc. |
| |||||||||||
4.45% | 06/12/25 | 5,000 | 5,551 | |||||||||
4.85% | 09/15/23 | 20,000 | 21,969 | |||||||||
5.85% | 08/15/45 | 5,000 | 5,881 | |||||||||
|
| |||||||||||
439,661 | ||||||||||||
|
| |||||||||||
Electric — 9.08% |
| |||||||||||
AEP Transmission Co. LLC, Series M |
| |||||||||||
3.65% | 04/01/50 | 10,000 | 10,655 | |||||||||
Alabama Power Co. |
| |||||||||||
5.50% | 03/15/41 | 9,000 | 11,613 | |||||||||
Alliant Energy Finance LLC |
| |||||||||||
1.40% | 03/15/26 | 5 | 45,000 | 44,196 | ||||||||
Ameren Corp. |
| |||||||||||
3.50% | 01/15/31 | 15,000 | 15,945 | |||||||||
Appalachian Power Co. |
| |||||||||||
4.45% | 06/01/45 | 10,000 | 11,251 | |||||||||
Appalachian Power Co., Series X |
| |||||||||||
3.30% | 06/01/27 | 40,000 | 43,102 | |||||||||
Baltimore Gas and Electric Co. |
| |||||||||||
2.90% | 06/15/50 | 50,000 | 46,500 | |||||||||
Black Hills Corp. |
| |||||||||||
4.35% | 05/01/33 | 35,000 | 39,328 | |||||||||
Consolidated Edison Co. of New York, Inc., Series 2017 |
| |||||||||||
3.88% | 06/15/47 | 10,000 | 10,622 | |||||||||
Consolidated Edison Co. of New York, Inc., Series 20B |
| |||||||||||
3.95% | 04/01/50 | 60,000 | 65,180 | |||||||||
Duke Energy Carolinas LLC |
| |||||||||||
2.55% | 04/15/31 | 40,000 | 40,369 | |||||||||
3.75% | 06/01/45 | 70,000 | 74,945 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Electric (continued) |
| |||||||||||
Duquesne Light Holdings, Inc. |
| |||||||||||
5.90% | 12/01/21 | 5 | $ | 122,000 | $ | 126,001 | ||||||
Evergy, Inc. |
| |||||||||||
2.45% | 09/15/24 | 5,000 | 5,238 | |||||||||
FirstEnergy Transmission LLC |
| |||||||||||
5.45% | 07/15/44 | 5 | 55,000 | 64,433 | ||||||||
Florida Power & Light Co. |
| |||||||||||
4.13% | 02/01/42 | 90,000 | 104,039 | |||||||||
Interstate Power and Light Co. |
| |||||||||||
2.30% | 06/01/30 | 20,000 | 19,768 | |||||||||
ITC Holdings Corp. |
| |||||||||||
4.05% | 07/01/23 | 10,000 | 10,684 | |||||||||
Metropolitan Edison Co. |
| |||||||||||
4.00% | 04/15/25 | 5 | 9,000 | 9,561 | ||||||||
4.30% | 01/15/29 | 5 | 15,000 | 16,534 | ||||||||
MidAmerican Energy Co. |
| |||||||||||
4.25% | 05/01/46 | 10,000 | 11,546 | |||||||||
Narragansett Electric Co. (The) |
| |||||||||||
3.40% | 04/09/30 | 5 | 10,000 | 10,657 | ||||||||
Northern States Power Co. |
| |||||||||||
4.13% | 05/15/44 | 10,000 | 11,466 | |||||||||
PacifiCorp. |
| |||||||||||
4.13% | 01/15/49 | 45,000 | 50,619 | |||||||||
Public Service Co. of New Mexico |
| |||||||||||
3.85% | 08/01/25 | 45,000 | 48,400 | |||||||||
Puget Energy, Inc. |
| |||||||||||
3.65% | 05/15/25 | 100,000 | 108,084 | |||||||||
Southern Co. (The) |
| |||||||||||
3.25% | 07/01/26 | 6,000 | 6,430 | |||||||||
Tucson Electric Power Co. |
| |||||||||||
3.85% | 03/15/23 | 60,000 | 63,413 | |||||||||
Virginia Electric & Power Co., Series B |
| |||||||||||
3.80% | 09/15/47 | 20,000 | 21,735 | |||||||||
Vistra Operations Co. LLC |
| |||||||||||
3.55% | 07/15/24 | 5 | 6,000 | 6,284 | ||||||||
Xcel Energy, Inc. |
| |||||||||||
4.80% | 09/15/41 | 55,000 | 64,518 | |||||||||
|
| |||||||||||
1,173,116 | ||||||||||||
|
| |||||||||||
Energy — 7.23% |
| |||||||||||
BP Capital Markets America, Inc. |
| |||||||||||
3.63% | 04/06/30 | 45,000 | 49,382 | |||||||||
Chevron Corp. |
| |||||||||||
2.24% | 05/11/30 | 20,000 | 19,949 | |||||||||
ConocoPhillips |
| |||||||||||
2.40% | 02/15/31 | 5 | 35,000 | 34,520 | ||||||||
Enbridge Energy Partners LP |
| |||||||||||
5.50% | 09/15/40 | 10,000 | 11,972 | |||||||||
Energy Transfer Operating LP |
| |||||||||||
3.75% | 05/15/30 | 10,000 | 10,338 | |||||||||
4.95% | 06/15/28 | 25,000 | 27,993 | |||||||||
5.00% | 05/15/50 | 15,000 | 15,575 | |||||||||
5.50% | 06/01/27 | 37,000 | 42,724 | |||||||||
6.13% | 12/15/45 | 12,000 | 13,771 |
See accompanying Notes to Financial Statements. |
37 / Annual Report March 2021 |
Table of Contents
Corporate Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Energy (continued) |
| |||||||||||
EQM Midstream Partners LP |
| |||||||||||
6.50% | 07/15/48 | $ | 8,000 | $ | 8,053 | |||||||
EQT Corp. |
| |||||||||||
3.90% | 10/01/27 | 5,000 | 5,109 | |||||||||
Equinor ASA (Norway) |
| |||||||||||
3.25% | 11/18/49 | 4 | 6,000 | 5,886 | ||||||||
3.70% | 04/06/50 | 4 | 5,000 | 5,342 | ||||||||
Exxon Mobil Corp. |
| |||||||||||
3.45% | 04/15/51 | 19,000 | 19,223 | |||||||||
4.33% | 03/19/50 | 17,000 | 19,546 | |||||||||
Hess Corp. | ||||||||||||
4.30% | 04/01/27 | 33,000 | 36,053 | |||||||||
KeySpan Gas East Corp. |
| |||||||||||
5.82% | 04/01/41 | 5 | 15,000 | 19,643 | ||||||||
Kinder Morgan Energy Partners LP |
| |||||||||||
5.80% | 03/15/35 | 15,000 | 18,372 | |||||||||
Kinder Morgan Energy Partners LP (MTN) |
| |||||||||||
6.95% | 01/15/38 | 15,000 | 20,361 | |||||||||
Kinder Morgan, Inc. (GMTN) |
| |||||||||||
7.80% | 08/01/31 | 15,000 | 20,843 | |||||||||
NGPL Pipe Co. LLC |
| |||||||||||
4.38% | 08/15/22 | 5 | 30,000 | 31,149 | ||||||||
4.88% | 08/15/27 | 5 | 10,000 | 11,214 | ||||||||
Occidental Petroleum Corp. |
| |||||||||||
3.50% | 08/15/29 | 5,000 | 4,692 | |||||||||
Petroleos Mexicanos (Mexico) |
| |||||||||||
7.69% | 01/23/50 | 4 | 40,000 | 37,080 | ||||||||
Plains All American Pipeline LP/PAA Finance Corp. |
| |||||||||||
4.50% | 12/15/26 | 19,000 | 20,890 | |||||||||
4.65% | 10/15/25 | 20,000 | 22,036 | |||||||||
Rockies Express Pipeline LLC |
| |||||||||||
3.60% | 05/15/25 | 5 | 30,000 | 30,085 | ||||||||
6.88% | 04/15/40 | 5 | 17,000 | 18,445 | ||||||||
Ruby Pipeline LLC |
| |||||||||||
8.00% | 04/01/22 | 1,2,5 | 6,288 | 5,267 | ||||||||
Sabine Pass Liquefaction LLC |
| |||||||||||
4.20% | 03/15/28 | 3,000 | 3,297 | |||||||||
5.75% | 05/15/24 | 25,000 | 28,269 | |||||||||
Shell International Finance BV (Netherlands) |
| |||||||||||
2.38% | 11/07/29 | 4 | 25,000 | 25,280 | ||||||||
3.13% | 11/07/49 | 4 | 20,000 | 19,353 | ||||||||
Southern Co. Gas Capital Corp. |
| |||||||||||
2.45% | 10/01/23 | 13,000 | 13,527 | |||||||||
4.40% | 06/01/43 | 10,000 | 10,885 | |||||||||
5.88% | 03/15/41 | 30,000 | 40,157 | |||||||||
Southern Natural Gas Co. LLC |
| |||||||||||
4.80% | 03/15/47 | 5 | 15,000 | 17,166 | ||||||||
Sunoco Logistics Partners Operations LP |
| |||||||||||
5.40% | 10/01/47 | 6,000 | 6,436 | |||||||||
TC PipeLines LP |
| |||||||||||
3.90% | 05/25/27 | 15,000 | 16,314 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Energy (continued) |
| |||||||||||
4.38% | 03/13/25 | $ | 30,000 | $ | 33,234 | |||||||
Texas Eastern Transmission LP |
| |||||||||||
2.80% | 10/15/22 | 5 | 40,000 | 41,151 | ||||||||
7.00% | 07/15/32 | 50,000 | 67,421 | |||||||||
TransCanada PipeLines Ltd. (Canada) |
| |||||||||||
5.00% | 10/16/43 | 4 | 15,000 | 17,843 | ||||||||
Williams Cos., Inc. (The) |
| |||||||||||
3.90% | 01/15/25 | 8,000 | 8,672 | |||||||||
|
| |||||||||||
934,518 | ||||||||||||
|
| |||||||||||
Finance — 8.29% | ||||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland) |
| |||||||||||
3.65% | 07/21/27 | 4 | 25,000 | 26,254 | ||||||||
3.88% | 01/23/28 | 4 | 14,000 | 14,630 | ||||||||
Air Lease Corp. |
| |||||||||||
3.63% | 12/01/27 | 19,000 | 19,901 | |||||||||
4.25% | 09/15/24 | 20,000 | 21,758 | |||||||||
Avolon Holdings Funding Ltd. (Cayman Islands) |
| |||||||||||
2.88% | 02/15/25 | 4,5 | 15,000 | 15,042 | ||||||||
Citigroup, Inc. |
| |||||||||||
2.57% | 06/03/31 | 3 | 60,000 | 60,002 | ||||||||
2.88% | 07/24/23 | 3 | 50,000 | 51,546 | ||||||||
3.67% | 07/24/28 | 3 | 20,000 | 21,895 | ||||||||
Ford Motor Credit Co. LLC |
| |||||||||||
3.34% | 03/28/22 | 54,000 | 54,743 | |||||||||
4.25% | 09/20/22 | 19,000 | 19,685 | |||||||||
GE Capital International Funding Co. (Ireland) |
| |||||||||||
3.37% | 11/15/25 | 4 | 60,000 | 65,100 | ||||||||
4.42% | 11/15/35 | 4 | 118,000 | 135,207 | ||||||||
General Motors Financial Co., Inc. |
| |||||||||||
3.20% | 07/06/21 | 5,000 | 5,022 | |||||||||
4.20% | 11/06/21 | 20,000 | 20,437 | |||||||||
4.38% | 09/25/21 | 20,000 | 20,372 | |||||||||
Goldman Sachs Group, Inc. (The) |
| |||||||||||
1.43% | 03/09/27 | 3 | 15,000 | 14,864 | ||||||||
2.60% | 02/07/30 | 100,000 | 101,333 | |||||||||
2.91% | 07/24/23 | 3 | 35,000 | 36,041 | ||||||||
3.27% | 09/29/25 | 3 | 30,000 | 32,150 | ||||||||
3.50% | 11/16/26 | 5,000 | 5,423 | |||||||||
Intercontinental Exchange, Inc. |
| |||||||||||
1.85% | 09/15/32 | 15,000 | 13,751 | |||||||||
(LIBOR USD 3-Month plus 0.65%) |
| |||||||||||
0.83% | 06/15/23 | 6 | 25,000 | 25,045 | ||||||||
Morgan Stanley (GMTN) |
| |||||||||||
3.70% | 10/23/24 | 5,000 | 5,478 | |||||||||
3.77% | 01/24/29 | 3 | 20,000 | 21,947 | ||||||||
Morgan Stanley (MTN) |
| |||||||||||
3.62% | 04/01/31 | 3 | 65,000 | 70,655 |
See accompanying Notes to Financial Statements. |
Annual Report March 2021 / 38 |
Table of Contents
Corporate Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Finance (continued) |
| |||||||||||
Morgan Stanley, |
| |||||||||||
Series F |
| |||||||||||
3.88% | 04/29/24 | $ | 20,000 | $ | 21,861 | |||||||
Nationwide Building Society |
| |||||||||||
(United Kingdom) |
| |||||||||||
3.62% | 04/26/23 | 3,4,5 | 10,000 | 10,318 | ||||||||
3.77% | 03/08/24 | 3,4,5 | 40,000 | 42,277 | ||||||||
4.36% | 08/01/24 | 3,4,5 | 5,000 | 5,401 | ||||||||
Park Aerospace Holdings Ltd. |
| |||||||||||
(Cayman Islands) |
| |||||||||||
5.50% | 02/15/24 | 4,5 | 5,000 | 5,439 | ||||||||
Pipeline Funding Co. LLC |
| |||||||||||
7.50% | 01/15/30 | 5 | 27,024 | 33,856 | ||||||||
Raymond James Financial, Inc. |
| |||||||||||
3.63% | 09/15/26 | 40,000 | 44,428 | |||||||||
4.65% | 04/01/30 | 25,000 | 29,215 | |||||||||
|
| |||||||||||
1,071,076 | ||||||||||||
|
| |||||||||||
Food — 0.95% |
| |||||||||||
Conagra Brands, Inc. |
| |||||||||||
4.60% | 11/01/25 | 6,000 | 6,817 | |||||||||
General Mills, Inc. |
| |||||||||||
4.20% | 04/17/28 | 5,000 | 5,649 | |||||||||
Kraft Heinz Foods Co. |
| |||||||||||
4.63% | 10/01/39 | 39,000 | 42,352 | |||||||||
5.00% | 07/15/35 | 13,000 | 15,027 | |||||||||
Smithfield Foods, Inc. |
| |||||||||||
3.35% | 02/01/22 | 5 | 35,000 | 35,450 | ||||||||
5.20% | 04/01/29 | 5 | 5,000 | 5,742 | ||||||||
Tyson Foods, Inc. |
| |||||||||||
4.35% | 03/01/29 | 10,000 | 11,398 | |||||||||
|
| |||||||||||
122,435 | ||||||||||||
|
| |||||||||||
Health Care — 12.14% |
| |||||||||||
AbbVie, Inc. |
| |||||||||||
3.80% | 03/15/25 | 20,000 | 21,861 | |||||||||
4.40% | 11/06/42 | 70,000 | 81,301 | |||||||||
4.55% | 03/15/35 | 10,000 | 11,643 | |||||||||
Amgen, Inc. |
| |||||||||||
3.15% | 02/21/40 | 35,000 | 34,944 | |||||||||
4.40% | 05/01/45 | 15,000 | 17,420 | |||||||||
Anthem, Inc. |
| |||||||||||
3.70% | 09/15/49 | 10,000 | 10,355 | |||||||||
Ascension Health, |
| |||||||||||
Series B | ||||||||||||
2.53% | 11/15/29 | 10,000 | 10,268 | |||||||||
AstraZeneca PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
3.38% | 11/16/25 | 4 | 10,000 | 10,893 | ||||||||
Barnabas Health, Inc., |
| |||||||||||
Series 2012 | ||||||||||||
4.00% | 07/01/28 | 5,000 | 5,613 | |||||||||
Baxter International, Inc. |
| |||||||||||
3.95% | 04/01/30 | 5 | 10,000 | 11,266 | ||||||||
Bayer U.S. Finance II LLC |
| |||||||||||
3.88% | 12/15/23 | 5 | 5,000 | 5,393 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Health Care (continued) |
| |||||||||||
4.25% | 12/15/25 | 5 | $ | 10,000 | $ | 11,138 | ||||||
4.38% | 12/15/28 | 5 | 25,000 | 28,255 | ||||||||
4.88% | 06/25/48 | 5 | 35,000 | 41,981 | ||||||||
Becton Dickinson and Co. |
| |||||||||||
3.79% | 05/20/50 | 30,000 | 31,959 | |||||||||
4.67% | 06/06/47 | 5,000 | 5,946 | |||||||||
Bon Secours Mercy Health, Inc., |
| |||||||||||
Series 20-2 |
| |||||||||||
2.10% | 06/01/31 | 65,000 | 62,903 | |||||||||
Boston Scientific Corp. |
| |||||||||||
2.65% | 06/01/30 | 35,000 | 35,333 | |||||||||
Bristol-Myers Squibb Co. |
| |||||||||||
3.90% | 02/20/28 | 13,000 | 14,615 | |||||||||
Centene Corp. | ||||||||||||
3.00% | 10/15/30 | 21,000 | 20,991 | |||||||||
5.38% | 08/15/26 | 5 | 4,000 | 4,230 | ||||||||
Children’s Hospital Medical Center |
| |||||||||||
2.82% | 11/15/50 | 20,000 | 18,259 | |||||||||
Cigna Corp. |
| |||||||||||
2.40% | 03/15/30 | 16,000 | 15,877 | |||||||||
3.88% | 10/15/47 | 8,000 | 8,572 | |||||||||
4.38% | 10/15/28 | 25,000 | 28,629 | |||||||||
City of Hope, |
| |||||||||||
Series 2013 |
| |||||||||||
5.62% | 11/15/43 | 15,000 | 20,222 | |||||||||
City of Hope, |
| |||||||||||
Series 2018 |
| |||||||||||
4.38% | 08/15/48 | 10,000 | 11,798 | |||||||||
CommonSpirit Health |
| |||||||||||
2.78% | 10/01/30 | 35,000 | 35,700 | |||||||||
CVS Health Corp. |
| |||||||||||
3.25% | 08/15/29 | 60,000 | 63,488 | |||||||||
5.05% | 03/25/48 | 45,000 | 55,288 | |||||||||
DENTSPLY SIRONA, Inc. |
| |||||||||||
3.25% | 06/01/30 | 40,000 | 41,871 | |||||||||
Elanco Animal Health, Inc. |
| |||||||||||
5.90% | 08/28/28 | 5,000 | 5,684 | |||||||||
Fresenius Medical Care U.S. Finance II, Inc. |
| |||||||||||
5.88% | 01/31/22 | 5 | 50,000 | 52,038 | ||||||||
Gilead Sciences, Inc. |
| |||||||||||
(LIBOR USD 3-Month plus 0.52%) |
| |||||||||||
0.71% | 09/29/23 | 6 | 50,000 | 50,065 | ||||||||
Hackensack Meridian Health, Inc., |
| |||||||||||
Series 2020 |
| |||||||||||
2.88% | 09/01/50 | 30,000 | 28,325 | |||||||||
HCA, Inc. |
| |||||||||||
5.00% | 03/15/24 | 49,000 | 54,607 | |||||||||
5.25% | 06/15/49 | 17,000 | 20,852 | |||||||||
Humana, Inc. |
| |||||||||||
3.95% | 03/15/27 | 20,000 | 22,326 | |||||||||
Illumina, Inc. |
| |||||||||||
2.55% | 03/23/31 | 30,000 | 29,772 | |||||||||
Kaiser Foundation Hospitals |
| |||||||||||
3.15% | 05/01/27 | 10,000 | 10,926 |
See accompanying Notes to Financial Statements. |
39 / Annual Report March 2021 |
Table of Contents
Corporate Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Health Care (continued) |
| |||||||||||
Mass General Brigham, Inc., |
| |||||||||||
Series 2020 |
| |||||||||||
3.34% | 07/01/60 | $ | 10,000 | $ | 10,314 | |||||||
Mayo Clinic, |
| |||||||||||
Series 2013 | ||||||||||||
4.00% | 11/15/47 | 25,000 | 28,808 | |||||||||
MedStar Health, Inc., |
| |||||||||||
Series 20A | ||||||||||||
3.63% | 08/15/49 | 10,000 | 10,287 | |||||||||
Memorial Sloan-Kettering Cancer Center |
| |||||||||||
4.13% | 07/01/52 | 5,000 | 5,899 | |||||||||
NYU Langone Hospitals, |
| |||||||||||
Series 2020 |
| |||||||||||
3.38% | 07/01/55 | 15,000 | 14,713 | |||||||||
OhioHealth Corp., |
| |||||||||||
Series 2020 |
| |||||||||||
3.04% | 11/15/50 | 15,000 | 15,082 | |||||||||
PerkinElmer, Inc. |
| |||||||||||
2.55% | 03/15/31 | 25,000 | 24,797 | |||||||||
Pfizer, Inc. |
| |||||||||||
4.10% | 09/15/38 | 10,000 | 11,675 | |||||||||
Providence St. Joseph Health Obligated Group, |
| |||||||||||
Series H |
| |||||||||||
2.75% | 10/01/26 | 10,000 | 10,647 | |||||||||
Quest Diagnostics, Inc. |
| |||||||||||
4.20% | 06/30/29 | 25,000 | 28,587 | |||||||||
Regeneron Pharmaceuticals, Inc. |
| |||||||||||
1.75% | 09/15/30 | 70,000 | 64,859 | |||||||||
Royalty Pharma PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
0.75% | 09/02/23 | 4,5 | 25,000 | 24,977 | ||||||||
1.75% | 09/02/27 | 4,5 | 45,000 | 43,934 | ||||||||
Sharp HealthCare, |
| |||||||||||
Series 20B | ||||||||||||
2.68% | 08/01/50 | 50,000 | 45,740 | |||||||||
Smith & Nephew PLC |
| |||||||||||
(United Kingdom) | ||||||||||||
2.03% | 10/14/30 | 4 | 30,000 | 28,275 | ||||||||
Takeda Pharmaceutical Co. Ltd. |
| |||||||||||
(Japan) |
| |||||||||||
2.05% | 03/31/30 | 4 | 20,000 | 19,273 | ||||||||
Thermo Fisher Scientific, Inc. |
| |||||||||||
4.50% | 03/25/30 | 11,000 | 12,854 | |||||||||
UnitedHealth Group, Inc. |
| |||||||||||
2.90% | 05/15/50 | 12,000 | 11,525 | |||||||||
3.70% | 08/15/49 | 10,000 | 10,955 | |||||||||
4.25% | 04/15/47 | 15,000 | 17,695 | |||||||||
Viatris, Inc. |
| |||||||||||
1.13% | 06/22/22 | 5 | 15,000 | 15,090 | ||||||||
West Virginia United Health System Obligated Group, |
| |||||||||||
Series 2020 |
| |||||||||||
3.13% | 06/01/50 | 35,000 | 33,291 | |||||||||
Zimmer Biomet Holdings, Inc. |
| |||||||||||
3.55% | 03/20/30 | 25,000 | 26,758 | |||||||||
|
| |||||||||||
1,568,642 | ||||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Industrials — 2.66% |
| |||||||||||
Amcor Finance USA, Inc. |
| |||||||||||
3.63% | 04/28/26 | $ | 10,000 | $ | 10,945 | |||||||
Amcor Flexibles North America, Inc. |
| |||||||||||
2.63% | 06/19/30 | 5,000 | 4,993 | |||||||||
BAE Systems Holdings, Inc. |
| |||||||||||
3.85% | 12/15/25 | 5 | 20,000 | 22,034 | ||||||||
BAE Systems PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
3.40% | 04/15/30 | 4,5 | 30,000 | 31,892 | ||||||||
Berry Global, Inc. |
| |||||||||||
0.95% | 02/15/24 | 5 | 15,000 | 14,938 | ||||||||
1.57% | 01/15/26 | 5 | 28,000 | 27,590 | ||||||||
Boeing Co. (The) |
| |||||||||||
1.43% | 02/04/24 | 35,000 | 35,065 | |||||||||
CCL Industries, Inc. |
| |||||||||||
(Canada) | ||||||||||||
3.05% | 06/01/30 | 4,5 | 25,000 | 25,371 | ||||||||
General Electric Co. |
| |||||||||||
(MTN) | ||||||||||||
(LIBOR USD 3-Month plus 0.38%) |
| |||||||||||
0.58% | 05/05/26 | 6 | 10,000 | 9,743 | ||||||||
L3Harris Technologies, Inc. |
| |||||||||||
3.85% | 06/15/23 | 50,000 | 53,376 | |||||||||
Northrop Grumman Corp. |
| |||||||||||
5.25% | 05/01/50 | 20,000 | 26,138 | |||||||||
Sonoco Products Co. | ||||||||||||
3.13% | 05/01/30 | 10,000 | 10,338 | |||||||||
Sydney Airport Finance Co. Pty Ltd. |
| |||||||||||
(Australia) |
| |||||||||||
3.63% | 04/28/26 | 4,5 | 5,000 | 5,421 | ||||||||
Trane Technologies Luxembourg Finance SA |
| |||||||||||
(Luxembourg) |
| |||||||||||
3.55% | 11/01/24 | 4 | 5,000 | 5,410 | ||||||||
WRKCo, Inc. | ||||||||||||
3.00% | 09/15/24 | 30,000 | 31,906 | |||||||||
3.00% | 06/15/33 | 5,000 | 5,088 | |||||||||
4.90% | 03/15/29 | 20,000 | 23,375 | |||||||||
|
| |||||||||||
343,623 | ||||||||||||
|
| |||||||||||
Information Technology — 2.45% |
| |||||||||||
Amazon.com, Inc. |
| |||||||||||
2.50% | 06/03/50 | 40,000 | 35,815 | |||||||||
Apple, Inc. | ||||||||||||
2.38% | 02/08/41 | 25,000 | 23,185 | |||||||||
2.65% | 02/08/51 | 75,000 | 68,715 | |||||||||
Broadcom, Inc. | ||||||||||||
3.63% | 10/15/24 | 5,000 | 5,442 | |||||||||
Fiserv, Inc. | ||||||||||||
2.65% | 06/01/30 | 15,000 | 15,125 | |||||||||
Intel Corp. | ||||||||||||
3.25% | 11/15/49 | 15,000 | 15,114 | |||||||||
NVIDIA Corp. | ||||||||||||
3.50% | 04/01/50 | 25,000 | 26,453 | |||||||||
NXP BV/NXP Funding LLC |
| |||||||||||
(Netherlands) |
| |||||||||||
3.88% | 09/01/22 | 4,5 | 30,000 | 31,334 |
See accompanying Notes to Financial Statements. |
Annual Report March 2021 / 40 |
Table of Contents
Corporate Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Information Technology (continued) |
| |||||||||||
4.63% | 06/01/23 | 4,5 | $ | 10,000 | $ | 10,833 | ||||||
Oracle Corp. | ||||||||||||
3.60% | 04/01/50 | 60,000 | 58,218 | |||||||||
3.95% | 03/25/51 | 25,000 | 25,819 | |||||||||
|
| |||||||||||
316,053 | ||||||||||||
|
| |||||||||||
Insurance — 4.75% |
| |||||||||||
Allstate Corp. (The) |
| |||||||||||
3.85% | 08/10/49 | 25,000 | 27,574 | |||||||||
Aon Corp. 2.80% | 05/15/30 | 45,000 | 46,051 | |||||||||
3.75% | 05/02/29 | 5,000 | 5,509 | |||||||||
Berkshire Hathaway Finance Corp. |
| |||||||||||
4.20% | 08/15/48 | 20,000 | 23,116 | |||||||||
Equitable Financial Life Global Funding |
| |||||||||||
1.80% | 03/08/28 | 5 | 20,000 | 19,570 | ||||||||
Farmers Insurance Exchange |
| |||||||||||
4.75% | 11/01/57 | 3,5 | 55,000 | 57,583 | ||||||||
Guardian Life Insurance Co. of America (The) |
| |||||||||||
3.70% | 01/22/70 | 5 | 45,000 | 42,827 | ||||||||
Marsh & McLennan Cos., Inc. |
| |||||||||||
2.25% | 11/15/30 | 10,000 | 9,836 | |||||||||
Massachusetts Mutual Life Insurance Co. |
| |||||||||||
3.38% | 04/15/50 | 5 | 47,000 | 46,494 | ||||||||
Metropolitan Life Global Funding I |
| |||||||||||
2.95% | 04/09/30 | 5 | 40,000 | 41,730 | ||||||||
3.45% | 10/09/21 | 5 | 42,000 | 42,693 | ||||||||
Nationwide Mutual Insurance Co. |
| |||||||||||
2.47% | 12/15/24 | 3,5 | 30,000 | 29,983 | ||||||||
New York Life Insurance Co. | ||||||||||||
3.75% | 05/15/50 | 5 | 95,000 | 100,801 | ||||||||
Pacific LifeCorp | ||||||||||||
3.35% | 09/15/50 | 5 | 25,000 | 24,387 | ||||||||
Teachers Insurance & Annuity Association of America |
| |||||||||||
4.38% | 09/15/54 | 3,5 | 65,000 | 69,122 | ||||||||
Travelers Cos., Inc. (The) |
| |||||||||||
4.05% | 03/07/48 | 10,000 | 11,545 | |||||||||
Willis North America, Inc. |
| |||||||||||
2.95% | 09/15/29 | 15,000 | 15,517 | |||||||||
|
| |||||||||||
614,338 | ||||||||||||
|
| |||||||||||
Materials — 0.63% |
| |||||||||||
Georgia-Pacific LLC |
| |||||||||||
2.30% | 04/30/30 | 5 | 15,000 | 14,956 | ||||||||
International Flavors & Fragrances, Inc. |
| |||||||||||
4.45% | 09/26/28 | 5,000 | 5,675 | |||||||||
5.00% | 09/26/48 | 45,000 | 55,602 | |||||||||
Sherwin-Williams Co. (The) |
| |||||||||||
2.30% | 05/15/30 | 5,000 | 4,933 | |||||||||
|
| |||||||||||
81,166 | ||||||||||||
|
| |||||||||||
Real Estate Investment Trust (REIT) — 5.96% |
| |||||||||||
Alexandria Real Estate Equities, Inc. |
| |||||||||||
3.80% | 04/15/26 | 50,000 | 55,277 | |||||||||
4.50% | 07/30/29 | 11,000 | 12,664 | |||||||||
American Assets Trust LP |
| |||||||||||
3.38% | 02/01/31 | 30,000 | 29,755 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Real Estate Investment Trust (REIT) (continued) |
| |||||||||||
American Campus Communities Operating Partnership LP |
| |||||||||||
3.30% | 07/15/26 | $ | 10,000 | $ | 10,758 | |||||||
3.63% | 11/15/27 | 35,000 | 38,228 | |||||||||
3.75% | 04/15/23 | 25,000 | 26,444 | |||||||||
3.88% | 01/30/31 | 10,000 | 10,793 | |||||||||
AvalonBay Communities, Inc. (MTN) |
| |||||||||||
2.45% | 01/15/31 | 10,000 | 9,982 | |||||||||
Boston Properties LP |
| |||||||||||
3.25% | 01/30/31 | 10,000 | 10,363 | |||||||||
3.40% | 06/21/29 | 5,000 | 5,260 | |||||||||
Crown Castle International Corp. |
| |||||||||||
3.30% | 07/01/30 | 45,000 | 47,177 | |||||||||
CubeSmart LP |
| |||||||||||
4.38% | 02/15/29 | 5,000 | 5,574 | |||||||||
CyrusOne LP/CyrusOne Finance Corp. |
| |||||||||||
2.90% | 11/15/24 | 5,000 | 5,292 | |||||||||
3.45% | 11/15/29 | 55,000 | 56,710 | |||||||||
Essex Portfolio LP |
| |||||||||||
2.65% | 03/15/32 | 5,000 | 4,927 | |||||||||
GLP Capital LP/GLP Financing II, Inc. |
| |||||||||||
3.35% | 09/01/24 | 5,000 | 5,307 | |||||||||
4.00% | 01/15/30 | 65,000 | 67,659 | |||||||||
Healthcare Realty Trust, Inc. |
| |||||||||||
3.63% | 01/15/28 | 30,000 | 32,280 | |||||||||
Healthcare Trust of America Holdings LP |
| |||||||||||
3.75% | 07/01/27 | 65,000 | 72,036 | |||||||||
Hudson Pacific Properties LP |
| |||||||||||
3.95% | 11/01/27 | 50,000 | 53,664 | |||||||||
Kilroy Realty LP |
| |||||||||||
2.50% | 11/15/32 | 15,000 | 14,113 | |||||||||
3.45% | 12/15/24 | 10,000 | 10,707 | |||||||||
Lexington Realty Trust |
| |||||||||||
2.70% | 09/15/30 | 45,000 | 44,014 | |||||||||
Life Storage LP |
| |||||||||||
2.20% | 10/15/30 | 40,000 | 37,952 | |||||||||
Mid-America Apartments LP |
| |||||||||||
1.70% | 02/15/31 | 10,000 | 9,208 | |||||||||
SL Green Operating Partnership LP |
| |||||||||||
3.25% | 10/15/22 | 45,000 | 46,657 | |||||||||
(LIBOR USD 3-Month plus 0.98%) |
| |||||||||||
1.17% | 08/16/21 | 6 | 15,000 | 15,000 | ||||||||
UDR, Inc. | ||||||||||||
(MTN) | ||||||||||||
4.40% | 01/26/29 | 5,000 | 5,655 | |||||||||
Ventas Realty LP |
| |||||||||||
3.00% | 01/15/30 | 15,000 | 15,308 | |||||||||
4.13% | 01/15/26 | 10,000 | 11,213 | |||||||||
|
| |||||||||||
769,977 | ||||||||||||
|
| |||||||||||
Retail — 1.27% | ||||||||||||
7-Eleven, Inc. | ||||||||||||
0.80% | 02/10/24 | 5 | 35,000 | 34,899 | ||||||||
Alimentation Couche-Tard, Inc. |
| |||||||||||
(Canada) | ||||||||||||
3.80% | 01/25/50 | 4,5 | 50,000 | 50,709 |
See accompanying Notes to Financial Statements. |
41 / Annual Report March 2021 |
Table of Contents
Corporate Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Retail (continued) |
| |||||||||||
Home Depot, Inc. (The) |
| |||||||||||
3.90% | 12/06/28 | $ | 5,000 | $ | 5,734 | |||||||
Lowe’s Cos., Inc. | ||||||||||||
3.65% | 04/05/29 | 25,000 | 27,372 | |||||||||
McDonald’s Corp. |
| |||||||||||
(MTN) | ||||||||||||
4.20% | 04/01/50 | 20,000 | 22,835 | |||||||||
Starbucks Corp. | ||||||||||||
3.80% | 08/15/25 | 5,000 | 5,514 | |||||||||
Walgreens Boots Alliance, Inc. | ||||||||||||
4.80% | 11/18/44 | 15,000 | 16,607 | |||||||||
|
| |||||||||||
163,670 | ||||||||||||
|
| |||||||||||
Services — 1.53% |
| |||||||||||
IHS Markit Ltd. |
| |||||||||||
(Bermuda) | ||||||||||||
4.00% | 03/01/26 | 4,5 | 50,000 | 55,191 | ||||||||
4.75% | 08/01/28 | 4 | 5,000 | 5,784 | ||||||||
5.00% | 11/01/22 | 4,5 | 5,000 | 5,275 | ||||||||
Northwestern University |
| |||||||||||
3.69% | 12/01/38 | 10,000 | 10,995 | |||||||||
Pomona College, |
| |||||||||||
Series A | ||||||||||||
2.89% | 01/01/51 | 35,000 | 34,041 | |||||||||
RELX Capital, Inc. | ||||||||||||
4.00% | 03/18/29 | 35,000 | 38,646 | |||||||||
University of Chicago (The), |
| |||||||||||
Series 20B | ||||||||||||
2.76% | 04/01/45 | 5,000 | 4,868 | |||||||||
University of Southern California | ||||||||||||
2.81% | 10/01/50 | 10,000 | 9,668 | |||||||||
Waste Connections, Inc. |
| |||||||||||
(Canada) | ||||||||||||
2.60% | 02/01/30 | 4 | 5,000 | 5,025 | ||||||||
3.05% | 04/01/50 | 4 | 25,000 | 23,692 | ||||||||
William Marsh Rice University |
| |||||||||||
2.60% | 05/15/50 | 5,000 | 4,599 | |||||||||
|
| |||||||||||
197,784 | ||||||||||||
|
| |||||||||||
Transportation — 1.10% |
| |||||||||||
Burlington Northern Santa Fe LLC | ||||||||||||
4.40% | 03/15/42 | 18,000 | 21,101 | |||||||||
Delta Air Lines Pass-Through Trust, |
| |||||||||||
Series 2020-1, Class AA | ||||||||||||
2.00% | 06/10/28 | 24,253 | 24,322 | |||||||||
JetBlue Airways Pass-Through Trust, |
| |||||||||||
Series 2019-1, Class AA | ||||||||||||
2.75% | 05/15/32 | 14,451 | 14,562 | |||||||||
JetBlue Airways Pass-Through Trust, |
| |||||||||||
Series 2020-1, Class A | ||||||||||||
4.00% | 11/15/32 | 30,000 | 32,594 | |||||||||
U.S. Airways Pass-Through Trust, |
| |||||||||||
Series 2011-1, Class A | ||||||||||||
7.13% | 10/22/23 | 23,748 | 24,466 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Transportation (continued) |
| |||||||||||
U.S. Airways Pass-Through Trust, |
| |||||||||||
Series 2012-1, Class A | ||||||||||||
5.90% | 10/01/24 | $ | 15,555 | $ | 16,100 | |||||||
United Airlines Pass-Through Trust, |
| |||||||||||
Series 2016-2, Class AA |
| |||||||||||
2.88% | 10/07/28 | 8,414 | 8,542 | |||||||||
|
| |||||||||||
141,687 | ||||||||||||
|
| |||||||||||
Water — 0.40% |
| |||||||||||
American Water Capital Corp. | ||||||||||||
3.45% | 05/01/50 | 51,000 | 51,860 | |||||||||
|
| |||||||||||
Total Corporates |
| |||||||||||
(Cost $10,498,602) |
| 10,416,993 | ||||||||||
|
| |||||||||||
MORTGAGE-BACKED — 1.38%** |
| |||||||||||
Non-Agency Commercial Mortgage-Backed — 0.65% |
| |||||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2013-CR7, Class XA (IO) | ||||||||||||
1.21% | 03/10/46 | 3 | 325,401 | 6,248 | ||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2014-UBS5, Class XA (IO) | ||||||||||||
0.86% | 09/10/47 | 1,2,3 | 622,290 | 15,485 | ||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2014-UBS6, Class XA (IO) | ||||||||||||
0.89% | 12/10/47 | 3 | 477,674 | 12,186 | ||||||||
GS Mortgage Securities Trust, | ||||||||||||
Series 2010-C1, Class X (IO) | ||||||||||||
0.74% | 08/10/43 | 3,5 | 2,522,073 | 30,545 | ||||||||
GS Mortgage Securities Trust, |
| |||||||||||
Series 2011-GC3, Class X (IO) | ||||||||||||
0.17% | 03/10/44 | 3,5 | 699,361 | 282 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, |
| |||||||||||
Series 2012-C5, Class XA (IO) | ||||||||||||
1.41% | 08/15/45 | 3,5 | 229,168 | 2,804 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, |
| |||||||||||
Series 2012-C6, Class XA (IO) | ||||||||||||
1.61% | 11/15/45 | 1,2,3,5 | 150,996 | 2,383 | ||||||||
UBS-Barclays Commercial Mortgage Trust, |
| |||||||||||
Series 2012-C3, Class XB (IO) | ||||||||||||
0.20% | 08/10/49 | 1,2,3,5 | 2,200,000 | 7,146 | ||||||||
WF-RBS Commercial Mortgage Trust, |
| |||||||||||
Series 2012-C7, Class XA (IO) | ||||||||||||
1.30% | 06/15/45 | 3,5 | 762,896 | 6,314 | ||||||||
|
| |||||||||||
83,393 | ||||||||||||
|
| |||||||||||
U.S. Agency Commercial Mortgage-Backed — 0.35% |
| |||||||||||
Fannie Mae-Aces, |
| |||||||||||
Series 2014-M6, Class X2 (IO) | ||||||||||||
0.63% | 05/25/21 | 3 | 2,232,285 | 163 | ||||||||
Fannie Mae-Aces, |
| |||||||||||
Series 2015-M4, Class X2 (IO) | ||||||||||||
0.44% | 07/25/22 | 3 | 429,200 | 820 | ||||||||
Freddie Mac Multifamily Structured Pass-Through |
| |||||||||||
Certificates, |
| |||||||||||
Series K723, Class X1 (IO) | ||||||||||||
0.95% | 08/25/23 | 3 | 913,452 | 15,819 |
See accompanying Notes to Financial Statements. |
Annual Report March 2021 / 42 |
Table of Contents
Corporate Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
U.S. Agency Commercial Mortgage-Backed (continued) |
| |||||||||||
Ginnie Mae, |
| |||||||||||
Series 2009-111, Class IO (IO) |
| |||||||||||
0.22% | 09/16/51 | 3 | $ | 580,539 | $ | 23,414 | ||||||
Ginnie Mae, |
| |||||||||||
Series 2011-53, Class IO (IO) |
| |||||||||||
0.00% | 05/16/51 | 3 | 2,234,932 | 91 | ||||||||
Ginnie Mae, |
| |||||||||||
Series 2012-144, Class IO (IO) |
| |||||||||||
0.40% | 01/16/53 | 3 | 277,936 | 4,578 | ||||||||
|
| |||||||||||
44,885 | ||||||||||||
|
| |||||||||||
U.S. Agency Mortgage-Backed — 0.38% |
| |||||||||||
Fannie Mae REMICS, |
| |||||||||||
Series 2011-116, Class SA (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 6.00%, 6.00% Cap) |
| |||||||||||
5.89% | 11/25/41 | 6 | 63,660 | 8,883 | ||||||||
Fannie Mae REMICS, |
| |||||||||||
Series 2012-128, Class UA |
| |||||||||||
2.50% | 06/25/42 | 25,077 | 25,448 | |||||||||
Freddie Mac REMICS, |
| |||||||||||
Series 4638, Class UF |
| |||||||||||
(LIBOR USD 1-Month plus 1.00%) |
| |||||||||||
1.12% | 09/15/44 | 6 | 15,193 | 15,350 | ||||||||
|
| |||||||||||
49,681 | ||||||||||||
|
| |||||||||||
Total Mortgage-Backed |
| |||||||||||
(Cost $286,333) |
| 177,959 | ||||||||||
|
| |||||||||||
MUNICIPAL BONDS — 2.23%* |
| |||||||||||
California — 0.93% |
| |||||||||||
City of San Francisco Public Utilities Commission Water |
| |||||||||||
Revenue Bonds, Series E |
| |||||||||||
2.83% | 11/01/41 | 25,000 | �� | 24,883 | ||||||||
Los Angeles Department of Airports Revenue Bonds, Port, |
| |||||||||||
Airport and Marina Improvements, Series A |
| |||||||||||
3.89% | 05/15/38 | 15,000 | 16,747 | |||||||||
Los Angeles Department of Water & Power Power System |
| |||||||||||
Revenue Bonds, Water Utility Improvements, Series SY |
| |||||||||||
6.01% | 07/01/39 | 5,000 | 6,478 | |||||||||
Los Angeles Unified School District General Obligation |
| |||||||||||
Bonds, School Improvements, Series KR |
| |||||||||||
5.75% | 07/01/34 | 5,000 | 6,618 | |||||||||
5.76% | 07/01/29 | 5,000 | 6,210 | |||||||||
Los Angeles Unified School District General Obligation |
| |||||||||||
Bonds, School Improvements, Series RY |
| |||||||||||
6.76% | 07/01/34 | 5,000 | 7,069 | |||||||||
Regents of the University of California Medical Center |
| |||||||||||
Pooled Revenue Bonds, Health, Hospital and Nursing Home |
| |||||||||||
Improvements, Series N |
| |||||||||||
3.01% | 05/15/50 | 30,000 | 28,825 | |||||||||
3.26% | 05/15/60 | 5,000 | 5,007 | |||||||||
Santa Clara Valley Transportation Authority Revenue Bonds, |
| |||||||||||
Transit Improvements |
| |||||||||||
5.88% | 04/01/32 | 10,000 | 12,344 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MUNICIPAL BONDS (continued) |
| |||||||||||
California (continued) |
| |||||||||||
University of California, Taxable, College & University, |
| |||||||||||
Revenue Bonds, University & College Improvements, Series |
| |||||||||||
AJ |
| |||||||||||
4.60% | 05/15/31 | $ | 5,000 | $ | 5,826 | |||||||
|
| |||||||||||
120,007 | ||||||||||||
|
| |||||||||||
Colorado — 0.19% |
| |||||||||||
City & County of Denver Airport System Revenue Bonds, |
| |||||||||||
Series C |
| |||||||||||
2.24% | 11/15/30 | 25,000 | 24,466 | |||||||||
|
| |||||||||||
Florida — 0.12% | ||||||||||||
County of Miami-Dade Aviation Revenue Bonds, Airport and |
| |||||||||||
Marina Improvements, Series D |
| |||||||||||
3.50% | 10/01/31 | 15,000 | 15,842 | |||||||||
|
| |||||||||||
Georgia — 0.16% | ||||||||||||
City of Atlanta Water & Waste water Revenue Bonds |
| |||||||||||
2.26% | 11/01/35 | 20,000 | 19,870 | |||||||||
|
| |||||||||||
Massachusetts — 0.08% |
| |||||||||||
Massachusetts School Building Authority Revenue Bonds, |
| |||||||||||
Series B |
| |||||||||||
2.97% | 10/15/32 | 10,000 | 10,511 | |||||||||
|
| |||||||||||
New York — 0.63% |
| |||||||||||
City of New York General Obligation Bonds, Series D |
| |||||||||||
1.92% | 08/01/31 | 25,000 | 23,301 | |||||||||
Metropolitan Transportation Authority Revenue Bonds, |
| |||||||||||
Transit Improvements, Series C2 |
| |||||||||||
2 5.18% | 11/15/49 | 5,000 | 6,214 | |||||||||
New York City Transitional Finance Authority Future Tax |
| |||||||||||
Secured Revenue Bonds, Public Improvements |
| |||||||||||
3.73% | 08/01/29 | 5,000 | 5,585 | |||||||||
New York City Transitional Finance Authority Future |
| |||||||||||
Tax Secured Revenue Bonds, Taxable Bonds, Public |
| |||||||||||
Improvements |
| |||||||||||
3.96% | 08/01/32 | 30,000 | 33,214 | |||||||||
New York City Water & Sewer System Revenue Bonds, |
| |||||||||||
Series AA |
| |||||||||||
5.00% | 06/15/50 | 10,000 | 12,734 | |||||||||
|
| |||||||||||
81,048 | ||||||||||||
|
| |||||||||||
Ohio — 0.12% | ||||||||||||
Ohio, Taxable Revenue Bonds, Advanced Refunding, |
| |||||||||||
Cleveland Clinic |
| |||||||||||
2.89% | 01/01/32 | 15,000 | 15,619 | |||||||||
|
| |||||||||||
Total Municipal Bonds |
| |||||||||||
(Cost $289,811) |
| 287,363 | ||||||||||
|
| |||||||||||
U.S. TREASURY SECURITIES — 12.41% |
| |||||||||||
U.S. Treasury Bonds — 1.81% |
| |||||||||||
U.S. Treasury Bonds |
| |||||||||||
1.88% | 02/15/51 | 264,000 | 234,341 | |||||||||
|
| |||||||||||
U.S. Treasury Notes — 10.60% |
| |||||||||||
U.S. Treasury Notes |
| |||||||||||
0.13% | 01/31/23 | 223,000 | 222,895 |
See accompanying Notes to Financial Statements. |
43 / Annual Report March 2021 |
Table of Contents
Corporate Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
U.S. TREASURY SECURITIES (continued) |
| |||||||||||
U.S. Treasury Notes (continued) |
| |||||||||||
0.13% | 02/28/23 | $ | 412,000 | $ | 411,759 | |||||||
0.50% | 02/28/26 | 406,000 | 398,039 | |||||||||
1.13% | 02/15/31 | 356,000 | 336,448 | |||||||||
|
| |||||||||||
1,369,141 | ||||||||||||
|
| |||||||||||
Total U.S. Treasury Securities |
| |||||||||||
(Cost $1,607,208) |
| 1,603,482 | ||||||||||
|
| |||||||||||
Total Bonds — 96.98% |
| |||||||||||
(Cost $12,726,751) |
| 12,529,915 | ||||||||||
|
| |||||||||||
Issues | Maturity Date | Principal Amount/Shares | Value | |||||||||
SHORT-TERM INVESTMENTS — 2.06% |
| |||||||||||
Money Market Funds — 2.06% |
| |||||||||||
Dreyfus Government Cash Management Fund |
| |||||||||||
0.03%7 | 235,000 | 235,000 | ||||||||||
Fidelity Investments Money Market Funds - Government Portfolio |
| |||||||||||
0.01%7 | 31,086 | 31,086 | ||||||||||
|
| |||||||||||
Total Short-Term Investments |
| |||||||||||
(Cost $266,086) | 266,086 | |||||||||||
|
| |||||||||||
Total Investments - 99.04% |
| |||||||||||
(Cost $12,992,837) |
| 12,796,001 | ||||||||||
|
| |||||||||||
Cash and Other Assets, Less Liabilities - 0.96% |
| 124,490 | ||||||||||
|
| |||||||||||
Net Assets - 100.00% |
| $ | 12,920,491 | |||||||||
|
|
1 | Security is valued using significant unobservable inputs and is classified as Level 3 in the fair value hierarchy. |
2 | Illiquid security as determined under procedures approved by the Board of Trustees. The aggregate value of illiquid securities is $74,399, which is 0.58% of total net assets. |
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 | Foreign denominated security issued by foreign domiciled entity. |
5 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
6 | Floating rate security. The rate disclosed was in effect at March 31, 2021. |
7 | Represents the current yield as of March 31, 2021. |
* | 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): Bank Note
(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 Financial Statements. |
Annual Report March 2021 / 44 |
Table of Contents
Corporate Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||
FUTURES CONTRACTS: LONG POSITIONS | ||||||||||||||||||||
U.S. Treasury Five Year Note | 6 | 06/30/21 | $ | 740,391 | $ | (9,340) | $ | (9,340) | ||||||||||||
FUTURES CONTRACTS: SHORT POSITIONS | ||||||||||||||||||||
U.S. Treasury Ten Year Ultra Bond | 6 | 06/21/21 | (862,125) | 30,315 | 30,315 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
TOTAL FUTURES CONTRACTS | $ | (121,734) | $ | 20,975 | $ | 20,975 | ||||||||||||||
|
|
|
|
|
|
See accompanying Notes to Financial Statements. |
45 / Annual Report March 2021 |
Table of Contents
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
BONDS – 103.36% |
| |||||||||||
ASSET-BACKED SECURITIES — 14.09%** |
| |||||||||||
Aimco CLO 11 Ltd., |
| |||||||||||
Series 2020-11A, Class A1 |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.38%) |
| |||||||||||
1.60% | 10/15/31 | 1,2,3 | $ | 185,000 | $ | 185,324 | ||||||
Aimco CLO 14 Ltd., |
| |||||||||||
Series 2021-14A, Class SUB |
| |||||||||||
(Cayman Islands) |
| |||||||||||
0.00% | 04/20/34 | 1,3,4 | 700,000 | 654,850 | ||||||||
AMMC CLO 19 Ltd., |
| |||||||||||
Series 2016-19A, Class AR |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.14%) |
| |||||||||||
1.38% | 10/16/28 | 1,2,3 | 15,000 | 15,000 | ||||||||
AMMC CLO 23 Ltd., |
| |||||||||||
Series 2020-23A, Class A1L |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.40%) |
| |||||||||||
1.64% | 10/17/31 | 1,2,3 | 480,000 | 480,998 | ||||||||
BlueMountain CLO Ltd., |
| |||||||||||
Series 2018-3A, Class B |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.77%) |
| |||||||||||
1.99% | 10/25/30 | 1,2,3 | 250,000 | 250,176 | ||||||||
BlueMountain CLO XXX Ltd., |
| |||||||||||
Series 2020-30A, Class B |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.80%) |
| |||||||||||
1.96% | 01/15/33 | 1,2,3 | 250,000 | 250,729 | ||||||||
BMO SBA COOF Trust, |
| |||||||||||
Series 2019-1, Class A (IO) |
| |||||||||||
1.70% | 10/25/45 | 1,4 | 4,768,139 | 285,567 | ||||||||
Bombardier Capital Mortgage Securitization Corp., |
| |||||||||||
Series 1999-B, Class A2 |
| |||||||||||
6.98% | 12/15/29 | 4 | 997,492 | 231,621 | ||||||||
Bombardier Capital Mortgage Securitization Corp., |
| |||||||||||
Series 2000-A, Class A3 |
| |||||||||||
7.83% | 06/15/30 | 4 | 1,658,345 | 413,762 | ||||||||
Cedar Funding XII CLO Ltd., |
| |||||||||||
Series 2020-12A, Class A |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.27%) |
| |||||||||||
1.51% | 10/25/32 | 1,2,3 | 250,000 | 250,355 | ||||||||
Chase Auto Credit Linked Notes, |
| |||||||||||
Series 2021-1, Class R |
| |||||||||||
28.35% | 09/25/28 | †,1 | 550,000 | 549,999 | ||||||||
CIT Mortgage Loan Trust, |
| |||||||||||
Series 2007-1, Class 1M2 |
| |||||||||||
(LIBOR USD 1-Month plus 1.75%) |
| |||||||||||
1.86% | 10/25/37 | 1,2 | 600,000 | 570,623 | ||||||||
Conseco Finance Securitizations Corp., |
| |||||||||||
Series 2000-1, Class A5 |
| |||||||||||
8.06% | 09/01/29 | 4 | 3,425,620 | 1,052,789 | ||||||||
Conseco Finance Securitizations Corp., |
| |||||||||||
Series 2000-4, Class A5 |
| |||||||||||
7.97% | 05/01/32 | 1,992,158 | 615,862 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||
CoreVest American Finance Trust, |
| |||||||||||
Series 2019-3, Class XA (IO) |
| |||||||||||
2.06% | 10/15/52 | 1,4 | $ | 843,399 | $ | 60,793 | ||||||
Credit-Based Asset Servicing and Securitization LLC, |
| |||||||||||
Series 2007-CB1, Class AF3 (STEP-reset date 05/25/21) |
| |||||||||||
3.33% | 01/25/37 | 1,119,798 | 518,316 | |||||||||
Credit-Based Asset Servicing and Securitization LLC, |
| |||||||||||
Series 2007-CB1, Class AF6 (STEP-reset date 05/25/21) |
| |||||||||||
3.33% | 01/25/37 | 1,976,916 | 935,734 | |||||||||
Dryden 85 CLO Ltd., |
| |||||||||||
Series 2020-85A, Class D |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 3.90%) |
| |||||||||||
4.11% | 10/15/32 | 1,2,3 | 90,000 | 90,483 | ||||||||
Dryden XXVI Senior Loan Fund, |
| |||||||||||
Series 2013-26A, Class AR |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 0.90%) |
| |||||||||||
1.14% | 04/15/29 | 1,2,3 | 64,000 | 63,884 | ||||||||
Dryden XXVIII Senior Loan Fund, |
| |||||||||||
Series 2013-28A, Class A1LR |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.20%) |
| |||||||||||
1.39% | 08/15/30 | 1,2,3 | 10,000 | 10,008 | ||||||||
Eaton Vance CLO Ltd., |
| |||||||||||
Series 2020-1A, Class A |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.65%) |
| |||||||||||
1.89% | 10/15/30 | 1,2,3 | 90,000 | 90,307 | ||||||||
Galaxy XXIX CLO Ltd., |
| |||||||||||
Series 2018-29A, Class A |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 0.79%) |
| |||||||||||
0.98% | 11/15/26 | 1,2,3 | 147,097 | 147,176 | ||||||||
Gilbert Park CLO Ltd., |
| |||||||||||
Series 2017-1A, Class A |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.19%) |
| |||||||||||
1.43% | 10/15/30 | 1,2,3 | 485,000 | 485,024 | ||||||||
GoldenTree Loan Management U.S. CLO 8 Ltd., |
| |||||||||||
Series 2020-8A, Class A |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.55%) |
| |||||||||||
1.77% | 07/20/31 | 1,2,3 | 85,000 | 85,348 | ||||||||
Greenwood Park CLO Ltd., |
| |||||||||||
Series 2018-1A, Class SUB |
| |||||||||||
(Cayman Islands) |
| |||||||||||
0.00% | 04/15/31 | 1,3,4 | 675,000 | 513,668 | ||||||||
GSAA Home Equity Trust, |
| |||||||||||
Series 2007-5, Class 2A2A |
| |||||||||||
(LIBOR USD 1-Month plus 0.23%) |
| |||||||||||
0.34% | 04/25/47 | 2 | 1,041,972 | 662,094 | ||||||||
Invesco CLO Ltd., |
| |||||||||||
Series 2021-1A, Class SUB |
| |||||||||||
(Cayman Islands) |
| |||||||||||
0.00% | 04/15/34 | †,1,3,4 | 650,000 | 539,499 |
See accompanying Notes to Financial Statements. |
Annual Report March 2021 / 46 |
Table of Contents
Flexible Income Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||
J.G. Wentworth XXX LLC, |
| |||||||||||
Series 2013-3A, Class A |
| |||||||||||
4.08% | 01/17/73 | 1 | $ | 47,810 | $ | 52,662 | ||||||
J.G. Wentworth XXXII LLC, |
| |||||||||||
Series 2014-2A, Class A |
| |||||||||||
3.61% | 01/17/73 | 1 | 49,339 | 53,653 | ||||||||
JPMorgan Mortgage Acquisition Trust, |
| |||||||||||
Series 2006-CH2, Class AF3 (STEP-reset date 05/25/21) |
| |||||||||||
5.46% | 09/25/29 | 653,063 | 526,290 | |||||||||
JPMorgan Mortgage Acquisition Trust, |
| |||||||||||
Series 2006-CW2, Class AF5 (STEP-reset date 05/25/21) |
| |||||||||||
6.34% | 08/25/36 | 320,218 | 242,258 | |||||||||
JPMorgan Mortgage Acquisition Trust, |
| |||||||||||
Series 2006-WF1, Class A5 (STEP-reset date 05/25/21) |
| |||||||||||
6.91% | 07/25/36 | 1,968,028 | 877,282 | |||||||||
JPMorgan Mortgage Acquisition Trust, |
| |||||||||||
Series 2007-CH2, Class AF2 (STEP-reset date 05/25/21) |
| |||||||||||
4.55% | 01/25/37 | 528,911 | 374,522 | |||||||||
JPMorgan Mortgage Acquisition Trust, |
| |||||||||||
Series 2007-CH2, Class AF3 (STEP-reset date 05/25/21) |
| |||||||||||
4.55% | 10/25/30 | 812,018 | 556,121 | |||||||||
LCM XIII LP, |
| |||||||||||
Series 13A, Class ARR |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.14%) |
| |||||||||||
1.36% | 07/19/27 | 1,2,3 | 500,000 | 500,267 | ||||||||
LCM XXIV Ltd., |
| |||||||||||
Series 24A, Class AR |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(-1.00 X LIBOR USD 3-Month plus 0.98%, 0.98% Cap) |
| |||||||||||
0.00% | 03/20/30 | 1,2,3 | 500,000 | 500,255 | ||||||||
Lehman XS Trust, |
| |||||||||||
Series 2006-17, Class 1A3 |
| |||||||||||
(LIBOR USD 1-Month plus 0.50%) |
| |||||||||||
0.61% | 08/25/46 | 2 | 283,533 | 274,879 | ||||||||
Lehman XS Trust, |
| |||||||||||
Series 2006-17, Class 1AIO (IO) |
| |||||||||||
0.60% | 08/25/46 | 5,6 | 10,479,327 | 276,129 | ||||||||
Magnetite XXVII Ltd., |
| |||||||||||
Series 2020-27A, Class A1 |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.55%) |
| |||||||||||
1.77% | 07/20/33 | 1,2,3 | 85,000 | 85,181 | ||||||||
MASTR Asset-Backed Securities Trust, |
| |||||||||||
Series 2006-NC2, Class A3 |
| |||||||||||
(LIBOR USD 1-Month plus 0.22%) |
| |||||||||||
0.33% | 08/25/36 | 2 | 832,437 | 442,374 | ||||||||
Merrill Lynch Mortgage Investors Trust, |
| |||||||||||
Series 2006-HE6, Class A2B |
| |||||||||||
(LIBOR USD 1-Month plus 0.30%) |
| |||||||||||
0.41% | 11/25/37 | 2 | 918,785 | 446,327 | ||||||||
Navient Student Loan Trust, |
| |||||||||||
Series 2018-4A, Class B |
| |||||||||||
(LIBOR USD 1-Month plus 1.30%) |
| |||||||||||
1.41% | 06/27/67 | 1,2 | 850,000 | 821,635 |
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%) |
| |||||||||||
1.01% | 06/25/54 | 1,2 | $ | 100,000 | $ | 100,769 | ||||||
Neuberger Berman Loan Advisers CLO 40 Ltd., |
| |||||||||||
Series 2021-40A, Class SUB |
| |||||||||||
(Cayman Islands) |
| |||||||||||
0.00% | 04/16/33 | 1,3,4 | 275,000 | 260,177 | ||||||||
Oakwood Mortgage Investors, Inc., |
| |||||||||||
Series 1999-C, Class A2 |
| |||||||||||
7.48% | 08/15/27 | 435,054 | 412,407 | |||||||||
OCP CLO Ltd., |
| |||||||||||
Series 2017-14A, Class A1A |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.15%) |
| |||||||||||
1.33% | 11/20/30 | 1,2,3 | 325,000 | 325,220 | ||||||||
OHA Credit Funding 7 Ltd., |
| |||||||||||
Series 2020-7A, Class A |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.25%) |
| |||||||||||
1.47% | 10/19/32 | 1,2,3 | 275,000 | 275,341 | ||||||||
Palmer Square CLO Ltd., |
| |||||||||||
Series 2014-1A, Class A1R2 |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.13%) |
| |||||||||||
1.35% | 01/17/31 | 1,2,3 | 725,000 | 725,410 | ||||||||
Palmer Square CLO Ltd., |
| |||||||||||
Series 2020-3A, Class A1A |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.37%) |
| |||||||||||
1.60% | 11/15/31 | 1,2,3 | 550,000 | 551,633 | ||||||||
Palmer Square CLO Ltd., |
| |||||||||||
Series 2021-1A, Class SUB |
| |||||||||||
(Cayman Islands) |
| |||||||||||
0.00% | 04/20/34 | 1,3,4 | 625,000 | 605,801 | ||||||||
Palmer Square Loan Funding Ltd., |
| |||||||||||
Series 2019-4A, Class A1 |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 0.90%) |
| |||||||||||
1.12% | 10/24/27 | 1,2,3 | 27,999 | 28,015 | ||||||||
Palmer Square Loan Funding Ltd., |
| |||||||||||
Series 2020-2A, Class A2 |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.55%) |
| |||||||||||
1.77% | 04/20/28 | 1,2,3 | 10,000 | 10,007 | ||||||||
PHEAA Student Loan Trust, |
| |||||||||||
Series 2014-3A, Class A |
| |||||||||||
(LIBOR USD 1-Month plus 0.59%) |
| |||||||||||
0.70% | 08/25/40 | 1,2 | 42,883 | 42,666 | ||||||||
Progress Residential Trust, |
| |||||||||||
Series 2019-SFR1, Class A |
| |||||||||||
3.42% | 08/17/35 | 1 | 347,657 | 357,135 | ||||||||
Progress Residential Trust, |
| |||||||||||
Series 2019-SFR2, Class A |
| |||||||||||
3.15% | 05/17/36 | 1 | 331,430 | 339,466 |
See accompanying Notes to Financial Statements. |
47 / Annual Report March 2021 |
Table of Contents
Flexible Income Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||
Progress Residential, |
| |||||||||||
Series 2021-SFR1, Class H |
| |||||||||||
5.00% | 04/17/38 | 1 | $ | 750,000 | $ | 751,039 | ||||||
Rockford Tower CLO Ltd., |
| |||||||||||
Series 2017-2A, Class AR |
| |||||||||||
(Cayman Islands) | ||||||||||||
(LIBOR USD 3-Month plus1.02%) |
| |||||||||||
1.26% | 10/15/29 | 1,2,3 | 55,000 | 54,925 | ||||||||
Rockford Tower CLO Ltd., |
| |||||||||||
Series 2017-3A, Class A |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.19%) |
| |||||||||||
1.41% | 10/20/30 | 1,2,3 | 475,000 | 475,119 | ||||||||
Skyline Aircraft Finance LLC, |
| |||||||||||
Series 2021-1, Class A |
| |||||||||||
3.23% | 05/10/37 | 5,6 | 547,517 | 539,219 | ||||||||
SLM Student Loan Trust, |
| |||||||||||
Series 2004-1, Class B |
| |||||||||||
(LIBOR USD 3-Month plus 0.50%) |
| |||||||||||
0.72% | 07/25/39 | 2 | 64,579 | 61,093 | ||||||||
SLM Student Loan Trust, |
| |||||||||||
Series 2007-2, Class B |
| |||||||||||
(LIBOR USD 3-Month plus 0.17%) |
| |||||||||||
0.39% | 07/25/25 | 2 | 115,000 | 107,583 | ||||||||
SLM Student Loan Trust, |
| |||||||||||
Series 2008-5, Class A4 |
| |||||||||||
(LIBOR USD 3-Month plus 1.70%) |
| |||||||||||
1.92% | 07/25/23 | 2 | 8,681 | 8,745 | ||||||||
SLM Student Loan Trust, |
| |||||||||||
Series 2008-7, Class A4 |
| |||||||||||
(LIBOR USD 3-Month plus 0.90%) |
| |||||||||||
1.12% | 07/25/23 | 2 | 18,027 | 17,869 | ||||||||
SLM Student Loan Trust, |
| |||||||||||
Series 2008-7, Class B | ||||||||||||
(LIBOR USD 3-Month plus 1.85%) |
| |||||||||||
2.07% | 07/26/83 | 2 | 10,000 | 9,987 | ||||||||
Soundview Home Loan Trust, |
| |||||||||||
Series 2007-OPT2, Class 2A4 |
| |||||||||||
(LIBOR USD 1-Month plus 0.25%) |
| |||||||||||
0.36% | 07/25/37 | 2 | 384,299 | 342,267 | ||||||||
Soundview Home Loan Trust, |
| |||||||||||
Series 2007-OPT4, Class 1A1 |
| |||||||||||
(LIBOR USD 1-Month plus 1.00%) |
| |||||||||||
1.11% | 09/25/37 | 2 | 502,183 | 404,567 | ||||||||
Specialty Underwriting & Residential Finance Trust, |
| |||||||||||
Series 2006-BC2, Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.36%) |
| |||||||||||
0.47% | 02/25/37 | 2 | 931,325 | 430,541 | ||||||||
TAL Advantage VII LLC, |
| |||||||||||
Series 2020-1A, Class A |
| |||||||||||
2.05% | 09/20/45 | 1 | 587,450 | 587,638 | ||||||||
Textainer Marine Containers VIII Ltd., |
| |||||||||||
Series 2020-2A, Class A |
| |||||||||||
(Bermuda) |
| |||||||||||
2.10% | 09/20/45 | 1,3 | 552,863 | 555,386 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||
TIF Funding II LLC, |
| |||||||||||
Series 2020-1A, Class A |
| |||||||||||
2.09% | 08/20/45 | 1 | $ | 525,938 | $ | 523,525 | ||||||
Voya CLO Ltd., |
| |||||||||||
Series 2018-4A, Class BR |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.65%) |
| |||||||||||
1.83% | 01/15/32 | 1,2,3 | 250,000 | 250,125 | ||||||||
Voya CLO Ltd., |
| |||||||||||
Series 2020-2A, Class A1 |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.60%) |
| |||||||||||
1.82% | 07/19/31 | 1,2,3 | 160,000 | 160,313 | ||||||||
|
| |||||||||||
Total Asset-Backed Securities |
| |||||||||||
(Cost $25,611,895) |
| 25,353,812 | ||||||||||
|
| |||||||||||
BANK LOANS — 7.68%* |
| |||||||||||
Communications — 0.25% |
| |||||||||||
CenturyLink, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.25%) |
| |||||||||||
2.36% | 03/15/27 | 2 | 124,684 | 123,571 | ||||||||
CSC Holdings LLC, |
| |||||||||||
Term Loan B5, 1st Lien |
| |||||||||||
(LIBOR plus 2.50%) |
| |||||||||||
2.61% | 04/15/27 | 2 | 49,874 | 49,371 | ||||||||
Frontier Communications Corp., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 4.75%) |
| |||||||||||
5.75% | 10/08/21 | 2 | 125,000 | 124,844 | ||||||||
GTT Communications BV, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(EURIBOR plus 3.25%) |
| |||||||||||
3.25% | 05/31/25 | 2 | 149,615 | 158,369 | ||||||||
|
| |||||||||||
456,155 | ||||||||||||
|
| |||||||||||
Consumer Discretionary — 0.51% |
| |||||||||||
ADMI Corp., | ||||||||||||
Term Loan B2, 1st Lien |
| |||||||||||
(LIBOR plus 3.25%) |
| |||||||||||
3.75% | 12/23/27 | 2 | 150,000 | 148,865 | ||||||||
Kwor Acquisition, Inc., |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 4.00%) |
| |||||||||||
4.11% | 06/03/26 | 2 | 324,175 | 320,933 | ||||||||
Peraton Corp., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.75%) |
| |||||||||||
4.50% | 02/01/28 | 2 | 99,641 | 99,807 | ||||||||
Sunshine Luxembourg VII SARL, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.75%) |
| |||||||||||
4.50% | 10/01/26 | 2 | 250,000 | 250,063 |
See accompanying Notes to Financial Statements. |
Annual Report March 2021 / 48 |
Table of Contents
Flexible Income Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
BANK LOANS (continued) |
| |||||||||||
Consumer Discretionary (continued) |
| |||||||||||
Waystar technologies, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 4.00%) |
| |||||||||||
4.11% | 10/22/26 | 2 | $ | 99,497 | $ | 99,809 | ||||||
|
| |||||||||||
919,477 | ||||||||||||
|
| |||||||||||
Electric — 1.01% |
| |||||||||||
Astoria Energy LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.50%) |
| |||||||||||
4.50% | 12/10/27 | 2 | 273,506 | 274,141 | ||||||||
Calpine Corp., |
| |||||||||||
Term Loan B9, 1st Lien |
| |||||||||||
(LIBOR plus 2.00%) |
| |||||||||||
2.11% | 04/05/26 | 2 | 249,365 | 246,985 | ||||||||
CommScope, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.25%) |
| |||||||||||
3.36% | 04/06/26 | 2 | 398,987 | 397,337 | ||||||||
Endure Digital, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.50%) |
| |||||||||||
4.25% | 02/10/28 | 2 | 400,000 | 396,500 | ||||||||
Vistra Operations Co., LLC, |
| |||||||||||
Term Loan B3, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
1.86% | 12/31/25 | 2 | 498,615 | 495,766 | ||||||||
|
| |||||||||||
1,810,729 | ||||||||||||
|
| |||||||||||
Entertainment — 0.57% |
| |||||||||||
CineWorld Finance U.S., Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.50%) |
| |||||||||||
3.50% | 02/28/25 | 2 | 125,224 | 107,356 | ||||||||
Crown Finance U.S., Inc., |
| |||||||||||
Term Loan B1, 1st Lien |
| |||||||||||
7.00% | 05/23/24 | 2 | 721,226 | 915,507 | ||||||||
|
| |||||||||||
1,022,863 | ||||||||||||
|
| |||||||||||
Finance — 0.65% |
| |||||||||||
DCG Acquisition Corp., |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 4.50%) |
| |||||||||||
4.61% | 09/30/26 | 2 | 274,304 | 273,961 | ||||||||
Delos Finance SARL, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
1.95% | 10/06/23 | 2 | 275,000 | 274,754 | ||||||||
Mirion Technologies, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 4.00%) |
| |||||||||||
4.20% | 03/06/26 | 2 | 99,492 | 99,779 | ||||||||
Rent-A-Center, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 4.00%) |
| |||||||||||
4.75% | 02/04/28 | 2 | 250,000 | 251,771 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
BANK LOANS (continued) |
| |||||||||||
Finance (continued) |
| |||||||||||
Schweitzer-Mauduit International, Inc., |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 4.00%) |
| |||||||||||
4.00% | 01/27/28 | 2 | $ | 275,000 | $ | 274,656 | ||||||
|
| |||||||||||
1,174,921 | ||||||||||||
|
| |||||||||||
Food — 0.05% |
| |||||||||||
Houston Foods, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.75%) |
| |||||||||||
3.86% | 07/20/25 | 2 | 99,489 | 98,556 | ||||||||
|
| |||||||||||
Gaming — 0.22% |
| |||||||||||
Churchill Downs, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.00%) |
| |||||||||||
2.11% | 12/27/24 | 2 | 398,969 | 397,972 | ||||||||
|
| |||||||||||
Health Care — 1.27% |
| |||||||||||
Avantor Funding, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.25%) |
| |||||||||||
3.25% | 11/08/27 | 2 | 99,750 | 99,912 | ||||||||
Avolon TLB Borrower 1 U.S. LLC, |
| |||||||||||
Term Loan B3, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
2.50% | 01/15/25 | 2 | 275,000 | 274,449 | ||||||||
BCPE Eagle Buyer LLC, |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 4.25%) |
| |||||||||||
5.25% | 03/18/24 | 2 | 308,652 | 308,009 | ||||||||
Buckeye Partners LP, |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 2.25%) |
| |||||||||||
2.36% | 11/01/26 | 2 | 249,375 | 248,569 | ||||||||
CPI Holdco LLC, |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 4.00%) |
| |||||||||||
4.11% | 11/04/26 | 2 | 99,497 | 99,535 | ||||||||
Elanco Animal Health, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
1.87% | 08/01/27 | 2 | 548,188 | 541,824 | ||||||||
Genesee & Wyoming, Inc., |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 2.00%) |
| |||||||||||
2.20% | 12/30/26 | 2 | 274,307 | 273,750 | ||||||||
Gentiva Health Services, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.75%) |
| |||||||||||
2.88% | 07/02/25 | 2 | 70,973 | 70,678 | ||||||||
Horizon Therapeutics USA, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.00%) |
| |||||||||||
2.50% | 02/26/28 | 2 | 275,000 | 274,587 |
See accompanying Notes to Financial Statements. |
49 / Annual Report March 2021 |
Table of Contents
Flexible Income Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
BANK LOANS (continued) |
| |||||||||||
Health Care (continued) |
| |||||||||||
Pathway Vet Alliance LLC, |
| |||||||||||
Term Loan, 1st Lien | ||||||||||||
(LIBOR plus 3.75%) | ||||||||||||
3.86% | 03/31/27 | 2 | $ | 99,499 | $ | 99,053 | ||||||
|
| |||||||||||
2,290,366 | ||||||||||||
|
| |||||||||||
Industrials — 0.48% |
| |||||||||||
Berry Global, Inc., | ||||||||||||
Term Loan Z, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) | ||||||||||||
1.90% | 07/01/26 | 2 | 399,000 | 396,381 | ||||||||
Charter NEX U.S., Inc., |
| |||||||||||
Term Loan, 1st Lien | ||||||||||||
(LIBOR plus 4.25%) | ||||||||||||
5.00% | 12/01/27 | 2 | 75,000 | 75,248 | ||||||||
Proampac PG Borrower LLC, |
| �� | ||||||||||
Term Loan, 1st Lien | ||||||||||||
(LIBOR plus 4.00%) | ||||||||||||
5.00% | 11/03/25 | 2 | 200,000 | 200,166 | ||||||||
Zep, Inc., | ||||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 4.00%) | ||||||||||||
5.00% | 08/12/24 | 2 | 198,969 | 197,383 | ||||||||
|
| |||||||||||
869,178 | ||||||||||||
|
| |||||||||||
Information Technology — 1.76% |
| |||||||||||
AppLovin Corp., | ||||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.50%) | ||||||||||||
3.61% | 08/15/25 | 2 | 274,298 | 274,400 | ||||||||
BJ’s Wholesale Club, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.00%) | ||||||||||||
2.11% | 02/03/24 | 2 | 425,000 | 425,266 | ||||||||
Ciox Health, | ||||||||||||
Term Loan, 1st Lien | ||||||||||||
(LIBOR plus 5.00%) | ||||||||||||
6.00% | 12/16/25 | 2 | 75,000 | 75,219 | ||||||||
EagleView Technology Co., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.50%) | ||||||||||||
3.69% | 08/14/25 | 2 | 274,298 | 270,698 | ||||||||
Gainwell Acquisition Corp., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 4.00%) | ||||||||||||
4.75% | 10/01/27 | 2 | 250,000 | 249,375 | ||||||||
IQVIA, Inc., | ||||||||||||
Term Loan B2, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) | ||||||||||||
1.86% | 01/17/25 | 2 | 398,966 | 397,420 | ||||||||
Nouryon USA LLC, | ||||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.75%) | ||||||||||||
2.86% | 10/01/25 | 2 | 398,955 | 393,428 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
BANK LOANS (continued) |
| |||||||||||
Information Technology (continued) |
| |||||||||||
Peraton Corp., |
| |||||||||||
Delayed-Draw Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.75%) |
| |||||||||||
3.75% | 02/01/28 | 2 | $ | 175,359 | $ | 175,652 | ||||||
Precision Medicine Group LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.00%) |
| |||||||||||
3.75% | 11/18/27 | 2,7 | 352,962 | 351,087 | ||||||||
RealPage, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.75%) |
| |||||||||||
3.75% | 02/18/28 | 2 | 275,000 | 274,083 | ||||||||
Spin Holdco, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 4.00%) |
| |||||||||||
4.75% | 03/04/28 | 2 | 275,000 | 273,010 | ||||||||
|
| |||||||||||
3,159,638 | ||||||||||||
|
| |||||||||||
Insurance — 0.15% |
| |||||||||||
Asurion LLC, |
| |||||||||||
Term Loan B7, 1st Lien |
| |||||||||||
(LIBOR plus 3.00%) |
| |||||||||||
3.11% | 11/03/24 | 2 | 274,295 | 273,524 | ||||||||
|
| |||||||||||
Real Estate Investment Trust (REIT) — 0.22% |
| |||||||||||
VICI Properties 1 LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
1.86% | 12/20/24 | 2 | 400,000 | 396,044 | ||||||||
|
| |||||||||||
Retail — 0.32% |
| |||||||||||
AmWINS Group, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.25%) |
| |||||||||||
3.00% | 02/19/28 | 2 | 174,563 | 173,513 | ||||||||
Sinclair Television Group, Inc., |
| |||||||||||
Term Loan B2B, 1st Lien |
| |||||||||||
(LIBOR plus 2.50%) |
| |||||||||||
2.61% | 09/30/26 | 2 | 398,987 | 393,501 | ||||||||
|
| |||||||||||
567,014 | ||||||||||||
|
| |||||||||||
Services — 0.22% |
| |||||||||||
SS&C Technologies, Inc., |
| |||||||||||
Term Loan B5, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
1.86% | 04/16/25 | 2 | 398,921 | 395,514 | ||||||||
|
| |||||||||||
Total Bank Loans |
| |||||||||||
(Cost $13,638,163) |
| 13,831,951 | ||||||||||
|
| |||||||||||
CORPORATES — 26.34%* |
| |||||||||||
Banking — 2.07% |
| |||||||||||
Bank of America Corp. |
| |||||||||||
2.59% | 04/29/31 | 4 | 260,000 | 259,684 | ||||||||
Bank of America Corp. |
| |||||||||||
(MTN) |
| |||||||||||
2.88% | 10/22/30 | 4 | 5,000 | 5,146 |
See accompanying Notes to Financial Statements. |
Annual Report March 2021 / 50 |
Table of Contents
Flexible Income Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Banking (continued) |
| |||||||||||
Bank of America Corp., |
| |||||||||||
Series N |
| |||||||||||
1.66% | 03/11/27 | 4 | $ | 340,000 | $ | 341,146 | ||||||
Comerica, Inc. |
| |||||||||||
5.63% | 10/01/69 | 4 | 15,000 | 16,556 | ||||||||
Credit Suisse Group AG |
| |||||||||||
(Switzerland) |
| |||||||||||
1.31% | 02/02/27 | 1,3,4 | 250,000 | 242,020 | ||||||||
2.19% | 06/05/26 | 1,3,4 | 25,000 | 25,380 | ||||||||
Fifth Third Bancorp |
| |||||||||||
2.55% | 05/05/27 | 10,000 | 10,415 | |||||||||
HSBC Holdings PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
1.59% | 05/24/27 | 3,4 | 345,000 | 339,771 | ||||||||
2.63% | 11/07/25 | 3,4 | 150,000 | 157,048 | ||||||||
4.29% | 09/12/26 | 3,4 | 130,000 | 143,891 | ||||||||
JPMorgan Chase & Co. |
| |||||||||||
2.18% | 06/01/28 | 4 | 20,000 | 20,231 | ||||||||
2.52% | 04/22/31 | 4 | 285,000 | 284,629 | ||||||||
3.20% | 06/15/26 | 5,000 | 5,409 | |||||||||
Lloyds Banking Group PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
1.63% | 05/11/27 | 3,4 | 305,000 | 303,244 | ||||||||
2.86% | 03/17/23 | 3,4 | 220,000 | 224,691 | ||||||||
3.87% | 07/09/25 | 3,4 | 30,000 | 32,673 | ||||||||
Santander UK Group Holdings PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
1.09% | 03/15/25 | 3,4 | 325,000 | 325,364 | ||||||||
3.37% | 01/05/24 | 3,4 | 160,000 | 167,302 | ||||||||
4.80% | 11/15/24 | 3,4 | 135,000 | 148,646 | ||||||||
Wells Fargo & Co. |
| |||||||||||
(MTN) |
| |||||||||||
2.16% | 02/11/26 | 4 | 345,000 | 356,102 | ||||||||
2.39% | 06/02/28 | 4 | 305,000 | 312,771 | ||||||||
|
| |||||||||||
3,722,119 | ||||||||||||
|
| |||||||||||
Communications — 5.33% |
| |||||||||||
AT&T, Inc. |
| |||||||||||
3.50% | 09/15/53 | 1 | 35,000 | 32,405 | ||||||||
3.80% | 12/01/57 | 1 | 130,000 | 123,845 | ||||||||
4.75% | 05/15/46 | 400,000 | 461,254 | |||||||||
Cable One, Inc. |
| |||||||||||
4.00% | 11/15/30 | 1 | 360,000 | 355,835 | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. |
| |||||||||||
4.50% | 05/01/32 | 1 | 355,000 | 359,964 | ||||||||
Charter Communications Operating LLC/Charter |
| |||||||||||
Communications Operating Capital |
| |||||||||||
5.38% | 05/01/47 | 141,000 | 163,960 | |||||||||
CSC Holdings LLC |
| |||||||||||
3.38% | 02/15/31 | 1 | 45,000 | 42,470 | ||||||||
6.50% | 02/01/29 | 1 | 99,000 | 109,581 | ||||||||
Diamond Sports Group LLC/Diamond Sports Finance Co. |
| |||||||||||
5.38% | 08/15/26 | 1 | 824,000 | 595,101 | ||||||||
6.63% | 08/15/27 | 1 | 525,000 | 281,205 | ||||||||
DISH Network Corp. |
| |||||||||||
3.38% | 08/15/26 | 287,000 | 276,611 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Communications (continued) |
| |||||||||||
Frontier Communications Corp. |
| |||||||||||
5.00% | 05/01/28 | 1 | $ | 282,000 | $ | 287,331 | ||||||
Intelsat Jackson Holdings SA |
| |||||||||||
(Luxembourg) |
| |||||||||||
5.50% | 08/01/23 | 3,8,9 | 535,000 | 329,025 | ||||||||
8.50% | 10/15/24 | 1,3,8,9 | 270,000 | 171,619 | ||||||||
9.75% | 07/15/25 | 1,3,8,9 | 360,000 | 225,864 | ||||||||
Level 3 Financing, Inc. |
| |||||||||||
3.63% | 01/15/29 | 1 | 40,000 | 38,859 | ||||||||
4.25% | 07/01/28 | 1 | 150,000 | 151,843 | ||||||||
4.63% | 09/15/27 | 1 | 172,000 | 177,326 | ||||||||
National CineMedia LLC |
| |||||||||||
5.88% | 04/15/28 | 1 | 483,000 | 450,397 | ||||||||
Qwest Corp. |
| |||||||||||
7.25% | 09/15/25 | 212,000 | 248,835 | |||||||||
Scripps Escrow II, Inc. |
| |||||||||||
5.38% | 01/15/31 | 1 | 449,000 | 446,474 | ||||||||
Scripps Escrow, Inc. |
| |||||||||||
5.88% | 07/15/27 | 1 | 116,000 | 120,205 | ||||||||
Sprint Corp. |
| |||||||||||
7.88% | 09/15/23 | 252,000 | 288,351 | |||||||||
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint |
| |||||||||||
Spectrum Co. III LLC |
| |||||||||||
4.74% | 03/20/25 | 1 | 325,000 | 348,993 | ||||||||
5.15% | 03/20/28 | 1 | 495,000 | 565,538 | ||||||||
Time Warner Cable LLC |
| |||||||||||
5.50% | 09/01/41 | 80,000 | 94,987 | |||||||||
T-Mobile USA, Inc. |
| |||||||||||
2.25% | 02/15/26 | 758,000 | 760,146 | |||||||||
2.55% | 02/15/31 | 1 | 199,000 | 195,207 | ||||||||
4.38% | 04/15/40 | 1 | 15,000 | 16,681 | ||||||||
6.00% | 04/15/24 | 348,000 | 351,045 | |||||||||
Verizon Communications, Inc. |
| |||||||||||
2.10% | 03/22/28 | 85,000 | 85,314 | |||||||||
2.55% | 03/21/31 | 255,000 | 254,804 | |||||||||
3.15% | 03/22/30 | 5,000 | 5,278 | |||||||||
Virgin Media Secured Finance PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
4.50% | 08/15/30 | 1,3 | 324,000 | 327,515 | ||||||||
5.50% | 05/15/29 | 1,3 | 36,000 | 38,262 | ||||||||
Vmed O2 UK Financing I PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
4.25% | 01/31/31 | 1,3 | 375,000 | 365,475 | ||||||||
Vodafone Group PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
4.25% | 09/17/50 | 3 | 60,000 | 66,028 | ||||||||
4.38% | 05/30/28 | 3 | 205,000 | 235,649 | ||||||||
Walt Disney Co. (The) |
| |||||||||||
2.65% | 01/13/31 | 85,000 | 86,873 | |||||||||
3.60% | 01/13/51 | 55,000 | 58,682 | |||||||||
|
| |||||||||||
9,594,837 | ||||||||||||
|
| |||||||||||
Consumer Discretionary — 1.26% |
| |||||||||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev |
| |||||||||||
Worldwide, Inc. |
| |||||||||||
4.90% | 02/01/46 | 215,000 | 257,409 |
See accompanying Notes to Financial Statements. |
51 / Annual Report March 2021 |
Table of Contents
Flexible Income Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
CORPORATES (continued) | ||||||||||
Consumer Discretionary (continued) |
| |||||||||
Bacardi Ltd. |
| |||||||||
(Bermuda) | ||||||||||
4.45% | 05/15/251,3 | $ | 215,000 | $ | 239,225 | |||||
4.70% | 05/15/281,3 | 65,000 | 74,426 | |||||||
5.30% | 05/15/481,3 | 115,000 | 141,752 | |||||||
BAT Capital Corp. | ||||||||||
2.73% | 03/25/31 | 15,000 | 14,593 | |||||||
3.56% | 08/15/27 | 165,000 | 175,705 | |||||||
4.39% | 08/15/37 | 150,000 | 157,444 | |||||||
Central Garden & Pet Co. |
| |||||||||
4.13% | 10/15/30 | 278,000 | 281,249 | |||||||
Imperial Brands Finance PLC | ||||||||||
(United Kingdom) | ||||||||||
4.25% | 07/21/251,3 | 160,000 | 176,130 | |||||||
Reynolds American, Inc. |
| |||||||||
4.45% | 06/12/25 | 95,000 | 105,474 | |||||||
5.70% | 08/15/35 | 100,000 | 118,666 | |||||||
5.85% | 08/15/45 | 195,000 | 229,366 | |||||||
Spectrum Brands, Inc. |
| |||||||||
3.88% | 03/15/311 | 300,000 | 293,960 | |||||||
|
| |||||||||
2,265,399 | ||||||||||
|
| |||||||||
Electric — 1.13% | ||||||||||
Alliant Energy Finance LLC |
| |||||||||
1.40% | 03/15/261 | 245,000 | 240,620 | |||||||
Duke Energy Carolinas LLC |
| |||||||||
4.00% | 09/30/42 | 250,000 | 280,027 | |||||||
Evergy, Inc. | ||||||||||
4.85% | 06/01/21 | 20,000 | 20,000 | |||||||
Eversource Energy, | ||||||||||
Series O | ||||||||||
4.25% | 04/01/29 | 8,000 | 9,124 | |||||||
FirstEnergy Corp., | ||||||||||
Series C | ||||||||||
3.40% | 03/01/50 | 546,000 | �� | 480,265 | ||||||
FirstEnergy Transmission LLC |
| |||||||||
2.87% | 09/15/281 | 418,000 | 422,077 | |||||||
NextEra Energy Capital Holdings, Inc. |
| |||||||||
(LIBOR USD 3-Month plus 0.27%) |
| |||||||||
0.45% | 02/22/232 | 385,000 | 385,081 | |||||||
Pennsylvania Electric Co. |
| |||||||||
4.15% | 04/15/251 | 5,000 | 5,342 | |||||||
Public Service Co. of New Mexico |
| |||||||||
3.85% | 08/01/25 | 40,000 | 43,022 | |||||||
Tucson Electric Power Co. |
| |||||||||
3.85% | 03/15/23 | 140,000 | 147,964 | |||||||
|
| |||||||||
2,033,522 | ||||||||||
|
| |||||||||
Energy — 3.13% | ||||||||||
Antero Resources Corp. |
| |||||||||
8.38% | 07/15/261 | 350,000 | 386,750 | |||||||
Archrock Partners LP/Archrock Partners Finance Corp. |
| |||||||||
6.25% | 04/01/281 | 148,000 | 151,163 | |||||||
Endeavor Energy Resources LP/EER Finance, Inc. |
| |||||||||
5.75% | 01/30/281 | 138,000 | 145,979 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Energy (continued) |
| |||||||||||
Energy Transfer Operating LP |
| |||||||||||
4.75% | 01/15/26 | $ | 10,000 | $ | 11,092 | |||||||
4.90% | 03/15/35 | 20,000 | 21,254 | |||||||||
4.95% | 06/15/28 | 100,000 | 111,972 | |||||||||
5.00% | 05/15/50 | 55,000 | 57,107 | |||||||||
Energy Transfer Operating LP, |
| |||||||||||
Series B | ||||||||||||
6.63% | 02/15/704 | 733,000 | 651,454 | |||||||||
Exxon Mobil Corp. | ||||||||||||
4.23% | 03/19/40 | 70,000 | 78,854 | |||||||||
4.33% | 03/19/50 | 20,000 | 22,995 | |||||||||
Galaxy Pipeline Assets Bidco Ltd. |
| |||||||||||
(United Kingdom) | ||||||||||||
2.16% | 03/31/341,3 | 200,000 | 194,250 | |||||||||
Hess Corp. | ||||||||||||
4.30% | 04/01/27 | 45,000 | 49,163 | |||||||||
5.60% | 02/15/41 | 20,000 | 23,120 | |||||||||
KazMunayGas National Co. JSC |
| |||||||||||
(Kazakhstan) | ||||||||||||
3.50% | 04/14/331,3 | 200,000 | 205,260 | |||||||||
KazMunayGas National Co. JSC, |
| |||||||||||
Series REGS | ||||||||||||
(Kazakhstan) | ||||||||||||
3.50% | 04/14/333 | 200,000 | 205,260 | |||||||||
NGL Energy Operating LLC/NGL Energy Finance Corp. |
| |||||||||||
7.50% | 02/01/261 | 294,000 | 302,714 | |||||||||
NGPL Pipe Co. LLC |
| |||||||||||
4.38% | 08/15/221 | 25,000 | 25,957 | |||||||||
4.88% | 08/15/271 | 40,000 | 44,858 | |||||||||
Petroleos del Peru SA, |
| |||||||||||
Series REGS | ||||||||||||
(Peru) | ||||||||||||
4.75% | 06/19/323 | 200,000 | 211,286 | |||||||||
Petroleos Mexicanos |
| |||||||||||
(Mexico) | ||||||||||||
5.95% | 01/28/313 | 5,000 | 4,794 | |||||||||
6.63% | 06/15/353 | 5,000 | 4,764 | |||||||||
6.75% | 09/21/473 | 15,000 | 12,784 | |||||||||
6.95% | 01/28/603 | 5,000 | 4,291 | |||||||||
7.69% | 01/23/503 | 140,000 | 129,780 | |||||||||
Petronas Capital Ltd. |
| |||||||||||
(Malaysia) | ||||||||||||
3.50% | 04/21/301,3 | 200,000 | 214,360 | |||||||||
Plains All American Pipeline LP/PAA Finance Corp. |
| |||||||||||
4.65% | 10/15/25 | 98,000 | 107,975 | |||||||||
Rockies Express Pipeline LLC |
| |||||||||||
4.80% | 05/15/301 | 234,000 | 231,806 | |||||||||
4.95% | 07/15/291 | 215,000 | 220,058 | |||||||||
Ruby Pipeline LLC | ||||||||||||
8.00% | 04/01/221,5,6 | 254,659 | 213,302 | |||||||||
Sabine Pass Liquefaction LLC |
| |||||||||||
5.75% | 05/15/24 | 55,000 | 62,192 | |||||||||
Southern Natural Gas Co. LLC |
| |||||||||||
4.80% | 03/15/471 | 65,000 | 74,387 | |||||||||
Sunoco Logistics Partners Operations LP |
| |||||||||||
5.40% | 10/01/47 | 28,000 | 30,036 |
See accompanying Notes to Financial Statements. |
Annual Report March 2021 / 52 |
Table of Contents
Flexible Income Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Energy (continued) |
| |||||||||||
Sunoco LP/Sunoco Finance Corp. |
| |||||||||||
4.50% | 05/15/29 | 1 | $ | 479,000 | $ | 477,802 | ||||||
TC PipeLines LP |
| |||||||||||
4.38% | 03/13/25 | 33,000 | 36,558 | |||||||||
Texas Eastern Transmission LP |
| |||||||||||
2.80% | 10/15/22 | 1 | 170,000 | 174,892 | ||||||||
TransMontaigne Partners LP/TLP Finance Corp. |
| |||||||||||
6.13% | 02/15/26 | 150,000 | 151,125 | |||||||||
Transocean Phoenix 2 Ltd. |
| |||||||||||
(Cayman Islands) |
| |||||||||||
7.75% | 10/15/24 | 1,3 | 93,000 | 90,442 | ||||||||
Transocean Poseidon Ltd. |
| |||||||||||
(Cayman Islands) |
| |||||||||||
6.88% | 02/01/27 | 1,3 | 35,000 | 32,416 | ||||||||
Transocean Proteus Ltd. |
| |||||||||||
(Cayman Islands) |
| |||||||||||
6.25% | 12/01/24 | 1,3 | 270,000 | 257,175 | ||||||||
USA Compression Partners LP/USA Compression Finance Corp. |
| |||||||||||
6.88% | 09/01/27 | 132,000 | 136,183 | |||||||||
Williams Cos., Inc. (The) |
| |||||||||||
4.30% | 03/04/24 | 60,000 | 65,490 | |||||||||
|
| |||||||||||
5,633,100 | ||||||||||||
|
| |||||||||||
Entertainment — 0.03% |
| |||||||||||
Live Nation Entertainment, Inc. |
| |||||||||||
4.75% | 10/15/27 | 1 | 53,000 | 53,480 | ||||||||
|
| |||||||||||
Finance — 2.16% |
| |||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust |
| |||||||||||
(Ireland) |
| |||||||||||
3.65% | 07/21/27 | 3 | 25,000 | 26,254 | ||||||||
3.88% | 01/23/28 | 3 | 5,000 | 5,225 | ||||||||
4.45% | 10/01/25 | 3 | 110,000 | 119,855 | ||||||||
5.00% | 10/01/21 | 3 | 25,000 | 25,544 | ||||||||
Air Lease Corp. |
| |||||||||||
2.25% | 01/15/23 | 25,000 | 25,672 | |||||||||
Air Lease Corp. |
| |||||||||||
(MTN) |
| |||||||||||
3.00% | 02/01/30 | 35,000 | 34,328 | |||||||||
Citigroup, Inc. |
| |||||||||||
2.57% | 06/03/31 | 4 | 190,000 | 190,006 | ||||||||
4.41% | 03/31/31 | 4 | 15,000 | 17,137 | ||||||||
Discover Financial Services |
| |||||||||||
3.95% | 11/06/24 | 205,000 | 224,406 | |||||||||
Ford Motor Credit Co. LLC |
| |||||||||||
3.81% | 10/12/21 | 6,000 | 6,075 | |||||||||
4.25% | 09/20/22 | 85,000 | 88,063 | |||||||||
5.60% | 01/07/22 | 430,000 | 442,827 | |||||||||
(LIBOR USD 3-Month plus 0.81%) |
| |||||||||||
1.05% | 04/05/21 | 2 | 5,000 | 5,000 | ||||||||
(LIBOR USD 3-Month plus 1.27%) |
| |||||||||||
1.46% | 03/28/22 | 2 | 300,000 | 298,093 | ||||||||
GE Capital International Funding Co. |
| |||||||||||
(Ireland) |
| |||||||||||
4.42% | 11/15/35 | 3 | 330,000 | 378,122 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Finance (continued) |
| |||||||||||
General Motors Financial Co., Inc. |
| |||||||||||
3.20% | 07/06/21 | $ | 280,000 | $ | 281,225 | |||||||
4.38% | 09/25/21 | 10,000 | 10,186 | |||||||||
Goldman Sachs Group, Inc. (The) |
| |||||||||||
1.43% | 03/09/27 | 4 | 395,000 | 391,422 | ||||||||
3.27% | 09/29/25 | 4 | 165,000 | 176,827 | ||||||||
3.69% | 06/05/28 | 4 | 5,000 | 5,462 | ||||||||
Intercontinental Exchange, Inc. |
| |||||||||||
(LIBOR USD 3-Month plus 0.65%) |
| |||||||||||
0.83% | 06/15/23 | 2 | 150,000 | 150,272 | ||||||||
JPMorgan Chase & Co. |
| |||||||||||
2.08% | 04/22/26 | 4 | 165,000 | 169,657 | ||||||||
Morgan Stanley |
| |||||||||||
(GMTN) |
| |||||||||||
4.43% | 01/23/30 | 4 | 125,000 | 143,513 | ||||||||
Nationwide Building Society |
| |||||||||||
(United Kingdom) |
| |||||||||||
3.77% | 03/08/24 | 1,3,4 | 205,000 | 216,667 | ||||||||
4.36% | 08/01/24 | 1,3,4 | 25,000 | 27,006 | ||||||||
Park Aerospace Holdings Ltd. |
| |||||||||||
(Cayman Islands) |
| |||||||||||
4.50% | 03/15/23 | 1,3 | 30,000 | 31,346 | ||||||||
5.25% | 08/15/22 | 1,3 | 30,000 | 31,504 | ||||||||
5.50% | 02/15/24 | 1,3 | 5,000 | 5,439 | ||||||||
Pipeline Funding Co. LLC |
| |||||||||||
7.50% | 01/15/30 | 1 | 157,640 | 197,497 | ||||||||
Raymond James Financial, Inc. |
| |||||||||||
4.65% | 04/01/30 | 145,000 | 169,446 | |||||||||
|
| |||||||||||
3,894,076 | ||||||||||||
|
| |||||||||||
Food — 1.25% |
| |||||||||||
Campbell Soup Co. |
| |||||||||||
4.15% | 03/15/28 | 10,000 | 11,204 | |||||||||
Chobani LLC/Chobani Finance Corp, Inc. |
| |||||||||||
4.63% | 11/15/28 | 1 | 284,000 | 291,163 | ||||||||
Conagra Brands, Inc. |
| |||||||||||
4.85% | 11/01/28 | 10,000 | 11,653 | |||||||||
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc. |
| |||||||||||
(Canada) |
| |||||||||||
5.50% | 01/15/30 | 1,3 | 376,000 | 416,890 | ||||||||
Kraft Heinz Foods Co. |
| |||||||||||
3.00% | 06/01/26 | 185,000 | 195,138 | |||||||||
4.88% | 10/01/49 | 70,000 | 79,164 | |||||||||
Pilgrim’s Pride Corp. |
| |||||||||||
4.25% | 04/15/31 | 1 | 180,000 | 179,493 | ||||||||
5.88% | 09/30/27 | 1 | 184,000 | 197,407 | ||||||||
Post Holdings, Inc. |
| |||||||||||
4.50% | 09/15/31 | 1 | 225,000 | 223,301 | ||||||||
4.63% | 04/15/30 | 1 | 320,000 | 321,200 | ||||||||
Simmons Foods, Inc./Simmons Prepared Foods, Inc./ |
| |||||||||||
Simmons Pet Food, Inc./Simmons Feed |
| |||||||||||
4.63% | 03/01/29 | 1 | 160,000 | 161,513 | ||||||||
Smithfield Foods, Inc. |
| |||||||||||
3.35% | 02/01/22 | 1 | 165,000 | 167,121 |
See accompanying Notes to Financial Statements. |
53 / Annual Report March 2021 |
Table of Contents
Flexible Income Fund
Schedule of Portfolio Investments
March 31, 2021
Issues
| Maturity
| Principal
| Value
| |||||||||
CORPORATES (continued) |
| |||||||||||
Food (continued) |
| |||||||||||
5.20% | 04/01/29 | 1 | $ | 5,000 | $ | 5,742 | ||||||
|
| |||||||||||
2,260,989 | ||||||||||||
|
| |||||||||||
Gaming — 0.25% |
| |||||||||||
Caesars Entertainment, Inc. |
| |||||||||||
6.25% | 07/01/25 | 1 | 143,000 | 152,620 | ||||||||
Churchill Downs, Inc. |
| |||||||||||
5.50% | 04/01/27 | 1 | 139,000 | 145,476 | ||||||||
Live Nation Entertainment, Inc. |
| |||||||||||
3.75% | 01/15/28 | 1 | 150,000 | 148,312 | ||||||||
|
| |||||||||||
446,408 | ||||||||||||
|
| |||||||||||
Health Care — 3.37% |
| |||||||||||
AbbVie, Inc. |
| |||||||||||
3.85% | 06/15/24 | 10,000 | 10,894 | |||||||||
4.05% | 11/21/39 | 5,000 | 5,582 | |||||||||
4.25% | 11/21/49 | 180,000 | 204,012 | |||||||||
4.50% | 05/14/35 | 134,000 | 157,505 | |||||||||
Aetna, Inc. |
| |||||||||||
3.50% | 11/15/24 | 10,000 | 10,807 | |||||||||
Amgen, Inc. |
| |||||||||||
3.15% | 02/21/40 | 100,000 | 99,840 | |||||||||
Bausch Health Cos., Inc. |
| |||||||||||
(Canada) |
| |||||||||||
7.00% | 03/15/24 | 1,3 | 191,000 | 195,584 | ||||||||
Bayer U.S. Finance II LLC |
| |||||||||||
4.25% | 12/15/25 | 1 | 255,000 | 284,017 | ||||||||
4.38% | 12/15/28 | 1 | 210,000 | 237,336 | ||||||||
4.88% | 06/25/48 | 1 | 180,000 | 215,904 | ||||||||
Becton Dickinson and Co. |
| |||||||||||
3.73% | 12/15/24 | 10,000 | 10,929 | |||||||||
Centene Corp. |
| |||||||||||
3.00% | 10/15/30 | 323,000 | 322,868 | |||||||||
Cigna Corp. |
| |||||||||||
3.40% | 03/01/27 | 30,000 | 32,614 | |||||||||
4.90% | 12/15/48 | 75,000 | 92,088 | |||||||||
CommonSpirit Health |
| |||||||||||
2.78% | 10/01/30 | 35,000 | 35,700 | |||||||||
4.35% | 11/01/42 | 100,000 | 110,987 | |||||||||
CVS Health Corp. | ||||||||||||
5.05% | 03/25/48 | 190,000 | 233,440 | |||||||||
Elanco Animal Health, Inc. |
| |||||||||||
5.27% | 08/28/23 | 140,000 | 150,937 | |||||||||
5.90% | 08/28/28 | 65,000 | 73,897 | |||||||||
Encompass Health Corp. |
| |||||||||||
4.75% | 02/01/30 | 156,000 | 160,741 | |||||||||
Endo Luxembourg Finance Co. I Sarl/Endo U.S., Inc. |
| |||||||||||
(Luxembourg) |
| |||||||||||
6.13% | 04/01/29 | 1,3 | 350,000 | 355,467 | ||||||||
Fresenius Medical Care U.S. Finance II, Inc. |
| |||||||||||
5.88% | 01/31/22 | 1 | 120,000 | 124,891 | ||||||||
Gilead Sciences, Inc. | ||||||||||||
(LIBOR USD 3-Month plus 0.52%) |
| |||||||||||
0.71% | 09/29/23 | 2 | 155,000 | 155,201 | ||||||||
HCA, Inc. |
| |||||||||||
4.13% | 06/15/29 | 80,000 | 88,677 |
Issues
| Maturity
| Principal
| Value
| |||||||||
CORPORATES (continued) |
| |||||||||||
Health Care (continued) |
| |||||||||||
5.00% | 03/15/24 | $ | 10,000 | $ | 11,145 | |||||||
5.25% | 06/15/49 | 185,000 | 226,917 | |||||||||
ModivCare, Inc. |
| |||||||||||
5.88% | 11/15/25 | 1 | 274,000 | 288,899 | ||||||||
Molina Healthcare, Inc. |
| |||||||||||
3.88% | 11/15/30 | 1 | 763,000 | 785,794 | ||||||||
4.38% | 06/15/28 | 1 | 74,000 | 76,260 | ||||||||
Prime Healthcare Services, Inc. |
| |||||||||||
7.25% | 11/01/25 | 1 | 413,000 | 440,877 | ||||||||
Royalty Pharma PLC | ||||||||||||
(United Kingdom) |
| |||||||||||
1.75% | 09/02/27 | 1,3 | 225,000 | 219,672 | ||||||||
Tenet Healthcare Corp. |
| |||||||||||
4.63% | 09/01/24 | 1 | 130,000 | 134,017 | ||||||||
4.63% | 06/15/28 | 1 | 96,000 | 98,518 | ||||||||
4.88% | 01/01/26 | 1 | 230,000 | 239,430 | ||||||||
UnitedHealth Group, Inc. |
| |||||||||||
3.70% | 08/15/49 | 5,000 | 5,478 | |||||||||
Viatris, Inc. |
| |||||||||||
1.13% | 06/22/22 | 1 | 40,000 | 40,240 | ||||||||
Zimmer Biomet Holdings, Inc. |
| |||||||||||
3.55% | 03/20/30 | 120,000 | 128,437 | |||||||||
|
| |||||||||||
6,065,602 | ||||||||||||
|
| |||||||||||
Industrials — 0.99% | ||||||||||||
BAE Systems Holdings, Inc. |
| |||||||||||
3.85% | 12/15/25 | 1 | 60,000 | 66,103 | ||||||||
Berry Global, Inc. |
| |||||||||||
0.95% | 02/15/24 | 1 | 140,000 | 139,423 | ||||||||
1.57% | 01/15/26 | 1 | 200,000 | 197,068 | ||||||||
Boeing Co. (The) |
| |||||||||||
1.43% | 02/04/24 | 340,000 | 340,630 | |||||||||
General Electric Co. | ||||||||||||
(MTN) | ||||||||||||
(LIBOR USD 3-Month plus 0.38%) |
| |||||||||||
0.58% | 05/05/26 | 2 | 60,000 | 58,459 | ||||||||
(LIBOR USD 3-Month plus 0.48%) |
| |||||||||||
0.67% | 08/15/36 | 2 | 52,000 | 42,134 | ||||||||
General Electric Co., | ||||||||||||
Series A (MTN) |
| |||||||||||
6.75% | 03/15/32 | 30,000 | 40,231 | |||||||||
Graham Packaging Co., Inc. |
| |||||||||||
7.13% | 08/15/28 | 1 | 140,000 | 149,367 | ||||||||
Graphic Packaging International LLC |
| |||||||||||
3.50% | 03/15/28 | 1 | 193,000 | 192,573 | ||||||||
PowerTeam Services LLC |
| |||||||||||
9.03% | 12/04/25 | 1 | 179,000 | 197,581 | ||||||||
Titan Acquisition Ltd./Titan Co-Borrower LLC |
| |||||||||||
(Canada) |
| |||||||||||
7.75% | 04/15/26 | 1,3 | 195,000 | 203,492 | ||||||||
Trident TPI Holdings, Inc. |
| |||||||||||
9.25% | 08/01/24 | 1 | 142,000 | 151,591 | ||||||||
|
| |||||||||||
1,778,652 | ||||||||||||
|
|
See accompanying Notes to Financial Statements. |
Annual Report March 2021 / 54 |
Table of Contents
Flexible Income Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Information Technology — 0.56% |
| |||||||||||
Fiserv, Inc. | ||||||||||||
2.65% | 06/01/30 | $ | 10,000 | $ | 10,083 | |||||||
Intel Corp. | ||||||||||||
4.75% | 03/25/50 | 25,000 | 31,391 | |||||||||
NCR Corp. | ||||||||||||
5.13% | 04/15/29 | 1 | 360,000 | 363,557 | ||||||||
Oracle Corp. | ||||||||||||
2.88% | 03/25/31 | 170,000 | 173,144 | |||||||||
3.95% | 03/25/51 | 270,000 | 278,849 | |||||||||
SS&C Technologies, Inc. |
| |||||||||||
5.50% | 09/30/27 | 1 | 142,000 | 151,415 | ||||||||
|
| |||||||||||
1,008,439 | ||||||||||||
|
| |||||||||||
Insurance — 0.69% |
| |||||||||||
Acrisure LLC/Acrisure Finance, Inc. |
| |||||||||||
4.25% | 02/15/29 | 1 | 305,000 | 300,213 | ||||||||
Aon Corp. | ||||||||||||
2.80% | 05/15/30 | 15,000 | 15,350 | |||||||||
Berkshire Hathaway Finance Corp. |
| |||||||||||
4.25% | 01/15/49 | 10,000 | 11,591 | |||||||||
Farmers Insurance Exchange |
| |||||||||||
4.75% | 11/01/57 | 1,4 | 135,000 | 141,340 | ||||||||
Metropolitan Life Global Funding I |
| |||||||||||
2.95% | 04/09/30 | 1 | 15,000 | 15,649 | ||||||||
Nationwide Mutual Insurance Co. |
| |||||||||||
2.47% | 12/15/24 | 1,4 | 375,000 | 374,794 | ||||||||
New York Life Insurance Co. |
| |||||||||||
3.75% | 05/15/50 | 1 | 170,000 | 180,380 | ||||||||
Teachers Insurance & Annuity Association of America |
| |||||||||||
3.30% | 05/15/50 | 1 | 85,000 | 82,858 | ||||||||
4.27% | 05/15/47 | 1 | 40,000 | 45,104 | ||||||||
4.38% | 09/15/54 | 1,4 | 65,000 | 69,122 | ||||||||
|
| |||||||||||
1,236,401 | ||||||||||||
|
| |||||||||||
Materials — 0.64% |
| |||||||||||
Clearwater Paper Corp. |
| |||||||||||
4.75% | 08/15/28 | 1 | 284,000 | 287,154 | ||||||||
Corp. Nacional del Cobre de Chile, |
| |||||||||||
Series REGS |
| |||||||||||
(Chile) |
| |||||||||||
3.15% | 01/14/30 | 3 | 200,000 | 208,420 | ||||||||
Indonesia Asahan Aluminium Persero PT, |
| |||||||||||
Series REGS | ||||||||||||
(Indonesia) | ||||||||||||
5.45% | 05/15/30 | 3 | 200,000 | 227,500 | ||||||||
6.53% | 11/15/28 | 3 | 200,000 | 241,295 | ||||||||
International Flavors & Fragrances, Inc. |
| |||||||||||
5.00% | 09/26/48 | 65,000 | 80,315 | |||||||||
Nutrition & Biosciences, Inc. |
| |||||||||||
3.47% | 12/01/50 | 1 | 110,000 | 108,015 | ||||||||
|
| |||||||||||
1,152,699 | ||||||||||||
|
| |||||||||||
Real Estate Investment Trust (REIT) — 1.73% |
| |||||||||||
Alexandria Real Estate Equities, Inc. |
| |||||||||||
3.80% | 04/15/26 | 75,000 | 82,915 | |||||||||
American Assets Trust LP |
| |||||||||||
3.38% | 02/01/31 | 500,000 | 495,918 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Real Estate Investment Trust (REIT) (continued) |
| |||||||||||
American Campus Communities Operating Partnership LP |
| |||||||||||
3.30% | 07/15/26 | $ | 55,000 | $ | 59,168 | |||||||
3.63% | 11/15/27 | 80,000 | 87,379 | |||||||||
3.75% | 04/15/23 | 60,000 | 63,466 | |||||||||
3.88% | 01/30/31 | 35,000 | 37,774 | |||||||||
Boston Properties LP |
| |||||||||||
2.75% | 10/01/26 | 10,000 | 10,527 | |||||||||
3.25% | 01/30/31 | 70,000 | 72,540 | |||||||||
Crown Castle International Corp. |
| |||||||||||
3.30% | 07/01/30 | 35,000 | 36,693 | |||||||||
CyrusOne LP/CyrusOne Finance Corp. |
| |||||||||||
2.90% | 11/15/24 | 5,000 | 5,292 | |||||||||
3.45% | 11/15/29 | 140,000 | 144,352 | |||||||||
GLP Capital LP/GLP Financing II, Inc. |
| |||||||||||
4.00% | 01/15/30 | 180,000 | 187,362 | |||||||||
5.25% | 06/01/25 | 380,000 | 426,793 | |||||||||
5.38% | 11/01/23 | 10,000 | 10,947 | |||||||||
5.75% | 06/01/28 | 10,000 | 11,565 | |||||||||
Healthcare Realty Trust, Inc. |
| |||||||||||
3.63% | 01/15/28 | 150,000 | 161,399 | |||||||||
Healthcare Trust of America Holdings LP |
| |||||||||||
2.00% | 03/15/31 | 140,000 | 130,527 | |||||||||
Healthpeak Properties, Inc. |
| |||||||||||
3.40% | 02/01/25 | 25,000 | 26,891 | |||||||||
Hudson Pacific Properties LP |
| |||||||||||
3.95% | 11/01/27 | 55,000 | 59,031 | |||||||||
Kilroy Realty LP |
| |||||||||||
2.50% | 11/15/32 | 50,000 | 47,044 | |||||||||
Lexington Realty Trust |
| |||||||||||
2.70% | 09/15/30 | 160,000 | 156,495 | |||||||||
MGM Growth Properties Operating Partnership LP/MGP |
| |||||||||||
Finance Co.-Issuer, Inc. |
| |||||||||||
4.63% | 06/15/25 | 1 | 212,000 | 223,730 | ||||||||
SL Green Operating Partnership LP |
| |||||||||||
3.25% | 10/15/22 | 420,000 | 435,461 | |||||||||
(LIBOR USD 3-Month plus 0.98%) |
| |||||||||||
1.17% | 08/16/21 | 2 | 150,000 | 150,005 | ||||||||
|
| |||||||||||
3,123,274 | ||||||||||||
|
| |||||||||||
Retail — 0.84% | ||||||||||||
1011778 BC ULC/New Red Finance, Inc. |
| |||||||||||
(Canada) | ||||||||||||
3.50% | 02/15/29 | 1,3 | 441,000 | 429,328 | ||||||||
7-Eleven, Inc. | ||||||||||||
0.80% | 02/10/24 | 1 | 185,000 | 184,466 | ||||||||
Alimentation Couche-Tard, Inc. |
| |||||||||||
(Canada) | ||||||||||||
2.95% | 01/25/30 | 1,3 | 75,000 | 76,659 | ||||||||
FirstCash, Inc. | ||||||||||||
4.63% | 09/01/28 | 1 | 443,000 | 452,691 | ||||||||
Yum! Brands, Inc. | ||||||||||||
4.63% | 01/31/32 | 360,000 | 367,989 | |||||||||
|
| |||||||||||
1,511,133 | ||||||||||||
|
|
See accompanying Notes to Financial Statements. |
55 / Annual Report March 2021 |
Table of Contents
Flexible Income Fund
Schedule of Portfolio Investments
March 31, 2021
Issues
|
Maturity Date
|
Principal Amount
| Value
| |||||||||
CORPORATES (continued) |
| |||||||||||
Services — 0.83% |
| |||||||||||
Adtalem Global Education, Inc. |
| |||||||||||
5.50% | 03/01/28 | 1 | $ | 220,000 | $ | 218,345 | ||||||
Gartner,Inc. | ||||||||||||
3.75% | 10/01/30 | 1 | 147,000 | 145,638 | ||||||||
GFL Environmental, Inc. |
| |||||||||||
(Canada) |
| |||||||||||
3.75% | 08/01/25 | 1,3 | 203,000 | 206,426 | ||||||||
5.13% | 12/15/26 | 1,3 | 18,000 | 18,983 | ||||||||
IHS Markit Ltd. | ||||||||||||
(Bermuda) | ||||||||||||
3.63% | 05/01/24 | 3 | 200,000 | 214,878 | ||||||||
4.00% | 03/01/26 | 1,3 | 200,000 | 220,763 | ||||||||
4.75% | 02/15/25 | 1,3 | 80,000 | 89,676 | ||||||||
5.00% | 11/01/22 | 1,3 | 10,000 | 10,549 | ||||||||
Rent-A-Center, Inc. |
| |||||||||||
6.38% | 02/15/29 | 1 | 200,000 | 213,000 | ||||||||
Waste Pro USA, Inc. |
| |||||||||||
5.50% | 02/15/26 | 1 | 147,000 | 150,918 | ||||||||
|
| |||||||||||
1,489,176 | ||||||||||||
|
| |||||||||||
Transportation — 0.08% |
| |||||||||||
Continental Airlines Pass-Through Trust, |
| |||||||||||
Series 2001-1, Class A1 |
| |||||||||||
6.70% | 06/15/21 | 2,282 | 2,304 | |||||||||
Delta Air Lines Pass-Through Trust, |
| |||||||||||
Series 2020-1, Class AA |
| |||||||||||
2.00% | 06/10/28 | 24,253 | 24,322 | |||||||||
JetBlue Airways Pass-Through Trust, |
| |||||||||||
Series 2019-1, Class AA |
| |||||||||||
2.75% | 05/15/32 | 28,903 | 29,123 | |||||||||
JetBlue Airways Pass-Through Trust, |
| |||||||||||
Series 2020-1, Class A |
| |||||||||||
4.00% | 11/15/32 | 75,000 | 81,486 | |||||||||
U.S. Airways Pass-Through Trust, |
| |||||||||||
Series 2012-1, Class A |
| |||||||||||
5.90% | 10/01/24 | 15,555 | 16,100 | |||||||||
|
| |||||||||||
153,335 | ||||||||||||
|
| |||||||||||
Total Corporates | ||||||||||||
(Cost $47,692,200) | 47,422,641 | |||||||||||
|
| |||||||||||
FOREIGN GOVERNMENT OBLIGATIONS — 2.42% |
| |||||||||||
Foreign Government Obligations — 2.42% |
| |||||||||||
Abu Dhabi Government International Bond, |
| |||||||||||
Series REGS | ||||||||||||
(United Arab Emirates) |
| |||||||||||
2.50% | 09/30/29 | 3 | 200,000 | 205,601 | ||||||||
Brazilian Government International Bond |
| |||||||||||
(Brazil) |
| |||||||||||
3.88% | 06/12/30 | 3 | 200,000 | 194,372 | ||||||||
Chile Government International Bond |
| |||||||||||
(Chile) |
| |||||||||||
2.55% | 01/27/32 | 3 | 200,000 | 202,246 | ||||||||
Colombia Government International Bond |
| |||||||||||
(Colombia) |
| |||||||||||
3.00% | 01/30/30 | 3 | 400,000 | 392,498 |
Issues
|
Maturity Date
|
Principal Amount
| Value
| |||||||||
FOREIGN GOVERNMENT OBLIGATIONS (continued) |
| |||||||||||
Foreign Government Obligations (continued) |
| |||||||||||
Dominican Republic International Bond, |
| |||||||||||
Series REGS | ||||||||||||
(Dominican Republic) |
| |||||||||||
4.88% | 09/23/32 | 3 | $ | 150,000 | $ | 152,550 | ||||||
Egypt Government International Bond |
| |||||||||||
(Egypt) |
| |||||||||||
7.60% | 03/01/29 | 1,3 | 200,000 | 213,443 | ||||||||
Mexico Government International Bond |
| |||||||||||
(Mexico) |
| |||||||||||
2.66% | 05/24/31 | 3 | 412,000 | 392,512 | ||||||||
Panama Government International Bond |
| |||||||||||
(Panama) |
| |||||||||||
3.16% | 01/23/30 | 3 | 200,000 | 208,880 | ||||||||
3.88% | 03/17/28 | 3 | 200,000 | 219,100 | ||||||||
Paraguay Government International Bond |
| |||||||||||
(Paraguay) |
| |||||||||||
4.95% | 04/28/31 | 1,3 | 200,000 | 227,002 | ||||||||
Peruvian Government International Bond |
| |||||||||||
(Peru) |
| |||||||||||
1.86% | 12/01/32 | 3 | 100,000 | 91,480 | ||||||||
2.78% | 01/23/31 | 3 | 100,000 | 100,370 | ||||||||
2.84% | 06/20/30 | 3 | 200,000 | 203,503 | ||||||||
Philippine Government International Bond |
| |||||||||||
(Philippines) |
| |||||||||||
1.65% | 06/10/31 | 3 | 200,000 | 189,417 | ||||||||
Qatar Government International Bond, |
| |||||||||||
Series REGS | ||||||||||||
(Qatar) | ||||||||||||
4.50% | 04/23/28 | 3 | 200,000 | 233,750 | ||||||||
Republic of South Africa Government International Bond |
| |||||||||||
(South Africa) |
| |||||||||||
4.85% | 09/30/29 | 3 | 200,000 | 201,551 | ||||||||
Romanian Government International Bond, |
| |||||||||||
Series REGS | ||||||||||||
(Romania) | ||||||||||||
3.00% | 02/14/31 | 3 | 100,000 | 100,338 | ||||||||
Saudi Government International Bond |
| |||||||||||
(Saudi Arabia) |
| |||||||||||
2.75% | 02/03/32 | 1,3 | 200,000 | 200,502 | ||||||||
3.75% | 01/21/55 | 1,3 | 200,000 | 196,875 | ||||||||
Turkey Government International Bond |
| |||||||||||
(Turkey) |
| |||||||||||
3.25% | 03/23/23 | 3 | 200,000 | 192,879 | ||||||||
Uruguay Government International Bond |
| |||||||||||
(Uruguay) |
| |||||||||||
4.38% | 01/23/31 | 3 | 200,000 | 232,531 | ||||||||
|
| |||||||||||
Total Foreign Government Obligations |
| |||||||||||
(Cost $4,521,426) | 4,351,400 | |||||||||||
|
| |||||||||||
MORTGAGE-BACKED — 52.20%** |
| |||||||||||
Non-Agency Commercial Mortgage-Backed — 11.27% |
| |||||||||||
Banc of America Commercial Mortgage Trust, |
| |||||||||||
Series 2015-UBS7, Class XA (IO) |
| |||||||||||
0.79% | 09/15/48 | 4 | 7,272,287 | 224,139 |
See accompanying Notes to Financial Statements. |
Annual Report March 2021 / 56 |
Table of Contents
Flexible Income Fund
Schedule of Portfolio Investments
March 31, 2021
Issues
|
Maturity Date
|
Principal Amount
| Value
| |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Commercial Mortgage-Backed (continued) |
| |||||||||||
Banc of America Commercial Mortgage Trust, |
| |||||||||||
Series 2015-UBS7, Class XE (IO) |
| |||||||||||
1.25% | 09/15/48 | 1,4 | $ | 500,000 | $ | 21,088 | ||||||
BANK, |
| |||||||||||
Series 2017-BNK5, Class XA (IO) |
| |||||||||||
1.06% | 06/15/60 | 4 | 139,769 | 6,114 | ||||||||
BANK, |
| |||||||||||
Series 2018-BN10, Class XA (IO) |
| |||||||||||
0.73% | 02/15/61 | 4 | 392,064 | 16,356 | ||||||||
Barclays Commercial Mortgage Securities Mortgage Trust, |
| |||||||||||
Series 2017-C1, Class XA (IO) |
| |||||||||||
1.45% | 02/15/50 | 4 | 137,476 | 9,118 | ||||||||
BB-UBS Trust, |
| |||||||||||
Series 2012-SHOW, Class XA (IO) |
| |||||||||||
0.60% | 11/05/36 | 1,4 | 3,109,000 | 65,517 | ||||||||
BB-UBS Trust, |
| |||||||||||
Series 2012-SHOW, Class XB (IO) |
| |||||||||||
0.14% | 11/05/36 | 1,4 | 1,395,000 | 9,063 | ||||||||
Benchmark Mortgage Trust, |
| |||||||||||
Series 2018-B1, Class A3 |
| |||||||||||
3.36% | 01/15/51 | 523,000 | 548,947 | |||||||||
Benchmark Mortgage Trust, |
| |||||||||||
Series 2018-B1, Class XA (IO) |
| |||||||||||
0.51% | 01/15/51 | 4 | 11,283,606 | 324,426 | ||||||||
Benchmark Mortgage Trust, |
| |||||||||||
Series 2018-B2, Class XA (IO) |
| |||||||||||
0.41% | 02/15/51 | 4 | 16,359,092 | 342,226 | ||||||||
Benchmark Mortgage Trust, |
| |||||||||||
Series 2020-B18, Class AGNF |
| |||||||||||
4.14% | 07/15/53 | 1 | 449,000 | 460,660 | ||||||||
CD Mortgage Trust, |
| |||||||||||
Series 2016-CD1, Class XA (IO) |
| |||||||||||
1.41% | 08/10/49 | 4 | 9,853,576 | 585,858 | ||||||||
Century Plaza Towers, |
| |||||||||||
Series 2019-CPT, Class F |
| |||||||||||
3.00% | 11/13/39 | 1,4 | 450,000 | 416,409 | ||||||||
Citigroup Commercial Mortgage Trust, |
| |||||||||||
Series 2013-GC15, Class XA (IO) |
| |||||||||||
0.84% | 09/10/46 | 4 | 4,132,731 | 71,885 | ||||||||
Citigroup Commercial Mortgage Trust, |
| |||||||||||
Series 2014-GC19, Class XA (IO) |
| |||||||||||
1.14% | 03/10/47 | 4 | 1,010,682 | 27,732 | ||||||||
Citigroup Commercial Mortgage Trust, |
| |||||||||||
Series 2014-GC25, Class XA (IO) |
| |||||||||||
0.99% | 10/10/47 | 4 | 6,463,091 | 191,353 | ||||||||
Citigroup Commercial Mortgage Trust, |
| |||||||||||
Series 2015-GC27, Class XA (IO) |
| |||||||||||
1.34% | 02/10/48 | 4 | 1,783,800 | 76,312 | ||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2012-CR1, Class XA (IO) |
| |||||||||||
1.88% | 05/15/45 | 4 | 661,504 | 8,212 | ||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2012-CR2, Class XA (IO) |
| |||||||||||
1.62% | 08/15/45 | 4 | 777,499 | 10,772 |
Issues
|
Maturity Date
|
Principal Amount
| Value
| |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Commercial Mortgage-Backed (continued) |
| |||||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2012-CR3, Class XA (IO) |
| |||||||||||
1.84% | 10/15/45 | 4 | $ | 755,923 | $ | 13,077 | ||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2012-CR4, Class XA (IO) |
| |||||||||||
1.67% | 10/15/45 | 4 | 793,151 | 15,706 | ||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2012-LC4, Class XA (IO) |
| |||||||||||
2.10% | 12/10/44 | 1,4 | 671,516 | 6,055 | ||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2012-LC4, Class XB (IO) |
| |||||||||||
0.54% | 12/10/44 | 1,4 | 1,800,000 | 8,412 | ||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2013-CR7, Class XA (IO) |
| |||||||||||
1.21% | 03/10/46 | 4 | 5,382,894 | 103,366 | ||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2013-CR9, Class XA (IO) |
| |||||||||||
0.09% | 07/10/45 | 4 | 18,275,922 | 28,287 | ||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2014-CR14, Class XA (IO) |
| |||||||||||
0.58% | 02/10/47 | 4 | 3,557,123 | 50,694 | ||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2014-CR17, Class XA (IO) |
| |||||||||||
0.97% | 05/10/47 | 4 | 2,434,006 | 60,163 | ||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2014-CR19, Class XA (IO) |
| |||||||||||
0.97% | 08/10/47 | 4 | 1,020,456 | 26,422 | ||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2014-CR19, Class XC (IO) |
| |||||||||||
0.79% | 08/10/47 | 1,4 | 1,200,000 | 29,196 | ||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2014-LC15, Class XA (IO) |
| |||||||||||
1.09% | 04/10/47 | 4 | 4,106,808 | 105,595 | ||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2014-LC17, Class A4 |
| |||||||||||
3.65% | 10/10/47 | 307,000 | 324,719 | |||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2014-UBS3, Class XA (IO) |
| |||||||||||
1.07% | 06/10/47 | 4 | 3,223,020 | 92,591 | ||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2014-UBS5, Class XA (IO) |
| |||||||||||
0.86% | 09/10/47 | 4,5,6 | 32,051,591 | 797,591 | ||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2014-UBS6, Class XA (IO) |
| |||||||||||
0.89% | 12/10/47 | 4 | 1,740,393 | 44,399 | ||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2015-CR22, Class XA (IO) |
| |||||||||||
0.89% | 03/10/48 | 4 | 2,176,539 | 56,912 | ||||||||
CSAIL Commercial Mortgage Trust, |
| |||||||||||
Series 2019-C16, Class XA (IO) |
| |||||||||||
1.56% | 06/15/52 | 4 | 570,016 | 58,334 | ||||||||
CSMC Trust, |
| |||||||||||
Series 2016-NXSR, Class XA (IO) |
| |||||||||||
0.79% | 12/15/49 | 4 | 550,281 | 15,684 |
See accompanying Notes to Financial Statements. |
57 / Annual Report March 2021 |
Table of Contents
Flexible Income Fund
Schedule of Portfolio Investments
March 31, 2021
Issues
|
Maturity Date
|
Principal Amount
| Value
| |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Commercial Mortgage-Backed (continued) |
| |||||||||||
DBUBS Mortgage Trust, |
| |||||||||||
Series 2011-LC1A, Class XB (IO) |
| |||||||||||
0.65% | 11/10/46 | 1,4 | $ | 92,686 | $ | 4 | ||||||
DBUBS Mortgage Trust, |
| |||||||||||
Series 2011-LC3A, Class XA (IO) |
| |||||||||||
0.16% | 08/10/44 | 1,4 | 14,873,616 | 199 | ||||||||
GS Mortgage Securities Corp. II, |
| |||||||||||
Series 2013-GC10, Class XA (IO) |
| |||||||||||
1.49% | 02/10/46 | 4 | 17,394,793 | 390,769 | ||||||||
GS Mortgage Securities Corp. Trust, |
| |||||||||||
Series 2020-UPTN, Class E |
| |||||||||||
3.25% | 02/10/37 | 1,4 | 500,000 | 473,793 | ||||||||
GS Mortgage Securities Trust, |
| |||||||||||
Series 2010-C1, Class X (IO) |
| |||||||||||
0.74% | 08/10/43 | 1,4 | 10,612,629 | 128,529 | ||||||||
GS Mortgage Securities Trust, |
| |||||||||||
Series 2011-GC3, Class X (IO) |
| |||||||||||
0.17% | 03/10/44 | 1,4 | 1,188,913 | 479 | ||||||||
GS Mortgage Securities Trust, |
| |||||||||||
Series 2011-GC5, Class XA (IO) |
| |||||||||||
1.20% | 08/10/44 | 1,4 | 2,415,783 | 611 | ||||||||
GS Mortgage Securities Trust, |
| |||||||||||
Series 2012-GCJ9, Class XA (IO) |
| |||||||||||
1.93% | 11/10/45 | 4 | 670,305 | 14,839 | ||||||||
GS Mortgage Securities Trust, |
| |||||||||||
Series 2015-GC32, Class XA (IO) |
| |||||||||||
0.74% | 07/10/48 | 4 | 34,519,333 | 926,996 | ||||||||
GS Mortgage Securities Trust, |
| |||||||||||
Series 2015-GS1, Class XA (IO) |
| |||||||||||
0.76% | 11/10/48 | 4 | 9,484,090 | 303,440 | ||||||||
GS Mortgage Securities Trust, |
| |||||||||||
Series 2016-GS2, Class XA (IO) |
| |||||||||||
1.75% | 05/10/49 | 4 | 262,543 | 19,748 | ||||||||
GS Mortgage Securities Trust, |
| |||||||||||
Series 2016-GS3, Class XA (IO) |
| |||||||||||
1.22% | 10/10/49 | 4 | 2,598,716 | 139,061 | ||||||||
GS Mortgage Securities Trust, |
| |||||||||||
Series 2017-GS7, Class XA (IO) |
| |||||||||||
1.12% | 08/10/50 | 4 | 147,909 | 7,831 | ||||||||
GSCG Trust, |
| |||||||||||
Series 2019-600C, Class E |
| |||||||||||
3.99% | 09/06/34 | 1,4 | 261,000 | 256,259 | ||||||||
GSCG Trust, |
| |||||||||||
Series 2019-600C, Class G |
| |||||||||||
3.99% | 09/06/34 | 1,4 | 285,000 | 267,456 | ||||||||
Hudson Yards Mortgage Trust, |
| |||||||||||
Series 2019-55HY, Class F |
| |||||||||||
2.94% | 12/10/41 | 1,4 | 535,000 | 500,044 | ||||||||
JPMBB Commercial Mortgage Securities Trust, |
| |||||||||||
Series 2014-C19, Class XA (IO) |
| |||||||||||
0.74% | 04/15/47 | 4 | 15,309,365 | 227,987 | ||||||||
JPMBB Commercial Mortgage Securities Trust, |
| |||||||||||
Series 2015-C31, Class XA (IO) |
| |||||||||||
0.83% | 08/15/48 | 4 | 6,325,661 | 196,175 |
Issues
|
Maturity Date
|
Principal Amount
| Value
| |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Commercial Mortgage-Backed (continued) |
| |||||||||||
JPMCC Commercial Mortgage Securities Trust, |
| |||||||||||
Series 2017-JP5, Class XA (IO) |
| |||||||||||
1.01% | 03/15/50 | 4 | $ | 5,586,150 | $ | 241,671 | ||||||
JPMDB Commercial Mortgage Securities Trust, |
| |||||||||||
Series 2016-C2, Class XA (IO) |
| |||||||||||
1.56% | 06/15/49 | 4 | 294,190 | 16,414 | ||||||||
JPMDB Commercial Mortgage Securities Trust, |
| |||||||||||
Series 2017-C5, Class XA (IO) |
| |||||||||||
0.95% | 03/15/50 | 4 | 11,985,923 | 529,108 | ||||||||
JPMDB Commercial Mortgage Securities Trust, |
| |||||||||||
Series 2017-C7, Class XA (IO) |
| |||||||||||
0.87% | 10/15/50 | 4 | 358,036 | 16,086 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, |
| |||||||||||
Series 2011-C3, Class XA (IO) |
| |||||||||||
1.07% | 02/15/46 | 1,4 | 631,294 | 6 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, |
| |||||||||||
Series 2011-C5, Class A3 |
| |||||||||||
4.17% | 08/15/46 | 177,481 | 178,709 | |||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, |
| |||||||||||
Series 2012-C6, Class XA (IO) |
| |||||||||||
1.54% | 05/15/45 | 4 | 517,336 | 6,038 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, |
| |||||||||||
Series 2012-C8, Class XA (IO) |
| |||||||||||
1.74% | 10/15/45 | 4 | 619,926 | 10,819 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, |
| |||||||||||
Series 2012-CBX, Class XA (IO) |
| |||||||||||
1.47% | 06/15/45 | 4 | 452,693 | 2,408 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, |
| |||||||||||
Series 2012-CBX, Class XB (IO) |
| |||||||||||
0.42% | 06/15/45 | 1,4 | 134,366,812 | 674,978 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, |
| |||||||||||
Series 2012-LC9, Class XA (IO) |
| |||||||||||
1.49% | 12/15/47 | 4 | 1,751,064 | 34,265 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, |
| |||||||||||
Series 2013-C10, Class XA (IO) |
| |||||||||||
0.95% | 12/15/47 | 4 | 1,210,311 | 16,768 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, |
| |||||||||||
Series 2013-LC11, Class XA (IO) |
| |||||||||||
1.25% | 04/15/46 | 4 | 2,732,128 | 55,963 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, |
| |||||||||||
Series 2014-C20, Class A3A2 |
| |||||||||||
3.47% | 07/15/47 | 1 | 411,893 | 412,613 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, |
| |||||||||||
Series 2019-BOLT, Class A |
| |||||||||||
(LIBOR USD 1-Month plus 1.15%) |
| |||||||||||
1.26% | 07/15/34 | 1,2 | 1,043,574 | 1,045,831 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, |
| |||||||||||
Series 2019-BOLT, Class B |
| |||||||||||
(LIBOR USD 1-Month plus 2.20%) |
| |||||||||||
2.31% | 07/15/34 | 1,2 | 654,276 | 640,372 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, |
| |||||||||||
Series 2020-ACE, Class XA (IO) |
| |||||||||||
0.34% | 01/10/37 | 1,4 | 2,000,000 | 27,008 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, |
| |||||||||||
Series 2020-LOOP, Class XB (IO) |
| |||||||||||
0.25% | 12/05/38 | 1,4 | 2,010,000 | 27,559 |
See accompanying Notes to Financial Statements. |
Annual Report March 2021 / 58 |
Table of Contents
Flexible Income Fund
Schedule of Portfolio Investments
March 31, 2021
Issues
|
Maturity Date
|
Principal Amount
| Value
| |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Commercial Mortgage-Backed (continued) |
| |||||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, |
| |||||||||||
Series 2020-NNN, Class XAFX (IO) |
| |||||||||||
1.88% | 01/16/37 | 1,4 | $ | 450,000 | $ | 27,632 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust, |
| |||||||||||
Series 2020-NNN, Class XBFX (IO) |
| |||||||||||
0.57% | 01/16/37 | 1,4 | 1,450,000 | 27,937 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, |
| |||||||||||
Series 2012-C5, Class XA (IO) |
| |||||||||||
1.41% | 08/15/45 | 1,4 | 595,242 | 7,284 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, |
| |||||||||||
Series 2012-C5, Class XC (IO) |
| |||||||||||
0.08% | 08/15/45 | 1,4 | 35,000,000 | 53,197 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, |
| |||||||||||
Series 2012-CKSV, Class XA (IO) |
| |||||||||||
1.04% | 10/15/30 | 1,4 | 1,116,527 | 12,312 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, |
| |||||||||||
Series 2013-C13, Class XA (IO) |
| |||||||||||
0.95% | 11/15/46 | 4 | 2,506,580 | 50,268 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, |
| |||||||||||
Series 2014-C18, Class XA (IO) |
| |||||||||||
0.68% | 10/15/47 | 4 | 109,943 | 1,941 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, |
| |||||||||||
Series 2015-C21, Class XA (IO) |
| |||||||||||
0.88% | 03/15/48 | 4 | 3,542,365 | 101,544 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, |
| |||||||||||
Series 2015-C22, Class XA (IO) |
| |||||||||||
1.03% | 04/15/48 | 4 | 1,158,711 | 35,635 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, |
| |||||||||||
Series 2015-C24, Class XA (IO) |
| |||||||||||
0.72% | 05/15/48 | 4 | 7,668,254 | 207,448 | ||||||||
Morgan Stanley Capital I Trust, |
| |||||||||||
Series 2011-C2, Class XB (IO) |
| |||||||||||
0.32% | 06/15/44 | 1,4 | 21,649,275 | 138,118 | ||||||||
Morgan Stanley Capital I Trust, |
| |||||||||||
Series 2012-C4, Class XA (IO) |
| |||||||||||
2.06% | 03/15/45 | 1,4 | 666,607 | 5,291 | ||||||||
Morgan Stanley Capital I Trust, |
| |||||||||||
Series 2015-MS1, Class A3 |
| |||||||||||
3.51% | 05/15/48 | 415,000 | 441,824 | |||||||||
Morgan Stanley Capital I Trust, |
| |||||||||||
Series 2017-CLS, Class F |
| |||||||||||
(LIBOR USD 1-Month plus 2.60%) |
| |||||||||||
2.71% | 11/15/34 | 1,2 | 206,000 | 206,036 | ||||||||
Natixis Commercial Mortgage Securities Trust, |
| |||||||||||
Series 2018-ALXA, Class E |
| |||||||||||
4.32% | 01/15/43 | 1,4 | 70,000 | 69,366 | ||||||||
Natixis Commercial Mortgage Securities Trust, |
| |||||||||||
Series 2020-2PAC, Class MSK1 |
| |||||||||||
3.25% | 12/15/36 | 1,4 | 172,000 | 170,808 | ||||||||
SFAVE Commercial Mortgage Securities Trust, |
| |||||||||||
Series 2015-5AVE, Class A2A |
| |||||||||||
3.66% | 01/05/43 | 1,4 | 400,000 | 393,696 | ||||||||
SFAVE Commercial Mortgage Securities Trust, |
| |||||||||||
Series 2015-5AVE, Class A2B |
| |||||||||||
4.14% | 01/05/43 | 1,4 | 460,000 | 444,482 |
Issues
|
Maturity Date
|
Principal Amount
| Value
| |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Commercial Mortgage-Backed (continued) |
| |||||||||||
Taurus UK DAC, |
| |||||||||||
Series 2021-UK1A, Class D |
| |||||||||||
(Ireland) |
| |||||||||||
(SONIA3M IR plus 2.60%) |
| |||||||||||
0.00% | 05/17/31 | 1,2,3 | $ | 475,000 | $ | 663,470 | ||||||
UBS Commercial Mortgage Trust, |
| |||||||||||
Series 2017-C4, Class XA (IO) |
| |||||||||||
1.05% | 10/15/50 | 4 | 9,760,389 | 535,113 | ||||||||
UBS-Barclays Commercial Mortgage Trust, |
| |||||||||||
Series 2012-C4, Class XA (IO) |
| |||||||||||
1.60% | 12/10/45 | 1,4 | 766,472 | 14,269 | ||||||||
Wells Fargo Commercial Mortgage Trust, |
| |||||||||||
Series 2012-LC5, Class XA (IO) |
| |||||||||||
1.74% | 10/15/45 | 1,4 | 880,198 | 17,136 | ||||||||
Wells Fargo Commercial Mortgage Trust, |
| |||||||||||
Series 2014-LC16, Class XA (IO) |
| |||||||||||
1.09% | 08/15/50 | 4 | 18,534,586 | 525,194 | ||||||||
Wells Fargo Commercial Mortgage Trust, |
| |||||||||||
Series 2014-LC18, Class XA (IO) |
| |||||||||||
1.04% | 12/15/47 | 4 | 1,597,139 | 49,668 | ||||||||
Wells Fargo Commercial Mortgage Trust, |
| |||||||||||
Series 2015-C31, Class XA (IO) |
| |||||||||||
0.97% | 11/15/48 | 4 | 18,458,292 | 679,891 | ||||||||
Wells Fargo Commercial Mortgage Trust, |
| |||||||||||
Series 2015-LC20, Class XF (IO) |
| |||||||||||
1.74% | 04/15/50 | 1,4 | 415,000 | 20,109 | ||||||||
Wells Fargo Commercial Mortgage Trust, |
| |||||||||||
Series 2015-NXS3, Class XA (IO) |
| |||||||||||
0.90% | 09/15/57 | 4 | 10,110,086 | 345,571 | ||||||||
Wells Fargo Commercial Mortgage Trust, |
| |||||||||||
Series 2016-C34, Class XA (IO) |
| |||||||||||
2.08% | 06/15/49 | 4 | 7,340,132 | 508,447 | ||||||||
Wells Fargo Commercial Mortgage Trust, |
| |||||||||||
Series 2021-SAVE, Class XCP (IO) |
| |||||||||||
10.12% | 02/15/40 | 1,4 | 5,587,000 | 685,534 | ||||||||
WF-RBS Commercial Mortgage Trust, |
| |||||||||||
Series 2011-C3, Class XA (IO) |
| |||||||||||
1.47% | 03/15/44 | 1,4 | 138,380 | 204 | ||||||||
WF-RBS Commercial Mortgage Trust, |
| |||||||||||
Series 2012-C10, Class XA (IO) |
| |||||||||||
1.52% | 12/15/45 | 1,4 | 1,149,346 | 24,872 | ||||||||
WF-RBS Commercial Mortgage Trust, |
| |||||||||||
Series 2012-C10, Class XB (IO) |
| |||||||||||
0.46% | 12/15/45 | 1,4 | 56,000,000 | 471,789 | ||||||||
WF-RBS Commercial Mortgage Trust, |
| |||||||||||
Series 2012-C7, Class XB (IO) |
| |||||||||||
0.10% | 06/15/45 | 1,4 | 29,387,219 | 40,415 | ||||||||
WF-RBS Commercial Mortgage Trust, |
| |||||||||||
Series 2012-C8, Class XA (IO) |
| |||||||||||
1.78% | 08/15/45 | 1,4 | 617,614 | 8,992 | ||||||||
WF-RBS Commercial Mortgage Trust, |
| |||||||||||
Series 2014-C24, Class XA (IO) |
| |||||||||||
0.87% | 11/15/47 | 4 | 6,318,485 | 168,670 |
See accompanying Notes to Financial Statements. |
59 / Annual Report March 2021 |
Table of Contents
Flexible Income Fund
Schedule of Portfolio Investments
March 31, 2021
Issues
|
Maturity Date
|
Principal Amount
| Value
| |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Commercial Mortgage-Backed (continued) |
| |||||||||||
WF-RBS Commercial Mortgage Trust, |
| |||||||||||
Series 2014-LC14, Class XA (IO) |
| |||||||||||
1.26% | 03/15/47 | 4 | $ | 3,001,458 | $ | 89,118 | ||||||
|
| |||||||||||
20,287,507 | ||||||||||||
|
| |||||||||||
Non-Agency Mortgage-Backed — 18.89% |
| |||||||||||
Alternative Loan Trust, |
| |||||||||||
Series 2005-46CB, Class A3 |
| |||||||||||
5.50% | 10/25/35 | 289,495 | 268,289 | |||||||||
Alternative Loan Trust, |
| |||||||||||
Series 2005-46CB, Class A4 |
| |||||||||||
5.25% | 10/25/35 | 270,993 | 247,889 | |||||||||
Alternative Loan Trust, |
| |||||||||||
Series 2005-46CB, Class A7 |
| |||||||||||
5.50% | 10/25/35 | 764,452 | 708,455 | |||||||||
Alternative Loan Trust, |
| |||||||||||
Series 2005-55CB, Class 1A1 |
| |||||||||||
5.50% | 11/25/35 | 267,687 | 238,767 | |||||||||
Alternative Loan Trust, |
| |||||||||||
Series 2005-65CB, Class 2A4 |
| |||||||||||
5.50% | 12/25/35 | 446,499 | 402,022 | |||||||||
Alternative Loan Trust, |
| |||||||||||
Series 2005-67CB, Class A1 |
| |||||||||||
5.50% | 01/25/36 | 99,907 | 94,535 | |||||||||
Alternative Loan Trust, |
| |||||||||||
Series 2005-74T1, Class A5 |
| |||||||||||
6.00% | 01/25/36 | 606,608 | 482,447 | |||||||||
Alternative Loan Trust, |
| |||||||||||
Series 2005-7CB, Class 2A2 (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 5.05%, 5.05% Cap) |
| |||||||||||
4.94% | 03/01/38 | 2,5,6 | 1,889,171 | 235,395 | ||||||||
Alternative Loan Trust, |
| |||||||||||
Series 2005-86CB, Class A1 |
| |||||||||||
5.50% | 02/25/36 | 719,310 | 599,394 | |||||||||
Alternative Loan Trust, |
| |||||||||||
Series 2005-86CB, Class A8 |
| |||||||||||
5.50% | 02/25/36 | 328,828 | 274,009 | |||||||||
Alternative Loan Trust, |
| |||||||||||
Series 2006-19CB, Class A15 |
| |||||||||||
6.00% | 08/25/36 | 155,673 | 125,709 | |||||||||
Alternative Loan Trust, |
| |||||||||||
Series 2006-32CB, Class A18 |
| |||||||||||
6.00% | 11/25/36 | 167,417 | 135,565 | |||||||||
Alternative Loan Trust, |
| |||||||||||
Series 2006-34, Class A5 |
| |||||||||||
6.25% | 11/25/46 | 1,523,975 | 1,166,426 | |||||||||
Alternative Loan Trust, |
| |||||||||||
Series 2006-J1, Class 1A11 |
| |||||||||||
5.50% | 02/25/36 | 278,347 | 252,871 | |||||||||
Alternative Loan Trust, |
| |||||||||||
Series 2007-13, Class A1 |
| |||||||||||
6.00% | 06/25/47 | 339,786 | 256,220 | |||||||||
Alternative Loan Trust, |
| |||||||||||
Series 2007-15CB, Class A6 |
| |||||||||||
5.75% | 07/25/37 | 710,441 | 586,558 |
Issues |
Maturity Date
|
Principal Amount
| Value
| |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Mortgage-Backed (continued) |
| |||||||||||
Alternative Loan Trust, |
| |||||||||||
Series 2007-16CB, Class 1A7 |
| |||||||||||
6.00% | 08/25/37 | $ | 9,918 | $ | 9,660 | |||||||
Alternative Loan Trust, |
| |||||||||||
Series 2007-18CB, Class 2A25 |
| |||||||||||
6.00% | 08/25/37 | 419,884 | 343,475 | |||||||||
Alternative Loan Trust, |
| |||||||||||
Series 2007-22, Class 2A16 |
| |||||||||||
6.50% | 09/25/37 | 269,576 | 163,212 | |||||||||
Alternative Loan Trust, |
| |||||||||||
Series 2007-5CB, Class 1A3 |
| |||||||||||
6.00% | 04/25/37 | 225,892 | 180,769 | |||||||||
Alternative Loan Trust, |
| |||||||||||
Series 2007-5CB, Class 1A4 |
| |||||||||||
6.00% | 04/25/37 | 666,493 | 533,334 | |||||||||
American Home Mortgage Assets Trust, |
| |||||||||||
Series 2006-6, Class XP (IO) (PO) |
| |||||||||||
2.66% | 12/25/46 | 4,5,6 | 867,457 | 83,941 | ||||||||
American Home Mortgage Assets Trust, |
| |||||||||||
Series 2007-5, Class XP (IO) (PO) |
| |||||||||||
3.10% | 06/25/47 | 5,6 | 1,310,864 | 132,539 | ||||||||
American Home Mortgage Investment Trust, |
| |||||||||||
Series 2006-1, Class 11A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.28%) |
| |||||||||||
0.39% | 03/25/46 | 2 | 18,567 | 17,509 | ||||||||
Banc of America Funding Trust, |
| |||||||||||
Series 2006-3, Class 5A3 |
| |||||||||||
5.50% | 03/25/36 | 8,697 | 8,657 | |||||||||
Banc of America Funding Trust, |
| |||||||||||
Series 2014-R7, Class 1A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.15%) |
| |||||||||||
0.26% | 05/26/36 | 1,2 | 27,998 | 27,193 | ||||||||
Banc of America Funding Trust, |
| |||||||||||
Series 2015-R4, Class 5A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.15%) |
| |||||||||||
0.27% | 10/25/36 | 1,2 | 18,500 | 17,934 | ||||||||
Bear Stearns ALT-A Trust, |
| |||||||||||
Series 2005-7, Class 22A1 |
| |||||||||||
3.03% | 09/25/35 | 4 | 185,469 | 143,579 | ||||||||
Bear Stearns ARM Trust, |
| |||||||||||
Series 2004-3, Class 2A |
| |||||||||||
3.18% | 07/25/34 | 4 | 10,512 | 10,389 | ||||||||
Bear Stearns ARM Trust, |
| |||||||||||
Series 2005-10, Class A3 |
| |||||||||||
3.04% | 10/25/35 | 4 | 231,251 | 231,606 | ||||||||
Bear Stearns Asset-Backed Securities I Trust, |
| |||||||||||
Series 2006-AC1, Class 22X (IO) |
| |||||||||||
0.26% | 12/25/35 | 4,5,6 | 1,368,410 | 12,084 | ||||||||
Bombardier Capital Mortgage Securitization Corp., |
| |||||||||||
Series 2000-A, Class A4 |
| |||||||||||
8.29% | 06/15/30 | 4 | 142,144 | 37,549 | ||||||||
ChaseFlex Trust, |
| |||||||||||
Series 2007-1, Class 1A1 |
| |||||||||||
6.50% | 02/25/37 | 383,692 | 201,972 |
See accompanying Notes to Financial Statements. |
Annual Report March 2021 / 60 |
Table of Contents
Flexible Income Fund
Schedule of Portfolio Investments
March 31, 2021
Issues
|
Maturity Date
|
Principal Amount
| Value
| |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Mortgage-Backed (continued) |
| |||||||||||
Citigroup Mortgage Loan Trust, |
| |||||||||||
Series 2006-WF1, Class A2C (STEP-reset date 05/25/21) |
| |||||||||||
4.82% | 03/25/36 | $ | 35,721 | $ | 22,728 | |||||||
Citigroup Mortgage Loan Trust, |
| |||||||||||
Series 2015-2, Class 1A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.20%) |
| |||||||||||
0.32% | 06/25/47 | 1,2 | 1,454 | 1,456 | ||||||||
CitiMortgage Alternative Loan Trust, |
| |||||||||||
Series 2006-A1, Class 1A5 |
| |||||||||||
5.50% | 04/25/36 | 455,562 | 447,839 | |||||||||
CitiMortgage Alternative Loan Trust, |
| |||||||||||
Series 2007-A1, Class 1A1 |
| |||||||||||
6.00% | 01/25/37 | 155,435 | 156,097 | |||||||||
CitiMortgage Alternative Loan Trust, |
| |||||||||||
Series 2007-A1, Class 1A5 |
| |||||||||||
6.00% | 01/25/37 | 296,699 | 297,960 | |||||||||
CitiMortgage Alternative Loan Trust, |
| |||||||||||
Series 2007-A2, Class 1A13 |
| |||||||||||
5.75% | 02/25/37 | 352,402 | 352,486 | |||||||||
CitiMortgage Alternative Loan Trust, |
| |||||||||||
Series 2007-A3, Class 1A7 |
| |||||||||||
5.75% | 03/25/37 | 306,339 | 307,216 | |||||||||
Countrywide Home Loan Mortgage Pass-Through Trust, |
| |||||||||||
Series 2007-14, Class A3 |
| |||||||||||
6.25% | 09/25/37 | 26,948 | 20,941 | |||||||||
Countrywide Home Loan Mortgage Pass-Through Trust, |
| |||||||||||
Series 2007-20, Class A1 |
| |||||||||||
6.50% | 01/25/38 | 271,282 | 206,081 | |||||||||
Countrywide Home Loan Mortgage Pass-Through Trust, |
| |||||||||||
Series 2007-7, Class A9 |
| |||||||||||
5.50% | 06/25/37 | 741,810 | 519,933 | |||||||||
Credit-Based Asset Servicing and Securitization LLC, |
| |||||||||||
Series 2006-CB7, Class A4 |
| |||||||||||
(LIBOR USD 1-Month plus 0.16%) |
| |||||||||||
0.27% | 10/25/36 | 2 | 50,683 | 43,113 | ||||||||
Credit-Based Asset Servicing and Securitization LLC, |
| |||||||||||
Series 2006-MH1, Class B1 (STEP-reset date 05/25/21) |
| |||||||||||
6.25% | 10/25/36 | 1 | 61,000 | 64,009 | ||||||||
Credit-Based Asset Servicing and Securitization LLC, |
| |||||||||||
Mortgage Loan Trust, |
| |||||||||||
Series 2007-CB2, Class A2B (STEP-reset date 05/25/21) |
| |||||||||||
3.79% | 02/25/37 | 1,177,382 | 962,776 | |||||||||
CSMC Mortgage-Backed Trust, |
| |||||||||||
Series 2006-6, Class 1A8 |
| |||||||||||
6.00% | 07/25/36 | 441,429 | 327,628 | |||||||||
CSMC Mortgage-Backed Trust, |
| |||||||||||
Series 2006-7, Class 10A6 |
| |||||||||||
6.50% | 08/25/36 | 1,361,763 | 1,086,859 | |||||||||
CSMC Mortgage-Backed Trust, |
| |||||||||||
Series 2006-7, Class 8A11 |
| |||||||||||
6.50% | 08/25/36 | 496,910 | 342,738 | |||||||||
CSMC Mortgage-Backed Trust, |
| |||||||||||
Series 2007-5, Class 1A9 |
| |||||||||||
7.00% | 08/25/37 | 4 | 191,198 | 132,723 |
Issues
|
Maturity Date
|
Principal Amount
| Value
| |||||||||
MORTGAGE-BACKED (continued)
|
| |||||||||||
Non-Agency Mortgage-Backed (continued) |
| |||||||||||
CSMC Trust, |
| |||||||||||
Series 2020-RPL5, Class A1 |
| |||||||||||
3.02% | 08/25/60 | 1,4 | $ | 302,407 | $ | 307,714 | ||||||
Deutsche ALT-B Securities, Inc., Mortgage Loan Trust, |
| |||||||||||
Series 2006-AB2, Class A2 |
| |||||||||||
4.95% | 06/25/36 | 4 | 249,952 | 246,939 | ||||||||
Deutsche Mortgage & Asset Receiving Corp., |
| |||||||||||
Series 2014-RS1, Class 1A2 |
| |||||||||||
6.49% | 07/27/37 | 1,4 | 483,946 | 446,754 | ||||||||
First Franklin Mortgage Loan Trust, |
| |||||||||||
Series 2006-FF13, Class A2C |
| |||||||||||
(LIBOR USD 1-Month plus 0.32%) |
| |||||||||||
0.43% | 10/25/36 | 2 | 501,883 | 411,358 | ||||||||
First Franklin Mortgage Loan Trust, |
| |||||||||||
Series 2007-FF2, Class A2D |
| |||||||||||
(LIBOR USD 1-Month plus 0.22%) |
| |||||||||||
0.33% | 03/25/37 | 2 | 830,890 | 513,722 | ||||||||
First Horizon Alternative Mortgage Securities Trust, |
| |||||||||||
Series 2006-FA6, Class 2A3 |
| |||||||||||
6.25% | 11/25/36 | 886,582 | 508,803 | |||||||||
First Horizon Alternative Mortgage Securities Trust, |
| |||||||||||
Series 2007-FA1, Class A4 |
| |||||||||||
6.25% | 03/25/37 | 725,883 | 498,032 | |||||||||
First Horizon Alternative Mortgage Securities Trust, |
| |||||||||||
Series 2007-FA2, Class 1A4 |
| |||||||||||
5.75% | 04/25/37 | 875,522 | 517,334 | |||||||||
Fremont Home Loan Trust, |
| |||||||||||
Series 2005-E, Class 2A4 |
| |||||||||||
(LIBOR USD 1-Month plus 0.66%) |
| |||||||||||
0.77% | 01/25/36 | 2 | 29,852 | 29,262 | ||||||||
GreenPoint Mortgage Funding Trust, |
| |||||||||||
Series 2005-AR3, Class 1A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.48%) |
| |||||||||||
0.59% | 08/25/45 | 2 | 8,893 | 8,545 | ||||||||
GSAA Trust, |
| |||||||||||
Series 2007-3, Class 2A1B |
| |||||||||||
(LIBOR USD 1-Month plus 0.10%) |
| |||||||||||
0.21% | 03/25/47 | 2 | 166,316 | 18,016 | ||||||||
GSMSC Resecuritization Trust, |
| |||||||||||
Series 2015-5R, Class 1C |
| |||||||||||
(LIBOR USD 1-Month plus 0.14%) |
| |||||||||||
0.26% | 04/26/37 | 1,2 | 700,000 | 682,152 | ||||||||
GSR Mortgage Loan Trust, |
| |||||||||||
Series 2005-AR6, Class 2A1 |
| |||||||||||
2.93% | 09/25/35 | 4 | 6,265 | 6,396 | ||||||||
HarborView Mortgage Loan Trust, |
| |||||||||||
Series 2005-9, Class 2A1A |
| |||||||||||
(LIBOR USD 1-Month plus 0.68%) |
| |||||||||||
0.79% | 06/20/35 | 2 | 21,275 | 20,879 | ||||||||
HarborView Mortgage Loan Trust, |
| |||||||||||
Series 2005-9, Class 2X (IO) |
| |||||||||||
2.21% | 06/20/35 | 1,4,5,6 | 1,560,150 | 77,543 | ||||||||
HarborView Mortgage Loan Trust, |
| |||||||||||
Series 2006-5, Class X2 (IO) |
| |||||||||||
2.73% | 07/19/46 | 4,5,6 | 3,276,508 | 257,443 |
See accompanying Notes to Financial Statements. |
61 / Annual Report March 2021 |
Table of Contents
Flexible Income Fund
Schedule of Portfolio Investments
March 31, 2021
Issues
|
Maturity Date
|
Principal Amount
| Value
| |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Mortgage-Backed (continued) |
| |||||||||||
HSI Asset Loan Obligation Trust, |
| |||||||||||
Series 2007-WF1, Class A5 (STEP-reset date 05/25/21) |
| |||||||||||
4.80% | 12/25/36 | $ | 285,647 | $ | 140,020 | |||||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||||
Series 2006-AR3, Class 2A1A |
| |||||||||||
2.94% | 03/25/36 | 4 | 118,444 | 101,929 | ||||||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||||
Series 2007-F2, Class 1A4 |
| |||||||||||
6.00% | 07/25/37 | 11,380 | 10,906 | |||||||||
JPMorgan Alternative Loan Trust, |
| |||||||||||
Series 2006-S1, Class 3A4 |
| |||||||||||
6.18% | 03/25/36 | 4 | 918,168 | 892,517 | ||||||||
JPMorgan Mortgage Acquisition Trust, |
| |||||||||||
Series 2006-CW2, Class AF4 (STEP-reset date 05/25/21) |
| |||||||||||
6.08% | 08/25/36 | 635,187 | 457,351 | |||||||||
JPMorgan Mortgage Acquisition Trust, |
| |||||||||||
Series 2007-CH1, Class AF6 (STEP-reset date 05/25/21) |
| |||||||||||
4.81% | 11/25/36 | 21,130 | 21,732 | |||||||||
JPMorgan Mortgage Trust, |
| |||||||||||
Series 2007-S1, Class 2A11 |
| |||||||||||
6.00% | 03/25/37 | 424,024 | 284,767 | |||||||||
Lehman ABS Manufactured Housing Contract Trust, |
| |||||||||||
Series 2001-B, Class M1 |
| |||||||||||
6.63% | 04/15/40 | 4 | 353,691 | 377,142 | ||||||||
Lehman Mortgage Trust, |
| |||||||||||
Series 2006-1, Class 1A5 |
| |||||||||||
5.50% | 02/25/36 | 170,207 | 132,769 | |||||||||
Lehman Mortgage Trust, |
| |||||||||||
Series 2006-7, Class 2A5 (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 6.55%, 6.55% Cap) |
| |||||||||||
6.44% | 11/25/36 | 2,5,6 | 203,727 | 59,526 | ||||||||
Lehman Mortgage Trust, |
| |||||||||||
Series 2007-5, Class 10A2 (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 6.34%, 6.34% Cap) |
| |||||||||||
6.23% | 06/25/37 | 2,5,6 | 262,928 | 59,519 | ||||||||
Lehman Mortgage Trust, |
| |||||||||||
Series 2007-5, Class 7A3 |
| |||||||||||
7.50% | 10/25/36 | 616,089 | 389,348 | |||||||||
Lehman XS Trust, |
| |||||||||||
Series 2005-1, Class 3A4 (STEP-reset date 05/25/21) |
| |||||||||||
5.37% | 07/25/35 | 117,708 | 117,708 | |||||||||
MASTR Alternative Loan Trust, |
| |||||||||||
Series 2005-2, Class 4A3 |
| |||||||||||
(LIBOR USD 1-Month plus 0.40%) |
| |||||||||||
0.51% | 03/25/35 | 2 | 25,061 | 24,455 | ||||||||
MASTR Alternative Loan Trust, |
| |||||||||||
Series 2005-2, Class 4A4 (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 5.10%, 5.10% Cap) |
| |||||||||||
4.99% | 03/25/35 | 2,5,6 | 503,834 | 45,400 | ||||||||
Merrill Lynch Alternative Note Asset Trust, |
| |||||||||||
Series 2007-A1, Class A3 |
| |||||||||||
(LIBOR USD 1-Month plus 0.16%) |
| |||||||||||
0.27% | 01/25/37 | 2 | 760,846 | 343,906 |
Issues
|
Maturity Date
|
Principal Amount
| Value
| |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Mortgage-Backed (continued) |
| |||||||||||
Merrill Lynch Alternative Note Asset Trust, |
| |||||||||||
Series 2007-OAR2, Class A3 |
| |||||||||||
(LIBOR USD 1-Month plus 0.26%) |
| |||||||||||
0.37% | 04/25/37 | 2 | $ | 1,961,965 | $ | 207,196 | ||||||
Merrill Lynch Mortgage Investors Trust, |
| |||||||||||
Series 2004-B, Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.50%) |
| |||||||||||
0.61% | 05/25/29 | 2 | 16,547 | 15,738 | ||||||||
Mid-State Capital Corp. Trust, |
| |||||||||||
Series 2005-1, Class A |
| |||||||||||
5.75% | 01/15/40 | 8,487 | 9,128 | |||||||||
Mid-State Capital Corp. Trust, |
| |||||||||||
Series 2006-1, Class A |
| |||||||||||
5.79% | 10/15/40 | 1 | 51,868 | 55,192 | ||||||||
Mid-State Trust XI, |
| |||||||||||
Series 11, Class A1 |
| |||||||||||
4.86% | 07/15/38 | 3,722 | 3,972 | |||||||||
Morgan Stanley Mortgage Loan Trust, |
| |||||||||||
Series 2007-13, Class 6A1 |
| |||||||||||
6.00% | 10/25/37 | 190,234 | 152,883 | |||||||||
Nationstar Home Equity Loan Trust, |
| |||||||||||
Series 2007-C, Class 2AV4 |
| |||||||||||
(LIBOR USD 1-Month plus 0.25%) |
| |||||||||||
0.36% | 06/25/37 | 2 | 33,191 | 32,427 | ||||||||
Nomura Resecuritization Trust, |
| |||||||||||
Series 2015-5R, Class 4A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.14%) |
| |||||||||||
1.06% | 07/26/37 | 1,2 | 8,872 | 8,926 | ||||||||
Oakwood Mortgage Investors, Inc., |
| |||||||||||
Series 2002-A, Class A2 |
| |||||||||||
5.01% | 03/15/20 | 4 | 15,284 | 15,658 | ||||||||
Park Place Securities, Inc., Asset-Backed Pass-Through |
| |||||||||||
Certificates, |
| |||||||||||
Series 2005-WCH1, Class M4 |
| |||||||||||
(LIBOR USD 1-Month plus 1.25%) |
| |||||||||||
1.35% | 01/25/36 | 2 | 20,966 | 21,202 | ||||||||
Residential Accredit Loans Trust, |
| |||||||||||
Series 2005-QS14, Class 3A3 |
| |||||||||||
6.00% | 09/25/35 | 205,226 | 201,196 | |||||||||
Residential Accredit Loans Trust, |
| |||||||||||
Series 2005-QS16, Class A7 |
| |||||||||||
5.50% | 11/25/35 | 684,654 | 684,620 | |||||||||
Residential Accredit Loans Trust, |
| |||||||||||
Series 2006-QS15, Class A3 |
| |||||||||||
6.50% | 10/25/36 | 706,471 | 697,002 | |||||||||
Residential Accredit Loans Trust, |
| |||||||||||
Series 2006-QS4, Class A2 |
| |||||||||||
6.00% | 04/25/36 | 424,510 | 407,040 | |||||||||
Residential Accredit Loans Trust, |
| |||||||||||
Series 2006-QS4, Class A4 |
| |||||||||||
6.00% | 04/25/36 | 525,875 | 504,925 | |||||||||
Residential Accredit Loans Trust, |
| |||||||||||
Series 2006-QS6, Class 1A15 |
| |||||||||||
6.00% | 06/25/36 | 219,573 | 210,305 |
See accompanying Notes to Financial Statements. |
Annual Report March 2021 / 62 |
Table of Contents
Flexible Income Fund
Schedule of Portfolio Investments
March 31, 2021
Issues
|
Maturity Date
| Principal Amount
| Value
| |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Mortgage-Backed (continued) |
| |||||||||||
Residential Accredit Loans Trust, |
| |||||||||||
Series 2006-QS6, Class 1A2 |
| |||||||||||
6.00% | 06/25/36 | $ | 705,536 | $ | 675,755 | |||||||
Residential Accredit Loans Trust, |
| |||||||||||
Series 2007-QH9, Class X (IO) (PO) |
| |||||||||||
0.69% | 11/25/37 | 4,5,6 | 14,752,853 | 439,746 | ||||||||
Residential Accredit Loans Trust, |
| |||||||||||
Series 2007-QO2, Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.15%) |
| |||||||||||
0.26% | 02/25/47 | 2 | 622,507 | 322,769 | ||||||||
Residential Accredit Loans Trust, |
| |||||||||||
Series 2007-QS1, Class 1A4 |
| |||||||||||
6.00% | 01/25/37 | 672,687 | 660,112 | |||||||||
Residential Accredit Loans Trust, |
| |||||||||||
Series 2007-QS3, Class A1 |
| |||||||||||
6.50% | 02/25/37 | 639,190 | 629,281 | |||||||||
Residential Accredit Loans Trust, |
| |||||||||||
Series 2007-QS7, Class 1A1 |
| |||||||||||
6.00% | 05/25/37 | 71,079 | 69,103 | |||||||||
Residential Asset Mortgage Products Trust, |
| |||||||||||
Series 2006-EFC2, Class A4 |
| |||||||||||
(LIBOR USD 1-Month plus 0.22%) |
| |||||||||||
0.33% | 12/25/36 | 2 | 83,216 | 81,631 | ||||||||
Residential Asset Securitization Trust, |
| |||||||||||
Series 2003-A15, Class 1A3 (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 7.55%, 7.55% Cap) |
| |||||||||||
7.44% | 02/25/34 | 2,5,6 | 594,759 | 73,275 | ||||||||
Residential Asset Securitization Trust, |
| |||||||||||
Series 2005-A14, Class A5 |
| |||||||||||
5.50% | 12/25/35 | 97,686 | 70,111 | |||||||||
Residential Asset Securitization Trust, |
| |||||||||||
Series 2005-A6CB, Class A1 |
| |||||||||||
5.50% | 06/25/35 | 80,187 | 69,829 | |||||||||
Residential Asset Securitization Trust, |
| |||||||||||
Series 2005-A6CB, Class A7 |
| |||||||||||
6.00% | 06/25/35 | 219,261 | 191,242 | |||||||||
Residential Asset Securitization Trust, |
| |||||||||||
Series 2005-A8CB, Class A9 |
| |||||||||||
5.38% | 07/25/35 | 307,718 | 263,025 | |||||||||
Residential Asset Securitization Trust, |
| |||||||||||
Series 2006-A12, Class A1 |
| |||||||||||
6.25% | 11/25/36 | 182,244 | 104,566 | |||||||||
Residential Asset Securitization Trust, |
| |||||||||||
Series 2006-A15, Class A2 |
| |||||||||||
6.25% | 01/25/37 | 545,974 | 305,104 | |||||||||
Residential Asset Securitization Trust, |
| |||||||||||
Series 2006-A16, Class 1A3 |
| |||||||||||
6.00% | 02/25/37 | 368,153 | 246,791 | |||||||||
Residential Asset Securitization Trust, |
| |||||||||||
Series 2006-A5CB, Class A4 |
| |||||||||||
6.00% | 06/25/36 | 106,264 | 64,565 | |||||||||
Residential Asset Securitization Trust, |
| |||||||||||
Series 2007-A1, Class A1 |
| |||||||||||
6.00% | 03/25/37 | 349,954 | 190,717 |
Issues
|
Maturity Date
|
Principal Amount
| Value
| |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Mortgage-Backed (continued) |
| |||||||||||
Residential Asset Securitization Trust, |
| |||||||||||
Series 2007-A3, Class 1A4 |
| |||||||||||
5.75% | 04/25/37 | $ | 62,134 | $ | 44,379 | |||||||
Residential Asset Securitization Trust, |
| |||||||||||
Series 2007-A6, Class 1A3 |
| |||||||||||
6.00% | 06/25/37 | 176,086 | 146,472 | |||||||||
Residential Funding Mortgage Securities Trust, |
| |||||||||||
Series 2006-S3, Class A7 |
| |||||||||||
5.50% | 03/25/36 | 730,133 | 699,390 | |||||||||
Residential Funding Mortgage Securities Trust, |
| |||||||||||
Series 2006-S6, Class A10 |
| |||||||||||
6.00% | 07/25/36 | 392,818 | 390,356 | |||||||||
Residential Funding Mortgage Securities Trust, |
| |||||||||||
Series 2006-S6, Class A14 |
| |||||||||||
6.00% | 07/25/36 | 125,956 | 125,451 | |||||||||
Residential Funding Mortgage Securities Trust, |
| |||||||||||
Series 2007-S8, Class 1A1 |
| |||||||||||
6.00% | 09/25/37 | 212,227 | 191,240 | |||||||||
Securitized Asset-Backed Receivables LLC Trust, |
| |||||||||||
Series 2006-CB1, Class AF4 (STEP-reset date 05/25/21) |
| |||||||||||
3.07% | 01/25/36 | 124,819 | 115,925 | |||||||||
Securitized Asset-Backed Receivables LLC Trust, |
| |||||||||||
Series 2007-NC1, Class A2B |
| |||||||||||
(LIBOR USD 1-Month plus 0.15%) |
| |||||||||||
0.26% | 12/25/36 | 2 | 1,101,130 | 781,471 | ||||||||
Structured Adjustable Rate Mortgage Loan Trust, |
| |||||||||||
Series 2004-1, Class 4A1 |
| |||||||||||
2.58% | 02/25/34 | 4 | 2,042 | 2,066 | ||||||||
Structured Asset Mortgage Investments II Trust, |
| |||||||||||
Series 2006-AR2, Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.46%) |
| |||||||||||
0.57% | 02/25/36 | 2 | 25,261 | 22,859 | ||||||||
VOLT XCVI LLC, |
| |||||||||||
Series 2021-NPL5, Class A2 (STEP-reset date 04/25/21) |
| |||||||||||
4.83% | 03/27/51 | 1 | 800,000 | 798,900 | ||||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||||
Series 2006-2, Class 1A6 |
| |||||||||||
6.00% | 03/25/36 | 33,914 | 34,568 | |||||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||||
Series 2006-AR3, Class X3 (IO) |
| |||||||||||
1.15% | 05/25/46 | 5,6 | 9,976,557 | 422,694 | ||||||||
Wells Fargo Alternative Loan Trust, |
| |||||||||||
Series 2007-PA2, Class 1A1 |
| |||||||||||
6.00% | 06/25/37 | 328,409 | 331,403 | |||||||||
Wells Fargo Alternative Loan Trust, |
| |||||||||||
Series 2007-PA5, Class 1A1 |
| |||||||||||
6.25% | 11/25/37 | 204,774 | 200,361 | |||||||||
Wells Fargo Mortgage-Backed Securities Trust, |
| |||||||||||
Series 2006-AR14, Class 2A3 |
| |||||||||||
2.78% | 10/25/36 | 4 | 57,022 | 55,468 | ||||||||
Wells Fargo Mortgage-Backed Securities Trust, |
| |||||||||||
Series 2006-AR4, Class 2A1 |
| |||||||||||
2.91% | 04/25/36 | 4 | 12,281 | 11,332 |
See accompanying Notes to Financial Statements. |
63 / Annual Report March 2021 |
Table of Contents
Flexible Income Fund
Schedule of Portfolio Investments
March 31, 2021
Issues
|
Maturity Date
|
Principal Amount
| Value
| |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Mortgage-Backed (continued) |
| |||||||||||
Wells Fargo Mortgage-Backed Securities Trust, |
| |||||||||||
Series 2007-7, Class A1 |
| |||||||||||
6.00% | 06/25/37 | $ | 411,977 | $ | 416,127 | |||||||
|
| |||||||||||
34,007,917 | ||||||||||||
|
| |||||||||||
U.S. Agency Commercial Mortgage-Backed — 6.48% |
| |||||||||||
Banc of America Merrill Lynch Commercial Mortgage Trust, |
| |||||||||||
Series 2016-ISQ, Class E |
| |||||||||||
3.61% | 08/14/34 | 1,4 | 273,000 | 268,409 | ||||||||
Barclays Commercial Mortgage Securities Trust, |
| |||||||||||
Series 2015-SRCH, Class A2 |
| |||||||||||
4.20% | 08/10/35 | 1 | 100,000 | 111,792 | ||||||||
Commercial Mortgage Lease-Backed Certificates-1, |
| |||||||||||
Series 2001-CMLB, Class X (IO) |
| |||||||||||
0.65% | 06/20/31 | 1,4 | 4,392,409 | 62,127 | ||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2007-C9, Class XS (IO) |
| |||||||||||
0.06% | 12/10/49 | 1,4 | 31,827,712 | 155,972 | ||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2015-CR25, Class XA (IO) |
| |||||||||||
0.83% | 08/10/48 | 4 | 8,635,894 | 274,867 | ||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2016-CR28, Class XA (IO) |
| |||||||||||
0.70% | 02/10/49 | 4 | 14,662,800 | 388,902 | ||||||||
CSAIL Commercial Mortgage Trust, |
| |||||||||||
Series 2015-C2, Class XA (IO) |
| |||||||||||
0.75% | 06/15/57 | 4 | 2,303,890 | 58,652 | ||||||||
CSAIL Commercial Mortgage Trust, |
| |||||||||||
Series 2017-CX9, Class XA (IO) |
| |||||||||||
0.87% | 09/15/50 | 4 | 9,865,303 | 254,394 | ||||||||
CSMC, |
| |||||||||||
Series 2020-522F, Class A |
| |||||||||||
(LIBOR USD 1-Month plus 3.74%) |
| |||||||||||
4.14% | 09/16/25 | 1,2 | 400,000 | 402,066 | ||||||||
Fannie Mae-Aces, |
| |||||||||||
Series 2016-M11, Class X2 (IO) |
| |||||||||||
2.83% | 07/25/39 | 4 | 568,832 | 23,144 | ||||||||
Fannie Mae-Aces, |
| |||||||||||
Series 2016-M2, Class X3 (IO) |
| |||||||||||
2.10% | 04/25/36 | 4 | 408,062 | 4,111 | ||||||||
Fannie Mae-Aces, |
| |||||||||||
Series 2016-M4, Class X2 (IO) |
| |||||||||||
2.66% | 01/25/39 | 4 | 1,168,742 | 62,796 | ||||||||
Freddie Mac Multifamily Structured Pass-Through |
| |||||||||||
Certificates |
| |||||||||||
Series K045, Class X1 (IO) |
| |||||||||||
0.44% | 01/25/25 | 4 | 32,372,952 | 478,246 | ||||||||
Freddie Mac Multifamily Structured Pass-Through |
| |||||||||||
Certificates, |
| |||||||||||
Series K017, Class X3 (IO) |
| |||||||||||
2.20% | 12/25/39 | 4 | 2,147,000 | 32,295 | ||||||||
Freddie Mac Multifamily Structured Pass-Through |
| |||||||||||
Certificates, |
| |||||||||||
Series K022, Class X3 (IO) |
| |||||||||||
1.81% | 08/25/40 | 4 | 900,000 | 20,760 |
Issues
|
Maturity Date
|
Principal Amount
| Value
| |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
U.S. Agency Commercial Mortgage-Backed (continued) |
| |||||||||||
Freddie Mac Multifamily Structured Pass-Through |
| |||||||||||
Certificates, |
| |||||||||||
Series K031, Class X3 (IO) |
| |||||||||||
1.66% | 07/25/41 | 4 | $ | 1,170,000 | $ | 38,478 | ||||||
Freddie Mac Multifamily Structured Pass-Through |
| |||||||||||
Certificates, |
| |||||||||||
Series K037, Class X3 (IO) |
| |||||||||||
2.21% | 01/25/42 | 4 | 390,000 | 22,880 | ||||||||
Freddie Mac Multifamily Structured Pass-Through |
| |||||||||||
Certificates, |
| |||||||||||
Series K043, Class X1 (IO) |
| |||||||||||
0.53% | 12/25/24 | 4 | 23,889,963 | 428,254 | ||||||||
Freddie Mac Multifamily Structured Pass-Through |
| |||||||||||
Certificates, |
| |||||||||||
Series K044, Class X3 (IO) |
| |||||||||||
1.48% | 01/25/43 | 4 | 4,900,000 | 262,813 | ||||||||
Freddie Mac Multifamily Structured Pass-Through |
| |||||||||||
Certificates, |
| |||||||||||
Series K049, Class X1 (IO) |
| |||||||||||
0.59% | 07/25/25 | 4 | 13,235,763 | 301,631 | ||||||||
Freddie Mac Multifamily Structured Pass-Through |
| |||||||||||
Certificates, |
| |||||||||||
Series K049, Class X3 (IO) |
| |||||||||||
1.55% | 10/25/43 | 4 | 2,925,000 | 176,690 | ||||||||
Freddie Mac Multifamily Structured Pass-Through |
| |||||||||||
Certificates, |
| |||||||||||
Series K050, Class X1 (IO) |
| |||||||||||
0.32% | 08/25/25 | 4 | 22,416,914 | 294,350 | ||||||||
Freddie Mac Multifamily Structured Pass-Through |
| |||||||||||
Certificates, |
| |||||||||||
Series K056, Class X3 (IO) |
| |||||||||||
2.11% | 06/25/44 | 4 | 6,243,936 | 615,671 | ||||||||
Freddie Mac Multifamily Structured Pass-Through |
| |||||||||||
Certificates, |
| |||||||||||
Series K062, Class X3 (IO) |
| |||||||||||
2.08% | 01/25/45 | 4 | 3,000,000 | 316,308 | ||||||||
Freddie Mac Multifamily Structured Pass-Through |
| |||||||||||
Certificates, |
| |||||||||||
Series K063, Class X1 (IO) |
| |||||||||||
0.29% | 01/25/27 | 4 | 54,899,206 | 841,177 | ||||||||
Freddie Mac Multifamily Structured Pass-Through |
| |||||||||||
Certificates, |
| |||||||||||
Series K732, Class X3 (IO) |
| |||||||||||
2.17% | 05/25/46 | 4 | 4,850,000 | 410,963 | ||||||||
Freddie Mac Multifamily Structured Pass-Through |
| |||||||||||
Certificates, |
| |||||||||||
Series K735, Class X3 (IO) |
| |||||||||||
2.15% | 05/25/47 | 4 | 3,160,000 | 311,322 | ||||||||
Freddie Mac Multifamily Structured Pass-Through |
| |||||||||||
Certificates, |
| |||||||||||
Series K736, Class X3 (IO) |
| |||||||||||
2.01% | 09/25/47 | 4 | 2,495,000 | 236,865 | ||||||||
Freddie Mac Multifamily Structured Pass-Through |
| |||||||||||
Certificates, |
| |||||||||||
Series KC05, Class X1 (IO) |
| |||||||||||
1.20% | 06/25/27 | 4 | 698,213 | 37,641 |
See accompanying Notes to Financial Statements. |
Annual Report March 2021 / 64 |
Table of Contents
Flexible Income Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
U.S. Agency Commercial Mortgage-Backed (continued) |
| |||||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, |
| |||||||||||
Series KIR1, Class X (IO) |
| |||||||||||
1.06% | 03/25/26 | 4 | $ | 960,405 | $ | 42,427 | ||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, |
| |||||||||||
Series KLU1, Class X3 (IO) |
| |||||||||||
3.97% | 01/25/31 | 4 | 343,587 | 57,905 | ||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, |
| |||||||||||
Series KS05, Class X (IO) |
| |||||||||||
0.76% | 01/25/23 | 4 | 4,683,167 | 64,295 | ||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, |
| |||||||||||
Series Q013, Class XPT1 (IO) |
| |||||||||||
1.66% | 05/25/25 | 7,144,764 | 250,452 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, |
| |||||||||||
Series Q013, Class XPT2 (IO) |
| |||||||||||
1.81% | 05/25/27 | 5,352,397 | 219,583 | |||||||||
FREMF Mortgage Trust, |
| |||||||||||
Series 2012-K20, Class X2A (IO) |
| |||||||||||
0.20% | 05/25/45 | 1 | 3,562,327 | 5,632 | ||||||||
Ginnie Mae, |
| |||||||||||
Series 2009-111, Class IO (IO) |
| |||||||||||
0.22% | 09/16/51 | 4 | 1,032,069 | 41,624 | ||||||||
Ginnie Mae, |
| |||||||||||
Series 2010-159, Class D |
| |||||||||||
4.29% | 09/16/44 | 4 | 471,452 | 486,566 | ||||||||
Ginnie Mae, |
| |||||||||||
Series 2011-119, Class IO (IO) |
| |||||||||||
0.31% | 08/16/51 | 4 | 2,009,990 | 11,534 | ||||||||
Ginnie Mae, |
| |||||||||||
Series 2011-165, Class B |
| |||||||||||
3.18% | 08/16/39 | 61,259 | 61,291 | |||||||||
Ginnie Mae, |
| |||||||||||
Series 2011-78, Class IX (IO) |
| |||||||||||
0.00% | 08/16/46 | 4 | 23,704 | 2,469 | ||||||||
Ginnie Mae, |
| |||||||||||
Series 2011-86, Class C |
| |||||||||||
3.58% | 09/16/51 | 4 | 483,027 | 505,835 | ||||||||
Ginnie Mae, |
| |||||||||||
Series 2012-123, Class IO (IO) |
| |||||||||||
0.76% | 12/16/51 | 4 | 4,590,503 | 122,347 | ||||||||
Ginnie Mae, |
| |||||||||||
Series 2012-135, Class IO (IO) |
| |||||||||||
0.55% | 01/16/53 | 4 | 431,305 | 8,944 | ||||||||
Ginnie Mae, |
| |||||||||||
Series 2013-33, Class IO (IO) |
| |||||||||||
0.58% | 04/16/54 | 4 | 557,381 | 7,034 | ||||||||
Ginnie Mae, |
| |||||||||||
Series 2014-126, Class IO (IO) |
| |||||||||||
0.72% | 02/16/55 | 4 | 7,261,176 | 220,629 | ||||||||
Grace Trust, |
| |||||||||||
Series 2020-GRCE, Class D |
| |||||||||||
2.68% | 12/10/40 | 1,4 | 360,000 | 341,735 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
U.S. Agency Commercial Mortgage-Backed (continued) |
| |||||||||||
GS Mortgage Securities Trust, |
| |||||||||||
Series 2014-GC18, Class XA (IO) |
| |||||||||||
1.00% | 01/10/47 | 4 | $ | 1,004,083 | $ | 23,130 | ||||||
GS Mortgage Securities Trust, |
| |||||||||||
Series 2015-GC34, Class XA (IO) |
| |||||||||||
1.22% | 10/10/48 | 4 | 2,679,677 | 121,495 | ||||||||
GS Mortgage Securities Trust, |
| |||||||||||
Series 2016-GS4, Class XA (IO) |
| |||||||||||
0.50% | 11/10/49 | 4 | 6,212,353 | 143,148 | ||||||||
Hilton USA Trust, |
| |||||||||||
Series 2016-SFP, Class E |
| |||||||||||
5.52% | 11/05/35 | 1 | 400,000 | 403,212 | ||||||||
JPMBB Commercial Mortgage Securities Trust, |
| |||||||||||
Series 2015-C30, Class XA (IO) |
| |||||||||||
0.51% | 07/15/48 | 4 | 22,308,135 | 429,755 | ||||||||
LB-UBS Commercial Mortgage Trust, |
| |||||||||||
Series 2006-C7, Class XW (IO) |
| |||||||||||
0.41% | 11/15/38 | 1,4 | 2,574,227 | 8,484 | ||||||||
ML-CFC Commercial Mortgage Trust, |
| |||||||||||
Series 2007-6, Class X (IO) |
| |||||||||||
0.06% | 03/12/51 | 1,4 | 14,477,666 | 61,938 | ||||||||
SFAVE Commercial Mortgage Securities Trust, |
| |||||||||||
Series 2015-5AVE, Class C |
| |||||||||||
4.39% | 01/05/43 | 1,4 | 925,000 | 815,032 | ||||||||
WF-RBS Commercial Mortgage Trust, |
| |||||||||||
Series 2014-C20, Class XA (IO) |
| |||||||||||
0.94% | 05/15/47 | 4 | 11,760,741 | 265,301 | ||||||||
WF-RBS Commercial Mortgage Trust, |
| |||||||||||
Series 2014-C22, Class XA (IO) |
| |||||||||||
0.80% | 09/15/57 | 4 | 2,071,227 | 44,751 | ||||||||
|
| |||||||||||
11,660,124 | ||||||||||||
|
| |||||||||||
U.S. Agency Mortgage-Backed — 15.56% |
| |||||||||||
Fannie Mae Pool 462209 |
| |||||||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.17%) |
| |||||||||||
2.28% | 04/01/36 | 2 | 56,883 | 57,518 | ||||||||
Fannie Mae REMICS, |
| |||||||||||
Series 2005-56, Class SP |
| |||||||||||
(-6.00 X LIBOR USD 1-Month plus 42.30%, 6.00% Cap) |
| |||||||||||
6.00% | 08/25/33 | 2 | 7,637 | 8,176 | ||||||||
Fannie Mae REMICS, |
| |||||||||||
Series 2011-116, Class SA (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 6.00%, 6.00% Cap) |
| |||||||||||
5.89% | 11/25/41 | 2 | 190,980 | 26,649 | ||||||||
Fannie Mae REMICS, |
| |||||||||||
Series 2012-139, Class AI (IO) |
| |||||||||||
3.00% | 12/25/27 | 323,016 | 24,300 | |||||||||
Freddie Mac Strips, |
| |||||||||||
Series 240, Class IO (IO) |
| |||||||||||
5.50% | 07/15/36 | 380,231 | 80,486 | |||||||||
Ginnie Mae, |
| |||||||||||
Series 2003-110, Class S (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap) |
| |||||||||||
6.49% | 10/20/33 | 2 | 421,834 | 91,542 |
See accompanying Notes to Financial Statements. |
65 / Annual Report March 2021 |
Table of Contents
Flexible Income Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
U.S. Agency Mortgage-Backed (continued) |
| |||||||||||
Ginnie Mae, |
| |||||||||||
Series 2018-124, Class NW |
| |||||||||||
3.50% | 09/20/48 | $ | 53,726 | $ | 57,687 | |||||||
Ginnie Mae, |
| |||||||||||
Series 2018-154, Class BP |
| |||||||||||
3.50% | 11/20/48 | 11,489 | 11,963 | |||||||||
UMBS (TBA) |
| |||||||||||
2.00% | 05/01/51 | 20,175,000 | 20,101,708 | |||||||||
2.50% | 05/01/51 | 7,375,000 | 7,552,461 | |||||||||
|
| |||||||||||
28,012,490 | ||||||||||||
|
| |||||||||||
Total Mortgage-Backed |
| |||||||||||
(Cost $96,604,664) |
| 93,968,038 | ||||||||||
|
| |||||||||||
MUNICIPAL BONDS — 0.63%* |
| |||||||||||
California — 0.06% |
| |||||||||||
Los Angeles Department of Airports Revenue Bonds, Port, |
| |||||||||||
Airport and Marina Improvements, Series A |
| |||||||||||
3.89% | 05/15/38 | 100,000 | 111,648 | |||||||||
|
| |||||||||||
Colorado — 0.03% |
| |||||||||||
City & County of Denver Airport System Revenue Bonds, |
| |||||||||||
Series C |
| |||||||||||
2.24% | 11/15/30 | 65,000 | 63,613 | |||||||||
|
| |||||||||||
Florida — 0.09% |
| |||||||||||
County of Miami-Dade Aviation Revenue Bonds, Airport and |
| |||||||||||
Marina Improvements, Series B |
| |||||||||||
2.61% | 10/01/32 | 100,000 | 99,329 | |||||||||
County of Miami-Dade Aviation Revenue Bonds, Airport and |
| |||||||||||
Marina Improvements, Series D |
| |||||||||||
3.45% | 10/01/30 | 30,000 | 31,794 | |||||||||
Greater Orlando Aviation Authority Revenue Bonds, Port, |
| |||||||||||
Airport and Marina Improvements, Series A |
| |||||||||||
5.00% | 10/01/44 | 25,000 | 30,587 | |||||||||
|
| |||||||||||
161,710 | ||||||||||||
|
| |||||||||||
New York — 0.39% |
| |||||||||||
City of New York General Obligation Bonds, Public |
| |||||||||||
Improvements, Series F |
| |||||||||||
3.62% | 04/01/31 | 155,000 | 166,946 | |||||||||
Metropolitan Transportation Authority Revenue Bonds, |
| |||||||||||
Transit Improvements, Series C2 |
| |||||||||||
5.18% | 11/15/49 | 15,000 | 18,643 | |||||||||
New York City Transitional Finance Authority Future Tax |
| |||||||||||
Secured Revenue Bonds, Public Improvements |
| |||||||||||
4.00% | 05/01/42 | 30,000 | 34,817 | |||||||||
New York City Transitional Finance Authority Future Tax |
| |||||||||||
Secured Revenue Bonds, Public Improvements, Subseries B3 |
| |||||||||||
1.85% | 08/01/32 | 75,000 | 70,600 | |||||||||
New York City Water & Sewer System Revenue Bonds, |
| |||||||||||
Series AA |
| |||||||||||
4.00% | 06/15/50 | 50,000 | 58,402 | |||||||||
New York State Dormitory Authority Revenue Bonds, School |
| |||||||||||
Improvements, Series F |
| |||||||||||
3.11% | 02/15/39 | 150,000 | 152,910 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MUNICIPAL BONDS (continued) |
| |||||||||||
New York (continued) |
| |||||||||||
New York State Urban Development Corp. Revenue Bonds, |
| |||||||||||
Economic Improvements, Series E |
| |||||||||||
4.00% | 03/15/43 | $ | 85,000 | $ | 97,110 | |||||||
New York State Urban Development Corp. Revenue Bonds, |
| |||||||||||
Economic Improvements, Series F |
| |||||||||||
2.00% | 03/15/33 | 100,000 | 95,037 | |||||||||
|
| |||||||||||
694,465 | ||||||||||||
|
| |||||||||||
Ohio — 0.06% |
| |||||||||||
Ohio, Taxable Revenue Bonds, Advanced Refunding, |
| |||||||||||
Cleveland Clinic |
| |||||||||||
2.89% | 01/01/32 | 100,000 | 104,129 | |||||||||
|
| |||||||||||
Total Municipal Bonds |
| |||||||||||
(Cost $1,163,547) | 1,135,565 | |||||||||||
|
| |||||||||||
Total Bonds — 103.36% |
| |||||||||||
(Cost$189,231,895) | 186,063,407 | |||||||||||
|
| |||||||||||
Issues | Shares | Value | ||||||||||
COMMON STOCK — 0.24% |
| |||||||||||
Real Estate Investment Trust (REIT) — 0.24% |
| |||||||||||
AGNC Investment Corp. |
| 25,500 | 427,380 | |||||||||
|
| |||||||||||
Total Common Stock |
| |||||||||||
(Cost $362,696) | ||||||||||||
WARRANT — 0.07% |
| |||||||||||
Entertainment — 0.07% |
| |||||||||||
Cineworld Group PLC3,8 |
| |||||||||||
(United Kingdom) | 152,713 | 131,581 | ||||||||||
|
| |||||||||||
Total Warrant |
| |||||||||||
(Cost $–) | ||||||||||||
Issues | Maturity Date | Principal Amount/ Shares | Value | |||||||||
SHORT-TERM INVESTMENTS — 16.63% |
| |||||||||||
Money Market Funds — 3.35% |
| |||||||||||
Fidelity Investments Money Market Funds - Government |
| |||||||||||
Portfolio |
| |||||||||||
0.01%10 | 13,999 | 13,999 | ||||||||||
Morgan Stanley Institutional Liquidity Funds - Government |
| |||||||||||
Portfolio |
| |||||||||||
0.03%10 | 6,025,000 | 6,025,000 | ||||||||||
|
| |||||||||||
6,038,999 | ||||||||||||
|
| |||||||||||
U. S. Treasury Bills — 13.28% |
| |||||||||||
U. S. Treasury Bills |
| |||||||||||
0.10%11 | 04/01/21 | 1,900,000 | 1,900,000 | |||||||||
0.05%11 | 08/12/21 | 17,000,000 | 16,999,058 |
See accompanying Notes to Financial Statements. |
Annual Report March 2021 / 66 |
Table of Contents
Flexible Income Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount/ Shares | Value | |||||||||
SHORT-TERM INVESTMENTS (continued) |
| |||||||||||
U.S. Treasury Bills (continued) |
| |||||||||||
0.05%11 | 08/19/21 | $ | 5,000,000 | $ | 4,999,612 | |||||||
|
| |||||||||||
23,898,670 | ||||||||||||
|
| |||||||||||
Total Short-Term Investments |
| |||||||||||
(Cost $29,934,929) |
| 29,937,669 | ||||||||||
|
| |||||||||||
Total Investments - 120.30% |
| |||||||||||
(Cost $219,529,520) |
| 216,560,037 | ||||||||||
|
| |||||||||||
Net unrealized depreciation on unfunded commitments - 0.00% |
| (762 | ) | |||||||||
Liabilities in Excess of Other Assets - (20.30)% |
| (36,551,270 | ) | |||||||||
|
| |||||||||||
Net Assets - 100.00% |
| $ | 180,008,005 | |||||||||
|
|
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 March 31, 2021. |
3 | Foreign denominated security issued by foreign domiciled entity. |
4 | 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. |
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 $3,725,346, which is 2.07% of total net assets. |
7 | Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $45,909, at an interest rate of 1.00% and a maturity of November 18, 2027. The investment is accruing an unused commitment fee of 1.13% per annum. |
8 | Non-income producing security. |
9 | Security is currently in default with regard to scheduled interest or principal payments. |
10 | Represents the current yield as of March 31, 2021. |
11 | Represents annualized yield at date of purchase. |
† | Fair valued security. The aggregate value of fair valued securities is $1,089,498, which is 0.61% of total net assets. Fair valued securities were not valued utilizing an independent quote but are valued pursuant to guidelines established by the Board of Trustees. See Notes to Financial Statements. |
* | Securities with a call or reset feature will have an effective maturity date sooner than the stated maturity. |
** | Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date sooner than the stated maturity date. |
Note: For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for more meaningful presentation for investors.
(CLO): Collateralized Loan Obligation
(EURIBOR): Euro InterBank Offer Rate
(GBP): British Pound
(GMTN): Global Medium-Term Note
(IO): Interest Only
(LIBOR): London InterBank Offer Rate
(MTN): Medium-Term Note
(PO): Principal Only
(SONIA): Sterling Overnight Index Average
(STEP): Step Coupon Bond
(TBA): To-Be-Announced
(USD): U.S. Dollar
Currency to be Purchased | Currency to be Sold | Counterparty | Settlement Date | Unrealized Appreciation | ||||||||||
FOREIGN CURRENCY EXCHANGE CONTRACT | ||||||||||||||
USD 668,712 | GBP 475,000 | Goldman Sachs International | 04/23/21 | $ | 13,304 | |||||||||
|
|
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||
FUTURES CONTRACTS: LONG POSITIONS | ||||||||||||||||||||
U.S. Treasury Five Year Note | 165 | 06/30/21 | $ | 20,360,742 | $ | (161,348) | $ | (161,348) | ||||||||||||
FUTURES CONTRACTS: SHORT POSITIONS | ||||||||||||||||||||
U.S. Treasury Ten Year Ultra Bond | 92 | 06/21/21 | (13,219,250) | 337,604 | 337,604 | |||||||||||||||
U.S. Treasury Ultra Bond | 19 | 06/21/21 | (3,443,156) | 165,386 | 165,386 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
(16,662,406) | 502,990 | 502,990 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||
TOTAL FUTURES CONTRACTS | $ | 3,698,336 | $ | 341,642 | $ | 341,642 | ||||||||||||||
|
|
|
|
|
|
See accompanying Notes to Financial Statements. |
67 / Annual Report March 2021 |
Table of Contents
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
BONDS – 91.24% |
| |||||||||
BANK LOANS — 83.74%* |
| |||||||||
Automotive — 0.23% |
| |||||||||
Clarios Global LP, |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 3.25%) |
| |||||||||
3.36% | 04/30/261 | $ | 241,805 | $ | 239,689 | |||||
Oeconnection LLC, |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 4.00%) |
| |||||||||
4.11% | 09/25/261,2 | 736,838 | 735,456 | |||||||
|
| |||||||||
975,145 | ||||||||||
|
| |||||||||
Communications — 10.84% |
| |||||||||
A-L Parent LLC, |
| |||||||||
Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 3.25%) |
| |||||||||
4.25% | 12/01/231 | 492,288 | 454,298 | |||||||
Altice Financing SA, |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 2.75%) |
| |||||||||
2.95% | 01/31/261 | 967,500 | 949,964 | |||||||
Altice SA, |
| |||||||||
Term Loan B13, 1st Lien (France) |
| |||||||||
(LIBOR plus 4.00%) |
| |||||||||
4.20% | 08/14/261,3 | 488,750 | 488,261 | |||||||
Banijay Group U.S. Holding, Inc., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 3.75%) |
| |||||||||
3.86% | 03/01/251 | 997,494 | 989,594 | |||||||
CCI Buyer, Inc., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 4.00%) |
| |||||||||
4.75% | 12/17/271 | 1,500,000 | 1,503,990 | |||||||
CenturyLink, Inc., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 2.25%) |
| |||||||||
2.36% | 03/15/271 | 2,724,343 | 2,700,029 | |||||||
Charter Communications Operating LLC, |
| |||||||||
Term Loan B1, 1st Lien |
| |||||||||
(LIBOR plus 1.75%) |
| |||||||||
1.86% | 04/30/251 | 945,230 | 944,375 | |||||||
Term Loan B2, 1st Lien |
| |||||||||
(LIBOR plus 1.75%) |
| |||||||||
1.87% | 02/01/271 | 394,280 | 392,876 | |||||||
Clear Channel Outdoor Holdings, |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 3.50%) |
| |||||||||
3.71% | 08/21/261 | 486,313 | 468,550 | |||||||
Connect Finco SARL, |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 3.50%) |
| |||||||||
4.50% | 12/11/261 | 2,284,481 | 2,279,958 | |||||||
Consolidated Communications, Inc., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 4.75%) |
| |||||||||
5.75% | 10/02/271 | 535,504 | 536,925 |
Issues | Maturity Date | Principal Amount | Value | |||||||
BANK LOANS (continued) |
| |||||||||
Communications (continued) |
| |||||||||
Coralus Co-Borrower LLC, |
| |||||||||
Term Loan B5, 1st Lien |
| |||||||||
(LIBOR plus 2.25%) |
| |||||||||
2.36% | 01/31/281 | $ | 2,250,000 | $ | 2,218,669 | |||||
CSC Holdings LLC, |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 2.25%) |
| |||||||||
2.36% | 01/15/261 | 980,000 | 968,059 | |||||||
Term Loan B5, 1st Lien |
| |||||||||
(LIBOR plus 2.50%) |
| |||||||||
2.61% | 04/15/271 | 994,975 | 984,940 | |||||||
Dawn Acquisition LLC, |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 3.75%) |
| |||||||||
3.95% | 12/31/251 | 1,483,749 | 1,362,275 | |||||||
EW Scripps Co., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 3.00%) |
| |||||||||
3.75% | 01/07/281 | 498,750 | 497,777 | |||||||
Frontier Communications Corp., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 4.75%) |
| |||||||||
5.75% | 10/08/211 | 1,250,000 | 1,248,437 | |||||||
Global Tel*Link Corp., |
| |||||||||
Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 4.25%) |
| |||||||||
4.36% | 11/29/251 | 993,021 | 936,900 | |||||||
Gray Television, Inc., |
| |||||||||
Term Loan B2, 1st Lien |
| |||||||||
(LIBOR plus 2.25%) |
| |||||||||
2.37% | 02/07/241 | 1,500,000 | 1,492,733 | |||||||
GTT Communications BV, |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(EURIBOR plus 3.25%) |
| |||||||||
3.25% | 05/31/251 | 1,396,410 | 1,478,107 | |||||||
GTT Communications, Inc., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 2.75%) |
| |||||||||
2.86% | 05/30/251 | 941,098 | 798,315 | |||||||
Intelsat Jackson Holdings, |
| |||||||||
Delayed-Draw Term Loan, 1st Lien (Luxembourg) |
| |||||||||
(LIBOR plus 5.50%) |
| |||||||||
6.50% | 07/13/221,3 | 107,778 | 109,340 | |||||||
Intelsat Jackson Holdings SA, |
| |||||||||
Term Loan B5, 1st Lien (Luxembourg) |
| |||||||||
8.63% | 01/02/241,3 | �� | 500,000 | 511,522 | ||||||
Iridium Satellite LLC, |
| |||||||||
Term Loan B1, 1st Lien |
| |||||||||
(LIBOR plus 2.75%) |
| |||||||||
3.75% | 11/04/261 | 1,246,851 | 1,251,421 | |||||||
Level 3 Parent LLC, |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 1.75%) |
| |||||||||
1.86% | 03/01/271 | 2,337,328 | 2,310,063 |
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 68 |
Table of Contents
Floating Rate Income Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
BANK LOANS (continued) |
| |||||||||
Communications (continued) |
| |||||||||
MacDonald Dettwiler & Associates Ltd., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 2.75%) |
| |||||||||
2.86% | 10/04/241 | $ | 736,668 | $ | 729,301 | |||||
MH Sub I LLC, |
| |||||||||
Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 3.75%) |
| |||||||||
4.75% | 09/13/241 | 2,348,436 | 2,351,583 | |||||||
National Cinemedia LLC, |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 4.00%) |
| |||||||||
5.00% | 06/20/251 | 486,250 | 454,872 | |||||||
NEP/NCP Holdco, Inc., |
| |||||||||
Term Loan, 2nd Lien |
| |||||||||
(LIBOR plus 7.00%) |
| |||||||||
7.11% | 10/19/261 | 440,000 | 407,183 | |||||||
NEP/NCP Holding Co, Inc., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 3.25%) |
| |||||||||
3.36% | 10/20/251 | 1,246,811 | 1,213,216 | |||||||
New Insight Holdings, Inc., |
| |||||||||
Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 5.50%) |
| |||||||||
6.50% | 12/20/241 | 483,750 | 480,182 | |||||||
Nexstar Broadcasting, Inc., |
| |||||||||
Term Loan B3, 1st Lien |
| |||||||||
(LIBOR plus 2.25%) |
| |||||||||
2.36% | 01/17/241 | 927,096 | 923,054 | |||||||
Radiate Holdco LLC, |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 3.50%) |
| |||||||||
4.25% | 09/25/261 | 2,464,917 | 2,466,877 | |||||||
Sinclair Television Group, Inc., |
| |||||||||
Term Loan B1, 1st Lien |
| |||||||||
(LIBOR plus 2.25%) |
| |||||||||
2.36% | 01/03/241 | 1,624,890 | 1,617,578 | |||||||
Springer Nature Deutschland GmbH, |
| |||||||||
Term Loan B18, 1st Lien |
| |||||||||
(LIBOR plus 3.25%) |
| |||||||||
4.00% | 08/14/261 | 657,947 | 658,591 | |||||||
Terrier Media Buyer, Inc., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 3.50%) |
| |||||||||
3.61% | 12/17/261 | 1,535,651 | 1,524,026 | |||||||
UPC Financing Partnership, |
| |||||||||
Term Loan B2, 1st Lien |
| |||||||||
(LIBOR plus 3.50%) |
| |||||||||
3.61% | 01/31/291 | 1,125,000 | 1,123,397 | |||||||
Virgin Media Bristol LLC, |
| |||||||||
Term Loan N, 1st Lien |
| |||||||||
(LIBOR plus 2.50%) |
| |||||||||
2.61% | 01/31/281 | 3,000,000 | 2,977,335 |
Issues | Maturity Date | Principal Amount | Value | |||||||
BANK LOANS (continued) |
| |||||||||
Communications (continued) |
| |||||||||
Zayo Group Holdings, Inc., |
| |||||||||
Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 3.00%) |
| |||||||||
3.11% | 03/09/271 | $ | 2,004,276 | $ | 1,990,798 | |||||
|
| |||||||||
46,795,371 | ||||||||||
|
| |||||||||
Consumer Discretionary — 5.85% |
| |||||||||
ADMI Corp., |
| |||||||||
Term Loan B2, 1st Lien |
| |||||||||
(LIBOR plus 3.25%) |
| |||||||||
3.75% | 12/23/271 | 1,000,000 | 992,430 | |||||||
AI Aqua Merger Sub, Inc., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 3.25%) |
| |||||||||
4.25% | 12/13/231 | 1,451,250 | 1,451,707 | |||||||
Term Loan B1, 1st Lien |
| |||||||||
(LIBOR plus 3.25%) |
| |||||||||
4.25% | 12/13/231 | 488,550 | 488,703 | |||||||
Allied Universal Holdco LLC, |
| |||||||||
Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 4.25%) |
| |||||||||
4.36% | 07/10/261 | 740,625 | 739,470 | |||||||
Arterra Wines Canada, Inc., |
| |||||||||
Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 3.50%) |
| |||||||||
4.25% | 11/24/271 | 698,250 | 699,996 | |||||||
CityCenter Holdings LLC, |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 2.25%) |
| |||||||||
3.00% | 04/18/241 | 2,171,717 | 2,146,981 | |||||||
Four Seasons Hotels, Ltd., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 2.00%) |
| |||||||||
2.11% | 11/30/231 | 957,500 | 956,231 | |||||||
KUEHG Corp., |
| |||||||||
Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 3.75%) |
| |||||||||
4.75% | 02/21/251 | 334,451 | 327,856 | |||||||
Kwor Acquisition, Inc., |
| |||||||||
Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 4.00%) |
| |||||||||
4.11% | 06/03/261 | 2,475,498 | 2,450,743 | |||||||
Landry’s, |
| |||||||||
Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 12.00%) |
| |||||||||
13.00% | 10/06/231 | 53,605 | 61,378 | |||||||
New Trojan Parent, Inc., |
| |||||||||
Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 3.25%) |
| |||||||||
3.75% | 01/06/281 | 1,250,000 | 1,245,575 | |||||||
Nielsen Finance LLC, |
| |||||||||
Term Loan B4, 1st Lien |
| |||||||||
(LIBOR plus 2.00%) |
| |||||||||
2.10% | 10/04/231 | 857,067 | 856,801 |
See accompanying Notes to Financial Statements.
69 / Annual Report March 2021 |
Table of Contents
Floating Rate Income Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
BANK LOANS (continued) |
| |||||||||||
Consumer Discretionary (continued) |
| |||||||||||
Peraton Corp., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.75%) |
| |||||||||||
4.50% | 02/01/281 | $ | 905,828 | $ | 907,340 | |||||||
Prometric Holdings, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.00%) |
| |||||||||||
4.00% | 01/29/251 | 972,632 | 958,212 | |||||||||
Refresco, |
| |||||||||||
Term Loan B3, 1st Lien |
| |||||||||||
(LIBOR plus 3.25%) |
| |||||||||||
3.45% | 03/28/251 | 1,940,400 | 1,936,354 | |||||||||
Reynolds Group Holdings, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.75%) |
| |||||||||||
2.86% | 02/06/231 | 917,731 | 914,937 | |||||||||
Sunshine Luxembourg VII SARL, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.75%) |
| |||||||||||
4.50% | 10/01/261 | 1,250,000 | 1,250,313 | |||||||||
Triton Water Holdings, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.50%) |
| |||||||||||
4.00% | 03/17/281 | 1,500,000 | 1,496,130 | |||||||||
Waystar technologies, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 4.00%) |
| |||||||||||
4.11% | 10/22/261 | 1,982,494 | 1,988,699 | |||||||||
Weber-Stephen Products LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.25%) |
| |||||||||||
4.00% | 10/30/271 | 1,496,250 | 1,497,933 | |||||||||
Whatabrands LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.75%) |
| |||||||||||
2.86% | 07/31/261 | 1,431,024 | 1,423,869 | |||||||||
Wyndham Hotels & Resorts, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
1.86% | 05/30/251 | 487,500 | 483,064 | |||||||||
|
| |||||||||||
25,274,722 | ||||||||||||
|
| |||||||||||
Consumer Products — 0.10% |
| |||||||||||
Hoffmaster Group, Inc., |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 4.00%) |
| |||||||||||
5.00% | 11/21/231 | 467,755 | 434,194 | |||||||||
|
| |||||||||||
Electric — 2.08% |
| |||||||||||
Astoria Energy LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.50%) |
| |||||||||||
4.50% | 12/10/271 | 1,491,851 | 1,495,312 | |||||||||
CommScope, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.25%) |
| |||||||||||
3.36% | 04/06/261 | 1,972,469 | 1,964,313 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
BANK LOANS (continued) |
| |||||||||||
Electric (continued) |
| |||||||||||
Endure Digital, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.50%) |
| |||||||||||
4.25% | 02/10/281 | $ | 2,000,000 | $ | 1,982,500 | |||||||
Linden LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.50%) |
| |||||||||||
4.50% | 10/01/271 | 1,706,311 | 1,702,514 | |||||||||
Vistra Operations Co., LLC, |
| |||||||||||
Term Loan B3, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
1.86% | 12/31/251 | 1,863,618 | 1,852,967 | |||||||||
|
| |||||||||||
8,997,606 | ||||||||||||
|
| |||||||||||
Energy — 1.08% |
| |||||||||||
Calpine Corp., |
| |||||||||||
Term Loan B10, 1st Lien |
| |||||||||||
(LIBOR plus 2.00%) |
| |||||||||||
2.11% | 08/12/261 | 190,831 | 188,956 | |||||||||
Centurion Pipeline Co., LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.25%) |
| |||||||||||
3.36% | 09/29/251 | 977,500 | 973,468 | |||||||||
EG Finco Ltd., |
| |||||||||||
Term Loan B, 1st Lien (United Kingdom) |
| |||||||||||
(LIBOR plus 4.00%) |
| |||||||||||
4.20% | 02/07/251,3 | 565,160 | 557,087 | |||||||||
EPIC Y-Grade Services, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 6.00%) |
| |||||||||||
7.00% | 06/30/271 | 252,500 | 219,675 | |||||||||
Glass Mountain Pipeline Holdings LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 4.50%) |
| |||||||||||
5.50% | 12/23/241,4,5 | 137,685 | 36,716 | |||||||||
KAMC Holdings, Inc., |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 4.00%) |
| |||||||||||
4.19% | 08/14/261,4,5 | 738,750 | 706,736 | |||||||||
Stonepeak Lonestar Holdings LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 4.50%) |
| |||||||||||
4.73% | 10/19/261 | 1,058,410 | 1,061,718 | |||||||||
Traverse Midstream Partners LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 5.50%) |
| |||||||||||
6.50% | 09/27/241 | 932,829 | 927,581 | |||||||||
|
| |||||||||||
4,671,937 | ||||||||||||
|
| |||||||||||
Entertainment — 1.60% |
| |||||||||||
CineWorld Finance U.S., Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.50%) |
| |||||||||||
3.50% | 02/28/251 | 2,152,760 | 1,845,605 |
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 70 |
Table of Contents
Floating Rate Income Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
BANK LOANS (continued) |
| |||||||||
Entertainment (continued) |
| |||||||||
Crown Finance U.S., Inc., |
| |||||||||
Term Loan B1, 1st Lien |
| |||||||||
7.00% | 05/23/241 | $ | 1,084,241 | $ | 1,376,309 | |||||
NAI Entertainment Holdings LLC, |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 2.50%) |
| |||||||||
3.50% | 05/08/251 | 1,391,572 | 1,364,687 | |||||||
Nascar Holdings, Inc., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 2.75%) |
| |||||||||
2.86% | 10/19/261 | 840,000 | 835,539 | |||||||
WildBrain Ltd., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 4.25%) |
| |||||||||
5.00% | 03/20/281 | 1,500,000 | 1,489,695 | |||||||
|
| |||||||||
6,911,835 | ||||||||||
|
| |||||||||
Finance — 5.03% |
| |||||||||
Auris Lux III SA, |
| |||||||||
Term Loan B, 1st Lien (Luxembourg) |
| |||||||||
(LIBOR plus 3.75%) |
| |||||||||
3.86% | 02/27/261,3 | 1,225,003 | 1,191,316 | |||||||
Avolon TLB Borrower 1 U.S. LLC, |
| |||||||||
Term Loan B4, 1st Lien |
| |||||||||
(LIBOR plus 1.50%) |
| |||||||||
2.25% | 02/12/271 | 498,741 | 493,786 | |||||||
Term Loan B5, 1st Lien |
| |||||||||
(LIBOR plus 2.50%) |
| |||||||||
3.25% | 12/01/271 | 748,125 | 748,884 | |||||||
Blackstone CQP Holdco LP, |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 3.50%) |
| |||||||||
3.69% | 09/30/241 | 992,424 | 991,576 | |||||||
Camelot Finance SA, |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 3.00%) |
| |||||||||
3.11% | 10/30/261 | 987,500 | 980,864 | |||||||
CBAC Borrower LLC, |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 4.00%) |
| |||||||||
4.11% | 07/08/241 | 236,726 | 228,012 | |||||||
Cushman & Wakefield, |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 2.75%) |
| |||||||||
2.86% | 08/21/251 | 635,456 | 623,939 | |||||||
DCG Acquisition Corp., |
| |||||||||
Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 4.50%) |
| |||||||||
4.61% | 09/30/261 | 2,476,642 | 2,473,546 | |||||||
Delos Finance SARL, |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 1.75%) |
| |||||||||
1.95% | 10/06/231 | 2,300,000 | 2,297,941 |
Issues | Maturity Date | Principal Amount | Value | |||||||
BANK LOANS (continued) |
| |||||||||
Finance (continued) |
| |||||||||
First Eagle Holdings, Inc., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 2.50%) |
| |||||||||
2.70% | 02/01/271 | $ | 1,481,250 | $ | 1,464,379 | |||||
Jane Street Group LLC, |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 2.75%) |
| |||||||||
2.86% | 01/31/281 | 1,745,625 | 1,731,442 | |||||||
Mirion Technologies, Inc., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 4.00%) |
| |||||||||
4.20% | 03/06/261 | 1,733,598 | 1,738,582 | |||||||
Pre-Paid Legal Services, Inc., |
| |||||||||
Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 4.00%) |
| |||||||||
4.75% | 05/01/251 | 995,000 | 999,557 | |||||||
Rent-A-Center, Inc., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 4.00%) |
| |||||||||
4.75% | 02/04/281 | 1,000,000 | 1,007,085 | |||||||
RPI Intermediate Finance Trust, |
| |||||||||
Term Loan B1, 1st Lien |
| |||||||||
(LIBOR plus 1.75%) |
| |||||||||
1.86% | 02/11/271 | 149,004 | 148,910 | |||||||
Schweitzer-Mauduit International, Inc., |
| |||||||||
Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 4.00%) |
| |||||||||
4.00% | 01/27/281 | 2,000,000 | 1,997,500 | |||||||
Telenet Financing USD LLC, |
| |||||||||
Term Loan AR, 1st Lien |
| |||||||||
(LIBOR plus 2.00%) |
| |||||||||
2.11% | 04/30/281 | 1,500,000 | 1,483,455 | |||||||
UPC Financing Partnership, |
| |||||||||
Term Loan B1, 1st Lien |
| |||||||||
(LIBOR plus 3.50%) |
| |||||||||
3.61% | 01/31/291 | 1,125,000 | 1,123,397 | |||||||
|
| |||||||||
21,724,171 | ||||||||||
|
| |||||||||
Food — 4.00% |
| |||||||||
CH Guenther Parent LLC, |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 2.75%) |
| |||||||||
2.86% | 03/31/251 | 477,589 | 471,619 | |||||||
Chobani LLC, |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 3.50%) |
| |||||||||
4.50% | 10/25/271 | 1,492,500 | 1,493,619 | |||||||
Flora Food Group, |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 3.00%) |
| |||||||||
3.26% | 07/02/251 | 1,969,936 | 1,948,267 | |||||||
Hostess Brands LLC, |
| |||||||||
Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 2.25%) |
| |||||||||
3.00% | 08/03/251 | 2,428,307 | 2,419,541 |
See accompanying Notes to Financial Statements.
71 / Annual Report March 2021 |
Table of Contents
Floating Rate Income Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
BANK LOANS (continued) |
| |||||||||
Food (continued) |
| |||||||||
Houston Foods, Inc., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 3.75%) |
| |||||||||
3.86% | 07/20/251 | $ | 2,259,135 | $ | 2,237,956 | |||||
JBS USA LUX SA, |
| |||||||||
Term Loan B, 1st Lien (Canada) |
| |||||||||
(LIBOR plus 2.00%) |
| |||||||||
2.11% | 05/01/261,3 | 1,225,000 | 1,219,518 | |||||||
Matterhorn Merger Sub LLC, |
| |||||||||
Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 4.00%) |
| |||||||||
4.11% | 05/23/251 | 485,057 | 483,922 | |||||||
Shearer’s Foods LLC, |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 3.50%) |
| |||||||||
4.25% | 09/30/251 | 2,054,977 | 2,054,330 | |||||||
Snacking Investments Bidco, |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 4.00%) |
| |||||||||
5.00% | 12/23/261 | 495,000 | 496,960 | |||||||
U.S. Foods, Inc., |
| |||||||||
Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 2.00%) |
| |||||||||
2.11% | 09/14/261 | 1,970,000 | 1,935,052 | |||||||
Utz Quality Foods LLC, |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 3.00%) |
| |||||||||
3.11% | 01/20/271 | 2,493,750 | 2,494,797 | |||||||
|
| |||||||||
17,255,581 | ||||||||||
|
| |||||||||
Gaming — 2.67% |
| |||||||||
Caesars Resort Collection LLC, |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 4.50%) |
| |||||||||
4.61% | 07/21/251 | 995,000 | 998,279 | |||||||
Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 2.75%) |
| |||||||||
2.86% | 12/23/241 | 1,451,250 | 1,431,999 | |||||||
Churchill Downs, Inc., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 2.00%) |
| |||||||||
2.11% | 12/27/241 | 2,007,760 | 2,002,741 | |||||||
Gateway Casinos & Entertainment Ltd., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 6.50%) |
| |||||||||
7.50% | 03/13/251 | 1,001,243 | 987,786 | |||||||
Golden Entertainment, Inc., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 3.00%) |
| |||||||||
3.75% | 10/21/241 | 1,447,500 | 1,433,705 | |||||||
Golden Nugget, |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 2.50%) |
| |||||||||
3.25% | 10/04/231 | 1,994,377 | 1,966,785 |
Issues | Maturity Date | Principal Amount | Value | |||||||
BANK LOANS (continued) |
| |||||||||
Gaming (continued) |
| |||||||||
GVC Holdings PLC, |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 2.25%) |
| |||||||||
3.25% | 03/29/241 | $ | 1,455,000 | $ | 1,456,819 | |||||
Penn National Gaming, Inc., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 2.25%) |
| |||||||||
3.00% | 10/15/251 | 1,230,242 | 1,227,290 | |||||||
|
| |||||||||
11,505,404 | ||||||||||
|
| |||||||||
Health Care — 13.78% |
| |||||||||
Admi Corp., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 2.75%) |
| |||||||||
2.86% | 04/30/251 | 972,638 | 960,665 | |||||||
Aldevron LLC, |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 3.25%) |
| |||||||||
4.25% | 10/12/261 | 990,000 | 990,619 | |||||||
Alphabet Holding Co., Inc., |
| |||||||||
Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 3.50%) |
| |||||||||
3.61% | 09/26/241 | 1,479,916 | 1,471,710 | |||||||
Avantor Funding, Inc., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 2.25%) |
| |||||||||
3.25% | 11/08/271 | 1,496,250 | 1,498,681 | |||||||
Avolon TLB Borrower 1 U.S. LLC, |
| |||||||||
Term Loan B3, 1st Lien |
| |||||||||
(LIBOR plus 1.75%) |
| |||||||||
2.50% | 01/15/251 | 789,836 | 788,253 | |||||||
BCPE Eagle Buyer LLC, |
| |||||||||
Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 4.25%) |
| |||||||||
5.25% | 03/18/241 | 1,344,724 | 1,341,920 | |||||||
Buckeye Partners LP, |
| |||||||||
Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 2.25%) |
| |||||||||
2.36% | 11/01/261 | 498,750 | 497,139 | |||||||
Cano Health LLC, |
| |||||||||
Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 4.75%) |
| |||||||||
5.50% | 11/23/271,6 | 1,461,985 | 1,464,273 | |||||||
Catalent Pharma Solutions, Inc., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 2.00%) |
| |||||||||
2.50% | 02/22/281 | 818,446 | 820,831 | |||||||
CCS-CMGC Holdings, Inc., |
| |||||||||
Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 5.50%) |
| |||||||||
5.61% | 10/01/251 | 488,750 | 483,711 | |||||||
Change Healthcare Holdings LLC, |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 2.50%) |
| |||||||||
3.50% | 03/01/241 | 2,189,467 | 2,189,587 |
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 72 |
Table of Contents
Floating Rate Income Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
BANK LOANS (continued) |
| |||||||||
Health Care (continued) |
| |||||||||
CPI Holdco LLC, |
| |||||||||
Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 4.00%) |
| |||||||||
4.11% | 11/04/261 | $ | 2,236,851 | $ | 2,237,690 | |||||
Da Vinci Purchaser Corp., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 4.00%) |
| |||||||||
5.00% | 01/08/271 | 2,234,369 | 2,238,558 | |||||||
Dentalcorp Health Services ULC, |
| |||||||||
Term Loan, 1st Lien (Australia) |
| |||||||||
(LIBOR plus 3.75%) |
| |||||||||
4.75% | 06/06/251,3 | 1,640,820 | 1,630,565 | |||||||
Elanco Animal Health, Inc., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 1.75%) |
| |||||||||
1.87% | 08/01/271 | 2,786,457 | 2,754,106 | |||||||
Emerald Topco, Inc., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 3.50%) |
| |||||||||
3.71% | 07/27/261 | 987,469 | 980,063 | |||||||
Endo Luxembourg Finance Co., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 5.00%) |
| |||||||||
5.75% | 03/27/281 | 1,202,057 | 1,192,038 | |||||||
eResearchTechnology, Inc., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 4.50%) |
| |||||||||
5.50% | 02/04/271 | 1,778,680 | 1,783,126 | |||||||
Femur Buyer, Inc., |
| |||||||||
Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 4.50%) |
| |||||||||
4.70% | 03/05/261 | 631,028 | 604,998 | |||||||
Genesee & Wyoming, Inc., |
| |||||||||
Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 2.00%) |
| |||||||||
2.20% | 12/30/261 | 2,475,000 | 2,469,976 | |||||||
Gentiva Health Services, Inc., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 2.75%) |
| |||||||||
2.88% | 07/02/251 | 2,233,135 | 2,223,833 | |||||||
Grifols Worldwide Operations USA, Inc., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 2.00%) |
| |||||||||
2.08% | 11/15/271 | 987,500 | 977,684 | |||||||
Heartland Dental LLC, |
| |||||||||
Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 3.50%) |
| |||||||||
3.61% | 04/30/251 | 1,244,896 | 1,227,069 | |||||||
Horizon Therapeutics USA, Inc., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 2.00%) |
| |||||||||
2.50% | 02/26/281 | 1,500,000 | 1,497,750 | |||||||
Med Parentco LP, |
| |||||||||
Delayed-Draw Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 4.25%) |
| |||||||||
4.36% | 08/31/261 | 296,925 | 295,045 |
Issues | Maturity Date | Principal Amount | Value | |||||||
BANK LOANS (continued) |
| |||||||||
Health Care (continued) |
| |||||||||
Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 4.25%) |
| |||||||||
4.36% | 08/31/261 | $ | 1,184,044 | $ | 1,176,549 | |||||
Medical Solutions Holdings, Inc., |
| |||||||||
Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 4.50%) |
| |||||||||
5.50% | 06/14/241 | 965,374 | 967,184 | |||||||
Medplast Holdings, Inc., |
| |||||||||
Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 3.75%) |
| |||||||||
3.86% | 07/02/251 | 975,000 | 947,583 | |||||||
National Seating & Mobility, |
| |||||||||
Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 5.25%) |
| |||||||||
5.36% | 11/16/261 | 987,502 | 990,588 | |||||||
NMN Holdings III Corp., |
| |||||||||
Delayed-Draw Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 3.50%) |
| |||||||||
3.61% | 11/13/251 | 259,975 | 258,648 | |||||||
Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 3.50%) |
| |||||||||
3.61% | 11/13/251 | 1,211,766 | 1,205,579 | |||||||
NMSC Holdings, Inc., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 5.00%) |
| |||||||||
6.00% | 04/19/231,4,5 | 411,048 | 405,808 | |||||||
Ortho-Clinical Diagnostics SA, |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 3.25%) |
| |||||||||
3.36% | 06/30/251 | 1,250,000 | 1,249,375 | |||||||
Pathway Vet Alliance LLC, |
| |||||||||
Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 3.75%) |
| |||||||||
3.86% | 03/31/271 | 2,483,089 | 2,471,965 | |||||||
PetVet Care Centers LLC, |
| |||||||||
Term Loan B3, 1st Lien |
| |||||||||
(LIBOR plus 3.50%) |
| |||||||||
4.25% | 02/14/251 | 997,468 | 996,596 | |||||||
Phoenix Guarantor, Inc., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 3.25%) |
| |||||||||
4.25% | 03/05/261 | 1,998,750 | 1,985,948 | |||||||
Pluto Acquisition I, Inc., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 4.50%) |
| |||||||||
4.61% | 06/22/261 | 500,000 | 500,625 | |||||||
Premise Health Holding Corp., |
| |||||||||
Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 3.50%) |
| |||||||||
3.70% | 07/10/251 | 1,137,866 | 1,130,049 | |||||||
Romulus Merger Sub LLC, |
| |||||||||
Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 2.75%) |
| |||||||||
2.86% | 02/14/251 | 1,942,984 | 1,915,666 |
See accompanying Notes to Financial Statements.
73 / Annual Report March 2021 |
Table of Contents
Floating Rate Income Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
BANK LOANS (continued) |
| |||||||||||
Health Care (continued) |
| |||||||||||
Sotera Health Holdings LLC, |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 2.75%) |
| |||||||||||
3.25% | 12/11/261 | $ | 1,000,000 | $ | 998,750 | |||||||
Surgery Center Holdings, Inc., |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 3.25%) |
| |||||||||||
4.25% | 09/03/241 | 1,208,656 | 1,199,023 | |||||||||
(LIBOR plus 8.00%) |
| |||||||||||
9.00% | 09/03/241 | 222,750 | 228,389 | |||||||||
Tecomet, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.50%) |
| |||||||||||
4.50% | 05/01/241 | 196,443 | 193,701 | |||||||||
U.S. Renal Care, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 5.00%) |
| |||||||||||
5.13% | 06/26/261 | 1,782,975 | 1,774,898 | |||||||||
UIC Merger Sub, Inc., |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 3.25%) |
| |||||||||||
4.25% | 08/30/241 | 2,202,885 | 2,205,242 | |||||||||
Valeant Pharmaceuticals International, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.75%) |
| |||||||||||
2.86% | 11/27/251 | 452,206 | 450,257 | |||||||||
(LIBOR plus 3.00%) |
| |||||||||||
3.11% | 06/02/251 | 1,606,986 | 1,603,788 | |||||||||
|
| |||||||||||
59,476,101 | ||||||||||||
|
| |||||||||||
Industrials — 9.87% |
| |||||||||||
Anchor Packaging LLC, |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 4.00%) |
| |||||||||||
4.11% | 07/18/261 | 1,989,873 | 1,994,848 | |||||||||
BCPE Empire Holdings, Inc., |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 4.00%) |
| |||||||||||
4.11% | 06/11/261 | 1,232,017 | 1,226,245 | |||||||||
(LIBOR plus 4.25%) |
| |||||||||||
5.00% | 06/11/261 | 500,000 | 500,000 | |||||||||
Berry Global, Inc., |
| |||||||||||
Term Loan Z, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
1.90% | 07/01/261 | 2,311,253 | 2,296,080 | |||||||||
Charter NEX U.S., Inc., |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 4.25%) |
| |||||||||||
5.00% | 12/01/271 | 1,825,000 | 1,831,032 | |||||||||
Clean Harbors, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
1.86% | 06/30/241 | 1,790,347 | 1,794,635 |
Issues | Maturity Date | Principal Amount | Value | |||||||
BANK LOANS (continued) |
| |||||||||
Industrials (continued) |
| |||||||||
Conserve Merger Sub, Inc., |
| |||||||||
Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 3.50%) |
| |||||||||
3.61% | 08/08/251 | $ | 1,950,000 | $ | 1,918,624 | |||||
Convergint Technologies, |
| |||||||||
Delayed-Draw Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 3.75%) |
| |||||||||
4.50% | 03/31/281 | 86,580 | 86,283 | |||||||
Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 3.75%) |
| |||||||||
4.50% | 03/31/281 | 413,420 | 412,000 | |||||||
Deliver Buyer, Inc., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 5.00%) |
| |||||||||
5.20% | 05/01/241 | 1,080,111 | 1,082,136 | |||||||
Energizer Holdings, Inc., |
| |||||||||
Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 2.25%) |
| |||||||||
2.75% | 12/22/271 | 1,000,000 | 997,915 | |||||||
Engineered Machinery Holdings, Inc., |
| |||||||||
Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 4.25%) |
| |||||||||
5.25% | 07/19/241 | 492,434 | 492,638 | |||||||
Jade Germany GMBH, |
| |||||||||
Term Loan, 1st Lien (Germany) |
| |||||||||
(LIBOR plus 5.50%) |
| |||||||||
6.50% | 05/31/231,3 | 962,499 | 906,554 | |||||||
Liqui-Box Corp., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 4.50%) |
| |||||||||
5.50% | 02/26/271 | 992,500 | 947,838 | |||||||
Mauser Packaging Solutions Holdings, |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 3.25%) |
| |||||||||
3.44% | 04/03/241 | 1,506,928 | 1,476,977 | |||||||
Patriot Container Corp., |
| |||||||||
Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 3.50%) |
| |||||||||
4.50% | 03/20/251 | 1,480,916 | 1,468,425 | |||||||
Pelican Products, Inc., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 3.50%) |
| |||||||||
4.50% | 05/01/251 | 1,481,135 | 1,470,493 | |||||||
Plaze, Inc., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 3.50%) |
| |||||||||
3.61% | 07/30/261 | 1,782,860 | 1,767,269 | |||||||
(LIBOR plus 3.75%) |
| |||||||||
4.50% | 08/03/261 | 498,750 | 497,920 | |||||||
Pretium Packaging Holdings, Inc., |
| |||||||||
Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 4.00%) |
| |||||||||
4.75% | 11/05/271 | 1,745,625 | 1,746,349 |
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 74 |
Table of Contents
Floating Rate Income Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
BANK LOANS (continued) |
| |||||||||
Industrials (continued) |
| |||||||||
Proampac PG Borrower LLC, |
| |||||||||
Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 4.00%) |
| |||||||||
5.00% | 11/03/251 | $ | 2,950,000 | $ | 2,952,448 | |||||
Protective Industrial Products, Inc., |
| |||||||||
Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 4.00%) |
| |||||||||
4.75% | 12/29/271 | 1,500,000 | 1,500,630 | |||||||
Refficiency Holdings LLC, |
| |||||||||
Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 4.00%) |
| |||||||||
4.75% | 12/16/271,7 | 836,613 | 839,232 | |||||||
Spectrum Holdings III Corp., |
| |||||||||
Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 3.25%) |
| |||||||||
4.25% | 01/31/251 | 1,416,224 | 1,354,562 | |||||||
Technimark LLC, |
| |||||||||
Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 3.75%) |
| |||||||||
3.86% | 08/08/251 | 977,500 | 970,169 | |||||||
Titan Acquisition, Ltd., |
| |||||||||
Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 3.00%) |
| |||||||||
3.27% | 03/28/251 | 493,639 | 484,459 | |||||||
Transcendia Holdings, Inc., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 3.50%) |
| |||||||||
4.50% | 05/30/241 | 1,447,622 | 1,212,383 | |||||||
TransDigm, Inc., |
| |||||||||
Term Loan E, 1st Lien |
| |||||||||
(LIBOR plus 2.25%) |
| |||||||||
2.36% | 05/30/251 | 492,513 | 483,182 | |||||||
TricorBraun Holdings, Inc., |
| |||||||||
Delayed-Draw Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 0.50%) |
| |||||||||
0.50% | 03/03/281,8 | 9,181 | 9,107 | |||||||
Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 3.25%) |
| |||||||||
3.75% | 03/03/281 | 1,224,560 | 1,214,610 | |||||||
U.S. Ecology, Inc., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 2.50%) |
| |||||||||
2.61% | 11/02/261 | 493,750 | 493,338 | |||||||
Univar Solutions USA, Inc., |
| |||||||||
Term Loan B5, 1st Lien |
| |||||||||
(LIBOR plus 2.00%) |
| |||||||||
2.11% | 07/01/261 | 493,750 | 491,943 | |||||||
WP Deluxe Merger Sub, Inc., |
| |||||||||
Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 3.00%) |
| |||||||||
4.00% | 07/19/241 | 967,500 | 965,284 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
BANK LOANS (continued) |
| |||||||||||
Industrials (continued) |
| |||||||||||
Zep, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 4.00%) |
| |||||||||||
5.00% | 08/12/241 | $ | 4,756,097 | $ | 4,718,191 | |||||||
|
| |||||||||||
42,603,799 | ||||||||||||
|
| |||||||||||
Information Technology — 13.59% |
| |||||||||||
AppLovin Corp., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.50%) |
| |||||||||||
3.61% | 08/15/251 | 748,087 | 748,364 | |||||||||
AQA Acquisition Holding, Inc., |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 4.25%) |
| |||||||||||
4.75% | 11/19/271 | 1,500,000 | 1,506,570 | |||||||||
BJ’s Wholesale Club, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.00%) |
| |||||||||||
2.11% | 02/03/241 | 1,557,898 | 1,558,872 | |||||||||
Buzz Merger Sub, Ltd., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.75%) |
| |||||||||||
2.86% | 01/29/271 | 1,492,481 | 1,485,019 | |||||||||
Castle U.S. Holding Corp., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.75%) |
| |||||||||||
3.95% | 01/29/271 | 991,667 | 981,130 | |||||||||
Ciox Health, |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 5.00%) |
| |||||||||||
6.00% | 12/16/251 | 780,000 | 782,274 | |||||||||
Cornerstone OnDemand, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 4.25%) |
| |||||||||||
4.36% | 04/22/271 | 845,702 | 847,554 | |||||||||
DCert Buyer, Inc., |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 4.00%) |
| |||||||||||
4.11% | 10/16/261 | 1,488,741 | 1,488,019 | |||||||||
Dell International LLC, |
| |||||||||||
Term Loan B2, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
2.00% | 09/19/251 | 857,021 | 857,252 | |||||||||
E2open LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.50%) |
| |||||||||||
4.00% | 02/04/281 | 1,500,000 | 1,500,945 | |||||||||
EagleView Technology Co., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.50%) |
| |||||||||||
3.69% | 08/14/251 | 2,729,222 | 2,693,401 | |||||||||
EQT Box Merger Sub, Inc., |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 3.75%) |
| |||||||||||
3.75% | 02/26/281 | 250,000 | 248,047 |
See accompanying Notes to Financial Statements.
75 / Annual Report March 2021 |
Table of Contents
Floating Rate Income Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
BANK LOANS (continued) |
| |||||||||
Information Technology (continued) |
| |||||||||
Gainwell Acquisition Corp., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 4.00%) |
| |||||||||
4.75% | 10/01/271 | $ | 1,500,000 | $ | 1,496,250 | |||||
GlobalLogic Holdings, Inc., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 2.75%) |
| |||||||||
2.86% | 08/01/251 | 427,734 | 427,200 | |||||||
Helios Software Holdings, Inc., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 3.75%) |
| |||||||||
3.93% | 03/05/281 | 2,000,000 | 1,988,760 | |||||||
Imperva, Inc., |
| |||||||||
Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 4.00%) |
| |||||||||
5.00% | 01/12/261 | 1,772,231 | 1,774,305 | |||||||
ION Analytics, |
| |||||||||
Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 4.00%) |
| |||||||||
4.50% | 02/16/281 | 1,000,000 | 993,750 | |||||||
IQVIA, Inc., |
| |||||||||
Term Loan B2, 1st Lien |
| |||||||||
(LIBOR plus 1.75%) |
| |||||||||
1.86% | 01/17/251 | 957,559 | 953,848 | |||||||
Term Loan B3, 1st Lien |
| |||||||||
(LIBOR plus 1.75%) |
| |||||||||
1.95% | 06/11/251 | 1,473,560 | 1,468,034 | |||||||
Logmein, Inc., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 4.75%) |
| |||||||||
4.85% | 08/31/271 | 1,496,250 | 1,494,148 | |||||||
Murphy USA, Inc., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 1.75%) |
| |||||||||
2.25% | 01/21/281 | 1,000,000 | 1,005,000 | |||||||
Northwest Fiber LLC, |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 3.75%) |
| |||||||||
3.86% | 04/30/271 | 1,000,000 | 1,000,000 | |||||||
Panther Purchaser LP, |
| |||||||||
Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 4.50%) |
| |||||||||
4.71% | 01/07/281 | 1,500,000 | 1,499,070 | |||||||
Peraton Corp., |
| |||||||||
Delayed-Draw Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 3.75%) |
| |||||||||
3.75% | 02/01/281 | 1,594,172 | 1,596,835 | |||||||
Perspecta, Inc., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 2.25%) |
| |||||||||
2.36% | 05/30/251 | 437,500 | 439,414 | |||||||
Precision Medicine Group LLC, |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 3.00%) |
| |||||||||
3.75% | 11/18/271,9 | 2,647,212 | 2,633,155 |
Issues | Maturity Date | Principal Amount | Value | |||||||
BANK LOANS (continued) |
| |||||||||
Information Technology (continued) |
| |||||||||
Prime Security Services Borrower LLC, |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 2.75%) |
| |||||||||
3.50% | 09/23/261 | $ | 560,374 | $ | 558,796 | |||||
Project Alpha Intermediate Holding, Inc., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 4.00%) |
| |||||||||
4.11% | 04/26/241 | 1,960,087 | 1,957,392 | |||||||
ProQuest LLC, |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 3.25%) |
| |||||||||
3.36% | 10/23/261 | 2,133,648 | 2,122,713 | |||||||
RealPage, Inc., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 3.75%) |
| |||||||||
3.75% | 02/18/281 | 1,500,000 | 1,494,997 | |||||||
RSA Security LLC, |
| |||||||||
Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 5.00%) |
| |||||||||
6.00% | 09/01/271 | 997,500 | 1,002,278 | |||||||
Scientific Games International, Inc., |
| |||||||||
Term Loan B5, 1st Lien |
| |||||||||
(LIBOR plus 2.75%) |
| |||||||||
2.86% | 08/14/241 | 1,948,639 | 1,914,976 | |||||||
Sophia LP, |
| |||||||||
Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 3.75%) |
| |||||||||
3.95% | 10/07/271 | 1,995,000 | 1,996,875 | |||||||
Spin Holdco, Inc., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 4.00%) |
| |||||||||
4.75% | 03/04/281 | 2,000,000 | 1,985,530 | |||||||
SS&C Technologies, Inc., |
| |||||||||
Term Loan B3, 1st Lien |
| |||||||||
(LIBOR plus 1.75%) |
| |||||||||
1.86% | 04/16/251 | 754,098 | 747,549 | |||||||
Term Loan B4, 1st Lien |
| |||||||||
(LIBOR plus 1.75%) |
| |||||||||
1.86% | 04/16/251 | 563,049 | 558,159 | |||||||
Surf Holdings LLC, |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 3.50%) |
| |||||||||
3.68% | 03/05/271 | 2,038,369 | 2,021,226 | |||||||
TIBCO Software, Inc., |
| |||||||||
Term Loan B3, 1st Lien |
| |||||||||
(LIBOR plus 3.75%) |
| |||||||||
3.86% | 06/30/261 | 1,989,975 | 1,968,831 | |||||||
TierPoint LLC, |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 3.75%) |
| |||||||||
4.50% | 05/05/261 | 977,303 | 973,535 | |||||||
TTM Technologies, Inc., |
| |||||||||
Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 2.50%) |
| |||||||||
2.62% | 09/30/241 | 1,000,000 | 1,000,470 |
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 76 |
Table of Contents
Floating Rate Income Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
BANK LOANS (continued) |
| |||||||||
Information Technology (continued) |
| |||||||||
Ultra Clean Holdings, Inc., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 3.75%) |
| |||||||||
3.75% | 08/27/251 | $ | 500,000 | $ | 501,875 | |||||
VS Buyer LLC, |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 3.00%) |
| |||||||||
3.11% | 02/28/271 | 997,481 | 995,820 | |||||||
VT Topco, Inc., |
| |||||||||
Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 3.50%) |
| |||||||||
3.61% | 08/01/251 | 1,721,731 | 1,703,980 | |||||||
Zelis Payments Buyer, Inc., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 3.50%) |
| |||||||||
3.62% | 09/30/261 | 742,500 | 740,644 | |||||||
Zotec Partners LLC, |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 3.75%) |
| |||||||||
4.75% | 02/14/241 | 946,687 | 947,871 | |||||||
|
| |||||||||
58,660,733 | ||||||||||
|
| |||||||||
Insurance — 1.15% |
| |||||||||
Acrisure LLC, |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 3.50%) |
| |||||||||
3.70% | 02/15/271 | 1,994,962 | 1,974,813 | |||||||
Asurion LLC, |
| |||||||||
Term Loan B8, 1st Lien |
| |||||||||
(LIBOR plus 3.25%) |
| |||||||||
3.36% | 12/23/261 | 997,500 | 992,428 | |||||||
Term Loan B9, 1st Lien |
| |||||||||
(LIBOR plus 3.25%) |
| |||||||||
3.36% | 07/31/271 | 1,000,000 | 994,060 | |||||||
Howden Group Holdings Ltd., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 3.25%) |
| |||||||||
4.00% | 11/12/271 | 497,468 | 496,776 | |||||||
Hyperion Refinance SARL, |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 3.75%) |
| |||||||||
4.75% | 11/12/271 | 498,183 | 499,428 | |||||||
|
| |||||||||
4,957,505 | ||||||||||
|
| |||||||||
Materials — 2.88% |
| |||||||||
Archroma Finance SARL, |
| |||||||||
Term Loan B2, 1st Lien (Switzerland) |
| |||||||||
(LIBOR plus 4.25%) |
| |||||||||
4.36% | 08/12/241,3 | 720,000 | 709,801 | |||||||
4.45% | 08/12/241,3 | 3,750 | 3,697 | |||||||
Cyanco Intermediate Corp., |
| |||||||||
Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 3.50%) |
| |||||||||
3.61% | 03/16/251 | 446,322 | 444,816 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
BANK LOANS (continued) |
| |||||||||||
Materials (continued) |
| |||||||||||
ICP Group, |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 3.75%) |
| |||||||||||
4.50% | 12/29/271 | $ | 1,500,000 | $ | 1,502,505 | |||||||
INEOS U.S. Quattro LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.75%) |
| |||||||||||
3.25% | 01/29/261 | 1,250,000 | 1,248,244 | |||||||||
Israel Chemicals Ltd., |
| |||||||||||
Term Loan, 1st Lien (Israel) |
| |||||||||||
(LIBOR plus 3.00%) |
| |||||||||||
3.11% | 03/28/251,3 | 989,798 | 980,341 | |||||||||
Lummus Technology Holdings V LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.50%) |
| |||||||||||
3.61% | 06/30/271 | 2,000,000 | 1,993,750 | |||||||||
Polar U.S. Borrower LLC, |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 4.75%) |
| |||||||||||
4.86% | 10/15/251 | 582,229 | 579,317 | |||||||||
4.95% | 10/15/251 | 4,271 | 4,250 | |||||||||
Potters Borrower LP, |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 4.00%) |
| |||||||||||
4.20% | 12/14/271 | 1,000,000 | 1,002,500 | |||||||||
SCIH Salt Holdings, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 4.50%) |
| |||||||||||
5.50% | 03/16/271 | 496,250 | 497,567 | |||||||||
SK Invictus Intermediate, |
| |||||||||||
Term Loan, 2nd Lien |
| |||||||||||
(LIBOR plus 6.75%) |
| |||||||||||
6.86% | 03/30/261 | 1,000,000 | 996,000 | |||||||||
Tronox Finance LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.50%) |
| |||||||||||
2.61% | 03/11/281 | 423,077 | 421,226 | |||||||||
2.68% | 03/11/281 | 576,923 | 574,399 | |||||||||
WR Grace & Co.-Conn, |
| |||||||||||
Term Loan B3, 1st Lien |
| |||||||||||
(LIBOR plus 2.00%) |
| |||||||||||
2.00% | 03/30/281 | 1,500,000 | 1,494,375 | |||||||||
|
| |||||||||||
12,452,788 | ||||||||||||
|
| |||||||||||
Real Estate Investment Trust (REIT) — 0.63% |
| |||||||||||
SBA Senior Finance II LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
1.86% | 04/11/251 | 991,926 | 981,987 | |||||||||
VICI Properties 1 LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
1.86% | 12/20/241 | 1,764,091 | 1,746,644 | |||||||||
|
| |||||||||||
2,728,631 | ||||||||||||
|
|
See accompanying Notes to Financial Statements.
77 / Annual Report March 2021 |
Table of Contents
Floating Rate Income Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
BANK LOANS (continued) |
| |||||||||
Retail — 2.53% |
| |||||||||
American Airlines, Inc., |
| |||||||||
Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 4.75%) |
| |||||||||
5.50% | 04/20/281 | $ | 1,500,000 | $ | 1,538,677 | |||||
AmWINS Group, Inc., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 2.25%) |
| |||||||||
3.00% | 02/19/281 | 1,745,625 | 1,735,125 | |||||||
BC ULC, | ||||||||||
Term Loan B, 1st Lien (Canada) |
| |||||||||
(LIBOR plus 1.75%) |
| |||||||||
1.86% | 11/19/261,3 | 2,134,845 | 2,099,493 | |||||||
BW Gas & Convenience Holdings LLC, |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 3.50%) |
| |||||||||
4.00% | 03/17/281 | 1,250,000 | 1,251,563 | |||||||
Curium Bidco SARL, |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 3.75%) |
| |||||||||
3.95% | 07/09/261 | 994,950 | 989,975 | |||||||
(LIBOR plus 4.25%) |
| |||||||||
5.00% | 12/02/271 | 997,500 | 1,001,240 | |||||||
Go Wireless, Inc., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 6.50%) |
| |||||||||
7.50% | 12/22/241 | 595,282 | 594,538 | |||||||
IRB Holding Corp., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 3.25%) |
| |||||||||
4.25% | 12/15/271 | 498,750 | 497,580 | |||||||
KFC Holding Co., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 1.75%) |
| |||||||||
1.86% | 03/15/281 | 733,678 | 735,054 | |||||||
Michaels Stores, Inc., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 3.50%) |
| |||||||||
4.25% | 10/01/271 | 498,747 | 499,308 | |||||||
|
| |||||||||
10,942,553 | ||||||||||
|
| |||||||||
Services — 4.86% |
| |||||||||
Adtalem Global Education, Inc., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 4.50%) |
| |||||||||
4.50% | 02/14/281 | 1,500,000 | 1,488,442 | |||||||
AECOM, |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 4.75%) |
| |||||||||
5.50% | 01/29/271 | 2,500,000 | 2,512,500 | |||||||
Aramark Services, Inc., |
| |||||||||
Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 1.75%) |
| |||||||||
1.86% | 03/11/251 | 1,865,325 | 1,849,302 |
Issues | Maturity Date | Principal Amount | Value | |||||||
BANK LOANS (continued) |
| |||||||||
Services (continued) |
| |||||||||
Cambium Learning Group, Inc., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 4.50%) |
| |||||||||
5.25% | 12/18/251 | $ | 498,620 | $ | 499,836 | |||||
CCRR Parent, Inc., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 4.25%) |
| |||||||||
5.00% | 03/06/281 | 1,000,000 | 1,002,500 | |||||||
Ensemble RCM LLC, |
| |||||||||
Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 3.75%) |
| |||||||||
3.96% | 08/03/261 | 993,709 | 993,476 | |||||||
GFL Environmental, Inc., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 3.00%) |
| |||||||||
3.50% | 05/30/251 | 354,650 | 355,315 | |||||||
Guidehouse LLP, |
| |||||||||
Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 4.00%) |
| |||||||||
4.11% | 05/01/251 | 1,743,671 | 1,747,097 | |||||||
Hornblower Sub LLC, |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 4.50%) |
| |||||||||
5.50% | 04/27/251 | 1,500,000 | 1,383,750 | |||||||
Lakeland Holdings LLC, |
| |||||||||
Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 13.25%) |
| |||||||||
13.25% | 09/25/271,4,5 | 489,115 | 236,404 | |||||||
Lakeland Tours LLC, |
| |||||||||
Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 12.00%) |
| |||||||||
13.25% | 09/25/231,4,5 | 183,717 | 184,865 | |||||||
(LIBOR plus 7.50%) |
| |||||||||
8.75% | 09/25/251,4,5 | 816,920 | 697,984 | |||||||
PowerTeam Services LLC, |
| |||||||||
Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 3.25%) |
| |||||||||
4.25% | 03/06/251 | 149,647 | 148,735 | |||||||
Term Loan, 2nd Lien |
| |||||||||
(LIBOR plus 7.25%) |
| |||||||||
8.25% | 03/06/261,4,5 | 750,000 | 739,845 | |||||||
SRS Distribution, Inc., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 4.25%) |
| |||||||||
4.36% | 05/23/251 | 493,750 | 492,824 | |||||||
SS&C Technologies, Inc., |
| |||||||||
Term Loan B5, 1st Lien |
| |||||||||
(LIBOR plus 1.75%) |
| |||||||||
1.86% | 04/16/251 | 1,967,706 | 1,950,902 | |||||||
TKC Holdings, Inc., |
| |||||||||
Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 3.75%) |
| |||||||||
4.75% | 02/01/231 | 1,879,267 | 1,839,492 |
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 78 |
Table of Contents
Floating Rate Income Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
BANK LOANS (continued) |
| |||||||||
Services (continued) |
| |||||||||
University Support Services LLC, |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 3.25%) |
| |||||||||
3.36% | 07/17/251 | $ | 1,889,081 | $ | 1,873,742 | |||||
Verscend Holding Corp., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 4.00%) |
| |||||||||
4.12% | 08/27/251 | 1,000,000 | 1,001,390 | |||||||
|
| |||||||||
20,998,401 | ||||||||||
|
| |||||||||
Transportation — 0.97% |
| |||||||||
American Airlines, Inc., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 1.75%) |
| |||||||||
1.86% | 01/29/271 | 271,094 | 248,144 | |||||||
Kenan Advantage Group, Inc. (The), |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 3.75%) |
| |||||||||
4.50% | 03/12/261 | 1,995,000 | 1,987,519 | |||||||
Kestrel Bidco, Inc., |
| |||||||||
Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 3.00%) |
| |||||||||
4.00% | 12/11/261 | 493,750 | 479,853 | |||||||
United Airlines, Inc., |
| |||||||||
Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 1.75%) |
| |||||||||
1.87% | 04/01/241 | 1,496,104 | 1,459,771 | |||||||
|
| |||||||||
4,175,287 | ||||||||||
|
| |||||||||
Total Bank Loans |
| |||||||||
(Cost $360,133,899) |
| 361,541,764 | ||||||||
|
| |||||||||
CORPORATES — 7.50%* |
| |||||||||
Banking — 0.43% |
| |||||||||
Bank of America Corp. |
| |||||||||
3.00% | 12/20/2310 | 1,300,000 | 1,352,511 | |||||||
HSBC Holdings PLC |
| |||||||||
(United Kingdom) |
| |||||||||
(LIBOR USD 3-Month plus 1.00%) |
| |||||||||
1.19% | 05/18/241,3 | 500,000 | 505,571 | |||||||
|
| |||||||||
1,858,082 | ||||||||||
|
| |||||||||
Communications — 2.21% |
| |||||||||
Diamond Sports Group LLC/Diamond Sports Finance Co. |
| |||||||||
5.38% | 08/15/2611 | 4,353,000 | 3,143,782 | |||||||
Intelsat Jackson Holdings SA |
| |||||||||
(Luxembourg) |
| |||||||||
8.50% | 10/15/243,11,12,13 | 1,000,000 | 635,625 | |||||||
National CineMedia LLC |
| |||||||||
5.88% | 04/15/2811 | 500,000 | 466,250 | |||||||
Scripps Escrow II, Inc. |
| |||||||||
5.38% | 01/15/3111 | 400,000 | 397,750 | |||||||
T-Mobile USA, Inc. |
| |||||||||
2.25% | 02/15/26 | 2,500,000 | 2,507,078 | |||||||
3.88% | 04/15/3011 | 1,280,000 | 1,390,861 |
Issues | Maturity Date | Principal Amount | Value | |||||||
CORPORATES (continued) |
| |||||||||
Communications (continued) |
| |||||||||
6.00% | 03/01/23 | $ | 1,000,000 | $ | 1,007,500 | |||||
|
| |||||||||
9,548,846 | ||||||||||
|
| |||||||||
Energy — 0.48% |
| |||||||||
NGL Energy Operating LLC/NGL Energy Finance Corp. |
| |||||||||
7.50% | 02/01/2611 | 1,500,000 | 1,544,458 | |||||||
USA Compression Partners LP/USA |
| |||||||||
Compression Finance Corp. |
| |||||||||
6.88% | 09/01/27 | 500,000 | 515,845 | |||||||
|
| |||||||||
2,060,303 | ||||||||||
|
| |||||||||
Finance — 1.39% |
| |||||||||
Citigroup, Inc. |
| |||||||||
(LIBOR USD 3-Month plus 0.55%) |
| |||||||||
0.74% | 08/25/361 | 1,800,000 | 1,578,094 | |||||||
Ford Motor Credit Co. LLC |
| |||||||||
(LIBOR USD 3-Month plus 0.81%) |
| |||||||||
1.05% | 04/05/211 | 2,500,000 | 2,500,000 | |||||||
GE Capital International Funding Co. |
| |||||||||
(Ireland) |
| |||||||||
4.42% | 11/15/353 | 75,000 | 85,937 | |||||||
Goldman Sachs Group, Inc. (The) |
| |||||||||
3.27% | 09/29/2510 | 980,000 | 1,050,246 | |||||||
Park Aerospace Holdings Ltd. |
| |||||||||
(Cayman Islands) |
| |||||||||
4.50% | 03/15/233,11 | 750,000 | 783,635 | |||||||
|
| |||||||||
5,997,912 | ||||||||||
|
| |||||||||
Health Care — 1.50% |
| |||||||||
Centene Corp. |
| |||||||||
3.00% | 10/15/30 | 1,400,000 | 1,399,426 | |||||||
Cigna Corp. |
| |||||||||
(LIBOR USD 3-Month plus 0.89%) |
| |||||||||
1.13% | 07/15/231 | 2,700,000 | 2,733,779 | |||||||
Molina Healthcare, Inc. |
| |||||||||
3.88% | 11/15/3011 | 500,000 | 514,937 | |||||||
Prime Healthcare Services, Inc. |
| |||||||||
7.25% | 11/01/2511 | 1,250,000 | 1,334,375 | |||||||
Tenet Healthcare Corp. |
| |||||||||
4.63% | 09/01/2411 | 500,000 | 515,448 | |||||||
|
| |||||||||
6,497,965 | ||||||||||
|
| |||||||||
Industrials — 0.75% |
| |||||||||
General Electric Co. |
| |||||||||
(MTN) |
| |||||||||
(LIBOR USD 3-Month plus 0.48%) |
| |||||||||
0.67% | 08/15/361 | 850,000 | 688,729 | |||||||
PowerTeam Services LLC |
| |||||||||
9.03% | 12/04/2511 | 380,000 | 419,445 | |||||||
Sealed Air Corp. |
| |||||||||
5.25% | 04/01/2311 | 1,500,000 | 1,593,593 | |||||||
Titan Acquisition Ltd./Titan Co-Borrower LLC |
| |||||||||
(Canada) |
| |||||||||
7.75% | 04/15/263,11 | 250,000 | 260,887 |
See accompanying Notes to Financial Statements.
79 / Annual Report March 2021 |
Table of Contents
Floating Rate Income Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Industrials (continued) |
| |||||||||||
Trident TPI Holdings, Inc. |
| |||||||||||
9.25% | 08/01/24 | 11 | $ | 250,000 | $ | 266,886 | ||||||
|
| |||||||||||
3,229,540 | ||||||||||||
|
| |||||||||||
Information Technology — 0.19% |
| |||||||||||
NCR Corp. |
| |||||||||||
8.13% | 04/15/25 | 11 | 750,000 | 822,504 | ||||||||
|
| |||||||||||
Real Estate Investment Trust (REIT) — 0.31% |
| |||||||||||
SL Green Operating Partnership LP |
| |||||||||||
(LIBOR USD 3-Month plus 0.98%) |
| |||||||||||
1.17% | 08/16/21 | 1 | 1,350,000 | 1,350,044 | ||||||||
|
| |||||||||||
Retail — 0.24% |
| |||||||||||
FirstCash, Inc. |
| |||||||||||
4.63% | 09/01/28 | 11 | 1,000,000 | 1,021,875 | ||||||||
|
| |||||||||||
Total Corporates |
| |||||||||||
(Cost $31,685,558) |
| 32,387,071 | ||||||||||
|
| |||||||||||
Total Bonds — 91.24% |
| |||||||||||
(Cost $391,819,457) |
| 393,928,835 | ||||||||||
|
| |||||||||||
| ||||||||||||
Issues | Shares | Value | ||||||||||
WARRANT — 0.05% |
| |||||||||||
Entertainment — 0.05% |
| |||||||||||
Cineworld Group PLC3,12 |
| |||||||||||
(United Kingdom) |
| 229,579 | 197,810 | |||||||||
|
| |||||||||||
Total Warrant |
| |||||||||||
(Cost $–) |
| |||||||||||
Issues | Maturity Date | Principal Amount/Shares | Value | |||||||||
SHORT-TERM INVESTMENTS — 14.20% |
| |||||||||||
Foreign Government Obligations — 1.48% |
| |||||||||||
Japan Treasury Discount Bill, |
| |||||||||||
Series 962 |
| |||||||||||
(Japan) |
| |||||||||||
0.00%14 | 04/05/21 | 3 | 710,000,000 | 6,426,705 | ||||||||
|
| |||||||||||
Money Market Funds — 2.53% |
| |||||||||||
Fidelity Investments Money Market Funds - Government Portfolio |
| |||||||||||
0.01%15 |
| 1,279,212 | 1,279,212 | |||||||||
JPMorgan U.S. Government Money Market Fund |
| |||||||||||
0.03%15 |
| 6,895,000 | 6,895,000 | |||||||||
Morgan Stanley Institutional Liquidity Funds - Government Portfolio |
| |||||||||||
0.03%15 |
| 2,728,000 | 2,728,000 | |||||||||
|
| |||||||||||
10,902,212 | ||||||||||||
|
| |||||||||||
U.S. Treasury Bills — 10.19% |
| |||||||||||
U.S. Treasury Bills |
| |||||||||||
0.10%14 | 04/01/21 | 7,000,000 | 7,000,000 |
Issues | Maturity Date | Principal Amount/Shares | Value | |||||||||
SHORT-TERM INVESTMENTS (continued) |
| |||||||||||
U.S. Treasury Bills (continued) |
| |||||||||||
0.05%14 | 08/12/21 | $ | 37,000,000 | $ | 36,997,950 | |||||||
|
| |||||||||||
43,997,950 | ||||||||||||
|
| |||||||||||
Total Short-Term Investments |
| |||||||||||
(Cost $61,726,537) |
| 61,326,867 | ||||||||||
|
| |||||||||||
Total Investments - 105.49% |
| |||||||||||
(Cost $453,545,994) |
| 455,453,512 | ||||||||||
|
| |||||||||||
Net unrealized depreciation on unfunded |
| |||||||||||
commitments - 0.00% |
| (4,477 | ) | |||||||||
Liabilities in Excess of Other Assets - (5.49)% |
| (23,707,112 | ) | |||||||||
|
| |||||||||||
Net Assets - 100.00% | �� | $ | 431,741,923 | |||||||||
|
|
1 | Floating rate security. The rate disclosed was in effect at March 31, 2021. |
2 | Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $2,674, at an interest rate of 4.00% and a maturity of September 25, 2026. The investment is accruing an unused commitment fee of 0.50% per annum. |
3 | Foreign 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 $3,008,358, which is 0.70% of total net assets. |
6 | Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $535,187, at an interest rate of 4.75% and a maturity of November 23, 2027. The investment is accruing an unused commitment fee of 1.00% per annum. |
7 | Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $161,795, at an interest rate of 4.00% and a maturity of December 16, 2027. 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 $264,095, at an interest rate of 0.50% and a maturity of March 03, 2028. The investment is not accruing an unused commitment fee. |
9 | Excluded from the investment total above is an unfunded delayed draw term loan commitment in an amount not to exceed $344,316, at an interest rate of 1.00% and a maturity of November 18, 2027. The investment is accruing an unused commitment fee of 1.13% per annum. |
10 | 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. |
11 | 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. |
12 | Non-income producing security. |
13 | Security is currently in default with regard to scheduled interest or principal payments. |
14 | Represents annualized yield at date of purchase. |
15 | Represents the current yield as of March 31, 2021. |
* | Securities with a call or reset feature will have an effective maturity date sooner than the stated maturity. |
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 80 |
Table of Contents
Floating Rate Income Fund
Schedule of Portfolio Investments
March 31, 2021
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.
(EURIBOR): Euro InterBank Offer Rate
(JPY): Japanese Yen
(LIBOR): London InterBank Offer Rate
(MTN): Medium-Term Note
(USD): U.S. Dollar
Currency to be Purchased | Currency to be Sold | Counterparty | Settlement Date | Unrealized Appreciation | ||||||||||||
FOREIGN CURRENCY EXCHANGE CONTRACT | ||||||||||||||||
USD 6,842,912 | JPY 710,000,000 | Goldman Sachs International | 04/05/21 | $ | 417,224 | |||||||||||
|
|
See accompanying Notes to Financial Statements.
81 / Annual Report March 2021 |
Table of Contents
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
BONDS – 93.84% |
| |||||||||||
BANK LOANS — 18.01%* |
| |||||||||||
Communications — 4.25% |
| |||||||||||
CenturyLink, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.25%) |
| |||||||||||
2.36% | 03/15/271 | $ | 918,375 | $ | 910,178 | |||||||
CSC Holdings LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.25%) |
| |||||||||||
2.36% | 07/17/251 | 13,237,424 | 13,085,922 | |||||||||
Frontier Communications Corp., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 4.75%) |
| |||||||||||
5.75% | 10/08/211 | 3,800,000 | 3,795,250 | |||||||||
GTT Communications BV, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(EURIBOR plus 3.25%) |
| |||||||||||
3.25% | 05/31/251 | 2,443,718 | 2,586,687 | |||||||||
GTT Communications, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.75%) |
| |||||||||||
2.86% | 05/30/251 | 2,140,720 | 1,815,930 | |||||||||
Intelsat Jackson Holdings, |
| |||||||||||
Delayed-Draw Term Loan, 1st Lien (Luxembourg) (LIBOR plus 5.50%) |
| |||||||||||
6.50% | 07/13/221,2 | 286,538 | 290,693 | |||||||||
Intelsat Jackson Holdings SA, |
| |||||||||||
Term Loan B5, 1st Lien (Luxembourg) |
| |||||||||||
8.63% | 01/02/241,2 | 1,329,300 | 1,359,934 | |||||||||
MacDonald Dettwiler & Associates Ltd., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.75%) |
| |||||||||||
2.86% | 10/04/241 | 1,890,818 | 1,871,910 | |||||||||
NEP/NCP Holdco, Inc., |
| |||||||||||
Term Loan, 2nd Lien |
| |||||||||||
(LIBOR plus 7.00%) |
| |||||||||||
7.11% | 10/19/26 | 1 | 875,000 | 809,738 | ||||||||
Nexstar Broadcasting, Inc., |
| |||||||||||
Term Loan B3, 1st Lien |
| |||||||||||
(LIBOR plus 2.25%) |
| |||||||||||
2.36% | 01/17/24 | 1 | 2,285,712 | 2,275,747 | ||||||||
Securus Technologies Holdings, Inc., |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 4.50%) |
| |||||||||||
5.50% | 11/01/24 | 1 | 2,017,483 | 1,873,626 | ||||||||
Zayo Group Holdings, Inc., |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 3.00%) |
| |||||||||||
3.11% | 03/09/27 | 1 | 2,071,086 | 2,057,157 | ||||||||
|
| |||||||||||
32,732,772 | ||||||||||||
|
| |||||||||||
Consumer Discretionary — 1.62% |
| |||||||||||
ADMI Corp., |
| |||||||||||
Term Loan B2, 1st Lien |
| |||||||||||
(LIBOR plus 3.25%) |
| |||||||||||
3.75% | 12/23/27 | 1 | 1,925,000 | 1,910,428 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
BANK LOANS (continued) |
| |||||||||||
Consumer Discretionary (continued) |
| |||||||||||
CityCenter Holdings LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.25%) |
| |||||||||||
3.00% | 04/18/24 | 1 | $ | 2,123,560 | $ | 2,099,372 | ||||||
Kwor Acquisition, Inc., |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 4.00%) |
| |||||||||||
4.11% | 06/03/26 | 1 | 2,743,020 | 2,715,590 | ||||||||
Landry’s, |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 12.00%) |
| |||||||||||
13.00% | 10/06/23 | 1 | 56,625 | 64,836 | ||||||||
Peraton Corp., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.75%) |
| |||||||||||
4.50% | 02/01/28 | 1 | 1,394,975 | 1,397,304 | ||||||||
Reynolds Group Holdings, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.75%) |
| |||||||||||
2.86% | 02/06/23 | 1 | 2,600,752 | 2,592,832 | ||||||||
Triton Water Holdings, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.50%) |
| |||||||||||
4.00% | 03/17/28 | 1 | 1,725,000 | 1,720,550 | ||||||||
|
| |||||||||||
12,500,912 | ||||||||||||
|
| |||||||||||
Electric — 0.13% |
| |||||||||||
CommScope, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.25%) |
| |||||||||||
3.36% | 04/06/26 | 1 | 985,000 | 980,927 | ||||||||
|
| |||||||||||
Entertainment — 0.80% |
| |||||||||||
CineWorld Finance U.S., Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.50%) |
| |||||||||||
3.50% | 02/28/25 | 1 | 5,218,724 | 4,474,117 | ||||||||
Crown Finance U.S., Inc., |
| |||||||||||
Term Loan B1, 1st Lien |
| |||||||||||
7.00% | 05/23/24 | 1 | 1,361,756 | 1,728,579 | ||||||||
|
| |||||||||||
6,202,696 | ||||||||||||
|
| |||||||||||
Finance — 0.58% |
| |||||||||||
Auris Lux III SA, |
| |||||||||||
Term Loan B, 1st Lien (Luxembourg) |
| |||||||||||
(LIBOR plus 3.75%) |
| |||||||||||
3.86% | 02/27/261,2 | 1,085,135 | 1,055,294 | |||||||||
Rent-A-Center, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 4.00%) |
| |||||||||||
4.75% | 02/04/28 | 1 | 3,425,000 | 3,449,266 | ||||||||
|
| |||||||||||
4,504,560 | ||||||||||||
|
|
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 82 |
Table of Contents
High Yield Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
BANK LOANS (continued) |
| |||||||||||
Food — 0.49% |
| |||||||||||
Houston Foods, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.75%) |
| |||||||||||
3.86% | 07/20/25 | 1 | $ | 3,845,839 | $ | 3,809,785 | ||||||
|
| |||||||||||
Gaming — 0.52% |
| |||||||||||
Churchill Downs, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.00%) |
| |||||||||||
2.11% | 12/27/24 | 1 | 2,058,842 | 2,053,695 | ||||||||
Golden Nugget, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.50%) |
| |||||||||||
3.25% | 10/04/23 | 1 | 1,948,971 | 1,922,008 | ||||||||
|
| |||||||||||
3,975,703 | ||||||||||||
|
| |||||||||||
Health Care — 2.44% |
| |||||||||||
Alphabet Holding Co., Inc., |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 3.50%) |
| |||||||||||
3.61% | 09/26/24 | 1 | 983,223 | 977,771 | ||||||||
Avantor Funding, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.25%) |
| |||||||||||
3.25% | 11/08/27 | 1 | 1,745,625 | 1,748,462 | ||||||||
BCPE Eagle Buyer LLC, |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 4.25%) |
| |||||||||||
5.25% | 03/18/24 | 1 | 1,578,903 | 1,575,610 | ||||||||
Term Loan, 2nd Lien |
| |||||||||||
(LIBOR plus 8.00%) |
| |||||||||||
9.00% | 03/13/25 | 1,3,4 | 465,000 | 465,584 | ||||||||
Change Healthcare Holdings LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.50%) |
| |||||||||||
3.50% | 03/01/24 | 1 | 4,804,714 | 4,804,979 | ||||||||
Elanco Animal Health, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
1.87% | 08/01/27 | 1 | 3,742,816 | 3,699,362 | ||||||||
Endo Luxembourg Finance Co., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 5.00%) |
| |||||||||||
5.75% | 03/27/28 | 1 | 563,126 | 558,433 | ||||||||
eResearchTechnology, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 4.50%) |
| |||||||||||
5.50% | 02/04/27 | 1 | 867,814 | 869,983 | ||||||||
Gentiva Health Services, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.75%) |
| |||||||||||
2.88% | 07/02/25 | 1 | 1,466,531 | 1,460,423 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
BANK LOANS (continued) |
| |||||||||||
Health Care (continued) |
| |||||||||||
PPD, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.25%) |
| |||||||||||
2.75% | 01/13/28 | 1 | $ | 2,610,000 | $ | 2,600,917 | ||||||
|
| |||||||||||
18,761,524 | ||||||||||||
|
| |||||||||||
Industrials — 3.11% |
| |||||||||||
Berry Global, Inc., |
| |||||||||||
Term Loan Z, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
1.90% | 07/01/26 | 1 | 3,322,763 | 3,300,949 | ||||||||
Charter NEX U.S., Inc., |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 4.25%) |
| |||||||||||
5.00% | 12/01/27 | 1 | 2,620,000 | 2,628,659 | ||||||||
Liqui-Box Corp., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 4.50%) |
| |||||||||||
5.50% | 02/26/27 | 1 | 1,488,750 | 1,421,756 | ||||||||
Mauser Packaging Solutions Holdings, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.25%) |
| |||||||||||
3.44% | 04/03/24 | 1 | 2,466,472 | 2,417,451 | ||||||||
Plaze, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.75%) |
| |||||||||||
4.50% | 08/03/26 | 1 | 2,324,711 | 2,320,841 | ||||||||
Proampac PG Borrower LLC, |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 4.00%) |
| |||||||||||
5.00% | 11/03/25 | 1 | 2,620,000 | 2,622,175 | ||||||||
Titan Acquisition, Ltd., |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 3.00%) |
| |||||||||||
3.27% | 03/28/25 | 1 | 923,104 | 905,939 | ||||||||
TransDigm, Inc., |
| |||||||||||
Term Loan E, 1st Lien |
| |||||||||||
(LIBOR plus 2.25%) |
| |||||||||||
2.36% | 05/30/25 | 1 | 928,250 | 910,664 | ||||||||
Trident TPI Holdings, Inc., |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 3.00%) |
| |||||||||||
4.00% | 10/17/24 | 1 | 3,482,005 | 3,455,351 | ||||||||
Zep, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 4.00%) |
| |||||||||||
5.00% | 08/12/24 | 1 | 4,014,201 | 3,982,208 | ||||||||
|
| |||||||||||
23,965,993 | ||||||||||||
|
| |||||||||||
Information Technology — 2.66% |
| |||||||||||
Ciox Health, |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 5.00%) |
| |||||||||||
6.00% | 12/16/25 | 1 | 1,050,000 | 1,053,061 |
See accompanying Notes to Financial Statements.
83 / Annual Report March 2021 |
Table of Contents
High Yield Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
BANK LOANS (continued) |
| |||||||||||
Information Technology (continued) |
| |||||||||||
IQVIA, Inc., |
| |||||||||||
Term Loan B3, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
1.95% | 06/11/25 | 1 | $ | 4,979,099 | $ | 4,960,428 | ||||||
Peraton Corp., |
| |||||||||||
Delayed-Draw Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.75%) |
| |||||||||||
3.75% | 02/01/28 | 1 | 2,455,025 | 2,459,125 | ||||||||
RealPage, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.75%) |
| |||||||||||
3.75% | 02/18/28 | 1 | 1,050,000 | 1,046,498 | ||||||||
Scientific Games International, Inc., |
| |||||||||||
Term Loan B5, 1st Lien |
| |||||||||||
(LIBOR plus 2.75%) |
| |||||||||||
2.86% | 08/14/24 | 1 | 1,887,272 | 1,854,669 | ||||||||
Spin Holdco, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 4.00%) |
| |||||||||||
4.75% | 03/04/28 | 1 | 2,750,000 | 2,730,104 | ||||||||
SS&C Technologies, Inc., |
| |||||||||||
Term Loan B3, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
1.86% | 04/16/25 | 1 | 2,707,684 | 2,684,168 | ||||||||
Term Loan B4, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
1.86% | 04/16/25 | 1 | 2,021,700 | 2,004,141 | ||||||||
TierPoint LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.75%) |
| |||||||||||
4.50% | 05/05/26 | 1 | 1,717,725 | 1,711,103 | ||||||||
|
| |||||||||||
20,503,297 | ||||||||||||
|
| |||||||||||
Insurance — 0.26% |
| |||||||||||
Acrisure LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.50%) |
| |||||||||||
3.70% | 02/15/27 | 1 | 1,994,962 | 1,974,813 | ||||||||
|
| |||||||||||
Real Estate Investment Trust (REIT) — 0.66% |
| |||||||||||
SBA Senior Finance II LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
1.86% | 04/11/25 | 1 | 918,198 | 908,998 | ||||||||
VICI Properties 1 LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
1.86% | 12/20/24 | 1 | 4,237,000 | 4,195,096 | ||||||||
|
| |||||||||||
5,104,094 | ||||||||||||
|
| |||||||||||
Retail — 0.06% |
| |||||||||||
American Airlines, Inc., |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 4.75%) |
| |||||||||||
5.50% | 04/20/28 | 1 | 430,000 | 441,087 | ||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
BANK LOANS (continued) |
| |||||||||||
Services — 0.43% |
| |||||||||||
AECOM, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 4.75%) |
| |||||||||||
5.50% | 01/29/27 | 1 | $ | 1,750,000 | $ | 1,758,750 | ||||||
PowerTeam Services LLC, |
| |||||||||||
Term Loan, 2nd Lien |
| |||||||||||
(LIBOR plus 7.25%) |
| |||||||||||
8.25% | 03/06/26 | 1,3,4 | 1,565,000 | 1,543,810 | ||||||||
|
| |||||||||||
3,302,560 | ||||||||||||
|
| |||||||||||
Total Bank Loans |
| |||||||||||
(Cost $136,440,526) |
| 138,760,723 | ||||||||||
|
| |||||||||||
CORPORATES — 73.22%* |
| |||||||||||
Automotive — 0.65% |
| |||||||||||
Ford Motor Credit Co. LLC |
| |||||||||||
2.90% | 02/16/28 | 5,160,000 | 4,964,333 | |||||||||
|
| |||||||||||
Communications — 21.73% |
| |||||||||||
AT&T, Inc. | ||||||||||||
3.55% | 09/15/55 | 5 | 3,250,000 | 2,976,489 | ||||||||
4.50% | 05/15/35 | 4,043,000 | 4,576,855 | |||||||||
Block Communications, Inc. |
| |||||||||||
4.88% | 03/01/28 | 5 | 2,272,000 | 2,321,870 | ||||||||
Cable One, Inc. |
| |||||||||||
4.00% | 11/15/30 | 5 | 3,550,000 | 3,508,926 | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. |
| |||||||||||
4.50% | 05/01/32 | 5 | 1,596,000 | 1,618,318 | ||||||||
5.38% | 06/01/29 | 5 | 700,000 | 751,548 | ||||||||
5.50% | 05/01/26 | 5 | 16,239,000 | 16,762,708 | ||||||||
5.75% | 02/15/26 | 5 | 698,000 | 720,720 | ||||||||
CSC Holdings LLC |
| |||||||||||
6.50% | 02/01/29 | 5 | 391,000 | 432,788 | ||||||||
Diamond Sports Group LLC/Diamond Sports Finance Co. |
| |||||||||||
5.38% | 08/15/26 | 5 | 9,010,000 | 6,507,116 | ||||||||
6.63% | 08/15/27 | 5 | 4,230,000 | 2,265,707 | ||||||||
DISH DBS Corp. |
| |||||||||||
7.38% | 07/01/28 | 2,552,000 | 2,674,395 | |||||||||
DISH Network Corp. |
| |||||||||||
3.38% | 08/15/26 | 4,771,000 | 4,598,290 | |||||||||
Frontier Communications Corp. |
| |||||||||||
5.00% | 05/01/28 | 5 | 3,907,000 | 3,980,863 | ||||||||
Intelsat Jackson Holdings SA |
| |||||||||||
(Luxembourg) |
| |||||||||||
5.50% | 08/01/23 | 2,6,7 | 4,750,000 | 2,921,250 | ||||||||
8.50% | 10/15/24 | 2,5,6,7 | 2,853,000 | 1,813,438 | ||||||||
9.75% | 07/15/25 | 2,5,6,7 | 4,051,000 | 2,541,599 | ||||||||
Intelsat Luxembourg SA |
| |||||||||||
(Luxembourg) |
| |||||||||||
8.13% | 06/01/23 | 2,6,7 | 2,545,000 | 114,525 | ||||||||
Lamar Media Corp. |
| |||||||||||
3.75% | 02/15/28 | 1,745,000 | 1,744,421 | |||||||||
Level 3 Financing, Inc. |
| |||||||||||
3.63% | 01/15/29 | 5 | 275,000 | 267,156 | ||||||||
4.25% | 07/01/28 | 5 | 8,225,000 | 8,326,085 | ||||||||
4.63% | 09/15/27 | 5 | 3,500,000 | 3,608,377 |
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 84 |
Table of Contents
High Yield Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Communications (continued) |
| |||||||||||
Lumen Technologies, Inc. |
| |||||||||||
4.00% | 02/15/27 | 5 | $ | 1,956,000 | $ | 2,000,484 | ||||||
Midcontinent Communications/Midcontinent Finance Corp. |
| |||||||||||
5.38% | 08/15/27 | 5 | 2,246,000 | 2,343,162 | ||||||||
National CineMedia LLC |
| |||||||||||
5.88% | 04/15/28 | 5 | 4,930,000 | 4,597,225 | ||||||||
Outfront Media Capital LLC/Outfront Media Capital Corp. |
| |||||||||||
4.63% | 03/15/30 | 5 | 445,000 | 430,671 | ||||||||
Qwest Corp. |
| |||||||||||
6.75% | 12/01/21 | 6,582,000 | 6,804,432 | |||||||||
7.25% | 09/15/25 | 1,705,000 | 2,001,244 | |||||||||
Scripps Escrow II, Inc. |
| |||||||||||
5.38% | 01/15/31 | 5 | 1,175,000 | 1,168,391 | ||||||||
Scripps Escrow, Inc. |
| |||||||||||
5.88% | 07/15/27 | 5 | 2,579,000 | 2,672,489 | ||||||||
SES GLOBAL Americas Holdings GP |
| |||||||||||
5.30% | 03/25/44 | 5 | 3,782,000 | 4,264,498 | ||||||||
Sinclair Television Group, Inc. |
| |||||||||||
4.13% | 12/01/30 | 5 | 3,776,000 | 3,646,200 | ||||||||
Sirius XM Radio, Inc. |
| |||||||||||
3.88% | 08/01/22 | 5 | 10,340,000 | 10,404,625 | ||||||||
5.50% | 07/01/29 | 5 | 362,000 | 392,025 | ||||||||
Sprint Corp. |
| |||||||||||
7.88% | 09/15/23 | 10,307,000 | 11,793,785 | |||||||||
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC |
| |||||||||||
5.15% | 03/20/28 | 5 | 7,850,000 | 8,968,625 | ||||||||
T-Mobile USA, Inc. |
| |||||||||||
2.25% | 02/15/26 | 14,197,000 | 14,237,197 | |||||||||
6.00% | 04/15/24 | 650,000 | 655,688 | |||||||||
Virgin Media Secured Finance PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
4.50% | 08/15/30 | 2,5 | 10,175,000 | 10,285,367 | ||||||||
5.50% | 05/15/29 | 2,5 | 3,915,000 | 4,161,018 | ||||||||
Vmed O2 UK Financing I PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
4.25% | 01/31/31 | 2,5 | 1,600,000 | 1,559,360 | ||||||||
|
| |||||||||||
167,419,930 | ||||||||||||
|
| |||||||||||
Consumer Discretionary — 0.98% |
| |||||||||||
Anheuser-Busch InBev Worldwide, Inc. |
| |||||||||||
4.60% | 06/01/60 | 1,040,000 | 1,181,115 | |||||||||
Bacardi Ltd. |
| |||||||||||
(Bermuda) |
| |||||||||||
4.45% | 05/15/25 | 2,5 | 675,000 | 751,055 | ||||||||
BAT Capital Corp. |
| |||||||||||
5.28% | 04/02/50 | 2,273,000 | 2,505,381 | |||||||||
Edgewell Personal Care Co. |
| |||||||||||
5.50% | 06/01/28 | 5 | 2,685,000 | 2,840,005 | ||||||||
Live Nation Entertainment, Inc. |
| |||||||||||
6.50% | 05/15/27 | 5 | 215,000 | 238,925 | ||||||||
|
| |||||||||||
7,516,481 | ||||||||||||
|
| |||||||||||
Consumer Products — 0.44% |
| |||||||||||
Newell Brands, Inc. |
| |||||||||||
4.35% | 04/01/23 | 1,325,000 | 1,399,531 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Consumer Products (continued) |
| |||||||||||
4.88% | 06/01/25 | $ | 1,800,000 | $ | 1,990,116 | |||||||
|
| |||||||||||
3,389,647 | ||||||||||||
|
| |||||||||||
Electric — 1.30% |
| |||||||||||
FirstEnergy Corp. |
| |||||||||||
2.65% | 03/01/30 | 6,886,000 | 6,558,466 | |||||||||
FirstEnergy Corp., |
| |||||||||||
Series C |
| |||||||||||
3.40% | 03/01/50 | 3,745,000 | 3,294,122 | |||||||||
5.35% | 07/15/47 | 148,000 | 167,508 | |||||||||
|
| |||||||||||
10,020,096 | ||||||||||||
|
| |||||||||||
Energy — 9.58% | ||||||||||||
Antero Resources Corp. |
| |||||||||||
7.63% | 02/01/29 | 5 | 4,038,000 | 4,300,277 | ||||||||
Archrock Partners LP/Archrock Partners Finance Corp. |
| |||||||||||
6.25% | 04/01/28 | 5 | 4,517,000 | 4,613,528 | ||||||||
DCP Midstream Operating LP |
| |||||||||||
5.60% | 04/01/44 | 754,000 | 754,942 | |||||||||
Devon Energy Corp. |
| |||||||||||
5.00% | 06/15/45 | 1,037,000 | 1,137,377 | |||||||||
Endeavor Energy Resources LP/EER Finance, Inc. |
| |||||||||||
5.75% | 01/30/28 | 5 | 2,904,000 | 3,071,909 | ||||||||
Energy Transfer Operating LP |
| |||||||||||
5.00% | 05/15/50 | 840,000 | 872,177 | |||||||||
Energy Transfer Operating LP, |
| |||||||||||
Series B |
| |||||||||||
6.63% | 02/15/70 | 8 | 6,938,000 | 6,166,147 | ||||||||
Hess Corp. |
| |||||||||||
5.60% | 02/15/41 | 1,047,000 | 1,210,321 | |||||||||
NGL Energy Operating LLC/NGL Energy Finance Corp. |
| |||||||||||
7.50% | 02/01/26 | 5 | 3,270,000 | 3,366,917 | ||||||||
Occidental Petroleum Corp. |
| |||||||||||
3.50% | 08/15/29 | 8,939,000 | 8,388,521 | |||||||||
4.40% | 08/15/49 | 5,900,000 | 4,933,993 | |||||||||
5.88% | 09/01/25 | 4,975,000 | 5,324,743 | |||||||||
Petroleos Mexicanos |
| |||||||||||
(Mexico) |
| |||||||||||
6.75% | 09/21/47 | 2 | 524,000 | 446,584 | ||||||||
7.69% | 01/23/50 | 2 | 425,000 | 393,975 | ||||||||
Rockies Express Pipeline LLC |
| |||||||||||
4.80% | 05/15/30 | 5 | 650,000 | 643,906 | ||||||||
6.88% | 04/15/40 | 5 | 2,984,000 | 3,237,640 | ||||||||
Ruby Pipeline LLC |
| |||||||||||
8.00% | 04/01/22 | 3,4,5 | 1,342,462 | 1,124,446 | ||||||||
SM Energy Co. |
| |||||||||||
5.63% | 06/01/25 | 739,000 | 685,100 | |||||||||
6.63% | 01/15/27 | 910,000 | 841,750 | |||||||||
6.75% | 09/15/26 | 1,115,000 | 1,032,350 | |||||||||
Sunoco Logistics Partners Operations LP |
| |||||||||||
5.35% | 05/15/45 | 820,000 | 866,767 | |||||||||
5.40% | 10/01/47 | 500,000 | 536,356 | |||||||||
Sunoco LP/Sunoco Finance Corp. |
| |||||||||||
4.50% | 05/15/29 | 5 | 1,560,000 | 1,556,100 | ||||||||
5.88% | 03/15/28 | 3,165,000 | 3,335,119 |
See accompanying Notes to Financial Statements.
85 / Annual Report March 2021 |
Table of Contents
High Yield Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Energy (continued) |
| |||||||||||
Targa Resources Partners LP/Targa Resources Partners Finance Corp. |
| |||||||||||
5.50% | 03/01/30 | $ | 1,300,000 | $ | 1,368,250 | |||||||
TransMontaigne Partners LP/TLP Finance Corp. |
| |||||||||||
6.13% | 02/15/26 | 3,989,000 | 4,018,917 | |||||||||
Transocean Phoenix 2 Ltd. |
| |||||||||||
(Cayman Islands) |
| |||||||||||
7.75% | 10/15/24 | 2,5 | 3,623,400 | 3,523,757 | ||||||||
Transocean Pontus Ltd. |
| |||||||||||
(Cayman Islands) |
| |||||||||||
6.13% | 08/01/25 | 2,5 | 1,165,075 | 1,103,180 | ||||||||
Transocean Proteus Ltd. |
| |||||||||||
(Cayman Islands) |
| |||||||||||
6.25% | 12/01/24 | 2,5 | 2,041,800 | 1,944,815 | ||||||||
Transocean Sentry Ltd. |
| |||||||||||
(Cayman Islands) |
| |||||||||||
5.38% | 05/15/23 | 2,5 | 1,440,991 | 1,361,736 | ||||||||
USA Compression Partners LP/USA Compression Finance Corp. |
| |||||||||||
6.88% | 04/01/26 | 1,289,000 | 1,324,448 | |||||||||
Valaris PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
7.75% | 02/01/26 | 2,6,7 | 2,958,000 | 314,288 | ||||||||
|
| |||||||||||
73,800,336 | ||||||||||||
|
| |||||||||||
Entertainment — 0.30% |
| |||||||||||
Banijay Entertainment SASU |
| |||||||||||
(France) |
| |||||||||||
5.38% | 03/01/25 | 2,5 | 252,000 | 260,455 | ||||||||
Cinemark USA, Inc. |
| |||||||||||
8.75% | 05/01/25 | 5 | 1,889,000 | 2,076,719 | ||||||||
|
| |||||||||||
2,337,174 | ||||||||||||
|
| |||||||||||
Finance — 2.40% |
| |||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust |
| |||||||||||
(Ireland) |
| |||||||||||
3.50% | 01/15/25 | 2 | 450,000 | 472,207 | ||||||||
Avolon Holdings Funding Ltd. |
| |||||||||||
(Cayman Islands) |
| |||||||||||
5.13% | 10/01/23 | 2,5 | 3,215,000 | 3,429,984 | ||||||||
Ford Motor Credit Co. LLC |
| |||||||||||
2.98% | 08/03/22 | 1,805,000 | 1,834,331 | |||||||||
3.22% | 01/09/22 | 5,000,000 | 5,067,250 | |||||||||
3.34% | 03/28/22 | 950,000 | 963,072 | |||||||||
(LIBOR USD 3-Month plus 1.27%) |
| |||||||||||
1.46% | 03/28/22 | 1 | 5,660,000 | 5,624,014 | ||||||||
GE Capital International Funding Co. |
| |||||||||||
(Ireland) |
| |||||||||||
4.42% | 11/15/35 | 2 | 958,000 | 1,097,701 | ||||||||
|
| |||||||||||
18,488,559 | ||||||||||||
|
| |||||||||||
Food — 5.20% |
| |||||||||||
Chobani LLC/Chobani Finance Corp, Inc. |
| |||||||||||
4.63% | 11/15/28 | 5 | 2,360,000 | 2,419,520 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Food (continued) |
| |||||||||||
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc. |
| |||||||||||
(Canada) |
| |||||||||||
5.50% | 01/15/30 | 2,5 | $ | 4,250,000 | $ | 4,712,187 | ||||||
Kraft Heinz Foods Co. |
| |||||||||||
3.00% | 06/01/26 | 13,040,000 | 13,754,561 | |||||||||
4.63% | 01/30/29 | 355,000 | 399,020 | |||||||||
Nathan’s Famous, Inc. |
| |||||||||||
6.63% | 11/01/25 | 5 | 696,000 | 720,360 | ||||||||
Pilgrim’s Pride Corp. |
| |||||||||||
4.25% | 04/15/31 | 5 | 3,000,000 | 2,991,557 | ||||||||
Post Holdings, Inc. |
| |||||||||||
4.50% | 09/15/31 | 5 | 4,000,000 | 3,969,800 | ||||||||
4.63% | 04/15/30 | 5 | 4,629,000 | 4,646,359 | ||||||||
5.63% | 01/15/28 | 5 | 1,600,000 | 1,687,568 | ||||||||
Simmons Foods, Inc./Simmons Prepared Foods, Inc./Simmons Pet Food, Inc./Simmons Feed |
| |||||||||||
4.63% | 03/01/29 | 5 | 2,000,000 | 2,018,917 | ||||||||
Smithfield Foods, Inc. |
| |||||||||||
2.65% | 10/03/21 | 5 | 460,000 | 463,933 | ||||||||
5.20% | 04/01/29 | 5 | 1,950,000 | 2,239,509 | ||||||||
|
| |||||||||||
40,023,291 | ||||||||||||
|
| |||||||||||
Gaming — 0.88% |
| |||||||||||
Caesars Entertainment, Inc. |
| |||||||||||
6.25% | 07/01/25 | 5 | 1,053,000 | 1,123,835 | ||||||||
Churchill Downs, Inc. |
| |||||||||||
4.75% | 01/15/28 | 5 | 1,100,000 | 1,140,205 | ||||||||
Live Nation Entertainment, Inc. |
| |||||||||||
3.75% | 01/15/28 | 5 | 3,217,000 | 3,180,809 | ||||||||
Wynn Resorts Finance LLC/Wynn Resorts Capital Corp. |
| |||||||||||
5.13% | 10/01/29 | 5 | 1,305,000 | 1,337,299 | ||||||||
|
| |||||||||||
6,782,148 | ||||||||||||
|
| |||||||||||
Health Care — 10.82% |
| |||||||||||
Bausch Health Cos., Inc. |
| |||||||||||
(Canada) |
| |||||||||||
7.00% | 03/15/24 | 2,5 | 21,161,000 | 21,668,864 | ||||||||
Centene Corp. |
| |||||||||||
4.63% | 12/15/29 | 3,241,000 | 3,511,948 | |||||||||
Elanco Animal Health, Inc. |
| |||||||||||
5.27% | 08/28/23 | 4,153,000 | 4,477,453 | |||||||||
Emergent BioSolutions, Inc. |
| |||||||||||
3.88% | 08/15/28 | 5 | 5,272,000 | 5,163,265 | ||||||||
Encompass Health Corp. |
| |||||||||||
4.75% | 02/01/30 | 2,440,000 | 2,514,154 | |||||||||
Endo DAC/Endo Finance LLC/Endo Finco, Inc. |
| |||||||||||
(Ireland) |
| |||||||||||
6.00% | 06/30/28 | 2,5 | 741,000 | 609,671 | ||||||||
9.50% | 07/31/27 | 2,5 | 542,000 | 589,917 | ||||||||
Endo Luxembourg Finance Co. I Sarl/Endo U.S., Inc. |
| |||||||||||
(Luxembourg) |
| |||||||||||
6.13% | 04/01/29 | 2,5 | 3,000,000 | 3,046,860 | ||||||||
HCA, Inc. |
| |||||||||||
5.25% | 06/15/49 | 1,450,000 | 1,778,539 |
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 86 |
Table of Contents
High Yield Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Health Care (continued) |
| |||||||||||
Hill-Rom Holdings, Inc. |
| |||||||||||
4.38% | 09/15/27 | 5 | $ | 1,160,000 | $ | 1,197,700 | ||||||
Hologic, Inc. |
| |||||||||||
3.25% | 02/15/29 | 5 | 1,000,000 | 989,375 | ||||||||
ModivCare, Inc. | ||||||||||||
5.88% | 11/15/25 | 5 | 2,140,000 | 2,256,362 | ||||||||
Molina Healthcare, Inc. |
| |||||||||||
3.88% | 11/15/30 | 5 | 5,404,000 | 5,565,438 | ||||||||
4.38% | 06/15/28 | 5 | 8,580,000 | 8,842,079 | ||||||||
Owens & Minor, Inc. |
| |||||||||||
4.50% | 03/31/29 | 5 | 1,595,000 | 1,605,083 | ||||||||
Par Pharmaceutical, Inc. |
| |||||||||||
7.50% | 04/01/27 | 5 | 244,000 | 259,538 | ||||||||
Prime Healthcare Services, Inc. |
| |||||||||||
7.25% | 11/01/25 | 5 | 7,500,000 | 8,006,250 | ||||||||
Teleflex, Inc. |
| |||||||||||
4.25% | 06/01/28 | 5 | 3,900,000 | 4,046,250 | ||||||||
Tenet Healthcare Corp. |
| |||||||||||
4.63% | 09/01/24 | 5 | 2,307,000 | 2,378,279 | ||||||||
4.63% | 06/15/28 | 5 | 475,000 | 487,459 | ||||||||
4.88% | 01/01/26 | 5 | 2,019,000 | 2,101,779 | ||||||||
5.13% | 11/01/27 | 5 | 2,185,000 | 2,290,317 | ||||||||
|
| |||||||||||
83,386,580 | ||||||||||||
|
| |||||||||||
Industrials — 6.31% |
| |||||||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. |
| |||||||||||
(Ireland) |
| |||||||||||
4.13% | 08/15/26 | 2,5 | 8,927,000 | 9,186,329 | ||||||||
Ball Corp. |
| |||||||||||
4.00% | 11/15/23 | 3,960,000 | 4,222,350 | |||||||||
4.88% | 03/15/26 | 3,895,000 | 4,357,687 | |||||||||
5.25% | 07/01/25 | 1,254,000 | 1,419,371 | |||||||||
Clean Harbors, Inc. |
| |||||||||||
4.88% | 07/15/27 | 5 | 2,152,000 | 2,273,997 | ||||||||
Energizer Holdings, Inc. |
| |||||||||||
4.75% | 06/15/28 | 5 | 2,525,000 | 2,616,531 | ||||||||
General Electric Co. |
| |||||||||||
(MTN) |
| |||||||||||
(LIBOR USD 3-Month plus 0.48%) |
| |||||||||||
0.67% | 08/15/36 | 1 | 1,300,000 | 1,053,351 | ||||||||
Graham Packaging Co., Inc. |
| |||||||||||
7.13% | 08/15/28 | 5 | 2,466,000 | 2,630,994 | ||||||||
Graphic Packaging International LLC |
| |||||||||||
3.50% | 03/15/28 | 5 | 5,185,000 | 5,173,536 | ||||||||
4.75% | 07/15/27 | 5 | 2,571,000 | 2,805,604 | ||||||||
4.88% | 11/15/22 | 566,000 | 593,460 | |||||||||
PowerTeam Services LLC |
| |||||||||||
9.03% | 12/04/25 | 5 | 659,000 | 727,406 | ||||||||
Sealed Air Corp. | ||||||||||||
4.00% | 12/01/27 | 5 | 815,000 | 837,413 | ||||||||
4.88% | 12/01/22 | 5 | 1,245,000 | 1,298,764 | ||||||||
5.50% | 09/15/25 | 5 | 4,898,000 | 5,370,933 | ||||||||
Titan Acquisition Ltd./Titan Co-Borrower LLC |
| |||||||||||
(Canada) |
| |||||||||||
7.75% | 04/15/26 | 2,5 | 2,195,000 | 2,290,592 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Industrials (continued) |
| |||||||||||
Trident TPI Holdings, Inc. |
| |||||||||||
9.25% | 08/01/24 | 5 | $ | 875,000 | $ | 934,099 | ||||||
Trivium Packaging Finance BV |
| |||||||||||
(Netherlands) |
| |||||||||||
5.50% | 08/15/26 | 2,5 | 800,000 | 841,266 | ||||||||
|
| |||||||||||
48,633,683 | ||||||||||||
|
| |||||||||||
Information Technology — 1.14% |
| |||||||||||
MSCI, Inc. |
| |||||||||||
3.63% | 09/01/30 | 5 | 870,000 | 886,156 | ||||||||
NCR Corp. |
| |||||||||||
5.13% | 04/15/29 | 5 | 3,763,000 | 3,800,178 | ||||||||
5.25% | 10/01/30 | 5 | 1,717,000 | 1,741,896 | ||||||||
8.13% | 04/15/25 | 5 | 334,000 | 366,289 | ||||||||
Science Applications International Corp. |
| |||||||||||
4.88% | 04/01/28 | 5 | 1,912,000 | 1,976,710 | ||||||||
|
| |||||||||||
8,771,229 | ||||||||||||
|
| |||||||||||
Insurance — 0.39% |
| |||||||||||
Acrisure LLC/Acrisure Finance, Inc. |
| |||||||||||
4.25% | 02/15/29 | 5 | 3,075,000 | 3,026,741 | ||||||||
|
| |||||||||||
Materials — 0.75% |
| |||||||||||
Clearwater Paper Corp. |
| |||||||||||
4.75% | 08/15/28 | 5 | 5,695,000 | 5,758,255 | ||||||||
|
| |||||||||||
Real Estate Investment Trust (REIT) — 3.33% |
| |||||||||||
American Assets Trust LP |
| |||||||||||
3.38% | 02/01/31 | 3,810,000 | 3,778,896 | |||||||||
CyrusOne LP/CyrusOne Finance Corp. |
| |||||||||||
3.45% | 11/15/29 | 6,128,000 | 6,318,510 | |||||||||
GLP Capital LP/GLP Financing II, Inc. |
| |||||||||||
5.75% | 06/01/28 | 3,238,000 | 3,744,666 | |||||||||
Iron Mountain, Inc. |
| |||||||||||
5.25% | 07/15/30 | 5 | 5,744,000 | 5,933,839 | ||||||||
MGM Growth Properties Operating Partnership LP/MGP Finance Co.-Issuer, Inc. |
| |||||||||||
4.63% | 06/15/25 | 5 | 2,369,000 | 2,500,071 | ||||||||
SL Green Operating Partnership LP |
| |||||||||||
3.25% | 10/15/22 | 3,275,000 | 3,395,559 | |||||||||
|
| |||||||||||
25,671,541 | ||||||||||||
|
| |||||||||||
Retail — 1.89% |
| |||||||||||
1011778 BC ULC/New Red Finance, Inc. |
| |||||||||||
(Canada) |
| |||||||||||
3.50% | 02/15/29 | 2,5 | 5,195,000 | 5,057,507 | ||||||||
FirstCash, Inc. |
| |||||||||||
4.63% | 09/01/28 | 5 | 5,013,000 | 5,122,659 | ||||||||
Murphy Oil USA, Inc. |
| |||||||||||
3.75% | 02/15/31 | 5 | 1,610,000 | 1,585,519 | ||||||||
Yum! Brands, Inc. |
| |||||||||||
4.63% | 01/31/32 | 2,750,000 | 2,811,023 | |||||||||
|
| |||||||||||
14,576,708 | ||||||||||||
|
| |||||||||||
Services — 3.32% |
| |||||||||||
Adtalem Global Education, Inc. |
| |||||||||||
5.50% | 03/01/28 | 5 | 2,349,000 | 2,331,331 |
See accompanying Notes to Financial Statements.
87 / Annual Report March 2021 |
Table of Contents
High Yield Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Services (continued) |
| |||||||||||
GFL Environmental, Inc. |
| |||||||||||
(Canada) |
| |||||||||||
3.75% | 08/01/25 | 2,5 | $ | 5,000,000 | $ | 5,084,375 | ||||||
4.25% | 06/01/25 | 2,5 | 1,585,000 | 1,635,522 | ||||||||
IHS Markit Ltd. |
| |||||||||||
(Bermuda) |
| |||||||||||
4.75% | 02/15/25 | 2,5 | 1,420,000 | 1,591,749 | ||||||||
5.00% | 11/01/22 | 2,5 | 3,071,000 | 3,239,664 | ||||||||
Prime Security Services Borrower LLC/Prime Finance, Inc. |
| |||||||||||
3.38% | 08/31/27 | 5 | 3,211,000 | 3,118,707 | ||||||||
Service Corp. International/U.S. |
| |||||||||||
3.38% | 08/15/30 | 1,690,000 | 1,651,637 | |||||||||
4.63% | 12/15/27 | 946,000 | 998,621 | |||||||||
Waste Pro USA, Inc. |
| |||||||||||
5.50% | 02/15/26 | 5 | 5,753,000 | 5,906,346 | ||||||||
|
| |||||||||||
25,557,952 | ||||||||||||
|
| |||||||||||
Transportation — 1.65% |
| |||||||||||
American Airlines, Inc./AAdvantage Loyalty IP Ltd. |
| |||||||||||
5.75% | 04/20/29 | 5 | 2,350,000 | 2,502,515 | ||||||||
Continental Airlines Pass-Through Trust, |
| |||||||||||
Series 2007-1, Class B |
| |||||||||||
6.90% | 04/19/22 | 342,044 | 341,108 | |||||||||
Delta Air Lines Pass-Through Trust, |
| |||||||||||
Series 2002-1, Class G1 |
| |||||||||||
6.72% | 01/02/23 | 3,046,794 | 3,145,814 | |||||||||
Delta Air Lines, Inc./SkyMiles IP Ltd. |
| |||||||||||
4.75% | 10/20/28 | 2,5 | 1,880,000 | 2,045,953 | ||||||||
Mileage Plus Holdings LLC/Mileage Plus Intellectual Property Assets Ltd. |
| |||||||||||
6.50% | 06/20/27 | 5 | 1,826,000 | 2,002,879 | ||||||||
U.S. Airways Pass-Through Trust, |
| |||||||||||
Series 2010-1, Class A |
| |||||||||||
6.25% | 04/22/23 | 966,719 | 977,055 | |||||||||
U.S. Airways Pass-Through Trust, |
| |||||||||||
Series 2012-1, Class A |
| |||||||||||
5.90% | 10/01/24 | 1,659,210 | 1,717,283 | |||||||||
|
| |||||||||||
12,732,607 | ||||||||||||
|
| |||||||||||
Water — 0.16% |
| |||||||||||
Solaris Midstream Holdings LLC |
| |||||||||||
7.63% | 04/01/26 | 5 | 1,200,000 | 1,228,500 | ||||||||
|
| |||||||||||
Total Corporates |
| |||||||||||
(Cost $552,340,725) |
| 564,085,791 | ||||||||||
|
| |||||||||||
MORTGAGE-BACKED — 2.61%** |
| |||||||||||
Non-Agency Commercial Mortgage- Backed — 0.23% |
| |||||||||||
Morgan Stanley ABS Capital I Trust, |
| |||||||||||
Series 2006-HE8, Class A2C |
| |||||||||||
(LIBOR USD 1-Month plus 0.14%) |
| |||||||||||
0.25% | 10/25/36 | 1 | 3,178,380 | 1,753,333 | ||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Mortgage-Backed — 2.38% |
| |||||||||||
ACE Securities Corp. Home Equity Loan Trust, |
| |||||||||||
Series 2006-ASP6, Class A2C |
| |||||||||||
(LIBOR USD 1-Month plus 0.16%) |
| |||||||||||
0.27% | 12/25/36 | 1 | $ | 4,044,667 | $ | 2,082,436 | ||||||
Ajax Mortgage Loan Trust, |
| |||||||||||
Series 2019-D, Class A1 (STEP-reset date 04/25/21) |
| |||||||||||
2.96% | 09/25/65 | 5 | 1,592,801 | 1,613,115 | ||||||||
GSAMP Trust, |
| |||||||||||
Series 2005-HE4, Class M3 |
| |||||||||||
(LIBOR USD 1-Month plus 0.78%) |
| |||||||||||
0.89% | 07/25/45 | 1 | 2,350,000 | 2,343,976 | ||||||||
GSAMP Trust, |
| |||||||||||
Series 2005-HE5, Class M3 |
| |||||||||||
(LIBOR USD 1-Month plus 0.69%) |
| |||||||||||
0.80% | 11/25/35 | 1 | 2,500,889 | 2,488,459 | ||||||||
HSI Asset Securitization Corp. Trust, |
| |||||||||||
Series 2006-HE1, Class 1A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.14%) |
| |||||||||||
0.25% | 10/25/36 | 1 | 2,502,954 | 1,105,211 | ||||||||
Lehman XS Trust, |
| |||||||||||
Series 2005-7N, Class 1A1A |
| |||||||||||
(LIBOR USD 1-Month plus 0.54%) |
| |||||||||||
0.65% | 12/25/35 | 1 | 904,330 | 891,008 | ||||||||
Long Beach Mortgage Loan Trust, |
| |||||||||||
Series 2006-10, Class 1A |
| |||||||||||
(LIBOR USD 1-Month plus 0.15%) |
| |||||||||||
0.26% | 11/25/36 | 1 | 2,600,604 | 1,951,211 | ||||||||
MASTR Asset-Backed Securities Trust, |
| |||||||||||
Series 2006-HE2, Class A3 |
| |||||||||||
(LIBOR USD 1-Month plus 0.30%) |
| |||||||||||
0.41% | 06/25/36 | 1 | 3,329,280 | 1,888,555 | ||||||||
Morgan Stanley ABS Capital I Trust, |
| |||||||||||
Series 2007-HE1, Class A2D |
| |||||||||||
(LIBOR USD 1-Month plus 0.23%) |
| |||||||||||
0.34% | 11/25/36 | 1 | 1,719,482 | 1,207,865 | ||||||||
Morgan Stanley Resecuritization Trust, |
| |||||||||||
Series 2014-R3, Class 2A |
| |||||||||||
3.00% | 07/26/48 | 5,8 | 764,921 | 772,056 | ||||||||
WaMu Asset-Backed Certificates, |
| |||||||||||
Series 2007-HE2, Class 2A2 |
| |||||||||||
(LIBOR USD 1-Month plus 0.22%) |
| |||||||||||
0.33% | 02/25/37 | 1 | 4,659,056 | 2,034,943 | ||||||||
|
| |||||||||||
18,378,835 | ||||||||||||
|
| |||||||||||
Total Mortgage-Backed |
| |||||||||||
(Cost $21,368,574) |
| 20,132,168 | ||||||||||
|
| |||||||||||
Total Bonds — 93.84% |
| |||||||||||
(Cost $710,149,825) |
| 722,978,682 | ||||||||||
|
| |||||||||||
Issues | Shares | Value | ||||||||||
COMMON STOCK — 0.02% |
| |||||||||||
Electric — 0.00% |
| |||||||||||
Homer City Holdings LLC†,3,4,6,9 |
| 502,908 | — | |||||||||
|
|
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 88 |
Table of Contents
High Yield Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Shares | Value | ||||||||||
COMMON STOCK — 0.02% (continued) |
| |||||||||||
Energy — 0.02% |
| |||||||||||
Valaris PLC6 |
| 114,000 | $ | 114,000 | ||||||||
|
| |||||||||||
Total Common Stock |
| |||||||||||
(Cost $27,285,821) |
| 114,000 | ||||||||||
|
| |||||||||||
WARRANT — 0.03% |
| |||||||||||
Entertainment — 0.03% |
| |||||||||||
Cineworld Group PLC2,6 |
| |||||||||||
(United Kingdom) |
| 288,340 | 248,440 | |||||||||
|
| |||||||||||
Total Warrant |
| |||||||||||
(Cost $–)
| ||||||||||||
Issues | Maturity Date | Principal Amount/Shares | Value | |||||||||
SHORT-TERM INVESTMENTS — 4.80% |
| |||||||||||
Money Market Funds — 0.91% |
| |||||||||||
Dreyfus Government Cash Management Fund |
| |||||||||||
0.03%10 | 3,131,000 | 3,131,000 | ||||||||||
JPMorgan U.S. Government Money Market Fund |
| |||||||||||
0.03%10 | 3,871,000 | 3,871,000 | ||||||||||
|
| |||||||||||
7,002,000 | ||||||||||||
|
| |||||||||||
U.S. Treasury Bills — 3.89% |
| |||||||||||
U.S. Treasury Bills |
| |||||||||||
0.10%11 | 04/01/21 | $ | 15,000,000 | 15,000,000 | ||||||||
0.05%11 | 08/12/21 | 15,000,000 | 14,999,169 | |||||||||
|
| |||||||||||
29,999,169 | ||||||||||||
|
| |||||||||||
Total Short-Term Investments (Cost $36,999,146) |
| |||||||||||
37,001,169 | ||||||||||||
|
| |||||||||||
Total Investments - 98.69% |
| |||||||||||
(Cost $774,434,792) |
| 760,342,291 | ||||||||||
|
| |||||||||||
Cash and Other Assets, Less Liabilities - 1.31% |
| 10,076,852 | ||||||||||
|
| |||||||||||
Net Assets - 100.00% |
| $ | 770,419,143 | |||||||||
|
|
1 | Floating rate security. The rate disclosed was in effect at March 31, 2021. |
2 | Foreign 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 $3,133,840, which is 0.41% 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 | 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 | Affiliated investment. |
10 | Represents the current yield as of March 31, 2021. |
11 | Represents annualized yield at date of purchase. |
† | Fair valued security. The aggregate value of fair valued securities is $0, which is 0.00% of total net assets. Fair valued securities were not valued utilizing an independent quote but are valued pursuant to guidelines established by the Board of Trustees. 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.
(EURIBOR): Euro InterBank Offer Rate
(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 (Depreciation) | |||||||||||||
FUTURES CONTRACTS: LONG POSITIONS |
| |||||||||||||||||
U.S. Treasury Five Year Note | 225 | 06/30/21 | $ | 27,764,649 | $ | (33,079 | ) | $ | (33,079 | ) | ||||||||
FUTURES CONTRACTS: SHORT POSITIONS |
| |||||||||||||||||
U.S. Treasury Ultra Bond | 20 | 06/21/21 | (3,624,375 | ) | 68,191 | 68,191 | ||||||||||||
U.S. Treasury Ten Year Ultra Bond | 18 | 06/21/21 | (2,586,375 | ) | 19,603 | 19,603 | ||||||||||||
|
|
|
|
|
| |||||||||||||
(6,210,750 | ) | 87,794 | 87,794 | |||||||||||||||
|
|
|
|
|
| |||||||||||||
TOTAL FUTURES CONTRACTS | $ | 21,553,899 | $ | 54,715 | $ | 54,715 | ||||||||||||
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
89 / Annual Report March 2021 |
Table of Contents
High Yield Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Reference Obligation/Index | Financing Rate Paid by the Fund | Payment Frequency | Counterparty | Expiration Date | Notional Amount1 | Value | Premiums Paid | Unrealized Appreciation | ||||||||||||||||||
SWAPS: CREDIT DEFAULT (SALES) - SINGLE ISSUES OTC | ||||||||||||||||||||||||||
Berry Global, Inc., 5.63%, due 07/15/27 | 5.00% | 3 Months | Credit Suisse First Boston International | 12/20/21 | $ | 3,995,000 | $ | 95,964 | $ | 86,268 | $ | 9,696 | ||||||||||||||
|
|
|
|
|
|
1 | 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 Financial Statements.
Annual Report March 2021 / 90 |
Table of Contents
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
BONDS – 105.26% |
| |||||||||||
ASSET-BACKED SECURITIES — 6.79%** |
| |||||||||||
Academic Loan Funding Trust, |
| |||||||||||
Series 2012-1A, Class A2 |
| |||||||||||
(LIBOR USD 1-Month plus 1.10%) |
| |||||||||||
1.21% | 12/27/44 | 1,2 | $ | 629,294 | $ | 638,578 | ||||||
AMMC CLO 19 Ltd., |
| |||||||||||
Series 2016-19A, Class AR |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.14%) |
| |||||||||||
1.38% | 10/16/28 | 1,2,3 | 920,000 | 920,028 | ||||||||
Barings CLO Ltd., | ||||||||||||
Series 2013-IA, Class AR |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 0.80%) |
| |||||||||||
1.02% | 01/20/28 | 1,2,3 | 1,197,414 | 1,195,498 | ||||||||
Barings CLO Ltd., |
| |||||||||||
Series 2016-2A, Class AR |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.08%) |
| |||||||||||
1.30% | 07/20/28 | 1,2,3 | 47,525 | 47,522 | ||||||||
Bayview Commercial Asset Trust, |
| |||||||||||
Series 2004-3, Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.56%) |
| |||||||||||
0.66% | 01/25/35 | 1,2 | 307,829 | 303,143 | ||||||||
Brazos Higher Education Authority, Inc., |
| |||||||||||
Series 2010-1, Class A2 |
| |||||||||||
(LIBOR USD 3-Month plus 1.20%) |
| |||||||||||
1.39% | 02/25/35 | 2 | 650,000 | 665,482 | ||||||||
Brazos Higher Education Authority, Inc., |
| |||||||||||
Series 2011-1, Class A2 |
| |||||||||||
(LIBOR USD 3-Month plus 0.80%) |
| |||||||||||
0.99% | 02/25/30 | 2 | 19,480 | 19,556 | ||||||||
Brazos Higher Education Authority, Inc., |
| |||||||||||
Series 2011-2, Class A3 |
| |||||||||||
(LIBOR USD 3-Month plus 1.00%) |
| |||||||||||
1.22% | 10/27/36 | 2 | 1,030,000 | 1,036,367 | ||||||||
CIT Education Loan Trust, |
| |||||||||||
Series 2007-1, Class A |
| |||||||||||
(LIBOR USD 3-Month plus 0.09%) |
| |||||||||||
0.29% | 03/25/42 | 1,2 | 231,769 | 223,084 | ||||||||
Citigroup Mortgage Loan Trust, Inc., |
| |||||||||||
Series 2006-WFH1, Class M5 |
| |||||||||||
(LIBOR USD 1-Month plus 0.78%) |
| |||||||||||
0.89% | 01/25/36 | 2 | 2,000,000 | 1,956,434 | ||||||||
CoreVest American Finance Trust, |
| |||||||||||
Series 2019-1, Class XA (IO) |
| |||||||||||
2.16% | 03/15/52 | 1,4 | 5,805,385 | 398,672 | ||||||||
Countrywide Asset-Backed Certificates Trust, |
| |||||||||||
Series 2005-7, Class MV5 |
| |||||||||||
(LIBOR USD 1-Month plus 1.13%) |
| |||||||||||
1.23% | 11/25/35 | 2 | 4,220,000 | 4,178,970 | ||||||||
Dryden XXVI Senior Loan Fund, |
| |||||||||||
Series 2013-26A, Class AR |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 0.90%) |
| |||||||||||
1.14% | 04/15/29 | 1,2,3 | 1,785,000 | 1,781,776 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||
Educational Funding of the South, Inc., |
| |||||||||||
Series 2011-1, Class A2 |
| |||||||||||
(LIBOR USD 3-Month plus 0.65%) |
| |||||||||||
0.87% | 04/25/35 | 2 | $ | 212,791 | $ | 212,316 | ||||||
GCO Education Loan Funding Trust II, |
| |||||||||||
Series 2006-2AR, Class A1RN |
| |||||||||||
(LIBOR USD 1-Month plus 0.65%) |
| |||||||||||
0.76% | 08/27/46 | 1,2 | 769,270 | 765,782 | ||||||||
Global SC Finance II SRL, |
| |||||||||||
Series 2014-1A, Class A2 |
| |||||||||||
(Barbados) |
| |||||||||||
3.09% | 07/17/29 | 1,3 | 558,333 | 563,824 | ||||||||
Higher Education Funding I, |
| |||||||||||
Series 2014-1, Class A |
| |||||||||||
(LIBOR USD 3-Month plus 1.05%) |
| |||||||||||
1.24% | 05/25/34 | 1,2 | 812,665 | 817,268 | ||||||||
J.G. Wentworth XXX LLC, |
| |||||||||||
Series 2013-3A, Class A |
| |||||||||||
4.08% | 01/17/73 | 1 | 400,411 | 441,043 | ||||||||
J.G. Wentworth XXXII LLC, |
| |||||||||||
Series 2014-2A, Class A |
| |||||||||||
3.61% | 01/17/73 | 1 | 756,538 | 822,673 | ||||||||
LCM XVIII LP, |
| |||||||||||
Series 19A, Class AR |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.24%) |
| |||||||||||
1.48% | 07/15/27 | 1,2,3 | 41,471 | 41,476 | ||||||||
LCM XX LP, |
| |||||||||||
Series 20A, Class AR |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.04%) |
| |||||||||||
1.26% | 10/20/27 | 1,2,3 | 1,509,064 | 1,508,838 | ||||||||
Magnetite XVIII Ltd., |
| |||||||||||
Series 2016-18A, Class AR |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.08%) |
| |||||||||||
1.27% | 11/15/28 | 1,2,3 | 50,000 | 50,039 | ||||||||
Morgan Stanley ABS Capital I, Inc., Trust, |
| |||||||||||
Series 2005-HE3, Class M5 |
| |||||||||||
(LIBOR USD 1-Month plus 1.03%) |
| |||||||||||
1.14% | 07/25/35 | 2 | 5,000,000 | 4,999,340 | ||||||||
Navient Student Loan Trust, |
| |||||||||||
Series 2014-1, Class A3 |
| |||||||||||
(LIBOR USD 1-Month plus 0.51%) |
| |||||||||||
0.62% | 06/25/31 | 2 | 644,576 | 635,732 | ||||||||
Navient Student Loan Trust, |
| |||||||||||
Series 2014-3, Class A |
| |||||||||||
(LIBOR USD 1-Month plus 0.62%) |
| |||||||||||
0.73% | 03/25/83 | 2 | 1,651,252 | 1,643,419 | ||||||||
Navient Student Loan Trust, |
| |||||||||||
Series 2014-4, Class A |
| |||||||||||
(LIBOR USD 1-Month plus 0.62%) |
| |||||||||||
0.73% | 03/25/83 | 2 | 1,501,841 | 1,494,107 | ||||||||
Navient Student Loan Trust, |
| |||||||||||
Series 2016-2A, Class A3 |
| |||||||||||
(LIBOR USD 1-Month plus 1.50%) |
| |||||||||||
1.61% | 06/25/65 | 1,2 | 1,640,000 | 1,704,873 |
See accompanying Notes to Financial Statements.
91 / Annual Report March 2021 |
Table of Contents
Intermediate Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||
Nelnet Student Loan Trust, |
| |||||||||||
Series 2014-4A, Class A2 |
| |||||||||||
(LIBOR USD 1-Month plus 0.95%) |
| |||||||||||
1.06% | 11/25/48 | 1,2 | $ | 1,370,000 | $ | 1,394,297 | ||||||
OCP CLO Ltd., |
| |||||||||||
Series 2020-19A, Class A1 |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.75%) |
| |||||||||||
1.97% | 07/20/31 | 1,2,3 | 1,850,000 | 1,854,532 | ||||||||
Recette CLO Ltd., |
| |||||||||||
Series 2015-1A, Class ARR |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.08%) |
| |||||||||||
1.19% | 04/20/34 | 1,2,3 | 1,875,000 | 1,871,439 | ||||||||
Skyline Aircraft Finance LLC, |
| |||||||||||
Series 2021-1, Class A |
| |||||||||||
3.23% | 05/10/37 | 5,6 | 2,289,618 | 2,254,916 | ||||||||
SLC Student Loan Trust, |
| |||||||||||
Series 2004-1, Class B |
| |||||||||||
(LIBOR USD 3-Month plus 0.29%) |
| |||||||||||
0.49% | 08/15/31 | 2 | 127,425 | 117,722 | ||||||||
SLC Student Loan Trust, |
| |||||||||||
Series 2008-1, Class A4A |
| |||||||||||
(LIBOR USD 3-Month plus 1.60%) |
| |||||||||||
1.78% | 12/15/32 | 2 | 271,650 | 278,529 | ||||||||
SLM Student Loan Trust, |
| |||||||||||
Series 2004-2, Class B |
| |||||||||||
(LIBOR USD 3-Month plus 0.47%) |
| |||||||||||
0.69% | 07/25/39 | 2 | 160,847 | 152,209 | ||||||||
SLM Student Loan Trust, |
| |||||||||||
Series 2006-8, Class A6 |
| |||||||||||
(LIBOR USD 3-Month plus 0.16%) |
| |||||||||||
0.38% | 01/25/41 | 2 | 1,025,000 | 1,005,107 | ||||||||
SLM Student Loan Trust, |
| |||||||||||
Series 2008-2, Class A3 |
| |||||||||||
(LIBOR USD 3-Month plus 0.75%) |
| |||||||||||
0.97% | 04/25/23 | 2 | 3,571,269 | 3,519,377 | ||||||||
SLM Student Loan Trust, |
| |||||||||||
Series 2008-2, Class B |
| |||||||||||
(LIBOR USD 3-Month plus 1.20%) |
| |||||||||||
1.42% | 01/25/83 | 2 | 185,000 | 174,411 | ||||||||
SLM Student Loan Trust, |
| |||||||||||
Series 2008-3, Class B |
| |||||||||||
(LIBOR USD 3-Month plus 1.20%) |
| |||||||||||
1.42% | 04/26/83 | 2 | 185,000 | 173,181 | ||||||||
SLM Student Loan Trust, |
| |||||||||||
Series 2008-4, Class B |
| |||||||||||
(LIBOR USD 3-Month plus 1.85%) |
| |||||||||||
2.07% | 04/25/73 | 2 | 185,000 | 183,596 | ||||||||
SLM Student Loan Trust, |
| |||||||||||
Series 2008-5, Class B |
| |||||||||||
(LIBOR USD 3-Month plus 1.85%) |
| |||||||||||
2.07% | 07/25/73 | 2 | 2,235,000 | 2,199,601 | ||||||||
SLM Student Loan Trust, |
| |||||||||||
Series 2008-6, Class A4 |
| |||||||||||
(LIBOR USD 3-Month plus 1.10%) |
| |||||||||||
1.32% | 07/25/23 | 2 | 1,898,070 | 1,894,353 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||
SLM Student Loan Trust, |
| |||||||||||
Series 2008-6, Class B |
| |||||||||||
(LIBOR USD 3-Month plus 1.85%) |
| |||||||||||
2.07% | 07/26/83 | 2 | $ | 185,000 | $ | 182,315 | ||||||
SLM Student Loan Trust, |
| |||||||||||
Series 2008-7, Class B |
| |||||||||||
(LIBOR USD 3-Month plus 1.85%) |
| |||||||||||
2.07% | 07/26/83 | 2 | 185,000 | 184,759 | ||||||||
SLM Student Loan Trust, |
| |||||||||||
Series 2008-8, Class B |
| |||||||||||
(LIBOR USD 3-Month plus 2.25%) |
| |||||||||||
2.47% | 10/25/75 | 2 | 185,000 | 186,179 | ||||||||
SLM Student Loan Trust, |
| |||||||||||
Series 2008-9, Class A |
| |||||||||||
(LIBOR USD 3-Month plus 1.50%) |
| |||||||||||
1.72% | 04/25/23 | 2 | 669,277 | 672,867 | ||||||||
SLM Student Loan Trust, |
| |||||||||||
Series 2008-9, Class B |
| |||||||||||
(LIBOR USD 3-Month plus 2.25%) |
| |||||||||||
2.47% | 10/25/83 | 2 | 1,885,000 | 1,899,674 | ||||||||
SLM Student Loan Trust, |
| |||||||||||
Series 2009-3, Class A |
| |||||||||||
(LIBOR USD 1-Month plus 0.75%) |
| |||||||||||
0.86% | 01/25/45 | 1,2 | 3,023,164 | 3,062,133 | ||||||||
SLM Student Loan Trust, |
| |||||||||||
Series 2011-2, Class A2 |
| |||||||||||
(LIBOR USD 1-Month plus 1.20%) |
| |||||||||||
1.31% | 10/25/34 | 2 | 500,000 | 508,821 | ||||||||
SLM Student Loan Trust, |
| |||||||||||
Series 2012-7, Class A3 |
| |||||||||||
(LIBOR USD 1-Month plus 0.65%) |
| |||||||||||
0.76% | 05/26/26 | 2 | 615,364 | 604,205 | ||||||||
Structured Receivables Finance LLC, |
| |||||||||||
Series 2010-A, Class B |
| |||||||||||
7.61% | 01/16/46 | 1 | 478,497 | 540,847 | ||||||||
Student Loan Consolidation Center Student Loan Trust I, |
| |||||||||||
Series 2002-2, Class B2 |
| |||||||||||
(28 Day Auction Rate plus 0.00%) |
| |||||||||||
1.61% | 07/01/42 | 1,2 | 500,000 | 461,218 | ||||||||
Treman Park CLO Ltd., |
| |||||||||||
Series 2015-1A, Class ARR |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.07%) |
| |||||||||||
1.29% | 10/20/28 | 1,2,3 | 45,782 | 45,789 | ||||||||
|
| |||||||||||
Total Asset-Backed Securities |
| |||||||||||
(Cost $54,181,460) |
| 54,487,917 | ||||||||||
|
| |||||||||||
BANK LOANS — 1.46%* |
| |||||||||||
Automotive — 0.02% |
| |||||||||||
Clarios Global LP, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.25%) |
| |||||||||||
3.36% | 04/30/26 | 2 | 193,444 | 191,751 | ||||||||
|
|
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 92 |
Table of Contents
Intermediate Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
BANK LOANS (continued) |
| |||||||||||
Communications — 0.40% |
| |||||||||||
CenturyLink, Inc., |
| |||||||||||
Term Loan A, 1st Lien |
| |||||||||||
(LIBOR plus 2.00%) |
| |||||||||||
2.11% | 01/31/25 | 2 | $ | 234,375 | $ | 233,203 | ||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.25%) |
| |||||||||||
2.36% | 03/15/27 | 2 | 345,625 | 342,541 | ||||||||
Charter Communications Operating LLC, |
| |||||||||||
Term Loan B2, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
1.87% | 02/01/27 | 2 | 98,747 | 98,395 | ||||||||
CSC Holdings LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.25%) |
| |||||||||||
2.36% | 07/17/25 | 2 | 149,611 | 147,899 | ||||||||
2.36% | 01/15/26 | 2 | 352,800 | 348,501 | ||||||||
Term Loan B5, 1st Lien |
| |||||||||||
(LIBOR plus 2.50%) |
| |||||||||||
2.61% | 04/15/27 | 2 | 99,748 | 98,742 | ||||||||
Intelsat Jackson Holdings, |
| |||||||||||
Delayed-Draw Term Loan, 1st Lien (Luxembourg) |
| |||||||||||
(LIBOR plus 5.50%) |
| |||||||||||
6.50% | 07/13/22 | 2,3 | 48,500 | 49,203 | ||||||||
Intelsat Jackson Holdings SA, |
| |||||||||||
Term Loan B5, 1st Lien (Luxembourg) |
| |||||||||||
8.63% | 01/02/24 | 2,3 | 225,000 | 230,185 | ||||||||
Level 3 Parent LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
1.86% | 03/01/27 | 2 | 1,275,000 | 1,260,127 | ||||||||
Zayo Group Holdings, Inc., |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 3.00%) |
| |||||||||||
3.11% | 03/09/27 | 2 | 445,395 | 442,400 | ||||||||
|
| |||||||||||
3,251,196 | ||||||||||||
|
| |||||||||||
Consumer Discretionary — 0.02% |
| |||||||||||
Reynolds Group Holdings, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.75%) |
| |||||||||||
2.86% | 02/06/23 | 2 | 164,008 | 163,509 | ||||||||
|
| |||||||||||
Electric — 0.02% |
| |||||||||||
Vistra Operations Co., LLC, |
| |||||||||||
Term Loan B3, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
1.86% | 12/31/25 | 2 | 138,083 | 137,294 | ||||||||
|
| |||||||||||
137,294 | ||||||||||||
|
| |||||||||||
Finance — 0.19% |
| |||||||||||
Delos Finance SARL, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
1.95% | 10/06/23 | 2 | 1,556,095 | 1,554,702 | ||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
BANK LOANS (continued) |
| |||||||||||
Food — 0.04% |
| |||||||||||
Hostess Brands LLC, |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 2.25%) |
| |||||||||||
3.00% | 08/03/25 | 2 | $ | 296,241 | $ | 295,171 | ||||||
|
| |||||||||||
Gaming — 0.09% |
| |||||||||||
Caesars Resort Collection LLC, |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 2.75%) |
| |||||||||||
2.86% | 12/23/24 | 2 | 638,351 | 629,883 | ||||||||
Churchill Downs, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.00%) |
| |||||||||||
2.11% | 12/27/24 | 2 | 53,480 | 53,346 | ||||||||
|
| |||||||||||
683,229 | ||||||||||||
|
| |||||||||||
Health Care — 0.34% |
| |||||||||||
Avantor Funding, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.25%) |
| |||||||||||
3.25% | 11/08/27 | 2 | 608,475 | 609,464 | ||||||||
Avolon TLB Borrower 1 U.S. LLC, |
| |||||||||||
Term Loan B3, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
2.50% | 01/15/25 | 2 | 52,744 | 52,638 | ||||||||
Change Healthcare Holdings LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.50%) |
| |||||||||||
3.50% | 03/01/24 | 2 | 315,041 | 315,058 | ||||||||
Elanco Animal Health, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
1.87% | 08/01/27 | 2 | 922,354 | 911,646 | ||||||||
Gentiva Health Services, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.75%) |
| |||||||||||
2.88% | 07/02/25 | 2 | 732,244 | 729,194 | ||||||||
Grifols Worldwide Operations USA, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.00%) |
| |||||||||||
2.08% | 11/15/27 | 2 | 98,750 | 97,768 | ||||||||
|
| |||||||||||
2,715,768 | ||||||||||||
|
| |||||||||||
Industrials — 0.16% |
| |||||||||||
Berry Global, Inc., |
| |||||||||||
Term Loan Z, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
1.90% | 07/01/26 | 2 | 1,015,689 | 1,009,022 | ||||||||
TransDigm, Inc., |
| |||||||||||
Term Loan E, 1st Lien |
| |||||||||||
(LIBOR plus 2.25%) |
| |||||||||||
2.36% | 05/30/25 | 2 | 294,260 | 288,685 | ||||||||
|
| |||||||||||
1,297,707 | ||||||||||||
|
|
See accompanying Notes to Financial Statements.
93 / Annual Report March 2021 |
Table of Contents
Intermediate Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
BANK LOANS (continued) |
| |||||||||||
Information Technology — 0.02% |
| |||||||||||
SS&C Technologies, Inc., |
| |||||||||||
Term Loan B3, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
1.86% | 04/16/25 | 2 | $ | 79,031 | $ | 78,344 | ||||||
Term Loan B4, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
1.86% | 04/16/25 | 2 | 59,009 | 58,496 | ||||||||
|
| |||||||||||
136,840 | ||||||||||||
|
| |||||||||||
Real Estate Investment Trust (REIT) — 0.14% |
| |||||||||||
VICI Properties 1 LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
1.86% | 12/20/24 | 2 | 1,125,000 | 1,113,874 | ||||||||
|
| |||||||||||
Services — 0.01% |
| |||||||||||
GFL Environmental, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.00%) |
| |||||||||||
3.50% | 05/30/25 | 2 | 98,503 | 98,688 | ||||||||
|
| |||||||||||
Transportation — 0.01% |
| |||||||||||
American Airlines, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
1.86% | 01/29/27 | 2 | 74,250 | 67,964 | ||||||||
|
| |||||||||||
Total Bank Loans |
| |||||||||||
(Cost $11,420,579) |
| 11,707,693 | ||||||||||
|
| |||||||||||
CORPORATES — 25.45%* |
| |||||||||||
Automotive — 0.12% |
| |||||||||||
General Motors Co. |
| |||||||||||
4.88% | 10/02/23 | 845,000 | 925,834 | |||||||||
|
| |||||||||||
Banking — 4.15% |
| |||||||||||
Bank of America Corp. |
| |||||||||||
2.59% | 04/29/31 | 4 | 720,000 | 719,125 | ||||||||
3.00% | 12/20/23 | 4 | 2,497,000 | 2,597,862 | ||||||||
Bank of America Corp. |
| |||||||||||
(MTN) |
| |||||||||||
3.09% | 10/01/25 | 4 | 152,000 | 162,301 | ||||||||
3.56% | 04/23/27 | 4 | 605,000 | 658,650 | ||||||||
Bank of New York Mellon Corp. (The) |
| |||||||||||
(MTN) |
| |||||||||||
2.60% | 02/07/22 | 665,000 | 676,993 | |||||||||
3.25% | 09/11/24 | 365,000 | 396,221 | |||||||||
Credit Suisse Group AG |
| |||||||||||
(Switzerland) |
| |||||||||||
1.31% | 02/02/27 | 1,3,4 | 780,000 | 755,104 | ||||||||
2.19% | 06/05/26 | 1,3,4 | 405,000 | 411,154 | ||||||||
Fifth Third Bancorp |
| |||||||||||
2.55% | 05/05/27 | 910,000 | 947,753 | |||||||||
HSBC Holdings PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
1.59% | 05/24/27 | 3,4 | 1,165,000 | 1,147,343 | ||||||||
2.01% | 09/22/28 | 3,4 | 1,990,000 | 1,956,719 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Banking (continued) |
| |||||||||||
JPMorgan Chase & Co. |
| |||||||||||
2.01% | 03/13/26 | 4 | $ | 785,000 | $ | 807,112 | ||||||
2.52% | 04/22/31 | 4 | 290,000 | 289,622 | ||||||||
3.20% | 06/15/26 | 715,000 | 773,476 | |||||||||
3.96% | 01/29/27 | 4 | 50,000 | 55,335 | ||||||||
4.02% | 12/05/24 | 4 | 1,820,000 | 1,975,314 | ||||||||
4.49% | 03/24/31 | 4 | 865,000 | 998,653 | ||||||||
Lloyds Banking Group PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
2.86% | 03/17/23 | 3,4 | 380,000 | 388,102 | ||||||||
3.87% | 07/09/25 | 3,4 | 3,020,000 | 3,289,086 | ||||||||
Macquarie Group Ltd. |
| |||||||||||
(Australia) |
| |||||||||||
1.34% | 01/12/27 | 1,3,4 | 1,160,000 | 1,138,999 | ||||||||
Santander UK Group Holdings PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
1.09% | 03/15/25 | 3,4 | 1,575,000 | 1,576,761 | ||||||||
4.80% | 11/15/24 | 3,4 | 1,730,000 | 1,904,869 | ||||||||
Santander UK PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
5.00% | 11/07/23 | 1,3 | 330,000 | 361,700 | ||||||||
Wells Fargo & Co. |
| |||||||||||
(MTN) |
| |||||||||||
2.39% | 06/02/28 | 4 | 3,320,000 | 3,404,593 | ||||||||
2.88% | 10/30/30 | 4 | 3,815,000 | 3,934,240 | ||||||||
3.58% | 05/22/28 | 4 | 1,810,000 | 1,975,019 | ||||||||
|
| |||||||||||
33,302,106 | ||||||||||||
|
| |||||||||||
Communications — 3.12% |
| |||||||||||
AT&T, Inc. |
| |||||||||||
2.55% | 12/01/33 | 1 | 2,714,000 | 2,578,110 | ||||||||
4.35% | 03/01/29 | 365,000 | 412,908 | |||||||||
(LIBOR USD 3-Month plus 1.18%) |
| |||||||||||
1.36% | 06/12/24 | 2 | 1,200,000 | 1,226,160 | ||||||||
Charter Communications Operating LLC/Charter |
| |||||||||||
Communications Operating Capital |
| |||||||||||
4.91% | 07/23/25 | 500,000 | 567,790 | |||||||||
CSC Holdings LLC |
| |||||||||||
5.38% | 02/01/28 | 1 | 65,000 | 68,494 | ||||||||
6.50% | 02/01/29 | 1 | 43,000 | 47,595 | ||||||||
Fox Corp. |
| |||||||||||
3.50% | 04/08/30 | 1,500,000 | 1,597,055 | |||||||||
Frontier Communications Corp. |
| |||||||||||
5.00% | 05/01/28 | 1 | 400,000 | 407,562 | ||||||||
Intelsat Jackson Holdings SA |
| |||||||||||
(Luxembourg) |
| |||||||||||
8.50% | 10/15/24 | 1,3,7,8 | 1,003,000 | 637,532 | ||||||||
9.75% | 07/15/25 | 1,3,7,8 | 585,000 | 367,029 | ||||||||
Level 3 Financing, Inc. |
| |||||||||||
3.88% | 11/15/29 | 1 | 645,000 | 681,162 | ||||||||
SES GLOBAL Americas Holdings GP |
| |||||||||||
5.30% | 03/25/44 | 1 | 750,000 | 845,683 | ||||||||
SES SA |
| |||||||||||
(Luxembourg) |
| |||||||||||
3.60% | 04/04/23 | 1,3 | 1,500,000 | 1,579,475 |
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 94 |
Table of Contents
Intermediate Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Communications (continued) |
| |||||||||||
Sirius XM Radio, Inc. |
| |||||||||||
3.88% | 08/01/22 | 1 | $ | 219,000 | $ | 220,369 | ||||||
Sprint Corp. |
| |||||||||||
7.88% | 09/15/23 | 65,000 | 74,376 | |||||||||
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC |
| |||||||||||
3.36% | 09/20/21 | 1 | 479,000 | 483,790 | ||||||||
4.74% | 03/20/25 | 1 | 1,175,000 | 1,261,744 | ||||||||
5.15% | 03/20/28 | 1 | 1,785,000 | 2,039,363 | ||||||||
Time Warner Cable LLC |
| |||||||||||
4.00% | 09/01/21 | 50,000 | 50,263 | |||||||||
T-Mobile USA, Inc. |
| |||||||||||
1.50% | 02/15/26 | 1 | 85,000 | 84,268 | ||||||||
2.25% | 02/15/26 | 700,000 | 701,982 | |||||||||
2.55% | 02/15/31 | 1 | 740,000 | 725,896 | ||||||||
3.88% | 04/15/30 | 1 | 800,000 | 869,288 | ||||||||
4.50% | 02/01/26 | 172,000 | 176,407 | |||||||||
6.00% | 03/01/23 | 280,000 | 282,100 | |||||||||
6.00% | 04/15/24 | 293,000 | 295,564 | |||||||||
Verizon Communications, Inc. |
| |||||||||||
2.10% | 03/22/28 | 395,000 | 396,459 | |||||||||
2.55% | 03/21/31 | 1,180,000 | 1,179,095 | |||||||||
ViacomCBS, Inc. |
| |||||||||||
4.20% | 05/19/32 | 1,000,000 | 1,119,515 | |||||||||
Virgin Media Secured Finance PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
4.50% | 08/15/30 | 1,3 | 1,600,000 | 1,617,355 | ||||||||
5.50% | 05/15/29 | 1,3 | 65,000 | 69,085 | ||||||||
Vodafone Group PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
4.38% | 05/30/28 | 3 | 780,000 | 896,615 | ||||||||
Walt Disney Co. (The) |
| |||||||||||
2.00% | 09/01/29 | 335,000 | 331,105 | |||||||||
2.65% | 01/13/31 | 1,090,000 | 1,114,017 | |||||||||
|
| |||||||||||
25,005,211 | ||||||||||||
|
| |||||||||||
Consumer Discretionary — 0.97% |
| |||||||||||
Anheuser-Busch InBev Worldwide, Inc. |
| |||||||||||
3.50% | 06/01/30 | 1,090,000 | 1,181,785 | |||||||||
4.38% | 04/15/38 | 725,000 | 825,057 | |||||||||
4.75% | 01/23/29 | 730,000 | 853,591 | |||||||||
Bacardi Ltd. |
| |||||||||||
(Bermuda) |
| |||||||||||
4.45% | 05/15/25 | 1,3 | 1,045,000 | 1,162,745 | ||||||||
BAT Capital Corp. |
| |||||||||||
2.73% | 03/25/31 | 555,000 | 539,933 | |||||||||
3.46% | 09/06/29 | 770,000 | 804,647 | |||||||||
4.39% | 08/15/37 | 830,000 | 871,190 | |||||||||
Reynolds American, Inc. |
| |||||||||||
4.45% | 06/12/25 | 365,000 | 405,240 | |||||||||
5.70% | 08/15/35 | 940,000 | 1,115,463 | |||||||||
|
| |||||||||||
7,759,651 | ||||||||||||
|
| |||||||||||
Electric — 1.20% |
| |||||||||||
AEP Texas, Inc. |
| |||||||||||
3.85% | 10/01/25 | 1 | 1,150,000 | 1,256,553 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Electric (continued) |
| |||||||||||
Duke Energy Corp. |
| |||||||||||
2.65% | 09/01/26 | $ | 30,000 | $ | 31,413 | |||||||
Duquesne Light Holdings, Inc. |
| |||||||||||
5.90% | 12/01/21 | 1 | 395,000 | 407,955 | ||||||||
Evergy Missouri West, Inc. |
| |||||||||||
8.27% | 11/15/21 | 1,995,000 | 2,083,210 | |||||||||
FirstEnergy Transmission LLC |
| |||||||||||
2.87% | 09/15/28 | 1 | 853,000 | 861,320 | ||||||||
Jersey Central Power & Light Co. |
| |||||||||||
4.70% | 04/01/24 | 1 | 995,000 | 1,082,962 | ||||||||
Metropolitan Edison Co. |
| |||||||||||
4.00% | 04/15/25 | 1 | 770,000 | 817,943 | ||||||||
Public Service Co. of New Mexico |
| |||||||||||
3.85% | 08/01/25 | 1,405,000 | 1,511,145 | |||||||||
Southwestern Electric Power Co. |
| |||||||||||
3.55% | 02/15/22 | 955,000 | 972,994 | |||||||||
Tucson Electric Power Co. |
| |||||||||||
3.85% | 03/15/23 | 595,000 | 628,846 | |||||||||
|
| |||||||||||
9,654,341 | ||||||||||||
|
| |||||||||||
Energy — 1.96% |
| |||||||||||
Brooklyn Union Gas Co. (The) |
| |||||||||||
3.41% | 03/10/26 | 1 | 2,555,000 | 2,752,468 | ||||||||
ConocoPhillips |
| |||||||||||
3.75% | 10/01/27 | 1 | 30,000 | 33,177 | ||||||||
Energy Transfer Operating LP |
| |||||||||||
3.75% | 05/15/30 | 1,615,000 | 1,669,521 | |||||||||
4.75% | 01/15/26 | 130,000 | 144,196 | |||||||||
4.95% | 06/15/28 | 1,000,000 | 1,119,724 | |||||||||
5.50% | 06/01/27 | 531,000 | 613,148 | |||||||||
Petroleos Mexicanos |
| |||||||||||
(Mexico) |
| |||||||||||
2.00% | 12/20/22 | 3 | 600,000 | 609,126 | ||||||||
5.95% | 01/28/31 | 3 | 2,360,000 | 2,262,768 | ||||||||
6.63% | 06/15/35 | 3 | 1,780,000 | 1,696,064 | ||||||||
Plains All American Pipeline LP/PAA Finance Corp. |
| |||||||||||
4.50% | 12/15/26 | 780,000 | 857,595 | |||||||||
Rockies Express Pipeline LLC |
| |||||||||||
4.80% | 05/15/30 | 1 | 400,000 | 396,250 | ||||||||
4.95% | 07/15/29 | 1 | 1,000,000 | 1,023,526 | ||||||||
Ruby Pipeline LLC |
| |||||||||||
8.00% | 04/01/22 | 1,5,6 | 613,068 | 513,506 | ||||||||
Sabine Pass Liquefaction LLC |
| |||||||||||
5.75% | 05/15/24 | 1,081,000 | 1,222,347 | |||||||||
Sunoco Logistics Partners Operations LP |
| |||||||||||
3.45% | 01/15/23 | 105,000 | 109,048 | |||||||||
USA Compression Partners LP/USA Compression Finance Corp. |
| |||||||||||
6.88% | 04/01/26 | 60,000 | 61,650 | |||||||||
6.88% | 09/01/27 | 181,000 | 186,736 | |||||||||
Williams Cos., Inc. (The) |
| |||||||||||
3.35% | 08/15/22 | 480,000 | 494,502 | |||||||||
|
| |||||||||||
15,765,352 | ||||||||||||
|
|
See accompanying Notes to Financial Statements.
95 / Annual Report March 2021 |
Table of Contents
Intermediate Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Entertainment — 0.03% |
| |||||||||||
Live Nation Entertainment, Inc. |
| |||||||||||
4.75% | 10/15/27 | 1 | $ | 227,000 | $ | 229,058 | ||||||
|
| |||||||||||
Finance — 4.25% |
| |||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland) |
| |||||||||||
3.50% | 05/26/22 | 3 | 355,000 | 364,459 | ||||||||
3.65% | 07/21/27 | 3 | 355,000 | 372,814 | ||||||||
3.95% | 02/01/22 | 3 | 160,000 | 163,740 | ||||||||
4.45% | 12/16/21 | 3 | 750,000 | 767,368 | ||||||||
Air Lease Corp. |
| |||||||||||
2.25% | 01/15/23 | 1,000,000 | 1,026,887 | |||||||||
3.25% | 03/01/25 | 820,000 | 863,098 | |||||||||
3.25% | 10/01/29 | 525,000 | 528,305 | |||||||||
Avolon Holdings Funding Ltd. |
| |||||||||||
(Cayman Islands) |
| |||||||||||
2.88% | 02/15/25 | 1,3 | 1,160,000 | 1,163,257 | ||||||||
5.13% | 10/01/23 | 1,3 | 75,000 | 80,015 | ||||||||
Citigroup, Inc. |
| |||||||||||
4.41% | 03/31/31 | 4 | 985,000 | 1,125,364 | ||||||||
Daimler Finance North America LLC |
| |||||||||||
(LIBOR USD 3-Month plus 0.90%) |
| |||||||||||
1.09% | 02/15/22 | 1,2 | 1,900,000 | 1,912,976 | ||||||||
Durrah MSN 35603 |
| |||||||||||
(Cayman Islands) |
| |||||||||||
1.68% | 01/22/25 | 3 | 2,269,361 | 2,327,264 | ||||||||
Ford Motor Credit Co. LLC |
| |||||||||||
3.22% | 01/09/22 | 500,000 | 506,725 | |||||||||
3.34% | 03/28/22 | 40,000 | 40,550 | |||||||||
3.81% | 10/12/21 | 385,000 | 389,809 | |||||||||
(LIBOR USD 3-Month plus 0.81%) |
| |||||||||||
1.05% | 04/05/21 | 2 | 850,000 | 850,000 | ||||||||
GE Capital Funding LLC |
| |||||||||||
4.40% | 05/15/30 | 1 | 1,322,000 | 1,497,819 | ||||||||
GE Capital International Funding Co. |
| |||||||||||
(Ireland) |
| |||||||||||
4.42% | 11/15/35 | 3 | 1,405,000 | 1,609,885 | ||||||||
General Motors Financial Co., Inc. |
| |||||||||||
3.15% | 06/30/22 | 495,000 | 508,850 | |||||||||
3.20% | 07/06/21 | 1,040,000 | 1,044,551 | |||||||||
3.45% | 04/10/22 | 120,000 | 122,920 | |||||||||
3.55% | 04/09/21 | 1,000,000 | 1,000,354 | |||||||||
4.20% | 11/06/21 | 265,000 | 270,788 | |||||||||
4.38% | 09/25/21 | 220,000 | 224,094 | |||||||||
Goldman Sachs Group, Inc. (The) |
| |||||||||||
1.43% | 03/09/27 | 4 | 1,960,000 | 1,942,247 | ||||||||
3.27% | 09/29/25 | 4 | 725,000 | 776,968 | ||||||||
3.75% | 02/25/26 | 20,000 | 21,985 | |||||||||
Intercontinental Exchange, Inc. |
| |||||||||||
1.85% | 09/15/32 | 870,000 | 797,521 | |||||||||
Nationwide Building Society |
| |||||||||||
(United Kingdom) |
| |||||||||||
3.62% | 04/26/23 | 1,3,4 | 390,000 | 402,401 | ||||||||
3.77% | 03/08/24 | 1,3,4 | 1,140,000 | 1,204,879 | ||||||||
4.36% | 08/01/24 | 1,3,4 | 1,085,000 | 1,172,080 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Finance (continued) |
| |||||||||||
Park Aerospace Holdings Ltd. |
| |||||||||||
(Cayman Islands) |
| |||||||||||
4.50% | 03/15/23 | 1,3 | $ | 860,000 | $ | 898,568 | ||||||
5.25% | 08/15/22 | 1,3 | 675,000 | 708,848 | ||||||||
5.50% | 02/15/24 | 1,3 | 140,000 | 152,284 | ||||||||
Raymond James Financial, Inc. |
| |||||||||||
5.63% | 04/01/24 | 1,990,000 | 2,275,536 | |||||||||
Safina Ltd. |
| |||||||||||
(Cayman Islands) |
| |||||||||||
2.00% | 12/30/23 | 3 | 3,440,247 | 3,531,936 | ||||||||
Sandalwood 2013 LLC |
| |||||||||||
2.90% | 07/10/25 | 1,378,372 | 1,451,327 | |||||||||
|
| |||||||||||
34,098,472 | ||||||||||||
|
| |||||||||||
Food — 0.58% |
| |||||||||||
Conagra Brands, Inc. |
| |||||||||||
4.60% | 11/01/25 | 1,400,000 | 1,590,546 | |||||||||
Kraft Heinz Foods Co. |
| |||||||||||
5.00% | 07/15/35 | 2,295,000 | 2,652,905 | |||||||||
6.88% | 01/26/39 | 245,000 | 339,276 | |||||||||
Pilgrim’s Pride Corp. |
| |||||||||||
5.88% | 09/30/27 | 1 | 65,000 | 69,736 | ||||||||
|
| |||||||||||
4,652,463 | ||||||||||||
|
| |||||||||||
Gaming — 0.03% |
| |||||||||||
Caesars Entertainment, Inc. |
| |||||||||||
6.25% | 07/01/25 | 1 | 230,000 | 245,472 | ||||||||
|
| |||||||||||
Health Care — 3.88% |
| |||||||||||
AbbVie, Inc. |
| |||||||||||
3.60% | 05/14/25 | 1,152,000 | 1,255,701 | |||||||||
3.85% | 06/15/24 | 1,342,000 | 1,461,972 | |||||||||
Advocate Health & Hospitals Corp., |
| |||||||||||
Series 2020 |
| |||||||||||
2.21% | 06/15/30 | 103,000 | 102,346 | |||||||||
Aetna, Inc. |
| |||||||||||
2.80% | 06/15/23 | 50,000 | 52,175 | |||||||||
3.50% | 11/15/24 | 1,250,000 | 1,350,863 | |||||||||
Alcon Finance Corp. |
| |||||||||||
2.75% | 09/23/26 | 1 | 2,300,000 | 2,434,494 | ||||||||
Amgen, Inc. |
| |||||||||||
3.63% | 05/15/22 | 50,000 | 51,221 | |||||||||
Bayer U.S. Finance II LLC |
| |||||||||||
4.25% | 12/15/25 | 1 | 575,000 | 640,430 | ||||||||
4.38% | 12/15/28 | 1 | 2,900,000 | 3,277,501 | ||||||||
5.50% | 08/15/25 | 1 | 1,100,000 | 1,245,791 | ||||||||
Bayer U.S. Finance LLC |
| |||||||||||
3.38% | 10/08/24 | 1 | 1,020,000 | 1,100,117 | ||||||||
Baylor Scott & White Holdings |
| |||||||||||
2.65% | 11/15/26 | 1,530,000 | 1,566,936 | |||||||||
Becton Dickinson and Co. |
| |||||||||||
3.36% | 06/06/24 | 1,300,000 | 1,394,560 | |||||||||
Cigna Corp. |
| |||||||||||
4.13% | 11/15/25 | 2,365,000 | 2,638,606 | |||||||||
CommonSpirit Health |
| |||||||||||
2.78% | 10/01/30 | 810,000 | 826,204 |
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 96
|
Table of Contents
Intermediate Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Health Care (continued) |
| |||||||||||
CVS Health Corp. |
| |||||||||||
2.88% | 06/01/26 | $ | 50,000 | $ | 53,149 | |||||||
3.25% | 08/15/29 | 2,890,000 | 3,057,986 | |||||||||
DENTSPLY SIRONA, Inc. |
| |||||||||||
3.25% | 06/01/30 | 1,000,000 | 1,046,771 | |||||||||
Elanco Animal Health, Inc. |
| |||||||||||
4.91% | 08/27/21 | 1,000,000 | 1,010,625 | |||||||||
HCA, Inc. |
| |||||||||||
4.13% | 06/15/29 | 1,145,000 | 1,269,193 | |||||||||
5.00% | 03/15/24 | 1,105,000 | 1,231,440 | |||||||||
5.25% | 04/15/25 | 206,000 | 235,406 | |||||||||
5.25% | 06/15/26 | 1,070,000 | 1,232,320 | |||||||||
Hologic, Inc. |
| |||||||||||
4.63% | 02/01/28 | 1 | 60,000 | 63,075 | ||||||||
Humana, Inc. |
| |||||||||||
3.85% | 10/01/24 | 860,000 | 940,037 | |||||||||
3.95% | 03/15/27 | 885,000 | 987,913 | |||||||||
Royalty Pharma PLC (United Kingdom) |
| |||||||||||
2.20% | 09/02/30 | 1,3 | 675,000 | 645,614 | ||||||||
|
| |||||||||||
31,172,446 | ||||||||||||
|
| |||||||||||
Industrials — 1.13% |
| |||||||||||
Amcor Finance USA, Inc. |
| |||||||||||
3.63% | 04/28/26 | 1,950,000 | 2,134,160 | |||||||||
BAE Systems Holdings, Inc. |
| |||||||||||
3.80% | 10/07/24 | 1 | 630,000 | 691,937 | ||||||||
Berry Global, Inc. |
| |||||||||||
0.95% | 02/15/24 | 1 | 415,000 | 413,290 | ||||||||
1.57% | 01/15/26 | 1 | 180,000 | 177,361 | ||||||||
Crane Co. | ||||||||||||
4.45% | 12/15/23 | 1,130,000 | 1,228,896 | |||||||||
General Electric Co. |
| |||||||||||
(MTN) | ||||||||||||
(LIBOR USD 3-Month plus 0.38%) |
| |||||||||||
0.58% | 05/05/26 | 2 | 1,090,000 | 1,062,005 | ||||||||
(LIBOR USD 3-Month plus 0.48%) |
| |||||||||||
0.67% | 08/15/36 | 2 | 1,115,000 | 903,450 | ||||||||
General Electric Co., |
| |||||||||||
Series A (MTN) | ||||||||||||
6.75% | 03/15/32 | 250,000 | 335,256 | |||||||||
L3Harris Technologies, Inc. |
| |||||||||||
3.85% | 06/15/23 | 410,000 | 437,683 | |||||||||
Mauser Packaging Solutions Holding Co. |
| |||||||||||
5.50% | 04/15/24 | 1 | 65,000 | 65,975 | ||||||||
PowerTeam Services LLC |
| |||||||||||
9.03% | 12/04/25 | 1 | 227,000 | 250,563 | ||||||||
Sealed Air Corp. |
| |||||||||||
4.00% | 12/01/27 | 1 | 65,000 | 66,788 | ||||||||
Sydney Airport Finance Co. Pty Ltd. |
| |||||||||||
(Australia) | ||||||||||||
3.38% | 04/30/25 | 1,3 | 410,000 | 436,840 | ||||||||
WRKCo, Inc. | ||||||||||||
4.65% | 03/15/26 | 730,000 | 829,351 | |||||||||
|
| |||||||||||
9,033,555 | ||||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Information Technology — 0.29% |
| |||||||||||
Apple, Inc. | ||||||||||||
3.25% | 02/23/26 | $ | 20,000 | $ | 21,858 | |||||||
Broadcom, Inc. | ||||||||||||
3.63% | 10/15/24 | 215,000 | 234,003 | |||||||||
Change Healthcare Holdings LLC/Change Healthcare Finance, Inc. |
| |||||||||||
5.75% | 03/01/25 | 1 | 65,000 | 66,206 | ||||||||
Oracle Corp. |
| |||||||||||
2.40% | 09/15/23 | 40,000 | 41,631 | |||||||||
2.88% | 03/25/31 | 1,955,000 | 1,991,153 | |||||||||
|
| |||||||||||
2,354,851 | ||||||||||||
|
| |||||||||||
Insurance — 0.31% |
| |||||||||||
Berkshire Hathaway, Inc. |
| |||||||||||
3.13% | 03/15/26 | 55,000 | 59,916 | |||||||||
Equitable Financial Life Global Funding |
| |||||||||||
1.80% | 03/08/28 | 1 | 1,190,000 | 1,164,396 | ||||||||
Nationwide Mutual Insurance Co. |
| |||||||||||
2.47% | 12/15/24 | 1,4 | 1,212,000 | 1,211,335 | ||||||||
New York Life Global Funding |
| |||||||||||
3.00% | 01/10/28 | 1 | 50,000 | 53,370 | ||||||||
|
| |||||||||||
2,489,017 | ||||||||||||
|
| |||||||||||
Materials — 0.19% |
| |||||||||||
International Flavors & Fragrances, Inc. |
| |||||||||||
4.45% | 09/26/28 | 800,000 | 907,921 | |||||||||
Nutrition & Biosciences, Inc. |
| |||||||||||
2.30% | 11/01/30 | 1 | 635,000 | 616,033 | ||||||||
|
| |||||||||||
1,523,954 | ||||||||||||
|
| |||||||||||
Real Estate Investment Trust (REIT) — 1.99% |
| |||||||||||
American Campus Communities Operating Partnership LP |
| |||||||||||
3.75% | 04/15/23 | 50,000 | 52,888 | |||||||||
4.13% | 07/01/24 | 1,250,000 | 1,368,034 | |||||||||
CyrusOne LP/CyrusOne Finance Corp. |
| |||||||||||
2.90% | 11/15/24 | 1,450,000 | 1,534,673 | |||||||||
3.45% | 11/15/29 | 1,000,000 | 1,031,088 | |||||||||
GLP Capital LP/GLP Financing II, Inc. |
| |||||||||||
3.35% | 09/01/24 | 1,140,000 | 1,210,053 | |||||||||
5.25% | 06/01/25 | 685,000 | 769,351 | |||||||||
5.38% | 11/01/23 | 30,000 | 32,841 | |||||||||
5.38% | 04/15/26 | 1,373,000 | 1,544,247 | |||||||||
5.75% | 06/01/28 | 325,000 | 375,854 | |||||||||
Healthcare Realty Trust, Inc. |
| |||||||||||
3.88% | 05/01/25 | 1,400,000 | 1,519,671 | |||||||||
Life Storage LP | ||||||||||||
2.20% | 10/15/30 | 1,000,000 | 948,802 | |||||||||
Piedmont Operating Partnership LP |
| |||||||||||
3.40% | 06/01/23 | 1,210,000 | 1,257,366 | |||||||||
SL Green Operating Partnership LP |
| |||||||||||
3.25% | 10/15/22 | 1,350,000 | 1,399,696 | |||||||||
(LIBOR USD 3-Month plus 0.98%) |
| |||||||||||
1.17% | 08/16/21 | 2 | 1,000,000 | 1,000,033 | ||||||||
Ventas Realty LP | ||||||||||||
3.25% | 10/15/26 | 1,155,000 | 1,246,877 |
See accompanying Notes to Financial Statements.
97 / Annual Report March 2021 |
Table of Contents
Intermediate Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Real Estate Investment Trust (REIT) (continued) |
| |||||||||||
Welltower, Inc. |
| |||||||||||
3.75% | 03/15/23 | $ | 640,000 | $ | 676,086 | |||||||
|
| |||||||||||
15,967,560 | ||||||||||||
|
| |||||||||||
Retail — 0.34% |
| |||||||||||
1011778 BC ULC/New Red Finance, Inc. |
| |||||||||||
(Canada) | ||||||||||||
3.50% | 02/15/29 | 1,3 | 405,000 | 394,281 | ||||||||
7-Eleven, Inc. | ||||||||||||
0.80% | 02/10/24 | 1 | 1,565,000 | 1,560,485 | ||||||||
Alimentation Couche-Tard, Inc. |
| |||||||||||
(Canada) | ||||||||||||
2.70% | 07/26/22 | 1,3 | 10,000 | 10,268 | ||||||||
3.55% | 07/26/27 | 1,3 | 640,000 | 696,168 | ||||||||
Walgreens Boots Alliance, Inc. |
| |||||||||||
3.80% | 11/18/24 | 65,000 | 70,747 | |||||||||
|
| |||||||||||
2,731,949 | ||||||||||||
|
| |||||||||||
Services — 0.47% |
| |||||||||||
GFL Environmental, Inc. |
| |||||||||||
(Canada) |
| |||||||||||
3.75% | 08/01/25 | 1,3 | 600,000 | 610,125 | ||||||||
IHS Markit Ltd. |
| |||||||||||
(Bermuda) | ||||||||||||
4.13% | 08/01/23 | 3 | 1,245,000 | 1,336,103 | ||||||||
4.75% | 02/15/25 | 1,3 | 1,340,000 | 1,502,073 | ||||||||
Waste Pro USA, Inc. |
| |||||||||||
5.50% | 02/15/26 | 1 | 274,000 | 281,303 | ||||||||
|
| |||||||||||
3,729,604 | ||||||||||||
|
| |||||||||||
Transportation — 0.44% |
| |||||||||||
Continental Airlines Pass-Through Trust, |
| |||||||||||
Series 2007-1, Class A |
| |||||||||||
5.98% | 04/19/22 | 1,365,938 | 1,394,645 | |||||||||
Delta Air Lines Pass-Through Trust, |
| |||||||||||
Series 2002-1, Class G1 |
| |||||||||||
6.72% | 01/02/23 | 259,630 | 268,068 | |||||||||
Northwest Airlines Pass-Through Trust, |
| |||||||||||
Series 2001-1, Class A1 |
| |||||||||||
7.04% | 04/01/22 | 793,888 | 819,132 | |||||||||
U.S. Airways Pass-Through Trust, |
| |||||||||||
Series 2011-1, Class A |
| |||||||||||
7.13% | 10/22/23 | 470,645 | 484,880 | |||||||||
U.S. Airways Pass-Through Trust, |
| |||||||||||
Series 2012-1, Class A |
| |||||||||||
5.90% | 10/01/24 | 324,065 | 335,407 | |||||||||
U.S. Airways Pass-Through Trust, |
| |||||||||||
Series 2012-2, Class A |
| |||||||||||
4.63% | 06/03/25 | 281,539 | 265,883 | |||||||||
|
| |||||||||||
3,568,015 | ||||||||||||
|
| |||||||||||
Total Corporates |
| |||||||||||
(Cost $197,251,278) |
| 204,208,911 | ||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED — 20.16%** |
| |||||||||||
Non-Agency Commercial Mortgage- Backed — 2.14% |
| |||||||||||
Banc of America Merrill Lynch Commercial Mortgage Trust, |
| |||||||||||
Series 2018-PARK, Class A |
| |||||||||||
4.09% | 08/10/38 | 1,4 | $ | 1,095,000 | $ | 1,230,693 | ||||||
BX Trust, | ||||||||||||
Series 2019-OC11, Class A |
| |||||||||||
3.20% | 12/09/41 | 1 | 375,000 | 392,875 | ||||||||
CALI Mortgage Trust, |
| |||||||||||
Series 2019-101C, Class A |
| |||||||||||
3.96% | 03/10/39 | 1 | 805,000 | 901,341 | ||||||||
Century Plaza Towers, |
| |||||||||||
Series 2019-CPT, Class A |
| |||||||||||
2.87% | 11/13/39 | 1 | 715,000 | 742,220 | ||||||||
Citigroup Commercial Mortgage Trust, |
| |||||||||||
Series 2016-GC36, Class A5 |
| |||||||||||
3.62% | 02/10/49 | 3,250,000 | 3,558,697 | |||||||||
Citigroup Commercial Mortgage Trust, |
| |||||||||||
Series 2016-GC37, Class A4 |
| |||||||||||
3.31% | 04/10/49 | 1,000,000 | 1,081,174 | |||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2014-UBS2, Class XA (IO) |
| |||||||||||
1.15% | 03/10/47 | 4 | 23,648,509 | 643,901 | ||||||||
DC Office Trust, |
| |||||||||||
Series 2019-MTC, Class A |
| |||||||||||
2.97% | 09/15/45 | 1 | 765,000 | 799,561 | ||||||||
Hudson Yards Mortgage Trust, |
| |||||||||||
Series 2019-30HY, Class A |
| |||||||||||
3.23% | 07/10/39 | 1 | 760,000 | 811,522 | ||||||||
Hudson Yards Mortgage Trust, |
| |||||||||||
Series 2019-55HY, Class A |
| |||||||||||
2.94% | 12/10/41 | 1,4 | 765,000 | 800,671 | ||||||||
JPMBB Commercial Mortgage Securities Trust, |
| |||||||||||
Series 2015-C29, Class XA (IO) |
| |||||||||||
0.65% | 05/15/48 | 4 | 28,584,327 | 658,640 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, |
| |||||||||||
Series 2019-OSB, Class A |
| |||||||||||
3.40% | 06/05/39 | 1 | 740,000 | 798,992 | ||||||||
MKT Mortgage Trust, |
| |||||||||||
Series 2020-525M, Class A |
| |||||||||||
2.69% | 02/12/40 | 1 | 945,000 | 965,806 | ||||||||
Natixis Commercial Mortgage Securities Trust, |
| |||||||||||
Series 2020-2PAC, Class A |
| |||||||||||
2.97% | 12/15/38 | 1 | 775,000 | 809,481 | ||||||||
One Bryant Park Trust, |
| |||||||||||
Series 2019-OBP, Class A |
| |||||||||||
2.52% | 09/15/54 | 1 | 960,000 | 973,631 | ||||||||
RBS Commercial Funding, Inc., Trust, |
| |||||||||||
Series 2013-GSP, Class A |
| |||||||||||
3.83% | 01/15/32 | 1,4 | 560,000 | 584,993 | ||||||||
SFAVE Commercial Mortgage Securities Trust, |
| |||||||||||
Series 2015-5AVE, Class A2B |
| |||||||||||
4.14% | 01/05/43 | 1,4 | 45,000 | 43,482 | ||||||||
Wells Fargo Commercial Mortgage Trust, |
| |||||||||||
Series 2015-C26, Class XA (IO) |
| |||||||||||
1.21% | 02/15/48 | 4 | 34,097,712 | 1,326,220 | ||||||||
|
| |||||||||||
17,123,900 | ||||||||||||
|
|
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 98 |
Table of Contents
Intermediate Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
Non-Agency Mortgage-Backed — 5.31% |
| |||||||||
ACE Securities Corp. Home Equity Loan Trust, |
| |||||||||
Series 2005-HE2, Class M5 |
| |||||||||
(LIBOR USD 1-Month plus 1.02%) |
| |||||||||
1.13% | 04/25/352 | $ | 4,582,129 | $ | 4,580,872 | |||||
Amresco Residential Securities Corp. Mortgage Loan Trust, |
| |||||||||
Series 1998-1, Class A5 (STEP-reset date 05/25/21) |
| |||||||||
7.40% | 10/25/27 | 12,485 | 12,732 | |||||||
Asset-Backed Securities Corp. Home Equity Loan Trust, |
| |||||||||
Series 2004-HE9, Class M1 |
| |||||||||
(LIBOR USD 1-Month plus 0.98%) |
| |||||||||
1.08% | 12/25/342 | 399,296 | 393,803 | |||||||
Banc of America Funding Trust, |
| |||||||||
Series 2003-2, Class 1A1 |
| |||||||||
6.50% | 06/25/32 | 3,910 | 3,997 | |||||||
Bear Stearns ALT-A Trust, |
| |||||||||
Series 2004-12, Class 1M1 |
| |||||||||
(LIBOR USD 1-Month plus 0.93%) |
| |||||||||
1.04% | 01/25/352 | 3,275,612 | 3,256,902 | |||||||
Bear Stearns Asset-Backed Securities I Trust, |
| |||||||||
Series 2005-HE12, Class M2 |
| |||||||||
(LIBOR USD 1-Month plus 0.75%) |
| |||||||||
0.86% | 12/25/352 | 464,009 | 462,955 | |||||||
Chevy Chase Mortgage Funding LLC, Mortgage- Backed Certificates, |
| |||||||||
Series 2005-2A, Class A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.18%) |
| |||||||||
0.29% | 05/25/361,2 | 56,542 | 53,628 | |||||||
Citigroup Mortgage Loan Trust, Inc., |
| |||||||||
Series 2004-HYB1, Class A41 |
| |||||||||
2.06% | 02/25/344 | 6,723 | 6,725 | |||||||
Conseco Finance Corp., |
| |||||||||
Series 1996-7, Class M1 |
| |||||||||
7.70% | 09/15/264 | 48,800 | 49,660 | |||||||
Conseco Finance Corp., |
| |||||||||
Series 1998-4, Class A5 |
| |||||||||
6.18% | 04/01/30 | 40,248 | 40,273 | |||||||
Conseco Finance Corp., |
| |||||||||
Series 1998-6, Class A8 |
| |||||||||
6.66% | 06/01/304 | 28,441 | 28,621 | |||||||
Countrywide Home Loan Mortgage Pass- Through Trust, |
| |||||||||
Series 2004-14, Class 4A1 |
| |||||||||
2.66% | 08/25/344 | 73,614 | 71,790 | |||||||
Credit-Based Asset Servicing and Securitization LLC, |
| |||||||||
Series 2003-CB3, Class AF1 (STEP-reset date 05/25/21) |
| |||||||||
3.38% | 12/25/32 | 637,752 | 637,272 | |||||||
Credit-Based Asset Servicing and Securitization LLC, |
| |||||||||
Series 2006-CB2, Class AF4 (STEP-reset date 05/25/21) |
| |||||||||
3.10% | 12/25/36 | 406,462 | 406,720 | |||||||
Credit-Based Asset Servicing and Securitization LLC, |
| |||||||||
Series 2007-CB5, Class A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.06%) |
| |||||||||
0.17% | 04/25/372 | 119,566 | 87,114 | |||||||
Credit-Based Asset Servicing and Securitization LLC, |
| |||||||||
Series 2007-CB5, Class A3 |
| |||||||||
(LIBOR USD 1-Month plus 0.25%) |
| |||||||||
0.36% | 04/25/372 | 1,420,749 | 1,063,624 |
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
Non-Agency Mortgage-Backed (continued) |
| |||||||||
First Franklin Mortgage Loan Trust, |
| |||||||||
Series 2005-FFH4, Class M1 |
| |||||||||
(LIBOR USD 1-Month plus 0.72%) |
| |||||||||
0.83% | 12/25/352 | $ | 1,184,648 | $ | 1,186,167 | |||||
First Horizon Alternative Mortgage Securities Trust, |
| |||||||||
Series 2004-AA3, Class A1 |
| |||||||||
2.29% | 09/25/344 | 77,825 | 77,405 | |||||||
GSR Mortgage Loan Trust, |
| |||||||||
Series 2004-9, Class 5A7 |
| |||||||||
2.94% | 08/25/344 | 29,721 | 30,007 | |||||||
HarborView Mortgage Loan Trust, |
| |||||||||
Series 2007-7, Class 2A1A |
| |||||||||
(LIBOR USD 1-Month plus 1.00%) |
| |||||||||
1.11% | 10/25/372 | 2,127,581 | 2,145,579 | |||||||
HomeBanc Mortgage Trust, |
| |||||||||
Series 2005-4, Class A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.54%) |
| |||||||||
0.65% | 10/25/352 | 26,167 | 26,455 | |||||||
HSI Asset Securitization Corp. Trust, |
| |||||||||
Series 2005-OPT1, Class M1 |
| |||||||||
(LIBOR USD 1-Month plus 0.63%) |
| |||||||||
0.74% | 11/25/352 | 333,100 | 331,806 | |||||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||
Series 2004-AR7, Class A2 |
| |||||||||
(LIBOR USD 1-Month plus 0.86%) |
| |||||||||
0.97% | 09/25/342 | 9,628 | 9,314 | |||||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||
Series 2004-AR8, Class 2A2A |
| |||||||||
(LIBOR USD 1-Month plus 0.80%) |
| |||||||||
0.91% | 11/25/342 | 28,441 | 27,453 | |||||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||
Series 2007-AR11, Class 1A1 |
| |||||||||
3.00% | 06/25/374 | 636,973 | 613,157 | |||||||
IndyMac Manufactured Housing Contract Pass-Through Certificates, |
| |||||||||
Series 1997-1, Class A3 |
| |||||||||
6.61% | 02/25/28 | 48,390 | 48,845 | |||||||
IndyMac Manufactured Housing Contract Pass-Through Certificates, |
| |||||||||
Series 1997-1, Class A4 |
| |||||||||
6.75% | 02/25/28 | 12,882 | 13,011 | |||||||
IndyMac Manufactured Housing Contract Pass-Through Certificates, |
| |||||||||
Series 1998-1, Class A4 |
| |||||||||
6.49% | 09/25/28 | 76,391 | 79,210 | |||||||
JPMorgan Mortgage Acquisition Trust, |
| |||||||||
Series 2006-CH1, Class M2 |
| |||||||||
(LIBOR USD 1-Month plus 0.29%) |
| |||||||||
0.40% | 07/25/362 | 3,745,000 | 3,727,433 | |||||||
JPMorgan Mortgage Trust, |
| |||||||||
Series 2007-A3, Class 3A2 |
| |||||||||
3.58% | 05/25/374 | 153,918 | 154,590 | |||||||
MASTR Adjustable Rate Mortgages Trust, |
| |||||||||
Series 2003-6, Class 4A2 |
| |||||||||
3.14% | 01/25/344 | 76,262 | 82,562 |
See accompanying Notes to Financial Statements.
99 / Annual Report March 2021 |
Table of Contents
Intermediate Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
Non-Agency Mortgage-Backed (continued) |
| |||||||||
MASTR Adjustable Rate Mortgages Trust, |
| |||||||||
Series 2004-5, Class 3A1 |
| |||||||||
4.12% | 06/25/344 | $ | 1,781 | $ | 1,817 | |||||
MASTR Adjustable Rate Mortgages Trust, |
| |||||||||
Series 2007-HF2, Class A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.62%) |
| |||||||||
0.73% | 09/25/372 | 1,793,997 | 1,767,224 | |||||||
MASTR Seasoned Securitization Trust, |
| |||||||||
Series 2004-1, Class 4A1 |
| |||||||||
2.69% | 10/25/324 | 5,273 | 5,493 | |||||||
MASTR Seasoned Securitization Trust, |
| |||||||||
Series 2005-1, Class 4A1 |
| |||||||||
2.73% | 10/25/324 | 18,676 | 19,434 | |||||||
Merrill Lynch First Franklin Mortgage Loan Trust, |
| |||||||||
Series 2007-3, Class A2C |
| |||||||||
(LIBOR USD 1-Month plus 0.18%) |
| |||||||||
0.29% | 06/25/372 | 402,164 | 298,131 | |||||||
Merrill Lynch First Franklin Mortgage Loan Trust, |
| |||||||||
Series 2007-3, Class A2D |
| |||||||||
(LIBOR USD 1-Month plus 0.25%) |
| |||||||||
0.36% | 06/25/372 | 743,189 | 687,300 | |||||||
Mid-State Capital Corp. Trust, |
| |||||||||
Series 2004-1, Class A |
| |||||||||
6.01% | 08/15/37 | 199,622 | 212,393 | |||||||
Mid-State Capital Corp. Trust, |
| |||||||||
Series 2004-1, Class B |
| |||||||||
8.90% | 08/15/37 | 273,992 | 309,052 | |||||||
Mid-State Capital Corp. Trust, |
| |||||||||
Series 2004-1, Class M1 |
| |||||||||
6.50% | 08/15/37 | 195,708 | 212,396 | |||||||
Mid-State Capital Corp. Trust, |
| |||||||||
Series 2005-1, Class M2 |
| |||||||||
7.08% | 01/15/40 | 385,305 | 430,399 | |||||||
Mid-State Trust XI, |
| |||||||||
Series 11, Class A1 |
| |||||||||
4.86% | 07/15/38 | 512,709 | 547,176 | |||||||
Morgan Stanley ABS Capital I Trust, |
| |||||||||
Series 2004-NC7, Class M2 |
| |||||||||
(LIBOR USD 1-Month plus 0.93%) |
| |||||||||
1.04% | 07/25/342 | 148,315 | 146,817 | |||||||
Nationstar Home Equity Loan Trust, |
| |||||||||
Series 2007-B, Class 1AV1 |
| |||||||||
(LIBOR USD 1-Month plus 0.22%) |
| |||||||||
0.33% | 04/25/372 | 3,516,479 | 3,487,507 | |||||||
New Century Home Equity Loan Trust, |
| |||||||||
Series 2005-1, Class M1 |
| |||||||||
(LIBOR USD 1-Month plus 0.68%) |
| |||||||||
0.78% | 03/25/352 | 4,119,326 | 4,100,121 | |||||||
New Century Home Equity Loan Trust, |
| |||||||||
Series 2005-D, Class A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.22%) |
| |||||||||
0.33% | 02/25/362 | 2,362,768 | 2,344,960 | |||||||
New York Mortgage Trust, |
| |||||||||
Series 2005-3, Class A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.48%) |
| |||||||||
0.59% | 02/25/362 | 739,746 | 741,919 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Mortgage-Backed (continued) |
| |||||||||||
Option One Mortgage Loan Trust, |
| |||||||||||
Series 2005-2, Class M1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.66%) |
| |||||||||||
0.77% | 05/25/352 | $ | 107,080 | $ | 107,059 | |||||||
RBSSP Resecuritization Trust, |
| |||||||||||
Series 2009-12, Class 17A2 |
| |||||||||||
2.78% | 10/25/351,4 | 2,792,909 | 2,762,153 | |||||||||
Residential Asset Mortgage Products Trust, |
| |||||||||||
Series 2003-SL1, Class A41 |
| |||||||||||
8.00% | 04/25/31 | 18,999 | 19,997 | |||||||||
Residential Asset Mortgage Products Trust, |
| |||||||||||
Series 2004-SL1, Class A7 |
| |||||||||||
7.00% | 11/25/31 | 8,564 | 8,828 | |||||||||
Residential Asset Mortgage Products Trust, |
| |||||||||||
Series 2006-NC1, Class A3 |
| |||||||||||
(LIBOR USD 1-Month plus 0.30%) |
| |||||||||||
0.72% | 01/25/362 | 1,034,413 | 1,029,883 | |||||||||
Residential Asset Securities Corp., |
| |||||||||||
Series 2005-AHL3, Class A3 |
| |||||||||||
(LIBOR USD 1-Month plus 0.34%) |
| |||||||||||
0.79% | 11/25/352 | 41,098 | 40,950 | |||||||||
Residential Asset Securitization Trust, |
| |||||||||||
Series 2004-IP2, Class 2A1 |
| |||||||||||
3.01% | 12/25/344 | 13,506 | 13,466 | |||||||||
Structured Adjustable Rate Mortgage Loan Trust, |
| |||||||||||
Series 2004-15, Class A |
| |||||||||||
2.75% | 10/25/344 | 782,213 | 746,666 | |||||||||
Structured Asset Mortgage Investments II Trust, |
| |||||||||||
Series 2005-AR1, Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.48%) |
| |||||||||||
0.59% | 04/19/352 | 502,374 | 493,048 | |||||||||
Structured Asset Mortgage Investments II Trust, |
| |||||||||||
Series 2005-AR8, Class A2 |
| |||||||||||
(Federal Reserve US 12-Month Cumulative Average plus 1.48%) |
| |||||||||||
1.98% | 02/25/362 | 459,010 | 453,889 | |||||||||
Structured Asset Mortgage Investments II Trust, |
| |||||||||||
Series 2006-AR3, Class 22A1 |
| |||||||||||
2.71% | 05/25/364 | 1,944,013 | 1,244,560 | |||||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||||
Series 2005-AR13, Class A1A3 |
| |||||||||||
(LIBOR USD 1-Month plus 1.56%) |
| |||||||||||
1.67% | 10/25/452 | 655,660 | 685,336 | |||||||||
|
| |||||||||||
42,627,656 | ||||||||||||
|
| |||||||||||
U.S. Agency Commercial Mortgage- Backed — 0.03% |
| |||||||||||
Fannie Mae-Aces, |
| |||||||||||
Series 2015-M4, Class X2 (IO) |
| |||||||||||
0.44% | 07/25/224 | 71,047,477 | 135,708 | |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, |
| |||||||||||
Series K021, Class A2 |
| |||||||||||
2.40% | 06/25/22 | 105,000 | 107,218 | |||||||||
|
| |||||||||||
242,926 | ||||||||||||
|
|
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 100 |
Table of Contents
Intermediate Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
U.S. Agency Mortgage-Backed — 12.68% |
| |||||||||||
Fannie Mae Pool 253974 |
| |||||||||||
7.00% | 08/01/31 | $ | 1,252 | $ | 1,398 | |||||||
Fannie Mae Pool 254232 |
| |||||||||||
6.50% | 03/01/22 | 396 | 402 | |||||||||
Fannie Mae Pool 527247 |
| |||||||||||
7.00% | 09/01/26 | 14 | 15 | |||||||||
Fannie Mae Pool 545191 |
| |||||||||||
7.00% | 09/01/31 | 646 | 736 | |||||||||
Fannie Mae Pool 545646 |
| |||||||||||
7.00% | 09/01/26 | 8 | 8 | |||||||||
Fannie Mae Pool 549740 |
| |||||||||||
6.50% | 10/01/27 | 3,276 | 3,679 | |||||||||
Fannie Mae Pool 606108 |
| |||||||||||
7.00% | 03/01/31 | 348 | 351 | |||||||||
Fannie Mae Pool 630599 |
| |||||||||||
7.00% | 05/01/32 | 3,171 | 3,669 | |||||||||
Fannie Mae Pool 655928 |
| |||||||||||
7.00% | 08/01/32 | 2,293 | 2,765 | |||||||||
Fannie Mae Pool 735207 |
| |||||||||||
7.00% | 04/01/34 | 862 | 1,009 | |||||||||
Fannie Mae Pool 735686 |
| |||||||||||
6.50% | 12/01/22 | 104 | 107 | |||||||||
Fannie Mae Pool 735861 |
| |||||||||||
6.50% | 09/01/33 | 54,079 | 60,355 | |||||||||
Fannie Mae Pool 764388 |
| |||||||||||
(LIBOR USD 6-Month plus 1.38%) |
| |||||||||||
1.63% | 03/01/34 | 2 | 7,524 | 7,587 | ||||||||
Fannie Mae Pool 776708 |
| |||||||||||
5.00% | 05/01/34 | 88,263 | 102,600 | |||||||||
Fannie Mae Pool 817611 |
| |||||||||||
(LIBOR USD 6-Month plus 1.58%) |
| |||||||||||
1.95% | 11/01/35 | 2 | 6,051 | 6,128 | ||||||||
Fannie Mae Pool 844773 |
| |||||||||||
(LIBOR USD 12-Month plus 1.59%) |
| |||||||||||
1.99% | 12/01/35 | 2 | 8,303 | 8,353 | ||||||||
Fannie Mae Pool 889184 |
| |||||||||||
5.50% | 09/01/36 | 72,753 | 85,017 | |||||||||
Fannie Mae Pool 890221 |
| |||||||||||
5.50% | 12/01/33 | 110,063 | 125,438 | |||||||||
Fannie Mae Pool 939419 |
| |||||||||||
(LIBOR USD 12-Month plus 1.26%) |
| |||||||||||
3.02% | 05/01/37 | 2 | 21,774 | 21,897 | ||||||||
Fannie Mae Pool AL0209 |
| |||||||||||
4.50% | 05/01/41 | 291,969 | 331,008 | |||||||||
Fannie Mae Pool AN2786 |
| |||||||||||
2.76% | 09/01/36 | 48,774 | 51,018 | |||||||||
Fannie Mae Pool BL6060 |
| |||||||||||
2.46% | 04/01/40 | 1,160,000 | 1,140,932 | |||||||||
Fannie Mae Pool CA1710 |
| |||||||||||
4.50% | 05/01/48 | 17,969 | 19,590 | |||||||||
Fannie Mae Pool CA1711 |
| |||||||||||
4.50% | 05/01/48 | 1,283,812 | 1,400,908 | |||||||||
Fannie Mae Pool CA2208 |
| |||||||||||
4.50% | 08/01/48 | 18,665 | 20,356 | |||||||||
Fannie Mae Pool FM2318 |
| |||||||||||
3.50% | 09/01/49 | 1,703,338 | 1,831,995 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
U.S. Agency Mortgage-Backed (continued) |
| |||||||||||
Fannie Mae Pool FN0039 |
| |||||||||||
3.18% | 09/01/27 | 4 | $ | 35,648 | $ | 39,082 | ||||||
Fannie Mae Pool MA1527 |
| |||||||||||
3.00% | 08/01/33 | 20,905 | 22,132 | |||||||||
Fannie Mae Pool MA1561 |
| |||||||||||
3.00% | 09/01/33 | 1,153,819 | 1,221,521 | |||||||||
Fannie Mae Pool MA1608 |
| |||||||||||
3.50% | 10/01/33 | 1,038,229 | 1,122,266 | |||||||||
Fannie Mae Pool MA3427 |
| |||||||||||
4.00% | 07/01/33 | 14,866 | 15,855 | |||||||||
Fannie Mae Pool MA3537 |
| |||||||||||
4.50% | 12/01/48 | 1,378,071 | 1,501,301 | |||||||||
Fannie Mae Pool MA3811 |
| |||||||||||
3.00% | 10/01/49 | 1,122,432 | 1,148,867 | |||||||||
Fannie Mae Pool MA4152 |
| |||||||||||
2.00% | 10/01/40 | 3,296,684 | 3,336,486 | |||||||||
Fannie Mae REMICS, |
| |||||||||||
Series 1993-80, Class S |
| |||||||||||
(-1.22 X LIBOR USD 1-Month plus 10.88%, 10.88% Cap) |
| |||||||||||
10.75% | 05/25/23 | 2 | 933 | 1,013 | ||||||||
Fannie Mae REMICS, |
| |||||||||||
Series 2001-52, Class YZ |
| |||||||||||
6.50% | 10/25/31 | 114,391 | 132,008 | |||||||||
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 | 3,730 | 4,371 | ||||||||
Fannie Mae REMICS, |
| |||||||||||
Series 2007-64, Class FA |
| |||||||||||
(LIBOR USD 1-Month plus 0.47%) |
| |||||||||||
0.58% | 07/25/37 | 2 | 52,443 | 53,110 | ||||||||
Fannie Mae REMICS, |
| |||||||||||
Series 2008-50, Class SA (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 6.05%, 6.05% Cap) |
| |||||||||||
5.94% | 11/25/36 | 2 | 843,923 | 155,890 | ||||||||
Fannie Mae REMICS, |
| |||||||||||
Series 2018-38, Class PA |
| |||||||||||
3.50% | 06/25/47 | 9,697 | 10,153 | |||||||||
Fannie Mae REMICS, |
| |||||||||||
Series 2018-43, Class CT |
| |||||||||||
3.00% | 06/25/48 | 440,441 | 465,047 | |||||||||
Fannie Mae REMICS, |
| |||||||||||
Series 2018-55, Class PA |
| |||||||||||
3.50% | 01/25/47 | 91,868 | 95,315 | |||||||||
Fannie Mae REMICS, |
| |||||||||||
Series 2018-86, Class JA |
| |||||||||||
4.00% | 05/25/47 | 572,619 | 597,174 | |||||||||
Fannie Mae Trust, |
| |||||||||||
Series 2003-W6, Class 5T (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 8.15%, 0.55% Cap) |
| |||||||||||
0.55% | 09/25/42 | 2 | 8,650,755 | 125,330 | ||||||||
Freddie Mac Gold Pool A25162 |
| |||||||||||
5.50% | 05/01/34 | 94,864 | 109,247 | |||||||||
Freddie Mac Gold Pool A33262 |
| |||||||||||
5.50% | 02/01/35 | 32,976 | 38,672 |
See accompanying Notes to Financial Statements.
101 / Annual Report March 2021 |
Table of Contents
Intermediate Bond Fund
Schedule of Portfolio Investments
March 31, 2021
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 | $ | 5,839 | $ | 6,797 | |||||||
Freddie Mac Gold Pool C03813 |
| |||||||||||
3.50% | 04/01/42 | 710,081 | 772,891 | |||||||||
Freddie Mac Gold Pool C90504 |
| |||||||||||
6.50% | 12/01/21 | 42 | 42 | |||||||||
Freddie Mac Gold Pool G01548 |
| |||||||||||
7.50% | 07/01/32 | 216,843 | 264,403 | |||||||||
Freddie Mac Gold Pool G01644 |
| |||||||||||
5.50% | 02/01/34 | 55,995 | 65,366 | |||||||||
Freddie Mac Gold Pool G02366 |
| |||||||||||
6.50% | 10/01/36 | 46,536 | 55,345 | |||||||||
Freddie Mac Gold Pool G08844 |
| |||||||||||
5.00% | 10/01/48 | 390,057 | 431,875 | |||||||||
Freddie Mac Gold Pool G12393 |
| |||||||||||
5.50% | 10/01/21 | 154 | 155 | |||||||||
Freddie Mac Gold Pool G12909 |
| |||||||||||
6.00% | 11/01/22 | 19,337 | 19,941 | |||||||||
Freddie Mac Gold Pool G13032 |
| |||||||||||
6.00% | 09/01/22 | 2,241 | 2,266 | |||||||||
Freddie Mac Gold Pool G15897 |
| |||||||||||
2.50% | 09/01/31 | 29,667 | 31,091 | |||||||||
Freddie Mac Gold Pool G16085 |
| |||||||||||
2.50% | 02/01/32 | 1,736,080 | 1,824,534 | |||||||||
Freddie Mac Gold Pool G16524 |
| |||||||||||
3.50% | 05/01/33 | 69,495 | 74,956 | |||||||||
Freddie Mac Gold Pool G16756 |
| |||||||||||
3.50% | 01/01/34 | 1,368,035 | 1,474,686 | |||||||||
Freddie Mac Gold Pool G18581 |
| |||||||||||
2.50% | 01/01/31 | 30,780 | 32,231 | |||||||||
Freddie Mac Gold Pool J06246 |
| |||||||||||
5.50% | 10/01/21 | 255 | 255 | |||||||||
Freddie Mac Pool SD7503 |
| |||||||||||
3.50% | 08/01/49 | 4,755,206 | 5,111,405 | |||||||||
Freddie Mac REMICS, |
| |||||||||||
Series 1602, Class SN |
| |||||||||||
(-4.25 X PRIME plus 46.22%, 10.09% Cap) |
| |||||||||||
10.09% | 10/15/23 | 2 | 5,217 | 5,509 | ||||||||
Freddie Mac REMICS, |
| |||||||||||
Series 2174, Class PN |
| |||||||||||
6.00% | 07/15/29 | 21,073 | 23,752 | |||||||||
Freddie Mac REMICS, |
| |||||||||||
Series 3460, Class SA (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 6.20%, 6.20% Cap) |
| |||||||||||
6.09% | 06/15/38 | 2 | 837,859 | 153,447 | ||||||||
Freddie Mac REMICS, |
| |||||||||||
Series 4030, Class HS (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 6.61%, 6.61% Cap) |
| |||||||||||
6.50% | 04/15/42 | 2 | 732,991 | 143,004 | ||||||||
Ginnie Mae (TBA) |
| |||||||||||
2.00% | 05/20/51 | 7,525,000 | 7,583,052 | |||||||||
2.50% | 05/20/51 | 3,300,000 | 3,397,726 | |||||||||
2.50% | 06/20/51 | 600,000 | 616,690 | |||||||||
Ginnie Mae I Pool 782810 |
| |||||||||||
4.50% | 11/15/39 | 606,994 | 680,469 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
U.S. Agency Mortgage-Backed (continued) |
| |||||||||||
Ginnie Mae II Pool 80968 |
| |||||||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%) |
| |||||||||||
2.25% | 07/20/34 | 2 | $ | 15,155 | $ | 15,738 | ||||||
Ginnie Mae II Pool MA4454 |
| |||||||||||
5.00% | 05/20/47 | 26,881 | 29,958 | |||||||||
Ginnie Mae II Pool MA4511 |
| |||||||||||
4.00% | 06/20/47 | 7,628 | 8,271 | |||||||||
Ginnie Mae II Pool MA4588 |
| |||||||||||
4.50% | 07/20/47 | 273,664 | 300,558 | |||||||||
Ginnie Mae II Pool MA4589 |
| |||||||||||
5.00% | 07/20/47 | 1,446,787 | 1,610,246 | |||||||||
Ginnie Mae II Pool MA4838 |
| |||||||||||
4.00% | 11/20/47 | 716,545 | 775,097 | |||||||||
Ginnie Mae II Pool MA4901 |
| |||||||||||
4.00% | 12/20/47 | 578,940 | 625,395 | |||||||||
Ginnie Mae II Pool MA5399 |
| |||||||||||
4.50% | 08/20/48 | 794,975 | 870,027 | |||||||||
Ginnie Mae II Pool MA5530 |
| |||||||||||
5.00% | 10/20/48 | 10,783 | 11,780 | |||||||||
Ginnie Mae II Pool MA6030 |
| |||||||||||
3.50% | 07/20/49 | 181,159 | 185,734 | |||||||||
Ginnie Mae II Pool MA6080 |
| |||||||||||
3.00% | 08/20/49 | 73,933 | 75,467 | |||||||||
Ginnie Mae II Pool MA6209 |
| |||||||||||
3.00% | 10/20/49 | 1,216,769 | 1,254,066 | |||||||||
Ginnie Mae, | ||||||||||||
Series 2004-8, Class SE |
| |||||||||||
(-2.00 X LIBOR USD 1-Month plus 14.30%, 14.30% Cap) |
| |||||||||||
14.07% | 11/26/23 | 2 | 9,012 | 10,274 | ||||||||
UMBS (TBA) | ||||||||||||
1.50% | 05/01/36 | 3,825,000 | 3,835,502 | |||||||||
2.00% | 05/01/36 | 3,750,000 | 3,844,089 | |||||||||
2.00% | 05/01/51 | 42,025,000 | 41,872,331 | |||||||||
2.50% | 05/01/51 | 8,075,000 | 8,269,304 | |||||||||
|
| |||||||||||
101,787,886 | ||||||||||||
|
| |||||||||||
Total Mortgage-Backed |
| |||||||||||
(Cost $160,285,070) |
| 161,782,368 | ||||||||||
|
| |||||||||||
MUNICIPAL BONDS — 0.82%* |
| |||||||||||
California — 0.25% |
| |||||||||||
City of San Francisco Public Utilities Commission Water Revenue Bonds, Series G |
| |||||||||||
2.19% | 11/01/32 | 795,000 | 790,621 | |||||||||
Los Angeles Department of Water & Power Power System Revenue Bonds, Electric Light & Power Improvements, |
| |||||||||||
Series C |
| |||||||||||
5.52% | 07/01/27 | 50,000 | 61,007 | |||||||||
Los Angeles Unified School District General Obligation Bonds, School Improvements, Series KR |
| |||||||||||
5.75% | 07/01/34 | 875,000 | 1,158,118 | |||||||||
|
| |||||||||||
2,009,746 | ||||||||||||
|
|
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 102 |
Table of Contents
Intermediate Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
MUNICIPAL BONDS (continued) |
| |||||||||||
Florida — 0.07% |
| |||||||||||
County of Miami-Dade Aviation Revenue Bonds, Airport and Marina Improvements, Series C |
| |||||||||||
4.06% | 10/01/31 | $ | 280,000 | $ | 307,812 | |||||||
County of Miami-Dade Aviation Revenue Bonds, Airport and Marina Improvements, Series D |
| |||||||||||
3.50% | 10/01/31 | 245,000 | 258,750 | |||||||||
|
| |||||||||||
566,562 | ||||||||||||
|
| |||||||||||
Massachusetts — 0.10% |
| |||||||||||
Massachusetts School Building Authority Revenue Bonds, Series B |
| |||||||||||
2.87% | 10/15/31 | 765,000 | 817,341 | |||||||||
|
| |||||||||||
New York — 0.40% |
| |||||||||||
Metropolitan Transportation Authority Revenue Bonds, Transit Improvements |
| |||||||||||
6.55% | 11/15/31 | 25,000 | 31,599 | |||||||||
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, School Improvements, Series G-3 |
| |||||||||||
5.27% | 05/01/27 | 1,465,000 | 1,758,320 | |||||||||
New York State Dormitory Authority Revenue Bonds, Transit Improvements, Series F |
| |||||||||||
3.03% | 02/15/33 | 1,245,000 | 1,311,032 | |||||||||
New York State Dormitory Authority Revenue Bonds, University & College Improvements, Series D |
| |||||||||||
5.50% | 03/15/30 | 70,000 | 83,186 | |||||||||
|
| |||||||||||
3,184,137 | ||||||||||||
|
| |||||||||||
Pennsylvania — 0.00% |
| |||||||||||
Pennsylvania Economic Development Financing Authority Revenue Bonds, University of Pittsburgh Medical Center, Series B |
| |||||||||||
3.20% | 11/15/27 | 40,000 | 43,286 | |||||||||
|
| |||||||||||
Total Municipal Bonds |
| |||||||||||
(Cost $6,393,535) |
| 6,621,072 | ||||||||||
|
| |||||||||||
U.S. TREASURY SECURITIES — 50.58% |
| |||||||||||
U.S. Treasury Notes — 50.58% |
| |||||||||||
U.S. Treasury Notes |
| |||||||||||
0.13% | 01/31/23 | 82,810,000 | 82,771,183 | |||||||||
0.13% | 02/28/23 | 85,880,000 | 85,829,679 | |||||||||
0.13% | 03/31/23 | 20,890,000 | 20,876,536 | |||||||||
0.50% | 02/28/26 | 88,425,000 | 86,691,041 | |||||||||
0.75% | 03/31/26 | 102,545,000 | 101,659,750 | |||||||||
1.13% | 02/15/31 | 29,760,000 | 28,125,526 | |||||||||
|
| |||||||||||
Total U.S. Treasury Securities |
| |||||||||||
(Cost $407,944,269) |
| 405,953,715 | ||||||||||
|
| |||||||||||
Total Bonds — 105.26% |
| |||||||||||
(Cost $837,476,191) |
| 844,761,676 | ||||||||||
|
|
Issues | Shares | Value | ||||||||||
COMMON STOCK — 0.00% |
| |||||||||||
Electric — 0.00% |
| |||||||||||
Homer City Holdings LLC†,5,6,7 |
| 8,014 | $ | — | ||||||||
|
| |||||||||||
Total Common Stock |
| |||||||||||
(Cost $457,400) |
| |||||||||||
Issues | Maturity Date | Principal Amount/Shares | Value | |||||||||
SHORT-TERM INVESTMENTS — 1.25% |
| |||||||||||
Money Market Funds — 0.00% |
| |||||||||||
Fidelity Investments Money Market Funds - Government Portfolio |
| |||||||||||
0.01%9,10 | 18,630 | 18,630 | ||||||||||
|
| |||||||||||
U.S. Treasury Bills — 1.25% |
| |||||||||||
U.S. Treasury Bills |
| |||||||||||
0.05%11 | 08/12/21 | $ | 10,000,000 | 9,999,446 | ||||||||
|
| |||||||||||
Total Short-Term Investments |
| |||||||||||
(Cost $10,016,755) |
| 10,018,076 | ||||||||||
|
| |||||||||||
Total Investments - 106.51% |
| |||||||||||
(Cost $847,950,346) |
| 854,779,752 | ||||||||||
|
| |||||||||||
Liabilities in Excess of Other Assets - (6.51)% |
| (52,264,940 | ) | |||||||||
|
| |||||||||||
Net Assets - 100.00% |
| $ | 802,514,812 | |||||||||
|
|
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 March 31, 2021. |
3 | Foreign denominated security issued by foreign domiciled entity. |
4 | 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. |
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 $2,768,422, which is 0.35% of total net assets. |
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 March 31, 2021. |
10 | Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $34. |
11 | Represents annualized yield at date of purchase. |
† | Fair valued security. The aggregate value of fair valued securities is $0, which is 0.00% of total net assets. Fair valued securities were not valued utilizing an independent quote but are valued pursuant to guidelines established by the Board of Trustees. 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. |
See accompanying Notes to Financial Statements. |
103 / Annual Report March 2021 |
Table of Contents
Intermediate Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Note: For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for more meaningful presentation for investors.
(CLO): Collateralized Loan Obligation
(IO): Interest Only
(LIBOR): London InterBank Offer Rate
(MTN): Medium-Term Note
(STEP): Step Coupon Bond
(TBA): To-Be-Announced
(USD): U.S. Dollar
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||
FUTURES CONTRACTS: LONG POSITIONS |
| |||||||||||||||||||
U.S. Treasury Two Year Note | 113 | 06/30/21 | $ | 24,942,102 | $ | (24,808 | ) | $ | (24,808 | ) | ||||||||||
U.S. Treasury Five Year Note | 90 | 06/30/21 | 11,105,859 | (140,104 | ) | (140,104 | ) | |||||||||||||
|
|
|
|
|
| |||||||||||||||
36,047,961 | (164,912 | ) | (164,912 | ) | ||||||||||||||||
|
|
|
|
|
| |||||||||||||||
FUTURES CONTRACTS: SHORT POSITIONS |
| |||||||||||||||||||
U.S. Treasury Ultra Bond | 21 | 06/21/21 | (3,805,594 | ) | 192,042 | 192,042 | ||||||||||||||
U.S. Treasury Ten Year Ultra Bond | 11 | 06/21/21 | (1,580,563 | ) | 55,578 | 55,578 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
(5,386,157 | ) | 247,620 | 247,620 | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||
TOTAL FUTURES CONTRACTS | $ | 30,661,804 | $ | 82,708 | $ | 82,708 | ||||||||||||||
|
|
|
|
|
|
Reference Obligation/Index | Financing Rate Paid by the Fund | Payment Frequency | Counterparty | Expiration Date | Notional Amount1 | Value | Premiums Paid | Unrealized Appreciation | ||||||||||||||||
SWAPS: CREDIT DEFAULT (SALES) - SINGLE ISSUES OTC |
| |||||||||||||||||||||||
Berry Global, Inc., 5.63%, due 07/15/27 | 5.00% | 3 Months | Credit Suisse First Boston International | 12/20/21 | $ | 1,155,000 | $ | 27,744 | $ | 24,941 | $ | 2,803 | ||||||||||||
|
|
|
|
|
|
1 | 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 Financial Statements.
Annual Report March 2021 / 104 |
Table of Contents
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
BONDS – 97.80% |
| |||||||||||
ASSET-BACKED SECURITIES — 5.15%** |
| |||||||||||
GCO Education Loan Funding Trust II, |
| |||||||||||
Series 2006-2AR, Class A1RN |
| |||||||||||
(LIBOR USD 1-Month plus 0.65%) |
| |||||||||||
0.76% | 08/27/46 | 1,2 | $ | 70,854 | $ | 70,533 | ||||||
J.G. Wentworth XXX LLC, |
| |||||||||||
Series 2013-3A, Class A |
| |||||||||||
4.08% | 01/17/73 | 1 | 35,858 | 39,496 | ||||||||
Orec Ltd., |
| |||||||||||
Series 2018-CRE1, Class A |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 1-Month plus 1.18%) |
| |||||||||||
1.29% | 06/15/36 | 1,2,3 | 15,000 | 15,036 | ||||||||
Skyline Aircraft Finance LLC, |
| |||||||||||
Series 2021-1, Class A |
| |||||||||||
3.23% | 05/10/37 | 4,5 | 39,819 | 39,216 | ||||||||
SLC Student Loan Trust, |
| |||||||||||
Series 2006-1, Class A6 |
| |||||||||||
(LIBOR USD 3-Month plus 0.16%) |
| |||||||||||
0.34% | 03/15/55 | 2 | 60,000 | 58,141 | ||||||||
SLM Student Loan Trust, |
| |||||||||||
Series 2007-2, Class B |
| |||||||||||
(LIBOR USD 3-Month plus 0.17%) |
| |||||||||||
0.39% | 07/25/25 | 2 | 70,000 | 65,485 | ||||||||
SLM Student Loan Trust, |
| |||||||||||
Series 2008-2, Class B |
| |||||||||||
(LIBOR USD 3-Month plus 1.20%) |
| |||||||||||
1.42% | 01/25/83 | 2 | 20,000 | 18,855 | ||||||||
SLM Student Loan Trust, |
| |||||||||||
Series 2008-3, Class B |
| |||||||||||
(LIBOR USD 3-Month plus 1.20%) |
| |||||||||||
1.42% | 04/26/83 | 2 | 20,000 | 18,722 | ||||||||
SLM Student Loan Trust, |
| |||||||||||
Series 2008-5, Class B |
| |||||||||||
(LIBOR USD 3-Month plus 1.85%) |
| |||||||||||
2.07% | 07/25/73 | 2 | 35,000 | 34,446 | ||||||||
SLM Student Loan Trust, |
| |||||||||||
Series 2008-6, Class A4 |
| |||||||||||
(LIBOR USD 3-Month plus 1.10%) |
| |||||||||||
1.32% | 07/25/23 | 2 | 32,390 | 32,327 | ||||||||
SLM Student Loan Trust, |
| |||||||||||
Series 2008-6, Class B |
| |||||||||||
(LIBOR USD 3-Month plus 1.85%) |
| |||||||||||
2.07% | 07/26/83 | 2 | 20,000 | 19,710 | ||||||||
SLM Student Loan Trust, |
| |||||||||||
Series 2008-7, Class B |
| |||||||||||
(LIBOR USD 3-Month plus 1.85%) |
| |||||||||||
2.07% | 07/26/83 | 2 | 20,000 | 19,974 | ||||||||
SLM Student Loan Trust, |
| |||||||||||
Series 2008-8, Class A4 |
| |||||||||||
(LIBOR USD 3-Month plus 1.50%) |
| |||||||||||
1.72% | 04/25/23 | 2 | 20,605 | 20,726 | ||||||||
SLM Student Loan Trust, |
| |||||||||||
Series 2008-8, Class B |
| |||||||||||
(LIBOR USD 3-Month plus 2.25%) |
| |||||||||||
2.47% | 10/25/75 | 2 | 30,000 | 30,191 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||
SLM Student Loan Trust, |
| |||||||||||
Series 2008-9, Class A |
| |||||||||||
(LIBOR USD 3-Month plus 1.50%) |
| |||||||||||
1.72% | 04/25/23 | 2 | $ | 15,686 | $ | 15,770 | ||||||
SLM Student Loan Trust, |
| |||||||||||
Series 2008-9, Class B |
| |||||||||||
(LIBOR USD 3-Month plus 2.25%) |
| |||||||||||
2.47% | 10/25/83 | 2 | 15,000 | 15,117 | ||||||||
Structured Receivables Finance LLC, |
| |||||||||||
Series 2010-B, Class A |
| |||||||||||
3.73% | 08/15/36 | 1 | 57,983 | 60,666 | ||||||||
Towd Point Mortgage Trust, |
| |||||||||||
Series 2015-2, Class 1A13 |
| |||||||||||
2.50% | 11/25/60 | 1,6 | 17,201 | 17,272 | ||||||||
Wachovia Student Loan Trust, |
| |||||||||||
Series 2006-1, Class A6 |
| |||||||||||
(LIBOR USD 3-Month plus 0.17%) |
| |||||||||||
0.39% | 04/25/40 | 1,2 | 39,043 | 38,385 | ||||||||
|
| |||||||||||
Total Asset-Backed Securities |
| |||||||||||
(Cost $611,330) |
| 630,068 | ||||||||||
|
| |||||||||||
CORPORATES — 56.09%* |
| |||||||||||
Banking — 6.57% |
| |||||||||||
Bank of America Corp. |
| |||||||||||
2.59% | 04/29/31 | 6 | 10,000 | 9,988 | ||||||||
3.00% | 12/20/23 | 6 | 15,000 | 15,606 | ||||||||
Bank of America Corp. |
| |||||||||||
(MTN) |
| |||||||||||
2.50% | 02/13/31 | 6 | 35,000 | 34,759 | ||||||||
3.97% | 03/05/29 | 6 | 60,000 | 66,448 | ||||||||
3.97% | 02/07/30 | 6 | 30,000 | 33,331 | ||||||||
Bank of New York Mellon Corp. (The) |
| |||||||||||
(MTN) |
| |||||||||||
1.60% | 04/24/25 | 45,000 | 45,886 | |||||||||
3.25% | 09/11/24 | 5,000 | 5,428 | |||||||||
Fifth Third Bancorp |
| |||||||||||
2.55% | 05/05/27 | 30,000 | 31,245 | |||||||||
HSBC Holdings PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
1.59% | 05/24/27 | 3,6 | 20,000 | 19,697 | ||||||||
2.01% | 09/22/28 | 3,6 | 55,000 | 54,080 | ||||||||
JPMorgan Chase & Co. |
| |||||||||||
2.52% | 04/22/31 | 6 | 35,000 | 34,954 | ||||||||
3.21% | 04/01/23 | 6 | 50,000 | 51,365 | ||||||||
3.56% | 04/23/24 | 6 | 70,000 | 74,208 | ||||||||
4.01% | 04/23/29 | 6 | 20,000 | 22,371 | ||||||||
4.20% | 07/23/29 | 6 | 15,000 | 16,985 | ||||||||
Lloyds Banking Group PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
3.87% | 07/09/25 | 3,6 | 40,000 | 43,564 | ||||||||
Macquarie Group Ltd. |
| |||||||||||
(Australia) |
| |||||||||||
1.34% | 01/12/27 | 1,3,6 | 20,000 | 19,638 | ||||||||
Santander UK Group Holdings PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
3.37% | 01/05/24 | 3,6 | 30,000 | 31,369 | ||||||||
3.57% | 01/10/23 | 3 | 10,000 | 10,223 |
See accompanying Notes to Financial Statements.
105 / Annual Report March 2021 |
Table of Contents
Investment Grade Credit Fund
Schedule of Portfolio Investments
March 31, 2021
Issues
|
Maturity Date
|
Principal Amount
| Value
| |||||||||
CORPORATES (continued) |
| |||||||||||
Banking (continued) |
| |||||||||||
State Street Corp. |
| |||||||||||
3.78% | 12/03/24 | 6 | $ | 15,000 | $ | 16,252 | ||||||
Wells Fargo & Co. (MTN) |
| |||||||||||
2.39% | 06/02/28 | 6 | 60,000 | 61,529 | ||||||||
2.88% | 10/30/30 | 6 | 5,000 | 5,156 | ||||||||
3.58% | 05/22/28 | 6 | 20,000 | 21,823 | ||||||||
5.01% | 04/04/51 | 6 | 60,000 | 77,077 | ||||||||
|
| |||||||||||
802,982 | ||||||||||||
|
| |||||||||||
Communications — 6.11% |
| |||||||||||
AT&T, Inc. | ||||||||||||
2.55% | 12/01/33 | 1 | 29,000 | 27,548 | ||||||||
2.75% | 06/01/31 | 30,000 | 29,916 | |||||||||
3.80% | 12/01/57 | 1 | 70,000 | 66,686 | ||||||||
4.30% | 02/15/30 | 49,000 | 55,234 | |||||||||
Charter Communications Operating LLC/Charter Communications Operating Capital |
| |||||||||||
3.75% | 02/15/28 | 42,000 | 45,548 | |||||||||
Comcast Corp. |
| |||||||||||
1.95% | 01/15/31 | 70,000 | 67,502 | |||||||||
Fox Corp. | ||||||||||||
3.50% | 04/08/30 | 30,000 | 31,941 | |||||||||
Level 3 Financing, Inc. |
| |||||||||||
3.88% | 11/15/29 | 1 | 11,000 | 11,617 | ||||||||
SES SA | ||||||||||||
(Luxembourg) | ||||||||||||
3.60% | 04/04/23 | 1,3 | 15,000 | 15,795 | ||||||||
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint |
| |||||||||||
Spectrum Co. III LLC |
| |||||||||||
4.74% | 03/20/25 | 1 | 25,000 | 26,846 | ||||||||
5.15% | 03/20/28 | 1 | 50,000 | 57,125 | ||||||||
T-Mobile USA, Inc. |
| |||||||||||
2.55% | 02/15/31 | 1 | 49,000 | 48,066 | ||||||||
4.38% | 04/15/40 | 1 | 25,000 | 27,801 | ||||||||
Verizon Communications, Inc. |
| |||||||||||
2.55% | 03/21/31 | 35,000 | 34,973 | |||||||||
4.33% | 09/21/28 | 40,000 | 45,915 | |||||||||
ViacomCBS, Inc. |
| |||||||||||
4.20% | 05/19/32 | 40,000 | 44,780 | |||||||||
Vodafone Group PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
4.38% | 05/30/28 | 3 | 65,000 | 74,718 | ||||||||
Walt Disney Co. (The) |
| |||||||||||
2.65% | 01/13/31 | 15,000 | 15,331 | |||||||||
6.20% | 12/15/34 | 4,000 | 5,549 | |||||||||
7.75% | 01/20/24 | 12,000 | 14,234 | |||||||||
|
| |||||||||||
747,125 | ||||||||||||
|
| |||||||||||
Consumer Discretionary — 2.51% |
| |||||||||||
Anheuser-Busch InBev Worldwide, Inc. |
| |||||||||||
3.50% | 06/01/30 | 60,000 | 65,052 | |||||||||
4.00% | 04/13/28 | 52,000 | 58,040 | |||||||||
4.75% | 01/23/29 | 15,000 | 17,539 |
Issues
|
Maturity Date
|
Principal Amount
| Value
| |||||||||
CORPORATES (continued) |
| |||||||||||
Consumer Discretionary (continued) |
| |||||||||||
Bacardi Ltd. | ||||||||||||
(Bermuda) | ||||||||||||
4.45% | 05/15/25 | 1,3 | $ | 5,000 | $ | 5,564 | ||||||
4.70% | 05/15/28 | 1,3 | 30,000 | 34,350 | ||||||||
BAT Capital Corp. |
| |||||||||||
2.73% | 03/25/31 | 10,000 | 9,729 | |||||||||
Constellation Brands, Inc. |
| |||||||||||
2.88% | 05/01/30 | 20,000 | 20,459 | |||||||||
4.25% | 05/01/23 | 15,000 | 16,106 | |||||||||
Imperial Brands Finance PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
4.25% | 07/21/25 | 1,3 | 30,000 | 33,024 | ||||||||
Reynolds American, Inc. |
| |||||||||||
5.70% | 08/15/35 | 40,000 | 47,467 | |||||||||
|
| |||||||||||
307,330 | ||||||||||||
|
| |||||||||||
Electric — 3.66% |
| |||||||||||
Alliant Energy Finance LLC |
| |||||||||||
1.40% | 03/15/26 | 1 | 40,000 | 39,285 | ||||||||
Ameren Corp. | ||||||||||||
3.50% | 01/15/31 | 35,000 | 37,204 | |||||||||
Appalachian Power Co. |
| |||||||||||
4.45% | 06/01/45 | 5,000 | 5,625 | |||||||||
Berkshire Hathaway Energy Co. |
| |||||||||||
3.70% | 07/15/30 | 50,000 | 55,512 | |||||||||
Black Hills Corp. |
| |||||||||||
4.35% | 05/01/33 | 36,000 | 40,452 | |||||||||
Consolidated Edison Co. of New York, Inc., |
| |||||||||||
Series 20A | ||||||||||||
3.35% | 04/01/30 | 45,000 | 48,202 | |||||||||
Duquesne Light Holdings, Inc. |
| |||||||||||
5.90% | 12/01/21 | 1 | 23,000 | 23,754 | ||||||||
ITC Holdings Corp. |
| |||||||||||
4.05% | 07/01/23 | 10,000 | 10,684 | |||||||||
Jersey Central Power & Light Co. |
| |||||||||||
4.70% | 04/01/24 | 1 | 5,000 | 5,442 | ||||||||
Metropolitan Edison Co. |
| |||||||||||
4.00% | 04/15/25 | 1 | 25,000 | 26,557 | ||||||||
Narragansett Electric Co. (The) |
| |||||||||||
3.40% | 04/09/30 | 1 | 35,000 | 37,298 | ||||||||
Public Service Co. of New Mexico |
| |||||||||||
3.85% | 08/01/25 | 40,000 | 43,022 | |||||||||
Southwestern Electric Power Co., |
| |||||||||||
Series M | ||||||||||||
4.10% | 09/15/28 | 20,000 | 22,254 | |||||||||
Tucson Electric Power Co. |
| |||||||||||
5.15% | 11/15/21 | 30,000 | 30,516 | |||||||||
Xcel Energy, Inc. |
| |||||||||||
3.40% | 06/01/30 | 20,000 | 21,528 | |||||||||
|
| |||||||||||
447,335 | ||||||||||||
|
| |||||||||||
Energy — 4.08% |
| |||||||||||
Chevron Corp. | ||||||||||||
2.24% | 05/11/30 | 15,000 | 14,962 | |||||||||
ConocoPhillips | ||||||||||||
2.40% | 02/15/31 | 1 | 65,000 | 64,108 |
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 106 |
Table of Contents
Investment Grade Credit Fund
Schedule of Portfolio Investments
March 31, 2021
Issues
|
Maturity Date
|
Principal Amount
| Value
| |||||||||
CORPORATES (continued) |
| |||||||||||
Energy (continued) |
| |||||||||||
Energy Transfer Operating LP |
| |||||||||||
4.20% | 04/15/27 | $ | 10,000 | $ | 10,912 | |||||||
4.95% | 06/15/28 | 35,000 | 39,190 | |||||||||
5.50% | 06/01/27 | 10,000 | 11,547 | |||||||||
EQT Corp. |
| |||||||||||
3.90% | 10/01/27 | 10,000 | 10,219 | |||||||||
Exxon Mobil Corp. |
| |||||||||||
3.45% | 04/15/51 | 20,000 | 20,234 | |||||||||
Hess Corp. |
| |||||||||||
4.30% | 04/01/27 | 17,000 | 18,573 | |||||||||
Kinder Morgan, Inc. |
| |||||||||||
5.63% | 11/15/23 | 1 | 25,000 | 27,790 | ||||||||
Kinder Morgan, Inc. |
| |||||||||||
(GMTN) |
| |||||||||||
7.80% | 08/01/31 | 10,000 | 13,895 | |||||||||
NGPL Pipe Co. LLC |
| |||||||||||
4.38% | 08/15/22 | 1 | 25,000 | 25,957 | ||||||||
Petroleos Mexicanos |
| |||||||||||
(Mexico) |
| |||||||||||
5.35% | 02/12/28 | 3 | 15,000 | 14,612 | ||||||||
5.95% | 01/28/31 | 3 | 30,000 | 28,764 | ||||||||
Plains All American Pipeline LP/PAA Finance Corp. |
| |||||||||||
4.65% | 10/15/25 | 15,000 | 16,527 | |||||||||
Rockies Express Pipeline LLC |
| |||||||||||
3.60% | 05/15/25 | 1 | 20,000 | 20,057 | ||||||||
4.95% | 07/15/29 | 1 | 10,000 | 10,235 | ||||||||
Ruby Pipeline LLC |
| |||||||||||
8.00% | 04/01/22 | 1,4,5 | 15,720 | 13,167 | ||||||||
Southern Natural Gas Co. LLC |
| |||||||||||
4.80% | 03/15/47 | 1 | 30,000 | 34,332 | ||||||||
Sunoco Logistics Partners Operations LP |
| |||||||||||
4.00% | 10/01/27 | 10,000 | 10,760 | |||||||||
TC PipeLines LP |
| |||||||||||
3.90% | 05/25/27 | 20,000 | 21,752 | |||||||||
Texas Eastern Transmission LP |
| |||||||||||
2.80% | 10/15/22 | 1 | 10,000 | 10,288 | ||||||||
TransCanada PipeLines Ltd. |
| |||||||||||
(Canada) |
| |||||||||||
4.10% | 04/15/30 | 3 | 30,000 | 33,478 | ||||||||
Williams Cos., Inc. (The) |
| |||||||||||
4.30% | 03/04/24 | 25,000 | 27,287 | |||||||||
|
| |||||||||||
498,646 | ||||||||||||
|
| |||||||||||
Finance — 7.13% |
| |||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust |
| |||||||||||
(Ireland) | ||||||||||||
3.88% | 01/23/28 | 3 | 11,000 | 11,495 | ||||||||
3.95% | 02/01/22 | 3 | 35,000 | 35,818 | ||||||||
Air Lease Corp. | ||||||||||||
3.00% | 09/15/23 | 30,000 | 31,358 | |||||||||
3.63% | 12/01/27 | 11,000 | 11,522 | |||||||||
Avolon Holdings Funding Ltd. |
| |||||||||||
(Cayman Islands) |
| |||||||||||
2.88% | 02/15/25 | 1,3 | 5,000 | 5,014 | ||||||||
Citigroup, Inc. |
| |||||||||||
1.12% | 01/28/27 | 6 | 20,000 | 19,573 |
Issues
|
Maturity Date
|
Principal Amount
| Value
| |||||||||
CORPORATES (continued) |
| |||||||||||
Finance (continued) |
| |||||||||||
2.57% | 06/03/31 | 6 | $ | 45,000 | $ | 45,001 | ||||||
3.67% | 07/24/28 | 6 | 20,000 | 21,895 | ||||||||
Daimler Finance North America LLC |
| |||||||||||
2.20% | 10/30/21 | 1 | 20,000 | 20,213 | ||||||||
Ford Motor Credit Co. LLC |
| |||||||||||
4.25% | 09/20/22 | 25,000 | 25,901 | |||||||||
(LIBOR USD 3-Month plus 1.08%) |
| |||||||||||
1.28% | 08/03/22 | 2 | 35,000 | 34,650 | ||||||||
GE Capital Funding LLC |
| |||||||||||
4.40% | 05/15/30 | 1 | 10,000 | 11,330 | ||||||||
GE Capital International Funding Co. |
| |||||||||||
(Ireland) |
| |||||||||||
4.42% | 11/15/35 | 3 | 70,000 | 80,208 | ||||||||
General Motors Financial Co., Inc. |
| |||||||||||
3.15% | 06/30/22 | 10,000 | 10,280 | |||||||||
3.20% | 07/06/21 | 20,000 | 20,087 | |||||||||
4.20% | 11/06/21 | 15,000 | 15,328 | |||||||||
4.38% | 09/25/21 | 5,000 | 5,093 | |||||||||
Goldman Sachs Group, Inc. (The) |
| |||||||||||
1.43% | 03/09/27 | 6 | 30,000 | 29,728 | ||||||||
2.60% | 02/07/30 | 30,000 | 30,400 | |||||||||
2.88% | 10/31/22 | 6 | 75,000 | 75,999 | ||||||||
Intercontinental Exchange, Inc. |
| |||||||||||
1.85% | 09/15/32 | 5,000 | 4,584 | |||||||||
2.10% | 06/15/30 | 35,000 | 33,716 | |||||||||
(LIBOR USD 3-Month plus 0.65%) |
| |||||||||||
0.83% | 06/15/23 | 2 | 20,000 | 20,036 | ||||||||
Morgan Stanley |
| |||||||||||
(GMTN) |
| |||||||||||
3.70% | 10/23/24 | 70,000 | 76,691 | |||||||||
3.77% | 01/24/29 | 6 | 20,000 | 21,947 | ||||||||
Nationwide Building Society |
| |||||||||||
(United Kingdom) |
| |||||||||||
3.62% | 04/26/23 | 1,3,6 | 35,000 | 36,113 | ||||||||
3.77% | 03/08/24 | 1,3,6 | 25,000 | 26,423 | ||||||||
Park Aerospace Holdings Ltd. |
| |||||||||||
(Cayman Islands) |
| |||||||||||
4.50% | 03/15/23 | 1,3 | 10,000 | 10,448 | ||||||||
5.50% | 02/15/24 | 1,3 | 15,000 | 16,316 | ||||||||
Pipeline Funding Co. LLC |
| |||||||||||
7.50% | 01/15/30 | 1 | 18,016 | 22,571 | ||||||||
Raymond James Financial, Inc. |
| |||||||||||
3.63% | 09/15/26 | 30,000 | 33,321 | |||||||||
4.65% | 04/01/30 | 25,000 | 29,215 | |||||||||
|
| |||||||||||
872,274 | ||||||||||||
|
| |||||||||||
Food — 1.15% |
| |||||||||||
Conagra Brands, Inc. |
| |||||||||||
4.60% | 11/01/25 | 16,000 | 18,178 | |||||||||
General Mills, Inc. |
| |||||||||||
3.70% | 10/17/23 | 15,000 | 16,097 | |||||||||
Kraft Heinz Foods Co. |
| |||||||||||
5.00% | 07/15/35 | 38,000 | 43,926 | |||||||||
Smithfield Foods, Inc. |
| |||||||||||
3.35% | 02/01/22 | 1 | 50,000 | 50,642 |
See accompanying Notes to Financial Statements.
107 / Annual Report March 2021 |
Table of Contents
Investment Grade Credit Fund
Schedule of Portfolio Investments
March 31, 2021
Issues
|
Maturity
| Principal
| Value
| ||||||||||||
CORPORATES (continued) |
| ||||||||||||||
Food (continued) |
| ||||||||||||||
5.20% | 04/01/29 | 1 | $ | 10,000 | $ | 11,485 | |||||||||
|
| ||||||||||||||
140,328 | |||||||||||||||
|
| ||||||||||||||
Health Care — 8.32% |
| ||||||||||||||
AbbVie, Inc. |
| ||||||||||||||
3.60% | 05/14/25 | 25,000 | 27,251 | ||||||||||||
3.80% | 03/15/25 | 5,000 | 5,465 | ||||||||||||
5.00% | 12/15/21 | 25,000 | 25,501 | ||||||||||||
Alcon Finance Corp. |
| ||||||||||||||
2.75% | 09/23/26 | 1 | 20,000 | 21,169 | |||||||||||
Anthem, Inc. |
| ||||||||||||||
3.65% | 12/01/27 | 40,000 | 44,179 | ||||||||||||
Ascension Health, |
| ||||||||||||||
Series B |
| ||||||||||||||
2.53% | 11/15/29 | 20,000 | 20,537 | ||||||||||||
Banner Health |
| ||||||||||||||
2.34% | 01/01/30 | 10,000 | 10,047 | ||||||||||||
Barnabas Health, Inc., |
| ||||||||||||||
Series 2012 |
| ||||||||||||||
4.00% | 07/01/28 | 15,000 | 16,840 | ||||||||||||
Baxalta, Inc. |
| ||||||||||||||
3.60% | 06/23/22 | 25,000 | 25,821 | ||||||||||||
Baxter International, Inc. |
| ||||||||||||||
3.95% | 04/01/30 | 1 | 25,000 | 28,165 | |||||||||||
Bayer U.S. Finance II LLC |
| ||||||||||||||
3.88% | 12/15/23 | 1 | 10,000 | 10,786 | |||||||||||
4.38% | 12/15/28 | 1 | 55,000 | 62,160 | |||||||||||
4.40% | 07/15/44 | 1 | 5,000 | 5,513 | |||||||||||
Becton Dickinson and Co. |
| ||||||||||||||
3.36% | 06/06/24 | 15,000 | 16,091 | ||||||||||||
Bon Secours Mercy Health, Inc., |
| ||||||||||||||
Series 20-2 |
| ||||||||||||||
2.10% | 06/01/31 | 30,000 | 29,032 | ||||||||||||
Bristol-Myers Squibb Co. |
| ||||||||||||||
3.90% | 02/20/28 | 40,000 | 44,971 | ||||||||||||
Centene Corp. |
| ||||||||||||||
3.00% | 10/15/30 | 50,000 | 49,979 | ||||||||||||
Cigna Corp. |
| ||||||||||||||
2.40% | 03/15/30 | 25,000 | 24,808 | ||||||||||||
4.38% | 10/15/28 | 30,000 | 34,355 | ||||||||||||
CommonSpirit Health |
| ||||||||||||||
2.76% | 10/01/24 | 25,000 | 26,541 | ||||||||||||
2.78% | 10/01/30 | 20,000 | 20,400 | ||||||||||||
DENTSPLY SIRONA, Inc. |
| ||||||||||||||
3.25% | 06/01/30 | 30,000 | 31,403 | ||||||||||||
Elanco Animal Health, Inc. |
| ||||||||||||||
5.90% | 08/28/28 | 15,000 | 17,053 | ||||||||||||
Fresenius Medical Care U.S. Finance II, Inc. |
| ||||||||||||||
5.88% | 01/31/22 | 1 | 30,000 | 31,223 | |||||||||||
HCA, Inc. |
| ||||||||||||||
4.13% | 06/15/29 | 25,000 | 27,712 | ||||||||||||
5.00% | 03/15/24 | 15,000 | 16,716 | ||||||||||||
Humana, Inc. |
| ||||||||||||||
2.90% | 12/15/22 | 15,000 | 15,555 | ||||||||||||
3.13% | 08/15/29 | 15,000 | 15,663 |
Issues
|
Maturity
| Principal
| Value
| ||||||||||||
CORPORATES (continued) |
| ||||||||||||||
Health Care (continued) |
| ||||||||||||||
Illumina, Inc. |
| ||||||||||||||
2.55% | 03/23/31 | $ | 30,000 | $ | 29,772 | ||||||||||
NYU Langone Hospitals, |
| ||||||||||||||
Series 2020 |
| ||||||||||||||
3.38% | 07/01/55 | 20,000 | 19,618 | ||||||||||||
PerkinElmer, Inc. |
| ||||||||||||||
2.55% | 03/15/31 | 25,000 | 24,797 | ||||||||||||
Providence St. Joseph Health Obligated Group, |
| ||||||||||||||
Series H |
| ||||||||||||||
2.75% | 10/01/26 | 20,000 | 21,295 | ||||||||||||
Quest Diagnostics, Inc. |
| ||||||||||||||
4.20% | 06/30/29 | 20,000 | 22,870 | ||||||||||||
Regeneron Pharmaceuticals, Inc. |
| ||||||||||||||
1.75% | 09/15/30 | 30,000 | 27,797 | ||||||||||||
Royalty Pharma PLC |
| ||||||||||||||
(United Kingdom) |
| ||||||||||||||
1.75% | 09/02/27 | 1,3 | 20,000 | 19,526 | |||||||||||
Smith & Nephew PLC |
| ||||||||||||||
(United Kingdom) |
| ||||||||||||||
2.03% | 10/14/30 | 3 | 30,000 | 28,275 | |||||||||||
UnitedHealth Group, Inc. |
| ||||||||||||||
3.70% | 12/15/25 | 20,000 | 22,271 | ||||||||||||
3.88% | 12/15/28 | 40,000 | 45,068 | ||||||||||||
Viatris, Inc. |
| ||||||||||||||
1.13% | 06/22/22 | 1 | 35,000 | 35,210 | |||||||||||
Zimmer Biomet Holdings, Inc. |
| ||||||||||||||
3.55% | 03/20/30 | 15,000 | 16,055 | ||||||||||||
|
| ||||||||||||||
1,017,490 | |||||||||||||||
|
| ||||||||||||||
Industrials — 2.32% |
| ||||||||||||||
Amcor Finance USA, Inc. |
| ||||||||||||||
3.63% | 04/28/26 | 5,000 | 5,472 | ||||||||||||
BAE Systems Holdings, Inc. |
| ||||||||||||||
3.80% | 10/07/24 | 1 | 25,000 | 27,458 | |||||||||||
3.85% | 12/15/25 | 1 | 20,000 | 22,034 | |||||||||||
BAE Systems PLC |
| ||||||||||||||
(United Kingdom) |
| ||||||||||||||
3.40% | 04/15/30 | 1,3 | 10,000 | 10,631 | |||||||||||
Berry Global, Inc. |
| ||||||||||||||
0.95% | 02/15/24 | 1 | 15,000 | 14,938 | |||||||||||
1.57% | 01/15/26 | 1 | 25,000 | 24,634 | |||||||||||
Boeing Co. (The) |
| ||||||||||||||
1.43% | 02/04/24 | 30,000 | 30,056 | ||||||||||||
General Electric Co. |
| ||||||||||||||
(MTN) |
| ||||||||||||||
5.88% | 01/14/38 | 30,000 | 38,507 | ||||||||||||
(LIBOR USD 3-Month plus 0.38%) |
| ||||||||||||||
0.58% | 05/05/26 | 2 | 10,000 | 9,743 | |||||||||||
Ingersoll-Rand Co. |
| ||||||||||||||
9.00% | 08/15/21 | 10,000 | 10,266 | ||||||||||||
L3Harris Technologies, Inc. |
| ||||||||||||||
3.85% | 06/15/23 | 15,000 | 16,013 | ||||||||||||
Sonoco Products Co. |
| ||||||||||||||
3.13% | 05/01/30 | 30,000 | 31,015 |
See accompanying Notes to Financial Statements. |
Annual Report March 2021 / 108 |
Table of Contents
Investment Grade Credit Fund
Schedule of Portfolio Investments
March 31, 2021
Issues
|
Maturity
|
Principal
| Value
| |||||||||
CORPORATES (continued) |
| |||||||||||
Industrials (continued) |
| |||||||||||
Sydney Airport Finance Co. Pty Ltd. |
| |||||||||||
(Australia) |
| |||||||||||
3.63% | 04/28/26 | 1,3 | $ | 15,000 | $ | 16,262 | ||||||
WRKCo, Inc. | ||||||||||||
3.00% | 06/15/33 | 10,000 | 10,177 | |||||||||
4.65% | 03/15/26 | 15,000 | 17,041 | |||||||||
|
| |||||||||||
284,247 | ||||||||||||
|
| |||||||||||
Information Technology — 0.56% |
| |||||||||||
Fiserv, Inc. |
| |||||||||||
2.65% | 06/01/30 | 25,000 | 25,208 | |||||||||
NXP BV/NXP Funding LLC |
| |||||||||||
(Netherlands) | ||||||||||||
4.63% | 06/01/23 | 1,3 | 40,000 | 43,331 | ||||||||
|
| |||||||||||
68,539 | ||||||||||||
|
| |||||||||||
Insurance — 3.01% |
| |||||||||||
Aon Corp. |
| |||||||||||
2.80% | 05/15/30 | 25,000 | 25,584 | |||||||||
3.75% | 05/02/29 | 10,000 | 11,018 | |||||||||
Berkshire Hathaway Finance Corp. |
| |||||||||||
1.85% | 03/12/30 | 10,000 | 9,768 | |||||||||
Equitable Financial Life Global Funding |
| |||||||||||
1.80% | 03/08/28 | 1 | 25,000 | 24,462 | ||||||||
Farmers Insurance Exchange |
| |||||||||||
4.75% | 11/01/57 | 1,6 | 45,000 | 47,113 | ||||||||
Marsh & McLennan Cos., Inc. |
| |||||||||||
2.25% | 11/15/30 | 30,000 | 29,507 | |||||||||
Massachusetts Mutual Life Insurance Co. |
| |||||||||||
3.38% | 04/15/50 | 1 | 48,000 | 47,484 | ||||||||
Metropolitan Life Global Funding I |
| |||||||||||
2.95% | 04/09/30 | 1 | 25,000 | 26,081 | ||||||||
Nationwide Mutual Insurance Co. |
| |||||||||||
2.47% | 12/15/24 | 1,6 | 40,000 | 39,978 | ||||||||
New York Life Insurance Co. |
| |||||||||||
5.88% | 05/15/33 | 1 | 30,000 | 38,144 | ||||||||
Teachers Insurance & Annuity Association of America |
| |||||||||||
4.38% | 09/15/54 | 1,6 | 45,000 | 47,854 | ||||||||
Willis North America, Inc. |
| |||||||||||
2.95% | 09/15/29 | 20,000 | 20,690 | |||||||||
|
| |||||||||||
367,683 | ||||||||||||
|
| |||||||||||
Materials — 1.07% |
| |||||||||||
FMC Corp. |
| |||||||||||
3.45% | 10/01/29 | 20,000 | 21,130 | |||||||||
Georgia-Pacific LLC |
| |||||||||||
2.30% | 04/30/30 | 1 | 35,000 | 34,899 | ||||||||
International Flavors & Fragrances, Inc. |
| |||||||||||
4.45% | 09/26/28 | 40,000 | 45,396 | |||||||||
Nutrition & Biosciences, Inc. |
| |||||||||||
2.30% | 11/01/30 | 1 | 10,000 | 9,701 | ||||||||
Sherwin-Williams Co. (The) |
| |||||||||||
2.30% | 05/15/30 | 20,000 | 19,731 | |||||||||
|
| |||||||||||
130,857 | ||||||||||||
|
|
Issues
|
Maturity
|
Principal
| Value
| |||||||||
CORPORATES (continued) |
| |||||||||||
Real Estate Investment Trust (REIT) — 6.31% |
| |||||||||||
Alexandria Real Estate Equities, Inc. |
| |||||||||||
3.80% | 04/15/26 | $ | 5,000 | $ | 5,528 | |||||||
4.50% | 07/30/29 | 18,000 | 20,723 | |||||||||
American Assets Trust LP |
| |||||||||||
3.38% | 02/01/31 | 25,000 | 24,796 | |||||||||
American Campus Communities Operating Partnership LP |
| |||||||||||
3.30% | 07/15/26 | 15,000 | 16,137 | |||||||||
3.63% | 11/15/27 | 5,000 | 5,461 | |||||||||
3.75% | 04/15/23 | 20,000 | 21,155 | |||||||||
3.88% | 01/30/31 | 110,000 | 118,720 | |||||||||
American Tower Corp. |
| |||||||||||
2.90% | 01/15/30 | 10,000 | 10,230 | |||||||||
3.55% | 07/15/27 | 15,000 | 16,289 | |||||||||
AvalonBay Communities, Inc. |
| |||||||||||
(MTN) |
| |||||||||||
2.45% | 01/15/31 | 25,000 | 24,955 | |||||||||
Boston Properties LP |
| |||||||||||
2.75% | 10/01/26 | 10,000 | 10,527 | |||||||||
3.25% | 01/30/31 | 25,000 | 25,907 | |||||||||
3.40% | 06/21/29 | 10,000 | 10,520 | |||||||||
CC Holdings GS V LLC/Crown Castle GS III Corp. |
| |||||||||||
3.85% | 04/15/23 | 15,000 | 15,978 | |||||||||
Crown Castle International Corp. |
| |||||||||||
3.30% | 07/01/30 | 20,000 | 20,968 | |||||||||
CubeSmart LP |
| |||||||||||
4.38% | 02/15/29 | 15,000 | 16,724 | |||||||||
CyrusOne LP/CyrusOne Finance Corp. |
| |||||||||||
2.90% | 11/15/24 | 15,000 | 15,876 | |||||||||
3.45% | 11/15/29 | 30,000 | 30,933 | |||||||||
Essex Portfolio LP |
| |||||||||||
2.65% | 03/15/32 | 10,000 | 9,853 | |||||||||
GLP Capital LP/GLP Financing II, Inc. |
| |||||||||||
3.35% | 09/01/24 | 15,000 | 15,922 | |||||||||
4.00% | 01/15/30 | 15,000 | 15,613 | |||||||||
5.30% | 01/15/29 | 15,000 | 16,873 | |||||||||
Healthcare Realty Trust, Inc. |
| |||||||||||
3.88% | 05/01/25 | 20,000 | 21,710 | |||||||||
Healthcare Trust of America Holdings LP |
| |||||||||||
2.00% | 03/15/31 | 30,000 | 27,970 | |||||||||
3.10% | 02/15/30 | 15,000 | 15,531 | |||||||||
Hudson Pacific Properties LP |
| |||||||||||
3.95% | 11/01/27 | 25,000 | 26,832 | |||||||||
Kilroy Realty LP |
| |||||||||||
2.50% | 11/15/32 | 25,000 | 23,522 | |||||||||
3.05% | 02/15/30 | 5,000 | 5,039 | |||||||||
4.38% | 10/01/25 | 15,000 | 16,518 | |||||||||
Lexington Realty Trust |
| |||||||||||
2.70% | 09/15/30 | 25,000 | 24,452 | |||||||||
Life Storage LP |
| |||||||||||
2.20% | 10/15/30 | 40,000 | 37,952 | |||||||||
Mid-America Apartments LP |
| |||||||||||
1.70% | 02/15/31 | 20,000 | 18,417 | |||||||||
SL Green Operating Partnership LP |
| |||||||||||
3.25% | 10/15/22 | 35,000 | 36,289 | |||||||||
(LIBOR USD 3-Month plus 0.98%) |
| |||||||||||
1.17% | 08/16/21 | 2 | 10,000 | 10,000 |
See accompanying Notes to Financial Statements. |
109 / Annual Report March 2021 |
Table of Contents
Investment Grade Credit Fund
Schedule of Portfolio Investments
March 31, 2021
Issues
|
Maturity
|
Principal
| Value
| |||||||||
CORPORATES (continued) |
| |||||||||||
Real Estate Investment Trust (REIT) (continued) |
| |||||||||||
UDR, Inc. |
| |||||||||||
(MTN) |
| |||||||||||
4.40% | 01/26/29 | $ | 10,000 | $ | 11,310 | |||||||
Ventas Realty LP |
| |||||||||||
3.00% | 01/15/30 | 15,000 | 15,308 | |||||||||
4.13% | 01/15/26 | 10,000 | 11,213 | |||||||||
|
| |||||||||||
771,751 | ||||||||||||
|
| |||||||||||
Retail — 0.71% |
| |||||||||||
7-Eleven, Inc. |
| |||||||||||
(LIBOR USD 3-Month plus 0.45%) |
| |||||||||||
0.65% | 08/10/22 | 1,2 | 30,000 | 30,032 | ||||||||
Alimentation Couche-Tard, Inc. |
| |||||||||||
(Canada) |
| |||||||||||
2.95% | 01/25/30 | 1,3 | 15,000 | 15,332 | ||||||||
3.80% | 01/25/50 | 1,3 | 20,000 | 20,284 | ||||||||
Home Depot, Inc. (The) |
| |||||||||||
3.90% | 12/06/28 | 10,000 | 11,467 | |||||||||
Starbucks Corp. |
| |||||||||||
2.00% | 03/12/27 | 10,000 | 10,200 | |||||||||
|
| |||||||||||
87,315 | ||||||||||||
|
| |||||||||||
Services — 1.04% |
| |||||||||||
IHS Markit Ltd. |
| |||||||||||
(Bermuda) |
| |||||||||||
4.75% | 08/01/28 | 3 | 5,000 | 5,784 | ||||||||
5.00% | 11/01/22 | 1,3 | 25,000 | 26,373 | ||||||||
Northwestern University |
| |||||||||||
3.69% | 12/01/38 | 20,000 | 21,989 | |||||||||
RELX Capital, Inc. |
| |||||||||||
3.00% | 05/22/30 | 10,000 | 10,399 | |||||||||
4.00% | 03/18/29 | 20,000 | 22,083 | |||||||||
Republic Services, Inc. |
| |||||||||||
2.90% | 07/01/26 | 15,000 | 16,008 | |||||||||
Waste Connections, Inc. |
| |||||||||||
(Canada) |
| |||||||||||
2.60% | 02/01/30 | 3 | 25,000 | 25,126 | ||||||||
|
| |||||||||||
127,762 | ||||||||||||
|
| |||||||||||
Transportation — 1.54% |
| |||||||||||
Burlington Northern Santa Fe LLC |
| |||||||||||
4.40% | 03/15/42 | 4,000 | 4,689 | |||||||||
Continental Airlines Pass-Through Trust, |
| |||||||||||
Series 2007-1, Class A |
| |||||||||||
5.98% | 04/19/22 | 20,751 | 21,187 | |||||||||
Delta Air Lines Pass-Through Trust, |
| |||||||||||
Series 2020-1, Class AA |
| |||||||||||
2.00% | 06/10/28 | 24,253 | 24,322 | |||||||||
JetBlue Airways Pass-Through Trust, |
| |||||||||||
Series 2019-1, Class AA |
| |||||||||||
2.75% | 05/15/32 | 31,793 | 32,035 | |||||||||
U.S. Airways Pass-Through Trust, |
| |||||||||||
Series 2010-1, Class A |
| |||||||||||
6.25% | 04/22/23 | 3,867 | 3,908 | |||||||||
U.S. Airways Pass-Through Trust, |
| |||||||||||
Series 2011-1, Class A |
| |||||||||||
7.13% | 10/22/23 | 19,430 | 20,018 |
Issues
|
Maturity
|
Principal
| Value
| |||||||||
CORPORATES (continued) |
| |||||||||||
Transportation (continued) |
| |||||||||||
U.S. Airways Pass-Through Trust, |
| |||||||||||
Series 2012-1, Class A |
| |||||||||||
5.90% | 10/01/24 | $ | 46,665 | $ | 48,299 | |||||||
Union Pacific Corp. |
| |||||||||||
3.95% | 09/10/28 | 30,000 | 33,749 | |||||||||
|
|
| ||||||||||
188,207 | ||||||||||||
|
|
| ||||||||||
Total Corporates |
| |||||||||||
(Cost $6,657,971) |
| 6,859,871 | ||||||||||
|
|
| ||||||||||
MORTGAGE-BACKED — 16.80%** |
| |||||||||||
Non-Agency Commercial Mortgage-Backed — 6.97% |
| |||||||||||
BANK, |
| |||||||||||
Series 2018-BN10, Class XA (IO) |
| |||||||||||
0.73% | 02/15/61 | 6 | 269,544 | 11,245 | ||||||||
BANK, |
| |||||||||||
Series 2019-BN16, Class A4 |
| |||||||||||
4.01% | 02/01/52 | 85,000 | 95,403 | |||||||||
BANK, |
| |||||||||||
Series 2019-BN17, Class A4 |
| |||||||||||
3.71% | 04/15/52 | 55,000 | 60,654 | |||||||||
Citigroup Commercial Mortgage Trust, |
| |||||||||||
Series 2013-GC15, Class XA (IO) |
| |||||||||||
0.84% | 09/10/46 | 6 | 1,283,796 | 22,330 | ||||||||
Citigroup Commercial Mortgage Trust, |
| |||||||||||
Series 2014-GC25, Class XA (IO) |
| |||||||||||
0.99% | 10/10/47 | 6 | 635,416 | 18,813 | ||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2013-CR7, Class XA (IO) |
| |||||||||||
1.21% | 03/10/46 | 6 | 524,247 | 10,067 | ||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2013-CR9, Class XA (IO) |
| |||||||||||
0.09% | 07/10/45 | 6 | 17,845,341 | 27,621 | ||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2014-CR19, Class XA (IO) |
| |||||||||||
0.97% | 08/10/47 | 6 | 645,042 | 16,702 | ||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2014-UBS2, Class XA (IO) |
| |||||||||||
1.15% | 03/10/47 | 6 | 1,036,542 | 28,223 | ||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2014-UBS3, Class XA (IO) |
| |||||||||||
1.07% | 06/10/47 | 6 | 1,823,631 | 52,390 | ||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2014-UBS5, Class XA (IO) |
| |||||||||||
0.86% | 09/10/47 | 4,5,6 | 2,145,070 | 53,379 | ||||||||
CSMC Trust, |
| |||||||||||
Series 2016-NXSR, Class XA (IO) |
| |||||||||||
0.79% | 12/15/49 | 6 | 397,159 | 11,320 | ||||||||
DBUBS Mortgage Trust, |
| |||||||||||
Series 2011-LC2A, Class XA (IO) |
| |||||||||||
1.08% | 07/10/44 | 1,6 | 227,285 | 9 | ||||||||
GS Mortgage Securities Corp. Trust, |
| |||||||||||
Series 2020-UPTN, Class XA (IO) |
| |||||||||||
0.35% | 02/10/37 | 1,6 | 375,000 | 4,978 |
See accompanying Notes to Financial Statements. |
Annual Report March 2021 / 110 |
Table of Contents
Investment Grade Credit Fund
Schedule of Portfolio Investments
March 31, 2021
Issues
|
Maturity
|
Principal
| Value
| |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Commercial Mortgage-Backed (continued) |
| |||||||||||
GS Mortgage Securities Trust, |
| |||||||||||
Series 2010-C1, Class X (IO) |
| |||||||||||
0.74% | 08/10/43 | 1,6 | $ | 4,879,857 | $ | 59,099 | ||||||
GS Mortgage Securities Trust, |
| |||||||||||
Series 2011-GC5, Class XA (IO) |
| |||||||||||
1.20% | 08/10/44 | 1,6 | 877,231 | 222 | ||||||||
GS Mortgage Securities Trust, |
| |||||||||||
Series 2014-GC20, Class XA (IO) |
| |||||||||||
1.01% | 04/10/47 | 6 | 1,440,193 | 34,344 | ||||||||
GS Mortgage Securities Trust, |
| |||||||||||
Series 2016-GS3, Class XA (IO) |
| |||||||||||
1.22% | 10/10/49 | 6 | 218,086 | 11,670 | ||||||||
GS Mortgage Securities Trust, |
| |||||||||||
Series 2017-GS7, Class XA (IO) |
| |||||||||||
1.12% | 08/10/50 | 6 | 98,606 | 5,221 | ||||||||
GS Mortgage Securities Trust, |
| |||||||||||
Series 2019-GC42, Class A4 |
| |||||||||||
3.00% | 09/01/52 | 50,000 | 52,785 | |||||||||
JPMBB Commercial Mortgage Securities Trust, |
| |||||||||||
Series 2015-C29, Class XA (IO) |
| |||||||||||
0.65% | 05/15/48 | 6 | 617,639 | 14,232 | ||||||||
JPMDB Commercial Mortgage Securities Trust, |
| |||||||||||
Series 2017-C7, Class XA (IO) |
| |||||||||||
0.87% | 10/15/50 | 6 | 262,559 | 11,797 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, |
| |||||||||||
Series 2010-C2, Class XB (IO) |
| |||||||||||
0.76% | 11/15/43 | 1,6 | 1,397,175 | 2,210 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, |
| |||||||||||
Series 2012-LC9, Class XA (IO) |
| |||||||||||
1.49% | 12/15/47 | 6 | 1,466,078 | 28,688 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, |
| |||||||||||
Series 2018-LAQ, Class A |
| |||||||||||
(LIBOR USD 1-Month plus 1.00%) |
| |||||||||||
1.11% | 06/15/32 | 1,2 | 26,391 | 26,430 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, |
| |||||||||||
Series 2019-OSB, Class A |
| |||||||||||
3.40% | 06/05/39 | 1 | 5,000 | 5,399 | ||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, |
| |||||||||||
Series 2015-C22, Class XA (IO) |
| |||||||||||
1.03% | 04/15/48 | 6 | 707,610 | 21,762 | ||||||||
Natixis Commercial Mortgage Securities Trust, |
| |||||||||||
Series 2020-2PAC, Class XB (IO) |
| |||||||||||
0.81% | 12/15/38 | 1,6 | 570,000 | 17,733 | ||||||||
UBS-Barclays Commercial Mortgage Trust, |
| |||||||||||
Series 2012-C3, Class XB (IO) |
| |||||||||||
0.20% | 08/10/49 | 1,4,5,6 | 3,700,000 | 12,018 | ||||||||
Wells Fargo Commercial Mortgage Trust, |
| |||||||||||
Series 2014-LC16, Class XA (IO) |
| |||||||||||
1.09% | 08/15/50 | 6 | 356,434 | 10,100 | ||||||||
Wells Fargo Commercial Mortgage Trust, |
| |||||||||||
Series 2014-LC18, Class XA (IO) |
| |||||||||||
1.04% | 12/15/47 | 6 | 958,283 | 29,801 | ||||||||
Wells Fargo Commercial Mortgage Trust, |
| |||||||||||
Series 2015-SG1, Class A4 |
| |||||||||||
3.79% | 09/15/48 | 39,863 | 43,146 |
Issues
|
Maturity
|
Principal
| Value
| |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Commercial Mortgage-Backed (continued) |
| |||||||||||
WF-RBS Commercial Mortgage Trust, |
| |||||||||||
Series 2011-C3, Class XA (IO) |
| |||||||||||
1.47% | 03/15/44 | 1,6 | $ | 162,007 | $ | 239 | ||||||
WF-RBS Commercial Mortgage Trust, |
| |||||||||||
Series 2012-C7, Class XA (IO) |
| |||||||||||
1.30% | 06/15/45 | 1,6 | 1,266,407 | 10,481 | ||||||||
WF-RBS Commercial Mortgage Trust, |
| |||||||||||
Series 2014-LC14, Class XA (IO) |
| |||||||||||
1.26% | 03/15/47 | 6 | 1,410,448 | 41,878 | ||||||||
|
| |||||||||||
852,389 | ||||||||||||
|
| |||||||||||
Non-Agency Mortgage-Backed — 3.65% |
| |||||||||||
Ameriquest Mortgage Securities, Inc., Asset-Backed Pass- Through Certificates, |
| |||||||||||
Series 2005-R11, Class M3 |
| |||||||||||
(LIBOR USD 1-Month plus 0.75%) |
| |||||||||||
0.86% | 01/25/36 | 2 | 100,000 | 99,995 | ||||||||
Banc of America Funding Trust, |
| |||||||||||
Series 2014-R7, Class 2A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.14%) |
| |||||||||||
0.25% | 09/26/36 | 1,2 | 29,236 | 28,791 | ||||||||
Bear Stearns ARM Trust, |
| |||||||||||
Series 2004-1, Class 12A5 |
| |||||||||||
2.85% | 04/25/34 | 6 | 9,483 | 9,425 | ||||||||
Bombardier Capital Mortgage Securitization Corp., |
| |||||||||||
Series 2000-A, Class A2 |
| |||||||||||
7.58% | 06/15/30 | 6 | 19,426 | 4,689 | ||||||||
Centex Home Equity Loan Trust, |
| |||||||||||
Series 2005-D, Class M4 |
| |||||||||||
(LIBOR USD 1-Month plus 0.92%) |
| |||||||||||
1.02% | 10/25/35 | 2 | 30,000 | 30,130 | ||||||||
CIT Mortgage Loan Trust, |
| |||||||||||
Series 2007-1, Class 1A |
| |||||||||||
(LIBOR USD 1-Month plus 1.35%) |
| |||||||||||
1.46% | 10/25/37 | 1,2 | 8,565 | 8,618 | ||||||||
Citigroup Mortgage Loan Trust, |
| |||||||||||
Series 2015-6, Class 2A1 |
| |||||||||||
0.66% | 12/25/35 | 1,6 | 11,978 | 12,078 | ||||||||
Citigroup Mortgage Loan Trust, Inc., |
| |||||||||||
Series 2005-OPT1, Class M1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.63%) |
| |||||||||||
0.74% | 02/25/35 | 2 | 48,181 | 47,256 | ||||||||
Conseco Finance Corp., |
| |||||||||||
Series 1998-4, Class A5 |
| |||||||||||
6.18% | 04/01/30 | 11,897 | 11,905 | |||||||||
Countrywide Asset-Backed Certificates Trust, |
| |||||||||||
Series 2007-13, Class 2A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.90%) |
| |||||||||||
1.01% | 10/25/47 | 2 | 26,710 | 26,591 | ||||||||
GSR Mortgage Loan Trust, |
| |||||||||||
Series 2005-AR6, Class 2A1 |
| |||||||||||
2.93% | 09/25/35 | 6 | 15,663 | 15,989 | ||||||||
HSI Asset Securitization Corp. Trust, |
| |||||||||||
Series 2007-WF1, Class 1A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.16%) |
| |||||||||||
0.27% | 05/25/37 | 2 | 23,270 | 22,646 |
See accompanying Notes to Financial Statements. |
111 / Annual Report March 2021 |
Table of Contents
Investment Grade Credit Fund
Schedule of Portfolio Investments
March 31, 2021
Issues
|
Maturity
|
Principal
| Value
| |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Mortgage-Backed (continued) |
| |||||||||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||||
Series 2007-FLX3, Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.24%) |
| |||||||||||
0.35% | 06/25/37 | 2 | $ | 11,938 | $ | 11,921 | ||||||
JPMorgan Mortgage Trust, |
| |||||||||||
Series 2005-A3, Class 2A1 |
| |||||||||||
3.02% | 06/25/35 | 6 | 8,956 | 9,374 | ||||||||
Long Beach Mortgage Loan Trust, |
| |||||||||||
Series 2006-1, Class 1A |
| |||||||||||
(LIBOR USD 1-Month plus 0.44%) |
| |||||||||||
0.55% | 02/25/36 | 2 | 6,857 | 6,729 | ||||||||
Morgan Stanley Mortgage Loan Trust, |
| |||||||||||
Series 2004-5AR, Class 3A1 |
| |||||||||||
2.48% | 07/25/34 | 6 | 16,349 | 17,231 | ||||||||
Saxon Asset Securities Trust, |
| |||||||||||
Series 2007-2, Class A2A |
| |||||||||||
(LIBOR USD 1-Month plus 0.10%) |
| |||||||||||
0.21% | 05/25/47 | 2 | 79,934 | 68,352 | ||||||||
Structured Asset Mortgage Investments II Trust, |
| |||||||||||
Series 2004-AR1, Class 1A2 |
| |||||||||||
(LIBOR USD 1-Month plus 0.70%) |
| |||||||||||
0.81% | 03/19/34 | 2 | 2,115 | 2,032 | ||||||||
Wells Fargo Home Equity Trust Mortgage Pass-Through Certificates, |
| |||||||||||
Series 2004-1, Class 2A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.60%) |
| |||||||||||
0.71% | 04/25/34 | 2 | 12,976 | 12,067 | ||||||||
|
| |||||||||||
445,819 | ||||||||||||
|
| |||||||||||
U.S. Agency Commercial Mortgage-Backed — 2.27% |
| |||||||||||
Fannie Mae-Aces, |
| |||||||||||
Series 2016-M11, Class X2 (IO) |
| |||||||||||
2.83% | 07/25/39 | 6 | 604,948 | 24,613 | ||||||||
Fannie Mae-Aces, |
| |||||||||||
Series 2016-M2, Class X3 (IO) |
| |||||||||||
2.10% | 04/25/36 | 6 | 272,042 | 2,740 | ||||||||
Fannie Mae-Aces, |
| |||||||||||
Series 2016-M4, Class X2 (IO) |
| |||||||||||
2.66% | 01/25/39 | 6 | 662,844 | 35,614 | ||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, |
| |||||||||||
Series K015, Class X3 (IO) |
| |||||||||||
2.82% | 08/25/39 | 6 | 350,000 | 2,922 | ||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, |
| |||||||||||
Series K020, Class X1 (IO) |
| |||||||||||
1.34% | 05/25/22 | 6 | 1,777,050 | 19,849 | ||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, |
| |||||||||||
Series K025, Class X1 (IO) |
| |||||||||||
0.79% | 10/25/22 | 6 | 739,582 | 7,584 | ||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, |
| |||||||||||
Series K049, Class X3 (IO) |
| |||||||||||
1.55% | 10/25/43 | 6 | 250,000 | 15,102 |
Issues
|
Maturity
|
Principal
| Value
| |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
U.S. Agency Commercial Mortgage-Backed (continued) |
| |||||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, |
| |||||||||||
Series K717, Class X3 (IO) |
| |||||||||||
1.62% | 11/25/42 | 6 | $ | 900,000 | $ | 6,838 | ||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, |
| |||||||||||
Series K722, Class X1 (IO) |
| |||||||||||
1.31% | 03/25/23 | 6 | 2,295,675 | 42,243 | ||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, |
| |||||||||||
Series KAIV, Class X2 (IO) |
| |||||||||||
3.59% | 06/25/41 | 6 | 200,000 | 1,174 | ||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, |
| |||||||||||
Series KC01, Class X1 (IO) |
| |||||||||||
0.47% | 12/25/22 | 6 | 2,596,748 | 15,933 | ||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, |
| |||||||||||
Series KC05, Class X1 (IO) |
| |||||||||||
1.20% | 06/25/27 | 6 | 398,979 | 21,509 | ||||||||
Ginnie Mae, | ||||||||||||
Series 2011-78, Class IX (IO) |
| |||||||||||
0.00% | 08/16/46 | 6 | 45,827 | 4,773 | ||||||||
Ginnie Mae, | ||||||||||||
Series 2012-112, Class IO (IO) |
| |||||||||||
0.17% | 02/16/53 | 6 | 3,791,707 | 30,871 | ||||||||
Ginnie Mae, | ||||||||||||
Series 2013-1, Class IO (IO) |
| |||||||||||
0.48% | 02/16/54 | 6 | 1,162,289 | 21,516 | ||||||||
Ginnie Mae, | ||||||||||||
Series 2013-125, Class IO (IO) |
| |||||||||||
0.37% | 10/16/54 | 6 | 1,358,855 | 24,896 | ||||||||
|
| |||||||||||
278,177 | ||||||||||||
|
| |||||||||||
U.S. Agency Mortgage-Backed — 3.91% |
| |||||||||||
Fannie Mae REMICS, |
| |||||||||||
Series 2011-116, Class SA (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 6.00%, 6.00% Cap) |
| |||||||||||
5.89% | 11/25/41 | 2 | 159,150 | 22,208 | ||||||||
Fannie Mae REMICS, |
| |||||||||||
Series 2012-128, Class UA |
| |||||||||||
2.50% | 06/25/42 | 65,993 | 66,969 | |||||||||
Fannie Mae REMICS, |
| |||||||||||
Series 2013-5, Class GF |
| |||||||||||
(LIBOR USD 1-Month plus 1.10%) |
| |||||||||||
1.21% | 10/25/42 | 2 | 45,671 | 46,058 | ||||||||
Freddie Mac REMICS, |
| |||||||||||
Series 4064, Class TB |
| |||||||||||
3.50% | 06/15/42 | 103,000 | 109,546 | |||||||||
Freddie Mac REMICS, |
| |||||||||||
Series 4638, Class UF |
| |||||||||||
(LIBOR USD 1-Month plus 1.00%) |
| |||||||||||
1.12% | 09/15/44 | 2 | 15,193 | 15,350 | ||||||||
Freddie Mac Strips, |
| |||||||||||
Series 240, Class IO (IO) |
| |||||||||||
5.50% | 07/15/36 | 237,644 | 50,304 |
See accompanying Notes to Financial Statements. |
Annual Report March 2021 / 112 |
Table of Contents
Investment Grade Credit Fund
Schedule of Portfolio Investments
March 31, 2021
Issues
|
Maturity
|
Principal
| Value
| |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
U.S. Agency Mortgage-Backed (continued) |
| |||||||||||
Ginnie Mae, | ||||||||||||
Series 2003-110, Class S (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap) |
| |||||||||||
6.49% | 10/20/33 | 2 | $ | 271,179 | $ | 58,848 | ||||||
Ginnie Mae, | ||||||||||||
Series 2018-124, Class NW |
| |||||||||||
3.50% | 09/20/48 | 44,771 | 48,072 | |||||||||
Ginnie Mae, | ||||||||||||
Series 2018-154, Class BP |
| |||||||||||
3.50% | 11/20/48 | 9,957 | 10,368 | |||||||||
Ginnie Mae, | ||||||||||||
Series 2019-15, Class GT |
| |||||||||||
3.50% | 02/20/49 | 47,626 | 50,817 | |||||||||
|
| |||||||||||
478,540 | ||||||||||||
|
| |||||||||||
Total Mortgage-Backed |
| |||||||||||
(Cost $2,684,374) |
| 2,054,925 | ||||||||||
|
| |||||||||||
MUNICIPAL BONDS — 2.70%* |
| |||||||||||
California — 0.83% |
| |||||||||||
Los Angeles Unified School District General Obligation Bonds, School Improvements, Series KR |
| |||||||||||
5.75% | 07/01/34 | 25,000 | 33,089 | |||||||||
Los Angeles Unified School District General Obligation Bonds, School Improvements, Series RY |
| |||||||||||
6.76% | 07/01/34 | 10,000 | 14,137 | |||||||||
Regents of the University of California Medical Center Pooled Revenue Bonds, Health, Hospital and Nursing Home Improvements, Series N |
| |||||||||||
3.01% | 05/15/50 | 10,000 | 9,609 | |||||||||
Santa Clara Valley Transportation Authority Revenue Bonds, Transit Improvements |
| |||||||||||
5.88% | 04/01/32 | 20,000 | 24,688 | |||||||||
Santa Monica Community College District General Obligation Bonds |
| |||||||||||
2.05% | 08/01/33 | 20,000 | 19,713 | |||||||||
|
| |||||||||||
101,236 | ||||||||||||
|
| |||||||||||
Colorado — 0.20% |
| |||||||||||
City & County of Denver Airport System Revenue Bonds, Series C |
| |||||||||||
2.24% | 11/15/30 | 25,000 | 24,467 | |||||||||
|
| |||||||||||
Florida — 0.13% |
| |||||||||||
County of Miami-Dade Aviation Revenue Bonds, Airport and Marina Improvements, Series D |
| |||||||||||
3.50% | 10/01/31 | 15,000 | 15,842 | |||||||||
|
| |||||||||||
Georgia — 0.16% |
| |||||||||||
City of Atlanta Water & Waste water Revenue Bonds |
| |||||||||||
2.26% | 11/01/35 | 20,000 | 19,870 | |||||||||
|
| |||||||||||
Maryland — 0.12% |
| |||||||||||
City of Baltimore Revenue Bonds, Series B |
| |||||||||||
2.13% | 07/01/33 | 15,000 | 14,575 | |||||||||
|
|
Issues
|
Maturity
|
Principal
| Value
| |||||||||
MUNICIPAL BONDS (continued) |
| |||||||||||
Massachusetts — 0.13% |
| |||||||||||
Massachusetts School Building Authority Revenue Bonds, Series B |
| |||||||||||
2.97% | 10/15/32 | $ | 15,000 | $ | 15,766 | |||||||
|
| |||||||||||
New York — 0.73% |
| |||||||||||
City of New York General Obligation Bonds, Series D |
| |||||||||||
1.92% | 08/01/31 | 30,000 | 27,961 | |||||||||
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements |
| |||||||||||
3.73% | 08/01/29 | 5,000 | 5,584 | |||||||||
New York State Dormitory Authority Revenue Bonds, School Improvements, Series F |
| |||||||||||
2.96% | 02/15/32 | 25,000 | 26,341 | |||||||||
New York State Urban Development Corp. Revenue Bonds, Economic Improvements, Series B |
| |||||||||||
2.97% | 03/15/34 | 15,000 | 15,324 | |||||||||
New York State Urban Development Corp. Revenue Bonds, Economic Improvements, Series F |
| |||||||||||
2.00% | 03/15/33 | 15,000 | 14,256 | |||||||||
|
| |||||||||||
89,466 | ||||||||||||
|
| |||||||||||
Texas — 0.40% |
| |||||||||||
Dallas Area Rapid Transit Revenue Bonds |
| |||||||||||
2.18% | 12/01/32 | 25,000 | 24,807 | |||||||||
North Texas Tollway Authority Revenue Bonds |
| |||||||||||
1.88% | 01/01/30 | 25,000 | 24,116 | |||||||||
|
| |||||||||||
48,923 | ||||||||||||
|
| |||||||||||
Total Municipal Bonds |
| |||||||||||
(Cost $335,364) | 330,145 | |||||||||||
|
| |||||||||||
U.S. TREASURY SECURITIES — 17.06% |
| |||||||||||
U.S. Treasury Notes — 17.06% |
| |||||||||||
U.S. Treasury Notes |
| |||||||||||
0.13% | 01/31/23 | 330,000 | 329,845 | |||||||||
0.13% | 02/28/23 | 1,202,000 | 1,201,296 | |||||||||
0.50% | 02/28/26 | 101,000 | 99,019 | |||||||||
0.75% | 03/31/26 | 24,000 | 23,793 | |||||||||
1.13% | 02/15/31 | 458,000 | 432,846 | |||||||||
|
| |||||||||||
Total U.S. Treasury Securities |
| |||||||||||
(Cost $2,095,736) |
| 2,086,799 | ||||||||||
|
| |||||||||||
Total Bonds — 97.80% |
| |||||||||||
(Cost $12,384,775) |
| 11,961,808 | ||||||||||
|
|
See accompanying Notes to Financial Statements. |
113 / Annual Report March 2021 |
Table of Contents
Investment Grade Credit Fund
Schedule of Portfolio Investments
March 31, 2021
Issues
|
Maturity
|
Principal
| Value
| |||||||
SHORT-TERM INVESTMENTS — 0.17% |
| |||||||||
Money Market Funds — 0.17% |
| |||||||||
Fidelity Investments Money Market Funds - Government Portfolio |
| |||||||||
0.01%7 | 20,597 | $ | 20,597 | |||||||
|
| |||||||||
Total Short-Term Investments |
| |||||||||
(Cost $20,597) | ||||||||||
Total Investments - 97.97% |
| |||||||||
(Cost $12,405,372) |
| 11,982,405 | ||||||||
|
| |||||||||
Cash and Other Assets, Less Liabilities - 2.03% |
| 248,179 | ||||||||
|
| |||||||||
Net Assets - 100.00% |
| $ | 12,230,584 | |||||||
|
|
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 March 31, 2021. |
3 | Foreign 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 $117,780, which is 0.96% 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 the current yield as of March 31, 2021. |
* | 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.
(GMTN): Global Medium-Term Note
(IO): Interest Only
(LIBOR): London InterBank Offer Rate
(MTN): Medium-Term Note
(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 | 21 | 06/30/21 | $ | 2,591,367 | $ | (31,355) | $ | (31,355) | ||||||||||||
U.S. Treasury Two Year Note | 3 | 06/30/21 | 662,180 | (84) | (84) | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
3,253,547 | (31,439) | (31,439) | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||
FUTURES CONTRACTS: SHORT POSITIONS | ||||||||||||||||||||
U.S. Treasury Ten Year Ultra Bond | 10 | 06/21/21 | (1,436,875) | 50,526 | 50,526 | |||||||||||||||
U.S. Treasury Ultra Bond | 2 | 06/21/21 | (362,438) | 18,289 | 18,289 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
(1,799,313) | 68,815 | 68,815 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||
TOTAL FUTURES CONTRACTS | $ | 1,454,234 | $ | 37,376 | $ | 37,376 | ||||||||||||||
|
|
|
|
|
|
See accompanying Notes to Financial Statements. |
Annual Report March 2021 / 114 |
Table of Contents
Schedule of Portfolio Investments
March 31, 2021
Issues
|
Maturity
|
Principal
| Value
| |||||||||
BONDS – 94.68% |
| |||||||||||
ASSET-BACKED SECURITIES — 13.42%** |
| |||||||||||
Access Group, Inc., |
| |||||||||||
Series 2015-1, Class A |
| |||||||||||
(LIBOR USD 1-Month plus 0.70%) |
| |||||||||||
0.81% | 07/25/56 | 1,2 | $ | 1,458,905 | $ | 1,456,985 | ||||||
AMMC CLO 19 Ltd., |
| |||||||||||
Series 2016-19A, Class AR |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.14%) |
| |||||||||||
1.38% | 10/16/28 | 1,2,3 | 2,200,000 | 2,200,066 | ||||||||
Arbor Realty Commercial Real Estate Notes Ltd., |
| |||||||||||
Series 2019-FL1, Class A |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 1-Month plus 1.15%) |
| |||||||||||
1.26% | 05/15/37 | 1,2,3 | 9,800,000 | 9,828,110 | ||||||||
Asset-Backed Securities Corp. Home Equity Loan Trust, |
| |||||||||||
Series 2006-HE3, Class A5 |
| |||||||||||
(LIBOR USD 1-Month plus 0.27%) |
| |||||||||||
0.38% | 03/25/36 | 2 | 3,635,000 | 3,578,336 | ||||||||
Barings CLO Ltd., |
| |||||||||||
Series 2016-2A, Class AR |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.08%) |
| |||||||||||
1.30% | 07/20/28 | 1,2,3 | 5,227,728 | 5,227,466 | ||||||||
Barings CLO Ltd., |
| |||||||||||
Series 2018-3A, Class A1 |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 0.95%) |
| |||||||||||
1.17% | 07/20/29 | 1,2,3 | 3,877,000 | 3,875,155 | ||||||||
Bayview Commercial Asset Trust, |
| |||||||||||
Series 2005-1A, Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.45%) |
| |||||||||||
0.56% | 04/25/35 | 1,2 | 160,097 | 154,366 | ||||||||
BlueMountain CLO Ltd., |
| |||||||||||
Series 2012-2A, Class AR2 |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.05%) |
| |||||||||||
1.23% | 11/20/28 | 1,2,3 | 5,233,912 | 5,237,314 | ||||||||
Brazos Higher Education Authority, Inc., |
| |||||||||||
Series 2011-1, Class A2 |
| |||||||||||
(LIBOR USD 3-Month plus 0.80%) |
| |||||||||||
0.99% | 02/25/30 | 2 | 74,025 | 74,313 | ||||||||
Brazos Higher Education Authority, Inc., |
| |||||||||||
Series 2011-2, Class A3 |
| |||||||||||
(LIBOR USD 3-Month plus 1.00%) |
| |||||||||||
1.22% | 10/27/36 | 2 | 5,075,000 | 5,106,374 | ||||||||
BSPRT Issuer Ltd., |
| |||||||||||
Series 2018-FL4, Class A |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 1-Month plus 1.05%) |
| |||||||||||
1.16% | 09/15/35 | 1,2,3 | 6,709,685 | 6,722,651 | ||||||||
Canyon Capital CLO Ltd., |
| |||||||||||
Series 2021-1A, Class X |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(-1.00 X LIBOR USD 3-Month plus 0.80%, 0.80% Cap) |
| |||||||||||
0.00% | 04/15/34 | 1,2,3 | 1,800,000 | 1,800,900 |
Issues
|
Maturity
|
Principal
| Value
| |||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||
Cedar Funding II CLO Ltd., |
| |||||||||||
Series 2013-1A, Class A1R |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.23%) |
| |||||||||||
1.42% | 06/09/30 | 1,2,3 | $ | 5,600,000 | $ | 5,603,651 | ||||||
Chase Funding Trust, |
| |||||||||||
Series 2002-2, Class 2A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.50%) |
| |||||||||||
0.61% | 05/25/32 | 2 | 2,411,886 | 2,386,745 | ||||||||
Countrywide Asset-Backed Certificates Trust, |
| |||||||||||
Series 2006-14, Class 2A3 |
| |||||||||||
(LIBOR USD 1-Month plus 0.24%) |
| |||||||||||
0.35% | 02/25/37 | 2 | 3,981,350 | 3,863,246 | ||||||||
Countrywide Asset-Backed Certificates Trust, |
| |||||||||||
Series 2007-8, Class 1A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.19%) |
| |||||||||||
0.30% | 11/25/37 | 2 | 11,561,653 | 11,052,302 | ||||||||
Dryden 33 Senior Loan Fund, |
| |||||||||||
Series 2014-33A, Class AR3 |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.00%) |
| |||||||||||
1.24% | 04/15/29 | 1,2,3 | 6,450,781 | 6,454,290 | ||||||||
Education Loan Asset-Backed Trust I, |
| |||||||||||
Series 2013-1, Class A2 |
| |||||||||||
(LIBOR USD 1-Month plus 0.80%) |
| |||||||||||
0.91% | 04/26/32 | 1,2 | 7,977,846 | 8,004,052 | ||||||||
Encore Credit Receivables Trust, |
| |||||||||||
Series 2005-3, Class M4 |
| |||||||||||
(LIBOR USD 1-Month plus 0.90%) |
| |||||||||||
1.01% | 10/25/35 | 2 | 7,017,000 | 7,008,833 | ||||||||
FFMLT Trust, |
| |||||||||||
Series 2005-FF8, Class M2 |
| |||||||||||
(LIBOR USD 1-Month plus 0.78%) |
| |||||||||||
0.89% | 09/25/35 | 2 | 3,694,470 | 3,706,238 | ||||||||
Galaxy XXIX CLO Ltd., |
| |||||||||||
Series 2018-29A, Class A |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 0.79%) |
| |||||||||||
0.98% | 11/15/26 | 1,2,3 | 5,677,942 | 5,680,991 | ||||||||
GCO Education Loan Funding Trust II, |
| |||||||||||
Series 2006-2AR, Class A1RN |
| |||||||||||
(LIBOR USD 1-Month plus 0.65%) |
| |||||||||||
0.76% | 08/27/46 | 1,2 | 6,930,177 | 6,898,759 | ||||||||
Goal Capital Funding Trust, |
| |||||||||||
Series 2006-1, Class B |
| |||||||||||
(LIBOR USD 3-Month plus 0.45%) |
| |||||||||||
0.64% | 08/25/42 | 2 | 2,013,046 | 1,891,047 | ||||||||
Grand Avenue CRE, |
| |||||||||||
Series 2019-FL1, Class A |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 1-Month plus 1.12%) |
| |||||||||||
1.23% | 06/15/37 | 1,2,3 | 7,819,260 | 7,823,743 | ||||||||
Higher Education Funding I, |
| |||||||||||
Series 2014-1, Class A |
| |||||||||||
(LIBOR USD 3-Month plus 1.05%) |
| |||||||||||
1.24% | 05/25/34 | 1,2 | 744,426 | 748,643 |
See accompanying Notes to Financial Statements. |
115 / Annual Report March 2021 |
Table of Contents
Low Duration Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues
|
Maturity
|
Principal
| Value
| |||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||
J.G. Wentworth XXX LLC, |
| |||||||||||
Series 2013-3A, Class A |
| |||||||||||
4.08% | 01/17/73 | 1 | $ | 3,391,539 | $ | 3,735,701 | ||||||
JPMorgan Mortgage Acquisition Trust, |
| |||||||||||
Series 2005-FRE1, Class M1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.62%) |
| |||||||||||
0.72% | 10/25/35 | 2 | 8,966,755 | 8,942,731 | ||||||||
KREF Ltd., | ||||||||||||
Series 2018-FL1, Class A |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 1-Month plus 1.10%) |
| |||||||||||
1.21% | 06/15/36 | 1,2,3 | 4,325,945 | 4,334,372 | ||||||||
LCM XXIV Ltd., |
| |||||||||||
Series 24A, Class AR |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(-1.00 X LIBOR USD 3-Month plus 0.98%, 0.98% Cap) |
| |||||||||||
0.00% | 03/20/30 | 1,2,3 | 4,500,000 | 4,502,295 | ||||||||
LoanCore Issuer Ltd., |
| |||||||||||
Series 2018-CRE1, Class A |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 1-Month plus 1.13%) |
| |||||||||||
1.24% | 05/15/28 | 1,2,3 | 4,127,834 | 4,128,190 | ||||||||
Madison Park Funding XIX Ltd., |
| |||||||||||
Series 2015-19A, Class A1R2 |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 0.92%) |
| |||||||||||
1.14% | 01/22/28 | 1,2,3 | 6,500,000 | 6,498,882 | ||||||||
Madison Park Funding XVII Ltd., |
| |||||||||||
Series 2015-17A, Class AR2 |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.00%) |
| |||||||||||
1.17% | 07/21/30 | 1,2,3 | 9,550,000 | 9,554,756 | ||||||||
Magnetite VII Ltd., |
| |||||||||||
Series 2012-7A, Class A1R2 |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 0.80%) |
| |||||||||||
1.04% | 01/15/28 | 1,2,3 | 5,590,000 | 5,577,926 | ||||||||
Marathon CRE Ltd., |
| |||||||||||
Series 2018-FL1, Class A |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 1-Month plus 1.15%) |
| |||||||||||
1.26% | 06/15/28 | 1,2,3 | 4,435,899 | 4,441,280 | ||||||||
Morgan Stanley ABS Capital I, Inc., Trust, |
| |||||||||||
Series 2005-HE2, Class M1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.60%) |
| |||||||||||
0.71% | 01/25/35 | 2 | 1,977,195 | 1,975,085 | ||||||||
Navient Student Loan Trust, |
| |||||||||||
Series 2015-2, Class A3 |
| |||||||||||
(LIBOR USD 1-Month plus 0.57%) |
| |||||||||||
0.68% | 11/26/40 | 2 | 4,572,121 | 4,555,785 | ||||||||
Navient Student Loan Trust, |
| |||||||||||
Series 2017-2A, Class A |
| |||||||||||
(LIBOR USD 1-Month plus 1.05%) |
| |||||||||||
1.16% | 12/27/66 | 1,2 | 2,598,521 | 2,634,081 |
Issues
|
Maturity
|
Principal
| Value
| |||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||
Nelnet Student Loan Trust, |
| |||||||||||
Series 2013-1A, Class A |
| |||||||||||
(LIBOR USD 1-Month plus 0.60%) |
| |||||||||||
0.71% | 06/25/41 | 1,2 | $ | 2,186,800 | $ | 2,169,990 | ||||||
Nelnet Student Loan Trust, |
| |||||||||||
Series 2014-5A, Class A |
| |||||||||||
(LIBOR USD 1-Month plus 0.55%) |
| |||||||||||
0.66% | 07/25/46 | 1,2 | 7,015,101 | 7,001,302 | ||||||||
Octagon Investment Partners XIV Ltd., |
| |||||||||||
Series 2012-1A, Class AARR |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 0.95%) |
| |||||||||||
1.06% | 07/15/29 | 1,2,3 | 6,000,000 | 6,002,862 | ||||||||
Palmer Square CLO Ltd., |
| |||||||||||
Series 2018-1A, Class A1 |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.03%) |
| |||||||||||
1.25% | 04/18/31 | 1,2,3 | 2,250,000 | 2,250,405 | ||||||||
Palmer Square Loan Funding Ltd., |
| |||||||||||
Series 2020-2A, Class A1 |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.00%) |
| |||||||||||
1.22% | 04/20/28 | 1,2,3 | 4,231,112 | 4,233,477 | ||||||||
Palmer Square Loan Funding Ltd., |
| |||||||||||
Series 2021-2A, Class A1 |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(-1.00 X LIBOR USD 3-Month plus 0.80%, 0.80% Cap) |
| |||||||||||
0.00% | 05/20/29 | 1,2,3 | 1,750,000 | 1,751,057 | ||||||||
PHEAA Student Loan Trust, |
| |||||||||||
Series 2016-1A, Class A |
| |||||||||||
(LIBOR USD 1-Month plus 1.15%) |
| |||||||||||
1.26% | 09/25/65 | 1,2 | 7,033,154 | 7,091,563 | ||||||||
Progress Residential Trust, |
| |||||||||||
Series 2018-SFR2, Class A |
| |||||||||||
3.71% | 08/17/35 | 1 | 5,000,000 | 5,036,728 | ||||||||
Progress Residential Trust, |
| |||||||||||
Series 2018-SFR3, Class A |
| |||||||||||
3.88% | 10/17/35 | 1 | 8,759,978 | 8,866,424 | ||||||||
Recette CLO Ltd., |
| |||||||||||
Series 2015-1A, Class ARR |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.08%) |
| |||||||||||
1.19% | 04/20/34 | 1,2,3 | 5,100,000 | 5,090,315 | ||||||||
Residential Asset Mortgage Products Trust, |
| |||||||||||
Series 2005-EFC1, Class M5 |
| |||||||||||
(LIBOR USD 1-Month plus 0.65%) |
| |||||||||||
1.08% | 05/25/35 | 2 | 6,206,000 | 6,217,737 | ||||||||
Residential Asset Mortgage Products Trust, |
| |||||||||||
Series 2006-NC2, Class A3 |
| |||||||||||
(LIBOR USD 1-Month plus 0.58%) |
| |||||||||||
0.69% | 02/25/36 | 2 | 2,490,385 | 2,480,308 | ||||||||
Residential Asset Securities Corp., |
| |||||||||||
Series 2005-KS11, Class M2 |
| |||||||||||
(LIBOR USD 1-Month plus 0.63%) |
| |||||||||||
0.74% | 12/25/35 | 2 | 8,415,317 | 8,395,660 |
See accompanying Notes to Financial Statements. |
Annual Report March 2021 / 116 |
Table of Contents
Low Duration Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues
|
Maturity
|
Principal
| Value
| |||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||
Skyline Aircraft Finance LLC, |
| |||||||||||
Series 2021-1, Class A |
| |||||||||||
3.23% | 05/10/37 | 4,5 | $ | 6,769,305 | $ | 6,666,708 | ||||||
SLC Student Loan Trust, Series 2007-1, Class A4 (LIBOR USD 3-Month plus 0.06%) |
| |||||||||||
0.25% | 05/15/29 | 2 | 3,219,606 | 3,197,396 | ||||||||
SLM Student Loan Trust, Series 2003-10A, Class A3 (LIBOR USD 3-Month plus 0.47%) |
| |||||||||||
0.65% | 12/15/27 | 1,2 | 3,144,788 | 3,146,102 | ||||||||
SLM Student Loan Trust, Series 2003-11, Class A6 (LIBOR USD 3-Month plus 0.55%) |
| |||||||||||
0.73% | 12/15/25 | 1,2 | 2,145,421 | 2,145,860 | ||||||||
SLM Student Loan Trust, Series 2007-6, Class A4 (LIBOR USD 3-Month plus 0.38%) |
| |||||||||||
0.60% | 10/25/24 | 2 | 914,898 | 914,865 | ||||||||
SLM Student Loan Trust, Series 2008-1, Class A4 (LIBOR USD 3-Month plus 0.65%) |
| |||||||||||
0.87% | 01/25/22 | 2 | 4,749,148 | 4,662,563 | ||||||||
SLM Student Loan Trust, Series 2008-4, Class A4 (LIBOR USD 3-Month plus 1.65%) |
| |||||||||||
1.87% | 07/25/22 | 2 | 3,953,635 | 4,020,151 | ||||||||
SLM Student Loan Trust, Series 2008-6, Class A4 (LIBOR USD 3-Month plus 1.10%) |
| |||||||||||
1.32% | 07/25/23 | 2 | 2,701,348 | 2,696,058 | ||||||||
SLM Student Loan Trust, Series 2012-2, Class A (LIBOR USD 1-Month plus 0.70%) |
| |||||||||||
0.81% | 01/25/29 | 2 | 2,293,550 | 2,227,382 | ||||||||
SLM Student Loan Trust, Series 2012-7, Class A3 (LIBOR USD 1-Month plus 0.65%) |
| |||||||||||
0.76% | 05/26/26 | 2 | 8,984,313 | 8,821,394 | ||||||||
SLM Student Loan Trust, Series 2013-4, Class A (LIBOR USD 1-Month plus 0.55%) |
| |||||||||||
0.66% | 06/25/43 | 2 | 2,702,147 | 2,699,906 | ||||||||
SLM Student Loan Trust, Series 2014-1, Class A3 (LIBOR USD 1-Month plus 0.60%) |
| |||||||||||
0.71% | 02/26/29 | 2 | 4,364,495 | 4,249,911 | ||||||||
Specialty Underwriting & Residential Finance Trust, Series 2005-BC2, Class M3 (LIBOR USD 1-Month plus 0.98%) |
| |||||||||||
1.08% | 12/25/35 | 2 | 2,851,736 | 2,841,425 | ||||||||
Structured Asset Securities Corp. Mortgage Loan Trust, Series 2006-BC6, Class A4 (LIBOR USD 1-Month plus 0.17%) |
| |||||||||||
0.28% | 01/25/37 | 2 | 3,623,163 | 3,605,656 |
Issues
|
Maturity
|
Principal
| Value
| |||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||
Student Loan Consolidation Center Student Loan Trust I, Series 2002-2, Class B2 (28 Day Auction Rate plus 0.00%) |
| |||||||||||
1.61% | 07/01/42 | 1,2 | $ | 2,900,000 | $ | 2,675,064 | ||||||
TPG Real Estate Finance Issuer Ltd., Series 2018-FL2, Class A (Cayman Islands) (LIBOR USD 1-Month plus 1.13%) |
| |||||||||||
1.24% | 11/15/37 | 1,2,3 | 17,130,903 | 17,165,637 | ||||||||
TRTX Issuer Ltd., Series 2019-FL3, Class A (Cayman Islands) (LIBOR USD 1-Month plus 1.15%) |
| |||||||||||
1.26% | 10/15/34 | 1,2,3 | 11,495,000 | 11,539,136 | ||||||||
Voya CLO, Series 2017-2A, Class A1R (Cayman Islands) (-1.00 X LIBOR USD 3-Month plus 0.98%, 0.98% Cap) |
| |||||||||||
0.00% | 06/07/30 | 1,2,3 | 5,850,000 | 5,852,925 | ||||||||
|
| |||||||||||
Total Asset-Backed Securities |
| |||||||||||
(Cost $331,431,781) |
| 332,981,627 | ||||||||||
|
| |||||||||||
BANK LOANS — 1.69%* |
| |||||||||||
Automotive — 0.02% |
| |||||||||||
Clarios Global LP, Term Loan B, 1st Lien (LIBOR plus 3.25%) |
| |||||||||||
3.36% | 04/30/26 | 2 | 580,331 | 575,253 | ||||||||
|
| |||||||||||
Communications — 0.66% |
| |||||||||||
CenturyLink, Inc., Term Loan A, 1st Lien (LIBOR plus 2.00%) |
| |||||||||||
2.11% | 01/31/25 | 2 | 562,500 | 559,688 | ||||||||
Term Loan B, 1st Lien (LIBOR plus 2.25%) |
| |||||||||||
2.36% | 03/15/27 | 2 | 888,750 | 880,818 | ||||||||
Charter Communications Operating LLC, Term Loan B2, 1st Lien (LIBOR plus 1.75%) |
| |||||||||||
1.87% | 02/01/27 | 2 | 246,867 | 245,988 | ||||||||
CSC Holdings LLC, Term Loan B, 1st Lien (LIBOR plus 2.25%) |
| |||||||||||
2.36% | 07/17/25 | 2 | 448,834 | 443,697 | ||||||||
2.36% | 01/15/26 | 2 | 1,176,000 | 1,161,671 | ||||||||
Term Loan B5, 1st Lien (LIBOR plus 2.50%) |
| |||||||||||
2.61% | 04/15/27 | 2 | 249,370 | 246,855 | ||||||||
Frontier Communications Corp., Term Loan B, 1st Lien (LIBOR plus 4.75%) |
| |||||||||||
5.75% | 10/08/21 | 2 | 2,250,000 | 2,247,188 | ||||||||
Intelsat Jackson Holdings, Delayed-Draw Term Loan, 1st Lien (Luxembourg) (LIBOR plus 5.50%) |
| |||||||||||
6.50% | 07/13/22 | 2,3 | 1,021,942 | 1,036,760 |
See accompanying Notes to Financial Statements. |
117 / Annual Report March 2021 |
Table of Contents
Low Duration Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues
|
Maturity
|
Principal
| Value
| |||||||||
BANK LOANS (continued) |
| |||||||||||
Communications (continued) |
| |||||||||||
Intelsat Jackson Holdings SA, |
| |||||||||||
Term Loan B4, 1st Lien (Luxembourg) |
| |||||||||||
(PRIME plus 3.50%) |
| |||||||||||
8.75% | 01/02/24 | 2,3 | $ | 488,919 | $ | 500,225 | ||||||
Term Loan B5, 1st Lien (Luxembourg) |
| |||||||||||
8.63% | 01/02/24 | 2,3 | 4,252,054 | 4,350,043 | ||||||||
Level 3 Parent LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
1.86% | 03/01/27 | 2 | 3,950,000 | 3,903,923 | ||||||||
Zayo Group Holdings, Inc., |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 3.00%) |
| |||||||||||
3.11% | 03/09/27 | 2 | 712,632 | 707,839 | ||||||||
|
| |||||||||||
16,284,695 | ||||||||||||
|
| |||||||||||
Electric — 0.01% |
| |||||||||||
Vistra Operations Co., LLC, |
| |||||||||||
Term Loan B3, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
1.86% | 12/31/25 | 2 | 246,576 | 245,167 | ||||||||
|
| |||||||||||
245,167 | ||||||||||||
|
| |||||||||||
Finance — 0.15% |
| |||||||||||
Delos Finance SARL, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
1.95% | 10/06/23 | 2 | 3,700,655 | 3,697,343 | ||||||||
|
| |||||||||||
Food — 0.03% |
| |||||||||||
Hostess Brands LLC, |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 2.25%) |
| |||||||||||
3.00% | 08/03/25 | 2 | 641,855 | 639,537 | ||||||||
|
| |||||||||||
Gaming — 0.08% |
| |||||||||||
Caesars Resort Collection LLC, |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 2.75%) |
| |||||||||||
2.86% | 12/23/24 | 2 | 1,944,974 | 1,919,174 | ||||||||
|
| |||||||||||
Health Care — 0.48% |
| |||||||||||
Avantor Funding, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.25%) |
| |||||||||||
3.25% | 11/08/27 | 2 | 1,596,000 | 1,598,594 | ||||||||
Change Healthcare Holdings LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.50%) |
| |||||||||||
3.50% | 03/01/24 | 2 | 917,285 | 917,335 | ||||||||
Elanco Animal Health, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
1.87% | 08/01/27 | 2 | 2,427,248 | 2,399,067 | ||||||||
Gentiva Health Services, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.75%) |
| |||||||||||
2.88% | 07/02/25 | 2 | 1,509,366 | 1,503,080 |
Issues
|
Maturity
|
Principal
| Value
| |||||||||
BANK LOANS (continued) |
| |||||||||||
Health Care (continued) |
| |||||||||||
Grifols Worldwide Operations USA, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.00%) |
| |||||||||||
2.08% | 11/15/27 | 2 | $ | 246,875 | $ | 244,421 | ||||||
HCA, Inc., |
| |||||||||||
Term Loan B12, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
1.86% | 03/13/25 | 2 | 4,726,010 | 4,729,389 | ||||||||
Valeant Pharmaceuticals International, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.00%) |
| |||||||||||
3.11% | 06/02/25 | 2 | 577,941 | 576,791 | ||||||||
|
| |||||||||||
11,968,677 | ||||||||||||
|
| |||||||||||
Industrials — 0.15% |
| |||||||||||
Berry Global, Inc., |
| |||||||||||
Term Loan Z, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
1.90% | 07/01/26 | 2 | 3,250,316 | 3,228,978 | ||||||||
TransDigm, Inc., |
| |||||||||||
Term Loan E, 1st Lien |
| |||||||||||
(LIBOR plus 2.25%) |
| |||||||||||
2.36% | 05/30/25 | 2 | 395,000 | 387,517 | ||||||||
|
| |||||||||||
3,616,495 | ||||||||||||
|
| |||||||||||
Information Technology — 0.06% |
| |||||||||||
IQVIA, Inc., |
| |||||||||||
Term Loan B1, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
1.86% | 03/07/24 | 2 | 450,337 | 448,986 | ||||||||
Term Loan B3, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
1.95% | 06/11/25 | 2 | 733,077 | 730,328 | ||||||||
SS&C Technologies, Inc., |
| |||||||||||
Term Loan B3, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
1.86% | 04/16/25 | 2 | 223,852 | 221,908 | ||||||||
Term Loan B4, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
1.86% | 04/16/25 | 2 | 167,140 | 165,689 | ||||||||
|
| |||||||||||
1,566,911 | ||||||||||||
|
| |||||||||||
Real Estate Investment Trust (REIT) — 0.01% |
| |||||||||||
VICI Properties 1 LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
1.86% | 12/20/24 | 2 | 250,000 | 247,527 | ||||||||
|
| |||||||||||
Services — 0.03% |
| |||||||||||
GFL Environmental, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.00%) |
| |||||||||||
3.50% | 05/30/25 | 2 | 865,446 | 867,069 | ||||||||
|
|
See accompanying Notes to Financial Statements. |
Annual Report March 2021 / 118 |
Table of Contents
Low Duration Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues
|
Maturity
|
Principal
| Value
| |||||||||
BANK LOANS (continued) |
| |||||||||||
Transportation — 0.01% |
| |||||||||||
American Airlines, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
1.86% | 01/29/27 | 2 | $ | 247,500 | $ | 226,547 | ||||||
|
| |||||||||||
Total Bank Loans |
| |||||||||||
(Cost $41,094,647) |
| 41,854,395 | ||||||||||
|
| |||||||||||
CORPORATES — 26.67%* |
| |||||||||||
Banking — 3.65% |
| |||||||||||
Bank of America Corp. |
| |||||||||||
2.88% | 04/24/23 | 6 | 3,000,000 | 3,072,254 | ||||||||
3.00% | 12/20/23 | 6 | 2,801,000 | 2,914,141 | ||||||||
Bank of America Corp. |
| |||||||||||
(MTN) |
| |||||||||||
1.49% | 05/19/24 | 6 | 17,920,000 | 18,236,670 | ||||||||
Bank of America N.A. |
| |||||||||||
3.34% | 01/25/23 | 6 | 1,015,000 | 1,040,001 | ||||||||
Credit Suisse Group AG |
| |||||||||||
(Switzerland) |
| |||||||||||
2.59% | 09/11/25 | 1,3,6 | 4,645,000 | 4,822,145 | ||||||||
3.80% | 06/09/23 | 3 | 1,170,000 | 1,242,044 | ||||||||
HSBC Holdings PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
3.95% | 05/18/24 | 3,6 | 10,065,000 | 10,745,259 | ||||||||
(LIBOR USD 3-Month plus 1.00%) |
| |||||||||||
1.19% | 05/18/24 | 2,3 | 2,880,000 | 2,912,089 | ||||||||
Lloyds Banking Group PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
2.86% | 03/17/23 | 3,6 | 7,750,000 | 7,915,232 | ||||||||
3.87% | 07/09/25 | 3,6 | 3,700,000 | 4,029,675 | ||||||||
Macquarie Group Ltd. |
| |||||||||||
(Australia) |
| |||||||||||
1.34% | 01/12/27 | 1,3,6 | 3,425,000 | 3,362,992 | ||||||||
Santander UK Group Holdings PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
3.37% | 01/05/24 | 3,6 | 1,000,000 | 1,045,639 | ||||||||
4.80% | 11/15/24 | 3,6 | 13,000,000 | 14,314,046 | ||||||||
Wells Fargo & Co. |
| |||||||||||
(MTN) |
| |||||||||||
2.16% | 02/11/26 | 6 | 4,045,000 | 4,175,164 | ||||||||
2.39% | 06/02/28 | 6 | 2,000,000 | 2,050,959 | ||||||||
3.75% | 01/24/24 | 7,935,000 | 8,584,159 | |||||||||
|
| |||||||||||
90,462,469 | ||||||||||||
|
| |||||||||||
Communications — 2.56% |
| |||||||||||
AT&T, Inc. |
| |||||||||||
2.30% | 06/01/27 | 1,600,000 | 1,633,533 | |||||||||
2.55% | 12/01/33 | 1 | 1,599,000 | 1,518,938 | ||||||||
4.30% | 02/15/30 | 4,400,000 | 4,959,734 | |||||||||
(LIBOR USD 3-Month plus 1.18%) |
| |||||||||||
1.36% | 06/12/24 | 2 | 475,000 | 485,355 | ||||||||
Charter Communications Operating LLC/Charter |
| |||||||||||
Communications Operating Capital |
| |||||||||||
4.50% | 02/01/24 | 1,720,000 | 1,882,213 | |||||||||
4.91% | 07/23/25 | 2,200,000 | 2,498,276 |
Issues
|
Maturity
|
Principal
| Value
| |||||||||
CORPORATES (continued) |
| |||||||||||
Communications (continued) |
| |||||||||||
Cox Communications, Inc. |
| |||||||||||
3.15% | 08/15/24 | 1 | $ | 3,480,000 | $ | 3,717,773 | ||||||
7.63% | 06/15/25 | 900,000 | 1,101,356 | |||||||||
Qwest Corp. |
| |||||||||||
7.25% | 09/15/25 | 2,400,000 | 2,817,000 | |||||||||
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint |
| |||||||||||
Spectrum Co. III LLC |
| |||||||||||
3.36% | 09/20/21 | 1 | 3,554,375 | 3,589,919 | ||||||||
4.74% | 03/20/25 | 1 | 9,068,000 | 9,737,445 | ||||||||
5.15% | 03/20/28 | 1 | 3,675,000 | 4,198,687 | ||||||||
T-Mobile USA, Inc. |
| |||||||||||
1.50% | 02/15/26 | 1 | 1,825,000 | 1,809,295 | ||||||||
2.25% | 02/15/26 | 3,091,000 | 3,099,752 | |||||||||
3.50% | 04/15/25 | 1 | 645,000 | 698,296 | ||||||||
3.88% | 04/15/30 | 1 | 3,810,000 | 4,139,984 | ||||||||
Verizon Communications, Inc. |
| |||||||||||
1.45% | 03/20/26 | 12,325,000 | 12,336,104 | |||||||||
Vodafone Group PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
4.13% | 05/30/25 | 3 | 3,000,000 | 3,344,238 | ||||||||
|
| |||||||||||
63,567,898 | ||||||||||||
|
| |||||||||||
Consumer Discretionary — 0.71% |
| |||||||||||
Bacardi Ltd. |
| |||||||||||
(Bermuda) |
| |||||||||||
4.45% | 05/15/25 | 1,3 | 4,000,000 | 4,450,699 | ||||||||
BAT Capital Corp. |
| |||||||||||
3.22% | 08/15/24 | 2,140,000 | 2,282,701 | |||||||||
3.56% | 08/15/27 | 4,000,000 | 4,259,517 | |||||||||
Imperial Brands Finance PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
3.75% | 07/21/22 | 1,3 | 830,000 | 858,016 | ||||||||
4.25% | 07/21/25 | 1,3 | 5,205,000 | 5,729,745 | ||||||||
|
| |||||||||||
17,580,678 | ||||||||||||
|
| |||||||||||
Electric — 2.16% |
| |||||||||||
Alliant Energy Finance LLC |
| |||||||||||
1.40% | 03/15/26 | 1 | 6,540,000 | 6,423,088 | ||||||||
American Electric Power Co., Inc., |
| |||||||||||
Series I |
| |||||||||||
3.65% | 12/01/21 | 5,000,000 | 5,108,158 | |||||||||
Black Hills Corp. |
| |||||||||||
4.25% | 11/30/23 | 4,050,000 | 4,395,952 | |||||||||
Dominion Energy, Inc. |
| |||||||||||
2.45% | 01/15/23 | 1 | 5,000,000 | 5,173,344 | ||||||||
Dominion Energy, Inc., |
| |||||||||||
Series A |
| |||||||||||
3.30% | 03/15/25 | 4,600,000 | 4,941,845 | |||||||||
Duquesne Light Holdings, Inc. |
| |||||||||||
5.90% | 12/01/21 | 1 | 5,000,000 | 5,163,991 | ||||||||
Evergy Metro, Inc. |
| |||||||||||
3.65% | 08/15/25 | 1,613,000 | 1,766,319 | |||||||||
Jersey Central Power & Light Co. |
| |||||||||||
4.70% | 04/01/24 | 1 | 5,000,000 | 5,442,017 |
See accompanying Notes to Financial Statements. |
119 / Annual Report March 2021 |
Table of Contents
Low Duration Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues
|
Maturity
|
Principal
| Value
| |||||||||
CORPORATES (continued) |
| |||||||||||
Electric (continued) |
| |||||||||||
NextEra Energy Capital Holdings, Inc. |
| |||||||||||
(LIBOR USD 3-Month plus 0.48%) |
| |||||||||||
0.67% | 05/04/21 | 2 | $ | 10,650,000 | $ | 10,653,072 | ||||||
(LIBOR USD 3-Month plus 0.55%) |
| |||||||||||
0.74% | 08/28/21 | 2 | 3,412,000 | 3,413,051 | ||||||||
Pennsylvania Electric Co. |
| |||||||||||
4.15% | 04/15/25 | 1 | 500,000 | 534,162 | ||||||||
Tucson Electric Power Co. |
| |||||||||||
3.85% | 03/15/23 | 530,000 | 560,149 | |||||||||
|
|
| ||||||||||
53,575,148 | ||||||||||||
|
|
| ||||||||||
Energy — 1.60% |
| |||||||||||
Energy Transfer Operating LP |
| |||||||||||
4.05% | 03/15/25 | 2,610,000 | 2,818,324 | |||||||||
4.75% | 01/15/26 | 2,000,000 | 2,218,406 | |||||||||
4.90% | 02/01/24 | 4,292,000 | 4,683,131 | |||||||||
NGPL Pipe Co. LLC |
| |||||||||||
4.38% | 08/15/22 | 1 | 5,249,000 | 5,449,963 | ||||||||
Petroleos Mexicanos |
| |||||||||||
(Mexico) | ||||||||||||
5.35% | 02/12/28 | 3 | 6,470,000 | 6,302,427 | ||||||||
6.50% | 01/23/29 | 3 | 955,000 | 966,398 | ||||||||
Plains All American Pipeline LP/PAA Finance Corp. |
| |||||||||||
4.50% | 12/15/26 | 5,422,000 | 5,961,381 | |||||||||
Ruby Pipeline LLC |
| |||||||||||
8.00% | 04/01/22 | 1,4,5 | 2,461,705 | 2,061,924 | ||||||||
Sabine Pass Liquefaction LLC |
| |||||||||||
5.75% | 05/15/24 | 3,715,000 | 4,200,759 | |||||||||
Southern Co. Gas Capital Corp. |
| |||||||||||
3.88% | 11/15/25 | 1,950,000 | 2,157,143 | |||||||||
Sunoco Logistics Partners Operations LP |
| |||||||||||
5.95% | 12/01/25 | 2,520,000 | 2,936,713 | |||||||||
|
|
| ||||||||||
39,756,569 | ||||||||||||
|
|
| ||||||||||
Finance — 6.33% |
| |||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust |
| |||||||||||
(Ireland) | ||||||||||||
3.95% | 02/01/22 | 3 | 1,935,000 | 1,980,231 | ||||||||
4.88% | 01/16/24 | 3 | 718,000 | 782,060 | ||||||||
Air Lease Corp. |
| |||||||||||
3.50% | 01/15/22 | 4,170,000 | 4,264,685 | |||||||||
Air Lease Corp. |
| |||||||||||
(MTN) | ||||||||||||
0.70% | 02/15/24 | 1,250,000 | 1,235,161 | |||||||||
Avolon Holdings Funding Ltd. |
| |||||||||||
(Cayman Islands) |
| |||||||||||
3.63% | 05/01/22 | 1,3 | 2,860,000 | 2,917,057 | ||||||||
Citigroup, Inc. |
| |||||||||||
3.35% | 04/24/25 | 6 | 8,620,000 | 9,229,244 | ||||||||
Daimler Finance North America LLC |
| |||||||||||
(LIBOR USD 3-Month plus 0.90%) |
| |||||||||||
1.09% | 02/15/22 | 1,2 | 8,195,000 | 8,250,967 | ||||||||
Discover Financial Services |
| |||||||||||
5.20% | 04/27/22 | 2,558,000 | 2,682,403 | |||||||||
Ford Motor Credit Co. LLC |
| |||||||||||
3.22% | 01/09/22 | 2,793,000 | 2,830,566 |
Issues
|
Maturity
|
Principal
| Value
| |||||||||
CORPORATES (continued) |
| |||||||||||
Finance (continued) |
| |||||||||||
5.60% | 01/07/22 | $ | 2,587,000 | $ | 2,664,170 | |||||||
(LIBOR USD 3-Month plus 0.81%) |
| |||||||||||
1.05% | 04/05/21 | 2 | 1,205,000 | 1,205,000 | ||||||||
(LIBOR USD 3-Month plus 0.88%) |
| |||||||||||
1.10% | 10/12/21 | 2 | 2,500,000 | 2,488,187 | ||||||||
(LIBOR USD 3-Month plus 1.08%) |
| |||||||||||
1.28% | 08/03/22 | 2 | 2,700,000 | 2,673,000 | ||||||||
GE Capital Funding LLC |
| |||||||||||
4.40% | 05/15/30 | 1 | 5,810,000 | 6,582,699 | ||||||||
General Motors Financial Co., Inc. |
| |||||||||||
4.20% | 11/06/21 | 7,405,000 | 7,566,728 | |||||||||
4.38% | 09/25/21 | 4,000,000 | 4,074,445 | |||||||||
Goldman Sachs Group, Inc. (The) |
| |||||||||||
2.88% | 10/31/22 | 6 | 726,000 | 735,670 | ||||||||
2.91% | 07/24/23 | 6 | 6,814,000 | 7,016,580 | ||||||||
Goldman Sachs Group, Inc. (The), |
| |||||||||||
Series FXD |
| |||||||||||
0.48% | 01/27/23 | 27,490,000 | 27,461,960 | |||||||||
Intercontinental Exchange, Inc. |
| |||||||||||
(LIBOR USD 3-Month plus 0.65%) |
| |||||||||||
0.83% | 06/15/23 | 2 | 9,150,000 | 9,166,567 | ||||||||
JPMorgan Chase & Co. |
| |||||||||||
0.70% | 03/16/24 | 6 | 12,295,000 | 12,345,601 | ||||||||
Morgan Stanley |
| |||||||||||
(GMTN) | ||||||||||||
5.50% | 07/28/21 | 5,260,000 | 5,347,093 | |||||||||
Morgan Stanley |
| |||||||||||
(MTN) | ||||||||||||
0.53% | 01/25/24 | 6 | 17,835,000 | 17,808,118 | ||||||||
Nationwide Building Society |
| |||||||||||
(United Kingdom) |
| |||||||||||
3.62% | 04/26/23 | 1,3,6 | 8,205,000 | 8,465,900 | ||||||||
3.77% | 03/08/24 | 1,3,6 | 2,810,000 | 2,969,922 | ||||||||
Park Aerospace Holdings Ltd. |
| |||||||||||
(Cayman Islands) |
| |||||||||||
4.50% | 03/15/23 | 1,3 | 365,000 | 381,369 | ||||||||
5.25% | 08/15/22 | 1,3 | 3,605,000 | 3,785,775 | ||||||||
|
|
| ||||||||||
156,911,158 | ||||||||||||
|
|
| ||||||||||
Food — 0.71% |
| |||||||||||
Kraft Heinz Foods Co. |
| |||||||||||
3.50% | 06/06/22 | 1,445,000 | 1,492,959 | |||||||||
4.00% | 06/15/23 | 11,326,000 | 12,121,539 | |||||||||
Smithfield Foods, Inc. |
| |||||||||||
3.35% | 02/01/22 | 1 | 3,946,000 | 3,996,716 | ||||||||
|
|
| ||||||||||
17,611,214 | ||||||||||||
|
|
| ||||||||||
Health Care — 3.83% |
| |||||||||||
AbbVie, Inc. |
| |||||||||||
3.25% | 10/01/22 | 1,500,000 | 1,551,862 | |||||||||
3.45% | 03/15/22 | 3,000,000 | 3,069,609 | |||||||||
3.80% | 03/15/25 | 4,615,000 | 5,044,509 | |||||||||
3.85% | 06/15/24 | 2,500,000 | 2,723,494 | |||||||||
Aetna, Inc. | ||||||||||||
3.50% | 11/15/24 | 3,136,000 | 3,389,046 |
See accompanying Notes to Financial Statements. |
Annual Report March 2021 / 120 |
Table of Contents
Low Duration Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues
|
Maturity
|
Principal
| Value
| |||||||||
CORPORATES (continued) |
| |||||||||||
Health Care (continued) |
| |||||||||||
Amgen, Inc. |
| |||||||||||
2.65% | 05/11/22 | $ | 671,000 | $ | 686,721 | |||||||
Anthem, Inc. |
| |||||||||||
3.70% | 08/15/21 | 1,478,000 | 1,483,462 | |||||||||
Bausch Health Cos., Inc. |
| |||||||||||
(Canada) | ||||||||||||
7.00% | 03/15/24 | 1,3 | 4,500,000 | 4,608,000 | ||||||||
Bayer U.S. Finance II LLC |
| |||||||||||
2.20% | 07/15/22 | 1 | 1,455,000 | 1,478,050 | ||||||||
2.75% | 07/15/21 | 1 | 635,000 | 638,633 | ||||||||
2.85% | 04/15/25 | 1 | 2,300,000 | 2,381,594 | ||||||||
3.50% | 06/25/21 | 1 | 1,825,000 | 1,833,012 | ||||||||
3.88% | 12/15/23 | 1 | 5,540,000 | 5,975,664 | ||||||||
4.25% | 12/15/25 | 1 | 1,000,000 | 1,113,790 | ||||||||
Boston Scientific Corp. |
| |||||||||||
1.90% | 06/01/25 | 2,500,000 | 2,568,061 | |||||||||
Cigna Corp. |
| |||||||||||
3.75% | 07/15/23 | 2,166,000 | 2,316,015 | |||||||||
CommonSpirit Health |
| |||||||||||
2.76% | 10/01/24 | 5,400,000 | 5,732,905 | |||||||||
CVS Health Corp. |
| |||||||||||
2.88% | 06/01/26 | 4,330,000 | 4,602,745 | |||||||||
Dignity Health |
| |||||||||||
3.13% | 11/01/22 | 1,140,000 | 1,180,486 | |||||||||
Elanco Animal Health, Inc. |
| |||||||||||
4.91% | 08/27/21 | 2,500,000 | 2,526,562 | |||||||||
Fresenius Medical Care U.S. Finance II, Inc. |
| |||||||||||
5.88% | 01/31/22 | 1 | 4,650,000 | 4,839,544 | ||||||||
Fresenius U.S. Finance II, Inc. |
| |||||||||||
4.50% | 01/15/23 | 1 | 5,205,000 | 5,458,630 | ||||||||
Gilead Sciences, Inc. |
| |||||||||||
(LIBOR USD 3-Month plus 0.52%) |
| |||||||||||
0.71% | 09/29/23 | 2 | 6,500,000 | 6,508,415 | ||||||||
HCA, Inc. | ||||||||||||
5.00% | 03/15/24 | 6,065,000 | 6,758,988 | |||||||||
5.25% | 04/15/25 | 1,500,000 | 1,714,122 | |||||||||
Humana, Inc. |
| |||||||||||
3.15% | 12/01/22 | 2,000,000 | 2,074,793 | |||||||||
3.85% | 10/01/24 | 3,990,000 | 4,361,333 | |||||||||
Royalty Pharma PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
0.75% | 09/02/23 | 1,3 | 5,275,000 | 5,270,112 | ||||||||
Tenet Healthcare Corp. |
| |||||||||||
4.63% | 09/01/24 | 1 | 3,000,000 | 3,092,690 | ||||||||
|
|
| ||||||||||
94,982,847 | ||||||||||||
|
|
| ||||||||||
Industrials — 1.27% |
| |||||||||||
Amcor Flexibles North America, Inc. |
| |||||||||||
4.50% | 10/15/21 | 6,947,000 | 7,023,887 | |||||||||
Berry Global, Inc. |
| |||||||||||
0.95% | 02/15/24 | 1 | 1,405,000 | 1,399,210 | ||||||||
1.57% | 01/15/26 | 1 | 2,000,000 | 1,970,683 | ||||||||
Boeing Co. (The) |
| |||||||||||
1.17% | 02/04/23 | 5,750,000 | 5,775,978 |
Issues
|
Maturity
|
Principal
| Value
| |||||||||
CORPORATES (continued) |
| |||||||||||
Industrials (continued) |
| |||||||||||
General Electric Co. |
| |||||||||||
(MTN) | ||||||||||||
(LIBOR USD 3-Month plus 0.38%) |
| |||||||||||
0.58% | 05/05/26 | 2 | $ | 7,674,000 | $ | 7,476,902 | ||||||
(LIBOR USD 3-Month plus 0.48%) |
| |||||||||||
0.67% | 08/15/36 | 2 | 2,182,000 | 1,768,008 | ||||||||
General Electric Co., |
| |||||||||||
Series NOTZ (MTN) |
| |||||||||||
(LIBOR USD 3-Month plus 1.00%) |
| |||||||||||
1.24% | 04/15/23 | 2 | 4,936,000 | 4,978,395 | ||||||||
Ingersoll-Rand Co. |
| |||||||||||
9.00% | 08/15/21 | 1,100,000 | 1,129,321 | |||||||||
|
|
| ||||||||||
31,522,384 | ||||||||||||
|
|
| ||||||||||
Information Technology — 0.71% |
| |||||||||||
NXP BV/NXP Funding LLC |
| |||||||||||
(Netherlands) | ||||||||||||
4.63% | 06/01/23 | 1,3 | 6,745,000 | 7,306,698 | ||||||||
Oracle Corp. | ||||||||||||
1.65% | 03/25/26 | 10,085,000 | 10,159,511 | |||||||||
|
|
| ||||||||||
17,466,209 | ||||||||||||
|
|
| ||||||||||
Insurance — 0.36% |
| |||||||||||
Metropolitan Life Global Funding I |
| |||||||||||
3.38% | 01/11/22 | 1 | 1,550,000 | 1,587,568 | ||||||||
Nationwide Mutual Insurance Co. |
| |||||||||||
2.47% | 12/15/24 | 1,6 | 5,550,000 | 5,546,955 | ||||||||
Teachers Insurance & Annuity Association of America |
| |||||||||||
4.38% | 09/15/54 | 1,6 | 1,600,000 | 1,701,476 | ||||||||
|
|
| ||||||||||
8,835,999 | ||||||||||||
|
|
| ||||||||||
Materials — 0.06% |
| |||||||||||
Nutrition & Biosciences, Inc. |
| |||||||||||
0.70% | 09/15/22 | 1 | 1,490,000 | 1,493,182 | ||||||||
|
|
| ||||||||||
Real Estate Investment Trust (REIT) — 1.67% |
| |||||||||||
American Campus Communities Operating Partnership LP |
| |||||||||||
3.75% | 04/15/23 | 7,374,000 | 7,799,938 | |||||||||
CyrusOne LP/CyrusOne Finance Corp. |
| |||||||||||
2.90% | 11/15/24 | 6,440,000 | 6,816,064 | |||||||||
Federal Realty Investment Trust |
| |||||||||||
7.48% | 08/15/26 | 1,850,000 | 2,326,884 | |||||||||
GLP Capital LP/GLP Financing II, Inc. |
| |||||||||||
3.35% | 09/01/24 | 1,197,000 | 1,270,555 | |||||||||
5.38% | 11/01/23 | 7,673,000 | 8,399,517 | |||||||||
Highwoods Realty LP |
| |||||||||||
3.20% | 06/15/21 | 943,000 | 947,638 | |||||||||
Kilroy Realty LP |
| |||||||||||
3.45% | 12/15/24 | 1,558,000 | 1,668,134 | |||||||||
Kimco Realty Corp. |
| |||||||||||
3.40% | 11/01/22 | 4,000,000 | 4,168,083 | |||||||||
SL Green Operating Partnership LP |
| |||||||||||
3.25% | 10/15/22 | 645,000 | 668,744 | |||||||||
(LIBOR USD 3-Month plus 0.98%) |
| |||||||||||
1.17% | 08/16/21 | 2 | 7,450,000 | 7,450,244 | ||||||||
|
|
| ||||||||||
41,515,801 | ||||||||||||
|
|
|
See accompanying Notes to Financial Statements. |
121 / Annual Report March 2021 |
Table of Contents
Low Duration Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues
|
Maturity
|
Principal
| Value
| |||||||||
CORPORATES (continued) |
| |||||||||||
Retail — 0.33% |
| |||||||||||
7-Eleven, Inc. |
| |||||||||||
(LIBOR USD 3-Month plus 0.45%) |
| |||||||||||
0.65% | 08/10/22 | 1,2 | $ | 5,860,000 | $ | 5,866,317 | ||||||
Alimentation Couche-Tard, Inc. |
| |||||||||||
(Canada) |
| |||||||||||
3.55% | 07/26/27 | 1,3 | 2,175,000 | 2,365,883 | ||||||||
|
|
| ||||||||||
8,232,200 | ||||||||||||
|
|
| ||||||||||
Services — 0.51% |
| |||||||||||
IHS Markit Ltd. |
| |||||||||||
(Bermuda) |
| |||||||||||
3.63% | 05/01/24 | 3 | 2,090,000 | 2,245,475 | ||||||||
5.00% | 11/01/22 | 1,3 | 9,936,000 | 10,481,701 | ||||||||
|
|
| ||||||||||
12,727,176 | ||||||||||||
|
|
| ||||||||||
Transportation — 0.21% |
| |||||||||||
America West Airlines Pass-Through Trust, |
| |||||||||||
Series 2001-1, Class G |
| |||||||||||
7.10% | 04/02/21 | 22,201 | 22,422 | |||||||||
Aviation Capital Group LLC |
| |||||||||||
(LIBOR USD 3-Month plus 0.95%) |
| |||||||||||
1.14% | 06/01/21 | 1,2 | 2,135,000 | 2,135,165 | ||||||||
Continental Airlines Pass-Through Trust, |
| |||||||||||
Series 2000-2, Class A1 |
| |||||||||||
7.71% | 04/02/21 | 180,747 | 180,747 | |||||||||
Delta Air Lines Pass-Through Trust, |
| |||||||||||
Series 2020-1, Class AA |
| |||||||||||
2.00% | 06/10/28 | 1,523,062 | 1,527,441 | |||||||||
Northwest Airlines Pass-Through Trust, |
| |||||||||||
Series 2001-1, Class A1 |
| |||||||||||
7.04% | 04/01/22 | 1,257,038 | 1,297,009 | |||||||||
|
|
| ||||||||||
5,162,784 | ||||||||||||
|
|
| ||||||||||
Total Corporates |
| |||||||||||
(Cost $650,794,035) |
| 661,403,716 | ||||||||||
|
|
| ||||||||||
MORTGAGE-BACKED — 37.96%** |
| |||||||||||
Non-Agency Commercial Mortgage-Backed — 6.45% |
| |||||||||||
BX Commercial Mortgage Trust, |
| |||||||||||
Series 2018-IND, Class A |
| |||||||||||
(LIBOR USD 1-Month plus 0.75%) |
| |||||||||||
0.86% | 11/15/35 | 1,2 | 1,319,930 | 1,321,546 | ||||||||
BX Commercial Mortgage Trust, |
| |||||||||||
Series 2020-BXLP, Class A |
| |||||||||||
(LIBOR USD 1-Month plus 0.80%) |
| |||||||||||
0.91% | 12/15/36 | 1,2 | 5,418,018 | 5,426,943 | ||||||||
CFCRE Commercial Mortgage Trust, |
| |||||||||||
Series 2016-C4, Class ASB |
| |||||||||||
3.09% | 05/10/58 | 3,393,000 | 3,582,034 | |||||||||
CHT Mortgage Trust, |
| |||||||||||
Series 2017-CSMO, Class A |
| |||||||||||
(LIBOR USD 1-Month plus 0.93%) |
| |||||||||||
1.04% | 11/15/36 | 1,2 | 7,977,280 | 7,989,645 | ||||||||
Citigroup Commercial Mortgage Trust, |
| |||||||||||
Series 2017-C4, Class A2 |
| |||||||||||
3.19% | 10/12/50 | 8,109,483 | 8,351,501 |
Issues
|
Maturity
|
Principal
| Value
| |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Commercial Mortgage-Backed (continued) |
| |||||||||||
Citigroup Commercial Mortgage Trust, |
| |||||||||||
Series 2020-WSS, Class A |
| |||||||||||
(LIBOR USD 1-Month plus 1.95%) |
| |||||||||||
2.06% | 02/15/39 | 1,2 | $ | 12,989,276 | $ | 13,181,020 | ||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2013-CR7, Class XA (IO) |
| |||||||||||
1.21% | 03/10/46 | 6 | 25,398,792 | 487,723 | ||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2013-LC6, Class ASB |
| |||||||||||
2.48% | 01/10/46 | 4,335,082 | 4,404,997 | |||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2014-CR15, Class ASB |
| |||||||||||
3.60% | 02/10/47 | 3,794,024 | 3,944,023 | |||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2016-DC2, Class ASB |
| |||||||||||
3.55% | 02/10/49 | 246,728 | 262,283 | |||||||||
DBRR Trust, |
| |||||||||||
Series 2011-LC2, Class A4A |
| |||||||||||
4.54% | 07/12/44 | 1,6 | 273,612 | 273,570 | ||||||||
DBUBS Mortgage Trust, |
| |||||||||||
Series 2011-LC2A, Class A4 |
| |||||||||||
4.54% | 07/10/44 | 1 | 2,306,071 | 2,311,109 | ||||||||
Eleven Madison Mortgage Trust, |
| |||||||||||
Series 2015-11MD, Class A |
| |||||||||||
3.55% | 09/10/35 | 1,6 | 3,600,000 | 3,887,801 | ||||||||
GS Mortgage Securities Corp. II, |
| |||||||||||
Series 2018-GS10, Class A1 |
| |||||||||||
3.20% | 07/10/51 | 4,345,919 | 4,441,844 | |||||||||
Irvine Core Office Trust, |
| |||||||||||
Series 2013-IRV, Class A1 |
| |||||||||||
2.07% | 05/15/48 | 1 | 6,667,430 | 6,772,635 | ||||||||
JPMBB Commercial Mortgage Securities Trust, |
| |||||||||||
Series 2014-C18, Class A4A2 |
| |||||||||||
3.79% | 02/15/47 | 1 | 9,338,956 | 9,931,667 | ||||||||
JPMBB Commercial Mortgage Securities Trust, |
| |||||||||||
Series 2014-C25, Class A4A2 |
| |||||||||||
3.41% | 11/15/47 | 1 | 10,909,544 | 11,633,252 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, |
| |||||||||||
Series 2011-C5, Class A3 |
| |||||||||||
4.17% | 08/15/46 | 1,003,406 | 1,010,353 | |||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, |
| |||||||||||
Series 2012-C6, Class ASB |
| |||||||||||
3.14% | 05/15/45 | 5,543,361 | 5,622,156 | |||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, |
| |||||||||||
Series 2012-C8, Class ASB |
| |||||||||||
2.38% | 10/15/45 | 2,067,288 | 2,094,781 | |||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, |
| |||||||||||
Series 2013-LC11, Class XA (IO) |
| |||||||||||
1.25% | 04/15/46 | 6 | 30,256,838 | 619,758 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, |
| |||||||||||
Series 2014-C20, Class A4A2 |
| |||||||||||
3.54% | 07/15/47 | 1 | 5,000,000 | 5,199,288 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, |
| |||||||||||
Series 2018-LAQ, Class A |
| |||||||||||
(LIBOR USD 1-Month plus 1.00%) |
| |||||||||||
1.11% | 06/15/32 | 1,2 | 10,287,634 | 10,303,057 |
See accompanying Notes to Financial Statements. |
Annual Report March 2021 / 122 |
Table of Contents
Low Duration Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues
|
Maturity
|
Principal
| Value
| |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Commercial Mortgage-Backed (continued) |
| |||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, |
| |||||||||||
Series 2013-C12, Class XA (IO) |
| |||||||||||
0.59% | 10/15/46 | 6 | $ | 47,624,046 | $ | 561,582 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust, |
| |||||||||||
Series 2015-C21, Class XA (IO) |
| |||||||||||
0.88% | 03/15/48 | 6 | 35,611,504 | 1,020,823 | ||||||||
Morgan Stanley Capital I Trust, |
| |||||||||||
Series 2011-C3, Class A4 |
| |||||||||||
4.12% | 07/15/49 | 2,602,827 | 2,603,910 | |||||||||
One Lincoln Street Commercial Mortgage, |
| |||||||||||
Series 2004-C3, Class A1 |
| |||||||||||
5.72% | 10/15/30 | 1,6 | 7,030,664 | 7,701,614 | ||||||||
UBS Commercial Mortgage Trust, |
| |||||||||||
Series 2018-C11, Class A1 |
| |||||||||||
3.21% | 06/15/51 | 412,812 | 416,022 | |||||||||
UBS Commercial Mortgage Trust, |
| |||||||||||
Series 2019-C16, Class A1 |
| |||||||||||
2.74% | 04/15/52 | 7,388,153 | 7,581,295 | |||||||||
Wells Fargo Commercial Mortgage Trust, |
| |||||||||||
Series 2014-LC16, Class A4 |
| |||||||||||
3.55% | 08/15/50 | 15,239,421 | 15,920,453 | |||||||||
Wells Fargo Commercial Mortgage Trust, |
| |||||||||||
Series 2016-C36, Class A2 |
| |||||||||||
2.50% | 11/15/59 | 2,262,232 | 2,281,897 | |||||||||
Wells Fargo Commercial Mortgage Trust, |
| |||||||||||
Series 2016-LC24, Class A2 |
| |||||||||||
2.50% | 10/15/49 | 2,064,459 | 2,075,372 | |||||||||
Wells Fargo Re-REMIC Trust, |
| |||||||||||
Series 2011-RR1, Class 1B |
| |||||||||||
4.77% | 09/17/47 | 1,6 | 119,553 | 120,355 | ||||||||
WF-RBS Commercial Mortgage Trust, |
| |||||||||||
Series 2013-C18, Class A4 |
| |||||||||||
3.90% | 12/15/46 | 6,240,057 | 6,616,784 | |||||||||
|
| |||||||||||
159,953,093 | ||||||||||||
|
| |||||||||||
Non-Agency Mortgage-Backed — 6.68% |
| |||||||||||
Accredited Mortgage Loan Trust, |
| |||||||||||
Series 2007-1, Class A4 |
| |||||||||||
(LIBOR USD 1-Month plus 0.22%) |
| |||||||||||
0.33% | 02/25/37 | 2 | 7,118,769 | 7,045,062 | ||||||||
Aegis Asset-Backed Securities Trust, |
| |||||||||||
Series 2005-5, Class 2A |
| |||||||||||
(LIBOR USD 1-Month plus 0.50%) |
| |||||||||||
0.61% | 12/25/35 | 2 | 1,265,717 | 1,266,900 | ||||||||
Ameriquest Mortgage Securities, Inc., Asset-Backed Pass- Through Certificates, |
| |||||||||||
Series 2005-R1, Class M3 |
| |||||||||||
(LIBOR USD 1-Month plus 0.80%) |
| |||||||||||
0.90% | 03/25/35 | 2 | 5,964,887 | 5,959,278 | ||||||||
Amresco Residential Securities Corp. Mortgage Loan Trust, |
| |||||||||||
Series 1998-1, Class A5 (STEP-reset date 05/25/21) |
| |||||||||||
7.40% | 10/25/27 | 5,186 | 5,288 |
Issues
|
Maturity
|
Principal
| Value
| |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Mortgage-Backed (continued) |
| |||||||||||
Argent Securities, Inc., Asset-Backed Pass-Through Certificates, |
| |||||||||||
Series 2005-W2, Class M1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.74%) |
| |||||||||||
0.84% | 10/25/35 | 2 | $ | 9,183,202 | $ | 9,180,809 | ||||||
Banc of America Alternative Loan Trust, |
| |||||||||||
Series 2003-8, Class 1CB1 |
| |||||||||||
5.50% | 10/25/33 | 5,664,857 | 5,820,125 | |||||||||
Banc of America Funding Trust, |
| |||||||||||
Series 2015-R4, Class 3A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.14%) |
| |||||||||||
0.25% | 07/27/36 | 1,2 | 1,551,809 | 1,547,851 | ||||||||
Banc of America Funding Trust, |
| |||||||||||
Series 2016-R1, Class A1 |
| |||||||||||
2.50% | 03/25/40 | 1,6 | 2,954,486 | 2,981,578 | ||||||||
BCAP LLC Trust, |
| |||||||||||
Series 2008-IND2, Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 1.65%) |
| |||||||||||
1.76% | 04/25/38 | 2 | 399,928 | 401,264 | ||||||||
BCAP LLC Trust, |
| |||||||||||
Series 2013-RR5, Class 2A1 |
| |||||||||||
2.81% | 03/26/37 | 1,6 | 840,608 | 846,047 | ||||||||
Bear Stearns ALT-A Trust, |
| |||||||||||
Series 2005-2, Class 1M1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.75%) |
| |||||||||||
0.86% | 03/25/35 | 2 | 4,192,706 | 4,207,779 | ||||||||
Bear Stearns ARM Trust, |
| |||||||||||
Series 2004-3, Class 4A |
| |||||||||||
3.27% | 07/25/34 | 6 | 491,818 | 499,800 | ||||||||
BNC Mortgage Loan Trust, |
| |||||||||||
Series 2007-1, Class A4 |
| |||||||||||
(LIBOR USD 1-Month plus 0.16%) |
| |||||||||||
0.27% | 03/25/37 | 2 | 5,873,912 | 5,616,559 | ||||||||
Chase Mortgage Finance Trust, |
| |||||||||||
Series 2007-A1, Class 8A1 |
| |||||||||||
2.70% | 02/25/37 | 6 | 4,253,771 | 4,405,237 | ||||||||
Chase Mortgage Finance Trust, |
| |||||||||||
Series 2007-A2, Class 2A3 |
| |||||||||||
2.75% | 06/25/35 | 6 | 895,934 | 913,430 | ||||||||
Chevy Chase Mortgage Funding LLC, Mortgage-Backed Certificates, |
| |||||||||||
Series 2005-2A, Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.18%) |
| |||||||||||
0.29% | 05/25/36 | 1,2 | 560,291 | 531,417 | ||||||||
CIM Trust, |
| |||||||||||
Series 2018-R6, Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 1.08%) |
| |||||||||||
1.19% | 09/25/58 | 1,2 | 7,036,819 | 6,972,430 | ||||||||
Citigroup Mortgage Loan Trust, Inc., |
| |||||||||||
Series 2004-HYB1, Class A41 |
| |||||||||||
2.06% | 02/25/34 | 6 | 27,724 | 27,733 | ||||||||
Citigroup Mortgage Loan Trust, Inc., |
| |||||||||||
Series 2007-WFH4, Class A2C |
| |||||||||||
(LIBOR USD 1-Month plus 1.30%) |
| |||||||||||
1.41% | 07/25/37 | 2 | 70,020 | 69,913 |
See accompanying Notes to Financial Statements. |
123 / Annual Report March 2021 |
Table of Contents
Low Duration Bond Fund
Schedule of Portfolio Investments
March 31, 2021
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 |
| |||||||||||
2.66% | 08/25/34 | 6 | $ | 10,082 | $ | 9,832 | ||||||
Credit Suisse First Boston Mortgage Securities Corp., |
| |||||||||||
Series 2004-AR1, Class 5A1 |
| |||||||||||
2.47% | 02/25/34 | 6 | 968,080 | 1,025,881 | ||||||||
Credit-Based Asset Servicing and Securitization LLC, |
| |||||||||||
Series 2005-CB4, Class M2 |
| |||||||||||
(LIBOR USD 1-Month plus 0.68%) |
| |||||||||||
0.78% | 07/25/35 | 2 | 1,121,294 | 1,129,098 | ||||||||
Credit-Based Asset Servicing and Securitization LLC, |
| |||||||||||
Series 2007-CB4, Class A1A |
| |||||||||||
(LIBOR USD 1-Month plus 0.09%) |
| |||||||||||
0.20% | 04/25/37 | 2 | 3,268,960 | 3,163,737 | ||||||||
Credit-Based Asset Servicing and Securitization LLC, |
| |||||||||||
Series 2007-CB5, Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.06%) |
| |||||||||||
0.17% | 04/25/37 | 2 | 2,397,599 | 1,746,856 | ||||||||
DSLA Mortgage Loan Trust, |
| |||||||||||
Series 2005-AR2, Class 2A1A |
| |||||||||||
(LIBOR USD 1-Month plus 0.42%) |
| |||||||||||
0.53% | 03/19/45 | 2 | 532,304 | 514,387 | ||||||||
First Franklin Mortgage Loan Trust, |
| |||||||||||
Series 2004-FF5, Class A3C |
| |||||||||||
(LIBOR USD 1-Month plus 1.00%) |
| |||||||||||
1.11% | 08/25/34 | 2 | 597,454 | 606,236 | ||||||||
First Franklin Mortgage Loan Trust, |
| |||||||||||
Series 2006-FF5, Class 2A5 (PO) |
| |||||||||||
0.00% | 04/25/36 | 7 | 7,285,429 | 7,210,084 | ||||||||
First Horizon Alternative Mortgage Securities Trust, |
| |||||||||||
Series 2004-AA3, Class A1 |
| |||||||||||
2.29% | 09/25/34 | 6 | 2,872 | 2,856 | ||||||||
GMACM Home Equity Loan Trust, |
| |||||||||||
Series 2000-HE2, Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.44%) |
| |||||||||||
0.61% | 06/25/30 | 2 | 89,037 | 69,785 | ||||||||
GSAMP Trust, |
| |||||||||||
Series 2006-NC1, Class A3 |
| |||||||||||
(LIBOR USD 1-Month plus 0.58%) |
| |||||||||||
0.69% | 02/25/36 | 2 | 3,694,885 | 3,649,760 | ||||||||
GSR Mortgage Loan Trust, |
| |||||||||||
Series 2005-AR7, Class 2A1 |
| |||||||||||
3.21% | 11/25/35 | 6 | 231,861 | 234,199 | ||||||||
Impac CMB Trust, |
| |||||||||||
Series 2005-5, Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.32%) |
| |||||||||||
0.75% | 08/25/35 | 2 | 1,694,183 | 1,641,625 | ||||||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||||
Series 2004-AR12, Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.78%) |
| |||||||||||
0.89% | 12/25/34 | 2 | 215,235 | 184,627 | ||||||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||||
Series 2004-AR8, Class 2A2A |
| |||||||||||
(LIBOR USD 1-Month plus 0.80%) |
| |||||||||||
0.91% | 11/25/34 | 2 | 634,576 | 612,534 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Mortgage-Backed (continued) |
| |||||||||||
IndyMac Manufactured Housing Contract Pass-Through Certificates, |
| |||||||||||
Series 1998-1, Class A4 |
| |||||||||||
6.49% | 09/25/28 | $ | 347,999 | $ | 360,843 | |||||||
JPMorgan Mortgage Acquisition Trust, |
| |||||||||||
Series 2007-CH2, Class AV5 |
| |||||||||||
(LIBOR USD 1-Month plus 0.26%) |
| |||||||||||
0.37% | 01/25/37 | 2 | 4,157,398 | 4,154,053 | ||||||||
JPMorgan Mortgage Acquisition Trust, |
| |||||||||||
Series 2007-HE1, Class AV4 |
| |||||||||||
(LIBOR USD 1-Month plus 0.28%) |
| |||||||||||
0.39% | 03/25/47 | 2 | 50,000 | 44,872 | ||||||||
JPMorgan Mortgage Trust, |
| |||||||||||
Series 2007-A1, Class 1A1 |
| |||||||||||
3.27% | 07/25/35 | 6 | 703,755 | 711,438 | ||||||||
JPMorgan Mortgage Trust, |
| |||||||||||
Series 2007-A1, Class 5A2 |
| |||||||||||
2.58% | 07/25/35 | 6 | 146,383 | 149,989 | ||||||||
Lehman ABS Manufactured Housing Contract Trust, |
| |||||||||||
Series 2001-B, Class AIOC (IO) |
| |||||||||||
0.55% | 04/15/40 | 4,5,6 | 80,153,513 | 1,343,373 | ||||||||
Long Beach Mortgage Loan Trust, |
| |||||||||||
Series 2005-WL3, Class M1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.65%) |
| |||||||||||
0.75% | 11/25/35 | 2 | 4,396,492 | 4,368,095 | ||||||||
MASTR Adjustable Rate Mortgages Trust, |
| |||||||||||
Series 2003-6, Class 4A2 |
| |||||||||||
3.14% | 01/25/34 | 6 | 6,698 | 7,252 | ||||||||
MASTR Adjustable Rate Mortgages Trust, |
| |||||||||||
Series 2004-13, Class 3A1 |
| |||||||||||
3.18% | 11/21/34 | 6 | 539,556 | 545,535 | ||||||||
MASTR Adjustable Rate Mortgages Trust, |
| |||||||||||
Series 2004-3, Class 3A3 |
| |||||||||||
3.14% | 04/25/34 | 6 | 68,262 | 70,580 | ||||||||
MASTR Adjustable Rate Mortgages Trust, |
| |||||||||||
Series 2004-5, Class 3A1 |
| |||||||||||
4.12% | 06/25/34 | 6 | 30,236 | 30,831 | ||||||||
MASTR Alternative Loan Trust, |
| |||||||||||
Series 2003-1, Class 1A1 |
| |||||||||||
6.25% | 12/25/32 | 1,513,443 | 1,579,539 | |||||||||
MASTR Alternative Loan Trust, |
| |||||||||||
Series 2003-5, Class 4A1 |
| |||||||||||
5.50% | 07/25/33 | 2,599,525 | 2,752,869 | |||||||||
MASTR Alternative Loan Trust, |
| |||||||||||
Series 2003-9, Class 4A1 |
| |||||||||||
5.25% | 11/25/33 | 2,990,543 | 3,069,376 | |||||||||
MASTR Alternative Loan Trust, |
| |||||||||||
Series 2004-7, Class 1A1 |
| |||||||||||
5.50% | 07/25/34 | 2,778,180 | 2,941,303 | |||||||||
MASTR Seasoned Securitization Trust, |
| |||||||||||
Series 2004-1, Class 4A1 |
| |||||||||||
2.69% | 10/25/32 | 6 | 104,443 | 108,799 | ||||||||
Merrill Lynch First Franklin Mortgage Loan Trust, |
| |||||||||||
Series 2007-3, Class A2C |
| |||||||||||
(LIBOR USD 1-Month plus 0.18%) |
| |||||||||||
0.29% | 06/25/37 | 2 | 9,442,065 | 6,999,550 |
See accompanying Notes to Financial Statements. |
Annual Report March 2021 / 124 |
Table of Contents
Low Duration Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Mortgage-Backed (continued) |
| |||||||||||
Merrill Lynch Mortgage Investors Trust, |
| |||||||||||
Series 2004-A4, Class A1 |
| |||||||||||
3.19% | 08/25/34 | 6 | $ | 723,879 | $ | 734,925 | ||||||
Merrill Lynch Mortgage Investors Trust, |
| |||||||||||
Series 2006-F1, Class 1A2 |
| |||||||||||
6.00% | 04/25/36 | 1,033,834 | 735,443 | |||||||||
Mid-State Capital Corp. Trust, |
| |||||||||||
Series 2004-1, Class B |
| |||||||||||
8.90% | 08/15/37 | 619,743 | 699,047 | |||||||||
Mid-State Capital Corp. Trust, |
| |||||||||||
Series 2006-1, Class A |
| |||||||||||
5.79% | 10/15/40 | 1 | 3,883,076 | 4,131,950 | ||||||||
Mid-State Trust, |
| |||||||||||
Series 10W, Class A2 |
| |||||||||||
5.82% | 02/15/36 | 458,577 | 491,210 | |||||||||
Morgan Stanley ABS Capital I Trust, |
| |||||||||||
Series 2004-NC7, Class M2 |
| |||||||||||
(LIBOR USD 1-Month plus 0.93%) |
| |||||||||||
1.04% | 07/25/34 | 2 | 964,045 | 954,311 | ||||||||
Morgan Stanley Mortgage Loan Trust, |
| |||||||||||
Series 2004-6AR, Class 1A |
| |||||||||||
(LIBOR USD 1-Month plus 0.90%) |
| |||||||||||
1.01% | 07/25/34 | 2 | 31,283 | 31,356 | ||||||||
MortgageIT Trust, |
| |||||||||||
Series 2005-3, Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.60%) |
| |||||||||||
0.71% | 08/25/35 | 2 | 197,729 | 199,995 | ||||||||
MortgageIT Trust, |
| |||||||||||
Series 2005-4, Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.56%) |
| |||||||||||
0.67% | 10/25/35 | 2 | 5,185,004 | 5,137,196 | ||||||||
Nationstar Home Equity Loan Trust, |
| |||||||||||
Series 2007-B, Class 1AV1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.22%) |
| |||||||||||
0.33% | 04/25/37 | 2 | 10,165,437 | 10,081,686 | ||||||||
New Century Home Equity Loan Trust, |
| |||||||||||
Series 2005-3, Class M4 |
| |||||||||||
(LIBOR USD 1-Month plus 0.64%) |
| |||||||||||
1.07% | 07/25/35 | 2 | 4,958,500 | 4,962,802 | ||||||||
New Century Home Equity Loan Trust, |
| |||||||||||
Series 2005-D, Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.22%) |
| |||||||||||
0.33% | 02/25/36 | 2 | 5,977,409 | 5,932,357 | ||||||||
Option One Mortgage Loan Trust, |
| |||||||||||
Series 2006-1, Class 1A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.44%) |
| |||||||||||
0.55% | 01/25/36 | 2 | 2,037,072 | 1,950,049 | ||||||||
Park Place Securities, Inc., Asset-Backed Pass-Through |
| |||||||||||
Certificates, | ||||||||||||
Series 2004-WCW2, Class M2 |
| |||||||||||
(LIBOR USD 1-Month plus 0.98%) |
| |||||||||||
1.08% | 10/25/34 | 2 | 1,479,839 | 1,509,681 | ||||||||
PHH Alternative Mortgage Trust, |
| |||||||||||
Series 2007-3, Class A3 |
| |||||||||||
(LIBOR USD 1-Month plus 0.30%) |
| |||||||||||
0.41% | 07/25/37 | 2 | 9,733,699 | 9,433,525 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Mortgage-Backed (continued) |
| |||||||||||
Residential Accredit Loans Trust, |
| |||||||||||
Series 2005-QA3, Class NB1 |
| |||||||||||
3.41% | 03/25/35 | 6 | $ | 1,348,709 | $ | 765,900 | ||||||
Residential Asset Mortgage Products Trust, |
| |||||||||||
Series 2004-SL4, Class A3 |
| |||||||||||
6.50% | 07/25/32 | 57,315 | 57,568 | |||||||||
Residential Asset Mortgage Products Trust, |
| |||||||||||
Series 2005-SL1, Class A5 |
| |||||||||||
6.50% | 05/25/32 | 240,224 | 227,415 | |||||||||
Saxon Asset Securities Trust, |
| |||||||||||
Series 2005-3, Class M2 |
| |||||||||||
(LIBOR USD 1-Month plus 0.72%) |
| |||||||||||
0.83% | 11/25/35 | 2 | 2,263,632 | 2,260,974 | ||||||||
Securitized Asset-Backed Receivables LLC Trust, |
| |||||||||||
Series 2006-CB1, Class AF2 (STEP-reset date 05/25/21) |
| |||||||||||
3.07% | 01/25/36 | 1,681,913 | 1,375,625 | |||||||||
Structured Asset Securities Corp. Mortgage Pass-Through |
| |||||||||||
Certificates, |
| |||||||||||
Series 2003-26A, Class 3A5 |
| |||||||||||
2.40% | 09/25/33 | 6 | 297,303 | 305,495 | ||||||||
Terwin Mortgage Trust, |
| |||||||||||
Series 2004-7HE, Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 1.10%) |
| |||||||||||
1.21% | 07/25/34 | 1,2 | 90,085 | 88,978 | ||||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||||
Series 2004-AR14, Class A1 |
| |||||||||||
2.85% | 01/25/35 | 6 | 437,847 | 442,732 | ||||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||||
Series 2004-CB2, Class 2A |
| |||||||||||
5.50% | 07/25/34 | 1,940,503 | 1,997,191 | |||||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||||
Series 2005-AR13, Class A1A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.58%) |
| |||||||||||
0.69% | 10/25/45 | 2 | 1,523,120 | 1,523,292 | ||||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||||
Series 2005-AR2, Class 2A21 |
| |||||||||||
(LIBOR USD 1-Month plus 0.66%) |
| |||||||||||
0.77% | 01/25/45 | 2 | 245,077 | 244,432 | ||||||||
|
|
| ||||||||||
165,613,429 | ||||||||||||
|
|
| ||||||||||
U.S. Agency Commercial Mortgage-Backed — 8.07% |
| |||||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2013-CR6, Class A4 |
| |||||||||||
3.10% | 03/10/46 | 10,800,000 | 11,125,742 | |||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2014-CR20, Class A3 |
| |||||||||||
3.33% | 11/10/47 | 4,076,364 | 4,330,121 | |||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2014-UBS5, Class A3 |
| |||||||||||
3.57% | 09/10/47 | 10,400,000 | 11,234,192 | |||||||||
Fannie Mae-Aces, |
| |||||||||||
Series 2017-M14, Class A1 |
| |||||||||||
2.87% | 11/25/27 | 6 | 1,358,714 | 1,376,117 | ||||||||
Fannie Mae-Aces, |
| |||||||||||
Series 2017-M15, Class A1 |
| |||||||||||
2.96% | 09/25/27 | 6 | 5,551,343 | 5,965,834 |
See accompanying Notes to Financial Statements. |
125 / Annual Report March 2021 |
Table of Contents
Low Duration Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
U.S. Agency Commercial Mortgage-Backed (continued) |
| |||||||||||
Freddie Mac Multifamily Structured Pass-Through |
| |||||||||||
Certificates, | ||||||||||||
Series K037, Class A1 |
| |||||||||||
2.59% | 04/25/23 | $ | 2,253,178 | $ | 2,306,942 | |||||||
Freddie Mac Multifamily Structured Pass-Through |
| |||||||||||
Certificates, | ||||||||||||
Series K038, Class A1 |
| |||||||||||
2.60% | 10/25/23 | 1,439,748 | 1,468,341 | |||||||||
Freddie Mac Multifamily Structured Pass-Through |
| |||||||||||
Certificates, | ||||||||||||
Series K735, Class A1 |
| |||||||||||
2.74% | 05/25/25 | 1,110,816 | 1,130,131 | |||||||||
Freddie Mac Multifamily Structured Pass-Through |
| |||||||||||
Certificates, | ||||||||||||
Series KF27, Class A |
| |||||||||||
(LIBOR USD 1-Month plus 0.42%) |
| |||||||||||
0.54% | 12/25/26 | 2 | 2,172,719 | 2,182,616 | ||||||||
Freddie Mac Multifamily Structured Pass-Through |
| |||||||||||
Certificates, | ||||||||||||
Series KF29, Class A |
| |||||||||||
(LIBOR USD 1-Month plus 0.36%) |
| |||||||||||
0.48% | 02/25/24 | 2 | 4,130,546 | 4,144,177 | ||||||||
Freddie Mac Multifamily Structured Pass-Through |
| |||||||||||
Certificates, | ||||||||||||
Series KF34, Class A |
| |||||||||||
(LIBOR USD 1-Month plus 0.36%) |
| |||||||||||
0.48% | 08/25/24 | 2 | 2,563,972 | 2,572,258 | ||||||||
Freddie Mac Multifamily Structured Pass-Through |
| |||||||||||
Certificates, | ||||||||||||
Series KF37, Class A |
| |||||||||||
(LIBOR USD 1-Month plus 0.36%) |
| |||||||||||
0.48% | 09/25/27 | 2 | 1,436,553 | 1,441,777 | ||||||||
Freddie Mac Multifamily Structured Pass-Through |
| |||||||||||
Certificates, | ||||||||||||
Series KF38, Class A |
| |||||||||||
(LIBOR USD 1-Month plus 0.33%) |
| |||||||||||
0.45% | 09/25/24 | 2 | 5,217,313 | 5,231,946 | ||||||||
Freddie Mac Multifamily Structured Pass-Through |
| |||||||||||
Certificates, | ||||||||||||
Series KF39, Class A |
| |||||||||||
(LIBOR USD 1-Month plus 0.32%) |
| |||||||||||
0.44% | 11/25/24 | 2 | 4,338,286 | 4,356,639 | ||||||||
Freddie Mac Multifamily Structured Pass-Through |
| |||||||||||
Certificates, | ||||||||||||
Series KF40, Class A |
| |||||||||||
(LIBOR USD 1-Month plus 0.34%) |
| |||||||||||
0.46% | 11/25/27 | 2 | 1,389,903 | 1,394,464 | ||||||||
Freddie Mac Multifamily Structured Pass-Through |
| |||||||||||
Certificates, | ||||||||||||
Series KF43, Class A |
| |||||||||||
(LIBOR USD 1-Month plus 0.24%) |
| |||||||||||
0.36% | 01/25/28 | 2 | 2,686,037 | 2,693,778 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
U.S. Agency Commercial Mortgage-Backed (continued) |
| |||||||||||
Freddie Mac Multifamily Structured Pass-Through |
| |||||||||||
Certificates, | ||||||||||||
Series KF51, Class A |
| |||||||||||
(LIBOR USD 1-Month plus 0.40%) |
| |||||||||||
0.52% | 08/25/25 | 2 | $ | 4,670,790 | $ | 4,697,141 | ||||||
Freddie Mac Multifamily Structured Pass-Through |
| |||||||||||
Certificates, | ||||||||||||
Series KF60, Class A |
| |||||||||||
(LIBOR USD 1-Month plus 0.49%) |
| |||||||||||
0.61% | 02/25/26 | 2 | 8,204,503 | 8,236,584 | ||||||||
Freddie Mac Multifamily Structured Pass-Through |
| |||||||||||
Certificates, | ||||||||||||
Series KF72, Class A |
| |||||||||||
(LIBOR USD 1-Month plus 0.50%) |
| |||||||||||
0.62% | 11/25/26 | 2 | 8,484,042 | 8,550,154 | ||||||||
Freddie Mac Multifamily Structured Pass-Through |
| |||||||||||
Certificates, | ||||||||||||
Series KJ24, Class A1 |
| |||||||||||
2.28% | 05/25/26 | 10,375,992 | 10,779,653 | |||||||||
Freddie Mac Multifamily Structured Pass-Through |
| |||||||||||
Certificates, | ||||||||||||
Series KJ26, Class A1 |
| |||||||||||
2.14% | 07/25/25 | 18,593,543 | 19,225,077 | |||||||||
Freddie Mac Multifamily Structured Pass-Through |
| |||||||||||
Certificates, | ||||||||||||
Series KJ29, Class A1 |
| |||||||||||
0.74% | 01/25/26 | 9,794,154 | 9,712,935 | |||||||||
Freddie Mac Multifamily Structured Pass-Through |
| |||||||||||
Certificates, | ||||||||||||
Series KJ30, Class A1 |
| |||||||||||
0.53% | 01/25/25 | 7,781,696 | 7,755,127 | |||||||||
Freddie Mac Multifamily Structured Pass-Through |
| |||||||||||
Certificates, | ||||||||||||
Series Q004, Class AFL |
| |||||||||||
(Federal Reserve US 12-Month Cumulative Average plus 0.74%) |
| |||||||||||
1.00% | 05/25/44 | 2 | 1,957,851 | 1,959,529 | ||||||||
Ginnie Mae, |
| |||||||||||
Series 2007-12, Class C |
| |||||||||||
5.28% | 04/16/41 | 6 | 663,186 | 669,390 | ||||||||
Ginnie Mae, |
| |||||||||||
Series 2008-92, Class E |
| |||||||||||
5.56% | 03/16/44 | 6 | 2,587,305 | 2,627,134 | ||||||||
GS Mortgage Securities Trust, |
| |||||||||||
Series 2011-GC5, Class AS |
| |||||||||||
5.21% | 08/10/44 | 1,6 | 5,000,000 | 5,027,901 | ||||||||
GS Mortgage Securities Trust, |
| |||||||||||
Series 2018-GS9, Class A2 |
| |||||||||||
3.84% | 03/10/51 | 10,500,000 | 10,880,396 | |||||||||
JPMCC Commercial Mortgage Securities Trust, |
| |||||||||||
Series 2017-JP5, Class A2 |
| |||||||||||
3.24% | 03/15/50 | 13,055,160 | 13,288,371 | |||||||||
UBS Commercial Mortgage Trust, |
| |||||||||||
Series 2018-C11, Class A2 |
| |||||||||||
3.99% | 06/15/51 | 1,889,000 | 1,981,241 |
See accompanying Notes to Financial Statements. |
Annual Report March 2021 / 126 |
Table of Contents
Low Duration Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
U.S. Agency Commercial Mortgage-Backed (continued) |
| |||||||||||
UBS Commercial Mortgage Trust, |
| |||||||||||
Series 2018-C12, Class A2 |
| |||||||||||
4.15% | 08/15/51 | $ | 12,889,000 | $ | 13,699,471 | |||||||
WF-RBS Commercial Mortgage Trust, |
| |||||||||||
Series 2011-C5, Class A4 |
| |||||||||||
3.67% | 11/15/44 | 3,803,145 | 3,829,988 | |||||||||
WF-RBS Commercial Mortgage Trust, |
| |||||||||||
Series 2012-C7, Class A2 |
| |||||||||||
3.43% | 06/15/45 | 6,022,000 | 6,151,460 | |||||||||
WF-RBS Commercial Mortgage Trust, |
| |||||||||||
Series 2012-C9, Class AS |
| |||||||||||
3.39% | 11/15/45 | 7,911,000 | 8,207,209 | |||||||||
|
|
| ||||||||||
200,233,836 | ||||||||||||
|
|
| ||||||||||
U.S. Agency Mortgage-Backed — 16.76% |
| |||||||||||
Fannie Mae Pool 567002 |
| |||||||||||
8.00% | 05/01/23 | 6,014 | 6,264 | |||||||||
Fannie Mae Pool 735861 |
| |||||||||||
6.50% | 09/01/33 | 9,329 | 10,411 | |||||||||
Fannie Mae Pool 770900 |
| |||||||||||
(LIBOR USD 12-Month plus 1.56%) |
| |||||||||||
3.31% | 04/01/34 | 2 | 115,282 | 117,897 | ||||||||
Fannie Mae Pool AD0538 |
| |||||||||||
6.00% | 05/01/24 | 131,856 | 138,512 | |||||||||
Fannie Mae Pool AE0083 |
| |||||||||||
6.00% | 01/01/40 | 758,091 | 902,144 | |||||||||
Fannie Mae Pool AL0851 |
| |||||||||||
6.00% | 10/01/40 | 882,934 | 1,026,642 | |||||||||
Fannie Mae Pool AL2206 |
| |||||||||||
3.09% | 07/01/22 | 6 | 846,722 | 862,804 | ||||||||
Fannie Mae Pool AM4580 |
| |||||||||||
3.43% | 10/01/23 | 6,185,999 | 6,577,606 | |||||||||
Fannie Mae REMICS, |
| |||||||||||
Series 1997-76, Class FS |
| |||||||||||
(LIBOR USD 1-Month plus 0.45%) |
| |||||||||||
0.56% | 09/17/27 | 2 | 9,134 | 9,004 | ||||||||
Fannie Mae REMICS, |
| |||||||||||
Series 2001-60, Class OF |
| |||||||||||
(LIBOR USD 1-Month plus 0.95%) |
| |||||||||||
1.06% | 10/25/31 | 2 | 536,657 | 539,526 | ||||||||
Fannie Mae REMICS, |
| |||||||||||
Series 2007-61, Class AF |
| |||||||||||
(LIBOR USD 1-Month plus 0.28%) |
| |||||||||||
0.39% | 03/25/37 | 2 | 347,328 | 347,438 | ||||||||
Fannie Mae REMICS, |
| |||||||||||
Series 2007-64, Class FA |
| |||||||||||
(LIBOR USD 1-Month plus 0.47%) |
| |||||||||||
0.58% | 07/25/37 | 2 | 275,968 | 279,480 | ||||||||
Fannie Mae REMICS, |
| |||||||||||
Series 2009-85, Class LF |
| |||||||||||
(LIBOR USD 1-Month plus 1.20%) |
| |||||||||||
1.31% | 10/25/49 | 2 | 2,256,883 | 2,319,633 | ||||||||
Fannie Mae REMICS, |
| |||||||||||
Series 2009-96, Class FA |
| |||||||||||
(LIBOR USD 1-Month plus 0.90%) |
| |||||||||||
1.01% | 11/25/49 | 2 | 1,744,042 | 1,794,872 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
U.S. Agency Mortgage-Backed (continued) |
| |||||||||||
Fannie Mae REMICS, |
| |||||||||||
Series 2010-109, Class PF |
| |||||||||||
(LIBOR USD 1-Month plus 0.40%) |
| |||||||||||
0.51% | 10/25/40 | 2 | $ | 901,126 | $ | 907,353 | ||||||
Fannie Mae REMICS, |
| |||||||||||
Series 2010-26, Class S (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 6.23%, 6.23% Cap) |
| |||||||||||
6.12% | 11/25/36 | 2 | 5,370,176 | 1,109,305 | ||||||||
Fannie Mae REMICS, |
| |||||||||||
Series 2010-43, Class DP |
| |||||||||||
5.00% | 05/25/40 | 759,140 | 848,622 | |||||||||
Fannie Mae REMICS, |
| |||||||||||
Series 2010-6, Class BF |
| |||||||||||
(LIBOR USD 1-Month plus 0.76%) |
| |||||||||||
0.87% | 02/25/40 | 2 | 1,185,050 | 1,209,917 | ||||||||
Fannie Mae REMICS, |
| |||||||||||
Series 2010-95, Class S (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap) |
| |||||||||||
6.49% | 09/25/40 | 2 | 4,302,483 | 954,613 | ||||||||
Fannie Mae REMICS, |
| |||||||||||
Series 2019-79, Class FA |
| |||||||||||
(LIBOR USD 1-Month plus 0.50%) |
| |||||||||||
0.61% | 01/25/50 | 2 | 5,357,285 | 5,420,003 | ||||||||
Fannie Mae REMICS, |
| |||||||||||
Series 2020-10, Class FA |
| |||||||||||
(LIBOR USD 1-Month plus 0.50%) |
| |||||||||||
0.61% | 03/25/50 | 2 | 13,057,800 | 13,189,719 | ||||||||
Fannie Mae REMICS, |
| |||||||||||
Series G92-10, Class Z |
| |||||||||||
7.75% | 01/25/22 | 11 | 11 | |||||||||
Freddie Mac Gold Pool A45796 |
| |||||||||||
7.00% | 01/01/33 | 1,773 | 1,931 | |||||||||
Freddie Mac Gold Pool C46104 |
| |||||||||||
6.50% | 09/01/29 | 4,598 | 5,168 | |||||||||
Freddie Mac Gold Pool G13032 |
| |||||||||||
6.00% | 09/01/22 | 27,992 | 28,304 | |||||||||
Freddie Mac Gold Pool G13475 |
| |||||||||||
6.00% | 01/01/24 | 8,768 | 8,973 | |||||||||
Freddie Mac REMICS, |
| |||||||||||
Series 2174, Class PN |
| |||||||||||
6.00% | 07/15/29 | 292,430 | 329,617 | |||||||||
Freddie Mac REMICS, |
| |||||||||||
Series 2454, Class FQ |
| |||||||||||
(LIBOR USD 1-Month plus 1.00%) |
| |||||||||||
1.11% | 06/15/31 | 2 | 4,815 | 4,921 | ||||||||
Freddie Mac REMICS, |
| |||||||||||
Series 2733, Class FB |
| |||||||||||
(LIBOR USD 1-Month plus 0.60%) |
| |||||||||||
0.71% | 10/15/33 | 2 | 2,059,128 | 2,090,830 | ||||||||
Freddie Mac REMICS, |
| |||||||||||
Series 3071, Class TF |
| |||||||||||
(LIBOR USD 1-Month plus 0.30%) |
| |||||||||||
0.41% | 04/15/35 | 2 | 1,831,105 | 1,835,957 |
See accompanying Notes to Financial Statements. |
127 / Annual Report March 2021 |
Table of Contents
Low Duration Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
U.S. Agency Mortgage-Backed (continued) |
| |||||||||||
Freddie Mac REMICS, |
| |||||||||||
Series 3084, Class FN |
| |||||||||||
(LIBOR USD 1-Month plus 0.50%) |
| |||||||||||
0.61% | 12/15/34 | 2 | $ | 648,362 | $ | 648,923 | ||||||
Freddie Mac REMICS, |
| |||||||||||
Series 3294, Class CB |
| |||||||||||
5.50% | 03/15/37 | 208,605 | 242,507 | |||||||||
Freddie Mac REMICS, |
| |||||||||||
Series 3300, Class FA |
| |||||||||||
(LIBOR USD 1-Month plus 0.30%) |
| |||||||||||
0.41% | 08/15/35 | 2 | 554,766 | 556,980 | ||||||||
Freddie Mac REMICS, |
| |||||||||||
Series 3325, Class NF |
| |||||||||||
(LIBOR USD 1-Month plus 0.30%) |
| |||||||||||
0.41% | 08/15/35 | 2 | 1,430,658 | 1,436,367 | ||||||||
Freddie Mac REMICS, |
| |||||||||||
Series 3524, Class FC |
| |||||||||||
(LIBOR USD 1-Month plus 0.94%) |
| |||||||||||
1.05% | 06/15/38 | 2 | 306,893 | 315,146 | ||||||||
Freddie Mac REMICS, |
| |||||||||||
Series 3531, Class FM |
| |||||||||||
(LIBOR USD 1-Month plus 0.90%) |
| |||||||||||
1.01% | 05/15/39 | 2 | 240,109 | 245,782 | ||||||||
Freddie Mac REMICS, |
| |||||||||||
Series 3792, Class DF |
| |||||||||||
(LIBOR USD 1-Month plus 0.40%) |
| |||||||||||
0.51% | 11/15/40 | 2 | 166,258 | 165,494 | ||||||||
Freddie Mac REMICS, |
| |||||||||||
Series 4060, Class FJ |
| |||||||||||
(LIBOR USD 1-Month plus 0.35%) |
| |||||||||||
0.46% | 02/15/41 | 2 | 2,379,927 | 2,386,327 | ||||||||
Freddie Mac REMICS, |
| |||||||||||
Series 4959, Class JF |
| |||||||||||
(LIBOR USD 1-Month plus 0.45%) |
| |||||||||||
0.56% | 03/25/50 | 2 | 8,364,450 | 8,443,061 | ||||||||
Freddie Mac Strips, |
| |||||||||||
Series 240, Class F30 |
| |||||||||||
(LIBOR USD 1-Month plus 0.30%) |
| |||||||||||
0.41% | 07/15/36 | 2 | 1,663,509 | 1,671,287 | ||||||||
Freddie Mac Strips, |
| |||||||||||
Series 263, Class F5 |
| |||||||||||
(LIBOR USD 1-Month plus 0.50%) |
| |||||||||||
0.61% | 06/15/42 | 2 | 1,963,506 | 1,978,883 | ||||||||
Freddie Mac Strips, |
| |||||||||||
Series 319, Class F2 |
| |||||||||||
(LIBOR USD 1-Month plus 0.50%) |
| |||||||||||
0.61% | 11/15/43 | 2 | 9,063,426 | 9,160,621 | ||||||||
Ginnie Mae (TBA) |
| |||||||||||
2.00% | 05/20/51 | 42,050,000 | 42,374,397 | |||||||||
2.50% | 05/20/51 | 115,425,000 | 118,843,190 | |||||||||
2.50% | 06/20/51 | 14,400,000 | 14,800,556 | |||||||||
Ginnie Mae I Pool BW5284 |
| |||||||||||
3.55% | 10/15/50 | 10,722,384 | 10,904,129 | |||||||||
Ginnie Mae II Pool 1849 |
| |||||||||||
8.50% | 08/20/24 | 171 | 172 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
U.S. Agency Mortgage-Backed (continued) |
| |||||||||||
Ginnie Mae II Pool 2020 |
| |||||||||||
8.50% | 06/20/25 | $ | 207 | $ | 211 | |||||||
Ginnie Mae II Pool 2286 |
| |||||||||||
8.50% | 09/20/26 | 214 | 231 | |||||||||
Ginnie Mae II Pool 2487 |
| |||||||||||
8.50% | 09/20/27 | 4,867 | 5,357 | |||||||||
Ginnie Mae II Pool 80059 |
| |||||||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 |
| |||||||||||
Year plus 1.50%) |
| |||||||||||
2.88% | 04/20/27 | 2 | 10,305 | 10,677 | ||||||||
Ginnie Mae II Pool 80589 |
| |||||||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 |
| |||||||||||
Year plus 1.50%) |
| |||||||||||
3.00% | 03/20/32 | 2 | 10,413 | 10,562 | ||||||||
Ginnie Mae II Pool 80610 |
| |||||||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 |
| |||||||||||
Year plus 1.50%) |
| |||||||||||
2.88% | 06/20/32 | 2 | 7,164 | 7,509 | ||||||||
Ginnie Mae II Pool 80968 |
| |||||||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 |
| |||||||||||
Year plus 1.50%) |
| |||||||||||
2.25% | 07/20/34 | 2 | 212,409 | 220,580 | ||||||||
Ginnie Mae II Pool 81201 |
| |||||||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 |
| |||||||||||
Year plus 2.00%) |
| |||||||||||
3.50% | 01/20/35 | 2 | 5,428 | 5,503 | ||||||||
Ginnie Mae II Pool 8599 |
| |||||||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 |
| |||||||||||
Year plus 1.50%) |
| |||||||||||
3.00% | 02/20/25 | 2 | 7,202 | 7,282 | ||||||||
Ginnie Mae, |
| |||||||||||
Series 2009-106, Class XI (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 6.80%, 6.80% Cap) |
| |||||||||||
6.69% | 05/20/37 | 2 | 3,369,051 | 492,877 | ||||||||
Ginnie Mae, |
| |||||||||||
Series 2013-53, Class AD |
| |||||||||||
1.50% | 12/20/26 | 1,231,957 | 1,253,297 | |||||||||
UMBS (TBA) |
| |||||||||||
2.00% | 05/01/51 | 97,250,000 | 96,896,710 | |||||||||
2.50% | 05/01/51 | 58,225,000 | 59,626,036 | |||||||||
|
|
| ||||||||||
415,588,131 | ||||||||||||
|
|
| ||||||||||
Total Mortgage-Backed |
| |||||||||||
(Cost $940,411,394) |
| 941,388,489 | ||||||||||
|
|
| ||||||||||
MUNICIPAL BONDS — 0.59%* |
| |||||||||||
Colorado — 0.04% |
| |||||||||||
City & County of Denver Airport System Revenue Bonds, |
| |||||||||||
Series C |
| |||||||||||
0.88% | 11/15/23 | 895,000 | 897,304 | |||||||||
|
|
| ||||||||||
Florida — 0.15% |
| |||||||||||
County of Miami-Dade Aviation Revenue Bonds, Airport and |
| |||||||||||
Marina Improvements, Series B |
| |||||||||||
1.74% | 10/01/26 | 800,000 | 802,568 | |||||||||
1.89% | 10/01/27 | 1,500,000 | 1,493,130 | |||||||||
2.14% | 10/01/28 | 445,000 | 444,008 |
See accompanying Notes to Financial Statements. |
Annual Report March 2021 / 128 |
Table of Contents
Low Duration Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
MUNICIPAL BONDS (continued) |
| |||||||||||
Florida (continued) |
| |||||||||||
2.29% | 10/01/29 | $ | 985,000 | $ | 981,061 | |||||||
|
|
| ||||||||||
3,720,767 | ||||||||||||
|
|
| ||||||||||
New York — 0.40% |
| |||||||||||
New York City Transitional Finance Authority Future Tax |
| |||||||||||
Secured Revenue Bonds, Public Improvements |
| |||||||||||
3.19% | 08/01/25 | 1,110,000 | 1,197,954 | |||||||||
New York City Transitional Finance Authority Future Tax |
| |||||||||||
Secured Revenue Bonds, Public Improvements, Subseries B2 |
| |||||||||||
2.31% | 11/01/26 | 4,060,000 | 4,302,041 | |||||||||
New York State Dormitory Authority Revenue Bonds, |
| |||||||||||
University & College Improvements, Series D |
| |||||||||||
5.00% | 03/15/24 | 4,040,000 | 4,560,500 | |||||||||
|
|
| ||||||||||
10,060,495 | ||||||||||||
|
|
| ||||||||||
Total Municipal Bonds |
| |||||||||||
(Cost $14,365,460) |
| 14,678,566 | ||||||||||
|
|
| ||||||||||
U.S. TREASURY SECURITIES — 14.35% |
| |||||||||||
U.S. Treasury Notes — 14.35% |
| |||||||||||
U.S. Treasury Floating Rate Notes |
| |||||||||||
(US Treasury Bill Yield 3-Month plus 0.11%) |
| |||||||||||
0.13% | 04/30/22 | 2 | 20,000,000 | 20,021,576 | ||||||||
U.S. Treasury Notes |
| |||||||||||
0.13% | 01/31/23 | 71,860,000 | 71,826,316 | |||||||||
0.13% | 02/28/23 | 185,635,000 | 185,526,229 | |||||||||
0.13% | 03/31/23 | 71,495,000 | 71,448,919 | |||||||||
0.50% | 02/28/26 | 3,965,000 | 3,887,249 | |||||||||
0.75% | 03/31/26 | 3,150,000 | 3,122,807 | |||||||||
|
|
| ||||||||||
Total U.S. Treasury Securities |
| |||||||||||
(Cost $355,993,797) |
| 355,833,096 | ||||||||||
|
|
| ||||||||||
Total Bonds — 94.68% |
| |||||||||||
(Cost $2,334,091,114) |
| 2,348,139,889 | ||||||||||
|
|
| ||||||||||
Issues | Shares | Value | ||||||||||
COMMON STOCK — 0.00% |
| |||||||||||
Electric — 0.00% |
| |||||||||||
Homer City Holdings LLC†,4,5,8 |
| 106,501 | — | |||||||||
|
|
| ||||||||||
Total Common Stock |
| |||||||||||
(Cost $6,078,660) |
| |||||||||||
Purchased Swaptions - 0.00% |
| |||||||||||
(Cost $939,000) |
| 6,393 | ||||||||||
|
|
| ||||||||||
Issues | Maturity Date | Principal Amount/Shares | Value | |||||||||
SHORT-TERM INVESTMENTS — 15.18% |
| |||||||||||
Foreign Government Obligations — 0.88% |
| |||||||||||
Japan Treasury Discount Bill, |
| |||||||||||
Series 962 | ||||||||||||
(Japan) | ||||||||||||
0.00%9 | 04/05/21 | 3 | 2,420,000,000 | 21,905,106 | ||||||||
|
|
|
Issues | Maturity Date | Principal Amount/Shares | Value | |||||||||
SHORT-TERM INVESTMENTS (continued) |
| |||||||||||
Money Market Funds — 10.87% |
| |||||||||||
Dreyfus Government Cash Management Fund |
| |||||||||||
0.03%10 |
| 92,970,000 | $ | 92,970,000 | ||||||||
Fidelity Investments Money Market Funds - Government Portfolio |
| |||||||||||
0.01%10,11 |
| 102,811 | 102,811 | |||||||||
JPMorgan U.S. Government Money Market Fund |
| |||||||||||
0.03%10 |
| 76,562,000 | 76,562,000 | |||||||||
Morgan Stanley Institutional Liquidity Funds - Government Portfolio |
| |||||||||||
0.03%10 |
| 99,993,000 | 99,993,000 | |||||||||
|
|
| ||||||||||
269,627,811 | ||||||||||||
|
|
| ||||||||||
U.S. Treasury Bills — 3.43% |
| |||||||||||
U.S. Treasury Bills |
| |||||||||||
0.10%9 | 04/01/21 | $ | 15,000,000 | 15,000,000 | ||||||||
0.05%9 | 08/12/21 | 70,000,000 | 69,996,122 | |||||||||
|
|
| ||||||||||
84,996,122 | ||||||||||||
|
|
| ||||||||||
Total Short-Term Investments |
| |||||||||||
(Cost $377,898,748) |
| 376,529,039 | ||||||||||
|
|
| ||||||||||
Total Investments Before Written Swaptions - 109.86% |
| |||||||||||
(Cost $2,719,007,522) |
| 2,724,675,321 | ||||||||||
|
|
| ||||||||||
Written Swaptions - 0.00% |
| |||||||||||
(Cost $(540,000)) |
| (4,596 | ) | |||||||||
|
|
| ||||||||||
Liabilities in Excess of Other Assets - (9.86)% |
| (244,504,329 | ) | |||||||||
|
|
| ||||||||||
Net Assets - 100.00% |
| $ | 2,480,166,396 | |||||||||
|
|
|
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 March 31, 2021. |
3 | Foreign 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 $10,072,005, which is 0.41% 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 | Zero coupon bond. The rate shown is the effective yield as of March 31, 2021. |
8 | Non-income producing security. |
9 | Represents annualized yield at date of purchase. |
10 | Represents the current yield as of March 31, 2021. |
11 | Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $27. |
† | Fair valued security. The aggregate value of fair valued securities is $0, which is 0.00% of total net assets. Fair valued securities were not valued utilizing an independent quote but were valued pursuant to guidelines established by the Board of Trustees. 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. |
See accompanying Notes to Financial Statements. |
129 / Annual Report March 2021 |
Table of Contents
Low Duration Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Note: For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for more meaningful presentation for investors.
(CLO): Collateralized Loan Obligation
(GMTN): Global Medium-Term Note
(IO): Interest Only
(JPY): Japanese Yen
(LIBOR): London InterBank Offer Rate
(MTN): Medium-Term Note
(PO): Principal Only
(STEP): Step Coupon Bond
(TBA): To-Be-Announced
(USD): U.S. Dollar
Currency to be Purchased | Currency to be Sold | Counterparty | Settlement Date | Unrealized Appreciation | ||||||||||||||||
FOREIGN CURRENCY EXCHANGE CONTRACT |
| |||||||||||||||||||
USD 23,323,727 | JPY 2,420,000,000 | Goldman Sachs International | 04/05/21 | $ | 1,422,086 | |||||||||||||||
|
| |||||||||||||||||||
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation | |||||||||||||||
FUTURES CONTRACTS: SHORT POSITIONS |
| |||||||||||||||||||
U.S. Treasury Five Year Note | 453 | 06/30/21 | $ | (55,899,492) | $ | 713,973 | $ | 713,973 | ||||||||||||
U.S. Treasury Ten Year Ultra Bond | 287 | 06/21/21 | (41,238,313) | 1,450,088 | 1,450,088 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
TOTAL FUTURES CONTRACTS | $ | (97,137,805) | $ | 2,164,061 | $ | 2,164,061 | ||||||||||||||
|
|
|
|
|
|
Reference Obligation/Index | Financing Rate Paid by the Fund | Payment Frequency | Counterparty | Expiration Date | Notional Amount1 | Value | Premiums Paid | Unrealized Appreciation | ||||||||||||||
SWAPS: CREDIT DEFAULT (SALES) - SINGLE ISSUES OTC | ||||||||||||||||||||||
Berry Global, Inc., 5.63%, due 07/15/27 | 5.00% | 3 Months | Credit Suisse First Boston International | 12/20/21 | $ 3,425,000 | $ | �� 82,272 | $ | 73,959 | $ | 8,313 | |||||||||||
|
|
|
|
|
|
1 | 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. |
Received by the Fund | Paid by the Fund | |||||||||||||||||||||||||||||||
Description | 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 | Goldman Sachs | 3-month | ||||||||||||||||||||||||||||||
Swap | International | 12/24/23 | USD LIBOR | Quarterly | 6.00% | Quarterly | $ | 300,000 | $ | 6,393 | $ | 939,000 | $ | (932,607) | ||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Received by the Fund | Paid by the Fund | |||||||||||||||||||||||||||||||
Description | 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 | Goldman Sachs | 3-month | ||||||||||||||||||||||||||||||
Swap | International | 12/24/23 | 7.50% | Quarterly | USD LIBOR | Quarterly | $ | 300,000 | $ | (4,596) | $ | (540,000) | $ | 535,404 | ||||||||||||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 130
Table of Contents
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
BONDS – 87.18% |
| |||||||||||
ASSET-BACKED SECURITIES — 15.09%** |
| |||||||||||
Allegro CLO XII Ltd., |
| |||||||||||
Series 2020-1A, Class B |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.70%) |
| |||||||||||
0.00% | 01/21/32 | 1,2,3 | $ | 45,000 | $ | 45,062 | ||||||
Cedar Funding VI CLO Ltd., |
| |||||||||||
Series 2016-6A, Class BR |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.60%) |
| |||||||||||
1.82% | 10/20/28 | 1,2,3 | 35,000 | 34,983 | ||||||||
Cedar Funding XII CLO Ltd., |
| |||||||||||
Series 2020-12A, Class A |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.27%) |
| |||||||||||
1.51% | 10/25/32 | 1,2,3 | 180,000 | 180,256 | ||||||||
Conseco Finance Corp., |
| |||||||||||
Series 1998-3, Class A6 |
| |||||||||||
6.76% | 03/01/30 | 4 | 32,994 | 33,050 | ||||||||
CoreVest American Finance Trust, |
| |||||||||||
Series 2019-1, Class XA (IO) |
| |||||||||||
2.16% | 03/15/52 | 1,4 | 570,863 | 39,203 | ||||||||
CoreVest American Finance Trust, |
| |||||||||||
Series 2020-1, Class A2 |
| |||||||||||
2.30% | 03/15/50 | 1 | 140,000 | 140,532 | ||||||||
Crystal River CDO, |
| |||||||||||
Series 2005-1A, Class A |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 0.36%) |
| |||||||||||
2.68% | 03/02/46 | 1,2,3,5,6 | 419,900 | 48,883 | ||||||||
Dryden 85 CLO Ltd., |
| |||||||||||
Series 2020-85A, Class A1 |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.35%) |
| |||||||||||
1.56% | 10/15/32 | 1,2,3 | 200,000 | 200,428 | ||||||||
Global SC Finance II SRL, |
| |||||||||||
Series 2014-1A, Class A2 |
| |||||||||||
(Barbados) |
| |||||||||||
3.09% | 07/17/29 | 1,3 | 101,667 | 102,666 | ||||||||
OHA Credit Funding 7 Ltd., |
| |||||||||||
Series 2020-7A, Class A |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.25%) |
| |||||||||||
1.47% | 10/19/32 | 1,2,3 | 180,000 | 180,223 | ||||||||
Palmer Square Loan Funding Ltd., |
| |||||||||||
Series 2020-2A, Class A2 |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.55%) |
| |||||||||||
1.77% | 04/20/28 | 1,2,3 | 100,000 | 100,065 | ||||||||
Park Avenue Institutional Advisers CLO Ltd., |
| |||||||||||
Series 2021-1A, Class A2 |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.75%) |
| |||||||||||
1.95% | 01/20/34 | 1,2,3 | 40,000 | 40,084 | ||||||||
Skyline Aircraft Finance LLC, |
| |||||||||||
Series 2021-1, Class A |
| |||||||||||
3.23% | 05/10/37 | 5,6 | 74,661 | 73,530 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||
SLC Student Loan Trust, |
| |||||||||||
Series 2004-1, Class B |
| |||||||||||
(LIBOR USD 3-Month plus 0.29%) |
| |||||||||||
0.49% | 08/15/31 | 2 | $ | 145,831 | $ | 134,726 | ||||||
SLM Student Loan Trust, |
| |||||||||||
Series 2007-7, Class B |
| |||||||||||
(LIBOR USD 3-Month plus 0.75%) |
| |||||||||||
0.97% | 10/27/70 | 2 | 215,000 | 195,737 | ||||||||
SLM Student Loan Trust, |
| |||||||||||
Series 2008-2, Class B |
| |||||||||||
(LIBOR USD 3-Month plus 1.20%) |
| |||||||||||
1.42% | 01/25/83 | 2 | 340,000 | 320,540 | ||||||||
SLM Student Loan Trust, |
| |||||||||||
Series 2008-3, Class B |
| |||||||||||
(LIBOR USD 3-Month plus 1.20%) |
| |||||||||||
1.42% | 04/26/83 | 2 | 340,000 | 318,278 | ||||||||
SLM Student Loan Trust, |
| |||||||||||
Series 2008-4, Class B |
| |||||||||||
(LIBOR USD 3-Month plus 1.85%) |
| |||||||||||
2.07% | 04/25/73 | 2 | 340,000 | 337,419 | ||||||||
SLM Student Loan Trust, |
| |||||||||||
Series 2008-5, Class B |
| |||||||||||
(LIBOR USD 3-Month plus 1.85%) |
| |||||||||||
2.07% | 07/25/73 | 2 | 235,000 | 231,278 | ||||||||
SLM Student Loan Trust, |
| |||||||||||
Series 2008-6, Class B |
| |||||||||||
(LIBOR USD 3-Month plus 1.85%) |
| |||||||||||
2.07% | 07/26/83 | 2 | 340,000 | 335,065 | ||||||||
Structured Receivables Finance LLC, |
| |||||||||||
Series 2010-A, Class B |
| |||||||||||
7.61% | 01/16/46 | 1 | 287,098 | 324,508 | ||||||||
Structured Receivables Finance LLC, |
| |||||||||||
Series 2010-B, Class B |
| |||||||||||
7.97% | 08/15/36 | 1 | 306,950 | 371,374 | ||||||||
TCI-Flatiron CLO Ltd., |
| |||||||||||
Series 2016-1A, Class BR2 |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 3-Month plus 1.60%) |
| |||||||||||
1.84% | 01/17/32 | 1,2,3 | 25,000 | 25,014 | ||||||||
|
|
| ||||||||||
Total Asset-Backed Securities |
| |||||||||||
(Cost $4,124,450) |
| 3,812,904 | ||||||||||
|
|
| ||||||||||
CORPORATES — 27.17%* |
| |||||||||||
Banking — 2.28% |
| |||||||||||
Bank of America Corp. |
| |||||||||||
(MTN) |
| |||||||||||
2.88% | 10/22/30 | 4 | 55,000 | 56,606 | ||||||||
Bank of America Corp., |
| |||||||||||
Series N |
| |||||||||||
1.66% | 03/11/27 | 4 | 50,000 | 50,168 | ||||||||
Comerica, Inc. |
| |||||||||||
5.63% | 10/01/69 | 4 | 45,000 | 49,669 | ||||||||
Credit Suisse Group AG |
| |||||||||||
(Switzerland) |
| |||||||||||
2.59% | 09/11/25 | 1,3,4 | 35,000 | 36,335 |
See accompanying Notes to Financial Statements. |
131 / Annual Report March 2021 |
Table of Contents
Strategic Income Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Banking (continued) |
| |||||||||||
HSBC Holdings PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
2.01% | 09/22/28 | 3,4 | $ | 100,000 | $ | 98,328 | ||||||
JPMorgan Chase & Co. |
| |||||||||||
2.18% | 06/01/28 | 4 | 85,000 | 85,984 | ||||||||
Santander UK Group Holdings PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
4.80% | 11/15/24 | 3,4 | 65,000 | 71,570 | ||||||||
Wells Fargo & Co. |
| |||||||||||
(MTN) |
| |||||||||||
2.16% | 02/11/26 | 4 | 50,000 | 51,609 | ||||||||
2.39% | 06/02/28 | 4 | 75,000 | 76,911 | ||||||||
|
|
| ||||||||||
577,180 | ||||||||||||
|
|
| ||||||||||
Communications — 5.97% |
| |||||||||||
AT&T, Inc. |
| |||||||||||
3.50% | 09/15/53 | 1 | 65,000 | 60,182 | ||||||||
3.80% | 12/01/57 | 1 | 136,000 | 129,561 | ||||||||
4.75% | 05/15/46 | 15,000 | 17,297 | |||||||||
Cable One, Inc. |
| |||||||||||
4.00% | 11/15/30 | 1 | 37,000 | 36,572 | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. |
| |||||||||||
4.50% | 05/01/32 | 1 | 36,000 | 36,504 | ||||||||
5.38% | 06/01/29 | 1 | 30,000 | 32,209 | ||||||||
CSC Holdings LLC |
| |||||||||||
5.38% | 02/01/28 | 1 | 5,000 | 5,269 | ||||||||
6.50% | 02/01/29 | 1 | 12,000 | 13,282 | ||||||||
Diamond Sports Group LLC/Diamond Sports Finance Co. |
| |||||||||||
5.38% | 08/15/26 | 1 | 85,000 | 61,388 | ||||||||
Intelsat Jackson Holdings SA |
| |||||||||||
(Luxembourg) |
| |||||||||||
8.50% | 10/15/24 | 1,3,7,8 | 38,000 | 24,154 | ||||||||
9.75% | 07/15/25 | 1,3,7,8 | 71,000 | 44,545 | ||||||||
Lumen Technologies, Inc. |
| |||||||||||
4.00% | 02/15/27 | 1 | 24,000 | 24,546 | ||||||||
Qwest Corp. |
| |||||||||||
7.25% | 09/15/25 | 70,000 | 82,162 | |||||||||
Scripps Escrow II, Inc. |
| |||||||||||
5.38% | 01/15/31 | 1 | 25,000 | 24,859 | ||||||||
SES GLOBAL Americas Holdings GP |
| |||||||||||
5.30% | 03/25/44 | 1 | 200,000 | 225,515 | ||||||||
Sinclair Television Group, Inc. |
| |||||||||||
4.13% | 12/01/30 | 1 | 52,000 | 50,212 | ||||||||
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint |
| |||||||||||
Spectrum Co. III LLC |
| |||||||||||
4.74% | 03/20/25 | 1 | 120,000 | 128,859 | ||||||||
Time Warner Cable LLC |
| |||||||||||
5.50% | 09/01/41 | 100,000 | 118,734 | |||||||||
T-Mobile USA, Inc. |
| |||||||||||
1.50% | 02/15/26 | 1 | 10,000 | 9,914 | ||||||||
2.25% | 02/15/26 | 78,000 | 78,221 | |||||||||
2.55% | 02/15/31 | 1 | 10,000 | 9,810 | ||||||||
2.63% | 04/15/26 | 38,000 | 38,596 | |||||||||
3.88% | 04/15/30 | 1 | 25,000 | 27,165 | ||||||||
Verizon Communications, Inc. |
| |||||||||||
2.10% | 03/22/28 | 15,000 | 15,056 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Communications (continued) |
| |||||||||||
2.55% | 03/21/31 | $ | 40,000 | $ | 39,969 | |||||||
Virgin Media Secured Finance PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
5.50% | 05/15/29 | 1,3 | 66,000 | 70,147 | ||||||||
Vodafone Group PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
4.88% | 06/19/49 | 3 | 48,000 | 57,126 | ||||||||
Walt Disney Co. (The) |
| |||||||||||
2.65% | 01/13/31 | 45,000 | 45,992 | |||||||||
|
|
| ||||||||||
1,507,846 | ||||||||||||
|
|
| ||||||||||
Consumer Discretionary — 1.08% |
| |||||||||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev |
| |||||||||||
Worldwide, Inc. |
| |||||||||||
4.90% | 02/01/46 | 85,000 | 101,766 | |||||||||
Bacardi Ltd. |
| |||||||||||
(Bermuda) |
| |||||||||||
5.30% | 05/15/48 | 1,3 | 40,000 | 49,305 | ||||||||
BAT Capital Corp. |
| |||||||||||
2.73% | 03/25/31 | 25,000 | 24,321 | |||||||||
4.39% | 08/15/37 | 20,000 | 20,993 | |||||||||
4.54% | 08/15/47 | 75,000 | 75,631 | |||||||||
|
|
| ||||||||||
272,016 | ||||||||||||
|
|
| ||||||||||
Electric — 1.03% |
| |||||||||||
Entergy Texas, Inc. |
| |||||||||||
3.45% | 12/01/27 | 150,000 | 160,761 | |||||||||
FirstEnergy Transmission LLC |
| |||||||||||
2.87% | 09/15/28 | 1 | 39,000 | 39,381 | ||||||||
Jersey Central Power & Light Co. |
| |||||||||||
4.70% | 04/01/24 | 1 | 55,000 | 59,862 | ||||||||
|
|
| ||||||||||
260,004 | ||||||||||||
|
|
| ||||||||||
Energy — 3.22% |
| |||||||||||
Energy Transfer Operating LP |
| |||||||||||
5.00% | 05/15/50 | 15,000 | 15,575 | |||||||||
5.50% | 06/01/27 | 3,000 | 3,464 | |||||||||
Hess Corp. |
| |||||||||||
4.30% | 04/01/27 | 50,000 | 54,626 | |||||||||
Kinder Morgan Energy Partners LP |
| |||||||||||
5.00% | 08/15/42 | 45,000 | 50,791 | |||||||||
Petroleos Mexicanos |
| |||||||||||
(Mexico) |
| |||||||||||
6.63% | 06/15/35 | 3 | 100,000 | 95,285 | ||||||||
6.75% | 09/21/47 | 3 | 50,000 | 42,613 | ||||||||
6.95% | 01/28/60 | 3 | 35,000 | 30,034 | ||||||||
Plains All American Pipeline LP/PAA Finance Corp. |
| |||||||||||
4.65% | 10/15/25 | 50,000 | 55,089 | |||||||||
Rockies Express Pipeline LLC |
| |||||||||||
4.80% | 05/15/30 | 1 | 100,000 | 99,062 | ||||||||
Ruby Pipeline LLC |
| |||||||||||
8.00% | 04/01/22 | 1,5,6 | 37,727 | 31,600 | ||||||||
Sunoco Logistics Partners Operations LP |
| |||||||||||
5.40% | 10/01/47 | 174,000 | 186,652 | |||||||||
TransMontaigne Partners LP/TLP Finance Corp. |
| |||||||||||
6.13% | 02/15/26 | 35,000 | 35,262 |
See accompanying Notes to Financial Statements. |
Annual Report March 2021 / 132 |
Table of Contents
Strategic Income Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Energy (continued) |
| |||||||||||
Transocean Pontus Ltd. |
| |||||||||||
(Cayman Islands) |
| |||||||||||
6.13% | 08/01/25 | 1,3 | $ | 29,725 | $ | 28,146 | ||||||
Transocean Poseidon Ltd. |
| |||||||||||
(Cayman Islands) |
| |||||||||||
6.88% | 02/01/27 | 1,3 | 20,000 | 18,524 | ||||||||
Transocean Proteus Ltd. |
| |||||||||||
(Cayman Islands) |
| |||||||||||
6.25% | 12/01/24 | 1,3 | 11,400 | 10,859 | ||||||||
USA Compression Partners LP/USA Compression Finance Corp. |
| |||||||||||
6.88% | 04/01/26 | 32,000 | 32,880 | |||||||||
6.88% | 09/01/27 | 22,000 | 22,697 | |||||||||
|
|
| ||||||||||
813,159 | ||||||||||||
|
|
| ||||||||||
Entertainment — 0.16% |
| |||||||||||
Live Nation Entertainment, Inc. |
| |||||||||||
4.75% | 10/15/27 | 1 | 40,000 | 40,363 | ||||||||
|
|
| ||||||||||
Finance — 2.40% |
| |||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust |
| |||||||||||
(Ireland) | ||||||||||||
3.95% | 02/01/22 | 3 | 75,000 | 76,753 | ||||||||
Air Lease Corp. |
| |||||||||||
(MTN) | ||||||||||||
2.30% | 02/01/25 | 75,000 | 76,674 | |||||||||
Avolon Holdings Funding Ltd. |
| |||||||||||
(Cayman Islands) |
| |||||||||||
5.13% | 10/01/23 | 1,3 | 56,000 | 59,745 | ||||||||
5.25% | 05/15/24 | 1,3 | 10,000 | 10,816 | ||||||||
Ford Motor Credit Co. LLC |
| |||||||||||
(LIBOR USD 3-Month plus 1.27%) |
| |||||||||||
1.46% | 03/28/22 | 2 | 115,000 | 114,269 | ||||||||
General Motors Financial Co., Inc. |
| |||||||||||
3.15% | 06/30/22 | 75,000 | 77,098 | |||||||||
3.45% | 04/10/22 | 20,000 | 20,487 | |||||||||
4.38% | 09/25/21 | 25,000 | 25,465 | |||||||||
Goldman Sachs Group, Inc. (The) |
| |||||||||||
3.69% | 06/05/28 | 4 | 50,000 | 54,616 | ||||||||
Nationwide Building Society |
| |||||||||||
(United Kingdom) |
| |||||||||||
3.77% | 03/08/24 | 1,3,4 | 50,000 | 52,846 | ||||||||
Park Aerospace Holdings Ltd. |
| |||||||||||
(Cayman Islands) |
| |||||||||||
4.50% | 03/15/23 | 1,3 | 35,000 | 36,570 | ||||||||
|
|
| ||||||||||
605,339 | ||||||||||||
|
|
| ||||||||||
Food — 1.04% |
| |||||||||||
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc. |
| |||||||||||
(Canada) |
| |||||||||||
5.50% | 01/15/30 | 1,3 | 25,000 | 27,719 | ||||||||
Kraft Heinz Foods Co. |
| |||||||||||
5.00% | 06/04/42 | 74,000 | 83,392 | |||||||||
Pilgrim’s Pride Corp. |
| |||||||||||
4.25% | 04/15/31 | 1 | 25,000 | 24,930 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Food (continued) |
| |||||||||||
Post Holdings, Inc. |
| |||||||||||
4.63% | 04/15/30 | 1 | $ | 50,000 | $ | 50,187 | ||||||
Smithfield Foods, Inc. |
| |||||||||||
3.35% | 02/01/22 | 1 | 75,000 | 75,964 | ||||||||
|
|
| ||||||||||
262,192 | ||||||||||||
|
|
| ||||||||||
Gaming — 0.20% |
| |||||||||||
Churchill Downs, Inc. |
| |||||||||||
4.75% | 01/15/28 | 1 | 50,000 | 51,828 | ||||||||
|
|
| ||||||||||
Health Care — 3.10% |
| |||||||||||
AbbVie, Inc. |
| |||||||||||
3.60% | 05/14/25 | 50,000 | 54,501 | |||||||||
Bausch Health Americas, Inc. |
| |||||||||||
9.25% | 04/01/26 | 1 | 7,000 | 7,765 | ||||||||
Bayer U.S. Finance II LLC |
| |||||||||||
4.38% | 12/15/28 | 1 | 70,000 | 79,112 | ||||||||
4.63% | 06/25/38 | 1 | 35,000 | 40,350 | ||||||||
Centene Corp. |
| |||||||||||
3.00% | 10/15/30 | 59,000 | 58,976 | |||||||||
CommonSpirit Health |
| |||||||||||
2.78% | 10/01/30 | 30,000 | 30,600 | |||||||||
CVS Health Corp. |
| |||||||||||
5.05% | 03/25/48 | 60,000 | 73,718 | |||||||||
Elanco Animal Health, Inc. |
| |||||||||||
5.90% | 08/28/28 | 60,000 | 68,212 | |||||||||
Endo Luxembourg Finance Co. I Sarl/Endo U.S., Inc. |
| |||||||||||
(Luxembourg) |
| |||||||||||
6.13% | 04/01/29 | 1,3 | 25,000 | 25,390 | ||||||||
HCA, Inc. |
| |||||||||||
5.25% | 04/15/25 | 12,000 | 13,713 | |||||||||
5.25% | 06/15/49 | 110,000 | 134,924 | |||||||||
Molina Healthcare, Inc. |
| |||||||||||
3.88% | 11/15/30 | 1 | 35,000 | 36,045 | ||||||||
5.38% | 11/15/22 | 43,000 | 45,168 | |||||||||
Prime Healthcare Services, Inc. |
| |||||||||||
7.25% | 11/01/25 | 1 | 43,000 | 45,903 | ||||||||
Tenet Healthcare Corp. |
| |||||||||||
4.88% | 01/01/26 | 1 | 67,000 | 69,747 | ||||||||
|
|
| ||||||||||
784,124 | ||||||||||||
|
|
| ||||||||||
Industrials — 2.03% |
| |||||||||||
Ball Corp. |
| |||||||||||
4.00% | 11/15/23 | 30,000 | 31,987 | |||||||||
Berry Global, Inc. |
| |||||||||||
1.57% | 01/15/26 | 1 | 40,000 | 39,414 | ||||||||
Boeing Co. (The) |
| |||||||||||
1.43% | 02/04/24 | 60,000 | 60,111 | |||||||||
General Electric Co. |
| |||||||||||
(MTN) |
| |||||||||||
(LIBOR USD 3-Month plus 0.48%) |
| |||||||||||
0.67% | 08/15/36 | 2 | 325,000 | 263,338 | ||||||||
Graphic Packaging International LLC |
| |||||||||||
4.88% | 11/15/22 | 55,000 | 57,668 | |||||||||
Mauser Packaging Solutions Holding Co. |
| |||||||||||
5.50% | 04/15/24 | 1 | 5,000 | 5,075 |
See accompanying Notes to Financial Statements. |
133 / Annual Report March 2021 |
Table of Contents
Strategic Income Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Industrials (continued) |
| |||||||||||
OI European Group BV |
| |||||||||||
(Netherlands) |
| |||||||||||
4.00% | 03/15/23 | 1,3 | $ | 15,000 | $ | 15,422 | ||||||
Sealed Air Corp. |
| |||||||||||
4.00% | 12/01/27 | 1 | 5,000 | 5,137 | ||||||||
Titan Acquisition Ltd./Titan Co-Borrower LLC |
| |||||||||||
(Canada) |
| |||||||||||
7.75% | 04/15/26 | 1,3 | 34,000 | 35,481 | ||||||||
|
|
| ||||||||||
513,633 | ||||||||||||
|
|
| ||||||||||
Information Technology — 0.41% |
| |||||||||||
NCR Corp. |
| |||||||||||
5.13% | 04/15/29 | 1 | 37,000 | 37,366 | ||||||||
Oracle Corp. |
| |||||||||||
2.88% | 03/25/31 | 25,000 | 25,462 | |||||||||
3.95% | 03/25/51 | 40,000 | 41,311 | |||||||||
|
|
| ||||||||||
104,139 | ||||||||||||
|
|
| ||||||||||
Insurance — 0.84% |
| |||||||||||
Farmers Exchange Capital II |
| |||||||||||
6.15% | 11/01/53 | 1,4 | 50,000 | 63,427 | ||||||||
Nationwide Mutual Insurance Co. |
| |||||||||||
2.47% | 12/15/24 | 1,4 | 75,000 | 74,959 | ||||||||
Teachers Insurance & Annuity Association of America |
| |||||||||||
4.27% | 05/15/47 | 1 | 65,000 | 73,294 | ||||||||
|
|
| ||||||||||
211,680 | ||||||||||||
|
|
| ||||||||||
Materials — 0.05% |
| |||||||||||
International Flavors & Fragrances, Inc. |
| |||||||||||
5.00% | 09/26/48 | 10,000 | 12,356 | |||||||||
|
|
| ||||||||||
Real Estate Investment Trust (REIT) — 1.64% |
| |||||||||||
American Campus Communities Operating Partnership LP |
| |||||||||||
3.63% | 11/15/27 | 50,000 | 54,611 | |||||||||
3.75% | 04/15/23 | 35,000 | 37,022 | |||||||||
CyrusOne LP/CyrusOne Finance Corp. |
| |||||||||||
2.15% | 11/01/30 | 5,000 | 4,633 | |||||||||
2.90% | 11/15/24 | 80,000 | 84,672 | |||||||||
GLP Capital LP/GLP Financing II, Inc. |
| |||||||||||
5.38% | 04/15/26 | 65,000 | 73,107 | |||||||||
5.75% | 06/01/28 | 25,000 | 28,912 | |||||||||
Lexington Realty Trust |
| |||||||||||
2.70% | 09/15/30 | 35,000 | 34,233 | |||||||||
SL Green Operating Partnership LP |
| |||||||||||
3.25% | 10/15/22 | 40,000 | 41,473 | |||||||||
Ventas Realty LP |
| |||||||||||
4.40% | 01/15/29 | 50,000 | 56,185 | |||||||||
|
|
| ||||||||||
414,848 | ||||||||||||
|
|
| ||||||||||
Retail — 0.16% |
| |||||||||||
Yum! Brands, Inc. |
| |||||||||||
4.63% | 01/31/32 | 40,000 | 40,888 | |||||||||
|
|
| ||||||||||
Services — 0.41% |
| |||||||||||
IHS Markit Ltd. |
| |||||||||||
(Bermuda) |
| |||||||||||
4.00% | 03/01/26 | 1,3 | 7,000 | 7,727 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Services (continued) |
| |||||||||||
5.00% | 11/01/22 | 1,3 | $ | 45,000 | $ | 47,471 | ||||||
Waste Pro USA, Inc. |
| |||||||||||
5.50% | 02/15/26 | 1 | 48,000 | 49,280 | ||||||||
|
|
| ||||||||||
104,478 | ||||||||||||
|
|
| ||||||||||
Transportation — 1.15% |
| |||||||||||
Continental Airlines Pass-Through Trust, |
| |||||||||||
Series 2007-1, Class B |
| |||||||||||
6.90% | 04/19/22 | 181,975 | 181,477 | |||||||||
JetBlue Airways Pass-Through Trust, |
| |||||||||||
Series 2020-1, Class A |
| |||||||||||
4.00% | 11/15/32 | 100,000 | 108,648 | |||||||||
|
|
| ||||||||||
290,125 | ||||||||||||
|
|
| ||||||||||
Total Corporates |
| |||||||||||
(Cost $6,667,844) |
| 6,866,198 | ||||||||||
|
|
| ||||||||||
MORTGAGE-BACKED — 44.21%** |
| |||||||||||
Non-Agency Commercial Mortgage-Backed — 5.40% |
| |||||||||||
Banc of America Commercial Mortgage Trust, |
| |||||||||||
Series 2015-UBS7, Class XE (IO) |
| |||||||||||
1.25% | 09/15/48 | 1,4 | 1,500,000 | 63,264 | ||||||||
Citigroup Commercial Mortgage Trust, |
| |||||||||||
Series 2012-GC8, Class XA (IO) |
| |||||||||||
1.74% | 09/10/45 | 1,4 | 1,369,970 | 24,641 | ||||||||
Citigroup Commercial Mortgage Trust, |
| |||||||||||
Series 2014-GC25, Class XA (IO) |
| |||||||||||
0.99% | 10/10/47 | 4 | 4,503,286 | 133,329 | ||||||||
COBALT CMBS Commercial Mortgage Trust, |
| |||||||||||
Series 2007-C2, Class X (IO) |
| |||||||||||
0.45% | 04/15/47 | 1,4 | 301,996 | 1,218 | ||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2013-CR12, Class XA (IO) |
| |||||||||||
1.11% | 10/10/46 | 4 | 1,795,621 | 43,179 | ||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2014-CR17, Class XA (IO) |
| |||||||||||
0.97% | 05/10/47 | 4 | 2,078,575 | 51,378 | ||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2020-CBM, Class XCP (IO) |
| |||||||||||
0.49% | 02/10/37 | 1,4 | 2,030,000 | 45,009 | ||||||||
Credit Suisse Mortgage Capital Trust, |
| |||||||||||
Series 2014-USA, Class X1 (IO) |
| |||||||||||
0.54% | 09/15/37 | 1,4 | 9,783,817 | 209,536 | ||||||||
CSAIL Commercial Mortgage Trust, |
| |||||||||||
Series 2015-C1, Class XA (IO) |
| |||||||||||
0.83% | 04/15/50 | 4 | 1,728,205 | 45,713 | ||||||||
GS Mortgage Securities Corp. Trust, |
| |||||||||||
Series 2020-UPTN, Class XA (IO) |
| |||||||||||
0.35% | 02/10/37 | 1,4 | 940,000 | 12,477 | ||||||||
GS Mortgage Securities Trust, |
| |||||||||||
Series 2012-GC6, Class XA (IO) |
| |||||||||||
1.92% | 01/10/45 | 1,4 | 20,210,499 | 118,094 | ||||||||
GS Mortgage Securities Trust, |
| |||||||||||
Series 2012-GC6, Class XB (IO) |
| |||||||||||
0.20% | 01/10/45 | 1,4 | 5,749,132 | 9,761 |
See accompanying Notes to Financial Statements. |
Annual Report March 2021 / 134 |
Table of Contents
Strategic Income Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Commercial Mortgage-Backed (continued) |
| |||||||||||
GS Mortgage Securities Trust, |
| |||||||||||
Series 2012-GCJ9, Class XA (IO) |
| |||||||||||
1.93% | 11/10/45 | 4 | $ | 2,681,219 | $ | 59,357 | ||||||
JPMBB Commercial Mortgage Securities Trust, |
| |||||||||||
Series 2014-C21, Class XA (IO) |
| |||||||||||
0.99% | 08/15/47 | 4 | 542,974 | 14,536 | ||||||||
JPMBB Commercial Mortgage Securities Trust, |
| |||||||||||
Series 2014-C25, Class XA (IO) |
| |||||||||||
0.84% | 11/15/47 | 4 | 5,033,844 | 130,193 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust |
| |||||||||||
Series 2013-C16, Class XA (IO) |
| |||||||||||
0.92% | 12/15/46 | 4 | 6,017,222 | 122,434 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, |
| |||||||||||
Series 2012-LC9, Class XA (IO) |
| |||||||||||
1.49% | 12/15/47 | 4 | 1,969,947 | 38,548 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, |
| |||||||||||
Series 2013-C13, Class XA (IO) |
| |||||||||||
0.11% | 01/15/46 | 4 | 6,391,421 | 15,605 | ||||||||
JPMorgan Chase Commercial Mortgage Securities Trust, |
| |||||||||||
Series 2019-BOLT, Class B |
| |||||||||||
(LIBOR USD 1-Month plus 2.20%) |
| |||||||||||
2.31% | 07/15/34 | 1,2 | 91,653 | 89,705 | ||||||||
UBS Commercial Mortgage Trust, |
| |||||||||||
Series 2012-C1, Class XA (IO) |
| |||||||||||
2.06% | 05/10/45 | 1,4 | 1,615,682 | 17,791 | ||||||||
Wells Fargo Commercial Mortgage Trust, |
| |||||||||||
Series 2016-NXS6, Class XA (IO) |
| |||||||||||
1.61% | 11/15/49 | 4 | 1,104,515 | 58,086 | ||||||||
WF-RBS Commercial Mortgage Trust, |
| |||||||||||
Series 2011-C3, Class XA (IO) |
| |||||||||||
1.47% | 03/15/44 | 1,4 | 1,107,038 | 1,635 | ||||||||
WF-RBS Commercial Mortgage Trust, |
| |||||||||||
Series 2011-C5, Class XA (IO) |
| |||||||||||
1.67% | 11/15/44 | 1,4 | 3,003,089 | 5,645 | ||||||||
WF-RBS Commercial Mortgage Trust, |
| |||||||||||
Series 2012-C9, Class XA (IO) |
| |||||||||||
1.87% | 11/15/45 | 1,4 | 921,023 | 19,950 | ||||||||
WF-RBS Commercial Mortgage Trust, |
| |||||||||||
Series 2013-C14, Class XA (IO) |
| |||||||||||
0.72% | 06/15/46 | 4 | 2,941,456 | 33,436 | ||||||||
|
|
| ||||||||||
1,364,520 | ||||||||||||
|
|
| ||||||||||
Non-Agency Mortgage-Backed — 29.53% |
| |||||||||||
Conseco Finance Corp., |
| |||||||||||
Series 1996-7, Class M1 |
| |||||||||||
7.70% | 09/15/26 | 4 | 53,496 | 54,438 | ||||||||
Conseco Finance Corp., |
| |||||||||||
Series 1998-4, Class A6 |
| |||||||||||
6.53% | 04/01/30 | 4 | 76,552 | 77,803 | ||||||||
Conseco Finance Corp., |
| |||||||||||
Series 1998-4, Class A7 |
| |||||||||||
6.87% | 04/01/30 | 4 | 37,906 | 38,592 | ||||||||
Conseco Finance Corp., |
| |||||||||||
Series 1999-5, Class A5 |
| |||||||||||
7.86% | 03/01/30 | 4 | 81,830 | 48,734 |
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 A2C (STEP-reset date 05/25/21) |
| |||||||||||
3.79% | 02/25/37 | $ | 294,362 | $ | 240,679 | |||||||
Credit-Based Asset Servicing and Securitization LLC, |
| |||||||||||
Mortgage Loan Trust, |
| |||||||||||
Series 2007-CB3, Class A3 (STEP-reset date 05/25/21) |
| |||||||||||
3.47% | 03/25/37 | 937,412 | 483,200 | |||||||||
First Franklin Mortgage Loan Trust, |
| |||||||||||
Series 2006-FF18, Class A2B |
| |||||||||||
(LIBOR USD 1-Month plus 0.11%) |
| |||||||||||
0.22% | 12/25/37 | 2 | 391,298 | 363,452 | ||||||||
First Franklin Mortgage Loan Trust, |
| |||||||||||
Series 2007-FF1, Class A2D |
| |||||||||||
(LIBOR USD 1-Month plus 0.22%) |
| |||||||||||
0.33% | 01/25/38 | 2 | 938,804 | 666,621 | ||||||||
First Franklin Mortgage Loan Trust, |
| |||||||||||
Series 2007-FF2, Class A2B |
| |||||||||||
(LIBOR USD 1-Month plus 0.10%) |
| |||||||||||
0.21% | 03/25/37 | 2 | 636,644 | 386,128 | ||||||||
GMACM Mortgage Corp. Loan Trust, |
| |||||||||||
Series 2006-AR1, Class 1A1 |
| |||||||||||
3.13% | 04/19/36 | 4 | 236,998 | 209,856 | ||||||||
GSR Mortgage Loan Trust, |
| |||||||||||
Series 2007-AR2, Class 5A1A |
| |||||||||||
2.99% | 05/25/37 | 4 | 331,264 | 309,779 | ||||||||
HSI Asset Loan Obligation Trust, |
| |||||||||||
Series 2007-2, Class 2A12 |
| |||||||||||
6.00% | 09/25/37 | 297,871 | 279,725 | |||||||||
Impac CMB Trust, |
| |||||||||||
Series 2004-4, Class 1A2 |
| |||||||||||
(LIBOR USD 1-Month plus 0.62%) |
| |||||||||||
0.73% | 09/25/34 | 2 | 148,230 | 146,656 | ||||||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||||
Series 2005-AR25, Class 2A1 |
| |||||||||||
2.99% | 12/25/35 | 4 | 311,935 | 310,664 | ||||||||
IndyMac Manufactured Housing Contract Pass-Through |
| |||||||||||
Certificates, |
| |||||||||||
Series 1997-1, Class A3 |
| |||||||||||
6.61% | 02/25/28 | 64,476 | 65,082 | |||||||||
IndyMac Manufactured Housing Contract Pass-Through |
| |||||||||||
Certificates, |
| |||||||||||
Series 1997-1, Class A4 |
| |||||||||||
6.75% | 02/25/28 | 27,142 | 27,414 | |||||||||
IndyMac Manufactured Housing Contract Pass-Through |
| |||||||||||
Certificates, |
| |||||||||||
Series 1998-1, Class A4 |
| |||||||||||
6.49% | 09/25/28 | 59,425 | 61,618 | |||||||||
IndyMac Manufactured Housing Contract Pass-Through |
| |||||||||||
Certificates, |
| |||||||||||
Series 1998-1, Class A5 |
| |||||||||||
6.96% | 09/25/28 | 4 | 143,233 | 151,901 | ||||||||
JPMorgan Mortgage Acquisition Trust, |
| |||||||||||
Series 2007-HE1, Class AF6 (STEP-reset date 05/25/21) |
| |||||||||||
4.21% | 03/25/47 | 745,146 | 582,898 |
See accompanying Notes to Financial Statements. |
135 / Annual Report March 2021 |
Table of Contents
Strategic Income Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Mortgage-Backed (continued) |
| |||||||||||
JPMorgan Mortgage Trust, |
| |||||||||||
Series 2006-S2, Class 2A2 |
| |||||||||||
5.88% | 06/25/21 | $ | 57,545 | $ | 55,459 | |||||||
JPMorgan Mortgage Trust, |
| |||||||||||
Series 2007-S1, Class 1A2 |
| |||||||||||
5.50% | 03/25/22 | 15,868 | 15,790 | |||||||||
Merrill Lynch Alternative Note Asset Trust, |
| |||||||||||
Series 2007-A3, Class A2D |
| |||||||||||
(LIBOR USD 1-Month plus 0.33%) |
| |||||||||||
0.44% | 04/25/37 | 2,5,6 | 1,696,107 | 159,315 | ||||||||
Merrill Lynch Mortgage Investors Trust, |
| |||||||||||
Series 2004-HE2, Class A2C |
| |||||||||||
(LIBOR USD 1-Month plus 1.16%) |
| |||||||||||
1.27% | 08/25/35 | 2 | 638,150 | 591,752 | ||||||||
Mid-State Capital Corp. Trust, |
| |||||||||||
Series 2004-1, Class B |
| |||||||||||
8.90% | 08/15/37 | 363,756 | 410,304 | |||||||||
Mid-State Capital Corp. Trust, |
| |||||||||||
Series 2004-1, Class M1 |
| |||||||||||
6.50% | 08/15/37 | 251,576 | 273,028 | |||||||||
Mid-State Capital Corp. Trust, |
| |||||||||||
Series 2005-1, Class A |
| |||||||||||
5.75% | 01/15/40 | 127,304 | 136,918 | |||||||||
Mid-State Trust XI, |
| |||||||||||
Series 11, Class B |
| |||||||||||
8.22% | 07/15/38 | 6,886 | 7,668 | |||||||||
Morgan Stanley Mortgage Loan Trust, |
| |||||||||||
Series 2004-7AR, Class 2A4 |
| |||||||||||
2.17% | 09/25/34 | 4 | 169,796 | 169,072 | ||||||||
Morgan Stanley Mortgage Loan Trust, |
| |||||||||||
Series 2006-7, Class 5A2 |
| |||||||||||
5.96% | 06/25/36 | 4 | 991,113 | 397,188 | ||||||||
Oakwood Mortgage Investors, Inc., |
| |||||||||||
Series 1998-A, Class M |
| |||||||||||
6.83% | 05/15/28 | 4 | 32,502 | 32,666 | ||||||||
Oakwood Mortgage Investors, Inc., |
| |||||||||||
Series 1999-B, Class A4 |
| |||||||||||
6.99% | 12/15/26 | 145,100 | 147,285 | |||||||||
Oakwood Mortgage Investors, Inc., |
| |||||||||||
Series 2002-A, Class A3 |
| |||||||||||
6.03% | 05/15/24 | 4 | 186,013 | 190,407 | ||||||||
Residential Accredit Loans Trust, |
| |||||||||||
Series 2005-QA3, Class NB1 |
| |||||||||||
3.41% | 03/25/35 | 4 | 172,970 | 98,226 | ||||||||
Structured Adjustable Rate Mortgage Loan Trust, |
| |||||||||||
Series 2004-12, Class 2A |
| |||||||||||
2.71% | 09/25/34 | 4 | 193,242 | 196,864 | ||||||||
Terwin Mortgage Trust, |
| |||||||||||
Series 2004-7HE, Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 1.10%) |
| |||||||||||
1.21% | 07/25/34 | 1,2 | 77,216 | 76,267 | ||||||||
|
|
| ||||||||||
7,463,449 | ||||||||||||
|
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
U.S. Agency Commercial Mortgage-Backed — 6.21% |
| |||||||||||
Fannie Mae-Aces, |
| |||||||||||
Series 2011-M5, Class X (IO) |
| |||||||||||
1.09% | 07/25/21 | 4 | $ | 1,067,427 | $ | 2,089 | ||||||
Fannie Mae-Aces, |
| |||||||||||
Series 2016-M11, Class X2 (IO) |
| |||||||||||
2.83% | 07/25/39 | 4 | 568,832 | 23,144 | ||||||||
Freddie Mac Multifamily PC REMIC Trust, |
| |||||||||||
Series 2019-P002, Class X (IO) |
| |||||||||||
1.14% | 07/25/33 | 4 | 535,000 | 58,949 | ||||||||
Freddie Mac Multifamily Structured Pass-Through |
| |||||||||||
Certificates, |
| |||||||||||
Series K021, Class X3 (IO) |
| |||||||||||
1.97% | 07/25/40 | 4 | 1,150,000 | 27,148 | ||||||||
Freddie Mac Multifamily Structured Pass-Through |
| |||||||||||
Certificates, |
| |||||||||||
Series K022, Class X3 (IO) |
| |||||||||||
1.81% | 08/25/40 | 4 | 5,250,000 | 121,099 | ||||||||
Freddie Mac Multifamily Structured Pass-Through |
| |||||||||||
Certificates, |
| |||||||||||
Series K023, Class X3 (IO) |
| |||||||||||
1.69% | 10/25/40 | 4 | 4,050,000 | 91,002 | ||||||||
Freddie Mac Multifamily Structured Pass-Through |
| |||||||||||
Certificates, |
| |||||||||||
Series K027, Class X3 (IO) |
| |||||||||||
1.71% | 01/25/41 | 4 | 5,000,000 | 141,853 | ||||||||
Freddie Mac Multifamily Structured Pass-Through |
| |||||||||||
Certificates, |
| |||||||||||
Series K031, Class X3 (IO) |
| |||||||||||
1.66% | 07/25/41 | 4 | 5,999,569 | 197,308 | ||||||||
Freddie Mac Multifamily Structured Pass-Through |
| |||||||||||
Certificates, |
| |||||||||||
Series K034, Class X1 (IO) |
| |||||||||||
0.08% | 07/25/23 | 4 | 6,275,747 | 13,667 | ||||||||
Freddie Mac Multifamily Structured Pass-Through |
| |||||||||||
Certificates, |
| |||||||||||
Series K040, Class X3 (IO) |
| |||||||||||
2.04% | 11/25/42 | 4 | 1,100,000 | 72,871 | ||||||||
Freddie Mac Multifamily Structured Pass-Through |
| |||||||||||
Certificates, |
| |||||||||||
Series K723, Class X1 (IO) |
| |||||||||||
0.95% | 08/25/23 | 4 | 6,498,829 | 112,548 | ||||||||
Freddie Mac Multifamily Structured Pass-Through |
| |||||||||||
Certificates, |
| |||||||||||
Series K724, Class X1 (IO) |
| |||||||||||
0.26% | 11/25/23 | 4 | 16,621,737 | 95,751 | ||||||||
Freddie Mac Multifamily Structured Pass-Through |
| |||||||||||
Certificates, |
| |||||||||||
Series KAIV, Class X2 (IO) |
| |||||||||||
3.59% | 06/25/41 | 4 | 1,220,000 | 7,159 | ||||||||
Freddie Mac Multifamily Structured Pass-Through |
| |||||||||||
Certificates, |
| |||||||||||
Series KC04, Class X1 (IO) |
| |||||||||||
1.25% | 12/25/26 | 4 | 2,269,306 | 112,231 |
See accompanying Notes to Financial Statements. |
Annual Report March 2021 / 136 |
Table of Contents
Strategic Income Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
U.S. Agency Commercial Mortgage-Backed (continued) |
| |||||||||||
Freddie Mac Multifamily Structured Pass-Through |
| |||||||||||
Certificates, | ||||||||||||
Series KC05, Class X1 (IO) |
| |||||||||||
1.20% | 06/25/27 | 4 | $ | 1,994,894 | $ | 107,546 | ||||||
Freddie Mac Multifamily Structured Pass-Through |
| |||||||||||
Certificates, | ||||||||||||
Series KS11, Class XFX (IO) |
| |||||||||||
1.60% | 06/25/29 | 4 | 350,000 | 36,617 | ||||||||
Freddie Mac Multifamily Structured Pass-Through |
| |||||||||||
Certificates, | ||||||||||||
Series Q010, Class XPT2 (IO) |
| |||||||||||
0.36% | 08/25/24 | 3,787,735 | 27,085 | |||||||||
FREMF Mortgage Trust, |
| |||||||||||
Series 2012-K23, Class X2A (IO) |
| |||||||||||
0.13% | 10/25/45 | 1 | 60,112,240 | 82,062 | ||||||||
FREMF Mortgage Trust, |
| |||||||||||
Series 2017-K726, Class X2B (IO) |
| |||||||||||
0.10% | 07/25/49 | 1 | 25,000,000 | 63,905 | ||||||||
Ginnie Mae, | ||||||||||||
Series 2009-114, Class IO (IO) |
| |||||||||||
0.03% | 10/16/49 | 4 | 4,629,362 | 579 | ||||||||
Ginnie Mae, | ||||||||||||
Series 2010-148, Class IO (IO) |
| |||||||||||
0.29% | 09/16/50 | 4 | 1,561,239 | 17,956 | ||||||||
Ginnie Mae, | ||||||||||||
Series 2014-103, Class IO (IO) |
| |||||||||||
0.18% | 05/16/55 | 4 | 1,403,939 | 17,048 | ||||||||
Ginnie Mae, | ||||||||||||
Series 2014-125, Class IO (IO) |
| |||||||||||
0.82% | 11/16/54 | 4 | 815,609 | 31,458 | ||||||||
Ginnie Mae, | ||||||||||||
Series 2015-47, Class IO (IO) |
| |||||||||||
0.56% | 10/16/56 | 4 | 759,547 | 23,547 | ||||||||
JPMBB Commercial Mortgage Securities Trust, |
| |||||||||||
Series 2014-C26, Class XA (IO) |
| |||||||||||
0.96% | 01/15/48 | 4 | 2,841,978 | 83,397 | ||||||||
|
|
| ||||||||||
1,568,019 | ||||||||||||
|
|
| ||||||||||
U.S. Agency Mortgage-Backed — 3.07% |
| |||||||||||
Fannie Mae REMICS, |
| |||||||||||
Series 1993-80, Class S |
| |||||||||||
(-1.22 X LIBOR USD 1-Month plus 10.88%, 10.88% Cap) |
| |||||||||||
10.75% | 05/25/23 | 2 | 541 | 588 | ||||||||
Fannie Mae REMICS, | ||||||||||||
Series 2000-45, Class SA (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 7.95%, 7.95% Cap) |
| |||||||||||
7.84% | 12/18/30 | 2 | 87,489 | 11,036 | ||||||||
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 | 402 | 446 | ||||||||
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 | 4,145 | 4,857 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
U.S. Agency Mortgage-Backed (continued) |
| |||||||||||
Fannie Mae REMICS, |
| |||||||||||
Series 2005-92, Class US (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 6.10%, 6.10% Cap) |
| |||||||||||
5.99% | 10/25/25 | 2 | $ | 530,367 | $ | 37,784 | ||||||
Fannie Mae REMICS, |
| |||||||||||
Series 2006-125, Class SM (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 7.20%, 7.20% Cap) |
| |||||||||||
7.09% | 01/25/37 | 2 | 729,842 | 176,773 | ||||||||
Fannie Mae REMICS, |
| |||||||||||
Series 2008-50, Class SA (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 6.05%, 6.05% Cap) |
| |||||||||||
5.94% | 11/25/36 | 2 | 868,035 | 160,344 | ||||||||
Fannie Mae REMICS, |
| |||||||||||
Series 2010-43, Class KS (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 6.42%, 6.42% Cap) |
| |||||||||||
6.31% | 05/25/40 | 2 | 802,013 | 163,368 | ||||||||
Freddie Mac REMICS, |
| |||||||||||
Series 1602, Class SN |
| |||||||||||
(-4.25 X PRIME plus 46.22%, 10.09% Cap) |
| |||||||||||
10.09% | 10/15/23 | 2 | 5,217 | 5,509 | ||||||||
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) |
| |||||||||||
16.57% | 02/15/24 | 2 | 29,879 | 33,977 | ||||||||
Freddie Mac REMICS, |
| |||||||||||
Series 3247, Class SI (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 6.65%, 0.15% Cap) |
| |||||||||||
0.15% | 08/15/36 | 2 | 11,069,389 | 49,231 | ||||||||
Freddie Mac REMICS, |
| |||||||||||
Series 3289, Class SD (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 6.12%, 6.12% Cap) |
| |||||||||||
6.01% | 03/15/37 | 2 | 583,250 | 111,179 | ||||||||
Ginnie Mae, | ||||||||||||
Series 2004-8, Class SE |
| |||||||||||
(-2.00 X LIBOR USD 1-Month plus 14.30%, 14.30% Cap) |
| |||||||||||
14.07% | 11/26/23 | 2 | 19,024 | 21,690 | ||||||||
|
|
| ||||||||||
776,782 | ||||||||||||
|
|
| ||||||||||
Total Mortgage-Backed |
| |||||||||||
(Cost $15,530,106) |
| 11,172,770 | ||||||||||
|
|
| ||||||||||
MUNICIPAL BONDS — 0.71%* |
| |||||||||||
California — 0.14% |
| |||||||||||
City of San Francisco Public Utilities Commission Water |
| |||||||||||
Revenue Bonds, Series E |
| |||||||||||
2.83% | 11/01/41 | 35,000 | 34,836 | |||||||||
|
|
| ||||||||||
Colorado — 0.12% |
| |||||||||||
City & County of Denver Airport System Revenue Bonds, |
| |||||||||||
Series C | ||||||||||||
2.24% | 11/15/30 | 30,000 | 29,360 | |||||||||
|
|
| ||||||||||
Florida — 0.06% | ||||||||||||
County of Miami-Dade Aviation Revenue Bonds, Airport and |
| |||||||||||
Marina Improvements, Series B |
| |||||||||||
2.86% | 10/01/35 | 15,000 | 14,935 | |||||||||
|
|
|
See accompanying Notes to Financial Statements. |
137 / Annual Report March 2021 |
Table of Contents
Strategic Income Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
MUNICIPAL BONDS (continued) |
| |||||||||||
New York — 0.39% |
| |||||||||||
Metropolitan Transportation Authority Revenue Bonds, |
| |||||||||||
Transit Improvements, Series C2 |
| |||||||||||
5.18% | 11/15/49 | $ | 5,000 | $ | 6,215 | |||||||
New York City Transitional Finance Authority Future Tax |
| |||||||||||
Secured Revenue Bonds, Public Improvements, Subseries |
| |||||||||||
B3 |
| |||||||||||
1.85% | 08/01/32 | 75,000 | 70,600 | |||||||||
New York State Urban Development Corp. Revenue Bonds, |
| |||||||||||
Economic Improvements, Series E |
| |||||||||||
4.00% | 03/15/43 | 20,000 | 22,849 | |||||||||
|
|
| ||||||||||
99,664 | ||||||||||||
|
|
| ||||||||||
Total Municipal Bonds |
| |||||||||||
(Cost $182,974) |
| 178,795 | ||||||||||
|
|
| ||||||||||
Total Bonds — 87.18% |
| |||||||||||
(Cost $26,505,374) |
| 22,030,667 | ||||||||||
|
|
| ||||||||||
Issues | Shares | Value | ||||||||||
COMMON STOCK — 0.30% |
| |||||||||||
Real Estate Investment Trust (REIT) — 0.30% |
| |||||||||||
AGNC Investment Corp. |
| 4,500 | 75,420 | |||||||||
|
|
| ||||||||||
Total Common Stock |
| |||||||||||
(Cost $64,005) |
| |||||||||||
Issues | Maturity Date | Principal Amount/Shares | Value | |||||||||
SHORT-TERM INVESTMENTS — 7.21% |
| |||||||||||
Money Market Funds — 2.07% |
| |||||||||||
Fidelity Investments Money Market Funds - Government |
| |||||||||||
Portfolio |
| |||||||||||
0.01%9 | 26,665 | 26,665 | ||||||||||
JPMorgan U.S. Government Money Market Fund |
| |||||||||||
0.03%9 | 248,000 | 248,000 | ||||||||||
Morgan Stanley Institutional Liquidity Funds - Government |
| |||||||||||
Portfolio |
| |||||||||||
0.03%9 | 248,000 | 248,000 | ||||||||||
|
|
| ||||||||||
522,665 | ||||||||||||
|
|
|
Issues | Maturity Date | Principal Amount/Shares | Value | |||||||||
SHORT-TERM INVESTMENTS (continued) |
| |||||||||||
U.S. Treasury Bills — 5.14% |
| |||||||||||
U.S. Treasury Bills |
| |||||||||||
0.05%10 | 08/12/21 | $ | 1,300,000 | $ | 1,299,928 | |||||||
|
| |||||||||||
Total Short-Term Investments |
| |||||||||||
(Cost $1,822,422) |
| 1,822,593 | ||||||||||
|
| |||||||||||
Total Investments - 94.69% |
| |||||||||||
(Cost $28,391,801) |
| 23,928,680 | ||||||||||
|
| |||||||||||
Cash and Other Assets, Less Liabilities - 5.31% |
| 1,341,624 | ||||||||||
|
| |||||||||||
Net Assets - 100.00% |
| $ | 25,270,304 | |||||||||
|
|
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 March 31, 2021. |
3 | Foreign denominated security issued by foreign domiciled entity. |
4 | 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. |
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 $313,328, which is 1.24% of total net assets. |
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 March 31, 2021. |
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.
(CDO): Collateralized Debt Obligations
(CLO): Collateralized Loan Obligation
(IO): Interest Only (LIBOR): London InterBank Offer Rate
(MTN): Medium-Term Note
(STEP): Step Coupon Bond
(USD): U.S. Dollar
Description
| Number of
| Expiration
| Notional
| Value
| Unrealized
| |||||||||||||||
FUTURES CONTRACTS: SHORT POSITIONS | ||||||||||||||||||||
U.S. Treasury Ten Year Ultra Bond | 8 | 06/21/21 | $ | (1,149,500 | ) | $ | 40,420 | $ | 40,420 | |||||||||||
U.S. Treasury Ultra Bond | 7 | 06/21/21 | (1,268,531 | ) | 64,014 | 64,014 | ||||||||||||||
|
|
|
|
|
| |||||||||||||||
TOTAL FUTURES CONTRACTS | $ | (2,418,031 | ) | $ | 104,434 | $ | 104,434 | |||||||||||||
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 138
Table of Contents
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
BONDS – 111.65% |
| |||||||||
ASSET-BACKED SECURITIES — 3.71%** |
| |||||||||
Academic Loan Funding Trust, |
| |||||||||
Series 2012-1A, Class A2 |
| |||||||||
(LIBOR USD 1-Month plus 1.10%) |
| |||||||||
1.21% | 12/27/441,2 | $ | 20,650,772 | $ | 20,955,452 | |||||
Aimco CLO 11 Ltd., |
| |||||||||
Series 2020-11A, Class A1 |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 1.38%) |
| |||||||||
1.60% | 10/15/311,2,3 | 7,100,000 | 7,112,425 | |||||||
Aimco CLO 12 Ltd., |
| |||||||||
Series 2020-12A, Class A |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 1.21%) |
| |||||||||
1.44% | 01/17/321,2,3 | 48,385,000 | 48,454,191 | |||||||
Aimco CLO, |
| |||||||||
Series 2015-AA, Class AR |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 0.85%) |
| |||||||||
1.09% | 01/15/281,2,3 | 3,471,612 | 3,473,587 | |||||||
AMMC CLO 19 Ltd., |
| |||||||||
Series 2016-19A, Class AR |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 1.14%) |
| |||||||||
1.38% | 10/16/281,2,3 | 63,810,000 | 63,811,914 | |||||||
AMMC CLO 23 Ltd., |
| |||||||||
Series 2020-23A, Class A1L |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 1.40%) |
| |||||||||
1.64% | 10/17/311,2,3 | 11,960,000 | 11,984,877 | |||||||
Apidos CLO XXII, |
| |||||||||
Series 2015-22A, Class A1R |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 1.06%) |
| |||||||||
1.28% | 04/20/311,2,3 | 21,475,000 | 21,470,834 | |||||||
Barings CLO Ltd., |
| |||||||||
Series 2013-IA, Class AR |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 0.80%) |
| |||||||||
1.02% | 01/20/281,2,3 | 24,394,455 | 24,355,423 | |||||||
Barings CLO Ltd., |
| |||||||||
Series 2016-2A, Class AR |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 1.08%) |
| |||||||||
1.30% | 07/20/281,2,3 | 47,401,235 | 47,398,865 | |||||||
Barings CLO Ltd., |
| |||||||||
Series 2018-3A, Class A1 |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 0.95%) |
| |||||||||
1.17% | 07/20/291,2,3 | 35,811,000 | 35,793,954 | |||||||
Barings CLO Ltd., |
| |||||||||
Series 2020-4A, Class A |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 1.22%) |
| |||||||||
1.44% | 01/20/321,2,3 | 19,110,000 | 19,139,047 |
Issues | Maturity Date | Principal Amount | Value | |||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||
Bayview Commercial Asset Trust, |
| |||||||||
Series 2004-3, Class A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.56%) |
| |||||||||
0.66% | 01/25/351,2 | $ | 1,152,340 | $ | 1,134,799 | |||||
Bayview Commercial Asset Trust, |
| |||||||||
Series 2005-1A, Class A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.45%) |
| |||||||||
0.56% | 04/25/351,2 | 2,390,560 | 2,304,984 | |||||||
BlueMountain Fuji U.S. CLO I Ltd., |
| |||||||||
Series 2017-1A, Class A1R |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 0.98%) |
| |||||||||
1.17% | 07/20/291,2,3 | 28,145,000 | 28,159,101 | |||||||
Brazos Education Loan Authority, Inc., |
| |||||||||
Series 2012-1, Class A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.70%) |
| |||||||||
0.81% | 12/26/352 | 35,318 | 35,099 | |||||||
Brazos Higher Education Authority, Inc., |
| |||||||||
Series 2010-1, Class A2 |
| |||||||||
(LIBOR USD 3-Month plus 1.20%) |
| |||||||||
1.39% | 02/25/352 | 12,315,000 | 12,608,321 | |||||||
Brazos Higher Education Authority, Inc., |
| |||||||||
Series 2011-1, Class A3 |
| |||||||||
(LIBOR USD 3-Month plus 1.05%) |
| |||||||||
1.24% | 11/25/332 | 16,050,000 | 16,200,957 | |||||||
Brazos Higher Education Authority, Inc., |
| |||||||||
Series 2011-2, Class A3 |
| |||||||||
(LIBOR USD 3-Month plus 1.00%) |
| |||||||||
1.22% | 10/27/362 | 24,361,000 | 24,511,600 | |||||||
Cedar Funding XII CLO Ltd., |
| |||||||||
Series 2020-12A, Class A |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 1.27%) |
| |||||||||
1.51% | 10/25/321,2,3 | 4,970,000 | 4,977,057 | |||||||
CIT Education Loan Trust, |
| |||||||||
Series 2007-1, Class B |
| |||||||||
(LIBOR USD 3-Month plus 0.30%) |
| |||||||||
0.50% | 06/25/421,2 | 12,019,116 | 10,951,119 | |||||||
Clear Creek CLO, |
| |||||||||
Series 2015-1A, Class AR |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 1.20%) |
| |||||||||
1.42% | 10/20/301,2,3 | 27,190,000 | 27,196,798 | |||||||
College Loan Corp. Trust, |
| |||||||||
Series 2005-2, Class B |
| |||||||||
(LIBOR USD 3-Month plus 0.49%) |
| |||||||||
0.73% | 01/15/372 | 2,330,339 | 2,147,460 | |||||||
Conseco Finance Corp., |
| |||||||||
Series 1998-3, Class A6 |
| |||||||||
6.76% | 03/01/304 | 309,460 | 309,981 | |||||||
Dryden 30 Senior Loan Fund, |
| |||||||||
Series 2013-30A, Class AR |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 0.82%) |
| |||||||||
1.01% | 11/15/281,2,3 | 18,924,695 | 18,934,119 |
See accompanying Notes to Financial Statements.
139 / Annual Report March 2021 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||
Dryden 83 CLO Ltd., |
| |||||||||
Series 2020-83A, Class A |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 1.22%) |
| |||||||||
1.46% | 01/18/321,2,3 | $ | 29,220,000 | $ | 29,264,414 | |||||
Dryden XXVI Senior Loan Fund, |
| |||||||||
Series 2013-26A, Class AR |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 0.90%) |
| |||||||||
1.14% | 04/15/291,2,3 | 22,948,000 | 22,906,556 | |||||||
Eaton Vance CLO Ltd., |
| |||||||||
Series 2013-1A, Class A13R |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 1.25%) |
| |||||||||
1.41% | 01/15/341,2,3 | 23,950,000 | 24,025,443 | |||||||
Eaton Vance CLO Ltd., |
| |||||||||
Series 2020-1A, Class A |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 1.65%) |
| |||||||||
1.89% | 10/15/301,2,3 | 34,575,000 | 34,692,901 | |||||||
ECMC Group Student Loan Trust, |
| |||||||||
Series 2016-1A, Class A |
| |||||||||
(LIBOR USD 1-Month plus 1.35%) |
| |||||||||
1.46% | 07/26/661,2 | 35,752,461 | 36,766,058 | |||||||
Education Loan Asset-Backed Trust I, |
| |||||||||
Series 2013-1, Class A2 |
| |||||||||
(LIBOR USD 1-Month plus 0.80%) |
| |||||||||
0.91% | 04/26/321,2 | 12,135,851 | 12,175,716 | |||||||
Educational Funding of the South, Inc., |
| |||||||||
Series 2011-1, Class A2 |
| |||||||||
(LIBOR USD 3-Month plus 0.65%) |
| |||||||||
0.87% | 04/25/352 | 14,933 | 14,899 | |||||||
Educational Funding of the South, Inc., |
| |||||||||
Series 2012-1, Class A |
| |||||||||
(LIBOR USD 1-Month plus 1.05%) |
| |||||||||
1.16% | 03/25/362 | 9,922,773 | 9,983,646 | |||||||
EFS Volunteer No. 2 LLC, |
| |||||||||
Series 2012-1, Class A2 |
| |||||||||
(LIBOR USD 1-Month plus 1.35%) |
| |||||||||
1.46% | 03/25/361,2 | 12,401,393 | 12,668,409 | |||||||
Flatiron CLO Ltd., |
| |||||||||
Series 2015-1A, Class AR |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 0.89%) |
| |||||||||
1.13% | 04/15/271,2,3 | 3,096,820 | 3,098,610 | |||||||
Galaxy XXIX CLO Ltd., |
| |||||||||
Series 2018-29A, Class A |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 0.79%) |
| |||||||||
0.98% | 11/15/261,2,3 | 3,612,701 | 3,614,641 | |||||||
GCO Education Loan Funding Trust, |
| |||||||||
Series 2006-1, Class A11L |
| |||||||||
(LIBOR USD 3-Month plus 0.23%) |
| |||||||||
0.42% | 05/25/362 | 25,000,000 | 24,538,639 |
Issues | Maturity Date | Principal Amount | Value | |||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||
Global SC Finance II SRL, |
| |||||||||
Series 2014-1A, Class A2 |
| |||||||||
(Barbados) |
| |||||||||
3.09% | 07/17/291,3 | $ | 29,681,667 | $ | 29,973,571 | |||||
Goal Capital Funding Trust, |
| |||||||||
Series 2006-1, Class B |
| |||||||||
(LIBOR USD 3-Month plus 0.45%) |
| |||||||||
0.64% | 08/25/422 | 2,105,387 | 1,977,792 | |||||||
Goal Structured Solutions Trust, |
| |||||||||
Series 2015-1, Class A |
| |||||||||
(LIBOR USD 1-Month plus 0.65%) |
| |||||||||
0.76% | 09/25/411,2 | 17,905,518 | 17,843,771 | |||||||
GoldenTree Loan Management U.S. CLO 8 Ltd., |
| |||||||||
Series 2020-8A, Class A |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 1.55%) |
| |||||||||
1.77% | 07/20/311,2,3 | 10,025,000 | 10,066,102 | |||||||
GoldenTree Loan Opportunities IX Ltd., |
| |||||||||
Series 2014-9A, Class AR2 |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 1.11%) |
| |||||||||
1.32% | 10/29/291,2,3 | 5,283,000 | 5,283,792 | |||||||
J.G. Wentworth XXX LLC, |
| |||||||||
Series 2013-3A, Class A |
| |||||||||
4.08% | 01/17/731 | 624,521 | 687,896 | |||||||
J.G. Wentworth XXXII LLC, |
| |||||||||
Series 2014-2A, Class A |
| |||||||||
3.61% | 01/17/731 | 41,020,786 | 44,606,737 | |||||||
LCM XIII LP, |
| |||||||||
Series 13A, Class ARR |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 1.14%) |
| |||||||||
1.36% | 07/19/271,2,3 | 25,575,000 | 25,588,683 | |||||||
LCM XVIII LP, |
| |||||||||
Series 19A, Class AR |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 1.24%) |
| |||||||||
1.48% | 07/15/271,2,3 | 16,800,903 | 16,802,751 | |||||||
LCM XX LP, |
| |||||||||
Series 20A, Class AR |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 1.04%) |
| |||||||||
1.26% | 10/20/271,2,3 | 6,021,166 | 6,020,263 | |||||||
LCM XXI LP, |
| |||||||||
Series 21A, Class AR |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 0.88%) |
| |||||||||
1.10% | 04/20/281,2,3 | 28,348,751 | 28,364,598 | |||||||
Lehman ABS Mortgage Loan Trust, |
| |||||||||
Series 2007-1, Class 2A2 |
| |||||||||
(LIBOR USD 1-Month plus 0.20%) |
| |||||||||
0.31% | 06/25/371,2 | 232,141 | 185,055 | |||||||
Lucali CLO Ltd., |
| |||||||||
Series 2020-1A, Class A |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 1.21%) |
| |||||||||
1.45% | 01/15/331,2,3 | 11,550,000 | 11,566,632 |
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 140 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||
Madison Park Funding XLVIII Ltd., |
| |||||||||
Series 2021-48A, Class A |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 1.15%) |
| |||||||||
1.29% | 04/19/331,2,3 | $ | 30,825,000 | $ | 30,840,258 | |||||
Madison Park Funding XXX Ltd., |
| |||||||||
Series 2018-30A, Class A |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 0.75%) |
| |||||||||
0.99% | 04/15/291,2,3 | 7,077,500 | 7,062,446 | |||||||
Magnetite XVIII Ltd., |
| |||||||||
Series 2016-18A, Class AR |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 1.08%) |
| |||||||||
1.27% | 11/15/281,2,3 | 20,600,000 | 20,616,150 | |||||||
Magnetite XXV Ltd., |
| |||||||||
Series 2020-25A, Class A |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 1.20%) |
| |||||||||
1.45% | 01/25/321,2,3 | 27,025,000 | 27,062,646 | |||||||
Magnetite XXVII Ltd., |
| |||||||||
Series 2020-27A, Class A1 |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 1.55%) |
| |||||||||
1.77% | 07/20/331,2,3 | 1,660,000 | 1,663,529 | |||||||
Navient Student Loan Trust, |
| |||||||||
Series 2014-1, Class A3 |
| |||||||||
(LIBOR USD 1-Month plus 0.51%) |
| |||||||||
0.62% | 06/25/312 | 757,376 | 746,985 | |||||||
Navient Student Loan Trust, |
| |||||||||
Series 2014-2, Class A |
| |||||||||
(LIBOR USD 1-Month plus 0.64%) |
| |||||||||
0.75% | 03/25/832 | 36,887,504 | 36,701,818 | |||||||
Navient Student Loan Trust, |
| |||||||||
Series 2014-3, Class A |
| |||||||||
(LIBOR USD 1-Month plus 0.62%) |
| |||||||||
0.73% | 03/25/832 | 63,205,520 | 62,905,664 | |||||||
Navient Student Loan Trust, |
| |||||||||
Series 2014-4, Class A |
| |||||||||
(LIBOR USD 1-Month plus 0.62%) |
| |||||||||
0.73% | 03/25/832 | 94,795,088 | 94,306,886 | |||||||
Navient Student Loan Trust, |
| |||||||||
Series 2014-6, Class A |
| |||||||||
(LIBOR USD 1-Month plus 0.61%) |
| |||||||||
0.72% | 03/25/832 | 39,412,709 | 39,230,405 | |||||||
Navient Student Loan Trust, |
| |||||||||
Series 2014-7, Class A |
| |||||||||
(LIBOR USD 1-Month plus 0.61%) |
| |||||||||
0.72% | 03/25/832 | 81,279,203 | 80,845,873 | |||||||
Navient Student Loan Trust, |
| |||||||||
Series 2015-1, Class A2 |
| |||||||||
(LIBOR USD 1-Month plus 0.60%) |
| |||||||||
0.71% | 04/25/402 | 60,224,616 | 59,987,086 | |||||||
Navient Student Loan Trust, |
| |||||||||
Series 2015-2, Class A3 | ||||||||||
(LIBOR USD 1-Month plus 0.57%) |
| |||||||||
0.68% | 11/26/402 | 119,750,739 | 119,322,875 | |||||||
Issues | Maturity Date | Principal Amount | Value | |||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||
Navient Student Loan Trust, |
| |||||||||
Series 2016-7A, Class A |
| |||||||||
(LIBOR USD 1-Month plus 1.15%) |
| |||||||||
1.26% | 03/25/661,2 | $ | 58,176,275 | $ | 59,011,779 | |||||
Nelnet Student Loan Trust, |
| |||||||||
Series 2006-1, Class A6 |
| |||||||||
(LIBOR USD 3-Month plus 0.45%) |
| |||||||||
0.63% | 08/23/361,2 | 12,058,190 | 11,921,761 | |||||||
Nelnet Student Loan Trust, |
| |||||||||
Series 2007-2A, Class A3L |
| |||||||||
(LIBOR USD 3-Month plus 0.35%) |
| |||||||||
0.55% | 03/25/261,2 | 20,750,441 | 20,653,568 | |||||||
Nelnet Student Loan Trust, |
| |||||||||
Series 2012-5A, Class A |
| |||||||||
(LIBOR USD 1-Month plus 0.60%) |
| |||||||||
0.71% | 10/27/361,2 | 10,607,698 | 10,533,679 | |||||||
Nelnet Student Loan Trust, |
| |||||||||
Series 2014-4A, Class A2 |
| |||||||||
(LIBOR USD 1-Month plus 0.95%) |
| |||||||||
1.06% | 11/25/481,2 | 11,630,000 | 11,836,262 | |||||||
Nelnet Student Loan Trust, |
| |||||||||
Series 2014-5A, Class A |
| |||||||||
(LIBOR USD 1-Month plus 0.55%) |
| |||||||||
0.66% | 07/25/461,2 | 58,498,608 | 58,383,535 | |||||||
Nelnet Student Loan Trust, |
| |||||||||
Series 2015-1A, Class A |
| |||||||||
(LIBOR USD 1-Month plus 0.59%) |
| |||||||||
0.70% | 04/25/461,2 | 109,144,922 | 108,337,400 | |||||||
Nelnet Student Loan Trust, |
| |||||||||
Series 2015-3A, Class A3 |
| |||||||||
(LIBOR USD 1-Month plus 0.90%) |
| |||||||||
1.01% | 06/25/541,2 | 8,890,000 | 8,958,409 | |||||||
Neuberger Berman Loan Advisers CLO 36 Ltd., |
| |||||||||
Series 2020-36A, Class A1R |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 1.25%) |
| |||||||||
1.47% | 04/20/331,2,3 | 25,455,000 | 25,484,299 | |||||||
North Carolina State Education Authority, |
| |||||||||
Series 2011-1, Class A3 |
| |||||||||
(LIBOR USD 3-Month plus 0.90%) |
| |||||||||
1.12% | 10/25/412 | 16,170,498 | 16,346,733 | |||||||
OCP CLO Ltd., |
| |||||||||
Series 2020-19A, Class A1 |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 1.75%) |
| |||||||||
1.97% | 07/20/311,2,3 | 16,640,000 | 16,680,768 | |||||||
OHA Credit Funding 7 Ltd., |
| |||||||||
Series 2020-7A, Class A |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 1.25%) |
| |||||||||
1.47% | 10/19/321,2,3 | 14,400,000 | 14,417,856 | |||||||
Palmer Square CLO Ltd., |
| |||||||||
Series 2020-3A, Class A1A |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 1.37%) |
| |||||||||
1.60% | 11/15/311,2,3 | 32,300,000 | 32,395,931 |
See accompanying Notes to Financial Statements.
141 / Annual Report March 2021 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||
Palmer Square Loan Funding Ltd., |
| |||||||||
Series 2019-1A, Class A1 |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 1.05%) |
| |||||||||
1.27% | 04/20/271,2,3 | $ | 8,123,810 | $ | 8,129,212 | |||||
Palmer Square Loan Funding Ltd., |
| |||||||||
Series 2019-4A, Class A1 |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 0.90%) |
| |||||||||
1.12% | 10/24/271,2,3 | 50,596,840 | 50,626,034 | |||||||
Palmer Square Loan Funding Ltd., |
| |||||||||
Series 2020-2A, Class A1 |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 1.00%) |
| |||||||||
1.22% | 04/20/281,2,3 | 32,262,230 | 32,280,264 | |||||||
Park Avenue Institutional Advisers CLO Ltd., |
| |||||||||
Series 2021-1A, Class A1A |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 1.39%) |
| |||||||||
1.59% | 01/20/341,2,3 | 50,000,000 | 50,321,000 | |||||||
PHEAA Student Loan Trust, |
| |||||||||
Series 2015-1A, Class A |
| |||||||||
(LIBOR USD 1-Month plus 0.60%) |
| |||||||||
0.71% | 10/25/411,2 | 116,494,533 | 115,912,569 | |||||||
Recette CLO Ltd., |
| |||||||||
Series 2015-1A, Class ARR |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 1.08%) |
| |||||||||
1.19% | 04/20/341,2,3 | 42,760,000 | 42,678,799 | |||||||
Residential Asset Mortgage Products Trust, |
| |||||||||
Series 2005-RZ4, Class M3 |
| |||||||||
(LIBOR USD 1-Month plus 0.78%) |
| |||||||||
0.89% | 11/25/352 | 202,236 | 202,159 | |||||||
Rockford Tower CLO Ltd., |
| |||||||||
Series 2017-2A, Class AR |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 1.02%) |
| |||||||||
1.26% | 10/15/291,2,3 | 26,680,000 | 26,643,849 | |||||||
Rockford Tower CLO Ltd., |
| |||||||||
Series 2017-3A, Class A |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 1.19%) |
| |||||||||
1.41% | 10/20/301,2,3 | 1,880,000 | 1,880,470 | |||||||
Rockford Tower CLO Ltd., |
| |||||||||
Series 2020-1A, Class A |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 1.28%) |
| |||||||||
1.53% | 01/20/321,2,3 | 23,840,000 | 23,888,157 | |||||||
Scholar Funding Trust, |
| |||||||||
Series 2012-B, Class A2 |
| |||||||||
(LIBOR USD 1-Month plus 1.10%) |
| |||||||||
1.21% | 03/28/461,2 | 20,161,809 | 20,519,132 | |||||||
Securitized Asset-Backed Receivables LLC Trust, |
| |||||||||
Series 2006-CB5, Class A3 |
| |||||||||
(LIBOR USD 1-Month plus 0.28%) |
| |||||||||
0.39% | 06/25/362 | 252,444 | 197,972 |
Issues | Maturity Date | Principal Amount | Value | |||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||
Sixth Street CLO XVII Ltd., |
| |||||||||
Series 2021-17A, Class A |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 1.24%) |
| |||||||||
1.43% | 01/20/341,2,3 | $ | 41,060,000 | $ | 41,155,875 | |||||
Skyline Aircraft Finance LLC, |
| |||||||||
Series 2021-1, Class A |
| |||||||||
3.23% | 05/10/375,6 | 32,044,697 | 31,559,020 | |||||||
SLC Student Loan Trust, |
| |||||||||
Series 2004-1, Class B |
| |||||||||
(LIBOR USD 3-Month plus 0.29%) |
| |||||||||
0.49% | 08/15/312 | 280,335 | 258,988 | |||||||
SLC Student Loan Trust, |
| |||||||||
Series 2008-1, Class A4A |
| |||||||||
(LIBOR USD 3-Month plus 1.60%) |
| |||||||||
1.78% | 12/15/322 | 12,401,167 | 12,715,202 | |||||||
SLM Student Loan Trust, |
| |||||||||
Series 2003-12, Class B |
| |||||||||
(LIBOR USD 3-Month plus 0.59%) |
| |||||||||
0.77% | 03/15/382 | 53,263 | 50,729 | |||||||
SLM Student Loan Trust, |
| |||||||||
Series 2003-4, Class A5E |
| |||||||||
(LIBOR USD 3-Month plus 0.75%) |
| |||||||||
0.93% | 03/15/331,2 | 4,712,798 | 4,591,428 | |||||||
SLM Student Loan Trust, |
| |||||||||
Series 2005-9, Class A7A |
| |||||||||
(LIBOR USD 3-Month plus 0.60%) |
| |||||||||
0.82% | 01/25/412 | 58,614,817 | 58,484,843 | |||||||
SLM Student Loan Trust, |
| |||||||||
Series 2006-2, Class A6 |
| |||||||||
(LIBOR USD 3-Month plus 0.17%) |
| |||||||||
0.39% | 01/25/412 | 33,053,618 | 32,184,962 | |||||||
SLM Student Loan Trust, |
| |||||||||
Series 2006-8, Class A6 |
| |||||||||
(LIBOR USD 3-Month plus 0.16%) |
| |||||||||
0.38% | 01/25/412 | 32,989,000 | 32,348,756 | |||||||
SLM Student Loan Trust, |
| |||||||||
Series 2007-1, Class A6 |
| |||||||||
(LIBOR USD 3-Month plus 0.14%) |
| |||||||||
0.36% | 01/27/422 | 32,050,000 | 31,077,254 | |||||||
SLM Student Loan Trust, |
| |||||||||
Series 2007-1, Class B |
| |||||||||
(LIBOR USD 3-Month plus 0.22%) |
| |||||||||
0.44% | 01/27/422 | 4,007,523 | 3,680,859 | |||||||
SLM Student Loan Trust, |
| |||||||||
Series 2007-3, Class A4 |
| |||||||||
(LIBOR USD 3-Month plus 0.06%) |
| |||||||||
0.28% | 01/25/222 | 2,338,981 | 2,262,906 | |||||||
SLM Student Loan Trust, |
| |||||||||
Series 2007-6, Class B |
| |||||||||
(LIBOR USD 3-Month plus 0.85%) |
| |||||||||
1.07% | 04/27/432 | 4,256,180 | 4,029,387 | |||||||
SLM Student Loan Trust, |
| |||||||||
Series 2007-7, Class A4 |
| |||||||||
(LIBOR USD 3-Month plus 0.33%) |
| |||||||||
0.55% | 01/25/222 | 279,040 | 272,114 |
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 142 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2021
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%) |
| |||||||||
0.87% | 01/25/222 | $ | 36,873,744 | $ | 36,201,475 | |||||
SLM Student Loan Trust, |
| |||||||||
Series 2008-2, Class A3 |
| |||||||||
(LIBOR USD 3-Month plus 0.75%) |
| |||||||||
0.97% | 04/25/232 | 83,836,532 | 82,618,356 | |||||||
SLM Student Loan Trust, |
| |||||||||
Series 2008-2, Class B |
| |||||||||
(LIBOR USD 3-Month plus 1.20%) |
| |||||||||
1.42% | 01/25/832 | 38,874,000 | 36,649,003 | |||||||
SLM Student Loan Trust, |
| |||||||||
Series 2008-3, Class A3 |
| |||||||||
(LIBOR USD 3-Month plus 1.00%) |
| |||||||||
1.22% | 10/25/212 | 17,323 | 17,226 | |||||||
SLM Student Loan Trust, |
| |||||||||
Series 2008-3, Class B |
| |||||||||
(LIBOR USD 3-Month plus 1.20%) |
| |||||||||
1.42% | 04/26/832 | 2,260,000 | 2,115,615 | |||||||
SLM Student Loan Trust, |
| |||||||||
Series 2008-4, Class A4 |
| |||||||||
(LIBOR USD 3-Month plus 1.65%) |
| |||||||||
1.87% | 07/25/222 | 2,041,918 | 2,076,271 | |||||||
SLM Student Loan Trust, |
| |||||||||
Series 2008-4, Class B |
| |||||||||
(LIBOR USD 3-Month plus 1.85%) |
| |||||||||
2.07% | 04/25/732 | 8,849,000 | 8,781,823 | |||||||
SLM Student Loan Trust, |
| |||||||||
Series 2008-5, Class A4 |
| |||||||||
(LIBOR USD 3-Month plus 1.70%) |
| |||||||||
1.92% | 07/25/232 | 29,891,431 | 30,111,726 | |||||||
SLM Student Loan Trust, |
| |||||||||
Series 2008-5, Class B |
| |||||||||
(LIBOR USD 3-Month plus 1.85%) |
| |||||||||
2.07% | 07/25/732 | 37,199,000 | 36,609,824 | |||||||
SLM Student Loan Trust, |
| |||||||||
Series 2008-6, Class A4 |
| |||||||||
(LIBOR USD 3-Month plus 1.10%) |
| |||||||||
1.32% | 07/25/232 | 12,716,419 | 12,691,518 | |||||||
SLM Student Loan Trust, |
| |||||||||
Series 2008-6, Class B |
| |||||||||
(LIBOR USD 3-Month plus 1.85%) |
| |||||||||
2.07% | 07/26/832 | 31,424,000 | 30,967,881 | |||||||
SLM Student Loan Trust, |
| |||||||||
Series 2008-7, Class B |
| |||||||||
(LIBOR USD 3-Month plus 1.85%) |
| |||||||||
2.07% | 07/26/832 | 17,206,000 | 17,183,581 | |||||||
SLM Student Loan Trust, |
| |||||||||
Series 2008-8, Class A4 |
| |||||||||
(LIBOR USD 3-Month plus 1.50%) |
| |||||||||
1.72% | 04/25/232 | 2,660,069 | 2,675,767 | |||||||
SLM Student Loan Trust, |
| |||||||||
Series 2008-8, Class B |
| |||||||||
(LIBOR USD 3-Month plus 2.25%) |
| |||||||||
2.47% | 10/25/752 | 625,000 | 628,983 |
Issues | Maturity Date | Principal Amount | Value | |||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||
SLM Student Loan Trust, |
| |||||||||
Series 2008-9, Class A |
| |||||||||
(LIBOR USD 3-Month plus 1.50%) |
| |||||||||
1.72% | 04/25/232 | $ | 61,096,477 | $ | 61,424,215 | |||||
SLM Student Loan Trust, |
| |||||||||
Series 2008-9, Class B |
| |||||||||
(LIBOR USD 3-Month plus 2.25%) |
| |||||||||
2.47% | 10/25/832 | 45,100,000 | 45,451,094 | |||||||
SLM Student Loan Trust, |
| |||||||||
Series 2009-3, Class A | ||||||||||
(LIBOR USD 1-Month plus 0.75%) |
| |||||||||
0.86% | 01/25/451,2 | 158,548,738 | 160,592,447 | |||||||
SLM Student Loan Trust, |
| |||||||||
Series 2011-1, Class A2 |
| |||||||||
(LIBOR USD 1-Month plus 1.15%) |
| |||||||||
1.26% | 10/25/342 | 2,721,510 | 2,775,979 | |||||||
SLM Student Loan Trust, |
| |||||||||
Series 2012-1, Class A3 |
| |||||||||
(LIBOR USD 1-Month plus 0.95%) |
| |||||||||
1.06% | 09/25/282 | 611,365 | 604,670 | |||||||
SLM Student Loan Trust, |
| |||||||||
Series 2012-2, Class A |
| |||||||||
(LIBOR USD 1-Month plus 0.70%) |
| |||||||||
0.81% | 01/25/292 | 12,874,478 | 12,503,056 | |||||||
SLM Student Loan Trust, |
| |||||||||
Series 2012-3, Class A |
| |||||||||
(LIBOR USD 1-Month plus 0.65%) |
| |||||||||
0.76% | 12/27/382 | 15,089,266 | 15,102,195 | |||||||
SLM Student Loan Trust, |
| |||||||||
Series 2012-7, Class A3 |
| |||||||||
(LIBOR USD 1-Month plus 0.65%) |
| |||||||||
0.76% | 05/26/262 | 22,289,849 | 21,885,651 | |||||||
Student Loan Consolidation Center Student Loan Trust I, |
| |||||||||
Series 2002-2, Class B2 |
| |||||||||
(28 Day Auction Rate plus 0.00%) |
| |||||||||
1.61% | 07/01/421,2 | 17,450,000 | 16,096,508 | |||||||
TCI-Flatiron CLO Ltd., |
| |||||||||
Series 2016-1A, Class AR2 |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 1.15%) |
| |||||||||
1.39% | 01/17/321,2,3 | 52,015,000 | 52,069,096 | |||||||
Treman Park CLO Ltd., |
| |||||||||
Series 2015-1A, Class ARR |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 1.07%) |
| |||||||||
1.29% | 10/20/281,2,3 | 19,764,171 | 19,767,136 | |||||||
Voya CLO Ltd., |
| |||||||||
Series 2014-3A, Class A1R |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 0.72%) |
| |||||||||
0.94% | 07/25/261,2,3 | 3,855,821 | 3,855,886 |
See accompanying Notes to Financial Statements.
143 / Annual Report March 2021 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||
Voya CLO Ltd., |
| |||||||||
Series 2020-2A, Class A1 |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 1.60%) |
| |||||||||
1.82% | 07/19/311,2,3 | $ | 44,530,000 | $ | 44,617,234 | |||||
Total Asset-Backed Securities |
| |||||||||
(Cost $3,208,664,549) |
| 3,226,420,296 | ||||||||
BANK LOANS — 1.48%* |
| |||||||||
Automotive — 0.02% |
| |||||||||
Clarios Global LP, |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 3.25%) |
| |||||||||
3.36% | 04/30/262 | 21,089,742 | 20,905,207 | |||||||
Communications — 0.29% |
| |||||||||
CenturyLink, Inc., |
| |||||||||
Term Loan A, 1st Lien |
| |||||||||
(LIBOR plus 2.00%) |
| |||||||||
2.11% | 01/31/252 | 13,403,506 | 13,336,489 | |||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 2.25%) |
| |||||||||
2.36% | 03/15/272 | 49,883,337 | 49,438,128 | |||||||
Charter Communications Operating LLC, |
| |||||||||
Term Loan B2, 1st Lien |
| |||||||||
(LIBOR plus 1.75%) |
| |||||||||
1.87% | 02/01/272 | 7,949,123 | 7,920,824 | |||||||
CSC Holdings LLC, |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 2.25%) |
| |||||||||
2.36% | 07/17/252 | 11,016,308 | 10,890,226 | |||||||
2.36% | 01/15/262 | 24,804,183 | 24,501,944 | |||||||
Term Loan B5, 1st Lien |
| |||||||||
(LIBOR plus 2.50%) |
| |||||||||
2.61% | 04/15/272 | 14,560,730 | 14,413,886 | |||||||
Frontier Communications Corp., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 4.75%) |
| |||||||||
5.75% | 10/08/212 | 13,775,000 | 13,757,781 | |||||||
Intelsat Jackson Holdings, |
| |||||||||
Delayed-Draw Term Loan, 1st Lien (Luxembourg) |
| |||||||||
(LIBOR plus 5.50%) |
| |||||||||
6.50% | 07/13/222,3 | 5,901,831 | 5,987,407 | |||||||
Intelsat Jackson Holdings SA, |
| |||||||||
Term Loan B4, 1st Lien (Luxembourg) |
| |||||||||
(PRIME plus 3.50%) |
| |||||||||
8.75% | 01/02/242,3 | 2,000,000 | 2,046,250 | |||||||
Term Loan B5, 1st Lien (Luxembourg) |
| |||||||||
8.63% | 01/02/242,3 | 25,379,651 | 25,964,525 | |||||||
Level 3 Parent LLC, |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 1.75%) |
| |||||||||
1.86% | 03/01/272 | 22,889,876 | 22,622,866 | |||||||
Sinclair Television Group, Inc., |
| |||||||||
Term Loan B1, 1st Lien |
| |||||||||
(LIBOR plus 2.25%) |
| |||||||||
2.36% | 01/03/242 | 12,850,000 | 12,792,175 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
BANK LOANS (continued) |
| |||||||||||
Communications (continued) |
| |||||||||||
Zayo Group Holdings, Inc., |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 3.00%) |
| |||||||||||
3.11% | 03/09/272 | $ | 51,032,237 | $ | 50,689,045 | |||||||
254,361,546 | ||||||||||||
Consumer Discretionary — 0.01% |
| |||||||||||
Reynolds Group Holdings, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.75%) |
| |||||||||||
2.86% | 02/06/232 | 11,617,246 | 11,581,871 | |||||||||
Electric — 0.07% |
| |||||||||||
CommScope, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.25%) |
| |||||||||||
3.36% | 04/06/262 | 32,486,758 | 32,352,426 | |||||||||
Homer City Generation LP, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 11.00%) |
| |||||||||||
15.00% | 04/05/232,5,6 | 6,076,402 | 4,405,391 | |||||||||
Vistra Operations Co., LLC, |
| |||||||||||
Term Loan B3, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
1.86% | 12/31/252 | 27,182,794 | 27,027,445 | |||||||||
63,785,262 | ||||||||||||
Entertainment — 0.01% |
| |||||||||||
CineWorld Finance U.S., Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.50%) |
| |||||||||||
3.50% | 02/28/252 | 7,823,390 | 6,707,149 | |||||||||
Finance — 0.09% |
| |||||||||||
Auris Lux III SA, |
| |||||||||||
Term Loan B, 1st Lien (Luxembourg) |
| |||||||||||
(LIBOR plus 3.75%) |
| |||||||||||
3.86% | 02/27/262,3 | 1,473,688 | 1,433,162 | |||||||||
Avolon TLB Borrower 1 U.S. LLC, |
| |||||||||||
Term Loan B5, 1st Lien |
| |||||||||||
(LIBOR plus 2.50%) |
| |||||||||||
3.25% | 12/01/272 | 2,992,500 | 2,995,537 | |||||||||
Delos Finance SARL, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
1.95% | 10/06/232 | 40,728,731 | 40,692,279 | |||||||||
Telenet Financing USD LLC, |
| |||||||||||
Term Loan AR, 1st Lien |
| |||||||||||
(LIBOR plus 2.00%) |
| |||||||||||
2.11% | 04/30/282 | 28,600,000 | 28,284,542 | |||||||||
73,405,520 | ||||||||||||
Food — 0.02% |
| |||||||||||
Hostess Brands LLC, |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 2.25%) |
| |||||||||||
3.00% | 08/03/252 | 16,461,103 | 16,401,678 |
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 144 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
BANK LOANS (continued) |
| |||||||||||
Food (continued) |
| |||||||||||
JBS USA LUX SA, |
| |||||||||||
Term Loan B, 1st Lien (Canada) |
| |||||||||||
(LIBOR plus 2.00%) |
| |||||||||||
2.11% | 05/01/262,3 | $ | 1,121,965 | $ | 1,116,944 | |||||||
|
| |||||||||||
17,518,622 | ||||||||||||
|
| |||||||||||
Gaming — 0.10% |
| |||||||||||
Caesars Resort Collection LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 4.50%) |
| |||||||||||
4.61% | 07/21/252 | 4,975,000 | 4,991,393 | |||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 2.75%) |
| |||||||||||
2.86% | 12/23/242 | 55,581,379 | 54,844,092 | |||||||||
Churchill Downs, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.00%) |
| |||||||||||
2.11% | 12/27/242 | 11,602,689 | 11,573,682 | |||||||||
2.12% | 03/17/282 | 13,000,000 | 12,951,250 | |||||||||
|
| |||||||||||
84,360,417 | ||||||||||||
|
| |||||||||||
Health Care — 0.48% |
| |||||||||||
Avantor Funding, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.25%) |
| |||||||||||
3.25% | 11/08/272 | 67,231,500 | 67,340,751 | |||||||||
Avolon TLB Borrower 1 U.S. LLC, |
| |||||||||||
Term Loan B3, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
2.50% | 01/15/252 | 6,520,459 | 6,507,385 | |||||||||
Change Healthcare Holdings LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.50%) |
| |||||||||||
3.50% | 03/01/242 | 26,628,343 | 26,629,808 | |||||||||
Elanco Animal Health, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
1.87% | 08/01/272 | 94,031,575 | 92,939,868 | |||||||||
Gentiva Health Services, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.75%) |
| |||||||||||
2.88% | 07/02/252 | 53,127,718 | 52,906,441 | |||||||||
Grifols Worldwide Operations USA, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.00%) |
| |||||||||||
2.08% | 11/15/272 | 55,020,208 | 54,473,308 | |||||||||
HCA, Inc., |
| |||||||||||
Term Loan B12, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
1.86% | 03/13/252 | 14,775,000 | 14,785,564 | |||||||||
Horizon Therapeutics USA, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.00%) |
| |||||||||||
2.50% | 02/26/282 | 40,995,476 | 40,933,983 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
BANK LOANS (continued) |
| |||||||||||
Health Care (continued) |
| |||||||||||
Valeant Pharmaceuticals International, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.75%) |
| |||||||||||
2.86% | 11/27/252 | $ | 4,292,763 | $ | 4,274,261 | |||||||
(LIBOR plus 3.00%) |
| |||||||||||
3.11% | 06/02/252 | 56,271,433 | 56,159,453 | |||||||||
|
| |||||||||||
416,950,822 | ||||||||||||
|
| |||||||||||
Industrials — 0.12% |
| |||||||||||
Berry Global, Inc., |
| |||||||||||
Term Loan Z, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
1.90% | 07/01/262 | 79,560,418 | 79,038,105 | |||||||||
Clean Harbors, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
1.86% | 06/30/242 | 2,916,667 | 2,923,652 | |||||||||
Mauser Packaging Solutions Holdings, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.25%) |
| |||||||||||
3.44% | 04/03/242 | 4,226,093 | 4,142,099 | |||||||||
TransDigm, Inc., |
| |||||||||||
Term Loan E, 1st Lien |
| |||||||||||
(LIBOR plus 2.25%) |
| |||||||||||
2.36% | 05/30/252 | 15,382,726 | 15,091,300 | |||||||||
Term Loan F, 1st Lien |
| |||||||||||
(LIBOR plus 2.25%) |
| |||||||||||
2.36% | 12/09/252 | 5,403,750 | 5,299,052 | |||||||||
|
| |||||||||||
106,494,208 | ||||||||||||
|
| |||||||||||
Information Technology — 0.05% |
| |||||||||||
IQVIA, Inc., |
| |||||||||||
Term Loan B1, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
1.86% | 03/07/242 | 13,182,323 | 13,142,776 | |||||||||
Term Loan B2, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
1.86% | 01/17/252 | 8,883,933 | 8,849,508 | |||||||||
Term Loan B3, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
1.95% | 06/11/252 | 6,369,381 | 6,345,496 | |||||||||
SS&C Technologies, Inc., |
| |||||||||||
Term Loan B3, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
1.86% | 04/16/252 | 7,921,735 | 7,852,935 | |||||||||
Term Loan B4, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
1.86% | 04/16/252 | 5,914,787 | 5,863,417 | |||||||||
|
| |||||||||||
42,054,132 | ||||||||||||
|
| |||||||||||
Real Estate Investment Trust (REIT) — 0.07% |
| |||||||||||
SBA Senior Finance II LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
1.86% | 04/11/252 | 43,840,300 | 43,401,020 |
See accompanying Notes to Financial Statements.
145 / Annual Report March 2021 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
BANK LOANS (continued) |
| |||||||||
Real Estate Investment Trust (REIT) (continued) |
| |||||||||
VICI Properties 1 LLC, |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 1.75%) |
| |||||||||
1.86% | 12/20/242 | $ | 19,528,636 | $ | 19,335,498 | |||||
|
| |||||||||
62,736,518 | ||||||||||
|
| |||||||||
Retail — 0.09% |
| |||||||||
AmWINS Group, Inc., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 2.25%) |
| |||||||||
3.00% | 02/19/282 | 51,179,626 | 50,871,781 | |||||||
BC ULC, |
| |||||||||
Term Loan B, 1st Lien (Canada) |
| |||||||||
(LIBOR plus 1.75%) |
| |||||||||
1.86% | 11/19/262,3 | 23,730,305 | 23,337,331 | |||||||
KFC Holding Co., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 1.75%) |
| |||||||||
1.86% | 03/15/282 | 1,346,440 | 1,348,964 | |||||||
|
| |||||||||
75,558,076 | ||||||||||
|
| |||||||||
Services — 0.03% |
| |||||||||
GFL Environmental, Inc., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 3.00%) |
| |||||||||
3.50% | 05/30/252 | 16,149,998 | 16,180,280 | |||||||
PowerTeam Services LLC, |
| |||||||||
Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 3.25%) |
| |||||||||
4.25% | 03/06/252 | 2,528,684 | 2,513,284 | |||||||
SS&C Technologies, Inc., |
| |||||||||
Term Loan B5, 1st Lien |
| |||||||||
(LIBOR plus 1.75%) |
| |||||||||
1.86% | 04/16/252 | 5,365,981 | 5,320,155 | |||||||
|
| |||||||||
24,013,719 | ||||||||||
|
| |||||||||
Transportation — 0.03% | ||||||||||
American Airlines, Inc., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 1.75%) |
| |||||||||
1.86% | 01/29/272 | 8,019,000 | 7,340,112 | |||||||
United Airlines, Inc., |
| |||||||||
Term Loan, 1st Lien |
| |||||||||
(LIBOR plus 1.75%) |
| |||||||||
1.87% | 04/01/242 | 18,263,853 | 17,820,315 | |||||||
|
| |||||||||
25,160,427 | ||||||||||
|
| |||||||||
Total Bank Loans (Cost $1,281,154,560) |
| 1,285,593,496 | ||||||||
|
| |||||||||
CORPORATES — 21.28%* |
| |||||||||
Automotive — 0.01% |
| |||||||||
Ford Motor Co. |
| |||||||||
7.45% | 07/16/31 | 200,000 | 252,336 |
Issues | Maturity Date | Principal Amount | Value | |||||||
CORPORATES (continued) |
| |||||||||
Automotive (continued) |
| |||||||||
General Motors Co. |
| |||||||||
(LIBOR USD 3-Month plus 0.90%) |
| |||||||||
1.08% | 09/10/212 | $ | 8,685,000 | $ | 8,709,255 | |||||
|
| |||||||||
8,961,591 | ||||||||||
|
| |||||||||
Banking — 2.98% |
| |||||||||
Bank of America Corp. |
| |||||||||
(MTN) |
| |||||||||
4.08% | 03/20/514 | 174,751,000 | 195,536,094 | |||||||
Bank of America Corp., |
| |||||||||
Series N |
| |||||||||
1.66% | 03/11/274 | 178,260,000 | 178,860,941 | |||||||
Credit Suisse Group AG |
| |||||||||
(Switzerland) |
| |||||||||
1.31% | 02/02/271,3,4 | 51,400,000 | 49,759,388 | |||||||
2.19% | 06/05/261,3,4 | 12,426,000 | 12,614,817 | |||||||
2.59% | 09/11/251,3,4 | 24,760,000 | 25,704,265 | |||||||
3.75% | 03/26/253 | 10,000,000 | 10,786,953 | |||||||
4.28% | 01/09/281,3 | 24,630,000 | 27,127,921 | |||||||
4.55% | 04/17/263 | 2,715,000 | 3,039,506 | |||||||
Discover Bank |
| |||||||||
(BKNT) |
| |||||||||
2.70% | 02/06/30 | 10,000,000 | 10,078,992 | |||||||
3.20% | 08/09/21 | 5,860,000 | 5,904,638 | |||||||
4.20% | 08/08/23 | 15,255,000 | 16,483,315 | |||||||
Fifth Third Bancorp |
| |||||||||
2.55% | 05/05/27 | 75,000 | 78,111 | |||||||
Global Bank Corp. |
| |||||||||
(Panama) |
| |||||||||
5.25% | 04/16/291,3,4 | 2,400,000 | 2,508,000 | |||||||
Grupo Aval Ltd. |
| |||||||||
(Cayman Islands) |
| |||||||||
4.38% | 02/04/301,3 | 1,175,000 | 1,188,559 | |||||||
HSBC Holdings PLC |
| |||||||||
(United Kingdom) |
| |||||||||
1.59% | 05/24/273,4 | 21,085,000 | 20,765,443 | |||||||
1.75% | 07/24/273,4 | 34,075,000 | 47,458,883 | |||||||
2.01% | 09/22/283,4 | 180,117,000 | 177,104,685 | |||||||
2.63% | 11/07/253,4 | 66,815,000 | 69,954,314 | |||||||
3.95% | 05/18/243,4 | 4,734,000 | 5,053,955 | |||||||
4.04% | 03/13/283,4 | 20,000,000 | 21,950,396 | |||||||
4.58% | 06/19/293,4 | 10,000,000 | 11,258,810 | |||||||
JPMorgan Chase & Co. |
| |||||||||
2.01% | 03/13/264 | 103,935,000 | 106,862,697 | |||||||
2.18% | 06/01/284 | 1,290,000 | 1,304,940 | |||||||
3.20% | 06/15/26 | 1,765,000 | 1,909,351 | |||||||
3.21% | 04/01/234 | 7,510,000 | 7,714,943 | |||||||
4.02% | 12/05/244 | 205,535,000 | 223,074,767 | |||||||
4.20% | 07/23/294 | 8,345,000 | 9,449,567 | |||||||
Lloyds Banking Group PLC | ||||||||||
(United Kingdom) | ||||||||||
1.63% | 05/11/273,4 | 31,375,000 | 31,194,383 | |||||||
2.86% | 03/17/233,4 | 10,835,000 | 11,066,006 | |||||||
2.91% | 11/07/233,4 | 136,630,000 | 141,518,676 | |||||||
3.87% | 07/09/253,4 | 7,745,000 | 8,435,089 | |||||||
3.90% | 03/12/243 | 27,591,000 | 29,979,084 |
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 146 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Banking (continued) |
| |||||||||||
4.05% | 08/16/233 | $ | 29,990,000 | $ | 32,368,384 | |||||||
Macquarie Group Ltd. |
| |||||||||||
(Australia) |
| |||||||||||
1.34% | 01/12/271,3,4 | 31,770,000 | 31,194,816 | |||||||||
Santander UK Group Holdings PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
1.09% | 03/15/253,4 | 171,185,000 | 171,376,438 | |||||||||
1.53% | 08/21/263,4 | 37,259,000 | 36,976,787 | |||||||||
3.37% | 01/05/243,4 | 72,705,000 | 76,023,183 | |||||||||
4.80% | 11/15/243,4 | 114,250,000 | 125,798,443 | |||||||||
Santander UK PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
5.00% | 11/07/231,3 | 60,000 | 65,764 | |||||||||
Wells Fargo & Co. |
| |||||||||||
3.07% | 04/30/414 | 117,700,000 | 115,665,242 | |||||||||
Wells Fargo & Co. |
| |||||||||||
(MTN) |
| |||||||||||
2.16% | 02/11/264 | 84,665,000 | 87,389,429 | |||||||||
2.39% | 06/02/284 | 142,391,000 | 146,019,067 | |||||||||
2.88% | 10/30/304 | 167,798,000 | 173,042,632 | |||||||||
4.15% | 01/24/29 | 16,758,000 | 18,903,589 | |||||||||
5.01% | 04/04/514 | 87,489,000 | 112,389,071 | |||||||||
2,592,940,334 | ||||||||||||
Communications — 3.99% |
| |||||||||||
AT&T, Inc. |
| |||||||||||
2.55% | 12/01/331 | 114,000 | 108,292 | |||||||||
3.50% | 09/15/531 | 41,103,000 | 38,055,974 | |||||||||
3.80% | 12/01/571 | 273,699,000 | 260,741,131 | |||||||||
4.30% | 12/15/42 | 30,960,000 | 34,012,806 | |||||||||
4.50% | 05/15/35 | 48,155,000 | 54,513,586 | |||||||||
4.75% | 05/15/46 | 151,527,000 | 174,730,868 | |||||||||
4.85% | 03/01/39 | 4,620,000 | 5,378,533 | |||||||||
5.25% | 03/01/37 | 150,594,000 | 182,178,590 | |||||||||
(LIBOR USD 3-Month plus 1.18%) |
| |||||||||||
1.36% | 06/12/242 | 50,000 | 51,090 | |||||||||
C&W Senior Financing DAC |
| |||||||||||
(Ireland) | ||||||||||||
6.88% | 09/15/271,3 | 3,150,000 | 3,370,500 | |||||||||
Cable One, Inc. |
| |||||||||||
4.00% | 11/15/301 | 16,432,000 | 16,241,882 | |||||||||
CCO Holdings LLC/CCO Holdings Capital Corp. |
| |||||||||||
4.25% | 02/01/311 | 56,199,000 | 56,245,364 | |||||||||
4.50% | 08/15/301 | 68,186,000 | 69,750,869 | |||||||||
4.75% | 03/01/301 | 6,192,000 | 6,424,200 | |||||||||
5.38% | 06/01/291 | 18,207,000 | 19,547,763 | |||||||||
Charter Communications Operating LLC/Charter |
| |||||||||||
Communications Operating Capital |
| |||||||||||
3.75% | 02/15/28 | 100,000 | 108,447 | |||||||||
4.80% | 03/01/50 | 15,318,000 | 16,669,660 | |||||||||
5.38% | 04/01/38 | 2,030,000 | 2,415,823 | |||||||||
5.38% | 05/01/47 | 95,317,000 | 110,838,164 | |||||||||
5.75% | 04/01/48 | 26,342,000 | 32,163,845 | |||||||||
CSC Holdings LLC |
| |||||||||||
3.38% | 02/15/311 | 7,038,000 | 6,642,312 | |||||||||
5.38% | 02/01/281 | 621,000 | 654,379 |
Issues | Maturity Date | Principal Amount | Value | |||||||
CORPORATES (continued) |
| |||||||||
Communications (continued) |
| |||||||||
5.50% | 04/15/271 | $ | 3,945,000 | $ | 4,146,045 | |||||
6.75% | 11/15/21 | 4,216,000 | 4,334,575 | |||||||
Diamond Sports Group LLC/Diamond Sports Finance Co. |
| |||||||||
5.38% | 08/15/261 | 28,766,000 | 20,775,106 | |||||||
Frontier Communications Corp. |
| |||||||||
5.00% | 05/01/281 | 6,605,000 | 6,729,869 | |||||||
Intelsat Jackson Holdings SA |
| |||||||||
(Luxembourg) |
| |||||||||
5.50% | 08/01/233,7,8 | 33,006,000 | 20,298,690 | |||||||
8.50% | 10/15/241,3,7,8 | 118,259,000 | 75,168,377 | |||||||
9.75% | 07/15/251,3,7,8 | 45,708,000 | 28,677,221 | |||||||
Level 3 Financing, Inc. |
| |||||||||
3.63% | 01/15/291 | 27,865,000 | 27,070,140 | |||||||
3.88% | 11/15/291 | 67,121,000 | 70,884,139 | |||||||
4.25% | 07/01/281 | 22,250,000 | 22,523,452 | |||||||
4.63% | 09/15/271 | 33,755,000 | 34,800,224 | |||||||
Lumen Technologies, Inc. |
| |||||||||
4.00% | 02/15/271 | 15,364,000 | 15,713,410 | |||||||
Qwest Corp. |
| |||||||||
7.25% | 09/15/25 | 9,409,000 | 11,043,814 | |||||||
SES GLOBAL Americas Holdings GP |
| |||||||||
5.30% | 03/25/441 | 51,100,000 | 57,619,206 | |||||||
SES SA |
| |||||||||
(Luxembourg) |
| |||||||||
3.60% | 04/04/231,3 | 16,882,000 | 17,776,459 | |||||||
Sinclair Television Group, Inc. |
| |||||||||
4.13% | 12/01/301 | 6,088,000 | 5,878,725 | |||||||
Sirius XM Radio, Inc. |
| |||||||||
3.88% | 08/01/221 | 1,910,000 | 1,921,937 | |||||||
Sprint Corp. |
| |||||||||
7.88% | 09/15/23 | 12,820,000 | 14,669,285 | |||||||
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint |
| |||||||||
Spectrum Co. III LLC |
| |||||||||
3.36% | 09/20/211 | 21,535,500 | 21,750,855 | |||||||
4.74% | 03/20/251 | 109,491,000 | 117,574,173 | |||||||
5.15% | 03/20/281 | 299,325,000 | 341,978,813 | |||||||
TEGNA, Inc. |
| |||||||||
5.50% | 09/15/241 | 148,000 | 150,637 | |||||||
Time Warner Cable LLC |
| |||||||||
4.50% | 09/15/42 | 18,977,000 | 20,310,740 | |||||||
5.50% | 09/01/41 | 30,584,000 | 36,313,458 | |||||||
T-Mobile USA, Inc. |
| |||||||||
2.25% | 02/15/26 | 3,845,000 | 3,855,887 | |||||||
2.55% | 02/15/311 | 38,653,000 | 37,916,274 | |||||||
2.63% | 04/15/26 | 109,831,000 | 111,554,096 | |||||||
3.50% | 04/15/251 | 32,711,000 | 35,413,910 | |||||||
3.75% | 04/15/271 | 7,651,000 | 8,362,061 | |||||||
3.88% | 04/15/301 | 209,012,000 | 227,114,529 | |||||||
4.38% | 04/15/401 | 6,315,000 | 7,022,659 | |||||||
4.50% | 02/01/26 | 3,639,000 | 3,732,249 | |||||||
4.50% | 04/15/501 | 5,000,000 | 5,620,700 | |||||||
4.75% | 02/01/28 | 16,028,000 | 17,148,357 | |||||||
6.00% | 03/01/23 | 48,736,000 | 49,101,520 | |||||||
6.00% | 04/15/24 | 54,708,000 | 55,186,695 | |||||||
Verizon Communications, Inc. |
| |||||||||
2.10% | 03/22/28 | 22,160,000 | 22,241,859 |
See accompanying Notes to Financial Statements.
147 / Annual Report March 2021 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
CORPORATES (continued) |
| |||||||||
Communications (continued) |
| |||||||||
2.55% | 03/21/31 | $ | 114,750,000 | $ | 114,661,975 | |||||
3.55% | 03/22/51 | 7,680,000 | 7,682,677 | |||||||
4.40% | 11/01/34 | 9,800,000 | 11,234,332 | |||||||
ViacomCBS, Inc. |
| |||||||||
3.45% | 10/04/26 | 2,913,000 | 3,101,570 | |||||||
4.20% | 05/19/32 | 48,485,000 | 54,279,666 | |||||||
5.85% | 09/01/43 | 11,842,000 | 15,176,049 | |||||||
Virgin Media Secured Finance PLC |
| |||||||||
(United Kingdom) |
| |||||||||
4.50% | 08/15/301,3 | 70,910,000 | 71,679,152 | |||||||
5.50% | 08/15/261,3 | 19,102,000 | 19,856,147 | |||||||
5.50% | 05/15/291,3 | 71,116,000 | 75,584,930 | |||||||
Vmed O2 UK Financing I PLC |
| |||||||||
(United Kingdom) |
| |||||||||
4.25% | 01/31/311,3 | 11,534,000 | 11,241,035 | |||||||
Vodafone Group PLC |
| |||||||||
(United Kingdom) |
| |||||||||
4.88% | 06/19/493 | 154,972,500 | 184,437,778 | |||||||
5.25% | 05/30/483 | 67,026,500 | 83,876,967 | |||||||
Walt Disney Co. (The) |
| |||||||||
2.65% | 01/13/31 | 48,892,000 | 49,969,284 | |||||||
3.50% | 05/13/40 | 50,500,000 | 53,508,638 | |||||||
4.63% | 03/23/40 | 46,500,000 | 56,735,745 | |||||||
|
| |||||||||
3,466,250,169 | ||||||||||
|
| |||||||||
Consumer Discretionary — 0.96% |
| |||||||||
Altria Group, Inc. |
| |||||||||
3.70% | 02/04/51 | 995,000 | 908,899 | |||||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev |
| |||||||||
Worldwide, Inc. |
| |||||||||
4.70% | 02/01/36 | 13,275,000 | 15,593,584 | |||||||
4.90% | 02/01/46 | 62,554,000 | 74,892,749 | |||||||
Anheuser-Busch InBev Worldwide, Inc. |
| |||||||||
4.35% | 06/01/40 | 46,730,000 | 52,971,573 | |||||||
4.38% | 04/15/38 | 2,780,000 | 3,163,666 | |||||||
4.60% | 04/15/48 | 29,578,000 | 33,950,057 | |||||||
4.60% | 06/01/60 | 63,922,000 | 72,595,388 | |||||||
5.45% | 01/23/39 | 2,000,000 | 2,503,107 | |||||||
Bacardi Ltd. |
| |||||||||
(Bermuda) |
| |||||||||
5.15% | 05/15/381,3 | 12,881,000 | 15,430,013 | |||||||
5.30% | 05/15/481,3 | 39,836,000 | 49,102,995 | |||||||
BAT Capital Corp. |
| |||||||||
2.73% | 03/25/31 | 25,230,000 | 24,545,058 | |||||||
3.56% | 08/15/27 | 30,503,000 | 32,482,013 | |||||||
3.98% | 09/25/50 | 13,755,000 | 12,923,322 | |||||||
4.39% | 08/15/37 | 66,445,000 | 69,742,487 | |||||||
4.54% | 08/15/47 | 118,090,000 | 119,083,958 | |||||||
4.76% | 09/06/49 | 20,502,000 | 21,127,034 | |||||||
5.28% | 04/02/50 | 5,356,000 | 5,903,572 | |||||||
BAT International Finance PLC |
| |||||||||
(EMTN) |
| |||||||||
(United Kingdom) |
| |||||||||
2.25% | 09/09/523 | 11,770,000 | 11,902,937 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Consumer Discretionary (continued) |
| |||||||||||
Imperial Brands Finance PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
3.13% | 07/26/241,3 | $ | 13,985,000 | $ | 14,799,491 | |||||||
3.50% | 02/11/231,3 | 4,800,000 | 4,998,921 | |||||||||
3.50% | 07/26/261,3 | 20,350,000 | 21,757,966 | |||||||||
4.25% | 07/21/251,3 | 9,808,000 | 10,796,798 | |||||||||
Imperial Brands Finance PLC |
| |||||||||||
(EMTN) |
| |||||||||||
(United Kingdom) |
| |||||||||||
8.13% | 03/15/243 | 1,758,000 | 2,908,319 | |||||||||
Reynolds American, Inc. |
| |||||||||||
5.70% | 08/15/35 | 34,320,000 | 40,726,267 | |||||||||
5.85% | 08/15/45 | 96,522,000 | 113,532,814 | |||||||||
Spectrum Brands, Inc. |
| |||||||||||
3.88% | 03/15/311 | 8,675,000 | 8,500,330 | |||||||||
|
| |||||||||||
836,843,318 | ||||||||||||
|
| |||||||||||
Electric — 0.66% |
| |||||||||||
AEP Transmission Co. LLC, |
| |||||||||||
Series M |
| |||||||||||
3.65% | 04/01/50 | 1,460,000 | 1,555,630 | |||||||||
Alliant Energy Finance LLC |
| |||||||||||
3.75% | 06/15/231 | 31,081,000 | 33,133,425 | |||||||||
American Electric Power Co., Inc., |
| |||||||||||
Series F |
| |||||||||||
2.95% | 12/15/22 | 4,511,000 | 4,664,807 | |||||||||
American Electric Power Co., Inc., |
| |||||||||||
Series J |
| |||||||||||
4.30% | 12/01/28 | 8,480,000 | 9,541,884 | |||||||||
Appalachian Power Co. |
| |||||||||||
4.45% | 06/01/45 | 100,000 | 112,505 | |||||||||
Appalachian Power Co., |
| |||||||||||
Series Z |
| |||||||||||
3.70% | 05/01/50 | 9,450,000 | 9,634,280 | |||||||||
Black Hills Corp. |
| |||||||||||
4.35% | 05/01/33 | 1,285,000 | 1,443,914 | |||||||||
Cleco Power LLC |
| |||||||||||
6.00% | 12/01/40 | 1,545,000 | 1,971,903 | |||||||||
Consolidated Edison Co. of New York, Inc. |
| |||||||||||
3.70% | 11/15/59 | 4,740,000 | 4,761,722 | |||||||||
Consolidated Edison Co. of New York, Inc., |
| |||||||||||
Series 20B |
| |||||||||||
3.95% | 04/01/50 | 1,515,000 | 1,645,804 | |||||||||
Consolidated Edison Co. of New York, Inc., |
| |||||||||||
Series C |
| |||||||||||
3.00% | 12/01/60 | 1,854,000 | 1,625,401 | |||||||||
Consolidated Edison Co. of New York, Inc., |
| |||||||||||
Series E |
| |||||||||||
4.65% | 12/01/48 | 14,546,000 | 17,293,007 | |||||||||
Duke Energy Carolinas LLC |
| |||||||||||
4.00% | 09/30/42 | 11,040,000 | 12,365,973 | |||||||||
4.25% | 12/15/41 | 18,683,000 | 21,377,291 | |||||||||
Empresas Publicas de Medellin ESP, |
| |||||||||||
Series REGS |
| |||||||||||
(Colombia) |
| |||||||||||
4.38% | 02/15/313 | 1,000,000 | 1,007,000 |
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 148 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Electric (continued) |
| |||||||||||
Evergy Missouri West, Inc. |
| |||||||||||
8.27% | 11/15/21 | $ | 75,000 | $ | 78,316 | |||||||
Evergy, Inc. | ||||||||||||
4.85% | 06/01/21 | 2,521,000 | 2,521,000 | |||||||||
FirstEnergy Corp. |
| |||||||||||
2.65% | 03/01/30 | 6,225,000 | 5,928,907 | |||||||||
FirstEnergy Corp., |
| |||||||||||
Series C | ||||||||||||
3.40% | 03/01/50 | 31,804,000 | 27,974,969 | |||||||||
FirstEnergy Transmission LLC |
| |||||||||||
2.87% | 09/15/281 | 36,945,000 | 37,305,354 | |||||||||
4.35% | 01/15/251 | 23,330,000 | 25,432,257 | |||||||||
4.55% | 04/01/491 | 13,175,000 | 13,994,847 | |||||||||
5.45% | 07/15/441 | 24,625,000 | 28,848,276 | |||||||||
Florida Power & Light Co. |
| |||||||||||
3.70% | 12/01/47 | 1,340,000 | 1,449,350 | |||||||||
Jersey Central Power & Light Co. |
| |||||||||||
4.30% | 01/15/261 | 6,945,000 | 7,598,917 | |||||||||
4.70% | 04/01/241 | 49,765,000 | 54,164,398 | |||||||||
6.40% | 05/15/36 | 11,630,000 | 14,479,866 | |||||||||
LG&E & KU Energy LLC |
| |||||||||||
4.38% | 10/01/21 | 14,595,000 | 14,713,514 | |||||||||
Metropolitan Edison Co. |
| |||||||||||
3.50% | 03/15/231 | 10,715,000 | 11,146,428 | |||||||||
4.00% | 04/15/251 | 35,719,000 | 37,943,004 | |||||||||
4.30% | 01/15/291 | 16,746,000 | 18,458,846 | |||||||||
Minejesa Capital BV |
| |||||||||||
(Netherlands) |
| |||||||||||
5.63% | 08/10/371,3 | 4,400,000 | 4,620,000 | |||||||||
Mong Duong Finance Holdings BV, |
| |||||||||||
Series REGS | ||||||||||||
(Netherlands) | ||||||||||||
5.13% | 05/07/293 | 13,350,000 | 13,429,266 | |||||||||
Narragansett Electric Co. (The) |
| |||||||||||
3.40% | 04/09/301 | 6,655,000 | 7,091,955 | |||||||||
Pennsylvania Electric Co. |
| |||||||||||
3.25% | 03/15/281 | 125,000 | 128,560 | |||||||||
4.15% | 04/15/251 | 28,335,000 | 30,270,931 | |||||||||
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara, |
| |||||||||||
Series REGS (EMTN) |
| |||||||||||
(Indonesia) | ||||||||||||
6.15% | 05/21/483 | 8,400,000 | 10,242,498 | |||||||||
Public Service Co. of New Mexico |
| |||||||||||
3.85% | 08/01/25 | 14,390,000 | 15,477,140 | |||||||||
5.35% | 10/01/21 | 5,065,000 | 5,126,094 | |||||||||
Southwestern Electric Power Co. |
| |||||||||||
3.55% | 02/15/22 | 15,882,000 | 16,181,238 | |||||||||
Southwestern Electric Power Co., |
| |||||||||||
Series K |
| |||||||||||
2.75% | 10/01/26 | 36,488,000 | 38,427,854 | |||||||||
Tucson Electric Power Co. |
| |||||||||||
4.85% | 12/01/48 | 8,755,000 | 10,640,568 | |||||||||
|
| |||||||||||
575,808,899 | ||||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Energy — 2.27% |
| |||||||||||
Antero Resources Corp. |
| |||||||||||
5.00% | 03/01/25 | $ | 2,404,000 | $ | 2,409,457 | |||||||
7.63% | 02/01/291 | 3,775,000 | 4,020,195 | |||||||||
8.38% | 07/15/261 | 5,607,000 | 6,195,735 | |||||||||
Endeavor Energy Resources LP/EER Finance, Inc. |
| |||||||||||
5.50% | 01/30/261 | 2,377,000 | 2,472,793 | |||||||||
5.75% | 01/30/281 | 2,109,000 | 2,230,942 | |||||||||
Energy Transfer Operating LP |
| |||||||||||
3.75% | 05/15/30 | 34,900,000 | 36,078,200 | |||||||||
4.20% | 04/15/27 | 17,685,000 | 19,297,486 | |||||||||
4.90% | 03/15/35 | 5,160,000 | 5,483,528 | �� | ||||||||
4.95% | 06/15/28 | 11,678,000 | 13,076,138 | |||||||||
5.00% | 05/15/50 | 29,535,000 | 30,666,352 | |||||||||
5.15% | 03/15/45 | 81,000,000 | 83,854,128 | |||||||||
5.30% | 04/15/47 | 6,591,000 | 6,980,854 | |||||||||
5.50% | 06/01/27 | 52,203,000 | 60,278,978 | |||||||||
6.13% | 12/15/45 | 16,239,000 | 18,636,272 | |||||||||
Exxon Mobil Corp. |
| |||||||||||
3.45% | 04/15/51 | 7,866,000 | 7,958,197 | |||||||||
3.57% | 03/06/45 | 1,433,000 | 1,464,427 | |||||||||
4.11% | 03/01/46 | 2,129,000 | 2,353,527 | |||||||||
4.23% | 03/19/40 | 96,653,000 | 108,877,594 | |||||||||
4.33% | 03/19/50 | 86,745,000 | 99,736,290 | |||||||||
Galaxy Pipeline Assets Bidco Ltd. |
| |||||||||||
(United Kingdom) |
| |||||||||||
2.16% | 03/31/341,3 | 10,313,000 | 10,016,486 | |||||||||
Hess Corp. | ||||||||||||
4.30% | 04/01/27 | 15,205,000 | 16,611,767 | |||||||||
5.60% | 02/15/41 | 59,361,000 | 68,620,668 | |||||||||
6.00% | 01/15/40 | 5,095,000 | 6,064,382 | |||||||||
HollyFrontier Corp. | ||||||||||||
5.88% | 04/01/26 | 15,800,000 | 17,887,630 | |||||||||
KazMunayGas National Co. JSC |
| |||||||||||
(Kazakhstan) |
| |||||||||||
3.50% | 04/14/331,3 | 1,800,000 | 1,847,340 | |||||||||
KazMunayGas National Co. JSC, |
| |||||||||||
Series REGS |
| |||||||||||
(Kazakhstan) | ||||||||||||
3.50% | 04/14/333 | 6,100,000 | 6,260,430 | |||||||||
5.75% | 04/19/473 | 15,807,000 | 18,797,842 | |||||||||
Kinder Morgan Energy Partners LP |
| |||||||||||
4.70% | 11/01/42 | 5,000,000 | 5,399,148 | |||||||||
5.00% | 08/15/42 | 5,775,000 | 6,518,136 | |||||||||
5.40% | 09/01/44 | 5,000,000 | 5,867,125 | |||||||||
5.80% | 03/15/35 | 9,835,000 | 12,045,562 | |||||||||
Kinder Morgan, Inc. |
| |||||||||||
5.30% | 12/01/34 | 13,970,000 | 16,514,645 | |||||||||
5.55% | 06/01/45 | 15,316,000 | 18,436,002 | |||||||||
6.95% | 06/01/28 | 5,465,000 | 6,670,169 | |||||||||
Kinder Morgan, Inc. |
| |||||||||||
(GMTN) | ||||||||||||
7.80% | 08/01/31 | 150,000 | 208,429 | |||||||||
NGPL Pipe Co. LLC |
| |||||||||||
4.38% | 08/15/221 | 22,454,000 | 23,313,672 | |||||||||
Occidental Petroleum Corp. |
| |||||||||||
4.40% | 08/15/49 | 7,000,000 | 5,853,890 |
See accompanying Notes to Financial Statements.
149 / Annual Report March 2021 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
CORPORATES (continued) |
| |||||||||
Energy (continued) |
| |||||||||
4.50% | 07/15/44 | $ | 16,521,000 | $ | 14,092,098 | |||||
Pertamina Persero PT |
| |||||||||
(Indonesia) |
| |||||||||
3.10% | 08/27/301,3 | 44,071,000 | 44,475,879 | |||||||
Petrobras Global Finance BV |
| |||||||||
(Netherlands) |
| |||||||||
5.09% | 01/15/303 | 25,818,000 | 26,837,811 | |||||||
Petroleos del Peru SA, |
| |||||||||
Series REGS |
| |||||||||
(Peru) |
| |||||||||
4.75% | 06/19/323 | 21,996,000 | 23,237,234 | |||||||
Petroleos Mexicanos | ||||||||||
(Mexico) | ||||||||||
5.95% | 01/28/313 | 11,085,000 | 10,628,298 | |||||||
6.50% | 01/23/293 | 80,000 | 80,955 | |||||||
6.63% | 06/15/353 | 47,662,000 | 45,414,498 | |||||||
6.75% | 09/21/473 | 148,565,000 | 126,616,007 | |||||||
6.95% | 01/28/603 | 34,555,000 | 29,652,509 | |||||||
7.69% | 01/23/503 | 112,817,000 | 104,581,359 | |||||||
Petronas Capital Ltd. |
| |||||||||
(Malaysia) |
| |||||||||
3.50% | 04/21/301,3 | 25,277,000 | 27,091,889 | |||||||
Plains All American Pipeline LP/PAA Finance Corp. |
| |||||||||
3.55% | 12/15/29 | 31,332,000 | 31,436,381 | |||||||
3.80% | 09/15/30 | 5,000,000 | 5,098,030 | |||||||
4.50% | 12/15/26 | 5,091,000 | 5,597,454 | |||||||
4.65% | 10/15/25 | 50,090,000 | 55,188,411 | |||||||
Rockies Express Pipeline LLC |
| |||||||||
4.80% | 05/15/301 | 5,125,000 | 5,076,953 | |||||||
4.95% | 07/15/291 | 84,805,000 | 86,800,118 | |||||||
6.88% | 04/15/401 | 44,867,000 | 48,680,695 | |||||||
Ruby Pipeline LLC |
| |||||||||
8.00% | 04/01/221,5,6 | 59,594,000 | 49,915,934 | |||||||
Sabine Pass Liquefaction LLC |
| |||||||||
5.00% | 03/15/27 | 9,915,000 | 11,309,779 | |||||||
5.63% | 03/01/25 | 2,940,000 | 3,365,557 | |||||||
5.75% | 05/15/24 | 6,616,000 | 7,481,083 | |||||||
Saudi Arabian Oil Co., |
| |||||||||
Series REGS (EMTN) |
| |||||||||
(Saudi Arabia) |
| |||||||||
4.25% | 04/16/393 | 5,663,000 | 6,120,827 | |||||||
Shell International Finance BV |
| |||||||||
(Netherlands) |
| |||||||||
4.00% | 05/10/463 | 13,253,000 | 14,609,919 | |||||||
4.38% | 05/11/453 | 11,450,000 | 13,347,964 | |||||||
Southern Co. Gas Capital Corp. |
| |||||||||
4.40% | 05/30/47 | 50,000 | 55,472 | |||||||
Southern Gas Corridor CJSC, |
| |||||||||
Series REGS |
| |||||||||
(Azerbaijan) |
| |||||||||
6.88% | 03/24/263 | 27,592,000 | 32,682,724 | |||||||
Sunoco Logistics Partners Operations LP |
| |||||||||
3.90% | 07/15/26 | 18,019,000 | 19,368,430 | |||||||
4.00% | 10/01/27 | 12,583,000 | 13,539,772 | |||||||
5.30% | 04/01/44 | 6,630,000 | 6,998,571 | |||||||
5.35% | 05/15/45 | 4,421,000 | 4,673,141 |
Issues | Maturity Date | Principal Amount | Value | |||||||
CORPORATES (continued) |
| |||||||||
Energy (continued) |
| |||||||||
5.40% | 10/01/47 | $ | 119,561,000 | $ | 128,254,655 | |||||
TC PipeLines LP |
| |||||||||
4.38% | 03/13/25 | 8,000,000 | 8,862,480 | |||||||
TransMontaigne Partners LP/TLP Finance Corp. |
| |||||||||
6.13% | 02/15/26 | 28,675,000 | 28,890,063 | |||||||
Transocean Phoenix 2 Ltd. |
| |||||||||
(Cayman Islands) |
| |||||||||
7.75% | 10/15/241,3 | 18,728,400 | 18,213,369 | |||||||
Transocean Pontus Ltd. |
| |||||||||
(Cayman Islands) |
| |||||||||
6.13% | 08/01/251,3 | 17,737,850 | 16,795,527 | |||||||
Transocean Poseidon Ltd. |
| |||||||||
(Cayman Islands) |
| |||||||||
6.88% | 02/01/271,3 | 31,359,000 | 29,044,235 | |||||||
Transocean Proteus Ltd. |
| |||||||||
(Cayman Islands) |
| |||||||||
6.25% | 12/01/241,3 | 17,928,000 | 17,076,420 | |||||||
USA Compression Partners LP/USA Compression Finance Corp. |
| |||||||||
6.88% | 04/01/26 | 22,772,000 | 23,398,230 | |||||||
6.88% | 09/01/27 | 18,450,000 | 19,034,681 | |||||||
Williams Cos., Inc. (The) |
| |||||||||
5.40% | 03/04/44 | 5,000,000 | 5,818,856 | |||||||
6.30% | 04/15/40 | 34,760,000 | 44,735,766 | |||||||
|
| |||||||||
1,973,184,450 | ||||||||||
|
| |||||||||
Entertainment — 0.02% |
| |||||||||
Live Nation Entertainment, Inc. |
| |||||||||
4.75% | 10/15/271 | 6,140,000 | 6,195,659 | |||||||
5.63% | 03/15/261 | 14,000,000 | 14,548,963 | |||||||
|
| |||||||||
20,744,622 | ||||||||||
|
| |||||||||
Finance — 3.22% |
| |||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust |
| |||||||||
(Ireland) |
| |||||||||
3.30% | 01/23/233 | 16,075,000 | 16,664,111 | |||||||
3.50% | 05/26/223 | 24,610,000 | 25,265,742 | |||||||
3.65% | 07/21/273 | 16,845,000 | 17,690,285 | |||||||
3.88% | 01/23/283 | 5,015,000 | 5,240,557 | |||||||
3.95% | 02/01/223 | 103,630,000 | 106,052,356 | |||||||
4.13% | 07/03/233 | 2,815,000 | 2,987,553 | |||||||
4.45% | 12/16/213 | 20,560,000 | 21,036,111 | |||||||
4.63% | 07/01/223 | 3,030,000 | 3,164,609 | |||||||
4.88% | 01/16/243 | 36,460,000 | 39,712,958 | |||||||
Air Lease Corp. |
| |||||||||
2.25% | 01/15/23 | 18,850,000 | 19,356,829 | |||||||
3.00% | 09/15/23 | 28,655,000 | 29,952,431 | |||||||
3.25% | 03/01/25 | 19,930,000 | 20,977,480 | |||||||
3.25% | 10/01/29 | 5,000,000 | 5,031,477 | |||||||
3.50% | 01/15/22 | 48,195,000 | 49,289,325 | |||||||
3.75% | 02/01/22 | 26,209,000 | 26,761,751 | |||||||
4.25% | 09/15/24 | 5,554,000 | 6,042,197 | |||||||
4.63% | 10/01/28 | 2,000,000 | 2,202,692 | |||||||
Air Lease Corp. |
| |||||||||
(MTN) |
| |||||||||
2.30% | 02/01/25 | 41,695,000 | 42,625,676 |
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 150 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Finance (continued) |
| |||||||||||
3.00% | 02/01/30 | $ | 2,000,000 | $ | 1,961,619 | |||||||
4.25% | 02/01/24 | 5,000,000 | 5,426,252 | |||||||||
Alta Wind Holdings LLC |
| |||||||||||
7.00% | 06/30/351,5,6 | 3,938,020 | 4,502,620 | |||||||||
Avolon Holdings Funding Ltd. |
| |||||||||||
(Cayman Islands) |
| |||||||||||
2.88% | 02/15/251,3 | 43,160,000 | 43,281,161 | |||||||||
3.63% | 05/01/221,3 | 15,545,000 | 15,855,121 | |||||||||
3.95% | 07/01/241,3 | 35,499,000 | 37,133,130 | |||||||||
5.13% | 10/01/231,3 | 68,891,000 | 73,497,670 | |||||||||
5.25% | 05/15/241,3 | 22,545,000 | 24,385,897 | |||||||||
5.50% | 01/15/231,3 | 14,689,000 | 15,594,046 | |||||||||
Citigroup, Inc. |
| |||||||||||
1.12% | 01/28/274 | 2,423,000 | 2,371,211 | |||||||||
2.57% | 06/03/314 | 20,955,000 | 20,955,615 | |||||||||
2.67% | 01/29/314 | 20,000,000 | 20,150,515 | |||||||||
3.20% | 10/21/26 | 15,592,000 | 16,767,109 | |||||||||
3.67% | 07/24/284 | 5,220,000 | 5,714,648 | |||||||||
Daimler Finance North America LLC |
| |||||||||||
3.75% | 11/05/211 | 5,103,000 | 5,204,402 | |||||||||
(LIBOR USD 3-Month plus 0.90%) |
| |||||||||||
1.09% | 02/15/221,2 | 54,915,000 | 55,290,036 | |||||||||
Discover Financial Services |
| |||||||||||
3.85% | 11/21/22 | 8,794,000 | 9,245,375 | |||||||||
Ford Motor Credit Co. LLC |
| |||||||||||
3.22% | 01/09/22 | 107,389,000 | 108,833,382 | |||||||||
3.34% | 03/28/22 | 48,646,000 | 49,315,372 | |||||||||
3.47% | 04/05/21 | 23,000,000 | 23,000,000 | |||||||||
4.25% | 09/20/22 | 19,823,000 | 20,537,421 | |||||||||
5.60% | 01/07/22 | 24,123,000 | 24,842,589 | |||||||||
5.88% | 08/02/21 | 21,050,000 | 21,359,435 | |||||||||
(LIBOR USD 3-Month plus 0.81%) |
| |||||||||||
1.05% | 04/05/212 | 13,740,000 | 13,740,000 | |||||||||
(LIBOR USD 3-Month plus 0.88%) |
| |||||||||||
1.10% | 10/12/212 | 58,605,000 | 58,328,086 | |||||||||
(LIBOR USD 3-Month plus 1.08%) |
| |||||||||||
1.28% | 08/03/222 | 11,865,000 | 11,746,350 | |||||||||
(LIBOR USD 3-Month plus 1.27%) |
| |||||||||||
1.46% | 03/28/222 | 77,615,000 | 77,121,522 | |||||||||
(LIBOR USD 3-Month plus 3.14%) |
| |||||||||||
3.38% | 01/07/222 | 12,075,000 | 12,220,252 | |||||||||
GE Capital Funding LLC |
| |||||||||||
4.40% | 05/15/301 | 59,925,000 | 67,894,706 | |||||||||
GE Capital International Funding Co. |
| |||||||||||
(Ireland) | ||||||||||||
4.42% | 11/15/353 | 391,382,000 | 448,455,535 | |||||||||
General Motors Financial Co., Inc. |
| |||||||||||
3.15% | 06/30/22 | 11,161,000 | 11,473,275 | |||||||||
3.20% | 07/06/21 | 31,220,000 | 31,356,623 | |||||||||
3.45% | 04/10/22 | 24,235,000 | 24,824,782 | |||||||||
3.55% | 04/09/21 | 65,795,000 | 65,818,263 | |||||||||
4.20% | 11/06/21 | 132,055,000 | 134,939,132 | |||||||||
4.38% | 09/25/21 | 91,205,000 | 92,902,449 | |||||||||
(LIBOR USD 3-Month plus 0.85%) |
| |||||||||||
1.07% | 04/09/212 | 10,000,000 | 9,928,020 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Finance (continued) |
| |||||||||||
Goldman Sachs Group, Inc. (The) |
| |||||||||||
1.43% | 03/09/274 | $ | 114,075,000 | $ | 113,041,750 | |||||||
2.91% | 06/05/234 | 4,605,000 | 4,727,081 | |||||||||
3.27% | 09/29/254 | 120,490,000 | 129,126,681 | |||||||||
3.69% | 06/05/284 | 6,397,000 | 6,987,581 | |||||||||
3.85% | 01/26/27 | 140,000 | 153,642 | |||||||||
Goldman Sachs Group, Inc. (The), |
| |||||||||||
Series FXD |
| |||||||||||
0.48% | 01/27/23 | 14,350,000 | 14,335,363 | |||||||||
Intercontinental Exchange, Inc. |
| |||||||||||
1.85% | 09/15/32 | 1,080,000 | 990,025 | |||||||||
JPMorgan Chase & Co. |
| |||||||||||
2.08% | 04/22/264 | 32,845,000 | 33,771,924 | |||||||||
Nationwide Building Society |
| |||||||||||
(United Kingdom) |
| |||||||||||
3.62% | 04/26/231,3,4 | 11,735,000 | 12,108,146 | |||||||||
3.77% | 03/08/241,3,4 | 51,430,000 | 54,356,960 | |||||||||
4.36% | 08/01/241,3,4 | 104,478,000 | 112,863,168 | |||||||||
Park Aerospace Holdings Ltd. |
| |||||||||||
(Cayman Islands) |
| |||||||||||
4.50% | 03/15/231,3 | 10,746,000 | 11,227,924 | |||||||||
5.50% | 02/15/241,3 | 96,095,000 | 104,526,307 | |||||||||
Pipeline Funding Co. LLC |
| |||||||||||
7.50% | 01/15/301 | 22,556,032 | 28,258,975 | |||||||||
Raymond James Financial, Inc. |
| |||||||||||
4.95% | 07/15/46 | 51,716,000 | 63,350,173 | |||||||||
|
| |||||||||||
2,795,853,461 | ||||||||||||
|
| |||||||||||
Food — 0.42% |
| |||||||||||
JBS USA LLC/JBS USA Finance, Inc. |
| |||||||||||
(Canada) |
| |||||||||||
6.75% | 02/15/281,3 | 2,000,000 | 2,195,000 | |||||||||
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc. |
| |||||||||||
(Canada) | ||||||||||||
5.50% | 01/15/301,3 | 3,000,000 | 3,326,250 | |||||||||
6.50% | 04/15/291,3 | 3,000,000 | 3,394,648 | |||||||||
Kraft Heinz Foods Co. |
| |||||||||||
3.00% | 06/01/26 | 4,173,000 | 4,401,671 | |||||||||
3.75% | 04/01/30 | 79,250,000 | 84,509,032 | |||||||||
4.25% | 03/01/31 | 17,850,000 | 19,675,283 | |||||||||
4.38% | 06/01/46 | 3,582,000 | 3,760,001 | |||||||||
4.63% | 01/30/29 | 2,000,000 | 2,247,998 | |||||||||
5.00% | 07/15/35 | 34,302,000 | 39,651,397 | |||||||||
5.00% | 06/04/42 | 45,154,000 | 50,885,064 | |||||||||
5.20% | 07/15/45 | 23,261,000 | 26,960,584 | |||||||||
6.50% | 02/09/40 | 6,240,000 | 8,168,254 | |||||||||
6.75% | 03/15/32 | 3,475,000 | 4,537,732 | |||||||||
6.88% | 01/26/39 | 2,639,000 | 3,654,487 | |||||||||
Pilgrim’s Pride Corp. |
| |||||||||||
4.25% | 04/15/311 | 13,780,000 | 13,741,221 | |||||||||
5.88% | 09/30/271 | 4,269,000 | 4,580,049 | |||||||||
Post Holdings, Inc. |
| |||||||||||
4.50% | 09/15/311 | 12,870,000 | 12,772,832 | |||||||||
4.63% | 04/15/301 | 46,710,000 | 46,885,162 | |||||||||
5.50% | 12/15/291 | 12,748,000 | 13,666,812 |
See accompanying Notes to Financial Statements.
151 / Annual Report March 2021 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Food (continued) |
| |||||||||||
5.63% | 01/15/281 | $ | 10,230,000 | $ | 10,789,888 | |||||||
5.75% | 03/01/271 | 2,991,000 | 3,145,186 | |||||||||
|
| |||||||||||
362,948,551 | ||||||||||||
|
| |||||||||||
Gaming — 0.04% |
| |||||||||||
Caesars Entertainment, Inc. |
| |||||||||||
6.25% | 07/01/251 | 19,342,000 | 20,643,137 | |||||||||
Caesars Resort Collection LLC/CRC Finco, Inc. |
| |||||||||||
5.75% | 07/01/251 | 7,000,000 | 7,395,850 | |||||||||
Churchill Downs, Inc. |
| |||||||||||
4.75% | 01/15/281 | 5,550,000 | 5,752,853 | |||||||||
MGM Resorts International |
| |||||||||||
6.00% | 03/15/23 | 30,000 | 32,179 | |||||||||
|
| |||||||||||
33,824,019 | ||||||||||||
|
| |||||||||||
Health Care — 2.70% |
| |||||||||||
AbbVie, Inc. |
| |||||||||||
3.20% | 11/21/29 | 8,097,000 | 8,619,708 | |||||||||
3.80% | 03/15/25 | 26,713,000 | 29,199,127 | |||||||||
4.05% | 11/21/39 | 2,025,000 | 2,260,595 | |||||||||
4.25% | 11/21/49 | 47,988,000 | 54,389,779 | |||||||||
4.40% | 11/06/42 | 93,376,000 | 108,451,249 | |||||||||
4.45% | 05/14/46 | 15,404,000 | 17,844,138 | |||||||||
4.50% | 05/14/35 | 18,713,000 | 21,995,474 | |||||||||
Aetna, Inc. |
| |||||||||||
4.13% | 11/15/42 | 6,375,000 | 6,980,603 | |||||||||
Amgen, Inc. | ||||||||||||
4.40% | 05/01/45 | 1,260,000 | 1,463,270 | |||||||||
Bausch Health Americas, Inc. |
| |||||||||||
9.25% | 04/01/261 | 2,722,000 | 3,019,515 | |||||||||
Bausch Health Cos., Inc. |
| |||||||||||
(Canada) |
| |||||||||||
7.00% | 03/15/241,3 | 37,526,000 | 38,426,624 | |||||||||
Bayer U.S. Finance II LLC |
| |||||||||||
3.95% | 04/15/451 | 10,790,000 | 11,085,741 | |||||||||
4.25% | 12/15/251 | 19,992,000 | 22,266,896 | |||||||||
4.38% | 12/15/281 | 118,100,000 | 133,473,415 | |||||||||
4.40% | 07/15/441 | 59,691,000 | 65,812,539 | |||||||||
4.63% | 06/25/381 | 36,299,000 | 41,847,137 | |||||||||
4.88% | 06/25/481 | 93,846,000 | 112,565,022 | |||||||||
5.50% | 08/15/251 | 13,932,000 | 15,778,507 | |||||||||
5.50% | 07/30/351 | 3,820,000 | 4,574,384 | |||||||||
Bayer U.S. Finance LLC |
| |||||||||||
3.38% | 10/08/241 | 2,055,000 | 2,216,413 | |||||||||
Becton Dickinson and Co. |
| |||||||||||
2.82% | 05/20/30 | 14,175,000 | 14,581,157 | |||||||||
3.30% | 03/01/23 | 10,000,000 | 10,428,173 | |||||||||
3.36% | 06/06/24 | 2,235,000 | 2,397,571 | |||||||||
Catalent Pharma Solutions, Inc. |
| |||||||||||
5.00% | 07/15/271 | 13,935,000 | 14,620,463 | |||||||||
Centene Corp. | ||||||||||||
3.00% | 10/15/30 | 132,991,000 | 132,936,474 | |||||||||
4.25% | 12/15/27 | 75,412,000 | 79,418,360 | |||||||||
5.38% | 06/01/261 | 1,000,000 | 1,049,450 | |||||||||
Cigna Corp. | ||||||||||||
3.20% | 03/15/40 | 4,157,000 | 4,171,539 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Health Care (continued) |
| |||||||||||
3.88% | 10/15/47 | $ | 32,722,000 | $ | 35,060,910 | |||||||
4.50% | 02/25/26 | 6,097,000 | 6,945,705 | |||||||||
4.80% | 08/15/38 | 35,478,000 | 42,479,886 | |||||||||
4.80% | 07/15/46 | 38,613,000 | 46,385,192 | |||||||||
CommonSpirit Health |
| |||||||||||
2.76% | 10/01/24 | 11,198,000 | 11,888,347 | |||||||||
2.78% | 10/01/30 | 17,835,000 | 18,191,794 | |||||||||
3.35% | 10/01/29 | 37,085,000 | 39,664,945 | |||||||||
4.35% | 11/01/42 | 2,860,000 | 3,174,232 | |||||||||
CVS Health Corp. |
| |||||||||||
4.78% | 03/25/38 | 23,581,000 | 27,879,372 | |||||||||
4.88% | 07/20/35 | 22,450,000 | 26,692,603 | |||||||||
5.05% | 03/25/48 | 123,050,000 | 151,183,130 | |||||||||
5.13% | 07/20/45 | 110,220,000 | 135,135,897 | |||||||||
Elanco Animal Health, Inc. |
| |||||||||||
4.91% | 08/27/21 | 20,850,000 | 21,071,531 | |||||||||
5.27% | 08/28/23 | 37,890,000 | 40,850,156 | |||||||||
5.90% | 08/28/28 | 12,539,000 | 14,255,276 | |||||||||
Encompass Health Corp. |
| |||||||||||
4.50% | 02/01/28 | 2,950,000 | 3,027,438 | |||||||||
Fresenius Medical Care U.S. Finance II, Inc. |
| |||||||||||
5.88% | 01/31/221 | 8,964,000 | 9,329,391 | |||||||||
Hackensack Meridian Health, Inc., |
| |||||||||||
Series 2020 |
| |||||||||||
2.68% | 09/01/41 | 25,000,000 | 23,356,229 | |||||||||
HCA, Inc. | ||||||||||||
4.13% | 06/15/29 | 10,936,000 | 12,122,177 | |||||||||
4.50% | 02/15/27 | 2,431,000 | 2,728,642 | |||||||||
4.75% | 05/01/23 | 8,906,000 | 9,602,133 | |||||||||
5.00% | 03/15/24 | 70,701,000 | 78,790,961 | |||||||||
5.13% | 06/15/39 | 65,000 | 78,209 | |||||||||
5.25% | 04/15/25 | 7,749,000 | 8,855,156 | |||||||||
5.25% | 06/15/26 | 37,878,000 | 43,624,141 | |||||||||
5.25% | 06/15/49 | 189,251,000 | 232,131,289 | |||||||||
5.50% | 06/15/47 | 34,281,000 | 43,061,735 | |||||||||
Hologic, Inc. | ||||||||||||
3.25% | 02/15/291 | 10,792,000 | 10,677,335 | |||||||||
Humana, Inc. |
| |||||||||||
3.13% | 08/15/29 | 19,729,000 | 20,600,880 | |||||||||
Molina Healthcare, Inc. |
| |||||||||||
3.88% | 11/15/301 | 46,518,000 | 47,907,669 | |||||||||
4.38% | 06/15/281 | 28,929,000 | 29,812,645 | |||||||||
5.38% | 11/15/22 | 16,345,000 | 17,169,033 | |||||||||
NYU Langone Hospitals, |
| |||||||||||
Series 2020 |
| |||||||||||
3.38% | 07/01/55 | 4,300,000 | 4,217,838 | |||||||||
Royalty Pharma PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
0.75% | 09/02/231,3 | 11,885,000 | 11,873,987 | |||||||||
1.75% | 09/02/271,3 | 16,295,000 | 15,909,167 | |||||||||
Teleflex, Inc. | ||||||||||||
4.25% | 06/01/281 | 75,000 | 77,812 | |||||||||
Tenet Healthcare Corp. |
| |||||||||||
4.63% | 09/01/241 | 37,212,000 | 38,361,723 | |||||||||
4.63% | 06/15/281 | 10,872,000 | 11,157,172 | |||||||||
4.88% | 01/01/261 | 4,522,000 | 4,707,402 |
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 152 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Health Care (continued) |
| |||||||||||
5.13% | 11/01/271 | $ | 24,999,000 | $ | 26,203,952 | |||||||
UnitedHealth Group, Inc. |
| |||||||||||
3.88% | 08/15/59 | 10,320,000 | 11,570,803 | |||||||||
4.25% | 04/15/47 | 13,825,000 | 16,308,879 | |||||||||
4.25% | 06/15/48 | 21,000,000 | 25,045,645 | |||||||||
4.75% | 07/15/45 | 3,910,000 | 4,910,545 | |||||||||
|
| |||||||||||
2,345,952,287 | ||||||||||||
|
| |||||||||||
Industrials — 0.78% |
| |||||||||||
Amcor Finance USA, Inc. |
| |||||||||||
3.63% | 04/28/26 | 11,781,000 | 12,893,609 | |||||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. |
| |||||||||||
(Ireland) |
| |||||||||||
4.13% | 08/15/261,3 | 7,959,000 | 8,190,209 | |||||||||
Ball Corp. |
| |||||||||||
4.00% | 11/15/23 | 9,532,000 | 10,163,495 | |||||||||
Berry Global, Inc. |
| |||||||||||
1.57% | 01/15/261 | 63,580,000 | 62,648,019 | |||||||||
4.88% | 07/15/261 | 48,410,000 | 51,275,872 | |||||||||
Boeing Co. (The) |
| |||||||||||
1.17% | 02/04/23 | 12,010,000 | 12,064,260 | |||||||||
1.43% | 02/04/24 | 174,540,000 | 174,863,486 | |||||||||
General Electric Co. |
| |||||||||||
4.13% | 10/09/42 | 6,416,000 | 6,894,609 | |||||||||
4.25% | 05/01/40 | 17,785,000 | 19,546,593 | |||||||||
General Electric Co. |
| |||||||||||
(GMTN) | ||||||||||||
6.88% | 01/10/39 | 4,273,000 | 6,019,747 | |||||||||
General Electric Co. |
| |||||||||||
(MTN) |
| |||||||||||
5.88% | 01/14/38 | 102,907,000 | 132,086,378 | |||||||||
(LIBOR USD 3-Month plus 0.38%) |
| |||||||||||
0.58% | 05/05/262 | 9,790,000 | 9,538,555 | |||||||||
(LIBOR USD 3-Month plus 0.48%) |
| |||||||||||
0.67% | 08/15/362 | 11,550,000 | 9,358,614 | |||||||||
General Electric Co., |
| |||||||||||
Series A (MTN) |
| |||||||||||
6.75% | 03/15/32 | 33,228,000 | 44,559,539 | |||||||||
General Electric Co., |
| |||||||||||
Series NOTZ (MTN) |
| |||||||||||
(LIBOR USD 3-Month plus 1.00%) |
| |||||||||||
1.24% | 04/15/232 | 10,789,000 | 10,881,666 | |||||||||
Graphic Packaging International LLC |
| |||||||||||
3.50% | 03/15/281 | 2,540,000 | 2,534,384 | |||||||||
4.13% | 08/15/24 | 1,325,000 | 1,410,986 | |||||||||
4.75% | 07/15/271 | 6,346,000 | 6,925,073 | |||||||||
4.88% | 11/15/22 | 5,665,000 | 5,939,837 | |||||||||
Heathrow Funding Ltd. |
| |||||||||||
(United Kingdom) |
| |||||||||||
5.23% | 02/15/231,3 | 2,697,000 | 4,009,279 | |||||||||
L3Harris Technologies, Inc. |
| |||||||||||
3.95% | 05/28/24 | 12,890,000 | 13,994,505 | |||||||||
Mauser Packaging Solutions Holding Co. |
| |||||||||||
5.50% | 04/15/241 | 2,344,000 | 2,379,160 |
Issues | Maturity Date | Principal Amount | Value | |||||||
CORPORATES (continued) |
| |||||||||
Industrials (continued) |
| |||||||||
OI European Group BV |
| |||||||||
(Netherlands) |
| |||||||||
4.00% | 03/15/231,3 | $ | 3,364,000 | $ | 3,458,612 | |||||
PowerTeam Services LLC |
| |||||||||
9.03% | 12/04/251 | 9,305,000 | 10,270,885 | |||||||
Sealed Air Corp. |
| |||||||||
4.00% | 12/01/271 | 6,930,000 | 7,120,575 | |||||||
4.88% | 12/01/221 | 6,050,000 | 6,311,264 | |||||||
5.13% | 12/01/241 | 3,255,000 | 3,533,709 | |||||||
5.25% | 04/01/231 | 3,800,000 | 4,037,101 | |||||||
5.50% | 09/15/251 | 9,161,000 | 10,045,553 | |||||||
Trivium Packaging Finance BV |
| |||||||||
(Netherlands) |
| |||||||||
5.50% | 08/15/261,3 | 28,140,000 | 29,591,522 | |||||||
|
| |||||||||
682,547,096 | ||||||||||
|
| |||||||||
Information Technology — 0.41% |
| |||||||||
Broadcom, Inc. |
| |||||||||
3.63% | 10/15/24 | 23,465,000 | 25,538,944 | |||||||
Fiserv, Inc. |
| |||||||||
3.20% | 07/01/26 | 15,905,000 | 17,144,893 | |||||||
Intel Corp. |
| |||||||||
3.73% | 12/08/47 | 590,000 | 637,168 | |||||||
4.60% | 03/25/40 | 17,760,000 | 21,489,346 | |||||||
IQVIA, Inc. |
| |||||||||
5.00% | 05/15/271 | 4,072,000 | 4,307,199 | |||||||
Oracle Corp. |
| |||||||||
1.65% | 03/25/26 | 14,440,000 | 14,546,687 | |||||||
2.30% | 03/25/28 | 70,000,000 | 70,864,126 | |||||||
2.88% | 03/25/31 | 77,575,000 | 79,009,559 | |||||||
3.60% | 04/01/40 | 25,000,000 | 25,158,616 | |||||||
3.60% | 04/01/50 | 29,020,000 | 28,158,066 | |||||||
3.65% | 03/25/41 | 69,940,000 | 70,844,657 | |||||||
SS&C Technologies, Inc. |
| |||||||||
5.50% | 09/30/271 | 3,053,000 | 3,255,414 | |||||||
|
| |||||||||
360,954,675 | ||||||||||
|
| |||||||||
Insurance — 0.54% |
| |||||||||
Farmers Exchange Capital |
| |||||||||
7.05% | 07/15/281 | 13,283,000 | 15,935,480 | |||||||
7.20% | 07/15/481 | 18,415,000 | 24,724,823 | |||||||
Farmers Exchange Capital II |
| |||||||||
6.15% | 11/01/531,4 | 48,520,000 | 61,549,988 | |||||||
Farmers Exchange Capital III |
| |||||||||
5.45% | 10/15/541,4 | 64,140,000 | 78,088,802 | |||||||
Farmers Insurance Exchange |
| |||||||||
4.75% | 11/01/571,4 | 18,570,000 | 19,442,036 | |||||||
Massachusetts Mutual Life Insurance Co. |
| |||||||||
3.38% | 04/15/501 | 2,805,000 | 2,774,822 | |||||||
Nationwide Mutual Insurance Co. |
| |||||||||
2.47% | 12/15/241,4 | 35,439,000 | 35,419,558 | |||||||
New York Life Insurance Co. |
| |||||||||
3.75% | 05/15/501 | 47,125,000 | 50,002,513 | |||||||
Teachers Insurance & Annuity Association of America |
| |||||||||
3.30% | 05/15/501 | 145,045,000 | 141,389,476 | |||||||
4.27% | 05/15/471 | 13,496,000 | 15,218,032 |
See accompanying Notes to Financial Statements.
153 / Annual Report March 2021 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
CORPORATES (continued) |
| |||||||||
Insurance (continued) |
| |||||||||
4.38% | 09/15/541,4 | $ | 19,950,000 | $ | 21,215,272 | |||||
|
| |||||||||
465,760,802 | ||||||||||
|
| |||||||||
Materials — 0.26% |
| |||||||||
Corp. Nacional del Cobre de Chile, |
| |||||||||
Series REGS |
| |||||||||
(Chile) |
| |||||||||
3.15% | 01/14/303 | 30,738,000 | 32,032,070 | |||||||
Indonesia Asahan Aluminium Persero PT |
| |||||||||
(Indonesia) |
| |||||||||
6.53% | 11/15/281,3 | 9,000,000 | 10,858,275 | |||||||
Indonesia Asahan Aluminium Persero PT, |
| |||||||||
Series REGS |
| |||||||||
(Indonesia) |
| |||||||||
6.53% | 11/15/283 | 2,067,000 | 2,493,784 | |||||||
6.76% | 11/15/483 | 13,119,000 | 16,337,090 | |||||||
International Flavors & Fragrances, Inc. |
| |||||||||
5.00% | 09/26/48 | 116,549,000 | 144,009,096 | |||||||
Nutrition & Biosciences, Inc. |
| |||||||||
2.30% | 11/01/301 | 5,950,000 | 5,772,279 | |||||||
3.27% | 11/15/401 | 15,000,000 | 14,812,702 | |||||||
|
| |||||||||
226,315,296 | ||||||||||
|
| |||||||||
Real Estate Investment Trust (REIT) — 1.02% |
| |||||||||
American Campus Communities Operating Partnership LP |
| |||||||||
3.30% | 07/15/26 | 21,300,000 | 22,914,151 | |||||||
3.63% | 11/15/27 | 7,095,000 | 7,749,396 | |||||||
3.75% | 04/15/23 | 45,679,000 | 48,317,515 | |||||||
3.88% | 01/30/31 | 9,260,000 | 9,994,028 | |||||||
4.13% | 07/01/24 | 4,095,000 | 4,481,679 | |||||||
Boston Properties LP |
| |||||||||
3.25% | 01/30/31 | 42,590,000 | 44,135,318 | |||||||
CyrusOne LP/CyrusOne Finance Corp. |
| |||||||||
2.15% | 11/01/30 | 7,265,000 | 6,731,749 | |||||||
2.90% | 11/15/24 | 86,883,000 | 91,956,533 | |||||||
3.45% | 11/15/29 | 7,045,000 | 7,264,018 | |||||||
Federal Realty Investment Trust |
| |||||||||
7.48% | 08/15/26 | 18,825,000 | 23,677,616 | |||||||
GLP Capital LP/GLP Financing II, Inc. |
| |||||||||
3.35% | 09/01/24 | 33,037,000 | 35,067,123 | |||||||
4.00% | 01/15/30 | 30,000 | 31,227 | |||||||
5.25% | 06/01/25 | 72,507,000 | 81,435,512 | |||||||
5.30% | 01/15/29 | 34,755,000 | 39,094,162 | |||||||
5.38% | 11/01/23 | 36,796,000 | 40,280,024 | |||||||
5.38% | 04/15/26 | 98,421,000 | 110,696,559 | |||||||
5.75% | 06/01/28 | 34,128,000 | 39,468,179 | |||||||
Healthcare Realty Trust, Inc. |
| |||||||||
2.05% | 03/15/31 | 5,590,000 | 5,253,879 | |||||||
3.88% | 05/01/25 | 20,446,000 | 22,193,713 | |||||||
Healthcare Trust of America Holdings LP |
| |||||||||
2.00% | 03/15/31 | 17,940,000 | 16,726,157 | |||||||
3.10% | 02/15/30 | 5,095,000 | 5,275,256 | |||||||
3.75% | 07/01/27 | 18,945,000 | 20,995,725 | |||||||
Highwoods Realty LP |
| |||||||||
3.20% | 06/15/21 | 25,000 | 25,123 |
Issues | Maturity Date | Principal Amount | Value | |||||||
CORPORATES (continued) |
| |||||||||
Real Estate Investment Trust (REIT) (continued) |
| |||||||||
Hudson Pacific Properties LP |
| |||||||||
3.95% | 11/01/27 | $ | 12,607,000 | $ | 13,530,868 | |||||
4.65% | 04/01/29 | 9,585,000 | 10,742,124 | |||||||
Kilroy Realty LP |
| |||||||||
3.45% | 12/15/24 | 28,590,000 | 30,611,006 | |||||||
Life Storage LP |
| |||||||||
3.88% | 12/15/27 | 6,960,000 | 7,714,955 | |||||||
MGM Growth Properties Operating Partnership LP/MGP |
| |||||||||
Finance Co.-Issuer, Inc. |
| |||||||||
4.50% | 01/15/28 | 1,322,000 | 1,371,178 | |||||||
5.63% | 05/01/24 | 10,000 | 10,753 | |||||||
Mid-America Apartments LP |
| |||||||||
4.30% | 10/15/23 | 9,636,000 | 10,420,814 | |||||||
SBA Communications Corp. |
| |||||||||
4.88% | 09/01/24 | 2,524,000 | 2,591,820 | |||||||
SL Green Operating Partnership LP |
| |||||||||
3.25% | 10/15/22 | 49,011,000 | 50,815,181 | |||||||
(LIBOR USD 3-Month plus 0.98%) |
| |||||||||
1.17% | 08/16/212 | 21,735,000 | 21,735,713 | |||||||
SL Green Realty Corp. |
| |||||||||
4.50% | 12/01/22 | 15,845,000 | 16,595,423 | |||||||
Ventas Realty LP |
| |||||||||
3.50% | 02/01/25 | 12,540,000 | 13,554,179 | |||||||
3.75% | 05/01/24 | 9,705,000 | 10,480,330 | |||||||
4.00% | 03/01/28 | 2,000,000 | 2,211,677 | |||||||
WEA Finance LLC |
| |||||||||
3.15% | 04/05/221 | 6,330,000 | 6,456,990 | |||||||
Welltower, Inc. |
| |||||||||
3.75% | 03/15/23 | 175,000 | 184,867 | |||||||
|
| |||||||||
882,792,520 | ||||||||||
|
| |||||||||
Retail — 0.30% |
| |||||||||
1011778 BC ULC/New Red Finance, Inc. |
| |||||||||
(Canada) |
| |||||||||
3.50% | 02/15/291,3 | 40,257,000 | 39,191,541 | |||||||
7-Eleven, Inc. |
| |||||||||
0.63% | 02/10/231 | 58,715,000 | 58,772,015 | |||||||
(LIBOR USD 3-Month plus 0.45%) |
| |||||||||
0.65% | 08/10/221,2 | 26,990,000 | 27,019,093 | |||||||
Alimentation Couche-Tard, Inc. |
| |||||||||
(Canada) |
| |||||||||
3.55% | 07/26/271,3 | 10,510,000 | 11,432,382 | |||||||
3.80% | 01/25/501,3 | 54,072,000 | 54,839,186 | |||||||
Walgreens Boots Alliance, Inc. |
| |||||||||
3.45% | 06/01/26 | 42,647,000 | 45,924,986 | |||||||
4.80% | 11/18/44 | 13,354,000 | 14,784,952 | |||||||
Yum! Brands, Inc. |
| |||||||||
4.63% | 01/31/32 | 11,110,000 | 11,356,531 | |||||||
|
| |||||||||
263,320,686 | ||||||||||
|
| |||||||||
Services — 0.33% |
| |||||||||
DP World Crescent Ltd. |
| |||||||||
(Cayman Islands) |
| |||||||||
4.85% | 09/26/281,3 | 7,600,000 | 8,512,000 | |||||||
Gartner, Inc. |
| |||||||||
3.75% | 10/01/301 | 6,750,000 | 6,687,428 |
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 154 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
CORPORATES (continued) |
| |||||||||
Services (continued) |
| |||||||||
GFL Environmental, Inc. |
| |||||||||
(Canada) |
| |||||||||
3.75% | 08/01/251,3 | $ | 10,268,000 | $ | 10,441,272 | |||||
5.13% | 12/15/261,3 | 3,974,000 | 4,191,041 | |||||||
IHS Markit Ltd. |
| |||||||||
(Bermuda) |
| |||||||||
4.00% | 03/01/261,3 | 41,762,000 | 46,097,522 | |||||||
4.13% | 08/01/233 | 28,228,000 | 30,293,584 | |||||||
4.75% | 02/15/251,3 | 35,821,000 | 40,153,550 | |||||||
4.75% | 08/01/283 | 2,767,000 | 3,201,184 | |||||||
5.00% | 11/01/221,3 | 83,285,000 | 87,859,148 | |||||||
Service Corp. International/U.S. |
| |||||||||
4.63% | 12/15/27 | 1,922,000 | 2,028,911 | |||||||
Waste Pro USA, Inc. |
| |||||||||
5.50% | 02/15/261 | 44,027,000 | 45,200,540 | |||||||
|
| |||||||||
284,666,180 | ||||||||||
|
| |||||||||
Transportation — 0.37% |
| |||||||||
America West Airlines Pass-Through Trust, |
| |||||||||
Series 2001-1, Class G |
| |||||||||
7.10% | 04/02/21 | 1,379,639 | 1,393,369 | |||||||
American Airlines Pass-Through Trust, |
| |||||||||
Series 2013-1, Class A |
| |||||||||
4.00% | 07/15/25 | 12,527,621 | 11,579,890 | |||||||
American Airlines Pass-Through Trust, |
| |||||||||
Series 2017-2, Class AA |
| |||||||||
3.35% | 10/15/29 | 17,246,330 | 17,634,372 | |||||||
Continental Airlines Pass-Through Trust, |
| |||||||||
Series 2000-2, Class A1 |
| |||||||||
7.71% | 04/02/21 | 461,483 | 461,483 | |||||||
Continental Airlines Pass-Through Trust, |
| |||||||||
Series 2007-1, Class A |
| |||||||||
5.98% | 04/19/22 | 47,257,917 | 48,251,132 | |||||||
Continental Airlines Pass-Through Trust, |
| |||||||||
Series 2007-1, Class B |
| |||||||||
6.90% | 04/19/22 | 171,674 | 171,204 | |||||||
Delta Air Lines Pass-Through Trust, |
| |||||||||
Series 2002-1, Class G1 |
| |||||||||
6.72% | 01/02/23 | 15,128,850 | 15,620,538 | |||||||
Delta Air Lines Pass-Through Trust, |
| |||||||||
Series 2020-1, Class AA |
| |||||||||
2.00% | 06/10/28 | 87,450,908 | 87,702,347 | |||||||
Empresa de Transporte de Pasajeros Metro SA |
| |||||||||
(Chile) |
| |||||||||
3.65% | 05/07/301,3 | 9,660,000 | 10,498,198 | |||||||
JetBlue Airways Pass-Through Trust, |
| |||||||||
Series 2020-1, Class A |
| |||||||||
4.00% | 11/15/32 | 10,650,000 | 11,571,017 | |||||||
Northwest Airlines Pass-Through Trust, |
| |||||||||
Series 2001-1, Class A1 |
| |||||||||
7.04% | 04/01/22 | 2,741,402 | 2,828,574 | |||||||
SMBC Aviation Capital Finance DAC |
| |||||||||
(Ireland) |
| |||||||||
3.00% | 07/15/221,3 | 20,315,000 | 20,817,580 |
Issues | Maturity Date | Principal Amount | Value | |||||||
CORPORATES (continued) |
| |||||||||
Transportation (continued) |
| |||||||||
U.S. Airways Pass-Through Trust, |
| |||||||||
Series 2010-1, Class A |
| |||||||||
6.25% | 04/22/23 | $ | 13,172,520 | $ | 13,313,354 | |||||
U.S. Airways Pass-Through Trust, |
| |||||||||
Series 2011-1, Class A |
| |||||||||
7.13% | 10/22/23 | 2,525,940 | 2,602,337 | |||||||
U.S. Airways Pass-Through Trust, |
| |||||||||
Series 2012-1, Class A |
| |||||||||
5.90% | 10/01/24 | 32,353,053 | 33,485,410 | |||||||
U.S. Airways Pass-Through Trust, |
| |||||||||
Series 2012-2, Class A |
| |||||||||
4.63% | 06/03/25 | 7,894 | 7,455 | |||||||
United Airlines Pass-Through Trust, |
| |||||||||
Series 2013-1, Class A |
| |||||||||
4.30% | 08/15/25 | 12,771,304 | 13,292,905 | |||||||
United Airlines Pass-Through Trust, |
| |||||||||
Series 2018-1, Class AA |
| |||||||||
3.50% | 03/01/30 | 30,854,890 | 32,011,949 | |||||||
|
| |||||||||
323,243,114 | ||||||||||
|
| |||||||||
Total Corporates (Cost $17,835,218,549) |
| 18,502,912,070 | ||||||||
|
| |||||||||
FOREIGN GOVERNMENT OBLIGATIONS — 0.87% |
| |||||||||
Foreign Government Obligations — 0.87% |
| |||||||||
Abu Dhabi Government International Bond, |
| |||||||||
Series REGS |
| |||||||||
(United Arab Emirates) |
| |||||||||
2.50% | 09/30/293 | 38,500,000 | 39,578,231 | |||||||
Brazilian Government International Bond |
| |||||||||
(Brazil) |
| |||||||||
3.88% | 06/12/303 | 22,393,000 | 21,762,861 | |||||||
Chile Government International Bond |
| |||||||||
(Chile) |
| |||||||||
2.45% | 01/31/313 | 2,200,000 | 2,214,058 | |||||||
2.55% | 01/27/323 | 9,095,000 | 9,197,137 | |||||||
Colombia Government International Bond |
| |||||||||
(Colombia) |
| |||||||||
3.00% | 01/30/303 | 35,959,000 | 35,284,589 | |||||||
3.13% | 04/15/313 | 14,363,000 | 14,104,825 | |||||||
5.20% | 05/15/493 | 2,102,000 | 2,321,459 | |||||||
Croatia Government International Bond, |
| |||||||||
Series REGS |
| |||||||||
(Croatia) |
| |||||||||
6.00% | 01/26/243 | 18,065,000 | 20,673,947 | |||||||
Dominican Republic International Bond |
| |||||||||
(Dominican Republic) |
| |||||||||
4.50% | 01/30/301,3 | 25,047,000 | 25,257,708 | |||||||
Dominican Republic International Bond, |
| |||||||||
Series REGS |
| |||||||||
(Dominican Republic) |
| |||||||||
4.88% | 09/23/323 | 19,530,000 | 19,862,010 | |||||||
Egypt Government International Bond |
| |||||||||
(Egypt) |
| |||||||||
5.58% | 02/21/231,3 | 4,700,000 | 4,918,080 | |||||||
7.60% | 03/01/291,3 | 3,550,000 | 3,788,613 |
See accompanying Notes to Financial Statements.
155 / Annual Report March 2021 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
FOREIGN GOVERNMENT OBLIGATIONS (continued) |
| |||||||||
Foreign Government Obligations (continued) |
| |||||||||
Indonesia Government International Bond |
| |||||||||
(Indonesia) |
| |||||||||
2.85% | 02/14/303 | $ | 12,786,000 | $ | 13,044,277 | |||||
Mexico Government International Bond |
| |||||||||
(Mexico) |
| |||||||||
2.66% | 05/24/313 | 98,754,000 | 94,082,936 | |||||||
3.77% | 05/24/613 | 21,481,000 | 19,165,348 | |||||||
4.50% | 04/22/293 | 11,767,000 | 13,068,607 | |||||||
Mexico Government International Bond |
| |||||||||
(MTN) |
| |||||||||
(Mexico) |
| |||||||||
4.75% | 03/08/443 | 8,694,000 | 9,137,394 | |||||||
Panama Government International Bond |
| |||||||||
(Panama) |
| |||||||||
2.25% | 09/29/323 | 11,400,000 | 10,807,200 | |||||||
3.16% | 01/23/303 | 57,474,000 | 60,025,846 | |||||||
3.88% | 03/17/283 | 13,200,000 | 14,460,600 | |||||||
Paraguay Government International Bond |
| |||||||||
(Paraguay) |
| |||||||||
4.95% | 04/28/311,3 | 3,477,000 | 3,946,430 | |||||||
Perusahaan Penerbit SBSN Indonesia III |
| |||||||||
(Indonesia) |
| |||||||||
2.80% | 06/23/301,3 | 17,340,000 | 17,398,956 | |||||||
Perusahaan Penerbit SBSN Indonesia III, |
| |||||||||
Series REGS |
| |||||||||
(Indonesia) |
| |||||||||
4.15% | 03/29/273 | 5,100,000 | 5,634,684 | |||||||
Peruvian Government International Bond |
| |||||||||
(Peru) |
| |||||||||
1.86% | 12/01/323 | 5,140,000 | 4,702,072 | |||||||
2.78% | 01/23/313 | 5,450,000 | 5,470,165 | |||||||
2.84% | 06/20/303 | 28,449,000 | 28,947,284 | |||||||
4.13% | 08/25/273 | 31,282,000 | 35,047,102 | |||||||
Philippine Government International Bond |
| |||||||||
(Philippines) |
| |||||||||
1.65% | 06/10/313 | 8,405,000 | 7,960,242 | |||||||
2.46% | 05/05/303 | 4,565,000 | 4,624,915 | |||||||
Qatar Government International Bond, |
| |||||||||
Series REGS |
| |||||||||
(Qatar) |
| |||||||||
4.50% | 04/23/283 | 30,438,000 | 35,574,412 | |||||||
4.63% | 06/02/463 | 11,215,000 | 13,304,355 | |||||||
Republic of South Africa Government International Bond |
| |||||||||
(South Africa) |
| |||||||||
4.30% | 10/12/283 | 19,507,000 | 19,251,458 | |||||||
4.85% | 09/30/293 | 29,185,000 | 29,411,257 | |||||||
5.75% | 09/30/493 | 8,800,000 | 8,128,560 | |||||||
Romanian Government International Bond, |
| |||||||||
Series REGS |
| |||||||||
(Romania) |
| |||||||||
3.00% | 02/14/313 | 26,000,000 | 26,087,945 | |||||||
Saudi Government International Bond |
| |||||||||
(Saudi Arabia) |
| |||||||||
2.75% | 02/03/321,3 | 3,080,000 | 3,087,731 | |||||||
3.75% | 01/21/551,3 | 4,255,000 | 4,188,516 |
Issues | Maturity Date | Principal Amount | Value | |||||||
FOREIGN GOVERNMENT OBLIGATIONS (continued) |
| |||||||||
Foreign Government Obligations (continued) |
| |||||||||
Saudi Government International Bond, |
| |||||||||
Series REGS (EMTN) |
| |||||||||
(Saudi Arabia) |
| |||||||||
3.25% | 10/22/303 | $ | 19,590,000 | $ | 20,630,719 | |||||
3.63% | 03/04/283 | 24,942,000 | 27,154,230 | |||||||
4.50% | 10/26/463 | 8,741,000 | 9,649,190 | |||||||
Uruguay Government International Bond |
| |||||||||
(Uruguay) |
| |||||||||
4.38% | 01/23/313 | 10,570,000 | 12,289,263 | |||||||
|
| |||||||||
Total Foreign Government Obligations (Cost $758,293,063) |
| 755,245,212 | ||||||||
|
| |||||||||
MORTGAGE-BACKED — 43.20%** |
| |||||||||
Non-Agency Commercial Mortgage-Backed — 1.33% |
| |||||||||
Banc of America Merrill Lynch Commercial Mortgage Trust, |
| |||||||||
Series 2018-PARK, Class A |
| |||||||||
4.09% | 08/10/381,4 | 122,930,000 | 138,163,601 | |||||||
Barclays Commercial Mortgage Securities Mortgage Trust, |
| |||||||||
Series 2018-TALL, Class C |
| |||||||||
(LIBOR USD 1-Month plus 1.12%) |
| |||||||||
1.23% | 03/15/371,2 | 18,000,000 | 17,627,854 | |||||||
Bayview Commercial Asset Trust, |
| |||||||||
Series 2004-1, Class A |
| |||||||||
(LIBOR USD 1-Month plus 0.54%) |
| |||||||||
0.65% | 04/25/341,2 | 19,186 | 19,193 | |||||||
Bayview Commercial Asset Trust, |
| |||||||||
Series 2004-2, Class A |
| |||||||||
(LIBOR USD 1-Month plus 0.65%) |
| |||||||||
0.75% | 08/25/341,2 | 184,206 | 182,345 | |||||||
BB-UBS Trust, |
| |||||||||
Series 2012-SHOW, Class A |
| |||||||||
3.43% | 11/05/361 | 8,640,000 | 9,057,137 | |||||||
Benchmark Mortgage Trust, |
| |||||||||
Series 2018-B2, Class A5 |
| |||||||||
3.88% | 02/15/514 | 7,085,000 | 7,895,862 | |||||||
BX Commercial Mortgage Trust, |
| |||||||||
Series 2018-BIOA, Class E |
| |||||||||
(LIBOR USD 1-Month plus 1.95%) |
| |||||||||
2.06% | 03/15/371,2 | 18,054,000 | 18,083,471 | |||||||
BX Commercial Mortgage Trust, |
| |||||||||
Series 2019-XL, Class A |
| |||||||||
(LIBOR USD 1-Month plus 0.92%) |
| |||||||||
1.03% | 10/15/361,2 | 200,435,168 | 200,793,943 | |||||||
BX Trust, |
| |||||||||
Series 2019-OC11, Class A |
| |||||||||
3.20% | 12/09/411 | 42,270,000 | 44,284,833 | |||||||
CALI Mortgage Trust, |
| |||||||||
Series 2019-101C, Class A |
| |||||||||
3.96% | 03/10/391 | 80,255,000 | 89,859,802 | |||||||
CALI Mortgage Trust, |
| |||||||||
Series 2019-101C, Class XA (IO) |
| |||||||||
0.30% | 03/10/391,4 | 272,551,000 | 6,441,947 | |||||||
Century Plaza Towers, |
| |||||||||
Series 2019-CPT, Class A |
| |||||||||
2.87% | 11/13/391 | 32,645,000 | 33,887,815 |
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 156 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
Non-Agency Commercial Mortgage-Backed (continued) |
| |||||||||
Citigroup Commercial Mortgage Trust, |
| |||||||||
Series 2015-GC31, Class A4 |
| |||||||||
3.76% | 06/10/48 | $ | 10,000,000 | $ | 10,971,687 | |||||
Commercial Mortgage Trust, |
| |||||||||
Series 2013-CR12, Class A4 |
| |||||||||
4.05% | 10/10/46 | 440,000 | 473,316 | |||||||
Credit Suisse Mortgage Capital Certificates, |
| |||||||||
Series 2019-ICE4, Class A |
| |||||||||
(LIBOR USD 1-Month plus 0.98%) |
| |||||||||
1.09% | 05/15/361,2 | 14,000,000 | 14,017,396 | |||||||
DC Office Trust, |
| |||||||||
Series 2019-MTC, Class A |
| |||||||||
2.97% | 09/15/451 | 31,135,000 | 32,541,595 | |||||||
Eleven Madison Mortgage Trust, |
| |||||||||
Series 2015-11MD, Class A |
| |||||||||
3.55% | 09/10/351,4 | 1,362,500 | 1,471,425 | |||||||
GS Mortgage Securities Corp. Trust, |
| |||||||||
Series 2019-BOCA, Class A |
| |||||||||
(LIBOR USD 1-Month plus 1.20%) |
| |||||||||
1.31% | 06/15/381,2 | 10,000,000 | 10,018,403 | |||||||
Hudson Yards Mortgage Trust, |
| |||||||||
Series 2019-30HY, Class A |
| |||||||||
3.23% | 07/10/391 | 84,915,000 | 90,671,541 | |||||||
Hudson Yards Mortgage Trust, |
| |||||||||
Series 2019-55HY, Class A |
| |||||||||
2.94% | 12/10/411,4 | 81,025,000 | 84,803,066 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust, |
| |||||||||
Series 2015-JP1, Class A5 |
| |||||||||
3.91% | 01/15/49 | 8,610,000 | 9,559,342 | |||||||
KKR Industrial Portfolio Trust, |
| |||||||||
Series 2020-AIP, Class F |
| |||||||||
(LIBOR USD 1-Month plus 3.43%) |
| |||||||||
3.54% | 03/15/371,2 | 25,927,492 | 26,004,998 | |||||||
KNDL Mortgage Trust, |
| |||||||||
Series 2019-KNSQ, Class E |
| |||||||||
(LIBOR USD 1-Month plus 1.80%) |
| |||||||||
1.91% | 05/15/361,2 | 26,449,000 | 26,457,866 | |||||||
Lehman Brothers Small Balance Commercial Mortgage |
| |||||||||
Trust, |
| |||||||||
Series 2007-1A, Class 2A3 |
| |||||||||
5.62% | 03/25/371,4 | 1,178,788 | 1,216,043 | |||||||
MKT Mortgage Trust, |
| |||||||||
Series 2020-525M, Class A |
| |||||||||
2.69% | 02/12/401 | 70,000 | 71,541 | |||||||
One Bryant Park Trust, |
| |||||||||
Series 2019-OBP, Class A |
| |||||||||
2.52% | 09/15/541 | 147,667,000 | 149,763,665 | |||||||
Queens Center Mortgage Trust, |
| |||||||||
Series 2013-QCA, Class A |
| |||||||||
3.28% | 01/11/371 | 15,810,000 | 16,455,570 | |||||||
RBS Commercial Funding, Inc., Trust, |
| |||||||||
Series 2013-GSP, Class A |
| |||||||||
3.83% | 01/15/321,4 | 48,830,000 | 51,009,278 | |||||||
SFAVE Commercial Mortgage Securities Trust, |
| |||||||||
Series 2015-5AVE, Class A1 |
| |||||||||
3.87% | 01/05/431,4 | 56,465,000 | 56,216,063 |
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
Non-Agency Commercial Mortgage-Backed (continued) |
| |||||||||
SFAVE Commercial Mortgage Securities Trust, |
| |||||||||
Series 2015-5AVE, Class A2B |
| |||||||||
4.14% | 01/05/431,4 | $ | 8,710,000 | $ | 8,416,166 | |||||
|
| |||||||||
1,156,436,764 | ||||||||||
|
| |||||||||
Non-Agency Mortgage-Backed — 6.09% |
| |||||||||
Aames Mortgage Trust, |
| |||||||||
Series 2002-1, Class A3 (STEP-reset date 05/25/21) |
| |||||||||
7.40% | 06/25/32 | 33,112 | 33,601 | |||||||
Accredited Mortgage Loan Trust, |
| |||||||||
Series 2007-1, Class A4 |
| |||||||||
(LIBOR USD 1-Month plus 0.22%) |
| |||||||||
0.33% | 02/25/372 | 27,600,062 | 27,314,291 | |||||||
ACE Securities Corp. Home Equity Loan Trust, |
| |||||||||
Series 2004-IN1, Class A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.64%) |
| |||||||||
0.75% | 05/25/342 | 163,341 | 160,105 | |||||||
ACE Securities Corp. Home Equity Loan Trust, |
| |||||||||
Series 2006-HE3, Class A2C |
| |||||||||
(LIBOR USD 1-Month plus 0.30%) |
| |||||||||
0.41% | 06/25/362 | 2,919,926 | 2,437,468 | |||||||
ACE Securities Corp. Home Equity Loan Trust, |
| |||||||||
Series 2007-ASP2, Class A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.38%) |
| |||||||||
0.49% | 06/25/372 | 36,996,781 | 31,323,132 | |||||||
Adjustable Rate Mortgage Trust, |
| |||||||||
Series 2005-10, Class 6A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.54%) |
| |||||||||
0.65% | 01/25/362 | 261,787 | 257,626 | |||||||
Adjustable Rate Mortgage Trust, |
| |||||||||
Series 2006-3, Class 4A32 |
| |||||||||
(LIBOR USD 1-Month plus 0.40%) |
| |||||||||
0.51% | 08/25/362 | 2,424,505 | 2,451,180 | |||||||
Aegis Asset-Backed Securities Trust, |
| |||||||||
Series 2005-5, Class 1A4 |
| |||||||||
(LIBOR USD 1-Month plus 0.70%) |
| |||||||||
0.81% | 12/25/352 | 96,512 | 96,576 | |||||||
Ajax Mortgage Loan Trust, |
| |||||||||
Series 2019-F, Class A1 (STEP-reset date 04/25/21) |
| |||||||||
2.86% | 07/25/591 | 208,393 | 214,205 | |||||||
Alternative Loan Trust, |
| |||||||||
Series 2004-J6, Class 2A1 |
| |||||||||
6.50% | 11/25/31 | 6,776 | 6,999 | |||||||
Alternative Loan Trust, |
| |||||||||
Series 2005-38, Class A1 |
| |||||||||
(Federal Reserve US 12-Month Cumulative Average plus |
| |||||||||
1.50%) |
| |||||||||
1.76% | 09/25/352 | 391,847 | 369,767 | |||||||
Alternative Loan Trust, |
| |||||||||
Series 2005-76, Class 2A1 |
| |||||||||
(Federal Reserve US 12-Month Cumulative Average plus |
| |||||||||
1.00%) |
| |||||||||
1.26% | 02/25/362 | 45,605,016 | 44,928,458 | |||||||
Alternative Loan Trust, |
| |||||||||
Series 2005-84, Class 1A1 |
| |||||||||
2.34% | 02/25/364 | 39,026 | 33,121 |
See accompanying Notes to Financial Statements.
157 / Annual Report March 2021 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
Non-Agency Mortgage-Backed (continued) |
| |||||||||
Alternative Loan Trust, |
| |||||||||
Series 2006-HY13, Class 4A1 |
| |||||||||
3.04% | 02/25/374 | $ | 1,213,183 | $ | 1,211,362 | |||||
Alternative Loan Trust, |
| |||||||||
Series 2006-OC5, Class 2A2A |
| |||||||||
(LIBOR USD 1-Month plus 0.34%) |
| |||||||||
0.45% | 06/25/462 | 27,065 | 40,348 | |||||||
Alternative Loan Trust, |
| |||||||||
Series 2007-J1, Class 2A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.20%) |
| |||||||||
0.31% | 03/25/372 | 582,885 | 138,230 | |||||||
American Home Mortgage Assets Trust, |
| |||||||||
Series 2006-3, Class 2A12 |
| |||||||||
(Federal Reserve US 12-Month Cumulative Average plus |
| |||||||||
1.15%) |
| |||||||||
1.41% | 10/25/462 | 40,328,103 | 33,832,254 | |||||||
American Home Mortgage Assets Trust, |
| |||||||||
Series 2007-2, Class A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.13%) |
| |||||||||
0.23% | 03/25/472 | 18,790,364 | 17,581,678 | |||||||
American Home Mortgage Investment Trust, |
| |||||||||
Series 2004-3, Class 2A |
| |||||||||
(LIBOR USD 6-Month plus 1.50%) |
| |||||||||
1.72% | 10/25/342 | 5,111,386 | 5,216,108 | |||||||
Ameriquest Mortgage Securities Trust, |
| |||||||||
Series 2006-R1, Class M1 |
| |||||||||
(LIBOR USD 1-Month plus 0.39%) |
| |||||||||
0.50% | 03/25/362 | 10,506,773 | 10,535,366 | |||||||
Ameriquest Mortgage Securities, Inc., Asset-Backed Pass- Through Certificates, |
| |||||||||
Series 2004-R10, Class A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.66%) |
| |||||||||
0.77% | 11/25/342 | 11,463,888 | 11,078,867 | |||||||
Ameriquest Mortgage Securities, Inc., Asset-Backed Pass- Through Certificates, |
| |||||||||
Series 2005-R11, Class M1 |
| |||||||||
(LIBOR USD 1-Month plus 0.68%) |
| |||||||||
0.78% | 01/25/362 | 1,541,774 | 1,543,630 | |||||||
Amresco Residential Securities Corp. Mortgage Loan Trust, |
| |||||||||
Series 1998-1, Class A5 (STEP-reset date 05/25/21) |
| |||||||||
7.40% | 10/25/27 | 23,050 | 23,504 | |||||||
Argent Securities, Inc., Asset-Backed Pass-Through |
| |||||||||
Certificates, |
| |||||||||
Series 2005-W2, Class M1 |
| |||||||||
(LIBOR USD 1-Month plus 0.74%) |
| |||||||||
0.84% | 10/25/352 | 241,663 | 241,600 | |||||||
Argent Securities, Inc., Asset-Backed Pass-Through |
| |||||||||
Certificates, |
| |||||||||
Series 2005-W3, Class A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.52%) |
| |||||||||
0.63% | 11/25/352 | 12,354,349 | 12,123,538 | |||||||
Argent Securities, Inc., Asset-Backed Pass-Through |
| |||||||||
Certificates, |
| |||||||||
Series 2005-W3, Class M1 |
| |||||||||
(LIBOR USD 1-Month plus 0.66%) |
| |||||||||
0.77% | 11/25/352 | 19,840,000 | 19,466,530 |
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
Non-Agency Mortgage-Backed (continued) |
| |||||||||
Asset-Backed Funding Certificates, |
| |||||||||
Series 2005-HE1, Class M1 |
| |||||||||
(LIBOR USD 1-Month plus 0.63%) |
| |||||||||
0.74% | 03/25/352 | $ | 1,472,647 | $ | 1,473,232 | |||||
Asset-Backed Funding Certificates, |
| |||||||||
Series 2006-OPT3, Class A3B |
| |||||||||
(LIBOR USD 1-Month plus 0.32%) |
| |||||||||
0.43% | 11/25/362 | 47,745,743 | 28,716,162 | |||||||
Asset-Backed Funding Certificates, |
| |||||||||
Series 2007-WMC1, Class A2A |
| |||||||||
(LIBOR USD 1-Month plus 0.75%) |
| |||||||||
0.86% | 06/25/372 | 26,925,993 | 24,886,381 | |||||||
Asset-Backed Funding Certificates, |
| |||||||||
Series 2007-WMC1, Class A2B |
| |||||||||
(LIBOR USD 1-Month plus 1.00%) |
| |||||||||
1.11% | 06/25/372 | 19,670,381 | 18,398,875 | |||||||
Asset-Backed Securities Corp. Home Equity Loan Trust, |
| |||||||||
Series 2006-HE5, Class A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.13%) |
| |||||||||
0.23% | 07/25/362 | 5,746,636 | 5,521,246 | |||||||
Asset-Backed Securities Corp. Home Equity Loan Trust, |
| |||||||||
Series 2006-HE6, Class A5 |
| |||||||||
(LIBOR USD 1-Month plus 0.23%) |
| |||||||||
0.34% | 11/25/362 | 18,411,000 | 16,969,618 | |||||||
Banc of America Funding Trust, |
| |||||||||
Series 2003-2, Class 1A1 |
| |||||||||
6.50% | 06/25/32 | 11,840 | 12,101 | |||||||
Banc of America Funding Trust, |
| |||||||||
Series 2006-D, Class 3A1 |
| |||||||||
3.57% | 05/20/364 | 3,533,856 | 3,413,127 | |||||||
Banc of America Funding Trust, |
| |||||||||
Series 2006-E, Class 2A1 |
| |||||||||
3.45% | 06/20/364 | 51,376 | 50,017 | |||||||
Banc of America Funding Trust, |
| |||||||||
Series 2006-G, Class 2A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.44%) |
| |||||||||
0.55% | 07/20/362 | 1,562,500 | 1,563,462 | |||||||
Banc of America Funding Trust, |
| |||||||||
Series 2006-H, Class 3A1 |
| |||||||||
3.09% | 09/20/464 | 986,436 | 915,663 | |||||||
Banc of America Funding Trust, |
| |||||||||
Series 2015-R2, Class 1A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.14%) |
| |||||||||
0.25% | 08/27/361,2 | 15,602,587 | 14,953,474 | |||||||
Banc of America Funding Trust, |
| |||||||||
Series 2015-R5, Class 1A2 |
| |||||||||
(LIBOR USD 1-Month plus 0.13%) |
| |||||||||
0.24% | 10/26/361,2 | 34,877,878 | 34,299,770 | |||||||
Banc of America Funding Trust, |
| |||||||||
Series 2016-R1, Class A1 |
| |||||||||
2.50% | 03/25/401,4 | 8,973,801 | 9,056,091 | |||||||
Banc of America Funding Trust, |
| |||||||||
Series 2016-R1, Class B2 |
| |||||||||
3.50% | 03/25/401,4 | 23,780,000 | 21,415,536 |
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 158 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
Non-Agency Mortgage-Backed (continued) |
| |||||||||
Banc of America Mortgage Trust, |
| |||||||||
Series 2004-F, Class 1A1 |
| |||||||||
2.89% | 07/25/344 | $ | 28,512 | $ | 29,109 | |||||
Banc of America Mortgage Trust, |
| |||||||||
Series 2005-C, Class 2A2 |
| |||||||||
3.36% | 04/25/354 | 282,505 | 288,623 | |||||||
Banc of America Mortgage Trust, |
| |||||||||
Series 2006-2, Class A2 |
| |||||||||
(-1.00 X LIBOR USD 1-Month plus 6.00%, 6.00% Cap) |
| |||||||||
6.00% | 07/25/462 | 88,878 | 85,988 | |||||||
Banc of America Mortgage Trust, |
| |||||||||
Series 2007-1, Class 1A24 |
| |||||||||
6.00% | 03/25/37 | 615,389 | 610,604 | |||||||
Banc of America Mortgage Trust, |
| |||||||||
Series 2007-3, Class 1A1 |
| |||||||||
6.00% | 09/25/37 | 267,210 | 266,909 | |||||||
BCAP LLC Trust, |
| |||||||||
Series 2007-AA2, Class 2A5 |
| |||||||||
6.00% | 04/25/37 | 258,365 | 184,637 | |||||||
BCAP LLC Trust, |
| |||||||||
Series 2007-AA5, Class A1 |
| |||||||||
(LIBOR USD 1-Month plus 1.30%) |
| |||||||||
1.41% | 09/25/472 | 17,523,247 | 17,952,252 | |||||||
Bear Stearns ALT-A Trust, |
| |||||||||
Series 2005-4, Class 22A2 |
| |||||||||
3.11% | 05/25/354 | 11,929 | 12,014 | |||||||
Bear Stearns ALT-A Trust, |
| |||||||||
Series 2005-7, Class 11A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.54%) |
| |||||||||
0.65% | 08/25/352 | 141,922 | 143,521 | |||||||
Bear Stearns ALT-A Trust, |
| |||||||||
Series 2006-4, Class 32A1 |
| |||||||||
3.18% | 07/25/364 | 1,636,368 | 1,055,306 | |||||||
Bear Stearns ARM Trust, |
| |||||||||
Series 2004-1, Class 13A2 |
| |||||||||
3.01% | 04/25/344 | 6,663 | 6,678 | |||||||
Bear Stearns ARM Trust, |
| |||||||||
Series 2004-10, Class 14A1 |
| |||||||||
2.64% | 01/25/354 | 2,099,280 | 2,133,480 | |||||||
Bear Stearns ARM Trust, |
| |||||||||
Series 2006-4, Class 2A1 |
| |||||||||
2.95% | 10/25/364 | 364,882 | 334,346 | |||||||
Bear Stearns Asset-Backed Securities I Trust, |
| |||||||||
Series 2005-AC5, Class 2A3 |
| |||||||||
(LIBOR USD 1-Month plus 0.25%) |
| |||||||||
0.36% | 08/25/202 | 1,342,026 | 781,860 | |||||||
Bear Stearns Asset-Backed Securities I Trust, |
| |||||||||
Series 2006-AC2, Class 21A3 |
| |||||||||
6.00% | 03/25/36 | 352,057 | 369,374 | |||||||
Bear Stearns Asset-Backed Securities I Trust, |
| |||||||||
Series 2006-HE9, Class 3A |
| |||||||||
(LIBOR USD 1-Month plus 0.14%) |
| |||||||||
0.25% | 11/25/362 | 6,436,634 | 6,054,966 | |||||||
Bear Stearns Asset-Backed Securities Trust, |
| |||||||||
Series 2003-AC7, Class A1 (STEP-reset date 05/25/21) |
| |||||||||
5.50% | 01/25/34 | 558,609 | 568,222 |
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
Non-Agency Mortgage-Backed (continued) |
| |||||||||
Bear Stearns Asset-Backed Securities Trust, |
| |||||||||
Series 2003-AC7, Class A2 (STEP-reset date 05/25/21) |
| |||||||||
5.75% | 01/25/34 | $ | 503,624 | $ | 512,839 | |||||
Bear Stearns Mortgage Funding Trust, |
| |||||||||
Series 2006-AR3, Class 1A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.18%) |
| |||||||||
0.29% | 10/25/362 | 1,363,404 | 1,267,792 | |||||||
Bear Stearns Mortgage Funding Trust, |
| |||||||||
Series 2006-AR5, Class 1A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.16%) |
| |||||||||
0.27% | 12/25/462 | 18,510,765 | 17,298,560 | |||||||
Bear Stearns Mortgage Funding Trust, |
| |||||||||
Series 2007-AR5, Class 1A1A |
| |||||||||
(LIBOR USD 1-Month plus 0.17%) |
| |||||||||
0.28% | 06/25/472 | 392,793 | 372,926 | |||||||
Carrington Mortgage Loan Trust, |
| |||||||||
Series 2005-NC5, Class M1 |
| |||||||||
(LIBOR USD 1-Month plus 0.72%) |
| |||||||||
0.83% | 10/25/352 | 238,360 | 238,863 | |||||||
Carrington Mortgage Loan Trust, |
| |||||||||
Series 2006-NC1, Class A4 |
| |||||||||
(LIBOR USD 1-Month plus 0.31%) |
| |||||||||
0.42% | 01/25/362 | 33,341,223 | 33,219,241 | |||||||
Carrington Mortgage Loan Trust, |
| |||||||||
Series 2006-OPT1, Class M1 |
| |||||||||
(LIBOR USD 1-Month plus 0.35%) |
| |||||||||
0.46% | 02/25/362 | 146,624 | 145,606 | |||||||
Chase Funding Trust, |
| |||||||||
Series 2003-5, Class 2A2 |
| |||||||||
(LIBOR USD 1-Month plus 0.60%) |
| |||||||||
0.71% | 07/25/332 | 3,059 | 2,859 | |||||||
Chase Funding Trust, |
| |||||||||
Series 2004-2, Class 2A2 |
| |||||||||
(LIBOR USD 1-Month plus 0.50%) |
| |||||||||
0.61% | 02/26/352 | 5,668 | 5,136 | |||||||
Chase Mortgage Finance Trust, |
| |||||||||
Series 2006-A1, Class 1A2 |
| |||||||||
3.37% | 09/25/364 | 559,277 | 508,068 | |||||||
Chase Mortgage Finance Trust, |
| |||||||||
Series 2006-S3, Class 2A1 |
| |||||||||
5.50% | 11/25/21 | 1,524,160 | 955,112 | |||||||
Chase Mortgage Finance Trust, |
| |||||||||
Series 2007-A2, Class 2A3 |
| |||||||||
2.75% | 06/25/354 | 1,359,690 | 1,386,244 | |||||||
ChaseFlex Trust, |
| |||||||||
Series 2005-2, Class 4A2 |
| |||||||||
5.50% | 05/25/20 | 342,752 | 219,150 | |||||||
ChaseFlex Trust, |
| |||||||||
Series 2006-2, Class A2B |
| |||||||||
(LIBOR USD 1-Month plus 0.20%) |
| |||||||||
0.31% | 09/25/362 | 6,593,036 | 5,581,514 | |||||||
CIM Trust, |
| |||||||||
Series 2017-5, Class A2A |
| |||||||||
2.50% | 05/25/571,4 | 17,925,053 | 17,962,138 |
See accompanying Notes to Financial Statements.
159 / Annual Report March 2021 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
Non-Agency Mortgage-Backed (continued) |
| |||||||||
CIM Trust, |
| |||||||||
Series 2017-6, Class A1 |
| |||||||||
3.02% | 06/25/571,4 | $ | 41,163,059 | $ | 41,224,166 | |||||
CIM Trust, |
| |||||||||
Series 2018-R1, Class A1 |
| |||||||||
3.65% | 05/25/551,4 | 84,469,426 | 78,847,002 | |||||||
CIM Trust, |
| |||||||||
Series 2018-R2, Class A1 |
| |||||||||
3.69% | 08/01/571,4 | 54,823,286 | 55,984,297 | |||||||
CIM Trust, |
| |||||||||
Series 2018-R4, Class A1 |
| |||||||||
4.07% | 12/26/571,4 | 41,924,024 | 42,132,906 | |||||||
CIM Trust, |
| |||||||||
Series 2018-R5, Class A1 |
| |||||||||
3.75% | 07/25/581,4 | 92,548,321 | 93,932,798 | |||||||
CIM Trust, |
| |||||||||
Series 2018-R6, Class A1 |
| |||||||||
(LIBOR USD 1-Month plus 1.08%) |
| |||||||||
1.19% | 09/25/581,2 | 79,547,269 | �� | 78,819,388 | ||||||
CIM Trust, |
| |||||||||
Series 2019-R1, Class A |
| |||||||||
3.25% | 10/25/581,4 | 227,881,445 | 212,092,588 | |||||||
CIM Trust, |
| |||||||||
Series 2019-R3, Class A |
| |||||||||
2.63% | 06/25/581,4 | 165,255,345 | 163,129,914 | |||||||
CIM Trust, |
| |||||||||
Series 2019-R4, Class A1 |
| |||||||||
3.00% | 10/25/591,4 | 151,007,470 | 147,687,087 | |||||||
CIM Trust, |
| |||||||||
Series 2020-R1, Class A1 |
| |||||||||
2.85% | 10/27/591,4 | 195,313,241 | 164,638,046 | |||||||
CIM Trust, |
| |||||||||
Series 2020-R3, Class A1A |
| |||||||||
4.00% | 01/26/601,4 | 193,344,253 | 181,358,940 | |||||||
CIM Trust, |
| |||||||||
Series 2020-R4, Class A1A |
| |||||||||
3.30% | 06/25/601,4 | 105,566,996 | 104,766,323 | |||||||
CIM Trust, |
| |||||||||
Series 2020-R6, Class A1A |
| |||||||||
2.25% | 12/25/601,4 | 222,884,134 | 220,260,186 | |||||||
CIM Trust, |
| |||||||||
Series 2020-R7, Class A1A |
| |||||||||
2.25% | 12/27/611,4 | 365,529,612 | 363,333,181 | |||||||
CIM Trust, |
| |||||||||
Series 2021-R1, Class A2 |
| |||||||||
2.40% | 08/25/561,4 | 140,138,089 | 140,356,788 | |||||||
CIM Trust, |
| |||||||||
Series 2021-R2, Class A2 |
| |||||||||
2.50% | 01/25/571,4 | 135,222,000 | 135,222,000 | |||||||
CIT Mortgage Loan Trust, |
| |||||||||
Series 2007-1, Class 1A |
| |||||||||
(LIBOR USD 1-Month plus 1.35%) |
| |||||||||
1.46% | 10/25/371,2 | 38,714,778 | 38,955,196 | |||||||
Citicorp Mortgage Securities, Inc., |
| |||||||||
Series 2005-1, Class 1A12 |
| |||||||||
5.00% | 02/25/35 | 144,879 | 147,043 |
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 05/25/21) |
| |||||||||
5.22% | 09/25/36 | $ | 215,078 | $ | 219,143 | |||||
Citicorp Residential Mortgage Trust, |
| |||||||||
Series 2007-1, Class A5 (STEP-reset date 05/25/21) |
| |||||||||
5.13% | 03/25/37 | 519,578 | 535,111 | |||||||
Citigroup Mortgage Loan Trust, |
| |||||||||
Series 2006-AR2, Class 1A1 |
| |||||||||
2.82% | 03/25/364 | 9,030,616 | 8,057,437 | |||||||
Citigroup Mortgage Loan Trust, |
| |||||||||
Series 2006-AR3, Class 1A2A |
| |||||||||
3.81% | 06/25/364 | 2,217,403 | 2,156,424 | |||||||
Citigroup Mortgage Loan Trust, |
| |||||||||
Series 2006-HE2, Class M1 |
| |||||||||
(LIBOR USD 1-Month plus 0.29%) |
| |||||||||
0.40% | 08/25/362 | 251,474 | 252,068 | |||||||
Citigroup Mortgage Loan Trust, |
| |||||||||
Series 2006-WF2, Class A1 (STEP-reset date 05/25/21) |
| |||||||||
7.25% | 05/25/36 | 38,091,711 | 26,951,604 | |||||||
Citigroup Mortgage Loan Trust, |
| |||||||||
Series 2007-6, Class 1A4A |
| |||||||||
2.05% | 03/25/374 | 289,366 | 255,980 | |||||||
Citigroup Mortgage Loan Trust, |
| |||||||||
Series 2007-AR5, Class 1A1A |
| |||||||||
2.87% | 04/25/374 | 74,712 | 74,995 | |||||||
Citigroup Mortgage Loan Trust, |
| |||||||||
Series 2014-5, Class 2A2 |
| |||||||||
(LIBOR USD 1-Month plus 1.75%) |
| |||||||||
2.21% | 02/20/361,2 | 10,249,290 | 9,457,451 | |||||||
Citigroup Mortgage Loan Trust, |
| |||||||||
Series 2015-2, Class 1A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.20%) |
| |||||||||
0.32% | 06/25/471,2 | 766,861 | 767,815 | |||||||
Citigroup Mortgage Loan Trust, |
| |||||||||
Series 2015-2, Class 4A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.70%) |
| |||||||||
1.08% | 03/25/471,2 | 6,388,082 | 6,326,181 | |||||||
Citigroup Mortgage Loan Trust, |
| |||||||||
Series 2015-3, Class 1A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.27%) |
| |||||||||
0.66% | 03/25/361,2 | 1,006,905 | 1,012,652 | |||||||
Citigroup Mortgage Loan Trust, Inc., |
| |||||||||
Series 2004-HYB1, Class A41 |
| |||||||||
2.06% | 02/25/344 | 31,266 | 31,277 | |||||||
Citigroup Mortgage Loan Trust, Inc., |
| |||||||||
Series 2005-5, Class 3A2A |
| |||||||||
2.80% | 10/25/354 | 450,323 | 317,441 | |||||||
Citigroup Mortgage Loan Trust, Inc., |
| |||||||||
Series 2005-9, Class 1A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.26%) |
| |||||||||
0.37% | 11/25/352 | 124,359 | 107,460 | |||||||
Citigroup Mortgage Loan Trust, Inc., |
| |||||||||
Series 2007-WFH3, Class A3 |
| |||||||||
(LIBOR USD 1-Month plus 0.25%) |
| |||||||||
0.36% | 06/25/372 | 196,705 | 195,861 |
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 160 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
Non-Agency Mortgage-Backed (continued) |
| |||||||||
Conseco Finance Corp., |
| |||||||||
Series 1996-7, Class M1 |
| |||||||||
7.70% | 09/15/264 | $ | 875,042 | $ | 890,451 | |||||
Conseco Finance Corp., |
| |||||||||
Series 1998-6, Class A8 |
| |||||||||
6.66% | 06/01/304 | 285,324 | 287,134 | |||||||
Countrywide Asset-Backed Certificates Trust, |
| |||||||||
Series 2005-11, Class AF4 |
| |||||||||
5.21% | 03/25/344 | 548,500 | 548,736 | |||||||
Countrywide Asset-Backed Certificates Trust, |
| |||||||||
Series 2005-13, Class AF4 |
| |||||||||
5.81% | 04/25/364 | 207,948 | 208,713 | |||||||
Countrywide Asset-Backed Certificates Trust, |
| |||||||||
Series 2005-AB2, Class 1A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.46%) |
| |||||||||
0.57% | 11/25/352 | 2,945,932 | 2,944,670 | |||||||
Countrywide Asset-Backed Certificates Trust, |
| |||||||||
Series 2007-13, Class 2A2 |
| |||||||||
(LIBOR USD 1-Month plus 0.80%) |
| |||||||||
0.91% | 10/25/472 | 9,877,133 | 9,809,523 | |||||||
Countrywide Home Loan Mortgage Pass-Through Trust, |
| |||||||||
Series 2001-HYB1, Class 1A1 |
| |||||||||
2.07% | 06/19/314 | 8,340 | 8,393 | |||||||
Countrywide Home Loan Mortgage Pass-Through Trust, |
| |||||||||
Series 2003-J8, Class 1A4 |
| |||||||||
5.25% | 09/25/23 | 39,439 | 39,833 | |||||||
Countrywide Home Loan Mortgage Pass-Through Trust, |
| |||||||||
Series 2004-14, Class 4A1 |
| |||||||||
2.66% | 08/25/344 | 815,008 | 794,812 | |||||||
Countrywide Home Loan Mortgage Pass-Through Trust, |
| |||||||||
Series 2004-25, Class 1A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.66%) |
| |||||||||
0.77% | 02/25/352 | 94,018 | 91,132 | |||||||
Countrywide Home Loan Mortgage Pass-Through Trust, |
| |||||||||
Series 2004-7, Class 2A1 |
| |||||||||
3.49% | 06/25/344 | 65,465 | 66,290 | |||||||
Countrywide Home Loan Mortgage Pass-Through Trust, |
| |||||||||
Series 2004-HYB3, Class 1A |
| |||||||||
3.63% | 06/20/344 | 19,204 | 19,853 | |||||||
Countrywide Home Loan Mortgage Pass-Through Trust, |
| |||||||||
Series 2004-HYB4, Class 2A1 |
| |||||||||
2.87% | 09/20/344 | 689,007 | 694,081 | |||||||
Countrywide Home Loan Mortgage Pass-Through Trust, |
| |||||||||
Series 2005-11, Class 1A2 |
| |||||||||
3.20% | 04/25/354 | 656,413 | 652,499 | |||||||
Countrywide Home Loan Mortgage Pass-Through Trust, |
| |||||||||
Series 2005-31, Class 2A3 |
| |||||||||
2.53% | 01/25/364 | 119,709 | 113,761 | |||||||
Countrywide Home Loan Mortgage Pass-Through Trust, |
| |||||||||
Series 2005-9, Class 1A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.60%) |
| |||||||||
0.71% | 05/25/352 | 3,059,050 | 2,644,290 | |||||||
Countrywide Home Loan Mortgage Pass-Through Trust, |
| |||||||||
Series 2007-HY5, Class 1A1 |
| |||||||||
3.46% | 09/25/474 | 757,849 | 713,439 |
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
Non-Agency Mortgage-Backed (continued) |
| |||||||||
Countrywide Home Loan Mortgage Pass-Through Trust, |
| |||||||||
Series 2007-HYB1, Class 1A1 |
| |||||||||
3.09% | 03/25/374 | $ | 1,105,225 | $ | 974,860 | |||||
Credit Suisse First Boston Mortgage Securities Corp., |
| |||||||||
Series 2003-AR20, Class 2A4 |
| |||||||||
3.11% | 08/25/334 | 10,824 | 11,512 | |||||||
Credit Suisse First Boston Mortgage Securities Corp., |
| |||||||||
Series 2005-6, Class 8A1 |
| |||||||||
4.50% | 07/25/20 | 2,924 | 3,052 | |||||||
Credit Suisse First Boston Mortgage-Backed Pass-Through |
| |||||||||
Certificates, |
| |||||||||
Series 2004-1, Class 2A1 |
| |||||||||
6.50% | 02/25/34 | 19,767 | 20,338 | |||||||
Credit Suisse First Boston Mortgage-Backed Pass-Through |
| |||||||||
Certificates, |
| |||||||||
Series 2004-AR5, Class 6A1 |
| |||||||||
2.98% | 06/25/344 | 81,912 | 86,336 | |||||||
Credit Suisse Mortgage Capital Trust, |
| |||||||||
Series 2006-2, Class 5A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.70%) |
| |||||||||
0.81% | 03/25/362 | 3,452,248 | 1,119,400 | |||||||
Credit Suisse Mortgage Capital Trust, |
| |||||||||
Series 2007-2, Class 3A4 |
| |||||||||
5.50% | 03/25/37 | 1,418,286 | 1,094,594 | |||||||
Credit Suisse Mortgage Capital Trust, |
| |||||||||
Series 2014-12R, Class 1A1 |
| |||||||||
(LIBOR USD 1-Month plus 1.75%) |
| |||||||||
1.87% | 08/27/361,2 | 2,738,372 | 2,756,279 | |||||||
Credit Suisse Mortgage Capital Trust, |
| |||||||||
Series 2015-1R, Class 5A1 |
| |||||||||
2.75% | 09/27/351,4 | 75,744 | 76,260 | |||||||
Credit Suisse Mortgage Capital Trust, |
| |||||||||
Series 2015-2R, Class 4A1 |
| |||||||||
0.32% | 06/27/471,4 | 1,609,050 | 1,619,699 | |||||||
Credit Suisse Mortgage Capital Trust, |
| |||||||||
Series 2015-6R, Class 2A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.20%) |
| |||||||||
0.32% | 11/27/461,2 | 5,230,826 | 5,183,857 | |||||||
Credit Suisse Mortgage Capital Trust, |
| |||||||||
Series 2020-RPL2, Class A12 |
| |||||||||
3.46% | 02/25/601,4 | 22,806,602 | 22,829,714 | |||||||
Credit-Based Asset Servicing and Securitization LLC, |
| |||||||||
Series 2003-CB1, Class AF (STEP-reset date 05/25/21) |
| |||||||||
3.95% | 01/25/33 | 11,263 | 11,505 | |||||||
Credit-Based Asset Servicing and Securitization LLC, |
| |||||||||
Series 2003-CB4, Class M1 |
| |||||||||
(LIBOR USD 1-Month plus 1.03%) |
| |||||||||
1.14% | 03/25/332 | 2,248,507 | 2,202,946 | |||||||
Credit-Based Asset Servicing and Securitization LLC, |
| |||||||||
Series 2003-CB5, Class M1 |
| |||||||||
(LIBOR USD 1-Month plus 1.02%) |
| |||||||||
1.13% | 11/25/332 | 66,636 | 66,062 | |||||||
Credit-Based Asset Servicing and Securitization LLC, |
| |||||||||
Series 2006-CB7, Class A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.14%) |
| |||||||||
0.25% | 10/25/362 | 47,739,362 | 41,691,567 |
See accompanying Notes to Financial Statements.
161 / Annual Report March 2021 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
Non-Agency Mortgage-Backed (continued) |
| |||||||||
Credit-Based Asset Servicing and Securitization LLC, |
| |||||||||
Series 2006-CB8, Class A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.14%) |
| |||||||||
0.25% | 10/25/362 | $ | 13,938,215 | $ | 12,134,052 | |||||
Credit-Based Asset Servicing and Securitization LLC, |
| |||||||||
Series 2006-CB9, Class A3 |
| |||||||||
(LIBOR USD 1-Month plus 0.15%) |
| |||||||||
0.26% | 11/25/362 | 27,614,112 | 16,643,608 | |||||||
Credit-Based Asset Servicing and Securitization LLC, |
| |||||||||
Series 2007-CB1, Class AF4 (STEP-reset date 05/25/21) |
| |||||||||
3.33% | 01/25/37 | 6,916,402 | 3,204,737 | |||||||
Credit-Based Asset Servicing and Securitization LLC, |
| |||||||||
Series 2007-CB1, Class AF5 (STEP-reset date 05/25/21) |
| |||||||||
3.33% | 01/25/37 | 12,997,567 | 6,026,426 | |||||||
Credit-Based Asset Servicing and Securitization LLC, |
| |||||||||
Series 2007-CB5, Class A2 |
| |||||||||
(LIBOR USD 1-Month plus 0.17%) |
| |||||||||
0.28% | 04/25/372 | 24,935,109 | 18,960,033 | |||||||
Credit-Based Asset Servicing and Securitization LLC, |
| |||||||||
Mortgage Loan Trust, |
| |||||||||
Series 2007-CB2, Class A2C (STEP-reset date 05/25/21) |
| |||||||||
3.79% | 02/25/37 | 30,513,088 | 24,948,389 | |||||||
Credit-Based Asset Servicing and Securitization LLC, |
| |||||||||
Mortgage Loan Trust, |
| |||||||||
Series 2007-CB2, Class A2D (STEP-reset date 05/25/21) |
| |||||||||
3.79% | 02/25/37 | 22,340,124 | 18,261,159 | |||||||
Credit-Based Asset Servicing and Securitization LLC, |
| |||||||||
Mortgage Loan Trust, |
| |||||||||
Series 2007-CB2, Class A2E (STEP-reset date 05/25/21) |
| |||||||||
3.79% | 02/25/37 | 4,062,517 | 3,321,431 | |||||||
CSAB Mortgage-Backed Trust, |
| |||||||||
Series 2006-4, Class A6B (STEP-reset date 05/25/21) |
| |||||||||
6.28% | 12/25/36 | 5,268,016 | 459,261 | |||||||
Deutsche ALT-A Securities Mortgage Loan Trust, |
| |||||||||
Series 2006-AR3, Class A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.38%) |
| |||||||||
0.49% | 08/25/362 | 2,897,965 | 2,833,008 | |||||||
Deutsche ALT-A Securities Mortgage Loan Trust, |
| |||||||||
Series 2006-AR4, Class A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.26%) |
| |||||||||
0.37% | 12/25/362 | 1,688,679 | 838,404 | |||||||
Deutsche ALT-A Securities Mortgage Loan Trust, |
| |||||||||
Series 2006-AR6, Class A6 |
| |||||||||
(LIBOR USD 1-Month plus 0.38%) |
| |||||||||
0.49% | 02/25/372 | 551,645 | 538,259 | |||||||
Deutsche ALT-A Securities Mortgage Loan Trust, |
| |||||||||
Series 2007-3, Class 1A1 |
| |||||||||
(LIBOR USD 1-Month plus 1.70%) |
| |||||||||
1.82% | 10/25/472 | 28,665,769 | 26,409,664 | |||||||
Deutsche ALT-A Securities Mortgage Loan Trust, |
| |||||||||
Series 2007-OA3, Class A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.14%) |
| |||||||||
0.25% | 07/25/472 | 41,053,461 | 38,962,128 | |||||||
Deutsche ALT-A Securities, Inc., Mortgage Loan Trust, |
| |||||||||
Series 2005-6, Class 1A7 |
| |||||||||
5.50% | 12/25/35 | 343,753 | 335,432 |
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
Non-Agency Mortgage-Backed (continued) |
| |||||||||
Deutsche ALT-A Securities, Inc., Mortgage Loan Trust, |
| |||||||||
Series 2006-AR1, Class 2A1 |
| |||||||||
3.04% | 02/25/364 | $ | 759,522 | $ | 684,086 | |||||
DSLA Mortgage Loan Trust, |
| |||||||||
Series 2004-AR4, Class 2A1A |
| |||||||||
(LIBOR USD 1-Month plus 0.72%) |
| |||||||||
0.83% | 01/19/452 | 2,003,174 | 1,772,568 | |||||||
DSLA Mortgage Loan Trust, |
| |||||||||
Series 2005-AR1, Class 2A1A |
| |||||||||
(LIBOR USD 1-Month plus 0.25%) |
| |||||||||
0.36% | 02/19/452 | 140,906 | 140,306 | |||||||
DSLA Mortgage Loan Trust, |
| |||||||||
Series 2005-AR3, Class 2A1A |
| |||||||||
(LIBOR USD 1-Month plus 0.24%) |
| |||||||||
0.35% | 07/19/452 | 125,896 | 122,090 | |||||||
DSLA Mortgage Loan Trust, |
| |||||||||
Series 2006-AR2, Class 2A1A |
| |||||||||
(LIBOR USD 1-Month plus 0.20%) |
| |||||||||
0.31% | 10/19/362 | 16,437,983 | 14,051,132 | |||||||
DSLA Mortgage Loan Trust, |
| |||||||||
Series 2007-AR1, Class 2A1A |
| |||||||||
(LIBOR USD 1-Month plus 0.14%) |
| |||||||||
0.25% | 03/19/372 | 7,597,539 | 6,942,561 | |||||||
Equity One Mortgage Pass-Through Trust, |
| |||||||||
Series 2002-4, Class M1 |
| |||||||||
5.22% | 02/25/334 | 8,917 | 9,064 | |||||||
Equity One Mortgage Pass-Through Trust, |
| |||||||||
Series 2002-5, Class M1 (STEP-reset date 05/25/21) |
| |||||||||
5.80% | 11/25/32 | 36,213 | 37,483 | |||||||
First Franklin Mortgage Loan Trust, |
| |||||||||
Series 2006-FF13, Class A2C |
| |||||||||
(LIBOR USD 1-Month plus 0.32%) |
| |||||||||
0.43% | 10/25/362 | 12,621,348 | 10,344,829 | |||||||
First Franklin Mortgage Loan Trust, |
| |||||||||
Series 2006-FF13, Class A2D |
| |||||||||
(LIBOR USD 1-Month plus 0.48%) |
| |||||||||
0.59% | 10/25/362 | 795,872 | 660,944 | |||||||
First Franklin Mortgage Loan Trust, |
| |||||||||
Series 2006-FF18, Class A2B |
| |||||||||
(LIBOR USD 1-Month plus 0.11%) |
| |||||||||
0.22% | 12/25/372 | 6,828,642 | 6,342,695 | |||||||
First Franklin Mortgage Loan Trust, |
| |||||||||
Series 2006-FF18, Class A2C |
| |||||||||
(LIBOR USD 1-Month plus 0.16%) |
| |||||||||
0.27% | 12/25/372 | 18,779,379 | 17,506,519 | |||||||
First Franklin Mortgage Loan Trust, |
| |||||||||
Series 2006-FF18, Class A2D |
| |||||||||
(LIBOR USD 1-Month plus 0.21%) |
| |||||||||
0.32% | 12/25/372 | 13,610,683 | 12,734,204 | |||||||
First Franklin Mortgage Loan Trust, |
| |||||||||
Series 2006-FF5, Class 1A |
| |||||||||
(LIBOR USD 1-Month plus 0.30%) |
| |||||||||
0.41% | 04/25/362 | 18,249,728 | 18,033,290 |
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 162 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
Non-Agency Mortgage-Backed (continued) |
| |||||||||
First Franklin Mortgage Loan Trust, |
| |||||||||
Series 2006-FF8, Class IIA4 |
| |||||||||
(LIBOR USD 1-Month plus 0.46%) |
| |||||||||
0.57% | 07/25/362 | $ | 30,688,194 | $ | 29,655,579 | |||||
First Franklin Mortgage Loan Trust, |
| |||||||||
Series 2007-FF1, Class A2C |
| |||||||||
(LIBOR USD 1-Month plus 0.14%) |
| |||||||||
0.25% | 01/25/382 | 65,419,781 | 45,868,131 | |||||||
First Franklin Mortgage Loan Trust, |
| |||||||||
Series 2007-FF2, Class A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.14%) |
| |||||||||
0.25% | 03/25/372 | 58,818,158 | 39,142,082 | |||||||
First Franklin Mortgage Loan Trust, |
| |||||||||
Series 2007-FF2, Class A2B |
| |||||||||
(LIBOR USD 1-Month plus 0.10%) |
| |||||||||
0.21% | 03/25/372 | 24,602,735 | 14,921,707 | |||||||
First Franklin Mortgage Loan Trust, |
| |||||||||
Series 2007-FF2, Class A2C |
| |||||||||
(LIBOR USD 1-Month plus 0.15%) |
| |||||||||
0.26% | 03/25/372 | 14,104,355 | 8,623,567 | |||||||
First Franklin Mortgage Loan Trust, |
| |||||||||
Series 2007-FF2, Class A2D |
| |||||||||
(LIBOR USD 1-Month plus 0.22%) |
| |||||||||
0.33% | 03/25/372 | 26,261,935 | 16,237,224 | |||||||
First Horizon Alternative Mortgage Securities Trust, |
| |||||||||
Series 2004-AA2, Class 1A1 |
| |||||||||
2.13% | 08/25/344 | 5,360,552 | 5,384,804 | |||||||
First Horizon Alternative Mortgage Securities Trust, |
| |||||||||
Series 2004-AA3, Class A1 |
| |||||||||
2.29% | 09/25/344 | 18,284 | 18,185 | |||||||
First Horizon Alternative Mortgage Securities Trust, |
| |||||||||
Series 2004-AA4, Class A1 |
| |||||||||
2.37% | 10/25/344 | 946,998 | 980,174 | |||||||
First Horizon Alternative Mortgage Securities Trust, |
| |||||||||
Series 2005-AA10, Class 1A1 |
| |||||||||
2.53% | 12/25/354 | 10,703,282 | 10,223,736 | |||||||
First Horizon Alternative Mortgage Securities Trust, |
| |||||||||
Series 2005-AA12, Class 2A1 |
| |||||||||
2.38% | 02/25/364 | 12,202,586 | 10,128,401 | |||||||
First Horizon Alternative Mortgage Securities Trust, |
| |||||||||
Series 2005-AA4, Class 2A1 |
| |||||||||
2.32% | 06/25/354 | 12,173,624 | 11,898,748 | |||||||
First Horizon Alternative Mortgage Securities Trust, |
| |||||||||
Series 2005-AA7, Class 2A1 |
| |||||||||
2.38% | 09/25/354 | 10,284,887 | 10,084,029 | |||||||
First Horizon Alternative Mortgage Securities Trust, |
| |||||||||
Series 2005-AA8, Class 2A1 |
| |||||||||
2.34% | 10/25/354 | 12,054,398 | 9,621,454 | |||||||
First Horizon Alternative Mortgage Securities Trust, |
| |||||||||
Series 2005-AA9, Class 2A1 |
| |||||||||
2.29% | 11/25/354 | 12,617,060 | 11,518,735 | |||||||
First Horizon Alternative Mortgage Securities Trust, |
| |||||||||
Series 2006-AA1, Class 1A1 |
| |||||||||
2.36% | 03/25/364 | 14,209,574 | 11,716,723 |
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
Non-Agency Mortgage-Backed (continued) |
| |||||||||
First Horizon Alternative Mortgage Securities Trust, |
| |||||||||
Series 2006-FA8, Class 1A7 |
| |||||||||
6.00% | 02/25/37 | $ | 9,635 | $ | 6,148 | |||||
First Horizon Mortgage Pass-Through Trust, |
| |||||||||
Series 2004-AR6, Class 2A1 |
| |||||||||
3.15% | 12/25/344 | 138,113 | 142,001 | |||||||
First Horizon Mortgage Pass-Through Trust, |
| |||||||||
Series 2006-AR4, Class 1A2 |
| |||||||||
2.88% | 01/25/374 | 70,920 | 57,726 | |||||||
First Horizon Mortgage Pass-Through Trust, |
| |||||||||
Series 2007-AR3, Class 1A1 |
| |||||||||
2.94% | 11/25/374 | 131,451 | 96,269 | |||||||
FNBA Mortgage Loan Trust, |
| |||||||||
Series 2004-AR1, Class A2 |
| |||||||||
(LIBOR USD 1-Month plus 0.80%) |
| |||||||||
0.91% | 08/19/342 | 641 | 641 | |||||||
GMACM Home Equity Loan Trust, |
| |||||||||
Series 2000-HE2, Class A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.44%) |
| |||||||||
0.61% | 06/25/302 | 13,458 | 10,548 | |||||||
GMACM Mortgage Corp. Loan Trust, |
| |||||||||
Series 2005-AR6, Class 3A1 |
| |||||||||
3.04% | 11/19/354 | 355,002 | 348,887 | |||||||
GMACM Mortgage Corp. Loan Trust, |
| |||||||||
Series 2006-AR2, Class 1A1 |
| |||||||||
3.27% | 05/19/364 | 1,562,446 | 925,377 | |||||||
GreenPoint Mortgage Funding Trust, |
| |||||||||
Series 2005-AR3, Class 1A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.48%) |
| |||||||||
0.59% | 08/25/452 | 1,314,675 | 1,263,162 | |||||||
GreenPoint Mortgage Funding Trust, |
| |||||||||
Series 2005-AR4, Class G41B |
| |||||||||
(LIBOR USD 1-Month plus 0.20%) |
| |||||||||
0.31% | 10/25/452 | 13,385,584 | 12,548,764 | |||||||
GreenPoint Mortgage Funding Trust, |
| |||||||||
Series 2007-AR1, Class 3A2 |
| |||||||||
(LIBOR USD 1-Month plus 0.16%) |
| |||||||||
0.27% | 02/25/372 | 399,163 | 589,403 | |||||||
GS Mortgage-Backed Securities Trust, |
| |||||||||
Series 2018-RPL1, Class A1A |
| |||||||||
3.75% | 10/25/571 | 36,888,028 | 37,416,117 | |||||||
GSAA Home Equity Trust, |
| |||||||||
Series 2005-11, Class 1A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.56%) |
| |||||||||
0.67% | 10/25/352 | 1,765,936 | 1,770,707 | |||||||
GSAA Home Equity Trust, |
| |||||||||
Series 2005-11, Class 2A2 |
| |||||||||
(LIBOR USD 1-Month plus 0.64%) |
| |||||||||
0.75% | 10/25/352 | 123,859 | 122,839 | |||||||
GSAA Home Equity Trust, |
| |||||||||
Series 2005-11, Class 3A2 |
| |||||||||
(LIBOR USD 1-Month plus 0.64%) |
| |||||||||
0.75% | 10/25/352 | 87,937 | 87,480 |
See accompanying Notes to Financial Statements.
163 / Annual Report March 2021 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
Non-Agency Mortgage-Backed (continued) |
| |||||||||
GSAA Home Equity Trust, |
| |||||||||
Series 2005-6, Class M1 |
| |||||||||
(LIBOR USD 1-Month plus 0.65%) |
| |||||||||
0.75% | 06/25/352 | $ | 127,010 | $ | 127,562 | |||||
GSAMP Trust, |
| |||||||||
Series 2005-AHL2, Class A2D |
| |||||||||
(LIBOR USD 1-Month plus 0.35%) |
| |||||||||
0.46% | 12/25/352 | 25,693,000 | 25,210,627 | |||||||
GSAMP Trust, |
| |||||||||
Series 2006-NC1, Class A3 |
| |||||||||
(LIBOR USD 1-Month plus 0.58%) |
| |||||||||
0.69% | 02/25/362 | 83,719 | 82,696 | |||||||
GSR Mortgage Loan Trust, |
| |||||||||
Series 2004-9, Class 3A1 |
| |||||||||
3.07% | 08/25/344 | 2,365 | 2,372 | |||||||
GSR Mortgage Loan Trust, |
| |||||||||
Series 2004-9, Class 5A7 |
| |||||||||
2.94% | 08/25/344 | 158,767 | 160,294 | |||||||
GSR Mortgage Loan Trust, |
| |||||||||
Series 2005-AR5, Class 2A3 |
| |||||||||
2.93% | 10/25/354 | 2,297,429 | 1,736,928 | |||||||
GSR Mortgage Loan Trust, |
| |||||||||
Series 2005-AR6, Class 4A5 |
| |||||||||
2.98% | 09/25/354 | 74,531 | 75,855 | |||||||
GSR Mortgage Loan Trust, |
| |||||||||
Series 2007-AR2, Class 2A1 |
| |||||||||
3.05% | 05/25/374 | 1,654,124 | 1,331,816 | |||||||
HarborView Mortgage Loan Trust, |
| |||||||||
Series 2004-1, Class 2A |
| |||||||||
2.19% | 04/19/344 | 4,284 | 4,247 | |||||||
HarborView Mortgage Loan Trust, |
| |||||||||
Series 2004-11, Class 3A2A |
| |||||||||
(LIBOR USD 1-Month plus 0.68%) |
| |||||||||
0.79% | 01/19/352 | 260,487 | 248,166 | |||||||
HarborView Mortgage Loan Trust, |
| |||||||||
Series 2004-3, Class 1A |
| |||||||||
2.72% | 05/19/344 | 49,405 | 49,954 | |||||||
HarborView Mortgage Loan Trust, |
| |||||||||
Series 2004-5, Class 2A6 |
| |||||||||
2.94% | 06/19/344 | 2,144 | 2,240 | |||||||
HarborView Mortgage Loan Trust, |
| |||||||||
Series 2005-3, Class 2A1A |
| |||||||||
(LIBOR USD 1-Month plus 0.48%) |
| |||||||||
0.59% | 06/19/352 | 294,466 | 294,195 | |||||||
HarborView Mortgage Loan Trust, |
| |||||||||
Series 2005-4, Class 2A |
| |||||||||
2.72% | 07/19/354 | 38,696 | 35,200 | |||||||
HarborView Mortgage Loan Trust, |
| |||||||||
Series 2006-10, Class 1A1A |
| |||||||||
(LIBOR USD 1-Month plus 0.20%) |
| |||||||||
0.31% | 11/19/362 | 64,405,085 | 55,153,868 | |||||||
HarborView Mortgage Loan Trust, |
| |||||||||
Series 2006-7, Class 1A |
| |||||||||
(LIBOR USD 1-Month plus 0.42%) |
| |||||||||
0.53% | 09/19/462 | 68,253,614 | 65,704,334 |
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
Non-Agency Mortgage-Backed (continued) |
| |||||||||
HarborView Mortgage Loan Trust, |
| |||||||||
Series 2007-7, Class 1A1 |
| |||||||||
(LIBOR USD 1-Month plus 1.00%) |
| |||||||||
1.11% | 10/25/372 | $ | 22,714,125 | $ | 20,823,333 | |||||
HarborView Mortgage Loan Trust, |
| |||||||||
Series 2007-7, Class 2A1A |
| |||||||||
(LIBOR USD 1-Month plus 1.00%) |
| |||||||||
1.11% | 10/25/372 | 18,733,576 | 18,892,055 | |||||||
HSI Asset Securitization Corp. Trust, |
| |||||||||
Series 2006-HE1, Class 1A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.14%) |
| |||||||||
0.25% | 10/25/362 | 58,026,066 | 25,622,147 | |||||||
Impac CMB Trust, |
| |||||||||
Series 2004-8, Class 2A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.70%) |
| |||||||||
0.81% | 10/25/342 | 193,586 | 196,429 | |||||||
Impac CMB Trust, |
| |||||||||
Series 2005-1, Class 1A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.52%) |
| |||||||||
0.63% | 04/25/352 | 3,407,492 | 3,322,136 | |||||||
Impac CMB Trust, |
| |||||||||
Series 2005-4, Class 1A1B |
| |||||||||
(LIBOR USD 1-Month plus 0.17%) |
| |||||||||
0.36% | 05/25/352 | 3,885,703 | 3,718,417 | |||||||
Impac Secured Assets Corp., |
| |||||||||
Series 2004-3, Class M1 |
| |||||||||
(LIBOR USD 1-Month plus 0.90%) |
| |||||||||
1.01% | 11/25/342 | 208,534 | 211,799 | |||||||
Impac Secured Assets Corp., |
| |||||||||
Series 2004-4, Class M3 |
| |||||||||
(LIBOR USD 1-Month plus 0.90%) |
| |||||||||
1.01% | 02/25/352 | 542,353 | 546,435 | |||||||
Impac Secured Assets Trust, |
| |||||||||
Series 2006-3, Class A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.17%) |
| |||||||||
0.28% | 11/25/362 | 6,690,621 | 6,358,749 | |||||||
Impac Secured Assets Trust, |
| |||||||||
Series 2006-5, Class 1A1C |
| |||||||||
(LIBOR USD 1-Month plus 0.27%) |
| |||||||||
0.38% | 02/25/372 | 9,328,287 | 8,759,925 | |||||||
Impac Secured Assets Trust, |
| |||||||||
Series 2007-2, Class 1A1A |
| |||||||||
(LIBOR USD 1-Month plus 0.11%) |
| |||||||||
0.22% | 05/25/372 | 5,919,982 | 5,060,729 | |||||||
Impac Secured Assets Trust, |
| |||||||||
Series 2007-2, Class 1A1B |
| |||||||||
(LIBOR USD 1-Month plus 0.25%) |
| |||||||||
0.36% | 05/25/372 | 48,125,643 | 40,352,307 | |||||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||
Series 2004-AR4, Class 1A |
| |||||||||
2.87% | 08/25/344 | 995,303 | 991,588 | |||||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||
Series 2004-AR5, Class 2A1B |
| |||||||||
(LIBOR USD 1-Month plus 0.80%) |
| |||||||||
0.91% | 08/25/342 | 16,521 | 15,716 |
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 164 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
Non-Agency Mortgage-Backed (continued) |
| |||||||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||
Series 2004-AR7, Class A2 |
| |||||||||
(LIBOR USD 1-Month plus 0.86%) |
| |||||||||
0.97% | 09/25/342 | $ | 49,584 | $ | 47,968 | |||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||
Series 2005-AR1, Class 4A1 |
| |||||||||
2.91% | 03/25/354 | 367,446 | 371,971 | |||||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||
Series 2005-AR17, Class 3A1 |
| |||||||||
2.89% | 09/25/354 | 3,671,547 | 3,048,259 | |||||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||
Series 2005-AR19, Class A1 |
| |||||||||
2.81% | 10/25/354 | 22,368,814 | 19,917,615 | |||||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||
Series 2005-AR31, Class 3A1 |
| |||||||||
2.88% | 01/25/364 | 807,475 | 801,684 | |||||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||
Series 2005-AR6, Class 2A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.48%) |
| |||||||||
0.59% | 04/25/352 | 482,597 | 433,062 | |||||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||
Series 2006-AR19, Class 1A2 |
| |||||||||
3.22% | 08/25/364 | 13,101,369 | 9,994,934 | |||||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||
Series 2006-AR21, Class A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.12%) |
| |||||||||
0.23% | 08/25/362 | 137,266 | 130,532 | |||||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||
Series 2006-AR27, Class 2A2 |
| |||||||||
(LIBOR USD 1-Month plus 0.20%) |
| |||||||||
0.31% | 10/25/362 | 18,734,944 | 17,796,257 | |||||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||
Series 2006-AR35, Class 2A3A |
| |||||||||
(LIBOR USD 1-Month plus 0.20%) |
| |||||||||
0.31% | 01/25/372 | 40,262,652 | 39,413,617 | |||||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||
Series 2006-AR7, Class 1A1 |
| |||||||||
2.87% | 05/25/364 | 3,625,585 | 3,478,738 | |||||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||
Series 2006-AR7, Class 2A1 |
| |||||||||
3.15% | 05/25/364 | 23,237,903 | 18,428,358 | |||||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||
Series 2007-AR1, Class 1A2 |
| |||||||||
3.07% | 03/25/374 | 481,380 | 468,304 | |||||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||
Series 2007-AR11, Class 1A1 |
| |||||||||
3.00% | 06/25/374 | 3,136,083 | 3,018,827 | |||||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||
Series 2007-AR7, Class 1A1 |
| |||||||||
2.86% | 11/25/374 | 2,210,849 | 2,143,580 | |||||||
IndyMac Manufactured Housing Contract Pass-Through |
| |||||||||
Certificates, |
| |||||||||
Series 1997-1, Class A3 |
| |||||||||
6.61% | 02/25/28 | 39,929 | 40,305 |
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
Non-Agency Mortgage-Backed (continued) |
| |||||||||
JPMorgan Alternative Loan Trust, |
| |||||||||
Series 2006-A2, Class 2A1 |
| |||||||||
3.08% | 05/25/364 | $ | 549,487 | $ | 436,977 | |||||
JPMorgan Alternative Loan Trust, |
| |||||||||
Series 2006-A2, Class 5A1 |
| |||||||||
3.44% | 05/25/364 | 5,644,015 | 4,102,762 | |||||||
JPMorgan Mortgage Acquisition Trust, |
| |||||||||
Series 2005-WMC1, Class M2 |
| |||||||||
(LIBOR USD 1-Month plus 0.66%) |
| |||||||||
0.77% | 09/25/352 | 1,692,771 | 1,696,516 | |||||||
JPMorgan Mortgage Acquisition Trust, |
| |||||||||
Series 2006-WF1, Class A3A (STEP-reset date 05/25/21) |
| |||||||||
6.33% | 07/25/36 | 32,838,356 | 14,637,605 | |||||||
JPMorgan Mortgage Acquisition Trust, |
| |||||||||
Series 2006-WF1, Class A6 (STEP-reset date 05/25/21) |
| |||||||||
6.50% | 07/25/36 | 4,579,229 | 2,069,206 | |||||||
JPMorgan Mortgage Acquisition Trust, |
| |||||||||
Series 2007-CH4, Class A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.15%) |
| |||||||||
0.26% | 05/25/372 | 31,294,426 | 29,545,133 | |||||||
JPMorgan Mortgage Acquisition Trust, |
| |||||||||
Series 2007-CH5, Class A5 |
| |||||||||
(LIBOR USD 1-Month plus 0.26%) |
| |||||||||
0.37% | 06/25/372 | 196,162 | 194,708 | |||||||
JPMorgan Mortgage Acquisition Trust, |
| |||||||||
Series 2007-HE1, Class AF1 |
| |||||||||
(LIBOR USD 1-Month plus 0.10%) |
| |||||||||
0.21% | 03/25/472 | 126,173 | 81,464 | |||||||
JPMorgan Mortgage Acquisition Trust, |
| |||||||||
Series 2007-HE1, Class AF2 (STEP-reset date 05/25/21) |
| |||||||||
4.21% | 03/25/47 | 8,253,998 | 6,456,862 | |||||||
JPMorgan Mortgage Acquisition Trust, |
| |||||||||
Series 2007-HE1, Class AF3 (STEP-reset date 05/25/21) |
| |||||||||
4.21% | 05/25/35 | 6,946,746 | 5,434,211 | |||||||
JPMorgan Mortgage Acquisition Trust, |
| |||||||||
Series 2007-HE1, Class AF4 (STEP-reset date 05/25/21) |
| |||||||||
4.21% | 03/25/47 | 3,157,612 | 2,470,070 | |||||||
JPMorgan Mortgage Acquisition Trust, |
| |||||||||
Series 2007-HE1, Class AV4 |
| |||||||||
(LIBOR USD 1-Month plus 0.28%) |
| |||||||||
0.39% | 03/25/472 | 240,000 | 215,385 | |||||||
JPMorgan Mortgage Trust, |
| |||||||||
Series 2003-A2, Class 2A3 |
| |||||||||
2.31% | 11/25/334 | 81,549 | 81,011 | |||||||
JPMorgan Mortgage Trust, |
| |||||||||
Series 2004-A4, Class 1A3 |
| |||||||||
2.89% | 09/25/344 | 201,180 | 198,443 | |||||||
JPMorgan Mortgage Trust, |
| |||||||||
Series 2005-A5, Class TA1 |
| |||||||||
2.91% | 08/25/354 | 96,936 | 98,642 | |||||||
JPMorgan Mortgage Trust, |
| |||||||||
Series 2005-S2, Class 4A3 |
| |||||||||
5.50% | 09/25/20 | 1,898,773 | 1,658,225 | |||||||
JPMorgan Mortgage Trust, |
| |||||||||
Series 2006-A2, Class 5A3 |
| |||||||||
2.53% | 11/25/334 | 3,325 | 3,343 |
See accompanying Notes to Financial Statements.
165 / Annual Report March 2021 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
Non-Agency Mortgage-Backed (continued) |
| |||||||||
JPMorgan Mortgage Trust, |
| |||||||||
Series 2006-A3, Class 2A1 |
| |||||||||
3.06% | 05/25/364 | $ | 694,084 | $ | 640,708 | |||||
JPMorgan Mortgage Trust, |
| |||||||||
Series 2006-A3, Class 3A3 |
| |||||||||
3.25% | 05/25/364 | 470,645 | 429,442 | |||||||
JPMorgan Mortgage Trust, |
| |||||||||
Series 2006-A4, Class 1A1 |
| |||||||||
3.30% | 06/25/364 | 388,623 | 337,935 | |||||||
JPMorgan Mortgage Trust, |
| |||||||||
Series 2006-A4, Class 1A4 |
| |||||||||
3.30% | 06/25/364 | 1,252,795 | 1,089,669 | |||||||
JPMorgan Mortgage Trust, |
| |||||||||
Series 2006-A5, Class 2A4 |
| |||||||||
3.24% | 08/25/364 | 363,324 | 339,389 | |||||||
JPMorgan Mortgage Trust, |
| |||||||||
Series 2007-A1, Class 5A2 |
| |||||||||
2.58% | 07/25/354 | 1,127,485 | 1,155,262 | |||||||
JPMorgan Mortgage Trust, |
| |||||||||
Series 2007-A3, Class 2A3 |
| |||||||||
2.97% | 05/25/374 | 2,018,157 | 1,790,873 | |||||||
JPMorgan Mortgage Trust, |
| |||||||||
Series 2007-A3, Class 3A2 |
| |||||||||
3.58% | 05/25/374 | 330,924 | 332,369 | |||||||
JPMorgan Mortgage Trust, |
| |||||||||
Series 2007-A4, Class 1A1 |
| |||||||||
3.49% | 06/25/374 | 2,830,593 | 2,573,736 | |||||||
JPMorgan Mortgage Trust, |
| |||||||||
Series 2007-A4, Class 2A3 |
| |||||||||
3.51% | 06/25/374 | 415,389 | 372,047 | |||||||
JPMorgan Resecuritization Trust, |
| |||||||||
Series 2015-1, Class 3A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.19%) |
| |||||||||
0.31% | 12/27/461,2 | 2,431,860 | 2,439,227 | |||||||
Lehman XS Trust, |
| |||||||||
Series 2005-5N, Class 3A1A |
| |||||||||
(LIBOR USD 1-Month plus 0.30%) |
| |||||||||
0.41% | 11/25/352 | 5,981,505 | 5,920,059 | |||||||
Lehman XS Trust, |
| |||||||||
Series 2005-7N, Class 1A1A |
| |||||||||
(LIBOR USD 1-Month plus 0.54%) |
| |||||||||
0.65% | 12/25/352 | 361,732 | 356,403 | |||||||
Lehman XS Trust, |
| |||||||||
Series 2006-12N, Class A31A |
| |||||||||
(LIBOR USD 1-Month plus 0.40%) |
| |||||||||
0.51% | 08/25/462 | 12,434,868 | 12,256,332 | |||||||
Lehman XS Trust, |
| |||||||||
Series 2006-14N, Class 3A2 |
| |||||||||
(LIBOR USD 1-Month plus 0.24%) |
| |||||||||
0.35% | 08/25/362 | 34,651 | 38,296 | |||||||
Lehman XS Trust, |
| |||||||||
Series 2006-5, Class 1A1A |
| |||||||||
(LIBOR USD 1-Month plus 0.42%) |
| |||||||||
0.53% | 04/25/362 | 25,723,570 | 24,710,170 |
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
Non-Agency Mortgage-Backed (continued) |
| |||||||||
Lehman XS Trust, |
| |||||||||
Series 2006-8, Class 1A1A |
| |||||||||
(LIBOR USD 1-Month plus 0.16%) |
| |||||||||
0.43% | 06/25/362 | $ | 34,292,699 | $ | 31,373,773 | |||||
Lehman XS Trust, |
| |||||||||
Series 2007-4N, Class 1A3 |
| |||||||||
(LIBOR USD 1-Month plus 0.24%) |
| |||||||||
0.35% | 03/25/472 | 24,145,485 | 22,663,239 | |||||||
Long Beach Mortgage Loan Trust, |
| |||||||||
Series 2004-4, Class M1 |
| |||||||||
(LIBOR USD 1-Month plus 0.90%) |
| |||||||||
1.01% | 10/25/342 | 112,429 | 111,729 | |||||||
MASTR Adjustable Rate Mortgages Trust, |
| |||||||||
Series 2003-6, Class 4A2 |
| |||||||||
3.14% | 01/25/344 | 35,508 | 38,442 | |||||||
MASTR Adjustable Rate Mortgages Trust, |
| |||||||||
Series 2003-7, Class 3A1 |
| |||||||||
2.00% | 11/25/334 | 558,380 | 558,319 | |||||||
MASTR Adjustable Rate Mortgages Trust, |
| |||||||||
Series 2004-13, Class 3A1 |
| |||||||||
3.18% | 11/21/344 | 2,817,427 | 2,848,649 | |||||||
MASTR Adjustable Rate Mortgages Trust, |
| |||||||||
Series 2004-15, Class 9A1 |
| |||||||||
3.14% | 10/25/344 | 222,822 | 226,974 | |||||||
MASTR Adjustable Rate Mortgages Trust, |
| |||||||||
Series 2004-5, Class 3A1 |
| |||||||||
4.12% | 06/25/344 | 245 | 250 | |||||||
MASTR Adjustable Rate Mortgages Trust, |
| |||||||||
Series 2004-8, Class 2A1 |
| |||||||||
2.59% | 09/25/344 | 2,441,844 | 2,433,016 | |||||||
MASTR Adjustable Rate Mortgages Trust, |
| |||||||||
Series 2006-2, Class 5A1 |
| |||||||||
3.42% | 05/25/364 | 5,716,727 | 3,839,657 | |||||||
MASTR Asset-Backed Securities Trust, |
| |||||||||
Series 2006-HE4, Class A3 |
| |||||||||
(LIBOR USD 1-Month plus 0.30%) |
| |||||||||
0.41% | 11/25/362 | 14,159,223 | 6,734,745 | |||||||
MASTR Asset-Backed Securities Trust, |
| |||||||||
Series 2006-HE4, Class A4 |
| |||||||||
(LIBOR USD 1-Month plus 0.42%) |
| |||||||||
0.53% | 11/25/362 | 3,933,118 | 1,813,214 | |||||||
MASTR Asset-Backed Securities Trust, |
| |||||||||
Series 2007-HE1, Class A3 |
| |||||||||
(LIBOR USD 1-Month plus 0.21%) |
| |||||||||
0.32% | 05/25/372 | 26,667,812 | 25,942,167 | |||||||
MASTR Seasoned Securitization Trust, |
| |||||||||
Series 2004-1, Class 4A1 |
| |||||||||
2.69% | 10/25/324 | 9,159 | 9,541 | |||||||
Mellon Residential Funding Corp. Mortgage Pass-Through |
| |||||||||
Certificates, |
| |||||||||
Series 2001-TBC1, Class A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.70%) |
| |||||||||
0.81% | 11/15/312 | 878,528 | 894,839 |
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 166 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
Non-Agency Mortgage-Backed (continued) |
| |||||||||
Merrill Lynch First Franklin Mortgage Loan Trust, |
| |||||||||
Series 2007-1, Class A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.14%) |
| |||||||||
0.25% | 04/25/372 | $ | 163,534,878 | $ | 97,771,134 | |||||
Merrill Lynch First Franklin Mortgage Loan Trust, |
| |||||||||
Series 2007-1, Class A2B |
| |||||||||
(LIBOR USD 1-Month plus 0.17%) |
| |||||||||
0.28% | 04/25/372 | 31,547,891 | 17,578,286 | |||||||
Merrill Lynch First Franklin Mortgage Loan Trust, |
| |||||||||
Series 2007-1, Class A2C |
| |||||||||
(LIBOR USD 1-Month plus 0.25%) |
| |||||||||
0.36% | 04/25/372 | 66,087,843 | 37,335,943 | |||||||
Merrill Lynch First Franklin Mortgage Loan Trust, |
| |||||||||
Series 2007-2, Class A2C |
| |||||||||
(LIBOR USD 1-Month plus 0.24%) |
| |||||||||
0.35% | 05/25/372 | 32,701,291 | 19,178,261 | |||||||
Merrill Lynch First Franklin Mortgage Loan Trust, |
| |||||||||
Series 2007-2, Class A2D |
| |||||||||
(LIBOR USD 1-Month plus 0.32%) |
| |||||||||
0.43% | 05/25/372 | 16,149,318 | 9,602,316 | |||||||
Merrill Lynch First Franklin Mortgage Loan Trust, |
| |||||||||
Series 2007-3, Class A2C |
| |||||||||
(LIBOR USD 1-Month plus 0.18%) |
| |||||||||
0.29% | 06/25/372 | 12,884,267 | 9,551,308 | |||||||
Merrill Lynch First Franklin Mortgage Loan Trust, |
| |||||||||
Series 2007-3, Class A2D |
| |||||||||
(LIBOR USD 1-Month plus 0.25%) |
| |||||||||
0.36% | 06/25/372 | 17,208,288 | 15,914,196 | |||||||
Merrill Lynch First Franklin Mortgage Loan Trust, |
| |||||||||
Series 2007-4, Class 2A2 |
| |||||||||
(LIBOR USD 1-Month plus 0.12%) |
| |||||||||
0.23% | 07/25/372 | 28,076,396 | 24,696,579 | |||||||
Merrill Lynch First Franklin Mortgage Loan Trust, |
| |||||||||
Series 2007-4, Class 2A3 |
| |||||||||
(LIBOR USD 1-Month plus 0.16%) |
| |||||||||
0.27% | 07/25/372 | 20,580,696 | 18,177,920 | |||||||
Merrill Lynch Mortgage Investors Trust, |
| |||||||||
Series 2003-A6, Class 2A |
| |||||||||
2.57% | 10/25/334 | 284,202 | 286,689 | |||||||
Merrill Lynch Mortgage Investors Trust, |
| |||||||||
Series 2004-A4, Class A1 |
| |||||||||
3.19% | 08/25/344 | 1,051,977 | 1,068,030 | |||||||
Merrill Lynch Mortgage Investors Trust, |
| |||||||||
Series 2005-A10, Class A |
| |||||||||
(LIBOR USD 1-Month plus 0.42%) |
| |||||||||
0.53% | 02/25/362 | 7,667 | 7,574 | |||||||
Merrill Lynch Mortgage Investors Trust, |
| |||||||||
Series 2005-A6, Class 2A4 |
| |||||||||
(LIBOR USD 1-Month plus 0.68%) |
| |||||||||
0.79% | 08/25/352 | 78,322 | 78,742 | |||||||
Merrill Lynch Mortgage Investors Trust, |
| |||||||||
Series 2006-WMC2, Class A2B (STEP-reset date 05/25/21) |
| |||||||||
3.79% | 03/25/37 | 29,655,389 | 10,608,667 | |||||||
Merrill Lynch Mortgage Investors Trust, |
| |||||||||
Series 2006-WMC2, Class A2D (STEP-reset date 05/25/21) |
| |||||||||
3.79% | 03/25/37 | 23,210,253 | 8,302,851 |
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
Non-Agency Mortgage-Backed (continued) |
| |||||||||
Merrill Lynch Mortgage Investors Trust, |
| |||||||||
Series 2007-2, Class 1A1 |
| |||||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 |
| |||||||||
Year plus 2.40%) |
| |||||||||
2.49% | 08/25/362 | $ | 3,067,778 | $ | 2,925,944 | |||||
Mid-State Capital Corp. Trust, |
| |||||||||
Series 2004-1, Class A |
| |||||||||
6.01% | 08/15/37 | 197,013 | 209,617 | |||||||
Mid-State Capital Corp. Trust, |
| |||||||||
Series 2005-1, Class A |
| |||||||||
5.75% | 01/15/40 | 11,551,346 | 12,423,787 | |||||||
Mid-State Capital Corp. Trust, |
| |||||||||
Series��2006-1, Class A |
| |||||||||
5.79% | 10/15/401 | 9,083,875 | 9,666,077 | |||||||
Mid-State Trust XI, |
| |||||||||
Series 11, Class A1 |
| |||||||||
4.86% | 07/15/38 | 185,171 | 197,619 | |||||||
Morgan Stanley Mortgage Loan Trust, |
| |||||||||
Series 2004-11AR, Class 1A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.32%) |
| |||||||||
0.43% | 01/25/352 | 99,528 | 96,413 | |||||||
Morgan Stanley Mortgage Loan Trust, |
| |||||||||
Series 2004-7AR, Class 2A4 |
| |||||||||
2.17% | 09/25/344 | 573,061 | 570,617 | |||||||
Morgan Stanley Mortgage Loan Trust, |
| |||||||||
Series 2005-2AR, Class A |
| |||||||||
(LIBOR USD 1-Month plus 0.26%) |
| |||||||||
0.37% | 04/25/352 | 1,848,099 | 1,800,265 | |||||||
Morgan Stanley Mortgage Loan Trust, |
| |||||||||
Series 2006-7, Class 5A2 |
| |||||||||
5.96% | 06/25/364 | 730,478 | 292,739 | |||||||
Morgan Stanley Mortgage Loan Trust, |
| |||||||||
Series 2007-6XS, Class 1A2S (STEP-reset date 05/25/21) |
| |||||||||
5.50% | 02/25/47 | 74,120 | 74,085 | |||||||
Morgan Stanley Mortgage Loan Trust, |
| |||||||||
Series 2007-7AX, Class 2A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.12%) |
| |||||||||
0.23% | 04/25/372 | 4,997,564 | 2,063,867 | |||||||
Morgan Stanley Resecuritization Trust, |
| |||||||||
Series 2013-R7, Class 2B |
| |||||||||
(LIBOR USD 1-Month plus 0.24%) |
| |||||||||
0.60% | 12/26/461,2 | 4,057,517 | 4,069,430 | |||||||
Morgan Stanley Resecuritization Trust, |
| |||||||||
Series 2014-R2, Class 1A |
| |||||||||
(Federal Reserve US 12-Month Cumulative Average plus |
| |||||||||
0.82%) |
| |||||||||
1.20% | 12/26/461,2 | 1,091,764 | 1,097,745 | |||||||
Morgan Stanley Resecuritization Trust, |
| |||||||||
Series 2014-R4, Class 2A |
| |||||||||
3.09% | 08/26/341,4 | 227,992 | 229,651 | |||||||
Morgan Stanley Resecuritization Trust, |
| |||||||||
Series 2014-R8, Class 3A |
| |||||||||
(Federal Reserve US 12-Month Cumulative Average plus |
| |||||||||
0.75%) |
| |||||||||
1.13% | 06/26/471,2 | 7,551,105 | 7,494,017 |
See accompanying Notes to Financial Statements.
167 / Annual Report March 2021 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
Non-Agency Mortgage-Backed (continued) |
| |||||||||
Morgan Stanley Resecuritization Trust, |
| |||||||||
Series 2014-R8, Class 4A |
| |||||||||
(Federal Reserve US 12-Month Cumulative Average plus |
| |||||||||
0.96%) |
| |||||||||
1.34% | 06/26/471,2 | $ | 1,266,376 | $ | 1,268,531 | |||||
Morgan Stanley Resecuritization Trust, |
| |||||||||
Series 2015-R4, Class 2A |
| |||||||||
(LIBOR USD 1-Month plus 0.40%) |
| |||||||||
0.92% | 08/26/471,2 | 3,532,267 | 3,492,021 | |||||||
MortgageIT Trust, |
| |||||||||
Series 2005-1, Class 1A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.64%) |
| |||||||||
0.75% | 02/25/352 | 3,682,348 | 3,796,575 | |||||||
MortgageIT Trust, |
| |||||||||
Series 2005-4, Class A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.56%) |
| |||||||||
0.67% | 10/25/352 | 4,207,650 | 4,168,853 | |||||||
MortgageIT Trust, |
| |||||||||
Series 2005-5, Class A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.52%) |
| |||||||||
0.63% | 12/25/352 | 729,765 | 732,972 | |||||||
Nationstar Home Equity Loan Trust, |
| |||||||||
Series 2006-B, Class AV4 |
| |||||||||
(LIBOR USD 1-Month plus 0.28%) |
| |||||||||
0.39% | 09/25/362 | 4,837,721 | 4,781,502 | |||||||
Nationstar Home Equity Loan Trust, |
| |||||||||
Series 2007-A, Class AV4 |
| |||||||||
(LIBOR USD 1-Month plus 0.23%) |
| |||||||||
0.34% | 03/25/372 | 115,547 | 114,698 | |||||||
Nationstar Home Equity Loan Trust, |
| |||||||||
Series 2007-C, Class 2AV4 |
| |||||||||
(LIBOR USD 1-Month plus 0.25%) |
| |||||||||
0.36% | 06/25/372 | 7,837,868 | 7,657,320 | |||||||
New Century Home Equity Loan Trust, |
| |||||||||
Series 2003-6, Class M1 |
| |||||||||
(LIBOR USD 1-Month plus 1.08%) |
| |||||||||
1.19% | 01/25/342 | 114,082 | 113,456 | |||||||
New Century Home Equity Loan Trust, |
| |||||||||
Series 2005-1, Class M1 |
| |||||||||
(LIBOR USD 1-Month plus 0.68%) |
| |||||||||
0.78% | 03/25/352 | 423,472 | 421,498 | |||||||
New Century Home Equity Loan Trust, |
| |||||||||
Series 2005-D, Class A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.22%) |
| |||||||||
0.33% | 02/25/362 | 203,242 | 201,710 | |||||||
New Century Home Equity Loan Trust, |
| |||||||||
Series 2005-D, Class A2D |
| |||||||||
(LIBOR USD 1-Month plus 0.33%) |
| |||||||||
0.44% | 02/25/362 | 65,989 | 62,839 | |||||||
Nomura Home Equity Loan, Inc., Home Equity Loan Trust, |
| |||||||||
Series 2006-HE2, Class A4 |
| |||||||||
(LIBOR USD 1-Month plus 0.27%) |
| |||||||||
0.38% | 03/25/362 | 14,343,705 | 14,285,048 |
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
Non-Agency Mortgage-Backed (continued) |
| |||||||||
Nomura Resecuritization Trust, |
| |||||||||
Series 2013-1R, Class 2A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.14%) |
| |||||||||
0.31% | 11/26/361,2 | $ | 542,368 | $ | 546,038 | |||||
Nomura Resecuritization Trust, |
| |||||||||
Series 2014-6R, Class 2A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.16%) |
| |||||||||
1.13% | 03/26/371,2 | 285,288 | 287,635 | |||||||
NRPL, |
| |||||||||
Series 2019-3A, Class A1 (STEP-reset date 05/25/21) |
| |||||||||
3.00% | 07/25/591 | 63,818,745 | 63,663,806 | |||||||
Oakwood Mortgage Investors, Inc., |
| |||||||||
Series 2000-A, Class A5 |
| |||||||||
8.16% | 09/15/294 | 21,095,033 | 9,150,645 | |||||||
Option One Mortgage Loan Trust, |
| |||||||||
Series 2006-1, Class 1A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.44%) |
| |||||||||
0.55% | 01/25/362 | 9,318,664 | 8,920,573 | |||||||
Ownit Mortgage Loan Trust, |
| |||||||||
Series 2006-4, Class A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.28%) |
| |||||||||
0.39% | 05/25/372 | 15,742,756 | 14,699,180 | |||||||
Ownit Mortgage Loan Trust, |
| |||||||||
Series 2006-4, Class A2D |
| |||||||||
(LIBOR USD 1-Month plus 0.48%) |
| |||||||||
0.59% | 05/25/372 | 18,761,807 | 17,134,279 | |||||||
Popular ABS Mortgage Pass-Through Trust, |
| |||||||||
Series 2005-6, Class A5 (STEP-reset date 05/25/21) |
| |||||||||
3.48% | 01/25/36 | 22,910,000 | 20,882,465 | |||||||
Popular ABS Mortgage Pass-Through Trust, |
| |||||||||
Series 2006-D, Class A3 |
| |||||||||
(LIBOR USD 1-Month plus 0.26%) |
| |||||||||
0.37% | 11/25/362 | 46,422 | 45,996 | |||||||
Popular ABS Mortgage Pass-Through Trust, |
| |||||||||
Series 2007-A, Class A3 |
| |||||||||
(LIBOR USD 1-Month plus 0.31%) |
| |||||||||
0.42% | 06/25/472 | 23,015,500 | 21,464,847 | |||||||
Popular ABS, Inc., |
| |||||||||
Series 1998-1, Class A2 (STEP-reset date 05/25/21) |
| |||||||||
7.48% | 11/25/29 | 47,252 | 47,305 | |||||||
Residential Accredit Loans Trust, |
| |||||||||
Series 2005-QA12, Class CB1 |
| |||||||||
3.53% | 12/25/354 | 4,049,947 | 2,447,573 | |||||||
Residential Accredit Loans Trust, |
| |||||||||
Series 2005-QA4, Class A41 |
| |||||||||
3.46% | 04/25/354 | 315,821 | 273,542 | |||||||
Residential Accredit Loans Trust, |
| |||||||||
Series 2005-QA7, Class A1 |
| |||||||||
3.33% | 07/25/354 | 3,002,932 | 2,594,659 | |||||||
Residential Accredit Loans Trust, |
| |||||||||
Series 2005-QO5, Class A1 |
| |||||||||
(Federal Reserve US 12-Month Cumulative Average plus 1.00%) |
| |||||||||
1.26% | 01/25/462 | 4,710,511 | 4,462,502 |
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 168 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
Non-Agency Mortgage-Backed (continued) |
| |||||||||
Residential Accredit Loans Trust, |
| |||||||||
Series 2006-QA1, Class A11 |
| |||||||||
3.81% | 01/25/364 | $ | 113,505 | $ | 95,309 | |||||
Residential Accredit Loans Trust, |
| |||||||||
Series 2006-QA1, Class A21 |
| |||||||||
4.25% | 01/25/364 | 11,121,371 | 9,334,604 | |||||||
Residential Accredit Loans Trust, |
| |||||||||
Series 2006-QA7, Class 2A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.37%) |
| |||||||||
0.48% | 08/25/362 | 20,270,031 | 19,037,877 | |||||||
Residential Accredit Loans Trust, |
| |||||||||
Series 2006-QS10, Class AV (IO) |
| |||||||||
0.56% | 08/25/364,5,6 | 20,480,547 | 412,835 | |||||||
Residential Accredit Loans Trust, |
| |||||||||
Series 2006-QS12, Class 2A9 |
| |||||||||
(LIBOR USD 1-Month plus 0.38%) |
| |||||||||
0.49% | 09/25/362 | 194,663 | 152,962 | |||||||
Residential Accredit Loans Trust, |
| |||||||||
Series 2006-QS2, Class 1AV (IO) |
| |||||||||
0.46% | 02/25/364,5,6 | 68,444,861 | 944,635 | |||||||
Residential Accredit Loans Trust, |
| |||||||||
Series 2006-QS7, Class AV (IO) |
| |||||||||
0.69% | 06/25/364,5,6 | 33,441,724 | 642,961 | |||||||
Residential Accredit Loans Trust, |
| |||||||||
Series 2006-QS8, Class AV (IO) |
| |||||||||
0.79% | 08/25/364,5,6 | 80,387,034 | 1,892,833 | |||||||
Residential Accredit Loans Trust, |
| |||||||||
Series 2007-QS10, Class AV (IO) |
| |||||||||
0.47% | 09/25/374,5,6 | 62,107,901 | 1,170,206 | |||||||
Residential Accredit Loans Trust, |
| |||||||||
Series 2007-QS4, Class 3AV (IO) |
| |||||||||
0.37% | 03/25/374,5,6 | 39,815,207 | 499,016 | |||||||
Residential Accredit Loans Trust, |
| |||||||||
Series 2007-QS5, Class AV (IO) |
| |||||||||
0.27% | 03/25/374,5,6 | 42,076,599 | 345,941 | |||||||
Residential Accredit Loans Trust, |
| |||||||||
Series 2007-QS6, Class AV (IO) |
| |||||||||
0.33% | 04/25/374,5,6 | 86,936,085 | 816,556 | |||||||
Residential Accredit Loans Trust, |
| |||||||||
Series 2007-QS7, Class 2AV (IO) |
| |||||||||
0.39% | 06/25/374,5,6 | 32,403,321 | 401,791 | |||||||
Residential Accredit Loans Trust, |
| |||||||||
Series 2007-QS8, Class AV (IO) |
| |||||||||
0.41% | 06/25/374,5,6 | 80,258,724 | 1,398,926 | |||||||
Residential Asset Mortgage Products Trust, |
| |||||||||
Series 2004-SL3, Class A4 |
| |||||||||
8.50% | 12/25/31 | 21,164 | 12,704 | |||||||
Residential Asset Mortgage Products Trust, |
| |||||||||
Series 2005-RZ3, Class M3 |
| |||||||||
(LIBOR USD 1-Month plus 0.55%) |
| |||||||||
0.93% | 09/25/352 | 418,356 | 418,275 | |||||||
Residential Asset Securities Corp., |
| |||||||||
Series 2006-KS3, Class M1 |
| |||||||||
(LIBOR USD 1-Month plus 0.33%) |
| |||||||||
0.60% | 04/25/362 | 764,963 | 762,292 |
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
Non-Agency Mortgage-Backed (continued) |
| |||||||||
Residential Asset Securitization Trust, |
| |||||||||
Series 2004-IP2, Class 1A1 |
| |||||||||
2.79% | 12/25/344 | $ | 211,470 | $ | 213,306 | |||||
Residential Asset Securitization Trust, |
| |||||||||
Series 2004-IP2, Class 2A1 |
| |||||||||
3.01% | 12/25/344 | 12,740 | 12,702 | |||||||
Residential Asset Securitization Trust, |
| |||||||||
Series 2004-IP2, Class 3A1 |
| |||||||||
2.78% | 12/25/344 | 325,630 | 342,829 | |||||||
Residential Asset Securitization Trust, |
| |||||||||
Series 2006-A7CB, Class 1A3 |
| |||||||||
6.25% | 07/25/36 | 1,985,727 | 1,981,803 | |||||||
Residential Funding Mortgage Securities Trust, |
| |||||||||
Series 2005-SA5, Class 1A |
| |||||||||
3.38% | 11/25/354 | 3,446,127 | 2,479,833 | |||||||
Residential Funding Mortgage Securities Trust, |
| |||||||||
Series 2006-SA3, Class 3A1 |
| |||||||||
4.30% | 09/25/364 | 505,377 | 480,765 | |||||||
Residential Funding Mortgage Securities Trust, |
| |||||||||
Series 2006-SA3, Class 4A1 |
| |||||||||
4.25% | 09/25/364 | 248,084 | 171,732 | |||||||
Residential Funding Mortgage Securities Trust, |
| |||||||||
Series 2006-SA4, Class 2A1 |
| |||||||||
4.70% | 11/25/364 | 68,615 | 67,048 | |||||||
Residential Funding Mortgage Securities Trust, |
| |||||||||
Series 2007-SA2, Class 2A2 |
| |||||||||
3.47% | 04/25/374 | 1,333,415 | 1,226,699 | |||||||
Saxon Asset Securities Trust, |
| |||||||||
Series 2001-2, Class AF6 (STEP-reset date 05/25/21) |
| |||||||||
6.81% | 06/25/16 | 304 | 675 | |||||||
Saxon Asset Securities Trust, |
| |||||||||
Series 2007-1, Class A2C |
| |||||||||
(LIBOR USD 1-Month plus 0.15%) |
| |||||||||
0.26% | 01/25/472 | 3,346,217 | 3,272,043 | |||||||
Saxon Asset Securities Trust, |
| |||||||||
Series 2007-2, Class A2C |
| |||||||||
(LIBOR USD 1-Month plus 0.24%) |
| |||||||||
0.35% | 05/25/472 | 198,988 | 169,061 | |||||||
Saxon Asset Securities Trust, |
| |||||||||
Series 2007-3, Class 2A3 |
| |||||||||
(LIBOR USD 1-Month plus 0.40%) |
| |||||||||
0.51% | 09/25/472 | 32,174,000 | 30,856,253 | |||||||
Securitized Asset-Backed Receivables LLC Trust, |
| |||||||||
Series 2006-CB1, Class AF2 (STEP-reset date 05/25/21) |
| |||||||||
3.07% | 01/25/36 | 6,631,125 | 5,423,553 | |||||||
Securitized Asset-Backed Receivables LLC Trust, |
| |||||||||
Series 2007-BR1, Class A2A |
| |||||||||
(LIBOR USD 1-Month plus 0.11%) |
| |||||||||
0.22% | 02/25/372 | 6,081,728 | 3,597,195 | |||||||
Securitized Asset-Backed Receivables LLC Trust, |
| |||||||||
Series 2007-BR1, Class A2B |
| |||||||||
(LIBOR USD 1-Month plus 0.27%) |
| |||||||||
0.38% | 02/25/372 | 30,106,455 | 18,183,673 |
See accompanying Notes to Financial Statements.
169 / Annual Report March 2021 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
Non-Agency Mortgage-Backed (continued) |
| |||||||||
Securitized Asset-Backed Receivables LLC Trust, |
| |||||||||
Series 2007-BR2, Class A2 |
| |||||||||
(LIBOR USD 1-Month plus 0.23%) |
| |||||||||
0.34% | 02/25/372 | $ | 40,758,515 | $ | 22,246,568 | |||||
Securitized Asset-Backed Receivables LLC Trust, |
| |||||||||
Series 2007-BR5, Class A2A |
| |||||||||
(LIBOR USD 1-Month plus 0.13%) |
| |||||||||
0.24% | 05/25/372 | 16,903,992 | 14,449,800 | |||||||
Securitized Asset-Backed Receivables LLC Trust, |
| |||||||||
Series 2007-BR5, Class A2C |
| |||||||||
(LIBOR USD 1-Month plus 0.35%) |
| |||||||||
0.46% | 05/25/372 | 12,748,845 | 11,080,101 | |||||||
Securitized Asset-Backed Receivables LLC Trust, |
| |||||||||
Series 2007-NC1, Class A2B |
| |||||||||
(LIBOR USD 1-Month plus 0.15%) |
| |||||||||
0.26% | 12/25/362 | 31,862,422 | 22,612,752 | |||||||
Securitized Asset-Backed Receivables LLC Trust, |
| |||||||||
Series 2007-NC2, Class A2B |
| |||||||||
(LIBOR USD 1-Month plus 0.14%) |
| |||||||||
0.25% | 01/25/372 | 16,822,858 | 14,784,175 | |||||||
Sequoia Mortgage Trust, |
| |||||||||
Series 2003-2, Class A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.66%) |
| |||||||||
0.77% | 06/20/332 | 42,672 | 42,510 | |||||||
Sequoia Mortgage Trust, |
| |||||||||
Series 2003-8, Class A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.64%) |
| |||||||||
0.75% | 01/20/342 | 1,223 | 1,206 | |||||||
Sequoia Mortgage Trust, |
| |||||||||
Series 2004-3, Class A |
| |||||||||
(LIBOR USD 6-Month plus 0.50%) |
| |||||||||
0.76% | 05/20/342 | 243,666 | 243,666 | |||||||
Sequoia Mortgage Trust, |
| |||||||||
Series 2004-4, Class A |
| |||||||||
(LIBOR USD 6-Month plus 0.52%) |
| |||||||||
0.78% | 05/20/342 | 97,779 | 95,173 | |||||||
Sequoia Mortgage Trust, |
| |||||||||
Series 2013-1, Class 1A1 |
| |||||||||
1.45% | 02/25/434 | 72,659 | 71,065 | |||||||
SG Mortgage Securities Trust, |
| |||||||||
Series 2007-NC1, Class A2 |
| |||||||||
(LIBOR USD 1-Month plus 0.24%) |
| |||||||||
0.35% | 12/25/361,2 | 13,872,898 | 10,525,610 | |||||||
Soundview Home Loan Trust, |
| |||||||||
Series 2005-OPT1, Class M2 |
| |||||||||
(LIBOR USD 1-Month plus 0.68%) |
| |||||||||
0.78% | 06/25/352 | 16,353,485 | 16,317,742 | |||||||
Structured Adjustable Rate Mortgage Loan Trust, |
| |||||||||
Series 2004-1, Class 3A3 |
| |||||||||
2.46% | 02/25/344 | 19,190 | 19,058 | |||||||
Structured Adjustable Rate Mortgage Loan Trust, |
| |||||||||
Series 2004-12, Class 2A |
| |||||||||
2.71% | 09/25/344 | 4,383,461 | 4,465,629 | |||||||
Structured Adjustable Rate Mortgage Loan Trust, |
| |||||||||
Series 2004-14, Class 1A |
| |||||||||
2.69% | 10/25/344 | 101,855 | 101,855 |
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
Non-Agency Mortgage-Backed (continued) |
| |||||||||
Structured Adjustable Rate Mortgage Loan Trust, |
| |||||||||
Series 2004-14, Class 2A |
| |||||||||
2.50% | 10/25/344 | $ | 4,980,836 | $ | 5,038,262 | |||||
Structured Adjustable Rate Mortgage Loan Trust, |
| |||||||||
Series 2004-15, Class A |
| |||||||||
2.75% | 10/25/344 | 1,746,071 | 1,666,722 | |||||||
Structured Adjustable Rate Mortgage Loan Trust, |
| |||||||||
Series 2004-17, Class A1 |
| |||||||||
1.30% | 11/25/344 | 29,630 | 28,327 | |||||||
Structured Adjustable Rate Mortgage Loan Trust, |
| |||||||||
Series 2004-20, Class 1A2 |
| |||||||||
2.66% | 01/25/354 | 461,685 | 469,625 | |||||||
Structured Adjustable Rate Mortgage Loan Trust, |
| |||||||||
Series 2005-12, Class 3A1 |
| |||||||||
2.76% | 06/25/354 | 1,431,876 | 1,369,498 | |||||||
Structured Adjustable Rate Mortgage Loan Trust, |
| |||||||||
Series 2005-18, Class 7A3 |
| |||||||||
2.96% | 09/25/354 | 12,573,153 | 9,783,633 | |||||||
Structured Adjustable Rate Mortgage Loan Trust, |
| |||||||||
Series 2006-12, Class 1A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.32%) |
| |||||||||
0.43% | 01/25/372 | 23,271,821 | 23,082,074 | |||||||
Structured Adjustable Rate Mortgage Loan Trust, |
| |||||||||
Series 2007-9, Class 2A1 |
| |||||||||
3.18% | 10/25/474 | 612,455 | 518,940 | |||||||
Structured Asset Mortgage Investments II Trust, |
| |||||||||
Series 2005-AR8, Class A1A |
| |||||||||
(LIBOR USD 1-Month plus 0.56%) |
| |||||||||
0.67% | 02/25/362 | 510,926 | 490,944 | |||||||
Structured Asset Mortgage Investments II Trust, |
| |||||||||
Series 2005-AR8, Class A3 |
| |||||||||
(Federal Reserve US 12-Month Cumulative Average plus |
| |||||||||
2.00%) |
| |||||||||
2.50% | 02/25/362 | 16,481,497 | 16,366,341 | |||||||
Structured Asset Mortgage Investments II Trust, |
| |||||||||
Series 2006-AR7, Class A1A |
| |||||||||
(-1.00 X LIBOR USD 1-Month plus 0.42%, 10.50% Cap) |
| |||||||||
0.32% | 08/25/362 | 19,127,215 | 18,307,537 | |||||||
Structured Asset Mortgage Investments II Trust, |
| |||||||||
Series 2006-AR8, Class A1BG |
| |||||||||
(LIBOR USD 1-Month plus 0.12%) |
| |||||||||
0.23% | 10/25/362 | 17,930,670 | 17,083,686 | |||||||
Structured Asset Mortgage Investments II Trust, |
| |||||||||
Series 2007-AR6, Class A1 |
| |||||||||
(Federal Reserve US 12-Month Cumulative Average plus |
| |||||||||
1.50%) |
| |||||||||
1.76% | 08/25/472 | 116,278,166 | 114,011,474 | |||||||
Structured Asset Securities Corp. Mortgage Pass-Through |
| |||||||||
Certificates, |
| |||||||||
Series 1997-2, Class 2A4 |
| |||||||||
7.25% | 03/28/30 | 668 | 691 | |||||||
Structured Asset Securities Corp. Mortgage Pass-Through |
| |||||||||
Certificates, |
| |||||||||
Series 2003-26A, Class 3A5 |
| |||||||||
2.40% | 09/25/334 | 119,620 | 122,916 |
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 170 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
Non-Agency Mortgage-Backed (continued) |
| |||||||||
Structured Asset Securities Corp. Mortgage Pass-Through Certificates, |
| |||||||||
Series 2003-34A, Class 5A4 |
| |||||||||
2.44% | 11/25/334 | $ | 987,201 | $ | 1,006,378 | |||||
Structured Asset Securities Corp. Mortgage Pass-Through Certificates, |
| |||||||||
Series 2004-23XS, Class 2A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.45%) |
| |||||||||
0.56% | 01/25/352 | 268,575 | 268,039 | |||||||
Structured Asset Securities Corp. Trust, |
| |||||||||
Series 2005-5, Class 2A4 |
| |||||||||
5.50% | 04/25/35 | 1,378,474 | 1,372,043 | |||||||
SunTrust Adjustable Rate Mortgage Loan Trust, |
| |||||||||
Series 2007-3, Class 1A1 |
| |||||||||
3.79% | 06/25/374 | 1,882,892 | 1,568,172 | |||||||
Thornburg Mortgage Securities Trust, |
| |||||||||
Series 2004-4, Class 2A |
| |||||||||
2.07% | 12/25/444 | 87,675 | 88,870 | |||||||
Wachovia Mortgage Loan Trust, |
| |||||||||
Series 2006-ALT1, Class A3 |
| |||||||||
(LIBOR USD 1-Month plus 0.46%) |
| |||||||||
0.57% | 01/25/372 | 13,233,573 | 7,213,155 | |||||||
Wachovia Mortgage Loan Trust, |
| |||||||||
Series 2006-AMN1, Class A3 |
| |||||||||
(LIBOR USD 1-Month plus 0.48%) |
| |||||||||
0.59% | 08/25/362 | 15,959,519 | 8,059,265 | |||||||
WaMu Asset-Backed Certificates, |
| |||||||||
Series 2007-HE1, Class 2A2 |
| |||||||||
(LIBOR USD 1-Month plus 0.11%) |
| |||||||||
0.22% | 01/25/372 | 3,529,827 | 2,233,469 | |||||||
WaMu Asset-Backed Certificates, |
| |||||||||
Series 2007-HE1, Class 2A3 |
| |||||||||
(LIBOR USD 1-Month plus 0.15%) |
| |||||||||
0.26% | 01/25/372 | 43,424,317 | 25,240,540 | |||||||
WaMu Asset-Backed Certificates, |
| |||||||||
Series 2007-HE1, Class 2A4 |
| |||||||||
(LIBOR USD 1-Month plus 0.23%) |
| |||||||||
0.34% | 01/25/372 | 10,937,990 | 6,447,337 | |||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||
Series 2003-AR6, Class A1 |
| |||||||||
3.07% | 06/25/334 | 2,285,234 | 2,374,620 | |||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||
Series 2004-AR3, Class A2 |
| |||||||||
3.54% | 06/25/344 | 22,081 | 22,739 | |||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||
Series 2004-AR6, Class A |
| |||||||||
(LIBOR USD 1-Month plus 0.84%) |
| |||||||||
0.95% | 05/25/442 | 564,322 | 570,344 | |||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||
Series 2005-3, Class 2A3 |
| |||||||||
(LIBOR USD 1-Month plus 0.55%) |
| |||||||||
0.66% | 05/25/352 | 2,025,016 | 1,698,306 | |||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||
Series 2005-4, Class CB13 |
| |||||||||
(LIBOR USD 1-Month plus 0.50%) |
| |||||||||
0.61% | 06/25/352 | 4,007,608 | 3,292,100 |
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
Non-Agency Mortgage-Backed (continued) |
| |||||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||
Series 2005-AR1, Class A1A |
| |||||||||
(LIBOR USD 1-Month plus 0.32%) |
| |||||||||
0.75% | 01/25/452 | $ | 497,982 | $ | 495,596 | |||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||
Series 2005-AR11, Class A1A |
| |||||||||
(LIBOR USD 1-Month plus 0.32%) |
| |||||||||
0.75% | 08/25/452 | 25,027,571 | 24,879,796 | |||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||
Series 2005-AR12, Class 1A6 |
| |||||||||
2.91% | 10/25/354 | 838,356 | 835,870 | |||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||
Series 2005-AR13, Class A1A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.58%) |
| |||||||||
0.69% | 10/25/452 | 3,912,220 | 3,912,661 | |||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||
Series 2005-AR14, Class 2A1 |
| |||||||||
3.08% | 12/25/354 | 3,172,628 | 3,220,515 | |||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||
Series 2005-AR15, Class A1A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.26%) |
| |||||||||
0.63% | 11/25/452 | 20,803,351 | 20,217,466 | |||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||
Series 2005-AR17, Class A1A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.54%) |
| |||||||||
0.65% | 12/25/452 | 10,285,806 | 9,950,096 | |||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||
Series 2005-AR19, Class A1A2 |
| |||||||||
(LIBOR USD 1-Month plus 0.58%) |
| |||||||||
0.69% | 12/25/452 | 10,749,860 | 10,613,954 | |||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||
Series 2005-AR2, Class 1A1A |
| |||||||||
(LIBOR USD 1-Month plus 0.66%) |
| |||||||||
0.77% | 01/25/452 | 11,737,841 | 11,709,266 | |||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||
Series 2005-AR2, Class 2A1A |
| |||||||||
(LIBOR USD 1-Month plus 0.62%) |
| |||||||||
0.73% | 01/25/452 | 813,264 | 811,533 | |||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||
Series 2005-AR2, Class 2A21 |
| |||||||||
(LIBOR USD 1-Month plus 0.66%) |
| |||||||||
0.77% | 01/25/452 | 69,163 | 68,981 | |||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||
Series 2005-AR2, Class 2A23 |
| |||||||||
(LIBOR USD 1-Month plus 0.76%) |
| |||||||||
0.87% | 01/25/452 | 2,887,895 | 2,888,025 | |||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||
Series 2005-AR6, Class 2A1A |
| |||||||||
(LIBOR USD 1-Month plus 0.23%) |
| |||||||||
0.57% | 04/25/452 | 102,694 | 101,376 | |||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||
Series 2005-AR8, Class 1A1A |
| |||||||||
(LIBOR USD 1-Month plus 0.27%) |
| |||||||||
0.65% | 07/25/452 | 118,148 | 115,853 |
See accompanying Notes to Financial Statements.
171 / Annual Report March 2021 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
Non-Agency Mortgage-Backed (continued) |
| |||||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||
Series 2006-AR1, Class 2A1A |
| |||||||||
(Federal Reserve US 12-Month Cumulative Average plus 1.07%) |
| |||||||||
1.33% | 01/25/462 | $ | 20,560,589 | $ | 20,632,931 | |||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||
Series 2006-AR10, Class 1A4 |
| |||||||||
3.01% | 09/25/364 | 9,957,940 | 9,799,796 | |||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||
Series 2006-AR16, Class 3A1 |
| |||||||||
3.17% | 12/25/364 | 535,938 | 518,030 | |||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||
Series 2006-AR3, Class A1A |
| |||||||||
(Federal Reserve US 12-Month Cumulative Average plus 1.00%) |
| |||||||||
1.26% | 02/25/462 | 12,411,671 | 12,086,123 | |||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||
Series 2006-AR4, Class 1A1A |
| |||||||||
(Federal Reserve US 12-Month Cumulative Average plus 0.94%) |
| |||||||||
1.32% | 05/25/462 | 4,035,810 | 4,040,596 | |||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||
Series 2006-AR7, Class 2A |
| |||||||||
(Federal Reserve US 12-Month Cumulative Average plus 0.98%) |
| |||||||||
1.24% | 07/25/462 | 8,682,119 | 8,183,428 | |||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||
Series 2007-1, Class 2A1 |
| |||||||||
6.00% | 01/25/22 | 76,801 | 78,179 | |||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||
Series 2007-HY7, Class 4A2 |
| |||||||||
3.32% | 07/25/374 | 214,973 | 215,240 | |||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||
Series 2007-OA1, Class A1A |
| |||||||||
(Federal Reserve US 12-Month Cumulative Average plus 0.70%) |
| |||||||||
0.96% | 02/25/472 | 10,349,175 | 9,655,618 | |||||||
WaMu MSC Mortgage Pass-Through Certificates, |
| |||||||||
Series 2002-AR1, Class 1A1 |
| |||||||||
3.16% | 11/25/304 | 220,721 | 225,601 | |||||||
Wells Fargo Alternative Loan Trust, |
| |||||||||
Series 2007-PA5, Class 1A1 |
| |||||||||
6.25% | 11/25/37 | 122,455 | 119,816 | |||||||
Wells Fargo Mortgage-Backed Securities Trust, |
| |||||||||
Series 2006-AR1, Class 1A1 |
| |||||||||
2.66% | 03/25/364 | 1,811,569 | 1,781,536 | |||||||
|
| |||||||||
5,289,603,019 | ||||||||||
|
| |||||||||
U.S. Agency Commercial Mortgage-Backed — 0.21% |
| |||||||||
BX Commercial Mortgage Trust, |
| |||||||||
Series 2020-VIV4, Class A |
| |||||||||
2.84% | 03/09/441 | 180,165,000 | 183,168,983 | |||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, |
| |||||||||
Series K154, Class A2 |
| |||||||||
3.42% | 04/25/32 | 750,000 | 842,572 |
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
U.S. Agency Commercial Mortgage-Backed (continued) |
| |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, |
| |||||||||
Series K155, Class A3 |
| |||||||||
3.75% | 04/25/33 | $ | 125,000 | $ | 144,048 | |||||
Freddie Mac Multifamily Structured Pass-Through Certificates, |
| |||||||||
Series K157, Class A3 |
| |||||||||
3.99% | 08/25/334 | 300,000 | 352,064 | |||||||
|
| |||||||||
184,507,667 | ||||||||||
|
| |||||||||
U.S. Agency Mortgage-Backed — 35.57% |
| |||||||||
Fannie Mae Pool 190375 |
| |||||||||
5.50% | 11/01/36 | 553,091 | 647,021 | |||||||
Fannie Mae Pool 190396 |
| |||||||||
4.50% | 06/01/39 | 7,983 | 8,999 | |||||||
Fannie Mae Pool 254232 |
| |||||||||
6.50% | 03/01/22 | 1,574 | 1,598 | |||||||
Fannie Mae Pool 313182 |
| |||||||||
7.50% | 10/01/26 | 827 | 907 | |||||||
Fannie Mae Pool 394854 |
| |||||||||
6.50% | 05/01/27 | 538 | 605 | |||||||
Fannie Mae Pool 468128 |
| |||||||||
4.33% | 07/01/21 | 1,834,578 | 1,833,942 | |||||||
Fannie Mae Pool 468587 |
| |||||||||
3.84% | 08/01/21 | 555,699 | 555,518 | |||||||
Fannie Mae Pool 545191 |
| |||||||||
7.00% | 09/01/31 | 2,182 | 2,487 | |||||||
Fannie Mae Pool 545756 |
| |||||||||
7.00% | 06/01/32 | 508 | 601 | |||||||
Fannie Mae Pool 606108 |
| |||||||||
7.00% | 03/01/31 | 2,244 | 2,268 | |||||||
Fannie Mae Pool 613142 |
| |||||||||
7.00% | 11/01/31 | 7,821 | 9,170 | |||||||
Fannie Mae Pool 625666 |
| |||||||||
7.00% | 01/01/32 | 6,886 | 7,847 | |||||||
Fannie Mae Pool 633698 |
| |||||||||
7.50% | 02/01/31 | 26,405 | 31,481 | |||||||
Fannie Mae Pool 655928 |
| |||||||||
7.00% | 08/01/32 | 110,363 | 133,042 | |||||||
Fannie Mae Pool 725257 |
| |||||||||
5.50% | 02/01/34 | 760,085 | 887,915 | |||||||
Fannie Mae Pool 734830 |
| |||||||||
4.50% | 08/01/33 | 8,778 | 9,751 | |||||||
Fannie Mae Pool 734922 |
| |||||||||
4.50% | 09/01/33 | 1,362,839 | 1,520,715 | |||||||
Fannie Mae Pool 735207 |
| |||||||||
7.00% | 04/01/34 | 14,215 | 16,650 | |||||||
Fannie Mae Pool 735224 |
| |||||||||
5.50% | 02/01/35 | 2,632,257 | 3,094,772 | |||||||
Fannie Mae Pool 735651 |
| |||||||||
4.50% | 06/01/35 | 3,094,652 | 3,499,235 | |||||||
Fannie Mae Pool 735686 |
| |||||||||
6.50% | 12/01/22 | 176 | 180 | |||||||
Fannie Mae Pool 740297 |
| |||||||||
5.50% | 10/01/33 | 1,449 | 1,692 |
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 172 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
U.S. Agency Mortgage-Backed (continued) |
| |||||||||
Fannie Mae Pool 745147 |
| |||||||||
4.50% | 12/01/35 | $ | 18,734 | $ | 20,864 | |||||
Fannie Mae Pool 753168 |
| |||||||||
4.50% | 12/01/33 | 6,109 | 6,797 | |||||||
Fannie Mae Pool 815422 |
| |||||||||
4.50% | 02/01/35 | 30,752 | 34,272 | |||||||
Fannie Mae Pool 817611 |
| |||||||||
(LIBOR USD 6-Month plus 1.58%) |
| |||||||||
1.95% | 11/01/352 | 169,268 | 171,409 | |||||||
Fannie Mae Pool 839109 |
| |||||||||
(LIBOR USD 12-Month plus 1.91%) |
| |||||||||
2.29% | 11/01/352 | 3,690 | 3,689 | |||||||
Fannie Mae Pool 844773 | ||||||||||
(LIBOR USD 12-Month plus 1.59%) |
| |||||||||
1.99% | 12/01/352 | 4,698 | 4,726 | |||||||
Fannie Mae Pool 888412 | ||||||||||
7.00% | 04/01/37 | 193,892 | 222,673 | |||||||
Fannie Mae Pool 889184 |
| |||||||||
5.50% | 09/01/36 | 2,585,933 | 3,021,839 | |||||||
Fannie Mae Pool AB1613 |
| |||||||||
4.00% | 10/01/40 | 23,417,801 | 25,974,816 | |||||||
Fannie Mae Pool AB1803 |
| |||||||||
4.00% | 11/01/40 | 29,237,613 | 32,419,617 | |||||||
Fannie Mae Pool AB2127 |
| |||||||||
3.50% | 01/01/26 | 9,850,742 | 10,516,241 | |||||||
Fannie Mae Pool AB3679 |
| |||||||||
3.50% | 10/01/41 | 9,887,009 | 10,750,830 | |||||||
Fannie Mae Pool AB3864 |
| |||||||||
3.50% | 11/01/41 | 7,588,571 | 8,260,149 | |||||||
Fannie Mae Pool AB4045 |
| |||||||||
3.50% | 12/01/41 | 9,367,544 | 10,205,578 | |||||||
Fannie Mae Pool AB4262 |
| |||||||||
3.50% | 01/01/32 | 5,176,991 | 5,533,268 | |||||||
Fannie Mae Pool AB6385 |
| |||||||||
3.00% | 10/01/42 | 323,092 | 342,688 | |||||||
Fannie Mae Pool AB9703 |
| |||||||||
3.50% | 06/01/43 | 19,847,414 | 21,514,223 | |||||||
Fannie Mae Pool AC8279 |
| |||||||||
4.50% | 08/01/39 | 11,708 | 13,034 | |||||||
Fannie Mae Pool AE0138 |
| |||||||||
4.50% | 03/01/40 | 49,400 | 55,670 | |||||||
Fannie Mae Pool AE0482 |
| |||||||||
5.50% | 01/01/38 | 6,367,128 | 7,259,551 | |||||||
Fannie Mae Pool AH3780 |
| |||||||||
4.00% | 02/01/41 | 11,719,735 | 13,061,572 | |||||||
Fannie Mae Pool AJ1404 |
| |||||||||
4.00% | 09/01/41 | 16,554,424 | 18,332,968 | |||||||
Fannie Mae Pool AL0209 |
| |||||||||
4.50% | 05/01/41 | 17,527,546 | 19,871,145 | |||||||
Fannie Mae Pool AL0290 |
| |||||||||
4.61% | 04/01/214 | 444,058 | 443,925 | |||||||
Fannie Mae Pool AL0834 |
| |||||||||
4.08% | 10/01/214 | 14,223,208 | 14,297,916 | |||||||
Fannie Mae Pool AL0851 |
| |||||||||
6.00% | 10/01/40 | 10,667,068 | 12,403,254 |
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
U.S. Agency Mortgage-Backed (continued) |
| |||||||||
Fannie Mae Pool AL1445 |
| |||||||||
3.88% | 11/01/214 | $ | 1,723,401 | $ | 1,733,723 | |||||
Fannie Mae Pool AL2521 |
| |||||||||
3.50% | 09/01/42 | 122,108 | 132,591 | |||||||
Fannie Mae Pool AL4597 |
| |||||||||
4.00% | 01/01/44 | 44,618,550 | 49,708,692 | |||||||
Fannie Mae Pool AL6348 |
| |||||||||
3.50% | 02/01/45 | 43,109 | 47,113 | |||||||
Fannie Mae Pool AL7092 |
| |||||||||
3.00% | 07/01/45 | 61,691 | 65,582 | |||||||
Fannie Mae Pool AL8037 |
| |||||||||
4.50% | 07/01/34 | 171,166 | 188,652 | |||||||
Fannie Mae Pool AL8256 |
| |||||||||
3.00% | 08/01/43 | 521,624 | 558,870 | |||||||
Fannie Mae Pool AL8356 |
| |||||||||
4.50% | 07/01/34 | 428,119 | 471,778 | |||||||
Fannie Mae Pool AL8960 |
| |||||||||
4.50% | 05/01/46 | 33,126,803 | 36,990,304 | |||||||
Fannie Mae Pool AL9106 |
| |||||||||
4.50% | 02/01/46 | 44,279,426 | 49,443,631 | |||||||
Fannie Mae Pool AL9217 |
| |||||||||
3.50% | 10/01/46 | 27,404,344 | 29,556,178 | |||||||
Fannie Mae Pool AL9472 |
| |||||||||
4.00% | 10/01/43 | 6,833,479 | 7,509,345 | |||||||
Fannie Mae Pool AL9722 |
| |||||||||
4.50% | 08/01/46 | 139,567,107 | 155,844,489 | |||||||
Fannie Mae Pool AL9846 |
| |||||||||
4.50% | 02/01/47 | 144,337,742 | 161,171,512 | |||||||
Fannie Mae Pool AM4869 |
| |||||||||
4.07% | 12/01/25 | 1,750,218 | 1,965,536 | |||||||
Fannie Mae Pool AM6770 |
| |||||||||
3.77% | 09/01/29 | 161,398 | 180,622 | |||||||
Fannie Mae Pool AN4429 |
| |||||||||
3.22% | 01/01/27 | 23,130,000 | 25,366,235 | |||||||
Fannie Mae Pool AN7981 |
| |||||||||
2.95% | 01/01/28 | 100,000 | 108,287 | |||||||
Fannie Mae Pool AN9814 |
| |||||||||
3.63% | 08/01/28 | 130,662,172 | 147,211,823 | |||||||
Fannie Mae Pool AS8605 |
| |||||||||
3.00% | 01/01/32 | 190,724 | 203,572 | |||||||
Fannie Mae Pool AS8663 |
| |||||||||
4.50% | 01/01/47 | 26,501,301 | 29,133,795 | |||||||
Fannie Mae Pool AS9830 |
| |||||||||
4.00% | 06/01/47 | 57,464,139 | 61,974,647 | |||||||
Fannie Mae Pool AS9972 |
| |||||||||
4.00% | 07/01/47 | 57,782,251 | 62,611,929 | |||||||
Fannie Mae Pool AT9649 |
| |||||||||
4.00% | 07/01/43 | 182,739 | 203,721 | |||||||
Fannie Mae Pool AU3739 |
| |||||||||
3.50% | 08/01/43 | 31,368,758 | 34,306,003 | |||||||
Fannie Mae Pool BD2450 |
| |||||||||
3.50% | 01/01/47 | 87,211 | 92,982 | |||||||
Fannie Mae Pool BL6060 |
| |||||||||
2.46% | 04/01/40 | 126,370,000 | 124,292,700 | |||||||
Fannie Mae Pool BM4299 |
| |||||||||
3.00% | 03/01/30 | 40,903,214 | 43,181,131 |
See accompanying Notes to Financial Statements.
173 / Annual Report March 2021 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
U.S. Agency Mortgage-Backed (continued) |
| |||||||||
Fannie Mae Pool BM4304 |
| |||||||||
3.00% | 02/01/30 | $ | 55,886,295 | $ | 59,029,554 | |||||
Fannie Mae Pool BM5164 |
| |||||||||
4.00% | 11/01/48 | 56,784,434 | 61,448,872 | |||||||
Fannie Mae Pool BM5507 |
| |||||||||
3.00% | 09/01/48 | 9,693,867 | 10,196,797 | |||||||
Fannie Mae Pool BN4316 |
| |||||||||
4.00% | 01/01/49 | 32,714 | 35,347 | |||||||
Fannie Mae Pool CA0862 |
| |||||||||
3.50% | 09/01/47 | 4,653,033 | 4,933,237 | |||||||
Fannie Mae Pool CA0996 |
| |||||||||
3.50% | 01/01/48 | 53,987 | 58,065 | |||||||
Fannie Mae Pool CA1187 |
| |||||||||
3.50% | 02/01/48 | 85,674,868 | 90,871,718 | |||||||
Fannie Mae Pool CA1191 |
| |||||||||
3.50% | 11/01/47 | 5,525,731 | 5,855,034 | |||||||
Fannie Mae Pool CA1710 |
| |||||||||
4.50% | 05/01/48 | 179,686 | 195,899 | |||||||
Fannie Mae Pool CA1711 |
| |||||||||
4.50% | 05/01/48 | 18,525,590 | 20,215,300 | |||||||
Fannie Mae Pool CA2208 |
| |||||||||
4.50% | 08/01/48 | 44,773,374 | 48,831,275 | |||||||
Fannie Mae Pool CA2327 |
| |||||||||
4.00% | 09/01/48 | 41,140,993 | 45,145,436 | |||||||
Fannie Mae Pool CA2493 |
| |||||||||
4.50% | 10/01/48 | 12,245,363 | 13,319,398 | |||||||
Fannie Mae Pool CA3633 |
| |||||||||
3.50% | 06/01/49 | 31,362,474 | 33,858,758 | |||||||
Fannie Mae Pool CA4011 |
| |||||||||
3.50% | 08/01/49 | 56,914,619 | 59,354,881 | |||||||
Fannie Mae Pool FM2310 |
| |||||||||
3.00% | 01/01/48 | 15,266,281 | 15,954,416 | |||||||
Fannie Mae Pool FM2318 |
| |||||||||
3.50% | 09/01/49 | 280,695,921 | 301,897,474 | |||||||
Fannie Mae Pool FM2388 |
| |||||||||
3.50% | 04/01/48 | 24,262,243 | 26,284,369 | |||||||
Fannie Mae Pool MA1146 |
| |||||||||
4.00% | 08/01/42 | 34,309,339 | 37,842,693 | |||||||
Fannie Mae Pool MA1177 |
| |||||||||
3.50% | 09/01/42 | 43,420,033 | 47,129,080 | |||||||
Fannie Mae Pool MA1404 |
| |||||||||
3.50% | 04/01/43 | 87,504 | 95,608 | |||||||
Fannie Mae Pool MA1432 |
| |||||||||
3.00% | 05/01/33 | 64,934 | 68,744 | |||||||
Fannie Mae Pool MA1459 |
| |||||||||
3.00% | 06/01/33 | 31,214 | 33,046 | |||||||
Fannie Mae Pool MA1527 |
| |||||||||
3.00% | 08/01/33 | 44,520,124 | 47,132,390 | |||||||
Fannie Mae Pool MA1561 |
| |||||||||
3.00% | 09/01/33 | 27,847,485 | 29,481,466 | |||||||
Fannie Mae Pool MA1582 |
| |||||||||
3.50% | 09/01/43 | 14,464,586 | 15,804,238 | |||||||
Fannie Mae Pool MA1584 |
| |||||||||
3.50% | 09/01/33 | 43,065,782 | 46,551,417 | |||||||
Fannie Mae Pool MA1608 |
| |||||||||
3.50% | 10/01/33 | 30,409,500 | 32,870,915 |
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
U.S. Agency Mortgage-Backed (continued) |
| |||||||||
Fannie Mae Pool MA1982 |
| |||||||||
3.50% | 08/01/34 | $ | 66,465 | $ | 71,163 | |||||
Fannie Mae Pool MA2895 |
| |||||||||
3.00% | 02/01/47 | 67,644 | 71,153 | |||||||
Fannie Mae Pool MA2960 |
| |||||||||
4.00% | 04/01/47 | 44,879,729 | 48,402,454 | |||||||
Fannie Mae Pool MA3027 |
| |||||||||
4.00% | 06/01/47 | 32,196,633 | 34,723,829 | |||||||
Fannie Mae Pool MA3029 |
| |||||||||
3.00% | 06/01/32 | 34,160,991 | 36,189,843 | |||||||
Fannie Mae Pool MA3060 |
| |||||||||
3.00% | 07/01/32 | 15,036 | 15,917 | |||||||
Fannie Mae Pool MA3120 |
| |||||||||
3.50% | 09/01/47 | 2,372,000 | 2,516,323 | |||||||
Fannie Mae Pool MA3182 |
| |||||||||
3.50% | 11/01/47 | 51,153,194 | 54,294,063 | |||||||
Fannie Mae Pool MA3210 |
| |||||||||
3.50% | 12/01/47 | 88,874,696 | 94,318,671 | |||||||
Fannie Mae Pool MA3238 |
| |||||||||
3.50% | 01/01/48 | 75,154,020 | 79,609,308 | |||||||
Fannie Mae Pool MA3276 |
| |||||||||
3.50% | 02/01/48 | 30,660,940 | 32,520,766 | |||||||
Fannie Mae Pool MA3305 |
| |||||||||
3.50% | 03/01/48 | 40,297,642 | 42,750,153 | |||||||
Fannie Mae Pool MA3332 |
| |||||||||
3.50% | 04/01/48 | 113,426,944 | 120,286,277 | |||||||
Fannie Mae Pool MA3364 |
| |||||||||
3.50% | 05/01/33 | 14,411,297 | 15,421,160 | |||||||
Fannie Mae Pool MA3537 |
| |||||||||
4.50% | 12/01/48 | 28,691,046 | 31,256,660 | |||||||
Fannie Mae Pool MA3811 |
| |||||||||
3.00% | 10/01/49 | 15,298,297 | 15,658,586 | |||||||
Fannie Mae Pool MA3846 |
| |||||||||
3.00% | 11/01/49 | 92,101 | 94,346 | |||||||
Fannie Mae Pool MA3942 |
| |||||||||
3.00% | 02/01/50 | 31,700,384 | 32,409,888 | |||||||
Fannie Mae Pool MA3997 |
| |||||||||
3.00% | 04/01/50 | 38,971,364 | 40,014,939 | |||||||
Fannie Mae Pool MA4093 |
| |||||||||
2.00% | 08/01/40 | 224,327,732 | 226,620,956 | |||||||
Fannie Mae Pool MA4128 |
| |||||||||
2.00% | 09/01/40 | 183,371,542 | 185,585,449 | |||||||
Fannie Mae Pool MA4152 |
| |||||||||
2.00% | 10/01/40 | 217,833,655 | 220,463,635 | |||||||
Fannie Mae Pool MA4176 |
| |||||||||
2.00% | 11/01/40 | 53,901,300 | 54,651,823 | |||||||
Fannie Mae REMICS, |
| |||||||||
Series 1991-65, Class Z |
| |||||||||
6.50% | 06/25/21 | 2 | 2 | |||||||
Fannie Mae REMICS, | ||||||||||
Series 1992-123, Class Z |
| |||||||||
7.50% | 07/25/22 | 179 | 184 | |||||||
Fannie Mae REMICS, | ||||||||||
Series 1993-132, Class D (PO) |
| |||||||||
0.00% | 10/25/229 | 6,256 | 6,251 |
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 174 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
U.S. Agency Mortgage-Backed (continued) |
| |||||||||||
Fannie Mae REMICS, |
| |||||||||||
Series 1993-29, Class PK |
| |||||||||||
7.00% | 03/25/23 | $ | 541 | $ | 560 | |||||||
Fannie Mae REMICS, |
| |||||||||||
Series 1994-55, Class H |
| |||||||||||
7.00% | 03/25/24 | 4,129 | 4,435 | |||||||||
Fannie Mae REMICS, |
| |||||||||||
Series 1997-34, Class SA |
| |||||||||||
(Cost of Funds for the 11th District of San Francisco plus 0.00%) |
| |||||||||||
2.53% | 10/25/232 | 1,082 | 1,202 | |||||||||
Fannie Mae REMICS, |
| |||||||||||
Series 1998-37, Class VZ |
| |||||||||||
6.00% | 06/17/28 | 2,632 | 2,779 | |||||||||
Fannie Mae REMICS, |
| |||||||||||
Series 1999-11, Class Z |
| |||||||||||
5.50% | 03/25/29 | 23,545 | 24,933 | |||||||||
Fannie Mae REMICS, |
| |||||||||||
Series 2001-52, Class YZ |
| |||||||||||
6.50% | 10/25/31 | 92,233 | 106,438 | |||||||||
Fannie Mae REMICS, |
| |||||||||||
Series 2005-117, Class LC |
| |||||||||||
5.50% | 11/25/35 | 2,743,674 | 2,853,900 | |||||||||
Fannie Mae REMICS, |
| |||||||||||
Series 2005-122, Class SG (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap) |
| |||||||||||
6.49% | 11/25/352 | 41,508 | 4,975 | |||||||||
Fannie Mae REMICS, | ||||||||||||
Series 2005-92, Class US (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 6.10%, 6.10% Cap) |
| |||||||||||
5.99% | 10/25/252 | 2,524,926 | 179,880 | |||||||||
Fannie Mae REMICS, |
| |||||||||||
Series 2006-4, Class WE |
| |||||||||||
4.50% | 02/25/36 | 45,321 | 49,809 | |||||||||
Fannie Mae REMICS, |
| |||||||||||
Series 2006-49, Class SE |
| |||||||||||
(-4.00 X LIBOR USD 1-Month plus 29.00%, 29.00% Cap) |
| |||||||||||
28.57% | 04/25/362 | 1,423,635 | 2,274,432 | |||||||||
Fannie Mae REMICS, |
| |||||||||||
Series 2007-17, Class SI (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 6.40%, 6.40% Cap) |
| |||||||||||
6.29% | 03/25/372 | 1,211,699 | 166,892 | |||||||||
Fannie Mae REMICS, |
| |||||||||||
Series 2007-34, Class SB (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 6.11%, 6.11% Cap) |
| |||||||||||
6.00% | 04/25/372 | 2,422,499 | 462,585 | |||||||||
Fannie Mae REMICS, |
| |||||||||||
Series 2007-64, Class FA |
| |||||||||||
(LIBOR USD 1-Month plus 0.47%) |
| |||||||||||
0.58% | 07/25/372 | 3,661 | 3,708 | |||||||||
Fannie Mae REMICS, |
| |||||||||||
Series 2008-24, Class NA |
| |||||||||||
6.75% | 06/25/37 | 267,468 | 304,369 |
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
U.S. Agency Mortgage-Backed (continued) |
| |||||||||
Fannie Mae REMICS, |
| |||||||||
Series 2010-116, Class SE (IO) |
| |||||||||
(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap) |
| |||||||||
6.49% | 10/25/402 | $ | 3,223,701 | $ | 488,461 | |||||
Fannie Mae REMICS, |
| |||||||||
Series 2010-135, Class EA |
| |||||||||
3.00% | 01/25/40 | 3,029 | 3,055 | |||||||
Fannie Mae REMICS, |
| |||||||||
Series 2010-17, Class SB (IO) |
| |||||||||
(-1.00 X LIBOR USD 1-Month plus 6.35%, 6.35% Cap) |
| |||||||||
6.24% | 03/25/402 | 6,422,011 | 1,152,797 | |||||||
Fannie Mae REMICS, |
| |||||||||
Series 2010-43, Class KS (IO) |
| |||||||||
(-1.00 X LIBOR USD 1-Month plus 6.42%, 6.42% Cap) |
| |||||||||
6.31% | 05/25/402 | 11,304,261 | 2,302,651 | |||||||
Fannie Mae REMICS, |
| |||||||||
Series 2011-101, Class HE |
| |||||||||
4.00% | 10/25/41 | 10,100,000 | 11,165,045 | |||||||
Fannie Mae REMICS, |
| |||||||||
Series 2011-111, Class DB |
| |||||||||
4.00% | 11/25/41 | 14,369,417 | 15,789,872 | |||||||
Fannie Mae REMICS, |
| |||||||||
Series 2012-84, Class VZ |
| |||||||||
3.50% | 08/25/42 | 10,085,386 | 10,913,341 | |||||||
Fannie Mae REMICS, |
| |||||||||
Series 2013-101, Class BO (PO) |
| |||||||||
0.00% | 10/25/439 | 15,527,977 | 13,694,988 | |||||||
Fannie Mae REMICS, |
| |||||||||
Series 2013-101, Class CO (PO) |
| |||||||||
0.00% | 10/25/439 | 9,307,580 | 8,110,087 | |||||||
Fannie Mae REMICS, |
| |||||||||
Series 2016-45, Class AF |
| |||||||||
(LIBOR USD 1-Month plus 0.50%) |
| |||||||||
0.61% | 07/25/462 | 10,825,223 | 10,942,076 | |||||||
Fannie Mae REMICS, |
| |||||||||
Series 2016-72, Class FA |
| |||||||||
(LIBOR USD 1-Month plus 0.50%) |
| |||||||||
0.61% | 10/25/462 | 24,165,369 | 24,430,925 | |||||||
Fannie Mae REMICS, |
| |||||||||
Series 2016-74, Class GF |
| |||||||||
(LIBOR USD 1-Month plus 0.50%) |
| |||||||||
0.61% | 10/25/462 | 17,452,376 | 17,614,727 | |||||||
Fannie Mae REMICS, |
| |||||||||
Series 2016-75, Class FL |
| |||||||||
(LIBOR USD 1-Month plus 0.50%) |
| |||||||||
0.61% | 10/25/462 | 16,971,714 | 17,129,179 | |||||||
Fannie Mae REMICS, |
| |||||||||
Series 2018-29, Class AP |
| |||||||||
3.50% | 11/25/46 | 101,021,793 | 103,651,673 | |||||||
Fannie Mae REMICS, |
| |||||||||
Series 2018-38, Class LA |
| |||||||||
3.00% | 06/25/48 | 32,096,090 | 33,553,618 | |||||||
Fannie Mae REMICS, |
| |||||||||
Series 2018-38, Class PA |
| |||||||||
3.50% | 06/25/47 | 56,243 | 58,887 |
See accompanying Notes to Financial Statements.
175 / Annual Report March 2021 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
U.S. Agency Mortgage-Backed (continued) |
| |||||||||
Fannie Mae REMICS, |
| |||||||||
Series 2018-45, Class GA |
| |||||||||
3.00% | 06/25/48 | $ | 36,888,933 | $ | 38,949,768 | |||||
Fannie Mae REMICS, |
| |||||||||
Series 2018-55, Class PA |
| |||||||||
3.50% | 01/25/47 | 31,512,699 | 32,695,095 | |||||||
Fannie Mae REMICS, |
| |||||||||
Series 2018-57, Class QA |
| |||||||||
3.50% | 05/25/46 | 113,935 | 117,845 | |||||||
Fannie Mae REMICS, |
| |||||||||
Series 2018-86, Class JA |
| |||||||||
4.00% | 05/25/47 | 2,604,468 | 2,716,154 | |||||||
Fannie Mae REMICS, |
| |||||||||
Series 2018-94, Class KD |
| |||||||||
3.50% | 12/25/48 | 10,836,494 | 11,319,729 | |||||||
Fannie Mae REMICS, |
| |||||||||
Series 2019-1, Class AB |
| |||||||||
3.50% | 02/25/49 | 2,796,485 | 2,968,778 | |||||||
Fannie Mae REMICS, |
| |||||||||
Series 2019-1, Class KP |
| |||||||||
3.25% | 02/25/49 | 4,179,708 | 4,349,532 | |||||||
Fannie Mae REMICS, |
| |||||||||
Series 2019-26, Class JE |
| |||||||||
3.00% | 06/25/49 | 11,624,129 | 11,996,144 | |||||||
Fannie Mae REMICS, |
| |||||||||
Series 2019-45, Class PA |
| |||||||||
3.00% | 08/25/49 | 40,872,859 | 43,264,710 | |||||||
Fannie Mae REMICS, |
| |||||||||
Series 2019-52, Class PA |
| |||||||||
3.00% | 09/25/49 | 13,294,248 | 13,688,120 | |||||||
Fannie Mae REMICS, |
| |||||||||
Series 2019-67, Class FE |
| |||||||||
(LIBOR USD 1-Month plus 0.45%) |
| |||||||||
0.56% | 11/25/492 | 47,034,545 | 47,418,199 | |||||||
Fannie Mae REMICS, |
| |||||||||
Series 2019-79, Class FA |
| |||||||||
(LIBOR USD 1-Month plus 0.50%) |
| |||||||||
0.61% | 01/25/502 | 136,570 | 138,169 | |||||||
Fannie Mae REMICS, |
| |||||||||
Series G92-36, Class Z |
| |||||||||
7.00% | 07/25/22 | 3 | 3 | |||||||
Fannie Mae REMICS, |
| |||||||||
Series G93-21, Class Z |
| |||||||||
7.20% | 05/25/23 | 808 | 846 | |||||||
Fannie Mae Trust, |
| |||||||||
Series 2003-W2, Class 2A9 |
| |||||||||
5.90% | 07/25/42 | 22,450 | 25,928 | |||||||
Freddie Mac Gold Pool A24156 |
| |||||||||
6.50% | 10/01/31 | 101,021 | 113,555 | |||||||
Freddie Mac Gold Pool A25162 |
| |||||||||
5.50% | 05/01/34 | 1,447,827 | 1,667,343 | |||||||
Freddie Mac Gold Pool A39012 |
| |||||||||
5.50% | 06/01/35 | 32,028 | 37,033 | |||||||
Freddie Mac Gold Pool A54856 |
| |||||||||
5.00% | 01/01/34 | 2,589,787 | 2,959,165 |
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
U.S. Agency Mortgage-Backed (continued) |
| |||||||||
Freddie Mac Gold Pool A61164 |
| |||||||||
5.00% | 04/01/36 | $ | 8,574 | $ | 9,702 | |||||
Freddie Mac Gold Pool A97038 |
| |||||||||
4.00% | 02/01/41 | 9,261,453 | 10,178,011 | |||||||
Freddie Mac Gold Pool C01492 |
| |||||||||
5.00% | 02/01/33 | 405,659 | 457,961 | |||||||
Freddie Mac Gold Pool C04546 |
| |||||||||
3.00% | 02/01/43 | 15,419,410 | 16,407,499 | |||||||
Freddie Mac Gold Pool C04573 |
| |||||||||
3.00% | 03/01/43 | 19,106,050 | 20,355,369 | |||||||
Freddie Mac Gold Pool C46104 |
| |||||||||
6.50% | 09/01/29 | 9,953 | 11,188 | |||||||
Freddie Mac Gold Pool C55789 |
| |||||||||
7.50% | 10/01/27 | 4,542 | 4,977 | |||||||
Freddie Mac Gold Pool C90573 |
| |||||||||
6.50% | 08/01/22 | 10,950 | 11,336 | |||||||
Freddie Mac Gold Pool E02402 |
| |||||||||
6.00% | 10/01/22 | 2,458 | 2,515 | |||||||
Freddie Mac Gold Pool G00992 |
| |||||||||
7.00% | 11/01/28 | 512 | 585 | |||||||
Freddie Mac Gold Pool G01515 |
| |||||||||
5.00% | 02/01/33 | 449,803 | 507,197 | |||||||
Freddie Mac Gold Pool G02579 |
| |||||||||
5.00% | 12/01/34 | 682,098 | 793,320 | |||||||
Freddie Mac Gold Pool G02884 |
| |||||||||
6.00% | 04/01/37 | 1,835,172 | 2,127,314 | |||||||
Freddie Mac Gold Pool G02955 |
| |||||||||
5.50% | 03/01/37 | 2,722,031 | 3,124,862 | |||||||
Freddie Mac Gold Pool G03357 |
| |||||||||
5.50% | 08/01/37 | 1,074,339 | 1,244,332 | |||||||
Freddie Mac Gold Pool G03676 |
| |||||||||
5.50% | 12/01/37 | 1,753,327 | 2,018,425 | |||||||
Freddie Mac Gold Pool G03783 |
| |||||||||
5.50% | 01/01/38 | 1,222,279 | 1,406,105 | |||||||
Freddie Mac Gold Pool G03985 |
| |||||||||
6.00% | 03/01/38 | 18,121 | 21,509 | |||||||
Freddie Mac Gold Pool G04438 |
| |||||||||
5.50% | 05/01/38 | 3,959,680 | 4,556,350 | |||||||
Freddie Mac Gold Pool G04703 |
| |||||||||
5.50% | 08/01/38 | 3,075,178 | 3,536,241 | |||||||
Freddie Mac Gold Pool G04706 |
| |||||||||
5.50% | 09/01/38 | 130,699 | 150,631 | |||||||
Freddie Mac Gold Pool G05866 |
| |||||||||
4.50% | 02/01/40 | 13,225,842 | 15,032,837 | |||||||
Freddie Mac Gold Pool G06361 |
| |||||||||
4.00% | 03/01/41 | 17,657 | 19,686 | |||||||
Freddie Mac Gold Pool G06498 |
| |||||||||
4.00% | 04/01/41 | 17,301,852 | 19,191,487 | |||||||
Freddie Mac Gold Pool G06499 |
| |||||||||
4.00% | 03/01/41 | 7,755,725 | 8,551,313 | |||||||
Freddie Mac Gold Pool G07408 |
| |||||||||
3.50% | 06/01/43 | 17,740,528 | 19,388,275 | |||||||
Freddie Mac Gold Pool G07786 |
| |||||||||
4.00% | 08/01/44 | 149,112,697 | 165,393,086 | |||||||
Freddie Mac Gold Pool G07848 |
| |||||||||
3.50% | 04/01/44 | 85,864,379 | 93,734,536 |
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 176 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
U.S. Agency Mortgage-Backed (continued) |
| |||||||||
Freddie Mac Gold Pool G07849 |
| |||||||||
3.50% | 05/01/44 | $ | 11,630,821 | $ | 12,623,732 | |||||
Freddie Mac Gold Pool G07924 |
| |||||||||
3.50% | 01/01/45 | 14,474,709 | 15,658,276 | |||||||
Freddie Mac Gold Pool G07925 |
| |||||||||
4.00% | 02/01/45 | 9,796,892 | 10,804,306 | |||||||
Freddie Mac Gold Pool G08676 |
| |||||||||
3.50% | 11/01/45 | 40,862,485 | 43,788,119 | |||||||
Freddie Mac Gold Pool G08681 |
| |||||||||
3.50% | 12/01/45 | 26,926,709 | 28,854,583 | |||||||
Freddie Mac Gold Pool G08698 |
| |||||||||
3.50% | 03/01/46 | 1,412 | 1,516 | |||||||
Freddie Mac Gold Pool G08710 |
| |||||||||
3.00% | 06/01/46 | 153,534,910 | 161,555,758 | |||||||
Freddie Mac Gold Pool G08711 |
| |||||||||
3.50% | 06/01/46 | 11,936,860 | 12,794,564 | |||||||
Freddie Mac Gold Pool G08715 |
| |||||||||
3.00% | 08/01/46 | 206,008,908 | 216,771,061 | |||||||
Freddie Mac Gold Pool G08721 |
| |||||||||
3.00% | 09/01/46 | 21,097,801 | 22,199,975 | |||||||
Freddie Mac Gold Pool G08722 |
| |||||||||
3.50% | 09/01/46 | 52,352,201 | 56,113,885 | |||||||
Freddie Mac Gold Pool G08726 |
| |||||||||
3.00% | 10/01/46 | 225,044,517 | 236,801,112 | |||||||
Freddie Mac Gold Pool G08727 |
| |||||||||
3.50% | 10/01/46 | 45,614,840 | 48,785,137 | |||||||
Freddie Mac Gold Pool G08732 |
| |||||||||
3.00% | 11/01/46 | 136,891,058 | 144,042,411 | |||||||
Freddie Mac Gold Pool G08741 |
| |||||||||
3.00% | 01/01/47 | 84,037,306 | 88,427,516 | |||||||
Freddie Mac Gold Pool G08742 |
| |||||||||
3.50% | 01/01/47 | 70,673,284 | 75,685,144 | |||||||
Freddie Mac Gold Pool G08747 |
| |||||||||
3.00% | 02/01/47 | 28,719,430 | 30,219,768 | |||||||
Freddie Mac Gold Pool G08757 |
| |||||||||
3.50% | 04/01/47 | 27,756,461 | 29,690,140 | |||||||
Freddie Mac Gold Pool G08758 |
| |||||||||
4.00% | 04/01/47 | 21,752 | 23,549 | |||||||
Freddie Mac Gold Pool G08762 |
| |||||||||
4.00% | 05/01/47 | 22,362,709 | 24,121,368 | |||||||
Freddie Mac Gold Pool G08779 |
| |||||||||
3.50% | 09/01/47 | 110,471 | 117,305 | |||||||
Freddie Mac Gold Pool G08784 |
| |||||||||
3.50% | 10/01/47 | 96,027 | 101,880 | |||||||
Freddie Mac Gold Pool G08792 |
| |||||||||
3.50% | 12/01/47 | 82,036 | 87,078 | |||||||
Freddie Mac Gold Pool G08826 |
| |||||||||
5.00% | 06/01/48 | 20,310,767 | 22,488,253 | |||||||
Freddie Mac Gold Pool G08833 |
| |||||||||
5.00% | 07/01/48 | 12,465,727 | 13,802,645 | |||||||
Freddie Mac Gold Pool G08838 |
| |||||||||
5.00% | 09/01/48 | 5,945,371 | 6,612,643 | |||||||
Freddie Mac Gold Pool G08840 |
| |||||||||
5.00% | 08/01/48 | 1,979,780 | 2,193,463 | |||||||
Freddie Mac Gold Pool G08843 |
| |||||||||
4.50% | 10/01/48 | 13,918,343 | 15,171,108 |
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
U.S. Agency Mortgage-Backed (continued) |
| |||||||||
Freddie Mac Gold Pool G08844 |
| |||||||||
5.00% | 10/01/48 | $ | 16,549,313 | $ | 18,323,539 | |||||
Freddie Mac Gold Pool G08848 |
| |||||||||
4.50% | 11/01/48 | 2,573,966 | 2,806,356 | |||||||
Freddie Mac Gold Pool G08849 |
| |||||||||
5.00% | 11/01/48 | 6,448,486 | 7,155,190 | |||||||
Freddie Mac Gold Pool G12393 |
| |||||||||
5.50% | 10/01/21 | 5,113 | 5,124 | |||||||
Freddie Mac Gold Pool G12399 |
| |||||||||
6.00% | 09/01/21 | 31 | 31 | |||||||
Freddie Mac Gold Pool G12824 |
| |||||||||
6.00% | 08/01/22 | 187,393 | 192,157 | |||||||
Freddie Mac Gold Pool G12909 |
| |||||||||
6.00% | 11/01/22 | 587,491 | 605,858 | |||||||
Freddie Mac Gold Pool G13032 |
| |||||||||
6.00% | 09/01/22 | 21,859 | 22,103 | |||||||
Freddie Mac Gold Pool G16085 |
| |||||||||
2.50% | 02/01/32 | 3,914,025 | 4,113,446 | |||||||
Freddie Mac Gold Pool G16502 |
| |||||||||
3.50% | 05/01/33 | 92,239 | 98,969 | |||||||
Freddie Mac Gold Pool G16524 |
| |||||||||
3.50% | 05/01/33 | 31,710,960 | 34,202,594 | |||||||
Freddie Mac Gold Pool G16584 |
| |||||||||
3.50% | 08/01/33 | 5,504,063 | 5,875,205 | |||||||
Freddie Mac Gold Pool G16607 |
| |||||||||
3.50% | 09/01/33 | 54,411,776 | 58,655,801 | |||||||
Freddie Mac Gold Pool G16623 |
| |||||||||
2.50% | 09/01/32 | 33,709,405 | 35,101,045 | |||||||
Freddie Mac Gold Pool G16755 |
| |||||||||
3.50% | 02/01/34 | 51,867,167 | 55,630,963 | |||||||
Freddie Mac Gold Pool G16756 |
| |||||||||
3.50% | 01/01/34 | 4,840,495 | 5,217,856 | |||||||
Freddie Mac Gold Pool G18592 |
| |||||||||
3.00% | 03/01/31 | 32,823 | 34,789 | |||||||
Freddie Mac Gold Pool G18596 |
| |||||||||
3.00% | 04/01/31 | 38,020,992 | 40,301,509 | |||||||
Freddie Mac Gold Pool G18691 |
| |||||||||
3.00% | 06/01/33 | 14,643,589 | 15,475,453 | |||||||
Freddie Mac Gold Pool G18692 |
| |||||||||
3.50% | 06/01/33 | 21,281,730 | 22,716,770 | |||||||
Freddie Mac Gold Pool G18713 |
| |||||||||
3.50% | 11/01/33 | 25,765,504 | 27,501,881 | |||||||
Freddie Mac Gold Pool G18716 |
| |||||||||
3.50% | 12/01/33 | 78,283 | 83,559 | |||||||
Freddie Mac Gold Pool G60023 |
| |||||||||
3.50% | 04/01/45 | 14,710,493 | 16,022,051 | |||||||
Freddie Mac Gold Pool G60080 |
| |||||||||
3.50% | 06/01/45 | 155,170,973 | 168,061,233 | |||||||
Freddie Mac Gold Pool G60138 |
| |||||||||
3.50% | 08/01/45 | 118,013,392 | 128,535,230 | |||||||
Freddie Mac Gold Pool G60238 |
| |||||||||
3.50% | 10/01/45 | 47,989,873 | 52,086,084 | |||||||
Freddie Mac Gold Pool G60344 |
| |||||||||
4.00% | 12/01/45 | 118,944 | 130,784 | |||||||
Freddie Mac Gold Pool G67700 |
| |||||||||
3.50% | 08/01/46 | 35,992,872 | 39,009,309 |
See accompanying Notes to Financial Statements.
177 / Annual Report March 2021 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
U.S. Agency Mortgage-Backed (continued) |
| |||||||||
Freddie Mac Gold Pool G67703 |
| |||||||||
3.50% | 04/01/47 | $ | 364,308,179 | $ | 394,611,879 | |||||
Freddie Mac Gold Pool G67706 |
| |||||||||
3.50% | 12/01/47 | 190,422,777 | 205,260,059 | |||||||
Freddie Mac Gold Pool G67707 |
| |||||||||
3.50% | 01/01/48 | 451,554,946 | 489,914,638 | |||||||
Freddie Mac Gold Pool G67708 |
| |||||||||
3.50% | 03/01/48 | 446,188,602 | 479,909,653 | |||||||
Freddie Mac Gold Pool G67709 |
| |||||||||
3.50% | 03/01/48 | 318,958,054 | 343,810,494 | |||||||
Freddie Mac Gold Pool G67710 |
| |||||||||
3.50% | 03/01/48 | 287,473,869 | 307,918,054 | |||||||
Freddie Mac Gold Pool G67711 |
| |||||||||
4.00% | 03/01/48 | 84,328,681 | 92,601,698 | |||||||
Freddie Mac Gold Pool G67713 |
| |||||||||
4.00% | 06/01/48 | 813,838 | 893,871 | |||||||
Freddie Mac Gold Pool G67714 |
| |||||||||
4.00% | 07/01/48 | 128,615 | 140,871 | |||||||
Freddie Mac Gold Pool G67717 |
| |||||||||
4.00% | 11/01/48 | 107,424,962 | 117,661,487 | |||||||
Freddie Mac Gold Pool H00790 |
| |||||||||
5.50% | 05/01/37 | 4,395 | 5,046 | |||||||
Freddie Mac Gold Pool H05069 |
| |||||||||
5.50% | 05/01/37 | 188,320 | 216,196 | |||||||
Freddie Mac Gold Pool Q05804 |
| |||||||||
4.00% | 01/01/42 | 30,801,823 | 34,255,870 | |||||||
Freddie Mac Gold Pool U99097 |
| |||||||||
3.50% | 07/01/43 | 46,119,433 | 50,209,241 | |||||||
Freddie Mac Gold Pool V62078 |
| |||||||||
3.50% | 08/01/33 | 5,710,677 | 6,146,918 | |||||||
Freddie Mac Gold Pool V62129 |
| |||||||||
3.50% | 08/01/33 | 12,378,417 | 13,284,962 | |||||||
Freddie Mac Gold Pool V80356 |
| |||||||||
3.50% | 08/01/43 | 31,278,765 | 34,060,380 | |||||||
Freddie Mac Pool RB5077 |
| |||||||||
2.00% | 10/01/40 | 130,606,250 | 132,183,113 | |||||||
Freddie Mac Pool RE6029 |
| |||||||||
3.00% | 02/01/50 | 10,641,398 | 10,879,569 | |||||||
Freddie Mac Pool SD7502 |
| |||||||||
3.50% | 07/01/49 | 13,884,847 | 14,850,063 | |||||||
Freddie Mac Pool SD7503 |
| |||||||||
3.50% | 08/01/49 | 29,078,102 | 31,256,258 | |||||||
Freddie Mac Pool SD7511 |
| |||||||||
3.50% | 01/01/50 | 28,893,055 | 31,093,466 | |||||||
Freddie Mac Pool ZA5103 |
| |||||||||
3.50% | 12/01/47 | 303,097 | 321,523 | |||||||
Freddie Mac Pool ZA5128 |
| |||||||||
3.50% | 12/01/47 | 771,018 | 816,966 | |||||||
Freddie Mac Pool ZM1779 |
| |||||||||
3.00% | 09/01/46 | 22,632,249 | 23,804,604 | |||||||
Freddie Mac Pool ZM2285 |
| |||||||||
3.00% | 12/01/46 | 25,362,401 | 26,676,177 | |||||||
Freddie Mac Pool ZS4693 |
| |||||||||
3.00% | 12/01/46 | 25,953,359 | 27,297,747 | |||||||
Freddie Mac Pool ZS4768 |
| |||||||||
3.50% | 05/01/48 | 2,229,856 | 2,361,350 |
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
U.S. Agency Mortgage-Backed (continued) |
| |||||||||
Freddie Mac Pool ZT0277 |
| |||||||||
3.50% | 10/01/46 | $ | 2,821,794 | $ | 3,031,403 | |||||
Freddie Mac Pool ZT1403 | ||||||||||
3.50% | 11/01/33 | 30,116,963 | 32,150,213 | |||||||
Freddie Mac REMICS, |
| |||||||||
Series 1073, Class G |
| |||||||||
7.00% | 05/15/21 | 5 | 5 | |||||||
Freddie Mac REMICS, |
| |||||||||
Series 1107, Class ZC |
| |||||||||
6.50% | 07/15/21 | 91 | 91 | |||||||
Freddie Mac REMICS, |
| |||||||||
Series 1980, Class Z |
| |||||||||
7.00% | 07/15/27 | 53,782 | 61,251 | |||||||
Freddie Mac REMICS, |
| |||||||||
Series 1983, Class Z |
| |||||||||
6.50% | 12/15/23 | 14,047 | 14,987 | |||||||
Freddie Mac REMICS, |
| |||||||||
Series 2098, Class TZ |
| |||||||||
6.00% | 01/15/28 | 220,802 | 244,912 | |||||||
Freddie Mac REMICS, |
| |||||||||
Series 2174, Class PN |
| |||||||||
6.00% | 07/15/29 | 12,023 | 13,552 | |||||||
Freddie Mac REMICS, |
| |||||||||
Series 2313, Class LA |
| |||||||||
6.50% | 05/15/31 | 5,868 | 6,737 | |||||||
Freddie Mac REMICS, |
| |||||||||
Series 2433, Class SA |
| |||||||||
(-2.60 X LIBOR USD 1-Month plus 20.93%, 20.93% Cap) |
| |||||||||
20.65% | 02/15/322 | 7,361 | 11,241 | |||||||
Freddie Mac REMICS, |
| |||||||||
Series 2481, Class AW |
| |||||||||
6.50% | 08/15/32 | 24,589 | 27,044 | |||||||
Freddie Mac REMICS, |
| |||||||||
Series 3019, Class SW (IO) |
| |||||||||
(-1.00 X LIBOR USD 1-Month plus 7.20%, 7.20% Cap) |
| |||||||||
7.09% | 08/15/352 | 1,033,189 | 236,355 | |||||||
Freddie Mac REMICS, |
| |||||||||
Series 3063, Class YG |
| |||||||||
5.50% | 11/15/35 | 2,725,024 | 3,146,897 | |||||||
Freddie Mac REMICS, |
| |||||||||
Series 3300, Class SA (IO) |
| |||||||||
(-1.00 X LIBOR USD 1-Month plus 7.20%, 7.20% Cap) |
| |||||||||
7.09% | 08/15/352 | 456,796 | 86,523 | |||||||
Freddie Mac REMICS, |
| |||||||||
Series 3707, Class EI (IO) |
| |||||||||
5.00% | 12/15/38 | 3,228,708 | 84,652 | |||||||
Freddie Mac REMICS, |
| |||||||||
Series 3730, Class JG |
| |||||||||
3.00% | 09/15/39 | 1,878 | 1,892 | |||||||
Freddie Mac REMICS, |
| |||||||||
Series 3752, Class XL |
| |||||||||
4.50% | 11/15/40 | 47,288,083 | 52,375,345 | |||||||
Freddie Mac REMICS, |
| |||||||||
Series 3891, Class HS (IO) |
| |||||||||
(-1.00 X LIBOR USD 1-Month plus 5.95%, 5.95% Cap) |
| |||||||||
5.84% | 07/15/412 | 5,347,081 | 559,061 |
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 178 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
U.S. Agency Mortgage-Backed (continued) |
| |||||||||
Freddie Mac REMICS, |
| |||||||||
Series 3904, Class JB |
| |||||||||
4.50% | 08/15/41 | $ | 11,408,744 | $ | 12,817,482 | |||||
Freddie Mac REMICS, |
| |||||||||
Series 3925, Class LB |
| |||||||||
4.50% | 09/15/41 | 9,215,000 | 10,726,490 | |||||||
Freddie Mac REMICS, |
| |||||||||
Series 3928, Class JD |
| |||||||||
4.00% | 09/15/41 | 32,095,702 | 35,135,287 | |||||||
Freddie Mac REMICS, |
| |||||||||
Series 4102, Class TC |
| |||||||||
2.50% | 09/15/41 | 11,181,427 | 11,628,496 | |||||||
Freddie Mac REMICS, |
| |||||||||
Series 4161, Class BA |
| |||||||||
2.50% | 12/15/41 | 17,557,349 | 18,359,163 | |||||||
Freddie Mac REMICS, |
| |||||||||
Series 4656, Class EZ |
| |||||||||
4.00% | 02/15/47 | 182,452 | 207,688 | |||||||
Freddie Mac REMICS, |
| |||||||||
Series 4818, Class CA |
| |||||||||
3.00% | 04/15/48 | 2,726,318 | 2,839,617 | |||||||
Freddie Mac REMICS, |
| |||||||||
Series 4846, Class PA |
| |||||||||
4.00% | 06/15/47 | 920,175 | 964,355 | |||||||
Freddie Mac REMICS, |
| |||||||||
Series 4852, Class CA |
| |||||||||
4.00% | 11/15/47 | 31,553,725 | 33,276,827 | |||||||
Freddie Mac REMICS, |
| |||||||||
Series 4860, Class BH |
| |||||||||
3.50% | 10/15/48 | 12,217,445 | 12,644,608 | |||||||
Freddie Mac REMICS, |
| |||||||||
Series 4860, Class PA |
| |||||||||
3.50% | 02/15/49 | 5,580,545 | 5,889,666 | |||||||
Freddie Mac REMICS, |
| |||||||||
Series 4879, Class BC |
| |||||||||
3.00% | 04/15/49 | 2,424,888 | 2,508,421 | |||||||
Freddie Mac REMICS, |
| |||||||||
Series 4896, Class DA |
| |||||||||
3.00% | 01/15/49 | 2,306,598 | 2,378,469 | |||||||
Freddie Mac REMICS, |
| |||||||||
Series 4937, Class MF |
| |||||||||
(LIBOR USD 1-Month plus 0.45%) |
| |||||||||
0.56% | 12/25/492 | 10,342,287 | 10,398,079 | |||||||
Freddie Mac Strips, |
| |||||||||
Series 309, Class PO (PO) |
| |||||||||
0.00% | 08/15/439 | 20,941,681 | 18,250,323 | |||||||
Freddie Mac Strips, |
| |||||||||
Series 319, Class F2 |
| |||||||||
(LIBOR USD 1-Month plus 0.50%) |
| |||||||||
0.61% | 11/15/432 | 3,580,673 | 3,619,071 | |||||||
Ginnie Mae (TBA) |
| |||||||||
2.00% | 05/20/51 | 1,727,625,000 | 1,740,952,850 | |||||||
2.50% | 05/20/51 | 901,450,000 | 928,145,495 | |||||||
2.50% | 06/20/51 | 291,400,000 | 299,505,693 | |||||||
Ginnie Mae I Pool 782817 |
| |||||||||
4.50% | 11/15/39 | 13,664,192 | 15,617,513 |
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
U.S. Agency Mortgage-Backed (continued) |
| |||||||||
Ginnie Mae I Pool AA5452 |
| |||||||||
3.50% | 07/15/42 | $ | 148,164 | $ | 158,329 | |||||
Ginnie Mae II Pool 2631 |
| |||||||||
7.00% | 08/20/28 | 1,339 | 1,511 | |||||||
Ginnie Mae II Pool 3388 |
| |||||||||
4.50% | 05/20/33 | 3,841 | 4,302 | |||||||
Ginnie Mae II Pool 3427 |
| |||||||||
4.50% | 08/20/33 | 1,297 | 1,454 | |||||||
Ginnie Mae II Pool 3554 |
| |||||||||
4.50% | 05/20/34 | 1,253 | 1,406 | |||||||
Ginnie Mae II Pool 4058 |
| |||||||||
5.00% | 12/20/37 | 693 | 798 | |||||||
Ginnie Mae II Pool 4342 |
| |||||||||
5.00% | 01/20/39 | 1,003 | 1,111 | |||||||
Ginnie Mae II Pool 4520 |
| |||||||||
5.00% | 08/20/39 | 19,759 | 21,884 | |||||||
Ginnie Mae II Pool 5140 |
| |||||||||
4.50% | 08/20/41 | 41,660 | 46,742 | |||||||
Ginnie Mae II Pool 5175 |
| |||||||||
4.50% | 09/20/41 | 44,865 | 50,339 | |||||||
Ginnie Mae II Pool 5281 |
| |||||||||
4.50% | 01/20/42 | 13,227 | 14,841 | |||||||
Ginnie Mae II Pool 783591 |
| |||||||||
4.50% | 07/20/41 | 16,409 | 18,411 | |||||||
Ginnie Mae II Pool 80968 |
| |||||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%) |
| |||||||||
2.25% | 07/20/342 | 10,305 | 10,702 | |||||||
Ginnie Mae II Pool 81267 |
| |||||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%) |
| |||||||||
3.00% | 03/20/352 | 15,779 | 15,969 | |||||||
Ginnie Mae II Pool 81432 |
| |||||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%) |
| |||||||||
2.25% | 08/20/352 | 19,181 | 20,095 | |||||||
Ginnie Mae II Pool 81497 |
| |||||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%) |
| |||||||||
2.13% | 10/20/352 | 15,054 | 15,778 | |||||||
Ginnie Mae II Pool 8631 |
| |||||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%) |
| |||||||||
2.88% | 05/20/252 | 2,619 | 2,683 | |||||||
Ginnie Mae II Pool 8644 |
| |||||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%) |
| |||||||||
2.88% | 06/20/252 | 3,542 | 3,591 | |||||||
Ginnie Mae II Pool MA0627 |
| |||||||||
4.50% | 12/20/42 | 54,843 | 61,541 | |||||||
Ginnie Mae II Pool MA0701 |
| |||||||||
4.50% | 01/20/43 | 55,239 | 61,868 | |||||||
Ginnie Mae II Pool MA1157 |
| |||||||||
3.50% | 07/20/43 | 50,749 | 54,906 | |||||||
Ginnie Mae II Pool MA1997 |
| |||||||||
4.50% | 06/20/44 | 13,615 | 15,275 |
See accompanying Notes to Financial Statements.
179 / Annual Report March 2021 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
U.S. Agency Mortgage-Backed (continued) |
| |||||||||
Ginnie Mae II Pool MA2374 |
| |||||||||
5.00% | 11/20/44 | $ | 334,523 | $ | 381,961 | |||||
Ginnie Mae II Pool MA2756 |
| |||||||||
4.50% | 04/20/45 | 30,096 | 33,760 | |||||||
Ginnie Mae II Pool MA2828 |
| |||||||||
4.50% | 05/20/45 | 1,324,986 | 1,486,026 | |||||||
Ginnie Mae II Pool MA2894 |
| |||||||||
4.50% | 06/20/45 | 497,900 | 558,442 | |||||||
Ginnie Mae II Pool MA3036 |
| |||||||||
4.50% | 08/20/45 | 50,845 | 56,926 | |||||||
Ginnie Mae II Pool MA3309 |
| |||||||||
3.00% | 12/20/45 | 10,425 | 11,032 | |||||||
Ginnie Mae II Pool MA3456 |
| |||||||||
4.50% | 02/20/46 | 341,724 | 382,557 | |||||||
Ginnie Mae II Pool MA3521 |
| |||||||||
3.50% | 03/20/46 | 41,734,982 | 44,869,237 | |||||||
Ginnie Mae II Pool MA3524 |
| |||||||||
5.00% | 03/20/46 | 14,527 | 16,670 | |||||||
Ginnie Mae II Pool MA3597 |
| |||||||||
3.50% | 04/20/46 | 105,632,556 | 113,565,456 | |||||||
Ginnie Mae II Pool MA3600 |
| |||||||||
5.00% | 04/20/46 | 9,152,652 | 10,526,984 | |||||||
Ginnie Mae II Pool MA3662 |
| |||||||||
3.00% | 05/20/46 | 4,073,471 | 4,298,607 | |||||||
Ginnie Mae II Pool MA3663 |
| |||||||||
3.50% | 05/20/46 | 30,619,148 | 32,870,773 | |||||||
Ginnie Mae II Pool MA3665 |
| |||||||||
4.50% | 05/20/46 | 140,751 | 156,321 | |||||||
Ginnie Mae II Pool MA3666 |
| |||||||||
5.00% | 05/20/46 | 4,822,610 | 5,533,775 | |||||||
Ginnie Mae II Pool MA3738 |
| |||||||||
4.50% | 06/20/46 | 580,868 | 645,123 | |||||||
Ginnie Mae II Pool MA3739 |
| |||||||||
5.00% | 06/20/46 | 2,913,534 | 3,350,986 | |||||||
Ginnie Mae II Pool MA3805 |
| |||||||||
4.50% | 07/20/46 | 5,136,834 | 5,692,228 | |||||||
Ginnie Mae II Pool MA3806 |
| |||||||||
5.00% | 07/20/46 | 223,862 | 256,873 | |||||||
Ginnie Mae II Pool MA3873 |
| |||||||||
3.00% | 08/20/46 | 31,584,426 | 33,330,056 | |||||||
Ginnie Mae II Pool MA3876 |
| |||||||||
4.50% | 08/20/46 | 5,030,235 | 5,586,679 | |||||||
Ginnie Mae II Pool MA3877 |
| |||||||||
5.00% | 08/20/46 | 1,051,921 | 1,201,749 | |||||||
Ginnie Mae II Pool MA3937 |
| |||||||||
3.50% | 09/20/46 | 24,801,639 | 26,625,464 | |||||||
Ginnie Mae II Pool MA3939 |
| |||||||||
4.50% | 09/20/46 | 2,664,479 | 2,974,599 | |||||||
Ginnie Mae II Pool MA4003 |
| |||||||||
3.00% | 10/20/46 | 12,666,505 | 13,366,566 | |||||||
Ginnie Mae II Pool MA4006 |
| |||||||||
4.50% | 10/20/46 | 3,025,863 | 3,375,713 | |||||||
Ginnie Mae II Pool MA4007 |
| |||||||||
5.00% | 10/20/46 | 6,326,728 | 7,276,528 | |||||||
Ginnie Mae II Pool MA4069 |
| |||||||||
3.50% | 11/20/46 | 77,157,310 | 82,638,295 |
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
U.S. Agency Mortgage-Backed (continued) |
| |||||||||
Ginnie Mae II Pool MA4071 |
| |||||||||
4.50% | 11/20/46 | $ | 8,785,001 | $ | 9,852,502 | |||||
Ginnie Mae II Pool MA4072 |
| |||||||||
5.00% | 11/20/46 | 1,596,994 | 1,832,436 | |||||||
Ginnie Mae II Pool MA4126 |
| |||||||||
3.00% | 12/20/46 | 210,725,835 | 222,372,374 | |||||||
Ginnie Mae II Pool MA4127 |
| |||||||||
3.50% | 12/20/46 | 82,650,225 | 88,280,089 | |||||||
Ginnie Mae II Pool MA4129 |
| |||||||||
4.50% | 12/20/46 | 27,940,500 | 31,181,684 | |||||||
Ginnie Mae II Pool MA4196 |
| |||||||||
3.50% | 01/20/47 | 20,086 | 21,513 | |||||||
Ginnie Mae II Pool MA4198 |
| |||||||||
4.50% | 01/20/47 | 233,436 | 257,653 | |||||||
Ginnie Mae II Pool MA4199 |
| |||||||||
5.00% | 01/20/47 | 5,104,465 | 5,857,007 | |||||||
Ginnie Mae II Pool MA4264 |
| |||||||||
4.50% | 02/20/47 | 70,161,785 | 77,440,705 | |||||||
Ginnie Mae II Pool MA4265 |
| |||||||||
5.00% | 02/20/47 | 1,259,965 | 1,445,697 | |||||||
Ginnie Mae II Pool MA4324 |
| |||||||||
5.00% | 03/20/47 | 6,827,050 | 7,755,986 | |||||||
Ginnie Mae II Pool MA4382 |
| |||||||||
3.50% | 04/20/47 | 51,381,835 | 54,678,571 | |||||||
Ginnie Mae II Pool MA4384 |
| |||||||||
4.50% | 04/20/47 | 3,273,555 | 3,598,848 | |||||||
Ginnie Mae II Pool MA4385 |
| |||||||||
5.00% | 04/20/47 | 12,469,109 | 13,915,864 | |||||||
Ginnie Mae II Pool MA4453 |
| |||||||||
4.50% | 05/20/47 | 170,560,994 | 187,456,305 | |||||||
Ginnie Mae II Pool MA4454 |
| |||||||||
5.00% | 05/20/47 | 26,499,017 | 29,532,395 | |||||||
Ginnie Mae II Pool MA4510 |
| |||||||||
3.50% | 06/20/47 | 72,357 | 77,000 | |||||||
Ginnie Mae II Pool MA4511 |
| |||||||||
4.00% | 06/20/47 | 10,656,938 | 11,554,744 | |||||||
Ginnie Mae II Pool MA4512 |
| |||||||||
4.50% | 06/20/47 | 597,296 | 656,136 | |||||||
Ginnie Mae II Pool MA4513 |
| |||||||||
5.00% | 06/20/47 | 531,917 | 592,783 | |||||||
Ginnie Mae II Pool MA4586 |
| |||||||||
3.50% | 07/20/47 | 86,640,395 | 92,145,223 | |||||||
Ginnie Mae II Pool MA4588 |
| |||||||||
4.50% | 07/20/47 | 99,514 | 109,294 | |||||||
Ginnie Mae II Pool MA4589 |
| |||||||||
5.00% | 07/20/47 | 25,538,928 | 28,424,321 | |||||||
Ginnie Mae II Pool MA4652 |
| |||||||||
3.50% | 08/20/47 | 6,604,341 | 7,021,894 | |||||||
Ginnie Mae II Pool MA4655 |
| |||||||||
5.00% | 08/20/47 | 30,493,857 | 34,123,551 | |||||||
Ginnie Mae II Pool MA4719 |
| |||||||||
3.50% | 09/20/47 | 84,233,666 | 89,559,255 | |||||||
Ginnie Mae II Pool MA4720 |
| |||||||||
4.00% | 09/20/47 | 216,676 | 233,915 | |||||||
Ginnie Mae II Pool MA4722 |
| |||||||||
5.00% | 09/20/47 | 602,552 | 668,839 |
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 180 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
U.S. Agency Mortgage-Backed (continued) |
| |||||||||||
Ginnie Mae II Pool MA4781 |
| |||||||||||
5.00% | 10/20/47 | $ | 7,488,008 | $ | 8,299,489 | |||||||
Ginnie Mae II Pool MA4836 |
| |||||||||||
3.00% | 11/20/47 | 178,221,121 | 188,261,746 | |||||||||
Ginnie Mae II Pool MA4837 |
| |||||||||||
3.50% | 11/20/47 | 208,373,701 | 221,949,867 | |||||||||
Ginnie Mae II Pool MA4838 |
| |||||||||||
4.00% | 11/20/47 | 72,790,302 | 78,738,343 | |||||||||
Ginnie Mae II Pool MA4840 |
| |||||||||||
5.00% | 11/20/47 | 2,159,738 | 2,406,092 | |||||||||
Ginnie Mae II Pool MA4900 |
| |||||||||||
3.50% | 12/20/47 | 13,477,300 | 14,355,386 | |||||||||
Ginnie Mae II Pool MA4901 |
| |||||||||||
4.00% | 12/20/47 | 48,606,533 | 52,506,729 | |||||||||
Ginnie Mae II Pool MA4961 |
| |||||||||||
3.00% | 01/20/48 | 601,170 | 634,913 | |||||||||
Ginnie Mae II Pool MA4963 |
| |||||||||||
4.00% | 01/20/48 | 83,037,301 | 89,746,615 | |||||||||
Ginnie Mae II Pool MA5078 |
| |||||||||||
4.00% | 03/20/48 | 132,977 | 143,478 | |||||||||
Ginnie Mae II Pool MA5137 |
| |||||||||||
4.00% | 04/20/48 | 29,513,602 | 31,740,347 | |||||||||
Ginnie Mae II Pool MA5399 |
| |||||||||||
4.50% | 08/20/48 | 6,545,764 | 7,163,738 | |||||||||
Ginnie Mae II Pool MA5466 |
| |||||||||||
4.00% | 09/20/48 | 11,214,616 | 12,099,948 | |||||||||
Ginnie Mae II Pool MA5467 |
| |||||||||||
4.50% | 09/20/48 | 62,525 | 67,893 | |||||||||
Ginnie Mae II Pool MA5528 |
| |||||||||||
4.00% | 10/20/48 | 52,209,722 | 56,272,632 | |||||||||
Ginnie Mae II Pool MA5530 |
| |||||||||||
5.00% | 10/20/48 | 11,223,321 | 12,261,606 | |||||||||
Ginnie Mae II Pool MA5651 |
| |||||||||||
4.00% | 12/20/48 | 18,295 | 19,638 | |||||||||
Ginnie Mae II Pool MA6030 |
| |||||||||||
3.50% | 07/20/49 | 36,273,347 | 37,189,439 | |||||||||
Ginnie Mae II Pool MA6080 |
| |||||||||||
3.00% | 08/20/49 | 6,060 | 6,186 | |||||||||
Ginnie Mae II Pool MA6081 |
| |||||||||||
3.50% | 08/20/49 | 13,640,109 | 13,984,593 | |||||||||
Ginnie Mae II Pool MA6209 |
| |||||||||||
3.00% | 10/20/49 | 10,552,104 | 10,875,547 | |||||||||
Ginnie Mae II Pool MA6210 |
| |||||||||||
3.50% | 10/20/49 | 6,553,755 | 6,719,272 | |||||||||
Ginnie Mae, | ||||||||||||
Series 2003-86, Class ZK |
| |||||||||||
5.00% | 10/20/33 | 5,379,923 | 6,047,862 | |||||||||
Ginnie Mae, |
| |||||||||||
Series 2007-35, Class PY (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 6.75%, 6.75% Cap) |
| |||||||||||
6.64% | 06/16/372 | 9,638,954 | 1,971,696 | |||||||||
Ginnie Mae, |
| |||||||||||
Series 2009-106, Class SD (IO) |
| |||||||||||
(-1.00 X LIBOR USD 1-Month plus 6.25%, 6.25% Cap) |
| |||||||||||
6.14% | 03/20/362 | 8,612,031 | 1,010,805 |
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
U.S. Agency Mortgage-Backed (continued) |
| |||||||||
Ginnie Mae, | ||||||||||
Series 2009-106, Class XI (IO) |
| |||||||||
(-1.00 X LIBOR USD 1-Month plus 6.80%, 6.80% Cap) |
| |||||||||
6.69% | 05/20/372 | $ | 21,410,469 | $ | 3,132,253 | |||||
Ginnie Mae, |
| |||||||||
Series 2009-124, Class SC (IO) |
| |||||||||
(-1.00 X LIBOR USD 1-Month plus 6.48%, 6.48% Cap) |
| |||||||||
6.37% | 12/20/392 | 3,466,738 | 773,768 | |||||||
Ginnie Mae, |
| |||||||||
Series 2009-17, Class P |
| |||||||||
4.00% | 08/16/38 | 1,866 | 1,878 | |||||||
Ginnie Mae, |
| |||||||||
Series 2009-66, Class XS (IO) |
| |||||||||
(-1.00 X LIBOR USD 1-Month plus 6.80%, 6.80% Cap) |
| |||||||||
6.69% | 07/16/392 | 30,648 | 4,231 | |||||||
Ginnie Mae, |
| |||||||||
Series 2009-8, Class PS (IO) |
| |||||||||
(-1.00 X LIBOR USD 1-Month plus 6.30%, 6.30% Cap) |
| |||||||||
6.19% | 08/16/382 | 45,511 | 4,226 | |||||||
Ginnie Mae, |
| |||||||||
Series 2010-4, Class SL (IO) |
| |||||||||
(-1.00 X LIBOR USD 1-Month plus 6.40%, 6.40% Cap) |
| |||||||||
6.29% | 01/16/402 | 44,437 | 9,356 | |||||||
Ginnie Mae, |
| |||||||||
Series 2010-4, Class SM (IO) |
| |||||||||
(-1.00 X LIBOR USD 1-Month plus 5.80%, 5.80% Cap) |
| |||||||||
5.69% | 01/16/402 | 8,079,527 | 1,488,166 | |||||||
Ginnie Mae, |
| |||||||||
Series 2010-6, Class BS (IO) |
| |||||||||
(-1.00 X LIBOR USD 1-Month plus 6.50%, 6.50% Cap) |
| |||||||||
6.39% | 09/16/392 | 1,561,694 | 117,775 | |||||||
Ginnie Mae, |
| |||||||||
Series 2011-146, Class EI (IO) |
| |||||||||
5.00% | 11/16/41 | 103,570 | 19,422 | |||||||
Ginnie Mae, |
| |||||||||
Series 2013-113, Class LY |
| |||||||||
3.00% | 05/20/43 | 51,184,000 | 53,990,109 | |||||||
Ginnie Mae, |
| |||||||||
Series 2014-108, Class PA |
| |||||||||
2.63% | 12/20/39 | 10,255,049 | 10,578,578 | |||||||
Ginnie Mae, |
| |||||||||
Series 2018-124, Class NW |
| |||||||||
3.50% | 09/20/48 | 1,375,971 | 1,477,423 | |||||||
Ginnie Mae, |
| |||||||||
Series 2019-1, Class NP |
| |||||||||
3.50% | 01/20/49 | 19,384,131 | 20,529,297 | |||||||
Ginnie Mae, |
| |||||||||
Series 2019-119, Class JE |
| |||||||||
3.00% | 09/20/49 | 18,507,649 | 19,145,642 | |||||||
Ginnie Mae, |
| |||||||||
Series 2019-15, Class GT |
| |||||||||
3.50% | 02/20/49 | 18,046,659 | 19,255,616 | |||||||
Ginnie Mae, |
| |||||||||
Series 2019-44, Class CA |
| |||||||||
3.50% | 12/20/48 | 8,012,846 | 8,352,815 |
See accompanying Notes to Financial Statements.
181 / Annual Report March 2021 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
U.S. Agency Mortgage-Backed (continued) |
| |||||||||
Ginnie Mae, |
| |||||||||
Series 2019-71, Class PT |
| |||||||||
3.00% | 06/20/49 | $ | 4,685,161 | $ | 4,866,935 | |||||
Ginnie Mae, |
| |||||||||
Series 2019-86, Class C |
| |||||||||
2.50% | 03/20/49 | 23,261,389 | 24,331,757 | |||||||
Ginnie Mae, |
| |||||||||
Series 2019-90, Class HE |
| |||||||||
3.00% | 07/20/49 | 21,672,389 | 22,612,325 | |||||||
UMBS (TBA) |
| |||||||||
1.50% | 05/01/36 | 1,096,500,000 | 1,099,510,495 | |||||||
2.00% | 05/01/36 | 1,505,125,000 | 1,542,889,083 | |||||||
2.00% | 05/01/51 | 9,975,100,000 | 9,938,862,457 | |||||||
2.50% | 05/01/51 | 3,080,625,000 | 3,154,752,385 | |||||||
|
| |||||||||
30,925,159,272 | ||||||||||
|
| |||||||||
Total Mortgage-Backed |
| |||||||||
(Cost $37,137,792,527) |
| 37,555,706,722 | ||||||||
|
| |||||||||
MUNICIPAL BONDS — 0.94%* |
| |||||||||
Arizona — 0.03% |
| |||||||||
Maricopa County Industrial Development Authority Revenue Bonds, Health, Hospital and Nursing Home Improvements, |
| |||||||||
Series 2017D |
| |||||||||
3.00% | 01/01/48 | 17,830,000 | 18,479,943 | |||||||
Maricopa County Industrial Development Authority Revenue Bonds, Health, Hospital and Nursing Home Improvements, |
| |||||||||
Series 2019E |
| |||||||||
3.00% | 01/01/49 | 6,590,000 | 6,827,203 | |||||||
|
| |||||||||
25,307,146 | ||||||||||
|
| |||||||||
California — 0.25% |
| |||||||||
City of San Francisco Public Utilities Commission Water Revenue Bonds, Series E |
| |||||||||
2.83% | 11/01/41 | 16,975,000 | 16,895,557 | |||||||
Los Angeles Community College District General Obligation Bonds |
| |||||||||
2.34% | 08/01/33 | 15,630,000 | 15,515,462 | |||||||
Los Angeles Department of Airports Revenue Bonds, Port, Airport and Marina Improvements, Series A |
| |||||||||
5.00% | 05/15/44 | 185,000 | 224,598 | |||||||
Los Angeles Department of Water & Power Power System Revenue Bonds, Electric Light & Power Improvements, Series C |
| |||||||||
5.52% | 07/01/27 | 12,625,000 | 15,404,275 | |||||||
Los Angeles Department of Water & Power Power System Revenue Bonds, Water Utility Improvements, Series SY |
| |||||||||
6.01% | 07/01/39 | 350,000 | 453,449 | |||||||
Los Angeles Unified School District General Obligation Bonds, School Improvements, Series KR |
| |||||||||
5.75% | 07/01/34 | 10,755,000 | 14,234,915 | |||||||
Los Angeles Unified School District General Obligation Bonds, School Improvements, Series RY |
| |||||||||
6.76% | 07/01/34 | 12,165,000 | 17,198,031 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MUNICIPAL BONDS (continued) |
| |||||||||||
California (continued) |
| |||||||||||
Regents of the University of California Medical Center Pooled Revenue Bonds, Health, Hospital and Nursing Home Improvements, Series N |
| |||||||||||
3.01% | 05/15/50 | $ | 70,090,000 | $ | 67,345,976 | |||||||
3.26% | 05/15/60 | 40,075,000 | 40,129,301 | |||||||||
University of California, Taxable, College & University, Revenue Bonds, University & College Improvements, Series AP |
| |||||||||||
3.93% | 05/15/45 | 30,115,000 | 32,995,840 | |||||||||
|
| |||||||||||
220,397,404 | ||||||||||||
|
| |||||||||||
Colorado — 0.05% |
| |||||||||||
City & County of Denver Airport System Revenue Bonds, Series C |
| |||||||||||
2.04% | 11/15/28 | 14,000,000 | 13,892,172 | |||||||||
2.39% | 11/15/31 | 6,010,000 | 5,891,919 | |||||||||
2.52% | 11/15/32 | 13,450,000 | 13,207,802 | |||||||||
2.62% | 11/15/33 | 9,000,000 | 8,839,464 | |||||||||
2.72% | 11/15/34 | 5,000,000 | 4,913,063 | |||||||||
|
| |||||||||||
46,744,420 | ||||||||||||
|
| |||||||||||
Florida — 0.01% |
| |||||||||||
County of Miami-Dade Aviation Revenue Bonds, Airport and Marina Improvements, Series E |
| |||||||||||
2.53% | 10/01/30 | 2,160,000 | 2,153,519 | |||||||||
Greater Orlando Aviation Authority Revenue Bonds, Port, Airport and Marina Improvements, Series A |
| |||||||||||
5.00% | 10/01/44 | 610,000 | 746,329 | |||||||||
5.00% | 10/01/54 | 1,425,000 | 1,716,420 | |||||||||
|
| |||||||||||
4,616,268 | ||||||||||||
|
| |||||||||||
Massachusetts — 0.01% |
| |||||||||||
Commonwealth of Massachusetts General Obligation Bonds, Public Improvements, Series C |
| |||||||||||
3.00% | 03/01/49 | 9,350,000 | 9,795,293 | |||||||||
|
| |||||||||||
New Jersey — 0.00% |
| |||||||||||
Jersey City Municipal Utilities Authority Revenue Bonds, Water Utility Improvements, Series B |
| |||||||||||
5.47% | 05/15/27 | 400,000 | 441,350 | |||||||||
New Jersey State Turnpike Authority Revenue Bonds, Highway Improvements, Series A |
| |||||||||||
7.10% | 01/01/41 | 285,000 | 437,082 | |||||||||
New Jersey Turnpike Authority Revenue Bonds, Highway Revenue, Series F |
| |||||||||||
3.73% | 01/01/36 | 300,000 | 328,662 | |||||||||
|
| |||||||||||
1,207,094 | ||||||||||||
|
| |||||||||||
New York — 0.55% |
| |||||||||||
City of New York General Obligation Bonds, Public Improvements |
| |||||||||||
4.77% | 10/01/23 | 4,420,000 | 4,895,166 | |||||||||
5.21% | 10/01/31 | 6,420,000 | 7,736,582 | |||||||||
5.52% | 10/01/37 | 6,075,000 | 7,907,161 | |||||||||
City of New York General Obligation Bonds, Public Improvements, Series A |
| |||||||||||
3.00% | 08/01/34 | 15,185,000 | 15,355,344 |
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 182 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
MUNICIPAL BONDS (continued) |
| |||||||||
New York (continued) |
| |||||||||
City of New York General Obligation Bonds, Public Improvements, Series D-1 |
| |||||||||
4.00% | 03/01/50 | $ | 7,000,000 | $ | 7,894,692 | |||||
City of New York General Obligation Bonds, Public Improvements, Series F |
| |||||||||
3.62% | 04/01/31 | 3,145,000 | 3,387,395 | |||||||
City of New York General Obligation Bonds, Series D |
| |||||||||
1.72% | 08/01/29 | 30,000,000 | 28,596,309 | |||||||
Metropolitan Transportation Authority Revenue Bonds, Transit Improvements, Series C2 |
| |||||||||
5.18% | 11/15/49 | 19,375,000 | 24,081,092 | |||||||
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements |
| |||||||||
4.00% | 05/01/42 | 3,150,000 | 3,655,732 | |||||||
4.00% | 05/01/43 | 3,750,000 | 4,329,930 | |||||||
5.51% | 08/01/37 | 25,000,000 | 32,691,083 | |||||||
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Series B3 |
| |||||||||
2.00% | 08/01/35 | 4,055,000 | 3,737,553 | |||||||
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Series C |
| |||||||||
4.00% | 05/01/43 | 5,000,000 | 5,594,050 | |||||||
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Series D |
| |||||||||
2.40% | 11/01/32 | 17,295,000 | 17,171,029 | |||||||
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Series E |
| |||||||||
1.97% | 02/01/33 | 3,090,000 | 2,915,873 | |||||||
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Subseries C5 |
| |||||||||
3.90% | 05/01/31 | 15,000,000 | 16,484,676 | |||||||
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Subseries FI |
| |||||||||
4.00% | 08/01/33 | 6,450,000 | 7,084,736 | |||||||
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, Public Improvements, Subseries SU |
| |||||||||
3.88% | 08/01/31 | 3,135,000 | 3,468,951 | |||||||
New York City Transitional Finance Authority Future Tax Secured Revenue Bonds, School Improvements, Series G-3 |
| |||||||||
5.27% | 05/01/27 | 13,135,000 | 15,764,871 | |||||||
New York City Water & Sewer System Revenue Bonds, Series AA |
| |||||||||
4.00% | 06/15/50 | 10,400,000 | 12,147,616 | |||||||
5.00% | 06/15/50 | 5,575,000 | 7,098,982 | |||||||
New York State Dormitory Authority Revenue Bonds, School Improvements, Series A |
| |||||||||
4.00% | 03/15/48 | 9,870,000 | 11,122,750 | |||||||
New York State Dormitory Authority Revenue Bonds, University & College Improvements |
| |||||||||
5.29% | 03/15/33 | 44,990,000 | 53,977,895 | |||||||
5.43% | 03/15/39 | 21,400,000 | 26,908,386 |
Issues | Maturity Date | Principal Amount | Value | |||||||
MUNICIPAL BONDS (continued) |
| |||||||||
New York (continued) |
| |||||||||
New York State Dormitory Authority Revenue Bonds, University & College Improvements, Series A |
| |||||||||
3.00% | 03/15/38 | $ | 55,645,000 | $ | 59,006,192 | |||||
4.00% | 03/15/47 | 155,000 | 176,566 | |||||||
New York State Dormitory Authority Revenue Bonds, University & College Improvements, Series E |
| |||||||||
4.00% | 03/15/46 | 63,215,000 | 71,975,967 | |||||||
New York State Urban Development Corp. Revenue Bonds, Economic Improvements, Series E |
| |||||||||
4.00% | 03/15/43 | 18,715,000 | 21,381,326 | |||||||
New York State Urban Development Corp. Revenue Bonds, Public Improvements |
| |||||||||
5.77% | 03/15/39 | 150,000 | 182,817 | |||||||
|
| |||||||||
476,730,722 | ||||||||||
|
| |||||||||
Texas — 0.04% |
| |||||||||
North Texas Tollway Authority Revenue Bonds |
| |||||||||
2.23% | 01/01/32 | 6,065,000 | 5,898,001 | |||||||
2.33% | 01/01/33 | 8,765,000 | 8,523,570 | |||||||
2.43% | 01/01/34 | 10,000,000 | 9,738,750 | |||||||
2.53% | 01/01/35 | 8,000,000 | 7,803,720 | |||||||
Texas A&M University Revenue Bonds, University & College Improvements, Series B |
| |||||||||
2.69% | 05/15/25 | 350,000 | 376,727 | |||||||
|
| |||||||||
32,340,768 | ||||||||||
|
| |||||||||
Total Municipal Bonds (Cost $800,207,451) |
| 817,139,115 | ||||||||
U.S. TREASURY SECURITIES — 40.17% |
| |||||||||
U.S. Treasury Bonds — 5.44% |
| |||||||||
U.S. Treasury Bonds |
| |||||||||
1.63% | 11/15/50 | 679,736,000 | 566,623,681 | |||||||
1.88% | 02/15/41 | 1,143,021,000 | 1,064,884,805 | |||||||
1.88% | 02/15/51 | 3,493,522,000 | 3,101,046,638 | |||||||
|
| |||||||||
4,732,555,124 | ||||||||||
|
| |||||||||
U.S. Treasury Notes — 34.73% |
| |||||||||
U.S. Treasury Floating Rate Notes |
| |||||||||
(US Treasury Bill Yield 3-Month plus 0.11%) |
| |||||||||
0.13% | 04/30/222 | 170,000,000 | 170,183,398 | |||||||
U.S. Treasury Notes |
| |||||||||
0.13% | 12/31/22 | 973,572,000 | 973,248,745 | |||||||
0.13% | 01/31/23 | 3,494,369,000 | 3,492,731,014 | |||||||
0.13% | 02/28/23 | 5,839,461,000 | 5,836,039,426 | |||||||
0.13% | 03/31/23 | 4,681,942,000 | 4,678,924,348 | |||||||
0.38% | 03/31/22 | 79,520,000 | 79,764,020 | |||||||
0.38% | 01/31/26 | 257,043,000 | 250,657,088 | |||||||
0.50% | 02/28/26 | 6,531,325,000 | 6,403,249,831 | |||||||
0.75% | 03/31/26 | 5,412,234,000 | 5,365,511,266 | |||||||
1.13% | 02/15/31 | 2,500,739,000 | 2,363,393,788 | |||||||
1.50% | 08/31/21 | 300,000,000 | 301,816,410 |
See accompanying Notes to Financial Statements.
183 / Annual Report March 2021 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
U.S. TREASURY SECURITIES (continued) |
| |||||||||||
U.S. Treasury Notes (continued) |
| |||||||||||
2.25% | 04/30/21 | $ | 277,000,000 | $ | 277,481,504 | |||||||
|
| |||||||||||
30,193,000,838 | ||||||||||||
|
| |||||||||||
Total U.S. Treasury Securities (Cost $35,215,381,578) |
| 34,925,555,962 | ||||||||||
|
| |||||||||||
Total Bonds — 111.65% (Cost $96,236,712,277) |
| 97,068,572,873 | ||||||||||
|
| |||||||||||
Issues | Shares | Value | ||||||||||
COMMON STOCK — 0.00% |
| |||||||||||
Electric — 0.00% |
| |||||||||||
Homer City Holdings LLC†,5,6,7,10 |
| 1,180,703 | — | |||||||||
|
| |||||||||||
Total Common Stock (Cost $65,187,440) |
| |||||||||||
Purchased Swaptions - 0.03% (Cost $10,896,240) |
| 25,889,302 | ||||||||||
|
| |||||||||||
Purchased Options - 0.02% (Cost $20,283,900) |
| 14,875,000 | ||||||||||
|
| |||||||||||
Issues | Maturity Date | Principal Amount/Shares | Value | |||||||||
SHORT-TERM INVESTMENTS — 10.06% |
| |||||||||||
Foreign Government Obligations — 0.75% |
| |||||||||||
Japan Treasury Discount Bill, |
| |||||||||||
Series 962 |
| |||||||||||
(Japan) |
| |||||||||||
0.00%11 | 04/05/213 | 44,150,000,000 | 399,632,415 | |||||||||
Japan Treasury Discount Bill, |
| |||||||||||
Series 964 |
| |||||||||||
(Japan) |
| |||||||||||
0.00%11 | 04/12/213 | 28,000,000,000 | 253,411,545 | |||||||||
|
| |||||||||||
653,043,960 | ||||||||||||
|
| |||||||||||
Money Market Funds — 4.16% |
| |||||||||||
Dreyfus Government Cash Management Fund |
| |||||||||||
0.03%12 | 1,290,653,000 | 1,290,653,000 | ||||||||||
JPMorgan U.S. Government Money Market Fund |
| |||||||||||
0.03%12 | 1,204,314,000 | 1,204,314,000 | ||||||||||
Morgan Stanley Institutional Liquidity Funds - Government Portfolio |
| |||||||||||
0.03%12 | 1,120,441,000 | 1,120,441,000 | ||||||||||
|
| |||||||||||
3,615,408,000 | ||||||||||||
|
| |||||||||||
Repurchase Agreements — 0.58% |
| |||||||||||
JPMorgan Chase & Co. (Dated 03/25/21, total to be received $500,000,972, (collateralized by U.S. Treasury Securities, 0.00% to 1.75%, due from 04/08/21 to 09/30/22, par and fair value of $499,370,000 and $507,268,976, respectively)) |
| |||||||||||
0.01% | 04/01/21 | 500,000,000 | 500,000,000 | |||||||||
|
|
Issues | Maturity Date | Principal Amount/Shares | Value | |||||||||
SHORT-TERM INVESTMENTS (continued) |
| |||||||||||
U.S. Agency Discount Notes — 1.89% |
| |||||||||||
Fannie Mae Discount Notes |
| |||||||||||
0.09%11 | 06/02/21 | $ 100,000,000 | $ | 99,998,278 | ||||||||
Federal Home Loan Bank |
| |||||||||||
0.09%11 | 04/09/21 | 300,000,000 | 300,000,666 | |||||||||
0.03%11 | 04/30/21 | 300,000,000 | 300,002,418 | |||||||||
0.03%11 | 05/10/21 | 350,000,000 | 350,000,000 | |||||||||
0.04%11 | 05/17/21 | 300,000,000 | 300,000,000 | |||||||||
0.05%11 | 08/13/21 | 300,000,000 | 299,977,668 | |||||||||
1,649,979,030 | ||||||||||||
U.S. Treasury Bills — 2.68% |
| |||||||||||
U.S. Treasury Bills |
| |||||||||||
0.08%11 | 04/15/21 | 25,000,000 | 24,999,904 | |||||||||
0.04%11 | 05/13/21 | 300,000,000 | 299,994,750 | |||||||||
0.05%11 | 08/05/21 | 750,000,000 | 749,968,935 | |||||||||
0.05%11 | 08/12/21 | 750,000,000 | 749,958,450 | |||||||||
0.04%11 | 08/19/21 | 505,000,000 | 504,960,736 | |||||||||
2,329,882,775 | ||||||||||||
Total Short-Term Investments (Cost $8,789,125,905) |
| 8,748,313,765 | ||||||||||
Total Investments Before Written Options - 121.76% (Cost $105,122,205,762) |
| 105,857,650,940 | ||||||||||
Written Options - (0.03)% |
| |||||||||||
(Cost $(21,994,700)) |
| (25,593,750 | ) | |||||||||
Liabilities in Excess of Other Assets - (21.73)% |
| (18,890,874,387 | ) | |||||||||
Net Assets - 100.00% |
| $ | 86,941,182,803 | |||||||||
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 March 31, 2021. |
3 | Foreign denominated security issued by foreign domiciled entity. |
4 | 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. |
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 $98,908,665, which is 0.11% of total net assets. |
7 | Non-income producing security. |
8 | Security is currently in default with regard to scheduled interest or principal payments. |
9 | Zero coupon bond. The rate shown is the effective yield as of March 31, 2021. |
10 | Affiliated investment. |
11 | Represents annualized yield at date of purchase. |
12 | Represents the current yield as of March 31, 2021. |
† | Fair valued security. The aggregate value of fair valued securities is $0, which is 0.00% of total net assets. Fair valued securities were not valued utilizing an independent quote but are valued pursuant to guidelines established by the Board of Trustees. 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. |
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 184 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2021
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): Bank Note
(CLO): Collateralized Loan Obligation
(EMTN): Euro Medium-Term Note
(GBP): British Pound
(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
(TBA): To-Be-Announced
(USD): U.S. Dollar
Currency to be Purchased | Currency to be Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||||
FOREIGN CURRENCY EXCHANGE CONTRACT |
| |||||||||||||||
USD 425,513,457 | JPY 44,150,000,000 | Goldman Sachs International | 04/05/21 | $ | 25,944,250 | |||||||||||
USD 269,650,282 | JPY 28,000,000,000 | Citigroup Global Markets, Inc. | 04/12/21 | 16,223,590 | ||||||||||||
USD 67,542,369 | GBP 48,865,000 | Goldman Sachs International | 04/23/21 | 118,084 | ||||||||||||
|
| |||||||||||||||
42,285,924 | ||||||||||||||||
|
| |||||||||||||||
GBP 700,000 | USD 971,184 | Goldman Sachs International | 04/23/21 | (5,319) | ||||||||||||
|
| |||||||||||||||
NET UNREALIZED APPRECIATION | $ | 42,280,605 | ||||||||||||||
|
|
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||
FUTURES CONTRACTS: LONG POSITIONS | ||||||||||||||||||||
U.S. Treasury Ultra Bond | 4,188 | 06/21/21 | $ | 758,944,125 | $ | (18,638,881) | $ | (18,638,881) | ||||||||||||
U.S. Treasury Five Year Note | 1 | 06/30/21 | 123,398 | (487) | (487) | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
759,067,523 | (18,639,368) | (18,639,368) | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||
FUTURES CONTRACTS: SHORT POSITIONS | ||||||||||||||||||||
U.S. Treasury Two Year Note | 345 | 06/30/21 | (76,150,664) | 69,261 | 69,261 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
TOTAL FUTURES CONTRACTS | $ | 682,916,859 | $ | (18,570,107) | $ | (18,570,107) | ||||||||||||||
|
|
|
|
|
|
Reference Obligation/Index | Financing Rate Paid by the Fund | Payment Frequency | Counterparty | Expiration Date | Notional Amount1 | Value | Premiums Paid | Unrealized Appreciation | ||||||||||||||||||||||
SWAPS: CREDIT DEFAULT (SALES) - SINGLE ISSUES OTC |
| |||||||||||||||||||||||||||||
Credit Suisse | ||||||||||||||||||||||||||||||
Berry Global, Inc., 5.63%, due |
| First Boston | ||||||||||||||||||||||||||||
07/15/27 | 5.00% | 3 Months | International | 12/20/21 | $ 60,665,000 | $ | 1,457,232 | $ | 1,309,994 | $ | 147,238 | |||||||||||||||||||
|
|
|
|
|
|
1 | 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. |
Description | Number of contracts | Exercise Price | Expiration Date | Notional Amount | Value | |||||||||||||||
PURCHASED CALL OPTIONS EXCHANGE TRADED | ||||||||||||||||||||
IMM Eurodollar 3 Year MIDCV Future Options | 35,000 | $98.50 | 12/10/21 | $ | 274,558,693,500 | $ | 14,875,000 | |||||||||||||
|
|
|
| |||||||||||||||||
Description | Number of contracts | Exercise Price | Expiration Date | Notional Amount | Value | |||||||||||||||
WRITTEN CALL OPTIONS EXCHANGE TRADED | ||||||||||||||||||||
IMM Eurodollar 3 Year MIDCV Future Options | 35,000 | $98.75 | 12/10/21 | $ | (186,043,992,750) | $ | (8,750,000) | |||||||||||||
|
|
|
|
See accompanying Notes to Financial Statements.
185 / Annual Report March 2021 |
Table of Contents
Total Return Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Description | Number of contracts | Exercise Price | Expiration Date | Notional Amount | Value | |||||||||||||||
WRITTEN PUT OPTIONS EXCHANGE TRADED | ||||||||||||||||||||
IMM Eurodollar 3 Year MIDCV Future Options | 35,000 | $ | 97.75 | 12/10/21 | $ | 208,451,691,000 | $ | (16,843,750) | ||||||||||||
|
|
|
|
Received by the Fund | Paid by the Fund | |||||||||||||||||||||||||||||||||||||
Description | Counterparty | Maturity Date | Rate | Frequency | Rate | Frequency | Notional Amount | Value | Premiums Paid | Unrealized Appreciation | ||||||||||||||||||||||||||||
PURCHASED SWAPTIONS |
| |||||||||||||||||||||||||||||||||||||
Option to enter into a |
| |||||||||||||||||||||||||||||||||||||
30-year Interest Rate | Barclay’s | 3-month | Semi- | |||||||||||||||||||||||||||||||||||
Swap | Capital | 01/19/24 | 2.75 | % | Quarterly | USD LIBOR | annually | $ | 79,350,000 | $ | 5,565,443 | $ | 2,340,825 | $ | 3,224,618 | |||||||||||||||||||||||
Option to enter into a |
| |||||||||||||||||||||||||||||||||||||
30-year Interest Rate | Citigroup Global | 3-month | Semi- | |||||||||||||||||||||||||||||||||||
Swap | Markets, Inc. | 01/19/24 | 2.75 | % | Quarterly | USD LIBOR | annually | $ | 45,520,000 | $ | 3,192,677 | $ | 1,350,040 | $ | 1,842,637 | |||||||||||||||||||||||
Option to enter into a |
| |||||||||||||||||||||||||||||||||||||
30-year Interest Rate | Goldman Sachs | 3-month | Semi- | |||||||||||||||||||||||||||||||||||
Swap | International | 01/19/24 | 2.75 | % | Quarterly | USD LIBOR | annually | $ | 244,250,000 | $ | 17,131,182 | $ | 7,205,375 | $ | 9,925,807 | |||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||
TOTAL PURCHASED SWAPTIONS |
| $ | 369,120,000 | $ | 25,889,302 | $ | 10,896,240 | $ | 14,993,062 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 186 |
Table of Contents
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
BONDS – 82.65% |
| |||||||||
ASSET-BACKED SECURITIES — 9.45%** |
| |||||||||
Barings CLO Ltd., |
| |||||||||
Series 2013-IA, Class AR |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 0.80%) |
| |||||||||
1.02% | 01/20/281,2,3 | $ | 1,274,813 | $ | 1,272,773 | |||||
BSPRT Issuer Ltd., |
| |||||||||
Series 2018-FL4, Class A |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 1-Month plus 1.05%) |
| |||||||||
1.16% | 09/15/351,2,3 | 452,723 | 453,598 | |||||||
Canyon Capital CLO Ltd., |
| |||||||||
Series 2021-1A, Class X |
| |||||||||
(Cayman Islands) |
| |||||||||
(-1.00 X LIBOR USD 3-Month plus 0.80%, 0.80% Cap) |
| |||||||||
0.00% | 04/15/341,2,3 | 700,000 | 700,350 | |||||||
Countrywide Asset-Backed Certificates Trust, |
| |||||||||
Series 2005-11, Class MV3 |
| |||||||||
(LIBOR USD 1-Month plus 0.80%) |
| |||||||||
0.90% | 02/25/362 | 137,823 | 137,750 | |||||||
Countrywide Asset-Backed Certificates Trust, |
| |||||||||
Series 2005-3, Class MV5 |
| |||||||||
(LIBOR USD 1-Month plus 1.00%) |
| |||||||||
1.11% | 08/25/352 | 348,820 | 349,326 | |||||||
Countrywide Asset-Backed Certificates Trust, |
| |||||||||
Series 2005-4, Class MV5 |
| |||||||||
(LIBOR USD 1-Month plus 1.00%) |
| |||||||||
1.11% | 10/25/352 | 800,000 | 801,916 | |||||||
Educational Funding of the South, Inc., |
| |||||||||
Series 2011-1, Class A2 |
| |||||||||
(LIBOR USD 3-Month plus 0.65%) |
| |||||||||
0.87% | 04/25/352 | 706,815 | 705,237 | |||||||
Encore Credit Receivables Trust, |
| |||||||||
Series 2005-3, Class M4 |
| |||||||||
(LIBOR USD 1-Month plus 0.90%) |
| |||||||||
1.01% | 10/25/352 | 1,250,000 | 1,248,545 | |||||||
FFMLT Trust, |
| |||||||||
Series 2005-FF8, Class M2 |
| |||||||||
(LIBOR USD 1-Month plus 0.78%) |
| |||||||||
0.89% | 09/25/352 | 1,244,768 | 1,248,732 | |||||||
First Franklin Mortgage Loan Trust, |
| |||||||||
Series 2005-FF9, Class A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.58%) |
| |||||||||
0.69% | 10/25/352 | 1,386,177 | 1,382,852 | |||||||
Grand Avenue CRE, |
| |||||||||
Series 2019-FL1, Class A |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 1-Month plus 1.12%) |
| |||||||||
1.23% | 06/15/371,2,3 | 778,541 | 778,988 | |||||||
GSAMP Trust, |
| |||||||||
Series 2006-HE3, Class A2C |
| |||||||||
(LIBOR USD 1-Month plus 0.32%) |
| |||||||||
0.43% | 05/25/462 | 1,067,501 | 1,062,514 | |||||||
Higher Education Funding I, |
| |||||||||
Series 2014-1, Class A |
| |||||||||
(LIBOR USD 3-Month plus 1.05%) |
| |||||||||
1.24% | 05/25/341,2 | 310,177 | 311,935 |
Issues | Maturity Date | Principal Amount | �� | Value | ||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||
Home Partners of America Trust, |
| |||||||||
Series 2018-1, Class A |
| |||||||||
(LIBOR USD 1-Month plus 0.90%) |
| |||||||||
1.01% | 07/17/371,2 | $ | 1,306,118 | $ | 1,307,293 | |||||
LoanCore Issuer Ltd., |
| |||||||||
Series 2018-CRE1, Class A |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 1-Month plus 1.13%) |
| |||||||||
1.24% | 05/15/281,2,3 | 495,244 | 495,287 | |||||||
Marathon CRE Ltd., |
| |||||||||
Series 2018-FL1, Class A |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 1-Month plus 1.15%) |
| |||||||||
1.26% | 06/15/281,2,3 | 290,080 | 290,432 | |||||||
MASTR Asset-Backed Securities Trust, |
| |||||||||
Series 2005-OPT1, Class M3 |
| |||||||||
(LIBOR USD 1-Month plus 0.69%) |
| |||||||||
0.80% | 03/25/352 | 770,197 | 771,092 | |||||||
Morgan Stanley ABS Capital I, Inc., Trust, |
| |||||||||
Series 2005-WMC3, Class M4 |
| |||||||||
(LIBOR USD 1-Month plus 0.93%) |
| |||||||||
1.04% | 03/25/352 | 462,043 | 462,043 | |||||||
Nelnet Student Loan Trust, |
| |||||||||
Series 2012-5A, Class A |
| |||||||||
(LIBOR USD 1-Month plus 0.60%) |
| |||||||||
0.71% | 10/27/361,2 | 321,356 | 319,114 | |||||||
Octagon Investment Partners XIV Ltd., |
| |||||||||
Series 2012-1A, Class AARR |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 0.95%) |
| |||||||||
1.06% | 07/15/291,2,3 | 675,000 | 675,322 | |||||||
Option One Mortgage Loan Trust Asset-Backed Certificates 2005-5, |
| |||||||||
Series 2005-5, Class M1 |
| |||||||||
(LIBOR USD 1-Month plus 0.59%) |
| |||||||||
0.69% | 12/25/352 | 1,198,367 | 1,204,670 | |||||||
Palmer Square Loan Funding Ltd., |
| |||||||||
Series 2020-1A, Class A1 |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 0.80%) |
| |||||||||
0.98% | 02/20/281,2,3 | 980,727 | 980,597 | |||||||
Palmer Square Loan Funding Ltd., |
| |||||||||
Series 2021-2A, Class A1 |
| |||||||||
(Cayman Islands) |
| |||||||||
(-1.00 X LIBOR USD 3-Month plus 0.80%, 0.80% Cap) |
| |||||||||
0.00% | 05/20/291,2,3 | 750,000 | 750,453 | |||||||
Park Place Securities, Inc., Asset-Backed Pass-Through Certificates, |
| |||||||||
Series 2005-WHQ3, Class M4 |
| |||||||||
(LIBOR USD 1-Month plus 0.95%) |
| |||||||||
1.05% | 06/25/352 | 495,800 | 499,555 | |||||||
Progress Residential Trust, |
| |||||||||
Series 2018-SFR3, Class A |
| |||||||||
3.88% | 10/17/351 | 1,996,576 | 2,020,837 | |||||||
Progress Residential Trust, |
| |||||||||
Series 2019-SFR1, Class A |
| |||||||||
3.42% | 08/17/351 | 529,477 | 543,913 |
See accompanying Notes to Financial Statements.
187 / Annual Report March 2021 |
Table of Contents
Ultra Short Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||||
SLM Student Loan Trust, |
| |||||||||||
Series 2003-10A, Class A3 |
| |||||||||||
(LIBOR USD 3-Month plus 0.47%) |
| |||||||||||
0.65% | 12/15/271,2 | $ | 343,257 | $ | 343,400 | |||||||
SLM Student Loan Trust, |
| |||||||||||
Series 2003-14, Class A6 |
| |||||||||||
(LIBOR USD 3-Month plus 0.30%) |
| |||||||||||
0.52% | 07/25/252 | 180,489 | 180,460 | |||||||||
SLM Student Loan Trust, |
| |||||||||||
Series 2005-8, Class A4 |
| |||||||||||
(LIBOR USD 3-Month plus 0.55%) |
| |||||||||||
0.77% | 01/25/282 | 81,452 | 81,482 | |||||||||
SLM Student Loan Trust, |
| |||||||||||
Series 2007-6, Class A4 |
| |||||||||||
(LIBOR USD 3-Month plus 0.38%) |
| |||||||||||
0.60% | 10/25/242 | 65,939 | 65,936 | |||||||||
SLM Student Loan Trust, |
| |||||||||||
Series 2007-8, Class A4 |
| |||||||||||
(LIBOR USD 3-Month plus 0.47%) |
| |||||||||||
0.69% | 01/26/262 | 111,270 | 110,972 | |||||||||
SLM Student Loan Trust, |
| |||||||||||
Series 2013-4, Class A |
| |||||||||||
(LIBOR USD 1-Month plus 0.55%) |
| |||||||||||
0.66% | 06/25/432 | 118,707 | 118,609 | |||||||||
Soundview Home Loan Trust, |
| |||||||||||
Series 2006-OPT3, Class 2A3 |
| |||||||||||
(LIBOR USD 1-Month plus 0.17%) |
| |||||||||||
0.28% | 06/25/362 | 463,427 | 462,766 | |||||||||
TPG Real Estate Finance Issuer Ltd., |
| |||||||||||
Series 2018-FL2, Class A |
| |||||||||||
(Cayman Islands) |
| |||||||||||
(LIBOR USD 1-Month plus 1.13%) |
| |||||||||||
1.24% | 11/15/371,2,3 | 847,868 | 849,587 | |||||||||
|
| |||||||||||
Total Asset-Backed Securities |
| |||||||||||
(Cost $22,828,920) |
| 22,988,336 | ||||||||||
|
| |||||||||||
BANK LOANS — 0.51%* |
| |||||||||||
Health Care — 0.51% |
| |||||||||||
HCA, Inc., |
| |||||||||||
Term Loan B12, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
1.86% | 03/13/252 | 1,243,687 | 1,244,576 | |||||||||
|
| |||||||||||
Total Bank Loans |
| |||||||||||
(Cost $1,246,778) |
| |||||||||||
CORPORATES — 23.40%* |
| |||||||||||
Banking — 6.24% |
| |||||||||||
Bank of America Corp. |
| |||||||||||
2.88% | 04/24/234 | 3,600,000 | 3,686,705 | |||||||||
Credit Suisse Group AG |
| |||||||||||
(Switzerland) | ||||||||||||
2.59% | 09/11/251,3,4 | 235,000 | 243,962 | |||||||||
3.80% | 06/09/233 | 580,000 | 615,714 | |||||||||
HSBC Holdings PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
3.95% | 05/18/243,4 | 1,000,000 | 1,067,586 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Banking (continued) |
| |||||||||||
(LIBOR USD 3-Month plus 1.00%) |
| |||||||||||
1.19% | 05/18/242,3 | $ | 795,000 | $ | 803,858 | |||||||
JPMorgan Chase & Co. |
| |||||||||||
3.21% | 04/01/234 | 2,400,000 | 2,465,494 | |||||||||
(LIBOR USD 3-Month plus 1.00%) |
| |||||||||||
1.24% | 01/15/232 | 200,000 | 201,525 | |||||||||
Lloyds Banking Group PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
2.91% | 11/07/233,4 | 1,345,000 | 1,393,125 | |||||||||
Morgan Stanley |
| |||||||||||
(GMTN) |
| |||||||||||
3.13% | 01/23/23 | 2,350,000 | 2,461,585 | |||||||||
Santander UK Group Holdings PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
3.57% | 01/10/233 | 750,000 | 766,748 | |||||||||
Wells Fargo & Co. |
| |||||||||||
(MTN) |
| |||||||||||
3.75% | 01/24/24 | 805,000 | 870,857 | |||||||||
Wells Fargo Bank N.A. |
| |||||||||||
(BKNT) |
| |||||||||||
2.08% | 09/09/224 | 600,000 | 604,595 | |||||||||
|
| |||||||||||
15,181,754 | ||||||||||||
|
| |||||||||||
Communications — 1.31% |
| |||||||||||
Qwest Corp. | ||||||||||||
7.25% | 09/15/25 | 400,000 | 469,500 | |||||||||
SES SA |
| |||||||||||
(Luxembourg) |
| |||||||||||
3.60% | 04/04/231,3 | 600,000 | 631,790 | |||||||||
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint |
| |||||||||||
Spectrum Co. III LLC |
| |||||||||||
3.36% | 09/20/211 | 1,090,250 | 1,101,152 | |||||||||
4.74% | 03/20/251 | 710,000 | 762,416 | |||||||||
5.15% | 03/20/281 | 200,000 | 228,500 | |||||||||
|
| |||||||||||
3,193,358 | ||||||||||||
|
| |||||||||||
Consumer Discretionary — 0.87% |
| |||||||||||
Imperial Brands Finance PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
3.75% | 07/21/221,3 | 810,000 | 837,341 | |||||||||
Pernod Ricard SA |
| |||||||||||
(France) |
| |||||||||||
4.25% | 07/15/221,3 | 600,000 | 627,686 | |||||||||
Reynolds American, Inc. |
| |||||||||||
4.85% | 09/15/23 | 600,000 | 659,050 | |||||||||
|
| |||||||||||
2,124,077 | ||||||||||||
|
| |||||||||||
Electric — 1.00% |
| |||||||||||
Alliant Energy Finance LLC |
| |||||||||||
3.75% | 06/15/231 | 725,000 | 772,875 | |||||||||
Dominion Energy, Inc., |
| |||||||||||
Series B |
| |||||||||||
2.75% | 09/15/22 | 350,000 | 359,129 | |||||||||
Duquesne Light Holdings, Inc. |
| |||||||||||
5.90% | 12/01/211 | 450,000 | 464,759 | |||||||||
Evergy, Inc. | ||||||||||||
4.85% | 06/01/21 | 325,000 | 325,000 |
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 188 |
Table of Contents
Ultra Short Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Electric (continued) |
| |||||||||||
NextEra Energy Capital Holdings, Inc. |
| |||||||||||
2.40% | 09/01/21 | $ | 250,000 | $ | 252,165 | |||||||
(LIBOR USD 3-Month plus 0.55%) |
| |||||||||||
0.74% | 08/28/212 | 250,000 | 250,077 | |||||||||
|
| |||||||||||
2,424,005 | ||||||||||||
|
| |||||||||||
Energy — 0.89% |
| |||||||||||
Southern Co. Gas Capital Corp. |
| |||||||||||
3.88% | 11/15/25 | 1,000,000 | 1,106,227 | |||||||||
Sunoco Logistics Partners Operations LP |
| |||||||||||
5.95% | 12/01/25 | 900,000 | 1,048,826 | |||||||||
|
| |||||||||||
2,155,053 | ||||||||||||
|
| |||||||||||
Finance — 5.23% |
| |||||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland) |
| |||||||||||
3.95% | 02/01/223 | 600,000 | 614,025 | |||||||||
4.45% | 12/16/213 | 100,000 | 102,316 | |||||||||
Air Lease Corp. |
| |||||||||||
2.25% | 01/15/23 | 600,000 | 616,133 | |||||||||
3.50% | 01/15/22 | 200,000 | 204,541 | |||||||||
Citigroup, Inc. |
| |||||||||||
3.14% | 01/24/234 | 2,450,000 | 2,501,013 | |||||||||
(LIBOR USD 3-Month plus 0.95%) |
| |||||||||||
1.17% | 07/24/232 | 308,000 | 310,557 | |||||||||
Daimler Finance North America LLC |
| |||||||||||
2.20% | 10/30/211 | 65,000 | 65,692 | |||||||||
(LIBOR USD 3-Month plus 0.90%) |
| |||||||||||
1.09% | 02/15/221,2 | 290,000 | 291,981 | |||||||||
Ford Motor Credit Co. LLC |
| |||||||||||
3.81% | 10/12/21 | 1,150,000 | 1,164,363 | |||||||||
(LIBOR USD 3-Month plus 0.81%) |
| |||||||||||
1.05% | 04/05/212 | 480,000 | 480,000 | |||||||||
General Motors Financial Co., Inc. |
| |||||||||||
4.38% | 09/25/21 | 545,000 | 555,143 | |||||||||
Goldman Sachs Group, Inc. (The) |
| |||||||||||
2.88% | 10/31/224 | 2,450,000 | 2,482,635 | |||||||||
Goldman Sachs Group, Inc. (The), |
| |||||||||||
Series FXD |
| |||||||||||
0.48% | 01/27/23 | 1,395,000 | 1,393,577 | |||||||||
Morgan Stanley |
| |||||||||||
(MTN) |
| |||||||||||
0.53% | 01/25/244 | 90,000 | 89,864 | |||||||||
Nationwide Building Society |
| |||||||||||
(United Kingdom) |
| |||||||||||
3.62% | 04/26/231,3,4 | 540,000 | 557,171 | |||||||||
3.77% | 03/08/241,3,4 | 680,000 | 718,700 | |||||||||
Park Aerospace Holdings Ltd. |
| |||||||||||
(Cayman Islands) |
| |||||||||||
4.50% | 03/15/231,3 | 100,000 | 104,484 | |||||||||
5.25% | 08/15/221,3 | 445,000 | 467,315 | |||||||||
|
| |||||||||||
12,719,510 | ||||||||||||
|
| |||||||||||
Food — 0.43% |
| |||||||||||
Kraft Heinz Foods Co. |
| |||||||||||
4.00% | 06/15/23 | 600,000 | 642,144 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Food (continued) |
| |||||||||||
Smithfield Foods, Inc. |
| |||||||||||
3.35% | 02/01/221 | $ | 400,000 | $ | 405,141 | |||||||
|
| |||||||||||
1,047,285 | ||||||||||||
|
| |||||||||||
Health Care — 3.08% |
| |||||||||||
AbbVie, Inc. |
| |||||||||||
3.20% | 11/06/22 | 600,000 | 622,644 | |||||||||
3.25% | 10/01/22 | 200,000 | 206,915 | |||||||||
Anthem, Inc. |
| |||||||||||
3.70% | 08/15/21 | 500,000 | 501,848 | |||||||||
Bausch Health Cos., Inc. |
| |||||||||||
(Canada) |
| |||||||||||
7.00% | 03/15/241,3 | 252,000 | 258,048 | |||||||||
Bayer U.S. Finance II LLC |
| |||||||||||
2.20% | 07/15/221 | 600,000 | 609,505 | |||||||||
3.88% | 12/15/231 | 1,140,000 | 1,229,649 | |||||||||
Becton Dickinson and Co. |
| |||||||||||
3.30% | 03/01/23 | 600,000 | 625,690 | |||||||||
CVS Health Corp. |
| |||||||||||
3.50% | 07/20/22 | 600,000 | 621,327 | |||||||||
Dignity Health |
| |||||||||||
3.13% | 11/01/22 | 150,000 | 155,327 | |||||||||
Fresenius Medical Care U.S. Finance II, Inc. |
| |||||||||||
5.88% | 01/31/221 | 200,000 | 208,153 | |||||||||
Fresenius U.S. Finance II, Inc. |
| |||||||||||
4.50% | 01/15/231 | 585,000 | 613,506 | |||||||||
Gilead Sciences, Inc. |
| |||||||||||
(LIBOR USD 3-Month plus 0.52%) |
| |||||||||||
0.71% | 09/29/232 | 655,000 | 655,848 | |||||||||
Humana, Inc. |
| |||||||||||
3.15% | 12/01/22 | 600,000 | 622,438 | |||||||||
Viatris, Inc. |
| |||||||||||
1.13% | 06/22/221 | 550,000 | 553,298 | |||||||||
|
| |||||||||||
7,484,196 | ||||||||||||
|
| |||||||||||
Industrials — 0.90% |
| |||||||||||
Amcor Flexibles North America, Inc. |
| |||||||||||
4.50% | 10/15/21 | 385,000 | 389,261 | |||||||||
BAE Systems PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
4.75% | 10/11/211,3 | 250,000 | 255,502 | |||||||||
Berry Global, Inc. |
| |||||||||||
0.95% | 02/15/241 | 635,000 | 632,383 | |||||||||
General Electric Co. |
| |||||||||||
(MTN) |
| |||||||||||
(LIBOR USD 3-Month plus 0.38%) |
| |||||||||||
0.58% | 05/05/262 | 150,000 | 146,147 | |||||||||
General Electric Co., |
| |||||||||||
Series NOTZ (MTN) |
| |||||||||||
(LIBOR USD 3-Month plus 1.00%) |
| |||||||||||
1.24% | 04/15/232 | 750,000 | 756,442 | |||||||||
|
| |||||||||||
2,179,735 | ||||||||||||
|
| |||||||||||
Information Technology — 0.36% |
| |||||||||||
NXP BV/NXP Funding LLC |
| |||||||||||
(Netherlands) |
| |||||||||||
3.88% | 09/01/221,3 | 600,000 | 626,679 |
See accompanying Notes to Financial Statements.
189 / Annual Report March 2021 |
Table of Contents
Ultra Short Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Information Technology (continued) |
| |||||||||||
4.63% | 06/01/231,3 | $ | 220,000 | $ | 238,321 | |||||||
|
| |||||||||||
865,000 | ||||||||||||
|
| |||||||||||
Insurance — 0.27% |
| |||||||||||
Nationwide Mutual Insurance Co. |
| |||||||||||
2.47% | 12/15/241,4 | 670,000 | 669,632 | |||||||||
|
| |||||||||||
Materials — 0.15% |
| |||||||||||
Nutrition & Biosciences, Inc. |
| |||||||||||
0.70% | 09/15/221 | 375,000 | 375,801 | |||||||||
|
| |||||||||||
Real Estate Investment Trust (REIT) — 1.40% |
| |||||||||||
American Campus Communities Operating Partnership LP |
| |||||||||||
3.75% | 04/15/23 | 600,000 | 634,657 | |||||||||
Boston Properties LP |
| |||||||||||
3.85% | 02/01/23 | 600,000 | 630,784 | |||||||||
GLP Capital LP/GLP Financing II, Inc. |
| |||||||||||
5.38% | 11/01/23 | 1,000,000 | 1,094,685 | |||||||||
Highwoods Realty LP |
| |||||||||||
3.20% | 06/15/21 | 131,000 | 131,645 | |||||||||
SL Green Operating Partnership LP |
| |||||||||||
3.25% | 10/15/22 | 870,000 | 902,026 | |||||||||
|
| |||||||||||
3,393,797 | ||||||||||||
|
| |||||||||||
Retail — 0.52% |
| |||||||||||
7-Eleven, Inc. |
| |||||||||||
(LIBOR USD 3-Month plus 0.45%) |
| |||||||||||
0.65% | 08/10/221,2 | 650,000 | 650,700 | |||||||||
Alimentation Couche-Tard, Inc. |
| |||||||||||
(Canada) |
| |||||||||||
2.70% | 07/26/221,3 | 600,000 | 616,102 | |||||||||
|
| |||||||||||
1,266,802 | ||||||||||||
|
| |||||||||||
Services — 0.38% |
| |||||||||||
IHS Markit Ltd. (Bermuda) |
| |||||||||||
5.00% | 11/01/221,3 | 880,000 | 928,331 | |||||||||
|
| |||||||||||
Transportation — 0.37% |
| |||||||||||
Aviation Capital Group LLC |
| |||||||||||
(LIBOR USD 3-Month plus 0.95%) |
| |||||||||||
1.14% | 06/01/211,2 | 250,000 | 250,019 | |||||||||
Continental Airlines Pass-Through Trust, |
| |||||||||||
Series 2007-1, Class A |
| |||||||||||
5.98% | 04/19/22 | 259,388 | 264,840 | |||||||||
Delta Air Lines Pass-Through Trust, |
| |||||||||||
Series 2002-1, Class G1 |
| |||||||||||
6.72% | 01/02/23 | 75,989 | 78,459 | |||||||||
Northwest Airlines Pass-Through Trust, |
| |||||||||||
Series 2001-1, Class A1 |
| |||||||||||
7.04% | 04/01/22 | 292,947 | 302,263 | |||||||||
|
| |||||||||||
895,581 | ||||||||||||
|
| |||||||||||
Total Corporates |
| |||||||||||
(Cost $56,746,915) |
| 56,903,917 | ||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED — 33.84%** |
| |||||||||
Non-Agency Commercial Mortgage-Backed — 3.33% |
| |||||||||
Barclays Commercial Mortgage Securities Mortgage Trust, |
| |||||||||
Series 2017-C1, Class A2 |
| |||||||||
3.19% | 02/15/50 | $ | 126,249 | $ | 128,447 | |||||
BX Commercial Mortgage Trust, |
| |||||||||
Series 2018-IND, Class A |
| |||||||||
(LIBOR USD 1-Month plus 0.75%) |
| |||||||||
0.86% | 11/15/351,2 | 65,343 | 65,423 | |||||||
BX Commercial Mortgage Trust, |
| |||||||||
Series 2020-BXLP, Class A |
| |||||||||
(LIBOR USD 1-Month plus 0.80%) |
| |||||||||
0.91% | 12/15/361,2 | 249,494 | 249,905 | |||||||
CFCRE Commercial Mortgage Trust, |
| |||||||||
Series 2016-C4, Class ASB |
| |||||||||
3.09% | 05/10/58 | 450,000 | 475,071 | |||||||
Citigroup Commercial Mortgage Trust, |
| |||||||||
Series 2020-WSS, Class A |
| |||||||||
(LIBOR USD 1-Month plus 1.95%) |
| |||||||||
2.06% | 02/15/391,2 | 761,777 | 773,022 | |||||||
Commercial Mortgage Trust, |
| |||||||||
Series 2013-CR9, Class ASB |
| |||||||||
3.83% | 07/10/45 | 284,355 | 294,993 | |||||||
Commercial Mortgage Trust, |
| |||||||||
Series 2013-LC6, Class XA (IO) |
| |||||||||
1.31% | 01/10/464 | 2,673,169 | 48,928 | |||||||
CSAIL Commercial Mortgage Trust, |
| |||||||||
Series 2017-CX9, Class A2 |
| |||||||||
3.05% | 09/15/50 | 950,000 | 976,319 | |||||||
DBRR Trust, |
| |||||||||
Series 2011-LC2, Class A4A |
| |||||||||
4.54% | 07/12/441,4 | 73,465 | 73,454 | |||||||
GS Mortgage Securities Trust, |
| |||||||||
Series 2013-GC14, Class A4 |
| |||||||||
3.96% | 08/10/46 | 742,000 | 774,161 | |||||||
Irvine Core Office Trust, |
| |||||||||
Series 2013-IRV, Class A1 |
| |||||||||
2.07% | 05/15/481 | 476,245 | 483,760 | |||||||
JPMBB Commercial Mortgage Securities Trust, |
| |||||||||
Series 2014-C18, Class A4A2 |
| |||||||||
3.79% | 02/15/471 | 1,047,805 | 1,114,305 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust, |
| |||||||||
Series 2011-C5, Class A3 |
| |||||||||
4.17% | 08/15/46 | 304,949 | 307,061 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust, |
| |||||||||
Series 2012-C6, Class ASB |
| |||||||||
3.14% | 05/15/45 | 236,328 | 239,687 | |||||||
Morgan Stanley Bank of America Merrill Lynch Trust, |
| |||||||||
Series 2013-C12, Class XA (IO) |
| |||||||||
0.59% | 10/15/464 | 2,773,670 | 32,707 | |||||||
Morgan Stanley Bank of America Merrill Lynch Trust, |
| |||||||||
Series 2014-C15, Class A3 |
| |||||||||
3.77% | 04/15/47 | 93,809 | 98,822 | |||||||
Morgan Stanley Capital I Trust, |
| |||||||||
Series 2011-C3, Class A4 |
| |||||||||
4.12% | 07/15/49 | 173,105 | 173,177 |
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 190 |
Table of Contents
Ultra Short Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
Non-Agency Commercial Mortgage-Backed (continued) |
| |||||||||
UBS Commercial Mortgage Trust, |
| |||||||||
Series 2012-C1, Class XA (IO) |
| |||||||||
2.06% | 05/10/451,4 | $ | 2,145,076 | $ | 23,621 | |||||
UBS Commercial Mortgage Trust, |
| |||||||||
Series 2018-C11, Class A1 |
| |||||||||
3.21% | 06/15/51 | 22,017 | 22,188 | |||||||
UBS-Barclays Commercial Mortgage Trust, |
| |||||||||
Series 2013-C5, Class XA (IO) |
| |||||||||
0.91% | 03/10/461,4 | 3,724,050 | 45,897 | |||||||
Wells Fargo Commercial Mortgage Trust, |
| |||||||||
Series 2016-C34, Class A2 |
| |||||||||
2.60% | 06/15/49 | 493,719 | 494,494 | |||||||
Wells Fargo Commercial Mortgage Trust, |
| |||||||||
Series 2016-C36, Class A2 |
| |||||||||
2.50% | 11/15/59 | 120,423 | 121,470 | |||||||
Wells Fargo Commercial Mortgage Trust, |
| |||||||||
Series 2016-LC24, Class A2 |
| |||||||||
2.50% | 10/15/49 | 117,969 | 118,593 | |||||||
Wells Fargo Commercial Mortgage Trust, |
| |||||||||
Series 2018-C47, Class A2 |
| |||||||||
4.36% | 09/15/61 | 868,000 | 925,342 | |||||||
WF-RBS Commercial Mortgage Trust, |
| |||||||||
Series 2011-C5, Class XA (IO) |
| |||||||||
1.67% | 11/15/441,4 | 6,513,699 | 12,243 | |||||||
WF-RBS Commercial Mortgage Trust, |
| |||||||||
Series 2012-C9, Class XA (IO) |
| |||||||||
1.87% | 11/15/451,4 | 1,412,235 | 30,589 | |||||||
|
| |||||||||
8,103,679 | ||||||||||
|
| |||||||||
Non-Agency Mortgage-Backed — 5.76% |
| |||||||||
Aames Mortgage Investment Trust, |
| |||||||||
Series 2006-1, Class A4 |
| |||||||||
(LIBOR USD 1-Month plus 0.56%) |
| |||||||||
0.67% | 04/25/362 | 292,456 | 290,691 | |||||||
Aames Mortgage Trust, |
| |||||||||
Series 2002-1, Class A3 (STEP-reset date 05/25/21) |
| |||||||||
7.40% | 06/25/32 | 16,556 | 16,801 | |||||||
Adjustable Rate Mortgage Trust, |
| |||||||||
Series 2005-1, Class 1A1 |
| |||||||||
3.06% | 05/25/354 | 50,009 | 49,843 | |||||||
Ajax Mortgage Loan Trust, |
| |||||||||
Series 2019-F, Class A1 (STEP-reset date 04/25/21) |
| |||||||||
2.86% | 07/25/591 | 270,139 | 277,673 | |||||||
Alternative Loan Trust, |
| |||||||||
Series 2004-J6, Class 2A1 |
| |||||||||
6.50% | 11/25/31 | 55,468 | 57,299 | |||||||
Banc of America Funding Trust, |
| |||||||||
Series 2003-2, Class 1A1 |
| |||||||||
6.50% | 06/25/32 | 2,824 | 2,886 | |||||||
Bear Stearns ALT-A Trust, |
| |||||||||
Series 2005-2, Class 1M1 |
| |||||||||
(LIBOR USD 1-Month plus 0.75%) |
| |||||||||
0.86% | 03/25/352 | 424,168 | 425,693 |
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
Non-Agency Mortgage-Backed (continued) |
| |||||||||
Carrington Mortgage Loan Trust, |
| |||||||||
Series 2005-NC4, Class M2 |
| |||||||||
(LIBOR USD 1-Month plus 0.75%) |
| |||||||||
0.86% | 09/25/352 | $ | 357,220 | $ | 360,483 | |||||
Citigroup Mortgage Loan Trust, |
| |||||||||
Series 2007-AMC4, Class A2D |
| |||||||||
(LIBOR USD 1-Month plus 0.27%) |
| |||||||||
0.38% | 05/25/372 | 500,000 | 474,501 | |||||||
Citigroup Mortgage Loan Trust, Inc., |
| |||||||||
Series 2004-HYB1, Class A41 |
| |||||||||
2.06% | 02/25/344 | 13,013 | 13,017 | |||||||
Citigroup Mortgage Loan Trust, Inc., |
| |||||||||
Series 2006-WFH4, Class M2 |
| |||||||||
(LIBOR USD 1-Month plus 0.44%) |
| |||||||||
0.54% | 11/25/362 | 800,000 | 784,274 | |||||||
Credit Suisse First Boston Mortgage Securities Corp., |
| |||||||||
Series 2002-AR31, Class 4A2 |
| |||||||||
2.52% | 11/25/324 | 18,985 | 19,221 | |||||||
Credit-Based Asset Servicing and Securitization LLC, |
| |||||||||
Series 2005-CB4, Class M4 |
| |||||||||
(LIBOR USD 1-Month plus 0.90%) |
| |||||||||
1.01% | 07/25/352 | 1,000,000 | 994,186 | |||||||
DSLA Mortgage Loan Trust, |
| |||||||||
Series 2004-AR3, Class 2A2A |
| |||||||||
(LIBOR USD 1-Month plus 0.74%) |
| |||||||||
0.85% | 07/19/442 | 111,013 | 107,210 | |||||||
GE Mortgage Services LLC, |
| |||||||||
Series 1998-HE1, Class A7 |
| |||||||||
6.47% | 06/25/28 | 1 | 1 | |||||||
GSAA Home Equity Trust, |
| |||||||||
Series 2005-MTR1, Class A4 |
| |||||||||
(LIBOR USD 1-Month plus 0.74%) |
| |||||||||
0.85% | 10/25/352 | 788,659 | 790,542 | |||||||
HomeBanc Mortgage Trust, |
| |||||||||
Series 2005-4, Class A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.54%) |
| |||||||||
0.65% | 10/25/352 | 588,760 | 595,241 | |||||||
HSI Asset Securitization Corp. Trust, |
| |||||||||
Series 2006-OPT1, Class M1 |
| |||||||||
(LIBOR USD 1-Month plus 0.36%) |
| |||||||||
0.47% | 12/25/352 | 275,033 | 272,873 | |||||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||
Series 2004-AR12, Class A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.78%) |
| |||||||||
0.89% | 12/25/342 | 334,705 | 287,107 | |||||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||
Series 2004-AR6, Class 6A1 |
| |||||||||
2.89% | 10/25/344 | 107,377 | 106,114 | |||||||
JPMorgan Mortgage Acquisition Trust, |
| |||||||||
Series 2005-WMC1, Class M2 |
| |||||||||
(LIBOR USD 1-Month plus 0.66%) |
| |||||||||
0.77% | 09/25/352 | 504,094 | 505,209 | |||||||
JPMorgan Mortgage Acquisition Trust, |
| |||||||||
Series 2006-CH1, Class M1 |
| |||||||||
(LIBOR USD 1-Month plus 0.22%) |
| |||||||||
0.33% | 07/25/362 | 148,056 | 148,136 |
See accompanying Notes to Financial Statements.
191 / Annual Report March 2021 |
Table of Contents
Ultra Short Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
Non-Agency Mortgage-Backed (continued) |
| |||||||||
JPMorgan Mortgage Acquisition Trust, |
| |||||||||
Series 2006-NC2, Class A5 |
| |||||||||
(LIBOR USD 1-Month plus 0.25%) |
| |||||||||
0.36% | 07/25/362 | $ | 260,667 | $ | 257,400 | |||||
JPMorgan Mortgage Trust, |
| |||||||||
Series 2005-A2, Class 9A1 |
| |||||||||
2.27% | 04/25/354 | 128,394 | 129,397 | |||||||
Long Beach Mortgage Loan Trust, |
| |||||||||
Series 2005-WL1, Class M3 |
| |||||||||
(LIBOR USD 1-Month plus 0.90%) |
| |||||||||
1.01% | 06/25/352 | 533,110 | 533,394 | |||||||
MASTR Adjustable Rate Mortgages Trust, |
| |||||||||
Series 2004-12, Class 5A1 |
| |||||||||
2.94% | 10/25/344 | 134,301 | 134,301 | |||||||
MASTR Adjustable Rate Mortgages Trust, |
| |||||||||
Series 2004-5, Class 3A1 |
| |||||||||
4.12% | 06/25/344 | 5,720 | 5,833 | |||||||
MASTR Seasoned Securitization Trust, |
| |||||||||
Series 2004-1, Class 4A1 |
| |||||||||
2.69% | 10/25/324 | 20,280 | 21,126 | |||||||
Merrill Lynch Mortgage Investors Trust, |
| |||||||||
Series 2003-A1, Class 2A |
| |||||||||
(LIBOR USD 12-Month plus 1.63%) |
| |||||||||
1.91% | 12/25/322 | 148,421 | 147,866 | |||||||
MortgageIT Trust, |
| |||||||||
Series 2005-1, Class 1A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.64%) |
| |||||||||
0.75% | 02/25/352 | 806,342 | 831,355 | |||||||
Nomura Resecuritization Trust, | ||||||||||
Series 2014-8R, Class 2A1 | ||||||||||
3.00% | 09/26/351,4 | 508,322 | 508,322 | |||||||
Nomura Resecuritization Trust, |
| |||||||||
Series 2015-9R, Class 2A1 (STEP-reset date 05/25/21) |
| |||||||||
3.00% | 05/25/361 | 709,390 | 709,389 | |||||||
Option One Mortgage Loan Trust Asset-Backed Certificates 2005-4, |
| |||||||||
Series 2005-4, Class M1 |
| |||||||||
(LIBOR USD 1-Month plus 0.66%) |
| |||||||||
0.77% | 11/25/352 | 271,667 | 272,006 | |||||||
Residential Asset Mortgage Products Trust, |
| |||||||||
Series 2004-SL1, Class A2 |
| |||||||||
8.50% | 11/25/31 | 34,570 | 11 | |||||||
Residential Asset Securities Corp., |
| |||||||||
Series 2006-KS3, Class M1 |
| |||||||||
(LIBOR USD 1-Month plus 0.33%) |
| |||||||||
0.60% | 04/25/362 | 732,112 | 729,555 | |||||||
Residential Asset Securities Corp., |
| |||||||||
Series 2006-KS7, Class A4 |
| |||||||||
(LIBOR USD 1-Month plus 0.24%) |
| |||||||||
0.35% | 09/25/362 | 868,967 | 864,946 | |||||||
Residential Asset Securitization Trust, |
| |||||||||
Series 2004-IP2, Class 2A1 |
| |||||||||
3.01% | 12/25/344 | 63,221 | 63,031 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
Non-Agency Mortgage-Backed (continued) |
| |||||||||||
Soundview Home Loan Trust, |
| |||||||||||
Series 2006-1, Class A4 |
| |||||||||||
(LIBOR USD 1-Month plus 0.60%) |
| |||||||||||
0.71% | 02/25/362 | $ | 592,587 | $ | 591,555 | |||||||
Structured Asset Investment Loan Trust, |
| |||||||||||
Series 2005-HE3, Class M1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.72%) |
| |||||||||||
0.83% | 09/25/352 | 438,287 | 437,346 | |||||||||
Structured Asset Securities Corp. Mortgage Loan Trust, |
| |||||||||||
Series 2006-EQ1A, Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.14%) |
| |||||||||||
0.24% | 07/25/361,2 | 386,155 | 367,555 | |||||||||
Structured Asset Securities Corp. Mortgage Loan Trust, |
| |||||||||||
Series 2006-OPT1, Class A1 |
| |||||||||||
(LIBOR USD 1-Month plus 0.18%) |
| |||||||||||
0.29% | 04/25/362 | 664,242 | 642,282 | |||||||||
Terwin NIMs Trust, |
| |||||||||||
Series 2004-13AL, Class 2PX (IO) |
| |||||||||||
0.34% | 08/25/341,5,6 | 1,432,584 | 18,543 | |||||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||||
Series 2002-AR6, Class A |
| |||||||||||
(Federal Reserve US 12-Month Cumulative Average plus |
| |||||||||||
1.40%) | ||||||||||||
1.66% | 06/25/422 | 16,875 | 16,722 | |||||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||||
Series 2003-AR6, Class A1 |
| |||||||||||
3.07% | 06/25/334 | 40,598 | 42,186 | |||||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||||
Series 2005-4, Class CB13 |
| |||||||||||
(LIBOR USD 1-Month plus 0.50%) |
| |||||||||||
0.61% | 06/25/352 | 121,275 | 99,623 | |||||||||
|
| |||||||||||
14,002,745 | ||||||||||||
|
| |||||||||||
U.S. Agency Commercial Mortgage-Backed — 5.75% |
| |||||||||||
Banc of America Commercial Mortgage Trust, |
| |||||||||||
Series 2016-UB10, Class A2 |
| |||||||||||
2.72% | 07/15/49 | 798,831 | 802,720 | |||||||||
Citigroup Commercial Mortgage Trust, |
| |||||||||||
Series 2016-C2, Class A2 |
| |||||||||||
1.85% | 08/10/49 | 407,000 | 408,244 | |||||||||
Citigroup Commercial Mortgage Trust, |
| |||||||||||
Series 2016-P5, Class A2 |
| |||||||||||
2.40% | 10/10/49 | 760,000 | 764,318 | |||||||||
Commercial Mortgage Trust, |
| |||||||||||
Series 2015-CR22, Class A2 |
| |||||||||||
2.86% | 03/10/48 | 1,640,067 | 1,649,324 | |||||||||
DBWF Mortgage Trust, |
| |||||||||||
Series 2018-AMXP, Class A |
| |||||||||||
3.75% | 05/05/351,4 | 1,500,000 | 1,531,952 | |||||||||
Fannie Mae-Aces, |
| |||||||||||
Series 2012-M4, Class X1 (IO) |
| |||||||||||
0.51% | 04/25/224 | 2,605,653 | 2,673 | |||||||||
Fannie Mae-Aces, |
| |||||||||||
Series 2016-M11, Class AL |
| |||||||||||
2.94% | 07/25/39 | 178,776 | 184,532 |
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 192 |
Table of Contents
Ultra Short Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
U.S. Agency Commercial Mortgage-Backed (continued) |
| |||||||||
Fannie Mae-Aces, |
| |||||||||
Series 2018-M1, Class A1 |
| |||||||||
2.98% | 12/25/274 | $ | 364,408 | $ | 387,001 | |||||
Freddie Mac Multifamily Structured Pass-Through Certificates, |
| |||||||||
Series K021, Class X1 (IO) |
| |||||||||
1.40% | 06/25/224 | 8,946,862 | 115,650 | |||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, |
| |||||||||
Series KF22, Class A |
| |||||||||
(LIBOR USD 1-Month plus 0.50%) |
| |||||||||
0.62% | 07/25/232 | 310,368 | 310,962 | |||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, |
| |||||||||
Series KJ24, Class A1 |
| |||||||||
2.28% | 05/25/26 | 426,955 | 443,565 | |||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, |
| |||||||||
Series KJ26, Class A1 |
| |||||||||
2.14% | 07/25/25 | 994,907 | 1,028,700 | |||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, |
| |||||||||
Series KJ28, Class A1 |
| |||||||||
1.77% | 02/25/25 | 211,187 | 216,278 | |||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, |
| |||||||||
Series KJ29, Class A1 |
| |||||||||
0.74% | 01/25/26 | 851,263 | 844,204 | |||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, |
| |||||||||
Series KS07, Class X (IO) |
| |||||||||
0.65% | 09/25/254 | 3,471,235 | 95,962 | |||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, |
| |||||||||
Series Q004, Class A2H |
| |||||||||
2.71% | 01/25/464 | 83,221 | 83,376 | |||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, |
| |||||||||
Series Q004, Class AFL |
| |||||||||
(Federal Reserve US 12-Month Cumulative Average plus 0.74%) |
| |||||||||
1.00% | 05/25/442 | 187,954 | 188,115 | |||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, |
| |||||||||
Series Q010, Class APT1 |
| |||||||||
2.55% | 04/25/464 | 265,459 | 275,079 | |||||||
Ginnie Mae, |
| |||||||||
Series 2007-12, Class C |
| |||||||||
5.28% | 04/16/414 | 158,333 | 159,814 | |||||||
Ginnie Mae, |
| |||||||||
Series 2008-92, Class E |
| |||||||||
5.56% | 03/16/444 | 179,653 | 182,418 | |||||||
Ginnie Mae, |
| |||||||||
Series 2010-159, Class D |
| |||||||||
4.29% | 09/16/444 | 468,309 | 483,322 |
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
U.S. Agency Commercial Mortgage-Backed (continued) |
| |||||||||
Ginnie Mae, |
| |||||||||
Series 2011-165, Class IO (IO) |
| |||||||||
0.01% | 10/16/514 | $ | 4,819,340 | $ | 4,620 | |||||
Ginnie Mae, |
| |||||||||
Series 2011-58, Class C |
| |||||||||
3.57% | 08/16/514 | 756,725 | 781,152 | |||||||
Ginnie Mae, |
| |||||||||
Series 2011-92, Class C |
| |||||||||
3.78% | 04/16/524 | 1,319,532 | 1,370,082 | |||||||
Ginnie Mae, |
| |||||||||
Series 2012-135, Class IO (IO) |
| |||||||||
0.55% | 01/16/534 | 2,627,238 | 54,484 | |||||||
WF-RBS Commercial Mortgage Trust, |
| |||||||||
Series 2014-C19, Class A3 |
| |||||||||
3.66% | 03/15/47 | 1,596,782 | 1,607,401 | |||||||
|
| |||||||||
13,975,948 | ||||||||||
|
| |||||||||
U.S. Agency Mortgage-Backed — 19.00% |
| |||||||||
Fannie Mae Pool 254548 |
| |||||||||
5.50% | 12/01/32 | 79,329 | 92,207 | |||||||
Fannie Mae Pool 555098 |
| |||||||||
(LIBOR USD 12-Month plus 1.51%) |
| |||||||||
1.95% | 11/01/322 | 12,301 | 12,276 | |||||||
Fannie Mae Pool 555424 |
| |||||||||
5.50% | 05/01/33 | 52,805 | 60,552 | |||||||
Fannie Mae Pool 567002 |
| |||||||||
8.00% | 05/01/23 | 5,740 | 5,979 | |||||||
Fannie Mae Pool 655133 |
| |||||||||
7.00% | 08/01/32 | 6,186 | 6,545 | |||||||
Fannie Mae Pool 655151 |
| |||||||||
7.00% | 08/01/32 | 11,736 | 12,583 | |||||||
Fannie Mae Pool 762525 |
| |||||||||
6.50% | 11/01/33 | 19,352 | 21,655 | |||||||
Fannie Mae Pool 770900 |
| |||||||||
(LIBOR USD 12-Month plus 1.56%) |
| |||||||||
3.31% | 04/01/342 | 77,336 | 79,090 | |||||||
Fannie Mae Pool AD0538 |
| |||||||||
6.00% | 05/01/24 | 17,980 | 18,888 | |||||||
Fannie Mae Pool AE0443 |
| |||||||||
6.50% | 10/01/39 | 61,254 | 71,651 | |||||||
Fannie Mae Pool AL0851 |
| |||||||||
6.00% | 10/01/40 | 54,851 | 63,779 | |||||||
Fannie Mae Pool AM4580 |
| |||||||||
3.43% | 10/01/23 | 474,395 | 504,426 | |||||||
Fannie Mae REMICS, |
| |||||||||
Series 1993-80, Class S |
| |||||||||
(-1.22 X LIBOR USD 1-Month plus 10.88%, 10.88% Cap) |
| |||||||||
10.75% | 05/25/232 | 299 | 324 | |||||||
Fannie Mae REMICS, |
| |||||||||
Series 2001-42, Class SB |
| |||||||||
(-16.00 X LIBOR USD 1-Month plus 128.00%, 8.50% Cap) |
| |||||||||
8.50% | 09/25/312 | 1,092 | 1,210 | |||||||
Fannie Mae REMICS, |
| |||||||||
Series 2001-60, Class OF |
| |||||||||
(LIBOR USD 1-Month plus 0.95%) |
| |||||||||
1.06% | 10/25/312 | 78,130 | 78,548 |
See accompanying Notes to Financial Statements.
193 / Annual Report March 2021 |
Table of Contents
Ultra Short Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
U.S. Agency Mortgage-Backed (continued) |
| |||||||||
Fannie Mae REMICS, |
| |||||||||
Series 2002-30, Class FB |
| |||||||||
(LIBOR USD 1-Month plus 1.00%) |
| |||||||||
1.11% | 08/25/312 | $ | 87,824 | $ | 89,520 | |||||
Fannie Mae REMICS, |
| |||||||||
Series 2003-124, Class TS |
| |||||||||
(-14.00 X LIBOR USD 1-Month plus 100.80%, 9.80% Cap) |
| |||||||||
9.80% | 01/25/342 | 12,108 | 14,189 | |||||||
Fannie Mae REMICS, |
| |||||||||
Series 2004-60, Class FW |
| |||||||||
(LIBOR USD 1-Month plus 0.45%) |
| |||||||||
0.56% | 04/25/342 | 276,019 | 277,964 | |||||||
Fannie Mae REMICS, |
| |||||||||
Series 2004-96, Class MT |
| |||||||||
(-17.50 X LIBOR USD 1-Month plus 125.13%, 7.00% Cap) |
| |||||||||
7.00% | 12/25/342 | 10,049 | 11,096 | |||||||
Fannie Mae REMICS, |
| |||||||||
Series 2005-73, Class DF |
| |||||||||
(LIBOR USD 1-Month plus 0.25%) |
| |||||||||
0.36% | 08/25/352 | 140,909 | 141,306 | |||||||
Fannie Mae REMICS, |
| |||||||||
Series 2007-68, Class SC (IO) |
| |||||||||
(-1.00 X LIBOR USD 1-Month plus 6.70%, 6.70% Cap) |
| |||||||||
6.59% | 07/25/372 | 79,159 | 17,048 | |||||||
Fannie Mae REMICS, |
| |||||||||
Series 2010-109, Class PF |
| |||||||||
(LIBOR USD 1-Month plus 0.40%) |
| |||||||||
0.51% | 10/25/402 | 54,772 | 55,151 | |||||||
Fannie Mae REMICS, |
| |||||||||
Series 2010-26, Class S (IO) |
| |||||||||
(-1.00 X LIBOR USD 1-Month plus 6.23%, 6.23% Cap) |
| |||||||||
6.12% | 11/25/362 | 297,268 | 61,406 | |||||||
Fannie Mae REMICS, |
| |||||||||
Series 2010-95, Class FB |
| |||||||||
(LIBOR USD 1-Month plus 0.40%) |
| |||||||||
0.51% | 09/25/402 | 77,871 | 78,438 | |||||||
Fannie Mae REMICS, |
| |||||||||
Series 2011-47, Class GF |
| |||||||||
(LIBOR USD 1-Month plus 0.57%) |
| |||||||||
0.68% | 06/25/412 | 1,038,853 | 1,055,090 | |||||||
Fannie Mae REMICS, |
| |||||||||
Series 2012-19, Class FP |
| |||||||||
(LIBOR USD 1-Month plus 0.50%) |
| |||||||||
0.61% | 12/25/392 | 183,506 | 184,027 | |||||||
Fannie Mae REMICS, |
| |||||||||
Series 2014-19, Class FA |
| |||||||||
(LIBOR USD 1-Month plus 0.40%) |
| |||||||||
0.51% | 11/25/392 | 28,946 | 28,954 | |||||||
Fannie Mae REMICS, |
| |||||||||
Series 2018-79, Class FA |
| |||||||||
(LIBOR USD 1-Month plus 0.25%) |
| |||||||||
0.36% | 11/25/482 | 75,145 | 75,196 | |||||||
Fannie Mae REMICS, |
| |||||||||
Series 2019-79, Class FA |
| |||||||||
(LIBOR USD 1-Month plus 0.50%) |
| |||||||||
0.61% | 01/25/502 | 170,713 | 172,712 |
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
U.S. Agency Mortgage-Backed (continued) |
| |||||||||
Fannie Mae REMICS, |
| |||||||||
Series 2020-10, Class FA |
| |||||||||
(LIBOR USD 1-Month plus 0.50%) |
| |||||||||
0.61% | 03/25/502 | $ | 660,371 | $ | 667,042 | |||||
Freddie Mac Gold Pool C90474 | ||||||||||
7.00% | 08/01/21 | 695 | 698 | |||||||
Freddie Mac REMICS, |
| |||||||||
Series 1526, Class L |
| |||||||||
6.50% | 06/15/23 | 662 | 696 | |||||||
Freddie Mac REMICS, |
| |||||||||
Series 2368, Class AF |
| |||||||||
(LIBOR USD 1-Month plus 0.95%) |
| |||||||||
1.06% | 10/15/312 | 61,416 | 62,081 | |||||||
Freddie Mac REMICS, |
| |||||||||
Series 2733, Class FB |
| |||||||||
(LIBOR USD 1-Month plus 0.60%) |
| |||||||||
0.71% | 10/15/332 | 524,914 | 532,995 | |||||||
Freddie Mac REMICS, |
| |||||||||
Series 2990, Class LE |
| |||||||||
(LIBOR USD 1-Month plus 0.32%) |
| |||||||||
0.43% | 10/15/342 | 201,341 | 201,710 | |||||||
Freddie Mac REMICS, |
| |||||||||
Series 3066, Class PF |
| |||||||||
(LIBOR USD 1-Month plus 0.30%) |
| |||||||||
0.41% | 04/15/352 | 78,653 | 78,681 | |||||||
Freddie Mac REMICS, |
| |||||||||
Series 3085, Class FW |
| |||||||||
(LIBOR USD 1-Month plus 0.70%) |
| |||||||||
0.81% | 08/15/352 | 340,608 | 346,792 | |||||||
Freddie Mac REMICS, |
| |||||||||
Series 3300, Class FA |
| |||||||||
(LIBOR USD 1-Month plus 0.30%) |
| |||||||||
0.41% | 08/15/352 | 316,992 | 318,257 | |||||||
Freddie Mac REMICS, |
| |||||||||
Series 3325, Class NF |
| |||||||||
(LIBOR USD 1-Month plus 0.30%) |
| |||||||||
0.41% | 08/15/352 | 63,679 | 63,933 | |||||||
Freddie Mac REMICS, |
| |||||||||
Series 3652, Class PF |
| |||||||||
(LIBOR USD 1-Month plus 0.75%) |
| |||||||||
0.86% | 07/15/322 | 8,413 | 8,422 | |||||||
Freddie Mac REMICS, |
| |||||||||
Series 3767, Class JF |
| |||||||||
(LIBOR USD 1-Month plus 0.30%) |
| |||||||||
0.41% | 02/15/392 | 34,576 | 34,595 | |||||||
Freddie Mac REMICS, |
| |||||||||
Series 3792, Class DF |
| |||||||||
(LIBOR USD 1-Month plus 0.40%) |
| |||||||||
0.51% | 11/15/402 | 50,267 | 50,036 | |||||||
Freddie Mac REMICS, |
| |||||||||
Series 3806, Class DF |
| |||||||||
(LIBOR USD 1-Month plus 0.40%) |
| |||||||||
0.51% | 08/15/252 | 22,777 | 22,793 |
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 194 |
Table of Contents
Ultra Short Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
MORTGAGE-BACKED (continued) |
| |||||||||||
U.S. Agency Mortgage-Backed (continued) |
| |||||||||||
Freddie Mac REMICS, |
| |||||||||||
Series 3845, Class FQ |
| |||||||||||
(LIBOR USD 1-Month plus 0.25%) |
| |||||||||||
0.36% | 02/15/262 | $ | 78,788 | $ | 78,835 | |||||||
Freddie Mac REMICS, |
| |||||||||||
Series 3879, Class MF |
| |||||||||||
(LIBOR USD 1-Month plus 0.35%) |
| |||||||||||
0.46% | 09/15/382 | 95,810 | 95,974 | |||||||||
Freddie Mac REMICS, |
| |||||||||||
Series 3895, Class BF |
| |||||||||||
(LIBOR USD 1-Month plus 0.50%) |
| |||||||||||
0.61% | 07/15/412 | 217,666 | 220,589 | |||||||||
Freddie Mac REMICS, |
| |||||||||||
Series 3907, Class FM |
| |||||||||||
(LIBOR USD 1-Month plus 0.35%) |
| |||||||||||
0.46% | 05/15/262 | 59,846 | 60,042 | |||||||||
Freddie Mac REMICS, |
| |||||||||||
Series 3940, Class PF |
| |||||||||||
(LIBOR USD 1-Month plus 0.35%) |
| |||||||||||
0.46% | 05/15/402 | 219,489 | 219,828 | |||||||||
Freddie Mac REMICS, |
| |||||||||||
Series 3946, Class FD |
| |||||||||||
(LIBOR USD 1-Month plus 0.35%) |
| |||||||||||
0.46% | 04/15/412 | 201,403 | 201,848 | |||||||||
Freddie Mac REMICS, |
| |||||||||||
Series 3946, Class FG |
| |||||||||||
(LIBOR USD 1-Month plus 0.35%) |
| |||||||||||
0.46% | 10/15/392 | 126,478 | 126,703 | |||||||||
Freddie Mac REMICS, |
| |||||||||||
Series 4097, Class TF |
| |||||||||||
(LIBOR USD 1-Month plus 0.40%) |
| |||||||||||
0.51% | 05/15/392 | 41,654 | 41,731 | |||||||||
Freddie Mac Strips, |
| |||||||||||
Series 263, Class F5 |
| |||||||||||
(LIBOR USD 1-Month plus 0.50%) |
| |||||||||||
0.61% | 06/15/422 | 263,963 | 266,030 | |||||||||
Ginnie Mae (TBA) |
| |||||||||||
2.00% | 05/20/51 | 4,800,000 | 4,837,030 | |||||||||
2.50% | 05/20/51 | 12,950,000 | 13,333,501 | |||||||||
2.50% | 06/20/51 | 3,700,000 | 3,802,920 | |||||||||
Ginnie Mae I Pool BW5284 |
| |||||||||||
3.55% | 10/15/50 | 1,193,370 | 1,213,598 | |||||||||
Ginnie Mae II Pool 80546 |
| |||||||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 |
| |||||||||||
Year plus 1.50%) | ||||||||||||
2.13% | 10/20/312 | 6,844 | 7,143 | |||||||||
Ginnie Mae II Pool 80610 |
| |||||||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 |
| |||||||||||
Year plus 1.50%) |
| |||||||||||
2.88% | 06/20/322 | 85,114 | 89,211 | |||||||||
Ginnie Mae II Pool 80614 |
| |||||||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 |
| |||||||||||
Year plus 1.50%) |
| |||||||||||
2.25% | 07/20/322 | 8,294 | 8,666 |
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
U.S. Agency Mortgage-Backed (continued) |
| |||||||||
Ginnie Mae II Pool 80687 |
| |||||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%) |
| |||||||||
2.88% | 04/20/332 | $ | 58,423 | $ | 59,931 | |||||
Ginnie Mae II Pool 8339 |
| |||||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%) |
| |||||||||
2.13% | 12/20/232 | 5,758 | 5,859 | |||||||
Ginnie Mae II Pool 8684 |
| |||||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%) |
| |||||||||
2.25% | 08/20/252 | 14,403 | 14,863 | |||||||
Ginnie Mae II Pool MA0331 | ||||||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 1.50%) |
| |||||||||
2.25% | 08/20/422 | 61,383 | 63,681 | |||||||
Ginnie Mae, |
| |||||||||
Series 2002-72, Class FB |
| |||||||||
(LIBOR USD 1-Month plus 0.40%) |
| |||||||||
0.51% | 10/20/322 | 88,616 | 89,135 | |||||||
Ginnie Mae, |
| |||||||||
Series 2002-72, Class FC |
| |||||||||
(LIBOR USD 1-Month plus 0.40%) |
| |||||||||
0.51% | 10/20/322 | 130,719 | 131,484 | |||||||
Ginnie Mae, |
| |||||||||
Series 2003-42, Class FA |
| |||||||||
(LIBOR USD 1-Month plus 0.40%) |
| |||||||||
0.51% | 07/16/312 | 495,588 | 495,644 | |||||||
Ginnie Mae, |
| |||||||||
Series 2004-2, Class FW |
| |||||||||
(LIBOR USD 1-Month plus 1.40%) |
| |||||||||
1.52% | 01/16/342 | 433,247 | 441,559 | |||||||
Ginnie Mae, |
| |||||||||
Series 2009-92, Class FC |
| |||||||||
(LIBOR USD 1-Month plus 0.80%) |
| |||||||||
0.91% | 10/16/392 | 104,673 | 107,127 | |||||||
Ginnie Mae, |
| |||||||||
Series 2010-19, Class FD |
| |||||||||
(LIBOR USD 1-Month plus 0.45%) |
| |||||||||
0.56% | 07/16/392 | 41,889 | 42,172 | |||||||
Ginnie Mae, |
| |||||||||
Series 2011-70, Class IL (IO) |
| |||||||||
(-1.00 X LIBOR USD 1-Month plus 7.10%, 0.60% Cap) |
| |||||||||
0.60% | 06/16/372 | 1,517,256 | 17,816 | |||||||
UMBS (TBA) |
| |||||||||
2.00% | 05/01/51 | 8,200,000 | 8,170,211 | |||||||
2.50% | 05/01/51 | 6,125,000 | 6,272,383 | |||||||
|
| |||||||||
46,196,055 | ||||||||||
|
| |||||||||
Total Mortgage-Backed |
| |||||||||
(Cost $82,361,710) | 82,278,427 | |||||||||
|
|
See accompanying Notes to Financial Statements.
195 / Annual Report March 2021 |
Table of Contents
Ultra Short Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
MUNICIPAL BONDS — 0.72%* |
| |||||||||||
Colorado — 0.40% | ||||||||||||
City & County of Denver Airport System Revenue Bonds, |
| |||||||||||
Series C |
| |||||||||||
0.88% | 11/15/23 | $ | 965,000 | $ | 967,483 | |||||||
|
| |||||||||||
Florida — 0.32% | ||||||||||||
County of Miami-Dade Aviation Revenue Bonds, Airport and |
| |||||||||||
Marina Improvements, Series D |
| |||||||||||
2.32% | 10/01/22 | 755,000 | 776,750 | |||||||||
|
| |||||||||||
Total Municipal Bonds |
| |||||||||||
(Cost $1,738,588) | 1,744,233 | |||||||||||
|
| |||||||||||
U.S. TREASURY SECURITIES — 14.73% |
| |||||||||||
U.S. Treasury Notes —14.73% |
| |||||||||||
U.S. Treasury Floating Rate Notes |
| |||||||||||
(US Treasury Bill Yield 3-Month plus 0.06%) |
| |||||||||||
0.08% | 10/31/222 | 12,500,000 | 12,508,633 | |||||||||
(US Treasury Bill Yield 3-Month plus 0.11%) |
| |||||||||||
0.13% | 04/30/222 | 10,000,000 | 10,010,788 | |||||||||
(US Treasury Bill Yield 3-Month plus 0.22%) |
| |||||||||||
0.24% | 07/31/212 | 10,100,000 | 10,108,917 | |||||||||
U.S. Treasury Notes |
| |||||||||||
0.75% | 03/31/26 | 180,000 | 178,446 | |||||||||
1.13% | 09/30/21 | 3,000,000 | 3,016,289 | |||||||||
|
| |||||||||||
Total U.S. Treasury Securities |
| |||||||||||
(Cost $35,796,874) | 35,823,073 | |||||||||||
|
| |||||||||||
Total Bonds — 82.65% |
| |||||||||||
(Cost $200,719,785) | 200,982,562 | |||||||||||
|
| |||||||||||
| ||||||||||||
Issues | Maturity Date | Principal Amount/Shares | Value | |||||||||
SHORT-TERM INVESTMENTS — 33.28% |
| |||||||||||
Foreign Government Obligations — 1.67% |
| |||||||||||
Japan Treasury Discount Bill, |
| |||||||||||
Series 962 |
| |||||||||||
(Japan) |
| |||||||||||
0.00%7 | 04/05/213 | 450,000,000 | 4,073,263 | |||||||||
|
| |||||||||||
Money Market Funds — 11.87% |
| |||||||||||
Dreyfus Government Cash Management Fund |
| |||||||||||
0.03%8 | 7,389,000 | 7,389,000 | ||||||||||
Fidelity Investments Money Market Funds - Government |
| |||||||||||
Portfolio |
| |||||||||||
0.01%8 | 16,669 | 16,669 | ||||||||||
JPMorgan U.S. Government Money Market Fund |
| |||||||||||
0.03%8 | 10,000,000 | 10,000,000 |
Issues | Maturity Date | Principal Amount/Shares | Value | |||||||||
SHORT-TERM INVESTMENTS (continued) |
| |||||||||||
Money Market Funds (continued) |
| |||||||||||
Morgan Stanley Institutional Liquidity Funds - Government |
| |||||||||||
Portfolio |
| |||||||||||
0.03%8 | 11,447,000 | $ | 11,447,000 | |||||||||
|
| |||||||||||
28,852,669 | ||||||||||||
|
| |||||||||||
U.S. Treasury Bills — 19.74% |
| |||||||||||
U.S. Treasury Bills |
| |||||||||||
0.10%7 | 04/01/21 | $ | 8,000,000 | 8,000,000 | ||||||||
0.05%7 | 08/12/21 | 32,000,000 | 31,998,227 | |||||||||
0.05%7 | 08/19/21 | 8,000,000 | 7,999,378 | |||||||||
|
| |||||||||||
47,997,605 | ||||||||||||
|
| |||||||||||
Total Short-Term Investments |
| |||||||||||
(Cost $81,174,943) | 80,923,537 | |||||||||||
|
| |||||||||||
Total Investments - 115.93% |
| |||||||||||
(Cost $281,894,728) | 281,906,099 | |||||||||||
|
| |||||||||||
Liabilities in Excess of Other Assets - (15.93)% |
| (38,733,383 | ) | |||||||||
|
| |||||||||||
Net Assets - 100.00% |
| $ | 243,172,716 | |||||||||
|
|
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 March 31, 2021. |
3 | Foreign denominated security issued by foreign domiciled entity. |
4 | 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. |
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 $18,543, which is 0.01% of total net assets. |
7 | Represents annualized yield at date of purchase. |
8 | Represents the current yield as of March 31, 2021. |
* | 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): Bank Note
(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
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 196 |
Table of Contents
Ultra Short Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Currency to be Purchased | Currency to be Sold | Counterparty | Settlement Date | Unrealized Appreciation | ||||||||||||
FOREIGN CURRENCY EXCHANGE CONTRACT | ||||||||||||||||
USD 4,337,057 | JPY 450,000,000 | Goldman Sachs International | 04/05/21 | $ | 264,437 | |||||||||||
|
|
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation | |||||||||||||||
FUTURES CONTRACTS: SHORT POSITIONS | ||||||||||||||||||||
U.S. Treasury Two Year Note | 154 | 06/30/21 | $ | (33,991,891) | $ | 29,837 | $ | 29,837 | ||||||||||||
U.S. Treasury Five Year Note | 20 | 06/30/21 | (2,467,969) | 31,522 | 31,522 | |||||||||||||||
U.S. Treasury Ten Year Ultra Bond | 14 | 06/21/21 | (2,011,625) | 70,736 | 70,736 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
TOTAL FUTURES CONTRACTS | $ | (38,471,485) | $ | 132,095 | $ | 132,095 | ||||||||||||||
|
|
|
|
|
|
Reference Obligation/Index | Financing Rate Paid by the Fund | Payment Frequency | Counterparty | Expiration Date | Notional Amount1 | Value | Premiums Paid | Unrealized Appreciation | ||||||||||||||||
SWAPS: CREDIT DEFAULT (SALES) - SINGLE ISSUES OTC |
| |||||||||||||||||||||||
Credit Suisse | ||||||||||||||||||||||||
Berry Global, Inc., 5.63%, due | First Boston | |||||||||||||||||||||||
07/15/27 | 5.00% | 3 Months | International | 12/20/21 | $ | 390,000 | $ | 9,368 | $ | 8,422 | $ | 946 | ||||||||||||
|
|
|
|
|
|
1 | 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 Financial Statements.
197 / Annual Report March 2021 |
Table of Contents
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
BONDS – 95.45% |
| |||||||||
ASSET-BACKED SECURITIES — 12.77%** |
| |||||||||
321 Henderson Receivables VI LLC, |
| |||||||||
Series 2010-1A, Class B |
| |||||||||
9.31% | 07/15/611 | $ | 276,943 | $ | 325,959 | |||||
Allegro CLO XII Ltd., |
| |||||||||
Series 2020-1A, Class B |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 1.70%) |
| |||||||||
0.00% | 01/21/321,2,3 | 5,400,000 | 5,407,398 | |||||||
Apidos CLO XXII, |
| |||||||||
Series 2015-22A, Class A1R |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 1.06%) |
| |||||||||
1.28% | 04/20/311,2,3 | 5,000,000 | 4,999,030 | |||||||
Barings CLO Ltd., |
| |||||||||
Series 2018-3A, Class A1 |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 0.95%) |
| |||||||||
1.17% | 07/20/291,2,3 | 6,850,000 | 6,846,739 | |||||||
Bayview Commercial Asset Trust, |
| |||||||||
Series 2004-3, Class A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.56%) |
| |||||||||
0.66% | 01/25/351,2 | 449,280 | 442,441 | |||||||
Bayview Commercial Asset Trust, |
| |||||||||
Series 2005-1A, Class A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.45%) |
| |||||||||
0.56% | 04/25/351,2 | 771,410 | 743,796 | |||||||
Blackrock Rainier CLO VI Ltd., |
| |||||||||
Series 2021-6A, Class A |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 1.70%) |
| |||||||||
1.89% | 04/20/331,2,3 | 10,000,000 | 10,015,080 | |||||||
BlueMountain CLO Ltd., |
| |||||||||
Series 2013-1A, Class A1R2 |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 1.23%) |
| |||||||||
1.45% | 01/20/291,2,3 | 3,490,799 | 3,492,943 | |||||||
BlueMountain CLO XXX Ltd., |
| |||||||||
Series 2020-30A, Class A |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 1.39%) |
| |||||||||
1.55% | 01/15/331,2,3 | 11,000,000 | 11,032,010 | |||||||
BlueMountain Fuji U.S. CLO I Ltd., |
| |||||||||
Series 2017-1A, Class BR |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 1.50%) |
| |||||||||
1.69% | 07/20/291,2,3 | 5,800,000 | 5,779,584 | |||||||
Brazos Higher Education Authority, Inc., |
| |||||||||
Series 2011-1, Class A2 |
| |||||||||
(LIBOR USD 3-Month plus 0.80%) |
| |||||||||
0.99% | 02/25/302 | 20,260 | 20,338 | |||||||
Cedar Funding VI CLO Ltd., |
| |||||||||
Series 2016-6A, Class BR |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 1.60%) |
| |||||||||
1.82% | 10/20/281,2,3 | 6,000,000 | 5,997,180 |
Issues | Maturity Date | Principal Amount | Value | |||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||
Cedar Funding XII CLO Ltd., |
| |||||||||
Series 2020-12A, Class A |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 1.27%) |
| |||||||||
1.51% | 10/25/321,2,3 | $ | 8,000,000 | $ | 8,011,360 | |||||
CIT Education Loan Trust, |
| |||||||||
Series 2007-1, Class B |
| |||||||||
(LIBOR USD 3-Month plus 0.30%) |
| |||||||||
0.50% | 06/25/421,2 | 2,097,577 | 1,911,190 | |||||||
CoreVest American Finance Trust, |
| |||||||||
Series 2019-1, Class XA (IO) |
| |||||||||
2.16% | 03/15/521,4 | 23,981,076 | 1,646,849 | |||||||
CoreVest American Finance Trust, |
| |||||||||
Series 2019-3, Class XA (IO) |
| |||||||||
2.06% | 10/15/521,4 | 7,039,798 | 507,437 | |||||||
CoreVest American Finance Trust, |
| |||||||||
Series 2020-1, Class A2 |
| |||||||||
2.30% | 03/15/501 | 5,197,000 | 5,216,749 | |||||||
CoreVest American Finance Trust, |
| |||||||||
Series 2020-3, Class XA (IO) |
| |||||||||
3.61% | 08/15/531,4 | 23,686,141 | 3,634,869 | |||||||
CoreVest American Finance Trust, |
| |||||||||
Series 2020-4, Class XA (IO) |
| |||||||||
3.87% | 12/15/521,4 | 27,184,475 | 4,051,589 | |||||||
CoreVest American Finance Trust, |
| |||||||||
Series 2020-4, Class XB (IO) |
| |||||||||
2.83% | 12/15/521,4 | 12,500,000 | 1,892,982 | |||||||
Dryden 30 Senior Loan Fund, |
| |||||||||
Series 2013-30A, Class AR |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 0.82%) |
| |||||||||
1.01% | 11/15/281,2,3 | 7,444,415 | 7,448,122 | |||||||
Eaton Vance CLO Ltd., |
| |||||||||
Series 2013-1A, Class A13R |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 1.25%) |
| |||||||||
1.41% | 01/15/341,2,3 | 8,000,000 | 8,025,200 | |||||||
ECMC Group Student Loan Trust, |
| |||||||||
Series 2016-1A, Class A |
| |||||||||
(LIBOR USD 1-Month plus 1.35%) |
| |||||||||
1.46% | 07/26/661,2 | 14,568,793 | 14,981,824 | |||||||
ECMC Group Student Loan Trust, |
| |||||||||
Series 2017-2A, Class A |
| |||||||||
(LIBOR USD 1-Month plus 1.05%) |
| |||||||||
1.16% | 05/25/671,2 | 13,584,947 | 13,706,030 | |||||||
Edsouth Indenture No. 3 LLC, |
| |||||||||
Series 2012-2, Class A |
| |||||||||
(LIBOR USD 1-Month plus 0.73%) |
| |||||||||
0.84% | 04/25/391,2 | 99,606 | 99,245 | |||||||
Education Loan Asset-Backed Trust I, |
| |||||||||
Series 2013-1, Class A2 |
| |||||||||
(LIBOR USD 1-Month plus 0.80%) |
| |||||||||
0.91% | 04/26/321,2 | 3,300,685 | 3,311,527 | |||||||
Educational Funding of the South, Inc., |
| |||||||||
Series 2012-1, Class A |
| |||||||||
(LIBOR USD 1-Month plus 1.05%) |
| |||||||||
1.16% | 03/25/362 | 60,145 | 60,514 |
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 198 |
Table of Contents
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||
EFS Volunteer No. 2 LLC, |
| |||||||||
Series 2012-1, Class A2 |
| |||||||||
(LIBOR USD 1-Month plus 1.35%) |
| |||||||||
1.46% | 03/25/361,2 | $ | 2,378,508 | $ | 2,429,720 | |||||
Flagship CLO VIII Ltd., |
| |||||||||
Series 2014-8A, Class ARR |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 0.85%) |
| |||||||||
1.07% | 01/16/261,2,3 | 1,390,993 | 1,391,743 | |||||||
Global SC Finance II SRL, |
| |||||||||
Series 2014-1A, Class A2 |
| |||||||||
(Barbados) |
| |||||||||
3.09% | 07/17/291,3 | 846,667 | 854,993 | |||||||
Goal Capital Funding Trust, |
| |||||||||
Series 2006-1, Class B |
| |||||||||
(LIBOR USD 3-Month plus 0.45%) |
| |||||||||
0.64% | 08/25/422 | 369,366 | 346,981 | |||||||
GoldenTree Loan Management U.S. CLO 1 Ltd., |
| |||||||||
Series 2021-9A, Class B |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 1.50%) |
| |||||||||
1.62% | 01/20/331,2,3 | 4,075,000 | 4,059,108 | |||||||
GoldenTree Loan Management U.S. CLO 1, Ltd., |
| |||||||||
Series 2017-1A, Class AR |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 0.95%) |
| |||||||||
1.17% | 04/20/291,2,3 | 4,485,000 | 4,486,449 | |||||||
HSI Asset Securitization Corp. Trust, |
| |||||||||
Series 2006-WMC1, Class A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.10%) |
| |||||||||
0.21% | 07/25/362 | 11,961,586 | 6,983,773 | |||||||
HSI Asset Securitization Corp. Trust, |
| |||||||||
Series 2006-WMC1, Class A2 |
| |||||||||
(LIBOR USD 1-Month plus 0.20%) |
| |||||||||
0.31% | 07/25/362 | 13,239,171 | 7,801,355 | |||||||
HSI Asset Securitization Corp. Trust, |
| |||||||||
Series 2006-WMC1, Class A4 |
| |||||||||
(LIBOR USD 1-Month plus 0.50%) |
| |||||||||
0.61% | 07/25/362 | 8,622,308 | 5,040,845 | |||||||
J.G. Wentworth XXXVII LLC, |
| |||||||||
Series 2016-1A, Class A |
| |||||||||
3.41% | 06/15/671 | 6,111,519 | 6,478,300 | |||||||
J.G. Wentworth XXXVIII LLC, |
| |||||||||
Series 2017-1A, Class A |
| |||||||||
3.99% | 08/16/601 | 3,353,839 | 3,713,954 | |||||||
KREF Ltd., |
| |||||||||
Series 2018-FL1, Class A |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 1-Month plus 1.10%) |
| |||||||||
1.21% | 06/15/361,2,3 | 13,547,665 | 13,574,056 | |||||||
LCM XXI LP, |
| |||||||||
Series 21A, Class AR |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 0.88%) |
| |||||||||
1.10% | 04/20/281,2,3 | 3,121,724 | 3,123,469 |
Issues | Maturity Date | Principal Amount | Value | |||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||
LCM XXIV Ltd., |
| |||||||||
Series 24A, Class AR |
| |||||||||
(Cayman Islands) |
| |||||||||
(-1.00 X LIBOR USD 3-Month plus 0.98%, 0.98% Cap) |
| |||||||||
0.00% | 03/20/301,2,3 | $ | 15,000,000 | $ | 15,007,650 | |||||
Lehman XS Trust, |
| |||||||||
Series 2006-17, Class 1A3 |
| |||||||||
(LIBOR USD 1-Month plus 0.50%) |
| |||||||||
0.61% | 08/25/462 | 17,697,190 | 17,157,056 | |||||||
Magnetite XVIII Ltd., |
| |||||||||
Series 2016-18A, Class AR |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 1.08%) |
| |||||||||
1.27% | 11/15/281,2,3 | 2,550,000 | 2,551,999 | |||||||
Morgan Stanley ABS Capital I, Inc., Trust, |
| |||||||||
Series 2006-HE4, Class A4 |
| |||||||||
(LIBOR USD 1-Month plus 0.48%) |
| |||||||||
0.59% | 06/25/362 | 11,937,741 | 8,099,025 | |||||||
Nelnet Student Loan Trust, |
| |||||||||
Series 2006-2, Class B |
| |||||||||
(LIBOR USD 3-Month plus 0.20%) |
| |||||||||
0.42% | 01/25/382 | 2,943,741 | 2,573,994 | |||||||
Nelnet Student Loan Trust, |
| |||||||||
Series 2007-1, Class A3 |
| |||||||||
(LIBOR USD 3-Month plus 0.07%) |
| |||||||||
0.26% | 05/27/252 | 592,820 | 591,791 | |||||||
Nelnet Student Loan Trust, |
| |||||||||
Series 2012-5A, Class A |
| |||||||||
(LIBOR USD 1-Month plus 0.60%) |
| |||||||||
0.71% | 10/27/361,2 | 95,817 | 95,149 | |||||||
Nelnet Student Loan Trust, |
| |||||||||
Series 2014-4A, Class A2 |
| |||||||||
(LIBOR USD 1-Month plus 0.95%) |
| |||||||||
1.06% | 11/25/481,2 | 1,865,000 | 1,898,076 | |||||||
Nelnet Student Loan Trust, |
| |||||||||
Series 2015-1A, Class A |
| |||||||||
(LIBOR USD 1-Month plus 0.59%) |
| |||||||||
0.70% | 04/25/461,2 | 1,906,235 | 1,892,131 | |||||||
Nelnet Student Loan Trust, |
| |||||||||
Series 2015-3A, Class A3 |
| |||||||||
(LIBOR USD 1-Month plus 0.90%) |
| |||||||||
1.01% | 06/25/541,2 | 11,000,000 | 11,084,645 | |||||||
OHA Credit Funding 7 Ltd., |
| |||||||||
Series 2020-7A, Class A |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 1.25%) |
| |||||||||
1.47% | 10/19/321,2,3 | 11,000,000 | 11,013,640 | |||||||
Palmer Square CLO Ltd., |
| |||||||||
Series 2020-3A, Class A1A |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 1.37%) |
| |||||||||
1.60% | 11/15/311,2,3 | 7,200,000 | 7,221,384 | |||||||
Palmer Square Loan Funding Ltd., |
| |||||||||
Series 2019-4A, Class A1 |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 0.90%) |
| |||||||||
1.12% | 10/24/271,2,3 | 3,219,831 | 3,221,689 |
See accompanying Notes to Financial Statements.
199 / Annual Report March 2021 |
Table of Contents
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||
Palmer Square Loan Funding Ltd., |
| |||||||||
Series 2020-2A, Class A2 |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 1.55%) |
| |||||||||
1.77% | 04/20/281,2,3 | $ | 3,785,000 | $ | 3,787,468 | |||||
Park Avenue Institutional Advisers CLO Ltd., |
| |||||||||
Series 2021-1A, Class A2 |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 1.75%) |
| |||||||||
1.95% | 01/20/341,2,3 | 5,000,000 | 5,010,550 | |||||||
Skyline Aircraft Finance LLC, |
| |||||||||
Series 2021-1, Class A |
| |||||||||
3.23% | 05/10/375,6 | 10,253,507 | 10,098,102 | |||||||
SLC Student Loan Trust, |
| |||||||||
Series 2004-1, Class B |
| |||||||||
(LIBOR USD 3-Month plus 0.29%) |
| |||||||||
0.49% | 08/15/312 | 453,067 | 418,567 | |||||||
SLC Student Loan Trust, |
| |||||||||
Series 2008-1, Class A4A |
| |||||||||
(LIBOR USD 3-Month plus 1.60%) |
| |||||||||
1.78% | 12/15/322 | 2,585,243 | 2,650,709 | |||||||
SLM Student Loan Trust, |
| |||||||||
Series 2003-12, Class B |
| |||||||||
(LIBOR USD 3-Month plus 0.59%) |
| |||||||||
0.77% | 03/15/382 | 4,192,111 | 3,992,644 | |||||||
SLM Student Loan Trust, |
| |||||||||
Series 2003-4, Class A5D |
| |||||||||
(LIBOR USD 3-Month plus 0.75%) |
| |||||||||
0.93% | 03/15/331,2 | 2,008,237 | 1,961,927 | |||||||
SLM Student Loan Trust, |
| |||||||||
Series 2003-7, Class B |
| |||||||||
(LIBOR USD 3-Month plus 0.57%) |
| |||||||||
0.75% | 09/15/392 | 2,964,097 | 2,801,980 | |||||||
SLM Student Loan Trust, |
| |||||||||
Series 2004-10, Class B |
| |||||||||
(LIBOR USD 3-Month plus 0.37%) |
| |||||||||
0.59% | 01/25/402 | 8,593,043 | 8,113,379 | |||||||
SLM Student Loan Trust, |
| |||||||||
Series 2004-2, Class B |
| |||||||||
(LIBOR USD 3-Month plus 0.47%) |
| |||||||||
0.69% | 07/25/392 | 514,709 | 487,069 | |||||||
SLM Student Loan Trust, |
| |||||||||
Series 2005-3, Class B |
| |||||||||
(LIBOR USD 3-Month plus 0.15%) |
| |||||||||
0.37% | 04/25/402 | 2,862,465 | 2,656,634 | |||||||
SLM Student Loan Trust, |
| |||||||||
Series 2006-8, Class B |
| |||||||||
(LIBOR USD 3-Month plus 0.23%) |
| |||||||||
0.45% | 01/25/412 | 3,336,461 | 3,088,357 | |||||||
SLM Student Loan Trust, |
| |||||||||
Series 2007-2, Class B |
| |||||||||
(LIBOR USD 3-Month plus 0.17%) |
| |||||||||
0.39% | 07/25/252 | 12,800,000 | 11,974,403 | |||||||
SLM Student Loan Trust, |
| |||||||||
Series 2007-3, Class A4 |
| |||||||||
(LIBOR USD 3-Month plus 0.06%) |
| |||||||||
0.28% | 01/25/222 | 161,698 | 156,439 |
Issues | Maturity Date | Principal Amount | Value | |||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||
SLM Student Loan Trust, |
| |||||||||
Series 2007-3, Class B |
| |||||||||
(LIBOR USD 3-Month plus 0.15%) |
| |||||||||
0.37% | 01/25/282 | $ | 12,800,000 | $ | 11,765,935 | |||||
SLM Student Loan Trust, |
| |||||||||
Series 2007-7, Class B |
| |||||||||
(LIBOR USD 3-Month plus 0.75%) |
| |||||||||
0.97% | 10/27/702 | 2,195,000 | 1,998,341 | |||||||
SLM Student Loan Trust, | ||||||||||
Series 2007-8, Class B | ||||||||||
(LIBOR USD 3-Month plus 1.00%) |
| |||||||||
1.22% | 04/27/832 | 4,281,635 | 4,089,229 | |||||||
SLM Student Loan Trust, |
| |||||||||
Series 2008-2, Class A3 |
| |||||||||
(LIBOR USD 3-Month plus 0.75%) |
| |||||||||
0.97% | 04/25/232 | 12,463,326 | 12,282,229 | |||||||
SLM Student Loan Trust, |
| |||||||||
Series 2008-2, Class B |
| |||||||||
(LIBOR USD 3-Month plus 1.20%) |
| |||||||||
1.42% | 01/25/832 | 1,000,000 | 942,764 | |||||||
SLM Student Loan Trust, |
| |||||||||
Series 2008-3, Class B |
| |||||||||
(LIBOR USD 3-Month plus 1.20%) |
| |||||||||
1.42% | 04/26/832 | 710,000 | 664,640 | |||||||
SLM Student Loan Trust, |
| |||||||||
Series 2008-4, Class A4 |
| |||||||||
(LIBOR USD 3-Month plus 1.65%) |
| |||||||||
1.87% | 07/25/222 | 1,068,813 | 1,086,794 | |||||||
SLM Student Loan Trust, |
| |||||||||
Series 2008-4, Class B |
| |||||||||
(LIBOR USD 3-Month plus 1.85%) |
| |||||||||
2.07% | 04/25/732 | 710,000 | 704,610 | |||||||
SLM Student Loan Trust, |
| |||||||||
Series 2008-5, Class A4 |
| |||||||||
(LIBOR USD 3-Month plus 1.70%) |
| |||||||||
1.92% | 07/25/232 | 5,202,359 | 5,240,700 | |||||||
SLM Student Loan Trust, |
| |||||||||
Series 2008-5, Class B |
| |||||||||
(LIBOR USD 3-Month plus 1.85%) |
| |||||||||
2.07% | 07/25/732 | 7,315,000 | 7,199,141 | |||||||
SLM Student Loan Trust, |
| |||||||||
Series 2008-6, Class A4 |
| |||||||||
(LIBOR USD 3-Month plus 1.10%) |
| |||||||||
1.32% | 07/25/232 | 8,246,562 | 8,230,414 | |||||||
SLM Student Loan Trust, |
| |||||||||
Series 2008-6, Class B |
| |||||||||
(LIBOR USD 3-Month plus 1.85%) |
| |||||||||
2.07% | 07/26/832 | 710,000 | 699,694 | |||||||
SLM Student Loan Trust, |
| |||||||||
Series 2008-7, Class B |
| |||||||||
(LIBOR USD 3-Month plus 1.85%) |
| |||||||||
2.07% | 07/26/832 | 820,000 | 818,932 | |||||||
SLM Student Loan Trust, |
| |||||||||
Series 2008-8, Class A4 |
| |||||||||
(LIBOR USD 3-Month plus 1.50%) |
| |||||||||
1.72% | 04/25/232 | 1,322,823 | 1,330,629 |
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 200 |
Table of Contents
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||
SLM Student Loan Trust, |
| |||||||||
Series 2008-8, Class B |
| |||||||||
(LIBOR USD 3-Month plus 2.25%) |
| |||||||||
2.47% | 10/25/752 | $ | 735,000 | $ | 739,684 | |||||
SLM Student Loan Trust, |
| |||||||||
Series 2008-9, Class A |
| |||||||||
(LIBOR USD 3-Month plus 1.50%) |
| |||||||||
1.72% | 04/25/232 | 1,843,648 | 1,853,538 | |||||||
SLM Student Loan Trust, |
| |||||||||
Series 2008-9, Class B |
| |||||||||
(LIBOR USD 3-Month plus 2.25%) |
| |||||||||
2.47% | 10/25/832 | 7,235,000 | 7,291,323 | |||||||
SLM Student Loan Trust, |
| |||||||||
Series 2009-3, Class A |
| |||||||||
(LIBOR USD 1-Month plus 0.75%) |
| |||||||||
0.86% | 01/25/451,2 | 7,378,086 | 7,473,191 | |||||||
SLM Student Loan Trust, |
| |||||||||
Series 2011-2, Class A2 |
| |||||||||
(LIBOR USD 1-Month plus 1.20%) |
| |||||||||
1.31% | 10/25/342 | 4,035,000 | 4,106,187 | |||||||
SLM Student Loan Trust, |
| |||||||||
Series 2012-1, Class A3 |
| |||||||||
(LIBOR USD 1-Month plus 0.95%) |
| |||||||||
1.06% | 09/25/282 | 802,802 | 794,011 | |||||||
SLM Student Loan Trust, |
| |||||||||
Series 2012-2, Class A |
| |||||||||
(LIBOR USD 1-Month plus 0.70%) |
| |||||||||
0.81% | 01/25/292 | 1,182,426 | 1,148,313 | |||||||
SLM Student Loan Trust, |
| |||||||||
Series 2012-7, Class A3 |
| |||||||||
(LIBOR USD 1-Month plus 0.65%) |
| |||||||||
0.76% | 05/26/262 | 3,008,446 | 2,953,892 | |||||||
SLM Student Loan Trust, |
| |||||||||
Series 2012-7, Class B |
| |||||||||
(LIBOR USD 1-Month plus 1.80%) |
| |||||||||
1.91% | 09/25/432 | 2,200,000 | 2,184,993 | |||||||
SLM Student Loan Trust, |
| |||||||||
Series 2013-4, Class A |
| |||||||||
(LIBOR USD 1-Month plus 0.55%) |
| |||||||||
0.66% | 06/25/432 | 1,062,116 | 1,061,235 | |||||||
SLM Student Loan Trust, |
| |||||||||
Series 2014-1, Class A3 |
| |||||||||
(LIBOR USD 1-Month plus 0.60%) |
| |||||||||
0.71% | 02/26/292 | 1,061,720 | 1,033,846 | |||||||
Store Master Funding, |
| |||||||||
Series 2019-1, Class A2 |
| |||||||||
3.65% | 11/20/491 | 4,152,815 | 4,263,774 | |||||||
Structured Receivables Finance LLC, |
| |||||||||
Series 2010-A, Class B |
| |||||||||
7.61% | 01/16/461 | 1,570,070 | 1,774,653 | |||||||
Structured Receivables Finance LLC, |
| |||||||||
Series 2010-B, Class B |
| |||||||||
7.97% | 08/15/361 | 1,105,022 | 1,336,946 | |||||||
Student Loan Consolidation Center Student Loan Trust I, |
| |||||||||
Series 2002-2, Class B2 |
| |||||||||
(28 Day Auction Rate plus 0.00%) |
| |||||||||
1.61% | 07/01/421,2 | 150,000 | 138,365 |
Issues | Maturity Date | Principal Amount | Value | |||||||
ASSET-BACKED SECURITIES (continued) |
| |||||||||
TAL Advantage VII LLC, |
| |||||||||
Series 2020-1A, Class A |
| |||||||||
2.05% | 09/20/451 | $ | 10,138,250 | $ | 10,141,501 | |||||
TCI-Flatiron CLO Ltd., |
| |||||||||
Series 2016-1A, Class BR2 |
| |||||||||
(Cayman Islands) |
| |||||||||
(LIBOR USD 3-Month plus 1.60%) |
| |||||||||
1.84% | 01/17/321,2,3 | 3,000,000 | 3,001,728 | |||||||
Textainer Marine Containers VIII Ltd., |
| |||||||||
Series 2020-2A, Class A |
| |||||||||
(Bermuda) |
| |||||||||
2.10% | 09/20/451,3 | 9,293,818 | 9,336,227 | |||||||
Textainer Marine Containers VIII Ltd., |
| |||||||||
Series 2020-3A, Class A |
| |||||||||
(Bermuda) |
| |||||||||
2.11% | 09/20/451,3 | 8,304,150 | 8,299,435 | |||||||
TIF Funding II LLC, |
| |||||||||
Series 2020-1A, Class A |
| |||||||||
2.09% | 08/20/451 | 3,471,188 | 3,455,262 | |||||||
|
| |||||||||
Total Asset-Backed Securities |
| |||||||||
(Cost $457,689,425) | 458,941,344 | |||||||||
|
| |||||||||
BANK LOANS — 4.50%* |
| |||||||||
Automotive — 0.02% |
| |||||||||
Clarios Global LP, |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 3.25%) |
| |||||||||
3.36% | 04/30/262 | 580,331 | 575,253 | |||||||
|
| |||||||||
Communications — 0.57% | ||||||||||
CenturyLink, Inc., |
| |||||||||
Term Loan A, 1st Lien |
| |||||||||
(LIBOR plus 2.00%) |
| |||||||||
2.11% | 01/31/252 | 937,500 | 932,813 | |||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 2.25%) |
| |||||||||
2.36% | 03/15/272 | 1,842,835 | 1,826,387 | |||||||
Connect Finco SARL, |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 3.50%) |
| |||||||||
4.50% | 12/11/262 | 2,970,000 | 2,964,120 | |||||||
CSC Holdings LLC, |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 2.25%) |
| |||||||||
2.36% | 07/17/252 | 1,047,280 | 1,035,294 | |||||||
2.36% | 01/15/262 | 1,470,000 | 1,452,088 | |||||||
Term Loan B5, 1st Lien |
| |||||||||
(LIBOR plus 2.50%) |
| |||||||||
2.61% | 04/15/272 | 1,047,355 | 1,036,792 | |||||||
Frontier Communications Corp., |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(LIBOR plus 4.75%) |
| |||||||||
5.75% | 10/08/212 | 4,500,000 | 4,494,375 | |||||||
GTT Communications BV, |
| |||||||||
Term Loan B, 1st Lien |
| |||||||||
(EURIBOR plus 3.25%) |
| |||||||||
3.25% | 05/31/252 | 1,246,795 | 1,319,738 |
See accompanying Notes to Financial Statements.
201 / Annual Report March 2021 |
Table of Contents
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
BANK LOANS (continued) |
| |||||||||||
Communications (continued) |
| |||||||||||
GTT Communications, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.75%) |
| |||||||||||
2.86% | 05/30/252 | $ | 1,845,256 | $ | 1,565,294 | |||||||
Level 3 Parent LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
1.86% | 03/01/272 | 2,750,000 | 2,717,921 | |||||||||
Zayo Group Holdings, Inc., |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 3.00%) |
| |||||||||||
3.11% | 03/09/272 | 1,113,487 | 1,105,999 | |||||||||
|
| |||||||||||
20,450,821 | ||||||||||||
|
| |||||||||||
Consumer Discretionary — 0.49% |
| |||||||||||
ADMI Corp., |
| |||||||||||
Term Loan B2, 1st Lien |
| |||||||||||
(LIBOR plus 3.25%) |
| |||||||||||
3.75% | 12/23/272 | 1,500,000 | 1,488,645 | |||||||||
Kwor Acquisition, Inc., |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 4.00%) |
| |||||||||||
4.11% | 06/03/262 | 5,336,421 | 5,283,057 | |||||||||
Peraton Corp., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.75%) |
| |||||||||||
4.50% | 02/01/282 | 1,648,606 | 1,651,360 | |||||||||
Reynolds Group Holdings, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.75%) |
| |||||||||||
2.86% | 02/06/232 | 300,682 | 299,766 | |||||||||
Triton Water Holdings, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.50%) |
| |||||||||||
4.00% | 03/17/282 | 5,825,000 | 5,809,972 | |||||||||
Waystar technologies, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 4.00%) |
| |||||||||||
4.11% | 10/22/262 | 2,965,063 | 2,974,343 | |||||||||
|
| |||||||||||
17,507,143 | ||||||||||||
|
| |||||||||||
Electric — 0.13% |
| |||||||||||
CommScope, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.25%) |
| |||||||||||
3.36% | 04/06/262 | 3,977,405 | 3,960,958 | |||||||||
Homer City Generation LP, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 11.00%) |
| |||||||||||
15.00% | 04/05/232,5,6 | 537,524 | 389,705 | |||||||||
Vistra Operations Co., LLC, |
| |||||||||||
Term Loan B3, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
1.86% | 12/31/252 | 286,028 | 284,394 | |||||||||
|
| |||||||||||
4,635,057 | ||||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||||
BANK LOANS (continued) |
| |||||||||||
Entertainment — 0.14% |
| |||||||||||
CineWorld Finance U.S., Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.50%) |
| |||||||||||
3.50% | 02/28/252 | $ | 4,518,065 | $ | 3,873,428 | |||||||
Crown Finance U.S., Inc., |
| |||||||||||
Term Loan B1, 1st Lien |
| |||||||||||
7.00% | 05/23/242 | 1,000,000 | 1,269,375 | |||||||||
|
| |||||||||||
5,142,803 | ||||||||||||
|
| |||||||||||
Finance — 0.41% |
| |||||||||||
DCG Acquisition Corp., |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 4.50%) |
| |||||||||||
4.61% | 09/30/262 | 374,051 | 373,583 | |||||||||
Delos Finance SARL, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
1.95% | 10/06/232 | 5,956,840 | 5,951,509 | |||||||||
Mirion Technologies, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 4.00%) |
| |||||||||||
4.20% | 03/06/262 | 970,051 | 972,840 | |||||||||
Rent-A-Center, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 4.00%) |
| |||||||||||
4.75% | 02/04/282 | 3,970,000 | 3,998,127 | |||||||||
Schweitzer-Mauduit International, Inc., |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 4.00%) |
| |||||||||||
4.00% | 01/27/282 | 3,625,000 | 3,620,469 | |||||||||
|
| |||||||||||
14,916,528 | ||||||||||||
|
| |||||||||||
Food — 0.18% |
| |||||||||||
Hostess Brands LLC, |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 2.25%) |
| |||||||||||
3.00% | 08/03/252 | 1,036,842 | 1,033,099 | |||||||||
Houston Foods, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.75%) |
| |||||||||||
3.86% | 07/20/252 | 2,810,550 | 2,784,201 | |||||||||
Shearer’s Foods LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.50%) |
| |||||||||||
4.25% | 09/30/252 | 2,493,750 | 2,492,964 | |||||||||
|
| |||||||||||
6,310,264 | ||||||||||||
|
| |||||||||||
Health Care — 0.80% |
| |||||||||||
Avolon TLB Borrower 1 U.S. LLC, |
| |||||||||||
Term Loan B3, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
2.50% | 01/15/252 | 175,812 | 175,460 | |||||||||
BCPE Eagle Buyer LLC, |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 4.25%) |
| |||||||||||
5.25% | 03/18/242 | 3,855,995 | 3,847,955 |
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 202 |
Table of Contents
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
BANK LOANS (continued) |
| |||||||||||
Health Care (continued) |
| |||||||||||
Change Healthcare Holdings LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.50%) |
| |||||||||||
3.50% | 03/01/242 | $ | 458,642 | $ | 458,668 | |||||||
CPI Holdco LLC, |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 4.00%) |
| |||||||||||
4.11% | 11/04/262 | 1,095,725 | 1,096,136 | |||||||||
Elanco Animal Health, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
1.87% | 08/01/272 | 3,786,506 | 3,742,545 | |||||||||
Endo Luxembourg Finance Co., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 5.00%) |
| |||||||||||
5.75% | 03/27/282 | 3,050,000 | 3,024,578 | |||||||||
Gentiva Health Services, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.75%) |
| |||||||||||
2.88% | 07/02/252 | 3,289,894 | 3,276,191 | |||||||||
Grifols Worldwide Operations USA, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.00%) |
| |||||||||||
2.08% | 11/15/272 | 2,740,562 | 2,713,321 | |||||||||
Horizon Therapeutics USA, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.00%) |
| |||||||||||
2.50% | 02/26/282 | 3,840,000 | 3,834,240 | |||||||||
Pathway Vet Alliance LLC, |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 3.75%) |
| |||||||||||
3.86% | 03/31/272 | 1,145,496 | 1,140,364 | |||||||||
U.S. Renal Care, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 5.00%) |
| |||||||||||
5.13% | 06/26/262 | 1,674,500 | 1,666,915 | |||||||||
Valeant Pharmaceuticals International, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.00%) |
| |||||||||||
3.11% | 06/02/252 | 3,716,303 | 3,708,908 | |||||||||
|
| |||||||||||
28,685,281 | ||||||||||||
|
| |||||||||||
Industrials — 0.65% |
| |||||||||||
Berry Global, Inc., |
| |||||||||||
Term Loan Z, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
1.90% | 07/01/262 | 5,366,525 | 5,331,294 | |||||||||
Charter NEX U.S., Inc., |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 4.25%) |
| |||||||||||
5.00% | 12/01/272 | 3,347,500 | 3,358,563 | |||||||||
Liqui-Box Corp., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 4.50%) |
| |||||||||||
5.50% | 02/26/272 | 1,736,875 | 1,658,716 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
BANK LOANS (continued) |
| |||||||||||
Industrials (continued) |
| |||||||||||
Plaze, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.75%) |
| |||||||||||
4.50% | 08/03/262 | $ | 3,491,250 | $ | 3,485,437 | |||||||
Proampac PG Borrower LLC, |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 4.00%) |
| |||||||||||
5.00% | 11/03/252 | 3,250,000 | 3,252,697 | |||||||||
TransDigm, Inc., |
| |||||||||||
Term Loan E, 1st Lien |
| |||||||||||
(LIBOR plus 2.25%) |
| |||||||||||
2.36% | 05/30/252 | 493,750 | 484,396 | |||||||||
Zep, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 4.00%) |
| |||||||||||
5.00% | 08/12/242 | 5,983,262 | 5,935,576 | |||||||||
|
| |||||||||||
23,506,679 | ||||||||||||
|
| |||||||||||
Information Technology — 0.67% |
| |||||||||||
AppLovin Corp., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.50%) |
| |||||||||||
3.61% | 08/15/252 | 3,795,293 | 3,796,697 | |||||||||
Ciox Health, |
| |||||||||||
Term Loan, 1st Lien |
| |||||||||||
(LIBOR plus 5.00%) |
| |||||||||||
6.00% | 12/16/252 | 950,000 | 952,769 | |||||||||
EagleView Technology Co., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.50%) |
| |||||||||||
3.69% | 08/14/252 | 5,211,671 | 5,143,268 | |||||||||
Gainwell Acquisition Corp., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 4.00%) |
| |||||||||||
4.75% | 10/01/272 | 2,260,000 | 2,254,350 | |||||||||
Helios Software Holdings, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.75%) |
| |||||||||||
3.93% | 03/05/282 | 2,000,000 | 1,988,760 | |||||||||
IQVIA, Inc., |
| |||||||||||
Term Loan B1, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
1.86% | 03/07/242 | 675,505 | 673,478 | |||||||||
Term Loan B3, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
1.95% | 06/11/252 | 976,202 | 972,542 | |||||||||
Peraton Corp., |
| |||||||||||
Delayed-Draw Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.75%) |
| |||||||||||
3.75% | 02/01/282 | 2,901,394 | 2,906,239 | |||||||||
Spin Holdco, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 4.00%) |
| |||||||||||
4.75% | 03/04/282 | 4,780,000 | 4,745,417 |
See accompanying Notes to Financial Statements.
203 / Annual Report March 2021 |
Table of Contents
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
BANK LOANS (continued) |
| |||||||||||
Information Technology (continued) |
| |||||||||||
SS&C Technologies, Inc., |
| |||||||||||
Term Loan B3, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
1.86% | 04/16/252 | $ | 404,186 | $ | 400,676 | |||||||
Term Loan B4, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
1.86% | 04/16/252 | 301,787 | 299,166 | |||||||||
|
| |||||||||||
24,133,362 | ||||||||||||
|
| |||||||||||
Insurance — 0.03% |
| |||||||||||
Acrisure LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.50%) |
| |||||||||||
3.70% | 02/15/272 | 1,147,103 | 1,135,518 | |||||||||
|
| |||||||||||
Real Estate Investment Trust (REIT) — 0.07% |
| |||||||||||
SBA Senior Finance II LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
1.86% | 04/11/252 | 2,222,163 | 2,199,896 | |||||||||
VICI Properties 1 LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
1.86% | 12/20/242 | 250,000 | 247,528 | |||||||||
|
| |||||||||||
2,447,424 | ||||||||||||
|
| |||||||||||
Retail — 0.32% |
| |||||||||||
AmWINS Group, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 2.25%) |
| |||||||||||
3.00% | 02/19/282 | 7,231,875 | 7,188,375 | |||||||||
BC ULC, |
| |||||||||||
Term Loan B, 1st Lien (Canada) |
| |||||||||||
(LIBOR plus 1.75%) |
| |||||||||||
1.86% | 11/19/262,3 | 710,305 | 698,543 | |||||||||
BW Gas & Convenience Holdings LLC, |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.50%) | ||||||||||||
4.00% | 03/17/282 | 3,600,000 | 3,604,500 | |||||||||
|
| |||||||||||
11,491,418 | ||||||||||||
|
| |||||||||||
Services — 0.02% |
| |||||||||||
GFL Environmental, Inc., |
| |||||||||||
Term Loan B, 1st Lien |
| |||||||||||
(LIBOR plus 3.00%) |
| |||||||||||
3.50% | 05/30/252 | 789,783 | 791,263 | |||||||||
|
| |||||||||||
Total Bank Loans |
| |||||||||||
(Cost $160,764,195) |
| 161,728,814 | ||||||||||
|
| |||||||||||
CORPORATES — 24.65%* |
| |||||||||||
Banking — 2.11% |
| |||||||||||
Banco Nacional de Comercio Exterior SNC/Cayman Islands |
| |||||||||||
(Mexico) |
| |||||||||||
3.80% | 08/11/261,3,4 | 2,000,000 | 2,003,730 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Banking (continued) |
| |||||||||||
Bank of America Corp. |
| |||||||||||
(MTN) |
| |||||||||||
2.88% | 10/22/304 | $ | 2,000,000 | $ | 2,058,401 | |||||||
Bank of America Corp., |
| |||||||||||
Series N |
| |||||||||||
1.66% | 03/11/274 | 7,430,000 | 7,455,048 | |||||||||
Comerica, Inc. |
| |||||||||||
5.63% | 10/01/694 | 2,145,000 | 2,367,544 | |||||||||
Credit Suisse Group AG |
| |||||||||||
(Switzerland) |
| |||||||||||
2.19% | 06/05/261,3,4 | 2,709,000 | 2,750,164 | |||||||||
2.59% | 09/11/251,3,4 | 1,270,000 | 1,318,434 | |||||||||
Global Bank Corp. |
| |||||||||||
(Panama) |
| |||||||||||
5.25% | 04/16/291,3,4 | 600,000 | 627,000 | |||||||||
Global Bank Corp., |
| |||||||||||
Series REGS |
| |||||||||||
(Panama) |
| |||||||||||
5.25% | 04/16/293,4 | 1,000,000 | 1,045,000 | |||||||||
HSBC Holdings PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
1.59% | 05/24/273,4 | 1,785,000 | 1,757,947 | |||||||||
1.75% | 07/24/273,4 | 1,425,000 | 1,984,708 | |||||||||
2.01% | 09/22/283,4 | 8,130,000 | 7,994,032 | |||||||||
2.63% | 11/07/253,4 | 2,100,000 | 2,198,669 | |||||||||
JPMorgan Chase & Co. |
| |||||||||||
2.18% | 06/01/284 | 5,000,000 | 5,057,906 | |||||||||
Lloyds Banking Group PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
1.63% | 05/11/273,4 | 2,000,000 | 1,988,486 | |||||||||
3.87% | 07/09/253,4 | 8,725,000 | 9,502,409 | |||||||||
Santander UK Group Holdings PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
1.09% | 03/15/253,4 | 7,075,000 | 7,082,912 | |||||||||
3.37% | 01/05/243,4 | 3,000,000 | 3,136,917 | |||||||||
4.80% | 11/15/243,4 | 2,915,000 | 3,209,649 | |||||||||
Santander UK PLC |
| |||||||||||
(United Kingdom) |
| |||||||||||
5.00% | 11/07/231,3 | 3,415,000 | 3,743,050 | |||||||||
Wells Fargo & Co. |
| |||||||||||
(MTN) |
| |||||||||||
2.16% | 02/11/264 | 680,000 | 701,882 | |||||||||
2.39% | 06/02/284 | 3,665,000 | 3,758,383 | |||||||||
2.88% | 10/30/304 | 3,848,000 | 3,968,271 | |||||||||
|
| |||||||||||
75,710,542 | ||||||||||||
|
| |||||||||||
Communications — 4.14% |
| |||||||||||
AT&T, Inc. |
| |||||||||||
3.55% | 09/15/551 | 2,370,000 | 2,170,548 | |||||||||
3.80% | 12/01/571 | 11,051,000 | 10,527,807 | |||||||||
4.30% | 12/15/42 | 2,300,000 | 2,526,791 | |||||||||
4.50% | 05/15/35 | 2,150,000 | 2,433,895 | |||||||||
4.75% | 05/15/46 | 1,875,000 | 2,162,125 | |||||||||
5.25% | 03/01/37 | 6,985,000 | 8,449,988 |
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 204 |
Table of Contents
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
CORPORATES (continued) |
| |||||||||
Communications (continued) |
| |||||||||
C&W Senior Financing DAC (Ireland) |
| |||||||||
6.88% | 09/15/271,3 | $ | 1,200,000 | $ | 1,284,000 | |||||
Cable One, Inc. |
| |||||||||
4.00% | 11/15/301 | 450,000 | 444,793 | |||||||
CCO Holdings LLC/CCO Holdings Capital Corp. |
| |||||||||
4.50% | 05/01/321 | 1,615,000 | 1,637,584 | |||||||
5.38% | 06/01/291 | 3,104,000 | 3,332,579 | |||||||
Charter Communications Operating LLC/Charter |
| |||||||||
Communications Operating Capital |
| |||||||||
5.38% | 05/01/47 | 3,050,000 | 3,546,654 | |||||||
Diamond Sports Group LLC/Diamond Sports Finance Co. |
| |||||||||
5.38% | 08/15/261 | 6,974,000 | 5,036,696 | |||||||
6.63% | 08/15/271 | 3,000,000 | 1,606,884 | |||||||
Intelsat Jackson Holdings SA (Luxembourg) |
| |||||||||
8.50% | 10/15/241,3,7,8 | 7,892,000 | 5,016,353 | |||||||
9.75% | 07/15/251,3,7,8 | 6,820,000 | 4,278,871 | |||||||
Scripps Escrow II, Inc. |
| |||||||||
5.38% | 01/15/311 | 6,410,000 | 6,373,944 | |||||||
SES GLOBAL Americas Holdings GP |
| |||||||||
5.30% | 03/25/441 | 8,494,000 | 9,577,643 | |||||||
Sinclair Television Group, Inc. |
| |||||||||
4.13% | 12/01/301 | 4,373,000 | 4,222,678 | |||||||
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint |
| |||||||||
Spectrum Co. III LLC |
| |||||||||
3.36% | 09/20/211 | 2,133,750 | 2,155,087 | |||||||
4.74% | 03/20/251 | 11,350,000 | 12,187,914 | |||||||
5.15% | 03/20/281 | 4,400,000 | 5,027,000 | |||||||
Time Warner Cable LLC |
| |||||||||
5.50% | 09/01/41 | 2,972,000 | 3,528,760 | |||||||
5.88% | 11/15/40 | 965,000 | 1,203,094 | |||||||
T-Mobile USA, Inc. |
| |||||||||
2.25% | 02/15/26 | 3,400,000 | 3,409,627 | |||||||
2.55% | 02/15/311 | 115,000 | 112,808 | |||||||
2.63% | 04/15/26 | 6,539,000 | 6,641,588 | |||||||
4.38% | 04/15/401 | 4,000,000 | 4,448,240 | |||||||
6.00% | 03/01/23 | 1,264,000 | 1,273,480 | |||||||
6.00% | 04/15/24 | 7,068,000 | 7,129,845 | |||||||
Verizon Communications, Inc. |
| |||||||||
2.10% | 03/22/28 | 1,770,000 | 1,776,538 | |||||||
2.55% | 03/21/31 | 5,315,000 | 5,310,923 | |||||||
Virgin Media Secured Finance PLC (United Kingdom) |
| |||||||||
4.50% | 08/15/301,3 | 1,200,000 | 1,213,016 | |||||||
5.50% | 08/15/261,3 | 983,000 | 1,021,809 | |||||||
5.50% | 05/15/291,3 | 3,379,000 | 3,591,336 | |||||||
Vodafone Group PLC (United Kingdom) |
| |||||||||
4.25% | 09/17/503 | 50,000 | 55,023 | |||||||
4.88% | 06/19/493 | 1,328,000 | 1,580,496 | |||||||
5.25% | 05/30/483 | 4,682,000 | 5,859,055 | |||||||
Walt Disney Co. (The) |
| |||||||||
2.65% | 01/13/31 | 6,540,000 | 6,684,102 | |||||||
|
| |||||||||
148,839,574 | ||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||
CORPORATES (continued) |
| |||||||||
Consumer Discretionary — 0.81% |
| |||||||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev |
| |||||||||
Worldwide, Inc. |
| |||||||||
4.90% | 02/01/46 | $ | 3,921,000 | $ | 4,694,416 | |||||
Anheuser-Busch InBev Worldwide, Inc. |
| |||||||||
4.50% | 06/01/50 | 3,196,000 | 3,641,424 | |||||||
Bacardi Ltd. |
| |||||||||
(Bermuda) |
| |||||||||
5.15% | 05/15/381,3 | 1,500,000 | 1,796,834 | |||||||
BAT Capital Corp. |
| |||||||||
2.73% | 03/25/31 | 915,000 | 890,160 | |||||||
4.54% | 08/15/47 | 500,000 | 504,208 | |||||||
4.70% | 04/02/27 | 1,390,000 | 1,566,434 | |||||||
Imperial Brands Finance PLC |
| |||||||||
(United Kingdom) |
| |||||||||
3.13% | 07/26/241,3 | 1,500,000 | 1,587,361 | |||||||
Reynolds American, Inc. |
| |||||||||
5.85% | 08/15/45 | 12,245,000 | 14,403,030 | |||||||
|
| |||||||||
29,083,867 | ||||||||||
|
| |||||||||
Electric — 1.49% |
| |||||||||
Alabama Power Capital Trust V |
| |||||||||
3.30% | 10/01/424 | 1,300,000 | 1,300,000 | |||||||
Cleco Power LLC |
| |||||||||
6.00% | 12/01/40 | 1,380,000 | 1,761,311 | |||||||
Consolidated Edison Co. of New York, Inc. |
| |||||||||
4.45% | 03/15/44 | 1,000,000 | 1,157,500 | |||||||
Dominion Energy, Inc. |
| |||||||||
5.75% | 10/01/544 | 2,515,000 | 2,731,511 | |||||||
Duke Energy Carolinas LLC |
| |||||||||
3.70% | 12/01/47 | 1,810,000 | 1,925,979 | |||||||
Duquesne Light Holdings, Inc. |
| |||||||||
5.90% | 12/01/211 | 2,700,000 | 2,788,555 | |||||||
Eskom Holdings SOC Ltd., |
| |||||||||
Series REGS |
| |||||||||
(South Africa) |
| |||||||||
7.13% | 02/11/253 | 800,000 | 830,000 | |||||||
FirstEnergy Corp., |
| |||||||||
Series C |
| |||||||||
3.40% | 03/01/50 | 6,898,000 | 6,067,518 | |||||||
FirstEnergy Transmission LLC |
| |||||||||
2.87% | 09/15/281 | 5,378,000 | 5,430,456 | |||||||
Metropolitan Edison Co. |
| |||||||||
4.00% | 04/15/251 | 2,625,000 | 2,788,443 | |||||||
Mong Duong Finance Holdings BV, |
| |||||||||
Series REGS |
| |||||||||
(Netherlands) |
| |||||||||
5.13% | 05/07/293 | 900,000 | 905,344 | |||||||
NextEra Energy Capital Holdings, Inc. |
| |||||||||
(LIBOR USD 3-Month plus 0.27%) |
| |||||||||
0.45% | 02/22/232 | 6,335,000 | 6,336,341 | |||||||
Perusahaan Perseroan Persero PT Perusahaan Listrik Negara, |
| |||||||||
Series REGS (EMTN) (Indonesia) |
| |||||||||
6.15% | 05/21/483 | 1,000,000 | 1,219,345 |
See accompanying Notes to Financial Statements.
205 / Annual Report March 2021 |
Table of Contents
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Electric (continued) |
| |||||||||||
Public Service Co. of New Mexico |
| |||||||||||
3.85% | 08/01/25 | $ | 5,565,000 | $ | 5,985,426 | |||||||
5.35% | 10/01/21 | 45,000 | 45,543 | |||||||||
Public Service Electric & Gas Co., |
| |||||||||||
Series CC |
| |||||||||||
9.25% | 06/01/21 | 6,935,000 | 7,024,224 | |||||||||
Southwestern Electric Power Co. |
| |||||||||||
3.55% | 02/15/22 | 2,625,000 | 2,674,458 | |||||||||
Southwestern Electric Power Co., |
| |||||||||||
Series M |
| |||||||||||
4.10% | 09/15/28 | 2,190,000 | 2,436,765 | |||||||||
|
| |||||||||||
53,408,719 | ||||||||||||
|
| |||||||||||
Energy — 3.42% |
| |||||||||||
Archrock Partners LP/Archrock Partners Finance Corp. |
| |||||||||||
6.25% | 04/01/281 | 1,700,000 | 1,736,329 | |||||||||
Enbridge Energy Partners LP |
| |||||||||||
5.88% | 10/15/25 | 2,190,000 | 2,579,455 | |||||||||
Energy Transfer Operating LP |
| |||||||||||
3.75% | 05/15/30 | 1,600,000 | 1,654,015 | |||||||||
4.95% | 06/15/28 | 2,000,000 | 2,239,448 | |||||||||
5.00% | 05/15/50 | 2,065,000 | 2,144,101 | |||||||||
5.15% | 03/15/45 | 3,826,000 | 3,960,814 | |||||||||
5.50% | 06/01/27 | 1,448,000 | 1,672,010 | |||||||||
6.13% | 12/15/45 | 500,000 | 573,812 | |||||||||
Energy Transfer Operating LP, |
| |||||||||||
Series B |
| |||||||||||
6.63% | 02/15/704 | 7,161,000 | 6,364,339 | |||||||||
Exxon Mobil Corp. |
| |||||||||||
4.11% | 03/01/46 | 2,000,000 | 2,210,923 | |||||||||
4.33% | 03/19/50 | 5,235,000 | 6,019,015 | |||||||||
Galaxy Pipeline Assets Bidco Ltd. |
| |||||||||||
(United Kingdom) |
| |||||||||||
2.16% | 03/31/341,3 | 1,200,000 | 1,165,498 | |||||||||
Hess Corp. | ||||||||||||
4.30% | 04/01/27 | 2,265,000 | 2,474,558 | |||||||||
7.88% | 10/01/29 | 1,855,000 | 2,401,525 | |||||||||
KazMunayGas National Co. JSC, |
| |||||||||||
Series REGS |
| |||||||||||
(Kazakhstan) |
| |||||||||||
3.50% | 04/14/333 | 300,000 | 307,890 | |||||||||
5.75% | 04/19/473 | 3,443,000 | 4,094,450 | |||||||||
Kinder Morgan Energy Partners LP |
| |||||||||||
5.00% | 08/15/42 | 1,090,000 | 1,230,263 | |||||||||
5.80% | 03/15/35 | 210,000 | 257,201 | |||||||||
Kinder Morgan, Inc. |
| |||||||||||
5.30% | 12/01/34 | 875,000 | 1,034,382 | |||||||||
NGL Energy Operating LLC/NGL Energy Finance Corp. |
| |||||||||||
7.50% | 02/01/261 | 2,675,000 | 2,754,282 | |||||||||
Pertamina Persero PT |
| |||||||||||
(Indonesia) |
| |||||||||||
3.10% | 08/27/301,3 | 4,579,000 | 4,621,067 | |||||||||
Petrobras Global Finance BV |
| |||||||||||
(Netherlands) |
| |||||||||||
5.09% | 01/15/303 | 2,048,000 | 2,128,896 |
Issues | Maturity Date | Principal Amount | Value | |||||||
CORPORATES (continued) |
| |||||||||
Energy (continued) |
| |||||||||
Petroleos del Peru SA, |
| |||||||||
Series REGS (Peru) |
| |||||||||
4.75% | 06/19/323 | $ | 2,088,000 | $ | 2,205,826 | |||||
Petroleos Mexicanos |
| |||||||||
(Mexico) |
| |||||||||
1.70% | 12/20/223 | 30,000 | 30,324 | |||||||
5.95% | 01/28/313 | 920,000 | 882,096 | |||||||
6.63% | 06/15/353 | 6,120,000 | 5,831,412 | |||||||
6.75% | 09/21/473 | 3,815,000 | 3,251,372 | |||||||
6.95% | 01/28/603 | 1,595,000 | 1,368,709 | |||||||
7.69% | 01/23/503 | 743,000 | 688,761 | |||||||
Petronas Capital Ltd. |
| |||||||||
(Malaysia) |
| |||||||||
3.50% | 04/21/301,3 | 3,405,000 | 3,649,479 | |||||||
Plains All American Pipeline LP/PAA Finance Corp. |
| |||||||||
3.80% | 09/15/30 | 2,000,000 | 2,039,212 | |||||||
4.50% | 12/15/26 | 4,450,000 | 4,892,687 | |||||||
Rockies Express Pipeline LLC |
| |||||||||
4.80% | 05/15/301 | 2,000,000 | 1,981,250 | |||||||
4.95% | 07/15/291 | 1,000,000 | 1,023,526 | |||||||
6.88% | 04/15/401 | 3,175,000 | 3,444,875 | |||||||
Ruby Pipeline LLC |
| |||||||||
8.00% | 04/01/221,5,6 | 4,307,197 | 3,607,708 | |||||||
Saudi Arabian Oil Co., |
| |||||||||
Series REGS (EMTN) |
| |||||||||
(Saudi Arabia) |
| |||||||||
4.25% | 04/16/393 | 901,000 | 973,842 | |||||||
Shell International Finance BV |
| |||||||||
(Netherlands) |
| |||||||||
4.00% | 05/10/463 | 850,000 | 937,028 | |||||||
Southern Co. Gas Capital Corp. |
| |||||||||
3.25% | 06/15/26 | 2,935,000 | 3,171,170 | |||||||
Southern Gas Corridor CJSC, |
| |||||||||
Series REGS |
| |||||||||
(Azerbaijan) |
| |||||||||
6.88% | 03/24/263 | 3,426,000 | 4,058,097 | |||||||
Sunoco Logistics Partners Operations LP |
| |||||||||
5.40% | 10/01/47 | 3,776,000 | 4,050,565 | |||||||
Sunoco LP/Sunoco Finance Corp. |
| |||||||||
4.50% | 05/15/291 | 7,260,000 | 7,241,850 | |||||||
TransMontaigne Partners LP/TLP Finance Corp. |
| |||||||||
6.13% | 02/15/26 | 2,907,000 | 2,928,803 | |||||||
Transocean Pontus Ltd. |
| |||||||||
(Cayman Islands) |
| |||||||||
6.13% | 08/01/251,3 | 1,176,675 | 1,114,164 | |||||||
Transocean Poseidon Ltd. |
| |||||||||
(Cayman Islands) |
| |||||||||
6.88% | 02/01/271,3 | 4,148,000 | 3,841,815 | |||||||
Transocean Proteus Ltd. |
| |||||||||
(Cayman Islands) |
| |||||||||
6.25% | 12/01/241,3 | 666,600 | 634,936 | |||||||
USA Compression Partners LP/USA Compression Finance Corp. |
| |||||||||
6.88% | 04/01/26 | 1,984,000 | 2,038,560 |
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 206 |
Table of Contents
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
CORPORATES (continued) |
| |||||||||
Energy (continued) |
| |||||||||
6.88% | 09/01/27 | $ | 3,198,000 | $ | 3,299,345 | |||||
|
| |||||||||
122,811,685 | ||||||||||
|
| |||||||||
Entertainment — 0.06% |
| |||||||||
Live Nation Entertainment, Inc. |
| |||||||||
4.75% | 10/15/271 | 2,000,000 | 2,018,130 | |||||||
|
| |||||||||
Finance — 3.22% |
| |||||||||
AerCap Ireland Capital DAC/AerCap Global Aviation Trust (Ireland) |
| |||||||||
3.65% | 07/21/273 | 1,225,000 | 1,286,471 | |||||||
3.88% | 01/23/283 | 1,090,000 | 1,139,024 | |||||||
3.95% | 02/01/223 | 1,500,000 | 1,535,063 | |||||||
4.45% | 12/16/213 | 1,750,000 | 1,790,525 | |||||||
Air Lease Corp. |
| |||||||||
2.25% | 01/15/23 | 2,000,000 | 2,053,775 | |||||||
3.50% | 01/15/22 | 2,000,000 | 2,045,412 | |||||||
3.88% | 07/03/23 | 2,862,000 | 3,044,238 | |||||||
Avolon Holdings Funding Ltd. |
| |||||||||
(Cayman Islands) |
| |||||||||
2.88% | 02/15/251,3 | 4,555,000 | 4,567,787 | |||||||
3.95% | 07/01/241,3 | 1,035,000 | 1,082,644 | |||||||
5.13% | 10/01/231,3 | 2,603,000 | 2,777,060 | |||||||
Citigroup, Inc. |
| |||||||||
4.41% | 03/31/314 | 6,526,000 | 7,455,966 | |||||||
Daimler Finance North America LLC |
| |||||||||
(LIBOR USD 3-Month plus 0.90%) |
| |||||||||
1.09% | 02/15/221,2 | 4,095,000 | 4,122,966 | |||||||
Ford Motor Credit Co. LLC |
| |||||||||
2.98% | 08/03/22 | 3,015,000 | 3,063,994 | |||||||
3.34% | 03/28/22 | 7,735,000 | 7,841,434 | |||||||
(LIBOR USD 3-Month plus 0.88%) |
| |||||||||
1.10% | 10/12/212 | 3,000,000 | 2,985,825 | |||||||
(LIBOR USD 3-Month plus 1.08%) |
| |||||||||
1.28% | 08/03/222 | 2,555,000 | 2,529,450 | |||||||
GE Capital International Funding Co. |
| |||||||||
(Ireland) |
| |||||||||
4.42% | 11/15/353 | 19,382,000 | 22,208,393 | |||||||
General Motors Financial Co., Inc. |
| |||||||||
3.15% | 06/30/22 | 500,000 | 513,990 | |||||||
3.20% | 07/06/21 | 1,235,000 | 1,240,404 | |||||||
3.45% | 04/10/22 | 675,000 | 691,427 | |||||||
4.20% | 11/06/21 | 2,950,000 | 3,014,429 | |||||||
4.38% | 09/25/21 | 11,995,000 | 12,218,243 | |||||||
Goldman Sachs Group, Inc. (The) |
| |||||||||
3.27% | 09/29/254 | 12,035,000 | 12,897,665 | |||||||
JPMorgan Chase & Co. |
| |||||||||
2.08% | 04/22/264 | 1,720,000 | 1,768,540 | |||||||
Nationwide Building Society |
| |||||||||
(United Kingdom) |
| |||||||||
3.62% | 04/26/231,3,4 | 5,000,000 | 5,158,988 | |||||||
3.77% | 03/08/241,3,4 | 2,570,000 | 2,716,263 | |||||||
Park Aerospace Holdings Ltd. |
| |||||||||
(Cayman Islands) |
| |||||||||
4.50% | 03/15/231,3 | 455,000 | 475,405 |
Issues | Maturity Date | Principal Amount | Value | |||||||||
CORPORATES (continued) |
| |||||||||||
Finance (continued) |
| |||||||||||
5.50% | 02/15/241,3 | $ | 3,080,000 | $ | 3,350,237 | |||||||
|
| |||||||||||
115,575,618 | ||||||||||||
|
| |||||||||||
Food — 0.58% |
| |||||||||||
JBS USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc. |
| |||||||||||
(Canada) |
| |||||||||||
5.50% | 01/15/301,3 | 1,005,000 | 1,114,294 | |||||||||
Kraft Heinz Foods Co. |
| |||||||||||
3.88% | 05/15/27 | 4,795,000 | 5,251,244 | |||||||||
4.38% | 06/01/46 | 2,467,000 | 2,589,593 | |||||||||
4.88% | 10/01/49 | 424,000 | 479,508 | |||||||||
5.00% | 06/04/42 | 2,965,000 | 3,341,326 | |||||||||
Post Holdings, Inc. |
| |||||||||||
4.63% | 04/15/301 | 1,629,000 | 1,635,109 | |||||||||
5.63% | 01/15/281 | 964,000 | 1,016,759 | |||||||||
Smithfield Foods, Inc. |
| |||||||||||
5.20% | 04/01/291 | 4,690,000 | 5,386,307 | |||||||||
|
| |||||||||||
20,814,140 | ||||||||||||
|
| |||||||||||
Gaming — 0.09% |
| |||||||||||
Caesars Entertainment, Inc. |
| |||||||||||
6.25% | 07/01/251 | 3,101,000 | 3,309,604 | |||||||||
|
| |||||||||||
Health Care — 3.15% |
| |||||||||||
AbbVie, Inc. | ||||||||||||
4.05% | 11/21/39 | 1,550,000 | 1,730,332 | |||||||||
4.25% | 11/21/49 | 545,000 | 617,705 | |||||||||
4.40% | 11/06/42 | 5,190,000 | 6,027,909 | |||||||||
4.45% | 05/14/46 | 2,350,000 | 2,722,262 | |||||||||
Bausch Health Cos., Inc. |
| |||||||||||
(Canada) |
| |||||||||||
7.00% | 03/15/241,3 | 3,499,000 | 3,582,976 | |||||||||
Bayer U.S. Finance II LLC |
| |||||||||||
4.25% | 12/15/251 | 2,005,000 | 2,233,150 | |||||||||
4.38% | 12/15/281 | 8,135,000 | 9,193,956 | |||||||||
4.63% | 06/25/381 | 2,775,000 | 3,199,146 | |||||||||
4.88% | 06/25/481 | 4,415,000 | 5,295,640 | |||||||||
5.50% | 08/15/251 | 2,000,000 | 2,265,074 | |||||||||
Becton Dickinson and Co. |
| |||||||||||
6.70% | 08/01/28 | 2,930,000 | 3,549,362 | |||||||||
Centene Corp. |
| |||||||||||
3.00% | 10/15/30 | 4,157,000 | 4,155,296 | |||||||||
5.38% | 08/15/261 | 90,000 | 95,166 | |||||||||
Cigna Corp. |
| |||||||||||
3.88% | 10/15/47 | 4,825,000 | 5,169,882 | |||||||||
4.13% | 11/15/25 | 2,380,000 | 2,655,342 | |||||||||
CommonSpirit Health |
| |||||||||||
2.78% | 10/01/30 | 2,995,000 | 3,054,916 | |||||||||
CVS Health Corp. |
| |||||||||||
5.05% | 03/25/48 | 5,417,000 | 6,655,498 | |||||||||
5.13% | 07/20/45 | 755,000 | 925,672 | |||||||||
Endo Luxembourg Finance Co. I Sarl/Endo U.S., Inc. |
| |||||||||||
(Luxembourg) |
| |||||||||||
6.13% | 04/01/291,3 | 2,948,000 | 2,994,048 | |||||||||
Fresenius Medical Care U.S. Finance II, Inc. |
| |||||||||||
5.88% | 01/31/221 | 3,055,000 | 3,179,528 |
See accompanying Notes to Financial Statements.
207 / Annual Report March 2021 |
Table of Contents
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
CORPORATES (continued) |
| |||||||||
Health Care (continued) |
| |||||||||
Hartford HealthCare Corp. |
| |||||||||
5.75% | 04/01/44 | $ | 1,525,000 | $ | 1,998,610 | |||||
HCA, Inc. |
| |||||||||
4.13% | 06/15/29 | 2,400,000 | 2,660,317 | |||||||
5.00% | 03/15/24 | 5,533,000 | 6,166,113 | |||||||
5.25% | 04/15/25 | 2,477,000 | 2,830,587 | |||||||
5.25% | 06/15/49 | 4,670,000 | 5,728,124 | |||||||
ModivCare, Inc. |
| |||||||||
5.88% | 11/15/251 | 3,300,000 | 3,479,437 | |||||||
Molina Healthcare, Inc. |
| |||||||||
3.88% | 11/15/301 | 3,128,000 | 3,221,445 | |||||||
4.38% | 06/15/281 | 2,500,000 | 2,576,363 | |||||||
5.38% | 11/15/22 | 2,317,000 | 2,433,812 | |||||||
Prime Healthcare Services, Inc. |
| |||||||||
7.25% | 11/01/251 | 7,537,000 | 8,045,747 | |||||||
Tenet Healthcare Corp. |
| |||||||||
4.88% | 01/01/261 | 4,617,000 | 4,806,297 | |||||||
|
| |||||||||
113,249,712 | ||||||||||
|
| |||||||||
Industrials — 0.88% |
| |||||||||
Amcor Finance USA, Inc. |
| |||||||||
3.63% | 04/28/26 | 2,125,000 | 2,325,687 | |||||||
Berry Global, Inc. |
| |||||||||
1.57% | 01/15/261 | 1,740,000 | 1,714,494 | |||||||
4.88% | 07/15/261 | 1,195,000 | 1,265,744 | |||||||
Boeing Co. (The) |
| |||||||||
1.43% | 02/04/24 | 8,790,000 | 8,806,291 | |||||||
General Electric Co. |
| |||||||||
(MTN) |
| |||||||||
(LIBOR USD 3-Month plus 0.48%) |
| |||||||||
0.67% | 08/15/362 | 10,370,000 | 8,402,496 | |||||||
General Electric Co., |
| |||||||||
Series A (MTN) |
| |||||||||
6.75% | 03/15/32 | 3,690,000 | 4,948,378 | |||||||
Heathrow Funding Ltd. |
| |||||||||
(United Kingdom) |
| |||||||||
4.88% | 07/15/211,3 | 700,000 | 706,913 | |||||||
PowerTeam Services LLC |
| |||||||||
9.03% | 12/04/251 | 1,730,000 | 1,909,579 | |||||||
Titan Acquisition Ltd./Titan Co-Borrower LLC |
| |||||||||
(Canada) |
| |||||||||
7.75% | 04/15/261,3 | 1,670,000 | 1,742,729 | |||||||
|
| |||||||||
31,822,311 | ||||||||||
|
| |||||||||
Information Technology — 0.46% |
| |||||||||
Broadcom, Inc. |
| |||||||||
3.63% | 10/15/24 | 960,000 | 1,044,849 | |||||||
NCR Corp. |
| |||||||||
5.13% | 04/15/291 | 5,500,000 | 5,554,339 | |||||||
NXP BV/NXP Funding LLC |
| |||||||||
(Netherlands) |
| |||||||||
4.63% | 06/01/231,3 | 795,000 | 861,205 | |||||||
Oracle Corp. |
| |||||||||
2.88% | 03/25/31 | 3,365,000 | 3,427,227 | |||||||
3.95% | 03/25/51 | 5,365,000 | 5,540,847 | |||||||
|
| |||||||||
16,428,467 | ||||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||
CORPORATES (continued) |
| |||||||||
Insurance — 0.74% |
| |||||||||
Acrisure LLC/Acrisure Finance, Inc. |
| |||||||||
4.25% | 02/15/291 | $ | 4,660,000 | $ | 4,586,867 | |||||
Berkshire Hathaway Finance Corp. |
| |||||||||
4.25% | 01/15/49 | 2,480,000 | 2,874,479 | |||||||
Farmers Exchange Capital |
| |||||||||
7.20% | 07/15/481 | 150,000 | 201,397 | |||||||
Farmers Exchange Capital II |
| |||||||||
6.15% | 11/01/531,4 | 2,500,000 | 3,171,372 | |||||||
Farmers Insurance Exchange |
| |||||||||
4.75% | 11/01/571,4 | 3,800,000 | 3,978,446 | |||||||
8.63% | 05/01/241 | 942,000 | 1,119,200 | |||||||
Nationwide Mutual Insurance Co. |
| |||||||||
2.47% | 12/15/241,4 | 3,825,000 | 3,822,901 | |||||||
Teachers Insurance & Annuity Association of America |
| |||||||||
3.30% | 05/15/501 | 2,645,000 | 2,578,339 | |||||||
4.27% | 05/15/471 | 480,000 | 541,246 | |||||||
4.38% | 09/15/541,4 | 3,425,000 | 3,642,221 | |||||||
|
| |||||||||
26,516,468 | ||||||||||
|
| |||||||||
Materials — 0.52% |
| |||||||||
Clearwater Paper Corp. |
| |||||||||
4.75% | 08/15/281 | 3,266,000 | 3,302,276 | |||||||
Corp. Nacional del Cobre de Chile, |
| |||||||||
Series REGS |
| |||||||||
(Chile) |
| |||||||||
3.15% | 01/14/303 | 5,371,000 | 5,597,119 | |||||||
Indonesia Asahan Aluminium Persero PT |
| |||||||||
(Indonesia) |
| |||||||||
6.53% | 11/15/281,3 | 5,508,000 | 6,645,264 | |||||||
International Flavors & Fragrances, Inc. |
| |||||||||
5.00% | 09/26/48 | 2,550,000 | 3,150,805 | |||||||
|
| |||||||||
18,695,464 | ||||||||||
|
| |||||||||
Real Estate Investment Trust (REIT) — 1.72% |
| |||||||||
American Campus Communities Operating Partnership LP |
| |||||||||
3.63% | 11/15/27 | 2,246,000 | 2,453,157 | |||||||
3.75% | 04/15/23 | 2,925,000 | 3,093,954 | |||||||
4.13% | 07/01/24 | 1,475,000 | 1,614,280 | |||||||
Boston Properties LP |
| |||||||||
3.25% | 01/30/31 | 1,560,000 | 1,616,602 | |||||||
CyrusOne LP/CyrusOne Finance Corp. |
| |||||||||
2.90% | 11/15/24 | 4,185,000 | 4,429,383 | |||||||
3.45% | 11/15/29 | 11,930,000 | 12,300,885 | |||||||
GLP Capital LP/GLP Financing II, Inc. |
| |||||||||
4.00% | 01/15/30 | 1,175,000 | 1,223,058 | |||||||
5.30% | 01/15/29 | 2,280,000 | 2,564,658 | |||||||
5.38% | 04/15/26 | 2,680,000 | 3,014,263 | |||||||
5.75% | 06/01/28 | 6,241,000 | 7,217,560 | |||||||
Healthcare Realty Trust, Inc. |
| |||||||||
3.88% | 05/01/25 | 2,190,000 | 2,377,200 | |||||||
Hudson Pacific Properties LP |
| |||||||||
3.95% | 11/01/27 | 2,500,000 | 2,683,205 | |||||||
Lexington Realty Trust |
| |||||||||
2.70% | 09/15/30 | 2,000,000 | 1,956,193 | |||||||
Piedmont Operating Partnership LP |
| |||||||||
3.40% | 06/01/23 | 4,520,000 | 4,696,938 |
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 208 |
Table of Contents
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
CORPORATES (continued) |
| |||||||||
Real Estate Investment Trust (REIT) (continued) |
| |||||||||
Post Apartment Homes LP |
| |||||||||
3.38% | 12/01/22 | $ | 90,000 | $ | 93,514 | |||||
SL Green Operating Partnership LP |
| |||||||||
(LIBOR USD 3-Month plus 0.98%) |
| |||||||||
1.17% | 08/16/212 | 1,500,000 | 1,500,049 | |||||||
SL Green Realty Corp. |
| |||||||||
4.50% | 12/01/22 | 3,000,000 | 3,142,081 | |||||||
Ventas Realty LP | ||||||||||
3.00% | 01/15/30 | 1,705,000 | 1,739,957 | |||||||
3.25% | 10/15/26 | 2,875,000 | 3,103,697 | |||||||
3.75% | 05/01/24 | 875,000 | 944,904 | |||||||
|
| |||||||||
61,765,538 | ||||||||||
|
| |||||||||
Retail — 0.30% |
| |||||||||
1011778 BC ULC/New Red Finance, Inc. |
| |||||||||
(Canada) |
| |||||||||
3.50% | 02/15/291,3 | 3,921,000 | 3,817,225 | |||||||
Alimentation Couche-Tard, Inc. |
| |||||||||
(Canada) |
| |||||||||
3.55% | 07/26/271,3 | 1,935,000 | 2,104,820 | |||||||
FirstCash, Inc. |
| |||||||||
4.63% | 09/01/281 | 2,288,000 | 2,338,050 | |||||||
Walgreens Boots Alliance, Inc. |
| |||||||||
3.45% | 06/01/26 | 2,500,000 | 2,692,158 | |||||||
|
| |||||||||
10,952,253 | ||||||||||
|
| |||||||||
Services — 0.81% |
| |||||||||
Adtalem Global Education, Inc. |
| |||||||||
5.50% | 03/01/281 | 2,350,000 | 2,332,323 | |||||||
DP World Crescent Ltd. |
| |||||||||
(Cayman Islands) |
| |||||||||
4.85% | 09/26/281,3 | 4,036,000 | 4,520,320 | |||||||
IHS Markit Ltd. |
| |||||||||
(Bermuda) |
| |||||||||
4.00% | 03/01/261,3 | 1,516,000 | 1,673,384 | |||||||
4.75% | 02/15/251,3 | 11,600,000 | 13,003,020 | |||||||
4.75% | 08/01/283 | 1,750,000 | 2,024,601 | |||||||
Waste Pro USA, Inc. |
| |||||||||
5.50% | 02/15/261 | 5,578,000 | 5,726,681 | |||||||
|
| |||||||||
29,280,329 | ||||||||||
|
| |||||||||
Transportation — 0.15% |
| |||||||||
America West Airlines Pass-Through Trust, |
| |||||||||
Series 2001-1, Class G |
| |||||||||
7.10% | 04/02/21 | 247,384 | 249,845 | |||||||
American Airlines Pass-Through Trust, |
| |||||||||
Series 2015-2, Class AA |
| |||||||||
3.60% | 09/22/27 | 2,164,347 | 2,185,350 | |||||||
Continental Airlines Pass-Through Trust, |
| |||||||||
Series 2000-2, Class A1 |
| |||||||||
7.71% | 04/02/21 | 78,914 | 78,914 | |||||||
Continental Airlines Pass-Through Trust, |
| |||||||||
Series 2001-1, Class A1 |
| |||||||||
6.70% | 06/15/21 | 14,263 | 14,403 | |||||||
Continental Airlines Pass-Through Trust, |
| |||||||||
Series 2007-1, Class A |
| |||||||||
5.98% | 04/19/22 | 1,686,023 | 1,721,458 |
Issues | Maturity Date | Principal Amount | Value | |||||||
CORPORATES (continued) |
| |||||||||
Transportation (continued) |
| |||||||||
Delta Air Lines Pass-Through Trust, |
| |||||||||
Series 2002-1, Class G1 |
| |||||||||
6.72% | 01/02/23 | $ | 385,013 | $ | 397,526 | |||||
U.S. Airways Pass-Through Trust, |
| |||||||||
Series 2010-1, Class A |
| |||||||||
6.25% | 04/22/23 | 657,369 | 664,398 | |||||||
U.S. Airways Pass-Through Trust, |
| |||||||||
Series 2012-1, Class A |
| |||||||||
5.90% | 10/01/24 | 64,813 | 67,081 | |||||||
|
| |||||||||
5,378,975 | ||||||||||
|
| |||||||||
Total Corporates (Cost $857,984,754) |
| 885,661,396 | ||||||||
|
| |||||||||
FOREIGN GOVERNMENT OBLIGATIONS — 2.70% |
| |||||||||
Foreign Government Obligations — 2.70% |
| |||||||||
Abu Dhabi Government International Bond, |
| |||||||||
Series REGS |
| |||||||||
(United Arab Emirates) |
| |||||||||
2.50% | 09/30/293 | 3,798,000 | 3,904,367 | |||||||
Brazilian Government International Bond |
| |||||||||
(Brazil) |
| |||||||||
3.88% | 06/12/303 | 5,010,000 | 4,869,019 | |||||||
Chile Government International Bond |
| |||||||||
(Chile) |
| |||||||||
2.45% | 01/31/313 | 700,000 | 704,473 | |||||||
2.55% | 01/27/323 | 2,960,000 | 2,993,241 | |||||||
Colombia Government International Bond |
| |||||||||
(Colombia) |
| |||||||||
3.00% | 01/30/303 | 7,373,000 | 7,234,719 | |||||||
3.13% | 04/15/313 | 1,680,000 | 1,649,802 | |||||||
5.20% | 05/15/493 | 916,000 | 1,011,635 | |||||||
Corp. Financiera de Desarrollo SA, |
| |||||||||
Series REGS |
| |||||||||
(Peru) |
| |||||||||
4.75% | 07/15/253 | 1,066,000 | 1,185,818 | |||||||
Dominican Republic International Bond |
| |||||||||
(Dominican Republic) |
| |||||||||
4.50% | 01/30/301,3 | 3,700,000 | 3,731,126 | |||||||
Dominican Republic International Bond, |
| |||||||||
Series REGS |
| |||||||||
(Dominican Republic) |
| |||||||||
4.88% | 09/23/323 | 2,580,000 | 2,623,860 | |||||||
Egypt Government International Bond |
| |||||||||
(Egypt) |
| |||||||||
5.58% | 02/21/231,3 | 1,200,000 | 1,255,680 | |||||||
7.60% | 03/01/291,3 | 700,000 | 747,051 | |||||||
Fondo MIVIVIENDA SA, |
| |||||||||
Series REGS |
| |||||||||
(Peru) |
| |||||||||
3.50% | 01/31/233 | 650,000 | 677,105 | |||||||
Indonesia Government International Bond |
| |||||||||
(Indonesia) |
| |||||||||
2.85% | 02/14/303 | 1,000,000 | 1,020,200 |
See accompanying Notes to Financial Statements.
209 / Annual Report March 2021 |
Table of Contents
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
FOREIGN GOVERNMENT OBLIGATIONS (continued) |
| |||||||||
Foreign Government Obligations (continued) |
| |||||||||
Mexico Government International Bond |
| |||||||||
(Mexico) |
| |||||||||
2.66% | 05/24/313 | $ | 11,693,000 | $ | 11,139,921 | |||||
Panama Government International Bond |
| |||||||||
(Panama) |
| |||||||||
2.25% | 09/29/323 | 1,500,000 | 1,422,000 | |||||||
3.16% | 01/23/303 | 3,931,000 | 4,105,536 | |||||||
Paraguay Government International Bond |
| |||||||||
(Paraguay) |
| |||||||||
2.74% | 01/29/331,3 | 1,026,000 | 985,629 | |||||||
Peruvian Government International Bond |
| |||||||||
(Peru) |
| |||||||||
1.86% | 12/01/323 | 770,000 | 704,396 | |||||||
2.78% | 01/23/313 | 1,500,000 | 1,505,550 | |||||||
2.84% | 06/20/303 | 4,360,000 | 4,436,365 | |||||||
4.13% | 08/25/273 | 2,072,000 | 2,321,386 | |||||||
Philippine Government International Bond |
| |||||||||
(Philippines) |
| |||||||||
1.65% | 06/10/313 | 741,000 | 701,789 | |||||||
2.46% | 05/05/303 | 1,134,000 | 1,148,884 | |||||||
Qatar Government International Bond, |
| |||||||||
Series REGS |
| |||||||||
(Qatar) |
| |||||||||
4.50% | 04/23/283 | 6,373,000 | 7,448,444 | |||||||
4.63% | 06/02/463 | 1,953,000 | 2,316,844 | |||||||
Republic of South Africa Government International Bond |
| |||||||||
(South Africa) |
| |||||||||
4.30% | 10/12/283 | 2,107,000 | 2,079,398 | |||||||
4.85% | 09/30/293 | 4,655,000 | 4,691,088 | |||||||
Romanian Government International Bond, |
| |||||||||
Series REGS |
| |||||||||
(Romania) |
| |||||||||
3.00% | 02/14/313 | 3,500,000 | 3,511,839 | |||||||
Saudi Government International Bond |
| |||||||||
(Saudi Arabia) |
| |||||||||
2.75% | 02/03/321,3 | 500,000 | 501,255 | |||||||
3.75% | 01/21/551,3 | 903,000 | 888,891 | |||||||
Saudi Government International Bond, |
| |||||||||
Series REGS (EMTN) |
| |||||||||
(Saudi Arabia) |
| |||||||||
3.25% | 10/22/303 | 3,700,000 | 3,896,563 | |||||||
3.63% | 03/04/283 | 3,300,000 | 3,592,693 | |||||||
4.50% | 10/26/463 | 1,308,000 | 1,443,901 | |||||||
Turkey Government International Bond |
| |||||||||
(Turkey) |
| |||||||||
5.13% | 03/25/223 | 2,250,000 | 2,263,073 | |||||||
Uruguay Government International Bond |
| |||||||||
(Uruguay) |
| |||||||||
4.38% | 01/23/313 | 1,988,717 | 2,312,192 | |||||||
|
| |||||||||
Total Foreign Government Obligations (Cost $98,393,848) |
| 97,025,733 | ||||||||
|
|
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED — 49.23%** |
| |||||||||
Non-Agency Commercial Mortgage-Backed — 6.13% |
| |||||||||
1345 Avenue of the Americas & Park Avenue Plaza Trust, |
| |||||||||
Series 2005-1, Class A3 |
| |||||||||
5.28% | 08/10/351 | $ | 16,359,970 | $ | 17,152,862 | |||||
Banc of America Merrill Lynch Commercial Mortgage Trust, |
| |||||||||
Series 2018-PARK, Class A |
| |||||||||
4.09% | 08/10/381,4 | 7,985,000 | 8,974,509 | |||||||
Banc of America Merrill Lynch Commercial Mortgage Trust, |
| |||||||||
Series 2020-BOC, Class A |
| |||||||||
2.63% | 01/15/321 | 5,000,000 | 5,192,258 | |||||||
Banc of America Merrill Lynch Commercial Mortgage Trust, |
| |||||||||
Series 2020-BOC, Class X (IO) |
| |||||||||
0.47% | 01/15/321,4 | 98,610,000 | 2,387,910 | |||||||
Bayview Commercial Asset Trust, |
| |||||||||
Series 2004-2, Class A |
| |||||||||
(LIBOR USD 1-Month plus 0.65%) |
| |||||||||
0.75% | 08/25/341,2 | 676,844 | 670,006 | |||||||
BX Trust, |
| |||||||||
Series 2019-OC11, Class A |
| |||||||||
3.20% | 12/09/411 | 7,060,000 | 7,396,521 | |||||||
BX Trust, |
| |||||||||
Series 2021-LBA, Class EJV |
| |||||||||
(LIBOR USD 1-Month plus 2.00%) |
| |||||||||
2.11% | 02/15/361,2 | 10,000,000 | 10,016,394 | |||||||
CALI Mortgage Trust, |
| |||||||||
Series 2019-101C, Class A |
| |||||||||
3.96% | 03/10/391 | 10,760,000 | 12,047,741 | |||||||
CD Mortgage Trust, |
| |||||||||
Series 2016-CD1, Class XA (IO) |
| |||||||||
1.41% | 08/10/494 | 64,942,301 | 3,861,235 | |||||||
Century Plaza Towers, |
| |||||||||
Series 2019-CPT, Class A |
| |||||||||
2.87% | 11/13/391 | 6,125,000 | 6,358,182 | |||||||
Citigroup Commercial Mortgage Trust, |
| |||||||||
Series 2012-GC8, Class XA (IO) |
| |||||||||
1.74% | 09/10/451,4 | 35,960,996 | 646,805 | |||||||
Citigroup Commercial Mortgage Trust, |
| |||||||||
Series 2015-GC27, Class XA (IO) |
| |||||||||
1.34% | 02/10/484 | 67,337,378 | 2,880,747 | |||||||
Commercial Mortgage Trust, |
| |||||||||
Series 2012-CR4, Class XA (IO) |
| |||||||||
1.67% | 10/15/454 | 42,252,158 | 836,669 | |||||||
Commercial Mortgage Trust, |
| |||||||||
Series 2012-CR5, Class XA (IO) |
| |||||||||
1.51% | 12/10/454 | 69,925,487 | 1,463,988 | |||||||
Commercial Mortgage Trust, |
| |||||||||
Series 2013-CR13, Class XA (IO) |
| |||||||||
0.75% | 11/10/464 | 61,672,187 | 1,073,885 | |||||||
Commercial Mortgage Trust, |
| |||||||||
Series 2014-CR16, Class XA (IO) |
| |||||||||
0.95% | 04/10/474 | 105,353,265 | 2,611,223 | |||||||
Commercial Mortgage Trust, |
| |||||||||
Series 2020-CBM, Class XCP (IO) |
| |||||||||
0.49% | 02/10/371,4 | 83,820,000 | 1,858,465 |
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 210 |
Table of Contents
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
Non-Agency Commercial Mortgage-Backed (continued) |
| |||||||||
Commercial Mortgage Trust, |
| |||||||||
Series 2021-LBA, Class F |
| |||||||||
(LIBOR USD 1-Month plus 2.35%) |
| |||||||||
2.50% | 03/15/381,2 | $ | 7,211,000 | $ | 7,232,907 | |||||
DBJPM Mortgage Trust, |
| |||||||||
Series 2016-SFC, Class A |
| |||||||||
2.83% | 08/10/361 | 8,000,000 | 8,167,697 | |||||||
DC Office Trust, |
| |||||||||
Series 2019-MTC, Class A |
| |||||||||
2.97% | 09/15/451 | 6,555,000 | 6,851,137 | |||||||
GS Mortgage Securities Corp. Trust, |
| |||||||||
Series 2020-UPTN, Class XA (IO) |
| |||||||||
0.35% | 02/10/371,4 | 40,999,000 | 544,204 | |||||||
GS Mortgage Securities Trust, |
| |||||||||
Series 2014-GC20, Class XA (IO) |
| |||||||||
1.01% | 04/10/474 | 64,486,255 | 1,537,804 | |||||||
GSCG Trust, |
| |||||||||
Series 2019-600C, Class G |
| |||||||||
3.99% | 09/06/341,4 | 9,212,000 | 8,644,938 | |||||||
Hudson Yards Mortgage Trust, |
| |||||||||
Series 2019-30HY, Class A |
| |||||||||
3.23% | 07/10/391 | 6,340,000 | 6,769,800 | |||||||
Hudson Yards Mortgage Trust, |
| |||||||||
Series 2019-55HY, Class A |
| |||||||||
2.94% | 12/10/411,4 | 6,555,000 | 6,860,649 | |||||||
Hudson Yards Mortgage Trust, |
| |||||||||
Series 2019-55HY, Class F |
| |||||||||
2.94% | 12/10/411,4 | 3,131,000 | 2,926,423 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust, |
| |||||||||
Series 2019-OSB, Class A |
| |||||||||
3.40% | 06/05/391 | 8,000,000 | 8,637,754 | |||||||
JPMorgan Chase Commercial Mortgage Securities Trust, |
| |||||||||
Series 2021-1440, Class B |
| |||||||||
(LIBOR USD 1-Month plus 1.75%) |
| |||||||||
1.86% | 03/15/361,2 | 15,000,000 | 15,037,457 | |||||||
Lehman Brothers Small Balance Commercial Mortgage Trust, |
| |||||||||
Series 2007-2A, Class 1A4 |
| |||||||||
(LIBOR USD 1-Month plus 0.25%) |
| |||||||||
0.36% | 06/25/371,2 | 459,012 | 451,580 | |||||||
Life Mortgage Trust, |
| |||||||||
Series 2021-BMR, Class G |
| |||||||||
(LIBOR USD 1-Month plus 2.95%) |
| |||||||||
3.06% | 03/15/381,2 | 10,718,000 | 10,765,562 | |||||||
MKT Mortgage Trust, |
| |||||||||
Series 2020-525M, Class A |
| |||||||||
2.69% | 02/12/401 | 4,500,000 | 4,599,075 | |||||||
MKT Mortgage Trust, |
| |||||||||
Series 2020-525M, Class XA (IO) |
| |||||||||
0.21% | 02/12/401,4 | 147,585,000 | 2,662,374 | |||||||
Morgan Stanley ABS Capital I, Inc., Trust, |
| |||||||||
Series 2006-HE4, Class A3 |
| |||||||||
(LIBOR USD 1-Month plus 0.30%) |
| |||||||||
0.41% | 06/25/362 | 11,190,504 | 7,480,396 |
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
Non-Agency Commercial Mortgage-Backed (continued) |
| |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, |
| |||||||||
Series 2015-C22, Class XA (IO) |
| |||||||||
1.03% | 04/15/484 | $ | 73,104,924 | $ | 2,248,254 | |||||
Morgan Stanley Bank of America Merrill Lynch Trust, |
| |||||||||
Series 2015-C24, Class XA (IO) |
| |||||||||
0.72% | 05/15/484 | 113,952,895 | 3,082,744 | |||||||
Morgan Stanley Capital I Trust, |
| |||||||||
Series 2018-MP, Class A |
| |||||||||
4.28% | 07/11/401,4 | 7,915,000 | 8,540,386 | |||||||
Natixis Commercial Mortgage Securities Trust, |
| |||||||||
Series 2018-ALXA, Class E |
| |||||||||
4.32% | 01/15/431,4 | 1,095,000 | 1,085,088 | |||||||
One Bryant Park Trust, |
| |||||||||
Series 2019-OBP, Class A |
| |||||||||
2.52% | 09/15/541 | 6,895,000 | 6,992,899 | |||||||
SFAVE Commercial Mortgage Securities Trust, |
| |||||||||
Series 2015-5AVE, Class A2B |
| |||||||||
4.14% | 01/05/431,4 | 1,840,000 | 1,777,927 | |||||||
Wells Fargo Commercial Mortgage Trust, |
| |||||||||
Series 2014-LC16, Class XA (IO) |
| |||||||||
1.09% | 08/15/504 | 48,475,071 | 1,373,585 | |||||||
Wells Fargo Commercial Mortgage Trust, |
| |||||||||
Series 2016-C33, Class XA (IO) |
| |||||||||
1.62% | 03/15/594 | 85,537,325 | 5,660,492 | |||||||
WF-RBS Commercial Mortgage Trust, |
| |||||||||
Series 2012-C10, Class XA (IO) |
| |||||||||
1.52% | 12/15/451,4 | 64,500,193 | 1,395,778 | |||||||
WF-RBS Commercial Mortgage Trust, |
| |||||||||
Series 2012-C8, Class XA (IO) |
| |||||||||
1.78% | 08/15/451,4 | 41,997,767 | 611,483 | |||||||
WF-RBS Commercial Mortgage Trust, |
| |||||||||
Series 2012-C9, Class XA (IO) |
| |||||||||
1.87% | 11/15/451,4 | 35,643,590 | 772,047 | |||||||
WF-RBS Commercial Mortgage Trust, |
| |||||||||
Series 2013-C14, Class XA (IO) |
| |||||||||
0.72% | 06/15/464 | 73,213,228 | 832,222 | |||||||
WF-RBS Commercial Mortgage Trust, |
| |||||||||
Series 2014-C23, Class XA (IO) |
| |||||||||
0.56% | 10/15/574 | 82,113,972 | 1,362,304 | |||||||
|
| |||||||||
220,334,366 | ||||||||||
|
| |||||||||
Non-Agency Mortgage-Backed — 23.92% |
| |||||||||
Accredited Mortgage Loan Trust, |
| |||||||||
Series 2006-1, Class A4 |
| |||||||||
(LIBOR USD 1-Month plus 0.28%) |
| |||||||||
0.68% | 04/25/362 | 2,445,654 | 2,422,234 | |||||||
ACE Securities Corp. Home Equity Loan Trust, |
| |||||||||
Series 2006-OP2, Class A2C |
| |||||||||
(LIBOR USD 1-Month plus 0.15%) |
| |||||||||
0.26% | 08/25/362 | 275,445 | 271,376 | |||||||
ACE Securities Corp. Home Equity Loan Trust, |
| |||||||||
Series 2007-ASP1, Class A2D |
| |||||||||
(LIBOR USD 1-Month plus 0.38%) |
| |||||||||
0.49% | 03/25/372 | 2,643,629 | 1,489,736 |
See accompanying Notes to Financial Statements.
211 / Annual Report March 2021 |
Table of Contents
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
Non-Agency Mortgage-Backed (continued) |
| |||||||||
Adjustable Rate Mortgage Trust, |
| |||||||||
Series 2005-4, Class 5A1 |
| |||||||||
2.62% | 08/25/354 | $ | 1,861,973 | $ | 1,692,318 | |||||
Adjustable Rate Mortgage Trust, |
| |||||||||
Series 2007-1, Class 1A1 |
| |||||||||
3.00% | 03/25/374 | 2,763,905 | 2,451,494 | |||||||
Alternative Loan Trust, |
| |||||||||
Series 2005-74T1, Class A1 |
| |||||||||
6.00% | 01/25/36 | 6,492,154 | 5,163,351 | |||||||
Alternative Loan Trust, |
| |||||||||
Series 2005-76, Class 1A1 |
| |||||||||
(Federal Reserve US 12-Month Cumulative Average plus 1.48%) |
| |||||||||
1.74% | 01/25/362 | 3,839,983 | 3,825,640 | |||||||
Alternative Loan Trust, |
| |||||||||
Series 2006-HY12, Class A5 |
| |||||||||
3.23% | 08/25/364 | 3,360,579 | 3,373,037 | |||||||
American Home Mortgage Investment Trust, |
| |||||||||
Series 2006-1, Class 12A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.40%) |
| |||||||||
0.51% | 03/25/462 | 3,837,222 | 3,618,332 | |||||||
Asset-Backed Funding Certificates, |
| |||||||||
Series 2007-NC1, Class A2 |
| |||||||||
(LIBOR USD 1-Month plus 0.30%) |
| |||||||||
0.41% | 05/25/371,2 | 4,600,485 | 4,431,041 | |||||||
Asset-Backed Funding Certificates, |
| |||||||||
Series 2007-WMC1, Class A1A |
| |||||||||
(LIBOR USD 1-Month plus 1.25%) |
| |||||||||
1.36% | 06/25/372 | 20,536,707 | 17,513,032 | |||||||
Asset-Backed Funding Certificates, |
| |||||||||
Series 2007-WMC1, Class A2B |
| |||||||||
(LIBOR USD 1-Month plus 1.00%) |
| |||||||||
1.11% | 06/25/372 | 3,838,959 | 3,590,806 | |||||||
Asset-Backed Securities Corp. Home Equity Loan Trust, |
| |||||||||
Series 2004-HE9, Class M1 |
| |||||||||
(LIBOR USD 1-Month plus 0.98%) |
| |||||||||
1.08% | 12/25/342 | 1,420,067 | 1,400,532 | |||||||
Asset-Backed Securities Corp. Home Equity Loan Trust, |
| |||||||||
Series 2006-HE1, Class A4 |
| |||||||||
(LIBOR USD 1-Month plus 0.60%) |
| |||||||||
0.71% | 01/25/362 | 3,834,752 | 3,765,028 | |||||||
Asset-Backed Securities Corp. Home Equity Loan Trust, |
| |||||||||
Series 2006-HE5, Class A5 |
| |||||||||
(LIBOR USD 1-Month plus 0.24%) |
| |||||||||
0.35% | 07/25/362 | 9,754,000 | 9,505,672 | |||||||
Banc of America Alternative Loan Trust, |
| |||||||||
Series 2003-8, Class 1CB1 |
| |||||||||
5.50% | 10/25/33 | 733,819 | 753,932 | |||||||
Banc of America Funding Trust, |
| |||||||||
Series 2004-B, Class 5A1 |
| |||||||||
2.90% | 11/20/344 | 242,977 | 243,533 | |||||||
Banc of America Funding Trust, |
| |||||||||
Series 2006-D, Class 3A1 |
| |||||||||
3.57% | 05/20/364 | 848,749 | 819,753 |
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
Non-Agency Mortgage-Backed (continued) |
| |||||||||
Banc of America Funding Trust, |
| |||||||||
Series 2006-G, Class 2A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.44%) |
| |||||||||
0.55% | 07/20/362 | $ | 337,133 | $ | 337,340 | |||||
Banc of America Funding Trust, |
| |||||||||
Series 2006-G, Class 2A4 |
| |||||||||
(LIBOR USD 1-Month plus 0.58%) |
| |||||||||
0.69% | 07/20/362 | 1,346,416 | 1,348,844 | |||||||
Banc of America Funding Trust, |
| |||||||||
Series 2015-R3, Class 6A2 |
| |||||||||
0.29% | 05/27/361,4 | 17,774,018 | 16,685,820 | |||||||
Banc of America Funding Trust, |
| |||||||||
Series 2016-R1, Class A1 |
| |||||||||
2.50% | 03/25/401,4 | 1,284,559 | 1,296,338 | |||||||
Banc of America Funding Trust, |
| |||||||||
Series 2016-R1, Class B1 |
| |||||||||
3.50% | 03/25/401,4 | 16,181,000 | 15,578,125 | |||||||
Banc of America Mortgage Trust, |
| |||||||||
Series 2005-K, Class 2A1 |
| |||||||||
2.66% | 12/25/354 | 1,121,531 | 1,093,157 | |||||||
BCAP LLC Trust, |
| |||||||||
Series 2007-AA1, Class 2A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.18%) |
| |||||||||
0.29% | 03/25/372 | 3,675,996 | 3,591,783 | |||||||
BCAP LLC Trust, |
| |||||||||
Series 2014-RR2, Class 6A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.24%) |
| |||||||||
0.60% | 10/26/361,2 | 2,624,552 | 2,622,871 | |||||||
BCAP LLC Trust, |
| |||||||||
Series 2014-RR3, Class 4A1 |
| |||||||||
0.42% | 03/26/361,4 | 3,373,351 | 3,220,711 | |||||||
Bear Stearns ALT-A Trust, |
| |||||||||
Series 2005-1, Class M1 |
| |||||||||
(LIBOR USD 1-Month plus 0.75%) |
| |||||||||
0.86% | 01/25/352 | 9,801,223 | 9,674,333 | |||||||
Bear Stearns ALT-A Trust, |
| |||||||||
Series 2005-2, Class 2A4 |
| |||||||||
2.86% | 04/25/354 | 1,392,190 | 1,390,508 | |||||||
Bear Stearns ALT-A Trust, |
| |||||||||
Series 2005-8, Class 11A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.54%) |
| |||||||||
0.65% | 10/25/352 | 7,455,270 | 7,133,623 | |||||||
Bear Stearns ARM Trust, |
| |||||||||
Series 2005-9, Class A1 |
| |||||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.30%) |
| |||||||||
2.41% | 10/25/352 | 1,542,611 | 1,575,008 | |||||||
Bear Stearns Asset-Backed Securities I Trust, |
| |||||||||
Series 2005-AC6, Class 1A3 |
| |||||||||
5.50% | 09/25/354 | 418,915 | 424,222 | |||||||
Bear Stearns Asset-Backed Securities I Trust, |
| |||||||||
Series 2006-AC2, Class 21A3 |
| |||||||||
6.00% | 03/25/36 | 41,304 | 43,335 |
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 212 |
Table of Contents
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
Non-Agency Mortgage-Backed (continued) |
| |||||||||
Bear Stearns Mortgage Funding Trust, |
| |||||||||
Series 2007-AR4, Class 1A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.20%) |
| |||||||||
0.31% | 09/25/472 | $ | 6,765,747 | $ | 6,472,492 | |||||
Bear Stearns Mortgage Funding Trust, |
| |||||||||
Series 2007-AR4, Class 2A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.21%) |
| |||||||||
0.32% | 06/25/372 | 5,270,102 | 4,969,478 | |||||||
Carrington Mortgage Loan Trust, |
| |||||||||
Series 2005-OPT2, Class M4 |
| |||||||||
(LIBOR USD 1-Month plus 0.98%) |
| |||||||||
1.08% | 05/25/352 | 1,972,726 | 1,991,762 | |||||||
Carrington Mortgage Loan Trust, |
| |||||||||
Series 2006-OPT1, Class M1 |
| |||||||||
(LIBOR USD 1-Month plus 0.35%) |
| |||||||||
0.46% | 02/25/362 | 3,424,373 | 3,400,598 | |||||||
Chase Mortgage Finance Trust, |
| |||||||||
Series 2007-A1, Class 8A1 |
| |||||||||
2.70% | 02/25/374 | 687,170 | 711,639 | |||||||
CIM Trust, |
| |||||||||
Series 2017-6, Class A1 |
| |||||||||
3.02% | 06/25/571,4 | 13,608,171 | 13,628,373 | |||||||
CIM Trust, |
| |||||||||
Series 2018-R4, Class A1 |
| |||||||||
4.07% | 12/26/571,4 | 9,021,999 | 9,066,950 | |||||||
CIM Trust, |
| |||||||||
Series 2018-R5, Class A1 |
| |||||||||
3.75% | 07/25/581,4 | 8,089,158 | 8,210,168 | |||||||
CIM Trust, |
| |||||||||
Series 2019-R3, Class A |
| |||||||||
2.63% | 06/25/581,4 | 11,410,718 | 11,263,959 | |||||||
CIM Trust, |
| |||||||||
Series 2020-NR1, Class A (STEP-reset date 05/25/21) |
| |||||||||
3.45% | 06/26/621 | 16,634,260 | 16,741,108 | |||||||
CIM Trust, |
| |||||||||
Series 2020-R1, Class A1 |
| |||||||||
2.85% | 10/27/591,4 | 15,023,552 | 12,664,007 | |||||||
CIM Trust, |
| |||||||||
Series 2020-R3, Class A1A |
| |||||||||
4.00% | 01/26/601,4 | 11,335,653 | 10,632,961 | |||||||
CIM Trust, |
| |||||||||
Series 2020-R6, Class A1A |
| |||||||||
2.25% | 12/25/601,4 | 8,088,300 | 7,993,079 | |||||||
CIM Trust, |
| |||||||||
Series 2020-R7, Class A1A |
| |||||||||
2.25% | 12/27/611,4 | 14,004,394 | 13,920,243 | |||||||
Citigroup Mortgage Loan Trust, |
| |||||||||
Series 2006-AR3, Class 1A2A |
| |||||||||
3.81% | 06/25/364 | 158,137 | 153,789 | |||||||
Citigroup Mortgage Loan Trust, Inc., |
| |||||||||
Series 2005-9, Class 1A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.26%) |
| |||||||||
0.37% | 11/25/352 | 51,019 | 44,086 |
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
Non-Agency Mortgage-Backed (continued) |
| |||||||||
Citigroup Mortgage Loan Trust, Inc., |
| |||||||||
Series 2006-WFH2, Class M1 |
| |||||||||
(LIBOR USD 1-Month plus 0.41%) |
| |||||||||
0.51% | 08/25/362 | $ | 6,223,582 | $ | 6,247,704 | |||||
Conseco Finance Corp., |
| |||||||||
Series 1998-6, Class A8 |
| |||||||||
6.66% | 06/01/304 | 2,803 | 2,821 | |||||||
Countrywide Home Loan Mortgage Pass-Through Trust, |
| |||||||||
Series 2005-3, Class 1A2 |
| |||||||||
(LIBOR USD 1-Month plus 0.58%) |
| |||||||||
0.69% | 04/25/352 | 3,691,838 | 3,541,284 | |||||||
Countrywide Home Loan Mortgage Pass-Through Trust, |
| |||||||||
Series 2005-9, Class 1A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.60%) |
| |||||||||
0.71% | 05/25/352 | 83,927 | 72,548 | |||||||
Credit Suisse First Boston Mortgage Securities Corp., |
| |||||||||
Series 2003-AR26, Class 3A1 |
| |||||||||
2.50% | 11/25/334 | 469,720 | 473,122 | |||||||
Credit Suisse First Boston Mortgage Securities Corp., |
| |||||||||
Series 2005-11, Class 1A1 |
| |||||||||
6.50% | 12/25/35 | 629,724 | 454,307 | |||||||
Credit Suisse First Boston Mortgage-Backed Pass-Through Certificates, |
| |||||||||
Series 2004-AR5, Class 9A1 |
| |||||||||
2.04% | 06/25/344 | 46,675 | 46,578 | |||||||
Credit Suisse Mortgage Capital Trust, |
| |||||||||
Series 2006-8, Class 3A1 |
| |||||||||
6.00% | 10/25/21 | 33,921 | 24,755 | |||||||
Credit Suisse Mortgage Capital Trust, |
| |||||||||
Series 2019-RPL2, Class A1A |
| |||||||||
3.85% | 11/01/581 | 11,849,428 | 11,755,290 | |||||||
Credit Suisse Mortgage Capital Trust, |
| |||||||||
Series 2020-RPL2, Class A12 |
| |||||||||
3.46% | 02/25/601,4 | 13,398,879 | 13,412,457 | |||||||
Credit-Based Asset Servicing and Securitization LLC, |
| |||||||||
Series 2006-CB2, Class AF3 (STEP-reset date 05/25/21) |
| |||||||||
3.10% | 12/25/36 | 774,019 | 777,399 | |||||||
Credit-Based Asset Servicing and Securitization LLC, |
| |||||||||
Series 2006-CB9, Class A2 |
| |||||||||
(LIBOR USD 1-Month plus 0.11%) |
| |||||||||
0.22% | 11/25/362 | 8,560,213 | 5,126,575 | |||||||
Credit-Based Asset Servicing and Securitization LLC, |
| |||||||||
Series 2007-CB1, Class AF2 (STEP-reset date 05/25/21) |
| |||||||||
3.33% | 01/25/37 | 2,806,083 | 1,298,714 | |||||||
Credit-Based Asset Servicing and Securitization LLC, |
| |||||||||
Series 2007-CB4, Class A1A |
| |||||||||
(LIBOR USD 1-Month plus 0.09%) |
| |||||||||
0.20% | 04/25/372 | 2,438,350 | 2,359,863 | |||||||
Credit-Based Asset Servicing and Securitization LLC, |
| |||||||||
Series 2007-CB5, Class A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.06%) |
| |||||||||
0.17% | 04/25/372 | 1,584,022 | 1,154,096 | |||||||
Credit-Based Asset Servicing and Securitization LLC, |
| |||||||||
Mortgage Loan Trust, |
| |||||||||
Series 2007-CB2, Class A2B (STEP-reset date 05/25/21) |
| |||||||||
3.79% | 02/25/37 | 5,319,242 | 4,349,685 |
See accompanying Notes to Financial Statements.
213 / Annual Report March 2021 |
Table of Contents
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2021
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 A2C (STEP-reset date 05/25/21) |
| |||||||||
3.79% | 02/25/37 | $ | 1,273,116 | $ | 1,040,937 | |||||
Credit-Based Asset Servicing and Securitization LLC, |
| |||||||||
Mortgage Loan Trust, |
| |||||||||
Series 2007-CB3, Class A3 (STEP-reset date 05/25/21) |
| |||||||||
3.47% | 03/25/37 | 6,155,669 | 3,173,014 | |||||||
CSMC Mortgage-Backed Trust, |
| |||||||||
Series 2006-1, Class 1A4 |
| |||||||||
5.50% | 02/25/36 | 4,617,918 | 4,661,020 | |||||||
DSLA Mortgage Loan Trust, |
| |||||||||
Series 2004-AR4, Class 2A1A |
| |||||||||
(LIBOR USD 1-Month plus 0.72%) |
| |||||||||
0.83% | 01/19/452 | 795,502 | 703,924 | |||||||
DSLA Mortgage Loan Trust, |
| |||||||||
Series 2005-AR6, Class 2A1A |
| |||||||||
(LIBOR USD 1-Month plus 0.29%) |
| |||||||||
0.40% | 10/19/452 | 4,373,164 | 4,254,740 | |||||||
DSLA Mortgage Loan Trust, |
| |||||||||
Series 2006-AR2, Class 2A1A |
| |||||||||
(LIBOR USD 1-Month plus 0.20%) |
| |||||||||
0.31% | 10/19/362 | 6,548,356 | 5,597,512 | |||||||
DSLA Mortgage Loan Trust, |
| |||||||||
Series 2007-AR1, Class 2A1A |
| |||||||||
(LIBOR USD 1-Month plus 0.14%) |
| |||||||||
0.25% | 03/19/372 | 1,655,400 | 1,512,689 | |||||||
First Franklin Mortgage Loan Trust, |
| |||||||||
Series 2006-FF13, Class A2C |
| |||||||||
(LIBOR USD 1-Month plus 0.32%) |
| |||||||||
0.43% | 10/25/362 | 16,087,016 | 13,185,393 | |||||||
First Franklin Mortgage Loan Trust, |
| |||||||||
Series 2006-FF18, Class A2D |
| |||||||||
(LIBOR USD 1-Month plus 0.21%) |
| |||||||||
0.32% | 12/25/372 | 991,895 | 928,021 | |||||||
First Franklin Mortgage Loan Trust, |
| |||||||||
Series 2006-FF4, Class A3 |
| |||||||||
(LIBOR USD 1-Month plus 0.56%) |
| |||||||||
0.67% | 03/25/362 | 9,992,812 | 9,716,652 | |||||||
First Franklin Mortgage Loan Trust, |
| |||||||||
Series 2006-FF9, Class 2A4 |
| |||||||||
(LIBOR USD 1-Month plus 0.50%) |
| |||||||||
0.61% | 06/25/362 | 8,650,000 | 6,720,098 | |||||||
First Franklin Mortgage Loan Trust, |
| |||||||||
Series 2007-FF1, Class A2D |
| |||||||||
(LIBOR USD 1-Month plus 0.22%) |
| |||||||||
0.33% | 01/25/382 | 4,941,071 | 3,508,531 | |||||||
First Franklin Mortgage Loan Trust, |
| |||||||||
Series 2007-FF2, Class A2B |
| |||||||||
(LIBOR USD 1-Month plus 0.10%) |
| |||||||||
0.21% | 03/25/372 | 636,644 | 386,128 | |||||||
First Horizon Alternative Mortgage Securities Trust, |
| |||||||||
Series 2004-AA3, Class A1 |
| |||||||||
2.29% | 09/25/344 | 285,743 | 284,198 |
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
Non-Agency Mortgage-Backed (continued) |
| |||||||||
First Horizon Alternative Mortgage Securities Trust, |
| |||||||||
Series 2004-AA3, Class A3 |
| |||||||||
2.29% | 09/25/344 | $ | 439,384 | $ | 437,007 | |||||
First Horizon Alternative Mortgage Securities Trust, |
| |||||||||
Series 2005-AA10, Class 1A1 |
| |||||||||
2.53% | 12/25/354 | 1,110,456 | 1,060,704 | |||||||
First Horizon Alternative Mortgage Securities Trust, |
| |||||||||
Series 2005-AA12, Class 2A1 |
| |||||||||
2.38% | 02/25/364 | 1,635,230 | 1,357,275 | |||||||
First Horizon Alternative Mortgage Securities Trust, |
| |||||||||
Series 2005-AA2, Class 2A1 |
| |||||||||
2.59% | 04/25/354 | 2,123,521 | 2,262,722 | |||||||
First Horizon Alternative Mortgage Securities Trust, |
| |||||||||
Series 2005-AA3, Class 3A1 |
| |||||||||
2.25% | 05/25/354 | 1,804,875 | 1,730,425 | |||||||
First Horizon Alternative Mortgage Securities Trust, |
| |||||||||
Series 2005-AA7, Class 2A1 |
| |||||||||
2.38% | 09/25/354 | 2,344,039 | 2,298,261 | |||||||
First Horizon Alternative Mortgage Securities Trust, |
| |||||||||
Series 2005-AA8, Class 2A1 |
| |||||||||
2.34% | 10/25/354 | 2,396,244 | 1,912,609 | |||||||
First Horizon Alternative Mortgage Securities Trust, |
| |||||||||
Series 2005-AA9, Class 2A1 |
| |||||||||
2.29% | 11/25/354 | 1,582,800 | 1,445,016 | |||||||
First Horizon Alternative Mortgage Securities Trust, |
| |||||||||
Series 2006-AA1, Class 1A1 |
| |||||||||
2.36% | 03/25/364 | 1,925,208 | 1,587,460 | |||||||
First Horizon Alternative Mortgage Securities Trust, |
| |||||||||
Series 2006-AA7, Class A1 |
| |||||||||
2.53% | 01/25/374 | 2,899,694 | 2,656,963 | |||||||
First Horizon Mortgage Pass-Through Trust, |
| |||||||||
Series 2005-AR4, Class 1A1 |
| |||||||||
2.76% | 09/25/354 | 2,885,126 | 2,620,412 | |||||||
First Horizon Mortgage Pass-Through Trust, |
| |||||||||
Series 2005-AR4, Class 2A1 |
| |||||||||
2.98% | 10/25/354 | 80,061 | 80,714 | |||||||
First Horizon Mortgage Pass-Through Trust, |
| |||||||||
Series 2005-AR5, Class 2A1 |
| |||||||||
2.69% | 11/25/354 | 813,212 | 699,334 | |||||||
First Horizon Mortgage Pass-Through Trust, |
| |||||||||
Series 2007-AR2, Class 1A2 |
| |||||||||
3.48% | 08/25/374 | 85,998 | 56,011 | |||||||
GMACM Mortgage Corp. Loan Trust, |
| |||||||||
Series 2005-AR5, Class 2A1 |
| |||||||||
3.14% | 09/19/354 | 1,499,955 | 1,199,474 | |||||||
GMACM Mortgage Corp. Loan Trust, |
| |||||||||
Series 2005-AR5, Class 3A1 |
| |||||||||
3.57% | 09/19/354 | 1,547,535 | 1,499,125 | |||||||
GMACM Mortgage Corp. Loan Trust, |
| |||||||||
Series 2006-AR1, Class 1A1 |
| |||||||||
3.13% | 04/19/364 | 3,475,001 | 3,077,026 | |||||||
GreenPoint Mortgage Funding Trust, |
| |||||||||
Series 2007-AR1, Class 2A1A |
| |||||||||
(LIBOR USD 1-Month plus 0.20%) |
| |||||||||
0.31% | 03/25/472 | 12,456,147 | 11,539,358 |
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 214 |
Table of Contents
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
Non-Agency Mortgage-Backed (continued) |
| |||||||||
GSAMP Trust, |
| |||||||||
Series 2005-HE5, Class M2 |
| |||||||||
(LIBOR USD 1-Month plus 0.65%) |
| |||||||||
0.75% | 11/25/352 | $ | 1,171,228 | $ | 1,172,225 | |||||
GSAMP Trust, |
| |||||||||
Series 2007-FM2, Class A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.14%) |
| |||||||||
0.25% | 01/25/372 | 21,569,837 | 15,320,913 | |||||||
GSR Mortgage Loan Trust, |
| |||||||||
Series 2005-7F, Class 3A3 (IO) |
| |||||||||
(-1.00 X LIBOR USD 1-Month plus 5.50%, 5.50% Cap) |
| |||||||||
5.39% | 09/25/352,5,6 | 15,806 | 750 | |||||||
GSR Mortgage Loan Trust, |
| |||||||||
Series 2005-AR4, Class 5A1 |
| |||||||||
3.42% | 07/25/354 | 577,773 | 541,075 | |||||||
GSR Mortgage Loan Trust, |
| |||||||||
Series 2006-AR2, Class 2A1 |
| |||||||||
2.71% | 04/25/364 | 211,297 | 176,042 | |||||||
GSR Mortgage Loan Trust, |
| |||||||||
Series 2007-AR2, Class 5A1A |
| |||||||||
2.99% | 05/25/374 | 856,718 | 801,153 | |||||||
HarborView Mortgage Loan Trust, |
| |||||||||
Series 2005-10, Class 2A1A |
| |||||||||
(LIBOR USD 1-Month plus 0.62%) |
| |||||||||
0.73% | 11/19/352 | 2,674,470 | 2,384,517 | |||||||
HarborView Mortgage Loan Trust, |
| |||||||||
Series 2006-7, Class 1A |
| |||||||||
(LIBOR USD 1-Month plus 0.42%) |
| |||||||||
0.53% | 09/19/462 | 11,054,052 | 10,641,182 | |||||||
HarborView Mortgage Loan Trust, |
| |||||||||
Series 2007-6, Class 1A1A |
| |||||||||
(LIBOR USD 1-Month plus 0.20%) |
| |||||||||
0.31% | 08/19/372 | 13,572,418 | 12,810,399 | |||||||
Home Equity Mortgage Loan Asset-Backed Trust, |
| |||||||||
Series 2005-D, Class AII4 |
| |||||||||
(LIBOR USD 1-Month plus 0.70%) |
| |||||||||
0.81% | 03/25/362 | 4,786,294 | 4,697,921 | |||||||
HSI Asset Securitization Corp. Trust, |
| |||||||||
Series 2005-OPT1, Class M1 |
| |||||||||
(LIBOR USD 1-Month plus 0.63%) |
| |||||||||
0.74% | 11/25/352 | 3,745,296 | 3,730,738 | |||||||
HSI Asset Securitization Corp. Trust, |
| |||||||||
Series 2006-HE2, Class 1A |
| |||||||||
(LIBOR USD 1-Month plus 0.26%) |
| |||||||||
0.37% | 12/25/362 | 31,030,850 | 16,574,148 | |||||||
Impac CMB Trust, |
| |||||||||
Series 2005-2, Class 1A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.52%) |
| |||||||||
0.63% | 04/25/352 | 3,195,475 | 3,195,178 | |||||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||
Series 2005-AR14, Class 1A1A |
| |||||||||
(LIBOR USD 1-Month plus 0.56%) |
| |||||||||
0.67% | 07/25/352 | 11,061,965 | 8,981,572 | |||||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||
Series 2005-AR19, Class A1 |
| |||||||||
2.81% | 10/25/354 | 2,239,863 | 1,994,417 |
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
Non-Agency Mortgage-Backed (continued) |
| |||||||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||
Series 2006-AR27, Class 1A3 |
| |||||||||
(LIBOR USD 1-Month plus 0.27%) |
| |||||||||
0.38% | 10/25/362 | $ | 6,368,649 | $ | 3,700,318 | |||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||
Series 2006-AR4, Class A2A |
| |||||||||
(LIBOR USD 1-Month plus 0.50%) |
| |||||||||
0.61% | 05/25/462 | 10,631,427 | 10,471,904 | |||||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||
Series 2006-AR7, Class 3A1 |
| |||||||||
2.90% | 05/25/364 | 336,904 | 310,339 | |||||||
IndyMac Index Mortgage Loan Trust, |
| |||||||||
Series 2006-AR9, Class 3A3 |
| |||||||||
3.18% | 06/25/364 | 3,199,185 | 3,384,916 | |||||||
IndyMac Manufactured Housing Contract Pass-Through Certificates, |
| |||||||||
Series 1998-1, Class A4 |
| |||||||||
6.49% | 09/25/28 | 38,195 | 39,605 | |||||||
JPMorgan Mortgage Acquisition Trust, |
| |||||||||
Series 2006-ACC1, Class M1 |
| |||||||||
(LIBOR USD 1-Month plus 0.27%) |
| |||||||||
0.38% | 05/25/362 | 4,022,530 | 4,024,465 | |||||||
JPMorgan Mortgage Acquisition Trust, |
| |||||||||
Series 2006-CH1, Class M2 |
| |||||||||
(LIBOR USD 1-Month plus 0.29%) |
| |||||||||
0.40% | 07/25/362 | 12,400,000 | 12,341,833 | |||||||
JPMorgan Mortgage Acquisition Trust, |
| |||||||||
Series 2006-WMC4, Class A4 |
| |||||||||
(LIBOR USD 1-Month plus 0.15%) |
| |||||||||
0.26% | 12/25/362 | 10,539,733 | 6,825,017 | |||||||
JPMorgan Mortgage Acquisition Trust, |
| |||||||||
Series 2007-CH1, Class MV3 |
| |||||||||
(LIBOR USD 1-Month plus 0.32%) |
| |||||||||
0.43% | 11/25/362 | 14,417,000 | 14,450,347 | |||||||
JPMorgan Mortgage Trust, |
| |||||||||
Series 2005-A6, Class 7A1 |
| |||||||||
3.16% | 08/25/354 | 28,259 | 26,758 | |||||||
JPMorgan Mortgage Trust, |
| |||||||||
Series 2006-A3, Class 2A1 |
| |||||||||
3.06% | 05/25/364 | 24,714 | 22,813 | |||||||
JPMorgan Mortgage Trust, |
| |||||||||
Series 2006-S2, Class 2A2 |
| |||||||||
5.88% | 06/25/21 | 71,931 | 69,323 | |||||||
JPMorgan Mortgage Trust, |
| |||||||||
Series 2007-S1, Class 1A2 |
| |||||||||
5.50% | 03/25/22 | 21,818 | 21,711 | |||||||
Legacy Mortgage Asset Trust, |
| |||||||||
Series 2017-RPL1, Class A |
| |||||||||
(LIBOR USD 1-Month plus 1.75%) |
| |||||||||
1.87% | 01/28/701,2 | 8,639,137 | 8,571,580 | |||||||
Legacy Mortgage Asset Trust, |
| |||||||||
Series 2019-GS4, Class A1 (STEP-reset date 04/26/21) |
| |||||||||
3.44% | 05/25/591 | 12,119,427 | 12,131,963 | |||||||
Legacy Mortgage Asset Trust, |
| |||||||||
Series 2020-GS2, Class A1 (STEP-reset date 04/26/21) |
| |||||||||
2.75% | 03/25/601 | 16,073,959 | 16,167,285 |
See accompanying Notes to Financial Statements.
215 / Annual Report March 2021 |
Table of Contents
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
Non-Agency Mortgage-Backed (continued) |
| |||||||||
Lehman XS Trust, |
| |||||||||
Series 2005-4, Class 1A3 |
| |||||||||
(LIBOR USD 1-Month plus 0.80%) |
| |||||||||
0.91% | 10/25/352 | $ | 39,201 | $ | 39,289 | |||||
Lehman XS Trust, |
| |||||||||
Series 2005-5N, Class 3A1A |
| |||||||||
(LIBOR USD 1-Month plus 0.30%) |
| |||||||||
0.41% | 11/25/352 | 2,741,980 | 2,713,813 | |||||||
Lehman XS Trust, |
| |||||||||
Series 2006-GP2, Class 1A5A |
| |||||||||
(LIBOR USD 1-Month plus 0.42%) |
| |||||||||
0.53% | 06/25/462 | 5,446,741 | 5,249,207 | |||||||
Lehman XS Trust, |
| |||||||||
Series 2007-18N, Class 1A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.85%) |
| |||||||||
0.97% | 10/25/372 | 5,813,343 | 5,529,802 | |||||||
MASTR Adjustable Rate Mortgages Trust, |
| |||||||||
Series 2003-7, Class 3A1 |
| |||||||||
2.00% | 11/25/334 | 161,242 | 161,224 | |||||||
MASTR Adjustable Rate Mortgages Trust, |
| |||||||||
Series 2004-15, Class 8A1 |
| |||||||||
4.25% | 10/25/344 | 316,713 | 322,157 | |||||||
MASTR Adjustable Rate Mortgages Trust, |
| |||||||||
Series 2004-3, Class 3A3 |
| |||||||||
3.14% | 04/25/344 | 42,378 | 43,818 | |||||||
MASTR Adjustable Rate Mortgages Trust, |
| |||||||||
Series 2007-2, Class A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.15%) |
| |||||||||
0.26% | 03/25/472 | 3,898,213 | 3,731,766 | |||||||
MASTR Asset-Backed Securities Trust, |
| |||||||||
Series 2007-HE1, Class A4 |
| |||||||||
(LIBOR USD 1-Month plus 0.28%) |
| |||||||||
0.39% | 05/25/372 | 3,150,000 | 2,821,551 | |||||||
Merrill Lynch Alternative Note Asset Trust, |
| |||||||||
Series 2007-A3, Class A2D |
| |||||||||
(LIBOR USD 1-Month plus 0.33%) |
| |||||||||
0.44% | 04/25/372,5,6 | 883,581 | 82,995 | |||||||
Merrill Lynch Alternative Note Asset Trust, |
| |||||||||
Series 2007-OAR2, Class A2 |
| |||||||||
(LIBOR USD 1-Month plus 0.21%) |
| |||||||||
0.32% | 04/25/372 | 10,601,119 | 9,916,707 | |||||||
Merrill Lynch First Franklin Mortgage Loan Trust |
| |||||||||
Series 2007-4, Class 2A4 |
| |||||||||
(LIBOR USD 1-Month plus 0.25%) |
| |||||||||
0.36% | 07/25/372 | 1,079,398 | 962,439 | |||||||
Merrill Lynch First Franklin Mortgage Loan Trust, |
| |||||||||
Series 2007-1, Class A2C |
| |||||||||
(LIBOR USD 1-Month plus 0.25%) |
| |||||||||
0.36% | 04/25/372 | 20,321,811 | 11,480,690 | |||||||
Merrill Lynch Mortgage Investors Trust, |
| |||||||||
Series 2003-A6, Class 2A |
| |||||||||
2.57% | 10/25/334 | 136,054 | 137,245 |
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
Non-Agency Mortgage-Backed (continued) |
| |||||||||
Merrill Lynch Mortgage Investors Trust, |
| |||||||||
Series 2007-2, Class 1A1 |
| |||||||||
(US Treasury Yield Curve Rate T Note Constant Maturity 1 Year plus 2.40%) |
| |||||||||
2.49% | 08/25/362 | $ | 1,151,102 | $ | 1,097,882 | |||||
Mid-State Capital Corp. Trust, |
| |||||||||
Series 2004-1, Class B |
| |||||||||
8.90% | 08/15/37 | 39,142 | 44,150 | |||||||
Morgan Stanley ABS Capital I Trust, |
| |||||||||
Series 2006-NC2, Class A2D |
| |||||||||
(LIBOR USD 1-Month plus 0.58%) |
| |||||||||
0.69% | 02/25/362 | 2,013,905 | 1,999,332 | |||||||
Morgan Stanley Home Equity Loan Trust, |
| |||||||||
Series 2006-3, Class A4 |
| |||||||||
(LIBOR USD 1-Month plus 0.52%) |
| |||||||||
0.63% | 04/25/362 | 15,141,668 | 12,532,514 | |||||||
Morgan Stanley Mortgage Loan Trust, |
| |||||||||
Series 2004-7AR, Class 2A4 |
| |||||||||
2.17% | 09/25/344 | 297,143 | 295,875 | |||||||
Morgan Stanley Mortgage Loan Trust, |
| |||||||||
Series 2006-2, Class 1A |
| |||||||||
5.25% | 02/25/21 | 97,483 | 87,449 | |||||||
Morgan Stanley Resecuritization Trust, |
| |||||||||
Series 2014-R9, Class 3A |
| |||||||||
(Federal Reserve US 12-Month Cumulative Average plus 0.84%) |
| |||||||||
1.22% | 11/26/461,2 | 879,770 | 869,269 | |||||||
MortgageIT Trust, |
| |||||||||
Series 2005-2, Class 2A |
| |||||||||
(LIBOR USD 1-Month plus 1.65%) |
| |||||||||
1.77% | 05/25/352 | 1,288,182 | 1,290,675 | |||||||
New Century Home Equity Loan Trust, |
| |||||||||
Series 2005-D, Class A2D |
| |||||||||
(LIBOR USD 1-Month plus 0.33%) |
| |||||||||
0.44% | 02/25/362 | 1,530,944 | 1,457,858 | |||||||
New York Mortgage Trust, |
| |||||||||
Series 2005-3, Class A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.48%) |
| |||||||||
0.59% | 02/25/362 | 443,848 | 445,152 | |||||||
Nomura Asset Acceptance Corp., |
| |||||||||
Series 2005-AR4, Class 4A1 |
| |||||||||
3.35% | 08/25/354 | 2,722,727 | 2,640,568 | |||||||
Nomura Resecuritization Trust, |
| |||||||||
Series 2011-2RA, Class 1A2 |
| |||||||||
3.26% | 12/26/461,4 | 336,552 | 338,915 | |||||||
Nomura Resecuritization Trust, |
| |||||||||
Series 2016-2R, Class 1A1 |
| |||||||||
0.27% | 09/26/361,4 | 2,770,505 | 2,730,305 | |||||||
NRPL, |
| |||||||||
Series 2019-3A, Class A1 (STEP-reset date 05/25/21) |
| |||||||||
3.00% | 07/25/591 | 13,112,902 | 13,081,066 | |||||||
Oakwood Mortgage Investors, Inc., |
| |||||||||
Series 2000-A, Class A5 |
| |||||||||
8.16% | 09/15/294 | 10,471,857 | 4,542,503 |
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 216 |
Table of Contents
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
Non-Agency Mortgage-Backed (continued) |
| |||||||||
Opteum Mortgage Acceptance Corp. Asset-Backed Pass-Through Certificates, |
| |||||||||
Series 2005-3, Class M2 |
| |||||||||
(LIBOR USD 1-Month plus 0.72%) |
| |||||||||
0.83% | 07/25/352 | $ | 11,301,000 | $ | 11,390,612 | |||||
Option One Mortgage Loan Trust, |
| |||||||||
Series 2007-4, Class 2A2 |
| |||||||||
(LIBOR USD 1-Month plus 0.18%) |
| |||||||||
0.29% | 04/25/372 | 15,723,710 | 11,020,679 | |||||||
Option One Mortgage Loan Trust, |
| |||||||||
Series 2007-5, Class 2A2 |
| |||||||||
(LIBOR USD 1-Month plus 0.17%) |
| |||||||||
0.28% | 05/25/372 | 22,355,651 | 14,059,453 | |||||||
Ownit Mortgage Loan Trust, |
| |||||||||
Series 2006-2, Class A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.42%) |
| |||||||||
0.53% | 01/25/372 | 7,217,456 | 6,694,810 | |||||||
Popular ABS Mortgage Pass-Through Trust, |
| |||||||||
Series 2007-A, Class A3 |
| |||||||||
(LIBOR USD 1-Month plus 0.31%) |
| |||||||||
0.42% | 06/25/472 | 5,152,000 | 4,804,888 | |||||||
RAAC Trust, |
| |||||||||
Series 2005-SP1, Class 4A1 |
| |||||||||
7.00% | 09/25/34 | 82,055 | 83,411 | |||||||
Residential Accredit Loans Trust, |
| |||||||||
Series 2005-QA13, Class 2A1 |
| |||||||||
3.99% | 12/25/354 | 1,755,461 | 1,623,191 | |||||||
Residential Accredit Loans Trust, |
| |||||||||
Series 2005-QA4, Class A41 |
| |||||||||
3.46% | 04/25/354 | 25,752 | 22,305 | |||||||
Residential Accredit Loans Trust, |
| |||||||||
Series 2005-QA7, Class A21 |
| |||||||||
3.46% | 07/25/354 | 775,578 | 745,909 | |||||||
Residential Accredit Loans Trust, |
| |||||||||
Series 2005-QA8, Class CB21 |
| |||||||||
3.60% | 07/25/354 | 719,042 | 525,236 | |||||||
Residential Accredit Loans Trust, |
| |||||||||
Series 2006-QS13, Class 2A1 |
| |||||||||
5.75% | 09/25/21 | 18,066 | 18,066 | |||||||
Residential Accredit Loans Trust, |
| |||||||||
Series 2006-QS16, Class A6 |
| |||||||||
6.00% | 11/25/36 | 501,059 | 478,937 | |||||||
Residential Accredit Loans Trust, |
| |||||||||
Series 2007-QS1, Class 2AV (IO) |
| |||||||||
0.17% | 01/25/374,5,6 | 2,190,438 | 13,318 | |||||||
Residential Asset Securities Corp., |
| |||||||||
Series 2005-KS9, Class M4 |
| |||||||||
(LIBOR USD 1-Month plus 0.60%) |
| |||||||||
1.01% | 10/25/352 | 3,891,779 | 3,897,220 | |||||||
Residential Asset Securitization Trust, |
| |||||||||
Series 2006-A9CB, Class A9 |
| |||||||||
6.00% | 09/25/36 | 5,240,568 | 2,652,007 | |||||||
Residential Funding Mortgage Securities Trust, |
| |||||||||
Series 2007-SA2, Class 1A |
| |||||||||
3.49% | 04/25/374 | 270,536 | 177,710 |
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
Non-Agency Mortgage-Backed (continued) |
| |||||||||
Saxon Asset Securities Trust, |
| |||||||||
Series 2005-4, Class M1 |
| |||||||||
(LIBOR USD 1-Month plus 0.66%) |
| |||||||||
0.77% | 11/25/372 | $ | 3,194,007 | $ | 3,201,922 | |||||
Saxon Asset Securities Trust, |
| |||||||||
Series 2007-2, Class A2C |
| |||||||||
(LIBOR USD 1-Month plus 0.24%) |
| |||||||||
0.35% | 05/25/472 | 16,072,128 | 13,654,907 | |||||||
Securitized Asset-Backed Receivables LLC Trust, |
| |||||||||
Series 2006-CB1, Class AF4 (STEP-reset date 05/25/21) |
| |||||||||
3.07% | 01/25/36 | 4,254,248 | 3,951,110 | |||||||
Securitized Asset-Backed Receivables LLC Trust, |
| |||||||||
Series 2007-BR2, Class A2 |
| |||||||||
(LIBOR USD 1-Month plus 0.23%) |
| |||||||||
0.34% | 02/25/372 | 1,182,382 | 645,360 | |||||||
Securitized Asset-Backed Receivables LLC Trust, |
| |||||||||
Series 2007-BR4, Class A2B |
| |||||||||
(LIBOR USD 1-Month plus 0.20%) |
| |||||||||
0.31% | 05/25/372 | 2,370,180 | 1,688,264 | |||||||
Securitized Asset-Backed Receivables LLC Trust, |
| |||||||||
Series 2007-NC1, Class A2B |
| |||||||||
(LIBOR USD 1-Month plus 0.15%) |
| |||||||||
0.26% | 12/25/362 | 6,802,690 | 4,827,867 | |||||||
Soundview Home Loan Trust, |
| |||||||||
Series 2006-WF2, Class M1 |
| |||||||||
(LIBOR USD 1-Month plus 0.33%) |
| |||||||||
0.44% | 12/25/362 | 6,768,489 | 6,803,068 | |||||||
Soundview Home Loan Trust, |
| |||||||||
Series 2007-WMC1, Class 3A3 |
| |||||||||
(LIBOR USD 1-Month plus 0.26%) |
| |||||||||
0.37% | 02/25/372 | 1,077,172 | 416,568 | |||||||
Stanwich Mortgage Loan Co., |
| |||||||||
Series 2019-RPL1, Class A (STEP-reset date 04/16/21) |
| |||||||||
3.72% | 02/15/491 | 11,577,829 | 11,583,801 | |||||||
Structured Adjustable Rate Mortgage Loan Trust, |
| |||||||||
Series 2004-12, Class 2A |
| |||||||||
2.71% | 09/25/344 | 706,825 | 720,074 | |||||||
Structured Adjustable Rate Mortgage Loan Trust, |
| |||||||||
Series 2004-2, Class 4A2 |
| |||||||||
2.53% | 03/25/344 | 1,174,509 | 1,166,540 | |||||||
Structured Adjustable Rate Mortgage Loan Trust, |
| |||||||||
Series 2005-12, Class 3A1 |
| |||||||||
2.76% | 06/25/354 | 948,837 | 907,502 | |||||||
Structured Adjustable Rate Mortgage Loan Trust, |
| |||||||||
Series 2005-21, Class 2A |
| |||||||||
2.51% | 11/25/354 | 1,015,846 | 899,377 | |||||||
Structured Adjustable Rate Mortgage Loan Trust, |
| |||||||||
Series 2005-7, Class 1A3 |
| |||||||||
3.00% | 04/25/354 | 2,864,535 | 2,922,857 | |||||||
Structured Adjustable Rate Mortgage Loan Trust, |
| |||||||||
Series 2006-11, Class 1A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.32%) |
| |||||||||
0.43% | 12/25/362 | 1,585,477 | 1,544,677 |
See accompanying Notes to Financial Statements.
217 / Annual Report March 2021 |
Table of Contents
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
Non-Agency Mortgage-Backed (continued) |
| |||||||||
Structured Asset Investment Loan Trust, |
| |||||||||
Series 2004-6, Class A3 |
| |||||||||
(LIBOR USD 1-Month plus 0.80%) |
| |||||||||
0.91% | 07/25/342 | $ | 11,875,659 | $ | 10,986,919 | |||||
Structured Asset Mortgage Investments II Trust, |
| |||||||||
Series 2006-AR3, Class 22A1 |
| |||||||||
2.71% | 05/25/364 | 483,573 | 309,584 | |||||||
Structured Asset Mortgage Investments II Trust, |
| |||||||||
Series 2006-AR5, Class 1A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.42%) |
| |||||||||
0.53% | 05/25/362 | 337,523 | 294,141 | |||||||
Structured Asset Mortgage Investments II Trust, |
| |||||||||
Series 2006-AR7, Class A1BG |
| |||||||||
(LIBOR USD 1-Month plus 0.12%) |
| |||||||||
0.23% | 08/25/362 | 11,722,761 | 10,956,225 | |||||||
Structured Asset Mortgage Investments II Trust, |
| |||||||||
Series 2007-AR6, Class A1 |
| |||||||||
(Federal Reserve US 12-Month Cumulative Average plus 1.50%) |
| |||||||||
1.76% | 08/25/472 | 11,982,442 | 11,748,860 | |||||||
Structured Asset Securities Corp. Mortgage Loan Trust, |
| |||||||||
Series 2005-2XS, Class 2A2 |
| |||||||||
(LIBOR USD 1-Month plus 1.50%) |
| |||||||||
1.62% | 02/25/352 | 115,239 | 116,641 | |||||||
Structured Asset Securities Corp. Mortgage Loan Trust, |
| |||||||||
Series 2005-4XS, Class 2A1A |
| |||||||||
(LIBOR USD 1-Month plus 1.75%) |
| |||||||||
1.87% | 03/25/352 | 1,288,997 | 1,306,423 | |||||||
Structured Asset Securities Corp. Mortgage Pass-Through Certificates, |
| |||||||||
Series 2003-34A, Class 3A3 |
| |||||||||
2.75% | 11/25/334 | 40,604 | 41,195 | |||||||
SunTrust Adjustable Rate Mortgage Loan Trust, |
| |||||||||
Series 2007-4, Class 3A1 |
| |||||||||
3.00% | 10/25/374 | 1,484,448 | 1,374,070 | |||||||
SunTrust Adjustable Rate Mortgage Loan Trust, |
| |||||||||
Series 2007-S1, Class 2A1 |
| |||||||||
2.76% | 01/25/374 | 525,010 | 543,572 | |||||||
SunTrust Adjustable Rate Mortgage Loan Trust, |
| |||||||||
Series 2007-S1, Class 5A1 |
| |||||||||
3.02% | 01/25/374 | 202,141 | 208,752 | |||||||
WaMu Asset-Backed Certificates, |
| |||||||||
Series 2007-HE1, Class 2A2 |
| |||||||||
(LIBOR USD 1-Month plus 0.11%) |
| |||||||||
0.22% | 01/25/372 | 6,245,513 | 3,951,797 | |||||||
WaMu Asset-Backed Certificates, |
| |||||||||
Series 2007-HE2, Class 2A2 |
| |||||||||
(LIBOR USD 1-Month plus 0.22%) |
| |||||||||
0.33% | 02/25/372 | 27,929,709 | 12,198,901 | |||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||
Series 2004-AR13, Class A1A |
| |||||||||
(LIBOR USD 1-Month plus 0.72%) |
| |||||||||
0.83% | 11/25/342 | 156,378 | 155,823 | |||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||
Series 2004-AR14, Class A1 |
| |||||||||
2.85% | 01/25/354 | 507,376 | 513,037 |
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
Non-Agency Mortgage-Backed (continued) |
| |||||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||
Series 2004-AR6, Class A |
| |||||||||
(LIBOR USD 1-Month plus 0.84%) |
| |||||||||
0.95% | 05/25/442 | $ | 47,903 | $ | 48,414 | |||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||
Series 2005-AR12, Class 1A6 |
| |||||||||
2.91% | 10/25/354 | 1,144,988 | 1,141,592 | |||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||
Series 2005-AR14, Class 2A1 |
| |||||||||
3.08% | 12/25/354 | 26,580 | 26,981 | |||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||
Series 2005-AR16, Class 1A3 |
| |||||||||
2.74% | 12/25/354 | 1,316,369 | 1,330,029 | |||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||
Series 2005-AR2, Class 2A21 |
| |||||||||
(LIBOR USD 1-Month plus 0.66%) |
| |||||||||
0.77% | 01/25/452 | 684,621 | 682,820 | |||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||
Series 2005-AR9, Class A1A |
| |||||||||
(LIBOR USD 1-Month plus 0.32%) |
| |||||||||
0.75% | 07/25/452 | 610,479 | 612,108 | |||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||
Series 2006-AR3, Class A1A |
| |||||||||
(Federal Reserve US 12-Month Cumulative Average plus 1.00%) |
| |||||||||
1.26% | 02/25/462 | 4,782,064 | 4,656,634 | |||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||
Series 2006-AR4, Class 1A1A |
| |||||||||
(Federal Reserve US 12-Month Cumulative Average plus 0.94%) |
| |||||||||
1.32% | 05/25/462 | 1,900,632 | 1,902,886 | |||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||
Series 2006-AR7, Class 2A |
| |||||||||
(Federal Reserve US 12-Month Cumulative Average plus 0.98%) |
| |||||||||
1.24% | 07/25/462 | 4,838,631 | 4,560,705 | |||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||
Series 2007-HY3, Class 1A1 |
| |||||||||
2.84% | 03/25/374 | 2,024,462 | 1,840,148 | |||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||
Series 2007-OA5, Class 1A |
| |||||||||
(Federal Reserve US 12-Month Cumulative Average plus 0.75%) |
| |||||||||
1.01% | 06/25/472 | 1,629,295 | 1,555,967 | |||||||
WaMu Mortgage Pass-Through Certificates, |
| |||||||||
Series 2007-OC1, Class A1 |
| |||||||||
(LIBOR USD 1-Month plus 0.24%) |
| |||||||||
0.35% | 01/25/472 | 5,894,716 | 5,795,184 | |||||||
Wells Fargo Alternative Loan Trust, |
| |||||||||
Series 2007-PA5, Class 1A1 |
| |||||||||
6.25% | 11/25/37 | 2,070,678 | 2,026,051 | |||||||
Wells Fargo Home Equity Asset-Backed Securities Trust, |
| |||||||||
Series 2007-1, Class A3 |
| |||||||||
(LIBOR USD 1-Month plus 0.32%) |
| |||||||||
0.43% | 03/25/372 | 4,690,000 | 4,307,406 |
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 218 |
Table of Contents
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
Non-Agency Mortgage-Backed (continued) |
| |||||||||
Wells Fargo Mortgage-Backed Securities Trust, |
| |||||||||
Series 2006-AR14, Class 2A1 |
| |||||||||
2.78% | 10/25/364 | $ | 484,151 | $ | 470,952 | |||||
Wells Fargo Mortgage-Backed Securities Trust, |
| |||||||||
Series 2006-AR4, Class 1A1 |
| |||||||||
2.90% | 04/25/364 | 120,841 | 118,544 | |||||||
|
| |||||||||
859,654,138 | ||||||||||
|
| |||||||||
U.S. Agency Commercial Mortgage-Backed — 5.14% |
| |||||||||
Fannie Mae-Aces, |
| |||||||||
Series 2011-M5, Class X (IO) |
| |||||||||
1.09% | 07/25/214 | 15,045,015 | 29,442 | |||||||
Fannie Mae-Aces, |
| |||||||||
Series 2012-M4, Class X1 (IO) |
| |||||||||
0.51% | 04/25/224 | 20,162,309 | 20,682 | |||||||
Fannie Mae-Aces, |
| |||||||||
Series 2016-M11, Class X2 (IO) |
| |||||||||
2.83% | 07/25/394 | 23,114,435 | 940,449 | |||||||
Fannie Mae-Aces, |
| |||||||||
Series 2016-M2, Class X3 (IO) |
| |||||||||
2.10% | 04/25/364 | 33,609,763 | 338,586 | |||||||
Fannie Mae-Aces, |
| |||||||||
Series 2016-M4, Class X2 (IO) |
| |||||||||
2.66% | 01/25/394 | 45,704,383 | 2,455,683 | |||||||
Fannie Mae-Aces, |
| |||||||||
Series 2019-M29, Class X4 (IO) |
| |||||||||
0.70% | 03/25/294 | 117,375,779 | 4,952,366 | |||||||
Freddie Mac Multifamily PC REMIC Trust, |
| |||||||||
Series 2019-P002, Class X (IO) |
| |||||||||
1.14% | 07/25/334 | 14,520,699 | 1,599,960 | |||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, |
| |||||||||
Series K015, Class X3 (IO) |
| |||||||||
2.82% | 08/25/394 | 32,027,257 | 267,375 | |||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, |
| |||||||||
Series K021, Class X3 (IO) |
| |||||||||
1.97% | 07/25/404 | 26,660,903 | 629,385 | |||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, |
| |||||||||
Series K022, Class X3 (IO) |
| |||||||||
1.81% | 08/25/404 | 37,280,187 | 859,920 | |||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, |
| |||||||||
Series K031, Class X1 (IO) |
| |||||||||
0.20% | 04/25/234 | 366,511,204 | 1,469,307 | |||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, |
| |||||||||
Series K043, Class X3 (IO) |
| |||||||||
1.63% | 02/25/434 | 58,000,000 | 3,237,798 | |||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, |
| |||||||||
Series K051, Class X3 (IO) |
| |||||||||
1.61% | 10/25/434 | 44,865,280 | 2,924,750 |
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
U.S. Agency Commercial Mortgage-Backed (continued) |
| |||||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, |
| |||||||||
Series K054, Class X1 (IO) |
| |||||||||
1.17% | 01/25/264 | $ | 53,987,613 | $ | 2,665,344 | |||||
Freddie Mac Multifamily Structured Pass-Through Certificates, |
| |||||||||
Series K055, Class X3 (IO) |
| |||||||||
1.64% | 04/25/444 | 32,000,000 | 2,368,387 | |||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, |
| |||||||||
Series K056, Class X1 (IO) |
| |||||||||
1.26% | 05/25/264 | 60,186,811 | 3,292,872 | |||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, |
| |||||||||
Series K057, Class X1 (IO) |
| |||||||||
1.18% | 07/25/264 | 123,625,606 | 6,604,624 | |||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, |
| |||||||||
Series K719, Class X1 (IO) |
| |||||||||
0.70% | 06/25/224 | 28,915,238 | 89,263 | |||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, |
| |||||||||
Series K726, Class X1 (IO) |
| |||||||||
0.88% | 04/25/244 | 133,535,224 | 2,820,484 | |||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, |
| |||||||||
Series KC01, Class X1 (IO) |
| |||||||||
0.47% | 12/25/224 | 35,415,254 | 217,294 | |||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, |
| |||||||||
Series KC05, Class X1 (IO) |
| |||||||||
1.20% | 06/25/274 | 88,922,395 | 4,793,842 | |||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, |
| |||||||||
Series KC07, Class X1 (IO) |
| |||||||||
0.73% | 09/25/264 | 84,976,986 | 2,481,319 | |||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, |
| |||||||||
Series KF31, Class A |
| |||||||||
(LIBOR USD 1-Month plus 0.37%) |
| |||||||||
0.49% | 04/25/242 | 2,393,507 | 2,397,690 | |||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, |
| |||||||||
Series KF51, Class A |
| |||||||||
(LIBOR USD 1-Month plus 0.40%) |
| |||||||||
0.52% | 08/25/252 | 5,082,505 | 5,111,179 | |||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, |
| |||||||||
Series KF75, Class AL |
| |||||||||
(LIBOR USD 1-Month plus 0.51%) |
| |||||||||
0.63% | 12/25/292 | 6,967,446 | 7,026,205 | |||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, |
| |||||||||
Series KF80, Class AL |
| |||||||||
(LIBOR USD 1-Month plus 0.44%) |
| |||||||||
0.56% | 06/25/302 | 4,975,000 | 5,026,210 |
See accompanying Notes to Financial Statements.
219 / Annual Report March 2021 |
Table of Contents
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
U.S. Agency Commercial Mortgage-Backed (continued) |
| |||||||||
Freddie Mac Multifamily Structured Pass-Through |
| |||||||||
Certificates, |
| |||||||||
Series KF84, Class AL |
| |||||||||
(LIBOR USD 1-Month plus 0.30%) |
| |||||||||
0.42% | 07/25/302 | $ | 15,750,825 | $ | 15,792,719 | |||||
Freddie Mac Multifamily Structured Pass-Through Certificates, |
| |||||||||
Series KF85, Class AL |
| |||||||||
(LIBOR USD 1-Month plus 0.30%) |
| |||||||||
0.41% | 08/25/302 | 12,000,000 | 12,032,818 | |||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, |
| |||||||||
Series KF86, Class AL |
| |||||||||
(LIBOR USD 1-Month plus 0.29%) |
| |||||||||
0.40% | 08/25/272 | 12,355,612 | 12,418,565 | |||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, |
| |||||||||
Series KF87, Class AL |
| |||||||||
(LIBOR USD 1-Month plus 0.35%) |
| |||||||||
0.46% | 08/25/302 | 14,000,000 | 14,074,208 | |||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, |
| |||||||||
Series KF88, Class AL |
| |||||||||
(LIBOR USD 1-Month plus 0.33%) |
| |||||||||
0.45% | 09/25/302 | 24,823,000 | 24,932,102 | |||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, |
| |||||||||
Series KIR1, Class X (IO) |
| |||||||||
1.06% | 03/25/264 | 117,672,513 | 5,198,295 | |||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, |
| |||||||||
Series KL05, Class X1HG (IO) |
| |||||||||
1.22% | 12/25/274 | 49,531,000 | 3,148,098 | |||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, |
| |||||||||
Series KS05, Class X (IO) |
| |||||||||
0.76% | 01/25/234 | 155,481,128 | 2,134,600 | |||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, |
| |||||||||
Series KS06, Class X (IO) |
| |||||||||
1.06% | 08/25/264 | 67,494,490 | 2,765,654 | |||||||
Freddie Mac Multifamily Structured Pass-Through Certificates, |
| |||||||||
Series KS07, Class X (IO) |
| |||||||||
0.65% | 09/25/254 | 103,641,150 | 2,865,146 | |||||||
Ginnie Mae, |
| |||||||||
Series 2011-152, Class IO (IO) |
| |||||||||
0.11% | 08/16/514 | 9,322,117 | 15,098 | |||||||
Ginnie Mae, |
| |||||||||
Series 2012-112, Class IO (IO) |
| |||||||||
0.17% | 02/16/534 | 41,234,812 | 335,726 | |||||||
Ginnie Mae, |
| |||||||||
Series 2012-78, Class IO (IO) |
| |||||||||
0.33% | 06/16/524 | 63,525,261 | 459,065 |
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
U.S. Agency Commercial Mortgage-Backed (continued) |
| |||||||||
Ginnie Mae, |
| |||||||||
Series 2014-103, Class IO (IO) |
| |||||||||
0.18% | 05/16/554 | $ | 23,108,029 | $ | 280,603 | |||||
Ginnie Mae, |
| |||||||||
Series 2014-125, Class IO (IO) |
| |||||||||
0.82% | 11/16/544 | 13,774,273 | 531,273 | |||||||
Grace Trust, |
| |||||||||
Series 2020-GRCE, Class A |
| |||||||||
2.35% | 12/10/401 | 8,000,000 | 7,910,949 | |||||||
GS Mortgage Securities Corp. II, |
| |||||||||
Series 2005-ROCK, Class A |
| |||||||||
5.37% | 05/03/321 | 5,440,000 | 6,292,332 | |||||||
SFAVE Commercial Mortgage Securities Trust, |
| |||||||||
Series 2015-5AVE, Class C |
| |||||||||
4.39% | 01/05/431,4 | 10,000,000 | 8,811,163 | |||||||
|
| |||||||||
184,618,830 | ||||||||||
|
| |||||||||
U.S. Agency Mortgage-Backed — 14.04% |
| |||||||||
Fannie Mae REMICS, |
| |||||||||
Series 2006-11, Class PS |
| |||||||||
(-3.67 X LIBOR USD 1-Month plus 24.57%, 24.57% Cap) |
| |||||||||
24.17% | 03/25/362 | 16,156 | 25,148 | |||||||
Fannie Mae REMICS, |
| |||||||||
Series 2006-8, Class HJ (IO) |
| |||||||||
(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap) |
| |||||||||
6.49% | 03/25/362 | 814,507 | 152,775 | |||||||
Fannie Mae REMICS, |
| |||||||||
Series 2007-52, Class LS (IO) |
| |||||||||
(-1.00 X LIBOR USD 1-Month plus 6.05%, 6.05% Cap) |
| |||||||||
5.94% | 06/25/372 | 35,950 | 4,190 | |||||||
Fannie Mae REMICS, |
| |||||||||
Series 2007-77, Class SK (IO) |
| |||||||||
(-1.00 X LIBOR USD 1-Month plus 5.87%, 5.87% Cap) |
| |||||||||
5.76% | 08/25/372 | 73,284 | 12,757 | |||||||
Fannie Mae REMICS, |
| |||||||||
Series 2007-88, Class JI (IO) |
| |||||||||
(-1.00 X LIBOR USD 1-Month plus 6.45%, 6.45% Cap) |
| |||||||||
6.34% | 04/25/372 | 861,452 | 166,682 | |||||||
Fannie Mae REMICS, |
| |||||||||
Series 2008-18, Class SM (IO) |
| |||||||||
(-1.00 X LIBOR USD 1-Month plus 7.00%, 7.00% Cap) |
| |||||||||
6.89% | 03/25/382 | 43,925 | 7,105 | |||||||
Fannie Mae REMICS, |
| |||||||||
Series 2008-62, Class SN (IO) |
| |||||||||
(-1.00 X LIBOR USD 1-Month plus 6.20%, 6.20% Cap) |
| |||||||||
6.09% | 07/25/382 | 118,831 | 18,007 | |||||||
Fannie Mae REMICS, |
| |||||||||
Series 2010-116, Class SE (IO) |
| |||||||||
(-1.00 X LIBOR USD 1-Month plus 6.60%, 6.60% Cap) |
| |||||||||
6.49% | 10/25/402 | 45,785 | 6,938 | |||||||
Fannie Mae REMICS, |
| |||||||||
Series 2012-56, Class FK |
| |||||||||
(LIBOR USD 1-Month plus 0.45%) |
| |||||||||
0.56% | 06/25/422 | 3,517,897 | 3,545,568 |
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 220 |
Table of Contents
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
U.S. Agency Mortgage-Backed (continued) |
| |||||||||
Fannie Mae REMICS, |
| |||||||||
Series 2013-5, Class GF |
| |||||||||
(LIBOR USD 1-Month plus 1.10%) |
| |||||||||
1.21% | 10/25/422 | $ | 205,517 | $ | 207,260 | |||||
Fannie Mae REMICS, |
| |||||||||
Series 2014-49, Class CF |
| |||||||||
(LIBOR USD 1-Month plus 1.00%) |
| |||||||||
1.12% | 07/25/432 | 10,288,761 | 10,247,993 | |||||||
Fannie Mae REMICS, |
| |||||||||
Series 2019-33, Class FN |
| |||||||||
(LIBOR USD 1-Month plus 0.40%) |
| |||||||||
0.51% | 07/25/492 | 6,165,405 | 6,213,648 | |||||||
Freddie Mac REMICS, |
| |||||||||
Series 2711, Class FA |
| |||||||||
(LIBOR USD 1-Month plus 1.00%) |
| |||||||||
1.11% | 11/15/332 | 58,053 | 59,643 | |||||||
Freddie Mac REMICS, |
| |||||||||
Series 2733, Class FB |
| |||||||||
(LIBOR USD 1-Month plus 0.60%) |
| |||||||||
0.71% | 10/15/332 | 210,351 | 213,590 | |||||||
Freddie Mac REMICS, |
| |||||||||
Series 3339, Class JS |
| |||||||||
(-6.50 X LIBOR USD 1-Month plus 42.84%, 42.84% Cap) |
| |||||||||
42.15% | 07/15/372 | 12,404 | 25,863 | |||||||
Freddie Mac REMICS, |
| |||||||||
Series 3404, Class AS (IO) |
| |||||||||
(-1.00 X LIBOR USD 1-Month plus 5.90%, 5.89% Cap) |
| |||||||||
5.79% | 01/15/382 | 54,821 | 11,369 | |||||||
Freddie Mac REMICS, |
| |||||||||
Series 3439, Class SC (IO) |
| |||||||||
(-1.00 X LIBOR USD 1-Month plus 5.90%, 5.90% Cap) |
| |||||||||
5.79% | 04/15/382 | 40,368 | 6,193 | |||||||
Freddie Mac REMICS, |
| |||||||||
Series 3885, Class PO (PO) |
| |||||||||
0.00% | 11/15/339 | 16,406 | 15,120 | |||||||
Freddie Mac REMICS, |
| |||||||||
Series 4030, Class HS (IO) |
| |||||||||
(-1.00 X LIBOR USD 1-Month plus 6.61%, 6.61% Cap) |
| |||||||||
6.50% | 04/15/422 | 112,521 | 21,952 | |||||||
Freddie Mac REMICS, |
| |||||||||
Series 4638, Class UF |
| |||||||||
(LIBOR USD 1-Month plus 1.00%) |
| |||||||||
1.12% | 09/15/442 | 1,108,188 | 1,119,620 | |||||||
Freddie Mac REMICS, |
| |||||||||
Series 4919, Class FP |
| |||||||||
(LIBOR USD 1-Month plus 0.45%) |
| |||||||||
0.56% | 09/25/492 | 6,396,287 | 6,439,820 | |||||||
Freddie Mac REMICS, |
| |||||||||
Series 4993, Class OP (PO) |
| |||||||||
0.00% | 10/25/589 | 4,985,753 | 4,678,066 | |||||||
Ginnie Mae, |
| |||||||||
Series 2011-146, Class EI (IO) |
| |||||||||
5.00% | 11/16/41 | 89,689 | 16,819 | |||||||
Ginnie Mae, |
| |||||||||
Series 2011-69, Class GI (IO) |
| |||||||||
5.00% | 05/16/40 | 14,604 | 68 |
Issues | Maturity Date | Principal Amount | Value | |||||||
MORTGAGE-BACKED (continued) |
| |||||||||
U.S. Agency Mortgage-Backed (continued) |
| |||||||||
Ginnie Mae, |
| |||||||||
Series 2011-70, Class IL (IO) |
| |||||||||
(-1.00 X LIBOR USD 1-Month plus 7.10%, 0.60% Cap) |
| |||||||||
0.60% | 06/16/372 | $ | 555,207 | $ | 6,520 | |||||
Ginnie Mae, |
| |||||||||
Series 2011-81, Class IC (IO) |
| |||||||||
(-1.00 X LIBOR USD 1-Month plus 6.72%, 0.62% Cap) |
| |||||||||
0.62% | 07/20/352 | 684,005 | 10,703 | |||||||
Ginnie Mae, |
| |||||||||
Series 2013-135, Class CS (IO) |
| |||||||||
(-1.00 X LIBOR USD 1-Month plus 6.20%, 6.20% Cap) |
| |||||||||
6.09% | 09/16/432 | 2,068,294 | 397,279 | |||||||
Ginnie Mae, |
| |||||||||
Series 2017-136, Class IO (IO) |
| |||||||||
5.00% | 09/20/47 | 532,807 | 85,599 | |||||||
Ginnie Mae, |
| |||||||||
Series 2019-86, Class FE |
| |||||||||
(LIBOR USD 1-Month plus 0.40%) |
| |||||||||
0.51% | 07/20/492 | 6,652,358 | 6,671,945 | |||||||
Ginnie Mae, |
| |||||||||
Series 2020-133, Class FA |
| |||||||||
0.51% | 02/20/494 | 4,363,626 | 4,307,323 | |||||||
UMBS (TBA) |
| |||||||||
2.00% | 05/01/51 | 338,850,000 | 337,619,026 | |||||||
2.50% | 05/01/51 | 119,375,000 | 122,247,455 | |||||||
|
| |||||||||
504,562,044 | ||||||||||
|
| |||||||||
Total Mortgage-Backed (Cost $1,835,449,686) |
| 1,769,169,378 | ||||||||
|
| |||||||||
MUNICIPAL BONDS — 0.64%* |
| |||||||||
California — 0.15% |
| |||||||||
Los Angeles Department of Water & Power Power System |
| |||||||||
Revenue Bonds, Water Utility Improvements, Series SY |
| |||||||||
6.01% | 07/01/39 | 1,950,000 | 2,526,359 | |||||||
Los Angeles Unified School District General Obligation |
| |||||||||
Bonds, School Improvements, Series C |
| |||||||||
4.00% | 07/01/35 | 890,000 | 1,076,647 | |||||||
Regents of the University of California Medical Center |
| |||||||||
Pooled Revenue Bonds, Health, Hospital and Nursing Home |
| |||||||||
Improvements, Series N |
| |||||||||
3.26% | 05/15/60 | 1,790,000 | 1,792,425 | |||||||
|
| |||||||||
5,395,431 | ||||||||||
|
| |||||||||
Colorado — 0.10% |
| |||||||||
City & County of Denver Airport System Revenue Bonds, |
| |||||||||
Series C |
| |||||||||
2.14% | 11/15/29 | 890,000 | 889,369 | |||||||
2.24% | 11/15/30 | 2,625,000 | 2,568,977 | |||||||
|
| |||||||||
3,458,346 | ||||||||||
|
| |||||||||
Florida — 0.13% |
| |||||||||
County of Miami-Dade Aviation Revenue Bonds, Airport and |
| |||||||||
Marina Improvements, Series B |
| |||||||||
2.81% | 10/01/34 | 1,000,000 | 998,155 | |||||||
2.86% | 10/01/35 | 1,750,000 | 1,742,461 |
See accompanying Notes to Financial Statements.
221 / Annual Report March 2021 |
Table of Contents
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Issues | Maturity Date | Principal Amount | Value | |||||||||
MUNICIPAL BONDS (continued) |
| |||||||||||
Florida (continued) |
| |||||||||||
County of Miami-Dade Aviation Revenue Bonds, Airport and |
| |||||||||||
Marina Improvements, Series D |
| |||||||||||
3.35% | 10/01/29 | $ | 2,000,000 | $ | 2,123,537 | |||||||
|
| |||||||||||
4,864,153 | ||||||||||||
|
| |||||||||||
New York — 0.26% |
| |||||||||||
Metropolitan Transportation Authority Revenue Bonds, |
| |||||||||||
Transit Improvements, Series C2 |
| |||||||||||
5.18% | 11/15/49 | 975,000 | 1,211,823 | |||||||||
New York City Transitional Finance Authority Future Tax |
| |||||||||||
Secured Revenue Bonds, Public Improvements, Subseries FI |
| |||||||||||
3.95% | 08/01/32 | 1,000,000 | 1,102,971 | |||||||||
New York State Dormitory Authority Revenue Bonds, |
| |||||||||||
University & College Improvements |
| |||||||||||
5.29% | 03/15/33 | 3,100,000 | 3,719,304 | |||||||||
New York State Urban Development Corp. Revenue Bonds, |
| |||||||||||
Economic Improvements, Series E |
| |||||||||||
4.00% | 03/15/43 | 2,905,000 | 3,318,875 | |||||||||
|
| |||||||||||
9,352,973 | ||||||||||||
|
| |||||||||||
Total Municipal Bonds (Cost $22,646,022) |
| 23,070,903 | ||||||||||
|
| |||||||||||
U.S. TREASURY SECURITIES — 0.96% |
| |||||||||||
U.S. Treasury Notes — 0.96% |
| |||||||||||
U.S. Treasury Floating Rate Notes |
| |||||||||||
(US Treasury Bill Yield 3-Month plus 0.06%) |
| |||||||||||
0.08% | 10/31/222 | 34,570,000 | 34,593,874 | |||||||||
|
| |||||||||||
Total U.S. Treasury Securities (Cost $34,572,765) |
| |||||||||||
Total Bonds — 95.45% (Cost $3,467,500,695) |
| 3,430,191,442 | ||||||||||
|
| |||||||||||
Issues | Shares | Value | ||||||||||
COMMON STOCK — 0.27% |
| |||||||||||
Electric — 0.00% |
| |||||||||||
Homer City Holdings LLC†,5,6,7 |
| 112,222 | — | |||||||||
|
| |||||||||||
Real Estate Investment Trust (REIT) — 0.27% |
| |||||||||||
AGNC Investment Corp. |
| 582,000 | 9,754,320 | |||||||||
|
| |||||||||||
Total Common Stock (Cost $13,797,770) |
| 9,754,320 | ||||||||||
|
| |||||||||||
Issues | Maturity Date | Principal Amount/Shares | Value | |||||||||
SHORT-TERM INVESTMENTS — 15.36% |
| |||||||||||
Foreign Government Obligations — 0.91% |
| |||||||||||
Japan Treasury Discount Bill, |
| |||||||||||
Series 962 |
| |||||||||||
(Japan) |
| |||||||||||
0.00%10 | 04/05/213 | 3,605,000,000 | 32,631,367 | |||||||||
|
|
Issues | Maturity Date | Principal Amount/Shares | Value | |||||||||
SHORT-TERM INVESTMENTS (continued) |
| |||||||||||
Money Market Funds — 3.87% |
| |||||||||||
Dreyfus Government Cash Management Fund |
| |||||||||||
0.03%11 | 26,485,000 | $ | 26,485,000 | |||||||||
Fidelity Investments Money Market Funds - Government Portfolio |
| |||||||||||
0.01%11,12 | 17,175 | 17,175 | ||||||||||
JPMorgan U.S. Government Money Market Fund |
| |||||||||||
0.03%11 | 54,805,000 | 54,805,000 | ||||||||||
Morgan Stanley Institutional Liquidity Funds - Government Portfolio |
| |||||||||||
0.03%11 | 57,910,000 | 57,910,000 | ||||||||||
|
| |||||||||||
139,217,175 | ||||||||||||
|
| |||||||||||
U.S. Treasury Bills — 10.58% |
| |||||||||||
U.S. Treasury Bills |
| |||||||||||
0.05%10 | 08/05/21 | $ | 50,000,000 | 49,997,929 | ||||||||
0.05%10 | 08/12/21 | 200,000,000 | 199,988,920 | |||||||||
0.04%10 | 08/19/21 | 130,000,000 | 129,989,892 | |||||||||
|
| |||||||||||
379,976,741 | ||||||||||||
|
| |||||||||||
Total Short-Term Investments (Cost $553,835,046) |
| 551,825,283 | ||||||||||
|
| |||||||||||
Total Investments - 111.08% (Cost $4,035,133,511) |
| 3,991,771,045 | ||||||||||
|
| |||||||||||
Liabilities in Excess of Other Assets - (11.08)% |
| (398,243,427 | ) | |||||||||
|
| |||||||||||
Net Assets - 100.00% |
| $ | 3,593,527,618 | |||||||||
|
|
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 March 31, 2021. |
3 | Foreign denominated security issued by foreign domiciled entity. |
4 | 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. |
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 $14,192,578, which is 0.40% of total net assets. |
7 | Non-income producing security. |
8 | Security is currently in default with regard to scheduled interest or principal payments. |
9 | Zero coupon bond. The rate shown is the effective yield as of March 31, 2021. |
10 | Represents annualized yield at date of purchase. |
11 | Represents the current yield as of March 31, 2021. |
12 | Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $6. |
† | Fair valued security. The aggregate value of fair valued securities is $0, which is 0.00% of total net assets. Fair valued securities were not valued utilizing an independent quote but are valued pursuant to guidelines established by the Board of Trustees. 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. |
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 222 |
Table of Contents
Unconstrained Bond Fund
Schedule of Portfolio Investments
March 31, 2021
Note: For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for more meaningful presentation for investors.
(CLO): Collateralized Loan Obligation
(EMTN): Euro Medium-Term Note
(EUR): Euro
(EURIBOR): Euro InterBank Offer Rate
(GBP): British Pound
(IO): Interest Only
(JPY): Japanese Yen
(LIBOR): London InterBank Offer Rate
(MTN): Medium-Term Note
(PO): Principal Only
(STEP): Step Coupon Bond
(TBA): To-Be-Announced
(USD): U.S. Dollar
Currency to be Purchased | Currency to be Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||
FOREIGN CURRENCY EXCHANGE CONTRACT |
| |||||||||
USD 34,744,644 | JPY 3,605,000,000 | Goldman Sachs International | 04/05/21 | $ | 2,118,438 | |||||
USD 1,977,536 | GBP 1,425,000 | Goldman Sachs International | 04/23/21 | 11,311 | ||||||
USD 1,493,066 | EUR 1,250,000 | Goldman Sachs International | 04/23/21 | 23,241 | ||||||
|
| |||||||||
2,152,990 | ||||||||||
|
| |||||||||
EUR 160,000 | USD 188,970 | Goldman Sachs International | 04/23/21 | (833) | ||||||
|
| |||||||||
NET UNREALIZED APPRECIATION | $ | 2,152,157 | ||||||||
|
|
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||
FUTURES CONTRACTS: LONG POSITIONS |
| |||||||||||||||||||
U.S. Treasury Five Year Note | 1,701 | 06/30/21 | $ | 209,900,743 | $ | (2,221,792) | $ | (2,221,792) | ||||||||||||
FUTURES CONTRACTS: SHORT POSITIONS |
| |||||||||||||||||||
U.S. Treasury Ten Year Ultra Bond | 1,355 | 06/21/21 | (194,696,563) | 6,214,215 | 6,214,215 | |||||||||||||||
U.S. Treasury Ultra Bond | 693 | 06/21/21 | (125,584,594) | 6,084,602 | 6,084,602 | |||||||||||||||
|
|
|
|
|
| |||||||||||||||
(320,281,157) | 12,298,817 | 12,298,817 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||
TOTAL FUTURES CONTRACTS |
| $ | (110,380,414) | $ | 10,077,025 | $ | 10,077,025 | |||||||||||||
|
|
|
|
|
|
Reference Obligation/Index | Financing Rate Paid by the Fund | Payment Frequency | Counterparty | Expiration Date | Notional Amount1 | Value | Premiums Paid | Unrealized Appreciation | ||||||||||||||||
SWAPS: CREDIT DEFAULT (SALES) - SINGLE ISSUES OTC |
| |||||||||||||||||||||||
Berry Global, Inc., 5.63%, due 07/15/27 | 5.00% | 3 Months | Credit Suisse First Boston International | 12/20/21 | $ | 10,370,000 | $ | 249,098 | $ | 223,929 | $ | 25,169 | ||||||||||||
|
|
|
|
|
|
1 | 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 Financial Statements.
223 / Annual Report March 2021 |
Table of Contents
Metropolitan West Funds
Statements of Assets and Liabilities
March 31, 2021
ASSETS: | ALPHATRAK 500 FUND | CORPORATE BOND | |||||||||||||
Investments, at value - Unaffiliated (Cost $32,620,811, $12,992,837, $219,529,520, $453,545,994, $747,262,971 and $847,950,346, respectively) (Note 2) | $ | 33,036,885 | $ | 12,796,001 | |||||||||||
Investments, at value - Affiliated (Cost $0, $0, $0, $0, $27,171,821 and $0, respectively) (Note 5) | — | — | |||||||||||||
Cash and cash equivalents (Note 2) | 1,764,732 | 80,298 | |||||||||||||
Cash on deposit with brokers for collateral on swaps (Note 2) | — | — | |||||||||||||
Cash on deposit with brokers for collateral on futures (Note 2) | 2,708,000 | 42,000 | |||||||||||||
Receivable for securities sold | 1,052,342 | 37,350 | |||||||||||||
Receivable for daily variation margin on futures contracts (Note 3) | 171,985 | 2,062 | |||||||||||||
Dividends and interest receivable | 135,794 | 108,906 | |||||||||||||
Receivable for capital stock sold | 78,886 | 41,500 | |||||||||||||
Unrealized appreciation on foreign currency exchange contracts | 20,568 | — | |||||||||||||
Due from Adviser (Note 6) | 10,831 | 27,701 | |||||||||||||
Unrealized appreciation on foreign currency transactions | — | — | |||||||||||||
Premiums paid for swap contracts | — | — | |||||||||||||
Unrealized appreciation on swap contracts | — | — | |||||||||||||
Other assets | 15,939 | 27,206 | |||||||||||||
|
|
|
| ||||||||||||
Total assets | 38,995,962 | 13,163,024 | |||||||||||||
|
|
|
| ||||||||||||
Liabilities: | |||||||||||||||
Payable for securities purchased | 2,113,815 | 136,806 | |||||||||||||
Payable for capital stock redeemed | 14,599 | 45,195 | |||||||||||||
Distributions payable | 327 | 236 | |||||||||||||
Payable for daily variation margin on futures contracts (Note 3) | — | 984 | |||||||||||||
Net unrealized depreciation on unfunded commitments (Note 8) | — | — | |||||||||||||
Advisory fees payable (Note 6) | 14,996 | 4,280 | |||||||||||||
Accrued trustees fees and expenses | 11 | 1 | |||||||||||||
Accrued distribution (12b-1) and service fees payable | — | 1,807 | |||||||||||||
Administrative fees payable | 36,776 | 32,048 | |||||||||||||
Accrued other expenses | 45,643 | 21,176 | |||||||||||||
|
|
|
| ||||||||||||
Total liabilities | 2,226,167 | 242,533 | |||||||||||||
|
|
|
| ||||||||||||
Net assets | $ | 36,769,795 | $ | 12,920,491 | |||||||||||
|
|
|
| ||||||||||||
Class M Shares: | |||||||||||||||
Net assets (Applicable to 2,773,846, 768,830, 2,147,224, 1,387,808, 18,755,387 and 3,395,400, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value) | $ | 36,769,795 | $ | 8,190,105 | |||||||||||
|
|
|
| ||||||||||||
Net asset value, offering and redemption price per Class M share | $ | 13.26 | $ | 10.65 | |||||||||||
|
|
|
| ||||||||||||
Class I Shares: | |||||||||||||||
Net assets (Applicable to 0, 444,057, 16,108,761, 41,999,130, 54,120,573 and 71,377,801, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value) | N/A | $ | 4,730,386 | ||||||||||||
|
|
|
| ||||||||||||
Net asset value, offering and redemption price per Class I share | N/A | $ | 10.65 | ||||||||||||
|
|
|
| ||||||||||||
Plan Class Shares: | |||||||||||||||
Net assets (Applicable to 0, 0, 0, 10, 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: | |||||||||||||||
Paid-in Capital (Note 9) | $ | 30,064,456 | $ | 13,066,540 | |||||||||||
Accumulated Earnings (Loss) | 6,705,339 | (146,049 | ) | ||||||||||||
|
|
|
| ||||||||||||
Net assets | $ | 36,769,795 | $ | 12,920,491 | |||||||||||
|
|
|
|
1 | The net asset values of the Plan Class Shares of the Floating Rate Income Fund were calculated using unrounded net assets of $100.29 divided by the unrounded shares outstanding of 10.08. |
See accompanying Notes to Financial Statements. |
224 / Annual Report March 2021 |
Table of Contents
Metropolitan West Funds
Statements of Assets and Liabilities
March 31, 2021
| FLEXIBLE INCOME FUND |
| FLOATING RATE INCOME FUND |
| HIGH YIELD BOND FUND |
| INTERMEDIATE BOND FUND |
| |||||||||||||||||||||||||||||||||||
$ | 216,560,037 | $ | 455,453,512 | $ | 760,342,291 | $ | 854,779,752 | ||||||||||||||||||||||||||||||||||||
— | — | — | — | ||||||||||||||||||||||||||||||||||||||||
595,133 | 19,446,640 | 16,138,179 | 14,974,647 | ||||||||||||||||||||||||||||||||||||||||
— | — | — | 34 | ||||||||||||||||||||||||||||||||||||||||
309,000 | — | 2,780,000 | 1,159,000 | ||||||||||||||||||||||||||||||||||||||||
28,346,360 | 6,658,377 | 9,684,995 | 74,060,112 | ||||||||||||||||||||||||||||||||||||||||
53,371 | — | 29,313 | 28,063 | ||||||||||||||||||||||||||||||||||||||||
1,454,609 | 655,429 | 6,116,064 | 2,420,791 | ||||||||||||||||||||||||||||||||||||||||
122,609 | 88,389 | 986,100 | 1,093,900 | ||||||||||||||||||||||||||||||||||||||||
13,304 | 417,224 | — | — | ||||||||||||||||||||||||||||||||||||||||
62,983 | 7,289 | 53,689 | — | ||||||||||||||||||||||||||||||||||||||||
4,005 | 26,829 | 40,794 | — | ||||||||||||||||||||||||||||||||||||||||
— | — | 86,268 | 24,941 | ||||||||||||||||||||||||||||||||||||||||
— | — | 9,696 | 2,803 | ||||||||||||||||||||||||||||||||||||||||
35,089 | 14,642 | 32,282 | 29,230 | ||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||||||||||||
247,556,500 | 482,768,331 | 796,299,671 | 948,573,273 | ||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||||||||||||
66,450,909 | 50,366,841 | 23,329,099 | 145,223,143 | ||||||||||||||||||||||||||||||||||||||||
905,840 | 245,495 | 1,822,981 | 362,764 | ||||||||||||||||||||||||||||||||||||||||
5,985 | 120,976 | 159,337 | 736 | ||||||||||||||||||||||||||||||||||||||||
27,070 | — | 28,771 | 20,062 | ||||||||||||||||||||||||||||||||||||||||
762 | 4,477 | — | — | ||||||||||||||||||||||||||||||||||||||||
65,956 | 195,388 | 324,296 | 235,726 | ||||||||||||||||||||||||||||||||||||||||
2 | 84 | 146 | 254 | ||||||||||||||||||||||||||||||||||||||||
4,514 | 2,921 | 42,452 | 6,517 | ||||||||||||||||||||||||||||||||||||||||
52,662 | 49,044 | 43,877 | 59,636 | ||||||||||||||||||||||||||||||||||||||||
34,795 | 41,182 | 129,569 | 149,623 | ||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||||||||||||
67,548,495 | 51,026,408 | 25,880,528 | 146,058,461 | ||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||||||||||||
$ | 180,008,005 | $ | 431,741,923 | $ | 770,419,143 | $ | 802,514,812 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||||||||||||
$ | 21,173,642 | $ | 13,814,719 | $ | 198,337,126 | $ | 36,452,027 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||||||||||||
$ | 9.86 | $ | 9.95 | $ | 10.57 | $ | 10.74 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||||||||||||
$ | 158,834,363 | $ | 417,927,104 | $ | 572,082,017 | $ | 766,062,785 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||||||||||||
$ | 9.86 | $ | 9.95 | $ | 10.57 | $ | 10.73 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||||||||||||
N/A | $ | 100 | N/A | N/A | |||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||||||||||||
N/A | $ | 9.95 | 1 | N/A | N/A | ||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||||||||||||
$ | 182,427,746 | $ | 431,835,957 | $ | 812,310,686 | $ | 794,867,897 | ||||||||||||||||||||||||||||||||||||
(2,419,741 | ) | (94,034 | ) | (41,891,543 | ) | 7,646,915 | |||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||||||||||||
$ | 180,008,005 | $ | 431,741,923 | $ | 770,419,143 | $ | 802,514,812 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 225 |
Table of Contents
Metropolitan West Funds
Statements of Assets and Liabilities
March 31, 2021
ASSETS: | INVESTMENT GRADE CREDIT FUND | LOW DURATION | |||||||||||||
Investments, at value - Unaffiliated (Cost $12,405,372, $2,719,007,522, $28,391,801, $105,057,018,322, $281,894,728 and $4,035,133,511, respectively) (Note 2) | $ | 11,982,405 | $ | 2,724,675,321 | |||||||||||
Investments, at value - Affiliated (Cost $0, $0, $0, $65,187,440, $0 and $0, respectively) (Note 5) | — | — | |||||||||||||
Cash and cash equivalents (Note 2) | 199,000 | 94,847,748 | |||||||||||||
Foreign Currency, at value (Cost $0, $0, $0, $0, $0 and $4,695, respectively) | — | — | |||||||||||||
Cash on deposit with brokers for collateral on swaps (Note 2) | — | 1,331,027 | |||||||||||||
Cash on deposit with brokers for collateral on futures (Note 2) | 55,000 | 3,693,000 | |||||||||||||
Dividends and interest receivable | 111,082 | 6,472,192 | |||||||||||||
Due from Adviser (Note 6) | 28,129 | — | |||||||||||||
Receivable for capital stock sold | 21,927 | 1,367,222 | |||||||||||||
Receivable for daily variation margin on futures contracts (Note 3) | 5,750 | 172,975 | |||||||||||||
Unrealized appreciation on foreign currency exchange contracts | — | 1,422,086 | |||||||||||||
Unrealized appreciation on foreign currency transactions | — | — | |||||||||||||
Receivable for securities sold | — | 354,919,198 | |||||||||||||
Premiums paid for swap contracts | — | 73,959 | |||||||||||||
Unrealized appreciation on swap contracts | — | 8,313 | |||||||||||||
Other assets | 24,542 | 52,465 | |||||||||||||
|
|
|
| ||||||||||||
Total assets | 12,427,835 | 3,189,035,506 | |||||||||||||
|
|
|
| ||||||||||||
Liabilities: | |||||||||||||||
Options written, at value (Premiums received $0, $540,000, $0, $21,994,700, $0 and $0, respectively) (Note 3) | — | 4,596 | |||||||||||||
Bank overdraft | — | — | |||||||||||||
Payable for securities purchased | 102,527 | 705,947,226 | |||||||||||||
Payable for capital stock redeemed | 30,238 | 1,603,743 | |||||||||||||
Payable for daily variation margin on futures contracts (Note 3) | 3,572 | — | |||||||||||||
Distributions payable | — | 132,320 | |||||||||||||
Unrealized depreciation on foreign currency exchange contracts | — | — | |||||||||||||
Advisory fees payable (Note 6) | 3,612 | 629,468 | |||||||||||||
Accrued trustees fees and expenses | 2 | 677 | |||||||||||||
Accrued distribution (12b-1) and service fees payable | 452 | 71,901 | |||||||||||||
Administrative fees payable | 35,840 | 84,533 | |||||||||||||
Audit fees payable | 11,620 | 41,148 | |||||||||||||
Accrued other expenses | 9,388 | 353,498 | |||||||||||||
|
|
|
| ||||||||||||
Total liabilities | 197,251 | 708,869,110 | |||||||||||||
|
|
|
| ||||||||||||
Net assets | $ | 12,230,584 | $ | 2,480,166,396 | |||||||||||
|
|
|
| ||||||||||||
Class M Shares: | |||||||||||||||
Net assets (Applicable to 219,784, 50,165,234, 1,975,844, 661,139,405, 14,559,872 and 21,607,830, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value) | $ | 2,125,714 | $ | 445,538,395 | |||||||||||
|
|
|
| ||||||||||||
Net asset value, offering and redemption price per Class M share | $ | 9.67 | $ | 8.88 | |||||||||||
|
|
|
| ||||||||||||
Class I Shares: | |||||||||||||||
Net assets (Applicable to 1,044,749, 229,018,746, 1,251,843, 4,897,035,762, 42,554,510 and 273,766,820, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value) | $ | 10,104,870 | $ | 2,034,539,894 | |||||||||||
|
|
|
| ||||||||||||
Net asset value, offering and redemption price per Class I share | $ | 9.67 | $ | 8.88 | |||||||||||
|
|
|
| ||||||||||||
Class I-2 Shares: | |||||||||||||||
Net assets (Applicable to 0, 0, 0, 10,801,035, 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 Class I-2 share | N/A | N/A | |||||||||||||
|
|
|
| ||||||||||||
Administrative Class Shares: | |||||||||||||||
Net assets (Applicable to 0, 7,678, 0, 192,427,211, 0 and 0, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value) | N/A | $ | 88,107 | ||||||||||||
|
|
|
| ||||||||||||
Net asset value, offering and redemption price per Administrative Class share | N/A | $ | 11.48 | ||||||||||||
|
|
|
| ||||||||||||
Plan Class Shares: | |||||||||||||||
Net assets (Applicable to 0, 0, 0, 2,425,345,101, 0 and 5,342,862, 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: | |||||||||||||||
Paid-in Capital (Note 9) | $ | 12,634,791 | $ | 2,505,985,868 | |||||||||||
Accumulated Earnings (Loss) | (404,207 | ) | (25,819,472 | ) | |||||||||||
|
|
|
| ||||||||||||
Net assets | $ | 12,230,584 | $ | 2,480,166,396 | |||||||||||
|
|
|
|
See accompanying Notes to Financial Statements. |
226 / Annual Report March 2021 |
Table of Contents
Metropolitan West Funds
Statements of Assets and Liabilities
March 31, 2021
STRATEGIC INCOME FUND | TOTAL RETURN BOND FUND | ULTRA SHORT BOND FUND | UNCONSTRAINED BOND FUND | ||||||||||||||||||||||||||||||||||||||||
$ | 23,928,680 | $ | 105,857,650,940 | $ | 281,906,099 | $ | 3,991,771,045 | ||||||||||||||||||||||||||||||||||||
— | — | — | — | ||||||||||||||||||||||||||||||||||||||||
1,027,000 | 344,645,399 | — | 80,074,630 | ||||||||||||||||||||||||||||||||||||||||
— | — | — | 4,695 | ||||||||||||||||||||||||||||||||||||||||
— | 255,736,051 | — | 3,858,006 | ||||||||||||||||||||||||||||||||||||||||
351,000 | 80,275,000 | 129,000 | 20,859,000 | ||||||||||||||||||||||||||||||||||||||||
271,035 | 268,394,198 | 645,466 | 15,366,221 | ||||||||||||||||||||||||||||||||||||||||
28,057 | — | 51,304 | — | ||||||||||||||||||||||||||||||||||||||||
11,005 | 187,992,169 | 228,072 | 17,532,060 | ||||||||||||||||||||||||||||||||||||||||
10,844 | 16,172 | 15,313 | 1,260,927 | ||||||||||||||||||||||||||||||||||||||||
— | 42,285,924 | 264,437 | 2,152,990 | ||||||||||||||||||||||||||||||||||||||||
— | 5,339 | — | 2 | ||||||||||||||||||||||||||||||||||||||||
38,905 | 19,751,303,372 | 40,336,885 | 475,771,027 | ||||||||||||||||||||||||||||||||||||||||
— | 1,309,994 | 8,422 | 223,929 | ||||||||||||||||||||||||||||||||||||||||
— | 147,238 | 946 | 25,169 | ||||||||||||||||||||||||||||||||||||||||
19,682 | 753,424 | 16,221 | 57,849 | ||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||||||||||||
25,686,208 | 126,790,515,220 | 323,602,165 | 4,608,957,550 | ||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||||||||||||
— | 25,593,750 | — | — | ||||||||||||||||||||||||||||||||||||||||
— | — | 175,497 | — | ||||||||||||||||||||||||||||||||||||||||
191,584 | 39,654,771,737 | 78,640,502 | 994,920,791 | ||||||||||||||||||||||||||||||||||||||||
95,754 | 115,844,313 | 1,420,004 | 16,259,494 | ||||||||||||||||||||||||||||||||||||||||
— | 4,842,539 | — | 279,066 | ||||||||||||||||||||||||||||||||||||||||
2,765 | 8,512,361 | 559 | 1,417,590 | ||||||||||||||||||||||||||||||||||||||||
— | 5,319 | — | 833 | ||||||||||||||||||||||||||||||||||||||||
40,474 | 25,834,801 | 53,731 | 1,962,866 | ||||||||||||||||||||||||||||||||||||||||
27 | 26,065 | 33 | 1,091 | ||||||||||||||||||||||||||||||||||||||||
3,250 | 2,005,269 | 9,511 | 55,151 | ||||||||||||||||||||||||||||||||||||||||
36,034 | 1,474,676 | 38,456 | 125,538 | ||||||||||||||||||||||||||||||||||||||||
36,438 | 152,417 | 36,252 | 12,421 | ||||||||||||||||||||||||||||||||||||||||
9,578 | 10,269,170 | 54,904 | 395,091 | ||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||||||||||||
415,904 | 39,849,332,417 | 80,429,449 | 1,015,429,932 | ||||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||||||||||||
$ | 25,270,304 | $ | 86,941,182,803 | $ | 243,172,716 | $ | 3,593,527,618 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||||||||||||
$ | 15,471,036 | $ | 7,154,434,091 | $ | 61,924,623 | $ | 258,423,941 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||||||||||||
$ | 7.83 | $ | 10.82 | $ | 4.25 | $ | 11.96 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||||||||||||
$ | 9,799,268 | $ | 52,980,072,595 | $ | 181,248,093 | $ | 3,271,288,578 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||||||||||||
$ | 7.83 | $ | 10.82 | $ | 4.26 | $ | 11.95 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||||||||||||
N/A | $ | 116,856,518 | N/A | N/A | |||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||||||||||||
N/A | $ | 10.82 | N/A | N/A | |||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||||||||||||
N/A | $ | 2,083,842,208 | N/A | N/A | |||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||||||||||||
N/A | $ | 10.83 | N/A | N/A | |||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||||||||||||
N/A | $ | 24,605,977,391 | N/A | $ | 63,815,099 | ||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||||||||||||
N/A | $ | 10.15 | N/A | $ | 11.94 | ||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||||||||||||
$ | 29,447,071 | $ | 87,213,103,047 | $ | 248,562,574 | $ | 3,588,265,666 | ||||||||||||||||||||||||||||||||||||
(4,176,767 | ) | (271,920,244 | ) | (5,389,858 | ) | 5,261,952 | |||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||||||||||||
$ | 25,270,304 | $ | 86,941,182,803 | $ | 243,172,716 | $ | 3,593,527,618 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 227 |
Table of Contents
Metropolitan West Funds
For the Year Ended March 31, 2021
ALPHATRAK 500 FUND | CORPORATE BOND FUND | |||||||||||
Investment Income: | ||||||||||||
Interest | $ | 777,379 | $ | 350,000 | ||||||||
Dividends | 53,080 | 259 | ||||||||||
|
|
|
| |||||||||
Total investment income | 830,459 | 350,259 | ||||||||||
|
|
|
| |||||||||
Expenses: | ||||||||||||
Investment advisory fees (Note 6) | 174,544 | 38,958 | ||||||||||
Administration fees | 105,281 | 92,176 | ||||||||||
Distribution (12b-1) and service fees - class specific (Note 7): | ||||||||||||
Class M | — | 15,522 | ||||||||||
Professional fees | 47,218 | 32,255 | ||||||||||
Transfer agent fees | 37,811 | 42,260 | ||||||||||
Registration and filing fees | 28,965 | 61,162 | ||||||||||
Custodian fees | 21,471 | 32,504 | ||||||||||
Miscellaneous expenses | 9,642 | 6,284 | ||||||||||
Trustees’ fees and expenses | 443 | 120 | ||||||||||
Commitment fee | — | 48 | ||||||||||
Repayment of reimbursed expenses - Class I (Note 6) | — | — | ||||||||||
|
|
|
| |||||||||
Total operating expenses | 425,375 | 321,289 | ||||||||||
Expenses waived and reimbursed (Note 6) | (122,267 | ) | (257,070 | ) | ||||||||
|
|
|
| |||||||||
Net expenses | 303,108 | 64,219 | ||||||||||
|
|
|
| |||||||||
Net investment income | 527,351 | 286,040 | ||||||||||
|
|
|
| |||||||||
Realized and Change in Unrealized Gain (Loss) on Investments, Futures Contracts, Foreign Currency Exchange Contracts, Foreign Currency Transactions and Swap Contracts: |
| |||||||||||
Net realized gain (loss) on: | ||||||||||||
Investments - Unaffiliated | 21,713 | 25,535 | ||||||||||
Futures contracts | 11,439,986 | 47,444 | ||||||||||
Foreign currency exchange contracts | 30,400 | — | ||||||||||
Foreign currency transactions | (195 | ) | — | |||||||||
Swap contracts | — | — | ||||||||||
Net change in unrealized appreciation (depreciation) on: |
| |||||||||||
Investments - Affiliated | — | — | ||||||||||
Investments - Unaffiliated | 1,774,249 | (242,672 | ) | |||||||||
Futures contracts | 1,792,689 | 21,784 | ||||||||||
Foreign currency exchange contracts | 20,568 | — | ||||||||||
Foreign currency transactions | — | — | ||||||||||
Swap contracts | — | — | ||||||||||
|
|
|
| |||||||||
Net realized and change in unrealized gain (loss) on investments, futures contracts, foreign currency exchange contracts, foreign currency transactions and swap contracts | 15,079,410 | (147,909 | ) | |||||||||
|
|
|
| |||||||||
Net Increase in Net Assets from Operations | $ | 15,606,761 | $ | 138,131 | ||||||||
|
|
|
|
See accompanying Notes to Financial Statements. |
228 / Annual Report March 2021 |
Table of Contents
Metropolitan West Funds
Statements of Operations
For the Year Ended March 31, 2021
FLEXIBLE INCOME FUND | FLOATING RATE INCOME FUND | HIGH YIELD BOND FUND | INTERMEDIATE BOND FUND | |||||||||||||||||||||||||
$ | 5,284,478 | $ | 12,233,257 | $ | 29,331,916 | $ | 14,894,576 | |||||||||||||||||||||
14,124 | 13,255 | 49,420 | 20,298 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
5,298,602 | 12,246,512 | 29,381,336 | 14,914,874 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
300,441 | 1,705,679 | 3,361,449 | 2,718,266 | |||||||||||||||||||||||||
139,312 | 143,539 | 127,199 | 178,429 | |||||||||||||||||||||||||
22,542 | 23,921 | 457,887 | 76,650 | |||||||||||||||||||||||||
37,880 | 51,862 | 48,904 | 55,826 | |||||||||||||||||||||||||
89,730 | 102,370 | 435,028 | 575,348 | |||||||||||||||||||||||||
55,365 | 57,737 | 76,840 | 72,589 | |||||||||||||||||||||||||
45,138 | 28,027 | 41,229 | 63,758 | |||||||||||||||||||||||||
7,924 | 19,338 | 89,419 | 63,811 | |||||||||||||||||||||||||
764 | 3,988 | 8,639 | 10,219 | |||||||||||||||||||||||||
229 | 1,547 | 3,446 | 4,320 | |||||||||||||||||||||||||
— | 60,671 | — | — | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
699,325 | 2,198,679 | 4,650,040 | 3,819,216 | |||||||||||||||||||||||||
(309,577 | ) | (8,677 | ) | (158,414 | ) | (4,895 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
389,748 | 2,190,002 | 4,491,626 | 3,814,321 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
4,908,854 | 10,056,510 | 24,889,710 | 11,100,553 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
(450,019 | ) | 861,658 | 31,915,009 | 15,208,540 | ||||||||||||||||||||||||
828,671 | — | 2,985,976 | 2,578,956 | |||||||||||||||||||||||||
— | 134,350 | — | 892,806 | |||||||||||||||||||||||||
(1,148 | ) | (4,879 | ) | — | — | |||||||||||||||||||||||
— | — | 13,280 | 100,973 | |||||||||||||||||||||||||
— | — | (27,660 | ) | — | ||||||||||||||||||||||||
(2,518,196 | ) | 26,740,238 | 38,959,479 | 7,272,926 | ||||||||||||||||||||||||
365,099 | — | (710,797 | ) | (1,621,668 | ) | |||||||||||||||||||||||
13,304 | 417,224 | — | (520,871 | ) | ||||||||||||||||||||||||
4,005 | 26,829 | 40,794 | — | |||||||||||||||||||||||||
— | — | 9,696 | (96,410 | ) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
(1,758,284 | ) | 28,175,420 | 73,185,777 | 23,815,252 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
$ | 3,150,570 | $ | 38,231,930 | $ | 98,075,487 | $ | 34,915,805 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 229 |
Table of Contents
Metropolitan West Funds
Statements of Operations
For the Year Ended March 31, 2021
INVESTMENT GRADE | LOW DURATION | ||||||||||||||
Investment Income: | |||||||||||||||
Interest | $ | 825,459 | $ | 39,229,517 | |||||||||||
Dividends | 536 | 64,099 | |||||||||||||
|
|
|
| ||||||||||||
Total investment income | 825,995 | 39,293,616 | |||||||||||||
|
|
|
| ||||||||||||
Expenses: | |||||||||||||||
Investment advisory fees (Note 6) | 41,296 | 6,494,813 | |||||||||||||
Administration fees | 103,204 | 253,111 | |||||||||||||
Distribution (12b-1) and service fees - class specific (Note 7): | — | — | |||||||||||||
Class M | 4,714 | 808,525 | |||||||||||||
Administrative Class | — | 371 | |||||||||||||
Registration and filing fees | 59,624 | 112,009 | |||||||||||||
Transfer agent fees | 41,019 | 1,828,395 | |||||||||||||
Custodian fees | 32,797 | 110,374 | |||||||||||||
Professional fees | 32,264 | 59,939 | |||||||||||||
Miscellaneous expenses | 6,187 | 174,666 | |||||||||||||
Trustees’ fees and expenses | 152 | 28,216 | |||||||||||||
Commitment fee | 65 | 11,565 | |||||||||||||
Repayment of reimbursed expenses - Class I (Note 6) | — | — | |||||||||||||
|
|
|
| ||||||||||||
Total operating expenses | 321,322 | 9,881,984 | |||||||||||||
Expenses waived and reimbursed (Note 6) | (259,548 | ) | — | ||||||||||||
|
|
|
| ||||||||||||
Net expenses | 61,774 | 9,881,984 | |||||||||||||
|
|
|
| ||||||||||||
Net investment income | 764,221 | 29,411,632 | |||||||||||||
|
|
|
| ||||||||||||
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 | (52,230 | ) | 1,700,514 | ||||||||||||
Futures contracts | 126,649 | 2,283,421 | |||||||||||||
Foreign currency exchange contracts | — | 10,707,573 | |||||||||||||
Foreign currency transactions | — | (16,554 | ) | ||||||||||||
Options and swaptions written | — | — | |||||||||||||
Swap contracts | 1,019 | 267,490 | |||||||||||||
Net change in unrealized appreciation (depreciation) on: | |||||||||||||||
Investments - Affiliated | — | — | |||||||||||||
Investments - Unaffiliated | (58,463 | ) | 35,458,148 | ||||||||||||
Futures contracts | 28,325 | 1,176,230 | |||||||||||||
Foreign currency exchange contracts | — | 50,585 | |||||||||||||
Foreign currency transactions | — | — | |||||||||||||
Options and swaptions written | — | (1,677 | ) | ||||||||||||
Swap contracts | (1,018 | ) | (250,299 | ) | |||||||||||
|
|
|
| ||||||||||||
Net realized and change in unrealized gain on investments, futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts | 44,282 | 51,375,431 | |||||||||||||
|
|
|
| ||||||||||||
Net Increase in Net Assets from Operations | $ | 808,503 | $ | 80,787,063 | |||||||||||
|
|
|
|
See accompanying Notes to Financial Statements. |
230 / Annual Report March 2021 |
Table of Contents
Metropolitan West Funds
Statements of Operations
For the Year Ended March 31, 2021
STRATEGIC INCOME FUND | TOTAL RETURN BOND FUND | ULTRA SHORT BOND FUND | UNCONSTRAINED BOND FUND | |||||||||||||||||||||||||
$ | 3,183,481 | $ | 1,690,062,356 | $ | 2,185,752 | $ | 116,484,856 | |||||||||||||||||||||
3,304 | 2,512,693 | 7,334 | 360,228 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
3,186,785 | 1,692,575,049 | 2,193,086 | 116,845,084 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
498,908 | 305,268,685 | 545,532 | 21,259,494 | |||||||||||||||||||||||||
113,654 | 4,432,283 | 113,724 | 372,080 | |||||||||||||||||||||||||
32,208 | 19,420,746 | 89,135 | 653,400 | |||||||||||||||||||||||||
— | 8,022,765 | — | — | |||||||||||||||||||||||||
57,626 | 1,830,163 | 54,569 | 161,306 | |||||||||||||||||||||||||
72,698 | 48,652,054 | 219,361 | 2,132,039 | |||||||||||||||||||||||||
25,094 | 2,587,862 | 31,724 | 161,762 | |||||||||||||||||||||||||
46,012 | 512,791 | 46,392 | 79,382 | |||||||||||||||||||||||||
13,396 | 7,806,521 | 36,847 | 301,661 | |||||||||||||||||||||||||
543 | 1,147,018 | 2,804 | 42,844 | |||||||||||||||||||||||||
239 | 493,020 | 1,147 | 18,006 | |||||||||||||||||||||||||
38,432 | — | — | — | |||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
898,810 | 400,173,908 | 1,141,235 | 25,181,974 | |||||||||||||||||||||||||
(58,686 | ) | — | (310,177 | ) | — | |||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
840,124 | 400,173,908 | 831,058 | 25,181,974 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
2,346,661 | 1,292,401,141 | 1,362,028 | 91,663,110 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
848,648 | 452,557,388 | (2,185,391 | ) | 46,969,955 | ||||||||||||||||||||||||
(169,100 | ) | 334,478,582 | (92,047 | ) | 11,835,043 | |||||||||||||||||||||||
21,714 | 125,717,719 | 1,766,156 | 5,546,983 | |||||||||||||||||||||||||
58 | 144,936 | (9,129 | ) | 29,011 | ||||||||||||||||||||||||
— | 4,092,679 | — | — | |||||||||||||||||||||||||
10,225 | 11,218,090 | 1,297 | 473,554 | |||||||||||||||||||||||||
— | (64,939 | ) | — | — | ||||||||||||||||||||||||
2,723,288 | 720,031,385 | 919,153 | 144,997,021 | |||||||||||||||||||||||||
672,574 | (130,036,903 | ) | 199,968 | 36,971,036 | ||||||||||||||||||||||||
— | 18,325,040 | 195,737 | (118,267 | ) | ||||||||||||||||||||||||
— | 11,224 | — | 2 | |||||||||||||||||||||||||
— | (13,977,372 | ) | — | — | ||||||||||||||||||||||||
(10,397 | ) | (10,393,565 | ) | 946 | (421,508 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
4,097,010 | 1,512,104,264 | 796,690 | 246,282,830 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
$ | 6,443,671 | $ | 2,804,505,405 | $ | 2,158,718 | $ | 337,945,940 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 231 |
Table of Contents
Metropolitan West Funds
Statements of Changes in Net Assets
ALPHATRAK 500 FUND | ||||||||||||||||
YEAR ENDED MARCH 31, 2021 | YEAR ENDED MARCH 31, 2020 | |||||||||||||||
Operations: | ||||||||||||||||
Net investment income | $ | 527,351 | $ | 953,096 | ||||||||||||
Net realized gain (loss) on investments | 21,713 | 142,331 | ||||||||||||||
Net realized gain (loss) on futures contracts, foreign currency exchange contracts, foreign currency transactions and swap contracts | 11,470,191 | (1,030,095 | ) | |||||||||||||
Net change in unrealized appreciation (depreciation) on investments | 1,774,249 | (1,361,452 | ) | |||||||||||||
Net change in unrealized appreciation (depreciation) on futures contracts, foreign currency exchange contracts, foreign currency transactions and swap contracts | 1,813,257 | (2,088,172 | ) | |||||||||||||
|
|
|
| |||||||||||||
Net increase (decrease) in net assets resulting from operations | 15,606,761 | (3,384,292 | ) | |||||||||||||
|
|
|
| |||||||||||||
Distributions to Shareholders: | ||||||||||||||||
Class M | (2,562,844 | ) | (3,355,949 | ) | ||||||||||||
Class I | — | — | ||||||||||||||
Plan Class | — | — | ||||||||||||||
|
|
|
| |||||||||||||
Total Distributions | (2,562,844 | ) | (3,355,949 | ) | ||||||||||||
|
|
|
| |||||||||||||
Capital Share Transactions: | ||||||||||||||||
Class M: | ||||||||||||||||
Proceeds from sale of shares | 8,125,307 | 25,113,482 | ||||||||||||||
Shares issued in reinvestment of distributions | 2,556,028 | 3,349,095 | ||||||||||||||
Cost of shares redeemed | (16,021,598 | ) | (13,858,501 | ) | ||||||||||||
|
|
|
| |||||||||||||
Total Class M capital share transactions | (5,340,263 | ) | 14,604,076 | |||||||||||||
|
|
|
| |||||||||||||
Class I: | ||||||||||||||||
Proceeds from sale of shares | — | — | ||||||||||||||
Shares issued in reinvestment of distributions | — | — | ||||||||||||||
Cost of shares redeemed | — | — | ||||||||||||||
|
|
|
| |||||||||||||
Total Class I capital share transactions | — | — | ||||||||||||||
|
|
|
| |||||||||||||
Plan Class: | ||||||||||||||||
Proceeds from sale of shares | — | — | ||||||||||||||
Shares issued in reinvestment of distributions | — | — | ||||||||||||||
|
|
|
| |||||||||||||
Total Plan Class capital share transactions | — | — | ||||||||||||||
|
|
|
| |||||||||||||
Net increase (decrease) in net assets derived from capital share transactions | (5,340,263 | ) | 14,604,076 | |||||||||||||
|
|
|
| |||||||||||||
Net increase (decrease) in net assets | 7,703,654 | 7,863,835 | ||||||||||||||
Net assets at beginning of year | 29,066,141 | 21,202,306 | ||||||||||||||
|
|
|
| |||||||||||||
Net assets at end of year | $ | 36,769,795 | $ | 29,066,141 | ||||||||||||
|
|
|
|
See accompanying Notes to Financial Statements. |
232 / Annual Report March 2021 |
Table of Contents
Metropolitan West Funds
Statements of Changes in Net Assets
CORPORATE BOND FUND | FLEXIBLE INCOME FUND | FLOATING RATE INCOME FUND | ||||||||||||||||||||||||||||||||||||
YEAR ENDED MARCH 31, 2021 | YEAR ENDED MARCH 31, 2020 | YEAR ENDED MARCH 31, 2021 | YEAR ENDED MARCH 31, 2020 | YEAR ENDED MARCH 31, 2021 | YEAR ENDED MARCH 31, 2020 | |||||||||||||||||||||||||||||||||
$ | 286,040 | $ | 195,984 | $ | 4,908,854 | $ | 1,197,535 | $ | 10,056,510 | $ | 11,254,931 | |||||||||||||||||||||||||||
25,535 | 8,947 | (450,019 | ) | 40,287 | 861,658 | (1,233,355 | ) | |||||||||||||||||||||||||||||||
47,444 | 14,067 | 827,523 | (258 | ) | 129,471 | 101,494 | ||||||||||||||||||||||||||||||||
(242,672 | ) | (6,826 | ) | (2,518,196 | ) | (610,526 | ) | 26,740,238 | (22,243,330 | ) | ||||||||||||||||||||||||||||
21,784 | (1,872 | ) | 382,408 | (23,457 | ) | 444,053 | — | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
138,131 | 210,300 | 3,150,570 | 603,581 | 38,231,930 | (12,120,260 | ) | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
(203,386 | ) | (75,400 | ) | (662,014 | ) | (221 | ) | (295,044 | ) | (411,136 | ) | |||||||||||||||||||||||||||
(149,087 | ) | (132,188 | ) | (4,457,044 | ) | (1,296,521 | ) | (9,868,566 | ) | (10,843,970 | ) | |||||||||||||||||||||||||||
— | — | — | — | (1 | ) | — | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
(352,473 | ) | (207,588 | ) | (5,119,058 | ) | (1,296,742 | ) | (10,163,611 | ) | (11,255,106 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
13,648,657 | — | 32,392,444 | — | 12,304,196 | 3,813,347 | |||||||||||||||||||||||||||||||||
201,816 | 75,400 | 642,289 | 221 | 280,843 | 409,671 | |||||||||||||||||||||||||||||||||
(6,263,385 | ) | — | (11,600,746 | ) | — | (5,625,876 | ) | (8,650,083 | ) | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
7,587,088 | 75,400 | 21,433,987 | 221 | 6,959,163 | (4,427,065 | ) | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
3,272,792 | 900,000 | 154,410,363 | 2,895,439 | 155,690,567 | 65,504,910 | |||||||||||||||||||||||||||||||||
147,918 | 132,188 | 4,446,944 | 1,296,521 | 8,526,760 | 10,352,626 | |||||||||||||||||||||||||||||||||
(1,141,757 | ) | — | (7,249,876 | ) | — | (23,773,857 | ) | (65,420,233 | ) | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
2,278,953 | 1,032,188 | 151,607,431 | 4,191,960 | 140,443,470 | 10,437,303 | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
— | — | — | — | 100 | — | |||||||||||||||||||||||||||||||||
— | — | — | — | 1 | — | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
— | — | — | — | 101 | — | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
9,866,041 | 1,107,588 | 173,041,418 | 4,192,181 | 147,402,734 | 6,010,238 | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
9,651,699 | 1,110,300 | 171,072,930 | 3,499,020 | 175,471,053 | (17,365,128 | ) | ||||||||||||||||||||||||||||||||
3,268,792 | 2,158,492 | 8,935,075 | 5,436,055 | 256,270,870 | 273,635,998 | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | 12,920,491 | $ | 3,268,792 | $ | 180,008,005 | $ | 8,935,075 | $ | 431,741,923 | $ | 256,270,870 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 233 |
Table of Contents
Metropolitan West Funds
Statements of Changes in Net Assets
HIGH YIELD BOND FUND | ||||||||||||
YEAR ENDED MARCH 31, 2021 | YEAR ENDED MARCH 31, 2020 | |||||||||||
Operations: | ||||||||||||
Net investment income | $ | 24,889,710 | $ | 18,538,464 | ||||||||
Net realized gain (loss) on investments | 31,915,009 | 9,112,768 | ||||||||||
Net realized gain on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts | 2,999,256 | 1,384,245 | ||||||||||
Net change in unrealized appreciation (depreciation) on investments | 38,931,819 | (25,435,386 | ) | |||||||||
Net change in unrealized appreciation (depreciation) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts | (660,307 | ) | 330,182 | |||||||||
|
|
|
| |||||||||
Net increase in net assets resulting from operations | 98,075,487 | 3,930,273 | ||||||||||
|
|
|
| |||||||||
Distributions to Shareholders: | ||||||||||||
Class M | (6,482,162 | ) | (6,806,120 | ) | ||||||||
Class I | (18,425,433 | ) | (11,733,736 | ) | ||||||||
Administrative Class | — | — | ||||||||||
|
|
|
| |||||||||
Total Distributions | (24,907,595 | ) | (18,539,856 | ) | ||||||||
|
|
|
| |||||||||
Capital Share Transactions: | ||||||||||||
Class M: | ||||||||||||
Proceeds from sale of shares | 128,950,497 | 39,365,774 | ||||||||||
Shares issued in reinvestment of distributions | 6,182,278 | 6,576,867 | ||||||||||
Cost of shares redeemed | (84,380,539 | ) | (101,550,221 | ) | ||||||||
|
|
|
| |||||||||
Total Class M capital share transactions | 50,752,236 | (55,607,580 | ) | |||||||||
|
|
|
| |||||||||
Class I: | ||||||||||||
Proceeds from sale of shares | 496,253,964 | 176,403,014 | ||||||||||
Shares issued in reinvestment of distributions | 17,007,731 | 10,769,869 | ||||||||||
Cost of shares redeemed | (282,701,987 | ) | (181,596,530 | ) | ||||||||
|
|
|
| |||||||||
Total Class I capital share transactions | 230,559,708 | 5,576,353 | ||||||||||
|
|
|
| |||||||||
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 derived from capital share transactions | 281,311,944 | (50,031,227 | ) | |||||||||
|
|
|
| |||||||||
Net increase (decrease) in net assets | 354,479,836 | (64,640,810 | ) | |||||||||
Net assets at beginning of year | 415,939,307 | 480,580,117 | ||||||||||
|
|
|
| |||||||||
Net assets at end of year | $ | 770,419,143 | $ | 415,939,307 | ||||||||
|
|
|
|
See accompanying Notes to Financial Statements. |
234 / Annual Report March 2021 |
Table of Contents
Metropolitan West Funds
Statements of Changes in Net Assets
INTERMEDIATE BOND FUND | INVESTMENT GRADE CREDIT FUND | LOW DURATION BOND FUND | ||||||||||||||||||||||||||||||||||||
YEAR ENDED MARCH 31, 2021 | YEAR ENDED MARCH 31, 2020 | YEAR ENDED MARCH 31, 2021 | YEAR ENDED MARCH 31, 2020 | YEAR ENDED MARCH 31, 2021 | YEAR ENDED MARCH 31, 2020 | |||||||||||||||||||||||||||||||||
$ | 11,100,553 | $ | 20,491,132 | $ | 764,221 | $ | 642,625 | $ | 29,411,632 | $ | 50,056,122 | |||||||||||||||||||||||||||
15,208,540 | 21,175,681 | (52,230 | ) | 27,738 | 1,700,514 | 13,379,717 | ||||||||||||||||||||||||||||||||
3,572,735 | 3,749,699 | 127,668 | 41,117 | 13,241,930 | 16,582,593 | |||||||||||||||||||||||||||||||||
7,272,926 | (6,500,278 | ) | (58,463 | ) | (431,127 | ) | 35,458,148 | (35,094,143 | ) | |||||||||||||||||||||||||||||
(2,238,949 | ) | 1,593,571 | 27,307 | 12,390 | 974,839 | (694,381 | ) | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
34,915,805 | 40,509,805 | 808,503 | 292,743 | 80,787,063 | 44,229,908 | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
(1,392,395 | ) | (907,641 | ) | (144,289 | ) | (94,322 | ) | (5,196,975 | ) | (12,024,510 | ) | |||||||||||||||||||||||||||
(28,359,551 | ) | (19,581,347 | ) | (764,833 | ) | (612,228 | ) | (24,338,731 | ) | (37,166,534 | ) | |||||||||||||||||||||||||||
— | — | — | — | (1,056 | ) | (5,009 | ) | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
(29,751,946 | ) | (20,488,988 | ) | (909,122 | ) | (706,550 | ) | (29,536,762 | ) | (49,196,053 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
14,300,978 | 10,513,623 | 4,313,649 | — | 118,060,426 | 49,556,729 | |||||||||||||||||||||||||||||||||
1,381,730 | 903,052 | 143,142 | 94,322 | 5,086,410 | 11,868,809 | |||||||||||||||||||||||||||||||||
(13,231,790 | ) | (13,854,184 | ) | (3,117,649 | ) | — | (139,138,520 | ) | (191,932,571 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
2,450,918 | (2,437,509 | ) | 1,339,142 | 94,322 | (15,991,684 | ) | (130,507,033 | ) | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
235,831,557 | 122,812,134 | 4,570,081 | 1,095,000 | 933,006,583 | 370,441,484 | |||||||||||||||||||||||||||||||||
28,333,173 | 19,285,880 | 761,991 | 612,228 | 22,805,603 | 35,093,600 | |||||||||||||||||||||||||||||||||
(196,139,375 | ) | (176,794,379 | ) | (1,607,145 | ) | — | (417,147,385 | ) | (522,614,405 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
68,025,355 | (34,696,365 | ) | 3,724,927 | 1,707,228 | 538,664,801 | (117,079,321 | ) | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
— | — | — | — | 8,700 | 20,388 | |||||||||||||||||||||||||||||||||
— | — | — | — | 683 | 1,673 | |||||||||||||||||||||||||||||||||
— | — | — | — | (17,573 | ) | (346,322 | ) | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
— | — | — | — | (8,190 | ) | (324,261 | ) | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
70,476,273 | (37,133,874 | ) | 5,064,069 | 1,801,550 | 522,664,927 | (247,910,615 | ) | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
75,640,132 | (17,113,057 | ) | 4,963,450 | 1,387,743 | 573,915,228 | (252,876,760 | ) | |||||||||||||||||||||||||||||||
726,874,680 | 743,987,737 | 7,267,134 | 5,879,391 | 1,906,251,168 | 2,159,127,928 | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | 802,514,812 | $ | 726,874,680 | $ | 12,230,584 | $ | 7,267,134 | $ | 2,480,166,396 | $ | 1,906,251,168 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 235 |
Table of Contents
Metropolitan West Funds
Statements of Changes in Net Assets
STRATEGIC INCOME FUND | ||||||||||||
YEAR ENDED MARCH 31, 2021 | YEAR ENDED MARCH 31, 2020 | |||||||||||
Operations: | ||||||||||||
Net investment income | $ | 2,346,661 | $ | 3,423,527 | ||||||||
Net realized gain (loss) on investments | 848,648 | 504,462 | ||||||||||
Net realized gain (loss) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts | (137,103 | ) | (1,260,979 | ) | ||||||||
Net change in unrealized appreciation (depreciation) on investments | 2,723,287 | (5,440,080 | ) | |||||||||
Net change in unrealized appreciation (depreciation) on futures contracts, foreign currency exchange contracts, foreign currency transactions, options and swaptions written and swap contracts | 662,178 | (364,036 | ) | |||||||||
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | 6,443,671 | (3,137,106 | ) | |||||||||
|
|
|
| |||||||||
Distributions to Shareholders: | ||||||||||||
Class M | (790,679 | ) | (537,821 | ) | ||||||||
Class I | (1,569,363 | ) | (2,875,979 | ) | ||||||||
Class I-2 | — | — | ||||||||||
Administrative Class | — | — | ||||||||||
Plan Class | — | — | ||||||||||
|
|
|
| |||||||||
Total Distributions | (2,360,042 | ) | (3,413,800 | ) | ||||||||
|
|
|
| |||||||||
Capital Share Transactions: | ||||||||||||
Class M: | ||||||||||||
Proceeds from sale of shares | 12,357,964 | 4,390,876 | ||||||||||
Shares issued in reinvestment of distributions | 777,664 | 527,237 | ||||||||||
Cost of shares redeemed | (8,819,965 | ) | (11,601,313 | ) | ||||||||
|
|
|
| |||||||||
Total Class M capital share transactions | 4,315,663 | (6,683,200 | ) | |||||||||
|
|
|
| |||||||||
Class I: | ||||||||||||
Proceeds from sale of shares | 5,452,200 | 8,919,733 | ||||||||||
Shares issued in reinvestment of distributions | 1,563,564 | 2,871,974 | ||||||||||
Cost of shares redeemed | (48,809,465 | ) | (25,110,769 | ) | ||||||||
|
|
|
| |||||||||
Total Class I capital share transactions | (41,793,701 | ) | (13,319,062 | ) | ||||||||
|
|
|
| |||||||||
Class I-2: | ||||||||||||
Proceeds from sale of shares | — | — | ||||||||||
Shares issued in reinvestment of distributions | — | — | ||||||||||
Cost of shares redeemed | — | — | ||||||||||
|
|
|
| |||||||||
Total Class I-2 capital share transactions | — | — | ||||||||||
|
|
|
| |||||||||
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 derived from capital share transactions | (37,478,038 | ) | (20,002,262 | ) | ||||||||
|
|
|
| |||||||||
Net increase (decrease) in net assets | (33,394,409 | ) | (26,553,168 | ) | ||||||||
Net assets at beginning of year | 58,664,713 | 85,217,881 | ||||||||||
|
|
|
| |||||||||
Net assets at end of year | $ | 25,270,304 | $ | 58,664,g713 | ||||||||
|
|
|
|
See accompanying Notes to Financial Statements. |
236 / Annual Report March 2021 |
Table of Contents
Metropolitan West Funds
Statements of Changes in Net Assets
TOTAL RETURN BOND FUND | ULTRA SHORT BOND FUND | UNCONSTRAINED BOND FUND | ||||||||||||||||||||||||||||||||||||
YEAR ENDED MARCH 31, 2021 | YEAR ENDED MARCH 31, 2020 | YEAR ENDED MARCH 31, 2021 | YEAR ENDED MARCH 31, 2020 | YEAR ENDED MARCH 31, 2021 | YEAR ENDED MARCH 31, 2020 | |||||||||||||||||||||||||||||||||
$ | 1,292,401,141 | $ | 2,023,008,126 | $ | 1,362,028 | $ | 2,638,815 | $ | 91,663,110 | $ | 121,034,413 | |||||||||||||||||||||||||||
452,557,388 | 3,804,324,845 | (2,185,391 | ) | 60,894 | 46,969,957 | 26,851,078 | ||||||||||||||||||||||||||||||||
475,652,006 | 846,408,074 | 1,666,277 | 78,160 | 17,884,589 | (22,176,323 | ) | ||||||||||||||||||||||||||||||||
719,966,446 | (750,124,991 | ) | 919,153 | (977,333 | ) | 144,997,021 | (180,850,914 | ) | ||||||||||||||||||||||||||||||
(136,071,576 | ) | 70,491,225 | 396,651 | (6,572 | ) | 36,431,263 | (20,140,194 | ) | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
2,804,505,405 | 5,994,107,279 | 2,158,718 | 1,793,964 | 337,945,940 | (75,281,940 | ) | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
(568,049,079 | ) | (300,388,115 | ) | (271,401 | ) | (756,939 | ) | (8,563,350 | ) | (12,589,905 | ) | |||||||||||||||||||||||||||
(3,188,499,462 | ) | (1,537,934,853 | ) | (1,091,869 | ) | (1,886,190 | ) | (105,331,786 | ) | (107,860,978 | ) | |||||||||||||||||||||||||||
(6,121,053 | ) | — | — | — | — | — | ||||||||||||||||||||||||||||||||
(116,011,676 | ) | (49,057,509 | ) | — | — | — | — | |||||||||||||||||||||||||||||||
(1,638,444,684 | ) | (823,240,499 | ) | — | — | (2,741,237 | ) | — | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
(5,517,125,954 | ) | (2,710,620,976 | ) | (1,363,270 | ) | (2,643,129 | ) | (116,636,373 | ) | (120,450,883 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
2,796,785,096 | 2,020,194,403 | 93,315,754 | 14,930,510 | 53,543,701 | 81,683,781 | |||||||||||||||||||||||||||||||||
563,596,147 | 297,755,323 | 262,337 | 725,591 | 8,240,006 | 11,911,123 | |||||||||||||||||||||||||||||||||
(4,976,311,646 | ) | (3,301,382,158 | ) | (60,144,904 | ) | (21,398,277 | ) | (89,674,103 | ) | (264,774,683 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
(1,615,930,403 | ) | (983,432,432 | ) | 33,433,187 | (5,742,176 | ) | (27,890,396 | ) | (171,179,779 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
18,725,199,269 | 13,667,391,267 | 175,164,379 | 42,913,142 | 1,145,664,099 | 1,089,940,500 | |||||||||||||||||||||||||||||||||
2,889,943,410 | 1,390,528,528 | 1,090,987 | 1,882,967 | 84,772,104 | 88,891,932 | |||||||||||||||||||||||||||||||||
(13,078,407,390 | ) | (11,771,099,618 | ) | (72,005,589 | ) | (35,906,941 | ) | (916,608,246 | ) | (891,192,312 | ) | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
8,536,735,289 | 3,286,820,177 | 104,249,777 | 8,889,168 | 313,827,957 | 287,640,120 | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
130,514,638 | 100 | — | — | — | — | |||||||||||||||||||||||||||||||||
6,121,040 | — | — | — | — | — | |||||||||||||||||||||||||||||||||
(12,135,534 | ) | — | — | — | — | — | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
124,500,144 | 100 | — | — | — | — | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
672,097,128 | 928,545,275 | — | — | — | — | |||||||||||||||||||||||||||||||||
114,756,083 | 48,519,313 | — | — | — | — | |||||||||||||||||||||||||||||||||
(376,823,384 | ) | (319,527,834 | ) | — | — | — | — | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
410,029,827 | 657,536,754 | — | — | — | — | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
7,748,078,022 | 7,677,631,917 | — | — | 118,175,282 | 100 | |||||||||||||||||||||||||||||||||
1,525,649,602 | 763,872,829 | — | — | 2,740,188 | — | |||||||||||||||||||||||||||||||||
(7,703,153,603 | ) | (6,168,990,702 | ) | — | — | (61,961,252 | ) | — | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
1,570,574,021 | 2,272,514,044 | — | — | 58,954,218 | 100 | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
9,025,908,878 | 5,233,438,643 | 137,682,964 | 3,146,992 | 344,891,779 | 116,460,441 | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
6,313,288,329 | 8,516,924,946 | 138,478,412 | 2,297,827 | 566,201,346 | (79,272,382 | ) | ||||||||||||||||||||||||||||||||
80,627,894,474 | 72,110,969,528 | 104,694,304 | 102,396,477 | 3,027,326,272 | 3,106,598,654 | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||
$ | 86,941,182,803 | $ | 80,627,894,474 | $ | 243,172,716 | $ | 104,694,304 | $ | 3,593,527,618 | $ | 3,027,326,272 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 237 |
Table of Contents
Metropolitan West Funds
ALPHATRAK | |||||||||||||||||||||||||
YEAR
| YEAR
| YEAR
| YEAR
| YEAR
| |||||||||||||||||||||
Net Asset Value, Beginning of Year | $ 8.89 | $ 10.73 | $ 9.98 | $ 8.95 | $ 7.22 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
| |||||||||||||||||||||||||
Income from Investment Operations: | |||||||||||||||||||||||||
Net investment income1 | 0.18 | 0.31 | 0.22 | 0.09 | 0.12 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | 5.14 | (1.14 | ) | 0.76 | 1.03 | 1.77 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total Income (Loss) from Investment Operations | 5.32 | (0.83 | ) | 0.98 | 1.12 | 1.89 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
| |||||||||||||||||||||||||
Less Distributions: | |||||||||||||||||||||||||
From net investment income | (0.20 | ) | (0.30 | ) | (0.23 | ) | (0.09 | ) | (0.16 | ) | |||||||||||||||
From net capital gains | (0.75 | ) | (0.71 | ) | — | — | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total Distributions | (0.95 | ) | (1.01 | ) | (0.23 | ) | (0.09 | ) | (0.16 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net Asset Value, End of Year | $ 13.26 | $ 8.89 | $ 10.73 | $ 9.98 | $ 8.95 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total Return | 60.83 | % | (9.36 | )% | 9.93 | % | 12.52 | % | 26.38 | % | |||||||||||||||
| |||||||||||||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||
Net Assets, end of year (in thousands) | $36,770 | $29,066 | $21,202 | $18,149 | $20,714 | ||||||||||||||||||||
Ratio of Expenses to Average Net Assets | |||||||||||||||||||||||||
Before expense waivers and reimbursements | 1.26 | % | 1.04 | % | 1.39 | % | 0.90 | %2 | 3.37 | % | |||||||||||||||
After expense waivers and reimbursements | 0.90 | % | 0.90 | % | 0.90 | % | 0.90 | % | 0.90 | % | |||||||||||||||
Ratio of Net Investment Income to Average Net Assets | |||||||||||||||||||||||||
After expense waivers and reimbursements | 1.57 | % | 2.80 | % | 2.15 | % | 0.90 | % | 1.49 | % | |||||||||||||||
Portfolio Turnover Rate | 60 | % | 89 | % | 140 | % | 115 | % | 505 | % |
1 Per share numbers have been calculated using the average share method.
2 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.
Annual Report March 2021 / 238 |
Table of Contents
Metropolitan West Funds
Financial Highlights
CORPORATE BOND FUND CLASS M* | |||||||||||||||
YEAR |
YEAR | PERIOD ENDED MARCH 31, 2019 | |||||||||||||
Net Asset Value, Beginning of Period | $ | 10.32 | $ | 10.31 | $ | 10.00 | |||||||||
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| ||||||||||
| |||||||||||||||
Income from Investment Operations: | |||||||||||||||
Net investment income1 | 0.28 | 0.88 | 0.41 | ||||||||||||
Net realized and unrealized gain | 0.50 | 0.06 | 0.34 | ||||||||||||
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| ||||||||||
Total Income from Investment Operations | 0.78 | 0.94 | 0.75 | ||||||||||||
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| ||||||||||
| |||||||||||||||
Less Distributions: | |||||||||||||||
From net investment income | (0.40 | ) | (0.86 | ) | (0.41 | ) | |||||||||
From net capital gains | (0.05 | ) | (0.07 | ) | (0.03 | ) | |||||||||
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| ||||||||||
Total Distributions | (0.45 | ) | (0.93 | ) | (0.44 | ) | |||||||||
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| ||||||||||
Net Asset Value, End of Period | $ | 10.65 | $ | 10.32 | $ | 10.31 | |||||||||
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| ||||||||||
Total Return | 7.55 | % | 9.19 | % | 7.75 | %2 | |||||||||
| |||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||
Net Assets, end of period (in thousands) | $ | 8,190 | $ | 876 | $ | 803 | |||||||||
Ratio of Expenses to Average Net Assets | |||||||||||||||
Before expense waivers and reimbursements | 3.16 | % | 8.55 | % | 9.81 | %3 | |||||||||
After expense waivers and reimbursements | 0.75 | % | 0.75 | % | 0.75 | %3 | |||||||||
Ratio of Net Investment Income to Average Net Assets | |||||||||||||||
After expense waivers and reimbursements | 2.54 | % | 8.31 | % | 5.47 | %3 | |||||||||
Portfolio Turnover Rate | 84 | % | 65 | % | 159 | %2 |
1 Per share numbers have been calculated using the average share method.
2 Non-Annualized.
3 Annualized.
* The Corporate Bond Fund Class M Shares commenced operations on June 29, 2018.
See accompanying Notes to Financial Statements.
239 / Annual Report March 2021 |
Table of Contents
Metropolitan West Funds
Financial Highlights
CORPORATE BOND FUND CLASS I* | |||||||||||||||
YEAR |
YEAR | PERIOD ENDED MARCH 31, 2019 | |||||||||||||
Net Asset Value, Beginning of Period | $ | 10.32 | $ | 10.31 | $ | 10.00 | |||||||||
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Income from Investment Operations: | |||||||||||||||
Net investment income1 | 0.40 | 0.91 | 0.43 | ||||||||||||
Net realized and unrealized gain | 0.41 | 0.06 | 0.34 | ||||||||||||
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| ||||||||||
Total Income from Investment Operations | 0.81 | 0.97 | 0.77 | ||||||||||||
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Less Distributions: | |||||||||||||||
From net investment income | (0.43 | ) | (0.89 | ) | (0.43 | ) | |||||||||
From net capital gains | (0.05 | ) | (0.07 | ) | (0.03 | ) | |||||||||
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| ||||||||||
Total Distributions | (0.48 | ) | (0.96 | ) | (0.46 | ) | |||||||||
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Net Asset Value, End of Period | $ | 10.65 | $ | 10.32 | $ | 10.31 | |||||||||
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Total Return | 7.81 | % | 9.46 | % | 7.95 | %2 | |||||||||
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Ratios/Supplemental Data: | |||||||||||||||
Net Assets, end of period (in thousands) | $ | 4,730 | $ | 2,392 | $ | 1,355 | |||||||||
Ratio of Expenses to Average Net Assets | |||||||||||||||
Before expense waivers and reimbursements | 3.54 | % | 8.30 | % | 9.56 | %3 | |||||||||
After expense waivers and reimbursements | 0.50 | % | 0.50 | % | 0.50 | %3 | |||||||||
Ratio of Net Investment Income to Average Net Assets | |||||||||||||||
After expense waivers and reimbursements | 3.64 | % | 8.62 | % | 5.72 | %3 | |||||||||
Portfolio Turnover Rate | 84 | % | 65 | % | 159 | %2 |
1 Per share numbers have been calculated using the average share method.
2 Non-Annualized.
3 Annualized.
* The Corporate Bond Fund Class I Shares commenced operations on June 29, 2018.
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 240 |
Table of Contents
Metropolitan West Funds
Financial Highlights
FLEXIBLE INCOME FUND CLASS M* | |||||||||||||||
YEAR |
YEAR | PERIOD ENDED MARCH 31, 2019 | |||||||||||||
Net Asset Value, Beginning of Period | $ | 9.82 | $ | 10.79 | $ | 10.00 | |||||||||
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| |||||||||||||||
Income from Investment Operations: | |||||||||||||||
Net investment income1 | 0.69 | 1.86 | 0.23 | ||||||||||||
Net realized and unrealized gain (loss) | 0.34 | (0.85 | ) | 0.79 | |||||||||||
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Total Income from Investment Operations | 1.03 | 1.01 | 1.02 | ||||||||||||
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Less Distributions: | |||||||||||||||
From net investment income | (0.97 | ) | (1.98 | ) | (0.23 | ) | |||||||||
From net capital gains | (0.02 | ) | — | — | |||||||||||
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Total Distributions | (0.99 | ) | (1.98 | ) | (0.23 | ) | |||||||||
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Net Asset Value, End of Period | $ | 9.86 | $ | 9.82 | $ | 10.79 | |||||||||
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Total Return | 10.89 | % | 9.82 | % | 10.25 | %2 | |||||||||
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Ratios/Supplemental Data: | |||||||||||||||
Net Assets, end of period (in thousands) | $ | 21,174 | $ | 1 | $ | 1 | |||||||||
Ratio of Expenses to Average Net Assets | |||||||||||||||
Before expense waivers and reimbursements | 1.28 | % | 3.76 | % | 9.18 | %3 | |||||||||
After expense waivers and reimbursements | 0.80 | % | 0.80 | % | 0.80 | %3 | |||||||||
Ratio of Net Investment Income to Average Net Assets | |||||||||||||||
After expense waivers and reimbursements | 7.01 | % | 17.64 | % | 6.76 | %3 | |||||||||
Portfolio Turnover Rate | 177 | % | 122 | % | 80 | %2 |
1 Per share numbers have been calculated using the average share method.
2 Non-Annualized.
3 Annualized.
* The Flexible Income Fund Class M Shares commenced operations on November 30, 2018.
See accompanying Notes to Financial Statements.
241 / Annual Report March 2021 |
Table of Contents
Metropolitan West Funds
Financial Highlights
FLEXIBLE INCOME FUND CLASS I* | |||||||||||||||
YEAR |
YEAR | PERIOD ENDED MARCH 31, 2019 | |||||||||||||
Net Asset Value, Beginning of Period | $ | 9.82 | $ | 10.78 | $ | 10.00 | |||||||||
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Income from Investment Operations: | |||||||||||||||
Net investment income1 | 0.73 | 1.90 | 0.24 | ||||||||||||
Net realized and unrealized gain (loss) | 0.30 | (0.85 | ) | 0.78 | |||||||||||
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| ||||||||||
Total Income from Investment Operations | 1.03 | 1.05 | 1.02 | ||||||||||||
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| |||||||||||||||
Less Distributions: | |||||||||||||||
From net investment income | (0.97 | ) | (2.01 | ) | (0.24 | ) | |||||||||
From net capital gains | (0.02 | ) | — | — | |||||||||||
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| ||||||||||
Total Distributions | (0.99 | ) | (2.01 | ) | (0.24 | ) | |||||||||
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| ||||||||||
Net Asset Value, End of Period | $ | 9.86 | $ | 9.82 | $ | 10.78 | |||||||||
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Total Return | 10.83 | % | 10.14 | % | 10.24 | %2 | |||||||||
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Ratios/Supplemental Data: | |||||||||||||||
Net Assets, end of period (in thousands) | $ | 158,834 | $ | 8,934 | $ | 5,435 | |||||||||
Ratio of Expenses to Average Net Assets | |||||||||||||||
Before expense waivers and reimbursements | 1.01 | % | 3.51 | % | 8.82 | %3 | |||||||||
After expense waivers and reimbursements | 0.55 | % | 0.55 | % | 0.55 | %3 | |||||||||
Ratio of Net Investment Income to Average Net Assets | |||||||||||||||
After expense waivers and reimbursements | 7.41 | % | 18.14 | % | 7.16 | %3 | |||||||||
Portfolio Turnover Rate | 177 | % | 122 | % | 80 | %2 |
1 Per share numbers have been calculated using the average share method.
2 Non-Annualized.
3 Annualized.
* The Flexible Income Fund Class I Shares commenced operations on November 30, 2018.
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 242 |
Table of Contents
Metropolitan West Funds
Financial Highlights
FLOATING RATE INCOME FUND CLASS M | |||||||||||||||||||||||||
YEAR | YEAR ENDED MARCH 31, 2020 | YEAR ENDED MARCH 31, 2019 | YEAR ENDED MARCH 31, 2018 | YEAR ENDED MARCH 31, 2017 | |||||||||||||||||||||
Net Asset Value, Beginning of Year | $ | 8.98 | $ | 9.90 | $ | 10.06 | $ | 10.06 | $ | 9.80 | |||||||||||||||
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Income from Investment Operations: | |||||||||||||||||||||||||
Net investment income1 | 0.30 | 0.42 | 0.42 | 0.36 | 0.33 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.97 | (0.92 | ) | (0.15 | ) | — | 0.26 | ||||||||||||||||||
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Total Income (Loss) from Investment Operations | 1.27 | (0.50 | ) | 0.27 | 0.36 | 0.59 | |||||||||||||||||||
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Less Distributions: | |||||||||||||||||||||||||
From net investment income | (0.30 | ) | (0.42 | ) | (0.43 | ) | (0.36 | ) | (0.33 | ) | |||||||||||||||
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Net Asset Value, End of Year | $ | 9.95 | $ | 8.98 | $ | 9.90 | $ | 10.06 | $ | 10.06 | |||||||||||||||
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| ||||||||||||||||
Total Return | 14.30 | % | (5.36 | )% | 2.72 | % | 3.61 | % | 6.08 | % | |||||||||||||||
| |||||||||||||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||
Net Assets, end of year (in thousands) | $ | 13,815 | $ | 6,084 | $ | 11,229 | $ | 15,802 | $ | 25,072 | |||||||||||||||
Ratio of Expenses to Average Net Assets | |||||||||||||||||||||||||
Before expense waivers and reimbursements | 0.99 | % | 1.00 | % | 1.03 | % | 1.04 | % | 1.05 | % | |||||||||||||||
After expense waivers and reimbursements | 0.90 | % | 0.90 | % | 0.90 | % | 0.90 | % | 0.90 | % | |||||||||||||||
Ratio of Net Investment Income to Average Net Assets | |||||||||||||||||||||||||
After expense waivers and reimbursements | 3.05 | % | 4.27 | % | 4.23 | % | 3.53 | % | 3.28 | % | |||||||||||||||
Portfolio Turnover Rate | 38 | % | 51 | % | 52 | % | 71 | % | 40 | % |
1 Per share numbers have been calculated using the average share method.
See accompanying Notes to Financial Statements.
243 / Annual Report March 2021 |
Table of Contents
Metropolitan West Funds
Financial Highlights
FLOATING RATE INCOME FUND CLASS I | |||||||||||||||||||||||||
YEAR | YEAR ENDED MARCH 31, 2020 | YEAR ENDED MARCH 31, 2019 | YEAR ENDED MARCH 31, 2018 | YEAR ENDED MARCH 31, 2017 | |||||||||||||||||||||
Net Asset Value, Beginning of Year | $ 8.98 | $ 9.90 | $ 10.05 | $ 10.06 | $ 9.80 | ||||||||||||||||||||
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| |||||||||||||||||||||||||
Income from Investment Operations: | |||||||||||||||||||||||||
Net investment income1 | 0.32 | 0.44 | 0.45 | 0.38 | 0.35 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.97 | (0.92 | ) | (0.15 | ) | (0.01 | ) | 0.26 | |||||||||||||||||
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Total Income (Loss) from Investment Operations | 1.29 | (0.48 | ) | 0.30 | 0.37 | 0.61 | |||||||||||||||||||
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| |||||||||||||||||||||||||
Less Distributions: | |||||||||||||||||||||||||
From net investment income | (0.32 | ) | (0.44 | ) | (0.45 | ) | (0.38 | ) | (0.35 | ) | |||||||||||||||
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Net Asset Value, End of Year | $ 9.95 | $ 8.98 | $ 9.90 | $ 10.05 | $ 10.06 | ||||||||||||||||||||
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| ||||||||||||||||
Total Return | 14.52 | % | (5.17 | )% | 3.03 | % | 3.72 | % | 6.29 | % | |||||||||||||||
| |||||||||||||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||
Net Assets, end of year (in thousands) | $417,927 | $250,187 | $262,407 | $237,759 | $206,276 | ||||||||||||||||||||
Ratio of Expenses to Average Net Assets | |||||||||||||||||||||||||
Before expense waivers and reimbursements | 0.70 | %2 | 0.70 | % | 0.71 | % | 0.72 | % | 0.75 | % | |||||||||||||||
After expense waivers and reimbursements | 0.70 | % | 0.70 | % | 0.70 | % | 0.70 | % | 0.70 | % | |||||||||||||||
Ratio of Net Investment Income to Average Net Assets | |||||||||||||||||||||||||
After expense waivers and reimbursements | 3.25 | % | 4.47 | % | 4.50 | % | 3.77 | % | 3.48 | % | |||||||||||||||
Portfolio Turnover Rate | 38 | % | 51 | % | 52 | % | 71 | % | 40 | % |
1 Per share numbers have been calculated using the average share method.
2 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.
Annual Report March 2021 / 244 |
Table of Contents
Metropolitan West Funds
Financial Highlights
FLOATING RATE INCOME FUND PLAN CLASS* | |||||
PERIOD | |||||
Net Asset Value, Beginning of Period | $9.97 | ||||
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| ||||
| |||||
Income from Investment Operations: | |||||
Net investment income1 | 0.05 | ||||
Net realized and unrealized loss | (0.02 | ) | |||
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| ||||
Total Income from Investment Operations | 0.03 | ||||
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| ||||
| |||||
Less Distributions: | |||||
From net investment income | (0.05 | ) | |||
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| ||||
Net Asset Value, End of Period | $9.95 | ||||
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| ||||
Total Return | 0.31 | %2 | |||
| |||||
Ratios/Supplemental Data: | |||||
Net Assets, end of period | $ 100 | 3 | |||
Ratio of Expenses to Average Net Assets | |||||
Before expense waivers and reimbursements | 0.62 | %4 | |||
After expense waivers and reimbursements | 0.56 | %4 | |||
Ratio of Net Investment Income to Average Net Assets | |||||
After expense waivers and reimbursements | 3.15 | %4 | |||
Portfolio Turnover Rate | 38 | %2 |
1 Per share numbers have been calculated using the average share method.
2 Non-Annualized.
3 Represents the whole number without rounding to the 000s.
4 Annualized.
* The Floating Rate Income Fund Plan Class Shares commenced operations on January 29, 2021.
See accompanying Notes to Financial Statements. |
245 / Annual Report March 2021 |
Table of Contents
Metropolitan West Funds
Financial Highlights
HIGH YIELD BOND FUND CLASS M | |||||||||||||||||||||||||
YEAR ENDED MARCH 31, 2021 | YEAR ENDED MARCH 31, 2020 | YEAR ENDED MARCH 31, 20191 | YEAR ENDED MARCH 31, 20181 | YEAR ENDED MARCH 31, 20171 | |||||||||||||||||||||
Net Asset Value, Beginning of Year | $ 9.27 | $ 9.66 | $ 9.55 | $ 9.60 | $ 9.09 | ||||||||||||||||||||
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Income from Investment Operations: | |||||||||||||||||||||||||
Net investment income2 | 0.36 | 0.40 | 0.41 | 0.34 | 0.34 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | 1.31 | (0.39 | ) | 0.11 | (0.05 | ) | 0.50 | ||||||||||||||||||
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Total Income from Investment Operations | 1.67 | 0.01 | 0.52 | 0.29 | 0.84 | ||||||||||||||||||||
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| |||||||||||||||||||||||||
Less Distributions: | |||||||||||||||||||||||||
From net investment income | (0.37 | ) | (0.40 | ) | (0.41 | ) | (0.34 | ) | (0.33 | ) | |||||||||||||||
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Net Asset Value, End of Year | $ 10.57 | $ 9.27 | $ 9.66 | $ 9.55 | $ 9.60 | ||||||||||||||||||||
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Total Return | 18.14 | % | (0.06 | )% | 5.57 | % | 3.01 | % | 9.35 | % | |||||||||||||||
| |||||||||||||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||
Net Assets, end of year (in thousands) | $198,337 | $126,587 | $187,339 | $211,021 | $344,328 | ||||||||||||||||||||
Ratio of Expenses to Average Net Assets | |||||||||||||||||||||||||
Before expense waivers and reimbursements | 0.91 | % | 0.93 | % | 0.92 | % | 0.91 | % | 0.89 | % | |||||||||||||||
After expense waivers and reimbursements | 0.85 | % | 0.85 | % | 0.85 | % | 0.85 | % | 0.85 | % | |||||||||||||||
Ratio of Net Investment Income to Average Net Assets | |||||||||||||||||||||||||
After expense waivers and reimbursements | 3.53 | % | 4.07 | % | 4.33 | % | 3.47 | % | 3.55 | % | |||||||||||||||
Portfolio Turnover Rate | 108 | % | 181 | % | 120 | % | 167 | % | 185 | % |
1 Consolidated Financial Highlights.
2 Per share numbers have been calculated using the average share method.
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 246 |
Table of Contents
Metropolitan West Funds
Financial Highlights
HIGH YIELD BOND FUND CLASS I | |||||||||||||||||||||||||
YEAR ENDED MARCH 31, 2021 | YEAR ENDED MARCH 31, 2020 | YEAR ENDED MARCH 31, 20191 | YEAR ENDED MARCH 31, 20181 | YEAR ENDED MARCH 31, 20171 | |||||||||||||||||||||
Net Asset Value, Beginning of Year | $ 9.26 | $ 9.65 | $ 9.55 | $ 9.60 | $ 9.09 | ||||||||||||||||||||
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Income from Investment Operations: | |||||||||||||||||||||||||
Net investment income2 | 0.39 | 0.42 | 0.44 | 0.36 | 0.36 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | 1.31 | (0.39 | ) | 0.09 | (0.05 | ) | 0.50 | ||||||||||||||||||
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| ||||||||||||||||
Total Income from Investment Operations | 1.70 | 0.03 | 0.53 | 0.31 | 0.86 | ||||||||||||||||||||
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| |||||||||||||||||||||||||
Less Distributions: | |||||||||||||||||||||||||
From net investment income | (0.39 | ) | (0.42 | ) | (0.43 | ) | (0.36 | ) | (0.35 | ) | |||||||||||||||
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Net Asset Value, End of Year | $ 10.57 | $ 9.26 | $ 9.65 | $ 9.55 | $ 9.60 | ||||||||||||||||||||
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Total Return | 18.56 | % | 0.19 | % | 5.72 | % | 3.27 | % | 9.62 | % | |||||||||||||||
| |||||||||||||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||
Net Assets, end of year (in thousands) | $572,082 | $289,352 | $293,241 | $393,368 | $532,071 | ||||||||||||||||||||
Ratio of Expenses to Average Net Assets | |||||||||||||||||||||||||
Before expense waivers and reimbursements | 0.61 | % | 0.62 | % | 0.63 | % | 0.63 | % | 0.62 | % | |||||||||||||||
After expense waivers and reimbursements | 0.60 | % | 0.60 | % | 0.60 | % | 0.60 | % | 0.60 | % | |||||||||||||||
Ratio of Net Investment Income to Average Net Assets | |||||||||||||||||||||||||
After expense waivers and reimbursements | 3.77 | % | 4.33 | % | 4.58 | % | 3.74 | % | 3.78 | % | |||||||||||||||
Portfolio Turnover Rate | 108 | % | 181 | % | 120 | % | 167 | % | 185 | % |
1 Consolidated Financial Highlights.
2 Per share numbers have been calculated using the average share method.
See accompanying Notes to Financial Statements. |
247 / Annual Report March 2021 |
Table of Contents
Metropolitan West Funds
Financial Highlights
INTERMEDIATE BOND FUND CLASS M | |||||||||||||||||||||||||
YEAR | YEAR ENDED MARCH 31, 2020 | YEAR ENDED MARCH 31, 2019 | YEAR ENDED MARCH 31, 2018 | YEAR ENDED MARCH 31, 2017 | |||||||||||||||||||||
Net Asset Value, Beginning of Year | $ | 10.65 | $ | 10.37 | $ | 10.21 | $ | 10.37 | $ | 10.58 | |||||||||||||||
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Income from Investment Operations: | |||||||||||||||||||||||||
Net investment income1 | 0.13 | 0.26 | 0.25 | 0.18 | 0.14 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.36 | 0.28 | 0.17 | (0.16 | ) | (0.09 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total Income from Investment Operations | 0.49 | 0.54 | 0.42 | 0.02 | 0.05 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
| |||||||||||||||||||||||||
Less Distributions: | |||||||||||||||||||||||||
From net investment income | (0.13 | ) | (0.26 | ) | (0.26 | ) | (0.18 | ) | (0.15 | ) | |||||||||||||||
From net capital gains | (0.27 | ) | — | — | — | (0.11 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total Distributions | (0.40 | ) | (0.26 | ) | (0.26 | ) | (0.18 | ) | (0.26 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net Asset Value, End of Year | $ | 10.74 | $ | 10.65 | $ | 10.37 | $ | 10.21 | $ | 10.37 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total Return | 4.63 | % | 5.27 | % | 4.15 | % | 0.19 | % | 0.43 | % | |||||||||||||||
| |||||||||||||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||
Net Assets, end of year (in thousands) | $ | 36,452 | $ | 33,836 | $ | 35,343 | $ | 52,942 | $ | 92,642 | |||||||||||||||
Ratio of Expenses to Average Net Assets | |||||||||||||||||||||||||
Before expense waivers and reimbursements | 0.71 | % | 0.71 | % | 0.69 | % | 0.70 | %2 | 0.70 | %3 | |||||||||||||||
After expense waivers and reimbursements | 0.70 | % | 0.70 | % | 0.69 | % | 0.70 | % | 0.70 | % | |||||||||||||||
Ratio of Net Investment Income to Average Net Assets | |||||||||||||||||||||||||
After expense waivers and reimbursements | 1.22 | % | 2.49 | % | 2.49 | % | 1.71 | % | 1.35 | % | |||||||||||||||
Portfolio Turnover Rate | 372 | % | 393 | % | 277 | % | 251 | % | 252 | % |
1 Per share numbers have been calculated using the average share method.
2 Includes recoupment of past waived fees. Excluding the recoupment of past waived fees, the ratio would have been 0.67%.
3 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.
Annual Report March 2021 / 248 |
Table of Contents
Metropolitan West Funds
Financial Highlights
INTERMEDIATE | |||||||||||||||||||||||||
YEAR | YEAR ENDED MARCH 31, 2020 | YEAR ENDED MARCH 31, 2019 | YEAR ENDED MARCH 31, 2018 | YEAR ENDED MARCH 31, 2017 | |||||||||||||||||||||
Net Asset Value, Beginning of Year | $ 10.65 | $ 10.36 | $ 10.21 | $ 10.37 | $ 10.58 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
| |||||||||||||||||||||||||
Income from Investment Operations: | |||||||||||||||||||||||||
Net investment income1 | 0.16 | 0.29 | 0.28 | 0.20 | 0.17 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.35 | 0.28 | 0.15 | (0.15 | ) | (0.10 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total Income from Investment Operations | 0.51 | 0.57 | 0.43 | 0.05 | 0.07 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
| |||||||||||||||||||||||||
Less Distributions: | |||||||||||||||||||||||||
From net investment income | (0.16 | ) | (0.28 | ) | (0.28 | ) | (0.21 | ) | (0.17 | ) | |||||||||||||||
From net capital gains | (0.27 | ) | — | — | — | (0.11 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total Distributions | (0.43 | ) | (0.28 | ) | (0.28 | ) | (0.21 | ) | (0.28 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net Asset Value, End of Year | $ 10.73 | $ 10.65 | $ 10.36 | $ 10.21 | $ 10.37 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total Return | 4.76 | % | 5.60 | % | 4.29 | % | 0.43 | % | 0.68 | % | |||||||||||||||
| |||||||||||||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||
Net Assets, end of year (in thousands) | $766,063 | $693,038 | $708,645 | $768,254 | $1,064,551 | ||||||||||||||||||||
Ratio of Expenses to Average Net Assets | |||||||||||||||||||||||||
Before expense waivers and reimbursements | 0.48 | % | 0.48 | % | 0.47 | % | 0.46 | % | 0.45 | % | |||||||||||||||
After expense waivers and reimbursements | 0.48 | % | 0.48 | % | 0.47 | % | 0.46 | % | 0.45 | % | |||||||||||||||
Ratio of Net Investment Income to Average Net Assets | |||||||||||||||||||||||||
After expense waivers and reimbursements | 1.44 | % | 2.69 | % | 2.74 | % | 1.97 | % | 1.63 | % | |||||||||||||||
Portfolio Turnover Rate | 372 | % | 393 | % | 277 | % | 251 | % | 252 | % |
1 Per share numbers have been calculated using the average share method.
See accompanying Notes to Financial Statements.
249 / Annual Report March 2021 |
Table of Contents
Metropolitan West Funds
Financial Highlights
INVESTMENT GRADE CREDIT FUND CLASS M* | |||||||||||||||
YEAR |
YEAR | PERIOD ENDED MARCH 31, 2019 | |||||||||||||
Net Asset Value, Beginning of Period | $ | 9.65 | $ | 10.31 | $ | 10.00 | |||||||||
|
|
|
|
|
| ||||||||||
| |||||||||||||||
Income from Investment Operations: | |||||||||||||||
Net investment income1 | 0.59 | 1.05 | 0.55 | ||||||||||||
Net realized and unrealized gain (loss) | 0.17 | (0.55 | ) | 0.33 | |||||||||||
|
|
|
|
|
| ||||||||||
Total Income from Investment Operations | 0.76 | 0.50 | 0.88 | ||||||||||||
|
|
|
|
|
| ||||||||||
| |||||||||||||||
Less Distributions: | |||||||||||||||
From net investment income | (0.63 | ) | (1.05 | ) | (0.55 | ) | |||||||||
From net capital gains | (0.11 | ) | (0.11 | ) | (0.02 | ) | |||||||||
|
|
|
|
|
| ||||||||||
Total Distributions | (0.74 | ) | (1.16 | ) | (0.57 | ) | |||||||||
|
|
|
|
|
| ||||||||||
Net Asset Value, End of Period | $ | 9.67 | $ | 9.65 | $ | 10.31 | |||||||||
|
|
|
|
|
| ||||||||||
Total Return | 7.97 | % | 4.80 | % | 9.02 | %2 | |||||||||
| |||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||
Net Assets, end of period (in thousands) | $ | 2,126 | $ | 837 | $ | 799 | |||||||||
Ratio of Expenses to Average Net Assets | |||||||||||||||
Before expense waivers and reimbursements | 2.93 | % | 3.86 | % | 4.78 | %3 | |||||||||
After expense waivers and reimbursements | 0.70 | % | 0.70 | % | 0.70 | %3 | |||||||||
Ratio of Net Investment Income to Average Net Assets | |||||||||||||||
After expense waivers and reimbursements | 6.02 | % | 10.33 | % | 7.20 | %3 | |||||||||
Portfolio Turnover Rate | 92 | % | 76 | % | 199 | %2 |
1 Per share numbers have been calculated using the average share method.
2 Non-Annualized.
3 Annualized.
* The Investment Grade Credit Fund Class M Shares commenced operations on June 29, 2018.
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 250 |
Table of Contents
Metropolitan West Funds
Financial Highlights
INVESTMENT GRADE CREDIT FUND CLASS I* | |||||||||||||||
YEAR |
YEAR | PERIOD ENDED MARCH 31, 2019 | |||||||||||||
Net Asset Value, Beginning of Period | $ 9.65 | $10.31 | $10.00 | ||||||||||||
|
|
|
|
|
| ||||||||||
| |||||||||||||||
Income from Investment Operations: | |||||||||||||||
Net investment income1 | 0.65 | 1.07 | 0.55 | ||||||||||||
Net realized and unrealized gain (loss) | 0.13 | (0.55 | ) | 0.34 | |||||||||||
|
|
|
|
|
| ||||||||||
Total Income from Investment Operations | 0.78 | 0.52 | 0.89 | ||||||||||||
|
|
|
|
|
| ||||||||||
| |||||||||||||||
Less Distributions: | |||||||||||||||
From net investment income | (0.65 | ) | (1.07 | ) | (0.56 | ) | |||||||||
From net capital gains | (0.11 | ) | (0.11 | ) | (0.02 | ) | |||||||||
|
|
|
|
|
| ||||||||||
Total Distributions | (0.76 | ) | (1.18 | ) | (0.58 | ) | |||||||||
|
|
|
|
|
| ||||||||||
Net Asset Value, End of Period | $ 9.67 | $ 9.65 | $10.31 | ||||||||||||
|
|
|
|
|
| ||||||||||
Total Return | 8.20 | % | 5.02 | % | 9.20 | %2 | |||||||||
| |||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||
Net Assets, end of period (in thousands) | $10,105 | $6,431 | $5,081 | ||||||||||||
Ratio of Expenses to Average Net Assets | |||||||||||||||
Before expense waivers and reimbursements | 2.68 | % | 3.61 | % | 4.53 | %3 | |||||||||
After expense waivers and reimbursements | 0.49 | % | 0.49 | % | 0.49 | %3 | |||||||||
Ratio of Net Investment Income to Average Net Assets | |||||||||||||||
After expense waivers and reimbursements | 6.56 | % | 10.54 | % | 7.29 | %3 | |||||||||
Portfolio Turnover Rate | 92 | % | 76 | % | 199 | %2 |
1 Per share numbers have been calculated using the average share method.
2 Non-Annualized.
3 Annualized.
* The Investment Grade Credit Fund Class I Shares commenced operations on June 29, 2018.
See accompanying Notes to Financial Statements.
251 / Annual Report March 2021 |
Table of Contents
Metropolitan West Funds
Financial Highlights
LOW DURATION BOND FUND CLASS M | |||||||||||||||||||||||||
YEAR | YEAR ENDED MARCH 31, 2020 | YEAR ENDED MARCH 31, 2019 | YEAR ENDED MARCH 31, 2018 | YEAR ENDED MARCH 31, 2017 | |||||||||||||||||||||
Net Asset Value, Beginning of Year | $ 8.65 | $ 8.68 | $ 8.63 | $ 8.72 | $ 8.73 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
| |||||||||||||||||||||||||
Income from Investment Operations: | |||||||||||||||||||||||||
Net investment income1 | 0.11 | 0.20 | 0.20 | 0.13 | 0.10 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.23 | (0.03 | ) | 0.05 | (0.09 | ) | (0.00 | )2 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total Income from Investment Operations | 0.34 | 0.17 | 0.25 | 0.04 | 0.10 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
| |||||||||||||||||||||||||
Less Distributions: | |||||||||||||||||||||||||
From net investment income | (0.11 | ) | (0.20 | ) | (0.20 | ) | (0.13 | ) | (0.10 | ) | |||||||||||||||
From net capital gains | — | — | — | — | (0.01 | ) | |||||||||||||||||||
Return of capital | — | — | (0.00 | )2 | — | — | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total Distributions | (0.11 | ) | (0.20 | ) | (0.20 | ) | (0.13 | ) | (0.11 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net Asset Value, End of Year | $ 8.88 | $ 8.65 | $ 8.68 | $ 8.63 | $ 8.72 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total Return | 3.91 | % | 1.93 | % | 2.93 | % | 0.48 | % | 1.25 | % | |||||||||||||||
| |||||||||||||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||
Net Assets, end of year (in thousands) | $445,538 | $449,701 | $580,434 | $975,388 | $1,284,692 | ||||||||||||||||||||
Ratio of Expenses to Average Net Assets | |||||||||||||||||||||||||
Before expense waivers and reimbursements | 0.62 | % | 0.62 | % | 0.62 | % | 0.62 | % | 0.61 | % | |||||||||||||||
After expense waivers and reimbursements | 0.62 | % | 0.62 | % | 0.62 | % | 0.62 | % | 0.61 | % | |||||||||||||||
Ratio of Net Investment Income to Average Net Assets | |||||||||||||||||||||||||
After expense waivers and reimbursements | 1.22 | % | 2.32 | % | 2.29 | % | 1.45 | % | 1.19 | % | |||||||||||||||
Portfolio Turnover Rate | 256 | % | 233 | % | 174 | % | 200 | % | 95 | % |
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.
Annual Report March 2021 / 252 |
Table of Contents
Metropolitan West Funds
Financial Highlights
LOW DURATION BOND FUND CLASS I | |||||||||||||||||||||||||
YEAR | YEAR ENDED MARCH 31, 2020 | YEAR ENDED MARCH 31, 2019 | YEAR ENDED MARCH 31, 2018 | YEAR ENDED MARCH 31, 2017 | |||||||||||||||||||||
Net Asset Value, Beginning of Year | $ 8.65 | $ 8.68 | $ 8.64 | $ 8.72 | $ 8.73 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
| |||||||||||||||||||||||||
Income from Investment Operations: | |||||||||||||||||||||||||
Net investment income1 | 0.12 | 0.22 | 0.22 | 0.15 | 0.12 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.24 | (0.03 | ) | 0.04 | (0.08 | ) | (0.00 | )2 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total Income from Investment Operations | 0.36 | 0.19 | 0.26 | 0.07 | 0.12 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
| |||||||||||||||||||||||||
Less Distributions: | |||||||||||||||||||||||||
From net investment income | (0.13 | ) | (0.22 | ) | (0.22 | ) | (0.15 | ) | (0.12 | ) | |||||||||||||||
From net capital gains | — | — | — | — | (0.01 | ) | |||||||||||||||||||
Return of capital | — | — | (0.00 | )2 | — | — | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total Distributions | (0.13 | ) | (0.22 | ) | (0.22 | ) | (0.15 | ) | (0.13 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net Asset Value, End of Year | $ 8.88 | $ 8.65 | $ 8.68 | $ 8.64 | $ 8.72 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total Return | 4.12 | % | 2.14 | % | 3.03 | % | 0.81 | % | 1.46 | % | |||||||||||||||
| |||||||||||||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||
Net Assets, end of year (in thousands) | $2,034,540 | $1,456,456 | $1,578,279 | $1,685,415 | $1,816,633 | ||||||||||||||||||||
Ratio of Expenses to Average Net Assets | |||||||||||||||||||||||||
Before expense waivers and reimbursements | 0.42 | % | 0.42 | % | 0.41 | % | 0.40 | % | 0.40 | % | |||||||||||||||
After expense waivers and reimbursements | 0.42 | % | 0.42 | % | 0.41 | % | 0.40 | % | 0.40 | % | |||||||||||||||
Ratio of Net Investment Income to Average Net Assets | |||||||||||||||||||||||||
After expense waivers and reimbursements | 1.39 | % | 2.51 | % | 2.53 | % | 1.68 | % | 1.40 | % | |||||||||||||||
Portfolio Turnover Rate | 256 | % | 233 | % | 174 | % | 200 | % | 95 | % |
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.
253 / Annual Report March 2021 |
Table of Contents
Metropolitan West Funds
Financial Highlights
LOW DURATION BOND FUND ADMINISTRATIVE CLASS | |||||||||||||||||||||||||
YEAR | YEAR ENDED MARCH 31, 2020 | YEAR ENDED MARCH 31, 2019 | YEAR ENDED MARCH 31, 2018 | YEAR ENDED MARCH 31, 2017 | |||||||||||||||||||||
Net Asset Value, Beginning of Year | $ | 11.18 | $ | 11.21 | $ | 11.16 | $ | 11.27 | $ | 11.27 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
| |||||||||||||||||||||||||
Income from Investment Operations: | |||||||||||||||||||||||||
Net investment income1 | 0.13 | 0.26 | 0.23 | 0.15 | 0.12 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.30 | (0.05 | ) | 0.06 | (0.10 | ) | (0.01 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total Income from Investment Operations | 0.43 | 0.21 | 0.29 | 0.05 | 0.13 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
| |||||||||||||||||||||||||
Less Distributions: | |||||||||||||||||||||||||
From net investment income | (0.13 | ) | (0.24 | ) | (0.24 | ) | (0.16 | ) | (0.12 | ) | |||||||||||||||
From net capital gains | — | — | — | — | (0.01 | ) | |||||||||||||||||||
Return of capital | — | — | (0.00 | )2 | — | — | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total Distributions | (0.13 | ) | (0.24 | ) | (0.24 | ) | (0.16 | ) | (0.13 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net Asset Value, End of Year | $ | 11.48 | $ | 11.18 | $ | 11.21 | $ | 11.16 | $ | 11.27 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total Return | 3.83 | % | 1.90 | % | 2.68 | % | 0.43 | % | 1.22 | % | |||||||||||||||
| |||||||||||||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||
Net Assets, end of year (in thousands) | $ | 88 | $ | 94 | $ | 415 | $ | 5,374 | $ | 7,210 | |||||||||||||||
Ratio of Expenses to Average Net Assets | |||||||||||||||||||||||||
Before expense waivers and reimbursements | 0.73 | % | 0.72 | % | 0.72 | % | 0.72 | % | 0.72 | % | |||||||||||||||
After expense waivers and reimbursements | 0.73 | % | 0.72 | % | 0.72 | % | 0.72 | % | 0.72 | % | |||||||||||||||
Ratio of Net Investment Income to Average Net Assets | |||||||||||||||||||||||||
After expense waivers and reimbursements | 1.11 | % | 2.27 | % | 2.02 | % | 1.35 | % | 1.08 | % | |||||||||||||||
Portfolio Turnover Rate | 256 | % | 233 | % | 174 | % | 200 | % | 95 | % |
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.
Annual Report March 2021 / 254 |
Table of Contents
Metropolitan West Funds
Financial Highlights
STRATEGIC INCOME FUND CLASS M | |||||||||||||||||||||||||
YEAR | YEAR ENDED MARCH 31, 2020 | YEAR ENDED MARCH 31, 2019 | YEAR ENDED MARCH 31, 2018 | YEAR ENDED MARCH 31, 2017 | |||||||||||||||||||||
Net Asset Value, Beginning of Year | $ | 7.29 | $ | 7.89 | $ | 7.99 | $ | 8.05 | $ | 7.99 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
| |||||||||||||||||||||||||
Income from Investment Operations: | |||||||||||||||||||||||||
Net investment income1 | 0.47 | 0.31 | 0.32 | 0.25 | 0.27 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.54 | (0.60 | ) | (0.09 | ) | (0.03 | ) | 0.04 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total Income (Loss) from Investment Operations | 1.01 | (0.29 | ) | 0.23 | 0.22 | 0.31 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
| |||||||||||||||||||||||||
Less Distributions: | |||||||||||||||||||||||||
From net investment income | (0.47 | ) | (0.31 | ) | (0.33 | ) | (0.28 | ) | (0.25 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net Asset Value, End of Year | $ | 7.83 | $ | 7.29 | $ | 7.89 | $ | 7.99 | $ | 8.05 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total Return | 14.14 | % | (3.86 | )% | 3.01 | % | 2.78 | % | 3.91 | % | |||||||||||||||
| |||||||||||||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||
Net Assets, end of year (in thousands) | $ | 15,471 | $ | 10,413 | $ | 17,908 | $ | 26,420 | $ | 44,430 | |||||||||||||||
Ratio of Expenses to Average Net Assets | |||||||||||||||||||||||||
Before expense waivers and reimbursements | 2.73 | % | 2.43 | % | 1.84 | %2 | 2.45 | % | 2.09 | % | |||||||||||||||
After expense waivers and reimbursements | 2.28 | % | 2.35 | % | 1.84 | % | 2.35 | % | 2.09 | % | |||||||||||||||
Ratio of Net Investment Income to Average Net Assets | |||||||||||||||||||||||||
After expense waivers and reimbursements | 6.12 | % | 3.95 | % | 4.10 | % | 3.15 | % | 3.36 | % | |||||||||||||||
Portfolio Turnover Rate | 24 | % | 50 | % | 36 | % | 32 | % | 42 | % |
1 Per share numbers have been calculated using the average share method.
2 Includes recoupment of past waived fees. Excluding the recoupment of past waived fees, the ratio would have been 1.67%.
See accompanying Notes to Financial Statements.
255 / Annual Report March 2021 |
Table of Contents
Metropolitan West Funds
Financial Highlights
STRATEGIC INCOME FUND CLASS I | |||||||||||||||||||||||||
YEAR | YEAR ENDED MARCH 31, 2020 | YEAR ENDED MARCH 31, 2019 | YEAR ENDED MARCH 31, 2018 | YEAR ENDED MARCH 31, 2017 | |||||||||||||||||||||
Net Asset Value, Beginning of Year | $ | 7.29 | $ | 7.89 | $ | 7.98 | $ | 8.05 | $ | 7.98 | |||||||||||||||
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|
|
|
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| ||||||||||||||||
| |||||||||||||||||||||||||
Income from Investment Operations: | |||||||||||||||||||||||||
Net investment income1 | 0.46 | 0.33 | 0.35 | 0.27 | 0.29 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.56 | (0.60 | ) | (0.09 | ) | (0.04 | ) | 0.05 | |||||||||||||||||
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| ||||||||||||||||
Total Income (Loss) from Investment Operations | 1.02 | (0.27 | ) | 0.26 | 0.23 | 0.34 | |||||||||||||||||||
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| ||||||||||||||||
| |||||||||||||||||||||||||
Less Distributions: | |||||||||||||||||||||||||
From net investment income | (0.48 | ) | (0.33 | ) | (0.35 | ) | (0.30 | ) | (0.27 | ) | |||||||||||||||
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| ||||||||||||||||
Net Asset Value, End of Year | $ | 7.83 | $ | 7.29 | $ | 7.89 | $ | 7.98 | $ | 8.05 | |||||||||||||||
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| ||||||||||||||||
Total Return | 14.19 | % | (3.61 | )% | 3.41 | % | 2.90 | % | 4.32 | % | |||||||||||||||
| |||||||||||||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||
Net Assets, end of year (in thousands) | $ | 9,799 | $ | 48,252 | $ | 67,310 | $ | 69,791 | $ | 70,556 | |||||||||||||||
Ratio of Expenses to Average Net Assets | |||||||||||||||||||||||||
Before expense waivers and reimbursements | 2.08 | %2 | 2.20 | % | 1.53 | %3 | 2.22 | % | 1.84 | % | |||||||||||||||
After expense waivers and reimbursements | 2.08 | % | 2.10 | % | 1.53 | % | 2.10 | % | 1.84 | % | |||||||||||||||
Ratio of Net Investment Income to Average Net Assets | |||||||||||||||||||||||||
After expense waivers and reimbursements | 5.92 | % | 4.23 | % | 4.45 | % | 3.40 | % | 3.64 | % | |||||||||||||||
Portfolio Turnover Rate | 24 | % | 50 | % | 36 | % | 32 | % | 42 | % |
1 Per share numbers have been calculated using the average share method.
2 Includes recoupment of past waived fees. Excluding the recoupment of past waived fees, the ratio would have been 1.93%.
3 Includes recoupment of past waived fees. Excluding the recoupment of past waived fees, the ratio would have been 1.41%.
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 256 |
Table of Contents
Metropolitan West Funds
Financial Highlights
TOTAL RETURN BOND FUND CLASS M | |||||||||||||||||||||||||
YEAR | YEAR ENDED MARCH 31, 2020 | YEAR ENDED MARCH 31, 2019 | YEAR ENDED MARCH 31, 2018 | YEAR ENDED MARCH 31, 2017 | |||||||||||||||||||||
Net Asset Value, Beginning of Year | $ 11.12 | $ 10.64 | $ 10.46 | $ 10.57 | $ 10.83 | ||||||||||||||||||||
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| ||||||||||||||||
| |||||||||||||||||||||||||
Income from Investment Operations: | |||||||||||||||||||||||||
Net investment income1 | 0.15 | 0.26 | 0.28 | 0.21 | 0.18 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.24 | 0.57 | 0.18 | (0.11 | ) | (0.11 | ) | ||||||||||||||||||
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| ||||||||||||||||
Total Income from Investment Operations | 0.39 | 0.83 | 0.46 | 0.10 | 0.07 | ||||||||||||||||||||
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| ||||||||||||||||
| |||||||||||||||||||||||||
Less Distributions: | |||||||||||||||||||||||||
From net investment income | (0.15 | ) | (0.26 | ) | (0.28 | ) | (0.21 | ) | (0.18 | ) | |||||||||||||||
From net capital gains | (0.54 | ) | (0.09 | ) | — | — | (0.15 | ) | |||||||||||||||||
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|
|
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| ||||||||||||||||
Total Distributions | (0.69 | ) | (0.35 | ) | (0.28 | ) | (0.21 | ) | (0.33 | ) | |||||||||||||||
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| ||||||||||||||||
Net Asset Value, End of Year | $ 10.82 | $ 11.12 | $ 10.64 | $ 10.46 | $ 10.57 | ||||||||||||||||||||
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| ||||||||||||||||
Total Return | 3.31 | % | 7.93 | % | 4.49 | % | 0.94 | % | 0.70 | % | |||||||||||||||
| |||||||||||||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||
Net Assets, end of year (in thousands) | $7,154,434 | $8,979,527 | $9,560,056 | $11,617,735 | $15,223,666 | ||||||||||||||||||||
Ratio of Expenses to Average Net Assets | |||||||||||||||||||||||||
Before expense waivers and reimbursements | 0.67 | % | 0.67 | % | 0.67 | % | 0.67 | % | 0.67 | % | |||||||||||||||
After expense waivers and reimbursements | 0.67 | % | 0.67 | % | 0.67 | % | 0.67 | % | 0.67 | % | |||||||||||||||
Ratio of Net Investment Income to Average Net Assets | |||||||||||||||||||||||||
After expense waivers and reimbursements | 1.28 | % | 2.38 | % | 2.68 | % | 1.96 | % | 1.71 | % | |||||||||||||||
Portfolio Turnover Rate | 470 | % | 405 | % | 255 | % | 291 | % | 313 | % |
1 Per share numbers have been calculated using the average share method.
See accompanying Notes to Financial Statements.
257 / Annual Report March 2021 |
Table of Contents
Metropolitan West Funds
Financial Highlights
TOTAL RETURN BOND FUND CLASS I | |||||||||||||||||||||||||
YEAR | YEAR ENDED MARCH 31, 2020 | YEAR ENDED MARCH 31, 2019 | YEAR ENDED MARCH 31, 2018 | YEAR ENDED MARCH 31, 2017 | |||||||||||||||||||||
Net Asset Value, Beginning of Year | $ 11.12 | $ 10.64 | $ 10.46 | $ 10.57 | $ 10.83 | ||||||||||||||||||||
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| ||||||||||||||||
| |||||||||||||||||||||||||
Income from Investment Operations: | |||||||||||||||||||||||||
Net investment income1 | 0.17 | 0.28 | 0.30 | 0.23 | 0.21 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.24 | 0.57 | 0.18 | (0.11 | ) | (0.11 | ) | ||||||||||||||||||
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| ||||||||||||||||
Total Income from Investment Operations | 0.41 | 0.85 | 0.48 | 0.12 | 0.10 | ||||||||||||||||||||
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| ||||||||||||||||
| |||||||||||||||||||||||||
Less Distributions: | |||||||||||||||||||||||||
From net investment income | (0.17 | ) | (0.28 | ) | (0.30 | ) | (0.23 | ) | (0.21 | ) | |||||||||||||||
From net capital gains | (0.54 | ) | (0.09 | ) | — | — | (0.15 | ) | |||||||||||||||||
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| ||||||||||||||||
Total Distributions | (0.71 | ) | (0.37 | ) | (0.30 | ) | (0.23 | ) | (0.36 | ) | |||||||||||||||
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| ||||||||||||||||
Net Asset Value, End of Year | $ 10.82 | $ 11.12 | $ 10.64 | $ 10.46 | $ 10.57 | ||||||||||||||||||||
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| ||||||||||||||||
Total Return | 3.54 | % | 8.16 | % | 4.72 | % | 1.17 | % | 0.93 | % | |||||||||||||||
| |||||||||||||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||
Net Assets, end of year (in thousands) | $52,980,073 | $46,086,494 | $40,927,700 | $47,327,297 | $49,013,553 | ||||||||||||||||||||
Ratio of Expenses to Average Net Assets | |||||||||||||||||||||||||
Before expense waivers and reimbursements | 0.45 | % | 0.45 | % | 0.44 | % | 0.44 | % | 0.44 | % | |||||||||||||||
After expense waivers and reimbursements | 0.45 | % | 0.45 | % | 0.44 | % | 0.44 | % | 0.44 | % | |||||||||||||||
Ratio of Net Investment Income to Average Net Assets | |||||||||||||||||||||||||
After expense waivers and reimbursements | 1.49 | % | 2.60 | % | 2.91 | % | 2.19 | % | 1.94 | % | |||||||||||||||
Portfolio Turnover Rate | 470 | % | 405 | % | 255 | % | 291 | % | 313 | % |
1 Per share numbers have been calculated using the average share method.
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 258 |
Table of Contents
Metropolitan West Funds
Financial Highlights
TOTAL RETURN BOND FUND CLASS I-2* | ||||||||||
YEAR | PERIOD ENDED MARCH 31, 2020 | |||||||||
Net Asset Value, Beginning of Period | $ | 11.12 | $ | 11.48 | ||||||
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| |||||||
| ||||||||||
Income from Investment Operations: | ||||||||||
Net investment income1 | 0.15 | 0.02 | ||||||||
Net realized and unrealized gain (loss) | 0.27 | (0.36 | ) | |||||||
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| |||||||
Total Income (Loss) from Investment Operations | 0.42 | (0.34 | ) | |||||||
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| |||||||
| ||||||||||
Less Distributions: | ||||||||||
From net investment income | (0.18 | ) | (0.02 | ) | ||||||
From net capital gains | (0.54 | ) | — | |||||||
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| |||||||
Total Distributions | (0.72 | ) | (0.02 | ) | ||||||
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| |||||||
Net Asset Value, End of Period | $ | 10.82 | $ | 11.12 | ||||||
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| |||||||
Total Return | 3.65 | % | (2.93 | )%2 | ||||||
| ||||||||||
Ratios/Supplemental Data: | ||||||||||
Net Assets, end of period (in thousands) | $ | 116,857 | $ | 97 | 3 | |||||
Ratio of Expenses to Average Net Assets | ||||||||||
Before expense waivers and reimbursements | 0.52 | % | 0.33 | %4 | ||||||
After expense waivers and reimbursements | 0.52 | % | 0.33 | %4 | ||||||
Ratio of Net Investment Income to Average Net Assets | ||||||||||
After expense waivers and reimbursements | 1.32 | % | 3.49 | %4 | ||||||
Portfolio Turnover Rate | 470 | % | 405 | %2 |
1 Per share numbers have been calculated using the average share method.
2 Non-Annualized.
3 Represents the whole number without rounding to the 000s.
4 Annualized.
* The Total Return Bond Fund Class I-2 Shares commenced operations on March 6, 2020.
See accompanying Notes to Financial Statements.
259 / Annual Report March 2021 |
Table of Contents
Metropolitan West Funds
Financial Highlights
TOTAL RETURN BOND FUND ADMINISTRATIVE CLASS | |||||||||||||||||||||||||
YEAR | YEAR ENDED MARCH 31, 2020 | YEAR ENDED MARCH 31, 2019 | YEAR ENDED MARCH 31, 2018 | YEAR ENDED MARCH 31, 2017 | |||||||||||||||||||||
Net Asset Value, Beginning of Year | $ 11.13 | $ 10.65 | $ 10.47 | $ 10.58 | $ 10.84 | ||||||||||||||||||||
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| ||||||||||||||||
| |||||||||||||||||||||||||
Income from Investment Operations: | |||||||||||||||||||||||||
Net investment income1 | 0.13 | 0.25 | 0.27 | 0.20 | 0.17 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.24 | 0.57 | 0.18 | (0.11 | ) | (0.11 | ) | ||||||||||||||||||
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| ||||||||||||||||
Total Income from Investment Operations | 0.37 | 0.82 | 0.45 | 0.09 | 0.06 | ||||||||||||||||||||
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| ||||||||||||||||
| |||||||||||||||||||||||||
Less Distributions: | |||||||||||||||||||||||||
From net investment income | (0.13 | ) | (0.25 | ) | (0.27 | ) | (0.20 | ) | (0.17 | ) | |||||||||||||||
From net capital gains | (0.54 | ) | (0.09 | ) | — | — | (0.15 | ) | |||||||||||||||||
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|
|
|
|
|
|
|
|
| ||||||||||||||||
Total Distributions | (0.67 | ) | (0.34 | ) | (0.27 | ) | (0.20 | ) | (0.32 | ) | |||||||||||||||
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|
|
|
|
|
|
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| ||||||||||||||||
Net Asset Value, End of Year | $ 10.83 | $ 11.13 | $ 10.65 | $ 10.47 | $ 10.58 | ||||||||||||||||||||
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|
|
|
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|
| ||||||||||||||||
Total Return | 3.19 | % | 7.80 | % | 4.36 | % | 0.83 | % | 0.59 | % | |||||||||||||||
| |||||||||||||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||
Net Assets, end of year (in thousands) | $2,083,842 | $1,739,034 | $1,011,637 | $975,897 | $768,125 | ||||||||||||||||||||
Ratio of Expenses to Average Net Assets | |||||||||||||||||||||||||
Before expense waivers and reimbursements | 0.78 | % | 0.78 | % | 0.78 | % | 0.78 | % | 0.78 | % | |||||||||||||||
After expense waivers and reimbursements | 0.78 | % | 0.78 | % | 0.78 | % | 0.78 | % | 0.78 | % | |||||||||||||||
Ratio of Net Investment Income to Average Net Assets | |||||||||||||||||||||||||
After expense waivers and reimbursements | 1.15 | % | 2.26 | % | 2.58 | % | 1.87 | % | 1.62 | % | |||||||||||||||
Portfolio Turnover Rate | 470 | % | 405 | % | 255 | % | 291 | % | 313 | % |
1 Per share numbers have been calculated using the average share method.
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 260 |
Table of Contents
Metropolitan West Funds
Financial Highlights
TOTAL RETURN BOND FUND PLAN CLASS | |||||||||||||||||||||||||
YEAR | YEAR ENDED MARCH 31, 2020 | YEAR ENDED MARCH 31, 2019 | YEAR ENDED MARCH 31, 2018 | YEAR ENDED MARCH 31, 2017 | |||||||||||||||||||||
Net Asset Value, Beginning of Year | $ 10.46 | $ 10.01 | $ 9.84 | $ 9.95 | $ 10.20 | ||||||||||||||||||||
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|
|
|
|
|
| ||||||||||||||||
| |||||||||||||||||||||||||
Income from Investment Operations: | |||||||||||||||||||||||||
Net investment income1 | 0.17 | 0.28 | 0.29 | 0.23 | 0.20 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.23 | 0.54 | 0.17 | (0.11 | ) | (0.10 | ) | ||||||||||||||||||
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|
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| ||||||||||||||||
Total Income from Investment Operations | 0.40 | 0.82 | 0.46 | 0.12 | 0.10 | ||||||||||||||||||||
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|
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| ||||||||||||||||
| |||||||||||||||||||||||||
Less Distributions: | |||||||||||||||||||||||||
From net investment income | (0.17 | ) | (0.28 | ) | (0.29 | ) | (0.23 | ) | (0.20 | ) | |||||||||||||||
From net capital gains | (0.54 | ) | (0.09 | ) | — | — | (0.15 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total Distributions | (0.71 | ) | (0.37 | ) | (0.29 | ) | (0.23 | ) | (0.35 | ) | |||||||||||||||
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|
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|
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| ||||||||||||||||
Net Asset Value, End of Year | $ 10.15 | $ 10.46 | $ 10.01 | $ 9.84 | $ 9.95 | ||||||||||||||||||||
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| ||||||||||||||||
Total Return | 3.65 | % | 8.29 | % | 4.80 | % | 1.18 | % | 1.03 | % | |||||||||||||||
| |||||||||||||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||
Net Assets, end of year (in thousands) | $24,605,977 | $23,822,841 | $20,611,577 | $18,363,121 | $13,687,733 | ||||||||||||||||||||
Ratio of Expenses to Average Net Assets | |||||||||||||||||||||||||
Before expense waivers and reimbursements | 0.37 | % | 0.37 | % | 0.37 | % | 0.37 | % | 0.37 | % | |||||||||||||||
After expense waivers and reimbursements | 0.37 | % | 0.37 | % | 0.37 | % | 0.37 | % | 0.37 | % | |||||||||||||||
Ratio of Net Investment Income to Average Net Assets | |||||||||||||||||||||||||
After expense waivers and reimbursements | 1.57 | % | 2.67 | % | 3.00 | % | 2.28 | % | 2.01 | % | |||||||||||||||
Portfolio Turnover Rate | 470 | % | 405 | % | 255 | % | 291 | % | 313 | % |
1 Per share numbers have been calculated using the average share method.
See accompanying Notes to Financial Statements.
261 / Annual Report March 2021 |
Table of Contents
Metropolitan West Funds
Financial Highlights
ULTRA SHORT BOND FUND CLASS M | |||||||||||||||||||||||||
YEAR | YEAR ENDED MARCH 31, 2020 | YEAR ENDED MARCH 31, 2019 | YEAR ENDED MARCH 31, 2018 | YEAR ENDED MARCH 31, 2017 | |||||||||||||||||||||
Net Asset Value, Beginning of Year | $ 4.23 | $ 4.26 | $ 4.25 | $ 4.27 | $ 4.27 | ||||||||||||||||||||
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|
|
|
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|
| ||||||||||||||||
| |||||||||||||||||||||||||
Income from Investment Operations: | |||||||||||||||||||||||||
Net investment income1 | 0.02 | 0.11 | 0.09 | 0.05 | 0.04 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.02 | (0.03 | ) | 0.01 | (0.02 | ) | 0.01 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total Income from Investment Operations | 0.04 | 0.08 | 0.10 | 0.03 | 0.05 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
| |||||||||||||||||||||||||
Less Distributions: | |||||||||||||||||||||||||
From net investment income | (0.02 | ) | (0.11 | ) | (0.09 | ) | (0.05 | ) | (0.04 | ) | |||||||||||||||
From net capital gains | — | — | — | — | (0.01 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total Distributions | (0.02 | ) | (0.11 | ) | (0.09 | ) | (0.05 | ) | (0.05 | ) | |||||||||||||||
|
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|
|
|
|
|
|
|
| ||||||||||||||||
Net Asset Value, End of Year | $ 4.25 | $ 4.23 | $ 4.26 | $ 4.25 | $ 4.27 | ||||||||||||||||||||
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|
|
|
|
|
|
| ||||||||||||||||
Total Return | 1.03 | % | 1.85 | % | 2.37 | % | 0.68 | % | 1.14 | % | |||||||||||||||
| |||||||||||||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||
Net Assets, end of year (in thousands) | $61,925 | $28,355 | $34,376 | $50,777 | $66,238 | ||||||||||||||||||||
Ratio of Expenses to Average Net Assets | |||||||||||||||||||||||||
Before expense waivers and reimbursements | 0.65 | % | 0.77 | % | 0.74 | % | 0.69 | % | 0.67 | % | |||||||||||||||
After expense waivers and reimbursements | 0.50 | % | 0.50 | % | 0.50 | % | 0.50 | % | 0.50 | % | |||||||||||||||
Ratio of Net Investment Income to Average Net Assets | |||||||||||||||||||||||||
After expense waivers and reimbursements | 0.49 | % | 2.53 | % | 2.08 | % | 1.14 | % | 0.97 | % | |||||||||||||||
Portfolio Turnover Rate | 210 | % | 303 | % | 172 | % | 183 | % | 63 | % |
1 Per share numbers have been calculated using the average share method.
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 262 |
Table of Contents
Metropolitan West Funds
Financial Highlights
ULTRA SHORT BOND FUND CLASS I | |||||||||||||||||||||||||
YEAR | YEAR ENDED MARCH 31, 2020 | YEAR ENDED MARCH 31, 2019 | YEAR ENDED MARCH 31, 2018 | YEAR ENDED MARCH 31, 2017 | |||||||||||||||||||||
Net Asset Value, Beginning of Year | $ 4.23 | $ 4.27 | $ 4.26 | $ 4.27 | $ 4.28 | ||||||||||||||||||||
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| ||||||||||||||||
| |||||||||||||||||||||||||
Income from Investment Operations: | |||||||||||||||||||||||||
Net investment income1 | 0.03 | 0.12 | 0.10 | 0.06 | 0.05 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.03 | (0.04 | ) | 0.01 | (0.01 | ) | (0.00 | )2 | |||||||||||||||||
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|
|
| ||||||||||||||||
Total Income from Investment Operations | 0.06 | 0.08 | 0.11 | 0.05 | 0.05 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
| |||||||||||||||||||||||||
Less Distributions: | |||||||||||||||||||||||||
From net investment income | (0.03 | ) | (0.12 | ) | (0.10 | ) | (0.06 | ) | (0.05 | ) | |||||||||||||||
From net capital gains | — | — | — | — | (0.01 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Total Distributions | (0.03 | ) | (0.12 | ) | (0.10 | ) | (0.06 | ) | (0.06 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||
Net Asset Value, End of Year | $ 4.26 | $ 4.23 | $ 4.27 | $ 4.26 | $ 4.27 | ||||||||||||||||||||
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|
|
|
|
|
|
|
|
| ||||||||||||||||
Total Return | 1.43 | % | 1.78 | % | 2.53 | % | 1.08 | % | 1.06 | % | |||||||||||||||
| |||||||||||||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||
Net Assets, end of year (in thousands) | $181,248 | $76,340 | $68,020 | $68,698 | $70,744 | ||||||||||||||||||||
Ratio of Expenses to Average Net Assets | |||||||||||||||||||||||||
Before expense waivers and reimbursements | 0.48 | % | 0.58 | % | 0.56 | % | 0.52 | % | 0.49 | % | |||||||||||||||
After expense waivers and reimbursements | 0.34 | % | 0.34 | % | 0.34 | % | 0.34 | % | 0.34 | % | |||||||||||||||
Ratio of Net Investment Income to Average Net Assets | |||||||||||||||||||||||||
After expense waivers and reimbursements | 0.67 | % | 2.70 | % | 2.27 | % | 1.30 | % | 1.13 | % | |||||||||||||||
Portfolio Turnover Rate | 210 | % | 303 | % | 172 | % | 183 | % | 63 | % |
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.
263 / Annual Report March 2021 |
Table of Contents
Metropolitan West Funds
Financial Highlights
UNCONSTRAINED BOND FUND CLASS M | |||||||||||||||||||||||||
YEAR | YEAR ENDED MARCH 31, 2020 | YEAR ENDED MARCH 31, 2019 | YEAR ENDED MARCH 31, 2018 | YEAR ENDED MARCH 31, 2017 | |||||||||||||||||||||
Net Asset Value, Beginning of Year | $ 11.12 | $ 11.80 | $ 11.83 | $ 11.90 | $ 11.72 | ||||||||||||||||||||
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|
|
|
| ||||||||||||||||
| |||||||||||||||||||||||||
Income from Investment Operations: | |||||||||||||||||||||||||
Net investment income1 | 0.30 | 0.42 | 0.41 | 0.29 | 0.25 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.93 | (0.69 | ) | (0.03 | ) | (0.03 | ) | 0.22 | |||||||||||||||||
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|
|
|
|
|
|
|
|
| ||||||||||||||||
Total Income (Loss) from Investment Operations | 1.23 | (0.27 | ) | 0.38 | 0.26 | 0.47 | |||||||||||||||||||
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| ||||||||||||||||
| |||||||||||||||||||||||||
Less Distributions: | |||||||||||||||||||||||||
From net investment income | (0.30 | ) | (0.41 | ) | (0.41 | ) | (0.31 | ) | (0.25 | ) | |||||||||||||||
From net capital gains | (0.09 | ) | — | — | (0.02 | ) | (0.04 | ) | |||||||||||||||||
Return of capital | — | — | (0.00 | )2 | — | — | |||||||||||||||||||
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|
|
|
|
|
|
|
|
| ||||||||||||||||
Total Distributions | (0.39 | ) | (0.41 | ) | (0.41 | ) | (0.33 | ) | (0.29 | ) | |||||||||||||||
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| ||||||||||||||||
Net Asset Value, End of Year | $ 11.96 | $ 11.12 | $ 11.80 | $ 11.83 | $ 11.90 | ||||||||||||||||||||
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| ||||||||||||||||
Total Return | 11.14 | % | (2.47 | )% | 3.31 | % | 2.18 | % | 4.11 | % | |||||||||||||||
| |||||||||||||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||
Net Assets, end of year (in thousands) | $258,424 | $267,139 | $454,968 | $642,999 | $1,460,884 | ||||||||||||||||||||
Ratio of Expenses to Average Net Assets | |||||||||||||||||||||||||
Before expense waivers and reimbursements | 1.03 | % | 1.03 | % | 1.03 | %3 | 1.05 | % | 1.04 | %4 | |||||||||||||||
After expense waivers and reimbursements | 1.03 | % | 1.03 | % | 1.03 | % | 1.04 | % | 1.04 | % | |||||||||||||||
Ratio of Net Investment Income to Average Net Assets | |||||||||||||||||||||||||
After expense waivers and reimbursements | 2.56 | % | 3.49 | % | 3.46 | % | 2.39 | % | 2.13 | % | |||||||||||||||
Portfolio Turnover Rate | 165 | % | 85 | % | 43 | % | 62 | % | 33 | % |
1 Per share numbers have been calculated using the average share method.
2 Amount is greater than $(0.005) per share.
3 Includes recoupment of past waived fees. Excluding the recoupment of past waived fees, the ratio would have been 0.99%.
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.
Annual Report March 2021 / 264 |
Table of Contents
Metropolitan West Funds
Financial Highlights
UNCONSTRAINED BOND FUND CLASS I | |||||||||||||||||||||||||
YEAR | YEAR ENDED MARCH 31, 2020 | YEAR ENDED MARCH 31, 2019 | YEAR ENDED MARCH 31, 2018 | YEAR ENDED MARCH 31, 2017 | |||||||||||||||||||||
Net Asset Value, Beginning of Year | $ 11.12 | $ 11.79 | $ 11.82 | $ 11.89 | $ 11.71 | ||||||||||||||||||||
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| |||||||||||||||||||||||||
Income from Investment Operations: | |||||||||||||||||||||||||
Net investment income1 | 0.33 | 0.44 | 0.44 | 0.33 | 0.29 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.92 | (0.67 | ) | (0.02 | ) | (0.04 | ) | 0.22 | |||||||||||||||||
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| ||||||||||||||||
Total Income (Loss) from Investment Operations | 1.25 | (0.23 | ) | 0.42 | 0.29 | 0.51 | |||||||||||||||||||
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| |||||||||||||||||||||||||
Less Distributions: | |||||||||||||||||||||||||
From net investment income | (0.33 | ) | (0.44 | ) | (0.45 | ) | (0.34 | ) | (0.29 | ) | |||||||||||||||
From net capital gains | (0.09 | ) | — | — | (0.02 | ) | (0.04 | ) | |||||||||||||||||
Return of capital | — | — | (0.00 | )2 | — | — | |||||||||||||||||||
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|
|
|
|
|
|
|
|
| ||||||||||||||||
Total Distributions | (0.42 | ) | (0.44 | ) | (0.45 | ) | (0.36 | ) | (0.33 | ) | |||||||||||||||
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| ||||||||||||||||
Net Asset Value, End of Year | $ 11.95 | $ 11.12 | $ 11.79 | $ 11.82 | $ 11.89 | ||||||||||||||||||||
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| ||||||||||||||||
Total Return | 11.35 | % | (2.11 | )% | 3.60 | % | 2.49 | % | 4.43 | % | |||||||||||||||
| |||||||||||||||||||||||||
Ratios/Supplemental Data: | |||||||||||||||||||||||||
Net Assets, end of year (in thousands) | $3,271,289 | $2,760,187 | $2,651,631 | $2,627,294 | $1,996,550 | ||||||||||||||||||||
Ratio of Expenses to Average Net Assets | |||||||||||||||||||||||||
Before expense waivers and reimbursements | 0.75 | % | 0.75 | % | 0.75 | % | 0.73 | % | 0.73 | % | |||||||||||||||
After expense waivers and reimbursements | 0.75 | % | 0.75 | % | 0.75 | % | 0.73 | % | 0.73 | % | |||||||||||||||
Ratio of Net Investment Income to Average Net Assets | |||||||||||||||||||||||||
After expense waivers and reimbursements | 2.82 | % | 3.72 | % | 3.76 | % | 2.77 | % | 2.46 | % | |||||||||||||||
Portfolio Turnover Rate | 165 | % | 85 | % | 43 | % | 62 | % | 33 | % |
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.
265 / Annual Report March 2021 |
Table of Contents
Metropolitan West Funds
Financial Highlights
UNCONSTRAINED BOND FUND PLAN CLASS* | ||||||||||
YEAR | PERIOD ENDED MARCH 31, 2020 | |||||||||
Net Asset Value, Beginning of Period | $ | 11.11 | $ | 11.96 | ||||||
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| |||||||
| ||||||||||
Income from Investment Operations: | ||||||||||
Net investment income1 | 0.34 | 0.03 | ||||||||
Net realized and unrealized gain (loss) | 0.92 | (0.85 | ) | |||||||
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| |||||||
Total Income (Loss) from Investment Operations | 1.26 | (0.82 | ) | |||||||
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|
| |||||||
| ||||||||||
Less Distributions: | ||||||||||
From net investment income | (0.34 | ) | (0.03 | ) | ||||||
From net capital gains | (0.09 | ) | — | |||||||
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|
|
| |||||||
Total Distributions | (0.43 | ) | (0.03 | ) | ||||||
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| |||||||
Net Asset Value, End of Period | $ | 11.94 | $ | 11.11 | ||||||
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|
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| |||||||
Total Return | 11.44 | % | (6.88 | )%2 | ||||||
| ||||||||||
Ratios/Supplemental Data: | ||||||||||
Net Assets, end of period (in thousands) | $ | 63,815 | $ | 93 | 3 | |||||
Ratio of Expenses to Average Net Assets | ||||||||||
Before expense waivers and reimbursements | 0.69 | % | 0.68 | %4 | ||||||
After expense waivers and reimbursements | 0.69 | % | 0.68 | %4 | ||||||
Ratio of Net Investment Income to Average Net Assets | ||||||||||
After expense waivers and reimbursements | 2.88 | % | 4.06 | %4 | ||||||
Portfolio Turnover Rate | 165 | % | 85 | %2 |
1 Per share numbers have been calculated using the average share method.
2 Non-Annualized.
3 Represents the whole number without rounding to the 000s.
4 Annualized.
* The Unconstrained Bond Fund Plan Class Shares commenced operations on March 6, 2020.
See accompanying Notes to Financial Statements.
Annual Report March 2021 / 266 |
Table of Contents
March 31, 2021
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 twelve separate portfolios (each a “Fund” and collectively, the “Funds”): Metropolitan West Alpha Trak 500 Fund (the “Alpha Trak 500 Fund”), Metropolitan West Corporate Bond Fund (the “Corporate Bond Fund”), Metropolitan West Flexible Income Fund (the “Flexible Income 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 Alpha Trak 500 Fund commenced investment operations on June 29, 1998 with Class M shares. The Corporate Bond Fund commenced investment operations on June 29, 2018 with Class M and Class I shares. The Flexible Income Fund commenced investment operations on November 30, 2018 with Class M and Class I shares. The Floating Rate Income Fund commenced investment operations on June 28, 2013 with Class M and Class I shares. The Plan Class was added on January 29, 2021. 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 operations 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; Class I-2 was added on March 6, 2020; 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; and the Plan Class was added on March 6, 2020. 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 Alpha Trak 500 Fund seeks to achieve a total return that exceeds the total return of the Standard & Poor’s 500 Index (the “S&P 500 Index”). The Fund combines non-leveraged investments in S&P 500 Index futures contracts and/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 Flexible Income Fund seeks a high level of current income with a secondary objective of long-term capital appreciation 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 Fund’s average portfolio duration is expected, but not required, to vary from zero to eight 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. The Fund invests at least 80% of its net assets, plus any borrowing for investment purposes, in high yield bonds (commonly known as “junk bonds”). The remainder of the Fund’s net assets may be invested in investment grade securities rated by one of the nationally recognized statistical rating organizations or, if unrated, determined by the Adviser to be of comparable quality. The Fund’s portfolio duration is two to eight years. The Fund’s dollar-weighted average maturity is expected to range from two to fifteen years.
267 / Annual Report March 2021
Table of Contents
Notes to Financial Statements (Continued)
The Intermediate Bond Fund seeks to maximize current income, consistent with preservation of capital. The Fund invests at least 80% of its net assets, plus any borrowings for investment purposes, in fixed income securities it regards as bonds. The Fund’s portfolio duration is 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. The Fund invests at least 80% of its net assets, plus any borrowings for investment purposes, in securities and instruments it regards as bonds in the U.S and abroad, including emerging markets, and may purchase securities of varying maturities issued by domestic and foreign corporations and governments. 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.
The Low Duration Bond Fund seeks to maximize current income, consistent with preservation of capital. The Fund invests at least 80% of its net assets, plus any borrowings for investment purposes, in fixed income securities it regards as bonds. The Fund’s portfolio duration is 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. The Fund invests at least 80% of its net assets, plus any borrowings for investment purposes, in fixed income securities it regards as bonds. The Fund’s portfolio duration is 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. The Fund invests at least 80% of its net assets, plus any borrowings for investment purposes, in fixed income securities it regards as bonds. The Fund’s portfolio duration normally will remain within one year of its benchmark index. 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. The Fund invests at least 80% of its net assets, plus any borrowings for investment purposes, in securities and instruments it regards as bonds in the U.S. and abroad, including emerging markets, and may purchase securities of varying maturities issued by domestic and foreign corporations and governments. 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.
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 (e.g., U.S. Treasury Note) or benchmark (e.g., LIBOR) and a multiplier, divisor or margin that the Adviser believes would together best reflect changes in the market value of the security. The value of the security changes daily based on changes to the market price of the assigned benchmark. The benchmark pricing system is continuously reviewed by the Adviser and implemented according to the pricing policy reviewed by the Board. S&P 500 Index futures contracts are valued at the first sale price after 4 p.m. ET on the Chicago Mercantile Exchange. All other futures contracts are valued at the official settlement price of the exchange on which those securities
Annual Report March 2021 / 268
Table of Contents
Notes to Financial Statements (Continued)
are 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 Alpha Trak 500 Fund) expect to declare dividends daily and pay them monthly to shareholders. The Alpha Trak 500 Fund expects to declare and pay dividends to shareholders quarterly. Distributions of net capital gains, if any, will be made at least annually. The Board may determine to declare and make distributions more or less frequently.
Federal Income Taxation:
It is each Fund’s policy to continue to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its net taxable income, including any net realized gain on investments, to its shareholders. Therefore, no federal income tax provision is required.
269 / Annual Report March 2021
Table of Contents
Notes to Financial Statements (Continued)
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 year ended March 31, 2021, 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.
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; they would then be categorized as Level 3.
Annual Report March 2021 / 270
Table of Contents
Notes to Financial Statements (Continued)
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.
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.
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.
Foreign currency contracts. The fair value of foreign currency contracts is 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.
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.
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.
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-wanted 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.
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, 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.
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.
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.
271 / Annual Report March 2021
Table of Contents
Notes to Financial Statements (Continued)
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.
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 on similar securities and yields and therefore, would be in Level 2.
As of March 31, 2021, Level 3 securities consist of certain asset-backed and mortgage-backed securities, bank loans, common stocks and corporate bonds.
The summary of inputs used to value each Fund’s investments and other financial instruments carried at fair value as of March 31, 2021 is as follows:
ALPHATRAK 500 FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | ||||||||||||||
|
|
|
|
|
|
|
|
| ||||||||||
Investments in Securities | ||||||||||||||||||
Assets: | ||||||||||||||||||
Short-Term Investments: | ||||||||||||||||||
Foreign Government Obligations | $ | — | $ | 316,809 | $ | — | $ | 316,809 | ||||||||||
Money Market Funds | 2,465,201 | — | — | 2,465,201 | ||||||||||||||
U.S. Treasury Bills | 4,699,745 | — | — | 4,699,745 | ||||||||||||||
Long-Term Investments: | ||||||||||||||||||
Asset-Backed Securities | — | 4,181,958 | — | 4,181,958 | ||||||||||||||
Corporates | — | 9,548,060 | — | 9,548,060 | ||||||||||||||
Mortgage-Backed Securities | — | 7,514,698 | 62,388 | 7,577,086 | ||||||||||||||
Municipal Bonds | — | 227,940 | — | 227,940 | ||||||||||||||
Mutual Funds | 3,685,257 | — | — | 3,685,257 | ||||||||||||||
U.S. Treasury Securities | 334,829 | — | — | 334,829 | ||||||||||||||
Other Financial Instruments* |
| |||||||||||||||||
Assets: | ||||||||||||||||||
Equity contracts | 133,232 | — | — | 133,232 | ||||||||||||||
Foreign currency exchange contracts | — | 20,568 | — | 20,568 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total | $ 11,318,264 | $ 21,810,033 | $ 62,388 | $ 33,190,685 | ||||||||||||||
|
|
|
|
|
|
|
|
*Other financial instruments include foreign currency exchange contracts and futures. Equity contracts include futures.
CORPORATE BOND FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | ||||||||||||||
|
|
|
|
|
|
|
|
| ||||||||||
Investments in Securities | ||||||||||||||||||
Assets: | ||||||||||||||||||
Short-Term Investments: | ||||||||||||||||||
Money Market Funds | $ | 266,086 | $ | — | $ | — | $ | 266,086 | ||||||||||
Long-Term Investments: | ||||||||||||||||||
Asset-Backed Securities | — | — | 44,118 | 44,118 | ||||||||||||||
Corporates | — | 10,411,726 | 5,267 | 10,416,993 | ||||||||||||||
Mortgage-Backed Securities | — | 152,945 | 25,014 | 177,959 | ||||||||||||||
Municipal Bonds | — | 287,363 | — | 287,363 | ||||||||||||||
U.S. Treasury Securities | 1,603,482 | — | — | 1,603,482 | ||||||||||||||
Other Financial Instruments* | ||||||||||||||||||
Assets: | ||||||||||||||||||
Interest rate contracts | 30,315 | — | — | 30,315 | ||||||||||||||
Liabilities: | ||||||||||||||||||
Interest rate contracts | (9,340 | ) | — | — | (9,340 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total | $ 1,890,543 | $ 10,852,034 | $ 74,399 | $ 12,816,976 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
*Other financial instruments include futures. Interest rate contracts include futures.
Annual Report March 2021 / 272
Table of Contents
Notes to Financial Statements (Continued)
FLEXIBLE INCOME FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | ||||||||||||||
|
|
|
|
|
|
|
|
| ||||||||||
Investments in Securities | ||||||||||||||||||
Assets: | ||||||||||||||||||
Short-Term Investments: | ||||||||||||||||||
Money Market Funds | $ | 6,038,999 | $ | — | $ | — | $ | 6,038,999 | ||||||||||
U.S. Treasury Bills | 23,898,670 | — | — | 23,898,670 | ||||||||||||||
Long-Term Investments: | ||||||||||||||||||
Asset-Backed Securities | — | 24,538,464 | 815,348 | 25,353,812 | ||||||||||||||
Bank Loans | — | 13,831,951 | — | 13,831,951 | ||||||||||||||
Common Stock | 427,380 | — | — | 427,380 | ||||||||||||||
Corporates | — | 47,209,339 | 213,302 | 47,422,641 | ||||||||||||||
Foreign Government Obligations | — | 4,351,400 | — | 4,351,400 | ||||||||||||||
Mortgage-Backed Securities | — | 91,271,342 | 2,696,696 | 93,968,038 | ||||||||||||||
Municipal Bonds | — | 1,135,565 | — | 1,135,565 | ||||||||||||||
Warrant | 131,581 | — | — | 131,581 | ||||||||||||||
Other Financial Instruments* | ||||||||||||||||||
Assets: | ||||||||||||||||||
Foreign currency exchange contracts | — | 13,304 | — | 13,304 | ||||||||||||||
Interest rate contracts | 502,990 | — | — | 502,990 | ||||||||||||||
Liabilities: | ||||||||||||||||||
Interest rate contracts | (161,348 | ) | — | — | (161,348 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 30,838,272 | $ | 182,351,365 | $ | 3,725,346 | $ | 216,914,983 | ||||||||||
|
|
|
|
|
|
|
|
*Other financial instruments include foreign currency exchange contracts and 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 | $ | — | $ | 6,426,705 | $ | — | $ | 6,426,705 | ||||||||||
Money Market Funds | 10,902,212 | — | — | 10,902,212 | ||||||||||||||
U.S. Treasury Bills | 43,997,950 | — | — | 43,997,950 | ||||||||||||||
Long-Term Investments: | ||||||||||||||||||
Bank Loans | — | 358,533,406 | 3,008,358 | 361,541,764 | ||||||||||||||
Corporates | — | 32,387,071 | — | 32,387,071 | ||||||||||||||
Warrant | 197,810 | — | — | 197,810 | ||||||||||||||
Other Financial Instruments* | ||||||||||||||||||
Assets: | ||||||||||||||||||
Foreign currency exchange contracts | — | 417,224 | — | 417,224 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 55,097,972 | $ | 397,764,406 | $ | 3,008,358 | $ | 455,870,736 | ||||||||||
|
|
|
|
|
|
|
|
*Other financial instruments include foreign currency exchange contracts.
273 / Annual Report March 2021
Table of Contents
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 | $ | 7,002,000 | $ | — | $ | — | $ | 7,002,000 | ||||||||||
U.S. Treasury Bills | 29,999,169 | — | — | 29,999,169 | ||||||||||||||
Long-Term Investments: | ||||||||||||||||||
Bank Loans | — | 136,751,329 | 2,009,394 | 138,760,723 | ||||||||||||||
Common Stock | — | 114,000 | — | 114,000 | ||||||||||||||
Corporates | — | 562,961,345 | 1,124,446 | 564,085,791 | ||||||||||||||
Mortgage-Backed Securities | — | 20,132,168 | — | 20,132,168 | ||||||||||||||
Warrant | 248,440 | — | — | 248,440 | ||||||||||||||
Other Financial Instruments* | ||||||||||||||||||
Assets: | ||||||||||||||||||
Credit contracts | — | 95,964 | — | 95,964 | ||||||||||||||
Interest rate contracts | 87,794 | — | — | 87,794 | ||||||||||||||
Liabilities: | ||||||||||||||||||
Interest rate contracts | (33,079 | ) | — | — | (33,079 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 37,304,324 | $ | 720,054,806 | $ | 3,133,840 | $ | 760,492,970 | ||||||||||
|
|
|
|
|
|
|
|
*Other financial instruments include futures and swaps. Credit contracts include swaps. Interest rate contracts include futures.
INTERMEDIATE BOND FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | ||||||||||||||
|
|
|
|
|
|
|
|
| ||||||||||
Investments in Securities | ||||||||||||||||||
Assets: | ||||||||||||||||||
Short-Term Investments: | ||||||||||||||||||
Money Market Funds | $ | 18,630 | $ | — | $ | — | $ | 18,630 | ||||||||||
U.S. Treasury Bills | 9,999,446 | — | — | 9,999,446 | ||||||||||||||
Long-Term Investments: | ||||||||||||||||||
Asset-Backed Securities | — | 52,233,001 | 2,254,916 | 54,487,917 | ||||||||||||||
Bank Loans | — | 11,707,693 | — | 11,707,693 | ||||||||||||||
Common Stock | — | — | — | — | ||||||||||||||
Corporates | — | 203,695,405 | 513,506 | 204,208,911 | ||||||||||||||
Mortgage-Backed Securities | — | 161,782,368 | — | 161,782,368 | ||||||||||||||
Municipal Bonds | — | 6,621,072 | — | 6,621,072 | ||||||||||||||
U.S. Treasury Securities | 405,953,715 | — | — | 405,953,715 | ||||||||||||||
Other Financial Instruments* | ||||||||||||||||||
Assets: | ||||||||||||||||||
Credit contracts | — | 27,744 | — | 27,744 | ||||||||||||||
Interest rate contracts | 247,620 | — | — | 247,620 | ||||||||||||||
Liabilities: | ||||||||||||||||||
Interest rate contracts | (164,912 | ) | — | — | (164,912 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 416,054,499 | $ | 436,067,283 | $ | 2,768,422 | $ | 854,890,204 | ||||||||||
|
|
|
|
|
|
|
|
*Other financial instruments include futures and swaps. Credit contracts include swaps. Interest rate contracts include futures.
Annual Report March 2021 / 274
Table of Contents
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 | $ | 20,597 | $ | — | $ | — | $ | 20,597 | ||||||||||
Long-Term Investments: | ||||||||||||||||||
Asset-Backed Securities | — | 590,852 | 39,216 | 630,068 | ||||||||||||||
Corporates | — | 6,846,704 | 13,167 | 6,859,871 | ||||||||||||||
Mortgage-Backed Securities | — | 1,989,528 | 65,397 | 2,054,925 | ||||||||||||||
Municipal Bonds | — | 330,145 | — | 330,145 | ||||||||||||||
U.S. Treasury Securities | 2,086,799 | — | — | 2,086,799 | ||||||||||||||
Other Financial Instruments* | ||||||||||||||||||
Assets: | ||||||||||||||||||
Interest rate contracts | 68,815 | — | — | 68,815 | ||||||||||||||
Liabilities: | ||||||||||||||||||
Interest rate contracts | (31,439 | ) | — | — | (31,439 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 2,144,772 | $ | 9,757,229 | $ | 117,780 | $ | 12,019,781 | ||||||||||
|
|
|
|
|
|
|
|
*Other financial instruments include futures. Interest rate contracts include futures.
LOW DURATION BOND FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
Investments in Securities | ||||||||||||||||||
Assets: | ||||||||||||||||||
Short-Term Investments: | ||||||||||||||||||
Foreign Government Obligations | $ | — | $ | 21,905,106 | $ | — | $ | 21,905,106 | ||||||||||
Money Market Funds | 269,627,811 | — | — | 269,627,811 | ||||||||||||||
U.S. Treasury Bills | 84,996,122 | — | — | 84,996,122 | ||||||||||||||
Long-Term Investments: | ||||||||||||||||||
Asset-Backed Securities | — | 326,314,919 | 6,666,708 | 332,981,627 | ||||||||||||||
Bank Loans | — | 41,854,395 | — | 41,854,395 | ||||||||||||||
Common Stock | — | — | — | — | ||||||||||||||
Corporates | — | 659,341,792 | 2,061,924 | 661,403,716 | ||||||||||||||
Mortgage-Backed Securities | — | 940,045,116 | 1,343,373 | 941,388,489 | ||||||||||||||
Municipal Bonds | — | 14,678,566 | — | 14,678,566 | ||||||||||||||
Purchased Swaptions | — | 6,393 | — | 6,393 | ||||||||||||||
U.S. Treasury Securities | 355,833,096 | — | — | 355,833,096 | ||||||||||||||
Other Financial Instruments* | ||||||||||||||||||
Assets: | ||||||||||||||||||
Credit contracts | — | 82,272 | — | 82,272 | ||||||||||||||
Foreign currency exchange contracts | — | 1,422,086 | — | 1,422,086 | ||||||||||||||
Interest rate contracts | 2,164,061 | — | — | 2,164,061 | ||||||||||||||
Liabilities: | ||||||||||||||||||
Interest rate contracts | — | (4,596 | ) | — | (4,596 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 712,621,090 | $ | 2,005,646,049 | $ | 10,072,005 | $ | 2,728,339,144 | ||||||||||
|
|
|
|
|
|
|
|
*Other financial instruments include foreign currency exchange contracts, futures, swaps and written swaptions. Credit contracts include swaps. Interest rate contracts include futures and written swaptions.
275 / Annual Report March 2021
Table of Contents
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 | $ | 522,665 | $ | — | $ | — | $ | 522,665 | ||||||||||||||
U.S. Treasury Bills | 1,299,928 | — | — | 1,299,928 | ||||||||||||||||||
Long-Term Investments: | ||||||||||||||||||||||
Asset-Backed Securities | — | 3,690,491 | 122,413 | 3,812,904 | ||||||||||||||||||
Common Stock | 75,420 | — | — | 75,420 | ||||||||||||||||||
Corporates | — | 6,834,598 | 31,600 | 6,866,198 | ||||||||||||||||||
Mortgage-Backed Securities | — | 11,013,455 | 159,315 | 11,172,770 | ||||||||||||||||||
Municipal Bonds | — | 178,795 | — | 178,795 | ||||||||||||||||||
Other Financial Instruments* | ||||||||||||||||||||||
Assets: | ||||||||||||||||||||||
Interest rate contracts | 104,434 | — | — | 104,434 | ||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | 2,002,447 | $ | 21,717,339 | $ | 313,328 | $ | 24,033,114 | ||||||||||||||
|
|
|
|
|
|
|
|
*Other financial instruments include futures. Interest rate contracts include futures.
TOTAL RETURN BOND FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
Investments in Securities | ||||||||||||||||||||||
Assets: | ||||||||||||||||||||||
Short-Term Investments: | ||||||||||||||||||||||
Foreign Government Obligations | $ | — | $ | 653,043,960 | $ | — | $ | 653,043,960 | ||||||||||||||
Money Market Funds | 3,615,408,000 | — | — | 3,615,408,000 | ||||||||||||||||||
Repurchase Agreements | — | 500,000,000 | — | 500,000,000 | ||||||||||||||||||
U.S. Agency Discount Notes | — | 1,649,979,030 | — | 1,649,979,030 | ||||||||||||||||||
U.S. Treasury Bills | 2,329,882,775 | — | — | 2,329,882,775 | ||||||||||||||||||
Long-Term Investments: | ||||||||||||||||||||||
Asset-Backed Securities | — | 3,194,861,276 | 31,559,020 | 3,226,420,296 | ||||||||||||||||||
Bank Loans | — | 1,281,188,105 | 4,405,391 | 1,285,593,496 | ||||||||||||||||||
Common Stock | — | — | — | — | ||||||||||||||||||
Corporates | — | 18,448,493,516 | 54,418,554 | 18,502,912,070 | ||||||||||||||||||
Foreign Government Obligations | — | 755,245,212 | — | 755,245,212 | ||||||||||||||||||
Mortgage-Backed Securities | — | 37,547,181,022 | 8,525,700 | 37,555,706,722 | ||||||||||||||||||
Municipal Bonds | — | 817,139,115 | — | 817,139,115 | ||||||||||||||||||
Purchased Options | 14,875,000 | — | — | 14,875,000 | ||||||||||||||||||
Purchased Swaptions | — | 25,889,302 | — | 25,889,302 | ||||||||||||||||||
U.S. Treasury Securities | 34,925,555,962 | — | — | 34,925,555,962 | ||||||||||||||||||
Other Financial Instruments* | ||||||||||||||||||||||
Assets: | ||||||||||||||||||||||
Credit contracts | — | 1,457,232 | — | 1,457,232 | ||||||||||||||||||
Foreign currency exchange contracts | — | 42,285,924 | — | 42,285,924 | ||||||||||||||||||
Interest rate contracts | 69,261 | — | — | 69,261 | ||||||||||||||||||
Liabilities: | ||||||||||||||||||||||
Foreign currency exchange contracts | — | (5,319 | ) | — | (5,319 | ) | ||||||||||||||||
Interest rate contracts | (44,233,118 | ) | — | — | (44,233,118 | ) | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | 40,841,557,880 | $ | 64,916,758,375 | $ | 98,908,665 | $ | 105,857,224,920 | ||||||||||||||
|
|
|
|
|
|
|
|
*Other financial instruments include foreign currency exchange contracts, futures, swaps and written options. Credit contracts include swaps. Interest rate contracts include futures and written options.
Annual Report March 2021 / 276
Table of Contents
Notes to Financial Statements (Continued)
ULTRA SHORT BOND FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
Investments in Securities | ||||||||||||||||||||||
Assets: | ||||||||||||||||||||||
Short-Term Investments: | ||||||||||||||||||||||
Foreign Government Obligations | $ | — | $ | 4,073,263 | $ | — | $ | 4,073,263 | ||||||||||||||
Money Market Funds | 28,852,669 | — | — | 28,852,669 | ||||||||||||||||||
U.S. Treasury Bills | 47,997,605 | — | — | 47,997,605 | ||||||||||||||||||
Long-Term Investments: | ||||||||||||||||||||||
Asset-Backed Securities | — | 22,988,336 | — | 22,988,336 | ||||||||||||||||||
Bank Loans | — | 1,244,576 | — | 1,244,576 | ||||||||||||||||||
Corporates | — | 56,903,917 | — | 56,903,917 | ||||||||||||||||||
Mortgage-Backed Securities | — | 82,259,884 | 18,543 | 82,278,427 | ||||||||||||||||||
Municipal Bonds | — | 1,744,233 | — | 1,744,233 | ||||||||||||||||||
U.S. Treasury Securities | 35,823,073 | — | — | 35,823,073 | ||||||||||||||||||
Other Financial Instruments* | ||||||||||||||||||||||
Assets: | ||||||||||||||||||||||
Credit contracts | — | 9,368 | — | 9,368 | ||||||||||||||||||
Foreign currency exchange contracts | — | 264,437 | — | 264,437 | ||||||||||||||||||
Interest rate contracts | 132,095 | — | — | 132,095 | ||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ | 112,805,442 | $ | 169,488,014 | $ | 18,543 | $ | 282,311,999 | ||||||||||||||
|
|
|
|
|
|
|
|
*Other financial instruments include foreign currency exchange contracts, futures and swaps. Credit contracts include swaps. Interest rate contracts include futures.
UNCONSTRAINED BOND FUND | LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||
Investments in Securities | ||||||||||||||||||||||
Assets: | ||||||||||||||||||||||
Short-Term Investments: | ||||||||||||||||||||||
Foreign Government Obligations | $ — | $ 32,631,367 | $ — | $ 32,631,367 | ||||||||||||||||||
Money Market Funds | 139,217,175 | — | — | 139,217,175 | ||||||||||||||||||
U.S. Treasury Bills | 379,976,741 | — | — | 379,976,741 | ||||||||||||||||||
Long-Term Investments: | ||||||||||||||||||||||
Asset-Backed Securities | — | 448,843,242 | 10,098,102 | 458,941,344 | ||||||||||||||||||
Bank Loans | — | 161,339,109 | 389,705 | 161,728,814 | ||||||||||||||||||
Common Stock | 9,754,320 | — | — | 9,754,320 | ||||||||||||||||||
Corporates | — | 882,053,688 | 3,607,708 | 885,661,396 | ||||||||||||||||||
Foreign Government Obligations | — | 97,025,733 | — | 97,025,733 | ||||||||||||||||||
Mortgage-Backed Securities | — | 1,769,072,315 | 97,063 | 1,769,169,378 | ||||||||||||||||||
Municipal Bonds | — | 23,070,903 | — | 23,070,903 | ||||||||||||||||||
U.S. Treasury Securities | 34,593,874 | — | — | 34,593,874 | ||||||||||||||||||
Other Financial Instruments* | ||||||||||||||||||||||
Assets: | ||||||||||||||||||||||
Credit contracts | — | 249,098 | — | 249,098 | ||||||||||||||||||
Foreign currency exchange contracts | — | 2,152,990 | — | 2,152,990 | ||||||||||||||||||
Interest rate contracts | 12,298,817 | — | — | 12,298,817 | ||||||||||||||||||
Liabilities: | ||||||||||||||||||||||
Foreign currency exchange contracts | — | (833 | ) | — | (833 | ) | ||||||||||||||||
Interest rate contracts | (2,221,792 | ) | — | — | (2,221,792 | ) | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
Total | $ 573,619,135 | $ 3,416,437,612 | $ 14,192,578 | $ 4,004,249,325 | ||||||||||||||||||
|
|
|
|
|
|
|
|
*Other financial instruments include foreign currency exchange contracts, futures and swaps. Credit contracts include swaps. Interest rate contracts include futures.
Certain securities held by the Funds are categorized as Level 3 investments. Their prices may be derived by utilizing unobservable prior transaction values or information from third party valuation services. The value of Level 3 investments could be significantly affected by changes in these unobservable inputs.
277 / Annual Report March 2021
Table of Contents
Notes to Financial Statements (Continued)
For the year ended March 31, 2021, a reconciliation of Level 3 investments is presented when the Fund had a significant amount of Level 3 investments at the beginning and/or end of the 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
|
MORTGAGE- BACKED
| |||
Balance as of April 1, 2020 | $ | 84,531 | ||
Accrued discounts/premiums | (9,821 | ) | ||
Realized gain (loss) | — | |||
Change in unrealized (depreciation)* | (12,322 | ) | ||
Purchases | — | |||
Sales | — | |||
Transfers into Level 3** | — | |||
Transfers out of Level 3** | — | |||
|
| |||
Balance as of March 31, 2021 | $ | 62,388 | ||
|
|
*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2021 was $ (12,322) and is included in the related net 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 year ended March 31, 2021.
CORPORATE BOND FUND
| ASSET-BACKED
| CORPORATES
| MORTGAGE- BACKED
| |||||||||
Balance as of April 1, 2020 | $ | — | $ | — | $ | 35,813 | ||||||
Accrued discounts/premiums | — | (55 | ) | (1,289 | ) | |||||||
Realized (loss) | — | (16 | ) | — | ||||||||
Change in unrealized (depreciation)* | (679 | ) | (159 | ) | (9,510 | ) | ||||||
Purchases | 45,000 | — | — | |||||||||
Sales | (203 | ) | (1,061 | ) | — | |||||||
Transfers into Level 3** | — | 6,558 | — | |||||||||
Transfers out of Level 3** | — | — | — | |||||||||
|
|
|
|
|
| |||||||
Balance as of March 31, 2021 | $ | 44,118 | $ | 5,267 | $ | 25,014 | ||||||
|
|
|
|
|
|
*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2021 was $(10,348) and is included in the related net 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, 2020, the Fund used significant unobservable inputs in determining the value of certain investments. As of March 31, 2021, the Fund used observable inputs in determining the value of the same investments. As a result, investments with an end of period value of $6,558 transferred from level 2 to level 3 in the disclosure hierarchy.
Annual Report March 2021 / 278
Table of Contents
Notes to Financial Statements (Continued)
FLEXIBLE INCOME FUND
| ASSET-BACKED
| CORPORATES
| MORTGAGE- BACKED
| |||||||||
Balance as of April 1, 2020 | $ | — | $ | — | $ | 357,614 | ||||||
Accrued discounts/premiums | (4,093 | ) | 2,173 | (53,203 | ) | |||||||
Realized gain (loss) | — | — | — | |||||||||
Change in unrealized (depreciation)* | (10,483 | ) | (23,016 | ) | (306,330 | ) | ||||||
Purchases | 832,407 | 234,145 | 2,698,615 | |||||||||
Sales | (2,483 | ) | — | — | ||||||||
Transfers into Level 3** | — | — | — | |||||||||
Transfers out of Level 3** | — | — | — | |||||||||
|
|
|
|
|
| |||||||
Balance as of March 31, 2021 | $ | 815,348 | $ | 213,302 | $ | 2,696,696 | ||||||
|
|
|
|
|
|
*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2021 was $(339,829) and is included in the related net 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 year ended March 31, 2021.
FLOATING RATE INCOME FUND |
BANK LOANS
| |||
Balance as of April 1, 2020 | $ | 2,905,819 | ||
Accrued discounts/premiums | (41,879 | ) | ||
Realized (loss) | (304,115 | ) | ||
Change in unrealized appreciation* | 499,857 | |||
Purchases | 1,695,614 | |||
Sales | (1,312,744 | ) | ||
Transfers into Level 3** | — | |||
Transfers out of Level 3** | (434,194 | ) | ||
|
| |||
Balance as of March 31, 2021 | $ | 3,008,358 | ||
|
|
*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2021 was $231,324 and is included in the related net 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, 2020, the Fund used significant unobservable inputs in determining the value of certain investments. As of March 31, 2021, the Fund used observable inputs in determining the value of the same investments. As a result, investments with an end of period value of $434,194 transferred from level 3 to level 2 in the disclosure hierarchy.
HIGH YIELD BOND FUND
|
BANK LOANS
| COMMON STOCK
| CORPORATES
| WARRANT
| ||||||||||||
Balance as of April 1, 2020 | $ | 2,812,025 | $ | 27,660 | $ | 89,537 | $ | 4,810 | ||||||||
Accrued discounts/premiums | 81,638 | — | 10,026 | — | ||||||||||||
Realized gain (loss) | 980 | — | (141 | ) | 4,810 | |||||||||||
Change in unrealized appreciation (depreciation)* | 613,252 | (27,660 | ) | (126,852 | ) | (4,810 | ) | |||||||||
Purchases | — | — | 1,238,209 | — | ||||||||||||
Sales | (3,959 | ) | — | (86,333 | ) | (4,810 | ) | |||||||||
Transfers into Level 3** | — | — | — | — | ||||||||||||
Transfers out of Level 3** | (1,494,542 | ) | — | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Balance as of March 31, 2021 | $ | 2,009,394 | $ | — | $ | 1,124,446 | $ | — | ||||||||
|
|
|
|
|
|
|
|
*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2021 was $301,088 and is included in the related net 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, 2020, the Fund used significant unobservable inputs in determining the value of certain investments. As of March 31, 2021, the Fund used observable inputs in determining the value of the same investments. As a result, investments with an end of period value of $1,494,542 transferred from level 3 to level 2 in the disclosure hierarchy.
279 / Annual Report March 2021
Table of Contents
Notes to Financial Statements (Continued)
INTERMEDIATE BOND FUND
| ASSET-BACKED
| COMMON STOCK
| CORPORATES
| |||||||||
Balance as of April 1, 2020 | $ | — | $ | 441 | $ | — | ||||||
Accrued discounts/premiums | — | — | (6,330 | ) | ||||||||
Realized (loss) | — | — | (1,862 | ) | ||||||||
Change in unrealized (depreciation)* | (34,702 | ) | (441 | ) | (14,325 | ) | ||||||
Purchases | 2,300,000 | — | — | |||||||||
Sales | (10,382 | ) | — | (103,409 | ) | |||||||
Transfers into Level 3** | — | — | 639,432 | |||||||||
Transfers out of Level 3** | — | — | — | |||||||||
|
|
|
|
|
| |||||||
Balance as of March 31, 2021 | $ | 2,254,916 | $ | — | $ | 513,506 | ||||||
|
|
|
|
|
|
*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2021 was $(49,468) and is included in the related net 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, 2020, the Fund used significant unobservable inputs in determining the value of certain investments. As of March 31, 2021, the Fund used observable inputs in determining the value of the same investments. As a result, investments with an end of period value of $639,432 transferred from level 2 to level 3 in the disclosure hierarchy.
INVESTMENT GRADE CREDIT FUND
| ASSET-BACKED
| CORPORATES
|
MORTGAGE- BACKED
| |||||||||
Balance as of April 1, 2020 | $ | — | $ | — | $ | 20,170 | ||||||
Accrued discounts/premiums | — | (138 | ) | (1,258 | ) | |||||||
Realized (loss) | — | (41 | ) | — | ||||||||
Change in unrealized (depreciation)* | (604 | ) | (398 | ) | (15,339 | ) | ||||||
Purchases | 40,000 | — | 61,824 | |||||||||
Sales | (180 | ) | (2,652 | ) | — | |||||||
Transfers into Level 3** | — | 16,396 | — | |||||||||
Transfers out of Level 3** | — | — | — | |||||||||
|
|
|
|
|
| |||||||
Balance as of March 31, 2021 | $ | 39,216 | $ | 13,167 | $ | 65,397 | ||||||
|
|
|
|
|
|
*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2021 was $(16,340) and is included in the related net 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, 2020, the Fund used significant unobservable inputs in determining the value of certain investments. As of March 31, 2021, the Fund used observable inputs in determining the value of the same investments. As a result, investments with an end of period value of $16,396 transferred from level 2 to level 3 in the disclosure hierarchy.
Annual Report March 2021 / 280
Table of Contents
Notes to Financial Statements (Continued)
LOW DURATION BOND FUND
|
ASSET-BACKED
| COMMON STOCK
| CORPORATES
| MORTGAGE- BACKED SECURITIES
| ||||||||||||
Balance as of April 1, 2020 | $ | — | $ | 5,858 | $ | — | $1,711,943 | |||||||||
Accrued discounts/premiums | — | — | (28,319 | ) | (51,188 | ) | ||||||||||
Realized (loss) | — | — | (8,326 | ) | — | |||||||||||
Change in unrealized (depreciation)* | (102,597 | ) | (5,858 | ) | (53,768 | ) | (317,382 | ) | ||||||||
Purchases | 6,800,000 | — | — | — | ||||||||||||
Sales | (30,695 | ) | — | (415,227 | ) | — | ||||||||||
Transfers into Level 3** | — | — | 2,567,564 | — | ||||||||||||
Transfers out of Level 3** | — | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Balance as of March 31, 2021 | $ | 6,666,708 | $ | — | $ | 2,061,924 | $ 1,343,373 | |||||||||
|
|
|
|
|
|
|
|
*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2021 was $(473,747) and is included in the related net 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, 2020, the Fund used significant unobservable inputs in determining the value of certain investments. As of March 31, 2021, the Fund used observable inputs in determining the value of the same investments. As a result, investments with an end of period value of $2,567,564 transferred from level 2 to level 3 in the disclosure hierarchy.
STRATEGIC INCOME FUND
| ASSET-BACKED
| CORPORATES
| MORTGAGE- BACKED
| |||||||||
Balance as of April 1, 2020 | $ | 110,334 | $ | — | $ | 216,306 | ||||||
Accrued discounts/premiums | 260 | (1,348 | ) | 75,907 | ||||||||
Realized (loss) | (330,961 | ) | (2,455 | ) | (27,694 | ) | ||||||
Change in unrealized appreciation (depreciation)* | 275,372 | 13,040 | (41,293 | ) | ||||||||
Purchases | 75,000 | — | — | |||||||||
Sales | (7,592 | ) | (108,802 | ) | (63,911 | ) | ||||||
Transfers into Level 3** | — | 131,165 | — | |||||||||
Transfers out of Level 3** | — | — | — | |||||||||
|
|
|
|
|
| |||||||
Balance as of March 31, 2021 | $ | 122,413 | $ | 31,600 | $ | 159,315 | ||||||
|
|
|
|
|
|
*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2021 was $(43,596) and is included in the related net 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, 2020, the Fund used significant unobservable inputs in determining the value of certain investments. As of March 31, 2021, the Fund used observable inputs in determining the value of the same investments. As a result, investments with an end of period value of $131,165 transferred from level 2 to level 3 in the disclosure hierarchy.
281 / Annual Report March 2021
Table of Contents
Notes to Financial Statements (Continued)
TOTAL RETURN BOND FUND
| ASSET-BACKED
| BANK
| COMMON
| CORPORATES
|
MORTGAGE-
| |||||||||||||||
Balance as of April 1, 2020 | $ | 3,430,498 | $ | 6,069,565 | $ | 64,939 | $ | 5,264,767 | $ | 11,260,792 | ||||||||||
Accrued discounts/premiums | — | 77,134 | — | (840,981 | ) | (1,236,442 | ) | |||||||||||||
Realized (loss) | (14,419,024 | ) | (471,332 | ) | — | (248,974 | ) | — | ||||||||||||
Change in unrealized appreciation (depreciation)* | 11,774,688 | 79,383 | (64,939 | ) | (1,309,937 | ) | (1,498,650 | ) | ||||||||||||
Purchases | 32,190,000 | 1,304,800 | — | — | — | |||||||||||||||
Sales | (1,417,142 | ) | (2,810,919 | ) | — | (10,603,008 | ) | — | ||||||||||||
Transfers into Level 3** | — | — | — | 62,156,687 | — | |||||||||||||||
Transfers out of Level 3** | — | — | — | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Balance as of March 31, 2021 | $ | 31,559,020 | $ | 4,248,631 | $ | — | $ | 54,418,554 | $ | 8,525,700 | ||||||||||
|
|
|
|
|
|
|
|
|
|
*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2021 was $(3,214,882) and is included in the related net 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, 2020, the Fund used significant unobservable inputs in determining the value of certain investments. As of March 31, 2021, the Fund used observable inputs in determining the value of the same investments. As a result, investments with an end of period value of $62,156,687 transferred from level 2 to level 3 in the disclosure hierarchy.
ULTRA SHORT BOND FUND
| MORTGAGE-
| ||||
Balance as of April 1, 2020 | $ 24,861 | ||||
Accrued discounts/premiums | (5,896 | ) | |||
Realized gain (loss) | — | ||||
Change in unrealized (depreciation)* | (422 | ) | |||
Purchases | — | ||||
Sales | — | ||||
Transfers into Level 3** | — | ||||
Transfers out of Level 3** | — | ||||
|
| ||||
Balance as of March 31, 2021 | $ 18,543 | ||||
|
|
*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2021 was $(422) and is included in the related net 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 year ended March 31, 2021.
Annual Report March 2021 / 282
Table of Contents
Notes to Financial Statements (Continued)
UNCONSTRAINED BOND FUND | ASSET-BACKED SECURITIES | BANK LOANS | COMMON STOCK | CORPORATES | MORTGAGE- BACKED SECURITIES | |||||||||||||||
Balance as of April 1, 2020 | $ | — | $ | 536,919 | $ | 6,172 | $ | — | $ | 96,156 | ||||||||||
Accrued discounts/premiums | — | 6,819 | — | (58,532 | ) | 37,237 | ||||||||||||||
Realized (loss) | — | (41,703 | ) | — | (17,116 | ) | — | |||||||||||||
Change in unrealized appreciation (depreciation)* | (155,405 | ) | 7,035 | (6,172 | ) | (82,546 | ) | (36,330 | ) | |||||||||||
Purchases | 10,300,000 | 115,423 | — | — | — | |||||||||||||||
Sales | (46,493 | ) | (248,656 | ) | — | (726,515 | ) | — | ||||||||||||
Transfers into Level 3** | — | — | — | 4,492,417 | — | |||||||||||||||
Transfers out of Level 3** | — | — | — | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Balance as of | $ | 10,098,102 | $ | 375,837 | $ | — | $ | 3,607,708 | $ | 97,063 | ||||||||||
|
|
|
|
|
|
|
|
|
|
*The change in unrealized appreciation (depreciation) on securities still held at March 31, 2021 was $(273,418) and is included in the related net 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, 2020, the Fund used significant unobservable inputs in determining the value of certain investments. As of March 31, 2021, the Fund used observable inputs in determining the value of the same investments. As a result, investments with an end of period value of $4,492,417 transferred from level 2 to level 3 in the disclosure hierarchy.
Significant unobservable valuations inputs for Level 3 investments as of March 31, 2021, are as follows:
FAIR VALUE AT |
VALUATION |
UNOBSERVABLE |
WEIGHTED | |||||||||||||||||||
ALPHATRAK 500 FUND
| 3/31/21
| TECHNIQUE*
| INPUT
| RANGE
| AVERAGE
| |||||||||||||||||
Mortgage-Backed Securities-Commercial | ||||||||||||||||||||||
Mortgage-Backed | $35,650 | Third-party Vendor | Vendor Prices | $0.32 - $3.52 | $2.65 | |||||||||||||||||
Mortgage-Backed Securities-Non-Agency | $26,738 | Third-party Vendor | Vendor Prices | $1.29 | $1.29 | |||||||||||||||||
FAIR VALUE AT |
VALUATION |
UNOBSERVABLE |
WEIGHTED | |||||||||||||||||||
CORPORATE BOND FUND
| 3/31/21
| TECHNIQUE*
| INPUT
| RANGE
| AVERAGE
| |||||||||||||||||
Asset-Backed Securities | $44,118 | Broker Quote | Offered Quote | $98.48 | $98.48 | |||||||||||||||||
Corporate Securities | $5,267 | Third-party Vendor | Vendor Prices | $83.76 | $83.76 | |||||||||||||||||
Mortgage-Backed Securities-Commercial | ||||||||||||||||||||||
Mortgage-Backed | $25,014 | Third-party Vendor | Vendor Prices | $0.32 - $2.49 | $1.78 | |||||||||||||||||
FAIR VALUE AT |
VALUATION |
UNOBSERVABLE |
WEIGHTED | |||||||||||||||||||
FLEXIBLE INCOME FUND
| 3/31/21
| TECHNIQUE*
| INPUT
| RANGE
| AVERAGE
| |||||||||||||||||
Asset-Backed Securities | $815,348 | Broker Quote | Offered Quote | $2.63 - $98.48 | $66.02 | |||||||||||||||||
Corporate Securities | $213,302 | Third-party Vendor | Vendor Prices | $83.76 | $83.76 | |||||||||||||||||
Mortgage-Backed Securities-Commercial | ||||||||||||||||||||||
Mortgage-Backed | $797,591 | Third-party Vendor | Vendor Prices | $2.49 | $2.49 | |||||||||||||||||
Mortgage-Backed Securities-Non-Agency | $1,899,105 | Third-party Vendor | Vendor Prices | $0.88 - $29.22 | $7.90 | |||||||||||||||||
FAIR VALUE AT |
VALUATION |
UNOBSERVABLE |
WEIGHTED | |||||||||||||||||||
FLOATING RATE INCOME FUND
| 3/31/21
| TECHNIQUE*
| INPUT
| RANGE
| AVERAGE
| |||||||||||||||||
Bank Loans | $3,008,358 | Third-party Vendor | Vendor Prices | $26.67 - $100.62 | $90.27 | |||||||||||||||||
FAIR VALUE AT |
VALUATION |
UNOBSERVABLE |
WEIGHTED | |||||||||||||||||||
HIGH YIELD BOND FUND
| 3/31/21
| TECHNIQUE*
| INPUT
| RANGE
| AVERAGE
| |||||||||||||||||
Bank Loans | $2,009,394 | Third-party Vendor | Vendor Prices | $98.65 - $100.13 | $98.99 | |||||||||||||||||
Corporate Securities | $1,124,446 | Third-party Vendor | Vendor Prices | $83.76 | $83.76 |
283 / Annual Report March 2021
Table of Contents
Notes to Financial Statements (Continued)
FAIR VALUE AT | VALUATION | UNOBSERVABLE | WEIGHTED | |||||||||||||||
INTERMEDIATE BOND FUND | 3/31/21 | TECHNIQUE* | INPUT | RANGE | AVERAGE | |||||||||||||
Asset-Backed Securities | $2,254,916 | Broker Quote | Offered Quote | $98.48 | $98.48 | |||||||||||||
Corporate Securities | $513,506 | Third-party Vendor | Vendor Prices | $83.76 | $83.76 | |||||||||||||
FAIR VALUE AT | VALUATION | UNOBSERVABLE | WEIGHTED | |||||||||||||||
INVESTMENT GRADE CREDIT FUND | 3/31/21 | TECHNIQUE* | INPUT | RANGE | AVERAGE | |||||||||||||
Asset-Backed Securities | $39,216 | Broker Quote | Offered Quote | $98.49 | $98.49 | |||||||||||||
Corporate Securities | $13,167 | Third-party Vendor | Vendor Prices | $83.76 | $83.76 | |||||||||||||
Mortgage-Backed Securities-Commercial | ||||||||||||||||||
Mortgage-Backed | $65,397 | Third-party Vendor | Vendor Prices | $0.32 - $2.49 | $2.09 | |||||||||||||
FAIR VALUE AT | VALUATION | UNOBSERVABLE | WEIGHTED | |||||||||||||||
LOW DURATION BOND FUND | 3/31/21 | TECHNIQUE* | INPUT | RANGE | AVERAGE | |||||||||||||
Asset-Backed Securities | $6,666,708 | Broker Quote | Offered Quote | $98.48 | $98.48 | |||||||||||||
Corporate Securities | $2,061,924 | Third-party Vendor | Vendor Prices | $83.76 | $83.76 | |||||||||||||
Mortgage-Backed Securities-Non-Agency | $1,343,373 | Third-party Vendor | Vendor Prices | $1.68 | $1.68 | |||||||||||||
FAIR VALUE AT | VALUATION | UNOBSERVABLE | WEIGHTED | |||||||||||||||
STRATEGIC INCOME FUND | 3/31/21 | TECHNIQUE* | INPUT | RANGE | AVERAGE | |||||||||||||
Asset-Backed Securities | $73,530 | Broker Quote | Offered Quote | $98.49 | $98.49 | |||||||||||||
Asset-Backed Securities | $48,883 | Third-party Vendor | Vendor Prices | $11.64 | $11.64 | |||||||||||||
Corporate Securities | $31,600 | Third-party Vendor | Vendor Prices | $83.76 | $83.76 | |||||||||||||
Mortgage-Backed Securities-Non-Agency | $159,315 | Third-party Vendor | Vendor Prices | $9.39 | $9.39 | |||||||||||||
FAIR VALUE AT | VALUATION | UNOBSERVABLE | WEIGHTED | |||||||||||||||
TOTAL RETURN BOND FUND | 3/31/21 | TECHNIQUE* | INPUT | RANGE | AVERAGE | |||||||||||||
Asset-Backed Securities | $31,559,020 | Broker Quote | Offered Quote | $98.48 | $98.48 | |||||||||||||
Bank Loans | $4,405,391 | Third-party Vendor | Vendor Prices | $72.50 | $72.50 | |||||||||||||
Corporate Securities | $54,418,554 | Third-party Vendor | Vendor Prices | $83.76 - $114.34 | $86.29 | |||||||||||||
Mortgage-Backed Securities-Non-Agency | $8,525,700 | Third-party Vendor | Vendor Prices | $0.82 - $2.35 | $1.72 | |||||||||||||
FAIR VALUE AT | VALUATION | UNOBSERVABLE | WEIGHTED | |||||||||||||||
ULTRA SHORT BOND FUND | 3/31/21 | TECHNIQUE* | INPUT | RANGE | AVERAGE | |||||||||||||
Mortgage-Backed Securities-Non-Agency | $18,543 | Third-party Vendor | Vendor Prices | $1.29 | $1.29 | |||||||||||||
FAIR VALUE AT | VALUATION | UNOBSERVABLE | WEIGHTED | |||||||||||||||
UNCONSTRAINED BOND FUND | 3/31/21 | TECHNIQUE* | INPUT | RANGE | AVERAGE | |||||||||||||
Asset-Backed Securities | $10,098,102 | Broker Quote | Offered Quote | $98.48 | $98.48 | |||||||||||||
Bank Loans | $389,705 | Third-party Vendor | Vendor Prices | $72.50 | $72.50 | |||||||||||||
Corporate Securities | $3,607,708 | Third-party Vendor | Vendor Prices | $83.76 | $83.76 | |||||||||||||
Mortgage-Backed Securities-Non-Agency | $97,063 | Third-party Vendor | Vendor Prices | $0.61 - $9.39 | $8.15 |
* 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.
Annual Report March 2021 / 284
Table of Contents
Notes to Financial Statements (Continued)
Derivative Instruments Categorized by Risk Exposure:
The following is a summary of the location of derivative instruments on the Funds’ Statements of Assets and Liabilities as of March 31, 2021:
LOCATION ON THE STATEMENTS OF ASSETS AND LIABILITIES | ||||
ASSET | LIABILITY | |||
DERIVATIVE TYPE | DERIVATIVES
| DERIVATIVES
| ||
Interest rate contracts | Unrealized appreciation on swap contracts | Unrealized depreciation on swap contracts | ||
Premiums paid for swap contracts | Premiums received on swap contracts | |||
Receivable for daily variation margin | Payable for daily variation margin | |||
Investments, at value | Options written | |||
Credit contracts | Unrealized appreciation on swap contracts | Unrealized depreciation on swap contracts | ||
Premiums paid for swap contracts | Premiums received for swap contracts | |||
Equity contracts | Unrealized appreciation on swap contracts | Unrealized depreciation on swap contracts | ||
Premiums paid for swap contracts | Premiums received for swap contracts | |||
Receivable for daily variation margin | Payable for daily variation margin | |||
— | Options written | |||
Foreign currency exchange contracts | Unrealized appreciation on foreign currency exchange contracts | Unrealized depreciation on foreign currency exchange contracts |
The following is a summary of the Funds’ derivative instrument holdings categorized by primary risk exposure as of March 31, 2021:
ASSET DERIVATIVE INVESTMENTS | ||||||||||||||||||||||||||||||
ALPHATRAK 500 FUND | CORPORATE BOND FUND | FLEXIBLE INCOME FUND | FLOATING RATE INCOME FUND | HIGH YIELD BOND FUND | INTERMEDIATE BOND FUND | |||||||||||||||||||||||||
Credit contracts: | ||||||||||||||||||||||||||||||
Swaps | $ | — | $ | — | $ | — | $ | — | $ | 95,964 | $ | 27,744 | ||||||||||||||||||
Equity contracts: | ||||||||||||||||||||||||||||||
Futures1 | 133,232 | — | — | — | — | — | ||||||||||||||||||||||||
Interest contracts: | ||||||||||||||||||||||||||||||
Futures1 | — | 30,315 | 502,990 | — | 87,794 | 247,620 | ||||||||||||||||||||||||
Foreign currency exchange contracts: | ||||||||||||||||||||||||||||||
Forwards | 20,568 | — | 13,304 | 417,224 | — | — | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total | $ | 153,800 | $ | 30,315 | $ | 516,294 | $ | 417,224 | $ | 183,758 | $ | 275,364 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
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 | |||||||||||||||||||||||||
Credit contracts: | ||||||||||||||||||||||||||||||
Swaps | $ | — | $ | 82,272 | $ | — | $ | 1,457,232 | $ | 9,368 | $ | 249,098 | ||||||||||||||||||
Interest contracts: | ||||||||||||||||||||||||||||||
Futures1 | 68,815 | 2,164,061 | 104,434 | 69,261 | 132,095 | 12,298,817 | ||||||||||||||||||||||||
Options and swaptions purchased | — | 6,393 | — | 40,764,302 | — | — | ||||||||||||||||||||||||
Foreign currency exchange contracts: | ||||||||||||||||||||||||||||||
Forwards | — | 1,422,086 | — | 42,285,924 | 264,437 | 2,152,990 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total | $ | 68,815 | $ | 3,674,812 | $ | 104,434 | $ | 84,576,719 | $ | 405,900 | $ | 14,700,905 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
1 Includes cumulative appreciation (depreciation) of financial futures contracts as reported in the Schedules of Portfolio Investments. Only the current day’s margin variation is reported within the Statements of Assets and Liabilities.
LIABILITY DERIVATIVE INVESTMENTS | ||||||||||||||||||||||||||||||
ALPHATRAK 500 FUND | CORPORATE BOND FUND | FLEXIBLE INCOME FUND | FLOATING RATE INCOME FUND | HIGH YIELD BOND FUND | INTERMEDIATE BOND FUND | |||||||||||||||||||||||||
Interest contracts: | ||||||||||||||||||||||||||||||
Futures1 | $ — | $ (9,340) | $ (161,348) | $ — | $ (33,079) | $ (164,912) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total | $ — | $ (9,340) | $ (161,348) | $ — | $ (33,079) | $ (164,912) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
285 / Annual Report March 2021
Table of Contents
Notes to Financial Statements (Continued)
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 | $ | (31,439 | ) | $ | — | $ | — | $ | (18,639,368 | ) | $ | — | $ | (2,221,792 | ) | |||||||||||||||
Options and swaptions written | — | (4,596 | ) | — | (25,593,750 | ) | — | — | ||||||||||||||||||||||
Foreign currency exchange contracts: | ||||||||||||||||||||||||||||||
Forwards | — | — | — | (5,319 | ) | — | (833 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total | $ | (31,439 | ) | $ | (4,596 | ) | $ | — | $ | (44,238,437 | ) | $ | — | $ | (2,222,625 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
1Includes cumulative appreciation (depreciation) of financial futures contracts as reported in the Schedules of Portfolio Investments. Only the current day’s margin variation is reported within the Statements of Assets and Liabilities.
The following is a summary of the Funds’ realized gain (loss) and change in unrealized appreciation (depreciation) on derivative investments recognized in the Statements of Operations categorized by primary risk exposure for the year ended March 31, 2021:
REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED | ||||||||||||||||||||||||||||||
ALPHATRAK
| CORPORATE
| FLEXIBLE
| FLOATING RATE
| HIGH YIELD
| INTERMEDIATE
| |||||||||||||||||||||||||
Credit contracts: | ||||||||||||||||||||||||||||||
Swaps | $ | — | $ | — | $ | — | $ | — | $ | (5,549 | ) | $ | (1,604 | ) | ||||||||||||||||
Equity contracts: | ||||||||||||||||||||||||||||||
Futures | 11,439,986 | — | — | — | — | — | ||||||||||||||||||||||||
Interest contracts: | ||||||||||||||||||||||||||||||
Futures | — | 47,444 | 828,671 | — | 2,985,976 | 2,578,956 | ||||||||||||||||||||||||
Options and swaptions purchased1 | — | — | — | — | — | — | ||||||||||||||||||||||||
Swaps | — | — | — | — | 18,829 | 102,577 | ||||||||||||||||||||||||
Foreign currency exchange contracts: | ||||||||||||||||||||||||||||||
Forwards | 30,400 | — | — | 134,350 | — | 892,806 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total | $ | 11,470,386 | $ | 47,444 | $ | 828,671 | $ | 134,350 | $ | 2,999,256 | $ | 3,572,735 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED IN THE STATEMENTS OF OPERATIONS | ||||||||||||||||||||||||||||||
INVESTMENT CREDIT FUND
| LOW DURATION
| STRATEGIC
| TOTAL RETURN
| ULTRA SHORT
| UNCONSTRAINED
| |||||||||||||||||||||||||
Credit contracts: | ||||||||||||||||||||||||||||||
Swaps | $ | — | $ | (4,757 | ) | $ | — | $ | (84,257 | ) | $ | (542 | ) | $ | (14,403 | ) | ||||||||||||||
Interest contracts: | ||||||||||||||||||||||||||||||
Futures | 126,649 | 2,283,421 | (169,100 | ) | 334,478,582 | (92,047 | ) | 11,835,043 | ||||||||||||||||||||||
Options and swaptions purchased1 | — | — | — | 20,902,129 | — | — | ||||||||||||||||||||||||
Options and swaptions written | — | — | — | 4,092,679 | — | — | ||||||||||||||||||||||||
Swaps | 1,019 | 272,24 | 10,225 | 11,302,347 | 1,839 | 487,957 | ||||||||||||||||||||||||
Foreign currency exchange contracts: | ||||||||||||||||||||||||||||||
Forwards | — | 10,707,573 | 21,714 | 125,717,719 | 1,766,156 | 5,546,983 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total | $ | 127,668 | $ | 13,258,484 | $ (137,161) | $ | 496,409,199 | $ | 1,675,406 | $ | 17,855,580 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
1Options and swaptions purchased are included in net realized gain (loss) from investments — unaffiliated.
Annual Report March 2021 / 286
Table of Contents
Notes to Financial Statements (Continued)
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED | ||||||||||||||||||||||||||||||
IN THE STATEMENTS OF OPERATIONS | ||||||||||||||||||||||||||||||
ALPHATRAK 500 FUND | CORPORATE BOND FUND | FLEXIBLE INCOME FUND | FLOATING RATE INCOME FUND | HIGH YIELD BOND FUND | INTERMEDIATE BOND FUND | |||||||||||||||||||||||||
Credit contracts: | ||||||||||||||||||||||||||||||
Swaps | $ | — | $ | — | $ | — | $ | — | $ | 9,696 | $ | 2,803 | ||||||||||||||||||
Equity contracts: | ||||||||||||||||||||||||||||||
Futures | 1,792,689 | — | — | — | — | — | ||||||||||||||||||||||||
Interest contracts: | ||||||||||||||||||||||||||||||
Futures | — | 21,784 | 365,099 | — | (710,797) | (1,621,668) | ||||||||||||||||||||||||
Options and swaptions purchased1 | — | — | — | — | — | — | ||||||||||||||||||||||||
Swaps | — | — | — | — | — | (99,213) | ||||||||||||||||||||||||
Foreign currency exchange contracts: | ||||||||||||||||||||||||||||||
Forwards | 20,568 | — | 13,304 | 417,224 | — | (520,871) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total | $ | 1,813,257 | $ | 21,784 | $ | 378,403 | $ | 417,224 | $ | (701,101) | $ | (2,238,949) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED | ||||||||||||||||||||||||||||||
IN THE STATEMENTS OF OPERATIONS | ||||||||||||||||||||||||||||||
INVESTMENT
| LOW DURATION
| STRATEGIC
| TOTAL RETURN
| ULTRA SHORT
| UNCONSTRAINED
| |||||||||||||||||||||||||
Credit contracts: | ||||||||||||||||||||||||||||||
Swaps | $ | — | $ | 8,313 | $ | — | $ | 147,238 | $ | 946 | $ | 25,169 | ||||||||||||||||||
Interest contracts: | ||||||||||||||||||||||||||||||
Futures | 28,325 | 1,176,230 | 672,574 | (130,036,903) | 199,968 | 36,971,036 | ||||||||||||||||||||||||
Options and swaptions purchased1 | — | 2,529 | — | 9,584,162 | — | — | ||||||||||||||||||||||||
Options and swaptions written | — | (1,677) | — | (13,977,372) | — | — | ||||||||||||||||||||||||
Swaps | (1,018) | (258,612) | (10,397) | (10,540,803) | — | (446,677) | ||||||||||||||||||||||||
Foreign currency exchange contracts: | ||||||||||||||||||||||||||||||
Forwards | — | 50,585 | — | 18,325,040 | 195,737 | (118,267) | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total | $ | 27,307 | $ | 977,368 | $ | 662,177 | $ | (126,498,638) | $ | 396,651 | $ | 36,431,261 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
1Options purchased are included in net change in unrealized appreciation (depreciation) on investments.
287 / Annual Report March 2021
Table of Contents
Notes to Financial Statements (Continued)
AVERAGE PERIOD BALANCE OF OUTSTANDING DERIVATIVE FINANCIAL INSTRUMENTS1 | ||||||||||||||||||||||||||||||
ALPHATRAK 500 FUND | CORPORATE FUND | FLEXIBLE FUND | FLOATING RATE INCOME FUND | HIGH YIELD BOND FUND | INTERMEDIATE BOND FUND | |||||||||||||||||||||||||
Financial futures contracts: | ||||||||||||||||||||||||||||||
Average number of contracts purchased | 176 | 5 | 64 | — | 135 | 278 | ||||||||||||||||||||||||
Average number of contracts sold | — | 5 | 52 | — | 232 | 166 | ||||||||||||||||||||||||
Average value of contracts purchased | $ | 391,741 | $ | 3,001 | $ | 44,145 | $ | — | $ | 32,618 | $ | 89,367 | ||||||||||||||||||
Average value of contracts sold | $ | — | $ | 10,699 | $ | 146,639 | $ | — | $ | 217,255 | $ | 159,492 | ||||||||||||||||||
Credit default swaps: | ||||||||||||||||||||||||||||||
Average number of contracts -sell protection | — | — | — | — | 1 | 1 | ||||||||||||||||||||||||
Average notional value - sell protection | $ | — | $ | — | $ | — | $ | — | $ | 998,750 | $ | 288,750 | ||||||||||||||||||
Foreign currency exchange contracts: | ||||||||||||||||||||||||||||||
Average number of contracts sold | 1 | — | 1 | 1 | — | — | ||||||||||||||||||||||||
Average value of contracts sold | $ | 6,521 | $ | — | $ | 3,326 | $ | 110,875 | $ | — | $ | — |
Annual Report March 2021 / 288
Table of Contents
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 | |||||||||||||||||||||||||
Financial futures contracts: | ||||||||||||||||||||||||||||||
Average number of contracts purchased | 23 | — | 2 | 8,115 | — | 1,067 | ||||||||||||||||||||||||
Average number of contracts sold | 13 | 589 | 43 | 5,344 | 130 | 2,165 | ||||||||||||||||||||||||
Average value of contracts purchased | $ | 11,551 | $ | — | $ | 32 | $ | 6,725,069 | $ | — | $ | 640,522 | ||||||||||||||||||
Average value of contracts sold | $ | 24,865 | $ | 655,711 | $ | 44,124 | $ | 3,776,083 | $ | 49,520 | $ | 4,143,127 | ||||||||||||||||||
Purchased options: | ||||||||||||||||||||||||||||||
Average number of contracts | — | — | — | 19,125 | — | — | ||||||||||||||||||||||||
Average notional value | $ | — | $ | — | $ | — | $ | 7,318,322 | $ | — | $ | — | ||||||||||||||||||
Written options: | ||||||||||||||||||||||||||||||
Average number of contracts | — | — | — | 29,500 | — | — | ||||||||||||||||||||||||
Average notional value | $ | — | $ | — | $ | — | $ | 6,672,616 | $ | — | $ | — | ||||||||||||||||||
Credit default swaps: | ||||||||||||||||||||||||||||||
Average number of contracts - sell protection | — | 1 | — | 1 | 1 | 1 | ||||||||||||||||||||||||
Average notional value - sell protection | $ | — | $ | 856,250 | $ | — | $ | 15,166,250 | $ | 97,500 | $ | 2,592,500 | ||||||||||||||||||
Purchased swaptions: | ||||||||||||||||||||||||||||||
Average number of contracts | — | 1 | — | 1 | — | — | ||||||||||||||||||||||||
Average notional value | $ | — | $ | 939,000 | $ | — | $ | 2,724,060 | $ | — | $ | — | ||||||||||||||||||
Written swaptions: | ||||||||||||||||||||||||||||||
Average number of contracts | — | 1 | — | — | — | — | ||||||||||||||||||||||||
Average notional value | $ | — | $ | 540,000 | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||
Foreign currency exchange contracts: | ||||||||||||||||||||||||||||||
Average number of contracts sold | — | 1 | 1 | 3 | 1 | 1 | ||||||||||||||||||||||||
Average value of contracts sold | $ | — | $ | 609,730 | $ | 985 | $ | 13,504,477 | $ | 106,174 | $ | 621,277 |
1Amounts disclosed represent the volume of derivative contracts for the year ended March 31, 2021.
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 to perform, and not the counterparty.
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.
289 / Annual Report March 2021
Table of Contents
Notes to Financial Statements (Continued)
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 of $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.
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 AlphaTrak 500 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 March 31, 2021:
ALPHATRAK 500 FUND
| ||||||||||||||||||||
COUNTERPARTY | GROSS DERIVATIVE AND LIABILITIES | COLLATERAL RECEIVED1 | DERIVATIVE ASSETS (LIABILITIES) AVAILABLE FOR OFFSET | NET AMOUNT OF | ||||||||||||||||
Goldman Sachs International | ||||||||||||||||||||
Foreign Currency Exchange Contracts | $ | 20,567 | $ | — | $ | — | $ | 20,567 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | 20,567 | $ | — | $ | — | $ | 20,567 | ||||||||||||
|
|
|
|
|
|
|
|
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.
Annual Report March 2021 / 290
Table of Contents
Notes to Financial Statements (Continued)
The following table presents Flexible 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 March 31, 2021:
FLEXIBLE 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 | ||||||||||||||||||||
Foreign Currency Exchange Contracts | $ | 13,304 | $ | — | $ | — | $ | 13,304 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | 13,304 | $ | — | $ | — | $ | 13,304 | ||||||||||||
|
|
|
|
|
|
|
|
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 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 March 31, 2021:
FLOATING RATE INCOME FUND | ||||||||||||||||||||
COUNTERPARTY | GROSS DERIVATIVE ASSETS IN THE STATEMENT OF ASSETS AND LIABILITIES | COLLATERAL RECEIVED1 | DERIVATIVE ASSETS (LIABILITIES) | NET AMOUNT OF DERIVATIVE ASSETS2 | ||||||||||||||||
Goldman Sachs International | ||||||||||||||||||||
Foreign Currency Exchange Contracts | $ | 417,224 | $ | (260,000) | $ | — | $ | 157,224 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | 417,224 | $ | (260,000) | $ | — | $ | 157,224 | ||||||||||||
|
|
|
|
|
|
|
|
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 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 March 31, 2021:
HIGH YIELD FUND | ||||||||||||||||||||
COUNTERPARTY | GROSS DERIVATIVE ASSETS IN THE STATEMENT OF ASSETS AND LIABILITIES | COLLATERAL RECEIVED1 | DERIVATIVE ASSETS (LIABILITIES) | NET AMOUNT OF DERIVATIVE ASSETS2 | ||||||||||||||||
Credit Suisse First Boston | ||||||||||||||||||||
International Credit Default Swaps | $ | 95,964 | $ | — | $ | — | $ | 95,964 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | 95,964 | $ | — | $ | — | $ | 95,964 | ||||||||||||
|
|
|
|
|
|
|
|
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.
291 / Annual Report March 2021
Table of Contents
Notes to Financial Statements (Continued)
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 March 31, 2021:
INTERMEDIATE BOND FUND | ||||||||||||||||||||
COUNTERPARTY
| GROSS DERIVATIVE
| COLLATERAL
| DERIVATIVE ASSETS (LIABILITIES)
| NET AMOUNT
| ||||||||||||||||
Credit Suisse First Boston | ||||||||||||||||||||
International Credit Default Swaps | $ | 27,744 | $ | — | $ | — | $ | 27,744 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | 27,744 | $ | — | $ | — | $ | 27,744 | ||||||||||||
|
|
|
|
|
|
|
|
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 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 March 31, 2021:
LOW DURATION BOND FUND | ||||||||||||||||||||
COUNTERPARTY
| GROSS DERIVATIVE
| COLLATERAL
| DERIVATIVE ASSETS (LIABILITIES)
| NET AMOUNT
| ||||||||||||||||
Credit Suisse First Boston | ||||||||||||||||||||
International Credit Default Swaps | $ | 82,272 | $ | — | $ | — | $ | 82,272 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Goldman Sachs International | ||||||||||||||||||||
Foreign Currency Exchange Contracts | $ | 1,422,086 | $ | (1,380,000 | ) | $ | — | $ | 42,086 | |||||||||||
Swaptions | 6,393 | — | (4,596 | ) | 1,797 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Goldman Sachs | ||||||||||||||||||||
International | $ | 1,428,479 | $ | (1,380,000 | ) | $ | (4,596 | ) | $ | 43,883 | ||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | 1,510,751 | $ | (1,380,000 | ) | $ | (4,596 | ) | $ | 126,155 | ||||||||||
|
|
|
|
|
|
|
|
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 March 31, 2021:
LOW DURATION BOND FUND | ||||||||||||||||||||
COUNTERPARTY
| GROSS DERIVATIVE
| COLLATERAL
| DERIVATIVE (ASSETS) LIABILITIES
| NET AMOUNT
| ||||||||||||||||
Goldman Sachs International Swaptions | $ | 4,596 | $ | — | $ | (4,596 | ) | $ | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | 4,596 | $ | — | $ | (4,596 | ) | $ | — | |||||||||||
|
|
|
|
|
|
|
|
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.
Annual Report March 2021 / 292
Table of Contents
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 March 31, 2021:
TOTAL RETURN BOND FUND | ||||||||||||||||||||
COUNTERPARTY | GROSS DERIVATIVE ASSETS IN THE STATEMENT OF ASSETS AND LIABILITIES | COLLATERAL RECEIVED1 | DERIVATIVE ASSETS (LIABILITIES) | NET AMOUNT OF | ||||||||||||||||
Barclay’s Capital | ||||||||||||||||||||
Swaptions | $ | 5,565,442 | $ | (2,840,000 | ) | $ | (2,340,825 | ) | $ | 384,617 | ||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Citigroup Global Markets, Inc. | ||||||||||||||||||||
Foreign Currency Exchange Contracts | $ | 16,223,591 | $ | (16,223,591 | ) | $ | — | $ | — | |||||||||||
Swaptions | 3,192,677 | (1,246,409 | ) | (1,350,040 | ) | 596,228 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Citigroup Global Markets, Inc. | $ | 19,416,268 | $ | (17,470,000 | ) | $ | (1,350,040 | ) | $ | 596,228 | ||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Credit Suisse First Boston | ||||||||||||||||||||
International Credit Default Swaps | $ | 1,457,232 | $ | (1,457,232 | ) | $ | — | $ | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Goldman Sachs International | ||||||||||||||||||||
Foreign Currency Exchange Contracts | $ | 26,057,015 | $ | (26,057,015 | ) | $ | — | $ | — | |||||||||||
Swaptions | 17,131,182 | (8,822,985 | ) | (7,205,375 | ) | 1,102,822 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total Goldman Sachs | ||||||||||||||||||||
International | $ | 43,188,197 | $ | (34,880,000 | ) | $ | (7,205,375 | ) | $ 1,102,822 | |||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | 69,627,140 | $ | (56,647,232 | ) | $ | (10,896,240 | ) | $ 2,083,668 | |||||||||||
|
|
|
|
|
|
|
|
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 March 31, 2021:
TOTAL RETURN BOND FUND | ||||||||||||||||||||
COUNTERPARTY | GROSS DERIVATIVE LIABILITIES IN THE STATEMENT OF ASSETS AND LIABILITIES | COLLATERAL PLEDGED3 | DERIVATIVE (ASSETS) LIABILITIES | NET AMOUNT OF | ||||||||||||||||
Barclay’s Capital | ||||||||||||||||||||
Swaptions | $ | 2,340,825 | $ | — | $ | (2,340,825 | ) | $ | — | |||||||||||
Citigroup Global Markets, Inc. | ||||||||||||||||||||
Swaptions | $ | 1,350,040 | $ | — | $ | (1,350,040 | ) | $ | — | |||||||||||
Goldman Sachs International | ||||||||||||||||||||
Swaptions | $ | 7,205,375 | $ | — | $ | (7,205,375 | ) | $ | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | 10,896,240 | $ | — | $ | (10,896,240 | ) | $ | — | |||||||||||
|
|
|
|
|
|
|
|
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.
293 / Annual Report March 2021
Table of Contents
Notes to Financial Statements (Continued)
The following table presents Ultra Short Bond Fund’s OTC derivative assets 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 March 31, 2021:
ULTRA SHORT BOND FUND
| ||||||||||||||||||||
COUNTERPARTY
| GROSS DERIVATIVE
| COLLATERAL
| DERIVATIVE
| NET AMOUNT OF
| ||||||||||||||||
Credit Suisse First Boston | ||||||||||||||||||||
International Credit Default Swaps | $ | 9,368 | $ | — | $ | — | $ | 9,368 | ||||||||||||
Goldman Sachs International | ||||||||||||||||||||
Foreign Currency Exchange Contracts | $ | 264,437 | $ | (240,000 | ) | $ | — | $ | 24,437 | |||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | 273,806 | $ | (240,000 | ) | $ | — | $ | 33,806 | |||||||||||
|
|
|
|
|
|
|
| |||||||||||||
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 Unconstrained Bond Fund’s OTC derivative assets 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 March 31, 2021:
UNCONSTRAINED BOND FUND
| ||||||||||||||||||||
COUNTERPARTY
| GROSS DERIVATIVE
| COLLATERAL
| DERIVATIVE
| NET AMOUNT OF
| ||||||||||||||||
Credit Suisse First Boston | ||||||||||||||||||||
International Credit Default Swaps | $ | 249,098 | $ | (249,098 | ) | $ | — | $ | — | |||||||||||
Goldman Sachs International | ||||||||||||||||||||
Foreign Currency Exchange Contracts | $ | 2,152,157 | $ | (1,870,000 | ) | $ | — | $ | 282,157 | |||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | 2,401,254 | $ | (2,119,098 | ) | $ | — | $ | 282,157 | |||||||||||
|
|
|
|
|
|
|
|
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.
3. | PORTFOLIO INVESTMENTS |
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.
Annual Report March 2021 / 294
Table of Contents
Notes to Financial Statements (Continued)
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, there may be 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 year ended March 31, 2021, certain interest-only securities were held as part of the overall mortgage portfolio holdings. The yield to maturity on IOs is sensitive to the rate of principal repayments (including prepayments) on the related underlying mortgage assets, and principal payments may have a material effect on yield to maturity. If the underlying mortgage assets experience greater than anticipated prepayments of principal, a Fund may not fully recoup its initial investment in IOs. Such securities will be considered liquid only if so determined in accordance with guidelines established by the Board. The Funds also may invest in stripped mortgage-backed securities that are privately issued. These securities will be considered illiquid for purposes of each Fund’s limit on illiquid securities.
The Funds may purchase participations in commercial loans, or may purchase assignments of such loans. Such indebtedness may be secured or unsecured. Loan participations typically represent direct participation in a loan to a corporate borrower, and generally are offered by banks or other financial institutions or lending syndicates. The Funds may participate in such syndications, or can buy part of a loan, becoming a part lender. When purchasing loan participations, a Fund assumes the credit risk associated with the corporate borrower and may assume the credit risk associated with an interposed bank or other financial intermediary. The participation interests in which a Fund intends to invest may not be rated by any nationally recognized rating service. Participations and assignments also involve special types of risk, including interest rate risk, liquidity risk, and the risk of being a lender. If a Fund purchases a participation, it may only be able to enforce its rights through the lender, and may assume the credit risk of the lender in addition to the borrower.
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 Corporate Bond Fund, Flexible Income Fund, High Yield Bond Fund, Investment Grade Credit Fund and Strategic Income Fund may not make short sales of securities or maintain a short position if more than 33 1/3% of the Fund’s total assets (taken at current value) are held as collateral for such sales at any one time. The AlphaTrak 500 Fund, Intermediate Bond Fund, Low Duration Bond Fund, Total Return Bond Fund, Ultra Short Bond Fund and Unconstrained Bond Fund will not make total short sales exceeding 25% of the Fund’s total assets. The Floating
295 / Annual Report March 2021
Table of Contents
Notes to Financial Statements (Continued)
Rate Income Fund will not make total short sales exceeding 15% of the Fund’s total 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 March 31, 2021, 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 year ended March 31, 2021, 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 an 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 March 31, 2021, 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. Securities sold under reverse repurchase agreements are recorded as a liability. Interest payments made are recorded as a component of interest expense. In periods of increased demand for the security, a Fund may receive a fee for use of the security by the counterparty, which may result in interest income to the Fund. A reverse purchase agreement involves the risk that the market value of the security sold by a Fund may decline below the repurchase price of the security. A Fund will segregate assets determined to be liquid by the manager or otherwise cover its obligations under reverse repurchase agreements. The average dollar amount and average interest rate of reverse repurchase agreements in the High Yield Bond Fund, Total Return Bond Fund and the Unconstrained Bond Fund for the year ended March 31, 2021, were $736,482 and (2.39)%, $8,887,821 and (2.48)% and $1,473,036 and (2.39)%, respectively.
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 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. As of March 31, 2021, the Funds did not hold any reverse repurchase agreements.
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In the event the counterparty of securities under an MRA files for bankruptcy or becomes insolvent, a Fund’s use of the proceeds from the agreement may be restricted while the counterparty, or its trustee or receiver, determines whether or not to enforce a Fund’s obligation to repurchase the securities.
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 may 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 may engage 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.
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The Funds may execute transactions in both listed and over-the-counter options. Listed options involve minimal counterparty risk since listed options are guaranteed against default by the exchange on which they trade. Transactions in certain over-the-counter options may expose the Funds to the risk of default by the counterparty to the transaction. In the event of default by the counterparty to the over-the-counter option transaction, a Fund’s maximum amount of loss is the premium paid (as purchaser) or the unrealized loss of the contract (as writer). As of March 31, 2021, 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 for swap contracts, net of assets received as collateral, 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. As of March 31, 2021,
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there were no credit default swaps outstanding in the Funds. These potential amounts are partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreement, or net amounts received from the settlement of buy protection credit default swap agreements entered into by a portfolio for the same referenced entity or entities.
The Funds entered into interest rate swap agreements. Interest rate swaps are agreements in which one party pays a floating rate of interest on a notional principal amount and receives a fixed rate of interest on the same notional principal amount for a specified period of time. Alternatively, a party may pay a fixed rate and receive a floating rate. In more complex swaps, the notional principal amount may decline (or amortize) over time. The Funds’ maximum risk of loss due to counterparty default is the discounted NAV of the cash flows paid to/received from the counterparty over the interest rate swap’s remaining life. The Funds enter into interest rate swaps to manage duration, the yield curve, or interest rate risk by economically hedging the value of the fixed-rate bonds which may decrease when interest rates rise (interest rate risk).
The Funds may write (sell) and purchase put and call swaptions. Swaption contracts written by the Funds represent an option that gives the purchaser the right, but not the obligation, to enter into a new swap agreement, or to shorten, extend, cancel or modify an existing swap agreement, on a future date on specified terms. Depending on the terms of the particular option agreement, a Fund will generally incur a greater degree of risk when it writes a swaption than it will incur when it purchases a swaption. When a Fund purchases a swaption, it risks losing only the amount of the premium it has paid should it decide to let the option expire unexercised. However, when a Fund writes a swaption, upon exercise of the option the Fund will become obligated according to the terms of the underlying agreement. At March 31, 2021, the Low Duration Bond Fund and Total Return 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 March 31, 2021, 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.
4. | RISK CONSIDERATIONS |
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 a Fund’s investment portfolio, the greater the change in value.
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Mortgage-Backed and Other Asset-Backed Securities Risk: Each Fund may invest in mortgage-backed or other asset-backed securities. The values of some mortgaged-backed or other asset-backed securities may expose a Fund to a lower rate of return upon reinvestment of principal. When interest rates rise, the value of mortgage-related securities generally will decline; however, when interest rates are declining, the value of mortgage-related securities with prepayment features may not increase as much as other fixed-income securities. The rate of prepayments on underlying mortgages will affect the price and volatility of a mortgage-related security, and may shorten or extend the effective maturity of the security beyond what was anticipated at the time of purchase. If an 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 which 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.
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Public Health Emergencies Risk and Impact of the Coronavirus (COVID-19): Pandemics and other local, national, and international public health emergencies, including outbreaks of infectious diseases such as SARS, H1N1/09 Flu, the Avian Flu, Ebola and the current outbreak of the novel coronavirus (“COVID-19”), can result, and in the case of COVID-19 is resulting, in market volatility and disruption, and any similar future emergencies may materially and adversely impact economic production and activity in ways that cannot be predicted, all of which could result in substantial investment losses.
The World Health Organization officially declared in March 2020 that the COVID-19 outbreak formally constitutes a “pandemic.” This outbreak has caused a worldwide public health emergency, straining healthcare resources and resulting in extensive and growing numbers of infections, hospitalizations and deaths. In an effort to contain COVID-19, local, regional, and national governments, as well as private businesses and other organizations, have imposed and continue to impose severely restrictive measures, including instituting local and regional quarantines, restricting travel (including closing certain international borders), prohibiting public activity (including “stay-at-home,” “shelter-in-place,” and similar orders), and ordering the closure of a wide range of offices, businesses, schools, and other public venues. Consequently, COVID-19 has significantly diminished and disrupted global economic production and activity of all kinds and has contributed to both volatility and a severe decline in financial markets. Among other things, these unprecedented developments have resulted in: (i) material reductions in demand across most categories of consumers and businesses; (ii) dislocation (or, in some cases, a complete halt) in the credit and capital markets; (iii) labor force and operational disruptions; (iv) slowing or complete idling of certain supply chains and manufacturing activity; and (v) strain and uncertainty for businesses and households, with a particularly acute impact on industries dependent on travel and public accessibility, such as transportation, hospitality, tourism, retail, sports, and entertainment.
The ultimate impact of COVID-19 (and of the resulting precipitous decline and disruption in economic and commercial activity across many of the world’s economies) on global economic conditions, and on the operations, financial condition, and performance of any particular market, industry or business, is impossible to predict. However, ongoing and potential additional materially adverse effects, including further global, regional and local economic downturns (including recessions) of indeterminate duration and severity, are possible. The extent of COVID-19’s impact will depend on many factors, including the ultimate duration and scope of the public health emergency and the restrictive countermeasures being undertaken, as well as the effectiveness of other governmental, legislative, and financial and monetary policy interventions designed to mitigate the crisis and address its negative externalities, all of which are evolving rapidly and may have unpredictable results. Even if COVID-19’s spread is substantially contained, it will be difficult to assess what the longer-term impacts of an extended period of unprecedented economic dislocation and disruption will be on future economic developments, the health of certain markets, industries and businesses, and commercial and consumer behavior.
The ongoing COVID-19 crisis and any other public health emergency could have a significant adverse impact on our investments and result in significant investment losses. The extent of the impact on business operations and performance of market participants and the companies in which we invest depends and will continue to depend on many factors, virtually all of which are highly uncertain and unpredictable, and this impact may include or lead to: (i) significant reductions in revenue and growth; (ii) unexpected operational losses and liabilities; (iii) impairments to credit quality; and (iv) reductions in the availability of capital. These same factors may limit the ability to source, research, and execute new investments, as well as to sell investments in the future, and governmental mitigation actions may constrain or alter existing financial, legal, and regulatory frameworks in ways that are adverse to the investment strategies we intend to pursue, all of which could materially diminish our ability to fulfill investment objectives. They may also impair the ability of the companies in which we invest or their counterparties to perform their respective obligations under debt instruments and other commercial agreements (including their ability to pay obligations as they become due), potentially leading to defaults with uncertain consequences, including the potential for defaults by borrowers under debt instruments held in a client’s portfolio. In addition, an extended period of remote working by the employees of the companies in which we invest subjects those companies to additional operational risks, including heightened cybersecurity risk. Remote working environments may be less secure and more susceptible to cyberattacks that seek to exploit the COVID-19 pandemic, and the operational damage of any such events could potentially disrupt our business and reduce the value of our investments. The operations of securities markets may also be significantly impacted, or even temporarily or permanently halted, as a result of government quarantine measures, restrictions on travel and movement, remote-working requirements, and other factors related to a public health emergency, including the potential adverse impact on the health of any such entity’s personnel. These measures may also hinder normal business operations by impairing usual communication channels and methods, hampering the performance of administrative functions such as processing payments and invoices, and diminishing the ability to make accurate and timely projections of financial performance. Because our ability to execute transactions on behalf of the Funds is dependent upon the timely performance of multiple third parties, any interruptions in the business operations of those third parties could impair our ability to effectively implement a Fund’s investment strategies.
LIBOR Risk: The London Interbank Offer Rate (“LIBOR”) historically has been and currently is used extensively in the U.S. and globally as a “benchmark” or “reference rate” for various commercial and financial contracts, including corporate and municipal bonds, bank loans, asset-backed and mortgage-related securities, interest rate swaps and other derivatives. For example, debt
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securities in which a Fund invests may pay interest at floating rates based on LIBOR or may be subject to interest caps or floors based on LIBOR. A Fund’s derivative investments may also reference LIBOR. In July 2017, the head of the United Kingdom Financial Conduct Authority announced the intention to phase out the use of LIBOR by the end of 2021. There is currently no definitive information regarding the future utilization of LIBOR or of any particular replacement reference rate. Abandonment of or modifications to LIBOR could have adverse impacts on newly issued financial instruments and existing financial instruments that reference LIBOR. The expected discontinuation of LIBOR could have a significant impact on the financial markets and may present a material risk for certain market participants, including investment companies such as the Funds. Abandonment of or modifications to LIBOR could lead to significant short- and long-term uncertainty and market instability. The risks associated with this discontinuation and transition may be exacerbated if the work necessary to effect an orderly transition to an alternative reference rate is not completed in a timely manner. It remains uncertain how such changes would be implemented and the effects such changes would have on the Funds, issuers of instruments in which the Funds invest, and the financial markets generally.
Bank Loan Risk: There is a risk of investing in corporate loans made by commercial banks and other financial institutions or institutional investors to companies that need capital to grow or restructure, which includes interest rate risk, liquidity risk and prepayment risk. The Fund may also be subject to the credit risk of other financial institutions and the risks associated with insufficient collateral securing a bank loan, limited available public information about a bank loan, delayed settlement, and less protection for holders of bank loans as compared to holders of registered securities. Bank loans are not registered and otherwise may not be treated as securities under the federal securities laws, meaning investors in loans have less protection against improper practices than investors in securities that are registered under or are otherwise subject to the protections of the securities laws.
5. | SECURITIES TRANSACTIONS |
Investment transactions for the year ended March 31, 2021, excluding U.S. government and short-term investments, were as follows:
PORTFOLIO
|
PURCHASES
|
SALES
| ||||||
AlphaTrak 500 Fund | $ | 9,637,887 | $ | 8,938,349 | ||||
Corporate Bond Fund | 10,308,515 | 1,589,147 | ||||||
Flexible Income Fund | 156,299,384 | 9,843,427 | ||||||
Floating Rate Income Fund | 242,415,962 | 110,990,951 | ||||||
High Yield Bond Fund | 908,497,112 | 664,955,340 | ||||||
Intermediate Bond Fund | 169,622,969 | 241,254,444 | ||||||
Investment Grade Credit Fund | 5,839,360 | 2,161,801 | ||||||
Low Duration Bond Fund | 1,125,060,668 | 879,440,970 | ||||||
Strategic Income Fund | 8,004,586 | 43,600,550 | ||||||
Total Return Bond Fund | 14,912,714,133 | 21,565,781,516 | ||||||
Ultra Short Bond Fund | 113,669,158 | 41,271,860 | ||||||
Unconstrained Bond Fund | 1,308,726,035 | 1,422,797,585 | ||||||
Investment transactions in U.S. government securities for the year ended March 31, 2021 were as follows:
|
|
PORTFOLIO
|
PURCHASES
|
SALES
| ||||||
AlphaTrak 500 Fund | $ | 7,369,567 | $ | 5,554,305 | ||||
Corporate Bond Fund | 6,904,672 | 5,483,523 | ||||||
Flexible Income Fund | 135,199,817 | 100,257,868 | ||||||
Intermediate Bond Fund | 2,770,459,817 | 2,613,082,108 | ||||||
Investment Grade Credit Fund | 9,500,463 | 7,382,149 | ||||||
Low Duration Bond Fund | 4,473,608,302 | 3,957,708,705 | ||||||
Strategic Income Fund | 334,267 | 2,023,013 | ||||||
Total Return Bond Fund | 414,695,930,849 | 398,148,161,823 | ||||||
Ultra Short Bond Fund | 266,684,564 | 210,134,700 | ||||||
Unconstrained Bond Fund | 3,918,638,497 | 3,563,819,321 |
Purchases include the Flexible Income Fund and Unconstrained Bond Fund’s purchase of certain securities from affiliated investment accounts for a total of $174,734 and $3,925,963, respectively. These trades are settled for cash in accordance with the valuation and other requirements set forth in Rule 17a-7 under the 1940 Act.
During the year ended March 31, 2021, 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. The purchase in-kind occurred on May 27, 2020 and totaled $49,180,420.
Annual Report March 2021 / 302
Table of Contents
Notes to Financial Statements (Continued)
Investment transactions in the shares of affiliated issuers for the year ended March 31, 2021 were as follows:
VALUE AT
| PURCHASES
| SALES
| DIVIDEND/
| VALUE AT END
| REALIZED GAIN
| CHANGE IN
| ||||||||||||||||||||||
High Yield Bond Fund | ||||||||||||||||||||||||||||
Homer City Holdings LLC | $ 27,660 | $— | $— | $— | $— | $— | $(27,660) | |||||||||||||||||||||
Total Return Bond Fund | ||||||||||||||||||||||||||||
Homer City Holdings LLC | 64,939 | — | — | — | — | — | (64,939) |
6. | INVESTMENT ADVISORY SERVICES AND OTHER TRANSACTIONS |
As compensation for advisory services, the Adviser charges the Corporate Bond Fund, the Flexible Income 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%, 0.45%, 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 BofA U.S. 3-Month Treasury Bill Index Plus 200 bps over the same period. Under this agreement, the basic fee was increased by 0.07% resulting in $498,908 of total management fees for the year ended March 31, 2021. 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 increased by 0.17% resulting in $174,544 total management fees for the year ended March 31, 2021.
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.
303 / Annual Report March 2021
Table of Contents
Notes to Financial Statements (Continued)
Investment advisory fees and related contractual expense limitations for the year ended March 31, 2021, were as follows:
PORTFOLIO | INVESTMENT ADVISORY FEE RATE | CONTRACTUAL EXPENSE LIMITATION1 | ||||||||||||||||||
CLASS M
| CLASS I
| CLASS I-2
|
ADMINI-
| PLAN
| CLASS M
| CLASS I
| CLASS I-2
| ADMINI-
| PLAN
| |||||||||||
AlphaTrak 500 Fund | 0.00%- 0.70% | N/A | N/A | N/A | N/A | 0.90% | N/A | N/A | N/A | N/A | ||||||||||
Corporate Bond Fund | 0.40% | 0.40% | N/A | N/A | N/A | 0.75% | 0.50% | N/A | N/A | N/A | ||||||||||
Flexible Income Fund | 0.45% | 0.45% | N/A | N/A | N/A | 0.80% | 0.55% | N/A | N/A | N/A | ||||||||||
Floating Rate Income Fund | 0.55% | 0.55% | N/A | N/A | 0.55%* | 0.90% | 0.70% | N/A | N/A | 0.60%* | ||||||||||
High Yield Bond Fund | 0.50% | 0.50% | N/A | N/A | N/A | 0.85% | 0.60% | N/A | N/A | N/A | ||||||||||
Intermediate Bond Fund | 0.35% | 0.35% | N/A | N/A | N/A | 0.70% | 0.49% | N/A | N/A | N/A | ||||||||||
Investment Grade Credit Fund | 0.35% | 0.35% | N/A | N/A | N/A | 0.70% | 0.49% | N/A | N/A | N/A | ||||||||||
Low Duration Bond Fund | 0.30% | 0.30% | N/A | 0.30% | N/A | 0.63% | 0.44% | N/A | 0.83% | N/A | ||||||||||
Strategic Income Fund | 0.50%- 1.90% | 0.50%- 1.90% | N/A | N/A | N/A | 1.05%** | 0.81%** | N/A | N/A | N/A | ||||||||||
Total Return Bond Fund | 0.35% | 0.35% | 0.35% | 0.35% | 0.35% | 0.70% | 0.49% | 0.54% | 0.90% | 0.39% | ||||||||||
Ultra Short Bond Fund | 0.25% | 0.25% | N/A | N/A | N/A | 0.50% | 0.34% | N/A | N/A | N/A | ||||||||||
Unconstrained Bond Fund | 0.65% | 0.65% | N/A | N/A | 0.65% | 1.04% | 0.80% | N/A | N/A | 0.70% |
1The Adviser has agreed not to reduce or discontinue this contractual expense limitation until July 31, 2021, unless approved by the Board. *The Floating Rate Income Fund Plan Class commenced operations on February 1, 2021.
**Prior to March 15, 2021, the contractual expense limitation for the Strategic Income Fund Class M and Class I were 2.35% and 2.10%, respectively.
At March 31, 2021, the balance of recoupable expenses with expiration dates for the Funds were as follows:
PORTFOLIO | 2021 | 2022 | 2023 | 2024 | TOTAL | |||||||||||||||
AlphaTrak 500 Fund | $ | — | $ | 88,122 | $ | 48,578 | $ | 122,267 | $ | 258,967 | ||||||||||
Corporate Bond Fund | — | 138,411 | 179,693 | 257,070 | 575,174 | |||||||||||||||
Flexible Income Fund | — | 84,349 | 195,102 | 309,577 | 589,028 | |||||||||||||||
Floating Rate Income Fund | 26,817 | 29,043 | 9,650 | 8,677 | 74,187 | |||||||||||||||
High Yield Bond Fund | 252,493 | 201,390 | 195,809 | 158,414 | 808,106 | |||||||||||||||
Intermediate Bond Fund | — | — | 5,068 | 4,895 | 9,963 | |||||||||||||||
Investment Grade Credit Fund | — | 142,645 | 191,069 | 259,548 | 593,262 | |||||||||||||||
Strategic Income Fund | — | — | 40,102 | 58,687 | 98,789 | |||||||||||||||
Ultra Short Bond Fund | 233,733 | 247,985 | 244,911 | 310,177 | 1,036,806 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 513,043 | $ | 931,945 | $ | 1,109,982 | $ | 1,489,312 | $ | 4,044,282 | ||||||||||
|
|
|
|
|
|
|
|
|
|
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. Effective January 1, 2020, the annual retainer for each independent trustee is $135,000, and the additional retainer for the chairman of the Board is $55,500. Also effective January 1, 2020, the additional retainer for the chairman of the Audit Committee and the chairman of the Nomination and Governance Committee is $37,000 and $18,500, 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 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 Corporate Bond Fund, the Flexible Income 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 Strategic Income Fund, the Total Return Bond Fund, the Ultra Short Bond Fund, the Unconstrained Bond 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 TCW Funds Distributors, Inc., 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
Annual Report March 2021 / 304
Table of Contents
Notes to Financial Statements (Continued)
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 year ended March 31, 2021. The Alpha Trak 500 Fund is currently not incurring Rule 12b-1 fees. The Adviser has contractually agreed, through July 31, 2020, to pay the distribution expenses of the Alpha Trak 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.
8. | COMMITMENTS AND CONTINGENCIES |
The Flexible Income Fund and Floating Rate Income Fund had the following unfunded commitments and unrealized gain (loss) by investment as of March 31, 2021
FLEXIBLE INCOME FUND UNFUNDED COMMITMENTS
| MATURITY
| AMOUNT
| UNREALIZED (LOSS)
| |||||||||||||||||
Precision Medicine Group LLC, Delayed-Draw Term Loan, 1st Lien | November | 2027 | $ | 45,909 | $ | (762) | ||||||||||||||
|
|
|
| |||||||||||||||||
Total Unfunded Commitments | $ | 45,909 | $ | (762) | ||||||||||||||||
|
|
|
|
FLOATING RATE INCOME FUND UNFUNDED COMMITMENTS
| MATURITY
| AMOUNT
| UNREALIZED GAIN (LOSS)
| |||||||||||||||||
Oeconnection LLC, Delayed-Draw Term Loan, 1st Lien | September | 2026 | $ | 2,674 | $ | 6 | ||||||||||||||
Precision Medicine Group LLC, Delayed-Draw Term Loan, 1st Lien | November | 2027 | 344,316 | (3,247) | ||||||||||||||||
Cano Health LLC, Delayed-Draw Term Loan, 1st Lien | November | 2027 | 535,187 | 2,768 | ||||||||||||||||
Refficiency Holdings LLC, Delayed-Draw Term Loan, 1st Lien | December | 2027 | 161,795 | 505 | ||||||||||||||||
WMG Acquisition Corp., Term Loan G, 1st Lien | January | 2028 | 997,655 | (2,345) | ||||||||||||||||
TricorBraun Holdings, Inc., Delayed-Draw Term Loan, 1st Lien | March | 2028 | 264,095 | (2,164) | ||||||||||||||||
|
|
|
| |||||||||||||||||
Total Unfunded Commitments | $ | 2,305,722 | $ | (4,477) | ||||||||||||||||
|
|
|
|
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.
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 500 FUND | ||||||||||
CLASS M |
CLASS M | |||||||||
YEAR ENDED MARCH 31, 2021 | YEAR ENDED MARCH 31, 2020 | |||||||||
Change in Fund shares: | ||||||||||
Shares outstanding at beginning of year | 3,268,505 | 1,976,652 | ||||||||
|
|
|
| |||||||
Shares sold | 696,121 | 2,257,963 | ||||||||
Shares issued through reinvestment of distributions | 207,881 | 304,572 | ||||||||
Shares redeemed | (1,398,661 | ) | (1,270,682 | ) | ||||||
|
|
|
| |||||||
Net increase (decrease) in fund shares | (494,659 | ) | 1,291,853 | |||||||
|
|
|
| |||||||
Shares outstanding at end of year | 2,773,846 | 3,268,505 | ||||||||
|
|
|
|
305 / Annual Report March 2021
Table of Contents
Notes to Financial Statements (Continued)
CORPORATE BOND FUND | ||||||||||||||||||||
CLASS M | CLASS M | CLASS I | CLASS I | |||||||||||||||||
YEAR ENDED MARCH 31, 2021 | YEAR ENDED MARCH 31, 2020 | YEAR ENDED MARCH 31, 2021 | YEAR ENDED MARCH 31, 2020 | |||||||||||||||||
Change in Fund shares: | ||||||||||||||||||||
Shares outstanding at beginning of year | 84,928 | 77,858 | 231,865 | 131,400 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Shares sold | 1,236,850 | — | 302,004 | 88,066 | ||||||||||||||||
Shares issued through reinvestment of distributions | 18,359 | 7,070 | 13,508 | 12,399 | ||||||||||||||||
Shares redeemed | (571,307 | ) | — | (103,320 | ) | — | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase in fund shares | 683,902 | 7,070 | 212,192 | 100,465 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Shares outstanding at end of year | 768,830 | 84,928 | 444,057 | 231,865 | ||||||||||||||||
|
|
|
|
|
|
|
|
FLEXIBLE INCOME FUND | ||||||||||||||||||||
CLASS M | CLASS M | CLASS I | CLASS I | |||||||||||||||||
YEAR ENDED MARCH 31, 2021 | YEAR ENDED MARCH 31, 2020 | YEAR ENDED MARCH 31, 2021 | YEAR ENDED MARCH 31, 2020 | |||||||||||||||||
Change in Fund shares: | ||||||||||||||||||||
Shares outstanding at beginning of year | 123 | 102 | 909,949 | 503,964 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Shares sold | 3,246,654 | — | 15,480,089 | 281,710 | ||||||||||||||||
Shares issued through reinvestment of distributions | 64,488 | 21 | 446,626 | 124,275 | ||||||||||||||||
Shares redeemed | (1,164,041 | ) | — | (727,903 | ) | — | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase in fund shares | 2,147,101 | 21 | 15,198,812 | 405,985 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Shares outstanding at end of year | 2,147,224 | 123 | 16,108,761 | 909,949 | ||||||||||||||||
|
|
|
|
|
|
|
|
FLOATING RATE INCOME FUND | ||||||||||||||||||||
CLASS M | CLASS M | CLASS I | CLASS I | |||||||||||||||||
YEAR ENDED MARCH 31, 2021 | YEAR ENDED MARCH 31, 2020 | YEAR ENDED MARCH 31, 2021 | YEAR ENDED MARCH 31, 2020 | |||||||||||||||||
Change in Fund shares: | ||||||||||||||||||||
Shares outstanding at beginning of year | 677,246 | 1,133,918 | 27,856,410 | 26,508,328 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Shares sold | 1,261,859 | 384,559 | 15,726,159 | 6,894,396 | ||||||||||||||||
Shares issued through reinvestment of distributions | 28,802 | 41,488 | 875,259 | 1,049,921 | ||||||||||||||||
Shares redeemed | (580,099 | ) | (882,719 | ) | (2,458,698 | ) | (6,596,235 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in fund shares | 710,562 | (456,672 | ) | 14,142,720 | 1,348,082 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Shares outstanding at end of year | 1,387,808 | 677,246 | 41,999,130 | 27,856,410 | ||||||||||||||||
|
|
|
|
|
|
|
|
FLOATING RATE INCOME FUND | |||||
PLAN CLASS | |||||
PERIOD ENDED MARCH 31, 2021* | |||||
Change in Fund shares: | |||||
Shares outstanding at beginning of period | — | ||||
|
| ||||
Shares sold | 10 | ||||
Shares issued through reinvestment of distributions | — | ||||
|
| ||||
Net increase in fund shares | 10 | ||||
|
| ||||
Shares outstanding at end of period | 10 | ||||
|
|
* The Plan Class commenced operations on January 29, 2021.
Annual Report March 2021 / 306
Table of Contents
Notes to Financial Statements (Continued)
HIGH YIELD BOND FUND | ||||||||||||||||||||
CLASS M | CLASS M | CLASS I | CLASS I | |||||||||||||||||
YEAR ENDED MARCH 31, 2021 | YEAR ENDED MARCH 31, 2020 | YEAR ENDED MARCH 31, 2021 | YEAR ENDED MARCH 31, 2020 | |||||||||||||||||
Change in Fund shares: | ||||||||||||||||||||
Shares outstanding at beginning of year | 13,656,919 | 19,395,315 | 31,231,832 | 30,373,750 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Shares sold | 12,682,957 | 4,010,225 | 48,545,618 | 18,242,498 | ||||||||||||||||
Shares issued through reinvestment of distributions | 598,528 | 670,728 | 1,644,258 | 1,099,895 | ||||||||||||||||
Shares redeemed | (8,183,017 | ) | (10,419,349 | ) | (27,301,135 | ) | (18,484,311 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in fund shares | 5,098,468 | (5,738,396 | ) | 22,888,741 | 858,082 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Shares outstanding at end of year | 18,755,387 | 13,656,919 | 54,120,573 | 31,231,832 | ||||||||||||||||
|
|
|
|
|
|
|
|
INTERMEDIATE BOND FUND | ||||||||||||||||||||
CLASS M | CLASS M | CLASS I | CLASS I | |||||||||||||||||
YEAR ENDED MARCH 31, 2021 | YEAR ENDED MARCH 31, 2020 | YEAR ENDED MARCH 31, 2021 | YEAR ENDED MARCH 31, 2020 | |||||||||||||||||
Change in Fund shares: | ||||||||||||||||||||
Shares outstanding at beginning of year | 3,177,342 | 3,409,753 | 65,097,687 | 68,386,996 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Shares sold | 1,297,628 | 994,035 | 21,529,757 | 11,652,449 | ||||||||||||||||
Shares issued through reinvestment of distributions | 126,637 | 85,332 | 2,595,867 | 1,823,035 | ||||||||||||||||
Shares redeemed | (1,206,207 | ) | (1,311,778 | ) | (17,845,510 | ) | (16,764,793 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in fund shares | 218,058 | (232,411 | ) | 6,280,114 | (3,289,309 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Shares outstanding at end of year | 3,395,400 | 3,177,342 | 71,377,801 | 65,097,687 | ||||||||||||||||
|
|
|
|
|
|
|
|
INVESTMENT GRADE CREDIT FUND | ||||||||||||||||||||
CLASS M | CLASS M | CLASS I | CLASS I | |||||||||||||||||
YEAR ENDED MARCH 31, 2021 | YEAR ENDED MARCH 31, 2020 | YEAR ENDED MARCH 31, 2021 | YEAR ENDED MARCH 31, 2020 | |||||||||||||||||
Change in Fund shares: | ||||||||||||||||||||
Shares outstanding at beginning of year | 86,723 | 77,458 | 666,665 | 492,691 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Shares sold | 432,102 | — | 463,146 | 113,832 | ||||||||||||||||
Shares issued through reinvestment of distributions | 14,422 | 9,265 | 76,716 | 60,142 | ||||||||||||||||
Shares redeemed | (313,463 | ) | — | (161,778 | ) | — | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase in fund shares | 133,061 | 9,265 | 378,084 | 173,974 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Shares outstanding at end of year | 219,784 | 86,723 | 1,044,749 | 666,665 | ||||||||||||||||
|
|
|
|
|
|
|
|
LOW DURATION BOND FUND | ||||||||||||||||||||
CLASS M | CLASS M | CLASS I | CLASS I | |||||||||||||||||
YEAR ENDED MARCH 31, 2021 | YEAR ENDED MARCH 31, 2020 | YEAR ENDED MARCH 31, 2021 | YEAR ENDED MARCH 31, 2020 | |||||||||||||||||
Change in Fund shares: | ||||||||||||||||||||
Shares outstanding at beginning of year | 51,991,467 | 66,879,265 | 168,341,807 | 181,809,771 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Shares sold | 13,288,674 | 5,671,052 | 105,146,438 | 42,417,475 | ||||||||||||||||
Shares issued through reinvestment of distributions | 574,080 | 1,356,321 | 2,570,754 | 4,009,045 | ||||||||||||||||
Shares redeemed | (15,688,987 | ) | (21,915,171 | ) | (47,040,253 | ) | (59,894,484 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in fund shares | (1,826,233 | ) | (14,887,798 | ) | 60,676,939 | (13,467,964 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Shares outstanding at end of year | 50,165,234 | 51,991,467 | 229,018,746 | 168,341,807 | ||||||||||||||||
|
|
|
|
|
|
|
|
LOW DURATION BOND FUND | ||||||||||
ADMINISTRATIVE | ADMINISTRATIVE CLASS | |||||||||
YEAR ENDED | YEAR ENDED MARCH 31, 2020 | |||||||||
Change in Fund shares: | ||||||||||
Shares outstanding at beginning of year | 8,384 | 37,023 | ||||||||
|
|
|
| |||||||
Shares sold | 763 | 1,808 | ||||||||
Shares issued through reinvestment of distributions | 60 | 148 | ||||||||
Shares redeemed | (1,529 | ) | (30,595 | ) | ||||||
|
|
|
| |||||||
Net (decrease) in fund shares | (706 | ) | (28,639 | ) | ||||||
|
|
|
| |||||||
Shares outstanding at end of year | 7,678 | 8,384 | ||||||||
|
|
|
|
307 / Annual Report March 2021
Table of Contents
Notes to Financial Statements (Continued)
STRATEGIC INCOME FUND | ||||||||||||||||||||
CLASS M | CLASS M | CLASS I | CLASS I | |||||||||||||||||
YEAR ENDED MARCH 31, 2021 | YEAR ENDED MARCH 31, 2020 | YEAR ENDED MARCH 31, 2021 | YEAR ENDED MARCH 31, 2020 | |||||||||||||||||
Change in Fund shares: | ||||||||||||||||||||
Shares outstanding at beginning of year | 1,428,333 | 2,269,164 | 6,621,937 | 8,532,803 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Shares sold | 1,585,527 | 557,743 | 712,954 | 1,127,898 | ||||||||||||||||
Shares issued through reinvestment of distributions | 99,943 | 66,837 | 202,975 | 364,480 | ||||||||||||||||
Shares redeemed | (1,137,959 | ) | (1,465,411 | ) | (6,286,023 | ) | (3,403,244 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in fund shares | 547,511 | (840,831 | ) | (5,370,094 | ) | (1,910,866 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Shares outstanding at end of year | 1,975,844 | 1,428,333 | 1,251,843 | 6,621,937 | ||||||||||||||||
|
|
|
|
|
|
|
|
TOTAL RETURN BOND FUND | ||||||||||||||||||||
CLASS M | CLASS M | CLASS I | CLASS I | |||||||||||||||||
YEAR ENDED MARCH 31, 2021 | YEAR ENDED MARCH 31, 2020 | YEAR ENDED MARCH 31, 2021 | YEAR ENDED MARCH 31, 2020 | |||||||||||||||||
Change in Fund shares: | ||||||||||||||||||||
Shares outstanding at beginning of year | 807,293,176 | 898,185,006 | 4,144,455,446 | 3,846,257,449 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Shares sold | 246,419,869 | 184,228,131 | 1,648,449,661 | 1,246,311,524 | ||||||||||||||||
Shares issued through reinvestment of distributions | 50,332,883 | 27,123,878 | 258,093,148 | 126,656,996 | ||||||||||||||||
Shares redeemed | (442,906,523 | ) | (302,243,839 | ) | (1,153,962,493 | ) | (1,074,770,523 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in fund shares | (146,153,771 | ) | (90,891,830 | ) | 752,580,316 | 298,197,997 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Shares outstanding at end of year | 661,139,405 | 807,293,176 | 4,897,035,762 | 4,144,455,446 | ||||||||||||||||
|
|
|
|
|
|
|
|
TOTAL RETURN BOND FUND | ||||||||||
CLASS I-2 | CLASS I-2 | |||||||||
YEAR ENDED | PERIOD ENDED MARCH 31, 2020* | |||||||||
Change in Fund shares: | ||||||||||
Shares outstanding at beginning of period | 9 | — | ||||||||
|
|
|
| |||||||
Shares sold | 11,338,778 | 9 | ||||||||
Shares issued through reinvestment of distributions | 547,958 | — | ** | |||||||
Shares redeemed | (1,085,710 | ) | — | |||||||
|
|
|
| |||||||
Net increase in fund shares | 10,801,026 | 9 | ||||||||
|
|
|
| |||||||
Shares outstanding at end of period | 10,801,035 | 9 | ||||||||
|
|
|
| |||||||
* The Class I-2 commenced operations on March 6, 2020. | ||||||||||
** Less than one share. |
TOTAL RETURN BOND FUND | ||||||||||||||||||||
ADMINISTRATIVE | ADMINISTRATIVE CLASS | PLAN CLASS | PLAN CLASS | |||||||||||||||||
YEAR ENDED MARCH 31, 2021 | YEAR ENDED MARCH 31, 2020 | YEAR ENDED MARCH 31, 2021 | YEAR ENDED MARCH 31, 2020 | |||||||||||||||||
Change in Fund shares: | ||||||||||||||||||||
Shares outstanding at beginning of year | 156,243,805 | 94,995,241 | 2,277,531,666 | 2,058,158,463 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Shares sold | 59,236,353 | 85,952,233 | 725,752,496 | 744,681,741 | ||||||||||||||||
Shares issued through reinvestment of distributions | 10,248,450 | 4,414,873 | 145,266,719 | 73,923,882 | ||||||||||||||||
Shares redeemed | (33,301,397 | ) | (29,118,542 | ) | (723,205,780 | ) | (599,232,420 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase in fund shares | 36,183,406 | 61,248,564 | 147,813,435 | 219,373,203 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Shares outstanding at end of year | 192,427,211 | 156,243,805 | 2,425,345,101 | 2,277,531,666 | ||||||||||||||||
|
|
|
|
|
|
|
|
Annual Report March 2021 / 308
Table of Contents
Notes to Financial Statements (Continued)
ULTRA SHORT BOND FUND | ||||||||||||||||||||
CLASS M | CLASS M | CLASS I | CLASS I | |||||||||||||||||
YEAR ENDED MARCH 31, 2021 | YEAR ENDED MARCH 31, 2020 | YEAR ENDED MARCH 31, 2021 | YEAR ENDED MARCH 31, 2020 | |||||||||||||||||
Change in Fund shares: | ||||||||||||||||||||
Shares outstanding at beginning of year | 6,709,806 | 8,068,983 | 18,036,590 | 15,940,806 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Shares sold | 21,914,311 | 3,504,697 | 41,150,119 | 10,070,643 | ||||||||||||||||
Shares issued through reinvestment of distributions | 61,610 | 170,292 | 255,902 | 441,304 | ||||||||||||||||
Shares redeemed | (14,125,855 | ) | (5,034,166 | ) | (16,888,101 | ) | (8,416,163 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in fund shares | 7,850,066 | (1,359,177 | ) | 24,517,920 | 2,095,784 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Shares outstanding at end of year | 14,559,872 | 6,709,806 | 42,554,510 | 18,036,590 | ||||||||||||||||
|
|
|
|
|
|
|
|
UNCONSTRAINED BOND FUND | ||||||||||||||||||||
CLASS M | CLASS M | CLASS I | CLASS I | |||||||||||||||||
YEAR ENDED MARCH 31, 2021 | YEAR ENDED MARCH 31, 2020 | YEAR ENDED MARCH 31, 2021 | YEAR ENDED MARCH 31, 2020 | |||||||||||||||||
Change in Fund shares: | ||||||||||||||||||||
Shares outstanding at beginning of year | 24,012,697 | 38,551,315 | 248,328,242 | 224,878,988 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Shares sold | 4,522,456 | 6,881,972 | 96,605,193 | 92,050,551 | ||||||||||||||||
Shares issued through reinvestment of distributions | 693,758 | 1,004,035 | 7,137,466 | 7,502,540 | ||||||||||||||||
Shares redeemed | (7,621,081 | ) | (22,424,625 | ) | (78,304,081 | ) | (76,103,837 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in fund shares | (2,404,867 | ) | (14,538,618 | ) | 25,438,578 | 23,449,254 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Shares outstanding at end of year | 21,607,830 | 24,012,697 | 273,766,820 | 248,328,242 | ||||||||||||||||
|
|
|
|
|
|
|
|
UNCONSTRAINED BOND FUND | ||||||||||
PLAN CLASS | PLAN CLASS | |||||||||
YEAR ENDED | PERIOD ENDED MARCH 31, 2020* | |||||||||
Change in Fund shares: | ||||||||||
Shares outstanding at beginning of period | 8 | — | ||||||||
|
|
|
| |||||||
Shares sold | 10,304,063 | 8 | ||||||||
Shares issued through reinvestment of distributions | 230,276 | — | ** | |||||||
Shares redeemed | (5,191,485 | ) | — | |||||||
|
|
|
| |||||||
Net increase in fund shares | 5,342,854 | 8 | ||||||||
|
|
|
| |||||||
Shares outstanding at end of period | 5,342,862 | 8 | ||||||||
|
|
|
| |||||||
* The Plan Class commenced operations on March 6, 2020. | ||||||||||
** Less than one share. |
10. | FEDERAL TAX INFORMATION |
Capital Loss Carryforwards:
At March 31, 2021, the following Funds had available for federal income tax purposes unused capital losses as follows:
FUND | AMOUNT UTILIZED IN CURRENT YEAR | SHORT-TERM NON-EXPIRING AMOUNTS* | LONG-TERM NON-EXPIRING AMOUNTS* | ||||||||||||
Floating Rate Income Fund | $ | 1,127,646 | $ | — | $ | 2,455,881 | |||||||||
High Yield Bond Fund | 33,938,119 | — | 29,747,978 | ||||||||||||
Low Duration Bond Fund | 15,497,575 | — | 33,200,241 | ||||||||||||
Strategic Income Fund | 1,383,543 | — | 261,312 | ||||||||||||
Ultra Short Bond Fund | — | 738,743 | 4,955,887 | ||||||||||||
Unconstrained Bond Fund | 4,858,243 | — | — |
* | 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. |
309 / Annual Report March 2021
Table of Contents
Notes to Financial Statements (Continued)
Tax Basis of Distributable Income:
As of March 31, 2021,the components of accumulated earnings (accumulated losses) on a tax basis were as follows:
ALPHATRAK 500 FUND | CORPORATE BOND FUND | FLEXIBLE INCOME FUND | FLOATING RATE INCOME FUND | HIGH YIELD BOND FUND | INTERMEDIATE BOND FUND | |||||||||||||||||||||||||
Undistributed ordinary income (inclusive of short-term gains) | $ | 2,572,181 | $ | 28,397 | $ | 33,139 | $ | 732,925 | $ | 2,290,446 | $ | — | ||||||||||||||||||
Undistributed long-term gains | 3,730,361 | 28,361 | 540,585 | — | — | 2,724,855 | ||||||||||||||||||||||||
Other temporary differences | (1,175 | ) | (236 | ) | (5,985 | ) | (129,447 | ) | (227,704 | ) | (39,094 | ) | ||||||||||||||||||
Accumulated capital loss carryforwards and post-October losses | — | — | — | (2,455,881 | ) | (29,747,978 | ) | (1,228,731 | ) | |||||||||||||||||||||
Net unrealized appreciation (depreciation) | 403,972 | (202,571 | ) | (2,987,480 | ) | 1,758,369 | (14,206,307 | ) | 6,189,885 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total accumulated earnings (losses) | $ | 6,705,339 | $ | (146,049 | ) | $ | (2,419,741 | ) | $ | (94,034 | ) | $ | (41,891,543 | ) | $ | 7,646,915 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
INVESTMENT GRADE CREDIT FUND | 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 gains) | $ | 23,540 | $ | 1,619,990 | $ | 557,772 | $ | — | $ | 359,317 | $ | 29,892,218 | ||||||||||||||||||
Undistributed long-term gains | — | — | — | — | — | 20,305,457 | ||||||||||||||||||||||||
Other temporary differences | — | (265,144 | ) | (10,104 | ) | (11,493,390 | ) | (8,287 | ) | (1,536,022 | ) | |||||||||||||||||||
Accumulated capital loss carryforwards and post-October losses | — | (33,200,241 | ) | (261,312 | ) | (831,930,742 | ) | (5,694,630 | ) | — | ||||||||||||||||||||
Net unrealized appreciation (depreciation) | (427,747 | ) | 6,025,923 | (4,463,123 | ) | 571,503,888 | (46,258 | ) | (43,399,701 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total accumulated earnings (losses) | $ | (404,207 | ) | $ | (25,819,472 | ) | $ | (4,176,767 | ) | $ | (271,920,244 | ) | $ | (5,389,858 | ) | $ | 5,261,952 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
Tax Basis of Distributions to Shareholders:
ALPHATRAK 500 FUND | CORPORATE BOND FUND | |||||||||||||||||||
MARCH 31, 2021 | MARCH 31, 2020 | MARCH 31, 2021 | MARCH 31, 2020 | |||||||||||||||||
Distributions from: | ||||||||||||||||||||
Ordinary income (inclusive of short-term capital gains) | $ | 1,321,651 | $ | 2,237,632 | $ | 319,404 | $ | 204,951 | ||||||||||||
Net long-term capital gains | 1,241,454 | 1,118,170 | 32,833 | 2,637 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total taxable distributions | $ | 2,563,105 | $ | 3,355,802 | $ | 352,237 | $ | 207,588 | ||||||||||||
|
|
|
|
|
|
|
|
Annual Report March 2021 / 310
Table of Contents
Notes to Financial Statements (Continued)
FLEXIBLE INCOME FUND | FLOATING RATE INCOME FUND | |||||||||||||||||||
MARCH 31, 2021 | MARCH 31, 2020 | MARCH 31, 2021 | MARCH 31, 2020 | |||||||||||||||||
Distributions from: | ||||||||||||||||||||
Ordinary income (inclusive of short-term capital gains) | $ | 5,004,078 | $ | 1,296,742 | $ | 10,150,408 | $ | 11,164,984 | ||||||||||||
Net long-term capital gains | 108,995 | — | — | — | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total taxable distributions | $ | 5,113,073 | $ | 1,296,742 | $ | 10,150,408 | $ | 11,164,984 | ||||||||||||
|
|
|
|
|
|
|
|
HIGH YIELD BOND FUND | INTERMEDIATE BOND FUND | |||||||||||||||||||
MARCH 31, 2021 | MARCH 31, 2020 | MARCH 31, 2021 | MARCH 31, 2020 | |||||||||||||||||
Distributions from: | ||||||||||||||||||||
Ordinary income (inclusive of short-term capital gains) | $ | 24,840,015 | $ | 18,572,855 | $ | 24,703,086 | $ | 20,518,140 | ||||||||||||
Net long-term capital gains | — | — | 5,051,576 | — | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total taxable distributions | $ | 24,840,015 | $ | 18,572,855 | $ | 29,754,662 | $ | 20,518,140 | ||||||||||||
|
|
|
|
|
|
|
|
INVESTMENT GRADE CREDIT FUND | LOW DURATION BOND FUND | |||||||||||||||
MARCH 31, 2021 | MARCH 31, 2020 | MARCH 31, 2021 | MARCH 31, 2020 | |||||||||||||
Distributions from: | ||||||||||||||||
Ordinary income (inclusive of short-term capital gains) | $ 863,178 | $685,951 | $29,545,421 | $49,221,473 | ||||||||||||
Net long-term capital gains | 45,944 | 20,599 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total taxable distributions | $ 909,122 | $706,550 | $29,545,421 | $49,221,473 | ||||||||||||
|
|
|
|
|
|
|
|
STRATEGIC INCOME FUND | TOTAL RETURN BOND FUND | |||||||||||||||
MARCH 31, 2021 | MARCH 31, 2020 | MARCH 31, 2021 | MARCH 31, 2020 | |||||||||||||
Distributions from: | ||||||||||||||||
Ordinary income (inclusive of short-term capital gains) | $ 2,358,251 | $3,413,896 | $ 4,488,711,334 | $ 2,492,448,522 | ||||||||||||
Net long-term capital gains | — | — | 1,033,756,885 | 218,637,193 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total taxable distributions | $ 2,358,251 | $3,413,896 | $ 5,522,468,219 | $ 2,711,085,715 | ||||||||||||
|
|
|
|
|
|
|
|
ULTRA SHORT BOND FUND | UNCONSTRAINED BOND FUND | |||||||||||||||
MARCH 31, 2021 | MARCH 31, 2020 | MARCH 31, 2021 | MARCH 31, 2020 | |||||||||||||
Distributions from: | ||||||||||||||||
Ordinary income (inclusive of short-term capital gains) | $ 1,364,313 | $2,644,483 | $116,535,196 | $120,977,138 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total taxable distributions | $ 1,364,313 | $2,644,483 | $116,535,196 | $120,977,138 | ||||||||||||
|
|
|
|
|
|
|
|
311 / Annual Report March 2021
Table of Contents
Notes to Financial Statements (Continued)
Tax Cost
As of March 31, 2021, gross unrealized appreciation (depreciation) based on cost for federal income tax purposes were as follows:
ALPHATRAK 500 FUND | CORPORATE BOND FUND | FLEXIBLE INCOME FUND | FLOATING RATE INCOME FUND | HIGH YIELD BOND FUND | INTERMEDIATE BOND FUND | |||||||||||||||||||||||||
Tax Cost | $ | 32,632,913 | $ | 12,998,572 | $ | 219,550,760 | $ | 453,717,495 | $ | 774,599,088 | $ | 848,592,671 | ||||||||||||||||||
Gross unrealized appreciation | 1,249,590 | 207,456 | 2,194,779 | 5,442,191 | 22,170,107 | 13,253,586 | ||||||||||||||||||||||||
Gross unrealized (depreciation) | (845,618 | ) | (410,027 | ) | (5,185,502 | ) | (3,706,174 | ) | (36,426,904 | ) | (7,066,505 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net unrealized appreciation (depreciation) | $ | 403,972 | $ | (202,571 | ) | $ | (2,990,723 | ) | $ | 1,736,017 | $ | (14,256,797 | ) | $ | 6,187,081 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
INVESTMENT GRADE CREDIT FUND | LOW DURATION BOND FUND | STRATEGIC INCOME FUND | TOTAL RETURN BOND FUND | ULTRA SHORT BOND FUND | UNCONSTRAINED BOND FUND | |||||||||||||||||||||||||
Tax Cost | $ | 12,410,152 | $ | 2,718,653,116 | $ | 28,391,803 | $ | 105,291,708,528 | $ | 281,953,303 | $ | 4,035,195,917 | ||||||||||||||||||
Gross unrealized appreciation | 363,250 | 29,255,041 | 864,459 | 1,726,544,668 | 1,133,834 | 93,223,068 | ||||||||||||||||||||||||
Gross unrealized (depreciation) | (790,997 | ) | (23,237,432 | ) | (5,327,582 | ) | (1,160,602,256 | ) | (1,181,038 | ) | (136,647,941 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net unrealized appreciation (depreciation) | $ | (427,747 | ) | $ | 6,017,609 | $ | (4,463,123 | ) | $ | 565,942,412 | $ | (47,204 | ) | $ | (43,424,873 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
11. | COMMITTED LINE OF CREDIT |
The Funds have entered into a $350,000,000 committed revolving line of credit agreement with The Bank of New York Mellon (the “Bank”) for temporary borrowing purposes with an expiration date of October 8, 2021. The upfront fee for borrowing is 0.05%. The interest rate on borrowing is the federal funds rate plus 1.25%. There were no borrowings from the line of credit as of or during the year ended March 31, 2021. 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.
12. | INDEMNIFICATIONS |
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.
13. | NEW ACCOUNTING PRONOUNCEMENT |
In March 2020, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (ASU) No. 2020-04, Reference Rate Reform (Topic 848) — Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The amendments in the ASU provides optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the London Interbank Offered Rate (LIBOR) and other interbank offered reference rates as of the end of 2021. The ASU is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2022. Management has reviewed the requirements and believes the adoption of this ASU will not have a material impact on the financial statements.
Annual Report March 2021 / 312
Table of Contents
Report of Independent Registered Public Accounting Firm
To the Shareholders and the Board of Trustees of
the Metropolitan West Funds
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statements of assets and liabilities of Metropolitan West Funds (the “Funds”) comprising the Metropolitan West AlphaTrak 500 Fund, Metropolitan West Corporate Bond Fund, Metropolitan West Flexible Income Fund, Metropolitan West Floating Rate Income Fund, Metropolitan West High Yield Bond Fund, Metropolitan West Intermediate Bond Fund, Metropolitan West Investment Grade Credit Fund, Metropolitan West Low Duration Bond Fund, Metropolitan West Strategic Income Fund, Metropolitan West Total Return Bond Fund, Metropolitan West Ultra Short Bond Fund, and Metropolitan West Unconstrained Bond Fund, including the schedules of portfolio investments, as of March 31, 2021, the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights (as to Metropolitan West High Yield Bond Fund, consolidated financial highlights for the three years in the period ended March 31, 2019) for each of the five years in the period then ended for the Funds, except Metropolitan West Corporate Bond Fund, Metropolitan West Investment Grade Credit Fund, and Metropolitan West Flexible Income Fund; the financial highlights for Metropolitan West Corporate Bond Fund for the years ended March 31, 2021, March 31, 2020 and the period from June 29, 2018 (commencement of operations) through March 31, 2019; the financial highlights for Metropolitan West Investment Grade Credit Fund for the years ended March 31, 2021, March 31, 2020 and the period from June 29, 2018 (commencement of operations) through March 31, 2019; the financial highlights for Metropolitan West Flexible Income Fund for the years ended March 31, 2021, March 31, 2020 and the period from November 30, 2018 (commencement of operations) through March 31, 2019; and the related notes.
In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of each of the Funds except Metropolitan West Corporate Bond Fund, Metropolitan West Investment Grade Credit Fund, and Metropolitan West Flexible Income Fund as of March 31,2021, and the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the five year years in the period then ended in conformity with accounting principles generally accepted in the United States of America.
Also, in our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of Metropolitan West Corporate Bond Fund, Metropolitan West Investment Grade Credit Fund, and Metropolitan West Flexible Income Fund as of March 31, 2021; the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and financial highlights for Metropolitan West Corporate Bond Fund for the years ended March 31, 2021, March 31, 2020 and the period from June 29, 2018 (commencement of operations) through March 31, 2019; the results of operations, changes in net assets, and financial highlights for Metropolitan West Investment Grade Credit Fund for the years ended March 31, 2021, March 31, 2020 and the period from June 29, 2018 (commencement of operations) through March 31, 2019; and the results of operations, changes in net assets, and financial highlights for Metropolitan West Flexible Income Fund for the years ended March 31, 2021, March 31, 2020 and the period from November 30, 2018 (commencement of operations) through March 31, 2019, in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion.
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Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of March 31, 2021, by correspondence with the custodian, brokers, and agent banks; when replies were not received from brokers and agent banks, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
Los Angeles, California
May 27, 2021
We have served as the auditor of one or more TCW/Metropolitan West Funds investment companies since 1990.
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Metropolitan West Funds
(Unaudited)
For shareholders that do not have a March 31, 2021 tax year end, this notice is for informational purposes only. For shareholders with a March 31, 2021 tax year end, please consult your tax advisor as to the pertinence of this notice. For the fiscal year ended March 31, 2021, each portfolio is reporting the following items with regard to distributions paid during the year. All information is based on financial information available as of the date of this annual report and, accordingly is subject to change. For each item, it is the intention of the Fund to report the maximum amount permitted under the Internal Revenue Code and the regulations thereunder.
ALPHATRAK 500 FUND | CORPORATE FUND | FLEXIBLE INCOME FUND | FLOATING RATE INCOME FUND | HIGH YIELD BOND FUND | INTERMEDIATE BOND FUND | |||||||
Net Investment Income Distributions | 21.41% | 82.09% | 96.01% | 100.00% | 100.00% | 39.07% | ||||||
Short-Term Capital Gain Distributions | 30.15% | 8.59% | 1.86% | 0.00% | 0.00% | 43.95% | ||||||
Long-Term Capital Gain Distributions | 48.44% | 9.32% | 2.13% | 0.00% | 0.00% | 16.98% | ||||||
Return of Capital | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | ||||||
Tax-Exempt Interest | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | ||||||
Qualifying For Corporate Dividends Rec | ||||||||||||
Deduction (1) | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | ||||||
Qualifying Dividend Income (2) | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | ||||||
U.S. Government Interest (3) | 0.38% | 0.72% | 0.34% | 0.33% | 0.28% | 5.47% | ||||||
Foreign Tax Credit (4) | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | ||||||
Qualified Interest Income (5) | 100.00% | 95.02% | 90.95% | 94.75% | 85.45% | 99.23% | ||||||
Qualified Short-Term Capital Gain (6) | 100.00% | 100.00% | 100.00% | 0.00% | 0.00% | 100.00% |
INVESTMENT GRADE CREDIT FUND | LOW DURATION BOND FUND | STRATEGIC INCOME FUND | TOTAL RETURN BOND FUND | ULTRA SHORT BOND FUND | UNCONSTRAINED BOND FUND | |||||||
Net Investment Income Distributions | 84.06% | 100.00% | 100.00% | 25.08% | 100.00% | 78.19% | ||||||
Short-Term Capital Gain Distributions | 10.89% | 0.00% | 0.00% | 56.20% | 0.00% | 21.81% | ||||||
Long-Term Capital Gain Distributions | 5.05% | 0.00% | 0.00% | 18.72% | 0.00% | 0.00% | ||||||
Return of Capital | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | ||||||
Tax-Exempt Interest | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | ||||||
Qualifying For Corporate Dividends Rec | ||||||||||||
Deduction (1) | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | ||||||
Qualifying Dividend Income (2) | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | ||||||
U.S. Government Interest (3) | 0.43% | 4.07% | 2.38% | 6.29% | 9.57% | 1.74% | ||||||
Foreign Tax Credit (4) | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | ||||||
Qualified Interest Income (5) | 97.12% | 88.26% | 89.84% | 99.95% | 80.39% | 54.22% | ||||||
Qualified Short-Term Capital Gain (6) | 100.00% | 0.00% | 0.00% | 100.00% | 0.00% | 100.00% |
(1) | Qualifying dividends represent dividends which qualify for the corporate dividends received deduction and is reflected as a percentage of ordinary income distributions (the total of short-term capital gain and net investment income distributions). |
(2) | The percentage in this column represents the amount of “Qualifying Dividend Income” as created by the Jobs and Growth Tax Relief Reconciliation Act of 2003 and is reflected as a percentage of ordinary income distributions (the total of short-term capital gain and net investment income distributions). |
(3) | “U.S. Government Interest” represents the amount of interest that was derived from direct U.S. government obligations and distributed during the fiscal year. This amount is reflected as a percentage of total ordinary income distributions (the total of short-term capital gain and net investment income distributions). Generally, interest from direct U.S. government obligations is exempt from state income tax. However, for residents of California, Connecticut and New York, the statutory threshold requirements were not satisfied to permit exemption of these amounts from state income for this fund. |
(4) | Foreign Tax Credit represents dividends which qualify for the foreign tax credit pass through and is reflected as a percentage of investment company taxable income (the total of short-term capital gain and net investment income). |
(5) | The percentage in this column represents the amount of “Qualifying Interest Income” as created by The American Jobs Creation Act of 2004. The information is reflected as a percentage of net investment income distributions. |
(6) | The percentage in this column represents the amount of “Qualifying Short Term Capital Gain” as created by The American Jobs Creation Act of 2004. The information is reflected as a percentage of short-term capital gain distributions. |
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Liquidity Risk Management Program (Unaudited)
Rule 22e-4 under the 1940 Act (the “Liquidity Rule”) requires that all registered open-end management investment companies, including the Funds, establish a written liquidity risk management program (a “Liquidity Program”). Under a fund’s Liquidity Program, a fund must assess, manage and periodically review the fund’s liquidity risk, classify the liquidity of each of the fund’s portfolio investments, determine whether to specify highly liquid investment minimum (and, if so, at what level), limit illiquid investments to 15% of fund investments, and establish policies and procedures regarding how and when a fund will engage in redemptions in-kind. Consistent with the Liquidity Rule, the Board has approved the written Liquidity Program for the Funds and has designated a committee of professionals associated with the Adviser to administer the Funds’ Liquidity Program (the “Program Administrator”).
On March 8, 2021, the Board reviewed the Program Administrator’s written annual report (the “Report”) concerning the operation of the Funds’ Liquidity Program for the calendar year ended December 31, 2021 (the “Reporting Period”).The Report addressed the operation of the Liquidity Program and assessed its adequacy and effectiveness of implementation, including, where applicable, the operation of a Fund’s Highly Liquidity Investment Minimum (“HLIM”). The Report discussed, among other things: (1) the liquidity risk framework used to assess, manage, and periodically review each Fund’s liquidity risk and the results of this assessment; (2) the methodology and inputs for classifying each of the Fund’s investments into liquidity categories that reflect an estimate of their liquidity under current market conditions; (3) whether a Fund invested primarily in “Highly Liquid Investments” (as defined under the Liquidity Rule) and the operation and monitoring of the HLIM assigned to a Fund, as applicable; (4) whether a Fund invested more than 15% of its assets in “Illiquid Investments” (as defined under the Liquidity Rule) and the procedures for monitoring for this limit; and (5) the results of stress tests designed to assess liquidity under a hypothetical stressed scenario involving elevated redemptions. The Report concluded that the Liquidity Program was reasonably designed to assess and manage each Fund’s liquidity risk and was adequately and effectively implemented with respect to each Fund during the Reporting Period.
There can be no assurance that the Liquidity Program will achieve its objectives in the future. Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other principal risks to which an investment in the Fund may be subject.
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Metropolitan West Funds
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 January 2020
WHAT YOU SHOULD KNOW
|
At TCW, we recognize the importance of keeping information about you secure and confidential. We do not sell or share your nonpublic personal and financial information with marketers or others outside our affiliated group of companies.
We carefully manage information among our affiliated group of companies to safeguard your privacy and to provide you with consistently excellent service.
We are providing this notice to you to comply with the requirements of Regulation S-P, “Privacy of Consumer Financial Information," issued by the United States Securities and Exchange Commission.
OUR PRIVACY POLICY
|
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. |
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.
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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.
QUESTIONS
|
Should you have any questions about our Customer Privacy Policy, please contact us by email or by regular mail at the address at the end of this policy.
REMINDER ABOUT TCW’S FINANCIAL PRODUCTS
|
Financial products offered by The TCW Group, Inc. and its subsidiaries, the TCW Funds, Inc., TCW Strategic Income Fund, Inc., 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 |
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TRUSTEES AND OFFICERS (Unaudited)
The business and affairs of the Trust and each Fund is under the direction of the Board of Trustees. Information pertaining to the Trustees and officers of the Trust is provided in the table below. The term “officer” means president, vice president, secretary, treasurer, controller, or any other officer who performs policy making functions. All officers serve without direct compensation from the Funds. You can find more information about the Trustees in the Statement of Additional Information which is available without charge by calling (800) 241-4671.
NAME AND
| POSITION(S)
| TERM OF OF TIME
| PRINCIPAL OCCUPATIONS DURING
|
NUMBER FUNDS IN
| OTHER BY TRUSTEE
| |||||
Independent Trustees of the Trust*
| ||||||||||
Ronald J. Consiglio (1943) | Trustee | Indefinite term, since 2003 | Since 1999, Mr. Consiglio has served as the managing director of Synergy Trading, a securities-trading partnership. | 12 | Mannkind Corp. (pharmaceutical preparations) | |||||
Patrick C. Haden (1953) | Trustee | Indefinite term, since 2010 | President (since 2003), Wilson Ave. Consulting (business consulting firm); Senior Advisor to President (July 2016 - June 2017), Athletic Director (2010 - June 2016), University of Southern California. | 31 | Tetra Tech, Inc. (environmental consulting); Auto Club (affiliate of AAA); TCW Funds (mutual funds); TCW Strategic Income Fund, Inc. (closed-end fund) | |||||
Martin Luther King III (1957) | Trustee and Chairman of the Nominating and Governance Committee | Indefinite term, since 1997 | Since 1998, Mr. King has served as the President and Chief Executive Officer of The King Center. Since January 2006, he has served as Chief Executive Officer of Realizing the Dream, a non-profit organization that continues the humanitarian and liberating work of Dr. Martin Luther King, Jr. and Mrs. Coretta Scott King. He has been engaged as an independent motivational lecturer since 1980. | 12 | None | |||||
Peter McMillan (1957) | Trustee | Indefinite term, since 2008 | Co-founder (since 2019), Pacific Oak Capital Advisors (investment advisory firm); Co-founder, Managing Partner and Chief Investment Officer (since May 2013), Temescal Canyon Partners (investment advisory firm); Co-founder and Executive Vice President (2005 - 2019), KBS Capital Advisors (a manager of real estate investment trusts). | 31 | Pacific Oak Strategic Opportunity REIT (real estate investments); Pacific Oak Strategic Opportunity REIT II (real estate investments); Keppel Pacific Oak U.S. REIT (real estate investments); Pacific Oak Residential Trust (real estate investments); Metropolitan West Funds (mutual funds); TCW Strategic Income Fund, Inc. (closed- end fund); TCW DL VII Financing LLC (business development company) |
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NAME AND
| POSITION(S)
| TERM OF OF TIME
| PRINCIPAL OCCUPATIONS DURING
|
NUMBER FUNDS IN
| OTHER BY TRUSTEE
| |||||
Robert G. Rooney (1957) | Trustee and Chairman of the Audit Committee | Indefinite term, since 2009 | Senior Financial Advisor (August 2020 – March 2021) and Chief Financial and Administrative Officer (November 2018 – August 2020), REEF Technology (real estate services and technology company); Chief Financial Officer (January 2018 - November 2018), Citizens Parking Inc. (parking services company); Chief Financial Officer (September 2015 – July 2017), Novitex Enterprise Solutions, Inc. (document management company). | 12 | None | |||||
Andrew Tarica (1959) | Trustee and Chairman of the Board | Indefinite term, since 2002 and 2008, respectively | Employee (since 2003), Cowen & Co. (broker-dealer); Chief Executive Officer (since 2001), Meadowbrook Capital Management (asset management company). | 31 | TCW Funds, Inc. (mutual funds); TCW Strategic Income Fund, Inc. (closed-end fund); TCW Direct Lending VII, LLC (business development company) | |||||
Interested Trustees**
| ||||||||||
Patrick Moore (1964) | Trustee | Indefinite term, since 2014 | Mr. Moore is a Group Managing Director for the Adviser, TCW Investment Management Company LLC, TCW Asset Management Company LLC and TCW LLC. He has been with the Adviser since 2000. Mr. Moore is a member of the CFA Institute. | 12 | None | |||||
Laird Landmann (1964) | Trustee and Executive Vice President | Indefinite term, since 2008 and 2007, respectively | Mr. Landmann is President for the Adviser and Group Managing Director of The TCW Group, Inc., TCW Investment Management Company LLC, TCW Asset Management Company LLC and TCW LLC. Since August 1996, Mr. Landmann has been a Generalist Portfolio Manager with the Adviser and currently serves as the Adviser’s President. | 12 | None | |||||
Officers of the Trust who are not Trustees
| ||||||||||
David B. Lippman (1958) | President and Principal Executive Officer | Indefinite term, since November 2008 | Mr. Lippman is the Chief Executive Officer of the Adviser (since February 2013), and the Chief Executive Officer and President of The TCW Group, Inc., TCW Investment Management Company LLC, TCW Asset Management Company LLC and TCW LLC. He has been with the Adviser since 2008. | 1 | TCW Strategic Income Fund, Inc. (closed-end fund) |
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NAME AND
| POSITION(S)
| TERM OF OF TIME
| PRINCIPAL OCCUPATIONS DURING
|
NUMBER FUNDS IN
| OTHER BY TRUSTEE
| |||||
Richard Villa (1964) | Treasurer, Principal Financial Officer and Principal Accounting Officer | Indefinite term, since February 2021 | Mr. Villa is Group Managing Director, Chief Financial Officer and Assistant Secretary of the Adviser, TCW Investment Management Company LLC, TCW Asset Management Company LLC and The TCW Group, Inc. (since 2008); Treasurer and Principal Financial Officer and Accounting Officer of TCW Funds, Inc. and TCW Strategic Income Fund, Inc. (since February 2014); Managing Director, Chief Financial Officer and Assistant Secretary of TCW LLC (since 2016). | N/A | N/A | |||||
Eric Chan (1978) | Assistant Treasurer | Indefinite term, since 2010 | Mr. Chan is Managing Director of Fund Operations for the Adviser, TCW Investment Management Company LLC, TCW Asset Management Company LLC and TCW LLC. He has been with the Adviser since November 2006. Mr. Chan is a Certified Public Accountant. | N/A | N/A | |||||
Tad Rivelle (1961) | Executive Vice President | Indefinite term, since 2007 | Mr. Rivelle is the Chief Investment Officer and Group Managing Director for the Adviser, TCW Investment Management Company LLC, TCW Asset Management Company LLC and TCW LLC. He has been with the Adviser since August 1996. | N/A | N/A | |||||
Stephen M. Kane (1962) | Executive Vice President | Indefinite term, since 2007 | Mr. Kane is a Group Managing Director for the Adviser, TCW Investment Management Company LLC, TCW Asset Management Company LLC and TCW LLC. He has been with the Adviser since August 1996. | N/A | N/A | |||||
Gladys Xiques (1973) | Chief Compliance Officer and Anti-Money Laundering Officer | Indefinite term, since January 2021 | Ms. Xiques is Managing Director and Global Chief Compliance Officer of the Adviser, TCW Investment Management Company LLC, TCW Asset Management Company LLC and TCW LLC (since January 2021); Global Chief Compliance Officer of The TCW Group, Inc. (since January 2021); Senior Vice President of TCW LLC, TCW Investment Management Company LLC, TCW Asset Management Company LLC and the Adviser (February 2015 – December 2020); Director and Compliance Counsel (March 2010 – January 2015), Kohlberg Kravis Roberts & Co. L.P. | N/A | N/A | |||||
Meredith Jackson (1959) | Vice President and Secretary | Indefinite term, since 2013 | Ms. Jackson is Executive Vice President, General Counsel and Secretary of the Adviser, The TCW Group, Inc., TCW LLC, TCW Investment Management Company LLC and TCW Asset Management Company LLC (since February 2013). She is Senior Vice President, Secretary and General Counsel for the TCW Funds, Inc., TCW Strategic Income Fund, Inc. and TCW Alternative Funds (2015 - 2018). | N/A | N/A |
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NAME AND
| POSITION(S)
| TERM OF OF TIME
| PRINCIPAL OCCUPATIONS DURING
|
NUMBER FUNDS IN
| OTHER BY TRUSTEE
| |||||
Patrick Dennis | Vice President and Assistant Secretary | Indefinite term, since 2013 | Mr. Dennis is Senior Vice President, Associate General Counsel and Assistant Secretary of the Adviser, TCW Investment Management Company LLC, TCW LLC and TCW Asset Management Company LLC (since February 2013). He is Vice President and Assistant Secretary for the TCW Funds, Inc., TCW Strategic Income Fund, Inc. and TCW Alternative Funds (2015 - 2018). | N/A | N/A |
* | Denotes a Trustee who is not an “interested” person of the Trust as defined in the 1940 Act. |
** | Denotes a Trustee who is an “interested” person of the Trust as defined in the 1940 Act, due to the relationship indicated with the Adviser. |
*** | For purposes of Trust business, the address for all Trustees and officers is c/o Metropolitan West Asset Management, LLC, 865 South Figueroa Street, Suite 1800, Los Angeles, CA 90017. |
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MetWest Funds
865 South Figueroa Street, Suite 1800
Los Angeles, California 90017
800 241 4671
www.TCW.com
Board of Trustees
Ronald J. Consiglio
Patrick C. Haden
Martin Luther King, III
Laird R. Landmann
Peter McMillan
Patrick Moore
Robert G. Rooney
Andrew Tarica
Officers
David Lippman
President and Principal Executive Officer
Richard Villa
Treasurer, Principal Financial Officer and
Principal Accounting Officer
Gladys Xiques
Chief Compliance Officer and
Anti-Money Laundering Officer
Adviser
Metropolitan West Asset Management, LLC
865 South Figueroa Street, Suite 1800
Los Angeles, CA 90017
Custodian
The Bank of New York Mellon
One Wall Street
New York, NY 10286
Transfer Agent
BNY Mellon Investment Servicing (U.S.) Inc.
760 Moore Road
King of Prussia, PA 19406
Independent Registered Public
Accounting Firm
Deloitte & Touche LLP
555 West 5th Street, Suite 2700
Los Angeles, CA 90013
Distributor
TCW Fund Distributors LLC
865 South Figueroa Street, Suite 1800
Los Angeles, CA 90017
Legal Counsel
Paul Hastings LLP
101 California Street, 48th Floor
San Francisco, CA 94111
For Additional Information about the MetWest Funds call:
(213) 244-0000 or (800) 241-4671 (toll-free)
www.TCW.com
A description of the Funds’ proxy voting policies, procedures, and how the Funds’ voted proxies relating to portfolio’s securities during the most recent 12 month period ending June 30 are available (i) without charge, upon request, by calling (800) 241-4671; (ii) on the Securities and Exchange Commission’s website at www.sec.gov.
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 NPORT-P. Such filings occur no later than 60 days after the end of the Funds’ first and third quarters and are available on the SEC’s website at www.sec.gov.
To reduce expenses, we may mail only one copy of the Fund’s prospectus and each annual and semi-annual report to those addresses shared by two or more accounts. If you wish to receive individual copies of these documents, please call us at (800) 241-4671 (or contact your financial institution). We will begin sending you individual copies thirty days after receiving your request.
This report is submitted for general information to the shareholders of the Funds. It is not authorized for distribution to prospective investors in the Funds unless preceded or accompanied by an effective Prospectus, which includes details regarding the Funds’ objectives, policies, expenses and other information.
FUNDap 5/2021
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(b) Not Applicable.
Item 2. Code of Ethics.
(a) | The registrant, as of the end of the period covered by this report, has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. |
(b) | Not applicable. |
(c) | There have been no amendments, during the period covered by this report, to a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics description. |
(d) | The registrant has not granted any waivers, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, that relates to one or more of the items set forth in paragraph (b) of this item’s instructions. |
(f)(1) | Pursuant to Item 13(a)(1), the registrant is filing as an exhibit a copy of its code of ethics that applies to its principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. |
Item 3. Audit Committee Financial Expert.
As of the end of the period covered by the report, the registrant’s board of directors has determined that Ronald Consiglio and Robert Rooney are qualified to serve as audit committee financial experts serving on its audit committee and they are “independent,” as defined by Item 3 of Form N-CSR.
Item 4. Principal Accountant Fees and Services.
Audit Fees
(a) | The aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years are $545,908 in 2021 and $545,908 in 2020. |
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Audit-Related Fees
(b) | The aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item are $0 in 2021 and $0 in 2020. |
Tax Fees
(c) | The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning are $104,680 in 2021 and $101,760 in 2020. |
All Other Fees
(d) | The aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item are $0 in 2021 and $0 in 2020. |
(e)(1) Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.
Pre-Approval Policies and Procedures. The Audit Committee (“Committee”) of the registrant is responsible for pre-approving (i) all audit and permissible non-audit services to be provided by the independent auditors to the registrant and (ii) all permissible non-audit services to be provided by the independent auditors to Metropolitan West Funds and any affiliate of Metropolitan West Funds that provides services to the registrant (a “Covered Services Provider”) if the independent auditors’ engagement relates directly to the operations and financial reporting of the registrant. The Committee may delegate its responsibility to pre-approve any such audit and permissible non-audit services to the Chairperson of the Committee, and the Chairperson must report to the Committee, at its next regularly scheduled meeting after the Chairperson’s pre-approval of such services, his or her decision(s). The Committee may also establish detailed pre-approval policies and procedures for pre-approval of such services in accordance with applicable laws, including the delegation of some or all of the Committee’s pre-approval responsibilities to other persons (other than Metropolitan West Funds or the registrant’s officers). Pre-approval by the Committee of any permissible non-audit services is not required so long as: (i) the aggregate amount of all such permissible non-audit services provided to the registrant, Metropolitan West Funds and any Covered Services Provider constitutes not more than 5% of the total amount of revenues paid by the registrant to its independent auditors during the fiscal year in which the permissible non-audit services are provided; (ii) the permissible non-audit services were not recognized by the registrant at the time of the engagement to be non-audit services; and (iii) such services are promptly brought to the attention of the Committee and approved by the Committee or the Chairperson prior to the completion of the audit.
(e)(2) The percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X are as follows:
(b) N/A
(c) 100%
(d) N/A
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(f) | The percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees was 0%. |
(g) | The aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant was $751,087 in 2021 and $1,058,854 in 2020. |
(h) | The registrant’s audit committee of the board of directors has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence. |
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(a) of this form. |
(b) | Not applicable. |
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.
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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 period covered by this report 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)(1) | ||
(a)(2) | ||
(a)(3) | Not applicable. | |
(a)(4) | Not applicable. | |
(b) |
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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)
Date June 3, 2021 |
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)
Date June 3, 2021 |
By (Signature and Title)* /s/ Richard Villa
Richard Villa, Treasurer, Principal Financial Officer
and Principal Accounting Officer
(principal financial officer)
Date June 3, 2021 |
* Print the name and title of each signing officer under his or her signature.